/raid1/www/Hosts/bankrupt/TCREUR_Public/150716.mbx
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
Thursday, July 16, 2015, Vol. 16, No. 139
Headlines
G R E E C E
ESTIA MORTGAGE: S&P Lowers Ratings on 3 Note Classes to 'CCC'
GREECE: May Need Full Debt Moratorium, Samurai Bonds Repaid
KION MORTGAGE: S&P Cuts Ratings on 3 Note Classes to 'CCC'
THEMELEION II: S&P Lowers Ratings on 3 Note Classes to 'CCC'
YIOULA GLASSWORKS: S&P Alters Outlook to Neg & Affirms CCC- CCR
H U N G A R Y
MAGYAR EXPORT-IMPORT: S&P Affirms 'BB+/B' ICRs, Outlook Stable
I T A L Y
DECO 2014-GONDOLA: Fitch Affirms 'BBsf' Rating on Class E Notes
L U X E M B O U R G
DIONYSOS ART: Court Orders Closure Following Bankruptcy
N E T H E R L A N D S
JUBILEE CDO IV: S&P Raises Ratings on 2 Note Classes to CCC+
LEOPARD CLO IV: Moody's Affirms 'B1' Rating on Class E Notes
SYNCREON GROUP: Moody's Lowers CFR to 'B3', Outlook Stable
P O R T U G A L
NOSTRUM MORTGAGES 2003-1: S&P Cuts Rating on Cl. A Notes to BB-
R U S S I A
PERVOBANK JSC: Fitch Puts 'B' IDR on Rating Watch Evolving
S L O V E N I A
MIP: Bankruptcy Proceedings Begin in Ljubljana Court
S P A I N
AYT HIPOTECARIO MIXTO II: Fitch Affirms Ratings on 2 Note Series
S W E D E N
NORTHLAND: Five Industrialists Buy Parts of Iron Mine
U N I T E D K I N G D O M
AFREN PLC: Seeks Suspension of Share Trading Amid Restructuring
AUBURN SECURITIES 9: S&P Assigns Prelim. B+ Rating on Cl. F Notes
*********
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G R E E C E
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ESTIA MORTGAGE: S&P Lowers Ratings on 3 Note Classes to 'CCC'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered to 'CCC (sf)' from
'B- (sf)' its credit ratings on Estia Mortgage Finance PLC's
(Estia) class A, B, and C notes and Estia Mortgage Finance II
PLC's class A notes. At the same time, S&P has affirmed its
'CCC (sf)' and 'CC (sf)' ratings on Estia II's class B and C
notes, respectively.
According to S&P's criteria for rating single-jurisdiction
securitizations above the sovereign foreign currency rating (RAS
criteria), its ratings in a transaction in a country with
significant adverse country redenomination risk (one in three or
greater likelihood of exiting the currency regime and where S&P
expects the redenomination to have a negative credit effect on
structured finance ratings) are capped at 'B'. The rating
differential between the foreign currency rating on the sovereign
and the securitization's maximum potential rating will narrow as
the risk of exiting the currency regime increases. Furthermore,
when the likelihood of exiting exceeds one in three, S&P expects
to lower its ratings in structured finance transactions in that
jurisdiction to below the RAS criteria cap.
On June 29, 2015, S&P lowered to 'CCC-' from 'CCC' its long-term
ratings on Greece. The downgrade reflects S&P's assessment that,
in the absence of unanticipated favorable changes in
circumstances, Greece will likely default on its commercial debt
during the next six months. In S&P's view, the probability of
Greece exiting the eurozone is now about 50%.
S&P has considered the increased sensitivity of Greek residential
and consumer assets to the Greek economy and the likely effect on
structured finance transactions' rating volatility. S&P has also
taken into account the increased likelihood of Greece eventually
exiting the eurozone and defaulting on its commercial debt.
Under S&P's RAS criteria, its ratings in these transactions are
now commensurate with a 'CCC' rating. S&P has therefore lowered
to 'CCC (sf)' from 'B- (sf)' its ratings on Estia's class A, B,
and C notes, and Estia II's class A notes.
Both transactions' performances have deteriorated since S&P's
previous reviews. Total delinquencies peaked at each
transaction's last interest payment date at 17.0% and 24.1%, and
cumulative net default ratios were 4.38% and 8.59% for Estia and
Estia II, respectively. Both transactions have an interest
payment deferral mechanism for the class B and C notes, providing
additional protection for the class A notes. This mechanism
applies if the net cumulative default ratios for the class B
notes increase to above 9.5% in Estia and 12.4% Estia II, or to
5.8% and 9.5% for the class C notes in Estia and Estia II,
respectively.
On Oct. 16, 2014, S&P lowered its ratings on Estia II's class B
and C notes due to interest deferral risk. S&P continues to
expect Estia II to breach the interest deferral trigger for the
class C notes over the next few months. As a result, S&P has
affirmed its 'CC (sf)' rating on the class C notes.
S&P also continues to expect interest to be deferred on Estia
II's class B notes, but over a longer period of time. S&P has
therefore affirmed its 'CCC (sf)' rating on the class B notes.
Additionally, S&P believes that the likelihood of an interest
deferral for Estia's class C notes has also increased.
Estia and Estia II are Greek residential mortgage-backed
securities (RMBS) transactions backed by Greek mortgage loans
that Piraeus Bank S.A. originated.
RATINGS LIST
Class Rating Rating
To From
Estia Mortgage Finance PLC
EUR750 Million Mortgage-Backed Floating-Rate Notes
Ratings Lowered
A CCC (sf) B- (sf)
B CCC (sf) B- (sf)
C CCC (sf) B- (sf)
Estia II Mortgage Finance PLC
EUR1.25 Billion Mortgage-Backed Floating-Rate Notes
Rating Lowered
A CCC (sf) B- (sf)
Ratings Affirmed
B CCC (sf)
C CC (sf)
GREECE: May Need Full Debt Moratorium, Samurai Bonds Repaid
-----------------------------------------------------------
Ambrose Evans-Pritchard at The Telegraph reports that the
International Monetary Fund has set off a political earthquake in
Europe, warning that Greece may need a full moratorium on debt
payments for 30 years and perhaps even long-term subsidies to
claw its way out of depression.
"The dramatic deterioration in debt sustainability points to the
need for debt relief on a scale that would need to go well beyond
what has been under consideration to date," The Telegraph quotes
the IMF as saying in a confidential report.
Greek public debt will spiral to 200% of GDP over the next two
years, compared to 177% in an earlier report on debt
sustainability issued just two weeks ago, The Telegraph notes.
The document amounts to a warning that the IMF will not take part
in any EMU-led rescue package for Greece unless Germany and the
EMU creditor powers finally agree to sweeping debt relief, The
Telegraph says.
According to The Telegraph, this vastly complicates the rescue
deal agreed by eurozone leaders in marathon talks over the
weekend since Germany insists that the bail-out cannot go ahead
unless the IMF is involved.
The EMU summit statement vaguely mentions "possible longer grace
and payment periods", but only at later date, and only if Greece
is deemed to have complied with all the demands, The Telegraph
notes. Germany has ruled out a debt "haircut" altogether,
claiming that it would violate Article 125 of the Lisbon Treaty,
The Telegraph discloses.
The IMF, as cited by The Telegraph, said there is no conceivable
chance that Greece will be able to tap private capital markets in
the foreseeable future, leaving the country entirely dependent on
rescue funding.
It claimed that capital controls and the shutdown of the Greek
banking system had entirely changed the picture for debt
dynamics, an implicit criticism of both the Greek government and
the eurozone authorities for letting the political dispute get
out of hand, The Telegraph notes.
Samurai Bonds
The Irish Times reports that the Greek government repaid Samurai
notes maturing on July 14, according to bond agent Mizuho Bank,
in a first sign the nation is honoring its obligations after
reaching a deal with creditors.
Masako Shiono, a spokeswoman for Mizuho, confirmed the repayment,
The Irish Times relays. The outstanding amount was JPY11.67
billion (US$95 million), The Irish Times discloses.
Greece chose to pay private investors while missing a further
payment to the IMF, increasing arrears to the global lender of
last resort to about EUR2 billion (US$2.2 billion), The Irish
Times notes.
According to The Irish Times, Daiwa Securities Group said while
the IMF will wait to get its money back, institutional investors
wouldn't, and a default on the Samurai bond would have
complicated the repayment schedule.
KION MORTGAGE: S&P Cuts Ratings on 3 Note Classes to 'CCC'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered to 'CCC (sf)' from
'B- (sf)' its credit ratings on Kion Mortgage Finance PLC's class
A, B, and C notes.
According to S&P's ratings above the sovereign criteria (RAS
criteria), its ratings on a transaction in a country with
significant adverse country redenomination risk (one in three or
greater likelihood of exiting the currency regime and where S&P
expects the redenomination to have a negative credit effect on
structured finance ratings) are capped at 'B'. The rating
differential between the foreign currency rating on the sovereign
and the securitization's maximum potential rating will narrow as
the risk of exiting the currency regime increases. Furthermore,
when the likelihood of exiting exceeds one in three, S&P expects
to lower its ratings on structured finance transactions in that
jurisdiction to below the RAS criteria cap.
On June 29, 2015, S&P lowered to 'CCC-' from 'CCC' its long-term
ratings on Greece. The downgrade reflects S&P's assessment that,
in the absence of unanticipated favorable changes in
circumstances, Greece will likely default on its commercial debt
during the next six months. In S&P's view, the probability of
Greece exiting the eurozone is now about 50%.
S&P has considered the increased sensitivity of Greek residential
and consumer assets to the Greek economy and the likely effect on
structured finance transactions' rating volatility. S&P has also
taken into account the increased likelihood of Greece eventually
exiting the eurozone and defaulting on its commercial debt.
Under S&P's RAS criteria, its ratings in this transaction are now
commensurate with a 'CCC' rating. S&P has therefore lowered to
CCC (sf)' from 'B- (sf)' its ratings on all classes of notes in
the transaction.
Although Greece's economy has been deteriorating in the last few
years, the transaction's performance has been stable.
According to the April 2015 interest payment date report, the
cumulative principal losses ratio (default ratio) was 1.48% of
the total original balance and the reserve fund is fully topped
up. The transaction has an interest payment deferral mechanism
for the class B and C notes, providing additional protection for
the class A notes. This mechanism applies if the default ratio
increases to above 9% for the class B notes, or to 6% for the
class C notes.
Kion Mortgage Finance is a Greek residential mortgage-backed
securities (RMBS) transaction backed by Greek mortgage loans that
Millenium Bank S.A., now part of Piraeus Bank S.A., originated.
RATINGS LIST
Class Rating Rating
To From
Kion Mortgage Finance PLC
EUR600 Million Mortgage-Backed Floating-Rate Notes
Ratings Lowered
A CCC (sf) B- (sf)
B CCC (sf) B- (sf)
C CCC (sf) B- (sf)
THEMELEION II: S&P Lowers Ratings on 3 Note Classes to 'CCC'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered to 'CCC (sf)' from
'B- (sf)' its credit ratings on Themeleion II Mortgage Finance
PLC's, Themeleion III Mortgage Finance PLC's, and Themeleion IV
Mortgage Finance PLC's outstanding classes of notes.
According to S&P's for rating single-jurisdiction securitizations
above the sovereign foreign currency rating (RAS criteria), S&P's
ratings in a transaction in a country with significant adverse
country redenomination risk (one in three or greater likelihood
of exiting the currency regime and where S&P expects the
redenomination to have a negative credit effect on structured
finance ratings) are capped at 'B'. The rating differential
between the foreign currency rating on the sovereign and the
securitization's maximum potential rating will narrow as the risk
of exiting the currency regime increases. Furthermore, when the
likelihood of exiting exceeds one in three, S&P expects to lower
its ratings in structured finance transactions in that
jurisdiction to below the RAS criteria cap.
On June 29, 2015, S&P lowered to 'CCC-' from 'CCC' its long-term
ratings on Greece. The downgrade reflects S&P's assessment that,
in the absence of unanticipated favorable changes in
circumstances, Greece will likely default on its commercial debt
during the next six months. In S&P's view, the probability of
Greece exiting the eurozone is now about 50%.
S&P has considered the increased sensitivity of Greek residential
and consumer assets to the Greek economy and the likely effect on
structured finance transactions' rating volatility. S&P has also
taken into account the increased likelihood of Greece eventually
exiting the eurozone and defaulting on its commercial debt.
Under S&P's RAS criteria, its ratings in these transactions are
now commensurate with a 'CCC' rating. S&P has therefore lowered
to 'CCC (sf)' from 'B- (sf)' its ratings on all of the
outstanding classes of notes in these transactions.
Although Greece's economy has been deteriorating in the last few
years, the transactions' performances have been stable.
According to the most recent interest payment date reports, the
cumulative principal losses ratio (default ratio) was 0.82%,
0.71%, and 0.59% of the total original balance for Themeleion II,
III, and IV, respectively. The reserve funds are still funded at
63.11%, 62.13%, and 100% of the required amounts for Themeleion
II, III, and IV, respectively.
There is an interest payment deferral mechanism for Themeleion
III's class M, B, and C notes and Themeleion IV's class B and C
notes, which provides additional protection for the class A notes
in each transaction. This mechanism applies if:
-- The default ratio increases to above 19.4% for the class M
notes, 13.9% for the class B notes, or 9.75% for the
class C notes in Themeleion III.
-- The default ratio increases to above 13.91% for the class B
notes or 10.11% for the class C notes in Themeleion IV.
Themeleion II, III, and IV are Greek residential mortgage-backed
securities (RMBS) transactions backed by Greek mortgage loans
that Eurobank-Ergasias S.A. originated.
RATINGS LIST
Class Rating Rating
To From
Ratings Lowered
Themeleion II Mortgage Finance PLC
EUR750 Million Mortgage-Backed Floating-Rate Notes
A CCC (sf) B- (sf)
B CCC (sf) B- (sf)
C CCC (sf) B- (sf)
Themeleion III Mortgage Finance PLC
EUR1 Billion Mortgage-Backed Floating-Rate Notes Due 2043
A CCC (sf) B- (sf)
B CCC (sf) B- (sf)
C CCC (sf) B- (sf)
M CCC (sf) B- (sf)
Themeleion IV Mortgage Finance PLC
EUR1.555 Billion Mortgage-Backed Floating-Rate Notes
A CCC (sf) B- (sf)
YIOULA GLASSWORKS: S&P Alters Outlook to Neg & Affirms CCC- CCR
---------------------------------------------------------------
Standard & Poor's Ratings Services said that it had revised its
outlook on Greece-based glass container manufacturer Yioula
Glassworks S.A. and its core subsidiary Glasstank B.V. to
negative from developing.
At the same time, S&P affirmed its 'CCC-' long-term corporate
credit ratings on both companies, and its 'CC' issue rating on
the EUR185 million senior secured notes, due 2019, issued by
Glasstank.
The outlook revision results from the lowering of S&P's long-term
rating on Greece to 'CCC-' from 'CCC' and S&P's view that the
likelihood that Greece will exit the eurozone has now increased
to about 50%.
As a consequence, S&P envisage deterioration in Greek banks'
solvency ratios and the need for additional capital. This, in
S&P's view, indicates a heightened risk that Yioula might miss
payments on maturing debt and have only limited access to short-
term bank lines if Greek banks' financial situation persists or
deteriorates further. With short-term lines representing the
main source of Yioula's funding for its daily operations and debt
maturities, the risk of a Grexit could hamper Yioula's ability to
honor its financial liabilities in the near term.
On June 30, 2015, the group had EUR17 million of credit lines, of
which just EUR3.2 million were granted by non-Greek banks. With
EUR5 million of financial commitments due by Dec. 31, 2015,
Yioula could be rapidly exposed to a funding gap over the next
six months.
With about 26% of its revenues and 28% of its assets exposed to
Greece as of March 31, 2015, Yioula shows moderate sensitivity
and high exposure to the Greek market as per our criteria. As a
consequence, S&P now factors into its liquidity assessment the
risk of a deposit freeze, particularly following recently imposed
capital controls in Greece.
S&P acknowledges management's success in extending to June 2019
the two bilateral lines Yioula had with Eurobank and Piraeus
totaling EUR42.6 million, which were due by June 30, 2015. After
this extension, the group's annual debt commitment is less than
EUR10 million over the next 24 months, which in S&P's view, can
only be met by drawing on the short-term lines.
Further ongoing liquidity risk stems from the group's very tight
headroom under one of the covenants on a facility with UniCredit,
which is due by Sept. 30, 2015. Historically, Yioula's lenders
have granted covenant waivers, but given that this facility is
due in less than three months, management might not consider
initiating such discussions.
Glasstank accounted for roughly 70% of Yioula's revenues, EBITDA,
and total assets as of Dec. 31, 2014. S&P assess Glasstank as a
core subsidiary under S&P's group rating methodology. In S&P's
view, Glasstank's creditworthiness is fairly comparable with that
of the consolidated group, which leads S&P to align the rating on
Glasstank with that on Yioula. S&P don't regard Glasstank as an
"insulated subsidiary," as defined in S&P's criteria, because the
parent company has increased the leveraged at this subsidiary to
refinance its existing debt.
S&P assesses Yioula's liquidity as "weak," as defined in S&P's
criteria, because it anticipates that the group's liquidity
sources will not cover its liquidity uses over the next 12
months.
The negative outlook reflects the likelihood that S&P could lower
the long-term ratings on Yioula and Glasstank if Yioula is unable
to meet debt commitments falling due within the next six months,
as a result of constrained access to short-term lines and/or
materially weaker economic conditions in Greece that hamper its
operating performance.
If S&P lowers the rating on Greece, it would reassess the risk of
imminent default of Yioula, as per S&P's criteria. S&P would
take into account the company's liquidity position and the effect
of any hypothetical debt restructuring on the Greek economy and
the company's operations.
S&P would review the ratings in the event of a Grexit or a
default of the sovereign because such developments could imply
re-denomination of Yioula's debt under Greek law.
Ratings upside might arise if Yioula were to show its ability to
honor its upcoming bank debt commitments under the current
uncertain conditions. If the risk of a Grexit decreased, S&P
would also consider a positive rating action.
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H U N G A R Y
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MAGYAR EXPORT-IMPORT: S&P Affirms 'BB+/B' ICRs, Outlook Stable
--------------------------------------------------------------
Standard & Poor's Ratings Services said that it had affirmed its
'BB+' long-term and 'B' short-term issuer credit ratings on
Hungary's official state export credit agency, Magyar Export-
Import Bank (Hungary Eximbank). The outlook is stable.
S&P equalizes its long-term rating on Hungary Eximbank with the
'BB+' long-term sovereign credit rating on Hungary, given S&P's
view of the bank as a government-related entity (GRE) and its
opinion that there is an almost certain likelihood that the
Hungarian government will provide timely and sufficient
extraordinary support to Hungary Eximbank in the event of
financial distress. In accordance with S&P's criteria for GREs,
it bases its view of an almost certain likelihood of
extraordinary support on its view of Hungary Eximbank's:
-- Critical role in supporting Hungarian exports, which is a
key policy objective and crucial to national economic
growth, given the country's openness and trade dependence;
and
-- Integral link with the Hungarian government, which is the
bank's sole owner; the government's statutory guarantee of
Hungary Eximbank's liabilities; and the inclusion of losses
on the bank's interest rate mismatches and supported loans
in the government's budget.
Established in 1994, Hungary Eximbank operates under the remit of
the Ministry of Foreign Affairs and Trade. The criteria for its
export credit operations, which make it eligible for state-
supported financing, come from its general business guidelines as
well as from the regulations of international bodies such as the
Organization of Economic Co-operation and Development and the
European Commission. In its role as Hungary's official credit
export agency, the bank supports Hungary's export growth strategy
by granting pre-export loans, buyers' credit, and discounting
facilities directly to exporters, and by providing indirect
funding through refinancing loans to domestic commercial banks
and interbank import facilities of buyers' foreign banks.
Due to the nature of the supported exports, the bank plays a
critical role for the government to achieve its export strategy
goals, and its particular export financing closely interrelates
with its setup and support by the state.
The bank's loan portfolio has expanded rapidly in recent years,
and S&P expects credit growth to continue in 2015 and 2016 in
line with an ambitious strategy to increase the bank's
activities. Consequently, the bank's support for Hungarian
exports underlines its key policy role. Hungary Eximbank's
funding base comprises loans, interbank loans, notes issued under
a global medium-term note program launched in December 2012, and
shareholders' equity, including both share capital and reserves.
Hungary Eximbank benefits from the government's statutory
guarantee for both its on- and off-balance-sheet liabilities.
The statutory guarantee is explicit and unconditional, with a
current upper limit defined in the government's budget of
Hungarian forint (HUF) 1.2 trillion (EUR3.9 billion). This
compares with Hungary Eximbank's on-balance-sheet liabilities of
HUF543 billion at year-end 2014. Although the guarantee does not
meet S&P's criteria for timeliness, its assessment of an almost
certain likelihood of timely and sufficient extraordinary support
to Hungary Eximbank from the Hungarian government means that S&P
equalizes its long-term rating on the bank with that on Hungary.
S&P anticipates that the government has the capacity and
incentive to provide timely extraordinary support to the bank if
needed. S&P also takes into consideration the government's
sustained track record of ensuring an appropriate level of
capitalization at Hungary Eximbank through repeated capital
injections, which further underpins the bank's link with the
state, in S&P's view. The most recent capital increase of a
total HUF30 billion took place in December 2014-January 2015,
raising the bank's share capital to HUF58.1 billion.
Hungary Eximbank also provides off-balance-sheet guarantees, the
majority of which are guaranteed by the government, with the
statutory guarantee providing cover for up to HUF350 billion. As
of year-end 2014, HUF13.5 billion of Hungary Eximbank's total
guarantee portfolio of HUF14.9 billion benefitted from the
statutory guarantee.
The stable outlook on Hungary Eximbank mirrors that on Hungary.
S&P believes that Hungary Eximbank's integral link with and
critical role for the Hungarian government's economic policies
and growth-support plans will remain unchanged.
This should enable the bank to maintain its public law status
and, therefore, its credit support from the government's
statutory guarantee.
Any downward revision in S&P's assessment of the bank's
relationship with the government could lead us to consider
lowering the ratings on Hungary Eximbank.
In addition, any upgrade or downgrade of Hungary will result in a
similar action on Hungary Eximbank.
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I T A L Y
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DECO 2014-GONDOLA: Fitch Affirms 'BBsf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings-London-14 July 2015: Fitch Ratings has affirmed the
ratings of DECO 2014 - Gondola S.r.l.'s floating rate notes due
2026 as follows:
EUR173.6 million Class A (IT0005030777) affirmed at 'A+sf';
Outlook Stable
EUR65 million Class B (IT0005030793) affirmed at 'Asf';
Outlook Stable
EUR30.5 million Class C (IT0005030801) affirmed at 'A-sf';
Outlook Stable
EUR52 million Class D (IT0005030827) affirmed at 'BBB-sf';
Outlook Stable
EUR21.9 million Class E (IT0005030835) affirmed at 'BBsf';
Outlook Stable
DECO 2014 - GONDOLA S.R.L. closed in 2014 and is a securitization
of three commercial mortgage loans with an original balance of
EUR355 million. The loans were granted by Deutsche Bank AG
(A/Negative) to two Italian closed-end real estate funds and two
cross-collateralized Italian limited-liability companies to
acquire/ refinance 13 logistics centers, two shopping-centers,
two office buildings and one hotel. All assets are located in
Italy and ultimately owned by the borrowers' common sponsor,
Blackstone.
KEY RATING DRIVERS
The affirmation reflects the stable performance of the
transaction since closing in July 2014. While prime office rents
in Rome and Milan have been falling, yields have remained stable.
Shopping centers in the North (e.g. Bologna) have seen stable
prime rents and yields have started to compress. The industrial
sector's performance has been stable. Fitch considers that half
of the collateral assets are of prime quality, and that overall
conditions are in line with at closing.
All three securitized loans amortize in line with schedules/cash
sweep projections and have seen their loan-to-value ratios (based
on original valuations) decline as a result. In May 2015, 96.7%
of the original portfolio remained outstanding, with all the
principal proceeds allocated to the senior notes. Fitch continues
to expect all three loans to repay in full.
The EUR80.8 million Gateway loan is secured on two shopping
centers located in Marcon and Monselice, both in the Veneto
region. The larger asset, Valecentre, experienced lower footfall
and sales in 1Q15 compared with 1Q14, reflected in vacancy
slightly increasing to 24.4% from 22.8% at closing. The smaller
Airone Centre has not suffered any material change in footfall or
sales, and occupancy has slightly improved.
The loan has been amortizing EUR0.2 million per quarter, in line
with schedule. Nevertheless, interest coverage decreased to 1.8x
in May 2015 from 2.1x at closing, reflecting weakening
performance at Valecenter but remains comfortably above the cash
trap trigger of 1.45x. While the weighted average lease term
(until break) across the centers is only 2.8 years, income is
granular, with no tenant accounting for more than 4%.
The EUR131.9 million Delphine loan is secured on an office
complex (comprising three buildings) and a hotel in Milan, as
well as an office in Rome. The sole tenant in the Milan offices,
RCS Media Group, has served notice to vacate one of the offices,
as expected at closing. The other two offices are let with
approximately seven years to break. The Rome office is fully let
to Telecom Italia (BBB-/Negative) for another 3.3 years to break.
The hotel saw stable turnover in 1Q15, compared with 1Q14.
The EUR130.3 million Mazer loan is secured on 13 logistics assets
in northern Italy. Debt service coverage improved to 1.7x as of
end-May 2015, from 1.3x at closing, although this is
predominantly due to amortization and reduced finance costs. The
servicer reported EUR2 million of rental arrears in May 2015,
down from EUR2.5 million in February, with only EUR0.1 million
more than 90 days overdue.
RATING SENSITIVITIES
Fitch expects a full repayment of all loans in a 'Bsf' scenario.
A moderate downturn in the Italian retail sector could result in
downgrades. Similarly, a downgrade of the sovereign rating of
Italy (BBB+/Stable) may result in a lower rating cap on the
notes.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pool and the transaction. There were no findings that were
material to this analysis. Fitch has not reviewed the results of
any third party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.
Fitch did not undertake a review of the information provided
about the underlying asset pool ahead of the transaction's
initial closing. The subsequent performance of the transaction
over the last 12 months is consistent with the agency's
expectations given the operating environment and Fitch is
therefore satisfied that the asset pool information relied upon
for its initial rating analysis was adequately reliable.
Overall, Fitch's assessment of the information relied upon for
the agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
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L U X E M B O U R G
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DIONYSOS ART: Court Orders Closure Following Bankruptcy
-------------------------------------------------------
Laura Galvagni at Italy24 reports that a Luxembourg Court has now
ordered the Dionysos Art Fund to shut down, after a couple of
attempts at voluntary liquidation and a request for judicial
liquidation.
Formed in 2009, the fund went bankrupt a couple of months ago,
Italy24 recounts.
On paper, the fund holds assets estimated at around EUR180
million, and liabilities of approximately EUR10 million, most of
which is owed to Fenice S.A., its fund management company based
in Switzerland, which it cannot pay, Italy24 discloses.
The rest ought to be paid partly to the depositaries of the
artwork, and partly to Banque Privee de Rothschild, which
allegedly supplied a credit line of around EUR2 million against
pledged artwork at a presumed value of EUR24 million, Italy24
notes.
After a rapid analysis, the accounting firm in question realized
the Fund was short of liquid assets and asked shareholders to
transfer fresh funds, Italy24 relays.
Partners refused and sought a judicial liquidation, Italy24
relates. The court however opted for bankruptcy, Italy24 notes.
The ball's now in the bankruptcy trustee's court -- Gaston Stein,
Italy24 discloses.
The game looks none too good, however, and everyone involved is
likely to suffer heavy losses, Italy24 states.
The Dionysos Art Fund was set up by a majority partner, Kionfer
Corp., headquartered in Panama, which placed some eighty ancient
works of art in the fund.
=====================
N E T H E R L A N D S
=====================
JUBILEE CDO IV: S&P Raises Ratings on 2 Note Classes to CCC+
------------------------------------------------------------
Standard & Poor's Ratings Services raised its credit ratings on
Jubilee CDO IV B.V.'s class B-1, B-2, C, D-1, and D-2 notes.
The upgrades follow S&P's assessment of the transaction's
performance using data from the trustee report dated June 22,
2015. S&P performed a credit and cash flow analysis and applied
its current counterparty criteria to assess the support that each
participant provides to the transaction.
"We subjected the capital structure to a cash flow analysis to
determine the break-even default rate (BDR) for each rated class
of notes at each rating level. The BDR represents our estimate
of the maximum level of gross defaults, based on our stress
assumptions, that a tranche can withstand and still pay interest
and fully repay principal to the noteholders. In our analysis,
we used the reported portfolio balance that we considered to be
performing (EUR89.4 million), the reported weighted-average
spread (3.87%), and the weighted-average recovery rates for the
performing portfolio. We incorporated various cash flow stress
scenarios using our short default patterns and timings for each
rating category assumed for each class of notes, combined with
different interest stress scenarios as outlined in our corporate
cash flow collateralized debt obligation (CDO) criteria," S&P
said.
S&P's review of the transaction highlights that the class A and B
notes have paid down by EUR64.4 million since its previous
review. This has increased the available credit enhancement for
all of the rated classes of notes.
Non-euro-denominated assets comprise 2.8% of the aggregate
collateral balance, which is hedged by a cross-currency swap with
Credit Suisse International (A/Stable/A-1). In S&P's opinion,
the documented downgrade provisions do not fully comply with its
current counterparty criteria. In S&P's cash flow analysis, for
rating scenarios above the long-term issuer credit rating plus
one notch on the swap counterparty, S&P has therefore considered
stressed scenarios where the counterparty does not perform and it
has applied its currency stresses.
The transaction has an exposure to the Kingdom of Spain
(BBB/Stable/A-2) equal to 24.6% of the transaction's total
collateral balance. Therefore, in S&P's cash flow analysis, it
has also applied stresses in line with its non-sovereign ratings
criteria.
Furthermore, 32.7% of the aggregate collateral balance has
maturity dates after the legal final maturity of the notes. In
S&P's cash flow analysis, it has applied haircuts (discounts) to
the par balance of such assets, in line with its criteria for
long-dated assets.
S&P's credit and cash flow analysis indicates that the available
credit enhancement for the class B-1, B-2, C, D-1, and D-2 notes
is commensurate with higher ratings than those currently
assigned. Therefore, S&P has raised its ratings on these classes
of notes.
The largest obligor test (a supplemental stress test that S&P
outlines in its corporate cash flow CDO criteria) constrains
S&P's ratings on the class C, D-1, and D-2 notes.
Jubilee CDO IV is a cash flow collateralized loan obligation
(CLO) transaction that securitizes loans granted to primarily
speculative-grade corporate firms. The transaction closed in
August 2004. Since the end of the reinvestment period in October
2010, the issuer has used all of the scheduled principal proceeds
to redeem the notes in line with the transaction's documented
priority of payments.
RATINGS LIST
Class Rating Rating
To From
Jubilee CDO IV B.V.
EUR410 Million Secured Floating- and Fixed-Rate Notes
Ratings Raised
B-1 AA+ (sf) A+ (sf)
B-2 AA+ (sf) A+ (sf)
C BB+ (sf) B+ (sf)
D-1 CCC+ (sf) CCC (sf)
D-2 CCC+ (sf) CCC (sf)
LEOPARD CLO IV: Moody's Affirms 'B1' Rating on Class E Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Leopard CLO IV B.V.:
EUR15,500,000 Class C1 Senior Secured Deferrable Floating
Rate Notes due 2022, Upgraded to Aaa (sf); previously on
Feb. 7, 2014 Upgraded to A1 (sf)
EUR7,000,000 Class C2 Senior Secured Deferrable Fixed Rate
Notes due 2022, Upgraded to Aaa (sf); previously on Feb. 7,
2014 Upgraded to A1 (sf)
EUR20,650,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2022, Upgraded to Baa1 (sf); previously on Feb. 7,
2014 Upgraded to Baa3 (sf)
Moody's also affirmed the ratings on these notes:
EUR262,500,000 (current outstanding balance of 32.5M) Class A
Senior Secured Floating Rate Notes due 2022, Affirmed
Aaa (sf); previously on Feb 7, 2014 Affirmed Aaa (sf)
EUR26,250,000 Class B Senior Secured Floating Rate Notes due
2022, Affirmed Aaa (sf); previously on Feb. 7, 2014 Upgraded
to Aaa (sf)
EUR11,250,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2022, Affirmed B1 (sf); previously on Feb. 7, 2014
Affirmed B1 (sf)
EUR10,000,000 (current outstanding balance of 7.8M) Class O
Combination Notes due 2022, Affirmed Aaa (sf); previously on
Feb 7, 2014 Affirmed Aaa (sf)
Leopard CLO IV B.V., issued in May 2006, is a Collateralised Loan
Obligation ("CLO") backed by a portfolio of mostly high yield
senior secured European loans. The portfolio is managed by M&G
Investment Management Limited. The reinvestment period ended in
February 2012.
RATINGS RATIONALE
The upgrade to the ratings is primarily the result of the
substantial deleveraging that has occurred over last year. The
Class A notes have amortized approximately by EUR107.0 million or
40.8% of its closing balance. As a result, over-
collateralization (OC) ratios have increased. According to the
May 2015 trustee report the Class A/B, Class C, Class D and Class
E OC ratios are 208.0%, 150.5%, 120.0%, and 108.1% compared to
151.1%, 128.8.%, 113.5% and 106.5% respectively in May 2014.
The ratings on the combination notes address the repayment of the
rated balance on or before the legal final maturity. For the
Class O Combination Notes, the rated balance at any time is equal
to the principal amount of the combination note on the issue date
minus the sum of all payments made from the issue date to such
date, of either interest or principal. The rated balance will
not necessarily correspond to the outstanding notional amount
reported by the trustee.
The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR127.3
million, defaulted par of EUR1.1 million, a weighted average
default probability of 24.0% (consistent with a WARF of 3,416), a
weighted average recovery rate upon default of 46.9% for a Aaa
liability target rating, a diversity score of 17 and a weighted
average spread of 3.74%.
The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on
future defaults is based primarily on the seniority of the assets
in the collateral pool. For a Aaa liability target rating,
Moody's assumed a recovery of 50% for 91.1% of the portfolio
exposed to first-lien senior secured corporate assets upon
default and of 15% of the remaining non-first-lien loan corporate
assets upon default. In each case, historical and market
performance and a collateral manager's latitude to trade
collateral are also relevant factors. Moody's incorporates these
default and recovery characteristics of the collateral pool into
its cash flow model analysis, subjecting them to stresses as a
function of the target rating of each CLO liability it is
analyzing.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that would lead to an upgrade or downgrade of the rating:
In addition to the base-case analysis, Moody's conducted
sensitivity analyses on the key parameters for the rated notes,
for which it assumed a 5% lower weighted average recovery rate in
the portfolio. The model generated outputs were within two
notches of the base-case results.
This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
note, in light of uncertainty about credit conditions in the
general economy. CLO notes' performance may also be impacted
either positively or negatively by 1) the manager's investment
strategy and behavior and 2) divergence in the legal
interpretation of CDO documentation by different transactional
parties because of embedded ambiguities.
Additional uncertainty about performance is due to these:
Portfolio amortization: The main source of uncertainty in this
transaction is the pace of amortization of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes'
ratings. Amortization could accelerate as a consequence of
high loan prepayment levels or collateral sales by the
collateral manager or be delayed by an increase in loan amend-
and-extend restructurings. Fast amortization would usually
benefit the ratings of the notes beginning with the notes
having the highest prepayment priority.
Around 16.7% of the collateral pool consists of debt
obligations whose credit quality Moody's has assessed by using
credit estimates. As part of its base case, Moody's has
stressed large concentrations of single obligors bearing a
credit estimate as described in "Updated Approach to the Usage
of Credit Estimates in Rated Transactions", published in
Oct. 2009
Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes
have defaulted can result in volatility in the deal's over-
collateralization levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell
defaulted assets can also result in additional uncertainty.
Moody's analyzed defaulted recoveries assuming the lower of
the market price or the recovery rate to account for potential
volatility in market prices. Recoveries higher than Moody's
expectations would have a positive impact on the notes'
ratings.
Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes that, at transaction
maturity, the liquidation value of such an asset will depend
on the nature of the asset as well as the extent to which the
asset's maturity lags that of the liabilities. Liquidation
values higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modeled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available
to rating committees, including macroeconomic forecasts, input
from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, can influence the final rating decision.
SYNCREON GROUP: Moody's Lowers CFR to 'B3', Outlook Stable
----------------------------------------------------------
Moody's Investors Service downgraded the Corporate Family Rating
of syncreon Group Holdings B.V. to B3 from B2 and the Probability
of Default Rating to B3-PD from B2-PD. Concurrently, Moody's
downgraded the rating of syncreon's $517 million term loan due
2020 to B1 from Ba3 and the rating of the $225 million senior
unsecured notes due 2021 to Caa2 from Caa1. The rating outlook
was revised to Stable from Negative.
RATINGS RATIONALE
The rating action reflects the challenges that syncreon faces in
maintaining its revenue base, stemming from decreasing volumes
handled under its supply chain and logistics services contracts,
the termination of certain contracts in both its automotive and
technology segments as well as competitive pressures upon
contract renewals and new contract bids. Specifically, one of
the company's larger customers notified syncreon of its intention
to terminate its contract early, following continuing volume
declines in the last two years. While syncreon has been
successful in obtaining new contracts, the start-up of new
operations requires time and profitability in the initial phase
of new operations can be affected by inherent launch
inefficiencies. In addition, the appreciation of the U.S. dollar
relative to the euro and other currencies also adversely affects
syncreon's results as approximately 70% of its revenues is
generated outside the U.S.
Consequently, credit metrics are pressured and are more aligned
with levels seen at the B3 rating level. Furthermore, Moody's
does not foresee a material improvement in syncreon's credit
metrics over the next two years. Debt-to-EBITDA is likely to
remain at 6 times and could be further elevated in the near-term
due to the adverse impact of a weaker euro on the company's
EBITDA. Similarly, FFO+Interest/Interest is anticipated to
remain in the low 2 times.
syncreon's liquidity position is viewed as adequate. The
company's cash balances are moderate for its scale. Moreover,
free cash flow for the last 12 months ended March 2015 was about
break-even and Moody's expects capital expenditures to be in line
with cash flow from operations over the next 12 to 18 months,
potentially resulting in a further reduction to the company's
cash balances. The company's liquidity position is supported by
a US$100 million credit facility, of which close to US$80 million
remains available as of March 2015, net of approximately US$20
million letters of credit.
The stable ratings outlook is predicated on Moody's expectation
that syncreon will be able to maintain its current revenue base
by offsetting volume declines in its existing contracts with new
contract wins, while restoring operating margins to around 7.5%,
approximately the level in 2014, calculated on a Moody's adjusted
basis. As debt repayment will be limited to mandatory
amortization, credit metrics are expected to remain at current
levels, including debt-to-EBITDA of around 6 times.
Ratings could be downgraded if new business opportunities fail to
materialize, if significant price concessions are made to renew
or win contracts, or if the company pursues debt-funded
acquisitions that prove difficult to integrate, resulting in
deteriorating profitability or weaker credit metrics.
Specifically, a downgrade could be warranted if debt-to-EBITDA
increases above 6.5 times on a sustained basis, from currently
6.1 times, or if FFO+Interest/Interest weakens to 1.5 times or
less, from currently 2.2 times. A weakened liquidity position,
including through increased reliance on the credit facility,
could also result in a ratings downgrade.
Since debt is not likely to be reduced materially over the next
few years, ratings are not expected to be upgraded over the near
term. However, over the longer term, the ability to expand the
company's revenue base, improvements in operating margins or de-
leveraging that would result in debt-to-EBITDA of less than 5.5
times and FFO+Interest/Interest approaching 3.0 times along with
positive free cash flow generation would be factors that could
lead to a rating upgrade.
The principal methodology used in these ratings was Global
Surface Transportation and Logistics Companies published in April
2013. Other methodologies used include Loss Given Default for
Speculative-Grade Non-Financial Companies in the U.S., Canada and
EMEA published in June 2009.
Downgrades:
Issuer: syncreon Group Holdings B.V.
Corporate Family Rating, Downgraded to B3 from B2
Probability of Default Rating, Downgraded to B3-PD from B2-PD
Issuer: Syncreon Group B.V.
Senior Secured Bank Credit Facility, Downgraded to B1, LGD2
from Ba3, LGD2
Senior Unsecured Regular Bond/Debenture, Downgraded to Caa2,
LGD5 from Caa1, LGD5
Outlook Actions:
Issuer: syncreon Group Holdings B.V.
Outlook, Changed To Stable From Negative
Issuer: Syncreon Group B.V.
Outlook, Changed To Stable From Negative
syncreon Group Holdings B.V. is an international provider of
specialized logistics and supply chain solutions to customers
primarily in the technology and automotive sectors. The company
is majority owned by GenNx360 Capital Partners and Centerbridge
Partners.
===============
P O R T U G A L
===============
NOSTRUM MORTGAGES 2003-1: S&P Cuts Rating on Cl. A Notes to BB-
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered to 'BB- (sf)' from
'BB (sf)' its credit rating on Nostrum Mortgages 2003-1 PLC's
class A notes. At the same time, S&P has affirmed its 'B (sf)'
and 'B- (sf)' ratings on the class B and C notes, respectively.
Upon publishing, S&P's updated criteria for Portuguese
residential mortgage-backed securities (RMBS criteria), it placed
those ratings that could potentially be affected "under criteria
observation".
Following S&P's review of this transaction, its ratings that
could potentially be affected by the criteria are no longer under
criteria observation.
The rating actions follow S&P's credit and cash flow analysis of
the most recent transaction information that it has received as
of June 2015. S&P's analysis reflects the application of its
RMBS criteria.
Credit enhancement has remained stable since S&P's previous
review.
Class Available credit
enhancement (%)
A 4.85
B 3.83
C 0.77
This transaction features an amortizing reserve fund, which
currently represents 1.04% of the outstanding balance of the
notes and it is at its required level.
Severe delinquencies of more than 90 days at 0.30% are on average
lower for this transaction than S&P's Portuguese RMBS index.
Performance has been stable since closing. Defaults are defined
as mortgage loans in arrears for more than 90 days in this
transaction. Cumulative defaults, at 0.44%, are also lower than
in other Portuguese RMBS transactions that S&P rates. Prepayment
levels remain low and the transaction is unlikely to pay down
significantly in the near term, in S&P's opinion.
After applying S&P's RMBS criteria to this transaction, its
credit analysis results show an increase in the weighted-average
foreclosure frequency (WAFF) and an increase in the weighted-
average loss severity (WALS) for each rating level.
Rating level WAFF (%) WALS (%)
AAA 13.84 18.54
AA 12.11 11.57
A 11.18 5.04
BBB 10.00 2.51
BB 8.67 2.00
B 8.27 2.00
The increase in the WAFF is mainly due to the geographic
concentration and the use of the weighted-average original loan-
to-value (OLTV) ratio in the WAFF calculation. A penalty of
1.25x is applied on 45.3% of the pool as province concentration
in Baixo Mondego, Grande Lisboa, and Setubal exceeds the limit
set by the RMBS criteria. The weighted-average OLTV ratio of
Nostrum Mortgages 2003-1 is relatively high, with 13.6% of the
outstanding pool balance having an OLTV ratio of above 75%. This
means that, in line with S&P's RMBS criteria, most of the pool is
penalized, as the weighted-average OLTV ratio is above the 73%
threshold. At the same time, seasoning partially offsets the
negative effect of geographic concentration and the weighted-
average OLTV ratio. This is because S&P's updated criteria give
greater credit to well-seasoned pools. Nostrum Mortgages 2003-1
has a weighted-average seasoning of 14.3 years, which means that
most of the loans will have a 0.5x adjustment.
S&P increased the projected loss that it modeled to meet the
minimum floor under its RMBS criteria. The projected losses are
subject to a floor of 0.50% and 0.35% for a 'BB' and 'B' rating,
respectively.
The increase in the WALS is mainly due to the application of
S&P's revised market value decline assumptions and the indexing
of its valuations under its RMBS criteria. The overall effect is
an increase in the required credit coverage for each rating
level.
Nostrum Mortgages 2003-1 features an interest deferral trigger
for the class C notes, which protects the more senior classes of
notes in stressful scenarios. The class C notes' interest will
be deferred if (i) cumulative collateral defaults represent 5% of
the original collateral balance, and (ii) if there are
insufficient funds to pay the class C notes' interest and the
class B notes' principal deficiency ledger. Cumulative defaults
currently represent 0.44% of the initial pool balance, compared
with the trigger level of 5%. The trigger has not been breached
and S&P do not expect it to be breached in the near future.
In S&P's cash flow analysis, it did not reflect the likely cost
of replacing the servicer by assuming stressed costs under S&P's
RMBS criteria. S&P's ratings on these notes are therefore weak-
linked to its 'BB-' long-term issuer credit rating (ICR) on the
servicer, Caixa Geral de Depositos S.A.
Following the application of S&P's RMBS criteria and its current
counterparty criteria, S&P has determined that its assigned
rating on each class of notes in this transaction should be the
lower of (i) the rating that the class of notes can attain under
S&P's RMBS criteria, and (ii) the rating as capped by S&P's
current counterparty criteria. S&P did not perform the
additional stresses contained in its criteria for rating single-
jurisdiction securitizations above the sovereign foreign currency
rating (RAS criteria) for the analysis because S&P's ratings in
Nostrum Mortgages 2003-1 are not above the sovereign rating on
the Republic of Portugal (BB/Positive/B; unsolicited).
S&P does not consider the volatility buffers in the transaction's
swap agreement to be in line with S&P's current counterparty
criteria. Therefore, S&P's ratings in the transaction are capped
by its long-term ICR on JP Morgan Securities, or 'A+ (sf)',
unless higher ratings are possible without giving benefit to the
swap agreement.
According to S&P's analysis, the class A notes have sufficient
available credit enhancement to withstand the stresses that are
commensurate with a 'BB-' rating level under S&P's RMBS criteria.
S&P has therefore lowered to 'BB- (sf)' from 'BB (sf)' its rating
on the class A notes.
Taking into account the results of S&P's credit and cash flow
analysis, it considers the available credit enhancement for the
class B and C notes to be commensurate with its currently
assigned ratings. S&P has therefore affirmed its 'B (sf)' and
'B- (sf)' ratings on the class B and C notes, respectively.
S&P also considers credit stability in its analysis. To reflect
moderate stress conditions, S&P adjusted its WAFF assumptions by
assuming additional arrears of 8% for one- and three-year
horizons. This did not result in S&P's rating deteriorating
below the maximum projected deterioration that it would associate
with each relevant rating level, as outlined in S&P's credit
stability criteria.
In S&P's opinion, the outlook for the Portuguese residential
mortgage and real estate market is not benign and it has
therefore increased its expected 'B' foreclosure frequency
assumption to 3.33% from 2.00%, when S&P applies its RMBS
criteria, to reflect this view. S&P bases these assumptions on
its expectation of modest economic growth, continuing high
unemployment, and sluggish house price appreciation for the
remainder of 2015 and 2016.
On the back of the weak macroeconomic conditions, S&P doesn't
expect the performance of the transactions in its Portuguese RMBS
index to significantly improve in 2015.
S&P expects severe arrears in the portfolio to remain at their
current levels, as there are a number of downside risks. These
include weak economic growth and high unemployment. On the
positive side, S&P expects interest rates to remain low.
Nostrum Mortgages 2003-1 is a Portuguese RMBS transaction, which
closed in November 2003 and securitizes first-ranking mortgage
loans. Caixa Geral de Depositos S.A originated the pool, which
comprises loans granted to prime borrowers in Portugal.
RATINGS LIST
Nostrum Mortgages 2003-1 PLC
EUR1 Billion Mortgage-Backed Floating-Rate Notes
Class Rating Rating
To From
Rating Lowered
A BB- (sf) BB (sf)
Ratings Affirmed
B B (sf)
C B- (sf)
===========
R U S S I A
===========
PERVOBANK JSC: Fitch Puts 'B' IDR on Rating Watch Evolving
----------------------------------------------------------
Fitch Ratings has placed JSC Pervobank's (PB) 'B' Long-term
Issuer Default Ratings (IDRs) on Rating Watch Evolving (RWE). The
rating action follows the announcement of an anticipated share
swap and ultimate merger with the larger Promsvyazbank (PSB).
KEY RATING DRIVERS
The RWE on PB's IDRs, National Rating, Viability Rating and
senior debt rating reflects the potential for the transaction to
significantly alter the bank's credit profile. The impact will
depend on PSB's credit profile, the degree of operational
integration between the two banks following the share swap and
the extent to which PB could, in Fitch's view, rely on support
from PSB, in case of need. PSB is a considerably larger bank,
with assets exceeding those of PB by 16 times at end-2014, and so
would dominate a 'banking group' formed by the two entities.
The Rating Watch Positive (RWP) on PB's Support Rating reflects
the potential for the rating to be upgraded if, after the share
swap, Fitch concludes that there is at least a moderate
probability of support from PSB for PB, in case of need.
According to PSB, PB will initially operate as a sister bank of
PSB. This will result from a share swap, whereby (i) PSB's
majority shareholders, the Ananiev brothers, will transfer a
stake of up to 5.6% in PSB to the owners of PB (including
Leonid Mikhelson, currently PB's main shareholder); and (ii) PB's
owners will transfer a large majority stake (exceeding 90%) in PB
to the Ananiev brothers. The parties envisage that PB will
continue to operate as a separate legal entity with its own
management, perhaps for up to three years, after which it is
likely to be merged legally with PSB and cease to exist.
RATING SENSITIVITIES
Fitch expects to resolve the Rating Watches on PB's ratings after
the share swap is completed and sufficient information on the
impact on PB's credit profile is available. The parties expect
the share swap to be completed within three months, upon receipt
of regulatory approvals. Depending on the timing of the swap and
the availability of information, the resolution of the Rating
Watches could extend beyond the typical six-month horizon.
PB's ratings could be upgraded if, in Fitch's view, PSB's credit
profile is stronger than that of PB, and PB is likely to become
closely integrated with PSB or benefit from potential support
from PSB. PB's ratings could be affirmed if PSB's credit profile
is viewed as broadly aligned with that of PB or there is expected
to be limited integration between the two banks following the
share swap. There could be downward pressure on PB's ratings if
its financial metrics deteriorate as a result of the general
weakening of the Russian operating environment, or if it loses
franchise and funding from core clients as a result of the change
in ownership.
The rating actions are as follows:
Long-term foreign and local currency IDRs: 'B'; placed on RWE
Short-term foreign currency IDR: affirmed at 'B'
National Long-term rating: 'BBB(rus)'; placed on RWE
Viability Rating: 'b'; placed on RWE
Support Rating: '5'; placed on RWP
Support Rating Floor: affirmed at 'No Floor'
Senior unsecured debt: 'B/BBB(rus)'; Recovery Rating RR4;
placed on RWE
===============
S L O V E N I A
===============
MIP: Bankruptcy Proceedings Begin in Ljubljana Court
----------------------------------------------------
STA reports that a trial related to the bankruptcy of MIP,
formerly one of the biggest meat processing groups in Slovenia,
started at the Ljubljana District Court on July 14.
According to STA, the three suspects, all relatives, denied the
charges of abuse of power in securing multi-million loans and
acquiring unlawful gains.
=========
S P A I N
=========
AYT HIPOTECARIO MIXTO II: Fitch Affirms Ratings on 2 Note Series
----------------------------------------------------------------
Fitch Ratings has upgraded two tranches of TDA Pastor 1, FTA
(Pastor 1) and affirmed two. The transaction is a securitization
of Spanish residential mortgage loans originated by Banco Pastor,
which was purchased by Banco Popular Espanol (BB+/Positive/B) in
2012.
Fitch has also affirmed AyT Hipotecario Mixto II, a
securitization composed of two series of notes: Series CH and PH.
Both series are backed by Spanish mortgages originated by
multiple banks, which were subsequently acquired by Banco Mare
Nostrum, S.A. (BB/Stable/B); Kutxabank, S.A. (BBB/Positive/F3);
Bankia, S.A. (BB+/Positive/B) and Caixabank, S.A.
(BBB/Positive/F2).
KEY RATING DRIVERS
Solid Credit Enhancement (CE)
The CE available to Pastor 1 has increased to levels that are
sufficient to withstand higher rating stresses, leading to the
one-notch upgrade of the class B and C notes. The senior tranches
have been affirmed at the Spanish structured finance rating cap
(AA+sf).
Fitch found the CE available to the notes issued under Ayt Mixto
II's series CH and PH sufficient to withstand current rating
stresses, as reflected in the affirmation of all four series.
Stable Asset Performance
Fitch notes that all three transactions are performing better
than the Spanish RMBS Index, for which late-stage arrears (loans
with more than three monthly installments overdue) and cumulative
gross defaults are reported at 1.5% of the current balance and 5%
of the original pool balance. This is a result of the
predominantly prime nature of the pools, high seasoning, between
155 months (Series PH) and 172 months (Pastor 1) and, for Pastor
1 and Series PH, low original loan-to-value ratios. Self-employed
borrowers remain the main risk factor in Pastor 1, accounting for
32.1% of the outstanding balance in arrears compared with 15.7%
of the performing portfolio. The same risk applies to Series CH
(9.7% of the arrears' balance vs. 5.9% of the performing).
Over the past 12 months, Pastor 1 has reported a 39bps decrease
in late-stage arrears, now at 0.04% of the current portfolio.
Cumulative gross defaults, defined as loans with more than 12
monthly payments overdue, remained stable at 0.24% of the
original pool balance.
Series PH performed similarly, with a 31bps decrease in late
stage arrears (currently at 0.15%) and gross defaults, loans with
more than 18 monthly installments unpaid, reported at 0.37%, up
5bps from June 2014.
Late stage arrears in Series CH continued on their declining
trend reported since December 2013, reaching 0.9% in June 2015
from 2.0% as of June 2014. The improvement has largely been
caused by loans re-performing rather than delinquent loans
rolling through to default. As a result, defaults in the
transaction remain low at 0.37% of the original balance.
Given the low level of late arrears in Pastor 1 and Series PH, as
well as the decreasing trend in Series CH, Fitch expects the
transactions' performance to remain healthy in upcoming months.
This is reflected in the Stable Outlooks across the three
structures.
Payment Interruption Risk Mitigated
Fitch tested the liquidity available in the structures, in case
of a disruption in collections received by the SPVs as a result
of servicer default. The result of this analysis confirmed that
the liquidity provided to the structures by the respective
reserve funds is sufficient to cover two payment dates of
interest on the senior notes and senior fees under stressed
interest rate assumptions.
RATING SENSITIVITIES
Spanish structured finance ratings remain dependent on the
country's economic environment. If the Spanish economic recovery
continues, the country's rating evolution could lead to positive
rating action on the sovereign, and thus a potential upward
revision of the structured finance cap. On the other hand, a
reversal of the economy could jeopardize the country's recovery
and put a strain on both the sovereign and structured finance
ratings.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pools and the transactions. With respect to Pastor 1, there were
no findings that were material to this analysis. With respect to
Series CH and PH the findings were reflected in the analysis by
taking conservative foreclosure frequency assumptions. Fitch has
not reviewed the results of any third party assessment of the
asset portfolio information or conducted a review of origination
files as part of its ongoing monitoring.
Fitch did not undertake a review of the information provided
about the underlying asset pools ahead of the transactions'
initial closing. The subsequent performance of the transactions
over the years is consistent with the agency's expectations given
the operating environment and Fitch is therefore satisfied that
the asset pool information relied upon for its initial rating
analysis was adequately reliable.
===========
S W E D E N
===========
NORTHLAND: Five Industrialists Buy Parts of Iron Mine
-----------------------------------------------------
Radio Sweden reports that five industrialists have reached into
their own pockets and bought parts of the bankrupt Northland iron
ore mine in Kaunisvaara, in northern Sweden.
According to Radio Sweden, the acquisition, which included the
mineral processing facilities and 134 railway cars, was made
through a company called Abecede AB.
The transaction is worth SEK50 million, Radio Sweden says, citing
Swedish Radio News.
Real estate, mineral rights, mining concessions and environmental
permits were left out of the deal, Radio Sweden notes.
Bert Nordberg, chairman of Danish wind turbine company Vestas, is
one of the buyers, Radio Sweden discloses.
The other four buyers are Fastighets AB Balder chief executive
Erik Selin, Applied Value Group main shareholder Bruce Grant,
Peab AB main shareholder Mats Paulsson and Volvo chairman Carl-
Henric Svanberg, Radio Sweden relays.
Northland opened the Kaunisvaara mine, in the Pajala
municipality, at the end of 2012 and stopped operations
indefinitely in October last year, laying off 300 people,
Radio Sweden recounts.
===========================
U N I T E D K I N G D O M
===========================
AFREN PLC: Seeks Suspension of Share Trading Amid Restructuring
---------------------------------------------------------------
Angelina Rascouet at Bloomberg News reports that Afren Plc asked
for trading in its shares to be suspended, saying it couldn't
accurately assess its financial position and that production was
likely to be lower than a forecast provided in March.
"It has become clear that the expected level of near-term
production is likely to be materially lower," Bloomberg quotes
the London-based company as saying on July 15 in a statement.
Afren said the company will engage with bondholders over its
request for an extra US$30 million of cash, Bloomberg relates.
Afren, a U.K. explorer of Nigerian oil and gas that defaulted on
a bond payment this year, said there is "significant uncertainty"
over the outcome of an internal review of its business plan,
Bloomberg relays.
The company raised funds from creditors in May to keep operating
and repay US$1.2 billion in borrowings, Bloomberg discloses.
Those creditors were handed a majority stake in the firm earlier
this year, Bloomberg states.
"Even with the extra debt that they had secured, it couldn't be
enough given the amount of liabilities that they had," Bloomberg
quotes Stephane Foucaud, a London-based analyst at FirstEnergy
Capital, which is reviewing Afren and no longer has a
recommendation on the stock, as saying. "It's extremely
difficult."
Afren started a US$920 million bond restructuring process in a
London court in June, Bloomberg recounts.
The company has convened a July 24 meeting on its restructuring,
which it hopes to complete before the end of August, Bloomberg
says, citing a regulatory filing published last month.
About Afren plc
Afren plc, a London-based company specializing in oil and
gas exploration and production, filed a Chapter 15 bankruptcy
petition (Bankr. D. Del. Case No. 15-11452) on July 2, 2015, in
the United States, to seek recognition of its restructuring
proceedings in England. Judge Kevin Gross presides over the U.S.
case. L. John Bird, Esq., and Jeffrey M. Schlerf, Esq., at Fox
Rothschild LLP, serve as counsel to the Debtor in the U.S. case.
AUBURN SECURITIES 9: S&P Assigns Prelim. B+ Rating on Cl. F Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
credit ratings to Auburn Securities 9 PLC's class A to F notes.
At closing, Auburn Securities 9 will also issue unrated class Z1,
Z2, and subordinated notes.
Auburn Securities 9 will be a securitization of first-lien U.K.
buy-to-let mortgage loans.
At closing, the issuer will purchase a portfolio of U.K. buy-to-
let mortgages from Capital Home Loans Ltd. (the seller; CHL),
using the note issuance proceeds to purchase the rights to the
mortgage loans.
At closing, the issuance of subordinated notes will fund the
reserve fund, which will comprise a liquidity reserve fund and a
general reserve fund.
CHL, which is in S&P's view a specialized and experienced entity
in the buy-to-let sector, originated a number of transactions
before 2008 via its Auburn shelf, but stopped originating as a
result of the global financial crisis. CHL originated all of the
loans securitized in this transaction between 1989 and 2008. CHL
is the servicer of the transaction, and Homeloan Management Ltd.
is the back-up servicer.
As CHL no longer originates, the mortgages in this pool are very
seasoned, with an average of more than 100 months.
The pool has a high concentration in the South East, including
London, at 58.78%. Furthermore, 92.39% of mortgages are
interest-only, while the remaining 7.61% pay capital and
interest.
The transaction will benefit from a nonamortizing reserve fund,
sized at 3% of the class A to Z2 notes at closing. It will be
funded at closing through part of the issuance of the
subordinated notes.
The reserve fund will comprise a liquidity reserve fund and a
general reserve fund. The liquidity reserve fund's required
amount is 3.00% of the outstanding balance of all the notes
(excluding the subordinated notes) and amortizes as the notes
amortize. The liquidity reserve will be available to pay for
senior fees and interest on the class A and B notes, and
following their redemption, on the class C, D, E, and F notes.
The general reserve fund's required amount is 3.00% of the
outstanding balance of all the notes (excluding the subordinated
notes), less the liquidity reserve fund. The amount at closing
will therefore be 0%. The general reserve will be available to
cover losses on the class A to F notes and provide credit
enhancement to the notes (excluding the class Z notes).
The transaction does not have a basis risk swap, and all
mortgages are linked to either the Bank of England's base rate
(98.17%) or a standard variable rate (1.83%). This exposes the
transaction to basis risk stress. S&P has considered this risk
in its analysis.
The class A to D notes' interest rates are equal to three-month
British pound sterling LIBOR, plus a class-specific margin with a
step-up margin after the optional redemption date. The class E
to Z2 notes are zero coupon notes.
S&P's preliminary ratings reflect its assessment of the
transaction's payment structure, cash flow mechanics, and the
results of our cash flow analysis to assess whether the notes
would be repaid under stress test scenarios. Subordination and a
general reserve fund will provide credit enhancement for the
notes. Taking these factors into account, S&P considers the
available credit enhancement for the rated notes to be
commensurate with the preliminary ratings that it has assigned.
RATINGS LIST
Preliminary Ratings Assigned
Auburn Securities 9 PLC
Mortgage-Backed Floating-Rate And Zero Coupon Notes (Including
Mortgage-Backed Unrated Notes)
Class Prelim. Prelim.
rating amount
(mil. GBP)
A AAA (sf) TBD
B AA (sf) TBD
C A (sf) TBD
D BBB+ (sf) TBD
E BB+ (sf) TBD
F B+ (sf) TBD
Z1 NR (sf) TBD
Z2 NR (sf) TBD
Sub NR (sf) TBD
NR--Not rated.
TBD--To be determined.
*********
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
short. Don't be fooled. Assets, for example, reported at
historical cost net of depreciation may understate the true value
of a firm's assets. A company may establish reserves on its
balance sheet for liabilities that may never materialize. The
prices at which equity securities trade in public market are
determined by more than a balance sheet solvency test.
Each Friday's edition of the TCR includes a review about a book
of interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/booksto order any title today.
*********
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-
published by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Valerie U. Pascual, Marites O. Claro, Rousel Elaine T. Fernandez,
Joy A. Agravante, Ivy B. Magdadaro, and Peter A. Chapman,
Editors.
Copyright 2015. All rights reserved. ISSN 1529-2754.
This material is copyrighted and any commercial use, resale or
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Information contained herein is obtained from sources believed to
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* * * End of Transmission * * *