TCREUR_Public/170404.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, April 4, 2017, Vol. 18, No. 67


                            Headlines


B U L G A R I A

PICCADILLY: Court Appoints Temporary Receiver


C R O A T I A

CROTIA: Moody's Ba2 Rating Balances High Income and Debt Burden


C Y P R U S

ALFA-BANK: Fitch Affirms BB+ IDR & Revises Outlook to Stable


G E R M A N Y

HANSA TREUHAND: Ordered to Hand 30 Boxships to Other Managers


G R E E C E

GREECE: Current Pension System Bankrupt, Stournaras Says


I R E L A N D

BANK OF IRELAND: To Undertake Corporate Reorganization
CVC CORDATUS: Moody's Assigns B2(sf) Rating to Cl. F Sr. Notes
EUROCREDIT CDO V: Moody's Hikes Rating on Class E Notes from Ba3
EUROPEAN RESIDENTIAL 2017-PL1: Moody's Rates Class F Notes B2
OCP EURO 2017-1: Moody's Assigns (P)B2(sf) Rating to Cl. F Notes


I T A L Y

BANCA POPOLARE: DBRS Reviews B Ratings with Neg. Implications
FIAT CHRYSLER: Moody's Revises Outlook to Pos. & Affirms Ba3 CFR
VENETO BANCA: DBRS Cuts Sr. Long-Term Debt & Deposit Ratings to B


L U X E M B O U R G

ATENTO LUXCO: Moody's Affirms Ba3 Corporate Family Rating
TELENET INT'L: Fitch Assigns 'BB(EXP)' Rating to Term Loan AH


N E T H E R L A N D S

NEPTUNO CLO I: Moody's Affirms Ba3(sf) Rating on Cl. E-1 Notes


S P A I N

BBVA CONSUMO: DBRS Assigns Prov. BB Rating to Series B Notes
CAIXABANK RMBS: DBRS Finalizes B(sf) Rating to Class B Notes
IM GRUPO: Moody's Assigns Caa2(sf) Rating to EUR86.7MM Notes


U N I T E D   K I N G D O M

BOPARAN HOLDINGS: Moody's Revises Outlook to Neg., Affirms B2 CFR
ESSAR GROUP: Ordered to Pay US$172MM New York Court Judgment
KAREN MILLEN: Former Owner Declared Bankrupt Over Unpaid Tax
PETRA DIAMONDS: Moody's Rates US$600MM 2nd Lien Secured Notes B2
PREVA PRODUCE: Norfolk and Suffolk Businesses Among Owed GBP4MM



                            *********


===============
B U L G A R I A
===============


PICCADILLY: Court Appoints Temporary Receiver
---------------------------------------------
European Supermarket Magazine reports that Bulgarian supermarket
chain Piccadilly has been declared insolvent, and a court has
appointed a temporary receiver to the business.

ESM, citing local weekly Capital, relates that the company owes
around BGN86 million (EUR42.9 million) of debt towards the state,
banks and suppliers.

A general meeting of creditors has been convened for April, the
report says.

In 2013, Piccadilly operated 40 stores throughout Bulgaria, while
this recently dropped to just 16, located in Sofia and Varna.
Last December, Piccadilly opened a 3,600-square-metre hypermarket
in the Paradise City Shopping Mall in Sofia.

After a succession of changes of ownership in recent years
(including Serbia's Delta Holding and Belgium's Delhaize), the
retailer is currently owned by local company Select Trade, the
report discloses.


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C R O A T I A
=============


CROTIA: Moody's Ba2 Rating Balances High Income and Debt Burden
---------------------------------------------------------------
The Ba2 rating with a stable outlook of Croatia balances its
relatively high per capita income and the benefits of its
European Union (EU) membership against its weak fiscal position
and high government debt burden, Moody's Investors Service said
in a new report. The annual update, "Government of Croatia -- Ba2
Stable Annual Credit Analysis", is now available on
www.moodys.com. The research is an update to the markets and does
not constitute a rating action.

"Croatia has recently experienced positive economic and fiscal
trends, with stronger than expected medium-term economic growth,"
said Simon Griffin, a Moody's Senior Vice President -- Senior
Analyst and co-author of the report. "We expect the economy to
continue to grow by 2.5% each year on average over the next few
years, whilst its debt-to-GDP ratio is expected to fall this
year."

Credit challenges for Croatia include its weak fiscal position
and its high government debt burden, the slow pace of structural
reform and unsustainable growth dynamics. Its rating continues to
be constrained at the Ba2 level by structural weaknesses in its
economy, given the absence of a structural reform agenda.

Failure to implement a comprehensive structural reform programme
could exert downward pressure upon the rating as this would be
likely to lead to weaker growth and to increases in its public
debt in the longer-term. Given the lack of fiscal space, a
weakening in the growth outlook based upon both domestic and
external factors would be negative. Pressure might also result
from an assessment that the external vulnerability metrics of
Croatia have deteriorated to an extent that they fall
significantly below those of Ba2-rated peers.

Upward pressure upon the Ba2 rating might occur if the coalition
government were to use the more stable political environment to
advance its programme of economic and fiscal reforms in a way
that would further the long-term economic potential of Croatia
and keep public debt on a downward path. As the fiscal deficit
will decline again next year, to just under 2% of GDP, Moody's
expects the general government debt-to-GDP ratio to maintain its
downward trend and reach 78.6% in 2020. The continued integration
of Croatia into the EU, in combination with policy efforts to
improve the investment climate, might in the longer term support
an acceleration in GDP growth.


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C Y P R U S
===========


ALFA-BANK: Fitch Affirms BB+ IDR & Revises Outlook to Stable
------------------------------------------------------------
Fitch Ratings has revised the Outlook on Alfa-Bank (Alfa) and its
Cyprus-based holding company ABH Financial Limited (ABHFL) to
Stable from Negative and affirmed Alfa's Long-Term Issuer Default
Rating (IDR) at 'BB+' and ABHFL's Long-Term IDR at 'BB'. A full
list of rating actions is at the end of this comment.

KEY RATING DRIVERS

Alfa
The revision of the Outlook on Alfa reflects the stabilisation of
the Russian operating environment and, as a result, reduced
pressure on the bank's asset quality and performance.

Alfa's ratings, which are the highest of a Russian privately-
owned bank, reflect its well-developed franchise and access to
top tier borrowers/depositors, its sound management, improved
asset quality, recovering profitability and good track record of
managing through the cycle. The ratings also take into account
risks relating to the Russian operating environment, significant
cyclicality in the bank's performance and moderate regulatory
capitalisation.

Alfa's asset quality improved in 2016, with the ratio of non-
performing loans (NPLs; more than 90 days overdue) decreasing to
4.2% from 6.9% at end-2015 as a result of recoveries, collateral
foreclosures and write-offs. NPLs were fully covered by
impairment reserves, and restructured loans were negligible at
end-2016. Performance of retail loans (12% of total loans, mainly
unsecured personal loans and credit cards) also improved,
reflected in NPL origination (calculated as the increase in NPLs
plus write-offs to average performing loans; a good proxy for
credit losses) decreasing to 7% in 2016 from 9.3% in 2015,
comfortably below the Fitch-calculated break-even level of about
14%.

Profitability improved in 2016, with the total comprehensive
income to average equity ratio increasing to 14% in 2016 from
zero in 2015 due to a moderate 50bp net interest margin
improvement and a significant reduction in loan impairment
charges (LICs) to 1.4% from 3.2% of average loans.

Capitalisation is adequate. The consolidated Fitch Core Capital
(FCC) ratio, calculated at the ABHFL level, was 15.9% at end-
2016, slightly down from 16.7% at end-2015. However, this and the
bank's reported Basel I Tier 1 capital ratio (16.2%) benefit
significantly from the Basel I-based risk-weighted asset
calculation, which does not include charges for market risk and
operational risk. Adjusting for these, core capital ratios would
have been approximately 13%, Fitch calculates. Regulatory
capitalisation at the bank level is significantly tighter, with a
core Tier 1 ratio of 8.1% (required minimum including buffers is
6.1%), Tier 1 was higher at 9.6% (7.6%), due to USD700 million
AT1 perpetual bonds placed in 2H16, and Total capital 15% (9.6%)
at end-2M17.

Liquidity is ample. Liquid assets (cash and equivalents, net
short-term interbank placements and bonds eligible for repo
funding from the Central Bank of Russia) covered customer
accounts by 53% at end-2016. Wholesale debt maturing in 2017 was
USD1.6 billion at end-2016, equal to a moderate 14% of the
liquidity cushion, and Alfa plans to refinance the majority of
these facilities.

Given Alfa's broad franchise, in Fitch's view there is a moderate
probability of support from the Russian authorities, as reflected
in the '4' Support Rating and 'B' Support Rating Floor. Alfa's
owners have supported the bank in the past, and in Fitch's view,
would have a strong propensity to do so again, if required. Their
ability to provide support is also likely to be significant, as
they seem to have little debt and significant cash reserves
following past asset sales. However, Fitch does not formally
factor shareholder support into the ratings given the limited
visibility of the shareholders' current financial position and
Alfa's significant size.

ABHFL

The affirmation of ABHFL's ratings and Outlook revision reflects
Fitch's view that default risk at the bank and the holding
company are likely to be highly correlated in view of the high
degree of fungibility of capital and liquidity within the group,
which is managed as a single entity. The currently limited volume
of holding company debt to non-related parties also supports the
close alignment of its ratings with Alfa.

The one-notch difference between the bank and holding company
ratings reflects the absence of any regulation of the
consolidated group, the fact that the holding company is
incorporated in a different jurisdiction and the high level of
double leverage at the holding company. The latter, defined by
Fitch as equity investments in subsidiaries divided by holdco
equity, was 136% at end-2016. However, if all related party
funding was converted into equity, the double leverage ratio
would fall to around 114%, or even lower if some equity
investments were restated at fair value.

DEBT RATINGS

ABHFL and Alfa's unsecured debt is rated in line with their Long-
Term IDRs. Alfa's 'BB' subordinated debt rating is notched down
once from the bank's VR, which incorporates zero notches for
incremental non-performance risk and a notch for higher loss
severity.

Alfa's AT1 perpetual notes are rated 'B', four notches lower than
the bank's VR. The notching comprises two notches for higher loss
severity relative to senior unsecured creditors and a further two
notches for non-performance risk, as Alfa has an option to cancel
at its discretion the coupon payments. The latter is more likely
if the capital ratios fall in the capital buffer zone, although
this risk is somewhat mitigated by Alfa's stable financial
profile and policy of maintaining reasonable headroom (about
150bps-200bps) over minimum capital ratios.

RATING SENSITIVITIES

Fitch will likely maintain a minimum one-notch difference between
Alfa's Long-Term IDR and Russia's sovereign rating. An upgrade of
Alfa would therefore likely require a sovereign upgrade, while a
sovereign downgrade would probably lead to a downgrade of the
bank's ratings. Alfa's ratings could also be downgraded in case
of a significant deterioration of asset quality and erosion of
capital without the latter being replenished by shareholders.

ABHFL's ratings are likely to move in tandem with Alfa's. In
addition, ABHFL could be downgraded in case of a marked increase
in double leverage or significantly increased liquidity risks at
the holdco level.

Debt ratings are sensitive to changes in Alfa's and ABHFL's
issuer ratings.

The rating actions are:

Alfa-Bank
Long-Term Foreign-Currency IDR: affirmed at 'BB+'; Outlook
revised to Stable from Negative
Long-Term Local-Currency IDR: affirmed at 'BB+'; Outlook revised
to Stable from Negative
Short-Term Foreign-Currency IDR: affirmed at 'B'
Viability Rating: affirmed at 'bb+'
Support Rating: affirmed at '4'
Support Rating Floor: affirmed at 'B
Senior unsecured debt: affirmed at 'BB+'
Subordinated debt: affirmed at 'BB'
Senior unsecured debt of Alfa Bond Issuance Public Limited
Company: affirmed at 'BB+'
Subordinated debt of Alfa Bond Issuance Public Limited Company:
affirmed at 'BB'
Perpetual subordinated debt of Alfa Bond Issuance Public Limited
Company: affirmed at 'B'

ABH Financial Limited
Long-Term Foreign-Currency IDR: affirmed at 'BB'; Outlook revised
to Stable from Negative
Short-Term Foreign-Currency IDR: affirmed at 'B'
Senior unsecured debt of Alfa Holding Issuance plc: affirmed at
'BB'/'BB (emr)'


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G E R M A N Y
=============


HANSA TREUHAND: Ordered to Hand 30 Boxships to Other Managers
-------------------------------------------------------------
Lloyd's List reports that Hansa Treuhand has been ordered by its
bankers to send all or almost all of its 30 boxships to other
managers, and may have to spin off some of its more attractive
non-shipping businesses, Hamburg shipping sources have confirmed.

A senior executive at Hansa Treuhand on March 28 declined to
comment on the situation, saying that exact arrangements were
still being negotiated, and no public announcement would be made
until a deal was finalized, Lloyd's List relates.

According to the report, the development makes the pioneering KG
fund perhaps the most high-profile victim yet in the ongoing
German shipping crisis, which has hit the KG sector particularly
hard.

Founder Hermann Ebel declared himself personally insolvent in
January, the report recalls. Local lawyers pointed out at the
time that legally speaking, his personal standing had no impact
on companies under the Hansa Treuhand Holding umbrella, the
report says.

While they suggested that creditors would likely seek the value
of his shareholdings, which might necessitate eventual disposals,
Mr. Ebel continues to work for the company as of this time, the
report notes.

Lloyd's List notes that the group -- whose fleet numbers around
30 containerships as well as four tankers among its 55 vessels --
announced last September that it was seeking to restructure.

German media reports quoted Mr. Ebel at the time as saying that
settlements with creditor banks and an Asian shipyard were
proving impossible, despite lengthy negotiations, Lloyd's List
recalls.

According to Lloyd's List, the group's tankers, as opposed to its
containerships, are not currently under marching orders from the
banks, people with close knowledge of the picture suggested.

Moreover, Hansa Treuhand has diversified into other areas, such
as aviation and private equity, and some of its affiliates are
evidently doing better than its shipping operations. Some of them
may be transformed into standalone outfits, again at the banks'
say-so, Lloyd's List relays.

Lloyd's List relates that one Hamburg shipping source commented:
"Hermann Ebel has always been one of the more friendly and humble
shipping managers. He probably took too many personal risks in
the end. Other companies with more debts have been saved by the
banks. Why don't they save him?"

Ironically, in a 2015 interview with Lloyd's List, Mr. Ebel
struck a notably upbeat tone, arguing that the worst of the
German shipping crisis was over, and that there were even
prospects for a revival of the KG system, Lloyd's List says.

As reported in the Troubled Company Reporter-Europe on Sept. 21,
2016, IHS Fairplay said Hamburg container shipowner Hansa
Treuhand, led by founding owner and CEO Hermann Ebel, is facing a
major shake-up as many of its vessels slip into insolvency.  The
group was forced to seek creditor protection for 15 container
ships at the Hamburg district court on Sept. 15, 2016, according
to IHS Fairplay.


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G R E E C E
===========


GREECE: Current Pension System Bankrupt, Stournaras Says
--------------------------------------------------------
Greek Reporter reports that Bank of Greece Governor
Yiannis Stournaras on March 30 said Greece's current pension
system is bankrupt and in need of reforms, such as raising the
age of retirement to 70.

According to Greek Reporter, speaking during an Economist
conference on private insurance, Mr. Stournaras said that, "This
framework of continuous pension cuts shows that an adequate and
sustainable "purely social security" system is not economically
feasible under present conditions in Greece."

Mr. Stournaras spoke of the need for reforms and policies that
would increase the income of pensioners in the future, providing
an appropriate social safety net and mitigating the socio-
political reactions or the risk of a reversal of reforms, Greek
Reporter relates.  These policies, the BoG, as cited by Greek
Reporter, said, include the extension of working life and
increase the employability of older workers, while at the same
time encouraging private savings.

The Bank of Greece governor noted that the 2012 reforms did not
work as expected, as the single calculation formula for primary
pensions and the zero deficit rule of supplementary funds have
not been implemented the way it was designed, Greek Reporter
notes.


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I R E L A N D
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BANK OF IRELAND: To Undertake Corporate Reorganization
------------------------------------------------------
Vincent Boland at The Financial Times reports that Bank of
Ireland is to undertake a corporate reorganization that will see
a big reduction in the number of shares it has issued as well as
a change of name for its listed entity as it moves to comply with
new European banking regulations.

According to the FT, the bank said on March 31 it would convert
to a holding company structure from July pending court approval
for the reorganization.
The conversion means it will exchange one new share in the new
holding company -- Bank of Ireland Group PLC -- for every 30
shares in the current listed entity, which is known officially as
the Governor and Company of the Bank of Ireland, the FT
discloses.

The move is largely technical, but will consolidate the group's
capital structure and lift its share price from the March 31
trading level of EUR0.23 to around EUR7, the FT states.

The bank has more than 32 billion shares outstanding; its market
capitalization is EUR7.6 billion, the FT discloses.

The huge number of shares outstanding reflects capital injections
by the state and outside investors during Ireland's financial
crisis, which began in 2008 and heavily diluted existing
shareholders, the FT says.

The Irish state still owns a stake of about 13% in the bank,
which has paid back the bail-out money, the FT notes.

Headquartered in Dublin, Bank of Ireland --
http://www.bankofireland.com/-- provides a range of banking and
other financial services.  These include checking and deposit
services, overdrafts, term loans, mortgages, business and
corporate lending, international asset financing, leasing,
installment credit, debt factoring, foreign exchange facilities,
interest and exchange rate hedging instruments, executor,
trustee, life assurance and pension and investment fund
management, fund administration and custodial services and
financial advisory services, including mergers and acquisitions
and underwriting.  The Company organizes its businesses into
Retail Republic of Ireland, Bank of Ireland Life, Capital
Markets, UK Financial Services and Group Centre.  It has
operations throughout Ireland, the United Kingdom, Europe and the
United States.


CVC CORDATUS: Moody's Assigns B2(sf) Rating to Cl. F Sr. Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to notes issued by CVC Cordatus Loan
Fund VIII Designated Activity Company (the "Issuer" or " CVC
Cordatus Loan Fund VIII"):

-- EUR206,000,000 Class A-1 Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aaa (sf)

-- EUR30,000,000 Class A-2 Senior Secured Fixed Rate Notes due
    2030, Definitive Rating Assigned Aaa (sf)

-- EUR46,000,000 Class B-1 Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aa2 (sf)

-- EUR10,000,000 Class B-2 Senior Secured Fixed Rate Notes due
    2030, Definitive Rating Assigned Aa2 (sf)

-- EUR24,000,000 Class C Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned A2 (sf)

-- EUR20,800,000 Class D Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned Baa2 (sf)

-- EUR22,200,000 Class E Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned Ba2 (sf)

-- EUR11,000,000 Class F Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

Moody's ratings of the rated notes address the expected loss
posed to noteholders by the legal final maturity of the notes in
2030. The ratings reflect the risks due to defaults on the
underlying portfolio of loans given the characteristics and
eligibility criteria of the constituent assets, the relevant
portfolio tests and covenants as well as the transaction's
capital and legal structure. Furthermore, Moody's is of the
opinion that the collateral manager, CVC Credit Partners European
CLO Management LLP ("CVC"), has sufficient experience and
operational capacity and is capable of managing this CLO.

CVC Cordatus Loan Fund VIII is a managed cash flow CLO. At least
92.5% of the portfolio must consist of senior secured loans and
senior secured floating rate notes and up to 7.5% of the
portfolio may consist of unsecured loans, second-lien loans,
mezzanine obligations and high yield bonds. The portfolio is
expected to be approximately 70% ramped up as of the closing date
and to be comprised predominantly of corporate loans to obligors
domiciled in Western Europe.

CVC will manage the CLO. It will direct the selection,
acquisition and disposition of collateral on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four-year reinvestment period.
Thereafter, purchases are permitted using principal proceeds from
unscheduled principal payments and proceeds from sales of credit
risk and credit improved obligations, and are subject to certain
restrictions.

In addition to the eight classes of notes rated by Moody's, the
Issuer will issue EUR45.6M of subordinated notes, which will not
be rated.

The transaction incorporates interest and par coverage tests
which, if triggered, divert interest and principal proceeds to
pay down the notes in order of seniority.

Factors that would lead to an upgrade or downgrade of the
ratings:

The rated notes' performance is subject to uncertainty. The
notes' performance is sensitive to the performance of the
underlying portfolio, which in turn depends on economic and
credit conditions that may change. CVC's investment decisions and
management of the transaction will also affect the notes'
performance.

Loss and Cash Flow Analysis:

Moody's modeled the transaction using CDOEdge, a cash flow model
based on the Binomial Expansion Technique, as described in
Section 2.3 of the "Moody's Global Approach to Rating
Collateralized Loan Obligations" rating methodology published in
October 2016. The cash flow model evaluates all default scenarios
that are then weighted considering the probabilities of the
binomial distribution assumed for the portfolio default rate. In
each default scenario, the corresponding loss for each class of
notes is calculated given the incoming cash flows from the assets
and the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum
product of (i) the probability of occurrence of each default
scenario and (ii) the loss derived from the cash flow model in
each default scenario for each tranche. As such, Moody's
encompasses the assessment of stressed scenarios.

Moody's used the following base-case modeling assumptions:

Par amount: EUR400,000,000

Diversity Score: 36

Weighted Average Rating Factor (WARF): 2750

Weighted Average Spread (WAS): 4.10%

Weighted Average Coupon: 5.00%

Weighted Average Recovery Rate (WARR): 42.5%

Weighted Average Life (WAL): 8 years.

Moody's has analysed the potential impact associated with
sovereign related risk of peripheral European countries. As part
of the base case, Moody's has addressed the potential exposure to
obligors domiciled in countries with local currency country risk
ceiling of A1 or below. Following the effective date, and given
the portfolio constraints and the current sovereign ratings in
Europe, such exposure may not exceed 10% of the total portfolio.
Also, the eligibility criteria do not currently allow for the
acquisition of assets where the obligor is domiciled in a country
with a local currency government bond rating below A3. Given this
portfolio composition, there were no adjustments to the target
par amount, as further described in the methodology.

Stress Scenarios:

Together with the set of modeling assumptions above, Moody's
conducted additional sensitivity analysis, which was an important
component in determining the ratings assigned to the rated notes.
This sensitivity analysis includes increased default probability
relative to the base case. Below is a summary of the impact of an
increase in default probability (expressed in terms of WARF
level) on each of the rated notes (shown in terms of the number
of notch difference versus the current model output, whereby a
negative difference corresponds to higher expected losses),
holding all other factors equal.

Percentage Change in WARF: WARF + 15% (to 3163 from 2750)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: 0

Class B Senior Secured Floating Rate Notes: -2

Class C Deferrable Mezzanine Floating Rate Notes: -2

Class D Deferrable Mezzanine Floating Rate Notes: -2

Class E Deferrable Junior Floating Rate Notes: -1

Class F Deferrable Junior Floating Rate Notes: 0

Percentage Change in WARF: WARF +30% (to 3575 from 2750)

Class A Senior Secured Floating Rate Notes: -1

Class B Senior Secured Floating Rate Notes: -3

Class C Deferrable Mezzanine Floating Rate Notes: -4

Class D Deferrable Mezzanine Floating Rate Notes: -2

Class E Deferrable Junior Floating Rate Notes: -1

Class F Deferrable Junior Floating Rate Notes: -2

Further details regarding Moody's analysis of this transaction
may be found in the upcoming pre-sale report, available soon on
Moodys.com.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in October 2016.


EUROCREDIT CDO V: Moody's Hikes Rating on Class E Notes from Ba3
----------------------------------------------------------------
Moody's Investors Service announced that it has taken rating
actions on the following classes of notes issued by Eurocredit
CDO V PLC:

-- EUR36M (Current outstanding balance of EUR1.42M) Class C
    Notes, Affirmed Aaa (sf); previously on Mar 14, 2016 Upgraded
    to Aaa (sf).

-- EUR27M Class D Notes, Upgraded to Aaa (sf); previously on Mar
    14, 2016 Upgraded to A3 (sf)

-- EUR24M (Current outstanding balance of EUR14.82M) Class E
    Notes, Upgraded to A3 (sf); previously on Mar 14, 2016
    Upgraded to Ba3 (sf)

-- EUR6M Class V Combo Notes, Affirmed Aaa (sf); previously on
    Mar 14, 2016 Upgraded to Aaa (sf)

Eurocredit CDO V PLC, issued in September 2006, is a
collateralised loan obligation ("CLO") backed by a portfolio of
mostly high yield European loans. It is predominantly composed of
senior secured loans. The portfolio is managed by Intermediate
Capital Managers Limited. The transaction's reinvestment period
ended in September, 2012.

RATINGS RATIONALE

According to Moody's, the upgraded actions taken on the Class D
and Class E notes are the result of deleveraging of the
transaction since the last rating action in March 2016 and
subsequent increases of the overcollateralization ratios (the "OC
ratios") of all the remaining classes of notes.

Class B notes paid down by a total of approximately EUR6.9
million, repaying in full on the March 2017 payment date whilst
Class C paid down by EUR34.58 million (96.05% of closing balance)
on the same payment date. As a result of these pay-downs, over-
collateralisation (OC) ratios of the remaining classes of rated
notes have increased. As per the trustee report dated March 2017,
Class C, Class D and Class E OC ratios are reported at 235.10%,
144.34% and 119.10% compared to March 2016 levels of 175.04%,
125.76% and 108.92% respectively. These OC ratios do not
incorporate the pay-downs in the rated notes on the March 2016
and March 2017 payment dates.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analysed the underlying collateral pool as having
performing par and principal proceeds of EUR58.65milllion,
defaulted par of EUR11.48 million, a weighted average default
probability of 20.95% (consistent with a WARF of 3571 over a
weighted average life of 4.15 years), a weighted average recovery
rate upon default of 49.35% for a Aaa liability target rating, a
diversity score of 8 and a weighted average spread of 3.66%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance and a collateral manager's latitude to trade
collateral are also relevant factors. Moody's incorporates these
default and recovery characteristics of the collateral pool into
its cash flow model analysis, subjecting them to stresses as a
function of the target rating of each CLO liability it is
analysing.

The rating of the combination notes addresses the repayment of
the rated balance on or before the legal final maturity. For the
Class V notes, the 'rated balance' at any time is equal to the
principal amount of the combination notes on the issue date minus
the sum of all payments made from the issue date to such date, of
either interest or principal. The rated balance will not
necessarily correspond to the outstanding notional amount
reported by the trustee.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in October 2016.

Factors that would lead to an upgrade or downgrade of the
ratings:

In addition to the base-case analysis, Moody's conducted
sensitivity analyses on the key parameters for the rated notes,
for which it assumed a lower weighted average recovery rate for
the portfolio. Moody's ran a model in which it reduced the
weighted average recovery rate by 5%; the model generated outputs
that were unchanged for Classes C and D, and within three notches
of the base-case results for Class E.

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of uncertainty about credit conditions in the
general economy. CLO notes' performance may also be impacted
either positively or negatively by 1) the manager's investment
strategy and behaviour and 2) divergence in the legal
interpretation of CDO documentation by different transactional
parties because of embedded ambiguities.

Additional uncertainty about performance is due to the following:

1) Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager
or be delayed by an increase in loan amend-and-extend
restructurings. Fast amortisation would usually benefit the
ratings of the notes beginning with the notes having the highest
prepayment priority.

2) Recoveries on defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's over-
collateralisation levels. Further, the timing of recoveries and
the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's
analysed defaulted recoveries assuming the lower of the market
price or the recovery rate to account for potential volatility in
market prices. Recoveries higher than Moody's expectations would
have a positive impact on the notes' ratings.

3) Around 31.28% of the collateral pool consists of debt
obligations whose credit quality Moody's has assessed by using
credit estimates. As part of its base case, Moody's has stressed
large concentrations of single obligors bearing a credit estimate
as described in "Updated Approach to the Usage of Credit
Estimates in Rated Transactions" published in October 2009 and
available at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBC_120461.

4) Lack of portfolio granularity: The performance of the
portfolio depends to a large extent on the credit conditions of a
few large obligors ratings, especially when they default. Because
of the deal's low diversity score and lack of granularity,
Moody's supplemented its typical Binomial Expansion Technique
analysis with a simulated default distribution using Moody's
CDOROMTM software.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


EUROPEAN RESIDENTIAL 2017-PL1: Moody's Rates Class F Notes B2
-------------------------------------------------------------
Moody's Investors Service has assigned definitive credit ratings
to the following classes of notes issued by European Residential
Loan Securitisation 2017-PL1 DAC:

-- EUR300,947,000 Class A Mortgage Backed Floating Rate Notes
    due November 2057, Definitive Rating Assigned Aaa (sf)

-- EUR85,268,000 Class B Mortgage Backed Floating Rate Notes due
    November 2057, Definitive Rating Assigned Aa1 (sf)

-- EUR33,439,000 Class C Mortgage Backed Floating Rate Notes due
    November 2057, Definitive Rating Assigned Aa3 (sf)

-- EUR50,158,000 Class D Mortgage Backed Floating Rate Notes due
    November 2057, Definitive Rating Assigned A3 (sf)

-- EUR51,830,000 Class E Mortgage Backed Floating Rate Notes due
    November 2057, Definitive Rating Assigned Ba1 (sf)

-- EUR33,439,000 Class F Mortgage Backed Floating Rate Notes due
    November 2057, Definitive Rating Assigned B2 (sf)

The EUR113,691,000 Class Z Mortgage Backed Fixed Rate Notes and
the EUR100,000 Class X Notes due November 2057 were not rated by
Moody's.

This transaction is a securitisation backed by a portfolio of
prime and non-conforming Irish first lien residential mortgage
loans originated by Bank of Scotland (Ireland) Limited, Start
Mortgages DAC and Nua Mortgages Limited mainly between 2003 and
2008.

The portfolio will be serviced by Start Mortgages DAC ("Start
Mortgages"; NR). The servicing activities performed by Start
Mortgages are monitored by the servicing consultant, Hudson
Advisors Ireland DAC ("Hudson"; NR). Hudson has also been
appointed as back-up servicer facilitator in place to assist the
issuer to find a substitute servicer in case the servicing
agreement with Start Mortgages is terminated.

RATINGS RATIONALE

The ratings of the notes are based on an analysis of the
characteristics of the underlying portfolio, protection provided
by credit enhancement and the structural integrity of the
transaction.

In analysing the portfolio, Moody's determined the MILAN Credit
Enhancement (CE) of 50% and the portfolio Expected Loss (EL) of
20%. The MILAN CE and portfolio EL are key input parameters for
Moody's cash flow model.

MILAN CE of 50%: this is above the average for other Irish RMBS
transactions and follows Moody's assessment of the loan-by-loan
information taking into account the historical performance and
the pool composition including (i) the weighted average current
loan-to-value (LTV) ratio of 66.6% and indexed LTV of 89.0% of
the total pool and (ii) the inclusion of 75.9% restructured loans
and 18.2% of loans in arrears.

Portfolio expected loss of 20%: this is above the average for
other Irish RMBS transactions and is based on Moody's assessment
of the lifetime loss expectation for the pool taking into account
(i) the historical collateral performance of the loans to date;
(ii) the current macroeconomic environment in Ireland; and (iii)
benchmarking with similar Irish RMBS transactions.

Please note that on March 22, 2017, Moody's released a Request
for Comment, in which it has requested market feedback on
potential revisions to its Approach to Assessing Counterparty
Risks in Structured Finance. If the revised Methodology is
implemented as proposed, the Credit Rating on European
Residential Loan Securitisation 2017-PL1 DAC is not expected to
be affected. Please refer to Moody's Request for Comment, titled
"Moody's Proposes Revisions to Its Approach to Assessing
Counterparty Risks in Structured Finance," for further details
regarding the implications of the proposed Methodology revisions
on certain Credit Ratings.

Credit Enhancement: The Class A notes benefit from the
subordination provided by more junior notes, namely Class B to Z
notes. There is an amortizing liquidity reserve fund in place
sized at closing as 3% of Class A outstanding balance dedicated
to paying the interest on Class A and senior fees only and a non-
amortizing reserve fund sized at 3% of the mortgage portfolio at
closing less the balance held in the liquidity reserve. At
closing the reserve fund amounts to 1.6%. During the life of the
transaction the liquidity reserve fund can only be used for
liquidity purposes and cannot be used to cure credit losses, the
general reserve fund can be used to cure PDL. As the notes repay,
the amount that can be held in the liquidity reserve fund
decrease consequently the amount that can be held in the general
reserve fund increases until the general reserve fund balance is
equal to 3% of original pool balance. As the general reserve fund
increases the amount that can be used for losses through curing
records on the PDL increases as well. Moody's stressed annualized
excess spread assumption is around 0.25% per annum (assuming a
EURIBOR rate of 4%).

Operational Risk Analysis: Start Mortgages is the servicer in the
transaction. In order to mitigate operational risk, Hudson has
been appointed as back-up servicer facilitator in place to assist
the issuer to find a substitute servicer in case the servicing
agreement with Start Mortgages is terminated. The UK branch of
Elavon Financial Services DAC (Aa2/P-1) will act as independent
cash manager. To ensure payment continuity over the transaction's
lifetime the transaction documents incorporate estimation
language whereby the cash manager can use the recent servicer
reports to determine the cash allocation in case no servicer
report is available. The transaction also benefits from the
equivalent of approximately 6.5 months of liquidity (assuming a
EURIBOR rate of 4%) available to cover senior fees and interest
on Class A provided via the liquidity reserve. In addition, the
transaction benefits from principal to pay interest for the Class
A notes and following the redemption of Class A, the most senior
outstanding class of notes.

Interest Rate Risk Analysis: the deal is exposed to the basis
mismatch between the 1 month EURIBOR linked payments made to
noteholders and the interest received on the mortgage loans
originated by Bank of Scotland (Ireland) which are linked to
ECB's refinancing rate and those originated by Start Mortgages
and Nua Mortgages Limited linked to a variable rate set by Start
Mortgages. This risk is partially mitigated by an interest rate
cap on the notes with a strike of 2%. Moody's has taken into
consideration the absence of a basis swap and the presence of the
interest rate cap in its cash flow modelling.

Moody's Parameter Sensitivities: If the portfolio expected loss
was increased from 20% to 26% of current balance, and the MILAN
CE was increased from 50% to 60%, the model output indicates that
the Class A notes would still achieve Aaa(sf) assuming that all
other factors remained equal. Moody's Parameter Sensitivities
quantify the potential rating impact on a structured finance
security from changing certain input parameters used in the
initial rating. The analysis assumes that the deal has not aged
and is not intended to measure how the rating of the security
might change over time, but instead what the initial rating of
the security might have been under different key rating inputs.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
September 2016.

The analysis undertaken by Moody's at the initial assignment of a
ratings for RMBS securities may focus on aspects that become less
relevant or typically remain unchanged during the surveillance
stage.

Factors that would lead to an upgrade or downgrade of the
ratings:

Significantly different loss assumptions compared with Moody's
expectations at close due to either a change in economic
conditions from Moody's central scenario forecast or
idiosyncratic performance factors would lead to rating actions.
For instance, should economic conditions be worse than forecast,
the higher defaults and loss severities resulting from a greater
unemployment, worsening household affordability and a weaker
housing market could result in downgrade of the rating.
Deleveraging of the capital structure or conversely a
deterioration in the notes available credit enhancement could
result in an upgrade or a downgrade of the rating, respectively.

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 notes by the legal final
maturity. Moody's ratings only address the credit risk associated
with the transaction. Other non-credit risks have not been
addressed, but may have a significant effect on yield to
investors.

Moody's will monitor this transaction on an ongoing basis. For
updated monitoring information, please contact
monitor.rmbs@moodys.com.


OCP EURO 2017-1: Moody's Assigns (P)B2(sf) Rating to Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by OCP Euro CLO 2017-1 Designated
Activity Company:

-- EUR202,250,000 Class A Senior Secured Floating Rate Notes due
    2030, Assigned (P)Aaa (sf)

-- EUR49,750,000 Class B Senior Secured Floating Rate Notes due
    2030, Assigned (P)Aa2 (sf)

-- EUR21,000,000 Class C Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned (P)A2 (sf)

-- EUR17,500,000 Class D Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned (P)Baa2 (sf)

-- EUR22,750,000 Class E Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned (P)Ba2 (sf)

-- EUR9,250,000 Class F Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned (P)B2 (sf)

Moody's issues provisional ratings in advance of the final sale
of financial instruments, but these ratings only represent
Moody's preliminary credit opinions. Upon a conclusive review of
a transaction and associated documentation, Moody's will endeavor
to assign definitive ratings. A definitive rating (if any) may
differ from a provisional rating.

RATINGS RATIONALE

Moody's provisional ratings of the rated notes address the
expected loss posed to noteholders by the legal final maturity of
the notes in 2030. The provisional ratings reflect the risks due
to defaults on the underlying portfolio of loans given the
characteristics and eligibility criteria of the constituent
assets, the relevant portfolio tests and covenants as well as the
transaction's capital and legal structure. Furthermore, Moody's
is of the opinion that the collateral manager, Onex Credit
Partners, LLC, ("Onex Credit") has sufficient experience and
operational capacity and is capable of managing this CLO.

OCP Euro CLO 2017-1 Designated Activity Company is a managed cash
flow CLO. At least 90% of the portfolio must consist of senior
secured loans and senior secured bonds. The portfolio is expected
to be 80% ramped up as of the closing date and to be comprised
predominantly of corporate loans to obligors domiciled in Western
Europe.

Onex Credit Partners, LLC is the portfolio manager. Onex Credit
Partners Europe LLP is the portfolio sub-manager and will manage
the CLO. It will direct the selection, acquisition and
disposition of collateral on behalf of the Issuer and may engage
in trading activity, including discretionary trading, during the
transaction's four-year reinvestment period. Thereafter,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit improved and
credit risk obligations, and are subject to certain restrictions.

In addition to the six classes of notes rated by Moody's, the
Issuer will issue EUR38.25M of subordinated notes, which will not
be rated.

The transaction incorporates interest and par coverage tests
which, if triggered, divert interest and principal proceeds to
pay down the notes in order of seniority.

Factors that would lead to an upgrade or downgrade of the
ratings:

The rated notes' performance is subject to uncertainty. The
notes' performance is sensitive to the performance of the
underlying portfolio, which in turn depends on economic and
credit conditions that may change. Onex Credit's investment
decisions and management of the transaction will also affect the
notes' performance.

Loss and Cash Flow Analysis:

Moody's modelled the transaction using CDOEdge, a cash flow model
based on the Binomial Expansion Technique, as described in
Section 2.3 of the "Moody's Global Approach to Rating
Collateralized Loan Obligations" rating methodology published
October 2016. The cash flow model evaluates all default scenarios
that are then weighted considering the probabilities of the
binomial distribution assumed for the portfolio default rate. In
each default scenario, the corresponding loss for each class of
notes is calculated given the incoming cash flows from the assets
and the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum
product of (i) the probability of occurrence of each default
scenario and (ii) the loss derived from the cash flow model in
each default scenario for each tranche. As such, Moody's
encompasses the assessment of stressed scenarios.

Moody's used the following base-case modelling assumptions:

Par Amount: EUR350,000,000

Diversity Score: 35

Weighted Average Rating Factor (WARF): 2650

Weighted Average Spread (WAS): 3.7%

Weighted Average Coupon (WAC): 5.5%

Weighted Average Recovery Rate (WARR): 42.0%

Weighted Average Life (WAL): 8 years

Moody's has analysed the potential impact associated with
sovereign related risk of peripheral European countries. As part
of the base case, Moody's has addressed the potential exposure to
obligors domiciled in countries with local currency country risk
ceiling of A1 or below. For countries which are not member of the
European Union, the foreign currency country risk ceiling applies
at the same levels under this transaction. Following the
effective date, and given the portfolio constraints and the
current sovereign ratings in Europe, such exposure may not exceed
10% of the total portfolio. As a result and in conjunction with
the current foreign government bond ratings of the eligible
countries, as a worst case scenario, a maximum 5% of the pool
would be domiciled in countries with local currency country
ceiling between Baa1 and Baa3. The remainder of the pool will be
domiciled in countries which currently have a local or foreign
currency country ceiling of Aaa or Aa1 to Aa3. Given this
portfolio composition, the model was run with different target
par amounts depending on the target rating of each class as
further described in the methodology. The portfolio haircuts are
a function of the exposure size to peripheral countries and the
target ratings of the rated notes and amount to 0.75% for the
Class A notes, 0.5% for the Class B notes, 0.375% for the Class C
and 0% for Classes D, E, and F notes.

Stress Scenarios:

Together with the set of modelling assumptions above, Moody's
conducted additional sensitivity analysis, which was an important
component in determining the provisional ratings assigned to the
rated notes. This sensitivity analysis includes increased default
probability relative to the base case. Below is a summary of the
impact of an increase in default probability (expressed in terms
of WARF level) on each of the rated notes (shown in terms of the
number of notch difference versus the current model output,
whereby a negative difference corresponds to higher expected
losses), holding all other factors equal.

Percentage Change in WARF: WARF + 15% (to 3048 from 2650)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: 0

Class B Senior Secured Floating Rate Notes: -2

Class C Mezzanine Secured Deferrable Floating Rate Notes: -2

Class D Mezzanine Secured Deferrable Floating Rate Notes: -2

Class E Mezzanine Secured Deferrable Floating Rate Notes: -1

Class F Mezzanine Secured Deferrable Floating Rate Notes: -1

Percentage Change in WARF: WARF +30% (to 3445 from 2650)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: -1

Class B Senior Secured Floating Rate Notes: -3

Class C Mezzanine Secured Deferrable Floating Rate Notes: -4

Class D Mezzanine Secured Deferrable Floating Rate Notes: -3

Class E Mezzanine Secured Deferrable Floating Rate Notes: -2

Class F Mezzanine Secured Deferrable Floating Rate Notes: -3

Further details regarding Moody's analysis of this transaction
may be found in the upcoming pre-sale report, available soon on
www.moodys.com.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in October 2016.


=========
I T A L Y
=========


BANCA POPOLARE: DBRS Reviews B Ratings with Neg. Implications
-------------------------------------------------------------
DBRS has placed the ratings of Banca Popolare di Vicenza SpA
(BPVI or the Bank) Under Review with Negative Implications. The
review includes the Bank's Issuer Rating and Senior Long-Term
Debt & Deposit Rating of B (high), and the Short-Term Debt and
Deposit Rating of R-4. The rating on the State Guaranteed Notes
remains unchanged at BBB (high), with a Stable trend, in line
with DBRS' rating on the Republic of Italy. DBRS does not rate
the Bank's subordinated debt.

The rating review reflects the additional risks for BPVI's senior
bondholders due to the increased uncertainty over the Bank's
capital position. On March 17, 2017, BPVI made a formal request
to the Italian Ministry of Economy and Finance (MEF), the Bank of
Italy and the ECB for State Aid in the form of a precautionary
recapitalisation, in accordance with the Law Decree 237/2016,
subsequently converted into law 15/2017. The recapitalisation
would allow BPVI to improve its risk profile and merge with
Veneto Banca, which is also applying for State Aid. However, at
this stage, it is unclear whether BPVI is eligible for State Aid.
Other aspects of the precautionary recapitalisation remain
uncertain, including mechanism and timing. As a first step, DBRS
expects the ECB to assess whether the Bank is solvent and to
determine the size of the capital shortfall. Subsequently, the
European Commission will decide whether the public support is in
line with EU State Aid rules. A precautionary recapitalisation
should reduce the risk of bail-in for the Bank's senior
bondholders, however holders of subordinated notes, not rated by
DBRS, will likely be subject to mandatory conversion, in line
with EU rules on burden sharing.

Despite the EUR 1.5 billion capital support provided by the
Atlante fund in May 2016 following the failure of the Bank's IPO,
and a further capital injection of EUR 310 million between
December 2016 and January 2017, BPVI's capital position remains
weak due to the high stock of non-performing loans (NPLs). At
end-June 2016, the Bank reported a gross impaired loans ratio of
33.9%, which is significantly higher than the average for the
Italian peers. A sale of a material amount of the Bank's NPLs to
restore BPVI's long-term prospects would likely generate a large
capital shortfall, considering the current market valuation for
Italian NPLs (approximately 20% of gross value), and the Bank's
current provisioning levels (59% for bad loans, excluding write-
offs, and 31% for other NPL categories, as of June 30 2016). A
significant improvement in the Bank's risk profile would be also
beneficial for the planned merger with Veneto Banca.

Litigation risk linked to the mis-selling of shares in the Bank's
past capital increases represents another key issue for BPVI's
medium-term prospects. In January 2017, the Bank made an offer to
compensate these shareholders. As of March 22, 2017, approx. 64%
of the eligible shares accepted the settlement, against a minimum
target of 80%. The deadline of the settlement, which was
initially set for March 22, 2017, has been recently extended to
March 28, 2017, to achieve the highest level of acceptance. A
successful settlement agreement would help to reduce the risk of
future lawsuits and further losses, as well as support future
business activities.

During the review period, DBRS will evaluate the final outcome of
the settlement, the Bank's FY2016 results, any development of
BPVI's recapitalisation, as well as any potential negative
implications for the Bank's franchise and liquidity position
linked to the ongoing uncertainty. As part of the review, DBRS
will also monitor any further development in the proposed merger
with Veneto Banca.

RATING DRIVERS
A failure to raise sufficient capital, as well as prolonged
uncertainty over the Bank's recapitalisation plan could
contribute to downward rating pressure. Upward rating pressure is
unlikely as reflected in the URN, but a sustained improvement in
the Bank's capital position and risk profile could contribute to
the confirmation of the ratings.


FIAT CHRYSLER: Moody's Revises Outlook to Pos. & Affirms Ba3 CFR
----------------------------------------------------------------
Moody's Investors Service has affirmed the Ba3 corporate family
rating (CFR) and the Ba3-PD probability of default rating of Fiat
Chrysler Automobiles N.V. The outlook on the ratings of Fiat
Chrysler was changed to positive from stable.

"Fiat Chrysler's outlook change to positive reflects the
company's improved operating performance in fiscal year 2016, its
continued efforts to delever its balance sheet as well as its
recovering market share in Europe since 2015," says Falk Frey, a
Senior Vice President and lead analyst for Fiat Chrysler.

RATINGS RATIONALE

The action reflects significant improvements in FCA's
profitability during 2016, the company's continued reduction in
gross debt and, hence, improvements in its financial metrics
which positions it strongly in the Ba3 rating category. FCA
increased its EBITA margin to 4.2% from 2.4% in 2015 (as adjusted
by Moody's), mainly as a result of efficiency gains in purchasing
and manufacturing as well as a more favourable product mix. After
the company's profitability slightly but continuously decreased
since 2012, it has now recorded profitability improvements in all
of its reported segments. This resulted in positive free cash
flow generation, reaching almost EUR1.8 billion (Moody's
adjusted) in 2016, which is, however, still relatively low
compared to the company's revenue which totalled EUR111 billion
in the same year. Coupled with the company's continued efforts to
reduce its gross debt, which resulted in a further reduction in
leverage (gross debt/EBITDA) to 3.3x from 5.3x in 2015, and
coupled with a very high cash balance of EUR17.4 billion, Moody's
views the group as strongly positioned in the Ba3 rating
category.

At the same time, Moody's cautions that the operational
improvements have been supported by strong market growth in
Europe and the US. The growth in the overall US market in recent
years has been meaningfully supported by a very high level of
consumer debt financing. This has now reached a concerning level
with a high share of subprime lending and structures that even
provide financing that is above the market value of cars. Given
that the US is FCA's most important market where it sold 47% of
its total units in 2016 and generated by far the majority of its
profit (84% of the company's adjusted EBITA in 2016 was generated
in the NAFTA region), this makes the performance of the company
vulnerable to a potential downturn in the US. FCA already saw a
volume decline by 11% year-on-year (ex-Maserati) in the first two
months of 2017 in the US, mainly due to the previously announced
phase out of the Chrysler 200 and Dodge Dart. However, this was
mitigated by EU+EFTA unit sales increasing by 12% in the same
period. Moody's positively highlights that FCA showed signs of a
recovery in its market share in Europe over the last two years,
now reaching 6.5% (EU28+EFTA), after having experienced
continuous decline since it reached a peak at 8.8% in 2009. The
recent introduction of two new Alfa Romeo models (Giulia and
Stelvio), further improvement in the penetration of the Jeep
brand, and an ongoing expansion of the Maserati brand should help
FCA to improve turnover and profitability in Europe in an
otherwise flat car market.

During 2017, FCA aims to further reduce debt by repaying maturing
capital market debt with cash on hand which is supported by
positive free cash flow generation and improving EBITDA, further
reducing leverage towards around 2.3x to 2.6x. However, this
might be jeopardised if the ongoing investigations into the
diesel emission issues in the US and Europe result in material
fines. In January 2017, the U.S. Environmental Protection Agency
("EPA") accused FCA of violating the US Clean Air Act, alleging
that FCA US LLC (FCA US) failed to disclose certain emissions
control strategies. While discussions on possible penalties seem
premature, FCA could theoretically face fines of up to $4.6
billion in the US (does not include possible criminal fines and
civil damages) according to information from the EPA. In
addition, in February 2017, the French prosecutors have opened a
similar case, increasing further the legal uncertainties for the
company. However, Moody's believes that eventual fines resulting
from these investigations could still be accommodated within
FCA's current rating, given that the possible fines in the US
constitute a statutory maximum and that German and Italian
authorities have already reached a compromise with FCA on the
diesel emission issues, requiring the company to recall and
modify its emission controls on the affected vehicles without any
restrictions on sales.

Rationale for the positive outlook

The positive outlook is based on Moody's expectations of FCA
sustaining its improved operating margin and debt-protection
ratios over the next 12 months despite possible fines following
current legal investigations into the company's diesel emission
issues.

The positive outlook also assumes that FCA will be able to
weather the challenging landscape as a result of heavy investment
requirements for (1) alternative propulsion technologies; (2)
autonomous driving; (3) the shift of production capacities
towards alternative fuel vehicles; (4) connectivity; as well as
(5) regulations relating to vehicle safety, emissions and fuel
economy.

What could change the rating Up

Upward pressure on FCA's rating could materialise if the company
is able to demonstrate sustainability in its current operating
profitability and cash flow generation, even if market conditions
were to weaken in the US and in Europe. An upgrade of FCA's
rating would also hinge on the company's ability to resolve its
current legal investigations in the US and Europe surrounding the
diesel emissions issues, without a material impact on the
company's credit metrics, and without a serious impact on its
reputation, as evidenced by a loss of market share.

Quantitatively, an upgrade could occur if FCA were able to
maintain achieved ratios on a sustainable basis, namely (1) a
Moody's-adjusted EBITA margin above 4%, (2) a positive free cash
flow, (3) a Moody's-adjusted EBITA/Interest Expense trending
towards 2.0x and (4) a Moody's-adjusted (gross) debt/EBITDA below
3.5x.

What could change the rating Down

Moody's could downgrade FCA's ratings if (1) the company were to
lose significant market share in its key markets; (2) there is
evidence that its product renewal program for its key brands were
to stall; and (3) its operating performance were to deteriorate
with limited prospects for improvement within a reasonable
timeline as a result of, for example, a weakening in market
conditions in the US, the major source of profits and cash flows
for the company, which would more than offset further
improvements in other regions and at Maserati.

Quantitatively, downward pressure on FCA's rating would build by
(1) the company's Moody's-adjusted EBITA margin falling below
2.5%, (2) Moody's-adjusted (gross) debt/EBITDA increasing above
4.5x or (3) Moody's-adjusted EBITA/Interest Expense falling below
1.5x.

Liquidity

FCA has reduced gross debt (as adjusted by Moody's) by EUR8.4
billion since January 2016 (including EUR1.7 billion related to
the prepayment of FCA US's senior secured term loan B in February
2017 and EUR850 million of matured senior unsecured notes issued
under the company's GMTN program) and Moody's expects the company
to continue reducing debt by using some of its excess cash as
well as its free cash flow generated. As at 31 December 2016,
FCA's liquidity profile was considered good, underpinned by
EUR17.4 billion in cash and marketable securities as well as
access to undrawn EUR6.2 billion committed revolving credit
facilities (RCFs). The RCFs have been upsized by EUR1.25 billion
and its maturities have been extended, with EUR3.1 billion
maturing in July 2020 (with two 1-year extension options
available) and EUR3.1 billion in June 2022. These funding sources
should cover FCA's anticipated cash requirements over the next 12
months, which comprise principally capex, debt maturities, cash
for day-to-day needs and a modest amount of dividends paid to
non-controlling interests.

Structural Considerations

On the basis of the unified capital structure following the
elimination of the ring fencing at FCA US LLC in March 2016,
Moody's has formally included FCA US LLC in Moody's notching
considerations. Moody's has considered the senior unsecured notes
issued by FCA and its treasury companies as structurally
subordinated to a significant portion of financial and non-
financial debt (including the remaining USD1.0 billion senior
secured term loan B at FCA US), located at the level of FCA's
operating subsidiaries largely consisting of trade payables.
Consequently, the ratings of FCA's outstanding senior unsecured
bonds is B1, or one notch below the Ba3 CFR, according to Moody's
Loss Given Default Methodology, and the ratings assigned to FCA
US's term loan B are Baa3.

List of affected ratings:

Affirmations:

Issuer: Fiat Chrysler Automobiles N.V.

-- LT Corporate Family Rating, Affirmed Ba3

-- Probability of Default Rating, Affirmed Ba3-PD

-- Senior Unsecured Medium-Term Note Program, Affirmed (P)B1

-- Senior Unsecured Medium-Term Note Program, Affirmed (P)NP

-- Senior Unsecured Regular Bond/Debenture, Affirmed B1

Issuer: FCA US LLC

-- Senior Secured Bank Credit Facility, Affirmed Baa3

Issuer: Fiat Chrysler Finance Canada Ltd

-- Backed Senior Unsecured Medium-Term Note Program, Affirmed
    (P)B1

Issuer: Fiat Chrysler Finance Europe SA

-- Backed Senior Unsecured Medium-Term Note Program, Affirmed
    (P)B1

-- Backed Senior Unsecured Medium-Term Note Program, Affirmed
    (P)NP

-- Backed Senior Unsecured Regular Bond/Debenture, Affirmed B1

Issuer: Fiat Chrysler Finance North America Inc.

-- Backed Senior Unsecured Medium-Term Note Program, Affirmed
    (P)B1

-- Backed Senior Unsecured Medium-Term Note Program, Affirmed
    (P)NP

-- Backed Senior Unsecured Regular Bond/Debenture, Affirmed B1

Outlook Actions:

Issuer: Fiat Chrysler Automobiles N.V.

-- Outlook, Changed To Positive From Stable

Issuer: FCA US LLC

-- Outlook, Changed To Positive From Stable

Issuer: Fiat Chrysler Finance Canada Ltd

-- Outlook, Changed To Positive From Stable

Issuer: Fiat Chrysler Finance Europe SA

-- Outlook, Changed To Positive From Stable

Issuer: Fiat Chrysler Finance North America Inc.

-- Outlook, Changed To Positive From Stable

The principal methodology used in these ratings was Global
Automobile Manufacturer Industry published in June 2011.


VENETO BANCA: DBRS Cuts Sr. Long-Term Debt & Deposit Ratings to B
-----------------------------------------------------------------
DBRS on March 24 downgraded Veneto Banca SpA's (or the Bank)
Issuer Rating and Senior Long-Term Debt & Deposits rating to B
(high) from BB (low). At the same time, the ratings were placed
Under Review with Negative Implications (URN). The Bank's
Intrinsic Assessment (IA) was also lowered to B (high) from BB
(low). Concurrently, DBRS placed the Bank's Short-Term Debt and
Deposits rating of R-4 URN. The ratings on the State Guaranteed
Notes remain unchanged at BBB (high), with a Stable trend, in
line with DBRS' rating on the Republic of Italy. DBRS does not
rate the Bank's subordinated debt.

The downgrade and rating review reflect the additional risks for
Veneto Banca's senior bondholders due to the increased
uncertainty over the Bank's capital position. On March 17, 2017,
Veneto Banca made a formal request to the Italian Ministry of
Economy and Finance (MEF), the Bank of Italy and the ECB for
State Aid in the form of a precautionary recapitalisation, in
accordance with the Law Decree 237/2016, subsequently converted
into law 15/2017. The recapitalisation would allow Veneto Banca
to improve its risk profile and merge with Banca Popolare di
Vicenza, which is also applying for State Aid. However, at this
stage, it is unclear whether Veneto Banca is eligible for State
Aid. Other aspects of the precautionary recapitalisation remain
uncertain, including mechanism and timing. As a first step, DBRS
expects the ECB to assess whether the Bank is solvent and to
determine the size of the capital shortfall. Subsequently, the
European Commission will decide whether the public support is in
line with EU State Aid rules. A precautionary recapitalisation
should reduce the risk of bail-in for the Bank's senior
bondholders, however holders of subordinated notes, not rated by
DBRS, will likely be subject to mandatory conversion, in line
with EU rules on burden sharing.

Despite approximately EUR 1.0 billion of capital support provided
by the Atlante fund in June 2016, following the failure of the
Bank's IPO, and a further capital injection of EUR 628 million
between December 2016 and January 2017, Veneto Banca's capital
position remains weak due to the high stock of NPLs. At end-June
2016, the Bank reported a gross impaired loans ratio of 32.6%,
which is significantly higher than the average for the Italian
peers. A sale of a material amount of the Bank's NPLs to restore
Veneto Banca's long-term prospects would likely generate a large
capital shortfall, considering the current market valuation for
Italian NPLs (approximately 20% of gross value), and the Bank's
current provisioning levels (53% for bad loans, excluding write-
offs, and 21% for other NPL categories, as of June 30 2016). A
significant improvement in the Bank's risk profile would be also
beneficial for the planned merger with Banca Popolare di Vicenza.

Litigation risk linked to the mis-selling of shares in the Bank's
past capital increases represents another key issue for Veneto
Banca's medium-term prospects. In January 2017, the Bank made an
offer to compensate these shareholders. As of March 22, 2017,
approx. 62% of the eligible shares accepted the settlement,
against a minimum target of 80%. The deadline of the settlement,
which was initially set for March 15, 2017, has been recently
extended to March 28, 2017, to achieve the highest level of
acceptance. A successful settlement agreement would help to
reduce the risk of future lawsuits and further losses, as well as
support future business activities.

During the review period, DBRS will evaluate the final outcome of
the settlement, the Bank's FY2016 results, any development of
Veneto Banca's recapitalisation, as well as any potential
negative implications for the Bank's franchise and liquidity
position linked to the ongoing uncertainty. As part of the
review, DBRS will also monitor any further development in the
proposed merger with Banca Popolare di Vicenza.

RATING DRIVERS
A failure to raise sufficient capital, as well as prolonged
uncertainty over the Bank's recapitalisation plan could
contribute to downward rating pressure. Upward rating pressure is
unlikely as reflected in the URN, but a sustained improvement in
the Bank's capital position and risk profile could contribute to
the confirmation of the ratings.


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


ATENTO LUXCO: Moody's Affirms Ba3 Corporate Family Rating
---------------------------------------------------------
Moody's Investors Service has affirmed the corporate family
rating of Atento Luxco 1 ("Atento") at Ba3. At the same time,
Moody's has affirmed the Ba3 rating of the company's USD 300
million senior secured notes due 2020.

Ratings affirmed:

Issuer: Atento Luxco 1

Corporate Family Rating -- Ba3

USD 300 million senior secured notes due 2020 -- Ba3 foreign
currency rating

The outlook for all ratings is stable.

RATINGS RATIONALE

The affirmation of Atento's Ba3 rating is based on the
maintenance of stable credit metrics despite the macroeconomic
headwinds in Brazil and other operating markets. The company has
maintained a good liquidity profile, with cash position of USD
194 million covering its short-term financial obligations by 3.5x
times as of December 2016 plus an available committed credit
facility of EUR 50 million. Additionally, Moody's acknowledge the
company's initiatives to diversify revenues, reducing Telefonica
concentration, and to reduce costs, including the rationalization
of headcount and the site relocation program.

Atento's Ba3 ratings are supported primarily by its size and
scale as the third largest global Business Process Outsourcing
("BPO") provider by revenues, its geographic and product
diversity and leading position in its markets. The ratings also
consider its long-term service contracts, in particular the
service agreement between Atento and its largest client
Telefonica that expires in 2023 and accounts for around 42% of
Atento's revenues in 2016. The BPO and customer relationship
management ("CRM") industry's resilient nature and positive
growth prospects, especially in Latin America, also support the
ratings.

The IPO of the ultimate holding company Atento S.A. in October
2014 on the NYSE brought benefits to the group's corporate
governance with higher degree of transparency, stricter rules of
compliance and internal controls, and increased ability to
operate as an independent company.

Conversely, the ratings are constrained by the high component of
labor in the cost structure of this industry, which weakens
operating flexibility and potentially generates high contingency
provisions. The industry's fragmented nature also heightens risks
related to acquisitions, although no material acquisition is
anticipated by the company in the short term. In the last few
months the company announced the acquisitions of RBrasil, USD 8
million, and Interfile, both of which will complement Atento's
service offerings. Finally, the company is still building a track
record operating independently from Telefonica after Bain Capital
Partners' acquisition in the end of 2012.

The stable outlook incorporates Moody's expectations that Atento
will continue to benefit from the good prospects of the customer
service industry in Latin America, while the company pursues its
expansion plans towards a more diversified client base and higher
value-added services. Also, that any combination of acquisitions
will be conducted in a prudent and conservative manner and it
will not jeopardize its credit metrics.

Atento's ratings could be upgraded if the company is able to
diversify its customer base while maintaining profitability at
current levels and gradually deleverage. Quantitatively, the
ratings could be upgraded if the company is able to reduce Total
Adjusted Debt to Ebitda below 3.5x (3.4x in the last twelve
months ended September 2016) and Free Cash Flow to Total Adjusted
Debt above 8.0% (1.0% in the last twelve months ended September
2016) on a consistent basis.

Conversely, the ratings could be downgraded if Atento is unable
to deleverage its balance sheet or if company's profitability
deteriorates considerably. The ratings would suffer downward
pressure if Atento's Total Adjusted Debt to Ebitda increases
above 4.0x (3.4x in the last twelve months ended September 2016)
on a sustained basis and if company's Free Cash Flow to Total
adjusted Debt remains negative for an extended period of time
(1.0% in the last twelve months ended September 2016). Negative
pressures could also arise from high dividend payouts that result
in liquidity shortfalls.

The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016. Please see
the Rating Methodologies page on www.moodys.com for a copy of
this methodology.

Headquartered in Luxembourg, Atento Luxco 1 was created after the
acquisition of Atento Inversiones y Teleservicios' Customer
Relationship Management business by Bain Capital Partners on
December 12, 2012. Atento Luxco 1 is the holding company of the
"Atento" group, and through its direct and indirect subsidiaries
operates in Latin America, North America and EMEA offering
customer care, telesales and other back office outsourced
services to mainly telecom companies and financial institutions.
Atento Luxco 1 is ultimately owned by Atento S.A., a publicly
listed company since October 2014. The company is the largest
provider of customer relationship management and business process
outsourcing services in Latin America, and among the top three
providers globally, with net revenues of USD 1.8 billion in the
last twelve months ended December 2016 and more than 150 thousand
employees.


TELENET INT'L: Fitch Assigns 'BB(EXP)' Rating to Term Loan AH
-------------------------------------------------------------
Fitch Ratings has assigned Telenet International Finance
S.a.r.L.'s Term Loan AH and Telenet Financing USD LLC's Term Loan
AI an expected rating of 'BB(EXP)'. Both issuing entities are
subsidiaries of Telenet BVBA (Telenet; formerly Telenet NV). The
final rating is contingent upon the receipt of final
documentation conforming materially to the preliminary
documentation reviewed.

Telenet is issuing two new senior secured term loans, the
proceeds of which will be used to partially refinance existing
bank debt in a leverage-neutral transaction. Term Loan AI will
have a minimum tranche size of USD1,000 million and an 8.25-year
tenor, and Term Loan AH will have a minimum tranche size of
EUR750 million and a nine-year tenor. The transaction is part of
the company's strategy to refinance prior to maturity and
maximise tenor. The new term loans will be guaranteed by Telenet
Financing USD LLC, Telenet BVBA, Telenet International Finance
S.a.r.L. and Telenet Group BVBA.

KEY RATING DRIVERS

Strong Operating Position: Telenet operates a cable network
within Flanders and some parts of Brussels. Consolidation of
local loop unbundling providers has resulted in duopolistic
competition in infrastructure-based fixed line within the
consumer segment. Fibre-to-the-home deployment from incumbent
Proximus has so far been at a slower pace than in other western
European markets such as France, Spain and the Netherlands.
Within its franchise area, Telenet services around 70% of
households, to which it provides TV, broadband or fixed-line
telephony. This provides the company with sufficient scale to
generate a stable underlying pre-dividend free cash flow (FCF)
margin of 12%-14%.

Sustaining Competitiveness: Telenet has been able to sustain its
leading market position by investing in its network
infrastructure, providing rich, value-for-money content bundles
and improving customer service. The company has a five-year,
EUR500 million capital investment programme that will lift cable
network capacity to 1 GHz from 600 MHz currently, enabling
broadband downstream speeds of at least 1 Gbps.

Competition from Wholesale Regulation Manageable: Belgium
introduced cable wholesale regulation in 1Q16. The move will
enable third parties to access Telenet's cable infrastructure on
a wholesale basis based on a retail minus pricing formula
applying to TV and broadband combined. Fitch believes the impact
on Telenet is likely to be limited and manageable. The company
has sufficient margin in its pre-dividend FCF to weather the
impact and maintain funds from operations (FFO) adjusted net
leverage below 5.25x or approximately 4.3x net debt to EBITDA,
which is at the upper end of the company's target range of 3.5x-
4.5x.

Factors that constrain market share loss include market maturity
and churn levels, the prevalence of triple-play take-up among the
subscriber base, and the cost of providing attractive content
economically. Fitch believes the greatest loss in market share is
likely to be at the more price-sensitive end of the market.

Commensurate Shareholder Remuneration: Telenet does not have a
fixed shareholder remuneration policy but has a formal policy to
manage leverage up to 4.5x net debt to EBITDA. Since 2010,
Telenet has managed leverage between 3.5x and 4.3x net debt to
EBITDA with the higher end achieved in 2013, following a EUR900m
exceptional dividend payment. The approach enables Telenet to
link its shareholder remuneration to its growth and operational
risk profile. This is credit positive as it provides flexibility
for M&A, investment and preservation of its credit metrics if
required.

Notching of Secured Debt: In line with Fitch's notching criteria,
the company's secured debt is rated 'BB', one notch higher than
its IDR. The recovery rating on Telenet's senior secured debt is
'RR2' due to the strong expected recovery prospects for Telenet.

DERIVATION SUMMARY

Telenet's rating is driven by its strong operating profile, which
is supported by a favourable market structure and a sustainable
competitive position. This enables Telenet to generate robust and
stable FCF and support a leveraged balance sheet. The company's
leverage target relative to other western European telecoms
operators is high and forms a restraining factor to the rating.

KEY ASSUMPTIONS

Fitch's key assumptions within Fitch ratings case for Telenet
include:

- Stable yoy revenue growth in 2017.
- Mid-single-digit yoy EBITDA growth in 2017.
- A capex/sales ratio of around 24%.

RATING SENSITIVITIES

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

- A weakening in the operating environment due to increased
   competition from cable wholesale leading to a larger-than-
   expected market share loss and decrease in EBITDA.

- FFO-adjusted net leverage consistently over 5.25x
   (corresponding to approximately 4.3x net debt to EBITDA) and
   FFO fixed-charge cover trending below 2.5x.

- A change in financial or dividend policy leading to new,
higher
   leverage targets.

Positive rating action is unlikely in the medium term unless
management pursues a more conservative financial policy.

LIQUIDITY

Telenet has a strong liquidity position as a result of internal
cash flow generation of EUR120m and undrawn credit facilities of
EUR400m. The company has a long-dated debt maturity profile, with
the first debt maturity occurring in 2022.


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


NEPTUNO CLO I: Moody's Affirms Ba3(sf) Rating on Cl. E-1 Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Neptuno CLO I B.V.:

-- EUR25M Class C Senior Secured Deferrable Floating Rate Notes
    due 2023, Upgraded to Aaa (sf); previously on Oct 25, 2016
    Upgraded to Aa1 (sf)

-- EUR28M Class D Senior Secured Deferrable Floating Rate Notes
    due 2023, Upgraded to A1 (sf); previously on Oct 25, 2016
    Upgraded to A3 (sf)

Moody's has also affirmed the ratings on the following notes:

-- EUR100M (Current outstanding balance of EUR11.8M) Class A-R
    Senior Secured Revolving Floating Rate Notes due 2023,
    Affirmed Aaa (sf); previously on Oct 25, 2016 Affirmed Aaa
    (sf)

-- EUR223M (Current outstanding balance of EUR44.8M) Class A-T
    Senior Secured Floating Rate Notes due 2023, Affirmed Aaa
    (sf); previously on Oct 25, 2016 Affirmed Aaa (sf)

-- EUR44M Class B-1 Senior Secured Floating Rate Notes due 2023,
    Affirmed Aaa (sf); previously on Oct 25, 2016 Affirmed Aaa
    (sf)

-- EUR4M Class B-2 Senior Secured Fixed Rate Notes due 2023,
    Affirmed Aaa (sf); previously on Oct 25, 2016 Affirmed Aaa
    (sf)

-- EUR24M Class E-1 Senior Secured Deferrable Floating Rate
    Notes due 2023, Affirmed Ba3 (sf); previously on Oct 25, 2016
    Affirmed Ba3 (sf)

-- EUR2M Class E-2 Senior Secured Deferrable Fixed Rate Notes
    due 2023, Affirmed Ba3 (sf); previously on Oct 25, 2016
    Affirmed Ba3 (sf)

Neptuno CLO I B.V., issued in May 2007, is a collateralised loan
obligation (CLO) mostly backed by a portfolio of high-yield
European loans. The portfolio is managed by BNP Paribas Asset
Management S.A.S. The transaction's reinvestment period ended in
November 2014.

RATINGS RATIONALE

The upgrades to the ratings on the Classes C and D notes are
primarily a result of the repayment of the Classes A-T and A-R
notes following amortisation of the underlying portfolio since
the last rating action in October 2016.

The Classes A-T and A-R notes have paid down by approximately
EUR77 million (9% of closing balance) since the last rating
action in October 2016 and EUR266.4 million (53% of closing
balance) since closing. As a result of the deleveraging, over-
collateralisation (OC) has increased. According to the trustee
report dated February 2017 the Class A/B, Class C, Class D and
Class E OC ratios are reported at 189.00%, 152.53%, 125.43% and
107.66% compared to September 2016 levels of 153.24%, 134.67%,
118.57% and 106.72.6%, respectively.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR182.25
million and GBP12.60 million, defaulted par of EUR0.01 million, a
weighted average default probability of 15.95% (consistent with a
WARF of 2483 and a WAL of 3.94 years), a weighted average
recovery rate upon default of 44.40% for a Aaa liability target
rating, a diversity score of 21 and a weighted average spread of
3.58%. The GBP-denominated liabilities are naturally hedged by
the GBP4.51 million assets and GBP8 million principal proceeds.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on
future defaults is based primarily on the seniority of the assets
in the collateral pool. Moody's generally applies recovery rates
for CLO securities as published in "Moody's Approach to Rating SF
CDOs" published in October 2016. In some cases, alternative
recovery assumptions may be considered based on the specifics of
the analysis of the CLO transaction. In each case, historical and
market performance and a collateral manager's latitude to trade
collateral are also relevant factors. Moody's incorporates these
default and recovery characteristics of the collateral pool into
its cash flow model analysis, subjecting them to stresses as a
function of the target rating of each CLO liability it is
analysing.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Global Approach to Rating Collateralized Loan Obligations "
published in October 2016.

Factors that would lead to an upgrade or downgrade of the
ratings:

In addition to the base-case analysis, Moody's conducted
sensitivity analyses on the key parameters for the rated notes,
for which it assumed lower weighted average recovery rate for the
portfolio. Moody's ran a model in which it reduced the weighted
average recovery rate by 5%; the model generated outputs that
were within one notch of the base-case results.

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of uncertainty about credit conditions in the
general economy. CLO notes' performance may also be impacted
either positively or negatively by 1) the manager's investment
strategy and behaviour and 2) divergence in the legal
interpretation of CDO documentation by different transactional
parties because of embedded ambiguities.

Additional uncertainty about performance is due to the following:

* Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager
or be delayed by an increase in loan amend-and-extend
restructurings. Fast amortisation would usually benefit the
ratings of the notes beginning with the notes having the highest
prepayment priority.

* Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's over-
collateralisation levels. Further, the timing of recoveries and
the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's
analysed defaulted recoveries assuming the lower of the market
price or the recovery rate to account for potential volatility in
market prices. Recoveries higher than Moody's expectations would
have a positive impact on the notes' ratings.

* Foreign currency exposure: The deal has an exposure to non-EUR
denominated assets. Volatility in foreign exchange rates will
have a direct impact on interest and principal proceeds available
to the transaction, which can affect the expected loss of rated
tranches.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


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


BBVA CONSUMO: DBRS Assigns Prov. BB Rating to Series B Notes
------------------------------------------------------------
DBRS Ratings Limited assigned the following provisional ratings
to the Series A Notes and Series B Notes (together, the Notes)
issued by BBVA Consumo 9 FT (the Issuer):

-- EUR 1,251,200,000 Series A Notes rated A (sf)
-- EUR 123,800,000 Series B Notes rated BB (sf)

The rating on the Series A Notes addresses the timely payment of
interest and ultimate payment of principal on or before the Final
Maturity Date in September 2033. The rating on the Series B Notes
addresses the ultimate payment of interest and ultimate payment
of principal on or before the Final Maturity Date in September
2033.

The aggregate proceeds from the issuance of the Notes will be
applied toward the acquisition of a portfolio of performing
consumer loan receivables granted by Banco Bilbao Vizcaya
Argentaria, S.A. (BBVA or the Originator) to individuals residing
in Spain. The securitisation will take place in the form of a
fund, in accordance with the Spanish Securitisation Law, and the
economic effect of the transfer of the portfolio to the Issuer
will take place on 27 March 2017 (the Issuance Date). The
portfolio will be serviced by BBVA (also the Servicer).

The transaction includes an 18-month revolving period scheduled
to end on the September 2018 payment date. During this period,
the Issuer may acquire new receivables (Additional Receivables)
from BBVA subject to certain conditions and limitations. The
revolving period will end prematurely upon the occurrence of
certain events, including gross cumulative defaults exceeding
certain thresholds, the Issuer's inability to fully replenish the
cash reserve and BBVA's insolvency. The purchase of new
receivables will be funded through principal collections as well
as excess spread to make up for any defaulted loans.

DBRS was provided with the provisional portfolio as of 6 March
2017 (Provisional Portfolio Date). As at the Provisional
Portfolio Date, the overall portfolio consisted of 169,230 loans
extended to 157,544 borrowers with an aggregate principal balance
of EUR 1,424.8 million, of which EUR 22.7 million was in arrears
for fewer than 31 days.

The ratings assigned to the Notes are based on the following
analytical considerations:

PORTFOLIO CHARACTERISTICS
-- The portfolio Individual Requirements and the Global
    Requirements, based on which DBRS has assumed, in its
    opinion, the worst-case portfolio. In general, the portfolio
    is not expected to significantly differ from the initial one
    to be transferred at the Issuance Date.

-- The provisional portfolio includes 12.1% of floating-rate
    loans, indexed exclusively to 12-month Euribor. Global
    Requirements limit the amount of floating-rate loans to 15.0%
    of the total portfolio balance.

-- 98.2% of the loans in the provisional portfolio allow for
    some kind of interest rate reductions (benefits), depending
    on the additional products the borrower has arranged with
    BBVA (such as Payment Insurance).

TRANSACTION CHARACTERISTICS
-- After the end of the revolving period, the amortisation of
    the Notes will be fully sequential.

-- The interest rate risk is partially mitigated as the Notes
    have fixed-rate coupons and at least 85.0% of the securitised
    loans must have fixed interest rates. DBRS has modelled the
    worst-case portfolio, assuming 15.0% of the pool to be
    indexed to 12-month Euribor and considering the minimum
    interest rate levels allowed under the Global Requirements.

-- The credit enhancement (CE) is expected to be 13.5% for the
    Series A Notes and 4.5% for the Series B Notes, which DBRS
    considers to be sufficient to cover the expected losses
    assumed in line with the A (sf) and BB (sf) rating levels,
    respectively. The CE for the Series A Notes is provided by
    the subordination of the Series B Notes and the Cash Reserve
   (CR) while CE for the Series B Notes is provided by the CR.

-- The amortising CR, to be funded with EUR 61,875,000 (4.5% of
    the initial balance of the Notes) through the proceeds of a
    Subordinated Loan to be granted by BBVA, will be available to
    cover senior expenses, missed interest payments on the Notes
    and missed principal payments on the Series A Notes. Subject
    to certain conditions, the CR will amortise to its target
    amount, equal to the lower of (1) EUR 61,875,000 and (2) 9.0%
    of the aggregate Notes balance with a EUR 30,937,500 floor.

-- The sovereign rating of the Kingdom of Spain, currently at A
    (low).

-- The transaction's ability to withstand stressed cash flow
    assumptions and repay investors according to the terms in
    which they have invested.

-- The soundness of the legal structure and the presence of
    legal opinions that address the true sale of the assets to
    the trust and the non-consolidation of the Issuer as well as
    the consistency with DBRS's "Legal Criteria for European
    Structured Finance Transactions" methodology. BBVA will act
    as the transaction account bank; the DBRS Critical
    Obligations Rating of BBVA is A (high) while its DBRS Issuer
    Rating is "A."


CAIXABANK RMBS: DBRS Finalizes B(sf) Rating to Class B Notes
------------------------------------------------------------
DBRS Ratings Limited finalized its provisional ratings on the
notes issued by Caixabank RMBS 2 Fondo de Titulizacion (the
Issuer) as follows:

-- EUR 2,448,000,000 Class A Notes at A (sf)
-- EUR 272,000,000 Class B Notes at B (sf)

The rating on the Class A Notes addresses timely payment of
interest and ultimate payment of principal. The rating on the
Class B Notes addresses ultimate payment of interest and ultimate
payment of principal. Credit enhancement is provided in the form
of subordination and an amortising reserve fund. In addition, the
reserve fund provides liquidity support.

Proceeds from the issuance of the Class A and Class B Notes were
used to purchase a portfolio of first-lien residential mortgage
loans and first-lien multi-credito mortgage loans, secured over
properties located in Spain. The mortgage loans were originated
by Caixabank, S.A. (Caixabank). Caixabank will also be the
servicer of the portfolio. In addition, Caixabank has provided a
separate subordinated loan to fund the reserve fund. The
securitisation took place in the form of a fund, in accordance
with Spanish Securitisation Law.

The ratings are based on DBRS's review of the following
analytical considerations:

-- The transaction's capital structure and the form and
    sufficiency of available credit enhancement. The Class A
    Notes benefit from EUR 272 million (10.0%) subordination of
    the Class B Notes and the EUR 129.2 million (4.75%) reserve
    fund, which is available to cover senior fees as well as
    interest and principal of the Class A Notes until paid in
    full. The reserve fund will amortise with a target equal to
    6.0% of the current balance of the rated notes, subject to a
    floor equal to the lower of (1) 6.0% of the outstanding
    balance of the Class A and Class B Notes and (2) 4.75% of the
    initial balance of the Class A and Class B Notes. The reserve
    fund will not amortise if certain performance triggers are
    breached. The Class A Notes will benefit from full sequential
    amortisation, where principal on the Class B Notes will not
    be paid until the Class A Notes have been redeemed in full.
    Additionally, the Class A Notes principal will be senior to
    the Class B Notes interest payments in the priority of
    payments.

-- DBRS was provided with the provisional portfolio with a
    balance of EUR 2,742 million as of 24 February 2017. At
    closing, the portfolio balance will be equal to the balance
    of the notes (EUR 2,720 million). 35.1% of the provisional
    portfolio is Credito Abierto drawdowns where the borrower has
    the ability to withdraw further advances, subject to borrower
    performance and eligibility criteria. Further draws will not
    be funded by the Issuer; however, further draws will rank
    pari passu with the securitized loans. The main
    characteristics of the total portfolio include: (1) 79.9%
    weighted-average current loan-to-value (WACLTV) and 94.9%
    indexed WACLTV (Q4 2015); (2) the top three geographical
    concentrations are Andalusia (20.5%), Catalonia (17.9%) and
    Madrid (14.2%); (3) 7.4% of the borrowers are non-nationals
    and 2.5% are non-residents; (4) WA loan seasoning of 4.2
    years; and (5) the WA remaining term of the portfolio is 25.1
    years.

-- 63.3% of the portfolio comprises floating-rate mortgages,
    primarily linked to 12-month Euribor (60.4%) and IRPH (2.9%),
    with the remaining 36.7% of the portfolio consisting of
    fixed-rate mortgages (including 3.2% of loans that pay a VPO
    rate, which DBRS assumed to be fixed in its cash flow
    analysis). The notes are floating-rate liabilities indexed to
    three-month Euribor. The interest rate risk and basis risk is
    unhedged. DBRS notes that the unhedged position exposes the
    transaction to interest risk, which could negatively affect
    the rating in case of interest rate rises and/or an increase
    of the fixed-rate loan portion in the portfolio after
    permitted loan modifications. Reserve fund amounts are
    available to cover the interest rate and basis risk for the
    rated notes. Additionally, the Class A Notes benefit from the
    senior position in the priority of payments to the Class B
    Notes. DBRS stressed the interest rates as described in the
    DBRS "Unified Interest Rate Model for European
    Securitisations" methodology. DBRS will continue to monitor
    the interest rate structure of the transaction.

-- The credit quality of the mortgages backing the notes and the
    servicer's ability to perform its servicing responsibilities.
    DBRS was provided with Caixabank's historical mortgage
    performance data separated between first-lien mortgages and
    Credito Abierto drawdowns as well as with loan-level data for
    the mortgage portfolio. Details of the portfolio default rate
    (PDR), loss given default (LGD) and expected losses (EL)
    resulting from DBRS's credit analysis of the mortgage
    portfolio at A (sf) and B (sf) stress scenarios are detailed
    below. In accordance with the transaction documentation, the
    servicer is able to grant loan modifications without the
    management company's consent within the range of permitted
    variations. According to the documentation, permitted
    variations are allowed and include (1) the possibility of
    floating-rate loans to be converted to fixed-rate loans, (2)
    an extension of the maturity up until June 2057 for up to 5%
    of the initial portfolio and (3) a reduction of the interest
    rate on the loans as long as the WA interest rate of the
    portfolio never falls below three-month Euribor (floor of 0%)
    + 1%. DBRS stressed the margin of the portfolio to 1.0% in
    its cash flow analysis and extended the maturity for 5% of
    the mortgage loans up to June 2057 in its cash flow analysis.
    The servicer can modify the interest rate type of loans from
    floating- to fixed-rate loans. The transaction documents
    allow the proportion of fixed-rate mortgage loans to be 38.0%
    as of the Initial Balance.

-- The transaction's account bank agreement and respective
    replacement trigger require Caixabank acting as the treasury
    account bank to find (1) a replacement account bank or (2) an
    account bank guarantor upon loss of a BBB (low) rating. The
    DBRS Critical Obligations Rating of Caixabank is A (high),
    while the DBRS rating for Caixabank to act as account bank is
    "A."

-- The credit quality of the mortgage loan portfolio and the
    servicer's ability to perform collection activities. DBRS
    calculated PDR, LGD and EL outputs on the mortgage loan
    portfolio. The portfolio was grouped into two sub-portfolios
    based on product type. The first sub-portfolio includes the
    Credito Abierto drawdowns and was assigned a Spanish
    Underwriting Score of 2. The second sub-portfolio includes
    the standard mortgages and was assigned a Spanish
    Underwriting Score of 3. DBRS expects the future performance
    of the Credito Abierto product to be better than credit-line
    products observed in programs, such as Hipocat Fondo de
    Titulizacion, given the past performance of these products
and the underwriting criteria applied by Caixabank. As a
consequence,
    DBRS's European Insight Model assigned a score to these loans
    that is lower than the typical credit-line product.

-- The transaction's ability to withstand stressed cash flow
    assumptions and to repay the Class A and the Class B Notes
    according to the terms of the transaction documents. The
    transaction cash flows were modelled using PDR and LGD
    outputs provided by the European RMBS Insight Model in Intex.
    DBRS considered cash flow stresses as outlined in its Spanish
    Addenda, Cash Flow Analysis. The Class A Notes did not pass
    the 0% constant prepayment rate (CPR) stress in the up
    interest rate front- and back-loaded default scenario,
    whereas the Class B Notes did not pass the 0% CPR stress in
    the up interest rate back-loaded default scenario. Past CPR
    rates in RMBS transactions originated by Caixabank have been
    consistently at and above 2%. DBRS also tested a CPR scenario
    of 2% where there was a small principal shortfall for the
    Class A Notes in the up interest rate and back-loaded default
    scenario. DBRS will continue to monitor prepayment rates as
    part of its surveillance process.

-- The sovereign rating of the Kingdom of Spain rated A (low)
    with a Stable trend and R-1 (low) with a Stable trend (as of
    the date of this PR).

-- The legal structure and presence of legal opinions addressing
    the assignment of the assets to the Issuer and consistency
    with DBRS's "Legal Criteria for European Structured Finance
    Transactions" methodology.


IM GRUPO: Moody's Assigns Caa2(sf) Rating to EUR86.7MM Notes
------------------------------------------------------------
Moody's Investors Service has assigned the following definitive
ratings to notes issued by IM GRUPO BANCO POPULAR CONSUMO I, FT:

-- EUR423.3 million Series A Floating Rate Asset Backed Notes
    due April 2050, Definitive Rating Assigned A2(sf)

-- EUR86.7 million Series B Floating Rate Asset Backed Notes due
    April 2050, Definitive Rating Assigned Caa2(sf)

RATINGS RATIONALE

The IM GRUPO BANCO POPULAR CONSUMO I, FT is a two year revolving
cash securitisation of consumer loan receivables extended by
Banco Popular Espanol, S.A. ((P)Ba2 Senior Unsecured; Baa3(cr))
("Banco Popular") and Banco Pastor, S.A. (B2, Subordinated - Dom
Curr) ("Banco Pastor") to obligors located in Spain. The
borrowers use the consumer loans for several purposes, such as
new or used car acquisition, property improvement and other
undefined or general purposes. The servicers are Banco Popular
and Banco Pastor, each its portfolio.

Banco Popular also acts as asset servicer, collection and issuer
account bank provider.

The portfolio of underlying assets consists of unsecured consumer
loans originated in Spain, with mostly floating rates (51.09% of
the pool) and a total outstanding balance of approximately EUR534
million.

The balance of the portfolio (as at 02/03/2017) corresponds to
approximately EUR534.81 million, for a total number of 64,382
loans. The tenor of the loans varies (from one year to 40 years)
depending on the purposes of the loan. Loans are either bullet
(around 3.78% of the portfolio) or standard amortising loans. The
transaction benefits from credit strengths such as the
granularity of the portfolio, the high average interest rate of
6.5% and the financial strength and securitisation experience of
the originator. However, Moody's notes that the transaction
features some credit weaknesses such as commingling risk and the
high linkage to Banco Popular. In addition, the revolving
structure could increase performance volatility of the underlying
portfolio. Various mitigants have been put in place in the
transaction structure, such as early amortisation triggers,
performance-related triggers to stop the amortisation of the
reserve fund, substitution criteria both on individual loan and
portfolio level and eligibility criteria for the portfolio.
Commingling risk is partly mitigated by the transfer of
collections to the issuer account within two days. If Banco
Popular's long term deposit rating is downgraded below Baa3, it
will either transfer the issuer account to an eligible entity or
guarantee the obligations of Banco Popular.

Moody's analysis focused, amongst other factors, on (i) an
evaluation of the underlying portfolio of consumer loans and the
eligibility criteria; (ii) historical performance provided on
Banco Popular's total book and past consumer loan ABS
transactions; (iii) the credit enhancement provided by
subordination, excess spread and the reserve fund; (iv) the
revolving structure of the transaction; (v) the liquidity support
available in the transaction by way of principal to pay interest
and the reserve fund; and (vi) the overall legal and structural
integrity of the transaction.

Please note that on March 21, 2017, Moody's released a Request
for Comment, in which it has requested market feedback on
potential revisions to its Approach to Assessing Counterparty
Risks in Structured Finance. If the revised Methodology is
implemented as proposed, the Credit Rating on IM GRUPO BANCO
POPULAR CONSUMO I, FT is not expected to be affected. Please
refer to Moody's Request for Comment, titled " Moody's Proposes
Revisions to Its Approach to Assessing Counterparty Risks in
Structured Finance," for further details regarding the
implications of the proposed Methodology revisions on certain
Credit Ratings.

MAIN MODEL ASSUMPTIONS

Moody's determined a portfolio lifetime expected mean default
rate of 6.50%, expected recoveries of 20.0% and a Aa2 portfolio
credit enhancement ("PCE") of 18.0% for both the current and
substituted portfolios of the issuer. The expected defaults and
recoveries capture Moody's 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 its ABSROM cash flow model to
rate consumer ABS transactions.

The portfolio expected mean default rate of 6.50% is in line with
Spanish consumer loan transactions and is 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 20.0% are in line with the
Spanish consumer loan 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 such as quality of data provided and asset
security provisions.

The PCE of 18.0% is in line with other Spanish consumer loan
peers and is based on Moody's assessment of the pool taking into
account the relative ranking to originator peers in the Spanish
consumer loan market. The PCE of 18.0% results in an implied
coefficient of variation ("CoV") of 44.8%.

METHODOLOGY

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

The rating addresses 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 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 or circumstances that could lead to an upgrade of the
ratings of the notes would be (1) better than expected
performance of the underlying collateral; (2) significant
improvement in the credit quality of Banco Popular; or (3) a
lowering of Spain's sovereign risk leading to the removal of the
local currency ceiling cap. Factors or circumstances that could
lead to a downgrade of the ratings would be (1) worse than
expected performance of the underlying collateral; (2)
deterioration in the credit quality of Banco Popular; or (3) an
increase in Spain's sovereign risk.

LOSS AND CASH FLOW ANALYSIS:

Moody's used its cash flow model ABSROM as part of its
quantitative analysis of the transaction. ABSROM enables users to
model various features of a standard European ABS transaction -
including the specifics of the loss distribution of the assets,
their portfolio amortisation profile, yield as well as the
specific priority of payments, swaps and reserve funds on the
liability side of the ABS structure. The model is used to
represent the cash flows and determine the loss for each tranche.
The cash flow model evaluates all loss scenarios that are then
weighted considering the probabilities of the lognormal
distribution assumed for the portfolio loss rate. In each loss
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 loss scenario; and (ii)
the loss derived from the cash flow model in each loss scenario
for each tranche.

STRESS SCENARIOS:

As described in above, Moody's analysis encompasses the
assessment of stressed scenarios.

MOODY'S PARAMETER SENSITIVITIES

In rating consumer loan ABS, the mean default rate and the
recovery rate are two key inputs that determine the transaction
cash flows in the cash flow model. Parameter sensitivities for
this transaction have been tested in the following manner:
Moody's tested nine scenarios derived from a combination of mean
default rate: 6.50% (base case), 7.00% (base case + 0.5%), 7.50%
(base case + 1.0%) and recovery rate: 20.0% (base case), 15.0%
(base case - 5.0%), 10.0% (base case - 10%). The model output
results for Class A Notes under these scenarios vary from A2
(base case) to A3 assuming the mean default rate is 7.50% and the
recovery rate is 10.0% all else being equal.

Parameter sensitivities provide a quantitative/model indicated
calculation of the number of notches that a Moody's rated
structured finance security may vary if certain input parameters
used in the initial rating process differed. 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 model output for the Class A Notes might have
differed if the two parameters within a given sector that have
the greatest impact were varied.


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


BOPARAN HOLDINGS: Moody's Revises Outlook to Neg., Affirms B2 CFR
-----------------------------------------------------------------
Moody's Investors Service changed to negative from stable the
outlook of UK-based food manufacturer Boparan Holdings Limited
and Boparan Finance plc. At the same time, Moody's affirmed the
B2 corporate family rating (CFR) and B2-PD probability of default
rating (PDR) of Boparan, as well as the B2 ratings on the senior
notes at Boparan Finance plc.

The rating action reflects the weaker than anticipated operating
performance in the second quarter of fiscal year 2016-17 (Q2
2017) as well as Moody's view that challenging market conditions
for food manufacturers in the UK and inflationary headwinds could
pressure Boparan's profitability in the next 12 to 18 months,
which in turn could lead to further deterioration in already weak
credit metrics for the current rating.

RATINGS RATIONALE

The outlook change to negative from stable is driven by the
company's weaker than anticipated operating performance in Q2
2017 combined with Moody's expectation that a recovery over the
next 12 to 18 months could be proved difficult due to the
challenging UK food retail industry, fierce competition in the
company's key markets, the high inflationary environment, and
some degree of execution risk in achieving the expected cost
savings.

Boparan reported like-for-like sales growth of 2.6% in Q2 2017
but like-for-like EBITDA declined by 9.2% due to inflationary
headwinds as well as operational disruptions in the Protein
segment. Inflationary headwinds from dairy and cocoa prices and a
weaker pound have particularly affected the Branded segment with
declining like-for-like EBITDA of 16.8%. Concurrently, protein
like-for-like EBITDA was 15.8% lower because of Avian flu
outbreaks affecting the sale of poultry by-products from its
European operations and the temporary closure of the Scunthorpe
plant for upgrading works. Weak performance in the Branded and
Protein segments was however partly offset by Chilled as higher
input costs were offset by cost savings, new product launches and
good performance during the Christmas period.

The company has undertaken a series of measures to mitigate
higher input costs and improve profitability. In the Protein
segment, this includes the upgrading and expansion of its largest
poultry processing plant in Scunthorpe and the closure of one of
the two red meat packing facilities. Both are expected to
generate substantial cost savings from the last quarter of the
fiscal year onwards. Also, approximately 70% of UK poultry sales
benefit from contractual pass-through arrangements for key
poultry feedstock including currency impact, albeit with a time-
lag of approximately three months. Sales price increases have
also been achieved in the other parts of the businesses while
further cost savings will come from redundancies and other
efficiency improvements.

Moody's views the company's current credit metrics as fairly weak
for the current rating category, especially the high leverage and
thin margins. The Moody's-adjusted EBIT margin was 3.3% for the
last twelve month ended January 28, 2017 and the Moody's-adjusted
debt/EBITDA stood at 7.1x compared to 6.8x as fiscal year-end
2015-16. The higher leverage was mainly due to the lower EBITDA
and an increase in finance leases. Moody's calculation also
include an adjustment for the company's pension deficit but it
typically assesses pension deficit liabilities over the medium
term rather than at a single point in time, and places greater
emphasis on the impact of the obligations on cash flow
generation. Excluding the impact of the pension deficit
adjustment, the Moody's-adjusted leverage was 5.3x as of January
28, 2017.

Because of the weak credit metrics, there is limited headroom
under the current rating to tolerate further deterioration in
operating performance. This also comes at a time when the company
faces several market headwinds which could pressure profitability
over the next 12 to 18 months. Moody's positively views the
mitigating measures undertaken to date by the company but
cautions that they are subject to some degree of execution risks.
The impact of the price increases on volumes remains uncertain
and will also depend on retailers' pricing and promotional
strategy. That being said, in the Protein segment, this is
mitigated by the fact that poultry remain less expensive than
other sources of protein such as red meat or fish.

Last but not least, additional downside risks on profitability
include sporadic Avian flu outbreaks in the UK or continental
Europe which could affect export of poultry by-products,
profitability decline in red meat due to lower volume and/or
rising input costs, planned increases in the UK national living
wage, and fierce competition across the different segments which
could result in contract loss and/or lower market share. For
example, Moy Park Holdings (Europe) Limited (B1 stable), which
delivered a good operating performance in 2016, has recently
added new capacity in its UK poultry operations.

More positively, Moody's views the liquidity profile as adequate
despite its expectations of limited free cash flow generation in
2016-17 (before pension contribution). As of January 28, 2017,
the cash balance was GBP100 million, the GBP60 million revolving
credit facility (RCF) was undrawn and there is no mandatory debt
amortization prior to 2019. Moody's also expects the company to
maintain ample headroom under its single minimum EBITDA covenant
of GBP100 million only applicable to its RCF and tested when
drawn above 25%.

The rating also reflects the company's considerable scale and
product diversification with leading market positions especially
in the Protein and Chilled segments.

RATIONALE FOR NEGATIVE OUTLOOK

The negative outlook reflects the elevated risk of further
decline in profitability over the next 12 to 18 months, which
could lead to credit metrics no longer commensurate with a B2
CFR. Moody's will consider stabilising the outlook if the company
delivers sustainable improvements in profitability and credit
metrics over the next 12 to 18 months.

WHAT COULD CHANGE THE RATING UP/DOWN

Although unlikely in the near-term given rating action, Moody's
could over time consider upgrading the rating if there is a
visible improvement in operating performance. Quantitatively,
positive pressure could materialise if Boparan were to achieve a
Moody's-adjusted EBIT margin that is sustainably around 4% and
Moody's-adjusted debt/EBITDA ratio falling towards 5.0x, whilst
generating positive free cash flow and maintaining a good
liquidity profile.

Moody's would consider downgrading the rating if the company's
liquidity profile and credit metrics deteriorate as a result of a
weakening of its operational performance, acquisitions, or a
change in its financial policy. Quantitatively, negative pressure
could materialise if the company's Moody's-adjusted EBIT margin
falls below 3.0%, Moody's-adjusted debt/EBITDA ratio rises above
7.0x, and free cash flow remains sustainably negative.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Global
Packaged Goods published in January 2017.

Boparan Holdings Limited (Boparan or the group) is the parent
holding company of 2 Sisters Food Group, one of UK's largest food
manufacturers with operations in poultry, red meat, sandwiches,
chilled ready meals, chilled pizzas, branded frozen pizzas, and
branded biscuits among other things.


ESSAR GROUP: Ordered to Pay US$172MM New York Court Judgment
------------------------------------------------------------
Alex Davis at Law360 reports that London's High Court on March 31
ordered multinational conglomerate Essar Group to pay up the
US$172 million damages awarded in the U.S. last year to an
investment firm after deciding the U.S. judgment could be
enforced in the U.K.

Judge Nigel Teare ruled against Essar's position that the
New York judgment did not meet several criteria required for it
to be viewed as a judgment in England, Law360 relates.  Judge
Teare also stayed his ruling pending the outcome of Essar's
appeal in the U.S. to set aside the New York decision, Law360
discloses.

According to Law360, Midtown Acquisitions LP, a firm affiliated
with Davidson Kempner Capital Management LLC, was trying to
enforce the U.S. ruling against Essar after the company admitted
liability when its Minnesota-based steel making subsidiary
defaulted on a US$450 million loan.  Essar called the ruling
"Kafka-esque," after it was made without the company being given
the opportunity to represent itself, Law360 notes.

Essar Global, which is managed by India-based Essar Capital Ltd.,
had guaranteed a US$450 million loan given to Essar Steel
Minnesota LLC in 2014 by a group of firms including Credit Suisse
SA, Barclays PLC and Midtown, Law360 recounts.

Essar signed a confession of judgment promising to pay US$202
million plus interest when the unit -- which went bust last year
-- defaulted, Law360 says, citing court documents.

All Essar's other creditors in the case assigned their rights,
interest and title over the New York judgment to Midtown in
November last year, Law360 relays, citing court documents.

The case is Midtown Acquisitions LP v. Essar Global Fund Ltd.,
case number CL-2016-000598, in the Commercial Court, Queen's
Bench Division of the High Court of Justice of England and Wales.


KAREN MILLEN: Former Owner Declared Bankrupt Over Unpaid Tax
------------------------------------------------------------
Iceland Monitor reports that fashion designer and former owner of
the Karen Millen brand, Karen Millen was just declared bankrupt
over unpaid tax.

According to Iceland Monitor, apparently she failed to pay GBP6
million to HM Revenue and Customs over her involvement in a tax
avoidance scheme.

She says she is "deeply devastated" and is a victim of fraud by
collapsed Icelandic bank Kaupthing, Iceland Monitor relays,
citing The Times.

In 2004 Ms. Millen sold the brand to Icelandic investment company
Baugur for GBP95 million, Iceland Monitor recounts.  The brand
was at the time being sold in 130 stores around the world,
Iceland Monitor notes.

Baugur group went bankrupt a few years back and the Karen Millen
brand went into the hands of Icelandic back Kaupthing, which
financed Baugur's buy in 2004, Iceland Monitor recounts.

Along with selling her company, Karen Millen also sold the right
to use her name, though she doesn't agree with this, Iceland
Monitor states.  Ms. Millen has been battling the bank in courts
for the right to use her name for a new homewares and lifestyle
business, Iceland Monitor relates.

After nine years of fighting, High Court ruled it would be
confusing for the original brand, and denied her the use of Karen
Millen for the brand, Iceland Monitor discloses.

The issue was ruled upon last year, and according to Ms. Miller
her battle with Kaupthing led to her inability to pay HMRC,
forcing her to declare bankrupt and in all likelihood lose her
mansion, Iceland Monitor states.


PETRA DIAMONDS: Moody's Rates US$600MM 2nd Lien Secured Notes B2
----------------------------------------------------------------
Moody's Investors Service assigned a B2 rating to Petra Diamonds
Limited's (Petra) $600 million Second Lien Secured Notes due
2022, issued by Petra Diamonds US$ Treasury Plc.

At the same time, Moody's affirmed Petra's B1 Corporate Family
Rating (CFR), B1-PD Probability of Default Rating (PDR). The
ratings outlook was changed to positive from stable. This
reflects the expected deleveraging and de-risking of Petra's
business and credit profile along with a strengthened liquidity
position.

An increasingly higher $ per carat grade mix attributed to a
ramp-up in production from new mining areas at Cullinan and
Finsch will improve margins and volumes leading to higher EBITDA.
Higher EBITDA levels, assisted further by the commissioning of
the new Cullinan mill improving recoveries of higher value
diamonds, will drive Petra's net debt/EBITDA levels below 1.5x in
the next 18 months. Petra's debt maturity will also be extended
primarily out to 2022 with approximately $67.1 million in cash
added to the balance sheet.

The ratings and positive outlook assume successful placement of
the $600 million notes and that the proceeds are deployed as set
out in the offering prospectus. Namely that they will be used to
fund the early redemption of the outstanding $300 million 8.25%
Second Lien Secured Notes due 2020 along with all drawings on its
bank facilities.

RATINGS RATIONALE

Petra's B1 CFR and B1-PD PDR, respectively, reflect (1) the
strong medium to long-term fundamental forecasts for the diamond
market where Moody's expects demand to exceed supply, supporting
robust long-term diamond prices; (2) its competitive cost
positioning with predominantly long-life, well-prospected
underground mines producing diamonds at costs on a par with
cheaper open-pit mines; and (3) conservative financial policies
and a strong financial profile, which will improve as undiluted
ore contributes more significantly to the production of high-
value diamonds with low execution risks.

However, the ratings are constrained by (1) Petra's scale as a
mid-tier diamond producer, with revenues of $505 for the last
twelve months (LTM) to 31 December 2016, and with four mines in
South Africa (Baa2 negative), including extensive tailings
operations in Kimberley via its 75.9% interest in the Kimberley
Ekapa Mining joint venture, one mine in Tanzania (unrated), and
exploratory land in Botswana (A2 stable); (2) the company's
elevated operational risk, as more than 80% of its EBITDA comes
from the Cullinan and Finsch mines in South Africa; and (3) its
business profile as a single commodity producer, with full
exposure to volatility in diamond prices and the ZAR/USD exchange
rate, noting however the favourable interplay on credit metrics
of these two drivers to date.

STRUCTURAL CONSIDERATIONS

Petra's $600 million notes due in 2022 are senior to certain
subordinated obligations of the company, supporting Moody's loss
given default assessment while also benefiting from a second lien
position relative to guarantees and collateral provided to other
senior lenders through a security SPV structure. Senior
facilities along with the approximate $89 million Black Economic
Empowerment (BEE) refinancing loan obligation by BEE stakeholder
to Petra's senior lenders are supported by guarantees on a first
lien basis from Petra's major operating subsidiaries, including
additional collateral of their shares and bank accounts which,
all together, are part of the security SPV structure. Moody's
reflects the BEE refinancing loan guarantee obligation as part of
the first lien creditor class, given that the guarantee would
more than likely be called upon in the event of default. Senior
debt facilities, including the BEE refinancing loan guarantee
obligation, are therefore a larger input versus subordinated
obligations into the debt capital structure, thereby leading to
the B2 rating on the notes relative to the B1 CFR.

WHAT COULD CHANGE THE RATING UP/DOWN

The CFR could be upgraded to Ba3 if Petra is able to maintain net
debt/EBITDA sustainably below 1.5x and EBIT/Interest trending
sustainably above 4x.

The CFR could be downgraded to B2 if for more than 18 months
Petra's net debt/EBITDA is sustained above 2x and EBIT/interest
expense is sustained below 4x. Similar downward pressure could
result if Petra were to face (1) long-term challenges in
accessing undiluted ore at its Cullinan and Finsch mines; or (2)
a deterioration of its liquidity profile.

The principal methodology used in these ratings was Global Mining
Industry published in August 2014.

Petra is a rough diamond producer listed on the Main Market of
the London Stock Exchange, registered in Bermuda and domiciled in
Jersey. The company has controlling interests in five mines (four
in South Africa and one in Tanzania), extensive tailings
operations in Kimberley (via its 75.9% interest in the Kimberley
Mines), and an exploration programme in Botswana. For the LTM to
31 December 2016, Petra produced 4.1 million carats (Mcts) of
diamonds, accounting for approximately 2.9% of the world's
production by volume and 3.1% by value as of June 30, 2016.

Petra generated $505 million in revenues and Moody's-adjusted
EBITDA of $206 million for the LTM to 31 December 2016. As of
March 28, 2017, the company had a market cap of GBP675 million
($848 million).

The Local Market analyst for this rating is Douglas Rowlings,
971-4-237-9543.


PREVA PRODUCE: Norfolk and Suffolk Businesses Among Owed GBP4MM
---------------------------------------------------------------
EDP24 reports that businesses across Norfolk and Suffolk are
among those poised to lose out on GBP4.67 million after a potato
supplier went under.

Administrators Price Bailey said Preva Produce, which was
headquartered at Foulsham near Dereham, was placed into
administration in December after a GBP1 million shortfall in
debtors was discovered on its balance sheet.

According to the report, business advisers Matt Howard and Stuart
Morton were appointed to try to rescue the company but were
unable to find a buyer and are now attempting to complete
selected contracts to recover money for creditors.

EDP24 relates that Price Bailey's administrators said external
factors had added to the difficulties facing the business.

"Following the discovery of a fraud and incorrect accounting
practices/procedures, Price Bailey LLP were engaged by Preva
Holdings and HSBC Bank in August 2016 to produce a limited scope
procedures report and a negative assurance report to Preva
Holdings. This work highlighted a shortfall in actual debtors of
approximately GBP1 million as at June 30 2016 as against expected
results," the report quotes Mr. Howard as saying in a statement.
"It was also clear at this stage that the reported stock values
were significantly higher than the actual amounts."

Mr. Howard added in his statement that a cashflow shortage had
added to the difficulties which led to the insolvency, EDP24
relays.

According to EDP24, Price Bailey said a quarter of creditors are
farmers from across the UK and East Anglia - with some owed more
than GBP300,000 - although there are a number of services firms,
including engineers and hauliers, which are also affected.

Three workers remain overseeing limited trading with 28 having
been made redundant, the report says.

Preva ran a 29,000 sq ft packing facility at Snetterton, for
which administrators said they will shortly complete a sale,
while plant equipment is also set for auction, EDP24 adds.

EDP24 relates that. Mr. Howard said machinery assets would be
sold, adding: "The administrator's agents, Edward Wells Chartered
Surveyors, have arranged a viewing day at the company's Foulsham,
Little Snoring and Melton Constable sites on March 31."

Established in 2001, Preva Produce supplied potatoes for chipping
and crisping to household names such as Kettle Foods, Walkers,
Asda and Morrisons.


                            *********

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 2017.  All rights reserved.  ISSN 1529-2754.

This material is copyrighted and any commercial use, resale or
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re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.

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

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


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