/raid1/www/Hosts/bankrupt/TCREUR_Public/180703.mbx         T R O U B L E D   C O M P A N Y   R E P O R T E R

                           E U R O P E

           Tuesday, July 3, 2018, Vol. 19, No. 130


                            Headlines


A R M E N I A

ARDSHINBANK CJSC: Moody's Assigns Ba3 LT Counterparty Risk Rating


B E L A R U S

BELAGROPROMBANK JSC: Moody's Assigns B3 Counterparty Risk Rating


I R E L A N D

WIZINK 2018-01: DBRS Finalizes BB(high) Rating on Class C Notes


I T A L Y

4MORI SARDEGNA: DBRS Assigns B(sf) Rating to Class B Notes
BANCA CARIGE: Moody's Assigns B1 LT Counterparty Risk Rating


L A T V I A

SC CITADELE: Moody's Assigns Ba1 LT Counterparty Risk Rating


N E T H E R L A N D S

BARINGS EURO 2014-1: Moody's Gives (P)B2 Rating to Cl. F-RR Notes
BARINGS EURO 2016-1: Moody's Gives (P)B2 Rating to Cl. F-R Notes
CREDIT EUROPE: Moody's Assigns Ba1 LT Counterparty Risk Rating
STEINHOFF INT'L: In Talks with Creditors Over Debt Extension


P O R T U G A L

NOVO BANCO: DBRS Assigns CCC(high) Issuer Rating, Trend Positive

R U S S I A

BANK VTB: Moody's Assigns 'Ba1' LT Counterparty Risk Rating


S P A I N

CAIXABANK CONSUMO 2: DBRS Retains BB Rating on Series B Notes


U K R A I N E

SAVING BANKS: Moody's Assigns Caa1 LT Counterparty Risk Rating


U N I T E D   K I N G D O M

AZURE FINANCE 1: Moody's Gives (P)Caa1 Rating on Class X Notes
CAFE ROUGE: Enters Into Debt-for-Equity Deal with KKR, Pemberton
CARILLION PLC: FCA May Expand Investigation Into Collapse
FASTJET PLC: Launches Share Placement Due to Funding Crisis
HAVELOCK EUROPA: Set to Appoint Administrators Soon

HONITON TOY SHOP: Closes After 32 Years
HOMEBASE: To Cut 300 Jobs at Milton Keynes Head Office
ORIGINAL FACTORY: Listed 33 Stores for Closure
POUNDWORLD: Sandwiches for Staff as Store Closures Loom
TAURUS CMBS 2014-1: DBRS Hikes Rating on Cl. C Notes to BB(high)


                            *********



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A R M E N I A
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ARDSHINBANK CJSC: Moody's Assigns Ba3 LT Counterparty Risk Rating
-----------------------------------------------------------------
Moody's Investors Service assigned Counterparty Risk Ratings
(CRR) to the following six Armenian banks: Ardshinbank CJSC,
Armeconombank (Armenian Economy Devt Bank), Converse Bank CJSC,
IDBank, Unibank OJSC and VTB Bank (Armenia).

Moody's Counterparty Risk Ratings are opinions of the ability of
entities to honour the uncollateralized portion of non-debt
counterparty financial liabilities (CRR liabilities) and also
reflect the expected financial losses in the event such
liabilities are not honoured. CRR liabilities typically relate to
transactions with unrelated parties. Examples of CRR liabilities
include the uncollateralized portion of payables arising from
derivatives transactions and the uncollateralized portion of
liabilities under sale and repurchase agreements. CRRs are not
applicable to funding commitments or other obligations associated
with covered bonds, letters of credit, guarantees, servicer and
trustee obligations, and other similar obligations that arise
from a bank performing its essential operating functions.

RATINGS RATIONALE

Moody's said that the CRRs assigned to Armenian banks are in line
with their Counterparty Risk Assessments (CR Assessment) already
outstanding.

Because Moody's considers Armenia a jurisdiction with a non-
operational resolution regime, in assigning CRRs to the Armenian
banks subject to this rating action, the rating agency starts
with the banks' adjusted Baseline Credit Assessment (BCA) and
uses the agency's existing basic Loss-Given-Failure (LGF)
approach; Moody's basic LGF analysis provides one notch of uplift
from the banks' adjusted BCAs. This reflects the rating agency's
view that CRR liabilities are not likely to default at the same
time as the bank fails and will more likely to be preserved in
order to minimize banking system contagion, minimize losses and
avoid disruption of critical functions

OUTLOOK

CRRs do not carry outlooks.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE

An upgrade of Armenian banks' CRR over the next 12-18 months
could be driven by an upgrade of their standalone BCAs. The
banks' BCA may, in turn, be upgraded following improvements in
their solvency metrics (particularly, if level of problem loans
were to significantly decrease, and capitalization and
profitability were to materially improve) and provided liquidity
profiles of these banks does not deteriorate. Also, BCAs of those
banks which benefit from government support may come under upward
pressure following upgrade of the sovereign rating of Armenia.

The banks' CRRs could be downgraded as a result of a
deterioration in their BCAs. The banks' BCAs may be downgraded
following a material deterioration in the country's economic
environment affecting their asset quality, capitalization and
profitability. The CRRs of those banks which benefit from
government support may be downgraded following a lowering in the
sovereign rating of Armenia or a re-assessment of the likelihood
of government support.

LIST OF AFFECTED RATINGS

Issuer: Ardshinbank CJSC

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Ba3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Not Prime

Issuer: Armeconombank (Armenian Economy Devt Bank)

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned B1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Not Prime

Issuer: Converse Bank CJSC

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned B1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Not Prime

Issuer: IDBank

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned B1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Not Prime

Issuer: Unibank OJSC

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned B2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Not Prime

Issuer: VTB Bank (Armenia)

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Ba3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Not Prime



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B E L A R U S
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BELAGROPROMBANK JSC: Moody's Assigns B3 Counterparty Risk Rating
----------------------------------------------------------------
Moody's Investors Service has assigned Counterparty Risk Ratings
(CRR) to seven banks in Commonwealth of Independent States (CIS),
namely two in Belarus: Belagroprombank JSC and Belinvestbank; two
in Kazakhstan: ATF Bank and SB Sberbank JSC; and three in
Ukraine: Privatbank, Prominvestbank and Raiffeisen Bank Aval.

Moody's Counterparty Risk Ratings are opinions of the ability of
entities to honour the uncollateralized portion of non-debt
counterparty financial liabilities (CRR liabilities) and also
reflect the expected financial losses in the event such
liabilities are not honoured. CRR liabilities typically relate to
transactions with unrelated parties. Examples of CRR liabilities
include the uncollateralized portion of payables arising from
derivatives transactions and the uncollateralized portion of
liabilities under sale and repurchase agreements. CRRs are not
applicable to funding commitments or other obligations associated
with covered bonds, letters of credit, guarantees, servicer and
trustee obligations, and other similar obligations that arise
from a bank performing its essential operating functions.

RATINGS RATIONALE

Moody's said that the CRRs assigned to the banks are in line with
their Counterparty Risk Assessments (CR Assessment) already
outstanding.

Because Moody's considers Belarus, Kazakhstan and Ukraine to be
jurisdictions with a non-operational resolution regime, in
assigning CRRs to the banks subject to this rating action, the
rating agency starts with the banks' adjusted Baseline Credit
Assessment (BCA) and uses the agency's existing basic Loss-Given-
Failure (LGF) approach; Moody's basic LGF analysis provides one
notch of uplift from the banks' adjusted BCAs. This reflects the
rating agency's view that CRR liabilities are not likely to
default at the same time as the bank fails and will more likely
to be preserved in order to minimize banking system contagion,
minimize losses and avoid disruption of critical functions.

Furthermore, for two banks the CRR incorporates some uplift from
government support, given Moody's expectation of government
support, in line with those applied to the CR Assessments.

Finally, Moody's has assigned CRR in the National Scale Rating
(NSR) to two Ukrainian banks that already have deposit ratings in
NSR: Prominvestbank and Raiffeisen Bank Aval.

OUTLOOK

CRRs do not carry outlooks.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE

An upgrade of banks' CRR over the next 12-18 months could be
driven by an upgrade of their standalone BCAs. The banks' BCA
may, in turn, be upgraded following improvements in their
solvency metrics (particularly, if level of problem loans were to
significantly decrease, and capitalization and profitability were
to materially improve) and provided liquidity profiles of these
banks does not deteriorate. Also, BCAs of those banks which
benefit from government support may come under upward pressure
following upgrade of the sovereign ratings of the respective
counties.

The banks' CRRs could be downgraded as a result of a
deterioration in their BCAs. The banks' BCAs may be downgraded
following a material deterioration in the country's economic
environment affecting their asset quality, capitalization and
profitability. The CRRs of those banks which benefit from
government support may be downgraded following a lowering in the
respective countries' sovereign ratings or a re-assessment of the
likelihood of government support.

LIST OF AFFECTED RATINGS

The following ratings were assigned:

Belagroprombank JSC

Assignments:

  Local currency and foreign currency long-term Counterparty Risk
  Ratings of B3

  Local currency and foreign currency short-term Counterparty
  Risk Ratings of Not Prime

Belinvestbank

Assignments:

  Local currency and foreign currency long-term Counterparty Risk
  Ratings of B3

  Local currency and foreign currency short-term Counterparty
  Risk Ratings of Not Prime

ATF Bank

Assignments:

  Local currency and foreign currency long-term Counterparty Risk
  Ratings of B2

  Local currency and foreign currency short-term Counterparty
  Risk Ratings of Not Prime

SB Sberbank JSC

Assignments:

  Local currency and foreign currency long-term Counterparty Risk
  Ratings of Ba2

  Local currency and foreign currency short-term Counterparty
  Risk Ratings of Not Prime

Privatbank

Assignments:

  Local currency and foreign currency long-term Counterparty Risk
  Ratings of Caa1

  Local currency and foreign currency short-term Counterparty
  Risk Ratings of Not Prime

Prominvestbank

Assignments:

  Local currency and foreign currency long-term Counterparty Risk
  Ratings of Caa1

  Local currency and foreign currency short-term Counterparty
  Risk Ratings of Not Prime

  NSR Long-term Counterparty Risk Rating (Local Currency),
  assigned Ba2.ua

Raiffeisen Bank Aval

Assignments:

  Local currency and foreign currency long-term Counterparty Risk
  Ratings of Caa1

  Local currency and foreign currency short-term Counterparty
  Risk Ratings of Not Prime

  NSR Long-term Counterparty Risk Rating (Local Currency),
  assigned Baa3.ua



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I R E L A N D
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WIZINK 2018-01: DBRS Finalizes BB(high) Rating on Class C Notes
---------------------------------------------------------------
DBRS Ratings Limited finalized provisional ratings of AA (sf) and
BB (high) (sf), respectively, of the Class A2018-01 Notes and
Class C 2018-01 Notes (collectively the Notes) issued by Wizink
Master Credit Cards Fondo de Titulizacion (the Issuer).

The ratings address timely payment of interest and ultimate
repayment of principal by the legal final maturity date.

The Notes are backed by credit card receivables related to credit
agreements originated by Wizink Bank S.A. (Wizink, the Seller) to
individual customers in Spain.

DBRS's ratings are based on the following considerations:

-- Transaction capital structure including form and sufficiency
    of available credit enhancement in the form of subordination,
    liquidity support and excess spread.

-- Credit enhancement levels are sufficient to support DBRS's
    expected performance under various stress scenarios.

-- The transaction's ability to withstand stressed cash flow
    assumptions and repays the Notes according to the terms of
    the transaction documents.

-- Wiz ink's capabilities with respect to originations,
    underwriting, cash management, data processing and servicing.

-- DBRS conducted an operational risk review of the Seller and
    deems it to be an acceptable servicer.

-- The transaction parties' financial strength with regard to
    their respective roles.

-- The credit quality and concentration of the collateral and
    historical and projected performance of the Seller's
    portfolio.

-- The sovereign ratings of the Kingdom of Spain, currently
    rated 'A' by DBRS.

-- The consistency of legal structure with DBRS's "Legal
    Criteria for European Structured Finance Transactions"
    methodology and the presence of legal opinions that address
    the true sale of the assets to the Issuer and non-
    consolidation of the Issuer with the Seller.

As the Issuer is a master issuance programme where all series of
notes are supported by the same pool of receivables and generally
issued under the same requirements regarding servicing,
amortization events, priority of distributions and eligible
investments, DBRS confirms the ratings of outstanding series and
notes that the issuance of the Notes will not result in a
downgrade or withdrawal of the ratings of outstanding series
listed below:

AA (sf) for the Class A 2017-01 Notes
AA (sf) for the Class A 2017-02 Notes
AA (high) (sf) for the Class A 2017-03 Notes
BB (high) (sf) for the Class A 2017-03 Notes



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


4MORI SARDEGNA: DBRS Assigns B(sf) Rating to Class B Notes
----------------------------------------------------------
DBRS Ratings Limited assigned the following ratings to the Class
A and Class B notes issued by 4Mori Sardegna S.r.l. (the Issuer):

-- BBB (low) (sf) to the EUR232,000,000 Class A notes
-- B (sf) to the EUR13,000,000 Class B notes

The notes are backed by a EUR1.04 billion (by gross book value,
GBV) portfolio consisting of unsecured and secured non-performing
loans originated by Banco di Sardegna S.p.a. (the Originator).
Most of the loans in the portfolio defaulted between 2008 and
2017 and are in various stages of resolution. The receivables are
currently serviced and will continue to be serviced by Prelios
Credit Servicing S.p.A. (Prelios or the Servicer). A back-up
servicer, Securitization Services S.p.A., has also been appointed
and will act as a servicer in case of termination of the
appointment of Prelios.

Approximately 53% (by GBV) of the pool is secured and 94.4% (by
GBV) of the secured loans benefit from a first-ranking lien. The
secured loans included in the portfolio are backed by properties
distributed mainly in the regions of Sardinia 87% and Lazio 9%.
In its analysis, DBRS assumed that all loans are worked out
through an auction process, which generally has the longest
resolution timeline.

The coupon on the Class B notes, which represent the mezzanine
debt, may be repaid prior to principal of the Class A notes
unless certain performance-related triggers are breached.

The ratings are based on DBRS's analysis of the projected
recoveries of the underlying collateral, the historical
performance and expertise of the Servicer, Prelios, the
availability of liquidity to fund interest shortfalls and
special-purpose vehicle expenses, the cap agreement with Banca
IMI and the transaction's legal and structural features. DBRS's
BBB (low) and B rating stresses assume a haircut of approximately
23.8% and 15.4% respectively, to Prelios's business plan for the
portfolio.


BANCA CARIGE: Moody's Assigns B1 LT Counterparty Risk Rating
------------------------------------------------------------
Moody's Investors Service assigned Counterparty Risk Ratings
(CRRs) to the following rated 18 banking groups: UniCredit S.p.A.
and its branches in New York and London, Intesa Sanpaolo S.p.A.,
its branches in New York, London, and Hong Kong, and its
subsidiary Banca IMI S.p.A., Banco BPM S.p.A., Banca Monte dei
Paschi di Siena S.p.A., its London branch, and its subsidiary MPS
Capital Services S.p.A., Unione di Banche Italiane S.p.A., Banca
Nazionale del Lavoro S.p.A., Mediobanca S.p.A., BPER Banca
S.p.A., Credit Agricole Cariparma S.p.A., Credito Emiliano
S.p.A.,      S.p.A., Credito Valtellinese S.p.A., Banca Sella
Holding S.p.A., Unipol Banca S.p.A., Banca del
Mezzogiorno -- MCC S.p.A., Mediocredito Trentino-Alto Adige
S.p.A.

Moody's Counterparty Risk Ratings (CRRs) are opinions of the
ability of entities to honour the uncollateralized portion of
non-debt counterparty financial liabilities (CRR liabilities) and
also reflect the expected financial losses in the event such
liabilities are not honoured. CRR liabilities typically relate to
transactions with unrelated parties. Examples of CRR liabilities
include the uncollateralized portion of payables arising from
derivatives transactions and the uncollateralized portion of
liabilities under sale and repurchase agreements. CRRs are not
applicable to funding commitments or other obligations associated
with covered bonds, letters of credit, guarantees, servicer and
trustee obligations, and other similar obligations that arise
from a bank performing its essential operating functions.

RATINGS RATIONALE

In assigning CRRs to the Italian banks subject to this rating
action, Moody's starts with the banks' adjusted Baseline Credit
Assessments (BCAs) and uses the agency's existing advanced Loss
Given Failure (LGF) analysis that takes into account the level of
subordination to CRR liabilities in the bank's balance sheet, and
assumes a nominal volume of such liabilities.

The CRRs on these Italian banks do not include any further uplift
resulting from Moody's expectations for government support: a
moderate probability for UniCredit, Intesa Sanpaolo, Banca IMI
and Banca del Mezzogiorno -- MCC; low for all the others.

  - For 15 banks, the CRRs are three notches above their
respective adjusted BCAs, which is the maximum under Moody's
advanced LGF analysis: UniCredit, Intesa Sanpaolo, Banca IMI,
Banco BPM, Banca Monte dei Paschi di Siena, MPS Capital Services,
Unione di Banche Italiane, Mediobanca, BPER Banca, Banca Carige,
Credito Valtellinese, Banca Sella Holding, Unipol Banca, Banca
del Mezzogiorno -- MCC, and Mediocredito Trentino-Alto Adige.

Although some of these banks are likely to have more than a
nominal volume of CRR liabilities at failure, this has no impact
on the CRRs because the significant level of subordination below
the CRR liabilities at each of the banks already provides the
maximum amount of uplift under Moody's rating methodology.

  - For three banks, the CRRs are two notches above their
respective adjusted BCAs: Banca Nazionale del Lavoro, Credit
Agricole Cariparma, Credito Emiliano.

In all cases, the CRRs assigned are equal to or higher than the
rated senior debt and deposit ratings, where applicable . This
reflects Moody's view that secured counterparties to banks
typically benefit from greater protections under insolvency laws
and bank resolution regimes than do senior unsecured creditors,
and that this benefit is likely to extend to the unsecured
portion of such secured transactions in most bank resolution
regimes. Moody's believes that in many cases regulators will use
their discretion to allow a bank in resolution to continue to
honour its CRR liabilities or to transfer those liabilities to
another party who will honour them, in part because of the
greater complexity of bailing in obligations that fluctuate with
market prices, and also because the regulator will typically seek
to preserve much of the bank's operations as a going concern in
order to maximize the value of the bank in resolution, stabilize
the bank quickly, and avoid contagion within the banking system.
CRR liabilities at these banking groups therefore benefit from
the subordination provided by more junior liabilities, with the
extent of the uplift of the CRR from the adjusted BCA depending
on the amount of subordination.

-- For 13 banks, the CRR is in line with the banks' respective
Counterparty Risk Assessment (CRA): UniCredit, Banco BPM, Banca
Monte dei Paschi di Siena, MPS Capital Services, Unione di Banche
Italiane, BPER Banca, Credito Emiliano, Banca Carige, Credito
Valtellinese, Banca Sella Holding, Unipol Banca, Banca del
Mezzogiorno -- MCC, Mediocredito Trentino-Alto Adige.

-- For UniCredit, the Baa1 long-term CRR is in line with the
Baa1(cr) long-term CRA; however, the long-term CRA is on review
for downgrade, whilst the CRR is not, reflecting different
constraints. While CRAs, as a default measure, are typically
constrained at one notch above the sovereign debt rating (Italy,
Baa2 on review for downgrade), CRRs as an expected loss measure
are typically constrained at two notches above the sovereign debt
rating, given the potential for greater recoveries in default.

-- For the other five banks, the CRR is one notch higher than
their respective CRAs: Intesa Sanpaolo, Banca IMI, Banca
Nazionale del Lavoro, Mediobanca, Credit Agricole Cariparma.
Their long-term CRRs are A3 on review for downgrade, one notch
above the long-term CRAs of Baa1(cr) on review for downgrade.

OUTLOOK

CRRs do not carry outlooks. The A3 long-term CRRs of five banks
(Intesa Sanpaolo, Banca IMI, Banca Nazionale del Lavoro,
Mediobanca, Credit Agricole Cariparma) are on review for
downgrade reflecting the review for downgrade on Italy's Baa2
sovereign debt rating; CRRs are typically constrained at two
notches above the sovereign debt rating.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE

The CRRs could be upgraded following an upgrade of their
respective BCAs; for banks whose CRR benefits from less than
three notches of uplift from Moody's advanced LGF approach,
higher subordination could also lead to an upgrade of the CRR.
However potential upgrades could be constrained by the two-notch
difference between the bank's CRR and Italy's sovereign debt
rating.

Conversely, the CRRs could be downgraded following a downgrade of
their respective BCA, or by a reduction in the stock of bail-in-
able debt and deposits.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- UniCredit
S.p.A.

The upgrade of UniCredit's long-term CRR could be triggered by an
upgrade of the bank's ba1 standalone baseline credit assessment
(BCA). UniCredit's ba1 standalone BCA could be upgraded if the
rating agency judged that, based on further progress in the
bank's restructuring, the bank will meet its 2019 targets in
terms of problem loans reduction, capitalisation, and
profitability. UniCredit's CRR already benefits from three
notches of uplift from Moody's advanced LGF approach, which is
the maximum amount of uplift under the rating agency's rating
methodology.

The CRR of UniCredit could be downgraded following a downgrade of
the bank's BCA, which is unlikely given the bank's positive
outlook. Furthermore, UniCredit's CRR could be downgraded
following a material reduction in the bank's stock of bail-in-
able debt and junior deposits.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Intesa
Sanpaolo S.p.A.

An upgrade of Intesa Sanpaolo's long-term CRR is unlikely given
the current review for downgrade.

The CRR of Intesa Sanpaolo could be downgraded following a
downgrade of Italy's sovereign debt rating, a downgrade of the
bank's BCA, or a material reduction in the bank's stock of bail-
in-able debt and junior deposits. Intesa Sanpaolo's BCA of baa3
could be downgraded following a material deterioration of Italy's
operating environment, an increase in the stock of problem loans,
or a material reduction in profit or capital.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Banca IMI
S.p.A.

An upgrade of Banca IMI's long-term CRR is unlikely given the
current review for downgrade.

The CRR of Banca IMI could be downgraded following a downgrade of
Italy's sovereign debt rating, a downgrade of the baa3 BCA of
Banca IMI's parent Intesa Sanpaolo, or a material reduction in
the bank's stock of bail-in-able debt and junior deposits of
Intesa Sanpaolo.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Banco BPM
S.p.A.

The CRR of Banco BPM could be upgraded following an upgrade of
the bank's b1 BCA. The standalone BCA of Banco BPM could be
upgraded if the group were to make material progress in meeting
the targets of its strategic plan, which assumes a substantial
reduction in the stock of problem loans while preserving profit
generation capacity and capital.

A downgrade of the bank's BCA could prompt a downgrade of its
CRR. This could be triggered by the group's failure to meet its
targeted improvement in key financial fundamentals or a
deterioration from current levels. Any deterioration in the
bank's liquidity profile could also exert negative pressure on
the BCA.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Banca Monte
dei Paschi di Siena S.p.A.

The upgrade of Banca Monte dei Paschi di Siena's long-term CRR
could be triggered by an upgrade of the bank's caa1 baseline
credit assessment (BCA). Banca Monte dei Paschi di Siena's BCA
could be upgraded following tangible and sustainable progress
towards MPS' targets under its business plan (2021), in
particular: (i) a return on assets above 0.4%; (ii) a problem
loan ratio below 15% of loans; and (iii) increased deposit
funding or demonstrated access to the senior and subordinated
debt markets, without the benefit of a government guarantee.
Banca Monte dei Paschi di Siena's CRR already benefits from three
notches of uplift from Moody's advanced LGF approach, which is
the maximum amount of uplift under the rating agency's rating
methodology.

The CRR of Banca Monte dei Paschi di Siena could be downgraded
following a downgrade of the bank's BCA or a material reduction
in the bank's stock of bail-in-able debt and junior deposits.
Moody's could downgrade the BCA if (i) the bank fails to return
to sustainable profit generation; (ii) the CET1 ratio falls below
12%; (iii) problem loans increase materially ; or (iv) the bank
is not able to increase deposits and remains reliant on
government guaranteed funding.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Unione di
Banche Italiane S.p.A.

The CRR of Unione di Banche Italiane could be upgraded following
an upgrade of the bank's ba2 BCA. An upgrade of Unione di Banche
Italiane's BCA could be driven by: (i) a substantial increase in
capitalization; (ii) a material improvement in the bank's asset
risk profile; and/or (iii) a sustainable recovery in the bank's
recurring earnings.

A downgrade of the bank's BCA could prompt a downgrade of its
CRR. A downgrade of the bank's BCA could result from: (i) a
reversal in current asset risk trends with an increase in the
stock of problem loans; (ii) a weakening of Unione di Banche
Italiane's risk-absorption capacity as a result of deteriorating
profitability or capital levels; and/or (iii) a significant
deterioration of the bank's liquidity profile.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Banca
Nazionale del Lavoro S.p.A.

An upgrade of Banca Nazionale del Lavoro's CRR is unlikely given
the current review for downgrade.

Conversely, Banca Nazionale del Lavoro's CRR could be downgraded
if (i) Italy's sovereign debt rating were downgraded; (ii) Banca
Nazionale del Lavoro's baa2 adjusted BCA were downgraded
following a material deterioration of capital and asset risk or
Moody's reduced the probability of support from BNP Paribas (Aa3
stable, baa1); or (iii) following a material reduction in the
stock of bail-in-able debt and junior deposits.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Mediobanca
S.p.A.

An upgrade of Mediobanca's long-term CRR is unlikely given the
current review for downgrade. Moreover Mediobanca's CRR already
benefits from three notches of uplift from Moody's advanced LGF
approach, which is the maximum amount of uplift under the rating
agency's rating methodology.

The CRR of Mediobanca could be downgraded following a downgrade
of Italy's sovereign debt rating, a downgrade of the bank's BCA,
or a material reduction in the bank's stock of bail-in-able debt
and junior deposits. Mediobanca's BCA of baa3 could be downgraded
if reliance on capital market activities were to increase; if
capital ratios were to decrease materially; or if its dependence
on short-term wholesale funding were to rise.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- BPER Banca
S.p.A.

The upgrade of BPER Banca's long-term CRR could be triggered by
an upgrade of the bank's ba3 baseline credit assessment (BCA).
BPER Banca's BCA could be upgraded if the bank were to (i)
significantly reduce problem loans while maintaining strong
levels of capitalisation; and (ii) show a sustained increase in
profitability. BPER Banca's CRR already benefits from three
notches of uplift from Moody's advanced LGF approach, which is
the maximum amount of uplift under the rating agency's rating
methodology.

The CRR of BPER Banca could be downgraded following a downgrade
of the bank's BCA or a material reduction in the bank's stock of
bail-in-able debt and junior deposits. The BCA could be
downgraded if: (i) problem loans were to fail to decline
materially; (ii) capital were to fall further than expected; or
(iii) there were a structural decline in profitability.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Credit
Agricole Cariparma S.p.A.

An upgrade of Credit Agricole Cariparma's long-term CRR is
unlikely given the current review for downgrade.

The CRR of Credit Agricole Cariparma could be downgraded
following a downgrade of Italy's sovereign debt rating, a
downgrade of the bank's parent Credit Agricole S.A. (A1 stable,
baa3), evidence of reduced support from Credit Agricole, or a
substantial reduction in Credit Agricole Cariparma's stock of
bail-in-able debt.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Credito
Emiliano S.p.A.

An upgrade of Credito Emiliano's long-term CRR could be triggered
by an upgrade of the bank's baa3 baseline credit assessment
(BCA). Credito Emiliano's BCA could be upgraded following an
improvement in its operating environment.

The CRR of Credito Emiliano could be downgraded following a
downgrade of the bank's BCA or a material reduction in the bank's
stock of bail-in-able debt and junior deposits. The BCA could be
downgraded following a material increase in the stock of problem
loans, a reduction of capital or profitability, or a
deterioration of Italy's operating environment.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Banca Carige
S.p.A.

The upgrade of Banca Carige's long-term CRR could be triggered by
an upgrade of the bank's caa1 baseline credit assessment (BCA).
Moody's could upgrade Banca Carige's BCA if the bank makes
significant progress in its restructuring plan, in particular a
material improvement in profitability and further significant de-
risking, without compromising its target capital levels. Banca
Carige's CRR already benefits from three notches of uplift from
Moody's advanced LGF approach, which is the maximum amount of
uplift under the rating agency's rating methodology.

The CRR of Banca Carige could be downgraded following a downgrade
of the bank's BCA or a material reduction in the bank's stock of
bail-in-able debt and junior deposits. Moody's could downgrade
the BCA if further losses were to reduce Banca Carige's capital
headroom over its prudential requirement.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Credito
Valtellinese S.p.A.

Credito Valtellinese's CRR could be upgraded if its adjusted BCA
of b2 were upgraded, following significant progress towards its
business plan targets, in particular profitability.

Conversely, Credito Valtellinese's CRR could be downgraded (i) if
the bank failed to return to adequate profitability, or were
unable to execute the planned sale of loans; or (ii) following a
material reduction in the stock of bail-in-able debt and junior
deposits.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Banca Sella
Holding S.p.A.

Banca Sella's CRR could be upgraded if its adjusted BCA of ba2
were upgraded, following further improvements in capital, a
larger than-expected reduction in the stock of problem loans and
an improvement in profitability.

Conversely, Banca Sella's CRR could be downgraded (i) if its
adjusted BCA were downgraded following a material increase in the
stock of problem loans or net losses reducing capital; or (ii)
following a material reduction in the stock of bail-in-able debt
and junior deposits.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Unipol Banca
S.p.A.

Unipol Banca's CRR could be upgraded if its adjusted BCA of b1
were to be upgraded, following achievement of a sustained
improvement in profitability and resolution of the current
strategic uncertainty.

Conversely, Moody's could downgrade Unipol Banca's CRR if (i)
continuing losses eroded the CET1 ratio below 9%; (ii) the parent
Unipol Gruppo S.p.A. were to be downgraded; (iii) Moody's were to
consider that the likelihood of support from the parent had
fallen further; or (iv) following a material reduction in the
stock of bail-in-able debt and junior deposits.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Banca del
Mezzogiorno -- MCC S.p.A.

The CRR of Banca del Mezzogiorno - MCC could be upgraded
following an upgrade of the bank's ba3 BCA, or by an upgrade of
Italy's sovereign debt rating, which is however unlikely given
the current review for downgrade on the latter. Banca del
Mezzogiorno - MCC's BCA could be upgraded following a track
record of low cost of risk and greater diversification of funding
sources.

Banca del Mezzogiorno - MCC's CRR already benefits from three
notches of uplift from Moody's advanced LGF approach, which is
the maximum amount of uplift under the rating agency's rating
methodology.

Banca del Mezzogiorno - MCC's CRR could be downgraded following a
downgrade of the bank's BCA, or following a material reduction in
the bank's stock of bail-in-able debt and junior deposit. Banca
del Mezzogiorno - MCC's BCA could be downgraded following a
considerable deterioration in the bank's loan book or a material
reduction in capital.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE -- Mediocredito
Trentino-Alto Adige S.p.A.

The upgrade of Mediocredito Trentino-Alto Adige's long-term CRR
could be triggered by an upgrade of the bank's ba3 baseline
credit assessment (BCA). Mediocredito Trentino-Alto Adige's BCA
could be upgraded following a material further reduction in
problem loans, improved profitability, and a significantly
reduced reliance on wholesale funding. Mediocredito Trentino-Alto
Adige's CRR already benefits from three notches of uplift from
Moody's advanced LGF approach, which is the maximum amount of
uplift under the rating agency's rating methodology.

The CRR of Mediocredito Trentino-Alto Adige could be downgraded
following a downgrade of the bank's BCA or a material reduction
in the bank's stock of bail-in-able debt and junior deposits. The
BCA could be downgraded following a deterioration in asset
quality or profitability, which could exert pressure on capital.

LIST OF AFFECTED RATINGS

Issuer: Banca Carige S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned B1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned NP

Issuer: Banca del Mezzogiorno - MCC S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Baa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-3

Issuer: Banca IMI S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned A3; placed on review for downgrade

  Short-term Counterparty Risk Rating (Local and Foreign
   Currency), assigned P-2

Issuer: Banca Monte dei Paschi di Siena S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned B1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned NP

Issuer: Banca Monte dei Paschi di Siena, London

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned B1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned NP

Issuer: Banca Nazionale Del Lavoro S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned A3; placed on review for downgrade

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Banca Sella Holding S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Baa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Banco BPM S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Ba1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned NP

Issuer: BPER Banca S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Baa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-3

Issuer: Credit Agricole Cariparma S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned A3; placed on review for downgrade

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Credito Emiliano S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Baa1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Credito Valtellinese S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Ba2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned NP

Issuer: Intesa Sanpaolo S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned A3; placed on review for downgrade

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Intesa Sanpaolo S.p.A., Hong Kong Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned A3; placed on review for downgrade

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Intesa Sanpaolo S.p.A., London Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned A3; placed on review for downgrade

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Intesa Sanpaolo S.p.A., New York Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned A3; placed on review for downgrade

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Mediobanca S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned A3; placed on review for downgrade

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Mediocredito Trentino-Alto Adige S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Baa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-3

Issuer: MPS Capital Services S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned B1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned NP

Issuer: UniCredit S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Baa1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: UniCredit S.p.A., London Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Baa1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: UniCredit S.p.A., New York Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Baa1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Unione di Banche Italiane S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Baa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned P-2

Issuer: Unipol Banca S.p.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned Ba1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), assigned NP



===========
L A T V I A
===========


SC CITADELE: Moody's Assigns Ba1 LT Counterparty Risk Rating
------------------------------------------------------------
Moody's Investors Service has assigned Counterparty Risk Ratings
to 38 rated banking groups in Denmark, Finland, Norway, Sweden,
Latvia and Lithuania:

Aktia Bank p.l.c., Danske Bank A/S, DNB Bank ASA, Eksportfinans
ASA, Fana Sparebank, Helgeland Sparebank, Hoist Finance AB
(publ), Jyske Bank A/S, KLP Banken AS, Kommunalbanken AS,
Lansforsakringar Bank AB (publ), Nordea Bank AB, Nykredit
Realkredit A/S, OBOS-banken AS, OP Financial Group, Ringkjobing
Landbobank A/S, Santander Consumer Bank AS, SBAB Bank AB (publ),
Sbanken ASA, SC Citadele Banka, SEB, Siauliu Bankas, AB,
SkandiaBanken AB, Sparbanken Syd, SpareBank 1 Nord-Norge,
SpareBank 1 Ostlandet, SpareBank 1 SMN, SpareBank 1 SR-Bank ASA,
Sparebanken More, Sparebanken Oest, Sparebanken Sogn og Fjordane,
Sparebanken Sor, Sparebanken Vest, Svenska Handelsbanken AB,
Swedbank AB, Swedish Export Credit Corporation, Sydbank A/S,
Volvofinans Bank AB.

Moody's Counterparty Risk Ratings (CRR) are opinions of the
ability of entities to honor the uncollateralized portion of non-
debt counterparty financial liabilities (CRR liabilities) and
also reflect the expected financial losses in the event such
liabilities are not honored. CRR liabilities typically relate to
transactions with unrelated parties. Examples of CRR liabilities
include the uncollateralized portion of payables arising from
derivatives transactions and the uncollateralized portion of
liabilities under sale and repurchase agreements. CRRs are not
applicable to funding commitments or other obligations associated
with covered bonds, letters of credit, guarantees, servicer and
trustee obligations, and other similar obligations that arise
from a bank performing its essential operating functions.

RATINGS RATIONALE

In assigning CRRs to the banks and financial institutions subject
to this rating action, Moody's starts with their adjusted
Baseline Credit Assessment (BCA) and uses the agency's existing
advanced Loss-Given-Failure (LGF) approach that takes into
account the level of subordination to CRR liabilities in the
institutions' balance sheet and assumes a nominal volume of such
liabilities. For most of these banks and financial institutions,
Moody's considers the likelihood of government support for CRR
liabilities to be low, resulting in no rating uplift from their
respective adjusted BCAs, considering the current European
Union's bank recovery and resolution directive (BRRD) with legal
restrictions on many forms of government support. For Danske Bank
A/S, Nykredit Realkredit A/S, Nordea Bank AB, SEB, Swedbank AB,
Svenska Handelsbanken AB, SBAB Bank AB (publ), OP Financial
Group, SpareBank 1 SR-Bank ASA, SpareBank 1 SMN, SpareBank 1
Ostlandet, SpareBank 1 Nord-Norge, Sparebanken Vest and
Sparebanken Sor, Moody's considers the likelihood of government
support for CRR liabilities to be moderate resulting in one notch
of such support in their CRR. The moderate government support
assumption reflects these institutions' systemic importance in
their respective markets. For Swedish Export Credit Corporation,
Moody's considers the likelihood of government support for CRR
liabilities to be high, but it does not result in an additional
notch due to its already high preliminary rating assessment of
Aa1, close to the sovereign rating of Sweden at Aaa. For DNB Bank
ASA and Kommunalbanken AS, Moody's considers the likelihood of
government support for CRR liabilities to be high resulting in
two and one notches of additional uplift respectively.

Although most of the 38 banking groups are likely to have more
than a nominal volume of CRR liabilities at failure, this has no
impact on the ratings at most of these banks because the
significant level of subordination below the CRR liabilities
already provides the maximum amount of uplift allowed under
Moody's rating methodology.

In all cases, the CRRs assigned are equal to or higher than the
rated banks' and financial institutions senior debt or issuer
ratings, where such ratings are assigned. This reflects Moody's
view that secured counterparties to banks and banking groups
typically benefit from greater protections under insolvency laws
and bank resolution regimes than do senior unsecured creditors,
and that this benefit is likely to extend to the unsecured
portion of such secured transactions in most bank resolution
regimes. Moody's believes that in many cases regulators will use
their discretion to allow a bank or banking group in resolution
to continue to honor its CRR liabilities or to transfer those
liabilities to another party who will honor them, in part because
of the greater complexity of bailing in obligations that
fluctuate with market prices, and also because the regulator will
typically seek to preserve much of the bank's operations as a
going concern in order to maximize the value of the bank in
resolution, stabilize the bank quickly, and avoid contagion
within the banking system. CRR liabilities at these banking
groups therefore benefit from the subordination provided by more
junior liabilities, with the extent of the uplift of the CRR from
the adjusted BCA depending on the amount of subordination.

FACTORS THAT COULD LEAD TO AN UPGRADE

The CRR may be upgraded if there is a strengthening in banks'
operating environment or financial fundamentals in a way that
will lead to an upgrade of their adjusted BCA or if Moody's
revises upwards its assessment of authorities' willingness to
provide support.

The banks' CRRs could also experience upward pressure from
movements in the loss-given-failure faced by these liabilities.
Changes in the banks' liability structure which would indicate a
lower loss severity for CRR liabilities could result in higher
ratings uplift, except for those banks whose CRR's are positioned
three LGF notches above their adjusted BCA.

FACTORS THAT COULD LEAD TO A DOWNGRADE

The CRR may be downgraded if there is a weakening in banks'
operating environment or financial fundamentals in a way that
will lead to a downgrade of their adjusted BCA or if Moody's
revises downwards its assessment of authorities' willingness to
provide support.

The banks' CRRs could also experience downward pressure from
movements in the loss-given-failure faced by these liabilities.
Sustained lower volumes of subordinated, senior debt instruments
or junior deposits could result in fewer notches of rating uplift
under the Advanced LGF analysis.

For subsidiaries to rated banks, if Moody's were to reconsider
its assessment of affiliate support, this could also put downward
pressure on the CRRs.

Further, under Moody's methodology, a bank's CRR will typically
not exceed the sovereign rating by more than two notches.

The following ratings were assigned:

DENMARK

  -- Danske Bank A/S

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa2, four notches above its adjusted BCA of a3
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Jyske Bank A/S
Local currency and foreign currency long-term Counterparty Risk
Ratings of A1, three notches above its adjusted BCA of baa1
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Nykredit Bank A/S

Local currency and foreign currency long-term Counterparty Risk
Ratings of Baa1, at the same level as its adjusted BCA of baa1
reflecting minus one notch from LGF, and one positive notch from
government support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-2

  -- Nykredit Realkredit A/S

Local currency and foreign currency long-term Counterparty Risk
Ratings of Baa1, at the same level as its adjusted BCA of baa1
reflecting minus one notch from LGF, and one positive notch from
government support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-2

  -- Ringkjobing Landbobank A/S

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, three notches above its adjusted BCA of a3
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Sydbank A/S

Local currency and foreign currency long-term Counterparty Risk
Ratings of A1, three notches above its adjusted BCA of baa1
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

FINLAND

  -- Aktia Bank p.l.c.

Local currency and foreign currency long-term Counterparty Risk
Ratings of A2, three notches above its adjusted BCA of baa2
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- OP Financial Group (OPFG) and OP Corporate Bank plc

OPFG: Local currency and foreign currency long-term Counterparty
Risk Ratings of Aa2, four notches above its BCA of a3 reflecting
LGF and one notch of government support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

OP Corporate Bank: Local currency and foreign currency long-term
Counterparty Risk Ratings of Aa2, four notches above its adjusted
BCA of a3 reflecting LGF and one notch of government support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

LATVIA

  -- SC Citadele Banka

Local currency and foreign currency long-term Counterparty Risk
Ratings of Ba1, three notches above its adjusted BCA of b1
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Not Prime

LITHUANIA

  -- Siauliu Bankas, AB

Local currency and foreign currency long-term Counterparty Risk
Ratings of Baa2, three notches above its adjusted BCA of ba2
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-2

NORWAY

  -- DNB Bank ASA

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa1, five notches above its adjusted BCA of a3
reflecting LGF and two notches of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Eksportfinans ASA

Local currency and foreign currency long-term Counterparty Risk
Ratings of Baa2, three notches above its adjusted BCA of ba2
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-2

  -- Fana Sparebank

Local currency and foreign currency long-term Counterparty Risk
Ratings of A2, three notches above its adjusted BCA of baa2
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Helgeland Sparebank

Local currency and foreign currency long-term Counterparty Risk
Ratings of A2, three notches above its adjusted BCA of baa2
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- KLP Banken AS

Local currency and foreign currency long-term Counterparty Risk
Ratings of A1, two notches above its adjusted BCA of a3
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Kommunalbanken AS

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aaa, four notches above its adjusted BCA of a1
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- OBOS-banken AS

Local currency and foreign currency long-term Counterparty Risk
Ratings of A3, three notches above its adjusted BCA of baa3
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-2

  -- Santander Consumer Bank AS

Local currency and foreign currency long-term Counterparty Risk
Ratings of A2, three notches above its adjusted BCA of baa2
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Sbanken ASA

Local currency and foreign currency long-term Counterparty Risk
Ratings of A1, three notches above its adjusted BCA of baa1
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- SpareBank 1 Nord-Norge

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, four notches above its adjusted BCA of baa1
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- SpareBank 1 Ostlandet

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, four notches above its adjusted BCA of baa1
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- SpareBank 1 SMN

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, four notches above its adjusted BCA of baa1
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- SpareBank 1 SR-Bank ASA

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, four notches above its adjusted BCA of baa1
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Sparebanken More

Local currency and foreign currency long-term Counterparty Risk
Ratings of A1, three notches above its adjusted BCA of baa1
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Sparebanken Oest

Local currency and foreign currency long-term Counterparty Risk
Ratings of A1, three notches above its adjusted BCA of baa1
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Sparebanken Sogn og Fjordane

Local currency and foreign currency long-term Counterparty Risk
Ratings of A1, three notches above its adjusted BCA of baa1
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Sparebanken Sor

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, four notches above its adjusted BCA of baa1
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Sparebanken Vest

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, four notches above its adjusted BCA of baa1
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

SWEDEN (including foreign branches and subsidiaries)

  -- Hoist Finance AB (publ)

Local currency and foreign currency long-term Counterparty Risk
Ratings of Baa3, three notches above its adjusted BCA of ba3
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-3

  -- Lansforsakringar Bank AB (publ)

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, three notches above its adjusted BCA of a3
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Nordea Bank AB

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa2, four notches above its adjusted BCA of a3
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- SBAB Bank AB (publ)

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, four notches above its adjusted BCA of baa1
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- SEB

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa2, four notches above its adjusted BCA of a3
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- SEB AG

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa2, four notches above the adjusted BCA of a3 of its
parent SEB, reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- SkandiaBanken AB

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa3, three notches above its adjusted BCA of a3
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Sparbanken Syd

Local currency and foreign currency long-term Counterparty Risk
Ratings of A3, three notches above its adjusted BCA of baa3
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-2

  -- Stadshypotek AB

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa1, four notches above the adjusted BCA of a2 of its
parent Svenska Handelsbanken AB, reflecting LGF and one notch of
systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Svenska Handelsbanken AB

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa1, four notches above its adjusted BCA of a2
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Svenska Handelsbanken, New York Branch

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa1, four notches above the adjusted BCA of a2 of its
parent Svenska Handelsbanken AB, reflecting LGF and one notch of
systemic support


Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Swedbank AB

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa2, four notches above its adjusted BCA of a3
reflecting LGF and one notch of systemic support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Swedbank Mortgage AB

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa2, four notches above the adjusted BCA of a3 of its
parent Swedbank AB, reflecting LGF and one notch of systemic
support

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Swedish Export Credit Corporation

Local currency and foreign currency long-term Counterparty Risk
Ratings of Aa1, three notches above its adjusted BCA of a1
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1

  -- Volvofinans Bank AB

Local currency and foreign currency long-term Counterparty Risk
Ratings of A2, three notches above its adjusted BCA of baa2
reflecting LGF

Local currency and foreign currency short-term Counterparty Risk
Ratings of Prime-1


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


BARINGS EURO 2014-1: Moody's Gives (P)B2 Rating to Cl. F-RR Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
eight classes of notes to be issued by Barings Euro CLO 2014-1
B.V.:

EUR1,500,000 Class X Senior Secured Floating Rate Notes due 2031,
assigned (P)Aaa (sf)

EUR232,000,000 Class A-RR Senior Secured Floating Rate Notes due
2031, assigned (P)Aaa (sf)

EUR15,700,000 Class B-1-RR Senior Secured Floating Rate Notes due
2031, assigned (P)Aa2 (sf)

EUR30,000,000 Class B-2-RR Senior Secured Fixed Rate Notes due
2031, assigned (P)Aa2 (sf)

EUR24,700,000 Class C-RR Senior Secured Deferrable Floating Rate
Notes due 2031, assigned (P)A2 (sf)

EUR20,900,000 Class D-RR Senior Secured Deferrable Floating Rate
Notes due 2031, assigned (P)Baa2 (sf)

EUR31,500,000 Class E-RR Senior Secured Deferrable Floating Rate
Notes due 2031, assigned (P)Ba2 (sf)

EUR13,900,000 Class F-RR Senior Secured Deferrable Floating Rate
Notes due 2031, assigned (P)B2 (sf)

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

RATINGS RATIONALE

Moody's provisional ratings of the rated notes address the
expected loss posed to noteholders by the legal final maturity of
the notes in July 2031. The provisional ratings reflect the risks
due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets. Furthermore, Moody's is of the opinion that
the Collateral Manager, Barings (U.K.) Limited ("Barings") has
sufficient experience and operational capacity and is capable of
managing this CLO.

The Issuer will issue the Class X Notes, the Class A-RR Notes,
the Class B-1-RR Notes, the Class B-2-RR Notes, the Class C-RR
Notes, the Class D-RR Notes, the Class E-RR Notes and the Class
F-RR Notes (the "Refinancing Notes") in connection with the
refinancing of the Refinancing Class A-1 Senior Secured Floating
Rate Notes due 2027, the Refinancing Class A-2 Senior Secured
Fixed Rate Notes due 2027, the Refinancing Class B-1 Senior
Secured Floating Rate Notes due 2027, the Refinancing Class B-2
Senior Secured Fixed Rate Notes due 2027, previously issued on
January 16, 2017, the Class C Senior Secured Deferrable Floating
Rate Notes due 2027, the Class D Senior Secured Deferrable
Floating Rate Notes due 2027, the Class E Senior Secured
Deferrable Floating Rate Notes due 2027 and the Class F Senior
Secured Deferrable Floating Rate Notes due 2027 ("the Refinanced
Notes"), previously issued on April 15, 2014 (the "Original Issue
Date"). The Issuer will use the proceeds from the issuance of the
Refinancing Notes to redeem in full the Original Notes that will
be refinanced. On the Original Issue Date, the Issuer also issued
EUR 43,750,000 of unrated Subordinated Notes, which will remain
outstanding.

Barings 2014-1 is a managed cash flow CLO. At least 90% of the
portfolio must consist of secured senior obligations and up to
10% of the portfolio may consist of unsecured senior loans,
unsecured senior bonds, second lien loans, mezzanine obligations,
high yield bonds and/or first lien last out loans. At closing,
the portfolio is expected to be comprised predominantly of
corporate loans to obligors domiciled in Western Europe.

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

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

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

Loss and Cash Flow Analysis:

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.

The cash flow model evaluates all default scenarios that are then
weighted considering the probabilities of the binomial
distribution assumed for the portfolio default rate. In each
default scenario, the corresponding loss for each class of notes
is calculated given the incoming cash flows from the assets and
the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum
product of (i) the probability of occurrence of each default
scenario and (ii) the loss derived from the cash flow model in
each default scenario for each tranche. As such, Moody's
encompasses the assessment of stressed scenarios.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.

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

Target Par Amount: EUR400,000,000

Defaulted par: EUR0

Diversity Score: 50

Weighted Average Rating Factor (WARF): 3175

Weighted Average Spread (WAS): 3.60%

Weighted Average Fixed Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 41.00%

Weighted Average Life (WAL): 8.5 years

As part of its analysis, Moody's has addressed the potential
exposure to obligors domiciled in countries with local currency
government bond ratings of "A1" or below. According to the
portfolio constraints, the total exposure to countries with a
local currency country risk bond ceiling ("LCC") below "Aa3"
shall not exceed 10%, the total exposure to countries with an LCC
below "A3" shall not exceed 2.5% and the total exposure to
countries with an LCC below "Baa3" shall not exceed 0%. Given
this portfolio composition, the model was run with different
target par amounts depending on the target rating of each class
of notes as further described in the methodology. The portfolio
haircuts are a function of the exposure size to countries with
LCC of "A1" or below and the target ratings of the rated notes,
and amount to 0.375% for the Class X and Class A Notes, 0.25% for
the Class B-1 and Class B-2 Notes, 0.1875% for the Class C notes
and 0% for Classes D, E and F Notes.

Stress Scenarios:

Together with the set of modeling assumptions, Moody's conducted
an additional sensitivity analysis, which was a component in
determining the provisional 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 the notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds
to higher expected losses), assuming that all other factors are
held equal.

Percentage Change in WARF -- increase of 15% (from 3175 to 3651)

Rating Impact in Rating Notches:

Class X Senior Secured Floating Rate Notes: 0

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

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

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

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

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

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

Class F-RR Senior Secured Deferrable Floating Rate Notes: -1

Percentage Change in WARF -- increase of 30% (from 3175 to 4128)

Class X Senior Secured Floating Rate Notes: 0

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

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

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

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

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

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

Class F-RR Senior Secured Deferrable Floating Rate Notes: -3


BARINGS EURO 2016-1: Moody's Gives (P)B2 Rating to Cl. F-R Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to refinancing notes to be issued
by Barings Euro CLO 2016-1 B.V.:

EUR 228,000,000 Class A-1-R Senior Secured Floating Rate Notes
due 2030, Assigned (P)Aaa (sf)

EUR 12,000,000 Class A-2-R Senior Secured Fixed Rate Notes due
2030, Assigned (P)Aaa (sf)

EUR 38,500,000 Class B-1-R Senior Secured Floating Rate Notes due
2030, Assigned (P)Aa2 (sf)

EUR 7,300,000 Class B-2-R Senior Secured Fixed Rate Notes due
2030, Assigned (P)Aa2 (sf)

EUR 22,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030, Assigned (P)A2 (sf)

EUR 20,500,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030, Assigned (P)Baa2 (sf)

EUR 27,300,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030, Assigned (P)Ba2 (sf)

EUR 12,800,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2030, Assigned (P)B2 (sf)

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

RATINGS RATIONALE

Moody's provisional ratings of the notes address the expected
loss posed to noteholders by the legal final maturity of the
notes in 2030. The provisional ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying
assets. Furthermore, Moody's is of the opinion that the
collateral manager, Barings (U.K.) Limited, has sufficient
experience and operational capacity and is capable of managing
this CLO.

The Issuer will issue the Refinancing Notes in connection with
the refinancing of the following classes of notes: Class A-1
Notes, Class A-2 Notes, Class B-1 Notes, Class B-2 Notes, Class C
Notes, Class D Notes, Class E Notes and Class F Notes due 2030
(the "Original Notes"), previously issued July 2016 (the
"Original Closing Date"). On the Refinancing Date, the Issuer
will use the proceeds from the issuance of the Refinancing Notes
to redeem in full the Original Notes. On the Original Closing
Date the Issuer also issued Subordinated Notes, which will remain
outstanding.

The main changes to the terms and conditions occurring in
connection to the refinancing involve (1) extension of the
Weighted Average Life Test by 18 months to a total of 7.5 years
from refinancing date and (2) the use of excess par to skew the
Minimum Weighted Average Spread Test. Furthermore, the Manager is
expected to be able to choose from a new set of collateral
quality test covenants (the "Matrix").

Barings Euro CLO 2016-1 B.V. (previously known as Babson Euro CLO
2016-1 B.V.) is a managed cash flow CLO with a target portfolio
made up of EUR 400,000,000 par value of mainly European corporate
leveraged loans. 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 or, mezzanine loans. The portfolio is expected to be 100%
ramped up as of the closing date and to be comprised
predominantly of corporate loans to obligors domiciled in Western
Europe.

Barings will actively manage the collateral pool of 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 remaining 2-year reinvestment period. Thereafter,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit risk and
credit improved obligations, and are subject to certain
restrictions.

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

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

Loss and Cash Flow Analysis:

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017. The
cash flow model evaluates all default scenarios that are then
weighted considering the probabilities of the binomial
distribution assumed for the portfolio default rate. In each
default scenario, the corresponding loss for each class of notes
is calculated given the incoming cash flows from the assets and
the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum
product of (i) the probability of occurrence of each default
scenario and (ii) the loss derived from the cash flow model in
each default scenario for each tranche. As such, Moody's
encompasses the assessment of stressed scenarios.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: EUR400,000,000

Defaulted par: EUR 0

Diversity Score: 50

Weighted Average Rating Factor (WARF): 3100

Weighted Average Spread (WAS): 3.90%

Weighted Average Recovery Rate (WARR): 41.0%

Weighted Average Life (WAL): 7.5 years

As part of its analysis, Moody's has addressed the potential
exposure to obligors domiciled in countries with a local currency
country risk ceiling of A1 or below. Given the portfolio
constraints and the current sovereign ratings in Europe, such
exposure may not exceed 10% of the total portfolio with exposures
to countries with local currency country risk ceiling of Baa1 to
Baa3 further limited to 5%. As a worst case scenario, a maximum
5% of the pool would be domiciled in countries with A3 and a
maximum of 5% of the pool would be domiciled in countries with
Baa3 local currency country ceiling each. The remainder of the
pool will be domiciled in countries which currently have a local
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-1 Notes and Class A-2 Notes, 0.50% for the Class B-1
Notes and Class B-2 Notes, 0.38% for the Class C Notes and 0% for
classes D, E and F.

Stress Scenarios:

Together with the set of modeling assumptions, Moody's conducted
an additional sensitivity analysis, which was a component in
determining the provisional 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 the notes (shown in terms of the number of notch
difference versus the current model output, whereby a negative
difference corresponds to higher expected losses), assuming that
all other factors are held equal.

Percentage Change in WARF -- increase of 15% (from 3100 to 3565)

Rating Impact in Rating Notches:

Class A-1-R Senior Secured Floating Rate Notes: 0

Class A-2-R Senior Secured Fixed Rate Notes: 0

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

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

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

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

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

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

Percentage Change in WARF -- increase of 30% (from 2800 to 4030)

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

Class A-2-R Senior Secured Fixed Rate Notes: -1

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

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

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

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

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

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


CREDIT EUROPE: Moody's Assigns Ba1 LT Counterparty Risk Rating
--------------------------------------------------------------
Moody's Investors Service assigned Counterparty Risk Ratings to
19 banks and their branches and subsidiaries in the Benelux
region: ABN AMRO Bank N.V. (ABN AMRO), Axa Bank Belgium (ABB),
Banque et Caisse d'Epargne de l'Etat (BCEE), Belfius Bank SA/NV
(Belfius), BGL BNP Paribas (BGL), Banque Internationale a
Luxembourg (BIL), BNP Paribas Fortis SA/NV (BNPPF), China
Construction Bank (Europe) S.A. (CCB Europe), Credit Europe Bank
N.V. (CEB NV), De Volksbank N.V. (De Volksbank), Demir-Halk Bank
(Nederland) N.V. (DHB), GarantiBank International N.V. (GBI), ING
Bank N.V. (ING), ING Belgium SA/NV (ING Belgium), LeasePlan
Corporation N.V. (LeasePlan), N.V. Bank Nederlandse Gemeenten
(BNG Bank), Nederlandse Waterschapsbank N.V. (NWB Bank), NIBC
Bank N.V. (NIBC) and Rabobank.

Moody's Counterparty Risk Ratings (CRRs) are opinions of the
ability of entities to honor the uncollateralized portion of non-
debt counterparty financial liabilities (CRR liabilities) and
also reflect the expected financial losses in the event such
liabilities are not honored. CRR liabilities typically relate to
transactions with unrelated parties. Examples of CRR liabilities
include the uncollateralized portion of payables arising from
derivatives transactions and the uncollateralized portion of
liabilities under sale and repurchase agreements. CRRs are not
applicable to funding commitments or other obligations associated
with covered bonds, letters of credit, guarantees, servicer and
trustee obligations, and other similar obligations that arise
from a bank performing its essential operating functions.

RATINGS RATIONALE

In assigning CRRs to the banks subject to this rating action,
Moody's starts with the banks' adjusted Baseline Credit
Assessments (BCAs) and uses the agency's existing advanced Loss
Given Failure (LGF) approach that takes into account the level of
subordination to CRR liabilities in the bank's balance sheet, and
assumes a nominal volume of such liabilities. In addition, where
applicable, Moody's has incorporated the likelihood of government
support for CRR liabilities.

As a result, of the CRRs assigned to the 19 banks, the CRRs of 12
banks (ABN AMRO, BCEE, Belfius, BGL, BIL, BNPPF, CCB Europe, ING,
ING Belgium, BNG Bank, NWB Bank, Rabobank) are four notches
higher than their respective adjusted BCAs, the CRRs of five
banks (CEB NV, De Volksbank, GBI, LeasePlan, NIBC) are three
notches higher, the CRR of one bank (ABB) is two notches higher
and the CRR of one bank (DHB) is one notch higher.

Although most if not all of the 17 banks whose CRRs receive four
or three notches of uplift from their adjusted BCAs are likely to
have more than a nominal volume of CRR liabilities at failure,
this has no impact on the ratings because the significant level
of subordination below the CRR liabilities at each of the 17
banks already provides the maximum amount of uplift allowed under
Moody's rating methodology.

In all cases the CRRs assigned are equal to or higher than the
rated banks' senior debt and deposit ratings. This reflects
Moody's view that secured counterparties to banks typically
benefit from greater protections under insolvency laws and bank
resolution regimes than do senior unsecured creditors, and that
this benefit is likely to extend to the unsecured portion of such
secured transactions in most bank resolution regimes. Moody's
believes that in many cases regulators will use their discretion
to allow a bank in resolution to continue to honor its CRR
liabilities or to transfer those liabilities to another party who
will honor them, in part because of the greater complexity of
bailing in obligations that fluctuate with market prices, and
also because the regulator will typically seek to preserve much
of the bank's operations as a going concern in order to maximize
the value of the bank in resolution, stabilize the bank quickly,
and avoid contagion within the banking system. CRR liabilities at
these banks therefore benefit from the subordination provided by
more junior liabilities, with the extent of the uplift of the CRR
from the adjusted BCA depending on the amount of subordination.

WHAT COULD CHANGE THE RATING UP/DOWN

ABN AMRO Bank N.V.

An upgrade of ABN AMRO's CRR could occur if the bank's adjusted
BCA were upgraded as a result of a material improvement in its
leverage ratio (regulatory leverage ratio of 4.3% at year-end
2017).

The bank's CRR could be downgraded if its adjusted BCA were
downgraded as a result of (1) a significant deterioration in the
bank's asset quality and profitability; or (2) a negative
development in its liquidity; or (3) if Moody's assessment of the
bank's capital adequacy relative to its risks deteriorated.

Axa Bank Belgium

An upgrade of ABB's CRR is unlikely given the negative pressure
on its adjusted BCA resulting from the negative outlook assigned
to the senior unsecured debt rating of its parent AXA (LT senior
unsecured A2 negative).

ABB's CRR could be downgraded if its adjusted BCA were downgraded
in the event of a downgrade of AXA's senior unsecured debt rating
or if Moody's were to consider a lower probability of parental
support to be extended to the bank in case of need.

Banque et Caisse d'Epargne de l'Etat

As BCEE's CRR already benefits from the maximum LGF uplift under
Moody's rating methodology, it could only be upgraded as a result
of an upgrade of its adjusted BCA, which is unlikely at present.

A downgrade of the bank's CRR could result from (1) a downgrade
of the BCA and (2) higher loss-given-failure for CRR obligations
due to lower subordination protecting these liabilities. A
downgrade of the bank's BCA could result from (1) a deterioration
in the quality of BCEE's loan portfolio and securities
investments, notably through an increase in riskier investments;
or (2) a decrease in net profitability, owing to lower net
interest margins in a prolonged low interest rate environment and
higher operating costs. More generally, the BCA could be
downgraded following a weakening of the bank's franchise in
Luxembourg or a substantial increase in borrower concentrations.

Belfius Bank SA/NV

Belfius' CRR could be upgraded as a result of an upgrade of its
adjusted BCA. The bank's adjusted BCA would likely be upgraded if
risk concentrations in its loan and investment portfolios were to
be further reduced, its profit growth acceleration were confirmed
or its capital position continues to strengthen above the current
expectations.

A downgrade of Belfius' CRR is unlikely over the outlook horizon,
as reflected in the positive outlook on its long-term deposit and
senior unsecured debt ratings. However, Belfius' adjusted BCA,
and hence its CRR, could be downgraded as a result of unexpected
losses arising from its investment or loan book.

BGL BNP Paribas

BGL's CRR could be upgraded if its adjusted BCA were upgraded.
BGL's BCA and adjusted BCA are already one notch above those of
its parent BNP Paribas (BNPP; LT deposit Aa3 stable, LT senior
unsecured Aa3 stable, BCA baa1) and it is therefore unlikely to
further increase absent any improvement in BNPP's own BCA. In
such a scenario, BGL's adjusted BCA could be upgraded as a result
of a strengthening of its asset quality and/or an improvement of
its profitability.

BGL's CRR could be downgraded if its adjusted BCA were downgraded
in the event the bank suffers significant asset-quality
deterioration or if its parent were to transfer activities that
would alter the risk profile of BGL. The bank's CRR could also be
downgraded as a result of higher loss-given-failure due to a
material reduction in liabilities subordinated to the CRR
obligations.

N.V. Bank Nederlandse Gemeenten

An upgrade of the BNG Bank's BCA will not trigger any upgrade of
the bank's CRR which is already Aaa.

A multi-notch downgrade of the bank's BCA could result in a
downgrade of its CRR. The CRR will likely not be affected by a
one notch downgrade of the BCA, because this would likely be
offset by government support.

Downward pressure on BNG Bank's BCA could result from (1) a
deterioration in the creditworthiness of the Dutch public sector;
(2) a significant increase in the bank's risk weighted assets;
(3) a significant increase in its funding gaps; or (4) a
deterioration in its solvency.

Banque Internationale a Luxembourg

BIL's CRR could be upgraded if its adjusted BCA were upgraded.
The bank's adjusted BCA could be upgraded if it improved its
profitability or asset risk, or both, while maintaining its
capital base, or if the uncertainties stemming from the bank's
recent acquisition by a new shareholder abated.

BIL's CRR could be downgraded if its adjusted BCA were
downgraded. BIL's adjusted BCA could be downgraded as a result of
(1) a deterioration in its profitability that may result from
difficulties in implementing its commercial strategy; or (2)
material losses stemming from the bank's investment portfolio and
loan book in a less benign macroeconomic environment.

Credit Europe Bank N.V.

CEB NV's CRR is on review for upgrade as a result of the current
review for upgrade on the bank's BCA. The bank's BCA and
consequently its long-term deposit rating and CRR, all currently
on review for upgrade, could be upgraded on the sale of Credit
Europe Bank Limited (CEBL) to CEB NV's parent Fiba Group, which
is still contingent upon the approval of local regulators. The
upgrade would be underpinned by stronger operating conditions in
jurisdictions where CEB NV does business, which will affect the
bank's asset quality and profitability.

Although unlikely at present, a downgrade of CEB NV's CRR could
result from a downgrade of the bank's BCA due to higher asset
risks, lower capitalisation or reduced profitability.

Demir-Halk Bank (Nederland) N.V.

DHB's CRR could be upgraded if the bank's BCA were upgraded,
which could be triggered by a decrease in emerging market
exposures and a sustainable improvement in profitability. In
addition, DHB's CRR could be upgraded if the subordination
benefiting CRR obligations were to increase, resulting in lower
loss-given-failure.

DHB's CRR could be downgraded if the bank's BCA were downgraded,
which could be triggered notably by (1) reduced profitability and
increased earnings volatility; (2) a deterioration in operating
conditions in Turkey, impacting asset quality; (3) weakening
capital; or (4) an increase in related party lending.

China Construction Bank (Europe) S.A.

CCB Europe's CRR could be upgraded if its adjusted BCA were
upgraded. Unless the BCA of its parent China Construction Bank
Corporation's (CCB, LT deposit A1 stable, BCA baa1) BCA itself
were upgraded, an upgrade of CCB Europe's ba2 BCA would be
unlikely to result in an upgrade of the bank's CRR.

CCB's CRR could be downgraded if its adjusted BCA were
downgraded. The bank's adjusted BCA could be downgraded as a
result of a downgrade in CCB's BCA or a downgrade of its own BCA.
Factors that may lead to a downgrade of CCB Europe's standalone
BCA include (1) difficulties in implementing the bank's business
development plan, which would result in lower-than-expected
volumes of loans granted and a protracted period of negative
profitability; (2) increasing asset risk resulting from higher
delinquencies; and (3) a failure to attract new deposits and so
diversify the bank's funding profile.

CCB's CRR could also be downgraded if Moody's were to consider
that the Chinese government's support to CCB Europe would be less
likely than currently expected.

De Volksbank N.V.

De Volksbank's CRR could be upgraded if (1) its adjusted BCA were
upgraded owing to further strengthening of its profitability and
asset risk; or (2) as a result of a decrease in loss-given-
failure implied by a higher volume of subordinated liabilities to
the CRR obligations.

De Volksbank's CRR could be downgraded in the event its adjusted
BCA were downgraded as a result of a material deterioration of
the bank's asset quality and solvency driven by an unexpected
downturn in the domestic economy, or a deterioration of its
liquidity profile.

GarantiBank International N.V.

An upgrade of GBI's CRR is unlikely at present as it is on review
for downgrade, along with the review for downgrade on the bank's
BCA caused by increased asset risks due to the bank's Turkish
exposures.

A downgrade of GBI's BCA, long-term deposit ratings and CRR could
result from (1) increased asset risks in relation to the bank's
Turkish exposures and/or declining profitability; (2) contagion
risk from Turkiye Garanti Bankasi (TGB); and/or (3) a lower
probability of support from BBVA.

A downgrade of GBI's CRR could also result from a decrease in the
subordination benefiting CRR obligations, resulting in higher
loss-given-failure for these liabilities.

ING Bank N.V.

ING Bank's CRR could be upgraded if its adjusted BCA were
upgraded as a result of (1) a material improvement in the
operating environment in the EU countries to which the bank is
mostly exposed, leading to substantially improved asset risk and
a higher profitability level; (2) a strengthening capital
position; or (3) a lower reliance on confidence-sensitive
wholesale funding.

ING Bank's CRR could be downgraded if its adjusted BCA were
downgraded as a result of (1) an unexpected deterioration in
asset risk and profitability; or (2) a weaker-than expected
capital position.

ING Belgium SA/NV

ING Belgium's CRR could be upgraded if its adjusted BCA were
upgraded as a result of (1) a substantial decrease in the bank's
net exposure to its parent, ING Bank, N.V. (LT deposit Aa3
stable, LT senior unsecured Aa3 stable, BCA baa1); or (2) an
improvement in its parent's BCA, which currently constrains that
of ING Belgium.

ING Belgium's CRR could be downgraded if its adjusted BCA is
downgraded as a result of a weakening in the bank's credit
profile, due for instance to (1) an unexpected deterioration of
the operating environment in Belgium; or (2) a decline in
profitability if the bank fails to implement its restructuring
plan. ING Belgium's adjusted BCA could also be downgraded if ING
Bank's BCA is downgraded.

LeasePlan Corporation N.V.

An upgrade of LeasePlan's CRR is unlikely at present because the
CRR already benefits from three notches of LGF uplift, which is
the maximum under Moody's rating methodology. An upgrade of
LeasePlan's BCA would likely trigger a similar upgrade of the
CRR, but is unlikely at present, considering that LeasePlan's
owners are private equity investors who are expected to constrain
capital accrual at the bank.

LeasePlan's BCA and consequently its CRR could be downgraded if
the shareholders implemented a more aggressive financial policy
at the bank. In addition, its ratings could be downgraded as a
result of (1) the failure of risk-mitigation techniques,
recurring earnings or capital resources to adequately cover
higher residual value risk; (2) evidence of deterioration in the
bank's liquidity and funding profiles, resulting from increased
reliance on wholesale funding or worse-than-expected liquidity
gaps; or (3) a structural deterioration in profitability or the
diversity of income streams.

NIBC Bank N.V.

NIBC's CRR could be upgraded if its adjusted BCA were upgraded as
a result of improved asset risk and profitability.

A downgrade of NIBC's CRR could result from a downgrade of its
adjusted BCA driven by a deterioration in its asset quality in
light of weaker credit exposures, notably to cyclical corporate
sectors (for example, commercial real estate, shipping, and oil
and gas). The bank's BCA could also be lowered if the liquidity
or funding mix deteriorates.

Nederlandse Waterschapsbank N.V.

An upgrade of the NWB Bank's BCA would not trigger any upgrade of
the bank's CRR which is already Aaa.

A multi-notch downgrade of the bank's BCA could result in a
downgrade of its CRR. The CRR will likely not be affected by a
one notch downgrade of the BCA, because this would likely be
offset by government support.

Downward pressure on NWB Bank's BCA could result from (1) a
deterioration in the creditworthiness of the Dutch public sector;
(2) a significant increase in the bank's risk-weighted assets;
(3) a significant increase in its funding gaps; or (4) a
significant deterioration in its solvency.

Rabobank

An upgrade of Rabobank's BCA, and consequently of the long-term
CRR, could occur if (1) Rabobank improved its structural
profitability beyond its current plans; (2) its capital continued
to steadily increase; and (3) asset risks remained very low.

A downgrade of the bank's BCA, and consequently of the long-term
CRR, could occur if (1) the bank's profitability were
significantly impaired; or (2) the cost of risk in the bank's
loan portfolio were to increase materially.

LIST OF AFFECTED RATINGS

Issuer: BGL BNP Paribas

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: BNP Paribas Fortis SA/NV

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: BNP Paribas Fortis, New York Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: LeasePlan Corporation N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned A3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-2

Issuer: LeasePlan Finance N.V. (DUBLIN BRANCH)

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned A3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-2

Issuer: N.V. Bank Nederlandse Gemeenten

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aaa

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Nederlandse Waterschapsbank N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aaa

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Banque et Caisse d'Epargne de l'Etat

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: ABN AMRO Bank N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: ING Bank N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: ING Bank N.V. (Singapore)

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: ING Bank N.V., Sydney Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: ING Bank N.V., Tokyo Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: ING Groenbank N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: ING Belgium SA/NV

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Belfius Bank SA/NV

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned A1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: AXA Bank Belgium

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: GarantiBank International N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned A2, Placed Under Review for Downgrade

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1, Placed Under Review for Downgrade

Issuer: Demir-Halk Bank (Nederland) N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Baa3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-3

Issuer: De Volksbank N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned A1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Banque Internationale a Luxembourg

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned A1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: China Construction Bank (Europe) S.A.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned A1

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Rabobank

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Rabobank, Australia Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Rabobank, Hong Kong Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Rabobank, New York Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Rabobank, New Zealand Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Rabobank, Paris Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Rabobank, Singapore Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: Rabobank, The Netherlands Branch

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Aa2

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-1

Issuer: NIBC Bank N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned A3

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned P-2

Issuer: Credit Europe Bank N.V.

Assignments:

  Long-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned Ba1, Placed Under Review for Upgrade

  Short-term Counterparty Risk Rating (Local and Foreign
  Currency), Assigned NP, Placed Under Review for Upgrade


STEINHOFF INT'L: In Talks with Creditors Over Debt Extension
------------------------------------------------------------
Loni Prinsloo, Luca Casiraghi and Janice Kew at Bloomberg News
report that Steinhoff International Holdings NV may have to
compromise with creditors over the length of a debt-payment
extension plan to win support for a deal that may keep the
embattled retailer afloat.

According to Bloomberg, people familiar with the situation said
the owner of Conforama in France and Mattress Firm in the U.S. is
negotiating a two-year payment delay with bondholders and lenders
that would include zero cash interest.

The South African company initially proposed a three-year payment
postponement, Bloomberg recounts.  The people, as cited by
Bloomberg, said the plan is expected to be distributed to all
creditors shortly.

Steinhoff, Bloomberg says, has been in near-constant talks with
lenders about how to repair its balance sheet since reporting
accounting wrongdoing in December that wiped more than 95% off
the share price.

The people said at least 75% of Steinhoff's various classes of
creditors need to support the restructuring plan for it to be
implemented via U.K. courts, Bloomberg relays.

On June 29, the company said it had reached agreement on key
commercial terms and had enough backing to extend the talks
through July 20, Bloomberg notes.



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


NOVO BANCO: DBRS Assigns CCC(high) Issuer Rating, Trend Positive
----------------------------------------------------------------
DBRS Ratings Limited has assigned a new 'CCC(high)' subordinated
debt rating to Novo Banco S.A. (NB). The trend is Positive, in
line with the trend on the Bank's Long-Term Issuer Rating.

KEY RATING CONSIDERATIONS

The subordinated debt rating is two notches below the B Intrinsic
Assessment (IA) of the Bank, in line with DBRS's notching
guidelines in its Global Methodology for Rating Banks and Banking
Organizations (May 2017).

RATING DRIVERS

The subordinated debt rating will move in line with the Bank's
'B' Intrinsic Assessment and its Long-Term Issuer Rating of 'B',
Positive Trend.



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


BANK VTB: Moody's Assigns 'Ba1' LT Counterparty Risk Rating
-----------------------------------------------------------
Moody's Investors Service, assigned Counterparty Risk Ratings
(CRRs) to all 53 rated Russian banks.

Moody's Counterparty Risk Ratings are opinions of the ability of
entities to honour the uncollateralized portion of non-debt
counterparty financial liabilities (CRR liabilities) and also
reflect the expected financial losses in the event such
liabilities are not honoured. CRR liabilities typically relate to
transactions with unrelated parties. Examples of CRR liabilities
include the uncollateralized portion of payables arising from
derivatives transactions and the uncollateralized portion of
liabilities under sale and repurchase agreements. CRRs are not
applicable to funding commitments or other obligations associated
with covered bonds, letters of credit, guarantees, servicer and
trustee obligations, and other similar obligations that arise
from a bank performing its essential operating functions.

RATINGS RATIONALE

Moody's said that the CRRs assigned to Russian banks are in line
with their Counterparty Risk Assessments (CR Assessment) already
outstanding.

Because Moody's considers Russia a jurisdiction with a non-
operational resolution regime, in assigning CRRs to the Russian
banks subject to this rating action, the rating agency starts
with the banks' adjusted Baseline Credit Assessment (BCA) and
uses the agency's existing basic Loss Given Failure (LGF)
approach; Moody's basic LGF analysis provides one notch of uplift
from the banks' adjusted BCAs. This reflects the rating agency's
view that CRR liabilities are not likely to default at the same
time as the bank fails and will more likely to be preserved in
order to minimize banking system contagion, minimize losses and
avoid disruption of critical functions. The CRR also incorporates
between zero to five notches of uplift for the 14 banks
reflecting Moody's assessment of support from central or regional
governments in times of need, based on the banks' systemic
importance or/and government ownership. The uplifts are in line
with those applied to the CR Assessments.

OUTLOOK

CRRs do not carry outlooks.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE

An upgrade of Russian banks' CRR over the next 12-18 months could
be driven by an upgrade of their standalone BCAs. The banks' BCAs
may, in turn, be upgraded following improvements in their
solvency metrics (particularly, if level of problem loans were to
significantly decrease, and capitalization and profitability were
to materially improve) and provided liquidity profiles of these
banks will not deteriorate. Also, CRRs of those banks which
benefit from government support may come under upwards pressure
following upgrade of the sovereign rating of Russia.

The banks' CRRs could be downgraded as a result of a
deterioration in their BCAs. The banks' BCAs may come under
downwards pressure following a material deterioration in the
country's economic environment which will have a bearing on the
Russian banks' asset quality, capitalization and profitability.
The CRRs of those Russian banks which benefit from government
support may be downgraded following downgrade of the sovereign
ratings (which is currently unlikely) or due to Moody's re-
assessment of the likelihood of government support, which could
reduce rating uplift.

LIST OF AFFECTED RATINGS

BANKS BENEFITING FROM GOVERNMENT SUPPORT

Issuer: Sberbank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Baa3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Prime-3

Issuer: Bank VTB, PJSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Russian Agricultural Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: SME Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: JSC DOM.RF

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Eximbank of Russia

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Gazprombank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not-Prime

Issuer: Bank Otkritie Financial Corporation PJSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not-Prime

Issuer: Novikombank JSCB

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Promsvyazbank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Commercial Bank AK BARS, PJSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Credit Bank of Moscow

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Moscow Mortgage Agency

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not-Prime

Issuer: Alfa-Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

OTHER BANKS

Issuer: Commercial Bank Agropromcredit (LLC)

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Autotorgbank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Joint Stock Commercial Bank Avangard

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: BystroBank JSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Far Eastern Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Metallinvestbank JSCB

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Metkombank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Petersburg Social Commercial Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Transkapitalbank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Bank Uralsky Financial House

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Gazbank JSCB

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Interprombank, JSCB

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: CB Kuban Credit Ltd

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Maritime Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: National Reserve Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: National Standard Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: NK Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Rosdorbank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Orient Express Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Vozrozhdenie Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2, placed under review for downgrade

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Bank Uralsib

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Baltinvestbank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned B3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Natixis Bank JSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Russian Regional Development Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Center-Invest Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: NBD Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Sovcombank PJSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Absolut Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Bank ZENIT PJSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba2

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Bank Saint-Petersburg PJSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Credit Europe Bank Ltd.

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Evrofinance Mosnarbank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Locko-bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Tinkoff Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Ba3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: AO RAIFFEISENBANK

Assignments:

Long-term Counterparty Risk Rating (Local Currency), assigned
Baa2

Long-term Counterparty Risk Rating (Foreign Currency), assigned
Baa3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Prime-3

Issuer: DeltaCredit Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Baa3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Prime-3

Issuer: JSB Rosbank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Baa3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Prime-3

Issuer: Rusfinance Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Baa3

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Prime-3

Issuer: Russian Standard Bank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Caa1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime



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


CAIXABANK CONSUMO 2: DBRS Retains BB Rating on Series B Notes
-------------------------------------------------------------
DBRS Ratings Limited maintained its Under Review with Positive
Implications (UR-Pos.) status on the rated notes (the Notes)
issued by Caixabank Consumo 2, FT (the issuer) as follows:

-- Series A maintained at A (low) (sf) UR-Pos.
-- Series B maintained at BB (sf) UR-Pos.

The Notes were originally placed UR-Pos. on April 30, 2018,
following the upgrade of the Kingdom of Spain's Long-Term Foreign
and Local Currency - Issuer Rating to "A" from A (low). The
Series A and Series B notes continue to be placed UR-Pos. pending
DBRS's analysis of the recent performance of the Spanish real
estate market. The rating confirmation and the maintenance of the
UR-Pos. status on the Notes follow an annual review of the
transaction incorporating the Spanish sovereign rating upgrade
and the following analytical considerations:

-- The portfolio performance, in terms of level of delinquencies
and cumulative net losses, as of the April 2018 payment date;

-- Revised default rate and expected loss assumptions for the
remaining collateral pool;

-- The current levels of credit enhancement (CE) available to
the Series A and Series B notes to cover expected losses assumed
at the A (low) (sf) and BB (sf) rating levels, respectively.

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 April 2060.

The rating on the Series B notes addresses the ultimate payment
of interest and repayment of principal on or before the legal
maturity date in April 2060.

The issuer is a securitization collateralized by a portfolio of
consumer loans granted by CaixaBank, S.A. (Caixabank) to
individuals in Spain. The portfolio consists of unsecured and
mortgage loans, including standard contracts and drawdowns from a
revolving credit line (Credito Abierto).

PORTFOLIO PERFORMANCE

As of the April 2018 payment date, 30-day to 60-day delinquencies
represented 0.3% of the outstanding principal balance and 60-day
to 90-day delinquencies represented less than 0.1%, while
delinquencies greater than 90 days represented 2.1%. The gross
cumulative defaults as a ratio of the original portfolio were
0.9%, of which 5.2% have been recovered so far.

PORTFOLIO ASSUMPTIONS

DBRS conducted a loan-by-loan analysis on the remaining pool and
updated its probability of default (PD) and loss given default
(LGD) base case assumptions on the remaining mortgage receivable
portion of the portfolio to 5.3% and 36.7%; and on the remaining
unsecured consumer loan pool to 12.6% and 78.5%, respectively.
Also incorporated in these updated assumptions is the Spanish
sovereign rating which was upgraded to "A" from A (low) on 6
April 2018.

CREDIT ENHANCEMENT

CE is provided to the Series A notes by the subordination of the
Series B notes and the cash reserve; while CE to the Series B
notes is provided solely by the cash reserve. CE to the Series A
notes increased to 27.7% in April 2018, from 14.0% at closing; CE
to the Series B notes increased to 7.9% from 4.0%.

Caixabank acts as the account bank for the transaction.
Caixabank's reference rating -- one notch below its DBRS Long-
Term Critical Obligations Rating of AA (low) -- is consistent
with the Minimum Institution Rating, given the rating assigned to
the Series A, as described in DBRS's "Legal Criteria for European
Structured Finance Transactions" methodology.



=============
U K R A I N E
=============


SAVING BANKS: Moody's Assigns Caa1 LT Counterparty Risk Rating
--------------------------------------------------------------
Moody's Investors Service assigned Counterparty Risk Ratings
(CRR) to the following four Ukrainian banks: Saving Bank of
Ukraine, Ukreximbank, Sberbank PJSC and Pivdennyi Bank, JSC.

Moody's Counterparty Risk Ratings are opinions of the ability of
entities to honour the uncollateralized portion of non-debt
counterparty financial liabilities (CRR liabilities) and also
reflect the expected financial losses in the event such
liabilities are not honoured. CRR liabilities typically relate to
transactions with unrelated parties. Examples of CRR liabilities
include the uncollateralized portion of payables arising from
derivatives transactions and the uncollateralized portion of
liabilities under sale and repurchase agreements. CRRs are not
applicable to funding commitments or other obligations associated
with covered bonds, letters of credit, guarantees, servicer and
trustee obligations, and other similar obligations that arise
from a bank performing its essential operating functions.

RATINGS RATIONALE

Moody's said that the CRRs assigned to Ukrainian banks are in
line with their Counterparty Risk Assessments (CR Assessment)
already outstanding.

Because Moody's considers Ukraine a jurisdiction with a non-
operational resolution regime, in assigning CRRs to the Ukrainian
banks subject to this rating action, the rating agency starts
with the banks' adjusted Baseline Credit Assessment (BCA) and
uses the agency's existing basic Loss-Given-Failure (LGF)
approach; Moody's basic LGF analysis provides one notch of uplift
from the banks' adjusted BCAs. This reflects the rating agency's
view that CRR liabilities are not likely to default at the same
time as the bank fails and will more likely to be preserved in
order to minimize banking system contagion, minimize losses and
avoid disruption of critical functions.

Furthermore, Moody's has assigned CRR in the National Scale
Rating (NSR) to three Ukrainian banks that already have deposit
ratings in NSR: Saving Bank of Ukraine, Sberbank PJSC and
Pivdennyi Bank, JSC.

OUTLOOK

CRRs do not carry outlooks.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE

An upgrade of Ukrainian banks' CRR over the next 12-18 months
could be driven by an upgrade of their standalone BCAs. The
banks' BCA may, in turn, be upgraded following improvements in
their solvency metrics (particularly, if level of problem loans
were to significantly decrease, and capitalization and
profitability were to materially improve) and provided liquidity
profiles of these banks does not deteriorate. Also, BCAs of those
banks which benefit from government support may come under upward
pressure following upgrade of the sovereign rating of Ukraine.

The banks' CRRs could be downgraded as a result of a
deterioration in their BCAs. The banks' BCAs may be downgraded
following a material deterioration in the country's economic
environment affecting their asset quality, capitalization and
profitability.

LIST OF AFFECTED RATINGS

Issuer: Saving Bank of Ukraine

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Caa1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime
.NSR Long-term Counterparty Risk Rating (Local Currency),
assigned Baa3.ua

Issuer: Ukreximbank

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Caa1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime

Issuer: Sberbank PJSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Caa1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime
.NSR Long-term Counterparty Risk Rating (Local Curency), assigned
Ba2.ua

Issuer: Pivdennyi Bank, JSC

Assignments:

Long-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Caa1

Short-term Counterparty Risk Rating (Local and Foreign Currency),
assigned Not Prime
.NSR Long-term Counterparty Risk Rating (Local Currency),
assigned Baa3.ua



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


AZURE FINANCE 1: Moody's Gives (P)Caa1 Rating on Class X Notes
--------------------------------------------------------------
Moody's Investors Service has assigned the following provisional
ratings to Notes to be issued by Azure Finance No.1 plc:

GBP[ ] M Class A Floating Rate Notes due June 2027, Assigned
(P)Aaa (sf)

GBP[ ] M Class B Floating Rate Notes due June 2027, Assigned
(P)Aa2 (sf)

GBP[ ] M Class C Floating Rate Notes due June 2027, Assigned
(P)Baa1 (sf)

GBP[ ] M Class D Floating Rate Notes due June 2027, Assigned
(P)Ba1 (sf)

GBP[ ] M Class E Fixed Rate Notes due June 2027, Assigned (P)B1
(sf)

GBP[ ] M Class X Floating Rate Notes due June 2027, Assigned
(P)Caa1 (sf)

The transaction is a static cash securitisation of agreements
entered into for the purpose of financing vehicles to obligors in
the United Kingdom by Blue Motor Finance Limited ("Blue Motor")
(NR). This is the first public securitisation transaction
sponsored by Blue Motor. The originator will also act as the
servicer of the portfolio during the life of the transaction.

The portfolio of receivables backing the Notes consists of Hire
Purchase ("HP") agreements granted to individuals resident in the
United Kingdom. Hire Purchase agreements are a form of secured
financing without the option to hand the car back at maturity.
Therefore there is no explicit residual value risk in the
transaction. Under the terms of the HP agreements, the originator
retains legal title to the vehicles until the borrower has made
all scheduled payments required under the contract.

As of May 29 2018, the provisional portfolio of underlying assets
totalled GBP 366.6 million and consisted of 46,372 agreements
mainly originated between 2017 and 2018 financing the purchase of
predominantly used (99%) vehicles distributed through national
and regional dealers as well as brokers. It has a weighted
average seasoning of 8 months and a weighted average remaining
term of 50 months. The pool's current weighted average LTV is
98%.

RATINGS RATIONALE

The transaction's main credit strengths are the significant
excess spread, the static and granular nature of the portfolio,
and counterparty support through the back-up servicer (The
Nostrum Group trading as Equiniti Credit Services (NR)), interest
rate hedge provider (to be determined) and independent cash
manager (Citibank N.A., London Branch A1/(P)P-1 senior unsecured;
A1(cr)/P-1(cr)). The structure contains tranche specific cash
reserves which cumulatively equal 1.7% of the pool, and will
amortise in line with the Notes . Each tranche reserve will be
purely available to cover liquidity shortfalls related to the
relevant Note throughout the life of the transaction and can
serve as credit enhancement following the tranche's repayment.
The Class A reserve provides approximately 8 months of liquidity
at the beginning of the transaction. The portfolio has an initial
yield of 14.8%. Available excess spread can be trapped to cover
defaults and losses, as well as to replenish the tranche reserves
to their target level through the waterfall mechanism present in
the structure.

However, Moody's notes some credit weaknesses in the transaction.
First, the pool includes material exposure to higher risk
borrowers. For example, some borrowers may previously have been
on debt management plans, received county court judgments within
recent years, or currently be in low level arrears on other
unsecured contracts. Although these features are reflected in the
originator's scorecard, and exposure to the highest risk
borrowers (risk tiers 6-8 under the originator's scoring) is
limited at 11.5% of the initial pool, the effect is that the pool
is riskier than a typical benchmark UK prime auto pool. Second,
operational risk is higher than a typical UK auto deal because
Blue Motor is a small, unrated entity acting as originator and
servicer to the transaction. The transaction does envisage
certain structural mitigants to operational risk such as a back-
up servicer, independent cash manager, and tranche specific cash
reserves, which cover approximately 8 months of liquidity for the
Class A Notes at deal close. Third, the structure does not
include principal to pay interest for any class of Notes, which
makes it more dependent on excess spread and the tranche specific
cash reserves combined with the back-up servicing arrangement to
maintain timeliness of interest payments on the Notes. Fourth,
the historic vintage default and recovery data is limited,
reflecting Blue's short trading history (it began lending
meaningful amounts in its current form in 2015). The data cover
approximately three years that Blue Motor has been originating.

In addition, the underlying obligors may exercise the right of
voluntary termination as per the Consumer Credit Act, whereby an
obligor has the option to return the vehicle to the originator as
long as the obligor has made payments equal to at least one half
of the total financed amount. If the obligor returns the vehicle,
the issuer may be exposed to residual value risk. The potential
for additional losses due to these risks has been incorporated
into Moody's quantitative analysis.

The pool contained exposure to 67.4% of diesel vehicles. The
public and political debate about the future of diesel engines
has heated up in recent months due to new proposals restricting
diesel cars in various metropolitan areas in Europe, including
the UK. As a consequence, diesel cars have recently shown signs
of diminished attractiveness through declines in new car
registrations and a softening in the residual value premium of
diesel over petrol cars. Moody's is closely monitoring
developments, but at this time believes that these recent trends
are captured in current rating assumptions, such as the recovery
rate.

Moody's analysis focused, among other factors, on (i) an
evaluation of the underlying portfolio; (ii) historical
performance information; (iii) the credit enhancement provided by
subordination, by the excess spread and the tranche reserves;
(iv) the liquidity support available in the transaction through
the tranche reserves; (v) the back-up servicing arrangement of
the transaction; (vi) the independent cash manager and (vii) the
legal and structural integrity of the transaction.

MAIN MODEL ASSUMPTIONS:

Moody's determined portfolio lifetime expected defaults of 12.0%,
expected recoveries of 35.0% and a Aaa portfolio credit
enhancement ("PCE") of 35.0% related to the borrower receivables.
The expected default captures its expectations of performance
considering the current economic outlook, while the PCE captures
the loss Moody's expects the portfolio to suffer in the event of
a severe recession scenario. Expected defaults and PCE are
parameters used by Moody's to calibrate its lognormal portfolio
default distribution curve and to associate a probability with
each potential future default scenario in its ABSROM cash flow
model.

The portfolio expected mean default level of 12.0% is higher than
other UK auto transactions and is based on Moody's assessment of
the lifetime expectation for the pool taking into account (i) the
higher average risk of the borrowers, (ii) the historic
performance of the loan book of the originator, (iii) benchmark
transactions, and (iv) other qualitative considerations.

Portfolio expected recoveries of 35.0% are lower than the UK auto
average and are based on Moody's assessment of the lifetime
expectation for the pool taking into account (i) older average
age of the vehicles, (ii) historic performance of the loan book
of the originator, (iii) benchmark transactions, and (iv) other
qualitative considerations.

The PCE of 35.0% is higher than the average of its UK auto peers
and is based on Moody's assessment of the pool taking into
account the higher risk profile of the pool borrowers and
relative ranking to originator peers in the UK auto and consumer
markets. The PCE of 35% results in an implied coefficient of
variation ("CoV") of 37.6%.

METHODOLOGY:

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

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

Moody's issues provisional ratings in advance of the final sale
of securities and the rating reflects Moody's preliminary credit
opinions regarding the transaction only. Upon a conclusive review
of the final documentation and the final Note structure, Moody's
will endeavour to assign a definitive rating to the Notes. A
definitive rating may differ from a provisional rating.

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

Factors that may cause an upgrade of the ratings of Class B - X
Notes include significantly better than expected performance of
the pool together with an increase in credit enhancement of
Notes.

Factors that may lead to a downgrade of the ratings of the Notes
include a decline in the overall performance of the pool,
increased rates of voluntary terminations (pursuant to the
Consumer Credit Act), worse than expected vehicle sale
realisation values, or a significant deterioration of the credit
profile of the originator or other key transaction
counterparties.

LOSS AND CASH FLOW ANALYSIS:

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

STRESS SCENARIOS:

In rating auto lease ABS, mean default rate and recovery rate are
two key inputs that determine the transaction cash flows in the
cash flow model. Parameter sensitivities for this transaction
have been calculated in the following manner: Moody's tested 9
scenarios for the Class A to Class X Notes derived from the
combination of mean default rate: 12% (base case), 14% (base case
+ 2%), 16% (base case + 4%) and mean recovery rate: 35% (base
case), 30% (base case -5%), 25% (base case -10%). The 12% and 35%
scenario would represent the base case assumptions used in the
initial rating process.

At the time the rating was assigned, the model output indicated
that the Class A Notes would have achieved A1 (sf) if the mean
default rate was as high as 16% with a mean recovery rate as low
as 25% (all other factors unchanged). See the pre-sale report for
the sensitivity results of Class B -- Class X notes.

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


CAFE ROUGE: Enters Into Debt-for-Equity Deal with KKR, Pemberton
----------------------------------------------------------------
The Telegraph reports that Casual Dining Group, the owner of the
Cafe Rouge and Bella Italia restaurant chains, has been rescued
by its lenders in a deal that could save thousands of jobs.

Casual Dining Group -- which operates about 280 mid-market
restaurants in the UK with 7,500 employees -- has agreed a
debt-for-equity deal with US private equity giant KKR and
Pemberton Asset Management, The Telegraph relates.

The funds will write off some debts and pump GBP30 million into
the business, which also owns the La Tasca and Las Iguanas
chains, The Telegraph relays, citing reports which first appeared
in The Sunday Times.

The rising costs of ingredients and drinks, higher wages and
increasing business rates have put intense pressure on mid-market
restaurants, which also face fierce competition from rivals as
they battle for consumers' stretched wallets, The Telegraph
discloses.

According to The Telegraph, Casual Dining Group's last annual
accounts showed its pre-tax losses widened last year, despite
revenue rising by 10% to GBP329 million.

In July last year, the company refinanced GBP185 million of
credit facilities with its lenders, The Telegraph recounts.

The business has also drawn loans of GBP35 million from
shareholders over the past year and a half, The Telegraph notes.


CARILLION PLC: FCA May Expand Investigation Into Collapse
---------------------------------------------------------
Elisabeth O'Leary at Reuters reports that Britain's markets
watchdog may expand an investigation into the failed outsourcing
firm Carillion to examine whether there was illegal trading of
shares before the company's collapse.

In a letter to lawmakers investigating Carillion's demise, the
Financial Conduct Authority (FCA) said it was looking into
"allegations of insider trading" at Carillion in response to a
question from parliament's Work and Pensions Committee, Reuters
relates.

"Our primary focus is to determine whether the matters announced
in Carillion's trading update on July 10, 2017, were identified
and announced at the appropriate time," Reuters quotes FCA Chief
Executive Andrew Bailey as saying in a letter released by the
pensions committee.

"We are also considering whether earlier announcements made by
Carillion were false or misleading as a result."

According to Reuters, the FCA later issued a statement saying
there was no "current formal investigation" into insider trading,
but the regulator would examine the claims as part of a wider
investigation into the accuracy of the company's statements.

Mr. Bailey, as cited by Reuters, said the watchdog has already
met senior Carillion staff, key advisers and shareholders.  The
aim is to complete the investigation as soon as possible, Reuters
notes.

Carillion, which ran some public services in schools and
hospitals through its government contracts, collapsed in January
when it was unable to pay its debts, leaving thousands of job
losses and a near billion-pound pension hole in its books,
Reuters recounts.

The liquidation, following three profit warnings in 2017, forced
the government to guarantee the public services it provided and
has led to a public outcry and a rethink of the rules surrounding
outsourcing, Reuters relays.

The lawmakers are also looking into whether directors of
Carillion had petitioned the government to seek protection from
any breaches of regulation prior to a July 2017 profit warning,
Reuters states.


FASTJET PLC: Launches Share Placement Due to Funding Crisis
----------------------------------------------------------
Adam Samson at The Financial Times reports that FastJet, the
Africa-focused airline that warned last week that a severe
funding crunch may cause it to halt trading, has disclosed plans
to raise at least US$10 million in a share placement.

Under the plans announced on June 29, FastJet said it would
launch an accelerated book build process -- in which certain
qualified investors are invited to take part in a new share
issue, the FT relates.  It is seeking proceeds of at least US$7
million through the placing at a price of 8 pence per share, the
FT discloses.

It said the pricing "represents a premium of 146% to the closing
price of 3.25 pence per ordinary share on June 28, 2018", the FT
notes.

Books were expected to close by 10:00 a.m. London time on
June 29, the FT discloses.

FastJet would also make an "open offer" to qualifying
shareholders pending the passage of "certain resolutions" at the
company's annual general meeting, scheduled for June 29, the FT
relays.  It was looking to raise GBP1.6 million (roughly US$2.1
million) through this process, according to the FT.

The news comes just days after FastJet warned investors that its
cash balance fell to US$3.3 million as of June 8, down from
US$7.5 million just weeks before, on May 24, the FT recounts.  It
said that if it is unable to raise fresh funds, "the group is at
risk of not being able to continue trading as a going concern",
according to the FT.

Fastjet Plc is a British/South African-based holding company for
a group of low-cost carriers that operate in Africa.


HAVELOCK EUROPA: Set to Appoint Administrators Soon
---------------------------------------------------
Business Sale reports that Fife-based furniture manufacturer
Havelock Europa has suspended the buying and selling of its
shares, and is set to appoint administrators in the next 10
business days.

The company cited mounting pressures in the retail sector as the
reason for its declining sales, and thus the reason for its
precarious financial situation, Business Sale relates.

Its directors have stated that unless the company's financial
situation changes, the board will be forced to assign
administrators in the next 10 business days, Business Sale notes.

According to Business Sale, in a statement released by Havelock
Europa, it was said that: "The directors remain in discussion
with potentially interested parties with a view to protecting the
position of creditors."

Havelock Europa benefited from a GBP8 million loan in March, and
received GBP3 million funding package from the Scottish
Enterprise, and the rest from the Bank of Scotland, Business Sale
discloses.  Despite this, its finances seem to have soured,
Business Sale states.

With headquarters in Kirkcaldy, Havelock Europa creates and fits
furniture for a number of high street stores and public
buildings.


HONITON TOY SHOP: Closes After 32 Years
---------------------------------------
Midweek Herald reports that the Honiton Toy Shop, in High Street,
will close its doors for good this year after following a family
decision to shut up shop.

The decision has prompted an outpouring of support from Honiton's
community, which has given the outlet its busiest trading days of
the year since the news was announced, according to Midweek
Herald.

The report relays that Pam Beckett, who has run the store since
its opening on December 1, 1985, said: "We have actively been
trying to increase trade in the last year, but it is more and
more difficult to compete with online sellers."

The store's closure reflects a nationwide trend of high streets
struggling to compete with the online market and make money, the
report says.

Pam said that trading in 1982 was completely different to that of
the modern day, as the profit margins are now much tighter, the
report notes.

The Honiton Toy Shop is currently holding a 10% off sale, the
report ads.


HOMEBASE: To Cut 300 Jobs at Milton Keynes Head Office
------------------------------------------------------
iNews reports that Homebase is to cut around 300 jobs at its
Milton Keynes head office, the company has confirmed.  The DIY
chain was bought by Australian conglomerate Wesfarmers for GBP340
million in 2016, but was recently sold again to restructuring
firm Hilco for GBP1, according to iNews.

The report notes that a total of 24 stores trading as Wesfarmers'
brand Bunnings will revert to Homebase outlets.

The report relays that the job cuts are related to the withdrawal
of the Bunnings brand from the UK, the Guardian first related.
The support centre will only need staff who work on the Homebase
side of the business, the report says.

Trade magazine Retail Week said the job losses will amount to a
third of all head office staff and dubbed the Wesfarmers deal
"disastrous," the report notes.

The report discloses that chief executive Damian McGloughlin
said: "We have not taken this decision lightly, but decisive
action is required to start rebuilding Homebase's position in the
UK market. "We will be providing as much support as we can to
help those affected through this difficult time."

The report notes that Wesfarmers had tried to bring Bunnings,
which has been a success in Australia, to the UK home improvement
market after acquiring Homebase.  More stores could close The
company also fired Homebase's senior management team, as well as
more than 150 middle-managers, the report relays.  But Bunnings
has not taken off as expected, and in April, specialist
consultants were called in to review the situation, the report
notes.

The reported job cuts come amid speculation the company is
considering a company voluntary arrangement (CVA), the report
says.  A CVA is a form of insolvency, and would allow the firm to
close up to 80 stores, the report notes.  Seventeen unprofitable
stores have already shut, while 23 more could soon follow, the
report adds.


ORIGINAL FACTORY: Listed 33 Stores for Closure
----------------------------------------------
Tim Clarke for drapersonline.com reports that the Original
Factory Shop (TOFS) is set to close stores in York, Brighton,
Aylesbury and Dumfries, blaming poor trading conditions for its
Company Voluntary Arrangement.

Documents seen by Drapers show the firm has listed 33 stores for
closure under details of the CVA proposal.

The retailer revealed it posted a 3.7% fall in revenues from
GBP190.2 million for the year to April 2017 to GBP183.2 million,
according to drapersonline.com.  EBITDA stood at GBP6.2 million,
down from GBP12 million in 2017.

The CVA document stated that the company had net liabilities of
GBP286 million, which would be reduced to GBP230 million if some
of the loan notes are written off, and had been underperforming
"for some time," the report notes.

The report relays that the company said: "The business has been
underperforming for some time but this has become more marked in
the past 12 months.  For the year ended March 31, 2018 (FY18) the
company's turnoevr was 4% behind that for the year ended March
31, 2017.

"Trading performance has deteriorated significantly during 2017
and early 2018 and this has led to liquidity pressures and breach
of banking covenants.  The decline in performance has been the
result of both the marco-economic factors and business specific
issues affecting the company."

The CVA splits the estate portfilio into three categories, A, B
and C, with C stores to close, B stores to be subject to a rent
haircut, and A stores to be unaffected by the proposals, the
report says.

Category B leases are split into three sub-categories with B1
leases seeing a 20% rent reduction for 36 months, B2 leases
seeing a 40% reduction and B3 leases facing a 60% reduction in
tent, the report notes.

The documents show that 48 stores are listed as category A, with
20 in B1, 67 in B2, 41 in B3 and 33 stores to close, the report
relays.

The report notes that the company has also offered to pay 5% of
passing rent in lieu of dilapidations.

The proposals state that the firm would move to monthly rents and
rent reductions would be active from August 1.

The stores set to close are:

Aylesbury, Bargoed, Barry, Bearwood, Brighton, Buckley, Bury St
Edmunds, Catterick Garrison, Church Stretton, Colywn Bay,
Dumfries, Frome, Helston, Lockerbie, Maesteg, Morpeth, Oswestry,
Penicuik, Penrith, Perth, Pontarddulais, Ramsey, Salisbury,
Sheeness, Storckbridge, Tredegar, Walsall Wood, Wantage, Welling,
Whitley Bay, Wick, Woodseats and York.


POUNDWORLD: Sandwiches for Staff as Store Closures Loom
-------------------------------------------------------
NewsLetter reports that Poundworld managers have been told to buy
their staff a sandwich as administrators to the stricken chain
prepare to start closing stores.

The budget retailer fell into administration on June 11, putting
around 5,100 jobs at risk, according to NewsLetter.

Administrators at Deloitte have so far failed to find a buyer for
the business, although they are in talks with Poundworld founder
Chris Edwards about selling a proportion of the retailer's
stores, the report notes.

To cheer up employees, Deloitte told store managers in a note on
Thursday that they should buy their staff lunch, sources told the
Press Association, the report relays.

They said every store could spend GBP50 on lunch, at an estimated
cost of GBP16,750 to the business, the report says.  Staff are
concerned because there has been no news of a buyer, sources
said.

It is widely expected that around 150 stores will close even if
Mr. Edwards strikes a rescue deal, the report notes.  It is
thought he would save the high street outlets in town centres but
not Poundworld's out-of-town stores, the report adds.


TAURUS CMBS 2014-1: DBRS Hikes Rating on Cl. C Notes to BB(high)
----------------------------------------------------------------
DBRS Ratings Limited upgraded its rating on the following class
of the Commercial Mortgage-Backed Floating-Rate Notes Due May
2022 (the Notes) issued by Taurus CMBS UK 2014-1 Limited:

-- Class C at to BB (high) (sf) from BB (sf)

In addition, DBRS confirmed its ratings on the following classes:

-- Class A at A (sf)
-- Class B at BBB (sf)

All trends are Stable.

The rating upgrade reflects the deleveraging of the loan because
of principal repayments being made after the sales of 40
properties in the last 12 months. The transaction consists of one
interest-only, floating-rate loan with an initial securitized
balance of GBP 211.5 million, which was originally secured by 132
properties located throughout the U.K. The loan represents the
95% pari passu interest of the whole loan that was granted to 13
affiliated borrowing entities, all of which are cross-defaulted
and cross-collateralized. The sponsor's business plan is to fully
dispose of the property portfolio before the fully extended loan
maturity in May 2019. As of the most recent investor report from
May 2018, the loan had a current whole loan balance of GBP 50.5
million and a current securitized loan balance of GBP 48.0
million. This represents a total 77.3% loan collateral reduction
since issuance, because of the disposal of 101 assets since
issuance and a voluntary principal prepayment of GBP 5.8 million,
made by the sponsor in May 2017. A total of GBP 37.8 million has
been repaid during the last 12 months, representing 17.0% of
collateral reduction.

The sponsor is an affiliate of Apollo Global Management, which
purchased the portfolio through various loan foreclosures. The
collateral primarily consists of retail properties, including
shopping centers and high street retail, which combined account
for 82% of the pool by market value and 77.1% of the total annual
revenue.

The markets for the assets are a mix of city center and suburban
real estate locations spread across the U.K. in secondary
locations. The current portfolio, following the 77.3% collateral
reduction, is mainly concentrated in the northwestern areas of
the U.K. which account for approximately 34.4% of the current
portfolio rental income. The properties were classified as either
Tier 1 or Tier 2 properties based on location and all the sold
assets are subject to 20% (Tier 1) or 10% (Tier 2) repayment
premiums. As of May 2018, the Tier 1 and Tier 2 concentration
ratios were 80.4% and 19.6%, respectively, an improvement
compared with the May 2017 report which had Tier 1 and Tier 2
consisting of 75.9% and 24.0% of the portfolio, respectively. The
most recent reported vacancy rate increased slightly to 26.6%
from 26.2% at last review in June 2017. The largest ten tenants
account for approximately 20.9% of the portfolio's annual rental
income; however, combined they present a current weighted-average
lease length of 8.2 years, providing rental stability to the
portfolio. The former largest tenant in the portfolio, Sheffield
Hallam University, which accounted for 3.7% of the total income
in the portfolio at last review, vacated in June 2017. In total,
the portfolio shows a more moderate lease rollover with 13.4% of
total annual revenue expiring in the next 12 months, which is
down significantly compared with the last review which had 29.7%
of total revenue rolling in the next 12 months. DBRS will
continue to monitor the lease rollover and subsequent leasing
activity.

In October 2017, CBRE revalued the portfolio and estimated a
current portfolio valuation of GBP 173.5 million, considering the
remaining assets. The new market value represents a 5.7% like-
for-like value increase of the reaming assets compared with the
previous valuation. As of the most recent investor report from
May 2018, the loan-to-value (LTV) ratio was 29.1%, a significant
decline since the at last review and since issuance, which was
42.3% and 65.0%, respectively.

The servicer's 12-month projected net operating income (NOI) is
GBP 9.2 million. High street retail properties show a current
vacancy rate of 26.6%, an improved figure since the last review
on which the reported vacancy was 34.3%; however, this is still
up significantly compared with the issuance figure of 8.5%.
Additionally, shopping center properties reported an elevated
vacancy rate of 26.3%, a significant increase compared with May
2017, which reported a vacancy rate of 19.4%. In addition to the
already high vacancy within the portfolio, there are several
retail tenants, which have in DBRS's view an increased
probability of failing to meet their contractual rental
obligations, including: Pound world which recently filed for
administration, Pound land which also is reportedly having
financial difficulties, New Look Retailers, which released a list
of upcoming store closures including the subject's Wellington
Square Shopping Centre location, and House of Fraser which
released a list including the subject's location at Stamford
Quarter Shopping Centre. Moreover, DBRS has noted that there are
no remaining allocated loan amounts to the remaining office and
industrial assets and consequently disregarded any cash flow and
market value of such assets. DBRS has updated its underwritten
cash flows to reflect the higher increased risk with the
aforementioned retailers resulting in a stressed DBRS
underwritten net cash flow of GBP 6.9 million for the retail
assets only. According to the investor report from May 2017, the
reported interest coverage ratio is 4.42x.

The borrower exercised the second of its one-year extensions to
complete the full liquidation of the assets until its final
fully-extended maturity in May 2019. The maximum target whole
loan amount for February 2018 was GBP 56.4 million, which was
achieved and which was the last target whole loan provided in the
issuing documents before the May 2019 maturity date. Should the
sponsor fail to fully repay the loan at maturity, a special
servicing transfer event and a loan failure event would be
triggered, switching the payment waterfall to sequential, after
paying interest due on all classes.

Per the loan documents, every quarter the loan is subject to
covenant tests. These covenants require maintaining a minimum ICR
of 1.8x and a 2.0x ICR Cash Trap. Additionally, the loan has an
LTV covenant test of a maximum of 78.5% LTV and a 72.5% LTV Cash
Trap trigger.

The transaction does not benefit from a liquidity facility. The
final maturity date of the CMBS Notes is in May 2022, three years
beyond the fully extended maturity date of the loan in May 2019.

The rating assigned to the class A Notes materially deviates from
the rating stress level the notes can withstand according to the
direct sizing hurdles that are a substantial component of the
DBRS "European CMBS Rating and Surveillance" methodology. DBRS
considers a material deviation to be a rating differential of
three or more notches between the assigned rating and the rating
stress level implied by a substantial component of a rating
methodology. In this case, the assigned rating reflects that the
transaction does not benefit from a liquidity facility.


                            *********

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
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Information contained herein is obtained from sources believed to
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or balance thereof are US$25 each.  For subscription information,
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