TCREUR_Public/170418.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 18, 2017, Vol. 18, No. 76


                            Headlines


G E R M A N Y

BAYERISCHE LANDESBANK: Moody's Raises Jr. Debt Rating from Ba1


I R E L A N D

BUS EIREANN: 3-Week Strike Most Expensive Industrial Action
CARLYLE EURO 2017-1: Moody's Rates Class E Notes (P)B2 (sf)
HARVEST CLO VII: Fitch Assigns 'B-sf' Rating to Class F-R Notes
RYE HARBOUR: Moody's Assigns (P)B2 Rating to Class F-R Notes
RYE HARBOUR: Fitch Assigns 'B-(EXP)' Rating to Class F-R Debt

TAURUS 2015-1 IT: DBRS Cuts Class D Debt Rating to B(sf)
TORO EUROPEAN CLO 3: Moody's Assigns B2 Rating to Class F Notes
TORO EUROPEAN CLO 3: Fitch Assigns 'B-sf' Rating to Class F Notes


I T A L Y

ALITALIA SPA: Reaches Deal with Trade Unions to Avert Collapse
BANCA POPOLARE: S&P Affirms 'BB/B' Counterparty Credit Ratings


L U X E M B O U R G

ARVOS LUXCO: S&P Affirms 'B' CCR on Planned Refinancing


N E T H E R L A N D S

QUEEN STREET CLO I: S&P Lowers Rating on Cl. E Notes to 'BB-'
* NETHERLANDS: Company Bankruptcies Rise in March 2017


P O R T U G A L

CAIXA GERAL: Moody's Assigns Caa2 Rating to Tier 1 Securities


R U S S I A

METALLOINVEST AO: Fitch Affirms BB IDR on Financial Resilience
METKOMBANK: Moody's Raises Long-Term Deposit Ratings to B2
RN BANK: Fitch Affirms BB+ Long-Term IDR, Outlook Positive
SAMARA OBLAST: S&P Revises Outlook to Stable & Affirms 'BB' ICR


S P A I N

GRIFOLS SA: Moody's Assigns B2 Rating to New EUR1BB Sr. Notes


S W I T Z E R L A N D

BSI AG: Moody's Withdraws ba1 Baseline Credit Assessment Rating
CREDIT SUISSE: Moody's Rates CHF200MM AT1 Capital Notes Ba2


U N I T E D   K I N G D O M

CYRENIANS CYMRU: Former Finance Head Admits to GBP1.3MM Fraud
NEWPORT RFC: Administration Likely if WRU Takeover Rejected
OLD MUTUAL: Fitch Lowers Subordinated Debt Rating to BB


                            *********



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G E R M A N Y
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BAYERISCHE LANDESBANK: Moody's Raises Jr. Debt Rating from Ba1
--------------------------------------------------------------
Moody's Investors Service has upgraded Bayerische Landesbank's
(BayernLB) long-term deposit and senior senior unsecured debt
ratings to Aa3 from A1, as well as its senior unsecured debt and
issuer ratings to A1 from A2. The outlook on the long-term
ratings is stable. At the same time, the rating agency upgraded
BayernLB's baseline credit assessment (BCA) to baa3 from ba1, its
adjusted BCA to baa1 from baa2, and its long-term Counterparty
Risk Assessment (CR Assessment) to Aa3(cr) from A1(cr). The
bank's short-term program and deposit ratings were affirmed at
(P) P-1 and P-1, respectively, as well as its short-term CR
Assessment at P-1(cr).

As part of rating action, Moody's also upgraded BayernLB's
subordinated debt ratings to Baa2 from Baa3, its junior
subordinated debt rating to Baa3(hyb) from Ba1(hyb), and the non-
cumulative preferred stock rating of BayernLB Capital Trust I to
Ba2(hyb) from Ba3(hyb).

The rating upgrade reflects the continued strengthening of the
bank's financial fundamentals, in particular the improvement of
its capitalization and asset quality, including Moody's
assessment of lower tail risks in BayernLB's remaining non-core
exposure. The stable outlook reflects Moody's expectation that
BayernLB will be able to sustain its more solid credit metrics
going forward.

BayernLB's Aaa rated guaranteed senior unsecured and subordinated
debt obligations that qualify for 'grandfathering' under the
public law guarantee ('Gewaehrtraegerhaftung') of the Free State
of Bavaria (Aaa stable) remain unaffected.

A full list of affected ratings and rating inputs can be found at
the end of this press release.

RATINGS RATIONALE

  -- UPGRADE OF BAYERNLB'S BASELINE CREDIT ASSESSMENT

The upgrade of the BCA to baa3 from ba1 follows the strengthening
of BayernLB's key credit metrics and reflects the bank's: (1)
improved asset quality and lowered tail risks from its remaining
non-core exposures; and (2) improved capital, which also
benefited from ample earnings retention in 2016. At the same
time, BayernLB's BCA continues to reflect its low risk-adjusted
profitability and highly wholesale-dependent funding profile.

At end-2016, BayernLB's reported problem loans as a percentage of
its gross credit exposure declined to 1.6% from 2.4% in 2015. The
reduction reflects the overall benign domestic credit environment
and the continued wind-down of the bank's non-core exposure,
including the write-off of BayernLB's remaining impaired claim
against Heta Asset Resolution AG (Heta, Carinthian state-
guaranteed senior unsecured debt rating Ca stable). Moody's
further believes that the tail risks from BayernLB's remaining
non-core exposure are limited.

The upgrade of BayernLB's standalone BCA is further supported by
the increase in its fully loaded Common Equity Tier 1 (CET1)
capital ratio, which excludes the bank's remaining EUR1.0 billion
of state aid it received from the Free State of Bavaria, to 13.2%
at end-2016 from 12.0% in 2015. The improvement reflects the
lowering of BayernLB's risk-weighted assets, which declined to
EUR65.2 billion from EUR69.6 billion over the same time, and
ample earnings retention. Excluding minorities, BayernLB reported
net income of EUR545 million in 2016 compared with EUR495 million
in 2015, benefiting from a reduction of credit provisions that
declined to EUR87 million from EUR264 million.

However, BayernLB's BCA remains constrained by its highly
wholesale-dependent funding profile and low risk-adjusted
profitability. Moody's believes that BayernLB continues to face
challenges to its profitability because of the bank's high
dependence on interest income, which is under pressure from
persistent low interest rates, as well as general cost inflation
pressure.

  -- UPGRADE OF LONG-TERM RATINGS

The upgrade of BayernLB's long-term ratings by one notch follows
the one-notch upgrade of the bank's BCA. BayernLB's long-term
ratings reflect: (1) its standalone baa3 BCA and baa1 Adjusted
BCA, incorporating Moody's unchanged assessment of a high
probability of BayernLB receiving affiliate support from
Sparkassen-Finanzgruppe (S-Finanzgruppe, Corporate Family Rating
Aa2 stable, BCA a2), which continues to result in two notches of
rating uplift; (2) the unchanged results of Moody's Advanced Loss
Given Failure (LGF) analysis, which provides three notches of
uplift to the bank's deposit ratings and two notches of uplift to
its senior unsecured debt ratings from its adjusted BCA; and (3)
the rating agency's unchanged assumption of "moderate" government
support, resulting in one notch of additional rating uplift for
BayernLB's long-term ratings. In combination, these assumptions
result in four notches of uplift to BayernLB's deposit ratings
and three notches of uplift to the bank's senior unsecured debt
ratings from its adjusted BCA.

  -- RATIONALE FOR THE STABLE OUTLOOK

The stable outlook on BayernLB's long-term ratings reflects
Moody's expectation that the bank will be able to sustain its
improved credit profile, which will be supported by the benign
domestic operating environment over the next 12 to 18 months,
despite continued pressures from the persistent low interest-rate
environment on the bank's earnings.

WHAT WOULD MOVE THE RATING UP / DOWN

An upgrade of BayernLB's long-term ratings could be triggered
following (1) a two notch upgrade of the bank's standalone BCA
which would be needed to trigger upwards pressure on the bank's
baa1 adjusted BCA based on high sector support assumptions;
and/or (2) a reduction of the expected loss severity following a
shift in the bank's funding mix, which could result in higher
rating uplift for its senior unsecured debt and issuer ratings as
a result of Moody's LGF analysis; the bank's deposit and senior
senior unsecured debt ratings already benefit from the highest
possible uplift under the Advanced LGF analysis which is three
notches and would therefore not benefit from such changes in the
bank's funding mix.

An upgrade of BayernLB's BCA could develop from: (1) further
improvements in asset risk, including a reduction of sector
concentrations; (2) further improvements of its fully-loaded
capital ratios and balance sheet leverage; and/or (3) persistent
strengthening of recurring earnings.

A downgrade of BayernLB's long-term ratings could be triggered
following: (1) a downgrade of the bank's standalone BCA or its
adjusted BCA; and/or (2) an increase in the expected loss
severity following a shift in the bank's funding mix, which could
result in less rating uplift for senior debts and deposits as a
result of Moody's LGF analysis.

A downgrade of BayernLB's BCA and adjusted BCA could develop
from: (1) a deterioration of credit fundamentals leading to a
lowering of the bank's baa3 BCA; (2) a reduction of Moody's
affiliate support assumptions from the S-Finanzgruppe or a
weakening of the cross-sector support mechanisms.

LIST OF AFFECTED RATINGS

Issuer: Bayerische Landesbank

Upgrades:

-- Long-term Counterparty Risk Assessment, upgraded to Aa3(cr)
    from A1(cr)

-- Long-term Bank Deposits, upgraded to Aa3 Stable from A1
    Stable

-- Senior Senior Unsecured Regular Bond/Debenture, upgraded to
    Aa3 Stable from A1 Stable

-- Senior Senior Unsecured Medium-Term Note Program, upgraded to
    (P)Aa3 from (P)A1

-- Long-term Issuer Rating, upgraded to A1 Stable from A2 Stable

-- Senior Unsecured Regular Bond/Debenture, upgraded to A1
    Stable from A2 Stable

-- Senior Unsecured Medium-Term Note Program, upgraded to (P)A1
    from (P)A2

-- Subordinate Medium-Term Note Program, upgraded to (P)Baa2
    from (P)Baa3

-- Subordinate Regular Bond/Debenture, upgraded to Baa2 from
    Baa3

-- Junior Subordinated Regular Bond/Debenture, upgraded to
    Baa3(hyb) from Ba1(hyb)

-- Adjusted Baseline Credit Assessment, upgraded to baa1 from
    baa2

-- Baseline Credit Assessment, upgraded to baa3 from ba1

Affirmations:

-- Short-term Counterparty Risk Assessment, affirmed P-1(cr)

-- Short-term Bank Deposits, affirmed P-1

-- Other Short Term (MTN), affirmed (P)P-1

-- Commercial Paper, affirmed P-1

Outlook Action:

-- Outlook remains Stable

Issuer: Bayerische Landesbank, (London Branch)

Upgrades:

-- Long-term Counterparty Risk Assessment, upgraded to Aa3(cr)
    from A1(cr)

-- Long-term Bank Deposits, upgraded to Aa3 Stable from A1
    Stable

-- Senior Unsecured Medium-Term Note Program, upgraded to (P)A1
    from (P)A2

-- Subordinate Medium-Term Note Program, upgraded to (P)Baa2
    from (P)Baa3

Affirmations:

-- Short-term Counterparty Risk Assessment, affirmed P-1(cr)

Outlook Action:

-- Outlook remains Stable

Issuer: Bayerische Landesbank, (New York Branch)

Upgrades:

-- Long-term Counterparty Risk Assessment, upgraded to Aa3(cr)
    from A1(cr)

-- Long-term Bank Deposits, upgraded to Aa3 Stable from A1
    Stable

-- Senior Senior Unsecured Regular Bond/Debenture, upgraded to
    Aa3 Stable from A1 Stable

-- Senior Senior Unsecured Medium-Term Note Program, upgraded to
    (P)Aa3 from (P)A1

-- Senior Unsecured Regular Bond/Debenture, upgraded to A1
    Stable from A2 Stable

Affirmation:

-- Short-term Counterparty Risk Assessment, affirmed P-1(cr)

Outlook Action:

-- Outlook remains Stable

Issuer: Bayerische Landesbank, (Paris Branch)

Upgrades:

-- Long-term Counterparty Risk Assessment, upgraded to Aa3(cr)
    from A1(cr)

-- Senior Unsecured Medium-Term Note Program, upgraded to (P)A1
    from (P)A2

-- Subordinate Medium-Term Note Program, upgraded to (P)Baa2
    from (P)Baa3

-- Long-term Bank Deposits, upgraded to Aa3 Stable from A1
    Stable

Affirmation:

-- Short-term Counterparty Risk Assessment, affirmed P-1(cr)

Outlook Action:

-- Outlook remains Stable

Issuer: BayernLB Capital Trust I

Upgrade:

-- Pref. Stock Non-cumulative, upgraded to Ba2(hyb) from
    Ba3(hyb)

Outlook Action:

-- No Outlook assigned

PRINCIPAL METHODOLOGY

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


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BUS EIREANN: 3-Week Strike Most Expensive Industrial Action
-----------------------------------------------------------
Kieran Dineen at The Irish Sun reports that the three-week Bus
Eireann strike has been the most expensive industrial action in
living memory.

According to The Irish Sun, the transport row cost traders, the
company and workers an estimated EUR100 million, while staff are
down EUR7 million in wages and the company lost more than EUR10
million.

Traders in and around Cork city were deprived of EUR50 million in
sales, it has been suggested, with other regions similarly
suffering from drops of up to 50%, The Irish Sun discloses.

Meanwhile another EUR20 million could be paid out in redundancy
packages to those who end up leaving the company, The Irish Sun
states.

Staff finally returned to work on Good Friday following 21 days
of manning pickets after management proposed cuts to terms and
conditions, The Irish Sun relates.

They are now to be asked to vote on recommendations on
redundancies, pay structures and reform of their duties and
management which were issued by the Labour Court, The Irish Sun
discloses.

This includes 200 job losses, the closure of the maintenance
garage in Dundalk and the closure of a number of bus routes
serving rural area, according to The Irish Sun.

It is not yet known if staff will accept the proposals, but the
action to date has already led to a nine-figure loss, according
to The Irish Sun's analysis.

Management, as cited by The Irish Sun, said the business was down
EUR500,000 for every strike day -- or EUR10.5 million over the
three weeks -- on top of the EUR9 million loss last year.

The 2,600 staff were also hit in the pocket, missing out on
wages, The Irish Sun says.

Bus Eireann is a bus and coach operator providing services
throughout Ireland with the exception of Dublin City.  It was
formed in 1987 as a subsidiary of Coras Iompair Eireann.


CARLYLE EURO 2017-1: Moody's Rates Class E Notes (P)B2 (sf)
-----------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of debts to be issued by Carlyle Euro CLO 2017-1 DAC (the
"Issuer" or "Carlyle Euro 2017-1"):

-- EUR230,000,000 Class A-1 Senior Secured Floating Rate Notes
    due 2030, Assigned (P)Aaa (sf)

-- EUR62,000,000 Class A-2 Senior Secured Floating Rate Notes
    due 2030, Assigned (P)Aa2 (sf)

-- EUR26,000,000 Class B Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned (P)A2 (sf)

-- EUR19,000,000 Class C Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned (P)Baa2 (sf)

-- EUR21,000,000 Class D Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned (P)Ba2 (sf)

-- EUR12,000,000 Class E 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
endeavour 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, CELF Advisors LLP
("CELF Advisors") has sufficient experience and operational
capacity and is capable of managing this CLO.

Carlyle Euro 2017-1 is a managed cash flow CLO. At least 90% of
the portfolio must consist of senior secured loans and senior
secured bonds and up to 10% of the portfolio may consist of
unsecured senior loans, second-lien loans, mezzanine obligations
and high yield bonds. The portfolio is expected to be at least
70% ramped up as of the closing date and to be comprised
predominantly of corporate loans to obligors domiciled in Western
Europe.

CELF Advisors 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 six classes of notes rated by Moody's, the
Issuer issued EUR 43,500,000 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. CELF Advisors' 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: EUR 400,000,000

Diversity Score: 42

Weighted Average Rating Factor (WARF): 2850

Weighted Average Spread (WAS): 3.65%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 44.50%

Weighted Average Life (WAL): 8.5 years

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 3278 from 2850)

Ratings Impact in Rating Notches:

Class A-1 Senior Secured Floating Rate Notes due 2030: 0

Class A-2 Senior Secured Floating Rate Notes due 2030: -2

Class B Senior Secured Deferrable Floating Rate Notes due 2030: -
2

Class C Senior Secured Deferrable Floating Rate Notes due 2030: -
2

Class D Senior Secured Deferrable Floating Rate Notes due 2030: -
1

Class E Senior Secured Deferrable Floating Rate Notes due 2030: 0

Percentage Change in WARF: WARF +30% (to 3705 from 2850)

Ratings Impact in Rating Notches:

Class A-1 Senior Secured Floating Rate Notes due 2030: 0

Class A-2 Senior Secured Floating Rate Notes due 2030: -3

Class B Senior Secured Deferrable Floating Rate Notes due 2030: -
4

Class C Senior Secured Deferrable Floating Rate Notes due 2030: -
3

Class D Senior Secured Deferrable Floating Rate Notes due 2030: -
1

Class E Senior Secured Deferrable Floating Rate Notes due 2030: -
1

Given that the transaction allows for corporate rescue loans
which do not bear a Moody's rating or Credit Estimate, Moody's
has also tested the sensitivity of the ratings of the notes to
changes in the recovery rate assumption for corporate rescue
loans within the portfolio (up to 5% in aggregate). This analysis
includes haircuts to the 50% base recovery rate which Moody's
assume for corporate rescue loans if they satisfy certain
criteria, including having a Moody's rating or Credit Estimate.

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.


HARVEST CLO VII: Fitch Assigns 'B-sf' Rating to Class F-R Notes
---------------------------------------------------------------
Fitch Ratings has assigned Harvest CLO VII Designated Activity
Company notes final ratings, as follows:

EUR2 million Class X notes due 2018: 'AAAsf'; Outlook Stable
EUR174.9 million Class A-R notes due 2031: 'AAAsf'; Outlook
Stable
EUR39.2 million Class B-R notes due 2031: 'AAsf'; Outlook Stable
EUR21 million Class C-R notes due 2031: 'Asf'; Outlook Stable
EUR14.6 million Class D-R notes due 2031: 'BBBsf'; Outlook Stable
EUR18.6 million Class E-R notes due 2031: 'BBsf'; Outlook Stable
EUR9.4 million Class F-R notes due 2031: 'B-sf'; Outlook Stable

Harvest CLO VII Designated Activity Company is a cash flow
collateralised loan obligation (CLO). The issuer has amended the
capital structure and extended the maturity of the notes. Class
F-R has been introduced and the obligor concentration limits have
been reduced for the top 10 obligors to 20% of the portfolio from
25%. The maximum Fitch industry exposure has also been introduced
with the top industry limit at 17.5% and the top three at 40%.

Following the change in payment frequency of the notes to
quarterly from semi-annually a frequency switch mechanism has
been introduced. The transaction features a four-year
reinvestment period, which is scheduled to end in 2021. The
subordinated notes were not refinanced; but the maturity has been
extended.

KEY RATING DRIVERS

'B' Portfolio Credit Quality
Fitch assesses the average credit quality of obligors at the 'B'
category. The weighted average rating factor of the underlying
portfolio is 34.2. The aggregate collateral balance is EUR301.9
million, which is above the target par of EUR300 million.

High Recovery Expectations
At least 90% of the portfolio comprises senior secured
obligations. Recovery prospects for these assets are typically
more favourable than for second-lien, unsecured and mezzanine
assets. The weighted average recovery rate of the identified
portfolio is 64.6%.

Diversified Asset Portfolio
The underlying assets are now more diversified, with the top 10
largest obligors representing 20% of the portfolio, down from 25%
at closing and following the introduction of limits at 17.5% for
the top Fitch industry and at 40% for the top three Fitch
industries.

Limited Interest Rate Risk
Unhedged fixed-rate assets cannot exceed 5% of the portfolio
while there are no fixed-rate liabilities. The covenant was
amended down from 10% at closing. The impact of unhedged interest
rate risk was assessed in the cash flow model analysis.

Limited FX Risk
All non-euro-denominated assets have to be hedged with perfect
asset swaps as of the settlement date, limiting foreign exchange
risk. The transaction is permitted to invest up to 30% of the
portfolio in non-euro-denominated assets.

RATING SENSITIVITIES

A 25% increase in the probability of default would cause a
downgrade up to two notches for the rated notes. A 25% decrease
in recovery prospects would cause a downgrade of up to four
notches for the rated notes.

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

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

DATA ADEQUACY

The majority of the underlying assets have ratings or credit
opinions from Fitch and/or other Nationally Recognized
Statistical Rating Organizations and/or European Securities and
Markets Authority registered rating agencies. Fitch has relied on
the practices of the relevant groups within Fitch and/or other
rating agencies to assess the asset portfolio information.

Overall, Fitch's assessment of the asset pool information relied
upon for the agency's rating analysis according to its applicable
rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION

The information below was used in the analysis
- Loan-by-loan data provided by US Bank as at February 28, 2017
- Offering circular as of April 11, 2017


RYE HARBOUR: Moody's Assigns (P)B2 Rating to Class F-R Notes
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to ten
classes of notes (the "Refinancing Notes") to be issued by Rye
Harbour CLO, Designated Activity Company:

-- EUR2,000,000 Class X Senior Secured Floating Rate Notes due
    2031, Assigned (P)Aaa (sf)

-- EUR186,750,000 Class A-1R Senior Secured Floating Rate Notes
    due 2031, Assigned (P)Aaa (sf)

-- EUR25,000,000 Class A-2R Senior Secured Fixed Rate Notes due
    2031, Assigned (P)Aaa (sf)

-- EUR15,000,000 Class B-1R Senior Secured Floating Rate Notes
    due 2031, Assigned (P)Aa2 (sf)

-- EUR20,000,000 Class B-2R Senior Secured Fixed/Floating Rate
    Notes due 2031, Assigned (P)Aa2 (sf)

-- EUR10,000,000 Class C-1R Senior Secured Deferrable Floating
    Rate Notes due 2031, Assigned (P)A2 (sf)

-- EUR12,750,000 Class C-2R Senior Secured Deferrable Floating
    Rate Notes due 2031, Assigned (P)A2 (sf)

-- EUR19,225,000 Class D-R Senior Secured Deferrable Floating
    Rate Notes due 2031, Assigned (P)Baa2 (sf)

-- EUR23,400,000 Class E-R Senior Secured Deferrable Floating
    Rate Notes due 2031, Assigned (P)Ba2 (sf)

-- EUR11,000,000 Class F-R Senior Secured Deferrable Floating
    Rate Notes due 2031, 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
endeavour to assign definitive ratings. A definitive rating (if
any) may differ from a provisional rating.

RATINGS RATIONALE

Moody's provisional ratings of the notes address the expected
loss posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.

The Issuer has issued the Refinancing Notes in connection with
the refinancing of the following classes of notes: Class A Notes,
Class B Notes, Class C Notes, Class D Notes, Class E Notes and
Class F Notes due 2028 (the "Original Notes"), previously issued
on January 21, 2015 (the "Original Closing Date"). On the
Refinancing Date, the Issuer will use the proceeds from the
issuance of the Refinancing Notes to redeem in full its
respective Original Notes. On the Original Closing Date, the
Issuer also issued one class of subordinated notes, which will
remain outstanding.

Rye Harbour CLO is a managed cash flow CLO. The issued notes are
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans and eligible investments, and up
to 10% of the portfolio may consist of second lien loans,
unsecured loans, mezzanine obligations and high yield bonds.

Bain Capital Credit, Ltd (the "Manager") manages the CLO. It
directs the selection, acquisition, and disposition of collateral
on behalf of the Issuer. After the reinvestment period, which
ends in April 2022, the Manager may reinvest unscheduled
principal payments and proceeds from sales of credit risk and
credit improved obligations, subject to certain restrictions.

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.

Loss and Cash Flow Analysis:

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
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.

The key model inputs Moody's used 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. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: EUR350,000,000

Diversity Score: 34

Weighted Average Rating Factor (WARF): 2880

Weighted Average Spread (WAS): 4.20%

Weighted Average Recovery Rate (WARR): 42%

Weighted Average Life (WAL): 9 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, only up to 10% of the pool can be
domiciled in countries with local currency country risk ceiling
below Aa3 with a further constraint in the eligibility criteria
which prevents the acquisition of assets from countries with a
local currency country risk ceiling below A3. As a result,
Moody's has not made any adjustments to the target par amount as
further described in the methodology.

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:

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

Stress Scenarios:

Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a
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 the notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds
to higher expected losses), assuming that all other factors are
held equal.

Percentage Change in WARF -- increase of 15% (from 2880 to 3312)

Rating Impact in Rating Notches:

Class X Notes: 0

Class A-1R Notes: -1

Class A-2R Notes: -1

Class B-1R Notes: -2

Class B-2R Notes: -2

Class C-1R Notes: -2

Class C-2R Notes:-2

Class D-R Notes: -2

Class E-R Notes: 0

Class F-R Notes: 0

Percentage Change in WARF -- increase of 30% (from 2880 to 3744)

Rating Impact in Rating Notches:

Class X Notes: 0

Class A-1R Notes: -1

Class A-2R Notes: -1

Class B-1R Notes: -3

Class B-2R Notes: -3

Class C-1R Notes: -3

Class C-2R Notes: -3

Class D-R Notes: -2

Class E-R Notes: -1

Class F-R Notes: -1

Further details regarding Moody's analysis of this transaction
may be found in the related pre-sale report, published prior to
the Original Closing Date in January 2015 and available on
Moodys.com.


RYE HARBOUR: Fitch Assigns 'B-(EXP)' Rating to Class F-R Debt
-------------------------------------------------------------
Fitch Ratings has assigned Rye Harbour CLO, Designated Activity
Company's refinancing notes expected ratings, as follows:

Class X: 'AAA(EXP)sf'; Outlook Stable
Class A-1R: 'AAA(EXP)sf'; Outlook Stable
Class A-2R: 'AAA(EXP)sf'; Outlook Stable
Class B-1R: 'AA(EXP)sf'; Outlook Stable
Class B-2R: 'AA(EXP)sf'; Outlook Stable
Class C-1R: 'A(EXP)sf'; Outlook Stable
Class C-2R: 'A(EXP)sf'; Outlook Stable
Class D-R: 'BBB(EXP)sf'; Outlook Stable
Class E-R: 'BB(EXP)sf'; Outlook Stable
Class F-R: 'B-(EXP)sf'; Outlook Stable

The assignment of the final ratings is contingent on the receipt
of final documents conforming to information already received.

Rye Harbour CLO, Designated Activity Company (the issuer) is a
cash flow collateralised loan obligation (CLO). The issuer has
amended the capital structure and extended the maturity of the
notes. Notable changes include a reset of the weighted average
life test threshold to nine years from the refinancing date and
an increase in the limit on the exposure to the 10 largest
obligors to 20% from 18%.

The transaction features a five-year reinvestment period
scheduled to end in 2022. The subordinated notes will not be
refinanced; but the maturity will be extended.

KEY RATING DRIVERS
'B' Portfolio Credit Quality
Fitch assesses the average credit quality of obligors at the 'B'
category. The weighted average rating factor (WARF) of the
underlying portfolio is 33.06, below the maximum covenanted WARF
of 34.

The adjusted collateral principal amount (ACPA) is approximately
EUR349 million, which is below the target par of EUR350 million.
The ACPA is a measure of transaction assets which applies
haircuts to the carrying value of 'CCC' rated assets representing
more than 7.5% of total assets; defaulted obligations; deferring
obligations; and discount obligations.

High Recovery Expectations
At least 90% of the portfolio comprises senior secured
obligations. Recovery prospects for these assets are typically
more favourable than for second-lien, unsecured and mezzanine
assets. The weighted average recovery rate (WARR) of the
identified portfolio is 67.0%, above the minimum covenanted WARR
of 62.0%.

Limited Interest Rate Risk
Interest rate risk is naturally hedged for most of the portfolio
as fixed-rate liabilities and assets represent up to 12.9% and
10% of the current par balance, respectively. The amount of
fixed-rate liabilities will drop three years after the
refinancing closing date as the class B-2R notes switch to paying
a floating rate of interest.

Unhedged Non-Euro Assets Exposure
The manager may invest up to 5% in unhedged and FX forward hedged
non-euro assets. Unhedged assets may not account for more than
2.5%. If the assets are not sold 90 days after their purchase,
the manager will try to obtain perfect asset swaps. Any unhedged
asset in excess of the allowed limits or held for longer than 90
days will receive a zero balance for the calculation of the OC
tests. Unhedged assets may only be purchased if after a haircut
of 20% in the case of sterling assets and 50% for all other
assets the portfolio notional is still above target par. No
haircut is applied to FX forward hedged assets in the transaction
documents.

RATING SENSITIVITIES

A 25% increase in the obligor default probability would lead to a
downgrade of up to two notches for the rated notes. A 25%
reduction in recoveries would lead to a downgrade of up to three
notches for the rated notes.

DUE DILIGENCE USAGE

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

DATA ADEQUACY

The majority of the underlying assets have ratings or credit
opinions from Fitch and/or other Nationally Recognized
Statistical Rating Organizations and/or European Securities and
Markets Authority registered rating agencies. Fitch has relied on
the practices of the relevant groups within Fitch and/or other
rating agencies to assess the asset portfolio information.

Overall, Fitch's assessment of the asset pool information relied
upon for the agency's rating analysis according to its applicable
rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION

The information below was used in the analysis:
- Loan-by-loan data provided by the collateral administrator as
   of March 6, 2017
- Draft offering circular as of April 7, 2017


TAURUS 2015-1 IT: DBRS Cuts Class D Debt Rating to B(sf)
--------------------------------------------------------
DBRS Ratings Limited downgraded the ratings of the Class B, Class
C and Class D Notes of the Commercial Mortgage-Backed Floating-
Rate Notes Due February 2027 issued by Taurus 2015-1 IT S.r.l. as
follows:

-- Class B to BBB (high) (sf) from A (sf)
-- Class C to BB (sf) from BBB (low) (sf)
-- Class D to B (sf) from BB (low) (sf)

The Under Review with Negative Implications designation on the
Class B, Class C and Class D Notes was removed as a result of the
downgrade. The trends of the Class B, Class C and Class D Notes
are Negative.

Additionally, DBRS has confirmed the rating of the Class A Notes
as follows:

-- Class A at A (high) (sf)

The trend of the Class A Notes has been changed from Negative to
Stable.

This press release should be read in conjunction with the press
release published on 17 February 2017 when DBRS placed three
classes of Taurus 2015-1 IT S.r.l. Under Review with Negative
Implications as a result of the potential significant decline in
net operating income for the Calvino Loan.

The rating downgrades to Classes B, C and D reflect the upcoming
aniticipted loss of rental income loss in relation to the Calvino
Loan. Two of the largest tenants occupying the properties
securing the loan, Prysmian S.p.A. (Milano) and Wolters Kluwer
Italia S.r.l (Assago), will be vacating their units in April 2017
and July 2017, respectively. Together, these tenants comprise EUR
3.8 million of annual contracted rent, which represents 36.6% of
the current in-place rent. According to the servicer, the sponsor
is marketing the space but has not re-let it. Prysmian S.p.A
communicated its intention to leave the property in Q4 2015 and
the property has been marketed for more than 12 months.

As a result of the upcoming lease rollover, the DBRS stabilised
net cash flow for the Calvino Loan declined to EUR 5.3 million.
This cash flow incorporates an increased stabilised vacancy
assumption of 25%. Colliers valued the portfolio at EUR 117.3
million in Q3 2016, which is in line with the issuance value,
excluding disposed assets. As a result of the updated DBRS UW net
cash flow, the most recent DBRS portfolio value is now EUR 64.4
million, which represents a 45.3% haircut to the latest
valuation.

While the loan does not have a scheduled amortisation, it is
structured with a schedule of a declining targeted loan principal
amount based on the sponsor's business plan to liquidate the
property portfolio during the term of the loan. As of the most
recent investor report from November 2016, the current whole loan
balance was EUR 75.5 million, which satisfies the loan target of
EUR 79.0 million by the end of the period ending in 7 May 2017,
according to the loan documents. During the upcoming periods
ending in August 2017 and November 2017, the loan target amount
declines to EUR 64.2 and EUR 34.0 million respectively,
representing a 45.0% reduction to the current whole loan balance.
If the sponsor does not meet the target loan amounts, a cash trap
commences.

Per the loan documents, every quarter the Calvino Loan is subject
to loan-to-value (LTV) and interest coverage ratio (ICR) covenant
tests, requiring that a maximum of 75.0% LTV and a minimum of
1.75x ICR Cash Trap be maintained. The ICR is calculated based on
the lesser of the previous 12 months' net rental income and the
projected 12 months' net rental income. Also considering current
rent-free periods of other tenants, irrecoverable expense and
capex requirements for vacant units, DBRS foresees that a breach
of the ICR trigger may occur if the soon-to-be vacant space is
not effectively let or the income loss otherwise at least
partially mitigated. The servicer does not foresee that the
borrower will be unable to pay interest on the loan when due. The
loan has an Event of Default trigger of a minimum of 1.50x ICR.

The performance of the Globe and Fashion District loans were
recently assessed during the surveillance review on 17 February
2017. No changes in the DBRS analysis have been made regarding
those loans since the last review.

The final legal maturity of the Notes is in February 2027, seven
years beyond the latest date of the loans maturing, including
loan extensions. If necessary, this is believed to be sufficient
time, given the security structure and jurisdiction of the
underlying loans, to enforce on the loan collateral and to repay
bondholders.

At issuance, DBRS took the sovereign stress into consideration by
adjusting the sizing parameters used in its ratings. On 13
January 2017, DBRS downgraded the Republic of Italy to BBB
(high), and consequently, an additional stress was applied to the
sizing parameters used in this transaction. For a more detailed
discussion of the Italy rating downgrade, please refer to
http://dbrs.com/research/304610.


TORO EUROPEAN CLO 3: Moody's Assigns B2 Rating to Class F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to nine
classes of debts issued by Toro European CLO 3 Designated
Activity Company:

-- EUR211,500,000 Class A Secured Floating Rate Notes due
    2030, Definitive Rating Assigned Aaa (sf)

-- EUR24,500,000 Class B-1 Secured Floating Rate Notes due 2030,
    Definitive Rating Assigned Aa2 (sf)

-- EUR7,500,000 Class B-2 Secured Floating Rate Notes due 2030,
    Definitive Rating Assigned Aa2 (sf)

-- EUR12,500,000 Class B-3 Secured Fixed Rate Notes due 2030,
    Definitive Rating Assigned Aa2 (sf)

-- EUR13,750,000 Class C-1 Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned A2 (sf)

-- EUR4,750,000 Class C-2 Secured Deferrable Floating Rate Notes
    due 2030, Definitive Rating Assigned A2 (sf)

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

-- EUR23,000,000 Class E Secured Deferrable Floating Rate Notes
    due 2030, Definitive Rating Assigned Ba2 (sf)

-- EUR9,750,000 Class F Secured Deferrable Floating Rate Notes
    due 2030, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

Moody's definitive ratings of the rated notes address the
expected loss posed to noteholders by the legal final maturity of
the notes in 2030. The definitive 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, Chenavari Credit
Partners LLP ("Chenavari"), has sufficient experience and
operational capacity and is capable of managing this CLO.

Toro European CLO 3 DAC is a managed cash flow CLO. At least 90%
of the portfolio must consist of senior secured loans and senior
secured bonds and up to 10% of the portfolio may consist of
unsecured senior loans, second-lien loans, mezzanine obligations
and high yield bonds. The portfolio is expected to be at least
50% ramped up as of the closing date and to be comprised
predominantly of corporate loans to obligors domiciled in Western
Europe. The remaining of the portfolio will be acquired during
the 6 month ramp-up period.

Chenavari 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 nine classes of notes rated by Moody's, the
Issuer will issue EUR 20,500,000 Class M-1 Subordinated Notes and
EUR 20,100,000 Class M-2 Subordinated Notes, both of 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. Chenavari'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: EUR 350,000,000

Diversity Score: 32

Weighted Average Rating Factor (WARF): 2800

Weighted Average Spread (WAS): 4.10%

Weighted Average Coupon (WAC): 5.25%

Weighted Average Recovery Rate (WARR): 43.0%

Weighted Average Life (WAL): 8 years

Stress Scenarios:

Together with the set of modelling assumptions above, Moody's
conducted additional sensitivity analysis, which was an important
component in determining the definitive 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 3220 from 2800)

Ratings Impact in Rating Notches:

Class A Secured Floating Rate Notes: 0

Class B-1 Secured Floating Rate Notes: -2

Class B-2 Secured Floating Rate Notes: -2

Class B-3 Secured Fixed Rate Notes: -2

Class C-1 Secured Deferrable Floating Rate Notes: -2

Class C-2 Secured Deferrable Floating Rate Notes: -2

Class D Secured Deferrable Floating Rate Notes: -1

Class E Secured Deferrable Floating Rate Notes: 0

Class F Secured Deferrable Floating Rate Notes: 0

Percentage Change in WARF: WARF +30% (to 3640 from 2800)

Ratings Impact in Rating Notches:

Class A Secured Floating Rate Notes: -1

Class B-1 Secured Floating Rate Notes: -3

Class B-2 Secured Floating Rate Notes: -3

Class B-3 Secured Fixed Rate Notes: -3

Class C-1 Secured Deferrable Floating Rate Notes: -3

Class C-2 Secured Deferrable Floating Rate Notes: -3

Class D Secured Deferrable Floating Rate Notes: -2

Class E Secured Deferrable Floating Rate Notes: -1

Class F Secured Deferrable Floating Rate Notes: -1

Further details regarding Moody's analysis of this transaction
may be found in the upcoming New Issue 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.


TORO EUROPEAN CLO 3: Fitch Assigns 'B-sf' Rating to Class F Notes
-----------------------------------------------------------------
Fitch Ratings has assigned Toro European CLO 3 DAC's notes the
following final ratings:

Class A: 'AAAsf'; Outlook Stable
Class B-1: 'AAsf'; Outlook Stable
Class B-2: 'AAsf'; Outlook Stable
Class B-3: 'AAsf'; Outlook Stable
Class C-1: 'Asf'; Outlook Stable
Class C-2: 'Asf'; Outlook Stable
Class D: 'BBBsf'; Outlook Stable
Class E: 'BBsf'; Outlook Stable
Class F: 'B-sf'; Outlook Stable
Subordinated notes: not rated

Toro European CLO 3 is a cash flow collateralised loan obligation
(CLO). Net proceeds from the notes issue will be used to purchase
a EUR350 million portfolio of mostly European leveraged loans and
bonds. The portfolio is managed by Chenavari Credit Partners LLP.
The reinvestment period is scheduled to end in 2021.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality
Fitch places the average credit quality of obligors in the
'B'/'B-' range. The agency has public ratings or credit opinions
on all the obligors in the identified portfolio. The Fitch
weighted average rating factor of the identified portfolio is
33.4, below the covenanted maximum for the base case of 34.

High Expected Recoveries
The portfolio will be at least 90% senior secured obligations.
The weighted average recovery rate of the identified portfolio is
64.3%, below the covenanted minimum for the base case of 64.9% as
the portfolio has not yet been fully ramped up.

Payment Frequency Switch
The notes pay quarterly, while the portfolio assets can be reset
to semi-annual from quarterly or monthly. The transaction has an
interest-smoothing account but no liquidity facility. Liquidity
stress for the non-deferrable class A and B notes, stemming from
a large proportion of assets potentially resetting to semi-annual
in any one quarter, is addressed by switching the payment
frequency of the notes to semi-annual in such a scenario, subject
to certain conditions.

Limited Interest Rate Risk Exposure
Up to 10% of the portfolio can be invested in fixed-rate assets,
while 2.7% liabilities pay a floating-rate coupon. Fitch modelled
both 0% and 10% fixed-rate buckets and found that the rated notes
can withstand the interest rate mismatch associated with each
scenario.

At closing, the issuer purchased an interest rate cap to hedge
the transaction against rising interest rates. The notional of
the cap is EUR10 million (representing 2.86% of the target
paramount); the strike rate is 2%. The cap will expire five years
after the closing date.

Hedged Non-Euro Asset Exposure
The transaction is permitted to invest up to 30% of the portfolio
in non-euro assets, provided perfect asset swaps can be entered
into.

Documentation Amendments
The transaction documents may be amended subject to rating agency
confirmation or noteholder approval. Where rating agency
confirmation relates to risk factors, Fitch will analyse the
proposed change and may provide a rating action commentary if the
change has a negative impact on the ratings. Such amendments may
delay the repayment of the notes as long as Fitch's analysis
confirms the expected repayment of principal at the legal final
maturity.

If in the agency's opinion the amendment is risk-neutral from a
rating perspective Fitch may decline to comment. Noteholders
should be aware that the structure considers the confirmation to
be given if Fitch declines to comment.

RATING SENSITIVITIES

A 25% increase in the obligor default probability could lead to a
downgrade of up to two notches for the rated notes. A 25%
reduction in expected recovery rates could lead to a downgrade of
up to three notches for the rated notes.


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


ALITALIA SPA: Reaches Deal with Trade Unions to Avert Collapse
--------------------------------------------------------------
James Politi at The Financial Times reports that Alitalia,
Italy's struggling flag carrier, has reached a deal with trade
unions to save it from collapse and pave the way for a EUR2
billion refinancing package, after last-ditch negotiations
overseen by the government stretched through the night.
The agreement still needs to be approved by Alitalia workers in a
vote this week, the FT discloses.  But if it passes, it will
prevent the lossmaking airline, which is 49% owned by Etihad of
the United Arab Emirates, from grounding its fleet as it runs out
of cash, the FT states.

Earlier this year, Alitalia acknowledged that it was delaying its
return to profitability until 2019 and that it would require cuts
worth EUR1 billion over the next three years, including 2,000
lay-offs and a 30% pay cut for pilots and flight attendants, the
FT recounts.

The plan was met with outrage by the unions, triggering tense
negotiations that ended at 4:00 a.m. on April 14, with the
mediation of three ministers from the centre-left government led
by Paolo Gentiloni, the FT relays.

The main points of the agreement were a reduction in lay-offs to
1,700, and a salary cut of 8%, while Invitalia, the government's
development agency, is offering a guarantee in the form of
contingency equity, the FT notes.

According to the FT, if the early-morning agreement is approved,
it will pave the way for Alitalia to receive new cash -- not just
from Etihad, but also its main Italian shareholders, including
UniCredit and Intesa Sanpaolo, the country's largest banks.


                         About Alitalia

Alitalia-Compagnia Aerea Italiana has navigated its way through
a successful restructuring.  After filing for bankruptcy
protection in 2008, Alitalia found additional investors, acquired
rival airline Air One, and re-emerged as Italy's leading airline
in early 2009.  Operating a fleet of about 150 aircraft, the
airline now serves more than 75 national and international
destinations from hubs in Fiumicino (Rome), Milan, Turin, Venice,
Naples, and Catania.  Alitalia extends its network as a member of
the SkyTeam code-sharing and marketing alliance, which also
includes Air France, Delta Air Lines, and KLM.  An Italian
investor group owns a majority of the company, while Air France-
KLM owns 25%.


BANCA POPOLARE: S&P Affirms 'BB/B' Counterparty Credit Ratings
--------------------------------------------------------------
S&P Global Ratings affirmed its 'BB/B' long- and short-term
counterparty credit ratings on Banca Popolare dell'Alto Adige
(BPAA).  The outlook remains positive.

The affirmation reflects S&P's view that, although improving,
BPAA's capital and risk profile combination is still close to the
Italian banking system.

BPAA's nonperforming asset (NPA) ratio was 16% compared to the
average of 19%, as of December 2016.  The ratio did not improve
as much as S&P previously projected, mainly due to the negative
effects of the Bank of Italy's request to proceed with additional
reclassifications last year.  That said, in the second half of
2016, BPAA showed a moderate improvement in its asset quality
metrics.  This resulted in a decrease in the stock of gross NPAs
to EUR1.163 billion from the EUR1.197 billion reported in June
2016, backed by a combination of lower NPA inflows and asset
write-offs.  S&P understands this positive trend has continued
into 2017 to date.  This underpins S&P's projection that BPAA's
asset quality will continue to improve, and is likely to recover
faster than the Italian system average.  S&P's assumptions are
further supported by both the more favorable economic and
operating conditions in the Trentino Alto Adige region, and the
bank's good track record in managing down its stock of NPAs.

The Italian northeastern area--especially the Trentino Alto Adige
region--has historically been characterized by more positive
economic conditions than S&P expected at the national level, both
in terms of GDP per capita--40% higher than the Italian average--
and unemployment.  Furthermore, foreclosure procedures are much
more efficient than elsewhere in Italy; it takes around 2.5 years
to recover collateral, compared with the average seven years at
the national level.

In addition, S&P sees the bank's focus on working out its NPAs--
both internally and through outsourcing--as positive for a fast
reduction of the stock.

As such, S&P anticipates that NPAs are likely to decrease by
about 100 million during 2017 through recoveries, disposals, and
write-offs.

The positive outlook on BPAA reflects S&P's belief that the
bank's asset quality will continue to improve over the next 12
months, which raises the likelihood that S&P would consider asset
quality as a strength compared with peers.

S&P could raise the long-term rating on BPAA over the next 12
months if S&P saw stronger evidence that the bank's asset quality
was likely to sustainably and more materially outperform the
Italian system average, while maintaining its risk-adjusted
capital ratio above 5%.  This would be reflected in a progressive
widening between the bank's and the system's NPA ratio.

S&P could revise the outlook on BPAA to stable if its asset
quality metrics did not improve compared with the Italian banking
system average.


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


ARVOS LUXCO: S&P Affirms 'B' CCR on Planned Refinancing
-------------------------------------------------------
S&P Global Ratings said that it has affirmed its 'B' long-term
corporate credit rating on Luxemburg-based auxiliary components
group Arvos (Arvos LuxCo S.a.r.l).  The outlook is stable.

At the same time, S&P assigned its 'B' issue rating to the EUR130
million increase to the existing EUR289.5 million first-lien term
loan B.  The recovery rating is '3', indicating S&P's expectation
of meaningful recovery prospects (50%-70%; rounded estimate:
currently 65% and will change to 50% after the transaction
closes) in the event of a payment default.

In addition, S&P affirmed its:

   -- 'B' issue ratings on the outstanding EUR289.5 million
      first-lien term loan B and its $195.5 million tranche, as
      well as the group's EUR40 million revolving credit
      facility (RCF). The recovery rating is '3', indicating
      S&P's expectation of meaningful recovery prospects (50%-
      70%; rounded estimate: currently 65% and will change to
      50% after the transaction closes); and S&P's

   -- 'CCC+' issue rating on the $163 million second-lien senior
      secured term loan.  The recovery rating on these notes is
      '6', reflecting S&P's expectations of negligible recovery
      prospects (0%-10%).  S&P expects to withdraw the issue and
      recovery ratings on this instrument once the proposed
      transaction is completed.

The rating on the proposed add-on to Arvos' senior secured first-
lien term loan B is subject to the successful completion of the
transaction and S&P's review of the final documentation.  If S&P
Global Ratings does not receive the final documentation within a
reasonable timeframe, or if the final documentation departs from
the materials S&P has already reviewed, it reserves the right to
withdraw or revise its ratings.

The rating actions follow Arvos' announced plans to replace its
second-lien senior secured facilities by increasing its existing
first-lien term loan B.  As part of the refinancing, the group
has decided to redeem its $163 million second-lien term loan B by
adding EUR130 million to its existing first-lien term loan B.
S&P understands that Arvos intends to pay the remainder and
transaction costs, roughly amounting to EUR20 million, from its
cash balance.

S&P thinks the transaction will not greatly affect Arvos'
leverage, but S&P expects some interest savings of about
EUR7 million each year, given the lower interest rate on the
first-lien term loan B compared with the existing second-lien
term loan B.  Once the refinancing is completed, S&P forecasts
that the group's S&P Global Ratings-adjusted debt-to-EBITDA ratio
will approach 5.3x for the fiscal year ending March 31, 2018
(fiscal 2017), against S&P's estimate of 5.7x in fiscal 2016, on
the back of the group's strengthened operating performance.

In S&P's calculation of Arvos' debt, S&P excludes EUR223 million
of preferred equity certificates (PECs) that were provided by
shareholders.  This is because S&P believes those PECs qualify
for equity treatment, since S&P concludes that they are stapled
to the company's equity, deeply subordinated to all existing and
future debt instruments, and not associated with mandatory cash
payments. Including these instruments in S&P's calculations of
Arvos' debt, adjusted debt to EBITDA would be about 8x, based on
the EBITDA S&P expects Arvos has generated in fiscal 2016.

Arvos derives about 60% of its business from energy markets, 30%
from petrochemicals, and 10% from power mills end customers.  S&P
regards Arvos as exposed to regulatory risk in its energy-related
business.  The expected downward trend in coal usage for energy
generation undermines the long-term prospects for the group's air
preheater segment, and this might translate into limited growth
and intense competition for Arvos in its core markets,
particularly Western Europe and the U.S.  Consequently, S&P
thinks the group could experience a squeeze on profitability.
However, in emerging markets, the company might benefit from
tougher regulation for thermal power plants.  Furthermore, Arvos
is exposed to some project execution risks, in particular in its
heat-transfer solutions segment, which could provoke volatile
operating earnings.  S&P also sees risks related to the group's
strategy to expand in markets that are likely to see the highest
growth.  S&P assess Arvos' product focus as relatively narrow
compared with that of other players in the capital goods
industry.

"Nevertheless, we consider that Arvos has leading positions in
some niche markets.  We expect the company will generate solid
EBITDA margins of about 20%, which is at the high end of what we
regard as average for capital goods companies.  We also assess
Arvos' geographic diversity as sound.  It generates about 35%-40%
of its revenues from emerging markets, with the rest split
between the U.S., Japan, and Europe.  Arvos' stable after-market
business makes a large contribution to revenues and earnings
(representing about 50%-60% of revenues in recent years).  This
should continue to provide some resilience to the group's
operating performance. Meanwhile, the currently strong order
backlog adds some visibility to future revenues and earnings,"
S&P said.

The stable outlook reflects S&P's opinion that Arvos should
continue to generate positive free operating cash flow (FOCF)
over 2017-2018.  S&P bases this view on its assumption that the
group will show a stable operating performance and control
expansionary capital expenditure, while maintaining working
capital at the current level.

S&P could lower the rating on Arvos if unexpected adverse
developments occurred, such as a sharp downturn in the global
economy that affects the group's end markets, or a steep drop in
demand for Arvos' products.  This could squeeze the group's
profitability and spark a contraction in operating cash flow
generation.  The rating could also come under pressure if the
group's FOCF turned negative as a result of operating shortfalls
or continued adverse working capital swings, or if its FFO cash
interest coverage dropped materially below 2.5x.

S&P could consider a positive rating action if Arvos' fully
adjusted debt to EBITDA reduced below 5x and the group
simultaneously continued to generate positive FOCF, while
maintaining at least adequate liquidity.  S&P sees such a
scenario as unlikely in the near term, however, given the
company's elevated leverage under Triton ownership.


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


QUEEN STREET CLO I: S&P Lowers Rating on Cl. E Notes to 'BB-'
-------------------------------------------------------------
S&P Global Ratings took various credit rating actions on all
classes of notes in Queen Street CLO I B.V.

Specifically, S&P has;

   -- Raised its ratings on the class C1 and C2 notes;

   -- Affirmed its ratings on the class A2, B, D1, and D2 notes;
      and

   -- Lowered its rating on the class E notes.

On Dec. 7, 2016, S&P placed its ratings on all classes of notes
in Queen streetCLO I under criteria observation following the
update to S&P's methodology and assumptions for assigning
recovery ratings to corporate debt instruments.  S&P applies
these recovery ratings as part of its collateralized loan
obligation (CLO) analysis.  S&P placed these ratings under
criteria observation to reflect the potential impact of the
application of the updated corporate recovery rating criteria on
the recovery ratings for the loans held in S&P's rated CLO
transactions.  Following S&P's review, its ratings in this
transaction are no longer under criteria observation.

The rating actions follow S&P's analysis of the transaction's
performance and the application of its relevant criteria.  Since
S&P's Feb. 3, 2016 review, the class A1 notes have fully
amortized.

These are some of the key parameters that S&P observes in this
transaction:

   -- The exposure to assets rated in the 'CCC category' ('CCC+',
      'CCC', and 'CCC-') have reduced in notional terms (down to
      6.4 million from EUR11.0 million at our previous review).

   -- Over the same period, defaulted assets (assets rated below
      'CCC-') have increased to EUR5.2 million from EUR197,000.

   -- Increased defaults have resulted in a reduction in the
      available credit enhancement for the class E notes
     (compared with at S&P's previous review).

   -- The weighted-average spread is in the same range (currently
      3.41%, compared with 3.42% at S&P's previous review).

   -- All par coverage tests continue to be above the documented
      thresholds.

   -- None of the deferrable notes are deferring interest, which
      is unchanged since S&P's previous review.

   -- According to S&P's analysis, deleveraging has increased the
      concentration risk in the portfolio, which S&P has captured
      in its supplemental tests.  The number of obligors in the
      pool has decreased to 40 from 72 since S&P's previous
      review.

   -- There is a small exposure to tranches/liabilities from
      other CLO transactions that S&P rate.  Due to deleveraging,
      the exposure (in percentage terms) has increased to 4.2%
      from 4.0% at S&P's previous review.  For these assets, S&P
      has applied its collateralized debt obligation (CDO) of
      asset-backed securities (ABS) criteria to perform S&P's
      credit and cash flow analysis.

   -- Exposure to long-dated assets (assets maturing after the
      legal final maturity of the notes) now accounts for 7.5%,
      up from 2.3% at S&P's previous review.  This increase is
      associated with deleveraging.  Under S&P's CLO criteria, it
      has applied a haircut (discount) to the excess exposure
      above 5%.

   -- The transaction features non-euro-denominated assets
      (denominated in British pound sterling and U.S. dollars).
      These non-euro-denominated assets are swapped with JPMorgan
      Chase Bank N.A. (A+/Stable/A-1) and Credit Suisse
      International (A/Stable/A-1). As the documented downgrade
      provisions are in line with S&P's previous published
      counterparty criteria, in S&P's cash flow analysis, it has
      stressed asset exposure (one notch above the ratings on the
      respective counterparty) assuming no benefit of such swaps.

S&P determined the scenario default rates (SDRs) by running the
portfolio data (from February 2017) through the CDO Evaluator
model, which is an integral part of S&P's methodology for rating
and monitoring CLO transactions.  Through a Monte Carlo
simulation, the CDO Evaluator assesses a portfolio's credit
quality, taking into consideration each asset's credit rating,
size, and maturity, the estimated correlation between each pair
of assets, and any bivariate emerging market risk.  The
portfolio's credit quality is presented in terms of a probability
distribution for potential portfolio default rates.  From this
probability distribution, the CDO Evaluator derives a set of
SDRs, each of which identifies the minimum level of portfolio
defaults each CLO tranche is expected to be able to withstand to
support a specific rating level.  S&P then compares the SDRs to
the results generated in its cash flow analysis for each rated
tranche within the CLO transaction.

Although the SDRs generally reflect the amount of credit support
required at each rating level based on the credit characteristics
of the portfolio, S&P uses its proprietary cash flow model to
determine the applicable percentile break-even default rate (BDR)
for each tranche, given the stresses specified by S&P's criteria
for generating cash flow analysis at various rating levels.  The
cash flow analysis and BDRs take into account the transaction's
capital structure, interest and principal diversion mechanisms,
payment mechanics, and general characteristics of the portfolio
collateral.  For each rated tranche, the BDRs represent an
estimate of the maximum level of gross defaults--based on S&P's
cash flow stress assumptions--that a tranche can withstand and
still fully repay the noteholders.

S&P subjected the capital structure to a cash flow analysis to
determine the BDR for each rated class at each rating level.  In
S&P's analysis, it used the portfolio balance that it considers
to be performing, the current weighted-average spread, and the
weighted-average recovery rates calculated in line with S&P's
corporate CDO criteria.  S&P applied various cash flow stresses,
using its standard default patterns, in conjunction with
different interest rate stress scenarios.

S&P also applied supplemental tests outlined in its corporate CDO
criteria (the largest obligor default test and the largest
industry default test).  These supplemental tests are additional
quantitative elements in S&P's analysis that are separate and
distinct from the Monte Carlo default simulations S&P run in the
CDO Evaluator and the cash flow analysis generated for each
transaction.  S&P considers that adding these tests to its
simulation model enhances S&P's overall analysis because the
tests are intended to address both event and model risks that may
be present in rated transactions.

S&P's analysis shows that the available credit enhancement for
the class C1 and C2 notes is now commensurate with higher ratings
than those currently assigned.  Therefore, S&P has raised its
ratings on these classes of notes.

S&P's analysis also indicates that the available credit
enhancement for the class A2 and B notes is still commensurate
with the currently assigned ratings.  Therefore, S&P has affirmed
its 'AAA (sf)' ratings on these classes of notes.

At S&P's previous review, none of the ratings were capped by the
application of S&P's largest obligor or industry test.  Since
then, the par losses have been detrimental to the results of
S&P's cash flow analysis and largest obligor tests for the class
D1, D2, and E notes.  S&P has therefore lowered its rating on the
class E notes, as they are susceptible to the risk of par losses.

Although par losses, from a largest obligor default perspective,
have negatively affected the class D1 and D2 notes, S&P's
analysis shows that these notes can still pass our cash flow
stresses at 'A-' rating levels, which is commensurate with the
positive credit enhancement and excess spread.  S&P has therefore
affirmed its ratings on the class D1 and D2 notes.

Queen Street CLO I is a cash flow CLO transaction managed by Ares
Management Ltd.  The transaction closed in January 2007 and its
reinvestment period ended in April 2013.

RATINGS LIST

Queen Street CLO I B.V.
EUR550.14 mil senior secured fixed and floating-rate notes and
subordinated notes
                                 Rating
Class             Identifier     To           From
A2                74824AAB2      AAA (sf)     AAA (sf)
B                 74824AAC0      AAA (sf)     AAA (sf)
C1                74824AAD8      AA+ (sf)     AA- (sf)
C2                74824AAE6      AA+ (sf)     AA- (sf)
D1                74824AAK2      A- (sf)      A- (sf)
D2                74824AAL0      A- (sf)      A- (sf)
E                 74824AAM8      BB- (sf)     BB+ (sf)


* NETHERLANDS: Company Bankruptcies Rise in March 2017
------------------------------------------------------
Statistics Netherlands reports that the number of company
bankruptcies has risen marginally.

In March 2017, the number of bankruptcies was 11 up from the
preceding month, Statistics Netherlands relates.  Most
bankruptcies were recorded in the trade sector, Statistics
Netherlands notes.

According to Statistics Netherlands, if the number of court
session days is not taken into account, 293 businesses and
institutions (excluding one-man businesses) were declared
bankrupt in March 2017.  With a total of 60, the trade sector
took the hardest hit, Statistics Netherlands states.  In the
sector financial institutions and the construction sector 40
bankruptcies were filed, Statistics Netherlands relays.

Trade and financial services are among the sectors with the
highest number of businesses, Statistics Netherlands says.
Proportionally, the number of bankruptcies was high in the sector
hotels and restaurants in March, Statistics Netherlands
discloses.


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


CAIXA GERAL: Moody's Assigns Caa2 Rating to Tier 1 Securities
-------------------------------------------------------------
Moody's Investors Service has assigned a Caa2(hyb) rating to the
Additional Tier 1 non-viability contingent capital securities
issued by Caixa Geral de Depositos, S.A. (CGD) (B1/B1 stable,
b2).

The Caa2(hyb) rating assigned to the notes is based on CGD's
standalone creditworthiness and is positioned three notches below
the bank's b2 adjusted baseline credit assessment (BCA): one
notch below to reflect high loss severity under Moody's Advanced
Loss Given Failure (LGF) analysis; and a further two notches
below to reflect the higher payment risk associated with the non-
cumulative coupon skip mechanism, as well as the probability of
the bank-wide failure.

RATINGS RATIONALE

According to Moody's framework for rating non-viability
securities under its bank rating methodology, the agency
typically positions the rating of Additional Tier 1 securities
three notches below the bank's adjusted BCA. One notch reflects
the high loss-given-failure that these securities are likely to
face in a resolution scenario, due to their deep subordination,
small volume and limited protection from residual equity. Moody's
also incorporates two additional notches to reflect the higher
risk associated with the non-cumulative coupon skip mechanism,
which could precede the bank reaching the point of non-viability.

The notes are unsecured and perpetual, and have a non-cumulative
optional and a mandatory coupon-suspension mechanism. The
securities' principal is subject to a partial or full write-down
on a contractual basis if the bank's or group's Common Equity
Tier 1 (CET1) capital ratio falls below 5.125%, which Moody's
views as close to the point of non-viability. At January 1, 2017,
CGD's consolidated CET1 ratio stood at 12.0%, pro-forma after
incorporating the EUR2.5 billion state's recapitalization and the
EUR500 million AT1 issuance, while its standalone CET1 ratio
stood at 13.7%.

WHAT COULD CHANGE THE RATING UP/DOWN

Any changes in the b2 adjusted BCA of the bank would likely
result in changes to the Caa2(hyb) rating assigned to these
securities. In addition, any increase in the probability of a
coupon suspension would also lead us to reconsider the rating
level.

Upward pressure on CGD's BCA could be driven by a substantial
improvement on its key financial metrics. Conversely, downward
pressure on the bank's standalone BCA could arise if the
recapitalization and restructuring proves insufficient to bolster
CGD's profitability and reduce the large stock of problem loans.

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was Banks published
in January 2016.


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


METALLOINVEST AO: Fitch Affirms BB IDR on Financial Resilience
--------------------------------------------------------------
Fitch Ratings has affirmed Russia-based AO Holding Company
METALLOINVEST's (Metalloinvest) Long-Term Issuer Default Rating
(IDR) at 'BB'. The Outlook is Stable.

The affirmation reflects Metalloinvest's financial resilience at
times of volatile global pricing in iron ore and steel products.
The company has consistently reduced its absolute level of debt
over the past four years, although falling US dollar-nominated
iron ore and steel products' prices and cash accumulation drove
FFO adjusted leverage to peak at 3.7x in 2016 from around 3x in
2013-2014. Fitch expects leverage to fall back within 2.5x-3.0x
starting from 2017 as prices recover and new capacity ramps up.
The ratings also reflect Metalloinvest's top-three pellet and
leading merchant hot briquette iron (HBI) position globally, and
its global cost leadership which underpins its positive free
cash-flow generation through the cycle.

KEY RATING DRIVERS

KEY RATING DRIVERS

Price Rebound Positive but Temporary: Metalloinvest's 2016
revenue dropped by a modest 3% yoy as opposed to 1H16 revenue
fall of over 20%, as the post-3Q16 price rally in iron ore, coal
and across the steel value chain supported its top line. The
price rally continued into 1Q17 and is mostly benefiting mining
and integrated steel players, including Metalloinvest. Fitch
conservatively expects iron ore fine prices (China 62% CFR) to
revert back to USD45/t since 2018 (1Q17: USD86/t) and hard coking
coal FOB Australia spot to USD110/t from 2019 (USD285/t), driving
a pricing reversal across the steel value chain in 2018.

In 2017 Fitch expects Metalloinvest's revenue to increase by more
than 30% towards USD5.7 billion with its EBITDAR margin up to 30%
from 26% in 2016 driven by a near 20%-35% realised price growth
for pellets, HBI and steel products as well as on a ramp-up of
new HBI capacity. As prices moderate in 2018-2019, Fitch
conservatively expects revenue to decline almost 10% in 2018 and
by a further 2% in 2019, with margins down to 23%-25%. Margins
will be further weakened by a modest appreciation of the rouble
and by mid-single-digit cost inflation.

Four Years of Debt Reduction: The company has continued to reduce
debt, which Fitch see as prudent during a period of falling
prices in dollar terms. Net debt fell to USD3.3 billion, down by
almost USD400 million in 2016 and down from a peak of USD6
billion in 2012.

Steel Segment Profitability Healthy: Metalloinvest's steel
segment has reported healthy EBITDA margins within the 15%-20%
range since 2015 as steel operations, mostly at its Ural Steel
subsidiary were rationalised and bolt-on upgrades undertaken.
They were also helped by cheaper input pricing. Fitch expects
steel prices to rise by up to 10% in 2017 from 2016 levels,
followed by a comparable 10% decline in 2018, implying price
normalisation, with modest 2% growth thereafter aided by Russian
GDP growth.

Exposure to Downstream Products Up: Metalloinvest's investment
cycle aimed at increasing exposure to downstream products such as
pellets and HBI will end in 2017 with the ramp-up of 1.8mtpa new
HBI capacity. Increasing exposure to downstream products is
value-accretive despite strong price correlation across the value
chain, as logistic efficiencies and cheap feedstock underpin the
significant gap between products' conversion cost and their price
differential. Other investments are smaller with the largest
aimed at further cost efficiencies at existing iron ore mining
operations, with capex-to-sales expected to stay close to modest
7% (2014-2015: 9%-10% peak).

Norilsk Nickel Stake Reduction: In 2016 Metalloinvest reduced its
stake in Russian nickel producer PJSC MMC Norilsk Nickel (NN;
BBB-/Negative) by 1.4%. The remaining 1.8% stake was worth around
USD0.5 billion at end-2016, and might serve as a liquidity
cushion in case of need.

Corporate Governance: Metalloinvest is a private company, without
a transparent dividend policy and with the use of intercompany
loans as a means for temporary up-streaming cash to its
shareholders. This is mitigated by its track record of
responsible financial management and commitment to debt
reduction. As a result, Fitch continue to apply a two-notch
corporate governance discount to Metalloinvest's IDR, as for most
Russian corporates, incorporating the higher-than-average
business and regulatory risks in Russia where the company
operates.

DERIVATION SUMMARY

Metalloinvest's 'BB' rating (or 'BBB-' excluding corporate
governance discount) is adequately positioned relative to
Fortescue Metals Group (BB+/Stable) on each major comparative
except share of value-added products and through-the-cycle mining
profitability which are higher for Metalloinvest. Vale
(BBB/Negative) and Anglo American (BB+/Positive) have greater
scale and product diversification, but Metalloinvest's global
cost leadership mitigates this gap in the case of lower-rated
Anglo American.
No Country Ceiling or parent-subsidiary considerations affect the
rating. Fitch apply a two-notch corporate governance discount to
Metalloinvest's rating, as for most Russian corporates,
incorporating the higher-than-average political, business and
regulatory risks in Russia where the company operates.

KEY ASSUMPTIONS

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

- iron ore CFR China at USD55/t for the rest of 2017, down to
   USD45/t from 2018 onwards;

- USD/RUB at 61 in 2017, with the rouble gradually strengthening
   towards 57 by 2020;

- overall sales volumes flat but with a shift from iron ore
   concentrate and pig iron to HBI and steel products by 2018;

- capex/sales to stay at 7%-8% range down from 9%-10% peak in
   2014-2015;

- dividends payout peak in 2017 before moderation from 2018
   following price-driven margins and FFO weakening;

- FCF margin single digit negative in 2017 and reverting to mid-
   single digit positive level starting from 2018.

RATING SENSITIVITIES

Future Developments That May, Individually or Collectively, Lead
to Positive Rating Action

- Sustained deleveraging with FFO adjusted gross leverage below
   2.5x (or net leverage below 2.0x) combined with transparent
   dividend policy

Future Developments That May, Individually or Collectively, Lead
to Negative Rating Action

- Market pressure leading to EBITDAR margin below 20% for a
   sustained period

- Aggressive capex or dividends driving FFO adjusted gross
   leverage to above 3x (or net leverage to above 2.5x)

- Related-party transactions with shareholders detrimental to
   the company's financial profile

LIQUIDITY

Adequate Liquidity: Metalloinvest's end-2016 liquidity position
was healthy with USD1.0 billion of cash in hand and USD0.3
billion of undrawn committed long-term credit lines, compared
with less than USD0.1 billion of short-term borrowings. The debt
maturity profile is strong as the cash cushion comfortably covers
around USD0.5 billion of debt falling due in 2018, in addition to
the short-term maturities.

FULL LIST OF RATING ACTIONS

AO Holding Company METALLOINVEST

-- Foreign-Currency Long-Term IDR: affirmed at 'BB'; Outlook
    Stable

-- Local-Currency Long-Term IDR: affirmed at 'BB'; Outlook
    Stable

Metalloinvest Finance DAC

-- Senior unsecured rating for USD1 billion outstanding notes
    affirmed at 'BB'


METKOMBANK: Moody's Raises Long-Term Deposit Ratings to B2
----------------------------------------------------------
Moody's Investors Service has upgraded Metkombank's long-term
local- and foreign-currency deposit ratings to B2 from B3 and
changed the outlook on these deposit ratings to stable from
positive.

The rating agency has also upgraded Metkombank's baseline credit
assessment (BCA)/adjusted BCA to b2 from b3 and its long-term
Counterparty Risk Assessment (CR Assessment) to B1(cr) from
B2(cr). Concurrently, Moody's affirmed the bank's Not Prime
short-term local and foreign-currency deposit ratings and its Not
Prime(cr) short-term CR Assessment. The overall outlook on the
bank's ratings has been changed to stable from positive.

RATINGS RATIONALE

The upgrade of Metkombank's ratings reflects the recent
strengthening of the bank's capital position. Following the RUB12
billion capital injection the bank received from its shareholders
in June 2016, and given the insignificant risk-weighted asset
growth since then, Metkombank's regulatory Tier 1 ratio (N1.2)
and total capital adequacy ratio (N1.0) stood at 29.9% and 33.3%,
respectively, as of March 1, 2017. This represents an ample
cushion above the minimum required levels of 6% and 8%,
respectively, and adequately covers the risks stemming from the
bank's highly concentrated loan book and from its involvement in
the financial rehabilitation of Econombank (not rated).

The capital increase has also significantly improved Metkombank's
position in terms of credit concentration, as measured by the
ratio of its largest 20 credit exposures relative to equity,
which decreased to 83% as of year-end 2016 from approximately
250% as of year-end 2015. The bank is in compliance with the
Central Bank's new regulations on credit concentration and
related-party lending (effective since January 1, 2017). Although
these regulations will not constrain the bank's future asset
growth significantly, Moody's expects that the bank's risk-
weighted asset growth will remain moderate, at 5-10% over the
next 12-18 months.

The upgrade also reflects Metkombank's strong financial metrics
relative to its B2-B3 rated peers, both domestic and global, and
its demonstrated resilience to the recent economic and banking
downturns. Unlike most of its domestic peers, Metkombank remained
profitable in 2014-2015, and in 9M of 2016 its financial results
improved: the recovery of the bank's net interest margin to 3.2%
in 9M 2016 (up from 2.3% in 2015) was the key driver of the
growth in its return on assets (ROA), which reached 2.5% in 9M
2016. Metkombank's credit profile is further underpinned by its
ample liquidity cushion, with more than 60% of total assets in
cash, interbank loans and unencumbered securities.

WHAT COULD MOVE THE RATINGS UP/DOWN

Metkombank's ratings could be upgraded if the bank sustains the
recent improvements in its capital adequacy and single-name
concentration metrics, while diversifying its business away from
its current narrow customer base and maintaining profitable
performance.

Negative pressure on Metkombank's ratings could arise as a result
of a material deterioration in its asset quality, capital and/or
liquidity position. A significant increase in credit
concentration, beyond the historical levels, could also lead to a
downgrade of the ratings.

PRINCIPAL METHODOLOGY

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


RN BANK: Fitch Affirms BB+ Long-Term IDR, Outlook Positive
----------------------------------------------------------
Fitch Ratings has affirmed Joint Stock Company RN Bank's (RNB)
Long-Term Issuer Default Rating (IDR) at 'BB+'. The Outlook is
Positive.

KEY RATING DRIVERS

RNB's IDRs and Support Rating reflect the potential support the
bank may receive, if needed, from its foreign shareholders. The
bank is owned by UniCredit S.p.A. (BBB+/Negative) with a 40%
stake; by Renault SA (BBB-/Positive) through its subsidiary RCI
Banque with a 30% stake, and by Nissan Motor Co., Ltd.
(BBB+/Stable) with a 30% stake. The Positive Outlook reflects the
Positive Outlook on Renault.

In Fitch's view, the probability of support is underpinned by (i)
the strategic importance of the Russian market for Renault and
Nissan and the important role of RNB in supporting the two auto
companies' business; (ii) the track record of support, and in
particular the predominance of shareholder funding in RNB's
liabilities; and (iii) RNB's small size relative to the owners,
limiting the cost of potential support.

At the same time, RNB's Long-Term IDRs are notched down from
those of the bank's shareholders due to (i) each individual owner
being a minority shareholder, which may reduce their propensity
to provide support; and (ii) Fitch's view that reputational risks
for the owners would probably be containable in case of RNB's
default.

The senior unsecured debt (RUB-denominated local bonds) is rated
in line with the Long-Term IDR, according to Fitch's criteria for
rating such instruments.

RATING SENSITIVITIES

An upgrade of Renault's IDR would most likely result in an
upgrade of RNB's support-driven ratings provided that the Russian
market remains strategically important for the Renault-Nissan
Alliance.

A weakening of the credit profiles of RNB's shareholders,
undermining their ability to support the Russian bank, could lead
to a downgrade of RNB's ratings, as could a reduction in the
importance of RNB for the development of business of Renault and
Nissan in Russia.

A marked increase in the share of third-party funding of RNB
without recourse to the bank's shareholders could also somewhat
erode the owners' propensity to support RNB, in Fitch's view, and
could result in a downgrade of its ratings.

The senior unsecured debt rating is sensitive to changes in the
bank's IDR.

The rating actions are as follows:

Long-Term Foreign and Local Currency IDRs: affirmed at 'BB+';
Outlook Positive
Short-Term Foreign Currency IDR: affirmed at 'B'
Support Rating: affirmed at '3'
Senior debt long-term rating: affirmed at 'BB+'


SAMARA OBLAST: S&P Revises Outlook to Stable & Affirms 'BB' ICR
---------------------------------------------------------------
S&P Global Ratings revised its outlook on Russia's Samara Oblast
to stable from negative.  At the same time, S&P affirmed the 'BB'
long-term issuer credit rating and 'ruAA' Russia national scale
rating on the region.

                              OUTLOOK

The stable outlook reflects S&P's expectation that Samara
Oblast's commitment to cost control will allow the region to
demonstrate solid budgetary performance during 2017-2019.  S&P
anticipates that the region will maintain its low debt and that
cash and committed credit facilities will continue to exceed 80%
of the next 12 months' debt service.

Downside Scenario

S&P could lower the ratings on Samara Oblast if the region
loosened its approach to liquidity management, causing the debt
service coverage ratio to fall below 80%, or if it materially
departed from its cautious spending policy.

Upside Scenario

S&P might consider a positive rating action if the oblast
strengthened its approach to debt and liquidity management,
resulting in a consistent debt service coverage ratio above 120%.

                             RATIONALE

S&P has revised upward its assessment of Samara Oblast's
budgetary performance, based on S&P's expectation that the region
will maintain an operating surplus above 5% of operating revenues
and a deficit after capital accounts below 5% of total revenues
in the coming three years.  S&P also thinks that stronger
budgetary performance will allow the region to keep its tax-
supported debt below 60% of consolidated operating revenues by
2019 and that its cautious liquidity management will result in
the debt service coverage ratio remaining above 80% in the next
12 months.

Samara will likely demonstrate stronger balances and maintain low
debt.  S&P believes that, in the coming three years, the oblast
will demonstrate stronger balances than it previously forecast
thanks to a more pronounced recovery of operating results on the
one hand and continuous application of budget consolidation
measures by the region's government on the other hand.  In the
medium term, S&P expects the oblast's tax revenue performance to
remain stable, growing above inflation year-on-year based on
S&P's better macroeconomic projections for Russia overall and
positive local dynamics.  These include stronger performance of
its manufacturing and food processing industries, as well as
larger tax contributions from domestically oriented oil
production and refinancing companies.  S&P assumes that the fall
in Russian local and regional government revenues caused by the
"centralization" of the 1% corporate profit tax this year will be
partly compensated by new limits to the amount of losses
interregional holdings are allowed to apply to the tax base.  S&P
also believes that the structural balance improvement in the
oblast will be supported by the consistent application of
austerity measures that its local government has introduced in
the past couple of years.  They include tighter cost control
mechanisms and a refined approach to subsidy in the lower levels
of budget, with stricter spending limits helping to keep growth
in operating spending below national inflation year-on-year in
the coming three years.  The oblast will also need to maintain
measures of budget consolidation in order to continue benefiting
from low interest budget loans because this support from the
government comes on conditions of keeping low deficit and debt.
At the same time, S&P assumes that modest deficits after capital
accounts of less than 5% of total revenues in 2017-2019 are
likely to persist, as the region continues to co-finance
infrastructure projects for hosting games during the 2018
football World Cup in the city of Samara and new social
infrastructure projects are launched.

Samara Oblast's modifiable revenues (mainly transport tax and
nontax revenues) are low and don't provide much flexibility-- S&P
forecasts they will account for less than 10% of the oblast's
operating revenues on average in the next three years.  On the
expenditure side, leeway remains limited, with a large share of
inflexible social spending.  At the same time, S&P believes that
capital expenditures will remain above 15% of total spending in
the coming three years as some of the construction projects
launched for the World Cup are finalized.

S&P's capital expenditure forecast also reflects the
administration's intention to increase capital investment in
social infrastructure.  Overall, S&P believes that the
flexibility buffers of the oblast will remain weak given the
relatively small size of the self-financed capital program.

S&P believes that the regional government's budgetary
consolidation efforts will likely allow the oblast to maintain
the level of its tax-supported debt below 60% of consolidated
operating revenues through 2019.  S&P considers this debt level
low in an international context.  S&P includes the minor
guaranteed and nonguaranteed debt of Samara Oblast's government-
related entities (GREs) in S&P's calculations of tax-supported
debt.

S&P views Samara Oblast's outstanding contingent liabilities as
very low.  The administration continues to reduce its presence in
the local economy by privatizing its GREs.  S&P estimates GRE
payables at about 2% of the oblast's operating revenues, and
believe that its municipal sector is relatively healthy
financially.  S&P therefore don't expect the budget to require
any significant extraordinary support in the coming years.

S&P views Samara Oblast's liquidity as less than adequate, as
defined in S&P's criteria.  The oblast posts a satisfactory debt
service coverage ratio, but S&P considers that it has limited
access to external liquidity, given the weaknesses of the
domestic capital market.

S&P anticipates that the oblast's free cash and committed credit
facilities will cover more than 80% of debt service falling due
within the next 12 months.  The total amount of available credit
facilities, in which S&P includes regular loans from the federal
government aimed at refinancing half of the region's commercial
debt, will likely average Russian ruble (RUB) 4.2 billion over
the next year.  In early 2017, the oblast had already received
RUB2.7 billion.  The average cash, including the cash of the
oblast's budgetary units, will likely be about RUB14 billion.
S&P considers that the average amount available on these sources
of liquidity will cover debt service of about RUB17.4 billion by
more than 80% over the next 12 months.

Expenditure management has improved despite the volatile and
unbalanced institutional framework Samara Oblast is one of
Russia's key industrial regions, home to over 2% of the total
country's population and historically contributing around 2% of
the national GDP.  Nevertheless, the oblast's wealth levels
remain low by global standards.  S&P forecasts gross regional
product (GRP) per capita could be around US$7,000 in 2017-2019.
Moreover, the oblast's revenues remain exposed to the changes in
the tax regime on oil production and the refining industry, which
together provide about 15% of GRP, as well as the financial
strategies of a few holding companies operating in this sector.
At the same time, in S&P's view the oblast's tax base is not
intrinsically concentrated compared with peers that are oriented
around commodities and mineral extraction.  S&P also expects
that, in the medium term, the oblast is likely to see more
diversification benefit from a larger proportion of tax revenues
flowing from financial, manufacturing, and food industries due to
the stronger expected performance of these sectors.

Like other Russian regions, Samara Oblast has very limited
control over its revenues and expenditures within the centralized
institutional framework, which remains unpredictable with
frequent changes to taxing mechanisms affecting regions.  The
federal government regulates the rates and distribution shares
for most taxes and transfers, leaving only about 5% of operating
revenues that the region can manage.

S&P assess Samara Oblast's financial management as weak in an
international context, as S&P do for most Russian local and
regional governments.  This is mainly due to lack of reliable
long-term financial planning and limited visibility regarding the
oblast policy for GREs.  At the same time S&P notes the
improvement in revenue and expenditure management, with new cost-
control mechanisms that should help the oblast to maintain
stronger budgetary performance over the medium term.

In accordance with S&P's relevant policies and procedures, the
Rating Committee was composed of analysts that are qualified to
vote in the committee, with sufficient experience to convey the
appropriate level of knowledge and understanding of the
methodology applicable.  At the onset of the committee, the chair
confirmed that the information provided to the Rating Committee
by the primary analyst had been distributed in a timely manner
and was sufficient for Committee members to make an informed
decision.

After the primary analyst gave opening remarks and explained the
recommendation, the Committee discussed key rating factors and
critical issues in accordance with the relevant criteria.
Qualitative and quantitative risk factors were considered and
discussed, looking at track-record and forecasts.

The committee agreed that budgetary performance had improved.
All other key rating factors were unchanged.

The chair ensured every voting member was given the opportunity
to articulate his/her opinion.  The chair or designee reviewed
the draft report to ensure consistency with the Committee
decision. The views and the decision of the rating committee are
summarized in the above rationale and outlook.  The weighting of
all rating factors is described in the methodology used in this
rating action.

RATINGS LIST

                                     Rating
                                     To               From
Samara Oblast
Issuer Credit Rating
  Foreign and Local Currency         BB/Stable/--     BB/Neg./--
  Russia National Scale              ruAA/--/--       ruAA/--/--
Senior Unsecured
  Local Currency                     BB               BB
  Russia National Scale              ruAA             ruAA


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


GRIFOLS SA: Moody's Assigns B2 Rating to New EUR1BB Sr. Notes
-------------------------------------------------------------
Moody's Investors Service has assigned a B2 rating to the new
EUR1 billion senior unsecured notes due 2025 to be issued by
Grifols S.A., a global healthcare company primarily focused on
human blood plasma-derived products and transfusion medicine.

Grifols plans to use the proceeds from new senior unsecured notes
to refinance the USD1 billion senior unsecured notes due 2022.

The rating assignment reflects the following inter-related
drivers:

   -- Moody's estimates that pro forma for the recent
acquisitions and refinancings Grifols' leverage, as measured by
Moody's-adjusted debt/EBITDA, will increase to 5.1x from 4.4x as
of December 31, 2016

   -- Moody's nevertheless expects that Grifols' leverage will
slowly decrease to below 5.0x over the next 12 months based on
organic growth in the mid-single-digit percent range in the
Bioscience division, which will be driven by intravenous
immunoglobulin and alpha-1 antitrypsin products on the back of
marketing efforts in the US and EU and by albumin products,
particularly in China

   -- Moody's notes that the refinancing of the notes will extend
the company's debt maturity profile and provide some interest
expense savings and will thereby slightly improve its free cash
flows

Grifols' all other ratings remain unchanged, namely: Ba3
corporate family rating (CFR), Ba3-PD probability of default
rating (PDR), B2 rating of the USD1 billion senior unsecured
notes due 2022, and Ba2 ratings of currently outstanding senior
secured bank credit facilities, including USD2.350 billion term
loan A due 2023, USD3 billion term loan B due 2025, EUR607
million term loan A due 2023, and USD300 million RCF due 2023.
The outlook on all ratings remains stable.

Moody's expects to withdraw the B2 rating of the USD1 billion
senior unsecured notes due 2022 at closing of the refinancing.

RATINGS RATIONALE

The B2 rating of the new senior unsecured notes is two notches
below the CFR reflecting the sizable senior secured bank credit
facilities rated Ba2, which rank ahead of the notes. The Ba3-PD
probability of default rating (PDR) is in line with the Ba3 CFR
reflecting Moody's 50% corporate family recovery rate.

Grifols S.A.'s (Grifols) Ba3 corporate family rating (CFR)
reflects: (1) the company's good scale with a high degree of
vertical integration and leading market positions in human blood
plasma-derived products; (2) the barriers to entry including, but
not limited to, a high degree of capital-intensity and regulatory
constraints in a consolidated market; and (3) the favourable
fundamental drivers, with volume growth supported by improving
diagnostics.

Conversely, the rating reflects: (1) the company's narrow, albeit
improving, diversification, with a high dependence on human blood
plasma-derived products and vulnerability to market imbalances
and negative pricing movements; (2) Moody's view of the potential
high impact -- albeit low probability -- of safety risks relating
to product contamination; and (3) leverage of 5.1x pro forma for
the refinancing of the senior notes, with slow deleveraging
expected.

Moody's expects that pro forma for the acquisitions and
refinancing Grifols will maintain good liquidity supported by no
meaningful debt amortizations until 2023; undrawn USD300 million
revolving credit facility and cash of around EUR500 million;
positive free cash flows of around EUR200 million in 2017; and
good headroom to its single financial covenant under senior
secured bank credit facilities.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook reflects Moody's view that Grifols' leverage
will slowly decrease to below 5.0x over the next 12 months. The
stable outlook does not incorporate significant capital structure
changes from shareholder-friendly actions or large debt-financed
acquisitions.

WHAT COULD CHANGE THE RATING UP/DOWN

Positive rating pressure could develop if:

- Grifols' leverage, as measured by Moody's-adjusted debt/EBITDA,
  were to decrease below 4.0x sustainably;

- CFO/Debt were to improve sustainably above 15%; and

- Stable operating performance were to continue with market share
  gains in major products

Negative rating pressure could develop if:

- Grifols' leverage, as measured by Moody's-adjusted debt/EBITDA,
  were to remain over 5.0x for a prolonged period;

- CFO/Debt were to fall towards 5%;

- Profitability, as measured by Moody's-adjusted EBITDA margin,
  were to drop notably;

- Liquidity were to deteriorate significantly; or

- Quality concerns were to emerge about Grifols' major products

List of affected ratings:

Assignments:

- Issuer: Grifols S.A.

- Senior Unsecured Regular Bond/Debenture, Assigned B2 (LGD6)

The principal methodology used in this rating was Global Medical
Product and Device Industry published in October 2012.

Grifols S.A. (Grifols), headquartered in Barcelona, Spain, is a
global healthcare company primarily focused on human blood
plasma-derived products and transfusion medicine. Grifols
extracts essential proteins from human blood plasma, the liquid
portion that constitutes 50% of the total blood volume, and uses
these proteins to produce and distribute therapeutic medical
products to treat a range of rare, chronic and acute conditions.
Grifols also supplies devices, instruments and assays for
clinical diagnostic laboratories. Grifols is listed (also via ADR
in the US) on the Madrid Stock Exchange and is part of the IBEX
35 Index.


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


BSI AG: Moody's Withdraws ba1 Baseline Credit Assessment Rating
---------------------------------------------------------------
Moody's Investors Service has withdrawn the long- and short-term
deposit ratings of BSI AG (BSI) at A3/Prime-2. The long-term
ratings carried a positive outlook at the time of the withdrawal.
At the same time, Moody's has also withdrawn the bank's: (1)
baseline credit assessment (BCA) at ba1; (3) its adjusted BCA at
baa2; and (4) the long- and short-term counterparty risk (CR)
assessment at Baa2(cr)/Prime-2(cr).

The rating action follows the completion of the legal integration
of BSI's Swiss business into EFG Bank AG (deposits A1 negative,
BCA baa1), effective as of April 7, 2017.

RATINGS RATIONALE

WITHDRAWAL OF BSI'S RATING INPUTS AND DEPOSIT RATINGS

The withdrawal of BSI's rating inputs and A3/Prime-2 deposit
ratings reflects its reorganization and legal integration into
EFG Bank AG. As a result, substantially all of BSI's Swiss assets
and liabilities were transferred to EFG Bank AG by way of an
asset transfer pursuant to the Swiss Merger Act. The transfer
included client relationships and employees.

LIST OF AFFECTED RATINGS

Issuer: BSI AG

Withdrawals:

-- LT Counterparty Risk Assessment, withdrawn, previously rated
    Baa2(cr)

-- ST Counterparty Risk Assessment, withdrawn, previously rated
    Prime-2(cr)

-- LT Bank Deposits (Local & Foreign Currency), withdrawn,
    previously rated A3 Positive

-- ST Bank Deposits (Local & Foreign Currency), withdrawn,
    previously rated Prime-2

-- Adjusted Baseline Credit Assessment, withdrawn, previously
    rated baa2

-- Baseline Credit Assessment, withdrawn, previously rated ba1

Outlook Action:

-- Outlook withdrawn, previously Positive


CREDIT SUISSE: Moody's Rates CHF200MM AT1 Capital Notes Ba2
-----------------------------------------------------------
Moody's Investors Service has assigned a Ba2(hyb) rating to the
CHF200 million high trigger additional tier 1 (AT1) contingent
write-down capital notes issued by Credit Suisse Group AG in
March 2017.

These perpetual non-cumulative AT1 securities rank junior to all
liabilities of Credit Suisse Group AG, including subordinated
liabilities other than parity securities, but they rank senior to
participation securities and all classes of shares. Coupons may
be cancelled on a non-cumulative basis at the issuer's option and
on a mandatory basis, subject to the availability of
distributable profits, the meeting of solvency conditions and
regulatory discretion. The principal of the AT1 securities will
be fully and permanently written-down if Credit Suisse Group AG's
consolidated Common Equity Tier 1 (CET1) ratio falls below 7%.

RATINGS RATIONALE

The Ba2(hyb) rating is based on the likelihood of Credit Suisse
Group AG's CET1 capital ratio reaching the write-down trigger,
the probability of a bank-wide failure, and the expected loss
severity if either or both these events occur. Moody's assesses
the probability of a trigger breach using a model-based approach
incorporating the group's creditworthiness, its most recent CET1
ratio and qualitative considerations, particularly with regard to
how the bank may manage its CET1 ratio on a forward-looking
basis.

Under Moody's approach to rating high-trigger contingent capital
securities, as described in its "Banks" rating methodology,
published in January 2016, Moody's rates high-trigger AT1
securities to the lower of the model-based outcome and Credit
Suisse Group AG's non-viability security rating.

The CET1 ratio trigger is defined as Credit Suisse Group AG's
consolidated transitional (or phase-in) Basel III Common Equity
Tier 1 capital ratio ("BIS CET1 ratio") as determined in
accordance with the relevant Basel III regulations as calculated
by Credit Suisse and reviewed by The Swiss Financial Market
Supervisory Authority (FINMA). At end-December 2016 Credit Suisse
reported a transitional 13.5% BIS CET1 ratio.

Credit Suisse Group AG is the parent bank holding company for
Credit Suisse AG, which accounts for the vast majority of Credit
Suisse Group AG's assets. As such, the group's intrinsic
financial strength corresponds to the baa2 baseline credit
assessment (BCA) of Credit Suisse AG. Moody's used the BCA and
proforma CET1 as inputs to its model, which led to a model output
of Ba1(hyb).

In the absence of a non-viability security being rated, the model
outcome was then compared with the rating of a hypothetical
Credit Suisse Group AG non-viability security, which would be
positioned at Ba2(hyb), three notches below the BCA of baa2,
based on Moody's advanced Loss Given Failure (LGF) analysis. The
non-viability rating captures the probability of a bank-wide
failure, the risk of coupon suspension on a non-cumulative basis,
and loss severity if one or both of these events happen.

When comparing the Ba1(hyb) model output and the hypothetical
Ba2(hyb) non-viability security rating, the 'high trigger'
security rating is constrained by the rating on the non-viability
security, leading to the assignment of a Ba2(hyb) rating to
Credit Suisse Group AG's 'high trigger' AT1 security.

The outcome of Moody's model sensitivity analysis on Credit
Suisse Group AG, which considers changes to the group-level BIS
CET1 ratio including actions Credit Suisse is taking to
strengthen its CET1 ratio and the increased level of CET1
deductions which are to be fully phased-in by 2018, confirms that
the Ba2(hyb) rating is resilient under the main plausible
scenarios.

Credit Suisse Group AG is in the midst of substantial
restructuring with the goal of improving its profitability and
de-risking its operations. Several of these actions Moody's
expects will be capital accretive, including the deleveraging of
legacy capital market activities, the potential public offering
of a minority stake in its Swiss domestic subsidiary (Credit
Suisse (Schweiz) AG) and cost-cutting exercises and investments
in businesses to improve profitability.

The rating agency notes that the AT1 securities also contain a
clause which allows principal to be permanently and fully
written-down in the case of a viability event, which can occur if
the FINMA identifies the bank needs capital and customary
measures to improve capital are not adequate or infeasible or if
the bank were to receive direct or indirect support from the
public sector. A viability event can occur ahead of a trigger
breach. Moody's believes that the probability of this event
occurring is already factored into the assigned rating level.

WHAT COULD CHANGE THE RATING UP/DOWN

The rating of Credit Suisse Group AG's AT1 securities is
currently constrained by the rating on the issuer's non-viability
security, which in turn could be upgraded if Credit Suisse AG's
baa2 BCA were to increase.

Conversely, a downgrade of the rating on the AT1 securities could
materialise if Credit Suisse AG's BCA was reduced and/or if
Credit Suisse Group AG's BIS CET1 ratio were to decline below
10.6% on a sustained basis. Moody's would also reconsider the
rating in the event of an increased probability of a coupon
suspension.

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was Banks published
in January 2016.


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


CYRENIANS CYMRU: Former Finance Head Admits to GBP1.3MM Fraud
-------------------------------------------------------------
South Wales Evening Post reports that Robert Mark Davies, the
former head of finance at Swansea-based homeless charity
Cyrenians Cymru that tumbled into bankruptcy, has admitted a
GBP1.3 million fraud.

Mr. Davies was warned to expect a lengthy prison sentence by a
judge on April 13, South Wales Evening Post discloses.

According to South Wales Evening Post, the 49-year-old admitted
syphoning off GBP1,343,074 in funds while working at Cyrenians
Cymru over a six-year period between June 4, 2008, and
November 11, 2014.

The malpractice came to light following an investigation by the
South Wales Police Economic Crime Unit, South Wales Evening Post
notes.

Mr. Davies was arrested in December 2014 on suspicion of what was
described at the time as "extensive fraud", South Wales Evening
Post recounts.

Since the investigation, Cyrenians Cymru was forced to declare
itself insolvent and went into administration in February 2015,
with 20 jobs affected, South Wales Evening Post relays.


NEWPORT RFC: Administration Likely if WRU Takeover Rejected
-----------------------------------------------------------
Simon Thomas at South Wales Echo reports that the starkest
warning yet has been issued over what rejecting the Welsh Rugby
Union takeover of the Dragons would mean for rugby at Rodney
Parade.

Newport RFC shareholders will meet on Tuesday, May 9, to vote on
the proposal, which would see the Union assuming full control of
the Dragons and buying the ground, South Wales Echo discloses.

It will require a 75% vote in favor for the takeover to go ahead
and there has been vociferous opposition to the plan from
concerned Black & Ambers fans, South Wales Echo notes.

Now Dragons board member Alex James has outlined in the clearest
possible terms just what will happen if there is a no vote, South
Wales Echo relates.

"It would be an absolute disaster for both Gwent regional rugby
and Newport RFC," South Wales Echo quotes Mr. James as saying.

"Automatically, the Dragons business wouldn't be able to trade.
The receivers would be called in the next day.

"The Dragons would immediately have to go into administration
and, if they fold, the WRU funding would cease and associated
loans and debts would be called in.

"This could lead to Newport RFC being in a position where they
are unable to pay their debts, including playing staff and
creditors.

"At that point, the secured loans against the ground would be
called in.

"The bank would then appoint a receiver, since they have first
charge on the ground, and the insolvency process would then
necessitate the sale of the ground.

"This will lead to no rugby being played at Rodney Parade and it
becoming a building site with no surplus for Newport RFC."

Mr. James warns there would be nothing left for the Black &
Ambers to start afresh elsewhere if the ground which they
currently own was sold for property development, South Wales Echo
relays.

"The shareholders may think this is a Dragons problem and Newport
RFC could go it alone," Mr. James, as cited by South Wales Echo,
said.

"But the debts on the Newport balance sheet are greater than the
value of the asset.

"And if a forced sale happens, nothing will be left for Newport
RFC to go it alone.

"The land is only worth what somebody is willing to pay for it.
"People have put figures out there of Pounds 5m or Pounds 6m, but
is land in Newport Pounds 600,000 an acre? I don't think so.

"The Union deal, at a bit more than Pounds 3.5m, is a fair
reflection of where we are as a going concern.

"If it goes to a no vote, the liquidators will get involved and
there will be people out of work."

According to South Wales Echo, Mr. James, who is a director of
the Dragons, Newport RFC and Rodney Parade Ltd, continued:

"People have got to take this for what it is.

"We are where we are. We have nowhere to go.

"We have got to a situation now where the business is running out
of cash.

"The facilities are currently in need of a massive amount of
investment.  It needs so much doing to it, while the pitch
problems have been well documented.

"There is no more money coming from the existing directors and
the current financial projections don't look good.

"So where do we turn? There is no white knight on a charger
coming to bail us out.

"It is our legal duty to look at the best option for the
companies, otherwise administration is not too far away with
hundreds of jobs on the line.

"It's in the best interests of protecting rugby at the ground to
go with the WRU option, unless someone comes out of the woodwork
with at least Pounds 5m within the next couple of weeks or so."


OLD MUTUAL: Fitch Lowers Subordinated Debt Rating to BB
-------------------------------------------------------
Fitch Ratings has downgraded Old Mutual Plc's (Old Mutual) Long-
Term Issuer Default Rating (IDR) to 'BBB' from 'BBB+'. Fitch
simultaneously affirmed Old Mutual Wealth Life Assurance Company
Limited's (OMWL) Insurer Financial Strength Rating (IFS) at 'A'.
The Outlooks are Stable. Fitch has also downgraded the IFS Rating
of Mutual & Federal Insurance Company Limited (M&F) to 'BB+' from
'BBB-'. The Outlook is Stable.

The rating actions follow the downgrade of South Africa's Long-
Term Local-Currency IDR to 'BB+' from 'BBB-' (see 'Fitch
Downgrades South Africa to 'BB+'; Outlook Stable' dated April 7,
2017 on www.fitchratings.com). The actions reflect that Old
Mutual's ratings are constrained by South Africa's sovereign
local currency rating, and the standalone credit quality of Old
Mutual Emerging Markets (OMEM).

OMLACSA's and M&F's National scale ratings have not been affected
by the sovereign downgrade, as the relative creditworthiness of
South African insurance groups remains unchanged, in Fitch's
view.

KEY RATING DRIVERS

Old Mutual Plc
Old Mutual's IDR is mainly driven by the credit quality of the
Old Mutual Wealth (OMW) business unit, including its contribution
to group hard-currency interest coverage. However, Old Mutual's
ratings are constrained by South Africa's Long-Term IDR,
reflecting the group's balance sheet and earnings exposure to
South Africa.

Old Mutual Wealth Life Assurance Company Limited
We expect that the OMW business unit will operate as a standalone
UK/European insurance business under a new holding company. On a
standalone basis, OMW benefits from low balance sheet risk and
its strong business position in the UK. However, uncertainty
around future financial flexibility and profitability are rating
weaknesses.

Old Mutual Emerging Markets
OMEM is one of South Africa's largest insurance groups, with a
strong market position in most segments. Old Mutual Life
Assurance Company South Africa (OMLACSA), OMEM's main operating
entity, is strongly capitalised and, for participating business,
has the ability to share potential investment losses with
policyholders. Fitch do not expects OMEM's operations to be
materially disrupted by the group's restructuring plans.

OMLACSA, M&F and Mutual & Federal Risk Financing Limited (M&F RF)
will continue to operate as "Core" entities under OMEM. Their
ratings and Outlooks reflect OMEM's current and expected
standalone credit profile, as the largest profit contributor to
the existing Old Mutual group, and a market-leading life insurer
and fund manager in South Africa.

M&F's IFS rating, as well as the implied international IFS rating
for OMEM's South African operations, is constrained by the South
African sovereign local currency rating. This is a result of
OMEM's exposure to the South African operating environment and
investment exposure to government and other local securities.

RATING SENSITIVITIES

A further downgrade of the South African local currency sovereign
rating could trigger a corresponding action on Old Mutual's IDR
and M&F's IFS rating.

OMW may be downgraded if net income fails to recover or market
share deteriorates as a result of further operational
difficulties in deploying its new investment platform.

An improvement in OMW's profitability, as measured by net income
return on equity above 9% on a sustained basis, could lead to an
upgrade.

A change to the South African sovereign ratings is unlikely to
affect the National Ratings of OMLACSA and M&F, as the relativity
of these ratings to that of the best credits in South Africa is
expected to remain unaffected.

The National Ratings of OMLACSA, M&F and M&F RF would be
downgraded if OMEM's creditworthiness deteriorates materially
relative to the South African sovereign and its peers in the
South African market.

FULL LIST OF RATING ACTIONS

Old Mutual plc
Long-Term IDR: downgraded to 'BBB' from 'BBB+'; Outlook Stable
Subordinated debt: downgraded to 'BB' from 'BB+'
Short-Term IDR and commercial paper: downgraded to 'F3' from 'F2'

Old Mutual Wealth Life Assurance Limited
IFS rating: affirmed at 'A'; Outlook Stable
Long-Term IDR: affirmed at 'A-'; Outlook Stable

Mutual & Federal Insurance Company Limited (M&F)
National IFS rating: affirmed at 'AAA(zaf)'; Outlook Stable
IFS rating: downgraded to 'BB+' from 'BBB-'; Outlook Stable

Mutual & Federal Risk Financing Limited
National IFS rating: affirmed at 'AAA(zaf)'; Outlook Stable

Old Mutual Life Assurance Company (South Africa) Limited
National IFS rating: affirmed at 'AAA(zaf)'; Outlook Stable
National Long-Term rating: affirmed at 'AAA(zaf)'; Outlook Stable
Subordinated debt: affirmed at 'AA(zaf)'



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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.


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

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

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


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