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

                           E U R O P E

             Thursday, October 19, 2017, Vol. 18, No. 208


                            Headlines


F R A N C E

EUROPCAR DRIVE: Moody's Rates New EUR600MM Sr. Unsec. Notes 'B3'
EUROPCAR GROUPE: S&P Affirms B+ CCR, Outlook Stable


I R E L A N D

ADAGIO IV: Moody's Assigns Ba2 Rating to Class E-R Notes
ADAGIO IV: Fitch Affirms B- Rating on EUR11.7MM Class F Notes
HARVEST CLO XIV: Moody's Assigns (P)Ba2 Rating to Cl. E-R Notes
RICHMOND PARK: Moody's Assigns Ba2 Rating to Class D-R Notes
RICHMOND PARK: Fitch Rates EUR15.61MM Class E Notes 'B-'


I T A L Y

CLARIS SME 2015: Fitch Affirms BB+ Rating on Class B Notes
SUNRISE SPV 20: Moody's Assigns B1 Rating to Class E Notes


K A Z A K H S T A N

EKIBASTUZ GRES-1: Fitch Affirms BB+ IDR, Outlook Stable


N E T H E R L A N D S

DRYDEN 39 EURO: Moody's Assigns B1 Rating to Class F-R Notes
DRYDEN 39 EURO: S&P Assign B- (sf) Rating to Class F-R Notes


P O R T U G A L

MAGELLAN MORTGAGES 1: Fitch Keeps BB+ Class C Notes Rating on RWE


U N I T E D   K I N G D O M

MARKETPLACE 2017-1: Moody's Assigns (P)B3 Rating to Cl. E Notes


                            *********



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F R A N C E
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EUROPCAR DRIVE: Moody's Rates New EUR600MM Sr. Unsec. Notes 'B3'
----------------------------------------------------------------
Moody's Investors Service has assigned B3 instrument rating to the
proposed EUR600 million senior unsecured notes due 2024 to be
issued by Europcar Drive DAC and a provisional (P)B1 instrument
rating to the proposed EUR350 million senior secured notes due
2022 to be issued by EC Finance plc and affirmed the B3 instrument
rating on the outstanding EUR600 million senior unsecured notes
due 2022 issued by Europcar Group S.A. (Europcar). Concurrently,
Moody's has affirmed Europcar's corporate family rating (CFR) of
B1, and the probability of default rating (PDR) of B1-PD. The
outlook on all ratings is stable.

The proceeds from the senior secured notes will refinance the
existing EUR350 million senior secured notes due 2021 while the
proceeds from the proposed EUR600 senior unsecured notes will be
used to repay drawn amount under the EUR500 million revolving
credit facility (RCF) due 2022 (unrated) done in connection with
the acquisition of Buchbinder, to partially finance the
acquisition of Goldcar by cancelling the bridge financing put in
place for the acquisition of Car Rentals Parentco, S.L.U.
(Goldcar) (B1, Stable), and to pay transaction fees.

Upon completion of the Goldcar's acquisition, expected by year
end, Europcar Groupe S.A. will assume the senior unsecured notes
from Europcar Drive DAC.

Moody's will withdraw the B2 instrument rating on the outstanding
EUR350 million senior secured notes due 2021 issued by EC Finance
plc once repaid with the proceeds from the new senior secured
notes.

Moody's issues provisional ratings in advance of the final sale of
securities. Upon closing of the transaction and a conclusive
review of the final documentation, Moody's will endeavour to
assign definitive ratings. A definitive rating may differ from a
provisional rating.

RATINGS RATIONALE

The proceeds of the new issuance will be mainly used to finance
the acquisition of Goldcar by cancelling the EUR440 million of
bridge financing that was put in place in June 2017 for the
acquisition of the leading Spanish low cost car rental operator
Goldcar and to repay EUR120 million of drawn RCF used for the
acquisition of Buchbinder, a German car rental operator active in
the low cost and in the vans and trucks segments acquired in May
2017. For the last twelve months to June 2017, pro forma for the
proposed new issuance and the acquisitions, Moody's estimates that
the company's gross leverage as adjusted by Moody's would increase
to 5.0x from 4.7x pre-transactions. Moody's expects
pro-forma gross leverage to decline towards 4.3-4.4x by December
2017.

Moody's consider the increase in leverage a credit negative,
however this is partially offset by the strengthening of
Europcar's business profile as the leading European car rental
operator and into the fast growing leisure low cost segment. The
current rating is also supported by the good organic performance
of Europcar during the first half of 2017 and the expectation that
the company will continue to deliver revenue and EBITDA growth
driven by cost savings initiatives following the acceleration of
the restructuring plan with reorganization of its German
operations. While M&A transactions have been consistent with the
company's 2020 plan, any further acquisition that would re-
leverage the company above current levels will likely put
immediate pressure on the ratings.

The B1 CFR reflects Europcar's (1) exposure to the cyclical and
highly competitive European car rental sector; (2) heavy reliance
on capital market access to fund its seasonal fleet purchases; (3)
moderate scale, relative to its direct peers, with limited
operations outside of Europe; and (4) regulatory risks.

However, these factors are mitigated by (1) Moody's continued
expectation of a moderate but relatively stable growth of the
European car rental market of 2-3% over the next 3 years, (2) the
company's strong brand and market position with a well-balanced
revenue mix between leisure and business customers, (3)
strengthening of the company's business profile as the leading car
rental provider in Europe following recent acquisitions, (4)
protection of the fleet from residual value risk, as evidenced by
the current high proportion (approximately 93% of the company's
fleet in units operated in 2016) of vehicles being acquired under
buy-back agreements.

Moody's expects the liquidity profile to remain adequate, further
supported by an undrawn EUR500 million RCF post transaction.

STRUCTURAL CONSIDERATIONS

For the purpose of the Loss Given Default (LGD) assessment, the
securitisation and the local fleet financing facilities have been
excluded as they have been considered to be self-liquidating in
the event of a default. In addition these facilities have ring-
fenced security over the fleet assets but do not have a claim one
the operating businesses. As such, Moody's has assumed a 35%
recovery rate for the remaining financial obligations.

The B3 instrument ratings on the EUR600 million senior unsecured
notes due 2022 and the new EUR600 million senior unsecured notes
due 2024 reflect their relatively weaker security package and/or
the absence of guarantees from operating subsidiaries compared
with Europcar's other debt facilities, including the EUR500
million RCF due 2022 and the (P)B1 new EUR350 million senior
secured notes due 2022. The new senior secured notes benefit from
guarantees by Europcar International S.A.S.U. and Europcar Group
S.A. while the RCF benefits from share pledges, as well as
guarantees, by the majority of Europcar's operating entities.
Moody's notes that a payment default under certain master
operating leases entered with fleetcos in relation to the SARF
could trigger a cross default under the RCF.

The company has two different intercreditor agreements (ICAs): an
ICA which regulates fleet entities and their fleet financing debt
and a corporate ICA which regulates opcos and the corporate debt
such as RCF and senior unsecured notes.

In regards to priority of payments among the fleetcos, the new
senior secured notes rank junior relative to sizeable fleet debt
such as the Senior Asset Revolving Facility (SARF). The SARF has a
first priority ranking on some fleet assets and receivables under
buy-back agreements while the senior secured notes have second
priority interest on same fleet assets and receivables.

The instrument ratings on the new senior secured notes is based on
the assumption that the current bridge loan to fleet financing in
place for Goldcar's acquisition will be integrated within
Europcar's securitization programme in the six months following
completion of the acquisition.

OUTLOOK

The stable outlook reflects Moody's expectation that Europcar will
experience continued top line growth over the rating horizon in
the context of a more favourable macro-economic environment. The
outlook also reflects the expectation that the company will be
able to integrate the recently acquired businesses and that
leverage will gradually decline towards 4.0x.

WHAT COULD CHANGE THE RATINGS UP

Upward rating pressure could develop if adjusted leverage
decreases to below 3.5x at year-end and EBITDA/Interest increases
above 4.5x on a sustainable basis, and the company generates
positive free cash flow and maintains a good liquidity profile.

WHAT COULD CHANGE THE RATINGS DOWN

On the other hand, negative pressure could arise if adjusted
leverage trends towards 4.5x at year-end, EBITDA/Interest
decreases to below 3.25x, the liquidity position weakens, and/or
the company adopts a more aggressive financial policy.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Equipment and
Transportation Rental Industry published in April 2017.

CORPORATE PROFILE

Headquartered in Paris, France, Europcar Groupe S.A. (Europcar or
the company) is the European leader in car rental services,
providing short- to medium-term rentals of passenger vehicles and
light trucks to corporate, leisure and replacement clients.
Founded in 1949, Europcar has a global presence in over 140
countries and employs ca. 6,000 staff. Europcar operates in five
main markets: Germany, the UK, France, Italy, and Spain with
operations also in Portugal, Belgium, Australia and New Zealand.
In FY 2016, Europcar generated total revenue of EUR2.15 billion.
In 2016, pro-forma for the recent announced acquisitions of
Goldcar and Buchbinder, the company would have reported total
revenue of EUR2.6 billion.


EUROPCAR GROUPE: S&P Affirms B+ CCR, Outlook Stable
---------------------------------------------------
S&P Global Ratings affirmed its 'B+' corporate credit rating on
France-based car rental company Europcar Groupe S.A. The outlook
is stable.

S&P said, "At the same time, we assigned our 'BB' issue rating to
the proposed EUR350 million fleet bond. The recovery rating is
'1', indicating our expectation of very high recovery (90%-100%,
rounded estimate 90%) in the event of a payment default.

"We also assigned our 'B-' issue rating to the proposed EUR600
million senior notes. The recovery rating is '6', indicating our
expectation of negligible recovery (0%-10%, rounded estimate 0%)
in the event of a payment default.

"In addition, we affirmed our 'BB' issue rating on the EUR500
million senior secured revolving credit facility (RCF) due 2022.
The recovery rating remains at '1', indicating our expectation of
very high recovery (90%-100%, rounded estimate 95%).

"We also affirmed our 'B-' issue rating on the EUR600 million
senior notes due 2022. The recovery rating is unchanged at '6',
indicating our expectation of negligible recovery (0%-10%, rounded
estimate 0%) in the event of a payment default.

Europcar closed its acquisition of German car rental company
Buchbinder on Sept. 20, and is expected to close its acquisition
of Spanish low-cost car rental company Goldcar, announced in June,
by year-end. S&P continues to think that Europcar's recent
acquisitions does not affect its view of the group's business risk
profile, though it acknowledges that Goldcar and Buchbinder fit
very well with Europcar's strategic objectives.

S&P said, "We also incorporate into our assessment that Paris-
based private equity firm Eurazeo recently disposed of a 10% stake
in Europcar, which leaves the firm with a stake of approximately
35%. Since Eurazeo's ownership is now below our 40% threshold to
be considered a financial sponsor, in our view, the group's
financial policy weighs less on its creditworthiness. However,
this has no immediate impact on the rating on the group. In
addition, although we consider Europcar's financial policy to be
aggressive, we believe the group has financial flexibility and
that there is still some headroom in the rating.

"For our complete rationale on Europcar, please see "Europcar
Affirmed At 'B+' On 1H Results, Planned Acquisitions; Outlook
Stable; Lower Recovery Prospects On Upsized Debt," published July
27, 2017, on RatingsDirect.

"The stable outlook on Europcar reflects our view that, despite a
temporary increase in leverage and weaker credit metrics as a
result of recent acquisitions, alongside ongoing pricing pressures
in Europe, the company's credit metrics will remain relatively
consistent with the current ratings. That said, we expect adjusted
EBIT interest cover at over 1.3x, debt to capital of about 85%,
and funds from operations (FFO) to debt over 12%, together with
adequate liquidity.

"We could lower our ratings on Europcar over the next year if the
company proves unsuccessful in integrating its recent
acquisitions. This would cause weaker-than-expected operating
performance and credit metrics. We could also consider a negative
rating action if Europcar suffers considerable revenue or profit
declines (for example, due to continued pricing pressures),
resulting in EBIT interest coverage falling toward 1.1x or FFO to
debt declining to below 12%, or if liquidity were to weaken from
current levels. Rating pressure could also arise if we believe
that the financial policy becomes more aggressive, for instance
through additional debt-funded acquisitions or any increase in
shareholder remuneration beyond the group's stated dividend
policy.

"Although unlikely over the next 12 months, we could raise the
ratings on Europcar if better-than-expected earnings, due to
stronger volumes or pricing, together with smoother-than-
anticipated integration of its acquisitions, lead EBIT interest
coverage to improve toward 2016 levels of over 1.6x, FFO to debt
comfortably in the 15%-17% area, and a commitment from the group
to maintain credit metrics within those guidelines. However, we
currently view the group's aggressive financial policy as
constraining the ratings at the current levels."


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I R E L A N D
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ADAGIO IV: Moody's Assigns Ba2 Rating to Class E-R Notes
--------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of notes ("Refinancing Notes") issued by Adagio IV CLO
Designated Activity Company (Adagio IV, the "Issuer"):

-- EUR200,500,000 Class A-1R Senior Secured Floating Rate Notes
    due 2029, Definitive Rating Assigned Aaa (sf)

-- EUR5,000,000 Class A-2R Senior Secured Fixed Rate Notes due
    2029, Definitive Rating Assigned Aaa (sf)

-- EUR39,200,000 Class B-1R Senior Secured Floating Rate Notes
    due 2029, Definitive Rating Assigned Aa2 (sf)

-- EUR7,000,000 Class B-2R Senior Secured Fixed Rate Notes due
    2029, Definitive Rating Assigned Aa2 (sf)

-- EUR18,000,000 Class C-R Deferrable Mezzanine Floating Rate
    Notes due 2029, Definitive Rating Assigned A2 (sf)

-- EUR18,600,000 Class D-R Deferrable Mezzanine Floating Rate
    Notes due 2029, Definitive Rating Assigned Baa2 (sf)

-- EUR25,200,000 Class E-R Deferrable Junior Floating Rate Notes
    due 2029, Definitive Rating Assigned Ba2 (sf)

Additionally, Moody's has upgraded the existing Class F notes
issued by Adagio IV;

-- EUR11,700,000 Class F Deferrable Junior Floating Rate Notes
    due 2029, Upgraded to B1 (sf); previously on Sep 8, 2015
    Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

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

The Issuer will issue the Refinancing Notes in connection with the
refinancing of the following classes of Original Notes: Class A-1
Notes, Class A-2 Notes, Class B-1 Notes, Class B-2 Notes, Class C
Notes, Class D Notes and Class E Notes due 15 October 2029 (the
"Original Notes"), previously issued on September 8, 2015 (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 its respective Original Notes. On the Original
Closing Date, the Issuer also issued the Class F Notes as well as
one class of subordinated notes, which will remain outstanding.

The rating action on the Class F is primarily a result of the
increase in the excess spread available to the transaction
resulting from refinancing of the Original Notes.

As part of this refinancing, the Issuer will (i) reduce the
percentage of fixed rate obligations to 5% from 7.5%, (ii) reduce
the WAC covenant to 4%, and (iii) extend the weighted average life
by one year. In addition, it amended the base Matrix.

Adagio IV is a managed cash flow CLO. The issued notes are
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans and eligible investments, and up
to 10% of the portfolio may consist of second lien loans and
unsecured loans. The underlying portfolio is 100% ramped as of the
refinancing date.

AXA Investment Managers, Inc (the "Manager") manages the CLO. It
directs 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
reinvestment period. After the reinvestment period, which ends in
October 2019, the Manager may reinvest unscheduled principal
payments and proceeds from sales of credit risk obligations and
credit improved obligations, 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:

Target Par Amount: EUR350,000,000

Defaulted par: EUR0

Diversity Score: 43

Weighted Average Rating Factor (WARF): 3140

Weighted Average Spread (WAS): 4.00%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 42.00%

Weighted Average Life (WAL): 6.9 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 a LCC below A3 shall not
exceed 5% and the total exposure to countries with LLC below Baa3
shall not be greater than 0%.

Stress Scenarios:

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

Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on 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 3140 to 3611)

Rating Impact in Rating Notches:

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

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

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

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

Refinancing Class C Deferrable Mezzanine Floating Rate Notes: -2

Refinancing Class D Deferrable Mezzanine Floating Rate Notes:-2

Refinancing Class E Deferrable Junior Floating Rate Notes: -1

Class F Deferrable Junior Floating Rate Notes: 0

Percentage Change in WARF -- increase of 30% (from 3140 to 4082)

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

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

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

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

Refinancing Class C Deferrable Mezzanine Floating Rate Notes: -4

Refinancing Class D Deferrable Mezzanine Floating Rate Notes: -2

Refinancing Class E Deferrable Junior Floating Rate Notes: -1

Class F Deferrable Junior Floating Rate Notes: -3

Further details regarding Moody's analysis of this transaction may
be found in the related new issue report published after the
Original Closing Date in October 2015 and available on Moodys.com.


ADAGIO IV: Fitch Affirms B- Rating on EUR11.7MM Class F Notes
-------------------------------------------------------------
Fitch Ratings has assigned Adagio IV CLO DAC's refinancing notes
final ratings and affirmed the others as follows:

EUR200.5 million class A-1-R notes: assigned 'AAAsf'; Outlook
Stable
EUR5 million class A-2-R notes: assigned 'AAAsf'; Outlook Stable
EUR39.2 million class B-1-R notes: assigned 'AAsf'; Outlook Stable
EUR7 million class B-2-R notes: assigned 'AAsf'; Outlook Stable
EUR18 million class C-R notes: assigned 'Asf'; Outlook Stable
EUR18.6 million class D-R notes: assigned 'BBBsf'; Outlook Stable
EUR25.2 million class E-R notes: assigned 'BBsf'; Outlook Stable
EUR11.7 million class F notes: affirmed at 'B-sf'; Outlook Stable

Adagio IV CLO Limited is an arbitrage cash flow collateralised
loan obligation (CLO). Net proceeds from the notes have been used
to refinance the current outstanding A-1 to E notes.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality
Fitch expects the average credit quality of obligors to be in the
'B'/'B-' range. The agency has public ratings or credit opinions
on all of the obligors in the identified portfolio. The Fitch
weighted average rating factor (WARF) of the identified portfolio
is 31.11, below the covenanted maximum of 32.

High Recovery Expectations
At least 90% of the portfolio comprise senior secured obligations.
Fitch has assigned Recovery Ratings (RRs) to most of the assets in
the identified portfolio. The Fitch weighted average recovery rate
(WARR) of the identified portfolio is 67.7%, above the covenanted
minimum for assigning final ratings of 54.7%.

Partial Interest Rate Hedge
Between 0% and 5% of the portfolio can be invested in fixed-rate
assets, while fixed-rate liabilities account for 3.4% of the
target par amount. Therefore, the transaction is partially hedged
against rising interest rates.

Extended Weighted Average Life (WAL)
The issuer has extended the WAL covenant by one year to seven
years as part of the refinancing of the notes and updated the
Fitch matrix. Fitch tested all the points in the Fitch matrix
based on the extended WAL covenant.

TRANSACTION SUMMARY

Adagio IV CLO DAC (formerly Adagio IV CLO Limited) closed in
September 2015 and is still in in its reinvestment period, which
is set to expire in October 2019. The issuer is now issuing new
notes to refinance part of the original liabilities. The
refinanced class A-1, A-2, B-1, B-2, C, D and E notes have been
redeemed in full as a consequence of the refinancing

The refinancing notes bear interest at a lower margin over EURIBOR
than the notes being refinanced. The remaining terms and
conditions of the refinancing notes (including seniority) are the
same as the refinanced notes.

In its analysis, Fitch has applied a 15bps haircut to the weighted
average spread calculation. In this transaction, the aggregate
funded spread calculation for floating rate collateral debt
obligation with a Euribor floor is artificially inflated by the
negative portion of Euribor.

RATING SENSITIVITIES

A 25% increase in the obligor default probability would lead to a
downgrade of up to two notches for the rated notes. A 25%
reduction in expected recovery rates would lead to a downgrade of
up to two notches for the rated notes.


HARVEST CLO XIV: Moody's Assigns (P)Ba2 Rating to Cl. E-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
seven classes of notes ("Refinancing Notes") to be issued by
Harvest CLO XIV Designated Activity Company (Harvest XIV, the
"Issuer"):

-- EUR239,000,000 Class A-1A-R Senior Secured Floating Rate
    Notes due 2029, Assigned (P)Aaa (sf)

-- EUR5,000,000 Class A-2-R Senior Secured Fixed Rate Notes due
    2029, Assigned (P)Aaa (sf)

-- EUR32,000,000 Class B-1-R Senior Secured Floating Rate Notes
    due 2029, Assigned (P)Aa2 (sf)

-- EUR10,000,000 Class B-2-R Senior Secured Fixed Rate Notes due
    2029, Assigned (P)Aa2 (sf)

-- EUR23,000,000 Class C-R Senior Secured Deferrable Floating
    Rate Notes due 2029, Assigned (P)A2 (sf)

-- EUR25,000,000 Class D-R Senior Secured Deferrable Floating
    Rate Notes due 2029, Assigned (P)Baa2 (sf)

-- EUR24,500,000 Class E-R Senior Secured Deferrable Floating
    Rate Notes due 2029, Assigned (P)Ba2 (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. Moody's will consider any revision to
the matrix or inputs to the matrix upon assigning definitive
ratings. 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 2029. The provisional ratings reflect the risks due
to defaults on the underlying portfolio of loans given the
characteristics and eligibility criteria of the constituent
assets, the relevant portfolio tests and covenants as well as the
transaction's capital and legal structure. Furthermore, Moody's is
of the opinion that the Collateral Manager, Investcorp Credit
Management EU Limited, has sufficient experience and operational
capacity and is capable of managing this CLO.

The Issuer will issue the the Class A-1A-R Notes, the Class A-2-R
Notes, the Class B-1-R Notes, the Class B-2-R Notes, the Class C-R
Notes, the Class D-R Notes and the Class E-R Notes (the
"Refinancing Notes") in connection with the refinancing of the
following classes of Original Notes: the Class A-1A Notes, the
Class A-1B Notes, the Class A-2 Notes, the Class B-1 Notes, the
Class B-2 Notes, the Class C Notes, the Class D Notes and the
Class E Notes due November 18, 2029 (the "Original Notes"),
previously issued on November 18, 2015 (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 its
respective Original Notes. On the Original Closing Date, the
Issuer also issued the Class F Notes as well as one class of
subordinated notes, which will remain outstanding.

As part of this refinancing, the Issuer will extend the weighted
average life of the portfolio by 15 months.

Harvest CLO XIV Designated Activity Company is a managed cash flow
CLO. The notes are collateralized primarily by broadly syndicated
first lien senior secured corporate loans. At least 90% of the
portfolio must consist of senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans and unsecured loans. The underlying portfolio is 100%
ramped as of the refinancing date.

Investcorp Credit Management EU Limited ("Investcorp") 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 remaining two-year reinvestment period. Thereafter,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit improved and
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 2.3.2.1
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:

Target Par Amount: EUR400,000,000

Defaulted par: EUR0

Diversity Score: 51

Weighted Average Rating Factor (WARF): 3085

Weighted Average Spread (WAS): 4.21%

Weighted Average Recovery Rate (WARR): 44.09%

Weighted Average Life (WAL): 7.26 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%.
Furthermore, the eligibility criteria preclude the Issuer from
investing in obligors domiciled in country with a Moody's LLC
rating below A3. Given this portfolio composition, the model was
run without the need to apply portfolio haircuts as further
described in the methodology.

Stress Scenarios:

Together with the set of modeling assumptions above, 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.

Below 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 3085 to 3548)

Rating Impact in Rating Notches:

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

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

Refinancing Class B-1-R Senior Secured Floating Rate Notes: 0

Refinancing Class B-2-R Senior Secured Fixed Rate Notes: 0

Refinancing Class C-R Senior Secured Deferrable Floating Rate
Notes: 0

Refinancing Class D-R Senior Secured Deferrable Floating Rate
Notes: 0

Refinancing Class E-R Senior Secured Deferrable Floating Rate
Notes: 0

Percentage Change in WARF -- increase of 30% (from 3085 to 4011)

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

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

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

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

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

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

Refinancing Class E-R Senior Secured Deferrable Floating Rate
Notes: 0

Further details regarding Moody's analysis of this transaction may
be found in the related new issue report published after the
Original Closing Date in November 2015 and available on
Moodys.com.


RICHMOND PARK: Moody's Assigns Ba2 Rating to Class D-R Notes
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to five
classes of notes ("Refinancing Notes") issued by Richmond Park CLO
Designated Activity Company (Richmond Park, the "Issuer"):

-- EUR351,050,000 Class A-1R Senior Secured Floating Rate Notes
    due 2027, Assigned Aaa (sf)

-- EUR74,375,000 Class A-2R Senior Secured Floating Rate Notes
    due 2027, Assigned Aa1 (sf)

-- EUR34,210,000 Class B-R Senior Secured Deferrable Floating
    Rate Notes due 2027, Assigned A1 (sf)

-- EUR26,785,000 Class C-R Senior Secured Deferrable Floating
    Rate Notes due 2027, Assigned Baa1 (sf)

-- EUR46,110,000 Class D-R Senior Secured Deferrable Floating
    Rate Notes due 2027, Assigned Ba2 (sf)

Additionally, Moody's has upgraded the existing Class E notes
issued by Richmond Park;

-- EUR15,610,000 Class E Senior Secured Deferrable Floating Rate
    Notes due 2027, Upgraded to B1 (sf); previously Definitive
    Rating Assigned B2 (sf) on Jan 9, 2014

RATINGS RATIONALE

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

The Issuer will issue the Refinancing Notes in connection with the
refinancing of the following classes of Original Notes: Class A-1
Notes, Class A-2 Notes, Class B, Class C Notes, and Class D Notes
due January 14, 2027 (the "Original Notes"), previously issued on
9 January 2014 (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 its respective Original Notes.
On the Original Closing Date, the Issuer also issued the Class E
Notes as well as one class of subordinated notes, which will
remain outstanding.

The rating action on the Class E is primarily a result of the
increase in the excess spread available to the transaction
resulting from refinancing of the Original Notes.

As part of this refinancing, the Issuer will amended the base
Moodys' Matrix.

Richmond Park is a managed cash flow CLO. The issued notes are
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans and eligible investments, and up
to 10% of the portfolio may consist of second lien loans and
unsecured loans. The underlying portfolio is 100% ramped as of the
refinancing date.

Blackstone / GSO Debt Funds Management Europe Limited (the
"Manager") manages 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 reinvestment period. After the
reinvestment period, which ends in January 2018, purchases are
permitted using principal proceeds from unscheduled principal
payments and proceeds from sales of credit impaired 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:

Target Par Amount: EUR594,177,488

Defaulted par: EUR0

Diversity Score: 45

Weighted Average Rating Factor (WARF): 3113

Weighted Average Spread (WAS): 3.80%

Weighted Average Coupon (WAC): 6.25%

Weighted Average Recovery Rate (WARR): 46.55%

Weighted Average Life (WAL): 5.5 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%
and per Eligibility Criteria obligors domiciled in countries with
a LCC below A3 is not allowed.

Stress Scenarios:

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

Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on 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 3113 to 3580)

Rating Impact in Rating Notches:

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

Refinancing Class A-2 Senior Secured Floating Rate Notes:0

Refinancing Class B Senior Secured Deferrable Floating Rate Notes:
-1

Refinancing Class C Senior Secured Deferrable Floating Rate Notes:
-1

Refinancing Class D Senior Secured Deferrable Floating Rate Notes:
0

Class E Senior Secured Deferrable Floating Rate Notes: 0

Percentage Change in WARF -- increase of 30% (from 3113 to4047)

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

Refinancing Class A-2 Senior Secured Floating Rate Notes: -2

Refinancing Class B Senior Secured Deferrable Floating Rate Notes:
-2

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

Refinancing Class D Senior Secured Deferrable Floating Rate Notes:
-1

Class E Senior Secured Deferrable Floating Rate Notes: -2

Further details regarding Moody's analysis of this transaction may
be found in the related new issue report published after the
Original Closing Date in January 2014 and available on Moodys.com.


RICHMOND PARK: Fitch Rates EUR15.61MM Class E Notes 'B-'
--------------------------------------------------------
Fitch Ratings has assigned Richmond Park CLO DAC's refinancing
notes final ratings and affirmed the others as follows:

EUR351.05 million class A-1-R notes: assigned 'AAAsf'; Outlook
Stable
EUR74.375 million class A-2-R notes: assigned 'AAsf'; Outlook
Stable
EUR34.21 million class B-R notes: assigned 'Asf'; Outlook Stable
EUR26.785 million class C-R notes: assigned 'BBBsf'; Outlook
Stable
EUR46.11 million class D-R notes: assigned 'BBsf'; Outlook Stable
EUR15.61 million class E notes: affirmed at 'B-sf'; Outlook Stable

Richmond Park CLO DAC is a cash flow collateralised loan
obligation securitising a portfolio of mainly European leveraged
loans and bonds. Net proceeds from the notes have been used to
refinance the current outstanding A-1 to D notes. The portfolio is
managed by Blackstone / GSO Debt Funds Management Europe Limited.

KEY RATING DRIVERS
'B' Portfolio Credit Quality
Fitch expects the average credit quality of obligors to be in the
'B' category. The weighted-average rating factor (WARF) of the
initial portfolio is 32.7, below the covenanted maximum for
assigning the final ratings of 33.

High Recovery Expectations
At least 90% of the portfolio will comprise senior secured
obligations. Recovery prospects for these assets are typically
more favourable than for second-lien, unsecured and mezzanine
assets. The Fitch weighted average recovery rate of the initial
portfolio is 68.7%. This is above the covenanted minimum for
assigning the final ratings of 53.5% which corresponds to the
matrix point of WARF of 33, and weighted average spread of 4%.

Limited Interest Rate Risk
The notes pay on a floating index while 10% of the portfolio
assets can be fixed-rate. Fitch modelled a 10% fixed-rate bucket
in its analysis and found the rated notes can withstand the excess
spread compression in a rising interest rate environment.

Diversified Asset Portfolio
While the transaction contains no covenant that limits the top 10
obligors in the portfolio, there is a limit to the top secured
senior obligor of 2.5%, top non-secured senior obligor of 1.5%,
and largest obligor of 3%.

TRANSACTION SUMMARY

Richmond Park CLO DAC closed in January 2014 and is still in in
its reinvestment period, which is set to expire in January 2018.
The issuer is now issuing new notes to refinance part of the
original liabilities. The refinanced class A-1, A-2, B, C and D
notes have been redeemed in full as a consequence of the
refinancing.

The refinancing notes bear interest at a lower margin over EURIBOR
than the notes being refinanced.

In addition to the lower margin, the Fitch matrix has been
updated.

RATING SENSITIVITIES

A 25% increase in the obligor default probability would lead to a
downgrade of up to two notches for the rated notes. A 25%
reduction in expected recovery rates would lead to a downgrade of
up to two notches for the rated notes.


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


CLARIS SME 2015: Fitch Affirms BB+ Rating on Class B Notes
----------------------------------------------------------
Fitch Ratings has affirmed the notes, as follows:

EUR398 million class A (ISIN IT0005139727) affirmed at 'AAsf';
Outlook Stable
EUR290 million class B (ISIN IT0005139735) affirmed at 'BB+sf';
Outlook Positive

The transaction is a granular cash flow securitisation originally
backed by a EUR1,953 million static pool of mortgage and non-
mortgage loans granted to small- and medium-sized enterprises
(SME) located in Italy. The underlying loans were originated by
Veneto Banca S.c.p.a. (VB) and VB's subsidiary, bancApulia S.p.A.
(BA).

On 27 June 2017 VB was placed into liquidation under an Italian
government law decree passed on 25 June 2017. Certain assets
(including the shareholdings in BA) and liabilities have been sold
to Intesa Sanpaolo S.p.A. (ISP), including customer deposits,
senior bonds, performing loans, branches and staff. ISP has taken
over the role of servicer for the VB-originated
sub-pool, whereas BA -- now a subsidiary of ISP -- remains
servicer for the BA-originated sub-pool.

KEY RATING DRIVERS

Bad Performance but Within Expectations
Transaction performance has deteriorated in the past year. Loans
in arrears for more than 90 days are high compared to Italian
peers and peaked at 7.2% of the pool balance on the last payment
date of July 2017, having been at about 6% for the previous year.
Moreover, there is a limited cure rate between late arrears and
defaults, as shown by the increase of cumulative defaults that -
as of June 2017 - had reached EUR71.8 million, or 3.7% of the
initial pool balance.

While the defaults reported by the servicer account for 6.7% of
the current pool, separate data sent to Fitch by the originator
show that further EUR141.8 million of loans are in an internal
rating category that is close to default status. Although those
loans are not defaulted as per the transaction definition (ie 10
unpaid monthly instalments, or five unpaid quarterly instalments)
they are in serious distress. However, even if Fitch considered
these loans as defaulted, the cumulative default rate would be
10.9%, which is not far off Fitch's initial expectations.

Deferability Constrains Class B Note Ratings
The transaction features a cumulative default trigger of 12% of
the initial portfolio. If breached, interest payments on the class
B notes will defer until class A is repaid in full. Under Fitch
base case assumption the trigger is expected to be breached,
resulting in a class B interest deferral for an excessive period
of time. For this reason, the class B notes' rating remains capped
at 'BB+'sf. The Positive Outlook is maintained as the quick
deleveraging of the portfolio could still lead to an upgrade of
the class B notes in the next review cycle, due to fewer
deferability concerns.

Payment Interruption Risk Mitigated
As expected, ISP has taken over VB's duties under the transaction
documents without servicing disruption, as shown by the regular
reporting activity following June 2017. The reserve fund, which is
used to cover for interest shortfalls on the class A notes, is at
its target of 3% of the class A outstanding balance and adequately
mitigates payment interruption risk, as it can cover for quarterly
senior expenses, even in severe scenarios.

Sovereign Cap
The class A notes' ratings are at the level of the cap on Italian
structured finance transactions, six notches above the rating of
the Republic of Italy (BBB/Stable/F2).

RATING SENSITIVITIES

Since both class A and class B notes are at their respective
rating caps, increasing the default assumption by 25%, or
decreasing the recovery assumption by 25% would not result in a
downgrade of the notes.


SUNRISE SPV 20: Moody's Assigns B1 Rating to Class E Notes
----------------------------------------------------------
Moody's Investors Service has assigned definitive long-term credit
ratings to the ABS notes issued by Sunrise SPV 20 S.r.l. Series
2017-2 as detailed below:

-- EUR582.1M Class A Limited Recourse Consumer Loans Backed
    Floating Rate Notes due November 2041, Definitive Rating
    Assigned Aa2 (sf)

-- EUR159.5M Class B Limited Recourse Consumer Loans Backed
    Fixed Rate Notes due November 2041, Definitive Rating
    Assigned A1 (sf)

-- EUR60.7M Class C Limited Recourse Consumer Loans Backed Fixed
    Rate Notes due November 2041, Definitive Rating Assigned Baa2
    (sf)

-- EUR28.6M Class D Limited Recourse Consumer Loans Backed Fixed
    Rate Notes due November 2041, Definitive Rating Assigned Ba2
    (sf)

-- EUR29.5M Class E Limited Recourse Consumer Loans Backed Fixed
    Rate Notes due November 2041, Definitive Rating Assigned B1
    (sf)

Moody's has not assigned any rating to the EUR43.5M Class M1
Asset-Backed Fixed Rate Notes due November 2041 and to the EUR0.1M
Class M2 Asset-Backed Fixed Rate and Variable Return Notes due
November 2041.

This transaction represents the second public securitisation
transaction rated by Moody's backed by Italian consumer loans
originated by Agos Ducato S.p.A. ("Agos", unrated), a leading
consumer finance company in Italy. The assets supporting the
notes, which amount to EUR895.0 million, consist of consumer loans
extended to individuals resident in Italy. All loans pay a fixed
rate of interest until maturity, are fully amortising without any
balloon payment and must have paid a minimum of two scheduled
installments prior to their sale to the portfolio.

Agos also acts as the servicer of the portfolio during the life of
the transaction. In addition, Zenith Service S.p.A. (unrated), the
back-up servicer facilitator, will facilitate the search for a
substitute servicer upon termination of the servicer's mandate. In
case the servicer report is not available at any payment date,
continuity of payments for the rated notes will be assured by the
calculation agent, Credit Agricole Corporate and Investment Bank
(Aa3(cr)/P-1(cr); A1/P-1), acting through its Milan branch, based
on estimates.

RATINGS RATIONALE

The ratings of the notes are based on an analysis of the
characteristics of the underlying pool of consumer loans, sector
wide and originator specific performance data, protection provided
by credit enhancement, the cash reserves, the roles of external
counterparties and the structural integrity of the transaction.

Moody's notes that the transaction benefits from credit strengths
such as: (i) the granular portfolio composition and good
geographical diversification; (ii) the fact that all loans pay a
fixed rate of interest until maturity and are fully amortising
without any balloon payments; and (iii) the good historical
performance data with regards to defaults and arrears provided by
the originator.

In addition, the transaction provides certain structural features
such as: (i) a cash reserve equal to 0.50% of the initial pool,
increasing to 3% during the revolving period and amortising to 3%
of the outstanding pool thereafter (subject to the floor of 0.50%
of the initial portfolio). The cash reserve provides both
liquidity and principal loss coverage for the rated notes; (ii)
additional source of liquidity provided by the payment
interruption risk reserve and the principal to pay interest
mechanism for the rated notes; (iii) a commingling reserve which,
together with the daily sweep of collections to the Issuer
account, will mitigate the risk of commingling; (iii) a fixed-
floating interest rate swap hedging the fixed-floating mismatch
stemming from the Class A notes paying a floating rate of interest
and the portfolio made of fixed rate loans.

Moody's notes that the transaction also features some credit
weaknesses such as: (i) the fact that the pool is revolving for
the initial 12 months which could lead to an asset quality drift
although this is mitigated to some extent by the portfolio
concentration limits; (ii) the weighted-average asset yield can
decrease to 6.80% during the revolving period and this has been
considered in the cash flow modelling of the transaction; and
(iii) 75% of the pool comprises personal loans which historically
exhibited higher default rates than other consumer loan products.

MAIN MODEL ASSUMPTIONS

Moody's determined the portfolio lifetime expected defaults of
7.5%, Aa2 (sf) portfolio credit enhancement ("PCE") of 18% and
mean recoveries of 10%. The expected defaults and recoveries
captures Moody's 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, recoveries and PCE are parameters
used by Moody's to calibrate its lognormal portfolio loss
distribution curve and to associate a probability with each
potential future loss scenario in its ABSROM cash flow model used
to rate consumer ABS transactions.

Portfolio expected defaults of 7.5% are in line with the EMEA ABS
Consumer sector average, and are based on Moody's assessment of
the lifetime expectation for the pool taking into account (i) the
historical default rates of the originator's loan book split by
new and used vehicles, furniture loans, personal loans and other
special purpose loans; (ii) benchmarking with other similar
transactions; and (iii) the fact that the transaction is revolving
for 12 months and the portfolio concentration limits during that
period.

Portfolio expected recoveries of 10% are in line with the EMEA ABS
Consumer sector average and it takes into account (i) the
historical recovery rates from the originator's loan book split by
new and used vehicles, furniture loans, personal loans and other
special purpose loans; (ii) the unsecured nature of the consumer
loans in Italy; and (iii) benchmarking with other similar
transactions.

The PCE of 18% is in line with the EMEA ABS Consumer sector
average and is based on Moody's assessment of the pool taking into
account (i) the proportion of personal loans in the initial pool
and allowed according to the concentration criteria; (ii) the
historical performance of the assets; (iii) prior Agos consumer
loan securitisations performance during a weak economic period;
and (iv) benchmarking with other similar transactions. The PCE of
18% coupled with Moody's mean expected default and recovery
assumptions results in an implied coefficient of variation ("CoV")
of 35.0%.

METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating Consumer Loan-Backed ABS" published in
September 2015.

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

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

Factors that may lead to and upgrade of the ratings of the notes
include significantly better than expected performance of the pool
and an increase in credit enhancement of the notes due to
deleveraging.

Factors that may lead to a downgrade of the ratings of the notes
include (i) a decline in the overall performance of the pool (ii)
a significant deterioration of the credit profile of the
originator/servicer, the swap counterparty or other key
transaction counterparties and (iii) a downgrade of the Italian
Local Currency Country Risk Ceiling.

Finally, unforeseen regulatory changes or significant changes in
the legal environment may also result in changes of the ratings.

LOSS AND CASH FLOW ANALYSIS:

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

STRESS SCENARIOS:

In rating consumer loan ABS, default rate and recovery rate are
two key inputs that determine the transaction cash flows in the
cash flows model.

If the expected default rate increased to 8.5% from 7.5% and the
recovery rate decreased to 7.5% from 10% the model output
indicates that the Class A and B notes would still achieve Aa2(sf)
and A1(sf), respectively, assuming that all other factors remained
unchanged. Moody's Parameter Sensitivities provide a
quantitative/model-indicated calculation of the number of rating
notches that a Moody's structured finance security may vary if
certain input parameters used in the initial rating process
differed. The analysis assumes that the deal has not aged and is
not intended to measure how the rating of the security might
migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were
varied. Parameter Sensitivities for the typical EMEA ABS Consumer
Loan transaction are calculated by stressing key variable inputs
in Moody's cash flow model.


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


EKIBASTUZ GRES-1: Fitch Affirms BB+ IDR, Outlook Stable
-------------------------------------------------------
Fitch Ratings has affirmed Kazakhstan-based electricity power
plant Ekibastuz GRES-1 LLP's (GRES-1) Long-Term Foreign Currency
Issuer Default Rating (IDR) at 'BB+'. The Outlook is Stable.

GRES-1's ratings affirmation reflects Fitch expectations that it
will maintain a relatively strong position in the domestic power
market and solid credit profile supported by capex and dividend
flexibility. However, the ratings are constrained by the
uncertainty in the regulatory regime in Kazakhstan after 2018,
volume volatility and pressure on tariffs, which affects cash flow
predictability.

The company's ratings benefit from a one-notch uplift for support
from its 100% shareholder, JSC Samruk-Energy (BB+/Stable), which
is 100% state-owned via Sovereign Wealth Fund Samruk-Kazyna JSC
(BBB/Stable). Should the increasing financial reliance of Samruk-
Energy on GRES-1 through dividends, intra-group loans and other
upstreaming of the subsidiary's cash flows lead to a negative
impact on GRES-1's financials, and Samruk-Energy continues to
implement centralised financial policies, Fitch may revise Fitch
ratings approach to GRES-1.

KEY RATING DRIVERS

Exports to Russia Resumed: In February 2017 GRES-1 resumed
electricity exports to Russia, and Fitch expects these volumes to
account for 30% of electricity generation and contribute to a
volume increase in 2017. Lack of exports to Russia was the main
reason for the 24% and 16% declines in electricity generation in
2015 and 2016, respectively. Export tariffs fluctuate at around 1
RUB/kWh (around KZT6/kWh) compared with an average price of
KZT7kWh for domestic sales.

However, in 2014 Kazakhstan Electricity Grid Operating Company
(KEGOC) (BBB-/Stable) provided the discount to transmission
tariffs for GRES-1's electricity export operations and this does
not apply in 2016, making these export sales less profitable than
before. The current export contract expires in one year, but the
company expects it to be renewed. Fitch forecast export volumes in
2018-2021 to be close to 2017.

Planned Capex Increased: In response to favourable electricity
generation dynamics in 2017, GRES-1 increased its capex plan for
2017-2019 to an annual average of KZT12.5 billion from KZT4
billion expected when GRES-1 planned to implement only vital
investments required by technical supervisory bodies. This
confirms Fitch doubts about the company's ability to keep reliable
electricity production at a stable level with small capex. Fitch
therefore forecast average investments of KZT14.5 billion on
average in 2017-2018 and KZT20 billion thereafter.

Samruk-Energy's Bonds Purchase: In September 2017 GRES-1 purchased
KZT28 billion of its parent company Samruk-Energy's five-year
local bonds at a 12.5% rate by attracting a KZT28 billion five-
year loan from Subsidiary Bank Sberbank of Russia, JSC (Sberbank,
BB+/Positive) at the same rate of 12.5%. The received coupons will
be netted with interest payments on the loan. The proceeds are
likely to be used by Samruk-Energy to repay a USD500 million
(KZT167 billion) Eurobond due in December 2017.

The deal will worsen GRES-1's credit profile, with funds from
operations (FFO) adjusted gross leverage rising to 1.6x on average
in 2017-2021 from 1.1x in 2016. Nevertheless, there is still
headroom within Fitch negative guidance of FFO adjusted gross
leverage of 2.0x for the company's rating.

Regulatory Uncertainty: GRES-1's average tariff will fall for the
second consecutive year in 2017 as the company provides discounts
to an increasing number of customers to remain competitive,
although the approved tariff cap remains unchanged from 2015. In
addition, margins continue to be squeezed due to discrepancies in
electricity and fuel price dynamics. The regulator plans to launch
a capacity market in Kazakhstan in 2019, but this has already been
postponed from 2015 and the final terms are yet to be agreed.

The predictability of GRES-1's cash flows is therefore low due to
tariff uncertainty, which may also affect electricity generation
volumes, and the lack of long-term perspective on the controlling
shareholder's view on the dividend stream and capex. Fitch expects
GRES-1 to remain free cash flow (FCF) neutral in 2017-2021.

Uplift for Parental Support: GRES-1's 'BB+' rating benefits from a
one-notch uplift for support from Samruk-Energy. Fitch considers
the strategic, operational and legal links between GRES-1 and
Samruk-Energy relatively strong under Fitch parent and subsidiary
rating linkage methodology. In 2016 GRES-1 accounted for around
half of Samruk-Energy's EBITDA and around 40% of the group's
electricity generation. Samruk-Energy's Eurobonds include a cross-
default provision related to the debt of all material
subsidiaries, including GRES-1. In 2016 Samruk-Energy demonstrated
support by reducing GRES-1's dividends to KZT2.2 billion from the
KZT8 billion paid in 2014-2015.

However, Fitch expects GRES-1's dividend payments to increase
significantly over 2017-2021 in addition to the purchase of
Samruk-Energy's bonds. Samruk-Energy operates a centralised group
treasury and its ability to upstream cash from GRES-1 is limited
only by a total debt/EBITDA covenant of 3x stipulated in the
documentation of the loans, which mature in 2021. Fitch may revise
Fitch ratings approach to GRES-1 should the increasing financial
reliance of Samruk-Energy on GRES-1 lead to the deterioration of
the latter's credit metrics.

DERIVATION SUMMARY

Ekibastuz GRES-1's closest peers are Kazakhstan-based regional
companies Limited Liability Partnership Kazakhstan Utility Systems
(KUS, BB-/Stable) and Joint Stock Company Central-Asian Electric-
Power Corporation (CAEPCo, B+/Stable).

GRES-1, KUS and CAEPCo have similar business profiles in terms of
scale of operations, and their EBITDA is dominated by the
electricity generation segment. GRES-1's financial profile is
similar to that of KUS, but stronger than CAEPCo's due to higher
margins, lower leverage and lack of debt exposure to FX. GRES-1's
ratings include one-notch uplift for the parental support of
Samruk-Energy, while KUS and CAEPCo are rated on a standalone
basis.

KEY ASSUMPTIONS

Fitch's key assumptions within Fitch ratings case for the issuer
include:
- average tariff decline in 2017 by more than 10%, and moderate
   growth by around 2% thereafter;
- electricity production growth for Kazakhstan customers at GDP
   growth rate (2.4%-3.2% in 2017-2021), annual export volumes to
   Russia of 4 billion kWh in 2017-2021;
- inflation driven cost increase (including coal) by average 7%
   during 2017-2021;
- dividends of KZT9.6 billion in 2017 and KZT11 billion
   thereafter;
- capex of KZT14 billion in 2017, KZT15 billion in 2018 and
   KZT20 billion in 2019-2021, which is above management's
   guidance.

RATING SENSITIVITIES

Future Developments That May, Individually or Collectively, Lead
to Positive Rating Action
- Long-term predictability of the regulatory framework
- More diversified and efficient asset base

Future Developments That May, Individually or Collectively, Lead
to Negative Rating Action
- Negative rating action on Samruk-Energy
- FFO adjusted gross leverage persistently higher than 2x and
   FFO interest coverage below 4x, for example due to tariffs
   and/or operating dynamics materially lower than Fitch
   forecasts and a substantially above-inflation increase in coal
   price
- Inability to refinance existing loan amortisation payments and
   raise new debt to cover cash shortfalls at affordable levels
- Committing to capex without sufficient available funding,
   worsening overall liquidity position.

LIQUIDITY

Weak, but Manageable Liquidity: At end-3Q17 GRES-1 had cash and
cash equivalents of KZT5 billion compared with short-term debt of
KZT5.6 billion. The company's debt consisted of a long-term loan
from Halyk Bank of Kazakhstan (BB/Stable) of KZT28 billion at 13%
and a KZT28 billion loan attracted from Sberbank for the
acquisition of KZT28 billion 12.5% interest local bonds of its
parent Samruk-Energy.

Based on Fitch estimates, the cash and internally generated funds
should be enough to finance capex needs and Fitch anticipates
GRES-1 to attract new loans to cover its 2018-2019 maturities. All
loans are tenge denominated and have fixed interest rates. Fitch
expects the company to generate positive FCF in 2017-2018.

FULL LIST OF RATING ACTIONS

Long-Term Foreign and Local Currency IDRs: affirmed at 'BB+',
Outlook Stable
National Long-Term Rating: affirmed at 'AA-(kaz)', Outlook Stable.


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


DRYDEN 39 EURO: Moody's Assigns B1 Rating to Class F-R Notes
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to eight
classes of notes ("Refinancing Notes") issued by Dryden 39 Euro
CLO 2015 B.V.:

-- EUR6,000,000 Class X Senior Secured Floating Rate Notes due
    2031, Assigned Aaa (sf)

-- EUR299,400,000 Class A-R Senior Secured Floating Rate Notes
    due 2031, Assigned Aaa (sf)

-- EUR29,400,000 Class B-1-R Senior Secured Floating Rate Notes
    due 2031, Assigned Aa2 (sf)

-- EUR33,500,000 Class B-2-R Senior Secured Fixed Rate Notes due
    2031, Assigned Aa2 (sf)

-- EUR34,900,000 Class C-R Mezzanine Secured Deferrable Floating
    Rate Notes due 2031, Assigned A2 (sf)

-- EUR26,300,000 Class D-R Mezzanine Secured Deferrable Floating
    Rate Notes due 2031, Assigned Baa3 (sf)

-- EUR21,500,000 Class E-R Mezzanine Secured Deferrable Floating
    Rate Notes due 2031, Assigned Ba2 (sf)

-- EUR17,200,000 Class F-R Mezzanine Secured Deferrable Floating
    Rate Notes due 2031, Assigned B1 (sf)

RATINGS RATIONALE

Moody's definitive rating of the rated notes addresses the
expected loss posed to noteholders by the legal final maturity of
the notes in 2031. The definitive ratings reflect the risks due to
defaults on the underlying portfolio of loans given the
characteristics and eligibility criteria of the constituent
assets, the relevant portfolio tests and covenants as well as the
transaction's capital and legal structure. Furthermore, Moody's is
of the opinion that the collateral manager, PGIM Limited, has
sufficient experience and operational capacity and is capable of
managing this CLO.

The Issuer issued the Refinancing Notes in connection with the
refinancing of the following classes of Original Notes: Class A-1
Notes, Class A-2 Notes, Class B-1 Notes, Class B-2 Notes, Class C-
1 Notes, Class C-2 Notes, Class D Notes, Class E Notes and Class F
Notes due 2029 (the "Original Notes"), previously issued on
September 9, 2015 (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 its respective
Original Notes. On the Original Closing Date, the Issuer also
issued EUR42.5m of subordinated notes, which will remain
outstanding.

Dryden 39 Euro CLO 2015 B.V. is a managed cash flow CLO. At least
90% of the portfolio must consist of senior secured loans and
senior secured bonds. The portfolio is expected to be 80% ramped
up as of the closing date and to be comprised predominantly of
corporate loans to obligors domiciled in Western Europe.

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

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

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

Loss and Cash Flow Analysis:

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

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

Par Amount: EUR500,000,000

Diversity Score: 48

Weighted Average Rating Factor (WARF): 2800

Weighted Average Spread (WAS): 3.8%

Weighted Average Coupon (WAC): 5.0%

Weighted Average Recovery Rate (WARR): 41.5%

Weighted Average Life (WAL): 8.5 years

Moody's has analysed the potential impact associated with
sovereign related risk of peripheral European countries. As part
of the base case, Moody's has addressed the potential exposure to
obligors domiciled in countries with local currency country risk
ceiling of A1 or below. For countries which are not member of the
European Union, the foreign currency country risk ceiling applies
at the same levels under this transaction. Following the effective
date, and given the portfolio constraints and the current
sovereign ratings in Europe, such exposure may not exceed 15% of
the total portfolio. As a result and in conjunction with the
current foreign government bond ratings of the eligible countries,
as a worst case scenario, a maximum 15% of the pool would be
domiciled in countries with local or foreign currency country
ceiling of Aa3 or lower, a maximum 10% of the pool would be
domiciled in countries with local or foreign currency country
ceiling of A3 or lower. The remainder of the pool will be
domiciled in countries which currently have a local or foreign
currency country ceiling of Aaa or Aa1 to Aa3. Given this
portfolio composition, the model was run with different target par
amounts depending on the target rating of each class as further
described in the methodology. The portfolio haircuts are a
function of the exposure size to peripheral countries and the
target ratings of the rated notes and amount to 3.33% for the
Class X and Class A-R notes, 2.42% for the Class B-1-R and Class
B-2-R notes, 1.17% for the Class C-R, 0.33% for Classes D-R, and
0% for Class E-R and F-R notes.

Stress Scenarios:

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

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

Ratings Impact in Rating Notches:

Class X Senior Secured Floating Rate Notes: 0

Class A-R Senior Secured Floating Rate Notes: 0

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

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

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

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

Class E-R Mezzanine Secured Deferrable Floating Rate Notes: 0

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

Percentage Change in WARF: WARF +30% (to 3640 from 2800)

Ratings Impact in Rating Notches:

Class X Senior Secured Floating Rate Notes: 0

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

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

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

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

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

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

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

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.


DRYDEN 39 EURO: S&P Assign B- (sf) Rating to Class F-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Dryden 39 Euro
CLO 2015 B.V.'s class X, A-R, B-1-R, B-2-R, C-R, D-R, E-R, and F-R
notes. At closing, the issuer also issued unrated subordinated
notes.

The transaction is a reset of an existing transaction, which
closed in 2015.

The proceeds from the issuance of these notes were used to redeem
the existingrated notes. In addition to the redemption of the
existing notes, the issuer used the remaining funds to purchase
additional collateral and to cover fees and expenses incurred in
connection with the reset. The portfolio's reinvestment period
ends approximately four years after the reset closing, and
the portfolio's maximum average maturity date is 8.5 years after
the reset closing.

The ratings assigned to the notes reflect S&P's assessment of:

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

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

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

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

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

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

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

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

Dryden 39 Euro CLO 2015 is a cash flow corporate loan
collateralized loan obligation (CLO) securitization of a revolving
pool, comprising primarily senior secured loans and bonds granted
to broadly syndicated corporate borrowers. PGIM Ltd. is the
collateral manager.

RATINGS LIST

  Dryden 39 Euro CLO 2015 B.V.
  EUR510.7 mil secured fixed-rate and floating-rate notes
  (including EUR 42.5 mil subordinated notes)

                                Amount
  Class           Rating      (mil, EUR)
  X               AAA (sf)         6.0
  A-R             AAA (sf)       299.4
  B-1-R           AA (sf)         29.4
  B-2-R           AA (sf)         33.5
  C-R             A (sf)          34.9
  D-R             BBB (sf)        26.3
  E-R             BB (sf)         21.5
  F-R             B- (sf)         17.2
  Sub             NR              42.5

  NR--Not rated


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


MAGELLAN MORTGAGES 1: Fitch Keeps BB+ Class C Notes Rating on RWE
-----------------------------------------------------------------
Fitch Ratings is maintaining seven tranches of Magellan Mortgages
No.1 and No.2, two Portuguese RMBS comprising mortgage loans
originated and serviced by Banco Comercial Portugues (BCP; BB-
/Stable/B), on Rating Watch Evolving (RWE).

Both transactions were placed on RWE on 5 October 2017 following
the publication of Fitch's Exposure Draft: European RMBS Rating
Criteria on 15 September 2017. The RWE indicates the possibility
of rating change as a result of the application of the proposed
updated criteria. Rating Watches will be resolved on a
transaction-specific basis by undertaking a full review of each
transaction with the final criteria and either affirming,
upgrading or downgrading each rating (see Fitch Places European
RMBS Ratings on Watch Evolving on Exposure Draft Publication on
www.fitchratings.com)

KEY RATING DRIVERS

Counterparty Exposure
The class A and B notes' ratings of Magellan Mortgages No.1 are
capped at 'BBB+'/Stable, five notches above the collection account
bank's (BCP) Long Term Rating, in accordance with the agency's
Structured Finance and Covered Bonds Counterparty Rating Criteria.
This is explained by Fitch's materiality assessment of the
transactions' continued exposure to Royal Bank of Scotland (RBS,
BBB+/Stable/F2) as account bank, swap provider and liquidity
facility provider, as remedial actions have not been implemented
as per transaction documentation following RBS's downgrade in
2015.

Based on Fitch's materiality assessment, which assumes transaction
cash reserves and drawn liquidity facility held at RBS as account
bank to be lost, senior class A and B notes will be exposed to
payment interruption risk in the event of a servicer disruption
event.

Deleveraging and Credit Enhancement Trends
The securitised mortgage portfolios are reasonably seasoned at
approximately 17 years for Magellan Mortgages No.1 and 15 years
for Magellan Mortgages No.2. As such, the weighted average current
loan-to-value (LTV) ratios have fallen below 30%, compared with
the weighted average original LTVs of 60% and 59% respectively.

The current and projected levels of credit enhancement (CE) on the
rated notes are expected to gradually increase, considering the
sequential paydown of the liabilities and also the stable credit
performance of the underlying mortgage portfolios.

Lack of Provisioning
Magellan Mortgages No.1 has no provisioning mechanism for defaults
in place, unlike the majority of Fitch-rated Portuguese
transactions. As a result Fitch has used the proportion of loans
in arrears higher than 12 months as a proxy for the number of
defaults on this deal and deducted this amount from the current CE
available in Fitch's analysis.

Variations from Criteria
BCP has not been able to provide loan-by-loan default and recovery
information for the transactions. As a result, in its analysis
Fitch has increased its assumption on quick sale adjustment to 50%
from 40% and extended the expected recovery timing to six years
from four years. These calibrations constitute a variation from
the agency's Criteria Addendum: Portugal - Residential Mortgage
Assumptions.

RATING SENSITIVITIES

A change to the rating of BCP could impact the ratings on Magellan
Mortgages No.1 class A and B notes. Additionally, these ratings
could be upgraded if adequate counterparty remedial actions are
taken with respect to RBS in its role as SPV account bank, among
others.

The senior class A and B ratings of Magellan Mortgages No.2 are
sensitive to changes in Portugal's Country Ceiling 'A+' and
consequently changes to the highest achievable 'A+' rating of
Portuguese structured finance notes.

Lastly, all the ratings are also sensitive to the implementation
of Fitch's Exposure Draft: European RMBS Rating Criteria published
on 15 September 2017.

The rating actions are as follows:

Magellan Mortgages No. 1 Plc:
Class A (ISIN XS0140415836): 'BBB+sf' remains on Rating Watch
Evolving
Class B (ISIN XS0140416057): 'BBB+sf' remains on Rating Watch
Evolving
Class C (ISIN XS0140416214): 'BB+sf'; remains on Rating Watch
Evolving

Magellan Mortgages No. 2 Plc:
Class A (ISIN XS0177944690: 'A+sf'; remains on Rating Watch
Evolving
Class B (ISIN XS0177945077): 'A+sf'; remains on Rating Watch
Evolving
Class C (ISIN XS0177945234): 'Asf'; remains on Rating Watch
Evolving
Class D (ISIN XS0177945408): 'BBBsf'; remains on Rating Watch
Evolving


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


MARKETPLACE 2017-1: Moody's Assigns (P)B3 Rating to Cl. E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned the following provisional
ratings to notes to be issued by Marketplace Originated Consumer
Assets 2017-1 plc ("Moca 2017-1"):

-- GBP [ ] million Class A Asset Backed Notes due [December
    2027], Assigned (P)Aa3 (sf)

-- GBP [ ] million Class B Asset Backed Notes due [December
    2027], Assigned (P)A3 (sf)

-- GBP [ ] million Class C Asset Backed Notes due [December
    2027], Assigned (P)Baa3 (sf)

-- GBP [ ] million Class D Asset Backed Notes due [December
    2027], Assigned (P)Ba3 (sf)

-- GBP [ ] million Class E Asset Backed Notes due [December
    2027], Assigned (P)B3 (sf)

The GBP [ ] million Class Z Asset Backed Notes due [December 2027]
and the GBP [ ] million Class X Notes due [December 2027] will not
be rated.

RATINGS RATIONALE

The provisional rating assignments reflect the transaction's
structure as a static cash securitisation of unsecured consumer
loans, originated through a marketplace lending online platform in
the UK. Zopa Limited ("Zopa") (not rated) operates the platform
and manages the underwriting process. P2P Global Investments PLC
(not rated) was the seller of the securitised loan portfolio. The
platform provider, Zopa, also acts as the servicer of the
portfolio. Target Servicing Limited (not rated) has been appointed
as back-up servicer of the transaction.

The provisional securitised portfolio as of September 28, 2017
consists of unsecured consumer loans to UK private borrowers.
According to the borrowers' classification (not verified by the
platform provider) the loans are mainly used to finance cars
(30.8%), for debt consolidation (38.0%) and for home improvements
(20.9%). The portfolio consists of 31,153 contracts with a
weighted average seasoning of 4.5 months and a maximum loan term
of five years. Most borrowers are employed full-time (88.0%) and
the average outstanding loan balance (including capitalised fees)
is circa GBP6,708.

According to Moody's, the transaction benefits from: (i) a
granular portfolio originated through the Zopa marketplace lending
platform, (ii) a static structure that does not allow the issuer
to buy additional receivables after closing, (iii) continuous
portfolio amortization from day one, (iv) an independent cash
manager and liquidity provided through two reserve funds, (v) an
appointed back-up servicer at closing, and (vi) credit enhancement
provided through subordination of the notes, reserve funds and
excess spread.

Moody's notes that the transaction may be negatively impacted by:
(i) misalignment of interest between the platform provider Zopa
and investors who finance the loans, (ii) the fact that Zopa does
not retain a direct economic interest in the securitized
portfolio, (iii) the limited historical data that does not cover a
full economic cycle, (iv) a higher fraud risk due to the online
origination process, (v) an unrated servicer with limited
financial strength, and (vi) the regulatory uncertainty due to the
still developing regulation for the marketplace lending segment.

Moody's analysis focused, amongst other factors, on (i) historical
performance data, (ii) the loan-by-loan data for the securitised
portfolio including internal and external credit scores, (iii) the
credit enhancement provided by subordination, the reserve fund and
excess spread, (iv) the liquidity support available in the
transaction by way of principal to pay interest and the liquidity
reserve for the most senior outstanding class of notes, and (v)
the appointment of the back-up servicer at closing.

MAIN MODEL ASSUMPTIONS

Moody's determined the portfolio lifetime expected defaults of
7.0%, expected recoveries of 10% and Aaa portfolio credit
enhancement ("PCE") of 32.5% related to the loan portfolio. The
expected defaults and recoveries capture Moody's 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 the
ABSROM cash flow model to rate Consumer ABS.

Portfolio expected defaults of 7.0% are higher than the EMEA
consumer loan average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account (i) limited
historical performance data of the loan book of the originator,
(ii) benchmark transactions, (iii) the current economic
uncertainty in the UK, and (iv) a rather new originator with a new
business concept compared to classical loan origination.

Portfolio expected recoveries of 10% are lower than the EMEA
consumer loan average for unsecured consumer loans and are based
on Moody's assessment of the lifetime expectation for the pool
taking into account (i) the limited strength and experience of the
servicer (ii) historical performance of the loan book of the
originator, and (iii) benchmark transactions.

The Aaa PCE of 32.5% is higher than the EMEA consumer loan average
and is based on Moody's assessment of the pool taking into account
the relative ranking of the platform provider to originator peers
in the EMEA consumer loan market. The PCE level of 32.5% results
in an implied coefficient of variation ("CoV") of 40.5%.

METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating Consumer Loan-Backed ABS" published in
September 2015.

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 on the class A
notes and the ultimate payment of interest and principal at par on
the class A to E notes, on or before 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 above ratings reflect Moody's preliminary
credit opinion 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 above
notes. A definitive rating may differ from a provisional rating.

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

Significantly better-than-expected performance of the securitised
portfolio would lead to an upgrade of the ratings, all else being
equal.

Factors that may cause a downgrade of the rated notes include: (i)
a decline of the performance of the pool beyond Moody's
expectations, (ii) a significant deterioration of the credit
profile of the servicer, or (iii) unexpected, negative changes in
the regulatory or market environment of the marketplace lending
segment.

LOSS AND CASH FLOW ANALYSIS:

Moody's used its cash flow model Moody's ABSROM as part of its
quantitative analysis of the transaction. Moody's ABSROM model
enables users to model various features of a standard European ABS
transaction -- including the specifics of the loss distribution of
the assets, their portfolio amortisation profile and yield. On the
liability side of the ABS structure subordination and reserve
fund.

STRESS SCENARIOS:

In rating consumer loan ABS, 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 tested in the following manner: Moody's tested six scenarios
derived from a combination of mean default rate: 7.0% (base case),
8.0% (base case + 1.0%), 9.0% (base case + 2.0%) and recovery
rate: 10.0% (base case), 5.0% (base case - 5%) and 0.0% (base case
-- 10%).

The model output results for the class A notes under these
scenarios vary from Aa3 (sf) (base case) to A1 (sf) assuming the
mean default rate is 8.0% and the recovery rate is 0%, all else
being equal. 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 the class A notes
might have differed if the two parameters within a given sector
that have the greatest impact were varied. Model output results
for the class B to E notes are shown in the pre-sale report for
this securitisation.



                            *********

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 2017.  All rights reserved.  ISSN 1529-2754.

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

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

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


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