TCREUR_Public/170727.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

           Thursday, July 27, 2017, Vol. 18, No. 148


                            Headlines


A U S T R I A

RAIFFEISEN BANK: Moody's Rates EUR650MM Tier 1 Notes B1(hyb)


F R A N C E

BANIJAY GROUP: Fitch Assigns B+ Long-Term Issuer Default Rating


G E R M A N Y

PINO KUECHEN: Court Orders Provisional Self-Administration


I R E L A N D

COMMERCIAL MORTGAGE 2016-2: S&P Cuts Rating on Cl. C Notes to B+
CVC CORDATUS V: Moody's Assigns B2(sf) Rating to Class F-R Notes
CVC CORDATUS V: S&P Assigns B- (sf) Rating to Class F-R Notes


I T A L Y

CAPITAL MORTGAGE: S&P Raises Rating on Class E Notes to B-
M ESTATE: Commissioners Invite Binding Offers for Assets


N E T H E R L A N D S

AURORUS 2017: S&P Assigns Prelim. B Rating to Class F-Dfrd Notes
BNPP AM 2017: Moody's Assigns (P)B2(sf) Rating to Cl. F Notes
BNPP AM 2017: Fitch Assigns 'B-(EXP)' Rating to Class F Notes
MALIN CLO: S&P Raises Rating on Class E Notes to BB+ (sf)
MESDAG BV: S&P Lowers Rating on Class A Notes to 'B+ (sf)'


P O R T U G A L

NOVO BANCO: Launches Debt Swap to Conclude Lone Star Sale


R U S S I A

BM-BANK JSC: Moody's Withdraws Ba2 Long-Term Deposit Rating
CREDIT BANK: S&P Affirms 'BB-/B' Credit Ratings, Outlook Stale
KURGANMASHZAVOD OAO: Court Receives Bankruptcy Application
VENTRELT HOLDINGS: Fitch Affirms BB- IDR; Outlook Stable


U N I T E D   K I N G D O M

FORMULA ONE: S&P Upgrades CCR to 'B+', Outlook Stable
HANDMADE BURGER: Administrators Find Buyer for Business
JOY: Creditors Receive 2p in the Pound in Pre-Pack Administration
SIGNET UK: Moody's Assigns Ba1 Corporate Family Rating
TWIN BRIDGES 2017-1: Moody's Assigns B2 Rating to Cl. X2 Notes

TWIN BRIDGES 2017-1: Fitch Rates GBP5.80MM Class X2 Notes 'BB-sf'


                            *********


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A U S T R I A
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RAIFFEISEN BANK: Moody's Rates EUR650MM Tier 1 Notes B1(hyb)
------------------------------------------------------------
Moody's Investors Service has assigned a B1(hyb) rating to
Raiffeisen Bank International AG's (RBI) EUR650 million "Fixed to
Reset Rate Additional Tier 1 Notes of 2017" (ISIN XS1640667116),
based on the prospectus dated June 29, 2017. At the same time,
Moody's has affirmed RBI's subordinated debt ratings at Ba1,
reflecting the agency's unchanged assessment that under its
Advanced Loss Given Failure (LGF) analysis, these liabilities
continue to indicate a moderate loss-given-failure.

RATINGS RATIONALE

ASSIGNMENT OF LOW TRIGGER AT1 INSTRUMENT RATING

The B1(hyb) rating assigned to RBI's "low trigger" Additional
Tier 1 (AT1) securities takes into account the instrument's
undated deeply subordinated claim in liquidation as well as its
non-cumulative coupon deferral features. The AT1 securities are
senior only to RBI's ordinary shares and other capital
instruments that qualify as Common Equity Tier 1 (CET1). In
addition, the instrument's principal is subject to a write-down
on a contractual basis if: (1) RBI's consolidated or standalone
CET1 ratio falls below 5.125%; (2) the issuer receives public
support; and/or (3) the Austrian Financial Market Authority (FMA)
determines that the conditions for a write-down of the instrument
are fulfilled and orders such a write-down as a measure to
prevent in the solvency.

The rating reflects RBI's ba1 adjusted Baseline Credit Assessment
(BCA); a high loss-given-failure for the AT1 instrument under
Moody's Advanced LGF analysis, which results in a position one
notch below the bank's Adjusted BCA; and the instrument's coupon
skip mechanism and write-down features, which reduce the rating
by an additional two notches.

AFFIRMATION OF SUBORDINATED DEBT RATINGS

The affirmation of RBI's subordinated debt ratings at Ba1,
including those instrument ratings that are assumed by RBI,
reflect Moody's unchanged assessment that under its Advanced LGF
analysis, these liabilities continue to indicate a moderate loss-
given-failure. The rating agency's assessment takes into account
(1) RBI's current volume of subordinated debt instruments
outstanding, the volume of outstanding Tier 1 instruments, and
the volume of the newly issued "low trigger" AT1 instrument; as
well as (2) Moody's expectation that RBI will exercise its call
option on certain Tier 2 securities at call date in the first
half of 2018. This analysis and assumption leads to the unchanged
loss-given-failure of RBI's subordinated debt.

RATING OUTLOOK

Ratings on subordinated instruments, including AT1 instruments,
do not carry outlooks.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE

RBI's ratings, including the rating on its AT1 instruments, could
be upgraded following a further meaningful improvement in the
bank's asset quality, a further significant strengthening of its
capitalization, and a material improvement in the bank's
profitability without an increase in its risk profile.

RBI's subordinated debt could be upgraded following an increase
in its volume of subordinated liabilities or the amount of bail-
inable debt and securities ranking junior to subordinated debt,
beyond Moody's current expectations and assumptions. This may
lead to more notches of rating uplift under Moody's Advanced LGF
analysis for this debt class.

Conversely, RBI's ratings could be downgraded following (1) a
downgrade of the bank's BCA; and/or (2) a reduction of Moody's
affiliate support assumption from Austria's Raiffeisen banking
sector. Downward pressure on RBI's BCA could be triggered by (1)
a material set-back in the bank's effort to contain asset risks;
(2) substantial additional credit charges beyond those currently
expected; (3) an extended period of declining earnings and
internal capital generation; and/or (4) a decline in
capitalisation and regulatory capital buffers.

LIST OF AFFECTED RATINGS

Issuer: Raiffeisen Bank International AG

The following rating has been assigned:

-- Preferred Stock non-cumulative rating (low-trigger AT1) of
    B1(hyb)

The following ratings have been affirmed:

-- Subordinate at Ba1

-- Subordinate (MTN) at (P)Ba1

Issuer: Raiffeisen Zentralbank Oesterreich AG

-- Subordinate at Ba1 (debts assumed by RBI)

-- Senior Subordinate at Ba1 (debts assumed by RBI)

PRINCIPAL METHODOLOGY

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


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F R A N C E
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BANIJAY GROUP: Fitch Assigns B+ Long-Term Issuer Default Rating
---------------------------------------------------------------
Fitch Ratings has assigned French media group Banijay Group SAS a
final 'B+' Long-Term Issuer Default Rating (IDR) with a Stable
Outlook. Fitch has also assigned a final rating of 'BB'/'RR2' to
Banijay's issue of senior secured debt for refinancing.

Banijay has an experienced management team that has maintained
cost discipline during the expansion of non-scripted content.
Non-scripted content is exposed to shifts in consumer sentiment,
but Banijay has demonstrated an ability to adapt to these trends,
including through customer diversification, with success in
renewing shows for multiple seasons and in syndicating them to
multiple countries.

The rating is constrained by the company's high leverage, more
limited size than peers, and the low monetisation of the
company's back catalogue through Banijay Rights. If Banijay
continues to attract talented producers that understand the local
market and to expand its geographic reach, its ratings will
benefit.

KEY RATING DRIVERS

Leading Independent TV Producer: Banijay is the fourth-largest
producer of TV content and the largest independent producer
globally. The success of scripted dramas such as "Versailles" and
the rapid growth of over-the-top (OTT) platforms such as Netflix
is leading to additional content demand across the industry.
However, the cost of production and the length of development
mean there is limited ability to produce new scripted content,
whereas Banijay's focus on non-scripted content means it can be
produced and delivered quickly.

Greater Scale and Diversification: The recent acquisition of
Zodiak has expanded the production of scripted shows. Including
the pending Castaway transaction, scale has improved
significantly, with revenue and EBITDA more than doubling. The
mergers have also enhanced Banijay's library in scripted and non-
scripted content and added greater geographical diversification.
Banijay plans to increase scripted content to up to 20% of sales
over the medium term. This has the potential to increase the need
for working capital as a scripted show can take up to two years
to produce and some offsets, such as tax credits, are only
received at the end of production.

Consistent FCF Generation despite Earn-Outs: Banijay's business
is free cash flow (FCF)-positive; capex is low due to a asset-
light operating model. Fitch expects funds from operations (FFO)
margins to fall to around 7% through 2019 from above 9% in 2016,
due to higher interest expense following the refinancing. Fitch
forecasts consistently positive FCF, which will be used to
finance over EUR100 million in earn-out payments in 2017 and
2018, but Fitch expects cash balances to grow thereafter.

Renewals Mitigate Business Cycle Risk: The risk of shows not
being renewed and the potential for decreased demand among
broadcast networks or OTTs due to the business cycle is mitigated
by the success Banijay has had in renewing its existing shows and
distributing them in additional geographies. The development of
Banijay Rights after the Zodiak acquisition should improve the
company's ability to monetise its back catalogue and further
enhance revenue visibility.

Above-Average Recoveries: Fitch uses a bespoke recovery approach
for credits whose IDR is 'B+' or below. For Banijay, Fitch uses a
going-concern approach where it assumes post-restructuring EBITDA
is 25% below its 2017 forecast EBITDA, a 5.5x distressed
multiple, and 10% of going-concern enterprise value (EV) is
deducted for administrative claims. Fitch also assumes that the
company's revolving credit facility (RCF), term loan and senior
secured note are pari passu and that the RCF would be fully drawn
upon default. Fitch therefore assigns a Recovery Rating of 'RR2'
to the senior secured debt with recoveries between 70% and 90%.

DERIVATION SUMMARY

Banijay is the leading independent TV production studio and the
fourth-largest globally. Its primary competitors are EndemolShine
Group, ITV Studios, FremantleMedia and All3Media. It has a
greater proportion of unscripted content than its peers, although
the acquisition of Zodiak increases its exposure to scripted
content.

KEY ASSUMPTIONS

Fitch's key assumptions within Fitch ratings case for the issuer
include:
- Revenue growth trending towards 6% in 2019;
- EBITDA margin stable at 11.5%;
- Increased demand for working capital due to the shift towards
   producing scripted content;
- Over EUR100 million in payments for earn-outs and put options
   between 2017 and 2019.

KEY RECOVERY RATING ASSUMPTIONS

In addition to the recovery assumptions described above, Fitch
considered the following factors in its recovery analysis.

- The going-concern EBITDA estimate reflects Fitch's view of a
   sustainable, post-reorganisation EBITDA level upon which Fitch
   base the valuation of the company. The going-concern EBITDA is
   25% below forecast 2017 EBITDA to reflect the industry's move
   from top of the cycle conditions to mid-cycle conditions and
   intensifying competitive dynamics. This discount reflects the
   loss of several large shows and a decline in demand for
   scripted and non-scripted content.
- An EV multiple of 5.5x is used to calculate a post-
   reorganisation valuation. The estimate considered the EV
   multiple of Fitch rated peers at 5.5x and current EV multiples
   of public companies similar to Banijay trading at the 8x-12x
   range, with the industry considered at the peak of the cycle.

RATING SENSITIVITIES

Future Developments That May, Individually or Collectively, Lead
to Positive Rating Action
- FFO-adjusted net leverage trending below 4x.
- FFO fixed charge coverage above 3.5x.
- Increased scale with sales above EUR1 billion, improved mix
   between non-scripted and scripted content and further
   development of the digital strategy.
- Successful development of the Banijay Rights business and
   expansion into additional geographies.

Future Developments That May, Individually or Collectively, Lead
to Negative Rating Action
- FFO-adjusted net leverage trending above 5x.
- FFO fixed charge coverage below 3x.
- Inability to turn around the businesses in Spain and Germany.
- Failure to renew leading shows and delays in the development
   of the digital strategy.

LIQUIDITY

Satisfactory Liquidity: Banijay has comfortable liquidity, with
EUR73 million in cash on balance sheet for 2016, consistently
positive FCF, a EUR35 million RCF once the refinancing is
completed and modest working-capital swings. Fitch believes that
the transition to a greater proportion of scripted content will
increase working capital requirements, but Banijay's liquidity is
sufficient to meet those needs.


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G E R M A N Y
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PINO KUECHEN: Court Orders Provisional Self-Administration
----------------------------------------------------------
Reuters reports that Alno AG on July 24 said the District Court
of Hechingen ordered provisional self-administration for pino
kuechen GmbH following an application on July 21.

According to Reuters, the application was necessary as
negotiations with the creditors of pino kuechen did not lead to
any agreement.

pino Kuechen GmbH was founded in 1994 in Klieken, Saxony-Anhalt,
as a wholly-owned subsidiary of ALNO AG. PINO is the entry-level
brand of the ALNO group.  With eight different ranges and 38 door
colours, it offers a contemporary range that is sold mainly in
the lower price segment.


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I R E L A N D
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COMMERCIAL MORTGAGE 2016-2: S&P Cuts Rating on Cl. C Notes to B+
----------------------------------------------------------------
S&P Global Ratings lowered its credit ratings on Commercial
Mortgage Funding DAC series 2016-2's class A, B, and C notes.

S&P said, "Today's downgrades follow our review of 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)."

Commercial Mortgage Funding's series 2016-2 is a retranching of
the class A senior notes issued by MESDAG (Delta) B.V. MESDAG
(Delta) is a single-loan Dutch commercial mortgage-backed
securities (CMBS) transaction that closed in July 2007, with an
initial note balance of EUR638.4 million. The securitized loan
balance has now reduced to EUR590.7 million and is now secured on
55 Dutch commercial properties (down from 77 at closing).

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."

CREDIT QUALITY OF THE SECURITIZED ASSETS

The issuer owns EUR27.5 million of class A notes issued by MESDAG
(Delta) (see "Rating Lowered On CMBS Transaction MESDAG (Delta)'s
Class A Senior Notes Following Review; Other Classes Affirmed,"
published on July 21, 2017). Commercial Mortgage Funding series
2016-2's class A notes represent 83.8% of the purchased amount,
and the class B and C notes each represent 8.1%.

As the series 2016-2 class A notes have a senior claim to
principal receipts, we are able to rate these notes higher than
our rating on MESDAG (Delta)'s class A notes (see "Global
Methodology For Rating Retranchings Of ABS, CMBS, And RMBS,"
published on Aug. 1, 2016).

OPERATIONAL RISKS

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
transaction."

LEGAL AND REGULATORY RISKS

S&P said, "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,
2017).

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

COUNTERPARTY RISKS

S&P said, "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 (see "Counterparty Risk Framework
Methodology And Assumptions," published on June 25, 2013). The
maximum ratings uplift depends on the type of counterparty
obligation.

"Our assessment of the counterparty risk for this transaction
does not constrain the ratings assigned."

PAYMENT STRUCTURE AND CASH FLOW MECHANICS

S&P said, "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 in January 2035, after taking into account
available credit enhancement and allowing for transaction
expenses and external liquidity support."

The class A, B, and C notes are zero coupon bonds. Issuer
expenses in the transaction are paid through a EUR100,000 reserve
fund, which was funded at closing (EUR24,350 has been used to
date). The seller committed to replenish the fund annually (up to
a maximum amount of EUR75,000 in the reserve fund at any time)
starting on the second anniversary of the closing date.
Additionally, the seller funds any issuer expenses shortfalls
that could occur on any note payment date, should the reserve
fund be insufficient. Failure to pay issuer expenses on any note
payment date would result in these amounts being deferred, and
would not trigger an event of default in this transaction.

Commercial Mortgage Funding series 2016-2's payment of principal
on the class A, B, and C notes is mainly dependent on receipt of
principal from MESDAG (Delta)'s class A notes. Principal receipts
are paid sequentially--first to the class A notes and then to the
class B and C notes.

S&P's assessment of the payment structure and cash flow mechanics
for this transaction does not constrain its ratings in this
transaction.

RATING ACTIONS

S&P said, "We consider the available credit enhancement for the
class A, B, and C notes to be insufficient to absorb the amount
of losses that the underlying properties would suffer at the
currently assigned rating levels. We have therefore lowered to
'BBB- (sf)' from 'BBB (sf)' our rating on the class A notes, to
'BB (sf)' from 'BB+ (sf)' our rating on the class B notes, and to
'B+ (sf)' from 'BB- (sf)' our rating on the class C notes."

RATINGS LIST

  Commercial Mortgage Funding DAC
  EUR27.978 mil commercial mortgage-backed notes
                                       Rating
    Class         Identifier           To              From
    A             XS1539836749         BBB- (sf)       BBB (sf)
    B             XS1539837556         BB (sf)         BB+ (sf)
    C             XS1539837630         B+ (sf)         BB- (sf)


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

-- EUR2,000,000 Class X Senior Secured Floating Rate Notes due
    2030, Definitive Rating Assigned Aaa (sf)

-- EUR263,000,000 Class A-R Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aaa (sf)

-- EUR32,000,000 Class B-1-R Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aa2 (sf)

-- EUR30,000,000 Class B-2-R Senior Secured Fixed Rate Notes due
    2030, Definitive Rating Assigned Aa2 (sf)

-- EUR30,000,000 Class C-R Senior Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned A2 (sf)

-- EUR23,000,000 Class D-R Senior Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned Baa2 (sf)

-- EUR28,000,000 Class E-R Senior Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned Ba2 (sf)

-- EUR13,000,000 Class F-R Senior Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned B2 (sf)

Moody's assigned provisional ratings to the notes in this
transaction on June 30, 2017.

RATINGS RATIONALE

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

The Issuer issued the Refinancing Notes in connection with the
refinancing of the following classes of notes: Class A Notes,
Class B Notes, Class C Notes, Class D Notes, Class E Notes and
Class F Notes due 2029 (the "Original Notes"), previously issued
on May 21, 2015 (the "Original Closing Date"). On the Refinancing
Date, the Issuer has used the proceeds from the issuance of the
Refinancing Notes to redeem in full its respective Original
Notes. On the Original Closing Date, the Issuer also issued
EUR47.8M of Subordinated Notes, which remain outstanding.

CVC Cordatus V is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured loans and senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior loans, second-lien loans, mezzanine obligations and high
yield bonds. The underlying portfolio is 100% ramped as of the
second refinancing closing date.

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

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

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

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

Loss and Cash Flow Analysis:

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

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

Par Amount: EUR452,000,000

Diversity Score: 41

Weighted Average Rating Factor (WARF): 2850

Weighted Average Spread (WAS): 3.80%

Weighted Average Coupon (WAC): 4.75%

Weighted Average Recovery Rate (WARR): 43.5%

Weighted Average Life (WAL): 8.5 years.

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 provisional ratings
assigned to the rated notes. This sensitivity analysis includes
increased default probability relative to the base case. Below is
a summary of the impact of an increase in default probability
(expressed in terms of WARF level) on each of the rated notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds
to higher expected losses), holding all other factors equal:

Percentage Change in WARF: WARF + 15% (to 3278 from 2850)

Ratings Impact in Rating Notches:

Class X Senior Secured Floating Rate Notes: 0

Class A-R Senior Secured Floating Rate Notes: 0

Class B-1-R Senior Secured Floating Rate Notes: -2

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

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

Class D-R Senior Secured Deferrable Floating Rate Notes: -2

Class E-R Senior Secured Deferrable Floating Rate Notes: -1

Class F-R Senior Secured Deferrable Floating Rate Notes: 0

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

Ratings Impact in Rating Notches:

Class X Senior Secured Floating Rate Notes: 0

Class A-R Senior Secured Floating Rate Notes: -1

Class B-1-R Senior Secured Floating Rate Notes: -3

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

Class C-R Senior Secured Deferrable Floating Rate Notes: -4

Class D-R Senior Secured Deferrable Floating Rate Notes: -3

Class E-R Senior Secured Deferrable Floating Rate Notes: -2

Class F-R Senior Secured Deferrable Floating Rate Notes: -2

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.


CVC CORDATUS V: S&P Assigns B- (sf) Rating to Class F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to CVC Cordatus
Loan Fund V DAC (CVC V)'s class X-R, A-R, B-1-R, B-2-R, C-R, D-R,
E-R, and F-R notes. The unrated subordinated notes initially
issued were not redeemed and will remain outstanding with an
extended maturity to match the newly issued notes.

The ratings assigned to CVC V'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
    tests.
-- 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 remote.

S&P said, "In our view, the transaction's documented counterparty
replacement and remedy mechanisms adequately mitigate its
exposure to counterparty risk under our current counterparty
criteria (see "Counterparty Risk Framework Methodology And
Assumptions," published on June 25, 2013).

"The application of our structured finance ratings above the
sovereign criteria indicates that the transaction's exposure to
country risk is limited at the assigned rating levels, as the
exposure to individual sovereigns does not exceed the
diversification thresholds outlined in our criteria (see "Ratings
Above The Sovereign - Structured Finance: Methodology And
Assumptions," published on Aug. 8, 2016).

"We consider that the transaction's legal structure is bankruptcy
remote, in line with our legal criteria (see "Structured Finance:
Asset Isolation And Special-Purpose Entity Methodology,"
published on March 29, 2017).

"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."

CVC V is a European cash flow corporate loan collateralized loan
obligation (CLO) securitization of a revolving pool, comprising
euro-denominated senior secured loans and bonds issued mainly by
European borrowers. CVC Credit Partners Group Ltd. is the
collateral manager. The transaction is a reset of an existing
transaction, which closed in 2015. S&P did not rate the original
transaction.

RATINGS LIST

Ratings Assigned

CVC Cordatus Loan Fund V DAC
EUR468.8 Million Fixed- And Floating-Rate Notes (Including
EUR47.8 Million
Subordinated Notes)

Class                   Rating           Amount
                                       (mil. EUR)

X-R                     AAA (sf)           2.00
A-R                     AAA (sf)         263.00
B-1-R                   AA (sf)           32.00
B-2-R                   AA (sf)           30.00
C-R                     A (sf)            30.00
D-R                     BBB (sf)          23.00
E-R                     BB (sf)           28.00
F-R                     B- (sf)           13.00
Subordinated            NR                47.80

NR--Not rated.


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


CAPITAL MORTGAGE: S&P Raises Rating on Class E Notes to B-
----------------------------------------------------------
S&P Global Ratings affirmed its credit ratings on Capital
Mortgage S.r.l. BIPCA Cordusio RMBS' class A1, A2, B, and D
notes. S&P said, "At the same time, we have raised our ratings on
the class C and E notes.

"Today's rating action follows our credit and cash flow analysis
of the most recent transaction information that we have received
as of the June 2017 payment date. We have applied our European
residential loans criteria and our structured finance ratings
above the sovereign (RAS) criteria (see "Methodology And
Assumptions: Assessing Pools Of European Residential Loans,"
published on Dec. 23, 2016, and "Ratings Above The Sovereign -
Structured Finance: Methodology And Assumptions," published on
Aug. 8, 2016).

"Since our previous review, available credit enhancement,
considering performing collateral only, has increased for all
classes of notes (see "Various Rating Actions In Italian RMBS
Transaction Capital Mortgage's BIPCA Cordusio RMBS Following
Criteria Update," published on Oct. 31, 2014)."

  Class         Available credit
                 enhancement (%)
  A1                    31.30[1]
  A2                    31.30[1]
  B                     13.61
  C                      9.52
  D                      4.37
  E                      2.80

[1]The class A1 and A2 notes have the same principal deficiency
ledger. They pay interest pro rata, while the class A1 notes are
redeemed senior to the class A2 notes according to the pre-
enforcement principal priority of payments.

This transaction features a reserve fund, which currently
represents 2.72% of the outstanding nondefaulted balance of the
mortgage assets. The reserve fund is now at its target amount,
and it is not allowed to amortize as one of the amortization
conditions has been breached.

S&P said, "Severe delinquencies of more than 90 days at 0.66% are
on average lower for this transaction than our Italian
residential mortgage-backed securities (RMBS) index (see "Italian
RMBS Index Report Q1 2017," published on June 1, 2017). Defaults
are defined as mortgage loans in arrears for more than 360 days
in this transaction. New quarterly defaults, at 0.08% (on average
in the past four quarters) of the outstanding performing balance,
are also somewhat lower than in other Italian RMBS transactions
that we rate. The portfolio is concentrated in Lombardia (52.62%)
and Emilia Romagna (25.89%), with 26.66%, 12.18%, and 8.33% of
the loans concentrated in the provinces of Brescia, Reggio-Emilia
and Bergamo, respectively. Since the pool exceeds both the
threshold province and region concentration limits, we have
applied the highest province adjustment. Prepayment levels remain
low and the transaction is unlikely to pay down significantly in
the near term, in our opinion.

"After applying our European residential loans criteria to this
transaction, our credit analysis results show a decrease in the
weighted-average foreclosure frequency (WAFF) and a decrease in
the weighted-average loss severity (WALS) for each rating level."

  Rating level    WAFF (%)    WALS (%)
  AAA                11.50       11.94
  AA                  8.96        9.21
  A                   6.75        4.42
  BBB                 5.35        2.46
  BB                  4.08        2.00
  B                   2.75        2.00

The decrease in the WAFF is mainly due to pool's high seasoning
and the lower arrears level. The decrease in the WALS is mainly
due to the application of our updated market value decline
assumptions. The overall effect is a decrease in the required
credit coverage for each rating level.

S&P said, "Under our RAS criteria, this transaction's notes can
be rated up to six notches above the sovereign rating, subject to
credit enhancement being sufficient to pass an extreme test. As
our unsolicited foreign currency long-term sovereign rating on
the Republic of Italy is 'BBB-', our RAS criteria cap at 'AA-
(sf)' our rating on the class A1 notes. For all other classes of
notes, the maximum potential rating is 'A (sf)'.

"Following the application of our RAS criteria and our European
residential loans criteria, we have determined that our assigned
rating on each class of notes in this transaction should be the
lower of (i) the rating as capped by our RAS criteria and (ii)
the rating that the class of notes can attain under our European
residential loans criteria. In this transaction, the ratings on
the class A1, A2, B, and C notes are constrained by the rating on
the sovereign.

"Taking into account the results of our updated credit and cash
flow analysis and the application of our RAS criteria, we
consider that the available credit enhancement for the class A1,
A2, and B notes is commensurate with their currently assigned
rating. We have therefore affirmed our 'AA- (sf)' rating on the
class A1 notes and our 'A (sf)' ratings on the class A2 and B
notes.

"We consider the available credit enhancement for the class C
notes to be commensurate with a higher rating than that currently
assigned. We have therefore raised to 'A (sf)' from 'BBB- (sf)'
our rating on the class C notes.

"We consider that the available credit enhancement for the class
D notes is commensurate with the currently assigned rating. We
have therefore affirmed our 'BB- (sf)' rating on the class D
notes."

The transaction has cumulative default ratio-based triggers for
the class B (15%), C (10%), D (8%), and E (6%) notes. On the June
2017 interest payment date, the transaction's cumulative default
ratio increased to 6.89% from 5.74% in October 2014. The
transaction is structured with a split waterfall for interest and
principal. Principal funds are available to pay the interest
shortfalls on the rated notes, unless the trigger is hit. In that
case, the issuer could use principal collections only to pay
senior expenses and interest on the higher-ranking notes, until
the senior notes are repaid.

Although the class E trigger was breached in June 2015, this
class of notes has continued to pay timely interest. S&P said,
"Given the improvement of the transaction's performance, the fact
that the cash reserve (which provides credit and liquidity
support) has been at its target level since December 2014, and
the available excess spread in the transaction, the payment of
interest and principal is not depended upon favorable business,
financial, and economic conditions, in our view. We have
therefore raised to 'B- (sf)' from 'CCC (sf)' our rating on the
class E notes.

"In our opinion, the outlook for the Italian residential mortgage
and real estate market is not benign and we have therefore
increased our expected 'B' foreclosure frequency assumption to
2.55% from 1.50%, when we apply our European residential loans
criteria, to reflect this view (see "Updated Outlook Assumptions
For The Italian Residential Mortgage Market," published on May
27, 2016)."

Capital Mortgage's BIPCA Cordusio RMBS is an Italian RMBS
transaction, which closed in December 2007. The transaction
securitizes a pool of first-ranking mortgage loans that Bipop
Carire SpA (now UniCredit SpA) originated. The mortgage loans are
mainly located in northern Italy.

RATINGS LIST

  Capital Mortgage S.r.l.
  EUR951.65 Million Asset-Backed Floating-Rate Notes (BIPCA
  Cordusio RMBS)

  Class          Rating
            To             From

  Ratings Raised

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

  Ratings Affirmed

  A1        AA- (sf)
  A2        A (sf)
  B         A (sf)
  D         BB- (sf)


M ESTATE: Commissioners Invite Binding Offers for Assets
--------------------------------------------------------
Stefano Coen, Mr. Ermanno Sgaravato and Mr. Vincenzo Tassinari as
extraordinary commissioners of M. Estate S.p.A. in
Amministrazione Straordinaria, Mercatone Uno Services S.p.A. in
Amministrazione Straordinaria, M. Business S.r.l. in
Amministrazione Straordinaria, Mercatone Uno Finance S.r.l. in
Amministrazione Straordinaria, Mercatone Uno Logistics S.r.l. in
Amministrazione Straordinaria, M. Uno Trading S.r.l. in
Amministrazione Straordinaria notify that anyone interested of
having being authorized to start negotiations for the purchase of
the entire or part of the Transaction Perimeter by direct sale,
thereby inviting all interested subjects to contact the bodies
of the Proceeding by the methods published on the website
www.mercatoneunoamministrazionestraordinaria.it.

On April 2, 2015, M. Estate S.p.A. in Amministrazione
Straordinaria, Mercatone Uno Services S.p.A. in Amministrazione
Straordinaria, M. Business S.r.l. in Amministrazione
Straordinaria, Mercatone Uno Finance S.r.l. in Amministrazione
Straordinaria, Mercatone Uno Logistics S.r.l. in Amministrazione
Straordinaria and M. Uno Trading S.r.l. in Amministrazione
Straordinaria (the "Companies") filed a petition with the Italian
Ministry of the Economic Development (the "Ministry") -- pursuant
to Article 2 of the Italian Law Decree No. 347 of December 23,
2003 (hereinafter the "D.L. 347/2003"), as amended by Law No. 39
of February 18, 2004 (the "Marzano Law" or "L. 39/2004") and
subsequent amendments and integrations -- for the admission to
the insolvency proceeding of Amministrazione Straordinaria
pursuant to the above-mentioned decree, declaring the insolvency
of the Companies and the occurrence of the dimensional
requirements pursuant to Article 1 of the D.L. 347/2003;

By decree of April 7, 2015, the Ministry admitted the Companies
to the Amministrazione Straordinaria proceeding pursuant to
Article 2(2) of the Marzano Law, appointing Mr. Stefano
Coen, Mr. Ermanno Sgaravato and Mr. Vincenzo Tassinari as
extraordinary commissioners for the Companies (the
"Commissioners");

On October 5, 2015, pursuant to Article 4(2) of the Marzano Law,
the Commissioners filed the programme of the Companies with the
Ministry for the disposal of the business assets of the Companies
in accordance with Article 54 of the Legislative Decree No.
270/1999 and in accordance with Article 27(2)(a) of the
Legislative Decree No. 270/1999 (the "Programme");

Upon the expiry of the term of June 16, 2017 for the submission
of binding offers for the purchase of the business assets, as
extended upon request of the bidders, none of the submitted
binding offers was consistent with or meeting the needs of the
Amministrazione Straordinaria proceeding, therefore the
conditions for the award of the tender are not fulfilled;

The business assets of the Companies include (i) the business
units relating to the management of the points of sale, together
with the real estate properties owned by the Companies where such
points of sale are located, as well as the relevant real estate
properties used as warehouse, (ii) the "Mercatone Uno" trademark
and the other trademarks of the Companies, (iii) the business
unit relating to the administrative offices in Imola, and (iv)
the business units relating to the logistic activities (all the
elements mentioned at points (i), (ii), (iii) and (iv) above,
jointly, the "Transaction Perimeter").


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


AURORUS 2017: S&P Assigns Prelim. B Rating to Class F-Dfrd Notes
----------------------------------------------------------------
S&P Global Ratings has assigned its preliminary credit ratings to
Aurorus 2017 B.V.'s asset-backed floating-rate class A, B, C, D,
E-Dfrd, and F-Dfrd notes. At closing, Aurorus 2017 will also
issue unrated class G notes.

At closing, Aurorus 2017 will use the issuance proceeds of the
class A, B, C, D, E-Dfrd, F-Dfrd, and G notes to fund the
purchase of the collateral. A portion of the proceeds from the G
notes will also be used to fund the general reserve. The
collateral comprises unsecured consumer loans and credit card
loans that Qander Consumer Finance B.V. originated for its Dutch
customers. An initial prefunding amount of up to 10% of the
initial transaction size will be available to purchase further
assets during the revolving period. The initial general reserve,
funded by the proceeds of the class G notes, will be
approximately 1.5% of the class A to D notes' initial balance.

S&P said, "Our preliminary ratings on the class A, B, C, D, E-
Dfrd and F-Dfrd notes reflect our assessment of the underlying
asset pool's credit and cash flow characteristics, as well as our
analysis of the transaction's exposure to counterparty, legal,
and operational risks. Our analysis indicates that the class A,
B, C, D, E-Dfrd and F-Dfrd notes' available credit enhancement
will be sufficient to mitigate noteholders' exposure to credit
and cash flow risks at the assigned preliminary rating levels. We
base our preliminary ratings on the class A, B, C, and D notes on
the timely payment of interest and principal, while our
preliminary ratings on the class E-Dfrd and F-Dfrd notes are on a
deferrable basis, i.e. ultimate interest and principal."

RATING RATIONALE

Economic Outlook

S&P said, "We expect GDP growth of 2.2% for 2017, 1.9% in 2018,
and 1.8% in 2019 in the Netherlands, compared with 1.8% in 2016.
We estimate unemployment to decrease to 5.0% in 2017, 4.6% in
2018, and 4.3% in 2019, from 6.0% in 2016. Against this backdrop,
we expect stable collateral performance for Dutch securitizations
in the next few years (see "Europe Displays Financial Calm, But
What About The Brexit And QE Clouds Ahead?" published on June 30,
2017). We have considered this outlook when determining our base-
case assumptions. However, we have also taken into account the
potential long life of the assets which, due to the relatively
long timeframes for which the notes will be outstanding, results
in a greater potential for the economy to decline."

Credit Risk

S&P said, "We have analyzed credit risk by applying our European
consumer finance criteria for the non-credit card loans (see
"European Consumer Finance Criteria ," published on March 10,
2000). We have used the originator's historical performance data
to size our base-case gross loss and recovery rate assumptions
for the consumer loans. For the credit card loans we have applied
our global consumer finance criteria to size the base-case charge
off, yield, and payment rates for these loans (see "Global
Methodology And Assumptions For Assessing The Credit Quality Of
Securitized Consumer Receivables," published on Oct. 9, 2014)."

Borrowers can obtain further advances for over 77% of the loans
in the portfolio, which have a revolving feature. The portfolio's
weighted-average borrowers' age is 49 years. The loan accelerated
amortization period will begin once the borrowers have reached
the age of 65. From that date the loan amortizes fully until the
borrower reaches 74 (with the exception of full balance revolving
credits, which can be originated without age limit, but the
credit limit decreases to EUR2,500 from the age of 75). We have
set our base-case assumptions by considering the long loan terms,
the revolving period, and the further advance feature, which
could extend the transaction's life, thereby exposing it to
external shocks arising from any further deterioration in the
Dutch economy. After the end of the revolving period, the initial
purchase price related to further advance receivables will either
be funded by the subordinated loan or its payment will be
subordinated in the priority of payments. Amounts in the
prefunding account will also be used to acquire new loan
receivables and further advances during the revolving period.

S&P, said, "Following our view of the increased uncertainty
associated with the transaction's potentially longer life, we
have applied high rating level loss multiples and recovery rate
haircuts (discounts) for the assigned preliminary rating levels."

Payment Structure

S&P said, "We have analyzed the payment structure and other
structural features of the transaction under our European
consumer finance criteria. The transaction will have separate
principal and interest waterfalls. A principal deficiency ledger
(PDL) comprising seven sub-ledgers is in place for each class of
notes in order to record any realized loss on the loans and any
interest shortfall amount.

"The results of our cash flow runs are in line with our
preliminary ratings on the class A, B, C, D, E-Dfrd, and F-Dfrd
notes. We base our preliminary ratings on the class A, B, C, and
D notes on the timely payment of interest and principal, while
our preliminary ratings on the class E-Dfrd and F-Dfrd notes are
on a deferrable basis, i.e. ultimate interest and principal."

The issuer can use collections and any of the notes proceeds to
purchase additional loan receivables and further advance
receivables. A reserve account will be present in the
transaction, which will initially be sized at 1.5% of the
principal balance of the class A to D notes' initial balance (the
reserve target level) and which will be funded by a portion of
the sale of the class G notes. The reserve will amortize in line
with the portfolio, subject to a floor (minimum level) of
EUR250,000. The reserve only provides benefit to the class A, B,
C, and D notes. Once these classes of notes are fully repaid, or
once the portfolio has fully amortized, the reserve amortizes to
zero. There will also be a liquidity reserve fund in place. It
will have a balance of 0 at closing and will be funded at item 12
in the revenue waterfall. The target amount of this reserve will
be the target reserve balance minus the general reserve balance
and it will only provide benefit to the class A, B, C, and D
notes.

The interest on the notes is based on floating-rate one-month
Euro Interbank Offered Rate (EURIBOR). The loans bear both fixed
and variable rates, and the concentration limits stipulate a
minimum weighted-average annual percentage rate (APR) for the
fixed rate amortizing loans of 5.50% and a minimum weighted-
average margin above EURIBOR for APR on the revolving loans of
6.5%. An interest rate swap will also be in place. This covers
100% of the net present value of the fixed rate amortizing loans
held by the issuer on the previous cut-off date.

S&P said, "Under our European consumer finance criteria, we ran a
high and low prepayment scenario, as well as up, flat, and down
interest rate vectors and an equally distributed default curve.
We applied our global consumer finance criteria to the credit
card loans portion of the transaction. Our cash flow runs at the
assigned preliminary rating levels show that the class A, B, C,
and D notes pay timely interest and ultimate principal, while the
class E-Dfrd and F-Dfrd notes pay ultimate interest and ultimate
principal."

Operational Risk

Qander is a provider of consumer credit to obligors domiciled in
the Netherlands. The firm specializes in credit cards, unsecured
fixed-term loans, and revolving credit facilities. The firm was
previously a wholly owned subsidiary of BNP Paribas Personal
Finance. In January 2015, funds managed or advised by Chenavari
Investment Managers acquired the firm. S&P said, "We performed a
corporate overview in October 2015 and have attended a follow up
conference call and presentation in May 2017 and we believe that
the company's origination, underwriting, servicing, and risk
management policies and procedures are in line with market
standards and adequate to support the preliminary ratings
assigned."

Counterparty Risk

ABN AMRO Bank N.V. will be the issuer account bank, ING Bank N.V.
will be the collection account provider, and BNP Paribas will be
the swap counterparty. S&P said, "Our long- and short-term issuer
credit ratings on the banks and swap counterparty, and the
documented replacement triggers support our preliminary ratings
on the class A, B, C, D, E-Dfrd, and F-Dfrd notes under our
current counterparty criteria (see "Counterparty Risk Framework
Methodology And Assumptions," published on June 25, 2013)."

Legal Risk

S&P considers that the issuer will be bankruptcy remote under its
legal criteria (see "Asset Isolation And Special-Purpose Entity
Methodology," Published on March 29, 2017).

Set-Off Risk

If a borrower cannot obtain a further advance due to the
originator's insolvency, the borrower may have the right to set
off the cost of a substitute loan during the two-month notice
period to terminate the loan. S&P has sized a stressed set-off
amount, which it deducted from its cash flow run at closing.
The pool does not contain loans granted to the originator's
employees and the originator is a not deposit-taking institution,
so set-off risk does not occur from these sources.

Rating Stability

S&P said, "We have analyzed the effect of a moderate stress on
our credit assumptions and their ultimate effect on the
preliminary ratings assigned to the class A, B, C, D, E-Dfrd and
F-Dfrd notes. We ran two scenarios and the results are in line
with our credit stability criteria (see "Methodology: Credit
Stability Criteria," published on May 3, 2010)."

Preliminary Ratings Assigned

  Aurorus 2017 B.V.
  Asset-Backed Floating-Rate Notes (Including Unrated
Subordinated
  Notes)

  Class               Prelim.       Prelim.
                      rating         amount
                                 (mil. EUR)

  A                   AAA (sf)          TBD
  B                   AA- (sf)          TBD
  C                   A+ (sf)           TBD
  D                   A- (sf)           TBD
  E-Dfrd              BBB- (sf)         TBD
  F-Dfrd              B (sf)            TBD
  G                   NR                TBD

  TBD--To be determined. NR--Not rated.


BNPP AM 2017: Moody's Assigns (P)B2(sf) Rating to Cl. F Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by BNPP AM
Euro CLO 2017:

-- EUR215,250,000 Class A Senior Secured Floating Rate Notes due
    2031, Assigned (P)Aaa (sf)

-- EUR38,500,000 Class B Senior Secured Floating Rate Notes due
    2031, Assigned (P)Aa2 (sf)

-- EUR20,500,000 Class C Senior Secured Deferrable Floating Rate
    Notes due 2031, Assigned (P)A2 (sf)

-- EUR17,500,000 Class D Senior Secured Deferrable Floating Rate
    Notes due 2031, Assigned (P)Baa2 (sf)

-- EUR22,850,000 Class E Senior Secured Deferrable Floating Rate
    Notes due 2031, Assigned (P)Ba2 (sf)

-- EUR9,450,000 Class F Senior Secured Deferrable Floating Rate
    Notes due 2031, Assigned (P)B2 (sf)

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

RATINGS RATIONALE

Moody's provisional ratings of the rated notes address the
expected loss posed to noteholders by legal final maturity of the
notes in 2031. The provisional ratings reflect the risks due to
defaults on the underlying portfolio of loans given the
characteristics and eligibility criteria of the constituent
assets, the relevant portfolio tests and covenants as well as the
transaction's capital and legal structure. Furthermore, Moody's
is of the opinion that the collateral manager BNP PARIBAS ASSET
MANAGEMENT France SAS, ("BNPP Asset Management"), has sufficient
experience and operational capacity and is capable of managing
this CLO.

BNPP EURO CLO is a managed cash flow CLO. At least 95% of the
portfolio must consist of secured senior loans and up to 5% of
the portfolio may consist of senior unsecured loans, second-lien
loans, and mezzanine loans. The portfolio is expected to be
approximately 55% 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.

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

In addition to the six classes of notes rated by Moody's, the
Issuer will issue EUR37,600,000 of subordinated notes. Moody's
will not assign rating to this class of notes.

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

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

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

Loss and Cash Flow Analysis:

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

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

Par Amount: EUR350,000,000

Diversity Score: 37

Weighted Average Rating Factor (WARF): 2800

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): n/a

Weighted Average Recovery Rate (WARR): 44%

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 a LCC between A1 and A3
cannot exceed 10%. In addition, the obligation is not an
obligation of an obligor or obligors domiciled in a country with
a LLC of Baa1 or below. Given the portfolio concentration limit
and eligibility criteria, the model was run without the need to
apply portfolio par haircuts as further described in Moody's
methodology.

Stress Scenarios:

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

Percentage Change in WARF: WARF + 15% (to 3220 from 2800)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: 0

Class B Senior Secured Floating Rate Notes: -2

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 3640 from 2800)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: -1

Class B Senior Secured Floating Rate Notes: -3

Class C Senior Secured Deferrable Floating Rate Notes: -3

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: -2

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.


BNPP AM 2017: Fitch Assigns 'B-(EXP)' Rating to Class F Notes
-------------------------------------------------------------
Fitch Ratings has assigned BNPP AM EURO CLO 2017 B.V.'s notes the
following expected ratings:

Class A: 'AAA(EXP)sf'; Outlook Stable
Class B: 'AA(EXP)sf'; Outlook Stable
Class C: 'A(EXP)sf'; Outlook Stable
Class D: 'BBB(EXP)sf'; Outlook Stable
Class E: 'BB(EXP)sf'; Outlook Stable
Class F: 'B-(EXP)sf'; Outlook Stable
Subordinated notes: not rated

BNPP AM EURO CLO 2017 is a cash flow collateralised loan
obligation (CLO). Net proceeds from the notes issue will be used
to purchase a EUR350 million portfolio of mostly European
leveraged loans and bonds. The portfolio is managed by BNP
Paribas Asset Management France SAS. The reinvestment period is
scheduled to end in 2021.

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

KEY RATING DRIVERS
'B'/'B-' Portfolio Credit Quality
Fitch places the average credit quality of obligors in the
'B'/'B-' range. The agency has public ratings or credit opinions
on all the obligors in the identified portfolio. The Fitch
weighted average rating factor of the identified portfolio is
31.5, below the covenanted maximum for assigning the expected
ratings of 33.5.

High Expected Recoveries
The portfolio will be at least 95% senior secured obligations.
The weighted average recovery rate of the identified portfolio is
67.7%, above the covenanted minimum for assigning expected
ratings of 63.5%.

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

No Fixed-Rate Assets
The transaction is only allowed to invest in floating-rate
assets. This aligns the portfolio yield with the cost of the all
floating liabilities.

Hedged Non-Euro Asset Exposure
The transaction is permitted to invest up to 20% of the portfolio
in non-euro assets, provided perfect asset swaps can be entered
into.

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

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

RATING SENSITIVITIES

A 125% default multiplier applied to the portfolio's mean default
rate, and with this increase added to all rating default levels,
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 four notches for the rated notes.


MALIN CLO: S&P Raises Rating on Class E Notes to BB+ (sf)
---------------------------------------------------------
S&P Global Ratings raised its credit ratings on Malin CLO B.V.'s
class B, C, D, and E notes. S&P said, "At the same time, we have
affirmed our 'AAA (sf)' ratings on the class A-1a and A-1b notes
and the variable funding notes (VFN).

"Today's rating actions follow our analysis of the transaction
using data from the latest trustee report available to us, taking
into the account the transaction's latest payment date report
information and the application of our relevant criteria (see
"Related Criteria").

"Upon publishing our updated criteria for analyzing foreign
exchange risk in global structured finance transactions, we
placed those ratings that could potentially be affected under
criteria observation (see "Ratings On European Cash Flow CLOs
Placed Under Criteria Observation Due To Revised Foreign Exchange
Risk Criteria," published on April 21, 2017). Following our
review of this transaction, our ratings that could potentially be
affected by the criteria change are no longer under criteria
observation.

"Since our previous review in February 2016, the transaction has
continued to deleverage, including the repayment of more than
EUR47 million of the senior notes (the class A-1a notes and VFN)
according to the May 7, 2017 payment date report (see "Ratings
Raised In European Cash Flow CLO Transaction Malin CLO; Class A1-
a Rating Affirmed," published on Feb. 29, 2016). As a result of
the deleveraging, all classes of notes have increased available
credit enhancement, according to our analysis.

"We conducted our cash flow analysis to determine the break-even
default rate (BDR) for each rated class of notes 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 pay interest and principal to the
noteholders.

"We used the collateral amount that we consider to be performing,
and the weighted-average recovery rates calculated in line with
our updated criteria for rating corporate cash flow
collateralized debt obligations (CDOs) (see "Global Methodologies
And Assumptions For Corporate Cash Flow And Synthetic CDOs,"
published on Aug. 8, 2016). Our analysis also took into account
the relatively diverse nature of the portfolio, as well as the
low cost of funds associated with the senior tranches.

"The results of our analysis show that the available credit
enhancement for the class A-1a and A-1b notes and the VFN is
commensurate with the currently assigned ratings. We have
therefore affirmed our 'AAA (sf)' ratings on the class A-1a and
A-1b notes and VFN.

"Our analysis also indicates that the available credit
enhancement for the class B, C, D, and E notes is commensurate
with higher ratings than those currently assigned. This analysis
takes into account the results from our credit and cash flow
modelling, as well as qualitative factors associated with the
transaction. We have therefore raised our ratings on these
classes of notes."

Malin CLO is a cash flow collateralized loan obligation (CLO)
transaction managed by Barings (U.K.) Ltd. It is backed by a
portfolio of loans to primarily speculative-grade corporate
firms. The transaction closed in May 2007 and its reinvestment
period ended in April 2014.

RATINGS LIST

  Class              Rating
              To                From

  Malin CLO B.V.
  EUR500 Million Secured Floating-Rate Notes

  Ratings Raised

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

  Rating Affirmed

  A-1a        AAA (sf)
  VFN         AAA (sf)
  A-1b        AAA (sf)


MESDAG BV: S&P Lowers Rating on Class A Notes to 'B+ (sf)'
----------------------------------------------------------
S&P Global Ratings lowered to 'B+ (sf)' from 'BB- (sf)' its
credit rating on MESDAG (Delta) B.V.'s class A senior notes. S&P
said, "At the same time, we have affirmed our ratings on all
other classes of notes (see list below).

"Today's rating actions follow our review of 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)."

MESDAG (Delta) is a single-loan Dutch commercial mortgage-backed
securities (CMBS) transaction that closed in July 2007, with an
initial note balance of EUR638.4 million. The securitized loan
balance has reduced to EUR590.7 million and is now secured on 55
Dutch commercial properties (down from 77 at closing).

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."

CREDIT QUALITY OF THE SECURITIZED ASSETS

S&P said, "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 long-term
sovereign rating on the relevant jurisdiction (see "Ratings Above
The Sovereign - Structured Finance: Methodology And Assumptions,"
published on Aug. 8, 2016)."

LOAN (100% OF THE POOL)

The securitized loan is secured against 55 Dutch commercial
properties. The loan entered special servicing in January 2017
following a payment default at maturity in December 2016. The
portfolio is predominantly located in Amsterdam (38%), the rest
being spread across the Netherlands. A total of 284 tenants
occupy about 80% of the lettable area according to a weighted-
average lease term of 5.3 years. S&P understands that the
borrower is working with the special servicer to dispose of the
properties before the transaction legal maturity date, through a
combination of immediate sales and asset management initiatives.

LOAN AND COLLATERAL SUMMARY (AS OF APRIL 2017)

-- Securitized loan balance: EUR590.7 million
-- Securitized LTV ratio: 109.7%
-- Net operating income: EUR37.7 million
-- Market value: EUR538.7 million (dated as of February 2017)
-- Net yield: 7.0%

S&P's KEY ASSUMPTIONS

-- S&P NCF: EUR36.7 million
-- S&P Value: EUR411.1 million
-- Net yield: 8.9%
-- Haircut-to-market value: 23.7%
-- S&P LTV ratio (before recovery rate adjustments): 154.0%

OPERATIONAL RISKS

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."

NIBC Bank N.V. acts as servicer and Situs International Ltd. acts
as special servicer. S&P's assessment of the operational risk
associated with the transaction parties does not constrain its
ratings in this transaction.

LEGAL AND REGULATORY RISKS

S&P said, "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,
2017).

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

COUNTERPARTY RISKS

S&P said, "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 (see "Counterparty Risk Framework
Methodology And Assumptions," published on June 25, 2013). The
maximum ratings uplift depends on the type of counterparty
obligation.

"Our assessment of the counterparty risk for this transaction
does not constrain the ratings assigned."

PAYMENT STRUCTURE AND CASH FLOW MECHANICS

S&P said, "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 in January 2020, after taking into account
available credit enhancement and allowing for transaction
expenses and external liquidity support.

"The risk of interest shortfalls is mitigated by a EUR41.3
million facility that provides liquidity support to service the
interest on the notes, if needed. Our assessment of the payment
structure and cash flow mechanics for this transaction does not
constrain our ratings in this transaction."

RATING ACTIONS

S&P said, "We consider the available credit enhancement for the
class A senior notes to be insufficient to absorb the amount of
losses that the underlying properties would suffer at the
currently assigned rating level. We have therefore lowered to 'B+
(sf)' from 'BB- (sf)' our rating on the class A senior notes.

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

"Our analysis indicates that the class E junior and F
subordinated notes are dependent upon favorable business,
financial, and economic conditions and face at least a one-in-two
likelihood of default, in our opinion. As a result, we consider
that they are currently vulnerable to nonpayment. We have
therefore affirmed our 'CCC- (sf)' ratings on these classes of
notes in line with our criteria."

RATINGS LIST

MESDAG (Delta) B.V.
EUR638.4 mil commercial mortgage-backed floating-rate notes
                                          Rating
Class             Identifier         To              From
A sr            XS0307565928         B+ (sf)         BB- (sf)
B mezz          XS0307574599         B- (sf)         B- (sf)
C mezz          XS0307576701         B- (sf)         B- (sf)
D jr            XS0307578749         B- (sf)         B- (sf)
E jr            XS0307580307         CCC- (sf)       CCC- (sf)
F sub           XS0307581370         CCC- (sf)       CCC- (sf)


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


NOVO BANCO: Launches Debt Swap to Conclude Lone Star Sale
---------------------------------------------------------
Axel Bugge at Reuters reports that Portugal's state-rescued
Novo Banco has launched a debt swap to boost its capital ratio,
the last step to concluding its sale to U.S. private equity firm
Lone Star.

The bank said in a statement that it aims to raise EUR500 million
(US$583 million) from the swap and would offer to buy 36 bond
issues at "market prices" in a process that would run from
Tuesday, July 25, until Oct. 2, Reuters relates.

The operation is a condition of the sale of 75% of Novo Banco to
Lone Star, which was agreed in March, Reuters notes.  According
to Reuters, the government has said it hopes to conclude the sale
by November.

Novo Banco was carved out of Portugal's biggest ever bank
collapse in 2014 after a EUR4.9 billion rescue operation of Banco
Espirito Santo, Reuters recounts.

Headquartered in Lisbon, Novo Banco, S.A. provides various
financial products and services to private, corporate, and
institutional customers.

                           *     *     *

As reported in the Troubled Company Reporter-Europe on June 22,
2017, Moody's Investors Service extended its review for downgrade
of the Caa1 long-term deposit and Caa2 senior debt ratings of
Novo Banco, S.A. (Novo Banco) and its supported entities.  The
ratings review was initiated on April 5, 2017, following the
announcement made by the Bank of Portugal on March 31, 2017 that
as part of Novo Banco's sale process, a liability management
exercise (LME) on senior bondholders will be undertaken with the
aim of recapitalizing the bank by at least EUR500 million.


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


BM-BANK JSC: Moody's Withdraws Ba2 Long-Term Deposit Rating
-----------------------------------------------------------
Moody's Investors Service has withdrawn all its ratings for
BM-Bank JSC. The withdrawn ratings were (1) long- and short-term
deposit ratings of Ba2 and Not Prime, respectively, (2) caa1
standalone baseline credit assessment (BCA), (3) its ba2 adjusted
BCA, and (4) the Ba1(cr) and Not Prime(cr) counterparty risk (CR)
assessments. At the time of the withdrawal the long-term deposit
ratings carried a stable outlook.

RATINGS RATIONALE

Moody's has withdrawn the ratings for its own business reasons.

The following ratings were withdrawn:

Issuer: BM-Bank JSC

-- LT Bank Deposits (Local & Foreign Currency), previously rated
    Ba2, Outlook Changed To Rating Withdrawn From Stable

-- ST Bank Deposits (Foreign Currency), previously rated NP

-- Adjusted Baseline Credit Assessment, previously rated ba2

-- Baseline Credit Assessment, previously rated caa1

-- LT Counterparty Risk Assessment, previously rated Ba1(cr)

-- ST Counterparty Risk Assessment, previously rated NP(cr)

Outlook Actions:

-- Outlook, Changed To Rating Withdrawn From Stable


CREDIT BANK: S&P Affirms 'BB-/B' Credit Ratings, Outlook Stale
--------------------------------------------------------------
S&P Global Ratings revised its outlook on Credit Bank of Moscow
(CBoM) to stable from negative and affirmed the 'BB-/B' long- and
short-term counterparty credit ratings.

S&P said, "At the same time, we revised our outlook on the long-
term ratings on CBoM's nonoperating holding company Concern
Rossium LLC and core subsidiary MKB-Leasing. We affirmed our 'B-
/B' long- and short-term counterparty credit ratings Concern
Rossium LLC, and our 'B+/B' long- and short-term counterparty
credit ratings on core subsidiary MKB-Leasing."

The outlook revision reflects the strengthening of the bank's
capital position following the issue of US$700 million of
perpetual subordinated debt in the form of loan participation
notes (LPN) issued by CBoM via its financing vehicle, CBoM
Finance PLC. S&P said, "We consider that these perpetual
subordinated notes have intermediate equity content and include
them in our calculation of our total adjusted capital for the
purpose of our RAC ratio calculation. This assessment is based on
the following factors."

The subordinated LPNs contain the following provisions: (i) a
noncumulative interest-cancellation that can be executed at the
bank management's discretion, and (ii) a mandatory noncumulative
interest and principal write-down, in accordance with the
requirements of Russian Central Bank Regulation No. 395-P.

S&P said, "We think that the optional interest cancellation
feature provides the bank with loss-absorption capacity as long
as the bank is a going concern, which is consistent with our
assignment of intermediate equity content to this instrument. We
understand that the bank has full flexibility to cancel interest
payments at its discretion. We understand that the central bank
allows CBoM to include the respective subordinated LPNs amount in
the calculation of its regulatory capital, qualifying it as Tier
1 capital.

S&P said, "As a result of the bank's strengthened capitalization,
we have revised our assessment of its capital and earnings
position to adequate from moderate. We forecast our RAC ratio to
be within 8.0%-8.5% over the next 12 months, assuming the bank's
assets will grow by up to 10% annually.

"The ratings on CBoM reflect the 'bb-' anchor for a commercial
bank operating in Russia, its 'b+' stand-alone credit profile,
and one notch of additional support to reflect our view of the
bank's moderate systemic importance in Russia. This is driven by
its sizable market share in lending and deposits, resulting in a
moderate likelihood of extraordinary support from the government
in the case of need.

"We consider that the bank has solid market share of about 2% in
the banking sector, in terms of lending as well as deposits, and
an especially strong brand recognition and established franchise
in Moscow and the Moscow region. We also incorporate into our
ratings the regular capital support from CBoM's beneficiary owner
as well as the capital the bank is able to raise on external
capital markets, being one of few Russian banks enjoying access
to the external capital markets. At the same time, we consider
that CBoM is exposed to credit risks emerging from its
concentrated loan book as well as growth in nonperforming assets
in 2016. We believe that the bank has a solid corporate deposit
franchise, however, we see the risk of potential volatility of
the funding base, especially due to persistent single-name
concentrations over the last two years.

"CBoM's share of nonperforming loans (NPLs) was 2.3% in 2016
compared to 5.1% in 2015, which is better than the peer average.
We do not include the bank's substantial amount of restructured
loans in our calculation. We believe that CBoM's corporate
borrowers on average have riskier financial profiles than larger
banks' borrowers. Still, we anticipate that corporate NPLs are
likely to stabilize this following the restructuring earlier on,
and we expect the bank to maintain the quality of its loan book
at current levels over the next two years.

"We consider the sector diversification of the loan book to be
reasonable despite some concentration in the oil and chemical
industries (15% of gross loans at end-2016). The 20-largest loans
accounted for 44% of total loans and for 283% of total adjusted
capital on Dec. 31, 2016, which is substantial yet comparable
with the market average for banks in Russia. We expect
concentration risk to remain at current levels due to expected
modest loan portfolio growth over the next two years.

"The deposits and current accounts of two large clients comprised
36% of the bank's deposit base at end-2016. We consider this
concentration makes the bank vulnerable to potential large
withdrawals; however, recently large deposits have been
relatively stable with no unexpected withdrawals made, and we
expect them to remain reasonably stable. We believe that raising
the US$700 million of perpetual bonds is positive for the
stability of the bank's funding base.

"Due to the mostly short-term nature of CBoM's loan book, the
bank displays positive liquidity gaps within the one-year period.
The funding maturity structure is quite balanced, in our view,
with short-term wholesale funding almost 1.2x covered by broad
liquid assets.

"We classify Rossium as a nonoperating holding company because it
does not perform any operating activity and serves solely as a
holding company. We think this will continue. Therefore we rate
it two notches below the unsupported group credit profile (GCP;
or three notches below the long-term ratings of CBoM because we
believe it is not likely that Concern Rossium would receive any
extraordinary government support in case of need). We view CBoM
as a core entity of Concern Rossium due to CBoM being the main
entity of the group in terms of assets size and profitability.

"We consider MKB-Leasing to be a core subsidiary of CBoM due to
its close integration and funding ties with the bank. We align
the rating on MKB-Leasing with our 'b+' unsupported GCP for CBoM
because we don't expect the company would receive extraordinary
government support in case of need. At the same time, we believe
CBoM is moderately systemically important and might receive such
support, as reflected in our long-term rating on CBoM being one
notch above the unsupported GCP.

"The stable outlook on CBoM reflects our view that, in the next
12 months, the bank will be able to withstand challenging
operating environment in Russia while maintaining adequate
capitalization with RAC ratio above 8%. We also think it will
maintain its asset quality, supported by new lending growth of up
to 10% and assuming credit costs remain within the sector average
range.

"We could take a negative rating action if we see the increased
volatility of customer deposits, posing a risk to CBoM's funding
profile. We could also consider a revision of outlook to negative
if we observed intensified pressure on asset quality or capital
adequacy derived from higher-than-expected loan book growth or
asset quality deterioration substantially higher than we
currently expect.

"A positive rating action on CBoM is remote at this stage, in our
view, due to the risks stemming from still significant problem
loans on the bank's balance sheet and its concentrated funding
profile."

The stable outlook on Concern Rossium mirrors that on CBoM. The
ratings and outlook on Concern Rossium will move in tandem with
those on CBoM, assuming double leverage does not increase
substantially above the current levels and the dividend policy
remains in favor of maintaining adequate capitalization of the
bank. S&P said, "All else being equal, we would maintain the
three-notch difference between our long-term rating on Rossium
and that on CBoM.

"The stable outlook on MKB-Leasing mirrors that on CBoM,
indicating our assumption that the company will remain a core
subsidiary of the bank at least for the next 12 months, while
preserving close funding and operational ties with the bank
supporting this status. Therefore, the ratings on the leasing
company will move in tandem with our ratings on CBoM, all else
being equal."


KURGANMASHZAVOD OAO: Court Receives Bankruptcy Application
----------------------------------------------------------
Reuters reports that the Arbitration Court received an
application for Kurganmashzavod OAO's bankruptcy.

JSC Kurganmashzavod is a manufacturing company based in Kurgan,
Russia. It is known for its BMP series of infantry fighting
vehicles.


VENTRELT HOLDINGS: Fitch Affirms BB- IDR; Outlook Stable
--------------------------------------------------------
Fitch Ratings has affirmed Russia-based Ventrelt Holdings Ltd's
Long-Term Foreign-Currency Issuer Default Rating (IDR) at 'BB-'
with a Stable Outlook.

The affirmation reflects Ventrelt's solid financial profile over
the rating horizon, supportive long-term tariffs, its stable
operations as a water and wastewater operator, its long-term
leasing and concession agreements with municipalities, and its
comfortable debt maturity and liquidity profile. However,
Ventrelt's ratings are constrained by its limited size and
diversification relative to larger peers and 'BB' rated Russian
companies, as well as the evolving regulatory framework for
tariff-setting.

KEY RATING DRIVERS

Supportive Tariff Growth: Average tariff growth for Ventrelt in
2011-2016 was 9%, or slightly above inflation, which was
supportive against the backdrop of the government's efforts to
curb natural monopolies' tariffs. Water and wastewater services
face less pressure than heat and electricity as they make up a
relatively small share of the overall utilities bill for
households. Fitch expects Ventrelt's tariffs to grow slightly
below the inflation rate in 2017-2021, which will support its
credit profile.

Regulatory Framework Still a Weakness: The regional regulators
have the right to revise tariffs annually, despite the formal
implementation of long-term water and wastewater tariffs for
2015-2019. Thus the tariffs lack long-term predictability and may
not be free from political interference. The regulatory
environment is key in justifying several notches difference
between Ventrelt's rating and the ratings of its central European
peers, which benefit from a record of predictable tariff changes.
In the meantime, Ventrelt's regulatory environment is more
favourable than that of Georgian Water and Power (BB-/Stable),
which lacks tariff growth from 2010.

Strong Financial Profile: Ventrelt's financial profile is
supported by healthy tariff growth, relatively small capex needs
and a lack of dividends. Its net debt/connection fee-adjusted
EBITDA decreased from 3.4x in 2013 to 0.7x in 2016. The company
has been free cash-flow (FCF) positive over the last four years.
Ventrelt's credit profile may weaken over the rating horizon as
the company plans to use debt to finance business expansion, but
Fitch expects it to remain comfortably within the bank loan
covenant of net debt/EBITDA of under 3.5x.

Expansion Strategy: Ventrelt's strategy envisages further
expansion into five or six Russian cities with at least 300,000
residents. The company plans to participate in concession or
long-term rent auctions held by the municipalities. In 2017 it
plans to participate in a tender in Chelyabinsk, the seventh-
largest city in Russia with 1.2 million inhabitants.

Fitch views enhancing the scale of business as credit-positive.
Fitch expects M&A activity will not require large cash outflows
as Ventrelt will participate in tenders for concession
agreements. In a concession tender the bidders present their
business plans for the asset and the winner is chosen depending
on the balance of proposed tariff growth, planned investments and
expected efficiencies.

Simpler Group Structure: Ventrelt plans to liquidate two
intermediary Cyprus-domiciled companies so that cash flows from
the operating companies will be accumulated by a Russian-based
holding company directly controlled by the rated Luxemburg-
domiciled parent company. Ventrelt will also gradually decrease
management fees paid by water channels and raise money to the
holding company via dividends. This will improve transparency of
cash flows within the group and decrease tax risks.

DERIVATION SUMMARY

The regulatory environment is the key factor justifying the two-
four notch difference between Ventrelt's rating and the ratings
of its central European peers, Polish Aquanet S.A. (BBB/Stable)
and Czech Severomoravske vodovody a kanalizace Ostrava a.s.
(SmVaK, BB+/Stable) although all the latter have higher leverage.
Aquanet and SmVaK are owners of the assets and benefit from a
good record of predictable tariff changes, while Ventrelt leases
the assets, and its tariffs are less predictable.

Ventrelt is rated the same as Georgian Water and Power (GWP, BB-
/Stable) since its stronger asset quality, larger size and
stronger regulation in Russia are compensated by GWP's asset
ownership and simpler group structure.

Ventrelt's financial profile is strong compared to peers and it
has very comfortable leverage headroom within its rating level.

KEY ASSUMPTIONS

Fitch's key assumptions within Fitch ratings case for the issuer
include:
- decline in volumes of water supply and drainage of 1%-3%
   annually in 2017-2021 due to economy measures and expansion of
   water metering;
- inflation of around 4.5% in 2017-2021;
- average tariff growth slightly below inflation in 2018-2021;
- capital expenditure in line with management's forecasts;
- Fitch estimated M&A reserves of RUB3 billion for 2017-2019;
- no dividend payments.

RATING SENSITIVITIES

Future Developments That May, Individually or Collectively, Lead
to Positive Rating Action
- Increased revenue and earnings visibility following the
   implementation of long-term tariffs
- Sustainable positive FCF generation

Future Developments That May, Individually or Collectively, Lead
to Negative Rating Action
- An increase in leverage above 4x net debt/connection-fee
   adjusted EBITDA to fund additional capital expenditure or
   acquisitions
- A sustained reduction in cash generation through a worsening
   operating performance or deteriorating cash collection.

LIQUIDITY

Comfortable Liquidity: At December 31, 2016 Ventrelt had adequate
liquidity of RUB3.8 billion cash and cash equivalents and RUB4.5
billion of unused uncommitted credit facilities to cover current
debt maturities of RUB3.9 billion, including the offer on the
RUB3 billion local bond. In December 2017 the bondholders have
the right to redeem the bonds at par or may accept the new
interest rate. Ventrelt is going to impose a coupon rate from the
yield curve corresponding to the bond's rating.

The company plans to attract short-term bridge financing from
Alfa Bank (BB+/Stable) for the bond redemption in case of low
demand. At end-2016 all outstanding loans were denominated in
Russian roubles.

Bond Benefits From Sureties: RUB3 billion 13.5% local bonds due
in December 2020 issued by RVK-Finance (a wholly owned indirect
subsidiary of Ventrelt) benefit from sureties totalling RUB3
billion provided on a several basis with a liability limitation
by RVK-Invest LLC, Krasnodar Vodokanal LLC, Tyumen Vodokanal LLC,
Barnaul Vodokanal LLC and RVK-Voronezh LLC, which are all wholly
owned indirect subsidiaries of Ventrelt.

The senior unsecured rating is equal to Ventrelt's Long-Term
Local-Currency IDR, reflecting that the level of prior-ranking
debt (0.7x at end-2017) is below Fitch's threshold of 2.0x
EBITDA. In addition, the combined EBITDA of subsidiaries
providing sureties for the bonds comprised more than a half of
the group's 2016 EBITDA.

FULL LIST OF RATING ACTIONS

Ventrelt Holdings Ltd
Long-Term Foreign and Local-Currency IDRs affirmed at 'BB-';
Stable Outlook

RVK-Finance LLC (wholly-owned indirect subsidiary of Ventrelt
Holdings Ltd)
Local-currency senior unsecured rating affirmed at 'BB-'


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


FORMULA ONE: S&P Upgrades CCR to 'B+', Outlook Stable
-----------------------------------------------------
S&P Global Ratings raised its corporate credit rating on Formula
One (Alpha Topco ltd.) to 'B+' from 'B'. The outlook is stable.

S&P said, "At the same time, we raised the issue rating on the
$75 million revolving credit facility and first-lien term loan B,
(including the existing $3.1 billion and the suggested upsize of
$200 million, which will be used to repay the second-lien debt)
to 'B+' from 'B'. The recovery rating remains '3', indicating our
expectation for meaningful recovery (50%-70%; rounded estimate
50%) in a default scenario.

"We are also raising our issue rating on the company's second-
lien debt to 'B-' from 'CCC+'. The recovery rating remains '6',
indicating our expectation for negligible recovery (0%-10%;
rounded estimate 0%) in a default scenario. We will withdraw the
rating on the second-lien debt on the repayment of the debt."

The upgrade reflects Formula One's improved credit ratios
following the sizable reduction of its overall debt after its
acquisition by Liberty Media, and its new financial policy. Since
Liberty Media's acquisition, overall S&P Global Ratings-adjusted
debt (including shareholder loans) reduced from about $9 billion
to $3.6 billion. This reduction in debt and shareholder loans
improved leverage ratios significantly, with adjusted debt-to-
EBITDA dropping from about 20x in 2016 to an expected 8.5x in
2017. S&P said, "Although we still see current leverage as very
high, we acknowledge that the company is deleveraging and we
expect a further decrease in the coming years (as the company has
publicly communicated).

"Our business risk assessment acknowledges Formula One's strong
franchise and sizable fan base. Its more than 400 million TV
viewers per year create a large and powerful publicity platform.
We also acknowledge the high barriers to entry due to the long-
term exclusive rights the company owns, in addition to contracts
with key commercial partners, promoters, and broadcasters. In our
view, the new ownership by Liberty Media will help long-term
growth potential via greater exposure to the U.S. market and
possible business synergies. We also see succession risk as much
lower than before, with a new CEO and management team having in
essence replaced some of the previous management.

"In our business risk assessment we also factor in the group's
sound long-term development prospects via growth in sponsorship
revenues and a larger presence in new and existing sizable
geographic markets. Furthermore, in the long term the group
benefits from solid profitability and good revenue visibility,
although in the last few years we have seen some earnings
volatility that we believe relates to Mercedes' dominance
(currently second and third on the drivers' table and first in
the constructors' championship) and the resultant higher-than-
expected team payments. However, given recent rule changes for
the cars and the highly cash generative nature of the business--
with limited ongoing capital expenditure needs--we believe the
company will be able to absorb such pressures. These factors are
partly offset by pressures arising from both maintaining a large
TV audience share (viewer numbers have decreased in recent years)
as well as building the popularity of the sport in the face of
other entertainment options.

"Despite reducing debt significantly through the repayment of
$700 million (of the $1 billion second-lien debt) and converting
about $4.7 billion shareholder loans into equity, we still view
the financial profile as highly leveraged. This reflects the
group's overall high debt burden. Our base case assumes that debt
to EBITDA should be around 8.5x in 2017 and anticipates moderate
and steady debt deleveraging toward 7.0x over the next two-to-
three years, on nominal EBITDA growth. However, the financial
risk profile is supported by sound free operating cash flow
(FOCF) generation (about $170 million in 2016), which adequately
covers annual mandatory debt repayments, and a funds from
operations (FFO)-to-cash interest coverage ratio comfortably over
2x.

"We acknowledge that the holding company of Formula One, the
Formula One Group, has several other holdings and financial debt
of around $2.2 billion. Nevertheless, we understand that the
annual cash interest payments on this debt are low, that Formula
One Group has other means to pay the annual amounts through cash
on balance sheets and dividends from other businesses, and that
covenants currently protect Formula One from shareholder
distributions."

S&P's base case assumes the following:

-- 20 races programmed every year, with no expected increase in
    the number of races.
-- Moderate exposure to macroeconomic trends as the business is
    contract-based, very diversified geographically, and the
    majority of revenues are contracted for the year ahead.
-- S&P's estimate of around 5% growth in revenues in 2017-2019
    thanks to contracted changes in existing broadcasting and
    sponsorship contracts, and potential new sponsorships.
-- Adjusted EBITDA margin of about 20%-25% due to higher
    operating expenses and overheads stemming from the increased
    number of races per year and increased team payments
    exacerbated by higher payments to Mercedes off its back-
    to-back championship wins.
-- Early repayment of the outstanding $300 million of second -
    lien debt from the proceeds of the expected $200 million term
    loan B upsize and $100 million from existing cash.
-- No payment of dividend to shareholders at this point, as
    distribution is not permitted according to documentation
    prior to a drop in the company's leverage below 5.5x.

Based on these assumptions, S&P arrivea at the following credit
measures for Formula One:

-- S&P Global Ratings-adjusted debt to EBITDA of about 8.0x-8.5x
    in 2017 and 2018, dropping to around 7.0x in 2019. S&P Global
    Ratings-adjusted FFO to cash interest coverage of about 2.7x
    in 2017, increasing above 3.0x in 2018 and 2019.
-- S&P Global Ratings-adjusted FOCF to debt between 5% and 10%
    in 2017-2019.

S&P said, "Our stable outlook on Formula One reflects our
expectation that it will steadily grow its earnings and improve
its credit ratios over the next 12 months while continuing to
generate sound positive free cash flows. We also expect Formula
One will remain one of the world's most widely watched annual
global sporting competitions.

"We could lower the ratings if the company loses operating
momentum. This could stem, for example, from the championship's
popularity decreasing as a result of one team dominating and
potentially translating into a decline in audience numbers or a
decrease in advertising, broadcasting, or sponsorship earnings.
If these trends led adjusted FFO to cash interest coverage ratio
to fall below 2.0x and current FOCF levels to significantly
weaken, we could lower the ratings. Additionally, if the group
entered into sizable acquisitions or made high dividend
distributions that prevented the expected decrease in leverage,
negative rating pressure could build.

"At this stage, we view a positive rating action over the next 12
months as unlikely given our expectation that leverage will
remain around 8.0x during the period under our base case.
However, we could consider raising the ratings if Formula One
achieved adjusted debt to EBITDA below 5x and FFO to debt above
12%, supported by strong positive FOCF."


HANDMADE BURGER: Administrators Find Buyer for Business
-------------------------------------------------------
Paul Grinnell at Peterborough Telegraph reports that jobs have
been saved after a buyer was found for Peterborough's Handmade
Burger Company.

Administrators announced on July 26 a buyer has been found for
the troubled chain which has 20 stores including one in Westgate,
Peterborough, Peterborough Telegraph relates.

The announcement comes two weeks after the chain entered
administration, Peterborough Telegraph notes.

The administrators, Leonard Curtis, have not revealed the
identity of the buyer, according to Peterborough Telegraph.

The sale has secured 530 jobs at 20 restaurants, Peterborough
Telegraph discloses.

Nine other restaurants closed when the company entered
administration, Peterborough Telegraph states.


JOY: Creditors Receive 2p in the Pound in Pre-Pack Administration
-----------------------------------------------------------------
Pui-Guan Man at Drapers reports that creditors to fashion and
lifestyle chain Joy have accepted a proposed payment of 2p in the
pound following its pre-pack administration.

Trade suppliers were owed GBP5.1 million, Drapers relays, citing
a report filed by administrators from KRE Corporate Recovery at
Companies House.

Unsecured creditor claims from employees amounted to GBP36,375,
Drapers discloses.  The deadline for creditors to vote on
proposals was midnight on July 21, Drapers recounts.

According to Drapers, the report revealed that Joy was sold back
to its owners for GBP1.1 million on May 15, the same day that KRE
was appointed as administrator.  The sale was backdated to
May 12, Drapers notes.

A company voluntary arrangement (CVA) proposal to the group's
creditors was explored before the sale, but ruled out after
management determined the business "would not be able to generate
sufficient profits" to provide an "acceptable" return to
creditors, Drapers relates.

It was also unable to agree on terms with any corporate financing
companies and asset-based lenders to secure funding for the
group, according to Drapers.

Joy closed 11 of 32 stores across the UK, resulting in 78 job
losses, Drapers states.  The company is now staffed by 230
employees, Drapers discloses.


SIGNET UK: Moody's Assigns Ba1 Corporate Family Rating
------------------------------------------------------
Moody's Investors Service downgraded Signet UK Finance plc
("Signet") senior notes to Ba1 from Baa3. In addition, Moody's
assigned to the company a Ba1 Corporate Family Rating (CFR), Ba1-
PD Probability of Default Rating (PDR) and SGL-1 Speculative
Grade Liquidity Rating. The outlook is stable. This concludes a
review for downgrade initiated on May 25, 2017.

The downgrade reflects Signet's announcement that it has reached
an agreement to outsource its prime credit portfolio but will
maintain its subprime receivables as it continues to explore
external funding. The downgrade also reflects the continued
weaker trends in its operating results. Its prime portfolio is
under agreement to be sold to Alliance Data Systems Corp. for
approximately $1 billion. Net proceeds will be used to repay its
$600 million receivables securitization and the remainder will be
used to repurchase common stock.

"Signet's extension of credit is integral to driving sales and
its customer relationships particularly with its bridal
customers," Moody's Vice President Christina Boni stated. "
Although outsourcing its prime portfolio is similar in structure
to what many retailers pursue, the outsourcing of its subprime
portfolio will be done in a phased approach. Given recent
weakness in operating performance effective execution of its plan
will be even more critical to maintain its sales base," Boni
further stated.

Downgrades:

Issuer: Signet UK Finance plc

-- Senior Unsecured Regular Bond/Debenture, Downgraded to
    Ba1(LGD4) from Baa3, Rating Under Review

Assignments:

Issuer: Signet UK Finance plc

-- Probability of Default Rating, Assigned to Ba1-PD

-- Speculative Grade Liquidity Rating, Assigned to SGL-1

-- Corporate Family Rating, Assigned to Ba1

Outlook Actions:

Issuer: Signet UK Finance plc

-- Outlook, Changed To Stable From Rating Under Review

RATINGS RATIONALE

Signet's Ba1 Corporate Family Rating (CFR) reflects the company's
position as the largest specialty retail jeweler in the U.S.,
Canada and U.K., its well-recognized brand names and solid market
position which drive strong profitability. The rating also
acknowledges that the planned multi-step divestiture of its in
house credit program while ultimately eliminating credit risk on
balance sheet has implementation risk and increases its reliance
on multiple partners. The below prime portion of its portfolio
will be serviced by Genesis Financial Solutions as it pursues
external funding. Credit is integral to its business model with
over 36% of 2017 fiscal sales on credit and in excess of 10% are
below prime. The risks associated with the coordination and
execution of multiple parties and the risks associated with
finding alternative subprime funding sources on favorable terms
to fund its $700-800 million portfolio are reflected in the
rating. Sales trends in the jewelry category remain weak and
there is a heightened risk of secular challenges as mall traffic
declines continue and online increases in importance.

Factors that could result in an upgrade include consistent
profitable sales and operating income growth and margin expansion
while maintaining very good liquidity, conservative financial
policy and a consistent track record of success with its
outsourcing arrangements. Quantitatively, rating could be
upgraded if lease-adjusted Debt/EBITDA (including preferred
stock) sustained below 2.5x and adjusted EBIT/Interest above
5.0x.

Factors that could result in a downgrade include a material
decline in sales or operating margins, disruption to its credit
outsourcing arrangements that negatively impacts its business
profile, more aggressive financial policies or meaningful erosion
in liquidity. Quantitatively, ratings could be downgraded if
lease-adjusted Debt/EBITDA (including preferred stock) sustained
above 3.5x, or adjusted EBIT/Interest falls below 4.0x.

Signet UK Finance plc is an indirect subsidiary of Bermuda-based
Signet Jewelers Limited together, ("Signet"). Signet is the
leading specialty jewelry retailer in the U.S., Canada, and U.K.,
operating over 3,600 stores and e-commerce websites. The Sterling
Jewelers division operates 1,590 stores in all 50 US states
principally as Kay Jewelers, Kay Jewelers Outlet, Jared The
Galleria Of Jewelry and Jared Vault. Signet acquired 100% of the
outstanding shares of Zale Corporation in May 2014 for $1.46
billion, which comprises Zales, a leading specialty jewelry
retailer in North America with 948 jewelry stores and Piercing
Pagoda, which operates 617 mall-based kiosks. The company also
operates 510 stores in the UK in shopping malls and off-mall
locations (i.e. high street) principally as H.Samuel and Ernest
Jones.

The principal methodology used in these ratings was Retail
Industry published in October 2015.


TWIN BRIDGES 2017-1: Moody's Assigns B2 Rating to Cl. X2 Notes
--------------------------------------------------------------
Moody's Investors Service has assigned definitive long-term
credit ratings to the following classes of notes issued by Twin
Bridges 2017-1 Plc:

-- GBP 237,800,000 Class A Mortgage Backed Floating Rate Notes
    due September 2044, Definitive Rating Assigned Aaa (sf)

-- GBP 20,300,000 Class B Mortgage Backed Floating Rate Notes
    due September 2044, Definitive Rating Assigned Aa1 (sf)

-- GBP 17,400,000 Class C Mortgage Backed Floating Rate Notes
    due September 2044, Definitive Rating Assigned Aa3 (sf)

-- GBP 5,800,000 Class D Mortgage Backed Floating Rate Notes due
    September 2044, Definitive Rating Assigned A3 (sf)

-- GBP 8,700,000 Class X1 Mortgage Backed Fixed Rate Notes due
    September 2044, Definitive Rating Assigned Ba3 (sf)

-- GBP 5,800,000 Class X2 Mortgage Backed Fixed Rate Notes due
    September 2044, Definitive Rating Assigned B2 (sf)

Moody's assigned provisional ratings to these notes on July 3,
2017.

Moody's has not assigned ratings to the GBP 8,700,000 Class Z1
fixed rate notes due September 2044 and the GBP 5,800,000 Class
Z2 fixed rate notes due September 2044.

This transaction represents the first securitisation transaction
rated by Moody's that is backed by buy-to-let mortgage loans
originated by Paratus AMC Limited ("Paratus", not rated). The
portfolio consists of loans secured by mortgages on properties
located in the UK extended to 962 prime borrowers and the current
pool balance is approximately equal to GBP 242.7 million as of
June 2017. Approximately 12% of the pool has been originated via
Landbay Partners Limited platform. Each loan extended using
Landbay platform was underwritten using Paratus own staff,
systems, process and funding and the mortgage pricing, lending
criteria and lending documentation used for these loans
correspond to Paratus. As such, Moody's considers Landbay to be
one of the intermediaries used by Paratus.

RATINGS RATIONALE

The ratings take into account the credit quality of the
underlying mortgage loan pool, from which Moody's determined the
MILAN Credit Enhancement and the portfolio expected loss, as well
as the transaction structure and legal considerations. The
expected portfolio loss of 2.5% and the MILAN required credit
enhancement of 14% serve as input parameters for Moody's cash
flow model and tranching model.

The expected loss is 2.5%, which is in line with other UK BTL
RMBS transactions owing to: (i) the weighted average (WA) LTV of
around 70.35%; (ii) the performance of comparable originators,
(iii) the current macroeconomic environment in the UK, (iv) the
lack of historical information and (v) benchmarking with similar
UK buy-to-let transactions.

MILAN CE for this pool is 14.0%, which is in line with other UK
BTL RMBS transactions, owing to: (i) the weighted average current
LTV for the pool of 70.35%, which is in line with comparable
transactions, (ii) the percentage of self-employed borrowers in
the pool of 65.44%, which is in line with the average of the
sector, (iii) limited number of borrowers with bad credit history
present in the pool (0.85%), (iv) the lack of historical
information and (v) benchmarking with similar UK buy-to-let
transactions.

The structure allows for additional loans to be added to the pool
between the closing date and on or before December 12, 2017.
Prefunding in the deal may equal up to 15.98% of the principal
amount of the notes to be issued. The risk of pool deterioration
is mitigated by the limit of 74% to the average LTV on the
additional mortgage loans, the limit of 0.5% to the loans with
CCJs and geographical concentration limits. Additionally, the
purchase by the issuer of such prefunded loans is conditional
upon Moody's providing a rating agency confirmation. Should the
prefunding not take place, any funds in the prefunding reserve
not used by December 12, 2017 will be released to the redemption
waterfall.

At closing the general reserve fund is equal to 2.0% of the
closing principal balance of mortgage loans in the pool
(including retained commitment), i.e. GBP 5.8 million. The
general reserve fund will be replenished after the PDL cure of
the Class D notes and can be used to pay senior fees and costs
and interest on the Class A - D notes and to clear Class A - D
PDL. The liquidity reserve fund is equal to the maximum of 1.5%
of the outstanding Class A and B notes and 1.1% of the
outstanding classes A, B, C, D and Z1 and is funded at closing.
The liquidity reserve fund will be available to cover senior fees
and cost and Class A and B interest.

Operational Risk Analysis: Paratus is the servicer in the
transaction while Elavon Financial Services DAC, UK Branch is
acting as a cash manager. In order to mitigate the operational
risk, Intertrust Management Limited (Not rated) acts as back-up
servicer facilitator. To ensure payment continuity over the
transaction's lifetime the transaction documents incorporate
estimation language whereby the cash manager can use the three
most recent servicer reports to determine the cash allocation in
case no servicer report is available. The transaction also
benefits from the equivalent of 4.23 months liquidity.

Interest Rate Risk Analysis: 94.76% of the loans in the pool are
fixed rate loans reverting to three months Libor with the
remaining proportion linked to three months Libor. To mitigate
the fixed floating mismatch there is a fixed floating schedule
swap provided by Natixis (A2/P-1 & A1(cr)/P-1(cr)).

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

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

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

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

Stress Scenarios:

Moody's Parameter Sensitivities: If the portfolio expected loss
was increased from 2.5% to 3.75% of current balance, and the
MILAN CE was increased from 14% to 16.8%, the model output
indicates that the class A notes would still achieve Aaa(sf)
assuming that all other factors remained equal. Moody's Parameter
Sensitivities quantify the potential rating impact on a
structured finance security from changing certain input
parameters used in the initial rating. The analysis assumes that
the deal has not aged and is not intended to measure how the
rating of the security might change over time, but instead what
the initial rating of the security might have been under
different key rating inputs.

The ratings address the expected loss posed to investors by the
legal final maturity of the Notes. In Moody's opinion, the
structure allows for timely payment of interest and ultimate
payment of principal with respect to the Class A, Class B, Class
C and Class D Notes by the legal final maturity. In Moody's
opinion, the structure allows for ultimate payment of interest
and principal with respect to the Class X1 and Class X2 Notes by
the legal final maturity. Moody's ratings only address the credit
risk associated with the transaction. Other non-credit risks have
not been addressed, but may have a significant effect on yield to
investors.

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 of the notes issued
by Twin Bridges 2017-1 Plc 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.


TWIN BRIDGES 2017-1: Fitch Rates GBP5.80MM Class X2 Notes 'BB-sf'
-----------------------------------------------------------------
Fitch Ratings has assigned Twin Bridges 2017-1 Plc's notes final
ratings:

GBP237,800,000 Class A asset backed floating rate notes due
September 2044: 'AAAsf'; Outlook Stable
GBP20,300,000 Class B asset backed floating rate notes due
September 2044: 'AA+sf'; Outlook Stable
GBP17,400,000 Class C asset backed floating rate notes due
September 2044: 'A+sf'; Outlook Stable
GBP5,800,000 Class D asset backed floating rate notes due
September 2044: 'Asf'; Outlook Stable
GBP8,700,000 Class X1 asset backed floating rate notes due
September 2044: 'BBsf'; Outlook Stable
GBP5,800,000 Class X2 asset backed floating rate notes due
September 2044: 'BB-sf'; Outlook Stable
GBP8,700,000 Class Z1 asset backed floating rate notes due
September 2044: 'NR'
GBP5,800,000 Class Z2 asset backed floating rate notes due
September 2044: 'NR'

The final ratings for the class B, C, D and X2 notes are between
one and two notches higher than the expected ratings Fitch
assigned on July 3, 2017 due to revised note margins.

The transaction is the first securitisation from the Twin Bridges
shelf programme. This series is secured by residential mortgages
originated and serviced by Paratus AMC Limited (Paratus), an
experienced mortgage servicer that started originating buy-to-let
mortgages in 2015. The loans are exclusively buy-to-let (BTL) and
secured against properties located in England and Wales.

KEY RATING DRIVERS

Prime Assets; Limited History
The loans within the pool all have characteristics that align
with Fitch's expectations for a prime BTL mortgage pool. This
includes limited previous adverse credit behaviour, full income
verification with formal checks, full property valuation and a
clear lending policy that has stringent controls and quality
assurance checking.

Fitch considers that while there is limited history of
origination and subsequent performance data, this is sufficiently
mitigated through available proxy data, an experienced management
team and adjustments made to the foreclosure frequency in its
analysis.

Prefunded Portfolio
The transaction includes a prefunding mechanism for which
proceeds from the sale of the notes will be used to purchase a
portfolio of additional mortgage loans to be originated between
June and July 2017 (prefunded portfolio), in addition to the
static portfolio. In order to model a prefunded portfolio, Fitch
selected a sample of loans from an additional pool containing
further loans identified for sale.

Unrated Originator and Seller
Paratus is expected to have sufficient resources available to
repurchase any mortgages in the event of a breach of the
representations and warranties (RW). In addition, there are a
number of mitigating factors that make the likelihood of an RW
breach sufficiently remote.

Excess Spread Notes
Available excess spread will be used to pay pro-rata interest and
sequential principal on the class X1 and X2 notes, up to the step
up date. Interest and principal on these notes is paid junior to
the subordinated swap termination payments. Fitch analysed the
available excess spread in combination with the likelihood that
termination payments will be triggered and concluded that the
notes can achieve a maximum rating of 'BBsf'.

RATING SENSITIVITIES

Material increases in the frequency of defaults and loss severity
on defaulted receivables producing losses greater than Fitch's
base case expectations may result in negative rating actions on
the notes. Fitch's analysis revealed that a 30% increase in the
weighted average (WA) foreclosure frequency, along with a 30%
decrease in the WA recovery rate, would imply the following
downgrades: class A notes to 'AAsf', class B notes to 'Asf',
class C notes to 'BBB+sf' and class D notes to 'BBB-sf'.



                            *********

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

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

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


                            *********


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

Troubled Company Reporter-Europe is a daily newsletter co-
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Valerie U. Pascual, Marites O. Claro, Rousel Elaine T. Fernandez,
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