TCREUR_Public/160810.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

          Wednesday, August 10, 2016, Vol. 17, No. 157


                            Headlines


G R E E C E

GREECE: PM Turns to French, Italian Leaders for Help on Debt Deal
SINEPIA DAC: S&P Assigns BB Ratings to Four Note Classes


I T A L Y

BANCA POPOLARE: Fitch Affirms 'B-' LT IDR, Outlook Negative
MEDIOLEASING FINANCE: Moody's Raises Rating on Cl. B Notes to B2
MONTE DEI PASCHI: Moody's Changes B2 Rating Review to Uncertain
MONTE DEI PASCHI: Fitch Puts Bonds Rating On Watch Evolving


N E T H E R L A N D S

NXP BV: Moody's Assigns Ba1 Rating to New Senior Notes Due 2022
PROSPERO CLO II: Moody's Affirms Ba3 Rating on Class D Notes


P O R T U G A L

NOVO BANCO: Posts Losses of EUR362.6 Mil. in First Half of 2016
NOVO BANCO: Agrees to Sell Macau Unit to Well Link Group


R U S S I A

CB EUROCITYBANK: Liabilities Exceed Assets, Assessment Shows

* RUSSIA: Payouts to Depositors May Hit Record High This Year


S P A I N

OHL SA: Fitch Says Unprofitable Legacy Contracts Hit 1H16 Profits


U K R A I N E

UKREXIMBANK: Fitch Affirms 'CCC' LT FC Issuer Default Ratings


U N I T E D   K I N G D O M

EUROHOME UK: S&P Raises Rating on Class B1 Notes to B+
GULF KEYSTONE: Reviews DNO's Offer Amid Restructuring Efforts
ROYAL BANK OF SCOTLAND: Fitch Rates Proposed US$ Notes 'BB-(EXP)'


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G R E E C E
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GREECE: PM Turns to French, Italian Leaders for Help on Debt Deal
-----------------------------------------------------------------
The National Herald reports that as he has before without
success, Prime Minister Alexis Tsipras is turning again to French
and Italian leaders asking their help for a debt deal for Greece.

According to The National Herald, the Radical Left SYRIZA
leader's hopes for a deal were pushed back to 2018 by the
country's creditors even though he accepted more harsh austerity
measures in return for a third bailout of EUR86 billion (US$95.02
billion).

Mr. Tsipras' pleas to French President Francois Hollande and
Italian Prime Minister Matteo Renzi were ignored during previous
entreaties and there was no explanation from the Greek leader's
office why he thought they would be able to help this time, The
National Herald relates.

He is expected to meet them during a meeting of European
Socialist leaders on Aug. 25 in Paris, The National Herald
discloses.

The Greek premier's aim, Kathimerini said, is to set up a meeting
on Sept. 9 or before a Sept. 16 European Union leaders meeting
and ask Hollande and Renzi to help set up a Southeastern European
Alliance, notes the report.


SINEPIA DAC: S&P Assigns BB Ratings to Four Note Classes
--------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Sinepia DAC's
class A1, A2, A3, and A4 notes.  At closing, the issuer also
issued unrated class M and Z notes.

Sinepia is the first cash flow small and midsize enterprise (SME)
collateralized loan obligation (CLO) transaction originated by
National Bank of Greece S.A. (NBG) since the 2007-2008 financial
crisis.  The portfolio comprises secured and unsecured Greek law-
governed loans, originally advanced by NBG to borrowers
comprising SMEs and individual professionals in Greece.

S&P's ratings on the class A notes address the timely payment of
interest and ultimate payment of principal.  The issuer used the
net proceeds from the issuance of the notes to purchase the
portfolio at closing. At closing, the portfolio comprised assets
purchased by the issuer from the originator in its capacity as
the seller.  The issuer also established a commingling reserve
account and setoff reserve account to hold the commingling
reserve fund and setoff reserve fund, respectively.

As of July 7, 2016, the initial portfolio size is EUR647.77
million.  During the transaction's life, the issuer can either
substitute further SME loans up to a maximum limit of 20% of the
aggregate collateral balance or repurchase assets from the issuer
at the principal amount outstanding of such loans, plus any
accrued and unpaid interest due on the assets.  In respect of
substitution of new assets (in exchange for the assets from the
portfolio), the substitution criteria must be satisfied for
substitute receivables to be included in the portfolio.  The
substitution is allowed only for non-defaulted assets that are
subject to any material amendment.

At closing, the issuer also established a cash reserve account
with the bank account provider.  The cash reserve fund was not
funded at closing, but is instead funded out of available funds
on each interest payment date (IPD) until the balance standing to
the credit of the cash reserve fund reaches the cash reserve
fund's required amount.  The cash reserve fund is used to pay any
shortfall in amounts available to it on any IPD to pay interest
due on the class A notes and payments of certain senior expenses.

The transaction also benefits from a combined interest and
principal waterfall.  All interest payments due on the class A
notes rank in priority to all interest payments due on the class
M and Z notes.  All interest payments due on the class M notes
rank in priority to all interest payments due on the class Z
notes.

"Our ratings on the class A notes reflect our assessment of the
transaction's credit and cash flow analysis.  We assessed the
originator's quality, which we based on the historical
performance of loans, a qualitative review of the originator's
process and guidelines for loan origination and underwriting
processes, and other information provided to us.  We also took
into account the Banking Industry Country Risk Assessment (BICRA)
score of Greece and compared the securitized pool against the
overall loan book of the originator to determine the scenario
default rates (SDR) at each rating level from 'AAA' to 'B'.  We
then analyzed recovery parameters by adopting the relevant
aspects of our corporate collateralized debt obligation (CDO)
criteria as the starting point and observing historical
recoveries provided by the originator in determining the recovery
rate at each rating level.

The calculation of the SDRs and recovery rates indicated the
minimum level of credit enhancement required at each rating level
for the portfolio.  At a 'B' rating level, the minimum credit
enhancement required was 31.3%, increasing to 59% at the most
senior rating levels.  At the 'BBB' level, this minimum required
credit enhancement was determined at about 43%.

S&P then applied its standard stresses outlined in its European
SME CLO criteria to determine the minimum required credit
enhancement at each rating level.  S&P also applied stresses
related to default timing and patterns, interest rate and basis
risk, recovery timing, the reinvestment rate, servicing fees and
other expenses, yield compression, and a commingling liquidity
stress.

S&P's analysis indicates that the available credit enhancement of
50.01% for the class A notes is sufficient to withstand the
credit and cash flow stresses that S&P applies at the assigned
rating levels.  They also reflect S&P's assessment of the
transaction's exposure to counterparty, legal, and operational
risks.

As S&P's ratings on the notes exceed our long-term rating on the
sovereign, it has also applied its rating above the sovereign
criteria.  As of the ratings date, S&P determined that the
maximum rating for a Greek SME CLO transaction under these
criteria is 'BB (sf)'.  The ratings on the notes may be affected
if the ratings on the sovereign were to change.

RATINGS LIST

SINEPIA D.A.C.
EUR647.771 mil secured floating-rate notes (including EUR323.97
million unrated notes)
Amount
Class       Rating                                     (mil, EUR)
A1          BB (sf)                                       150.000
A2          BB (sf)                                        35.000
A3          BB (sf)                                        50.000
A4          BB (sf)                                        88.800
M           NR                                            259.100
Z           NR                                             64.871

NR--Not rated


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I T A L Y
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BANCA POPOLARE: Fitch Affirms 'B-' LT IDR, Outlook Negative
-----------------------------------------------------------
Fitch Ratings has affirmed Banca Popolare di Vicenza's (Vicenza)
Long-Term Issuer Default Rating (IDR) and senior debt ratings at
'B-'. The ratings have been removed from Rating Watch Negative
(RWN) following the recapitalization of the bank through a
EUR1.5bn capital increase fully subscribed by the Atlante fund.

The Outlook on the Long-Term IDR is Negative due to the ongoing
challenges the bank faces in maintaining an adequate capital
position given its structurally unprofitable business model, the
possibility of further losses and the damage suffered by its
customer funding franchise.

Fitch has also downgraded the bank's Viability Rating (VR) to
'f', removed it from RWN, and upgraded it to 'b-'. The downgrade
acknowledges that without the extraordinary support received by
the bank in the form of the capital injection, it would have been
put in resolution due to the material losses it reported in 2015.
This represents a failure by the bank according to Fitch's
definitions. The subsequent upgrade reflects Fitch's view that
the bank has returned to viability following the
recapitalization.

KEY RATING DRIVERS

IDRS, VR AND SENIOR DEBT

Following the downgrade to 'f' and subsequent upgrade to 'b-',
Vicenza's VR is now aligned with its Long-Term IDR and the
ratings are driven the bank's standalone creditworthiness.

The bank's IDRs, VR and senior debt ratings reflect Fitch's view
that the bank's capitalization remains weak, despite the capital
injection, and that it could weaken further in the foreseeable
future. This is because of the possibility of further credit
losses, particularly if impaired loans are fair-valued to
accelerate their disposal. Other pressures on capital include its
structural unprofitability, partly due to a heightened average
cost of funding, and the decision of Cattolica Assicurazioni to
exit the existing bancassurance agreement. Fitch considers that
current capital levels only allow for a limited buffer to absorb
further additional credit impairment charges given the large
scale of the problem.

Vicenza's liquidity has weakened significantly after the material
deposit outflows between late 2015 and the completion of the
capital increase in May 2016 and has become vulnerable to market
sentiment. As a result of its inability to easily access
institutional and retail term funding, BPV's funding profile has
become skewed towards ECB funding and its balance sheet
encumbrance is high. Management is concentrating on repairing its
deposit franchise through a number of commercial actions, which
might have a positive impact on liquidity but are also likely to
weigh negatively on its net interest income.

Deposits stabilized since the completion of the capital increase,
but we believe the bank's deposit base remains highly vulnerable
to market sentiment around the bank and the Italian banking
sector in general. Its liquidity position, as defined by its
liquidity coverage ratio has become highly volatile.

BPV's asset quality is weak with gross impaired loans at over 30%
of gross loans, after having dramatically increased since mid-
2015 when the new management made an in-depth review of the loan
portfolio, reclassifying a substantial amount of exposures to
impaired following ordinary deterioration but also its misconduct
in placing its own capital increases in 2013 and 2014 through
granting of financing. Coverage levels of impaired loans have
since increased, but we believe further charges on its impaired
exposure are likely, particularly if the bank intends to
accommodate doubtful loan disposals, as indicated in its most
recent strategic guidelines, at the current valuation marks.

Including the EUR1.5 billion capital injection, the bank
estimated a pro-forma CET1 ratio of 12.8% based on end-2015
numbers, 255bp or EUR650 million above its Supervisory Review and
Evaluation Process (SREP) requirement. However, Fitch's
assessment of capitalization reflects the high capital
encumbrance by unreserved impaired loans, which remains at 150%
of Fitch Core Capital. Furthermore, a portion of this capital
could still be eroded by losses, which could be driven by loan
impairment charges or losses on doubtful loan disposals and/or
further provisions for risks and charges.

The bank's exposure to contingent risks from shareholders'
complaints has also heightened after its share price dropped
dramatically to EUR0.10 and opened up the risk of losses from
future claims that could originate from these complaints. The
bank has put in place a properly staffed internal structure to
handle this risk and has already booked EUR137 million charges
against possible future claims.

Fitch rates BPV's senior unsecured obligations in line with the
bank's Long-Term IDR. Fitch has also assigned a Recovery Rating
of '4' (RR4) to these instruments to reflect average recovery
prospects in the event of a default. Fitch expects recoveries
would be in the range of 31%-50%, reflecting the bank's
considerable share of encumbered assets and a small Tier 2
buffer.

SUPPORT RATING (SR) AND SUPPORT RATING FLOOR (SRF)

The SR and SRF reflect Fitch's view that senior creditors can no
longer expect to receive full extraordinary support from the
sovereign in the event that the bank becomes non-viable. The EU's
Bank Recovery and Resolution Directive (BRRD) and the Single
Resolution Mechanism (SRM) for eurozone banks provide a framework
for the resolution of banks that requires senior creditors to
participate in losses, if necessary, instead of or ahead of a
bank receiving sovereign support.

SUBORDINATED DEBT AND OTHER HYBRID SECURITIES

Subordinated Tier 2 debt issued by BPV is rated 'CC' and is
notched off once from the VR to reflect the instruments' loss
severity and once to reflect non-performance risk as Fitch views
that these instruments could be vulnerable to burden sharing
ahead or upon a hypothetical resolution scenario. Fitch also
assigns a Recovery Rating of '5' (RR5) to these instruments to
reflect below average recovery prospects for subordinated
bondholders.

RATING SENSITIVITIES

IDRS, VR AND SENIOR DEBT

The Outlook on the Long-Term IDR is Negative. The bank's IDRs, VR
and senior debt ratings are sensitive to the extent of the losses
which it is likely to incur, if and when it disposes of its
doubtful loans. Fitch believes that this would be a necessary
measure for it to return to profitability and for confidence to
be fully restored.

Downside risk also includes further erosion of its liquidity
profile, the execution of a new strategy, and the need to improve
risk controls before growth can pick up. The bank faces the
prospects of having to restructure in an economic environment
that is likely to provide it with strong headwinds.

Upside potential to the ratings is limited until the bank becomes
capital generative.

SR AND SRF

An upgrade of the SR and any upward revision of the SRF would be
contingent on a positive change in the sovereign's propensity to
support Vicenza. While not impossible, this is highly unlikely,
in Fitch's view.

SUBORDINATED DEBT AND OTHER HYBRID SECURITIES

Vicenza's subordinated debt rating is primarily sensitive to a
change in the VR, which drives the debt rating, but also to a
change in Fitch's view of non-performance or loss severity risk
relative to Vicenza's viability.

The rating actions are as follows:

   -- Long-Term IDR: affirmed at 'B-', off RWN; Negative Outlook

   -- Short-Term IDR: affirmed at 'B'

   -- Viability Rating: downgraded to 'f', off RWN and
      subsequently upgraded to 'b-'

   -- Support Rating: affirmed at '5'

   -- Support Rating Floor: affirmed at 'No Floor'

   -- Long-term senior unsecured notes and EMTN programme:
      affirmed at 'B-/RR4'; off RWN

   -- Short-term rating on EMTN programme: affirmed at 'B'

   -- Subordinated debt: affirmed at 'CC'/'RR5'


MEDIOLEASING FINANCE: Moody's Raises Rating on Cl. B Notes to B2
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of the Class B
notes of Medioleasing Finance S.r.l. to B2(sf) from B3(sf).  This
rating action follows the recent repurchase of the non-performing
loans and subsequent increase of credit enhancement through
overcollateralization.

Issuer: Medioleasing Finance S.r.l

  EUR105.4 mil. Class B Notes, upgraded to B2(sf); previously on
   Feb. 24, 2015, Upgraded to B3(sf)

Medioleasing Finance S.r.l closed in May 2008.  The portfolio
comprises three pools of Italian financial-lease contracts backed
by auto, equipment and real-estate assets.  The securitized pool
is mainly exposed to real-estate contracts.  The split between
the three sub-pools (as of the last reporting date in July 2016)
was 23.5% for equipment, 0.1% for auto and 76.4% for real estate.
It is serviced by Medioleasing S.p.A., which is fully owned by
Nuova Banca delle Marche S.p.A. (unrated).

                         RATINGS RATIONALE

The upgrade reflects the transaction's deleveraging following the
recent repurchase, and the subsequent build-up of credit
enhancement through overcollateralization.

                  INCREASED CREDIT ENHANCEMENT

On June 21, 2016, the Originator repurchased, on a non-recourse
basis, a set of claims that as of 30 September 2015 were
classified as non-performing ("in sofferenza" according to
"Circolare della Banca d'Italia n. 272 del 30 luglio 2008" and
subsequent amendments).  The purchase price was around
EUR51.5 million, which was equal to the par amount plus accrued
interest, as of the date on which the loan was classified as non-
performing, less any subsequent recovery.  The proceeds from the
repurchase have become part of the available fund to repay the
senior Class A notes in July 2016.  The quick deleveraging of the
transaction leads to overcollateralization, i.e., the outstanding
portfolio is larger than the total notes it backs.  As of July
2016 the outstanding portfolio (excluding the defaulted loans) is
215.8 mil. and the sum of Class A and B notes is only 157
million, implying a high overcollateralization of 27% over the
current pool.

Besides the overcollateralization as credit enhancement, there is
also a reserve fund available in this transactions, which is
amortizing and target at 20% of the class A notes' balance.
However it should mostly benefit to the Class A notes as it will
not be available anymore once Class A notes are fully repaid.

               REVISION OF KEY COLLATERAL ASSUMPTIONS

As part of the rating action, Moody's reassessed its default
probability (DP) and recovery rate assumption for the portfolio
reflecting the portfolio composition and collateral performance
to date.  Currently, the transaction pool factor has reduced to
53% of the initial pool balance.  In July 2016 the total
delinquencies stood at 2.3% of the current pool balance and the
reported cumulative gross default rate rose to 18.4% of total
securitized pool (original pool balance plus replenishments).
Moody's kept the expected DP at 18.0% of the current portfolio
balance and the assumption for recovery rate at 45%.  Moody's
also left the coefficient of variation unchanged at 46.1%,
corresponding to a portfolio credit enhancement of 25.5%.

                    EXPOSURE TO COUNTERPARTY RISK

Moody's has also reviewed the exposure to Medioleasing S.p.A.
(unrated), which acts as servicer; Nuova Banca delle Marche
S.p.A. (unrated) as the collection account; and BNP Baribas
Securities Services (deposit rating A1/P1) as issuer account
bank.  The related counterparty exposure does not constrain any
of the updates.  There is no swap in Medioleasing Finance S.r.l
transaction.

                           METHODOLOGY

The principal methodology used in this rating was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in December 2015.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

Factors or circumstances that could lead to an upgrade of the
rating include (1) performance of the underlying collateral that
is better than Moody's expected; (2) deleveraging of the capital
structure; (3) improvements in the credit quality of the
transaction's counterparties; and (4) a decrease in sovereign
risk.

Factors or circumstances that could lead to a downgrade of the
rating are (1) an increase in sovereign risk (2) worse-than-
expected performance of the underlying collateral; (3)
deterioration in the notes' available CE; and (4) deterioration
in the credit quality of the transaction counterparties.


MONTE DEI PASCHI: Moody's Changes B2 Rating Review to Uncertain
---------------------------------------------------------------
Moody's Investors Service has changed the review on Banca Monte
dei Paschi di Siena S.p.A.'s (Montepaschi) B2 long-term deposit
rating, B3 long-term senior unsecured ratings to direction
uncertain, previously on review for downgrade; the rating agency
also put on review with direction uncertain Montepaschi's Ca and
Ca(hyb) subordinated and junior subordinated debt, and ca
standalone baseline credit assessment (BCA).  The review with
direction uncertain reflects the potential for improvements in
the bank's creditworthiness in the event of a successful
implementation of the bank's restructuring plan announced on
July 29, 2016.  The review also reflects the considerable
uncertainty as to whether the plan will be executed as outlined,
and the anticipated negative consequences for the bank's
creditors if unsuccessful.

The Not-Prime short-term ratings were affirmed, while the C(hyb)
preferred stock rating of MPS Capital Trust I was put on review
for upgrade.

                          RATINGS RATIONALE

  --- THE REVIEW BALANCES UPWARD PRESSURES STEMMING FROM A
      RESTRUCTURING PLAN

Moody's said the action was triggered by Montepaschi's
restructuring plan, which relies on capital from the private
sector and government guarantees under a framework that has
already been approved by the European Commission; as such, the
rating agency believes that Montepaschi's restructuring plan does
not need further approvals.

According to the plan, Montepaschi will: (1) increase coverage on
bad loans to 67% from 63%, and coverage on other problem loans to
40% from 27%; (2) securitise and deconsolidate all bad loans; and
(3) raise EUR5 billion capital to reach a common equity tier 1
(CET1) ratio of 11.4% on a fully phased-in basis.

Moody's said that, if successful, the restructuring would be
positive for all Montepaschi's creditors, as it would: (1) avoid
write-down or conversion of subordinated creditors; and (2) lead
to a problem loans ratio of 18%, consistent with the draft
request made by the ECB's Single Supervisory Mechanism (SSM) to
reduce bad loans (see note 2 at the end of this press release).

Furthermore, the rating agency noted that all of the most
problematic loans would be deconsolidated from the bank, leading
to a lower stock of problem loans of better quality, with lower
expected loss than the deconsolidated bad loans, and hence
presenting less risk.  Residual unlikely to pay and past due
problem loans would total EUR19.5 bil. gross, well below the SSM
request of a maximum of EUR32.6 billion, and EUR11.7 billion net,
again below the SSM's requested maximum of EUR14.6 billion.

The capital increase will cover the losses of increasing coverage
and of the junior notes of securitized bad loans; capital ratios
will be in line with the current ones, while as previously
mentioned, Montepaschi's risk profile would improve.
Furthermore, Moody's said that Montepaschi's CET1 capital
requirement based upon the SSM's Supervisory Review and
Evaluation Process, set at 10.75% for 2017, may be reduced given
the prospect of a lower risk profile.  This would increase the
headroom above the operating minimum capital and hence lower the
bank's future point of failure.

Finally, Moody's said that Montepaschi's profitability should
also benefit from a successful execution of the restructuring
plan, as funding costs may reduce and management time could be
more focused on improving the bank's core business rather than
dealing with legacy issues.

  -- THE REVIEW ALSO INCORPORATES HIGH EXECUTION RISK OF THE
RESTRUCTURING PLAN

Moody's said that there still are several uncertainties regarding
the execution of the restructuring plan, highlighting the risks
for Montepaschi's creditors in case the plan's targets are not
achieved.

Moody's noted that Montepaschi's bad loans securitizations will
be the first large transaction of this kind in Italy, and it will
need to be concluded in only a few months.  The EUR5 bil. capital
increase is subject to the completion of the securitization, and
the pre-underwriting agreement made by a number of Italian and
international banks, is also subject to terms and conditions
which include the successful pre-marketing of the rights issue.
Given that the targeted EUR5 billion equity increase is more than
six times the bank's market capitalization as of 8 August, and
about 60% of the bank's pro-forma book value, the success of the
pre-marketing is far from assured and this could prevent the
syndicate from entering into a full underwriting commitment which
would guarantee the capital increase.

Moody's believes that, if the equity capital increase fails,
Montepaschi could need to resort to state aid, which in turn
would likely result in the write-down or conversion of the bank's
subordinated debt (see note 3 at the end of this press release).

   -- LIMITED UPSIDE DRIVES AFFIRMATION OF SHORT-TERM RATINGS

Moody's said that, even if the restructuring plan is successful,
Montepaschi will still face challenges.  In particular, problem
loans will still represent 18% of total loans, which although
better than several Italian peers, will be significantly higher
than the European average of 6%.

The affirmation of Montepaschi's short-term deposit rating is
driven by Moody's expectations that, if the plan is successful,
the long-term deposit rating will likely remain non-investment
grade and hence the short-term ratings will remain Not-Prime
following the review period, which the rating agency expects to
conclude by the end of the year.

   -- PREFERRED STOCK RATINGS PUT ON REVIEW FOR UPGRADE

Moody's said that the review for upgrade of Montepaschi's C(hyb)
preferred stock rating, which refers to instruments issued by
fully-guaranteed MPS Capital Trust I, reflects the previously
discussed upward pressure on all creditors deriving from the
bank's restructuring plan.  At the same time, the rating agency
noted that there is no downside pressure on the preferred stock
rating, as it is already at the bottom of the rating scale.

            FACTORS THAT COULD LEAD TO AN UPGRADE / DOWNGRADE

An execution of Montepaschi's restructuring plan could lead to an
upgrade of all ratings for Montepaschi.  Conversely, Moody's said
that a failure in the plan could lead to a downgrade of all
ratings, except the C(hyb) preferred stock rating, which is
already at the bottom of the rating scale.

Note 2: For further information on the ECB's draft request please
refer to our issuer comment entitled "ECB deadline for reducing
problem loans limits options for Monte dei Paschi", dated July 6.

Note 3: State aid scenarios are considered in more detail in our
press release entitled "Moody's reviews Banca Monte dei Paschi di
Siena's long-term deposit and senior unsecured ratings for
downgrade", published on July 15.

The principal methodology used in these ratings was Banks
published in January 2016.

List of affected ratings

On Review Direction Uncertain:

Issuer: Banca Monte dei Paschi di Siena S.p.A.
  LT Bank Deposits (Foreign Currency and Local Currency), B2 on
   Review Direction Uncertain
  Senior Unsecured Regular Bond/Debenture, B3 on Review Direction
   Uncertain
  Subordinate Regular Bond/Debenture, Ca on Review Direction
   Uncertain
  Junior Subordinated Regular Bond/Debenture, Ca (hyb) on Review
   Direction Uncertain
  Senior Unsecured MTN, (P)B3 on Review Direction Uncertain
  Subordinate MTN, (P)Ca on Review Direction Uncertain
  Adjusted Baseline Credit Assessment, ca on Review Direction
   Uncertain
  Baseline Credit Assessment, ca on Review Direction Uncertain
  LT Counterparty Risk Assessment, B2(cr) on Review Direction
   Uncertain

Issuer: Banca Monte dei Paschi di Siena, London
  LT Counterparty Risk Assessment, B2(cr) on Review Direction
   Uncertain

Issuer: MPS Capital Services
  LT Bank Deposits (Foreign Currency and Local Currency), B2 on
   Review Direction Uncertain
  Adjusted Baseline Credit Assessment, ca on Review Direction
   Uncertain
  Baseline Credit Assessment, ca on Review Direction Uncertain
  LT Counterparty Risk Assessment, B2(cr) on Review Direction
   Uncertain

On Review for Upgrade:

Issuer: MPS Capital Trust I
  BACKED Pref. Stock Non-cumulative, C (hyb) on Review for
Upgrade

Affirmations:

Issuer: Banca Monte dei Paschi di Siena S.p.A.
  ST Bank Deposits (Foreign Currency and Local Currency),
Affirmed
   NP
  ST Counterparty Risk Assessment, Affirmed NP(cr)
  Other Short Term, Affirmed (P)NP

Issuer: Banca Monte dei Paschi di Siena, London
  ST Deposit Note/CD Program, Affirmed NP
  ST Counterparty Risk Assessment, Affirmed NP(cr)

Issuer: MPS Capital Services
  ST Bank Deposits (Foreign Currency and Local Currency),
Affirmed
   NP
  ST Counterparty Risk Assessment, Affirmed NP(cr)


MONTE DEI PASCHI: Fitch Puts Bonds Rating On Watch Evolving
-----------------------------------------------------------
Fitch Ratings has placed Banca Monte dei Paschi di Siena SpA's
(BMPS, B-/RWE/B/RWN, ccc/RWE) 'BBB' mortgage covered bonds
(Obbligazioni Bancarie Garantite, OBG) on Rating Watch Evolving
(RWE).

The rating action follows the RWE that Fitch has placed on BMPS's
Long-Term Issuer Default Rating (IDR) on August 4, 2016.  Fitch
will resolve the RWE on BMPS's covered bonds following the
resolution of the RWE on the bank's IDR.

KEY RATING DRIVERS

The RWE on BMPS's outstanding OBG directly reflects that on the
bank's IDR. The current rating of the covered bonds has no
cushion against a downgrade of the IDR: all else being equal, any
upside or downside movement of the issuer's IDR will be reflected
in the covered bonds rating.

The rating is based on BMPS's Long-Term IDR of 'B-', an unchanged
IDR uplift of 1 notch, an unchanged Discontinuity Cap (D-Cap) of
3 notches (moderate high risk) and the 83% asset percentage (AP)
that Fitch takes into account in its analysis, which provides
more protection than the 90% 'BBB' breakeven AP (corresponding to
a breakeven overcollateralization (OC) of 11.1%).

The 83% AP publicly undertaken by BMPS in its payment report (as
of June 2016) is adequate to support timely payments in a 'BB'
tested rating on a probability of default (PD) basis and allows
the covered bonds to reach a three-notch recovery uplift in a
'BBB' rating scenario where the covered bonds are assumed at
default.

The 90% 'BBB' breakeven AP is driven by credit loss and cash flow
valuation, both at 5.4% in a 'BBB' scenario. The 5.4% credit loss
results from a 'BBB' weighted average (WA) foreclosure frequency
of 22.1% and a WA recovery rate of 76.7%.

The 5.4% cash flow valuation is driven by the open interest rate
positions between floating-rate assets and floating-rate
liabilities of around 24% in a decreasing interest rate scenario
(which is most stressful). Sixty-six per cent of the fixed-rate
liabilities are hedged with external eligible counterparties and
therefore the agency considered post-swap cash flows for the
hedged liabilities. The asset disposal loss for this program is
0% as the program has a conditional pass-through structure (CPT)
and no forced sale of the assets would be needed.

The unchanged D-Cap of 3 notches is driven by what Fitch assesses
as moderate high risk of the systemic alternative management
component. Despite the OBG's CPT amortization profile, the agency
continues to apply its "weak link" approach among the components
of the D-Cap; Fitch believes that the removal of certain
guarantee enforcement events and a longer five-month test grace
period result in a strong reliance on the issuer's ability to
service payments due on the OBG and could pose risks to the
timely enforcement of the cover pool as a source of payments.

The unchanged IDR uplift of 1 notch reflects the bail-in
exemption for fully collateralized covered bonds and that BMPS is
a large institution so that resolution by other means than
liquidation is likely.

RATING SENSITIVITIES

The 'BBB' rating would be vulnerable to downgrade if any of the
following occurs: (i) the IDR is downgraded by 1 or more notches
to 'CCC' or below; or (ii) the number of notches represented by
the IDR uplift and the D-Cap is reduced to 3 or lower; or (iii)
the AP that Fitch considers in its analysis increases above
Fitch's 'BBB' breakeven level of 90%.

All else being equal, the 'BBB' rating would likely be upgraded
if the bank's IDR is upgraded by 1 or more notches to 'B' or
above, provided that adequate protection is in place to support
the OBG rating above the 'BBB' rating scenario.

The Fitch breakeven AP for the covered bond rating will be
affected, among others, by the profile of the cover assets
relative to outstanding covered bonds, which can change over
time, even in the absence of new issuance. Therefore the
breakeven AP to maintain the covered bond rating cannot be
assumed to remain stable over time.


=====================
N E T H E R L A N D S
=====================


NXP BV: Moody's Assigns Ba1 Rating to New Senior Notes Due 2022
---------------------------------------------------------------
Moody's Investors Service rated NXP B.V.'s new Senior Notes due
2022 at Ba1, upgraded the existing senior unsecured notes to Ba1
from Ba2 and affirmed the Ba1 Corporate Family Rating and the
Baa2 rating on the secured credit facility.  The Ba2 rating of
the cash convertible notes of NXP Semiconductors NV was affirmed.
The outlook remains positive.  The proceeds of the $1 billion
Senior Notes will be used to repay the $960 million Freescale
Semiconductor, Inc. Senior Secured Notes due 2022.

The upgrade of NXP's senior unsecured rating to Ba1 reflects
Moody's expectation that NXP will use the $1 billion of proceeds
from the new Senior Notes to repay the Freescale Senior Secured
Notes due 2022, which will reduce NXP's senior secured debt and
result in a greater share of unsecured debt in the capital
structure.

                         RATINGS RATIONALE

The Ba1 CFR reflects NXP's leadership position in automotive
semiconductors and consistent free cash flow generation due to
NXP's fab-lite manufacturing model.  Moody's expects debt to
EBITDA (Moody's adjusted, proforma for the recently announced
divestiture of NXP's Standard Products division and repayment of
Term Loan B) to remain above 2.5x over the near term, which is
high given the significant execution risks involved in
integrating NXP and Freescale due to the large operating scale of
both companies.  Nevertheless, Moody's expects that NXP will
direct a majority of FCF to reduce debt such that through the
combination of debt reduction and EBITDA growth, debt to EBITDA
(Moody's adjusted) will decline toward 2.5x during 2017.

The positive outlook reflects Moody's expectation that NXP will
use a portion of the net proceeds from the Standard Products
division divestiture to repay debt and that the integration of
Freescale will proceed smoothly over the next year.  Moody's
expects that FCF will remain strong in spite of near term revenue
headwinds driven by a slowing global economy and the cash costs
of the Freescale integration.

The rating could be upgraded if NXP successfully integrates
Freescale and is making progress in capturing the anticipated
$500 million of operating synergies.  Moody's would expect NXP to
sustain leverage of around 2.5x debt to EBITDA (Moody's adjusted)
and to remain committed to a conservative financial policy.

The rating outlook could be changed to stable if NXP fails to
receive regulatory approval to close the Standard Products
divestiture or if regulatory approval includes materially
negative closing conditions.  The rating could be downgraded if
the integration encounters significant operational disruptions or
the business otherwise deteriorates or if NXP fails to reduce
debt such that Moody's expects that debt to EBITDA (Moody's
adjusted) will be maintained above 3.5x.

The Baa2 (LGD2) rating on the senior secured credit facility
reflects a one notch downward override from the LGD model implied
outcome reflecting Moody's view that up notching for this
instrument should be limited to two notches above the Ba1 CFR.

The Ba1 (LGD4) senior unsecured rating reflects the preponderance
of senior unsecured debt in the capital structure, and the
guarantees from operating subsidiaries.  The Ba2 (LGD6) rating of
the cash convertible notes of NXP Semiconductors reflects both
the absence of collateral and the absence of upstream guarantees
from operating subsidiaries, which renders the cash convertible
notes structurally subordinated to the debt of NXP.

The SGL-1 rating reflects the company's very strong liquidity
profile, which is supported by strong FCF and a large cash
balance which we expect will remain over $500 million (excluding
the cash of NXP's joint venture with TSMC, which was $555 million
at July 3, 2016).

Assignment:

Issuer: NXP B.V.
  Senior Unsecured Regular Bond/Debentures, rated Ba1 (LGD4)

Upgrades:

Issuer: NXP B.V.
  Senior Unsecured Regular Bond/Debentures, upgraded to Ba1
(LGD4)

Affirmations:

Issuer: NXP B.V.
  Corporate Family Rating (Foreign Currency), Ba1
  Probability of Default Rating, Ba1-PD
  Speculative Grade Liquidity Rating, SGL-1
  Senior Secured Bank Credit Facility, Baa2 (LGD2)

Issuer: NXP Semiconductors N.V.
  Senior Unsecured Conv./Exch. Bond/Debenture, Ba2 (LGD6)

Outlook Actions:

Issuer: NXP B.V.
  Outlook, Positive

Issuer: NXP Semiconductors N.V.
  Outlook, Positive

The Baa2 rating on the Senior Secured Notes of Freescale
Semiconductor is unchanged and is expected to be withdrawn upon
the repayment of such notes.

NXP B.V., based in Eindhoven, Netherlands, makes high performance
mixed signal integrated circuits and discrete semiconductors used
in a wide range of applications, including automotive,
identification, wireless infrastructure, lighting, industrial,
mobile, consumer and computing.

The principal methodology used in these ratings was Semiconductor
Industry Methodology published in December 2015.


PROSPERO CLO II: Moody's Affirms Ba3 Rating on Class D Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Prospero CLO II B.V.:

  US$15 mil. C Notes, Upgraded to Aa3 (sf); previously on
    April 1, 2016, Upgraded to A2 (sf)

Moody's also affirmed these notes issued by Prospero CLO II B.V.:

  US$30 mil. (current outstanding balance of US$21.2 mil.) A-2
   Notes, Affirmed Aaa (sf); previously on April 1, 2016,
   Affirmed Aaa (sf)

  US$25 mil. B Notes, Affirmed Aaa (sf); previously on April 1,
   2016, Upgraded to Aaa (sf)

  US$13.5 mil. D Notes, Affirmed Ba3 (sf); previously on April 1,
   2016, Upgraded to Ba3 (sf)

Prospero CLO II B.V., issued in November 2006, is a
collateralized loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured loans.  The portfolio is managed
by Alcentra NY, LLC.  The transaction's reinvestment period ended
in October 2012.

                         RATINGS RATIONALE

The rating action on the Class C is primarily a result of the
significant deleveraging of the Class A-1 and A-1 VF notes
following amortization of the underlying portfolio since the last
rating action in April 2016.  Moody's notes that the class A-1
notes have fully redeemed and the class A-2 has partially
redeemed by approximately USD8.8 million.  As a result of the
deleveraging the OC ratios of the notes have increased
significantly.  According to the July 2016 trustee report, the
classes A, B, C and D OC ratios are 253.04%, 161.07%, 132.23% and
113.88% respectively compared to levels in February 2016 of
233.78%, 155.93%, 129.96% and 113.02% respectively.  Moody's
notes that the trustee OC ratios will further increase after the
payment date in July 2016.

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 balance of USD67.2 million and EUR15.7 million,
defaulted par of USD0.65 million and EUR3.36 million, a weighted
average default probability of 15.2% (consistent with a WARF of
2472 and a weighted average life of 3.68 years), a weighted
average recovery rate upon default of 48.95% for a Aaa liability
target rating and a diversity score of 27.

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 lowered the weighted average recovery rate by 5
percentage points; the model generated outputs that were in line
with 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:

  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.

  Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets.  Moody's assumes that, at transaction
   maturity, the liquidation value of such an asset will depend
   on the nature of the asset as well as the extent to which the
   asset's maturity lags that of the liabilities.  Liquidation
   values higher than Moody's expectations would have a positive
   impact on the notes' ratings.

  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.

  Foreign currency exposure: The deal has exposures to non-USD
   denominated assets.  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.


===============
P O R T U G A L
===============


NOVO BANCO: Posts Losses of EUR362.6 Mil. in First Half of 2016
---------------------------------------------------------------
The Portugal News reports that Portuguese bank Novo Banco has
revealed that it suffered losses of EUR362.6 million during the
first half of the year.

Novo Banco, which was created from the collapsed Banco Espirito
Santo, had reported losses of just over EUR250 million for the
first six months of 2015, The Portugal News relates.

Novo Banco is currently up for sale and the Bank of Portugal has
confirmed that there are four offers on the table, but has so far
not disclosed details, The Portugal News discloses.

Headquartered in Lisbon, Novo Banco, S.A. provides various
financial products and services to private, corporate, and
institutional customers.

                        *     *     *

As reported in the Troubled Company Reporter-Europe on Jan. 6,
2016, Moody's Investors Service downgraded to Caa1 from B2 the
senior debt and long-term deposit ratings of Portugal's Novo
Banco, S.A. and its supported entities.  This follows the Bank of
Portugal's (BoP) announcement on Dec. 29, 2015, that it had
approved the recapitalization of Novo Banco by transferring
EUR1,985 million of senior debt back to Banco Espirito Santo,
S.A. (BES unrated).  Moody's said the outlook on Novo Banco's
deposit and senior debt ratings is now developing.


NOVO BANCO: Agrees to Sell Macau Unit to Well Link Group
--------------------------------------------------------
Nelson Moura at Macau Business Daily, citing to a group release
on the Portuguese Securities Market Commission (CMVM), reports
that Portuguese banking group Novo Banco S.A (Novo Banco) has
agreed on the sale of its Macau unit, Novo Banco Asia S.A. (Novo
Banco Asia), to Hong Kong incorporated brokerage firm Well Link
Group Holdings Limited.

Novo Banco Asia -- formerly known as Banco Espirito Santo do
Oriente (BESOR) -- is the Macau subsidiary of Novo Banco, which
was created after the collapse of its parent company Banco
Espirito Santo (BES) in 2015, Macau Business Daily discloses.

The value of the purchase wasn't revealed by the bank, and the
deal is now pending approval by the Portugal Central Bank and the
Monetary Authority of Macau (AMCM), Macau Business Daily notes.

In an interview with Portuguese newspaper Jornal de Negocios in
July of this year, Novo Banco's former Chief Executive Officer,
Eduardo Stock da Cunha stated that the sale of the Macau unit
would probably reach higher values than the sale of the bank's
other units, since in Asia it is normal to "pay higher market
multiples than those we can get in a small operation like Cape
Verde or in a European unit", Macau Business Daily recounts.

While its parent company in Portugal registered EUR981 million
(MOP8.6 billion/US$1 billion) in losses in 2015, Novo Banco Asia
generated MOP4.6 million (US$575,737) in profits last year, Macau
Business Daily relays.

Headquartered in Lisbon, Novo Banco, S.A. provides various
financial products and services to private, corporate, and
institutional customers.

                        *     *     *

As reported in the Troubled Company Reporter-Europe on Jan. 6,
2016, Moody's Investors Service downgraded to Caa1 from B2 the
senior debt and long-term deposit ratings of Portugal's Novo
Banco, S.A. and its supported entities.  This follows the Bank of
Portugal's (BoP) announcement on Dec. 29, 2015, that it had
approved the recapitalization of Novo Banco by transferring
EUR1,985 million of senior debt back to Banco Espirito Santo,
S.A. (BES unrated).  Moody's said the outlook on Novo Banco's
deposit and senior debt ratings is now developing.


===========
R U S S I A
===========


CB EUROCITYBANK: Liabilities Exceed Assets, Assessment Shows
------------------------------------------------------------
The provisional administration of PJSC CB EurocityBank appointed
by Bank of Russia Order No. OD-2158, dated July 7, 2016, due to
the revocation of its banking license encountered an obstruction
of its activity starting the first day of performing its
functions which the Bank of Russian believes was aimed at
concealing the fact of diverting assets from PJSC CB
EurocityBank, according to The Central Bank of Russia's Press
Service.

Examination of the bank's premises detected that the greater part
of electronic media (servers) used to store information about the
credit institution's assets, liabilities and their flow was
missing.  Also, it was noted that the integrity of information
stored in some electronic devices must have been intentionally
damaged.

Besides, the provisional administration has detected that many
right-establishing documents as regards the bank's outstanding
loans worth RUR5.1 billion was missing.  At the same time, the
provisional administration revealed the existence of loan
assignment contracts worth RUR1.4 billion to a dummy company.

The preliminary examination launched by the provisional
administration revealed that the asset value of the bank did not
exceed RUR3.2 billion, while its liabilities to creditors
amounted to RUR6.4 billion.  This data is written down in the
report submitted by the provisional administration to the Bank of
Russia.  On August 1, 2016, the Bank of Russia submitted a
petition to the Court of Arbitration of the city of Moscow to
recognize PJSC CB EurocityBank insolvent (bankrupt).

The Bank of Russia has submitted the information on the financial
transactions bearing the evidence of criminal offences conducted
by the former management and owners of PJSC CB EurocityBank to
the Prosecutor General's Office of the Russian Federation, the
Russian Ministry of Internal Affairs and the Investigation
Committee of the Russian Federation for consideration and
procedural decision making.


* RUSSIA: Payouts to Depositors May Hit Record High This Year
-------------------------------------------------------------
Jake Rudnitsky at Bloomberg News reports that Russian payouts to
depositors of failed lenders may reach a record this year as an
unprecedented bank purge isn't letting up, according to the
country's ratings company Expert RA.

According to Bloomberg, Stanislav Volkov, Expert RA's managing
director for bank ratings, said nineteen banks, including seven
of Russia's 50 biggest by assets, are already in the "red zone,"
which puts them at risk of losing a license in the coming six
months.  As more lenders are forced to shut down, he estimates
that payments from the Deposit Insurance Agency to savers could
exceed RUR500 billion (US$7.7 billion) this year from RUR443
billion in 2015, Bloomberg discloses.

Asset quality is deteriorating as Russia's longest recession in
two decades throttles demand for loans and banks run short on
capital to cover losses, Bloomberg says.  More than 30% of
Russian lenders have been labeled as mismanaged or
under-capitalized and shut down since Bank of Russia Governor
Elvira Nabiullina took over in 2013, Bloomberg notes.  The total
number of banks was at 630 on July 1, Bloomberg relays, citing
central bank data.

While finance executives and public officials have said the worst
of the crisis is over, another 10 banks lost their licenses in
July, bringing the total this year to 60, Bloomberg relates.  The
central bank said in July banks posted RUR360 billion in profit
in the first half, up from RUR51 billion a year earlier,
Bloomberg recounts.

The country's regulator may continue to pull bank licenses at the
same pace next year, Bloomberg says, citing Expert RA.  According
to Bloomberg, Mr. Volkov said for the seven biggest banks under
threat, authorities may mount a rescue instead of stripping their
licenses.



=========
S P A I N
=========


OHL SA: Fitch Says Unprofitable Legacy Contracts Hit 1H16 Profits
-----------------------------------------------------------------
Fitch Ratings says OHL SA (BB-/Stable) suffered a drop in profits
in its construction activity in 1H16 as a result of unprofitable
legacy contracts and delays in commencing new contract work.
Positively, OHL's actions to strengthen its balance sheet have
resulted in the Spanish construction and concession operator
being better positioned than a year ago to offset potential
liquidity issues caused by lower cash flow.

OHL's lackluster results in construction for 1H16 were mainly
driven by an unexpected rise in costs in some of its older
contracts. Of the reported EUR270 million LTM to June 2016
recourse EBITDA, construction accounted for around EUR100 million
and the rest was contributed by recurring dividends from
concessions.

"While we expect recurring dividends from OHL's concessions
business for the whole of 2016 to be similar to the previous year
(EUR155 million), we forecast a slow recovery in construction
business profitability driven by new projects in lower-risk
developed markets. In addition, we expect cash flow to benefit
from positive working capital movements, which typically provides
cash inflow in the second half of the year," Fitch said.

"In the medium term we expect OHL to improve the cash conversion
of profits generated, as the company is now re-focusing its
construction business in lower-risk developed countries, with
cash flow also benefitting from a reduced working capital cycle."

In the past nine months, OHL has substantially simplified its
debt structure. Some of the proceeds of both its EUR1 billion
capital increase and the recent sale of the 7% stake in Abertis
(EUR815 million) were used to repay debt at its concession-owning
subsidiary. By partly repaying the margin loans linked to the
share price of OHL Mexico and Abertis, OHL significantly reduced
the risk of margin loan triggers, which is positive for the
group's liquidity. Although these transactions occurred at OHL
Concesiones level -- therefore outside our perimeter of
analysis -- Fitch views the debt reduction positively as it
reduces the likelihood of cash support from the parent company.

Fitch focuses its analysis on the recourse perimeter, adjusting
metrics to reflect the ring-fenced nature of the concession
business by excluding related funds from operations (FFO) and
non-recourse debt but including recurring dividends from the
non-recourse operations. In its net leverage metrics, Fitch uses
available cash (EUR595 million at end-June 2016) as a potential
source for debt repayment, as no cash contribution will be needed
to fund equity commitment at concession level in the next three
years.

A successful restoration of the company's profitability, leading
to Fitch-adjusted net leverage to around 2.0x and EBITDA interest
cover above 3.0x (including recurring dividends) on a sustained
basis could lead to a positive rating action. Conversely, Fitch's
adjusted recourse net leverage above 4.0x and EBITDA interest
cover below 2.0x on a sustained basis could lead to a downgrade.
Based on the LTM figures to June 2016, Fitch-adjusted FFO net
leverage was 3.8x, and the figure for 2016 is expected to be
around 3.6x, both within the range of sensitivities for the
rating.


=============
U K R A I N E
=============


UKREXIMBANK: Fitch Affirms 'CCC' LT FC Issuer Default Ratings
-------------------------------------------------------------
Fitch Ratings has affirmed the Long-Term Foreign Currency Issuer
Default Ratings (IDRs) of JSC The State Export-Import Bank of
Ukraine (Ukreximbank) and JSC State Savings Bank of Ukraine
(Oschadbank) at 'CCC'.

The banks' IDRs are driven by their standalone strength, as
reflected by their 'ccc' Viability Ratings (VRs).

KEY RATING DRIVERS

VIABILITY RATINGS, IDRS, NATIONAL RATINGS AND SENIOR DEBT

The banks' 'CCC' Long-Term IDRs and 'ccc' VRs reflect weaknesses
in both banks' credit profiles, in particular, high loan
impairment, weak pre-impairment profitability and low capital
ratios. As a result of this, both banks will be reliant on
further solvency support should asset quality continue to
deteriorate.

The ratings also consider the still difficult, albeit gradually
stabilizing operating environment, reasonable coverage of
existing non-performing loans (NPLs, loans more than 90 days
overdue) by loan impairment reserves (LIR), reduced near-term
refinancing risks following both banks' Eurobond restructurings
in 2015, stabilized deposit trends, underpinned by the recent
stabilization of the hryvnia, and solid liquidity cushions.

Both banks' standalone credit profiles are strongly linked with
that of the sovereign due to their large exposure to sovereign
debt and, more generally, the public sector, and the dependence
of credit quality on the authorities' ability to support
macroeconomic stability and public sector corporates. At end-
1Q16, direct sovereign exposure (claims on the government and the
central bank) relative to Fitch Core Capital (FCC) was 25.5x at
Ukreximbank and 5.6x at Oschadbank. Loans issued to state-owned
corporates contributed a further 6.6x FCC and 2x FCC,
respectively.

Asset quality came under increased pressure in 2015-1Q16 due to
recession (GDP dropped by 9.9% in 2015), currency depreciation
(FX loans were 50% of the total at Oschadbank at end-1Q16, and
78% at Ukreximbank) and the unresolved conflict in the east.

At end-1Q16, NPLs were reported at 39% of loans at Ukreximbank
and 47% at Oshadbank, while total LIR provided reasonable NPL
coverage (100% at Ukreximbank and 86% at Oschadbank).
Restructured exposures are sizeable at both banks (46% at
Ukreximbank; 26% at Oschadbank, of which 13% is represented by
state-owned Naftogaz ('CCC'), with some of these being fairly
high risk and a potential source of additional asset quality
problems in the near term. These are provisioned at various
levels, mainly reflecting the borrower performance track record
post restructuring. Fitch expects only moderate economic recovery
in Ukraine (we forecast GDP growth of 1% in 2016 with medium-term
growth of 2%), which limits the potential for near-term
improvements in asset quality metrics and constrains balance
sheet growth and earnings generation. However, Fitch understands
that additional provisioning requirements following the
regulator's recent asset quality review should be moderate.

Loss absorption capacity is limited relative to the levels of
problem assets, despite recent capital support provided by the
authorities to both banks. At end-1Q16, Oschadbank had a
regulatory capital adequacy ratio (CAR) of 12.8% (regulatory
minimum: 10%), which allowed the bank to increase its LIR by 3.7%
without breaching regulatory capital requirements. Ukreximbank
with its regulatory CAR of 9.2% at end-1H16 had no capacity to
absorb additional losses through equity and remained reliant on
the sector-wide regulatory forbearance with respect to non-
compliance with capital requirements. Pre-impairment profit, net
of interest income accrued but not received in cash, was negative
at both banks in 1Q16. Moderate equity injections in 2017,
following the asset quality review, are possible, in Fitch's
view.

Direct market risks remain high due to large short open currency
positions (OCP), which expose the banks to revaluation losses in
case of hryvnia depreciation. However, actual positions are
smaller, when adjusted for USD-linked government bonds held by
both banks and treated as UAH assets for OCP purposes.

At end-May, 2016, the banks' foreign currency liquidity
(comprising cash and equivalents and short-term interbank
placements) was comfortably sufficient to meet near-term
wholesale funding maturities, although the stability of the
banks' highly dollarized deposit funding (end-1Q16: 74% of the
total at Ukreximbank and 47% at Oschadbank) is also key to
maintaining FX liquidity. FX liquidity will start to be used in
2019, when the banks' restructured Eurobonds begin to amortize.

The presence of public sector corporates in the deposit bases
(end-1Q16: 48% of client funds at Ukreximbank and 26% at
Oschadbank) should result in somewhat greater predictability of
client flows. Liquidity in local currency is comfortable and
underpinned by large holdings of unpledged government securities
eligible for refinancing with the National Bank of Ukraine (37%
of assets at Ukreximbank and 26% at Oschadbank at end-1H16).

SUPPORT RATINGS AND SUPPORT RATING FLOORS

The affirmation of the Support Rating Floors at 'No Floor' and
Support Ratings at '5' reflects Fitch's view of the Ukrainian
authorities' still limited ability to provide support to the
banks, in particular in foreign currency, in case of need, as
indicated by the sovereign's 'CCC' Long-Term Foreign Currency
IDR. However, the propensity to provide support to these two
banks remains high, particularly in local currency. This view
takes into account the banks' 100%-state ownership, policy roles,
high systemic importance, and the track record of capital support
for the banks under different governments.

SUBORDINATED DEBT - UKREXIMBANK

Ukreximbank's subordinated debt rating has been affirmed at 'C',
the lowest possible issue rating. The two-notch differential
between the bank's VR of 'ccc' and the subordinated debt rating
of 'C' reflects one notch for incremental non-performance risk
(resulting from the flexibility to defer coupons in certain
circumstances, for example if the bank reports negative net
income for a quarter) and one notch for potentially weaker
recoveries due to the instrument's subordination.

RATING SENSITIVITIES

VRs, IDRS, NATIONAL RATINGS AND SENIOR DEBT

Both banks' low ratings reflect very high levels of credit risk.
The VRs could be downgraded if additional loan impairment
recognition further undermines capital positions without
sufficient support being provided by the authorities, or if
deposit outflows sharply erode the banks' liquidity, in
particular in foreign currency. Further stabilization of the
sovereign's credit profile and the country's economic prospects
would reduce risks to the ratings.

SUPPORT RATINGS AND SUPPORT RATING FLOORS

The SRs could be upgraded and the SRFs revised upwards if Fitch
revises its view of the authorities' ability to provide timely
support to the banks, in particular, in foreign currency.
However, this is unlikely in the near term, given the country's
weak external finances.

SUBORDINATED DEBT - UKREXIMBANK

The rating could be upgraded in case of an upgrade of the bank's
VR.

The rating actions are as follows:

   Ukreximbank:

   -- Long-Term Foreign Currency and Local Currency IDRs:
      affirmed at 'CCC'

   -- Senior unsecured debt of Biz Finance PLC: affirmed at
      'CCC'/Recovery Rating 'RR4'

   -- Subordinated debt of Biz Finance PLC: affirmed at
      'C'/Recovery Rating 'RR5'

   -- Short-Term Foreign Currency IDR: affirmed at 'C'

   -- Support Rating: affirmed at '5'

   -- Support Rating Floor: affirmed at 'No Floor'

   -- Viability Rating: affirmed at 'ccc'

   -- National Long-Term rating: affirmed at 'AA-(ukr)'; Outlook
      Stable

   Oschadbank:

   -- Long-Term Foreign Currency and Local Currency IDRs:
      affirmed at 'CCC'

   -- Senior unsecured debt of SSB No.1 PLC: affirmed at
      'CCC'/Recovery Rating 'RR4'

   -- Short-Term Foreign Currency IDR: affirmed at 'C'

   -- Support Rating: affirmed at '5'

   -- Support Rating Floor: affirmed at 'No Floor'

   -- Viability Rating: affirmed at 'ccc'

   -- National Long-Term rating: affirmed at 'AA-(ukr)'; Outlook
      Stable


===========================
U N I T E D   K I N G D O M
===========================


EUROHOME UK: S&P Raises Rating on Class B1 Notes to B+
------------------------------------------------------
S&P Global Ratings raised its credit ratings on Eurohome UK
Mortgages 2007-2 PLC's class A2, A3, M1, M2, and B1 notes.  At
the same time, S&P has affirmed its rating on the class B2 notes.

The rating actions follow S&P's credit and cash flow analysis of
the transaction using information from the June 2016 investor
report and loan-level data.  S&P's analysis reflects the
application of its U.K. residential mortgage-backed securities
(RMBS) criteria and S&P's current counterparty criteria.

Since S&P's August 2013 review, the weighted-average foreclosure
frequency (WAFF) has decreased.  This decrease is primarily due
to the transaction's increased seasoning and the decline in
arrears. Over the same period, the weighted-average seasoning of
the performing loans has increased to 83 from 73 months.  The
reported total arrears decreased to 21.6% compared with 31.5% at
S&P's previous review.  However, in S&P's credit model it
considered that 23.7% of the portfolio is delinquent to account
for arrears that have previously been capitalized and for the
risk that arrears might increase in the future, considering they
are currently at a historically low levels.

S&P's weighted-average loss severity (WALS) calculations have
increased at the 'AAA' level, but have decreased at all other
rating levels.  Although the transaction has benefitted from the
decrease in the weighted-average current loan-to-value (LTV)
ratio, this has been offset by the increase in S&P's repossession
market-value decline assumptions, which have been greater at the
'AAA' level.

Rating       WAFF     WALS
level         (%)      (%)
AAA          55.1     52.9
AA           44.7     44.9
A            37.2     32.3
BBB          30.0     24.8
BB           21.8     19.3

The reserve fund is at its required level and cannot amortize
because the transaction has breached the cumulative net loss
trigger.  Due to this trigger breach, the transaction does not
meet the pro rata repayment conditions set out in the transaction
documents, so it is paying sequentially for the remainder of its
life.  S&P has modeled it as such in its analysis.

The liquidity facility has not been drawn.  The size of the
liquidity facility was reduced in June 2016, and S&P has
considered this in its cash flow analysis.  The liquidity
facility agreement held with Deutsche Bank AG does not comply
with S&P's current counterparty criteria.  The transactions
documents do not include a strong commitment of the liquidity
provider to replace itself or draw to cash its obligation if S&P
downgrades it to below 'A-1'.  In fact, following our June 9,
2015 downgrade of Deutsche Bank, it failed to take any remedial
actions.  Therefore, in the scenarios where S&P gives benefit to
the liquidity facility, its current counterparty criteria cap the
maximum achievable ratings at the long-term issuer credit rating
(ICR) on Deutsche Bank, 'BBB+ (sf)'.

S&P's analysis indicates that the class A2, A3, M1, M2, and B1
notes pass its cash flow stresses at higher rating levels than
those currently assigned.  S&P has therefore raised its ratings
on the class M1, M2, and B1 notes.  The class A2 and A3 notes are
able to withstand S&P's cash flow stresses at the 'A' rating
level even without the benefit of the liquidity facility.  As a
result, S&P has raised to 'A (sf)' from 'BBB+ (sf)' its ratings
on the class A2 and A3 notes and delinked them from S&P's long-
term ICR on Deutsche Bank.  The ratings on the class A2 and A3
notes are still linked to the ICR on the swap counterparty,
Barclays Bank PLC.  The transaction's swap documents are not in
line with S&P's current counterparty criteria, but they comply
with a previous version.  As a result, S&P's current counterparty
criteria cap its rating on the notes at the ICR plus one notch on
Barclays Bank.

S&P has also affirmed its 'B- (sf)' rating on the class B2 notes
as it do not expect these notes to suffer interest shortfalls in
the next one to two years.

S&P's credit stability analysis indicates that the maximum
projected deterioration that it would expect at each rating level
for the one- and three-year horizons, under moderate stress
conditions, is in line with S&P's credit stability criteria.

Eurohome UK Mortgages 2007-2 securitizes U.K. residential
mortgages by Deutsche Bank's U.K. mortgage origination arm, DB
mortgages.  The transaction closed in 2007.

RATINGS LIST

Class             Rating
            To              From

Eurohome UK Mortgages 2007-2 PLC
EUR70 Million, GBP460.5 Million Mortgage-Backed Floating-Rate
Notes

Ratings Raised

A2           A (sf)          BBB+ (sf)
A3           A (sf)          BBB+ (sf)
M1           BBB+ (sf)       BBB (sf)
M2           BBB- (sf)       BB (sf)
B1           B+ (sf)         B (sf)

Rating Affirmed

B2           B- (sf)


GULF KEYSTONE: Reviews DNO's Offer Amid Restructuring Efforts
-------------------------------------------------------------
OilVoice reports that the Board of Gulf Keystone has reviewed DNO
ASA's proposal to acquire the total share capital of the Company,
which it received by letter late on July 28, 2016.

Gulf Keystone notes that DNO's proposal is conditional upon the
successful completion of the ongoing Balance Sheet Restructuring
Transaction, announced by Gulf Keystone on July 14, 2016,
OilVoice relates.

"The Board has concluded that completion of the Restructuring
best serves our stakeholders and we will not engage in any
additional process that causes the Company to be distracted from
that objective.  The Company has responded to DNO accordingly,"
Oil Voice quotes the Company as saying.  "In light of the
importance of the proposed Restructuring for all stakeholders,
the Board continues to strongly recommend that shareholders vote
in favor of the resolution to authorize the increase in the
Company's share capital, to be proposed at the Special General
Meeting ('SGM'), in order to implement the Restructuring."

                     Debt-for-Equity Swap

As reported by the Troubled Company Reporter-Europe on July 19,
2016, Reuters related that distressed debt funds will become big
shareholders in troubled oil firm Gulf Keystone after bondholders
agreed to swap US$500 million of debt for equity, wiping out some
of the world's top funds as shareholders.  According to Reuters,
the firm has been fighting to avoid insolvency after low oil
prices and overdue oil export payments from the Kurdistan
regional government crippled its balance sheet.

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.


ROYAL BANK OF SCOTLAND: Fitch Rates Proposed US$ Notes 'BB-(EXP)'
-----------------------------------------------------------------
Fitch Ratings has assigned The Royal Bank of Scotland Group plc's
(RBSG, BBB+/Stable/F2/bbb+) forthcoming issue of USD-denominated
perpetual subordinated contingent convertible capital notes
(CCCN) an expected rating of 'BB-(EXP)'.

The final rating is subject to Fitch receiving final
documentation conforming to information already received.

KEY RATING DRIVERS

The CCCN are expected to qualify as additional Tier 1 (AT1)
instruments with fully discretionary interest payments and are
subject to conversion into RBSG's ordinary shares on breach of a
consolidated 7% CRD IV common equity Tier 1 (CET1) ratio, which
is calculated on a fully loaded basis.

The rating of the securities is five notches below RBSG's 'bbb+'
Viability Rating (VR), in line with Fitch's criteria, for
assigning ratings to hybrid instruments. The securities are
notched twice for loss severity to reflect the conversion into
common shares on a breach of the 7% fully loaded CET1 ratio
trigger, and three times for incremental non-performance risk
relative to the VR.

The notching for non-performance risk reflects the instruments'
fully discretionary coupons, which Fitch views as the most easily
activated form of loss absorption. Under the terms of the
securities, the issuer will be subject to restrictions on
interest payments if it has insufficient distributable items
(RBSG's distributable reserves stood at GBP14.6 billion at
June 30, 2016), is insolvent or fails to meet the combined buffer
capital requirements that are being gradually introduced from
2016. Potential other factors are a breach of the minimum
regulatory leverage ratio.

RBSG's fully loaded Basel III CET1 ratio at June 30, 2016 was
14.5%, providing it with a buffer in excess of GBP18 billion for
the 7% CET1 ratio trigger, although non-performance in the form
of non-payment of interest would likely be triggered before
reaching the 7% trigger, most likely by breaching the bank's
regulatory requirements. RBSG's indicative minimum CET1
requirement applicable from 1 January 2019 is 10.8%, made up of
4.5% CET1 requirement under Pillar 1, 2.8% under Pillar 2A, a
capital conservation buffer of 2.5% and a 1% G-SIB buffer.

RATING SENSITIVITIES

The CCCN's rating is primarily sensitive to changes in RBSG's VR.
The securities' rating is also sensitive to a change in their
notching, which could arise if Fitch changes its assessment of
the probability of their non-performance relative to the risk
captured in the VR. This may reflect a change in Fitch's
assessment of capital management at RBSG, reducing the holding
company's flexibility to service the securities or an unexpected
shift in regulatory buffer requirements, for example.


                            *********

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.


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