/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/110719.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 Tuesday, July 19, 2011, Vol. 12, No. 141 Headlines G E R M A N Y IKB DEUTSCHE: Moody's Withdraws 'Ba2' Debt & Deposit Ratings TITAN EUROPE: S&P Affirms 'D' Ratings on Four Classes of Notes G R E E C E HELLENIC TELECOMS: Fitch Says Ratings Not Hurt by Greek Downgrade NAT'L BANK OF GREECE: Fitch Downgrades Long-Term IDR to 'B-' NAT'L BANK OF GREECE: Fitch Cuts Rating on Covered Bonds to 'BB-' * GREECE: Fitch Maintains RWN on 'Bsf'-Rated Tranches * GREECE: Talks with Private Creditors in Progress I R E L A N D ALLIED IRISH: DBRS Downgrades Subordinated Debt Ratings to 'D' ANGLO IRISH: Four Equity Firms Lead Bidding Race for US Loan Book DIRECTROUTE: Moody's Cuts EUR241MM Secured Loan due 2040 to 'Ba3' EUROPROP SA: S&P Lowers Rating on Class F Notes to 'B' HOUSING FINANCE: Moody's Cuts EUR6BB Commercial Paper to NP IRISH LIFE: Rebel Shareholders Seek to Halt Recapitalization IRISH LIFE: DBRS Cuts Dated Subordinated Debt Rating to 'D' * Moody's Cuts Rating of Five Banks' Gov't-Guaranteed Debt to Ba1 * IRELAND: Winding-Up Orders Down 9%, Annual Court Report Shows N E T H E R L A N D S CANDIDE FINANCING: Moody's Assigns 'Ba1' Rating to EUR150MM Notes CANDIDE FINANCING: Fitch Assigns 'BBsf' Rating on Class B Notes FORNAX BV: S&P Downgrades Rating on Class F Notes to 'B' HAMLET I: Moody's Confirms 'Ba2' Rating of EUR78MM Class B Notes P O R T U G A L HIPOTOTTA NO. 5: S&P Affirms Rating on Class F Notes at 'CCC-' R U S S I A AK OJSC: S&P Assesses Stand-alone Credit Profile at 'b+' TENEX-SERVICE: S&P Gives 'BB+/B' Counterparty Credit Ratings S P A I N BANCO FINANCIERO: Fitch Downgrades Long-term IDR to 'BB' CM BANCAJA: S&P Lowers Rating on Class C Notes to 'B+' IM PASTOR: S&P Puts 'B' Rating on Class D Notes on Watch Negative SANTANDER EMPRESAS: S&P Affirms Rating on Class F Notes at 'D' U N I T E D K I N G D O M ALL EUROPEAN: Goes Into Liquidation; Owes More Than GBP500,000 AMBAC FINANCIAL: Suit Against JPMorgan Reinstated on Appeal CONSUMER UNSECURED: S&P Lowers Rating on Class E Notes to 'B' DIVERSITY FUNDING: S&P Affirms BB- Ratings on Two Classes of Notes FOCUS (DIY): Takeover Bid Failure Leaves Workers in Limbo HOUSE OF FRASER: Moody's Rates GBP250MM Senior Notes at 'B3' LARONGROVE LTD: OAP Savers Left Penniless After Firm Went Bust LE SPA: Could Become Care Home After Appeal Victory LLOYDS BANKING: Virgin, Co-operative Leading Bidders for Branches ROYAL BANK: Risky Loan Wind-Down Losses Less Than Estimated SOUTHERN CROSS: Faces Liquidation; NHP Seek New Owner for Homes WHITE TOWER: S&P Lowers Rating on Class D Notes to 'B-' YELL GROUP: Unveils Major Online Expansion Plan * UK: Corporate Failures Could Rise in Some Sectors, PwC Warns * UK: Number of Scottish Insolvencies Up 17% in Quarter Ended June * SCOTLAND: High Streets Trading Difficulties Unlikely to Improve X X X X X X X X * EUROPE: Eight Banks Fail European Union Stress Tests * Large Companies with Insolvent Balance Sheet ********* ============= G E R M A N Y ============= IKB DEUTSCHE: Moody's Withdraws 'Ba2' Debt & Deposit Ratings ------------------------------------------------------------ Moody's Investors Service has affirmed and withdrawn the Ba2/non- prime debt and deposit ratings of IKB Deutsche Industriebank. RATINGS RATIONALE Moody's Investors Service has withdrawn the credit rating for its own business reasons. Please refer to Moody's Investors Service's Withdrawal Policy, which can be found at http://www.moodys.com/ The bank's E bank financial strength rating (BFSR), the Caa2 senior subordinated debt ratings and the Ca/C(hyb) ratings for hybrid capital instruments were also affirmed and withdrawn. Before the rating withdrawal, the outlook was stable on the E BFSR and on the subordinated debt and hybrid ratings and the outlook on the Ba2 long-term debt and deposit ratings was negative. THESE RATINGS WERE WITHDRAWN AT THE CURRENT RATING LEVEL: -- BFSR: E, stable -- Long-Term Bank Deposits: Ba2, negative -- Long-Term Senior Unsecured: Ba2, negative -- Short-Term Bank Deposits/ Commercial Paper: non-prime -- Senior Subordinated Debt: Caa2 stable -- Junior Subordinated Debt, including those issued by ProPart Funding Limited Partnership: C(hyb) stable -- Preferred Stock issued by IKB Funding Trust I and II, and by Capital Raising GmbH: Ca(hyb) stable THESE RATINGS REMAINED UNAFFECTED: -- Backed long-term senior unsecured debt guaranteed by the German government: Aaa, stable. WHAT COULD CHANGE THE RATING UP / DOWN The rating agency notes that there is major (rating) transition risk for bond holders at this point in time, given the bank's fragile risk profile. This risk stems from (i) the bank's dependence on liquidity support; (ii) weak underlying profitability, as IKB continues to post losses (adjusted for valuation gains on its own liabilities); and (iii) the persistent high fragility and volatility in the credit markets. Against this background, Moody's view on the outlook for IKB is that for the next few quarters, a change in ownership would be the main factor that could trigger a more favorable (rating) assessment. Substantial comfort for investors could be provided (i) if a strategic acquirer were to obtain majority or even full ownership of the bank; and (ii) if the combination of financial strength and the commitment of such a buyer towards IKB offers credit enhancement. In the absence of such a transaction, the risk for bondholders is likely to rise in the course of 2012 and 2013. Notwithstanding the progress made in restructuring and de-risking the bank, IKB's ability to service its debt obligations could come under increasing pressure from a combination of rising liquidity risks and external factors, in particular the German government's weakening preparedness to support systemically less relevant banks. TITAN EUROPE: S&P Affirms 'D' Ratings on Four Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its credit ratings on Titan Europe 2006-1 PLC's class A, X, B, C, and D notes, and affirmed its ratings on the class E, F, G, and H notes. "At the same time, we removed from CreditWatch negative our ratings on the class A, X, B, C, and D notes," S&P related. "The downgrades reflect our view of the deteriorating creditworthiness of the class A, X, B, C, and D notes due to an increased likelihood of losses associated primarily with the Mangusta Portfolio and KQ Warehouse Portfolio loans, two specially serviced loans, which comprise 57.9% of the remaining pool balance," S&P added. Mangusta Portfolio Loan The Mangusta Portfolio loan is secured against a portfolio of 13 mixed-use, retail, industrial, and leisure properties in various areas of Germany. Of these, the three largest are located in Wuppertal, close to Dusseldorf. The current securitized balance is EUR120.4 million (34.6% of the pool) and the B-note balance is EUR17.1 million. The reported value for the properties as of November 2009 was EUR86.5 million--a decrease of approximately 49.4% from the market value at issuance, after adjusting for the sale of one property in 2009," S&P noted. The loan has been with the special servicer, Hatfield Philips International Ltd., since June 23, 2008 following a breach of the financial information loan covenant. In February 2010, the court appointed a preliminary insolvency administrator to the borrower. In August 2010, at the creditor meeting, attendees approved the sale of the properties on the open market. In November 2010, the special servicer reported that the insolvency administrator had signed an exclusivity agreement with one potential investor, and that the special servicer had received a term sheet from the investor's financing bank. These parties subsequently agreed a sales and purchase agreement for the entire portfolio. Proceeds from the sale of Wickuler Park (the Wuppertal properties) did not materialize by the April 2011 interest payment date as previously expected, because the purchaser was not able to procure financing in time. The special servicer is now evaluating other options, including remarketing the entire portfolio," S&P continued. In the meantime, the loan continues to pay partial debt service only, as there have been ongoing capital expenditures, including renovations due to fire protection requirements, at the Wuppertal properties, and defects in heating systems in various properties in Heidelberg. The total unpaid interest amounts to EUR7.3 million. According to the Dec. 31, 2010 special servicing monthly asset status report, the reported occupancy for the portfolio is 73%, down from 91% at issuance. Rental income for the first quarter in 2011 was reported to be approximately EUR2.5 million (EUR10.0 million annually), down from EUR11.1 million annually at closing (after adjusting for the one property that was sold in 2009). In light of these factors, we believe that the likelihood of principal losses for this loan has increased since our last review," S&P said. KQ Warehouse Loan The KQ Warehouse Portfolio loan is secured by two logistics properties, one in Leipzig and one in Munich, and by a plot of development land in Leipzig. The current securitized balance is EUR81.2 million (23.3% of the pool) and the B-note balance is EUR11.9 million. The properties were leased to two tenants belonging to the Arcandor group, which filed for insolvency in June 2009. The tenant vacated the Leipzig property in February 2010. The Munich property remained leased to a section of Karstadt, a subsidiary of the Arcandor group, until a new tenant signed a lease in January 2011. In February 2011, the special servicer, Hatfield Philips International Ltd., and the borrowers agreed a one-year loan standstill. The special servicer also split the loan such that the borrower structure is no longer cross-collateralized. This allows for the possibility that one borrower could enter insolvency while the other does not. Hatfield Philips International has also reallocated the debt amounts for the properties. The Leipzig property and development land now account for 76% of the current whole loan, compared with 90% at closing. "We have also received reports that the special servicer is selling the Leipzig property and development land as three parcels. Two parcels have already been sold and the remaining parcel is reported to be in negotiation for sale. Hatfield Philips International is also marketing the Munich property," S&P related. Total unpaid interest on the loan amounted to EUR4.5 million as of the April 2011 interest payment date. "We believe that the value of the properties has further declined and that there could be significant principal losses on this loan," S&P said. Other Loans "The three other loans in the transaction are currently performing. However, two of these are showing signs of stress in our view: The Tiden Portfolio loan has a current securitized balance of EUR72.8 million (21% of the pool) and a EUR15.3 million B-note. It is scheduled to mature in 2013 but occupancy has dropped to 88% as of the April 2011 interest payment date from 99% at issuance. In addition, we estimate approximately 25% of the current annual rent is set to expire by the end of 2011. In light of these factors, we believe that the value of the properties has declined since our last review," S&P related. For the Steigenberger Hotel Portfolio loan, the servicer extended the maturity date to October 2012 from October 2010. A January 2010 valuation reported the value of the underlying property to be EUR50.6 million, which is equivalent to a 106% loan-to-value ratio. We believe that the current financing environment may affect the loan's ability to refinance in October 2012," S&P said. "As a consequence of our assessment of the increase in likelihood of principal losses associated with the Mangusta Portfolio and KQ Warehouse Portfolio loans, and our view of the Tiden Portfolio and Steigenberger Hotel Portfolio loans, we believe that the class D, E, F, G, and H notes are exposed to principal losses. We have therefore lowered our rating on the class D notes to 'B+ (sf)' and affirmed our 'D (sf)' rating on the class E, F, G, and H notes. Furthermore, should the class D, E, F, G, and H notes experience principal losses, the subordination available to the class A, B, and C notes will be adversely affected. Accordingly, we have also lowered our ratings on the class A, B, and C notes," S&P stated. "In light of these downgrades, we have also lowered our rating on the class X notes to 'AA (sf)' in line with our 'Global Methodology For Rating Interest-Only Securities,' published April 15, 2010. For interest-only securities that reference either the entire asset pool of a transaction or an amortization schedule or formula, we maintain their ratings until all principal -- and interest-paying classes of notes rated 'AA-' or higher have been retired or downgraded below that rating level, at which time we will withdraw these interest-only ratings," S&P related. "In December 2010, we placed our ratings on the class C and D notes on CreditWatch negative as a result of indications that ultimate recoveries on the Mangusta loan may fall below our previous estimate. After our review, we have removed our ratings from CreditWatch negative," S&P said. "On Jan. 18, 2011, we placed on CreditWatch negative our ratings on the class A, X, and B notes when our 2010 counterparty criteria became effective. After our review, we have removed our ratings on these notes from CreditWatch negative. Our analysis indicates, based on the application of our 2010 counterparty criteria, that the counterparties can support the current ratings," S&P said. Titan Europe 2006-1 closed in March 2006 with notes totaling EUR723.3 million. The notes have a legal final maturity in January 2016. Of the 10 loans that originally backed the transaction, five have repaid. The note balance has reduced to EUR348.3 million. Ratings List Class Rating To From Titan Europe 2006-1 PLC EUR723.303 Million Commercial Mortgage-Backed Floating-Rate and Variable-Rate Notes Ratings Lowered and Removed From CreditWatch Negative A AA (sf) AAA (sf)/Watch Neg X AA (sf) AAA (sf)/Watch Neg B BBB-(sf) AA (sf)/Watch Neg C BB- (sf) A- (sf)/Watch Neg D B+ (sf) BB- (sf)/Watch Neg Ratings Affirmed E D (sf) F D (sf) G D (sf) H D (sf) =========== G R E E C E =========== HELLENIC TELECOMS: Fitch Says Ratings Not Hurt by Greek Downgrade ----------------------------------------------------------------- Fitch Ratings says that Hellenic Telecommunications Organization S.A.'s (OTE) ratings are unchanged following Fitch's downgrade of the Greek sovereign rating to 'CCC' from 'B+'. Fitch previously guided on the level of constraint a euro zone sovereign rating exerts on domestic corporates, which led to a downgrade of OTE's Issuer Default Rating (IDR)and OTE PLC's senior unsecured rating to 'BB' from 'BBB-' on May 23, 2011. More specifically, Fitch indicated that should the sovereign rating deteriorate to 'B' and below, the 'BB' rating would represent a 'floor' of the direct influence of a sovereign rating upon the rating of domestic corporates. As a result, OTE's current ratings remain unchanged, reflecting the de-coupling of the direct sovereign rating influence and the transition to a more 'standalone' approach of OTE's credit profile. In this context, while the Greek issuer's standalone profile deteriorated in Q111, it is still within the boundaries of Fitch's rating case, which allows for a 13% service revenue decline for FY11. The agency is therefore of the view that OTE still maintains a reasonable amount of headroom above its 'BB' IDR level. More particularly, using conservative assumptions of OTE's capacity to reduce capex and maintain a low level of dividends payments, Fitch estimated that OTE's EBITDA would need to decline by 54% for its standalone profile to weaken to below its current constrained IDR of 'BB', taking its FFO adjusted leverage to 4.5x and interest cover to 4.0x. Fitch guides that further negative rating action could be triggered should evidence emerge of a disorderly debt restructuring at the sovereign level with either (i) direct knock- on effects on operational performance beyond those identified in Fitch's standalone stress case described above, or (ii) indirect effects on the ability more generally of Greek corporates to maintain efficient treasury functions in relation to their external creditors. Conversely, material developments in OTE's relationship with 30% shareholder Deutsche Telekom AG (DT, 'BBB+'/Stable), which lead Fitch to assume greater levels of formal support for OTE, or, separately, a material reversal of the trajectory of recent rating actions for the sovereign could result in positive rating implications. NAT'L BANK OF GREECE: Fitch Downgrades Long-Term IDR to 'B-' ------------------------------------------------------------ Fitch Ratings has downgraded National Bank of Greece's (NBG), Efg Eurobank Ergasias' (Eurobank) Alpha Bank's (Alpha), Piraeus Bank's (Piraeus) and Agricultural Bank of Greece's (ATEbank) Long-term Issuer Default Ratings (IDR) to 'B-' from 'B+' and maintained them on Rating Watch Negative (RWN). At the same time, Fitch has downgraded their Support Ratings to '5' from '4' and revised the Support Rating Floors (SRF) to 'B-' from 'B+' and placed them on RWN. The banks' 'B' Short-term IDRs have also been placed on RWN. The rating actions follow the downgrade of Greece's sovereign rating to 'CCC' from 'B+'. The agency has also maintained T Bank's 'B-' Long-term IDR on RWN, affirmed its Support Rating at '5' and revised its SRF to 'B-' from 'No Floor' and placed it on RWN. State-guaranteed issues have been also downgraded to 'B-' from 'B+' and maintained on RWN. The six Greek banks' Long-term IDRs are on their SRF and reflect Fitch's assumption that international support from the IMF/EU/ECB in respect of Greek banks' recapitalization and re-financing continues to be available for the time being. The RWN on their IDRs and SRFs reflect the risk of a downgrade if there is any further downgrade of Greece's sovereign rating and/or there are changes to the assumptions underpinning Fitch's judgment on support to Greece and Greek banks. The downgrade of NBG, Eurobank, Alpha, Piraeus and ATEbank's Individual Ratings to 'E' from 'D/E' indicates Greek banks' deteriorating creditworthiness and the agency's view that pressure on banks' capital, funding and liquidity and asset quality is escalating due to serious concerns about the Greek sovereign and the economy. Greek banks' funding and liquidity profiles are currently supported by extraordinary liquidity provided by the ECB and remain at risk, given banks' little margin of manoeuvre against continued deposit outflows and limited scope to build liquidity buffers. Fitch also notes banks' vulnerable capital position to Greek sovereign shocks. T Bank's Individual Rating of 'E' has been affirmed, highlighting the above risks and its merger plans with the state-owned bank IT Hellenic Postbank S.A. As a result of the above rating actions, the banks' debt issues (including senior, subordinated and hybrid capital issues) have been downgraded and placed on RWN. Recovery Ratings (RR) for the banks' unsecured senior and subordinated debt issues have been affirmed at 'RR4' and 'RR6', respectively. The rating actions are: National Bank of Greece S.A. -- Long-term IDR downgraded to 'B-' from 'B+'; RWN maintained -- Short-term IDR 'B'; placed on RWN -- Individual Rating downgraded to 'E' from 'D/E' -- Support Rating downgraded to '5' from '4'; RWN removed -- Support Rating Floor revised to 'B-' from 'B+'; RWN maintained -- Senior notes downgraded to 'B-/RR4' from 'B+/RR4'; RWN maintained -- Hybrid capital downgraded to 'C' from 'CCC'; RWN removed -- State-guaranteed issues downgraded to 'B-' from 'B+'; RWN maintained Efg Eurobank Ergasias S.A. -- Long-term IDR downgraded to 'B-' from 'B+'; RWN maintained -- Short-term IDR 'B'; placed on RWN -- Individual Rating downgraded to 'E' from 'D/E' -- Support Rating downgraded to '5' from '4'; RWN removed -- Support Rating Floor revised to 'B-' from 'B+'; RWN maintained -- Senior notes downgraded to 'B-'/'RR4' from 'B+/RR4'; RWN maintained -- Market-Linked Senior notes downgraded to 'B-emr'/'RR4' from 'B+ emr/RR4'; RWN maintained -- Commercial paper at 'B'; placed on RWN -- Subordinated notes downgraded to 'C'/'RR6' from 'B-'/'RR6'; RWN removed -- Hybrid capital downgraded to 'C' from 'CCC'; RWN removed -- State-guaranteed issues downgraded to 'B-' from 'B+'; RWN maintained -- Short-term state-guaranteed issues at 'B', placed on RWN Alpha Bank S.A. -- Long-term IDR downgraded to 'B-' from 'B+'; RWN maintained -- Short-term IDR 'B'; placed on RWN -- Individual Rating downgraded to 'E' from 'D/E' -- Support Rating downgraded to '5' from '4'; RWN removed -- Support Rating Floor revised to 'B-' from 'B+'; RWN maintained -- Senior notes downgraded to 'B-/RR4' from 'B+'/'RR4'; RWN maintained -- Market-Linked Senior notes downgraded to 'B-emr'/'RR4' from 'B+ emr/RR4'; RWN maintained -- Subordinated notes downgraded to 'C'/'RR6' from 'B-'/'RR6'; RWN removed -- Junior subordinated notes downgraded to 'C' from 'CCC'; RWN removed -- Hybrid capital downgraded to 'C' from 'CCC'; RWN removed -- State-guaranteed issues downgraded to 'B-' from 'B+'; RWN maintained -- Short-term state-guaranteed issues at 'B', placed on RWN Piraeus Bank S.A. -- Long-term IDR downgraded to 'B-' from 'B+'; RWN maintained -- Short-term IDR 'B'; placed on RWN -- Individual Rating downgraded to 'E' from 'D/E' -- Support Rating downgraded to '5' from '4'; RWN removed -- Support Rating Floor revised to 'B-' from 'B+'; RWN maintained -- Senior notes downgraded to 'B-'/'RR4' from 'B+'/'RR4'; RWN maintained -- Commercial paper at 'B'; placed on RWN -- State-guaranteed issues downgraded to 'B-' from 'B+'; RWN maintained Agricultural Bank of Greece (ATEbank) -- Long-term IDR downgraded to 'B-' from 'B+'; RWN maintained -- Short-term IDR 'B'; placed on RWN -- Individual Rating downgraded to 'E' from 'D/E', RWN removed -- Support Rating downgraded to '5' from '4'; RWN removed -- Support Rating Floor revised to 'B-' from 'B+'; RWN maintained -- State-guaranteed issues downgraded to 'B-' from 'B+'; RWN maintained T Bank -- Long-term IDR 'B-'; RWN maintained -- Short-term IDR 'B'; RWN maintained -- Individual Rating affirmed 'E' -- Support Rating affirmed at '5' -- Support Rating Floor revised to 'B-' from 'No Floor'; placed on RWN -- Subordinated notes affirmed at 'C' -- Hybrid capital affirmed at 'C' In Fitch's rating criteria, a bank's standalone risk is reflected in Fitch's Individual Ratings and the prospect of external support is reflected in Fitch's Support Ratings. Collectively these ratings drive Fitch's Long- and Short-term IDRs. NAT'L BANK OF GREECE: Fitch Cuts Rating on Covered Bonds to 'BB-' ----------------------------------------------------------------- Fitch Ratings has downgraded the mortgage covered bonds issued by Alpha Bank, Eurobank EFG, National Bank of Greece (NBG) and Piraeus Bank in Greece. The mortgage covered bonds issued by Marfin Popular Bank (Marfin) in Cyprus remain unaffected. All programmes are maintained on Rating Watch Negative (RWN): -- Alpha Bank's covered bonds: downgraded to 'BBB-' from BBB'; maintained on RWN -- Eurobank EFG's covered bonds: downgraded to 'BBB-' from 'BBB'; maintained on RWN -- NBG's covered bonds (Programme I): downgraded to 'BB-' from 'BB+'; maintained on RWN -- NBG's covered bonds (Programme II): downgraded to 'BBB-' from 'BBB'; maintained on RWN -- Piraeus Bank's covered bonds: downgraded to 'BBB-' from 'BBB'; maintained on RWN -- Marfin's covered bonds: 'BBB/RWN' unaffected On aggregate, the six programs represent EUR19 billion of rated debt. The rating actions follow the downgrade of Greece's sovereign rating to 'CCC' from 'B+/RWN' on July 13, 2011, and subsequent downgrades of Alpha's, Eurobank EFG's, NBG's and Piraeus' Long Term Issuer Default Ratings (IDR) to 'B-/RWN' on July 14, 2011. Alpha Bank's, Eurobank EFG's, NBG's Programme II and Piraeus's covered bond programs are currently undergoing structural amendments that will transform the existing liability profile from soft-bullet (10-year extendible maturity) to partial pass-through amortization. Under the soft-bullet redemption currently in place, the programs are exposed to refinancing risk to the extent that, in the event of an issuer default, a certain portion of the mortgage cover pool will need to be liquidated after 10 years in order to repay the covered bonds still outstanding at that time. In contrast, a pass-through amortization will eliminate maturity mismatches and effectively remove refinancing risk from the associated covered bonds. Pending these amendments to documentation, Fitch has downgraded the four programs to 'BBB-' and maintained them on RWN. Fitch expects the issuers to complete the amendments by July 29, 2011. Covered bonds with adequate pass-through provisions by that date will be maintained at their current rating, while programs that have not implemented the planned amendments within this timeframe will be downgraded to non-investment grade. Unlike the four programs above, NBG's Programme I features a one- year extendible maturity, which, in Fitch's view, critically exposes the program to refinancing risk upon an issuer default. On a probability of default (PD) basis, the covered bonds' rating is therefore downgraded to 'B-' in line with NBG's IDR, while the covered bonds benefit from an uplift to 'BB-' when factoring in stressed recoveries from the cover pool given a default of the bonds. The program's Discontinuity Factor (D-Factor) remains at 100%, while the maximum asset percentage (AP) committed by NBG for its Programme I currently stands at 53%. Marfin's covered bonds issued in Cyprus and secured by Greek mortgage loans are unaffected at 'BBB'/RWN. The covered bonds' rating on a PD basis is already at its floor, which is Marfin's IDR at 'BBB-'. However, the bonds benefit from an uplift to 'BBB' when factoring in stressed recoveries from the cover pool given a default of the bonds. Similar to NBG's Programme I, Marfin's D- Factor remains at 100%. The maximum AP committed by Marfin for its covered bonds program currently stands at 95%. In parallel, Fitch has applied its Covered Bonds Counterparty Criteria, published 14 March 2011, on its rating universe of Greek and Cypriot covered bond programs. All six programs benefit from a commingling reserve, currently funded, which Fitch has found sufficient to cover three months of interest payments on the covered bonds. Additionally, NBG Programme I features an interest rate swap with Deutsche Bank AG (rated 'AA-(RWN)'/'F1+'), whereby interest collections on mortgage loans are exchanged against the coupon payable on the bonds. Termination payments on this swap rank pari passu with payments due on the covered bonds. However, the potential strain this could put on liquidity bears no impact on the program's D-Factor, which is already set at 100%. The remaining five programs feature no swap arrangements, and therefore, according to the criteria, no adjustment to their D- Factor is warranted. Overall, the RWN on all Greek and Cypriot covered bonds is a reflection of the adverse economic conditions and heightened uncertainty surrounding recent developments in Greece. The RWN on the five programs issued out of Greece also mirrors the RWN applied to the IDRs of the Greek banks. For Alpha Bank's, Eurobank EFG's, NBG program II's and Piraeus Bank's covered bonds, and until July 29, 2011, the RWN further addresses the ongoing documentation amendments on the four programs. * GREECE: Fitch Maintains RWN on 'Bsf'-Rated Tranches ----------------------------------------------------- Fitch Ratings has maintained the Rating Watch Negative on all tranches rated 'Bsf' and above, of 16 Greek structured finance transactions (three ABS, 13 RMBS). In addition, Fitch has downgraded two credit-linked ABS tranches. The rating actions follow Fitch's downgrade of Greece's Long-term foreign and local currency Issuer Default Ratings (IDRs) to 'CCC'. Although the downgrade of the sovereign debt ratings implies that a sovereign default is a real possibility, this does not have an immediate impact on the ratings of structured finance ratings, other than the two credit-linked ABS transactions. As previously stated, a further downgrade, or even some form of sovereign default, may not necessarily indicate an increase in the risk associated with Greek structured finance transactions. Additional negative rating action is more likely to be prompted by performance deterioration. The maintained RWN on the notes that have ratings 'Bsf' and above reflects the uncertainty over the future performance of the underlying borrowers in the transactions. In particular, Fitch believes that the implementation of further austerity measures may negatively affect the ability and willingness of borrowers to make their debt payments. The agency notes that RMBS transactions are already starting to show an increase in arrears and that reserve fund draws have been reported on two Fitch-rated deals. The RWN also reflects the transactions' increased exposure to operational risks relating to their bank counterparties (including technical insolvency and liquidity constraints), which may be faced upon the default or further deterioration of the sovereign. Finally, it addresses the potential for negative rating action on RMBS transactions in light of Fitch's upcoming review of its residential mortgage loss criteria assumptions for Greece. Fitch will resolve the RWN once additional clarity is available regarding the nature and conditions of the restructuring of Greece's debt burden and its effect on the broader economy and, specifically, the structured finance transactions under analysis. * GREECE: Talks with Private Creditors in Progress -------------------------------------------------- Matthew Saltmarsh at The New York Times reports that the group representing Greece's private creditors said Sunday that progress was being made in working out the involvement of international banks in the next Greek bailout. Charles H. Dallara, managing director of the Institute of International Finance, an organization representing major global financial companies, flew to Rome last week to attend meetings on Thursday and Friday led by Vittorio Grilli, a senior official at the Italian Treasury and the chairman of a European committee working on the second Greek bailout, The New York Times relates. According to The New York Times, Mr. Dallara, who is based in Washington, said he would remain in Europe this week to coordinate the effort, with conference calls and face-to-face meetings planned among bankers and officials. The New York Times says talks are to continue this week before a meeting of European leaders in Brussels on Thursday, where they are expected to reach agreement on a second bailout for Athens. The amount could total around EUR90 billion, or US$127 billion, and up to one-third of that is expected to be accounted for by private creditors, mainly French and German banks, The New York Times states. The remainder would come from the European Union and the International Monetary Fund, according to The New York Times. Questions remain about the scale of debt buybacks and exchanges that will be employed, the duration of the bond maturities that would be covered, the assessment of the rate of return on debt rollovers, the amount of collateral that would be required for Greek banks to participate, and the risk-free interest rate that investors would seek as part of a plan, The New York Times states. The emphasis of the talks is on "transforming the debt structure over 10 years," meaning extending the life span of shorter maturity bonds to 10 years, and on deciding which bonds would be eligible for buyback schemes, The New York Times says, citing one person involved in the discussions. He added that the amount of Greek debt accounted for by the private sector was around EUR150 billion, based on figures from the Institute of International Finance, the International Monetary Fund and the Greek debt office, The New York Times notes. ============= I R E L A N D ============= ALLIED IRISH: DBRS Downgrades Subordinated Debt Ratings to 'D' -------------------------------------------------------------- DBRS Inc. has downgraded the ratings of the GBP 368.253 million Dated Subordinated Debt due 2019 issued by Allied Irish Banks p.l.c. to "D" from "C". The downgrade follows the settlement of the proceedings before the High Court of Ireland involving certain holders of the Notes and the Minister for Finance. In respect of the Notes, the High Court has declared that the subordinated liabilities order issued by the High Court on 14 April 2011 under the Credit Institutions (Stabilisation) Act 2010 is effective as of April 22, 2011. The SLO amends the terms of the subordinated debt, including interest due, so that it is payable only at the option of AIB; and the maturity date of the Notes has been extended to June 2035. Additionally, in accordance with the amendments, AIB announced that no payment of interest that would have been due to holders of the Notes on 25 June 2011 will be made by AIB. The downgrade reflects the halting of interest payments on the Notes by AIB and DBRS's expectation that the future interest payments of these outstanding subordinated instruments will be halted, as allowed by the High Court. Further, the downgrade considers the aforementioned extension of the final maturity date. Given that bondholders are unlikely to receive interest as agreed upon and that the expected maturity has been extended, DBRS views these actions as disadvantageous to bondholders, which is considered a default under DBRS policy. ANGLO IRISH: Four Equity Firms Lead Bidding Race for US Loan Book ----------------------------------------------------------------- Laura Noonan at Irish Independent reports that four private equity consortiums are leading the race for Anglo Irish Bank's US$10 billion (EUR7 billion) US loan portfolio, while a shortlist of "about 10" bidders has been drawn up for the lender's EUR500 million wealth management business. The update on Anglo's sales comes as the collapsed bank and Irish Nationwide, soon to be collectively known as 'IBRC', embark on a 10-year plan to sell off assets loans and shut their businesses, Irish Independent relates. According to Irish Independent, reports in the US on Thursday reveal that Anglo's US$10 billion US loan book is being courted by some of the biggest names in finance, including American International Group (AIG), BlackRock, Blackstone, Deutsche Bank and TPG. The finance giants are grouped together in four consortiums who may lodge first-round bids by August 9, Irish Independent says, citing reports on Bloomberg. The Irish Independent understands that several other parties are also looking at the loan book, which features 248 commercial loans stretching from Manhattan to Florida. Anglo, Irish Independent says, is hoping to close the sale of the US book in the third quarter, well ahead of the December 31 deadline the bank is officially working towards. As reported by the Troubled Company Reporter-Europe on July 1, 2011, BreakingNews.ie related that The European Commission cleared a bailout plan for Anglo Irish Bank and the Irish Nationwide Building Society. BreakingNews.ie disclosed that the proposal, which was submitted for approval in January, provides for the merger of the two troubled institutions and their winding down over the next 10 years. Anglo Irish and Irish Nationwide jointly received EUR34.7 billion in capital injections from the State to cover losses on property loans, BreakingNews.ie noted. Anglo Irish Bank Corp PLC -- http://www.angloirishbank.com/-- operates in three core areas: business lending, treasury and private banking. The Bank's non-retail business is made up of more than 11,000 commercial depositors spanning commercial entities, charities, public sector bodies, pension funds, credit unions and other non-bank financial institutions. The Company's retail deposits comprise demand, notice and fixed term deposit accounts from personal savers with maturities of up to two years. Non-retail deposits are sourced from commercial entities, charities, public sector bodies, pension funds, credit unions and other non-bank financial institutions. In addition, at Sept. 30, 2008, its non-retail deposits included deposits from Irish Life Assurance plc. The Private Bank offers tailored products and solutions for high net worth clients and operates the Bank's lending business in Ireland and the United Kingdom. DIRECTROUTE: Moody's Cuts EUR241MM Secured Loan due 2040 to 'Ba3' ----------------------------------------------------------------- Moody's Investors Service has downgraded to Ba3 from Ba2 the rating for the EUR143.5 million guaranteed secured loan due 2040 from Landale Asset Purchasing Company No 3 Limited (including a EUR3 million standby loan), and the EUR97.6 million guaranteed secured loan from the European Investment Bank both raised by DirectRoute (Limerick) Finance Limited. The rating outlook remains negative. RATINGS RATIONALE The rating action follows Moody's recent downgrade of the Government of Ireland to Ba1 from Baa3. The underlying rating of the Loans is underpinned by the credit strength of the National Roads Authority, as payer under the Concession Agreement. The Issuer is a financing conduit that on-lends the proceeds of the Loans to DirectRoute (Limerick) Limited, which is responsible for financing, procuring, operating and maintaining the Limerick Tunnel PPP Scheme. The NRA provides a minimum traffic guarantee under the Concession Agreement, and the actual Average Daily Traffic has to date been less than the minimum traffic guarantee level. As a result, payments are made under the minimum traffic guarantee and Moody's is applying a two-notch differential between the rating of the Loans and that of the Irish Government. This differential is consistent with Moody's approach for availability-based projects, as outlined in Moody's methodology for Operating Risk in Privately-Financed Public Infrastructure (PFI/PPP/P3) Projects, published in December 2007. The Project's negative outlook reflects the negative outlook of Ireland's Government bond rating as Moody's expects the rating of the Loans to move with the Government bond rating. Ireland's rating would not necessarily have acted as an absolute cap on the rating if toll revenues had been sufficient to make the minimum revenue guarantee a contingent rather than essential support. However the lower than expected actual revenues now make the Project reliant on the minimum traffic guarantee payments (which have already started to flow), and in this scenario it is more appropriate to impose the usual two-notch gap between offtaker rating and project rating as outlined by the Operating Risk in Privately-Financed Public Infrastructure (PFI/PPP/P3) Projects methodology. The Loans benefit from an unconditional and irrevocable guarantee of scheduled principal and interest under a financial guarantee insurance policy issued by MBIA UK Insurance Limited (MBIA; rated B3, negative outlook). However, as MBIA's rating is lower than the underlying rating, the rating of the Loans is determined by the underlying rating. The Project involves a 10 km tolled dual carriageway bypass, located to the southwest of the City of Limerick (situated in the southwest of Ireland on the River Shannon). The Project consists of a 675 meter immersed tube tunnel under the River Shannon and other significant structures including bridges, underpasses and culverts. The Project was opened to traffic on 27 July 2010. The principal methodologies used in this rating were Operational Toll Roads published in December 2006, and Operating Risk in Privately-Financed Public Infrastructure (PFI/PPP/P3) Projects published in December 2007. DirectRoute (Limerick) Limited is ultimately owned by Strabag (20%), John Sisk & Sons (10%), Lagan Holdings Limited (10%), Roadbridge Limited (10%), Allied Irish Banks PLC (25%) and Meridiam Infrastructure Finance S.a.r.l (25%). EUROPROP SA: S&P Lowers Rating on Class F Notes to 'B' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its credit ratings on EuroProp (EMC VI) S.A.'s class A, B, C, D, and F notes. "At the same time, we removed from CreditWatch negative our ratings on the class A and B notes, and affirmed the rating on the class E notes," S&P said. "The downgrades reflect our view of expected losses for this transaction," S&P said. There are 18 loans in this transaction, 17 of which are secured against 122 commercial and residential properties of secondary quality, located in Germany. The eighteenth loan is secured by a single office property in Paris. Since 2010, three loans have suffered material declines in income due to vacancies: The Sunrise II loan, the Signac loan, and the Henderson 3 (Staple) loan. This led to our negative rating actions on July 20, 2010 (see 'Ratings Lowered On EuroProp (EMC VI)'s Class D, E, And F Notes Due To Deteriorating Credit Performance'). The current status of the Sunrise II loan, the Signac loan, and the Henderson 3 (Staple) loan, is: Sunrise loan (23.6% of the pool): This loan matures this month. "We understand that the borrower has asked the servicer (Citibank International PLC) for an extension of the loan and provided a detailed business plan and budget proposal. We also understand that the servicer is in the process of reviewing the proposal. Given the time to note maturity in 2017, we believe it is likely that the request will be granted. Under our stressed scenarios, we do not expect losses for this loan," S&P said. Signac loan (10.51% of the pool): This loan also matures this month, but according to its terms it may be extended twice by one year if there is no loan-default event. The loan is backed by a high quality multi-tenanted asset in a secondary location. "The weighted-average lease term (to first break) is 2.3 years. We anticipate that this loan may be extended; however, we believe there is a risk of losses on this loan given its lease maturity profile and the existence of an ongoing dispute with the principal tenant," S&P said. Henderson 3 (Staple) loan (8.8% of the pool): This loan matures in 2013. "We continue to believe that there is heightened term risk for this loan, given material arrears following vacancies and the latest reported information that shows both the interest coverage ratio (ICR) and the debt service coverage ratio (DSCR) at 0.41%. We understand that none of the assets have been revalued since closing. Most of the properties are single-tenanted and the property cash flow has deteriorated since closing. Under our stressed scenarios, we anticipate losses for this loan," S&P related. "Since our rating action in July 2010, two loans (EPIC Horse and EPIC Rhino) went into special servicing following a default of amortization payment obligations and accrued interest obligations. The special servicer for these loans is Capita Asset Services (UK) Ltd.," S&P said Epic Rhino Loan (7.10% Of The Pool) The loan has been in default since July 2010, for breach of amortization payment obligations that are due to portfolio vacancies and non-recoverable expenses. The loan matures in 2013. The loan is secured on eight residential properties in Western Germany, which were built in the 1960s and 1970s. "We understand that there has been limited borrower reporting on this loan, but we understand that the borrowers' difficulties resulted from new vacancies," S&P related. A February 2011 valuation gave a EUR34.6 million value for the properties (against a reported value of EUR47.2 million at closing). "We have not had sight of this valuation. It resulted in the calculation of an appraisal reduction amount of EUR1.316 million for this loan. We understand that the loan suffered an interest shortfall on the April interest payment date of EUR184,452. Despite this and the loan's default, we do not consider that the rated notes are currently at risk of an interest shortfall or a principal loss," S&P said. Epic Horse Loan (5.7% Of The Pool) The loan has also been in default since July 2010, for breach of amortization payment obligations. The loan matures in 2014. The loan is secured on three residential portfolios (accounting for 50% of the income) and two commercial properties (30% office, 17% retail, and 6% industrial) in Germany. "We understand that a key tenant (Carus, 27% of the income) is experiencing financial difficulties, and rent payments have declined as a result. We understand that the servicer is in discussion with the borrower and that conditions to a standstill agreement are being considered, including: (a) That the borrower provides full reporting; and (b) the borrower replaces the asset management team and transfers the property management to a company known to the servicer. We understand that the borrower is preparing a business plan for submission to the servicer," S&P said. A February 2011 valuation gave a EUR26.9 million value for the property (against a reported value of EUR34.3 million at closing). An appraisal reduction amount of EUR2,142,978 has been calculated as a result. "Despite this and the loan's default, we do not consider that the rated notes are currently at risk of an interest shortfall or a principal loss," S&P said. "Performance of the remaining loans is stable, in our view. Although there are a further six years to note maturity, given the issues outlined above in relation to the loans, a degree of delay in reporting, and the secondary quality of the portfolio, we have made conservative assumptions and under our stressed scenarios we anticipate losses for the three loans mentioned. We have taken the rating actions in this context," S&P said. Counterparty Analysis "On Jan. 18, 2011, we placed our ratings on the class A and B notes on CreditWatch negative when our 2010 counterparty criteria became effective. After our review, we have removed our ratings on these notes from CreditWatch negative," S&P related. EuroProp (EMC VI), is a 2007-vintage commercial mortgage-backed securities transaction. It is secured by commercial real estate assets located in Germany and France. None of the eighteen loans have fully repaid. The final maturity date of the notes is January 2017. Ratings List Class Rating To From EuroProp (EMC VI) S.A. EUR489.775 Million Commercial Mortgage-Backed Floating-Rate Notes Ratings Lowered and Removed From CreditWatch Negative A AA (sf) AAA (sf)/Watch Neg B A (sf) AA (sf)/Watch Neg Ratings Lowered C BBB- (sf) A (sf) D BB- (sf) BB+ (sf) F B (sf) B+ (sf) Rating Affirmed E BB- (sf) HOUSING FINANCE: Moody's Cuts EUR6BB Commercial Paper to NP ----------------------------------------------------------- Moody's Investors Service downgraded the short-term debt rating of Housing Finance Agency, p.l.c.'s EUR6.0 billion commercial paper program to NP from P-3. The rating announcement reflects Moody's downgrade on 12 July 2011 of the Republic of Ireland's, the guarantor of the commercial paper program, government bond ratings to Ba1, negative outlook, and short-term debt rating to NP. RATINGS RATIONALE HFA's commercial paper program is irrevocably and unconditionally guaranteed by the Republic of Ireland. As a consequence, the short-term debt rating on the CP program reflects the guarantor's short-term rating. While a rating upgrade is regarded as unlikely in the near term, an upgrade of the guarantor's short-term rating would put upward pressure on HFA's CP rating. The principal methodology used in this rating was Government- Related Issuers: Methodology Update published in July 2010. IRISH LIFE: Rebel Shareholders Seek to Halt Recapitalization ------------------------------------------------------------ Simon Carswell at The Irish Times reports that the leader of a group of rebel shareholders in Irish Life and Permanent has said they will challenge the Minister for Finance if he seeks a High Court order to proceed with the company's recapitalization and takeover by the state. The Irish Times relates that an offer from lawyers for eight shareholders within the group to secure a settlement of 90% a share from the government expired at a deadline set by the shareholder group on Friday. According to The Irish Times, the group, led by Malta-based investment fund Scotchstone Capital, is seeking to halt the EUR3.8 billion government recapitalization which will leave the state with a 99% stake in the company, wiping out shareholder interests. The Irish Times says the shareholders have enough support to table four resolutions at an extraordinary general meeting next Wednesday to approve the recapitalization. Piotr Skoczylas, Scotchstone managing director, told The Irish Times the shareholder group would "do what is in their power to oppose this totally unjust and illegal expropriation by [the] back door". Law firm Brown Rudnick, representing eight shareholders, wrote to the Government on Thursday, seeking 90 cent for each share and threatening legal action if no settlement was reached, The Irish Times recounts. Mr. Skoczylas, as cited by The Irish Times, said the offer was not accepted by the deadline. He stressed the offer from the law firm would be for the benefit of a group of about 150 shareholders who were supporting him, The Irish Times notes. Headquartered in Dublin, Irish Life & Permanent plc -- http://www.irishlifepermanent.ie/-- is a provider of personal financial services to the Irish market. Its business segments include banking, which provides retail banking services; insurance and investment, which includes individual and group life assurance and investment contracts, pensions and annuity business written in Irish Life Assurance plc and Irish Life International, and the investment management business written in Irish Life Investment Managers Limited; general insurance, which includes property and casualty insurance carried out through its associate, Allianz- Irish Life Holdings plc, and other, which includes a number of small business units. On June 30, 2008, it acquired the rest of the 50% interest in Joint Mortgage Holdings No. 1 Limited (the parent of Springboard Mortgages Limited), resulting in Springboard Mortgages becoming a wholly owned subsidiary. On December 23, 2008, it acquired an additional 23% of Cornmarket Group Financial Services Ltd, bringing its interest to 98%. IRISH LIFE: DBRS Cuts Dated Subordinated Debt Rating to 'D' ----------------------------------------------------------- DBRS Inc. has downgraded the Dated Subordinated Debt rating of Irish Life & Permanent plc to "D" from "C". The downgrade follows the execution of the Group's note tender offer. The default status for the purchased and now-extinguished notes reflects DBRS's view that bondholders were offered limited options and that a distressed exchange has now occurred, which is considered a default under DBRS policy, as discussed in DBRS's press release dated June 8, 2011. This rating action affects the following securities issued by IL&P and rated by DBRS; Variable Rate Notes due March 2023 (ISIN XS0165027664), Callable Subordinated Floating Rate Notes due 2015 (ISIN XS0226352713), Step-Up Floating Rate Notes due 10 August 2015 (ISIN XS0226430022), Floating Rate Notes due 2016 (ISIN XS0274209583), Subordinated Callable Floating Rate Notes due 2017 (ISIN XS0295772189), Fixed/Floating Rate Step-Up Callable Subordinated Notes due 2017 (ISIN XS0299987288), Floored CMS Linked Notes due June 2018 (ISIN XS0369699623) and Subordinated Callable Fixed Rate Notes due 2018 (ISIN XS0371760363). * Moody's Cuts Rating of Five Banks' Gov't-Guaranteed Debt to Ba1 ----------------------------------------------------------------- Moody's Investors Service downgraded to Ba1 with a negative outlook from Baa3 the government-guaranteed debt of five Irish banks. This action follows Moody's downgrade of Ireland's government's bond ratings to Ba1 with a negative outlook from Baa3. The government-guaranteed debt of these banks has been downgraded: - Allied Irish Banks (AIB) - Anglo Irish Bank (Anglo Irish) - Bank of Ireland (BoI) - EBS Ltd (EBS) - Irish Life & Permanent (IL&P) There is no impact on other ratings of banks in Ireland. RATINGS RATIONALE In line with the downgrade of the Irish government bond rating to Ba1 (with a negative outlook), Moody's has downgraded to Ba1 (with a negative outlook)/Not-Prime, from Baa3/Prime-3, the government- backed senior debt of AIB, Anglo Irish, BoI, EBS and IL&P. These five banks have all issued public debt under the Eligible Liabilities Guarantee scheme. The assigned government-backed Ba1/Not-Prime ratings are based on the unconditional and irrevocable guarantee from the Irish government (see "Moody's to assign backed-Aa1/Prime-1 ratings to debt securities covered by the Irish government's new guarantee", 7 January 2010). NO IMPACT ON BANK DEPOSIT RATINGS, SENIOR UNSECURED DEBT RATINGS OR STAND-ALONE BFSRs The other ratings of the five banks -- including the bank deposit ratings, the senior unsecured debt ratings and the standalone bank financial strength ratings (BFSRs) -- are unaffected by this rating action. The downgrade of the government bond rating has not affected the unguaranteed long-term senior unsecured debt ratings, as Moody's does not incorporate any government support into these ratings. BoI's BFSR is D (mapping to Ba2 on the long-term scale), its unguaranteed long-term senior unsecured debt rating is Ba2 and its long-term bank deposit rating is Ba1, all with a negative outlook. AIB, EBS and IL&P have BFSRs of D- (mapping to Ba3 on the long- term scale), their unguaranteed long-term senior unsecured debt ratings are Ba3 and their long-term bank deposit ratings are Ba2, all with a negative outlook. Anglo Irish has a BFSR of E (mapping to Caa1 on the long-term scale), its unguaranteed long-term senior unsecured debt rating is Caa2 and its long-term bank deposit rating is Caa1. The outlook on the debt and deposit ratings is negative and the outlook on the E BFSR is stable. Moody's continues to incorporate one notch of rating uplift into the bank deposit ratings of AIB (including EBS), BoI (including its subsidiary ICS Building Society) and IL&P, from the banks' standalone ratings, reflecting the explicit support received by the institutions and Moody's expectation that further support for deposit holders would likely be forthcoming in the event of need. This is based on the supportive attitude of the Irish government towards depositors as illustrated recently by the transfer orders to sell the deposits of Anglo Irish and Irish Nationwide Building Society to Allied Irish and IL&P, respectively. As a result of the high level of uncertainty around whether the Irish government would extend further support to the banking sector if required (beyond the EUR35 billion that has been committed to as part of the EU/IMF support package) Moody's no longer incorporates systemic support into the senior unsecured debt ratings and these are placed at the same level as the standalone ratings of the banks. If the credit risk for unguaranteed senior unsecured debt was to increase -- either because of further economic decline or because of policy changes implying a greater willingness to impose losses on bondholders -- then the banks' unguaranteed senior unsecured debt ratings would likely face further downgrades. Moody's will therefore continue to monitor the approach of the Irish government to this debt class. Moody's sees little likelihood of upward rating pressure emerging on the ratings due to the still very challenging economic conditions in Ireland. Improvements in the banks' funding profiles, permitting a substantial reduction in the reliance on central bank funding, would be a prior condition for any potential upgrade. The principal methodologies used in this rating were Bank Financial Strength Ratings: Global Methodology published in February 2007, and Incorporation of Joint-Default Analysis into Moody's Bank Ratings: A Refined Methodology published in March 2007. * IRELAND: Winding-Up Orders Down 9%, Annual Court Report Shows --------------------------------------------------------------- Carol Coulter at The Irish Times reports that the annual report of the Courts Service shows an increase in bankruptcies, orders for possession, judgments for recovery of debt and judgment mortgages. However, according to The Irish Times, there has been a decline in cases involving companies, with a 9% decrease in orders to wind up companies, a 6% fall in applications to restrict directors and a 21% drop in new cases admitted to the Commercial Court list in the High Court. The Irish Times relates that Minister for Justice Alan Shatter said it was clear the economy continued to have an impact on the number of cases of a commercial nature coming before the courts. Mr. Shatter accepted the report from the chairman of the board of the Courts Service, the Chief Justice Mr. Justice John Murray, The Irish Times notes. ===================== N E T H E R L A N D S ===================== CANDIDE FINANCING: Moody's Assigns 'Ba1' Rating to EUR150MM Notes ----------------------------------------------------------------- Moody's Investors Service assigned definitive credit ratings to these classes of Notes issued by Candide Financing 2011-1 B.V.: -- EUR1050M Senior Class A Mortgage-Backed Floating Rate Notes due 2051, Assigned Aaa (sf) -- EUR150M Mezzanine Class B Mortgage-Backed Floating Rate Notes due 2051, Assigned Ba1 (sf) Moody's has not rated the EUR 34,000,000 Subordinated Class C Mortgage-Backed Floating Rate Notes due 2051 RATINGS RATIONALE The notes are backed by a pool of Dutch prime residential mortgage loans originated by Bank of Scotland (Aa3 under review for possible downgrade / P-1) acting through its Amsterdam Branch ("BOS NL"). This represents the sixth RMBS of BOS NL mortgage loans in the Candide series. The ratings of the notes take into account the credit quality of the underlying mortgage loan pool, from which Moody's determined the portfolio expected loss of 1 per cent and MILAN Aaa Credit Enhancement (CE) of 10.5% per cent, as well as the transaction structure and any legal considerations as assessed in Moody's cash flow analysis. Portfolio expected loss of 1 per cent: This is higher than the sector average of 0.56 per cent and is based on Moody's assessment of the lifetime loss expectation for the pool taking into account (i) the collateral performance of BOS NL originated loans to date, as provided by the originator and observed in previous Candide transactions. Moody's loss expectations for Candide 2006 were recently revised upwards due to worse than expected collateral performance resulting in a downgrade to the most junior rated note on the structure. (ii) the current macroeconomic environment in the Netherlands and (iii) the potential drift in asset quality since up to approximately 20% of the closing pool can be substituted with new mortgage loans within the first 3 years of the transaction. MILAN Aaa CE of 10.5 per cent: This is higher than the sector average of 6.9 per cent and follows Moody's assessment of the loan-by-loan information taking into account these key drivers (i) the collateral performance of BOS NL originated loans to date as described above (ii) the weighted average loan-to-foreclosure value of 99.9 per which is higher than that typically seen in the sector (ii) weighted average seasoning of 3.6 years (iv) although no loans are in arrears at the pool cut-off date, approximately 20 per cent of loans have been in arrears since origination and (v) potential drift in asset quality through substitutions as described above. The transaction benefits from a non-amortizing reserve fund sized at 1.2% of the Class A and B notes at closing and is replenished before interest payments on the unrated class C notes. The reserve fund is available to cover any shortfalls in senior fees, interest payments on the Class A and B notes and makes up for any principal losses on the loans recognized via the principal deficiency ledger (PDL). The transaction also benefits from a non-amortizing liquidity reserve fund sized at 1.5% of the Class A and B notes at closing and is available to cover any shortfalls in senior fees and interest payments on the Class A and B notes. For class B the liquidity reserve will be only available if there is no PDL outstanding. The ratings addresses the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and principal with respect of the Class A and B notes by the legal final maturity. Moody's ratings only address the credit risk associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors. V-Score: The V-Score for this transaction is Low/Medium, in line with the Dutch prime RMBS 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. High variability in key assumptions could expose a rating to more likelihood of rating changes. The V-Score has been assigned according to the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009. Moody's Parameter Sensitivities: If the Milan Aaa CE assumption was increased to 12.6 per cent, the model output for Class A notes would have reduced to a rating of Aa1 assuming all other factors remained unchanged. Moody's Parameter Sensitivities provide a quantitative/model-indicated calculation of the number of rating notches that a Moody's structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged and is not intended to measure how the rating of the security might migrate over time, but rather how the initial rating of the security might have differed if key rating input parameters were varied. Parameter Sensitivities for the typical EMEA RMBS transaction are calculated by stressing key variable inputs in Moody's primary rating model. The principal methodology used in this rating was 'Moody's Approach to Rating RMBS in Europe, Middle East, and Africa' published in October 2009. The secondary methodologies used were 'Moody's Updated MILAN Methodology for Rating Dutch RMBS' published in September 2009,' Cash Flow Analysis in EMEA RMBS: Testing Structural Features with the MARCO Model (Moody's Analyser of Residential Cash Flows)' published in January 2006 and 'Moody's Updated Methodology for Set-Off in Dutch RMBS' published in November 2009. CANDIDE FINANCING: Fitch Assigns 'BBsf' Rating on Class B Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings to Candide Financing 2011-1 B.V.'s EUR1.2bn mortgage-backed notes, due 2051: -- EUR1,050,000,000 floating-rate Class A mortgage-backed notes: 'AAAsf'; Outlook Stable; Loss Severity Rating 'LS-1' -- EUR150,000,000 floating-rate Class B mortgage-backed notes: 'BBsf'; Outlook Stable; Loss Severity Rating 'LS-3' The notes are backed by mortgage loans originated in the Netherlands and owned by Bank of Scotland, Amsterdam Branch (BOS NL) which is a 100%-owned subsidiary of Lloyds Banking Group plc, rated 'AA-'/Stable/'F1+'. The final ratings are based on the agency's assessment of the underlying collateral, available credit enhancement (CE), the origination and underwriting procedures used by the originators, the servicing capabilities of BOS NL, the loan substitution conditions and the transaction's financial and legal structure. At closing, CE for the class A notes was 13.7%, provided by the subordination of the class B notes (12.5%) and the reserve account (1.2%). The transaction benefits from a fully funded non- amortizing reserve account equating to 1.2% of the initial note balance and a non-amortizing liquidity reserve equal to 1.5% of the initial note balance. Under the interest rate swap agreement, the issuer will pay the weighted average interest rate scheduled on the mortgage loans. The swap counterparty will pay three-month Euribor plus 100bps on the non-deficient note balance. To analyze the CE levels, Fitch evaluated the collateral using its default model. The agency assessed the transaction cash flows using default and loss severity assumptions indicated by the default model under various structural stresses including prepayment speeds and interest rate scenarios. The cash flow tests showed that each class of notes could withstand loan losses at a level corresponding to the related stress scenario without incurring any principal loss or interest shortfall and can retire principal by the legal final maturity. BOS NL provided Fitch with a loan-by-loan data template which was of good quality. The collateral review of the mortgage portfolio involves reviewing vintage performance data which Fitch uses to validate the frequency of foreclosure assumptions used within its analysis. BOS NL provided cumulative default data by vintage for both NHG and non-NHG loans and three-month plus arrears data split by product type, origination year and NHG vs non NHG. This data was found to be in line with Fitch's performance assumptions for the Dutch market and consequently no additional adjustments to the standard assumptions were made. FORNAX BV: S&P Downgrades Rating on Class F Notes to 'B' -------------------------------------------------------- Standard & Poor's Ratings Services lowered its credit ratings on FORNAX (ECLIPSE 2006-2) B.V.'s notes. "We have also removed our ratings on the class A, B, C and X notes from CreditWatch negative and corrected an error in the rating on the class X notes," S&P said. "The actions follow a transaction review and reflect our view that losses are likely to affect the class C, D, E, F, and G notes and that counterparty risk constrains the ratings to 'AA+ (sf)' after applying the counterparty criteria," S&P related. Credit Analysis This transaction was initially backed by 19 loans securing EUR545,134,000 of note issuance. Eight loans remain in the pool, secured on properties in Belgium, Germany, France, Austria, and Italy and the current note balance is EUR238,239,000. The loan maturity profile is shown in the table below and the legal final maturity date of the notes is in 2019. In this transaction, loan performance is currently stable. However: Two of the eight loans are on the servicer's watch list (the Cassina Plaza and Bielefield/Berlin Portfolio loans); Four loans are exposed to single tenant risk; and Some of the assets (the ATU assets and Burger King assets in the Kingbu loan) are highly specialized. "To account for these factors we have made conservative assumptions in our credit analysis. Our analysis indicates that four of the loans may experience losses: The Cassina Plaza loan (which represents 20.48% of the pool balance), the Bielefield/Berlin loan (which represents 13% of the pool balance), and the ATU Germany and ATU Austria loans (together representing 24.91% of the pool balance)," S&P related. "Our analysis took into account the generous time to maturity, with the notes maturing only in 2019," S&P said. "In view of our loss expectations, we have lowered the ratings by one notch on the classes C to F notes and affirmed the rating on the class G notes," S&P said. Loan Country Sector Current Current Scheduled name loan whole securitized maturity loan loan date balance maturity (A and B) balance Century Belgium Shopping 10-Feb-13 42,644,000 40,845,000 Center Centre Cassina Italy Office 10-Nov-13 39,888,550 39,888,550 Plaza ATU Germany Car 25-Jan-13 29,893,968 28,875,010 Germany service workshops Biele- Germany Mixed use 25-Jan-16 25,321,000 23,386,000 field/Berlin portfolio Netto Germany Super- 25-Jul-12 20,362,500 19,500,000 portfolio markets Kingbu Germany Mixed use 25-Oct-12 18,713,775 17,265,775 portfolio ATU Austria Car 25-Jan-13 13,715,552 13,250,000 Austria service workshops Toulouse France Retail 10-Feb-12 4,200,000 4,200,000 2 Error Correction The class X notes rank junior to the class C notes in this transaction. "Accordingly, when we last lowered the ratings in this transaction in November 2009, we should have lowered the rating on the class X notes to 'AA+ (sf)' from 'AAA (sf)' (see 'S&P's Ratings List For European CMBS Transactions - Nov. 27, 2009 Review')," S&P said. "On discovery of this error, we have corrected the rating. As a result, the rating action on the class X moves the rating to 'AA (sf)' from 'AA+ (sf)' rather than from 'AAA (sf)'," S&P said. Counterparty Analysis "On Jan. 18, 2011, we placed our ratings on the class A, B, C, and X notes on CreditWatch negative in line with our 2010 counterparty criteria," S&P related. "Our review indicated that the standby replacement language does not fully comply with our criteria. As a result, we have lowered our ratings on the class A and B notes to 'AA+ (sf)' to reflect our view that the highest rating the liquidity provider can support is 'AA+'. The downgrades to the class C and X notes for credit reasons take the ratings on these classes to below this cap," S&P said. "Having applied the counterparty criteria, we have removed our ratings on the class A, B, C, and X notes from CreditWatch negative," S&P noted. Ratings List Class Rating To From FORNAX (ECLIPSE 2006-2) PLC EUR545.134 Million Commercial Mortgage-Backed Variable- And Floating-Rate Notes Ratings Lowered and Removed From CreditWatch Negative A AA+ (sf) AAA (sf)/Watch Neg B AA+ (sf) AAA (sf)/Watch Neg C AA (sf) AA+ (sf)/Watch Neg X(1) AA (sf) AA+ (sf)/Watch Neg Ratings Lowered D A (sf) A+ (sf) E BB- (sf) BB (sf) F B (sf) B+ (sf) Rating Affirmed G B- (sf) (1)The existing rating on the class X notes is incorrectly stated on RatingsDirect and other information products as 'AAA (sf)/Watch Neg' rather than 'AA+ (sf)/Watch Neg'. HAMLET I: Moody's Confirms 'Ba2' Rating of EUR78MM Class B Notes ---------------------------------------------------------------- Moody's Investors Service has taken these rating actions on the notes issued by Hamlet I Leveraged Loan Fund B.V. Issuer: Hamlet I Leveraged Loan Fund B.V. -- EUR222M Class A Senior Secured Floating Rate Notes due 2020, Upgraded to Aaa (sf); previously on Jun 22, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade -- EUR78M (initial amount, with current rated balance of EUR68M) Class B Subordinated Notes due 2020, Confirmed at Ba2 (sf); previously on Jun 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade The Class B notes is exposed to the first losses in the portfolio and benefits from the excess spread available in the CLO structure. The rating of the notes addresses the ultimate repayment of the Rated Balance in respect of Class B notes on or before the legal maturity (in 2020), where the "Rated Balance" is equal, at any time, to the principal amount of such notes on the issue date (EUR 78m) minus the aggregate of all payments made from the issue date to such date, either through interest or principal payments. The rating on class B notes is not an opinion about the ability of the issuer to pay interest. RATINGS RATIONALE Hamlet I Leveraged Loan Fund B.V., issued in March 2005, is a single currency Collateralised Loan Obligation ("CLO") backed by a portfolio of mostly high yield European senior secured loans with a small amount of bonds (7.11%). The portfolio is managed by Alcentra Limited. The reinvestment period ended on 15 May 2010 and all accumulated excess spread is now paying down the Class B notes until the principal amount outstanding of Class B notes is reduced to EUR 1000. According to Moody's, the rating actions taken on the notes are primarily a result of applying Moody's revised CLO assumptions described in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. The actions also reflect consideration of an increase in the transaction's overcollateralization ratios due to deleveraging of the notes since the rating action in February 2011. The actions reflect key changes to the modelling assumptions, which incorporate (1) a removal of the temporary 30% default probability macro stress implemented in February 2009, (2) increased BET liability stress factors as well as (3) change to a fixed recovery rate modelling framework. Additional changes to the modelling assumptions include (1) standardizing the modelling of collateral amortization profile, (2) changing certain credit estimate stresses aimed at addressing time lags in receiving information required for credit estimate updates, and (3) adjustments to the equity cash-flows haircuts applicable to the equity rated balance tranche. Moody's notes that the Class A and Class B notes have been paid down by approximately 19% or EUR 42.5million, 4.2% or EUR 3.3million, respectively, since the rating action in February 2011. As a result of the deleveraging, the overcollateralization ratios have increased since the rating action. As of the latest trustee report dated June 6, 2011, the Class A overcollateralization ratio is reported at 153.15%, versus February 2011 (with reporting date January 2011) level of 141.12%. However, Moody's also took into consideration that a significant portion of the portfolio is made up of Caa1 or below rated assets, which represent approximately 13.7% of the pool. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as the portfolio par amount, WARF, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of EUR 259 million, a weighted average default probability of 24.92% (consistent with a WARF of 3375), a weighted average recovery rate upon default of 49.29%, and a diversity score of 29, and no defaulted par (currently no defaults in the pool). The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized 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 that 92.89% of the portfolio exposed to senior secured corporate loans would recover 50% upon default, while the remainder senior secured corporate bond assets would recover 40%. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also relevant factors. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Delevering: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Weighted Average Spread: Moody's analyzed the impact of assuming weighted average spread levels consistent with the midpoint between reported and covenanted values. As part of the base case, Moody's considered spread and coupon levels higher than the covenant levels due to the large difference between the reported and covenant levels. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. The cash flow model used for this transaction, whose description can be found in the methodology listed above, is Moody's EMEA Cash-Flow model. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current 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, may influence the final rating decision. Moody's also notes that around 47.27% of the collateral pool consists of debt obligations whose credit quality has been assessed through Moody's credit estimates. Large single exposures to obligors bearing a credit estimate have been subject to a stress applicable to concentrated pools as per the report titled "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. =============== P O R T U G A L =============== HIPOTOTTA NO. 5: S&P Affirms Rating on Class F Notes at 'CCC-' -------------------------------------------------------------- Standard & Poor's Ratings Services took various credit rating actions in six of Banco Santander Totta S.A.'s Portuguese residential mortgage-backed securities (RMBS) transactions: HipoTotta No. 1 PLC, HipoTotta No. 4 PLC, HipoTotta No. 5 PLC, HipoTotta No. 7 Ltd., and TAGUS - Sociedade de Titularizacao de Creditos, S.A.'s HipoTotta No.11 and HipoTotta No.12 transactions. Specifically, S&P has Affirmed and removed from CreditWatch negative its ratings on HipoTotta 1's class A, B, and C notes for credit reasons and also on the class A and B notes for counterparty reasons. Lowered its rating on HipoTotta 4's class A notes for counterparty reasons and also removed the rating from CreditWatch negative for credit and counterparty reasons. Affirmed and removed from CreditWatch negative its ratings on HipoTotta 5's class A2, B, C, D, E, and F notes for credit reasons and also on the class A and B notes for counterparty reasons. "Affirmed and removed from CreditWatch negative our ratings on HipoTotta 7's class A2, B, C, D, E, and F notes for credit reasons and also on the class A2 notes for counterparty\ reasons," S&P said. "Affirmed and removed from CreditWatch negative our ratings on HipoTotta 11's class A and B notes for credit reasons and also on the class A notes for counterparty reasons," S&P said. "Affirmed and removed from CreditWatch negative our rating on HipoTotta 12's class A notes for credit reasons," S&P added. "The rating actions follow an analysis of the most recent loan data that we have received, the application of our 2010 counterparty criteria, and the rating floor as a result of our revised assessment of Portuguese country risk. Following our analysis, we consider the ratings to be appropriate on all classes of notes except HipoTotta 4's class A notes, which we have downgraded for counterparty reasons," S&P related. Credit Analysis "In our review of credit risk we analyzed the most recent loan data that we have received. In March 2011, we placed on CreditWatch negative our ratings in these six HipoTotta transactions as our analysis indicated that some of the transactions had liens outside of a pool that rank in a higher or lower priority to those in the pool. Banco Santander Totta, the originator, has since repurchased the lower ranking liens. Consequently, there are no longer any liens outside of a pool that rank in a higher or lower priority to those in the pool," S&P related. "We have therefore affirmed and removed from CreditWatch negative all classes of notes in these transactions for credit reasons, except HipoTotta 4's class A notes, which we have downgraded for counterparty reasons and removed from CreditWatch negative for both credit and counterparty reasons," S&P noted. Application of Counterparty Criteria "On Jan. 18, 2011, we placed our ratings on the senior notes in these transactions on CreditWatch negative when our 2010 counterparty criteria became effective," S&P related. "We consider that the swap transaction documents for HipoTotta 1, 4, 5, and 7 reflect replacement language in line with our prior counterparty criteria. Therefore, as per our updated criteria, the highest potential rating on the notes in these transactions is one notch above the issuer credit rating on the swap counterparty," S&P said. The swap counterparty for HipoTotta 1, 4, 5, and 7 is Banco Santander S.A. (AA/Negative/A-1+). "Therefore, as per our updated criteria, the highest potential rating on the notes for these transactions is 'AA+ (sf)'," S&P related. "For HipoTotta 11 and 12, we consider the swap documents to be in line with our 2010 counterparty criteria," S&P added. "For HipoTotta 1, 5, 7, 11, and 12, we consider the transaction documents relating to the bank account to be in line with our 2010 counterparty criteria. Therefore, as per our updated criteria, the ratings on these senior notes can be maintained and we have therefore affirmed and removed from CreditWatch negative our ratings on these notes," S&P noted. "In HipoTotta 4, we do not consider the transaction documents relating to the bank account to be in line with our 2010 counterparty criteria. In addition, the documents do not reflect replacement language in line with prior counterparty criteria. Therefore, as per our updated criteria, we have lowered and removed from CreditWatch negative the rating on the class A notes to a ratings floor that is equal to the issuer credit rating on the account bank, Deutsche Bank AG (A+/Stable/A-1)," S&P stated. Portuguese Country Risk "Our ratings also reflect Portuguese country risk. On March 24, 2011, we lowered the long-term sovereign credit rating on Portugal to 'BBB' and then on March 29 we lowered the rating further to 'BBB-'. We subsequently revised our assessment of Portuguese country risk and how it might affect the notes in securitizations backed by Portuguese assets that we rate," S&P stated. "We concluded that ratings on securitization notes backed by Portuguese assets should be no higher than 'AA-'. Consequently, on April 1, 2011 we lowered to 'AA-' our ratings on all Portuguese asset-backed securities (ABS) and RMBS notes rated 'AA', 'AA+', or 'AAA', with the exception of notes that are guaranteed by the European Investment Fund (AAA/Stable/A-1+)," S&P related. Therefore, the highest potential rating on all of the notes is 'AA-'. These six Portuguese RMBS transactions securitize loans originated by Banco Santander Totta. HipoTotta 1, 4, 5, 7, 11, and 12 closed in July 2003, September 2005, March 2007, March 2008, July 2010, and February 2011. Ratings List Class Rating To From HipoTotta No. 1 PLC EUR1.1 Billion Mortgage-Backed Floating-Rate Notes Ratings Affirmed And Removed From CreditWatch Negative A AA- (sf) AA- (sf)/Watch Neg B AA- (sf) AA- (sf)/Watch Neg C A (sf) A (sf)/Watch Neg HipoTotta No. 4 PLC EUR2.491 Billion Mortgage-Backed Floating-Rate Notes Rating Lowered and Removed From CreditWatch Negative A A+ (sf) AA- (sf)/Watch Neg HipoTotta No. 5 PLC EUR2.01 Billion Mortgage-Backed Floating-Rate Notes Ratings Affirmed And Removed From CreditWatch Negative A2 AA- (sf) AA- (sf)/Watch Neg B AA- (sf) AA- (sf)/Watch Neg C A (sf) A (sf)/Watch Neg D BBB(sf) BBB (sf)/Watch Neg E BB (sf) BB (sf)/Watch Neg F CCC- (sf) CCC- (sf)/Watch Neg HipoTotta No. 7 PLC EUR2.02 Billion Mortgage-Backed Floating-Rate Notes Ratings Affirmed and Removed From CreditWatch Negative A2 AA- (sf) AA- (sf)/Watch Neg B A (sf) A (sf)/Watch Neg C BBB (sf) BBB (sf)/Watch Neg D BB(sf) BB (sf)/Watch Neg E B (sf) B (sf)/Watch Neg F CCC- (sf) CCC- (sf)/Watch Neg TAGUS - Sociedade de Titularizacao de Creditos, S.A. EUR2.04 Billion Mortgage-Backed Floating-Rate Notes (HipoTotta No. 11) Rating Affirmed and Removed From CreditWatch Negative A AA- (sf) AA- (sf)/Watch Neg B BBB+(sf) BBB+(sf)/Watch Neg TAGUS - Sociedade de Titularizacao de Creditos, S.A. EUR1.34 Billion Mortgage-Backed Floating-Rate Notes (HipoTotta No. 12) Rating Affirmed and Removed From CreditWatch Negative A AA- (sf) AA- (sf)/Watch Neg =========== R U S S I A =========== AK OJSC: S&P Assesses Stand-alone Credit Profile at 'b+' -------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'BBB-' long-term corporate credit rating and 'ruAAA' Russia national scale rating on Russian refined oil product pipeline operator OJSC AK Transnefteproduct. "We subsequently withdrew the ratings at the company's request. At the time of the withdrawal, the outlook was stable," S&P related. "The ratings reflected our view of the increasing integration of Transnefteproduct's finances and operations into those of its 100% parent OAO AK Transneft (BBB/Stable/--) and that all of the group's debt is currently at the parent company level. Our assessment of Transnefteproduct's stand-alone credit profile at 'b+' reflected our view that the company faced key risks, such as competition with alternative transportation routes, high and increasing maintenance capital expenditures, and potential swings in capacity utilization. The key supports to our assessment at that time were robust profitability and healthy credit metrics," S&P related. TENEX-SERVICE: S&P Gives 'BB+/B' Counterparty Credit Ratings ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its 'BB+/B' long- and short-term counterparty credit ratings and 'ruAA+' Russia national scale rating to Russia-based leasing company TENEX-Service. The outlook is stable. The ratings reflect the risky operating environment in Russia, TENEX-Service's limited business franchise, owing to a very high concentration of business with its parent and group companies, as well as low profitability and capitalization. "These negative factors are somewhat mitigated by our view of the company as a strategically important subsidiary of state-owned Atomic Energy Power Corporation (AtomEnergoProm; BBB-/Stable/A-3) and our expectation of a high likelihood of extraordinary support from AtomEnergoProm, if required. In addition, the ratings take into account TENEX-Service's protected market position, good asset quality derived almost entirely from the AtomEnergoProm group, and predictable and adequate liquidity," S&P said. TENEX-Service is a fully owned subsidiary of AtomEnergoProm and the only leasing company in Russia that has a legal right to possess nuclear equipment (according to the President's Act No. 556). Its assets totaled RUB6.8 billion (about US$226 million) as of Dec. 31, 2010, and 53% of its portfolio is dedicated to this protected equipment segment. The company mainly provides leasing services to subsidiaries of AtomEnergoProm, which together represent the bulk of Russia's nuclear sector. Standard & Poor's classifies TENEX-Service as a "strategically important" subsidiary of AtomEnergoProm, given its very close strategic and operational integration with its parent, as well as the parent's commitment to the company. "We also view TENEX- Service as a government-related entity, but with a 'limited' link to and role for the government. We think that external support for TENEX-Service is likely to come from the parent, rather than the government. Nevertheless, because the parent AtomEnergoProm is a state-owned entity, we think that the government would likely support TENEX-Service through AtomEnergoProm. We assess TENEX- Service's stand-alone credit profile (SACP) at 'b+', which is one notch below that of AtomEnergoProm, and add three notches of support for its strategically important status," S&P said. "TENEX-Service's leasing portfolio is performing well and shows no overdue lease payments, but lease agreements with various group companies pose very high concentration risks, in our view. These risks are mitigated by TENEX-Service's good knowledge of the lessees and its ability to influence their payment decisions through the parent AtomEnergoProm," S&P related. "In our view, liquidity risks are limited because TENEX-Service typically matches all of its liabilities with assets," S&P said. "TENEX-Service's capitalization is low, in our view, although we note that in June 2011, AtomEnergoProm injected RUB900 million (about US$30 million) of additional capital into TENEX-Service. We understand that the parent is committed to TENEX-Service maintaining an equity-to-assets ratio of no less than 5% over the medium term," S&P said. "The outlook is stable because we expect TENEX-Service to remain strategically important to its parent AtomEnergoProm, without significant negative changes to its business focus or the quality of its lease portfolio," S&P noted. "We might lower the ratings if we saw that the company's ties to its parent or to the government were weakening or if the credit risk in the portfolio were to rise significantly through diversification outside the nuclear sector, without the necessary risk management controls and processes in place. A negative rating action could also follow if the structure of TENEX-Service's liabilities were to show a higher reliance on wholesale market funding that does not match the asset base," S&P related. "We might consider a positive rating action if AtomEnergoProm's creditworthiness were to improve, leading to an improvement of TENEX-Service's SACP. This is owing to the high reliance of TENEX- Service's asset quality and funding on the parent and its group of subsidiary companies. A positive rating action could also follow if TENEX-Service were able to diversify its leasing portfolio to include high-quality Russian companies, which should lead to higher profitability and consequently enhance internally generated capitalization," S&P added. ========= S P A I N ========= BANCO FINANCIERO: Fitch Downgrades Long-term IDR to 'BB' -------------------------------------------------------- Fitch Ratings has assigned Bankia S.A.U. (Bankia) a Long-term Issuer Default Rating (IDR) of 'A-'. At the same time the agency has downgraded Banco Financiero de Ahorros S.A.'s (BFA) Long-term IDR to 'BB' from 'A-'. Bankia's rating is driven by potential support from the Spanish state ('AA+'/Negative). BFA has become a holding company and the downgrade of its IDR is a direct result of the change in Fitch's view of future government support likely to be available to BFA. Both Bankia's and BFA's Long-term IDRs are at their Support Rating Floors. Fitch believes that there is an extremely high probability that the Spanish authorities would support Bankia given its systemic importance. There is only a moderate chance that the Spanish authorities would support BFA to prevent contagion and reputational risk from spreading to Bankia. Bankia has a nationwide presence in Spain and controls a 12% deposit market share. Bankia and BFA's Individual Ratings are 'D'. Bankia's Individual Rating takes into account its high risk concentration to Spain's troubled property sector, weak asset quality and the correlation of Bankia's activities with Spain's weak economy, which will continue to affect profitability. It also considers that Bankia is highly reliant on the wholesale funding markets, faces sizeable refinancing needs in the medium term and access to the capital markets remains extremely difficult for Spanish banks. BFA's Individual Rating reflects exposure to land (either foreclosed or in the form of non- performing and substandard loans) and Fitch's uncertainties regarding the income and cash flow generation at BFA level, given that it is reliant on dividends being upstreamed from Bankia. The agency has also withdrawn the ratings of BFA Group and of several cajas forming part of the BFA Group following the completion of the transferral of the cajas' assets and liabilities to BFA at end-May 2011. All Fitch-rated debt issues have been transferred either to Bankia or BFA. BFA currently controls 100% of Bankia, but plans to reduce this to around 50%. Bankia is attempting to increase its capital via an IPO in order to comply with stricter regulatory core capital standards imposed by the Spanish regulator. Between 49.97% and 47.59% of its shares will be listed. Despite the listing, BFA will maintain majority control of Bankia. Bankia's and BFA's regulatory core capital ratios were 7.8% and 7.3%, respectively, at end-Q111. If successful, the IPO will reinforce both BFA's and Bankia's regulatory core capital levels to nearly 10%. Fitch's base case is that the IPO will successfully attract the minimum required amount of private sector investors. BFA's Support Rating is based on this assumption. Should this not be the case, and the Spanish state, via the FROB, be forced to recapitalise the group, Fitch understands that the capital injection would be made at the BFA level. In this event, BFA's Support Rating may be reviewed. This may also have implications for BFA's Support Rating Floor, IDRs and debt ratings. BFA will continue to be supervised by the Bank of Spain on a consolidated basis and regulatory capital levels are only required at the group level. On a consolidated basis, BFA will be Spain's third-largest financial institution, with about EUR328bn of assets. The rating actions are: BFA Group: -- Long-term IDR affirmed at 'A-', Stable Outlook, rating withdrawn -- Short-term IDR affirmed at 'F2', rating withdrawn -- Individual Rating affirmed at 'D', rating withdrawn -- Support Rating affirmed at '1', rating withdrawn -- Support Rating Floor affirmed at 'A-', rating withdrawn BFA: -- Long-term IDR downgraded to 'BB' from 'A-' removed from RWN, Outlook Stable -- Short-term IDR downgraded to 'B ' from 'F2', removed from RWN -- Individual Rating assigned at 'D' -- Support Rating downgraded to '3' from '1', removed from RWN -- Support Rating Floor revised to 'BB' from 'A-' removed from RWN Bankia S.A.U.: -- Long-term IDR assigned at 'A-', Stable Outlook -- Short-term IDR assigned at 'F2', -- Individual Rating assigned at 'D' -- Support Rating assigned at '1' -- Support Rating Floor assigned at 'A-' Caja Madrid: -- Long-term IDR affirmed at 'A-', Stable Outlook, rating withdrawn -- Short-term IDR affirmed at 'F2', rating withdrawn -- Short-term debt and commercial paper affirmed at 'F2', rating withdrawn -- Senior unsecured debt affirmed at 'A-', transferred to Bankia -- Market linked securities affirmed at 'A-emr', transferred to Bankia -- Subordinated debt downgraded to 'BB-' from 'BBB+' removed from RWN; transferred to BFA -- Preference shares of 'B-' removed from RWN and affirmed; transferred to BFA -- Government-guaranteed debt affirmed at 'AA+', transferred to Bankia or BFA Bancaja: -- Long-term IDR affirmed at 'A-', Stable Outlook, rating withdrawn -- Short-term IDR affirmed at 'F2', rating withdrawn -- Senior unsecured debt of 'A-' affirmed, transferred to Bankia -- Subordinated debt downgraded to 'BB-' from 'BBB+' removed from RWN; transferred to BFA -- Upper Tier 2 of 'B' removed from RWN and affirmed; transferred to BFA -- Preference shares of 'B-' removed from RWN and affirmed; transferred to BFA -- Government-guaranteed debt affirmed at 'AA+', transferred to Bankia or BFA Caixa Laietana: -- Long-term IDR affirmed at 'A-', Stable Outlook, rating withdrawn -- Short-term IDR affirmed at 'F2', rating withdrawn -- Preference shares of 'B-' removed from RWN and affirmed, transferred to BFA -- Government-guaranteed debt affirmed at 'AA+', transferred to Bankia or BFA Caja de Ahorros y Monte de Piedad de Avila and Caja de Ahorros y Monte de Piedad de Segovia: -- Government-guaranteed debt affirmed at 'AA+', transferred to Bankia or BFA CM BANCAJA: S&P Lowers Rating on Class C Notes to 'B+' ------------------------------------------------------- Standard & Poor's Ratings Services lowered and removed from CreditWatch negative its credit ratings on CM Bancaja 1, Fondo de Titulizacion de Activos's class B and C notes. "We also affirmed and removed from CreditWatch negative our ratings on the class A and D notes," S&P related. "These downgrades reflect our assessment of issues related to borrower concentration risk," S&P said. As of the last investor report, the transaction is backed by 62 loans granted to Spanish corporate entities. The largest loan accounts for 12.07% of the current balance, and the top 10 loans represent 47.07% of the pool. This compares with 4.89% and 32.27% at closing. Three quarters of the pool is concentrated in the 30 largest loans. The current outstanding balance of the pool backing the deal is 19% of the original balance, equal to EUR103 million. The cash reserve has been used for a small amount and is today 99.5% of its required level, providing 12.62% of credit support to the whole capital structure. In our view, the transaction reports very good performance, with only two loans currently in arrears for more than 90 days, equal to a delinquency rate of 0.75%. Only four loans have defaulted since closing, and the transaction recovered almost half of the defaulted amount. Cumulative defaults net of recoveries are 0.64% of the original balance. "Although CM Bancaja 1 shows a relatively better performance than the average performance of Spanish small and midsize enterprise (SME) transactions, in our opinion, the current credit support provided to the class B and C notes is no longer commensurate with the current rating levels, due to the borrower concentration. We have therefore lowered and removed from CreditWatch negative our ratings on the class B and C notes. The lowest-rated tranche (class D) already has a rating in line with the actual estimated risk. As a result, we have affirmed our rating on class D," S&P said. On June 2, 2011, Banco Santander (AA/Negative/A-1+) replaced Banco Popular (A-/Negative/A-2) as bank account provider and swap counterparty. "Our revised counterparty analysis confirmed that the support provided by Banco Santander is sufficient to maintain the new ratings, in line with our 2010 counterparty criteria. As a result, we have affirmed our rating on class A," S&P related. CM Bancaja 1 is backed by a pool of 62 loans granted to Spanish corporate entities and originated by Caja de Ahorro de Valencia, Castellon y Alicante. Ratings List Class Rating To From CM Bancaja 1, Fondo de Titulizacion de Activos EUR556.2 Million Floating-Rate Notes Ratings Lowered and Removed From Creditwatch Negative B BB (sf) BBB- (sf)/Watch Neg C B+ (sf) BB- (sf)/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative A AA+ (sf) AA+ (sf)/Watch Neg D B- (sf) B- (sf)/Watch Neg IM PASTOR: S&P Puts 'B' Rating on Class D Notes on Watch Negative ----------------------------------------------------------------- Standard & Poor's Ratings Services took various credit rating actions in two Spanish residential mortgage-backed securities (RMBS) transactions: IM PASTOR 3, Fondo de Titulizacion Hipotecaria and IM PASTOR 4, Fondo de Titulizacion de Activos. Specifically, S&P has: -- Lowered its rating on IM PASTOR 4's class A notes for counterparty reasons; -- Affirmed its rating on IM PASTOR 3's class A notes for counterparty reasons; -- Kept the ratings on both classes of A notes on CreditWatch negative; they are no longer on CreditWatch negative for counterparty reasons but are now on for credit reasons; and -- Placed on CreditWatch negative its ratings on the class B, C, and D notes in both transactions for credit reasons. "The rating actions reflect the application of our 2010 counterparty criteria for structured finance transactions (see 'Counterparty And Supporting Obligations Methodology And Assumptions,' published on Dec. 6, 2010) and recent credit developments that we have observed following our credit analysis of both transactions," S&P related. Application of Counterparty Criteria "On Jan. 18, 2011, we placed on CreditWatch negative our rating on IM PASTOR 4's class A notes when our 2010 counterparty criteria became effective," S&P related. "Then, in March 2011, we placed on CreditWatch negative our rating on IM PASTOR 3's class A notes following the downgrade of Confederacion Espanola de Cajas de Ahorros -- the swap counterparty in the transaction," S&P related. "We have lowered our rating on IM PASTOR 4's class A notes because the transaction documents do not fully reflect our 2010 counterparty criteria, but reflect our prior counterparty criteria. Therefore, as per our updated criteria, we have lowered the rating to the issuer credit rating (ICR) on the lowest-rated supporting counterparty," S&P stated. "We have affirmed our rating on IM PASTOR 3's class A notes because the transaction documents reflect our 2008 counterparty criteria," S&P added. Performance Analysis "We have also conducted a performance analysis of IM PASTOR 3 and 4, where we have observed rising cumulative default rates during the last year. In addition, the reserve funds are completely depleted because available excess spread has not fully covered defaults," S&P related. Both transactions require full provisioning for defaulted loans (defined as loans in arrears for more than 12 months) and available excess spread has not fully covered these defaults, depleting the reserve funds. Consequently, the balance of the performing assets is lower than the outstanding balance of the mortgage-backed notes. This difference could be reduced by recoveries from the defaulted assets or by nonperforming assets becoming current again. "Taking all of the factors into account, we have therefore placed on CreditWatch negative our ratings on IM PASTOR 3 and 4's class B, C, and D notes due to deteriorating collateral performance," S&P said. "We have kept on CreditWatch negative our ratings on the class A notes in both transactions for credit reasons. The notes are therefore no longer on CreditWatch negative for counterparty reasons," S&P noted. IM PASTOR 3 and IM PASTOR 4 were issued in June 2005 and June 2006. Both transactions securitize portfolios of Spanish RMBS originated by Banco Pastor. The portfolios comprise mortgages granted to individuals to purchase residential properties. Ratings List Class Rating To From IM PASTOR 3, Fondo de Titulizacion Hipotecaria EUR1,000 Million Mortgage-Backed Floating-Rate Notes Rating Affirmed and Remaining on CreditWatch Negative A AA (sf)/Watch Neg AA (sf)/Watch Neg Ratings Placed on CreditWatch Negative B BBB-(sf)/Watch Neg BBB- (sf) C BB(sf)/Watch Neg BB (sf) D BB-(sf)/Watch Neg BB-(sf) IM PASTOR 4, Fondo de Titulizacion de Activos EUR920 Million Mortgage-Backed Floating-Rate Notes Rating Lowered and Remaining on CreditWatch Negative A A-(sf)/Watch Neg AA (sf)/Watch Neg Ratings Placed on CreditWatch Negative B BBB (sf)/Watch Neg BBB (sf) C BB- (sf)/Watch Neg BB- (sf) D B (sf)/Watch Neg B (sf) SANTANDER EMPRESAS: S&P Affirms Rating on Class F Notes at 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services took various credit rating actions on three Santander transactions: Santander Empresas 1 Fondo de Titulizacion de Activos; Fondo de Titulizacion de Activos Santander Empresas 2; and Fondo de Titulizacion de Activos FTPYME Santander 2. Specifically: "In Santander Empresas 1, we have affirmed and removed from CreditWatch negative our rating on the class A2 notes and affirmed our ratings on the class B and C notes. We have also lowered our rating on the class D notes," S&P related. "In Santander Empresas 2, we have affirmed and removed from CreditWatch negative our rating on the class A2 notes and affirmed our ratings on the class B, C, D, E, and F notes," S&P noted. "In FTPYME Santander 2, we have affirmed and removed from CreditWatch negative our ratings on the class A and B(G) notes, and affirmed our ratings on the class C, D, and E notes," S&P related. "In our analysis, we applied our 2010 counterparty criteria, which became effective on Jan. 18, 2011. Following our review of the counterparty ratings and the terms of the counterparty agreements for these three transactions, we have affirmed certain ratings, in line with our criteria. We have also taken into account developments regarding the credit quality of the assets backing these transactions and the structural features for each transaction. These include the significant seasoning of the underlying portfolios, the trends in delinquency rates and the cumulative default rates, the lack of recovery data reported by the trustee, and the obligor and sector concentration affecting each transaction," S&P stated. Santander Empresas 1 In Santander Empresas 1, which closed in October 2005, loans are now mainly secured by mortgages: 74% of the pool is now secured loans, versus 30% at closing. The portfolio shows some obligor concentration, with the top obligor accounting for 4.18% of the current portfolio and the top 10 and top 20 obligors being 19% and 25% of the outstanding portfolio. The underlying portfolio is highly seasoned and has a low pool factor of 16%, compared with the portfolio balance at closing. S&P's analysis took into account, among other things: Class A2 is now the most senior outstanding class since the amortization of class A1 in 2008. As of the most recent payment date in May 2011, the reported ratios of delinquencies of more than 90 days and of defaults over the outstanding balance of the assets were increasing, and are above the level of defaults and delinquencies experienced by the transaction in 2010. The reserve fund was at 100% of its required level. The level of defaults, including the properties repossessed by the fund, is 1.32% of the outstanding portfolio balance. "Although the current credit enhancement levels in this transaction have increased since closing and the level of delinquencies and defaults are within our surveillance assumptions, the level of recoveries in the transaction is below our initial expectations," S&P related. The credit enhancement levels for all the outstanding classes have increased since closing, due to the amortization features of the transaction. "However, given the high level of obligor concentration that will likely increase as the portfolio amortizes, we have lowered to 'B (sf)' from 'BBB (sf)' our rating on the class D notes, in light of the current credit enhancement available to this class and the current levels of obligor concentration," S&P related. "Applying our 2010 counterparty criteria and taking into account the amendments made to the transaction documents to reflect those criteria, we consider that as a result of these amendments the class A2 notes should remain at their current rating. We have therefore affirmed and removed from CreditWatch negative the 'AAA (sf)' rating on this class of notes," S&P said. "Taking into account the above points, we have also affirmed our ratings on the class B and C notes," S&P said. Santander Empresas 2 In Santander Empresas 2, which closed in December 2006, the pool composition is a mix of secured and unsecured loans. Loans secured by mortgages represent 48% of the current portfolio, and the average loan-to-value (LTV) ratio associated with the secured part of the portfolio is 65%. At closing, secured loans were 19% of the portfolio. As in Santander Empresas 1, the underlying portfolio of Santander Empresas 2 shows some obligor concentration, with the top obligor accounting for 6.11% of the current portfolio and the top 10 and top 20 obligors being 26.71% and 35.00% of the outstanding portfolio. The underlying portfolio is highly seasoned and has a low pool factor of 17%, compared with the portfolio balance at closing. S&P's analysis took into account, among other things: Class A2 is now the most senior outstanding class since the amortization of class A1 in 2008. As of the most recent payment date in May 2011, the reported ratios of delinquencies of more than 90 days and of defaults over the outstanding balance of the assets were stabilizing, after having increased sharply in 2010. The reserve fund was at 80% of its required level. The level of cumulative defaults, including the properties repossessed by the fund, is 4.78% of the outstanding portfolio balance. "Although the current credit enhancement levels in this transaction have increased since closing and the levels of delinquencies and defaults are within our surveillance assumptions, the level of recoveries in the transaction is\ below our initial expectations," S&P said. "The credit enhancement levels for all the outstanding classes have increased since closing, due to the amortization features of the transaction, and in our view they currently mitigate the obligor concentration in Santander Empresas 2. As the pool continues to amortize, these obligor concentration levels will likely increase -- but in our view the ratings on the notes are currently commensurate with this increase in concentration risk. We have therefore affirmed our ratings on the class B, C, D, and E notes. In December 2006, we lowered our rating to 'D (sf)' on the class F notes, following an interest payment failure by the fund in respect of the interest due on the class F notes. We have affirmed the 'D (sf)' rating on the class F notes. We rated this class 'CCC- (sf)' at closing, and it was used to fund the reserve feature to provide credit enhancement to the structure and to cure defaults in the deal," S&P stated. "Applying our 2010 counterparty criteria and taking into account the amendments made to the transaction documents to reflect those criteria, we consider that as a result of these amendments the class A2 notes should remain at their current rating, and we have therefore affirmed and removed from CreditWatch negative the 'AAA (sf)' rating on this class of notes," S&P added. Ftpyme Santander 2 In FTPYME Santander 2, which closed in October 2004, the pool factor is 24.9% as of the April 2011 payment date. The pool comprises 98% of assets secured by mortgages with an average LTV ratio lower than 40% (versus 53% at closing). Loans are distributed among all the Spanish regions, and the main industry represented in the portfolio is the real estate and construction sector. "In our view, there are no concerns in terms of obligor concentration for FTPYME Santander 2," S&P said. S&P's analysis took into account, among other things: Classes A and B(G) have partially amortized and today represent 43% and 13% of the outstanding balance of the notes. "Applying our 2010 counterparty criteria and taking into account the amendments made to the transaction documents to reflect those criteria, we consider that as a result of these amendments the class A and B(G) notes should remain at their current ratings. We have therefore affirmed and removed from CreditWatch negative the 'AAA (sf)' ratings on these notes," S&P related. "The class B(G) notes benefit from a guarantee by the Kingdom of Spain, but we do not give credit to the guarantee in our analysis, as it does not meet our criteria," S&P said. As of the most recent payment date in April 2011, the combined level of 90+ day delinquencies and contentious loans in the portfolio was reported as 0.89% of the outstanding portfolio. The level of cumulative defaults (defined in this transaction as assets being delinquent for more than 12 months) is 0.79% of the closing portfolio. "In the defaults calculation, we also take into account repossessions of properties by the fund, with the current level of repossessions being 0.85% of the current portfolio. In addition, the reserve fund was at 100% of its required level," S&P said. "We have affirmed our ratings on the class C, D, and E notes. Although the current credit enhancement levels for these classes have increased since closing and the level of delinquencies and defaults are within our surveillance assumptions, the level of recoveries in the transaction is below our initial expectations. We also note that concentration issues often arise in Spanish small and midsize enterprise (SME) transactions as the portfolios amortize. For these reasons, we did not upgrade the ratings on these notes at this stage," S&P related. The portfolios, which Santander originated, comprise secured and unsecured loans granted to SMEs in their normal course of business, mainly concentrated in the regions of Madrid, Andalucia, and Catalonia. For FTPYME Santander 2, the loans were originated from 2002 to 2004, with a weighted-average seasoning of 13 months when the transaction closed in October 2004. For Santander Empresas 1, the loans were originated between 1993 and 2005, with a weighted-average seasoning of 19.5 months when the transaction closed in October 2005. Santander Empresas 2 closed the most recently. The underlying collateral comprises loans originated between 1994 and 2006, and the weighted-average seasoning was 18 months in December 2006, when the transaction closed. Ratings List Class Rating To From Santander Empresas 1, Fondo de Titulizacion de Activos EUR3.1 Billion Floating-Rate Notes Rating Affirmed and Removed From CreditWatch Negative A2 AAA (sf) AAA (sf)/Watch Neg Ratings Affirmed B AA (sf) C A- (sf) Rating Lowered D B (sf) BBB (sf) Santander Empresas 2, Fondo de Titulizacion de Activos EUR2.954 Billion Floating-Rate Notes Rating Affirmed and Removed From CreditWatch Negative A2 AAA (sf) AAA (sf)/Watch Neg Ratings Affirmed B AA (sf) C A (sf) D BBB (sf) E BB- (sf) F D (sf) Fondo de Titulizacion de Activos, FTPYME Santander 2 EUR1.8 Billion Floating-Rate Notes Rating Affirmed and Removed From CreditWatch Negative A AAA (sf) AAA (sf)/Watch Neg B(G) AAA (sf) AAA (sf)/Watch Neg Ratings Affirmed C AA (sf) D A (sf) E BBB- (sf) =========================== U N I T E D K I N G D O M =========================== ALL EUROPEAN: Goes Into Liquidation; Owes More Than GBP500,000 -------------------------------------------------------------- Meetpie.com reports that inbound UK tour operator All European Travel Ltd (AET) has gone into liquidation owing more than GBP500,000. Meetpie.com says just GBP34,000 was recovered from the company's assets and nothing was paid to unsecured creditors, owed a total of GBP530,000. The last accounts filed at Companies House show two years of losses, with a loss before tax of GBP49,000 in 2006 and GBP65,000 in 2007, Meetpie.com discloses. The liquidation was carried out by Pearl Assurance after creditors applied for the company to by wound up in 2009. The final creditors meeting took place on June 13, the report notes. North London-based All European Travel Ltd offered a corporate venue and hotel booking service, incentive tours and event management for conferences and events. AMBAC FINANCIAL: Suit Against JPMorgan Reinstated on Appeal ----------------------------------------------------------- Bill Rochelle, the bankruptcy columnist for Bloomberg News, reports that a US$1 billion lawsuit against JPMorgan Chase Investment Management Inc. was reinstated July 14 by a New York State appellate court in Manhattan. The plaintiff, Ambac Assurance UK Ltd., alleged in its complaint that JPMorgan, serving as investment adviser, continued investing in subprime mortgages when the bank's senior management had said publicly that it was "mostly exiting the business of securitizing subprime mortgages." Ambac insured bonds backed by mortgages selected by JPMorgan. The agreement called for the bank to pick investments "to obtain reasonable income while providing a high level of safety and quality." Ambac alleged that the $1.65 billion of investments selected by JPMorgan lost $1 billion in value in "just 30 months." The appellate court said it was an error for the trial court to dismiss the suit last year. Dismissal was based on Ambac's admission that New York-based JPMorgan didn't invest in any class of assets beyond what was permitted under the investment advisory agreement. The five judges on the Appellate Division, First Department, said that JPMorgan "continued to invest in securities which it knew were entirely incompatible with plaintiff's investment objective and stated goal." Consequently, the complaint sufficiently alleged that the bank's conduct amounted to "gross negligence or willful misconduct." The case is Ambac Assurance UK Ltd. v. JPMorgan Chase Investment Management Inc., 2011-05942, New York State Supreme Court, Appellate Division First Department (Manhattan). About Ambac Financial Ambac Financial Group, Inc., headquartered in New York City, is a holding company whose affiliates provided financial guarantees and financial services to clients in both the public and private sectors around the world. Ambac Financial filed a voluntary petition for relief under Chapter 11 of the U.S. Bankruptcy Code (Bankr. S.D.N.Y. Case No. 10-15973) in Manhattan on Nov. 8, 2010. Ambac said it will continue to operate in the ordinary course of business as "debtor- in-possession" under the jurisdiction of the Bankruptcy Court and in accordance with the applicable provisions of the Bankruptcy Code and the orders of the Bankruptcy Court. Ambac's bond insurance unit, Ambac Assurance Corp., did not file for bankruptcy. AAC is being restructured by state regulators in Wisconsin. AAC is domiciled in Wisconsin and regulated by the Office of the Commissioner of Insurance of the State of Wisconsin. The parent company is not regulated by the OCI. Ambac's consolidated balance sheet -- which includes non-debtor Ambac Assurance Corp -- showed US$30.05 billion in total assets, US$31.47 billion in total liabilities, and a US$1.42 billion stockholders' deficit, at June 30, 2010. On an unconsolidated basis, Ambac said in a court filing that it has assets of (US$394.5 million) and total liabilities of US$1.6826 billion as of June 30, 2010. Bank of New York Mellon Corp., as trustee to seven different types of notes, is listed as the largest unsecured creditor, with claims totaling about US$1.62 billion. Peter A. Ivanick, Esq., Allison H. Weiss, Esq., and Todd L. Padnos, Esq., at Dewey & LeBoeuf LLP, serve as the Debtor's bankruptcy counsel. The Blackstone Group LP is the Debtor's financial advisor. Kurtzman Carson Consultants LLC is the claims and notice agent. KPMG LLP is tax consultant to the Debtor. Anthony Princi, Esq., Gary S. Lee, Esq., and Brett H. Miller, Esq., at Morrison & Foerster LLP, in New York, serve as counsel to the Official Committee of Unsecured Creditors. Lazard Freres & Co. LLC is the Committee's financial advisor. CONSUMER UNSECURED: S&P Lowers Rating on Class E Notes to 'B' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its credit ratings on Consumer Unsecured Reperforming Loans (CURL) PLC's class D and E notes. The transaction was the first securitization of reperforming assets in the U.K. (i.e., the borrowers have either approached Lloyds TSB Bank to request refinancing, or the borrowers had already been in arrears and have agreed to a refinancing scheme). Before being refinanced, the loans backing this transaction were overdrafts, credit card receivables, and personal unsecured loans. The total issue amount at closing was GBP147 million, whereas the underlying portfolio amount totaled GBP225.4 million. The total balance of the rated notes currently outstanding is GBP45,728,850, and is backed by collateral of GBP70,935,465--representing overcollateralization of 36%. "The upgrades reflect our view of the improved performance of the underlying collateral and deleveraging of the transaction," S&P said. Total delinquencies have reduced to 10.6% as of June 2011, from a peak of 19.52% in September 2009. "Cumulative gross losses have reached 26.43%. As a result, we have revised our base case assumption to 21.55% for the remaining life of the transaction," S&P related. "Given the asset type -- unsecured reperforming loans -- we acknowledge that the credit quality of the borrowers in the pool is low as a result the transaction remains sensitive to increases in unemployment rates and the potential of rising interest rates. We also considered this in our analysis," S&P said. Ratings List Class Rating To From Consumer Unsecured Reperforming Loans (CURL) PLC GBP147.36 Million, Asset-Backed Floating Rate Notes Ratings Raised D BB+ (sf) B+ (sf) E B (sf) B- (sf) DIVERSITY FUNDING: S&P Affirms BB- Ratings on Two Classes of Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services affirmed and removed from CreditWatch negative its credit ratings on Diversity Funding No. 1 Ltd.'s notes, following S&P's receipt of information on the transfer of legal title in the security interests that back this transaction. Diversity Funding No. 1 is a true sale transaction secured by a portfolio of small commercial real estate loans originated by Northern Rock, which in turn are secured on commercial properties located throughout the U.K. "After we undertook a full transaction review in March, we lowered the ratings on all classes to reflect our view that the creditworthiness of the portfolio had deteriorated. At the same time, we also kept the ratings on CreditWatch negative pending the resolution of the security matter," S&P related. At closing, the mortgages trustee (Diversity Mortgages Trustee No. 1 Ltd.) held the beneficial interest in the portfolio's security, and the legal title in the security remained with the seller (Lehman Commercial Mortgage Conduit Ltd.). The seller granted the mortgages trustee power of attorney to enable it to transfer legal title in the security to itself (from the seller) if the seller became insolvent. A reserve fund was put in place to cover, among other things, senior expenses such as fees associated with the transfers. Following the insolvency of Lehman entities in 2008, the transaction parties implemented arrangements to effect the transfers. The transfers were carried out by a number of different entities and the process has recently been transferred to the servicer (Crown Mortgage Management Ltd.), which envisages the task being completed in 2011. "We understand that the task that lies ahead is an administrative one, and accordingly we have removed from CreditWatch negative our ratings on these notes," S&P said. Ratings List Class Rating To From Diversity Funding No. 1 Ltd. GBP1.145 Billion Variable Reference Rate Notes Ratings Affirmed and Removed From Creditwatch Negative A AA- (sf) AA- (sf)/Watch Neg B BBB+ (sf) BBB+ (sf)/Watch Neg C BB (sf) BB (sf)/Watch Neg D B (sf) B (sf)/Watch Neg E B- (sf) B- (sf)/Watch Neg F B- (sf) B- (sf)/Watch Neg FOCUS (DIY): Takeover Bid Failure Leaves Workers in Limbo --------------------------------------------------------- Harry Hogger at DorsetECHO reports that the future of fifteen staff at Dorchester's Focus DIY store remains uncertain after it missed out on a takeover by another national chain. As reported in the Troubled Company Reporter-Europe on May 10, 2011, H&V News related that Focus DIY fell into administration. Ernst & Young, who were appointed as administrator, said that they are looking for a buyer for the company's stores, which continue to trade as normal, according to H&V News. The Dorchester branch is due to cease trading on July 17. However, it was one of 31 Focus stores subject to a bid from Kingfisher plc -- the parent company of B&Q, according to DorsetECHO. The report says that following an investigation by the Office for Fair Trading, Kingfisher is proceeding with the acquisition of 30 of the stores but has pulled out of the purchase of the Dorchester branch, a move which would have safeguarded the future of its 15 staff members, according to DorsetECHO. The OFT said Kingfisher withdrew from the Dorchester store after evidence in its preliminary review suggested there could be a rival national DIY purchaser interested in the outlet, the report notes. DorsetECHO says that the Dorchester store will now be released back to administrators Ernst and Young so it can be marketed to other interested parties. Project Director for the Dorchester BID (Business Improvement District) Phil Gordon said he hoped the suggestion that another buyer was in the frame was proved to be correct, DorsetECHO adds. Focus (DIY) was founded by Bill Archer in 1987, with six stores in the Midlands and the north of England. The company now has 178 stores in England, Scotland, and Wales, and employs more than 3,900 staff. HOUSE OF FRASER: Moody's Rates GBP250MM Senior Notes at 'B3' ------------------------------------------------------------ Moody's Investors Service has assigned a definitive B3 rating and Loss Given Default assessment of LGD4 to the GBP250 million 8.875% senior secured notes due 2018 issued at House of Fraser (Funding) PLC, a wholly-owned subsidiary of Highland Group Holdings Ltd., which has a B2 corporate family rating and probability of default rating, and which guarantees the notes on a senior secured basis together with subsidiaries accounting for the majority of group assets and EBITDA. RATINGS RATIONALE Moody's definitive rating assignments on these debt obligations are in line with the provisional ratings assigned on 19 May 2011. Moody's rating rationale was set out in a press release issued on that date. The final terms of the notes are in line with the drafts reviewed for the provisional ratings assignments. The notes proceeds have been used mainly to refinance the company's previously-existing GBP215 million drawn senior and mezzanine debt, as well as to increase the cash balance for general corporate purposes. The transaction was completed on 31 May 2011. The company's liquidity post refinancing is expected to remain solid, based on the pro forma cash balance of c.GBP78 million as of FYE2011 and reflecting the notes issuance, and availability under the RCF. The notes contain covenants for debt incurrence, while the RCF contains maintenance covenants for leverage and a fixed charge coverage ratio. Moody's stable outlook assumes that strong headroom will be maintained under these covenants at all times. House of Fraser's ratings are supported by the group's excellent name recognition in its markets and unique business model under which a significant portion of its sales are generated through concession contracts with over 350 suppliers of premium brand names. Moody's believes that this model mitigates the volatility in earnings from one year to the next. The company has reported continued earnings growth in recent years, which has contributed to deleveraging in those years. At the same time, the ratings factor in the company's relatively small scale - with turnover (excluding revenues retained by concession partners) of GBP669.2 million in FY2011 (to January), and with 61 stores in the UK and Ireland. Moody's further believes that the premium segment in general is highly exposed to discretionary spending, which has been reflected in House of Fraser's own comparable sales in recent years. Finally, the ratings are constrained by the company's high adjusted leverage, which reflects in particular Moody's adjustment for long-term leases, as its store portfolio is entirely leased. The CFR is assigned at Highland Group Holdings Ltd., which is the reporting entity and the ultimate parent holding company of the group. The notes are issued at House of Fraser (Funding) plc, a finance subsidiary of Highland Acquisitions Limited, which is also the owner of the operating subsidiaries, while the RCF will be borrowed at the level of the operating subsidiaries. The RCF and notes are secured on substantially all assets of the issuer and the guarantors, which must at all times represent at least 85% of group assets and EBITDA. Under the terms of an intercreditor agreement, in case of an enforcement of the collateral, this security will be applied first to the full repayment of the RCF and then to the notes. On the basis of the structural subordination to the RCF and to other non-debt liabilities within the capital structure, the notes are rated B3 (LGD4), one notch below the CFR. The stable outlook reflects Moody's view that in spite of the group's exposure to discretionary spending in a difficult trading environment, its earnings have proven resilient in recent years and have benefited from its concession model, which Moody's believes will continue to shelter it somewhat from volatility in market demand. For the current rating and stable outlook, Moody's would expect the EBITA/interest cover to be maintained over time at least at 1.2x, with continued free cash flow generation and a strong liquidity profile. In this regard, Moody's believes that the company will have limited flexibility in the B2 category. A deviation from operating performance expectations, resulting in a lower interest cover metric, negative free cash flow or a weakened liquidity profile could lead to downward pressure on the rating. Conversely upward pressure on the rating could result from a strengthening in interest cover to a level approaching 1.75x, coupled with operating performance exceeding expectations on a sustainable basis. The principal methodology used in rating House Of Fraser (Funding) plc was the Global Retail Industry Methodology, published in June 2011. Other methodologies used include Loss Given Default for Speculative Grade Issuers in the US, Canada, and EMEA, published June 2009. House of Fraser is a UK-based department store chain focusing on premium range products and catering to the more affluent client base. In FY2011 (to January) it reported gross transaction value (ie including revenues from concession sales) and net turnover (excluding revenues retained by concession partners) of GBP1.1 billion and GBP669 million, respectively, and adjusted EBITDA of GBP69.7 million. LARONGROVE LTD: OAP Savers Left Penniless After Firm Went Bust -------------------------------------------------------------- Greig Box-Turnbull at Daily Mirror reports that vulnerable pensioners have seen GBP55,000 of their savings vanish after their care home went bust. The money was paid into a business account by bosses instead of a separate savings account, according Daily Mirror. Daily Mirror notes when the company went into administration in 2009 the cash was lost and savers left penniless. Now relatives are fighting to get the cash back from Larongrove Ltd, which ran Abbey Grange care home in Sheffield, the report discloses. But fraud officers said there is no law stating savings must be kept in separate accounts, Daily Mirror adds. LE SPA: Could Become Care Home After Appeal Victory --------------------------------------------------- Gloucestershire Echo reports that new life could be breathed back into the site of a health club in the Cotswolds forced to close over money problems. Cirencester's Le Spa shut its doors last week after it went into administration, according to Gloucestershire Echo. However, Gloucestershire Echo notes, Director Linda Lloyd, who argued the club was financially struggling due to falling membership, has now won her appeal to convert it into a 60-bed care home at Stratton Place. Ms. Lloyd had challenged Cotswold District Council's refusal to grant planning permission, Gloucestershire Echo notes. However, the report says, in a split decision, appeal planning inspector Neil Pope, has rejected the second half of the scheme for 23 new houses which would help pay for the old people's facility. The proposed homes sparked huge opposition from residents who said the development would ruin the grounds, Gloucestershire Echo adds. LLOYDS BANKING: Virgin, Co-operative Leading Bidders for Branches ----------------------------------------------------------------- Patrick Jenkins and Paul Davies at The Financial Times report that Virgin Money and Co-operative Bank are shaping up for a head-to- head tussle to buy the portfolio of 632 branches being sold by Lloyds Banking Group. According to the FT, along with NBNK, the bidding shell headed by outgoing Lloyd's of London chairman Lord Levene, Virgin and the Co-op were the only bidders who submitted concrete offers for the branches within the deadline -- all believed to be towards the lower end of a GBP2 billion-GBP3 billion range. A further three approaches came in from other parties, but were vaguer, the FT notes. These comprised NAB, the Australian bank that owns Yorkshire and Clydesdale in the UK, an unidentified private equity firm, and Clive Cowdery, the insurance entrepreneur, the FT discloses. Lloyds, the FT says, is expected to whittle down the bids by the end of July. It remains to be seen whether the bank can finalize a sale before the middle of September, when Sir John Vickers, head of the government-appointed Independent Commission on Banking is set to publish his full report on the structure of the UK market, the FT notes. An interim report from the Vickers Commission in April recommended that Lloyds should be made to substantially "enhance" the scope of the branch sale, ordered by European Union state aid authorities as a penalty for the bank's bail-out by the UK government, the FT discloses. The shape of bidding could diminish the value that Lloyds extracts from the sale, the FT states. About Lloyds Banking Group PLC Lloyds Banking Group plc -- http://www.lloydsbankinggroup.com/-- is a financial services group providing a range of banking and financial services, primarily in the United Kingdom, to personal and corporate customers. The Company operates in four segments: Retail, Wholesale, Wealth and International, and Insurance. Its main business activities are retail, commercial and corporate banking, general insurance, and life, pensions and investment provision. It also operates an international banking business with a global footprint in over 30 countries. Services are offered through a number of brand, including Lloyds TSB, Halifax, Bank of Scotland, Scottish Widows, Clerical Medical and Cheltenham & Gloucester, and a range of distribution channels. In March 2010, Capita Group Plc acquired Ramesys (Holdings) Ltd from Lloyds Banking Group plc's Lloyds Bank. In April 2011, Lloyds Banking Group plc's LDC bought gas and chemicals business, A-Gas, and a stake in UK2 Group, a Web hosting company. ROYAL BANK: Risky Loan Wind-Down Losses Less Than Estimated ----------------------------------------------------------- Patrick Jenkins at The Financial Times reports that losses incurred in the wind-down of Royal Bank of Scotland's most risky loans covered by the government-run Asset Protection Scheme, should peak at GBP45 billion -- 20% less than estimated a year ago -- the administrators of the APS have concluded. According to the FT, the number, down from the GBP57 billion forecast in 2010, is comfortably below the GBP60 billion first- loss threshold above which the insurance cover would pay out. Even in a "stressed scenario" -- involving severe macro-economic trouble in Ireland and Spain, to which RBS has substantial exposure -- the expected losses would still come under GBP60 billion, the FT notes. The bank's diminishing reliance on the APS should help pave the way for the process of reprivatizing RBS to begin, the FT says. The bank remains 83%-owned by the government after a GBP45 billion bail-out, the FT states. With the APS now highly unlikely to pay out, despite a minimum insurance premium to be paid by the second half of next year totaling GBP2.5 billion, some analysts have questioned its worth, the FT says. Talks have taken place over a period of several months over how the APS might be wound down early, or replaced with a commercial bad bank, the FT relates. But according to Treasury officials briefed on the APA report, some quantifiable financial benefit has come from the scheme, too, despite the expected lack of any pay-out, the FT notes. According to the FT, an estimated GBP400 million of cash benefits have resulted from the APA's involvement in managing the sale of about GBP2 billion of loan portfolios, The pool of APS assets has fallen to GBP182 billion, as at the end of March, compared with an initial GBP286 billion, the FT discloses. About RBS The Royal Bank of Scotland Group plc (NYSE:RBS) -- http://www.rbs.com/-- is a holding company of The Royal Bank of Scotland plc (Royal Bank) and National Westminster Bank Plc (NatWest), which are United Kingdom-based clearing banks. The company's activities are organized in six business divisions: Corporate Markets (comprising Global Banking and Markets and United Kingdom Corporate Banking), Retail Markets (comprising Retail and Wealth Management), Ulster Bank, Citizens, RBS Insurance and Manufacturing. On October 17, 2007, RFS Holdings B.V. (RFS Holdings), a company jointly owned by RBS, Fortis N.V., Fortis SA/NV and Banco Santander S.A. (the Consortium Banks) and controlled by RBS, completed the acquisition of ABN AMRO Holding N.V. (ABN AMRO). In July 2008, the company disposed of its entire interest in Global Voice Group Ltd. SOUTHERN CROSS: Faces Liquidation; NHP Seek New Owner for Homes --------------------------------------------------------------- Simon Mundy at The Financial Times reports that Southern Cross is set to be wound up after announcing Monday last week that all 80 of its landlords wanted to transfer their homes to other operators. The company had spent months trying to stay afloat, after revealing in March that it was set to breach its banking covenants, the FT relates. Its revenues had been hit by cuts to local authority care fees, while it was locked into annual rent increases of 2.5%, the FT notes. According to the FT, the company conceded defeat when NHP, owner of a third of its homes, said it wanted to find new management for them. It had been hoping that NHP would be the "anchor" landlord for a revamped Southern Cross, operating about 400 homes, the FT states. Southern Cross, the FT says, will cease to operate care homes by the end of this year. The FT relates that people close to the situation said it will almost certainly cease to exist as a public company although it is possible that some of its back office services will be used by other operators. The future of the homes is not yet clear, the FT notes. Eighty- five homes owned by Four Seasons and Bondcare, two rival operators, will be taken over by those companies, the FT discloses. According to the FT, industry figures said tat NHP is likely to establish an operating division or help to set up a separate operating company to run its homes. The company and its landlords have guaranteed that no homes would close between now and October, although some may shut after that, the FT states. Southern Cross Healthcare provides residential and nursing care to more than 31,000 residents cared for by 45,000 staff in 750 locations. It also operates homes that specialize in treating people with dementia, mental health problems and learning disabilities. WHITE TOWER: S&P Lowers Rating on Class D Notes to 'B-' ------------------------------------------------------- Standard & Poor's Ratings Services took various credit rating actions on White Tower Europe 2007-1 PLC, following loan prepayments. Specifically, S&P has: -- Raised its rating on the class A notes; -- Lowered its ratings on the class C and D notes; and -- Affirmed its ratings on the class B and E notes. "On Dec. 22, 2009, we lowered our ratings on the class A, B, C, D, and E notes due to market value declines of properties securing the then-remaining loans backing this transaction, and due to increased risk in principal losses due to the Heron City loan. Since then, the borrower has fully repaid the Castor & Pollux loan, the Sebastopol loan, and the Crown loan (in aggregate, about 55% of the pre-amortization note principal balance). Also, on June 30, 2011, we received notice that the Heron City loan was going to be specially serviced by Societe Generale (the originator of this transaction). We do not expect any losses for the remaining two loans (DB Hannover and DB Nuremberg)," S&P stated. "The rating actions follow our analysis of the implications of these events and a review of the three loans that will remain in this transaction following the repayments: The DB Hannover loan (12.6% of principal balance), the DB Nuremberg loan (14.4% of principal balance), and the Heron City loan (72.8% of principal balance). Furthermore, in addition to our credit analysis, we analyzed the ratings in this transaction taking into account our revised criteria for counterparty and supporting obligations (see 'Counterparty And Supporting Obligations Methodology And Assumptions,' published on Dec. 6, 2010)," S&P said. Credit Analysis "In view of our assessment of the recoverable proceeds of the remaining loans and of improved credit characteristics of the notes at the top of the capital structure following loan repayments, we have raised our rating on the class A notes and affirmed our rating on the class B notes," S&P said. The allocation to the notes of the Crown, Sebastopol, and Castor & Pollux loan repayments, in aggregate, increased the credit enhancement to the class A to D notes. However, the remaining pool is now highly concentrated with three loans. The DB Nuremberg and DB Hannover loans are both secured by properties entirely or principally let to entities that are part of Deutsche Bahn AG (AA/Stable/A-1+). They have experienced stable reported annual rental income since closing. "We do not expect either loan to experience a payment default during the loan term. The weighted- average lease length (about six years) and tenant quality of the assets backing the DB Nuremberg loan and the DB Hannover loan further mitigate the risk of principal losses arising from these loans by note maturity, in our view," S&P said. In contrast, the Heron City loan, accounting for almost three quarters of the total portfolio balance, is currently in special servicing for breach of its loan-to-value ratio covenant (currently reported at 128%). It matures in December 2011 and is secured by a leisure and retail property close to Barcelona. "Although rent arrears have reduced to about 2% of income from almost 20% since December 2009, we believe that pressures on the leisure sector in Spain may increase the risk of a term default in the loan. We also believe that this loan will not fully repay at maturity in December 2011. Although there is a potential four-year work-out period before the legal final maturity of the notes, we believe that the property's performance and its value could deteriorate further given indications that Spanish leisure operating businesses are weakening due to the general macroeconomic environment in Spain. As a result, our loss estimates for this specially serviced loan have risen," S&P said. "We have affirmed our rating on the class E notes, and lowered our ratings on the class C and D notes, to reflect our view that these are increasingly likely to suffer from principal losses from the Heron City loan," S&P noted. Counterparty Analysis "Our review of the counterparty documents (account bank, liquidity facility, and swap documents) indicates that, apart from the account bank agreement, they do not fully comply with our 2010 criteria for counterparty and supporting obligations. The maximum rating achievable in the transaction is constrained by the lowest long-term rating on a counterparty in this transaction, namely the liquidity provider Lloyds TSB Bank PLC ('A+')," S&P said. At closing, White Tower Europe 2007-1 acquired six loans secured by 15 commercial properties in Germany, France, and Spain. Since closing, three of these loans have repaid in full and the outstanding note balance is EUR147.2 million as of the April 2011 interest payment date. Ratings List Class Rating To From White Tower Europe 2007-1 PLC EUR349.55 Million Commercial Mortgage-Backed Variable- And Floating-Rate Notes Rating Raised A A+ (sf) A (sf) Ratings Lowered C B (sf) BB (sf) D B- (sf) B (sf) Ratings Affirmed B BBB (sf) E B- (sf) YELL GROUP: Unveils Major Online Expansion Plan ----------------------------------------------- Tommy Stubbington at The Wall Street Journal reports that shares in Yell Group PLC tumbled Thursday after the company announced a major online expansion, as investors learned they will have to wait until 2015 for a return to revenue and profit growth. According to the Journal, the U.K.-based directories group said it plans to expand beyond classified advertising to provide marketing and e-commerce services, as part of a new strategy to become a predominantly online business. Still, investors were unimpressed by the strategy, sending Yell's shares down 18% at 9.02 pence in London on Thursday, the Journal relates. Yell, as cited by the Journal, said it will likely return to growth in revenue, earnings and cash flow by 2015. The heavily indebted company, which narrowly dodged insolvency in 2009, last week announced a series of tie-ups to overhaul its digital strategy as it aims to reduce its reliance on the declining market for print directories, the Journal recounts. About Yell Group Headquartered in Reading, England, Yell Group plc -- http://www.yellgroup.com/-- is an international directories business operating in the classified advertising market through printed, online, and phone media in the U.K. and the US. Yell also owns 100% of TPI (renamed "Yell Publicidad"), the largest publisher of yellow and white pages in Spain, with operations in certain countries in Latin America. Yell's revenue for the twelve months ended March 31, 2008, was GBP2,219 million and its Adjusted EBITDA was GBP738.9 million. * * * As reported by the Troubled Company Reporter-Europe on May 25, 2011, Moody's Investors Service downgraded Yell Group Plc's corporate family rating (CFR) to Caa1 from B3 and its probability- of-default rating (PDR) to Caa2 from Caa1. Moody's said the outlook on the ratings is negative. * UK: Corporate Failures Could Rise in Some Sectors, PwC Warns -------------------------------------------------------------- Robin Wigglesworth at The Financial Times reports that the number of UK company insolvencies fell in the second quarter of the year but PwC, the accounting firm, warned that corporate failures could rise in some sectors as consumer spending remains weak and public spending cuts begin to bite. In total, 3,531 UK companies became insolvent in the second quarter, a 16 per cent decline from the 4,216 failures in the first three months of the year, the FT says, citing an analysis by PwC. According to the FT, PwC noted that low interest rates, leniency from the tax collecting authorities, and lenders anxious to avoid realizing losses have helped many struggling companies to stay solvent. Yet the number of corporate insolvencies edged up 2% from the same period last year, and Mike Jervis, a partner in PwC's business recovery services practice, cautioned that the UK economy -- and companies -- are "by no means out of the woods yet", the FT notes. "There is a high risk of increased insolvencies in the retail, hospitality and leisure sectors over the next 12 months," the FT quotes Mr. Jervis as saying. According to the FT, PWC noted that the quarterly rent check due on June 24 may have tripped up several companies in the retail sector. There were 41 retailers with assets of more than GBP1 million entering insolvency in the quarter, more than three times the amount in the first three months of 2011 and nearly seven times more than in the same quarter last year, the FT discloses. The rate of defaults in the manufacturing sector dipped markedly both quarter-on-quarter and against the same period last year, but construction and related niches such as home improvement companies continue to struggle, the FT states. * UK: Number of Scottish Insolvencies Up 17% in Quarter Ended June ------------------------------------------------------------------ Herald Scotland reports that the number of firms going bust in Scotland surged by 17% between April and the end of June, compared with the first quarter of the year, the latest research shows -- with smaller companies really suffering. Herald Scotland, citing figures released by accounting firm KPMG, discloses that there were 329 Scottish corporate insolvencies during the second quarter of 2011, compared with 282 in the earlier three-month period of the year. The statistics also show that the number of administrations and receivership appointments, which usually affect larger businesses, fell by 19% between April and June, compared with the previous quarter, according to Herald Scotland. * SCOTLAND: High Streets Trading Difficulties Unlikely to Improve ----------------------------------------------------------------- The Herald reports that Scotland's high streets are battling a "perfect storm" of trading difficulties, with experts warning conditions are not likely to improve for at least another year. A string of big brands has either folded or taken steps to shrink operations in recent weeks to meet the challenging economic climate, according to The Herald. The Herald notes that former high-street stalwarts such as furniture retailer Habitat, discount store TJ Hughes and fashion chain Jane Norman have collapsed into administration, while others including Thorntons, HMV and Mothercare have announced plans to close down significant numbers of stores. Last week all of the iconic delicatessen shops of Scottish brand Peckham's were put up for sale, the report relates. =============== X X X X X X X X =============== * EUROPE: Eight Banks Fail European Union Stress Tests ------------------------------------------------------ Ben Moshinsky and Gavin Finch at Bloomberg News report that eight banks failed the European Union stress tests after regulators on Friday said they had a combined capital shortfall of EUR2.5 billion (US$3.5 billion), less than predicted by analysts and investors. According to Bloomberg, Greece's EFG Eurobank Ergasias SA and Agricultural Bank of Greece SA, Austria's Oesterreichische Volksbanken AG and Spain's Banco Pastor SA, Caja de Ahorros del Mediterraneo, Banco Grupo Caja3, CatalunyaCaixa and Unnim failed. Bloomberg relates that the European Banking Authority said as many as 16 more lenders will need to bolster capital after scraping through. All banks examined in Italy, Germany, France, the U.K. and Ireland passed, Bloomberg discloses. The EBA's attempt to bolster confidence in the industry has been criticized by analysts for excluding a Greek default, Bloomberg notes. EBA, as cited by Bloomberg, said the failures were found to have insufficient reserves to maintain a core Tier 1 capital ratio of 5% in the event of an economic slowdown. A further 16 banks, including seven in Spain, barely passed with a core Tier capital 1 ratio of between 5% and 6%, Bloomberg states. 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133351472.5 ********* 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. A list of Meetings, Conferences and Seminars appears in each Thursday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com 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., Frederick, Maryland USA. Valerie U. Pascual, Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante, Psyche A. Castillon, Julie Anne G. Lopez, Ivy B. Magdadaro, Frauline S. Abangan and Peter A. Chapman, Editors. Copyright 2011. All rights reserved. ISSN 1529-2754. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR Europe subscription rate is US$625 per half-year, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are US$25 each. For subscription information, contact Christopher Beard at 240/629-3300. * * * End of Transmission * * *