/raid1/www/Hosts/bankrupt/TCREUR_Public/171226.mbx         T R O U B L E D   C O M P A N Y   R E P O R T E R

                           E U R O P E

          Tuesday, December 26, 2017, Vol. 18, No. 255


                            Headlines


A Z E R B A I J A N

VTB BANK: Moody's Withdraws caa3 Baseline Credit Assessment


C R O A T I A

AGROKOR DD: Creditors Endorse Draft Debt Settlement Plan


F R A N C E

FCT SAPPHIREONE 2017-1: Moody's Assigns Ba1 Rating to Cl. E Notes


G E R M A N Y

BEATE UHSE: Appoints Thomas Kresse as Chief Restructuring Officer
NIKI LUFTFAHRT: Administrators Pick Four Bidders for Final Talks


G R E E C E

HELLENIC REPUBLIC: DBRS Confirms CCC (high) Issuer Rating
NATIONAL BANK: Fitch Affirms B Rating on Covered Bond Programme I
NATIONAL BANK: RWE No Impact on Greek Covered Bonds, Fitch Says


I R E L A N D

BLACK DIAMOND CLO 2017-2: S&P Assigns B(sf) Rating on Cl. F Notes
HALCYON LOAN 2017-2: S&P Assigns B- (sf) Rating to Class F Notes
ST. PAUL'S CLO: Moody's Assigns B2 Rating to Class F Sr. Notes


I T A L Y

BORGOSESIA SPA: Shareholders Approve Revocation of Liquidation
MOBY SPA: S&P Places 'BB-' Issue Rating on CreditWatch Negative


K A Z A K H S T A N

IC KAZKOMMERTS-POLICY: A.M. Best Affirms b+ Issuer Credit Rating


N E T H E R L A N D S

DRYDEN 56 EURO CLO 2017: S&P Assigns B- Rating to Class F notes


N O R W A Y

NJORD GAS: S&P Affirms 'BB+' Issue Rating on 3.798BB Sr. Bond
NORSKE SKOGINDUSTRIER: Oslo Court Appoints Bankruptcy Trustee


P O L A N D

CYFROWY POLSAT: S&P Alters Outlook to Stable, Affirms 'BB+' CCR


P O R T U G A L

HEFESTO STC: Moody's Assigns Caa3 Rating to Class B Notes


R U S S I A

PROMSVYAZBANK: Moody's Confirms B2 LT Sr. Unsecured Debt Rating
SISTEMA PUBLIC: Fitch May Cut BB- Ratings on Litigation Payment
STATE TRANSPORT: Fitch Affirms BB Long-Term IDR, Outlook Positive


T U R K E Y

TURKEY: DBRS to Withdraw BB Issuer Rating for Business Reasons


U N I T E D   K I N G D O M

AMBRIAN PLC: Put Into Administration, Share Trading Suspended
CARILLION PLC: Lenders Defer Test Date for Financial Covenants
ENTERTAINMENT ONE: S&P Affirms 'B+' CCR, Outlook Stable
FRONERI INT'L: S&P Alters Outlook to Pos, Affirms 'B+' CCR
MOORGATE FUNDING 2014-1: DBRS Confirms B Rating on Class E1 Notes

PIONEER HOLDING: S&P Assigns 'B-' CCR, Outlook Stable
ROAD MANAGEMENT: S&P Raises 2021 GBP165MM Bond Rating to 'BB-'
SALISBURY SECURITIES: Fitch Affirms BB(EXP) Rating on M-R Notes


                            *********



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A Z E R B A I J A N
===================


VTB BANK: Moody's Withdraws caa3 Baseline Credit Assessment
-----------------------------------------------------------
Moody's Investors Service has withdrawn the following ratings of
VTB Bank (Azerbaijan):

-- LT Bank Deposits, previously rated B3, Outlook Changed To
    Rating Withdrawn From Negative

-- ST Bank Deposits, previously rated NP

-- Adjusted Baseline Credit Assessment, previously rated b3

-- Baseline Credit Assessment, previously rated caa3

-- LT Counterparty Risk Assessment, previously rated B2(cr)

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

Outlook Actions:

-- Outlook, Changed To Rating Withdrawn From Negative

RATINGS RATIONALE

Moody's has decided to withdraw the ratings for its own business
reasons.

Headquartered in Baku, Azerbaijan, VTB Bank (Azerbaijan) reported
total assets of AZN272 million ($160 million) as of year-end
2016, according to IFRS.


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C R O A T I A
=============


AGROKOR DD: Creditors Endorse Draft Debt Settlement Plan
--------------------------------------------------------
SeeNews reports that suppliers and creditors of Croatia's ailing
concern Agrokor endorsed a draft debt settlement plan which
foresees a debt-for-equity swap and a partial debt write-off.

According to SeeNews, Agrokor said in a statement under the plan,
presented to the council of creditors by trustee Ante Ramljak,
creditors will take full control of a new holding company and its
units, to which the assets of the sound segments of the Agrokor
group will be transferred to.

The newly-founded companies will carry a sustainable amount of
debt owed by the old companies of Agrokor, while the remainder of
the debt which cannot be paid shall remain with the old insolvent
companies which shall be liquidated, SeeNews discloses.

Therefore, a portion of the liabilities and the remaining debt of
the old concern will be liquidated, SeeNews states.

Further talks with creditors will be held over the next few
months, with a final settlement expected to be reached in early
April, SeeNews notes.

"The creditors' representatives in the Temporary creditors
council gave a green light to the Extraordinary Administration to
move forward with the proposal of the settlement plan following
the outline of the presented draft," SeeNews quotes Agrokor as
saying.

Food-to-retail Agrokor concern has some 5,700 Croatian and
foreign creditors, which have registered around 12,000 claims
relating to different payment classes, and various legal and
factual circumstances, SeeNews relays.

The value of recognized claims amounts to some HRK41.5 billion
(US$6.5 billion/EUR5.5 billion), while the total value of
challenged claims amounts to HRK16.5 billion, according to
SeeNews.

                       About Agrokor DD

Founded in 1976 and based in Zagreb, Crotia, Agrokor DD is the
biggest food producer and retailer in the Balkans, employing
almost 60,000 people across the region with annual revenue of
some HRK50 billion (US$7 billion).

On April 10, 2017, the Zagreb Commercial Court allowed the
initiation of the procedure for extraordinary administration over
Agrokor and some of its affiliated or subsidiary companies.  This
comes on the heels of an April 7, 2017 proposal submitted by the
management board of Agrokor Group for the administration
proceedings for the Company pursuant to the Law of Extraordinary
Administration for Companies with Systemic Importance for the
Republic of Croatia.

Mr. Ante Ramljak was simultaneously appointed extraordinary
commissioner/trustee for Agrokor on April 10.

In May 2017, Agrokor dd, in close cooperation with its advisors,
established that as of March 31, 2017, it had total liabilities
of HRK40.409 billion.  The company racked up debts during a rapid
expansion, notably in Croatia, Slovenia, Bosnia and Serbia, a
Reuters report noted.

On June 2, 2017, Moody's Investors Service downgraded Agrokor
D.D.'s corporate family rating (CFR) to Ca from Caa2 and the
probability of default rating (PDR) to D-PD from Ca-PD. The
outlook on the company's ratings remains negative.  Moody's also
downgraded the senior unsecured rating assigned to the notes
issued by Agrokor due in 2019 and 2020 to C from Caa2.  The
rating actions reflect Agrokor's decision not to pay the coupon
scheduled on May 1, 2017 on its EUR300 million notes due May 2019
at the end of the 30-day grace period. It also factors in Moody's
understanding that the company is not paying interest on any of
the debt in place prior to Agrokor's decision in April 2017 to
file for restructuring under Croatia's law for the Extraordinary
Administration for Companies with Systemic Importance.

On June 8, 2017, Agrokor's Agrarian Administration signed an
agreement on a financial arrangement agreement worth EUR480
million, including EUR80 million of loans granted to Agrokor by
domestic banks in April. In addition to this amount, additional
buffers are also provided with additional EUR50 million of
potential refinancing credit. The total loan arrangement amounts
to EUR1,060 million, of which a new debt totaling EUR530 million
and the remainder is intended to refinance old debt.



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F R A N C E
===========


FCT SAPPHIREONE 2017-1: Moody's Assigns Ba1 Rating to Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned the following definitive
ratings to notes issued by FCT SapphireOne Auto 2017-1:

-- Euro 390.1 million Class A Asset-Backed Floating Rate Notes
    due January 2034, Definitive Rating Assigned Aaa (sf)

-- Euro 36.9 million Class B Asset-Backed Floating Rate Notes
    due January 2034, Definitive Rating Assigned Aa1 (sf)

-- Euro 36.9 million Class C Asset-Backed Floating Rate Notes
    due January 2034, Definitive Rating Assigned A1 (sf)

-- Euro 21.1 million Class D Asset-Backed Floating Rate Notes
    due January 2034, Definitive Rating Assigned Baa1 (sf)

-- Euro 15.8 million Class E Asset-Backed Floating Rate Notes
    due January 2034, Definitive Rating Assigned Ba1 (sf)

Subordinated and unrated Euro 37.5 million Class F Asset-Backed
Fixed Rate Notes due January 2034 will also be issued.

Provisional ratings were assigned on November 22, 2017. The
definitive rating on Class D is one notch higher than that
provisionally assigned due to changes in the transaction
structure which result in slightly higher than expected excess
spread.

RATINGS RATIONALE

The transaction is a static cash securitisation of auto loans,
auto leases and related residual value cash flows extended by
SociÇtÇ RÇunionnaise de Financement S.A. ("Sorefi") (not rated)
with operations in the French dÇpartements of La RÇunion, and
Somafi-Soguafi S.A. ("Somafi-Soguafi") (not rated) with
operations in the French dÇpartements of Guadeloupe, Martinique
and French Guiana, both originators are ultimately owned by My
Money Bank S.A. ("MMB") (not rated) located in Paris, France. The
obligors are located in the four dÇpartements previously
mentioned.

As at November 30, 2017, the pool cut shows 38,633 non-delinquent
loan and lease contracts with a weighted average seasoning of 18
months. Principal portfolio cash flows are auto loan instalments
(64.8%), auto lease instalments (27.2%) and residual value cash
flows related to auto lease contracts (8.0%). The portfolio is
collateralized by approximately 83.6% new car and 16.4% used car
loans or leases related to a number of different manufacturers,
the top three being Peugeot (17.8%), Renault (10.8%) and
Volkswagen (9.9%). The loans in the portfolio are fully
amortising loans.

According to Moody's, the transaction benefits from credit
strengths such as (i) static structure, (ii) granularity of the
portfolio and (iii) application of French law in the overseas
territories of the portfolio. However, Moody's notes that the
transaction features some credit challenges such as (i) small
unrated originators, (ii) a high degree of linkage to the
originating and servicing subsidiaries of MMB, (iii) regional
concentrations in four small regions and (iv) residual value
risk.

Various mitigants have been put in place in the transaction
structure, such as credit enhancement provided through
subordination of classes of notes, excess spread and an
amortising reserve also available to cover portfolio losses at
maturity of the transaction. Residual value risk is mitigated by
(i) the portfolio composition and (ii) additional credit
enhancement.

Moody's analysis focused, amongst other factors, on (i) an
evaluation of the underlying portfolio of receivables; (ii)
historical performance of defaults and recoveries from Q2 2010 to
Q2 2017; (iii) the credit enhancement provided by subordination
(26.0% for Class A, 19% for Class B, 12% for Class C, 8% for
Class D, 5% for Class E), excess spread and cash reserve; (iv)
the liquidity support available in the transaction by way of the
cash reserve, principal to pay interest, and (v) the legal and
structural aspects of the transaction.

The public and political debate about the future of diesel
engines has heated up in continental Europe over the recent
months due to new proposals restricting diesel cars in various
metropolitan areas in Europe, including France but has less been
in the focus of the public discussion in the overseas regions
that are relevant for this securitisation. Still as a
consequence, diesel cars have recently shown signs of diminished
attractiveness through declines in new car registrations and a
softening in the residual value premiums of diesel over petrol
cars. Moody's is closely monitoring developments, but at this
time believes that these recent trends are captured in current
rating assumptions, i.e. recovery rate and residual value
haircuts.

MAIN MODEL ASSUMPTIONS

Moody's determined the portfolio lifetime mean default rate of
6.0%, a fixed recovery rate of 35% and Aaa portfolio credit
enhancement ("PCE") of 24.0% related to loan and lease
receivables. The mean default rate captures Moody's expectations
of performance considering the current economic outlook, while
the PCE captures the loss Moody's expect the portfolio to suffer
in the event of a severe recession scenario. Mean default rate
and PCE are parameters used by Moody's to calibrate its lognormal
portfolio default distribution curve and to associate a
probability with each potential future default scenario in its
ABSROM cash flow model to rate Auto ABS.

The mean default and recovery rates result in a portfolio
expected loss of 3.9% which is higher than with the EMEA Auto ABS
average and is based on Moody's assessment of the lifetime
expectation for the pool taking into account (i) historical
performance of the loan book of the originator, (ii) benchmark
transactions, and (iii) other qualitative considerations.

PCE of 24.0% is higher than the EMEA Auto ABS average and is
based on Moody's assessment of the pool which is mainly driven by
(i) scenario analysis taking into account geographical
concentration in small regions with increased natural disaster
risk and sector concentration and (ii) benchmarking. The PCE
level of 24.0% results in an implied coefficient of variation
("CoV") of 48.1%.

Residual value risk credit enhancement ("RV CE")

Moody's determined the Aaa RV CE of 2.1% to account for the
residual value market risk. RV CE captures additional portfolio
losses which would arise on the securitised RV receivables
following a decline in the market prices of used cars in a severe
recession environment in case payments from the guarantor are not
available (e.g. dealer or originator insolvency). Lease contracts
permit lessees to return their vehicle at the end of the lease in
lieu of the final payment, which is not a default and thus is not
captured in the loss assumptions for the lease receivables
described in the previous section. The sum of the RV CE and the
credit enhancement for the lessee/borrower receivables, as
described above, determines the total credit enhancement that is
needed to be consistent with each Class of notes' rating.

In deriving the RV CE Moody's assumes a haircut to the portfolios
forecasted used car prices of 45% for the Aaa (sf) rated notes
taking into account (i) robustness of RV setting, and (ii)
portfolio composition. The haircut is in line with the EMEA Auto
ABS average and is based on Moody's assessment which is mainly
driven by (i) the originators' limited sophistication to set
residual values, (ii) the diversity of the manufacturers, and
(iii) the good distribution of RV cash flows over the life of the
transaction.

METHODOLOGY

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

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

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

Factors that may cause an upgrade of the ratings include a
significantly better than expected performance of the pool
together with an increase in credit enhancement of the notes.
Factors that may cause a downgrade of the ratings of the notes
include a worsening in the overall performance of the pool, or a
meaningful deterioration of the credit profile of the servicer or
originator.

LOSS AND CASH FLOW ANALYSIS:

Moody's used its cash-flow model Moody's ABSROM as part of its
quantitative analysis of the transaction. Moody's ABSROM model
enables users to model various features of a standard European
ABS transaction -- including the specifics of the default
distribution of the assets, their portfolio amortisation profile,
yield as well as the specific priority of payments, swaps and
reserve funds on the liability side of the ABS structure.

STRESS SCENARIOS:

In rating auto ABS, mean default rate and recovery rate are two
key inputs that determine the transaction cash flows in the cash
flow model. Due to the limited exposure to RV risk scenarios with
changes in RV CE have not been considered here. Parameter
sensitivities for this transaction have been calculated in the
following manner: Moody's tested 9 scenarios for the Class A
notes to Class E notes derived from the combination of mean
default rate: 6.0% (base case), 6.5% (base case + 0.5%), 7.0%
(base case + 1%) and recovery rate: 35% (base case), 30% (base
case - 5%), 25% (base case - 10%). The 6.0%/35% scenario would
represent the base case assumptions used in the initial rating
process.

At the time the ratings were assigned, the model output indicated
that the Class A Notes would have achieved Aa1 (sf) if the mean
default rate was as high as 7.0% with a recovery rate as low as
25% (all other factors unchanged). For sensitivity results of
Class B notes to Class E notes.

Parameter sensitivities provide a quantitative/model indicated
calculation of the number of notches that a Moody's rated
structured finance security may vary if certain input parameters
used in the initial rating process differed. The analysis assumes
that the deal has not aged. It is not intended to measure how the
rating of the security might migrate over time, but rather how
the initial model output for Class A notes to Class E notes might
have differed if the two parameters within a given sector that
have the greatest impact were varied. Results are model outputs,
which are one of many inputs considered by rating committees,
which take quantitative and qualitative factors into account in
determining actual ratings.


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G E R M A N Y
=============


BEATE UHSE: Appoints Thomas Kresse as Chief Restructuring Officer
-----------------------------------------------------------------
Reuters reports that Beate Uhse AG has appointed Thomas Kresse as
chief restructuring officer with immediate effect.

As reported by the Troubled Company Reporter-Europe on Dec. 18,
2017, Reuters related that German sex shop group Beate Uhse filed
for insolvency after failing to secure financing from a group of
investors.

The company was started in 1946 by a former female pilot with the
same name.


NIKI LUFTFAHRT: Administrators Pick Four Bidders for Final Talks
----------------------------------------------------------------
Klaus Lauer at Reuters reports that the administrators of Niki
have picked four strategic bidders for final-stage talks over the
insolvent Austrian airline's assets.

Two people familiar with the matter told Reuters that British
Airways owner IAG was among them.

Former motor racing world champion Niki Lauda had said on Dec. 21
that he had offered to buy Niki, a company he founded, Reuters
relates.  A German newspaper had named tour operator Thomas Cook
and Tuifly, the airline of tour operator TUI among the remaining
bidders, Reuters discloses.

A spokeswoman for Niki Lauda said on Dec. 22 she could not say
whether Lauda was among the four remaining parties, Reuters
notes.

In a separate report, Reuters relates that three sources familiar
with the matter said IAG had made an offer for Niki as a whole
and was the frontrunner in talks for the carrier.

If no deal is struck with IAG, it is possible that Niki will be
carved up among several buyers, Reuters states.

The administrators running the process aim to agree a deal by the
end of this week, Reuters relays, citing one of the
administrators.

As reported by the Troubled Company Reporter-Europe on Dec. 15,
2017, the management of NIKI Luftfahrt GmbH on Dec. 13 filed with
the local court of Berlin-Charlottenburg a petition for the
opening of insolvency proceedings over the assets of NIKI.

                         About Air Berlin

In operation since 1978, Air Berlin PLC & Co. Luftverkehrs KG is
a global airline carrier that is headquartered in Germany and is
the second largest airline in the country.

In 2016, Air Berlin operated 139 aircraft with flights to
destinations in Germany, Europe, and outside Europe, including
the United States, and provided passenger service to 28.9 million
passengers.  Within the first seven months of 2017, the Debtor
carried approximately 13.8 million passengers.  It employs
approximately 8,481 employees.  Air Berlin is a member of the
Oneworld alliance, participating with other member airlines in
issuing tickets, code-share flights, mileage programs, and other
similar services.

Air Berlin has racked up losses of about EUR2 billion over the
past six years, and has net debt of EUR1.2 billion.

On Aug. 15, 2017, Air Berlin applied to the Local District Court
of Berlin-Charlottenburg, Insolvency Court for commencement of an
insolvency proceeding.  On the same day, the German Court opened
preliminary insolvency proceedings permitting the Debtor to
proceed as a debtor-in-possession, appointed a preliminary
custodian to oversee the Debtor during the preliminary insolvency
proceedings, and prohibited any new, and stayed any pending,
enforcement actions against the Debtor's movable assets.

To seek recognition of the German proceedings, representatives of
Air Berlin filed a Chapter 15 petition (Bankr. S.D.N.Y. Case No.
17-12282) on Aug. 18, 2017.  The Hon. Michael E. Wiles is the
case judge.  Thomas Winkelmann and Frank Kebekus, as foreign
representatives, signed the petition.  Madlyn Gleich Primoff,
Esq., at Freshfields Bruckhaus Deringer US LLP, is serving as
counsel in the U.S. case.


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G R E E C E
===========


HELLENIC REPUBLIC: DBRS Confirms CCC (high) Issuer Rating
---------------------------------------------------------
DBRS Ratings Limited has confirmed the Hellenic Republic's Long-
Term Foreign and Local Currency - Issuer Ratings at CCC (high),
and changed the trend from Stable to Positive. In addition, DBRS
has confirmed the Short-Term Foreign and Local Currency - Issuer
Ratings at R-5 and maintained the Stable trend.

The Positive trend reflects DBRS's view that the current
official-sector financial support programme for Greece has eased
the financial-sector liquidity squeeze and the economy has
returned to growth. The third review of the Third Economic
Adjustment Programme (the Third Programme), should be completed
in coming months and this will pave the way for discussions on
the type of support available post-programme next August and on
additional debt relief measures. Improvements in the "Economic
Structure and Performance", "Fiscal Management and Policy" and
"Political Environment' sections of the analysis were the key
factors for the trend change.

The CCC (high) rating reflects Greece's very high level of
public-sector debt and the political challenge that the Greek
authorities and the institutional creditors face in placing this
debt on a firm downward path. Banks' asset quality has improved
since the last review, but the still weak operating environment
continues to present challenges. Additional structural reforms
are required to raise potential growth.

Greece's credit strengths include the benefits of euro zone
membership and access to financial support from the European
institutions. Since 2009, the country has implemented a
significant fiscal adjustment. The cyclically-adjusted primary
balance has improved by 18% of gross domestic product (GDP; 2009-
2016). In addition, progress has been made with structural
reforms, including improvements in the labour and product market,
reform of the tax code and streamlining the public
administration. The external sector has also strengthened with
the significant improvement of the current account into a small
deficit estimated to be 0.2% of GDP in 2017 from a large deficit
of 11.4% of GDP in 2010.

However, credit challenges are considerable as the public debt
ratio is extremely high. Despite recent improvements in political
risk and the implementation of fiscal and structural reforms,
more structural reforms are required in the public sector, the
labour market and in pensions, and continuing to meet primary
surplus targets will be challenging from a social perspective.

Greece's banks have high levels of impaired assets with a non-
performing exposure ratio close to 45%. However, the banking
sector has improved with a reduced reliance on the ECB's
Emergency Liquidity Assistance (ELA). The general trend of
deposit repatriation continued in 2017, albeit at a slow pace.
Capital controls introduced in June 2015 have been eased; credit
to the domestic private sector is declining at a slower pace. A
new round of ECB stress tests expected to be completed by mid-
2018 have added a level of uncertainty to capital adequacy, but
system-wide, the results are expected to be manageable.

RATING DRIVERS

Triggers for a rating upgrade could include: (1) continued
cooperation between Greece and the official creditors to
implement fiscal and structural reforms; (2) a clearer view of
external financing beyond the current Third Programme's
completion in August 2018 that could include additional debt
relief measures.

Downward rating drivers would likely be some combination of: (1)
lack of cooperation with the institutional creditors; (2)
external debt service payment arrears; and (3) renewed financial-
sector instability.

Notes: All figures are in Euros unless otherwise noted.


NATIONAL BANK: Fitch Affirms B Rating on Covered Bond Programme I
-----------------------------------------------------------------
Fitch Ratings has affirmed National Bank of Greece S.A.'s (NBG,
RD/RD/ccc/RWE) covered bond programme I (NBG I) at 'B' with
Positive Outlook.

The rating action follows the segregation of EUR1.2 billion
assets for the benefit of the programme, performed on 30 November
2017.

KEY RATING DRIVERS

The rating of the covered bonds is capped by Greece's 'B' Country
Ceiling. The Positive Outlook reflects that on Greece's Issuer
Default Rating (IDR) and the strong protection offered via the
25% minimum contractual over-collateralisation (OC), which
offsets credit losses in a 'B' rating scenario and provides a
large buffer above the 5.3% 'B' breakeven OC.

The Rating Watch Evolving (RWE) placed on NBG's 'ccc' Viability
Rating (VR) (see Fitch Places Certain Bank Ratings on Rating
Watch on Criteria Exposure Draft, dated 14 December 2017) has no
impact on the covered bonds rating. This is because the uplift
factors enable the covered bonds' rating to be maintained
regardless of Fitch's assessment of the bank's VR within the
'ccc' category, following the implementation of the exposure
draft on Fitch's Bank Rating Criteria.

The rating cap implies NBG I's covered bonds are only able to
benefit from one notch of recovery uplift -- out of the three
assigned -- from the 'B-' rating floor that is represented by
NBG's 'ccc' VR as adjusted by the IDR uplift of two notches. In a
scenario of a covered bonds default, Fitch would expect at least
good recovery prospects as the cover pool comprise Greek
residential loans secured by mortgages.

The revised 'B' credit loss of 24.7% (from 11.9%) on the cover
pool follows the implementation of the European RMBS Rating
Criteria (October 2017) and the asset transfer. The weaker credit
profile compared with the prior composition is mainly driven by
the share of restructured and rescheduled loans (increasing to
16.8% in November 2017 from 5.1% in June 2017), and loans with an
original term to maturity greater than 30.5 years (increasing to
40.1% from 26.1%). Besides this, the cover pool is almost nine
years-seasoned, and the majority of restructured loans are
currently performing.

The IDR uplift of two notches reflects that NBG's Long-Term IDR
is not support-driven (institutional or by the sovereign) as well
as a low risk of under-collateralisation at the point of
resolution. This is based on Fitch's assessment on the Greek
legal framework, the presence of an asset monitor, asset
eligibility criteria and minimum legal and contractual levels of
OC, as applicable.

Fitch payment continuity uplift (PCU) for the programme is six
notches, reflecting its soft-bullet amortisation profile and a
liquidity reserve that covers at least three months of interest
due on the covered bonds and senior expenses. However, this is
not a current driver of the rating.

CRITERIA VARIATION

The agency has not applied the 2.5x foreclosure frequency
adjustment to loans with an original term to maturity longer than
30.5 years and which have been restructured (10.8% of the cover
pool). This variation from the agency's European RMBS Rating
Criteria is because longer maturity dates are a consequence of
restructuring, and the credit analysis on restructured loans
already captures foreclosure frequency adjustments based on the
borrower's payment behaviour. While no model-implied rating
impact is linked to this variation, the Outlook on the rating
would have been Stable in the absence of this variation.

RATING SENSITIVITIES

Changes in Greece's Country Ceiling could affect the rating of
National Bank of Greece's covered bond programme I. In particular
and all else being equal, an upgrade of the Country Ceiling will
lead to an upgrade of the covered bonds programme as long as the
relied-upon overcollateralisation (OC) of the programme is
sufficient to compensate for the stresses commensurate with the
Country Ceiling level.

An increase of the cover pool credit loss estimate above the 25%
contractual OC would lead to a revision of the Outlook to Stable,
all else being equal.


NATIONAL BANK: RWE No Impact on Greek Covered Bonds, Fitch Says
---------------------------------------------------------------
Fitch Ratings says National Bank of Greece S.A.'s (NBG,
RD/RD/ccc/RWE) and Piraeus Bank S.A.'s (Piraeus, RD/RD/ccc/RWE)
mortgage covered bonds ratings are not affected by the Rating
Watch Evolving (RWE) on the banks' Viability Ratings (VRs). The
covered bonds are rated 'B' with Positive Outlook.

On Dec. 14, 2017 Fitch placed on RWE the banks' VRs, following
the publication of the Exposure Draft: Bank Rating Criteria.

All the programmes benefit from a cushion against a downgrade of
the banks' VRs to 'ccc-', leaving the covered bonds ratings
unaffected by the RWE on banks' VRs. At the same time, an upgrade
of issuers' VRs to 'ccc+' would not be reflected in the ratings
of the covered bonds programmes, as they are currently capped by
Greece's 'B' Country Ceiling.

The 'B'/Positive rating on the covered bonds is based on the
respective 'ccc' VRs as adjusted by the Issuer Default Rating
(IDR) uplift of two notches and recovery uplift of one notch (out
of the three assigned to all the programmes). Since the banks'
IDR are on 'RD', the starting point for the analysis of the Greek
covered bonds programmes is the VR, in accordance with Fitch's
Covered Bonds Rating Criteria.

On Dec. 5, 2017, Alpha Bank AE (RD/RD/ccc/RWE) repurchased and
cancelled EUR5 million Series 5 and EUR1 billion Series 6 and no
covered bonds are outstanding under the conditional pass-through
programme; as a consequence no rating is outstanding for this
programme.


=============
I R E L A N D
=============


BLACK DIAMOND CLO 2017-2: S&P Assigns B(sf) Rating on Cl. F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Black Diamond
CLO 2017-2 DAC's class A-1, A-2, A-3, A-4, B, C, D, E, and F
notes. At closing, the issuer also issued unrated subordinated
notes.

The ratings assigned to the notes reflect our assessment of:

-- The diversified collateral pool, which consists primarily of
    broadly syndicated speculative-grade senior secured term
    loans and bonds that are governed by collateral quality
    tests.

-- The credit enhancement provided through the subordination of
    cash flows, excess spread, and overcollateralization.

-- The collateral manager's experienced team, which can affect
    the performance of the rated notes through collateral
    selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is bankruptcy
remote.

The counterparty risk.

S&P said, "We consider that the transaction's documented
counterparty replacement and remedy mechanisms adequately
mitigate its exposure to counterparty risk under our current
counterparty criteria.

"Following the application of our structured finance ratings
above the sovereign criteria, we consider the transaction's
exposure to country risk to be limited at the assigned rating
levels, as the exposure to individual sovereigns does not exceed
the diversification thresholds outlined in our criteria.

"We consider that the transaction's legal structure is bankruptcy
remote, in line with our legal criteria.

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

"Since we assigned preliminary ratings to this transaction, the
target rating in the CDO Monitor for the class F notes has now
been amended to 'B'. We have therefore assigned our 'B (sf)'
rating to the class F notes."

Black Diamond CLO 2017-2 is a European cash flow corporate loan
collateralized loan obligation (CLO) securitization of a
revolving pool, comprising euro- and U.S. dollar-denominated
senior secured loans and bonds issued mainly by speculative-grade
borrowers. Black Diamond CLO 2017-2 Adviser, LLC is the
collateral manager.

  RATINGS LIST

  Black Diamond CLO 2017-2 DAC
  EUR333.5 Million $94.4 Million Secured Floating- And Fixed-Rate
  Notes (Including EUR21.5 Million $23.6 Million Subordinated
  Notes)

  Ratings Assigned

  Class                  Rating            Amount
                                           (mil.)

  A-1                    AAA (sf)         EUR142.00
  A-2                    AAA (sf)          $55.80
  A-3                    AAA (sf)          EUR30.00
  A-4                    AAA (sf)          $15.00
  B                      AA (sf)           EUR56.00
  C                      A (sf)            EUR30.90
  D                      BBB (sf)          EUR23.00
  E                      BB (sf)           EUR18.00
  F                      B (sf)            EUR12.10
  M-1 Sub                NR                EUR21.50
  M-2 Sub                NR                $23.60

  Sub--Subordinated. NR--Not rated.


HALCYON LOAN 2017-2: S&P Assigns B- (sf) Rating to Class F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Halcyon Loan
Advisors European Funding 2017-2 DAC's (Halcyon 2017-2) class A,
B1, B2, C, D, E, and F notes. At closing, Halcyon 2017-2 also
issued an unrated subordinated class of notes.

The ratings assigned to Halcyon 2017-2's notes reflect S&P's
assessment of:


-- The diversified collateral pool, which consists primarily of
    broadly syndicated speculative-grade senior secured term
    loans and bonds that are governed by collateral quality
    tests.

-- The credit enhancement provided through the subordination of
    cash flows, excess spread, and overcollateralization.

-- The collateral manager's experienced team, which can affect
    the performance of the rated notes through collateral
    selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is in accordance
    with S&P's bankruptcy remote rating framework.

Under the transaction documents, the rated notes pay quarterly
interest unless there is a frequency switch event. Following
this, the notes permanently switch to semiannual payment. The
portfolio's reinvestment period ends approximately four years
after closing. S&P said, "Our ratings reflect our assessment of
the collateral portfolio's credit quality, which has a weighted-
average 'B' rating. We consider that the portfolio is well-
diversified, primarily comprising broadly syndicated speculative-
grade senior secured term loans and senior secured bonds.
Therefore, we have conducted our credit and cash flow analysis by
applying our criteria for corporate cash flow collateralized debt
obligations. In our cash flow analysis, we used the EUR325
million target par amount, the covenanted weighted-average spread
(3.625%), the covenanted weighted-average coupon (4.25%; where
applicable), and the target minimum weighted-average recovery
rates at each rating level as indicated by the manager. We
applied various cash flow stress scenarios, using four different
default patterns, in conjunction with different interest rate
stress scenarios for each liability rating category."

Elavon Financial Services DAC is the bank account provider and
custodian. The documented downgrade remedies are in line with our
current counterparty criteria.

Following the application of our structured finance ratings above
the sovereign criteria, we consider that the transaction's
exposure to country risk is sufficiently mitigated at the
assigned rating levels.

The issuer is bankruptcy remote, in accordance with our legal
criteria.

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

RATINGS LIST

  Halcyon Loan Advisors European Funding 2017-2 DAC
  EUR334.45 mil fixed- and floating-rate notes

                                  Amount
  Class              Rating     (mil, EUR)
  A                  AAA (sf)     193.00
  B1                 AA (sf)       29.00
  B2                 AA (sf)       12.50
  C                  A (sf)        22.25
  D                  BBB (sf)      19.10
  E                  BB (sf)       15.50
  F                  B- (sf)       10.10
  Sub                NR            33.00

  NR--Not rated


ST. PAUL'S CLO: Moody's Assigns B2 Rating to Class F Sr. Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to notes issued by St. Paul's CLO
VIII DAC (the "Issuer"):

-- EUR244,000,000 Class A Senior Secured Floating Rate Notes due
    2030, Definitive Rating Assigned Aaa (sf)

-- EUR27,000,000 Class B-1 Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aa2 (sf)

-- EUR20,000,000 Class B-2 Senior Secured Fixed Rate Notes due
    2030, Definitive Rating Assigned Aa2 (sf)

-- EUR23,000,000 Class C Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned A2 (sf)

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

-- EUR25,000,000 Class E Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned Ba2 (sf)

-- EUR12,000,000 Class F Senior Secured Deferrable Floating Rate
    Notes due 2030, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

Moody's definitive rating of the rated notes addresses the
expected loss posed to noteholders by the legal final maturity of
the notes in July 2030. The definitive ratings reflect the risks
due to defaults on the underlying portfolio of loans given the
characteristics and eligibility criteria of the constituent
assets, the relevant portfolio tests and covenants as well as the
transaction's capital and legal structure. Furthermore, Moody's
is of the opinion that the collateral manager, Intermediate
Capital Managers Limited ("ICM"), has sufficient experience and
operational capacity and is capable of managing this CLO.

St. Paul's CLO VIII DAC is a managed cash flow CLO. At least 90%
of the portfolio must consist of senior secured loans and senior
secured bonds and up to 10% of the portfolio may consist of
unsecured obligations, second-lien loans, mezzanine loans and
high yield bonds. The bond bucket gives the flexibility to St.
Paul's CLO VIII DAC to hold bonds. The portfolio is expected to
be approximately at least 75% ramped up as of the closing date
and to be comprised predominantly of corporate loans to obligors
domiciled in Western Europe.

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

In addition to the seven classes of notes rated by Moody's, the
Issuer issued EUR41.75m of Subordinated notes, which are not
rated.

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

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

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

Loss and Cash Flow Analysis:

Moody's modeled the transaction using CDOEdge, a cash flow model
based on the Binomial Expansion Technique, as described in
Section 2.3 of the "Moody's Global Approach to Rating
Collateralized Loan Obligations" rating methodology published in
August 2017. The cash flow model evaluates all default scenarios
that are then weighted considering the probabilities of the
binomial distribution assumed for the portfolio default rate. In
each default scenario, the corresponding loss for each class of
notes is calculated given the incoming cash flows from the assets
and the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum
product of (i) the probability of occurrence of each default
scenario and (ii) the loss derived from the cash flow model in
each default scenario for each tranche. As such, Moody's
encompasses the assessment of stressed scenarios.

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

Par amount: EUR400,000,000

Diversity Score: 36

Weighted Average Rating Factor (WARF): 2770

Weighted Average Spread (WAS): 3.65%

Weighted Average Recovery Rate (WARR): 42%

Weighted Average Life (WAL): 8.5 years.

Moody's has analysed the potential impact associated with
sovereign related risk of peripheral European countries. As part
of the base case, Moody's has addressed the potential exposure to
obligors domiciled in countries with local currency country risk
ceiling of A1 or below. Following the effective date, and given
the portfolio constraints and the current sovereign ratings in
Europe, such exposure may not exceed 10% of the total portfolio.
As a result and in conjunction with the current foreign
government bond ratings of the eligible countries, as a worst
case scenario, a maximum 10% of the pool would be domiciled in
countries with A3. The remainder of the pool will be domiciled in
countries which currently have a local or foreign currency
country ceiling of Aaa or Aa1 to Aa3.

Stress Scenarios:

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

Percentage Change in WARF: WARF + 15% (to 3186 from 2770)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: 0

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

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

Class C Senior Secured Deferrable Floating Rate Notes: -2

Class D Senior Secured Deferrable Floating Rate Notes: -2

Class E Senior Secured Deferrable Floating Rate Notes: 0

Class F Senior Secured Deferrable Floating Rate Notes: 0

Percentage Change in WARF: WARF +30% (to 3601 from 2770)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: -1

Class B-1 Senior Secured Floating Rate Notes: -4

Class B-2 Senior Secured Fixed Rate Notes: -4

Class C Senior Secured Deferrable Floating Rate Notes: -4

Class D Senior Secured Deferrable Floating Rate Notes: -2

Class E Senior Secured Deferrable Floating Rate Notes: -1

Class F Senior Secured Deferrable Floating Rate Notes: -1

Further details regarding Moody's analysis of this transaction
may be found in the upcoming new issue report, available soon on
Moodys.com.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in August 2017.


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


BORGOSESIA SPA: Shareholders Approve Revocation of Liquidation
--------------------------------------------------------------
Reuters reports that shareholders of Borgosesia Spa, in
liquidazione, have approved to revoke the company's voluntary
liquidation procedure.

Borgosesia SpA is an Italy-based holding company engaged in a
number of sectors such as the real estate, asset management and
production of energy from alternative sources.


MOBY SPA: S&P Places 'BB-' Issue Rating on CreditWatch Negative
---------------------------------------------------------------
S&P Global Ratings said that it placed its 'B+' corporate credit
rating and 'BB-' issue rating on Italy-based ferry operator Moby
SpA on CreditWatch with negative implications.

S&P said, "The CreditWatch placement reflects the risk that we
could downgrade Moby because of a potential covenant breach on
Dec. 31, 2017 and in 2018. We expect Moby's 2017 EBITDA
generation to weaken due to increased fuel prices and higher-
than-expected costs related to the opening of new routes in
Sicily, France, and the Nordic region.

"As a result, we believe there is an elevated risk that Moby will
not comply with its semi-annual net leverage covenant test on its
senior secured banking facilities, absent any offsetting factors
such as timely asset sales. The covenant is set at 4.0x on Dec.
31, 2017. In addition, any default under the senior notes would
lead to an event of default on the EUR300 million senior secured
notes that contain cross-default clauses. We note that the
covenant compliance level tightens to 3.5x in Dec. 31, 2018,
which could provide further issues if Moby does not manage the
situation with its lenders.

"The current rating factors in our belief that Moby should be
able to take proactive measures to resolve this issue in the next
three months. We believe that Moby's leading position as a ferry
operator in the niche Italian market, well-recognized and long-
standing brand, and prospects for free operating cash flow
generation will support its chances to resolve this issue."

The rating is also under pressure from the uncertainty regarding
an investigation by the European Commission (EC). The Italian
government is contracted to pay annual subsidies amounting to
about EUR87 million for all of Tirrenia-CIN's and some of
Toremar's (Moby's wholly-owned subsidiary) loss-making routes, in
exchange for provision of services. However, the EC has
challenged this payment and may determine that it is an
unauthorized state intervention. The ongoing investigation also
encompasses other issues related to allegations that the
privatization of the Tirrenia-CIN business was conducted
unfairly. Depending on the outcome, this could result in a
liquidity shortfall for the company, which would also trigger a
downgrade.

S&P said, "We acknowledge that competition in Moby's core and new
routes, particularly in Sicily (a new route for the group) where
Moby competes with well-established player Grimaldi, will pose
challenges for Moby to improve EBITDA generation in the short
term. However, we consider execution risks for the new routes
have eased significantly, as initial start-up costs have been
paid. As a result, we expect a gradual improvement in
profitability as these new routes recover from this year's
losses. We expect Moby's slight improvement in profitability
combined with scheduled debt prepayments will support rating-
commensurate credit metrics in 2018."
S&P's base case assumes the following:

-- Sales growth of about 8% in full-year 2017 supported by the
    new routes, and sales growth of about 2%-3% in 2018, linked
    to S&P estimates of annual GDP and inflation growth rates for
    Italy and the eurozone.

-- Low inflation of its cost-base, because Moby has hedges on
    the vast majority of its bunker fuel volumes over 2018,
    although S&P notes that the group has no hedges in 2019.

-- S&P believes that the company will continue updating its
    hedging program. However, S&P acknowledges that an increase
    in fuel prices could make it more expensive to hedge going
    forward.

-- Annual capital expenditure (capex) of around EUR35 million in
    2018 to cover investments in fleet refitting and dry-docking.
    No dividend distribution.

-- State grants continuing in 2018 and 2019. S&P assumes that
    Moby could terminate the services or implement other
    efficiency measures to mitigate any potential changes to the
    system of state grants.

-- S&P estimates that about EUR95 million of the company's cash
    will be immediately accessible to repay debt in 2018. This
    amount corresponds to the first instalment of EUR55 million
    for the deferred payment to Tirrenia group (which was due in
    April 2016), and EUR40 million for the amortization of the
    secured term loan in February 2018.

Based on these assumptions, S&P arrives at the following credit
measures:

-- S&P Global Ratings-adjusted funds from operations to debt of
    about 10%-11% in 2017 and 13%-14% in 2018 (from about 15% in
    2016).

-- Adjusted debt to EBITDA of about 6.0x-6.5x in 2017 and 4.5x-
    5.0x in 2018, compared with about 4.4x in 2016.*

*S&P's adjusted calculation for debt to EBITDA is not consistent
with the bank's definition of net debt leverage used for the
purpose of covenant calculation. This is mainly due to its
standard operating lease and surplus cash adjustments to total
adjusted debt.

As a ferry operator with a fleet of 47 passenger and cargo
ferries and 17 tugboats, Moby predominantly serves routes between
continental Italy and Italian islands (as well as French island
Corsica). S&P said, "Our business assessment on Moby continues to
reflect the company's exposure to the cyclical transportation
industry and its narrow business scope compared with other global
ship operators and transport service providers. Furthermore, we
consider that Moby participates in a competitive market where
strategic pricing to maintain market share will continue
pressuring profitability."

S&P said, "As a seasonal business, Moby's revenues are highly
concentrated in Sardinian routes, some of which are not
profitable outside the tourist season, and we note that certain
routes never turn a profit. On top of its passenger ferry
operations, Moby generates about 30% of its total revenue from
cargo transportation, which we consider to have more stable
volume patterns throughout the year.

"Moby's leading position as a ferry operator in the niche Italian
market supports the rating, in our view. It has a well-recognized
and long-standing brand and has operated in the maritime industry
since the 18th century. Moby's relatively young and difficult-to-
replicate fleet of vessels are also a relative strength. We
consider the fundamentals of the ferry industry to be more
favorable than traditional cyclical transportation because demand
and pricing is generally more stable and capital intensity is
lower.

"The CreditWatch negative placement reflects that if Moby is
unable to remedy the potential covenant breach for the test in
Dec. 31, 2017, and if it does not reach an agreement with its
lenders to materially reduce the risk of a breach in 2018, we
will lower the rating on Moby. We could remove the CreditWatch
and affirm the rating if we saw an increase in the group's
covenant headroom cushion to at least 15%.

"We intend to resolve the CreditWatch once we gain more clarity
on the company's ability to remedy the potential covenant breach
in December 2017 and alleviate covenant pressure for 2018."


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


IC KAZKOMMERTS-POLICY: A.M. Best Affirms b+ Issuer Credit Rating
----------------------------------------------------------------
A.M. Best has affirmed the Financial Strength Rating of C++
(Marginal) and the Long-Term Issuer Credit Rating of "b+" of JSC
IC Kazkommerts-Policy (Kazkommerts-Policy) (Kazakhstan). The
outlook of these Credit Ratings (ratings) is stable. Kazkommerts-
Policy is a majority owned subsidiary of JSC Kazkommertsbank
(Kazkommertsbank), which in turn is owned by JSC Halyk Bank
(Halyk Bank), a leading retail bank in Kazakhstan.

The ratings reflect Kazkommerts-Policy's balance sheet strength,
which A.M. Best categorises as strong, as well as its marginal
operating performance, limited business profile and weak
enterprise risk management.

Kazkommerts-Policy's risk-adjusted capitalisation, as measured by
Best's Capital Adequacy Ratio (BCAR), is assessed as strongest.
However, balance sheet strength is affected negatively by the
company's high level of exposure to earthquake risk in
Kazakhstan, combined with its weak reinsurance protection against
catastrophe losses. Additionally, the company's investments are
exposed to high financial system risk in Kazakhstan, with
approximately 40% of its fixed income portfolio being non-
investment grade.

Operating performance has been profitable, albeit volatile, with
investment income usually making up for the shortfall in
underwriting performance. In 2016, the company reported an
underwriting profit for the first time in five years (2012-2016),
driven by reserve releases on its workers' compensation
portfolio. In the first nine months of 2017, based on the
national accounting standards, the insurer recorded a combined
ratio of 99%, with premium growth outpacing the cost of claims
and expenses. In A.M. Best's view, there is material uncertainty
regarding the sustainability of improved underwriting performance
over the longer term, given tough market conditions and the
company's still high, although somewhat improved, expense ratio
(2016: 69.5%; 2015: 78.1%).

Kazkommerts-Policy has continued to grow rapidly in 2017, with
net written premiums (NWP) forecast to be three times higher than
in 2014. Growth over this period was in part fuelled by the
company's merger with another Kazakh non-life insurer in 2015.
The company became the fourth-largest insurer in Kazakhstan's
non-life market in 2016, and has maintained this position (as
measured by gross written premiums) in the first nine months of
2017. However, there are concerns regarding the company's ability
to defend its leading market position due to the intense
competition in Kazakhstan's non-life market. The underwriting
portfolio has limited diversification by product and geography,
with 45% of NWP sourced from compulsory business lines in 2016,
which increases the company's exposure to regulatory risk.


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


DRYDEN 56 EURO CLO 2017: S&P Assigns B- Rating to Class F notes
--------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Dryden 56 Euro
CLO 2017 B.V.'s class A, B-1, B-2, C, D, E, and F notes. At the
same time, Dryden 56 Euro CLO 2017 issued unrated subordinated
notes.

The ratings assigned to Dryden 56 Euro CLO 2017's notes reflect
S&P's assessment of:

-- The diversified collateral pool, which consists primarily of
    broadly syndicated speculative-grade senior secured term
    loans and bonds that are governed by collateral quality
    tests.

-- The credit enhancement provided through the subordination of
    cash flows, excess spread, and overcollateralization.

-- The collateral manager's experienced team, which can affect
    the performance of the rated notes through collateral
    selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is bankruptcy
    remote.

S&P said, "We consider that the transaction's documented
counterparty replacement and remedy mechanisms adequately
mitigate its exposure to counterparty risk under our current
counterparty criteria.

"Following the application of our structured finance ratings
above the sovereign criteria, we consider the transaction's
exposure to country risk to be limited at the assigned rating
levels, as the exposure to individual sovereigns does not exceed
the diversification thresholds outlined in our criteria.

"The transaction's legal structure is bankruptcy remote, in line
with our legal criteria.

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

Dryden 56 Euro CLO 2017 is a European cash flow corporate loan
collateralized loan obligation (CLO) securitization of a
revolving pool, comprising euro-denominated senior secured loans
and bonds issued mainly by European borrowers. PGIM Ltd. is the
collateral manager.

RATINGS LIST

  Ratings Assigned

  Dryden 56 Euro CLO 2017 B.V.
  EUR619.95 Million Fixed- And Floating-Rate Notes (Including
  EUR63.85 Million Subordinated Notes)

  Class                   Rating          Amount
                                        (mil. EUR)

  A                       AAA (sf)        358.60
  B-1                     AA (sf)           9.10
  B-2                     AA (sf)          63.00
  C                       A (sf)           40.50
  D                       BBB (sf)         35.10
  E                       BB (sf)          25.60
  F                       B- (sf)          21.20
  Sub. notes              NR               63.85

  NR--Not rated. Sub.--Subordinated.


===========
N O R W A Y
===========


NJORD GAS: S&P Affirms 'BB+' Issue Rating on 3.798BB Sr. Bond
-------------------------------------------------------------
S&P Global Ratings affirmed its 'BB+' long-term issue ratings on
Norwegian krone (NOK)-equivalent 3.798 billion senior secured
bonds, issued by Norway-based Njord Gas Infrastructure AS (NGI).
The recovery rating remains unchanged at '1'. The outlook is
stable.

The affirmation reflects the stable and reliable operational
track record of Norway's gas transportation system and associated
processing facilities (Gassled), in which NGI has an 8% stake.
S&P  also takes into account the visibility on shippers' existing
bookings for the use of pipeline capacity and their "ship-or-pay"
obligation to pay the regulated tariffs.

S&P said, "Our analysis of NGI's operational and financial risks
is now based on the project's resilience under our downside
analysis. Owing to the tariff remuneration, which assumes
operating and capital expenditure overruns, NGI exhibits low
volatility between our base and downside case minimum forecasted
annual debt service coverage ratios (ADSCRs). Therefore, our
operations phase stand-alone credit profile (SACP) is based on
our assessment of NGI's ability to service debt under our
downside-case. This combines stressed system deliverability
assumptions, as per our ratings approach for oil and gas project
financings, with lower consumer price inflation than expected in
our base case and a reduction of future bookings.

"We expect NGI to withstand such downside assumptions, although
the projected ADSCR will likely continue to be volatile due to
the tax treatment of NGI's bonds denominated in foreign exchange
(FX) and the related hedges."

On its financial close, NGI executed three series of hedge
arrangements to swap all of its bond positions not denominated in
Norwegian krone into a NOK-denominated inflation-linked one.
While the arrangements hedge NGI's overall cash flow position,
they create an accounting and timing mismatch that creates
significant volatility on the timing of its annual tax payments.

NGI relies on its effective cash management in order to prefund
potentially sizable tax payments at the end of each year. NGI's
cash position allowed it to service the tax payment that came due
in early December 2017, which comprised NOK137 million due on
account of its FX-denominated liabilities. Nevertheless, this
payment tips our calculation of the project's historical ADSCR to
0.80x in March 2018. S&P expects that NGI will continue to
effectively manage its cash position to adequately address its
tax obligations. However, the reliance on NGI's cash
management -- rather than on dedicated reserves or contractual
mitigating factors -- represents a credit weakness relative to
other projects S&P rates.

S&P's assessment of NGI's 'bb+' operations phase SACP also
reflects its view of the complexity of operating an extensive
underwater pipeline network and associated facilities, its highly
leveraged financial profile as well as its exposure to volatile
annual tax payments.

The Gassled network has strategic importance and financial
significance to Norway, considering the volume of gas exports the
network enables and its direct tax benefit. Operations are
managed by an experienced state-owned servicer, Gassco, and
performance has been very strong over the past 13 years. System
deliverability (the proportion of available time the network is
operating, excluding scheduled maintenance) was 99.33% for the 12
months ended August 2017 and on average 99.60% over the past 13
years. The lowest annual deliverability was 98.70%, recorded in
2010.

Gassled -- and, in turn, NGI -- earns income from regulated
tariffs paid by gas shippers for the use of the pipeline system's
capacity. The tariff is not directly exposed to gas prices and
ensures NGI's recovery of operating and capital expenditures.
Additionally, the tariff remunerates NGI for its original
investment through a portion of the regulated revenue entitlement
known as the K-element. This is calculated based on a fixed
tariff per unit of capacity booked. S&P said, "We understand that
Gassled, and therefore NGI, has "take-or-pay" contracts in place
to underpin 88% of the K-element revenues projected between 2017
and 2028. Moreover, after the Norwegian Ministry of Petroleum and
Energy's (MPE's) June 2013 announcement of a significant
reduction in the K-element's tariffs applicable to bookings after
Oct. 1, 2016, the cash flow impact of any failure to secure new
bookings is marginal relative to those before October 2016. These
considerations, coupled with our expectations of growing gas
demand in Europe, lead us to view NGI's revenues as not exposed
to substantial volume and market risk."

NGI and three other co-owners of Gassled stakes continue to
pursue legal action against the Norwegian MPE, seeking to
overturn the June 2013 decision. Legal proceedings were initiated
in January 2014, and court hearings in Oslo City Court in April-
June 2015 put forward a verdict in favor of the MPE. In November
2015, the four companies appealed the decision. The Appeal Court
proceedings concluded in April 2017 and confirmed the verdict
from the Oslo City Court. NGI and the others further appealed the
case to the Supreme Court in September 2017. If the Supreme Court
hears the case, the verdict would likely be in the second or
third quarter of 2018.

S&P said, "The stable outlook reflects our view of the steady
operating environment for the Gassled network and NGI's reduced
volume risk following the significant reduction in tariffs for
future bookings. The stable outlook also reflects our expectation
that NGI will proactively manage its tax liabilities and cashflow
will continue to exhibit resilience under our downside scenario.

"We see limited rating upside at this stage due to volatility and
uncertainty of NGI's tax payments, for which there are no
contractual mitigants.

"We could take a negative rating action if NGI's financial
profile were to weaken further or if the project's cash and
liquidity position were to deteriorate. This could occur if taxes
were more volatile than what we currently anticipate."


NORSKE SKOGINDUSTRIER: Oslo Court Appoints Bankruptcy Trustee
-------------------------------------------------------------
Oslo Byfogdembete (Oslo Bankruptcy Court) has on December 19 and
December 20, 2017, appointed lawyer Tom Hugo Ottesen as
bankruptcy trustee for the following companies:

     -- Norske Skogindustrier ASA
     -- Norske Treindustrier AS
     -- Norske Skog Holding AS
     -- Lysaker Invest AS
     -- Norske Skog Eiendom AS

In addition to the bankruptcy filing of Norske Skogindustrier ASA
on December 19, 2017, the board of directors of Norske
Treindustrier AS, Lysaker Invest AS, Norske Skog Eiendom AS and
Norske Skog Holding AS have filed for bankruptcy at
Oslo Byfogdembete (Oslo bankruptcy court) today, Wednesday
December 20, 2017.

The deadline for claims to the bankruptcy trustee is set to
January 23, 2018.

Questions concerning the bankruptcy process and the bankruptcy
estate must be addressed to the trustee:

          Attorney Tom Hugo Ottesen
          Kvale advokatfirma DA
          Office Address: Haakon VIIs Street 10, Oslo
          Postal Address: Kvale Advokatfirma DA, PO Box 1752
          Vika, 0122 OSLO, Norway
          Phone: +47 22 47 97 00
          Fax: +47 21 05 85 85

Questions to the estate should primarily be addressed via the
following e-mail address if possible: post@kvale.no

The group's operational activities will continue in Norske Skog
AS as normal with as little impact as possible from the
bankruptcy proceedings of the companies.  The non-listed Norske
Skog AS will be the new operating parent company of the Norske
Skog group, and will continue the head office function
that has been performed by Norske Skogindustrier ASA.

                       About Norske Skog

Norske Skogindustrier ASA or Norske Skog, which translates as
Norwegian Forest Industries, is a Norwegian pulp and paper
company based in Oslo, Norway and established in 1962.

                           *   *   *

As reported by the Troubled Company Reporter-Europe on December
5, 2017, S&P Global Ratings said it has revised its long- and
short-term corporate credit ratings on Norske Skogindustrier ASA
(Norske Skog) and its core rated subsidiaries to 'D' (default)
from 'SD' (selective default) as the issuer has now defaulted on
all of its notes.

S&P said, "At the same time, we lowered our issue rating on the
unsecured notes due in 2033 and issued by Norske Skog Holding AS
to 'D' from 'C'. We also removed the issue ratings from
CreditWatch with negative implications, where we had placed them
on June 6, 2017.

"We also affirmed our 'D' ratings on the senior secured notes due
in 2019, and the unsecured notes due in 2021, 2023, and 2026."

The downgrade follows the nonpayment of the cash coupon due on
Norske Skog's unsecured notes due in 2033 before the expiry of
the grace period on Nov. 15, 2017.

The 'D' ratings on the secured notes due 2019, and the unsecured
notes due in 2021, 2023, 2026, and 2033, reflect the nonpayment
of interest payments beyond any contractual grace periods, which
S&P considers a default.

The TCR-Europe reported on July 24, 2017 that Moody's Investors
Service downgraded the probability of default rating (PDR) of
Norske Skogindustrier ASA (Norske Skog) to Ca-PD/LD from Caa3-PD.
Concurrently, Moody's has affirmed Norske Skog's corporate family
rating (CFR) of Caa3.  In addition, Moody's also affirmed the C
rating of Norske Skog's global notes due 2026 and 2033 and its
perpetual notes due 2115, the Caa2 rating of the senior secured
notes issued by Norske Skog AS and downgraded the rating of the
global notes due 2021 and 2023 issued by Norske Skog Holdings AS
to Ca from Caa3.  The outlook on the ratings remains stable.  The
downgrade of the PDR to Ca-PD/LD from Caa3-PD reflects the fact
that Norske Skog did not pay the interest payment on its senior
secured notes issued by Norske Skog AS, even after the 30 day
grace period had elapsed on July 15.  This constitutes an event
of default based on Moody's definition, in spite of the existence
of a standstill agreement with the debt holders securing that an
enforcement will not be made under the secured notes due to non-
payment of interest.  In addition, the likelihood of further
events of defaults in the next 12-18 months remains fairly high,
as the company is also amidst discussions around an exchange
offer that would most likely involve equitisation of debt, which
the rating agency would most likely view as a distressed
exchange.


===========
P O L A N D
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CYFROWY POLSAT: S&P Alters Outlook to Stable, Affirms 'BB+' CCR
---------------------------------------------------------------
S&P Global Ratings revised its outlook to stable from positive on
Polish telecom and media group Cyfrowy Polsat S.A. S&P affirmed
the 'BB+' corporate credit rating.

On Dec. 4, 2017, Cyfrowy announced its acquisition of a 32% stake
in Polish telecom company Netia for Polish zloty (PLN) 638.8
million (around US$180 million) with an intention to increase the
stake to 66% through a tender offer in first-quarter 2018.
Cyfrowy also announced its purchase of a number of local TV
channels for PLN103 million. S&P said, "Our outlook revision
reflects our view that, although Cyfrowy will continue to
deleverage, it will do so at a slower pace than we had previously
expected because of the impact of these acquisitions. Pro forma
the acquisitions, which will be funded with a mix of cash and
utilization of an existing revolving credit facility (RCF), we
project that Cyfrowy's S&P Global Ratings-adjusted debt to EBITDA
will decline below 3.0x in 2019 at the earliest, from 3.3x at
end-2016. Prior to the acquisition announcement, we expected that
Cyfrowy's leverage would be sustainably below 3.0x by end-2018.
In addition, the outlook revision factors in the medium-term risk
that the company will acquire the remaining 34% stake in Netia."

S&P said, "The outlook revision also reflects our expectation
that Cyfrowy will report somewhat weaker performance in 2018,
mostly because of the "Roam Like at Home" regulation introduced
in June 2017, which further slows its deleveraging pace. We take
into account that, in third-quarter 2017, the roaming margin
decreased by PLN62 million due to the combination of lower
revenues and higher wholesale costs paid to foreign networks. The
latter was one of the key drivers of an 11% year-on-year (yoy)
decline of the EBITDA margin over the same period--from PLN957
million (40% reported margin) to PLN851 million (36%).

"We expect that the Netia deal will enable Cyfrowy to expand
further its network reach and increase its ability to upsell to
around 1 million new business-to-consumer customers and about
25,000 of Netia's business-to-business (B2B) customers outside of
rural and suburban areas and small towns, where Cyfrowy currently
has a strong market presence. We factor in that the Netia
acquisition will secure access to the fiber infrastructure of
around 20,000 kilometers covering 48 Polish cities. As Netia has
an existing access network in about 800 major office buildings in
Poland, management expects to be able to provide fully convergent
B2B offer with limited incremental capital expenditures (capex)
for last-mile fixed line access. We also think the acquisition
should add value to Cyfrowy's cost structure, since it will
provide access to backbone that Cyfrowy currently leases from
other carriers.

"At the same time, we think the acquisition entails the challenge
of turning around Netia's operating performance, which has
suffered from a decline in revenues and EBITDA due primarily to a
weakening of the voice segment. In the first nine months of 2017,
Netia's revenues were down by 5.9% yoy to PLN1.082 billion, and
its adjusted reported EBITDA decreased by 11.0% yoy to PLN297
million, translating into margin decline from 29.0% to 27.4%.
In our view, Cyfrowy's acquisition of TV channels will further
strengthen its position as the dominant Polish private TV
broadcaster, since the acquired channels had a solid market
presence and a total viewership of around 3% in the commercial
group during the first 10 months of this year, as per the
company's estimates. Cyfrowy's viewership was 24.4% of the
audience in third-quarter 2017 and 24.5% in the first nine months
of 2017 (compared with 24.5% in first-quarter 2016 and 24.7% for
the first nine months of 2016)."

Cyfrowy expects these acquisitions will usher in significant
synergies of about PLN800 million in 2019-2023, including around
PLN550 million of consolidated EBITDA. Cyfrowy believes the
revenue synergies will stem from further expansion of the
company's multiplay offer, with fiber to the home (FTTH)/data
over cable service interface specification (DOCSIS)-based
products, cross-selling opportunities, and use of Cyfrowy's
extensive distribution network. S&P said, "We also assume cost
efficiencies thanks to the elimination of overlaps, larger scales
of economy, joint marketing efforts, and lower costs to external
carriers.

Nevertheless, we understand that these synergies will be
backloaded and will depend on the successful integration of Netia
through 2019. That said, we acknowledge that Cyfrowy's
integration of Polkomtel, which it acquired in 2014, went
smoothly."

S&P said, "The stable outlook reflects our expectation that
Cyfrowy's adjusted debt to EBITDA will remain at 3.0x-3.5x in
2017-2018 and decrease gradually thereafter. It also reflects our
expectation of a smooth integration of Netia and that the company
is proactively working on refinancing its senior facility
agreement due in 2020.

"Although the probability of a positive rating action over the
next 12 months is low, we may raise the rating to 'BBB-' if the
company significantly overperforms our base-case projections,
thereby reducing its adjusted debt to EBITDA to sustainably below
3.0x. An upgrade would also be subject to stabilization of
Cyfrowy's revenues and EBITDA, supported by the successful
integration of Netia.

"We currently see a downgrade as remote due to the company's
solid free operating cash flow generation, which should more than
offset any potential operating pressures. We could lower the
rating if weaker-than-expected operating performance, as a result
of fiercer-than-currently-anticipated competition, as well as
lower synergies from the integration of Netia, push leverage to
sustainably above 3.5x. Ratings downside could also result from
heightening refinancing risk due to untimely refinancing of the
SFA, although we see it as unlikely."


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


HEFESTO STC: Moody's Assigns Caa3 Rating to Class B Notes
---------------------------------------------------------
Moody's Investors Service has assigned definitive long-term
credit ratings to the following notes issued by Hefesto, STC,
S.A.:

-- EUR123,000,000 Class A Asset Backed Floating Rate Notes due
    November 2037, Definitive Rating Assigned Baa3 (sf)

-- EUR19,500,000 Class B Asset Backed Floating Rate Notes due
    November 2037, Definitive Rating Assigned Caa3 (sf)

Moody's has not assigned any rating to EUR29,548,000 Class J
Asset Backed Variable Return Notes due November 2037 and
EUR4,275,000 Class R Notes due November 2037.

This is the first transaction backed by non-performing loans
"NPLs" rated by Moody's with loans originated by a Portuguese
bank (Caixa Economica Montepio Geral, Caixa Economica Bancaria,
S.A. ("CEMG") ((P)B3 LT Senior Unsecured / B3 LT Bank Deposit /
B1 (cr)). The assets supporting the notes are NPLs with a gross
book value (GBV) of EUR580.6 million. The total issuance of Class
A, Class B and Class J Notes is equal to EUR172.0 million, 29.6%
of the GBV. The NPLs consist of defaulted mortgage loans, equal
to EUR271.2 million, which are backed by residential and/or
commercial properties located in Portugal. The mortgage loans
were extended both to individuals as well as companies. Of the
EUR271.2 million GBV of the defaulted mortgage loans, EUR63.6
million are backed by mortgages that are of a second or lower
ranking lien. The pool further contains unsecured defaulted
loans, for an amount equal to around EUR309.4 million, extended
to individuals, as well as companies.

The secured portfolio will be serviced by Whitestar Asset
Solutions, S.A. ("Whitestar", NR) and the unsecured portfolio
will be serviced by HG PT, Unipessoal, Lda. ("Hipoges", NR) in
their role as special servicers. The servicing activities
performed by both servicers are monitored by the monitoring
agent.

EAM -- Evora Asset Management, S.A. (NR) has been appointed as
asset manager at closing. The asset manager will be a limited
liability company with the exclusive purpose of managing and
promoting the disposal of the properties to third parties from
enforcement on the mortgage loans. The asset manager will not
benefit from the statutory segregation and the privileged credit
entitlement foreseen in the Portuguese Securitisation Law.
However, a number of contractual mechanisms have been put in
place to mitigate the risk of the asset manager's insolvency and
mitigate the risk of third party claims being made against the
asset manager.

RATINGS RATIONALE

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

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

Collection Estimates: The key drivers for the estimates of the
collections and their timing are: (i) the historical data
received from the special servicers, which shows the historical
recovery rates and timing of the collections for secured and
unsecured loans; (ii) the portfolio characteristics and (iii)
benchmarking with comparable EMEA NPL transactions.

Portfolio is split: (i) 34.9% in terms of GBV of the defaulted
borrowers are individuals, while the remaining 65.1% are
companies; (ii) loans representing around 53.3% of the GBV are
unsecured loans, while the remaining 46.7% of the GBV are secured
loans whereof about 11.0% in terms of GBV are secured with a
second or lower ranking lien; (iii) of the secured loans, 74% are
backed by residential properties, and the remaining 26% by
different types of non-residential properties.

Hedging: As the collections from the pool are not directly linked
to a floating interest rate, a higher index payable on the notes
would not be offset with higher collections from the pool. The
transaction therefore benefits from an interest rate cap, linked
to six-month EURIBOR, with J.P. Morgan AG (Aa2(cr)/P-1(cr)) as
cap counterparty. The cap will have a strike of 0.50%. The
interest rate cap will terminate in May 2030.

Transaction Structure: The transaction benefits from an
amortising liquidity reserve equal to around 3.0% of the rated
notes balance (equivalent to EUR4.275 million initially), which
will be funded through a Note R retained by the seller. However,
Moody's notes that the cash reserve is not available to cover
Class B notes' interest and that unpaid interest on Class B notes
is deferrable and accruing interest on interest. Additional
secured and unsecured expense accounts will be opened in the name
of the issuer and the amounts standing to the credit of these
accounts will be available to cover senior costs and expenses
relating to the secured and unsecured loans, respectively. At
closing, these accounts will be funded at EUR3 million and
EUR0.28 million, respectively.

Servicing Disruption Risk: Moody's has reviewed procedures and
practices of Whitestar and Hipoges and found these parties
acceptable in the role of special servicers. The monitoring agent
will help the issuer to replace the servicer(s) in case the
servicing agreement with either Whitestar or Hipoges is
terminated. The reserve fund together with the expenses accounts
should be sufficient to pay around 12 months of interest on the
Class A notes and items senior thereto, calculated at the strike
price for the cap. The limited liquidity in conjunction with the
lack of a back-up servicer means that continuity of note payments
is not ensured in case of servicer disruption. This risk is
commensurate with the rating assigned to the most senior note.

True Sale and Transfer of Security: the assignment of the secured
loans can only be deemed effective against third parties
following registration of such assignment on behalf of the issuer
and the asset manager. Registration will allow the issuer and the
asset manager to request the substitution of CEMG as creditor in
the proceedings. Once the registration is completed the
assignment is valid from the date the application of registration
was accepted. Moody's has received confirmation from Whitestar
that the all the registration of the mortgage assignment from
CEMG (the seller) to Hefesto, STC, S.A. (the issuer) were
requested and accepted before the Real Estate Registry.

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

Moody's Parameter Sensitivities: The model output indicates that
if price volatility were to be increased to 11.52% from 9.60% for
residential properties and to 14.40% from 12.00% for commercial
properties and it would take an additional 18 months to go
through the foreclosure process the Class A notes rating would
move to Ba1 (sf) assuming that all other factors remained
unchanged. Moody's Parameter Sensitivities provide a
quantitative/model-indicated calculation of the number of rating
notches that a Moody's structured finance security may vary if
certain input parameters used in the initial rating process
differed. The analysis assumes that the deal has not aged and it
is not intended to measure how the rating of the security might
migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were
varied. Parameter Sensitivities for the typical EMEA ABS
transaction are calculated by stressing key variable inputs in
Moody's primary rating model.

METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating Securitisations Backed by Non-Performing and
Re-Performing Loans" published in August 2016.

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

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

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


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


PROMSVYAZBANK: Moody's Confirms B2 LT Sr. Unsecured Debt Rating
---------------------------------------------------------------
Moody's Investors Service has confirmed B2 the long-term foreign
and local-currency senior unsecured debt and deposit ratings of
Promsvyazbank. Concurrently, Moody's downgraded the bank's
baseline credit assessment (BCA) and adjusted BCA to ca from caa1
and foreign-currency subordinated debt ratings to C from Caa2 and
to C(hyb) from Caa3(hyb).

Moody's has affirmed Promsvyazbank's short-term deposit rating of
Not Prime and the short-term CRA rating of Not Prime(cr).

At the same time Moody's downgraded to Ca from Caa1 the long term
local- and foreign-currency issuer ratings and affirmed the Not
Prime short-term local- and foreign-currency issuer ratings of
Promsvyaz Capital B.V. (Promsvyaz Capital), a Netherlands-based
non-operational holding company with a main focus on the Russian
banking sector, and which holds a 50.03% equity stake in
Promsvyazbank.

All long-term senior unsecured debt and deposit ratings of
Promsvyazbank and issuer ratings of Promsvyaz Capital now carry a
developing outlook.

RATINGS RATIONALE

The rating action follows the Central Bank of Russia's (CBR)
announcement on 15 December 2017 that it had taken Promsvyazbank
under temporary administration and will act as a key investor in
the bank via the country's Banking Sector Consolidation Fund
(BSCF). The CBR has said that it would not impose a payment
moratorium on creditors' claims and would provide financial
support to guarantee the continuity of the bank's operations due
to its systemic importance. The CBR's action indicates that the
support it will provide is necessary for the bank to remain a
going concern and avoid default. This is consistent with a BCA of
ca, indicating the bank's failure to continue its operations on a
standalone basis.

The CBR and BSCF have appointed a provisional administration to
provide them with operational control over Promsvyazbank and
conduct their due diligence of the bank over the coming months.
Moody's expects that the central bank's due diligence will likely
lead to significant losses and consequent reduction in
Promsvyazbank's capital. This will trigger the write-off or
conversion of subordinated debt and hybrid subordinated debt into
equity, resulting in limited recovery for these bondholders,
reflected in the downgrade of the ratings to C and C(hyb),
respectively.

Promsvyazbank has reported persistently weak solvency metrics,
including its large stock of impaired assets, modest
profitability and a weak capital position.

Problem loans, which include impaired corporate and non-
performing retail loans, accounted for around 19% of gross loans
as at 30 September 2017. At the same time, problem loans coverage
by Loan Loss Reserves remained at a low level of 45%.

As of November 1, 2017, Promsvyazvbank reported its regulatory
common equity tier 1 (CET1) ratio (N1.1) of 6.58%, facing an
increase its CET1 requirement to above 7.025% from 1 January 2018
and to above 8% from 1 January 2019. Its regulatory tier 1
capital of RUB 107 billion, reported at the end of October, will
not be sufficient to absorb losses driven by additional
provisioning requirements. According to the CBR's preliminary
estimation, Promsvyazbank will require RUB 100-200 billion
additional capital increase as part of a bailout plan.

GOVERNMENT SUPPORT

Moody's has revised the probability of government support for
Promsvyazbank's senior creditors to very high from high, and now
incorporates five notches of uplift within the long-term senior
unsecured and deposit ratings of B2. This reflects Moody's
expectation that the bank will receive a very high level of
support from the CBR via BSCF.

The long-term CRA of B1(cr) also reflects this very high
likelihood of support, taking into account the CBR's statement
that Promsvyazbank will continue its normal operation and provide
services to its clients. Moody's does not expect this support to
extend to subordinated liabilities, however, which are notched
down from the adjusted BCA and positioned at C/C(hyb).

PROMSVYAZ CAPITAL B.V.

The downgrade of Promsvyaz Capital's issuer ratings to Ca from
Caa1 follows Moody's downgrade of Promsvyazbank's BCA and
reflects Promsvyaz Capital's status as a bank holding company and
is driven by the weighted average standalone credit profiles of
its Russian banking subsidiaries Promsvyazbank and Vozrozhdenie
Bank.

The Ca ratings of the holding company also reflect the structural
subordination of the holding company creditors relative to the
creditors of its operating subsidiaries and also reflects
potentially high losses given the holding company's high exposure
to Promsvyazbank's equity.

This rating approach is in line with the rating agency's notching
practice for holding companies, as described in Moody's Banks
methodology. According to the CBR, a financial assessment and the
recapitalization of Promsvyazbank will likely be completed within
three months and Moody's expects Promsvyaz Capital to write off
its investments in Promsvyazbank.

The CBR also indicated that Promsvyaz Capital will need to reduce
its equity stake in Vozrozhdenie Bank to at least 10% from
current 52.7% which will result in Vozrozhdenie Bank's
deconsolidation.

RATIONALE FOR DEVELOPING OUTLOOK

The developing outlook reflects the both upward and downward
ratings pressures on Promsvyazbank's ratings as the CBR and BCSF
conduct their due diligence and likely restructuring of
Promsvyazbank. To the extent this leads to a recapitalisation and
be positive for senior creditors. If the CBR were to reconsider
its supportive stance, this would be negative for the bank.

WHAT COULD MOVE THE RATINGS DOWN/UP

The bank's long-term senior debt and deposit ratings could be
upgraded if the bank's solvency profile were to return to
adequate and sustainable level. The bank's ratings could be
downgraded, however, if the likelihood of a moratorium, bail-in,
distressed exchange or liquidation were to increase.

LIST OF AFFECTED RATINGS

Issuer: Promsvyazbank

Downgrades:

-- Subordinate, Downgraded to C from Caa2

-- Subordinate, Downgraded to C(hyb) from Caa3(hyb)

-- Subordinate MTN Program, Downgraded to (P)C from (P)Caa2

-- Adjusted Baseline Credit Assessment, Downgraded to ca from
    caa1

-- Baseline Credit Assessment, Downgraded to ca from caa1

Confirmations:

-- LT Bank Deposits, Confirmed at B2, Outlook Changed To
    Developing From Rating Under Review

-- Senior Unsecured Regular Bond/Debenture, Confirmed at B2,
    Outlook Changed To Developing From Rating Under Review

-- Senior Unsecured MTN Program, Confirmed at (P)B2

-- LT Counterparty Risk Assessment, Confirmed at B1(cr)

Affirmations:

-- ST Bank Deposits, Affirmed NP

-- Other Short Term Program, Affirmed (P)NP

-- ST Counterparty Risk Assessment, Affirmed NP(cr)

Outlook Actions:

-- Outlook, Changed To Developing From Rating Under Review

Issuer: Promsvyaz Capital B.V.

Downgrades:

-- LT Issuer Rating, Downgraded to Ca from Caa1, Outlook,
Changed
    To Developing From Rating Under Review

Affirmations:

-- ST Issuer Rating, Affirmed NP

Outlook Actions:

-- Outlook, Changed To Developing From Rating Under Review

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
published in September 2017.


SISTEMA PUBLIC: Fitch May Cut BB- Ratings on Litigation Payment
---------------------------------------------------------------
Fitch Ratings says that Sistema Public Joint Stock Financial
Corporation's 'BB-' ratings, which are on Ratings Watch Negative
(RWN), may be downgraded following the arbitrage court's decision
that Sistema must pay RUB136 billion of damages to two Russian
oil companies. The payment would lead to a spike in leverage at
holding company level significantly above the downgrade
threshold.

Sistema intends to satisfy the claims in full in line with the
court's requirement while at the same time appealing the decision
in the court of cassation. The latter may freeze the payment
order, in which case the rating action would be pending a final
resolution of the case.

Sistema lost its appeal against the arbitrage court's judgement
that it must pay Russian oil companies Rosneft and Bashneft
RUB136 billion in relation to damages allegedly suffered by
Bashneft as a result of its reorganisation in 2014.

The amount of settlement is high compared to total debt at
holding company level of RUB149.1 billion at end-3Q17. The
increase in debt would drive leverage significantly above Fitch's
downgrade threshold of 4.5x net debt including off-balance-sheet
liabilities to normalised dividends (from 3.4x in 2016) and lead
to a negative rating action.

Fitch aims to take a decision on the ratings once the agency has
more clarity on how Sistema aims to satisfy the claim and manage
its capital structure in the medium term. Sistema's credit
profile is primarily shaped by the company's ability to control
cash flows and upstream dividends from PJSC Mobile Telesystems
(MTS; BB+/RWN) and other subsidiaries. The outcome for the
ratings therefore depends on the company's plan for leverage
reduction, which is likely to include a disposal of certain
assets, in its view.

A downgrade of Sistema's ratings would be likely to have a
negative impact on MTS' ratings. Under Fitch's methodology, a
subsidiary can generally be rated a maximum of two notches above
its parent in the presence of weak parent/subsidiary links.

Further negative rating pressure for Sistema and MTS may come
from another lawsuit for RUB132 billion brought by Rosneft and
Bashneft against Sistema. The oil companies are demanding
compensation for dividends that Bashneft paid to Sistema in 2009-
2013.

Fitch placed Sistema's ratings on RWN on June 28, 2017 following
a Russian court injunction to freeze significant Sistema assets,
including its 31.76% stake in MTS, in relation to claims filed by
Rosneft against Sistema.


STATE TRANSPORT: Fitch Affirms BB Long-Term IDR, Outlook Positive
-----------------------------------------------------------------
Fitch Ratings has affirmed the Long-Term Issuer-Default Ratings
(IDRs) of PJSC State Transport Leasing Company (STLC) and JSC
Rosagroleasing (RAL) at 'BB'. The Outlook on STLC's ratings has
been revised to Positive from Stable. The Outlook on RAL is
Stable.

KEY RATING DRIVERS
IDRS, SUPPORT RATINGS, SUPPORT RATING FLOORS

The companies' ratings are driven by the moderate probability of
support from the Russian sovereign (BBB-/Positive). In assessing
support, Fitch views positively: (i) both companies' 100% state
ownership; (ii) the track record of past equity injections (more
recently, at STLC); (iii) the low cost of potential support given
the companies' small size and low leverage (especially at RAL);
and (iv) the companies' policy roles (albeit somewhat limited) in
the execution of state programmes to support the transportation
(STLC) and agricultural (RAL) sectors.

At the same time, the two-notch difference between the companies'
Long-Term IDRs and those of the Russian sovereign reflects STLC's
and RAL's lower systemic importance and policy roles compared
with large state banks, specifically Vnesheconombank (BBB-) and
Russian Agricultural Bank (BB+). For RAL, it also factors in
potentially weaker support propensity given the company's weak
performance and previous corporate governance failings leading to
large credit losses, as well as potential further problems, which
may require extra provisioning.

The revision of the Outlooks on STLC's Long-Term IDRs reflects
Fitch's expectation of a strengthening of the government's
ability to provide support, as reflected in the Positive Outlook
on the sovereign ratings.

The Stable Outlook on RAL reflects the limited potential for an
upgrade, even in case of an upgrade of the sovereign rating,
given its limited policy role.

STLC'S IDRS AND SENIOR DEBT

STLC is one of the largest Russian leasing companies by total
outstanding lease portfolio and volume of new business. It has
been under the direct oversight of the Ministry of Transport
since 2009. STLC's participation in state programmes for the
development of the Russian transportation industry was extended
to several new areas in 2016.

Existing programmes (the major one is providing lease financing
for the Russian-built Sukhoi Superjet 100 aircraft) continue to
be implemented, and STLC anticipates receiving further equity
injections of up to RUB49 billion by end-2018 to support these
(including RUB25 billion related to Sukhoi Superjet).

Fitch views STLC's intrinsic creditworthiness as modest given the
company's asset quality deficiencies, large balance sheet
concentrations, considerable exposure to residual value risk,
limited liquidity of the company's assets and only break-even
profitability to date. However, the standalone credit profile is
underpinned by a comfortable capital position and a track record
of market access.

STLC's lease book is concentrated, which is typical for Russian
state-owned leasing companies. At end-1H17, the largest exposure
(22% of total earning assets) was represented by operating lease
contracts with a Russian airline, and the second-largest exposure
(12% of earning assets at end-1H17, but may slightly increase to
14% by end-2017) is relatively new and was represented by finance
lease contracts for innovative rail wagons. Neither of these
exposures provide for upfront payments, and thus bear high
residual value risk.

Problem exposures (net investments in lease and other receivables
on terminated contracts overdue by 90+ days plus foreclosed
assets) have been stable since the last review in May 2017 and
were a moderate 5% of total earning assets at end-1H17.

STLC's financial leverage (debt/equity) has been comfortable at
around 3x since end-2015, helped by several equity injections in
2015-2017. Management expects annual growth of around 20%-30% in
2017-2020, which could increase leverage to a still reasonable
4x, given the planned equity injections to support this.

During 2018, STLC has RUB35 billion of maturing debt principal
(including RUB4 billion of put options on local bonds), which
equalled 15% of total liabilities at end-3Q17, and will also need
to pay RUB16 billion of interest. In addition to servicing and
refinancing outstanding debt, STLC would need to attract at least
RUB40 billion of new funding to maintain anticipated annual
growth of 20%, Fitch estimates. STLC's available liquidity buffer
at end-3Q17 was a moderate RUB18 billion, although proceeds from
outstanding lease contracts of RUB40 billion in 2018 (net of VAT)
could also be used to repay funding, if needed. Fitch views
STLC's plans to refinance maturing facilities and raise new
funding as feasible due to the company's track record in market
access and close ties with Russian state banks.

STLC's rouble-denominated senior unsecured debt ratings are
aligned with the company's Long-Term Local-Currency IDR. The US
dollar-denominated notes issued by its Ireland-based subsidiary
GTLK Europe DAC are rated in line with STLC's Foreign-Currency
IDR as they benefit from an unconditional and irrevocable
guarantee from STLC.

RAL'S IDRS

RAL focuses on subsidised directed leases to customers from the
agricultural sector. Leases under the government sector support
programme dominate the portfolio (98% of net investments in lease
(NIL) before reserves at end-2016, the date of the latest IFRS
accounts), and are generally funded by state capital injections.
This book has been stable in recent years, as the company is
using proceeds from lease repayments for issuance of new leases,
while the commercial book (and hence lending from third parties)
has been gradually amortising (now accounting for just 2% of NIL)
and RAL does not intend to increase it.

RAL operates in a segment with high operational and market risks.
Governance failings under previous management prior to 2010 also
weigh on asset quality metrics (76% of credit reserves have been
made against legacy leases). The company does not write off
problem assets and their share was a high 31% of end-2016 NIL;
reserves were equal to 13% of NIL. In addition, RUB36 billion of
other assets were problematic (these include trade and other
receivables, largely for livestock and advances paid) but these
were sufficiently reserved (82%). Total unreserved problematic
assets amounted to RUB15 billion or 28% of RAL's Fitch Core
Capital.

Given the company's low leverage (debt-to equity ratio of 10% at
end-2016), it has the capacity to comfortably reserve problem
assets. However, the newly issued leases may be a source of
additional risks.

RAL expects no capital contributions in 2018 and has no growth
plans as the company will rely on reinvesting proceeds from the
existing lease portfolio. RAL is included in the state programme
of agricultural development for 2013-2020, but the absolute
volume of its operations and participation is limited, and any
expansion of new originations will depend on capital injections.

RAL's borrowings (RUB5.1 billion at end-2016, all loans from
banks) were equal to a small 8% of total assets, meaning only
limited refinancing and liquidity risk. Russian state-owned banks
accounted for 98% of this funding. RAL's borrowings are all
secured, mainly by the company's deposits in banks, but also by
lease receivables.

RATING SENSITIVITIES

STLC's Long-Term IDRs could be upgraded if Russia's sovereign
ratings are upgraded. The ratings could be affirmed if the
Outlook on Russia's ratings was revised to Stable.

In addition, more significant policy roles for STLC and RAL with
respect to implementation of state programmes to support the
Russian transportation and agricultural sectors, underpinned by
sufficient capital provided by the authorities, could be positive
for the ratings.

Conversely, a diminishing of the companies' policy roles or a
sharp increase in leverage as a result of attraction of market
funding could result in a downgrade.

The rating actions are as follows:

PJSC State Transport Leasing Company
Long-Term Foreign- and Local-Currency IDRs: affirmed at 'BB',
Outlooks revised to Positive from Stable
Short-Term Foreign-Currency IDR: affirmed at 'B'
Support Rating: affirmed at '3'
Support Rating Floor: affirmed at 'BB'
Senior unsecured debt rating: affirmed at 'BB'

GTLK Europe DAC
Guaranteed notes long-term rating: affirmed at 'BB'

JSC Rosagroleasing
Long-Term Foreign-Currency IDR: affirmed at 'BB'; Outlook Stable
Short-Term Foreign-Currency IDR: affirmed at 'B'
Support Rating: affirmed at '3'
Support Rating Floor: affirmed at 'BB'


===========
T U R K E Y
===========


TURKEY: DBRS to Withdraw BB Issuer Rating for Business Reasons
--------------------------------------------------------------
DBRS, Inc. announced that it will discontinue and withdraw the
ratings on the Republic of Turkey after a 30-day waiting period
for business reasons. The advance notice is provided to the
market to permit investor feedback to DBRS and for the benefit of
the users of DBRS ratings and research. DBRS may elect to
continue coverage based on investor feedback. DBRS will maintain
coverage on Turkey until the withdrawal.

The ratings of the Republic of Turkey to be withdrawn are listed
below:

Long-Term Local Currency - Issuer Rating, rated BBB (low),
Negative trend

Long-Term Foreign Currency - Issuer Rating, rated BB (high),
Negative trend

Short-Term Local Currency - Issuer Rating, rated R-2 (middle),
Negative trend

Short-Term Foreign Currency - Issuer Rating, rated R-3, Negative
trend


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


AMBRIAN PLC: Put Into Administration, Share Trading Suspended
-------------------------------------------------------------
Ambrian plc ("Ambrian" or the "Company" or, together with its
subsidiaries, the "Group") on Dec. 22 provided an update on the
current financial position of the Company.

As previously announced, the Company has been engaged in
discussions with a number of counterparties in an effort to
secure short-term, external financing to ensure the Company could
continue to meet its obligations as they fall due.  The Board has
also been in discussions to defer the payment of interest on the
Convertible Loan Notes issued by the Company on October 16, 2015,
the principal terms of which were announced on September 30, 2015
(the "Convertible Loan Notes"), with such interest currently
scheduled to be paid at the end of December 2017.

As at the date of this announcement, no offer of financing has
been made or is reasonably believed to be imminently forthcoming
and the Board has been unable to secure the agreement of a
sufficient percentage of the holders of the Convertible Loan
Notes to enable it to defer the scheduled interest payment.

It is therefore with great regret that the Board of the Company
has resolved to put the company into administration and to
appoint Matthew Richards -- matthew.e.richards@uk.gt.com -- and
David Dunckley -- david.dunckley@uk.gt.com -- of Grant Thornton
LLP as joint administrators of the Company as soon as
practicable.

As a result, the Company has requested that trading of its shares
on AIM be suspended from 11:40 a.m. on December 22, 2017.

The Company will make further announcements in due course.

Headquartered in London, United Kingdom, Ambrian plc is active in
sourcing and supplying a range of industrial metals and minerals
to end users worldwide.


CARILLION PLC: Lenders Defer Test Date for Financial Covenants
--------------------------------------------------------------
Jack Torrance at The Telegraph reports that troubled outsourcer
Carillion has secured some breathing space from its lenders,
which have agreed to push back the test date for its financial
covenants.

The contractor, which has worked on London's Crossrail and the
conversion of Battersea Power Station, has been in trouble since
July, when news of an GBP845 million writedown and the departure
of chief executive Richard Howson knocked 70% off its share
price, The Telegraph relates.

Its shares dropped again last month after it warned it was set to
breach its banking covenants because of poor performance pushing
up its net debt, The Telegraph recounts.

But on Dec. 21 Carillion, as cited by The Telegraph, said its
lenders had agreed to defer the test date for those covenants to
April 30, giving it extra time to get its finances in order.

Carillion plc is a British multinational facilities management
and construction services company headquartered in Wolverhampton,
United Kingdom.


ENTERTAINMENT ONE: S&P Affirms 'B+' CCR, Outlook Stable
-------------------------------------------------------
S&P Global Ratings said that it affirmed its 'B+' long-term
corporate credit rating on London-listed independent film and TV
producer and distributor Entertainment One Ltd. (eOne). The
outlook is stable.

S&P said, "We also affirmed our 'B+' issue rating and '3'
recovery rating on eOne's GBP285 million senior secured notes.
The recovery rating indicates our expectation of meaningful (50%-
70%; rounded estimate: 55%) recovery in the event of a payment
default. We also affirmed our 'BB' issue rating and '1' recovery
ratings on its GBP150 million super senior revolving credit
facility (RCF). The recovery rating indicates our expectation of
very high (90%-100%; rounded estimate: 95%) recovery in the event
of a payment default.

"The affirmation reflects our view that in 2018, a double-digit
decline in revenues in eOne's film business will be more than
offset by robust growth in its TV and family content production
and distribution, while we expect credit metrics to remain fairly
stable.

"Over the past couple of years, the group was very successful in
developing its TV and family businesses, which are more
profitable and are somewhat less volatile than its leading film
division. In 2015-2017, eOne acquired shares in several
production studios, including The Mark Gordon Company. Such
acquisitions give eOne more control over creative strategy and
production budgets, and support the group's expanding and diverse
content library. It has a solid pipeline of new content
deliveries through several successful shows that are being
recommissioned for new seasons. In 2018, we also forecast a more
than 30% increase in the family division on the back of success
in the group's two leading pre-school brands: Peppa Pig, which
was rolled out in the Asian markets, and PJ Masks. The film
division includes distribution through box office, sale to
broadcasters, over the top (OTT), and pay-TV providers. It also
encompasses the structurally declining physical distribution of
DVDs/Blu-rays, and depends on the quality and success of a film
slate that is hard to predict and subject to shifting timing of
releases. We estimate that in fiscal 2018 (ending March 31,
2018), the film division will still account for a significant 45%
of the group's total revenues, which we forecast to exceed GBP1.1
billion, and 25% of reported underlying EBITDA. We note that now
the group's reliance on film is lower than several years ago--it
accounted for more than 75% of revenues and 90% of EBITDA in
2015. We understand that over the next two to three years, the
share of film in the group's business might reduce further,
because it plans to produce and acquire a lower number of unique
film titles, but of higher quality. In our view, the expansion of
higher-margin TV and family divisions, and the continued shift
from physical to digital home entertainment content in film will
support an improvement in eOne's profitability in 2018-2019, and
adjusted EBITDA margins will settle at about 14%.

"Nevertheless, our rating on eOne continues to be constrained by
the fierce competition in both the high-quality content
production and distribution markets, in which the group competes
with larger independent TV and film content producers and major
studios, and the group's smaller size and scope of operations
compared with global peers. We also expect that the group will
remain subject to the inherent high volatility of the content
production and distribution industry, and rising content
production and film promotion costs, which could weigh on the
company's profitability and EBITDA.

"Positively, eOne has a leading position as an independent film
producer and distributor in a number of markets, including
Canada, the U.K., Spain, and Australia. The group also has a
well-diversified new content releases pipeline and a large
portfolio of film content rights that can be exploited over
different channels and territories.

Assumptions:

-- Real GDP growth of about 3.0% in 2017 and 1.7%-2.1% in 2018-
    2019 in Canada and about 1.9%-2.2% in the U.S., and 1.0%-1.5%
    in the U.K. over 2017-2019.

-- eOne's performance is not directly linked to macroeconomic
    indicators, however GDP growth supports business and consumer
    confidence and underpins growth in advertising spending,
    which in turn fuels international demand for content.

-- S&P's forecast eOne's revenue growth of about 2%-3% in fiscal
    2018 due to lower revenues in film that will be offset by
    very strong growth in TV, mainly in The Mark Gordon Company,
    and the family division on the back of Peppa Pig's rollout in
    China and success of PJ Masks. In 2019, S&P forecasts overall
    revenue growth of about 7%-8% to be supported by some
    recovery in film, continued strong performance in TV, and
    further expansion of licenses in Asia in the family division.

-- S&P Global Ratings-adjusted EBITDA margin to improve to about
    14% in 2018-2019 from 12% in 2017 following the completion of
    restructuring in TV and film, and increasing contribution
    from the highly profitable family division. In fiscal 2017,
    the margin was depressed by about GBP30 million costs
    relating to restructuring of the physical distribution
    business.

-- Working capital outflows of about GBP40 million-GBP50 million
    each year and intrayear seasonal fluctuations of up to GBP30
    million.

-- Dividend payments of GBP10 million-GBP12 million.

-- Investment in production and acquired content rights to
    increase to about GBP480 million-GBP500 million in 2018 and
    up to about GBP570 million in 2018-2019.

Based on these assumptions, S&P arrives at the following credit
metrics for fiscal 2018-2019:

-- Adjusted debt to EBITDA of 3.0x-3.5x.
-- Adjusted funds from operations (FFO) to debt of 17%-20%.
-- EBITDA interest coverage of about 5.5x.

S&P said, "We believe eOne's financial policy will remain
moderately aggressive, but the group will maintain a balance
between acquisitions, dividends, and investing in the acquisition
of content rights and content production, which will largely
absorb its operating cash flow for the next couple of years. We
understand that the group will increase these investments in
order to produce high quality content, and forecast that as a
result, it will post weak and volatile free operating cash flow
(FOCF) in fiscal 2018-2019.

"We consider production financing as a part of the group's debt,
but acknowledge that the interim production financing is
nonrecourse to eOne's secured debt instruments.

"The stable outlook reflects our view that over the next 12
months, eOne's profitability will improve on the back of revenue
growth, increasing contribution from the high-margin family
division and cost savings following the restructuring in the film
and TV divisions completed in 2017. We forecast revenue growth of
about 2%-3% in fiscal 2018 due to a lower number of film
releases, to be followed by about 7% increase in revenues in
fiscal 2019, and EBITDA margin to improve to about 13.5%-14.0%
over the next two years. The stable outlook also assumes that
adjusted debt to EBITDA will remain at about 3.0x-3.5x despite
negative FOCF that will be pressured by increasing investment in
acquisitions and production of content.

"We could lower the ratings if eOne's profitability decreased due
to the group's inability to deliver successful content and
maintain its currently strong position in the market or due to
higher investment into content, and leverage increased beyond 4x
and FOCF was negative for an extended period. Large debt-financed
acquisitions that we currently don't factor into our forecast,
and weakening liquidity due to higher-than-forecast outflows of
working capital could also pressure the rating.

"We could raise the ratings if the stability and predictability
of the group's profitability and cash flows improved following
the continued organic growth of the business and tight control
over costs, and if positive free cash flow generation translated
into reducing adjusted leverage. An upgrade would require
adjusted debt to EBITDA to be less than 3.5x and FOCF to debt to
improving toward 10% on a sustainable basis. This is underpinned
by the group's financial policy to be aimed at balancing mergers
and acquisitions, investments in content rights and production,
and dividend payments, and adequate liquidity."


FRONERI INT'L: S&P Alters Outlook to Pos, Affirms 'B+' CCR
----------------------------------------------------------
S&P Global Ratings revised its outlook on U.K.-based ice cream
producer Froneri International PLC to positive from stable. At
the same time, we affirmed our 'B+' long-term corporate credit
rating on Froneri.

S&P said, "We also affirmed our 'BB-' rating on the company's
EUR800 million first-lien term loan. The recovery rating remains
at '2', indicating our expectation of recovery prospects in the
70%-90% range (rounded estimate 80%) in the event of default.

"The outlook revision reflects our expectation that Froneri will
continue to integrate the R&R ice cream business with that of
NestlÇ, achieving synergies and streamlining of the cost
structure that will translate into structurally stronger
operating margins and cash generation. So far in 2017, Froneri
has reported better-than-expected operating margins, thanks to
efficiency measures in procurement and the integration of its
information technology systems and other operational and support
functions in about half of the countries the group covers.

"We note that, this year, conditions in Western Europe were very
favorable for the company in the second quarter, due to an early
and very hot summer, but after the beginning of the third quarter
this changed in Northern Europe. At the same time, in Australia,
the summer weather has been variable and less pleasant than
usual, while a hurricane in Philippines has hit sales there. This
explains the very good sales performance reported in the second
quarter and weaker sales in the third one. Based on Froneri's
results in the first nine months of this year, and assuming the
fourth quarter will yield a limited contribution, given the
negative seasonality, we estimate the full-year 2017 reported
EBITDA margin before restructuring costs at about 12%. This is
about one percentage point above our expectations, which include
a more negative impact from the dilution of the NestlÇ business.
We recognize that the impact of restructuring costs has been
lower this year, since most of that activity has targeted
optimization of systems and procedures that could be achieved
without significant expenses.

"We consider that Froneri is in a transition phase, and we assume
the group will have to tackle issues related to production
capacity, which usually implies significant costs. However, such
structural measures, coupled with the continuation of efficiency
actions started in 2017, should translate into a slightly higher
EBITDA margin before restructuring costs in 2018. We assume the
margin will start to recover significantly from 2019 onward. We
also expect Froneri will increasingly benefit from branded
business conferred by NestlÇ, in line with the performance in
2017, when the Mondelez and Movenpick brands were particularly
strong contributors and Froneri gained 1.1% market share. These
elements could strengthen the group's business risk profile.
For 2017, we forecast Froneri's adjusted debt-to-EBITDA ratio at
6.5x-7.0x and its funds from operations (FFO) interest coverage
at approximately 3.8x. Next year, we estimate that the company
will incur about EUR100 million of restructuring costs, and for
this reason we expect free operating cash flow (FOCF) will be
about flat or only slightly positive. After 2018, we forecast the
operating margin and cash generation will improve significantly,
thanks to the effect of restructuring over the past two years.
But we assume that Froneri will need to undertake new
restructuring measures.

"Under our base case, we forecast gradual deleveraging, mainly
owing to moderate strengthening in EBITDA and increasing cash
generation from 2019.

"The positive outlook indicates that we could upgrade Froneri in
the next 12-18 months if it continues successfully integrating
R&R's and NestlÇ's ice cream businesses, achieving synergies, and
structurally improving the group's cost structure. We are aware
that, due to significant restructuring costs expected in 2018,
the improvement in operating margin and cash generation will be
limited. We project Froneri's adjusted EBITDA margin will remain
at about 13%, debt to EBITDA in the 6x-7x range, FFO interest
coverage at 3.5x-4.0x, and FOCF about flat or slightly positive.
In our analysis, we focus on the completion of relevant parts of
Froneri's restructuring plan and the expected increasing positive
contribution from the branded business. These should make a
significant positive effect on revenues, operating margins, and
cash flow generation from 2019 onward, leading to sustainable
strengthening of the group's business risk profile.

"We could revise the outlook on Froneri to stable or lower the
rating if there are setbacks in the integration process, with the
2018 operating margin before restructuring costs shrinking and
cash generation turning significantly negative as a result. This
could happen if the improvement of the branded ice cream business
proves more difficult than expected, due to stiff competition, or
if the cost structure cannot be streamlined as planned.
We could also consider a negative rating action if Froneri
embarks on debt-financed acquisitions or dividend payments that
pushed up leverage, leading to FFO interest coverage
deteriorating below 3x and additional complexity in the group's
structure, while the integration process is still ongoing."


MOORGATE FUNDING 2014-1: DBRS Confirms B Rating on Class E1 Notes
-----------------------------------------------------------------
DBRS Confirms Ratings on Moorgate Funding 2014-1 Plc
November 16, 2017

DBRS Ratings Limited confirmed the following ratings on the bonds
issued by Moorgate Funding 2014-1 Plc (the Issuer):

-- Class A1 Notes confirmed at AAA (sf)
-- Class B1 Notes confirmed at AA (sf)
-- Class C1 Notes confirmed at A (low) (sf)
-- Class D1 Notes confirmed at BBB (low) (sf)
-- Class E1 Notes confirmed at B (sf)

The ratings on the Class A1 to E1 Notes (together, the Rated
Notes) address the timely payment of interest and ultimate
payment of principal.

The rating actions follow an annual review of the transaction and
are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults
    and losses.

-- Updated default, recovery and loss assumptions on the
    remaining receivables.

-- Current available credit enhancement to the Rated Notes to
    cover the expected losses at their respective rating levels.

Moorgate Funding 2014-1 Plc is a securitisation of first-ranking
U.K. non-conforming residential mortgages originated by Mortgages
PLC Group, Wave Lending Limited, Close Brothers Limited, Paragon
Mortgages Limited and Edeus Mortgages Creators Limited. The
mortgage portfolio is serviced by Mortgages PLC, with Homeloan
Management Limited acting as the back-up servicer.

PORTFOLIO PERFORMANCE
As of August 2017, the 90+ delinquency ratio was 4.0%, up from
3.8% in August 2016. The cumulative default ratio was 2.2%.

CREDIT ENHANCEMENT
As of the September 2017 payment date, Class A1 credit
enhancement was 45.9%, up from 34.7% at the initial DBRS rating.
Class B1 credit enhancement was 31.5%, up from 23.7% at the
initial DBRS rating. Class C1 credit enhancement was 19.9%, up
from 14.9% at the initial DBRS rating. Class D1 credit
enhancement was 15.1%, up from 11.3% at the initial DBRS rating.
Class E1 credit enhancement was 8.1%, up from 6.0% at the initial
DBRS rating. Credit enhancement in each case is provided by
subordination of junior classes as well as a Principal Reserve
Fund and the Principal Residual Certificates.

As of the September 2017 payment date, the Principal Reserve Fund
was at the target level of GBP 10.2 million. It was initially
funded at 1.0% of the initial balance of the Rated Notes and is
allowed to grow up to a size of 2.1% of the initial balance of
the Rated Notes. The transaction also includes a Class A1 Reserve
Fund and a Class B1 Reserve Fund. The Class A1 Reserve Fund
provides liquidity support to the Class A1 Notes and was at GBP
2.5 million as of the September 2017 payment date. The Class B1
Reserve Fund, which provides liquidity support to the Class A1
and B1 Notes, was at GBP 1.5 million atthat time.

Citibank N.A., London Branch acts as the account bank for each
transaction. The DBRS private rating of Citibank N.A., London
Branch complies with the Minimum Institution Rating, given the
rating assigned to the Class A1 Notes, as described in DBRS's
"Legal Criteria for European Structured Finance Transactions"
methodology.

Notes: All figures are in British pound sterling unless otherwise
noted.


PIONEER HOLDING: S&P Assigns 'B-' CCR, Outlook Stable
-----------------------------------------------------
S&P Global Ratings assigned its 'B-' long-term corporate credit
rating to Pioneer Holding LLC. The outlook is stable.

S&P said, "At the same time, we assigned our 'CCC+' issue rating
with a recovery rating of '5' to the $280 million 9% senior
secured notes due 2022 issued by Pioneer Holding and Pioneer
Finance Corp. The recovery rating of '5' reflects our expectation
of modest recovery prospects (10%-30%; rounded estimate: 15%) in
the event of default.

The ratings are in line with the preliminary ratings assigned on
Oct. 10, 2017. The group upsized the revolving credit facility
(RCF) to GBP100 million from GBP75 million. Other than that, the
final documentation does not depart from the material reviewed in
October. The now slightly higher amount of the RCF remains in
line with S&P's assessment of the group's financial risk profile
and rating.

S&P said, "Our 'B-' rating on Pioneer Holding LLC primarily
reflects Pattonair's high customer concentration, with the
largest customer accounting for about 50% of sales and the top
three customers for about 70%. The rating also reflects
Pattonair's highly leveraged capital structure, with adjusted
debt to EBITDA of 7.2x (or 11.2x including the preference shares)
and funds from operations (FFO) cash interest coverage of about
1.6x at the transaction's close."

On Oct. 31, 2017, private equity firm Platinum Equity Capital
Partner IV (Platinum) completed the acquisition of U.K. group
Pattonair, a provider of supply chain services for aerospace and
defense original equipment manufacturers and engine suppliers for
a total consideration of about GBP342 million. The transaction's
financing package included $280 million in senior secured notes
and a GBP75 million asset-based RCF (upsized to GBP100 million
during November 2017), of which GBP15 million was drawn at
closing. The equity contribution is comprised of common and
preference shares distributed among Platinum and management. S&P
considers the preference shares to be debt-like instruments.

With about GBP320 million of sales reported for the fiscal year
ended March 31, 2017 (fiscal 2017), Pattonair is a niche market
player with a particular focus on the distribution of C-class
parts (such as fasteners, clamps, seals, or bearings) for
aircraft engines and aircraft systems. The company offers
services such as sourcing, distribution, warehousing, inventory
planning, product traceability, and customized kitting. Other
distributors of C-class parts for aerospace and defense
manufacturers include U.S.-based KLX and Wesco Aircraft.

S&P said, "We see Pattonair's high customer concentration as a
key risk. In 2017, Rolls-Royce accounted for about half of
Pattonair's revenues. Although the risk is mitigated by the long-
term contracts between Pattonair and Rolls-Royce, which run until
2022 and 2024, we think that Pattonair could be vulnerable to
potential production issues faced by its customers. This would
result in a slowdown of demand for C-class parts if the
production of engines had to temporarily slow or stop.

"Given the long certification process required by customers and
the degree of customized services offered by Pattonair, we
consider that barriers to entry are moderately high.
Nevertheless, on top of the risk of new entrants or further
consolidation in the market, customers could also decide to take
back the sourcing and management of inventory for C-class parts
in house."

Despite its niche positioning as a provider of supply chain
management for C-class parts, Pattonair does not demonstrate
particularly strong operating margins; its adjusted EBITDA margin
was about 9.5%-10.0% in fiscal 2017. S&P said, "We consider
companies with an EBITDA margin of below 10% to be below average
in the aerospace industry. Nevertheless, we expect that the
company will gradually improve its EBITDA margin toward 11% over
the next 24 months through accelerated revenue growth and a
reduction in overheads in indirect functions."

S&P said, "We view Pattonair's capital structure as highly
leveraged, with debt to EBITDA at about 7.2x (11.2x including the
preference shares). We forecast that Pattonair's high starting
leverage ratio will gradually improve toward 6.0x (10.3x
including the preference shares) in fiscal 2019 through EBITDA
growth, mainly as a result of an increase in volume sales. We
expect that the company's ability to generate meaningful free
cash flow will be hampered by the high interest burden forecast
at about GBP18 million-GBP20 million a year.

"The stable outlook reflects our expectations that Pattonair will
grow its revenues by about 10% and maintain its EBITDA margin at
around 9%-10% over the next 12 months, leading to FFO cash
interest coverage of about 1.5x-2.0x.

"We could downgrade Pattonair if its FFO cash interest coverage
decreases to below 1.5x as a result of operational setbacks or
debt-financed acquisitions. We could also take a negative rating
action if Pattonair's free cash flow generation turns negative or
its liquidity weakens.

"We see the likelihood of an upgrade as remote over the next 12
months. We could consider a positive rating action if Pattonair
materially diversifies its portfolio of customers and
demonstrates its ability to improve and maintain an EBITDA margin
of at least 12%, while maintaining positive free cash flow
generation. A material increase in its FFO cash interest coverage
to well above 3x could also support an upgrade."


ROAD MANAGEMENT: S&P Raises 2021 GBP165MM Bond Rating to 'BB-'
--------------------------------------------------------------
S&P Global Ratings raised its issue rating on the GBP165 million
fixed-rate bonds due 2021 issued by U.K.-based limited purpose
entity Road Management Consolidated PLC (RMC) to 'BB-' from 'B+'.
At the same time, S&P placed the issue rating on CreditWatch with
positive implications. The recovery rating is '1+', reflecting
its expectation of full recovery of outstanding principal in case
of default.

The rating upgrade reflects S&P's view of increased likelihood of
full senior debt repayment in light of the increasing levels of
liquidity available to senior lenders. The total amount of cash
and cash equivalents increased to about 81% of the GBP95.8
million of senior debt outstanding at Nov. 30, 2017, even though
traffic growth in 2017 to date has been lower than S&P expected.
The liquidity in the project is a combination of reserving
requirements and locked-up cash.

The project's revenues are derived from traffic volumes via a
shadow toll mechanism. S&P had previously projected traffic
volumes would grow by 1.5% in 2017. However, in the nine months
to Sept. 30, 2017, year-on-year traffic volumes rose only 1.2%.
It is not yet clear why growth has been so lackluster, as the
previous three years have seen strong growth at over 3.0%,
outpacing the U.K.'s economic performance indicators for the
period.

Increased capacity on alternative routes may have caused a
reduction in traffic growth on the project's roads. Specifically,
some sections of the M4 and M5 motorways have recently been
widened, which may have led to a change in through-traffic
patterns. S&P said, "We have consequently revised our base case
to assume that traffic volumes will grow by only 1.0% per year
until the debt is repaid. We could revise this assumption further
downward if growth in traffic volumes continue to decline."

Low traffic growth is not detrimental to the project's liquidity,
which has built up to strong levels over the many years that the
project has been in distribution lock-up. Lock-up occurs if the
calculated annual debt service coverage ratio (ADSCR) is below
the cash distribution covenant of 1.20x and traps all free cash
in contracted reserve accounts. S&P forecasts that the project
will remain in distribution lock-up through to senior debt
maturity and no trapped cash will be released before the full
senior debt repayment. This cash-trapping mechanism helps to
mitigate the risk of weak cash flow ratios and provides senior
lenders with protection against any future reduction in traffic
volumes.

The project's financial ratios have been significantly below
those expected at the 1996 financial close, largely because of
the low volume of ordinary vehicle (OV) traffic. S&P said, "We
forecast that OV volumes will remain in the lowest payment band
for both roads for the remainder of the concession. Consequently,
any reduction in traffic volumes directly affects the cash flows
available for debt service. In our base case, we forecast that
the project will generate operating cash flows (before interest
payment) of about GBP27 million on average over the next three
years, compared with average annual debt service of about GBP31
million per year until final repayment. This implies that debt
service coverage ratios (DSCRs) will be weak, at marginally below
1x, causing us to assign a 'b-' preliminary stand-alone credit
profile (SACP).

"Based on the project's increasing liquidity, we then apply a
three-notch positive rating adjustment, which underpins the
project's 'BB-' rating. The adjustments reflect the project's
strong performance under our downside scenario, under which we
forecast marked traffic decline, in excess of that experienced
year to date, as well as the high percentage of trapped cash
against senior debt outstanding.

"Our base-case DSCR calculation does not include available
liquidity, in accordance with our criteria. Our forecast ratios
are lower than those forecast by the project and those reported
by the project historically." The definition of ADSCR in the
financing document differs including for the following reasons:

-- It includes interest income in the numerator;

-- It includes releases from the maintenance reserve account
    (MRA), but not deposits in the numerator. This is equivalent
    to excluding life cycle expenditure from the calculation of
    cash flows available for debt service; and

-- It includes required deposits into the debt service reserve
    accounts (DSRAs) in the numerator.

The bonds retain an unconditional and irrevocable guarantee
provided by Ambac Assurance Corp. (Ambac) of payment of scheduled
interest and principal. According to our criteria, the rating on
a monoline-insured debt issue reflects the higher of either the
rating on the monoline or the S&P Underlying Rating (SPUR).
Therefore, the long-term rating on the bonds reflects the SPUR,
as S&P Global Ratings no longer rates Ambac. The SPUR is driven
by the operations phase stand-alone credit profile (SACP), given
that the project is not exposed to construction risk.

The CreditWatch positive placement reflects our view of continued
increased likelihood of full senior debt repayment as the
proportion of total liquidity to outstanding senior debt to
continue increases over the next 3.5 years up to final repayment
in June 2021. S&P expects to resolve the placement over the next
three-to-six months.

S&P said, "We could raise the rating by one or more notches if
traffic growth rates stabilize and the recent trend of declining
growth rates subsides. Such stabilization would provide comfort
that the project will have sufficient liquidity available to
repay the debt in full.

"We could revise the outlook to stable or lower the rating if
traffic volumes drop materially or if life cycle expenditures
were to exceed current forecasts, eroding the project's liquidity
position."


SALISBURY SECURITIES: Fitch Affirms BB(EXP) Rating on M-R Notes
---------------------------------------------------------------
Fitch Ratings has affirmed Salisbury Securities 2015 Limited's
notes' expected ratings as follows:

GBP395.1 million Class A-R: affirmed at 'AAA(EXP)sf'; Outlook
Stable
GBP19.7 million Class B-R: affirmed at 'AAA(EXP)sf'; Outlook
Stable
GBP63.3 million Class C-R: affirmed at 'AA+(EXP)sf'; Outlook
Stable
GBP11.4 million Class D-R: affirmed at 'AA(EXP)sf'; Outlook
Stable
GBP26.6 million Class E-R: affirmed at 'AA-(EXP)sf'; Outlook
Stable
GBP37.7 million Class F-R: affirmed at 'A+(EXP)sf'; Outlook
Stable
GBP9.7 million Class G-R: affirmed at 'A(EXP)sf'; Outlook Stable
GBP12.0 million Class H-R: affirmed at 'A-(EXP)sf'; Outlook
Stable
GBP42.8 million Class I-R: affirmed at 'BBB+(EXP)sf'; Outlook
Stable
GBP10.9 million Class J-R: affirmed at 'BBB(EXP)sf'; Outlook
Stable
GBP16.8 million Class K-R: affirmed at 'BBB-(EXP)sf'; Outlook
Stable
GBP45.9 million Class L-R: affirmed at 'BB+(EXP)sf'; Outlook
Stable
GBP2.8 million Class M-R: affirmed at 'BB(EXP)sf'; Outlook Stable

The transaction is a granular synthetic securitisation of
GBP787.3 million unfunded credit default swap (CDS), referencing
loans granted to UK small- and medium-sized enterprises (SME)
investing in the UK real estate sector. The loans are secured
with commercial and residential real estate collateral and were
originated by Lloyds Bank plc (A+/Stable/F1).

Lloyds Banking Group has bought protection under the CDS contract
relating to the equity risk position but has not specified the
date of execution of the contracts relating to the rest of the
capital structure. The expected ratings were based on the un-
executed documents provided to Fitch, which have the same terms
as the equity CDS contracts executed so far by Lloyds Banking
Group. Fitch understands from Lloyds Banking Group that it has no
immediate need to buy protection on the remaining capital
structure. Fitch will monitor the expected ratings using the
applicable criteria for as long as the CDS contract exists.

The ratings of the notes address the likelihood of a claim being
made by the protection buyer under the unfunded CDS by the end of
the remaining eight-year protection period in accordance with the
documentation.

KEY RATING DRIVERS

Transaction Still in Replenishment Period
The transaction is entering the third year of the initial three-
year replenishment period and Lloyds can replenish the portfolio
subject to replenishment criteria aimed at limiting additional
risks. As of the October 2017 investor report, the weighted
average probability of default (PD) replenishment criteria is
failing. Consequently, Lloyds can only replenish the portfolio if
these tests are maintained or improved after replenishment. Fitch
has captured the replenishment risk based on a stressed
portfolio, taking into account the replenishment triggers and
replenishment conditions of the transaction.

Loan Ratings Re-Mapped to Lower PD
Lloyds has recalibrated its internal ratings for its SME BDCS
(Business Dynamic Credit Scoring) book. Fitch has received
updated historical defaulted data and has updated its internal
rating mapping to equate to a base case PD of 3.0% a year, lower
than its expectation from the previous year. The portfolio credit
quality remains stable and there are currently limited defaulted
loans in the portfolio.

Low Loan to Value (LTV) Ratio
As of October 2017, the portfolio composition is largely in line
with the initial portfolio. Each loan in the securitised
portfolio is collateralised with property. The reported weighted
average LTV ratio of the portfolio is 49% and it is capped at 60%
during the replenishment period.

RATING SENSITIVITIES
Increasing the default probabilities assigned to the underlying
obligors by 25% or decreasing the recovery rates assigned to the
underlying obligors by 25% could result in a downgrade of up to
three notches.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pool and the transaction. There were no findings that affected
the rating analysis. Fitch has not reviewed the results of any
third party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

Prior to the transaction closing, Fitch reviewed the results of a
third party assessment conducted on the asset portfolio
information and concluded that there were no findings that
affected the rating analysis.

Prior to the transaction closing, Fitch conducted a review of a
small targeted sample of the originator's origination files and
found the information contained in the reviewed files to be
adequately consistent with the originator's policies and
practices and the other information provided to the agency about
the asset portfolio.

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

SOURCES OF INFORMATION

The information below was used in the analysis.
- Loan-by-loan data provided by Lloyds Bank plc as at Oct. 25,
   2017
- Transaction portfolio reporting provided by Lloyds Bank plc as
   at Oct. 25, 2017
- Transaction liability reporting provided by Lloyds Bank plc as
   at Oct. 11, 2017
- Observed default frequency provided by Lloyds Bank plc as at
   June 2017



                            *********

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
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Nothing in the TCR constitutes an offer or solicitation to buy or
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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
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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
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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,
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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.

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