OREANDA-NEWS. Fitch Ratings has affirmed DECO 15 - Pan Europe 6 Ltd.'s class D and E notes due April 2018 as follows:

EUR24.3m class D (XS0307405729) affirmed at 'CCCsf'; Recovery Estimate (RE) revised to 100% from 75%
EUR15.7m class E (XS0307406453) affirmed at 'CCsf'; RE revised to 10% from 0%

The transaction was originally a securitisation of 10 commercial mortgage loans secured on assets located in Germany, Austria and Switzerland. In January 2016, two loans remained (Main and Plus Retail), both in special servicing after defaulting on maturity. All surplus income generated by the 33 properties is being trapped and used for repayment, capital expenditure and marketing of the underlying collateral (predominantly retail warehouses and all in Germany).

KEY RATING DRIVERS
The revised REs reflect the improved collateral position for the notes, following the full redemption of the EUR134m Mansford OBI Large Loan in January 2016 (Fitch had expected a loan loss). However, the prospect of a note event of default remains possible, particularly given the limited time within which portfolios that are being administered by German insolvency practitioners will have to be largely liquidated to return principal by maturity in April 2018.

The EUR63m Main loan defaulted at maturity in 2011. Asset sales commenced only in October 2015, with one sale completed and two sales agreed and notarised thus far. All surplus rent is being trapped and used for costs and loan repayments. However, barely two years remain for the liquidation of the remaining 28 properties (27 retail warehouses and one office property). The reported loan-to-value ratio (LTV) is 128%; however, as the valuation on which this is based appears to have significantly overstated the sales proceeds for the three properties sold, Fitch expects a much greater loss on this loan than is implied by the LTV.

The EUR11.8m Plus Retail loan is also in special servicing after having defaulted at maturity. The loan is secured on five retail warehouses in Germany, fully let to 17 tenants and anchored by retailer PLUS (accounting for around 60% of income). After the borrower's attempts to repay the loan failed, Plus Retail is now subject to insolvency proceedings and marketing of the assets has reportedly been initiated (there is no visibility on possible timing). The reported LTV was 148% in January 2016 and Fitch expects a significant loss.

The full repayment of Mansford OBI Large Loan, despite the sponsor having no reported equity left, meant that additional issuer costs and delays were avoided. This event led to the redemption of the class A3, B and C notes in full and class D in part. However, with the risk of delays compounding steep market value declines for the remaining properties, Fitch considers the notes at risk of defaulting.

Fitch estimates 'Bsf' recoveries of EUR26m.

RATING SENSITIVITIES
The notes will be downgraded if they remain outstanding at bond maturity or if a loss is incurred to the respective tranches.

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.

SOURCES OF INFORMATION
The information below was used in the analysis.
-Transaction reporting provided by Situs Asset Management at end-October 2015/January 2016
-Transaction reporting provided by Deutsche Bank AG at end-October 2015/January 2016