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FOR IMMEDIATE RELEASE
CREDIT EVENT NOTICE AND NOTICE OF PUBLICLY AVAILABLE INFORMATION
To: The Irish Stock Exchange
28 Anglesea Street
Dublin 2
Ireland
Attn: Regulatory Information Services
16`h September 2013
Proventus European ABS CDO PUBLIC LIMITED COMPANY
a public limited company incorporated in Ireland
with company registration number 426690
(the "Issuer")
NOTICE
to the holders of the outstanding
€12,000,000 Class A Secured Floating Rate Credit-Linked Notes due 2102 (ISIN: XS0283671716)
€28,000,000 Class B Secured Floating Rate Credit-Linked Notes due 2102 (ISIN: XS0283673415)
€20,000,000 Class C Secured Floating Rate Credit-Linked Notes due 2102 (ISIN: XS0283674223)
€25,000,000 Class D Secured Floating Rate Credit-Linked Notes due 2102 (ISIN: XS0283674819)
€20,000,000 Class E Secured Floating Rate Credit-Linked Notes due 2102 (ISIN: XS0283675626)
€10,000,000 Class F Secured Floating Rate Credit-Linked Notes due 2102 (ISIN: XS0283676434)
(collectively referred to as the "Notes")
The Issuer is a public limited company, incorporated and domiciled in Ireland. The Issuer was formedfor the purpose of participating in a synthetic credit default swap transaction (the "Transaction")arranged by Merrill Lynch International (the "Arranger") and Mizuho International Plc (together the"Joint Lead Managers" and each a "Joint Lead Manager"). Pursuant to the terms of the Transaction,the Issuer raised funds from the issuance of the Notes, which are listed on the Irish Stock Exchangeand issued to sophisticated investors (the "Noteholders"). The total principal amount of Notes raisedwas €115,000,000. The Notes are subordinated in payment of principal and interest to each other inenforcement order of priority. The Notes are due to mature in 2102.
The Issuer deposited €75,000,000 of the proceeds of the Notes with Mizuho Corporate Bank ascollateral (the "Collateral") and the remaining proceeds of €40,000,000 was used to purchase BondCollateral. The Issuer then entered into a credit default swap arrangement (the "Swap") with MizuhoCorporate Bank (the "Swap Counterparty") pursuant to the terms of which the Issuer, in return for afee, took on the credit and market risk of a reference portfolio (the "Reference Obligations").
Pursuant to the Swap the Swap Counterparty purchased credit protection from the Issuer in relation tosuch Reference Obligations, which are constituted of various asset backed securities. The principalamount of protection purchased in respect of a Reference Obligation is equal to the "ReferenceObligation Principal Amount" of such Reference Obligation. The maximum settlement exposure is thenominal value of the Notes.
Capitalised terms not otherwise defined in this notice have the meaning given to them in the OfferingCircular of the issuer dated 15 March 2007.
The Issuer hereby gives notice that it received a Credit Event Notice and Notice of Publicly AvailableInformation with respect to the Alburn Real Estate Capital Limited Class B (ISIN: XS0285751904)Reference Obligation with an Event Determination Date of 9 September 2013.
A copy of the Credit Event Notice and Notice of Publicly Available Information is attached.
For further information please do not hesitate to contact Bedell Trust Ireland being the Issuer'sCorporate Service Provider at +353-1-633-6030.
Mizuho Bank, Ltd.
Bracken HouseOne Friday StreetLondon EC4M 9JATel 020 7012 4000Fax 020 7012 4500Telex 894010Swift MHCBG62L
BY E-MAIL AND BY HAND
To:
Proventus EuropeanABS CDO p.l.c.
25 Eden Quay, Dublin 1
Ireland
Attn: The Directors
CC:
European CDO Surveillance
Standard and Poor's Rating Services
20 Canada Square
Canary Wharf, London
X14 SLID, LTK
Attn: Nina Babhania
Structured Credit
Fitch Ratings
30 North Colonnade
London
E14 SGN, UK
Attn: Vincent Scalvenzi
09 September 2013
Dear Sir or Madam,
~1Z~I)IT EVENT NOTICE AND NOTICE OF PUBLICLY AVAILABLE INFORMATION
1. i~Ve refer ~o tie Credit Derivative Transaction between Proventus European ABS CDO p.l.c., as
Seller, and Mizuho Bank, Ltd. (formerly Mizuho Corporate Bank, Ltd.), acting through its
London Branch, as Buyer, having a Trade Date of 2 March 2007 (the "Transaction"), forming a
Authorised and regulated by the Financial Services Agency of Japan. Authorised by the Prudential Regulation Authority. Subject toregulation by the Financial Conduct Authority and limited regulation by the Prudential Regulation Authority. Details about theextent of our regulation by the Prudential Regulation Authority are available from us.
One M IZUHOIncorporated in Japan with limited liability. Head Office address: I-33, Marunouchi, Chiyoda-ku, Tokyo I00-8210. Registered as a limited company at TokyoLegal Affairs Bureau with number 0199-01-008845 Building the future with you
part of, and subject to, the ISDA Master Agreement dated as of 2 March, 2007 between the
parties, as amended and supplemented from time to time (the "Agreement"), and its
confirmation dated 2 March 2007 (the "Confirmation")
Capitalised terms used and not otherwise defined in this letter shall have the meanings given to
them in the Confirmation as applicable.
2. This letter is our Credit Event Notice to you that a Rating Downgrade Credit Event has occurred
with respect to Alburn Real Estate Capital Limited Class B (ISIN: XS0285751904, Asset
Number 243 of the Reference Portfolio) (the "Reference Obligation"), during the Notice
Delivery Period.
3. This letter also comprises our Notice of Publicly Available Information with respect to this
Credit Event. Accordingly, we provide the Publicly Available Information attached hereto.
4. On 07 March 2013, Fitch announced that the rating of the Reference Obligation has been
downgraded to C.
5. On 30 July 2013, S&P announced that the rating of the Reference Obligation has been
downgraded to CC.
6, Accordingly, we confirm that a Rating Downgrade Credit Event has occurred with respect to the
Reference Obligation in accordance with sub-section (d) of the definition of "Rating
Downgrade" in Section 3 of the Confirmation.
7. Nothing in this letter shall be construed as a waiver of any rights or remedies we may have with
respect to the Transaction.
8. This Credit Event Notice is governed by English law.
9. Please acknowledge receipt of the Credit Event Notice by signing and returning the enclosed
copy of this letter to the above address.
Fours
for and on behalf of
One MIZUHOBuilding the future with you
MIZUHO BANK, LTD., acting through its London Branch
as buyer
We hereby acknowledge receipt of this Credit Event Notice and the corresponding Notices of
Publicly Available Information.
SIGNED by
for and on behalf of
Proventus European ABS CDO p.l.c.
as Seller
One MIZUHOBuilding the future with you
FII 1~'itch :UOwngrades Alburn Real Estate Capital Limii:ed
Mar 7 2013 14:18:56
F:"TCH llOWNCRADES ALBURN REAL ESTATE CAPITAL LIMITED
Fitch Ratings-London-07 March 2013: Fitch Ratings has downgraded Alburn Real
Estate Capital Limited's class A, B and C notes and affirmed the class D and E
notes (all due in October 2016) as follows:
GB50.8m Class A (XS0285749833) downgraded to 'Csf' from 'CCCsf'; Recovery
Estimate RE25~
UAP19.8m Class B (XS0285751904) downgraded to 'Csf' from 'CCsf'; REO~
GBP18.5m Class C (XS0285753272) downgraded to 'Csf' from 'CCsf'; REO~
GBP18.5m Class D (XS0265753942) affirmed at 'Csf'; REO~
GBP5.4m Class E (XS0285755053) affirmed at 'Csf'; REO~
KEY RA'P7NG DRIVEkS
The downgrade of the senior notes reflects the insufficient residual collateral
value in the transaction to repay the class A notes in full by their maturity in
October 2016. Fitch estimates that 25~ of the senior tranche's current balance
will be ultimately recovered, whereas all mezzanine and junior tranches will be
written of£ without any further principal payments.
Asset sales commenced in July 2012, more than a year after the loan defaulted
due to an uncured ~.nterest coverage ratio and loan-to-value ratio covenant
breaches. Enforcement had been delayed by the actions of the junior lender which
exercised its right to nominate a special servicer (although the non-securitised
junior piece could realistically not expect any principal recoveries). A
noteholder vote against the lender's plans and a dismissed court case ended the
interference.
Since then, nine individual assets have been sold piecemeal as well as 29
marketed in bulk and known as the Ruby Portfolio. As five of the Ruby assets (on
long leasehold) still await consent from the respective landlords, 33 sales have
been completed to date for GBP80.4m. The respective assets were valued at
GBP93.6m in April 2012. The individual sales typically achieved prices close
to/in excess of the valuation while the Ruby portfolio was sold fox
approximately 20~ less than its 2012 value due to the declining weighted average
pease length and occupancy level.
After deducting sales costs and senior expenses (including swap breakage), net
proceeds of GBP70.6m were allocated towards the redemption of the class A notes.
The resulting advance rate of the senior notes stands at approximately 200$, and
will increase further once the landlords authorise the remaining five Ruby sales
(below 2012 value). Of the then remaining eight assets, three are not
income-producing; and a large portion of in-place portfolio rent is scheduled to
expire in 2013. Fitch incorporated these characteristics in its recovery
projections.
RA'TTNG SENSITIVITIES
As Fitch already expects an ultimate default of all note tranches, the asset
disposal timing will not further affect the ratings, but could result in a
different recovery rate from Fitch's projection of 25~ for the class A notes.
Contact:
Copyright (c) 2013
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FIT Fitch Downgrades Alburn Real Estate Capital Limited
Mar 7 2013 14:18:56
Lead Surveillance Analyst
Mario Schmidt
Associate Director
+44 20 3530 1042
Fitch Ratings Limited
30 Nor.~h Colonnade
London E14 5GN
Secondary Analyst
Emmanuel Baah
Director
+44 20 3530 1025
Committee Chairperson
Alessandro Pighi
Senior Director
+44 20 3530 1158
Media Relations: Mark Morley, London, Tel; +44 203 530 1526, Email:
mazk.morley@fitchratings.com; Sandro Scenga, New Xork, Tel: +1 212-908-0278,
Email; sandro.scengat~fitchratings.com.
Additional information is available on www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
The sources of information used to assess these ratings were the issuer,
servicer, and periodic payment reports,
Applicable criteria, 'Global Structured Finance Rating Criteria', dated 6 June
2012; 'EMEA CMBS Rating Criteria' dated 4 April 2012; 'Counterparty Criteria for
Structured Finance Transactions', dated 30 May 2012 and 'Counterparty Criteria
for Structured Finance Transactions: Derivative Addendum', dated 30 May 2012,
are available at www.fitchratings.com.
Applicable Criteria and Related Research
Ulobal Structured Finance Rating Criteria
http://www.fitchratings.comjcreditdesk/reports/report_frame.efm?rpt_id=679923
EMEA CMBS Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=669670
Counterparty Criteria for Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678938
Copyright Cc) 2013
FII Fitch Downgrades Alburn Rea].. Estate Capital Limited
Mar 7 2013 14:18:56
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678939
ALL FITCT-I CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS.
PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK:
HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING
DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S
PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND
METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF
CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE
AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF
CONDUCT' SECTION OF THIS SITE.
Provider ID: 00651326
-0- Mar/07/2013 14:18 GMT
Copyright (c) 2013
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SPC X-S&P Lowers Rtgs In U.K.Jul 30 2013 16:16:37
OVERVIEW
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CMBS Deal Alburn Real Estate Capital
-- We believe that principal losses are highly likely on all classes of
notes,-- We have therefore lowered to 'CC (sf)' from 'CCC- (sf)' our ratings on
the class A to E notes.-- Alburn Real Estate Capital is a secured loan CMBS transaction, backed
by one loan secured on U.K. commercial properties.
LONDON (Standard & Poor's) July 30, 2013--Standard & Poor's Ratings Services
today lowered to 'CC (sf)' from 'CCC- (sf)' its credit ratings on Alburn Real
Estate Capital Ltd.'s class A to E notes.
Today's rating actions reflect our view that the principal recovery proceeds
from the four remaining properties will be insufficient to fully repay the
outstanding loan. The loan has breached the covenanted loan-to-value (LTV)
ratios since April 2011. The senior LTV radio is 733.8$ and the whole-loan LTV
ratio is 816.2, compared with covenants of 115 and 125, respectively.
Proceeds from the sale of properties securing the loan have been applied to
the class A notes since May 2011. It is likely that the four remaining
properties will be sold before the loan's maturity in October 2013. If this
occurs, the transaction will incur swap break costs, ranking senior to the
payments due to the noteholders in the priority of payments.
We have lowered to 'CC (sf)' from 'CCC- (sf)' our ratings on the class A to E
notes to reflect our view that it is highly likely that the proceeds from the
sale of the four remaining properties will be insufficient to fully repay
these notes.
Alburn Real Estate Capital is a secured loan commercial mortgage-backed
securities (CMBS) transaction, backed by one loan secured on U.K. commercial
properties.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating
relating to an property-backed security as defined in the Rule, to include a
description of the representations, warranties and enforcement mechanisms
available to investors and a description of how they differ from the
representations, warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially rated (including
preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at"http://standardandpoorsdisclosure-17g7.com".
RELATED CRITERIA AND RESEARCH
Related Criteria
-- Counterparty Risk Framework Methodology And Assumptions, June 25, 2013
-- European CMBS Methodology And Assumptions, Nov. 7, 2012
Copyright (c) 2013
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SPC X-S&P Lowers Rtgs In U.K. CMBS Deal Alburn Keal Estate Capital
Jul 30 2013 36:16:37
-- Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings, Oct.
1, 2012-- CMBS Global Property Evaluation Methodology, Sept. 5, 2012
-- Criteria Methodology Applied To Fees, Expenses, And Indemnifications,
July 12, 2012-- Principles Of Credit Ratings, Feb. 16, 2011
-- Methodology: Credit Stability Criteria, May 3, 2010
-- Understanding Standard & Poor's Rating Definitions, June 3, 2009
-- European Legal Criteria For Structured Finance Transactions, Aug. 28,
2008-- Weighing Country Risk In Our Criteria For Asset-Backed Securities,
April 11, 2006-- Technical Challenges In European CMBS Structures, Feb. 16, 2006
-- European CMBS Loan Level Guidelines, Sept. 1, 2004
Related Research
-- Standard & Poor's Ratings Definitions, June 17, 2013
-- Methodology And Assumptions: Advance Notice Of Proposed Criteria
Change: Ratings Above The Sovereign--Structured Finance, April 12, 2013
-- Application Of Property Evaluation Methodology In European CMBS
Transactions, Nov. 7, 2012-- European Structured Finance Scenario And Sensitivity Analysis: The
Effects Of The Top Five Macroeconomic Factors, March 14, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The
Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- European CMBS Monthly Bulletin, published monthly
Surveillance Credit Analyst: Carla N Powell, London (44) 20-7176-3982;
Carla.powell@standardandpoors.com
Secondary Contact: Robert W Leach, London (44) 20-7176-3652;
robert.leach@standardandpoors.com
Additional Contact: Structured Finance Europe;
StructuredFinanceEurope@standardandpoors.com
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SPG X-S&P Lowers Rtgs In U.K. CMBS Deal Alburn Real Estate Capital
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