/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/140714.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, July 14, 2014, Vol. 15, No. 137 Headlines A R M E N I A ARMENIA HEALTH: Fitch Assigns 'CCC (col)' National LT Rating B U L G A R I A CORPORATE COMMERCIAL: Bulgaria to Commence Bankruptcy Procedure F R A N C E GENERALE DE SANTE: Moody's Assigns (P)Ba3 Corporate Family Rating G R E E C E GREECE: Fitch Raises SF Maximum Achievable Rating to 'BBsf' YIOULA GLASSWORKS: Moody's Withdraws Caa3 Corporate Family Rating H U N G A R Y MALEV: Budapest Court Extends Liquidation Deadline I R E L A N D ALME LOAN II: Moody's Rates EUR11.3MM Class F Notes 'B2' RMF EURO III: Moody's Raises Rating on Class V Notes to 'Ba2' I T A L Y AURORA OIL: S&P Withdraws LT Corporate Credit Rating to 'BB' CASSA CENTRALE: Moody's Affirms D+ Bank Financial Strength Rating TWIN-SET SIMONA: S&P Assigns Prelim. 'B' CCR; Outlook Positive K A Z A K H S T A N EASTCOMTRANS LLP: Moody's Revises 'B3' CFR Outlook to Positive TSESNA-GARANT: S&P Affirms 'B' IFS Rating; Outlook Stable L U X E M B O U R G GATEWAY III: Moody's Lifts Rating on Class X Notes From 'Ba1' P O R T U G A L BANCO ESPIRITO: Reveals Exposure to Related Companies R U S S I A BORETS INTERNATIONAL: Moody's Changes B1 CFR Outlook to Positive MECHEL OAO: Russia Mulls Bankruptcy Amid Debt Restructuring Talks UC RUSAL: July 15 Hearing Set for Creditors' Meeting Request S E R B I A SERBIA: Fitch Affirms 'B+' Long-Term Issuer Default Ratings S P A I N CAIXA GALICIA I: Fitch Affirms 'Bsf' Rating on Class D Notes GOWEX SA: Commences Insolvency Proceedings U N I T E D K I N G D O M BIBBY OFFSHORE: Moody's Assigns 'B2' Corporate Family Rating BROADGATE FINANCING: Fitch Lifts Rating on Cl. D Notes From BB+ EUROSAIL-UK 2007-6NC: S&P Raises Rating on Class A3a Notes to BB- THOMAS COOK: Fitch Affirms 'B' LT Issuer Default Rating X X X X X X X X * BOND PRICING: For the Week July 7 to July 11, 2014 ********* ============= A R M E N I A ============= ARMENIA HEALTH: Fitch Assigns 'CCC (col)' National LT Rating ------------------------------------------------------------ Fitch Ratings has assigned national long-and short-term Health Network of Armenia ESE 'CCC (col)' and 'C (col)', respectively. The Outlook is Stable. Key Rating Factors The ratings assigned to Red Salud Armenia are based on its competitive position as a provider of health services only first level of complexity to the subsidized regime in the city of Armenia, the stability of their capitation revenue and improved collection levels derived from the direct transfer of resources of the nation to the attention of the subsidized population. Meanwhile, the ratings are constrained by heavy and volatile cost structure and operating expenses, the largest prospective leverage and exposure to political risk arising from the close relationship between the municipality and the administration. Generation Limited Operation The heavy and volatile cost structure that has operated Armenia Health Network has weakened its operational generation, its main component personnel costs. The change in the scheme of recruitment of staff through Temporary Service Companies, has imposed a heavy burden for the company from 2012 due to the recognition of labor rights not covered in previous schemes. Additionally, the provision of new health services from 2012 contributed to the weakening of EBITDA. During 2012, the generation of EBITDA was negative COP390 million and COP18 billion in 2013. Anio While for 2014 EBITDA generation has shown some improvement this continues to be weak and vulnerable to adverse changes in income and increases in unanticipated costs. For the twelve months ended March 2014, EBITDA was positive in COP423 million for an EBITDA margin of 2% is considered weak compared to its peer group. Forward, improving operational generation depends on the concretion of increased billing for the negotiation of new services and programs with the Health Promoting Enterprises' and the materialization of plans Retrofitting the cost structure comes forward the entity. Prospective High Leverage The rate considered the highest level of debt estimates assume Armenia Health Network to fund working capital needs. To this end, it is contemplated hiring a credit with local banks by COP2.000 million within 7 years old, with 2 grace, which leverage (Total Debt / EBITDA) could reach 2.6 times at the end of 2014. From the hiring of COP2.000 million, total debt service of Armenia Health Network during the first 2 Anios will of COP500 million annually, up from COP800 million in the third quarter anions anions. Fitch estimates the capacity to service debt is limited, given the weak operational generation of the entity. Proper Management of Collection The entity has adequate portfolio rotation thanks to the direct rotation of resources by the national government entities first level of complexity. During 2012 and 2013 cycles have been streamlined portfolio which has led to free cash in other lifetimes, was trapped in accounts receivable. During 2013, the current collection reached 86% and the total collection 91% (2012: 78% and 85%), considered appropriate entities regarding first level of complexity level. During 2014, Network Health estimated to raise Armenia COP1.695 million portfolio that is more than 360 days, which already have signed minutes of settlement or signing process, which could limit the need for third-party resources. The opportunity in the rotation of these resources will be key to maintaining adequate cash flow to honor their loan commitments. Strong Competitive Positioning Network Armenia Health, is the focal point for the provision of health services of low complexity for the total rural and urban population of the Municipality of Armenia, which added to its extensive service network, its solid hospital infrastructure, broad portfolio of services and have a stable and predictable source of income, provide support and ensure the operation of the institution. Exposure to Political Risk Fitch found that desempenio and competitiveness of such entities is sensitive to the quality of management and strategic continuity addressing their administrations. In the case of Armenia Health Network, the fact of having a public shareholder makes somewhat more vulnerable to possible political interference caused by changes in municipal administration, which could affect the continuity of the business strategy, recurring factor in public health sector companies rated by Fitch. Rating Sensitivity A positive action on the ratings could occur before the occurrence-individually or collectively-more of these factors: - Ability of management to retrofit cost structure. - Sustained improvement in profitability margins. - Improved sustained cash generation capacity. - Improved indicators collection portfolio. A negative action on the ratings could occur before the occurrence-individually or collectively-more of these factors: - Further deterioration of the margin of profitability. - Deterioration of collection levels. - Weakening of coverage indicators debt service. =============== B U L G A R I A =============== CORPORATE COMMERCIAL: Bulgaria to Commence Bankruptcy Procedure --------------------------------------------------------------- Elizabeth Konstantinova at Bloomberg News reports that Bulgaria will start the bankruptcy procedure for Corporate Commercial Bank AD, the eastern European country's fourth largest lender, after an audit found missing records for loans worth BGN3.5 billion (US$2.4 billion). According to Bloomberg, the central bank said on its Web site that audit found "actions incompatible with the law and good banking practices" that led to a BGN1 billion run on the bank in the three days before the central bank placed it under supervision on June 20. The Sofia-based central bank wants to transfer Corporate Bank assets and liabilities not linked to its majority shareholder to the former local unit of Credit Agricole SA, which the lender acquired a week before being placed under supervision, Bloomberg discloses. The central bank will also revoke its operating license, Bloomberg notes. "The Bulgarian National Bank together with the government will concentrate on the restructuring and rehabilitation of the 'good part' of Corporate Commercial Bank to protect the interest of all its depositors," Bloomberg quotes the regulator as saying. The central bank, as cited by Bloomberg, said many missing files for the BGN3.5 billion in loans, out of Corporate Bank's total credit portfolio of BGN5.4 billion, are linked to majority shareholder Tsvetan Vassilev. The central bank alleged that a day before the bank asked to be placed under special supervision, Mr. Vassilev withdrew about BGN206 million in cash through a third person, Bloomberg relays. According to Bloomberg, the prosecution office in Sofia said on its Web site that police on Friday arrested Orlin Rusev, Corporate Bank's management board chairman and executive director, who allegedly ordered the withdrawal of the BGN206 million. Corporate Commercial Bank is Bulgaria's fourth largest private lender with total assets topping BGN7.3 billion in the first quarter of 2014, or 8.4% of total Bulgarian private banking assets, according to AFP. =========== F R A N C E =========== GENERALE DE SANTE: Moody's Assigns (P)Ba3 Corporate Family Rating ----------------------------------------------------------------- Moody's Investors Service has assigned a provisional (P)Ba3 corporate family rating (CFR) to Generale de Sante (GdS) in the context of the proposed acquisition of GdS by Ramsay Health Care and Credit Agricole Assurances. Concurrently, Moody's has assigned a provisional (P)Ba3 rating to the company's EUR1075 million loan facility. The outlook on the ratings is stable. This is the first time that Moody's has assigned a rating to GdS. "The (P)Ba3 CFR Moody's have assigned reflects the company's high leverage and Moody's expectations of only modest organic growth as volume growth is slightly offset by pressure on tariffs," says Knut Slatten, a Moody's Assistant Vice President -- Analyst and lead analyst for GdS. "However, these factors are partially offset by the enhanced scale following the expected combination with Ramsay Sante, industrial ownership and a high degree of visibility in terms of operating performance." Moody's issues provisional ratings in advance of the final sale of securities and these ratings reflect Moody's preliminary credit opinion regarding the transaction only. Upon conclusive review of the final documentation, Moody's will endeavor to assign a definitive rating to GdS. A definitive rating may differ from a provisional rating. Ratings Rationale The assignment of a (P)Ba3 CFR primarily reflects (1) GdS' high leverage, which Moody's estimates to be above 5.0x adjusted debt/EBITDA pro-forma for the debt-issuance; (2) the rating agency's expectations of continued pressure on tariffs, which, in view of the company's largely fixed-cost structure, may constrain the prospects of profitability improvement; (3) a certain degree of event risk, as GdS continues to play an active role in the consolidation of the French private hospital market. These factors are balanced to an extent by (1) the company's large scale and leading positioning within the market for French private hospital providers; (2) the industrial ownership through Ramsay Health Care; (3) GdS' overall high degree of visibility in terms of future operating performance, which is supported by the role of social security as the payor; (4) favorable demographics, which should continue to drive volume growth and thereby mitigate some of the anticipated pressure from tariff reductions allowing for continued solid adjusted EBITDA margins of around 20%; (5) the overall high barriers to entry resulting from the need to obtain necessary authorizations and attract qualified personnel. Founded in 1987, GdS is the largest French private hospital group with a wide geographical footprint across France. On June 11, 2014, Sante S.A. -- the parent company of GdS -- agreed to sell its 83.43% stake in GdS to Ramsay Health Care and Credit Agricole Assurances. It is the new owners' intention to merge Ramsay Sante -- a smaller private hospital group they already own -- into GdS. Moody's understands the merger is expected to close during the first half of 2015. The combined entity has pro-forma revenues of EUR2.1 billion and will operate 104 facilities throughout France. It will offer a broad range of medical services with around 80% of its revenues coming from medicine, surgery and obstetrics. The combined entity will by far be the largest private hospital operator in France allowing for certain economies of scale through procurement and sharing of best practices. Whilst Moody's believes that GdS will continue taking part in the consolidation of the French hospital market, the rating agency expects that this will materialize through smaller bolt-on acquisitions in regions where they are already present and thereby support the company's cluster-focused strategy. Whilst the company's leverage will be on the high side for a Ba3 rating following the closing of the merger, Moody's understands that it will be a strategic priority for GdS to focus on de- leveraging over the next 18-24 months. In addition to the proposed issuance of EUR900 million of term loans, GdS will also put in place a new revolving credit facility (RCF) of EUR100 million. Furthermore, Moody's understands that the capital structure will consist of an undrawn EUR75 million capex/acquisition facility as well as around EUR213 million of finance leases. The bank facilities will benefit from upstream guarantees from the operating subsidiaries equivalent to around 80% of EBITDA. Moody's understands that the bank facilities will be secured using collateral that essentially consists of share pledges. Moody's expects that GdS will maintain a good liquidity profile over the next 12-18 months. The liquidity profile is supported by the rating agency's expectations of cash availability, positive free cash flows as well as access to the undrawn EUR100 million RCF and the undrawn EUR75 million capex/acquisition facility. Moody's would expect headroom to GdS' financial maintenance covenant to remain satisfactory. Rationale For Stable Outlook The stable outlook on the rating reflects Moody's expectation that, going forward, GdS will be focusing on de-leveraging allowing for its leverage -- defined as adjusted gross debt/EBITDA -- to move below 5x over the next 18 months. Moreover, the stable outlook factors in expectations of a modest organic growth over the next 2-3 years as the rating agency anticipates the pressure on tariffs to be offset by volume growth. Whilst minor bolt-on acquisitions can be accommodated, the current rating does not leave flexibility for larger debt- financed acquisitions over the next 12-18 months. What Could Change The Rating Up/Down Positive pressure on the rating could develop if GdS' operating performance continues to improve, allowing for the company's leverage, measured by debt/EBITDA, to move to below 4.5x. Conversely, negative pressure could develop if GdS' leverage remains sustainably above 5x or if the company's liquidity weakens. Principal Methodologies The principal methodology used in this rating was the Global Healthcare Service Providers published in December 2011. Other methodologies used include Loss Given Default for Speculative- Grade Non-Financial Companies in the U.S., Canada and EMEA published in June 2009. GdS is a France-based private hospital company. It serves around 1.3 million customers in its 105 facilities. For the financial year ended December 31, 2013, the combined entity had pro-forma total revenues of EUR2.1 million and EBITDAR of EUR417 million. =========== G R E E C E =========== GREECE: Fitch Raises SF Maximum Achievable Rating to 'BBsf' ----------------------------------------------------------- Fitch Ratings has upgraded 15 tranches of seven Greek RMBS transactions, removing them from Rating Watch Positive. Key Rating Drivers Revised SF Rating Cap Following the upgrade of the sovereign Issuer Default Rating (IDR) to 'B'/Outlook Stable and subsequent upgrade of the Country Ceiling to 'BB' in May 2014, Fitch increased the maximum achievable rating for Greek SF transactions to 'BBsf' to reflect the improvement in the country's economic outlook. The agency recognizes that challenges remain in the mortgage market given the continued ban on residential property enforcement, and has factored them into its criteria assumptions for rating Greek structured finance transactions and covered bond programs. Sufficient Credit Enhancement Credit enhancement across transactions has substantially increased since their closing. This increase has been driven by the steady repayment of the collateral, in some instances leaving portfolios at less than 10% of their original issuance amount, and by limited reserve fund draws in the majority of the transactions. In some transactions, high payment rates are driven by originators repurchasing loans out of the portfolio. Although such repurchases are beneficial for noteholders, in its analysis, Fitch does not give credit to any future repurchasing activities, as the originators have no formal commitments to do so. Diverging Asset Performance Overall, asset performance has remained broadly stable for the majority of the deals. This is mainly explained by the underlying portfolio composition, featuring highly seasoned mortgage loans originated with fairly low loan-to-value (LTV) ratios. In addition, originators are supporting borrowers facing financial hardship by providing payment holiday schemes and loan modifications. Meanwhile, poor performance has been reported for Estia Mortage I and II, where late stage arrears (mortgages with at least three overdue monthly payments) are reported at between 4.3% (Estia Mortage I) and 11.1% (Estia Mortage II) of the current pool, compared with the better performers where three-months plus arrears range between 1% (Kion Mortgage) and 2.8% (Themeleion I). Gross cumulative defaults stand between 4.3% (Estia Mortage I) and 8% (Estia Mortage II) of the initial pool, while the better- performing transactions have reported defaults between 0.5% (Themelion I) and 2% (Kion) of the initial pool. Fitch acknowledges that this difference in reported performance reflects the varying degree of originator support, especially in the Themeleion series, where a significant portion of denounced mortgage loans are repurchased by the originator ahead of being recognised as defaulted under the transaction documentation. Payment Holidays In the Themeleion series between 36.5% (Themelion) and 45% (Themelion III) of the current pool are mortgages that are or have previously been subject to payment holiday schemes. In its analysis, the agency applied more conservative default assumptions for this portion of the portfolio, as such schemes are designed to support borrowers facing financial difficulties and, in Fitch's view, are thus more likely to default upon the completion of the payment holiday term. Given the high percentage of borrowers presently on payment holidays and the lower seasoning of the transactions, the analysis showed that increased stresses on this segment of the pool cannot warrant higher ratings on the junior tranches of Themelion III and IV. As a result, the agency has revised the Outlook to Negative on classes C and B and C of Themelion III and IV respectively. Payment Interruption Risk As the reserve funds of the two Estia transactions are heavily drawn and the structures do not incorporate any alternative form of liquidity, in its analysis Fitch found that the two transactions would not be able to mitigate payment interruption in case of servicer default. As a result, the agency has determined that, in line with its counterparty criteria for structured finance transactions, the ratings for these notes can achieve an uplift of only three notches above the servicer rating (Piraeus Bank, B-). Rating Sensitivities Further changes to the Greek sovereign IDR, Country Ceiling or structured finance rating cap may result in corresponding changes on the tranches rated at the cap. A change in legislation that entails higher repossession activity would cause Fitch to revise its assumptions, in turn affecting the ratings. Asset deterioration beyond Fitch's expectations or a further increase of mortgages under payment holiday schemes could lead to negative rating actions. YIOULA GLASSWORKS: Moody's Withdraws Caa3 Corporate Family Rating ----------------------------------------------------------------- Moody's Investors Service has withdrawn the ratings on Yioula Glassworks S.A., following the successful refinancing of the senior secured notes. Ratings withdrawn include the Caa3 corporate family rating (CFR) and Ca-PD probability of default rating (PDR). Concurrently, Moody's has assigned a definitive (from provisional) Caa1 rating to the EUR185 million Senior Secured Notes due 2019 issued by Glasstank B.V. On May 9, 2014 Moody's assigned a CFR of Caa1 and a PDR of Caa1- PD to Glasstank B.V. the top entity in a new restricted group, within the larger Yioula Glassworks S.A. family group. The outlook on all ratings is stable. Ratings Rationale Moody's has withdrawn the ratings on Yioula Glassworks S.A. because obligations are no longer outstanding. The principal methodology used in these ratings was the Global Packaging Manufacturers: Metal, Glass, and Plastic Containers published in June 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. Yioula Glassworks S.A. manufactures a wide variety of glass containers for the food and beverage industries throughout south- eastern Europe as well as glass tableware for the Greek, Bulgarian, Romanian and Ukrainian markets. ============= H U N G A R Y ============= MALEV: Budapest Court Extends Liquidation Deadline -------------------------------------------------- MTI-Econews reports that bailiff Jeno Varga on Friday said the Budapest Municipal Court has extended the deadline for liquidating Malev until the end of this year. The deadline was extended from the end of June, MTI-Econews notes. Financially troubled Malev was grounded early in 2012, MTI- Econews recounts. A number of tenders for its assets, including aircraft parts, a corporate retreat on Lake Balaton and receivables, have failed, MTI-Econews discloses. Malev is Hungary's former national carrier. ============= I R E L A N D ============= ALME LOAN II: Moody's Rates EUR11.3MM Class F Notes 'B2' -------------------------------------------------------- Moody's Investors Service announced that it has assigned the following definitive ratings to notes issued by ALME Loan Funding II Limited: EUR223,500,000 Class A Senior Secured Floating Rate Notes due 2027, Definitive Rating Assigned Aaa (sf) EUR40,800,000 Class B Senior Secured Floating Rate Notes due 2027, Definitive Rating Assigned Aa2 (sf) EUR20,600,000 Class C Senior Secured Deferrable Floating Rate Notes due 2027, Definitive Rating Assigned A2 (sf) EUR23,300,000 Class D Senior Secured Deferrable Floating Rate Notes due 2027, Definitive Rating Assigned Baa2 (sf) EUR25,900,000 Class E Senior Secured Deferrable Floating Rate Notes due 2027, Definitive Rating Assigned Ba2 (sf) EUR11,300,000 Class F Senior Secured Deferrable Floating Rate Notes due 2027, Definitive Rating Assigned B2 (sf) Ratings Rationale Moody's definitive rating of the rated notes addresses the expected loss posed to noteholders by the legal final maturity of the notes in 2027. The definitive rating reflects the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Furthermore, Moody's is of the opinion that the collateral manager, Apollo Management International LLP ("Apollo"), has sufficient experience and operational capacity and is capable of managing this CLO. ALME Loan Funding II Limited is a managed cash flow CLO with a target portfolio made up of EUR 374,100,000 par value of mainly European corporate leveraged loans. At least 90% of the portfolio must consist of senior secured loans, senior secured bonds and eligible investments, and up to 10% of the portfolio may consist of second-lien loans, unsecured loans, mezzanine obligations and senior unsecured bonds. The portfolio may also consist of up to 10% of fixed rate obligations. The portfolio is expected to be 50% ramped up as of the closing date and to be comprised predominantly of corporate loans to obligors domiciled in Western Europe. The remainder of the portfolio will be acquired during the six month ramp-up period in compliance with the portfolio guidelines. Apollo Management International LLP ("Apollo") will actively manage the collateral pool of the CLO. It will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three-year reinvestment period. Thereafter, collateral purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations, and are subject to certain restrictions. In addition to the six classes of notes rated by Moody's, the Issuer has issued one class of subordinated notes which is not rated. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Factors that would lead to an upgrade or downgrade of the rating: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Apollo's investment decisions and management of the transaction will also affect the notes' performance. Loss and Cash Flow Analysis: Moody's modelled the transaction using CDOEdge, a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in February 2014. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the binomial distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario and (ii) the loss derived from the cash flow model in each default scenario for each tranche. As such, Moody's encompasses the assessment of stressed scenarios. Moody's used the following base-case modeling assumptions: Par amount: EUR 374,100,000 Diversity Score: 34 Weighted Average Rating Factor (WARF): 2810 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 5.75% Weighted Average Recovery Rate (WARR): 42.0% Weighted Average Life (WAL): 8 years As part of the base case, Moody's has addressed the potential exposure to obligors domiciled in countries with foreign currency government bond rating of A3 or below. Following the effective date, and given the portfolio constraints and the current sovereign ratings in Europe, such exposure may not exceed 10% of the total portfolio, where exposures to countries rated below Baa3 cannot exceed 5%. As a result and in conjunction with the current foreign government bond ratings of the eligible countries, as a worst case scenario, a maximum 5% of the pool would be domiciled in countries with single A local currency country ceiling and 5% in Baa2 local currency country ceiling. The remainder of the pool will be domiciled in countries which currently have a local currency country ceiling of Aaa. Given this portfolio composition, the model was run with different target par amounts depending on the target rating of each class of notes as further described in the rating methodology. The portfolio haircuts are a function of the exposure size to peripheral countries and the target ratings of the rated notes and amount to 0.75% for the class A notes, 0.50% for the Class B notes, 0.375% for the Class C notes and 0% for Classes D, E and F. The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Apollo's investment decisions and management of the transaction will also affect the notes' performance. Stress Scenarios: Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was an important component in determining the provisional rating assigned to the rated notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on each of the rated notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), holding all other factors equal: Percentage Change in WARF: WARF + 15% (to 3232 from 2810) Ratings Impact in Rating Notches: Class A Senior Secured Floating Rate Notes: -1 Class B Senior Secured Floating Rate Notes: -2 Class C Senior Secured Deferrable Floating Rate Notes: - 2 Class D Senior Secured Deferrable Floating Rate Notes: - 2 Class E Senior Secured Deferrable Floating Rate Notes: -1 Class F Senior Secured Deferrable Floating Rate Notes: 0 Percentage Change in WARF: WARF +30% (to 3653 from 2810) Ratings Impact in Rating Notches: Class A Senior Secured Floating Rate Notes: -1 Class B Senior Secured Floating Rate Notes: -2 Class C Senior Secured Deferrable Floating Rate Notes: -3 Class D Senior Secured Deferrable Floating Rate Notes: -2 Class E Senior Secured Deferrable Floating Rate Notes: -2 Class F Senior Secured Deferrable Floating Rate Notes: -2 The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. RMF EURO III: Moody's Raises Rating on Class V Notes to 'Ba2' ------------------------------------------------------------- Moody's Investors Service announced that it has taken rating actions on the following classes of notes issued by RMF Euro CDO III PLC: EUR252M (outstanding balance of EUR17.6M) Class I Senior Secured Floating Rate Notes, due 2021, Affirmed Aaa (sf); previously on Oct 14, 2013 Upgraded to Aaa (sf) EUR20.1M Class II Senior Secured Floating Rate Notes, due 2021, Upgraded to Aaa (sf); previously on Oct 14, 2013 Upgraded to Aa1 (sf) EUR14.7M Class III Deferrable Mezzanine Floating Rate Notes, due 2021, Upgraded to Aaa (sf); previously on Oct 14, 2013 Upgraded to A2 (sf) EUR23.3M Class IV Deferrable Mezzanine Floating Rate Notes, due 2021, Upgraded to Baa2 (sf); previously on Oct 14, 2013 Downgraded to Ba2 (sf) EUR10.5M (outstanding balance of EUR4.8M) Class V Deferrable Mezzanine Floating Rate Notes, due 2021, Upgraded to Ba2 (sf); previously on Oct 14, 2013 Downgraded to B1 (sf) RMF Euro CDO III PLC, issued in August 2005, is a Collateralised Loan Obligation ("CLO") backed by a portfolio of mostly high yield senior secured European and US loans, managed by Pemba Credit Advisers. This transaction ended its reinvestment period in August 2011. Ratings Rationale According to Moody's, the upgrades of the notes are primarily a result of significant deleveraging of the Class I notes and the subsequent increase in the overcollateralization ratios ("OC ratios") of the rated notes. The Class I notes paid down substantially by EUR 113.9 million (93.0% of its closing balance) during the last two payment dates in November 2013 and May 2014. As a result the OC ratios for all classes of notes have increased. As of the trustee report dated June 2014, the Class I/II, III, IV and V overcollateralization ratios are 258.24%, 185.83%, 128.65% and 120.95%, respectively, as compared to 137.24%, 125.11%, 109.74% and 107.02%, respectively, in September 2013. The credit quality of the collateral pool has remained steady as reflected in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF). As of the trustee's June 2014 report, the WARF was 3213, compared with 3085 in September 2013. The reported diversity score reduced to 18 in June 2014 from 22 in September 2013. The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a pool with performing par and principal proceeds balance of EUR98.36 million, and defaulted par of EUR 7.46 million, a weighted average default probability of 25.89% (consistent with a 10 years WARF of 4,030 and a weighted average life of 3.49 years), a weighted average recovery rate upon default of 45.81% for a Aaa liability target rating, a diversity score of 17 and a weighted average spread of 3.96%. The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. For a Aaa liability target rating, Moody's assumed that 88.02% of the portfolio exposed to senior secured corporate assets would recover 50% upon default, while the non first-lien loan corporate assets would recover 15%. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analyzing. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Factors that would lead to an upgrade or downgrade of the rating: In addition to the base-case analysis, Moody's conducted sensitivity analyses on the key parameters for the rated notes. Moody's ran a model in which it diminished the base case WAS to 3.66%; the model generated outputs that were within one notch of the base-case results. This transaction is subject to a high level of macroeconomic uncertainty, which could negatively affect the ratings on the notes, in light of uncertainty about credit conditions in the general economy. CLO notes' performance may also be impacted either positively or negatively by 1) the manager's investment strategy and behavior and 2) divergence in the legal interpretation of CDO documentation by different transactional parties due to because of embedded ambiguities. Additional uncertainty about performance is due to the following: 1) Portfolio amortization: The main source of uncertainty in this transaction is the pace of amortization of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortization could accelerate as a consequence of high loan prepayment levels or collateral sales the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortization would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. 2) Around 58% of the collateral pool consists of debt obligations whose credit quality Moody's has assessed by using credit estimates. 3) Recoveries on defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over- collateralization levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. ========= I T A L Y ========= AURORA OIL: S&P Withdraws LT Corporate Credit Rating to 'BB' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its long-term corporate credit rating on Aurora Oil & Gas Ltd. to 'BB' from 'B'. At the same time, S&P raised the issue rating on Aurora's guaranteed notes due 2017 and 2020 to 'BB' from 'CCC+'. S&P removed all the ratings from CreditWatch, where they were placed with positive implications on Feb. 11, 2014. Standard & Poor's then withdrew the corporate credit rating on Aurora at the company's request. At the time of the withdrawal, the stable outlook on Aurora reflected S&P's rating outlook on Baytex Energy Corp., the parent company. S&P's upgrade reflected its view that Aurora is a "core" subsidiary of Baytex Energy Corp. (BB/Stable/--), as per S&P's group rating methodology. S&P's assessment considered Aurora a significant part of Baytex's asset profile, and assumed that Baytex would maintain ownership and management control and provide financial support if necessary. S&P therefore equated the corporate credit rating on Aurora with that on Baytex. S&P assessed Aurora's stand-alone credit profile (SACP) as 'b+'. S&P believes Aurora is an integral and significant part of Baytex's assets; Aurora formed about one-third of Baytex's consolidated production and asset base. Aurora increases Baytex's scale, growth potential, and asset diversity. Aurora has a small asset base, low production levels, limited operating track record, and lacks diversity. Marathon Oil Corp. (Aurora's partner), as operator of the key Sugarkane field, mitigates execution risk. In addition, Aurora's reserves are located in an economically attractive area within the Eagle Ford shale basin in the state of Texas, U.S. Given these factors, S&P assessed Aurora's business risk profile as "vulnerable." S&P expects Aurora and Marathon Oil Corp. to be committed to their aggressive drilling programs, and forecast capital expenditure at about US$450 million a year in 2014 and 2015. S&P believes Aurora will generate sufficient internal accruals to fund its operations and capital expenditure, thus avoiding the need for more debt in next 12-18 months. Aurora has minimal debt -- Baytex repaid about 98% of Aurora's notes -- and growing cash flows. S&P therefore raised its financial risk profile on Aurora to "minimal" from "significant." The recovery rating on the guaranteed notes is '3'. Aurora's liquidity is "adequate," as defined in S&P's criteria. S&P expects the company's free operating cash flow to be marginally positive over the next two years. Nevertheless, S&P believes proceeds from the recent US$200 million credit facility will support Aurora's liquidity. CASSA CENTRALE: Moody's Affirms D+ Bank Financial Strength Rating ----------------------------------------------------------------- Moody's Investors Service has affirmed Cassa Centrale Raiffeisen dell'Alto Adige's deposit ratings of Baa3/Prime-3, issuer ratings of Baa3, and affirmed the bank's standalone bank financial strength rating (BFSR) of D+, which is equivalent to a standalone baseline credit assessment (BCA) of baa3. The outlook on the standalone BFSR and on the long-term deposit and issuer ratings was changed to stable from negative. Ratings Rationale Moody's said that the affirmation of Cassa Centrale Raiffeisen's ratings reflects the bank's limited asset quality deterioration during a recessionary environment, improved capitalization, and stable profitability. Moody's said that Cassa Centrale Raiffeisen's asset quality deterioration in the past two years has been limited, and significantly more limited than for the Italian banking system as a whole. The bank reported a problem loans-to-gross loans ratio of 5.0% as at December 2013 (2012: 3.8% and 2011: 3.6%), amongst the lowest levels in Italy; over the same period, problem loans of the entire Italian banking system represented a materially higher 12.3% of gross loans (2012: 10.5% and 2011: 8.9%; see Notes 1, 2, and 3 at the end of this report). Cassa Centrale Raiffeisen's asset quality resilience is supported by the bank's geographical concentration in a relatively more affluent area of the country, i.e., the Autonomous Province of Bolzano (rated A3 with stable outlook, two notches above the Italian sovereign). Thanks to a EUR25 million capital increase in 2012 and earnings retention, Cassa Centrale Raiffeisen's core Tier 1 ratio improved in the past two years to 11.2% at year-end 2013 (2012: 10.5% and 2011: 9.3%). The bank is planning a further EUR25 million capital increase in 2014, which Moody's estimates will improve Cassa Centrale Raiffeisen's capital ratios by 140 basis points. Moody's says Cassa Centrale Raiffeisen's recurring profitability, although still weak, remained stable in the past two years, mainly thanks to the limited asset quality deterioration. In 2013, the bank reported net profit of EUR15 million, compared to EUR17 million in 2012 and EUR6 million for 2011. The rating agency notes that in 2012 and 2013 Cassa Centrale Raiffeisen benefitted from the European Central Bank's (ECB) long-term refinancing operations (LTRO), of which EUR1 billion was utilized to purchase government bonds for carry-trade purposes. Moody's estimates the non-recurring profits derived from the LTRO through carry-trade and gains from sale of government bonds to be around EUR10 million each year. Moody's expects limited further deterioration of Cassa Centrale Raiffeisen's asset quality in 2014 and 2015, stable recurring profitability (although still at weak levels), and stable capitalization after the planned capital increase. These factor underlie the stable outlook on the bank's ratings. What Could Change The Ratings Up/Down Some upward pressure could be exerted on Cassa Centrale Raiffeisen's standalone BCA ratings following a sustainable improvement in profitability, and a further increase in capital ratios. Any raising of the standalone BCA would lead to an upgrade of the bank's long-term deposit and issuer ratings. Downward pressure on the Cassa Centrale Raiffeisen's standalone BCA could result from (1) a material deterioration in the bank's profitability and asset quality, and (2) reduction of the bank's Tier 1 ratio below 10%. A lower standalone BCA would lead to a downgrade of the bank's long-term deposit and issuer ratings. Note 1: Unless otherwise noted, data in this report are from the company's reports or Moody's Financial Metrics. Note 2: Problem loans include: non-performing loans ("sofferenze"), watchlist loans ("incagli"), restructured loans ("ristrutturati") and past due loans ("scaduti"). Moody's adjusts these numbers and only incorporates 30% of the "watchlist" category as an estimate of those over 90 days overdue. The source of the system averages is the Bank of Italy's 2013 annual report, published in May 2014. Note 3: Source of system averages: Bank of Italy annual reports. Principal Methodology The principal methodology used in this rating was Global Banks published in May 2013. TWIN-SET SIMONA: S&P Assigns Prelim. 'B' CCR; Outlook Positive -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary 'B' long-term corporate credit rating to Italy-based fashion retailer Twin-Set Simona Barbieri srl (Twin-Set). The outlook is positive. At the same time, S&P assigned its preliminary 'B' issue rating to Twin-Set's proposed EUR150 million senior secured notes. The recovery rating is '3', indicating S&P's expectation of "meaningful" (50%-70%) recovery for creditors in the event of a payment default. The issue ratings are subject to the successful closing of the proposed transaction, the successful issuance of the notes and the revolving credit facility (RCF; not rated), and S&P's review of the final documentation. If Standard & Poor's does not receive the final documentation within a reasonable timeframe, or if the final documentation departs from the materials S&P has already reviewed, it reserves the right to withdraw or revise its ratings. The ratings reflect S&P's view of Twin-Set's "aggressive" financial risk profile and "weak" business risk profile, as S&P's criteria define the terms. S&P combines these factors to derive an anchor of 'b+'. The rating incorporates a one-notch negative adjustment to the anchor for S&P's "comparable rating analysis" (CRA), whereby it reviews Twin-Set's credit characteristics in aggregate. This primarily reflects S&P's view that Twin-Set's business risk profile is constrained by its relatively small size in terms of revenues and retail network; the company only has 45 stores. S&P's assessment of Twin-Set's "aggressive" financial risk profile reflects its expectation that the company will maintain Standard & Poor's-adjusted debt of less than 5.0x over the next few years, despite the increasing operating lease-related adjusted debt coming from the rollout of the retail network. S&P's leverage calculation excludes the EUR66 million of remaining shareholder loan (post transaction) provided by the strategic owner, Mo.Da Gioelli srl that S&P understands from the legal documentation can be repaid only after full repayment of the existing debt. S&P anticipates that the absence of amortizing debt in the capital structure and the investment strategy of the main shareholder allows for limited deleveraging potential at Twin- Set. S&P estimates that Twin-Set's adjusted debt-to-EBITDA ratio will be about 4.3x by Dec. 31, 2014, and about 4.2x on average through to 2016. The current financial risk profile assessment also factors in S&P's expectation of EBITDA interest coverage at 4.0x on average over the next 12-24 months. Under S&P's base-case credit scenario, it estimates that Twin-Set will maintain a reported EBITDA margin of about 18%-20% over the next three years. That said, S&P believes the company's free operating cash flow will remain constrained over the next few years by the significant increase in annual capital expenditure (capex) to fund the group's planned domestic and international expansion, from about EUR10 million on average over the past three years. However, S&P understands that Twin-Set will only continue to invest in expansionary capex if the related increase in earnings meets the company's expectations. S&P's assessment of Twin-Set's business risk profile as "weak" primarily reflects its view of the retailer's exposure to the apparel industry--which S&P assess as cyclical and competitive, with limited barriers to entry--and to fashion risk. It further reflects Twin-Set's relatively limited size compared with rated peers in the same sector, and its geographical exposure to Italy, where the group generated 70% of its revenues in 2013. Additionally, S&P sees execution risks in Twin-Set's ambitious strategy of international expansion. These weaknesses are partially offset by Twin-Set's above-average profitability -- a key support for the rating -- and sound like- for-like revenue growth. What's more, S&P considers that the group's positioning in affordable luxury and its strong brand identity somewhat mitigate fashion risk. S&P's base case assumes: -- Positive overall like-for-like sales trends over 2014 and 2015. S&P expects that the international retail expansion will improve brand awareness and therefore fuel the wholesale business growth outside of Italy. -- A reported EBITDA margin in the range of 18%-20% over the forecast period. S&P envisages some pressure on the margin owing to new store openings and the retail network's relative youth, meaning it is not yet at its full regime. -- Approximately EUR30 million of capex per year in 2014 and 2015, of which about EUR20 million relates to store openings. Beyond 2015, capex is expected to be about EUR20 million per year. Based on these assumptions, S&P arrives at the following credit measures: -- Adjusted debt to EBITDA at about 4.3x and 4.1x at the end of 2014 and 2015, respectively. -- EBITDA interest coverage remaining comfortably higher than 3x, a level that S&P views as commensurate with an "aggressive" financial risk profile. The positive outlook reflects S&P's view that Twin-Set's future earnings growth, fueled by positive trading and successful international expansion, should enable the company to maintain an adjusted debt to EBITDA of below 5.0x and EBITDA interest coverage ratio of above 3x. We consider these credit metrics commensurate with the current "aggressive" financial risk profile. S&P could raise the rating if Twin-Set maintains an unadjusted EBITDA margin at about 20%, while successfully implementing its international retail network rollout. S&P believes that the advancing retail strategy will help to increase Twin-Set's size and scale over time and, accordingly, ease some of the execution risk related to the company's strategy and increase brand awareness outside of Italy. This could result in S&P removing its negative assessment of the CRA, which in turn could trigger a one-notch upgrade. S&P could revise the outlook to stable if the company is not able to successfully execute its growth and market expansion strategy. Poor execution or a weakening in trading due to market competition could result in operating performance deviating significantly from S&P's forecast. This could lead to a weakening liquidity position and credit measures that are no longer commensurate with the current ratings--such as EBITDA interest coverage of below 2.0x and adjusted debt to EBITDA of above 5.0x. =================== K A Z A K H S T A N =================== EASTCOMTRANS LLP: Moody's Revises 'B3' CFR Outlook to Positive -------------------------------------------------------------- Moody's Investors Service has changed to positive from stable the outlook on Eastcomtrans LLP's B3 corporate family rating (CFR), B3-PD probability of default rating (PDR), B3.kz national scale rating (NSR) and the B3 senior secured rating assigned to the company's US$100 million five-year notes, with a loss given default (LGD) assessment of LGD3/49%. Concurrently, Moody's has affirmed these ratings. Ratings Rationale The outlook change reflects the potential for an upgrade of Eastcomtrans's ratings over the next 12-18 months, if the company (1) continues to diversify its customer base and renews its contracts with its key customer, Tengizchevroil (TCO), which expire in December 2015; (2) maintains strong operating and financial performance; and (3) retains high fleet utilization rates, with the bulk of its fleet under contract at all times. The B3 CFR primarily reflects Eastcomtrans's (1) small size, with modest revenues of $168 million for 2013; (2) persistent high customer concentration risk, as more than 50% of its revenues are provided by a single customer, TCO; (3) increasing remarketing risk as lease contracts with TCO approach expiration in December 2015; (4) highly concentrated ownership (although the related risks are mitigated by International Finance Corporation (IFC; Aaa stable) holding a 6.67% stake in Eastcomtrans); and (5) overall exposure to an emerging market operating environment, with a less developed regulatory, political and legal framework. More positively, however, the rating also factors in Eastcomtrans's (1) progress in diversifying its customer base, with TCO's share of the company's revenues decreasing to 57% in the first quarter of 2014 from 64% in 2012; (2) solid share estimated at around 11% of the Kazakhstan freight rail transportation market in terms of railcar fleet; (3) modern railcar fleet, which provides economies in terms of repair costs; (4) long-term current lease contracts with TCO (although there is no penalty for pre-term termination of contracts); (5) high projected EBITA margin of above 50% and solid projected financial metrics, with leverage within 3.0x debt/EBITDA (all metrics are Moody's-adjusted); (6) gradual improvement in corporate governance as a result of IFC acquiring a 6.67% stake in Eastcomtrans in 2013; (7) adequate liquidity and manageable foreign currency risk; and (8) own railcar fleet's fairly high estimated value, at above $600 million as of year-end 2013. What Could Change The Ratings Up/Down Moody's could consider upgrading Eastcomtrans's ratings if the company (1) continues to improve its customer diversification; (2) extends its contracts with TCO; and (3) maintains adequate liquidity, strong operating performance and solid financial metrics. Moody's could downgrade the ratings if there is a material deterioration in Eastcomtrans's leverage or interest coverage metrics, or its liquidity or fleet utilisation rates. The ratings could also come under negative pressure if any of Eastcomtrans's contracts with TCO are terminated without Eastcomtrans being able to promptly remarket the released railcars. Principal Methodology Eastcomtrans LLP's ratings were assigned by evaluating factors that Moody's considers relevant to the credit profile of the issuer, such as the company's (i) business risk and competitive position compared with others within the industry; (ii) capital structure and financial risk; (iii) projected performance over the near to intermediate term; and (iv) management's track record and tolerance for risk. Moody's compared these attributes against other issuers both within and outside Eastcomtrans LLP's core industry and believes Eastcomtrans LLP's ratings are comparable to those of other issuers with similar credit risk. Other methodologies used include Loss Given Default for Speculative- Grade Non-Financial Companies in the U.S., Canada and EMEA published in June 2009. Eastcomtrans LLP is the largest private company specialising in operating leasing of freight railcars in Kazakhstan. As of year- end 2013, its fleet comprised 11,184 railcars, which the company estimates at around 11% of the country's total. In 2013, the company derived 79% of its revenues from leasing out its railcars under operating lease agreements, and 21% from providing transportation and other related services. 93.33% of Eastcomtrans's share capital is directly and indirectly controlled by Mr. Marat Sarsenov and 6.67% by International Finance Corporation. TSESNA-GARANT: S&P Affirms 'B' IFS Rating; Outlook Stable --------------------------------------------------------- Standard & Poor's Ratings Services said that it affirmed its 'B' insurer financial strength and counterparty credit ratings on Kazakhstan-based Tsesna-Garant JSC. The outlook is stable. At the same time, S&P affirmed its 'kzBB+' Kazakhstan national scale rating on the company. The ratings predominantly reflect S&P's view of Tsesna-Garant's highly vulnerable business risk profile and less than adequate financial risk profile. S&P derives its 'b+' anchor from the combination of these factors. S&P's assessments of the company's enterprise risk management (ERM) as weak and management and governance as fair lead to a one-notch downward adjustment to the anchor. S&P considers Tsesna-Garant to be a moderately strategic subsidiary of Tsesnabank (B+/Stable). S&P do not factor support from Tsesnabank into the rating because, according to its criteria, the rating on the subsidiary is capped at one notch below the rating on the parent unless its own stand-alone credit profile (SACP) is equal to the rating on the parent. In S&P's view, Tsesna-Garant has a weak competitive position in an international context, reflecting the company's small premium base in absolute terms, still developing franchise in the market, its high dependence on reinsurance, and intense competition in Kazakhstan's motor insurance market. S&P has revised its assessment of Tsesna-Garant's capital and earnings to moderately strong from lower adequate. Following a further capital injection in 2014, the company's total adjusted capital is now above $30 million. Therefore, according to S&P's criteria, it is not as susceptible to a single event and its assessment is therefore more favorable. "We note that the company's shareholder remains supportive. In 2013, the parent increased the insurer's capital to Kazakhstan tenge (KZT) 6 billion (about $40 million) from KZT3.4 billion (about $22 million), covering a net loss of KZT1 billion (about $6.6 million). In 2014, the shareholder added an additional KZT2 billion ($11 million) to help the company take on large corporate business. Without these two capital injections, however, the company's capital would likely be insufficient to cover losses in its motor portfolio. We expect Tsesna-Garant's capitalization to remain at least moderately strong despite further growth in claims, but we expect it to be supported by a balanced approach to its insurance portfolio structure. With a reinsurance utilization ratio of about 59% in 2013, Tsesna-Garant relies heavily on reinsurance, without which its capital adequacy would be considerably weaker, potentially constraining growth. However, in 2014 Tsesna-Garant changed its approach to its reinsurance program following the shareholder's capital increase. The company's reinsurance utilization ratio was 1% for the first quarter of 2014, driven by the current structure of the insurance portfolio," S&P said. "In our base case, we expect that Tsesna-Garant will be loss- making or break even in 2014-2015, supported mainly by positive investment results. However, the company's insurance results will largely depend on its ability to improve underwriting controls and manage loss-making clients. The net loss ratios are likely to be at around 40%, while the expense ratio is unlikely to fall below 70%. Therefore, we expect the net combined (loss and expense) ratio to be at around 110% in 2014 and believe that it is unlikely to improve significantly in 2015. We also consider that further devaluation of the tenge could lead to increasing motor claims costs and, subsequently, growing losses in the company's motor portfolio. As a result, and also owing to continued earnings volatility, we have revised our view of the company's risk position to high risk from moderate," S&P added. S&P views ERM as weak currently, partly due to heightened concerns about the company's ability to establish adequate underwriting controls which can support the company's growth, as well as its technical profitability. This follows the company's establishment of an appropriate risk management system since the beginning of 2014. The stable outlook reflects S&P's expectation that Tsesna-Garant will maintain the strength of its financial profile, as it reflects in its moderately strong capital and earnings, offset by its still-weak competitive position in an international context. A negative rating action is unlikely, in S&P's view, given Tsesna-Garant's current level of capitalization and expected group support in case of need. A positive rating action could primarily follow improvements in the company's risk controls evidenced by sustainable earnings, a revision of the company's risk position to moderate, or further improvements in the business risk profile, as indicated by a sustainable market position and sound operating performance. The rating upside on Tsesna-Garant is limited by that on Tsesnabank. =================== L U X E M B O U R G =================== GATEWAY III: Moody's Lifts Rating on Class X Notes From 'Ba1' ------------------------------------------------------------- Moody's Investors Service upgraded the ratings on the following notes issued by Gateway III - Euro CLO S.A.: EUR219M (currently EUR61.1M outstanding) Class A1 Floating Rate Notes due 2022, Upgraded to Aaa (sf); previously on Sep 22, 2011 Upgraded to Aa1 (sf) EUR25M (currently EUR7.0M outstanding) Class A1-D Delayed Draw Floating Rate Notes due 2022, Upgraded to Aaa (sf); previously on Sep 22, 2011 Upgraded to Aa1 (sf) EUR15M (currently EUR4.2M outstanding) Class A2 Zero Coupon Accreting Notes due 2022, Upgraded to Aaa (sf); previously on Sep 22, 2011 Upgraded to Aa1 (sf) EUR25M (currently EUR7.0M outstanding) Class A3 Revolving Floating Notes due 2022, Upgraded to Aaa (sf); previously on Sep 22, 2011 Upgraded to Aa1 (sf) EUR25M Class B Floating Rate Notes due 2022, Upgraded to Aaa (sf); previously on Sep 22, 2011 Upgraded to A2 (sf) EUR31M Class C Floating Rate Notes due 2022, Upgraded to A2 (sf); previously on Sep 22, 2011 Upgraded to Baa3 (sf) EUR6M (currently EUR4.3M Rated Balance outstanding) Class X combination Notes due 2022, Upgraded to A3 (sf); previously on Sep 22, 2011 Upgraded to Ba1 (sf) Moody's also affirmed the ratings on the following notes issued by Gateway III -- Euro CLO S.A.: EUR23.5M Class D1 Floating Rate Notes due 2022, Affirmed Ba3 (sf); previously on Sep 22, 2011 Upgraded to Ba3 (sf) EUR1M Class D2 Floating Rate Notes due 2022, Affirmed Ba3 (sf); previously on Sep 22, 2011 Upgraded to Ba3 (sf) EUR13.5M (currently EUR 3.5M outstanding) Class E Floating Rate Notes due 2022, Affirmed B1 (sf); previously on Sep 22, 2011 Upgraded to B1 (sf) US$5M Class U combination Notes due 2022, Affirmed Aaa (sf); previously on Aug 02, 2011 Confirmed at Aaa (sf) EUR15M (currently EUR 0.9M Rated Balance outstanding) Class V combination Notes due 2022, Affirmed Aaa (sf); previously on Sep 22, 2011 Upgraded to Aaa (sf) Gateway III-Euro CLO S.A., issued in April 2006, is a Collateralised Loan Obligation ("CLO") backed by a portfolio of mostly high yield European loans. The portfolio is managed by Pramerica Investment Management Inc. The transaction passed its' reinvestment period in May 2012. Ratings Rationale The upgrade to the ratings on the notes is primarily a result of a significant amount of amortization of the underlying portfolio on the payment date in May 2014, where EUR61 million (or 21% of its' original balance) was used to redeem the Class A notes. As a result of the deleveraging, over-collateralization of the senior notes has increased. As of the trustee's May 2014 report, the Class B had an over-collateralization ratio of 146.76%, compared with 129.94% six months ago, and the Class C had an over-collateralization ratio of 123.57%, compared with 114.53%. Further, the over-collateralization ratio of the Class B notes has increased by 21.89%, and that of the Class C notes, by 11.24%, over the last 12 months. The OC levels reported in the May 2014 report do not reflect the principal paydown of the notes. The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par and principal proceeds balance of approximately EUR 249.3 million, defaulted par of EUR 13.6 million, a weighted average default probability of 22.1% (consistent with a WARF of 3565 with a weighted average life of 3.2 years), a weighted average recovery rate upon default of 43.96% for a Aaa liability target rating, a diversity score of 29 and a weighted average spread of 3.85%. The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. For a Aaa liability target rating, Moody's assumed that 82.7% of the portfolio exposed to senior secured corporate assets would recover 50% upon default, while the remainder non first-lien loan corporate assets would recover 15%. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analyzing. The ratings of the Combination Notes address the repayment of the Rated Balance on or before the legal final maturity. For Class X, the 'Rated Balance' is equal at any time to the principal amount of the Combination Note on the Issue Date increased by the Rated Coupon of 0.25% per annum respectively, accrued on the Rated Balance on the preceding payment date minus the aggregate of all payments made from the Issue Date to such date, either through interest or principal payments. The Class U combination Notes are backed by securities issued by the Federal National Mortgage Association which are currently rated Aaa by Moody's. For Class V, the 'Rated Balance' is equal at any time to the principal amount of the Combination Note on the Issue Date minus the aggregate of all payments made from the Issue Date to such date, either through interest or principal payments. The Rated Balance may not necessarily correspond to the outstanding notional amount reported by the trustee. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Factors that would lead to an upgrade or downgrade of the rating: In addition to the base-case analysis, Moody's conducted sensitivity analyses on the key parameters for the rated notes, for which it assumed a lower credit quality in the portfolio to address refinancing risk. Loans to European corporates rated B3 or lower and maturing between 2014 and 2015 make up approximately 13.3% of the portfolio, which could make refinancing difficult. Moody's ran a model in which it raised the base case WARF to 3847 by forcing ratings on 50% of the refinancing exposures to Ca; the model generated outputs that were within one notch of the base- case results. This transaction is subject to a high level of macroeconomic uncertainty, which could negatively affect the ratings on the note, in light of 1) uncertainty about credit conditions in the general economy and 2) the concentration of lowly- rated debt maturing between 2014 and 2015, which may create challenges for issuers to refinance. CLO notes' performance may also be impacted either positively or negatively by 1) the manager's investment strategy and behavior and 2) divergence in the legal interpretation of CDO documentation by different transactional parties due to because of embedded ambiguities. Additional uncertainty about performance is due to the following: 1) Portfolio amortization: The main source of uncertainty in this transaction is the pace of amortization of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortization could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortization would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. 2) Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over- collateralization levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. 3) Around 55% of the collateral pool consists of debt obligations whose credit quality Moody's has been assessed by using credit estimates. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision =============== P O R T U G A L =============== BANCO ESPIRITO: Reveals Exposure to Related Companies ----------------------------------------------------- Joao Lima, Henrique Almeida and Abigail Moses at Bloomberg News report that Banco Espirito Santo SA sought to reassure investors by revealing its exposure to related companies after a missed payment on short-term debt by a member of the Portuguese group roiled global markets. The nation's second biggest bank by market value said it had EUR1.18 billion (US$1.6 billion) of loans, securities and other items linked to Grupo Espirito Santo as of June 30, Bloomberg says, citing a filing. The lender also said it has a buffer of EUR2.1 billion above the regulatory minimum following a capital increase in June, Bloomberg notes. The bank provided the update after a parent company, Espirito Santo International missed payments on commercial paper, Bloomberg relays. According to Bloomberg, while the nation's central bank sought to reassure markets that the lender's solvency is "solid," the lack of transparency in the corporate structure jolted investors. "Banco Espirito Santo's executive committee believes that the potential losses resulting from the exposure to Grupo Espirito Santo do not compromise the compliance with the regulatory capital requirements," Bloomberg quotes the Lisbon-based bank as saying. "Banco Espirito Santo is committed not to increase its total exposure to Espirito Santo Group." The shares resumed trading at 11:30 a.m. on Friday, July 11, after being suspended on Thursday, July 10, following a 17% decline. Chief Executive Officer Ricardo Salgado, the 70-year-old great- grandson of the bank's founder, is being replaced, Bloomberg says. Vitor Bento, chairman of payment-processing company SIBS SA, is being proposed for the role, after Chief Financial Officer Amilcar Morais Pires's name was withdrawn, Bloomberg relates. Shareholders will vote on the management change on July 31, Bloomberg discloses. Espirito Santo Financial Group, as cited by Bloomberg, said on Thursday it was suspending its shares and listed bonds because of "ongoing material difficulties" at Espirito Santo International. It said it's assessing the financial impact of its exposure to the parent company, Bloomberg notes. The statement said Espirito Santo Financial has issued a EUR700 million guarantee to cover debt instruments issued by Espirito Santo Group companies and distributed to Banco Espirito Santo retail clients, Bloomberg relays. Market turmoil was fueled by the complex structure of the Espirito Santo group, Bloomberg states. The bank is 25% owned by Espirito Santo Financial Group SA. That in turn is 49% owned by Espirito Santo Irmaos SGPS SA, which is fully owned by Rioforte Investments SA. Rioforte, Bloomberg says, is fully owned by Espirito Santo International SA, the company that missed payments on commercial paper. Banco Espirito Santo is a private Portuguese bank based in Lisbon. =========== R U S S I A =========== BORETS INTERNATIONAL: Moody's Changes B1 CFR Outlook to Positive ---------------------------------------------------------------- Moody's Investors Service has changed to positive from stable the outlook on the B1 corporate family rating (CFR), the B1-PD probability of default rating (PDR) of Borets International Ltd (Borets), and the B1 senior unsecured rating of notes issued by Borets Finance Limited, a wholly owned subsidiary of Borets. Moody's has also affirmed all ratings. Ratings Rationale The rating action reflects the solid operating performance of Borets and the expectation of gradual deleveraging going forward. It also reflects evidence of Borets' continuous adherence to the sound corporate governance standards after the buyback of shares held by Weatherford International Ltd in September 2013 and the following acquisition by EBRD and IFC of a 5% and 3% stake in the company respectively, with comfortable protection of creditors and minority rights. The fact that both EBRD and IFC have significant participation in the notes provides additional comfort that the company's financial policy will balance the interest of shareholders and creditors. Moody's also acknowledges the continuous development of Borets' international operations without support from Weatherford. In particular, Borets gained a new international client, and made the first commercial installations of one of its new technologies following successful trials throughout 2013. The ratings and the positive outlook reflect Borets' focus on positive free cash flow generation, the expectation that significant cash balances are likely to be accumulated over time and moderate debt service requirements until the maturity of the bond in 2018. Strong liquidity and cash flows compensate for the significant step up in leverage following the share buyback, with adjusted debt/EBITDA increasing to 3.7x (1.1x in 2012). Moody's also believes that the 2013 decline in profitability (with an adjusted EBITDA margin declining to 17% from 19% in 2012) will be temporary as a result of one-off spending related to the restructuring of international and domestic businesses, as well as the competitive pricing environment in the Russian market. In 2014, despite the negative effect of rouble devaluation and still tight pricing in Russia, Borets should restore its profitability owing to a number of optimization measures, including reorganization of production facilities, and the launch of the Stary Oskol plant in May 2014. Higher profitability should in turn result in adjusted debt/EBITDA going down to below 3.5x in 2014. However, Moody's cautions that the adverse economic and political environment in Russia and potential further rouble devaluation may still moderately affect the company's operating and financial results. Borets' ratings also incorporate (1) its leading position in the niche ESP market with long-standing customer relationships; (2) its increasing geographical diversification; (3) favorable industry dynamics globally, supported by the increasing need for oil recovery enhancement technologies; and (4) its historically proven resistance to market volatility, underpinned by strong business fundamentals. At the same time, Borets' B1 rating remains constrained by (1) its small scale and focus on a single product line (ESP); (2) limited (albeit gradually increasing) geographic and customer diversification relative to its global peers; and (3) competition in the higher-end segment from larger-scale global players and Russian competitors in the lower-end segment, as well as from Chinese producers. Rationale for Positive Outlook The positive outlook on the ratings reflects the potential for the upgrade of Borets' ratings over the next 12-18 months based on Moody's expectation that the company will deliver on its operating targets, including sustainable growth of its international business while maintaining robust cash flow generation, solid liquidity profile and gradual deleveraging. What Could Change the Ratings Up/Down Moody's would consider upgrading Borets' rating if the company were to continue (1) adhering to sound corporate governance; and (2) demonstrating robust operational performance, further increasing the scale of its operations and geographical diversification. In addition, to consider a rating upgrade, Moody's would expect Borets to reduce its leverage (measured as adjusted debt/EBITDA) comfortably below 3.5x on a gross basis or 3.0x on a net basis while maintaining a solid liquidity profile and positive free cash flow generation. Consideration of net leverage reflects that cash is expected to be accumulated over time in view of the bullet debt structure and the positive free cash-flow. Negative pressure, though currently unlikely, could be exerted on Borets' ratings as a result of (1) material debt-financed acquisitions or capital investments; (2) aggressive shareholder distribution; or (3) a material deterioration in Borets' competitive position resulting in an increase in leverage, as measured by adjusted debt/EBITDA, sustainably above 4x. Principal Methodologies The principal methodology used in these ratings was the Global Oilfield Services Rating Methodology published in December 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. Borets International Limited is a leading vertically integrated manufacturer of artificial lift products for the oil sector, specializing in the design and manufacture of electric submersible pumps (ESP) and related products and provision of related services. In 2013, Borets generated US$767 million in sales and US$127 million of adjusted EBITDA and reported US$830 million in assets. MECHEL OAO: Russia Mulls Bankruptcy Amid Debt Restructuring Talks ----------------------------------------------------------------- Halia Pavliva at Bloomberg News reports that Russia indicated it may allow OAO Mechel to fall into bankruptcy as talks to restructure about US$9 billion of debt bog down. According to Bloomberg, the state-run RIA Novosti news agency reported that three weeks after the government said it was working on a plan to bail out Mechel, Industry and Trade Minister Denis Manturov said on Thursday that a bankruptcy filing is another possibility, although the ministry doesn't support this option. The comments came a day after the chairman of Vnesheconombank said all the proposals presented to creditors and the government to help Mechel restructure its debt would lead to losses, Bloomberg notes. Sergey Donskoy, an analyst at Societe Generale, as cited by Bloomberg, said "Mechel's debt payments significantly exceed its cash flow and Ebitda for this year. That won't change unless coal prices rebound" or the debt is restructured. Falling prices for the steel-making ingredient drove the company to a record loss in 2013, Bloomberg recounts. Mechel OAO is a Russian steel and coking coal producer. As reported by the Troubled Company Reporter-Europe on April 2, 2014, Moody's Investors Service downgraded Mechel OAO's corporate family rating (CFR) and probability of default rating (PDR) to Caa1 and Caa1-PD, respectively. Moody's said the outlook remains negative. UC RUSAL: July 15 Hearing Set for Creditors' Meeting Request ------------------------------------------------------------ Itar-Tass reports that RUSAL said in a statement on Friday the London High Court is convening a meeting of creditors of Russia's aluminum giant to vote on a scheme of arrangement of restructuring the company's US$5.15 billion debt. RUSAL has earlier applied to the London and Jersey courts for the first time in Russia's corporate history for debt restructuring after failing to win unanimous support from its creditors, Itar-Tass relays. The date of holding the creditors' meeting was not specified in the statement, Itar-Tass notes. The Royal Court of Jersey will hold a hearing on July 15 on RUSAL's request for the creditors' meeting convocation, Itar-Tass discloses. By now, RUSAL's request for debt restructuring has received support from 94% of the company's creditors and the aluminum giant is currently negotiating the deal with the remaining 6%, according to Itar-Tass. RUSAL, Itar-Tass says, still needs to agree on a US$3.6 billion restructuring deal with banks. RUSAL is the world's largest aluminum producer. =========== S E R B I A =========== SERBIA: Fitch Affirms 'B+' Long-Term Issuer Default Ratings ----------------------------------------------------------- Fitch Ratings has affirmed Serbia's Long-term foreign and local currency Issuer Default Ratings (IDRs) at 'B+'. The Outlooks are Stable. The issue ratings on Serbia's senior unsecured foreign and local currency bonds have also been affirmed at 'B+'. The Country Ceiling has been affirmed at 'B+' and the Short-term foreign currency IDR at 'B'. Key Rating Drivers The affirmation of Serbia's sovereign ratings reflects the following key rating drivers: The newly elected government benefits from a strong mandate to implement its ambitious reform program, having won a large majority in parliament. The May 2014 floods have caused some delays in the government's agenda, but several structural reforms affecting labor law, tax administration, land registry, bankruptcies and privatization as well as pensions are expected to be passed in the coming months. These reforms are essential to the government's fiscal consolidation plans, as they lay the grounds for expenditure cuts and the restructuring of the state- owned enterprises (SOEs), which weigh heavily on the deficit. Debt dynamics remain challenging, but Fitch expects some consolidation in the coming years. The consolidated general government deficit is expected to widen to 8.7% of GDP in 2014 and to fall to 5% by 2016. The government will again overshoot its initial target of 7.1% as a result of the restructuring of SOEs, further recapitalization of state-owned banks, as well as the consequences of the May floods. The government intends to reduce current expenditure via restrictions on pensions, cuts in its wage bill and the restructuring of SOEs. Fitch expects public debt to stabilize at about 76% of GDP by 2016-17, but interest payments as a proportion of revenue will remain relatively low. One-off and off budgetary items will continue to weigh on debt dynamics in the coming years, while the issue of restitution is likely to add to the debt figures in 2015-16. Negotiations between the Serbian authorities and the IMF to sign a precautionary lending agreement are likely to start by the end of 2014, and will greatly depend on the adoption and implementation of the government's reform and consolidation plans. Such an agreement could provide a policy anchor and would be instrumental in maintaining investor confidence. The economic impact of the May floods is still unknown, but is likely to be manageable. GDP growth will be close to zero in 2014, while a modest pick-up is expected in 2015 because of base effects and the impact of reconstruction. Higher imports of investment goods will be partly compensated by larger donor inflows in the form of current transfers, so that the impact on the current account will be modest. External financing pressures will continue to ease, thanks to improvements in the current account deficit and continuous inflows of foreign direct investment. The expected 10-year USD1 billion bilateral loan from the United Arab Emirates, on favorable terms, will reduce Serbia's funding costs and support its accumulation of foreign exchange reserves. Although the administration is determined to prioritize domestic issuance, exchange rate risks to government solvency remain high, as about 80% of public debt is foreign currency-denominated. Serbia's 'B+' Long-term IDRs are supported by its high income per head, superior human development and ease of doing business indicators relative to rating peers, and the recent EU decision to open accession talks with Serbia. RATING SENSITIVITIES The Stable Outlook reflects Fitch's assessment that upside and downside risks to the rating are currently well balanced. The main risk factors that, individually or collectively, could trigger positive rating action are: -- Credible medium term fiscal consolidation program that reduces public debt/GDP. -- Progress on structural reforms that lead to an acceleration of economic recovery and a further narrowing of external imbalances. The main risk factors that, individually or collectively, could trigger negative rating action are: -- Failure to pass and implement structural reforms that facilitate fiscal consolidation and improve the outlook for debt dynamics. -- A recurrence of exchange rate pressures leading to a fall in reserves and a sharp rise in debt levels and the interest burden. KEY ASSUMPTIONS The ratings and Outlooks are sensitive to a number of assumptions. Fitch assumes that the new government will be able to pass and implement the proposed reform agenda. Fitch assumes that the Serbian economy grows at a rate of 2% per annum over the medium term and that external finances are not subject to a severe exchange rate shock. Fitch assumes the gradual progress in deepening fiscal and financial integration at the eurozone level will continue; key economic imbalances within the currency union will be slowly unwound; and eurozone governments will tighten fiscal policy over the medium term. Fitch assumes that the US Federal Reserve exit from monetary stimulus is orderly, so that Serbia retains domestic and external market access despite higher international financial volatility. ========= S P A I N ========= CAIXA GALICIA I: Fitch Affirms 'Bsf' Rating on Class D Notes ------------------------------------------------------------ Fitch Ratings has taken rating actions on Ayt Colaterales Caixa Galicia I (Galicia I) and Ayt Colaterales Global Hipotecario, FTA Serie Ayt Colaterales Global Hipotecario Caja Vital 1(Vital). Key Rating Drivers Upgrade Driven by Rating Cap Revision Fitch placed the class A notes of both transactions on Rating Watch Positive (RWP) following the revision of the rating cap on Spanish structured finance (SF) transactions, which aligned the cap with Spain's Country Ceiling (AA+), six notches above its sovereign Issuer Default Ratings (IDR) of 'BBB+'. With the publication of its updated criteria assumptions for Spanish RMBS on June 5, 2014, Fitch set its assumptions for 'AA+sf' rating stresses, allowing it to analyze the ability of some senior tranches to withstand higher rating stresses. The analysis of Galicia I and Vital showed that the credit enhancement (CE) available to the class A notes of Galicia 1 is sufficient to warrant a one-notch upgrade, while Vital's class A notes are not able to support rating stresses higher than those of 'AA-sf'. Solid Asset Performance The affirmation of the remaining tranches reflects the healthy performance of both transactions. As of the latest interest payment date (IPD), three-month plus arrears (excluding defaults) were 0.9% (Vital) and 1.5% (Galicia) of their current collateral balances, lower than Fitch's Spanish RMBS index (2.1%). In Fitch's view the performance of Vital 1 is mainly due to the geographic concentration of borrowers in the Pais Vasco region (56%), which has seen a lower unemployment rate and where home prices have been higher compared to other Spanish regions. Cumulative gross defaults (defined loans in arrears by more than 18 months) are at 0.2% (Galicia) and 1.3% (Vital) of their respective initial balances, all of which have been fully provisioned for using excess spread generated by the structures, leaving the reserve funds fully funded. Combined with the sequential redemption of the notes, this robust asset performance has contributed to an increase in the CE available to the notes. Rating Sensitivities A change in Spain's IDR and Country Ceiling may result in a revision of the highest achievable rating. An increase in defaults and associated pressure on excess spread levels and reserve funds beyond Fitch's expectations could result in negative rating action. The rating actions are as follows: AyT Colaterales Caixa Galicia I: Class A (ES0312273289) upgraded to 'AAsf'; off RWP, Outlook Stable Class B (ES0312273297) affirmed at 'Asf'; Outlook Stable Class C (ES0312273305) affirmed at 'BB+sf'; Outlook Stable Class D (ES0312273313) affirmed at 'B+'; Outlook Stable Ayt Colaterales Global Hipotecario, FTA Serie Ayt Colaterales Global Hipotecario Caja Vital 1: Class A (ES0312273081) affirmed at 'AA-sf'; off RWP, Outlook Stable Class B (ES0312273099) affirmed at 'Asf'; Outlook Stable Class C (ES0312273107) affirmed at 'BBsf'; Outlook Stable Class D (ES0312273115) affirmed at 'Bsf'; Outlook Stable GOWEX SA: Commences Insolvency Proceedings ------------------------------------------ Julien Toyer and Andres Gonzalez at Reuters report that Gowex S.A., at the heart of an accounting scandal that has hit Spain's reputation among investors, started insolvency proceedings on Thursday, giving it four months to reach a deal with creditors or face bankruptcy. Reuters relates that the Spanish High Court had charged the company's founder and former chief executive Jenaro Garcia Martin with three financial crimes: false accounting, distortion of economic and financial information, and insider trading. Mr. Martin is called to testify next Monday, when he is also due to hand over his computer and his phone, Reuters discloses. Gowex stunned investors and its workers on Sunday when it said Garcia Martin had misrepresented the firm's accounts for at least the last four years, Reuters recounts. Adding to the uncertainty surrounding the company, Gowex workers issued a statement on Thursday saying they were not aware of any insolvency proceedings, Reuters relays. The ownership of the company was also unclear, Reuters notes. Gowex is a Spanish wireless networks provider. =========================== U N I T E D K I N G D O M =========================== BIBBY OFFSHORE: Moody's Assigns 'B2' Corporate Family Rating ------------------------------------------------------------ Moody's Investors Service has assigned a definitive B2 Corporate Family Rating (CFR) and a B2-PD Probability of Default to Bibby Offshore Holdings Limited. Concurrently Moody's has assigned a definitive B2 rating to Bibby Offshore Services Plc GBP175 million senior secured notes due 2021, following receipt of final documentation and completion of the company's refinancing, including the repayment of its previous bank indebtedness. The outlook remains stable. Ratings Rationale Moody's definitive ratings for the CFR and the senior secured notes are in line with the provisional ratings assigned on June 9, 2014. Moody's rating rationale was set out in a press release on that date. The final terms of the notes were in line with the drafts reviewed for the provisional instrument rating assignments. Outlook The stable outlook reflects Moody's expectation that Bibby Offshore will maintain its current operating performance, with continued good vessel utilization and stable day rates, and that industry conditions remain favorable. Moody's also expects that the company will continue with its steady organic growth strategy and make no material debt-funded acquisitions. In addition, Moody's assumes that, following this transaction, the company will adhere to its financial policy of making no dividends or other shareholder distributions that would re-leverage the business from its opening level. What Could Change the Rating UP Whilst the company is adequately positioned in the B2 category, in view of its relatively recent rapid growth, there is unlikely to be near-term upward ratings pressure until the company has established a longer track record of profitability at around the current level. However, there could be positive pressure if Moody's-adjusted debt/EBITDA ratio falls below 3.5x on a sustained basis and the company maintains a Moody's-adjusted EBITDA margin of around 40%, whilst generating positive free cash flow and keeping a solid liquidity profile. Any potential upgrade would also include an assessment of market conditions. What Could Change the Rating DOWN Moody's could downgrade the ratings if any of the conditions for maintaining a stable outlook are not met, or if the company's liquidity profile or debt protection ratios deteriorate as the result of a weakening of its operational performance. Quantitatively, Moody's could downgrade the ratings if the company's Moody's adjusted debt/EBITDA ratio rises towards 5x or if the company fails to generate free cash flow after taking into account the cash over-funding at closing. Principal Methodologies The principal methodology used in these ratings was the Global Oilfield Services Rating Methodology published in December 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. Bibby Offshore Holdings Limited, headquartered in Aberdeen, UK, is a leading provider of offshore and subsea services in the UK North Sea. For the financial year ended December 31, 2013, Bibby Offshore reported revenues of approximately GBP264 million. Bibby Offshore is wholly owned by Bibby Line Group Limited, formed over 200 years ago as a ship owner and operator, and a diversified group of companies with international interests in shipping, marine services, logistics, financial services, offshore services and retailing, with revenue of GBP1.59 billion for the year ended December 31, 2013. BROADGATE FINANCING: Fitch Lifts Rating on Cl. D Notes From BB+ --------------------------------------------------------------- Fitch Ratings has upgraded Broadgate Financing PLC's class D notes and affirmed the others, as follows: GBP211.4 million class A1 due January 2032 (XS0213092066) affirmed at 'AAAsf'; Outlook Stable GBP240.5 million class A2 due April 2031 (XS0211897664) affirmed at 'AAAsf'; Outlook Stable GBP175.0 million class A3 due April 2033 (XS0211897821) affirmed at 'AAAsf'; Outlook Stable GBP400.0 million class A4 due July 2036 (XS0213092652) affirmed at 'AAAsf'; Outlook Stable GBP365.0 million class B due October 2033 (XS0211898043) affirmed at 'AAsf'; Outlook Stable GBP107.7 million class C1 due January 2022 (XS0213093031) affirmed at 'BBB-sf'; Outlook Stable GBP214.3 million class C2 due April 2035 (XS0211898126) affirmed at 'BBB-sf'; Outlook Stable GBP27.8 million class D due October 2025 (XS0213093627) upgraded to 'BBB-sf' from 'BB+sf'; Outlook Stable Broadgate Financing PLC is a securitization of long term debt financing of 16 clustered office buildings benefiting from a number of long leases to strong institutions, either in the financial or professional services sector. The Broadgate estate provides approximately 376,000sq m of prime office space in the City of London. Key Rating Drivers The rating action reflects the improving occupational market conditions in City offices, which has seen rents climb back to their long term trend. The upgrading of the class D notes also reflects the borrower's proven capability in managing the estate, both in terms of signing up strong tenants and maintaining the condition of the properties, which should support its ability to meet scheduled amortization required to repay this and the class C1 notes over the short-to-medium term. Vacancy has dropped to 3% from 4.6% recorded at the previous rating action in 2013. However, lease roll-off risk is visible in 2016-17 when UBS have break options on 1-2 Finsbury Avenue and 100 Liverpool Street. Given the prime quality of the collateral and the strength of the borrower, Fitch does not expect a medium term increase in vacancy. Over the longer term -- when a considerable amount of principal, particularly for senior bonds, will fall due -- dependency on a single submarket is a constraining factor for ratings, particularly as the borrower's continued ability and willingness to invest in the estate will be key to maintaining income. The collateral was revalued at GBP2,922 million in March 2014, up from GBP2,716 million in March 2013. The new valuation results in a loan-to-value ratio (LTV) of 59.6%, down from 66.3% at the last rating action in July 2013. Fitch estimates LTV just under 70% given that current yields are below the long term trend. Debt service coverage has also improved to 1.28x from 1.13x in line with the positive leasing activities, particularly a new lease signed on 199 Bishopsgate (following its refurbishment). Rent- free periods granted to tenants in Broadgate Tower and 201 Bishopsgate have also expired, with an additional GBP6.5m of annual income becoming available after rent-free periods offered for recent lettings expire in 2014 and 2015. Fitch views the on-going investment in the estate -- in particular the works on 5 Broadgate (not within the securitization), Broadgate Circle and the now completed refurbishment of 199 Bishopsgate -- as credit positive for the transaction, since they preserve the estate's appeal as other high spec space comes on line. Additionally, delivery of Crossrail 1, scheduled for 2018, will enhance demand from occupiers, and offers long term support to ratings. Rating Sensitivities Any shock to global banking would affect a significant number of the tenants, whose credit strength is instrumental to the continued deleveraging of the transaction. This could see ratings fall, especially if it coincided with reletting risk associated with UBS's imminent departure (accounting for up to 20% of the portfolio by rent, assuming all of the occupied space is vacated). Further upgrades would hinge on a significant increase in net operating income, which is not likely in the medium term. Fitch estimates 'Bsf' proceeds of GBP2,500 million. EUROSAIL-UK 2007-6NC: S&P Raises Rating on Class A3a Notes to BB- ----------------------------------------------------------------- Standard & Poor's Ratings Services raised and removed from CreditWatch positive its credit ratings on Eurosail-UK 2007-6NC PLC's class A2a and A3a notes. S&P's ratings on the class B, C, and D notes are unaffected. The upgrades follow the transaction's restructuring. S&P has conducted its credit and cash flow analysis of the transaction using the most recent information that S&P has received (dated June 2014) under its applicable criteria. In February 2014, the class A2a and A3a notes were converted to British pound sterling-denominated notes from euro-denominated notes following the transaction's proposed restructuring. On March 12, 2014, S&P therefore placed on CreditWatch positive its ratings on the class A2a and A3a notes. Following the restructuring, S&P considers that the class A2a and A3a notes are no longer exposed to foreign exchange rate risk. S&P has therefore raised to 'AA+ (sf)' and 'BB- (sf)' from 'B (sf)' and removed from CreditWatch positive its ratings on the class A2a and A3a notes, respectively. The servicer, Acenden Ltd., has updated how it reports arrears to include amounts outstanding, delinquencies, and other amounts owed. The servicer's definition of other amounts owed includes (among other items), arrears of fees, charges, costs, ground rent, and insurance. Delinquencies include principal and interest arrears on the mortgages, based on the borrowers' monthly installments. Amounts outstanding are principal and interest arrears, after the servicer first allocates borrower payments to other amounts owed. In this transaction, the servicer first allocates any arrears payments to other amounts owed, then to interest amounts, and subsequently to principal. From a borrower's perspective, the servicer first allocates any arrears payments to interest and principal amounts, and then to other amounts owed. This difference in the servicer's allocation of payments for the transaction and the borrower results in amounts outstanding being greater than delinquencies. The proportion of amounts outstanding in the transaction's 90+ days amount outstanding bucket has increased to 40.22% in June 2014 from 26.80% in March 2012. During this period, 90+ days delinquencies, which exclude other amounts owed, increased to 23.16% from 17.24%. The increase in 90+ days delinquencies is in contrast to S&P's index for U.K. nonconforming residential mortgage-backed securities (RMBS), in which 90+ days delinquencies decreased to 14.09% in Q1 2014 from 16.54% in March 2012. Based on the transaction's performance, S&P has projected additional arrears of 4.83% over the next year in its analysis. S&P's weighted-average foreclosure frequency (WAFF) assumptions has decreased. This is primarily due to an increase in seasoning and the fact that S&P considers delinquencies (rather than amounts outstanding) when applying its arrears adjustment. S&P's weighted-average loss severity (WALS) assumptions haveincreased because it expects potential losses to be higher, given that the servicer first allocates any arrears payments to other amounts owed. Rating WAFF (%) WALS (%) AAA 50.33 53.04 AA 44.20 47.26 A 37.21 37.61 BBB 31.83 31.98 BB 26.31 27.76 Following the restructuring, the class A2a notes will repay sequentially, irrespective of any performance triggers. This allows the class A2a notes to continue to build up credit enhancement, which already stands at 65.50% as of June 2014. After the class A2a notes have fully repaid, the class A3a notes will repay pro rata along with the class B, C, and D notes, if the reserve and liquidity reserve funds are at their required levels, and 90+ days delinquencies (including repossessions) are less than 22.5%. The transaction will revert to paying sequentially when the outstanding collateral balance declines to 10% of the original collateral balance. This structure prevents the class A3a notes from building up credit enhancement in a benign environment, as they would if repayed sequentially, because principal repayment is spread out equally across the class A3a, B, C, and D notes. Should credit performance then deteriorate, the class A3a notes may have insufficient credit enhancement to withstand stresses toward the end of the life of the transaction. As of June 2014, the available credit enhancement for this class of notes was 21.24%. S&P's credit stability analysis indicates that the maximum projected deterioration that it would expect at each rating level over one- and three-year periods, under moderate stress conditions, is in line with S&P's credit stability criteria. Eurosail-UK 2007-6NP securitizes U.K. nonconforming residential mortgages originated by Southern Pacific Mortgages Ltd., Preferred Mortgages Ltd., London Mortgage Company, and Alliance & Leicester PLC. RATINGS LIST Eurosail-UK 2007-6NC PLC GBP288.962 mil mortage-backed floating-rate notes Rating Rating Class Identifier To From A2a 29881HAD7 AA+ (sf) B (sf)/Watch Pos A3a 29881HAG0 BB- (sf) B (sf)/Watch Pos THOMAS COOK: Fitch Affirms 'B' LT Issuer Default Rating ------------------------------------------------------- Fitch Ratings has affirmed Thomas Cook Group Plc's (TCG) Long- term Issuer Default Rating (IDR) at 'B' with a Positive Outlook. Fitch has also affirmed the senior unsecured notes issued by Thomas Cook Finance plc at 'B+'/ 'RR3'. The affirmation is based on improved profitability in 2013 and the significant cost cutting conducted since the appointment of the new management team. Fitch expects operating margins to remain resilient in FY14, despite a competitive UK travel operator environment. However, funds from operations (FFO) lease-adjusted gross leverage increased to 7.6x at the financial year to September 2013 from 6.1x at FY12, as continued restructuring costs drove FFO lower. The group's financial flexibility should, nevertheless, improve on the back of such recent and future cost- cutting measures and improved free cash flow generation. As a result, Fitch expects material de-leveraging over the next two years (3.5x by FYE16) as reflected in the Positive Outlook. Key Rating Drivers Competitive, Low Margin Industry Competition in the sector remains keen, notably from low-cost airlines and the constant growth of online companies such as Expedia.com. TCG's UK bookings were down 1% in 1H14, despite competitive selling prices. Against a target on-line penetration rate of 50% for bookings by 2015, TCG's on-line bookings only rose to 38% of total bookings (from 36% at September 2013), suggesting that TCG, despite its strong brand name, is yet to be identified as a first-call online brand. Refinancing Complete The upgrade to 'B' from 'B-' in November 2013 followed the completion of TCG's GBP1.6 billion refinancing plan. This refinancing extended bank maturities from 2015 to 2017 and prefunded the repayment of the 2015 EUR400 million senior unsecured notes. This has improved, and is expected to continue supporting, TCG's financial flexibility. Turnaround Plan, Improved Trading TCG's turnaround plan is designed to improve profitability by GBP460 million (revised upwards from GBP440 million) by end-2015 (expected to deliver benefits of GBP140 million and GBP320 million cost cutting and efficiency improvements group-wide). 1HFY14 results (LFL EBIT improved GBP77 million to GBP274 million on an LTM basis) confirmed the positive trend with the LTM March 2014 operating margin rising to 3% (2.8% at FYE13 and 1.6% at FYE12). However, TCG had to pay out around GBP132 million of one- off costs in FY13 in respect of the cost-out program, with the re-organization of the UK retail structure (including the closure of over 190 shops) costing GBP28 million. A further GBP150 million of benefits has now been identified, under the ("Wave 2 program"). This is part of the overall benefits of GBP400 million expected to be achieved by end-2018 under this program. There are execution risks, but we note the largely complete first round of cost cutting totalling GBP194 million achieved to date under Wave 1. Further Efficiency Measures In addition to cutting costs, TCG is implementing efficiency measures such as reducing the number of travel brands to 30 from 85, strict capacity management, IT systems integration and standardization, simplifying management structures and recruiting skilled omni-channel/ on-line staff. It is also improving its product offering through enhanced yield management, airline capacity optimization and hotel procurement to increase operating margins. Strong Brand Name The ratings continue to benefit from the strong brand name, geographical diversification of its customer base and end- destinations, dynamic new management, a cost-cutting and re- organisation program, improved working capital management and IT systems rationalization and simplification. Fuel and FX risks TCG's cost base is exposed to avgas price movements and to currency fluctuations, through a strengthening of the USD and the EUR against GBP. Fitch expects fuel costs to remain stable in 2014, due to the likelihood of only moderate fuel price increases. Seasonality and Leverage Working capital typically increases by up to GBP700 million between September to December, due to this being a quieter holiday period and higher marketing costs for the summer season. Group-adjusted FFO gross leverage was 7.6x at FYE13, and is forecast to rise to 9.3x in December 2014, due to such working capital swing of GPB700 million from peak to trough. Fitch, however, expects TCG's credit metrics to improve in 2014, due to both asset disposals and lower cash restructuring costs during the year. Asset Disposals Support Deleveraging In FY13 and 1H14, TCG sold GBP63 million of non-core assets (including the group's share in the UK NATS air traffic control system for GBP38 million), using the proceeds to pay down debt and improve financial flexibility. Improved Credit Metrics Fitch expects the operational restructuring to drive profitability and free cash flow (assuming no dividends), therefore resulting in enhanced interest cover and leverage metrics. Adjusted leverage (including the intra-year GBP700 million working capital swing) should fall to below 4.0x by FYE16 from a forecasted 5.3x at FYE14. Rating Sensitivities Positive: Future developments that could, individually or collectively, lead to positive rating actions include: -- Improvement of the group's operating margin towards 4% resulting from a successful evolution of its business model as an omni-channel online tour operator and a leaner cost structure -- Lease adjusted FFO gross leverage (including GBP700 million for working capital changes) below 5.0x on a sustained basis -- Generating positive free cash flow (including restructuring and exceptional costs) on a sustained basis -- Lease-adjusted EBITDAR/gross interest plus rents above 2.5x (FYE13: 1.8x) on a sustained basis -- Liquidity headroom of at least GBP300 million (FYE13: GBP300 million) Negative Future developments that could, individually or collectively, lead to negative rating actions include: -- Lease-adjusted EBITDAR/gross interest plus rents below 1.5x on a sustained basis -- Group operating margin below 2.5% reflecting increased competitive headwinds or a larger- than-expected impact from a slowdown in consumer confidence -- Lease adjusted FFO gross leverage (including GBP700 million for working capital changes) above 7.0x on a sustained basis -- Liquidity headroom below GBP200 million =============== X X X X X X X X =============== * BOND PRICING: For the Week July 7 to July 11, 2014 ---------------------------------------------------- Issuer Coupon Maturity Currency Price ------ ------ -------- -------- ----- AUSTRIA ------- IMMOFINANZ AG 4.25 3/8/2018 EUR 4.70 Alpine Holding Gmb 6.00 5/22/2017 EUR 0.25 Alpine Holding Gmb 5.25 7/1/2015 EUR 0.25 Alpine Holding Gmb 5.25 6/10/2016 EUR 0.25 A-TEC Industries A 8.75 10/27/2014 EUR 1.63 A-TEC Industries A 2.75 5/10/2014 EUR 2.00 A-TEC Industries A 5.75 11/2/2010 EUR 1.88 Hypo Alpe-Adria-Ba 0.79 11/29/2032 EUR 70.93 Hypo Alpe-Adria-Ba 0.68 12/18/2030 EUR 72.49 Investkredit Bank 4.63 4/12/2022 EUR 74.70 KA Finanz AG 4.90 6/23/2031 EUR 67.75 KA Finanz AG 4.44 12/20/2030 EUR 65.13 Oberoesterreichisc 0.63 11/6/2030 EUR 72.60 Oberoesterreichisc 0.52 4/25/2042 EUR 65.26 Oesterreichische V 1.06 7/29/2018 EUR 25.00 Oesterreichische V 5.27 2/8/2027 EUR 63.00 Raiffeisen Centrob 14.40 3/6/2014 EUR 73.77 UniCredit Bank Aus 0.75 8/20/2033 EUR 73.41 UniCredit Bank Aus 0.70 12/27/2031 EUR 71.81 UniCredit Bank Aus 0.57 1/25/2031 EUR 73.50 UniCredit Bank Aus 0.61 1/24/2031 EUR 73.64 UniCredit Bank Aus 0.72 1/22/2031 EUR 73.74 BELGIUM ------- Econocom Group 4.00 6/1/2016 EUR 27.70 Ideal Standard Int 11.75 5/1/2018 EUR 72.33 Ideal Standard Int 11.75 5/1/2018 EUR 73.13 BULGARIA -------- Petrol AD 8.38 1/26/2017 EUR 57.66 Aralco Finance SA 10.13 5/7/2020 USD 75.05 Aralco Finance SA 10.13 5/7/2020 USD 74.63 OGX Austria GmbH 8.50 6/1/2018 USD 12.03 OGX Austria GmbH 8.38 4/1/2022 USD 12.03 OGX Austria GmbH 8.50 6/1/2018 USD 11.88 OGX Austria GmbH 8.38 4/1/2022 USD 11.88 Clariden Leu Ltd/N 5.25 8/6/2014 CHF 65.59 Clariden Leu Ltd/N 4.50 8/13/2014 CHF 62.47 Credit Suisse/Nass 7.25 4/4/2014 USD 64.87 Clariden Leu Ltd/N 4.52 9/10/2014 CHF 65.99 CYPRUS ------ Cyprus Government 4.63 2/3/2020 EUR 73.86 Cyprus Government 6.00 7/1/2023 EUR 73.75 Cyprus Government 4.75 7/1/2020 EUR 73.13 Cyprus Government 5.25 7/1/2022 EUR 71.00 Cyprus Government 5.00 7/1/2021 EUR 71.75 CZECH REPUBLIC -------------- Sazka AS 9.00 7/12/2021 EUR 10.13 DENMARK ------- Kommunekredit 0.50 7/30/2027 TRY 26.38 Kommunekredit 0.50 9/19/2019 BRL 53.55 Kommunekredit 0.50 2/20/2020 BRL 51.34 Kommunekredit 0.50 5/11/2029 CAD 50.52 Kommunekredit 0.50 10/22/2019 BRL 53.10 Kommunekredit 0.50 12/14/2020 ZAR 60.44 FINLAND ------- Municipality Finan 0.50 10/27/2016 BRL 73.96 Municipality Finan 0.50 11/30/2016 BRL 73.14 Municipality Finan 0.50 11/16/2017 TRY 71.26 Municipality Finan 0.50 6/19/2024 ZAR 37.00 Municipality Finan 0.50 2/17/2017 BRL 71.34 Municipality Finan 0.50 4/27/2018 ZAR 70.77 Municipality Finan 0.50 5/31/2022 ZAR 45.84 Municipality Finan 0.50 11/17/2016 BRL 73.90 Municipality Finan 0.50 11/10/2021 NZD 67.05 Municipality Finan 0.50 11/21/2018 ZAR 67.19 Municipality Finan 0.50 4/26/2022 ZAR 46.35 Municipality Finan 0.50 12/20/2018 ZAR 66.70 Municipality Finan 0.50 3/28/2018 BRL 62.02 Municipality Finan 0.50 12/14/2018 TRY 64.02 Municipality Finan 0.50 2/7/2018 BRL 68.42 Municipality Finan 0.50 3/16/2017 BRL 71.42 Municipality Finan 0.50 2/22/2019 IDR 65.22 Municipality Finan 0.50 11/21/2018 TRY 64.13 Municipality Finan 0.50 1/10/2018 BRL 64.01 Municipality Finan 0.50 6/22/2017 IDR 74.39 Municipality Finan 0.50 1/23/2018 BRL 64.50 Municipality Finan 0.25 6/28/2040 CAD 23.91 Municipality Finan 0.50 12/21/2021 NZD 66.64 Municipality Finan 0.50 11/25/2020 ZAR 54.11 Municipality Finan 0.50 3/17/2025 CAD 61.50 Talvivaara Mining 4.00 12/16/2015 EUR 17.99 FRANCE ------ Air France-KLM 4.97 4/1/2015 EUR 12.75 Air France-KLM 2.03 2/15/2023 EUR 10.59 Alcatel-Lucent/Fra 4.25 7/1/2018 EUR 3.12 Alcatel-Lucent/Fra 5.00 1/1/2015 EUR 3.36 Assystem 4.00 1/1/2017 EUR 24.27 AtoS 2.50 1/1/2016 EUR 61.09 AtoS 1.50 7/1/2016 EUR 60.87 BNP Paribas SA 0.50 1/31/2018 RUB 73.33 BNP Paribas SA 0.50 11/16/2032 MXN 39.68 BNP Paribas SA 0.50 5/6/2021 MXN 71.71 Caisse Centrale du 7.00 5/16/2014 EUR 53.03 Caisse Centrale du 7.00 5/18/2015 EUR 9.08 Caisse Centrale du 7.00 9/10/2015 EUR 15.35 Cap Gemini SA 3.50 1/1/2014 EUR 48.05 CGG SA 1.75 1/1/2016 EUR 28.39 CGG SA 1.25 1/1/2019 EUR 31.31 Club Mediterranee 6.11 11/1/2015 EUR 19.71 Credit Agricole Co 0.50 2/28/2018 RUB 73.06 Credit Agricole Co 0.50 3/6/2023 RUB 48.05 Dexia Credit Local 0.88 7/10/2017 EUR 74.75 Dexia Credit Local 4.38 2/12/2019 EUR 71.75 Etablissements Mau 7.13 7/31/2014 EUR 16.90 Etablissements Mau 7.13 7/31/2015 EUR 15.67 Faurecia 4.50 1/1/2015 EUR 24.46 Faurecia 3.25 1/1/2018 EUR 27.55 GFI Informatique S 5.25 1/1/2017 EUR 5.30 Ingenico 2.75 1/1/2017 EUR 57.77 Le Noble Age 4.88 1/3/2016 EUR 19.50 Nexans SA 2.50 1/1/2019 EUR 72.92 Nexans SA 4.00 1/1/2016 EUR 58.43 Novasep Holding SA 9.75 12/15/2016 USD 49.50 Novasep Holding SA 9.75 12/15/2016 USD 49.50 OL Groupe 7.00 12/28/2015 EUR 6.53 Orpea 1.75 1/1/2020 EUR 48.99 Orpea 3.88 1/1/2016 EUR 51.28 Peugeot SA 4.45 1/1/2016 EUR 26.65 Publicis Groupe SA 1.00 1/18/2018 EUR 60.32 SG Option Europe S 8.00 9/29/2015 USD 62.49 SG Option Europe S 7.00 5/5/2017 EUR 52.35 SG Option Europe S 7.00 9/22/2017 EUR 68.73 SG Option Europe S 8.00 12/18/2014 USD 40.49 SG Option Europe S 7.50 12/24/2014 EUR 38.00 SG Option Europe S 7.25 8/5/2014 EUR 62.59 Societe Air France 2.75 4/1/2020 EUR 21.03 Societe Generale S 0.50 6/12/2023 RUB 45.95 Societe Generale S 0.50 4/3/2023 RUB 46.79 Societe Generale S 0.50 11/29/2022 AUD 63.45 Societe Generale S 0.50 7/11/2022 USD 71.63 Societe Generale S 0.50 4/27/2022 USD 72.50 Societe Generale S 0.50 12/21/2022 AUD 63.21 Societe Generale S 0.50 4/30/2023 RUB 46.47 Societe Generale S 0.50 7/11/2022 AUD 64.99 Societe Generale S 0.50 12/6/2021 AUD 67.38 Societe Generale S 0.50 4/27/2022 AUD 65.81 Societe Generale S 0.50 9/7/2021 AUD 69.04 SOITEC 6.75 9/18/2018 EUR 2.50 SOITEC 6.25 9/9/2014 EUR 8.61 Tem SAS 4.25 1/1/2015 EUR 55.58 Zlomrex Internatio 8.50 2/1/2014 EUR 62.00 Zlomrex Internatio 8.50 2/1/2014 EUR 62.00 GEORGIA ------- Bank J Safra Saras 13.60 2/17/2014 CHF 71.13 Bank Julius Baer & 6.20 4/15/2014 CHF 63.95 Bank Julius Baer & 9.00 12/13/2013 USD 67.65 Bank Julius Baer & 14.00 5/23/2014 USD 55.80 Bank Julius Baer & 8.50 12/13/2013 USD 56.05 Bank Julius Baer & 9.50 12/13/2013 USD 61.50 Bank Julius Baer & 12.60 12/13/2013 USD 52.65 Bank Julius Baer & 7.25 4/10/2014 USD 64.50 Bank Julius Baer & 9.00 1/29/2014 CHF 71.40 Bank Julius Baer & 6.10 4/17/2014 CHF 65.15 Bank Julius Baer & 6.20 4/17/2014 EUR 65.45 Bank Julius Baer & 5.00 12/23/2013 CHF 67.05 Bank Julius Baer & 10.20 11/29/2013 USD 52.45 Bank Julius Baer & 11.50 3/18/2014 USD 61.85 Bank Julius Baer & 6.80 4/11/2014 USD 70.15 Bank Julius Baer & 6.50 4/11/2014 USD 71.25 Bank Julius Baer & 9.00 4/11/2014 USD 71.05 Bank Julius Baer & 7.80 2/14/2014 USD 70.35 Bank Julius Baer & 7.50 2/14/2014 CHF 69.75 Bank Julius Baer & 10.00 4/4/2014 USD 62.75 Bank Julius Baer & 6.90 3/21/2014 USD 70.45 Banque Cantonale V 4.90 9/9/2014 CHF 73.73 EFG International 6.00 11/30/2017 EUR 39.45 EFG International 13.40 11/14/2013 CHF 58.64 EFG International 6.82 6/4/2014 CHF 70.01 EFG International 12.86 10/30/2017 EUR 35.40 EFG International 12.10 3/10/2014 USD 50.04 EFG International 4.50 2/20/2014 USD 58.50 EFG International 5.85 10/14/2014 CHF 72.75 EFG International 10.00 12/17/2013 USD 66.27 Leonteq Securities 11.90 1/15/2014 EUR 50.01 Leonteq Securities 17.00 11/21/2013 CAD 40.23 Leonteq Securities 9.25 11/5/2013 USD 36.80 Leonteq Securities 12.65 12/10/2013 EUR 50.06 Leonteq Securities 7.80 8/26/2014 CHF 55.40 Leonteq Securities 15.00 2/13/2014 CHF 55.94 Leonteq Securities 12.00 11/15/2013 CHF 54.70 Leonteq Securities 17.05 2/14/2014 CHF 42.69 Leonteq Securities 10.03 10/25/2013 CHF 48.39 Leonteq Securities 5.06 5/26/2014 CHF 74.49 Leonteq Securities 18.00 12/6/2013 CHF 58.34 Leonteq Securities 8.40 11/27/2013 CHF 69.11 Leonteq Securities 8.80 12/6/2013 EUR 66.34 Leonteq Securities 20.00 12/12/2013 CHF 59.36 Leonteq Securities 12.80 12/12/2013 CHF 56.01 Leonteq Securities 8.00 12/12/2013 CHF 67.47 Leonteq Securities 8.10 12/13/2013 CHF 56.63 Leonteq Securities 9.20 11/15/2013 CHF 72.96 Leonteq Securities 7.21 11/14/2013 CHF 72.00 Leonteq Securities 10.00 11/21/2013 CHF 48.23 Leonteq Securities 13.60 12/6/2013 CHF 53.15 Leonteq Securities 8.75 6/6/2014 GBP 71.26 Leonteq Securities 8.00 12/6/2013 USD 65.15 Leonteq Securities 12.89 12/10/2013 GBP 52.10 Leonteq Securities 10.20 11/14/2013 CHF 56.32 Leonteq Securities 8.01 11/15/2013 CHF 44.99 Leonteq Securities 21.75 5/22/2014 USD 45.78 Leonteq Securities 20.00 5/27/2014 CHF 71.16 Leonteq Securities 12.00 2/24/2014 CHF 69.73 Leonteq Securities 9.46 6/3/2014 AUD 61.68 Leonteq Securities 24.40 2/25/2014 USD 44.15 Leonteq Securities 22.75 2/4/2014 USD 68.91 Leonteq Securities 15.60 2/6/2014 CHF 55.74 Leonteq Securities 12.25 1/30/2014 CHF 49.87 Leonteq Securities 20.52 3/25/2014 USD 50.23 Leonteq Securities 10.00 1/17/2014 CHF 54.64 Leonteq Securities 21.50 3/21/2014 USD 57.05 Leonteq Securities 8.90 3/28/2014 EUR 63.16 Leonteq Securities 14.25 2/13/2015 USD 62.34 Leonteq Securities 11.50 2/11/2014 USD 70.57 Leonteq Securities 20.50 2/13/2014 CHF 65.24 Leonteq Securities 5.80 8/20/2014 USD 70.34 Leonteq Securities 13.25 2/14/2014 USD 60.87 Leonteq Securities 10.00 7/29/2014 USD 58.84 Leonteq Securities 29.61 10/26/2017 EUR 39.70 Leonteq Securities 9.00 10/31/2013 CHF 43.77 Leonteq Securities 12.00 3/5/2014 CHF 60.81 Leonteq Securities 8.50 12/24/2013 USD 54.18 Leonteq Securities 14.06 12/18/2013 USD 52.76 Leonteq Securities 5.76 12/20/2013 GBP 67.92 Leonteq Securities 10.00 1/23/2014 CHF 54.82 Leonteq Securities 8.00 6/19/2014 CHF 73.01 Leonteq Securities 6.80 12/19/2014 USD 71.84 Leonteq Securities 14.05 12/27/2013 CHF 55.88 Leonteq Securities 6.00 5/20/2014 CHF 66.65 Leonteq Securities 10.00 11/27/2013 CHF 74.15 Leonteq Securities 20.00 11/27/2013 CHF 57.98 Leonteq Securities 11.95 11/29/2013 EUR 54.01 Leonteq Securities 8.35 1/3/2014 AUD 70.38 Leonteq Securities 9.20 12/27/2013 CHF 70.21 Leonteq Securities 9.60 1/8/2014 USD 47.95 Leonteq Securities 8.40 1/15/2014 CHF 74.30 Leonteq Securities 14.00 9/22/2014 CHF 66.90 Leonteq Securities 10.80 1/15/2014 CHF 54.68 Leonteq Securities 5.50 1/25/2016 EUR 64.28 Leonteq Securities 12.00 12/6/2013 GBP 52.45 Leonteq Securities 20.14 4/9/2014 USD 55.40 Leonteq Securities 5.50 8/19/2014 USD 72.76 Leonteq Securities 20.07 2/19/2014 USD 41.82 Leonteq Securities 10.00 2/6/2014 USD 57.48 Leonteq Securities 23.90 1/24/2014 USD 43.75 Leonteq Securities 10.00 11/5/2013 USD 71.34 Leonteq Securities 25.70 1/24/2014 USD 50.45 Mare Baltic PCC Lt 2.00 11/1/2015 DKK 0.00 Zurcher Kantonalba 12.35 11/13/2013 CHF 56.78 Zurcher Kantonalba 8.22 11/15/2013 CHF 56.56 Zurcher Kantonalba 6.05 12/19/2013 EUR 65.62 Zurcher Kantonalba 9.00 12/31/2013 CHF 58.57 Zurcher Kantonalba 10.40 12/5/2013 EUR 60.48 Zurcher Kantonalba 10.65 12/6/2013 CHF 57.99 GERMANY ------- ATU Auto-Teile-Ung 7.47 10/1/2014 EUR 18.67 BDT Media Automati 8.13 10/9/2017 EUR 65.75 BNP Paribas Emissi 6.00 11/21/2013 EUR 72.21 BNP Paribas Emissi 5.00 11/21/2013 EUR 58.40 BNP Paribas Emissi 7.00 12/30/2013 EUR 60.64 BNP Paribas Emissi 5.50 11/21/2013 EUR 60.09 BNP Paribas Emissi 5.00 11/21/2013 EUR 60.05 BNP Paribas Emissi 6.50 12/30/2013 EUR 59.53 BNP Paribas Emissi 5.50 11/21/2013 EUR 68.77 BNP Paribas Emissi 4.50 11/21/2013 EUR 72.24 BNP Paribas Emissi 6.00 11/21/2013 EUR 74.37 Bremer Landesbank 0.69 3/21/2031 EUR 67.09 Bremer Landesbank 0.72 4/5/2041 EUR 54.49 Centrosolar Group 7.00 2/15/2016 EUR 13.75 Commerzbank AG 8.40 12/30/2013 EUR 2.56 Commerzbank AG 5.05 12/24/2013 EUR 67.54 DekaBank Deutsche 2.21 9/22/2021 EUR 13.92 Deutsche Bank AG 7.00 10/31/2013 EUR 56.20 Deutsche Bank AG 5.00 11/29/2013 EUR 65.00 Deutsche Bank AG 5.00 10/31/2013 EUR 64.80 Deutsche Bank AG 6.00 10/31/2013 EUR 61.70 Deutsche Bank AG 6.00 11/29/2013 EUR 62.00 Deutsche Bank AG 7.00 11/29/2013 EUR 56.60 Deutsche Bank AG 8.20 6/24/2014 EUR 61.80 Deutsche Bank AG 6.20 6/24/2014 EUR 66.00 Deutsche Bank AG 7.20 6/24/2014 EUR 62.90 Deutsche Bank AG 6.20 3/25/2014 EUR 66.40 Deutsche Bank AG 8.20 3/25/2014 EUR 61.50 Deutsche Bank AG 7.20 3/25/2014 EUR 62.90 Deutsche Bank AG 5.00 8/20/2014 EUR 69.00 Deutsche Bank AG 5.00 8/20/2014 EUR 65.10 Deutsche Bank AG 5.00 8/20/2014 EUR 61.50 Deutsche Bank AG 5.00 8/20/2014 EUR 56.80 Deutsche Bank AG 6.00 8/20/2014 EUR 69.80 Deutsche Bank AG 6.00 8/20/2014 EUR 65.90 Deutsche Bank AG 6.00 8/20/2014 EUR 62.30 Deutsche Bank AG 6.00 8/20/2014 EUR 57.70 Deutsche Bank AG 7.00 8/20/2014 EUR 70.70 Deutsche Bank AG 7.00 8/20/2014 EUR 66.70 Deutsche Bank AG 7.00 8/20/2014 EUR 63.20 Deutsche Bank AG 7.00 8/20/2014 EUR 58.50 Deutsche Bank AG 6.00 6/25/2014 EUR 66.70 Deutsche Bank AG 5.00 6/25/2014 EUR 59.24 Deutsche Bank AG 7.50 6/24/2014 EUR 55.20 Deutsche Bank AG 8.50 6/24/2014 EUR 55.90 Deutsche Bank AG 9.50 6/24/2014 EUR 56.60 Deutsche Bank AG 5.50 6/24/2014 EUR 52.50 Deutsche Bank AG 6.50 6/24/2014 EUR 53.20 Deutsche Bank AG 7.50 6/24/2014 EUR 53.90 Deutsche Bank AG 8.50 6/24/2014 EUR 54.50 Deutsche Bank AG 9.50 6/24/2014 EUR 55.20 Deutsche Bank AG 5.50 6/24/2014 EUR 51.20 Deutsche Bank AG 6.50 6/24/2014 EUR 51.90 Deutsche Bank AG 7.50 6/24/2014 EUR 52.60 Deutsche Bank AG 8.50 6/24/2014 EUR 53.30 Deutsche Bank AG 9.50 6/24/2014 EUR 53.90 Deutsche Bank AG 5.50 6/24/2014 EUR 60.00 Deutsche Bank AG 6.50 6/24/2014 EUR 60.70 Deutsche Bank AG 7.50 6/24/2014 EUR 61.30 Deutsche Bank AG 8.50 6/24/2014 EUR 62.00 Deutsche Bank AG 9.50 6/24/2014 EUR 62.70 Deutsche Bank AG 5.50 6/24/2014 EUR 58.30 Deutsche Bank AG 6.50 6/24/2014 EUR 59.00 Deutsche Bank AG 7.50 6/24/2014 EUR 59.70 Deutsche Bank AG 8.50 6/24/2014 EUR 60.40 Deutsche Bank AG 9.50 6/24/2014 EUR 61.00 Deutsche Bank AG 6.50 6/24/2014 EUR 57.40 Deutsche Bank AG 7.50 6/24/2014 EUR 58.10 Deutsche Bank AG 8.50 6/24/2014 EUR 58.80 Deutsche Bank AG 9.50 6/24/2014 EUR 59.50 Deutsche Bank AG 6.50 6/24/2014 EUR 55.90 Deutsche Bank AG 7.50 6/24/2014 EUR 56.60 Deutsche Bank AG 8.50 6/24/2014 EUR 57.30 Deutsche Bank AG 9.50 6/24/2014 EUR 58.00 Deutsche Bank AG 5.50 6/24/2014 EUR 53.80 Deutsche Bank AG 6.50 6/24/2014 EUR 54.50 Deutsche Bank AG 6.00 4/24/2014 EUR 68.90 Deutsche Bank AG 7.00 4/24/2014 EUR 65.30 Deutsche Bank AG 8.00 4/24/2014 EUR 62.10 Deutsche Bank AG 8.00 7/22/2014 EUR 72.10 Deutsche Bank AG 9.50 3/25/2014 EUR 62.10 Deutsche Bank AG 5.50 3/25/2014 EUR 58.60 Deutsche Bank AG 6.50 3/25/2014 EUR 59.10 Deutsche Bank AG 7.50 3/25/2014 EUR 59.50 Deutsche Bank AG 9.50 3/25/2014 EUR 60.40 Deutsche Bank AG 8.50 3/25/2014 EUR 58.30 Deutsche Bank AG 6.50 3/25/2014 EUR 55.90 Deutsche Bank AG 7.50 3/25/2014 EUR 56.30 Deutsche Bank AG 8.50 3/25/2014 EUR 56.80 Deutsche Bank AG 9.50 3/25/2014 EUR 57.20 Deutsche Bank AG 5.50 3/25/2014 EUR 54.00 Deutsche Bank AG 8.50 3/25/2014 EUR 55.30 Deutsche Bank AG 9.50 3/25/2014 EUR 55.70 Deutsche Bank AG 8.50 3/25/2014 EUR 53.90 Deutsche Bank AG 6.50 3/25/2014 EUR 51.70 Deutsche Bank AG 9.50 3/25/2014 EUR 53.00 Deutsche Bank AG 7.50 9/23/2014 EUR 74.80 Deutsche Bank AG 8.50 9/23/2014 EUR 73.60 Deutsche Bank AG 8.00 12/20/2013 EUR 54.70 Deutsche Bank AG 9.50 12/20/2013 EUR 63.80 Deutsche Bank AG 11.00 12/20/2013 EUR 64.10 Deutsche Bank AG 7.50 3/25/2014 EUR 61.20 Deutsche Bank AG 6.50 3/25/2014 EUR 57.40 Deutsche Bank AG 6.50 3/25/2014 EUR 54.40 Deutsche Bank AG 7.50 3/25/2014 EUR 54.90 Deutsche Bank AG 5.50 3/25/2014 EUR 52.60 Deutsche Bank AG 6.50 3/25/2014 EUR 53.00 Deutsche Bank AG 7.50 3/25/2014 EUR 53.50 Deutsche Bank AG 5.50 3/25/2014 EUR 51.30 Deutsche Bank AG 8.50 3/25/2014 EUR 52.60 Deutsche Bank AG 8.00 12/20/2013 EUR 63.60 Deutsche Bank AG 8.00 12/20/2013 EUR 59.70 Deutsche Bank AG 9.50 12/20/2013 EUR 60.00 Deutsche Bank AG 9.50 12/20/2013 EUR 55.00 Deutsche Bank AG 11.00 12/20/2013 EUR 60.20 Deutsche Bank AG 6.00 3/25/2014 EUR 66.40 Deutsche Bank AG 8.00 3/25/2014 EUR 61.40 Deutsche Bank AG 7.00 3/25/2014 EUR 62.80 Deutsche Bank AG 11.00 12/20/2013 EUR 55.20 Deutsche Bank AG 6.00 10/31/2013 EUR 62.70 Deutsche Bank AG 8.00 10/31/2013 EUR 53.80 Deutsche Bank AG 6.00 11/29/2013 EUR 63.00 Deutsche Bank AG 8.00 10/31/2013 EUR 72.80 Deutsche Bank AG 7.00 2/28/2014 EUR 60.60 Deutsche Bank AG 5.00 12/20/2013 EUR 63.10 Deutsche Bank AG 7.00 12/20/2013 EUR 56.10 Deutsche Bank AG 7.50 11/29/2013 EUR 55.80 Deutsche Bank AG 5.00 11/29/2013 EUR 67.30 Deutsche Bank AG 7.00 11/29/2013 EUR 59.20 Deutsche Bank AG 8.00 11/29/2013 EUR 54.30 Deutsche Bank AG 6.00 2/28/2014 EUR 64.00 Deutsche Bank AG 8.00 2/28/2014 EUR 56.00 Deutsche Bank AG 6.00 12/20/2013 EUR 59.40 Deutsche Bank AG 6.50 11/29/2013 EUR 59.20 Deutsche Bank AG 8.50 10/31/2013 EUR 58.90 Deutsche Bank AG 7.50 10/31/2013 EUR 62.70 Deutsche Bank AG 7.50 11/29/2013 EUR 63.20 Deutsche 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3/1/2015 EUR 11.13 GREECE ------ Yioula Glassworks 9.00 12/1/2015 EUR 74.00 Yioula Glassworks 9.00 12/1/2015 EUR 74.00 ICELAND ------- Kaupthing Bank Hf 7.13 5/19/2016 USD 0.13 Kaupthing Bank Hf 5.75 10/4/2011 USD 22.88 Kaupthing Bank Hf 5.75 10/4/2011 USD 22.88 Kaupthing Bank Hf 7.63 2/28/2015 USD 22.88 Kaupthing Bank Hf 6.50 2/3/2045 EUR 0.13 Kaupthing Bank Hf 3.00 2/12/2010 CHF 22.88 Kaupthing Bank Hf 4.70 2/15/2010 CAD 22.88 Kaupthing Bank Hf 6.13 10/4/2016 USD 22.88 Kaupthing Bank Hf 4.65 2/19/2013 EUR 22.88 Kaupthing Bank Hf 6.13 10/4/2016 USD 22.88 Kaupthing Bank Hf 7.50 2/1/2045 USD 0.13 Kaupthing Bank Hf 1.99 7/5/2012 JPY 22.88 Kaupthing Bank Hf 9.75 9/10/2015 USD 22.88 Kaupthing Bank Hf 7.13 5/19/2016 USD 0.13 Kaupthing Bank Hf 5.50 2/2/2009 USD 22.88 Kaupthing Bank Hf 1.80 10/20/2009 JPY 22.88 Kaupthing Bank Hf 5.80 9/7/2012 EUR 22.88 Kaupthing Bank Hf 7.63 2/28/2015 USD 22.88 Kaupthing Bank Hf 0.80 2/15/2011 EUR 22.88 Kaupthing Bank Hf 7.50 12/5/2014 ISK 22.88 Kaupthing Bank Hf 3.75 2/15/2024 ISK 22.88 Kaupthing Bank Hf 7.00 4/28/2012 ISK 0.13 Kaupthing Bank Hf 5.25 7/18/2017 BGN 22.88 Kaupthing Bank Hf 1.65 7/5/2010 JPY 22.88 Kaupthing Bank Hf 7.90 2/1/2016 EUR 22.88 Kaupthing Bank Hf 4.95 5/6/2009 EUR 22.88 Kaupthing Bank Hf 8.00 6/22/2011 ISK 0.13 Kaupthing Bank Hf 7.70 10/2/2011 EUR 22.88 Kaupthing Bank Hf 4.50 1/17/2011 EUR 22.88 Kaupthing Bank Hf 0.69 5/21/2011 JPY 22.88 Kaupthing Bank Hf 7.00 7/24/2009 ISK 22.88 Kaupthing Bank Hf 0.20 7/12/2009 JPY 22.88 Kaupthing Bank Hf 5.00 11/8/2013 EUR 22.88 Kaupthing Bank Hf 7.50 4/2/2011 EUR 22.88 Kaupthing Bank Hf 7.50 10/2/2010 EUR 22.88 Kaupthing Bank Hf 7.00 1/3/2011 EUR 22.88 Kaupthing Bank Hf 4.53 4/24/2012 EUR 22.88 Kaupthing Bank Hf 4.47 10/27/2010 EUR 22.88 Kaupthing Bank Hf 0.95 10/20/2010 JPY 22.88 Kaupthing Bank Hf 5.00 1/4/2027 SKK 22.88 Kaupthing Bank Hf 4.90 5/29/2017 EUR 22.88 Kaupthing Bank Hf 6.50 10/8/2010 ISK 22.88 Kaupthing Bank Hf 5.40 3/22/2014 ISK 0.13 Kaupthing Bank Hf 7.90 4/28/2016 EUR 22.88 Kaupthing Bank Hf 1.75 6/7/2016 EUR 22.88 Kaupthing Bank Hf 6.40 12/15/2015 EUR 22.88 LBI HF 6.10 8/25/2011 USD 8.00 LBI HF 3.20 5/10/2010 SKK 8.00 LBI HF 2.25 2/14/2011 CHF 8.00 LBI HF 6.10 8/25/2011 USD 8.00 LBI HF 3.00 12/7/2010 CHF 8.00 LBI HF 4.40 1/18/2010 CAD 8.00 LBI HF 4.38 10/20/2008 EUR 8.00 LBI HF 4.75 5/31/2013 EUR 8.00 LBI HF 4.53 4/24/2012 EUR 8.00 LBI HF 7.25 4/2/2011 EUR 8.00 LBI HF 8.65 5/1/2011 ISK 8.00 LBI HF 4.08 3/16/2015 EUR 8.00 LBI HF 6.75 8/18/2015 EUR 8.00 LBI HF 4.40 11/3/2009 CZK 8.00 LBI HF 6.00 6/6/2017 EUR 8.00 LBI HF 5.44 9/3/2018 EUR 0.13 LBI HF 4.28 11/19/2010 EUR 8.00 LBI HF 2.14 2/3/2020 JPY 8.00 LBI HF 4.32 1/31/2010 EUR 8.00 LBI HF 4.40 11/30/2035 EUR 0.13 LBI HF 5.25 6/5/2023 EUR 8.00 LBI HF 5.08 3/1/2013 ISK 8.00 LBI HF 7.00 4/2/2010 EUR 8.00 LBI HF 3.00 10/22/2015 EUR 8.00 LBI HF 1.68 12/22/2014 JPY 8.00 LBI HF 4.00 9/23/2015 EUR 8.00 LBI HF 3.45 12/18/2033 JPY 0.13 LBI HF 2.22 10/15/2019 JPY 8.00 LBI HF 4.34 3/1/2011 EUR 8.00 LBI HF 3.34 5/11/2012 EUR 8.00 LBI HF 7.75 2/22/2016 USD 8.00 LBI HF 2.75 3/16/2011 EUR 8.00 LBI HF 3.36 8/17/2012 EUR 8.00 LBI HF 7.20 4/27/2026 EUR 0.13 LBI HF 6.75 2/18/2015 EUR 8.00 LBI HF 3.11 11/10/2008 EUR 8.00 LBI HF 4.34 12/22/2025 EUR 8.00 IRELAND ------- Corsicanto Ltd 3.50 1/15/2032 USD 74.94 Depfa ACS Bank 4.90 8/24/2035 CAD 69.73 Depfa ACS Bank 0.50 3/3/2025 CAD 46.53 Kalvebod PLC 2.00 5/1/2106 DKK 40.00 ITALY ------- Banca delle Marche 1.18 6/1/2017 EUR 42.39 A2A SpA 3.20 8/10/2036 EUR 62.44 Banca delle Marche 5.50 9/16/2030 EUR 69.25 Banca di Cividale 0.34 10/2/2036 EUR 57.63 Banca Monte dei Pa 1.23 1/15/2018 EUR 74.60 Cassa Depositi e P 0.29 10/31/2029 EUR 61.70 Cirio Finanziaria 8.00 12/21/2005 EUR 0.63 City of Lecco Ital 0.46 6/30/2026 EUR 67.27 Comune di Andrano 3.92 12/31/2035 EUR 71.20 Comune di Fiumicin 0.49 12/31/2026 EUR 66.65 Comune di Grontard 4.10 12/31/2035 EUR 73.36 Comune di Marcheno 4.23 12/31/2036 EUR 74.59 Comune di Marscian 4.03 12/31/2035 EUR 72.47 Comune di Mercato 3.97 12/31/2035 EUR 71.83 Comune di Piadena 4.05 12/31/2035 EUR 72.74 Comune di San Ferd 0.53 12/27/2026 EUR 67.26 Comune di Santa Ma 0.60 5/31/2026 EUR 69.00 Comune di Seminara 0.72 10/31/2026 EUR 69.14 Comune di Verona 0.43 12/1/2026 EUR 64.53 Enel SpA 0.96 10/20/2032 EUR 63.62 Intesa Sanpaolo Sp 1.06 3/20/2023 EUR 74.70 Italy Government I 1.85 9/15/2057 EUR 65.06 Italy Government I 2.00 9/15/2062 EUR 67.03 Italy Government I 2.20 9/15/2058 EUR 72.77 Italy Government I 2.87 5/19/2036 JPY 69.43 Province of Bresci 0.73 12/22/2036 EUR 57.22 Province of Bresci 0.72 6/30/2036 EUR 57.58 Province of Chieti 0.65 12/29/2023 EUR 74.35 Province of Milan 0.59 12/22/2033 EUR 63.54 Province of Rovigo 0.59 12/28/2035 EUR 58.80 Province of Teramo 0.44 12/30/2030 EUR 60.80 Province of Teramo 0.47 12/30/2025 EUR 68.61 Province of Trevis 0.47 12/31/2034 EUR 58.04 Province of Trevis 0.57 12/31/2034 EUR 59.52 Province of Trevis 0.34 12/31/2034 EUR 56.82 Region of Abruzzo 0.68 11/7/2036 EUR 63.64 Region of Abruzzo 0.52 11/7/2031 EUR 61.27 Region of Abruzzo 4.45 3/1/2037 EUR 70.52 Region of Aosta Va 0.45 5/28/2021 EUR 73.65 Region of Molise I 0.72 12/15/2033 EUR 64.40 Region of Piemont 0.45 11/27/2036 EUR 55.47 Region of Puglia I 0.74 2/6/2023 EUR 69.69 Seat Pagine Gialle 10.50 1/31/2017 EUR 23.00 Seat Pagine Gialle 10.50 1/31/2017 EUR 22.13 Seat Pagine Gialle 10.50 1/31/2017 EUR 22.63 Seat Pagine Gialle 10.50 1/31/2017 EUR 22.75 Seat Pagine Gialle 10.50 1/31/2017 EUR 22.13 Seat Pagine Gialle 10.50 1/31/2017 EUR 22.63 LUXEMBOURG ---------- 3W Power SA 9.25 12/1/2015 EUR 55.75 ArcelorMittal 7.25 4/1/2014 EUR 20.83 Bank of New York M 4.48 12/30/2099 EUR 18.04 Bank of New York M 4.73 12/15/2050 EUR 52.00 Cerruti Finance SA 6.50 7/26/2004 EUR 3.00 Cirio Finance Luxe 7.50 11/3/2002 EUR 1.25 Cirio Holding Luxe 6.25 2/16/2004 EUR 0.13 Codere Finance Lux 8.25 6/15/2015 EUR 52.02 Codere Finance Lux 9.25 2/15/2019 USD 50.50 Codere Finance Lux 9.25 2/15/2019 USD 50.98 Codere Finance Lux 8.25 6/15/2015 EUR 50.75 Codere Finance Lux 8.25 6/15/2015 EUR 51.75 Codere Finance Lux 8.25 6/15/2015 EUR 50.75 Del Monte Finance 6.63 5/24/2006 EUR 13.63 ECM Real Estate In 5.00 10/9/2011 EUR 10.38 ECM Real Estate In 5.00 10/9/2011 EUR 10.38 Erste Europaeische 0.27 2/1/2037 USD 55.57 European Media Cap 10.00 2/1/2015 USD 75.00 European Media Cap 10.00 2/1/2015 USD 75.00 Finmek Internation 7.00 12/3/2004 EUR 0.13 Hellas Telecommuni 8.50 10/15/2013 EUR 0.13 Hellas Telecommuni 8.50 10/15/2013 EUR 0.13 Hypothekenbank Fra 0.25 12/20/2029 USD 67.37 International Indu 9.00 7/6/2011 EUR 1.00 International Indu 11.00 2/19/2013 USD 0.88 IT Holding Finance 9.88 11/15/2012 EUR 0.13 IT Holding Finance 9.88 11/15/2012 EUR 0.13 La Veggia Finance 7.13 11/14/2004 EUR 0.25 Teksid Aluminum Lu 11.38 7/15/2011 EUR 0.75 NETHERLANDS ----------- Astana Finance BV 7.88 6/8/2010 EUR 4.00 Astana Finance BV 9.00 11/16/2011 USD 3.50 Astana Finance BV 14.50 7/2/2013 USD 3.75 Bank Nederlandse G 0.50 5/10/2017 TRY 73.62 Bank Nederlandse G 0.50 7/12/2022 ZAR 52.90 Bank Nederlandse G 0.50 7/12/2017 TRY 72.46 Bank Nederlandse G 0.50 6/7/2022 ZAR 53.32 Bank Nederlandse G 0.50 6/12/2017 TRY 73.13 Bank Nederlandse G 0.50 8/9/2017 TRY 72.30 Bank Nederlandse G 0.50 6/22/2021 ZAR 57.64 Bank Nederlandse G 0.50 3/29/2021 NZD 70.64 Bank Nederlandse G 0.50 8/15/2022 ZAR 52.50 Bank Nederlandse G 0.50 8/9/2022 MXN 64.98 Bank Nederlandse G 0.50 3/3/2021 NZD 64.80 Bank Nederlandse G 0.50 2/24/2025 CAD 65.15 Bank Nederlandse G 0.50 5/12/2021 ZAR 58.17 Bank Nederlandse G 0.50 9/20/2022 ZAR 52.08 BLT Finance BV 7.50 5/15/2014 USD 9.01 BLT Finance BV 12.00 2/10/2015 USD 10.25 BLT Finance BV 7.50 5/15/2014 USD 9.63 Bulgaria Steel Fin 12.00 5/4/2013 EUR 0.38 Bulgaria Steel Fin 12.00 5/4/2013 EUR 0.38 Cirio Del Monte NV 7.75 3/14/2005 EUR 3.38 Cooperatieve Centr 0.50 11/26/2021 ZAR 48.95 Cooperatieve Centr 0.50 10/30/2043 MXN 23.60 Cooperatieve Centr 0.50 8/21/2028 MXN 46.15 Cooperatieve Centr 0.50 7/30/2043 MXN 23.80 Cooperatieve Centr 0.50 1/31/2033 MXN 36.68 Cooperatieve Centr 0.50 10/29/2027 MXN 48.35 Cooperatieve Centr 0.50 11/30/2027 MXN 48.11 Cooperatieve Centr 0.50 12/29/2027 MXN 47.89 Cooperatieve Centr 9.20 3/13/2014 USD 60.77 Cooperatieve Centr 8.60 3/13/2014 CHF 60.50 Cooperatieve Centr 8.15 3/5/2014 CHF 58.60 Cooperatieve Centr 9.20 3/13/2014 USD 60.43 JP Morgan Structur 6.00 2/7/2014 USD 69.19 JP Morgan Structur 5.00 12/3/2013 CHF 64.32 JP Morgan Structur 6.00 2/25/2014 EUR 73.83 JP Morgan Structur 12.30 11/29/2013 USD 48.32 KPNQwest NV 8.88 2/1/2008 EUR 0.25 KPNQwest NV 7.13 6/1/2009 EUR 0.25 KPNQwest NV 10.00 3/15/2012 EUR 0.25 KPNQwest NV 8.13 6/1/2009 USD 0.38 KPNQwest NV 7.13 6/1/2009 EUR 0.25 KPNQwest NV 8.88 2/1/2008 EUR 0.25 KPNQwest NV 8.88 2/1/2008 EUR 0.25 KPNQwest NV 7.13 6/1/2009 EUR 0.25 Lehman Brothers Tr 7.25 10/5/2035 EUR 9.75 Lehman Brothers Tr 6.00 11/2/2035 EUR 6.00 Lehman Brothers Tr 8.25 3/16/2035 EUR 14.00 Lehman Brothers Tr 6.00 2/15/2035 EUR 6.00 Lehman Brothers Tr 7.00 5/17/2035 EUR 10.38 Lehman Brothers Tr 2.88 3/14/2013 CHF 2.13 Lehman Brothers Tr 5.00 9/22/2014 EUR 6.00 Lehman Brothers Tr 5.00 2/16/2015 EUR 6.00 Lehman Brothers Tr 5.10 5/8/2017 HKD 2.50 Lehman Brothers Tr 7.00 11/26/2013 EUR 6.00 Lehman Brothers Tr 6.00 3/14/2011 EUR 6.00 Lehman Brothers Tr 5.00 2/27/2014 EUR 6.00 Lehman Brothers Tr 8.50 7/5/2016 EUR 6.00 Lehman Brothers Tr 4.00 2/16/2017 EUR 1.38 Lehman Brothers Tr 14.90 9/15/2008 EUR 1.38 Lehman Brothers Tr 4.50 5/2/2017 EUR 6.00 Lehman Brothers Tr 5.00 3/18/2015 EUR 6.00 Lehman Brothers Tr 3.03 1/31/2015 EUR 1.38 Lehman Brothers Tr 4.00 10/24/2012 EUR 6.00 Lehman Brothers Tr 1.00 5/9/2012 EUR 6.00 Lehman Brothers Tr 5.25 5/26/2026 EUR 6.00 Lehman Brothers Tr 8.25 12/3/2015 EUR 1.38 Lehman Brothers Tr 5.70 3/18/2015 USD 6.00 Lehman Brothers Tr 7.00 6/6/2017 EUR 6.00 Lehman Brothers Tr 11.00 12/20/2017 AUD 6.00 Lehman Brothers Tr 4.00 12/2/2012 EUR 6.00 Lehman Brothers Tr 6.00 10/30/2012 EUR 6.00 Lehman Brothers Tr 1.46 2/19/2012 JPY 2.50 Lehman Brothers Tr 3.00 6/23/2009 EUR 6.00 Lehman Brothers Tr 1.75 2/7/2010 EUR 1.38 Lehman Brothers Tr 4.00 2/28/2010 EUR 1.38 Lehman Brothers Tr 4.00 7/20/2012 EUR 6.00 Lehman Brothers Tr 10.00 6/17/2009 USD 1.38 Lehman Brothers Tr 7.00 10/22/2010 EUR 6.00 Lehman Brothers Tr 4.00 7/27/2011 EUR 6.00 Lehman Brothers Tr 4.05 9/16/2008 EUR 6.00 Lehman Brothers Tr 10.44 11/22/2008 CHF 1.38 Lehman Brothers Tr 5.00 8/16/2017 EUR 6.00 Lehman Brothers Tr 12.22 11/21/2017 USD 6.00 Lehman Brothers Tr 3.00 9/13/2010 JPY 2.50 Lehman Brothers Tr 4.10 6/10/2014 SGD 1.38 Lehman Brothers Tr 8.00 4/20/2009 EUR 6.00 Lehman Brothers Tr 3.86 9/21/2011 SGD 1.38 Lehman Brothers Tr 3.50 12/20/2027 USD 6.00 Lehman Brothers Tr 5.00 5/12/2011 CHF 6.00 Lehman Brothers Tr 5.00 8/1/2025 EUR 6.00 Lehman Brothers Tr 5.55 3/12/2015 EUR 1.38 Lehman Brothers Tr 7.05 4/8/2015 USD 6.00 Lehman Brothers Tr 4.70 3/23/2016 EUR 6.00 Lehman Brothers Tr 6.25 9/5/2011 EUR 6.00 Lehman Brothers Tr 23.30 9/16/2008 USD 1.38 Lehman Brothers Tr 8.00 10/17/2014 EUR 6.00 Lehman Brothers Tr 8.88 1/28/2011 HKD 2.50 Lehman Brothers Tr 5.25 11/21/2009 USD 6.00 Lehman Brothers Tr 4.10 2/19/2010 EUR 6.00 Lehman Brothers Tr 10.00 1/3/2012 BRL 6.00 Lehman Brothers Tr 13.50 6/2/2009 USD 1.38 Lehman Brothers Tr 6.00 8/7/2013 EUR 6.00 Lehman Brothers Tr 8.00 3/21/2018 USD 6.00 Lehman Brothers Tr 13.50 11/28/2008 USD 1.38 Lehman Brothers Tr 10.00 6/11/2038 JPY 6.00 Lehman Brothers Tr 3.50 9/19/2017 EUR 1.38 Lehman Brothers Tr 5.50 4/23/2014 EUR 6.00 Lehman Brothers Tr 5.50 6/22/2010 USD 6.00 Lehman Brothers Tr 8.00 2/16/2016 EUR 6.00 Lehman Brothers Tr 4.00 3/10/2011 EUR 6.00 Lehman Brothers Tr 4.00 4/13/2011 CHF 6.00 Lehman Brothers Tr 4.50 3/7/2015 EUR 6.00 Lehman Brothers Tr 7.60 1/31/2013 AUD 1.38 Lehman Brothers Tr 16.00 11/9/2008 USD 1.38 Lehman Brothers Tr 9.75 6/22/2018 USD 6.00 Lehman Brothers Tr 5.12 4/30/2027 EUR 1.38 Lehman Brothers Tr 7.50 5/2/2017 EUR 6.00 Lehman Brothers Tr 5.00 2/28/2032 EUR 6.00 Lehman Brothers Tr 4.60 7/6/2016 EUR 6.00 Lehman Brothers Tr 5.10 6/22/2046 EUR 1.38 Lehman Brothers Tr 6.65 8/24/2011 AUD 2.50 Lehman Brothers Tr 16.00 12/26/2008 USD 1.38 Lehman Brothers Tr 2.50 12/15/2011 GBP 1.38 Lehman Brothers Tr 4.68 12/12/2045 EUR 1.38 Lehman Brothers Tr 7.06 12/29/2008 EUR 6.00 Lehman Brothers Tr 4.05 9/16/2008 EUR 6.00 Lehman Brothers Tr 2.00 6/28/2011 EUR 6.00 Lehman Brothers Tr 5.70 3/4/2015 USD 6.00 Lehman Brothers Tr 4.69 2/19/2017 EUR 1.38 Lehman Brothers Tr 7.59 11/22/2009 MXN 2.50 Lehman Brothers Tr 1.28 11/6/2010 JPY 2.50 Lehman Brothers Tr 0.50 12/20/2017 AUD 6.00 Lehman Brothers Tr 0.50 12/20/2017 AUD 6.00 Lehman Brothers Tr 6.60 2/9/2009 EUR 6.00 Lehman Brothers Tr 0.50 6/2/2020 EUR 1.38 Lehman Brothers Tr 0.50 12/20/2017 AUD 6.00 Lehman Brothers Tr 5.38 2/4/2014 USD 6.00 Lehman Brothers Tr 6.30 12/21/2018 USD 6.00 Lehman Brothers Tr 7.00 2/15/2010 CHF 1.38 Lehman Brothers Tr 16.20 5/14/2009 USD 1.38 Lehman Brothers Tr 4.60 10/11/2017 ILS 2.38 Lehman Brothers Tr 15.00 3/30/2011 EUR 6.00 Lehman Brothers Tr 7.50 10/24/2008 USD 1.38 Lehman Brothers Tr 8.00 8/3/2009 USD 1.38 Lehman Brothers Tr 8.60 7/31/2013 GBP 6.00 Lehman Brothers Tr 0.50 12/20/2017 AUD 6.00 Lehman Brothers Tr 0.50 7/2/2020 EUR 1.38 Lehman Brothers Tr 5.25 7/8/2014 EUR 1.38 Lehman Brothers Tr 6.50 5/16/2015 EUR 6.00 Lehman Brothers Tr 14.90 11/16/2010 EUR 1.38 Lehman Brothers Tr 6.72 12/29/2008 EUR 6.00 Lehman Brothers Tr 0.50 12/20/2017 AUD 6.00 Lehman Brothers Tr 15.00 6/4/2009 CHF 1.38 Lehman Brothers Tr 18.25 10/2/2008 USD 1.38 Lehman Brothers Tr 3.50 10/31/2011 USD 6.00 Lehman Brothers Tr 2.80 3/19/2018 JPY 1.38 Lehman Brothers Tr 2.00 11/16/2009 EUR 6.00 Lehman Brothers Tr 7.25 10/6/2008 EUR 1.38 Lehman Brothers Tr 5.00 11/22/2012 EUR 6.00 Lehman Brothers Tr 9.25 6/20/2012 USD 6.00 Lehman Brothers Tr 7.60 5/21/2013 USD 6.00 Lehman Brothers Tr 13.00 2/16/2009 CHF 1.38 Lehman Brothers Tr 0.01 9/20/2011 USD 6.00 Lehman 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4.35 8/8/2016 SGD 2.50 Lehman Brothers Tr 8.50 7/6/2009 CHF 1.38 Lehman Brothers Tr 10.50 8/9/2010 EUR 1.38 Lehman Brothers Tr 7.00 7/11/2010 EUR 6.00 Lehman Brothers Tr 4.82 12/18/2036 EUR 1.38 Lehman Brothers Tr 4.20 12/3/2008 HKD 6.00 Lehman Brothers Tr 3.00 6/3/2010 EUR 6.00 Lehman Brothers Tr 12.40 6/12/2009 USD 1.38 Lehman Brothers Tr 11.00 7/4/2011 USD 1.38 Lehman Brothers Tr 12.00 7/4/2011 EUR 1.38 Lehman Brothers Tr 5.50 7/8/2013 EUR 6.00 Lehman Brothers Tr 9.30 12/21/2010 EUR 1.38 Lehman Brothers Tr 8.00 12/31/2010 USD 1.38 Lehman Brothers Tr 1.50 2/8/2012 CHF 6.00 Lehman Brothers Tr 0.50 12/20/2017 USD 6.00 Lehman Brothers Tr 0.50 12/20/2017 USD 6.00 Lehman Brothers Tr 0.50 12/20/2017 USD 6.00 Lehman Brothers Tr 0.50 12/20/2017 USD 6.00 Lehman Brothers Tr 11.00 2/16/2009 CHF 1.38 Lehman Brothers Tr 10.00 2/16/2009 CHF 1.38 Lehman Brothers Tr 8.00 3/19/2012 USD 6.00 Lehman Brothers Tr 9.50 4/1/2018 USD 6.00 Lehman Brothers Tr 7.15 3/21/2013 USD 6.00 Lehman Brothers Tr 6.25 11/30/2012 EUR 6.00 Lehman Brothers Tr 1.00 2/26/2010 USD 6.00 Lehman Brothers Tr 3.50 6/20/2011 EUR 6.00 Lehman Brothers Tr 7.50 2/14/2010 AUD 1.38 Lehman Brothers Tr 10.00 10/23/2008 USD 1.38 Lehman Brothers Tr 10.00 10/22/2008 USD 1.38 Lehman Brothers Tr 6.45 2/20/2010 AUD 1.38 Lehman Brothers Tr 10.00 5/22/2009 USD 1.38 Lehman Brothers Tr 4.60 8/1/2013 EUR 6.00 Lehman Brothers Tr 8.00 5/22/2009 USD 1.38 Lehman Brothers Tr 7.60 3/4/2010 NZD 1.38 Lehman Brothers Tr 3.63 3/2/2012 EUR 1.38 Lehman Brothers Tr 7.75 2/21/2016 EUR 6.00 Lehman Brothers Tr 8.80 12/27/2009 EUR 1.38 Lehman Brothers Tr 11.00 12/20/2017 AUD 6.00 Lehman Brothers Tr 0.75 3/29/2012 EUR 6.00 Lehman Brothers Tr 5.00 12/6/2011 EUR 1.38 Lehman Brothers Tr 11.00 12/20/2017 AUD 6.00 Lehman Brothers Tr 4.00 1/4/2011 USD 1.38 Lehman Brothers Tr 11.75 3/1/2010 EUR 1.38 Lehman Brothers Tr 3.82 10/20/2009 USD 1.38 Lehman Brothers Tr 3.00 8/13/2011 EUR 6.00 Lehman Brothers Tr 4.80 11/16/2012 HKD 1.38 Lehman Brothers Tr 4.00 10/12/2010 USD 1.38 Lehman Brothers Tr 8.00 10/23/2008 USD 1.38 Lehman Brothers Tr 6.00 9/20/2011 EUR 6.00 Lehman Brothers Tr 3.40 9/21/2009 HKD 1.38 Lehman Brothers Tr 2.30 4/28/2014 JPY 6.00 Lehman Brothers Tr 7.50 6/15/2017 USD 6.00 Lehman Brothers Tr 6.00 12/30/2017 EUR 6.00 Lehman Brothers Tr 4.10 5/20/2009 USD 1.38 Lehman Brothers Tr 2.00 5/17/2010 EUR 1.38 Lehman Brothers Tr 13.00 7/25/2012 EUR 1.38 Lehman Brothers Tr 10.00 8/2/2037 JPY 6.00 Lehman Brothers Tr 1.50 10/12/2010 EUR 6.00 Lehman Brothers Tr 4.10 8/23/2010 USD 1.38 Lehman Brothers Tr 4.60 11/9/2011 EUR 6.00 Lehman Brothers Tr 6.00 2/14/2012 EUR 1.38 Lehman Brothers Tr 7.00 2/15/2012 EUR 1.38 Lehman Brothers Tr 6.00 5/12/2017 EUR 6.00 Lehman Brothers Tr 6.60 2/22/2012 EUR 1.13 Lehman Brothers Tr 5.20 3/19/2018 EUR 1.38 Lehman Brothers Tr 1.95 11/4/2013 EUR 1.38 Lehman Brothers Tr 11.00 12/19/2011 USD 6.00 Lehman Brothers Tr 10.00 3/27/2009 USD 6.00 Lehman Brothers Tr 5.00 10/24/2008 CHF 1.38 Lehman Brothers Tr 7.00 4/14/2009 EUR 1.38 Lehman Brothers Tr 7.75 1/30/2009 EUR 1.38 Lehman Brothers Tr 0.25 7/21/2014 EUR 6.00 Lehman Brothers Tr 4.95 10/25/2036 EUR 6.00 Lehman Brothers Tr 11.00 6/29/2009 EUR 1.38 Lehman Brothers Tr 5.50 6/15/2009 CHF 1.38 Lehman Brothers Tr 1.50 10/25/2011 EUR 6.00 Lehman Brothers Tr 6.75 4/5/2012 EUR 6.00 Lehman Brothers Tr 5.00 4/24/2017 EUR 6.00 Lehman Brothers Tr 7.39 5/4/2017 USD 6.00 Lehman Brothers Tr 3.35 10/13/2016 EUR 6.00 Lehman Brothers Tr 0.80 12/30/2016 EUR 6.00 Lehman Brothers Tr 6.00 5/23/2018 CZK 6.00 Lehman Brothers Tr 4.00 5/30/2010 USD 1.38 Lehman Brothers Tr 4.00 5/17/2010 USD 6.00 Lehman Brothers Tr 2.48 5/12/2009 USD 6.00 Lehman Brothers Tr 2.25 5/12/2009 USD 6.00 Lehman Brothers Tr 2.30 6/27/2013 USD 1.38 Lehman Brothers Tr 3.50 10/24/2011 USD 6.00 Lehman Brothers Tr 0.25 10/19/2012 CHF 6.00 Lehman Brothers Tr 1.68 3/5/2015 EUR 6.00 Lehman Brothers Tr 9.00 5/15/2022 USD 6.00 Lehman Brothers Tr 7.50 7/31/2013 GBP 6.00 Lehman Brothers Tr 7.32 7/31/2013 GBP 6.00 Lehman Brothers Tr 7.50 9/13/2009 CHF 1.38 Lehman Brothers Tr 6.50 7/24/2026 EUR 6.00 Lehman Brothers Tr 4.50 8/2/2009 USD 1.38 Lehman Brothers Tr 0.50 2/16/2009 EUR 1.38 Lehman Brothers Tr 4.25 3/13/2021 EUR 1.38 Lehman Brothers Tr 6.00 3/17/2011 EUR 6.00 Lehman Brothers Tr 4.70 3/23/2016 EUR 6.00 Lehman Brothers Tr 6.00 12/6/2016 USD 6.00 Lehman Brothers Tr 5.00 9/1/2011 EUR 6.00 Lehman Brothers Tr 3.70 6/6/2009 EUR 6.00 Lehman Brothers Tr 4.50 3/6/2013 CHF 6.00 Lehman Brothers Tr 4.00 4/24/2009 USD 1.38 Lehman Brothers Tr 9.00 6/13/2009 USD 1.38 Lehman Brothers Tr 9.00 3/17/2009 GBP 1.38 Lehman Brothers Tr 7.00 11/28/2008 CHF 1.38 Lehman Brothers Tr 3.85 4/24/2009 USD 1.38 Lehman Brothers Tr 8.00 5/22/2009 USD 1.38 Lehman Brothers Tr 4.50 7/24/2014 EUR 6.00 Lehman Brothers Tr 4.50 12/30/2010 USD 1.38 Lehman Brothers Tr 7.75 1/3/2012 AUD 1.38 Lehman Brothers Tr 3.10 6/4/2010 USD 1.38 Lehman Brothers Tr 2.50 8/15/2012 CHF 6.00 Lehman Brothers Tr 13.15 10/30/2008 USD 1.38 Lehman Brothers Tr 0.50 8/1/2020 EUR 1.38 Lehman Brothers Tr 14.10 11/12/2008 USD 1.38 Lehman Brothers Tr 4.00 8/11/2010 USD 6.00 Lehman Brothers Tr 12.00 7/13/2037 JPY 6.00 Lehman Brothers Tr 6.00 7/28/2010 EUR 1.38 Lehman Brothers Tr 6.00 7/28/2010 EUR 1.38 Lehman Brothers Tr 7.50 8/1/2035 EUR 6.00 Lehman Brothers Tr 4.90 7/28/2020 EUR 6.00 Lehman Brothers Tr 4.15 8/25/2020 EUR 1.38 Lehman Brothers Tr 7.50 5/30/2010 AUD 1.38 Lehman Brothers Tr 11.00 5/9/2020 USD 6.00 Lehman Brothers Tr 4.30 6/4/2012 USD 1.38 Lehman Brothers Tr 4.00 6/5/2011 USD 1.38 Lehman Brothers Tr 2.30 6/6/2013 USD 1.38 Lehman Brothers Tr 6.00 6/21/2011 EUR 6.00 Lehman Brothers Tr 2.00 6/21/2011 EUR 6.00 Lehman Brothers Tr 10.00 1/4/2010 USD 6.00 Lehman Brothers Tr 17.00 6/2/2009 USD 1.38 Lehman Brothers Tr 16.80 8/21/2009 USD 1.38 Lehman Brothers Tr 5.22 3/1/2024 EUR 1.38 Lehman Brothers Tr 6.60 5/23/2012 AUD 1.38 Lehman Brothers Tr 3.45 5/23/2013 USD 6.00 Lehman Brothers Tr 16.00 10/28/2008 USD 1.38 Lehman Brothers Tr 5.00 2/15/2018 EUR 6.00 Lehman Brothers Tr 9.00 5/6/2011 CHF 1.38 Lehman Brothers Tr 2.75 10/28/2009 EUR 6.00 Lehman Brothers Tr 5.50 11/30/2012 CZK 6.00 Lehman Brothers Tr 2.50 11/9/2011 CHF 6.00 Lehman Brothers Tr 4.00 11/24/2016 EUR 6.00 Lehman Brothers Tr 6.00 10/30/2012 USD 1.38 Lehman Brothers Tr 3.00 9/12/2036 JPY 2.50 Lehman Brothers Tr 13.00 12/14/2012 USD 6.00 Lehman Brothers Tr 2.40 6/20/2011 JPY 6.00 Lehman Brothers Tr 1.60 6/21/2010 JPY 6.00 Lehman Brothers Tr 8.05 12/20/2010 HKD 1.38 Lehman Brothers Tr 7.25 6/20/2010 USD 6.00 Lehman Brothers Tr 7.00 9/20/2011 USD 6.00 Lehman Brothers Tr 6.70 4/21/2011 USD 6.00 Magyar Telecom BV 9.50 12/15/2016 EUR 45.04 Magyar Telecom BV 9.50 12/15/2016 EUR 44.63 Morgan Stanley BV 9.00 4/16/2015 EUR 71.90 Nederlandse Waters 0.50 3/11/2025 CAD 65.79 New World Resource 7.88 5/1/2018 EUR 68.24 New World Resource 7.88 1/15/2021 EUR 36.78 New World Resource 7.88 1/15/2021 EUR 36.25 New World Resource 7.88 5/1/2018 EUR 68.47 NIBC Bank NV 25.98 5/7/2029 EUR 50.62 Nutritek Internati 8.75 12/11/2008 USD 2.00 Q-Cells Internatio 1.38 4/30/2012 EUR 32.45 Q-Cells Internatio 5.75 5/26/2014 EUR 32.09 Sairgroup Finance 4.38 6/8/2006 EUR 10.50 Sairgroup Finance 6.63 10/6/2010 EUR 12.13 Sidetur Finance BV 10.00 4/20/2016 USD 55.25 Sidetur Finance BV 10.00 4/20/2016 USD 55.00 SNS Bank NV 6.25 10/26/2020 EUR 2.13 SNS Bank NV 6.63 5/14/2018 EUR 4.13 WPE International 10.38 9/30/2020 USD 59.90 WPE International 10.38 9/30/2020 USD 59.38 NORWAY ------ Eksportfinans ASA 0.25 7/14/2033 CAD 8.50 Eksportfinans ASA 0.50 5/9/2030 CAD 14.25 Kommunalbanken AS 0.50 3/7/2017 BRL 69.77 Kommunalbanken AS 0.50 5/10/2017 BRL 68.32 Kommunalbanken AS 0.50 8/29/2017 BRL 66.85 Kommunalbanken AS 0.50 5/25/2018 ZAR 70.89 Kommunalbanken AS 0.50 9/26/2017 BRL 65.80 Kommunalbanken AS 0.50 3/28/2017 BRL 68.91 Kommunalbanken AS 0.50 6/28/2017 BRL 67.67 Kommunalbanken AS 0.50 9/20/2018 BRL 64.71 Kommunalbanken AS 0.50 3/2/2018 BRL 62.66 Kommunalbanken AS 0.50 6/1/2017 BRL 68.22 Kommunalbanken AS 0.50 8/15/2018 BRL 67.16 Kommunalbanken AS 0.50 3/29/2017 BRL 70.51 Kommunalbanken AS 0.50 8/16/2016 BRL 73.83 Kommunalbanken AS 0.50 5/27/2022 ZAR 47.60 Kommunalbanken AS 0.50 7/28/2016 BRL 74.11 Norske Skogindustr 7.00 6/26/2017 EUR 60.59 Norske Skogindustr 11.75 6/15/2016 EUR 74.02 Norske Skogindustr 6.13 10/15/2015 USD 72.75 Norske Skogindustr 6.13 10/15/2015 USD 69.53 Norske Skogindustr 7.13 10/15/2033 USD 51.63 Norske Skogindustr 11.75 6/15/2016 EUR 73.50 Norske Skogindustr 7.13 10/15/2033 USD 50.08 Petromena ASA 9.75 5/24/2014 NOK 6.75 Petromena ASA 10.85 11/19/2010 USD 6.75 PORTUGAL -------- AdP - Aguas de Por 0.33 1/23/2023 EUR 63.88 Banco Espirito San 3.50 1/2/2043 EUR 50.13 Caixa Geral de Dep 5.98 3/3/2028 EUR 57.00 CP - Comboios de P 5.70 2/5/2030 EUR 60.31 Empresa de Desenvo 0.33 11/21/2018 EUR 66.63 Metropolitano de L 4.80 12/7/2027 EUR 73.38 Metropolitano de L 4.06 12/4/2026 EUR 71.93 Parpublica - Parti 4.20 11/16/2026 EUR 68.25 Portugal Obrigacoe 4.10 4/15/2037 EUR 72.12 Rede Ferroviaria N 4.25 12/13/2021 EUR 70.38 Rede Ferroviaria N 4.05 11/16/2026 EUR 71.78 ROMANIA ------- City of Iasi Roman 4.45 11/15/2028 RON 71.23 RUSSIA ------ Arizk 3.00 12/20/2030 RUB 46.44 Kuzbassenergo-Fina 8.70 4/15/2021 RUB 72.01 Mechel 8.40 5/27/2021 RUB 70.02 Mechel 8.40 6/1/2021 RUB 70.13 Mechel 8.40 5/27/2021 RUB 70.21 Mobile Telesystems 5.00 6/29/2021 RUB 74.25 MORTGAGE AGENT AHM 3.00 9/9/2045 RUB 9.17 Novosibirsk TIN Pl 12.50 8/26/2014 RUB 5.00 RBC OJSC 3.27 4/19/2018 RUB 51.50 Russian Railways J 8.40 6/8/2028 RUB 100.00 Saturn Research & 8.50 6/6/2014 RUB 1.01 TGC-2 12.00 10/10/2018 RUB 75.00 World of Building 4.20 6/25/2019 RUB 3.60 SPAIN ----- Autonomous Communi 4.25 10/31/2036 EUR 65.75 Autonomous Communi 4.22 4/26/2035 EUR 64.14 Autonomous Communi 4.69 10/28/2034 EUR 68.88 Autonomous Communi 2.97 9/8/2039 JPY 59.88 Autonomous Communi 0.48 10/17/2022 EUR 70.50 Autonomous Communi 2.10 5/20/2024 EUR 73.97 Autonomous Communi 0.27 11/29/2021 EUR 74.92 Banco de Castilla 1.50 6/23/2021 EUR 65.00 Bankinter SA 6.00 12/18/2028 EUR 65.13 City of Madrid Spa 0.34 10/10/2022 EUR 66.37 City of Madrid Spa 4.55 6/16/2036 EUR 73.57 Comunidad Autonoma 3.90 11/30/2035 EUR 63.84 Comunidad Autonoma 4.20 10/25/2036 EUR 66.58 Comunidad Autonoma 4.06 11/23/2035 EUR 63.94 Diputacion Foral d 4.32 12/29/2023 EUR 61.41 Ibercaja Banco SAU 1.09 4/20/2018 EUR 70.93 Junta Comunidades 0.41 12/5/2023 EUR 54.38 Junta Comunidades 3.88 1/31/2036 EUR 60.38 Junta de Extremadu 0.95 6/10/2024 EUR 72.31 Pescanova SA 5.13 4/20/2017 EUR 18.74 Pescanova SA 8.75 2/17/2019 EUR 17.79 Pescanova SA 6.75 3/5/2015 EUR 17.96 Spain Government I 2.92 12/2/2030 JPY 69.99 SWEDEN ------ Dannemora Mineral 11.75 3/22/2016 USD 41.50 Northland Resource 4.00 10/15/2020 USD 6.63 Northland Resource 4.00 10/15/2020 NOK 7.00 Svensk Exportkredi 0.50 9/14/2016 BRL 74.58 Svensk Exportkredi 0.50 2/22/2022 ZAR 46.97 Svensk Exportkredi 0.50 6/29/2017 IDR 73.20 Svensk Exportkredi 0.50 1/31/2022 ZAR 47.32 Svensk Exportkredi 0.50 6/28/2022 ZAR 45.13 Svensk Exportkredi 0.50 3/19/2018 IDR 68.74 Svensk Exportkredi 0.50 8/28/2018 BRL 59.21 Svensk Exportkredi 0.50 3/15/2022 ZAR 46.66 Svensk Exportkredi 0.50 8/26/2021 AUD 68.36 Svensk Exportkredi 0.50 12/17/2027 USD 60.33 Svensk Exportkredi 0.50 12/14/2016 BRL 72.32 Svensk Exportkredi 0.50 9/28/2017 IDR 71.27 Svensk Exportkredi 0.50 2/3/2017 BRL 70.83 Svensk Exportkredi 0.50 7/21/2017 BRL 67.44 Svensk Exportkredi 0.50 12/21/2016 BRL 72.17 Svensk Exportkredi 0.50 9/20/2017 TRY 71.95 Svensk Exportkredi 0.50 12/22/2016 BRL 72.19 Svensk Exportkredi 0.50 8/28/2020 TRY 54.02 Svensk Exportkredi 0.50 9/5/2017 IDR 71.10 Svensk Exportkredi 0.50 3/10/2017 BRL 70.65 Svensk Exportkredi 0.50 1/26/2017 BRL 71.31 Svensk Exportkredi 0.50 6/30/2017 BRL 67.86 Svensk Exportkredi 1.00 11/15/2021 AUD 72.00 Svensk Exportkredi 0.50 6/21/2017 BRL 68.05 Svensk Exportkredi 0.50 8/25/2021 ZAR 56.85 SWITZERLAND ----------- UBS AG 24.75 1/3/2014 EUR 66.60 Banque Cantonale V 11.80 1/29/2014 CHF 63.63 Banque Cantonale V 6.50 10/5/2015 CHF 72.74 Banque Cantonale V 2.00 7/8/2014 CHF 61.29 SAir Group 6.25 10/27/2002 CHF 11.00 SAir Group 4.25 2/2/2007 CHF 11.63 SAir Group 2.13 11/4/2004 CHF 11.00 SAir Group 0.13 7/7/2005 CHF 11.25 SAir Group 5.50 7/23/2003 CHF 11.00 SAir Group 2.75 7/30/2004 CHF 11.00 SAir Group 2.75 7/30/2004 CHF 11.13 SAir Group 6.25 4/12/2005 CHF 10.88 UBS AG 24.50 1/3/2014 EUR 53.44 UBS AG 23.75 1/3/2014 EUR 58.46 UBS AG 8.87 4/15/2014 USD 10.17 UBS AG 24.00 1/3/2014 EUR 71.67 UBS AG 24.25 1/3/2014 EUR 60.63 UBS AG 18.45 10/24/2013 USD 8.73 UBS AG 14.25 1/3/2014 EUR 52.30 UBS AG 20.00 1/3/2014 EUR 56.56 UBS AG 7.25 7/29/2014 USD 31.57 UBS AG 6.03 5/14/2014 USD 54.95 UBS AG 24.50 1/3/2014 EUR 67.05 UBS AG 7.50 1/3/2014 EUR 64.51 UBS AG 12.70 4/22/2014 USD 66.71 UBS AG 8.94 2/13/2014 USD 14.64 UBS AG 6.29 2/26/2014 USD 32.99 UBS AG 6.22 2/26/2014 USD 38.93 UBS AG 24.00 1/3/2014 EUR 72.58 UBS AG 16.50 1/3/2014 EUR 69.19 UBS AG 18.25 1/3/2014 EUR 62.22 UBS AG 18.75 1/3/2014 EUR 66.02 UBS AG 20.25 1/3/2014 EUR 63.41 UBS AG 17.25 1/3/2014 EUR 42.91 UBS AG 11.50 1/3/2014 EUR 52.05 UBS AG 15.50 1/3/2014 EUR 72.73 UBS AG 22.00 1/3/2014 EUR 61.74 UBS AG 17.75 1/3/2014 EUR 68.54 UBS AG 6.04 8/29/2014 USD 35.75 UBS AG 10.46 1/2/2014 USD 35.35 UBS AG 8.75 1/3/2014 EUR 69.50 UBS AG 15.25 1/3/2014 EUR 63.26 UBS AG 10.75 1/3/2014 EUR 69.94 UBS AG 12.50 1/3/2014 EUR 62.75 UBS AG 19.00 1/3/2014 EUR 53.05 UBS AG 14.25 1/3/2014 EUR 70.59 UBS AG 20.50 1/3/2014 EUR 69.50 UBS AG 8.50 1/3/2014 EUR 69.72 UBS AG 24.00 1/3/2014 EUR 63.30 UBS AG 22.25 1/3/2014 EUR 63.98 UBS AG 9.53 12/17/2013 USD 48.94 UBS AG 6.49 5/23/2014 USD 21.20 UBS AG 6.53 5/27/2014 USD 21.09 UBS AG 6.33 5/12/2014 USD 19.48 UBS AG 9.25 4/30/2014 USD 9.78 UBS AG 14.00 6/27/2014 EUR 55.27 UBS AG 11.75 6/27/2014 EUR 48.70 UBS AG 8.29 1/14/2014 USD 19.98 UBS AG 5.22 1/28/2014 USD 11.48 UBS AG 7.86 1/31/2014 USD 20.24 UBS AG 9.17 6/30/2014 USD 67.70 UBS AG 7.25 8/8/2014 USD 45.54 UBS AG 8.35 10/24/2013 USD 50.89 UBS AG 9.45 10/22/2013 USD 20.95 UBS AG 9.00 1/3/2014 EUR 48.64 UBS AG 14.75 1/3/2014 EUR 44.63 UBS AG 7.15 2/26/2014 USD 32.50 UBS AG 10.75 1/3/2014 EUR 55.72 UBS AG 5.00 1/3/2014 EUR 63.46 UBS AG 8.21 2/26/2014 USD 50.39 UBS AG 10.00 1/3/2014 EUR 43.67 UBS AG 13.50 1/3/2014 EUR 56.28 UBS AG 13.75 1/3/2014 EUR 56.97 UBS AG 10.00 1/3/2014 EUR 62.22 UBS AG 8.25 1/3/2014 EUR 62.15 UBS AG 23.00 1/3/2014 EUR 69.99 UBS AG 18.75 1/3/2014 EUR 69.15 UBS AG 7.25 1/3/2014 EUR 69.51 UBS AG 23.25 1/3/2014 EUR 48.61 UBS AG 22.75 1/3/2014 EUR 59.35 UBS AG 21.50 1/3/2014 EUR 61.38 UBS AG 17.50 1/3/2014 EUR 68.73 UBS AG 14.50 1/3/2014 EUR 74.99 UBS AG 16.00 1/3/2014 EUR 71.69 UBS AG 21.00 1/3/2014 EUR 38.60 UBS AG 6.19 1/8/2014 USD 19.82 UBS AG 9.93 6/18/2014 USD 50.46 UBS AG 9.89 11/22/2013 EUR 71.22 UBS AG 8.00 1/3/2014 EUR 55.16 UBS AG 4.75 1/3/2014 EUR 69.04 UBS AG 4.50 6/27/2014 EUR 48.72 UBS AG 8.75 6/27/2014 EUR 58.09 UBS AG 6.80 2/20/2014 USD 27.83 UBS AG 6.80 2/20/2014 USD 27.76 UBS AG 5.50 3/28/2014 EUR 55.86 UBS AG 9.50 3/28/2014 EUR 50.93 UBS AG 13.50 3/28/2014 EUR 62.47 UBS AG 12.00 3/28/2014 EUR 42.70 UBS AG 11.50 1/3/2014 EUR 39.79 UBS AG 14.00 3/28/2014 EUR 52.93 UBS AG 7.75 6/27/2014 EUR 45.94 UBS AG 6.00 3/28/2014 EUR 49.43 UBS AG 7.00 6/27/2014 EUR 50.45 UBS AG 11.00 3/28/2014 EUR 46.42 UBS AG 11.00 6/27/2014 EUR 59.64 UBS AG 13.00 6/27/2014 EUR 45.50 UBS AG 13.00 1/3/2014 EUR 59.17 UBS AG 10.75 3/28/2014 EUR 58.16 UBS AG 5.00 6/27/2014 EUR 63.87 UBS AG 10.50 6/27/2014 EUR 52.89 UBS AG 12.25 6/27/2014 EUR 71.08 UBS AG 6.25 6/27/2014 EUR 56.36 UBS AG 11.25 3/28/2014 EUR 72.74 UBS AG 11.00 1/3/2014 EUR 70.06 UBS AG 12.25 3/28/2014 EUR 68.98 UBS AG 12.00 1/3/2014 EUR 66.02 UBS AG 13.75 6/27/2014 EUR 65.24 UBS AG 8.00 3/28/2014 EUR 56.96 UBS AG 20.25 1/3/2014 EUR 67.22 UBS AG 24.50 1/3/2014 EUR 59.05 UBS AG 21.75 1/3/2014 EUR 58.98 UBS AG 12.25 1/3/2014 EUR 52.20 UBS AG 18.00 1/3/2014 EUR 64.27 UBS AG 24.75 1/3/2014 EUR 54.61 UBS AG 22.00 1/3/2014 EUR 63.63 UBS AG 19.25 1/3/2014 EUR 71.52 UBS AG 23.50 1/3/2014 EUR 72.60 UBS AG 18.50 1/3/2014 EUR 71.37 UBS AG 6.50 1/3/2014 EUR 63.77 UBS AG 13.00 1/3/2014 EUR 49.48 UBS AG 5.75 1/3/2014 EUR 54.70 UBS AG 4.25 1/3/2014 EUR 54.36 UBS AG 6.25 1/3/2014 EUR 48.11 UBS AG 20.00 1/3/2014 EUR 64.93 UBS AG 14.41 11/21/2013 USD 40.01 UBS AG 23.25 1/3/2014 EUR 65.06 UBS AG 15.50 1/3/2014 EUR 45.13 UBS AG 18.25 1/3/2014 EUR 41.49 UBS AG 6.75 1/3/2014 EUR 68.80 UBS AG 20.75 1/3/2014 EUR 70.05 UBS AG 16.25 1/3/2014 EUR 72.22 UBS AG 19.75 1/3/2014 EUR 64.89 UBS AG 10.00 1/3/2014 EUR 55.96 UBS AG 13.75 1/3/2014 EUR 47.78 UBS AG 12.50 1/3/2014 EUR 49.77 UBS AG 8.50 1/3/2014 EUR 60.73 UBS AG 23.50 1/3/2014 EUR 36.11 UBS AG 22.75 1/3/2014 EUR 59.75 UBS AG 19.50 1/3/2014 EUR 65.22 UBS AG 20.50 1/3/2014 EUR 70.00 UBS AG 23.50 1/3/2014 EUR 72.59 UBS AG 18.25 1/3/2014 EUR 41.55 UBS AG 24.75 1/3/2014 EUR 72.66 UBS AG 17.50 1/3/2014 EUR 69.19 UBS AG 21.50 1/3/2014 EUR 61.80 UBS AG 7.98 3/17/2014 USD 10.60 UBS AG 14.75 3/28/2014 EUR 71.70 UBS AG 11.50 6/27/2014 EUR 74.62 UBS AG 4.50 3/28/2014 EUR 64.14 UBS AG 6.50 3/28/2014 EUR 44.45 UBS AG 7.30 7/7/2014 USD 28.53 TURKEY ------ APP International 11.75 10/1/2005 USD 5.00 Yuksel Insaat AS 9.50 11/10/2015 USD 72.64 UKRAINE ------- Agroton Public Ltd 12.50 7/14/2014 USD 50.00 UNITED KINGDOM -------------- Alpha Credit Group 0.73 2/21/2021 EUR 52.38 Alpha Credit Group 6.00 7/29/2020 EUR 72.88 Barclays Bank PLC 0.61 12/28/2040 EUR 64.00 Barclays Bank PLC 8.00 5/23/2014 USD 10.81 Barclays Bank PLC 2.20 11/30/2025 USD 21.86 Barclays Bank PLC 0.50 3/13/2023 RUB 47.04 Barclays Bank PLC 6.75 10/16/2015 GBP 1.15 Barclays Bank PLC 7.40 2/13/2014 GBP 1.04 Barclays Bank PLC 2.50 3/7/2017 EUR 35.67 Barclays Bank PLC 8.25 1/26/2015 USD 1.13 Barclays Bank PLC 1.99 12/1/2040 USD 71.38 Barclays Bank PLC 1.64 6/3/2041 USD 66.57 Barclays Bank PLC 7.50 4/29/2014 GBP 1.06 Barclays Bank PLC 2.33 1/2/2041 USD 73.08 Cattles Ltd 6.88 1/17/2014 GBP 2.50 Cattles Ltd 7.13 7/5/2017 GBP 2.50 Commercial Bank Pr 5.80 2/9/2016 USD 69.01 Co-Operative Bank 9.25 4/28/2021 GBP 72.74 Co-Operative Bank 5.75 12/2/2024 GBP 68.46 Co-Operative Bank 7.88 12/19/2022 GBP 70.52 Co-Operative Bank 5.88 3/28/2033 GBP 69.57 Co-Operative Bank 5.63 11/16/2021 GBP 55.13 Co-Operative Bank 1.01 5/18/2016 EUR 69.71 Credit Suisse AG/L 11.50 4/4/2014 CHF 70.01 Credit Suisse AG/L 8.50 11/5/2013 CHF 45.66 Credit Suisse AG/L 6.50 1/14/2014 CHF 55.22 Credit Suisse AG/L 9.00 11/14/2013 CHF 51.41 Credit Suisse AG/L 1.64 6/1/2042 USD 46.62 Credit Suisse AG/L 8.00 1/14/2014 USD 55.38 Credit Suisse AG/L 6.85 8/8/2014 USD 57.36 Credit Suisse AG/L 10.50 11/15/2013 USD 51.48 Credit Suisse Inte 4.40 10/24/2013 EUR 57.10 Credit Suisse Inte 4.45 12/13/2013 EUR 53.20 Dunfermline Buildi 6.00 3/31/2015 GBP 1.38 Emporiki Group Fin 5.00 2/24/2022 EUR 60.75 Emporiki Group Fin 5.00 12/2/2021 EUR 61.13 Emporiki Group Fin 5.10 12/9/2021 EUR 62.13 ERB Hellas PLC 0.52 9/3/2014 EUR 72.13 Goldman Sachs Inte 2.50 8/17/2018 EUR 20.40 HSBC Bank PLC 0.50 4/3/2023 AUD 62.86 HSBC Bank PLC 0.50 12/2/2022 AUD 64.19 HSBC Bank PLC 0.50 2/24/2023 AUD 63.27 HSBC Bank PLC 0.50 10/25/2021 AUD 68.62 HSBC Bank PLC 0.50 11/30/2021 NZD 65.52 HSBC Bank PLC 0.50 12/20/2018 RUB 69.82 HSBC Bank PLC 0.50 6/30/2021 NZD 67.16 HSBC Bank PLC 0.50 2/2/2023 AUD 63.51 HSBC Bank PLC 0.50 12/29/2022 AUD 63.89 HSBC Bank PLC 0.50 2/5/2018 RUB 74.86 HSBC Bank PLC 0.50 3/1/2018 RUB 74.48 HSBC Bank PLC 0.50 4/27/2027 NZD 47.02 HSBC Bank PLC 0.50 11/22/2021 AUD 68.35 HSBC Bank PLC 0.50 7/30/2027 NZD 46.29 HSBC Bank PLC 0.50 1/29/2027 NZD 47.70 HSBC Bank PLC 0.50 10/30/2026 NZD 48.42 HSBC Bank PLC 0.50 12/29/2026 AUD 50.10 HSBC Bank PLC 0.50 12/8/2026 AUD 50.28 HSBC Bank PLC 0.50 2/24/2027 NZD 47.50 Royal Bank of Scot 1.69 11/14/2016 GBP 1.10 RSL Communications 10.50 11/15/2008 USD 1.20 RSL Communications 10.13 3/1/2008 USD 1.25 RSL Communications 9.13 3/1/2008 USD 1.25 RSL Communications 9.88 11/15/2009 USD 1.25 RSL Communications 12.00 11/1/2008 USD 1.25 UBS AG/London 25.00 3/20/2014 CHF 62.25 UBS AG/London 7.63 9/30/2015 USD 16.71 UBS AG/London 20.25 4/17/2014 CHF 66.13 UBS AG/London 6.88 8/31/2015 USD 15.37 ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers' public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than US$3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/booksto order any title today. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter-Europe is a daily newsletter co- published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Valerie U. Pascual, Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante, Ivy B. Magdadaro, and Peter A. Chapman, Editors. Copyright 2014. All rights reserved. ISSN 1529-2754. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR Europe subscription rate is US$775 per half-year, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are US$25 each. For subscription information, contact Peter Chapman at 215-945-7000 or Nina Novak at 202-241-8200. * * * End of Transmission * * *