TCREUR_Public/170719.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, July 19, 2017, Vol. 18, No. 142



STATE OIL: S&P Places 'BB' Long-Term CCR on CreditWatch Negative


CROATIA: Fitch Affirms 'BB' Long-Term IDR, Outlook Stable


TECHEM GMBH: Moody's Rates Proposed EUR1.6BB Sr. Loan B (P)Ba3


CELF LOAN IV: S&P Raises Rating on Class E Notes to BB
EUROCREDIT CDO VII: Moody's Raises Rating on Cl. E Notes from Ba3
HALCYON LOAN 2017-1: Moody's Assigns B2(sf) Rating to Cl. F Notes
HALCYON LOAN 2017-1: S&P Assigns 'B-' Rating to Class F Notes
RIVOLI PAN 1: S&P Cuts Rating on Class B Notes to 'CCC+'


BANCA CARIGE: Moody's Raises Long-Term Deposit Rating to B3
ELROND NPL 2017: Moody's Assigns B1(sf) Rating to Class B Notes
MODA 2014: Fitch Hikes Rating on Class E Notes to 'BBsf'


SWISSPORT GROUP: S&P Maintains 'B' LT Corporate Credit Ratings


AI ALABAMA: S&P Affirms 'B' CCR, Revises Outlook to Stable
BARINGS 2017-1: Fitch Assigns B- Rating to EUR14.1MM Cl. F Notes
CIMPRESS NV: S&P Rates 2022 Sr. Sec. Revolver & Term Loan A BB+


SISTEMA: Suffers Technical Default on RUR3.9-Bil. Debt


ODEABANK AS: Moody's Assigns Ba3 LT Deposit Rating, Outlook Neg.
ODEABANK AS: Fitch Assigns BB- Long-Term IDR, Outlook Stable

U N I T E D   K I N G D O M

BLUR GROUP: Hires David Rowe as Chairman to Avert Collapse
CARILLION PLC: Secures HS 2 Railway Contract Amid Financial Woes
CO-OP BANK: Brings in Tom Wood as Chief Restructuring Officer
HEBRIDEAN SEA: Wilson Field Appointed as Interim Liquidator
RAC BOND: S&P Assigns 'B (sf)' Rating to Class B1-Dfrd Notes

SANDWELL NO.1: S&P Affirms CCC- Rating on Class E Notes
SANTANDER ASSET: S&P Keeps 'BB/B' Ratings on Watch Positive



STATE OIL: S&P Places 'BB' Long-Term CCR on CreditWatch Negative
S&P Global Ratings placed its 'BB' long-term corporate credit
rating on 100% government-controlled State Oil Company of
Azerbaijan Republic (SOCAR) on CreditWatch with negative

The CreditWatch placement reflects uncertainty about whether
support from the Azerbaijani government would offset potentially
significant deterioration in SOCAR's stand-alone performance, if
2016 performance trends are not reversed sufficiently quickly.

S&P said, "We see risk of potentially significant deterioration
in SOCAR's stand-alone credit profile (SACP), which we currently
assess at 'b+'. We see potential risks stemming from the lack of
visibility on the company's financial policy and management
practices with regards to capital expenditures (capex), liquidity
management, and sizeable trading operations.

"Our current 'BB' rating on SOCAR is underpinned by our
expectation of an extremely high likelihood of government
support. Although we continue to view SOCAR as a critically
important entity for the hydrocarbon-focused economy of
Azerbaijan Republic, we will need to assess how the government
controls the company's consolidated financial position, capex,
and risk-management practices, including at SOCAR's subsidiaries
outside of Azerbaijan. We will also seek clarity on which support
mechanisms could be used by the government to support SOCAR's
investments and, if needed, liquidity.

"We will need to evaluate the government's incentives to support
the company's expanding activities that are not directly related
to oil and gas production in Azerbaijan, such as trading or
constructing chemical and refinery operations in Turkey. Also, we
note that International Bank of Azerbaijan (IBA), which is
responsible for about 40% of Azerbaijan's banking system,
announced debt restructuring in May 2017. Although we understand
that SOCAR's cash with IBA has not been subject to restructuring,
we will monitor whether the government would cover any losses,
should they emerge. More generally, we will need to evaluate
whether this indicates any change in Azerbaijan government's
policy to support other government-related entities (GREs) and in
particular SOCAR."

"SOCAR's 2016 financial results were weaker than we expected,
with adjusted funds from operations (FFO) to debt of only 10.5%.
Adjusted debt has increased to Azerbaijani manat (AZN)18.4
billion ($10.4 billion) from AZN12.8 billion, largely because of
strongly negative free operating cash flow (FOCF). Only AZN0.9
billion out of AZN4.5 billion total capex were covered with
equity funding from the state, and operating cash flow was
negligible because of a massive AZN2.0 billion working capital
outlay, which we understand is related to trading activities. We
continue to view SOCAR's put option on the shares of its Turkish
subsidiary Steas (AZN2.8 billion) and the long-term advance for
the deferred sale of stakes in its key strategic projects Shah
Deniz and related pipelines (AZN2.9 billion) as debt-like,
because effectively SOCAR has accelerated monetization of its
assets in lieu of borrowings, and will have to transfer its most
strategic assets to another GRE, Southern Gas Corridor, in 2023,
which effectively puts it ahead of SOCAR's 2030 Eurobond. We
understand that the AZN1.1 billion in cash held by SOCAR with the
defaulted International Bank of Azerbaijan (IBA) at year-end 2016
has not been subject to debt restructuring, and according to
management, remains available to fund capex or operating
expenditures (opex). Nevertheless, we view the company as
fundamentally exposed to the risks of Azerbaijan's weak financial
system, as well as to other risks related to operating in the
country, including low domestic prices and currency fluctuations.

"We see significant uncertainty regarding SOCAR's prospective
financial metrics, and will seek more clarity on the company's
investment plans, expected funding from the state, and potential
cash inflows from new projects once they are completed.

"We understand that SOCAR is involved in several large strategic
projects that are scheduled to be completed in 2018-2020, but
there is substantial uncertainty about the company's exact
contribution to those projects and the extent to which they are
going to be offset by equity funding from the state. The key
project is Shah Deniz, a large internationally led gas project in
Azerbaijan that is undergoing massive expansion to increase
production by 16 billion cubic meters per year from about 9
billion cubic meters now, and to construct pipelines to bring new
gas volumes to Turkey and Southern Europe in 2018-2020. We
understand that the government views this project as highly
strategic for the country and is committed to funding a large
part of related capex. On top of these already sizeable capex,
SOCAR makes substantial investments in a carbamide plant and
refinery, and is acquiring a methanol plant for AZN810 million.
We believe those projects may be less strategic for the country,
and are going to be funded at the corporate level.

"In addition, we note that SOCAR has large and expanding trading
operations, and we would like to clarify their contribution to
EBITDA and working capital build-up, and their risk-management
practices. We understand that out of the AZN6.7 billion
consolidated short-term debt reported at year-end by SOCAR, about
AZN3.0 billion was related to trading."

SOCAR is a midsize, vertically integrated hydrocarbon company
that owns legacy oil and gas production, refining and marketing
assets in Azerbaijan, minority stakes in Azerbaijan's largest
internationally led production sharing agreement projects Azeri-
Chirag-Deepwater Gunashli and Shah Deniz, refineries in
Azerbaijan, and a petrochemical plant in Turkey.

S&P said, "We expect to resolve CreditWatch within the next 90
days, following reassessment of SOCAR's relationships with the
government, the government's plans to support the company, and
its stand-alone credit quality. Depending on our assessment of
the likelihood of support, we could affirm the rating or lower it
by one notch. We could also lower the rating by two notches, if
we considered that the likelihood of support had weakened and we
revised downward our assessment of SOCAR's SACP by two notches to

"On the stand-alone level, we would evaluate the company's capex
plans, expected equity contributions from the state, and the
impact of increased trading operations. We will also seek more
information on the company's financial policy, risk management,
and governance. We could revise the SACP downward, likely by one
to two notches, if adjusted FFO to debt is below 12%, in case of
material liquidity pressures, or observed weaknesses in risk


CROATIA: Fitch Affirms 'BB' Long-Term IDR, Outlook Stable
Fitch Ratings has affirmed Croatia's Long-Term Foreign- and
Local-Currency Issuer Default Ratings (IDR) at 'BB' with a Stable
Outlook. The issue ratings on Croatia'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 the senior unsecured short-
term bonds have also been affirmed at 'B'. The Country Ceiling
has been affirmed at 'BBB-'.


Croatia's 'BB' IDRs reflect the following key rating drivers:

The Croatian economy is benefiting from favourable cyclical
conditions. Strengthening growth in regional trading partners,
favourable wage and employment dynamics, robust tourism receipts
and improved absorption of EU funds, resulted in real GDP growth
rising to 3% in 2016 (the fastest since 2007), and are likely to
support performance in 2017. However, economic performance will
be affected by the restructuring of the country's largest private
company, Agrokor. Agrokor was placed into state administration in
April and had debt of around 12% of GDP at end-1Q17. Fitch
expects the Agrokor fallout will extend to the company's
suppliers and banks and that it will impact employment,
investment and credit growth, and cause real GDP growth to slow
to 2.6% in 2017 in the event of an orderly restructuring. A
further slowdown is projected for 2018.

Potential growth remains weak relative to peers, at 1%-2%, due to
adverse demographics, structural rigidities, on-going external
deleveraging and low investment during the 2009-2014 recession.
Growth volatility is higher than 'BB' peers, as is unemployment,
which was 13.1% at end-2016.

Public finances have improved, leading to the lifting of the
Excessive Deficit Procedure by the EU in June. After a sharp
narrowing in the budget deficit in 2016 to 0.8% of GDP, the
deficit is forecast to widen to an estimated 1.4% of GDP in 2017
as revenues are affected by recent tax reform and the 2016
spending freeze ends. Fitch anticipates moderate deficits to 2019
as the authorities stick to their medium-term target of a
structural deficit of 1.75% of GDP in line with the EU Growth and
Stability Pact, commensurate with a primary surplus.

Primary surpluses will keep debt/GDP on a downward trend.
Nonetheless, at a forecast 82.5% of GDP at end-2017 it will
remain well above the 'BB' median of 49.5%. Materialisation of
contingent liabilities, including from arrears in the healthcare
sector or adverse litigations, poses a risk, as do exchange rate
fluctuations, given that 76.5% of public debt was foreign-
currency denominated at end-2016. Refinancing needs are high,
exceeding 15% of GDP in 2017.

Net external debt is high, at a projected 32.4% of GDP at end-
2017, compared with a 'BB' median of 19.3% of GDP, and the
external debt service ratio is nearly 3x the peer median. Risks
are mitigated by the strength of the peg to the euro, supported
by strong reserves. Fitch projects a decline of external
indebtedness over the forecast horizon as robust tourism revenues
support continued current account surpluses.

The banking sector's strong capitalisation (the capital adequacy
ratio was 22.5% at-end 2016), high liquidity and net external
creditor position will help absorb spillover effects from
Agrokor. However, the restructuring will likely put an end to the
recent downward trend in NPLs and could reverse the uptick in new
lending after years of domestic deleveraging. Fitch expects
monetary policy to be accommodative as inflation remains moderate
(1.1% yoy at May 2017), which could help stimulate credit.

There is uncertainty over the longevity of the current ruling
coalition. Following the fall of a coalition government in April,
the dominant party of the coalition, the HDZ, avoided early
legislative elections by forming a new coalition with the
centrist HNS in June. However, the coalition's majority is only
two and tensions could arise on some key legislative bills.
Fitch's baseline scenario is that of economic policy continuity,
but the fragility of the government and the risk of early
elections may slow down the pace of structural reforms.

Croatia's structural features compare very favourably with 'BB'
medians. GDP per capita is more than twice the median; governance
indicators, human development index and doing business indicators
are also stronger than peers, reflecting the membership in the

Fitch's proprietary SRM assigns Croatia a score equivalent to a
rating of 'BBB' 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 growth potential and potential
   spillovers from the Agrokor restructuring on the economy and
   the banking sector
- Public Finances: -1 notch, to reflect non linearity of public
   debt at high levels not captured in the SRM and the high
   related refinancing needs
- External Finances: -1 notch, to reflect the high net external
   debt (which is not captured in the SRM)

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 criteria that are not fully quantifiable and/or not fully
reflected in the SRM.


The main factors that, individually or collectively, could
trigger positive rating action are:
- Continued reduction in net external debt
- Continued fiscal consolidation ensuring a material and
   sustained reduction in the public debt ratio
- Strengthening of growth prospects and competitiveness,
   including through the implementation of structural reforms

The main factors that, individually or collectively, could
trigger negative rating action are:
- Deterioration in growth prospects
- A reversal of fiscal consolidation leading to unfavourable
   public debt dynamics


Fitch assumes that world growth will reach 2.9% in 2017 and 3.1%
in 2018, and that the eurozone will grow by 2% in 2017 and 1.8%
in 2018.

Fitch expects Croatia's track record of monetary and exchange
rate policy stability to continue, minimising the risk of
household, corporate and government balance sheets, all of which
are heavily euroised.


TECHEM GMBH: Moody's Rates Proposed EUR1.6BB Sr. Loan B (P)Ba3
Moody's Investors Service has assigned provisional (P)Ba3 ratings
to the proposed EUR1.6 billion senior secured Term Loan B (TLB)
and the EUR150 million senior secured Revolving Credit Facility
(RCF) raised by Techem GmbH, a fully owned subsidiary of German
sub-metering and energy management services provider Techem
Energy Metering Service GmbH & Co. KG. Concurrently, Moody's has
affirmed the group's corporate family rating (CFR) of Ba3 and the
probability of default rating (PDR) of Ba3-PD. The outlook on all
ratings remains 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, as well as the final terms of
the transaction, Moody's will endeavour to assign definitive
ratings to the new contemplated notes. A definitive rating may
differ from a provisional rating.


"The ratings affirmation reflects the company's proposed issuance
of a EUR1.6 billion Term Loan, which will refinance existing debt
instruments and will also finance a special dividend to the
shareholder and thus re-lever the company." says Matthias Heck, a
Moody's Vice President -- Senior Analyst and Lead Analyst for
Techem. "The transaction will re-lever Techem towards the high
end of Moody's expectations for Techem's Ba3 rating in 2017/18,
but Moody's take comfort from the expected operating performance
that will gradually de-lever the company going forward", added
Mr. Heck.

Techem continued to grow revenues, margins and operating profits
in FY2017 (ended on March 31st). Revenues grew by 5.1% to
EUR782.7 million, the company adjusted EBITDA grew by 16.9% to
EUR319.9 million, implying an adjusted EBITDA margin of 41%,
after 37% in FY2016. The growth was primarily driven by
international expansion (especially in Italy), efficiency
improvements and scale effects. Excluding one-off effects of
EUR35.9 million (essentially for restructuring and efficiency
improvements), the company reported EBITDA grew by 20.7% to
EUR284.0 million.

Considering Moody's adjustments, Moody's estimates that gross
debt / EBITDA declined to around 4.4x in FY2017. Pro forma of the
refinancing, Moody's expects gross leverage to increase to around
5.1x. For FY2018 and beyond, Moody's expects further earnings
improvements, albeit at a lower growth rate in the mid-single
digits in percentage terms. This should gradually de-lever the
company to approximately 5.0x as of FY2018. This is the high end
Moody's tolerate for Techem's Ba3 rating and therefore positions
Techem initially weakly in its rating category. From FY2019
onwards, Moody's expects Techem to be comfortably positioned
within Moody's expected range of 4.0-5.0x for Techem's Ba3

The transaction will simplify Techem's funding structure into
just one debt class, removing the existing senior and junior debt
instruments. Moody's understand that the new TLB will rank pari
passu with the RCF and trade payables, with subordinated lease
rejection claims and pension liabilities providing very little
uplift to senior debt instruments. As a result, instrument rating
of the new Term Loans is aligned with the corporate family


The stable outlook reflects the expectation that Techem will
continue to grow its revenue and profits in a stable supportive
regulatory environment in Germany and Europe, whilst at least
maintaining its current profitability and leverage metrics,
including a Moody's-adjusted debt/EBITDA ratio within a range of
4.0-5.0x. Moreover, Moody's expects the group to adhere to a
thoughtful financial policy, as shown by no excessive dividend
payments that would lead to materially deteriorating free cash
flow generation and/or a weakening of its sound liquidity
profile. The stable outlook also assumes no material change in
the group's financial policy following the potential sale to a
new owner.


Due to the proposed re-leveraging, an upgrade of Techem's ratings
is unlikely in the short-to medium term. An upgrade would require
(1) visibility that profit margins can be sustained at or above
current levels, (2) leverage to decline towards 4x Moody's-
adjusted gross debt/EBITDA, (3) interest coverage to improve to
at least 3x Moody's-adjusted EBITA/interest expense, (4) positive
free cash flows (Moody's adjusted) on a sustainable basis, and
(5) a track record of a prudent financial policy, evidenced by
available cash flow being applied to debt reduction besides
balanced shareholder distributions.

Downward pressure on Techem's ratings would build, if (1)
profitability were to deteriorate, exemplified by Moody's-
adjusted EBITA margins falling below 26%, (2) leverage exceeded
5x Moody's-adjusted gross debt/EBITDA, (3) interest coverage
reduced to below 2x EBITA/interest expense, and (4) Moody's
financial policy assessment were to weaken, for instance
following a material re-leveraging as a result of more excessive
shareholder distributions.


The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016.

Headquartered in Eschborn, Germany, Techem is a leading provider
of energy services operating through two divisions: Energy
Services (accounting for 89% of group sales in FY2017) and Energy
Contracting (11%). Energy Services provides sub-metering services
of measuring heating use and water consumption of individual
housing units and supplementary services such as smoke detector
installation and maintenance and legionella analysis in drinking
water. Energy Contracting offers a holistic management of
clients' energy consumption through the planning, financing,
construction and operation of heat stations, boilers, cooling
equipment and combined heating and power units. In FY2017, Techem
reported total revenues of EUR783 million of which 74% were
generated in Germany. Techem has been owned by funds advised by
the Macquarie Group since 2007.


CELF LOAN IV: S&P Raises Rating on Class E Notes to BB
S&P Global Ratings raised its credit ratings on CELF Loan
Partners IV PLC's class B, C, D, and E notes.

July 14's upgrades follow S&P's assessment of the transaction's
performance using data from the May 30, 2017 payment date report.

CELF Loan Partners IV's notes have been amortizing since the end
of its reinvestment period in May 2014. Since our Feb. 22, 2016
review, the aggregate collateral balance has decreased by
approximately 63.0% to EUR130.45 million from EUR350.29 million
(see "Ratings Raised On CELF Loan Partners IV's Cash Flow CLO
Notes Due To Increased Credit Enhancement").

S&P said, "We subjected the capital structure to a cash flow
analysis to determine the break-even default rate (BDR) for each
rated class at each rating level. The BDR represents our estimate
of the maximum level of gross defaults, based on our stress
assumptions, that a tranche can withstand and still fully repay
the noteholders. In our analysis, we used the portfolio balance
that we consider to be performing (EUR124,995,604), the current
weighted-average spread (3.50%), the principal cash balance
(EUR5,456,084), and the weighted-average recovery rates
calculated in line with our corporate collateralized debt
obligations (CDOs) criteria (see "Global Methodologies And
Assumptions For Corporate Cash Flow And Synthetic CDOs,"
published on Aug. 8, 2016). We applied various cash flow
stresses, using our standard default patterns, in conjunction
with different interest rate and currency stress scenarios."

The available credit enhancement has increased for all of the
rated notes due to the transaction's structural deleveraging post
its reinvestment period. The class A-1 and A-2 notes have fully
repaid since our previous review, while the class B notes, which
are the senior notes now, currently have a note factor of 39.9%.
The increased credit enhancement is the main rating driver for
the upgrades.

"The weighted-average spread earned on the assets has decreased
to 350 basis points (bps) from 384 bps since our previous review.
Over the same period, the number of distinct obligors in the
portfolio has considerably reduced to 33 from 79 due to asset
repayments. The top 10 largest obligors account for 54.2% of the

"The notional balance of assets rated in the 'CCC' category
('CCC+', 'CCC', or 'CCC-') has decreased since our previous
review, while assets that we consider to be defaulted (assets
rated 'CC', 'C', 'SD' [selective default], and 'D') have remained
stable. The portfolio's average credit quality has remained
stable, with an average rating of 'B', while its weighted-average
life has reduced to 4.18 years from 4.91 years over the same
period. The par coverage tests comply with the documented
required triggers.

The portfolio contains non-euro-denominated assets, which make up
18.14% of the performing portfolio. The class A-1 variable
funding notes, which were drawn in euro, U.S. dollars, and
British pound sterling to fund these notes, created a natural
hedge, but have now repaid, resulting in a currency mismatch
between the non-euro-denominated assets and euro-denominated
liabilities. We have evaluated this currency risk through the
application of our relevant criteria.

S&P said, "The increased available credit enhancement for all of
the rated classes of notes has resulted in each class achieving
higher ratings in our cash flow analysis. Our cash flow analysis
indicates that these classes of notes are able to sustain
defaults at higher rating levels than those currently assigned.
We have therefore raised our ratings on the class B, C, D, and E

CELF Loan Partners IV is a cash flow collateralized loan
obligation (CLO) transaction that securitizes loans granted to
primarily speculative-grade corporate firms. The transaction
closed in May 2007 and entered the end of its reinvestment period
in May 2014. CELF Advisors LLP manages the transaction.


  Class               Rating
                To             From

  CELF Loan Partners IV PLC
  EUR600 Million Secured Floating-Rate Notes

  Ratings Raised

  B             AAA (sf)       AA (sf)
  C             AAA (sf)       A+ (sf)
  D             A+ (sf)        BB+ (sf)
  E             BB (sf)        B+ (sf)

EUROCREDIT CDO VII: Moody's Raises Rating on Cl. E Notes from Ba3
Moody's Investors Service has upgraded the ratings of the
following notes issued by Eurocredit CDO VII PLC:

-- EUR31.2M (Current outstanding balance of EUR19.03M) Class C
    Senior Secured Deferrable Floating Rate Notes due 2023,
    Upgraded to Aaa (sf); previously on Nov 12, 2015 Upgraded to
    Aa1 (sf)

-- EUR29.1M Class D Senior Secured Deferrable Floating Rate
    Notes due 2023, Upgraded to Aa3 (sf); previously on Nov 12,
    2015 Affirmed Ba1 (sf)

-- EUR19.8M (Current outstanding balance of EUR7.52M) Class E
    Senior Secured Deferrable Floating Rate Notes due 2023,
    Upgraded to Baa3 (sf); previously on Nov 12, 2015 Affirmed
    Ba3 (sf)

-- EUR15M (Current rated balance EUR6.55M) Class R Combination
    Notes due 2023, Upgraded to Aa1 (sf); previously on Nov 12,
    2015 Affirmed A2 (sf)

Eurocredit CDO VII PLC, issued in April 2007, is a Collateralised
Loan Obligation ("CLO") backed by a portfolio of mostly high
yield European loans, managed by Intermediate Capital Managers
Limited. This transaction's reinvestment period ended in April


The rating actions on the notes are primarily the result of
significant deleveraging of the senior notes following
amortization of the underlying portfolio over the past twelve
months. In aggregate, on the last two payment dates in October
2016 and April 2017, the outstanding balances of EUR3.00M of the
Revolving Loan Facility, EUR6.16M of Class A Notes and EUR38.3M
of Class B Notes were fully repaid, and the remaining balance of
principal proceeds were used to begin amortization of the Class C
notes. The Class C Notes have been reduced to 61% 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 C,
Class D and Class E OC ratios are reported at 359.31%, 142.07%,
and 122.86% compared to May 2016 levels of 159.16%, 116.06% and
108.46% respectively.

The rating of the combination notes address the repayment of the
rated balance on or before the legal final maturity. For Combo R
Notes, the rated balance at any time is equal to the principal
amount of the combination note on the issue date times a rated
coupon of 1.50% per annum accrued on the rated balance on the
preceding payment date, minus the sum of all payments made from
the issue date to such date, of either interest or principal. The
rated balance will not necessarily correspond to the outstanding
notional amount reported by the trustee.

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 EUR68.53M,
defaulted par of EUR1.87M, a weighted average default probability
of 18.41% over a 3.54 years weighted average life (consistent
with a WARF of 2916), a weighted average recovery rate upon
default of 43.34% for a Aaa liability target rating, a diversity
score of 11 and a weighted average spread of 3.85%.

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

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

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 Class C, and within one notch 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
note, in light of uncertainty about credit conditions in the
general economy. CLO notes' performance may also be impacted
either positively or negatively by 1) the manager's investment
strategy and behavior and 2) divergence in the legal
interpretation of CDO documentation by different transactional
parties because of embedded ambiguities.

Additional uncertainty about performance is due to 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 14.70% 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

* 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.

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

HALCYON LOAN 2017-1: Moody's Assigns B2(sf) Rating to Cl. F Notes
Moody's Investors Service announced that it has assigned the
following definitive ratings to notes issued by Halcyon Loan
Advisors European Funding 2017-1 Designated Activity Company:

-- EUR190,000,000 Class A Senior Secured Floating Rate Notes due
    2030, Definitive Rating Assigned Aaa (sf)

-- EUR34,000,000 Class B-1 Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aa2 (sf)

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

-- EUR22,500,000 Class C Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned A2 (sf)

-- EUR16,500,000 Class D Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned Baa2 (sf)

-- EUR18,200,000 Class E Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned Ba2 (sf)

-- EUR9,500,000 Class F Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned B2 (sf)


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, Halcyon Loan
Advisors (UK) LLP ("Halcyon"), has sufficient experience and
operational capacity and is capable of managing this CLO.

Halcyon Loan Advisors European Funding 2017-1 Designated Activity
Company is a managed cash flow CLO. At least 90% of the portfolio
must consist of senior secured obligations and up to 10% of the
portfolio may consist of senior unsecured obligations, second-
lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 65% 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.

Halcyon 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 obligations or credit improved obligations, and are subject
to certain restrictions.

In addition to the seven classes of notes rated by Moody's, the
Issuer issued EUR37,200,000 of subordinated notes which will not
be rated.

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

Factors that would lead to an upgrade or downgrade of the

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

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 modelling assumptions:

Par Amount: EUR325,000,000

Diversity Score: 40

Weighted Average Rating Factor (WARF): 2775

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4.75%

Weighted Average Recovery Rate (WARR): 43.5%

Weighted Average Life (WAL): 8 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 A1 or below cannot exceed 10%, with
exposures to countries local currency country risk ceiling rating
of Baa1 to Baa3 further limited to 5%. 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. As a worst case scenario, a maximum 5% of the
pool would be domiciled in countries with LCC of A3 and 5% in
countries with LCC of Baa3. 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 with
different target par amounts depending on the target rating of
each class of notes as further described in the methodology. The
portfolio haircuts are a function of the exposure size to
countries with a LCC of A1 or below and the target ratings of the
rated notes and amount to 0.75% for the Class A Notes, 0.50% for
the Class B Notes, 0.375% for the Class C Notes and 0% for
Classes D, E and F Notes.

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 3191 from 2775)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: 0

Class B-1 Senior Secured Floating Rate Notes: -1

Class B-2 Senior Secured Fixed 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: -1

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-1 Senior Secured Floating Rate Notes: -3

Class B-2 Senior Secured Fixed Rate Notes: -3

Class C Senior Secured Deferrable Floating Rate Notes: -4

Class D Senior Secured Deferrable Floating Rate Notes: -2

Class E Senior Secured Deferrable Floating Rate Notes: -1

Class F Senior Secured Deferrable Floating Rate Notes: -1

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

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.

HALCYON LOAN 2017-1: S&P Assigns 'B-' Rating to Class F Notes
S&P Global Ratings assigned credit ratings to Halcyon Loan
Advisors European Funding 2017-1 DAC's (Halcyon 2017-1) class A,
B-1, B-2, C, D, E, and F notes. At closing, Halcyon 2017-1 also
issued an unrated subordinated class of notes.

The ratings assigned to Halcyon 2017-1's notes reflect S&P's
assessment of:

-- The diversified collateral pool, which consists primarily of
    broadly syndicated speculative-grade senior secured term
    loans and bonds that are governed by collateral quality
-- The credit enhancement provided through the subordination of
    cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect
    the performance of the rated notes through collateral
    selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is bankruptcy

Under the transaction documents, the rated notes pay quarterly
interest unless there is a frequency switch event. Following
this, the notes would permanently switch to semiannual payment.
The portfolio's reinvestment period will end approximately four
years after closing.

S&P said, "Our ratings reflect our assessment of the collateral
portfolio's credit quality, which has a weighted-average 'B'
rating. We consider that the portfolio at closing is well-
diversified, primarily comprising broadly syndicated speculative-
grade senior secured term loans and senior secured bonds.
Therefore, we have conducted our credit and cash flow analysis by
applying our criteria for corporate cash flow collateralized debt
obligations (see "Global Methodologies And Assumptions For
Corporate Cash Flow And Synthetic CDOs," published on Aug. 8,

"In our cash flow analysis, we used the EUR325 million target par
amount, the covenanted weighted-average spread (3.70%), the
covenanted weighted-average coupon (4.75%) (where applicable),
and the target minimum weighted-average recovery rates at each
rating level as indicated by the manager. We applied various cash
flow stress scenarios, using four different default patterns, in
conjunction with different interest rate stress scenarios for
each liability rating category.

"Elavon Financial Services DAC is the bank account provider and
custodian. At closing, the documented downgrade remedies are in
line with our current counterparty criteria (see "Counterparty
Risk Framework Methodology And Assumptions," published on June
25, 2013).

"Following the application of our structured finance ratings
above the sovereign criteria, we consider that the transaction's
exposure to country risk is sufficiently mitigated at the
assigned rating levels (see "Ratings Above The Sovereign -
Structured Finance: Methodology And Assumptions," published on
Aug. 8, 2016). This is because the concentration of the pool
comprising assets in countries rated lower than 'A-' is limited
to 10% of the aggregate collateral balance.

"We consider that the issuer is bankruptcy remote, in accordance
with our legal criteria (see "Structured Finance: Asset Isolation
And Special-Purpose Entity Methodology," published on March 29,

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our ratings are
commensurate with the available credit enhancement for each class
of notes."


Ratings Assigned

Halcyon Loan Advisors European Funding 2017-1 DAC
EUR337.90 Million Senior Secured Fixed- And Floating-Rate Notes
(Including EUR37.2 Million Unrated Notes)

  Class               Rating           Amount
                                     (mil. EUR)

  A                   AAA (sf)         190.00
  B-1                 AA (sf)           34.00
  B-2                 AA (sf)           10.00
  C                   A (sf)            22.50
  D                   BBB (sf)          16.50
  E                   BB (sf)           18.20
  F                   B- (sf)            9.50
  Sub                 NR                37.20

  Sub--Subordinated loan.
  NR--Not rated.

RIVOLI PAN 1: S&P Cuts Rating on Class B Notes to 'CCC+'
S&P Global ratings lowered to 'CCC+ (sf)' from 'BB- (sf)' its
credit rating on RIVOLI Pan Europe 1 PLC's class B notes. At the
same time, S&P has affirmed its 'CCC- (sf)' rating on the class C

S&P said, "The rating actions follow our review of the underlying
loan's credit quality by applying our criteria for rating
European commercial mortgage-backed securities (CMBS)
transactions (see "European CMBS Methodology And Assumptions,"
published on Nov. 7, 2012)."

The transaction is now backed by one loan secured by one office
property located in France.


The securitized loan has an outstanding balance of EUR59.1
million, which represents a 50% pari passu piece of a whole loan.
The other 50% pari passu piece does not form part of this

The loan is secured by a single office property located in
Nanterre, near La Defense (France), which is currently unoccupied
following the lease termination of the sole tenant, La Societe
Francais du Radiotelephone (SFR), in January 2016. As part of the
lease termination agreement the borrower received an allowance of
EUR38.1 million, equivalent to the rent payable to August 2018.

The whole loan failed to repay on its scheduled maturity date in
July 2012 and is now in special servicing. As part of an amended
safeguard plan that was agreed between the parties in December
2016, the loan maturity date had been extended to April 2018. We
understand that the special servicer continues to work closely
with the relevant stakeholders on a work-out strategy, which by
way of planning consent granted in January 2016, includes the
potential redevelopment of the property to a new 80,000 square
meter office campus development.

The property is valued at EUR102.6 million, based on a June 2015
valuation. This reflects a whole loan-to-value of 115%.

S&P has assumed principal losses on the loan in its 'B' rating
stress scenario.


S&P said, "Our ratings on RIVOLI Pan Europe 1's notes address
timely payment of interest and repayment of principal not later
than the August 2018 legal final maturity date.

"Our analysis indicates that the available credit enhancement for
the class B notes is not sufficient to mitigate the risk of
principal losses from the underlying loans in a 'B' stress
scenario. We also believe that this class of notes has become
more vulnerable to timing risk relating to the repayment of
principal no later than the legal final maturity date. In our
opinion, the class B notes face at least a one-in-two likelihood
of default at the legal maturity date. Therefore, we have lowered
to 'CCC+ (sf)' from 'BB- (sf)' our rating on the class B notes in
line with our criteria for assigning 'CCC' category ratings (see
"Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings,"
published on Oct. 1, 2012).

"In our opinion, the repayment of the class C notes remains
dependent on favorable economic conditions. They face at least a
one-in-two likelihood of default. Therefore, we have affirmed our
'CCC- (sf)' rating on the class C notes, in line with our
criteria for assigning 'CCC' category ratings."

RIVOLI Pan Europe 1 is a true sale transaction that closed in
December 2006 and was initially backed by a pool of five loans
secured against 24 commercial properties in Spain, France, and
The Netherlands. Four loans have repaid since closing and the
outstanding note balance has reduced to EUR59.1 million from
EUR479.8 million at closing.


RIVOLI Pan Europe 1 PLC
EUR479.8 mil commercial mortgage-backed floating-rate notes
Class         Identifier             To                From
B             XS0278739874           CCC+ (sf)         BB- (sf)
C             XS0278741771           CCC- (sf)         CCC- (sf)


BANCA CARIGE: Moody's Raises Long-Term Deposit Rating to B3
Moody's Investors Service has upgraded Banca Carige S.p.A.'s
(Carige) long-term deposit rating to B3 from Caa1, its long-term
counterparty risk assessment to B3(cr) from Caa1(cr) and affirmed
its issuer rating at Caa2. Moody's other ratings on Carige are
unaffected by this rating action. The outlooks on the long-term
deposit and issuer ratings remain developing.


The rating action reflects (i) Moody's view that government
support for Carige's deposit and senior unsecured debt is now
more probable than before, resulting in a one-notch uplift to the
long-term deposit and issuer ratings; and (ii) higher loss-given-
failure for senior debt, reflected in a corresponding reduction
in uplift for the issuer rating of one notch, down from two
notches previously.

Moody's revised view that there is now a moderate likelihood of
government support for Carige's deposits and senior unsecured
debt is driven by the recent bailouts of three Italian banks
(Banca Popolare di Vicenza S.p.A., Veneto Banca S.p.A. and Banca
Monte dei Paschi di Siena S.p.A.). While Moody's remains doubtful
that such bailouts will become the norm, these actions suggest
that the Italian government would face fewer constraints to
providing support to Carige, which bears many similarities to
Veneto Banca S.p.A. in terms of its credit metrics and size.
Moody's thus believes that there is now a higher probability of
the government applying a comparable framework to Carige if the
bank proves unable to carry out its restructuring plan.

In this scenario, the Italian government's EUR20 billion fund to
support the banking system would still have capacity to provide
capital to Carige, net of the EUR5.4 billion earmarked for Banca
Monte dei Paschi di Siena S.p.A.'s precautionary recapitalisation
and the EUR4.8 billion allocated to Banca Popolare di Vicenza
S.p.A. and Veneto Banca S.p.A.. Moody's estimates that Carige's
capital needs are smaller than the three other banks; the bank's
current plan aims to raise about EUR700 million.

Nevertheless, Moody's believes that the probability of government
support for Carige remains moderate given that it would be
subject to state aid rules and political considerations. For this
reason the rating agency does not rule out a burden-sharing
including the impositions of losses on senior unsecured debt and
junior deposits, which remains the intent behind the EU
resolution framework.

The benefit of a higher probability of government support drove
the upgrade in the long-term deposit rating to B3 from Caa1. This
rating also incorporates the agency's continued assessment of
extremely low loss-given-failure for these instruments, given the
cushion provided by subordinated and senior unsecured debt, which
Moody's believes will absorb losses before junior deposits and
full deposit preference as anticipated by domestic legislation
passed in 2016. In the case of Carige's issuer rating, the higher
probability of government support is offset by a reduction in the
volume of senior unsecured debt following bond maturities,
increasing its loss-given-failure to low from very low. The
rating agency therefore affirmed the issuer rating at Caa2.


Moody's could upgrade Carige's ratings if the bank's plan to
reinforce its balance sheet were approved by the ECB and
implemented in full without government support and losses for
senior unsecured bondholders.

Conversely, Moody's would likely downgrade the ratings if the
bank's recapitalization were to fail and it were placed into
resolution or liquidation without government support sheltering
senior unsecured bonds and deposits from loss.

The issuer rating could also be downgraded if shrinking senior
debt increased its loss-given-failure.


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

ELROND NPL 2017: Moody's Assigns B1(sf) Rating to Class B Notes
Moody's Investors Service has assigned definitive long-term
credit ratings to the following notes issued by Elrond NPL 2017

-- EUR464,000,000 Class A Asset Backed Floating Rate Notes due
    July 2040, Assigned Baa3(sf)

-- EUR42,500,000 Class B Asset Backed Floating Rate Notes due
    July 2040, Assigned B1(sf)

Moody's has not assigned any rating to EUR20,000,000 Class J
Asset Backed Floating Rate and Variable Return Notes due July
2040, which are also to be issued at the closing of the


This is the first transaction backed by non-performing loans
"NPLs" rated by Moody's with loans originated by Credito
Valtellinese S.p.A. ("Creval"; Ba1/NP/Ba1(cr)/NP(cr)) and Credito
Siciliano S.p.A. (NR) (together the "Sellers"). The assets
supporting the notes are NPLs with a gross book value (GBV) of
EUR1,405.3 million of which EUR30.8 million of cash in court.

The portfolio will be serviced by Cerved Credit Management S.p.A.
("CCM"; NR) in its role as special servicer and Securitisation
Services S.p.A. (NR) in its role as master servicer. Cerved
Master Services S.p.A. ("CMS", NR) has requested an authorisation
from Bank of Italy to be registered as a financial intermediary
and if that autorisation will be given before March 31, 2018 then
CMS will substitute Securitisation Services S.p.A. as master
servicer. The servicing activities performed by CCM and
Securitisation Services S.p.A. are monitored by the monitoring
agent, Zenith Service S.p.A. ("Zenith"; NR). Securitisation
Services S.p.A. (NR) has been appointed as back-up servicer at
closing and will step in to take over the role of master servicer
in case CMS's role as master servicer is terminated. If the
servicer report is not available at any payment date, the
continuity of payment for the rated notes will be assured by the
calculation agent that prepares the payment report based on


Moody's ratings reflect an analysis of the characteristics of the
underlying pool of defaulted loans, sector-wide and originator-
specific performance data, protection provided by credit
enhancement, the roles of external counterparties, and the
structural integrity of the transaction.

In order to estimate the cash flows generated by the pool Moody's
used a model that, for each loan, generates an estimate of: (i)
the timing of collections; and (ii) the collected amounts, which
are used in the cash flow model that is based on a Monte Carlo

The key drivers for the estimates of the collections and their
timing are: (i) the historical data received from the special
servicer, which shows the historical recovery rates and timing of
the collections for secured and unsecured loans; (ii) loans
representing around 26.5% of the GBV are unsecured loans, while
the remaining 73.5% of the GBV are secured loans whereof about
4.1% in terms of GBV are secured with a second or lower ranking
lien; (iii) of the secured loans, 41.0% are backed by residential
properties, and the remaining 59.0% by different types of non-
residential properties; (iv) in terms of GBV, 57.8% of the
processes are bankruptcies, which usually take a significantly
longer time to go through the legal system than a foreclosure (v)
benchmarking with comparable Italian NPL transactions.

Hedging: As the collections from the pool are not directly
connected to a floating interest rate, a higher index payable on
the notes would not be offset with higher collections from the
pool. The transaction therefore benefits from two interest rate
caps, linked to six-month EURIBOR, with J.P. Morgan AG
(Aa2(cr)/P-1(cr)) and Banca IMI S.p.A. (Baa1/P-2 and Baa1(cr)/P-
2(cr)) as cap counterparties where each cap represents 50% of the
notional. The notional of the interest rate caps are equal to the
outstanding balance of the class A and class B notes with a
maximum band. The cap will have a strike of 0.50%.

Transaction structure: The transaction benefits from an
amortising cash reserve equal to around 4.0% of the class A notes
balance (the equivalent of EUR18.5 million at closing), which has
been funded by a limited recourse loan extended by Creval. The
cash reserve is replenished after the interest payments on the
class A notes. However Moody's notes that the cash reserve is not
available to cover Class B interest and that unpaid interest on
Class B is deferrable without accruing interest on interest.

Moody's used its NPL cash-flow model as part of its quantitative
analysis of the transaction. Moody's NPL model enables users to
model various features of a NPL European ABS transaction --
recovery rates under different scenarios, yield as well as the
specific priority of payments and reserve funds on the liability
side of the ABS structure.

Moody's Parameter Sensitivities: The model output indicates that
if price volatility were to be increased to 8.08% from 6.73% for
residential properties and to 9.94% from 8.29% for commercial
properties and it would take an additional 18 months to go
through the foreclosure process the Class A notes rating would
move to Ba2 (sf) assuming that all other factors remained
unchanged. Moody's Parameter Sensitivities provide a
quantitative/model-indicated calculation of the number of rating
notches that a Moody's 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 and is
not intended to measure how the rating of the security might
migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were
varied. Parameter Sensitivities for the typical EMEA ABS
transaction are calculated by stressing key variable inputs in
Moody's primary rating model.


The principal methodology used in these ratings was "Moody's
Approach to Rating Securitisations Backed by Non-Performing and
Re-Performing Loans" published on August 2, 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 Elrond NPL 2017
S.r.l. 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 definitive ratings address the expected loss posed to
investors by the legal final maturity of the notes. In Moody's
opinion, the structure allows for timely payment of interest and
ultimate payment of principal with respect to the class A notes
by legal final maturity. Other non-credit risks have not been
addressed, but may have significant effect on yield to investors.


Factors that may lead to an upgrade of the ratings include that
the recovery process of the defaulted loans produces
significantly higher cash flows realised in a shorter time frame
than expected. Factors that may cause a downgrade of the ratings
include significantly less or slower cash flows generated from
the recovery process compared with Moody's expectations at close
due to either a longer time for the courts to process the
foreclosures and bankruptcies or a change in economic conditions
from Moody's central scenario forecast or idiosyncratic
performance factors. For instance, should economic conditions be
worse than forecasted and the sale of the properties would
generate less cash flows for the Issuer or it would take a longer
time to sell the properties, all these factors could result in a
downgrade of the ratings. Additionally counterparty risk could
cause a downgrade of the rating due to a weakening of the credit
profile of transaction counterparties. Finally, unforeseen
regulatory changes or significant changes in the legal
environment may also result in changes of the ratings.

MODA 2014: Fitch Hikes Rating on Class E Notes to 'BBsf'
Fitch Ratings has upgraded Moda 2014 Srl's class C, D and E
floating rate notes due 2026 and affirmed the rest:

EUR78.1 million Class A (IT0005039075) affirmed at 'A+sf';
Outlook Stable
EUR7.9 million Class B (IT0005039083) affirmed at 'Asf'; Outlook
EUR10.4 million Class C (IT0005039182) upgraded to 'A-sf' from
'BBB-sf'; Outlook Stable
EUR3.8 million Class D (IT0005039257) upgraded to 'BBB+sf' from
'BB+sf'; Outlook Stable
EUR16.7 million Class E (IT0005039265) upgraded to 'BBsf' from
'Bsf'; Outlook Stable

The transaction closed in 2014 as a securitisation of two
commercial mortgage loans totalling EUR198.2 million. The loans
were granted by Goldman Sachs International Bank to six Italian
limited liability companies to finance the acquisition
of/refinance certain Italian retail assets. In May 2017, one loan
remained, secured on a fashion outlet village; a shopping centre;
and two retail galleries. All the real estate is located in Italy
and owned by borrowers sponsored by Blackstone.


The upgrades reflect continued sound performance of the
collateral underlying the remaining EUR116.9 million Vanguard
loan as it nears the final 24 months of its term. Additionally,
the historical market data on which Fitch bases its assumptions
on market rents and property yields now cover over 20 years, and
as per rating criteria Fitch capitalisation rate guidance
assumptions have reduced accordingly. At 'Asf', Fitch now applies
capitalisation rates between 8.4% and 9.2%%, down from between
8.8% and 9.7% a year ago.

The market data also points to sustained improvement in sentiment
(amid ongoing declines in rental yields) for the relevant
shopping centre markets. This, together with some amortisation to
date, has resulted in the loan-to-value falling to 55.6% in May
from 61.3% one year ago. This improvement also reflects robust
operational performance in the shopping centres, the three larger
of which have reported rising sales and revenue. Occupancy rates
also remain high. The weakest property is La Scaglia, although it
is small enough -- and the release premiums on the other three
high enough (15%) -- to limit the scope of adverse property

Taking these factors into account, credit risk has, in Fitch
views, moderated. However, tail risk arising from a concentrated
secondary quality Italian retail portfolio is broadly unchanged.
This prevented upgrades to notes already in the 'Asf' category,
where the ratings are capped by delays to loan workouts in Italy,
particularly for southern tribunals.

Fitch applies a loan rating approach to the class E notes to
account for uncertainty regarding the security for a
corresponding amount of loan debt initially incurred by a
structurally subordinated Valdichiana borrowing entity. The
latter's merger with a related property company was designed to
extend the coverage of mortgage security. However, as no legal
opinion has been provided to Fitch, the rating is constrained one
to two categories below breakeven. The upgrade nevertheless
reflects a strengthened equity incentive for the borrower to
refinance due to the wider improvements described above.

Fitch expects a full repayment in a 'Bsf' scenario.

Deterioration in the performance of the income profile of the
portfolio or a downturn in the Italian retail sector could result
in downgrades.


SWISSPORT GROUP: S&P Maintains 'B' LT Corporate Credit Ratings
S&P Global Ratings said that it maintained its 'B' long-term
corporate credit ratings on Luxembourg-based airport services
provider Swissport Group S.a.r.l (Swissport) and the group's
related entities on CreditWatch with negative implications, where
they were placed on May 9, 2017.

S&P's ratings on the group's debt also remain on CreditWatch

Swissport has announced a proposed solution to its technical
breach of nonfinancial covenants in its debt documentation by
refinancing and partially paying down its term loan B and
launching an exchange offer of its senior secured and senior
unsecured notes. The finalization of the transaction is pending
waivers for the breach and the consent of loan- and noteholders.
Therefore, S&P's ratings remain on CreditWatch with negative

S&P said, "We understand that, although the perimeter of the
restricted group will change to ensure that there is no impact
from the share pledges made by parent HNA, the terms of the
exchange offer on the notes are broadly unchanged and would not
represent a loss of value for current debtholders, as the
exchange will be carried out at par and the notes will maintain
existing interest rates and tenor.

"We view Swissport's intention to refinance its EUR660 million
term loan, by raising a new EUR460 million term loan B and
repaying EUR200 million using existing cash, as credit positive.
However, while we recognize the potential improvement in
leverage, we still view Swissport's capital structure as highly
leveraged, as we forecast that S&P Global Ratings-adjusted debt
to EBITDA will remain more than 5.5x over the next 12 months."

Swissport's 100% shareholder, the Chinese privately owned HNA
Group, injected EUR718 million of pure cash equity to the group
in April 2017, which clearly demonstrates the supportiveness of
Swissport's parent in providing Swissport the necessary liquidity
in case a refinancing solution is not successful. S&P said,
"Under the proposed solution, EUR200 million of this contribution
is to be used to reduce the size of the term loan B, which we
view as credit positive. We understand that the remaining cash
will likely be used to finance acquisitions, which would likely
add to the group's EBITDA.

"We aim to resolve the CreditWatch placement shortly after the
transaction closes, which we expect by early August 2017.

"We view the proposed solution, including partial pay down of
Swissport's term loan B, as credit positive. We would likely
affirm the rating and assign a stable outlook if the transaction
goes ahead as planned.

"If the transaction doesn't conclude as expected, we could
consider a negative rating action, absent any sufficient
proactive management action such as the company using the
proceeds from the EUR718 million equity injection received from
HNA to pay down the EUR660 million term loan in full to avoid a
technical breach of its nonfinancial covenants."


AI ALABAMA: S&P Affirms 'B' CCR, Revises Outlook to Stable
S&P Global Ratings said it has revised its outlook on AI Alabama
Midco B.V. (AI Alabama), the holding company of Dutch Belting
Producer Ammeraal Beltech, to stable from negative. S&P said, "We
affirmed our 'B' long-term corporate credit rating on AI Alabama.

"At the same time, we affirmed our 'B' issue ratings on the
EUR290 million first-lien term loan B and EUR40 million revolving
credit facility (RCF), taken by AI Alabama B.V. The recovery
ratings remain at '3', indicating our expectation of meaningful
recovery in the 50%-70% range (rounded estimate: 55%) in the
event of a default.

"We also affirmed our 'CCC+' issue rating on the EUR60 million
second-lien loan. The recovery rating remains '6', indicating our
expectations of negligible recovery of 0%-10% (rounded estimate:
0%) in a default scenario."

The outlook revision follows Ammeraal Beltech's completion of its
cost-efficiency program and relatively strong revenue growth in
the first four months of 2017. S&P said, "Our adjusted EBITDA
figure has been negatively affected by material restructuring
costs in 2016. These costs amounted to about EUR12 million in
2016, which was somewhat higher than we expected, resulting in
subdued margins. We understand that the company has now fully
implemented its cost-efficiency program and we do not expect any
further material restructuring. We expect that this, together
with cost savings, should lead to an improvement in margins and
credit ratios over the coming year."

The company's credit ratios were also burdened by the large EUR85
million add-on to its term loan in September 2016, which the
company used alongside EUR11 million in cash to pay dividends to
shareholders. The higher cash interest burden from the increased
term loan and larger-than-expected restructuring costs and taxes
resulted in funds from operations (FFO) cash interest coverage
of 1.9x in 2016, which was below S&P's 2.5x threshold for the

S&P sai, "That said, we note the company's improving performance
lately, with the last-12-months sales growth rate at 6% as of
April 30, 2017, and the order book being about 10% larger than a
year ago. The positive momentum and improving margins are
expected to lead to FFO cash interest coverage recovering to
about 2.5x-2.7x in 2017, which would be commensurate with the
rating. Overall, we continue to expect that the group will
generate positive, albeit relatively weak, free operating cash
flow, given the moderate capital requirements. The headroom under
the ratings remains limited. If the company's margins fail to
improve, for example due to further sizable restructuring costs
or inability to realize the expected cost savings, this would put
pressure on the rating.

"We continue to view the company's business risk profile as
constrained by the group's limited size and scope, which result
in inherently greater vulnerability to external changes, in our
view. We think that the fragmented nature of the global light-
weight belt market poses challenges to Ammeraal Beltech's
competitive position. With a market share of about 10%, the group
does not have a dominant position in this niche market, and
strong competition could lead to weaker bargaining power and
pronounced pricing pressure. The group's product offering has
relatively limited technological content, leading to lower
barriers to market entry than we see for some other rated peers
in the capital goods industry.

"However, we believe that these factors are partly mitigated by
the group's broad end-market and customer diversity. The large
proportion of recurring replacement sales and fairly high share
of revenues from stable end markets, such as food, provide some
stability, in our opinion. We also view positively Ammeraal
Beltech's good relationships with customers as a result of its
direct-selling strategy and international manufacturing and
distribution footprint. The group has some exposure to raw
material prices, which could affect its year-on-year
profitability. However, we understand the group has historically
been able to pass these costs on to its customers.

"The stable outlook reflects our expectation that AI Alabama will
be able to improve its adjusted EBITDA margins to 16%-17% in
2017, with continued positive FOCF generation, and that FFO cash
interest coverage will improve beyond 2.5x over the coming 12

"We would likely lower the ratings if the company fails to
improve its profitability and adjusted credit ratios, with the
adjusted EBITDA margin at 16%-17% in 2017, continued positive
free cash flow generation, and FFO cash interest coverage above
2.5x. Any negative deviations to our base-case interest coverage
projection would lead to a downgrade. We could also take a
negative rating action if AI Alabama doesn't maintain adequate
liquidity. These scenarios could materialize if the company
incurs further material restructuring costs or fails to realize
expected cost savings.

"We could also lower the ratings if the financial sponsor takes
further aggressive actions or the company makes any additional
material debt-financed acquisitions.

"We see rating upside as unlikely, given the company's highly
leveraged financial risk profile and financial-sponsor ownership.
We could consider raising the rating if AI Alabama's credit
metrics materially and sustainably strengthened, for example with
debt to EBITDA consistently below 5x and FFO to debt above 12.0%.
An upgrade would be subject to our view that any improvement
would be sustained by a conservative financial policy."

BARINGS 2017-1: Fitch Assigns B- Rating to EUR14.1MM Cl. F Notes
Fitch Ratings has assigned Barings 2017-1 Euro CLO B.V.'s notes
expected ratings as follows:

EUR271 million Class A-1: 'AAA(EXP)sf'; Outlook Stable
EUR5.75 million Class A-2: 'AAA(EXP)sf'; Outlook Stable
EUR9 million Class B-1: 'AA(EXP)sf'; Outlook Stable
EUR30.95 million Class B-2: 'AA(EXP)sf'; Outlook Stable
EUR27 million Class C: 'A(EXP)sf'; Outlook Stable
EUR23.6 million Class D: 'BBB(EXP)sf'; Outlook Stable
EUR32.85 million Class E: 'BB(EXP)sf'; Outlook Stable
EUR14.1 million Class F: 'B-(EXP)sf'; Outlook Stable

Barings 2017-1 Euro CLO B.V. is a cash flow collateralised loan
obligation securitising a portfolio of mainly European leveraged
loans and bonds. Net proceeds from the issue of the notes will be
used to purchase a portfolio of EUR450 million of mostly European
leveraged loans and bonds. The portfolio will be managed by
Barings (U.K.) Limited.

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


'B'/ 'RR2' Average Credit Quality
The average credit quality of the current portfolio is in the 'B'
category, as based on Fitch's ratings and credit opinions on the
obligors currently in the pool. The Fitch weighted average rating
factor (WARF) of the identified portfolio is 34.4. The Fitch
weighted average recovery rate (WARR) of the current portfolio is
60.9%, which is in line with an average 'RR2' recovery rating.

Concentration Limits Ensure Diversification
The transaction includes limits to top 10 obligor concentration,
which is in line with recent European CLOs. The transaction also
includes limits to maximum industry exposure based on a different
industry classification from Fitch's. The maximum exposure to the
largest and to each of the next four largest industries is
covenanted at 15% and 12%, respectively.

Market Risk Exposure Mitigated
Between 0% and 15% of the portfolio may be invested in fixed-rate
assets, while fixed-rate liabilities account for 8.1% of the
target par amount, providing a partial interest rate hedge. The
transaction is allowed to invest up to 20% of the portfolio in
non-euro-denominated assets but only if hedged with perfect asset


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

CIMPRESS NV: S&P Rates 2022 Sr. Sec. Revolver & Term Loan A BB+
S&P Global Ratings assigned its 'BB+' issue-level rating and '1'
recovery rating to Cimpress N.V.'s $1.045 billion senior secured
credit facilities due 2022, which consist of a $745 million
revolver and a $300 million term loan A. S&P said, "The '1'
recovery rating indicates our expectation for very high (70%-90%;
rounded estimate: 95%) of principal in the event of a payment
default. The new credit facilities replace the company's senior
secured credit facilities due 2019, which consisted of a $690
million revolving credit facility and a $160 million term loan A
($128 million outstanding as of March 31, 2017). Vistaprint Ltd.
(Bermuda), Cimpress Schweiz GmbH, Vistaprint B.V. (Netherlands),
and Cimpress USA Inc. are co-borrowers of the new debt.

"We also withdrew our ratings on the senior secured credit
facilities due 2019.

The transaction is leverage neutral because Cimpress is using the
proceeds of the new term loan A to pay down its outstanding
revolver balance. S&P said, "We expect Cimpress will continue to
repay its revolver balance through the second half of 2017, and
its adjusted leverage to decline to below 4x by Dec. 31, 2017.

"Our 'BB-' corporate credit rating and positive rating outlook on
the company are not affected by the proposed transaction. The
rating outlook reflects our view that that we could revise our
business risk profile assessment upward if the company continues
to successfully diversify its product and service offerings and
broadens its operating platform. Although we expect the company's
investment spending to negatively impact leverage and free
operating cash flow in its fiscal year ending June 30, 2017, we
also expect its credit metrics to rebound in fiscal 2018."

  Cimpress N.V.
   Corporate Credit Rating         BB-/Positive/--

  New Ratings

  Cimpress N.V.
  Vistaprint Ltd. (Bermuda)
  Cimpress Schweiz GmbH
  Cimpress USA Incorporated
  Vistaprint B.V. (Netherlands)
  Senior Secured
   $745 million revolver due 2022           BB+
     Recovery Rating                        1(95%)
   $300 million term loan A due 2022        BB+
     Recovery Rating                        1(95%)

  Ratings Withdrawn
                                     To       From
  Cimpress N.V.
  Vistaprint Ltd. (Bermuda)
  Cimpress Schweiz GmbH
  Cimpress USA Incorporated
  Vistaprint B.V. (Netherlands)
   Senior Secured
   $690 million revolver due 2019    NR        BB+
     Recovery Rating                 NR        1(90%)
   $160 million term ln A due 2019   NR        BB+
     Recovery Rating                 NR        1(90%)


SISTEMA: Suffers Technical Default on RUR3.9-Bil. Debt
Henry Foy at The Financial Times reports that Russian
conglomerate Sistema has announced it has suffered a technical
default on RUR3.9 billion worth of debt, after a court froze more
than US$3 billion worth of its assets as part of a legal battle
with state-controlled oil giant Rosneft.

Sistema on July 17 announced the technical default, saying that
it was "driven exclusively" by the asset freeze, the FT relates.

"Sistema stresses that non-compliance with certain conditions of
some of its credit facilities, which triggered the technical
default, is driven exclusively by the arrest of the above-
mentioned assets and is purely formal in nature," the FT quotes
the group as saying in a statement.  "Sistema is servicing its
credit and financial obligations in a timely manner and in full,
and plans to continue doing so in the future."

Rosneft, controlled by the Kremlin and run by Igor Sechin, a
powerful associate of Russian president Vladimir Putin, has
accused the conglomerate of stripping assets from Bashneft, an
oil producer now owned by Rosneft but previously held by Sistema,
the FT discloses.

After Rosneft brought a case against Sistema demanding RUR170.6
billion (US$2.8 billion) in damages, a regional court ordered
that Sistema's shares in mobile phone company MTS and other
holdings be frozen, the FT relays.

According to the FT, Sistema has appealed against the asset
freeze and denies the asset-stripping charges, saying its actions
were legal and public.  The next hearing in the case will take
place today, July 19, the FT states.


ODEABANK AS: Moody's Assigns Ba3 LT Deposit Rating, Outlook Neg.
Moody's Investors Service has assigned Ba3 long-term deposit
ratings, Not Prime short-term deposit ratings and a ba3
standalone baseline credit assessment (BCA) and adjusted BCA to
Odea Bank A.S. (Odeabank). The outlook on the long-term deposit
ratings is negative.

Moody's has also assigned National Scale Deposit Ratings of and a Counterparty Risk Assessment of Ba2(cr)/Not


Moody's says that the ba3 BCA is underpinned by Odeabank's
overall solid financial profile and prudent risk culture but
constrained by the challenging Turkish operating environment.

Moody's notes that Odeabank -- Turkey's 13th largest bank by
assets - is a relatively new bank set up in 2012 by Lebanon's
Bank Audi S.A.L. (Bank Audi; B2 negative/b2), which now has a 76%
stake, with multinational institutions International Finance
Corporation and European Bank for Reconstruction and Development
as minority shareholders.

According to Moody's, the bank's prudent risk culture partially
mitigates rising problem loans, modest coverage and loan
concentration. Moody's expects the bank's problem loans of 3% at
March 2017 to rise to around 5% next year, owing to the seasoning
of the portfolio. Coverage with specific provisions, at 45%,
however, is weaker than peers. Furthermore, loans exhibit a
degree of concentration by both borrower and sector.

Odeabank's capitalisation is sound, Odeabank's 12.5% CET1 ratio
as of March 2017 is the highest among its Turkish peers, however
Moody's notes the downside risk that its Lebanese parent, Bank
Audi, could take steps to upstream capital in excess of
Odeabank's prudential limits, in case of need, in a scenario of
adverse developments in the already challenging Lebanese
operating environment.

In Moody's opinion, the bank's profitability is modest and will
face headwinds to improve significantly. Over the period 2014-Q1
2017 the bank generated a modest average net income equivalent to
0.4% of tangible assets. Moody's views a significant improvement
as challenging because of i) rising funding costs given
intensifying competition in Turkey for deposits combined with the
bank's branch-light business model (only 51 branches) and ii) a
higher cost of credit given increasing problem loans.

Moody's considers Odeabank well positioned for the risk of
disturbances in foreign funding markets, given its strong
liquidity profile. Odeabank benefits from the combination of
moderate foreign-currency (FX) denominated market funds, at about
14% of assets and robust liquidity, with liquid assets equivalent
to 28% of total assets at end 2016. The bank is structurally long
FX liquidity, as indicated by a conservative FX liquidity
coverage ratio, which is swapped into Turkish lira to fund
domestic-currency lending. In addition to the potential for
upstreaming capital and liquidity, Moody's also considers that
there is a risk that, in the event any credit issues were to
arise at Bank Audi, these could negatively affect confidence in
Odeabank, particularly considering the bank's focus on corporate,
commercial and SME clients (89% of loans and 42% of deposits),
typically more sensitive than retail clients.

The negative outlook on the bank's long-term deposit ratings is
driven by the negative outlooks on the ratings of both the parent
and the Turkish sovereign (Ba1, negative), as well as by the
potential for the challenging operating environment in Turkey to
weaken the Turkish banks' financial fundamentals.


Reaching a net income around 1.5% of tangible assets on a
sustainable basis, an improved operating environment in Turkey
and an upgrade of the parent (unlikely given the negative
outlook) could lead Moody's to upgrade Odeabank's ratings.

Conversely, Moody's could be downgrade the ratings given 1)
problem loan ratio trending towards 6%, 2) Capital Adequacy Ratio
falling towards 12%, 3) failure to sustain the 0.6% ROA seen in
2016, 4) a significantly deteriorating operating environment in
Turkey or 5) a downgrade of the parent (which has a negative


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

Moody's National Scale Credit Ratings (NSRs) are intended as
relative measures of creditworthiness among debt issues and
issuers within a country, enabling market participants to better
differentiate relative risks. NSRs differ from Moody's global
scale credit ratings in that they are not globally comparable
with the full universe of Moody's rated entities, but only with
NSRs for other rated debt issues and issuers within the same
country. NSRs are designated by a ".nn" country modifier
signifying the relevant country, as in ".za" for South Africa.
For further information on Moody's approach to national scale
credit ratings, please refer to Moody's Credit rating Methodology
published in May 2016 entitled "Mapping National Scale Ratings
from Global Scale Ratings". While NSRs have no inherent absolute
meaning in terms of default risk or expected loss, a historical
probability of default consistent with a given NSR can be
inferred from the GSR to which it maps back at that particular
point in time. For information on the historical default rates
associated with different global scale rating categories over
different investment horizons.

ODEABANK AS: Fitch Assigns BB- Long-Term IDR, Outlook Stable
Fitch Ratings has assigned Turkey's Odeabank A.S. Long-Term
Issuer Default Ratings (IDRs) of 'BB-', Short-Term IDRs of 'B'
and a National Long-term Rating of 'A+'. The Outlook on Odea's
Long-Term ratings is Stable.


Odea's Long- and Short-Term IDRs and National Rating are driven
by the bank's standalone creditworthiness, as reflected in the
bank's Viability Rating (VR) of 'bb-'. The VR reflects Odea's
limited franchise (ranked 11th by total assets among deposit-
taking conventional banks) and heightened credit risk profile
considering the bank's high share of foreign currency lending,
some high-risk sectoral exposures and only moderate specific
reserves coverage of non-performing loans. However, the VR also
factors in Odea's generally improving financial metrics and
reasonable funding profile in light of the predominance of
customer deposits in the bank's funding base and limited
wholesale funding reliance.

Odea is rated three notches above its 74% owner, Bank Audi S.A.L.
(Bank Audi, B-/Stable) whose own ratings are capped by the
Lebanese sovereign rating (Bank Audi S.A.L. Group has 76.4% stake
in Odea). No support is therefore factored into Odea's IDRs. At
the same time, Fitch sees limited contagion risk for Odea from
its parent based on i) Odea's low exposure to the Lebanese
sovereign (equal to about 1% of total assets at end-1Q17) ii)
limited group funding (end-1Q17: subordinated debt and interbank
funding sourced from Bank Audi Group were equal to a combined
total of around 3% of total funding) iii) Odea has not paid any
dividends to date, while Bank Audi has contributed about USD1.2
billion in equity.

Odea provides banking services to corporate, commercial, SME and
retail customers in Turkey, with a majority of loans to the
corporate and commercial segments. It accounted for a modest
1.5%, 1.6% and 2.1% of sector assets, loans and deposits,
respectively at end-1Q17.

Credit risk is heightened by above-sector-average foreign
currency lending (equal to 53% of performing loans at end-1Q17
including foreign currency-indexed loans), high single-name
borrower concentration and exposure to high-risk sectors such as
project finance and construction. At the same time watch-list
loans (end-1Q17: 7.4% of performing loans) have increased, as
have watch-list restructured loans; at least some of which are
likely to migrate to the non-performing loan (NPL) category as
loans season in Fitch's view. However, Odea's headline NPL ratio
(loans overdue 90 days) remains reasonable; it stood at 3% at
end-1Q17 versus the sector average of 3.2%.

Odea is endeavouring to reduce its level of foreign currency
lending, which fell to 53% of gross loans at end-1Q17 from 56% at
end-2016. However, it is likely to remain material considering
the bank's high share of foreign currency deposits (65% of the
deposit base at end-1Q17). Foreign currency lending is focused
mainly on exporters, project finance and infrastructure lending.
Energy sector project finance loans also relate mainly to
renewable energy projects that benefit from a floor price, in US
dollars, guaranteed by the government mitigating credit risk to
some extent. Nevertheless, not all borrowers will be fully hedged
in Fitch view.

Odea's level of specific reserves coverage of NPLs is also fairly
weak and significantly below-sector-average (end-1Q17: 45% versus
78%) - albeit a moderate 71% after adjusting for available 'free
provisions'. Management attributes the level of NPL reserves
coverage to its lower retail loan exposure relative to the sector
average and focus on collateralised commercial and corporate

Capitalisation is reasonable with a Fitch Core Captial (FCC)
ratio of 12.6% at end-1Q17 and a total capital ratio (15.3%)
comfortably above the recommended regulatory 12% threshold.
Growth has been funded to date by capital injections and
subordinated debt provided by shareholders following Odea's
establishment in 2012. However, over the medium term the aim is
to fund growth organically. It targets loan growth of a moderate
10% CAGR from 2017-2020 with return on equity (ROE) budgeted to
rise to around 15% by 2020. Net NPLs relative to FCC remain
manageable (13.2% at end-1Q17, or 7% adjusted for free
provisions) while pre-impairment profit provides an additional
buffer to absorb credit losses.

Odea's performance has improved as it has scaled up its balance
sheet and cost efficiency is strong. Its cost/assets ratio (end-
1Q17: 1.9%) outperforms the sector average (2.1%) despite its
small size, reflecting its focus on digital technology and small
branch network. However, loan impairment charges remain fairly
high (albeit lower relative to pre-impairment profit as the
latter has increased) and funding costs are slightly above the
sector average, reflecting Odea's strategy to fund loans
primarily with customer deposits. Odea reported ROE of a modest
10.8% in 1Q17 (sector average: 18%), up from 7.8% in 2016.

Customer deposits accounted for a high 85% of Odea's total
funding at end-1Q17 and the bank's gross loans/customer deposits
ratio (a low 92% end-1Q17) far outperforms the sector average
(125%). Furthermore, wholesale funding (15% of total funding)
relates largely to trade finance operations, accounting for much
of the bank's short-term foreign currency liabilities maturing
within one year. The remainder consists of long-term funding from
international financial institutions. Consequently, and in light
of the bank's adequate foreign currency liquidity, Fitch views
refinancing risk as manageable. At end-1Q17 foreign currency
liquid assets fully covered maturing liabilities due within one
year. Nevertheless, foreign currency liquidity could come under
pressure from a prolonged market closure.

Odea's Support Rating of '5' and Support Rating Floor of 'No
Floor' reflect Fitch's view that support from the Turkish state
cannot be relied upon. This reflects the bank's lack of systemic
importance in Turkey. Support from the bank's shareholder cannot
be relied upon given the weak ability of Bank Audi to provide
support based on its current rating (b-/Stable).


The VR could be downgraded in case of significant deterioration
in asset quality that put pressure on capital ratios and
performance. A sharp tightening of liquidity could also result in
pressure on the VR.

Upside to the VR is limited in the near term, given the bank's
rating limited record of operations, modest franchise and high
credit risk profile in the challenging Turkish operating
environment. In the medium term the VR could be upgraded as a
result of the successful expansion of the bank's franchise
without a corresponding increase in risk appetite or due to an
improvement in the bank's credit risk profile resulting in better
asset quality metrics.

The rating actions are as follows:

Odeabank A.S.
Long-Term Foreign and Local Currency IDRs assigned at 'BB-';
Outlook Stable
Short-Term Foreign and Local Currency IDRs assigned at 'B'
Viability Rating assigned at 'bb-'
Support Rating assigned at '5'
Support Rating Floor assigned at 'No Floor'
National Long-term Rating assigned at 'A+(tur)'; Outlook Stable

U N I T E D   K I N G D O M

BLUR GROUP: Hires David Rowe as Chairman to Avert Collapse
Nic Fildes at The Financial Times reports that Blur Group has
turned to UK broadband veteran David Rowe to come in as chairman
and try to stave off the collapse of the struggling British
e-commerce company.

Shares in Blur have lost 99% of their value since 2014 as the
former UK technology star failed to deliver on its promise, the
FT relates.  It said in June that it was in danger of running out
of cash and that its stock would be worthless if it did not raise
new funds, the FT recounts.  The company's shares were suspended
this month, the FT relays.

According to the FT, the company plans to raise GBP1.5 million
through a placing of shares at a 44% discount.

The board of Blur, which is based in Exeter, Devon, will stand
down as part of the fundraising, as will chief financial officer
Tim Allen who joined two years ago, the FT discloses.
Philip Letts, the founder and chief executive, will remain,
although a source familiar with the situation said his position
was also under review, the FT notes.

Mr. Rowe told the FT he believes Blur could still deliver
shareholder value if it completes the placing as it will "start
with a clean slate".

Mr. Rowe, the FT says, will launch a strategic review of the
business should the placing succeed, but analysts remained
skeptical that he could turn around the company.

Blur Group is a UK e-commerce group.

CARILLION PLC: Secures HS 2 Railway Contract Amid Financial Woes
Gill Plimmer and Owen Walker at The Financial Times report that
embattled construction group Carillion is one of 11 companies to
secure the first major building work on the UK's controversial
High Speed 2 railway.

Transport secretary Chris Grayling said seven construction
contracts worth a combined GBP6.6 billion would create 16,000
jobs on the first phase of the HS2 line, which is due to run
between London and Birmingham and open in 2026, the FT relates.

Although the announcement reinforced the government's commitment
to the flagship infrastructure project, ministers faced fresh
questions about the cost of the plans, and whether it was wise to
involve Carillion, which is fighting for survival after the
company's shares nosedived following a profit warning, the FT

HS2 is due to cost GBP55.7 billion, according to the government's
2015 spending review, but rail industry expert Michael Byng at
the weekend estimated the final bill could be GBP104 billion, the
FT discloses.

The UK's Carillion is part of a consortium also involving
Britain's Kier and Eiffage of France that will build tunnels in
the environmentally sensitive Chiltern Hills in south-east
England under two contracts worth a combined GBP1.4 billion, the
FT states.

Analysts estimated that Carillion's share of the contracts at
GBP450 million, the FT says.

According to the FT, Mr. Grayling defended the decision to
involve Carillion, telling Sky: "They're part of a consortium --
they're not alone in the contracts, and we've had secure
undertakings from all the members of the consortium that they
will deliver that contract.

"My wish is that Carillion get through their current problems,
but we've made sure that it's not an issue for these contracts."

Carillion plc is a construction and support services group
Carillion based in the United Kingdom.

CO-OP BANK: Brings in Tom Wood as Chief Restructuring Officer
Lucy Burton at The Telegraph reports that the Co-operative Bank
has hired an extra pair of hands to help speed up its turnaround,
appointing a former Shawbrook chief weeks after announcing plans
for a GBP700 million rescue deal.

The troubled lender abandoned an outright sale last month in
favor of a rescue from its US hedge fund owners, a move which saw
it all but break ties with the Co-operative Group, The Telegraph

According to The Telegraph, one source said bringing in a chief
restructuring officer, a new job for the bank, was "part and
parcel" of that agreement and will involve supporting chief
executive Liam Coleman during the revival.

The restructuring job is to be filled by Tom Wood, who was
Shawbrook Bank's finance director until late last year and was
its interim chief executive in 2015, not long after the
challenger bank floated on the London Stock Exchange, The
Telegraph discloses.

Mr. Wood has been advising and investing in FTSE 250 companies
since January, according to his Linkedin profile, and is
understood to have worked closely with Co-op Bank's investors
ahead of last month's proposals, The Telegraph states.

His recruitment is subject to regulatory approval, although staff
at Co-op Bank have been told about the appointment, The Telegraph

The appointment, first reported by Sky News, follows a tough
period for the 145-year-old lender, which risked being wound-down
had it not secured a rescue package or been sold, The Telegraph
relays. It lost GBP477 million in 2016, its fifth year in the
red, The Telegraph recounts.

                    About Co-operative Bank

The Co-operative Bank plc is a retail and commercial bank in the
United Kingdom, with its headquarters in Balloon Street,

In 2013-2014, the Bank was the subject of a rescue plan to
address a capital shortfall of about GBP1.9 billion.  The Bank
mostly raised equity to cover the shortfall from hedge funds.

In February 2017, the Bank's board announced that they were
commencing a sale process for the Bank and were "inviting

The Troubled Company Reporter-Europe reported on February 17,
2017 that Moody's Investors Service downgraded Co-operative Bank
plc's standalone baseline credit assessment (BCA) to ca from
caa2.  The downgrade of the bank's BCA to ca reflects Moody's
view that the bank's standalone creditworthiness is increasingly
challenged and that the bank will not be able to restore its
declining capital position without external assistance.

TCR-Europe also reported on February 23, 2017 that Fitch Ratings
has downgraded The Co-operative Bank p.l.c.'s (Co-op Bank) Long-
Term Issuer Default Rating (IDR) to 'B-' from 'B' and placed it
on Rating Watch Evolving (RWE).  The Viability Rating (VR) was
downgraded to 'cc' from 'b'.  The downgrade of the VR reflects
Fitch's view that a failure of the bank appears probable as it
likely needs to obtain new equity capital to restore viability.
Fitch believes there is a very high risk that this will include a
restructuring of its subordinated debt that Fitch is likely to
consider a distressed debt exchange, which would result in a
failure according to Fitch definitions.  However, the bank had
originally hoped to strike a deal by mid-June, in order to
complete the debt-for-equity swap process before GBP400 million
of senior bonds mature in September, the FT states.

The Co-op Bank said it was still pursuing an attempt to sell the
entire lender at the same time as advancing talks with existing
investors to raise capital, the FT relays.

HEBRIDEAN SEA: Wilson Field Appointed as Interim Liquidator
Jane Bradley at The Scotsman reports that Hebridean Sea Salt, an
artisan sea salt company which was found by food inspectors to
contain "80 per cent imported table salt", has gone into

Hebridean Sea Salt, which was lauded by celebrity chefs as a top
Scottish product and marketed itself as harvested "by hand" in
Loch Erisort on the Isle of Lewis, was investigated by the
Western Isles Council and Food Standards Scotland earlier this
year, The Scotsman relates.

Now insolvency firm Wilson Field has been appointed as interim
liquidator of the company, The Scotsman discloses.

According to The Scotsman, a statement from the liquidator said:
"Problems at the Lewis-based Hebridean Sea Salt have been well-
documented in the local and national media, with claims made by
the FSS that the product labelling was misleading because
products contained 80 per cent of imported table salt.

"Owner and founder, Natalie Crayton, strongly disputed that her
actions were deceptive and accused the FFS of "bully-boy

Insolvency practitioners Fiona Grant and Lisa Hogg of Wilson
Field were officially appointed as interim liquidators on
July 12, The Scotsman relates.

RAC BOND: S&P Assigns 'B (sf)' Rating to Class B1-Dfrd Notes
S&P Global Ratings assigned its 'B (sf)' credit rating to RAC
Bond Co. PLC's GBP275 million fixed-rate class B1-Dfrd notes. S&
said, "At the same time, we have affirmed our 'BBB- (sf)' ratings
on the outstanding class A notes.

"Upon publishing our revised criteria for rating corporate
securitizations, we placed those ratings that could potentially
be affected "under criteria observation". Following our review of
this transaction, our ratings that could potentially be affected
are no longer under criteria observation."

RAC Bond Co.'s financing structure blends a corporate
securitization of the operating business of the RAC Bidco Ltd.
(the Holdco) with a subordinated high-yield issuance.


S&P said, "We have applied our corporate securitization criteria
as part of our rating analysis on the senior notes in this
transaction. As part of our analysis, we assess the ability of
the cash flow generated by the borrower and the entities that
cross guarantee its liabilities (together, the borrowing group)
to make the payments required under the class A notes' loan
agreements using a long-term debt service coverage ratio (DSCR)
analysis under a base case and a downside scenario. Our view of
the cash flows generation potential of the borrowing group is
informed by our base-case operating cash flow projection and our
assessment of its business risk profile (BRP), which are derived
using our corporate methodology (see "Corporate Methodology,"
published on Nov. 19, 2013).

"We continue to view the BRP of the borrowing group as
satisfactory (see "U.K.-Based RAC Bidco Downgraded To 'B' On
Proposed GBP275 Million Dividend Recapitalization; Outlook
Stable," published on July 6, 2017)."


RAC Bond Co.'s primary sources of funds for principal and
interest payments on the class A1 and A2 notes are the loan
interest and principal payments from the borrower and amounts
available from the liquidity facility (which is shared with the
borrower to service the senior term loan).

The transaction does not amortize before the expected maturity
date (May 2026 for the class A1 notes). If the senior term loan
is not repaid on its maturity date or the class A1 notes do not
redeem on their expected maturity date, a full cash sweep would
be applied pro rata until the notes redeem. While such a cash
sweep is in operation, the notes would prepay at par and there
would be no costs for the issuer.

S&P said, "We do not assume the borrowing group is able to repay
the intercompany loans, either through the use of cash on balance
sheet or by raising new debt, associated with each class of notes
on their respective maturity dates. Rather, given that the
transaction implements a cash sweep mechanism where all excess
cash would be trapped once a given class of notes reaches its
expected maturity date and is not repaid, we assumed a benchmark
principal amortization profile where the debt is repaid over 15
years following its expected maturity date based on an annuity
payment that we include in our calculated debt service coverage
ratios (DSCRs).

"Our cash flow analysis serves to both assess whether cash flows
will be sufficient to service debt through the transaction's life
and to project minimum DSCRs in base case and a downside
scenarios. We base our base-case operating cash flow projection
for the securitized assets and the company's satisfactory BRP on
our corporate methodology.

"Taking into account the satisfactory BRP of the borrower and the
minimum DSCR achieved in our base-case scenario, which considers
only operating-level cash flows and does not give credit to
issuer-level structural features (such as liquidity), we derived
a 'bb+' anchor for the class A notes.

"Our downside DSCR analysis tests whether the issuer-level
structural enhancements improve the resilience of the transaction
under a stress scenario. RAC Bidco falls within the consumer
services industry, for which we apply a 30% decline in EBITDA
relative to the base case at the point where we believe the
stress on debt service would be greatest. This resulted in
downside DSCR commensurate with a strong resilience score, from
which we derived a resilience-adjusted anchor of 'bbb'."

The class A2 notes, which rank pari passu with all other senior
notes, have an expected maturity date in May 2026, beyond the
seven-year repayment window we consider under our corporate
securitization criteria. We have consequently lowered the
resilience-adjusted anchor by one notch to account for the long
tenor of the expected maturity date.

S&P said, "We have therefore affirmed our 'BBB- (sf)' ratings on
the class A1 and A2 notes.

"Our ratings on the class A1 and A2 notes are not currently
constrained by the issuer credit ratings on any of the
counterparties, including the liquidity facility, derivatives,
and bank account providers. We note, however, that under the
transaction documents, the counterparties are allowed to invest
cash in short-term investments with a minimum required rating of
'BBB-'. Given the substantial reliance on excess cash flow as
part of our analysis and the possibility that this could be
invested in short-term investments, full reliance can be placed
on excess cash flows only in rating scenarios up to 'BBB-'.

The class B1-Dfrd notes, totaling GBP275 million, are
contractually subordinated to the class A1 and A2 notes and to
the liabilities incurred by the borrower, including the
outstanding senior term and revolving credit facilities. The
class B1-Dfrd notes bear a fixed interest rate of 5.00%, which
will step down to 4.50% following their expected maturity date on
Nov. 22, 2022. S&P's rating on the class B1-Dfrd notes addresses
the ultimate payment of principal and the ultimate payment of

S&P estimates that this new issuance will result in a class B1-
Dfrd notes leverage ratio of about 8.0:1, based on fiscal year
2016 reported EBITDA of GBP183 million, excluding cash available
at the borrower level and considering that the revolving credit
facility is not drawn.

The class B1-Dfrd notes are structured as soft-bullet notes due
in 2046, but with interest and principal due and payable to the
extent received under the B1-Dfrd loans. Under the terms and
conditions of the class B1-Dfrd loan, if the loan is not repaid
on its expected maturity date, interest will no longer be due and
will be deferred. The deferred interest, and the interest accrued
thereafter, becomes due and payable on the final maturity date of
the class B1-Dfrd notes in May 6, 2046. S&P said, "Our analysis
focuses on scenarios in which the loans underlying the
transaction are not refinanced at their expected maturity dates.
We therefore consider the class B1-Dfrd notes as deferring,
accruing interest following the class A term loan's expected
maturity date, and receiving no further payments until all of the
class A debt is fully repaid."

Moreover, under the terms and conditions, further issuances of
class A notes are permitted without consideration given to any
potential effect on the then current rating on the outstanding
class B1-Dfrd notes.

S&P said, "Both the extension risk, which we view as highly
sensitive to the future performance of the borrowing group given
its deferability, and the ability to issue more senior debt
without consideration given to the rating on the class B1-Dfrd
notes, may adversely affect the issuer's ability to repay the
class B1-Dfrd notes. As a result, the uplift above the borrowing
group's creditworthiness reflected in our rating is limited.
Consequently, we have assigned our 'B (sf)' rating to the class
B1-Dfrd notes."

The class B1-Dfrd notes' issuance proceeds were advanced by RAC
Bond Co. (the issuer) to RAC Ltd. (the borrower) under a new
class B1 issuer borrower loan agreement (IBLA). The borrower used
the B1 loan issuance proceeds, less transaction costs, to pay a
dividend to RAC Midco II Ltd., the entity directly outside the
securitization group, and transaction fees.

Operating cash flows from Holdco and its subsidiaries (the
obligors), which include the borrower, are available to service
the borrower's financial obligations. In S&P's analysis, it has
excluded any projected cash flows from RAC Insurance, which has
not granted security due to regulatory considerations. The
obligors jointly and severally guarantee each other's

A corresponding class B issuer/borrower loan was established and
a loan agreement is in place, containing covenants that are more
in keeping with covenant-light high-yield standards. However,
those covenants will only become effective if both the class A
debt is fully repaid, and a rating agency confirmation is
received on the outstanding rating on the class B1-Dfrd notes.

S&P said, "Therefore, our rating does not reflect the covenant
package available to the class B1-Dfrd noteholders under the
class B IBLA. Instead, it considers the strength of the covenants
made in the class A IBLA. That said, the covenant package allows
for various forms of permitted indebtedness (e.g., leases
obligations, credit facilities, debt, etc.), investments, and
liens that may be related to "similar businesses," which the
agreement defines fairly broadly and whose contributions to the
obligor group are unclear. In addition, the class B1-Dfrd notes'
covenant package permits the establishment of a receivables
financing program. Lastly, it is our understanding that the
change of control provisions and the associated rights granted to
the class B1-Dfrd noteholders following a change of control may
contain a carve-out that limits the determination to instances
where a downgrade has occurred within 60 days of the change of
control event itself."

RAC Bond Co. is a corporate securitization of the obligors' (RAC
Bidco [Holdco] and its subsidiaries, excluding RAC Insurance Ltd.
and RACMS (Ireland) Ltd.) operating businesses, which include
roadside services, insurance brokering, motoring services, and
telematics and data services.


S&P said, "A change in our assessment of the company's BRP would
likely lead to a rating action on the class A1 and A2 notes. We
would require higher/lower DSCRs for a weaker/stronger BRP to
achieve the same anchor.


"We do not currently see a scenario that would lead us to raising
our assessment of RAC Bidco's business risk profile or our
ratings on the notes.


"We could lower our ratings on the class A1 and A2 notes if the
business' minimum projected DSCR falls below 1.30:1 in our base-
case DSCR analysis or 1.80:1 in our downside analysis--falling
below 1.80:1 would change the resilience score from strong to
satisfactory and affect the maximum achievable resilience-
adjusted anchor. This could happen if the group faces significant
customer losses, lower revenue per customer, structural changes
in its key segment due to significant technology changes, or if
there is a significant increase in pension liability, which
could, in our view, reduce cash flows available to the borrowing
group to service its rated debt."


  RAC Bond Co. PLC
  GBP1.175 Billion Asset-Backed Fixed-Rate Notes

  Rating Assigned

  Class            Rating           Amount
                                   (mil. GBP)

  B1-Dfrd          B (sf)            275.0

  Ratings Affirmed

  A1               BBB- (sf)
  A2               BBB- (sf)

SANDWELL NO.1: S&P Affirms CCC- Rating on Class E Notes
S&P Global Ratings affirmed its credit ratings on Sandwell
Commercial Finance No.1 PLC's class C, D, and E notes.

S&P said, "The affirmations follow our analysis of the credit
quality of the 13 loans backing the transaction. We have reviewed
the transaction's five key rating factors (credit quality of the
securitized assets, legal and regulatory risks, operational and
administrative risks, counterparty risks, and payment structure
and cash flow mechanisms)."

Sandwell Commercial Finance No.1 is a true sale European
commercial mortgage-backed securities (CMBS) transaction that
closed in 2004, with notes totaling GBP250.0 million. The
original 134 loans were secured on 250 properties in England and
Wales. As of the last available investor report, 13 loans remain
with a current securitized loan balance of GBP17.54 million.

S&P said, "Upon publishing our updated S&P Cap Rates for various
jurisdictions and property types, we placed those ratings that
could potentially be affected "under criteria observation" (see
"Application Of Property Evaluation Methodology In European CMBS
Transactions," published on April 28, 2017). Following our review
of this transaction, our ratings that could potentially be
affected are no longer under criteria observation.


"Our analysis considers the revenue and expense drivers affecting
the portfolio of properties in forecasting property cash flow, in
order to make appropriate adjustments. These adjustments are
intended to minimize the effects of near-term volatility and
ensure that the net cash flow (NCF) figure derived from the
analysis represents our view of a long-term sustainable NCF (S&P
NCF) for the portfolio of properties. This S&P NCF is then
converted into an expected-case value (S&P Value) using a direct
capitalization approach and capitalization rates calibrated to
our expected-case approach, which is akin to a 'B' stress level.
We derive our view of the loan-to-value ratio (S&P LTV ratio) by
applying our CMBS global property evaluation methodology. We
consider the S&P LTV ratio in our transaction-level analysis, in
conjunction with stressed recovery parameters and pool diversity
metrics, to determine credit risk and ultimately credit
enhancement for a CMBS transaction at each rating category in
accordance with our European CMBS criteria (see "CMBS
Global Property Evaluation Methodology, " published on Sept. 5,
2012, and "European CMBS Methodology And Assumptions," published
on Nov. 7, 2012).

"Our credit analysis also takes into account our foreign currency
long-term sovereign rating on the relevant jurisdiction (see
"Ratings Above The Sovereign - Structured Finance: Methodology
And Assumptions," published on Aug. 8, 2016)."

The securitized loan pool is secured against 14 properties
(retail [42.9%], office [21.4%], light industrial [21.4%], and
other [14.3%]) located throughout England and Wales. On April 30,
2017, the securitized property portfolio was 100% let.

Out of the 13 Loans backing the transaction, two loans have
failed to repay at maturity.

S&P said, "We also understand that some previous loans (no longer
in the pool) had previously repaid at a loss. In this
transaction, principal losses are not directly applied reverse
sequentially toward the notes' redemption, but instead accrue on
a principal deficiency ledger (PDL). To date, the PDL associated
with the class E notes is GBP2.65 million. This represents about
53.2% of the class E notes' balance."


Securitized loan balance: GBP17.54 million
Weighted-average interest coverage ratio: 6.09x
Weighted-average debt service coverage ratio: 2.93x
Weighted-average LTV ratio: 73.7%
Market value: GBP27.1 million


S&P NCF: GBP1.89 million
S&P Value: GBP11.6 million
Net yield: 16.3%
Haircut-to-market value: 52%
S&P LTV ratio (before recovery rate adjustments): 151%


S&P said, "We apply our operational risk criteria to assess the
operational risk associated with transaction parties that provide
an essential service to a structured finance issuer (see "Global
Framework For Assessing Operational Risk In Structured Finance
Transactions," published on Oct. 9, 2014). Where we believe that
operational risk could lead to credit instability and have an
effect on our ratings, these criteria call for rating caps that
limit the securitization's maximum potential rating.

"Our assessment of the operational risk associated with the
transaction parties does not constrain our ratings in this


"Under our legal criteria, we assess the extent to which a
securitization structure isolates securitized assets from
bankruptcy or insolvency risk of the entities participating in
the transaction, as well as the special-purpose entities'
bankruptcy remoteness (see "Structured Finance: Asset Isolation
And Special-Purpose Entity Methodology," published on March 29,

"Our assessment of the legal and regulatory risk is commensurate
with the rating assigned.


"Our current counterparty criteria allow us to rate the notes in
structured finance transactions above our ratings on related
counterparties if a replacement framework exists and other
conditions are met. The maximum ratings uplift depends on the
type of counterparty obligation.

"The maximum rating achievable for this transaction under our
current counterparty criteria, is constrained by the issuer
credit rating (ICR) on the bank account provider and guaranteed
investment contract provider, Barclays Bank PLC (A-/Negative/A-
2). In accordance with our current counterparty criteria, this
counterparty can support a maximum potential rating of 'A-' (the
long-term ICR) in this transaction.


"Our ratings analysis includes an analysis of the transaction's
payment structure and cash flow mechanics. We assess whether the
cash flow from the securitized assets would be sufficient, at the
applicable rating levels, to make timely payments of interest and
ultimate repayment of principal by the legal maturity date for
each class of notes, after taking into account available credit
enhancement and allowing for transaction expenses and external
liquidity support."

The transaction maintains a GBP2 million liquidity facility, set
up to mitigate senior expenses and interest payment shortfalls.
As of April 2017 the existing reserve fund had been fully used.


S&P said, "We consider the available credit enhancement for the
class C notes to adequately mitigate the risk of losses from the
underlying loans in higher stress scenarios. That said, our
rating on the class C notes is constrained at 'A- (sf)' due to
counterparty reasons. We have therefore affirmed our 'A- (sf)'
rating on the class C notes.

"Our analysis indicates that the available credit enhancement for
the class D notes is not sufficient to mitigate the risk of
principal losses from the underlying loans in a 'B' stress
scenario. In our opinion, this class of notes' repayment is not
dependent upon favorable business, financial, and economic
conditions notes (see "Criteria For Assigning 'CCC+', 'CCC',
'CCC-', And 'CC' Ratings," published on Oct. 1, 2012). We have
therefore affirmed our 'B- (sf)' rating on the class D notes.

"Our analysis indicates that the class E notes is currently
vulnerable to nonpayment, and is dependent upon favorable
business, financial, and economic conditions, and face at least a
one-in-two likelihood of default. We have therefore affirmed our
'CCC- (sf)' rating on the class E notes in line with our


  Sandwell Commercial Finance No.1 PLC
  GBP250 Million Commercial Mortgage-Backed Floating-Rate Notes

  Class        Rating

  Ratings Affirmed

  C            A- (sf)
  D            B- (sf)
  E            CCC- (sf)

SANTANDER ASSET: S&P Keeps 'BB/B' Ratings on Watch Positive
S&P Global Ratings Services said it has maintained its
CreditWatch positive placement on its 'BB/B' long- and short-term
counterparty credit ratings on Jersey-based Santander Asset
Management Holdings Ltd. (SAM).

S&P also maintained the CreditWatch positive placement on its
'BB' issue ratings on the company's senior secured debt.

On Nov. 16, 2016, Banco Santander announced its intention to buy
back the 50% of SAM that it sold to two private equity investors,
Warburg Pincus and General Atlantic, in 2013. Santander, Warburg
Pincus, and General Atlantic also agreed to work toward a
disposal of their participation in Allfunds Bank S.A. S&P said,
"We note that this transaction is subject to the customary
regulatory approvals and is likely to be completed toward the end
of 2017.

"We consider the share buybacks as positive for SAM's credit
profile because integration within a higher-rated banking group
indicates a higher likelihood of SAM receiving financial support
if it faced financial difficulty. Currently, we view SAM as
nonstrategic to Santander and therefore do not factor any notches
of group support into our ratings. Our assessment of SAM's group
status was based on Santander's lack of a controlling interest in
SAM under the current structure. We therefore considered SAM
unlikely to receive support from Santander.

"In our view, Santander's decision to buy back the shares in SAM
signals that it views the asset management business as being of
increased strategic importance to the group. In particular, it
offers the prospect of increasing stable and recurring fee income
in the current low interest rate environment for banks.

"The CreditWatch placement reflects our view that we could revise
our group status assessment of SAM to at least moderately
strategic from nonstrategic after the transaction closes, as we
consider the likelihood of support to be much more credible from
a parent with 100%-equity ownership. We could also see other
positive effects on SAM's stand-alone credit profile in the
longer term, given that we do not expect it will need to operate
with such high leverage. This could entail an upgrade of up to
four or five notches upon completion of the Allfunds Bank sale
and the share buyback by Santander. This would reflect potential
group support from its 100% owner Santander and an improved
financial risk assessment given the likely removal of our
financial sponsor cap and potential reduction in outstanding

SAM consolidates the asset management subsidiaries of Banco
Santander S.A. into a separate entity. The 'BB' issuer credit
rating on the company is based on the 'bb' group credit profile
(GCP) of the operating entities that comprise the SAM group. S&P
said, "We equalize the ratings on the company with the GCP of SAM
(that is, we do not notch down for structural subordination)
given our view that there are no material barriers to cash flows
from the operating entities to the company. We do not factor any
notches of uplift for potential extraordinary support from Banco
Santander into the ratings given our view that SAM is a
nonstrategic subsidiary. Instead, we incorporate the ongoing
benefits of SAM's association with Banco Santander in the GCP."

SAM is a Europe and Latin America-focused asset manager operating
in 10 countries with over 600 employees. Its total assets under
management (AUM) as of March 31, 2017 was EUR181.4 billion
(broadly unchanged from EUR180.6 billion as of year-end 2016 and
up from EUR158.8 billion as of year-end 2015), making it a
midsize manager in global terms. In terms of business mix, SAM
has a bias toward retail clients, fixed income products
(including pensions), and money market products. As of Dec. 31,
2016, Brazil (34% of AUM) and Iberia (Spain and Portugal; 40% of
AUM) were SAM's two largest markets in terms of share of AUM and
profits. The U.K. is the third most important market for SAM with
a broadly diversified product offering. AUM in the U.K. business
amounted to EUR21.2 billion at end-2015. SAM also has a
meaningful presence in Mexico, where it is the third-largest
asset manager by market share, and a smaller presence in
Argentina, Chile, and Puerto Rico.

S&P's view of SAM's satisfactory business risk is based on:

  -- SAM's competitive market positions in its core Latin
American and Iberian markets, common brand with Banco Santander,
and sizable AUM base spread across primarily low risk products.
SAM's track record of fund inflows is also a supportive factor.
  -- SAM's strategy to continue to leverage Banco Santander's
extensive branch network in its core markets to drive business
volume growth.

S&P said, "We understand this is a symbiotic relationship as the
distribution agreement with the bank is an important pillar of
this strategy and Banco Santander views SAM's investment platform
as an integral part of its retail client offering. Overall, we
view SAM's long-term captive distribution agreement with Banco
Santander as a supportive factor for our assessment of the
group's business stability. We view SAM's investment performance
as neutral to the ratings. While overall investment performance
is satisfactory and generally in the second quartile or above,
there is variance by country and asset class. In terms of
profitability, we expect SAM to operate in the 20%-35% EBITDA
margin band, which we consider to be average compared to peers.
Our view of SAM's aggressive financial risk profile reflects its
50% ownership by two private equity firms. We calculate 2016
gross debt to adjusted EBITA at 3.3x and EBITDA coverage of gross
interest expense at 6.1x. These metrics have improved from
previous years driven by higher EBITDA based on higher net
commission income and higher dividends from Allfunds Bank.

"We believe SAM has strong liquidity based on its likely sources
and uses of cash over the next 12-18 months. The existing EUR985
million senior secured term loan matures in 2020 and we view the
absence of any near-term refinancing risk as supportive of the
ratings. We expect that SAM will maintain satisfactory levels of
liquidity beyond what is needed for regulatory requirements at
operating subsidiaries. SAM reported cash and short-term bank
deposits of EUR329 million at end-2016 (EUR310 million at end-
2015). In addition, there is a $200 million senior secured
revolving credit facility (RCF) for further liquidity support.


"We intend to resolve the CreditWatch placement upon the signing
of final terms and receipt of regulatory approvals for the
transaction. When we resolve the CreditWatch placement, we could
raise the ratings by up to four or five notches to reflect our
expectation of SAM's greater strategic importance within the
Santander group, as well as likely improvements in its leverage
profile following the completion of the transaction. We could
affirm the ratings if the transaction does not proceed."


Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than US$3 per
share in public markets.  At first glance, this list may look
like the definitive compilation of stocks that are ideal to sell
short.  Don't be fooled.  Assets, for example, reported at
historical cost net of depreciation may understate the true value
of a firm's assets.  A company may establish reserves on its
balance sheet for liabilities that may never materialize.  The
prices at which equity securities trade in public market are
determined by more than a balance sheet solvency test.

Each Friday's edition of the TCR includes a review about a book
of interest to troubled company professionals.  All titles are
available at your local bookstore or through  Go to order any title today.


S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter-Europe is a daily newsletter co-
published by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Valerie U. Pascual, Marites O. Claro, Rousel Elaine T. Fernandez,
Joy A. Agravante, Julie Anne L. Toledo, Ivy B. Magdadaro, and
Peter A. Chapman, Editors.

Copyright 2017.  All rights reserved.  ISSN 1529-2754.

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

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

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

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