/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/160707.mbx T R O U B L E D C O M P A N Y R E P O R T E R E U R O P E Thursday, July 7, 2016, Vol. 17, No. 133 Headlines G E R M A N Y DEUTSCHE FORFAIT: Court Formally Ends Insolvency Proceedings I R E L A N D BACCHUS PLC 2007-1: Moody's Affirms Ba3 Rating on Class D Notes * IRELAND: Insolvencies Drop 12% in First Six Months of 2016 L U X E M B O U R G EUROPROP SA: Fitch Cuts Ratings on Three Note Classes to 'Dsf' N E T H E R L A N D S ACCUNIA BV: Moody's Assigns (P)Ba2 Rating to Cl. E Notes ACCUNIA BV: S&P Assigns Prelim. BB Rating to Cl. E Notes HIGHLANDER EURO III: Moody's Affirms Ba2 Rating on Cl. E Notes R U S S I A ACRON PJSC: Fitch Rates RUB50-Bil. Bond Programme 'BB-(EXP)' BRUNSWICK RAIL: S&P Lowers CCR to 'CC', Outlook Remains Negative MILLENNIUM BANK: Liabilities Exceed Assets, Assessment Shows RBR PJSC: Liabilities Exceed Assets, Assessment Shows * RUSSIA: Central Bank Wants Complete Control Over Bailouts S P A I N ABENGOA SA: Strikes Preliminary Restructuring Deal with Lenders TDA NOSTRA EMPRESAS 1: Fitch Affirms BB Rating on E Notes U K R A I N E * UKRAINE: Insolvent Bank Clients' Losses Total UAH111 Billion U N I T E D K I N G D O M BHS GROUP: Goldman Regrets Lack of Paper Trail in Sale Role GULF KEYSTONE: In Talks with Lenders Following Debt Default LEHMAN BROTHERS UK: July 25 Proofs of Debt Deadline Set PREMIER FOODS: Moody's Affirms B2 CFR & Changes Outlook to Stable STANTON MBS I: Fitch Affirms CCCsf Rating on Class D Notes VARDEN NUTTALL: Creditors Face GBP1.4 Million Shortfall YORKSHIRE COUNTY: Sale of Museum Mulled Following Debt Woes X X X X X X X X * Fitch Says EU SME CLO Performance Remained Stable in June 2016 ********* ============= G E R M A N Y ============= DEUTSCHE FORFAIT: Court Formally Ends Insolvency Proceedings ------------------------------------------------------------ Reuters reports that Cologne local court decided to formally terminate insolvency proceedings against df deutsche forfait effective July 1, 2016. The court's decision has cleared way for near-term execution of capital increase against contribution in kind and cash capital increase with a combined volume of EUR11.2 million ($12.49 million)as set out in insolvency plan, according to Reuters. DF Deutsche Forfait AG is German-based company engaged in the non-recourse purchase and sale of receivables -- the forfeiting business -- as well as the acceptance of risks through purchasing commitments. ============= I R E L A N D ============= BACCHUS PLC 2007-1: Moody's Affirms Ba3 Rating on Class D Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the Class C notes issued by Bacchus 2007-1 PLC: EUR25.5 mil. Class C Senior Secured Deferrable Floating Rate Notes due 2023, Upgraded to Aaa (sf); previously on Oct. 15, 2015, Upgraded to Aa3 (sf) Moody's affirmed the ratings on these notes issued by Bacchus 2007-1 PLC: EUR35.4 mil. (Current rated balance of EUR5.2 mil.) Class B Senior Secured Floating Rate Notes due 2023, Affirmed Aaa (sf); previously on Oct. 15, 2015, Affirmed Aaa (sf) EUR25 mil. Class D Senior Secured Deferrable Floating Rate Notes due 2023, Affirmed Ba3 (sf); previously on Oct. 15, 2015, Upgraded to Ba3 (sf) EUR12.2 mil. Class E Senior Secured Deferrable Floating Rate Notes due 2023, Affirmed Ca (sf); previously on Oct. 15, 2015, Affirmed Ca (sf) Bacchus 2007-1 PLC, issued in April 2007, is a Collateralised Loan Obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is managed by IKB Deutsche Industriebank AG. The transaction's reinvestment period ended in April 2013. RATINGS RATIONALE The rating action on the Class C notes is primarily a result of the significant deleveraging of the Class B notes on April 2016 payment date following amortization of the underlying portfolio since the payment date in October 2015. The Class B notes have paid down by EUR20.2 million, or 57% of the original balance, on April 2016 payment date and EUR30.2 million, or 85% of the original balance, since the last rating action in October 2015. As a result of the deleveraging, over- collateralization (OC) has increased. According to the trustee report dated May 2016 the Class A/B, Class C, Class D and Class E OC ratios are reported at 1,262.27%, 214.25%, 118.11% and 96.89% compared to April 2016 levels of 336.71%, 168.07%, 112.72% and 97.11%, respectively. The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of EUR56.26 million and GBP6.96 million, principal proceeds balance of EUR0.12 million, defaulted par of EUR3.09 million, a weighted average default probability of 24.28% (consistent with a WARF of 3,625 over 3.79 years), a weighted average recovery rate upon default of 46.16% for a Aaa liability target rating, a diversity score of 11 and a weighted average spread of 4.12%. The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analyzing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Factors that would lead to an upgrade or downgrade of the ratings: In addition to the base-case analysis, Moody's conducted sensitivity analyses on the key parameters for the rated notes, for which it assumed lower weighted average recovery rate for the portfolio. Moody's ran a model in which it reduced the weighted average recovery rate by 5%; the model generated outputs that were within one notch of the base-case results. This transaction is subject to a high level of macroeconomic uncertainty, which could negatively affect the ratings on the note, in light of uncertainty about credit conditions in the general economy. CLO notes' performance may also be impacted either positively or negatively by 1) the manager's investment strategy and behavior and 2) divergence in the legal interpretation of CDO documentation by different transactional parties because of embedded ambiguities. Additional uncertainty about performance is due to: 1) Portfolio amortization: The main source of uncertainty in this transaction is the pace of amortization of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortization could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend- and-extend restructurings. Fast amortization would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. 2) Around 44.8% of the collateral pool consists of debt obligations whose credit quality Moody's has assessed by using credit estimates. As part of its base case, Moody's has stressed large concentrations of single obligors bearing a credit estimate as described in "Updated Approach to the Usage of Credit Estimates in Rated Transactions," published in October 2009 and available at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBC_120461 3) Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over- collateralization levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. 4) Foreign currency exposure: The deal has an exposure to non- EUR denominated asset. Volatility in foreign exchange rates will have a direct impact on interest and principal proceeds available to the transaction, which can affect the expected loss of rated tranches. In addition to the quantitative factors that Moody's explicitly modeled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. * IRELAND: Insolvencies Drop 12% in First Six Months of 2016 ------------------------------------------------------------- Business World, citing latest data from Vision-Net, reports that insolvencies across Ireland have fallen by 12% when compared with the same period last year with 486 insolvencies compared with 555 during the first and second quarter 2015. These insolvency figures comprise 318 liquidations (65% of the total), 159 receiverships (33%) and 9 examinerships (2%), Business World says. Business World relates that the figures showed 15 of the 26 Irish counties saw a drop in the number of corporate insolvencies recorded with counties such as Meath, Louth, Galway, Westmeath and Donegal experiencing significant decreases in company failures. The industry most affected by insolvencies this year has been professional services, accounting for 19% of all insolvencies recorded, which increased by 6%. Hospitality and the real estate sectors have both enjoyed large decreases in insolvencies at 41% and 32% respectively, Business World relays. "Today's data, covering the first six months of 2016, shows a continuing strengthening of our economic recovery, with particularly positive indications that the recovery has begun to spread beyond large urban growth centres to more rural counties," Business World quotes Christine Cullen, Managing Director of Vision-net.ie, as saying. "The fall in insolvencies in 60% of Irish counties evidences this welcome trend, equally does the increase in company start-ups outside of Dublin." =================== L U X E M B O U R G =================== EUROPROP SA: Fitch Cuts Ratings on Three Note Classes to 'Dsf' -------------------------------------------------------------- Fitch Ratings has downgraded EuroProp (EMC-VI) S.A.'s floating- rate notes due April 2017 as follows: EUR80.4 million class A (XS0301901657) downgraded to 'CCsf' from 'Bsf'; Recovery Estimate (RE) 100% EUR30 million class B (XS0301902622) downgraded to 'Csf' from 'CCCsf'; RE100% EUR35 million class C (XS0301903356) downgraded to 'Csf' from 'CCsf'; RE30% EUR6.6 million class D (XS0301903513) downgraded to 'Dsf' from 'CCsf'; RE0% EUR0 million class E (XS0301903943) downgraded to 'Dsf' from 'Csf'; RE0% EUR0 million class F (XS0301904248) downgraded to 'Dsf' from 'Csf'; RE0% EMC VI - Europrop is a securitization of 18 commercial mortgage loans originated by Citibank, N.A., London Branch and Citibank International PLC. Eight of the original 18 loans have repaid in full since closing in 2007, with a further six incurring losses totalling EUR43.8 million (including pending allocations). KEY RATING DRIVERS The downgrades of the class A, B and C notes reflect the likelihood of a bond maturity default in April 2017. Fitch considers the class D, E and F notes to be in default given interest is fully or partly non-accruing (corresponding to principal deficiencies recorded for each). The REs take into consideration recoveries after bond maturity, including the expected full repayment of the French Signac loan (subject to a safeguard proceedings). Since the last rating action in July 2015, three loans have repaid (Cluster 1 and 4&5 in full; Cluster 2 with a loss, as anticipated). The EUR15.5 million Epic Horse loan remains on the verge of being written off as no collateral remains, while EUR18.9m Epic Rhino has been resolved with a EUR16.4 million loss. The largest loan, EUR144 million Sunrise/Treveria II, is a syndicated facility with 50% securitized in EMC VI and 50% in DECO 10 - Pan-Europe 4 p.l.c. The loan is currently secured on 32 mixed use properties located across Germany (16 assets have been sold since closing, including six over the last 12 months). As per the latest investor report, 19 assets have had notarized sales, the purchase price of which is now expected to be paid in two stages: proceeds from the sale of 9 assets are to be paid on the July 2016 IPD whereas proceeds from the remaining 10 assets are to be paid on the IPD in April 2017. However, around 39% of the proceeds are scheduled to be paid very close to bond maturity, adding to the risk of maturity default. Fitch expects a moderate loss. The courts in France have provided clarity regarding the preferred exit for the EUR48.4 million Signac loan, by setting out an amended repayment schedule. Following various minor installments, only EUR3.1 million is scheduled to be repaid prior to bond maturity. Full repayment is expected (in 2018) from sale of the underlying asset, a five storey office building located in Paris. This improved visibility is a driver for the improvement in REs, supporting the likelihood of the class A and B notes being redeemed after legal maturity. The EUR7.9 million Henderson Bergen/EUR19.9 million Henderson Staples loans remain in special servicing. A standstill agreement granting the borrowers more time to sell the remaining three assets is set to expire this month. A final extension may be possible, depending on sales progress as two other assets have been sold since the last rating action. Either way, Fitch expects a significant loss given negative equity likely applies to these loans. RATING SENSITIVITIES All outstanding class A, B and C notes will be downgraded to 'Dsf' at bond maturity in April 2017. All ratings will then be withdrawn. Fitch expects 'Bsf' recoveries of EUR121 million (post bond maturity). DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ===================== N E T H E R L A N D S ===================== ACCUNIA BV: Moody's Assigns (P)Ba2 Rating to Cl. E Notes -------------------------------------------------------- Moody's Investors Service announced that it has assigned these provisional ratings to notes to be issued by Accunia European CLO I B.V. EUR237,750,000 Class A Senior Secured Floating Rate Notes due 2029, Assigned (P)Aaa (sf) EUR52,250,000 Class B Senior Secured Floating Rate Notes due 2029, Assigned (P)Aa2 (sf) EUR29,750,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029, Assigned (P)A2 (sf) EUR18,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029, Assigned (P)Baa2 (sf) EUR27,750,000 Class E Senior Secured Deferrable Floating Rate Notes due 2029, Assigned (P)Ba2 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. RATINGS RATIONALE Moody's provisional rating of the rated notes addresses the expected loss posed to noteholders by the legal final maturity of the notes in 2029. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans given the characteristics and eligibility criteria of the constituent assets, the relevant portfolio tests and covenants as well as the transaction's capital and legal structure. Furthermore, Moody's is of the opinion that the collateral manager, Accunia Credit Management Fondsmaeglerselskab A/S ("Accunia Credit Management"), has a team with sufficient experience and operational capacity and is capable of managing this CLO. Additionally, PGIM Limited is a designated successor collateral manager and will step in subject to certain performance or key person events occurring. The Issuer is a managed cash flow CLO. At least 90% of the portfolio must consist of senior secured loans and senior secured bonds and up to 10% of the portfolio may consist of unsecured loans, second-lien loans, mezzanine obligations and high yield bonds. The portfolio is expected to be 70% ramped up as of the closing date and to be comprised predominantly of corporate loans to obligors domiciled in Western Europe. The remaining of the portfolio will be acquired during the 90 days expected ramp-up period. Accunia Credit Management will manage the CLO. It will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four- year reinvestment period. Thereafter, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations, and are subject to certain restrictions. In addition to the five classes of notes rated by Moody's, the Issuer will issue EUR55.23 mil. of subordinated notes, which will not be rated. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Accunia Credit Management's investment decisions and management of the transaction will also affect the notes' performance. Loss and Cash Flow Analysis: Moody's modeled the transaction using CDOEdge, a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2015. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the binomial distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario and (ii) the loss derived from the cash flow model in each default scenario for each tranche. As such, Moody's encompasses the assessment of stressed scenarios. Moody's used these base-case modeling assumptions: Par amount: EUR410,000,000 Diversity Score: 38 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 4.20% Weighted Average Recovery Rate (WARR): 42.5% Weighted Average Life (WAL): 8 years Moody's has analyzed the potential impact associated with sovereign related risk of peripheral European countries. As part of the base case, Moody's has addressed the potential exposure to obligors domiciled in countries with local currency country risk ceiling of A1 or below. Following the effective date, and given the portfolio constraints, only up to 10% of the pool can be domiciled in countries with foreign currency government bond rating between A1 and A3. Given this portfolio composition, there were no adjustments to the target par amount, as further described in the methodology. Stress Scenarios: Together with the set of modeling assumptions above, Moody's conducted additional sensitivity analysis, which was an important component in determining the provisional rating assigned to the rated notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on each of the rated notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), holding all other factors equal: Percentage Change in WARF: WARF + 15% (to 3220 from 2800) Ratings Impact in Rating Notches: Class A Senior Secured Floating Rate Notes: 0 Class B Senior Secured Floating Rate Notes: -1 Class C Senior Secured Deferrable Floating Rate Notes: -2 Class D Senior Secured Deferrable Floating Rate Notes: -2 Class E Senior Secured Deferrable Floating Rate Notes: -1 Percentage Change in WARF: WARF +30% (to 3640 from 2800) Class A Senior Secured Floating Rate Notes: -1 Class B Senior Secured Floating Rate Notes: -3 Class C Senior Secured Deferrable Floating Rate Notes: -4 Class D Senior Secured Deferrable Floating Rate Notes: -2 Class E Senior Secured Deferrable Floating Rate Notes: -2 ACCUNIA BV: S&P Assigns Prelim. BB Rating to Cl. E Notes -------------------------------------------------------- S&P Global Ratings has assigned its preliminary credit ratings to Accunia European CLO I B.V.'s class A, B, C, D, and E notes. At closing, Accunia European CLO I will also issue an unrated subordinated class of notes. Accunia European CLO I is a cash flow collateralized loan obligation (CLO) transaction securitizing a portfolio of primarily broadly syndicated speculative-grade senior secured loans and bonds issued mainly by European borrowers. Accunia Credit Management Fondsmaeglerselskab A/S (ACM) is the collateral manager and PGIM Ltd. is the designated successor manager. Under the transaction documents, the rated notes will pay quarterly interest unless there is a frequency switch event. Following such an event, the notes will switch to semiannual payments. The transaction has a three-month ramp-up period, a four-year reinvestment period, and a maximum weighted-average life of eight years from the closing date. At the end of the ramp-up period, S&P understands that the portfolio will represent a well-diversified pool of corporate credits. Therefore, S&P has conducted its credit and cash flow analysis by applying its criteria for corporate cash flow collateralized debt obligations. S&P's preliminary ratings reflect its assessment of the preliminary collateral portfolio's credit quality and the available credit enhancement for the rated notes through the subordination of payable cash flows. In S&P's cash flow analysis, S&P used the EUR410 million target par amount, the covenanted weighted-average spread (4.20%), the covenanted weighted-average coupon (5.50%), and the covenanted weighted- average recovery rates at each rating level. S&P applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. The Bank of New York Mellon, London Branch is the bank account provider and custodian. The portfolio can comprise a maximum of 10% non-euro-denominated obligations, subject to an asset swap provided by a hedge counterparty. The participants' downgrade remedies are expected to be in line with S&P's current counterparty criteria. S&P expects the issuer to be bankruptcy remote, in accordance with its European legal criteria. Following S&P's analysis of the credit, cash flow, counterparty, operational, and legal risks, S&P believes its preliminary ratings are commensurate with the available credit enhancement for each class of notes. RATINGS LIST Accunia European CLO I B.V. EUR421.23 Million Senior Secured And Senior Secured Deferrable Floating-Rate Notes Class Prelim. Prelim. rating amount (mil. EUR) A AAA (sf) 237.75 B AA (sf) 52.25 C A (sf) 29.75 D BBB (sf) 18.50 E BB (sf) 27.75 Sub. notes NR 55.23 NR--Not rated. HIGHLANDER EURO III: Moody's Affirms Ba2 Rating on Cl. E Notes -------------------------------------------------------------- Moody's Investors Service has taken rating actions on these notes issued by Highlander Euro CDO III B.V.: EUR536 mil. (current outstanding balance of EUR253.9 mil.) Class A Senior Secured Floating Rate Notes due 2023, Affirmed Aaa (sf); previously on Sept. 3, 2015, Affirmed Aaa (sf) EUR76 mil. Class B Senior Secured Floating Rate Notes due 2023, Affirmed Aaa (sf); previously on Sept. 3, 2015, Upgraded to Aaa (sf) EUR48 mil. Class C Senior Secured Deferrable Floating Rate Notes due 2023, Upgraded to A1 (sf); previously on Sept. 3, 2015, Upgraded to A2 (sf) EUR34 mil. Class D Senior Secured Deferrable Floating Rate Notes due 2023, Affirmed Baa3 (sf); previously on Sept. 3, 2015, Affirmed Baa3 (sf) EUR26 mil. (current outstanding balance of EUR23.2 mil.) Class E Senior Secured Deferrable Floating Rate Notes due 2023, Affirmed Ba2 (sf); previously on Sept. 3, 2015, Affirmed Ba2 (sf) Highlander Euro CDO III B.V. issued in April 2007, is a Collateralised Loan Obligation backed by a portfolio of mostly senior secured high yield European loans, managed by CELF Advisors LLP. The transaction's reinvestment period ended in May 2014. RATINGS RATIONALE The rating action on the Class C notes is primarily a result of deleveraging of the senior notes following amortization of the underlying portfolio since the last rating action in Sept. 2015. Class A notes have paid down in total by EUR30.7 million on the last three quarterly payment dates, as a result of which over- collateralization (OC) ratios of senior classes of rated notes have increased. As per the latest trustee report dated May 2016, the Classes A/B, C, D and E overcollateralization ratios are reported at 144.36% 126.02%, 115.62% and 109.45% respectively, compared to 135.00%, 120.90%, 112.60% and 107.50% in the July 2015 report. The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par and principal proceeds balance of EUR476.3 million, a weighted average default probability of 19.33% (consistent with a WARF of 2762 and a WAL of 4.34 years), a weighted average recovery rate upon default of 45.76% for a Aaa liability target rating, a diversity score of 36 and a weighted average spread of 3.76%. The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analyzing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Factors that would lead to an upgrade or downgrade of the ratings: In addition to the base-case analysis, Moody's conducted sensitivity analyses on the key parameters for the rated notes, for which it assumed a lower weighted average recovery rate in the portfolio. Moody's ran a model in which it reduced the weighted average recovery rate by 5%; the model generated outputs were unchanged compared to the base-case results for Classes A and B and within one notch of the base-case results for Classes C, D and E. This transaction is subject to a high level of macroeconomic uncertainty, which could negatively affect the ratings on the note, in light of 1) uncertainty about credit conditions in the general economy. CLO notes' performance may also be impacted either positively or negatively by 1) the manager's investment strategy and behavior and 2) divergence in the legal interpretation of CDO documentation by different transactional parties because of embedded ambiguities. Additional uncertainty about performance is due to: Portfolio amortization: The main source of uncertainty in this transaction is the pace of amortization of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortization could accelerate as a consequence of high loan prepayment levels or collateral sales by the liquidation agent/the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortization would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modeled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. =========== R U S S I A =========== ACRON PJSC: Fitch Rates RUB50-Bil. Bond Programme 'BB-(EXP)' ------------------------------------------------------------ Fitch Ratings has revised the Outlook on PJSC Acron's Long-Term Issuer Default Rating (IDR) to Positive from Stable and affirmed the IDR at 'BB-'. Fitch has also assigned Acron's prospective RUB50 billion bond programme an expected rating of 'BB-(EXP)'. A full list of rating actions is available at the end of this commentary. The Positive Outlook reflects Acron's strong progress in deleveraging in 2015. The weak rouble and ramp up of phosphate operations underpinned positive free cash flow (FCF) and led to FFO net adjusted leverage (leverage) of 1.7x which is below the positive rating guidance of 2x. In 2016-2017, we expect Acron's divestment of its stake in Uralkali, moderate investment pace and the weak rouble to mitigate low fertilizer pricing and translate into low 1.0x-1.5x leverage. Beyond 2017, the interplay between higher capital expenditure on potash investments, the gradually strengthening rouble, and dividend distribution might turn Acron's FCF negative and result in higher leverage. An upgrade would require Fitch to be satisfied that the company will maintain a sufficiently robust financial profile in the medium term despite these pressures. Fitch said, "The prospective bond issues under the RUB50 billion bond programme will be issued at the PJSC Acron level and will only be subordinated to Acron's $US525 million pre-export finance facility. We do not consider the bonds to be structurally subordinated to debt at Acron's cash-generating subsidiaries as PJSC Acron's share of the group's EBITDA and debt is broadly the same. As the prospective bonds' prior-ranking debt remains well below Fitch's guidance of 2.0x-2.5x EBITDA, we have not applied a notch discount to the bonds' senior unsecured expected rating. A final rating is contingent on the receipt of final documentation conforming to information already received." KEY RATING DRIVERS Nitrogen and Phosphate Capacities Up Acron's new low-cost 700 thousand tonnes (kt) ammonia plant was launched in May 2016 and will ramp up to full capacity utilization in 2H16. Another major capacity addition was the open pit phosphate mining operations at Oleniy Ruchey which completed Acron's vertical integration in phosphates, on top of self- sufficiency in nitrogen. Fitch said, "The next major investment steps include underground phosphate mining and potash projects. We expect underground phosphate mining to be financed mostly from phosphate-based operational cash flows, but the potash project could significantly weigh on Acron's FCF generation beyond 2017." Deleveraging Prior to Potash Project The weak rouble resulted in record-high EBITDA margins of above 35% in 2015-2016 despite the ongoing fertilizer price pressure. Combined with moderate capex (2015-2016 capex/sales around 15%), this has allowed Acron to rebase its leverage at below 1.5x in 2015 and around 1.0x in 2016. However, Acron's potash project requires more than $US1billion of investments, despite being stretched over eight years. Coupled with moderate rouble strengthening, this might pressurize leverage from 2018 before the projects' operational cash flows start in 2022. Fertiliser Pricing Pressure Continues Fitch said, "The fertilizer pricing trend corresponded to weakness in other commodities in 2015 and 1Q16, but the trends became divergent in 2Q16. Fertilizer prices remained pressurized in 2Q16 due to several factors such as weak grain pricing, high Chinese urea exports and high end-2015 potash stocks. We expect fertilizers to start a moderate recovery in 2017. With most capacity additions expected in nitrogen and potash segments, we anticipate longer recovery in nitrogen and potash segments and shorter in phosphates. "Acron is most exposed to nitrogen-based ammonium nitrate (AN) and urea ammonium nitrate (UAN), as well as complex fertilizers (48% of Acron's 2015 sales). In Acron's portfolio, AN and UAN were hit most while complex fertilizers show resilience and posted record-high price premiums of above 20% in 4Q15 and 1H16. We conservatively believe these premiums are not sustainable and will reduce over time. Financial Investments Reduce "Acron completed the divesture from Uralkali's minority stake in 1Q16, and is left with around a 20% stake in Polish nitrogen player Grupa Azoty. We note that the stake might be used as a liquidity source for Acron. However, we conservatively do not expect Acron to sell it or treat the stake as a liquidity source." KEY ASSUMPTIONS -- $US/RUB of 72.5 in 2016 gradually strengthening towards 57 in 2019 -- Dividend payout amounting to 30% of net income -- Nitrogen fertilizers to show mid-single digit price growth since 2017 after a 25%-27% drop in 2016, while the complex fertilizer premium declines to 10% in 2019 from 30% in 2016 -- New ammonia plant of 700ktpa to ramp up throughout 2016 -- Capital intensity to stay at 14%-15% in 2016-17 and increase to around 20% beyond 2017 driven by investments in the potash project -- No material acquisitions or divestures RATING SENSITIVITIES Positive: Future developments that may, individually or collectively, lead to positive rating action include: -- An enhanced operational profile as a result of self- sufficiency in potash. -- Ability to keep FFO net adjusted leverage below 2x and continued prudency on financial investments. Negative: Future developments that may, individually or collectively, lead to negative rating action include: -- Outlook Stabilization: Aggressive capex or dividends resulting in leverage back to above 2x; A downgrade could result from: -- Aggressive capex or dividends resulting in leverage sustained above 3x. -- Sustained materially negative FCF (excluding funding of the potash project). -- A sharp deterioration of market conditions or Acron's cost position with a sustained drop in EBITDA margin below 20%. LIQUIDITY Despite a short-term debt increase during 1Q16 to RUB26 billion from RUB13 billion, Acron's liquidity remains strong at end-1Q16 with RUB38 billion cash on balance, RUB16 billion long-term unutilized committed credit lines and positive free cash flow expectations for 2016. FULL LIST OF RATING ACTIONS -- Long-term local and foreign currency IDRs affirmed at 'BB-'; Outlook revised to Positive -- National Long-term Rating affirmed at 'A+ (rus)'; Outlook revised to Positive -- Short-term foreign currency IDR affirmed at 'B' -- Local currency senior unsecured rating affirmed at 'BB-'/'RR4' BRUNSWICK RAIL: S&P Lowers CCR to 'CC', Outlook Remains Negative ---------------------------------------------------------------- S&P Global Ratings lowered its long-term corporate credit rating on Russia-based freight car lessor Brunswick Rail Ltd. to 'CC' from 'CCC-'. The outlook remains negative. At the same time, S&P lowered to 'CC' from 'CCC-' its issue rating on the $600 million 6.5% senior unsecured notes due 2017, issued by Brunswick's wholly owned subsidiary Brunswick Rail Finance Ltd. The downgrade follows Brunswick's announcement that it intends to launch a tender offer on its US$600 million unsecured notes due in November 2017. S&P understands that the company has been negotiating with a group of bondholders and proposed a number of options for restructure. Different conditions included an all-cash offer and combinations of cash and a settlement in kind and cash and new debt. Bond holders' representatives have not accepted any of these offers and their counter-offers were rejected by the company. Brunswick's most recent proposal -- which was rejected by the bondholders involved in the negotiations -- envisaged giving investors the choice of: -- An all-cash offer whereby they will be compensated with 51% of the nominal value of the notes in cash; and -- A combination of 38% of cash compensation of the nominal value of the existing notes and an equivalent of 35% of nominal value of the existing notes in new subordinated convertible payment-in-kind toggle notes. S&P views an offer, whereby existing bondholders will receive less than promised from the original securities, as constituting a "distressed exchange," which under S&P's criteria is tantamount to a default. While the company has not launched an official tender offer yet, it is highly likely to do so. S&P also believes that the existing bondholders are likely to be offered less than the original par value of the notes. Brunswick has arranged a Russian ruble 20 billion senior secured facility with a Russian bank to fund the cash component of the offer, which S&P understands is conditional, among other things, upon a new equity injection of about US$15 million from the existing shareholders. S&P has lowered its issue rating on the US$600 million senior unsecured notes issued by Brunswick Rail Finance to 'CC', in line with the corporate credit rating on Brunswick. S&P's rating on the notes reflects that the parent of the group provides unconditional and irrevocable guarantees and that its main operating subsidiaries guaranteeing the notes account for the majority of the group's total assets. The negative outlook reflects that S&P is likely to lower the corporate rating on Brunswick and the issue rating on the senior unsecured notes to 'D' (default) if the company completes the intended transaction. In the event that the restructuring is not approved or no agreement is reached with bondholders, S&P might lower the ratings if the company misses the coupon or principal payment on its outstanding debt, if it enters a standstill, or files for bankruptcy. S&P does not expect a positive rating action until after the company completes its recapitalization plan, at which point S&P would assess its revised capital structure and liquidity profile. MILLENNIUM BANK: Liabilities Exceed Assets, Assessment Shows ------------------------------------------------------------ The provisional administration managing Millennium Bank (CJSC) estimated that the value of the Bank's assets is not more than RUB1.4 billion, versus RUB6.9 billion of its liabilities to creditors, according to a press statement from the Bank of Russia. The provisional administration was appointed by Bank of Russia Order No. OD-377, dated February 5, 2016, following the bank's license revocation. The Bank's provisional administration, in the course of its financial assessment of the bank, revealed the former bank executives-performed transactions which are indicative of asset siphoning off through extending loans, to the total of RUB6.9 billion, to organizations carrying signs of shell companies and also to those with doubtful solvency. On April 20, 2016, the Arbitration Court of the City of Moscow recognized Millennium Bank as insolvent (bankrupt) and initiated bankruptcy proceedings. The State Corporation Deposit Insurance Agency was approved to act as its bankruptcy supervisor. The information on financial transactions indicative of criminal acts as carried out by the former Millennium Bank executives and owners was submitted by the Bank of Russia to the Office for Prosecutor General of the Russian Federation, the Ministry of Internal Affairs of the Russian Federation and the Investigative Committee of the Russian Federation, to be reviewed and to enable the appropriate procedural decisions to be made. RBR PJSC: Liabilities Exceed Assets, Assessment Shows ----------------------------------------------------- The provisional administration managing PJSC JSCB RBR estimated that the value of the Bank assets is not more than RUB2.1 billion, versus RUB5.4 billion of its liabilities to creditors, according to a press statement from the Bank of Russia. The Bank's provisional administrated was appointed by Bank of Russia Order No. OD-3098, dated November 10, 2015. It had been faced with severe obstructions of its operations from day one, the press statement relates. The bank's executives declined to transfer documents of title as regards loan agreements to the total of over RUB5.6 billion, which is indicative of the attempt to conceal documental record of asset siphoning off. Concurrently, at the time the Bank was actually insolvent, transactions were being made to meet liabilities to certain creditors, as a matter of preference above and to the detriment of others. On December 18, 2016, the Arbitration Court of the City of Moscow recognized PJSC JSCB RBR as insolvent (bankrupt) and initiated bankruptcy proceedings. The State Corporation Deposit Insurance Agency was approved to act as its bankruptcy supervisor. The information on financial transactions indicative of criminal acts as carried out by the Bank's former executives and owners was submitted by the Bank of Russia to the Office for Prosecutor General of the Russian Federation, the Ministry of Internal Affairs of the Russian Federation and the Investigative Committee of the Russian Federation, to be reviewed and to enable the appropriate procedural decisions to be made. * RUSSIA: Central Bank Wants Complete Control Over Bailouts ----------------------------------------------------------- Anna Baraulina at Bloomberg News reports that Russia's central bank wants complete control over bailouts of failed lenders as it intensifies its sweep of the financial industry. According to Bloomberg, Governor Elvira Nabiullina told a financial congress in St. Petersburg on June 30 that instead of inviting outside investors to execute state-financed rescues, the Bank of Russia is working on a draft law to create a fund to bail out, recapitalize and sell failed banks in the market. Ms. Nabiullina, as cited by Bloomberg, said under the proposed rules to be submitted to parliament during its autumn session, the regulator will oversee the whole process. Ms. Nabiullina is escalating her battle with banks deemed mismanaged or under-capitalized as part of her campaign to clamp down on dubious capital transactions and improve lending practice, Bloomberg relays. The governor said after studying recent bailouts in Russia, the central bank found that the cleanups were costing more than estimated, Bloomberg relates. Ms. Nabiullina said banks selected to help revive troubled lenders weren't always investing in them or developing their businesses and sometimes dumped bad assets onto their balance sheets, Bloomberg notes. She said the new rules will require that the fund can't let banks' financial health deteriorate under their watch, according to Bloomberg. Deputy Governor Mikhail Sukhov said the cleanups currently under way will continue, Bloomberg discloses. ========= S P A I N ========= ABENGOA SA: Strikes Preliminary Restructuring Deal with Lenders --------------------------------------------------------------- Reuters reports that Abengoa SA said on June 30 it had reached a preliminary deal with banks and bondholders to finalize its restructuring plan. According to Reuters, Abengoa's Chairman Antonio Fornieles told a shareholder meeting in Seville that the deal would unlock funds as part of its viability plan. Under the company's latest plan it said it would have liquidity needs of EUR1.2 billion, Reuters relates. In April, a Spanish court gave Abengoa until Oct. 28 to strike a debt restructuring deal with creditors, Reuters recounts. The company, struggling under a debt pile of over EUR9 billion, is under creditor protection, Reuters notes. About Abengoa S.A. Spanish energy giant Abengoa S.A. is a leading engineering and clean technology company with operations in more than 50 countries worldwide that provides innovative solutions for a diverse range of customers in the energy and environmental sectors. Abengoa is one of the world's top builders of power lines transporting energy across Latin America and a top engineering and construction business, making massive renewable- energy power plants worldwide. As of the end of 2015, Abengoa, S.A. was the parent company of 687 other companies around the world, including 577 subsidiaries, 78 associates, 31 joint ventures, and 211 Spanish partnerships. Additionally, the Abengoa Group held a number of other interests of less than 20% in other entities. On Nov. 25, 2015 in Spain, Abengoa S.A. announced its intention to seek protection under Article 5bis of Spanish insolvency law, a pre-insolvency statute that permits a company to enter into negotiations with certain creditors for restricting of its financial affairs. The Spanish company is facing a March 28, 2016, deadline to agree on a viability plan or restructuring plan with its banks and bondholders, without which it could be forced to declare bankruptcy. On March 16, 2016, Abengoa presented its Business Plan and Financial Restructuring Plan in Madrid to all of its stakeholders. U.S. Bankruptcies Abengoa, S.A., and 24 of its subsidiaries filed Chapter 15 petitions (Bankr. D. Del. Case Nos. 16-10754 to 16-10778) on March 28, 2016, to seek U.S. recognition of its restructuring proceedings in Spain. Christopher Morris signed the petitions as foreign representative. DLA Piper LLP (US) represents the Debtors as counsel. Gavilon Grain, LLC, et al., on Feb. 1, 2016, filed an involuntary Chapter 7 petition for Abengoa Bioenergy of Nebraska, LLC ("ABNE") and on Feb. 11, 2016, filed an involuntary Chapter 7 petition for Abengoa Bioenergy Company, LLC ("ABC"). ABC's involuntary Chapter 7 case is Bankr. D. Kan. Case No. 16-20178. ABNE's involuntary case is Bankr. D. Neb. Case No. 16-80141. An order for relief has not been entered, and no interim Chapter 7 trustee has been appointed in the Involuntary Cases. The petitioning creditors are represented by McGrath, North, Mullin & Kratz, P.C. On Feb. 24, 2016, Abengoa Bioenergy US Holding, LLC and 5 five other U.S. units of Abengoa S.A., which collectively own, operate, and/or service four ethanol plants in Ravenna, York, Colwich, and Portales, each filed a voluntary petition for relief under Chapter 11 of the United States Bankruptcy Code in the United States Bankruptcy Court for the Eastern District of Missouri. The cases are pending before the Honorable Kathy A. Surratt-States and are jointly administered under Case No. 16- 41161. Abeinsa Holding Inc., and 12 other affiliates, which are energy, engineering and environmental companies and indirect subsidiaries of Abengoa, filed Chapter 11 bankruptcy petitions (Bankr. D. Del. Proposed Lead Case No. 16-10790) on March 29, 2016. TDA NOSTRA EMPRESAS 1: Fitch Affirms BB Rating on E Notes --------------------------------------------------------- Fitch Ratings has affirmed TDA Nostra Empresas 1 and 2 FTA 's notes, as follows: TDA Empresas 1 EUR9.9 million Series B (ISIN:ES0377969011): affirmed at 'Asf'; Outlook revised to Stable from Negative EUR6.7 million Series C (ISIN:ES0377969029): affirmed at 'BBsf'; Outlook revised to Positive from Stable EUR6.6 million Series D (ISIN: ES0377969037): affirmed at 'BBsf'; Outlook Stable EUR3.0 million Series E (ISIN: ES0377969045): affirmed at 'BBsf'; Outlook Stable TDA Empresas 2 EUR31.3 million Series B (ISIN: ES0377957016): affirmed at 'Asf'; Outlook Stable EUR31.9 million Series C (ISIN: ES0377957032): affirmed at 'BBsf'; Outlook Stable EUR9.7 million Series D (ISIN: ES0377957024): affirmed at 'BBsf'; Outlook Stable TDA Empresas 1 and 2 are securitizations of two static pools of secured and unsecured loans originated by Caja de Ahorros y Monte de Piedad de Las Baleares and granted to small and medium-sized enterprises. Structure is pass through, sequential, or pro-rata under certain circumstances. KEY RATING DRIVERS Fitch said, "The affirmations of the class B notes reflect the overall stable performance of the transactions over the past year. Credit enhancement (CE) has increased as a result of sequential amortization over the past year and the class A notes have been paid in full since our last review, making the class B notes the most senior notes in both transactions. This has led to the revision of the Outlook on the class B notes in TDA Empresas 1 to Stable as the increased CE outweighs the high concentration." The affirmations of TDA Empresas 1's class D and E notes and TDA Empresas 2's class C and D notes reflect the affirmation of Banco Mare Nostrum (BMN; BB/Stable/B) in May 2016. BMN is servicer and reserve fund account bank for both transactions. The notes' CE is partially or fully provided by the reserve fund held by BMN. This material exposure has been addressed by capping the notes' ratings at BMN's rating. The revision of the Outlook on TDA Empresas 1's class C notes to Positive reflects the increased CE. While the tranche benefits from ample CE even if the reserve fund were to be lost following the default of the originator, the rating is constrained by the portfolio's high obligor concentration. The top obligor exposure has increased to 7.9% from 6.9% and the top 10 obligors' exposure has increased to 51.4% from 49.1%. In its analysis, Fitch included a sensitivity scenario where the top three obligors default with no recovery. Both transactions' performance have been stable, with delinquencies and defaults remaining at overall low levels. Current defaults have remained at 0.03% of the outstanding balance for TDA Empresas 1 and increased to 2.7% from 2.5% for TDA Empresas 2. Delinquencies over 90 days are 0.53% and 1.27%, respectively. The recoveries are close to 100% for TDA Empresas 1 and 82.5% for TDA Empresas 2. TDA Empresas 2's portfolio remains granular with the top one obligor at 3.1% and the top 10 representing 12.9% of the current outstanding balance. RATING SENSITIVITIES Fitch tested two sensitivities with decreasing recovery rate base case by 25% and increasing default base case by 25%, both cases would not have an impact on the ratings. The ratings of TDA Empresas 1's class D and E notes and TDA Empresas 2's class C and D notes would be subject to rating action should BMN's rating change. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ============= U K R A I N E ============= * UKRAINE: Insolvent Bank Clients' Losses Total UAH111 Billion -------------------------------------------------------------- Interfax-Ukraine reports that the total amount of losses of insolvent bank customers is UAH111 billion, Head of the National Bank of Ukraine (NBU) Valeriya Gontareva has said. "The total potential losses from insolvent banks are UAH 111 billion. Of them UAH59 billion are not guaranteed by the Individual Deposit Guarantee Fund and UAH 53 billion are those of legal entities," the report quotes Ms. Gontareva as saying at a press conference in Kyiv after signing a memorandum on cooperation in the sale of insolvent banks' assets by the NBU, the Ministry of Economic Development and Trade, the Deposit Guarantee Fund and Transparency International Ukraine. Ms. Gontareva noted the NBU expects in 2016 to obtain UAH12 billion from the sale of assets pledged on refinancing loans issued to insolvent banks, Interfax-Ukraine relates. =========================== U N I T E D K I N G D O M =========================== BHS GROUP: Goldman Regrets Lack of Paper Trail in Sale Role ----------------------------------------------------------- Sam Chambers at Bloomberg News reports that Michael Sherwood, co-chief executive of Goldman Sachs International, said he regrets having not kept a more thorough paper trail over the bank's role in the sale of failed U.K. retailer BHS Ltd. Mr. Sherwood was one of three Goldman bankers who appeared to answer lawmakers' questions on June 29 at a U.K. parliamentary hearing into BHS's collapse, Bloomberg discloses. The bank's role in billionaire Philip Green's sale of the chain to former race-car driver Dominic Chappell was "extremely limited," Mr. Sherwood, as cited by Bloomberg, said, adding that Goldman doesn't accept any blame for the retailer's subsequent demise. "If I had a regret, which I do, I wish that we had documented more clearly our role in writing so that we could not have the subsequent confusion that we're going through today," Bloomberg quotes Mr. Sherwood as saying. "It was crystal clear in our minds what our role was." The bankers appeared two weeks after Mr. Green told the same hearing that he never would have sold BHS to Chappell, who had no previous retailing experience, had the buyer not been approved by Goldman Sachs, Bloomberg recounts. That was challenged by Mr. Sherwood, who said Mr. Chappell never passed the bank's "sniff test," as Mr. Green had told lawmakers, Bloomberg relays. Goldman declined an official advisory role on the sale of BHS because it was too small and the bank wasn't sure it would be able to find a buyer, Bloomberg notes. Little more than a year into Mr. Chappell's ownership, the retailer collapsed, putting as many as 11,000 jobs at risk and leaving 20,000 pensioners facing cuts to their retirement savings, Bloomberg discloses. BHS Group is a department store chain. The company employs 10,000 people and has 164 shops. GULF KEYSTONE: In Talks with Lenders Following Debt Default ----------------------------------------------------------- Jillian Ambrose at The Telegraph reports that Gulf Keystone had defaulted on its US$26 million April debt payment, but remains in crunch talks with its lenders. After Gulf Keystone failed to pay its April debt coupon, its bondholders granted repeated extensions to its stay of execution, The Telegraph relates. The oil producer has technically been in default since May but it has used a "stand-still" period to shield itself from insolvency proceedings while it negotiates a rescue deal with its lenders, The Telegraph relays. According to The Telegraph, the freeze agreement expired on July 4 and the company said it would not extend the stand-still period, or make the outstanding debt coupon payment, raising speculation that a deal with its lenders may be imminent. Gulf Keystone, as cited by The Telegraph, said its "restructuring discussions remain ongoing" with the bondholders and a further announcement would be made in due course, but a company spokesman declined to comment further. Gulf Keystone Petroleum Limited is an oil and gas exploration and production company operating in the Kurdistan region of Iraq. It is listed on the main market of the London Stock Exchange. LEHMAN BROTHERS UK: July 25 Proofs of Debt Deadline Set ------------------------------------------------------- Pursuant to Rule 2.95 of the Insolvency Rules 1986, D.A. Howell, A.V. Lomas, S.A. Pearson, G.E. Bruce and J.G. Parr, the Joint Administrators of Lehman Brothers UK Holdings Limited, intend to make a distribution (by way of paying an interim dividend) to the unsecured, non-preferential subordinated creditors of LBUKH. Proofs of debt may be lodged at any point up to (and including) July 25, 2016, the last date for proving claims, however, creditors are requested to lodge their proofs of debt at the earliest possible opportunity. Persons so proving are required, if so requested, to provide such further details or produce such documents or other evidence as may appear to the Joint Administrators to be necessary. The Joint Administrators will not be obliged to deal with proofs lodged after the last date for proving but they may do so if they think fit. The Joint Administrators intend to make such distribution within the period of two months from the last date for proving claims. For further information, contact details, and proof of debt forms, please visit https://is.gd/lUOtSA Please complete and return a proof of debt form, together with relevant supporting documents to PricewaterhouseCoopers LLP, 7 More London Riverside, London SE1 2RT marked for the attention of Carly Scholes. Alternatively, you can email a completed proof of debt form to lehman.affiliates@uk.pwc.com Rule 2.95(2)(c) of the Insolvency Rules 1986 requires the Joint Administrators to state in this notice the value of the prescribed part of LBUKH's net property which is required to be made available for the satisfaction of LBUKH's unsecured debts pursuant to section 176A of the Insolvency Act 1986. There are no floating charges over the assets of LBUKH and accordingly, there shall be no prescribed part. All of LBUKH's net property will be available for the satisfaction of LBUKH's unsecured debts. PREMIER FOODS: Moody's Affirms B2 CFR & Changes Outlook to Stable ----------------------------------------------------------------- Moody's Investors Service affirmed the B2 corporate family rating and B2-PD probability of default rating of UK-based food manufacturer Premier Foods plc. Moody's also affirmed the B2 ratings on the GBP500 senior secured notes at Premier Foods Finance plc. The outlook on all ratings was changed to stable from negative. RATINGS RATIONALE The rating action reflects the improvements in operating and financial performance achieved in the fiscal year 2015/16 as well as Moody's expectation that the company will be able to sustain these improvements. "We expect Premier Foods to be able to achieve sales growth in the low single percentage digit in 2016/17 but caution that EBITDA growth will be constrained by its increased consumer marketing spend while resuming its pension contributions will affect its cash flow generation", says Eric Kang, a Moody's Analyst. Furthermore, Moody's continues to view its credit metrics as weakly positioned for the current B2 CFR, especially given the challenging market conditions for food manufacturers in the UK as the price war between grocers shows no sign of easing. The recent outcome of the UK referendum to leave the European Union may also lead to a period of economic uncertainty. As of April 2, 2016, Premier Foods' Moody's-adjusted debt to EBITDA stood at 6.6x, including an adjustment for the company's gross IAS 19 pension deficit of GBP420 million under the Premier schemes but excluding the surplus under the RHM schemes as per Moody's methodology. Also, the company's leverage as at 2015/16 fiscal year-end does not reflect average drawings under the revolving credit facility throughout the year because drawings tend to reach a low point at year-end. Moody's views this level of leverage as high for the current B2 CFR but it is materially lower than the leverage of 8.0x as of April 4, 2015. More positively, the ratings also reflect the company's (1) position as a leading manufacturer of well established brands in the UK ambient savory meal making and sweet foods segment, with a track record of maintaining solid market share positions; (2) high margins reflecting its branded-focus; (3) refocusing of the business over the last 2-3 years underpinned by an active innovation strategy and increased marketing spend; and (4) agreement with the pension trustees to fix the annual level of pension deficit contributions until the end of 2019. Furthermore, the company's liquidity profile continues to be adequate. As of April 2, 2016, the company had cash balance of GBP8 million and access to a GBP272 million revolving credit facility due March 2019 (not rated) of which GBP55 million was drawn. Moody's also expects the company to maintain sufficient headroom on the financial maintenance covenants attached to the revolving credit facility. OUTLOOK The stable outlook reflects Moody's expectations that Premier Foods will maintain credit metrics in line with its current B2 CFR over the next 12 to 18 months. It does not incorporate a change in financial policy or material debt-funded acquisitions. WHAT COULD CHANGE THE RATING UP/DOWN Over time, there could be positive pressure if debt/EBITDA ratio falls below 6.5x on a sustained basis and the company maintains an EBIT margin above 10%, whilst generating positive free cash flow (after pension contributions) and keeping a solid liquidity profile. Conversely, the ratings could be downgraded if the company's debt protection ratios or liquidity profile deteriorate as the result of a weakening of its operational performance, recognizing the significant impact of the pension adjustment. Quantitatively, Moody's will consider downgrading the ratings if gross debt/EBITDA rises towards 8.0x, if EBIT margin falls materially below 10%, or if the liquidity profile deteriorates including negative free cash flow (after pension contributions). The principal methodology used in these ratings was Global Packaged Goods published in June 2013. Headquartered in St Albans, UK and quoted on the London Stock Exchange, Premier Foods plc is a branded ambient foods producer to the UK retail market. For the fiscal year ended April 2, 2016, Premier Foods reported revenues of approximately GBP772 million. STANTON MBS I: Fitch Affirms CCCsf Rating on Class D Notes ---------------------------------------------------------- Fitch Ratings has upgraded Stanton MBS I Plc's class A-2 notes and affirmed the remaining notes, as follows: Class A-2: upgraded to 'BBBsf' from 'BB+sf'; Outlook Stable Class B: affirmed at 'BBsf'; Outlook Stable Class C: affirmed at 'Bsf'; Outlook Stable Class D: affirmed at 'CCCsf' Stanton MBS I is a securitization of European structured finance assets, mainly mezzanine RMBS and CMBS assets of sub-investment grade quality. The portfolio is actively managed by Cambridge Place Investment Management LLP. KEY RATING DRIVERS Prepayments Drive Deleveraging The upgrade of the class A-2 notes reflects an increase in credit enhancement over the last 12 months. The transaction has deleveraged significantly, distributing EUR24.1 million of principal proceeds to noteholders on the last four payment dates. The deleveraging was largely driven by prepayments in the UK RMBS sector. Portfolio Credit Quality Deteriorates The credit quality of the remaining portfolio has deteriorated slightly. The reported weighted average rating factor stands at 21.93, up from 16.80 in May 2015. There have been no defaults in the portfolio over the last 12 months. Long Expected Life Fitch based its analysis on a time-to-repayment assumption for the portfolio. The agency made the following bullet repayment assumptions for assets that are not CMBS and are not currently amortizing: 25 years from closing for RMBS assets and ten years from closing for corporate CDO assets. For non-CMBS assets that are currently amortizing Fitch used an average repayment date assuming linear amortization between the analysis date and the expected final payment date derived earlier. CMBS assets, as well as those assets where the above calculation yielded an expected repayment date prior to the analysis date, were assumed to repay on their legal final maturity date. Fitch's overall weighted average life assumption for the portfolio is 13.3 years. RATING SENSITIVITIES A 25% increase in the asset default probability would lead to a downgrade of up to two notches for the rated notes. A 25% reduction in expected recovery rates would lead to a downgrade of up to one notch for the rated notes. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. VARDEN NUTTALL: Creditors Face GBP1.4 Million Shortfall ------------------------------------------------------- Insider Media reports that creditors of Varden Nuttall, a Greater Manchester-based insolvency firm that fell into administration in March, could miss out on almost GBP1.4 million, new documents have revealed. Varden Nuttall entered administration on March 24, 2016, with FRP Advisory partners Benny Woolrych and Phil Pierce as well as Harrisons Business Recovery and Insolvency's Paul Boyle and Tom Bowes appointed joint administrators by the company's directors. Incorporated in 2003, Varden Nuttall sources, converts and manages a portfolio of personal insolvency cases from its premises on Moor Street in Bury. Varden Nuttall's portfolio comprises 2,500 individual voluntary arrangements for consumers across England and Wales and 300 trust deeds for consumers in Scotland. It posted a GBP3.7 million turnover in audited results for the year ending March 29, 2015. Citing newly published statement of administrator's proposals, dated May 19, 2016, Insider Media relates that the company suffered operational issues in early 2016 that resulted in a working capital shortfall. Administrators were subsequently appointed following consultation with professional advisers and secured creditors Barclays Bank and Reward Capital. On appointment, the administrators have retained all 30 members of staff and continued to trade the business with a view to managing the personal insolvency cases to a conclusion, Insider Media says. Insider Media relates that a statement of affairs signed by a company director and dated May 24, 2016, estimates that the company had GBP272,256 of assets available for distribution at the point of administration. According to the report, preferential creditor claims are estimated at GBP29,780 while GBP57,451 is set aside for the prescribed part, leaving GBP185,025 for floating charge holders. But GBP785,220 is owed through a Barclays mortgage, GBP228,174 via a Barclays overdraft and GBP305,900 through a Reward Capital loan, meaning that floating charge holders face a combined shortfall of GBP1.13 million. Meanwhile, the statement set unsecured non-preferential claims at GBP317,294. After taking into account the prescribed part, this means that Varden Nuttall's creditors could face a total shortfall of GBP1.39 million, the report states. YORKSHIRE COUNTY: Sale of Museum Mulled Following Debt Woes ----------------------------------------------------------- Nick Hoult at The Daily Telegraph reports that Yorkshire is in the process of selling their cricket museum to keep valuable memorabilia out of the hands of liquidators should The Yorkshire County Cricket Club ever go into administration. According to The Daily Telegraph, the county will also benefit to the tune of GBP750,000 if the Yorkshire Credit Foundation successfully applies for Lottery money to fund the purchase of the Headingley museum. The proceeds of the sale will be used to help pay interest on club debts of around GBP22 million, The Telegraph discloses. The precarious finances have forced the board to look to sell some of their most important pieces following fears the collection could be broken up and sold at auction if the club went into administration, The Daily Telegraph relays. While that is not a prospect this year, Yorkshire has been alarmed by the problems at Durham and fear it would take only one or two unforeseen problems to plunge them into crisis, The Daily Telegraph notes. The Daily Telegraph understands the YCF has applied for funding from the Yorkshire and Humberside Lottery Committee which is chaired by Sir Gary Verity, who is on the county board. The club is currently having their collection independently valued, The Telegraph states. Founded in 1863, The Yorkshire County Cricket Club is one of the most successful cricket clubs in the world and is based in the historic county of Yorkshire. =============== X X X X X X X X =============== * Fitch Says EU SME CLO Performance Remained Stable in June 2016 ---------------------------------------------------------------- Fitch Ratings said European SME CLO performance remained stable in June 2016. Average 90-day delinquencies in Spain and Italy remained almost unchanged in comparison to May 2016, at 1.7% and 2.4%, respectively. These statistics are in the July edition of Fitch's SME CLO Compare, which tracks the performance of all SME CLO transactions monitored by the agency, based on their investor reports. The report is updated on a monthly basis. Throughout the month of June, Fitch reviewed five Spanish SME CLOs. Senior and/or mezzanine notes that are not subject to rating caps were upgraded, reflecting improved or stabilized portfolio performance, coupled with increased credit enhancement as a result of the portfolio's amortization. FTA, Pymes Banesto 2's class A2 and B notes were upgraded to 'Asf' from 'BBB-sf' and to 'BBsf' from 'Bsf' respectively, on June 3, 2016, as a result of improving performance and significant increases in credit enhancement. The senior notes amortized by EUR33.3 million, resulting in credit enhancement on the class A2 and B increasing by 17% and 7.8%, respectively. The PDL balance was reduced for the first time since the reserve fund was depleted in 2012. The class C notes were affirmed at 'CCsf', RE 0%. Foncaixa FTGENCAT 3 FTA saw all but the class E notes upgraded on June 14, 2016. The class A(G) notes' credit enhancement has increased substantially, to 36.3% from 30.1% over the past year, which has been reflected -- together with the stabilized portfolio performance -- in the note's upgrade, to 'AA+sf' from 'A+sf'. The transaction, as well as its sibling transaction, Foncaixa FTGENCAT 4 FTA, both benefit from an unusual swap. The ratings of FTGENCAT 3 class C and Foncaixa FTGENCAT 4's class A(G) notes are capped at the swap counterparty's rating of 'BBBsf'. The stabilized performance of the underlying portfolio however, led to the upgrade of the mezzanine class B and C notes, to 'BB+sf' from 'BBsf' and 'BB-sf' from 'Bsf', respectively. On June 20 Fitch upgraded BBVA 6 FTPYME, FTA's class B notes to 'BBsf' from 'B-sf', Outlook Stable, whilst affirming the class C notes at 'Csf', RE 0%. The upgrade reflected improving portfolio performance, as well as increased credit enhancement, resulting from portfolio amortization; credit enhancement on the class B notes had increased to 22% from 12.5% at the previous review. FTPYME BANCAJA 6's class B notes were upgraded to 'BBsf' from 'Bsf' as a result of the improved performance of the underlying portfolio. Over the past year, delinquencies over 90 days halved and recoveries increased marginally. However, portfolio concentrations remain high and the reserve fund remains depleted. All remaining notes were affirmed, with the class A notes being capped at its current rating of 'Asf', due to payment interruption risk. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers' public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than US$3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/booksto order any title today. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter-Europe is a daily newsletter co- published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Valerie U. Pascual, Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante, Ivy B. Magdadaro, and Peter A. Chapman, Editors. Copyright 2016. 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$775 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 Peter Chapman at 215-945-7000 or Nina Novak at 202-362-8552. * * * End of Transmission * * *