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        T R O U B L E D   C O M P A N Y   R E P O R T E R

                           E U R O P E

           Wednesday, March 14, 2012, Vol. 13, No. 53

                            Headlines


C Z E C H   R E P U B L I C

OC FIS NORDIC: Prague Court Recognizes 47 of 56 Creditors' Claims


F R A N C E

CAPTAIN BIDCO: Moody's Assigns 'B2' Corporate Family Rating
CMA CGM: S&P Lowers Issuer Ratings on Debt to 'CCC'


G E R M A N Y

KLOCKNER PENTAPLAST: Oaktree Capital Eyes Takeover
SCHLECKER: KfW Won't Provide Financial Aid to Drugstore Chain


H U N G A R Y

BUDAPEST TRANSPORT: Insolvency May to Hungary's Sovereign Default


I C E L A N D

LANDSBANKI ISLANDS: Bondholders May Lose 94% of Investment
* ICELAND: Seeks Capital Controls for Failed Banks' Creditors


I R E L A N D

CELTIC RESIDENTIAL: Moody's Cuts Ratings on 4 Note Classes to Ca


L U X E M B O U R G

DEXIA FUNDING: Moody's Downgrades Hybrid Tier 1 Securities to 'C'


N E T H E R L A N D S

CONTEGO CLO: S&P Raises Rating on Class E Notes From 'CCC'
GRESHAM CAPITAL: Fitch Affirms Rating on Class E Notes at 'Bsf'


N O R W A Y

NORSKE SKOGINDUSTRIER: S&P Affirms 'B-/B' Corp. Credit Ratings


P O R T U G A L

BANCO BPI: S&P Cuts Public-Sector Covered Bond Rating to 'BB-'


R U S S I A

BANK VTB: Moody's Issues Summary Credit Opinion


S P A I N

SANTANDER EMPRESAS 11: Moody's Rates Serie C Notes at 'Ca(sf)'


S W I T Z E R L A N D

CYTOS BIOTECHNOLOGY: Creditors Approve Bond Restructuring


U N I T E D   K I N G D O M

CHOICES UK: Enters Into Administration
EMF-UK 2008-1: S&P Lowers Ratings on Two Note Classes to 'CCC'
NEATH FC: Faces Winding-Up Order at London's High Court
REED UMBRELLA: High Court Winds Up Tax Umbrella Firm After Probe


                            *********


===========================
C Z E C H   R E P U B L I C
===========================


OC FIS NORDIC: Prague Court Recognizes 47 of 56 Creditors' Claims
-----------------------------------------------------------------
CTK reports that the Prague Municipal Court Monday recognized 47
out of the 56 examined claims worth over CZK92 million submitted
by the creditors in the bankruptcy trial of OC FIS NORDIC,
organizer of the 2009 Nordic skiing world championship.

In total, 69 creditors submitted claims worth almost CZK400
million, CTK discloses.

The remaining 13 claims will only be examined in another court
proceedings, CTK notes.

Now insolvency administrator Marcela Maresova is to find out the
real value of the debtor's property, CTK states.

Ms. Maresova said Monday that the value of the movable assets
such as tables and computers was a few thousands of crowns and
the debtor had some CZK160,000 in cash, CTK relates.

The Nordic World Ski Championship was held on February 18 to
March 1, 2009.

More than two billion crowns were spent on the championship from
the state, regional and Liberec municipal budgets even though the
budget was set at CZK1.1 billion in 2005, CTK recounts.  The
organization itself cost CZK623 million, CTK notes.  The profits
were lower than expected and did not cover these costs,
CTK discloses.

In mid-January OC FIS NORDIC WSC 2009 group went bust,
CTK discloses.

The police are investigating who is to blame for the debts, CTK
says.


===========
F R A N C E
===========


CAPTAIN BIDCO: Moody's Assigns 'B2' Corporate Family Rating
-----------------------------------------------------------
Moody's Investor's Service assigned a B2 Corporate Family Rating
and a B2 Probability of Default Rating to Captain BidCo SAS
("Ascometal"), the new holding company of Ascometal S.A.S.  At
the same time, the rating agency assigned a provisional (P) Ba2
rating to the company's six year EUR60 million super senior
revolving credit facility and a provisional (P) B3 rating to the
EUR300 million senior secured notes due in 2020. The outlook for
all ratings is stable. This is the first time that Moody's rates
Ascometal.

Moody's issues provisional ratings for debt instruments in
advance of the final sale of securities or conclusion of credit
agreements. Upon a conclusive review of the final documentation,
Moody's will endeavour to assign a definitive rating to the rated
capital instruments. A definitive rating may differ from a
provisional rating.

Assignments:

  Issuer: Captain BidCo SAS

     Probability of Default Rating, assigned B2

     Corporate Family Rating, assigned B2

     Senior Secured Bank Credit Facility, assigned (P)Ba2,
     19 - LGD2

     Senior Secured Regular Bond/Debenture, assigned (P)B3,
     76 - LGD5

Ratings Rationale

The B2 Corporate Family Rating balances (i) Ascometal's strong
and established position in the European engineering steel
market, (ii) the company's strength in its products and
processes, (iii) the operational flexibility of its Electric Arc
Furnace-based plants and (iv) the advantage of its pricing
mechanism that allows Ascometal to pass-through changes in raw
material costs with a limited time lag. However, Ascometal is (i)
heavily reliant on the cyclical automotive and truck end markets,
with (ii) low sales visibility and historically highly volatile
results, and (iii) geographic concentration on a single region
within Europe. Other constraining factors are (iv) the small size
of the franchise (turnover 2011 EUR969 million), (v) the still
relatively low capacity utilization of around 75% and (vi) an
initially high leverage of proforma debt/EBITDA close to 5.0x
which makes the company vulnerable to cyclical downturns.

Ascometal is one of the largest producers of specialty engineered
steels in Europe, although Moody's notes that this part of the
steel market in Europe is relatively fragmented. This position
has been achieved on the back of technological leadership in the
industry with highly specialized and customized products. One key
success factor in that respect is continuous investment in R&D
where Ascometal spends around EUR4-5 million per year via its R&D
Centre. Another strength results from the company's use of
Electric Arc Furnace (EAF) -- technology, which requires low
investments compared to integrated steel mills and provides a
high degree of flexibility and lower fixed costs.

Given the volatility of steel prices and taking into
consideration that raw materials -- predominantly steel scrap -
account for more than 50% of Ascometal's cost of sales a stable
metal spread is key for the company's success, as Ascometal is
passing on the volatility of its raw materials cost via a scrap
and alloy surcharge system. The time lag for passing through
input price changes is quite short with 80% of surcharges being
applied on a monthly basis with the remainder being applied
quarterly. In addition, Ascometal benefits from a price advantage
through volume bundling of its scrap purchases through a joint
venture where Ascometal holds 41.2% (not consolidated). Other
partners in this joint venture include ArcelorMittal (41.2%),
Vallourec (15%) and some minor shareholders.

However, Ascometal is heavily reliant on the automotive and truck
industries, which account for approximately 50-60% of its sales
volumes, followed by mechanical engineering (32%). This results
in the high cyclicality of Ascometal's results as evidenced by
the development of shipment volumes, sales and profitability
during the global economic crisis of 2008/09. At that time
volumes declined by 54% from the peak level seen in 2007. For
2009, Ascometal generated an operating loss of EUR75 million (as
adjusted by Moody's). Moody's does not expect that Ascometal's
shipments will reach their pre-crisis levels of around 1,000 kt
per year in the near to mid term, for 2012 Moody's estimates
shipment volumes to be slightly below 2011 level of 806 kt.

Ascometal is a local player with all its production sites
concentrated in France. The geographical spread along the east
border of France enables the company to serve key industrial
regions not only in France (accounting for 40% of sales volume
during 2011), but also in Germany (20%), Italy (11%) and other
parts of the EU (16%). Around 13% of revenues are exported
outside the EU, which does not include indirect sales to
customers outside of Europe through exports of Ascometal's own
customers. The geographic concentration on a single region within
Europe and on very specialized end products for relatively small
niche markets is reflected in a revenue base which is quite small
for a steel producer. With total debt (as adjusted by Moody's) of
about EUR450 million at year-end 2011 Moody's calculates pro-
forma leverage for 2011 to be 4.9x Debt / EBITDA, which is
considered relatively high taking into account the volatility of
Ascometal's markets and the fact that 2011 will have probably
been a peak in the industry's performance.

Ascometal's liquidity needs for the next twelve months are well
covered by funds from operations expected to exceed EUR35 million
as well as full availability under the EUR60 million revolving
credit facility, which matures in 2017. Moody's notes that the
revolving credit facility is subject to one financial covenant
with sufficient headroom.

Structural Considerations

In Moody's loss given default assessment Moody's has assigned the
first rank to the company's EUR60 million revolving credit
facility. The (P) Ba2-instrument rating assigned to this facility
(LGD2, 19%) reflects the preferred status against the other
financial liabilities. In line with Moody's standard practice
Moody's has given the same rank to trade payables and customer
advances, pension liabilities and minimum lease payments. The
senior secured notes rank behind this layer of debt resulting in
a (P) B3 instrument rating (LGD5, 76%).

The outlook on the ratings is stable. Moody's expects that the
end-markets which Engineering Steel producer Ascometal serves
will most likely show stabilising fundamentals and demand
requirements over the next 12 months and that the company will be
able to manage its key credit metrics within the range expected
for the B2 rating category, such as debt/EBITDA to oscillate in a
range between 4.5 and 5.5x, and EBIT/interest coverage to move
between a range of 1.2x and 1.7x (proforma 1.4x in 2011). However
Moody's notes macroeconomic factors weighing down the commodity
steel industry around the world with Europe facing additional
challenges related to the sovereign debt conundrum. Subsequently
Moody's does not foresee material profit improvements for
Ascometal for 2012, which positions the company weakly in the
rating category. Should the company not be able to defend its
metal spread above a level of EUR670 per ton (EUR688 seen during
2011) pressure on the ratings will develop.

Upside rating potential could build if Ascometal would be able to
show a sustainable increase in profitability, supporting a
reduction of leverage close to a level of 4.0x Debt / EBITDA on a
sustainable basis. In addition, a B1 Corporate Family Rating
would require EBIT margin to improve towards high single digits,
EBIT/interest expense to exceed 1.7x and a material free cash
flow generation, all on a sustainable basis.

Likewise, downward pressure would build if the company were not
able to generate an EBIT margin materially above 5%, if leverage
exceeds 5.5x, if interest cover falls below 1.2x or in the case
of a material negative free cash flow. Also, any concerns with
regard to the headroom under the financial covenant could be
negative to the rating.

The principal methodology used in rating BidCo was the Global
Steel Industry Methodology published in January 2009. Other
methodologies used include Loss Given Default for Speculative-
Grade Non-Financial Companies in the U.S., Canada and EMEA
published in June 2009.

Ascometal, based in Courbevoie/France, wholly owned by Captain
BidCo, is a French steel producer focused on Engineering Steel, a
specialty steel sub-segment of the carbon steel market. The
company, which was recently spun-off from its former parent
Lucchini S.p.A., Brescia/Italy, (part of OAO Severstal,
Cherepovets/Russia), has a 10% share in the European Engineering
Steel market. During 2011, Ascometal shipped 806,000 tons of
steel and generated EUR969 million of sales with around 2,189
employees (2011 average). The company operates 3 integrated EAF-
based steel plants, 4 rolling mills and 2 cold finishing centres,
all located in France. Around 87% of revenues are generated
within the EU, with the largest portion generated in France,
followed by Germany and Italy, although many of the ultimate end
products are exported to other regions of the world.


CMA CGM: S&P Lowers Issuer Ratings on Debt to 'CCC'
---------------------------------------------------
Standard & Poor's Ratings Services lowered its long-term
corporate credit rating on France-based container ship operator
CMA CGM S.A. to 'B-' from 'B+'. "We also lowered our issue
ratings on CMA CGM's debt to 'CCC' from 'B-'," S&P said.

"We placed all issuer and issue ratings on CreditWatch with
negative implications. The recovery rating on the debt remains
'6', indicating our expectation of negligible (0%-10%) recovery
in the event of a payment default," S&P said.

"The downgrade reflects CMA CGM's significantly lower than
forecasted operating profits in 2011 and the revision of our
assessment of the company's liquidity profile to 'weak' from
'less than adequate'. We believe that CMA CGM's cash flow
generation will remain limited, thereby eroding its liquidity
position over the coming quarters if it cannot bolster its
liquidity sources through asset disposals or amendments to its
debt maturity profile. Furthermore, CMA CGM will likely breach
its financial covenant tests in 2012, in our view, if it cannot
take timely corrective actions. Consequently, we are revising our
assessment of CMA CGM's financial risk profile to 'highly
leveraged' from 'aggressive'," S&P said.

"CMA CGM's earnings came under pressure last year on account of
inflated operating costs and depressed freight rates, in
particular on Asia-Europe trades. In 2011, CMA CGM's reported
EBITDA (excluding gains on asset disposals) declined
significantly to about $314 million, from about $2.5 billion in
2010, which is well below our original forecasts of about $800
million. Consequently, the company's credit measures weakened
markedly in 2011, with a ratio of adjusted funds from operations
(FFO) to debt falling below 10%, which we consider commensurate
with a 'highly leveraged' financial risk profile," S&P said.

"We expect to resolve the negative CreditWatch on CMA CGM within
the next three months after assessing the ways in which the
company is addressing the likely deterioration of its liquidity
and possible covenant breaches. We would likely lower the rating
if we concluded that CMA CGM is unable to resolve its weakening
liquidity and/or if it cannot avert the likely covenant
breaches," S&P said.

"We could, however, affirm the ratings or take a positive rating
action if CMA CGM's liquidity improved markedly and the company
regained sufficient headroom under its financial covenants. This
scenario assumes that the company's credit quality had not in the
meantime deteriorated for any other reason, such as unexpected
negative operating momentum or aggressive discretionary
spending," S&P said.


=============
G E R M A N Y
=============


KLOCKNER PENTAPLAST: Oaktree Capital Eyes Takeover
--------------------------------------------------
Patricia Kuo at Bloomberg News reports that Oaktree Capital
Management LP is leading senior lenders seeking to take over
Klockner Pentaplast Group in a restructuring that will leave it
and owner Blackstone Group LP with a majority stake in the
company.

According to Bloomberg, two people with knowledge of the matter
said that Oaktree, along with the Bank of Ireland and the lending
arm of General Electric Co, have proposed to take over Klockner
Pentaplast a deal that will reduce the company's borrowings to
less than EUR500 million (US$656 million) from about
EUR1.2 billion.

The people said that the transaction will wipe out the claims of
all junior creditors owed about EUR350 million, Bloomberg notes.

The people, as cited by Bloomberg, said that Los Angeles-based
Oaktree has agreed to sell a portion of its equity stake to
Blackstone once the proposal succeeds, which will leave both
firms as controlling shareholders.

The people said that Klockner Pentaplast will need to put itself
up for sale if an agreement can't be reached by March 21,
according to Bloomberg.

The people said that Lazard & Co. will serve as adviser on the
sale of the company bought by New York-based Blackstone in 2007,
Bloomberg notes.

The people said that Klockner Pentaplast breached debt terms at
the end of last year, Bloomberg recounts.  The people said that
lenders agreed to a waiver on Klockner Pentaplast's debt covenant
until the end of June, Blooomerg relates.

Founded in 1965 in Montabaur, Germany, Klockner Pentaplast Group
is a plastic films producer.


SCHLECKER: KfW Won't Provide Financial Aid to Drugstore Chain
-------------------------------------------------------------
The Local, citing the Welt newspaper, reports that the bankrupt
drugstore chain Schlecker will not receive money from the German
development bank Kreditanstalt fr Wiederaufbau (KfW).

The Local notes that 12,000 Schlecker employees will lose their
jobs before the end of March after the chain filed for bankruptcy
in January.

According to the report, insolvency administrator Arndt Geiwitz
had wanted to establish a transfer company for the former workers
to ease the transition into other employment.  For this, the Welt
reported, the firm would need a sum of EUR70 million, says The
Local.

The Welt newspaper said the German Economics Ministry has already
made it clear to Geiwitz that finance from the KfW is intended
for small and medium businesses and that Schlecker does not
fulfill these criteria, according to the report.

Meanwhile, The Local reports that a Gewitz spokesman told press
on Friday that interim financial help from the KfW would be vital
to assure liquid assets for a transfer company.

The insolvency team is currently negotiating a redundancy plan
together with the Ver.di trade union and Schlecker works
councils, the report notes.

As reported by the Troubled Company Reporter-Europe on Feb. 7,
2012, Schlecker went into administration.  The restructuring
measures necessary at Schlecker in Germany could not be
implemented within the time schedule set, and planned interim
financing could not be found.  Further restructuring will now be
continued as part of the insolvency proceedings.  In this,
Schlecker is seeking an insolvency plan procedure and the
retention of the company as a whole.  At the moment, agreement
has been reached with the key suppliers, ensuring that business
operations can be continued without restrictions.  Schlecker has
been undergoing comprehensive restructuring since the middle of
2010, and has already introduced a large number of measures.  The
insolvency manager was positive about the company's prospects for
the future.

Schlecker is Germany's biggest drugstore chain.


=============
H U N G A R Y
=============


BUDAPEST TRANSPORT: Insolvency May to Hungary's Sovereign Default
-----------------------------------------------------------------
http://www.neurope.eu/article/bkv-insolvency-could-push-hungary-
default-official
NewEurope Online reports that Lajos Dorner, President of the
Urban and Suburban Transit Association (VEKE) said that the
insolvency of the Budapest Transport Company (BKV) could lead to
Hungary's sovereign default.

Mr. Dorner reminded that policymakers have until March 18 to
reach an agreement with the lenders, because this is the day when
a credit becomes due which BKV would not be able to repay.

According to the report, Mr. Dorner said that the most pressing
liquidity issue is a credit taken out in 2004 which will expire
on March 19.  Mr. Dorner added that even the state budget could
not conjure up HUF40 billion to HUF50 billion just like that, the
report relays.

NewEurope relates that Mr. Dorner said they have just had
discussions about the issue with the banks, during which the
Budapest Municipality requested debt restructuring since the
company has no funds to clear this debt. They were trying to
convince the lenders not to take BKV down since then they will
certainly not get their money back, he added.

NewEurope notes that if the largest company of the Budapest
Municipality becomes insolvent and its owner cannot go to its
rescue then the municipality is insolvent too. And once the
biggest local government of the country is insolvent and the
state cannot save it then it's sovereign default, the report
states.

On Aug. 30, 2010, the Troubled Company Reporter-Europe, citing
MTI-Econews, reported that the National Economy Ministry said the
Hungarian government decided to set up a "bankruptcy committee"
in
order to settle the finances of BKV.  The Ministry said the
setting up the bankruptcy committee would be the first step in
consolidating BKV's financial position, and the government
intended to negotiate on the company's future and a financial
bailout package with the new city municipality, MTI disclosed.

BKV is Budapest's public transport company.


=============
I C E L A N D
=============


LANDSBANKI ISLANDS: Bondholders May Lose 94% of Investment
----------------------------------------------------------
Omar R. Valdimarsson at Bloomberg News reports that bondholders
in Landsbanki Islands hf face a 94% loss on their investments
even after the failed Icelandic lender divested a number of
assets at higher prices than those first estimated.

"General claimants will receive about 6% of what they're owed,"
said Bloomberg quotes Pall Benediktsson, a spokesman for
Landsbanki, as saying in a phone interview in Reykjavik.
Mr. Benediktsson said that the estimate takes into account last
week's sale of Iceland Foods Ltd., in which Landsbanki held 67%,
Bloomberg notes.

Mr. Benediktsson said that the bank's first goal is to use the
proceeds of its estate to cover priority claims, namely U.K. and
Dutch deposits, Bloomberg relates.  Bank bondholders, who have
been trying to get their money back since Iceland's 2008
financial collapse, face further hurdles after parliament on
Tuesday passed a bill preventing them being repaid in foreign
currencies, Bloomberg discloses.  The process of deciding who
gets what is far from complete, Bloomberg states.

"There's still too much uncertainty," Mr. Benediktsson, as cited
by Bloomberg, said.  "We don't know what the value of the finally
accepted claims is."

Landsbanki said that it had ISK6.13 trillion (US$48 billion) of
claims lodged against it, in a report published last week,
according to Bloomberg.  Of those, it has accepted ISK2.98
trillion, rejected ISK3.14 trillion and "finally rejected" claims
amounting ISK152 billion, Bloomberg discloses.  It said that of
the claims rejected, ISK212 billion are in dispute, Bloomberg
notes.

                     About Landsbanki Islands

Landsbanki Islands hf, also commonly known as Landsbankinn in
Iceland, is an Icelandic bank.  The bank offered online savings
accounts under the "Icesave" brand.  On October 7, 2008, the
Icelandic Financial Supervisory Authority took control of
Landsbanki and two other major banks.

Landsbanki filed for Chapter 15 protection on Dec. 9, 2008
(Bankr. S.D. N.Y. Case No.: 08-14921).  Gary S. Lee, Esq., at
Morrison & Foerster LLP, represents the Debtor.  When it filed
for protection from its creditors, it listed assets and debts of
more than US$1 billion each.


* ICELAND: Seeks Capital Controls for Failed Banks' Creditors
-------------------------------------------------------------
Omar R. Valdimarsson at Bloomberg News reports that Iceland's
parliament tightened capital controls for creditors of Kaupthing
Bank hf, Glitnir Bank hf, and Landsbanki Islands hf in an effort
to maintain krona stability as it emerges from its economic
collapse.

The government introduced the bill on Monday night and asked
lawmakers to pass before markets opened on Tuesday, Bloomberg
relates.  The legislation is designed to better phase in the
government's multiyear plan to remove controls propping up the
krona, Bloomberg notes.

The law prevents the liquidators of the three failed banks from
paying the lenders' creditors in foreign currencies and blocks
the owners of Icelandic bonds from transferring annuity and
interest payments into other currencies and then transfer
payments out of the country, Bloomberg discloses.

The bill will allow the central bank "to impose rules that would
allow payments to creditors that conform with stability,"
Bloomberg quotes the bill posted on the Reykjavik-based
parliament's Web site as saying.  "In addition to preventing the
possible instability in the foreign-exchange market, the changes
to the foreign-exchange act proposed in the bill will level the
position of parties in regards to the capital controls and
prevent unnatural profits" gained by circumventing the law.


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I R E L A N D
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CELTIC RESIDENTIAL: Moody's Cuts Ratings on 4 Note Classes to Ca
----------------------------------------------------------------
Moody's Investors Service has downgraded all the ratings of Irish
residential mortgage-backed securities (RMBS) notes issued by
CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NOs 9 and 10 PLC
(Celtic 9 and 10) and downgraded the ratings of 5 RMBS notes
issued by CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO 11
(Celtic 11) due to weak, deteriorating performance. Also Moody's
has confirmed the ratings of Classes A2a and A2b in Celtic 11.
This rating action concludes the review for downgrade initiated
by Moody's on December 7, 2011.

Ratings Rationale

The rating action reflects (i) the transactions' ongoing rapid
deterioration in performance; (ii) Moody's negative outlook for
the Irish RMBS sector; (iii) the credit quality of key parties to
the transaction; and (iv) structural features in place, such as
the amount of available credit enhancement.

KEY COLLATERAL ASSUMPTIONS REVISED

Celtic 9, 10 and 11 are performing worse than Moody's
expectations as of the latest review in July 2011. As of January
2012, loans 90+ days in arrears have increased to 15.0% of the
current balance in Celtic 9, 15.2% in Celtic 10 and 7.6% in
Celtic 11, which constitutes an approximate 20%-40% increase
compared with June 2011 levels. Cumulative losses realised since
closing remain negligible at 0.02% or less of the original pool
balance in each deal. Moody's notes that loss realisation is slow
for Irish RMBS given the lengthy enforcement procedures in
Ireland and moratorium imposed. As a result, Moody's considers
loans with 360+ day delinquencies as a proxy for defaults. As of
February 2012, the 360+ day delinquencies in the transactions had
increased by 30%-45% compared with June 2011, reaching 5.7% of
the outstanding pool balance in Celtic 9, 5.3% in Celtic 10 and
2.2% in Celtic 11.

Moody's expects that rising unemployment and falling incomes,
which stem from the austerity measures in Ireland, will continue
to hurt borrowers' ability to fulfil their financial obligations.
In addition to high arrears, loss severity will be high as a
result of housing oversupply, a lack of refinancing and a further
decline in house prices, which Moody's expects will be equal to
an approximate 60% decline from peak--to-trough in the base case
scenario. As a result, Moody's increased its portfolio expected
loss assumptions in December 2011 to 5.5% of the current pool
balance for Celtic 11, 7% for Celtic 9 and 8% for Celtic 10,
which corresponds to 3.6% of the original pool balance for Celtic
9 and 11, and to 4.8% of the original balance for Celtic 10.

During the review, Moody's re-assessed updated loan-by-loan
information and increased its MILAN CE assumptions to 22% in
Celtic 11 and 27% in both Celtic 9 and 10.

Moody's confirmed the A1 ratings on Celtic 11's class A2a and A2b
notes on the back of their very short remaining life, available
credit enhancement and the credit quality of Ulster Bank Ireland
Limited (Baa1 on review for possible downgrade/P-2), servicer and
cash manager in the transaction. Given recently observed
redemption rates, Moody's expects that these classes will be
fully redeemed within the next two to three quarters.

FACTORS AND SENSITIVITY ANALYSIS

Moody's expected loss assumptions remain subject to uncertainties
with regard to general economic activity, interest rates and
house prices. Lower-than-assumed realised recovery rates or
higher-than-assumed default rates would negatively affect these
transactions' ratings.

The new Irish personal insolvency legislation proposed in January
would have a negative impact on the notes' ratings if it leads to
a write down of the mortgage debt supporting the notes (see
Moody's special comment "Proposed Irish Legislation Opens Door To
Widespread Debt Forgiveness" published on 8 February 2012).

As the euro area crisis continues, the notes' ratings remain
exposed to the uncertainties of credit conditions in the general
economy. The euro area sovereigns' deteriorating
creditworthiness, as well as the weakening credit profile of the
global banking sector could negatively impact the notes' ratings.

Principal Methodology

The principal methodology used in this rating was "Moody's
Approach to Rating RMBS in Europe, Middle East, and Africa",
published in October 2009.

In reviewing these transactions, Moody's used ABSROM to model the
cash flows and determine the loss for each rated tranche. The
cash flow model evaluates all default scenarios, which are then
weighted considering the probabilities of the lognormal
distribution assumed for the portfolio default rate. In each
default scenario, the corresponding loss for each class of notes
is calculated given the incoming cash flows from the assets and
the outgoing payments to third parties and noteholders.
Therefore, the expected loss for each tranche is the sum product
of the probability of each default scenario and the loss derived
from the cash flow model in each default scenario for each
tranche.

As such, Moody's analysis encompasses the assessment of stressed
scenarios.

LIST OF AFFECTED RATINGS

Issuer: Celtic Residential Irish Mortgage Securitisation No.9 Plc

    EUR1067.5M A2 Notes, Downgraded to Ba2 (sf); previously on
    Dec 7, 2011 Baa1 (sf) Placed Under Review for Possible
    Downgrade

    EUR70M B Notes, Downgraded to Ca (sf); previously on
    Dec 7, 2011 Caa2 (sf) Placed Under Review for Possible
    Downgrade

Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURISATION NO. 10 PLC

    EUR1253M A2 Notes, Downgraded to Ba3 (sf); previously on
    Dec 7, 2011 Baa2 (sf) Placed Under Review for Possible
    Downgrade

    EUR89.5M B Notes, Downgraded to Ca (sf); previously on Dec 7,
    2011 Caa2 (sf) Placed Under Review for Possible Downgrade

Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURISATION NO. 11 PLC

    EUR385M A2a Notes, Confirmed at A1 (sf); previously on Dec 7,
    2011 A1 (sf) Placed Under Review for Possible Downgrade

    US$328M A2b Notes, Confirmed at A1 (sf); previously on Dec 7,
    2011 A1 (sf) Placed Under Review for Possible Downgrade

    EUR1388.8M A3a Notes, Downgraded to Ba1 (sf); previously on
    Dec 7, 2011 A3 (sf) Placed Under Review for Possible
    Downgrade

    GBP586M A3c Notes, Downgraded to Ba1 (sf); previously on
    Dec 7, 2011 A3 (sf) Placed Under Review for Possible
    Downgrade

    EUR77M Ba Notes, Downgraded to Caa1 (sf); previously on
    Dec 7, 2011 Ba3 (sf) Placed Under Review for Possible
    Downgrade

    EUR147.4M Ca Notes, Downgraded to Ca (sf); previously on
    Dec 7, 2011 Caa2 (sf) Placed Under Review for Possible
    Downgrade

    GBP17.5M Cc Notes, Downgraded to Ca (sf); previously on
    Dec 7, 2011 Caa2 (sf) Placed Under Review for Possible
    Downgrade


===================
L U X E M B O U R G
===================


DEXIA FUNDING: Moody's Downgrades Hybrid Tier 1 Securities to 'C'
-----------------------------------------------------------------
Moody's Investors Service has downgraded to C (hyb) from Ca (hyb)
the ratings of the 4.892% perpetual non-cumulative securities
issued by Dexia Funding Luxembourg (DFL's hybrid Tier 1) and the
4.3% undated deeply subordinated notes issued by Dexia Credit
Local (DCL's hybrid Tier 1). These actions follow the public
tender offers for DFL's hybrid Tier 1 by Dexia Bank Belgium
("DBB", A3 on review uncertain; Prime-1 on review down; D/Ba2 on
review uncertain) and DCL's hybrid Tier 1 by Dexia Credit Local
("DCL", Baa1 on review down; Prime-2 on review down; E+/B2 on
review down) announced on February 20, 2012 and March 2, 2012
respectively, and which Moody's considers as impairment
distressed exchanges based on Moody's definitions.

Ratings Rationale

The downgrade of DFL and DCL's hybrid Tier 1 securities was
driven by Moody's view that the February 20, 2012 and March 2,
2012 tender offers result in further impairments to the position
of the holders of the respective securities to the extent that
the terms of the transactions reflect the very high probability
of durable coupon payment omissions on both hybrids, were the
investors to continue to hold them.

Due to the ongoing restructuring of Dexia Group and the state aid
it continues to receive in the form of shareholders' support and
guaranteed debt, Moody's believes that the risk of a continued
ban by the EU Commission on dividend payment by both Dexia S.A.
and DCL is likely to remain very high for a prolonged period of
time. This would likely result in very high probability of
suspension of preferred coupons on both the hybrid Tier 1
security of DFL, the issuing vehicle of Dexia S.A., and the
hybrid Tier 1 security of DCL. The resulting impairment was
reflected to a certain degree in the Ca (hyb) ratings previously
assigned on an expected-loss basis to both securities.
Nevertheless, the tender offers of February 20, 2012 and
March 2, 2012 imply a loss of at least 75% on both securities,
which is more consistent with a rating of C. Moody's considers
these as impairment distressed exchanges, as the tender offers
have the effect of allowing the obligors to avoid a
contractually-allowable payment omission.

Key Ratings Sensitivities

DFL and DCL's hybrid Tier 1 securities could be upgraded if
Moody's expected loss assumption reduces as a result of a
resumption of coupon payments, although Moody's views this
scenario as highly unlikely.

Principal Methodologies

The principal methodology used in this rating was Moody's
Guidelines for Rating Bank Hybrid Securities and Subordinated
Debt published in November 2009.

Other Factors used in this rating are described in Moody's
Approach to Evaluating Distressed Exchanges published in March
2009.


=====================
N E T H E R L A N D S
=====================


CONTEGO CLO: S&P Raises Rating on Class E Notes From 'CCC'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its credit ratings on
Contego CLO I B.V.'s class B, C, D, and E notes. "At the same
time, we affirmed our ratings on the variable-funding notes, and
on the class A-1-a and F notes," S&P said.

Contego CLO I is a cash flow collateralized loan obligation (CLO)
transaction that closed in July 2007. The portfolio of loans to
primarily speculative-grade European corporate firms is managed
by NM Rothschild & Sons Ltd.

"The rating actions follow our credit and cash flow analysis of
the transaction since our previous review in June 2010," S&P
said.

Ratings Details
                               Notional
                       Current    as of             OC as of
      Rating   Rating notional Jun.2010     Current Jun.2010
      to       from    (m.EUR)  (m.EUR) DEF  OC (%)      (%)
VFN   AA(sf)   AA(sf)    62.61    61.88   N   32.61    31.39
A-1-a AA(sf)   AA(sf)   116.43   120.00   N   32.61    31.39
B     A+(sf)   A-(sf)    21.75    21.75   Y   24.43    23.19
C     BBB+(sf) BB+(sf)   18.15    18.15   Y   17.60    16.34
D     BB+(sf)  B+(sf)    20.55    20.55   Y    9.86     8.59
E     B+(sf)   CCC(sf)   11.75    11.75   Y    5.44     4.16
F     CCC-(sf) CCC-(sf)   4.00     4.15   Y    3.93     2.59
Sub   NR       NR        28.80    28.80  NA    0.00     0.00

VFN -- Variable-funding notes.
Sub -- Subordinated notes.
NR -- Not rated.
DEF -- Deferrable interest.
NA -- Not applicable.
OC -- Overcollateralization = (performing assets balance + cash
      balance + recovery on defaulted assets - tranche balance
      [including tranche balance of all senior tranches]) /
      (performing assets balance + cash balance + recovery on
      defaulted obligations).

"We have converted GBP and USD amounts to EUR at the applicable
spot rates," S&P said.

Since S&P's review in June 2010, S&P believes that the
transaction has benefited from:

* "Positive ratings migration of the performing assets in the
   portfolio: Our analysis indicates that the proportion of
   assets rated in the 'CCC' category (i.e., 'CCC+', 'CCC', or
   'CCC-') has decreased to 4.63% from 5.63%," S&P said.

* "A reduction in our expected portfolio weighted-average life
   to 4.28 years from 5.40 years," S&P said.

* An increase in the performing portfolio weighted-average
   spread to 3.27%, from 2.92% in April 2010.

"We subjected the rated notes to various cash flow scenarios
incorporating different default patterns, as well as exchange
rate and interest rate curves, to determine each tranche's break-
even default rate at each rating level," S&P said.

Key Model Assumptions
                                                  As of
                                      Current  Jun.2010
Collateral balance (mil. EUR)          265.69    265.10
Weighted-average spread (%)              3.27      2.92
'AAA' WARR (%)                             42        43
'AA' WARR (%)                              47        48
'A' WARR (%)                               51        52
'BBB' WARR (%)                             55        56
'BB' WARR (%)                              65        66
'B'/'CCC' WARR (%)                         69        69
Modeled weighted-average life (years)    4.28      5.40
Senior overcollateralization ratio (%) 146.92    140.71

Collateral balance = performing assets balance + cash balance +
recovery on defaulted assets. "We have converted GBP and USD
amounts to EUR at the applicable spot rates. WARR--Weighted-
average recovery rate," S&P said.

"The Royal Bank of Scotland PLC (A/Stable/A-1) is the currency
option counterparty. We have reviewed the downgrade provisions in
the transaction documentation, and, in our opinion, they do not
comply with our 2010 counterparty criteria. Therefore, for the
variable-funding notes and the class A-1-a notes, we conducted
our cash flow analysis assuming nonperformance of the currency
option counterparty," S&P said.

"Our rating on the class F notes was constrained by the
application of the largest obligor default test, a supplemental
stress test we introduced as part of our criteria update. None of
the ratings was affected by the largest industry default test,
another of our supplemental stress tests," S&P said.

"In view of the developments, and as a result of our credit and
cash flow analysis, we consider that the credit enhancement
available to the class B, C, D, and E notes is now commensurate
with higher ratings than we previously assigned. We have
therefore raised our ratings on these classes of notes," S&P
said.

"Our credit and cash flow analysis indicates that the credit
enhancement available to the variable-funding notes, and to the
class A-1-a and F notes, remains commensurate with our current
ratings on these classes of notes, and we have affirmed them
accordingly.

             Standard & Poor's 17g-7 Disclosure Report

SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.

If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:

         http://standardandpoorsdisclosure-17g7.com

Ratings List

Class               Rating
            To                  From

Contego CLO I B.V.
EUR300 Million Senior Secured and Deferrable Floating-Rate Notes

Ratings Raised

B           A+ (sf)             A- (sf)
C           BBB+ (sf)           BB+ (sf)
D           BB+ (sf)            B+ (sf)
E           B+ (sf)             CCC (sf)

Ratings Affirmed

VFN         AA (sf)
A-1-a       AA (sf)
F           CCC- (sf)


GRESHAM CAPITAL: Fitch Affirms Rating on Class E Notes at 'Bsf'
---------------------------------------------------------------
Fitch Ratings has affirmed Gresham Capital CLO IV B.V.'s notes,
as follows:

  -- EUR53.9m Class A1A VFN (no ISIN): affirmed at 'AAAsf';
     Outlook Stable

  -- EUR67.9m Class A1B (ISIN XS0300109146): affirmed at 'AAAsf';
     Outlook Stable

  -- EUR48.8m Class A2 (ISIN XS0300109658): affirmed at 'AAAsf';
     Outlook Stable

  -- EUR24.1m Class B (ISIN XS0300110078): affirmed at 'AAsf';
     Outlook Stable

  -- EUR21.9m Class C (ISIN XS0300111639): affirmed at 'Asf';
     Outlook Negative

  -- EUR22.0m Class D (ISIN XS0300112017): affirmed at 'BBsf';
     Outlook Negative

  -- EUR11.6m Class E (ISIN XS0300112363): affirmed at 'Bsf';
     Outlook Negative

The affirmation reflects the stable performance of the portfolio.
The reported 'CCC' and below bucket currently stands at 16.7% of
performing collateral, up from 15.3% at the last review in April
2011.  There have been no defaults in the portfolio since April
2011.

The class A2, B, and C over-collateralization (OC) tests are
currently passing. While the two most senior OC tests have never
been breached, the mezzanine and junior OC tests failed in late
2009 and the shortfall has not reduced significantly since then.
The class A2 interest coverage (IC) test has always been in
compliance, albeit with volatile test results.

The Negative Outlooks on the mezzanine and junior notes reflect
their vulnerability to a clustering of defaults and negative
rating migration in the European leveraged loan market due to the
approaching refinancing wall.

Gresham Capital CLO IV B.V. is a securitization of mainly senior
secured loans, senior unsecured loans, second-lien loans,
mezzanine loans (including revolvers) and CLOs.  At closing a
total note issuance of EUR310.4 million was used to invest in a
target portfolio of EUR300 million.  The portfolio is actively
managed by Investec Bank plc.


===========
N O R W A Y
===========


NORSKE SKOGINDUSTRIER: S&P Affirms 'B-/B' Corp. Credit Ratings
--------------------------------------------------------------
Standard & Poor's Ratings Services revised its outlook on Norway-
based forest product group Norske Skogindustrier ASA (Norske
Skog) to stable from negative. "At the same time, we affirmed the
'B-' long-term and 'B' short-term corporate credit ratings on the
group," S&P said.

"The outlook revision reflects Norske Skog's improved liquidity
position, following a reset of its financial covenants at the end
of 2011, as well as positive free operating cash flow generation
in the fourth quarter of the year. It also reflects our
assumption of improved operating performance in 2012 compared
with 2011," S&P said.

"Our current base-case forecast assumes rather flat volumes and
selling prices, and input costs which on average are slightly
lower than in 2011. We believe that this will translate into
full-year EBITDA of Norwegian krone (NOK) 1.7 billion-NOK1.8
billion. This would be considerably better than 2011, when EBITDA
was negatively affected by a fire at one of the group's mills as
well as restructuring charges. We still see material downside
risks to our base case, however, primarily relating to exchange
rate fluctuations, macroeconomic pressures on demand and selling
prices, and input cost volatility. Free operating cash flow in
our base case amounts to about NOK300 million for 2012. This also
factors in capital expenditures of about NOK500 million, as well
as substantial cash restructuring charges compensated to an
extent by a corresponding release of working capital. We forecast
adjusted funds from operations of about 10%, a level which we
believe is commensurate with the ratings," S&P said.

"The ratings continue to reflect the oversupplied, cyclical, and
structurally impaired nature of the publication-paper industry,
severe pressure on input costs, and the group's weak credit
measures. These constraints are only partly counterbalanced by
Norske Skog's good positions in the global newsprint markets,
paper selling price momentum, and an improved liquidity profile.
We view the group's business risk profile as weak and its
financial risk profile as highly leveraged. As of Dec. 31, 2011,
Norske Skog's adjusted debt amounted to an estimated NOK9
billion," S&P said.

"The stable outlook reflects our assumption that Norske Skog can
maintain or improve its liquidity position over the near term,
supported by positive free operating cash flow generation," S&P
said.


===============
P O R T U G A L
===============


BANCO BPI: S&P Cuts Public-Sector Covered Bond Rating to 'BB-'
--------------------------------------------------------------
Standard & Poor's Ratings Services took various credit rating
actions on Banco BPI S.A.'s (BB-/Negative/B) mortgage and public-
sector covered bond programs and related series of covered bonds
issued under them. Specifically, S&P:

* Affirmed and removed from CreditWatch negative its 'A-'
   ratings on Banco BPI's mortgage covered bond program and
   related series ('obrigacoes hipotecarias');

* Lowered to 'BB-' from 'BB+' and removed from CreditWatch
   negative its ratings on Banco BPI's public-sector covered bond
   program and related series ('obrigacoes sobre o sector
   p£blico'); and

* Assigned negative outlooks to the ratings on Banco BPI's
   mortgage and public-sector covered bonds.

"The rating actions follow the Feb. 14, 2012 downgrade of our
long-term counterparty rating on Banco BPI to 'BB-' from 'BB+',"
S&P said.

"On Dec. 15, 2011, we placed on CreditWatch negative our ratings
on Banco BPI's mortgage covered bond program and related series
following the CreditWatch negative placement of our ratings on 15
European Economic and Monetary Union (EMU or eurozone) members on
Dec. 5, as well as the CreditWatch negative placement of the
rating on the issuer," S&P said.

"On Jan. 31, 2012, we lowered our ratings on Banco BPI's mortgage
and public-sector covered bond programs and related series to
reflect the changed sovereign ratings following the lowering of
our ratings on the Republic of Portugal on Jan. 13. We kept our
ratings on the covered bond program and related series on
CreditWatch negative due to the CreditWatch placement of the
issuer credit rating (ICR) on the bank," S&P said.

                Credit And Cash Flow Analysis

                   Mortgage Covered Bonds

"We have applied our five-step approach for rating covered bonds
to evaluate the maximum potential covered bonds ratings uplift
for the mortgage covered bonds. In step 1 of our rating approach,
we used our assessment of the program's asset-liability mismatch
(ALMM) risk to determine an ALMM classification of 'low'. In step
2, we categorized Banco BPI's mortgage covered bonds in category
'2'. This combination enables us to assign to the covered bonds a
maximum potential ratings uplift of six notches above our long-
term rating on Banco BPI (step 3)," S&P said.

"In step 4 of our analysis, we analyzed the credit and market
risks, to determine the target credit enhancement that we
consider to be commensurate with the maximum potential uplift
that we determined in step 3," S&P said.

"Due to our Jan. 13 downgrade of of Portugal, we have increased
our assumption for the assumed weighted-average foreclosure
frequency (WAFF) in the cover pool and have increased our
assumption for the program's refinancing spread," S&P said.

                    Higher Waff Assumption

"When rating a covered bond program above the foreign currency
rating on the sovereign in which the assets are located, our
premise is that the covered bonds would continue to perform in a
stress scenario where the government has defaulted on its
obligations," S&P said.

"While we believe that this would be the case for covered bond
programs backed by Portuguese mortgage assets that we rate, we
also consider that risks affecting these transactions have
increased materially due to heightened country risk, which, in
part, is reflected in the 'BB/Negative' long-term rating on the
Republic of Portugal. As a result, the likelihood that these
transactions could experience an unusually large adverse change
in credit quality has also increased, in our view," S&P said.

"In our opinion, the economic recession and rising unemployment
associated with increased country risk may negatively affect the
willingness and ability of obligors to repay their debts, with
transactions experiencing higher defaults and delinquencies and
ultimately decreased cash flow. To absorb this increased credit
risk, we believe that cover bonds should be able to withstand
losses that would be at least 1.3 times the initial loss
expectations for our rating scenario. We have based these
adjustments on historically observed data from transactions that
have experienced similar sovereign-stressed environments. The
application of these assumptions may be revised from time to time
as future actual performance is observed. These increased loss
assumptions would apply to the ratings on any outstanding covered
bonds, as well as to the ratings on any new covered bonds backed
by Portuguese mortgage assets," S&P said.

As a result of this adjustment, the WAFF in Banco BPI's mortgage
covered bond program's cover pool has increased to 15.80% from
12.15%.

               Higher Refinancing Spread Assumption

"We model market value risk in terms of a 'spread shock'. Here,
we calculate the net present value of the projected cash flows of
the assets using a discount rate, which we base on the target
asset spreads over the relevant funding rate, e.g., Euro
Interbank Offered Rate (EURIBOR). We derive these target asset
spreads based, in part, on the widest observed spread for
securitizations or issuances of similar assets," S&P said.

"The application of the target asset spreads results in a reduced
asset value, which we use as an input in our cash flow analysis
to calculate the likely proceeds the issuer would receive if it
borrows from a third party or sells assets," S&P said.

"Our spread assumptions are specific to jurisdiction and cover
pool assets, and we update these assumptions on a regular basis
to respond to fundamental changes in market conditions. Due to
the heightened observed spreads in Portuguese mortgage-backed
assets, we have increased our target asset spread to 1,000 basis
points (bps) from 700 bps," S&P said.

                         Rating Actions

"Both changes to our assumptions have led to an increase in the
target credit enhancement needed to support the maximum uplift
for the covered bond ratings. As the available credit enhancement
(46.33%) in Banco BPI's mortgage covered bond program is above
the target credit enhancement (45.80%) and thus commensurate with
all six notches of uplift above the ICR, we have affirmed our 'A-
' ratings on the mortgage covered bond program and related
series. We have also removed from CreditWatch negative our
ratings on these covered bonds because the ICR is no longer on
CreditWatch negative," S&P said.

                           EMU Criteria

"We have also applied our criteria for rating nonsovereign
issuers and structured finance transactions--including covered
bonds--above the rating on the related sovereign in the eurozone
('EMU criteria') when determining the credit rating on the
covered bonds. Our EMU criteria determine the maximum rating
differential between sovereign and covered bond ratings based on
the sovereign rating level and the covered bond program's
country-risk exposure. This assessment caps any potential further
uplift typically available under our criteria for rating covered
bonds," S&P said.

"Under our EMU criteria, a mortgage covered bond program that has
what we consider to be a 'low' country-risk exposure would
typically achieve a maximum uplift of six notches above the
investment-grade rating on the country in which the cover pool
assets are located. If the sovereign rating is in the
speculative-grade category, the maximum uplift is five notches.
As our long-term rating on Portugal is currently 'BB', our EMU
criteria constrain our ratings on Banco BPI's mortgage covered
bond program and related series at a long-term rating of 'A-',"
S&P said.

                  Public-Sector Covered Bonds

"Under our EMU criteria, we consider that public-sector covered
bonds have a 'high' sensitivity to sovereign risk. A covered bond
program that has what we consider to be a 'high' country-risk
exposure would typically only achieve a one-notch uplift above
the rating on the country in which the cover pool assets are
located. Based on these criteria, our maximum potential rating on
Banco BPI's public-sector covered bond program is currently
capped at 'BB+'--two notches above our long-term rating on Banco
BPI," S&P said.

"Based on our most recent analysis of the program's credit
quality and cash flow structure (as of December 2011), the
program's available credit enhancement is not able to cover the
asset default risk, and the program is therefore not able to
achieve the first notch of uplift under our ALMM criteria for
rating covered bonds," S&P said.

"On Jan. 13, 2012 we lowered our long-term credit rating on the
Portuguese sovereign to the non-investment grade category and now
assume a 30%-50% recovery on Portuguese sovereign assets in the
case of a default," S&P said.

Banco BPI's public-sector covered bonds are exposed solely to
Portuguese public-sector entities. Additionally, the underlying
public-sector loans rely on sovereign system support and transfer
payments from the Portuguese government.

"Given the current speculative-grade ratings or credit estimates
assigned to the cover pool assets and the high concentration
within the cover pool, our modeling would assume that the issuer
and the sovereign would default. The program would therefore need
to be able to support a scenario default rate of 100% with an
assumed recovery for principal and interest of 40%," S&P said.

                        Rating Actions

"Due to the high asset default rate together with our low
recovery assumption, the program's available credit enhancement
(66.14%) remains below the level which we view to be commensurate
with the first notch of uplift (71.64%) from the ICR ('BB-'),"
S&P said.

"Therefore, following our downgrade of Banco BPI, we have lowered
to 'BB-' from 'BB+' and removed from CreditWatch negative our
ratings on Banco BPI's public-sector covered bond program and
related series," S&P said.

                          Outlook

"We have assigned negative outlooks to the ratings on Banco BPI's
mortgage and public-sector covered bonds as all else being equal,
any future downgrade of Banco BPI would automatically lead to a
downgrade of the covered bond programs and related series. The
negative outlooks reflect the negative outlook for both the ICR
and the sovereign rating on Portugal," S&P said.

          Potential Effects of Proposed Criteria Changes

"We have taken the rating actions on these covered bonds based on
our criteria for rating covered bonds. The assumptions and
methodologies used in the credit and cash flow analysis are
currently under review. The scope of our review of the
analysis of public-sector assets may include our default rate
stresses, correlation assumptions, recovery levels, model risk,
concentration limits, and credit enhancement levels. Further, as
part of our cash flow analysis, we used Standard & Poor's Covered
Bond Monitor to calculate the target credit enhancement for the
covered bonds. The assumptions and methodologies used in this
cash flow analysis are also under review," S&P said.

"This review may result in further changes to the criteria. As a
result, our future assumptions and methodologies used in our
Covered Bond Monitor model may differ from our current criteria.
The criteria change may affect the ratings on all outstanding
covered bonds in this program. Until such time that we adopt new
criteria for rating covered bonds, we will continue to rate and
surveil these covered bonds using our existing criteria," S&P
said.

Ratings List
                     Rating
Program/      To                From
Country: Covered bond type

Ratings Affirmed and Removed From CreditWatch Negative;
Negative Outlook Assigned

Banco BPI S.A.
              A-/Negative       A-/Watch Neg
Portugal: Mortgage Covered Bonds (Obrigacoes Hipotecarias)

Ratings Lowered and Removed From CreditWatch Negative;
Negative Outlook Assigned

Banco BPI S.A.
              BB-/Negative      BB+/Watch Neg
Portugal: Public-Sector Covered Bonds (Obrigacoes Sobre
O Sector Publico)


===========
R U S S I A
===========


BANK VTB: Moody's Issues Summary Credit Opinion
-----------------------------------------------
Moody's Investors Service issued a summary credit opinion on Bank
VTB, JSC and includes certain regulatory disclosures regarding
its ratings.  The release does not constitute any change in
Moody's ratings or rating rationale for Bank VTB, JSC and its
affiliates.

Moody's current ratings on Bank VTB, JSC and its affiliates are:

Senior Unsecured (domestic and foreign currency) ratings of Baa1

Senior Unsecured MTN Program (foreign currency) ratings of
(P)Baa1

Senior Unsecured Bank Credit Facility (domestic currency) ratings
of Baa1

Long Term Bank Deposits (domestic and foreign currency) ratings
of Baa1

Bank Financial Strength ratings of D-

Subordinate MTN Program (foreign currency) ratings of (P)Baa2

Short Term Bank Deposits (domestic and foreign currency) ratings
of P-2

Other Short Term (foreign currency) ratings of (P)P-2

BACKED Senior Unsecured (foreign currency) ratings of Baa1

BACKED Senior Unsecured MTN program (foreign currency) ratings of
(P)Baa1

VTB Capital S.A.

Senior Secured (foreign currency) ratings of Baa1

Senior Unsecured (foreign currency) ratings of Baa1

Bank VTB North-West

BACKED Subordinate (foreign currency) ratings of Baa2

Ratings Rationale

Moody's assigns a D- standalone bank financial strength rating
(BFSR) to VTB Bank, JSC (VTB), mapping to Ba3 on the long-term
scale. The BFSR is constrained by the bank's relatively weak
asset quality (as compared to global peers at this rating level),
its high single-party and industry concentrations in loans, and
its significant reliance on market and government funding.

VTB's standalone credit strength is supported by the bank's
position as Russia's second largest bank in terms of assets,
deposits and capital, with 10%-15% market shares in corporate,
investment and retail banking.

In line with Moody's Joint Default Analysis (JDA), Moody's
classifies VTB as fully supported by the Russian government. This
support is justified by the government's controlling stake in VTB
and the bank's key position in Russia, particularly in retail
deposits. As a result, VTB's Baa1 debt and deposit ratings
benefit from a five-notch uplift from its Ba3 standalone credit
strength.

Rating Outlook

On July 8, 2011, Moody's revised the outlook on VTB's ratings to
negative from stable. The negative outlook on VTB's standalone D-
BFSR reflects the risk that the bank's capitalization could
weaken as a result of the consolidation of Bank of Moscow, a
financially stressed institution which required extraordinary
support from the Central Bank of Russia (CBR).

What Could Change the Rating - Up

The D- BFSR has a negative outlook, and hence a low probability
of being upgraded. In order to improve its intrinsic financial
strength, VTB has to sort out its balance sheet weaknesses,
particularly its core capitalization, asset quality, single-party
concentrations, and funding profile. VTB's creditworthiness would
also benefit from improvements in risk management and a lower
risk appetite for large transactions. In order to revise the
outlook to stable from negative, Moody's would need to see, among
other improvements, a low impact on VTB's capitalization
following the planned consolidation on BOM. The foreign currency
deposit and debt ratings are on negative outlook, and hence
unlikely to be upgraded.

What Could Change the Rating - Down

Downward pressure on the BFSR could stem from a material
weakening of VTB's capitalization, asset quality and/or
liquidity.

The deposit and debt ratings could be downgraded if Moody's were
to lower the probability of external support from the Russian
government, or if the bank's BFSR was to be downgraded to E+. The
Russian government in early 2011 announced its plans to decrease
its stake in VTB to 50%+1 share from around 76% till the end of
2013. If and when the Russian government's stake in VTB goes
below 50%, Moody's is likely to downgrade VTB's supported ratings
due to lower systemic support assumptions.

The methodologies used in these ratings were Bank Financial
Strength Ratings: Global Methodology published in February 2007,
Incorporation of Joint-Default into Moody's Bank Ratings: A
Refined Methodology published in March 2007, and Mapping Moody's
National Scale Ratings to Global Scale Ratings published in
August 2010.


=========
S P A I N
=========


SANTANDER EMPRESAS 11: Moody's Rates Serie C Notes at 'Ca(sf)'
--------------------------------------------------------------
Moody's Investors Service has assigned the following definitive
ratings to the debt to be issued by FTA SANTANDER EMPRESAS 11
(the Fondo):

    EUR2,120.0M Serie A notes, Assigned Aa2 (sf)

    EUR530.0M Serie B notes, Assigned B1 (sf)

    EUR742.0M Serie C notes, Assigned Ca (sf)

FTA SANTANDER EMPRESAS 11 is a securitization of standard loans
and credit lines mainly granted by Banco Santander (Aa3 Possible
Downgrade /P-1) to corporate and small and medium-sized
enterprise (SME).

At closing, the Fondo -- a newly formed limited-liability entity
incorporated under the laws of Spain -- will issue three series
of rated notes. Santander will act as servicer of the loans and
credit lines for the Fondo, while Santander de Titulizacion
S.G.F.T., S.A. will be the management company (Gestora) of the
Fondo.

Ratings Rationale

As of February 2012, the provisional asset pool of underlying
assets was composed of a portfolio of almost 9,800 contracts
granted to companies in Spain. In terms of outstanding amounts,
around 34% corresponds to standard loans and 66% to credit lines.
The assets were originated mainly between 2008 and 2011. The
weighted-average seasoning is 0.91 years for the loans sub-pool
and 1.15 years for the credit-lines sub-pool, while the weighted-
average remaining terms for these pools are 5.0 years and 1.4
years, respectively. Around 5% of the portfolio is secured by
first-lien mortgage guarantees. Geographically, the pool is
concentrated mostly in Madrid (45%), Catalonia (21%) and
Andalusia (10%). At closing, there will be no loans more than 30
days in arrears.

In Moody's view, the strong credit positive features of this deal
include, among others: (i) a relatively short weighted average
life of 2.0 years; and (ii) a swap agreement guaranteeing an
excess spread of 1.0%. However, the transaction has several
challenging features: (i) a very low portfolio granularity
(effective number of obligors below 40); (ii) a high exposure to
the construction and building industry sector (34.6% according to
Moody's industry classification) and specifically to Real Estate
Developers (almost 20%); (iii) a low percentage of assets secured
by a first-lien mortgage guarantee (4.8%); and (iv) a complex
mechanism that allows the Fondo to compensate (daily) the
increase on the disposed amount of certain credit lines with the
decrease of the disposed amount from other lines, and/or the
amortization of the standard loans. These characteristics were
reflected in Moody's analysis and definitive ratings, where
several simulations tested the available credit enhancement and
28% reserve fund to cover potential shortfalls in interest or
principal envisioned in the transaction structure.

The ratings are primarily based on the credit quality of the
portfolio, its diversity, the structural features of the
transaction and its legal integrity.

In its quantitative assessment, Moody's assumed a mean default
rate of 21.7%, with a coefficient of variation of 48.3% and a
recovery rate of 35.0%. Moody's also tested other set of
assumptions under its Parameter Sensitivities analysis. For
instance, if the assumed default probability of 21.7% used in
determining the initial rating was changed to 26.6% and the
recovery rate of 35% was changed to 25%, the model-indicated
rating for Serie A, Serie B and Serie C of Aa2(sf), B1(sf) and
Ca(sf) would have changed to A1(sf), B3(sf) and Ca(sf)
respectively.

The global V Score for this transaction is Medium/High, which is
in line with the score assigned for the Spanish SME sector and
representative of the volatility and uncertainty in the Spanish
SME sector. V-Scores are a relative assessment of the quality of
available credit information and of the degree of dependence on
various assumptions used in determining the rating. The main
sources of uncertainty in the analysis relate to the Transaction
Complexity and to the Disclosure of Securitisation Collateral
Pool Characteristics. These elements have been assigned a
Medium/High V-Score, as opposed to Medium and Low/Medium
assignments for the sector V-Score, respectively. For more
information, the V-Score has been assigned accordingly to the
report " V Scores and Parameter Sensitivities in the EMEA Small-
to-Medium Enterprise ABS Sector " published in June 2009.

The methodologies used in this rating were "Moody's Approach to
Rating CDOs of SMEs in Europe", published in February 2007,
"Refining the ABS SME Approach: Moody's Probability of Default
assumptions in the rating analysis of granular Small and Mid-
sized Enterprise portfolios in EMEA", published in March 2009 and
"Moody's Approach to Rating Granular SME Transactions in Europe,
Middle East and Africa", published in June 2007.

In rating this transaction, Moody's used ABSROM to model the cash
flows and determine the loss for each tranche. The cash flow
model evaluates all default scenarios that are then weighted
considering the probabilities of the default distribution assumed
(generated using CDOROM) for the portfolio default rate.

The Moody's CDOROM(TM) is a Monte Carlo simulation which takes
the Moody's default probabilities as input. Each corporate
reference entity is modelled individually with a standard multi-
factor model incorporating intra- and inter-industry correlation.
The correlation structure is based on a Gaussian copula. On the
recovery side Moody's assumes a stochastic recovery distribution
which is correlated to the default distribution. In each default
scenario, the corresponding loss for each class of notes is
calculated given the incoming cash flows from the assets and the
outgoing payments to third parties and noteholders. Therefore,
the expected loss or EL for each tranche is the sum product of
(i) the probability of occurrence of each default scenario; and
(ii) the loss derived from the cash flow model in each default
scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed
scenarios.

As the Euro area crisis continues, the rating of the structured
finance notes remain exposed to the uncertainties of credit
conditions in the general economy. The deteriorating
creditworthiness of euro area sovereigns as well as the weakening
credit profile of the global banking sector could negatively
impact the ratings of the notes.


=====================
S W I T Z E R L A N D
=====================


CYTOS BIOTECHNOLOGY: Creditors Approve Bond Restructuring
---------------------------------------------------------
Cytos Biotechnology Ltd. on March 13 announced that the
convertible bond restructuring approved by the superior
composition authority of creditors of the canton of Zurich
('Obere Kantonale Nachlassbehoerde') has become valid and binding
('rechtskraftig').  The implementation of the bond restructuring
is underway and the nominal value reduction in form of a payment
of CHF2,500 for each convertible bond of CHF5,000 will be
effected on March 20, 2012.  As already announced, Cytos will
cancel treasury bonds in a total nominal amount of
CHF31,255,000.

Harry Welten, Chief Financial Officer of Cytos said: "The
successful bond restructuring enables Cytos to remain a going
concern and therefore facilitates a potential value maximization
of Cytos' lead."


===========================
U N I T E D   K I N G D O M
===========================


CHOICES UK: Enters Into Administration
--------------------------------------
Robert Purchese at Eurogamer reports that Choices UK has entered
administration.

"Webb Ivory, the owner of Choices UK, amongst other brands,
ceased trading on Saturday, March 3, 2012 -- and are now in
Administration," Eurogamer quotes  a box-out on the Choices UK
Web site as saying.

Choices UK is a British film and game rental shop chain.


EMF-UK 2008-1: S&P Lowers Ratings on Two Note Classes to 'CCC'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its credit ratings on
EMF-UK 2008-1 PLC's class A2 and A3 notes.

"The rating actions follow our credit and cash flow analysis of
the most recent transaction information that we have received,
applying our recently updated U.K. residential mortgage-backed
securities (RMBS) criteria," S&P said.

"On Dec. 19, 2008, we lowered our ratings on all classes of notes
in this transaction, after it ceased to benefit from a currency
swap," S&P said.

"Similarly, the downgrades are primarily due to the reduction in
credit enhancement, in particular the reduction in the reserve
fund, as a result of unhedged currency risk. Basis risk due to
the increased difference between three-month EURIBOR (Euro
Interbank Offered Rate) and the interest earned on the assets
since late 2010 has contributed to reserve fund draws in each of
the past four quarters," S&P said.

"There is no longer a liquidity facility in this transaction,
instead, interest collections on the mortgage loans and the
reserve fund are the only features available to make interest
payments on the notes," S&P said.

"Severe arrears (defined in this transaction as more than 90
days) have increased recently following the decline observed
throughout 2010. Cumulative losses have tailed off in recent
quarters; average losses in 2011 were six basis points (bps),
compared with 15 bps in 2010. The stock of repossessed properties
has reduced from the mid-2009 peak of 1.19%, which is consistent
with other nonconforming U.K. RMBS transactions that we rate.
Arrears are on average lower for this transaction than for other
2007/2008 vintage transactions, arranged by Lehman Brothers," S&P
said.

"In addition, prepayment levels remain low and the transaction is
unlikely to pay down significantly in the near term, in our
opinion," S&P said.

"The credit enhancement level for both the A2 and A3 notes has
decreased since our previous review of this transaction in
October 2010.  We have lowered our ratings on the class A2 and A3
notes to 'CCC (sf)' because, based on our results of our cash
flow analysis, there is a risk of an interest payment default in
the next 12 months," S&P said.

"We expect severe arrears to remain at their current levels, as
there are a number of downside risks for U.K. nonconforming
borrowers. These include inflation, weak economic growth, high
unemployment, and fiscal tightening. On the positive side, we
expect interest rates to remain low for the foreseeable future,"
S&P said.

"In the absence of a currency swap, available principal to make
payments on the euro-denominated notes is converted at the spot
rate. With the appreciation of the euro against the British pound
sterling, principal payments to noteholders have been lower than
if the original currency swap had been in place. Consequently, we
calculate that potential losses resulting from principal payments
to date are GBP11 million; the euro/sterling spot rate for the
December 2011 payment date (EUR1.17/GBP1) remains below the swap
rate at closing (EUR1.30/GBP1). As long as this remains the case,
we consider that credit enhancement will reduce," S&P said.

"We will continue to monitor this transaction, paying particular
attention to the euro/sterling exchange rate," S&P said.

"EMF-UK 2008-1 is a U.K. nonconforming RMBS transaction backed by
first-ranking mortgage loans (in England, Wales, and Northern
Ireland) and standard securities (in Scotland). It closed in
March 2008 and securitizes mortgages originated by Alliance &
Leicester PLC, London Mortgage Company, Preferred Mortgages Ltd.,
and Southern Pacific Mortgage Ltd.," S&P said.

            Standard & Poor's 17g-7 Disclosure Report

SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.

If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:

         http://standardandpoorsdisclosure-17g7.com

Ratings List

EMF-UK 2008-1 PLC
EUR434.533 Million and GBP41.625 Million Mortgage-Backed
Floating-Rate Notes

Class               Rating
            To                 From

Ratings Lowered

A2          CCC (sf)           BBB+ (sf)
A3          CCC (sf)           B (sf)


NEATH FC: Faces Winding-Up Order at London's High Court
-------------------------------------------------------
BBC News reports that a winding up order against Neath FC has
been dismissed but the Welsh Premier League club faces a second
petition at London's High Court.

Her Majesty's Revenue and Customs brought the original petition
against the club over a GBP65,000 tax debt, BBC relates.

Title hopefuls Neath paid the money but a "substitution" was
ordered after Barclays Bank asked to take over as petitioner over
an undisclosed debt, BBC discloses.

Lawyers for the club say it is not in a position to admit a debt
is owed, BBC notes.

Registrar Nicholls, who ordered the substitution which
effectively allows the bank to take over the winding up petition,
adjourned the case until May 14, BBC says.

If the club is found to owe the money and does not pay, it could
be wound up, BBC states.


REED UMBRELLA: High Court Winds Up Tax Umbrella Firm After Probe
----------------------------------------------------------------
Susie Hughes at Shout99 reports that Reed Umbrella Ltd, which
serviced a discredited tax umbrella scheme for the self-employed,
has been wound up in the High Court in the public interest
following an investigation by Company Investigations, part of The
Insolvency Service.

According to Shout99, the Court heard that Reed Umbrella had
provided legal and invoicing services to the 'Sunday Solutions
Scheme', a tax umbrella scheme that was later closed down by the
Service's Court action.

Shout99 relates that the services provided by Reed Umbrella
comprised the checking of contracts between consultants in the
scheme and their employers. Each time a consultant changed
employer or the terms of employment, such as a change of hourly
rate, the contract was checked and a charge levied by the
company.

Reed Umbrella initially traded as Simpson Cooper and Associates,
then as Sunday Solutions UK Ltd, expanding its activities to
include invoicing services to consultants already in the tax
scheme and to newly recruited consultants, according to Shout99.

Shout99 discloses that in the year to April 30, 2010, the company
collected and processed some GBP21.4 million of earnings by
consultants.  Many of the 1,500 or so consultants who used the
service did not have their tax liabilities paid and remain liable
for their unpaid tax, the report adds.

In November 2011, Shout99 says, a further related company Reed
Morgan Limited, that also provided invoicing services to the
participants in the Sunday Solutions scheme, was ordered into
insolvent liquidation on the petition of the Commissioners for HM
Revenue and Customs in respect of unpaid National Insurance
Contributions of GBP11,969.82.

The petition to wind up Reed Umbrella Ltd was presented in the
High Court on Jan. 26, 2012, under the provisions of section 124A
of the Insolvency Act 1986, Shout99 discloses.

Reed Umbrella Ltd was incorporated on April 2, 2007.  The company
was originally known as Simpson, Cooper and Associates Limited,
changing its name to Sunday Solutions UK Ltd on Sept. 8, 2008 and
then to Reed Umbrella Ltd in February 2009.


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than US$3 per
share in public markets.  At first glance, this list may look
like the definitive compilation of stocks that are ideal to sell
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prices at which equity securities trade in public market are
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A list of Meetings, Conferences and Seminars appears in each
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Each Friday's edition of the TCR includes a review about a book
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                            *********


S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter-Europe is a daily newsletter co-
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Copyright 2012.  All rights reserved.  ISSN 1529-2754.

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