/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/120611.mbx T R O U B L E D C O M P A N Y R E P O R T E R E U R O P E Monday, June 11, 2012, Vol. 13, No. 115 Headlines B U L G A R I A MUNICIPAL BANK AD: S&P Affirms 'B+/B' Counterparty Credit Ratings F R A N C E MARITHE + FRANCOIS: Files for Bankruptcy Protection G E R M A N Y THYSSENKRUPP AG: S&P Cuts Long-Term Corp. Credit Rating to 'BB' G R E E C E HELLENIC TELECOMMUNICATIONS: S&P Cuts Corp. Credit Rating to 'B-' PUBLIC POWER: S&P Cuts Corp. Credit Rating to 'CC'; Outlook Neg. * GREECE: Moody's Cuts Ratings on Asset-Backed Covered Bonds I T A L Y AEROPORTI DI ROMA: S&P Lifts Corp. Rating to 'BB+' on Refinancing R U S S I A BARS BANK: Fitch Cuts Long-Term IDR to 'BB-'; Outlook Negative CAT OIL: S&P Affirms 'BB-/B' Corp. Credit Ratings; Outlook Pos. FAR EASTERN: Moody's Withdraws 'B3' Corp. Family Rating OIL INSURANCE: S&P Withdraws 'B+' FC Counterparty Credit Rating SEVERSTAL OAO: Moody's Upgrades CFR/PDR to 'Ba1'; Outlook Stable * KRASNODAR: Fitch Raises Long-Term Currency Ratings to 'BB+' S P A I N AYT COLATERALES: Fitch Upgrades Rating on Class D Notes to 'BBsf' BANCO FINANCIERO: S&P Lowers Rating on Preferred Shares to 'CC' * SPAIN: Banks Need Urgent Recapitalization, Finance Leaders Say S W E D E N DOMETIC GROUP: Moody's Downgrades Rating on PIK Notes to 'Caa2' U N I T E D K I N G D O M BATTERSEA POWER: Malaysian Consortium Named Preferred Bidder BLUESTONE SECURITIES: S&P Affirms 'B-' Ratings on 4 Note Classes CLINTON CARDS: Lakeshore Buys 400 Stores; 4,500 Jobs Saved EDWARDS HOLDCO: S&P Affirms 'B+' Corporate Credit Rating EUROMASTR 2007-IV: S&P Affirms 'B-' Rating on Class E Notes EUROMAX III: S&P Lowers Rating on Class B Notes to 'CCC-' FIRST FLEXIBLE: S&P Lowers Rating on 2 Note Classes to 'BB-' FIRST FLEXIBLE: S&P Lowers Ratings on Two Note Classes to 'B-' FITT SIGNS: Bought Out Administration in "Pre-Pack" Deal FORTELUS: Opts to Liquidate Part of Flagship Fund PARAGON SECURED: S&P Downgrades Rating on Class C Notes to 'B' RANGERS FOOTBALL: Charles Green Won't Sell Ibrox & Murray Park RANGERS FOOTBALL: HMRC Lines Up Liquidators if CVA Fails RESIDENTIAL MORTGAGE: S&P Cuts Rating on Class B2 Notes to 'B-' RESIDENTIAL MORTGAGE 25: S&P Cuts Rating on Class B3-Dfrd to 'B-' RMAC 2005-NSP2: S&P Cuts Ratings on Two Note Classes to 'B-' SOUTHERN PACIFIC: S&P Cuts Rating on Two Note Classes to 'B-' UROPA SECURITIES: S&P Affirms 'BB-' Rating on Class C Notes WEST BROMWICH: Moody's Issues Summary Credit Opinion X X X X X X X X * BOND PRICING: For the Week June 4 to June 8, 2012 ********* =============== B U L G A R I A =============== MUNICIPAL BANK AD: S&P Affirms 'B+/B' Counterparty Credit Ratings ----------------------------------------------------------------- Standard & Poor's Ratings Services revised its outlook on Bulgaria-based Municipal Bank A.D. to negative from stable. "At the same time, we affirmed the 'B+/B' long- and short-term counterparty credit ratings and then withdrew them at the issuer's request," S&P said. "Prior to the withdrawal, the ratings on Municipal Bank reflected the bank's 'bb' anchor, 'weak' business position, 'moderate' capital and earnings, 'moderate' risk position, 'average' funding, and 'adequate' liquidity, as our criteria define these terms. The stand-alone credit profile (SACP) was 'b'," S&P said. "Prior to the withdrawal, we had revised our assessment of the bank's capital and earnings to 'moderate' from 'adequate', although this did not affect the ratings on the bank. This is because, under our criteria, a 'moderate' assessment of capital and earnings does not lead to a downward revision of the SACP for banks that have an anchor of 'bb' or lower owing to the countries in which they are located. Our revised assessment of capital and earnings reflects our expectation that Municipal Bank's projected Standard & Poor's risk-adjusted capital (RAC) ratio before concentration adjustments would be about 5.0%-5.5% in the next 18 months. It also incorporates our view of the bank's weak earnings capacity, compared with the industry average," S&P said. "We also consider that the bank's capitalization only provided a moderate cushion to absorb loan loss provisions at a time when the Bulgarian operating environment remains depressed and further loan losses could arise. We note that the bank's earnings capacity is weak compared with peers due to tighter interest margins, lower efficiency of operations, a high cost base, and the weakened operating environment. Following a change in its auditor, we understand that the bank reported significantly elevated levels of credit costs in 2011, which resulted in a loss for the year. This also wiped off about 8% of the bank's equity base. Given the ongoing recession in Bulgaria, we do not expect the pressure on domestic banks to ease in the next 12-18 months," S&P said. "The outlook at the time of withdrawal was negative, reflecting our view of the delayed impact of the ongoing recession on Municipal Bank's financial profile. In particular, we observed this through significantly increased credit losses, which resulted in a loss for 2011 and depleted a portion of capital. We believe there is a risk that further losses could materialize, which could have resulted in a downward revision of our assessment of the bank's risk position, or a further downward revision of our assessment of capital and earnings," S&P said. =========== F R A N C E =========== MARITHE + FRANCOIS: Files for Bankruptcy Protection --------------------------------------------------- Laure Guilbault at WWD reports that a spokeswoman for Marithe + Francois Girbaud said the French denim brand has filed for the French equivalent of Chapter 11 bankruptcy protection. According to WWD, representatives of the label, which last year mandated Banque Privee Edmond de Rothschild to open its capital to outside investors, attended a hearing at a commercial court on Thursday aimed at extending the observation period allowing potential buyers to step in. The spokeswoman declined to give further details, but said the company planned to issue a statement in the next few days, WWD notes. Marithe + Fran‡ois Girbaud has been losing steam since the global economic downturn, posting consolidated sales of EUR100 million, or US$132.7 million at average exchange, in 2010, WWD relates. Indian weaver Fibres & Fabrics International (FFI) is among the rumored potential buyers, WWD discloses. Marithe + Francois Girbaud is an international clothing company based in France. ============= G E R M A N Y ============= THYSSENKRUPP AG: S&P Cuts Long-Term Corp. Credit Rating to 'BB' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term corporate credit rating on Germany-based industrial conglomerate ThyssenKrupp AG to 'BB' from 'BB+' and affirmed its short-term corporate credit rating at 'B'. "We also lowered the ratings on all the debt instruments issued and guaranteed by ThyssenKrupp to 'BB' from 'BB+' and revised downward our recovery ratings on all the instruments to '4' from '3'. The outlook is negative," S&P said. "The downgrade reflects our expectation that the company's leverage will remain above levels we consider commensurate with the previous 'BB+' rating for the rest of financial 2012, ending on Sept. 30, and 2013. Under our base-case scenario we expect ThyssenKrupp's fully adjusted funds from operations (FFO)-to-debt ratio to fall below 10% on Sept. 30, 2012 and be about 15% on Sept. 30, 2013. We previously assumed figures of 16% and 20%. We now qualify the group's financial risk profile as 'aggressive' compared with 'significant' before, reflecting its high leverage against its 'strong' liquidity and long-term debt maturity profile," S&P said. "The downgrade also reflects continued losses and negative free operating cash flow (FOCF) in the group's Steel Americas business and limited visibility on the timeline for reaching breakeven results, which we previously expected to happen in financial 2013," S&P said. "Our decision does not currently factor in the potential disposal of Steel Americas because we are not sure how easy it will be to sell, as it is lossmaking, and the market environment remains weak," S&P said. "We continue to view ThyssenKrupp's business risk profile as 'satisfactory,' according to our criteria, assuming Steel Americas' losses will be reduced in coming years. Supportive factors include ThyssenKrupp's leading market positions and the scope and diversification of its operations across several industries--besides large-scale steel businesses the company has several capital goods-related activities--which currently account for most of its profits. The group's business risk profile constraints include continued major near-term losses and execution risks related to the potential sale of its EUR8 billion investment in newly built steel plants in the U.S. and Brazil, which are part of Steel Americas, that continue to suffer from start-up challenges and a weak steel market environment. Other risks include the group's exposure to cyclical and volatile industries, such as steel, and the lack of vertical integration in raw materials in its steel business area," S&P said. "The negative outlook reflects the possibility that we could lower the ratings in the next 12 months, if we believed ThyssenKrupp had made limited progress toward the divestment of its Steel Americas business, and its performance had not improved significantly," S&P said. "We might lower the ratings if we did not see the group's adjusted FFO-to-debt ratio improving to 15% in financial 2013 or if free operating cash flow continued to be negative in 2013. A weaker macroeconomic environment in Europe than we assume under our base-case scenario could also lead us to consider a negative rating action," S&P said. "We could revise the rating outlook to stable if the group was able to improve its adjusted FFO-to-debt ratio above 15%. A positive rating action of one or two notches could come from the successful sale of ThyssenKrupp's new plants in Brazil or the U.S., which management is contemplating, depending on the amount and use of proceeds," S&P said. =========== G R E E C E =========== HELLENIC TELECOMMUNICATIONS: S&P Cuts Corp. Credit Rating to 'B-' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term corporate credit rating on Greek telecom operator Hellenic Telecommunications Organization S.A. (OTE) to 'B-' from 'B'. "In addition, we affirmed the 'B' short-term corporate credit rating. The outlook is negative," S&P said. "At the same time, we lowered the issue ratings on OTE's debt incurred by OTE financing vehicle OTE PLC to 'B-' from 'B'," S&P said. "The rating action primarily reflects our view of the continued deterioration of macroeconomic conditions in OTE's domestic market, including another potential sovereign default or Greece's exit from the eurozone following the inconclusive parliamentary election in May 2012. It also reflects our view of the continued recessionary environment in Greece (Hellenic Republic) (CCC/Stable/C), with increasing unemployment rates, weaker consumer spending, and a potential weakening in the payment culture among business and residential customers. Furthermore, in our opinion, the high country risk and challenged banking sector could continue to impair OTE's ability to refinance or repay with cash its large upcoming debt maturity of EUR1.2 billion in August 2013," S&P said. "We currently believe there is at least a one-in-three chance that Greece will exit the eurozone. We expect GDP to decline by about 5% in 2012 following a drop of about 7% in 2011," S&P said. "The 'B-' rating on OTE is one notch higher than our assessment of OTE's stand-alone credit profile, primarily because we factor in moderate support from OTE's 40% shareholder, Deutsche Telekom AG (BBB+/Stable/A-2). We consider it difficult to assess at this time whether Deutsche Telekom would step in to offset a 'drachmification' of OTE's debt. Under our criteria, such 'drachmification' would likely ultimately result in a default," S&P said. "The negative outlook reflects the possibility of a further downgrade if the likelihood of Greece's exit from the eurozone continues to increase. In addition, we could lower the long-term credit rating if our assessment of OTE's liquidity profile weakens. This could result if OTE's covenant headroom durably shrinks to less than 10%, if OTE is unable to partially refinance its upcoming loan maturities, or if OTE does not bolster liquidity through further asset disposals to address its debt maturity in August 2013. In addition, we could lower the long- term rating if we considered that Deutsche Telekom's commitment to OTE had weakened," S&P said. "We could revise the outlook to stable if OTE manages to proactively refinance its large debt maturities in 2012 and 2013. In addition, we would expect OTE to maintain adequate covenant headroom. Finally, to warrant a stable outlook we would likely need to be confident that the likelihood of Greece's exit from the eurozone had materially declined and that any negative impact from a possible Greek sovereign default would not materially affect our base-case assumptions," S&P said. "Ratings upside appears limited at this stage, but could result if our view of Deutsche Telekom's commitment to OTE strengthened, for example thanks to a material increase in its shareholding or other explicit forms of financial support," S&P said. PUBLIC POWER: S&P Cuts Corp. Credit Rating to 'CC'; Outlook Neg. --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term corporate credit rating on Greece-based utility Public Power Corp. S.A. (PPC) to 'CC' from 'CCC'. The outlook is negative. "The downgrade chiefly reflects our view that PPC's liquidity, which we assess as 'weak,' has deteriorated further in the past six months. We believe the company has exhausted its liquidity sources and that its ability to honor its large financial obligations in 2012 mostly depends on external factors in the currently highly uncertain environment in Greece (Hellenic Republic, CC/Stable/C)," S&P said. PPC faces debt service of nearly EUR1 billion by the end of 2012, mostly with Greek banks, and of which about half is due in June. "Based on first-quarter reported results, PPC's cash levels are minimal, and its total current liabilities exceeded total current assets (excluding cash) by nearly EUR900 million on March 30, 2012. Most of its debt maturing with Greek banks in the first quarter -- totaling EUR650 million -- was extended, but only for a quarter," S&P said. "PPC's plummeting earnings under adverse operating conditions are the main reason behind its worsening liquidity, in our view. Falling power demand, market share, poor weather that dragged hydropower to historic lows, and rising fuel and power purchasing costs drove 2011 reported EBITDA down 49%, compared with the 2010 figure, despite sizable payroll reductions. Still, PPC posted a 13% increase in year-on-year revenues in first-quarter 2012, owing to market share gains -- owing to the suspension of alternative suppliers' operations -- and tariff hikes. EBITDA continued to fall in the quarter, however, losing nearly 30%, because of PPC's power and fuel purchases were further inflated by the interruption in imports from Bulgaria," S&P said. "PPC is now operating in a period of unprecedented uncertainty in Greece because the possibility that it could pull out of the European Economic and Monetary Union (EMU, or eurozone) has become more tangible. The uncertainty will likely prevail at least until Greece's electorate returns to the polls on June 17, after failing to elect a clear majority in the May 6 parliamentary elections," S&P said. "The negative outlook reflects our view that PPC will likely default on its obligations in the near term, as defined by our criteria, if we don't see rapid improvement in operating conditions and liquidity. In addition, the negative outlook factors in the likelihood that PPC would likely be unable to service its euro-denominated debt if Greece decided to readopt the drachma or adopt a new operating currency. Standard & Poor's now believes there is a one-in-three chance that Greece will exit from the eurozone," S&P said. "The negative outlook also takes into account PPC's near-term refinancing risk and the likelihood that enduring political uncertainty or deteriorating economic conditions could worsen the group's already ailing liquidity situation even if Greece does not exit the eurozone," S&P said. "We could lower our long-term rating on PPC to 'SD' (selective default) if it failed to meet interest or principal payments on their due date. This includes exchange offers of new debt with less favorable terms than those of the original issue without what we view to be adequate offsetting compensation," S&P said. "An outlook revision to stable or an upgrade would, in our view, depend on the group's ability to significantly improve its liquidity position in the next months, should PPC successfully refinance its short-term debt and, in turn, weather its current liquidity squeeze. In our view, this may result from," S&P said: - The tariff reform prescribed by the EU and the International Monetary Fund (IMF) as part of Greece's bail-out program, if it's implemented, which would likely result in pronounced tariff and, in turn, earnings increases for PPC as early as 2013; - PPC's disposal of some assets, including coal mines and coal power plants, or the opening up of capital of its recently setup transmission or distribution subsidiaries; and - The future owner of PPC's privatized stake provides liquidity support to the company. * GREECE: Moody's Cuts Ratings on Asset-Backed Covered Bonds ------------------------------------------------------------ Moody's Investors Service has downgraded the following covered bond ratings due to Moody's lowering of its Greek country ceiling to Caa2: - The mortgage covered bonds issued by Alpha Bank AE to Caa2 from B1 (under Alpha's Direct Issuance Programme) - The covered bonds issued by Eurobank EFG under its first program to Caa2 from B1 and to Caa2 from B2 under its second program - The covered bonds issued by National Bank of Greece to Caa2 from B1, under both of its programs. Furthermore, Moody's has downgraded to B2 from B1 the ratings assigned to the covered bonds issued by Cyprus Popular Bank that are backed by Greek residential mortgage loans. Moody's lowering of the Greek country ceiling to Caa2 reflects the heightened risk of Greece exiting the euro area. Ratings Rationale The downgrades reflect Moody's lowering to Caa2 of its assessment of the highest rating that can be assigned for debt obligations issued by domestic Greek issuers, or where cash-flows used to repay debt obligations are sourced from domestic Greek assets. This level reflects the increasing risk of Greece's exit from the euro area, and the near-automatic effect of currency redenomination on default of those obligations. Therefore, the maximum achievable rating applies to all forms of ratings in Greece, including covered bond ratings. Transactions backed by Greek local assets are significantly exposed to a scenario where Greece exits the euro area. This holds true regardless of the jurisdiction in which the debt obligations are issued and the law governing such debt obligations. Most structured finance securities benefit from diversification of revenue sources and are issued under UK law; however, (i) collateral assets are governed under Greek law and are therefore all exposed to redenomination risk; and (ii) underlying obligors are all similarly affected by macroeconomic distress. Covered bond transactions also rely on the issuers to provide servicing functions and other financial roles (such as account banks, swap counterparties, and cash managers). The affected covered bonds are therefore vulnerable to the degree of banking sector distress that would be generated by Greece exiting the euro area. The highest rating for Greek covered bonds is now Caa2. The covered bonds that are backed by Greek assets, and which are issued by Cypriot banks, are now rated one notch above the respective issuer rating. The TPIs assigned to the above transactions are Very Improbable. The ratings assigned by Moody's address the expected loss posed to investors. 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. Key Rating Assumptions/Factors Covered bond ratings are determined after applying a two-step process: an expected loss analysis and a TPI framework analysis. EXPECTED LOSS: Moody's determines a rating based on the expected loss on the bond. The primary model used is Moody's Covered Bond Model (COBOL), which determines expected loss as (i) a function of the issuer's probability of default (measured by the issuer's rating); and (ii) the stressed losses on the cover pool assets following issuer default. Moody's did not perform an expected loss analysis for the affected covered bonds, because Moody's lowering of its country ceiling for Greek debt was the main driver of the downgrade. Moody's stress scenarios include a higher probability assigned to an exit of the country from the euro area and redenomination risk. Further increases in the likelihood of these events, or a further deterioration in Greek transaction counterparty creditworthiness, would be credit-negative events. TPI FRAMEWORK: Moody's assigns a "timely payment indicator" (TPI), which indicates the likelihood that timely payment will be made to covered bondholders following issuer default. The effect of the TPI framework is to limit the covered bond rating to a certain number of notches above the issuer's rating. Sensitivity Analysis The robustness of a covered bond rating largely depends on the credit strength of the issuer. The TPI Leeway measures the number of notches by which the issuer's rating may be downgraded before the covered bonds are downgraded under the TPI framework. The TPI assigned to the above programs is Very Improbable. Therefore, the TPI Leeways for these programs are limited and any downgrade of the issuer ratings may lead to a downgrade of the covered bonds. A multiple-notch downgrade of the covered bonds might occur in certain limited circumstances, such as (i) a sovereign downgrade negatively affecting both the issuer's senior unsecured rating and the TPI; (ii) a multiple-notch downgrade of the issuer; or (iii) a material reduction of the value of the cover pool. As the euro area crisis continues, the rating of covered bonds remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could negatively impact the ratings of covered bonds. Rating Methodology The principal methodology used in these ratings was "Moody's Approach to Rating Covered Bonds" published in March 2010. ========= I T A L Y ========= AEROPORTI DI ROMA: S&P Lifts Corp. Rating to 'BB+' on Refinancing ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its long-term corporate credit rating on Italian airport operator Aeroporti di Roma (AdR) to 'BB+' from 'BB'. "We also affirmed the short-term rating on the company at 'B'. At the same time, we removed the rating from CreditWatch with developing implications, where it was placed on March 2, 2012. The outlook is positive," S&P said. "We raised the rating because AdR has successfully entered into a new EUR400 million syndicated term loan, which should be sufficient to repay Tranche A1 of the debt held by its finance subsidiary Romulus Finance S.r.l., the balance of which is due in February 2013. This eliminates the liquidity pressure that had been weighing on the rating and restores our assessment under our criteria of AdR's liquidity to 'adequate' from 'less than adequate'. The upgrade is also consistent with the company's improving credit metrics," S&P said. "The rating does not incorporate the proposed changes to AdR's regulatory framework. In our opinion, if the new regulation is implemented as proposed, it could lead to a marked improvement in credit metrics compared with our current base-case scenario, and therefore support a higher rating. This is because the proposed concession agreement incorporates a clear legal framework and considerable improvement in tariffs, to some extent offset by higher capital-spending requirements. However, we do not incorporate such an improvement into our base-case scenario because, despite considerable progress within the past year, the new regulation remains subject to approval from several parties. Additionally, the rating does not incorporate the proposed sale of AdR's direct retail and car parking activities, because the amount of proceeds and the timing of disposal remain subject to market conditions," S&P said. "The positive outlook reflects the possibility of an upgrade if AdR's credit measures continue to improve, such that the adjusted ratio of funds from operations (FFO) to debt remains above 12% on a sustained basis. This could occur, for example, through approval of the proposed regulatory and tariff framework as currently outlined or additional debt repayments from proceeds of the subconcession of its direct retail and car parking services. A possible upgrade would also depend on AdR's either improving its long-term capital structure or continuing to refinance upcoming debt maturities in a timely manner, while sustaining its 'strong' business risk profile," S&P said. "We could revise the outlook to stable if we thought that the company would not sustain a ratio of adjusted FFO to debt of more than 12%. That could result, for example, from passenger numbers dropping below our current base-case scenario, possibly due to economic conditions in Italy being softer than we currently anticipate, and thus AdR might suffer weaker-than-forecast operating performance," S&P said. =========== R U S S I A =========== BARS BANK: Fitch Cuts Long-Term IDR to 'BB-'; Outlook Negative -------------------------------------------------------------- Fitch Ratings has downgraded Ak Bars Bank's (ABB) Long-term Issuer Default Rating (IDR) to 'BB-' from 'BB', and Viability Rating (VR) to 'b' from 'b+'. The Outlook on the Long-term IDR is Negative. The downgrade of ABB's Long-term IDR reflects what Fitch views as greater uncertainty about sufficient capital support being provided to the bank by the government of the Republic of Tatarstan (RT; 'BBB-'/Stable), which is disclosed as having ultimate control over the bank. The revised view reflects the limited scope of current recapitalization measures, and the reduced financial flexibility of the RT government. According to ABB's calculations, the bank's Basel I total capital adequacy ratio dropped at end-2011 to 11.8%, a level below the 12% covenanted in the bank's US$280 million Eurobond issue, due December 2012. However, Fitch calculates that the ratio could be substantially lower since the calculation reported by the bank at that date was based on insufficient amortization of the regulatory capital recognition given to short-dated subordinated debt. The regulatory capital adequacy ratio also decreased to 11.3% at end-April 2012 (from 12.1% at end-2011). In Fitch's view, ABB's capitalization is weak, given the bank's risk profile. However, there are currently only plans for some of the bank's main shareholders to contribute Tier 2 capital (subordinated debt), with no equity injections envisaged in the near term. In May 2012, RT-controlled entities provided RUB3 billion subordinated debt (which according to the bank's calculations would remedy the covenant breaches), and there are plans to replace this with a larger US$600 million (c.RUB20 billion) issue of subordinated notes, which would initially be placed with ABB's related party, Svyazinvestneftekhim ('BBB- '/Stable), but with a view to subsequently sell these on to the market. According to Fitch's estimates, this issue would improve the regulatory capital ratio to over 16% and Basel total ratio to 13%, but would not strengthen the bank's loss absorbing capital. RT's financial flexibility has reduced in recent years due to significant volumes of debt taken on to finance infrastructure spending, primarily that involved with preparation for a student sport event (Universiade), to be held in Kazan in 2013. RT's debt increased to RUB50.8 billion at end-2011 (equal to 31% of annual budget revenues), an approximately fourfold increase from end-2009. In addition, the regulatory approval of unexpected equity injections by the local budget may be quite lengthy, as it requires the consent of the local legislative body. Fitch continues to incorporate some support from the local government into ABB's ratings, given the bank's significant market share in the republic, the large amount of public sector deposits held with the bank, ABB's sizable retail deposit base, the close association of the government with the bank, and also the efforts to support ABB's regulatory capital. However, the Negative Outlook reflects the potential for the Long-term IDR to be downgraded further if the bank suffers further losses without its loss-absorbing capital being strengthened. The downgrade of the VR reflects the deterioration in ABB's capitalization and performance. In addition, the VR takes into account the bank's weak governance and asset quality, high market and credit risks and now tighter liquidity position. However, the VR is supported by access to funding from the RT government and RT-controlled companies, and limited refinancing risk. ABB reported a loss of RUB3.5 billion in its 2011 IFRS financial statements. This was partly driven by a RUB3.4 billion negative result on securities (including GDRs). However, even without these market losses the bank would have been marginally loss- making on a pre-impairment basis, reflecting significant margin compression. Market risks remain high, with investments in equities (including USD-denominated GDRs) totalling RUB12 billion (equal to 46% of ABB's core capital) at end-2011, which also leads to a short open USD position equal to 39% of core capital. These positions could have resulted in further losses in H112 given share prices and RUB weakness. Substantial investments in non-core assets, mainly comprising land plots and other real estate property, were approximately equal in size to core capital at end-2011, undermining the quality of capital and potentially also exposing the bank to further future losses. Although the headline indicators signal stabilization in ABB's asset quality (with 5.3% reported non-performing loans at end- 2011), high downside risks remain resulting from the structure of ABB's loan book. The total real estate/construction exposures accounted for at least RUB32 billion (1.2x core capital), and redemption of the majority of these loans will be possible only after the ultimate sale of the financed projects, some of which involve significant completion risks. Reported related-party lending, including to RT-controlled entities and companies controlled by ABB's management, comprised at least 26% of gross loans at end-2011 (equivalent of almost 2x equity). ABB's liquidity position has become more tightly managed, and the bank has limited capacity to withstand market turbulence. Fitch estimated that at end-Q112 ABB's available liquidity cushion was equal to about 22% customer funding, although a significant part of this represented placements by the RT government and RT- controlled companies. The bank's liquidity may come under pressured from seasonal volatility in some of the accounts, which can be particularly acute at year end, when ABB's Eurobond also matures. In addition, non-core deposits (representing funds received on auctions from state-related entities) comprised about RUB15bn at end-Q112 (about 10% of total corporate deposits). The rating actions are as follows: -- Long-term foreign currency IDR downgraded to 'BB-' from 'BB'; Outlook Negative -- Short-term foreign currency IDR affirmed at 'B' -- National Long-term rating downgraded to 'A+(rus)' from 'AA- (rus)'; Outlook Negative -- Viability Rating downgraded to 'b' from 'b+' -- Support Rating affirmed at '3' -- Senior unsecured debt downgraded to 'BB-' from 'BB' -- Senior unsecured debt National rating downgraded to 'A+(rus)' from 'AA-(rus)' CAT OIL: S&P Affirms 'BB-/B' Corp. Credit Ratings; Outlook Pos. --------------------------------------------------------------- Standard & Poor's Ratings Services revised its outlook to positive from stable on Russia-based oilfield services (OFS) company C.A.T. oil AG (CAToil). "We also affirmed our 'BB-' long- term and 'B' short-term corporate credit ratings on the company," S&P said. "At the same time, we affirmed the Russian national scale rating on CAToil at 'ruAA-'," S&P said. "The outlook revision reflects our view that CAToil should be able to show further improvement in operating performance in 2012-2013, reflecting expansion into conventional drilling rigs, which will complement its hydrofracturing and sidetracking divisions. The last six conventional rigs on order will be put into operations in the coming month. We expect the new drilling rig division to contribute about EUR40 million to EUR45 million of revenues and EUR11 million to EUR12 million of EBITDA in 2012 and twice these amounts from 2013 onward. At the same time, we expect CAToil to maintain a conservative financial policy, low leverage, and 'adequate' liquidity," S&P said. "On March 31, 2012, CAToil reported EUR60 million of EBITDA for the past 12 months. It also reported net debt of EUR56.4 million, which translates into our adjusted debt-to-EBITDA ratio of about 0.9x," S&P said. "The positive outlook reflects our expectation that CAToil will further increase operating cash flow, based on a supportive oil industry and the benefits of new conventional drilling rigs. It also factors in our assumption that the company will remain committed to maintain low debt leverage," S&P said. "An upgrade could result in the next 12 to 18 months if the company continues to adhere to its prudent financial policies, and maintains debt to EBITDA of less than 1.0x under standard industry conditions and up to a 1.5x maximum in a downturn. Before any upgrade, we would monitor CAToil's capital expenditure plans post-2012. We would also view a stronger track record with respect to bank relationships as positive," S&P said. "We might revise the outlook to stable if CAToil's operating cash flow were to decline or if its investment program and dividend policy were to become more aggressive than we anticipate, leading to less conservative leverage, for example debt to EBITDA exceeding 1.5x," S&P said. FAR EASTERN: Moody's Withdraws 'B3' Corp. Family Rating ------------------------------------------------------- Moody's Investors Service has withdrawn the B3 corporate family rating (CFR) and B3 probability of default rating (PDR) of JSC Far Eastern Generating Company, the major power and heat generator in Russia's Far East. Prior to the withdrawal, FECG's ratings carried a stable outlook. Ratings Rationale Moody's has withdrawn the ratings for its own business reasons. Moody's notes that FEGC has no debt rated by Moody's. Headquartered in the city of Khabarovsk, Khabarovsky Krai, JSC FEGC is the largest power and monopoly heat generator in the Russian Far East market. The company is part of the RAO Energy System of East Group, which is majority owned by the government- controlled RusHydro (Ba1 Stable). FEGC's 2011 revenues were RUB51.7 billion (around US$1.7 billion). OIL INSURANCE: S&P Withdraws 'B+' FC Counterparty Credit Rating -------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on JSC Oil Insurance Co by withdrawing the 'B+' foreign currency long- term counterparty credit rating and assigning its 'B+' local currency financial strength rating to NSK. The rating type was presented incorrectly in our database. The 'B+' local currency long-term issuer credit rating and 'kzBBB' Kazakhstan national scale ratings remain unchanged. RATINGS LIST Rating Withdrawn To From JSC Oil Insurance Co Foreign Currency Counterparty Credit Rating NR B+/Stable/-- New Rating To From JSC Oil Insurance Co Local Currency Financial Strength Rating B+/Stable/-- NR SEVERSTAL OAO: Moody's Upgrades CFR/PDR to 'Ba1'; Outlook Stable ---------------------------------------------------------------- Moody's Investors Service has upgraded the corporate family rating (CFR) and probability of default rating (PDR) of OAO Severstal to Ba1 from Ba2. Concurrently, Moody's has upgraded the ratings on the senior unsecured debt issued by Severstal and Steel Capital S.A. to Ba1 (with a loss-given-default assessment of LGD4, 55%) from Ba2. The outlook on the ratings is stable. Ratings Rationale "The rating action reflects continued improvement in Severstal's operating performance and financial profile, including solid profitability aided by a favorable cost profile and healthy cash flow generation, which has resulted in improved interest coverage and leverage ratios," says Steven Oman, a Moody's Senior Vice President and lead analyst for Severstal. In 2011, the company's cash flow from operations (CFO) was US$2.6 billion, almost double that of 2010, which produced US$560 million of adjusted free cash flow despite higher capital expenditure (capex). In addition, the company further reduced its adjusted gross debt/EBITDA metric to 1.7x in 2011 (2010: 1.9x), down from 3.9x in 2009. Moody's expects that Severstal will be able to maintain its current cost-competitive position on the back of a high level of vertical integration into key raw materials and complete self- sufficiency in coal and iron ore in its Russian operations. Moreover, Moody's expects Severstal's growing mining business will be one of its main contributors to the company's EBITDA going forward. The stable outlook reflects Moody's view that Severstal's financial metrics will hold up relatively well even in the currently challenging macroeconomic environment and soft global steel market. The outlook also incorporates the rating agency's expectation that the company will maintain sufficient liquidity. What Could Change the Rating Up/Down Moody's would consider upgrading Severstal's rating if the company were to continue to demonstrate a conservative financial profile, with (i) gross debt/EBITDA below 2.0x on a sustainable basis; (ii) an EBIT margin sustainably in the mid-teens in percentage terms; (iii) the ratio of (CFO-dividends)/debt consistently above 30% (all ratios using Moody's adjusted numbers); and (iv) prudent liquidity management. Negative rating pressure would occur if Severstal's Moody's- adjusted gross debt/EBITDA ratio moved above 2.5x or if its (CFO- dividends)/debt ratio declined to below 20% on a sustainable basis. A deterioration in the company's currently good liquidity position would also exert pressure on the rating. Principal Methodology The principal methodology used in rating Severstal was "Global Steel Industry", published in January 2009. Other methodologies used include "Loss Given Default for Speculative-Grade Non- Financial Companies in the U.S., Canada and EMEA", published in June 2009. Severstal is a vertically integrated global steel and steel- related mining company, with assets in Russia, the US, Ukraine, Latvia, Poland, Italy, Liberia and Brazil. Severstal is listed on the Moscow Interbank Currency Exchange (MICEX) and the company's global depository receipts are traded on the London Stock Exchange (LSE). The company is directly and indirectly controlled by CEO Mr. Alexey Mordashov, who currently holds approximately 84.6% of its share capital. In 2011, Severstal had revenue of US$15.8 billion and Moody's-adjusted EBITDA of US$3.7 billion. Severstal's crude steel production in 2011 reached 15.3 million tonnes. * KRASNODAR: Fitch Raises Long-Term Currency Ratings to 'BB+' ------------------------------------------------------------- Fitch Ratings has upgraded the Russian Krasnodar Region's Long- term foreign and local currency ratings to 'BB+' from 'BB' and affirmed the region's Short-term rating at 'B'. The agency has also upgraded the region's National Long-term rating to 'AA(rus)' from 'AA-(rus)'. The Outlooks on the Long-term ratings are Stable. The rating action also affects the region's two outstanding domestic bonds of RUB4.1 billion. The upgrade reflects the region's sound operating performance, exceptionally strong liquidity and moderate level of direct risk. The Stable Outlook reflects Fitch's expectation of a steady operating performance in 2012-2014 and the region's debt remaining at about 30% of current revenue. Fitch notes that further positive rating action would be subject to strong budgetary performance with an operating margin at about 20% in the medium term coupled with stabilization of direct risk. Growth of deficit leading to direct risk significantly above Fitch's expectations and sharp deterioration of direct risk to current balance above average maturity of the region's direct risk would be negative for the rating. Fitch expects continued stable growth of the local economy in 2012-2014, boosted by large federally supported investment programs, mostly for the 2014 Winter Olympic Games in Sochi, and the development of recreational zones. The region has a strong and well-diversified economy, which provides a broad tax base and stable tax revenue flows. Fitch forecasts the region's direct risk in relative terms to gradually decrease to about 20% of current revenue by 2014 due to a decline of financing needs, as large-scale investment projects linked to the Winter Olympics will be completed. Direct risk to current balance will also be strong, at about two years. Despite the increase of direct risk to RUB38.9 billion by end-2011 (2010: RUB19.4 billion), it remains moderate in relative terms at 31% of current revenue. Fitch forecasts that capital expenditure peaked in 2011 and will gradually decline in 2012-2013. Krasnodar region's capital expenditure amounted to RUB72.6 billion or 41% of total budgetary expenditure in 2011. Fitch expects the region to have another year of a deficit before debt variation in 2012 and a close to balanced budget starting in 2013. Krasnodar region is located in the southwest of the Russian Federation on the coast of the Black Sea and Sea of Azov. The region has a strong and well-diversified economy and is among the 10 largest Russian regions by nominal gross regional product (GRP). It is the third most populated Russian region, with 5.2 million inhabitants. ========= S P A I N ========= AYT COLATERALES: Fitch Upgrades Rating on Class D Notes to 'BBsf' ----------------------------------------------------------------- Fitch Ratings has downgraded AyT Colaterales Global Empresas (CGE) Serie Caja Navarra I's class A and B notes and removed them from Rating Watch Negative (RWN) and upgraded the class C and D notes. The downgrade of the Class A and B notes to 'BBB+sf' is due to the counterparty risk stemming from Confederacion Espanola de Cajas de Ahorros (CECA; 'BBB+'/Negative/'F2'), which acts as account bank for the transaction. The ratings initially assigned to the senior notes were based on covenants in the transaction documentation which warranted the replacement or procurement of eligible third-party guarantees upon the downgrade of the account bank below 'A'/'F1'. The Gestora has now communicated to Fitch that the remedial actions outlined in the documentation with respect to the downgrade of the account bank below 'A'/'F1' will not be implemented. The account bank risk is significant for the transaction as the notes have semi-annual payment dates, which would result in a substantial amount of principal collections as well as the reserve fund being held with CECA. As a result, Fitch has capped the rating of the notes at the account bank's rating. The Negative Outlook on the notes also reflects the linkage. The upgrade of the Class C notes to 'BBB+sf' (capped at CECA's rating) is due to good asset performance and increased credit enhancement (CE) due to portfolio deleveraging. The CE available to the class C notes is in excess of the agency's 'BBB+sf' loss expectations, but any further upgrade is constrained by CECA's rating. The upgrade of the Class D notes to 'BBsf' is due to increased credit protection and the ability of the notes to withstand the agency's rating stresses. The Stable Outlook on the notes is due to the underlying asset performance. The transaction's performance has been stable since the last review. The 90+ delinquency rate is below 2% while current defaults account for 4% of the outstanding portfolio balance. The reserve fund is currently underfunded at EUR9.5 million compared to the required amount of EUR12.4 million. Borrower concentration is steadily increasing as the portfolio deleverages, but it is covered by credit enhancement levels on the notes. AyT CGE Serie Caja Navarra I is a securitization of Spanish SME loans issued under the AyT Colaterales Global Empresas, FTA program. Serie Caja Navarra I was originated and is serviced by Caja de Ahorros y Monte de Piedad de Navarra (now Banca Civica S.A., 'BBB'/RWP/'F3'). The rating actions are as follows: -- Class A notes (ISIN ES0312214044): downgraded to 'BBB+sf' from 'AAAsf', removed from RWN; Negative Outlook -- Class B notes (ISIN ES0312214051): downgraded to 'BBB+sf' from 'Asf', removed from RWN; Negative Outlook -- Class C notes (ISIN ES0312214069): upgraded to 'BBB+sf' from 'BBB-sf'; Negative Outlook -- Class D notes (ISIN ES0312214077): upgraded to 'BBsf' from 'Bsf'; Stable Outlook BANCO FINANCIERO: S&P Lowers Rating on Preferred Shares to 'CC' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'CC' from 'CCC-' its issue rating on the preference shares issued in November 2004 by Caja Madrid Finance Preferred S.A. and currently guaranteed by Spain-based Banco Financiero y de Ahorros S.A. (BFA; B+/Watch Neg/B), parent company of Bankia S.A. (BB+/Watch Neg/B). The issue has the ISIN number ES0115373005. "This is the only preference share issue of BFA that we rate. According to the bank, this issue has a total outstanding of EUR2 million," S&P said. "The rating action follows BFA's announcement on June 1, 2012, that it will not pay dividends and coupons on a number of preference shares and undated subordinated debt issues it has outstanding, including the one preference share issue that we rate. The communication of nonpayment follows the restatement of the group's 2011 financial accounts, which led the group to report losses on an individual and consolidated basis of EUR7.3 billion and EUR3.3 billion," S&P said. "According to the terms and conditions of the preference shares we rate, the holder of this instrument is not entitled to receive a dividend payment if the amount of the prior year's distributable profits reported by the guarantor is lower than the amount of dividends to be paid. Given that the dividends are noncumulative, the right of holders to this dividend will be lost," S&P said. "As a result, at the time of next dividend payment, on June 17, 2012, holders of these preference shares will not receive any dividend payment. Given the low amount outstanding on this issue (EUR2 million), which has been subject to two exchange offers (in 2009 and in 2012), the unpaid dividend will amount, according to BFA's disclosure, to just EUR15,116," S&P said. "We expect to lower our issue rating on this instrument to 'C' once BFA effectively skips the payment on June 17, 2012," S&P said. RATINGS LIST Downgraded To From Caja Madrid Finance Preferred S.A. Preference Stock CC CCC- * SPAIN: Banks Need Urgent Recapitalization, Finance Leaders Say ---------------------------------------------------------------- Adam Ewing and Josiane Kremer at Bloomberg News report that leaders of some of the world's biggest banking and finance groups said Spain's banks need urgent aid plugged directly into their balance sheets and Europe can no longer allow itself to deploy half measures. "It must be done with full magnitude," Bloomberg quotes Christian Clausen, the president of the European Banking Federation and chief executive officer of Nordea Bank AB (NDA), as saying in an interview in Copenhagen on Thursday. Mr. Clausen, as cited by Bloomberg, said that recapitalizing Spain's banks has become the key hurdle that European policy makers need to overcome, and fixing the turmoil in the nation's financial system would calm markets. Bankers are stepping up their pleas for action as Spain's financial crisis risks engulfing the euro area's fourth-largest economy and policy makers remain divided on how best to tackle the issue, Bloomberg notes. The European Commission last month lent its support to proposals to provide a direct capital infusion to Spain's banks, a model Germany opposes in favor of aid with fiscal austerity strings attached, Bloomberg recounts. According to Bloomberg, Spain's banks are buckling under the weight of EUR184 billion (US$231 billion) in real estate loans that the Economy Ministry has characterized as "problematic." The country's lenders may need as much as EUR100 billion in support, Antonio Lopez Isturiz, a leader of the European People's Party, said on Thursday in an interview with broadcaster TVE, Bloomberg notes. Norway's Finance Minister added his voice to the request for action as the world's second-richest nation per capita after Luxembourg warns failure to act will threaten financial stability in its markets, Bloomberg relates. According to Bloomberg, Stefan Ingves, the chairman of the Basel Committee on Banking Supervision, said that Europe needs to act fast if it is to calm markets. Mr. Ingves, as cited by Bloomberg, said that recapitalizing Spain's banks should be accompanied by a restructuring of the country's financial system. Bloomberg notes that Mr. Clausen said a European banking union, a model being discussed as a way to coordinate regulation and deposit guarantees across borders, would be a "step in the right direction". =========== S W E D E N =========== DOMETIC GROUP: Moody's Downgrades Rating on PIK Notes to 'Caa2' --------------------------------------------------------------- Moody's Investors Service lowered the rating of EUR202 million PIK Notes due 2019 issued by Dometic Group AB to Caa2 from Caa1. Moody's has also assigned a B3 Corporate Family Rating (CFR) and B3 Probability of Default Rating (PDR) to Dometic Group AB ("Dometic"), the parent of Dometic Koncern AB, and has concurrently withdrawn the B1 CFR and B2 PDR from Dometic Koncern AB. The outlook for all ratings is negative. Ratings Rationale The one notch downgrade of the rating of the PIK notes to Caa2 reflects Dometic's weak operational performance combined with the high level of change and uncertainty at senior management. The transfer of the CFR and PDR to Dometic Group AB (publ) from Dometic Koncern AB stems from the fact that, against Moody's previous expectations, consolidated audited financial statements will only be reported at the level of Dometic Group AB (publ). The inclusion of PIK debt into Dometic's CFR (previously excluded from Moody's calculations) mechanically increases the debt and leverage under consideration. The two notch change in CFR from B1 to B3 reflects both this additional debt burden and Moody's concerns over Dometic's operational issues. Moody's only rates the PIK debt in Dometic's structure, which is ring-fenced from the bank debt borrowing group within the re- positioned CFR. Dometic's performance deteriorated in the second half of 2011, in part reflecting a weaker macroeconomic environment and consumer confidence in Europe. As a result the company failed to deleverage during 2011, contrary to Moody's expectation. Moody's estimates that adjusted leverage based on unaudited pro forma results for the 12 months ending December 31, 2011 was 7.2x (including PIK debt) or 5.6x (excluding PIK debt). The rating agency notes that 2011 results were unfavorably affected by foreign currency fluctuations. Additionally, numbers are impacted by various adjustments, some of which may be non-recurring, primarily related to the sale of the group to EQT in May 2011 as well as restructuring expenses. Since the beginning of 2012 the company's CEO and the CFO have each announced their resignation. Furthermore, this is the second change in CFO since the sale of the company to EQT in May 2011. Dometic is still searching for a new permanent CEO and the new CFO will start in August. This high level of change and uncertainty at senior management places additional pressure on a company with high leverage to navigate through challenging times. At December 2011, Dometic reported SEK762 million of cash on its balance sheet. Moreover the company has SEK357 and SEK147 million undrawn under the SEK600 million revolving credit facility (RCF) and SEK300 million Capital Expenditure facility, respectively. The negative outlook reflects the increasing pressure on covenant headroom from December 2011. Moody's expects this covenant pressure to increase given ratcheting covenant levels, combined with its view that operational performance is unlikely to improve in 2012. The ratings outlook could stabilize through a combination of improving liquidity (including covenant headroom) through improved operational performance, combined with stability at the senior managerial level. Conversely, the ratings could be downgraded if Dometic's total leverage (Including the PIK debt) fails to fall below 7x in 2012, or if liquidity (including covenant headroom) deteriorates further, or if there is further uncertainty and change at senior management. The methodologies used in these ratings were Global Manufacturing Industry published in December 2010, and Loss Given Default for Speculative-Grade Non-Financial Companies in the U.S., Canada and EMEA published in June 2009. Headquartered in Sweden, Dometic is a leading manufacturer of leisure products for the caravan, motor home, automotive, truck, hotel and marine markets in almost 100 countries. The company operates 21 production facilities in 8 countries and sells its products under Dometic, Waeco, Marine Air Systems, Condaria, Cruisair and Sealand brands. Europe and the U.S. are the company's key geographies, accounting for 87% of revenue for the year ended December 31, 2011. The company's largest segment is recreational vehicles, accounting for 55% of 2011 revenue. The company generated SEK7,941 million pro forma for 12 months ended December 31, 2011. =========================== U N I T E D K I N G D O M =========================== BATTERSEA POWER: Malaysian Consortium Named Preferred Bidder ------------------------------------------------------------ Graham Ruddick at The Telegraph reports that a consortium backed by the Malaysian government has been named as the preferred bidder for Battersea power station in a GBP400 million deal that could save the historic structure. Property developers SP Setia and Sime Darby have entered exclusive talks to buy the building, the Telegraph discloses. Both companies are backed by the Malaysian sovereign wealth fund Permodalan Nasional Berhad, the Telegraph notes. The Malaysian consortium, which is being advised by Deutsche Bank fund manager RREEF, is understood to have significantly outbid Chelsea, the Telegraph says. According to the Telegraph, it is planning to press ahead with the GBP5.5 billion and 3,400-home development that was proposed by the previous owners. The consortium now has 28 days to conduct due diligence and agree the final terms of the deal, the Telegraph states. The site was placed into administration last year with Ernst & Young after Lloyds Banking Group and Ireland's National Asset Management Agency called in debt against the struggling Irish developer, Real Estate Opportunities, which controlled the power station, the Telegraph recounts. Battersea Power Station, with four 350-foot-high smokestacks, is Europe's largest brick building. BLUESTONE SECURITIES: S&P Affirms 'B-' Ratings on 4 Note Classes ---------------------------------------------------------------- Standard & Poor's Ratings Services took various credit rating actions in Bluestone Securities PLC's series 2005-1, 2006-1, and 2007-1. "Bluestone Securities' series 2005-1, 2006-1, and 2007-1 are backed by mortgage pools of nonconforming first-ranking residential mortgages in England, Wales, and Scotland. The loans were originated by Platform Funding Ltd. in series 2005-1, by Beacon Homeloans Ltd. and Amber Homeloans Ltd. in series 2006-1, and by Beacon Homeloans in series 2007-1," S&P said. "On Dec. 12, 2011, we placed on CreditWatch negative for criteria reasons our ratings on all of the notes in these transactions (excluding the series 2006-1 class D and E notes, and the series 2007-1 class Da and Db), following the application of our 2011 U.K. residential mortgage-backed securities (RMBS) criteria. Additionally, on Feb. 7, 2012, we placed on CreditWatch negative for counterparty reasons our ratings on the series 2005-1's class A and B notes, series 2006-1's class A1 and A2 notes, and series 2007-1's class A2 and Az notes, following our Nov. 29, 2011 downgrade of Barclays Bank PLC (A+/Stable/A-1)--a counterparty in each of the three transactions," S&P said. "The rating actions resolve these CreditWatch negative placements. They are based on the application of our 2011 U.K. RMBS criteria using the latest data we have received (dated March 2012). Additionally, we have applied our 2010 counterparty criteria, given our downgrade of Barclays Bank," S&P said. "Our credit analysis results under these criteria show an increase in the weighted-average loss severity (WALS) at each rating level. The change in the WALS is mainly due to the application of our market value decline assumptions, and has resulted in an increase in the required credit coverage at each rating level for each transaction," S&P said. "Under our 2011 U.K. RMBS criteria, we model varying recession timings, with the furthest recession timing starting at the end of the third year. Our scenario in which the recession starts in month 37 is the most stressful in our analysis. The results from this scenario are the main factor in our rating decisions for each transaction," S&P said. BLUESTONE SECURITIES' SERIES 2005-1 "Credit enhancement in this transaction continues to increase, due to deleveraging and a fully funded and nonamortizing reserve fund. The transaction is currently paying pro rata (all tranches repaying at the same time, according to their proportion of the total balance), as the pro rata conditions in the transaction documents have been met. Severe arrears, at 8.5%, have decreased from 15.7% since we reviewed the transaction in June 2011," S&P said. "Based on the outcome of our cash flow model, we have affirmed and removed from CreditWatch negative our 'BBB (sf)' and 'BB (sf)' ratings on the class C and D notes," S&P said. "After the application of our 2011 U.K. RMBS criteria, the class A and B notes pass our cash flow scenarios at higher rating levels than those currently assigned. However, we do not consider the bank account documentation to be in line with our 2010 counterparty criteria. Consequently, the highest rating that these notes can achieve is equal to our issuer credit rating (ICR) on the bank account and guaranteed investment contract (GIC) provider--in this instance, Barclays Bank. As such, we have lowered to 'A+ (sf)' from 'AA- (sf)' and removed from CreditWatch negative our ratings on these classes of notes," S&P said. BLUESTONE SECURITIES' SERIES 2006-1 "Credit enhancement in this transaction continues to increase, due to deleveraging and a fully funded and nonamortizing reserve fund. The transaction is currently paying sequentially (one tranche repaying at a time, starting with the most senior), as the pro rata conditions in the transaction documents have not been met. Severe arrears, at 17.6%, have remained relatively stable since we reviewed the transaction in June 2011," S&P said. "Based on the outcome of our cash flow model, we have raised to 'A (sf)' from 'BBB (sf)' and to 'BB (sf)' from 'B (sf)' and removed from CreditWatch negative our ratings on the class B and C notes, respectively, and affirmed our 'B- (sf)' ratings on the class D and E notes," S&P said. "After the application of our 2011 U.K. RMBS criteria, the class A1 and A2 notes pass our cash flow scenarios at higher rating levels than those currently assigned. However, we do not consider the bank account documentation to be in line with our 2010 counterparty criteria. Consequently, the highest rating that these notes can achieve is equal to our ICR on the bank account and GIC provider--in this instance, Barclays Bank. As such, we have lowered to 'A+ (sf)' from 'AA- (sf)' and removed from CreditWatch negative our ratings on these classes of notes," S&P said. BLUESTONE SECURITIES' SERIES 2007-1 "Credit enhancement in this transaction continues to increase, due to deleveraging and a fully funded and nonamortizing reserve fund. The transaction is currently paying sequentially, as the pro rata conditions in the transaction documents have not been met (aggregate losses, at 2.2%, have breached 1.5% documented trigger after which sequential payments become permanent). Severe arrears (90 or more days), at 18.15%, have remained relatively stable since we reviewed the transaction in June 2011," S&P said. "Based on the outcome of our cash flow model, we have raised to 'A (sf)' from 'BBB (sf)' and removed from CreditWatch negative our rating on the class B notes, lowered to 'B (sf)' from 'BB (sf)' and removed from CreditWatch negative our rating on the class C notes, and affirmed our 'B- (sf)' ratings on the class Da and Db notes," S&P said. "After the application of our 2011 U.K. RMBS criteria, the class A2 and Az notes pass our cash flow scenarios at higher rating levels than those currently assigned. However, we do not consider the bank account documentation to be in line with our 2010 counterparty criteria. Consequently, the highest rating that these notes can achieve is equal to our ICR on the bank account and GIC provider--in this instance, Barclays Bank. As such we have lowered to 'A+ (sf)' from 'AA- (sf)' and removed from CreditWatch negative our ratings on these classes of notes," S&P said. CREDIT STABILITY "We also consider credit stability in our analysis, to determine whether an issuer or security has a high likelihood of experiencing adverse changes in its pool's credit quality under moderate stress conditions. The scenarios that we considered did not result in our ratings deteriorating below the maximum projected deterioration that we would associate with each relevant rating level, as outlined in our 2010 credit stability criteria," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From BLUESTONE SECURITIES PLC (SERIES 2005-01) GBP108.05 Million Mortgage-Backed Floating-Rate Notes Series 2005-01 Ratings Lowered and Removed From CreditWatch Negative A A+ (sf) AA- (sf)/Watch Neg B A+ (sf) AA- (sf)/Watch Neg Ratings Affirmed and Removed From CreditWatch Negative C BBB (sf) BBB (sf)/Watch Neg D BB (sf) BB (sf)/Watch Neg BLUESTONE SECURITIES PLC (SERIES 2006-01) EUR164.6 Million and GBP109.98 Million Mortgage-Backed Floating-Rate Notes Series 2006-01 Ratings Lowered and Removed From CreditWatch Negative A1 A+ (sf) AA- (sf)/Watch Neg A2 A+ (sf) AA- (sf)/Watch Neg Ratings Raised and Removed From CreditWatch Negative B A (sf) BBB (sf)/Watch Neg C BB (sf) B (sf)/Watch Neg Ratings Affirmed D B- (sf) E B- (sf) BLUESTONE SECURITIES PLC (SERIES 2007-01) GBP405.58 Million and EUR80.00 Million Mortgage-Backed Floating-Rate Notes Series 2007-01 Ratings Lowered and Removed From CreditWatch Negative A2 A+ (sf) AA- (sf)/Watch Neg Az A+ (sf) AA- (sf)/Watch Neg C B (sf) BB (sf)/Watch Neg Rating Raised and Removed From CreditWatch Negative B A (sf) BBB (sf)/Watch Neg Ratings Affirmed Da B- (sf) Db B- (sf) CLINTON CARDS: Lakeshore Buys 400 Stores; 4,500 Jobs Saved ---------------------------------------------------------- BBC News reports that nearly 400 Clinton Cards stores have been sold to a US greeting card company, saving 4,500 jobs. BBC relates that administrators Zolfo Cooper said Lakeshore Lending Limited, a subsidiary of card maker American Greetings, has bought the Clinton Cards brand and assets. Clinton Cards was placed into administration on May 9, BBC recounts. A week later, Zolfo Cooper announced that 350 out of a total of 784 stores would close, including all of its Birthdays- branded stores, BBC notes. According to BBC, the administrators said that the closures were expected to lead to the loss of 3,000 full or part-time jobs. American Greetings, BBC says, used US$37 million of this secured debt to bid for Clinton's remaining assets that Zolfo Cooper is trying to sell, in what is called a "credit bid". American Greetings is hoping that the remaining US$19 million it is owed by Clinton's will be repaid once Zolfo has completed the liquidation process, BBC discloses. This could take six to 12 months, the report notes. "The unsecured creditors are unlikely to get anything from the liquidation," BBC quotes Patrick O'Brien, retail analyst with Verdict Research as saying. Clinton Cards is a UK card retailer. EDWARDS HOLDCO: S&P Affirms 'B+' Corporate Credit Rating -------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'B+' long-term corporate credit rating on U.K.-based Edwards Holdco Ltd. and subsequently withdrew the rating. The outlook was stable before the withdrawal. "At the same time, we have assigned a 'B+' long-term corporate credit rating to Edwards Group Ltd., the group's new holding company. The outlook is stable," S&P said. "We have also affirmed all issue ratings on the group's outstanding debt. The recovery ratings are unchanged," S&P said. "The rating actions follow the flotation of the group's new holding company, Edwards Group Ltd., in May 2012. We anticipate a moderate improvement in the group's credit metrics from the proceeds of the IPO, which is likely to be more than offset, however, by weaker revenue and margins trends over the coming quarters in our base-case assessment," S&P said. "Pro forma the application of GBP54 million of net proceeds from the IPO for debt reduction, the group's gross debt-to-EBITDA ratio, after our adjustments, stood at about 3.0x as of March 31, 2012. In our base-case scenario, we estimate a moderate revenue decline of about 7% in 2012 and a reported EBITDA margin of 18% (after restructuring costs), down from 20% in 2011. As a result, we anticipate that leverage will likely increase to about 3.5x- 4.0x by year-end 2012, in line with our assumption of lower EBITDA," S&P said. "The revenue decline in our base case stems primarily from a significant cyclical slowdown of revenues in Edwards' Emerging Technologies segment in 2012, following the strong investment activity of Edwards' customers over the past two years. The segment's sales dropped by 73.5% year on year in the first quarter of 2012, and we consequently expect significantly lower revenues for this segment for the full year 2012. Nevertheless, we forecast modest revenue growth in the Semiconductor segment and relatively stable demand for Edwards' Services and General Vacuum segments in 2012, the latter of which is more correlated to GDP growth. In our view, lower restructuring costs and the benefits of substantial streamlining over the past two years could partly compensate for lower gross profits," S&P said. "We understand that following the IPO, Edwards' private equity sponsors hold about 84% of the company's common equity," S&P said. "The rating on Edwards continues to reflect our assessment of the group's business risk profile as 'weak' and its financial risk profile as 'aggressive'," S&P said. "Our business risk profile assessment remains constrained by the group's vulnerability to the highly cyclical semiconductor equipment industry, intense competitive pressure, and technology risks inherent to the high-precision manufacturing industry. These constraints are partly offset by the group's leading positions in global markets, significant intellectual property, and broad product portfolio," S&P said. "The financial risk profile is primarily constrained by the group's still high gross debt and volatile credit measures, owing to fluctuating revenues and margins. These weaknesses are partly offset, in our view, by Edwards' long-term capital structure, with no meaningful debt amortizations until 2016, and our expectation of moderately positive free cash flow generation in 2012," S&P said. "The stable outlook reflects our view that Edwards will generate modestly positive FOCF over the next 12 months, supported by a reduction in working capital requirements due to an anticipated revenue decline. It also reflects our expectation that Edwards' adjusted gross debt-to-EBITDA ratio is likely to remain between 3x and 4x," S&P said. "A higher rating could be supported by a track record of maintaining a conservative financial policy, including an adjusted gross debt-to-EBITDA ratio of less than 3x and generation of meaningful positive free operating cash flow (FOCF) through the cycle. A more diverse revenue mix and less volatile margins would also likely support ratings upside," S&P said. "Although we don't currently expect it, ratings downside could materialize if Edwards' credit measures or liquidity were to deteriorate significantly from their current levels. Such a scenario could result from large shareholder distributions, a substantial industry downturn, or sizable acquisitions beyond its existing footprint of products and services. In particular, we would view negative FOCF generation of more than GBP30 million on a 12-month basis as incommensurate with the current rating," S&P said. EUROMASTR 2007-IV: S&P Affirms 'B-' Rating on Class E Notes ----------------------------------------------------------- Standard & Poor's Ratings Services lowered and removed from CreditWatch negative its credit ratings on the class A2 and B notes in EuroMASTR PLC's series 2007-1V. "At the same time, we affirmed and removed from CreditWatch negative our ratings on the class C and D notes, and affirmed our rating on the class E notes," S&P said. "The rating actions follow our credit and cash flow analysis of the most recent transaction information that we have received for the transaction (as of March 2012). Our analysis reflects the application of our U.K. RMBS criteria and 2012 counterparty criteria," S&P said. "On Dec. 12, 2011, we placed on CreditWatch negative our ratings on the class A2, B, C, and D notes following the publication of our U.K. RMBS criteria," S&P said. CREDIT AND CASH FLOW ANALYSIS "Credit enhancement for the class A2, B, C, and D notes has increased since closing due to the deleveraging of the pool; although, the credit enhancement for the class E notes has decreased slightly because the reserve fund has been drawn. The transaction is currently paying sequentially, as the documented pro rata triggers have not yet been satisfied; (one of which refers to the reserve fund which is not currently at its required amount)," S&P said. "Severe arrears (90-plus days) have remained relatively stable since we previously reviewed the transaction (May 2011), albeit among the highest level of comparable deals. We expect severe arrears to remain at their current levels, or increase, due to the downside risks for nonconforming borrowers. These risks include inflation, weak economic growth, high unemployment, and fiscal tightening," S&P said. "In our analysis, our updated credit adjustments when applying the U.K. RMBS criteria lead to a higher weighted-average foreclosure frequency and a higher weighted-average loss severity. Overall, these factors lead to an increase in the required credit enhancement at each rating level, according to our U.K. RMBS criteria," S&P said. "We have affirmed and removed from CreditWatch negative our 'BBB (sf)' rating on the class C notes and our 'B (sf)' rating on the class D notes. This is because credit enhancement has risen sufficiently to mitigate the increase in required credit coverage at their current rating levels," S&P said. "We have affirmed our 'B- (sf)' rating on the class E notes, as we do not expect them to default within a year," S&P said. Counterparties "The liquidity facility documentation and the language in the swap documentation do not comply with our 2012 counterparty criteria," S&P said. "We analyzed the transaction both with and without the benefit of the liquidity facility provider. In situations where the notes require the benefit of the facility, we capped the ratings on those notes at the issuer credit rating on Danske Bank (A- /Stable/A-2), the liquidity facility provider in this transaction," S&P said. "We have lowered to 'A- (sf)' and removed from CreditWatch negative our ratings on the class A2 and B notes. These notes are capped at this rating level due to the non-compliance of the liquidity facility documentation," S&P said. Credit Stability "According to our credit stability analysis, the maximum projected deterioration we would expect at each rating level for time horizons of one and three years, under moderate stress conditions, are in line with our credit stability criteria," S&P said. EuroMASTR 2007-1 is backed by nonconforming U.K. residential mortgages originated by Victoria Mortgage Funding Ltd. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating Rating To From EuroMASTR PLC GBP200.75 Million Mortgage-Backed Floating-Rate Notes Series 2007-1V Ratings Lowered and Removed From CreditWatch Negative A2 A- (sf) A (sf)/Watch Neg B A- (sf) A (sf)/Watch Neg Ratings Affirmed and Removed From CreditWatch Negative C BBB (sf) BBB (sf)/Watch Neg D B (sf) B (sf)/Watch Neg Rating Affirmed E B- (sf) B- (sf) EUROMAX III: S&P Lowers Rating on Class B Notes to 'CCC-' --------------------------------------------------------- Standard & Poor's Ratings Services lowered and removed from CreditWatch negative its credit ratings on EUROMAX III MBS Ltd.'s class A-1, A-2, and B notes. "The rating actions follow our assessment of the transaction's performance. We used data from the trustee report (dated April 10, 2012), our cash flow analysis, and took into account recent transaction developments. We applied our 2010 counterparty criteria, our cash flow criteria, and our CDO of ABS criteria," S&P said. "On March 19, 2012, we placed on CreditWatch negative our ratings on the class A-1, A-2, and B notes, following the application of our criteria for CDOs of asset-backed securities (ABS)," S&P said. "From our analysis, we have observed that the class B par coverage test is currently above its trigger level, and that the portfolio credit quality has deteriorated since our previous review of the transaction. We also observed an increase in the proportion of defaulted assets (rated 'CC', 'C', 'SD' [selective default], or 'D') since our previous review," S&P said. "We have subjected the capital structure to our cash flow analysis, based on the updated methodology and assumptions as outlined by our CDO of ABS criteria to determine the break-even default rate (BDR). We used the reported portfolio balance that we considered to be performing (rated 'CCC' or above), the principal cash balance, the current weighted-average spread, and the weighted-average recovery rates that we considered to be appropriate. We incorporated various cash flow stress scenarios using various default patterns, levels, and timings for each liability rating category, in conjunction with different interest rate stress scenarios," S&P said. "At the same time, we conducted a credit analysis, based on our updated assumptions, to determine the scenario default rate (SDR) at each rating level, which we then compared with its respective BDR. Following the application of our CDO of ABS criteria, the scenario default rates at each rating level significantly increased. The assumed weighted-average recoveries at each rating category simultaneously significantly dropped," S&P said. "Taking into account our credit and cash flow analyses, we consider the credit enhancement available to class A-1, A-2 and B notes in this transaction to be commensurate with lower ratings than we previously assigned. As a result of these developments, we have lowered and removed from CreditWatch negative our ratings on these classes of notes," S&P said. "We have analyzed the counterparties' exposure to the transaction and we have concluded that the ratings on the counterparties are sufficient to support the assigned rating on all of the classes of notes," S&P said. EUROMAX III MBS Ltd. is a cash flow mezzanine structured finance collateralized debt obligation (CDO) of a portfolio that consists predominantly of mortgage-backed securities. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From EUROMAX III MBS Ltd. EUR195.24 Million Asset-Backed Floating-Rate Notes Ratings Lowered and Removed From CreditWatch Negative A-1 BB+ (sf) A- (sf)/Watch Neg A-2 B (sf) BBB- (sf)/Watch Neg B CCC- (sf) B (sf)/Watch Neg FIRST FLEXIBLE: S&P Lowers Rating on 2 Note Classes to 'BB-' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered to 'BB- (sf)' from 'A (sf)' its credit ratings on First Flexible No. 6 PLC's class M notes. "We also affirmed and removed from CreditWatch negative our 'AA- (sf)' ratings on the class A notes," S&P said. "These rating actions follow the application of our 2011 U.K. residential mortgage-backed securities (RMBS) criteria," S&P said. "First Flexible No. 6 is a U.K. RMBS transaction with collateral consisting of a pool of first-ranking mortgages over freehold and leasehold buy-to-let (98.67%) and owner-occupied properties located in the U.K. In our opinion, the collateral pool has exhibited stable performance, with total arrears currently at 0.22% (or 0.77% including loans with receiver of rents in place) as of the most recent investor report for February 2012. Cumulative losses are also low and currently stand at 0.14%," S&P said. "The build-up of credit enhancement, however, has been limited due to the high percentage of interest-only loans (93.26%) and the low interest and prepayment rate environment for buy-to-let mortgages in the U.K. This has led to slower deleveraging of the First Flexible No. 6 collateral," S&P said. "Our credit and cash flow analysis of the transaction incorporates our updated U.K. RMBS criteria. In this transaction, our updated credit adjustments give rise to a higher weighted- average foreclosure frequency and a higher weighted-average loss severity--leading to an overall increase in the required credit enhancement," S&P said. "The class M notes, however, are not able to pass our updated cash flow stresses at their current rating levels. The reserve fund is amortizing and is not available to cure principal losses throughout the life of the deal, but rather only at the final interest payment date. There is insufficient excess spread to mitigate the increase in required credit enhancement under our U.K. RMBS criteria," S&P said. "The affirmation of the class A notes reflects sufficient credit enhancement to offset the increase in required credit enhancement. The class A notes were able to pass our updated cash flow stresses at higher ratings. However, as we do not view the currency swap documentation to be in line with our current counterparty criteria, the ratings on the transaction are capped by the issuer credit rating on J.P. Morgan Chase Bank N.A. (A+/Negative/A-1), plus one notch. After having breached its documented trigger of 'A-1+', after the downgrade of J.P. Morgan in November 2011, we have received confirmation from Paragon Finance PLC that collateral is being posted on this swap," S&P said. "Our credit stability analysis indicates that the maximum projected deterioration that we would expect at each rating level for time horizons of one year and three years under moderate stress conditions, are in line with our credit stability criteria," S&P said. First Flexible No. 6 is a U.K. RMBS transaction that securitizes buy-to-let mortgages originated by Mortgages Trust Ltd. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST First Flexible No. 6 PLC EUR215 Million, GBP310 Million, US$75 Million Mortgage-Backed Floating-Rate Notes Class Rating To From RATINGS LOWERED M1 BB- (sf) A (sf) M2 BB- (sf) A (sf) RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE A1 AA- (sf) AA- (sf)/Watch Neg A2 AA- (sf) AA- (sf)/Watch Neg A3 AA- (sf) AA- (sf)/Watch Neg FIRST FLEXIBLE: S&P Lowers Ratings on Two Note Classes to 'B-' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class B and C notes issued by First Flexible (No. 7) PLC to 'B- (sf)' from 'AA (sf)' and 'A (sf)', respectively. "At the same time, we affirmed our 'AAA (sf)' rating on First Flexible (No. 7)'s class A notes. In addition, we removed all the ratings from CreditWatch negative, where we placed them on Dec. 12, 2011," S&P said. "The rating actions follow the application of our 2011 U.K. residential mortgage-backed securities (RMBS) criteria to First Flexible (No. 7). Our updated credit adjustments give rise to a higher weighted-average foreclosure frequency and a higher weighted-average loss severity. This leads to an overall increase in the required credit enhancement," S&P said. "The lowering of our ratings on the class B and C notes reflects that the notes are not able to pass our updated cash flow stresses at their previous rating levels. This is due to the insufficient credit enhancement levels for these notes, which are unable to meet the minimum required credit enhancement levels stipulated by our new criteria. Furthermore, 75% of the collateral pool consists of standard variable rate loans, for which we assume a zero margin under our criteria," S&P said. "The affirmation of our rating on the class A notes reflects sufficient credit enhancement to offset the increase in required credit enhancement. Additionally, this class of notes benefits from more support than the class B and C subordinated notes because principal can be used to pay interest on the class A notes," S&P said. "In our opinion, the collateral pool has exhibited stable performance recently, with 90+ day delinquencies currently at 5.24%, according to the most recent investor report for March 2012. Cumulative losses currently stand at 0.01%," S&P said. "Our credit stability analysis indicates that the maximum projected deterioration that we would expect at each rating level for time horizons of one year and three years under moderate stress conditions, are in line with our credit stability criteria," S&P said. First Flexible (No. 7) is a U.K. RMBS transaction that securitizes mortgages originated by Mortgages Trust Ltd. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From First Flexible (No. 7) PLC GBP268.6 Million Mortgage-Backed Floating-Rate Notes Ratings Lowered and Removed From CreditWatch Negative B B- (sf) AA (sf)/Watch Neg C B- (sf) A (sf)/Watch Neg Rating Affirmed and Removed From CreditWatch Negative A AAA (sf) AAA (sf)/Watch Neg FITT SIGNS: Bought Out Administration in "Pre-Pack" Deal -------------------------------------------------------- Annabelle Dickson at EDP24 reports that Fitt Signs and Graphics has been bought out of administration by its directors in a so-called "pre-pack" deal. Seventeen jobs at the Pitt Street sign company -- incorporated as Fitt Signs Limited -- are thought to have been saved. The company's assets and business were bought for GBP33,400 -- which will be paid in installments over a 12-month period and the new company, which is trading as normal, is called FSG Signs and Graphics Ltd., EDP24 relates. In total, there are about 22 unsecured creditors owed about GBP336,000, including a GBP162,954 tax bill and GBP83,000 VAT bill, EDP24 discloses. But administrators said unsecured creditors, including HMRC, are unlikely to get their money back, EDP24 notes. The company appointed administrators on May 11, EDP24 says, citing public documents at Companies House. The moves comes after the company struck a five-year company voluntary arrangement (CVA) deal with its creditors in 2005 after suffering losses, EDP24 states. Administrator Andy Pear, of London-based insolvency practitioners BM Advisory, said that the company had been forced into administration as a result of bad debts, EDP24 relates. Fitt Signs and Graphics is a Norwich-based sign making business. FORTELUS: Opts to Liquidate Part of Flagship Fund ------------------------------------------------- Sam Jones at The Financial Times reports that Fortelus, the London-based hedge fund that made millions for clients by correctly timing the collapsing share prices of the UK's banks in 2008, is liquidating part of its flagship fund following investor pressure. In a letter sent to clients on Thursday, a copy of which was seen by the Financial Times, Fortelus said it was splitting its US$1 billion main fund into ongoing and liquidating share classes in order to meet redemption requests, the FT relates. The FT notes that while the Fortelus portfolio has performed moderately well this year, and is up 1.4%, the manager has been bloodied by a number of missteps in recent months, including a US$90 million investment in Arcapita, a sharia-compliant Bahrain- based bank which filed for bankruptcy in March. According to the FT, Tim Babich, Fortelus founder and chief executive, said in the client letter, that all the fund's investors are being offered a "one-time" option to elect to redeem their investments ahead of an extraordinary meeting to be held on June 25. Investors who do so will receive 75% of their holdings this year, the FT discloses. The remaining 25% will be allocated to them from a portfolio of "not readily realizable" holdings which will be sold over time, the FT notes. Those who elect to remain in Fortelus' funds will also see a quarter of their holdings transferred into the liquidating portfolio, the FT says. PARAGON SECURED: S&P Downgrades Rating on Class C Notes to 'B' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered and removed from CreditWatch negative its ratings on Paragon Secured Finance (No. 1) PLC's class A, B, and C residential mortgage-backed securities (RMBS) notes. "On Dec. 12, 2011, we placed on CreditWatch negative our ratings on all classes of notes in the transaction following the application of our 2011 U.K. RMBS criteria," S&P said. "The rating actions follow our credit and cash flow analysis of the most recent transaction information that we have received (February 2012). Our analysis reflects the application of our December 2011 U.K. RMBS criteria," S&P said. CREDIT AND CASH FLOW ANALYSIS "The available credit enhancement for all classes of notes has more than doubled since closing, due to the deleveraging of the pool. The transaction is currently paying pro rata, as all of the documented pro rata triggers have been satisfied, although the 90+ day arrears documented trigger of 10.00% is currently 0.15% from being breached. We have considered the possibility of the transaction paying sequentially, taking into account long-term trends in the 90+ day arrears bucket, and we incorporated this in our cash flow analysis. The reserve fund remains fully funded and the transaction is generating excess spread," S&P said. "Delinquencies of 90+ days have increased slightly since our last review, to 9.85% from 9.15%. Overall delinquencies remain slightly above the level of those that we have observed in transactions with a similarly large proportion of second-lien loans, but low compared with our nonconforming U.K. RMBS index. The transaction writes off 360+ day delinquencies, reducing the level of severe arrears," S&P said. "In our analysis, our updated credit adjustments have led to a higher weighted-average foreclosure frequency due to the lack of seasoning credit given to the loans in the pool that are less than 60 months seasoned. They have also led to a higher weighted- average loss severity due to an increase in our market value decline assumptions. This is particularly notable in this transaction, given that the majority of the pool comprises second-lien mortgages. Overall, these factors have led to an increase in the required credit enhancement at each rating level, as per our U.K. RMBS criteria," S&P said. COUNTERPARTY CRITERIA APPLICATION "We consider that there is collection account risk in the transaction due to the lack of replacement language in the documentation, and the documentation thus not being compliant with our 2012 counterparty criteria. For this reason, we have applied a credit loss for those classes of notes that we rate above the level of the issuer credit rating on the collection account provider (National Westminster Bank PLC [NatWest]; A/Stable/A-1)," S&P said. CREDIT STABILITY "According to our credit stability analysis, the maximum projected deterioration we would expect at each rating level for time horizons of one year and three years, under moderate stress conditions, is in line with our credit stability criteria," S&P said. RATING ACTIONS "We have lowered to 'AA+ (sf)' and removed from CreditWatch negative our rating on the class A notes following our cash flow analysis and the application of our 2012 counterparty criteria. The level of credit enhancement for this class of notes has not increased sufficiently to mitigate the increase in required credit coverage at the current rating level," S&P said. "We have also lowered and removed from CreditWatch negative our ratings on the class B and C notes. As above, the level of credit enhancement on these notes has increased, although not to a sufficient degree to offset the increase in the required credit coverage. This increase in credit coverage is driven largely by a significant increase in the weighted-average loss severity due to the volume of second-lien loans in the pool," S&P said. Paragon Secured Finance (No. 1) is backed by a pool of second- ranking U.K. mortgages. Paragon Personal Finance Ltd. originated the collateral. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From Paragon Secured Finance (No. 1) PLC GBP300 Million Asset-Backed Floating-Rate Notes Ratings Lowered and Removed From CreditWatch Negative A AA+ (sf) AAA (sf)/Watch Neg B BBB- (sf) A (sf)/Watch Neg C B (sf) BBB- (sf)/Watch Neg RANGERS FOOTBALL: Charles Green Won't Sell Ibrox & Murray Park -------------------------------------------------------------- The Telegraph reports that the Rangers Fans Fighting Fund said Charles Green's plans for Rangers do not include the sale and leaseback of Ibrox and Murray Park. The former Sheffield United chief executive's prospective ownership consortium has pledged GBP8.5 million for creditors who will be able to vote on a Company Voluntary Arrangement (CVA) next week, the Telegraph discloses. According to the Telegraph, representatives of the RFFF had a three-hour meeting with Green at Ibrox on Wednesday, where a wide range of issues concerning the consortium's proposal were discussed. One newspaper report on Thursday claimed Mr. Green's consortium were prepared to consider all options to protect their investment -- including sale and leaseback of the club's Govan stadium and training complex in Auchenhowie, the Telegraph notes. Yahoo!Eurosport reports that Rangers director Dave King is urging creditors to reject Mr. Green's company voluntary arrangement when they meet on June 14. Mr. King has also called on the club's supporters not to renew their season tickets until Mr. Green's consortium details its plans, Yahoo!Eurosport reports relates. Mr. King argues that the CVA should be rejected by creditors because, in his view, Mr. Green's consortium has not provided enough information about how it would fund the acquisition of the club or invest in it in the future, Yahoo!Eurosport discloses. About Rangers Football Club Rangers Football Club PLC -- http://www.rangers.premiumtv.co.uk/ -- is a United Kingdom-based company engaged in the operation of a professional football club. The Company has launched its own Internet television station, RANGERSTV.tv. The station combines the use of Internet television programming alongside traditional Web-based services. Services offered include the streaming of home matches and on-demand streaming of domestic and European games, which include dedicated pre-match, half-time and post- match commentary. The Company will produce dedicated news magazine and feature programs, while the fans can also access a library of classic European, Old Firm and Scottish Premier League (SPL) action. Its own dedicated television studio at Ibrox provides onsite production, editing and encoding facilities to produce content for distribution on all media platforms. RANGERS FOOTBALL: HMRC Lines Up Liquidators if CVA Fails -------------------------------------------------------- Mike Farrell at STV News reports that HM Revenue and Customs have arranged for liquidators to be appointed at Rangers should administrators fail to rescue the club. It was revealed on Thursday that the tax authorities agreed the plan with current administrators Duff and Phelps, STV relates. Insolvency firm BDO have been lined up by HMRC should the current attempts to get the Ibrox club out of administration fail and they are put into liquidation, STV discloses. On Thursday the administrators released the proposals approved by creditors, which originally asked them to rubber-stamp the appointment of Duff and Phelps as liquidators of Rangers should a proposed company voluntary arrangement (CVA) fail, STV recounts. The result of the creditors vote in April has also given the administrators power to "conclude a sale of the whole, or part of the business, property or assets of the company" without needing creditors permission, should the proposed CVA be successful, STV notes. Now, should the CVA proposal funded by an GBP8.5 million loan from the Sevco consortium led by Charles Green fail to receive the backing of creditors, the neutral insolvency firm would be called in, STV states. This would be in the case of the compulsory court-ordered winding up of the crisis-hit club, or if a creditors voluntary liquidation (CVL) took place as part of a 'newco' switch, STV says. According to the documents released, in the event of the CVA failing, the consortium is "contractually obliged" to pay GBP5.5 million for the "business and assets" of Rangers, which would be transferred to a completely different business entity, before the existing one is liquidated, STV discloses. The details of the newco deal are "confidential" and it is unclear whether the money to fund it would also take the form of a loan with interest, STV notes. About Rangers Football Club Rangers Football Club PLC -- http://www.rangers.premiumtv.co.uk/ -- is a United Kingdom-based company engaged in the operation of a professional football club. The Company has launched its own Internet television station, RANGERSTV.tv. The station combines the use of Internet television programming alongside traditional Web-based services. Services offered include the streaming of home matches and on-demand streaming of domestic and European games, which include dedicated pre-match, half-time and post- match commentary. The Company will produce dedicated news magazine and feature programs, while the fans can also access a library of classic European, Old Firm and Scottish Premier League (SPL) action. Its own dedicated television studio at Ibrox provides onsite production, editing and encoding facilities to produce content for distribution on all media platforms. RESIDENTIAL MORTGAGE: S&P Cuts Rating on Class B2 Notes to 'B-' --------------------------------------------------------------- Standard & Poor's Ratings Services took various credit rating actions on Residential Mortgage Securities 20 PLC (RMS 20) and Residential Mortgage Securities 22 PLC's (RMS 22) U.K. nonconforming residential mortgage-backed securities (RMBS) notes. "Our analysis reflects the application of our 2011 U.K. RMBS criteria," S&P said. "On Dec. 12, 2011, we placed on CreditWatch negative our ratings on all classes of notes that were rated higher than 'B- (sf)' in both RMS 20 and RMS 22, following the application of our 2011 U.K. RMBS criteria," S&P said. "The amortization of the pool has increased available credit enhancement for all rating levels in both transactions. Each transaction is currently paying sequentially, since 90+ day delinquencies are greater than the documented pro rata trigger of 22.5%. We have considered the possibility the transactions paying pro rata, taking into account historical arrears movements, and incorporated this in our cash flow analysis," S&P said. "In both transactions, our updated credit adjustments give rise to higher weighted-average foreclosure frequencies and weighted- average loss severities at each rating level, leading to an overall increase in the required credit enhancement," S&P said. CREDIT AND CASH FLOW ANALYSIS "In RMS 20, total delinquencies have decreased over the past year to 44.42% from 44.95%, although they remain high compared with similar transactions. The reserve fund remains at its required amount, and is non-amortizing due to a breach of the documented cumulative loss trigger of 1.25%," S&P said. "In RMS 22, total delinquencies have increased slightly over the past year to 41.06% from 40.91%. Although arrears are high, they are still lower than earlier RMS transactions (such as RMS 19, 20, and 21). The reserve fund remains at its documented required amount, and is non-amortizing due to a breach of the cumulative loss trigger of 1.25%. Both transactions are generating excess spread," S&P said. APPLICATION OF COUNTERPARTY CRITERIA "The currency swap documentation in the transactions does not comply with our 2010 counterparty criteria. However, because Barclays Bank PLC (A+/Stable/A-1) in its role as currency swap counterparty is posting collateral in line with our criteria, the highest potential rating that the notes can achieve is equal to the issuer credit rating (ICR) on the swap counterparty plus one notch," S&P said. "The bank accounts have a documented trigger of 'A-1+'. Barclays Bank has advised that it intends to amend this trigger. Should the documentation not be amended to ensure an effective replacement framework, our ratings on all of the classes of notes will be capped at the ICR on Barclays Bank. As a result, our ratings on the class A2 and M1 notes in RMS 20 and the class A3 and M1 notes in RMS 22 remain on CreditWatch negative," S&P said. RATING ACTIONS "We have affirmed our 'AA- (sf)' ratings on RMS 20's class A2 and M1 notes, and on RMS 22's class A3 and M1 notes. Our ratings on these notes are no longer on CreditWatch negative due to the application of our 2011 U.K. RMBS criteria, but remain on CreditWatch for counterparty related reasons," S&P said. "We have affirmed and removed from CreditWatch negative our 'A+ (sf)' ratings on RMS 20's class M2 notes because the increase in the available credit enhancement is sufficient to mitigate the increase in the required credit coverage at the current rating level," S&P said. "We have lowered to 'BB+ (sf)' and removed from CreditWatch negative our ratings on RMS 20's class B1 notes due to the results of our cash flow analysis as the level of credit enhancement has not risen sufficiently to offset the increase in required credit coverage," S&P said. "We have raised to 'A+ (sf)' and removed from CreditWatch negative our ratings on RMS 22's class M2 notes because the class M2 notes pass our cash flow analysis at a higher rating level. At the same time, we affirmed and removed from CreditWatch negative our 'BBB (sf)' ratings on the class B1 notes as the increase in credit enhancement has risen sufficiently to mitigate the increase in required credit coverage at the current rating level," S&P said. "We have lowered to 'B- (sf)' and removed from CreditWatch negative our rating on RMS 22's B2 notes due to the results of our cash flow analysis. We have not lowered our ratings further because we do not expect this tranche to default over the next 12 months, in our opinion," S&P said. "RMS 20 and RMS 22 are U.K nonconforming RMBS transactions originated by Kensington Mortgage Co. Ltd. (RMS 20) and various subsidiaries of the Kensington Group PLC (RMS 22)," S&P said. CREDIT STABILITY "According to our credit stability analysis, the maximum projected deterioration we would expect at each rating level for time horizons of one year and three years, under moderate stress conditions, are in line with our credit stability criteria," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From Residential Mortgages Securities 20 PLC EUR637.05 Million, GBP329.85 Million, and US$150.4 Million Mortgage-Backed Floating-Rate Notes RATINGS AFFIRMED AND REMAINING ON CREDITWATCH NEGATIVE[1] A2a AA- (sf)/Watch Neg AA- (sf)/Watch Neg A2c AA- (sf)/Watch Neg AA- (sf)/Watch Neg M1a AA- (sf)/Watch Neg AA- (sf)/Watch Neg M1c AA- (sf)/Watch Neg AA-(sf)/Watch Neg RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE M2a A+ (sf) A+ (sf)/Watch Neg M2c A+ (sf) A+ (sf)/Watch Neg RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE B1a BB+ (sf) BBB (sf)/Watch Neg B1c BB+ (sf) BBB (sf)/Watch Neg Residential Mortgages Securities 22 PLC EUR336.1 Million, GBP392.9 Million, and US$320 Million Mortgage- Backed Floating-Rate Notes RATINGS AFFIRMED AND REMAINING ON CREDITWATCH NEGATIVE[1] A3a AA- (sf)/Watch Neg AA- (sf)/Watch Neg A3c AA- (sf)/Watch Neg AA- (sf)/Watch Neg M1a AA- (sf)/Watch Neg AA- (sf)/Watch Neg M1c AA- (sf)/Watch Neg AA- (sf)/Watch Neg RATINGS RAISED AND REMOVED FROM CREDITWATCH NEGATIVE M2a A+ (sf) A (sf)/Watch Neg M2c A+ (sf) A (sf)/Watch Neg RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE B1a BBB (sf) BBB (sf)/Watch Neg B1c BBB (sf) BBB (sf)/Watch Neg RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE B2 B- (sf) BB (sf)/Watch Neg [1] "Our ratings on these classes of notes are on CreditWatch negative for counterparty reasons, but are no longer on CreditWatch for credit and cash flow reasons," S&P said. RESIDENTIAL MORTGAGE 25: S&P Cuts Rating on Class B3-Dfrd to 'B-' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered and removed from CreditWatch negative its credit ratings on Residential Mortgage Securities 25 PLC's class M2-Dfrd, B2-Dfrd, and B3-Dfrd notes. "At the same time, we affirmed and removed from CreditWatch negative our ratings on the class A1, A2, M1-Dfrd, and B1-Dfrd notes," S&P said. "On Dec. 12, 2011, we placed on CreditWatch negative our ratings on all of the outstanding notes in this transaction, following the publication of our U.K. residential mortgage-backed securities (RMBS) criteria," S&P said. "The rating actions resolve these CreditWatch negative placements. They follow our credit and cash flow analysis of the most recent transaction information that we have received (dated February 2012), applying our 2011 U.K. RMBS criteria," S&P said. "In line with these criteria, we have based our analysis on the original loan-to-value (LTV) ratios of the collateral, which has positively affected our calculation of the weighted-average foreclosure frequency (WAFF) in the pool. However, this is counteracted by the increase in our weighted-average loss severity (WALS), due to the application of our updated market value declines assumptions," S&P said. "The level of credit enhancement continues to increase across all classes of notes because: the liabilities continue to pay sequentially, the reserve fund is not amortizing at present, and the level of excess spread continues to increase," S&P said. "In our cash flow analysis, we have applied various stresses, to account for any potential interest rate exposure that may arise during the life of the transaction. We have applied a basis risk haircut to account for the timing mismatch that arises between the interest rates on the notes, resetting quarterly, and the interest rates on the three-month LIBOR-linked loans, resetting monthly. We have also stressed for the basis risk that arises from the assets that pay interest on the one-month Bank of England base rate, and have given no benefit to the margin on standard variable-rate loans," S&P said. "The class M1-Dfrd, M2-Dfrd, B1-Dfrd, B2-Dfrd, and B3-Dfrd notes are deferrable-interest notes. As such, we rate them based on the ultimate payment of principal and interest. Under our updated methodology and assumptions, we do not consider the credit enhancement levels available to the class M2-Dfrd, B2-Dfrd, and B3-Dfrd notes to be commensurate with our previous ratings. Therefore, we have lowered and removed from CreditWatch negative our ratings on these classes of notes. We have differentiated between our ratings on the class B2-Dfrd and B3-Dfrd notes, in line with the level of credit enhancement available to them," S&P said. "Based on the transaction's current performance and credit enhancement levels, we have affirmed and removed from CreditWatch negative our ratings on the class A1, A2, M1-Dfrd, and B1-Dfrd notes," S&P said. "Our credit stability analysis indicates that the maximum projected deterioration that we would expect at each rating level, for time horizons of one year and three years, under moderate stress conditions is in line with our 2010 credit stability criteria," S&P said. "Residential Mortgage Securities 25 closed in October 2010. It is backed by a pool of first-ranking, nonconforming, buy-to-let, and prime residential mortgage loans secured over properties in England, Scotland, and Wales. The loans were originated by GMAC Residential Funding Co. LLC, Kensington Mortgage GroupCo Ltd., and Money Partners Ltd.," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From Residential Mortgage Securities 25 PLC GBP195.1 Million Mortgage-Backed Floating-Rate Notes Ratings Lowered and Removed From CreditWatch Negative M2-Dfrd A (sf) A+ (sf)/Watch Neg B2-Dfrd B (sf) BB (sf)/Watch Neg B3-Dfrd B- (sf) BB- (sf)/Watch Neg Ratings Affirmed and Removed From CreditWatch Negative A1 AAA (sf) AAA (sf)/Watch Neg A2 AAA (sf) AAA (sf)/Watch Neg M1-Dfrd AA (sf) AA (sf)/Watch Neg B1-Dfrd BBB (sf) BBB (sf)/Watch Neg RMAC 2005-NSP2: S&P Cuts Ratings on Two Note Classes to 'B-' ------------------------------------------------------------ Standard & Poor's Ratings Services took various credit rating actions on RMAC 2005-NSP2 PLC's notes. "The rating actions follow the application of our U.K. residential mortgage-backed securities (RMBS) criteria published in December 2011. Following the publication of those criteria, we placed our ratings all notes in this transaction on CreditWatch negative," S&P said. "In our opinion, the collateral pool for this transaction has exhibited stable performance. 90+ day delinquencies (excluding repossessions) are trending flat at 19.18%. Cumulative losses currently stand at 0.79%," S&P said. "The application of our 2011 U.K. RMBS criteria has resulted in a lower weighted-average foreclosure frequency, but a higher weighted-average loss severity for this transaction. This has led to overall increases in the level of credit coverage required at each rating level for each transaction," S&P said. "We have affirmed and removed from CreditWatch negative our 'A+ (sf)' ratings on the class A2a, A2b, and A2c notes, based on the cash flow output and in line with our updated U.K. RMBS credit and cash flow criteria," S&P said. "The increased credit enhancement levels for the class M1a, M1c, M2a, M2c, B1a, and B1C notes have not been sufficient to mitigate the increases in required credit coverage. Consequently, upon application of our updated cash flow stresses, these notes were unable to achieve ratings commensurate with their previous rating levels. We have therefore lowered and removed from CreditWatch negative our ratings on these classes of notes," S&P said. "The class A2a, A2b, and A2c notes are able to pass our updated cash flow stresses at higher rating levels. However, we do not consider documentation of the account bank, liquidity facility provider, or currency swap provider to be compliant with our counterparty criteria. Consequently, the ratings in this transaction are capped by the issuer credit rating (ICR) on Barclays Bank (A+/Stable/A-1), as the account bank and liquidity facility provider, and by the ICR on the Royal Bank of Scotland (A/Stable/A-1), plus one notch," S&P said. "Our credit stability analysis indicates that the maximum projected deterioration that we would expect at each rating level for time horizons of one year and three years, under moderate stress conditions, is in line with our Credit Stability Criteria," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From RMAC 2005-NSP2 PLC EUR466 Million, GBP353 Million, and US$780 Million Multi-Currency Mortgage-Backed Floating-Rate Notes Ratings Affirmed and Removed From CreditWatch Negative A2a A+ (sf) A+ (sf)/Watch Neg A2b A+ (sf) A+ (sf)/Watch Neg A2c A+ (sf) A+ (sf)/Watch Neg Ratings Lowered and Removed From CreditWatch Negative M1a BBB+ (sf) A+ (sf)/Watch Neg M1c BBB+ (sf) A+ (sf)/Watch Neg M2a BB+ (sf) BBB (sf)/Watch Neg M2c BB+ (sf) BBB (sf)/Watch Neg B1a B- (sf) BB (sf)/Watch Neg B1c B- (sf) BB (sf)/Watch Neg SOUTHERN PACIFIC: S&P Cuts Rating on Two Note Classes to 'B-' ------------------------------------------------------------- Standard & Poor's Ratings Services has taken various credit rating actions in Southern Pacific Financing 04-A PLC (SPF 04-A), Southern Pacific Financing 05-B PLC (SPF 05-B), and Southern Pacific Financing 06-A PLC (SPF 06-A). In SPF 04-A, S&P has: - Kept on CreditWatch negative its ratings on the class A, B, and C notes; and - Lowered and removed from CreditWatch negative its ratings on the class D and E notes. In SPF 05-B, S&P has: - Kept on CreditWatch negative its ratings on the class A and B notes; - Affirmed and removed from CreditWatch negative its rating on the class C notes; and - Lowered and removed from CreditWatch negative its ratings on the class D and E notes. In SPF 06-A, S&P has: - Lowered and kept on CreditWatch negative its rating on the class A notes; - Lowered and removed from CreditWatch negative its ratings on the class B, C, D1, and E notes. "For counterparty reasons, on May 2, 2012, we kept our ratings on SPF 04-A's class A to D notes, SPF 05-B's class A and B notes, and SPF 06-A's class A and B notes on CreditWatch negative. We had previously placed these ratings, and all of the others in the transaction, on CreditWatch negative for credit and cash flow reasons (on Dec. 12, 2011). 's rating actions resolve our CreditWatch negative placements for credit and cash flow reasons, but some of our ratings in this transaction remain on CreditWatch negative for counterparty reasons," S&P said. "They follow our credit and cash flow analysis of the most recent transaction information that we have received (dated February 2012), applying our 2011 U.K. residential mortgage-backed securities (RMBS) criteria and our 2010 counterparty criteria," S&P said. "The application of our 2011 U.K. RMBS criteria has resulted in increased credit enhancement levels expected for the notes to achieve each rating level. The downgrades have mainly resulted from our application of the updated methodology and assumptions in these criteria. The affirmation reflects our view that SPF 05- B's class C notes meet the expected credit enhancement level," S&P said. "In the past two years, the total arrears performance has improved for all three transactions. Total arrears levels peaked in March 2009, and then declined until the end of 2011. Arrears started to increase again in September 2011 for SPF 04-A, and in March 2012 for SPF 05-B and SPF 06-A," S&P said. "While the each pools' characteristics has remained similar since closing, they have continued to deleverage and the weighted- average current loan-to-value ratios have decreased," S&P said. "SPF 04-A has had zero excess spread for 24 months--caused by losses, large senior fees (including a nonamortizing liquidity facility, which currently has a standby drawing), and an increasing weighted-average cost of funds. The reserve fund has remained drawn by a small amount each quarter. After losses caused a severe reduction in excess spread levels in 2009, these have stabilized, albeit at lower levels, for SPF 05-B and SPF 06- A in the past 12 to 18 months. SPF 05-B had to make drawings on the reserve fund during the same 2009 period, to cover parts of these losses, but the reserve fund has been fully funded since September 2010. On the other hand, SPF 06-A's reserve fund has never been drawn," S&P said. "The liquidity facility for each of these transactions has had a standby drawing for the full limit amount (SPF 04-A in December 2011, SPF 05-B in March 2009, and SPF 06-A in March 2009). The liquidity amortization conditions in the transaction documents are currently not satisfied for any of the three transactions. Therefore, the liquidity facilities are not amortizing. This is due to the high cumulative losses in SPF 05-A and SPF 06-A, and due to the high 90+ day arrears in SPF 04-A," S&P said. "Following the rating actions, none of our ratings in these transactions is on CreditWatch negative for credit and cash flow reasons. However, some of our ratings remain on CreditWatch negative for counterparty reasons, following our May 2, 2012 update," S&P said. "The current transaction documents require an 'A-1+' short-term rating for a bank account provider. Upon the Nov. 29, 2011 downgrade of Barclays Bank PLC (A+/Stable/A-1) below this level, remedial action under the transaction documents was required within a prescribed timeframe. We understand that discussions have occurred to take such action but, to date, there has been no remedy. In such circumstances, absent a replacement framework in the transaction documents that is consistent with our 2010 counterparty criteria, the maximum achievable rating on the notes in these transactions would be 'A+'--equal to our current long- term rating on the bank account provider," S&P said. "Therefore, our ratings on SPF 04-A's class A to C notes, SPF 05- B's class A and B notes, and SPF 06-A's class A notes remain on CreditWatch negative for counterparty reasons. We aim to resolve the CreditWatch negative status of these tranches upon receipt and review of any proposed remedial action; and in any case, within three months of our May 2, 2012 update, when we first kept these notes on CreditWatch negative for counterparty reasons," S&P said. "Our rating on SPF 04-A's class D notes is no longer on CreditWatch negative because, following 's rating action, we rate this class of notes below the maximum achievable rating on the notes in this transaction," S&P said. "Our credit stability analysis indicates that the maximum projected deterioration that we would expect at each rating level, for time horizons of one year and three years under moderate stress conditions, are in line with our 2010 credit stability criteria," S&P said. "SPF 04-A, SPF 05-B, SPF and 06-A are U.K. nonconforming RMBS transactions originated by Southern Pacific Mortgage Ltd.," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From Southern Pacific Financing 04-A PLC GBP350 Million Mortgage-Backed Floating-Rate Notes Ratings Remaining on CreditWatch Negative[1] A AA- (sf)/Watch Neg B AA- (sf)/Watch Neg C AA- (sf)/Watch Neg Ratings Lowered and Removed From CreditWatch Negative D A- (sf) AA- (sf)/Watch Neg E B (sf) BBB (sf)/Watch Neg Southern Pacific Financing 05-B PLC GBP480 Million Mortgage-Backed Floating-Rate Notes Ratings Remaining on CreditWatch Negative[1] A AA- (sf)/Watch Neg B AA- (sf)/Watch Neg Rating Affirmed and Removed From CreditWatch Negative C A (sf) A (sf)/Watch Neg Ratings Lowered and Removed From CreditWatch Negative D BB- (sf) BBB (sf)/Watch Neg E B- (sf) BB (sf)/Watch Neg Southern Pacific Financing 06-A PLC GBP423.36 Million Mortgage-Backed Floating-Rate Notes Plus an Over-Issuance of Mortgage-Backed Floating-Rate Notes Rating Lowered and Remaining on CreditWatch Negative[1] A AA+ (sf)/Watch Neg AAA (sf)/Watch Neg Ratings Lowered and Removed From CreditWatch Negative B A (sf) AA (sf)/Watch Neg C BBB- (sf) A (sf)/Watch Neg D1 B (sf) BBB (sf)/Watch Neg E B- (sf) B (sf)/Watch Neg [1]These ratings are no longer on CreditWatch negative for credit and cash flow reasons, but remain on CreditWatch negative for counterparty reasons. UROPA SECURITIES: S&P Affirms 'BB-' Rating on Class C Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised and removed from CreditWatch negative its credit ratings on the class M2 and B notes in Uropa Securities PLC's series 2008-1. "At the same time, we affirmed and removed from CreditWatch negative our ratings on the class A, M1, and C notes," S&P said. "The rating actions reflect our credit and cash flow analysis of the most recent transaction information that we have received. Our analysis reflects the application of our December 2011 U.K. residential mortgage-backed securities (RMBS) criteria," S&P said. "On Dec. 12, 2011, we placed on CreditWatch negative our ratings on the class A, M1, M2, B, and C notes after implementing our 2011 U.K. RMBS criteria," S&P said. "In the past year, delinquencies have decreased; the margins within the asset pool have remained quite stable; credit enhancement has continued to increase due to the deleveraging of the notes; and the liquidity reserve fund is at the required level." "After applying our December 2011 U.K. RMBS criteria, our credit analysis results show a decrease in the weighted-average foreclosure frequency for all rating levels since July 2011. The weighted-average loss severity for all rating levels has increased, due to the application of our updated market value decline assumptions. The combined result is an increase in the required credit coverage for all rating levels in the transaction," S&P said. "We have raised and removed from CreditWatch negative our ratings on the class M2 and B notes to reflect the transaction's stable performance and increased credit enhancement levels for these notes since closing," S&P said. "We have affirmed and removed from CreditWatch negative our ratings on the class A, M1, and C notes after applying our December 2011 U.K. RMBS criteria. These affirmations reflect the transaction's stable performance," S&P said. "Our credit stability analysis indicates that the maximum projected deterioration that we would expect at each rating level for time horizons of one year and three years under moderate stress conditions, are in line with our credit stability criteria," S&P said. Uropa Securities' series 2008-1 is backed by U.K. nonconforming residential mortgages originated by GMAC-RFC Ltd., Kensington Mortgage Co. Ltd., Money Partners Ltd., Edeus Mortgages Ltd., and Platform Funding Ltd. (PFL). STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From Uropa Securities PLC GBP446.628 Million Mortgage-Backed Floating-Rate Notes Series 2008-1 RATINGS RAISED AND REMOVED FROM CREDITWATCH NEGATIVE M2 A+ (sf) A (sf)/Watch Neg B BBB+ (sf) BBB (sf)/Watch Neg RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE A AAA (sf) AAA (sf)/Watch Neg M1 AA (sf) AA (sf)/Watch Neg C BB- (sf) BB- (sf)/Watch Neg WEST BROMWICH: Moody's Issues Summary Credit Opinion ---------------------------------------------------- Moody's Investors Service issued a summary credit opinion on West Bromwich Building Society and includes certain regulatory disclosures regarding its ratings. The release does not constitute any change in Moody's ratings or rating rationale for West Bromwich Building Society. Moody's current ratings on West Bromwich Building Society are: - Senior Unsecured (domestic currency) ratings of B2 - Senior Unsecured MTN Program (domestic currency) ratings of (P)B2 - Long Term Bank Deposits (domestic and foreign currency) ratings of B2 - Bank Financial Strength ratings of E+ - Subordinate (domestic currency) ratings of Ca - Subordinate MTN Program (domestic currency) ratings of (P)Ca - Junior Subordinate (domestic currency) ratings of Ca (hyb) - Short Term Bank Deposits (domestic and foreign currency) ratings of NP - Other Short Term (domestic currency) ratings of (P)NP Rating Rationale Moody's assigns a Bank Financial Strength Rating ("BFSR") of E+ with stable outlook to West Bromwich Building Society ("West Brom"), which maps to a b2 on Moody's long term scale. This BFSR is one of the lowest among the peer group and reflects Moody's assumption that the society's high degree of exposure to commercial lending in particular and other specialist lending areas could lead to large potential losses and a reduction in its capital ratios. The society has posted net losses for the past three consecutive years. However, Moody's notes that the PPDS conversion which was completed in 2009 has improved West Brom's loss absorption capacity. The rating also reflects West Brom's established regional franchise and stable retail base. The long-term deposit and short term rating of B2/Not Prime, follow Moody's reassessment of extraordinary levels of systemic support in the ratings of UK financial institutions concluded on October 7, 2011. Rating Outlook Moody's considers that there are significant risks to West Brom's financial fundamentals stemming from the society's existing loan portfolio, particularly the commercial and BTL loans. However, the PPDS transaction completed in 2009 has improved West Brom's loss absorption capacity and the stable outlook on West Brom's BFSR reflects the PPDS' mitigation of some of these pressures. The outlook on the society's B2 long-term debt and deposit ratings is stable. What Could Change the Rating - Up A return to profitability and sustainable business operation can lead to upgrade pressure on the society's stand-alone rating. At this stage, although Moody's notes some improvements in the society's impairment charges and capital ratios, these are not sufficient to consider its BFSR for an upgrade as the society still remains loss-making with limited new lending capacity. What Could Change the Rating - Down The current BFSR rating is sufficiently low to incorporate some degree of volatility in overall financial fundamentals. However, in case of large losses and further pressure on capital, the rating could come under downward pressure. The methodologies used in this rating were Bank Financial Strength Ratings: Global Methodology published in February 2007, and Incorporation of Joint-Default Analysis into Moody's Bank Ratings: A Global Methodology published in March 2012. =============== X X X X X X X X =============== * BOND PRICING: For the Week June 4 to June 8, 2012 --------------------------------------------------- Issuer Coupon Maturity Currency Price ------ ------ -------- -------- ----- AUSTRIA ------- A-TEC INDUSTRIES 2.750 5/10/2014 EUR 29.50 A-TEC INDUSTRIES 8.750 10/27/2014 EUR 29.50 A-TEC INDUSTRIES 5.750 11/2/2010 EUR 29.50 BA CREDITANSTALT 5.470 8/28/2013 EUR 68.88 HAA-BANK INTL AG 5.270 4/7/2028 EUR 74.54 IMMOFINANZ 4.250 3/8/2018 EUR 3.68 KOMMUNALKREDIT 4.900 6/23/2031 EUR 65.00 KOMMUNALKREDIT 4.440 12/20/2030 EUR 61.13 OESTER VOLKSBK 4.170 7/29/2015 EUR 65.38 OESTER VOLKSBK 4.160 5/20/2025 EUR 73.06 OESTER VOLKSBK 5.270 2/8/2027 EUR 69.44 OESTER VOLKSBK 4.810 7/29/2025 EUR 60.25 RAIFF CENTROBANK 9.558 1/23/2013 EUR 63.24 RAIFF CENTROBANK 8.283 1/23/2013 EUR 66.65 RAIFF CENTROBANK 7.965 1/23/2013 EUR 74.34 RAIFF CENTROBANK 7.965 1/23/2013 EUR 64.47 RAIFF CENTROBANK 7.646 1/23/2013 EUR 61.75 RAIFF CENTROBANK 11.718 7/25/2012 EUR 26.19 RAIFF CENTROBANK 11.718 7/25/2012 EUR 52.33 RAIFF CENTROBANK 10.090 7/25/2012 EUR 63.73 RAIFF CENTROBANK 9.114 7/25/2012 EUR 48.54 RAIFF CENTROBANK 10.090 7/25/2012 EUR 58.80 RAIFF CENTROBANK 11.000 5/24/2012 EUR 63.35 RAIFF CENTROBANK 9.114 7/25/2012 EUR 74.58 RAIFF CENTROBANK 6.835 7/20/2012 EUR 74.11 RAIFF CENTROBANK 11.000 5/24/2012 EUR 59.89 RAIFF CENTROBANK 7.812 7/20/2012 EUR 55.95 RAIFF CENTROBANK 7.161 7/20/2012 EUR 62.49 RAIFF CENTROBANK 8.463 7/25/2012 EUR 60.16 RAIFF CENTROBANK 10.416 7/20/2012 EUR 43.96 RAIFF CENTROBANK 5.208 7/25/2012 EUR 69.62 RAIFF CENTROBANK 5.208 7/25/2012 EUR 73.30 RAIFF CENTROBANK 7.161 7/25/2012 EUR 64.63 RAIFF CENTROBANK 5.208 7/25/2012 EUR 62.77 RAIFF CENTROBANK 7.812 7/25/2012 EUR 49.15 RAIFF CENTROBANK 9.876 1/23/2013 EUR 47.46 RAIFF CENTROBANK 7.812 7/25/2012 EUR 67.10 RAIFF ZENTRALBK 4.500 9/28/2035 EUR 62.75 BELGIUM ------- ECONOCOM GROUP 4.000 6/1/2016 EUR 21.56 IDEAL STANDARD I 11.750 5/1/2018 EUR 54.00 IDEAL STANDARD I 11.750 5/1/2018 EUR 53.50 CYPRUS ------ CYPRUS GOVT BOND 4.500 9/28/2017 EUR 61.63 CYPRUS GOVT BOND 4.500 4/2/2017 EUR 63.13 CYPRUS GOVT BOND 4.600 4/23/2018 EUR 60.75 CYPRUS GOVT BOND 4.600 10/23/2018 EUR 59.88 CYPRUS GOVT BOND 4.600 2/26/2019 EUR 59.50 CYPRUS GOVT BOND 6.100 6/24/2019 EUR 65.38 CYPRUS GOVT BOND 5.100 1/29/2018 EUR 63.00 CYPRUS GOVT BOND 6.100 4/20/2020 EUR 64.38 CYPRUS GOVT BOND 5.350 6/9/2020 EUR 60.75 CYPRUS GOVT BOND 6.000 6/9/2021 EUR 60.63 CYPRUS GOVT BOND 6.500 8/25/2021 EUR 61.75 CYPRUS GOVT BOND 4.750 12/2/2015 EUR 69.75 CYPRUS GOVT BOND 4.500 1/2/2016 EUR 68.50 CYPRUS GOVT BOND 4.500 3/30/2016 EUR 67.25 CYPRUS GOVT BOND 4.500 6/2/2016 EUR 66.75 CYPRUS GOVT BOND 5.000 6/9/2016 EUR 69.63 CYPRUS GOVT BOND 4.500 7/11/2016 EUR 65.88 CYPRUS GOVT BOND 4.500 10/9/2016 EUR 65.00 CYPRUS GOVT BOND 6.600 10/26/2016 EUR 71.13 CYPRUS GOVT BOND 4.500 1/4/2017 EUR 64.00 CYPRUS GOVT BOND 4.500 2/15/2017 EUR 63.50 CYPRUS GOVT BOND 5.600 4/15/2017 EUR 69.07 CYPRUS GOVT BOND 4.625 2/3/2020 EUR 57.07 CYPRUS GOVT BOND 5.250 6/9/2015 EUR 73.75 CYPRUS GOVT BOND 4.750 9/30/2015 EUR 70.50 CYPRUS GOVT BOND 3.750 11/1/2015 EUR 68.00 REP OF CYPRUS 4.750 2/25/2016 EUR 57.85 REP OF CYPRUS 4.375 7/15/2014 EUR 70.53 CZECH REPUBLIC -------------- SAZKA 9.000 7/12/2021 EUR 35.00 DENMARK ------- KALMAR STRUCTRD 7.500 9/30/2013 EUR 0.01 KOMMUNEKREDIT 0.500 2/23/2017 ZAR 73.03 KOMMUNEKREDIT 0.500 12/14/2020 ZAR 52.22 KOMMUNEKREDIT 0.500 1/25/2017 ZAR 73.52 VESTAS WIND SYST 4.625 3/23/2015 EUR 64.00 FINLAND ------- MUNI FINANCE PLC 0.500 11/25/2020 ZAR 50.62 MUNI FINANCE PLC 0.500 11/10/2021 NZD 66.71 MUNI FINANCE PLC 0.500 12/20/2018 ZAR 58.33 MUNI FINANCE PLC 0.500 4/26/2017 ZAR 71.24 MUNI FINANCE PLC 0.500 11/21/2018 ZAR 61.40 MUNI FINANCE PLC 0.500 11/21/2018 TRY 64.54 MUNI FINANCE PLC 0.500 4/27/2018 ZAR 62.41 MUNI FINANCE PLC 0.500 12/14/2018 TRY 64.30 MUNI FINANCE PLC 0.500 12/21/2021 NZD 66.40 MUNI FINANCE PLC 0.500 4/26/2022 ZAR 47.01 MUNI FINANCE PLC 0.500 5/31/2022 ZAR 43.60 MUNI FINANCE PLC 0.500 3/17/2025 CAD 55.45 MUNI FINANCE PLC 0.250 6/28/2040 CAD 23.87 MUNI FINANCE PLC 0.500 3/16/2017 BRL 71.39 MUNI FINANCE PLC 0.500 2/17/2017 BRL 71.82 MUNI FINANCE PLC 0.500 2/16/2017 TRY 72.26 MUNI FINANCE PLC 0.500 12/21/2016 TRY 72.54 MUNI FINANCE PLC 1.000 6/30/2017 ZAR 69.77 MUNI FINANCE PLC 0.500 11/16/2017 TRY 68.54 MUNI FINANCE PLC 0.500 3/28/2018 BRL 65.78 MUNI FINANCE PLC 0.500 12/6/2016 TRY 72.81 MUNI FINANCE PLC 0.500 11/30/2016 BRL 72.96 MUNI FINANCE PLC 0.500 11/17/2016 BRL 73.16 MUNI FINANCE PLC 0.500 11/17/2016 ZAR 73.96 MUNI FINANCE PLC 0.500 4/26/2016 ZAR 76.90 MUNI FINANCE PLC 0.500 10/27/2016 ZAR 74.39 MUNI FINANCE PLC 0.500 10/27/2016 BRL 73.04 MUNI FINANCE PLC 0.500 10/27/2016 TRY 73.21 NOKIA CORP 6.625 5/15/2039 USD 76.25 FRANCE ------ AIR FRANCE-KLM 4.970 4/1/2015 EUR 10.64 ALCATEL-LUCENT 5.000 1/1/2015 EUR 2.77 ALTRAN TECHNOLOG 6.720 1/1/2015 EUR 4.82 ASSYSTEM 4.000 1/1/2017 EUR 21.98 ATOS ORIGIN SA 2.500 1/1/2016 EUR 53.83 AXA SA 5.250 4/16/2040 EUR 75.28 CAISSE CENT IMMO 7.000 5/16/2014 EUR 35.05 CAISSE CENT IMMO 7.000 9/10/2015 EUR 13.60 CAISSE CENT IMMO 7.000 5/18/2015 EUR 10.73 CALYON 6.000 6/18/2047 EUR 27.55 CAP GEMINI SOGET 3.500 1/1/2014 EUR 37.50 CGG VERITAS 1.750 1/1/2016 EUR 27.54 CLUB MEDITERRANE 5.000 6/8/2012 EUR 14.01 CLUB MEDITERRANE 6.110 11/1/2015 EUR 17.96 CMA CGM 8.500 4/15/2017 USD 56.67 CMA CGM 8.500 4/15/2017 USD 64.75 CMA CGM 8.875 4/15/2019 EUR 55.82 CMA CGM 8.875 4/15/2019 EUR 56.17 CNP ASSURANCES 6.875 9/30/2041 EUR 69.52 CNP ASSURANCES 6.000 9/14/2040 EUR 68.77 CNP ASSURANCES 7.375 9/30/2041 GBP 73.70 CRED AGRICOLE SA 3.900 4/19/2021 EUR 72.99 CRED AGRICOLE SA 4.000 9/30/2022 EUR 69.79 CREDIT LOCAL FRA 3.750 5/26/2020 EUR 47.67 DEXIA CRED LOCAL 4.500 2/25/2020 EUR 51.88 DEXIA CRED LOCAL 4.110 9/18/2018 EUR 56.51 DEXIA CRED LOCAL 4.375 2/12/2019 EUR 51.19 DEXIA CRED LOCAL 4.020 3/13/2017 EUR 65.17 DEXIA CRED LOCAL 4.550 4/2/2020 EUR 51.84 DEXIA CRED LOCAL 5.037 8/4/2020 EUR 52.81 DEXIA MUNI AGNCY 1.000 12/23/2024 EUR 70.70 EURAZEO 6.250 6/10/2014 EUR 58.51 EUROPCAR GROUPE 9.375 4/15/2018 EUR 64.50 EUROPCAR GROUPE 9.375 4/15/2018 EUR 64.83 FAURECIA 4.500 1/1/2015 EUR 19.92 GROUPAMA SA 7.875 10/27/2039 EUR 51.44 GROUPE VIAL 2.500 1/1/2014 EUR 2.15 INGENICO 2.750 1/1/2017 EUR 44.08 MAUREL ET PROM 7.125 7/31/2014 EUR 17.66 MAUREL ET PROM 7.125 7/31/2015 EUR 15.85 NEXANS SA 4.000 1/1/2016 EUR 53.32 NEXANS SA 2.500 1/1/2019 EUR 62.11 NOVASEP HLDG 9.750 12/15/2016 USD 49.50 NOVASEP HLDG 9.750 12/15/2016 USD 49.50 NOVASEP HLDG 9.625 12/15/2016 EUR 49.13 NOVASEP HLDG 9.625 12/15/2016 EUR 49.13 ORPEA 3.875 1/1/2016 EUR 44.12 PAGESJAUNES FINA 8.875 6/1/2018 EUR 73.33 PAGESJAUNES FINA 8.875 6/1/2018 EUR 73.22 PEUGEOT SA 4.450 1/1/2016 EUR 24.13 PIERRE VACANCES 4.000 10/1/2015 EUR 73.45 PUBLICIS GROUPE 1.000 1/18/2018 EUR 51.14 PUBLICIS GROUPE 3.125 7/30/2014 EUR 36.66 SOC AIR FRANCE 2.750 4/1/2020 EUR 20.44 SOCIETE GENERALE 0.500 12/6/2021 AUD 50.48 SOCIETE GENERALE 0.500 9/7/2021 AUD 51.42 SOITEC 6.250 9/9/2014 EUR 8.06 TEM 4.250 1/1/2015 EUR 52.89 GERMANY ------- BAYERISCHE LNDBK 6.100 6/15/2012 EUR 32.83 BAYERISCHE LNDBK 5.800 7/13/2012 EUR 46.92 BAYERISCHE LNDBK 3.200 10/1/2012 EUR 27.35 BAYERISCHE LNDBK 5.100 6/29/2012 EUR 50.91 BAYERISCHE LNDBK 5.500 6/29/2012 EUR 50.63 BHF-BANK AG 13.200 6/8/2012 EUR 39.33 BHF-BANK AG 7.250 6/15/2012 EUR 55.19 BHW BAUSPARKASSE 4.270 1/15/2019 EUR 73.75 BNP EMIS-U.HANDE 7.000 5/24/2012 EUR 37.18 BNP EMIS-U.HANDE 6.500 6/21/2012 EUR 70.82 BNP EMIS-U.HANDE 6.750 6/21/2012 EUR 55.89 BNP EMIS-U.HANDE 7.000 6/21/2012 EUR 71.56 BNP EMIS-U.HANDE 7.000 6/21/2012 EUR 62.62 BNP EMIS-U.HANDE 7.250 6/21/2012 EUR 60.82 BNP EMIS-U.HANDE 7.250 6/21/2012 EUR 73.82 BNP EMIS-U.HANDE 7.500 6/21/2012 EUR 52.13 BNP EMIS-U.HANDE 7.500 6/21/2012 EUR 68.76 BNP EMIS-U.HANDE 7.750 6/21/2012 EUR 65.99 BNP EMIS-U.HANDE 7.750 6/21/2012 EUR 66.71 BNP EMIS-U.HANDE 7.750 6/21/2012 EUR 52.21 BNP EMIS-U.HANDE 8.250 6/21/2012 EUR 62.44 BNP EMIS-U.HANDE 8.250 6/21/2012 EUR 56.44 BNP EMIS-U.HANDE 8.250 6/21/2012 EUR 66.31 BNP EMIS-U.HANDE 8.250 6/21/2012 EUR 68.13 BNP EMIS-U.HANDE 8.500 6/21/2012 EUR 72.59 BNP EMIS-U.HANDE 8.500 6/21/2012 EUR 62.79 BNP EMIS-U.HANDE 8.500 6/21/2012 EUR 73.90 BNP EMIS-U.HANDE 8.500 6/21/2012 EUR 64.50 BNP EMIS-U.HANDE 8.500 6/21/2012 EUR 59.28 BNP EMIS-U.HANDE 8.500 6/21/2012 EUR 64.26 BNP EMIS-U.HANDE 9.000 6/21/2012 EUR 62.78 BNP EMIS-U.HANDE 9.250 6/21/2012 EUR 37.06 BNP EMIS-U.HANDE 9.250 6/21/2012 EUR 48.60 BNP EMIS-U.HANDE 9.250 6/21/2012 EUR 66.49 BNP EMIS-U.HANDE 9.500 6/21/2012 EUR 48.45 BNP EMIS-U.HANDE 9.500 6/21/2012 EUR 70.33 BNP EMIS-U.HANDE 9.500 6/21/2012 EUR 68.89 BNP EMIS-U.HANDE 9.750 6/21/2012 EUR 72.53 BNP EMIS-U.HANDE 9.750 6/21/2012 EUR 71.76 BNP 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72.84 BNP EMIS-U.HANDE 6.000 7/26/2012 EUR 34.23 BNP EMIS-U.HANDE 6.000 7/26/2012 EUR 69.36 BNP EMIS-U.HANDE 6.000 7/26/2012 EUR 67.42 BNP EMIS-U.HANDE 6.000 7/26/2012 EUR 37.40 BNP EMIS-U.HANDE 6.000 7/26/2012 EUR 55.29 BNP EMIS-U.HANDE 6.000 7/26/2012 EUR 36.98 BNP EMIS-U.HANDE 6.500 7/26/2012 EUR 43.95 BNP EMIS-U.HANDE 6.500 7/26/2012 EUR 69.25 BNP EMIS-U.HANDE 7.000 7/26/2012 EUR 26.24 BNP EMIS-U.HANDE 7.000 7/26/2012 EUR 46.56 BNP EMIS-U.HANDE 7.000 7/26/2012 EUR 59.25 BNP EMIS-U.HANDE 7.000 7/26/2012 EUR 21.90 BNP EMIS-U.HANDE 8.000 7/26/2012 EUR 70.28 BNP EMIS-U.HANDE 8.000 7/26/2012 EUR 71.90 BNP EMIS-U.HANDE 8.000 7/26/2012 EUR 47.40 BNP EMIS-U.HANDE 8.000 7/26/2012 EUR 64.82 BNP EMIS-U.HANDE 8.000 7/26/2012 EUR 34.83 BNP EMIS-U.HANDE 8.000 7/26/2012 EUR 71.54 BNP EMIS-U.HANDE 8.500 7/26/2012 EUR 65.20 BNP EMIS-U.HANDE 9.000 7/26/2012 EUR 30.34 BNP EMIS-U.HANDE 9.000 7/26/2012 EUR 50.47 BNP EMIS-U.HANDE 9.000 7/26/2012 EUR 32.95 BNP EMIS-U.HANDE 9.000 7/26/2012 EUR 47.75 BNP EMIS-U.HANDE 9.000 7/26/2012 EUR 45.74 BNP EMIS-U.HANDE 9.000 7/26/2012 EUR 60.57 BNP EMIS-U.HANDE 9.000 7/26/2012 EUR 70.71 BNP EMIS-U.HANDE 10.000 7/26/2012 EUR 36.98 BNP EMIS-U.HANDE 10.000 7/26/2012 EUR 42.78 BNP EMIS-U.HANDE 10.000 7/26/2012 EUR 52.70 BNP EMIS-U.HANDE 8.500 12/28/2012 EUR 62.75 BNP EMIS-U.HANDE 9.750 12/28/2012 EUR 65.64 BNP EMIS-U.HANDE 10.500 12/28/2012 EUR 54.02 BNP EMIS-U.HANDE 7.750 12/31/2012 EUR 54.92 BNP EMIS-U.HANDE 9.500 12/31/2012 EUR 65.62 BNP EMIS-U.HANDE 9.500 12/31/2012 EUR 73.60 BNP EMIS-U.HANDE 5.250 5/24/2012 EUR 55.92 COMMERZBANK AG 10.000 10/1/2012 EUR 66.24 COMMERZBANK AG 9.000 10/1/2012 EUR 52.59 COMMERZBANK AG 8.250 10/1/2012 EUR 66.37 COMMERZBANK AG 7.700 9/28/2012 EUR 49.60 COMMERZBANK AG 9.000 8/3/2012 EUR 61.65 COMMERZBANK AG 8.500 8/3/2012 EUR 47.91 COMMERZBANK AG 12.000 7/6/2012 EUR 69.81 COMMERZBANK AG 11.500 7/6/2012 EUR 73.72 COMMERZBANK AG 11.500 7/6/2012 EUR 5.98 COMMERZBANK AG 10.500 7/6/2012 EUR 51.82 COMMERZBANK AG 8.250 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18.900 12/31/2012 EUR 62.34 VONTOBEL FIN PRO 18.850 12/31/2012 EUR 61.22 VONTOBEL FIN PRO 18.750 12/31/2012 EUR 72.06 VONTOBEL FIN PRO 18.200 12/31/2012 EUR 74.50 VONTOBEL FIN PRO 18.050 12/31/2012 EUR 71.38 VONTOBEL FIN PRO 17.350 12/31/2012 EUR 73.96 VONTOBEL FIN PRO 17.100 12/31/2012 EUR 60.00 VONTOBEL FIN PRO 17.050 12/31/2012 EUR 64.02 VONTOBEL FIN PRO 16.950 12/31/2012 EUR 65.60 VONTOBEL FIN PRO 16.850 12/31/2012 EUR 51.52 VONTOBEL FIN PRO 16.750 12/31/2012 EUR 73.52 VONTOBEL FIN PRO 16.350 12/31/2012 EUR 56.32 VONTOBEL FIN PRO 16.150 12/31/2012 EUR 71.00 VONTOBEL FIN PRO 16.050 12/31/2012 EUR 74.16 VONTOBEL FIN PRO 15.850 12/31/2012 EUR 70.04 VONTOBEL FIN PRO 15.600 12/31/2012 EUR 73.76 VONTOBEL FIN PRO 15.250 12/31/2012 EUR 66.06 VONTOBEL FIN PRO 15.250 12/31/2012 EUR 66.16 VONTOBEL FIN PRO 15.150 12/31/2012 EUR 74.02 VONTOBEL FIN PRO 14.850 12/31/2012 EUR 65.92 VONTOBEL FIN PRO 14.750 12/31/2012 EUR 68.84 VONTOBEL FIN PRO 14.750 12/31/2012 EUR 59.02 VONTOBEL FIN PRO 14.700 12/31/2012 EUR 73.70 VONTOBEL FIN PRO 14.550 12/31/2012 EUR 73.74 VONTOBEL FIN PRO 14.505 12/31/2012 EUR 64.30 VONTOBEL FIN PRO 14.450 12/31/2012 EUR 74.80 VONTOBEL FIN PRO 14.300 12/31/2012 EUR 57.02 VONTOBEL FIN PRO 14.211 12/31/2012 EUR 42.52 VONTOBEL FIN PRO 14.150 12/31/2012 EUR 44.36 VONTOBEL FIN PRO 14.100 12/31/2012 EUR 70.56 VONTOBEL FIN PRO 14.000 12/31/2012 EUR 67.80 VONTOBEL FIN PRO 13.860 12/31/2012 EUR 66.74 VONTOBEL FIN PRO 13.579 12/31/2012 EUR 61.92 VONTOBEL FIN PRO 13.550 12/31/2012 EUR 74.94 VONTOBEL FIN PRO 13.550 12/31/2012 EUR 63.96 VONTOBEL FIN PRO 13.518 12/31/2012 EUR 70.14 VONTOBEL FIN PRO 13.500 12/31/2012 EUR 68.60 VONTOBEL FIN PRO 13.474 12/31/2012 EUR 71.04 VONTOBEL FIN PRO 13.411 12/31/2012 EUR 57.00 VONTOBEL FIN PRO 13.250 12/31/2012 EUR 62.32 VONTOBEL FIN PRO 13.200 12/31/2012 EUR 67.36 VONTOBEL FIN PRO 13.123 12/31/2012 EUR 23.46 VONTOBEL FIN PRO 13.050 12/31/2012 EUR 64.72 VONTOBEL FIN PRO 13.000 12/31/2012 EUR 68.80 VONTOBEL FIN PRO 12.912 12/31/2012 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FIN PRO 10.807 12/31/2012 EUR 23.08 VONTOBEL FIN PRO 10.800 12/31/2012 EUR 66.76 VONTOBEL FIN PRO 10.702 12/31/2012 EUR 72.26 VONTOBEL FIN PRO 10.700 12/31/2012 EUR 70.28 VONTOBEL FIN PRO 10.700 12/31/2012 EUR 70.38 VONTOBEL FIN PRO 10.621 12/31/2012 EUR 71.93 VONTOBEL FIN PRO 10.611 12/31/2012 EUR 74.28 VONTOBEL FIN PRO 10.500 12/31/2012 EUR 48.00 VONTOBEL FIN PRO 10.456 12/31/2012 EUR 63.46 VONTOBEL FIN PRO 10.421 12/31/2012 EUR 50.14 VONTOBEL FIN PRO 10.352 12/31/2012 EUR 73.78 VONTOBEL FIN PRO 10.351 12/31/2012 EUR 66.66 VONTOBEL FIN PRO 10.351 12/31/2012 EUR 66.70 VONTOBEL FIN PRO 10.281 12/31/2012 EUR 73.92 VONTOBEL FIN PRO 10.231 12/31/2012 EUR 62.46 VONTOBEL FIN PRO 10.211 12/31/2012 EUR 68.70 VONTOBEL FIN PRO 10.207 12/31/2012 EUR 60.16 VONTOBEL FIN PRO 10.200 12/31/2012 EUR 70.24 VONTOBEL FIN PRO 10.175 12/31/2012 EUR 47.14 VONTOBEL FIN PRO 10.140 12/31/2012 EUR 73.34 VONTOBEL FIN PRO 10.105 12/31/2012 EUR 64.10 VONTOBEL FIN PRO 10.100 12/31/2012 EUR 69.86 VONTOBEL FIN PRO 10.050 12/31/2012 EUR 58.92 VONTOBEL FIN PRO 10.035 12/31/2012 EUR 68.22 VONTOBEL FIN PRO 9.965 12/31/2012 EUR 66.10 VONTOBEL FIN PRO 9.950 12/31/2012 EUR 67.16 VONTOBEL FIN PRO 9.856 12/31/2012 EUR 67.52 VONTOBEL FIN PRO 9.850 12/31/2012 EUR 70.90 VONTOBEL FIN PRO 9.841 12/31/2012 EUR 52.20 VONTOBEL FIN PRO 9.825 12/31/2012 EUR 65.26 VONTOBEL FIN PRO 9.800 12/31/2012 EUR 70.92 VONTOBEL FIN PRO 9.754 12/31/2012 EUR 57.98 VONTOBEL FIN PRO 9.754 12/31/2012 EUR 47.48 VONTOBEL FIN PRO 9.700 12/31/2012 EUR 54.34 VONTOBEL FIN PRO 9.700 12/31/2012 EUR 63.56 VONTOBEL FIN PRO 9.682 12/31/2012 EUR 73.20 VONTOBEL FIN PRO 9.650 12/31/2012 EUR 74.22 VONTOBEL FIN PRO 9.649 12/31/2012 EUR 75.00 VONTOBEL FIN PRO 9.605 12/31/2012 EUR 63.16 VONTOBEL FIN PRO 9.600 12/31/2012 EUR 74.76 VONTOBEL FIN PRO 9.509 12/31/2012 EUR 65.20 VONTOBEL FIN PRO 9.400 12/31/2012 EUR 73.84 VONTOBEL FIN PRO 9.400 12/31/2012 EUR 74.34 VONTOBEL FIN PRO 9.333 12/31/2012 EUR 71.12 VONTOBEL FIN PRO 9.300 12/31/2012 EUR 70.38 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12/31/2012 EUR 55.74 VONTOBEL FIN PRO 8.200 12/31/2012 EUR 74.72 VONTOBEL FIN PRO 8.163 12/31/2012 EUR 58.68 VONTOBEL FIN PRO 8.050 12/31/2012 EUR 62.40 VONTOBEL FIN PRO 8.039 12/31/2012 EUR 70.98 VONTOBEL FIN PRO 8.019 12/31/2012 EUR 68.24 VONTOBEL FIN PRO 7.850 12/31/2012 EUR 71.46 VONTOBEL FIN PRO 7.754 12/31/2012 EUR 71.64 VONTOBEL FIN PRO 7.719 12/31/2012 EUR 69.60 VONTOBEL FIN PRO 7.509 12/31/2012 EUR 70.32 VONTOBEL FIN PRO 7.494 12/31/2012 EUR 65.98 VONTOBEL FIN PRO 7.400 12/31/2012 EUR 62.34 VONTOBEL FIN PRO 7.368 12/31/2012 EUR 72.82 VONTOBEL FIN PRO 7.368 12/31/2012 EUR 74.66 VONTOBEL FIN PRO 7.241 12/31/2012 EUR 74.04 VONTOBEL FIN PRO 7.150 12/31/2012 EUR 71.48 VONTOBEL FIN PRO 7.050 12/31/2012 EUR 70.18 VONTOBEL FIN PRO 6.421 12/31/2012 EUR 72.82 VONTOBEL FIN PRO 6.175 12/31/2012 EUR 66.92 VONTOBEL FIN PRO 5.006 12/28/2012 EUR 52.42 VONTOBEL FIN PRO 11.500 12/14/2012 EUR 7.05 VONTOBEL FIN PRO 28.900 9/28/2012 EUR 52.98 VONTOBEL FIN PRO 28.700 9/28/2012 EUR 61.34 VONTOBEL FIN PRO 28.350 9/28/2012 EUR 69.52 VONTOBEL FIN PRO 27.550 9/28/2012 EUR 52.44 VONTOBEL FIN PRO 26.650 9/28/2012 EUR 68.94 VONTOBEL FIN PRO 25.700 9/28/2012 EUR 58.50 VONTOBEL FIN PRO 25.200 9/28/2012 EUR 55.54 VONTOBEL FIN PRO 24.450 9/28/2012 EUR 73.96 VONTOBEL FIN PRO 24.250 9/28/2012 EUR 73.90 VONTOBEL FIN PRO 23.450 9/28/2012 EUR 70.16 VONTOBEL FIN PRO 23.300 9/28/2012 EUR 72.84 VONTOBEL FIN PRO 22.050 9/28/2012 EUR 54.40 VONTOBEL FIN PRO 21.550 9/28/2012 EUR 59.84 VONTOBEL FIN PRO 21.500 9/28/2012 EUR 58.78 VONTOBEL FIN PRO 21.350 9/28/2012 EUR 69.98 VONTOBEL FIN PRO 20.950 9/28/2012 EUR 58.48 VONTOBEL FIN PRO 20.750 9/28/2012 EUR 69.90 VONTOBEL FIN PRO 20.400 9/28/2012 EUR 56.92 VONTOBEL FIN PRO 20.000 9/28/2012 EUR 71.14 VONTOBEL FIN PRO 19.250 9/28/2012 EUR 62.10 VONTOBEL FIN PRO 19.000 9/28/2012 EUR 53.64 VONTOBEL FIN PRO 18.900 9/28/2012 EUR 74.32 VONTOBEL FIN PRO 18.800 9/28/2012 EUR 59.84 VONTOBEL FIN PRO 18.250 9/28/2012 EUR 75.00 VONTOBEL FIN PRO 18.100 9/28/2012 EUR 64.32 VONTOBEL FIN PRO 17.100 9/28/2012 EUR 64.74 VONTOBEL FIN PRO 17.000 9/28/2012 EUR 42.86 VONTOBEL FIN PRO 16.900 9/28/2012 EUR 71.40 VONTOBEL FIN PRO 16.850 9/28/2012 EUR 73.40 VONTOBEL FIN PRO 16.850 9/28/2012 EUR 61.96 VONTOBEL FIN PRO 16.850 9/28/2012 EUR 68.36 VONTOBEL FIN PRO 16.437 9/28/2012 EUR 72.26 VONTOBEL FIN PRO 16.400 9/28/2012 EUR 72.30 VONTOBEL FIN PRO 16.350 9/28/2012 EUR 66.90 VONTOBEL FIN PRO 16.337 9/28/2012 EUR 60.84 VONTOBEL FIN PRO 16.200 9/28/2012 EUR 72.28 VONTOBEL FIN PRO 16.200 9/28/2012 EUR 65.34 VONTOBEL FIN PRO 16.183 9/28/2012 EUR 42.40 VONTOBEL FIN PRO 16.050 9/28/2012 EUR 73.98 VONTOBEL FIN PRO 16.000 9/28/2012 EUR 55.92 VONTOBEL FIN PRO 15.700 9/28/2012 EUR 62.60 VONTOBEL FIN PRO 15.200 9/28/2012 EUR 69.60 VONTOBEL FIN PRO 15.169 9/28/2012 EUR 72.40 VONTOBEL FIN PRO 15.150 9/28/2012 EUR 73.14 VONTOBEL FIN PRO 15.000 9/28/2012 EUR 74.00 VONTOBEL FIN PRO 15.000 9/28/2012 EUR 64.82 VONTOBEL FIN PRO 14.957 9/28/2012 EUR 60.62 VONTOBEL FIN PRO 14.950 9/28/2012 EUR 67.74 VONTOBEL FIN PRO 14.906 9/28/2012 EUR 53.50 VONTOBEL FIN PRO 14.900 9/28/2012 EUR 57.52 VONTOBEL FIN PRO 14.895 9/28/2012 EUR 64.08 VONTOBEL FIN PRO 14.853 9/28/2012 EUR 50.36 VONTOBEL FIN PRO 14.786 9/28/2012 EUR 69.80 VONTOBEL FIN PRO 14.600 9/28/2012 EUR 55.44 VONTOBEL FIN PRO 14.550 9/28/2012 EUR 63.16 VONTOBEL FIN PRO 14.500 9/28/2012 EUR 64.76 VONTOBEL FIN PRO 14.303 9/28/2012 EUR 60.90 VONTOBEL FIN PRO 14.300 9/28/2012 EUR 67.10 VONTOBEL FIN PRO 14.209 9/28/2012 EUR 54.48 VONTOBEL FIN PRO 14.200 9/28/2012 EUR 59.70 VONTOBEL FIN PRO 14.191 9/28/2012 EUR 42.24 VONTOBEL FIN PRO 14.154 9/28/2012 EUR 44.44 VONTOBEL FIN PRO 14.150 9/28/2012 EUR 73.14 VONTOBEL FIN PRO 14.150 9/28/2012 EUR 44.10 VONTOBEL FIN PRO 13.950 9/28/2012 EUR 54.72 VONTOBEL FIN PRO 13.469 9/28/2012 EUR 49.39 VONTOBEL FIN PRO 13.352 9/28/2012 EUR 36.46 VONTOBEL FIN PRO 13.259 9/28/2012 EUR 42.42 VONTOBEL FIN PRO 13.257 9/28/2012 EUR 43.30 VONTOBEL FIN PRO 13.150 9/28/2012 EUR 61.98 VONTOBEL FIN 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72.37 EFG FINANCIAL PR 6.750 3/11/2013 EUR 62.69 EFG FINANCIAL PR 10.000 3/6/2013 USD 69.49 EFG FINANCIAL PR 14.000 2/19/2013 CHF 17.60 EFG FINANCIAL PR 5.800 1/23/2013 CHF 68.41 EFG FINANCIAL PR 13.000 1/15/2013 CHF 71.20 EFG FINANCIAL PR 12.500 1/15/2013 CHF 53.33 EFG FINANCIAL PR 11.250 1/15/2013 GBP 68.95 EFG FINANCIAL PR 10.250 1/15/2013 CHF 21.49 EFG FINANCIAL PR 9.000 1/15/2013 CHF 50.09 EFG FINANCIAL PR 8.830 12/28/2012 USD 53.23 EFG FINANCIAL PR 12.000 12/27/2012 CHF 12.08 EFG FINANCIAL PR 12.600 12/21/2012 CHF 61.14 EFG FINANCIAL PR 10.900 12/21/2012 CHF 60.20 EFG FINANCIAL PR 10.300 12/21/2012 CHF 74.78 EFG FINANCIAL PR 9.400 12/21/2012 CHF 73.51 EFG FINANCIAL PR 9.300 12/21/2012 CHF 58.98 EFG FINANCIAL PR 7.000 12/19/2012 USD 71.87 EFG FINANCIAL PR 7.000 12/19/2012 CHF 72.32 EFG FINANCIAL PR 7.000 12/19/2012 EUR 72.51 EFG FINANCIAL PR 17.500 12/14/2012 EUR 45.84 EFG FINANCIAL PR 14.250 12/14/2012 GBP 74.76 EFG FINANCIAL PR 14.250 12/14/2012 EUR 69.79 EFG FINANCIAL PR 12.750 12/14/2012 CHF 73.74 EFG FINANCIAL PR 10.250 12/14/2012 CHF 72.11 EFG FINANCIAL PR 8.500 12/14/2012 CHF 65.64 EFG FINANCIAL PR 9.750 12/3/2012 CHF 73.00 EFG FINANCIAL PR 16.000 11/27/2012 EUR 43.39 EFG FINANCIAL PR 14.500 11/27/2012 CHF 73.25 EFG FINANCIAL PR 14.500 11/27/2012 CHF 36.61 EFG FINANCIAL PR 13.250 11/27/2012 CHF 74.40 EFG FINANCIAL PR 11.250 11/27/2012 CHF 61.46 EFG FINANCIAL PR 10.500 11/27/2012 CHF 74.99 EFG FINANCIAL PR 9.250 11/27/2012 CHF 67.54 EFG FINANCIAL PR 14.800 11/20/2012 EUR 44.71 EFG FINANCIAL PR 11.500 11/20/2012 EUR 51.14 EFG FINANCIAL PR 9.400 11/20/2012 EUR 69.23 EFG FINANCIAL PR 9.300 11/20/2012 CHF 70.20 EFG FINANCIAL PR 8.400 11/20/2012 CHF 69.16 EFG FINANCIAL PR 8.300 11/20/2012 CHF 63.91 EFG FINANCIAL PR 8.000 11/20/2012 CHF 53.15 EFG FINANCIAL PR 8.000 11/20/2012 CHF 70.90 EFG FINANCIAL PR 7.000 11/20/2012 CHF 67.09 EFG FINANCIAL PR 12.830 11/19/2012 CHF 63.54 EFG FINANCIAL PR 11.600 11/19/2012 CHF 69.17 EFG FINANCIAL PR 17.000 11/13/2012 EUR 42.24 EFG FINANCIAL PR 14.750 11/13/2012 CHF 65.63 EFG FINANCIAL PR 14.500 11/13/2012 EUR 52.57 EFG FINANCIAL PR 14.000 11/13/2012 USD 17.85 EFG FINANCIAL PR 13.000 11/13/2012 CHF 66.02 EFG FINANCIAL PR 13.000 11/13/2012 CHF 17.67 EFG FINANCIAL PR 12.750 11/13/2012 CHF 16.55 EFG FINANCIAL PR 12.750 11/13/2012 CHF 63.32 EFG FINANCIAL PR 12.500 11/13/2012 EUR 65.22 EFG FINANCIAL PR 12.250 11/13/2012 CHF 71.89 EFG FINANCIAL PR 12.000 11/13/2012 CHF 69.43 EFG FINANCIAL PR 11.000 11/13/2012 CHF 74.19 EFG FINANCIAL PR 10.750 11/13/2012 CHF 73.60 EFG FINANCIAL PR 10.500 11/13/2012 CHF 54.60 EFG FINANCIAL PR 10.500 11/13/2012 CHF 54.41 EFG FINANCIAL PR 6.000 11/12/2012 CHF 49.49 EFG FINANCIAL PR 6.000 11/12/2012 EUR 51.18 EFG FINANCIAL PR 11.050 11/8/2012 USD 52.16 EFG FINANCIAL PR 13.080 11/5/2012 CHF 67.25 EFG FINANCIAL PR 9.330 10/29/2012 USD 51.70 EFG FINANCIAL PR 21.000 10/26/2012 USD 19.74 EFG FINANCIAL PR 20.500 10/26/2012 EUR 19.92 EFG FINANCIAL PR 20.000 10/26/2012 CHF 19.34 EFG FINANCIAL PR 17.000 10/26/2012 EUR 34.84 EFG FINANCIAL PR 16.750 10/26/2012 CHF 30.18 EFG FINANCIAL PR 15.000 10/26/2012 CHF 67.92 EFG FINANCIAL PR 13.250 10/26/2012 CHF 53.97 EFG FINANCIAL PR 13.250 10/26/2012 EUR 59.53 EFG FINANCIAL PR 12.000 10/26/2012 CHF 59.00 EFG FINANCIAL PR 11.250 10/26/2012 CHF 53.18 EFG FINANCIAL PR 11.000 10/26/2012 USD 71.58 EFG FINANCIAL PR 10.500 10/26/2012 CHF 71.65 EFG FINANCIAL PR 6.250 10/25/2012 CHF 67.07 EFG FINANCIAL PR 13.750 10/24/2012 USD 58.46 EFG FINANCIAL PR 12.000 10/19/2012 USD 45.84 EFG FINANCIAL PR 17.250 10/12/2012 CHF 71.81 EFG FINANCIAL PR 16.250 10/12/2012 CHF 74.87 EFG FINANCIAL PR 14.500 10/12/2012 CHF 74.63 EFG FINANCIAL PR 20.000 10/11/2012 CHF 18.18 EFG FINANCIAL PR 18.000 10/11/2012 EUR 50.47 EFG FINANCIAL PR 12.500 10/11/2012 GBP 63.79 EFG FINANCIAL PR 12.500 10/11/2012 CHF 52.87 EFG FINANCIAL PR 12.250 10/11/2012 EUR 64.03 EFG FINANCIAL PR 12.250 10/11/2012 EUR 72.03 EFG FINANCIAL PR 12.000 10/11/2012 USD 63.82 EFG FINANCIAL PR 11.500 10/11/2012 CHF 63.76 EFG FINANCIAL PR 9.750 10/11/2012 CHF 70.69 EFG FINANCIAL PR 10.620 10/3/2012 USD 27.34 EFG FINANCIAL PR 9.930 10/3/2012 EUR 27.28 EFG FINANCIAL PR 10.000 10/2/2012 EUR 73.44 EFG FINANCIAL PR 10.000 10/1/2012 CHF 52.91 EFG FINANCIAL PR 8.500 10/1/2012 CHF 74.01 EFG FINANCIAL PR 12.000 9/25/2012 EUR 66.19 EFG FINANCIAL PR 11.750 9/25/2012 EUR 74.92 EFG FINANCIAL PR 11.250 9/25/2012 CHF 74.61 EFG FINANCIAL PR 11.250 9/25/2012 EUR 69.54 EFG FINANCIAL PR 11.250 9/25/2012 CHF 52.08 EFG FINANCIAL PR 11.000 9/25/2012 USD 69.03 EFG FINANCIAL PR 10.750 9/25/2012 CHF 53.91 EFG FINANCIAL PR 10.250 9/25/2012 CHF 69.09 EFG FINANCIAL PR 10.000 9/21/2012 USD 47.56 EFG FINANCIAL PR 9.350 9/18/2012 EUR 74.73 EFG FINANCIAL PR 8.650 9/18/2012 EUR 74.65 EFG FINANCIAL PR 8.210 9/18/2012 EUR 74.38 EFG FINANCIAL PR 11.450 9/17/2012 CHF 73.42 EFG FINANCIAL PR 11.000 9/17/2012 USD 66.66 EFG FINANCIAL PR 11.000 9/10/2012 EUR 70.62 EFG FINANCIAL PR 11.000 9/10/2012 EUR 70.46 EFG FINANCIAL PR 10.000 9/10/2012 EUR 65.44 EFG FINANCIAL PR 9.800 9/10/2012 AUD 71.22 EFG FINANCIAL PR 9.000 9/10/2012 CHF 48.21 EFG FINANCIAL PR 8.250 9/10/2012 EUR 74.78 EFG FINANCIAL PR 7.500 9/10/2012 CHF 71.05 EFG FINANCIAL PR 8.500 9/7/2012 USD 38.48 EFG FINANCIAL PR 7.250 9/7/2012 EUR 65.34 EFG FINANCIAL PR 7.000 9/7/2012 EUR 50.80 EFG FINANCIAL PR 7.000 9/7/2012 CHF 45.25 EFG FINANCIAL PR 9.600 9/4/2012 USD 53.91 EFG FINANCIAL PR 9.500 9/4/2012 USD 34.92 EFG FINANCIAL PR 12.250 9/3/2012 CHF 66.97 EFG FINANCIAL PR 12.200 9/3/2012 CHF 68.03 EFG FINANCIAL PR 12.000 9/3/2012 EUR 65.05 EFG FINANCIAL PR 10.500 9/3/2012 CHF 47.90 EFG FINANCIAL PR 10.260 8/31/2012 EUR 65.58 EFG FINANCIAL PR 14.750 8/30/2012 EUR 71.86 EFG FINANCIAL PR 12.250 8/30/2012 USD 72.41 EFG FINANCIAL PR 10.000 8/30/2012 EUR 65.54 EFG FINANCIAL PR 22.000 8/24/2012 USD 18.95 EFG FINANCIAL PR 14.000 8/24/2012 CHF 25.10 EFG FINANCIAL PR 13.000 8/24/2012 EUR 66.51 EFG FINANCIAL PR 12.500 8/24/2012 CHF 66.66 EFG FINANCIAL PR 12.250 8/24/2012 EUR 63.80 EFG FINANCIAL PR 11.750 8/24/2012 CHF 53.93 EFG FINANCIAL PR 11.500 8/24/2012 CHF 46.92 EFG FINANCIAL PR 10.250 8/24/2012 CHF 69.70 EFG FINANCIAL PR 9.000 8/24/2012 CHF 71.11 EFG FINANCIAL PR 11.800 8/17/2012 CHF 50.07 EFG FINANCIAL PR 11.600 8/17/2012 EUR 56.10 EFG FINANCIAL PR 19.600 8/16/2012 EUR 61.66 EFG FINANCIAL PR 12.000 8/16/2012 EUR 24.52 EFG FINANCIAL PR 15.000 8/14/2012 EUR 67.71 EFG FINANCIAL PR 14.000 8/14/2012 EUR 66.68 EFG FINANCIAL PR 13.750 8/14/2012 EUR 67.24 EFG FINANCIAL PR 13.250 8/14/2012 GBP 66.59 EFG FINANCIAL PR 13.000 8/14/2012 EUR 66.47 EFG FINANCIAL PR 12.750 8/14/2012 CHF 48.40 EFG FINANCIAL PR 12.500 8/14/2012 CHF 66.13 EFG FINANCIAL PR 11.000 8/14/2012 CHF 53.90 EFG FINANCIAL PR 10.000 8/14/2012 CHF 72.21 EFG FINANCIAL PR 8.500 8/14/2012 CHF 65.37 EFG FINANCIAL PR 3.850 8/13/2012 EUR 42.59 EFG FINANCIAL PR 12.800 8/10/2012 CHF 58.01 EFG FINANCIAL PR 12.500 8/10/2012 EUR 73.12 EFG FINANCIAL PR 11.700 8/10/2012 USD 25.56 EFG FINANCIAL PR 10.000 8/10/2012 CHF 66.70 EFG FINANCIAL PR 19.000 8/8/2012 USD 39.92 EFG FINANCIAL PR 12.000 8/7/2012 CHF 73.15 EFG FINANCIAL PR 11.000 8/7/2012 CHF 33.91 EFG FINANCIAL PR 11.000 8/7/2012 CHF 70.68 EFG FINANCIAL PR 10.250 8/7/2012 CHF 67.73 EFG FINANCIAL PR 10.000 8/7/2012 CHF 47.97 EFG FINANCIAL PR 7.250 8/7/2012 CHF 70.75 EFG FINANCIAL PR 9.000 8/3/2012 CHF 9.61 EFG FINANCIAL PR 9.000 8/3/2012 CHF 57.76 EFG FINANCIAL PR 9.000 8/3/2012 CHF 74.13 EFG FINANCIAL PR 9.000 8/3/2012 CHF 71.10 EFG FINANCIAL PR 9.000 8/3/2012 CHF 53.61 EFG FINANCIAL PR 8.000 8/3/2012 EUR 71.39 EFG FINANCIAL PR 15.500 7/31/2012 GBP 70.06 EFG FINANCIAL PR 15.000 7/31/2012 CHF 69.71 EFG FINANCIAL PR 11.750 7/31/2012 CHF 48.31 EFG FINANCIAL PR 11.750 7/31/2012 CHF 48.11 EFG FINANCIAL PR 11.500 7/31/2012 EUR 52.31 EFG FINANCIAL PR 10.000 7/31/2012 CHF 72.43 EFG FINANCIAL PR 10.000 7/31/2012 CHF 47.75 EFG FINANCIAL PR 9.500 7/31/2012 CHF 72.24 EFG FINANCIAL PR 12.000 7/25/2012 GBP 63.77 EFG FINANCIAL PR 11.750 7/25/2012 EUR 67.59 EFG FINANCIAL PR 11.300 7/25/2012 CHF 62.99 EFG FINANCIAL PR 11.000 7/25/2012 CHF 13.37 EFG FINANCIAL PR 11.000 7/25/2012 CHF 63.50 EFG FINANCIAL PR 11.000 7/25/2012 EUR 70.95 EFG FINANCIAL PR 10.250 7/25/2012 CHF 45.36 EFG FINANCIAL PR 10.000 7/25/2012 CHF 62.03 EFG FINANCIAL PR 8.500 7/25/2012 CHF 71.81 EFG FINANCIAL PR 9.770 7/23/2012 EUR 62.47 EFG FINANCIAL PR 10.830 7/20/2012 CHF 73.60 EFG FINANCIAL PR 6.000 7/13/2012 EUR 69.54 EFG FINANCIAL PR 12.750 7/12/2012 EUR 65.42 EFG FINANCIAL PR 9.300 7/6/2012 CHF 59.13 EFG FINANCIAL PR 19.570 7/5/2012 EUR 64.39 EFG FINANCIAL PR 10.500 7/5/2012 CHF 45.37 EFG FINANCIAL PR 8.250 7/5/2012 CHF 66.56 EFG FINANCIAL PR 13.250 7/4/2012 EUR 69.65 EFG FINANCIAL PR 12.500 7/4/2012 USD 69.61 EFG FINANCIAL PR 12.100 7/4/2012 CHF 69.69 EFG FINANCIAL PR 11.500 7/4/2012 EUR 69.03 EFG FINANCIAL PR 8.250 7/4/2012 EUR 67.42 EFG FINANCIAL PR 6.600 7/4/2012 CHF 67.14 EFG FINANCIAL PR 13.200 6/28/2012 EUR 63.01 EFG FINANCIAL PR 12.000 6/28/2012 USD 66.62 EFG FINANCIAL PR 11.300 6/28/2012 EUR 54.99 EFG FINANCIAL PR 8.200 6/28/2012 GBP 73.37 EFG FINANCIAL PR 8.100 6/28/2012 USD 72.98 EFG FINANCIAL PR 16.500 6/27/2012 GBP 55.30 EFG FINANCIAL PR 6.750 6/27/2012 EUR 63.67 EFG FINANCIAL PR 16.020 6/26/2012 CHF 74.87 EFG FINANCIAL PR 10.000 6/22/2012 CHF 43.82 EFG FINANCIAL PR 7.000 6/21/2012 CHF 52.54 EFG FINANCIAL PR 9.650 6/20/2012 USD 40.76 EFG FINANCIAL PR 13.110 6/18/2012 USD 48.79 EFG FINANCIAL PR 12.250 6/15/2012 EUR 8.00 EFG FINANCIAL PR 11.500 6/15/2012 EUR 62.42 EFG FINANCIAL PR 8.800 6/15/2012 CHF 70.92 EFG FINANCIAL PR 5.200 6/14/2012 CHF 51.39 EFG FINANCIAL PR 12.250 6/8/2012 EUR 49.77 EFG FINANCIAL PR 10.000 6/8/2012 CHF 28.91 EFG FINANCIAL PR 12.750 6/6/2012 EUR 58.37 EFG FINANCIAL PR 12.750 6/6/2012 CHF 55.08 EFG FINANCIAL PR 10.000 6/6/2012 CHF 66.25 EFG FINANCIAL PR 8.000 6/6/2012 CHF 66.12 EFG FINANCIAL PR 8.320 6/5/2012 CHF 73.31 EFG FINANCIAL PR 16.000 5/31/2012 GBP 69.19 EFG FINANCIAL PR 6.000 5/31/2012 USD 70.01 EFG FINANCIAL PR 12.500 5/30/2012 EUR 52.67 EFG FINANCIAL PR 10.000 5/30/2012 EUR 63.04 EFG FINANCIAL PR 10.000 5/30/2012 CHF 56.37 EFG FINANCIAL PR 8.400 5/30/2012 EUR 68.96 EFG FINANCIAL PR 10.910 5/29/2012 EUR 36.87 EFG FINANCIAL PR 12.840 5/25/2012 EUR 70.07 EFG FINANCIAL PR 11.200 5/25/2012 CHF 60.63 EFG FINANCIAL PR 10.650 5/25/2012 EUR 67.90 EFG FINANCIAL PR 10.570 5/25/2012 EUR 53.30 EFG FINANCIAL PR 10.440 5/25/2012 EUR 73.40 EFG FINANCIAL PR 9.430 5/25/2012 EUR 70.36 EFG FINANCIAL PR 7.440 5/25/2012 EUR 51.16 EFG FINANCIAL PR 6.100 5/25/2012 EUR 67.56 EFG FINANCIAL PR 9.000 5/24/2012 CHF 66.64 EFG FINANCIAL PR 8.000 5/24/2012 USD 39.20 EFG FINANCIAL PR 14.000 5/22/2012 EUR 65.94 EFG FINANCIAL PR 12.750 5/22/2012 EUR 64.71 EFG FINANCIAL PR 11.250 5/22/2012 CHF 49.89 EFG FINANCIAL PR 10.750 5/22/2012 CHF 64.36 EFG FINANCIAL PR 12.960 5/21/2012 EUR 15.81 EFG FINANCIAL PR 12.500 5/18/2012 EUR 71.69 EFG FINANCIAL PR 10.830 5/18/2012 CHF 0.96 MARE BALTIC PCC 2.000 11/1/2015 DKK 0.01 MARE BALTIC PCC 3.000 11/17/2014 DKK 1.00 MARE BALTIC PCC 2.000 11/1/2015 DKK 0.01 MARE BALTIC PCC 3.000 11/17/2014 DKK 20.00 SARASIN CI LTD 10.250 5/25/2012 EUR 71.60 SARASIN CI LTD 6.000 6/9/2014 EUR 59.06 ZURCHER KANT FIN 8.000 6/15/2012 CHF 59.09 ZURCHER KANT FIN 6.769 5/23/2012 CHF 74.43 ZURCHER KANT FIN 9.050 6/29/2012 CHF 67.14 ZURCHER KANT FIN 7.721 6/22/2012 CHF 62.36 ZURCHER KANT FIN 9.000 6/18/2012 CHF 50.16 ZURCHER KANT FIN 13.575 6/15/2012 CHF 70.53 ZURCHER KANT FIN 11.263 6/15/2012 CHF 65.25 ZURCHER KANT FIN 9.700 6/15/2012 EUR 68.61 ZURCHER KANT FIN 8.548 7/6/2012 EUR 68.30 ZURCHER KANT FIN 7.844 5/18/2012 CHF 58.69 ZURCHER KANT FIN 8.000 7/13/2012 CHF 65.05 ZURCHER KANT FIN 11.000 7/13/2012 CHF 66.37 ZURCHER KANT FIN 12.067 7/13/2012 CHF 70.23 ZURCHER KANT FIN 10.250 7/19/2012 CHF 67.10 ZURCHER KANT FIN 9.250 11/9/2012 CHF 55.05 ZURCHER KANT FIN 7.340 4/16/2013 CHF 56.30 HUNGARY ------- FHB MORTGAGE BAN 4.500 3/22/2022 EUR 62.38 IRELAND ------- AIB MORTGAGE BNK 5.000 3/1/2030 EUR 55.79 AIB MORTGAGE BNK 5.000 2/12/2030 EUR 55.81 AIB MORTGAGE BNK 5.580 4/28/2028 EUR 61.83 BANK OF IRELAND 5.600 9/18/2023 EUR 57.13 BANK OF IRELAND 4.473 11/30/2016 EUR 73.75 BK IRELAND MTGE 5.760 9/7/2029 EUR 66.65 BK IRELAND MTGE 5.400 11/6/2029 EUR 63.51 BK IRELAND MTGE 5.360 10/12/2029 EUR 63.23 BK IRELAND MTGE 5.450 3/1/2030 EUR 63.59 DEPFA ACS BANK 5.125 3/16/2037 USD 70.43 DEPFA ACS BANK 0.500 3/3/2025 CAD 45.21 DEPFA ACS BANK 4.900 8/24/2035 CAD 73.50 DEPFA ACS BANK 3.250 7/31/2031 CHF 68.63 DEPFA ACS BANK 5.125 3/16/2037 USD 70.88 FIRST ACTIVE PLC 6.375 4/4/2018 GBP 74.60 KALVEBOD PLC 2.000 5/1/2106 DKK 35.00 ITALY ----- BANCA MARCHE 4.000 5/26/2021 EUR 74.50 BANCA MARCHE 3.700 9/1/2020 EUR 74.75 BANCA POP MILANO 4.500 4/18/2018 EUR 74.88 BANCA POP VICENT 4.970 4/20/2027 EUR 65.95 BP CIVIDALE 3.180 5/19/2020 EUR 69.88 BTPS I/L 2.550 9/15/2041 EUR 69.32 BTPS I/L 2.350 9/15/2035 EUR 69.19 ICCREA BANCAIMPR 5.220 4/11/2017 EUR 58.00 INTESA SANPAOLO 2.882 4/20/2020 EUR 74.00 INTESA SANPAOLO 3.750 3/2/2020 EUR 74.81 MONTE DEI PASCHI 5.750 9/30/2016 GBP 76.12 REP OF ITALY 2.870 5/19/2036 JPY 54.09 REP OF ITALY 5.250 12/7/2034 GBP 75.93 REP OF ITALY 1.850 9/15/2057 EUR 49.72 REP OF ITALY 2.200 9/15/2058 EUR 56.23 REP OF ITALY 4.850 6/11/2060 EUR 73.05 REP OF ITALY 2.000 9/15/2062 EUR 51.16 SANPAOLO IMI 5.625 3/18/2024 GBP 76.21 SEAT PAGINE 10.500 1/31/2017 EUR 64.17 SEAT PAGINE 10.500 1/31/2017 EUR 65.00 TELECOM ITALIA 5.250 3/17/2055 EUR 69.97 UBI BANCA SPCA 6.250 11/18/2018 EUR 51.44 UNICREDIT SPA 5.050 4/25/2022 EUR 73.10 UNIPOL ASSICURAZ 5.660 7/28/2023 EUR 64.00 LUXEMBOURG ---------- ARCELORMITTAL 7.250 4/1/2014 EUR 21.95 CONTROLINVESTE 3.000 1/28/2015 EUR 73.98 DEXIA BQ INT LUX 6.000 7/2/2018 EUR 74.59 ESFG INTERNATION 6.875 10/21/2019 EUR 67.00 ESPIRITO SANTO F 9.750 12/19/2025 EUR 65.52 FORTIS LUX FINAN 6.500 10/22/2012 EUR 73.00 HELLAS III 8.500 10/15/2013 EUR 0.25 HELLAS III 8.500 10/15/2013 EUR 0.25 LIGHTHOUSE INTL 8.000 4/30/2014 EUR 11.63 LIGHTHOUSE INTL 8.000 4/30/2014 EUR 11.63 ORCO PROPERTY GR 1.000 4/30/2020 EUR 43.75 VIVALDIS 0.500 8/8/2028 EUR 60.47 VIVALDIS 0.500 6/13/2028 EUR 56.50 VIVALDIS 0.500 6/13/2013 EUR 56.50 NETHERLANDS ----------- APP INTL FINANCE 11.750 10/1/2005 USD 8.75 ASTANA FINANCE 9.000 11/16/2011 USD 3.00 ASTANA FINANCE 7.875 6/8/2010 EUR 2.83 ASTANA FINANCE 14.500 7/2/2013 USD 3.00 BK NED GEMEENTEN 0.500 9/15/2016 TRY 74.03 BK NED GEMEENTEN 0.500 6/22/2016 TRY 74.95 BK NED GEMEENTEN 0.500 6/22/2021 ZAR 50.97 BK NED GEMEENTEN 0.500 5/10/2017 TRY 72.40 BK NED GEMEENTEN 0.500 5/12/2021 ZAR 51.47 BK NED GEMEENTEN 0.500 3/29/2021 NZD 68.99 BK NED GEMEENTEN 0.500 5/22/2017 ZAR 74.28 BK NED GEMEENTEN 0.500 3/3/2021 NZD 69.25 BK NED GEMEENTEN 0.500 6/12/2017 TRY 73.18 BK NED GEMEENTEN 0.500 2/24/2025 CAD 65.75 BK NED GEMEENTEN 0.500 6/7/2022 ZAR 50.10 BLT FINANCE BV 7.500 5/15/2014 USD 17.88 BLT FINANCE BV 7.500 5/15/2014 USD 23.00 BLT FINANCE BV 12.000 2/10/2015 USD 24.13 BRIT INSURANCE 6.625 12/9/2030 GBP 57.86 BULGARIA STEEL 12.000 5/4/2013 EUR 5.88 BULGARIA STEEL 12.000 5/4/2013 EUR 5.88 ENEL FIN INTL NV 5.750 9/14/2040 GBP 75.53 GREENWICH AVENUE 10.000 6/30/2013 USD 0.63 ING BANK NV 4.200 12/19/2035 EUR 66.60 LEHMAN BROS TR B 3.500 9/29/2017 EUR 5.25 LEHMAN BROS TSY 2.500 8/15/2012 CHF 5.25 LEHMAN BROS TSY 13.000 7/25/2012 EUR 16.00 LEHMAN BROS TSY 4.000 7/20/2012 EUR 5.25 LEHMAN BROS TSY 9.250 6/20/2012 USD 5.25 LEHMAN BROS TSY 4.300 6/4/2012 USD 16.00 LEHMAN BROS TSY 6.600 5/23/2012 AUD 16.00 LEHMAN BROS TSY 1.000 5/9/2012 EUR 5.25 LEHMAN BROS TSY 6.750 4/5/2012 EUR 5.25 LEHMAN BROS TSY 0.750 3/29/2012 EUR 5.25 LEHMAN BROS TSY 8.000 3/19/2012 USD 5.25 LEHMAN BROS TSY 3.630 3/2/2012 EUR 16.00 LEHMAN BROS TSY 6.600 2/22/2012 EUR 16.00 LEHMAN BROS TSY 1.460 2/19/2012 JPY 16.00 LEHMAN BROS TSY 7.000 2/15/2012 EUR 16.00 LEHMAN BROS TSY 6.000 2/14/2012 EUR 16.00 LEHMAN BROS TSY 1.500 2/8/2012 CHF 5.25 LEHMAN BROS TSY 10.000 1/3/2012 BRL 5.25 LEHMAN BROS TSY 7.750 1/3/2012 AUD 16.00 LEHMAN BROS TSY 11.000 12/19/2011 USD 5.25 LEHMAN BROS TSY 2.500 12/15/2011 GBP 16.00 LEHMAN BROS TSY 5.000 12/6/2011 EUR 5.25 LEHMAN BROS TSY 4.600 11/9/2011 EUR 5.25 LEHMAN BROS TSY 2.500 11/9/2011 CHF 5.25 LEHMAN BROS TSY 3.500 10/31/2011 USD 5.25 LEHMAN BROS TSY 1.500 10/25/2011 EUR 5.25 LEHMAN BROS TSY 3.500 10/24/2011 USD 5.25 LEHMAN BROS TSY 3.860 9/21/2011 SGD 16.00 LEHMAN BROS TSY 7.000 9/20/2011 USD 5.25 LEHMAN BROS TSY 6.000 9/20/2011 EUR 5.25 LEHMAN BROS TSY 6.250 9/5/2011 EUR 5.25 LEHMAN BROS TSY 5.000 9/1/2011 EUR 5.25 LEHMAN BROS TSY 6.650 8/24/2011 AUD 16.00 LEHMAN BROS TSY 3.000 8/13/2011 EUR 5.25 LEHMAN BROS TSY 4.000 7/27/2011 EUR 5.25 LEHMAN BROS TSY 7.625 7/22/2011 HKD 16.00 LEHMAN BROS TSY 12.000 7/4/2011 EUR 16.00 LEHMAN BROS TSY 11.000 7/4/2011 CHF 16.00 LEHMAN BROS TSY 11.000 7/4/2011 USD 16.00 LEHMAN BROS TSY 2.000 6/28/2011 EUR 5.25 LEHMAN BROS TSY 6.000 6/21/2011 EUR 5.25 LEHMAN BROS TSY 2.000 6/21/2011 EUR 5.25 LEHMAN BROS TSY 3.500 6/20/2011 EUR 5.25 LEHMAN BROS TSY 2.400 6/20/2011 JPY 5.25 LEHMAN BROS TSY 4.000 6/5/2011 USD 16.00 LEHMAN BROS TSY 5.000 5/12/2011 CHF 5.25 LEHMAN BROS TSY 6.700 4/21/2011 USD 5.25 LEHMAN BROS TSY 4.000 4/13/2011 CHF 5.25 LEHMAN BROS TSY 15.000 3/30/2011 EUR 5.25 LEHMAN BROS TSY 6.000 3/17/2011 EUR 5.25 LEHMAN BROS TSY 6.000 3/14/2011 EUR 5.25 LEHMAN BROS TSY 4.000 3/10/2011 EUR 5.25 LEHMAN BROS TSY 8.875 1/28/2011 HKD 16.00 LEHMAN BROS TSY 4.000 1/4/2011 USD 16.00 LEHMAN BROS TSY 8.000 12/31/2010 USD 16.00 LEHMAN BROS TSY 4.500 12/30/2010 USD 16.00 LEHMAN BROS TSY 9.300 12/21/2010 EUR 16.00 LEHMAN BROS TSY 9.300 12/21/2010 EUR 16.00 LEHMAN BROS TSY 6.000 12/21/2010 USD 16.00 LEHMAN BROS TSY 8.050 12/20/2010 HKD 16.00 LEHMAN BROS TSY 14.900 11/16/2010 EUR 16.00 LEHMAN BROS TSY 1.280 11/6/2010 JPY 16.00 LEHMAN BROS TSY 7.000 10/22/2010 EUR 5.25 LEHMAN BROS TSY 4.000 10/12/2010 USD 16.00 LEHMAN BROS TSY 1.500 10/12/2010 EUR 5.25 LEHMAN BROS TSY 4.100 8/23/2010 USD 16.00 LEHMAN BROS TSY 4.000 8/11/2010 USD 5.25 LEHMAN BROS TSY 10.500 8/9/2010 EUR 16.00 LEHMAN BROS TSY 6.000 7/28/2010 EUR 16.00 LEHMAN BROS TSY 6.000 7/28/2010 EUR 16.00 LEHMAN BROS TSY 7.000 7/11/2010 EUR 5.25 LEHMAN BROS TSY 5.500 6/22/2010 USD 5.25 LEHMAN BROS TSY 1.600 6/21/2010 JPY 5.25 LEHMAN BROS TSY 7.250 6/20/2010 USD 5.25 LEHMAN BROS TSY 3.100 6/4/2010 USD 16.00 LEHMAN BROS TSY 3.000 6/3/2010 EUR 5.25 LEHMAN BROS TSY 7.500 5/30/2010 AUD 16.00 LEHMAN BROS TSY 4.000 5/30/2010 USD 16.00 LEHMAN BROS TSY 4.000 5/17/2010 USD 5.25 LEHMAN BROS TSY 2.000 5/17/2010 EUR 16.00 LEHMAN BROS TSY 4.250 5/15/2010 EUR 5.25 LEHMAN BROS TSY 7.600 3/4/2010 NZD 16.00 LEHMAN BROS TSY 11.750 3/1/2010 EUR 16.00 LEHMAN BROS TSY 4.000 2/28/2010 EUR 16.00 LEHMAN BROS TSY 1.000 2/26/2010 USD 5.25 LEHMAN BROS TSY 6.450 2/20/2010 AUD 16.00 LEHMAN BROS TSY 4.100 2/19/2010 EUR 5.25 LEHMAN BROS TSY 7.000 2/15/2010 CHF 16.00 LEHMAN BROS TSY 7.500 2/14/2010 AUD 16.00 LEHMAN BROS TSY 1.750 2/7/2010 EUR 16.00 LEHMAN BROS TSY 10.000 1/4/2010 USD 5.25 LEHMAN BROS TSY 8.800 12/27/2009 EUR 16.00 LEHMAN BROS TSY 7.585 11/22/2009 MXN 16.00 LEHMAN BROS TSY 2.000 11/16/2009 EUR 5.25 LEHMAN BROS TSY 2.750 10/28/2009 EUR 16.00 LEHMAN BROS TSY 3.820 10/20/2009 USD 16.00 LEHMAN BROS TSY 3.400 9/21/2009 HKD 16.00 LEHMAN BROS TSY 7.500 9/13/2009 CHF 16.00 LEHMAN BROS TSY 16.800 8/21/2009 USD 16.00 LEHMAN BROS TSY 8.000 8/3/2009 USD 16.00 LEHMAN BROS TSY 4.500 8/2/2009 USD 16.00 LEHMAN BROS TSY 8.500 7/6/2009 CHF 16.00 LEHMAN BROS TSY 11.000 6/29/2009 EUR 16.00 LEHMAN BROS TSY 3.000 6/23/2009 EUR 5.25 LEHMAN BROS TSY 10.000 6/17/2009 USD 16.00 LEHMAN BROS TSY 5.750 6/15/2009 CHF 16.00 LEHMAN BROS TSY 5.500 6/15/2009 CHF 16.00 LEHMAN BROS TSY 9.000 6/13/2009 USD 16.00 LEHMAN BROS TSY 3.700 6/6/2009 EUR 5.25 LEHMAN BROS TSY 15.000 6/4/2009 CHF 16.00 LEHMAN BROS TSY 17.000 6/2/2009 USD 16.00 LEHMAN BROS TSY 13.500 6/2/2009 USD 16.00 LEHMAN BROS TSY 10.000 5/22/2009 USD 16.00 LEHMAN BROS TSY 8.000 5/22/2009 USD 16.00 LEHMAN BROS TSY 8.000 5/22/2009 USD 16.00 LEHMAN BROS TSY 4.100 5/20/2009 USD 16.00 LEHMAN BROS TSY 16.200 5/14/2009 USD 16.00 LEHMAN BROS TSY 2.480 5/12/2009 USD 5.25 LEHMAN BROS TSY 2.250 5/12/2009 USD 5.25 LEHMAN BROS TSY 4.000 4/24/2009 USD 16.00 LEHMAN BROS TSY 3.850 4/24/2009 USD 16.00 LEHMAN BROS TSY 8.000 4/20/2009 EUR 5.25 LEHMAN BROS TSY 16.000 10/8/2008 CHF 16.00 LEHMAN BROS TSY 7.250 10/6/2008 EUR 16.00 LEHMAN BROS TSY 10.000 10/22/2008 USD 16.00 LEHMAN BROS TSY 8.000 10/23/2008 USD 16.00 LEHMAN BROS TSY 5.000 10/24/2008 CHF 16.00 LEHMAN BROS TSY 6.000 10/24/2008 EUR 16.00 LEHMAN BROS TSY 7.500 10/24/2008 USD 16.00 LEHMAN BROS TSY 16.000 10/28/2008 USD 16.00 LEHMAN BROS TSY 13.150 10/30/2008 USD 16.00 LEHMAN BROS TSY 16.000 11/9/2008 USD 16.00 LEHMAN BROS TSY 14.100 11/12/2008 USD 16.00 LEHMAN BROS TSY 10.442 11/22/2008 CHF 16.00 LEHMAN BROS TSY 7.000 11/28/2008 CHF 16.00 LEHMAN BROS TSY 16.000 12/26/2008 USD 16.00 LEHMAN BROS TSY 6.720 12/29/2008 EUR 5.25 LEHMAN BROS TSY 13.432 1/8/2009 ILS 16.00 LEHMAN BROS TSY 7.750 1/30/2009 EUR 16.00 LEHMAN BROS TSY 6.600 2/9/2009 EUR 5.25 LEHMAN BROS TSY 0.500 2/16/2009 EUR 16.00 LEHMAN BROS TSY 10.000 2/16/2009 CHF 16.00 LEHMAN BROS TSY 11.000 2/16/2009 CHF 16.00 LEHMAN BROS TSY 13.000 2/16/2009 CHF 16.00 LEHMAN BROS TSY 5.000 3/13/2009 EUR 5.25 LEHMAN BROS TSY 9.000 3/17/2009 GBP 16.00 LEHMAN BROS TSY 4.050 9/16/2008 EUR 5.25 LEHMAN BROS TSY 23.300 9/16/2008 USD 16.00 LEHMAN BROS TSY 7.375 9/20/2008 EUR 16.00 LEHMAN BROS TSY 18.250 10/2/2008 USD 16.00 LEHMAN BROS TSY 10.000 3/27/2009 USD 5.25 LEHMAN BROS TSY 7.000 4/14/2009 EUR 16.00 LEHMAN BROS TSY 5.103 6/22/2046 EUR 16.00 LEHMAN BROS TSY 4.680 12/12/2045 EUR 16.00 LEHMAN BROS TSY 10.000 8/2/2037 JPY 5.25 LEHMAN BROS TSY 4.820 12/18/2036 EUR 16.00 LEHMAN BROS TSY 4.950 10/25/2036 EUR 5.25 LEHMAN BROS TSY 3.000 9/12/2036 JPY 5.25 LEHMAN BROS TSY 6.000 11/2/2035 EUR 5.25 LEHMAN BROS TSY 7.250 10/5/2035 EUR 5.38 LEHMAN BROS TSY 7.500 8/1/2035 EUR 5.25 LEHMAN BROS TSY 7.000 5/17/2035 EUR 5.38 LEHMAN BROS TSY 8.250 3/16/2035 EUR 5.63 LEHMAN BROS TSY 6.000 2/15/2035 EUR 5.63 LEHMAN BROS TSY 5.000 2/28/2032 EUR 5.25 LEHMAN BROS TSY 3.500 12/20/2027 USD 5.25 LEHMAN BROS TSY 5.120 4/30/2027 EUR 16.00 LEHMAN BROS TSY 6.500 7/24/2026 EUR 5.25 LEHMAN BROS TSY 5.250 5/26/2026 EUR 5.25 LEHMAN BROS TSY 5.000 8/1/2025 EUR 5.25 LEHMAN BROS TSY 5.220 3/1/2024 EUR 16.00 LEHMAN BROS TSY 5.250 4/1/2023 EUR 16.00 LEHMAN BROS TSY 6.000 2/19/2023 USD 5.25 LEHMAN BROS TSY 9.000 5/15/2022 USD 5.25 LEHMAN BROS TSY 5.000 5/2/2022 EUR 16.00 LEHMAN BROS TSY 4.250 3/13/2021 EUR 16.00 LEHMAN BROS TSY 4.150 8/25/2020 EUR 16.00 LEHMAN BROS TSY 0.500 8/1/2020 EUR 16.00 LEHMAN BROS TSY 4.900 7/28/2020 EUR 5.25 LEHMAN BROS TSY 0.500 7/2/2020 EUR 16.00 LEHMAN BROS TSY 0.500 6/2/2020 EUR 16.00 LEHMAN BROS TSY 11.000 5/9/2020 USD 5.25 LEHMAN BROS TSY 6.300 12/21/2018 USD 5.25 LEHMAN BROS TSY 9.750 6/22/2018 USD 5.25 LEHMAN BROS TSY 6.000 5/23/2018 CZK 5.25 LEHMAN BROS TSY 9.500 4/1/2018 USD 5.25 LEHMAN BROS TSY 7.800 3/31/2018 USD 5.25 LEHMAN BROS TSY 8.000 3/21/2018 USD 5.25 LEHMAN BROS TSY 5.200 3/19/2018 EUR 16.00 LEHMAN BROS TSY 2.600 3/19/2018 JPY 16.00 LEHMAN BROS TSY 5.000 2/15/2018 EUR 5.25 LEHMAN BROS TSY 6.000 12/30/2017 EUR 5.25 LEHMAN BROS TSY 4.500 12/20/2017 AUD 5.25 LEHMAN BROS TSY 4.500 12/20/2017 AUD 5.25 LEHMAN BROS TSY 4.500 12/20/2017 AUD 5.25 LEHMAN BROS TSY 0.500 12/20/2017 AUD 5.25 LEHMAN BROS TSY 0.500 12/20/2017 USD 5.25 LEHMAN BROS TSY 0.500 12/20/2017 USD 5.25 LEHMAN BROS TSY 0.500 12/20/2017 USD 5.25 LEHMAN BROS TSY 0.500 12/20/2017 USD 5.25 LEHMAN BROS TSY 0.500 12/20/2017 AUD 5.25 LEHMAN BROS TSY 0.500 12/20/2017 AUD 5.25 LEHMAN BROS TSY 0.500 12/20/2017 AUD 5.25 LEHMAN BROS TSY 0.500 12/20/2017 AUD 5.25 LEHMAN BROS TSY 12.220 11/21/2017 USD 5.25 LEHMAN BROS TSY 4.600 10/11/2017 ILS 16.00 LEHMAN BROS TSY 5.000 8/16/2017 EUR 8.88 LEHMAN BROS TSY 3.000 8/15/2017 EUR 5.25 LEHMAN BROS TSY 3.000 8/8/2017 EUR 5.25 LEHMAN BROS TSY 7.500 6/15/2017 USD 5.25 LEHMAN BROS TSY 7.000 6/6/2017 EUR 5.25 LEHMAN BROS TSY 6.000 5/12/2017 EUR 5.25 LEHMAN BROS TSY 5.100 5/8/2017 HKD 15.00 LEHMAN BROS TSY 7.390 5/4/2017 USD 5.25 LEHMAN BROS TSY 7.500 5/2/2017 EUR 5.25 LEHMAN BROS TSY 4.500 5/2/2017 EUR 5.25 LEHMAN BROS TSY 5.000 4/24/2017 EUR 5.25 LEHMAN BROS TSY 4.690 2/19/2017 EUR 16.00 LEHMAN BROS TSY 4.000 2/16/2017 EUR 5.25 LEHMAN BROS TSY 0.800 12/30/2016 EUR 5.25 LEHMAN BROS TSY 6.000 12/6/2016 USD 16.00 LEHMAN BROS TSY 4.000 11/24/2016 EUR 5.25 LEHMAN BROS TSY 3.350 10/13/2016 EUR 5.25 LEHMAN BROS TSY 4.350 8/8/2016 SGD 16.00 LEHMAN BROS TSY 4.600 7/6/2016 EUR 5.25 LEHMAN BROS TSY 8.500 7/5/2016 EUR 5.25 LEHMAN BROS TSY 4.700 3/23/2016 EUR 5.25 LEHMAN BROS TSY 4.700 3/23/2016 EUR 5.25 LEHMAN BROS TSY 8.000 2/16/2016 EUR 5.25 LEHMAN BROS TSY 8.250 2/3/2016 EUR 5.25 LEHMAN BROS TSY 8.250 12/3/2015 EUR 5.25 LEHMAN BROS TSY 6.500 5/16/2015 EUR 5.25 LEHMAN BROS TSY 7.050 4/8/2015 USD 5.25 LEHMAN BROS TSY 5.400 3/18/2015 USD 5.25 LEHMAN BROS TSY 5.000 3/18/2015 EUR 5.75 LEHMAN BROS TSY 5.550 3/12/2015 EUR 16.00 LEHMAN BROS TSY 4.500 3/7/2015 EUR 5.25 LEHMAN BROS TSY 1.680 3/5/2015 EUR 5.25 LEHMAN BROS TSY 5.400 3/4/2015 USD 5.25 LEHMAN BROS TSY 5.000 2/25/2015 EUR 5.25 LEHMAN BROS TSY 5.000 2/16/2015 EUR 5.25 LEHMAN BROS TSY 3.025 1/31/2015 EUR 5.25 LEHMAN BROS TSY 8.000 10/17/2014 EUR 5.25 LEHMAN BROS TSY 5.000 9/22/2014 EUR 5.25 LEHMAN BROS TSY 4.500 7/24/2014 EUR 5.25 LEHMAN BROS TSY 0.250 7/21/2014 EUR 5.25 LEHMAN BROS TSY 5.250 7/8/2014 EUR 16.00 LEHMAN BROS TSY 4.100 6/10/2014 SGD 16.00 LEHMAN BROS TSY 2.300 4/28/2014 JPY 5.25 LEHMAN BROS TSY 5.300 4/23/2014 EUR 5.25 LEHMAN BROS TSY 10.600 4/22/2014 MXN 5.25 LEHMAN BROS TSY 5.000 2/27/2014 EUR 5.25 LEHMAN BROS TSY 5.375 2/4/2014 USD 5.25 LEHMAN BROS TSY 7.000 11/26/2013 EUR 5.25 LEHMAN BROS TSY 1.950 11/4/2013 EUR 16.00 LEHMAN BROS TSY 4.870 10/8/2013 USD 16.00 LEHMAN BROS TSY 6.000 8/7/2013 EUR 5.25 LEHMAN BROS TSY 4.600 8/1/2013 EUR 5.25 LEHMAN BROS TSY 2.370 7/15/2013 USD 5.25 LEHMAN BROS TSY 2.300 6/27/2013 USD 16.00 LEHMAN BROS TSY 2.300 6/6/2013 USD 16.00 LEHMAN BROS TSY 3.450 5/23/2013 USD 5.25 LEHMAN BROS TSY 6.700 5/21/2013 USD 5.25 LEHMAN BROS TSY 7.150 3/21/2013 USD 5.25 LEHMAN BROS TSY 2.875 3/14/2013 CHF 16.88 LEHMAN BROS TSY 4.500 3/6/2013 CHF 5.25 LEHMAN BROS TSY 7.600 1/31/2013 AUD 16.00 LEHMAN BROS TSY 13.000 12/14/2012 USD 5.25 LEHMAN BROS TSY 3.000 12/3/2012 EUR 5.25 LEHMAN BROS TSY 6.250 11/30/2012 EUR 5.25 LEHMAN BROS TSY 5.500 11/30/2012 CZK 5.25 LEHMAN BROS TSY 5.000 11/22/2012 EUR 5.25 LEHMAN BROS TSY 6.000 10/30/2012 EUR 5.25 LEHMAN BROS TSY 6.000 10/30/2012 USD 5.25 LEHMAN BROS TSY 4.000 10/24/2012 EUR 5.25 LEHMAN BROS TSY 0.250 10/19/2012 CHF 5.25 LEHMAN BROS TSY 2.500 8/23/2012 GBP 16.00 NATL INVESTER BK 25.983 5/7/2029 EUR 25.02 NED WATERSCHAPBK 0.500 3/11/2025 CAD 64.76 NIB CAPITAL BANK 4.510 12/16/2035 EUR 67.84 PORTUGAL TEL FIN 4.500 6/16/2025 EUR 69.28 Q-CELLS INTERNAT 5.750 5/26/2014 EUR 13.33 RABOBANK 0.500 11/26/2021 ZAR 46.07 RABOBANK 0.500 10/27/2016 ZAR 73.86 RBS NV EX-ABN NV 2.910 6/21/2036 JPY 69.87 RBS NV EX-ABN NV 6.500 5/17/2018 AUD 71.34 SNS BANK 6.250 10/26/2020 EUR 73.92 SNS BANK 4.580 3/20/2026 EUR 65.94 SNS BANK 5.215 12/3/2027 EUR 69.06 SRLEV NV 9.000 4/15/2041 EUR 73.21 TJIWI KIMIA FIN 13.250 8/1/2001 USD 0.01 NORWAY ------ KOMMUNALBANKEN 0.500 5/25/2018 ZAR 63.06 KOMMUNALBANKEN 0.500 3/29/2017 BRL 70.10 KOMMUNALBANKEN 0.500 5/10/2017 BRL 69.95 KOMMUNALBANKEN 0.500 3/28/2017 BRL 70.58 KOMMUNALBANKEN 0.500 7/26/2016 BRL 74.26 KOMMUNALBANKEN 0.500 7/28/2016 BRL 73.81 KOMMUNALBANKEN 0.500 7/29/2016 TRY 74.92 KOMMUNALBANKEN 0.500 8/16/2016 BRL 73.53 KOMMUNALBANKEN 0.500 3/7/2017 BRL 70.89 KOMMUNALBANKEN 0.500 3/2/2018 BRL 65.82 NORSKE SKOGIND 6.125 10/15/2015 USD 71.33 NORSKE SKOGIND 7.000 6/26/2017 EUR 61.21 NORSKE SKOGIND 7.125 10/15/2033 USD 52.38 NORSKE SKOGIND 7.125 10/15/2033 USD 52.38 NORSKE SKOGIND 6.125 10/15/2015 USD 71.00 RENEWABLE CORP 6.500 6/4/2014 EUR 60.32 RENEWABLE CORP 9.750 5/3/2018 NOK 70.62 POLAND ------ POLAND GOVT BOND 5.000 4/25/2037 PLN 63.50 PORTUGAL -------- CAIXA GERAL DEPO 5.380 10/1/2038 EUR 60.26 CAIXA GERAL DEPO 4.250 1/27/2020 EUR 75.94 COMBOIOS DE PORT 4.170 10/16/2019 EUR 50.18 COMBOIOS DE PORT 5.700 2/5/2030 EUR 59.98 METRO DE LISBOA 5.750 2/4/2019 EUR 57.93 METRO DE LISBOA 4.061 12/4/2026 EUR 48.50 METRO DE LISBOA 4.799 12/7/2027 EUR 48.66 METRO DE LISBOA 7.300 12/23/2025 EUR 54.38 MONTEPIO GERAL 4.000 2/8/2015 EUR 74.38 MONTEPIO GERAL 5.000 2/8/2017 EUR 61.63 PARPUBLICA 5.250 9/28/2017 EUR 69.75 PARPUBLICA 4.200 11/16/2026 EUR 50.25 PARPUBLICA 3.567 9/22/2020 EUR 55.54 PORTUGAL (REP) 3.500 3/25/2015 USD 75.22 PORTUGUESE OT'S 4.200 10/15/2016 EUR 68.09 PORTUGUESE OT'S 4.350 10/16/2017 EUR 62.88 PORTUGUESE OT'S 4.450 6/15/2018 EUR 60.40 PORTUGUESE OT'S 4.750 6/14/2019 EUR 59.42 PORTUGUESE OT'S 4.800 6/15/2020 EUR 58.01 PORTUGUESE OT'S 3.850 4/15/2021 EUR 55.95 PORTUGUESE OT'S 4.100 4/15/2037 EUR 46.49 PORTUGUESE OT'S 4.950 10/25/2023 EUR 56.70 PORTUGUESE OT'S 3.350 10/15/2015 EUR 72.46 REFER 4.000 3/16/2015 EUR 57.02 REFER 5.875 2/18/2019 EUR 59.53 REFER 4.047 11/16/2026 EUR 46.99 REFER 4.250 12/13/2021 EUR 44.99 REFER 4.675 10/16/2024 EUR 48.14 RUSSIA ------ ARIZK 3.000 12/20/2030 RUB 44.03 DVTG-FINANS 17.000 8/29/2013 RUB 55.55 DVTG-FINANS 7.750 7/18/2013 RUB 20.29 MIRAX 17.000 9/17/2012 RUB 31.51 NOK 12.500 8/26/2014 RUB 5.00 PROMPEREOSNASTKA 1.000 12/17/2012 RUB 0.01 PROTON-FINANCE 9.000 6/12/2012 RUB 65.00 RBC OJSC 3.270 4/19/2018 RUB 45.00 RBC OJSC 7.000 4/23/2015 RUB 70.00 RBC OJSC 7.000 4/23/2015 RUB 71.50 SATURN 8.000 6/6/2014 RUB 2.00 SPAIN ----- AYT CEDULAS CAJA 4.750 5/25/2027 EUR 66.02 AYT CEDULAS CAJA 3.750 12/14/2022 EUR 67.67 AYT CEDULAS CAJA 4.250 10/25/2023 EUR 69.70 AYT CEDULAS CAJA 3.750 6/30/2025 EUR 59.36 AYUNTAM DE MADRD 4.350 6/16/2021 EUR 65.91 AYUNTAM DE MADRD 4.550 6/16/2036 EUR 47.78 BANCAJA 1.500 5/22/2018 EUR 61.36 BANCO BILBAO VIZ 6.025 3/3/2033 EUR 57.64 BANCO BILBAO VIZ 4.500 2/16/2022 EUR 71.59 BANCO BILBAO VIZ 4.375 10/20/2019 EUR 74.07 BANCO CASTILLA 1.500 6/23/2021 EUR 63.95 BANCO POP ESPAN 5.702 12/22/2019 EUR 73.00 BASQUE GOV'T 4.600 1/7/2025 EUR 71.79 BBVA SUB CAP UNI 2.750 10/22/2035 JPY 66.72 BPE FINANCIACION 6.873 10/22/2020 EUR 72.17 CAIXA TERRASSA 1.700 3/12/2022 EUR 65.66 CAIXA TERRASSA 4.700 8/9/2021 EUR 67.19 CAIXABANK 4.000 2/9/2022 EUR 72.35 CAJA MADRID 5.116 7/15/2015 EUR 72.50 CAJA MADRID 4.125 3/24/2036 EUR 68.67 CEDULAS TDA 6 FO 3.875 5/23/2025 EUR 61.85 CEDULAS TDA 6 FO 4.250 4/10/2031 EUR 57.37 CEDULAS TDA A-5 4.250 3/28/2027 EUR 61.79 COMUN AUTO CANAR 3.900 11/30/2035 EUR 46.00 COMUN AUTO CANAR 4.200 10/25/2036 EUR 48.28 COMUN AUTO CANAR 4.450 11/17/2019 EUR 72.24 COMUN AUTO CANAR 5.750 10/15/2029 EUR 69.36 COMUN NAVARRA 4.000 11/23/2021 EUR 73.17 COMUNIDAD ARAGON 4.646 7/11/2036 EUR 55.26 COMUNIDAD ARAGON 4.470 7/12/2021 EUR 72.66 COMUNIDAD ARAGON 4.815 10/10/2022 EUR 71.99 COMUNIDAD BALEAR 3.869 11/23/2020 EUR 65.47 COMUNIDAD BALEAR 4.063 11/23/2035 EUR 43.62 COMUNIDAD BALEAR 4.796 3/4/2020 EUR 73.49 COMUNIDAD MADRID 4.300 9/15/2026 EUR 63.35 DIPUTACION FOR 4.323 12/29/2023 EUR 64.49 GEN DE CATALUNYA 5.950 10/1/2030 EUR 60.18 GEN DE CATALUNYA 2.965 9/8/2039 JPY 43.56 GEN DE CATALUNYA 4.220 4/26/2035 EUR 44.64 GEN DE CATALUNYA 4.690 10/28/2034 EUR 48.85 GEN DE CATALUNYA 6.350 11/30/2041 EUR 61.66 GEN DE CATALUNYA 2.125 10/1/2014 CHF 74.96 GEN DE CATALUNYA 2.315 9/10/2015 CHF 72.42 GEN DE CATALUNYA 2.355 11/10/2015 CHF 71.51 GEN DE CATALUNYA 2.750 3/24/2016 CHF 70.26 GEN DE CATALUNYA 4.801 7/31/2020 EUR 70.49 GEN DE CATALUNYA 4.900 9/15/2021 EUR 68.32 GEN DE CATALUNYA 5.250 10/5/2023 EUR 65.26 GEN DE CATALUNYA 5.900 5/20/2024 EUR 68.77 GEN DE CATALUNYA 5.325 10/5/2028 EUR 57.24 GEN DE CATALUNYA 5.219 9/10/2029 EUR 55.31 GEN DE CATALUNYA 5.400 5/13/2030 EUR 56.32 GEN DE CATALUNYA 5.900 5/28/2030 EUR 60.60 GENERAL VALENCIA 4.000 11/2/2016 EUR 72.50 GENERAL VALENCIA 4.900 3/17/2020 EUR 64.38 GENERAL VALENCIA 5.900 11/30/2032 EUR 50.63 IM CEDULAS 5 3.500 6/15/2020 EUR 74.18 INSTIT CRDT OFCL 3.250 6/28/2024 CHF 67.98 INSTIT CRDT OFCL 2.100 2/23/2021 JPY 70.13 INSTIT CRDT OFCL 2.570 10/22/2021 CHF 67.83 INSTITUT CATALA 4.250 6/15/2024 EUR 59.47 JUNTA ANDALUCIA 3.065 7/29/2039 JPY 46.30 JUNTA ANDALUCIA 4.850 3/17/2020 EUR 72.34 JUNTA ANDALUCIA 3.170 7/29/2039 JPY 47.50 JUNTA ANDALUCIA 3.050 12/10/2020 JPY 73.62 JUNTA ANDALUCIA 5.000 7/13/2022 EUR 68.01 JUNTA ANDALUCIA 5.700 7/20/2028 EUR 64.21 JUNTA ANDALUCIA 4.125 1/20/2020 EUR 70.25 JUNTA ANDALUCIA 5.150 5/24/2034 EUR 55.20 JUNTA ANDALUCIA 6.600 11/29/2030 EUR 68.77 JUNTA ANDALUCIA 4.250 10/31/2036 EUR 44.57 JUNTA CASTILLA 4.650 11/8/2022 EUR 69.58 JUNTA LA MANCHA 3.875 1/31/2036 EUR 40.00 JUNTA LA MANCHA 7.705 2/15/2033 EUR 72.50 JUNTA LA MANCHA 4.625 11/30/2022 EUR 63.25 JUNTA LA MANCHA 4.875 3/18/2020 EUR 72.38 JUNTA LA MANCHA 2.810 10/14/2022 JPY 62.63 JUNTA LA MANCHA 5.950 9/9/2030 EUR 60.19 MAPFRE SA 5.921 7/24/2037 EUR 63.23 SACYR VALLEHERM 6.500 5/1/2016 EUR 59.06 SANTANDER ISSUAN 5.750 1/31/2018 GBP 73.02 SANTANDER ISSUAN 5.435 10/24/2017 EUR 77.00 SANTANDER ISSUAN 4.250 5/30/2018 EUR 72.00 SANTANDER ISSUAN 4.750 5/29/2019 EUR 71.75 SANTANDER ISSUAN 4.500 9/30/2019 EUR 70.01 SPANISH GOV'T 4.200 1/31/2037 EUR 71.48 XUNTA DE GALICIA 5.350 11/22/2028 EUR 62.82 XUNTA DE GALICIA 4.205 11/30/2019 EUR 73.98 XUNTA DE GALICIA 4.025 11/28/2035 EUR 46.61 SWEDEN ------ ASSA ABLOY AB 4.000 2/15/2027 EUR 74.13 SAS AB 7.500 4/1/2015 SEK 74.48 SWEDISH EXP CRED 7.500 6/12/2012 USD 6.95 SWEDISH EXP CRED 0.500 11/27/2015 TRY 74.50 SWEDISH EXP CRED 0.500 5/27/2016 BRL 74.94 SWEDISH EXP CRED 0.500 6/29/2016 TRY 71.36 SWEDISH EXP CRED 0.500 6/29/2016 BRL 74.40 SWEDISH EXP CRED 0.500 8/25/2016 BRL 73.88 SWEDISH EXP CRED 0.500 9/14/2016 BRL 73.57 SWEDISH EXP CRED 0.500 9/30/2016 ZAR 74.79 SWEDISH EXP CRED 0.500 12/14/2016 BRL 72.09 SWEDISH EXP CRED 0.500 12/21/2016 BRL 71.98 SWEDISH EXP CRED 0.500 1/26/2017 BRL 71.41 SWEDISH EXP CRED 0.500 12/17/2027 USD 61.06 SWEDISH EXP CRED 0.500 3/15/2022 ZAR 42.43 SWEDISH EXP CRED 0.500 2/22/2022 ZAR 42.69 SWEDISH EXP CRED 0.500 7/21/2017 BRL 68.68 SWEDISH EXP CRED 0.500 8/25/2021 ZAR 44.95 SWEDISH EXP CRED 0.500 1/31/2022 ZAR 43.28 SWEDISH EXP CRED 0.500 8/26/2021 AUD 66.13 SWEDISH EXP CRED 0.500 12/22/2016 BRL 71.96 SWEDISH EXP CRED 0.500 3/10/2017 BRL 70.70 SWEDISH EXP CRED 0.500 2/3/2017 BRL 71.33 SWEDISH EXP CRED 0.500 6/30/2017 BRL 68.99 SWEDISH EXP CRED 0.500 6/21/2017 BRL 69.12 SWEDISH EXP CRED 0.500 1/25/2028 USD 60.70 SWITZERLAND ----------- BANK JULIUS BAER 12.000 7/6/2012 EUR 54.65 BANK JULIUS BAER 11.900 7/6/2012 CHF 60.55 BANK JULIUS BAER 11.300 7/6/2012 CHF 42.45 BANK JULIUS BAER 10.700 7/6/2012 CHF 73.60 BANK JULIUS BAER 10.500 7/6/2012 USD 63.30 BANK JULIUS BAER 9.000 9/17/2012 CHF 42.55 BANK JULIUS BAER 10.500 12/14/2012 USD 69.25 BANK JULIUS BAER 10.000 1/28/2013 CHF 68.05 BANK JULIUS BAER 17.300 2/1/2013 EUR 63.95 BANK JULIUS BAER 12.000 4/9/2013 CHF 48.15 BANK JULIUS BAER 8.700 8/5/2013 CHF 64.37 BANK JULIUS BAER 8.750 6/15/2012 CHF 70.05 BANK JULIUS BAER 10.500 7/6/2012 CHF 69.35 BANK JULIUS BAER 10.100 7/6/2012 CHF 41.85 BANK JULIUS BAER 14.800 7/6/2012 EUR 52.05 BANK JULIUS BAER 14.300 7/13/2012 CHF 47.85 BANK JULIUS BAER 10.500 7/18/2012 CHF 57.20 BANK JULIUS BAER 5.500 7/20/2012 CHF 69.90 BANK JULIUS BAER 11.700 7/20/2012 EUR 71.25 BANK JULIUS BAER 8.750 7/26/2012 EUR 71.40 BANK JULIUS BAER 9.300 7/27/2012 EUR 65.15 BANK JULIUS BAER 11.000 7/27/2012 CHF 71.15 BANK JULIUS BAER 12.000 7/27/2012 EUR 71.30 BANK JULIUS BAER 9.000 7/6/2012 EUR 64.85 BANK JULIUS BAER 8.600 7/6/2012 CHF 69.60 BANK JULIUS BAER 11.900 6/29/2012 EUR 60.45 BANK JULIUS BAER 8.000 6/29/2012 EUR 71.45 BANK JULIUS BAER 14.000 6/28/2012 EUR 58.05 BANK JULIUS BAER 8.600 6/27/2012 CHF 73.20 BANK JULIUS BAER 10.000 6/22/2012 CHF 71.35 BANK JULIUS BAER 7.500 6/15/2012 CHF 74.75 BANK JULIUS BAER 7.000 6/15/2012 CHF 70.70 BANK JULIUS BAER 7.400 6/14/2012 CAD 51.75 BANK JULIUS BAER 8.200 6/8/2012 CHF 67.90 BANK JULIUS BAER 13.000 6/1/2012 USD 51.15 BANK JULIUS BAER 11.200 6/1/2012 CHF 64.80 BANK JULIUS BAER 12.400 7/6/2012 CHF 49.70 BANK JULIUS BAER 10.600 6/1/2012 EUR 73.45 BANK JULIUS BAER 10.300 6/1/2012 EUR 72.95 BANK JULIUS BAER 10.000 6/1/2012 CHF 50.65 BANK JULIUS BAER 9.750 6/1/2012 EUR 72.10 BANK JULIUS BAER 9.000 5/30/2012 CHF 50.45 BANK JULIUS BAER 10.000 5/25/2012 CHF 65.10 BANK JULIUS BAER 9.200 5/25/2012 EUR 48.20 BANK JULIUS BAER 8.600 5/25/2012 EUR 71.75 BANK JULIUS BAER 8.500 5/25/2012 CHF 65.60 BANK JULIUS BAER 14.000 5/24/2012 EUR 70.20 BANK JULIUS BAER 8.200 5/18/2012 EUR 66.95 BANK JULIUS BAER 9.700 5/18/2012 USD 69.70 BANK JULIUS BAER 11.600 5/18/2012 USD 74.85 BANK JULIUS BAER 8.400 5/23/2012 CHF 50.40 BANK JULIUS BAER 10.000 5/23/2012 CHF 66.55 BANK JULIUS BAER 11.300 8/3/2012 CHF 66.92 BANK JULIUS BAER 22.800 8/3/2012 USD 56.11 CLARIDEN LEU NAS 0.000 11/26/2013 CHF 57.66 CLARIDEN LEU NAS 9.500 7/13/2012 EUR 47.81 CLARIDEN LEU NAS 11.750 7/12/2012 USD 59.16 CLARIDEN LEU NAS 10.500 7/12/2012 CHF 57.39 CLARIDEN LEU NAS 12.500 7/11/2012 EUR 62.19 CLARIDEN LEU NAS 11.250 7/6/2012 GBP 71.98 CLARIDEN LEU NAS 10.000 7/6/2012 EUR 67.72 CLARIDEN LEU NAS 10.000 7/6/2012 CHF 70.26 CLARIDEN LEU NAS 11.000 7/5/2012 CHF 59.60 CLARIDEN LEU NAS 10.500 7/4/2012 EUR 63.11 CLARIDEN LEU NAS 10.250 7/4/2012 EUR 53.09 CLARIDEN LEU NAS 10.000 7/4/2012 CHF 59.21 CLARIDEN LEU NAS 9.500 7/4/2012 CHF 66.50 CLARIDEN LEU NAS 9.250 7/4/2012 EUR 72.99 CLARIDEN LEU NAS 8.750 7/4/2012 CHF 61.74 CLARIDEN LEU NAS 8.500 7/4/2012 EUR 68.49 CLARIDEN LEU NAS 8.000 7/4/2012 CHF 74.27 CLARIDEN LEU NAS 6.250 7/4/2012 CHF 74.12 CLARIDEN LEU NAS 15.500 6/29/2012 EUR 40.95 CLARIDEN LEU NAS 14.000 6/29/2012 CHF 73.44 CLARIDEN LEU NAS 10.000 6/27/2012 CHF 71.84 CLARIDEN LEU NAS 12.500 6/22/2012 EUR 72.64 CLARIDEN LEU NAS 11.250 6/22/2012 CHF 47.00 CLARIDEN LEU NAS 10.000 6/22/2012 CHF 55.03 CLARIDEN LEU NAS 10.500 6/21/2012 EUR 53.46 CLARIDEN LEU NAS 10.000 6/21/2012 EUR 57.38 CLARIDEN LEU NAS 9.000 6/21/2012 CHF 54.54 CLARIDEN LEU NAS 12.000 6/20/2012 USD 58.02 CLARIDEN LEU NAS 10.250 6/20/2012 SEK 66.97 CLARIDEN LEU NAS 8.500 6/20/2012 CHF 71.12 CLARIDEN LEU NAS 3.550 6/20/2012 CHF 47.66 CLARIDEN LEU NAS 10.500 6/15/2012 CHF 64.33 CLARIDEN LEU NAS 9.000 6/15/2012 CHF 63.32 CLARIDEN LEU NAS 12.000 6/14/2012 CHF 30.65 CLARIDEN LEU NAS 11.750 6/14/2012 EUR 68.41 CLARIDEN LEU NAS 9.250 6/14/2012 CHF 67.44 CLARIDEN LEU NAS 9.000 6/14/2012 CHF 52.35 CLARIDEN LEU NAS 13.500 6/8/2012 EUR 49.73 CLARIDEN LEU NAS 8.500 6/8/2012 CHF 61.83 CLARIDEN LEU NAS 7.500 6/8/2012 GBP 64.44 CLARIDEN LEU NAS 0.000 6/8/2012 CHF 60.03 CLARIDEN LEU NAS 12.500 6/6/2012 EUR 73.14 CLARIDEN LEU NAS 11.000 6/6/2012 CAD 67.33 CLARIDEN LEU NAS 10.000 6/6/2012 NOK 60.63 CLARIDEN LEU NAS 10.000 6/6/2012 CHF 67.60 CLARIDEN LEU NAS 13.250 6/1/2012 USD 11.51 CLARIDEN LEU NAS 12.500 6/1/2012 CHF 11.54 CLARIDEN LEU NAS 11.500 6/1/2012 EUR 69.03 CLARIDEN LEU NAS 7.500 6/1/2012 EUR 63.06 CLARIDEN LEU NAS 12.250 5/31/2012 EUR 38.33 CLARIDEN LEU NAS 10.750 5/30/2012 CHF 51.74 CLARIDEN LEU NAS 10.500 5/30/2012 EUR 64.95 CLARIDEN LEU NAS 10.500 5/25/2012 CHF 65.67 CLARIDEN LEU NAS 12.750 5/24/2012 EUR 48.52 CLARIDEN LEU NAS 10.500 5/24/2012 EUR 71.20 CLARIDEN LEU NAS 14.000 5/23/2012 EUR 10.69 CLARIDEN LEU NAS 13.000 5/23/2012 CHF 10.66 CLARIDEN LEU NAS 12.750 5/23/2012 EUR 74.96 CLARIDEN LEU NAS 11.500 5/23/2012 USD 59.96 CLARIDEN LEU NAS 10.000 5/23/2012 CHF 69.01 CLARIDEN LEU NAS 10.000 5/23/2012 NOK 58.90 CLARIDEN LEU NAS 12.000 5/18/2012 EUR 51.02 CLARIDEN LEU NAS 10.600 5/18/2012 CHF 51.30 CLARIDEN LEU NAS 10.000 5/18/2012 EUR 64.30 CLARIDEN LEU NAS 21.650 11/25/2014 EUR 73.81 CLARIDEN LEU NAS 0.000 10/15/2014 CHF 56.15 CLARIDEN LEU NAS 0.000 9/10/2014 CHF 51.74 CLARIDEN LEU NAS 0.000 8/27/2014 CHF 52.34 CLARIDEN LEU NAS 4.500 8/13/2014 CHF 43.70 CLARIDEN LEU NAS 5.250 8/6/2014 CHF 46.71 CLARIDEN LEU NAS 4.500 8/6/2014 EUR 71.30 CLARIDEN LEU NAS 0.000 6/10/2014 CHF 58.95 CLARIDEN LEU NAS 0.000 6/10/2014 CHF 56.59 CLARIDEN LEU NAS 0.000 6/3/2014 CHF 68.57 CLARIDEN LEU NAS 0.000 5/26/2014 CHF 58.78 CLARIDEN LEU NAS 0.000 5/13/2014 CHF 58.16 CLARIDEN LEU NAS 0.000 2/24/2014 CHF 49.86 CLARIDEN LEU NAS 0.000 2/11/2014 CHF 49.43 CLARIDEN LEU NAS 18.400 12/20/2013 EUR 68.57 CLARIDEN LEU NAS 0.000 11/4/2013 USD 73.86 CLARIDEN LEU NAS 0.000 11/4/2013 CHF 73.79 CLARIDEN LEU NAS 0.000 9/23/2013 CHF 48.90 CLARIDEN LEU NAS 0.000 9/16/2013 USD 68.27 CLARIDEN LEU NAS 3.250 9/16/2013 CHF 48.10 CLARIDEN LEU NAS 7.000 7/22/2013 CHF 65.75 CLARIDEN LEU NAS 13.000 7/15/2013 CHF 68.62 CLARIDEN LEU NAS 10.000 6/10/2013 CHF 57.26 CLARIDEN LEU NAS 0.000 5/31/2013 CHF 60.44 CLARIDEN LEU NAS 6.500 4/26/2013 CHF 52.92 CLARIDEN LEU NAS 0.000 4/4/2013 CHF 73.29 CLARIDEN LEU NAS 10.750 3/27/2013 USD 74.42 CLARIDEN LEU NAS 0.000 3/25/2013 CHF 53.97 CLARIDEN LEU NAS 12.000 3/8/2013 USD 73.61 CLARIDEN LEU NAS 12.500 3/1/2013 USD 73.69 CLARIDEN LEU NAS 20.000 2/27/2013 USD 69.09 CLARIDEN LEU NAS 11.000 2/21/2013 USD 73.68 CLARIDEN LEU NAS 13.500 2/15/2013 EUR 69.40 CLARIDEN LEU NAS 9.000 2/14/2013 CHF 62.08 CLARIDEN LEU NAS 11.500 2/13/2013 EUR 68.60 CLARIDEN LEU NAS 0.000 1/24/2013 CHF 63.28 CLARIDEN LEU NAS 8.750 1/15/2013 CHF 63.79 CLARIDEN LEU NAS 18.000 12/28/2012 USD 66.49 CLARIDEN LEU NAS 8.250 12/17/2012 CHF 63.50 CLARIDEN LEU NAS 0.000 12/17/2012 EUR 62.98 CLARIDEN LEU NAS 0.000 12/14/2012 CHF 51.45 CLARIDEN LEU NAS 10.500 11/26/2012 EUR 58.87 CLARIDEN LEU NAS 8.000 11/20/2012 CHF 67.48 CLARIDEN LEU NAS 7.125 11/19/2012 CHF 52.85 CLARIDEN LEU NAS 7.250 11/16/2012 CHF 53.41 CLARIDEN LEU NAS 7.500 11/13/2012 CHF 52.92 CLARIDEN LEU NAS 7.250 11/13/2012 CHF 68.73 CLARIDEN LEU NAS 20.750 11/2/2012 GBP 70.61 CLARIDEN LEU NAS 19.000 10/18/2012 USD 74.25 CLARIDEN LEU NAS 10.250 10/18/2012 EUR 72.20 CLARIDEN LEU NAS 10.000 10/15/2012 CHF 49.33 CLARIDEN LEU NAS 9.500 10/15/2012 CHF 49.95 CLARIDEN LEU NAS 8.500 10/15/2012 CHF 48.47 CLARIDEN LEU NAS 8.000 10/15/2012 CHF 61.52 CLARIDEN LEU NAS 10.500 10/8/2012 CHF 71.86 CLARIDEN LEU NAS 10.000 10/8/2012 EUR 52.34 CLARIDEN LEU NAS 9.000 10/8/2012 CHF 71.06 CLARIDEN LEU NAS 7.000 10/4/2012 CHF 49.73 CLARIDEN LEU NAS 10.000 9/25/2012 CHF 74.67 CLARIDEN LEU NAS 9.500 9/24/2012 CHF 62.38 CLARIDEN LEU NAS 9.000 9/24/2012 CHF 62.21 CLARIDEN LEU NAS 10.250 9/17/2012 CHF 49.34 CLARIDEN LEU NAS 10.000 9/11/2012 CHF 48.35 CLARIDEN LEU NAS 11.000 9/10/2012 EUR 64.86 CLARIDEN LEU NAS 7.500 9/10/2012 CHF 59.85 CLARIDEN LEU NAS 12.000 9/4/2012 EUR 38.20 CLARIDEN LEU NAS 10.500 9/4/2012 USD 63.58 CLARIDEN LEU NAS 9.250 9/4/2012 CHF 45.76 CLARIDEN LEU NAS 11.250 8/22/2012 CHF 67.89 CLARIDEN LEU NAS 7.000 8/16/2012 CHF 50.70 CLARIDEN LEU NAS 12.000 8/15/2012 USD 68.09 CLARIDEN LEU NAS 10.000 8/10/2012 EUR 66.66 CLARIDEN LEU NAS 11.750 8/8/2012 EUR 61.69 CLARIDEN LEU NAS 10.750 8/8/2012 EUR 72.19 CLARIDEN LEU NAS 10.000 8/8/2012 USD 62.48 CLARIDEN LEU NAS 9.250 8/8/2012 EUR 72.79 CLARIDEN LEU NAS 10.000 8/3/2012 CHF 71.61 CLARIDEN LEU NAS 13.000 8/2/2012 EUR 70.07 CLARIDEN LEU NAS 11.000 8/2/2012 USD 56.61 CLARIDEN LEU NAS 10.500 8/2/2012 EUR 49.40 CLARIDEN LEU NAS 10.250 8/2/2012 CHF 62.31 CLARIDEN LEU NAS 9.750 8/2/2012 CHF 72.97 CLARIDEN LEU NAS 12.000 7/26/2012 EUR 72.30 CLARIDEN LEU NAS 11.000 7/26/2012 CHF 72.74 CLARIDEN LEU NAS 10.500 7/26/2012 CHF 69.20 CLARIDEN LEU NAS 8.750 7/26/2012 CHF 59.34 CLARIDEN LEU NAS 11.000 7/25/2012 NOK 67.57 CLARIDEN LEU NAS 10.250 7/25/2012 EUR 71.82 CLARIDEN LEU NAS 10.250 7/25/2012 USD 66.48 CLARIDEN LEU NAS 9.250 7/25/2012 CHF 66.42 CLARIDEN LEU NAS 12.250 7/20/2012 USD 59.09 CLARIDEN LEU NAS 9.500 7/20/2012 CHF 61.61 CLARIDEN LEU NAS 10.750 7/19/2012 EUR 65.78 CLARIDEN LEU NAS 9.000 7/19/2012 CHF 58.56 CLARIDEN LEU NAS 11.000 7/18/2012 EUR 67.56 CLARIDEN LEU NAS 10.500 7/18/2012 CHF 60.02 CLARIDEN LEU NAS 7.900 7/18/2012 USD 65.67 CLARIDEN LEU NAS 11.750 7/13/2012 EUR 68.41 CREDIT SUISSE LD 8.900 3/25/2013 EUR 59.06 CREDIT SUISSE LD 4.000 12/10/2012 EUR 41.80 S-AIR GROUP 4.250 2/2/2007 CHF 10.38 S-AIR GROUP 2.125 11/4/2004 CHF 10.38 S-AIR GROUP 0.125 7/7/2005 CHF 10.38 SARASIN CI LTD 8.400 5/30/2012 CHF 65.32 SARASIN CI LTD 7.743 6/8/2012 CHF 66.45 SARASIN CI LTD 5.538 6/18/2012 CHF 50.04 SARASIN CI LTD 9.300 6/20/2012 CHF 70.81 SARASIN CI LTD 12.000 6/27/2012 CHF 45.24 SARASIN CI LTD 8.000 4/27/2015 CHF 63.37 SARASIN CI LTD 4.154 6/11/2012 CHF 66.58 SARASIN CI LTD 8.000 9/3/2012 CHF 57.23 SARASIN/GUERNSEY 7.600 7/13/2012 EUR 63.55 SARASIN/GUERNSEY 10.000 7/20/2012 EUR 70.27 SARASIN/GUERNSEY 12.100 7/12/2012 CHF 56.77 SARASIN/GUERNSEY 15.400 7/12/2012 EUR 66.21 SARASIN/GUERNSEY 10.000 8/10/2012 EUR 51.51 SARASIN/GUERNSEY 7.200 7/16/2012 CHF 56.06 SARASIN/GUERNSEY 7.200 7/19/2012 CHF 70.51 SARASIN/GUERNSEY 17.000 10/12/2012 EUR 73.02 SWISSAIR 6.250 4/12/2005 CHF 10.38 SWISSAIR 5.500 7/23/2003 CHF 10.38 SWISSAIR 6.250 10/27/2002 CHF 10.38 SWISSAIR 2.750 7/30/2004 CHF 10.38 SWISSAIR 2.750 7/30/2004 CHF 10.38 UBS AG 9.000 5/18/2012 EUR 69.05 UBS AG 13.300 5/23/2012 USD 3.41 UBS AG 13.700 5/23/2012 USD 13.94 UBS AG 14.000 5/23/2012 USD 8.96 UBS AG 11.740 6/1/2012 EUR 73.44 UBS AG 13.130 6/1/2012 EUR 71.52 UBS AG 14.620 6/1/2012 EUR 69.70 UBS AG 9.820 6/4/2012 EUR 69.08 UBS AG 9.850 6/4/2012 EUR 69.94 UBS AG 10.470 6/4/2012 EUR 44.54 UBS AG 10.740 6/4/2012 EUR 71.88 UBS AG 12.410 6/4/2012 EUR 72.54 UBS AG 12.650 6/4/2012 EUR 73.68 UBS AG 13.680 6/4/2012 EUR 73.50 UBS AG 15.860 6/4/2012 EUR 62.48 UBS AG 17.720 6/4/2012 EUR 37.38 UBS AG 6.700 6/6/2012 CHF 72.20 UBS AG 8.000 6/6/2012 CHF 64.95 UBS AG 10.000 6/6/2012 CHF 63.25 UBS AG 10.600 6/6/2012 CHF 65.10 UBS AG 15.000 6/6/2012 CHF 59.30 UBS AG 8.000 6/14/2012 CHF 68.75 UBS AG 9.000 6/14/2012 EUR 69.00 UBS AG 8.700 6/22/2012 EUR 74.00 UBS AG 9.140 6/22/2012 EUR 68.36 UBS AG 9.930 6/22/2012 EUR 70.80 UBS AG 10.620 6/22/2012 EUR 74.90 UBS AG 10.710 6/22/2012 EUR 65.56 UBS AG 11.230 6/22/2012 EUR 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EUR 65.78 UBS AG 10.390 1/18/2013 USD 36.86 UBS AG 11.020 1/25/2013 EUR 72.30 UBS AG 12.010 1/25/2013 EUR 71.42 UBS AG 14.070 1/25/2013 EUR 69.88 UBS AG 10.590 2/22/2013 EUR 72.38 UBS AG 10.960 2/22/2013 EUR 72.44 UBS AG 12.680 2/22/2013 EUR 71.70 UBS AG 12.690 2/22/2013 EUR 73.06 UBS AG 13.070 2/22/2013 EUR 68.40 UBS AG 13.660 2/22/2013 EUR 68.70 UBS AG 14.850 2/22/2013 EUR 69.72 UBS AG 15.800 2/22/2013 EUR 74.76 UBS AG 13.760 3/6/2013 USD 6.38 UBS AG 10.000 3/7/2013 USD 67.25 UBS AG 9.850 3/22/2013 USD 20.47 UBS AG 9.650 4/11/2013 USD 34.27 UBS AG 11.250 4/11/2013 USD 26.20 UBS AG 10.170 4/26/2013 EUR 72.72 UBS AG 10.970 4/26/2013 EUR 72.04 UBS AG 12.610 4/26/2013 EUR 70.82 UBS AG 9.650 8/23/2013 USD 32.42 UBS AG 10.200 9/20/2013 EUR 66.30 UBS AG 12.900 9/20/2013 EUR 64.76 UBS AG 15.900 9/20/2013 EUR 64.42 UBS AG 11.020 10/21/2013 USD 58.10 UBS AG 0.500 4/27/2015 CHF 48.70 UBS AG 8.660 10/1/2012 EUR 54.16 UBS AG JERSEY 3.220 7/31/2012 EUR 30.64 UNITED KINGDOM -------------- ALLIANC&LEIC BLD 5.875 8/14/2031 GBP 72.75 ALPHA CREDIT GRP 5.500 6/20/2013 EUR 69.13 ALPHA CREDIT GRP 3.250 2/25/2013 EUR 72.63 ALPHA CREDIT GRP 6.000 6/20/2014 EUR 52.63 ALPHA CREDIT GRP 4.500 6/21/2013 EUR 64.50 BAKKAVOR FIN 2 8.250 2/15/2018 GBP 79.40 BANK NADRA 8.000 6/22/2017 USD 51.00 BARCLAYS BK PLC 11.070 8/31/2012 USD 31.84 BARCLAYS BK PLC 9.000 8/28/2012 USD 8.95 BARCLAYS BK PLC 10.800 7/31/2012 USD 26.51 BARCLAYS BK PLC 11.500 7/27/2012 USD 7.71 BARCLAYS BK PLC 7.000 7/27/2012 USD 9.69 BARCLAYS BK PLC 10.000 7/20/2012 USD 6.42 BARCLAYS BK PLC 8.000 6/29/2012 USD 9.36 BARCLAYS BK PLC 16.750 6/22/2012 EUR 53.76 BARCLAYS BK PLC 15.000 6/22/2012 EUR 47.19 BARCLAYS BK PLC 14.500 6/22/2012 EUR 49.93 BARCLAYS BK PLC 14.500 6/22/2012 EUR 37.79 BARCLAYS BK PLC 14.000 6/22/2012 EUR 73.51 BARCLAYS BK PLC 13.750 6/22/2012 EUR 50.38 BARCLAYS BK PLC 13.750 6/22/2012 EUR 45.63 BARCLAYS BK PLC 13.500 6/22/2012 EUR 65.83 BARCLAYS BK PLC 13.500 6/22/2012 EUR 71.62 BARCLAYS BK PLC 13.500 6/22/2012 EUR 62.43 BARCLAYS BK PLC 13.000 6/22/2012 EUR 55.77 BARCLAYS BK PLC 12.750 6/22/2012 EUR 41.05 BARCLAYS BK PLC 12.000 6/22/2012 EUR 74.07 BARCLAYS BK PLC 12.000 6/22/2012 EUR 45.95 BARCLAYS BK PLC 12.000 6/22/2012 EUR 69.83 BARCLAYS BK PLC 12.000 6/22/2012 EUR 70.89 BARCLAYS BK PLC 12.000 6/22/2012 EUR 58.21 BARCLAYS BK PLC 11.750 6/22/2012 EUR 51.13 BARCLAYS BK PLC 11.500 6/22/2012 EUR 42.59 BARCLAYS BK PLC 11.500 6/22/2012 EUR 52.21 BARCLAYS BK PLC 11.000 6/22/2012 EUR 47.55 BARCLAYS BK PLC 15.000 6/22/2012 EUR 73.31 BARCLAYS BK PLC 10.750 6/22/2012 EUR 59.35 BARCLAYS BK PLC 10.750 6/22/2012 EUR 74.78 BARCLAYS BK PLC 10.500 6/22/2012 EUR 48.24 BARCLAYS BK PLC 10.500 6/22/2012 EUR 73.79 BARCLAYS BK PLC 10.500 6/22/2012 EUR 50.67 BARCLAYS BK PLC 10.500 6/22/2012 EUR 49.20 BARCLAYS BK PLC 10.000 6/22/2012 EUR 72.52 BARCLAYS BK PLC 10.000 6/22/2012 EUR 72.48 BARCLAYS BK PLC 10.000 6/22/2012 EUR 53.64 BARCLAYS BK PLC 10.000 6/22/2012 EUR 73.11 BARCLAYS BK PLC 10.000 6/22/2012 EUR 74.95 BARCLAYS BK PLC 9.750 6/22/2012 EUR 51.31 BARCLAYS BK PLC 9.500 6/22/2012 EUR 62.36 BARCLAYS BK PLC 9.000 6/22/2012 EUR 74.92 BARCLAYS BK PLC 8.750 6/22/2012 EUR 63.47 BARCLAYS BK PLC 8.500 6/22/2012 EUR 52.11 BARCLAYS BK PLC 8.250 6/22/2012 EUR 52.77 BARCLAYS BK PLC 8.000 6/22/2012 EUR 62.16 BARCLAYS BK PLC 8.000 6/22/2012 EUR 59.27 BARCLAYS BK PLC 8.000 6/22/2012 EUR 71.41 BARCLAYS BK PLC 10.750 6/22/2012 EUR 43.97 BARCLAYS BK PLC 8.000 6/22/2012 EUR 56.59 BARCLAYS BK PLC 8.000 6/22/2012 EUR 73.26 BARCLAYS BK PLC 8.000 6/22/2012 EUR 71.65 BARCLAYS BK PLC 8.000 6/22/2012 EUR 50.23 BARCLAYS BK PLC 7.250 6/22/2012 EUR 54.08 BARCLAYS BK PLC 7.000 6/22/2012 EUR 55.36 BARCLAYS BK PLC 7.000 6/22/2012 EUR 60.62 BARCLAYS BK PLC 7.000 6/22/2012 EUR 50.38 BARCLAYS BK PLC 7.000 6/22/2012 EUR 67.87 BARCLAYS BK PLC 6.000 6/22/2012 EUR 57.49 BARCLAYS BK PLC 6.000 6/22/2012 EUR 52.85 BARCLAYS BK PLC 6.000 6/22/2012 EUR 54.58 BARCLAYS BK PLC 6.000 6/22/2012 EUR 69.70 BARCLAYS BK PLC 6.000 6/22/2012 EUR 60.96 BARCLAYS BK PLC 6.000 6/22/2012 EUR 64.26 BARCLAYS BK PLC 6.000 6/22/2012 EUR 70.83 BARCLAYS BK PLC 26.000 6/8/2012 EUR 71.68 BARCLAYS BK PLC 16.080 6/8/2012 EUR 58.75 BARCLAYS BK PLC 15.750 6/8/2012 EUR 53.02 BARCLAYS BK PLC 14.220 6/8/2012 EUR 56.67 BARCLAYS BK PLC 8.000 6/22/2012 EUR 46.11 BARCLAYS BK PLC 12.500 6/8/2012 EUR 47.64 BARCLAYS BK PLC 12.000 6/8/2012 EUR 74.82 BARCLAYS BK PLC 12.000 6/8/2012 EUR 53.02 BARCLAYS BK PLC 11.750 6/8/2012 EUR 41.29 BARCLAYS BK PLC 11.250 6/8/2012 EUR 68.39 BARCLAYS BK PLC 11.090 6/8/2012 EUR 50.14 BARCLAYS BK PLC 11.000 6/8/2012 EUR 53.27 BARCLAYS BK PLC 11.000 6/8/2012 EUR 70.53 BARCLAYS BK PLC 11.000 6/8/2012 EUR 66.95 BARCLAYS BK PLC 11.000 6/8/2012 EUR 59.01 BARCLAYS BK PLC 11.000 6/8/2012 EUR 52.17 BARCLAYS BK PLC 10.780 6/8/2012 EUR 61.98 BARCLAYS BK PLC 10.520 6/8/2012 EUR 59.12 BARCLAYS BK PLC 10.500 6/8/2012 EUR 70.65 BARCLAYS BK PLC 10.500 6/8/2012 EUR 45.13 BARCLAYS BK PLC 10.250 6/8/2012 EUR 72.69 BARCLAYS BK PLC 10.250 6/8/2012 EUR 50.74 BARCLAYS BK PLC 9.850 6/8/2012 EUR 74.42 BARCLAYS BK PLC 9.750 6/8/2012 EUR 65.20 BARCLAYS BK PLC 9.750 6/8/2012 EUR 45.36 BARCLAYS BK PLC 13.000 6/8/2012 EUR 40.74 BARCLAYS BK PLC 9.250 6/8/2012 EUR 61.87 BARCLAYS BK PLC 9.000 6/8/2012 EUR 74.82 BARCLAYS BK PLC 9.000 6/8/2012 EUR 74.46 BARCLAYS BK PLC 9.000 6/8/2012 EUR 74.13 BARCLAYS BK PLC 9.000 6/8/2012 EUR 68.03 BARCLAYS BK PLC 9.000 6/8/2012 EUR 71.06 BARCLAYS BK PLC 8.500 6/8/2012 EUR 44.84 BARCLAYS BK PLC 8.250 6/8/2012 EUR 50.64 BARCLAYS BK PLC 8.250 6/8/2012 EUR 58.25 BARCLAYS BK PLC 8.000 6/8/2012 EUR 48.50 BARCLAYS BK PLC 8.000 6/8/2012 EUR 58.85 BARCLAYS BK PLC 8.000 6/8/2012 EUR 67.43 BARCLAYS BK PLC 8.000 6/8/2012 EUR 54.93 BARCLAYS BK PLC 8.000 6/8/2012 EUR 63.96 BARCLAYS BK PLC 7.000 6/8/2012 EUR 56.21 BARCLAYS BK PLC 7.000 6/8/2012 EUR 64.99 BARCLAYS BK PLC 7.000 6/8/2012 EUR 68.69 BARCLAYS BK PLC 6.000 6/8/2012 EUR 63.16 BARCLAYS BK PLC 5.000 6/8/2012 EUR 70.32 BARCLAYS BK PLC 5.000 6/8/2012 EUR 61.16 BARCLAYS BK PLC 9.500 6/8/2012 EUR 59.58 BARCLAYS BK PLC 0.500 9/24/2019 AUD 65.01 BARCLAYS BK PLC 0.500 12/3/2017 AUD 73.37 BARCLAYS BK PLC 11.500 6/28/2013 EUR 48.13 BARCLAYS BK PLC 11.000 6/28/2013 EUR 49.74 BARCLAYS BK PLC 10.500 6/28/2013 EUR 73.76 BARCLAYS BK PLC 10.000 6/28/2013 EUR 51.14 BARCLAYS BK PLC 8.000 6/28/2013 EUR 52.61 BARCLAYS BK PLC 7.000 4/25/2013 EUR 71.33 BARCLAYS BK PLC 11.500 3/22/2013 EUR 46.12 BARCLAYS BK PLC 11.000 3/22/2013 EUR 73.21 BARCLAYS BK PLC 10.750 3/22/2013 EUR 48.35 BARCLAYS BK PLC 10.500 3/22/2013 EUR 73.38 BARCLAYS BK PLC 10.000 3/22/2013 EUR 49.31 BARCLAYS BK PLC 8.000 3/22/2013 EUR 50.88 BARCLAYS BK PLC 12.500 1/2/2013 EUR 53.48 BARCLAYS BK PLC 12.000 1/2/2013 EUR 44.11 BARCLAYS BK PLC 11.500 1/2/2013 EUR 56.75 BARCLAYS BK PLC 11.000 1/2/2013 EUR 72.03 BARCLAYS BK PLC 11.000 1/2/2013 EUR 73.17 BARCLAYS BK PLC 11.000 1/2/2013 EUR 46.65 BARCLAYS BK PLC 10.000 1/2/2013 EUR 47.93 BARCLAYS BK PLC 10.000 1/2/2013 EUR 57.57 BARCLAYS BK PLC 9.500 1/2/2013 EUR 48.40 BARCLAYS BK PLC 8.750 1/2/2013 EUR 58.45 BARCLAYS BK PLC 8.500 1/2/2013 EUR 62.03 BARCLAYS BK PLC 8.000 1/2/2013 EUR 49.51 BARCLAYS BK PLC 7.000 1/2/2013 EUR 52.85 BARCLAYS BK PLC 7.000 1/2/2013 EUR 63.14 BARCLAYS BK PLC 6.000 1/2/2013 EUR 66.75 BARCLAYS BK PLC 6.000 1/2/2013 EUR 55.41 BARCLAYS BK PLC 12.730 12/14/2012 EUR 63.31 BARCLAYS BK PLC 12.500 12/14/2012 EUR 58.83 BARCLAYS BK PLC 11.000 12/14/2012 EUR 46.73 BARCLAYS BK PLC 10.930 12/14/2012 EUR 62.00 BARCLAYS BK PLC 10.500 12/14/2012 EUR 53.26 BARCLAYS BK PLC 9.500 12/14/2012 EUR 58.48 BARCLAYS BK PLC 8.750 12/14/2012 EUR 50.32 BARCLAYS BK PLC 8.000 12/14/2012 EUR 67.73 BARCLAYS BK PLC 8.000 12/14/2012 EUR 58.13 BARCLAYS BK PLC 7.000 12/14/2012 EUR 72.02 BARCLAYS BK PLC 9.000 10/16/2012 USD 11.08 BARCLAYS BK PLC 8.500 10/16/2012 USD 10.73 BARCLAYS BK PLC 14.000 10/1/2012 USD 10.32 BARCLAYS BK PLC 9.000 10/1/2012 USD 9.96 BARCLAYS BK PLC 13.500 9/28/2012 EUR 50.76 BARCLAYS BK PLC 13.000 9/28/2012 EUR 41.18 BARCLAYS BK PLC 12.500 9/28/2012 EUR 53.73 BARCLAYS BK PLC 12.000 9/28/2012 EUR 69.36 BARCLAYS BK PLC 11.750 9/28/2012 EUR 44.18 BARCLAYS BK PLC 11.000 9/28/2012 EUR 73.53 BARCLAYS BK PLC 10.500 9/28/2012 EUR 72.10 BARCLAYS BK PLC 10.500 9/28/2012 EUR 55.35 BARCLAYS BK PLC 10.500 9/28/2012 EUR 45.75 BARCLAYS BK PLC 10.000 9/28/2012 EUR 46.62 BARCLAYS BK PLC 9.500 9/28/2012 EUR 55.89 BARCLAYS BK PLC 8.500 9/28/2012 EUR 60.84 BARCLAYS BK PLC 8.000 9/28/2012 USD 10.44 BARCLAYS BK PLC 8.000 9/28/2012 EUR 48.07 BARCLAYS BK PLC 7.000 9/28/2012 EUR 62.34 BARCLAYS BK PLC 7.000 9/28/2012 EUR 52.03 BARCLAYS BK PLC 6.000 9/28/2012 EUR 66.06 BARCLAYS BK PLC 6.000 9/28/2012 EUR 54.61 BARCLAYS BK PLC 11.000 9/19/2012 EUR 72.21 BARCLAYS BK PLC 14.070 9/14/2012 EUR 61.60 BARCLAYS BK PLC 13.750 9/14/2012 EUR 56.37 BARCLAYS BK PLC 12.200 9/14/2012 EUR 59.78 BARCLAYS BK PLC 12.000 9/14/2012 EUR 43.85 BARCLAYS BK PLC 11.000 9/14/2012 EUR 50.92 BARCLAYS BK PLC 10.250 9/14/2012 EUR 70.77 BARCLAYS BK PLC 10.250 9/14/2012 EUR 55.96 BARCLAYS BK PLC 9.250 9/14/2012 EUR 48.04 BARCLAYS BK PLC 8.000 9/14/2012 EUR 67.42 BARCLAYS BK PLC 8.000 9/14/2012 EUR 56.35 BARCLAYS BK PLC 7.000 9/14/2012 EUR 73.46 BARCLAYS BK PLC 8.000 9/11/2012 USD 10.85 BARCLAYS BK PLC 8.000 9/11/2012 USD 10.63 BARCLAYS BK PLC 5.000 6/8/2012 EUR 74.61 CO-OPERATIVE BNK 5.750 12/2/2024 GBP 73.96 CO-OPERATIVE BNK 5.875 3/28/2033 GBP 72.36 CO-OPERATIVE BNK 5.625 11/16/2021 GBP 75.90 DUNFERMLINE BS 6.000 3/31/2015 GBP 0.75 EFG HELLAS PLC 5.400 11/2/2047 EUR 13.63 EFG HELLAS PLC 4.375 2/11/2013 EUR 75.00 EMPORIKI GRP FIN 5.000 12/2/2021 EUR 31.63 EMPORIKI GRP FIN 4.350 7/22/2014 EUR 52.38 EMPORIKI GRP FIN 5.100 12/9/2021 EUR 32.00 EMPORIKI GRP FIN 5.000 2/24/2022 EUR 31.13 EMPORIKI GRP FIN 6.000 5/18/2022 EUR 34.50 ENTERPRISE INNS 6.875 5/9/2025 GBP 67.27 ENTERPRISE INNS 6.375 9/26/2031 GBP 65.67 ENTERPRISE INNS 6.875 2/15/2021 GBP 72.43 ESSAR ENERGY 4.250 2/1/2016 USD 61.69 F&C ASSET MNGMT 6.750 12/20/2026 GBP 65.50 GALA ELECTRIC CA 11.500 6/1/2019 GBP 69.38 GALA ELECTRIC CA 11.500 6/1/2019 GBP 69.70 GREENE KING FIN 5.702 12/15/2034 GBP 105.34 GS INTERNATIONAL 8.250 12/17/2012 EUR 66.25 GS INTERNATIONAL 13.000 6/28/2012 CHF 54.20 GS INTERNATIONAL 8.120 6/8/2012 CHF 73.00 GS INTERNATIONAL 5.150 5/31/2012 EUR 68.50 GS INTERNATIONAL 5.000 5/31/2012 USD 69.30 GS INTERNATIONAL 9.750 5/22/2012 CHF 48.40 HBOS PLC 4.500 3/18/2030 EUR 61.40 HBOS PLC 5.374 6/30/2021 EUR 67.13 HBOS PLC 4.375 10/30/2019 EUR 73.68 HBOS PLC 6.305 10/18/2017 GBP 74.45 HSBC BANK PLC 0.500 12/29/2022 AUD 56.47 HSBC BANK PLC 0.500 2/24/2023 AUD 57.19 HSBC BANK PLC 0.500 11/22/2021 AUD 63.71 HSBC BANK PLC 0.500 12/8/2026 AUD 48.50 HSBC BANK PLC 0.500 12/29/2026 AUD 48.35 HSBC BANK PLC 4.750 3/24/2046 GBP 72.82 HSBC BANK PLC 0.500 2/2/2023 AUD 53.62 HSBC BANK PLC 0.500 4/3/2023 AUD 59.26 HSBC BANK PLC 0.500 12/2/2022 AUD 60.30 HSBC BANK PLC 0.500 11/16/2018 AUD 71.90 LBG CAPITAL NO.1 6.439 5/23/2020 EUR 73.05 LBG CAPITAL NO.1 7.869 8/25/2020 GBP 79.97 LBG CAPITAL NO.2 6.385 5/12/2020 EUR 73.43 MATALAN 9.625 3/31/2017 GBP 65.83 MATALAN 9.625 3/31/2017 GBP 67.36 MAX PETROLEUM 6.750 9/8/2013 USD 46.76 NOMURA BANK INTL 0.800 12/21/2020 EUR 67.75 OTE PLC 4.625 5/20/2016 EUR 54.00 OTE PLC 5.000 8/5/2013 EUR 63.65 OTE PLC 7.250 4/8/2014 EUR 58.53 PIRAEUS GRP FIN 4.000 9/17/2012 EUR 75.57 PRIVATBANK 5.799 2/9/2016 USD 70.01 PUNCH TAVERNS 5.883 10/15/2026 GBP 62.72 ROYAL BK SCOTLND 4.625 9/22/2021 EUR 69.92 ROYAL BK SCOTLND 6.250 12/20/2012 EUR 52.55 SPIRIT ISSUER 5.472 12/28/2028 GBP 71.84 THOMAS COOK GR 7.750 6/22/2017 GBP 48.75 THOMAS COOK GR 6.750 6/22/2015 EUR 58.59 UNIQUE PUB FIN 7.395 3/28/2024 GBP 61.80 UNIQUE PUB FIN 5.659 6/30/2027 GBP 72.77 UNIQUE PUB FIN 6.464 3/30/2032 GBP 43.11 ********* 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. A list of Meetings, Conferences and Seminars appears in each Thursday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com 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., Frederick, Maryland USA. Valerie U. Pascual, Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante, Ivy B. Magdadaro, Frauline S. Abangan and Peter A. Chapman, Editors. Copyright 2012. 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$625 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 240/629-3300. * * * End of Transmission * * *