/raid1/www/Hosts/bankrupt/TCREUR_Public/180504.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

             Friday, May 4, 2018, Vol. 19, No. 088


                            Headlines


I R E L A N D

EUROPEAN RESIDENTIAL: DBRS Confirms BB Rating on Class C Debt
FROSN-2018: DBRS Finalizes BB(low) Rating on Class E Notes
SBOLT 2018-1: DBRS Assigns Prov. BB(high) Rating to Class D Notes


I T A L Y

MONTE DEI PASCHI: Former Chief Executive, Chairman Sent to Trial
NEXI CAPITAL: S&P Assigns Preliminary 'B+' ICR, Outlook Stable
TAURUS 2018-1: DBRS Assigns Prov. BB(low) Rating to Class E Notes


K A Z A K H S T A N

KAZTRANSGAS: S&P Affirms BB- Issuer Credit Rating, Outlook Stable
* Fitch: Kazakh Banks' Asset Quality Still Weak, Cleanup Gradual


L U X E M B O U R G

GILEX HOLDING: Moody's Rates New $300M Secured Notes 'B2'


N E T H E R L A N D S

CREDIT EUROPE: Fitch Maintains BB- LT Issuer Default Rating
DRYDEN 59: Moody's Rates EUR35.6MM Class E Notes 'Ba2'
DRYDEN 59: Fitch Assigns 'B-sf' Rating to Class F Debt
RENOIR BV: Moody's Hikes Ratings on 2 Tranches to B1
STEINHOFF INT'L: To Discuss Plan to Reorganize Debt with Lenders


P O L A N D

GETBACK SA: Fitch Lowers Long-Term IDR to 'RD', Off RWN


R U S S I A

DOM.RF JSC: Moody's Affirms Ba1 LT Sr. Unsecured Debt Rating
ELEMENT LEASING: Fitch Affirms Then Withdraws B+/B Ratings


S L O V E N I A

NOVA LJUBLJANSKA: Fitch Puts BB Issuer Default Rating on RWE


S P A I N

AYT GENOVA IX: Fitch Corrects April 23 Ratings Release
BCC CAJAMAR: DBRS Assigns Prov. CC Rating to Series B Notes
CASTELLANA FINANCE: S&P Puts B-(sf) C2 Notes Rating on Watch Pos.
SANTANDER HIPOTECARIO 3: S&P Affirms D Ratings on Three Notes


U N I T E D   K I N G D O M

BENCH: Files for Administration, Operations to Continue
CAMBRIDGE ANALYTICA: Commences Insolvency Proceedings in U.K.
CYAN BLUE 2: Moody's Reviews B2 CFR & B2-PD PDR for Downgrade
HOUSE OF FRASER: C. Banner to Acquire 51% Stake in Business
PERFORM GROUP: Moody's Affirms B2 CFR & Alters Outlook to Neg.

STRATTON MORTGAGE: S&P Assigns CCC (sf) Rating to Class X Notes
TOWER BRIDGE 2: Moody's Assigns Ba1 Rating to Class E Notes
WINDERMERE XIV: S&P Cuts Ratings on 4 Note Classes to 'D (sf)'


X X X X X X X X

* BOOK REVIEW: BOARD GAMES - Changing Shape of Corporate Power


                            *********



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I R E L A N D
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EUROPEAN RESIDENTIAL: DBRS Confirms BB Rating on Class C Debt
-------------------------------------------------------------
DBRS Ratings Limited confirmed its ratings on the Irish non-
performing loans transaction European Residential Loan
Securitization 2017-NPL1 (the Issuer) as follows:

-- Class A at A (sf)
-- Class B at BBB (sf)
-- Class C at BB (high) (sf)

The rating confirmation follows an annual review of the
transaction and reflects the stable performance of the
transaction since its issuance on 28 April 2017 (the Issue Date).

At issuance, the EUR 419.8 million capital structure was tranched
as follows: EUR 182.8 million Class A (approximately 43.5% of the
total asset portfolio), EUR 16.8 million Class B (approximately
4.0% of the total asset portfolio), EUR 14.7 million Class C
(approximately 3.5% of the total asset portfolio), EUR 44 million
Class P (approximately 10.5% of the total asset portfolio) and
EUR 161.9 million Class D (approximately 38.5% of the total asset
portfolio). The Class P and Class D Notes are unrated and are
retained by LSF IX Paris Investments DAC (the Seller). The rating
on the Class A Notes addresses the timely payment of interest and
ultimate payment of principal. The ratings on the Class B and
Class C Notes address the ultimate payment of interest and
principal.

The Notes were originally backed by 1,228 Irish non-performing
mortgage loans secured by residential properties and originated
by Bank of Scotland (Ireland) Limited. There was also a small
percentage (2.35%) of performing residential mortgages. Lone Star
Funds (Lone Star), through the Seller, acquired the portfolio in
February 2015. Servicing of the mortgage loans is conducted by
Start Mortgages DAC (Start or the Servicer). As of the closing
date, primary servicing activities have been delegated to Home
loan Management Limited (HML) under a sub-servicing agreement.
There is no obligation on Start to continue to delegate to HML.
HML is not a party to the transaction documents. Hudson Advisors
Ireland DAC (Hudson) was also appointed as the Issuer
Administration Consultant and, as such, acts in an oversight and
monitoring capacity.

As of the date of the last Investor Report, March 2018, the
transaction outstanding principal balances of the rated Class A,
Class B and Class C notes are equal to EUR 149.6 million, EUR
16.8 million and EUR 14.7 million, respectively. The transaction
structure is fully sequential and, as a consequence, the balance
of Class A is currently the only one to amortize (-18.1% since
issuance). The current aggregated transaction balance, included
the unrated notes, is EUR 387 million.

Each rated class of notes benefits from a Cash Reserve of EUR 6.8
million for Class A, EUR 1.4 million for Class B and EUR 1.8
million for Class C. The Class A Reserve Fund had an initial
balance equal to 4.5% of the Class A Notes initial balance and
can amortize to 4.5% of the outstanding balance of the Class A
notes. The Class B Reserve Fund was funded to an initial balance
of 10.0% of the Class B notes and does not have a target balance.
Credits to the Class B reserve are made outside of the waterfall
based on the proceeds of the interest rate cap allocated
proportionately to the size of the Class B notes relative to the
cap notional. Liquidity support to the Class C notes is provided
by the cap proceeds allocated proportionately to the size of the
Class C notes relative to the cap notional. The Class C Reserve
Fund was funded to an initial balance of 15.0% of the Class C
Notes and does not have a target balance. Credits to the Class C
reserve are made outside of the waterfall based on the proceeds
of the Interest Rate Cap allocated proportionately to the size of
the Class C Notes relative to the cap notional and as long as the
Class C Notes are outstanding. Any unpaid accrued interest amount
in the Class C notes is reduced by the Class C interest payments
funded via the cap proceeds.

Elavon Financial Services DAC, U.K. Branch (Elavon) acts is the
Issuer Transaction Account Bank. DBRS's private rating of Elavon
is consistent with the Minimum Institution Rating, given the
rating assigned to the Class A notes, as described in DBRS's
"Legal Criteria for European Structured Finance Transactions"
methodology.

The ratings are based on DBRS's analysis of the projected
recoveries of the underlying collateral; the historical
performance and expertise of the Servicer; the availability of
liquidity to fund interest shortfalls and special-purpose vehicle
expenses; the Interest Rate Cap agreement entered between the
Issuer and Barclays Bank plc.; and the transaction's legal and
structural features.

Notes: All figures are in euros unless otherwise noted.


FROSN-2018: DBRS Finalizes BB(low) Rating on Class E Notes
----------------------------------------------------------
DBRS Ratings Limited finalized its provisional ratings of the
following classes of notes issued by FROSN-2018 DAC (the Issuer):

-- Class RFN at AAA (sf)
-- Class A1 at AAA (sf)
-- Class A2 at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)

All trends are Stable.

The Issuer is the securitization of one Finnish commercial real
estate (CRE) loan jointly advanced by Citibank, N.A., London
Branch (Citi), Morgan Stanley Bank, N.A. and Morgan Stanley
Principal Funding, Inc. (Morgan Stanley) to 72 borrowers
(Borrowers), owned by Sponda Plc. (Sponda). The loan, which
closed on December 15, 2017, refinanced the existing indebtedness
of the Borrowers (including financing costs) and is available to
finance permitted capital expenditure (capex) projects.

The aggregate balance of the senior loan is EUR 590.9 million,
consisting of a EUR 577 million senior term loan and a EUR 13.9
million senior capex facility (66.6%) loan-to-value (LTV). In
addition, there are also EUR 103.8 million mezzanine facilities,
split between a EUR 101.7 million mezzanine term loan and a EUR
2.1 million mezzanine capex facility (together with the senior
facilities, 78.3% loan-to-value (LTV)). The mezzanine facilities
are structurally and contractually subordinated to the senior
loan and are not part of the contemplated transaction. The total
amount of the senior loan securitized is equal to EUR 540.87
million or [92%] of the total senior loan. However, the Issuer
has advanced EUR 27.94 million (5% of the securitized senior loan
and the liquidity reserve) back to Morgan Stanley and Citi in the
form of vertical risk retention (VRR) loan interest to comply
with risk retention requirements. The senior loans bear interest
at a floating rate equal to three-month Euribor (subject to zero
floor) plus a 2.45% per annum margin.

The underlying portfolio is composed of 63 CRE assets located
across Finland that are owned by individual property-owning
companies (propcos). The portfolio's total market value (MV) is
EUR 887.7 million, resulting in a 66.6% senior LTV. Office space
represents 61.7% of the total lettable area of the portfolio
while retail space makes up 17.4% and other commercial assets the
remaining 20.0%.

In terms of MV, the portfolio is heavily concentrated in
Helsinki, where 73.8% of MV is located, and Tampere, the most
populated Nordic inland city, which contributes 30.0% to the MV.
More specifically, within the Helsinki Metropolitan Area (HMA),
11.5% MV is located in Ruoholahti, 17% MV in Espoo and 45.3% in
other HMA locations. The remaining 6.2% of MV is located in other
regions across Finland. As of 30 September 2017, the portfolio
was generating EUR 60.3 million of net rent, which equates to a
10.2% debt yield (DY).

The assets are part of Sponda's portfolio, previously one of the
largest listed real estate firms in Finland, which was recently
acquired and delisted by the Blackstone Group L.P. (Blackstone or
the Sponsor). Blackstone viewed the acquisition as a strategic
move into the Nordic CRE market. Sponda was originally founded by
the Bank of Finland in 1991 to take over the Finnish and foreign
real estate properties held by the Skopbank Group, together with
its sizeable equity portfolio, before listing the company on the
Helsinki Stock Exchange on January 6, 1998.

The transaction includes a new structural feature in the form of
reserve fund notes (RFN), which fund the note share part (95%) of
the liquidity reserve. The EUR 16.7 million RFN proceeds and EUR
878,947.37 VRR Loan Interest contribution are deposited into the
transaction's liquidity reserve, which works similarly to a
typical liquidity facility providing liquidity to pay property
protection advances, senior costs and interest shortfalls (if
any) in relation to the corresponding VRR Loan Interest, RFN,
Class A1, Class A2 and Class B notes (for further details please
see section "Liquidity Support" in DBRS Rating Report). According
to DBRS's analysis, the liquidity reserve amount will be
equivalent to approximately 27 months and 11 months' coverage on
the covered notes, based on the interest rate cap strike rate of
1.0% per annum and the Euribor cap after loan maturity of 4.25%
per annum, respectively.

In addition to the liquidity reserve, the transaction also
features a senior expenses reserve to cover senior expenses. DBRS
notes that the senior expense reserve will be funded to EUR
400,000 which should cover at least one interest period's senior
fees in case the liquidity reserve has been fully depleted or
released upon full repayment of the covered notes.

Morgan Stanley and Citi added a new mechanism to divert excess
spread to revenue receipts, being the class X interest diversion.
During the life of the transaction, should the senior loan's LTV
increase to more than 80% or should the DY decrease to less than
8.89% (each a class X interest diversion trigger event). While
the class X interest diversion trigger event is still continuing,
the class X note holders will not receive any interest payments,
and cash would be diverted to form part of the revenue receipts.

DBRS understands that EUR 71,917 proceeds exceeded the total
securitized loan amount as a result of rounding; this excess will
be distributed to note holders on the first interest payment
date. Class E is subject to an available funds cap where the
shortfall is attributable to an increase in the weighted average
margin of the notes and the loss of the Issuer liquidity reserve
amount due to Issuer account bank insolvency.

Prior to Blackstone's acquisition, Sponda issued unsecured senior
notes (Polar Notes) on three occasions: EUR 95 million
subordinated bonds (hybrid bonds) in 2012, which are no longer
outstanding; EUR 150 million senior bonds in 2013 and EUR 175
million in 2015, which, instead, remain outstanding. Blackstone
provided an investor fund guarantee via its BREP Europ V and BREP
VIII on all the Polar Notes (EUR 325 million in total) should a
failure to pay on the same notes arise.

DBRS also understands that following the acquisition by
Blackstone, the minority shareholders of Sponda, have been
squeezed out. In accordance with the transaction document, the
Sponsor has completed the reorganization of Sponda's company
structure.

The senior loan is expected to be repaid in February 2020;
however, the Borrowers can exercise three one-year extension
options, subject to certain conditions. The final maturity of the
notes is on 21 May 2028, approximately five years after the date
of the fully extended senior loan maturity. A prepayment fee
equal to one-year make-whole interest is also payable by the
Borrowers should they prepay the senior loan in the first year.

Morgan Stanley and Citi (together, in the capacity as the VRR
Loan Interest Owners) will retain no less than 5% material
interest in the transaction via the VRR Loan Interest issued by
the Issuer. Moreover, Morgan Stanley will retain an additional
EUR 50 million of the senior loan, which it is free to deal with
in its sole discretion. All amounts payable to the VRR Loan
Interest Owners (the VRR Loan Interest Amounts) in respect of the
VRR Loan Interest will rank pari-passu with amounts payable in
respect of the Notes.

Notes: All figures are in euros unless otherwise noted.


SBOLT 2018-1: DBRS Assigns Prov. BB(high) Rating to Class D Notes
-----------------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to the
following notes to be issued by Small Business Origination Loan
Trust 2018-1 DAC (SBOLT 2018-1 or the Issuer):

-- Class A Notes at A (high) (sf)
-- Class B Notes at A (sf)
-- Class C Notes at BBB (sf)
-- Class D Notes at BB (high) (sf)

The Class A, Class B, Class C and Class D Notes are together
referred as the Rated Notes. DBRS will not rate the Class E,
Class X and Class Z Notes.

The above-mentioned ratings are provisional. The ratings will be
finalized upon receipt of an execution version of the governing
transaction documents. To the extent that the documents and
information provided to DBRS as of this date differ from the
executed version of the governing transaction documents, DBRS may
assign different final ratings to the Rated Notes.

The transaction is a cash flow securitization collateralized by a
portfolio of term loans and originated through the Funding Circle
Ltd lending platform (Funding Circle or the Originator) to small
and medium-sized enterprises (SMEs) and sole traders based in the
United Kingdom (U.K.). All the loans are fully amortizing and
unsecured. As of 18 April 2018, the transaction's provisional
portfolio included 4,007 loans to 3,928 obligors, totaling GBP
206.5 million.

The rating on the Class A Notes addresses the timely payment of
interest and the ultimate repayment of principal payable on or
before the Legal Maturity Date in December 2026. The ratings on
the Class B, Class C Notes and Class D Notes address the ultimate
payment of interest and principal payable on or before the Legal
Maturity Date in May 2026 in accordance with transaction
documentation.

The provisional pool has some exposure to the "Business Equipment
& Services" industry, representing 31.3% of the outstanding
balance. The portfolio included loans with no industry
classification (7.5%), for which DBRS assumed to be part of the
largest industry concentration. The "Building & Development"
(17.4%) and "Farming/Agriculture" (6.8%) sectors have the second-
and third-largest exposures based on the DBRS Industry
classification.

The provisional portfolio exhibits low obligor concentration. The
top obligor and the largest ten obligor groups represent 0.22%
and 1.85% of the outstanding balance, respectively. The top three
regions for borrower concentration are the South East, London and
Midlands, representing approximately 24.2%, 15.2% and 13.5% of
the portfolio balance, respectively.

The historical data provided by Funding Circle reflects the
portfolio composition which includes unsecured loans for which
Funding Circle internally categorizes borrowers into six risk
bands (A+, A, B, C, D and E). DBRS assumed an weighted average
annualized probability of default (PD) rate of 7.2% for this
portfolio. For the purpose of its analysis, DBRS calculated the
PDs for each risk band in order to capture any negative or
positive pool selection, in addition to applying an additional
stress (50%) to the PD of loans classified as refinancing loans
in the portfolio. The assumed PDs for A+, A, B, C, D and E risk
bands are 2.9%, 5.4%, 8.6%, 9.0%, 13.4% and 20.0%, respectively.

Funding Circle acts as the platform servicer. It is also
responsible for the underwriting processes associated with
originations. Whilst Funding Circle services the receivables, the
loans themselves were funded by the seller P2P Global Investments
PLC, which is an institutional investor.

The transaction incorporates separate interest and principal
waterfalls. The interest waterfall includes a principal
deficiency ledger (PDL) concept for each class of notes. This PDL
concept results, according to DBRS cash flow analysis and the
terms of the transaction documents, in the timely payment of
interest for the Class A Notes and ultimate payment of interest
for the Class B, Class C and Class D Notes in the respective
rating stress scenarios. The transaction documents permit the
deferral of interest on non-senior bonds and this is not
considered an event of default.

At closing, the Class A Notes will benefit from a total credit
enhancement of 39.8%, the Class B Notes will benefit from a
credit enhancement of 33.8%, Class C will benefit from a credit
enhancement of 26.8%, and Class D from a credit enhancement of
19.8%. Credit enhancement is provided by subordination and the
Cash Reserve Account (1.75% of initial portfolio).

The rating of the Notes is based on DBRS's review of the
following items:

-- The transaction includes a pro rata amortization unless
     certain sequential trigger amortization events are breached.

-- The portfolio is static and consists of senior unsecured
    loans with a maturity between six months and five years. All
    loans are amortizing, contributing to a short weighted-
    average life (WAL) of 2.04 years. No adjustments were
    applied by DBRS as no permitted variations of the terms of
    the loans including maturity extensions are allowed.

-- Despite Funding Circle having historical performance data
     going back to 2010, it does not capture downturn periods of
     an economic cycle. While it is not clear how Funding Circle
     borrowers would perform during adverse economic periods,
     DBRS used proxy data to estimate expected stressed
     performance during adverse periods of a cycle when
     determining its base case PDs for each of the six risk
     bands.

-- Funding Circle originates loans for a broad range of borrower
     risk profiles and categorizes borrowers according to six
     internal risk bands: A+, A, B, C, D and E. The portfolio
     includes borrowers from all risk bands resulting in a DBRS
     WA PD of 7.16% which is significantly higher than for a
     typical SME portfolio in the U.K.

-- The transaction benefits from an interest rate cap which
     Limits the interest rate risk between the floating-rate
     notes and the portfolio comprised solely of fixed-rate
     loans.

-- The transaction benefits from a back-up servicer which
     reduces servicer continuity risk.

DBRS determined its ratings as per the principal methodology
specified below and based on the following analytical
considerations:

-- The PD for the portfolio was determined using the historical
     performance information supplied as well as stressed
     assumptions for adverse periods of a credit cycle. For this
     transaction DBRS assumed an average annualized PD of 7.16%.

-- The weighted-average life (WAL) of the portfolio was 2.04
     years.

-- The PD and WAL were used in the DBRS Diversity Model to
     generate the hurdle rates for the assigned ratings.

-- The recovery rate was determined taking into consideration
     that all loans in the portfolio are senior unsecured. For
     the Class A and Class B Notes, DBRS applied a 23.44%
     recovery rate. For the Class C Notes, DBRS applied an 24.0%
     recovery rate and for Class D a 32.9% recovery rate. These
     are lower than those outlined in the principal methodology
     amid the uncertainty about the asset base of Funding Circle
     borrowers during adverse economic periods.

-- The break-even rates for the interest rate stresses and
     default timings were determined using the DBRS cash flow
     tool.

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



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I T A L Y
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MONTE DEI PASCHI: Former Chief Executive, Chairman Sent to Trial
----------------------------------------------------------------
Manuela D'Alessandro at Reuters reports that legal sources said
on April 27 Fabrizio Viola and Alessandro Profumo, who served as
chief executive and chairman of Italian lender Banca Monte dei
Paschi di Siena, have been sent to trial in Milan on alleged
market rigging and accounting fraud.

The lawyers representing the two executives declined to comment
on the issue, Reuters notes.

Monte dei Paschi was also sent to trial, Reuters states.

According to Reuters, under Italian law, companies are deemed
responsible for the actions of their managers and can be fined if
found guilty.

Banca Monte dei Paschi di Siena SpA -- http://www.mps.it/-- is
an Italy-based company engaged in the banking sector.  It
provides traditional banking services, asset management and
private banking, including life insurance, pension funds and
investment trusts.  In addition, it offers investment banking,
including project finance, merchant banking and financial
advisory services.  The Company comprises more than 3,000
branches, and a structure of channels of distribution.  Banca
Monte dei Paschi di Siena Group has subsidiaries located
throughout Italy, Europe, America, Asia and North Africa.  It has
numerous subsidiaries, including Mps Sim SpA, MPS Capital
Services Banca per le Imprese SpA, MPS Banca Personale SpA, Banca
Toscana SpA, Monte Paschi Ireland Ltd. and Banca MP Belgio SpA.

In February 2017 Italy's lower house of parliament approved a
government bid to increase public debt by up to EUR20 billion
(about US$21.3 billion) to fund a rescue package for Monte dei
Paschi di Siena (MPS) and other ailing banks.  The move comes
after the European Union approved in December 2016 the Italian
government's move to rescue MPS, the country's third- largest
lender and the world's oldest bank.


NEXI CAPITAL: S&P Assigns Preliminary 'B+' ICR, Outlook Stable
--------------------------------------------------------------
S&P Global Ratings said that it assigned its preliminary 'B+'
long-term issuer credit rating to new Italy-based entity Nexi
Capital SpA (Nexi).

S&P said, "We also assigned our preliminary 'B+' issue rating to
Nexi's proposed EUR2.2 billion five-and five-and-a-half-year
senior secured bond. The recovery rating on those facilities is
'3', indicating our expectation of meaningful (50%-90%; rounded
estimate: 50%) recovery for debtholders in the event of a payment
default.

"Our 'B+' preliminary rating on Nexi reflects our opinion that
the company will further consolidate its leading position in the
rapidly expanding payment and credit card business in Italy, and
maintain high profitability in the coming years. The rating is,
however, constrained by our expectations it will maintain high
leverage ratios."

On April 30, Mercury announced that, following the reorganization
expected to complete in July 2018, its payment activities will
operate under its subsidiary Latino Italy SpA and that Nexi
Capital SpA, a newly incorporated subsidiary of Latino Italy,
will issue EUR2.6 billion senior secured debt to finance the
reorganization and repay existing debt, EUR400 million of which
is being privately placed. The reorganization is expected to
complete in July 2018, and thereafter, Nexi Capital SpA will be
merged with Latino Italy, which will assume Nexi Capital SpA's
issuer obligations.

S&P said, "We are assigning our preliminary rating to the merged
entity as if the entire reorganization has already taken place
and the merged entity (Nexi) will be considered the issuer. We
expect this process to be completed early July.

"We estimate that around 75% of the value of overall card
transactions in Italy will pass through Nexi. The company will
benefit from high market shares in the card issuing business
(around 42% market share, with a peak of 62% in credit cards); in
the merchant acquiring business (47% of total, 76% excluding
national debit); and in the point-of-sale (POS) management
business (43%).

"In this regard, we think that Nexi's leading presence in the
payment cards market in Italy is likely to boost its operating
profitability to a level above most of its international peers,
with EBITDA margin sustainably above 40% over the next two years.
Firstly, this is because the expanding market and increasing card
transactions in Italy will have a positive effect on the bank's
revenues. Secondly, thanks to Nexi's existing and increasing
economies of scale and cost efficiency initiatives, we expect it
to be able to abate the high fixed costs that characterize this
business model more than other existing or potential competitors.
This is mainly through the internalization of some of the
processes in the payment value chain.

"We also expect Nexi to have a highly leveraged financial
profile. The new entity will start operating with a substantial
amount of debt to finance its operations, around EUR2.6 billion
of senior secured bonds and we assume this debt will not decrease
over the next two years. This will be more than 5x the amount of
pro-forma EBITDA we anticipate in 2018 and 2019. We consider Nexi
to be a financial sponsor-controlled company, as 93.2% will be
held by private equity firms Bain, Advent, and Clessidra.
Consequently, as we largely do for financial sponsor-controlled
companies, we do not net future cash flow from the calculation of
our adjusted projected debt figure."

S&P's base case assumes:

-- Card payment penetration in Italy (currently 21% of total
    transactions compared with 42% average in the EU) will
    continue to progress at the current pace, with the projected
    number of transactions increasing by 5% per cent per year
    over the next three years.

-- S&P expects economic growth in Italy will range between 1.3%
    and 1.5% per year over the next two years, supported by a
    robust domestic consumptions.

-- Average revenue growth of 5% per year in 2018-2019 and 2020
    compared with pro-forma 2017 of EUR951 million, mainly as a
    result of increasing number of transactions.

-- EBITDA to increase to EUR500 million in 2019 corresponding to
    an S&P Global Ratings-adjusted EBITDA margin of over 45%.
    This also thanks to the synergies that will emerge from the
    integration of recently acquired businesses and cost
    efficiency initiatives.

-- S&P is deducting future cash flows from its debt projections,
    reflecting the financial sponsor ownership.

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

-- Average debt to EBITDA of 5.5x in 2018 and 2019.
-- Average FFO to debt of around 10%.

S&P said, "The stable outlook reflects our view that Nexi will be
able to increase its EBITDA margin above 40% in 2018-2019 and
maintain its leverage ratio at least at the current level (above
5x).

"We could raise the rating if we conclude that Nexi's financial
policy has improved and we anticipate its debt to EBITDA will
decline to below 5x over the next 12 months.

"We could lower the ratings if we anticipate that Nexi's leverage
will increase further from the already high levels we assume
today. This could happen, for instance, if the company undertakes
a debt-funded acquisition that could result in a meaningful
increase of its debt-to-EBITDA ratios. We could also lower the
ratings if we anticipate a material compression on the company's
profitability, leading to a projected EBITDA margin sustainably
below 35%."


TAURUS 2018-1: DBRS Assigns Prov. BB(low) Rating to Class E Notes
-----------------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to the
following classes of Commercial Mortgage-Backed Floating-Rate
Notes Due May 2030 (collectively, the Notes) issued by Taurus
2018-1 IT S.R.L. (the Issuer):

-- Class A Notes rated AA (low) (sf)
-- Class B Notes rated A (sf)
-- Class C Notes rated BBB (sf)
-- Class D Notes rated BB (high) (sf)
-- Class E Notes rated BB (low) (sf)

All trends are Stable.

Taurus 2018-1 IT S.r.l. is a securitization of three Italian
senior commercial real estate loans: the Camelot loan, the Bel
Air loan and the Logo loan. The loans were advanced by Bank of
America Merrill Lynch International Limited (BAML), Milan Branch,
with regards to the Camelot and Bel Air loan, and Bank of America
Merrill Lynch International (BAML) with regards to the Logo loan.
The loans will be sold to the Issuer after issuance. The loans
were granted as acquisition financing to two borrowers: Kryalos
SGR S.p.A (the Camelot and Bel Air Borrower) and as refinancing
facility to Milano Mega S.r.l. (the Logo Borrower).

The Camelot and Logo are backed by Italian logistic assets and
the Bel Air loan is backed by Italian retail properties. The
logistic assets are sponsored by the Blackstone Group L.P.
(Blackstone) and managed by Logicor, while the retail assets are
sponsored by the Partners Group L.P., which bought the properties
from Blackstone in January 2018. They are managed by Kryalos
Asset Management (together with Kryalos SGR S.p.A., Kryalos).

The total loan amount of the three loans is EUR 359.6 million;
however, only EUR [300] million or [83.4]% of the total amount
will be securitized. The Camelot loan is the largest of the three
senior loans, having an initial EUR 215 million loan balance, of
which EUR 5.256 million is for the acquisition of the Massalengo
I extension project by the end of 2018 and will not be released
by the facility agent until then. Although the extension project
is expected to add EUR 8.15 million in value to the Camelot
portfolio, DBRS does not give credit to any property under
construction. The resulting loan-to-value (LTV) for the Camelot
loan is 70.9% for all released loan amounts or 72.7% based on the
whole-loan amount. The Bel Air loan has a EUR 110 million loan
balance and the lowest LTV of 51.0%. The Logo loan is the
smallest loan in the portfolio, with a EUR 34.6 million loan
balance and a moderate 61.7% LTV as at the cut-off date. Overall,
the transaction will have a day-one reported LTV of 62.4% when
excluding the undrawn acquisition debt for the Massalengo I
extension or 63.4% when including all loan amounts. The MV of the
whole transaction is estimated to be EUR 567.6 million when
excluding the Massalengo I extension or EUR 578.8 million when
including the development project.

The logistic assets securing the Camelot and Logo loans are
located in key logistics and commercial centers of the Northern
Italy. More specifically, EUR 179.5 million MV is concentrated in
Milan while EUR 70.4 million MV is in Verona; these two locations
make up 71.0% of the total logistics MV exposure. The retail
assets securing the Bel Air loan, however, are more concentrated
in the center and south of Italy with Sicily, Puglia and Lazio
provinces contributing 80.0% of the MV. In terms of net rental
income (NRI), the logistics properties contribute 64.3% while the
retail assets make up the remaining 35.8%. Based on a NRI of EUR
37.1 million, reported as of 31 December 2017, the overall debt
yield (DY) of the transaction is 10.3% or 10.5% based on a netted
loan amount of EUR 354.3 million.

Each loan bears interest at a floating rate equal to three-month
Euribor (subject to zero floor) plus a margin set at 3.15% for
the Camelot loan, 2.5% for the Bel Air loan and 2.75% for the
Logo loan. The expected maturity dates for the Camelot and Logo
loans are 15 February 2020 and 15 May 2020, respectively, with
three one-year extension options subject to certain conditions.
The Bel Air loan is expected to repay by 15 May 2021; however,
the borrower can also extend the loan on two occasions; each
extension would last one year, subject to satisfaction of the
extension conditions. There is a tail period of seven years
starting from 2023, which is the expiration year of all the
extension options.

Prepayment fee is payable by the borrowers in case of early
repayment. DBRS understands that for the Camelot and the Logo
loan, the prepayment fee is equal to one-year make-whole
interest, unless the prepayment is resulting from permitted
property disposal of no less than 15% of the loan amount at cut-
off. With regards to the Bel Air loan, a two-year interest make-
whole prepayment fee will apply unless the total prepaid amount
is less than EUR 35 million.

Similar to other Blackstone sponsored loans, there are no default
covenants for the Camelot and the Logo loan, but only cash trap
covenants based on LTV and DY tested every interest payment day.
The Camelot loan has a fixed-LTV cash trap covenant at 80% and
increasing DY covenant. The Logo loan has one LTV cash trap
covenant set at 72% and DY covenant set at 9%. It should be noted
that both Camelot loan and the Logo loan have a higher DY
covenant post permitted change of control or permitted structural
change. The Bel Air loan has a default covenant of 70% LTV and 9%
DY in before year 3 and 10% DY after. This loan also has
tightening-LTV cash trap covenants set at 65% for the first three
years and 60% during the loan extension period; the same applies
to the loan's DY covenant, increasing from 10% during the initial
loan term to 11% should the loan be extended.

All three loans are interest-only loans and any prepayment or
repayment proceeds will form a part of principal receipt. The
principal receipts from property disposals will always be
allocated sequentially. Other principal receipts coming from the
Bel Air and/or Logo loans will be distributed to the note holders
sequentially. Whereas such principal receipt from the Camelot
loan will be distributed 90% pro rata and 10% reverse sequential
unless the Camelot loan is the only outstanding loan, in which
case the principal receipts will be paid pro rata.

Class D and E are subjected to an available funds cap where the
shortfall is attributable to an increase in the weighted-average
margin of the notes.

The transaction benefits from a liquidity facility, which will
total EUR [15] million and will be provided by Bank of America
N.A., London Branch (the Liquidity Facility Provider). The
liquidity facility can be used to cover interest shortfalls on
the class A and class B notes, or the most senior class of notes
other than classes A and B. According to DBRS's analysis, the
commitment amount, as at closing, will be equivalent to
approximately [20] months of coverage on the covered notes.

Bank of America Merrill Lynch will retain an ongoing material
economic interest of not less than 5% to maintain compliance with
applicable regulatory requirements.

The ratings will be finalized upon receipt of the execution
version of the governing transaction documents. To the extent
that the documents and information provided to DBRS as of this
date differ from the executed version of the governing
transaction documents, DBRS may assign different final ratings to
the notes.

Notes: All figures are in euros unless otherwise noted.


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


KAZTRANSGAS: S&P Affirms BB- Issuer Credit Rating, Outlook Stable
-----------------------------------------------------------------
S&P Global Ratings affirmed its 'BB-' long-term issuer credit
ratings on Kazakh gas utility company KazTransGas (KTG) and its
100% owned gas pipeline operator Intergas Central Asia JSC (ICA).
The outlook on both entities is stable.

S&P said, "The affirmation reflects our unchanged expectation of
a moderately high likelihood that KTG would receive timely and
sufficient support from the government of Kazakhstan, if needed.
It also reflects our continued view of KTG's moderately strategic
status for its 100% parent, KazMunayGas NC JSC (KMG; BB-/Stable/-
-), and its close links with the parent. Having said that, we
believe that KTG's stand-alone financial metrics have weakened
somewhat on the back of enlarged investment program and new debt
issued to fund a loan given to its 50/50 joint venture, with
funds from operations (FFO) to debt at about 25% in 2017 compared
with our previous expectation of 30%-35%. We believe KTG's
financial metrics will become more volatile going forward,
because of the increasing share of exports in its gas trading
business, which we view as more volatile than KTG's core gas
transportation operations.

"KTG's moderately strategic status to the KMG group is
underpinned, in our view, by the company's role as the monopoly
gas supplier in the service area, and ICA's status as the
national trunk gas pipeline operator. This also leads us to
consider KTG's important role for and strong, albeit indirect,
link with the government. However, the rating on KTG is
constrained by the rating on KMG. We do not expect to rate KTG
above the parent, which closely controls the company's strategy
and operations, owns several interrelated business segments, and
holds significant debt at the parent level."

In September 2017, KTG issued a $400 million loan to Beineu-
Shymkent Gas Pipeline LLP (BShP), its 50/50 joint venture with
Trans-Asia Gas Pipeline Co. Ltd. The loan supported BShP in
partial loans repayment of $400 million to Chinese banks and was
equal to the reduction of KMG's financial guarantee issued to the
same lenders in respect of BShP. S&P understands that, after the
negotiations, KMG's financial guarantee should be renewed in the
initial amount of $750 million and BShP would be able to return
funding to KTG ahead of maturity in 2028. KTG aims to increase
pipeline capacity of the route to China up to 15 billion cubic
meters (m3) during 2018-2019. Additional investment needs amount
to $300 million to build three compression stations, including
$200 million to be spent in 2018. Increased pipeline capacity
should meet demand for gas supply to China. In October 2017, KTG
and PetroChina International Co. Ltd. signed sales and purchase
agreement for 5 billion m3 for one year, of which about 1 billion
m3 was shipped in the fourth quarter of 2017. The company expects
gas sales to China will increase to 10 billion m3 with increased
pipelines capacities.

S&P understands, with additional volumes to China, the share of
gas trading in KTG's revenues will increase to 80%-85% by 2020
from about 67% in 2017. The cost of purchased gas is currently
relatively low for KTG, due to its status as a national operator,
and we expect the company could report at least a 20% EBITDA
margin on gas sales for export. S&P views KTG's gas-trading
operations as more volatile than its core transportation and
transit midstream business, because gas extraction volumes could
depend on the specific conditions of the oil and gas fields,
purchase prices differ by supplier, and future price adjustments
cannot be ruled out.

S&P said, "We now view KTG's financial risk profile as
aggressive, which includes our assessment of the company's
volatile cash flows during stress periods, reflecting exposure to
volumes and price risks of export gas trading. This made us to
revise our assessment of KTG's stand-alone credit profile (SACP)
to 'bb-' from 'bb' previously.

"We expect the credit metrics could weaken further, such that FFO
to debt is about 20% in 2018. However, we believe that the higher
leverage will be temporary, and that KTG will achieve stronger
results in 2019, with completion of compression stations
construction and increased gas sales to China."

KTG's business risk profile is supported by the stable nature of
the gas transportation business, as well as profitable export gas
resale operations. KTG is a national gas operator, which supports
its role as the main instrument of the government's strategies in
the gas industry. This status also grants KTG the pre-emptive
right to acquire gas infrastructure assets and buy associated gas
from oil producers at favorable regulated prices and resell it
domestically at regulated prices and abroad at significantly
higher contractual prices.

S&P saud, "Although we view gas-trading operations as more
volatile than relatively stable gas transport, they could
contribute strongly to the future increase in group's EBITDA. We
view access to gas resale operations as a sign of ongoing state
support.

"We continue to believe the company is exposed to Kazakhstan
country risk, which we think is high; opaque tariff regulation;
and potential competition from alternative gas export pipelines.

"We equalize the ratings on ICA with those on KTG, reflecting the
overall creditworthiness of the KTG group. The consolidated
approach reflects the companies' close integration, KTG's 100%
ownership of ICA and other major subsidiaries, financial
guarantees on much of the group's debt issued by ICA and KTG,
large intragroup cash flows, and an absence of effective
subsidiary ring fencing.

"The stable outlook mirrors that on KTG's immediate parent, KMG,
and our expectations that the company will successfully complete
its intensive investment program within budget and on time, with
peak spending in 2018, and that credit metrics will start
recovering in 2019 with FFO to debt comfortably above 20%."

Any negative rating action on KMG would trigger the similar
rating action on KTG. Temporary weakening of KTG's credit metrics
is unlikely to trigger a downgrade due to anticipated
extraordinary support from the government of Kazakhstan.

S&P said, "We would likely take positive action on KTG if we took
a similar action on KMG, all else being the same. We do not
expect to rate KTG above its parent even if we revise our
assessment of its SACP upward to 'bb'."


* Fitch: Kazakh Banks' Asset Quality Still Weak, Cleanup Gradual
----------------------------------------------------------------
Very weak asset quality at Kazakh banks means that any clean-up
will be gradual, even as regulators step up scrutiny of the
sector, Fitch Ratings said at its 12th annual conference on
Kazakhstan in Almaty.

Non-performing loans (NPLs) were a moderate 12% of sector loans
at end-2017, but NPL ratios significantly understate the extent
of problem loans at some banks. Significant asset risks also stem
from loans not classified as NPLs, such as restructured loans
(more than 10% of sector loans) and other distressed exposures.
Foreign-currency lending (more than 30% of sector loans) is also
a source of risk.

Banks may have to establish additional provisions for these
exposures, but some banks have limited capacity to do so as their
capital buffers are thin relative to potential risks and their
pre-impairment profitability is undermined by uncollected accrued
interest payments, including those on problem loans.

A gradual clean-up of the sector is underway. Last year,
Kazakhstan's second-largest bank, Kazkommertsbank (KKB; BB-
/RWP/b), received substantial support from the authorities and
was then acquired by the country's largest and strongest bank,
Halyk (BB/Stable/bb). We believe that Halyk is well positioned to
gradually absorb the remaining asset-quality weakness in KKB
through its strong pre-impairment profitability.

Four medium-sized privately-owned banks received capital support
from the authorities in the form of cheap subordinated debt in
Q417. However, this may not be sufficient, given the size of the
potential problem assets. The authorities' willingness to provide
further support to these banks has not yet been tested. We rate
two of these banks, AFT and BCC, both B/Stable/b.

In contrast, the authorities have allowed some small banks to
fail. Contagion risk was limited as these banks represented only
5% of sector assets. Kazinvest and Delta failed in 4Q16 and 4Q17,
respectively, and were liquidated. Last year, Bank RBK failed and
restructured some of its liabilities, but then received support
from the authorities on the same terms as the medium-sized banks.
There is no bail-in legislation in Kazakhstan, but in most cases
decisions on support seem to have been based primarily on the
systemic importance of each bank.

Fitch Views Halyk, KKB and a number of state- and foreign-owned
banks as having healthier credit profiles and/or access to
capital support from their parent banks, if needed. These banks
account for about 55% of sector assets. The four medium-sized
banks that received state support account for about 25% of sector
assets. The remaining 20% of sector assets relate to smaller,
often weaker banks, and are likely to be the main focus for
clean-up or consolidation in the next few years. However,
cleaning up the system will require time and additional state
support, in Fitch's view, and may weigh on banks' credit
profiles.

The presentation "Kazakh Banking Sector - Moderate Growth,
Gradual Sector Clean-up" is available at www.fitchratings.com.


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


GILEX HOLDING: Moody's Rates New $300M Secured Notes 'B2'
---------------------------------------------------------
Moody's Investors Service assigned a B2 rating to Gilex Holding
S.a.r.l.'s proposed $300 million senior secured notes. The
outlook is stable.

The following rating was assigned to Gilex's proposed $300
million senior secured notes:

  Long-term foreign currency senior secured debt rating of B2,
  stable outlook

RATINGS RATIONALE

Gilex (issuer rating B2, stable) is a holding company based in
Luxembourg. The large majority of its asset holdings is
represented by its 94.7% stake in Banco GNB Sudameris S.A. (GNB,
deposits Ba2 stable, BCA ba3), a bank based in Colombia. Proceeds
of the notes, which will be secured with a pledge of 50.01% of
the shares of GNB, will be used to refinance Gilex's outstanding
$250 million bridge loan and/or for general corporate purposes,
including the funding of investment opportunities.

The notes will be direct, senior secured obligations of Gilex and
will rank senior in right of payment to all of its existing and
future senior indebtedness to the extent of the value of the
pledged shares.

Dividends from GNB will supply nearly all of the cash flow to
repay principal and interest on Gilex's debt. Consequently, the
rating is two notches below GNB's baseline credit assessment
(BCA) of ba3, based on moderate expected interest coverage but
relatively high double leverage. The rating is notched off of
GNB's BCA because unlike GNB's deposit ratings, Gilex's rating
does not incorporate any support from the Colombian government.
While Moody's believes there is a moderate probability that the
government will support GNB's depositors and senior debt holders
in an event of stress, this support will not accrue to the
company's shareholders, i.e. Gilex.

Gilex's double leverage, which is an indication of how heavily a
holding company relies on debt measured by its investments in
subsidiaries divided by shareholders' equity, could rise as high
as 140% if all of the proceeds (except the $25 million minimum
liquidity requirement) of the current issuance were invested in
subsidiaries. Moody's considers double leverage in excess of 115%
to be high.

The ratings also incorporate the risks associated with the
dividend inflows from GNB, which could be blocked by Colombia's
regulator if the bank's regulatory Common Equity Tier (CET1,
Patrimonio Basico) ratio were to fall below 4.5%. Currently,
however, the bank maintains a moderate capital cushion, with a
consolidated CET1 ratio of 6.7% as of year-end 2017. If GNB were
to dividend out 100% of its earnings, Moody's estimates that
Gilex's interest coverage would exceed a relatively robust 4-
times and could reach as high as 6-times, in 2018. However, this
would leave the bank with little capacity to grow. Moody's notes
that in recent years, GNB has actually reinvested 100% of its
earnings to fund growth. Assuming that GNB begins to pay
dividends equal to 50% of net income, Gilex's interest coverage
is expected to be more moderate, at 2- to 3-times, subject to the
size of the coupon.

As the bank begins to pay dividends, however, lower earnings
retention coupled with faster asset growth could quickly consume
any capital injected in the bank by Gilex with the proceeds of
the current issuance and ultimately pressure the bank's
capitalization. In turn, this could force the bank to reduce
dividend payouts, which would put further pressure on Gilex's
interest coverage ratio.

In addition, dividend payments from GNB, and consequently
interest coverage at Gilex, could be affected by a deterioration
in earnings at the bank. While GNB's profitability has improved
in recent years, with an average yearly growth of net income of
6% from 2015 to 2017, its earnings generation is subject to
volatility given its relatively narrow earnings diversification,
concentrated in a few lending segments. Earnings are also
vulnerable to changes in the bank's cost of funds given its heavy
reliance on wholesale funding, with market funds equal to 24% of
tangible banking assets, as of year-end 2017.

The rating also considers the issuance's key covenants and the
security pledge. Although Gilex is not required to use the
proceeds of any asset sales, including the unpledged portion of
its interest in GNB, to pay down its debt and could use them to
purchase or invest in other assets, it is not permitted to use
the proceeds to pay a dividend to its shareholders. The issuer
cannot issue additional debt if (i) interest coverage is less
than 2-times, (ii) net debt is greater than 4.5-times available
cash flow, or (iii) debt to equity is greater than 60%. Moody's
does not expect net debt to equity to significantly exceed 40% or
cash flow leverage to be more than 3.4-times. Although the
incurrence test is not likely to prevent the company from issuing
additional debt, Gilex will not be able to issue any debt with a
pari passu claim on the security. This will help limit the impact
of additional debt issuances on the current bonds' recovery rate
in an event of default.

Otherwise, however, the security interest in GNB is of limited
consequence for the rating. While it may enhance bondholder
control in an event of default, the value of the security would
likely be highly inversely correlated with the probability of
default given Gilex's dependence on the source of the security
for nearly all of its cash flow. As such, the security will most
probably only be enforced when GNB's ability to provide dividends
has been compromised, which will also adversely affect the value
of the bank's shares.

The stable outlook takes into consideration Moody's expectation
that Gilex will not incur in additional debt given the
conservative incurrence test. Also, it is in line with the stable
outlook on GNB, which incorporates Moody's expectation that GNB's
asset risks will remain stable, in line with Colombia's gradual
economic recovery, while earnings generation and reinvestment
will continue to sustain capitalization.

WHAT COULD CHANGE THE RATING UP/DOWN

Gilex's ratings will face downward pressure if GNB's BCA is
lowered, which could be driven by (i) increasing reliance on
wholesale funding and/or declining liquidity position; (ii)
engagement in further large scale acquisitions, leading to a
significant reduction in capitalization, and/or (iii) rising
asset risks. Gilex's ratings could also face downward pressure if
its double leverage ratio significantly exceeds 140%, if GNB's
dividends fall below 1.5-times interest expenses, and/or if Gilex
faces unexpected operating expenses, which have historically been
minimal.

Gilex's ratings will face upward rating pressures if GNB's BCA is
raised, supported by a substantial improvement in capitalization,
a significant and sustainable increase in core earnings, and/or
an improvement in the bank's funding structure. Also, upward
pressures could derive from a reduction in the company's
indebtedness and/or double leverage, or higher than expected
revenues from dividend inflows, provided this does not impair
GNB's ability to reinvest in itself and support growth.


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


CREDIT EUROPE: Fitch Maintains BB- LT Issuer Default Rating
-----------------------------------------------------------
Fitch Ratings has maintained Credit Europe Bank N.V.'s (CEB)
Long-Term Issuer Default Rating (IDR) of 'BB-', Viability Rating
of 'bb-' and long-term subordinated debt rating of 'B+' on Rating
Watch Positive (RWP). Fitch has also maintained the Support
Rating of '4' of CEB's Russian subsidiary Credit Europe Bank
(CEBR) on Rating Watch Negative (RWN).

KEY RATING DRIVERS

The maintenance of RWP on CEB's ratings and of the RWN on CEBR's
Support Rating reflects the ongoing process of transferring the
ownership of CEBR to a different entity within its ultimate
shareholder' group, Fiba Group. Fitch understands from management
that CEB and CEBR are still awaiting all necessary regulatory
approvals.

Fitch believes that the spin-off of CEBR will ultimately be
positive for CEB's credit profile through reduced volatility of
earnings and asset quality, and a lower-risk asset mix. As part
of the transaction, CEB received a USD75 million injection of
Tier 1 capital in December 2017 (of which USD25 million in the
form of common equity) from the Fiba Group. The spin-off will
likely moderately increase CEB's single name concentration and
exposure to unreserved non-performing loans (NPLs), but the RWP
reflects our expectation that CEB will be able to gradually
manage both down.

CEBR's Support Rating of '4' reflects the limited probability of
support from CEB. We believe that as a result of the spin-off,
CEB's stake in CEBR will decrease to 10%. Fitch cannot reliably
assess the ability of the bank's ultimate shareholder to provide
extraordinary support to CEBR in case of need and therefore we
maintain a RWN on the Support Rating.

RATING SENSITIVITIES

Fitch will likely upgrade CEB's Long-Term IDR, VR and long-term
subordinated debt rating by one notch to 'BB', 'bb' and 'BB-'
respectively upon the completion of the spin-off. Fitch will also
likely downgrade CEBR's Support Rating to '5'. If the spin-off is
cancelled, the ratings are likely to be affirmed.


DRYDEN 59: Moody's Rates EUR35.6MM Class E Notes 'Ba2'
------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to notes issued by Dryden 59 Euro
CLO 2017 B.V.:

EUR294,500,000 Class A Senior Secured Floating Rate Notes due
2032, Definitive Rating Assigned Aaa (sf)

EUR37,400,000 Class B Senior Secured Fixed Rate Notes due 2032,
Definitive Rating Assigned Aa2 (sf)

EUR29,000,000 Class C-1 Mezzanine Secured Deferrable Floating
Rate Notes due 2032, Definitive Rating Assigned A2 (sf)

EUR31,000,000 Class D-1 Mezzanine Secured Deferrable Floating
Rate Notes due 2032, Definitive Rating Assigned Baa2 (sf)

EUR35,600,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Definitive Rating Assigned Ba2 (sf)

EUR11,875,000 Class F Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

Moody's definitive ratings of the rated notes address the
expected loss posed to noteholders by the legal final maturity of
the notes in 2032. 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, PGIM Limited has
sufficient experience and operational capacity and is capable of
managing this CLO.

Dryden 59 is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured loans and senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior loans, second-lien loans, mezzanine obligations and high
yield bonds. The portfolio is expected to be at least 80% ramped
up as of the closing date and to be comprised predominantly of
corporate loans to obligors domiciled in Western Europe.

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

In addition to the six classes of notes rated by Moody's, the
Issuer issued EUR 48.6M of Subordinated Notes which will not be
rated.

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

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.

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

Loss and Cash Flow Analysis:

Moody's modelled the transaction using CDOEdge, a cash flow model
based on the Binomial Expansion Technique. 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.

Par amount: EUR475,000,000

Diversity Score: 42

Weighted Average Rating Factor (WARF): 2820

Weighted Average Spread (WAS): 3.4%

Weighted Average Coupon (WAC): 4.0%

Weighted Average Recovery Rate (WARR): 41.0%

Weighted Average Life (WAL): 8.75 years (8.0 years initially)

Moody's has analysed the potential impact associated with
sovereign related risk of peripheral European countries. As part
of the base case, Moody's addressed the potential exposure to
obligors domiciled in countries with local currency country risk
ceiling of A1 or below. For countries which are not member of the
European Union, the foreign currency country risk ceiling applies
at the same levels under this transaction. Following the
effective date, and given the portfolio constraints and the
current sovereign ratings in Europe, such exposure may not exceed
15% 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 local or foreign currency
country ceiling of A1 or lower, a maximum 5% of the pool would be
domiciled in countries with local or foreign currency country
ceiling of Baa1 or lower. 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. Given this
portfolio composition, the model was run with different target
par amounts depending on the target rating of each class as
further described in the methodology. The portfolio haircuts are
a function of the exposure size to peripheral countries and the
target ratings of the rated notes and amount to 0.75% for the
Class A notes, 0.5% for the Class B, 0.375% for the Class C-1,
and 0% for Class D-1,Class E and F notes.

Stress Scenarios:

Together with the set of modelling assumptions above, Moody's
conducted additional sensitivity analysis, which was an important
component in determining the definitive ratings assigned to the
rated notes. This sensitivity analysis includes increased default
probability relative to the base case. Here 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 3243 from 2820)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: -1

Class B Senior Secured Fixed Rate Notes: -2

Class C-1 Mezzanine Secured Deferrable Floating Rate Notes: -2

Class D-1 Mezzanine Secured Deferrable Floating Rate Notes: -2

Class E Mezzanine Secured Deferrable Floating Rate Notes: -1

Class F Mezzanine Secured Deferrable Floating Rate Notes: -1

Percentage Change in WARF: WARF +30% (to 3666 from 2820)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: -1

Class B Senior Secured Fixed Rate Notes: -3

Class C-1 Mezzanine Secured Deferrable Floating Rate Notes: -3

Class D-1 Mezzanine Secured Deferrable Floating Rate Notes: -2

Class E Mezzanine Secured Deferrable Floating Rate Notes: -2

Class F Mezzanine Secured Deferrable Floating Rate Notes: -3


DRYDEN 59: Fitch Assigns 'B-sf' Rating to Class F Debt
------------------------------------------------------
Fitch Ratings has assigned Dryden 59 Euro CLO 2017 B.V. final
ratings, as follows:

EUR294.5 million Class A: 'AAAsf'; Outlook Stable
EUR37.4 million Class B: 'AAsf'; Outlook Stable
EUR29 million Class C: 'Asf'; Outlook Stable
EUR31 million Class D: 'BBB-sf'; Outlook Stable
EUR35.6 million Class E: 'BB-sf'; Outlook Stable
EUR11.875 million Class F: 'B-sf'; Outlook Stable
EUR48.6 million subordinated notes: not rated

Dryden 59 Euro CLO 2017 B.V. is a cash flow collateralised loan
obligation (CLO). Net proceeds from the issuance of the notes
have been used to purchase a portfolio of EUR475 million of
mostly European leveraged loans and bonds. The portfolio is
actively managed by PGIM Limited.

The CLO envisages a 4.5-year reinvestment period and an eight-
year weighted average life (WAL). The WAL test can be increased
by nine months on any date on or after the end of the non-call
period in October 2019 if certain conditions are met or at any
time subject to rating agency confirmation from Fitch.

KEY RATING DRIVERS

'B' Portfolio Credit Quality
Fitch considers the average credit quality of obligors to be in
the 'B' range. The Fitch-weighted average rating factor (WARF) of
the identified portfolio is 31.9.

High Recovery Expectations
At least 90% of the portfolio comprises senior secured
obligations. Fitch views the recovery prospects for these assets
as more favourable than for second-lien, unsecured and mezzanine
assets. The Fitch-weighted average recovery rate (WARR) of the
current portfolio is 64.2%.

Interest Rate Exposure
Fixed-rate liabilities represent 7.9% of the target par, while
fixed-rate assets can represent up to 20% of the portfolio. The
transaction is therefore partially hedged against rising interest
rates.

Diversified Asset Portfolio
The transaction features different Fitch test matrices with
different allowances for exposure to the 10 largest obligors
(maximum 18% and 30%). The manager can then interpolate between
these matrices. The transaction also includes limits on maximum
industry exposure based on Fitch industry definitions. The
maximum exposure to the largest three Fitch industries in the
portfolio is covenanted at 40%.

Limited FX Risk
The transaction is allowed to invest up to 30% of the portfolio
in non-euro-denominated assets, provided these are hedged with
perfect asset swaps within six months of purchase. Unhedged non-
euro assets must not exceed 2.5% of the portfolio at any time.

RATING SENSITIVITIES

A 125% default multiplier applied to the portfolio's mean default
rate, and with this increase added to all rating default levels,
would lead to a downgrade of up to two notches for the rated
notes. A 25% reduction in recovery rates would lead to a
downgrade of up to four notches for the rated notes.


RENOIR BV: Moody's Hikes Ratings on 2 Tranches to B1
----------------------------------------------------
Moody's Investors Service has upgraded the rating on the
following notes issued by Renoir CDO B.V.:

EUR14.8M (Current outstanding balance EUR 13.31M) Class C
Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously
on Nov 16, 2017 Upgraded to Aa3 (sf)

EUR4.25M (Current outstanding balance EUR 4.99M) Class D-1
Deferrable Fixed Rate Notes, Upgraded to B1 (sf); previously on
Nov 16, 2017 Upgraded to Caa2 (sf)

EUR5.05M (Current outstanding balance EUR 5.43M) Class D-2
Deferrable Floating Rate Notes, Upgraded to B1 (sf); previously
on Nov 16, 2017 Upgraded to Caa2 (sf)

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

EUR8.5M (Current outstanding balance EUR 5.11M) Combination
Notes, Affirmed Ca (sf); previously on Nov 16, 2017 Affirmed Ca
(sf)

Renoir CDO B.V. is a managed cash-flow collateralized debt
obligation backed primarily by a portfolio of Euro dominated
Structured Finance securities with up to 20% of the portfolio
assets exposed to synthetic securities. At present, the portfolio
is composed mainly of RMBS and CMBS. The portfolio is managed by
BNP Paribas Asset Management and the transaction passed its
reinvestment period in April 2010.


RATINGS RATIONALE

The rating actions on the notes are primarily a result of the
deleveraging of the Class B and Class C notes following
amortisation of the underlying portfolio and subsequent
improvement of over-collateralisation (OC) ratios. Since the last
rating action in November 2017, Class B notes have been redeemed
in full and Class C notes paid down in total by EUR1.5 million.

As a result of the deleveraging, OC ratios have increased. As per
the latest trustee report dated March 2018, the Classes C and D
over-collateralisation ratios were reported at 170.36% and
113.01%, compared to September levels of 156.05% and 115.38%
respectively.

The rating on the combination notes addresses the repayment of
the rated balance on or before the legal final maturity. The
rated balance at any time is equal to the principal amount of the
combination note on the issue date minus the sum of all payments
made from the issue date to such date, of either interest or
principal. The rated balance will not necessarily correspond to
the outstanding notional amount reported by the trustee.

Moody's notes that at the time of the last rating action in
November 2017, there was an input error in the calculation of the
asset collateral amount. The asset collateral amount has since
been corrected and this is fully incorporated in Moody's current
analysis.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.

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

In addition to the base-case analysis, Moody's conducted
sensitivity analysis on the key parameters for the rated notes:

Amount of defaulted assets - Moody's considered a model run where
all of the Caa-rated assets in the portfolio were assumed to be
defaulted with zero recovery. The model output for this run was
in line with the base-case model output for Classes C and D-1,
and within one notch of the base-case model output for Class D-2.

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of 1) uncertainty about credit conditions in the
general economy 2) divergence in the legal interpretation of CDO
documentation by different transactional parties due to or
because of embedded ambiguities.

Moody's notes the maximum achievable rating in this transaction
is Aa1 (sf) due to linkage with Deutsche Bank AG, London Branch
as the Account Bank in accordance with Moody's cross-sector
methodology entitled "Moody's Approach to Assessing Counterparty
Risks in Structured Finance," dated 26 July 2017.

Additional uncertainty about performance is due to the following:

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

* Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's over-
collateralization levels. Further, the timing of recoveries and
the manager's decision whether to hold or sell defaulted assets
can also result in additional uncertainty. Recoveries higher than
Moody's expectations would have a positive impact on the notes'
ratings.

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


STEINHOFF INT'L: To Discuss Plan to Reorganize Debt with Lenders
----------------------------------------------------------------
Janice Kew at Bloomberg News reports that Steinhoff International
Holdings NV will face up to lenders in London next week to
discuss a plan to reorganize EUR10.4 billion (US$12.5 billion) of
debt, a meeting that could prove critical to the future of the
retailer weighed down by an accounting crisis.

The owner of Conforama in France and Mattress Firm in the U.S.
will hold the meeting in private on May 18, a spokeswoman, as
cited by Bloomberg, said in an emailed response to questions
May 3.

According to Bloomberg, while Steinhoff has sold off assets to
shore up its balance sheet and buy time from creditors, that
strategy is unsustainable with debt levels so high, the company
told investors last month.

Steinhoff shares have plunged more than 95% since reporting a
hole in its accounts in December, valuing the business at about
EUR584 million, Bloomberg relates.

As reported by the Troubled Company Reporter on Jan. 3, 2018,
Moody's Investors Service downgraded the ratings of Steinhoff
International Holdings N.V. (Steinhoff) and Steinhoff Investment
Holdings Limited by assigning Caa1 Corporate Family Ratings to
the two companies and B3.za national scale Corporate Family
Rating to Steinhoff Investment Holdings Limited.  At the same
time, Moody's downgraded the backed senior unsecured notes rating
of Steinhoff Europe AG to Caa1 from B1.  Moody's also assigned
Caa1-PD probability of default ratings (PDR) to Steinhoff and
Steinhoff Investment Holdings Limited.


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


GETBACK SA: Fitch Lowers Long-Term IDR to 'RD', Off RWN
-------------------------------------------------------
Fitch Ratings has downgraded GetBack S.A.'s Long-Term Issuer
Default Rating (IDR) to 'RD' (Restricted Default) from 'B-' and
removed it from Rating Watch Negative (RWN).

GetBack has experienced an uncured payment default on a number of
its bonds.

KEY RATING DRIVERS

The downgrade reflects Fitch's view that the partial non-payment
on bonds confirmed by GetBack in its announcement on 26 April
2018, constitutes an uncured payment default and thus meets
Fitch's definition of a restricted default.

RATING SENSITIVITIES

Following the downgrade to 'RD', GetBack's Long-Term IDR is
primarily sensitive to the company resuming its repayment
obligations with regards to all its outstanding debt. A track
record of timely debt service in line with the original maturity
schedule for upcoming debt obligations could result in positive
rating action.

Fitch would downgrade GetBack's rating to 'D' in case of a
bankruptcy filing, administration, receivership, liquidation,
other formal winding-up procedure or if it ceased operating.


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


DOM.RF JSC: Moody's Affirms Ba1 LT Sr. Unsecured Debt Rating
------------------------------------------------------------
Moody's Investors Service has downgraded to ba3 from ba2 JSC
DOM.RF's Baseline Credit Assessment (BCA)/Adjusted BCA and
affirmed its Ba1 long-term issuer and senior unsecured debt
ratings, Not Prime short-term ratings as well as Ba1(cr)/Not
Prime(cr) Counterparty Risk Assessments. The outlook on the long-
term ratings remains positive.

RATINGS RATIONALE

The downgrade of DOM.RF's Baseline Credit Assessment follows the
recent takeover of full control in the distressed Bank Rossiysky
Capital (BRC) that weakened DOM.RF's consolidated solvency
metrics. Despite strong profits reported by DOM.RF in 2017, its
consolidated capital adequacy deteriorated with Moody's key
measuring ratio, tangible common equity to total assets,
declining to 14.2% as of December 31, 2017 from 44.2% as of
December 31, 2016. While certain actions to recover BRC's
distressed credit profile are continuing and should help to
partially replenish the acquired bank's capital shortfall,
Moody's expects DOM.RF's recently increased leverage is unlikely
to recover back to historically high levels. The increased size
of DOM.RF's operations will also normalize DOM.RF's profitability
at a lower level compared to robust metrics reported in recent
years. DOM.RF's reported net income to tangible assets was above
4% in 2016-2017, thus the consolidation of BRC with recently
loss-making operations should lower profitability of the
consolidated group, if measured compared to the consolidated
average assets. DOM.RF's lower BCA also captures uncertainties
related with BRC's currently performing loan book, risks
associated with the ongoing integration of BRC as well as
DOM.RF's recently increasing appetite for direct investments into
real estate and direct lending to the construction sector.

Despite the weaker standalone credit profile, the affirmation of
the Ba1 long-term ratings is underpinned by DOM.RF's gradually
increasing policy role in the development of the Russian
construction and mortgage sectors that remains one of the key
priorities for the Russian authorities. This translates into very
high government support assumptions that now lifts DOM.RF's long-
term ratings two notches above its adjusted BCA of ba3. Our
government support assumptions are based on DOM.RF's strategic
importance due to its policy role of supporting and developing
residential housing and mortgage market in Russia. In the recent
years, DOM.RF's policy role has been gradually extended from
promoting the mortgage market to developing the rental housing
market and stimulating the supply of affordable housing. Very
high government support assumptions also capture DOM.RF's special
status as well as state guarantees on part of its outstanding
bond issues. Being in the list of strategic entities of the
Russian Federation, DOM.RF also has specific revenue-raising
power with respect to state-owned land, which effectively
represents regular committed financial support from the
government.

OUTLOOK

The positive outlook assigned to DOM.RF's long-term ratings
mirrors the positive outlook on the Russian Government's ratings.

WHAT COULD MOVE THE RATINGS UP/DOWN

Long-term ratings could benefit from positive rating action on
the sovereign ratings while the positive rating actions on
DOM.RF's BCA is unlikely in the next 12 to 18 months as reflected
by the current BCA downgrade.

The rating outlook could be changed to stable if the outlook on
Russia's sovereign debt rating were to be revised to stable.
DOM.RF's ratings may be also downgraded if the Russian
government's capacity or propensity to render support were to
diminish (which is not currently anticipated) or the increasing
policy role were to substantially weaken DOM.RF's standalone
metrics.

LIST OF AFFECTED RATINGS

Issuer: JSC DOM.RF

Downgrades:

Baseline Credit Assessment, Downgraded to ba3 from ba2

Adjusted Baseline Credit Assessment, Downgraded to ba3 from ba2

Affirmations:

LT Counterparty Risk Assessment, Affirmed Ba1(cr)

ST Counterparty Risk Assessment, Affirmed Not Prime(cr)

LT Issuer Rating (Local & Foreign Currency), Affirmed Ba1,
  Outlook Remains Positive

ST Issuer Rating (Local & Foreign Currency), Affirmed Not Prime

Senior Unsecured Regular Bond/Debenture (Local Currency),
Affirmed Ba1, Outlook Remains Positive

BACKED Senior Unsecured Regular Bond/Debenture (Local Currency),
Affirmed Ba1, Outlook Remains Positive

Outlook Actions:

Outlook, Remains Positive


ELEMENT LEASING: Fitch Affirms Then Withdraws B+/B Ratings
----------------------------------------------------------
Fitch Ratings has affirmed Russia-based Element Leasing's (EL)
Long-Term Foreign- and Local-Currency Issuer Default Ratings
(IDRs) at 'B+' with Stable Outlooks and Short-Term Foreign
Currency IDR at 'B' and withdrawn the ratings. At the same time,
Fitch will no longer provide ratings or analytical coverage of
the company for commercial reasons.

KEY RATING DRIVERS

The 'B+' IDRs reflect EL's intrinsic creditworthiness. Its
business model is focused on providing small-ticket financial
leasing of commercial vehicles to SMEs. EL's franchise is narrow,
with a sizable share of GAZ Group brands, which made up almost
50% of new business volumes in 2017. EL demonstrated rapid growth
of lease portfolio in 2017 (37%), but management plans to slow it
down in 2018-2019 to preserve leverage.

Fitch believes the company has close connections with Basic
Element (in our view, three out of six members of EL's board are
representatives of the group and significant funding was provided
by entities affiliated with the group). Fitch deems potential
contagion risk from related group (which is now under US
sanctions) is manageable.

EL's asset quality improved in 2017 as impaired lease receivables
and foreclosed assets decreased to 4% of total leases (2016: 9%)
due to work-out of legacy problems and good performance of the
new portfolio. Fitch expects the level of non-performing leases
to increase moderately upon seasoning of the portfolio after
recent growth.

Decreasing provisioning expenses in 2017 coupled with widening
margins allowed EL to strengthen profitability and return on
average equity reached 32%. Fitch expects EL's performance to
moderate in 2018-2019 amid a decreasing lease yield, but it will
be underpinned by low operational cost business model.

At end-2017, EL's debt-to-tangible equity ratio was a moderate 6x
and debt-to-equity at 5.1x (up from 5.5x and 4.8x respectively at
end-2016), albeit above its peers' level. Management plans to
stabilise leverage at around the current level by slowing growth
and capital generation with 50% profit retention.

EL strengthened its funding profile with issue of RUB5 billion
(equivalent of 60% of end-2017 borrowing) bond in March 2018.
This is a three-year issue with quarterly amortisation of
principal. It thus mimics the maturity profile of EL's lease
portfolio and mitigates refinancing and interest risk. Management
plans to use the proceeds from the new issue largely to refinance
existing borrowings. Loans from Russian banks make up most of
EL's remaining funding.


===============
S L O V E N I A
===============


NOVA LJUBLJANSKA: Fitch Puts BB Issuer Default Rating on RWE
------------------------------------------------------------
Fitch Ratings has placed Slovenia-based Nova Ljubljanska Banka
d.d.'s (NLB) 'BB' Long-Term Issuer Default Rating (IDR) on Rating
Watch Evolving (RWE). The agency has also revised the Outlook on
Nova Kreditna Banka Maribor's (NKBM) 'BB' Long-Term IDR to
Positive from Stable. Fitch has affirmed the IDRs of Banka Intesa
Sanpaolo d.d. (Intesa) at 'BBB-', Abanka d.d. (Abanka) at 'BB+'
and Gorenjska Banka d.d., Kranj (GBKR) at 'BB-'. The Outlooks on
the latter three banks' Long-Term IDRs are Stable.

Fitch has upgraded Intesa's Viability Rating (VR), reflecting its
improved asset quality, considerable capital buffer and solid
funding and liquidity profile. The Positive Outlook on NKBM
reflects significant further potential for improvement in asset
quality and profitability, the latter driven by progress in
revenue generation and cost optimisation. The affirmation of the
VRs of Abanka and GBKR reflect their generally stable credit
profiles compared with our previous review.

The RWE on NLB's ratings reflects (i) the potential negative
impact on the bank's credit profile of the investigation
procedure initiated by the European Commission (EC); and (ii)
recent positive changes in the bank's financial profile.

The EC investigation follows the breach of the restructuring
commitments made when the state-aid extended to the bank was
approved in 2011-2013. According to the EC's statement published
earlier this month, Slovenia did not complete the sale of a first
tranche (50%) of its shares in NLB before the end of 2017, nor
did Slovenia nominate a trustee to comply with the alternative
commitment of divesting the bank's Balkan subsidiaries. Failure
to meet these commitments has caused the EC to determine that
state aid was not lawfully implemented.

The outcome of the investigation is difficult to assess, but
could lead to direct financial costs for NLB or to imposition of
additional restrictions that could negatively impact the bank's
earnings generation capacity. In Fitch's view, these could
materially weaken NLB's company profile, profitability and
capitalisation, potentially resulting in a downgrade.

At the same time, Fitch acknowledges that NLB's financial metrics
materially improved in 2017 on the back of significant moderation
of asset quality risks and stronger earnings, while the capital
position remained solid. Accordingly, if the EC investigation
does not have any material negative impact on NLB, the bank's
ratings could be upgraded by one notch.

KEY RATING DRIVERS

IDRS AND SENIOR DEBT
The IDRs of Abanka, NLB, NKBM and GBKR are driven by their
standalone financial strength, as expressed by their VRs.

Intesa's IDRs are driven by potential support that the bank may
receive from its ultimate parent, Intesa Sanpaolo S.p.A. (ISP;
BBB/Stable/bbb), in case of need. Fitch believes that the
probability of support from ISP to Intesa is high given (i) the
strategic commitment of ISP to the central and eastern Europe
(CEE) region; (ii) full ownership and common branding; and (iii)
significant integration between the two banks. The Stable Outlook
on Intesa's Long-Term IDR mirrors that on the parent.

VRs
The VRs of all five banks benefit from the benign economic
environment, as reflected in high economic growth and ongoing de-
leveraging of the corporate sector, resulting in sector-wide
asset quality improvement. The VRs also capture the banks' solid
capital buffers, strong funding and liquidity profiles and
relatively conservative management and risk appetite.

On the negative side, the sub-investment-grade VRs reflect still
high volumes of legacy problem loans and significant competition
in an overbanked market. The latter results in limited pricing
power, sluggish loan growth prospects and some franchise
constraints for smaller banks, which coupled with the low-
interest-rate environment drive generally weak pre-impairment
performance (less so for NLB).

The one notch higher VRs of Abanka and Intesa compared with NKBM
reflect their lower ratios of NPLs. GBKR has the lowest VR in the
peer group due to having the highest amount of net NPLs relative
to capital and a weaker franchise.

At end-2017 the banks' NPL ratios remained high (Intesa: 9%, NLB:
11%, Abanka: 12%, GBKR: 15%, NKBM: 21%) although in Fitch's view,
NPLs are adequately covered by loan impairment reserves (coverage
ratios range from 57% (GBKR) to 81% (Abanka) and downside asset
quality risks stemming from legacy NPL portfolios are limited. We
believe that NPLs are conservatively defined and credit risks
from other loans are low. This view is based on the analysis of
the banks' largest corporate exposures, which we believe are
generally of reasonable credit quality, and very limited
origination of new NPLs among newly issued loans. With the
exception of Intesa, each bank reported a net recovery of NPLs
(adjusted for write-offs) in 2017 and three of them (NLB, NKBM
and Abanka) also posted a recovery of loan impairment charges in
their 2017 income statements.

Asset quality risks are also mitigated by the banks' substantial
capital buffers, captured by Fitch Core Capital (FCC) ratios at
end-2017: Abanka: 27%, NKBM: 23%, NLB: 19%, Intesa and GBKR: 18%.
As a result, net NPLs are only limited relative to capital,
ranging from 9% (Abanka) to 36% (GBKR). Fitch estimates that at
end-2017 all five banks could fully write-off their legacy NPLs
and maintain sound capital ratios of above 12%. Fitch expects
capital buffers to stay elevated due to moderate profit retention
and only modest loan growth, which we expect to stay in low
single digits in the next few years, mostly driven by the recent
increase in retail loan issuance.

The banks' bottom line performance has been supported in some
cases by loan recoveries, but performance remains a weakness on a
pre-impairment basis. Fitch estimates that banks' pre-impairment
profit in 2017 ranged from 1.0% (NKBM) to 2.5% (NLB) of their
average gross loans, offering limited protection against renewed
asset quality deterioration. NLB's performance is somewhat
stronger compared with peers due to slightly wider margins, which
benefit from exposure to higher interest rate markets in South
Eastern Europe. The pre-impairment performance of the other banks
remains under pressure from low interest rates, high shares of
low-yielding liquid assets on their balance sheets and scale
limitations.

Robust liquidity buffers and healthy funding structures are a
rating strength for all five banks. The banking sector continues
to receive a steady inflow of granular and cheap retail deposits,
and funding profiles remain dominated by customer funding (around
90% of total liabilities at each of the banks). The banks have
also managed to accumulate large liquidity cushions due to
limited new lending opportunities. At end-2017 liquidity buffers
were robust at Abanka and NKBM (around 50% of total liabilities),
followed by GBKR (43%), NLB (39%) and Intesa (27%). Customer
funding concentrations are moderate at GBKR and very limited at
the other banks. At end-2017, around 16% of GBKR's total
liabilities come from the largest customer, but liquidity risks
are limited as GBKR maintains a substantial liquidity cushion
against these customer balances.

SUPPORT RATING AND SUPPORT RATING FLOOR - Abanka, NLB, NKBM and
GBKR

The Support Rating Floors of 'No Floor' and Support Ratings of
'5' for, Abanka, NLB, NKBM and GBKR express Fitch's opinion that
potential sovereign support for the banks cannot be relied on.
This is underpinned by the EU's Bank Recovery and Resolution
Directive, which provides a framework for resolving banks that is
likely to require senior creditors participating in losses, if
necessary, instead of or ahead of a bank receiving sovereign
support.

Fitch does not incorporate any potential support to the IDRs of
NKBM and GBKR from its private shareholders as in the agency's
view such support cannot be relied upon in all circumstances.

RATING SENSITIVITIES

IDRS AND SENIOR DEBT
Intesa's Long-Term IDR is likely to move in tandem with ISP's
ratings. However, if there were evidence of the support stance
weakening and/or a reduced commitment by the group to CEE, the
notching between the parent and the subsidiary could be widened,
resulting in a downgrade of Intesa's ratings.

The IDRs of Abanka, NLB, NKBM and GBKR are sensitive to changes
in their VRs.

VRs
NLB
Fitch will likely resolve the RWE on NLB's ratings once there is
more visibility on the next steps that the EC and Slovenian
authorities may undertake in order to address the issues
identified in the EC's recent statement. Imposition of direct
financial costs or material operational restrictions on NLB could
lead to a downgrade, while clarity that no such measures would be
imposed could result in an upgrade, given improvements in the
bank's financial profile.

NLB could also be downgraded in case of material losses resulting
from ongoing Croatian legal proceedings relating to deposits in
the old Ljubljanska Banka prior to the break-up of the former
Yugoslavia. The total amount of claims against NLB is EUR167.1
million (principal) plus accrued penalty interest which exceeds
the principal amount; NLB has created no provision against this
contingency as management believes NLB will ultimately win the
case.

ABANKA, NKBM, INTESA, GBKR
NKBM could be upgraded in case of further progress with NPL
recoveries and profitability improvements.

Further improvements in asset quality and performance would also
be positive for Abanka, GBKR and Intesa, but upgrades of VRs are
less likely given their already higher level at Abanka and Intesa
and franchise limitations at GBKR.

Negative rating pressure on all four banks could stem from
renewed asset quality deterioration or significant erosion of
capital or liquidity buffers, although these scenarios are viewed
as unlikely by Fitch.

The rating actions are as follows:

Abanka d.d.:
Long-Term IDR: affirmed at 'BB+', Outlook Stable
Short-Term IDR: affirmed at 'B'
Viability Rating affirmed at 'bb+'
Support Rating: affirmed at '5'
Support Rating Floor: affirmed at 'No Floor'

Nova Ljubljanska Banka d.d.
Long-Term IDR: 'BB', placed on RWE
Short-Term IDR: affirmed at 'B'
Viability Rating 'bb', placed on RWE
Support Rating: affirmed at '5'
Support Rating Floor: affirmed at 'No Floor'

Nova Kreditna Banka Maribor
Long-Term IDR: affirmed at 'BB', Outlook revised to Positive from
Stable
Short-Term IDR: affirmed at 'B'
Viability Rating affirmed at 'bb'
Support Rating: affirmed at '5'
Support Rating Floor: affirmed at 'No Floor'

Banka Intesa Sanpaolo d.d.:
Long-Term IDR: affirmed at 'BBB-', Outlook Stable
Short-Term IDR: affirmed at 'F3'
Viability Rating: upgraded to 'bb+'
Support Rating: affirmed at '2'

Gorenjska Banka d.d., Kranj:
Long-Term IDR: affirmed at 'BB-', Outlook Stable
Short-Term IDR: affirmed at 'B'
Viability Rating: affirmed at 'bb-'
Support Rating: affirmed at '5'
Support Rating Floor: affirmed at 'No Floor'


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


AYT GENOVA IX: Fitch Corrects April 23 Ratings Release
------------------------------------------------------
Fitch Ratings issued a commentary replacing the version published
on April 23, 2018 to correct the rating action on the class B
notes in Genova Series X.

Fitch Ratings has taken multiple rating actions on AyT Genova
Hipotecario IX, X, XI and XII by upgrading two tranches,
downgrading three tranches, affirming the remaining tranches and
removing all classes from Rating Watch Evolving (RWE) where they
were placed on 5 October 2017.

The AyT Genova Hipotecario series of RMBS transactions comprise
prime Spanish loans originated by Barclays Bank SAU and serviced
by CaixaBank, S.A. (BBB/Positive/F2).

KEY RATING DRIVERS

European RMBS Rating Criteria
The rating actions reflect the application of Fitch's new
European RMBS Rating Criteria. The downgrades, upgrades and
affirmations reflect the levels of credit enhancement (CE)
relative to Fitch's asset performance expectations as per the
agency's latest rating criteria.

Account Bank Exposure
The transaction documents in February 2015 for AyT Genova
Hipotecario XI were amended and in March 2016 for AyT Genova
Hipotecario X and XII, to include a lower minimum counterparty
rating threshold of 'BBB'/F2' (from 'A'/'F1') for the role of
account bank provider. As a result, the maximum rating level
achievable on the notes is 'A+sf' in accordance with Fitch's
Counterparty Criteria for Structured Finance and Covered Bonds.

Sound Asset Performance
As of the respective cut-off dates the transactions reported
late-stage arrears ranging from 5bp on in AyT Genova Hipotecario
XI (as of February 2018) to 69bp on Ayt Genova Hipotecario XII
(as of March 2018), down from 17bp (as of August 2017) and 61bp
(as of June 2017), respectively .

Defaults have increased slightly over the last 12 months, driven
by the volume of delinquent loans reaching the transaction's
default definition of 18 months in arrears. Despite these
transactions performing slightly worse than earlier more de-
leveraged AyT Genova Hipocateria transactions (i.e. III, IV, VI,
VII) defaults have nevertheless remained limited in volume (below
2% for all the transactions). This is reflected in today's
upgrades and affirmations.

Pro-rata Amortisation
AyT Genova Hipotecario IX is currently paying pro-rata, which
limits CE build-up, and this is expected to continue for the
foreseeable future. As of January 2018, the CE for class A notes
has only built up to 8.8% from 4.5% at close and the class B
notes CE has increased to 6.6% from 3.3% at close. The CE levels
are not commensurate with the previous ratings and this has been
reflected in today's downgrades.

AyT Genova Hipotecario X and AyT Genova Hipotecario XI are
currently paying sequentially, due to reserve funds being just
below target, but they are likely to switch to pro-rata in the
near future, particularly AyT Genova Hipotecario XI. These three
transactions have 10% switchback triggers and reserve funds
floors that should see credit enhancement build up; albeit at a
slower rate than for AyT Genova Hipotecario XII which can only
pay sequentially. Currently the reserve funds on all four
transactions are either at, or just below, their respective
target amounts.

VARIATIONS FROM CRITERIA
The model-implied ratings for the class D notes for AyT Genova
Hipotecario IX and AyT Genova Hipotecario X were seven and three
notches lower than their assigned ratings. The assigned ratings
reflect Fitch's expectations that the model-implied ratings will
converge to the current rating levels in a short timeframe. This
is primarily because the floor on the reserve fund (at EUR5.15
million versus the January 2018 amount of EUR7.96 million for AyT
Genova Hipotecario IX and EUR5.25 million versus the December
2017 amount of EUR9.01 million for AyT Genova Hipotecario X) will
result in an increase in credit enhancement for all classes as
the transactions is in its tail-end. Fitch concluded that ratings
of 'Bsf' were most appropriate for both class D notes,
respectively. This constitutes a variation from the European RMBS
Rating Criteria.

RATING SENSITIVITIES
A worsening of the Spanish macroeconomic environment, especially
employment conditions, or an abrupt shift in interest rates could
jeopardise the ability of the underlying borrowers to meet their
payment obligations

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pools and the transactions. There were no findings that were
material to this 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.

Fitch did not undertake a review of the information provided
about the underlying asset pools ahead of the transactions'
initial closing. The subsequent performance of the transactions
over the years is consistent with the agency's expectations given
the operating environment and Fitch is therefore satisfied that
the asset pool information relied upon for its initial rating
analysis was adequately reliable.

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 sourced from the European Data Warehouse as at:
AyT Genova Hipotecario IX - 8 January 2018
AyT Genova Hipotecario X - 7 December 2017
AyT Genova Hipotecario XI - 8 February 2018
AyT Genova Hipotecario XII - 8 March 2018

Transaction reporting provided by Haya Titulizacion S.G.F.T.,
S.A.U as at:
AyT Genova Hipotecario IX - 15 January 2018
AyT Genova Hipotecario X - 15 December 2017
AyT Genova Hipotecario XI - 15 February 2018
AyT Genova Hipotecario XII - 15 March 2018

Fitch has taken the following rating actions:

AyT Genova Hipotecario IX, FTH:

Class A2: downgraded to 'Asf' from 'AA+sf'; off RWE; Outlook
Stable
Class B: downgraded to 'A-sf' from 'AA-sf'; off RWE; Outlook
Stable
Class C: affirmed at 'BBB+sf'; off RWE; Outlook Stable
Class D: downgraded to 'Bsf' from BB+; off RWE; Outlook Stable

AyT Genova Hipotecario X, FTH:

Class A2: affirmed at 'A+sf'; off RWE; Outlook Stable
Class B: affirmed at 'A+sf'; off RWE; Outlook Stable
Class C: upgraded to 'A-sf' from 'BBB-sf'; off RWE; Outlook
Stable
Class D: affirmed at 'Bsf'; off RWE; Outlook Stable

AyT Genova Hipotecario XI, FTH:

Class A2: affirmed at 'A+sf'; off RWE; Outlook Stable
Class B: affirmed at 'A+sf'; off RWE; Outlook Stable
Class C: upgraded to 'A+sf' from 'Asf'; off RWE; Outlook Stable
Class D: affirmed at BBBsf'; off RWE; Outlook Stable

AyT Genova Hipotecario XII, FTH:

Class A2: affirmed at 'A+sf'; off RWE; Outlook Stable
Class B: affirmed at 'BBBsf'; off RWE; Outlook Stable


BCC CAJAMAR: DBRS Assigns Prov. CC Rating to Series B Notes
-----------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to the
following notes to be issued by IM BCC Cajamar PYME 2, FT (the
Issuer):

-- EUR 760.0 million Series A Notes rated at A (high) (sf)
-- EUR 240.0 million Series B Notes rated at CC (sf) (together
     with the Series A Notes, the Notes)

The transaction is a cash flow securitization collateralized by a
portfolio of term loans originated by Cajamar Caja Rural, S.C.C
(Cajamar or the Originator) to small- and medium-sized
enterprises and self-employed individuals based in Spain. As of
13 March 2018, the transaction's provisional portfolio consisted
of 21,003 loans to 16,970 obligor groups, totaling EUR 1,098.6
million.

At closing, the Originator will select the final portfolio of EUR
1,000.0 million from the provisional pool.

The rating on the Series A Notes addresses the timely payment of
interest and the ultimate repayment of principal on or before the
Legal Maturity Date in June 2057. The rating on the Series B
Notes addresses the ultimate payment of interest and principal on
or before the Legal Maturity Date.

Interest and principal payments on the Notes will be made monthly
on the 22nd of each month, with the first payment date on 22 June
2018. The Notes will pay a fixed interest rate equal to 0.5%
until 22 December 2019. After that, the Notes will pay an
interest rate of Euribor one-month plus a 0.20% and 0.30% margin
for the Series A and Series B, respectively.

The provisional pool exhibits relatively low borrower
concentration. The largest obligor group represents 1.01% of the
portfolio balance and the top ten and top twenty borrowers
represent 5.27% and 8.17% of the outstanding pool balance,
respectively. As per DBRS's Industry classification, the pool
exhibits a high industry concentration in Farming/Agriculture,
which represents 29.01% of the pool balance, followed by
Food/Drug retailers and Business Equipment and Services at 8.11%
and 6.78%, respectively. There is a high concentration of
borrowers in Andalusia (29.97% of the portfolio balance), which
is expected given that Andalusia is the home region of the
Originator. Additionally, 17.5% of the outstanding balance of the
portfolio corresponds to refinance loans, which have a higher
default expectation. At closing, the maximum percentage of
refinance loans transferred to the Issuer cannot exceed 15.0% of
the portfolio balance.

These ratings are based upon DBRS's review of the following
items:

At closing, the Series A Notes will benefit from a total credit
enhancement of 27.00%, which DBRS considers to be sufficient to
support the A (high) (sf) rating. The Series B Notes will benefit
from a credit enhancement of 3.00%. Credit enhancement will be
provided by subordination and the Reserve Fund.

The Reserve Fund has a balance of EUR 30.0 million, 3.00% of the
aggregate balance of the Notes, and is available to cover
shortfalls in the senior expenses and interest in the Series A
Notes. Once the Series A Notes are fully paid, the Reserve Fund
will be available to cover interest on Series B throughout the
life of the Notes. The Reserve Fund will only be available as a
credit support for the Notes at the Legal Final Maturity or at a
fund liquidation date.

The transaction does not include any mechanisms to address
commingling risk. As such, DBRS's analysis includes a stress
equivalent to the interruption of interest and principal proceeds
for a period of six months, assuming that senior expenses and
interest on the Series A Notes would be paid from the Cash
Reserve for this period.

DBRS determined these ratings as follows, as per the principal
methodology specified below:

-- The probability of default (PD) for the portfolio was
     determined using the historical performance information
     supplied. The historical data has been provided separately
     for refinance loans and "normal" loans. DBRS compared the
     historical data analysis with the internal PD distribution
     of the portfolio and concluded that the portfolio credit
     quality was worse than the banks' loan book which was used
     for historical performance data. DBRS adjusted the annual PD
     for the loans of the portfolio that have lower internal
     ratings (i.e., ratings 0, 1 and 2) considering as defaulted
     from day one loans with a 0 and 1 rating and a PD of 20.0%
     for those loans with a rating of 2. For the remaining
     portfolio, DBRS assumed an annual PD of 2.18% for the
     standard loans and an annual PD of 7.22% for refinance loans
     based on the historical performance data provided.

-- The assumed weighted-average life (WAL) of the portfolio was
     5.26 years.

-- The PD and WAL were used in the DBRS Diversity Model to
     generate the hurdle rate for the target ratings.

-- The recovery rate was determined by considering the market
     value declines for Spain, the security level and type of the
     collateral. For the Series A Notes, DBRS applied a 54.79%
     recovery rate for secured loans and a 16.30% recovery rate
     for unsecured loans. For the Series B Notes, DBRS applied a
     73.62% recovery rate for secured loans and a 21.50% recovery
     rate for unsecured loans.

-- The break-even rates for the interest rate stresses and
     default timings were determined using the DBRS Cash Flow
     tool.

Notes:  All figures are in euros unless otherwise noted.


CASTELLANA FINANCE: S&P Puts B-(sf) C2 Notes Rating on Watch Pos.
-----------------------------------------------------------------
S&P Global Ratings placed on CreditWatch positive its credit
ratings on the class B1, B2, C1, and C2 notes issued by
castellana finance ltd. The transaction references the reserve
funds and subordinated credit lines in 11 outstanding residential
mortgage-backed securities (RMBS) transactions originated by
Bankinter S.A.

S&P said, "The rating actions follow the March 23, 2018 upgrade
of Spain and the subsequent raising of our issuer credit ratings
(ICRs) on Bankinter S.A., the counterparty in this transaction,
and consider our updated outlook assumptions for the Spanish
residential mortgage market.

"Our European residential loans criteria, as applicable to
Spanish residential loans, establish how our loan-level analysis
incorporates our current opinion of the local market outlook. The
criteria's benchmark assumptions for projected losses assume
benign starting conditions, in other words, a positive or stable
outlook on the local housing and mortgage markets. If the
starting conditions are adverse, we modify these assumptions.

"Our current outlook for the Spanish housing and mortgage
markets, as well as for the overall economy in Spain, is benign.
Therefore, we revised our expected level of losses for an
archetypal Spanish residential pool at the 'B' rating level to
0.9% from 1.6%, in line with table 87 of our European residential
loans criteria, by lowering our foreclosure frequency assumption
to 2.00% from 3.33% for the archetypal Spanish residential pool
at the 'B' rating level

"After applying our structured finance ratings above the
sovereign criteria, our counterparty criteria, and our European
residential loans criteria, we have placed on CreditWatch
positive our ratings on castellana finance as we need to conduct
a full analysis to determine the impact of our recent upgrades of
Spain and Bankinter S.A. and our updated outlook assumptions for
the Spanish residential mortgage market.

"We will seek to resolve the CreditWatch placements within the
next 90 days."

castellana finance is a synthetic Spanish transaction that closed
in July 2007. The underlying transactions comprise first-ranking
loans granted to prime Spanish borrowers.

  RATINGS LIST

  Class            Rating
             To                      From

  Castellana Finance. Ltd.
  EUR185.15 Million Asset-Backed Floating-Rate Credit-Linked
Notes

  Ratings Placed On CreditWatch Positive
  B1         BBB (sf)/Watch Pos       BBB (sf)
  B2         BBB- (sf)/Watch Pos      BBB- (sf)
  C1         B+ (sf)/Watch Pos        B+ (sf)
  C2         B- (sf)/Watch Pos        B- (sf)


  D         D (sf)
  E         D (sf)
  F         D (sf)



SANTANDER HIPOTECARIO 3: S&P Affirms D Ratings on Three Notes
-------------------------------------------------------------
S&P Global Ratings affirmed and removed from CreditWatch positive
its credit ratings on Fondo de Titulizacion de Activos, Santander
Hipotecario 3's class A1, A2, and A3 notes. At the same time, S&P
affirmed its ratings on class B, C, D, E, and F notes.

S&P said, "The rating actions follow the application of our
relevant criteria and our full analysis of the most recent
transaction information that we have received, and reflect the
transaction's current structural features. We have also
considered our updated outlook assumptions for the Spanish
residential mortgage market.

"Our structured finance ratings above the sovereign (RAS)
criteria classify the sensitivity of this transaction as
moderate. Therefore, after our March 23, 2018 upgrade of Spain to
'A-' from 'BBB+', the highest rating that we can assign to the
senior-most tranche in this transaction is six notches above the
Spanish sovereign rating, or 'AAA (sf)', if certain conditions
are met. For all the other tranches, the highest rating that we
can assign is four notches above the sovereign rating. However,
we have not performed RAS analysis in this transaction because
all the ratings under our European residential loans criteria are
below the sovereign rating.

"Following the sovereign upgrade, on April 6, 2018, we raised to
A/Stable/A-1 from A-/Stable/A-2 our long-term issuer credit
rating (ICR) on Banco Santander S.A., which is the swap
counterparty and collection account provider in this transaction.
We did not stress commingling loss in our cash flow analysis for
rating levels at or below Banco Santander's ICR. Therefore, the
current ratings on Santander Hipotecario 3 are weak-linked to
Banco Santander's ICR as collection account provider.

"Our European residential loans criteria, as applicable to
Spanish residential loans, establish how our loan-level analysis
incorporates our current opinion of the local market outlook. Our
current outlook for the Spanish housing and mortgage markets, as
well as for the overall economy in Spain, is benign. Therefore,
we revised our expected level of losses for an archetypal Spanish
residential pool at the 'B' rating level to 0.9% from 1.6%, in
line with table 87 of our European residential loans criteria, by
lowering our foreclosure frequency assumption to 2.00% from 3.33%
for the archetypal pool at the 'B' rating level.

"After applying our European residential loans criteria to this
transaction, the overall effect in our credit analysis results is
a decrease in the required credit coverage for each rating level
compared with our previous review, mainly driven by our revised
foreclosure frequency assumptions."

  Rating level   WAFF (%)  WALS (%)
  AAA            22.86     45.12
  AA             16.01     40.24
  A              12.24     31.83
  BBB            9.27      27.02
  BB             6.31      23.58
  B              3.98      20.39

Santander Hipotecario 3's class A1, A2, and A3 notes' credit
enhancement has increased to 7.98% from 7.61% due to the
amortization of the class A1, A2, and A3 notes, which is pro rata
because loans in arrears for more than 90 days are above 1.5% of
the outstanding balance of the performing assets. At the same
time, the class B, C, D, and E notes' credit enhancement has
decreased to 0.21%, (4.46%), (11.53%), and (14.28%) from 0.45%,
(3.84%), (10.35%), and (12.88%), respectively, due to the
amortization of the notes that is fully sequential between the
senior and subordinated notes. This transaction features an
amortizing reserve fund, which the class F notes' issuance funded
at closing. It has been fully depleted since October 2008.

S&P said, "Following the application of our criteria, we have
determined that our assigned ratings on the classes of notes in
this transaction should be the lower of (i) the rating as capped
by our RAS criteria, (ii) the rating as capped by our
counterparty criteria, or (iii) the rating that the class of
notes can attain under our European residential loans criteria.

"Our ratings on the class A1, A2, and A3 notes are not capped by
our RAS analysis as the application of our European residential
loans criteria, including our updated credit figures, determines
our rating on the notes at 'BB- (sf)'. We have therefore affirmed
our 'BB- (sf)' ratings on the class A1, A2, and A3 notes.

"The class B notes does not pass our 'B' stresses under our
European residential loans criteria. However, our cash flow
analysis under 'B' stresses show that there are no interest
shortfalls in the next 12 months. Given the interest deferral
trigger breach in our cash flow analysis, we expect a one-in-two
likelihood of default for class B notes. Under our "General
Criteria: Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC'
Ratings," published on Oct. 1, 2012", we rate notes in the 'CCC'
category if the payment of principal or interest when due depends
on favorable business, financial, or economic conditions. There
is a principal amortization deficit of EUR171.5 million in this
transaction. As a consequence, the class B notes are partially
undercollateralized. We consider the issuer's financial
commitments may be unsustainable in the long term, although the
issuer may not face a credit or payment crisis within the next 12
months. We have therefore affirmed our 'CCC+ (sf)' rating on the
class B notes.

"The class C notes do not pass our 'B' stresses under our
European residential loans criteria. Our cash flow analysis under
'B' stresses, however, shows that there are no interest
shortfalls forecast in the next 12 months. Given the interest
deferral trigger breach in our cash flow analysis, we expect a
one-in-two likelihood of default for the class C notes. Because
of the EUR171.5 million principal amortization deficit, the class
C notes are totally undercollateralized. Therefore, the issuer's
financial commitments appear to be unsustainable in the long
term, although the issuer may not face a credit or payment crisis
within the next 12 months. Consequently, we have affirmed our
'CCC- (sf)' rating on the class C notes.

"The class D, E, and F notes have been defaulting on their
interest payments since the July 2014, July 2013, and April 2008
payment dates, respectively. We have therefore affirmed our 'D
(sf)' ratings on these tranches."

Santander Hipotecario 3 is a Spanish residential mortgage-backed
securities (RMBS) transaction, which closed in April 2007 and
securitizes first-ranking mortgage loans. Banco Santander S.A.
originated the pool, which comprises loans granted to prime
borrowers with high loan-to-value ratios at origination, mainly
in Catalonia, Madrid, and Andalusia.

  RATINGS LIST
  Class             Rating
            To                    From

  Fondo de Titulizacion de Activos, Santander Hipotecario 3
  EUR2.822 Billion Mortgage-Backed Floating-Rate Notes, And An
  Overissuance Of Floating-Rate Notes

  Ratings Removed From CreditWatch Positive And Affirmed

  A1        BB- (sf)              BB- (sf)/Watch Pos
  A2        BB- (sf)              BB- (sf)/Watch Pos
  A3        BB- (sf)              BB- (sf)/Watch Pos

  Ratings Affirmed

  B         CCC+ (sf)
  C         CCC- (sf)
  D         D (sf)
  E         D (sf)
  F         D (sf)


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


BENCH: Files for Administration, Operations to Continue
-------------------------------------------------------
Hanna Sharpe at Business Sale reports that another of the UK's
most recognizable high street brands could be up for sale as
fashion retailer Bench confirmed it had filed for administration.

In a notice issued to shareholders and staff on May 2, Bench said
that it had filed an application with the relevant UK authorities
despite spending the past few months working "tireless" on
turning the business around, Business Sale relates.

According to Business Sale, the firm said that difficulties
facing the UK retail market -- which have seen many high street
names fold or enter administration -- as well as a one-off major
logistics issue in 2016 were major contributing factors to a
recent downturn.

The stores will remain open during the administration, Bench's
owners say, with operations continuing as usual in the immediate
future, Business Sale notes.  No staff cuts have been announced,
though 176 UK jobs and 170 German positions may be at risk,
Business Sale states.

Bench was founded in Manchester in 1989 and originally sold
graphic T-shirts with designs inspired by skateboarding.  It has
since evolved into a global lifestyle brand, encompassing
menswear and womenswear, and currently has 20 UK stores and 15
German retail locations.


CAMBRIDGE ANALYTICA: Commences Insolvency Proceedings in U.K.
-------------------------------------------------------------
Earlier on May 2, 2018, SCL Elections Ltd., as well as certain of
its and Cambridge Analytica LLC's U.K. affiliates (collectively,
the "Company" or "Cambridge Analytica") filed applications to
commence insolvency proceedings in the U.K.  The Company is
immediately ceasing all operations and the boards have applied to
appoint insolvency practitioners Crowe Clark Whitehill LLP to act
as the independent administrator for Cambridge Analytica.

Additionally, parallel bankruptcy proceedings will soon be
commenced on behalf of Cambridge Analytica LLC and certain of the
Company's U.S. affiliates in the United States Bankruptcy Court
for the Southern District of New York.

Over the past several months, Cambridge Analytica has been the
subject of numerous unfounded accusations and, despite the
Company's efforts to correct the record, has been vilified for
activities that are not only legal, but also widely accepted as a
standard component of online advertising in both the political
and commercial arenas.

In light of those accusations, noted Queen's Counsel Julian
Malins was retained to conduct an independent investigation into
the allegations regarding the Company's political activities.
Mr. Malins report, which the Company posted on its website today,
concluded that the allegations were not "borne out by the facts."
Regarding the conclusions set forth in his report, Mr. Malins
stated:

"I had full access to all members of staff and documents in the
preparation of my report.  My findings entirely reflect the
amazement of the staff, on watching the television programmes and
reading the sensationalistic reporting, that any of these media
outlets could have been talking about the company for which they
worked.  Nothing of what they heard or read resonated with what
they actually did for a living."

Despite Cambridge Analytica's unwavering confidence that its
employees have acted ethically and lawfully, which view is now
fully supported by Mr. Malins' report, the siege of media
coverage has driven away virtually all of the Company's customers
and suppliers.  As a result, it has been determined that it is no
longer viable to continue operating the business, which left
Cambridge Analytica with no realistic alternative to placing the
Company into administration.

While this decision was extremely painful for Cambridge
Analytica's leaders, they recognize that it is all the more
difficult for the Company's dedicated employees who learned today
that they likely would be losing their jobs as a result of the
damage caused to the business by the unfairly negative media
coverage.  Despite the Company's precarious financial condition,
Cambridge Analytica intends to fully meet its obligations to its
employees, including with respect to notice periods, severance
terms, and redundancy entitlements.


CYAN BLUE 2: Moody's Reviews B2 CFR & B2-PD PDR for Downgrade
-------------------------------------------------------------
Moody's Investors Service has placed the ratings of the UK online
betting and gaming operator Cyan Blue Holdco 2 Limited under
review for downgrade including its B2 corporate family rating
(CFR), its B2-PD probability of default rating (PDR), its B2
rating of the term loan B due 2024 split between GBP437 million
and USD500 million and of the GBP35 million revolving credit
facility (RCF) due 2023 borrowed by Cyan Blue Holdco 3 Limited
and Cyan Bidco Limited, subsidiaries of Sky Bet.

The review follows the announcement on April 21, 2018 that The
Stars Group Inc. (B2 under review for downgrade) has agreed to
acquire Sky Bet valuing the company USD4.7 billion or 12.8x
unaudited adjusted LTM March 2018 EBITDA of GBP213 million,
including expected run-rate cost synergies of USD70 million. Out
of the USD4.7 billion consideration, USD3.6 billion will be
payable in cash and the remainder in approximately 37.9 million
newly-issued common shares. The Stars Group already has debt
financing in place of USD6.9 million which will be used to fund
the cash portion of the transaction consideration, to refinance
the group's existing first lien term loan and to repay Sky Bet's
outstanding debt, which ratings will be subsequently withdrawn
upon completion.

The transaction, which is expected to complete in the third
quarter of 2018, is subject to customary approvals from the
Toronto Stock Exchange, Nasdaq, and certain gaming and other
regulatory authorities. Approval of the transaction by The Stars
Group's shareholders will not be a requirement or condition to
close.

RATINGS RATIONALE

Moody's action was prompted by the expected material increase in
leverage and the lack of clarity on the future deleveraging
prospective as a result of the The Stars Group's announcement.
Moody's adjusted leverage for the group will rise to around 7.0x
pro forma for this transaction, Crownbet, William Hill Australia
and the synergies compared to the 4.0x of Sky Bet stand-alone as
at December 2017.

These negatives are partly counterbalanced by the expected
improvement on Sky Bet's business profile because of the
increased size and diversification into new geographies.

The enlarged group would have revenues and reported EBITDA of
approximately USD2.2 billion and USD884 million respectively
based on the combined last twelve months trading to December 2017
but excluding Crownbet and William Hill Australia, compared with
Sky Bet's LTM December 2017 revenue of GBP624 million (c.USD874
million) and EBITDA of GBP202 million (c.USD285 million). This
would give the combined group at least a nine percentage point
uplift to Sky Bet's reported EBITDA margin of c.33%, before
expected synergies.

The increased geographic diversification into other European
countries, the US and Australia is also beneficial for Sky Bet,
which mainly operates in the UK, although the combined group will
have exposure to unregulated markets which Sky Bet currently
doesn't have.

Moody's believes that integration risk would be limited because
there is no intention to combine the respective online platforms
and there is little overlap between the two companies'
operations. The expected synergies of USD70 million to be
achieved in two years from completion are mainly related to
savings on marketing and other costs and they are not material
compared to the size of the newly formed entity. There is also
potential for revenue synergies as The Stars Group will benefit
from Sky Bet's rights under certain commercial, licensing and
marketing arrangements with Sky. These arrangements currently
cover the United Kingdom, Italy, and Germany, and include a
framework to cover additional mutually agreed upon regulated
geographies in the future.

To resolve the review, Moody will need to assess the group's
growth and integration strategy and its financial policy.

LIST OF AFFECTED RATINGS

Placed under review for Downgrade

Issuer: Cyan Blue Holdco 2 Limited

Probability of Default Rating, currently B2-PD

Corporate Family Rating, currently B2

Outlook Actions:

Outlook, Changed To Rating Under Review From Stable

Issuer: Cyan Blue Holdco 3 Limited

BACKED Senior Secured Bank Credit Facility, currently B2

Outlook Actions:

Outlook, Changed To Rating Under Review From Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Gaming
Industry published in December 2017.

Sky Bet, based in Leeds (UK), is a leading operator of on-line
betting and gaming in the UK. For the last twelve months to 31
December 2017, the company generated net revenues of GBP624
million and reported an EBITDA of GBP202 million. The company is
currently owned by funds managed by CVC Capital Partners and Sky
plc.


HOUSE OF FRASER: C. Banner to Acquire 51% Stake in Business
-----------------------------------------------------------
Ben Woods at The Telegraph reports that House of Fraser plans to
axe stores and put hundreds of jobs under threat in a major
shake-up that will see the owner of Hamleys toy shop wrest
control of the business.

The embattled department store chain has confirmed that China's
C.banner International Holdings will buy a 51% stake in the
business from majority shareholders Nanjing Cenbest, The
Telegraph relates.

According to The Telegraph, the move will see C.banner subscribe
to new shares in House of Fraser and existing shares from Cenbest
to help support the firm, which is expected to raise GBP70
million worth of fresh capital.

However, the deal rests on the retailer pursuing a Company
Voluntary Arrangement (CVA), a type of insolvency process that
allows companies to close stores and secure deep discount on
rents, The Telegraph notes.

A CVA could lead to a significant drop in its 59-strong UK store
estate, which employs 6,000 people and about 11,500 concession
staff, The Telegraph states.

A decision on whether to progress with the overhaul will be
confirmed in early June, with the deal set to complete by the end
of that month, The Telegraph discloses.

House of Fraser is 89% owned by Nanjing, a subsidiary of China's
Sanpower.  Nanjing will hold on to a "significant minority
interest" in the retailer once the deal is complete, The
Telegraph says.

The company expects to complete the restructuring by early next
year, but the CVA will need to win the backing of creditors and
landlords, according to The Telegraph.

It comes after the firm hired accountancy giant KPMG to help
overhaul the business and speed up its turnaround, The Telegraph
relays.

House of Fraser revealed last week that it had entered into a
memorandum of understanding with C.Banner over the deal, The
Telegraph recounts.

However, questions remain over the future ownership structure of
the business, The Telegraph states.


PERFORM GROUP: Moody's Affirms B2 CFR & Alters Outlook to Neg.
--------------------------------------------------------------
Moody's Investors Service has affirmed the B2 corporate family
rating (CFR) and B2-PD probability of default rating (PDR) of
UK-based sports media company Perform Group Limited (Perform or
the company). Moody's also affirmed the B3 rating on the senior
secured notes due 2020 and issued by Perform Group Financing plc.
The outlook on all ratings was changed to negative from stable.

"The negative outlook on Perform's ratings reflects the exposure
of the restricted group to the DAZN venture outside of the
restricted group, which could lead to increasing counterparty
risk for the restricted group in line with the expected expansion
of the DAZN venture", says Eric Kang, a Moody's analyst.

RATINGS RATIONALE

The B2 CFR with a negative outlook for the restricted group
reflects the high Moody's-adjusted debt/EBITDA of 4.6x as of
December 2017, Moody's expectation of low free cash flow
generation, and the counterparty risk related to the exposure to
the DAZN venture, which is outside of the restricted group.

DAZN is an over-the-top subscription-based video-streaming
service for sports content which launched in Japan, Germany,
Austria and Switzerland in August 2016, and in Canada in July
2017. As of 31 December 2017, it received GBP542 million of
additional funding in the form of shareholder loans due 2019. The
venture will also continue to have significant investment needs
to support its development and roll-out to new markets. Moody's
will view any use of restricted group's resources or additional
third-party debt even outside the restricted group as credit
negative because it could increase pressure on the restricted
group and introduce further complexity into the structure. That
being said, any further payments from the restricted group to the
unrestricted group would be subject to the terms of the bond
indenture.

Moody's also cautions that the exposure to the unrestricted group
as a counterparty and customer is significant and poses
increasing risk for the restricted group. There are some arm's-
length arrangements between the restricted group and DAZN such as
the use of rights that are sub-licensed as well as business and
technical services provided by the restricted group. The
restricted group is a counterparty to the licensing agreements
with rights holders with a total of GBP2.6 billion of future
commitments, of which GBP1.9 billion is sub-licensed to the
unrestricted group (as of December 2017).

The company's weak free cash flow generation is also a factor
constraining the ratings. Perform had negative free cash flow in
its last three fiscal years due to high working capital needs and
capex following the acquisition of new content rights, notably
the strategic partnerships with the WTA and the FIBA. Moody's
expects free cash flow to improve in 2018, as the new
partnerships will lead to incremental revenue, but to be
nonetheless negligible because of high interest and capex of
respectively around GBP17 million and GBP20 million per annum.

Perform's B2 CFR is also constrained by (1) the company's
relatively small size in terms of revenue, (2) the significant
business and technology risks in a dynamic market environment
which require substantial investments and equally dynamic
responses to changing consumer and client trends, and (3) the
mismatch in contract tenors for rights and revenue also leaving
the company with material future purchasing commitments.

The Moody's-adjusted leverage reduced to 4.6x as of 31 December
2017 compared to 4.9x the prior year, supported by EBITDA growth.
Moody's expects EBITDA growth to support deleveraging towards
4.0x in 2018 due to the continued strong growth in the Content
division on the back of the strategic partnerships with the WTA
and FIBA as well as the boost from the FIFA World Cup in 2018.
However, material deleveraging could be constrained by additional
investments to expand the company's product offerings and/or
maintain its market positions in a fast changing industry.

Revenue growth from the renewed WTA contract as well as the FIBA
relationship strongly contributed to the 30% revenue growth in
2017. EBITDA growth (as reported by the company) was lower at 13%
due to the growing rights costs and significant upfront
investments to accommodate broadcast production, media
distribution and technology requirements under the contracts. In
addition, EBITDA was negatively impacted by the underperformance
and closure of the US third-party advertising business.
Accordingly, there should be meaningful EBITDA growth potential
in 2018 on the back of continued revenue growth, and reduced
investments for these new and renewed relationships.

Lastly, the rating also incorporates (1) the company's digital
platform agnostic model supported by its acquisition of multi-
platform rights that protect against changing consumer behaviour
such as the switch to mobile, and (2) its exclusivity for some
content which in conjunction with the scalable platform and a
broad portfolio of rights and end user clients create barriers to
entry and a competitive market position.

LIQUIDITY

Moody's views Perform's liquidity as adequate, albeit the GBP50
million revolving credit facility (RCF) is fully drawn. The low
expected free cash flow is partly offset by adequate cash
balances of GBP49 million as of December 2017. Moody's currently
expects the company to retain sufficient headroom under the
springing gross leverage covenant tested quarterly if the RCF is
drawn by more than 25%. There is no debt maturity prior to August
2020 when the RCF matures.

STRUCTURAL CONSIDERATIONS

The senior secured notes are rated B3, one notch below the CFR,
reflecting their contractual subordination to the comparatively
large super senior RCF. The senior secured notes and the super
senior RCF benefit from the same security package, comprising
substantially all assets of group companies which must at all
times represent at least 80% of group assets, turnover and
EBITDA. However, in accordance with the terms of an intercreditor
agreement, in the event of enforcement of the security the
obligations of the super senior RCF will be satisfied in full
before any payment can be made under the senior secured notes.

RATING OUTLOOK

The negative outlook on Perform's ratings reflects the exposure
of the restricted group to the DAZN venture outside of the
restricted group, which could lead to increasing counterparty
risk for the restricted group in line with the expected expansion
of the DAZN venture. Moody's will consider stabilising the
outlook if there is a reduction in the complexity of the group
structure and/or a reduction in the exposure of the restricted
group to the DAZN venture.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE

While unlikely in the near term give Moody's rating action,
Moody's would consider upgrading the ratings if the risks related
to the complex group structure and/or the exposure of the
restricted group to the DAZN venture are resolved.
Quantitatively, an upgrade would also require (1) continued
growth revenue and EBITDA, (2) a Moody's-adjusted debt/ EBITDA
sustainably below 4.0x, and (3) a solid liquidity profile
including a Moody's-adjusted free cash flow / debt above 5%.

Moody's would consider downgrading the ratings if the risks
related to the complex group structure and/or the exposure of the
restricted group to the DAZN venture increase or remain elevated,
or in the event of material debt-funded acquisitions.
Quantitatively, downward ratings pressure could develop if (1)
revenue or EBITDA weaken, (2) the Moody's adjusted debt/ EBITDA
increases above 5.0x on a sustained basis, or (3) the liquidity
profile weakens or free cash flow remains sustainably negative.

COMPANY PROFILE

Perform is focused on monetising sports rights in digital media.
It distributes multi-platform digital sports video, data and
editorial content to business partners and sells online
advertising both on its own and third party websites. The company
is majority-controlled by Access Industries, which created
Perform in 2007 when it acquired and merged Inform and Premium
TV. It generated revenue of GBP377 million in 2017 (excluding
DAZN which had revenue of GBP91 million).


STRATTON MORTGAGE: S&P Assigns CCC (sf) Rating to Class X Notes
---------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Stratton Mortgage
Funding PLC's class A, B, C-Dfrd, D-Dfrd, and X notes. At
closing, Stratton Mortgage Funding also issued unrated class Z1
and Z2 notes.

At closing, the issuer purchased the beneficial interest in an
initial portfolio of U.K. residential mortgages from the seller
(Ertow Holdings III DAC), using the proceeds from the issuance of
the rated notes and the unrated Z1 and Z2 notes. Homeloan
Management Ltd. (HML) will continue to be the interim servicer
prior to the transfer date, which will occur 18 months after
closing. After the transfer date, servicing and the legal title
of the loans will be transferred to the long-term servicer. S&P
reviewed HML's servicing and default management processes and are
satisfied that it is capable of performing its functions in the
transaction.

The pool was previously securitized in Mortgages No. 6 PLC
(27.27%) and Mortgages No. 7 PLC (72.73%), both of which were
called and redeemed at closing. All of the loans included in
these transactions are securitized in Stratton Mortgage Funding
with no negative or positive selection.

The pool comprises first-lien U.K. owner-occupied and buy-to-let
residential mortgage loans made to nonconforming borrowers. The
loans are secured on properties in England, Wales, Scotland, and
Northern Ireland and were mostly originated in 2004 and 2005
(93.4%). These borrowers may have previously been subject to a
county court judgement (CCJ; or the Scottish equivalent), an
individual voluntary arrangement, a bankruptcy order, have self-
certified their incomes, or were otherwise considered by banks
and building societies to be nonprime borrowers. Mortgages No. 1
Ltd., Mortgages No. 2 Ltd., Mortgages No. 3 Ltd., Mortgages No. 4
Ltd., Mortgages No. 5 Ltd., Mortgages No. 6 Ltd., and Mortgages
No. 7 originated the loans in the pool.

The portfolio includes 18.38% of loans with previous CCJs, and
1.99% of loans to borrowers who have previously been declared
bankrupt or had an individual voluntary arrangement. Of the pool,
73.55% are also self-certified loans. The portfolio's weighted-
average original loan-to-value (LTV) ratio is 76.19%, with 45.80%
of the pool having an original LTV ratio greater than 80.00%. The
current LTV ratio is 50.24%. The weighted-average seasoning of
the portfolio is 160 months, with 19.03% currently at least one
month in arrears, and 11.71% delinquent for 90 days or more.

At closing, the class Z2 notes' issuance proceeds fully funded
the reserve fund to its required amount of 2.00% of the class A,
B, C-Dfrd, and Z1 notes' closing balance. The reserve fund is
nonamortizing and is split between a liquidity component and a
non-liquidity component. The required balance of the liquidity
component is the lower of 2.20% of the class A and B notes'
closing balance and 2.75% of the class A and B notes' outstanding
balance, while the non-liquidity component is the difference
between the reserve fund required amount and the reserve fund
liquidity required amount. As the class A and B notes amortize,
the proportion attributable to the liquidity component will
decrease, while the non-liquidity component will increase--
providing additional credit enhancement to the notes.

For as long as the class A notes remain outstanding, the entire
reserve fund may only be used to cover senior fees, the class A
notes' interest, the class A principal deficiency ledger (PDL),
and the class B notes' interest if there is no class B PDL. When
the class B notes become the most senior outstanding class, if
there are insufficient revenue collections, and the non-liquidity
component of the reserve fund has been fully used, the issuer may
use the liquidity portion to cover senior fees, the class B
notes' interest, and the class B PDL. Principal receipts can also
be borrowed to meet any senior fees, the class A notes' interest,
the class B notes' interest (subject to it being the most senior
class of notes outstanding or there being no class B PDL while
the class A notes are still outstanding), and any interest
shortfalls for the class C-Dfrd and D-Dfrd notes, subject to that
class being the most senior class of notes outstanding. If
principal is borrowed in this way, the PDL would be debited and
can be cured in future periods using excess spread, if available.

Interest on the notes is equal to three-month sterling LIBOR plus
class-specific margins that step up following the optional
redemption date. The three-month sterling LIBOR is capped at 8.0%
for all rated tranches except the class A notes. The underlying
collateral is linked to the Bank of England Base Rate (BBR), or
to a standard variable rate (SVR). The SVR loans are linked to
BBR plus 2.15% plus a specific margin. There is basis risk for
the underlying collateral that is linked to BBR and SVR, and the
transaction does not benefit from a swap to mitigate this risk.
As a result, S&P stresses the historical timing mismatch between
the index paid on the assets and that paid on the liabilities.

S&P said, "Our ratings on the class A, B, and X notes address the
timely payment of interest and ultimate payment of principal. Our
ratings on the class C-Dfrd and D-Dfrd notes address ultimate
payment of principal and interest while they are a junior class.
When the class C-Dfrd and D-Dfrd notes become the most senior
class outstanding, our ratings will address the timely payment of
interest and ultimate payment of principal. Under the transaction
documents, the issuer can defer interest payments on these notes,
with interest accruing on deferred payments until they become the
most senior class outstanding, whereby any accrued unpaid
interest is due on the interest payment date when the class
becomes the most senior, and future interest payments are due on
a timely basis. Although the terms and conditions of the class X
notes allow for the deferral of interest, interest does not
accrue on deferred payments. Consequently, our rating on the
class X notes addresses the timely payment of interest and
ultimate payment of principal.

"Our ratings reflect our assessment of the transaction's payment
structure, cash flow mechanics, and the results of our cash flow
analysis to assess whether the notes would be repaid under stress
test scenarios. Subordination and the reserve fund provide credit
enhancement to the notes that are senior to the rated class X
notes and unrated class Z1 and Z2 notes. Taking these factors
into account, we consider the available credit enhancement for
the rated notes to be commensurate with the ratings that we have
assigned."

  RATINGS LIST

  Ratings Assigned

  Stratton Mortgage Funding PLC
  GBP147.6 Million Residential Mortgage-Backed Floating-Rate
  Notes (Including Unrated Notes)

  Class               Rating              Amount
                                        (mil. GBP)

  A                   AAA (sf)             122.5
  B                   AA+ (sf)               4.9
  C-Dfrd              AA- (sf)               4.9
  D-Dfrd              BBB+ (sf)              4.2
  X                   CCC (sf)               3.9
  Z1                  NR                     4.3
  Z2                  NR                     2.9
  Certificates        N/A                    N/A

  NR--Not rated. N/A--Not applicable.


TOWER BRIDGE 2: Moody's Assigns Ba1 Rating to Class E Notes
-----------------------------------------------------------
Moody's Investors Service has assigned definitive long-term
credit ratings to the following classes of notes issued by Tower
Bridge Funding No. 2 plc:

GBP253,700,000 Class A Mortgage Backed Floating Rate Notes due
March 2056, Definitive Rating Assigned Aaa (sf)

GBP17,600,000 Class B Mortgage Backed Floating Rate Notes due
March 2056, Definitive Rating Assigned Aa2 (sf)

GBP13,800,000 Class C Mortgage Backed Floating Rate Notes due
March 2056, Definitive Rating Assigned A1 (sf)

GBP8,400,000 Class D Mortgage Backed Floating Rate Notes due
March 2056, Definitive Rating Assigned Baa1 (sf)

GBP6,100,000 Class E Mortgage Backed Floating Rate Notes due
March 2056, Definitive Rating Assigned Ba1 (sf)

Moody's has not assigned ratings to the GBP10,700,000 Class X
Floating Rate Notes due March 2056, nor to the GBP7,977,000 Class
Z1 Fixed Rate Notes due March 2056 and the GBP7,689,405 Class Z2
Fixed Rate Notes due March 2056.

This transaction represents the second securitisation transaction
that is backed by buy-to-let mortgage loans and non-conforming
loans originated by Belmont Green Finance Limited ("Belmont
Green", not rated). The portfolio consists of 1,635 loans,
secured by first ranking mortgages on properties located in the
UK, of which 68.8% are buy to let and 31.2% are owner occupied.
The current pool balance was approximately GBP 307.6 million as
of the end March 2018 cut-off date.

RATINGS RATIONALE

The ratings take into account the credit quality of the
underlying mortgage loan pool, from which Moody's determined the
MILAN Credit Enhancement and the portfolio expected loss, as well
as the transaction structure and legal considerations. The
expected portfolio loss of 5.0% and the MILAN required credit
enhancement (MILAN CE) of 20.0% serve as input parameters for
Moody's cash flow model.

The expected loss is 5.0%, which is higher than the expected loss
for other UK RMBS transactions owing to: (i) the newness of the
originator and lack of historical performance data; (ii) the
weighted average (WA) LTV of around 69.1%; (iii) benchmarking
against comparable transactions, (iv) the current macroeconomic
environment in the UK, and (v) the performance of comparable
transactions in this sector.

MILAN CE for this pool is 20.0%, which is higher than the MILAN
CE for other UK RMBS transactions, owing to: (i) the lack of
historical data and newness of the originator; (ii) a number of
borrowers with bad credit history in the pool (12.0% have had a
CCJ, 0.6% are in arrears although none are more than two months
in arrears); (iii) weighted average current LTV for the pool of
69.1%, which is slightly less than the average for the non-
conforming sector, (iv) the percentage of self-employed borrowers
in the pool of circa 33.8%, which is in line with the average of
the sector, (v) the lack of historical information and (vi)
benchmarking with similar UK RMBS transactions.

At closing, the non-amortising general reserve fund is 2.5% of
the closing principal balance of the principal backed notes. The
general reserve fund will be replenished after the PDL cure of
the Class E Notes and can be used to pay senior fees and costs,
interest and PDLs on the Class A - E Notes. The liquidity reserve
fund target is 1.5% of the outstanding Class A and B Notes and is
funded by the diversion of principal receipts until the target is
met. The liquidity reserve fund is available to cover senior
fees, costs and Class A and B interest only. Amounts released
from the liquidity reserve will flow down the principal priority
of payments. Class A, or if not outstanding, the most senior note
outstanding at that time further benefit from a principal to pay
interest mechanism.

Operational Risk Analysis: Although Belmont Green is the servicer
in the transaction it delegates all the servicing to Homeloan
Management Limited, "HML" (not rated), who also acts as the
standby servicer. Elavon Financial Services DAC (Backed long term
deposit rating Aa2 on review for downgrade), acting through its
UK Branch will be the cash manager. In order to mitigate the
operational risk, Intertrust Management Limited (not rated) will
act as back-up servicer facilitator. To ensure payment continuity
over the transaction's lifetime the transaction documents
incorporate estimation language whereby the cash manager can use
the three most recent monthly servicer reports to determine the
cash allocation in case no servicer report is available. The
transaction also benefits from the equivalent of at least 5
months liquidity through the general and liquidity reserves.

Interest Rate Risk Analysis: 92.7% of the loans in the pool are
fixed rate loans reverting explicitly or indirectly to three
months Libor. To mitigate the fixed floating mismatch there will
be a fixed floating swap provided by The Royal Bank of Scotland
plc (Baa2/P-2/A3(cr)/P-2(cr)).

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
September 2017.

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

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

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

Stress Scenarios:

Moody's Parameter Sensitivities: If the portfolio expected loss
was increased from 5.0% to 8.75% and the MILAN CE was increased
from 20% to 32%, the model output indicates that the Class A
Notes would achieve Aa2 (sf) assuming that all other factors
remained equal. Moody's Parameter Sensitivities quantify the
potential rating impact on a structured finance security from
changing certain input parameters used in the initial rating. The
analysis assumes that the deal has not aged and is not intended
to measure how the rating of the security might change over time,
but instead what the initial rating of the security might have
been under different key rating inputs.

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


WINDERMERE XIV: S&P Cuts Ratings on 4 Note Classes to 'D (sf)'
--------------------------------------------------------------
S&P Global Ratings lowered its credit ratings on Windermere XIV
CMBS Ltd.'s class B to E notes. S&P said, "At the same time, we
have affirmed our rating on the class F notes. We have
subsequently withdrawn our ratings on these five classes of
notes, effective in 30 days' time."

The rating actions reflect the issuer's failure to repay the
remaining note principal balance on April 23, 2018, the legal
final maturity date.

Windermere XIV is a 2007-vintage European commercial mortgage-
backed securities (CMBS) true sale transaction, originally backed
by eight loans secured on properties in France, Finland, Italy,
and Germany. The transaction now consists of one loan secured by
11 commercial properties in Italy -- the Fortezza II loan.

FORTEZZA II LOAN

The loan is secured by 11 office properties in Italy, 10 of which
are in Rome and one is in Pescara. The buildings are
predominately let to entities linked to the Ministry of Economy
and Finance of the Italian Government. The current outstanding
securitized balance is EUR204.5 million.

On Nov. 13, 2015, the loan was transferred to special servicing.
The special servicer entered into a standstill with the borrower
to allow sufficient time for a managed disposal of the assets in
line with the updated business plan.

RATING RATIONALE

S&P said, "Our ratings in Windermere XIV CMBS address the timely
payment of interest, payable quarterly in arrears, and the
payment of principal no later than the legal final maturity date
in April 2018.

"The issuer failed to repay the notes on April 23, 2018.
We have therefore lowered to 'D (sf)' our ratings on the class B
notes to E notes, in line with our criteria.

"At the same time, we have affirmed our 'D (sf)' rating on the
class F notes as they have previously experienced principal
losses."

The ratings will remain at 'D (sf)' for a period of 30 days
before the withdrawals become effective.

Windermere XIV is a 2007-vintage European CMBS true sale
transaction, originally backed by eight loans secured on
properties in France, Finland, Italy, and Germany.

  RATINGS LIST

  Class                  Rating
              To                      From
  Windermere XIV CMBS Ltd.
  EUR1.112 Billion Commercial Mortgage-Backed Floating-Rate Notes

  Ratings Lowered And Withdrawn (Effective 30 Days)

  B           D (sf)                  CCC+ (sf)
              NR                      D (sf)

  C           D (sf)                  CCC (sf)
              NR                      D (sf)

  D           D (sf)                  CCC- (sf)
              NR                      D (sf)

  E           D (sf)                  CCC- (sf)
              NR                      D (sf)

  Rating Affirmed And Withdrawn (Effective 30 Days)

  F           D (sf)
              NR                      D (sf)

  NR--Not rated.


===============
X X X X X X X X
===============


* BOOK REVIEW: BOARD GAMES - Changing Shape of Corporate Power
--------------------------------------------------------------
Author: Arthur Fleischer, Jr.,
Geoffrey C. Hazard, Jr., and
Miriam Z. Klipper
Publisher: Beard Books
Softcover: 248 pages
List Price: $34.95
Order your personal copy today at
http://www.amazon.com/exec/obidos/ASIN/1587981629/internetbankrup
t
A ruling by the Delaware Supreme Court on January 29, 1985 was a
wake-up call to directors of U. S. corporations. On this date,
overruling a lower court decision, the Delaware Supreme Court
ruled that the nine board members of Chicago company Trans Union
Corporation were "guilty of breaching their duty to the company's
shareholders." What the board members had done was agree to sell
Trans Union without a satisfactory review of its value. The
guilty board members were ordered by the Court to pay "the
difference between the per share selling price and the 'real'
market value of the company's shares."

Needless to say, the nine Trans Union directors were shocked at
the guilt verdict and the punishment. The chairman of the board,
Jerome Van Gorkom, was a lawyer and a CPA who was also a board
member of other large, respected corporations. For the most part,
it was he who had put together the terms of the potential sale,
including setting value of the company's stock at $55.00 even
though it was trading at about $38.00 per share. News of the
possible sale immediately drove the stock up to $51.50 per share,
and was commented on favorably in a "New York Times" business
article. Still, Van Gorkom and the other directors were found
guilty of breaching their duty, and ordered by Delaware's highest
court to pay a sum to injured parties that would be financially
ruinous. This was clearly more than board members of the Trans
Union Corporation or any other corporation had ever bargained
for. It was more than board members had ever conceived was
possible without evidence of fraud or graft.

The three authors are all attorneys who have worked at the
highest levels of the legal field, business, and government.
Fleischer is the senior partner of the law firm Fried, Frank,
Harris, Schriver & Jacobson at the head of its mergers and
acquisitions department. He's also the author of the textbook
"Takeover Defenses" which is in its 6th edition. Hazard is a
Professor of Law and former reporter for the American Bar
Association's special committee on the lawyers' ethics code;
while Klipper has been a New York assistant district attorney
prosecuting corporate and financial fraud, and also a corporate
attorney on Wall Street. Using the Trans Union Corporation case
as a watershed event for members of boards of directors, the
highly-experienced legal professionals lay out the new ground
rules for board members. In laying out the circumstances and
facts of a number of cases; keen, concise analyses of these; and
finding where and how board members went wrong, the authors
provide guidance for corporate directors, top executives, and
corporate and private business attorneys on issues, processes,
and decisions of critical importance to them.

Household International, Union Carbide, Gelco Corp., Revlon, SCM,
and Freuhauf are other major corporations whose
merger-and-acquisitions activities resulted in court cases that
the authors study to the benefit of readers. The Boards of
Directors of these as well as Trans Union and their positions
with other companies are listed in the appendix. Many other
corporations and their board members are also referred to in the
text.

With respect to each of the cases it deals with, BOARD GAMES
outlines the business environment, identifies important
individuals, analyzes decisions, and discusses considerations
regarding laws, government regulations, and corporate practice.
In all of this, however, given the exceptional legal background
of the three authors, the book recurringly brings into the
picture the legalities applying to the activities and decisions
of board members and in many instances, court rulings on these.
Passages from court transcripts are occasionally recorded and
commented on.

Elsewhere, legal terms and concepts -- e. g., "gross
nonattendance" -- are defined as much as they can be. In one
place, the authors discuss six levels of responsibility for board
members from "assure proper result" through negligence up to
fraud. Without being overly technical, the authors' legal
experience and guidance is continually in the forefront. Needless
to say, with this, BOARD GAMES is a work of importance to board
members and others with the responsibility of overseeing and
running corporations in the present-day, post-Enron business
environment where shareholders and government officials are
scrutinizing their behavior and decisions.



                            *********

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

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

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


                            *********


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

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

Copyright 2018.  All rights reserved.  ISSN 1529-2754.

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

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

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


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