TCREUR_Public/161213.mbx         T R O U B L E D   C O M P A N Y   R E P O R T E R

                           E U R O P E

          Tuesday, December 13, 2016, Vol. 17, No. 246


                            Headlines


G E R M A N Y

BREMER LANDESBANK: Moody's Reviews Ba1 Debt Rating for Upgrade
IBERO TOURS: Owner Officially Declares Itself Insolvent


I T A L Y

ASSICURAZIONI GENERALI: Moody's Affirms Ba1 Rating on Jr. Notes
INTESA SANPAOLO: Moody's Affirms Ba1 Sub. Bond/Debenture Rating
MONTE DEI PASCHI: Board Makes Last-Ditch Attempt to Raise EUR5BB
TIBET CMBS: Fitch Affirms 'BBsf' Rating on Class D Notes


L U X E M B O U R G

TONON LUXEMBOURG: Creditors' Meeting Scheduled for January 23


R U S S I A

ALTAI REGION: Fitch Affirms 'BB+' LT Issuer Default Ratings
CB VEGA-BANK: Put on Provisional Administration, License Revoked
CHUVASH REPUBLIC: Fitch Affirms BB+ LT Issuer Default Ratings
EVROFINANCE MOSNARBANK: Fitch Affirms 'B+' Long-Term IDRs
HMS JSC: Fitch Assigns 'B+' Long Term Issuer Default Ratings

KAZAN CITY: Fitch Affirms 'BB-' Long Term Issuer Default Ratings
KRASNODAR REGION: Fitch Affirms 'BB' LT Issuer Default Ratings
M2M PRIVATE: Put on Provisional Administration, License Revoked
ROSENERGOBANK: Moody's Reviews B3 Deposit Ratings for Downgrade


S P A I N

AYT CAIXA I: Fitch Places 'BB-sf' Rating on Class C Notes on RWE
FT SANTANDER CONSUMER 2016-2: Moody's Rates Class E Notes Ba1
FT SANTANDER CONSUMER 2016-2: Fitch Rates Class E Notes 'BB-sf'
FT SANTANDER CONSUMO 2: Moody's Assigns B3 Rating to Cl. F Notes


S W I T Z E R L A N D

SCHMID TELECOM: Court Declares Swiss Telecom Bankrupt


T U R K E Y

V.O. TRAVEL: Owner Now Privately Insolvent


U N I T E D   K I N G D O M

ENSCO PLC: S&P Lowers CCR to 'BB'; Outlook Negative
SALISBURY II: Fitch Assigns 'BB+' Rating to Class L Notes

* UNITED KINGDOM: Zombie Firms Up 8% to 139,000 in 2016, R3 Says


                            *********



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G E R M A N Y
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BREMER LANDESBANK: Moody's Reviews Ba1 Debt Rating for Upgrade
--------------------------------------------------------------
Moody's Investors Service has placed on review for upgrade the
ratings of Bremer Landesbank Kreditanstalt Oldenburg GZ
(BremerLB), including the bank's Baa3 long-term deposit ratings,
its Ba1 long-term senior unsecured debt and issuer ratings as
well as BremerLB's P-3 short-term programme and deposit ratings.
Concurrently, the rating agency affirmed BremerLB's Baseline
Credit Assessment (BCA) at caa2 and placed on review for upgrade
BremerLB's b1 Adjusted BCA.  Moody's also placed on review for
upgrade BremerLB's Baa3(cr)/P-3(cr) Counterparty Risk (CR)
Assessment and the bank's (P)B2 subordinated medium-term note
program rating.

These rating actions were prompted by the measures launched by
BremerLB and its parent Norddeutsche Landesbank GZ (NORD/LB) to
closely integrate BremerLB into the NORD/LB group within the next
weeks, including a pre-agreement between the City of Bremen
(unrated) and the Land of Lower Saxony (unrated) to modify the
statutes of BremerLB and to allow for the entry into force of a
control and profit and loss transfer agreement with NORD/LB
effective after the ownership change targeted for Jan. 1, 2017.

Moody's also downgraded the rating of NORD/LB's non-cumulative
preference share vehicles Fuerstenberg Capital II GmbH to
Caa2(hyb) from Caa1(hyb), and Fuerstenberg Capital GmbH (I) to
Caa2(hyb) from B2(hyb).  All other ratings of NORD/LB were
unaffected.

The rating actions on NORD/LB's preference shares were triggered
by the bank's 24 November announcement that its annual loss for
2016 is expected to exceed EUR1 billion on a group-wide
consolidated basis because of a significant increase in its risk
provisioning for ship finance exposures.

                         RATINGS RATIONALE

RECENT DEVELOPMENTS AT BREMERLB AND NORD/LB

On Nov. 23, BremerLB lowered its full-year result guidance for
2016, saying it now expects a "high triple-digit million loss"
due to high loan loss provisioning needs related to its shipping
loan portfolio.  At the same time, the bank announced it plans to
enter into a control and profit and loss transfer agreement with
its future full owner NORD/LB.  The rating agency understands
that in a shareholders' meeting on Dec. 2, 2016, BremerLB's
current owners have agreed in principle on the entry into force
of this agreement after the full ownership transfer to NORD/LB on
Jan. 1, 2017.

An updated interstate agreement on the governance of BremerLB
will provide for the possibility of this bank entering into such
a control and profit and loss transfer agreement.  While this
agreement requires the successful conclusion of the ratification
processes in the parliaments of Bremen and Lower Saxony, it was
signed by the finance ministers of both states on Nov. 14, 2016.

For the first nine months of 2016, NORD/LB reported a group-wide
net loss of EUR736 million and the banking group warned of a
consolidated 2016 full-year loss in excess of EUR1 billion, based
on loan loss provisioning needs of more than EUR2 billion in
2016, predominantly caused by its shipping loan portfolio.

         AFFIRMATION OF BREMER/LB'S BASELINE CREDIT ASSESSMENT

The affirmation of BremerLB's caa2 BCA reflects unchanged
pressure on the bank's solvency, as expressed by the EUR384
million loss in the first six months of 2016 and by BremerLB's
recent warning of a "high triple-digit million loss" for the full
year 2016.  The affirmation also reflects that, despite the loss,
BremerLB has remained above regulatory minimum capital levels
with a Common Equity Tier 1 ratio of 11.0% as of June 30, 2016,
(December 2015: 10.8%) and that Moody's expects the bank to be
able to avert a violation of regulatory minima as of year-end
2016.

As NORD/LB progresses in its acquisition and integration of
BremerLB, upward pressure may arise on the latter's standalone
BCA, depending on next year's progress in de-risking and/or
recapitalising BremerLB to a degree that the entity's solvency
risks return to a more balanced level.

REVIEW FOR UPGRADE OF BREMERLB'S ADJUSTED BCA AND LONG-TERM
RATINGS

Moody's has placed the long-term debt, issuer, and deposit
ratings of BremerLB on review for upgrade to reflect the
significant progress towards an ownership transfer and tight
integration made in the past weeks.  The review for upgrade of
BremerLB's b1 Adjusted BCA reflects Moody's view that BremerLB
would benefit from "affiliate-backing" of its future full owner
NORD/LB, including any potential support by the institutional
protection scheme of Sparkassen-Finanzgruppe (Corporate Family
Rating Aa2 stable, BCA a2).  Moody's concept of "affiliate-
backing" is the strongest form of support assumption in the
absence of a guarantee and can add to the supported entity's
Adjusted BCA multiple notches of uplift from its standalone BCA.

In light of the significant gap between BremerLB's very weak caa2
BCA and NORD/LB's ba1 Adjusted BCA, a full alignment of both
entities' Adjusted BCAs and long-term ratings would only be
achievable if the immediate pressures on BremerLB's standalone
profile were unquestionably removed.

BremerLB's long-term ratings were also put on review for upgrade,
reflecting the review for upgrade of the Adjusted BCA, an
unchanged outcome of the Advanced LGF analysis performed at the
group-wide level of NORD/LB and unchanged government support
assumptions.

               DOWNGRADE OF NORD/LB'S HYBRID RATINGS

The downgrade to Caa2(hyb) from Caa1(hyb) of the rating of non-
cumulative preference shares issued by Fuerstenberg Capital II
GmbH and the downgrade to Caa2(hyb) from B2(hyb) of the rating of
non-cumulative preference shares issued by Fuerstenberg Capital
GmbH (I) reflects Moody's assessment that these entities will
suspend coupon payments in 2017 due to a net loss in NORD/LB's
unconsolidated local GAAP 2016 accounts and that both instruments
will face at least a temporary principal write-down as they
absorb a proportionate share of the balance sheet loss of
NORD/LB.

Moody's has been rating both instruments on an expected loss
basis since both vehicles first announced earlier this year that
they may need to suspend coupons in 2017.  NORD/LB's significant
first nine months' loss of EUR736 million on an IFRS group-wide
basis indicates in Moody's view that investors in Fuerstenberg
bonds need to absorb a coupon loss and principal write-down worth
at least 10% of their original principal claim, commensurate with
a Caa2(hyb) expected loss rating.

                   WHAT COULD CHANGE THE RATING - UP

BremerLB's debt and deposit ratings, which are on review for
upgrade, may be upgraded by up to two notches upon a successful
ownership transfer targeted for Jan. 1, 2017, combined with the
implementation of the proposed control and profit and loss
transfer agreement with the parent.

Following the review period, additional upward pressure on
BremerLB's Adjusted BCA and long-term ratings could result
primarily from a significant improvement in BremerLB's standalone
credit profile following a sizable de-risking and/or
recapitalization that would minimize the risk of regulatory
intervention.

                 WHAT COULD CHANGE THE RATING - DOWN

BremerLB's ratings may be downgraded in the currently unexpected
cases that the acquisition by NORD/LB cannot be executed
successfully by Jan.1, 2017, or that NORD/LB's ba3 BCA were to
decline by multiple notches as a result of further declining
freight rates coupled with lack of progress in reducing the
shipping exposure towards NORD/LB's medium-term target size of
EUR12-14 billion.

Further, the long-term debt and deposit ratings of NORD/LB and
BremerLB may be downgraded if, at the group level, the amount of
equal-ranking or subordinated debt for an individual debt class
was to decline beyond current expectations, leading to a less
favorable outcome under Moody's Advanced LGF analysis.

NORD/LB's hybrid instruments Fuerstenberg Capital GmbH (I) and
Fuerstenberg Capital II GmbH may be further downgraded if the
risk of an extended coupon suspension beyond 2017 increases
materially or if the principal write-down in 2017 is steeper than
Moody's currently expects.

LIST OF AFFECTED RATINGS

Issuer: Bremer Landesbank Kreditanstalt Oldenburg GZ

Placed on Review for Upgrade:
  Adjusted Baseline Credit Assessment, Currently at b1
  LT Counterparty Risk Assessment, Currently at Baa3(cr)
  ST Counterparty Risk Assessment, Currently at P-3(cr)
  LT Issuer Rating (Foreign), Currently at Ba1, Outlook changed
   to Rating under Review from Positive
  LT Bank Deposits (Local & Foreign), Currently at Baa3, Outlook
   changed to Rating under Review from Positive
  ST Banks Deposits Rating (Local & Foreign), Currently at P-3
  Senior Unsecured (Local), Currently at Ba1, Outlook changed to
   Rating under Review from Positive
  Senior Unsecured MTN (Local), Currently at (P)Ba1
  Subordinate MTN (Local), Currently at (P)B2
  Other Short Term (Local), Currently at (P)P-3
  Commercial Paper (Local), Currently at P-3

Affirmations:
  Baseline Credit Assessment, Affirmed at caa2

Outlook action:
  Outlook, Changed To Rating Under Review from Positive

Issuer: Fuerstenberg Capital GmbH (I)

Downgrade:
  Pref. Stock Non-cumulative Preferred Stock (Local Currency),
   Downgraded to Caa2(hyb) from B2(hyb)

Issuer: Fuerstenberg Capital II GmbH

Downgrade:
  Pref. Stock Non-cumulative Preferred Stock (Local Currency),
   Downgraded to Caa2(hyb) from Caa1(hyb)

                         PRINCIPAL METHODOLOGY

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


IBERO TOURS: Owner Officially Declares Itself Insolvent
-------------------------------------------------------
fvw.de reports that Ibero Tours has officially declared itself
insolvent following weeks of uncertainty over the company and the
start of investigations by German prosecutors over suspicions of
delayed insolvency and potential fraud.

The company made an insolvency declaration to a Dusseldorf court
on November 29, fvw.de discloses.  It had stopped trading several
weeks ago and apparently owes high sums to business partners, the
report says.

Dusseldorf-based Ibero Tours specialised in Spain holidays. The
company was the official representative of Spanish hotel chain
Paradores in Germany for many years.



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I T A L Y
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ASSICURAZIONI GENERALI: Moody's Affirms Ba1 Rating on Jr. Notes
---------------------------------------------------------------
Moody's Investors Service has taken these rating actions on three
Italian insurance groups and related entities:

   -- Allianz S.p.A.: A3 insurance financial strength rating
      (IFSR) affirmed, outlook changed to negative from stable
   -- UnipolSai Assicurazioni S.p.A.: Baa2 IFSR affirmed, outlook
      changed to negative from stable;
   -- Assicurazioni Generali S.p.A: Baa1 IFSR affirmed with a
      stable outlook.

The actions are prompted by the outlook change to negative from
stable on the Italian government's Baa2 debt rating.

Moody's considers that these insurance groups' key credit
fundamentals (asset quality, capitalisation, profitability and
financial flexibility) are partly correlated with -- and thus
linked to -- the economic and market conditions in Italy, where
they are domiciled and have significant operations.  Moody's also
notes that the IFSRs of both Assicurazioni Generali S.p.A and
Allianz S.p.A. are above the sovereign rating, reflecting in the
former the significant geographical diversification of the
Generali group and, in the latter, the benefits of ownership from
a strong parent (Allianz SE, Aa3 IFSR, stable).

                           RATINGS RATIONALE

  --- ALLIANZ S.P.A.: A3 IFSR affirmed, outlook changed to
negative from stable

The change in outlook to negative on Allianz S.p.A. (Allianz
Italy) reflects the insurer's direct exposure to Italian
sovereign risk in terms of both investment portfolio and business
profile. As of year-end 2015, Italian government bonds
represented 39% (EUR17.2 billion) of Allianz Italy's total
investment portfolio and over 3.3x of its shareholders' equity.
In addition, Allianz Italy sources virtually all its premiums
from Italy.

Nonetheless, Moody's rates Allianz Italy two notches above the
Italian sovereign rating, reflecting the benefit of potential
parental support.  Allianz Italy is 100% owned by Allianz SE,
which is rated Aa3 IFSR with a stable outlook.  Allianz Italy is
the second-largest operation outside Germany for Allianz SE, and
is consistently one of the Allianz group's largest contributors
in terms of premiums and operating profits.  As a consequence,
Moody's believes that Allianz SE would very likely provide
support to its Italian operations in case of need.

   --- UNIPOLSAI ASSICURAZIONI S.P.A.: Baa2 IFSR affirmed,
outlook changed to negative from stable

The change in outlooks of UnipolSai Assicurazioni S.p.A.
(UnipolSai) and of Unipol Gruppo Finanziario S.p.A. (UGF, the
parent company of UnipolSai) to negative reflects the insurer's
direct exposure to Italian sovereign risk in terms of both
investment portfolio and business profile.  As of year-end 2015,
Italian government bonds represented 67% (EUR38.7 billion) of the
group's total investment portfolio and around 4.6x its
shareholders' equity. UnipolSai also sources close to 100% of its
premiums in Italy.

As a result of this material asset and operating exposure to
Italy, and notwithstanding the adequate intrinsic fundamentals of
the insurance company, with notably a good market position and
very good P&C profitability in recent years, Moody's constrains
UnipolSai's IFSR at the level of Italy's sovereign rating.

   --- ASSICURAZIONI GENERALI S.P.A: Baa1 IFSR affirmed with a
stable outlook

The affirmation of Assicurazioni Generali S.p.A's IFSR with a
stable outlook primarily reflects the Generali group's
diversification outside Italy.  Assicurazioni Generali S.p.A acts
both as an operating insurance company and a holding company for
the Generali group.

In 2015 Generali's non-Italian business accounted for 66% of the
group's premiums and 61% of the group's operating profits,
providing significant geographic diversification outside Italy
for the group.  The rating agency says that Generali's non-
Italian operations, notably the German and the French operations
which accounted for 24% and 15% of the group's premiums
respectively in 2015, have very limited direct exposure to Italy
and, therefore, their stand-alone credit profile is not affected
by the negative outlook on the Italian sovereign.  The strong
geographic diversification provided by these operations outside
Italy largely contributes to the stable outlook of Generali group
in spite of the negative outlook on the Italian sovereign.

Generali has been improving its resilience to a hypothetical
scenario of stress on Italian assets in recent years, thanks to
(1) a decrease in the exposure to Italian government bonds, both
on an absolute nominal value basis and as a proportion of its
investments, (2) a change in the business mix in life insurance
with an increased weight of unit-linked policies (unit-linked
represented 17% of the life Italian premiums in 2015 vs 4% in
2012) and (3) an improvement in capitalisation.

Nonetheless, according to Moody's, Assicurazioni Generali S.p.A
is significantly exposed to the Italian sovereign risk, notably
through its Italian subsidiary Generali Italia S.p.A.  As at
June 30, 2016, Italian government bonds represented 18% of
Generali group's total investments portfolio and 274% of the
group's shareholders' equity.  In addition, the group sourced 34%
of its gross written premiums in Italy in 2015.  As a result,
Moody's maintains a limited notching differential between
Assicurazioni Generali S.p.A's IFSR and the Italian sovereign
rating, which is currently one notch and will not exceed two
notches.

Moody's has also affirmed the Baa1 IFSR of Generali Italia S.p.A.
with a stable outlook, reflecting the stable outlook on
Assicurazioni Generali S.p.A. Moody's mentions that Generali
Italia S.p.A.'s rating benefits from implicit support from
Assicurazioni Generali S.p.A.  Moody's adds that, conversely, the
Baa1 IFSRs of Generali's French subsidiaries and the A3 IFSRs of
Generali's German subsidiaries are lower than their intrinsic
stand-alone financial strength, reflecting the contagion risk
from the rest of the group in case of a potential stress on the
Italian sovereign and Moody's expectation that resources from
these subsidiaries would be used to support the Italian
operations.

WHAT COULD MOVE THE RATINGS UP/DOWN

   --- ALLIANZ S.P.A.

Given the negative outlook on Allianz Italy, upwards rating
pressure is currently limited.  Nonetheless, Moody's would likely
stabilize Allianz Italy's outlook if the outlook on Italy was
stabilized.

Downwards pressure on Allianz Italy's rating could develop
following (i) a deterioration in the credit quality of the
Italian sovereign, (ii) a change in the strategic importance of
the company within the Allianz group or (iii) a material
deterioration in company earnings, operating performance or
capitalisation levels.

   --- UNIPOLSAI

Given the negative outlook on UnipolSai and UGF, upwards ratings
pressure is currently limited.  Nonetheless, Moody's would likely
stabilize UnipolSai and UGF's outlooks if the outlook on Italy
was stabilized.

Downwards pressure on UnipolSai and UGF's ratings could develop
following (i) a deterioration in Italy's sovereign
creditworthiness, (ii) any significant loss of market share,
(iii) a significant deterioration of the P&C profitability, or
(iv) any further significant assets impairments or costs
associated to the integration of Premafin HP SpA, including legal
and compensatory expenses in case of unfavorable resolution of
pending legal trials.

   --- ASSICURAZIONI GENERALI S.P.A

Given the negative outlook on Italy, upwards rating pressure is
currently limited.  Nonetheless, upwards pressure could develop
on Generali's ratings in case of (i) an improvement in the credit
quality of Italy, as evidenced by an upgrade of Italy's sovereign
rating, and (ii) a continued improvement of the group's solvency
and a reduction in exposure to Italian assets.

Conversely, downwards pressure could develop in case of (i) a
deterioration in the credit quality of Italy, particularly in
case of a more than one notch downgrade of Italy's sovereign
rating, (ii) a material deterioration of solvency or a
significantly higher exposure to Italian assets, (iii) a
deterioration in operating performance also resulting in a
deterioration in the group's financial flexibility, or (iv) a
deterioration in the cash flows at the holding, for example with
a significant reduction in the cash flow coverage (available cash
flows over holding interests and expenses) below 2x.

A deterioration in the stand-alone credit quality of Generali's
French or German operations would also place downwards pressure
on Assicurazioni Generali S.p.A and Generali Italia S.p.A.'s
ratings.

LIST OF AFFECTED RATINGS

Issuer: Allianz S.p.A.

Affirmation:
  Insurance Financial Strength Rating, affirmed A3

Outlook Action:
  Outlook changed to Negative from Stable

Issuer: Assicurazioni Generali S.p.A

Affirmations:

  Insurance Financial Strength Rating, affirmed Baa1
  Senior Unsecured Regular Bond/Debenture, affirmed Baa2
  Senior Unsecured Medium-Term Note Program, affirmed (P)Baa2
  Senior Subordinate Medium-Term Note Program, affirmed (P)Baa3
  Senior Subordinated Regular Bond/Debenture, affirmed Baa3(hyb)
  Junior Subordinate Medium-Term Note Program, affirmed (P)Ba1
  Pref. Stock, affirmed Ba1(hyb)

Outlook Action:

  Outlook remains Stable

Issuer: Generali Italia S.p.A.

Affirmation:

  Insurance Financial Strength Rating, affirmed Baa1

Outlook Action:

  Outlook remains Stable

Issuer: Generali Finance B.V.

Affirmations:
  Backed Senior Unsecured Medium-Term Note Program, affirmed
   (P)Baa2
  Backed Senior Subordinate Medium-Term Note Program, affirmed
   (P)Baa3
  Backed Junior Subordinated Regular Bond/Debenture, affirmed
   Ba1(hyb)
  Backed Junior Subordinate Medium-Term Note Program, affirmed
   (P)Ba1

Outlook Action:

  Outlook remains Stable

Issuer: UnipolSai Assicurazioni S.p.A.

Affirmations:
  Insurance Financial Strength Rating, affirmed Baa2
  Senior Unsecured Medium-Term Note Program, affirmed (P)Baa3
  Subordinate Medium-Term Note Program, affirmed (P)Ba1
  Junior Subordinated Regular Bond/Debenture, affirmed Ba2(hyb)
  Junior Subordinate Medium-Term Note Program, affirmed (P)Ba2

Outlook Action:
  Outlook changed to Negative from Stable

Issuer: Unipol Gruppo Finanziario S.p.A.

Affirmations:
  Long-term Issuer Rating, affirmed Ba2
  Senior Unsecured Regular Bond/Debenture, affirmed Ba2
  Senior Unsecured Medium-Term Note Program, affirmed (P)Ba2

Outlook Action:
  Outlook changed to Negative from Stable

Issuer: Unipol Assicurazioni S.p.a.

Affirmations:
  Backed Subordinate Regular Bond/Debenture, affirmed Ba1(hyb)

Outlook Action:
  No Outlook assigned

                       PRINCIPAL METHODOLOGIES

The methodologies used in these ratings were Global Life Insurers
published in April 2016, and Global Property and Casualty
Insurers published in June 2016.


INTESA SANPAOLO: Moody's Affirms Ba1 Sub. Bond/Debenture Rating
---------------------------------------------------------------
Moody's Investors Service has changed the outlook to negative
from stable and affirmed the ratings of seven financial
institutions, prompted by the outlook change to negative from
stable on the Italian government's Baa2 debt rating.

These banks are affected by the rating actions: Intesa Sanpaolo
Spa, Banca IMI Spa, FCA Bank S.p.A., Banca Nazionale Del Lavoro
S.P.A., Credito Emiliano SpA, Credit Agricole Cariparma S.p.A.,
and Cassa Depositi e Prestiti S.p.A.

                          RATINGS RATIONALE

   -- NEGATIVE OUTLOOK DRIVEN BY CHANGE OF OUTLOOK ON GOVERNMENT
DEBT RATING

Moody's rating affirmation with a negative outlook on the A3
long-term deposit ratings of Intesa Sanpaolo Spa, Banca IMI Spa,
FCA Bank S.p.A., Banca Nazionale Del Lavoro S.P.A. and Credito
Emiliano SpA were driven by the affirmation with a negative
outlook of the Italian government's Baa2 debt rating.  At the
same time, Moody's has affirmed the A3 long term debt and deposit
ratings of Credit Agricole Cariparma S.p.A. and changed the
outlook to negative.

The rating affirmation reflects Moody's assessment that the
"Moderate+" Macro Profile assigned to Italy, and the financial
profiles of these banks, have not materially changed.

However, in accordance with Moody's bank methodology, debt and
deposit ratings are typically constrained to two notches above
the sovereign bond rating, reflecting the agency's view that the
expected loss of rated bank instruments is unlikely to be
significantly below that of the sovereign's own debt.  This means
that, in the event of a downgrade of the rating of the Italian
government, Italian bank debt and deposit ratings currently
positioned at A3 would also likely be downgraded, and the outlook
on these instruments is therefore aligned with that on Italian
government debt.

Moody's rating affirmation with a negative outlook of Cassa
Depositi e Prestiti's (CDP) Baa2 long-term issuer and senior
unsecured ratings was also driven by the affirmation with a
negative outlook of the Italian government's debt rating.  CDP's
Baa2 rating and negative outlook reflect the combination of: (1)
the Italian government bond rating of Baa2 negative; and (2)
strong dependence on and very high support from the Italian
government.

   -- WHAT COULD MOVE THE RATINGS UP/DOWN

Moody's considers that there is limited upward pressure on the
affected ratings at present, as indicated by the negative
outlooks.  However, over the medium term, a return to a stable
outlook on the Italian government debt rating could lead Moody's
to change the outlooks on the affected bank ratings to stable.

Conversely, Moody's could downgrade the ratings following a
downgrade of Italy's sovereign ratings and/or a deterioration of
the affected banks' baseline credit assessments, driven for
example by a general deterioration in the operating environment
or specific instances of worsening asset quality, losses, or
reduced capitalization.

LIST OF AFFECTED RATINGS

Issuer: Intesa Sanpaolo Spa

Affirmations:
  Long-term Counterparty Risk Assessment, affirmed Baa1(cr)
  Short-term Counterparty Risk Assessment, affirmed P-2(cr)
  Long-term Deposit Ratings, affirmed A3, outlook changed to
   Negative from Stable
  Short-term Deposit Ratings, affirmed P-2
  Long-term Issuer Rating, affirmed Baa1 Stable
  Senior Unsecured Regular Bond/Debenture, affirmed Baa1 Stable
  Backed Senior Unsecured Regular Bond/Debenture, affirmed Baa1
   Stable
  Senior Unsecured Medium-Term Note Program, affirmed (P)Baa1
  Backed Senior Unsecured Medium-Term Note Program, affirmed
   (P)Baa1
  Subordinate Regular Bond/Debenture, affirmed Ba1
  Subordinate Medium-Term Note Program, affirmed (P)Ba1
  Junior Subordinated Regular Bond/Debenture, affirmed Ba2(hyb)
  Pref. Stock Non-cumulative Medium-Term Note Program, affirmed
   (P)Ba3
  Pref. Stock Non-cumulative, affirmed Ba3(hyb)
  Other Short Term, affirmed (P)P-2
  Adjusted Baseline Credit Assessment, affirmed baa3
  Baseline Credit Assessment, affirmed baa3

Outlook Action:
  Outlook changed to Negative(m) from Stable

Issuer: Banca IMI Spa

Affirmations:
  Long-term Counterparty Risk Assessment, affirmed Baa1(cr)
  Short-term Counterparty Risk Assessment, affirmed P-2(cr)
  Long-term Deposit Ratings, affirmed A3, outlook changed to
   Negative from Stable
  Short-term Deposit Ratings, affirmed P-2
  Senior Unsecured Regular Bond/Debenture, affirmed Baa1 Stable
  Adjusted Baseline Credit Assessment, affirmed baa3
  Baseline Credit Assessment, affirmed baa3

Outlook Action:
  Outlook changed to Negative(m) from Stable

Issuer: Intesa Sanpaolo Spa, NY Branch

Affirmations:
  Long-term Counterparty Risk Assessment, affirmed Baa1(cr)
  Short-term Counterparty Risk Assessment, affirmed P-2(cr)
  Long-term Deposit Rating, affirmed A3, outlook changed to
   Negative from Stable
  Short-term Deposit Rating, affirmed P-2

Outlook Action:
  Outlook changed to Negative from Stable

Issuer: Credito Emiliano SpA

Affirmations:
  Long-term Counterparty Risk Assessment, affirmed Baa1(cr)
  Short-term Counterparty Risk Assessment, affirmed P-2(cr)
  Long-term Deposit Ratings, affirmed A3, outlook changed to
   Negative from Stable
  Short-term Deposit Ratings, affirmed P-2
  Senior Unsecured Medium-Term Note Program, affirmed (P)Baa3
  Subordinate Regular Bond/Debenture (Local Currency) , Affirmed
   Ba1
  Subordinate Medium-Term Note Program, affirmed (P)Ba1
  Adjusted Baseline Credit Assessment, affirmed baa3
  Baseline Credit Assessment, affirmed baa3

Outlook Action:
  Outlook changed to Negative from Stable

Issuer: Credit Agricole Cariparma S.p.A.

Affirmations:
  Long-term Counterparty Risk Assessment, affirmed Baa1(cr)
  Short-term Counterparty Risk Assessment, affirmed P-2(cr)
  Long-term Deposit Ratings, affirmed A3, outlook changed to
   Negative from Stable
  Short-term Deposit Ratings, affirmed P-2
  Senior Unsecured Regular Bond/Debenture, affirmed A3, outlook
   changed to Negative from Stable
  Adjusted Baseline Credit Assessment, affirmed baa2
  Baseline Credit Assessment, affirmed ba1

Outlook Action:
  Outlook changed to Negative from Stable

Issuer: FCA Bank S.p.A.

Affirmations:
  Long-term Counterparty Risk Assessment, affirmed Baa1(cr)
  Short-term Counterparty Risk Assessment, affirmed P-2(cr)
  Long-term Deposit Ratings, affirmed A3, outlook changed to
   Negative from Stable
  Short-term Deposit Ratings, affirmed P-2
   Long-term Issuer Rating, affirmed Baa1 Stable
   Adjusted Baseline Credit Assessment, Affirmed baa3
   Baseline Credit Assessment, Affirmed ba2
Outlook Action:
  Outlook changed to Negative(m) from Stable

Issuer: Banca Nazionale Del Lavoro S.P.A.

Affirmations:
  Long-term Counterparty Risk Assessment, affirmed Baa1(cr)
  Short-term Counterparty Risk Assessment, affirmed P-2(cr)
  Long-Term Deposit Ratings, affirmed A3, outlook changed to
   Negative from Stable
  Short-term Deposit Ratings, affirmed P-2
  Long-term Issuer Rating, affirmed Baa2 Stable
  Senior Unsecured Regular Bond/Debenture, affirmed Baa2 Stable
  Adjusted Baseline Credit Assessment, affirmed baa2
  Baseline Credit Assessment, affirmed ba2

Outlook Action:
  Outlook changed to Negative(m) from Stable

Issuer: Cassa Depositi e Prestiti S.p.A.

Affirmations:
  Long-term Issuer Rating, affirmed Baa2, outlook changed to
   Negative from Stable
  Short-term Issuer Rating, affirmed P-2
  Senior Unsecured Regular Bond/Debenture, affirmed Baa2, outlook
   changed to Negative from Stable
  Senior Unsecured Medium-Term Note Program, affirmed (P)Baa2
  Commercial Paper, affirmed P-2

Outlook Action:
  Outlook changed to Negative from Stable

                         PRINCIPAL METHODOLOGIES

The principal methodology used in rating Intesa Sanpaolo Spa,
Banca IMI Spa, Intesa Sanpaolo Spa, NY Branch, Credito Emiliano
SpA, Credit Agricole Cariparma S.p.A., FCA Bank S.p.A. and Banca
Nazionale Del Lavoro S.P.A. was Banks published in January 2016.
The principal methodology used in rating Cassa Depositi e
Prestiti S.p.A. was Government-Related Issuers published in
October 2014.


MONTE DEI PASCHI: Board Makes Last-Ditch Attempt to Raise EUR5BB
----------------------------------------------------------------
Rachel Sanderson at The Financial Times reports that the board of
Monte dei Paschi di Siena is making one last-ditch attempt to
raise EUR5 billion before the end of the year and stave off a
state bail-out of the world's oldest surviving lender which will
force losses on retail investors holding up to EUR2.4 billion of
bonds.

The decision by the board and chief executive Marco Morelli comes
after the ECB bank supervisor rejected a request by Italy to give
Monte Paschi until mid-January to raise EUR5 billion in new
capital, the FT notes.

Monte Paschi, founded in 1472, had argued that political turmoil
unleashed by the resignation of prime minister Matteo Renzi
following his decisive defeat in a referendum made it near
impossible to close a private deal before Christmas, the FT
relays.

According to the FT, Paolo Gentiloni, the former foreign
minister, was picked to be prime minister, leaving respected
finance minister Pier Carlo Padoan in his role to deal with the
bank crisis.

Bankers do not rule out that Mr. Padoan will have to lead a
government bail-out of Monte Paschi, forcing losses on
bondholders before the end of the year, the FT notes.

Lorenzo Codogno, a former chief economist at Italy's treasury and
founder of LC Advisors, said Monte Paschi was in "the final
countdown", the FT relates.  Although he added it was "still not
clear whether a private solution is feasible or, more likely,
some public money will be necessary".

In a statement, Monte Paschi, as cited by the FT, said that it
would seek new private capital by reopening a debt-for-equity
swap that it used to raise EUR1 billion last week.  This time,
the offer will be extended to retail investors holding EUR2.4
billion in subordinated debt, the FT states.

Though swapping that debt for equity in a teetering bank might
not seem attractive, those retail investors face being wiped out
completely during a government bailout, which is required to
"bail-in" such junior bondholders, according to the FT.

Retail investors had previously been blocked from participating
in the swap by Italy's market regulator Consob, according to a
person close to Monte Paschi, the FT discloses.

                     About Monte dei Paschi

Banca Monte dei Paschi di Siena SpA -- http://www.mps.it/-- is
an Italy-based company engaged in the banking sector.  It
provides traditional banking services, asset management and
private banking, including life insurance, pension funds and
investment trusts.  In addition, it offers investment banking,
including project finance, merchant banking and financial
advisory services.  The Company comprises more than 3,000
branches, and a structure of channels of distribution.  Banca
Monte dei Paschi di Siena Group has subsidiaries located
throughout Italy, Europe, America, Asia and North Africa.  It has
numerous subsidiaries, including Mps Sim SpA, MPS Capital
Services Banca per le Imprese SpA, MPS Banca Personale SpA, Banca
Toscana SpA, Monte Paschi Ireland Ltd. and Banca MP Belgio SpA.


TIBET CMBS: Fitch Affirms 'BBsf' Rating on Class D Notes
---------------------------------------------------------
Fitch Ratings has affirmed Tibet CMBS S.r.l. as follows:

   -- EUR101.9m Class A (IT0005082927): affirmed at 'AAsf';
      Outlook Stable

   -- EUR26.2m Class B (IT0005082976): affirmed at 'Asf'; Outlook
      Stable

   -- EUR9.7m Class C (IT0005082984): affirmed at 'A-sf'; Outlook
      Stable

   -- EUR59.2m Class D (IT0005082992): affirmed at 'BBsf';
      Outlook Stable

Tibet CMBS S.r.l. is a CMBS transaction secured by a single loan
backed by a prime retail property in Milan.

KEY RATING DRIVERS

The affirmation reflects the stable performance of the underlying
property, supported by a reduction in reported leverage and
growth in net income.

A new valuation received in July this year showed an improvement
in market value to EUR404m from EUR321m in July 2015, as a result
of rental growth and yield compression. The value appreciation,
coupled with almost EUR4m of prepayments from swept cash has led
to a reduction in the reported loan-to-value ratio (LTV) down to
49% from 63% at the same time last year.

In accordance with the loan agreement, in January 2016 the
interest coverage ratio (ICR) covenant increased to 1.3x, from
1.1x. The reported ICR has risen to 1.6x from 1.5x at this point
last year. The current annual rent has increased to EUR13.7m from
EUR11.9m at issuance as initial rental discounts have begun to
expire. The headline rent of EUR15.5m, post discount expiry, is
expected to be reached in 2020.

"The property's location in Milan's luxury shopping district is
supported by strong demand for retail space, and we expect this
to continue if any space becomes available in the short
term."Fitch said. This demand has resulted in reported prime
rents for Montenapoleone retail space having risen to EUR12,000
per square metre per year, a 50% increase from EUR8,000 per
square metre per year just two years previously.

RATING SENSITIVITIES

A significant deterioration in the business model of luxury
retailers that reduces their requirement for flagship space could
result in a downgrade of the notes. If the Italian sovereign was
downgraded, this could also affect the senior notes. If current
levels of rent and yield persist, an upgrade of the class B and C
notes may be warranted.

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.


===================
L U X E M B O U R G
===================


TONON LUXEMBOURG: Creditors' Meeting Scheduled for January 23
-------------------------------------------------------------
Tonon Bioenergia S.A. -- Under Judicial Reorganization ("Tonon")
announced on December 6, 2016 that it is making a public
disclosure of certain material non-public information.

On December 9, 2015, Tonon, Tonon Luxembourg S.A. -- Under
Judicial Reorganization and Tonon Holding S.A. -- Under Judicial
Reorganization (collectively, the "Company") filed a petition for
commencement of judicial reorganization proceedings in the
Brazilian Bankruptcy Court to, among other things, recapitalize
the Company and restructure the Company's indebtedness, including
(i) the step-up senior unsecured notes due 2020, (ii) the 10.50%
senior secured notes due 2024, and (iii) the senior secured loans
due 2019 (collectively, the "Credits").  The Company is engaged
in discussions and negotiations with an ad hoc group of holders
of the Credits (the "Creditors") regarding an in-court
restructuring.  On March 10, 2016, the Company executed various
confidentiality agreements (as amended, the "Confidentiality
Agreements") with the Creditors to facilitate discussions
concerning such possible restructuring.

Pursuant to the Confidentiality Agreements, the Company agreed to
publicly disclose certain information, including any material
non-public information disclosed to the Creditors, upon the
expiration of the Confidentiality Agreements.  In connection with
such negotiations, the Company disclosed to the Creditors certain
non-public information, which is posted to the following URLs on
the Company's website (www.tononbioenergia.com.br):

http://www.mzweb.com.br/tononbioenergia/web/download_arquivos.asp?id_arqu
ivo=32DC0223-8CB9-4596-92E2-C16B297FE5DD

http://www.mzweb.com.br/tononbioenergia/web/download_arquivos.asp?id_arqu
ivo=DD1A2EF9-6E65-436D-9639-D8C7750FFA48

http://www.mzweb.com.br/tononbioenergia/web/download_arquivos.asp?id_arqu
ivo=783B86C6-811F-44A8-B5B5-5D81347A3784

At the Company's general meeting of creditors held on
November 25, 2016, the Company and its creditors agreed to
postpone the meeting to approve the restructuring plan in
connection with such possible restructuring.  The meeting is
scheduled to take place on January 23, 2017.  As of the date
hereof, the Company and its creditors are in ongoing discussions
concerning the terms of such possible restructuring.

                         About Tonon

Tonon is a sugar, ethanol and energy producer with operations in
the Southeast and Midwest regions of Brazil.  The Company
cultivates, harvests, purchases and processes sugarcane, from
which it produces very high polarization sugar, or VHP sugar,
granulated refined sugar, anhydrous ethanol and hydrous ethanol
to sell domestically and internationally.  It also provides
sugarcane bagasse by-products in exchange for electricity to
power its industrial operations through co-generation.  It
currently conducts its sugar and ethanol operations through three
mills: (1) Santa Candida, in Bocaina, in the state of Sao Paulo;
(2) Vista Alegre, in Maracaju, in the state of Mato Grosso do
Sul; and (3) Paraiso, in Brotas, in the state of Sao Paulo.


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


ALTAI REGION: Fitch Affirms 'BB+' LT Issuer Default Ratings
-----------------------------------------------------------
Fitch Ratings has affirmed Russian Altai Region's Long-Term
Foreign and Local Currency Issuer Default Ratings (IDRs) at
'BB+', National Long-Term Rating at 'AA(rus)' and its Short-Term
Foreign Currency IDR at 'B'. The Outlooks on the Long-Term IDRs
and National Rating are Stable.

KEY RATING DRIVERS

The 'BB+' ratings reflect the region's stable budgetary
performance, satisfactory liquidity and low indebtedness. The
ratings also take into account the modest size of the region's
economy and weak institutional framework for Russian sub-
nationals.

Fitch projects Altai will maintain stable budgetary performance,
with an operating balance of 7%-9% of operating revenue over the
medium term (2015: 7%). The region posted better-than- expected
interim fiscal performance with an operating margin of 16% at
end-9M16. This was supported by the region's prudent fiscal
management aimed at cost control and by stable flows of current
transfers and tax revenue. "We expect the trend to have extended
into 2016 and to carry over through to 2018. The region posted a
surplus before debt variation of 6.4% of total revenue as of 1
October 2016 (2015: deficit 2.3%), driven mostly by limited opex,
which will be financed later in the year," Fitch said.

"We project Altai will remain prudent and maintain conservative
fiscal practices, leading to a manageable deficit before debt
variation not exceeding 5%-7% of total revenue in 2016-2018. The
region funded 85% of its capex in 2015 with its current balance
and capital revenue. We expect the region's self-financing
capacity on capex to remain sound over the medium term,"Fitch
said.

"We expect Altai's direct risk to remain low in 2016-2018 (less
than 15% of current revenue). Historically the region's debt
position has been small, with subsidised federal budget loans
being the sole debt instrument since 2007," Fitch said.

In the event of debt increase due to the recession in Russia, the
region's debt burden will still be low by national and
international standards, and remain in line with the 'BB+'
ratings. The region's interim direct risk was stable at RUB2.4bn
at end-9M16 (RUB2.4bn in 2015). Altai's cash balances improved as
cash on accounts increased to RUB6.7bn at end-9M16 from RUB2.1bn
in 2015.

The region's contingent liabilities are limited to a single
outstanding guarantee (for a negligible RUB4.7m at end-9M16) and
the low indebtedness of its public-sector companies. In Fitch's
view, the administration's oversight of the regional public
sector companies is adequate, limiting Altai's exposure to
material contingent risk.

The region's credit profile remains constrained by the weak
institutional framework for Russian local and regional
governments (LRGs), which has a shorter record of stable
development than many of their international peers. Weak
institutions lead to lower predictability of Russian LRGs'
budgetary policies, which are subject to continuous reallocation
of revenue and expenditure responsibilities within government
tiers.

Fitch assesses Altai's economy as weak by international standards
due to the region's low economic output per capita. Altai's 2014
gross regional product (GRP) per capita was 35% below the
national median. This is in part due to concessional taxation on
agriculture, which largely relies on in-kind exchanges that are
not captured in tax accounts and official statistics.

Positively, Altai's economy is fairly diversified with low
concentration of tax revenue; the top 10 taxpayers represented
21% of the region's consolidated tax revenue in 2015. According
to the region's administration Altai's GRP is likely to expand
1%-3.6% yoy in 2016-2018, due to expected recovery of the
national economy and growth in the region's prime sectors.

RATING SENSITIVITIES

A downgrade could result from significant deterioration in
operating performance, coupled with a radical increase in the
region's total risk.

Positive rating action is unlikely in our base case scenario,
given the weak economic environment and dim prospects for a swift
recovery in Russia.


CB VEGA-BANK: Put on Provisional Administration, License Revoked
----------------------------------------------------------------
The Bank of Russia, by its Order No. OD-4396, dated December 9,
2016, revoked the banking license of Moscow-based credit
institution Commercial Bank Vega-Bank (Limited Liability Company)
)(CB Vega-Bank LLC) from December 9, 2016, according to the press
service of the Central Bank of Russia.

The Bank of Russia took such an extreme measure -- revocation of
the banking license -- because of the credit institution's
failure to comply with federal banking laws and Bank of Russia
regulations, repeated breaches of Articles 6 and 7 (except for
Clause 3 of Article 7) of Federal Law "On Countering the
Legalisation (Laundering) of Criminally Obtained Incomes and the
Financing of Terrorism", non-compliance with Bank of Russia
regulations related to the said Federal Law and because of the
application of measures envisaged by the Federal Law "On the
Central Bank of the Russian Federation (Bank of Russia)", taking
into account the real threat to the interests of creditors and
depositors.

CB Vega-Bank LLC had low quality assets and inadequately assessed
risks assumed, failed to timely and properly provide information
to the authorised body and thus did not comply with laws and Bank
of Russia regulations on countering the legalisation (laundering)
of criminally obtained incomes and the financing of terrorism.
Moreover, the credit institution was involved in suspicious
operations.

Management and owners of the bank did not take effective measures
to bring its activities back to normal and under such
circumstances the Bank of Russia decided to remove CB Vega-Bank
LLC from the banking market.

The Bank of Russia, by its Order No. OD-4397, dated November 9,
2016, appointed a provisional administration to CB Vega-Bank LLC
for the period until the appointment of a receiver pursuant to
the Federal Law "On Insolvency (Bankruptcy)" or a liquidator
under Article 23.1 of the Federal Law "On Banks and Banking
Activities".  In accordance with federal laws, the powers of the
credit institution's executive bodies are suspended.

CB Vega-Bank LLC is a member of the deposit insurance system. The
revocation of the banking license is an insured event as
stipulated by Federal Law No. 177-FZ "On the Insurance of
Household Deposits with Russian Banks" in respect of the bank's
retail deposit obligations, as defined by law.  The said Federal
Law provides for the payment of indemnities to the bank's
depositors, including individual entrepreneurs, in the amount of
100% of the balance of funds but no more than RUR1.4 million per
depositor.

According to the financial statements, as of November 1, 2016, CB
Vega-Bank LLC ranked 304th by assets in the Russian banking
system.


CHUVASH REPUBLIC: Fitch Affirms BB+ LT Issuer Default Ratings
-------------------------------------------------------------
Fitch Ratings has affirmed Russian Chuvash Republic's (Chuvashia)
Long-Term Foreign and Local Currency Issuer Default Ratings
(IDRs) at 'BB+' and National Long-Term Rating at 'AA(rus)' with
Negative Outlooks, and Short-Term Foreign Currency IDR at 'B'.

The republic's outstanding senior unsecured domestic bond ratings
have been affirmed at 'BB+' and 'AA(rus)'.

The affirmation reflects Fitch's unchanged base case scenario
regarding the republic's satisfactory fiscal performance and
still moderate debt. The Negative Outlook reflects our
expectations that debt metrics will weaken due to growing direct
risk amid continuing budget deficit.

KEY RATING DRIVERS

The 'BB+' rating reflects Chuvashia's moderate, but growing,
direct risk as well as satisfactory, albeit weakened, budgetary
performance compared with the historical average. The ratings
also take into account a well-diversified local economy, which
has decelerated following the national economic downturn, and a
weak institutional framework for Russian sub-nationals.

Fitch expects the republic's direct risk will grow to finance a
continuing budget deficit, to 50% of current revenue in 2017,
which will not be commensurate with the current 'BB+' rating.
However, the adverse effect of this increase is partly mitigated
by the region's material reliance on low-cost budget loans. "We
expect the proportion of budget loans to remain above 50% at end-
2016, versus 62% at end-2015," Fitch said.

Refinancing pressure on the budget will persist over the medium
term, with 78% of direct risk maturing during 2017-2018. In the
near term refinancing needs for 2016 are limited to the repayment
of RUB0.4bn budget loans (4% of total outstanding). Undrawn
credit lines with banks total RUB5bn, which fully cover the
region's refinancing needs for 2016-2017.

Fitch projects the republic's budgetary performance will remain
satisfactory with a 7%-8% operating margin over the medium term,
but below the 13.9% reported in 2013. "We forecast the deficit
before debt variation will narrow to 5% of total revenue in 2016-
2018 from 7.6% in 2015, largely due to capex cuts or postponement
to later periods," Fitch said.

During 9M16 Chuvashia collected 73% of full-year budgeted
revenue, supported by stronger performance of taxpayers in
chemical and financial sectors. Simultaneously, the republic
incurred only 60% of budgeted expenditure, leading to an interim
RUB3.9bn surplus. However, the surplus largely reflects the
delayed execution of capex. "We expect higher spending over 4Q to
result in a full-year deficit of RUB1.9bn, or 5% of the region's
full-year revenue (2015: RUB2.8bn)," Fitch said.

The republic's socio-economic profile is historically weaker than
that of the average Russian region. Its per capita gross regional
product was 35% lower than the national median in 2014. However,
Chuvashia has a diversified industry-oriented economy with a
broad tax base, i.e. the 10 largest taxpayers represent only 23%
of tax proceeds. According to the administration's estimates, the
republic's economy contracted 5.5% in 2015, worse than the 3.7%
fall in national GDP. Fitch expects the Russian economy will
contract 0.4% in 2016, which could negatively impact the
republic's economic prospects.

Russia's institutional framework for sub-nationals is a
constraint on the republic's ratings. It has a shorter record of
stable development than many of its international peers. The
predictability of Russian LRGs' budgetary policy is hampered by
frequent reallocation of revenue and expenditure responsibilities
within government tiers.

RATING SENSITIVITIES

Sharp growth of direct risk to above 50% of current revenue,
coupled with growing refinancing pressure and further
deterioration of operating performance, could lead to a
downgrade.


EVROFINANCE MOSNARBANK: Fitch Affirms 'B+' Long-Term IDRs
---------------------------------------------------------
Fitch Ratings has affirmed Russia-based Evrofinance Mosnarbank's
(EMB) Long-Term Issuer Default Ratings (IDRs) at 'B+'. The
Outlook is Stable.

KEY RATING DRIVERS

The affirmation of EMB's Long-Term IDRs reflects the bank's
stable credit profile over the last 12 months and our expectation
that the negative impact from the economic downturn on the bank's
credit profile will remain limited.

The ratings reflect the standalone profile of EMB, as expressed
by its Viability Rating of 'b+', and do not take into account
potential support from the Russian and Venezuelan authorities.
This is due to continued delays to the ratification of an
intergovernmental agreement, initially signed by Russia (BBB-
/Stable) and Venezuela (CCC) in 2011 to transform the bank into
an international financial institution (IFI), equally owned by
the two governments directly or through government agencies.
Currently, EMB is owned by Gazprombank (BB+/Stable; 25% plus one
share), VTB Bank (25% plus one share) and the National
Development Fund of Venezuela (50% minus two shares).

EMB's ratings are constrained by a limited and concentrated
franchise, moderate profitability, volatile funding and a lack of
a defined alternative strategy in case the transformation plan is
cancelled. At the same time the ratings positively consider EMB's
solid capitalisation, ample liquidity and reasonable asset
quality.

Credit risk stems primarily from EMB's sizeable securities book
(around 58% of assets at end-1H16), loan book (22%) and off-
balance sheet contingencies (14%). These are of mostly reasonable
quality, and Venezuelan exposures (in the form of sovereign and
quasi-sovereign bonds) were a moderate 21% of Fitch Core Capital
(FCC) at end-3Q16.

Fitch estimates that at end-3Q16 around 70% of EMB's securities
book was repo-able with the Central Bank of Russia. Loan book
asset quality has deteriorated sharply, with NPLs and
restructured loans rising to 11% and 30%, respectively, at end-
3Q16 from 2.6% and 6%, respectively, at end-3Q15. Positively,
reserve coverage of NPLs remained sufficient at 1.2x at end-3Q16
(end-3Q15: 1.7x), while solid capital provides a further buffer
and asset quality outside of the loan book is also strong.

EMB's tier 1 and total regulatory capital ratios were a strong
18% and 21%, respectively, at end-3Q16, providing a solid buffer
against market and credit risks. However, since 2013 the bank has
distributed 100% of local GAAP net income as dividends to
shareholders.

EMB's balance sheet has been volatile, driven by sporadic inflows
of large short-term placements by Venezuelan entities, reflecting
the bank's focus on trade finance and settlement operations.
However, these have been prudently covered with liquid assets. At
end-3Q16, EMB's total available liquidity, net of potential debt
repayments within one year, was sufficient to repay a high 82% of
customer accounts.

EMB's 1H16 net interest margin remained broadly unchanged from
2015's levels, at around 6.5%. However the bank's fee and
commission income has declined rather significantly, driven by
the shrinking of its trade finance/settlement business. EMB's
non-interest income continued to decrease to 2% of gross revenues
in 1H16, from 15% in 2015 and 40% in 2014. This, coupled with a
high capital base, translated into a low 2.7% return on equity in
1H16. The recent volatility of EMB's comprehensive income was to
a large extent caused by the performance of Venezuelan and
Russian securities.

EMB's Support Rating of '5' and Support Rating Floor of 'No
Floor' reflect Fitch's view that support from the bank's
shareholders or the Russian/Venezuelan authorities, while
possible, cannot be relied upon.

RATING SENSITIVITIES

Should EMB become an IFI, this would likely lead to an upgrade of
its IDRs, although the level of the ratings would depend on the
ratings of Russia and Venezuela, Fitch's assessment of the bank's
policy role and the extent of the shareholders' capital
commitments.

Capital deterioration as a result of a significant increase in
leverage; a prolonged period of elevated credit losses in excess
of pre-impairment profitability, or contingent risks from the
shareholders would lead to a downgrade.

Upside for EMB's VR is currently limited given the bank's narrow
franchise and moderate performance.

The rating actions are as follows:

   -- Long-Term Foreign and Local Currency IDRs: affirmed at
      'B+'; Outlooks Stable

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

   -- National Long-Term Rating: affirmed at 'A-(rus)'; Outlook
      Stable

   -- Viability Rating: affirmed at 'b+'

   -- Support Rating: affirmed at '5'

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


HMS JSC: Fitch Assigns 'B+' Long Term Issuer Default Ratings
------------------------------------------------------------
Fitch Ratings has assigned Russian pump manufacturer JSC HMS
Group first-time Foreign- and Local-Currency Issuer Default
Ratings (IDRs) of 'B+', and Foreign- and Local-Currency Short-
Term IDRs of 'B'. The Outlook is Stable.

HMS' ratings reflect its relatively weak business profile, with
high geographic concentration and high exposure to investment
levels in the Russian oil and gas (O&G) sectors. The ratings are
further limited by Fitch's expectation of negative free cash flow
for the foreseeable future, due to higher capital expenditure and
continued dividend outflow.

KEY RATING DRIVERS

Strong Undiversified Market Position

HMS is a market leader in Russia (BBB-/Stable) in two of its
three main business segments -- pumps (42% market share), and O&G
equipment (30% market share). The company supplies equipment to
all major Russian O&G companies including Rosneft, Gazprom ('BBB-
'/Stable), Gazprom Neft ('BBB-'/Stable), Transneft and Lukoil
(BBB-/Stable). HMS also has over 5,000 small and medium-sized
clients that together generate about 75% of its revenues from
standard pumps and compressors, which is the company's
sustainable recurring business. The remaining 25% is generated by
large tailor-made integrated products.

Oil Production Resilience Expected

Fitch's base case assumes that Russia's high production will be
maintained despite price fluctuations and that Russia will remain
a key global exporter of crude and oil products. The continued
high production volumes, underpin Fitch's expectations for
continued pump and compressor sales to replace existing, fully
depreciated units. Russia's oil production is at a record high
despite western sectoral and financial sanctions. It averaged
11.2 million barrels of oil equivalent per day in October 2016, a
post-Soviet record, mainly supported by ramping up greenfield
output.

Share of Aftermarket Services Low

HMS' aftermarket maintenance services, which typically provide a
stable income source in a cyclical downturn, contribute a very
low proportion of revenues. This is because customers usually
have their own maintenance service divisions and aftermarket
revenues mainly come from selling spare parts.

Compressor Business More Volatile

Fitch does not expect the higher volatility of compressor sales
to have a major effect on the rating, due to the modest
contribution of this segment to the company's revenues. The
company expects the share of large products in the compressor
segment to increase and drive growth. Fitch expects the
volatility of this business to be high due to high exposure to
large contracts.

No FX Exposure

HMS is not exposed to exchange rate risk, as virtually all its
debt, revenues and costs are denominated in Russian roubles.
However, the company's operations are geographically
concentrated, with the overwhelming majority of its products sold
in Russia.

DERIVATION SUMMARY

HMS' 'B+' IDR reflects its concentrated geographic and industry
exposure and our expectation that the group will remain free cash
flow negative for the foreseeable future. This is offset, in
Fitch's view, by its leading market position in a niche sector
with relatively high barriers to entry, a strong customer base
largely consisting of major Russian O&G companies, its recurring
business and healthy profitability and leverage metrics. "We view
the company's liquidity position as adequate."Fitch said.

KEY ASSUMPTIONS

Fitch's key assumptions within our rating case for the issuer
include:

   -- Moderate revenue growth not exceeding 5% for all segments
      over 2017-2020

   -- EBITDA margin below historical levels, capped at 14%

   -- Capex in line with the company's guidance (about 5% of
      revenues)

   -- Dividend pay-out ratio at 60% of prior-year net income

RATING SENSITIVITIES

Future developments that may, individually or collectively, lead
to positive rating action:

   -- Sustained positive free cash flow generation

   -- FFO adjusted net leverage sustained below 2.5x

   -- FFO fixed-charge coverage sustained above 3.5x

Future developments that may, individually or collectively, lead
to negative rating action:

   -- Continuous failure to secure large integrated projects from
      major Russian O&G companies

   -- FFO-adjusted net leverage sustained above 3.5x

   -- FFO fixed-charge coverage sustained below 2.0x

LIQUIDITY

"We consider HMS' liquidity position adequate. At October 1,
2016, the group had reported cash and short-term deposits of
RUB3bn on its balance sheet against short-term debt of RUB3.2bn,"
Fitch said. Almost all the cash is held in Russian roubles, with
only 4% in Ukrainian hryvnia and Belarusian roubles for use by
local subsidiaries. This is matched with the debt currency, as
over 99% of the debt is held in Russian roubles. HMS had RUB10bn
in available undrawn credit lines from major Russian banks.

At October 1, 2016, the peak in maturities fell on 2017-2018,
with RUB10.3bn to be repaid during this time. The potential local
bond placement of RUB3bn in 2017 (with expected maturity in 2020)
and the ongoing negotiation of loan prolongation will help spread
the maturities more evenly. 'We conservatively forecast that free
cash flow will be negative over the forecast period due to high
capex and dividends. However, we do not think the company will
have any issues refinancing over the medium term," Fitch said.


KAZAN CITY: Fitch Affirms 'BB-' Long Term Issuer Default Ratings
----------------------------------------------------------------
Fitch Ratings has affirmed the Russian City of Kazan's Long-Term
Foreign and Local Currency Issuer Default Ratings (IDRs) at
'BB-', with Stable Outlooks, and Short-Term Foreign Currency IDR
at 'B'. The agency has also affirmed the city's National Long-
Term Rating at 'A+(rus)' with Stable Outlook. The city's
outstanding senior unsecured domestic bonds have been affirmed at
'BB-' and 'A+(rus)'.

The affirmation reflects Fitch's unchanged base case scenario
regarding Kazan's high but stable direct risk, modest operating
performance and a small deficit before debt variation over the
medium term.

KEY RATING DRIVERS

The 'BB-' rating reflects the city's low operating balance, high
level of direct risk, although this is mitigated by its long-term
repayment schedule, and weak institutional framework for Russian
sub-nationals. The rating also considers Kazan's diversified
economy and potential support from the Republic of Tatarstan
(BBB-/Stable).

Fitch forecasts the city's operating balance will consolidate at
about 3% of operating revenue (2015: 2.4%) in 2016-2018 supported
by the administration's cost control measures, while the city's
tax flexibility will remain weak. "We expect a moderate
improvement of the current balance to close to zero after
negative 0.6% in 2015 due to declining interest payments
following the reduction of interest rates on budget loans to 0.1%
from 0.5% from 2016 onwards," Fitch said.

In 10M16, the city recorded an intra-year RUB1.4bn surplus, which
resulted from the collection of 78% of budgeted full-year revenue
upon incurring 68% of expenditure. "We expect expenditure to
surge in November - December and project a deficit before debt
variation at 1.5% of total revenue in 2016, close to its 0.6%
average in 2014-2015," Fitch said.

"We expect the city will record a close to balance budget over
the medium term as Kazan is restricted from making new market
borrowings (bank loans and bonds) other than for refinancing
needs. We therefore project the direct debt to stabilise at
RUB4.8bn in 2016-2018, equal to 20%-25% of current revenue and
expect that the deficit, if any, will likely to be funded by the
city's cash balance (2015: RUB1.1bn)," Fitch said.

Under Fitch's base case scenario, direct risk will amount to
RUB30bn in 2016-2018 and relative to current revenue it will
decline towards 135% in 2018 from 154% in 2015. Around 85% of
direct risk relates to RUB25.1bn low-cost budget loans from
Tatarstan, which were allocated to infrastructure development in
preparation for Universiade 2013. The high debt is mitigated by
the city's long-term maturity profile with a grace period until
2023 and principal amortisation in 10 annual instalments to 2032.
In 10M16, the city had repaid RUB302m of the budget loan ahead of
schedule.

Kazan is the capital of Tatarstan, one of the most developed
Russian regions. The city's economy is diversified and has a
developed industrial sector. The latter is dominated by
petrochemicals, machine-building and food processing. The
administration estimates the city's economy will remain stagnant
in 2016 and will return to marginal 1%-2% annual growth in 2017-
2018.

The city's credit profile remains constrained by the weak
institutional framework for Russian LRGs, which has a shorter
record of stable development than many of its international
peers. The predictability of Russian LRGs' budgetary policy is
hampered by frequent reallocation of revenue and expenditure
responsibilities within tiers of government.

RATING SENSITIVITIES

A gradual decline of direct risk relative to current revenue,
accompanied by an improving operating balance to around 7% of
operating revenue, could lead to an upgrade.

An increase in direct debt to above 50% of current revenue or a
weakening of the operating balance towards zero could lead to a
downgrade


KRASNODAR REGION: Fitch Affirms 'BB' LT Issuer Default Ratings
--------------------------------------------------------------
Fitch Ratings has affirmed Russian Krasnodar Region's Long-Term
Foreign and Local Currency Issuer Default Ratings (IDRs) at 'BB'
and National Long-Term rating at 'AA-(rus)' with Stable Outlooks.
The Short-Term Foreign Currency IDR has been affirmed at 'B'. The
region's outstanding senior unsecured domestic bonds have also
been affirmed at 'BB' and 'AA-(rus)'.

The affirmation reflects unchanged Fitch's base case scenario
regarding stabilisation of the region's net overall risk and
sustainably positive current balance over the medium term.

KEY RATING DRIVERS

The 'BB' rating reflects Krasnodar's high direct risk, which is
mitigated by a high proportion of long-term low cost budget
loans, adequate fiscal performance and a well-diversified
economy. The ratings also consider the region's material
contingent risk stemming from its large public sector and the
weak institutional framework for Russian sub-nationals.

Fitch projects Krasnodar's operating performance will improve to
8% of operating revenue in 2016-2018 (2015: 4%) driven by
moderate growth of tax revenues amid the administration's
measures aimed at slowing down operating expenditure. "We
estimate tax revenue will grow 9% in 2016 (2015: 0.7%) supported
by the region's developing tax base and restored corporate income
tax. We forecast operating balance will be sufficient to cover
interest payments by 2.5x over the medium term (2013-2015:
average 1x)," Fitch said.

In 10M16, the region's revenue collection was in line with our
expectation. Krasnodar has collected 83% of full-year budgeted
revenue while a material amount of expenditure was postponed to
November-December, resulting in an intra-year surplus of RUB8.4bn
(2015: deficit before debt RUB12.2bn). Fitch projects the full-
year deficit before debt variation will amount to 3% of total
revenue in 2016-2018, which is significantly below the average
15% in 2013-2015, when Krasnodar incurred high capex related to
infrastructure investments for the 2014 Winter Olympic Games.

Fitch projects net overall risk to remain high at 90% of current
revenue over the medium term. At end-October 2016, direct risk
amounted to RUB135bn, slightly up from RUB133.8bn at end-2015.
About 40% of the risk was budget loans linked to the Olympics
financing. They bear a 0.1% interest rate and mature in 2023-
2034, which reduces annual debt service and eases refinancing
pressure on the budget. Additionally Krasnodar is exposed to
material contingent risk stemming from its PSEs' debt, which is
estimated by Fitch at RUB25.4bn at end-2015, including RUB11.5bn
guaranteed debt of the Olympics developer NPJSC Centre Omega.

Like most Russian regions, Krasnodar is exposed to refinancing
risk as maturities of its bank loans and bonds totalling
RUB70.9bn (52% of the risk) are concentrated between 2016 and
2019. Fitch expects Krasnodar will fund its refinancing needs by
bank loans and bond issues as the region will continue to have
fair access to capital market over the medium term.

Fitch views Russia's weak institutional framework for local and
regional governments (LRGs) as a constraining factor on the
region's ratings. It has a short track record of stable
development compared with many of its international peers.
Unstable intergovernmental set-up leads to lower predictability
of LRGs' budgetary policies and negatively affects the region's
forecasting ability, and debt and investment management.

Krasnodar region's economy is diversified, providing a broad tax
base. Krasnodar is among the top five Russian regions by gross
regional product (GRP) and population, and its GRP per capita is
13% above the national median (2014). Krasnodar's administration
expects GRP will grow by 0.9% in 2016, 1.7% in 2017 and 3.5%-4.8%
in 2018-2019 supported by developing processing industries and
agricultural sector.

RATING SENSITIVITIES

A strong operating balance of about 10% of operating revenue on a
sustained basis accompanied by a reduction of net overall risk
towards 60% of current revenue (2015: 90%) could lead to positive
rating action.

Consistently weak operating balance insufficient to cover
interest expense or inability to maintain the net overall risk to
current revenue below 100% would lead to negative rating action.


M2M PRIVATE: Put on Provisional Administration, License Revoked
---------------------------------------------------------------
The Bank of Russia, by its Order No. OD-4398, dated December 9,
2016, revoked the banking license of Moscow-based credit
institution Public Joint-Stock Company M2M Private Bank (PJSC M2M
Private Bank) from December 9, 2016, according to the press
service of the Central Bank of Russia.

The Bank of Russia took such an extreme measure -- revocation of
the banking license -- because of the credit institution's
failure to comply with federal banking laws and Bank of Russia
regulations, failure to satisfy creditors' claims on financial
liabilities and the repeated application of measures envisaged by
the Federal Law "On the Central Bank of the Russian Federation
(Bank of Russia)" over the year.

PJSC M2M Private Bank placed funds in low quality assets and did
not establish reserves adequate to the risks assumed.  Due to the
low quality of assets, the credit institution failed to fulfill
its liabilities to creditors and under such circumstances, in
accordance with Article 20 of the Federal Law "On Banks and
Banking Activities", the Bank of Russia performed its duty and
revoked the banking license.

The Bank of Russia, by its Order No. OD-4399, dated December 9,
2016, appointed a provisional administration to PJSC M2M Private
Bank for the period until the appointment of a receiver pursuant
to the Federal Law "On Insolvency (Bankruptcy)" or a liquidator
under Article 23.1 of the Federal Law "On Banks and Banking
Activities".  In accordance with federal laws, the powers of the
credit institution's executive bodies are suspended.

PJSC M2M Private Bank is a member of the deposit insurance
system.  The revocation of the banking license is an insured
event as stipulated by Federal Law No. 177-FZ "On the Insurance
of Household Deposits with Russian Banks" in respect of the
bank's retail deposit obligations, as defined by law.  The said
Federal Law provides for the payment of indemnities to the bank's
depositors, including individual entrepreneurs, in the amount of
100% of the balance of funds but not more than RUR1.4 million per
depositor.  State Corporation Deposit Insurance Agency offers
coverage in the amount of approximately 800 million rubles.

According to the financial statements, as of November 1, 2016,
PJSC M2M Private Bank ranked 164th by assets in the Russian
banking system.

PJSC Asian-Pacific Bank has owned 100% of PJSC M2M Private Bank's
shares since July 2016 and has supported it by providing
liquidity.  In October 2016, the Bank of Russia placed
restrictions on lending to PJSC M2M Private Bank by PJSC Asian-
Pacific Bank and stopped further spending of the capital and
liquidity of the latter.  By doing so, the Bank of Russia put an
end to the PJSC Asian-Pacific Bank's spending on the support of
PJSC M2M Private Bank, averted the threat to financial stability
of the parent bank and improved the protection of its creditors
and depositors.


ROSENERGOBANK: Moody's Reviews B3 Deposit Ratings for Downgrade
---------------------------------------------------------------
Moody's Investors Service has placed on review for downgrade
Rosenergobank's B3 long-term local- and foreign-currency deposit
ratings.  The bank's baseline credit assessment (BCA) and
adjusted BCA of b3 and its long-term Counterparty Risk Assessment
(CR Assessment) of B2(cr) were also placed on review for
downgrade. Simultaneously, Moody's has affirmed Rosenergobank's
Not-Prime short-term local-currency and foreign-currency deposit
ratings, as well as its short-term CR Assessment of Not-
Prime(cr).

Moody's rating action is primarily based on Rosenergobank's
audited financial statements for 2015 prepared under
International Financial Reporting Standards (IFRS), its unaudited
financial statements for 2016 year to date prepared under local
GAAP, as well as information received from the bank management.

                        RATINGS RATIONALE

The review of Rosenergobank's ratings is primarily driven by the
bank's weakened liquidity position observed over 2016, as well as
the deterioration of the bank's asset quality, as reflected in
the large proportion of renegotiated loans.  The rating agency
expects to complete its review of Rosenergobank's ratings over
the next three months.

Rosenergobank's liquidity cushion (mainly formed by cash and cash
equivalents, accounts "due from banks" and unpledged securities)
has been on a gradual declining trend over 2016 and stands at low
5% of the bank's total assets at Dec. 1, 2016, compared to
approximately 20% reported at Jan. 1, 2016.  This trend reflects
the bank's gross loan book growth by 14% in 2016, whereas the
bank's customer funding base shrank by 3% over the same period.
Although Rosenergobank contemplates augmenting its liquidity
cushion in the next few months, Moody's notes the execution risks
and potential incremental costs associated with this plan, since
the bank is likely to compete for depositor funding by higher
deposit rates, to the detriment of its already weak profit
generation.

Rosenergobank's asset quality has weakened -- according to the
bank's latest available audited IFRS report, as of the beginning
of 2016, the proportion of renegotiated loans stood at 26.9% of
its total gross loans, in addition to the 7.1% ratio of problem
loans (defined by Moody's as individually impaired loans and
loans overdue by more than one month).  According to
Rosenergobank's local GAAP accounts, its credit losses (defined
as loan loss provisions as a percentage of average gross loans)
stood high at 7.3% (annualized) in the nine months of 2016, and
the rating agency anticipates the likelihood of the heightened
provisioning charges protracting into 2017.

More positively, Rosenergobank's loss-absorbing capital buffer
has somewhat improved following the conversion -- in September
2016 -- of subordinated loans for the total amount of RUB1.5
billion into common equity Tier 1 (CET1) capital.  As a result,
at 1 December 2016, the bank's regulatory CET1 and total capital
adequacy ratios stood at 6.9% and 15.1%, whereas the regulatory
minimum levels are 4.5% and 8%, respectively.

                WHAT COULD MOVE THE RATINGS DOWN / UP

Rosenergobank's ratings could be downgraded if the bank is unable
to substantially improve its liquidity cushion over the review
period, i.e. within the next three months.  Further deterioration
of Rosenergobank's asset quality, resulting in high credit losses
and rapid capital erosion, could be another driver for the bank's
ratings downgrade.

Rosenergobank's ratings have low upward potential, given the
review for downgrade initiated by Moody's.  A confirmation of the
bank's ratings at their current levels would require a
substantial strengthening of the bank's liquidity position over
the next three months.

                       PRINCIPAL METHODOLOGY

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

Headquartered in Moscow, Russia, Rosenergobank reported total
assets of RUB61.2 billion and total equity of RUB9.6 billion
under audited IFRS as of Jan. 1, 2016.  The bank's net IFRS loss
for 2015 stood at RUB329 million.


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


AYT CAIXA I: Fitch Places 'BB-sf' Rating on Class C Notes on RWE
----------------------------------------------------------------
Fitch Ratings has placed AyT Caixa Sabadell Hipotecario I on
Rating Watch Evolving (RWE). The rating actions are as follows:

Class A (ES0312192000) 'A-sf'; placed on RWE
Class B (ES0312192018) 'BBB-sf'; placed on RWE
Class C (ES0312192026) 'BB-sf'; placed on RWE
Class D (ES0312192034) 'CCCsf'; Recovery Estimate 60%; placed on
RWE

The Spanish prime RMBS transaction comprises loans initially
originated by Caixa Sabadell, which is now part of Banco Bilbao
Vizcaya Argentaria (BBVA; A-/Stable/F2).

KEY RATING DRIVERS

Insufficient Collateral Information

As information on borrower and loan characteristics was not
available on a loan-by-loan basis for this review, Fitch was
unable to conduct a full rating assessment that would properly
reflect the credit risk associated with this transaction. Fitch
has therefore placed the entire capital structure on RWE.

Fitch has requested the missing information from Sociedad Gestora
Haya Ttitulizacion, SGFT, S.A. Once received, Fitch will analyse
the quality of the data provided and determine if it is robust to
conduct a full rating analysis.

RATING SENSITIVITIES

Depending on the quality of the information provided Fitch may
upgrade, downgrade or affirm the ratings. If no further or
incomplete information is provided Fitch may withdraw the ratings
due to lack of data.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch 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. The findings are reflected in Fitch's
decision to place the notes on RWE. 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 pools 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, and together with the assumptions referred to above,
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

Issuer and servicer reports provided by:

   -- Haya Titulizacion, SGFT, S.A. since close to November 2016

MODELS

No models were used on this review


FT SANTANDER CONSUMER 2016-2: Moody's Rates Class E Notes Ba1
-------------------------------------------------------------
Moody's Investors Service has assigned these definitive ratings
to the debt issued by Fondo De Titulizacion Santander Consumer
Spain Auto 2016-2:

  EUR552.4 mil. Class A Notes due September 2033, Definitive
   Rating Assigned Aa2(sf)

  EUR26.0 mil. Class B Notes due September 2033, Definitive
   Rating Assigned A2(sf)

  EUR35.8 mil. Class C Notes due September 2033, Definitive
   Rating Assigned Baa1(sf)

  EUR19.5 mil. Class D Notes due September 2033, Definitive
   Rating Assigned Baa3(sf)

  EUR16.3 mil. Class E Notes due September 2033, Definitive
   Rating Assigned Ba1(sf)

Moody's did not assign a rating to the EUR 13.0 mil. Class F
Notes which were issued at the same time.

                          RATINGS RATIONALE

FT Santander Consumer Spain Auto 2016-2 is a 4 year revolving
securitisation of auto loans granted by Santander Consumer,
E.F.C., S.A., 100% owned by Santander Consumer Finance S.A.
(A3/P-2 Bank Deposits; A3(cr)/P-2(cr)), to private and corporate
obligors in Spain.  Santander Consumer is acting as originator
and servicer of the loans while Santander de Titulizacion
S.G.F.T., S.A. (NR) is the management company (Gestora).

As at Nov. 3, 2016, the eligible portfolio consisted of 61,306
auto loans granted to Spanish obligors, 96.72% of whom were
private individuals.  The weighted average seasoning of the
portfolio was 5.53 months and its weighted average remaining term
was 65.97 months.  A majority (77.96%) of the loans were
originated to purchase new vehicles, while the remaining 22.04%
were used to purchase used vehicles.  Geographically, the pool is
concentrated mostly in Andalucia (19.54%), Madrid (15.71%) and
Catalonia (15.23%).  The portfolio, as at its cut-off date, did
not include any loans in arrears.  The definitive pool was
selected at random from the eligible pool and had an outstanding
pool balance of EUR650 million.

Moody's analysis focused, amongst other factors, on (i) an
evaluation of the underlying portfolio of loans; (ii) the
historical performance information of the originator's total loan
book and its past ABS transactions; (iii) the credit enhancement
provided by subordination, excess spread and the non-amortising
reserve fund; (iv) the liquidity support available in the
transaction, by way of the liquidity reserve, the principal to
pay interest, and the reserve fund; (v) the commingling reserve
provisions, which substantially mitigate commingling risk; (vi)
the exposure to the issuer's account bank; (vii) the potential
set-off risk related to insurance contracts and (viii) the
overall legal and structural integrity of the transaction.

According to Moody's, the transaction benefits from several
credit strengths such as the granularity of the portfolio, the
securitisation experience of Santander Consumer, significant
excess spread arising from the securitised portfolio and the
sequential amortization on the notes during the amortization
period.  Moody's, however, believes that the transaction has
certain credit weaknesses, such as the relatively high linkage to
the unrated originator and servicer, the exposure to relatively
large cash amounts deposited at the account bank and the
potential set-off risk related to insurance contracts.  Moody's
also took into account the worse than expected performance of
some Auto ABS in Spain and the performance of the previous
Santander Auto ABS transactions.  These characteristics, amongst
others, were considered in Moody's analysis and ratings.

The credit linkage to an unrated originator and servicer is
partially mitigated by the Santander Consumer's requirement to
fund a 1% liquidity reserve if the Parent's rating is downgraded
below Baa2 or below P-2, or if the Parent's ownership of
Santander Consumer drops below 95%.  In addition, both the Parent
and the Management Company will act as back-up servicer
facilitators.

The transaction has medium linkage to the account bank, Santander
Consumer Finance S.A. (A3/P-2 Bank Deposits; A3(cr)/P-2(cr)),
which can hold significant amounts of cash due to certain
structural features, including the 2.0% non amortising reserve
fund, the ability to hold up to 5% of the outstanding balances of
Class A through E in non-reinvested principal cash-flows during
the revolving period and the quarterly payment dates.  The
minimum required rating for the issuer account bank is Baa2/P-2.
Moody's has assessed the impact of a default of the issuer
account bank on the ratings of the transaction.

Set-off risk could arise if insurance policies signed together
with the loan contract are not honored in the event of a default
of the insurance provider, also part of the Santander group, and
a default of the originator.  In such a scenario, borrowers may
be able to set-off the unused premium amount, which has been paid
up front, against the outstanding loan.  In the portfolio, 97.33%
of the receivables have at least one insurance policy connected
to the loan contract and 7.86% have more than one insurance
policy. Due to legal uncertainty, Moody's has taken this risk
into account in the quantitative analysis.

                        MAIN MODEL ASSUMPTIONS

Moody's assumed lifetime expected defaults of 5%, expected
recoveries of 30% and a Aa2 portfolio credit enhancement (PCE) of
16.00% related to each pool of borrower receivables.  The
expected defaults and recoveries capture our expectations of
performance considering the current economic outlook, while the
PCE captures the loss Moody's expects the portfolio to suffer in
the event of a severe recession scenario.  Expected defaults and
PCE are parameters used by Moody's to calibrate its lognormal
portfolio loss distribution curve and to associate a probability
with each potential future loss scenario in the ABSROM cash flow
model to rate Auto ABS.

Portfolio expected defaults of 5% are higher than the EMEA auto
loan ABS average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account (i)
historic performance of the loan book of the originator, (ii)
benchmark transactions, and (iii) other qualitative
considerations.

Portfolio expected recoveries of 30% are lower than the EMEA auto
loan ABS average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account (i)
historic performance of the loan book of the originator, (ii)
benchmark transactions, and (iii) other qualitative
considerations.

A PCE of 16.00% is higher than the EMEA auto loan ABS average but
in line with Spanish auto loan ABS transactions.  The PCE level
of 16.00% results in an implied coefficient of variation ("CoV")
of 60.7%.  The Spanish country ceiling is Aa2, and is therefore
the maximum rating that Moody's will assign to a domestic Spanish
issuer including structured finance transactions backed by
Spanish receivables.  The portfolio credit enhancement represents
the required credit enhancement under the senior tranche for it
to achieve the country ceiling.  The methodology alters the loss
distribution curve and implies an increased probability of high
loss scenarios.

Under the methodology incorporating sovereign risk on ABS
transactions, loss distribution volatility increases to capture
increased sovereign-related risks.  Given the expected loss of a
portfolio and the shape of the loss distribution, the combination
of the highest achievable rating in a country for SF and the
applicable credit enhancement for this rating uniquely determine
the volatility of the portfolio distribution, which is typically
measured as the coefficient of variation (COV) for ABS
transactions.  All things equal, a higher applicable CE for a
given rating ceiling or a lower rating ceiling with the same
applicable CE both translate into a higher COV.

As a result, the standard deviation of the default distribution
has been initially defined following analysis of the historical
data, as well as by benchmarking this portfolio with past and
similar transactions and the sovereign-related risk impact.

                           METHODOLOGY

The principal methodology used in these ratings was Moody's
Global Approach to Rating Auto Loan- and Lease-Backed ABS,
published in October 2016.

The ratings address the expected loss posed to investors by the
legal final maturity of the notes.  In Moody's opinion, the
structure allows for timely payment of interest and ultimate
payment of principal with respect to the Class A Notes, Class B
Notes, Class C Notes, Class D Notes and Class E Notes by the
legal final maturity.  Moody's ratings address only the credit
risks associated with the transaction.  Other non-credit risks
have not been addressed but may have a significant effect on
yield to investors.

Provisional ratings were assigned on Dec. 2, 2016.

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

Factors that may cause an upgrade of the ratings include
significantly better than expected performance of the pool
together with an increase in credit enhancement of the notes and
an upgrade of Spain's local country currency (LCC) rating.

Factors that may cause a downgrade of the ratings include a
decline in the overall performance of the pool or a downgrade of
Spain's local country currency (LCC) rating.

                     LOSS AND CASH FLOW ANALYSIS

In rating this transaction, Moody's used ABSROM to model the cash
flows and determine the loss for each tranche of notes.  The cash
flow model evaluates all default scenarios that are then weighted
considering the probabilities of the lognormal distribution
assumed for the portfolio default rate.  In each default
scenario, the corresponding loss for each class of notes is
calculated given the incoming cash flows from the assets and the
outgoing payments to third parties and noteholders.  Therefore,
the expected loss or EL for each tranche is the sum product of
(i) the probability of occurrence of each default scenario; and
(ii) the loss derived from the cash flow model in each default
scenario for each tranche.  Therefore, Moody's analysis
encompasses the assessment of stress scenarios.

                        STRESS SCENARIOS

Moody's Parameter Sensitivities: Moody's principal portfolio
model inputs are Moody's cumulative default rate assumption and
the recovery rate.  Moody's tested various scenarios derived from
different combinations of mean default rate (i.e. adding a stress
on the expected average portfolio quality) and recovery rate.
For example, Moody's tested for the mean default rate: 5.0% as
base case ranging to 6.0% and for the recovery rate: 30.0% as
base case ranging to 20.0%.  At the time the rating was assigned,
the model output indicated that Class A would have achieved Aa3
output even if the cumulative mean default probability (DP) had
been as high as 6.0%, and the recovery rate as low as 20.0% (all
other factors being constant).  Moody's Parameter Sensitivities
provide a quantitative / model-indicated calculation of the
number of rating notches that a Moody's-rated structured finance
security may vary if certain input parameters would change.  The
analysis assumes that the deal has not aged.  It is not intended
to measure how the rating of the security might migrate over
time, but rather, how the initial rating of the security might
have differed if the two parameters within a given sector that
have the greatest rating impact were varied.


FT SANTANDER CONSUMER 2016-2: Fitch Rates Class E Notes 'BB-sf'
---------------------------------------------------------------
Fitch Ratings has assigned FT Santander Consumer Spain Auto
2016-2's asset-backed fixed-rate notes, due on September 2033,
final ratings as follows:

   -- EUR552.4m class A notes: 'AAsf'; Outlook Stable

   -- EUR26m class B notes: 'A+sf'; Outlook Stable

   -- EUR35.8m class C notes: 'BBBsf'; Outlook Stable

   -- EUR19.5m class D notes: 'BB+sf'; Outlook Stable

   -- EUR16.3m class E notes: 'BB-sf'; Outlook Stable

   -- EUR13m class F notes: not rated

This securitisation of auto loans is the 12th transaction
originated in Spain by Santander Consumer EFC SA (Santander
Consumer), a wholly-owned and fully integrated subsidiary of
Santander Consumer Finance (A-/Stable/F2), whose ultimate parent
is Banco Santander S.A. (A-/Stable/F2).

The rating addresses the timely payment of interest and the
ultimate payment of principal on the notes in accordance with the
terms and conditions of the notes.

KEY RATING DRIVERS

Long Revolving Period

Santander Consumer Finance Auto Spain 2016-2 has a four-year
revolving period, which is longer than most auto loan
securitisation transactions in Europe. The purchase of new
eligible assets by the SPV is subject to early amortisation
events linked to performance triggers, as well as limits on
portfolio characteristics such as a 30% maximum weight of loans
granted to finance used car acquisition. Fitch has incorporated
the increased risk of the long revolving period in the selection
of high default multiples in stress scenarios (eg. 6x for
'AA+sf').

The high default multiples also take into account that the
delinquency early amortisation trigger, which has been defined at
3.35% of the portfolio outstanding balance, is viewed by Fitch to
permit considerable deterioration of the portfolio quality.

Robust Performance

Spanish auto loans originated by Santander Consumer are
displaying a healthy performance mainly due to tighter
underwriting standards since 2009 and a recent improvement in the
economic environment. For example, the average delinquency ratio
of Santander Consumer auto transactions has ranged from 0.4% to
1% since 2010.

Credit Loss Assumptions

Fitch has analysed the assets based on two sub-pools with
different risks, being new and used cars. The aggregate worst
case (WC) portfolio base case lifetime default and recovery rate
assumed is 4.5% and 35.1% respectively, leading to a base case
loss expectation of 2.9%. The WC portfolio consists of 70% and
30% loans for new and used vehicle acquisition respectively in
accordance with the transaction's revolving covenants.

No Interest Rate Risk

The transaction is not exposed to interest rate risk since the
notes and the collateral are both linked to fixed interest rates.

RATING SENSITIVITIES

Unexpected increases in the default rate and loss severity on
defaulted loans could produce loss levels greater than the base
case and could result in negative rating actions on the notes.

Rating Sensitivity to Increased Default Rate (DR) Assumptions
Classes A, B, C, D and E notes

   -- Current default rate base case:
      'AAsf'/'A+sf'/'BBBsf'/'BB+sf'/'BB-sf'

   -- Increase DR base case by 15%: 'A+sf'/'Asf'/'BBB-
      sf'/'BBsf'/'B+sf'

   -- Increase DR base case by 30%: 'Asf'/'BBB+sf'/'BB+sf'/'BB-
      sf'/'Bsf'

Rating Sensitivity to Reduced Recovery Rate (RR) Assumptions
Classes A, B, C, D and E notes

   -- Current recovery rate base case:
      'AAsf'/'A+sf'/'BBBsf'/'BB+sf'/'BB-sf'

   -- Reduce RR base case by 15%: 'AA-
      sf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'

   -- Reduce RR base case by 30%: 'AA-
      sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'

Rating Sensitivity to Multiple Factors Classes A, B, C, D and E
notes

   -- Current base case assumptions:
      'AAsf'/'A+sf'/'BBBsf'/'BB+sf'/'BB-sf'

   -- Increase DR base case by 15%, reduce RR base case by 15%:
      'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'Bsf'

   -- Increase DR base case by 30%, reduce RR base case by 30%:
      'Asf'/'BBB+sf'/'BB+sf'/'B+sf'/'B-sf'

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

Fitch reviewed the results of a third party assessment conducted
on the asset portfolio information, and concluded that there were
no findings that affected the rating analysis.
Fitch conducted a review of a small targeted sample of Santander
Consumer's origination files and found the information contained
in the reviewed files to be adequately consistent with the
originator's policies and practices and the other information
provided to the agency about the asset portfolio.
Overall and together with the assumptions referred to above,
Fitch's assessment of the asset pool 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.

   -- Loan-by-loan data provided by Santander Consumer as at 3
      November 2016

   -- Historical performance data provided by Santander Consumer
      on delinquencies, defaults, recoveries and prepayments up
      to June 2016

MODEL

The model below was used in the analysis. Click on the link for a
description of the model.
EMEA Cash Flow Model

REPRESENTATIONS AND WARRANTIES

A description of the transaction's representations, warranties
and enforcement mechanisms ("RW&Es") that are disclosed in the
offering document and which relate to the underlying asset pool
will be available by accessing the appendix that will accompany
the new issue report. The appendix will also contain a comparison
of these RW&Es to those Fitch considers typical for the asset
class as detailed in the Special Report titled "Representations,
Warranties and Enforcement Mechanisms in Global Structured
Finance Transactions," dated June 15, 2015.


FT SANTANDER CONSUMO 2: Moody's Assigns B3 Rating to Cl. F Notes
----------------------------------------------------------------
Moody's Investors Service has assigned these definitive ratings
to the debt issued by Fondo De Titulizacion Santander Consumo 2:

  EUR865.0 mil. Class A Notes due April 2031, Definitive Rating
   Assigned Aa2 (sf)

  EUR50.0 mil. Class B Notes due April 2031, Definitive Rating
   Assigned A3 (sf)

  EUR50.0 mil. Class C Notes due April 2031, Definitive Rating
   Assigned Baa3 (sf)

  EUR20.0 mil. Class D Notes due April 2031, Definitive Rating
   Assigned Ba2 (sf)

  EUR15.0 mil. Class E Notes due April 2031, Definitive Rating
   Assigned Ba3 (sf)

  EUR15.0 mil. Class F Notes due April 2031, Definitive Rating
   Assigned B3 (sf)

                         RATINGS RATIONALE

FT SANTANDER CONSUMO 2 is a 28 month revolving securitisation of
consumer loans granted by Banco Santander S.A. (Spain)
(Santander), (A3/P-2 Bank Deposits; A3(cr)/P-2(cr)), to private
obligors in Spain.  Santander is acting as originator and
servicer of the loans while Santander de Titulizacion S.G.F.T.,
S.A. (NR) is the Management Company.

As of Oct. 25, 2016, the eligible portfolio was composed of
149,976 consumer loans granted to private obligors located in
Spain, 91.84% of the loans are paying fixed rate.  The weighted
average seasoning of the portfolio is 21 months and its weighted
average remaining term is 50 months.  Around 35% of the
outstanding portfolio are loans without specific loan purpose and
28% are loans to finance small consumer expenditures.
Geographically, the pool is concentrated mostly in Madrid
(20.05%), AndalucĀ°a (17.65%) and Catalonia (11.50%).  The
portfolio, as of its pool cut-off date, did include around 2.84%
of loans with less than 30 days in arrears.

Moody's analysis focused, amongst other factors, on, (i) an
evaluation of the underlying portfolio of loans at closing and
incremental risk due to loans being added during the revolving
period; (ii) the historical performance information of the total
book and past ABS transactions; (iii) the credit enhancement
provided by the subordination, the excess spread and the cash
reserve; (iv) the liquidity support available in the transaction,
by way of principal to pay interest, and the cash reserve; (v)
the cash sweeping mechanism, which partially mitigates
commingling risk; (vi) the exposure to the issuer's account bank;
(vii) the set-off risk related to insurance contracts and (viii)
the overall legal and structural integrity of the transaction.

According to Moody's, the transaction benefits from several
credit strengths such as the granularity of the portfolio,
securitisation experience of Santander, significant excess spread
and the sequential amortisation on the notes during the
amortisation period.  Moody's, however, notes that the
transaction features a number of credit weaknesses, such as the
relatively high linkage to Santander representing the originator,
servicer and paying agent, and the set-off risk related to
insurance contracts. Moody's also took into account the
performance of other consumer loan ABS in Spain and the positive
selection of consumer loans in this portfolio not being
originated through brokers.  These characteristics, amongst
others, were considered in Moody's analysis and ratings.

                       MAIN MODEL ASSUMPTIONS

Moody's determined the portfolio lifetime expected defaults of
5.50%, expected recoveries of 25% and Aa2 portfolio credit
enhancement (PCE) of 18.00% related to borrower receivables.  The
expected defaults and recoveries capture our expectations of
performance considering the current economic outlook, while the
PCE captures the loss Moody's expects the portfolio to suffer in
the event of a severe recession scenario.  Expected defaults and
PCE are parameters used by Moody's to calibrate its lognormal
portfolio loss distribution curve and to associate a probability
with each potential future loss scenario in the ABSROM cash flow
model to rate Auto ABS.

Portfolio expected defaults of 5.50% are lower than the EMEA
Consumer Loan ABS average and are based on Moody's assessment of
the lifetime expectation for the pool taking into account (i)
historic performance of the loan book of the originator, (ii)
higher quality products i.e. pre-approved loans being originated
through Santander branches directly instead of through brokers,
(iii) benchmark transactions, and (iv) other qualitative
considerations.

Portfolio expected recoveries of 25% are higher than the EMEA
Consumer Loan ABS average and are based on Moody's assessment of
the lifetime expectation for the pool taking into account (i)
historic performance of the loan book of the originator, (ii)
benchmark transactions, and (iii) other qualitative
considerations.

PCE of 18.00% is higher than the EMEA Consumer Loan ABS average
but in line with Spanish Consumer Loan ABS transactions.  The PCE
level of 18.00% results in an implied coefficient of variation
("CoV") of 53.21%.

The Spanish country ceiling is Aa2, and is therefore the maximum
rating that Moody's will assign to a domestic Spanish issuer
including structured finance transactions backed by Spanish
receivables.  The portfolio credit enhancement represents the
required credit enhancement under the senior tranche for it to
achieve the country ceiling.  The methodology alters the loss
distribution curve and implies an increased probability of high
loss scenarios.

Under the methodology incorporating sovereign risk on ABS
transactions, loss distribution volatility increases to capture
increased sovereign-related risks.  Given the expected loss of a
portfolio and the shape of the loss distribution, the combination
of the highest achievable rating in a country for SF and the
applicable credit enhancement for this rating uniquely determine
the volatility of the portfolio distribution, which is typically
measured as the coefficient of variation (COV) for ABS
transactions.  All things equal, a higher applicable CE for a
given rating ceiling or a lower rating ceiling with the same
applicable CE both translate into a higher COV.

As a result, the standard deviation of the default distribution
has been initially defined following analysis of the historical
data, as well as by benchmarking this portfolio with past and
similar transactions and the sovereign-related risk impact.

                            METHODOLOGY

The principal methodology used in these ratings was Moody's
Approach to Rating Consumer Loan-Backed ABS, published in
September 2015.

The ratings address the expected loss posed to investors by the
legal final maturity of the notes.  In Moody's opinion, the
structure allows for timely payment of interest and ultimate
payment of principal with respect to the Class A, Class B, Class
C, Class D and Class E notes and ultimate payment of interest and
principal on the Class F notes by the legal final maturity.
Moody's ratings address only the credit risks associated with the
transaction.  Other non-credit risks have not been addressed but
may have a significant effect on yield to investors.

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

Factors that may cause an upgrade of the ratings include a
significantly better than expected performance of the pool
together with an increase in credit enhancement of the notes and
an upgrade of Spain's local country currency (LCC) rating.

Factors that may cause a downgrade of the ratings include a
decline in the overall performance of the pool or a downgrade of
Spain's local country currency (LCC) rating.

LOSS AND CASH FLOW ANALYSIS:

In rating this transaction, Moody's used ABSROM to model the cash
flows and determine the loss for each tranche.  The cash flow
model evaluates all default scenarios that are then weighted
considering the probabilities of the lognormal distribution
assumed for the portfolio default rate.  In each default
scenario, the corresponding loss for each class of notes is
calculated given the incoming cash flows from the assets and the
outgoing payments to third parties and noteholders.  Therefore,
the expected loss or EL for each tranche is the sum product of
(i) the probability of occurrence of each default scenario; and
(ii) the loss derived from the cash flow model in each default
scenario for each tranche.

Therefore, Moody's analysis encompasses the assessment of stress
scenarios.

STRESS SCENARIOS:

Moody's Parameter Sensitivities: Moody's principal portfolio
model inputs are Moody's cumulative default rate assumption and
the recovery rate.  Moody's tested various scenarios derived from
different combinations of mean default rate (i.e. adding a stress
on the expected average portfolio quality) and recovery rate.
For example, Moody's tested for the mean default rate: 5.5% as
base case ranging to 6.5% and for the recovery rate: 25.0% as
base case ranging to 15.0%.  At the time the rating was assigned,
the model output indicated that class A would have achieved A1
output even if the cumulative mean default probability (DP) had
been as high as 6.5%, and the recovery rate as low as 15.0% (all
other factors being constant).  Moody's Parameter Sensitivities
provide a quantitative / model-indicated calculation of the
number of rating notches that a Moody's-rated structured finance
security may vary if certain input parameters would change.  The
analysis assumes that the deal has not aged.  It is not intended
to measure how the rating of the security might migrate over
time, but rather, how the initial rating of the security might
have differed if the two parameters within a given sector that
have the greatest rating impact were varied.



=====================
S W I T Z E R L A N D
=====================


SCHMID TELECOM: Court Declares Swiss Telecom Bankrupt
-----------------------------------------------------
Air Traffic Management reports that Zurich-based ATC
communications business Schmid Telecom AG has been declared
bankrupt after the administrator appointed as part of ongoing
insolvency proceedings suspected its owner Peter Schmid of
siphoning off money meant for the ailing business' creditors.

ATM relates that in a judgement dated September 27 issued by the
Zurich District Court, administrator Rolf Schuler detailed a
catalogue of financial wrongdoing which led to insolvency
measures being revoked and the launch of official bankruptcy
proceedings instead of a creditors' plan being put in place.

According to the report, the business' problems date back to
before March when owner Peter Schmid 'seriously violated' a
November 2015 instruction not to make any further payments
without the administrator's written consent when he issued two
uncovered cheques for around CHF100,000 (EUR92,000).

When that came to light, Schmid was ordered in March not to
dispose of any business asset valued over CHF5,000 without the
express consent of the administrator during a six-month
moratorium, ATM relates.

"In addition to this, it is particularly serious that an amount
of EUR307,255, which the Applicant would be entitled to, was
instead transferred to Schmid Telecom Holding at the Applicant's
instruction," the report quotes Schuler as saying.  "In order to
conceal this, the Administrator was provided with account
statements that do not show the relevant payment due to a filter
that was set, on the one hand, and on the other hand, an employee
of [Cairo-based sub-contractor] UAS was obviously instructed not
to disclose any information to the Administrator."

According to ATM, Schuler said a reasonably plausible explanation
for the accidental setting of the filter could not be provided,
which is why he assumed that it occurred intentionally.

"Accordingly, the instructions of the Administrator, as well as
the disposal restriction of the court, were bypassed, which was
presumably attempted to be concealed afterwards in a criminally
relevant manner," he stated in the court document, ATM relays.

ATM relates that Schuler said that furthermore, in spite of Peter
Schmid's liquidity problems, as well as his assurances that no
payments would flow from the licence agreements, Schmid Telecom's
sister companies made payments to Schmid Telecom Holding under
the title of 'management fees' and 'licence payments'.

Mr. Schuler said a plausible explanation was once again not
forthcoming either for the priority of the claims of Schmid
Telecom Holding or for the 'obviously incorrect' statement by
Peter Schmid, relates ATM.

"In view of the fact that the Administrator only received the
requested documents after significant delays; and that he stated
after around ten months in office that he remains completely in
the dark regarding the issues of 'management fees' and 'licence
payments'; and that Peter Schmid has already made inaccurate and
contradictory statements on several occasions, for example, that
licence fees were settled but no payments would flow, that no
further proceedings were pending and that around CHF260,000 of
the funds diverted to Schmid Telecom Holding were used for the
Applicant's expenses," the report Schuler as saying. "The
trustworthiness of the Applicant also must be assessed as being
low."

"Accordingly, due to the described incidents, as well as the
circumstance that the management of the Applicant does not appear
to be very trustworthy, bankruptcy proceedings should be
officially initiated in respect of the Applicant," Mr. Schuler
said, adds ATM.

Bankruptcy proceedings became effective on October 31, ATM notes.


===========
T U R K E Y
===========


V.O. TRAVEL: Owner Now Privately Insolvent
------------------------------------------
fvw.de reports that Vural Oger is now privately insolvent.

According to the report, the tourism entrepreneur had personally
taken over the debts of his insolvent tour operator V.O. Travel
which stopped trading last year.

Vural Oger is best known as the founder of Oger Tours, the Turkey
tour operator he founded more than two decades ago and sold to
Thomas Cook in 2011, the report discloses. In January 2014, he
returned to the German market with the launch of V.O. Travel as a
new specialist tour operator for Turkey holidays.


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


ENSCO PLC: S&P Lowers CCR to 'BB'; Outlook Negative
---------------------------------------------------
S&P Global Ratings lowered its corporate credit rating on
offshore contract drilling company Ensco PLC to 'BB' from 'BBB-'.
The outlook is negative.

At the same time, S&P lowered its issue-level rating on the
company's senior unsecured debt to 'BB' from 'BBB-'.  S&P also
assigned a '3' recovery rating on this debt, reflecting its
expectation of meaningful (50%-70%, upper half of the range)
recovery to creditors in the event of a payment default.

S&P has also assigned a 'BB' issue-level rating and '3' recovery
rating to the company's proposed 8% $500 million senior unsecured
exchange notes issue due 2024 and its 3% $750 million senior
unsecured convertible notes due 2024.

"The downgrade reflects our revised assessment for Ensco's
business risk profile and our revised utilization assumptions for
the company's uncontracted fleet, which results in higher
leverage than we had previously anticipated in 2017 and 2018,"
said S&P Global Ratings credit rating Ben Tsocanos.

S&P notes that Ensco's recently announced tender and exchange
offer favorably extends its debt maturity profile.  The company
has also moved aggressively to respond to the downturn, including
issuing equity, reducing operating costs, deferring capital
spending, retiring rigs, and a previous tender for a portion of
its debt.  Nevertheless, S&P believes demand for offshore
contract drilling services will remain depressed over the next
two years before recovering in 2019.  Therefore, S&P estimates
that Ensco's funds from operations (FFO)-to-debt ratio will
weaken over the next two years, falling below 12% in 2018 before
improving in 2019.

The negative outlook reflects S&P's expectation that market
conditions in the offshore drilling sector will remain
challenging over the next 24 months.

S&P would consider a downgrade if it expects minimal increase in
demand for offshore drilling services after 2018 or operating
underperformance on the company's part.  Such a scenario could
likely result in S&P's forecast credit measures weakening beyond
our current expectations, such that FFO to debt falls below 12%
without a clear path to improvement.

S&P could consider a stable outlook in offshore contract drilling
market conditions improve more quickly or strongly than S&P's
current expectations.  Such a scenario would likely result in
S&P's projected credit measures for Ensco improving solidly above
20% on a sustained basis.


SALISBURY II: Fitch Assigns 'BB+' Rating to Class L Notes
---------------------------------------------------------
Fitch Ratings has assigned Salisbury II Securities 2016 Limited's
notes expected ratings as follows:

   -- GBP1,178.4m Class A (Credit Enhancement (CE) of GBP524.5m):
      'AAA(EXP)sf'; Outlook Stable

   -- GBP34.1m Class B (CE of GBP490.4m): 'AAA(EXP)sf'; Outlook
      Stable

   -- GBP90.3m Class C (CE of GBP400.2m): 'AA+(EXP)sf'; Outlook
      Stable

   -- GBP17.0m Class D (CE of GBP383.2m): 'AA(EXP)sf'; Outlook
      Stable

   -- GBP22.1m Class E (CE of GBP361.0m): 'AA-(EXP)sf'; Outlook
      Stable

   -- GBP47.7m Class F (CE of GBP313.3m): 'A+(EXP)sf'; Outlook
      Stable

   -- GBP13.6m Class G (CE of GBP299.7m): 'A(EXP)sf'; Outlook
      Stable

   -- GBP13.6m Class H (CE of GBP286.1m): 'A-(EXP)sf'; Outlook
      Stable

   -- GBP51.1m Class I (CE of GBP235.0m): 'BBB+(EXP)sf'; Outlook
      Stable

   -- GBP11.9m Class J (CE of GBP223.1m): 'BBB(EXP)sf'; Outlook
      Stable

   -- GBP20.4m Class K (CE of GBP202.6m): 'BBB-(EXP)sf'; Outlook
      Stable

   -- GBP49.4m Class L (CE of GBP153.3m): 'BB+(EXP)sf'; Outlook
      Stable

   -- GBP153.3m Class M: unrated

The transaction is a granular synthetic securitisation of
GBP2.1bn unfunded credit default swap (CDS), referencing loans
granted to UK small- and medium-sized enterprises (SME) active in
different economic sectors. The loans are mostly secured with
real estate collateral and were originated by Lloyds Bank plc
(A+/Stable/F1).

Lloyds Banking Group has bought protection under the CDS contract
relating to the equity risk position but has not specified the
date of execution of the contracts relating to the rest of the
capital structure. The expected ratings are based on the un-
executed documents provided to Fitch, which have the same terms
as the equity CDS contracts executed so far by Lloyds Banking
Group. Fitch understands from Lloyds Banking Group that it has no
immediate need to buy protection on the remaining capital
structure.

Should the documents not be executed, Fitch will nevertheless
monitor the expected ratings using the applicable criteria for as
long as the CDS contract exists.

The ratings of the notes address the likelihood of a claim being
made by the protection buyer under the unfunded CDS by the end of
the eight-year protection period in accordance with the
documentation.

KEY RATING DRIVERS

Two Sub-pools, Different Risks

The securitised portfolio comprises two different sub-pools: a
portfolio of loans to income-producing real estate (IPRE)
companies that the originator assesses through a qualitative
valuation that divides loan exposures in different slots (RE
pool); and a portfolio of loans granted to SMEs in different
industries that the originator assesses through a rating system
called BDCS (BDCS pool).

For the RE pool, Fitch assigned a weighted-average (WA) one-year
probability of default (PD) of 3.4%. For the BDCS pool, Fitch
assigned a WA one-year PD of 3.0%, in line with the overall bank
benchmark that Fitch assigned to the originator's overall BDCS
book.

Replenishment Period

The transaction features a three-year replenishment period,
subject to conditions intended to limit additional risks. The
portfolio limitations are set so that the replenishment period
cannot further worsen the portfolio quality, if it was already
deteriorating. The replenishment period will be interrupted if
certain performance triggers are breached. Fitch believes these
triggers will be effective, as in its base case loss scenario,
the triggers are breached before the end of the revolving period.

Industry Concentration Risk

The initial portfolio is granular, with the top obligor
representing only 25bp of the total portfolio. However, the
initial pool is mainly concentrated in three industries: RE
(40.0%); healthcare (20.1%); and farming & agriculture (18.1%).

Limited Collateral Dilution Risk

About 80% of the pool at closing has an LTV below 80%. However,
the LTV could be diluted after closing, given new loans could be
issued outside the transaction. For the RE pool the originator's
policies fix a maximum LTV of 70% in the eligibility criteria,
but for the BDCS pool there is no hard limit to collateral
dilution.

When analysing the transaction, Fitch applied collateral
adjustments to conservatively account for collateral dilution
beyond 70% for the BDCS pool. "However, we deem this unlikely,
given the current levels of collateral protection."Fitch said.

RATING SENSITIVITIES

Increasing the default probabilities assigned to the underlying
obligors by 25% could result in a downgrade of up to three
notches for the class F notes and up to two notches for all the
other classes.

Decreasing the recovery rates assigned to the underlying obligors
by 25% could result in a downgrade of up to three notches for the
class F and I notes and up to two notches for all the other
classes.

Doubling the base case correlation within the portfolio could
result in a in a downgrade of up to three notches for the class C
and F notes and up to two notches for all the other classes.

Finally a joint stress combining all these stresses could lead to
a downgrade up to five notches for the class C notes and up to
four notches for all the other classes.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

Fitch reviewed the results of a third party assessment conducted
on the asset portfolio information, and concluded that there were
no findings that affected the rating analysis.

Fitch conducted a review of a small targeted sample of the
originator's origination files and found the information
contained in the reviewed files to be adequately consistent with
the originator's policies and practices and the other information
provided to the agency about the asset portfolio.
Overall, Fitch's assessment of the asset pool 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.

   -- Loan-by-loan data provided by Lloyds Bank plc as at 31
      August 2016

   -- Historical performance data provided by Lloyds Bank plc for
      2008-2016

   -- Recovery data provided by Lloyds Bank plc for 2012-2016

REPRESENTATIONS AND WARRANTIES

A description of the transaction's representations, warranties
and enforcement mechanisms (RW&Es) that are disclosed in the
offering document and which relate to the underlying asset pool
was not prepared for this transaction because it does not involve
the use of offering documents.


* UNITED KINGDOM: Zombie Firms Up 8% to 139,000 in 2016, R3 Says
----------------------------------------------------------------
ThisisMoney reports that an increasing number of firms are
jeopardizing their long-term survival by paying only the interest
on their debt, not the capital itself.

According to ThisisMoney, insolvency and restructuring trade body
R3 said the number of firms in this position has risen to 139,000
-- 8% of all UK businesses.  Last year it was just 69,000 (4%),
ThisisMoney notes.

Paying off only the interest on debt is often a sign of a "zombie
business" -- a business surviving only because of low interest
rates, ThisisMoney discloses.

R3 president Andrew Tate, as cited by ThisisMoney, said: "Apart
from the initial shock of the EU referendum result, the
environment has so far been relatively benign over the course of
2016."

But he warned: "Businesses should tread carefully and plan ahead
to make sure short-term needs don't jeopardize long-term
survival."

He added: "Other indicators of acute distress are all down, such
as having to negotiate payment terms with creditors and being
unable to repay debts if there was a small increase in interest
rates."

The research, carried out for R3 by consultancy BDRC Continental,
also showed that just 33,000 firms were struggling to pay debts
as they fell due, ThisisMoney notes.  This time last year, 55,000
were in that position, and that figure itself was down from a
peak of 134,000 in May 2013, ThisisMoney states.

But Mr. Tate, as cited by ThisisMoney, said: "While there is
little immediate cost for otherwise healthy businesses borrowing
more, the danger is that problems are being stored up for later."

He said that firms might run into trouble when interest rates
started to rise again or if fresh borrowing were needed to cope
with a downturn in fortunes, especially for businesses that were
already borrowing at their limit, ThisisMoney relays.

Last year's fall in the price of oil benefited companies reliant
on haulage and manufacturing, Mr. Tate said, which helped them
get over the situation of just paying interest on debt, and start
to move their businesses forward, ThisisMoney recounts.


                            *********

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, Julie Anne L. Toledo, Ivy B. Magdadaro, and
Peter A. Chapman, Editors.

Copyright 2016.  All rights reserved.  ISSN 1529-2754.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.

Information contained herein is obtained from sources believed to
be reliable, but is not guaranteed.

The TCR Europe subscription rate is US$775 per half-year,
delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
contact Peter Chapman at 215-945-7000 or Nina Novak at
202-362-8552.


                 * * * End of Transmission * * *