TCREUR_Public/170621.mbx         T R O U B L E D   C O M P A N Y   R E P O R T E R

                           E U R O P E

           Wednesday, June 21, 2017, Vol. 18, No. 122


                            Headlines


A Z E R B A I J A N

INT'L BANK: Used Obscure Dublin-Based Entities to Sell Bonds


C R O A T I A

AGROKOR DD: Milkos CEO Likens Crisis to Earthquake
AWT INTERNATIONAL: Enters Pre-Bankruptcy Proceedings


D E N M A R K

OSTERBRO PRIVATSKOLE: Shuts Down After Declaring Bankruptcy


F R A N C E

DELACHAUX SA: S&P Revises Outlook to Stable & Affirms 'B+' CCR


G E R M A N Y

FTE VERWALTUNGS: Moody's Hikes Corporate Family Rating to B1
NEOVASC INC: Will Appeal German Court's Ruling on Tiara Rights


I R E L A N D

BLACKROCK EUROPEAN III: Moody's Assigns B2 Rating to Cl. F Notes


K A Z A K H S T A N

OIL INSURANCE: S&P Raises Counterparty Credit Rating to 'B+'


L U X E M B O U R G

ALTISOURCE SOLUTIONS: Moody's Still Reviewing B3 CFR
KLOCKNER PENTAPLAST: Moody's Rates EUR1,580MM Sr. Loan B (P)B3
LSF10 XL INVESTMENT: S&P Assigns 'B+' CCR, Outlook Stable


N E T H E R L A N D S

EURO GALAXY II: Moody's Raises Rating on Class E Notes to Ba2
WOOD STREET III: Moody's Raises Rating on Class D Notes from Ba2


P O R T U G A L

PORTUGAL: Fitch Revises Outlook to Positive, Affirms BB+ IDR
SAGRES SOCIEDADE: Moody's Assigns (P)Ba2 Rating to Cl. C Notes


R U S S I A

AEROFLOT PJSC: Fitch Corrects March 6 Rating Release
AK BARS: Fitch Cuts to 'B' Long-Term IDRs, Then Withdraws Ratings
BULGAR BANK: Liabilities Exceed Assets, Assessment Shows
KIROV REGION: Fitch Affirms BB- Long-Term IDRs, Outlook Stable
KOSTROMA REGION: Fitch Affirms B+ Long-Term IDR, Outlook Stable

NCO SERVICE: Put on Provisional Administration, License Revoked
NIZHNIY NOVGOROD: Fitch Withdraws BB- Long-Term IDRs
RYAZAN REGION: Fitch Withdraws B+ Long-Term IDRs
VOLGOGRAD REGION: Fitch Withdraws B+ Long-Term IDRs


S E R B I A

SERBIA: Fitch Affirms BB- Long-Term IDRs, Outlook Stable


S P A I N

RURAL HIPOTECARIO IX: Fitch Affirms 'CCsf' Rating on Cl. E Notes


U N I T E D   K I N G D O M

GLOBALWORTH REAL: Moody's Rates EUR550MM Senior Unsec. Notes Ba2
NEWDAY FUNDING: Fitch Rates Series 2017-1 F Notes 'B(EXP)sf'
SANDWELL COMMERCIAL NO.1: Fitch Ups Rating on Cl. D Notes to CCC


                            *********



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A Z E R B A I J A N
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INT'L BANK: Used Obscure Dublin-Based Entities to Sell Bonds
------------------------------------------------------------
Donal Griffin, Jake Rudnitsky and Nariman Gizitdinov at Bloomberg
News report that The International Bank of Azerbaijan, or IBA,
used obscure Dublin-based entities to sell bonds that were bought
by state-linked funds in Kazakhstan about three years ago.

Now, the Baku-based lender has defaulted and its long-time chief
executive officer is in jail for embezzlement, while a US$22
billion national pension fund across the Caspian Sea in Almaty is
probing its investment in the debts, Bloomberg relates.

The debacle shines a light on Dublin's role as a hub for
financing deals originating in the former Soviet Union through
the use of thinly regulated special purpose vehicles, known as
SPVs, that critics say can mask risk and avoid scrutiny,
Bloomberg notes.  Several Russian lenders have used such entities
to borrow funds before unraveling amid claims of mismanagement
and, in some cases, corruption and embezzlement, Bloomberg
states.

"Irish authorities should have exerted more scrutiny over the IBA
placement," Bloomberg quotes Constantin Gurdgiev, a finance
professor at the Middlebury Institute of International Studies in
Monterey, California, who studies the Irish economy, as saying.
"The Central Bank of Ireland needs to learn some lessons from the
IBA and other scandals involving Russian and former USSR entities
trading from Irish platforms."

According to Bloomberg, spokeswoman Katie Philpott said by e-mail
the Central Bank of Ireland checks the prospectus of a SPV bond
deal to ensure it makes disclosures mandated by law.  She said
the veracity of those disclosures is the responsibility of the
SPV's directors, Bloomberg notes.

IBA, controlled by the Azeri state, has borrowed about $900
million in total since 2007 through Dublin-based SPVs Rubrika
Finance Co. DAC and Emerald Capital DAC in deals arranged
by JPMorgan Chase & Co. and Citigroup Inc., Bloomberg data and
Irish company filings show.

The data show about $350 million of this was outstanding when the
lender defaulted on a bond issued by one of the SPVs last month,
Bloomberg notes.

Ms. Philpott, as cited by Bloomberg, said one of the Rubrika
debts didn't need regulatory approval as it wasn't listed on an
exchange in the European Union.

The Azeri bank said on June 16 it agreed to changes in its
restructuring plan for about US$3.3 billion of debts after some
of the firm's lenders attempted to block the proposed conditions
of IBA's overhaul, Bloomberg recounts.

The International Bank of Azerbaijan is Azerbaijan's biggest
bank.

                            *   *   *

The Troubled Company Reporter-Europe reported on June 1, 2017,
that Moody's Investors Service said the foreign-currency senior
unsecured debt rating of International Bank of Azerbaijan (IBA)
is unaffected at Caa3, under review for downgrade.  The rating
agency downgraded the bank's long-term foreign- and local-
currency deposit ratings to Caa2 from B1 and changed the review
to direction uncertain from review for downgrade.  IBA's baseline
credit assessment (BCA) of ca was has also been placed on review
with direction uncertain. In addition, Moody's downgraded IBA's
long-term counterparty risk assessment (CRA) to Caa1(cr) from
Ba3(cr) and changed the review to direction uncertain from review
for downgrade.  IBA's Not Prime short-term foreign- and local-
currency deposit ratings and Not Prime(cr) short-term CRA were
affirmed.  IBA's foreign-currency debt rating of Caa3 reflects
the likely loss for creditors as a result of a proposed debt
restructuring.  Based on the terms of this restructuring
announced on May 23, which proposes several options to investors
including a proposed exchange ratio of 0.8 in sovereign bonds
against existing claims, Moody's estimates the loss to be at
about 20%, which is consistent with the current Caa3 debt rating.
The rating agency maintains the review for possible downgrade on
the bank's debt ratings, which was opened on May 15. In Moody's
view, given the significant weight of Azerbaijani government-
related entities amongst the creditors, coupled with the threat
of a liquidation of the bank should the proposal be rejected,
there is little prospect for creditor losses to be less than the
agency now assumes.  However, there remains a possibility of
higher losses, should the proposal fail and the authorities
proceed to liquidate the bank.

As reported by the Troubled Company Reporter-Europe on May 29,
2017, Fitch Ratings downgraded International Bank of Azerbaijan's
(IBA) Long-Term Issuer Default Rating (IDR) to 'RD' (Restricted
Default) from 'CCC' and removed it from Rating Watch Evolving
(RWE).  The downgrade of IBA's IDRs to 'RD' follows the
announcement of the bank's restructuring plan, presented on
May 23, 2017.  The proposed restructuring will represent a
distressed debt exchange (DDE) according to Fitch's criteria as
it will impose a material reduction in terms on certain senior,
third-party creditors through a combination of write-downs, tenor
extensions and interest rate reductions.



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C R O A T I A
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AGROKOR DD: Milkos CEO Likens Crisis to Earthquake
--------------------------------------------------
Aleksandar Vasovic and Matt Robinson at Reuters report that
Adin Fakic, chief executive of Bosnia's oldest dairy, likens the
crisis engulfing his biggest client Agrokor to an earthquake.

The epicenter is in Croatia, but the tremors are felt across the
farmlands of neighboring Bosnia and beyond, according to Reuters.

For a decade, Fakic's Milkos has built up business with Croatian
supermarket chain Konzum, which now buys roughly 35% of its
annual output of some 20 million liters of milk, Reuters
discloses.

Only Konzum isn't paying anymore, not since the sprawling
conglomerate that it is part of -- Agrokor -- began to teeter
under the weight of an estimated US$6 billion in debt, Reuters
notes.

Mr. Fakic's experience highlights the ripple effects of the
crisis enveloping Agrokor as it now faces the risk of having to
cut contracts with hundreds of farmers, Reuters states.

It's a crisis that follows years of debt-fuelled expansion as
Agrokor snapped up companies and well-known brands across the
ex-Yugoslavia in countries torn apart by war 25 years ago,
Reuters relays.

Thousands of jobs are now on the line as its dramatic collapse
since the start of the year risks undermining efforts to further
integrate the small economies of the region, Reuters says.

The Croatian government is scrambling to avert bankruptcy at the
once family-run Agrokor, which employs 60,000 people across the
region, Reuters discloses.

According to Reuters, thousands more jobs are on the line among
suppliers.

"If we accumulate a surplus of goods, we'll have to cancel our
contracts with farmers, about 300 of them in the worst-case
scenario," Mr. Fakic told Reuters.  "That would mean thousands of
job losses across the country."

"Bosnia-Herzegovina is a small country and every irregular move
on the market, which we could describe as a mild earthquake, has
a strong impact," Reuters quotes Mr. Fakic as saying.  "The food
industry is particularly sensitive."

The crisis at Agrokor -- the biggest privately-owned company in
the region with interests ranging from sausages to ice cream, and
construction to tourism -- has sent shockwaves across the region,
Reuters recounts.  Roughly half of the company's workforce is
employed outside Croatia in fellow ex-Yugoslav republics
Slovenia, Serbia, Bosnia and Montenegro, Reuters notes.

Serbia estimates that some 700 companies are linked to Agrokor
either directly or via its suppliers, and that Serbian suppliers
are owed some EUR130 million, according to Reuters.  Agrokor's
debt to suppliers in Slovenia is estimated at EUR40 million,
Reuters states.

In Croatia, some 150,000 people are believed to be employed by
Agrokor's suppliers, Reuters discloses.  Faced with such a
seismic threat to the country's fragile economy, the government
intervened in April to take control of Agrokor from its founder,
Ivica Todoric, with the aim of restructuring it over the next 12
months, Reuters relays.

Ante Ramljak, the crisis manager appointed by the government to
secure Agrokor's immediate liquidity and start the process of
restructuring, said his own "very conservative estimate" was that
30 percent of the 180,000 jobs dependent on Agrokor in Croatia --
30,000 direct, 150,000 indirect -- would have disappeared
immediately had the company simply gone bankrupt, Reuters
relates.

Restructuring will entail the quick sale of any number of
Agrokor's dozens of companies, bringing with it possible
downsizing and job losses,Reuters notes.  Many suppliers, too,
fear they will never recoup the money Agrokor owes them, once the
major creditors take their share, Reuters says.

Creditors had until June 9 to submit claims, although it make be
weeks before the true scale of Agrokor's liabilities is clear,
according to Reuters.

Zagreb-based Agrokor is the biggest food producer and retailer in
the Balkans, employing almost 60,000 people across the region
with annual revenue of some HRK50 billion (US$7 billion).

                            *   *   *

The Troubled Company Reporter-Europe reported on June 7, 2017,
that Moody's Investors Service downgraded Croatian retailer and
food manufacturer Agrokor D.D.'s corporate family rating (CFR) to
Ca from Caa2 and the probability of default rating (PDR) to D-PD
from Ca-PD. The outlook on the company's ratings remains
negative.  Moody's also downgraded the senior unsecured rating
assigned to the notes issued by Agrokor due in 2019 and 2020 to C
from Caa2.  The rating actions reflect Agrokor's decision not to
pay the coupon scheduled on May 1, 2017 on its EUR300 million
notes due May 2019 at the end of the 30 day grace period. It also
factors in Moody's understanding that the company is not paying
interest on any of the debt in place prior to Agrokor's decision
in April 2017 to file for restructuring under Croatia's law for
the Extraordinary Administration for Companies with Systemic
Importance.

The TCR-Europe on April 17, 2017, reported that Moody's Investors
Service downgraded Agrokor D.D.'s corporate family rating (CFR)
to Caa2 from Caa1 and its probability of default rating (PDR) to
Ca-PD from Caa1-PD. "Our decision to downgrade Agrokor's rating
reflects its filing for restructuring under Croatian law, which
in Moody's views makes a default highly likely," Vincent Gusdorf,
a Vice President -- Senior Analyst at Moody's, said. "It also
takes into account uncertainties around the restructuring
process, as creditors' ability to get their money back hinges on
numerous factors that will become apparent over time."


AWT INTERNATIONAL: Enters Pre-Bankruptcy Proceedings
----------------------------------------------------
SeeNews reports that Croatian fast moving consumer goods
distributor AWT International has entered pre-bankruptcy
proceedings after failing to recover debt owed to the company by
the country's ailing food-to-retail concern Agorkor.

AWT, one of Agrokor's largest suppliers, had its accounts blocked
in March after it found itself unable to collect due payments
from the concern, which led to big problems for the company,
SeeNews relays, citing news portal Index.hr.

According to SeeNews, Index.hr, citing information from the
company, reported "AWT was unable to settle due recourse
liabilities to financial institutions on the basis of unpaid
bills of exchange by its principal debtor, Konzum [Agorkor's
retailer]."

In April, Agrokor froze the payment of obligations under bills of
exchange, SeeNews recounts.



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D E N M A R K
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OSTERBRO PRIVATSKOLE: Shuts Down After Declaring Bankruptcy
-----------------------------------------------------------
Daily Sabah reports that Osterbro Privatskole, a school linked to
the Gulenist Terror Group (FETO) in Denmark, was shut down after
declaring bankruptcy, citing an insufficient number of students,
in the fourth case of bankruptcy-related FETO school closings
since 2016.

Daily Sabah, citing a Berlingske daily news report published on
June 16, relates that Osterbro Privatskole in Copenhagen, closed
down since it could not handle the economic difficulties resulted
from the lack of students.

The school had 97 students despite having at least 130 students
in the beginning of the year, causing economic distress for the
school, Daily Sabah discloses.

"Following the July 15 coup attempt, since Turkish families
started to take their children out of the schools which have lost
one out of every five students," Daily Sabah relates.


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F R A N C E
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DELACHAUX SA: S&P Revises Outlook to Stable & Affirms 'B+' CCR
--------------------------------------------------------------
S&P Global Ratings revised its outlook on France-based rail-
fastening systems manufacturer Delachaux S.A. to stable from
negative.

At the same time, S&P affirmed its 'B+' long-term corporate
credit rating on Delachaux, and S&P's 'B+' issue ratings on the
company's senior secured term loan and revolving credit facility
(RCF).  The recovery rating remains '4', indicating S&P's
expectations of average recovery (30%-50%; rounded estimate 40%).

The outlook revision follows the robust increase in the group's
order intake, chiefly in the rail segment, during the first
quarter of this year, which prompted S&P to revise its forecasts
for 2017-2018.

Last year was marked by adverse conditions in the North American
rail transport market, with key operators curbing their capital
expenditures (capex) by 15%-20%; and sluggish mining markets that
led to postponements of several projects in such countries as
Brazil, South Africa, and Australia.  Against this backdrop,
Delachaux generated free operating cash flow (FOCF) of about
EUR42 million, despite an 8% fall in top-line revenue to
EUR839 million and a decline in the adjusted EBITDA margin by
about 90 basis points to just above 14%.  S&P believes such FOCF
potential, even in a softer market, is a strength because it has
allowed the company to repay EUR51 million of debt (of which only
EUR3 million represented contractual debt).

Delachaux's first-quarter results also pointed to some
stabilization in its core end markets, and S&P now anticipates
that it will deliver better results in 2017 and 2018 than S&P
previously expected.  Given S&P's assumption of the global
economic recovery gaining momentum, with stabilizing commodity
prices, it expects Delachaux will operate in a slightly more
supportive environment during the next 12 months.  Nevertheless,
S&P is mindful that uncertainty about the U.S. government's
policy on coal and capex plans for the Class 1 North American
railroad operators could cloud our forecasts.  That said,
Delachaux's order intake has strengthened by 9% in the rail
segment over the past 12 months (up 35% during the first
quarter).

Under these new circumstances, S&P anticipates a slight increase
in revenue to about EUR850 million.  S&P considers that the
restructuring started in 2016 will secure the company's long-term
profitability.  Despite the resulting one-time erosion in the
group's adjusted EBITDA margin, S&P thinks the margin will remain
in the 14%-15% range in 2017-2018.  At year-end 2016, Delachaux's
capital structure included about EUR218 million of equity
certificates that accrue at 8% annually.  S&P regards these
instruments as debt and anticipate that the company's total debt
will increase to just above EUR1 billion by the end of this year,
given S&P's adjustments for pension and factoring obligations
that total EUR74 million; S&P excludes cash and cash equivalents
that it forecasts at more than EUR150 million from S&P's
calculations, because of Delachaux's private-equity ownership.
As a result, S&P projects that Delachaux's credit ratios will be
firmly in S&P's highly leveraged category, with limited funds
from operations (FFO) to debt and debt to EBITDA at 8x-9x.

Delachaux's business risk profile remains supported by the
group's dominant position in its niche markets of rail-fastening
and welding systems, which accounted for broadly 60% of its
revenues at year-end 2016.  Previously, S&P regarded visibility
and stability of cash flows from the rail division as a key
support, due to the high share of maintenance- and repair-related
revenues. Reputation risk is a further constraint, since safety
is a critical feature of rail products.  However, the group does
not currently face any significant claims related to this and has
a strong safety track record.

S&P continues to think that Delachaux's business risk profile is
better than that of other European capital goods companies in the
same category.  This is due to the group's leading global shares
in niche markets featuring high barriers to entry and an
inherently stable revenue base.  Moreover, Delachaux has the
ability to sustain EBITDA margins of 13%-15% and shows
deleveraging potential, as demonstrated by FOCF of EUR50 million
on average that contributed to EUR50 million of debt amortization
in 2016.  Further supporting the ratings is Delachaux's strong
cash interest coverage, which has consistently exceeded 3x.

The stable outlook reflects S&P's expectations that Delachaux
should be in a position to benefit from modest recovery in the
North American rail market while securing its positions in the
Conductic and metal operations.  Under S&P's base-case scenario,
it anticipates that decent profitability (an EBITDA margin of
about 14% by year-end 2017) will translate into FOCF of about
EUR40 million. Given the shareholder loan that accrues interest
at 8% per year, S&P forecasts FFO to debt of less than 10% and
debt to EBITDA of 8x-9x.

S&P could lower the ratings if Delachaux's EBITDA margin declined
to about 12%, FOCF dropped below EUR20 million, and cash interest
coverage weakened to less than 2.5x.  Significant debt-funded
acquisitions and increased dividends or other shareholder
distribution that put pressure on FOCF generation could also
trigger a downgrade.

Given Delachaux's current ownership structure, large debt, and
smaller size than other capital goods players, S&P considers
ratings upside to be remote.  S&P could envisage some positive
rating momentum if Delachaux's capital structure were redefined,
such that debt to EBITDA moved sustainably below 5x while FFO to
debt was firmly above 12%.


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G E R M A N Y
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FTE VERWALTUNGS: Moody's Hikes Corporate Family Rating to B1
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of Germany-
domiciled automotive supplier - FTE Verwaltungs GmbH (FTE) - by
one notch. Specifically, the rating agency has upgraded the
corporate family rating (CFR) of FTE to B1 from B2 and the
probability of default rating (PDR) to B1-PD from B2-PD.
Concurrently, Moody's has upgraded the rating assigned to the
company's senior secured notes to B1 from B2 and the rating
assigned to the super senior revolving credit facility (RCF) to
Ba1 from Ba2. The ratings are also on review for further upgrade.

RATINGS RATIONALE

"The upgrade reflects the strengthening in FTE's stand-alone
credit metrics driven by consistent revenue and profitability
growth in recent quarters," said Scott Phillips, a Moody's Vice
President -- Senior Analyst and Lead Analyst for FTE. "The
increasing certainty of an acquisition by Valeo underpins
expectations of a further strengthening in FTE's credit profile,
hence the review for further upgrade," added Mr. Phillips.

At the end of Q1-2017, Moody's estimates that FTE's financial
leverage was around 4x (debt / EBITDA, as adjusted), somewhat
lower than the agency's expectations for the previous B2 rating
(of between 5x and 6x). While in 2014, leverage stood at 6.5x
(reflecting an increase due to an acquisition and a dividend
recapitalization), earnings have grown both sustainably and
consistently since then. The rise in earnings reflects both the
recovery in global automotive production since the financial
crisis but also FTE's success in launching new products for dual
clutch transmission. Earnings have also translated into positive
free cash flow (FCF) generation with FCF / debt currently at 3-4%
(as of Q1-2017). Moody's anticipates the group will remain FCF
positive for at least the next 12-18 months.

The B1 CFR reflects as positives the company's: (1) leading
position as a provider of hydraulic clutch and brake components
for the global light passenger vehicle industry; (2) high market
share for manual clutch components; (3) potential to expand its
dual clutch offering in a scenario of more vehicles sold with
hybrid and electrified powertrains; (4) broad customer base and
long-term relationships with a variety of global original
equipment manufacturers (OEMs); (5) above average profitability
versus the sector with EBITA margins of 11% in 2016; and (6) the
impending takeover by Valeo S.A. (Baa2, stable) which has a
materially stronger credit profile.

Nevertheless, the rating reflects as negatives the company's: (1)
small size -- revenue in 2016 amounted to only EUR550 million;
(2) exposure to the cyclicality of the automotive industry which
faces a number of headwinds in 2017; (3) limited track record
with the success of its dual clutch product offering and
dependency on one OEM customer; (4) and weakening competitive
position in brake components and systems.

RATIONALE FOR THE REVIEW FOR UPGRADE

At the end of 2016, Valeo announced that it had withdrawn its
merger notification with FTE to address concerns of the European
Commission competition authorities but would subsequently
renotify. While this process has slowed down the acquisition
timetable versus Moody's original expectations, the rating agency
believes that completion is highly likely and assumes as a base
case completion of the deal before the end of 2017. Reflecting
this, Moody's believes that FTE's credit profile will be
significantly enhanced following the acquisition by Valeo which
underpins placing the group's ratings under review for possible
upgrade.

WHAT COULD CHANGE THE RATING UP/DOWN

FTE's ratings could be upgraded if: (1) the acquisition by Valeo
completes as expected; or (2) leverage remains sustainably below
4x (debt / EBITDA); and (3) FCF remains positive. Conversely,
FTE's ratings could be downgraded if: (1) leverage were to
increase above 5x; or (2) the group generates negative FCF.

The principal methodology used in these ratings was Global
Automotive Supplier Industry published in June 2016.

Headquartered in Ebern, Germany, FTE is a global Tier 1
automotive supplier specialized in the niche of advanced clutch
actuation components and brake systems with aggregated revenues
of EUR550 million in 2016. The Company's products are primarily
sold to original equipment manufacturers (OEMs). In addition, the
Company also sells its products to both the original equipment
supplier aftermarket and the independent aftermarket. FTE has a
broad customer base and in 2016, Europe represented around 68% of
group sales, the Americas 13% and Asia 18%.


NEOVASC INC: Will Appeal German Court's Ruling on Tiara Rights
--------------------------------------------------------------
Neovasc Inc. reported that the District Court in Munich, Germany
has partially found in favour of Edwards Lifesciences Corporation
(formerly CardiAQ Valve Technologies Inc.), in its case against
Neovasc.  In this case, CardiAQ had claimed ownership rights to
one of Neovasc's European patent applications for its Tiara
mitral valve replacement technology.  The German court found
CardiAQ had contributed in part to the invention of the Tiara and
awarded to CardiAQ co-entitlement rights to the disputed Tiara
European patent application.  There are no monetary awards
associated with this matter.  Neovasc intends to appeal this
decision.

In a related matter, Neovasc is currently appealing the 2016
decision from the U.S District Court for the District of
Massachusetts which among other things granted co-inventorship
rights to CardiAQ on one of Neovasc's granted U.S. patent
applications.  This appeal is now before the United States Court
of Appeals for the Federal Circuit in Washington D.C.  An
expedited appeal schedule has been set with all the briefings
from both parties now submitted.  The Company expects oral
argument on its appeal in August 2017 and a ruling is expected to
follow, prior to the end of 2017.

Pending the outcome of the U.S. Court of Appeals, Neovasc, in
consultation with its European and North American legal advisors,
will vigorously defend its position that the case in Germany is
without merit and will explore all options regarding the
appellate process.

                      About Neovasc Inc.

Neovasc Inc. (CVE:NVC) -- http://www.neovasc.com/-- is a
Canadian specialty medical device company that develops,
manufactures and markets products for the rapidly growing
cardiovascular marketplace.  Its products in development include
the Tiara, for the transcatheter treatment of mitral valve
disease and the Neovasc Reducer for the treatment of refractory
angina.  The Company also sells a line of advanced biological
tissue products that are used as key components in third-party
medical products including transcatheter heart valves.

Neovasc reported a net loss of US$86.49 million for the year
ended Dec. 31, 2016, following a net loss of US$26.73 million for
the year ended Dec. 31, 2015.  As of Dec. 31, 2016, Neovasc had
US$98.81 million in total assets, US$114.27 million in total
liabilities and a US$15.46 million otal deficit.

Grant Thornton LLP, in Vancouver, Canada, issued a "going
concern" qualification on the consolidated financial statements
for the year ended Dec. 31, 2016, emphazing that the Company was
named in a litigation and that the court awarded $112 million in
damages against it.  This condition, along with other matters,
indicate the existence of a material uncertainty that may cast
significant doubt about the Company's ability to continue as a
going concern, the auditors said.


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I R E L A N D
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BLACKROCK EUROPEAN III: Moody's Assigns B2 Rating to Cl. F Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to notes issued by BlackRock
European CLO III Designated Activity Company:

-- EUR233,000,000 Class A Senior Secured Floating Rate Notes due
    2030, Assigned Aaa (sf)

-- EUR52,000,000 Class B Senior Secured Floating Rate Notes due
    2030, Assigned Aa2 (sf)

-- EUR32,500,000 Class C Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned A2 (sf)

-- EUR21,000,000 Class D Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned Baa2 (sf)

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

-- EUR11,500,000 Class F Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned B2 (sf)

RATINGS RATIONALE

Moody's definitive ratings of the rated notes address the
expected loss posed to noteholders by 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, BlackRock
Investment Management (U.K.) Limited ("BlackRock"), has
sufficient experience and operational capacity and is capable of
managing this CLO.

BlackRock CLO III is a managed cash flow CLO. At least 90% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior loans, second lien loans, high yield bonds and mezzanine
loans. The portfolio is expected to be approximately 90% ramped
up as of the closing date and to be comprised predominantly of
corporate loans to obligors domiciled in Western Europe. The
remainder of the portfolio will be acquired during the six month
ramp-up period in compliance with the portfolio guidelines.

BlackRock 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 EUR44,900,000 of subordinated notes. Moody's will
not assign rating to this class of notes.

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. BlackRock's investment
decisions and management of the transaction will also affect the
notes' performance.

Loss and Cash Flow Analysis:

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

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

Par Amount: EUR400,000,000

Diversity Score: 36

Weighted Average Rating Factor (WARF): 2800

Weighted Average Spread (WAS): 3.9%

Weighted Average Coupon (WAC): 4.8%

Weighted Average Recovery Rate (WARR): 43.50%

Weighted Average Life (WAL): 8.0 years

As part of the base case, Moody's has addressed the potential
exposure to obligors domiciled in countries with local currency
country risk ceiling (LCC) of A1 or below. As per the portfolio
constraints, exposures to countries with local currency country
risk ceiling rating of between A1 to A3 cannot exceed 10%.
Following the effective date, and given these portfolio
constraints and the current sovereign ratings of eligible
countries, the total exposure to countries with a LCC of A1 or
below may not exceed 10% of the total portfolio. The remainder of
the pool will be domiciled in countries which currently have a
LCC of Aa3 and above. Given this portfolio composition, the model
was run without the need to apply portfolio haircuts as further
described in the methodology.

Stress Scenarios:

Together with the set of modelling assumptions above, Moody's
conducted an 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 Senior Secured Floating Rate Notes: 0

Class B Senior Secured Floating Rate Notes: -1

Class C Senior Secured Deferrable Floating Rate Notes: -2

Class D Senior Secured Deferrable Floating Rate Notes: -2

Class E Senior Secured Deferrable Floating Rate Notes: 0

Class F Senior Secured Deferrable Floating Rate Notes: 0

Percentage Change in WARF: WARF +30% (to 3608 from 2775)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: 0

Class B Senior Secured Floating Rate Notes: -2

Class C Senior Secured Deferrable Floating Rate Notes: -3

Class D Senior Secured Deferrable Floating Rate Notes: -3

Class E Senior Secured Deferrable Floating Rate Notes: -1

Class F Senior Secured Deferrable Floating Rate Notes: -1

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.



===================
K A Z A K H S T A N
===================


OIL INSURANCE: S&P Raises Counterparty Credit Rating to 'B+'
------------------------------------------------------------
S&P Global Ratings said that it had raised its counterparty
credit and insurer financial strength ratings on Oil Insurance
Co. JSC (NSK) to 'B+' from 'B'.  The outlook is stable.

S&P also raised the Kazakhstan national scale rating to 'kzBBB-'
from 'kzBB+'.

The upgrade reflects NSK's better operating performance than
expected in 2016, as well as somewhat moderated divided payments.
In combination, this leads to a lower adequate assessment of
capital and earnings versus less than adequate before.

S&P notes that the combined (loss and expense) ratio in 2016 was
close to 91%, which is significantly better than S&P's
expectation of 110%-115%.  The company managed to overcome the
fallout from the tenge devaluation in 2015.  At the same time,
shareholders somewhat moderated dividend requirements.  NSK will
pay Kazakhstani tenge (KZT) 600 million (about EUR1.7 million) as
dividends for 2016 (about 50% from profits).

Despite notable improvements in the risk position, such as
decreased concentration of the investment portfolio, lower
exposure to the banking sector, and more investment in investment
grade government bonds, S&P notes material geographic
concentration of property/casualty (P/C) risks in Almaty, which
is exposed to earthquake risks. The foreign currency position
also remains high and long in U.S. dollars.

NSK is a small Kazakhstan-based insurer with a market share of
about 5% by gross premium written as of year-end 2016 (ninth
among Kazakhstan's 25 P/C insurers).  NSK however is particularly
strong in motor third-party liabilitybusiness with a 9.8% share
of the market, second after Nomad Insurance.  NSK's current
shareholder structure was adopted in 2005, when Russian
businessmen and brothers Sergey and Nikolay Sarkisov purchased
equal amounts of 48.60% of a 50%-plus-1 share, and Andrey
Saveliev purchased 1.5% of the 50%-plus-1 share.  The three men
also own shares in the large Russian retail insurer, RESO
Garantia, which is part of the RESO Group.  Tlek Alzhanov, the
head of NSK's board of directors, is the ultimate beneficiary of
the remaining 49.9% of NSK's shares.  S&P adds no notches of
support to the rating; hence, it reflects NSK's stand-alone
credit profile.

The stable outlook reflects S&P's view that NSK will maintain its
capital adequacy at least at a level commensurate with S&P's
lower adequate assessment in the next 12-18 months, while also
maintaining its current competitive position.

S&P could lower its ratings on NSK in the unlikely event that it
is unable to maintain its competitive position at the current
level or if S&P sees that the improvements in capital and earning
are reversing.

Positive rating actions are a remote probability, given the
current level of the rating and considering NSK's relative size,
competitive position, and capitalization.


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


ALTISOURCE SOLUTIONS: Moody's Still Reviewing B3 CFR
-----------------------------------------------------
Moody's Investors Service is continuing its review for downgrade
of Altisource Solutions S.a.r.l.'s B3 Corporate Family Rating and
B3 Senior Secured Bank Credit Facility Rating.

RATING RATIONALE

The review for downgrade reflects Moody's continuing analysis of
Altisource's ability to build out its suite of products and
expand its business not related to Ocwen Financial Corporation
(Caa1, negative), on which it is currently highly reliant.
Moody's said it will review this diversification effort as well
as Altisource's ability to generate sufficient liquidity to repay
its Senior Secured Term Loan (SSTL) due 2020 in the event of a
substantial decline in Ocwen-related revenues.

The rating action continues a review for downgrade Moody's
assigned to ratings of both Altisource and Ocwen on April 21,
2017 following the issuance of cease and desist orders to Ocwen
by the North Carolina Commissioner of Banks and a consortium of
state mortgage regulators seeking to limit Ocwen's business
activities, as well as the Consumer Financial Protection Bureau's
(CFPB) filing suit against Ocwen alleging widespread servicing
errors and violations of federal consumer financial laws.
Restrictions on Ocwen's business activities could further reduce
its servicing portfolio, from which Altisource derives the
majority of its revenues.

However, Ocwen's May 1 announcement that it was working on an
agreement that would clarify and extend its relationship with New
Residential Investment Corp. (B1 stable), for which it is a
subservicing partner, is credit positive for Altisource because
it significantly reduces the likelihood that Ocwen would be
terminated as a servicer of loans for New Residential, which
accounts for nearly half of the loans that Ocwen services.

Although, Altisource's financial position continues to be highly
reliant on its relationship with Ocwen from which Altisource
derives about 75% of its revenues either directly or indirectly,
Altisource has taken modest steps to diversify its businesses and
grow its non-Ocwen related revenues.

Altisource's ratings could be downgraded in the event of a
material reduction in net income or increase in leverage. In
addition, a ratings downgrade could result if the volume of non-
GSE loans that Ocwen services declines significantly.

Given the review for downgrade, it is unlikely that the company's
ratings will be upgraded at this time. Alisource's outlook could
be confirmed if the company continues its credit positive
diversification efforts to reduce its reliance on Ocwen and
demonstrates an ability to generate sufficient liquidity to repay
its SSTL in the event of a substantial decline in Ocwen-related
revenues.

The principal methodology used in these ratings was Finance
Companies published in December 2016.


KLOCKNER PENTAPLAST: Moody's Rates EUR1,580MM Sr. Loan B (P)B3
--------------------------------------------------------------
Moody's Investors Service has assigned a (P)B3 rating to Klockner
Pentaplast of America, Inc.'s new EUR1,580 million senior secured
first lien Term Loan B (split between EUR and USD tranches) with
a maturity of 5 years, and at least EUR150 million revolving
credit facility (RCF) with a maturity of 4.75 years.

Concurrently, Moody's has downgraded to B3 from B2 the corporate
family rating (CFR) and to B3-PD from B2-PD the probability of
default rating (PDR) of Kleopatra Holdings 2 S.C.A. (Klockner),
the parent of plastic film packaging manufacturer Klockner
Pentaplast.

Upon completion of the transaction, Moody's will withdraw the
existing B1 instrument ratings of Klockner Pentaplast GmbH,
Klockner Pentaplast of America, Inc. and KP Germany Erste GmbH,
as well as the Caa1 senior unsecured notes rating of Klockner
Pentaplast of America, Inc.

The outlook on all ratings is stable.

Moody's issues provisional ratings in advance of the final sale
of securities, and these ratings reflect Moody's preliminary
credit opinion regarding the transaction only. Upon a conclusive
review of the final documentation Moody's will endeavour to
assign definitive ratings to the facilities. A definitive rating
may differ from a provisional rating.

RATINGS RATIONALE

The rating action reflects Klockner's announcement that it will
issue a new EUR1.580 billion equivalent Term Loan B and EUR385
million Holdco notes to refinance its existing debt, fund the
acquisition of Linpac Senior Holdings Limited (Linpac, unrated),
a U.K.-based plastic film producer and thermoformer in both rigid
and flexible plastics supplying into the food packaging industry
across Europe, China and Australia, and finance a shareholder
distribution. Both companies are owned by equity sponsor,
Strategic Value Partners (SVP).

Moody's views negatively the intention to fund a shareholder
distribution to SVP in the region of EUR425 million. The
shareholder payout is further evidence of an aggressive financial
policy, which is not in line with the rating agency's expectation
that Klockner will gradually reduce its leverage. SVP acquired a
majority equity stake in Klockner in 2012 for c.EUR200 million as
part of a debt restructuring process. The company issued
additional debt to fund shareholder distributions in May 2013 and
April 2015 totaling EUR525 million.

The Holdco notes issuance will not affect the company's Moody's-
adjusted debt/EBITDA metrics because Kleopatra Holdings 1.
S.C.A., the issuer of the Holdco notes is located outside of the
restricted borrowing group. The notes will be contractually and
structurally subordinated to the Term Loan B and RCF and will
have a later maturity date. However, subject to an available cash
test and a liquidity test, the company intends to pay cash
interest on the notes which will negatively impact free cash flow
and liquidity.

The transaction will increase Moody's adjusted Debt/EBITDA by
around 0.3x to 7.3x including factoring, (from 6.4x currently to
6.6x excluding factoring), whereas Moody's previous expectation
was that adjusted gross leverage would gradually reduce. The
increase in leverage and weakening in Klockner's credit metrics
follow on from a worse than expected trading performance in the
first half of FY 2017.

The downgrade to B3 reflects the company's very high financial
leverage, the initial margin dilution owing to Linpac's exposure
solely to the slower growth food and consumer packaging end
markets, which will increase the combined company's exposure to
around 50% from 37% and deterioration in free cash flow/debt to
less than 1%.

The acquisition of Linpac is positive for Klockner's business
profile as will add diversification through an extended
geographic reach and breadth of product offering as well as
broadening the combined customer base. With complementary
products such as plastic trays and film lids the company will be
able to offer some customers in the food sector a "one-stop-shop"
for packaging solutions. The larger business will also benefit
from a more balanced mix of raw material inputs and some expected
procurement gains. The acquisition will create a larger group
with around EUR1.9 billion of pro forma sales and with it
increased benefits of scale.

Moody's expects adjusted leverage, to reduce driven mainly by
increasing EBITDA from synergies generated by the acquisition of
Linpac which the company expects to total EUR30 million per
annum. The cost reductions will come from footprint optimization,
overhead reductions and procurement savings, which will support
margin improvements. In addition, the company expects to expand
sales of Linpac's products into the U.S. through Klockner's
existing infrastructure and grow sales to Eastern Europe through
Linpac's stronger customer base. Growth is also expected to come
from positive trading performance driven by increasing volumes
from Klockner's recently opened additional PET production line in
Thailand and launch of several new medical device and
pharmaceutical packaging grades for the Asian market.

LIQUIDITY

Moody's views Klockner's liquidity as adequate being supported by
approximately EUR129 million in cash reserves retained on balance
sheet after the transaction in addition to at least EUR150
million of undrawn revolving credit facility (RCF) due in 2022.
Moody's expects liquidity to be supported by improving cash flow
generation which will adequately cover both maintenance and
investment capex requirements. There will be no financial
covenants on the Term Loan B and a senior secured leverage ratio
test on the RCF when it is drawn more than 40%.

RATIONALE FOR THE STABLE OUTLOOK

The outlook on all ratings is stable. It reflects Moody's
expectation that the solid market positions and high share of
sales towards non-discretionary pharmaceutical and food end
markets will continue to support the group's operating
performance. It also incorporates Moody's assumption that the
company will not embark on any further large debt-financed
acquisitions or shareholder distributions prior to deleveraging
the business over the next 12-18 months.

WHAT COULD CHANGE THE RATING UP/DOWN

The rating could be upgraded if Klockner manages to reduce
adjusted leverage to sustainably below 6.5x, combined with free
cash flow/debt in the mid single-digits.

The rating may come under downward pressure if trading
performance deteriorates, or Klockner fails to improve its credit
metrics or due to weakening liquidity.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Packaging
Manufacturers: Metal, Glass, and Plastic Containers published in
September 2015.


LSF10 XL INVESTMENT: S&P Assigns 'B+' CCR, Outlook Stable
---------------------------------------------------------
S&P Global Ratings said it has assigned its 'B+' long-term
corporate credit rating to LSF10 XL Investments S.a r.l. and
LSF10 XL Bidco SCA, the issuer of Xella group's new first-lien
debt.  The outlook is stable.

S&P is also assigning its 'B+' issue rating to the group's new
facilities, issued by LSF10 XL Bidco, including a new EUR175
million revolving credit facility (RCF), and a new EUR1.45
billion term loan B.  The recovery rating on these instruments is
'3', reflecting recovery of 50%-70% (rounded estimate: 55%) in an
event of default.

At the same time, S&P is affirming and subsequently withdrawing
its 'B+' long-term corporate credit rating on Xella International
S.A., the parent company of the Xella group.

Finally, S&P is affirming and subsequently withdrawing its issue
and recovery ratings on the group's old debt instruments,
including the EUR235 million term loan G issued by Xella
International and EUR325 million floating-rate notes issued by
100% owned Xefin Lux S.C.A.

Xella group is one of Europe's largest autoclaved aerated
concrete producers by capacity and the largest producer of
calcium silicate units by production facility.  The company's
diversification across a variety of product lines and, to a
lesser extent, end markets, is a key factor supporting its credit
quality.  S&P also thinks that regulatory initiatives could
support growth in the medium term and view the low volatility in
the company's profitability over the past seven years as a key
rating factor.

That said, the group operates in a highly cyclical industry owing
to its high exposure to new construction markets that can exhibit
volatile demand.  The Xella group has sizable exposure to energy
prices and commodity price fluctuations, which weigh on the
company's profitability.  However, the group's branding and
technology, which distinguish its products from those of its more
commoditized peers, give it a relatively strong degree of pricing
power.

The success of the group's restructuring program (X-Celerate) is
resulting in higher profitability and a stronger cost position.
Margins should rise to over 21% in fiscal 2017 (ending Dec. 31,
2017) or possibly higher depending on the final synergies and
efficiencies.

In S&P's view, Xella group's relatively weak geographic diversity
compared with some of its larger peers constrains the rating.
The group has significant concentration in Central Europe, with
very limited revenues derived outside European markets.

S&P's business risk assessment also incorporates its view of the
global building materials industry's intermediate risk and the
low country risk in the markets in which Xella operates.

Xella group is now owned by Lone Star, a financial sponsor, and
has a tolerance for high leverage and potential aggressive
shareholder returns.  These factors are reflected in S&P's 'FS-6'
financial policy modifier.

S&P assess the group's management and governance as fair,
reflecting its experienced management team and clear organic
growth plans.

S&P's base case for fiscal 2017 assumes:

   -- Revenue growth of 1% to 2% to more than EUR1.3 billion;
   -- A continued, gradual improvement in the group's EBITDA
      margin to 21%-22%;
   -- Capital expenditure (capex) of up to EUR100 million; and
   -- No major acquisitions or divestitures.

Based on these assumptions, and with supportive market
conditions, S&P arrives at these credit measures:

   -- S&P Global Ratings-adjusted debt to EBITDA of about 5.7x
      (6.9x including shareholder loans);

   -- Adjusted funds from operations (FFO) to debt of about 7%
      (4%-5% including shareholder loans); and

   -- Adjusted cash interest coverage of more than 3x over the
      12-month rating horizon.

The stable outlook reflects S&P's view of the group's improving
and historically stable profitability, which will continue to
support the group's cash flows.  The outlook also reflects S&P's
forecast that the Xella group will maintain adjusted FFO interest
coverage of above 3x over the next 12 months.

S&P could consider a negative rating action if increased
competition and a sustained decline in construction in Xella
group's key markets constrain its cash flow and result in
sustained negative free operating cash flows.  S&P could consider
lowering the ratings if it sees a deterioration in the group's
credit metrics, including FFO cash interest coverage falling
below 3x.  This could result from depressed end markets and
competitive pricing or the incurrence of additional cash-interest
paying debt to replace existing payment-in-kind interest accrued
under the preferred equity certificates.  Additionally, S&P could
consider a downgrade if the group's liquidity deteriorates.

S&P believes that the likelihood of an upgrade is limited, at
this stage, because of Xella group's tolerance for high leverage.
It is also constrained by the low prospect that the group will
strengthen and sustain its credit metrics to a level commensurate
with an aggressive financial risk profile within our rating
horizon.  S&P notes that private equity sponsor ownership brings
an element of uncertainty regarding the potential for future
releveraging, shareholder returns, and changes to the group's
acquisition or disposal strategy.


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


EURO GALAXY II: Moody's Raises Rating on Class E Notes to Ba2
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Euro Galaxy II CLO BV:

-- EUR27.5M Class C Deferrable Interest Floating Rate Notes due
    2022, Upgraded to Aaa (sf); previously on Nov 23, 2016
    Upgraded to Aa3 (sf)

-- EUR20M Class D Deferrable Interest Floating Rate Notes due
    2022, Upgraded to A2 (sf); previously on Nov 23, 2016
    Affirmed Ba1 (sf)

-- EUR13.5M (Current outstanding balance of EUR9.6M) Class E
    Deferrable Interest Floating Rate Notes due 2022, Upgraded to
    Ba2 (sf); previously on Nov 23, 2016 Affirmed Ba3 (sf)

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

-- EUR36M (Current outstanding balance of EUR20.4M) Class B
    Senior Floating Rate Notes due 2022, Affirmed Aaa (sf);
    previously on Nov 23, 2016 Affirmed Aaa (sf)

Euro Galaxy II CLO BV, issued in July 2007, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured European loans. The portfolio is managed by
PineBridge Investments. The transaction's reinvestment period
ended in October 2014.

RATINGS RATIONALE

The rating actions on the notes are primarily a result of the
deleveraging of the Classes A and B Notes following amortisation
of the underlying portfolio since the last rating action in
November 2016.

The Class A Notes have been fully repaid (EUR81.9 million) and
Class B Notes have paid down by approximately EUR15.6 million
(representing in total 23.8% of the total original balance) since
the last rating action in November 2016. As a result of the
deleveraging, over-collateralisation (OC) has increased.
According to the trustee report dated May 2017 the Class A/B,
Class C, Class D and Class E OC ratios are reported at 455.61%,
194.04%, 136.89% and 119.97%, compared to October 2016 report,
the OC ratios were reported at 138.54%, 120.51%, 110.08% and
105.71%.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR91 million,
defaulted par of EUR2.3 million, a weighted average default
probability of 16.88% (consistent with a WARF of 2661 and a
weighted average life of 3.7 years), a weighted average recovery
rate upon default of 42.45% for a Aaa liability target rating, a
diversity score of 18 and a weighted average spread of 3.52%.

Moody's notes that the May 2017 trustee report was published at
the time it was completing its analysis of the April 2017 data.
Key portfolio metrics such as WARF, diversity scores and OC
ratios have not materially changed between these dates.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on
future defaults is based primarily on the seniority of the assets
in the collateral pool. Moody's generally applies recovery rates
for CLO securities as published in "Moody's Approach to Rating SF
CDOs" published in June 2017. In some cases, alternative recovery
assumptions may be considered based on the specifics of the
analysis of the CLO transaction. In each case, historical and
market performance and a collateral manager's latitude to trade
collateral are also relevant factors. Moody's incorporates these
default and recovery characteristics of the collateral pool into
its cash flow model analysis, subjecting them to stresses as a
function of the target rating of each CLO liability it is
analysing.

Methodology Underlying the Rating Action:

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

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

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

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

Additional uncertainty about performance is due to the following:

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

* Around 5.35% of the collateral pool consists of debt
obligations whose credit quality Moody's has assessed by using
credit estimates. As part of its base case, Moody's has stressed
large concentrations of single obligors bearing a credit estimate
as described in "Updated Approach to the Usage of Credit
Estimates in Rated Transactions," published in October 2009 and
available at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBC_120461.

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

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


WOOD STREET III: Moody's Raises Rating on Class D Notes from Ba2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Wood Street CLO III B.V.:

-- EUR44.0M Class C Senior Secured Deferrable Floating Rate
    Notes due 2022, Upgraded to Aaa (sf); previously on Nov 2,
    2016 Upgraded to Aa3 (sf)

-- EUR24.75M Class D Senior Secured Deferrable Floating Rate
    Notes due 2022, Upgraded to A1 (sf); previously on Nov 2,
    2016 Affirmed Ba2 (sf)

-- EUR16.5M (current outstanding balance of EUR7.38M) Class E
    Senior Secured Deferrable Floating Rate Notes due 2022,
    Upgraded to Baa3 (sf); previously on Nov 2, 2016 Affirmed Ba3
    sf)

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

-- EUR49.5M (current outstanding balance of EUR25.56M) Class B
    Senior Secured Floating Rate Notes due 2022, Affirmed Aaa
    (sf); previously on Nov 2, 2016 Affirmed Aaa (sf)

Wood Street CLO III B.V., issued in June 2006, is a
Collateralised Loan Obligation ("CLO") backed by a portfolio of
mostly high yield European loans, managed by Alcentra Limited.
This transaction's reinvestment period ended in August 2012.

RATINGS RATIONALE

The upgrades of Class C, Class D and Class E Notes are primarily
the result of deleveraging since the last rating action in
November 2016. On the February 2017 payment date, the outstanding
balances of EUR20.2M of Class A-1 , EUR27.5M of Class A-2A and
EUR4.9M of Class A-2B Notes were fully repaid and the remaining
balance of principal proceeds were used to begin amortization of
the Class B Notes. The Class B Notes have been reduced to 52% of
their closing amount. As a result of this deleveraging,
overcollateralization ("OC") levels have increased across the
capital structure. As of the May 2017 trustee report, Class B,
Class C, Class D and Class E OC ratios are reported at 476.7%,
175.2%, 129.2% and 119.8% compared to October 2016 levels of
189.1%, 132.2%, 113.1% and 108.4% respectively.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR117.79
million, defaulted par of EUR19.41 million, a weighted average
default probability of 23% over a 3.66 years weighted average
life (consistent with a WARF of 3489), a weighted average
recovery rate upon default of 43.87% for a Aaa liability target
rating, a diversity score of 10 and a weighted average spread of
4.12%.

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

Methodology Underlying the Rating Action:

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

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

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

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

Additional uncertainty about performance is due to the following:

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

* Around 21% of the collateral pool consists of debt obligations
whose credit quality Moody's has assessed by using credit
estimates. As part of its base case, Moody's has stressed large
concentrations of single obligors bearing a credit estimate as
described in "Updated Approach to the Usage of Credit Estimates
in Rated Transactions" published in October 2009 and available at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBC_120461.

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

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

* Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors with Caa or low non-investment-grade ratings, especially
when they default. Because of the deal's lack of granularity,
Moody's substituted its typical Binomial Expansion Technique
analysis with a simulated default distribution using Moody's
CDROMTM software and an individual scenario analysis.

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


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


PORTUGAL: Fitch Revises Outlook to Positive, Affirms BB+ IDR
------------------------------------------------------------
Fitch Ratings has revised the Outlook on Portugal's Long-Term
Foreign- and Local-Currency Issuer Default Ratings (IDR) to
Positive from Stable and affirmed the IDRs at 'BB+'. The issue
ratings on Portugal's senior unsecured foreign and local currency
bonds have also been affirmed at 'BB+'. The Country Ceiling has
been affirmed at 'A+' and the Short-Term Foreign and Local-
Currency IDRs at 'B'. The ratings on Portugal's senior unsecured
short-term issues have also been affirmed at 'B'.

KEY RATING DRIVERS

The revision of the Outlook to Positive reflects the following
key rating drivers and their relative weights:

HIGH

The fiscal deficit was markedly reduced in 2016 to 2.0% of GDP
from 4.4% in 2015, prompting the end of the Excessive Deficit
Procedure (EDP) launched in 2009. The tightening was supported by
contained current expenditure and stronger GDP growth from mid-
2016. Fitch expects the same drivers will lead to further deficit
reduction, to 1.4% by 2018. Weaker GDP growth and potential cost
arising from capital injections into the banks are the two main
risks to the deficit forecast.

Fitch expects the government to continue to deliver tighter
fiscal policy while maintaining stability within the
parliamentary majority. However, the structure of the majority,
which unites the socialist party and two far-left parties,
exposes the government to potential political pressure to relax
fiscal policy, especially after the exit from the EDP.

Fitch expects the narrowing deficit and the recovery in nominal
GDP growth to support a sustained downward trend in the debt to
GDP ratio, to 126% of GDP by 2018 and 111% by 2026 from 130% of
GDP in 2016. Fitch excludes from its debt dynamics any potential
impact from interventions in the banking sector. In order to
smooth the debt repayment profile, the authorities have bought
back short-term debt, issued at longer term, and repaid part of
the expensive IMF loan. The cost of servicing debt has declined
as a result of the strategy.

MEDIUM

Portugal has recorded current account surpluses since 2013,
reflecting stronger cost competitiveness and lower domestic
demand. Exports accounted for 40% of GDP in 2016, up from 30% in
2010. The net lending position has averaged 2% of GDP since 2013,
supporting a rapid decline in net external debt (NXD), to 144% of
GDP in 3Q16 from 161% in 2012. Fitch expects higher domestic
demand will drive down the external surplus by 2018, although it
will remain consistent with a decline in NXD, which will remain
high compared with the peer median.

Fitch expects GDP growth will rise to 2.0% in 2017 from 1.4% in
2016, before slowing to 1.6% in 2018. Growth has picked up since
mid-2016 (+2.8% y/y in 1Q-2017), boosted by a stronger labour
market (the unemployment rate was 9.8% in April from 11.6% a year
ago and a peak at 17.5% in 2013) and a gradual recovery in
investment (+5.5% y/y in 1Q-2017). Net exports have also
contributed to the acceleration in growth. Stronger confidence
and the ramp-up in EU-funds disbursements should support growth
from 2017, although legacy issues in the still challenged banking
sector and the high stock of private sector debt will continue to
weigh on medium term growth prospects.

Portugal's 'BB+' IDRs also reflect the following key rating
drivers:

General government debt, at 130.4% of GDP at end-2016, is well
above the 'BB' category median (51% of GDP) and the eurozone
average (90%).

GDP growth potential is lower than peers, at around 1.5%,
reflecting the interplay of high private-sector indebtedness
(equivalent to 217% of GDP in March 2017) and fragile banks that
hinders investment, and weak demographics.

Banks are weakened by a high level of impaired loans (11.8% of
credit at risk loans in 2016, while the weighted average NPL
ratio (EBA's definition) was close to 20% at end-1H16),
representing a source of continuing risk to the sovereign's
balance sheet in Fitch's view, although Fitch currently does not
anticipates further recapitalisation costs for the sovereign.
Portugal's banking sector solvency has strengthened following
capital increases by the two largest banks (CGD and BCP) at the
start of 2017. A faster reduction in NPLs might require further
strengthening in the insolvency framework, a process likely to
take time, in Fitch's view.

Human development, governance and income per capita indicators
are all above those of 'BB' and 'BBB' rated peers, highlighting
the country's institutional strengths. Portugal's Ease of Doing
Business score is well above the 'BB' and 'BBB' medians.

SOVEREIGN RATING MODEL (SRM) and QUALITATIVE OVERLAY (QO)
Fitch's proprietary SRM assigns Portugal a score equivalent to a
rating of 'A-' on the Long-Term FC IDR scale.

In accordance with its rating criteria, Fitch's sovereign rating
committee decided to adjust the rating indicated by the SRM by
more than the usual maximum range of +/- 3 notches because in
Fitch views the country is recovering from a crisis.

Consequently, the overall adjustment of four notches reflects the
following adjustments:

Macro: -1 notch, to reflect a relatively weak medium-term growth
outlook, constrained by high corporate indebtedness, low
investment, adverse demographic trends and financial sector
weakness.
Public Finances: -1 notch, to reflect very high levels of
government debt. The SRM is estimated on the basis of a linear
approach to government debt/GDP and does not fully capture the
higher risk at high debt levels.
External Finances: -2 notches, comprising two components. The +2
notch contribution to the SRM for "reserve currency flexibility"
has been adjusted to +1 notch given Portugal's financial crisis
experience. Secondly, one notch reflects that net external debt
as a percentage of GDP is one of the highest in the world.

Fitch's SRM is the agency's proprietary multiple regression
rating model that employs 18 variables based on three year
centred averages, including one year of forecasts, to produce a
score equivalent to a LT FC IDR. Fitch's QO is a forward-looking
qualitative framework designed to allow for adjustment to the SRM
output to assign the final rating, reflecting factors within
Fitch criterias that are not fully quantifiable and/or not fully
reflected in the SRM.

RATING SENSITIVITIES

The main factors that could, individually or collectively, lead
to an upgrade are:

  - Greater confidence in a sustained downward trend in general
government debt/GDP.

  - Absence of renewed stress in the financial sector that would
lead to further costs for the sovereign and/or affect macro
financial stability and economic growth.

  - Continued reduction in external indebtedness supported by
current account surpluses.

  - Stronger long-term growth prospects.

The main factors that could, individually or collectively, lead
to a stabilisation of the Outlook are:

  - Failure to make progress in reducing general government
debt/GDP ratios or unwinding of external imbalances.

  - Renewed stress in the financial sector that requires
financial support from the state and/or affects macro financial
stability and economic growth.

KEY ASSUMPTIONS

In its debt sensitivity analysis Fitch assumes a primary surplus
averaging 2.1% of GDP, trend real GDP growth averaging 1.6%, an
average effective interest rate of 3.7% and deflator inflation of
1.9%.

Fitch expects that growth in the eurozone, Portugal's main trade
partner, will be 1.7% in 2017 and 1.6% in 2018 from 1.8% in 2016.


SAGRES SOCIEDADE: Moody's Assigns (P)Ba2 Rating to Cl. C Notes
---------------------------------------------------------------
Moody's Investors Service has assigned the following provisional
ratings to notes to be issued by SAGRES - Sociedade de
Titularizacao de Creditos, S.A.:

-- EUR [.] Class A Asset-Backed Floating Rate Notes due March
    2033, Assigned (P)A2(sf)

-- EUR [.] Class B Asset-Backed Floating Rate Notes due March
    2033, Assigned (P)Baa3(sf)

-- EUR [.] Class C Asset-Backed Floating Rate Notes due March
    2033, Assigned (P)Ba2 (sf)

Moody's has not assigned ratings to the EUR [.] Classes D and E
Notes.

RATINGS RATIONALE

Ulisses Finance No. 1 is a revolving cash securitisation of auto
receivables extended by 321Credito -- Instituicao Financeira de
Credito, S.A. ("321C") to obligors located in Portugal. The
revolving period ends 12 months after the closing date. The
portfolio consists of auto loans extended to mainly private
obligors. The originator and servicer is 321C (NR). This is the
first public securitisation transaction by 321C, a small
originator set up as the reformed specialised lender, under the
Ulissses programme. Formerly known as BPN Credito, the company
issued four public auto loan securitisations under the Chaves
programme before its nationalisation and privatisation at a later
stage.

As at [May 31, 2017], the provisional portfolio of underlying
assets consists of monthly paying standardised auto loans granted
by dealerships to either private individuals [95.56]% or
commercial borrowers [4.44]% to purchase mostly used vehicles.
The agreements are granted to private individuals or commercial
borrowers resident in Portugal, with mostly fixed rates [87.94]%
of the pool and a total outstanding balance of approximately
EUR[141.2] million. The WA seasoning in the initial portfolio is
[13.4] months and the WA LTV is [94]%.

The transaction benefits from credit strengths such as the
granularity of the portfolio, significant excess spread,
counterparty support through the back-up servicer, hedge provider
and independent cash manager. The transaction benefits from a
closing yield of [8.98]%. Available excess spread can be trapped
to cover defaults and losses through the individual tranche PDLs.

However, Moody's notes that the transaction features some credit
weaknesses such as operational risk, interest rate risk, arrears
information has not been audited and historical performance data
of loans originated by 321C is limited. However, the risks are
partially mitigated by the entity's historical information from
BPN Credito business from which it was derived. There is high
reliance on 321C in its role as servicer, which is mitigated by
the presence of a back-up servicer, Servdebt, Capital Asset
Management, S.A. (NR). The interest risk is partially mitigated
by the existence of an interest rate cap that protects the notes
if Euribor reaches above [2.0]% during the first 5 years and
[4.0]% afterwards. Loans assigned to the Issuer will not be more
than [30] days in arrears according to the eligibility criteria.
In addition, the revolving structure could increase performance
volatility of the underlying portfolio. Various mitigants have
been put in place in the transaction structure, such as early
amortisation triggers and eligibility criteria for the portfolio
additions.

Moody's analysis focused, amongst other factors, on (i) an
evaluation of the underlying portfolio of auto loans and the
eligibility criteria; (ii) historical performance provided on
321C total book; (iii) the credit enhancement provided by
subordination, excess spread and the reserve fund; (iv) the
revolving structure of the transaction; (v) the liquidity support
available in the transaction by way of principal to pay interest
and the reserve fund; and (vi) the overall legal and structural
integrity of the transaction.

MAIN MODEL ASSUMPTIONS

Moody's determined a portfolio lifetime expected mean default
rate of [7.0]%, expected recoveries of [30.0]% and a A1 portfolio
credit enhancement ("PCE") of [22.0]% for both the current and
additional portfolios of the issuer. The expected defaults and
recoveries capture Moody's expectations of performance
considering the current economic outlook, while the PCE captures
the loss Moody's expects the portfolio to suffer in the event of
a severe recession scenario. Expected defaults and PCE are
parameters used by Moody's to calibrate its lognormal portfolio
loss distribution curve and to associate a probability with each
potential future loss scenario in its ABSROM cash flow model to
rate consumer ABS transactions.

The portfolio expected mean default rate of [7.0]% is higher than
the EMEA Auto ABS average and is based on Moody's assessment of
the lifetime expectation for the pool taking into account (i)
historic performance of the loan book of the originator, (ii)
benchmark transactions, and (iii) other qualitative
considerations.

Portfolio expected recoveries of [30.0]% are lower than the EMEA
Auto ABS average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account (i)
historic performance of the loan book of the originator, (ii)
benchmark transactions, and (iii) other qualitative
considerations.

PCE of [22.0]% is higher than the EMEA Auto ABS average and is
based on Moody's assessment of the pool taking into account (i) a
degree of uncertainty considering the depth of data Moody's
received from the originator to determine the expected
performance of the portfolio, and (ii) the relative ranking to
the originators peers in the EMEA Auto ABS market. The PCE level
of [22.0]% results in an implied coefficient of variation ("CoV")
of [65.4]%.

METHODOLOGY

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

Please note that on March 22, 2017, Moody's released a Request
for Comment, in which it has requested market feedback on
potential revisions to its Approach to Assessing Counterparty
Risks in Structured Finance. If the revised Methodology is
implemented as proposed, the Credit Ratings on Ulisses Nß 1 are
not expected to be affected. Please refer to Moody's Request for
Comment, titled "Moody's Proposes Revisions to Its Approach to
Assessing Counterparty Risks in Structured Finance", for further
details regarding the implications of the proposed Methodology
revisions on certain Credit Ratings.

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

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

Factors or circumstances that could lead to an upgrade of the
ratings of the notes would be (1) better than expected
performance of the underlying collateral; (2) increase in credit
enhancement of notes due to deleveraging; or (3) a lowering of
Portugal's sovereign risk leading to the removal of the local
currency ceiling cap.

Factors or circumstances that could lead to a downgrade of the
ratings would be (1) worse than expected performance of the
underlying collateral; (2) deterioration in the credit quality of
321C; or (3) an increase in Portugal's sovereign risk.

LOSS AND CASH FLOW ANALYSIS:

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

STRESS SCENARIOS:

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

MOODY'S PARAMETER SENSITIVITIES

In rating consumer loan ABS, the mean default rate and the
recovery rate are two key inputs that determine the transaction
cash flows in the cash flow model. Parameter sensitivities for
this transaction have been tested in the following manner:
Moody's tested nine scenarios derived from a combination of mean
default rate: [7.0]% (base case), [7.7]% (base case + 0.7%),
[8.40]% (base case + 1.4%) and recovery rate: [30.0]% (base
case), [25.0]% (base case - 5.0%), [20.0]% (base case - 10%). The
model output results for Class A Notes under these scenarios vary
from [A2] (base case) to [A3] assuming the mean default rate is
[8.4]% and the recovery rate is [20.0]% all else being equal.

Parameter sensitivities provide a quantitative/model indicated
calculation of the number of notches that a Moody's rated
structured finance security may vary if certain input parameters
used in the initial rating process differed. The analysis assumes
that the deal has not aged. It is not intended to measure how the
rating of the security might migrate over time, but rather how
the initial model output of the notes might have differed if the
two parameters within a given sector that have the greatest
impact were varied.

Moody's issues provisional ratings in advance of the final sale
of securities and the above rating reflects Moody's preliminary
credit opinions regarding the transaction only. Upon a conclusive
review of the final documentation and the final note structure,
Moody's will endeavour to assign a definitive rating to the above
notes. A definitive rating may differ from a provisional rating.
Please note that the actual definitive issuance amounts of the
rated classes may change from those stated above given confirmed
capital structure and final portfolio levels. However, this
aspect should not fundamentally impact the ratings as credit
enhancement and portfolio credit features are expected to be
consistent.


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


AEROFLOT PJSC: Fitch Corrects March 6 Rating Release
----------------------------------------------------
This commentary replaces the version published on March 6, 2017
to clarify that Fitch's application of a 8x multiple to
Aeroflot's operating leases represents a deviation to the
agency's criteria.

Fitch Ratings has affirmed Public Joint Stock Company Aeroflot -
Russian Airlines' (Aeroflot) Long-Term Foreign-Currency Issuer
Default Rating (IDR) at 'B+', Outlook Stable. A full list of
rating actions is available at the end of this commentary.

The affirmation reflects the improvement in Aeroflot's credit
metrics and Fitch expectations that the company will maintain a
robust financial profile over 2016-2019. Fitch currently
anticipates FFO adjusted gross leverage to be slightly above 5x
on average over 2016-2019. The rating incorporates the company's
strong Russian market position which increased to about 42% in
9M16 and its ability to adapt to challenging market conditions.
The group has continued to outperform the market and it reported
a 9% yoy increase in the number of passengers carried (PAX) in
9M16 against a decrease of 8% in the overall Russian air
transportation market. Aeroflot's business profile is supported
by the company's fairly diversified route network, favourable hub
position and competitive cost structure. The 'B+' rating
incorporates a one-notch uplift reflecting its links with the
state.

KEY RATING DRIVERS

Improving Financials: Aeroflot's financial performance improved
over 2015-2016 and the company reported revenue and EBITDA growth
by about 20% and 30% yoy respectively in 2016. This is supported
by a rise in passenger traffic, a material increase in yields in
rouble terms and lower oil prices. Fitch anticipates these
factors will continue to support revenue growth in 2017-2019.
Fitch expects Funds from operations (FFO) adjusted gross leverage
will drop to slightly above 5x on average over 2016-2019 from
5.9x at end-2015 and FFO fixed charge coverage to remain above
1.5x over the same period.

Passenger Traffic Growth Expected: In 2016 Aeroflot reported an
almost 15% growth in revenue-passenger-kilometres (RPK) and Fitch
expects this trend to continue over 2017-2020, though at a slower
pace. The anticipated average increase in the high single digits
in RPK over this period will be supported by the new slots
obtained from Transaero and organic capacity expansion. Fitch
anticipates growth across all destinations, especially on its
domestic routes.

Higher Dividends Expected: Fitch considers the company's current
dividend policy, which envisages a payout ratio of 25% of IFRS
net income as moderate. However, there is a high risk of an
increase in dividend payments, as has happened at other state-
owned companies. Fitch therefore assume a 50% payout ratio for
the company from 2017, which together with moderate capex would
be manageable due to its strong cash-flow generation. Fitch
anticipates it will remain free cash-flow positive over 2016-
2018.

High FX Exposure: Aeroflot is exposed to FX fluctuations as
almost all of its debt at end-9M16 (about 90%) was denominated in
foreign currencies, mainly US dollars. The majority of debt is in
the form of finance leases for aircraft purchases (about 89%).
This is partially mitigated by revenue generated mainly in
dollars or euros, or linked to euros accounting for about 60% of
traffic revenue over 9M16, although about 55% of operating
expenses are also denominated in foreign currencies.

Strong Business Profile: Aeroflot has a solid business profile
due to a fairly diversified route network, high frequency of
international flights, a favourable hub position and the
company's position as Russia's largest airline and flagship
carrier and as a medium-sized airline among European peers. The
implementation of a multi-brand strategy within Aeroflot Group
provides the group with greater operational flexibility without
diluting Aeroflot's brand and enables the group to target
multiple customer and geographic segments, adapt more quickly to
customer demands and utilise feeder traffic from regional airline
subsidiaries.

One-Notch Uplift: The 'B+' rating incorporates a one-notch uplift
to the companies 'B' standalone rating for parental support from
its ultimate majority shareholder, the Russian Federation. There
has been little evidence of tangible financial support, except
for royalties, but Aeroflot remains on the list of Russia's
strategic enterprises and its operational and financial
strategies are overseen by the state. It is seen as a means of
promoting and developing Russia's aviation market. A reduction in
the state's stake to below 50% coupled with evidence of
diminishing state support, could lead to the withdrawal of the
one-notch uplift.

DERIVATION SUMMARY

Aeroflot has a solid business profile due to a fairly diversified
route network, high frequency of international flights, a
favourable hub position and the company's position as Russia's
largest airline and flagship carrier and a medium-sized airline
among European peers. The rating is constrained by Aeroflot's
financial profile. Parental links are reflected in a one-notch
uplift in the rating.

KEY ASSUMPTIONS

Fitch's key assumptions within Fitch ratings case for the issuer
include:
- Russian GDP growth of 1.3%-2% in Russian over 2017-2019;
- Russian CPI of 5.7%-6.5% over 2017-2019;
- Average USD/RUB exchange rate of 66.8 in 2016 and 62.5-65.7
   over 2017-2019;
- capex in line with the company's forecast;
- RPK growth of about 9% CAGR over 2017-2020;
- yield recovery in the low single digits.

RATING SENSITIVITIES

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

- Evidence of stronger state support.

- Improvement in the financial profile (eg FFO adjusted gross
leverage below 5.0x and FFO fixed charge cover above 1.5x on a
sustained basis) due to yield recovery, successful integration of
the received slots, personnel and fleet assets, moderation of
investments in the fleet and/or a drop in fuel prices

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

- Material deterioration of the credit metrics (eg FFO adjusted
gross leverage well above 6.0x and FFO fixed charge cover below
1.25x on a sustained basis) due to further rouble depreciation, a
protracted downturn in the Russian economy, drop in yields or
overly ambitious fleet expansion

- Weakening of state support

LIQUIDITY

Adequate Liquidity: At end-3Q16 its cash and short-term deposits
stood at RUB61bn which together with available unused credit
facilities of RUB70bn were sufficient to cover short-term debt
maturities of RUB34bn. Moreover, Fitch expects the company to be
free cash-flow positive over 2016-2018. The majority of cash at
end-2015 was held with Sberbank (BBB-/Stable).

FULL LIST OF RATING ACTIONS

Long-Term Foreign- and Local-Currency IDRs: affirmed at 'B+',
Outlook Stable
Short-term foreign- and local-currency IDRs: affirmed at 'B'
Foreign- and local-currency senior unsecured ratings: affirmed at
'B+/RR4'


AK BARS: Fitch Cuts to 'B' Long-Term IDRs, Then Withdraws Ratings
-----------------------------------------------------------------
Fitch Ratings has resolved AK BARS Bank's (ABB) Rating Watch
Negative (RWN) by downgrading the bank's Long-Term Issuer Default
Ratings (IDRs) to 'B' from 'BB-'. A Negative Outlook has been
assigned. Fitch has also affirmed the Viability Rating (VR) of
the bank at 'ccc'.

At the same time Fitch has withdrawn the bank's ratings for
commercial reasons. Fitch will no long provide rating and
analytical coverage of AK BARS Bank.

The downgrade of ABB's IDRs reflects the extended weak record of
support provided to the bank by its majority shareholder Republic
of Tatarstan (RT, (BBB-/Stable)), which has been insufficient to
materially improve the bank's credit profile, as reflected in the
VR of 'ccc'.

Fitch placed ABB on RWN on December 16, 2016 due to potential
negative implications for its standalone credit profile and
future support from the failure of Tatfondbank's (TFB), in which
RT controlled a significant stake. TFB's default seems to have
had limited direct impact on ABB's credit profile as, according
to ABB's management, this has not caused either RT, ABB or its
borrowers to incur material losses.

However, regulatory oversight over banks in the region has
increased following the failure of TFB and some smaller lenders.
In Fitch's view, this may make it more difficult for ABB to defer
recognition of losses on high-risk assets and hence material
capital support may be required, while RT's own capacity to
provide this is limited.

The Negative Outlook on the bank's ratings reflects uncertainty
over RT's ability to help clean up the bank's balance sheet and
improve its solvency and therefore the risk of regulatory
intervention.

KEY RATING DRIVERS
IDRS, SENIOR DEBT AND SUPPORT RATINGS

The IDRs, Support Rating and senior debt ratings continue to
reflect potential support the bank may receive from RT. This view
factors in the majority ownership; the supervision over the bank
and the close association of the bank with the regional
authorities, through the representatives of the shareholder
sitting in ABB's Board of Directors; the bank's notable systemic
role in the region; and the large share of funding from the
budget of RT and public sector entities (37% of the bank's
liabilities at end-1Q17). RT currently controls -- directly or
indirectly -- a more than 80% stake in the bank, including as a
result of the recent share issue acquired by two RT-owned
entities, PAO Tatneft (BBB-/Stable) and JSC Svyazinvestneftekhim
(SINEK, BB+/Stable).

However, Fitch now views the probability of support to be
limited, as reflected in 'B' Long-Term IDRs of the bank. This
view takes into account (i) the so far weak track record of
capital support provided to the bank, as this has been either in
non-cash form or did not result in genuine de-risking of the
balance sheet due to the emergence of new high-risk assets, (ii)
a significant volume of high-risk assets and the bank's weak core
performance, which could make support costly and less politically
acceptable; (iii) the limited flexibility of the budget to
provide support promptly, and (iv) the indirect ownership of the
bank (the direct share of the RT is only 20%).

VR
ABB's VR reflects the bank's weak asset quality and core
profitability and limited capitalisation. It also factors in the
bank's moderate liquidity position, supported by funding from
entities related to RT.

The amount of high-risk assets net of reserves remained
significant at RUB106 billion or 2.5x of Fitch Core Capital (FCC)
at end-2016, albeit reduced from RUB141 billion or 4.6x FCC at
end-2015. The decrease of RUB35 billion is smaller than the total
proceeds from the sale of RUB32 billion of high-risk assets to
the Housing Fund under the President of RT (HFPT) and to other
RT-affiliated entities and RUB19 billion of extra provisions
created in 2016. This is because (i) some of the sold loans were
issued in 2016, (ii) some new high-risk loans were issued; and
(iii) Fitch reassessed risks on some exposures.

The net amount of high-risk assets at end-2016 included:

- RUB19.5 billion (0.5x FCC) of receivables from an RT-related
company in the form of listed shares;

- RUB5.6 billion (0.1x FCC) of investments in promissory notes
of a SINEK-affiliated company;

- RUB31.3 billion (0.8x FCC) of long-term construction/real
estate exposures (with considerable non-completion risk) related
to the bank, or the local business elite;

- a RUB9.9 billion (0.2x FCC) loan to HFPT to purchase high-risk
real estate from the bank;

- RUB3.9 billion (0.1x FCC) of unsecured or weakly secured loans
to investment companies;

- RUB22 billion (0.5x FCC) of other related-party/relationship
loans and/or high-risk exposures;

- RUB13.5 billion (0.3x FCC) of investment property/non-core
assets, mostly comprising land and commercial real estate in RT.

Capitalisation remains weak in the context of these high-risk
exposures. The FCC ratio was 9.4% at end-2016 and the regulatory
Tier 1 ratio was 8% at end-April 2017, only moderately above the
regulatory minimum level of 7.25%, including buffers. The
recently registered RUB10 billion equity injection should raise
capital ratios by approximately 2 ppts, but this would only
moderately improve the bank's loss absorption capacity, allowing
ABB to reserve about 16% of its high risk exposures without
breaching minimum regulatory capital requirements.

ABB's pre-impairment profit net of one-offs and revaluation
results was equal to a low 0.5% of average loans in 2016, which
means that the bank will not be able to strengthen its solvency
through internal capital generation.

After material deposit outflows in 1Q17 due to the instability
caused by Tatfondbank's default, ABB's liquidity position
stabilised, helped by funding support from RT and two
organisations close to the budget of Tatarstan. As a result, the
share of the budget of RT and of the two public sector entities
in the bank's funding increased to 37% at end-1Q17 from 18% at
end-2015. The bank is therefore dependent on this funding, as the
liquidity buffer (of cash, net short-term interbank placements
and unpledged liquid securities) net of near-term wholesale
obligations was sufficient to withstand only about 20% outflow of
customer funding (16% of liabilities) at end-April 2017.

SUBORDINATED DEBT

ABB's 'old-style' (without mandatory conversion triggers)
subordinated debt is rated two notches below the bank's Long-Term
IDR. This reflects Fitch's view of weak recovery prospects in
case of default.

RATING SENSITIVITIES

Not applicable.

The ratings were withdrawn after the following rating actions:

AK BARS Bank
Long-Term Foreign and Local Currency IDRs downgraded to 'B' from
'BB-'; off RWN; Outlook Negative
Short-Term Foreign Currency IDR affirmed at 'B'
Support Rating downgraded to '4'from '3'; off RWN
Senior unsecured debt long-term rating downgraded to 'B' from
'BB-'; off RWN; Recovery Rating assigned at 'RR4'
Viability Rating affirmed at 'ccc'

AK BARS Luxembourg S.A.

Senior unsecured debt long-term rating downgraded to 'B' from
'BB-'; off RWN; Recovery Rating assigned at 'RR4'
Senior unsecured debt short-term rating affirmed at 'B'
Subordinated debt rating downgraded to 'CCC' from 'B'; off RWN;
Recovery Rating assigned at 'RR6'


BULGAR BANK: Liabilities Exceed Assets, Assessment Shows
--------------------------------------------------------
The provisional administration to manage JSC Bulgar Bank
appointed by virtue of Bank of Russia Order No. OD-74, dated
January 16, 2017, following the revocation of its banking
license, in the course of analyzing the bank's credit portfolio
has established facts of underestimated credit exposure on
outstanding loans issued to the bank's borrowers to the amount
exceeding RUR307 million.

In the course of examination of the bank's financial standing,
the provisional administration has established that the
activities of the bank's former management and owners had the
signs of withdrawing assets totaling more than RUR179 million,
and has revealed a cash shortage in the bank's operations office
located in Moscow.

According to the estimate by the provisional administration, the
bank's assets do not exceed RUR531 million, whereas its
liabilities to creditors exceed RUR1.4 billion.

On March 2, 2017, the Arbitration Court of the Yaroslavl Region
recognized the bank as insolvent (bankrupt).  The state
corporation Deposit Insurance Agency was appointed as a receiver.

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


KIROV REGION: Fitch Affirms BB- Long-Term IDRs, Outlook Stable
--------------------------------------------------------------
Fitch Ratings has affirmed Russian Kirov Region's Long-Term
Foreign and Local Currency Issuer Default Ratings (IDRs) at 'BB-'
and Short-Term Foreign Currency IDR at 'B'. The Outlooks on the
Long-Term IDRs are Stable.

KEY RATING DRIVERS

The 'BB-' ratings reflect the region's growing direct risk,
fragile operating performance and modest economic indicators amid
a weak Russian institutional framework. The ratings also factor
in consolidation of the region's fiscal performance with a
narrowing deficit before debt variation and continuous support
from the federal government in the form of low-cost budget loans
and transfers.

Fitch projects Kirov Region's operating balance will be at 4%-5%
of operating revenue in 2017-2019 (2016: 3.4%), which will remain
sufficient to cover interest payments. This will be supported by
higher current transfers from the federal budget due to
favourable changes in the formula of federal grant calculation
amid expected stagnation of tax revenue. In 2015-2016, Kirov
Region gradually restored its operating balance to record a small
positive current balance as its government kept operating
expenditure (opex) almost unchanged with strict cost control
measures.

Fitch forecasts the region will further narrow its deficit before
debt variation to about 3% of total revenue in 2017-2019 by
maintaining growth of opex below that of operating revenue and
postponing material capital expenditure. Kirov Region had
gradually shrunk its deficit to 6% in 2016 from a peak of 14.3%
in 2013. The region's government is committed to a balanced
budget in 2017-2019, driven by requirements imposed by the
Ministry of Finance as a condition for budget loan grants to the
region. However, Fitch does not expect the balanced budget target
to be met given slow growth of operating revenue and limited
expenditure flexibility.

Fitch expects deficit shrinkage to be gradual, which could call
for additional support from the federal government as the
region's fiscal capacity remains low. Kirov's tax-raising ability
is limited by the modest size of the regional tax base and low
autonomy in setting tax rates. Most expenditure is social-
oriented and therefore rather rigid, while capital expenditure
has already been cut back towards 10% of total expenditure.

Fitch forecasts the region's direct risk will gradually increase
to RUB30 billion by end-2019 from RUB26 billion at end-2016, but
remain almost stable relative to current revenue (2016: 65%).
Debt burden is high relative to national peers; however, the risk
is mitigated by material low-cost budget loans (about 60% of risk
at end-2016) as a share of total debt, which helps the region to
save on interest expenses. Remaining debt consists of one-to
three- year bank loans, which amounted to a moderate 26.5% of
current revenue at end-2016.

The region remains exposed to refinancing risk due to its short-
term debt repayment schedule and low cash balance (end-2016:
RUB231 million). It leaves the region dependent on access to debt
markets to refinance maturing debt. About 97% of its direct risk
is due in 2017-2019. By end-2017, Kirov needs to repay RUB7.9
billion, which consists almost entirely of bank loans. The region
plans to fund its refinancing needs with RUB3.6 billion
contracted but undrawn credit lines and a RUB0.8 billion budget
loan. The remaining funding needs will be covered by new credit
lines the region plans to attract in 2H17.

Kirov's economic profile is weaker than the average Russian
region. Its gross regional product (GRP) per capita was 65% of
the national median in 2015. However, the economy is diversified
and its major taxpayers are spread across various sectors. The
10-largest taxpayers contributed less than 20% of Kirov's tax
revenue in 2016.

Based on the region's estimates, GRP contracted 1.8% in 2016
(2015: 0.8%), in line with the national economic trend, and will
likely demonstrate close to zero growth in 2017-2019. The
recovery of Russia's economy with expected GDP growth of 1.4%-
2.2% in 2017-2018, according to Fitch forecasts, would be
supportive of the local economy.

Russia's institutional framework for sub-nationals is a
constraint on the region's ratings. Frequent changes in the
allocation of revenue sources and in the assignment of
expenditure responsibilities between the tiers of government
hamper the forecasting ability of local and regional governments
(LRGs) in Russia.

RATING SENSITIVITIES

An improvement in the operating margin towards 10%, coupled with
a debt payback ratio (direct risk-to-current balance) of around
10 years (2016: 103) on a sustained basis, could lead to an
upgrade.

The inability to maintain a positive operating margin on a
sustained basis or an increase in direct risk above 80% of
current revenue could lead to a downgrade.


KOSTROMA REGION: Fitch Affirms B+ Long-Term IDR, Outlook Stable
---------------------------------------------------------------
Fitch Ratings has affirmed Russian Kostroma Region's Long-Term
Foreign and Local Currency Issuer Default Ratings (IDRs) at 'B+'
and Short-Term Foreign Currency IDR at 'B'. The Outlook on the
Long-Term IDRs is Stable. Kostroma Region's outstanding senior
unsecured domestic bonds have also been affirmed at 'B+'.

The affirmation reflects Fitch's unchanged base case scenario
regarding the region's continuing direct risk growth and weak,
albeit slightly improving, operating performance over the medium
term.

KEY RATING DRIVERS

The 'B+' ratings reflect the region's high direct risk resulting
from an ongoing structural deficit, high refinancing pressure, a
modest regional economy and a weak Russian institutional
framework. The ratings also reflect continuous support from the
federal government in the form of low-cost budget loans and
transfers.

Fitch forecasts Kostroma's direct risk will remain high, which
could reach 120% of current revenue by 2019 (2016: 106%) as the
region will likely continue to record a budget deficit in 2017-
2019. The region's direct risk increased to RUB21.3 billion at
end-2016 from RUB17.7 billion at end-2015.

Kostroma is among the most indebted Russian regions rated by
Fitch, and its debt metrics are weak. The high debt levels are
partly mitigated by the material low-cost budget loans as a share
of total debt (40%), which help the region to save on interest
payments. Under its base case scenario, Fitch expects the region
will continue to benefit from ongoing state support over the
medium term.

Kostroma remains materially exposed to refinancing risk stemming
from short-term bank loans. This leaves the region dependent on
access to local debt markets to refinance maturing debt and
exposed to interest rate volatility. Fitch expects debt servicing
could account for a high 70% of current revenue in 2017 (2016:
49%).

By end-2017, Kostroma needs to repay RUB11.8 billion, or 56% of
its direct risk. The region has already contracted RUB3 billion
one-year credit lines and plans to issue RUB8 billion five-year
bonds by end-2017 to cover funding needs. The new bonds will
somewhat mitigate refinancing risk and will help to reduce the
annual debt service needs.

Fitch projects Kostroma will consolidate its operating balance at
about 5% of operating revenue over the medium term, after it
improved to 4% in 2016 from an average 1.6% in 2014-2015.
However, interest payments could exceed the operating margin,
resulting in a negative current balance, which Fitch forecast at
-0.7% of current revenue in 2017 (2016: -2%).

In 2016, the region's operating performance was supported by a
15% growth in tax revenue, mostly due to a recovery in the
financial sector and higher excise revenue. Fitch expects the
region's tax revenue growth to decelerate in 2017 on changes by
the federal government to the allocation of corporate income tax
and excises although this will be more than offset by higher
current transfers from the federal budget.

Kostroma is committed to shrinking its budget deficit and, hence,
stabilising debt levels to comply with requirements imposed by
the Ministry of Finance as a condition for granting budget loans
to the region. Fitch therefore project Kostroma will narrow its
deficit before debt variation to 7%-10% of total revenue over the
medium term from an average 15% in 2014-2016. Otherwise continued
fiscal slippage would be negative for the ratings.

Fitch expects improvement to be gradual, which will likely call
for additional support from the federal government as the
region's fiscal capacity is limited. Tax-raising capacity is
limited by the modest size of the region's tax base and low
autonomy in setting tax rates. To meet the target, the region
also has undertaken a number of cost-cutting measures, although
flexibility is low as most expenditure is social-oriented and
hence rigid.

The region's economic profile is weaker than the average Russian
region. Gross regional product (GRP) per capita was 74% of the
national median in 2015. Based on the region's estimates GRP
continued to decline 0.6% in 2016 (2015: 1.4% decline), in line
with the national economic trend. The regional administration
expects the local economy to return to mild GRP growth in 2017-
2018.

Russia's institutional framework for sub-nationals is a
constraint on the region's ratings. Frequent changes in the
allocation of revenue sources and in the assignment of
expenditure responsibilities between the tiers of government
hamper the forecasting ability of local and regional governments
(LRGs) in Russia.

RATING SENSITIVITIES

Further growth of direct debt above 85% of current revenue (2016:
64%), accompanied by persistent refinancing pressure, would lead
to a downgrade.

An upgrade is unlikely unless direct risk falls below 100% of
current revenue, accompanied by an improvement in the debt
repayment schedule on a sustained basis.


NCO SERVICE: Put on Provisional Administration, License Revoked
---------------------------------------------------------------
The Bank of Russia, by its Order No. OD-1622, dated June 19,
2017, revoked the banking license of St. Petersburg-based credit
institution Joint-Stock Company Nonbank Credit Organisation
Service Financial House (JSC NCO Service Financial House,
Registration NO. 3430-K), further referred to as the credit
institution.  According to the financial statements, as of
June 1, 2017, the credit institution ranked 570th by assets in
the Russian banking system. The credit institution is not a
member of the deposit insurance system.

Since late 2016, the credit institution has been focused on sham
transactions.  Besides, the credit institution failed to comply
with legislative requirements on countering the legalisation
(laundering) of criminally obtained incomes and the financing of
terrorism.  The credit institution's management and owners have
failed to take appropriate measures to prevent the credit
institution from becoming involved in dubious operations of its
clients.  Under the circumstances, the Bank of Russia took the
decision to withdraw JSC NCO Service Financial House from the
banking services market.

The Bank of Russia took such an extreme measure -- revocation of
the banking license -- because of the credit institution's
failure to comply with federal banking laws and Bank of Russia
regulations, repeated violations within a year of Bank of Russia
requirements stipulated by Article 7 (excluding Clause 3 of
Article 7) of the Federal Law "On Countering the Legalisation
(Laundering) of Criminally Obtained Incomes and the Financing of
Terrorism" as well as Bank of Russia regulations issued in
accordance with the said law and application of the measures
stipulated by the Federal Law "On the Central Bank of the Russian
Federation (Bank of Russia)", taking into account a real threat
to the interests of creditors.

The Bank of Russia, by its Order No. OD-1623, dated June 19,
2016, appointed a provisional administration to the credit
institution for the period until the appointment of a receiver
pursuant to the Federal Law "On Insolvency (Bankruptcy)" or a
liquidator under Article 23.1 of the Federal Law "On Banks and
Banking Activities".  In accordance with federal laws, the powers
of the credit institution's executive bodies have been suspended.


NIZHNIY NOVGOROD: Fitch Withdraws BB- Long-Term IDRs
----------------------------------------------------
Fitch Ratings has withdrawn Russian City of Nizhniy Novgorod's
'BB-' Long-Term Foreign- and Local-Currency Issuer Default
Ratings (IDRs) with Stable Outlooks and 'B' Short-Term Foreign-
Currency IDR.

KEY RATING DRIVERS

Fitch has withdrawn the ratings of the City of Nizhniy Novgorod
for commercial reasons and due to lack of information. As Fitch
does not have sufficient information to maintain the ratings,
accordingly the agency has withdrawn the city's ratings without
affirmation and will no longer provide ratings or analytical
coverage for the city of Nizhniy Novgorod.


RYAZAN REGION: Fitch Withdraws B+ Long-Term IDRs
------------------------------------------------
Fitch Ratings has withdrawn Russian Ryazan Region's 'B+' Long-
Term Foreign- and Local-Currency Issuer Default Ratings (IDRs)
with Stable Outlooks and 'B' Short-Term Foreign-Currency IDR.
Ryazan region's outstanding senior unsecured domestic bonds'
rating of 'B+' has also been withdrawn.

KEY RATING DRIVERS
Fitch has chosen to withdraw Ryazan's ratings for commercial
reasons. As Fitch does not have sufficient information to
maintain the ratings, accordingly, the agency has withdrawn the
region's ratings without affirmation and will no longer provide
ratings or analytical coverage for Ryazan Region.


VOLGOGRAD REGION: Fitch Withdraws B+ Long-Term IDRs
---------------------------------------------------
Fitch Ratings has withdrawn Russian Volgograd Region's 'B+' Long-
Term Foreign and Local Currency Issuer Default Ratings (IDRs)
with Stable Outlooks and the region's 'B' Short-Term Foreign
Currency IDR.

Volgograd region's outstanding senior unsecured domestic bonds'
rating of 'B+' has also been withdrawn.

Fitch is withdrawing the ratings as Volgograd Region has chosen
to stop participating in the rating process. Therefore, Fitch
will no longer have sufficient information to maintain the
ratings. Accordingly, Fitch will no longer provide ratings or
analytical coverage for Volgograd Region.


===========
S E R B I A
===========


SERBIA: Fitch Affirms BB- Long-Term IDRs, Outlook Stable
--------------------------------------------------------
Fitch Ratings has affirmed Serbia's Long-Term Foreign- and Local-
Currency Issuer Default Ratings (IDR) at 'BB-' with a Stable
Outlook. The issue ratings on Serbia's senior unsecured long-term
foreign- and local-currency bonds have also been affirmed at
'BB-'. The Short-Term Foreign- and Local-Currency IDRs have been
affirmed at 'B'. The issue ratings on short-term bonds have also
been affirmed at 'B'. The Country Ceiling has been affirmed at
'BB-'.

KEY RATING DRIVERS

Serbia's 'BB-' IDRs reflect the following key rating drivers:

Fiscal consolidation continued in 2016, with the general
government deficit reaching 1.3% of GDP, a better outcome than
the 4.7% deficit planned in the 2015-2017 fiscal strategy. The
consolidation in 2016 was partly related to a favourable cyclical
position of the Serbian economy and one-off factors, but the
structural improvement in the fiscal balance is estimated at
4.5pp of GDP in 2015-2016. Spending composition has also started
to improve, with the wage bill declining below 10% of GDP while
public investment rose to 3.3% of GDP.

Fitch expects further fiscal consolidation, but at a much slower
pace as the authorities gradually approach their medium-term
deficit target of 1% of GDP. The budget was in surplus over the
first four months of 2017, creating fiscal space that is likely
to be used to increase wages or absorb some contingent
liabilities, bringing the general government deficit to around
1.3% of GDP in 2017.

Public indebtedness remains a key rating weakness, despite the
improvements seen in the government balance outturns and
projections. The debt ratio declined in 2016 for the first time
since 2008 to 72.7% of GDP and will likely decline below 70% of
GDP by 2018. However, it is around 20pp of GDP higher than the
'BB' median and its currency structure (79.2% of total public
debt was in foreign currency at end-April 2017) exposes it to
dinar fluctuations. Refinancing needs exceed 10% of GDP, despite
an increase in the average maturity of government debt. Fiscal
risks from state-owned enterprises (SoEs) remain material, as
evidenced by regular support from the budget, through subsidies,
guarantee calls or debt repayment. Fitch expects this support to
continue as SoE restructuring is proceeding slowly and unevenly.
Risks of fiscal slippage appear contained, as an IMF Stand-By
Arrangement provides a strong fiscal anchor.

Fitch considers macroeconomic performance as a weakness. Real GDP
grew by 2.8% in 2016, reflecting both a favourable cyclical
position and a rebalancing towards investment and net exports.
The favourable employment and wage dynamics will likely support
consumption growth and Fitch expects continued FDI in the
tradable sector to support export growth, therefore lifting Fitch
growth projections above 3% by 2019. However, potential growth,
at around 3.5%, is hampered by unfavourable demographic trends, a
large informal sector and restructuring needs in the large public
sector, and is not strong enough to support income convergence
with the EU. Macroeconomic stability is gradually improving, with
a declining trend in inflation and improving dinarisation, but
dollarisation of the economy remains high, hampering the
effectiveness of the monetary policy.

External finances metrics are broadly in line with 'BB' peers.
Fitch expects the current account deficit to remain around 4-5%
of GDP over the forecast horizon as the expanding export base
balances higher imports and oil prices, and to be fully covered
by robust FDI inflows. At 27.8% of GDP at end-2016, net external
debt has been on a declining trend since 2013 and is converging
towards the 'BB' median of 21.2%, which could help reduce
external interest and the debt service ratio. Foreign exchange
reserves cover more than five months of current account payments,
ensuring a high liquidity ratio of 161.1% at end-2016. The
precautionary IMF programme offers further backing in case of
external pressures.

There is a large NPL overhang in the banking sector, accounting
for 16.8% of gross loans at end-March 2017. NPL write-offs and
sales encouraged by the central bank have helped reduce the NPL
ratio in recent years, but have also contributed to moderate
credit growth (+5.6% in 2016). High provisioning rates together
with strong capital adequacy ratios partly mitigate financial
risks, and the moderate concentration of the banking sector and
its large foreign ownership component (76.7% of assets at end-
2016) reduce systemic risks.

Serbia's structural features are typical of the 'BB' rating
category, with GDP per capita broadly in line with the 'BB'
median. Governance and business environment indicators, which are
slightly better than the medians, could further improve as
Serbia's institutions move towards EU standards under the EU
accession negotiations. Structural reforms, particularly on
state-owned companies are progressing, albeit at a slower pace
than initially envisaged. Potential early legislative elections
in the coming year could slow the reform process, even if Fitch
expects continuity in economic policy.

SOVEREIGN RATING MODEL (SRM) and QUALITATIVE OVERLAY (QO)

Fitch's proprietary SRM assigns Serbia a score equivalent to a
rating of 'BB' on the Long-Term FC IDR scale.

Fitch's sovereign rating committee adjusted the output to arrive
at the final LT FC IDR by applying its QO, relative to rated
peers, as follows:
- Macro: -1 notch, to reflect weak medium term growth potential
relative to peers, structural rigidities (including high
unemployment, large informal economy and adverse demographics)
and the large role of the public sector in the economy.

Fitch's SRM is the agency's proprietary multiple regression
rating model that employs 18 variables based on three year
centred averages, including one year of forecasts, to produce a
score equivalent to a LT FC IDR. Fitch's QO is a forward-looking
qualitative framework designed to allow for adjustment to the SRM
output to assign the final rating, reflecting factors within
Fitch criterias that are not fully quantifiable and/or not fully
reflected in the SRM.

RATING SENSITIVITIES

The main factors that, individually or collectively, could
trigger positive rating action are:

- An improvement in Serbia's medium-term growth prospects

- Further fiscal consolidation resulting in a reduction in the
general government debt to GDP ratio

- Continued reduction in net external debt

The main factors that, individually or collectively, could
trigger negative rating action are:

- A reversal of fiscal consolidation, or the materialisation of
large contingent liabilities on the government's balance sheet,
that put the general government debt to GDP ratio on an upward
path

- A recurrence of exchange rate pressures leading to a fall in
reserves and a sharp rise in debt levels and the interest burden

KEY ASSUMPTIONS

Fitch assumes that the EU accession talks and the IMF programme
will remain important policy anchors.


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


RURAL HIPOTECARIO IX: Fitch Affirms 'CCsf' Rating on Cl. E Notes
----------------------------------------------------------------
Fitch Ratings has upgraded Rural Hipotecario IX's class A notes
and Rural Hipotecario XIV and XV's class B notes and affirmed the
remaining six classes as follow:

Rural Hipotecario IX, FTA
Class A2 (ES0374274019): upgraded to 'A+sf' from 'Asf'; Outlook
Stable
Class A3 (ES0374274027): upgraded to 'A+sf' from 'Asf'; Outlook
Stable
Class B (ES0374274035): affirmed at 'BBB+sf'; Outlook Stable
Class C (ES0374274043): affirmed at 'BBsf'; Outlook Stable
Class D (ES0374274050): affirmed at 'Bsf'; Outlook Stable
Class E (ES0374274068): affirmed at 'CCsf'; Recovery Estimate
(RE) 60%

Rural Hipotecario XIV, FTA
Class A (ES0374268003): affirmed at 'A+sf'; Outlook Stable
Class B (ES0374268011): upgraded to 'BBsf' from 'Bsf'; Outlook
Stable

Rural Hipotecario XV, FTA
Class A (ES0323977001): affirmed at 'A+sf'; Outlook Stable
Class B (ES0323977019): upgraded to 'BBsf' from 'CCCsf'; Outlook
Stable; RE revised to NC from 100%

The transactions comprise residential mortgage loans originated
and serviced by multiple rural saving banks in Spain, that form
part of the Rural Hipotecario RMBS series.

KEY RATING DRIVERS

Credit Enhancement (CE) Trends
The upgrade of Rural Hipotecario XIV and XV's class B notes is
mainly driven by the projected CE trend, which Fitch expects to
increase considering the strictly sequential pay down of the
notes together with the non-amortising reserve fund. Rural
Hipotecario IX is currently amortising the class A2 and B notes
on a pro rata basis, resulting in stable CE. Amortisation would
revert to sequential if performance triggers are not met.

The upgrade of Rural Hipotecario IX classes A2 and A3 notes is
driven by their ability to absorb the credit and cash flow
stresses commensurate with a 'A+sf' stress.

Rating Cap due to Counterparty Arrangement
Rural Hipotecario XIV and XV's class A notes' ratings are capped
at 'A+sf' as the account bank replacement trigger is set at
'BBB+'/'F2'. In line with Fitch's counterparty criteria, direct
support counterparties rated 'BBB+'/'F2' are eligible to support
note ratings up to the 'Asf' category.

Stable Asset Performance
The securitised mortgage portfolios have substantial seasoning of
approximately 12 years for Rural Hipotecario IX and eight years
for Rural Hipotecario XIV and XV. As such, the weighted average
current loan-to-value (LTV) ratios have dropped below 50%,
compared with the weighted average original LTV ratios between
67% and 73%.

Three-month plus arrears (excluding defaults) as a percentage of
the current pool balance are 1.2% for Rural Hipotecario IX and
0.2% for Rural Hipotecario XIV. The more mature Rural Hipotecario
IX transaction is showing some of the highest arrear levels
amongst the Rural Hipotecario series. Similarly, the trend of
gross cumulative defaults is weaker for Rural Hipotecario IX at
over 5% of the transaction initial balance, compared with 0.3%
for Rural Hipotecario XIV and Rural Hipotecario XV.

Portfolio Risky Attributes
Fitch has applied a 15% increase to the base foreclosure
frequency assumption for loans located in regions that represent
each more than 35% of the portfolio balance, such as Aragon with
a 76% exposure in Rural Hipotecario XIV. Additionally, the
portfolios include around 20% of loans to self-employed
borrowers, which are considered risky borrowers and are subject
to an increased foreclosure frequency of 60%.

Restructured Loan Exposure
Fitch has received additional data that shows loan maturity
extensions have taken place in the range between 2.5% (Rural
Hipotecario IX) and 0.2% (Rural Hipotecario XV) of the
outstanding collateral balance. In the absence of sufficient
payment history data for such loans, Fitch has added their
balance to the three months plus arrears bucket, which is linked
to a higher default probability assumption.

RATING SENSITIVITIES

The class A notes of Rural Hipotecario XIV and XV could be
upgraded to the maximum achievable rating for Spanish structured
finance transactions of 'AA+sf' if the account bank replacement
triggers were defined at 'A-' or 'F1' as specified in Fitch's
counterparty criteria, all else being equal.

A worsening of the Spanish macroeconomic environment, especially
employment conditions or an abrupt shift of interest rates could
jeopardise the underlying borrowers' affordability. This could
have negative rating implications, especially for junior tranches
that are less protected by structural CE.


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


GLOBALWORTH REAL: Moody's Rates EUR550MM Senior Unsec. Notes Ba2
----------------------------------------------------------------
Moody's Investors Service has assigned a Ba2 rating to the EUR550
million senior unsecured notes issued by Globalworth Real Estate
Investments Limited (Globalworth). The instrument rating assigned
to the senior unsecured notes is in line with Globalworth's long-
term Corporate Family Rating of Ba2. The outlook on all ratings
is stable.

The company intends to use the proceeds of the notes to refinance
the vast majority of its existing debt and for general corporate
purposes. The issue of the notes, which have a 5-year maturity,
allows Globalworth to extend its debt maturity profile, lower its
cost of debt and essentially removing interest rate risk due to
the fixed interest rate on the notes.

As per the terms of the prospectus, the notes rank pari passu
with all other existing and future unsecured obligations of the
issuer and benefit from a negative pledge. Globalworth's
financial covenants include maintaining a leverage ratio below
60%, a secured leverage ratio below 30%, and an interest coverage
ratio above 1.5x with a step-up to above 2.0x.

RATINGS RATIONALE

Globalworth's Ba2 CFR and stable outlook reflect (i) the high
quality of its Grade A office portfolio, (ii) its strong tenant
base made up mostly of multinationals and financial institutions,
(iii) a 6.5 year long weighted average lease maturity, (iv)
moderate leverage in terms of gross debt to total assets, as well
as a good liquidity and a high level of unencumbered assets, (v)
experienced management team and strategic investor (Growthpoint
Properties Limited, Baa3 negative).

Partly offsetting these strengths are (i) the concentration in
Bucharest's central business district area and in a small number
of properties, (ii) positive track record but limited in time
since the recent incorporation of the company in February 2013,
(iii) the willingness to grow into new markets that would improve
diversification but also introduce execution risks in the short
term.

Moody's expects continued good occupier demand for the company's
prime properties and good investor appetite for Romania's prime
commercial real estate to sustain the company's cash flows and
values. Romania (Baa3 stable) benefits from a strong
macroeconomic environment with economic growth above the EU
average in recent years. However, the market is not as mature as
in core Western European countries and is subject to more
volatility in a recession scenario that could affect property
values. Moody's note positively that the vast majority of the
leases are denominated in Euro and largely mitigate currency
risk.

The company achieved significant growth since its relatively
recent incorporation in 2013 through acquisitions and development
projects. The portfolio is more mature and stabilised, with a
high level of occupancy and a limited proportion of development
projects representing approximately 8% of portfolio value as
defined by the company as of December 31, 2016. Moody's expects
the company to continue its growth trajectory, possibly through
acquisitions in new markets in Central Europe. While Moody's see
an expansion in new markets as positive in terms of
diversification, it would also introduce execution risks due to
the absence of track record of operating in other countries or if
new acquisitions were to result in higher vacancies. A successful
expansion into new countries in line with the track record
achieved in Romania would improve, in Moody's views, the overall
credit standing of Globalworth.

Rating Outlook

The company is well positioned in the Ba2 rating. The stable
outlook reflects Moody's expectations that the company will
continue to generate stable cash flows from its existing
portfolio, and that commercial real estate and economy
fundamentals will remain strong in Romania. Moody's also expects
that any expansion in new countries will not lead to significant
increases in leverage because of the company's financial policy
of maintaining loan to value below 35%, and that the company will
maintain a high level of unencumbered assets.

FACTORS THAT COULD LEAD TO AN UPGRADE

* Maintain current low level of leverage, as measured by Moody's-
adjusted gross debt/assets

* Fixed charge cover above 2.5x on a sustained basis

* Further geographical diversification

* Successful expansion into new countries in line with the track
record achieved in Romania, leading to growth in rental income
and low vacancy

FACTORS THAT COULD LEAD TO A DOWNGRADE

* Effective leverage sustained above 45% as measured by Moody's-
adjusted gross debt/assets

* Fixed charge cover sustainably below 1.5x

* Weakening of liquidity

* Weakness in the Romanian economy impacting negatively property
values in Euro currency value equivalent

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was Global Rating
Methodology for REITs and Other Commercial Property Firms
published in July 2010.


NEWDAY FUNDING: Fitch Rates Series 2017-1 F Notes 'B(EXP)sf'
------------------------------------------------------------
Fitch Ratings has assigned NewDay Funding's series 2017-1 notes
expected ratings as follows:

Series 2017-1 A: 'AAA(EXP)sf'; Outlook Stable
Series 2017-1 B: 'AA(EXP)sf'; Outlook Stable
Series 2017-1 C: 'A(EXP)sf'; Outlook Stable
Series 2017-1 D: 'BBB(EXP)sf'; Outlook Stable
Series 2017-1 E: 'BB(EXP)sf'; Outlook Stable
Series 2017-1 F: 'B(EXP)sf'; Outlook Stable

Fitch has simultaneously upgraded the existing Class F notes by
one notch:

GBP15.3 million Series 2015-1 F: upgraded to 'B+sf' from 'Bsf';
Outlook Stable
GBP15.6 million Series 2015-2 F: upgraded to 'B+sf' from 'Bsf';
Outlook Stable
GBP13.8 million Series 2016-1 F: upgraded to 'B+sf' from 'Bsf';
Outlook Stable

Fitch has also simultaneously affirmed the other existing
tranches:

GBP147.3 million Series 2015-1 A: 'AAAsf'; Outlook Stable
GBP21.6 million Series 2015-1 B: 'AAsf'; Outlook Stable
GBP31.8 million Series 2015-1 C: 'Asf'; Outlook Stable
GBP44.1 million Series 2015-1 D: 'BBBsf'; Outlook Stable
GBP22.8 million Series 2015-1 E: 'BBsf'; Outlook Stable
GBP300 million Series 2015-VFN: 'BBBsf'; Outlook Stable

GBP146.7 million Series 2015-2 A: 'AAAsf'; Outlook Stable
GBP21.3 million Series 2015-2 B: 'AAsf'; Outlook Stable
GBP31.5 million Series 2015-2 C: 'Asf'; Outlook Stable
GBP44.1 million Series 2015-2 D: 'BBBsf'; Outlook Stable
GBP22.8 million Series 2015-2 E: 'BBsf'; Outlook Stable

GBP129.3 million Series 2016-1 A: 'AAAsf'; Outlook Stable
GBP18.8 million Series 2016-1 B: 'AAsf'; Outlook Stable
GBP27.8 million Series 2016-1 C: 'Asf'; Outlook Stable
GBP37.9 million Series 2016-1 D: 'BBBsf'; Outlook Stable
GBP20.1 million Series 2016-1 E: 'BBsf'; Outlook Stable

The upgrade of the existing class F notes is driven by a slight
reduction in the 'Bsf' category charge-off and yield stresses.
The stresses used can be found in the transaction Presale report.

KEY RATING DRIVERS

Non-Prime Asset Pool
The charge-off and payment rate performance of the portfolio
differs from that of other rated UK credit card trusts due to the
non-prime nature of the underlying assets. Fitch assumes a steady
state charge-off rate of 18%, with a stress on the lower end of
the spectrum (3.5x for 'AAAsf'), considering the high absolute
level of the steady state assumption and lower historical
volatility in charge-offs. Fitch applied a payment rate steady
state assumption of 10%, with a median level of stress (45% at
'AAAsf').

Changing Pool Composition
The portfolio consists of an open book and a closed book, which
have displayed different historical performance trends. Overall
pool performance is expected to migrate towards the performance
of the open book as the closed book amortises. This has been
incorporated into Fitch's steady state asset assumptions.

Variable Funding Notes Add Flexibility
In addition to Series 2015-VFN providing the funding flexibility
that is typical and necessary for credit card trusts, the
structure employs a separate Originator VFN, purchased and held
by NewDay Funding Transferor Ltd (the transferor). It provides
credit enhancement to the rated notes, adds protection against
dilution by way of a separate functional transferor interest, and
meets the risk retention requirements.

Key Counterparties Unrated
The NewDay Group will act in a number of capacities through its
various entities, most prominently as originator, servicer and
cash manager to the securitisation. In most other UK trusts,
these roles are fulfilled by large institutions with strong
credit profiles. The degree of reliance is mitigated in this
transaction by the transferability of operations, agreements with
established card service providers, a back-up cash management
agreement and a series-specific liquidity reserve.

Stable Asset Outlook
Fitch expects increases in unemployment and negative real wage
growth to reduce the repayment ability of borrowers over the
coming years. This will have a negative impact on trust
performance, as upticks in charge-offs and reduced payment rates
are likely. Fitch maintains its stable outlook on the sector, as
performance deterioration implied by slightly softening macro
expectations remains fully consistent with the steady-state
assumptions for UK credit card trusts (see Credit Card Index - UK
2Q17).

RATING SENSITIVITIES

Rating sensitivity to increased charge-off rate
Increase base case by 25% / 50% / 75%
Series 2017-1 A: 'AAsf' / 'A+sf' / 'A-sf'
Series 2017-1 B: 'A+sf' / 'A sf' / 'A-sf'
Series 2017-1 C: 'BBB+sf' / 'BBBsf' / 'BBB-sf'
Series 2017-1 D: 'BB+sf' / 'BB-sf' / 'B+sf'
Series 2017-1 E: 'B+sf' / NA/ NA
Series 2017-1 F: NA/ NA/ NA

Rating sensitivity to reduced MPR
Reduce base case by 15% / 25% / 35%
Series 2017-1 A: 'AAsf' / 'A+sf' / 'A-sf'
Series 2017-1 B: 'A+sf' / 'BBB+sf' / 'BBBsf'
Series 2017-1 C: 'BBB+sf' / 'BBBsf' / 'BBB-sf'
Series 2017-1 D: 'BB+sf' / 'BB+sf' / 'BBsf'
Series 2017-1 E: 'B+sf' / 'B+sf' / 'B+sf'
Series 2017-1 F: NA/ NA / NA

Rating sensitivity to reduced purchase rate (ie aggregate new
purchases divided by aggregate principal repayments in a given
month)
Reduce base case by 50% / 75% / 100%
Series 2016-1 D: 'BB+sf' / 'BB+sf' / 'BB+sf'
Series 2016-1 E: 'Bsf' / NA / NA
Series 2016-1 F: NA / NA / NA

No rating sensitivities are shown for class A to C, as Fitch is
already assuming a 100% purchase rate stress in these rating
scenarios.


SANDWELL COMMERCIAL NO.1: Fitch Ups Rating on Cl. D Notes to CCC
----------------------------------------------------------------
Fitch Ratings has upgraded Sandwell Commercial Finance No. 1
plc's (Sandwell 1) class C and D notes and Sandwell Commercial
Finance No. 2 plc's (Sandwell 2) class A and C notes and affirmed
the others, as follows:

Sandwell 1 FRNs due 2039:
GBP5.2 million class C (XS0191372522) upgraded to 'Asf' from
'BBBsf'; Outlook Stable
GBP10 million class D (XS0191373686) upgraded to 'CCCsf from
'CCsf''; Recovery Estimate (RE) revised to 95% from 65%
GBP5 million class E (XS0191373926) affirmed at 'Csf'; RE0%

Sandwell 2 FRNs due 2037:
GBP10.6 million class A (XS0229030126) upgraded to 'Asf' from
'BBBsf'; Outlook Stable
GBP12.6 million class B (XS0229030472) affirmed at 'BBsf';
Outlook Stable
GBP11.5 million class C (XS0229030712) upgraded to 'Bsf' from
'CCCsf'; Outlook Stable
GBP14.5 million class D (XS0229031017) affirmed at 'CCsf'; RE
revised to 20% from 0%
GBP9.4 million class E (XS0229031280) affirmed at 'Csf'; RE0%

The transactions are securitisations of commercial mortgage loans
originated in the UK by West Bromwich Building Society

KEY RATING DRIVERS
The upgrades reflect better-than-expected recoveries on loans
that have repaid or have been resolved over the last 12 months.
Sequential principal repayment has helped support a significant
increase in the senior notes' debt yield in both transactions to
in excess of 40%. The implied reduction in risk drives the senior
upgrades to 'Asf'. However, the generally secondary character of
the portfolios caps ratings on all bonds in this category.
General credit outperformance also drives the other positive
rating actions.

Over the last 12 months GBP2.3 million of loss has been added to
the Sandwell 1 class E principal deficiency ledger (now standing
at GBP2.7 million). Sandwell 2 has seen less allocation of loss
during the same period but pockets of property underperformance
on defaulted loans in the portfolio could signal risk of
obsolescence. The possibility that adverse loan selection (as the
portfolios shrink) exposes noteholders to a concentration of
weaker assets limits any improvement in credit quality for the
more junior notes, which remain distressed.

RATING SENSITIVITIES

Ratings on senior bonds will be capped in the 'Asf' category
owing to the high concentration in secondary quality assets.
Bonds rated 'CCCsf' or 'CCsf' face the prospect of downgrades
unless recoveries achieved continue to exceed Fitch's
expectations.



                            *********

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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

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