International ABS Daily Wrap

Research evidence excerpt

International ABS Daily Wrap

Meghan Kelleher AC Europe Credit & Securitized Products Research

(44-20) 7134-2591 03 August 2026 J P M O R G A N

meghan.c.kelleher@jpmorgan.com

• AZURE 3: The Issuer confirms that the Appointment has occurred and the Acquisition

has been completed. Blue Motor has entered into administration and Joint Administrators

have been appointed. The Appointment constitutes an Insolvency Event in respect of

Blue (in its capacities as Servicer and Seller), and is consequently a Servicer Termination

Event and a Perfection Event. Noteholders should seek their own independent advice

regarding their rights under the Notes and the Transaction Documents to direct the Issuer

to exercise its rights with respect to the Servicer Termination Event and/or the Perfection

Event that has occurred, and the consequences of failing to appoint a replacement servicer

and perfect legal title in circumstances where the Clean-Up Call is not exercised and Blue

is ultimately wound up.

Rating Actions

[Rating Agency websites, Bloomberg Finance L.P.]

RMBS

• Morningstar DBRS has upgraded Class X2 of the UK BTL RMBS, BPKF 2024-1, to

BBH from CCC previously, driven by an update to the rating agency’s Probability of

Default (PD) and Loss Given Default (LGD) assumptions.

• S&P downgraded Classes D/E/X of the UK NCF RMBS, AVON 3, to A-/BB-/B-,

respectively, from A/BB+/B, previously, following the implementation of updates to the

rating agency’s UK sector and industry variables under their global RMBS criteria, which

increased the transaction’s weighted average foreclosure frequency (WAFF) and

weighted average loan severities (WALS). The downgrades reflect the effect of the

increase in required credit coverage for the affected tranches under the rating agency’s