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        T R O U B L E D   C O M P A N Y   R E P O R T E R

                           E U R O P E

           Tuesday, June 20, 2017, Vol. 18, No. 121


                            Headlines


I C E L A N D

ORKUVEITA REYKJAVIKUR: Moody's Changes Ba2 Rating Outlook to Pos.


I R E L A N D

BLACKROCK EUROPEAN III: S&P Assigns 'B-' Rating to Cl. F Notes


I T A L Y

ICCREA BANCAIMPRESA: Moody's Withdraws ba3 Adjusted BCA Rating
POPOLARE DI VICENZA: Italy, EU Comm. Seek Solution for Banks Woes


L A T V I A

RIGAS KUGU: SIA Sanistal Files Insolvency Petition


N E T H E R L A N D S

HIGHLANDER EURO III: Moody's Ups Rating on Cl. E Notes to Ba1
SAMVARDHANA MOTHERSON: Fitch Assigns First-Time BB+ IDR


P O L A N D

COGNOR HOLDING: S&P Raises CCR to 'CCC+' on More Liquidity
TWOJA SKOK: KNF Files Bankruptcy Petition, Operations Suspended


R O M A N I A

GLOBALWORTH REAL: S&P Assigns 'BB+' CCR, Outlook Stable


R U S S I A

AGENCY FOR HOUSING: S&P Affirms 'BB+/B' Issuer Credit Ratings
FAR-EASTERN SHIPPING: S&P Affirms Then Withdraws 'SD' CCR
FORUS BANK: Liabilities Exceed Assets, Assessment Shows


S E R B I A

SERBIA: S&P Affirms 'BB-/B' Sovereign Credit Ratings


S P A I N

BBVA-6 FTPYME: Fitch Affirms 'C' Rating on Class C Notes


U N I T E D   K I N G D O M

CAPARO MERCHANT: Liberty Industries Nears Rescue Deal
CO-OPERATIVE BANK: In Advanced Talks with Existing Investors
CPUK FINANCE: Fitch Assigns 'B' Ratings to Two Note Classes
CPUK FINANCE: S&P Assigns 'B' Ratings to Two Note Classes
KEYSTONE JVCO: S&P Affirms 'B-' CCR, Outlook Stable

MOY PARK: S&P Lowers CCR to 'B+' Following Parent Rating Cut
ROYAL BANK: Moody's Ups Jr. Subordinated Reg. Bond Rating to Ba2
UROPA SECURITIES 2007-01B: Fitch Affirms 'B' Rating on B2a Notes


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ORKUVEITA REYKJAVIKUR: Moody's Changes Ba2 Rating Outlook to Pos.
-----------------------------------------------------------------
Moody's Investors Service has changed the outlook on Orkuveita
Reykjavikur (OR) to positive from stable. Concurrently, Moody's
has converted the Ba2 issuer rating into a Ba2 corporate family
rating (CFR) in line with the rating agency's practice for
corporates with non-investment-grade ratings.

RATINGS RATIONALE

The change of outlook to positive recognises the progress OR has
made with regard to improving its operational performance,
reducing its financial leverage and strengthening its liquidity
profile over recent years, and the increased likelihood that the
company will meet Moody's ratio guidance for a rating upgrade in
the near future.

OR's financial profile has improved as a result of the company's
strict implementation of a five-year plan approved by the board
of directors in March 2011. Owing to a very strong commitment
from management, the company outperformed the targets well in
advance of the completion date in December 2016. Moody's expects
that the company will continue to maintain a prudent cash
management and hedging policy, which provides greater visibility
over funding and helps the company to partially reduce its
interest rate, exchange rate and commodity risks. The positive
outlook recognises that the company may continue to reduce its
financial leverage and will maintain a conservative financial
policy in the context of a continuing improvement in the
macroeconomic environment and market conditions in Iceland.

The positive macroeconomic dynamics in Iceland will likely have a
positive impact on OR's business. The Icelandic economy has
continued to grow at a strong pace and Moody's forecasts GDP
growth of 5.5% in 2017 and 3.5% in 2018. These improvements are
underpinned by increasingly robust domestic demand from private
consumption and business investments, including the expansion of
the fast-growing tourist infrastructure, which should be
supportive of sustained demand growth for utility services.

Albeit materially improved from the past, OR's foreign currency
exposure remains substantial owing to a significant mismatch
between the majority of its revenues being generated in Icelandic
krona and the majority of its debt being denominated in foreign
currency, and this continues to weigh on the rating. During 2016
the Icelandic krona has appreciated by almost 15% in trade-
weighted terms and by almost another 12% since the beginning of
this year. This has helped OR to alleviate its foreign currency
debt servicing burden in 2016, and Moody's expects OR's 2017
credit metrics to be positively impacted. Such benefits could
disappear if the Icelandic krona reverses direction and weakens.
Whilst Moody's does not expects a material depreciation of the
Icelandic krona in 2017 and 2018, OR remains exposed to
developments in the exchange rate, albeit against a background of
lower exchange rate volatility.

OR's Ba2 rating factors in positively (1) the company's strong
market position and strategic importance to Reykjavik, and
Iceland more broadly, as the provider of essential utility
services to almost 70% of Iceland's population; (2) the low
business risk profile associated with regulated activities, which
accounts for almost 65% of the company's EBITDA and provide a
good degree of cash flow predictability; and (3) its asset base
with predictable and low levels of capital expenditure
requirements. However, the rating also takes account of (1) OR's
still significant financial leverage; (2) the foreign currency
risk; and (3) the company's exposure to unregulated business and
long-term power purchase agreements with aluminium smelters,
which exposes revenue to some volatility in the price of
aluminium.

OR is considered a government-related issuer under Moody's
methodology because of its ownership by municipal authorities,
which include the City of Reykjavik (93.5%), the Town of Akranes
(5.5%) and the Municipality of Borgarbyggd (1%). The owners
provide a guarantee of collection in support of OR, which
currently covers around 95% of the total outstanding debt. OR's
Ba2 rating incorporates one notch of uplift for potential
extraordinary support to the company's baseline credit assessment
(BCA, a measure of standalone credit strength) of ba3. This
recognises that despite the very strong incentives of the owners
to provide timely financial support to OR their ability to do so
in potential stress case scenarios may be constrained, given OR's
significant debt burden relative to the financial resources of
its shareholders. Therefore, considering the critical nature of
utility services that OR provides to the City of Reykjavik and
the surrounding communities, Moody's would expect the central
government to try and coordinate with the local governments to
arrange timely intervention, if necessary.

RATIONALE FOR POSITIVE OUTLOOK

The positive rating outlook reflects the progress OR has made
with regard to improving its operational performance, reducing
its financial leverage and strengthening its liquidity profile
over recent years and the increased likelihood that the company
will meet Moody's ratio guidance for a rating upgrade in the near
future.

WHAT COULD CHANGE THE RATING UP/ DOWN

Moody's would consider an upgrade if the company's credit metrics
were to improve such that funds from operations (FFO)/Net debt
was greater than 15% on a sustainable basis without increasing
its financial risk profile. This would also assume no change to
the assumption of support from the owner incorporated into OR's
rating.

Although not currently expected, downward pressure on OR's rating
could develop (1) as consequence of a weakening in the company's
financial profile, such that FFO/ Net debt in percentage terms
was expected to remain consistently below 10%; or (2) it would
appear likely that the company's liquidity was not sufficient to
insulate it from market risks, particularly in relation to
exchange rates, aluminium prices or interest rates, and OR were
unable to raise debt in the domestic or international markets.

PRINCIPAL METHODOLOGY

The methodologies used in this rating were Regulated Electric and
Gas Utilities published in December 2013, and Government-Related
Issuers published in October 2014.

Headquartered in Reykjavik, Orkuveita Reykjavikur is the largest
multi-utility in Iceland. The company operates its own power
plants, electricity distribution system, geothermal district
heating system and provides cold water and waste services in 20
communities in the southwest of the country, covering almost 70%
of the Icelandic population. As at fiscal year ending 2016, the
company had revenues of ISK41.4 billion (c.USD370 million) and
EBITDA of ISK25.3 billion (c.USD230 million).


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BLACKROCK EUROPEAN III: S&P Assigns 'B-' Rating to Cl. F Notes
--------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to BlackRock
European CLO III DAC's floating-rate class A, B, C, D, E, and F
notes.  At closing, BlackRock European CLO III also issued an
unrated subordinated class of notes.

BlackRock European CLO III is a European cash flow collateralized
loan obligation (CLO) transaction, securitizing a portfolio of
primarily senior secured euro-denominated leveraged loans and
bonds issued by European borrowers. BlackRock Investment
Management (UK) Ltd. is the collateral manager.

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

S&P's ratings reflect its assessment of the collateral
portfolio's credit quality, which has a weighted-average 'B'
rating.  S&P considers that the portfolio at closing is well-
diversified, primarily comprising broadly syndicated speculative-
grade senior secured term loans and senior secured bonds.
Therefore, S&P has conducted its credit and cash flow analysis by
applying its criteria for corporate cash flow collateralized debt
obligations.

In S&P's cash flow analysis, it used the EUR400 million target
par amount, the covenanted weighted-average spread (3.90%), the
covenanted weighted-average coupon (4.80%), and the target
minimum weighted-average recovery rates at each rating level as
indicated by the manager.  S&P applied various cash flow stress
scenarios, using four different default patterns, in conjunction
with different interest rate stress scenarios for each liability
rating category.

Citibank, N.A., London Branch is the bank account provider and
custodian.  At closing, the documented downgrade remedies are in
line with S&P's current counterparty criteria.

Following the application of S&P's structured finance ratings
above the sovereign criteria, it considers that the transaction's
exposure to country risk is sufficiently mitigated at the
assigned rating levels.

At closing, S&P considers the issuer to be bankruptcy remote, in
accordance with its legal criteria.

Following S&P's analysis of the credit, cash flow, counterparty,
operational, and legal risks, S&P believes its ratings are
commensurate with the available credit enhancement for each class
of notes.

RATINGS LIST

Ratings Assigned

BlackRock European CLO III DAC
EUR415.9 Million Senior Secured Floating-Rate Notes And
Subordinated Notes

Class                 Rating           Amount
                                     (mil. EUR)

A                     AAA (sf)          233.0
B                     AA (sf)            52.0
C                     A (sf)             32.5
D                     BBB (sf)           21.0
E                     BB (sf)            21.0
F                     B- (sf)            11.5
Sub                   NR                 44.9

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


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ICCREA BANCAIMPRESA: Moody's Withdraws ba3 Adjusted BCA Rating
--------------------------------------------------------------
Moody's Investors Service has withdrawn all ratings for Iccrea
BancaImpresa S.p.A.

RATINGS RATIONALE

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

LIST OF AFFECTED RATINGS

Issuer: Iccrea BancaImpresa S.p.A.

Withdrawals:

-- Long-term Counterparty Risk Assessment, previously rated
    Baa3(cr)

-- Short-term Counterparty Risk Assessment, previously rated
    P-3(cr)

-- Long-term Bank Deposits, previously rated Baa3, outlook
    changed to Rating Withdrawn from Negative

-- Short-term Bank Deposits, previously rated P-3

-- Adjusted Baseline Credit Assessment, previously rated ba3

-- Baseline Credit Assessment, previously rated b1

Outlook Action:

-- Outlook changed to Rating Withdrawn from Negative


POPOLARE DI VICENZA: Italy, EU Comm. Seek Solution for Banks Woes
-----------------------------------------------------------------
Kevin Costelloe and Sonia Sirletti at Bloomberg News report that
Italian finance officials and the European Commission are racing
to find a solution for two troubled banks in the northern Veneto
region that have weighed on the nation's financial system.

Finance Minister Pier Carlo Padoan said on June 18 the matter of
Veneto Banca SpA and Banca Popolare di Vicenza SpA is being
worked on "actively," without offering details, Bloomberg
relates.  The European Commission said in a statement on June 19
it is working "hand in hand" with Italian authorities and
Europe's Single Supervisory Mechanism, and is making "good
progress" on reaching a solution within the bloc's rules.

According to Bloomberg, Rome's la Repubblica newspaper said on
June 18 that the Italian government and bank managers are seeking
an agreement "by the end of this week."  Mr. Padoan, as cited by
Bloomberg, said that an accord with the Commission in Brussels
was "close."

Still there were differing news media accounts of the status of
the talks with European Union officials who will need to sign off
on any state involvement, Bloomberg notes.

La Stampa, quoting officials in the EU and the Treasury in Rome,
said the current rescue plan has been determined to be
unfeasible, Bloomberg relays.  The newspaper said a split into
so-called good banks for performing assets and bad banks for
deteriorated credit was one possibility, according to Bloomberg.
Bloomberg notes that the newspaper said on June 19 under this
option, Intesa Sanpaolo SpA may agree to buy the good banks,
while the bad assets would be sold.

The government is seeking European permission for a state-backed
recapitalization of EUR6.4 billion (US$7.1 billion), Bloomberg
discloses.  The plan depends on the Veneto banks raising EUR1.2
billion of private capital -- a condition they have failed to
fulfill, Bloomberg says.

According to Bloomberg, people with knowledge of the matter who
declined to be identified because the matter isn't public, said
Italy hired Rothschild & Co. to find a solution.

Banca Popolare di Vicenza (BPVi) is an Italian bank.  The bank
was the 13th largest retail and corporate bank of Italy by total
assets, according to Mediobanca.

                         *     *     *

As reported by the Troubled Company Reporter-Europe on Mar 21,
2017, Fitch Ratings downgraded Banca Popolare di Vicenza's
(Vicenza) Long-Term Issuer Default Rating (IDR) to 'CCC' from
'B-' and Viability Rating (VR) to 'cc' from 'b-'. The Long-Term
IDR has been placed on Rating Watch Evolving (RWE).

The downgrade of Vicenza's VR to 'cc' reflects Fitch's view that
it is probable that the bank will require fresh capital to
address a material capital shortfall, which under Fitch's
criteria would be a failure.

The downgrade of the Long-Term IDR to 'CCC' reflects Fitch's view
that there is a real possibility that losses could be imposed on
senior bondholders if a conversion or write-down of junior debt
is not sufficient to strengthen capitalisation and if the bank
does not receive fresh capital in a precautionary
recapitalisation.


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RIGAS KUGU: SIA Sanistal Files Insolvency Petition
--------------------------------------------------
The Board of Directors of AS Rigas kugu buvetava declared that on
June 14, 2017, its creditor SIA Sanistal submitted an application
to the court to commence insolvency proceedings against the
Company for non-fulfillment of its commitments in timely manner.

The Board of Directors says it has reached an agreement with SIA
Sanistal "for fulfilment of commitments," approving the
corresponding payment schedule, and SIA Sanistal "disclaims its
application submitted with the court regarding to the initiation
of insolvency proceedings."

Riga Shipyard is a Latvian shipyard as well as one of the largest
shipyards in the Baltic region.



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HIGHLANDER EURO III: Moody's Ups Rating on Cl. E Notes to Ba1
-------------------------------------------------------------
Moody's Investors Service announced that it has taken rating
actions on the following classes of notes issued by Highlander
Euro CDO III B.V.:

-- EUR48M Class C Senior Secured Deferrable Floating Rate Notes
    due 2023, Upgraded to Aaa (sf); previously on Nov 28, 2016
    Upgraded to Aa3 (sf)

-- EUR34M Class D Senior Secured Deferrable Floating Rate Notes
    due 2023, Upgraded to A3 (sf); previously on Nov 28, 2016
    Upgraded to Baa2 (sf)

-- EUR26M (Current outstanding balance of EUR23.2M) Class E
    Senior Secured Deferrable Floating Rate Notes due 2023,
    Upgraded to Ba1 (sf); previously on Nov 28, 2016 Affirmed Ba2
    (sf)

Moody's has also affirmed ratings of the following classes of
notes:

-- EUR536M (Current outstanding balance of EUR79.6M) Class A
    Senior Secured Floating Rate Notes due 2023, Affirmed Aaa
    (sf); previously on Nov 28, 2016 Affirmed Aaa (sf)

-- EUR76M Class B Senior Secured Floating Rate Notes due 2023,
    Affirmed Aaa (sf); previously on Nov 28, 2016 Affirmed Aaa
    (sf)

Highlander Euro CDO III B.V., issued in April 2007, is a
collateralised loan obligation ("CLO") backed by a portfolio of
mostly high yield European loans. The portfolio is managed by
CELF Advisors LLP. The transaction's reinvestment period ended in
May 2014.

RATINGS RATIONALE

The upgrades on the ratings of notes are primarily a result of
the deleveraging of the class A notes following the amortisation
of the underlying portfolio over the last six months. The class A
notes have partially redeemed by EUR49.2 million (or 9.2% of
their original balance) at the last payment date in May 2017. As
a result of the deleveraging the over-collateralization (OC)
ratios have increased for all the notes. According to the May
2017 trustee report, the classes A/B, C, D and E ratios are
195.84%, 149.67%, 128.26% and 116.83% respectively compared to
levels just prior to the payment date in November 2016 of
161.59%, 134.84%, 120.69% and 112.61%.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR304.74
million, a weighted average default probability of 18.95%
(consistent with WARF of 2919 and a weighted average life of 3.7
years), a weighted average recovery rate upon default of 44.31%
for a Aaa liability target rating, a diversity score of 24.

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

Methodology Underlying the Rating Action:

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

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

In addition to the base-case analysis, Moody's conducted
sensitivity analyses on the key parameters for the rated notes,
for which it lowered the weighted average recovery rate by 5
percentage points; the model generated outputs that were in line
with the base-case results for classes A and B, within a notch
for classes C, D and E.

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

Additional uncertainty about performance is due to the following:

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

* Around 6.11% of the collateral pool consists of debt
obligations whose credit quality Moody's has assessed by using
credit estimates. As part of its base case, Moody's has stressed
large concentrations of single obligors bearing a credit estimate
as described in "Updated Approach to the Usage of Credit
Estimates in Rated Transactions," published in October 2009 and
available at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBC_120461.

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


SAMVARDHANA MOTHERSON: Fitch Assigns First-Time BB+ IDR
--------------------------------------------------------
Fitch Ratings has assigned Netherlands-based Samvardhana
Motherson Automotive Systems Group BV (SMRP BV) a Long-Term
Foreign-Currency Issuer Default Rating (IDR) of 'BB+'. The
Outlook is Positive. Fitch has also assigned the 'BBB-' rating on
SMRP BV's existing senior secured bonds.

SMRP BV's rating reflects strong linkages with its shareholders,
Motherson Sumi Systems Limited (MSSL) and Samvardhana Motherson
International Limited (SMIL). SMRP BV is a leading global
supplier of rear-view vision systems and interior and exterior
modules to the automotive industry. It has long-standing customer
relationships with financially strong original equipment
manufacturers (OEMs) and its global operations are located close
to the OEMs. This helps the company achieve above-market growth
and shield profitability from sector-specific risks arising from
high dependence on large OEM customers. Our rating also reflects
MSSL's disciplined and de-risked approach to expansion, which has
helped it grow with sustained improvement in profitability while
limiting financial leverage. The Positive Outlook reflects
Fitch's expectations that SMRP BV's financial profile will
improve over the next two years, based on a strong order book and
completion of its expansion capex.

The notes are rated one notch above the IDR as they are secured
against assets in key subsidiaries within the SMRP BV group.

KEY RATING DRIVERS

Linkages to Samvardhana Motherson Group: Fitch analyses MSSL, its
largest shareholder SMIL and their 51:49 joint venture, SMRP BV,
as a single economic entity because SMIL effectively controls
more than 50% of economic interest in the MSSL group and because
of the companies' senior management overlap. Fitch assesses the
operating, financial and strategic linkages between SMRP BV and
SMIL as strong and has based SMRP BV's IDR on SMIL's consolidated
financial profile, which has been adjusted to include 100% of the
businesses of MSSL and SMRP BV to take into account the sizeable
minority shareholders in MSSL.

Leading Player with Integrated Capabilities: MSSL's business in
India supplies wiring harnesses for a dominant share of the
passenger vehicles manufactured in the country. The company's
acquisition of PKC Group Plc in March 2017 has given MSSL leading
positions in commercial-vehicle wiring harness markets across
North America, Europe, South America and China. SMRP BV's mirror
business under Samvardhana Motherson Reflectec (SMR) is one of
the top suppliers of exterior mirrors globally with a 24% market
share by sales. Samvardhana Motherson Peguform (SMP), the polymer
business, accounts for 20% of global bumper sales, 11% of
dashboards and 28% of door panels in the premium segment.

MSSL's market shares have grown over the last several years,
supported by its ability to provide a full spectrum of solutions
(including R&D, tooling, manufacturing and assembly) in meeting
customers' complex supply chain needs with high quality and
reliability.

Well-Diversified Business Profile: MSSL's businesses serve more
than 750 vehicle programmes across more than 50 OEMs globally.
Each business is diversified across OEM customers, vehicle
programmes within an OEM and different geographies for each
programme. This is an important business strength given the
cyclical and competitive nature of the automotive industry. MSSL
has a balanced geographic presence: 20.7% of sales came from the
Americas, 53.7% from Europe and 25.7% from Asia-Pacific and
Africa in the financial year ended March 2017 (FY17), including
full year revenue from PKC. Customer diversification has
improved, with the top-five customers making up 47% of sales in
FY17 (including PKC), compared with 53% in FY14.

Strong Relationship with OEMs: SMRP BV has decades-long
relationships with 14 of the top-15 global OEMs, which
underscores its consistent quality and R&D record. This is
important, as global OEMs are increasingly dependent on external
auto-component providers and retain only high value-added parts
to optimise capital. The company's solid customer relationships
are a key business strength and help SMRP BV mitigate sector-
specific risks, such as competition and weak negotiating power
against large OEMs in pricing and pass-through of volatility in
raw material prices.

Strong Order Book: SMRP BV had an order book of about EUR12.8
billion at FYE17 (EUR7.7 billion at FYE14), which in Fitch's
view, supports revenue visibility in excess of 90% over the next
three to four years, including 60%-70% that comes from models
already in production. The order book is diversified across OEMs
and vehicle programmes, which mitigates uncertainty over the
market reception of a new launch. Moreover, the association with
top OEMs reduces this risk, as the manufacturers typically try to
improvise and relaunch new platforms -- which require significant
upfront investment -- rather than writing-off the initial
investment altogether.

Low-Risk Growth Strategy: SMRP BV has achieved strong, profitable
growth over the years through successful integration of
attractively priced acquisitions and a low-risk organic expansion
strategy. The company has been able to improve profitability at
SMR and SMP by focusing on cost efficiency and investing to
expand in-house manufacturing capabilities. SMRP BV's expansion
plans benefit from orders already secured from customers, which
reduces risks. MSSL is likely to pursue sizeable acquisitions in
line with its strategic vision, but Fitch expects the company to
adhere to its announced long-term leverage target.

Improving Financial Profile: MSSL has maintained reasonable
financial leverage, with an adjusted net debt to operating
EBITDAR ratio of 2.6x in FY14-FY16, while achieving healthy
growth and steady improvement in margins. This highlights its
disciplined approach in evaluating investment opportunities. The
company has low maintenance capex requirements (INR6 billion-7
billion annually) and a dividend policy that pays less than 40%
of net income.

FCF generation has been negative due to the organic expansion of
the SMR and SMP businesses, but Fitch expects FCF generation to
improve once capex normalises over FY18-FY19. Fitch expects
MSSL's robust order book to support continued increases in
EBITDA, which should lead to lower financial leverage that will
be commensurate with a low investment-grade rating over the next
two to three years.

Solid Financial Flexibility: MSSL benefits from a robust
liquidity profile, fairly long-dated debt maturities as well as
diversified access to banks and capital markets. MSSL's strong
financial flexibility allows it to support customers when they
set up production facilities in new markets as well as get
involved in the early design and development work.

DERIVATION SUMMARY

MSSL's sizeable scale, leading market position in its product
categories as well as good degree of diversification across OEM
customers, geographies and products, positions it well with
respect to peers such as Metalsa, S.A. de C.V. (BBB-/Stable),
Nemak, S.A.B. de C.V.(BB+/Positive) and Faurecia S.A.
(BB/Stable). MSSL appears more leveraged than its peers because
of its expansion capex, but Fitch's forecasts for the company's
FCF profitability and leverage profile in the post-expansion
years (FY20 onwards) compare well against that for its peers.

KEY ASSUMPTIONS

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

- High single-digit revenue growth (except FY18 when full-year
consolidation of PKC will lead to around 21% growth) supported by
a strong order book.

- Gradual improvement in EBITDA margin to 10%-11% over the next
two to three years driven by increasing scale and investments to
further improve in-house value addition.

- Capex intensity (measured as percentage of sales) to remain
high at around 5.5%-6.0% through to FY18 before declining to
around 4.0% in FY19.

- MSSL dividend payout to remain at below 40% of net income.

RATING SENSITIVITIES

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

- MSSL consolidated adjusted net leverage (defined as total
adjusted net debt to operating EBITDAR, after Fitch's adjustment
for minorities and factored receivables and suppliers'
acceptances) improving to below 2.0x on a sustained basis.

- MSSL consolidated FCF margin improving to greater than 1.0% on
a sustained basis.

- MSSL maintaining or improving its business diversification.

Future developments that may, individually or collectively, lead
to the Outlook being revised to Stable:

- Inability to achieve the positive guidelines above.

LIQUIDITY

MSSL has a robust liquidity position with no significant debt
maturities before FY22. At March 31, 2017, MSSL had INR49.9
billion of unrestricted cash and INR32.9 billion of available
committed bank facilities (MSSL: INR8.9 billion; SMRP BV: INR24
billion), which were more than sufficient to meet INR10.6 billion
in near-term debt maturities and the modest level of FCF deficit
through to FY18. The liquidity profile is strengthened by Fitch's
expectation of positive FCF from FY19 and SMRP BV's access to
both bank and international debt capital markets.

FULL LIST OF RATING ACTIONS

Samvardhana Motherson Automotive Systems Group BV
-- Long-Term IDR assigned at 'BB+'; Outlook Positive
-- Rating on USD400 million 4.875% senior secured notes due 2021
    assigned at 'BBB-'
-- Rating on EUR500 million 4.125% senior secured notes due 2021
    assigned at 'BBB-'
-- Rating on EUR100 million 3.7% senior secured notes due 2025
    assigned at 'BBB-'


===========
P O L A N D
===========


COGNOR HOLDING: S&P Raises CCR to 'CCC+' on More Liquidity
----------------------------------------------------------
S&P Global Ratings said that it had raised its long-term
corporate credit rating on Poland-based steel producer Cognor
Holding S.A. to 'CCC+' from 'CCC'.  The outlook is stable.  The
short-term rating was affirmed at 'C'.

At the same time, S&P raised its issue rating on Cognor's senior
secured notes, due 2020 and issued by Cognor International
Finance PLC to 'CCC+' from 'CCC', and S&P's issue rating on the
exchangeable notes due 2021, also issued by Cognor International
Finance to 'CCC-' from 'CC'.

The upgrade reflects currently favorable market conditions
positively impacting the company's credit metrics, helping Cognor
regain some flexibility, although still remaining in the highly
leveraged financial risk category.  The company's debt should be
manageable in the short term, as free cash flow generation has
been bolstered, while liquidity is still heavily reliant on
short-term financing.  Moreover, management has stated that
further bond buybacks at a discount are not on the agenda, and
Cognor has announced its intention to refinance the EUR81 million
senior secured notes maturing in 2020, to be complemented with a
new  Polish zloty (PLN) 80 million (about EUR19 million)
revolving credit facility.  The refinancing, which S&P has not
yet factored into its base case pending expected finalization in
the second half of 2017, may further improve Cognor's credit
metrics and strengthen its liquidity profile.

Steel industry conditions for Cognor's business have improved
thanks to two main factors, firstly the levy of import duties on
non-European steel producers, mainly subsidized Chinese imports,
and secondly, electric arc furnace technology becoming more cost
competitive than blast oxygen furnace production owing to
elevated iron ore and coking coal prices.  The import duties have
resulted in steel price growth, helping boost product price
spreads, and hence supporting margin recovery.  The increased
cost competitiveness of electric arc furnaces has also bolstered
profitability through lower costs, as scrap purchase prices have
in recent months grown less quickly than coking coal and iron ore
prices, both of which constitute feedstock for producers using
blast oxygen furnaces.  This favorable trend for electric arc
furnace producers is likely to reverse, at least in part, while
import duties will remain effective until 2021.

S&P's base case reflects these positive drivers in a revised
expected EBITDA of PLN110 million-PLN120 million for 2017,
against PLN93 million in 2016, on an adjusted basis.  As of March
31, 2017, last-12-months' adjusted debt to EBITDA fell to 5.5x,
from a 2016 ratio of 7.4x.  EBITDA interest coverage is expected
to exceed 2.0x, while free cash flow generation should turn
positive, contrary to previous years.  Management is expected to
keep capital expenditures at maintenance levels, while working
capital could bring slight cash inflow over full-year 2017.

Although financial prospects have somewhat improved, S&P also
considers as part of its analysis Cognor's business risk profile,
which S&P assess as vulnerable, owing to its small scale
(capacity of only 0.6 million tons), lack of geographic
diversification, products being largely commoditized, and
exposure to cyclical end markets.  On the positive side, the
company has increased its capacity utilization to almost 100% and
benefits somewhat from its vertical integration with scrap
collection activities. Nevertheless, Cognor's profitability, as a
price taker, is largely dependent on the competitiveness (or lack
thereof) of its cost position, which as discussed above is
inherently cyclical in nature.

The company is currently in the process of refinancing its EUR81
million senior secured notes with a EUR50 million term loan
facility, on which commitments have already been received from
banks, subject to a EUR25 million equity offering, with the
remaining about EUR5 million financed from cash flows.  If the
refinancing is completed as planned, leverage metrics would
improve, not only thanks to the lower debt quantum and longer
maturity, but also owing to a boost to cash flow from lower
interest expense, a result of replacing a 12.5% coupon on the
notes with a significantly lower interest rate on the new bank
loan.

S&P also notes that 83% of the company's financial indebtedness
is denominated in euros (the senior secured notes), while only
about 30% of revenues is in euros, as the company generates most
of its revenues in Poland.  As this exposure is not hedged, the
mismatch exposes the company to currency risk, causing its
leverage to fluctuate accordingly.

The stable outlook reflects S&P's expectation that Cognor will
report 2017 results in line with or above S&P's base case,
leading to adjusted debt to EBITDA below 6.0x and EBITDA interest
coverage above 2.0x.  S&P also expects Cognor will successfully
refinance the senior secured notes, as is currently envisaged, in
the course of 2017.  There is no headroom for liquidity to
deteriorate, nor do S&P expects Cognor to undertake any actions
negatively affecting its credit standing, such as bond buybacks,
dividend payments, etc.

An upgrade may result from credit-supportive financial policies,
such as successful completion of the contemplated refinancing of
the senior secured notes, leading to a more sustainable capital
structure, improved credit metrics, and stronger liquidity.
Ratings upside would also require sustainable improvement in
operating results and free cash flow, such that adjusted leverage
remained comfortably below 5.0x.

S&P could lower the rating in the event of weakened operating
performance or failure to refinance, leading to substantially
weaker liquidity or free cash flow and leverage metrics.  An
aggressive financial policy or renewed below par debt buybacks,
would also likely lead to a downgrade.


TWOJA SKOK: KNF Files Bankruptcy Petition, Operations Suspended
---------------------------------------------------------------
Posadzy Magdalena at Polska Agencja Prasowa SA reports that KNF
suspended the operations of Twoja SKOK mid-May and filed for its
bankruptcy.

According to PAP, KNF previously said as of March 31, Twoja Skok
had negative equity of PLN52.6 million and was running a loss of
PLN2.7 million on top of uncovered losses from prior years in the
amount of PLN76.3 million.

Twoja SKOK is a savings and loan union based in Poland.



=============
R O M A N I A
=============


GLOBALWORTH REAL: S&P Assigns 'BB+' CCR, Outlook Stable
-------------------------------------------------------
S&P Global Ratings said that it had assigned its 'BB+' long-term
corporate credit rating to Romania-based property investment
company Globalworth Real Estate Investments Ltd.  The outlook is
stable.

At the same time, S&P assigned its 'BB+' issue rating to
Globalworth's EUR550 million inaugural senior unsecured bond.

These ratings are in line with the preliminary ratings S&P
assigned on May 26, 2017.

The rating reflects S&P's view of Globalworth's tenant and asset
concentration, volatility of its office segment, and limited
portfolio size compared with higher-rated peers.  This is partly
offset by the high quality of the company's office assets, large
share of international tenants, long-term leases, and positive
trends in Central and Eastern European markets.  S&P also notes
limited development risk in the portfolio.  The company currently
owns and manages 16 assets, valued at EUR977.5 million as of
Dec. 31, 2016 (and EUR1.1 billion upon completion of
developments), office properties (81% of portfolio value), and
light logistics (5%).  Globalworth is starting to invest in
countries such as Poland this year, and it targets a portfolio of
more than EUR2 billion in the next couple of years, to achieve a
balanced exposure between Romania and Poland.

S&P's assessment of Globalworth's financial risk profile is
underpinned by the company's prudent financial policy centered on
a loan-to-value ratio of less than 35%, which is low for the
industry.

Globalworth appears to be less diversified than peers S&P assess
in the same business risk category in terms of number of assets
and revenue base, which are important factors in S&P's assessment
in the real estate industry.  Moreover, S&P believes
Globalworth's credit ratios are weaker than those of peers that
S&P assess in the same financial risk category, such as NEPI and
Hispania, for example.  Therefore, S&P applies a negative notch
for its comparable ratings analysis.

S&P equalizes its issue rating on the company's senior unsecured
bond with the corporate credit rating because S&P expects that
the level of priority liabilities, mainly secured bank loans,
will represent less than 15% of Globalworth's assets after
refinancing of the current capital structure.  This should result
in a capital structure under which unsecured debt issuance is not
structurally subordinated to other debt obligations to the extent
that it would affect the issue rating.

S&P's base-case assumptions for Globalworth have not changed
materially since S&P assigned the preliminary rating on May 26,
2017.  S&P continues to anticipate like-for-like rental income
growth of 2%-3%, as most leases are indexed to consumer price
index inflation and a stable occupancy.  S&P continues to
forecast a debt-to-debt plus equity ratio of about 33%-34% in
2017-2018, given no yield compression.  S&P also anticipates that
the EBITDA interest coverage ratio will surpass 2x in 2017 and
exceed 4x in 2018.

The stable outlook on Globalworth reflects S&P's view that the
company's portfolio of prime office assets should continue
generating rental income, as supported by strong demand from
corporations interested in expanding in Romania and Poland.  S&P
assumes the company will be able to maintain a high occupancy
ratio of about 95%.  S&P also believes the company will likely
maintain a disciplined approach toward the funding of its
investments, such that its debt-to-debt plus equity ratio remains
below 35%.  S&P also expects that the refinancing of its capital
structure and its resilient income should translate into an
EBITDA to interest coverage ratio exceeding 2x in 2017 and 4x in
2018.

S&P could consider taking a negative rating action, in particular
if Globalworth's EBITDA-to-interest ratio does not exceed 3.5x by
2018.  This could occur if operating conditions were to
deteriorate unexpectedly.  Rating pressures would also arise if
the company's occupancy ratio was to deteriorate or if its debt-
to-debt plus equity ratio increased above 35% as a result of
largely debt-funded acquisitions or from unexpected negative
asset revaluations.

S&P could raise the ratings if it assess that Globalworth's
business risk profile had materially strengthened on the back of
improvements in the company's size and tenant diversification.
Ratings upside is also dependent on the company proving
sustainability of positive like-for-like rental income growth, as
well as positive portfolio valuation increases on the same
perimeter basis.


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


AGENCY FOR HOUSING: S&P Affirms 'BB+/B' Issuer Credit Ratings
-------------------------------------------------------------
S&P Global Ratings affirmed its long- and short-term issuer
credit ratings on Russia's Agency for Housing Mortgage Lending
JSC (AHML) at 'BB+/B'.  The outlook remains positive.

The ratings on AHML are supported by S&P's view of the agency's
very important role for, and very strong link to the Russian
government.

However, the ratings are constrained by high risk concentrations
in the residential real estate sector; high political risk, which
may complicate AHML's medium-term strategy; and pressure on
earnings capacity, due to the agency's mission of supporting
housing development and lowering mortgage rates, which is
inherent to its mandate as a development institution.

Additional risk might materialize as a result of the merger
etween AHML with Russian Capital bank--a financial institution
with significant exposure to real estate and construction--which
is currently undergoing a financial rehabilitation process under
the supervision of the Deposit Insurance Agency.  However, the
assessment of the potential impact of this merger on AHML's
creditworthiness can only be made after the terms of the merger
have been revealed, which S&P expects in Q3 2017.

Going forward, AHML will continue to carry out important
functions of a development institution, including the
implementation of housing programs designed by the government.
At the same time, the agency will play an important role in
lowering mortgage rates with a greater presence in the secondary
market, focusing on refinancing primary mortgage issuance through
securitization.  In this regard, S&P expects AHML's guarantees on
mortgage-backed securities (MBS) will accelerate over the medium
term.

In 2016, AHML created an "MBS Factory" with the aim of purchasing
pools of mortgages from the banks and issuing MBS notes covered
by AHML guarantee.  In the downturn, AHML will be expected to
assume credit losses on these instruments.  Last year, the
Central Bank of Russia (CBR) granted the AHML MBS Factory's
instruments a 20% risk weight, paving the way for the development
of this key project for the company.  In the first half of 2017,
the agency closed a Russian ruble (RUB) 50 billion MBS deal with
Sberbank, which is the leader in the primary mortgage market in
Russia, with a share of almost 50%.  S&P understands AHML intends
to generate up to an additional RUB100 billion of MBS notes via
the factory by the end of the year, including a new deal with VTB
and smaller private banks.  The ultimate goal for AHML, as a
government agent, is to make new MBS notes into liquid
instruments for institutional and private investors.

AHML's strategy includes facilitating the formation of financial
mechanisms for the development of rental housing.  The agency
intends to set standards for rental housing and adopt legislation
to facilitate its future development in order to facilitate
professionals' mobility throughout the country.  The 2016
acquisitions represent about 4% of the company's assets.  S&P
believes the agency's direct exposure to real estate housing will
remain limited in the medium term.  S&P also understands the
management is intended to remain cautious as to the quality of
the property and the risks relating to its management.  The goal
is to bring the total investment to RUB100 billion by 2020.  An
asset management company was created in 2016 to manage assets
purchased by AHML for its closed-end real estate fund.

At the end of 2015, the government created a unified development
institution in the housing sector by integrating the Russian
Housing Development Foundation (RHDF) into AHML with a key
rationale of saving costs through economies of scope.  RHDF was
fully incorporated in AHML in 2016 and ceased to exist as an
individual entity.  RHDF's functions, rights and obligations,
assets, and liabilities were transferred to AMHL.  AHML now acts
as a government agent in managing federal land plots.

S&P understands the Russian authorities are currently working to
join the Russian Capital bank, a financial institution with
significant exposure to the construction industry, to AHML by the
end of 2017.  The bank's asset size is comparable with AHML.  S&P
understands the bank will be fully recapitalized by the state to
the level required by the CBR bank regulation and will be
incorporated into AHML as a fully consolidated subsidiary.  The
amount and quality of the assets which will be transferred from
Russian Capital bank to AHML are currently unknown.  Management
does not expect to contribute funds from its capital to support
the bank or any related companies and expects to bring the entity
in line with the aims and goals of AHML by converting it into a
construction and mortgage bank by the end of 2018.  S&P
incorporates into its stand-alone credit profile (SACP)
assessment of AHML S&P's view that it currently enjoys very
strong capitalization, supported by a very solid capital base and
strong financial results in 2016, as well as positive dynamics on
the macroeconomic level.  Once Russian Capital bank's assets are
transfered to AHML and the terms of the merger are revealed, S&P
will reassess the impact on the company and its role for the
government.

S&P continues to consider AHML to be a government-related entity
(GRE).  In accordance with S&P's criteria for rating GREs, its
view of a very high likelihood of extraordinary government
support is based on S&P's assessment of AHML's:

   -- "Very important" role as Russia's sole state developer of
      mortgage market infrastructure, which the government views
      as an essential policy tool to improve currently poor
      housing affordability. Going forward, AHML will be playing
      an increasing role in lowering primary mortgage rates
      through greater involvement in the secondary market.  The
      institution will continue to drive the development of the
      market for residential mortgage-backed securities and
      promote housing; and

   -- "Very strong" link with Russia, due to the state's 100%
      ownership of AHML and S&P's view of a very low likelihood
      of privatization of AHML's core public policy-related
      business in the medium-to-long term, the government's
      strong oversight of the company's strategy with a deputy
      chairman of the government heading the board, and the high
      reputation risk for the government if AHML were to default.
      Over 60% of AHML's existing wholesale debt is secured by
      state guarantees, although these are conditional on
      potential guarantor objections as well as form and
      timeliness of the claim.

Based on the sovereign's solid track record of support for AHML,
S&P considers that it would likely provide timely financial
support to AHML in most circumstances.  S&P's long-term rating on
AHML is therefore one notch higher than S&P's assessment of
AHML's SACP of 'bb'.

S&P considers AHML's business position to be moderate, reflecting
its limited business diversity and strong focus on the still-
developing residential real estate market, given its particular
mandate.  But S&P also takes into consideration the
sustainability of AHML's operations and ongoing state support,
which are both an integral part of the agency's mandate.  On Jan.
1, 2017, about 80% of AHML's balance sheet exposure comprised
Russian residential mortgages.

S&P's very strong capital and earnings assessment is a positive
rating factor for AHML's stand-alone creditworthiness.  S&P's
main quantitative capital adequacy metric--the risk-adjusted
capital (RAC) ratio before adjustments for concentration and
diversification--was at a comfortable 34% at year-end 2016.  S&P
expects the RAC ratio will remain very strong at 20%-25% over the
next 18-24 months.  However, in the longer term, S&P expects
AHML's currently excessive capital buffer to decline gradually,
subject to growth opportunities and credit costs, as well as
potential changes in its risk profile due to development of new
lines of business and business expansion.  For 2016, AHML
reported net profit of RUB13.7 billion (about $244 million),
compared with RUB8.6 billion for 2015.  S&P understands that the
company's management targeted return on equity is 15%.  This
metric improved in 2016 to 9.9% from 6.6% in 2015.

"We assess AHML's risk position as adequate, based on its above
sector-average asset quality and very granular lending portfolio.
The share of reported nonperforming loans (NPLs; defined as those
overdue by more than 90 days) remains stable at 4.5% as of Jan.
1, 2016, compared to 4.5% at end-2015.  We do not anticipate a
continuing deterioration of AHML's asset quality in 2017, as the
economic conditions stabilized.  The residential real estate
market is not overheating in most regions where the company
operates.  AHML's mortgage portfolio is performing well and the
agency has more conservative underwriting standards than the
industry average," S&P said.

S&P notes that AHML has access to ongoing government support in
the form of a 10-year loan from state-owned Vnesheconombank
(VEB), which constitutes about 24% of AHML's liabilities.  S&P
understands that at maturity in 2020, the loan will be replaced
by a new loan of the same amount maturing in 2048.  Moreover, VEB
is a large investor in the agency's open-market debt.  At the
same time, the principal source of financing for AHML's
activities is issued wholesale debt, which accounted for about
71% of the agency's liabilities on Jan. 1, 2017, where about 68%
was covered by state guarantees.  The company plans to issue up
to RUB30 billion in senior unsecured debt in 2017.  S&P believes
that AHML is relatively well positioned to attract wholesale
market funding through the economic cycle, which is proven by a
positive track record.

S&P considers AHML's liquidity to be adequate but not abundant.
As of Jan. 1, 2017, AHML's liquidity cushion (cash and cash
equivalents plus deposits due from banks) made up 6% of total
assets.  S&P understands that the company's liquidity management
could allow AHML to successfully meet debt repayments amounting
to RUB43 billion in 2017 (including repurchase agreement
transactions with the banks).

The positive outlook on AHML reflects that on Russia, while the
agency's SACP remains in line with S&P's base-case expectations.
A rating action on the local currency long-term sovereign rating
would likely be followed by a similar action on AHML.  Under
S&P's criteria for rating GREs, we cap our local currency ratings
on AHML at the level of the foreign currency sovereign rating.

S&P could revise the outlook on AMHL to stable following a
similar action on Russia over the next year if S&P was to revise
down its assessment of the likelihood of extraordinary government
support or S&P saw a significant deterioration in the agency's
performance, leading to a downward revision of the SACP.
However, S&P currently sees these developments as unlikely.


FAR-EASTERN SHIPPING: S&P Affirms Then Withdraws 'SD' CCR
----------------------------------------------------------
S&P Global Ratings said that it affirmed its 'SD' (selective
default) corporate credit rating on Russian integrated logistics,
rail, and port operator Far-Eastern Shipping Co. PLC (FESCO).  At
the same time, S&P affirmed its 'D' issue rating on the existing
senior secured notes due in 2018 and 2020.

S&P subsequently withdrew the ratings at the issuer's request.

At the time of the withdrawal, S&P's ratings reflected that FESCO
was in selective default because it did not make a coupon payment
on its Eurobonds in May 2017.  This was the third missed coupon
on these debt instruments since May 2016, when the company
decided not to pay coupon on the notes as it continued
negotiations with its lenders about optimization of its capital
structure.


FORUS BANK: Liabilities Exceed Assets, Assessment Shows
-------------------------------------------------------
The provisional administration of JSC FORUS Bank appointed by
virtue of Bank of Russia Order No. OD-4619, dated December 19,
2016, following the revocation of its banking license, in the
course of examination of the bank's financial standing has
revealed operations aimed at moving out the bank's assets,
including by disbursing money to the owner from the bank's
cash-desk, by issuing loans to individuals with dubious solvency
and to counterparties not engaged in real business activities.

Besides, the bank's management and owners replaced liquid assets
with illiquid ones and conducted operations bearing the signs of
masking the evidence of previously withdrawn assets.

The provisional administration estimates the value of JSC FORUS
Bank assets to be under RUR1,927.6 million, whereas its
liabilities to creditors amount to RUR2,496.4 million, including
RUR2,116.4 million -- to individuals.

On March 15, 2017, the Arbitration Court of the Nizhny Novgorod
Region recognized the bank as insolvent (bankrupt).  The state
corporation Deposit Insurance Agency was appointed as a receiver.

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


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


SERBIA: S&P Affirms 'BB-/B' Sovereign Credit Ratings
----------------------------------------------------
S&P Global Ratings affirmed its 'BB-/B' long- and short-term
foreign and local currency sovereign credit ratings on Serbia.
The outlook remains positive.

                             RATIONALE

The ratings on Serbia are constrained by relatively low wealth
levels; a high general government debt burden, most of which is
denominated in foreign currency; limited monetary policy
flexibility, owing to the banking sector's prevalent euroization;
and the country's still-sizable stock of nonperforming loans
(NPLs).  At the same time, favorable economic growth potential
and consistent commitment for fiscal consolidation support the
ratings.

The Serbian economy is likely to expand in 2017-2019, on the back
of healthy investment inflows -- mainly foreign direct investment
(FDI) -- and stronger private sector consumption supported by
expanding employment, wage growth, and a stable inflow of worker
remittances.  S&P's current assumption is that Serbia will likely
see strong performance in 2017 similar to 2016 levels, despite
some slowdown in growth reported in first-quarter 2017 (just 1.2%
year-on-year), which likely stemmed from a one-off impact of
adverse weather conditions.

That said, Serbia's long-term growth potential remains hindered
by a large and only a modestly reformed public sector, poor
demography, and low labor participation.  In this context,
structural reforms (namely to pensions, corporate governance in
state-owned enterprises, public administration, and the judicial
system), if implemented, could improve the country's growth
potential well above S&P's base-case forecasts, which average
2.8% between 2017 and 2020.

On a per-capita basis for the same period, S&P forecasts Serbia's
average real GDP growth to be slightly higher at about 3%.  This
is due to the population shrinking at an estimated 0.5% per year.
Still, GDP per capita remains moderate at $5,400 in 2017.  This
is lower than that of Serbia's EU neighbors due to past periodic
sharp depreciations of the Serbian dinar.

Economic recovery, a policy commitment to cost containment --
framed by a precautionary standby agreement with the
International Monetary Fund (IMF) -- and one-off revenues helped
the government to lower the general government deficit to 1.3% of
GDP in 2016, about one-fifth of the level in 2014.  This
achievement underlines the government's commitment to fiscal
consolidation, which S&P believes could in principle go even
further.

A number of challenges continue to pose a risk to further fiscal
adjustment, however.  First, structural improvements will require
deeper reforms of the public sector, including restructuring or
improving corporate governance in several large state-owned
enterprises (SoEs) -- namely Elektroprivreda Srbije, Srbijagas,
and enterprises in the mining and petrochemical industries.  SoEs
have been the major driver behind the past growth of government
debt and still could represent significant, albeit diminished,
fiscal risks.  A possible second obstacle to additional fiscal
adjustment is the limited visibility on whether the IMF program,
which runs out in early 2018, will be followed by a new
agreement.  The program has so far served as a very reliable
policy anchor to government fiscal efforts.  Third, following
recent presidential elections, the incoming primer minister's
commitment to fiscal reforms will have to be tested, as the
government approaches the new budget cycle and faces pressure
from pre-election expenditure proposals, including those on
public salary hikes.

Considering these challenges, S&P forecasts average fiscal
deficits of about 1.9% on average over 2017-2020, and a
corresponding annual rise in general government debt (S&P's
preferred fiscal metric) of about 3% of GDP higher, given S&P's
expectations regarding foreign exchange movements and some modest
support for public enterprises.  At the same time, S&P still
expects general government debt to gradually decline to a still
high 70% of GDP by 2020.

S&P notes a recent positive trend in terms of external
imbalances. From an average of 8% of GDP in 2011-2014, S&P
expects Serbia's current account deficit to average 4% of GDP in
2017-2020, with strong merchandise and service exports a key
driver behind this improvement.  S&P sees further upside
potential as a significant amount of FDI has entered the
manufacturing sector, taking advantage of Serbia's lower cost
structure.  Looking at the current account from a savings-
investment perspective, S&P believes the improved fiscal
performance will also relieve pressure on the country's overall
current account position.

In addition to declining current account deficits, S&P expects
the composition of external financing to improve.  With the
opening of EU accession talks in late 2015, S&P expects that FDI
net inflows will fully finance the current account deficits
throughout S&P's 12-month forecast horizon.  Under this
assumption, external debt net of public and financial sector
external assets (narrow net external debt) will decline gradually
to below 50% of current account receipts (CARs) in 2020 from 72%
in 2015.  Regarding the composition of external debt, S&P has
observed a pronounced halt of external finance for the private
sector.  Unlike a few years ago, the financial sector is now in a
net creditor position and net external non-financial private
sector debt has reduced.  These outflows were financed by rising
public sector external debt, FDI, and, to a small extent, by the
depletion of official reserves.  S&P believes that this trend has
now run its course, based on the stabilization of funding of the
foreign banks that own most of the Serbian banking sector, as
well as improved fiscal prospects.  With this mix of external
debt, S&P expects that gross external financing needs should
remain roughly equal to CARs plus usable reserves.

S&P finds Serbia's monetary flexibility limited in several
respects.  Foreign exchange movements have a pronounced impact on
the government's debt trajectory, on inflation pass through, and
on bank asset quality.  Such vulnerabilities have prompted the
central bank, National Bank of Serbia (NBS), to intervene in the
foreign exchange market occasionally.  Almost 80% of general
government debt is denominated in foreign currency, principally
euros and U.S. dollars.

Further, high eurozation of the banking system continues to
undermine the effectiveness of monetary policies, as nearly 60%
of deposits and loans are denominated in foreign currency.  NPLs
represent another longer-term challenge.

Despite a drop in NPLs to 16.8% in first-quarter 2017 from more
than 21% at the end of 2015, reflecting the government's and NBS'
regulatory efforts and recent NPL write-offs, their stock remains
relatively high (especially in state-owned banks).  Credit losses
continue to weigh on banks' profitability and constrain their
lending capacity.  At the same time, the NBS' Special Diagnostic
Studies report indicated that the banking sector remains
adequately capitalized and has sufficient liquidity.

Nevertheless, NBS has proved its operational independence and
earned credibility in the past few years as inflation has
declined to historical lows in 2014-2016 despite high exchange
rate pass-through. Rising food and energy prices will likely spur
headline inflation throughout the forecast horizon, yet S&P
expects it to stay within the NBS' target of 3Ò1.5%.

                               OUTLOOK

The positive outlook signals that S&P sees an increasing
likelihood that S&P would raise its rating on Serbia during the
next six to 12 months if the new government's fiscal performance
exceeds our expectations.  Stronger export performance or further
reduction in risks of sudden shifts in FDI or portfolio
investments, potentially as a result of continued reform
momentum, could also prompt a positive rating action.
Furthermore, sustained success in keeping inflation in line with
trading partners and the central bank's target could also support
a rating upgrade.

S&P could revise the outlook back to stable if fiscal and
external deficits widened compared with our forecasts, due for
example to spending pressures and stalled restructuring of public
enterprises; if the current account begins to widen anew; or if
there are dislocations of the dinar foreign exchange market.

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

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

The committee agreed that the flexibility and performance
assessment had improved and that the debt assessment had
deteriorated. All other key rating factors were unchanged.

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

RATINGS LIST

                                         Rating
                                         To             From
Serbia (Republic of)
Sovereign Credit Rating
  Foreign and Local Currency             BB-/Pos./B     BB-
/Pos./B
Transfer & Convertibility Assessment    BB             BB
Senior Unsecured
  Foreign Currency                       BB-            BB-


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


BBVA-6 FTPYME: Fitch Affirms 'C' Rating on Class C Notes
--------------------------------------------------------
Fitch Ratings has upgraded BBVA-6 FTPYME, FTA's class B notes and
affirmed the class C notes, as follows:

EUR23.2 million Class B (ISIN ES0370460026): upgraded to 'BBBsf'
from 'BBsf'; Outlook Stable
EUR32.3 million Class C (ISIN ES0370460034): affirmed at 'Csf';
Recovery Estimate 0%

The transaction is a cash flow securitisation of a static
portfolio of secured and unsecured loans granted by Banco Bilbao
Vizcaya Argentaria (BBVA, A-/Stable/F2) to small- and medium-
sized enterprises (SMEs) in Spain. The initial balance was EUR1.5
billion at closing in June 2007.

KEY RATING DRIVERS

The upgrade reflects the stable performance of the transaction
and a significant increase in credit enhancement due to
amortisation of the senior note.

The class B notes have paid down a further EUR19 million over the
last 12 months, increasing credit enhancement to 39% from 22%.
Delinquencies of 90+ days have increased slightly to 0.32% of the
performing balance from 0.17% during the same period, while
delinquencies of 180+ days were also up at 0.11% from 0.01%.

Delinquencies have remained low for the past three years and
Fitch has reflected this by lowering its annual average default
rate assumption to 3% from 3.8% used at the last rating action.
The weighted average recovery rate has increased to 50.4% from
46% over the last 12 months with only EUR29,500 new defaults.

The transaction maintains a large principal deficiency ledger
(PDL) balance of EUR17.5 million, which has decreased by EUR2.9
million over the last 12 months. The PDL is 54% of the
outstanding class C note balance. The affirmation of the C notes'
'Csf' rating with a Recovery Estimate of 0% reflects the notes'
under-collateralisation and subordinated position.

Obligor concentration has continued to increase with the
amortisation of the portfolio. The proportion of the portfolio
comprising obligors that make up more than 50 basis points of the
performing notional has increased to 73.7% from 66.2% and the 10-
largest obligors have increased to 31.3% from 26.8%. Fitch
applies a correlation and default probability uplift as well as a
haircut to the recovery of these assets to account for the
increased concentration risk.

RATING SENSITIVITIES

An increase of 25% to the default probability resulted in no
change to the model-implied ratings. Similarly a decrease of 25%
to recoveries resulted in no change to the model-implied ratings.

A further sensitivity was run under which the five-largest
obligors were assumed to have defaulted with no recoveries; under
this scenario cash flow model-implied ratings would be one rating
category lower.


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


CAPARO MERCHANT: Liberty Industries Nears Rescue Deal
-----------------------------------------------------
Alan Tovey at The Telegraph reports that a rescue bid which will
guarantee jobs at struggling steel business Caparo Merchant Bar
could be announced soon.

According to The Telegraph, the Scunthorpe-based business is
understood to be struggling under a heavy debt load and the
legacy of its former parent's collapse into administration.

CMB has almost 150 staff working to produce steel bars and beams
used in construction, shipbuilding, transport and the energy
sectors, The Telegraph discloses.

The business was one of the few units to survive the collapse of
parent Caparo Industries a year and a half ago as the steel
crisis wreaked havoc in the sector, The Telegraph notes.

CMB has since been run as a standalone operation under
administration by PwC, The Telegraph states.

However, it now understood to be facing fresh problems in the
form of a cash crunch brought on by the rising price of the steel
billets which it turns into finished products, according to The
Telegraph.

Sanjeev Gupta's Liberty Industries group is understood to have
tabled a rescue deal in which it takes on CMB -- including its
pension liabilities -- and protecting jobs, The Telegraph
relates.

It is not known if Liberty -- which has a strategy of snapping up
distressed assets -- will offer a token price from CMB or take on
its other liabilities under the offer's terms, The Telegraph
says.


CO-OPERATIVE BANK: In Advanced Talks with Existing Investors
------------------------------------------------------------
Emma Dunkley at The Financial Times reports that the Co-operative
Bank is in "advanced discussions" with existing investors about
injecting more capital into the lender despite concerns over its
pension liabilities, after warning earlier this year that it
would fall below the regulator's requirements.

The lossmaking bank, which is 20% owned by the Co-operative
Group, said in a stock exchange announcement on June 19 that
talks with a group of investors have progressed, and involve a
capital raise and debt-for-equity swap, the FT relates.

The deal would mean some investors exchange their debt for equity
in the bank at a loss, in order to raise about GBP450 million,
the FT relays, citing bankers briefed on the plan.  The bank must
also raise about GBP250 million-GBP300 million in new equity, the
FT states.

The investors that are most likely of the existing tier-two
bondholders to pump in more capital include Cyrus Capital
Partners, GoldenTree Asset Management, Silver Point Capital and
Blue Mountain, the FT discloses.

The talks come after the lender revealed at the start of the year
that it is set to fall below the Prudential Regulation
Authority's minimum capital requirements over the next few years,
the FT notes.

According to the FT, one person briefed on the talks said that a
deal was close but that pension fund issues were being negotiated
between the Co-operative Group and the bondholders.

Another person close to the talks, as cited by the FT, said that
"there's no enormous issue which is proving insurmountable" and
that the discussions are "ahead of schedule".


                      About Co-operative Bank

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

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

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

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

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

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


CPUK FINANCE: Fitch Assigns 'B' Ratings to Two Note Classes
-----------------------------------------------------------
Fitch Ratings has affirmed CPUK Finance Ltd.'s tapped class A4
notes and existing class A2 and class A3 notes at 'BBB', and
assigned the new class B3 and B4 notes a 'B' rating. The Outlooks
are Stable.

The ratings consider CPUK's demonstrated ability to maintain high
and stable occupancy rates, increase price in excess of inflation
and, ultimately deliver strong financial performance with an 11-
year EBITDA CAGR of 8.7% (6.6% per parc) since 2006. We expect
the proactive and experienced management to continue leveraging
on the good quality estate and deliver steady financial
performance over the medium term, despite the weaker UK economic
outlook and increased uncertainty following the UK referendum
vote to leave the EU.

The extensive creditor protective features embedded in the debt
structure support the class A ratings, while the deep
subordination of the class B notes weighs negatively on their
ratings. The ratings also consider CPUK's exposure to the UK
holiday and leisure industry, which is highly exposed to
discretionary spending.

TRANSACTION SUMMARY

The transaction is a GBP100 million tap of the outstanding GBP140
million class A4 notes and GBP730 million new issue and full
refinancing of the outstanding GBP560 million class B notes. The
terms and conditions of the class A notes are unchanged. Class B
legal final maturity (LFM) has been extended by five years to
2047 in line with time to LFM at 2012 transaction close. This
allows more time for repayment, and is reflected in improved
synthetic debt service coverage ratio (DSCR) metrics.

Pro-forma net debt to EBITDA based on full year EBITDA to April
2017 of GBP213 million is 4.8x and 8.3x through the class A and B
notes, respectively, vs. 5.2x and 8.0x at the last partial
refinancing in June and August 2015, respectively. Projected
deleveraging and full repayment dates of the class A and B notes
under Fitch's base case are broadly in line with 2015. The class
B notes' full repayment date is slightly improved due to the
lower cost of debt and revised Fitch base case in view of Woburn
demonstrated operating history, despite a slight loosening in the
gross debt to EBITDA distribution covenant to 7.75x from 7.5x.

Performance Update
Recent performance has been strong and in line with the long-term
trend. For the 36 weeks ending December 29, 2016, revenue was up
3.9% to GBP312.6 million and EBITDA was up 5.6% to GBP155.2
million. Average daily rate (ADR) and rent per available lodge
night (RevPAL) were up 6.0% and 4.9% to GBP185.16 and GBP179.59,
respectively. Center Parcs Limited's (CPL) capex programme has
continued, with 2.5% of accommodation offline for upgrade during
the 36 weeks ending December 29, 2016. EBITDA for the 36 weeks
grew by GBP8.2 million or 5.6%. The 11-year revenue and EBITDA
CAGRs to FY17 remain strong at 5.8% and 8.7% (3.6% and 6.6% on a
per parc basis), respectively.

Fitch Cases
Under Fitch's base case, EBITDA is projected to grow at a long-
term CAGR of 0%. However, EBITDA generated is higher than the
CAGR suggests given the convex shape of the curve. This reflects
CPUK's industry risk, whereby strong recent historical
performance is reflected over the short- to medium-term
forecasts. However, beyond 10 years revenue visibility reduces
resulting in a projected decline over the long term. We forecast
free cash flow (FCF) to grow at a CAGR of -1.0% after taking
capex, working capital and tax into account.

The resulting deleveraging profile envisages class A and B full
repayment by 2027 and 2033 respectively, broadly in line with
2015. Both class A and B synthetic annuity based DSCR metrics
have improved to 2.9x and 2.1x vs. 2.2x and 1.6x, due to lower
class A leverage and lower cost of debt (4.83% vs. 4.97% class A
weighted average), as well as extended legal final maturity and
lower cost of debt for the class B notes (4.47% vs. 7.00% class B
weighted average).

KEY RATING DRIVERS

KRD - Industry Profile: Weaker - Operating Environment Drives
Assessment

Sub-KRDs: operating environment - 'weaker', barriers to entry -
'midrange', sustainability - 'midrange'

The UK holiday parks sector has both price and volume risk, which
makes the projection of long-term future cash flows challenging.
It is highly exposed to discretionary spending and to some extent
commodity and food prices. Events and weather risks are also
significant, with Center Parcs (CP) having been affected by a
fire and minor flooding in the past. Fitch views the operating
environment as a key driver of the industry profile, resulting in
its overall 'weaker' assessment.

In terms of barriers to entry, there is a scarcity of suitable,
large sites near major conurbations, which is credit positive.
Sites require significant development time and must adhere to
stringent planning processes, and development cost is
prohibitively high. A high level of capital spending is also
required to maintain site quality. However, the wider industry is
competitive and switching costs are low, in our view. The
offering is also exposed to changing consumer behaviour (e.g.
holidaying abroad or in alternative UK sites).

KRD - Company Profile: Stronger -Strong Performing Market Leader
Sub-KRDs: financial performance - 'stronger', company
operations - 'stronger', transparency - 'stronger', dependence on
operator - 'midrange', asset quality - 'stronger'

CP is the UK's leading family-orientated short break holiday
village operator, offering around 830 villas per site set in a
forest environment with significant central leisure facilities.
Fitch views CP as a medium-sized operator with FY17 (52 weeks
ended April 2017) EBITDA of GBP213 million, and it benefits from
some economies of scale. Revenue and EBITDA growth has been
consistent through the cycle.

Growth has been driven by villa price increases, bolstered by
committed development funding upgrading villa amenities and
increasing capacity. An aspect of revenue stability is the high
repeating customer base, with around 60% of guests returning over
five years and 35% within 14 months. CP also benefits from a high
level of advanced bookings. There are no direct competitors and
the uniqueness of its offer differentiates the company from
camping and caravan options or overseas weekend breaks.
Management has been stable, with the current CEO having been in
place since 2000 and there are no known corporate governance
issues.

The CP brand is fairly strong and the company benefits from other
brands operated on a concession basis at its sites. As the
business is largely self-operated, insight into underlying
profitability is good. An increasing portion of food and beverage
revenues are derived from concession agreements, but these are
fully turnover-linked, thereby still giving some visibility of
the underlying performance.

CP is reliant on high capex in order to keep its offer current
and remains a well-invested business with around GBP580 million
of capex since 2006 (around GBP350 million of
investment/refurbishment capex). Accommodation upgrades have now
been completed, with the final 121 units of accommodation
upgraded by end-December 2016. A new, less transformational
refurbishment cycle began in April 2016, with upgrade costs
roughly half those of Project Spring. The first stage covering
125 units was completed in June 2016. The second stage covering a
further 125 units at Elveden is expected to complete during May
2017.

KRD - Debt Structure: Class A - Stronger, Class B - Weaker;
Structure Favours Class A
Sub-KRDs: debt profile - class A: 'stronger', class B: 'weaker',
security package - class A: 'stronger', class B: 'weaker',
structural features - class A: 'stronger', class B 'weaker'

All principal is fully amortising via cash sweep and the
amortisation profile under Fitch's base case is commensurate with
the industry and company profile. There is an interest-only
period in relation to the class A notes, but no concurrent
amortisation. The class A notes also benefit from the
deferability of the junior-ranking class B. Additionally, the
notes are all fixed-rate, avoiding any floating-rate exposure and
swap liabilities.

The class B notes are sensitive to small changes in operating
stress assumptions and particularly vulnerable towards the tail
end of the transaction. This is because large amounts of accrued
interest may have to be repaid, assuming the class B notes are
not repaid at their expected maturity. The sensitivity stems from
the interruption in cash interest payments upon a breach of the
class A notes' cash lockup covenant (at 1.35x FCF DSCR) or
failure to refinance any of the class A notes one year past
expected maturity.

The transaction benefits from a comprehensive WBS security
package, including full senior-ranking asset and share security
available for the benefit of the noteholders. Security is granted
by way of fully fixed and qualifying floating security under an
issuer-borrower loan structure. The class B noteholders benefit
from a topco share pledge structurally subordinated to the
borrower group, and as such would be able to sell the shares upon
a class B event of default (e.g. failure to refinance in 2022).
However, as long as the class A notes are outstanding, only the
class A noteholders are entitled to direct the trustee with
regard to the enforcement of any borrower security (e.g. if the
class A notes cannot be refinanced one year after their expected
maturity).

Fitch views the covenant package as slightly weaker than other
typical WBS deals. The financial covenants are only based on
interest cover ratios (ICR) as there is no scheduled amortisation
of the notes. However, the lack of DSCR-based cash lockup
triggers and covenants is compensated by the cash sweep feature.
At GBP80 million, the liquidity facility is appropriately sized
covering 18 months of the class A notes' peak debt service. The
class B notes do not benefit from any liquidity enhancement but
benefit from certain features while the class A notes are
outstanding such as the operational covenants.

PEER GROUP

The most suitable WBS comparisons are WBS pubs, and to some
extent Arsenal Securities plc (BBB/Stable), a WBS transaction of
Arsenal football club ticket receipts, as they share exposure to
consumer discretionary spending meaning there is some commonality
in the revenue risk. Arsenal is arguably less exposed to this
risk given the strong established fan base. CP has proven to be
less cyclical than the leased pubs with strong performance during
major economic downturns. However, with just five sites, we
consider CP less granular than WBS pub transactions. In terms of
projected metrics, CP tends to have higher coverage at a given
rating level than the Fitch rated pubcos, reflecting the 'weaker'
industry profile assessment, vs. 'midrange' for pubs.

RATING SENSITIVITIES

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

Class A notes
A deterioration of the expected leverage profile with net debt to
EBITDA above 3.5x by 2022

A full debt repayment of the notes beyond 2027 under Fitch's base
case

A fall of Fitch-synthetic forecast FCF DSCR metrics below 2.0x
under Fitch's base case

Class B notes
Under Fitch's base case, the class B notes are expected to be
repaid by around 2033, with a median synthetic forecast FCF DSCR
of 2.1x. A significant deterioration in these metrics could
result in negative rating action.

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

Class A notes
A significant improvement in performance above Fitch's base case,
with a resulting improvement in the projected deleveraging
profile to below around 3x in 2022
A full debt repayment of the notes before 2027 under Fitch's base
case

The class A notes are unlikely to be rated above 'BBB+'. This is
mainly due to the sector's substantial exposure to consumer
discretionary spending and uncertainty as to whether the CPL
concept will remain in favour over the long term.

Class B notes
Given the sensitivity of the class B notes to variations in
performance due to their deferability, they are unlikely to be
upgraded above the 'B' category in the foreseeable future.

An upgrade of the class B3 and class B4 notes is precluded under
the WBS criteria given the current tap language, which requires
the ratings post-tap to be the lower of the ratings of the class
B3 and B4 notes at close and the then current ratings pre-tap
(i.e. potentially 'B' or lower), meaning an upgrade could result
in unwanted rating volatility if the transaction taps the class
B3 or class B4 notes.

Asset Description
CPUK Finance Limited is a securitisation of five holiday villages
in the UK operated by Center Parcs Limited. The holiday villages
are Sherwood Forest in Nottinghamshire, Longleat Forest in
Wiltshire, Elveden Forest in Suffolk, Whinfell Forest in Cumbria
and Woburn Forest in Bedfordshire.

The rating actions are:

GBP440 million 7.24% fixed rate class A2 notes maturing 2042:
affirmed at 'BBB', Outlook Stable
GBP350 million 2.67% fixed rate class A3 notes maturing 2042:
affirmed at 'BBB', Outlook Stable
GBP240 million 3.59% fixed rate class A4 notes maturing 2042:
affirmed at 'BBB'; Outlook Stable
GBP480 million 4.25% fixed rate class B3 notes maturing 2047:
assigned 'B'; Outlook Stable
GBP250 million 4.88% fixed rate class B4 notes maturing 2047:
assigned 'B'; Outlook Stable

The transaction has now been executed and the existing class A4
tranche has been increased to GBP240 million with its rating
affirmed at 'BBB'. At the same time, Fitch has withdrawn the
ratings of the tapped class A4 notes.

At closing, the GBP560 million class B2 notes were refinanced by
the new class B3 and B4 notes.


CPUK FINANCE: S&P Assigns 'B' Ratings to Two Note Classes
---------------------------------------------------------
S&P Global Ratings assigned its 'BBB (sf)' credit rating to CPUK
Finance Ltd.'s class A4 GBP100 million tap issuance.  At the same
time, S&P has assigned its 'B (sf)' credit ratings to CPUK
Finance's new subordinated GBP480 million class B3-Dfrd and
GBP250 million B4-Dfrd notes.

The transaction is, in part, a refinancing of the existing high
yield subordinated class B2 notes that CPUK Finance issued in
August 2015 ahead of their first call date in August 2017.  In
conjunction, The Royal Bank of Scotland PLC replaced Deutsche
Bank AG (London Branch) as one of the two liquidity facility
providers. The terms of the existing liquidity facility agreement
essentially remained unchanged and, as a result, the maximum
supported rating continues to be the lowest issuer credit rating
among the liquidity providers.

On the issue date, the issuer issued two new tranches of
subordinated class B notes totaling GBP730 million: GBP480
million of class B3-Dfrd notes and GBP250 million of class B4-
Dfrd notes with coupons of 4.250% and 4.875%, respectively.  In
contrast with the previous subordinated class B2 notes, whose 7%
coupon was planned to step down to 5% after their expected
maturity date, the coupons of the new class B notes will stay the
same during the entire life of the transaction.  These new notes
rank pari passu with each other, and have a staggered maturity
profile with expected maturity dates in August 2022 and August
2025, respectively, and a common final maturity date in February
2047.  The terms and conditions of the new class B notes are
broadly similar to those of the existing class B2 notes, most
notably interest on these instruments remains fully deferrable
(any deferred interest would continue to accrue interest at the
same rate) and they are fully subordinated.  S&P's ratings on
these junior notes only address ultimate payment of interest and
principal.

At the same time, CPUK Finance issued a GBP100 million tap
issuance of the class A4 notes.  The further class A4 notes are
totally fungible with the existing class A4 notes.

These new issuances and tap increased the leverage ratios to 4.8x
and 8.3x (from 4.4x and 7.0x) for the class A notes and class B
notes, respectively (based on last 12 months reported EBITDA as
of April 2017).

On the issue date, CPUK Finance lent the proceeds from the
issuance of the new notes to the borrowers, via issuer/borrower
loans.  The borrowers used the loans to repay (including a make-
whole premia) the existing class B2 loan.  In turn, the issuer
repaid the class B2 notes.  S&P understands the borrowers used
the remainder of the issuance proceeds to pay a dividend to CP
Cayman Midco 1 Ltd., the entity directly outside the
securitization group.

The class B3-Dfrd and B4-Dfrd notes have access to the same
security package as the existing class B2 notes.  Notably, the
class B3-Dfrd and B4-Dfrd notes continue to have the benefit of a
share pledge over the shares of CP Cayman Midco 2 Ltd. (Topco -
the topmost entity in the securitization group outside of the
corporate securitization) that may be enforced upon a failure to
refinance on their expected maturity dates.

Operating cash flows from the day-to-day business of Center Parcs
(UK) Group Ltd. in the U.K. will service the borrowers' financial
obligations under the issuer/borrower loans.  In turn, CPUK
Finance's primary sources of funds for principal and interest
payments on the notes are the loan interest and principal
payments from the borrowing group, amounts available from the
liquidity facility (for the class A notes only), and payments
from Topco under the Topco payment undertaking (for the class B3-
Dfrd and B4-Dfrd notes only).

The transaction will likely qualify for the appointment of an
administrative receiver under the U.K. insolvency regime.  An
obligor default would allow the noteholders to gain substantial
control over the charged assets prior to an administrator's
appointment, without necessarily accelerating the secured debt,
both at the issuer and at the borrower level.

S&P's rating on the GBP100 million class A4 notes tap issuance
reflects the borrowing group's fair business risk profile, the
assets' strong performance and cash flow generating potential,
and any structural protections available to the noteholders.

Under S&P's cash flow projections, which are commensurate with a
'BBB' stress scenario, S&P do not expect the class A4 notes tap
issuance to experience any interest shortfalls, and it expects
principal to be fully repaid before the legal final maturity
date. S&P has therefore assigned its 'BBB (sf)' rating to the
class A4 notes tap issuance.

The class B3-Dfrd and B4-Dfrd notes are structured as soft-bullet
notes due in February 2047, but with interest and principal due
and payable to the extent received under the B3-Dfrd and B4-Dfrd
loans.  Under the terms and conditions of the class B3-Dfrd and
B4-Dfrd loans, if the loans are not repaid on their expected
maturity dates (August 2022 and 2025), interest would no longer
be due and would be deferred.  Similarly, if the class A loans
are not repaid on the second interest payment date following
their respective expected maturity dates, the interest on the
class B loans would be deferred.  The deferred interest, and the
interest accrued thereafter, becomes due and payable on the final
maturity date of the class B3-Dfrd and B4-Dfrd notes in 2047.
S&P's analysis focuses on scenarios in which the loans underlying
the transaction are not refinanced at their expected maturity
dates. S&P therefore considers the class B3-Dfrd and B4-Dfrd
notes as deferring accruing interest one year after the class A3
notes' expected maturity date and receiving no further payments
until all of the class A debt is fully repaid.

Moreover, under their terms and conditions, further issuances of
class A notes are permitted without consideration given to any
potential impact on the then current ratings on the outstanding
class B notes.

Both the extension risk, which S&P views as highly sensitive to
the future performance of the borrowing group given its
deferability, and the ability to issue more senior debt without
consideration given to the class B notes, may adversely affect
the ability of the issuer to repay the class B3-Dfrd and B4-Dfrd
notes.  As a result, the uplift above the borrowing group's
creditworthiness reflected in S&P's ratings is limited.
Consequently, S&P has assigned its 'B (sf)' ratings to the class
B3-Dfrd and B4-Dfrd notes.

Center Parcs is a family-oriented year-round short break holiday
provider in the U.K.  The business currently comprises five
villages in Nottinghamshire, Suffolk, Wiltshire, Cumbria, and
Bedfordshire. Center Parcs continues to be the leading provider
in the U.K. with no direct local competitors.

The business continued to show a stabilized growth in fiscal year
2017.  The opening of the fifth village, Woburn, in June 2014,
added about 20% of capacity, leading to a balanced share of
revenues and EBITDA between the five sites.  For the fiscal year
2017, reported net revenues increased by 4.8% to GBP440.3
million, driven by accommodation revenue (growing at 6.4%), and
by on-village spend (growing at a slower pace of 2.5%).
Occupancy rates, fostered by high customer loyalty, have remained
in line with their five-year average of about 97%, despite 2.2%
of the group's capacity being off-line for upgrades and therefore
unavailable for sale, the increase in capacity linked to the
fifth village, and the increase in available daily rate.  The
continued improvement in the average daily rent, supported by a
sustained investment program, to GBP178.6 from GBP167.3, a 6.7%
year-on-year increase, has resulted in revenue per available
lodge night of GBP173.8, a 6.3% year-on-year increase at the end
of fiscal year 2017.  The factors above enabled an improvement of
the reported adjusted EBITDA to GBP213.0 million, compared with
GBP198.2 million for the previous fiscal year, and of the
reported EBITDA margin to about 48.4% as of the end of fiscal
year 2017, compared with 47.2% in 2016, partly absorbing the
impact of the introduction of the National Living Wage regulation
on April 1, 2016.

The transaction blends a corporate securitization of the
operating business of the Center Parcs group in the U.K. with a
subordinated high-yield issuance (the class B3-Dfrd and B4-Dfrd
notes).

RATINGS LIST

CPUK Finance Ltd.
GBP1.760 billion Fixed-Rate Secured Notes (Including Tap
Issuances)

Class                Rating            Amount
                                     (mil. GBP)

A4                   BBB (sf)           100.0
B3-Dfrd              B (sf)             480.0
B4-Dfrd              B (sf)             250.0


KEYSTONE JVCO: S&P Affirms 'B-' CCR, Outlook Stable
---------------------------------------------------
S&P Global Ratings affirmed its 'B-' long-term corporate credit
rating on U.K.-based housing developer Keystone JVco Ltd.
(Keepmoat).  The outlook is stable.

At the same time, S&P affirmed its 'B+' issue rating on
Keepmoat's GBP75 million super senior RCF due 2019.  The recovery
rating on the RCF remains '1', indicating our expectation of very
high recovery (rounded estimate: 95%) in the event of a default.

S&P has also affirmed its 'B-' issue rating on the group's
remaining GBP100 million senior secured notes due 2019. The
recovery rating on the notes remains '3', indicating S&P's
expectation of meaningful recovery (rounded estimate: 55%-60%) in
the event of a default.

The affirmation incorporates S&P's view that Keepmoat's
operations will continue to be focused on a highly cyclical and
fragmented sector.  Following the sale of its regeneration
business in April 2017, which accounted for over 50% of annual
EBITDA generation, S&P has reassessed its rating on Keepmoat,
which S&P now views as a pure homebuilder.

Despite political uncertainties in the U.K. following the Brexit
vote in June 2016, S&P believes that demand should remain robust
for affordable housing, especially in Keepmoat's regions outside
London, and that the government will continue to support the U.K.
housing market with several initiatives and schemes, such as
help-to-buy.  S&P notes that Keepmoat's gross margin -- estimated
at 15% for its home business -- is lower than rated peers in its
industry, such as Taylor Wimpey (BBB-/Stable/--).  This is mainly
the result of Keepmoat's focus on the affordable housing market,
where average selling prices and margin over construction
spending are lower compared with mid-end housing projects.

S&P also notes that Keepmoat has some exposure to building
materials and other associated cost increases because its
contracts are mostly at fixed prices.  However, S&P understands
these risks are partly offset by back-to-back contracts with
suppliers and subcontractors.

In S&P's base case, it forecasts strong growth in the company's
revenues generated from homes, and therefore significant working
capital needs for the next 12-24 months, in line with the
company's strategy.

Keepmoat's new capital structure, as of June 2017, includes a
senior secured bond of about GBP100 million and the GBP75 million
RCF.

Although the company's credit metrics will improve following the
refinancing activities, S&P's assessment of the company's
financial risk profile also incorporates its private equity
ownership.  This could push the company toward more aggressive
leverage or redeployment of disposal proceeds than listed
companies, for example.

In S&P's base case, assuming sustained growth in its affordable
housing business line, S&P expects Keepmoat's S&P Global Ratings-
adjusted debt-to-EBITDA ratio to decrease toward 3.5x-3.0x over
the next 12-24 months, including some modest adjustments for
operating leases and assuming partial draw down of the RCF for
working capital funding.  S&P do not include performance bonds
issued by insurance companies to Keepmoat's clients in S&P's debt
calculation.

The rating incorporates a one-notch downward adjustment for S&P's
comparable ratings analysis.  This reflects some volatility in
Keepmoat's cash-flow base, linked to often unpredictable quarter-
on-quarter fluctuations in demand in its main markets.

S&P also views the company's absolute cash-flow base as
relatively small, and S&P expects it will decline over the next
12-24 months, owing to higher working capital as the company
increases its focus on the homes segment.

In addition, the company has a relatively short track record of
operating performance and financial policy since its
restructuring in 2012.

The stable outlook on Keepmoat reflects S&P's expectation that
the company will generate sufficient revenues from its growing
home business segment in the next 12 months, with adjusted gross
margins reaching about 15%-16%.

S&P also assumes that Keepmoat will keep sufficient headroom
under its covenants and undrawn RCFs to fund its working capital
needs to support its growth in the home segment.  Over the next
12-24 months, S&P anticipates that Keepmoat's FFO cash interest
coverage will stay above 2x.

S&P could lower the rating if Keepmoat's liquidity position
deteriorated significantly.  A possible trigger could be a
substantial decrease in EBITDA compared with S&P's current base
case or a change in business strategy that would necessitate new
funding.

S&P could consider raising the rating if it was to see a solid
improvement in the stability and amount of free operating cash
flow.  In S&P's view, this would most likely occur if Keepmoat's
EBITDA base increased materially, with the company able to
control working capital growth.

Disciplined execution of Keepmoat's growth objective in
development of affordable housing and a stricter financial
policy, sustainably targeting adjusted debt to EBITDA in the 3x-
4x range could also lead to an upgrade.

S&P could consider removing its negative comparable ratings
adjustment, if S&P had more visibility and commitment by the
management regarding its financial policy and the strategy for
funding working capital requirements for growing the homes
business.


MOY PARK: S&P Lowers CCR to 'B+' Following Parent Rating Cut
------------------------------------------------------------
S&P Global Ratings lowered its long-term corporate credit and
issue ratings on U.K. poultry producer Moy Park Holdings Europe
Ltd. (Moy Park) to 'B+' from 'BB'.  All ratings remain on
CreditWatch with negative implications.

The downgrade reflects the lowering of the ratings on Moy Park's
parent, JBS S.A. (JBS).  The main reasons cited for this
downgrade included severe governance deficiencies in light of the
recent corruption scandals and the possible additional
contingency liabilities that could arise from ongoing
investigations by the U.S. Department of Justice, the Brazilian
Securities and Exchange Commission (CVM), and the Brazilian
Federal Revenue Office.  JBS also has significant short-term
debt.  Given the recent negative publicity and ongoing corruption
investigations, it may be difficult to refinance this debt in a
timely manner without a significant increase in interest costs.

Moy Park is a fully consolidated subsidiary of JBS, which S&P
continues to assess as strategically important to the group, and
as such cannot be rated higher than its parent.  As such,
although the group has a stand-alone credit profile (SACP) of
'bb', S&P aligns the corporate credit rating on Moy Park with
that on its parent JBS.  That said, the existing bond indenture
significantly restricts cash payments and asset sales, which
protects bondholder value.

S&P intends to resolve the CreditWatch placement on Moy Park when
it resolves that on its parent, which is likely to occur within
the next 90 days.  S&P will be seeking further information about
JBS' refinancing activity and its potential future contingent
liabilities from the ongoing investigations.  S&P could lower the
ratings by two notches if it perceives refinancing problems and a
severe cash shortfall resulting from reputational risks, leading
to further liquidity pressures.  If JBS refinances its short-term
debt, easing S&P's concerns over potential liquidity pressures,
it could affirm the ratings.


ROYAL BANK: Moody's Ups Jr. Subordinated Reg. Bond Rating to Ba2
----------------------------------------------------------------
Moody's Investors Service has upgraded the Royal Bank of Scotland
Group plc's (RBSG, the holding company) long-term senior
unsecured debt ratings to Baa3 and the long-term deposit ratings
of operating companies The Royal Bank of Scotland plc (RBS plc)
and National Westminster Bank PLC (NatWest Bank plc) to A2. The
short-term ratings of RBSG were upgraded to Prime-3 and the
short-term deposit ratings of RBS plc and NatWest Bank plc were
upgraded to Prime-1. The senior unsecured debt ratings of RBS plc
and NatWest Bank plc's issuer rating were affirmed at A3 and RBS
plc's corresponding short-term debt ratings was affirmed at
Prime-2.

The upgrade to RBSG's senior debt ratings and the deposit ratings
of RBS plc and NatWest Bank plc reflects the stronger standalone
financial profile of the group and expectation for more stable
performance in the medium term resulting from the group's multi-
year restructuring, leading to a baseline credit assessment (BCA)
of baa3 for RBS plc and NatWest Bank plc. The rating action
reflects the group's (1) strong capital and litigation reserves
levels which should allow the bank to absorb the resolution of
pending RMBS litigations without detriment to the bank's overall
solvency, (2) sustainable earnings from core retail and corporate
businesses, which mitigate downward credit pressures arising from
Brexit and provide substantial shock absorbers relative to the
remaining capital markets business, (3) substantially reduced
non-core assets and reduced exposure to more volatile and complex
capital markets risks and earnings and (4) improved risk
framework and governance.

The affirmation of senior debt ratings at RBS plc and NatWest
Bank plc's issuer rating reflects Moody's assessment that the
volume of loss absorbing debt supporting senior debt under
Moody's Advanced Loss Given Failure analysis has reduced faster
than Moody's original estimates and is now below the level
consistent with the prior notching. The rating agency has
reflected this change in a lower loss-given-failure notching for
the senior debt ratings of the subsidiaries.

The stable outlook on RBSG's ratings reflects the rating agency's
view that towards the end of the next twelve to eighteen months
the bank will be more advanced in its complex restructuring
exercise, have reduced non-core operations to a small residual
and will begin to generate more stable and sustainable earnings.

RATINGS RATIONALE

UPGRADE REFLECTS RBS's IMPROVED STANDALONE CREDIT STRENGTH DUE TO
PROGRESS ON RESTRUCTURING

The upgrade to holding company (RBSG) ratings reflects the
substantial progress the firm has made in its restructuring plan
in de-risking its operations, resolving or setting aside capital
for legacy litigation matters including for its outstanding
retail mortgage backed security (RMBS) litigations with the US
Department of Justice (DOJ) and the Federal Housing Financing
Agency (FHFA) and its improved capital and leverage position.
Moody's expects RBS capitalisation and litigation provisions to
be able to absorb RMBS litigation settlements at the high-end of
settlements made by competitors in terms of cost per unit of
market share and that the impact of such a settlement on RBSG's
capital position will be manageable and not detrimental to the
bank's overall solvency. The rating action takes a forward-
looking view on RBSG's profitability, as the bank absorbs the
remaining circa GBP3 billion of restructuring and disposal costs
it has budgeted over the next two years.

RBSG has continued the complex restructuring of its operations,
which comprises a number of initiatives that will change its
business mix, reduce its risk profile, and improve operational
efficiency levels. Moody's believes that completion of the plan
will make RBSG a more efficient UK-focused group with lower-risk
operations. While business remains vulnerable to shocks,
including Brexit, RBSG's capacity to absorb losses has increased
and the rating agency expects that non-recurring charges should
decrease over the next eighteen months, making the strong core
profitability of the banks retail and commercial operations more
tangible.

WHAT COULD MOVE THE RATINGS UP/DOWN

RBS plc's baa3 BCA could be upgraded if the bank were to return
to sustainable profitability in line with that of peers, generate
capital organically and successfully complete its multi-year
restructuring exercise.

RBS plc's baa3 BCA could be downgraded if the group's
restructuring and de-risking strategy fails to deliver
improvements in its credit fundamentals, weakening its capital,
asset risk, profitability and operational efficiency levels. A
significant deterioration in the operating environment beyond
Moody's base case expectations and/or regulatory and litigation
charges substantially higher than those Moody's currently
expects, may also result in a downgrade of the BCA.

The BCA and ratings of RBS plc and NatWest Bank plc may also be
affected (upwards and/or downwards) by implementation of the
United Kingdom's (UK; Aa1 negative) requirement that the
country's biggest banks separate their retail lending operations
into independently governed and funded entities, so-called "ring-
fencing," which will come into effect from January 1, 2019.

PRINCIPAL METHODOLOGY

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

LIST OF AFFECTED RATINGS

Upgrades:

Issuer: The Royal Bank of Scotland Group plc

-- Senior Unsecured Regular Bond/Debenture, Upgraded to Baa3
    Stable from Ba1 Positive

-- Subordinate Regular Bond/Debenture, Upgraded to Ba1 from Ba2

-- Subordinate Regular Bond/Debenture, Upgraded to Ba2 from Ba3

-- Preferred Stock, Upgraded to Ba2 (hyb) from Ba3 (hyb)

-- Pref. Stock Non-cumulative, Upgraded to Ba3 (hyb) from B1
    (hyb)

-- Junior Subordinated Regular Bond/Debenture, Upgraded to Ba2
    (hyb) from Ba3 (hyb)

-- Senior Unsecured MTN, Upgraded to (P)Baa3 from (P)Ba1

-- Junior Subordinate MTN, Upgraded to (P)Ba2 from (P)Ba3

-- Subordinate MTN, Upgraded to (P)Ba1 from (P)Ba2

-- Senior Unsecured Shelf, Upgraded to (P)Baa3 from (P)Ba1

-- Preference Shelf, Upgraded to (P)Ba3 from (P)B1

-- Preference Shelf, Upgraded to (P)Ba2 from (P)Ba3

-- Junior Subordinate Shelf, Upgraded to (P)Ba2 from (P)Ba3

-- Subordinate Shelf, Upgraded to (P)Ba1 from (P)Ba2

-- Subordinate Shelf, Upgraded to (P)Ba2 from (P)Ba3

-- Commercial Paper, Upgraded to P-3 from NP

-- Other Short Term, Upgraded to (P)P-3 from (P)NP

Issuer: The Royal Bank of Scotland plc

-- LT Bank Deposits, Upgraded to A2 Stable from A3 Positive

-- ST Bank Deposits, Upgraded to P-1 from P-2

-- Subordinate Regular Bond/Debenture, Upgraded to Ba2 from Ba3

-- Subordinate Regular Bond/Debenture, Upgraded to Ba1 from Ba2

-- Junior Subordinated Regular Bond/Debenture, Upgraded to Ba2
    (hyb) from Ba3 (hyb)

-- BACKED Junior Subordinated Regular Bond/Debenture, Upgraded
    to Ba2 (hyb) from Ba3 (hyb)

-- Junior Subordinate MTN, Upgraded to (P)Ba2 from (P)Ba3

-- BACKED Junior Subordinate MTN, Upgraded to (P)Ba2 from (P)Ba3

-- Subordinate MTN, Upgraded to (P)Ba1 from (P)Ba2

-- BACKED Subordinate MTN, Upgraded to (P)Ba1 from (P)Ba2

-- BACKED Subordinate Shelf, Upgraded to (P)Ba1 from (P)Ba2

-- ST Deposit Note/CD Program, Upgraded to P-1 from P-2

-- Adjusted Baseline Credit Assessment, Upgraded to baa3 from
    ba1

-- Baseline Credit Assessment, Upgraded to baa3 from ba1

-- Counterparty Risk Assessment, Upgraded to A2(cr) from A3(cr)

-- Counterparty Risk Assessment, Upgraded to P-1(cr) from
    P-2(cr)

Issuer: National Westminster Bank PLC

-- LT Bank Deposits, Upgraded to A2 Stable from A3 Positive

-- ST Bank Deposits, Upgraded to P-1 from P-2

-- Subordinate Regular Bond/Debenture, Upgraded to Ba1 from Ba2

-- Junior Subordinated Regular Bond/Debenture, Upgraded to Ba2
    (hyb) from Ba3 (hyb)

-- Preference Shelf, Upgraded to (P)Ba2 from (P)Ba3

-- Subordinate Shelf, Upgraded to (P)Ba1 from (P)Ba2

-- Pref. Stock Non-cumulative, Upgraded to Ba3 (hyb) from B1
    (hyb)

-- Adjusted Baseline Credit Assessment, Upgraded to baa3 from
ba1

-- Baseline Credit Assessment, Upgraded to baa3 from ba1

-- Counterparty Risk Assessment, Upgraded to A2(cr) from A3(cr)

-- Counterparty Risk Assessment, Upgraded to P-1(cr) from
    P-2(cr)

Issuer: RBS Capital Trust B

-- BACKED Pref. Stock Non-cumulative, Upgraded to Ba3 (hyb) from
    B1 (hyb)

Issuer: RBS Capital Trust II

-- BACKED Pref. Stock Non-cumulative, Upgraded to Ba3 (hyb) from
    B1 (hyb)

Issuer: RBS Holdings N.V.

-- Subordinate Shelf, Upgraded to (P)Ba1 from (P)Ba2

-- Senior Unsecured Shelf, Upgraded to (P)Baa3 from (P)Ba1

Issuer: Royal Bank of Scotland N.V.

-- LT Bank Deposits, Upgraded to A2 Stable from A3 Positive

-- ST Bank Deposits, Upgraded to P-1 from P-2

-- ST Deposit Note / CD Program, Upgraded to P-1 from P-2

-- Subordinate Regular Bond/Debenture, Upgraded to Ba1 from Ba2

-- Junior Subordinate MTN, Upgraded to (P)Ba2 from (P)Ba3

-- Subordinate MTN, Upgraded to (P)Ba1 from (P)Ba2

-- Adjusted Baseline Credit Assessment, Upgraded to baa3 from
ba1

-- Baseline Credit Assessment, Upgraded to baa3 from ba1

-- Counterparty Risk Assessment, Upgraded to A2(cr) from A3(cr)

-- Counterparty Risk Assessment, Upgraded to P-1(cr) from
    P-2(cr)

Issuer: Royal Bank of Scotland N.V., London Branch

-- Counterparty Risk Assessment, Upgraded to A2(cr) from A3(cr)

-- Counterparty Risk Assessment, Upgraded to P-1(cr) from P-
2(cr)

Issuer: Royal Bank of Scotland plc, Australia Branch

-- Counterparty Risk Assessment, Upgraded to A2(cr) from A3(cr)

-- Counterparty Risk Assessment, Upgraded to P-1(cr) from
    P-2(cr)

Issuer: Royal Bank of Scotland plc, Tokyo Branch

-- Counterparty Risk Assessment, Upgraded to A2(cr) from A3(cr)

-- Counterparty Risk Assessment, Upgraded to P-1(cr) from P-
2(cr)

Affirmations:

Issuer: The Royal Bank of Scotland plc

-- Senior Unsecured Regular Bond/Debenture, Affirmed A3 Stable
    From Positive

-- BACKED Senior Unsecured Regular Bond/Debenture, Affirmed A3
    Stable From Positive

-- Senior Unsecured MTN, Affirmed (P)A3

-- BACKED Senior Unsecured MTN, Affirmed (P)A3

-- BACKED Senior Unsecured Shelf, Affirmed (P)A3

-- Commercial Paper, Affirmed P-2

-- BACKED Commercial Paper, Affirmed P-2

-- Other Short Term, Affirmed (P)P-2

-- BACKED Other Short Term, Affirmed (P)P-2

Issuer: National Westminster Bank PLC

-- LT Issuer Rating, Affirmed A3 Stable From Positive

-- Senior Unsecured Shelf, Affirmed (P)A3

Issuer: Royal Bank of Scotland N.V.

-- LT Issuer Rating, Affirmed A3 Stable From Positive

-- Senior Unsecured Regular Bond/Debenture, Affirmed A3 Stable
    From Positive

-- BACKED Senior Unsecured Regular Bond/Debenture, Affirmed A3
    Stable From Positive

-- Senior Unsecured MTN, Affirmed (P)A3

-- BACKED Senior Unsecured MTN, Affirmed (P)A3

-- Commercial Paper, Affirmed P-2

-- Other Short Term, Affirmed (P)P-2

Issuer: Royal Bank of Scotland plc, Tokyo Branch

-- Commercial Paper, Affirmed P-2

Outlook Actions:

Issuer: The Royal Bank of Scotland Group plc

-- Outlook, Changed To Stable From Positive

Issuer: The Royal Bank of Scotland plc

-- Outlook, Changed To Stable From Positive

Issuer: National Westminster Bank PLC

-- Outlook, Changed To Stable From Positive

Issuer: Royal Bank of Scotland N.V.

-- Outlook, Changed To Stable From Positive

Issuer: Royal Bank of Scotland N.V., London Branch

-- Outlook, Changed To No Outlook From Positive


UROPA SECURITIES 2007-01B: Fitch Affirms 'B' Rating on B2a Notes
----------------------------------------------------------------
Fitch Ratings has upgraded two tranches of the Uropa RMBS series
and affirmed the others, as follows:

Uropa Securities plc Series 2007-01B
Class A2b notes (ISIN XS0311807167): affirmed at 'AAAsf'; Outlook
Stable
Class A3a notes (ISIN XS0311807753): affirmed at 'AAAsf'; Outlook
Stable
Class A3b notes (ISIN XS0311808561): affirmed at 'AAAsf'; Outlook
Stable
Class A4a notes (ISIN XS0311809452): affirmed at 'AA+sf'; Outlook
Stable
Class A4b notes (ISIN XS0311809882): affirmed at 'AA+sf'; Outlook
Stable
Class M1a notes (ISIN XS0311810385): upgraded to 'A+sf' from 'A-
sf'; Outlook Stable
Class M1b notes (ISIN XS0311811193): upgraded to 'A+sf' from 'A-
sf'; Outlook Stable
Class M2a notes (ISIN XS0311813058): affirmed at 'BBBsf'; Outlook
Stable
Class B1a notes (ISIN XS0311815855): affirmed at 'BBsf' ';
Outlook Stable
Class B1b notes (ISIN XS0311816150): affirmed at 'BBsf'; Outlook
Stable
Class B1b cross currency swap: affirmed at 'BBsf'; Outlook Stable
Class B2a notes (ISIN XS0311816408): affirmed at 'Bsf'; Outlook
Stable

Uropa Securities plc Series 2008-1
Class A notes (ISIN XS0406658624): affirmed at 'AAAsf'; Outlook
Stable
Class M1 notes (ISIN XS0406667534): affirmed at 'AAsf'; Outlook
Stable
Class M2 notes (ISIN XS0406668938): affirmed at 'Asf'; Outlook
Stable

The transactions securitise non-conforming mortgages purchased by
ABN AMRO (Uropa 2007) and Topaz Finance Plc (Uropa 2008). Both
transactions have a large proportion of loans originated at the
peak of the market

KEY RATING DRIVERS

Stable Asset Performance
Delinquent loans (three month plus arrears) have been falling in
all three transactions with the portion of loans in arrears by
more than three months as of end-March 2017 down to 5.5% for
Uropa 2007 (vs. 6.0% in March 2016) and down to 4.3% at end-
February 2017 for Uropa 2008 (vs. 5.0% in March 2016). Delinquent
loans in Uropa 2007 and Uropa 2008 are close to the Fitch Non-
Conforming (NC) Index. Cumulative repossessions are 10.6% for
Uropa 2007 (vs. 10.4% in March 2016) and 8.2% for Uropa 2008 (vs.
8.1% in March 2016), in line with the Fitch Non-Conforming (NC)
index, which is at 10%. Delinquency performance over the last
quarters is due to most of the loans returning to performing, but
the decreasing trend over time is largely due to an increase in
repossessions.

Solid Credit Enhancement (CE)
The transactions closed in 2007 (Uropa 2007) and 2008 (Uropa
2008) and are well-seasoned. As a result CE has built up through
note amortisation, and Uropa 2007 currently has a fully funded
reserve fund. Uropa 2008 currently amortises pro rata and Uropa
2007 is expected to switch to pro-rata in 12 months. Consequently
we do not expect either transaction to build up CE. Fitch expects
an increase in the weighted average foreclosure frequency (WAFF)
over the long term as the interest-only (IO) concentration is
high and increasing over time, while CE remains stable.

Unhedged Basis Risk
Following the amendments to the rating trigger for the swap
provider in Uropa 2008, Fitch considers the basis rate mismatch
between the Libor-linked notes and the BBR-linked mortgages as
unhedged. BBR-linked mortgages make up 93.2% of the current pool,
and Fitch accounted for this unhedged basis risk by reducing the
excess spread generated by the BBR-linked portions of the
portfolio. Uropa 2007 has basis and currency swaps in place.

IO Loan Concentration
The transactions both have a large portion of IO loans (79.5% for
Uropa 2007 and 88.0% for Uropa 2008) and a concentration of more
than 20% of IO loans maturing within a three-year period. As per
its criteria, Fitch carried out a sensitivity analysis assuming a
50% increase in default probability for these loans and found the
current CE was able to accommodate these stresses.

Liquidity Cover
Both transactions benefit from sizeable liquidity support. Uropa
2007 has an undrawn liquidity facility (LF) of 7.75% of the
initial class A2, A3, A4, M1, M2, B1 and B2 notes' balance
(currently 16.3% of the current notes' balance) while Uropa 2008
has a liquidity reserve fund (LRF) of 7.7% of the initial notes'
balance (currently 12.1% of the outstanding notes' balance). The
LF and LRF can no longer amortise due to irreversible breaches in
the cumulative loss performance triggers (both have exceeded
1.25% of the initial note balance). This provides sufficient
liquidity to cover at least four interest payment dates on the
senior fees and interest on the senior notes in case of default
of the servicer or the collection account bank.

RATING SENSITIVITIES

In Fitch's opinion, borrower affordability is being supported by
the low interest-rate environment. This is evidenced by declining
three-month-plus arrears balances. However, low constant
prepayment rates suggest that borrowers have been unable to
refinance, leaving performance of the pools highly sensitive to
future interest increases.

Fitch expects future deterioration in the WAFF for Uropa 2008 as
it is amortising pro-rata and has a very high IO concentration.
This will lead to an increase in the WAFF over time while CE
remains stable.



                            *********

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

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

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


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

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

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

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

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

The TCR Europe subscription rate is US$775 per half-year,
delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
contact Peter Chapman at 215-945-7000 or Joseph Cardillo at
856-381-8268.


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