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

                           E U R O P E

           Monday, February 6, 2017, Vol. 18, No. 26


                            Headlines


I R E L A N D

AQUILAE CLO II: Moody's Affirms Ba2 Rating on Class E Notes
BRANDTONE: Enters Examinership Over Delayed EUR2MM Debtor Fee
NEWHAVEN CLO: Moody's Assigns (P)B2 Rating to Class F-R Notes


K A Z A K H S T A N

CAPITAL BANK: S&P Puts 'B-/C' Ratings on CreditWatch Negative


L U X E M B O U R G

EUROPROP EMC VI: Moody's Affirms 'C' Rating on Class C Notes
RUMO LUXEMBOURG: Fitch Puts 'BB-(EXP)' Rating to $300MM Notes


N E T H E R L A N D S

CARLYLE GLOBAL 2013-1: Moody's Rates EUR10M Class E-R Notes (P)B2
CONSTELLIUM NV: Moody's Rates USD625MM Sr. Unsec. Notes (P)Caa1
CONSTELLIUM NV: S&P Affirms 'B-' CCR, Outlook Remains Negative
OI SA: Two Dutch Units Won't Enter Bankruptcy Proceedings


P O L A N D

WIELKOPOLSKA SKOK: Financial Regulator Fails to Find Buyer


R U S S I A

BANK DIB: Liabilities Exceed Assets, Assessment Shows
CB RAZVITIE: Liabilities Exceed Assets, Assessment Shows


S P A I N

MBS BANCAJA 2: Fitch Affirms 'CCsf' Rating on Class F Notes


T U R K E Y

ISTANBUL: Fitch Lowers LT FC IDR to 'BB+', Outlook Stable
TC ZIRAAT: Fitch Cuts Long-Term FC IDR to 'BB+', Outlook Stable


U K R A I N E

KREDOBANK: S&P Affirms 'CCC+/C' Counterparty Credit Ratings
PRIVATBANK: Redirects Creditors' Claims to NBU, Deposit Fund


U N I T E D   K I N G D O M

FERROGLOBE PLC: Fitch Assigns 'B-(EXP)' LT Issuer Default Rating
NEMEAN BIDCO: Moody's Assigns B1 CFR, Outlook Stable
ODEON & UCI: Moody's Withdraws B3 Corporate Family Rating
PREMIER OIL: Reaches Deal to Reset GBP2.8-Bil. Debt Pile
TESCO PLC: S&P Affirms 'BB+' Long-Term CCR on Booker Merger

TOWD POINT 2017: Moody's Assigns (P)Ba2 Rating to Class E Notes


X X X X X X X X

* EMEA Firms at Highest Default Risk Hit Record High in 2016
* BOND PRICING: For the Week January 30 to February 3, 2017


                            *********



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I R E L A N D
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AQUILAE CLO II: Moody's Affirms Ba2 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the following notes issued
by Aquilae CLO II p.l.c.:

-- EUR15.3M Class D Deferrable Floating Rate Notes, due 2023,
Upgraded to Aa2 (sf); previously on Feb 2, 2016 Upgraded to A2
(sf)

Moody's has affirmed the following notes:

-- EUR21.6M (Current outstanding balance of EUR8.0M) Class B
Floating Rate Notes, due 2023, Affirmed Aaa (sf); previously on
Feb 2, 2016 Affirmed Aaa (sf)

-- EUR17.1M Class C Deferrable Floating Rate Notes, due 2023,
Affirmed Aaa (sf); previously on Feb 2, 2016 Upgraded to Aaa (sf)

-- EUR15M Class E Deferrable Floating Rate Notes, due 2023,
Affirmed Ba2 (sf); previously on Feb 2, 2016 Upgraded to Ba2 (sf)

-- EUR8M Class Y Combination Notes, due 2023, Affirmed Aaa (sf);
previously on Feb 2, 2016 Affirmed Aaa (sf)

-- EUR1.5M Class Z Combination Notes, due 2023, Affirmed Aaa
(sf); previously on Feb 2, 2016 Affirmed Aaa (sf)

Aquilae CLO II p.l.c. issued in November 2006, is a single
currency Collateralised Loan Obligation ("CLO") backed by a
portfolio of mostly high yield senior secured European loans. The
portfolio is managed by Henderson Global Investors Ltd. The
transaction's reinvestment period ended in January 2013.

RATINGS RATIONALE

The rating actions on the notes are primarily the result of the
deleveraging that has occurred over the last two payment dates.
Since last rating action Class A notes have been fully repaid and
Class B notes have amortised by EUR13.6m (63% of its initial
balance). As a result of deleveraging, over-collateralisation
(OC) ratios have increased. According to January 2017 trustee
report the OC ratios of Class B, C, D and E are 275.7%, 176.1%,
133.1% and 107.4% compared to 205.7%, 152.7%, 124.0% and 104.8%
in January 2016. Moody's notes that the January principal
payments are not reflected in the OC ratios reported.

The ratings on the combination notes address the repayment of the
rated balance on or before the legal final maturity. For the
Class Z notes, the 'rated balance' at any time is equal to the
principal amount of the combination note on the issue date times
a rated coupon of 0.125% per annum, accrued on the rated balance
on the preceding payment date, minus the sum of all payments made
from the issue date to such date, of either interest or
principal. For the Class Y, the rated balance at any time is
equal to the principal amount of the combination note on the
issue date minus the sum of all payments made from the issue date
to such date, of either interest or principal. The rated balance
will not necessarily correspond to the outstanding notional
amount reported by the trustee.

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 analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR54.0 million,
defaulted par of EUR11.5 million a weighted average default
probability of 15.21% over a 3.6 weighted average life
(consistent with a WARF of 2484), a weighted average recovery
rate upon default of 47.6% for a Aaa liability target rating, a
diversity score of 11 and a weighted average spread of 3.5%.

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. 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
analysis.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in October 2016.

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

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 weighted average recovery rate for
the portfolio. Moody's ran a model in which it reduced the
weighted average recovery rate by 5%; the model generated outputs
were unchanged for Class B and Class C and within one notch of
the base-case results for Class D and Class E.

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
note, 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 behaviour and 2) divergence in the legal
interpretation of CDO documentation by different transactional
parties because of embedded ambiguities.

Additional uncertainty about performance is due to the following:

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

* Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's over-
collateralisation 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
analysed 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.

* Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes that, at transaction
maturity, the liquidation value of such an asset will depend on
the nature of the asset as well as the extent to which the
asset's maturity lags that of the liabilities. Liquidation values
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.


BRANDTONE: Enters Examinership Over Delayed EUR2MM Debtor Fee
-------------------------------------------------------------
Mark Paul at The Irish Times reports that Brandtone, which
employs more than 100 and has clients such as Diageo and Pepsi
Co, has entered examinership to manage a cashflow crisis sparked
by a delayed EUR2 million fee due from a debtor.

Michael McAteer of Grant Thornton has been appointed by the
High Court as interim examiner to two entities linked to the
company, which won the emerging category at the 2015 EY
Entrepreneur of the Year awards, The Irish Times relates.

Brandtone has been heavily backed since its 2010 launch by
shareholders including the consumer giant Unilever, The Irish
Times recounts.

The delayed EUR2 million payment was originally due to Brandtone
in December, The Irish Times relays, citing papers prepared for
the court application.  The cash is believed to be due from a
stock market-listed US company, The Irish Times states.

Brandtone found out in January that the payment from its debtor
would take several more months until paperwork surrounding their
contract was put in place to satisfy regulatory requirements, The
Irish Times relates.

This left Brandtone unable to meet immediate cash needs, The
Irish Times discloses.  It needs about EUR2.4 million to see it
through until it enters profitability, the court was told,
according to The Irish Times.  Investment will be sought to fund
a scheme of arrangement to cut its debts, The Irish Times notes.

The court papers say the company behind the delayed payment and
Unilever, which is also a major client, have already come up with
EUR600,000 to pay staff and keep it trading.

Unliever has indicated it may invest in a restructured business,
while the examiner will field proposals for outside investment,
The Irish Times relays.  Mr. McAteer has been appointed to both
the holding company and operating company, The Irish Times
discloses.

Brandtone is a Dublin mobile marketing company.


NEWHAVEN CLO: Moody's Assigns (P)B2 Rating to Class F-R Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
eight classes of notes (the "Refinancing Notes") to be issued by
Newhaven CLO Designated Activity Company:

-- EUR1,500,000 Class X Senior Secured Floating Rate Notes due
2030, Assigned (P)Aaa (sf)

-- EUR205,900,000 Class A-1R Senior Secured Floating Rate Notes
due 2030, Assigned (P)Aaa (sf)

-- EUR10,000,000 Class A-2R Senior Secured Fixed Rate Notes due
2030, Assigned (P)Aaa (sf)

-- EUR35,000,000 Class B-R Senior Secured Floating Rate Notes
due 2030, Assigned (P)Aa2 (sf)

-- EUR23,500,000 Class C-R Senior Secured Deferrable Floating
Rate Notes due 2030, Assigned (P)A2 (sf)

-- EUR18,600,000 Class D-R Senior Secured Deferrable Floating
Rate Notes due 2030, Assigned (P)Baa2 (sf)

-- EUR20,400,000 Class E-R Senior Secured Deferrable Floating
Rate Notes due 2030, Assigned (P)Ba2 (sf)

-- EUR10,000,000 Class F-R Senior Secured Deferrable Floating
Rate Notes due 2030, Assigned (P)B2 (sf)

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

RATINGS RATIONALE

Moody's provisional rating of the Notes addresses the expected
loss posed to noteholders. The provisional rating reflects the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.

The Issuer has issued the Refinancing Notes in connection with
the refinancing of the following classes of notes: Class A-1
Notes, Class A-2 Notes Class B-1 Notes, Class B-2 Notes, Class C
Notes, Class D Notes, Class E Notes and Class F Notes due 2028
(the "Original Notes"), previously issued on November 5, 2014
(the "Original Closing Date"). On the Refinancing Date, the
Issuer will use the proceeds from the issuance of the Refinancing
Notes to redeem in full its respective Original Notes. On the
Original Closing Date, the Issuer also issued one class of
subordinated notes, which will remain outstanding.

Newhaven CLO is a managed cash flow CLO. The issued notes are
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured obligations and eligible investments,
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans, mezzanine obligations and high yield bonds.

Bain Capital Credit, Limited (the "Manager") manages the CLO. It
directs the selection, acquisition, and disposition of collateral
on behalf of the Issuer. After the reinvestment period, which
ends in February 2021, the Manager may reinvest unscheduled
principal payments and proceeds from sales of credit risk
obligations, subject to certain restrictions.

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

Loss and Cash Flow Analysis:

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.

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

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

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

Performing par and principal proceeds balance: EUR349,600,000

Diversity Score: 40

Weighted Average Rating Factor (WARF): 2850

Weighted Average Spread (WAS): 4.25%

Weighted Average Coupon (WAC): 5.70%

Weighted Average Recovery Rate (WARR): 42%

Weighted Average Life (WAL): 8 years

As part of its analysis, Moody's has addressed the potential
exposure to obligors domiciled in countries with local currency
government bond rating of A1 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. Also, the eligibility criteria do not
currently allow for the acquisition of assets where the obligor
is domiciled in a country with a local currency government bond
rating below A3. Given this portfolio composition, there were no
adjustments to the target par amount, as further described in the
methodology.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in October 2016.

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

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

Stress Scenarios:

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

Percentage Change in WARF -- increase of 15% (from 2850 to 3278)

Rating Impact in Rating Notches

Class X Notes: 0

Class A-1R Notes: 0

Class A-2R Notes: 0

Class B-1R Notes: -1

Class C-R Notes: -2

Class D-R Notes: -2

Class E-R Notes: 0

Class F-R Notes: 0

Percentage Change in WARF -- increase of 30% (from 2850 to 3705)

Rating Impact in Rating Notches

Class X Notes: 0

Class A-1R Notes: -1

Class A-2R Notes: -1

Class B-1R Notes: -3

Class C-R Notes: -3

Class D-R Notes: -2

Class E-R Notes: -1

Class F-R Notes: -1

Further details regarding Moody's analysis of this transaction
may be found in the related pre-sale report, published prior to
the Original Closing Date in November 2013 and available on
Moodys.com.


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


CAPITAL BANK: S&P Puts 'B-/C' Ratings on CreditWatch Negative
-------------------------------------------------------------
S&P Global Ratings placed its 'B-/C' long- and short-term
counterparty credit ratings and its 'kzB+' Kazakhstan national
scale rating on Kazakhstan-based Capital Bank Kazakhstan JSC on
CreditWatch with negative implications.

Following the license revocation of another bank in Kazakhstan,
Capital Bank Kazakhstan's liquidity has decreased over the past
few weeks due to sizable outflows of funds from government-
related entities (GREs).

The CreditWatch placement reflects S&P's concerns regarding
Capital Bank's liquidity.  S&P understands that, at the beginning
of January, Capital Bank experienced a material outflow of
deposits from government-related entities (GREs).  This occurred
because of the revocation of the license of another Kazakh Bank,
which negatively affected the liquidity of Capital Bank as well
as of some other banks in the sector.  As a result, the bank's
liquid assets reduced to about 5.5% of total assets (Kazakhstani
tenge [KZT] 4.7 billion [approximately US$14 million]) as of Jan.
27, 2017, from its usual level of above 15%.  This decrease led
S&P to reassess the bank's liquidity position to moderate from
adequate previously.

S&P expects that the bank will meet its repayments over the next
few months fully and on time without breaching the regulatory
liquidity ratios.  S&P bases this expectation on planned inflows
of GRE deposits and/or potential shareholder support.  S&P also
notes as a positive that the bank's liquidity position stabilized
in the second half of January.

S&P expects to resolve the CreditWatch by the end of February
2017, when S&P expects to have more information on the bank's
liquidity cushion, its ability to repay its scheduled debt over
the next few months, and support from the owner and/or GREs.

S&P could affirm the ratings if it sees that Capital Bank's
liquidity cushion recovers to the previous adequate level, in
S&P's view.

S&P could lower the ratings to its 'CCC' category if liquidity
further diminishes these:

   -- Absence of tangible support from the owners and/or GREs; or
   -- Continuation of deposits outflows.

S&P could also lower the ratings if liquidity deterioration
results in the bank failing to be compliant with regulatory
ratios.


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


EUROPROP EMC VI: Moody's Affirms 'C' Rating on Class C Notes
------------------------------------------------------------
Moody's Investors Service has taken rating actions on the
following classes of Notes issued by EuroProp (EMC VI) S.A.

-- EUR380.25M Class A Notes, Downgraded to B1 (sf); previously
on Aug 18, 2014 Affirmed Ba3 (sf)

-- EUR30M Class B Notes, Downgraded to Caa3 (sf); previously on
Aug 18, 2014 Affirmed Caa1 (sf)

-- EUR35M Class C Notes, Affirmed C (sf); previously on Aug 18,
2014 Affirmed C (sf)

Moody's does not rate the Class D, E, F and the Class R Notes.

RATINGS RATIONALE

The downgrade action of the Class A Notes reflects Moody's
expectation that the repayment of the Notes will happen after the
legal final maturity of the Notes in April 2017 while Moody's
continues to expect a full recovery on this Class of Notes.

The downgrade action of the Class B Notes reflects Moody's
increased loss expectation for the pool since its last review,
primarily due to a lower recovery expectation for the Sunrise II
and Henderson -- Staples loans, together accounting for 48% of
the outstanding pool balance.

These two loans are in the final stages of their respective
workout processes and the expected sales proceeds for the
remaining assets as presented in the latest special servicer
reports indicate higher loss expectations.

Progress with the asset disposal for the Sunrise II loan has been
slower than anticipated and the process is not expected to be
concluded by the legal final maturity of the Notes. For the
Henderson -- Staples loan a standstill agreement until March 2018
has been executed to facilitate the workout process.

Additionally, there is high uncertainty in respect of the
recovery prospects for the Signac loan. The loan and the
underlying real estate asset are subject to a safeguard plan by
court order. As part of the plan, the maturity of the loan has
been extended to June 2018. There are further court proceedings
on-going in connection with the underlying transaction
documentation.

The rating of the Class C Notes is affirmed based on the current
expected loss that remains unchanged.

For a summary of Moody's key assumptions for the loans in the
pool please refer to the section SUMMARY OF LOAN ASSUMPTIONS
below.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was Moody's
Approach to Rating EMEA CMBS Transactions published in November
2016.

Other factors used in these ratings are described in European
CMBS: 2016-18 Central Scenarios published in April 2016.

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

Main factors or circumstances that could lead to a change of the
ratings are a change in the expected loss on the loans.

MOODY'S PORTFOLIO ANALYSIS

EuroProp (EMC VI) S.A. closed in June 2007 and represents the
securitisation of initially 18 commercial mortgage loans.
Currently, four loans remain in the pool of which three loans
have collateral remaining. The remaining collateral comprises of
18 retail and office properties in Germany and in France.

SUMMARY OF MOODY'S LOAN ASSUMPTIONS

Below are Moody's key assumptions for the remaining three loans
with collateral.

Sunrise II loan (32% of the pool) -- LTV: 181%; in default,
Expected Loss 40%-50%.

The loan is secured by a portfolio of retail properties located
in predominantly secondary locations in Germany. Asset sales have
been slow to date, out of the 15 properties remaining, 11 are
subject to notarised sale and purchase agreements, three are
under purchaser due diligence and one is marketed for sale.

Henderson - Staples loan (16% of the pool) -- LTV: 164%; in
default, Expected Loss 40%-50%.

The loan is secured by a portfolio of office/retail properties
located in Germany. Out of the remaining two, one sale has
completed with the proceeds in transfer and one property is
marketed for sale.

Signac loan (39% of the pool) -- LTV: 86%; in default, Expected
Loss 40%-50%.

The loan is secured by an office property located near Paris in
France. Following non-payment upon loan maturity in July 2011,
the Borrower has been granted safeguard protection as well as a
loan extension to June 2018 by court. The initial safeguard plan
stipulated partial repayments during the extended term. However,
no partial repayments have been received to date. On the basis of
the court order there is currently no requirement for the
Borrower to market the property for sale. The property has
currently an occupancy rate of 63% and generates a net operating
income of EUR2.2 million with a weighted average remaining lease
term of less than five years.


RUMO LUXEMBOURG: Fitch Puts 'BB-(EXP)' Rating to $300MM Notes
-------------------------------------------------------------
Fitch Ratings has assigned a 'BB-(EXP)' rating to Rumo S.A.'s
(Rumo) proposed issuance of global notes of minimum USD300
million. The proposed senior unsecured global notes will mature
in 2024. The notes will be issued through its wholly owned
subsidiary, Rumo Luxembourg S.a.r.l. and will be unconditionally
and irrevocably guaranteed by Rumo and its subsidiary ALL -
America Latina Logistica Malha Norte S.A. Proceeds will be used
to repay certain indebtedness and for general corporate purposes.

The rating incorporates Rumo's leveraged capital structure,
offset by the high predictability of its cash flow generation
under adverse economic conditions through several cycles, and its
solid business position as a railroad and logistic operator in
the Brazilian infrastructure industry. Fitch sees as credit
positive Rumo's affiliation with the Cosan Group (Cosan Limited;
Foreign Currency Long-Term Issuer Default Rating (IDR)
'BB'/Stable Outlook), which provides reasonable financial
flexibility to the company. The merger with ALL in April 2015
strengthened their consolidated business profile and generated
synergy gains for both companies.

The substantial capex plan for expansion and negative free cash
flows (FCF) expected for the next years constrain the ratings.
Another important challenge will be the company's ability to
consistently capture increasing volumes as it seeks scale gains
and increasing operating profitability. Rumo needs to strengthen
its business position and improve operating cash flow generation
in order to reduce leverage on a sustainable basis.

KEY RATING DRIVERS

Leverage Remains High; Decline Expected for the Medium Term

The BRL2.6 billion capital injection received in April 2016 did
not materially benefit Rumo's adjusted leverage, though it
enabled the company to reduce its net adjusted debt to BRL11
billion as of Sept. 30 2016 (adjusted by BRL2.5 billion of leases
and concession obligations) from BRL12.3 billion on Dec. 31 2015
(BRL2.2 billion of leases and concession obligations). The
company's net adjusted debt/EBITDAR ratio reached 5.1x as of
latest-12-month (LTM) September 2016, comparing favorably to 6.4x
in 2015 on a pro forma basis, which combines both Rumo's and
ALL's operations. Fitch does not expect Rumo's net adjusted
leverage to improve materially by year-end but expects a soft
deleveraging for Rumo over the long term as the company's balance
sheets will remain pressured by the BRL8.2 billion capex expected
from 2016 to 2019. Fitch expects Rumo's net adjusted leverage to
range from 4.5x to 5.2x over the next three years.

Operating Performance Improvement is Challenging

The company still faces major challenges to capture increasing
load volumes and raise its business operations profitability from
2017 onwards following the conclusion of the measures taken to
improve its financial profile in 2016. After the performance
volatility faced in late 2014 and early 2015, Rumo started to
recover volumes from mid-2015 onwards as a consequence of
operational efficiencies unleashed by its capex program. Fitch
base-case projects railroad volumes reached 43 billion RTK
(revenue ton kilometer) in 2016, negatively affected by
agricultural performance within the country, slightly below 45
billion RTK in 2015.

Expectation of Negative FCF

The company's sizeable capex plan is expected to lead to negative
FCF of above BRL1 billion a year until 2018. Rumo is expected to
invest about BRL8.2 billion until 2019, which should result in
volume increases of 7%-8% per year from 2017 onwards, according
to Fitch's assumptions. The company is expected to finance
investment mostly with long-term debt.

Business Profile Remains Strong

The ratings incorporate Rumo's solid business position as the
sole railroad transportation operator in the South and Mid-
Western regions of Brazil, areas with high growth potential due
to stable demand for grains worldwide. While Rumo faced some
performance volatility between late 2014 and early 2016, the
long-term fundamentals of its business remain strong. The
company's operating model has demonstrated resilience against
adverse global economic conditions through several cycles, and
has been able to increase cargo volumes in the last few years
during diverse economic scenarios. In Fitch's view the merger
with ALL's operation will strengthen the consolidated business
profile as it will combine important operational logistics assets
and new business opportunities with Cosan Group's rail operation.

KEY ASSUMPTIONS

Fitch's key assumptions within Fitch rating case for the issuer
include:
  -- 4% volume decline in 2016; mid-single-digit volume growth
from 2017 to 2019;
  -- 5% tariff increase in 2016 and 2017;
  -- EBITDA of BRL2 billion in 2016, BRL2.4 billion in 2017 and
BRL2.8 billion in 2018;
  -- BRL1.9 billion capex in 2016 and BRL6.3 billion capex from
2017 to 2019;
  -- Adjusted net debt/EBITDAR, according to Fitch' calculation,
in the range of 5.3x-5.5x in 2016 and close to 5.0x in 2017.

RATING SENSITIVITIES

Future developments that may, individually or collectively, lead
to a positive rating action include:

-- Net adjusted leverage trends below 4x, while maintaining
strong liquidity and positive debt-refinancing schedule;

Future developments that may, individually or collectively, lead
to a negative rating action include:

-- Inability to finance capex with long-term and low-cost debt,
putting pressure on debt amortization schedule;

-- Substantial weakening of current EBITDA margins.

LIQUIDITY

The capital injection of BRL2.6 billion strengthened Rumo's
liquidity significantly. The extension of BRL2.9 billion of debt
maturing in 2016, 2017 and 2018 also contributed to protecting
the company's current liquidity. As of Sept. 30, 2016, the
company reported cash of BRL1.43 billion and short-term debt of
BRL1.95 billion, comparing favorably with BRL0.58 billion and
BRL2.12 billion, respectively, in December 2015.

Fitch believes Rumo's liquidity is adequate and sustainable in
the long term, considering the financial flexibility the company
demonstrated in financing part of its aggressive capex plan. The
company is not expected to use a significant part of its cash and
operating cash flow generation to finance the ongoing
investments. Rumo is counting on BRL3.5 billion of long-term debt
to be provided by Banco Nacional de Desenvolvimento Economico e
Social (BNDES), which is expected to be partly received during
2016.

FULL LIST OF RATING

Fitch currently rates Rumo as follows:

-- Foreign and Local Currency IDR 'BB-';
-- National scale rating 'A(bra)'.

The Rating Outlook is Stable.


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


CARLYLE GLOBAL 2013-1: Moody's Rates EUR10M Class E-R Notes (P)B2
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of debts to be issued by Carlyle Global Market Strategies
Euro CLO 2013-1 B.V.:

-- EUR236,000,000 Class A-1-R Senior Secured Floating Rate Notes
due 2030, Assigned (P)Aaa (sf)

-- EUR56,000,000 Class A-2-R Senior Secured Floating Rate Notes
due 2030, Assigned (P)Aa2 (sf)

-- EUR24,000,000 Class B-R Senior Secured Deferrable Floating
Rate Notes due 2030, Assigned (P)A2 (sf)

-- EUR23,000,000 Class C-R Senior Secured Deferrable Floating
Rate Notes due 2030, Assigned (P)Baa2 (sf)

-- EUR20,000,000 Class D-R Senior Secured Deferrable Floating
Rate Notes due 2030, Assigned (P)Ba2 (sf)

-- EUR10,000,000 Class E-R Senior Secured Deferrable Floating
Rate Notes due 2030, Assigned (P)B2 (sf)

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

RATINGS RATIONALE

Moody's provisional ratings of the rated notes addresses the
expected loss posed to noteholders by the legal final maturity of
the notes in 2030. The provisional ratings reflect the risks due
to defaults on the underlying portfolio of loans given the
characteristics and eligibility criteria of the constituent
assets, the relevant portfolio tests and covenants as well as the
transaction's capital and legal structure. Furthermore, Moody's
is of the opinion that the collateral manager, CELF Advisors LLP
("CELF Advisors") has sufficient experience and operational
capacity and is capable of managing this CLO.

The Issuer will issue the Refinancing Notes in connection with
the refinancing of the following classes of notes: Class A Notes,
Class B-1 Notes, Class B-2 Notes, Class C-1 Notes, Class C-2
Notes, Class D-1 Notes, Class D-2 Notes and Class E Notes due
2025 (the "Original Notes"), previously issued in June 2013 (the
"Original Closing Date"). Moody's did not rate the Original
Notes. On the Refinancing Date, which is expected to be on the
next payment date, the Issuer will use the proceeds from the
issuance of the Refinancing Notes to redeem in full its
respective Original Notes. On the Original Closing Date, the
Issuer also issued the Class S-1 and Class S-2 Subordinated
Notes, which will remain outstanding.

CGMSE 2013-1 is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured loans and senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior loans, second-lien loans, mezzanine obligations and high
yield bonds. The portfolio is expected to be at least 90% ramped
up as of the closing date and to be comprised predominantly of
corporate loans to obligors domiciled in Western Europe. The
remaining of the portfolio will be acquired during the 4 month
ramp-up period.

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

In addition to the six classes of refinancing notes rated by
Moody's and the Class S-1 and Class S-2 Subordinated Notes, the
Issuer will issue EUR 4,200,000 of Class S-3 Subordinated Notes
which will not be rated.

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

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

The rated notes' performance is subject to uncertainty. The
notes' performance is sensitive to the performance of the
underlying portfolio, which in turn depends on economic and
credit conditions that may change. CELF Advisors' 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
October 2016. The cash flow model evaluates all default scenarios
that are then weighted considering the probabilities of the
binomial distribution assumed for the portfolio default rate. In
each default scenario, the corresponding loss for each class of
notes is calculated given the incoming cash flows from the assets
and the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum
product of (i) the probability of occurrence of each default
scenario and (ii) the loss derived from the cash flow model in
each default scenario for each tranche. As such, Moody's
encompasses the assessment of stressed scenarios.

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

Par Amount: EUR 400,000,000

Diversity Score: 42

Weighted Average Rating Factor (WARF): 2850

Weighted Average Spread (WAS): 3.80%

Weighted Average Coupon (WAC): 6.0%

Weighted Average Recovery Rate (WARR): 44.5%

Weighted Average Life (WAL): 8 years

Stress Scenarios:

Together with the set of modelling assumptions above, Moody's
conducted 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 3278 from 2850)

Ratings Impact in Rating Notches:

Class A-1-R Senior Secured Floating Rate Notes due 2030: 0

Class A-2-R Senior Secured Floating Rate Notes due 2030: -2

Class B-R Senior Secured Deferrable Floating Rate Notes due
2030:  -2

Class C-R Senior Secured Deferrable Floating Rate Notes due
2030: -2

Class D-R Senior Secured Deferrable Floating Rate Notes due
2030: -1

Class E-R Senior Secured Deferrable Floating Rate Notes due
2030: -1

Percentage Change in WARF: WARF +30% (to 3705 from 2850)

Ratings Impact in Rating Notches:

Class A-1-R Senior Secured Floating Rate Notes due 2030: 0

Class A-2-R Senior Secured Floating Rate Notes due 2030: -3

Class B-R Senior Secured Deferrable Floating Rate Notes due
2030: -3

Class C-R Senior Secured Deferrable Floating Rate Notes due
2030: -3

Class D-R Senior Secured Deferrable Floating Rate Notes due
2030: -1

Class E-R Senior Secured Deferrable Floating Rate Notes due
2030: -1


CONSTELLIUM NV: Moody's Rates USD625MM Sr. Unsec. Notes (P)Caa1
---------------------------------------------------------------
Moody's Investors Service has assigned a provisional (P)Caa1
rating to the new USD625 million senior unsecured notes due 2025
to be issued by Netherland-based aluminum products manufacturer
Constellium N.V., and guaranteed by various group subsidiaries.
The outlook on the rating is negative.

"We have assigned a provisional rating of (P)Caa1 to
Constellium's new senior unsecured notes as they will be issued
under similar terms to the outstanding Caa1-rated unsecured
notes. Both sets of notes will rank equally in the capital
structure, with equivalent benefits from their comparable
guarantee arrangements," says Hubert Allemani, a Vice
President -- Senior Analyst at Moody's, and lead analyst for
Constellium.

Moody's issues provisional ratings for debt instruments in
advance of the final sale of securities or conclusion of credit
agreements. Upon a conclusive review of the final documentation,
Moody's will endeavour to assign a definitive rating to the
envisaged debt instrument. A definitive rating may differ from a
provisional rating.

The proceeds from the issuance will be used to repay part of the
outstanding USD650 million senior secured notes issued by Wise
Metals Group LLC. With the issuance of the new unsecured notes
Constellium pushes out its maturity profile by repaying notes due
in 2018. Post issuance Constellium's first maturity will be in
2021. This is positive for the company's liquidity profile and
gives Constellium time to complete its US body in white product
capacity development program. At the same time the transaction
should slightly reduce the company annual interest charge.
However, this does not address the company's high leverage which
would remain at approximately 9x pro forma of the issuance and
based on LTM September 2016 Moody's adjusted EBITDA.

RATINGS RATIONALE

-- (P)Caa1 SENIOR UNSECURED NOTES

The (P)Caa1 rating assigned to the proposed USD625 million senior
unsecured notes reflects that they will be issued under similar
terms to the outstanding Caa1-rated unsecured notes having
various maturities from 2021 onward. All unsecured notes issued
by Constellium N.V. rank pari passu and benefit from similar
guarantee packages from material subsidiaries.

Constellium capital structure includes a mix of secured and
unsecured debt. The (P)Caa1 and Caa1 ratings on the proposed and
existing senior unsecured notes, respectively, issued by
Constellium N.V. are rated one notch below the B3 CFR, reflecting
their subordination in the capital structure and higher repayment
risk compared to the outstanding secured notes. In line with
Moody's Loss Given Default (LGD) model, Moody's notes that
because of the higher amount of unsecured notes in the capital
structure post transaction, there is upward pressure on the
secured notes rating. However at this stage and in light to the
negative outlook on Constellium's CFR, the secured notes rating
remains unchanged at B2.

-- B3 CORPORATE FAMILY RATING

The B3 CFR rating remains constrained by Constellium's (1)
cyclical end markets such as automotive, aerospace, industrial
manufacturing and slowly declining packaging; (2) high capital
expenditure in Europe and US for the body in white programme and
aerospace capacity increase; (3) exposure to metal premium price
volatility if the company cannot hedge, or through the time lag
between price increases and pass through; and (4) low
consolidated Moody's adjusted EBIT margin of 4.4% as per LTM
September 2016 and high Moody's adjusted leverage of 9.5x at
September 2016.

These negatives are partially offset by the company's strong
market share in high value added products, as well as the
company's improvement in its operating performance, primarily
driven by stronger aerospace demand and recovery in the
automotive sector volumes, also driven by a substitution effect
from steel for lighter vehicles. In 2016 Constellium also
benefitted from the recovery of Wise Metals.

The rating positively reflects (1) Constellium's product mix; (2)
the visibility for sales in the medium-term owing to contracts in
place for the majority of its packaging revenues; and (3) the
stability of the can sheet and rigid packaging parts
profitability and cash flow, which represent approximately 50% of
year to date revenues.

RATIONALE FOR THE NEGATIVE OUTLOOK

The outlook is negative as Moody's expects the rating to remain
weakly positioned in the B3 category this year, with a highly
leveraged capital structure and negative free cash flow. The main
downside risks to the rating are the operational and execution
risks for the body in white aluminium sheets development
programme in the US and the low deleveraging prospects over the
next two years.

WHAT COULD CHANGE THE RATING UP

Constellium's rating outlook could be changed to stable as a
result of a combination of (1) improved market conditions; (2) a
recovery at Wise, notably in terms of cash flow generation, which
could confirm the potential for Moody's adjusted debt/EBITDA to
trend towards 6.5x on a sustainable basis; and (3) a continuing
adequate liquidity profile.

The indicators for a potential upgrade are: (1) an expectation of
consistently positive operating cash flow as measured by cash
from operation (CFO)/Debt recovering towards 15% throughout the
high capex spend programme; (2) an improvement in the company's
EBIT margins at a level above 5%; and (3) Moody's-adjusted
leverage trending under 6.0x.

WHAT COULD CHANGE THE RATING DOWN

The ratings would come under downward pressure if (1) CFO/Debt
stood below 5% on a sustainable basis and free cash flow remained
negative once the capex programme ended; (2) EBIT to interest
remains below 1.0x; (3) the company fails to recover its
profitability and EBIT margins; (4) Moody's-adjusted leverage
remains sustainably above 8.0x EBITDA; and (5) the company's
liquidity profile deteriorates with cash on hands falling under
the EUR200 million level.

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was Global Steel
Industry published in October 2012.

Headquartered in the Netherlands, Constellium produces
approximately 1.5 million tonnes per year of fabricated aluminium
products and has operations in Europe, North America and Asia. It
sells to the packaging, automotive and transportation, aerospace,
general industrial and construction industries. The company is
based in The Netherlands and the shareholding is divided between
Fonds Strategique d'Investissement (12%), the management (4.0%)
and free float (84%). For the full year 2015 the company reported
shipments of 1,478 ktons, which translated into sales of EUR5.15
billion (inc. Wise Metals Group LLC).


CONSTELLIUM NV: S&P Affirms 'B-' CCR, Outlook Remains Negative
--------------------------------------------------------------
S&P Global Ratings said that it affirmed its 'B-' long-term
corporate credit rating on Netherlands-incorporated aluminum
producer Constellium N.V.  The outlook remains negative.

Constellium N.V. has proposed a new $625 million senior unsecured
bond, the proceeds of which it will use to repay the $650 million
senior secured bond at subsidiary Wise Metals.

At the same time, S&P assigned a 'CCC+' issue-level rating and a
'5' recovery rating to the company's proposed $625 million senior
unsecured bond with an eight-year tenor (2025).

In addition, S&P affirmed its 'CCC+' issue-level ratings on
Constellium's existing senior unsecured debt, including its
EUR300 million bond due 2021, its EUR240 million bond due 2023,
its $400 million bond due 2023, and its $400 million bond due
2024.  The recovery rating on these unsecured issues remains '5'.
S&P also affirmed its 'B+' issue-level rating on the company's
$400 million senior secured bond due 2021; the recovery rating on
that issue is '1'.

S&P also placed its 'CCC+' long-term corporate credit rating on
Wise Metals Intermediate Holdings LLC on CreditWatch with
positive implications.  Wise Metals is a U.S.-based aluminum can
sheet producer and fully owned subsidiary of Constellium N.V.

In addition, S&P affirmed its 'CCC+' issue-level rating, with a
recovery rating of '4', on the $650 million senior secured bond
due 2018, co-issued by Wise Metals Group LLC and Wise Alloys
Finance Corp., which S&P expects to be repaid.

Finally, S&P withdrew its 'CCC-' issue-level rating on the
$150 million PIK toggle notes co-issued by Wise Metals
Intermediate Holdings LLC and Wise Holdings Finance Corp., as
these notes have been repaid.  The recovery rating had been '6'.

These rating actions reflect S&P's view that Constellium is
currently addressing what S&P had viewed as unsustainably high
financial leverage at its subsidiary, Wise Metals, and it is
integrating Wise Metals' operations fully into the group
structure.  S&P takes into account the proposed refinancing of
Wise Metals' $650 million senior secured bonds due December 2018
through a $625 million senior unsecured bond offering at
Constellium N.V.  This follows the repayment of Wise Metals'
$150 million PIK toggle notes in November 2016. Wise Metals' ABL
facility terms are expected to be amended to allow for upstream
guarantees to the Constellium group.  S&P has also taken into
account the clarified operating strategy with Muscle Shoals, Wise
Metals' key plant, acting as a can sheet producer and substrate
provider to the 51%/49% U.S. joint venture with UACJ Corp.

For these reasons and because Wise Metals is not expected to
issue any further rated debt as a stand-alone entity, S&P placed
its credit rating on Wise Metals on CreditWatch positive.  This
signals that S&P will most likely align the rating with that on
Constellium before S&P withdraw all of the Wise Metals ratings at
the issuer's request.

S&P's 'B-' corporate credit rating on Constellium continues to
reflect the group's very high leverage (adjusted debt to EBITDA
of about 8x for 2016) and expected negative free cash flows in
the coming years.  The company has ambitious--though slightly
downsized--investment programs in all its business lines.  S&P
therefore do expect modest deleveraging (arising from EBITDA
growth as opposed to actual debt reduction) in the coming years,
translating to adjusted debt to EBITDA of about 7.5x in 2017 and
closer to 6x in 2018.  Over time, the current high leverage could
become unsustainable if operating profits do not improve in line
with S&P's expectations, supported by growth projects and
internal efficiency gains.

S&P has taken into account these mitigating factors:

   -- A significant portion of our base case capex relates to
      growth projects over which management retains flexibility
      on the amount and timing, though S&P views some of these
      investments as strategic.

   -- A material portion of our adjusted figures captures debt-
      like elements--such as pension obligations--that carry a
      different type of credit risk than bonds and bank loans, in
      S&P's view.

   -- The company still holds a large cash balance, which
      provides a liquidity cushion for planned investments or if
      any unexpected headwinds appear on the operating side, as
      S&P expects no major debt maturities before 2021 after the
      proposed bond issuance.

   -- S&P views the company's interest coverage ratios as fairly
      supportive relative to the level of gross debt, with
      adjusted EBITDA coverage of 2.5x-3x and adjusted FFO
      coverage of about 2.5x.

   -- S&P views Constellium's financial policy and active capital
      structure management as fairly protective from a credit
      standpoint.

Nevertheless absent a medium-term deleveraging trend, S&P would
most likely consider the leverage level as unsustainable, which
would be commensurate with a 'CCC+' credit rating.

S&P continues to view Constellium's business risk profile as
fair, supported by a track record of resilient profitability.
S&P views Constellium's three main business lines as largely
uncorrelated, given the diversified end market exposures (cans
for the beverage industry, auto-rolled products and sheets, and
aerospace products), which S&P believes generally benefit from
favorable, long-term substitution trends and supportive operating
efficiency. The increased share of the auto parts in group
volumes should continue to support total EBITDA per ton.  As a
product converter, Constellium is also fairly well protected from
volatility of aluminum prices and premiums.  Its profitability is
also supported by the company's cost-savings plans and
restructuring; this has been most notable at Wise Metals, the
EBITDA of which should reach about $88 million (US GAAP
standalone contribution) in 2016 compared to about $20 million in
2015.  S&P believes the business would be free cash flow positive
(including S&P's adjustments) if not for the EUR100 million
growth capex that S&P includes in its base case from 2017 and
over the rating horizon.

S&P's base case assumes:

   -- An aluminum price of $1,650/ton in 2017, 2018, and 2019;
   -- Revenue growth of 2% in 2017 and 2018;
   -- 3%-5% improvement in EBITDA per ton in 2017, depending on
      segments; and
   -- Capex of EUR275 million per year.

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

   -- Adjusted EBITDA (including operating lease and pension
      adjustment) of about EUR430 million-EUR440 million in 2017
      (including more than $100 million from Wise Metals, U.S.
      GAAP standalone) after an estimated EUR380 million in 2016;
   -- Adjusted debt to EBITDA of about 7.5x in 2017, after about
      8x in 2016, and further improving onwards; and
   -- Adjusted EBITDA interest coverage of 2.5x-3x.

The negative outlook reflects that S&P could lower the ratings if
the company's leverage becomes unsustainable over time in the
absence of improvement in operating profits and a progressive
recovery in free cash flow, after major investment programs have
been funded.  Larger-than-expected capex or longer payback
periods could impair free cash flow and leverage improvements.
S&P expects adjusted debt to EBITDA of about 7x in 2017,
improving toward 6x in 2018, levels which S&P would view as
commensurate with the rating.  Any shortfall in the liquidity
cushion could also trigger a downgrade.

S&P could revise the outlook to stable if Constellium delivers
better-than-expected EBITDA and free cash flows, such that
adjusted leverage improves toward 6x over the medium term.  A
positive rating action at this stage would likely require further
capital structure management.


OI SA: Two Dutch Units Won't Enter Bankruptcy Proceedings
---------------------------------------------------------
Ana Mano at Reuters reports that Oi SA said in a securities
filing a court in the Netherlands on Feb. 2 decided that two
subsidiaries of the debt-laden Brazilian phone carrier would not
start bankruptcy proceedings.

The filing confirmed a Reuters report that Oi Brasil Holdings
Cooperatief UA and Portugal Telecom International Finance BV,
would remain operating under "suspension of payments" legal
status.

Creditors had sought to convert the companies' status from
"suspension of payments" to bankruptcy proceedings, Reuters
relates.

Oi's two Dutch subsidiaries issued about EUR5.8 billion (US$6.2
billion) of debt, representing most of the company's outstanding
bond debt of approximately EUR8.5 billion, Reuters discloses.

                           About Oi SA

Headquartered in Rio de Janeiro, and operating almost exclusively
within Brazil, the Oi Group provides services like fixed-line
data transmission and network usage for phones, internet, and
cable, Wi-Fi hot-spots in public areas, and mobile phone and data
services, and employs approximately 142,000 direct and indirect
employees.

Ojas N. Shah filed a Chapter 15 petition for Oi S.A. (Bankr.
S.D.N.Y. Case No. 16-11791), Oi Movel S.A. (Bankr. S.D.N.Y. Case
No. 16-11792), Telemar Norte Leste S.A. (Bankr. S.D.N.Y. Case No.
16-11793), and Oi Brasil Holdings Cooperatief U.A. (Bankr.
S.D.N.Y. Case No. 16-11794) on June 21, 2016.  The case is
assigned to Judge Sean H. Lane.

The Chapter 15 Petitioner is represented by John K. Cunningham,
Esq., and Mark P. Franke, Esq., at White & Case LLP, in New York;
and Jason N. Zakia, Esq., Richard S. Kebrdle, Esq., and Laura L.
Femino, Esq., at White & Case LLP, in Miami, Florida.


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


WIELKOPOLSKA SKOK: Financial Regulator Fails to Find Buyer
----------------------------------------------------------
Konrad Krasuski at Bloomberg News reports that Poland's financial
regulator said in an e-mail it didn't find a buyer for troubled
credit union Wielkopolska SKOK.

According to Bloomberg, clients of Wielkopolska SKOK have the
right to get their deposits back from State Bank Guarantee Fund
to a maximum level of EU100,000.

Wielkopolska SKOK had 89,790 clients with PLN301.7 million in
deposits, Bloomberg discloses.



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


BANK DIB: Liabilities Exceed Assets, Assessment Shows
-----------------------------------------------------
The provisional administration of Bank DIB JSC appointed by Bank
of Russia Order No. OD-3260, dated September 26, 2016, due to the
revocation of its banking license, encountered a considerable
obstruction to its activity starting the first day of its
mandate, according to the press service of the Central Bank of
Russia.

In violation of law, the management of Bank DIB JSC failed to
submit to the provisional administration original loan agreements
and electronic operations database.

During the inspection of the financial standing of the credit
institution, the provisional administration has revealed
operations conducted by the bank's former management and owners
that bear evidence of moving out assets through providing loans
to shell companies and companies and individuals with dubious
solvency.

The provisional administration estimates that the assets of Bank
DIB JSC do not exceed RUR1.6 billion, while its liabilities to
creditors amount to RUR37.9 billion.

On December 7, 2016, the Court of Arbitration of the city of
Moscow ruled to recognize Bank DIB JSC as insolvent (bankrupt)
and initiate bankruptcy proceedings with the state corporation
Deposit Insurance Agency appointed as a receiver.

The Bank of Russia submitted the information on financial
operations bearing evidence of criminal offences of Bank DIB JSC
former management and owners to the Prosecutor General's Office
of the Russian Federation, the Russian Ministry of Internal
Affairs and the Investigative Committee of the Russian Federation
for consideration and procedural decision-making.


CB RAZVITIE: Liabilities Exceed Assets, Assessment Shows
--------------------------------------------------------
During the inspection of financial standing of CB Razvitie LLC,
the provisional administration of the credit institution,
appointed by Bank of Russia Order No. OD-3444, dated October 10,
2016, due to the revocation of its banking license, revealed that
the former management and owners might have withdrawn assets
through lending to shell borrowers and borrowers incapable of
honoring their liabilities in the total amount of RUR4 billion,
according to the press service of the Central Bank of Russia.

In addition, the provisional administration revealed that liquid
collateral on loan agreements in the amount of more than RUR2.8
billion was withdrawn from the bank shortly before the license
revocation.

The provisional administration estimates that the bank's assets
do not exceed RUR2.7 billion whereas its liabilities to creditors
stand at more than RUR5.5 billion, including more than RUR4.3
billion of liabilities to individuals.

On November 30, 2016, the Arbitration Court of the Karachay-
Cherkess ruled to recognize the bank as insolvent (bankrupt).
The state corporation Deposit Insurance Agency was appointed as a
receiver.

The Bank of Russia submitted the information on financial
transactions bearing the evidence of the criminal offence
conducted by the former management and owners of the bank, to the
Prosecutor General's Office of the Russian Federation, the
Ministry of Internal Affairs of the Russian Federation and the
Investigative Committee of the Russian Federation for
consideration and procedural decision making.


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


MBS BANCAJA 2: Fitch Affirms 'CCsf' Rating on Class F Notes
-----------------------------------------------------------
Fitch Ratings has upgraded MBS Bancaja 2's class D and E notes
and affirmed the remaining notes. Fitch has also affirmed MBS
Bancaja 7 and 8, as follows:

MBS Bancaja 2
Class A (ES0361795000) affirmed at 'AA+sf'; Outlook Stable
Class B (ES0361795018) affirmed at 'AA+sf'; Outlook Stable
Class C (ES0361795026) affirmed at 'AA-sf'; Outlook Stable
Class D (ES0361795034) upgraded to 'A+sf' from 'A-sf'; Outlook
Stable
Class E (ES0361795042) upgraded to 'BBBsf' from 'BB+sf'; Outlook
Stable
Class F (ES0361795059) affirmed at 'CCsf'; Recovery Estimate 90%

MBS Bancaja 7
Class A (ES0361746003) affirmed at 'A+sf''; Outlook Stable

MBS Bancaja 8
Class A (ES0361747001) affirmed at 'A+sf''; Outlook Stable

The three transactions are part of the MBS Bancaja series, which
is a series of Spanish prime MBS comprising loans serviced by
Bankia S.A. (BBB-/Stable/F3)

KEY RATING DRIVERS
Stable Credit Enhancement
The upgrade of MBS Bancaja 2's class D and E notes reflects the
stable credit enhancement and performance of the underlying
portfolio. An upgrade of the class A to C notes is constrained by
the Spanish Country Ceiling of 'AA+' and variable credit
enhancement due to the pro-rata amortisation feature.

The pro-rata amortisation allows junior and mezzanine notes to
amortise prior to senior notes subject to performance triggers
related to delinquent levels and fully funded reserve fund. As of
the November 2016 payment date, all triggers on MBS Bancaja 2's
class A to D notes were met; therefore the principal available
funds were entirely applied pro-rata between them. The class E
notes did not receive any principal repayment as the trigger with
regards to arrears over 90 days has not been met.

MBS Bancaja 7's and MBS Bancaja 8's credit enhancement has
improved, but their ratings are capped at 'A+sf' due to the
account bank replacement provisions set at 'BBB+'/'F'2. The
account is currently held at Banco Bilbao Vizcaya Argentaria
(BBVA; A-/Stable/F2).

Stable Credit Performance
As of October 2016, MBS Bancaja 2's performance had improved
compared to previous year, with delinquencies over three months
decreasing to 0.84% from 1.57% of the outstanding balance. MBS
Bancaja 7's and MBS Bancaja 8's performance has improved
significantly with the same arrears measure decreasing to 1.31%
from 2.71% and to 1.23% from 2.64%, respectively.

Commingling Exposure
Fitch believes MBS Bancaja 2 is exposed to a commingling loss of
around 50% of the monthly collections in the event of default of
the collection account bank. This is based on information
provided by the servicer, which indicates that borrower payments
are concentrated on a few particular dates of every month. The
agency has captured this additional stress in its analysis. A
dynamic commingling reserve of 1.5 times monthly payments is
posted in an eligible institution for MBS Bancaja 7 and MBS
Bancaja 8, hence the agency did not size for commingling risk.

Variation from Criteria
Fitch has reduced the magnitude of the foreclosure frequency
adjustment to broker-originated loans and foreign borrowers to
40% and 100%, respectively (from 200% in both cases). Broker-
originated loans and loans granted to foreign borrowers are
typically exposed to greater performance volatility than
traditional loans, but the large seasoning of the loans in scope
and their payment history over the past two years suggest some
resilience in periods of economic crisis.

Fitch has increased the foreclosure frequency by 150% to loans
secured by commercial properties, considering the weaker
performance of these assets compared with residential backed
mortgages.

In addition, Fitch has increased the foreclosure frequency for
loans subject to maturity extensions by 250% as such loans could
signal a weaker borrower profile. The transactions allow for
maturity extensions to a maximum of 10% of the initial portfolio
balance.

These calibrations are explained by the comparable performance
observed on broker-originated loans versus loans originated via
traditional channels, foreign borrowers versus Spanish borrowers
and residential backed mortgages versus commercial backed
mortgages, which has been possible via the loan-by-loan data
provided by the European Data Warehouse.

Adjustment for Income Data
Fitch has assumed a debt-to-income ratio of class 5 for loans
without income information provided. This affected 6.23% (MBS
Bancaja 2), 1.5% (MBS Bancaja 7) and 0.84% (MBS Bancaja 2) of the
outstanding balance.

RATING SENSITIVITIES
Deterioration in asset performance may result from economic
factors. A corresponding increase in new defaults and associated
pressure on excess spread and reserve funds, beyond Fitch's
assumptions, could result in negative rating action. Furthermore,
an abrupt shift of the underlying interest rates might jeopardise
the underlying loan affordability of the underlying borrowers.

The ratings are sensitive to changes in Spain's Country Ceiling
of 'AA+' and consequently changes to the highest achievable
'AA+sf' rating of Spanish structured finance notes.


===========
T U R K E Y
===========


ISTANBUL: Fitch Lowers LT FC IDR to 'BB+', Outlook Stable
---------------------------------------------------------
Fitch Ratings has downgraded the Metropolitan Municipality of
Istanbul's Long-Term Foreign Currency Issuer Default Rating (IDR)
to 'BB+' from 'BBB-' and its Short-Term Foreign Currency IDR (ST
FC IDR) to 'B' from ' F3'. The Outlook on the Long-Term IDR is
Stable. Fitch has affirmed Istanbul's Long-Term Local Currency
IDR at 'BBB-' and revised its Outlook to Stable from Negative and
affirmed its National Long Term rating at 'AAA(tur)' with a
Stable Outlook.

Under EU credit rating agency (CRA) regulation, the publication
of International Public Finance reviews is subject to
restrictions and must take place according to a published
schedule, except where it is necessary for CRAs to deviate from
this in order to comply with their legal obligations. Fitch
interprets this provision as allowing us to publish a rating
review in situations where there is a material change in the
creditworthiness of the issuer that Fitch believes makes it
inappropriate for us to wait until the next scheduled review date
to update the rating or Outlook/Watch status.

In this case the deviation was caused by the rating action on
Turkey's sovereign ratings on 27 January 2017. The next scheduled
review date for Istanbul is 24 February 2017.

KEY RATING DRIVERS
The downgrades and revision of the Outlook on the Long-Term Local
Currency IDR reflect the following key rating drivers and their
relative weights:

HIGH
Institutional Framework
Following the downgrade of Turkey's Long- and Short Term Foreign
Currency IDRs on 27 January 2017, Istanbul's Long- and Short-Term
Foreign Currency IDRs and Outlooks are equalised with those of
the sovereign. Local and regional governments usually cannot be
rated above the sovereign according to Fitch's International
Local and Regional Governments Criteria.

The centralised nature of Turkish local governments
(municipalities in general) is reflected in the close financial
linkage between the central government and the municipalities,
exposing them to the country's macro-economic performance and
policy and socio-economic conditions. Istanbul's ratings are
capped by the sovereign's ratings, and its IDRs aligned with
those of the sovereign, therefore its IDRs and Outlooks are
sensitive to any negative rating action on the sovereign's IDRs.

Fitch previously affirmed Istanbul's IDRs on 23 September 2016.

RATING SENSITIVITIES
An upgrade of the sovereign ratings could result in a similar
action on Istanbul's ratings. Furthermore, a reduction of foreign
currency exposure to below 35% of its outstanding debt, continued
financial strength and consistent management policies would be
positive for Istanbul's Long-Term IDRs.

Any negative rating action on Turkey would be mirrored by
Istanbul's ratings. Material deterioration of the city's debt
servicing capacity as a result of persistent financial
instability and further depreciation of the Turkish lira or a
deterioration of the budget deficit before debt to more than 15%
of total revenues (2015: 6.9%) could also prompt a downgrade,
although this is not Fitch's base case scenario.


TC ZIRAAT: Fitch Cuts Long-Term FC IDR to 'BB+', Outlook Stable
---------------------------------------------------------------
Fitch Ratings has downgraded the Long-Term Foreign Currency
Issuer Default Ratings (FC IDRs) of 18 Turkish banks and their
subsidiaries. The Long-Term Local Currency (LC) IDRs of 12 of the
banks have also been downgraded, while six have been affirmed.
The Outlooks on all of the banks are Stable.

The rating actions follow the downgrade of Turkey's Long-Term FC
IDR to 'BB+' from 'BBB-'. The bank downgrades reflect (i) a
weakening of the Turkish operating environment, and Fitch's view
that it is not appropriate to rate Turkish banks above the
sovereign based on their standalone strength; (ii) a reduction in
the likelihood that the sovereign will be able to provide support
to banks, in case of need; and (iii) the lower Country Ceiling,
implying an increase in transfer and convertibility risks.

At the same time, the banks' financial metrics remain largely
sound, as reflected in Viability Ratings (VRs) which are mostly
at, or close to, the level of the sovereign FC IDR, and the
Stable Outlooks reflect limited risks of further downgrades in
the near term.

KEY RATING DRIVERS

STATE-OWNED AND DEVELOPMENT BANKS - IDRS, NATIONAL RATINGS, DEBT
RATINGS, SUPPORT RATINGS, SUPPORT RATING FLOORS
The downgrades of the FC IDRs of T.C. Ziraat Bankasi A.S.
(Ziraat), Turkiye Halk Bankasi A.S. (Halk), Turkiye Vakiflar
Bankasi T.A.O. (Vakif), Turkiye Sinai Kalkinma Bankasi
A.S.(TSKB), Turkiye Kalkinma Bankasi A.S. (TKB) and Turkiye
Ihracat Kredi Bankasi AS (Turk Eximbank) to 'BB+' from 'BBB-',
follow the downgrade of Turkey's FC IDR.

The downgrades reflect the government's reduced ability - as
reflected in the downgrade of the sovereign's FC IDR - to provide
support to the banks. As a result, the banks' Support Rating
Floors (SRFs), which underpin their IDRs, have been revised
downwards to 'BB+' from 'BBB-'. The banks' Short-Term FC IDRs are
downgraded to 'B' from 'F3'. Fitch continues to believe that the
Turkish sovereign has a high propensity to support these banks,
but that its ability to provide support is only moderate
considering its level of net foreign currency reserves. As a
result, all six banks' Support Ratings have been downgraded to
'3' from '2'.

The SRFs of Ziraat, Halk and Vakif continue to reflect their (i)
state ownership (ii) policy roles (Ziraat, Halk) (iii) systemic
importance, and (iv) significant state-related deposits. The SRFs
of TSKB, TKB and Turk Eximbank reflect (i) the banks' policy
roles (ii) majority state ownership (TKB and Turk Eximbank) and
(iii) government support of the banks' funding profiles.

In addition to the revision of their SRFs, the downgrade of the
FC IDRs of Ziraat, Halk and Vakif are driven by the impact of the
weaker Turkish operating environment on their standalone credit
profiles - as reflected in the downgrade of their VRs to 'bb+'
from 'bbb-'.

The Long-Term LC IDRs of all six banks have been affirmed at
'BBB-' in line with the sovereign's LC IDR, reflecting the
stronger ability of the sovereign to provide support in local
currency versus in foreign currency.

AKBANK AND ISBANK - SUPPORT RATING FLOORS
The SRFs of Akbank T.A.S. (Akbank) and Turkiye Is Bankasi A.S.
(Isbank) have been revised downwards to 'B+' from 'BB-' and their
Support Ratings downgraded to '4' from '3'. This reflects the
sovereign's modest, and weaker, ability to provide support in FC
for the two privately-owned banks. The banks' SRFs continue to
take into account their systemic importance and market shares.

FOREIGN OWNED BANKS - IDRS, DEBT RATINGS, SUPPORT RATINGS,
NATIONAL RATINGS
The downgrade of the Long-Term FC IDRs of the foreign-owned
banks -- namely Turkiye Garanti Bankasi A.S., Yapi ve Kredi
Bankasi A.S. (YKB), ING Bank A.S. (INGBT), Turk Ekonomi Bankasi
A.S. (TEB), Finansbank A.S. (Finansbank), ICBC Turkey Bank A.S.,
Burgan Bank A.S., Alternatifbank A.S. (ABank), Kuveyt Turk
Katilim Bankasi A.S (Kuveyt Turk) and Turkiye Finans Katilim
Bankasi AS - reflects the downgrade of Turkey's Country Ceiling
to 'BBB-'. Turkey's Country Ceiling reflects transfer and
convertibility risks and limits the extent to which support from
foreign shareholders can be factored into the banks' Long-Term FC
IDRs.

The downgrades of the banks' Long-Term LC IDRs to 'BBB-' from
'BBB' reflect Fitch's view that continued parental support for
the banks would become more uncertain in a sovereign default
scenario.

The Stable Outlooks mirror that on the sovereign rating and the
limited likelihood of a change in the Country Ceiling in the near
term.

The affirmation of the 10 banks' Support Ratings at '2' reflects
Fitch's view that the banks' parents continue to have a strong
propensity to provide support, given the subsidiaries' ownership
structures, strategic importance, integration and, in some cases,
common branding.

VR OF ZIRAAT, HALK, VAKIF, GARANTI, YKB, TEB, FINANSBANK, AKBANK,
ISBANK; IDRS AND SENIOR UNSECURED DEBT RATINGS - AKBANK, ISBANK
The VRs of these nine banks have all been downgraded to 'bb+'
from 'bbb-' as a result of the weaker operating environment and
the negative impact this has on the prospects for their asset
quality and performance and the sufficiency of capital and
liquidity buffers. Fitch does not assign VRs to any Turkish banks
above the sovereign FC IDR due to their concentrated operations
in the Turkish market and typically high exposure to the Turkish
sovereign.

Of these banks, only Akbank and Isbank, which are privately-
owned, have IDRs driven solely by their VRs. The downgrades of
their IDRs and senior unsecured debt ratings are driven by the
downgrade of their VRs.

BANK SUBSIDIARIES
The IDRs of the banks' subsidiaries are equalised with those of
their respective parents, reflecting their strategic importance
to and integration with their shareholders. Downgrades of parent
ratings have therefore been reflected in downgrades of subsidiary
ratings.

The affected subsidiaries are: Garanti Faktoring A.S., Garanti
Finansal Kiralama A.S. (Garanti Leasing), Yapi Kredi Faktoring
A.S., Yapi Kredi Finansal Kiralama A.S. (Yapi Kredi leasing),
YapiKredi Yatirim Menkul Degerler A.S. (YK Investment), Finans
Finansal Kiralama A.S. (Finans Leasing), Alternatif Finansal
Kiralama AS (ALease), AK Finansal Kiralama A.S. (Aklease), Ak
Yatirim Menkul Degerler AS (Ak Investment), Akbank AG, Is
Faktoring A.S., and Is Finansal Kiralama A.S. (Is Leasing).

SUBORDINATED DEBT RATINGS - VAKIF, ISBANK, ABANK, KUVEYT TURK,
YKB
Vakif's and Isbank's subordinated debt ratings have been
downgraded to 'BB' from 'BB+', driven by the downgrade of their
VRs, which serve as anchor ratings for the subordinated debt
ratings.

The downgrades of the subordinated debt ratings of ABank, Kuveyt
Turk and YKB to 'BB+' from 'BBB-' reflect the downgrade of the
respective banks' FC IDRs. In Fitch's view, support from the
banks' owners would also likely extend to subordinated creditors,
but the subordinated debt ratings are one notch lower than senior
debt ratings to reflect weaker recovery prospects in case of
default.

NATIONAL RATINGS
The affirmation of all banks' and subsidiaries' National Ratings
with Stable Outlooks reflects Fitch's view that the
creditworthiness of the banks relative to each other and to other
Turkish banks has not changed materially as a result of the
sovereign rating action.

RATING SENSITIVITIES
The IDRs and debt ratings of all the entities covered in this
commentary are sensitive primarily to further changes in the
sovereign ratings and further weakening of the operating
environment.

In addition, the following factors could result in rating
downgrades: (i) for foreign-owned banks: a marked weakening of
the ability or propensity of parent institutions to provide
support; (ii) for Akbank and Isbank: a significant weakening of
their standalone credit profiles, as reflected in their VRs;
(iii) for Ziraat, Vakif and Halk: IDRs would be downgraded only
in case of both weaker sovereign support prospects and a
downgrade of the banks' VRs; (iv) for subsidiaries: a change in
their parents' ratings or a change in the ability or propensity
of parent banks to provide support.

Upgrades of any of the banks' IDRs are unlikely without an
upgrade of the Turkish sovereign.


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


KREDOBANK: S&P Affirms 'CCC+/C' Counterparty Credit Ratings
-----------------------------------------------------------
S&P Global Ratings said that it has affirmed its 'CCC+/C'
long- and short-term counterparty credit ratings and 'uaBB-'
Ukraine national scale rating on Ukraine-based PJSC KREDOBANK
(Kredobank).

S&P subsequently withdrew its ratings on Kredobank at the bank's
request.

The outlook was positive at the time of withdrawal.

The affirmation reflects the bank's status as moderately
strategic for its parent, Powszechna Kasa Oszczednosci Bank
Polski S.A. (PKO Bank), its better-than-average asset quality in
the Ukrainian banking sector, and its reasonable financial
performance amid market instability.  S&P expect the parent bank
to be able to provide support to the Ukrainian subsidiary in case
of need.

At the time of withdrawal, the outlook was positive.  The outlook
reflected the bank's stronger resilience against the current weak
macroeconomic conditions in Ukraine than domestic peers, its
ability to maintain stronger asset quality than its peers, and
its ongoing support from the parent bank.

At the time of withdrawal, no debt instruments issued by the bank
were rated by S&P Global Ratings.


PRIVATBANK: Redirects Creditors' Claims to NBU, Deposit Fund
------------------------------------------------------------
Interfax-Ukraine reports that PrivatBank (Dnipro) denies claims
of creditors liabilities of which were exchanged to additionally
issued shares during the nationalization of the bank.

"It is no secret that temporary administration [the Individuals
Deposit Guarantee Fund] jointly with the National Bank of Ukraine
(NBU) conducted the bail-in transaction when some passives
affiliated with former shareholders as the NBU thinks were
transferred to capital and set to nil.  The bank's eurobonds were
included in this pool, which, of course, caused indignation of
investors, as they do not understand this logic.  We arranged
with the NBU that we [new managers] take this bank without these
eurobonds.  It is not the issue of the bank to comment on this
problem," Interfax-Ukraine quotes PrivatBank Board Chairman
Oleksandr Shlapak as saying at a press conference in Kyiv on
Feb. 2.

According to Interfax-Ukraine, he said that the NBU and Deposit
Guarantee Fund will give all explanations on all transactions
linked to bail-in.

Mr. Shlapak confirmed that UK SPV Credit Finance Plc remained in
ownership of the bank after its nationalization, Interfax-Ukraine
notes.


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


FERROGLOBE PLC: Fitch Assigns 'B-(EXP)' LT Issuer Default Rating
----------------------------------------------------------------
Fitch Ratings has assigned Ferroglobe PLC an expected Long-Term
Issuer Default Rating (IDR) of 'B-(EXP)'. Fitch has also assigned
a 'B+(EXP)' senior unsecured rating and an 'RR2' Recovery Rating
to the proposed unsecured notes to be co-issued by Ferroglobe and
Globe Specialty Metals, Inc., Ferroglobe's US subsidiary. Both
the expected IDR and the senior unsecured bond rating have been
placed on Rating Watch Positive (RWP).

Fitch will assign final ratings following the successful
conclusion of Ferroglobe's ongoing refinancing that includes a
planned USD350 million, five-year notes placement, a change of
the terms of the existing USD200 million secured revolving credit
facility (RCF) and repayment of most existing debt at the
subsidiary level. The expected ratings have been assigned
following a review of the draft documentation provided by
Ferroglobe.

The RWP is pending the disposal of Spanish hydroelectric assets
for around EUR255 million. The potential rating upgrade is
limited to one notch only, for both the IDR and the senior
unsecured rating.

The bond is to be guaranteed by opcos representing around 75% of
the group's assets at 30 September 2016 and roughly 88% of the
group's revenues in 9M16 (excluding two JVs with Dow Corning
Inc.), pro-forma for the Spanish hydro power assets sale. Fitch
assumes that the percentage of revenue earned by bond guarantors
broadly corresponds to the percentage of their EBITDA in total
group's EBITDA.

KEY RATING DRIVERS
Performance Set to Improve: Ferroglobe's adjusted EBITDA margin
was 5% in 9M16, down from the average 15% in 2011-2015 due to
sharply lower product prices amid increasing competition. Its
funds from operations (FFO) fell to a negative USD22 million in
9M16 (adjusted by a USD32.5 million shareholder settlement) from
USD151 million in FFO generated by Grupo FerroAtlantica in 2014.
As a result, Ferroglobe had high FFO-adjusted gross leverage in
2015 and projected 2016 leverage was well in the distressed
rating category. The company was in breach of certain loan
covenants at 30 September 2016 (for which it obtained waivers)
and is expected to have been non-compliant at end-2016 (for which
it obtained waivers in advance).

Ferroglobe is responding with cost-cutting and disposals - in
December 2016 it signed a sales-purchase agreement (SPA) for
Spanish hydroelectric assets for USD165 million in net proceeds.
Although product prices have started to improve recently (for
example, manganese alloys prices were up by over 50% in 4Q16) and
should continue improving in 2017-2020, the sector profitability
would likely to remain below the 2014 levels due to abundant
production capacity and low-cost imports.

Based on Fitch conservatives assumptions on gradual product price
recovery and improving profitability in 2017 and beyond, Fitch
assess Ferroglobe's credit profile as commensurate with the
medium 'B' rating category, assuming that it receives the full
amount for the Spanish hydroelectric assets.

Leading Western Silicon Producer: Fitch assess Ferroglobe's
operational profile as commensurate with the middle-'BB' rating
category. Its 26 plants have a gross capacity of nearly 1.2m tons
of silicon metal, silicon-based and manganese-based alloys and
are located mainly in the US and Europe. For 9M16, Europe and
North America accounted for 85% of the company's USD1.2 billion
total sales, with silicon metal accounting for half of the total.

Ferroglobe's customer base is reasonably well diversified across
steel, aluminium and chemical sectors. Self-sufficiency in key
raw materials (the company has the resources to be 45% self-
sufficient, excluding electricity) supports the company's
competitive position.

Expected Dividend Payouts Moderate: NASDAQ-listed Ferroglobe
remains majority-owned by Spain's Grupo Villar Mir (Grupo VM), an
indebted privately held Spanish conglomerate. In 2013-9M16, Grupo
FerroAtlantica and Ferroglobe, excluding dividends paid by GSM
before the merger, paid USD130 million in dividends, including
USD63 million in 2015-9M16, despite a reported net loss
attributable to the parent of nearly USD73 million during this
period (its operating income before impairment was USD203
million).

Ferroglobe and its sister company Obrascon Huarte Lain SA (OHL,
B+/Negative), in which Grupo VM has a 52% stake, are the main
sources of dividends for Grupo VM. Although the bond
documentation contains covenants on dividends, Fitch believes
that the company is allowed to pay out large amounts as long as
it is not in default. Fitch therefore expects Ferroglobe to
continue paying significant dividends in 2017-2020. In the
context of the business' ongoing financial performance Fitch
views the issuer's cash distributions to shareholders as a
constraint on the rating.

Refinancing Improves Debt Profile: Ferroglobe is actively
pursuing debt refinancing that includes issuing a USD350 million
five-year unsecured bond, to be co-issued by holdco and GSM, and
amending the USD200 million secured RCF co-issued by holdco and
GSM that should replace substantially all existing debt at the
opco level. The expected rating indicates reflects the company's
refinancing, which if successful would significantly improve
Ferroglobe's liquidity and debt maturity profile.

Fitch has assigned a two-notch uplift to the senior unsecured
rating for the planned USD350 million notes from the IDR, based
on 'RR2' recoveries in a liquidation scenario. The two-notch
uplift should remain in place after the RWP is resolved.

DERIVATION SUMMARY
Ferroglobe, a leading western producer of specialty alloys, has
been hurt by falling prices for its products in 2015-9M16 that
resulted in a sharp deterioration of its profitability and cash
flows. Poor cash flow generation and high dividend payments led
to high funds from operations (FFO) adjusted gross leverage at
end-2015 that reached distressed levels at end-2016. The company
has reverted to disposals and debt refinancing that it is
planning to complete in 2017. With improving prices for its
products and following the successful completion of the agreed
disposals and refinancing, Ferroglobe fares well with B-rated
EMEA peers.

KEY ASSUMPTIONS
Fitch's key assumptions within Fitch rating case for the issuer
include:
- Average 2017-2020 realised Ferroglobe prices for silicon
metal, silicon-based alloys and manganese-based alloys of
USD2,350/t, USD1,450/t and USD1,000/t, respectively;
- Low single-digit average annual growth in volumes of metals
sold;
- Prices of main raw materials in line with management's
expectations;
- Working capital release to have ended in 2016 as revenue
starts increasing in 2017;
- Capex and dividends averaging USD128 million in 2017-2020;
- Net proceeds from sale of Spanish hydroelectric assets of
USD165 million after finance lease repayment.

RATING SENSITIVITIES
Future Developments That May, Individually or Collectively, Lead
to Positive Rating Action
- Sustained improvement in product prices and EBIT margin at 6%.
- Sustained FFO adjusted gross leverage of 4x and below through
the cycle.
- Completion of Spanish hydroelectric assets sale for the
consideration agreed and use of the proceeds largely for debt
repayment by 30 June 2017.

Future Developments That May, Individually or Collectively, Lead
to Negative Rating Action
- Failure to complete the refinancing and improve liquidity and
debt maturity profile.
- Continuing weakness in product prices and EBIT margin at below
2% on a sustained basis
- Sustained FFO adjusted gross leverage of 6x and above through
the cycle.
- Higher-than-expected dividend payout or sustained negative
free cash flows (FCF).

LIQUIDITY
Liquidity Depends on Refinancing: At end-September 2016,
Ferroglobe had USD372 million of short-term debt and USD119
million of cash. The short-term debt includes a USD125 million
loan due in 2018, for which covenants were breached on 30
September 2016. Additionally, Ferroglobe would need to fund
around USD80 million of negative FCF over the next 12 months,
according to Fitch's projections. The company's liquidity was
supported by undrawn committed credit facilities of around USD207
million as of late December 2016.

In December 2016, Ferroglobe's subsidiary FerroAtlantica, S.A.
borrowed nearly EUR72 million from the Spanish government for its
solar grade silicon development project. The company has until 30
June 2018 to decide on whether to proceed with the project. Fitch
views this cash restricted as the Board of Directors'
authorisation is needed to use the funds.

A successful bond issue and the sale of Spanish hydroelectric
assets should provide Ferroglobe with sufficient funds to repay
all its current debt. This will significantly improve
Ferroglobe's liquidity and extend average debt tenor to roughly
five years, reducing refinancing needs.


NEMEAN BIDCO: Moody's Assigns B1 CFR, Outlook Stable
----------------------------------------------------
Moody's Investors Service has assigned a definitive B1 Corporate
Family Rating (CFR) to Nemean BidCo Limited (Nemean). Moody's has
also assigned a definitive B1 rating to the GBP275 and GBP150
million senior secured notes maturing in 2024 and 2023,
respectively issued by Nemean BondCo plc (BondCo) on 20 January,
which are guaranteed by the parent, Nemean BidCo Limited. The
outlook is stable for both issuers.

The rating action confirms the provisional ratings of Nemean and
the rating on the debt issued by its subsidiary BondCo, which the
agency assigned on 16 January 2017. The final terms and
conditions of the notes, issued on 20 January 2017, are in line
with the draft documentation reviewed for the provisional ratings
assigned on 16 January 2017.

RATINGS RATIONALE

NewDay is a consumer finance provider, established in 2001,
specialising in the credit card market and exclusively operating
in the UK. NewDay focuses on two core market segments. The first
segment is near-prime customers, who are served with own-brand
credit cards marketed directly to consumers that find it
difficult to open a credit card account with a mainstream
provider either because they lack a credit history, are on a low
income, are self-employed or are trying to restore their credit
score. The second segment comprises prime customers which are
served with co-branded credit cards for which NewDay partners
with large high street and online retailers.

The CFR of B1 is supported by NewDay's defendable franchise yet
modest market share in the credit card sector, adequate corporate
governance and management quality, solid risk management
practices as well as strong earnings generation capacity. Moody's
also considers that the rating is constrained by the firm's
monoline business model, its negative tangible common equity
(TCE) on tangible managed assets (TMA) ratio, material key
relationship concentration in the co-brand business, full
reliance on wholesale funding and weak asset quality metrics
reflecting its focus on the near prime segment.

With approximately 2.3% market share in the UK credit card market
(7.2% and 26% in the near-prime and co-brand segment
respectively), NewDay can be considered a marginal player.
However Moody's believes that the company has a defendable
position in the co-brand credit and store cards segment and a
long track record in the near-prime sector. These elements,
combined with the high barriers to entry that characterize the
sector, should help the company to maintain its position in the
market.

NewDay's success depends on the ability to correctly price the
risks it takes, since its lending is not collateralized. As such,
a robust risk management system is necessary. Moody's believes
that the company has satisfactory risk management and monitoring
practices that have further improved over the last two years and
the agency takes comfort from the Financial Conduct Authority's
supervision.

NewDay has the ability to generate strong profits over the next
couple of years owing to a strengthening of its organizational
structure over the past years, improved contractual terms in the
co-brand segment and relatively low funding costs. Moody's
expects NewDay to increase its focus on the near-prime segment
over the next years, owing to exiting or reducing business levels
by its main competitors and favourable market conditions and
operating environment. This strategy should further support
profitability. These factors are partly offset by the following
risks. First, NewDay is a monoline and as such is characterized
by significant earnings concentration. Should for any reason its
lending business be disrupted, the company's prospects could
deteriorate. Secondly, its size is relatively limited compared to
the other players in a market which is characterised by high
volumes. This makes NewDay more sensitive to aggressive
competitive strategies of larger players should these
materialise.

The company's CFR is primarily constrained by its weak capital
position: following the transaction and because of the large
amount of goodwill generated, according to the agency's
calculations, the firm's TCE over TMA ratio should go down to -8%
from 3% of end-2015. Although Moody's believes that, in a
bankruptcy scenario, a negative TCE ratio would imply larger
losses for bondholders, a negative TCE ratio is compatible with a
B1 CFR for several reasons. Although the company does lending,
the duration of its receivable book is short, with an average
maturity of two to three years. Credit card issuers and, more in
particular companies that deal with near prime and subprime
customers, are characterized by very high risk adjusted margins,
which are the first line of defense against credit losses.
Despite the reduction in UK base rates, margins have been
relatively stable. Finally, Moody's expects that the TCE ratio
should turn positive in two years.

NewDay's funding structure is relatively simple and largely based
on secured medium term funding. The liquidity risk management is
comparatively sophisticated and Moody's consider its stress
testing framework as satisfactory. These elements only partly
mitigate the full reliance on wholesale funding, which is
confidence-sensitive, especially for a company which operates in
an inherently risky business.

As of end-2015, NewDay reported a 9.7% problem loans over gross
loans ratio. While this indicates weak asset quality, Moody's
believes that charge-off rates are more meaningful to assess
NewDay's risk profile. Positively, the co-brand prime book has a
charge off rate which is in line with the larger players in the
sector and with Moody's UK Credit Card benchmark. On the other
hand, the charge-off for the near prime portfolio is much higher,
although the price applied to these products reflects the higher
risk. The agency thinks that the strongest protection for the
deterioration in the credit card receivables book is in solid
underwriting criteria, effective risk pricing and a disciplined
risk management framework and, over the last two years, NewDay
has showed an improvement in all these factors. However Moody's
cautions that maintaining strong pre-provision profitability is
essential to mitigate against the high charge off rate coming
from the near prime book.

RATIONALE FOR THE STABLE OUTLOOK

The outlook on Nemean and BondCo's ratings is stable, reflecting
the company's earnings prospects and the agency's expectation
that the company will improve its solvency profile.

WHAT COULD CHANGE THE RATINGS UP/DOWN

Nemean's CFR could be upgraded owing to: (1) an increase in
earnings diversification; (2) a decrease in key relationship
concentrations; (3) improvement in asset quality metrics; and (4)
improvement in its TCE ratio, going up to 4%.

The rating could be downgraded due to: (1) higher than expected
deterioration in asset quality; (2) material reduction in
capitalisation; (3) a not anticipated decline in profitability;
and (4) indications of weaker risk management standards.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Finance
Companies published in December 2016.

LIST OF ASSIGNED RATINGS

Issuer: Nemean BidCo Limited

--  LT Corporate Family Rating, Assigned B1 Stable From (P)B1

Issuer: Nemean BondCo plc

-- BACKED Senior Secured Regular Bond/Debenture, Assigned B1
Stable From (P)B1

Outlook Actions:

Issuer: Nemean BidCo Limited

-- Outlook, Remains Stable

Issuer: Nemean BondCo plc

-- Outlook, Remains Stable


ODEON & UCI: Moody's Withdraws B3 Corporate Family Rating
---------------------------------------------------------
Moody's Investors Service has withdrawn the B3 corporate family
rating and B3-PD probability of default rating of Odeon & UCI
Bond Midco Limited.

The Ba3 rating on Odeon & UCI's GBP90 million senior secured
revolving credit facility due May 2017 has also been withdrawn.
The B3 ratings on the GBP300 million and EUR200 million senior
secured global notes due in 2018 were previously withdrawn
following repayment of the notes. At the time of withdrawal, all
the aforementioned ratings carried a stable outlook.

RATINGS RATIONALE

Moody's has withdrawn the ratings following the acquisition of
Odeon & UCI by AMC Entertainment Inc. (B1 rating under review)
and subsequent repayment of all outstanding rated facilities.

Moody's has withdrawn the ratings for its own business reasons.

Headquartered in London, UK, Odeon & UCI is a leading
international cinema operator.


PREMIER OIL: Reaches Deal to Reset GBP2.8-Bil. Debt Pile
--------------------------------------------------------
Jillian Ambrose at The Telegraph reports that Premier Oil has
agreed a deal to reset its GBP2.8 billion of debt after nine
months of complex negotiations with its lenders.

According to The Telegraph, the long-awaited deal hits the reset
button for the struggling North Sea explorer by relaxing the debt
covenants that loomed over the company during a two-year oil
market downturn that wiped 80% from its market value.

The agreed terms also guarantee a US$4 billion debt facility for
the next four years and push its maturities out to 2021, allowing
the explorer to move ahead with developing projects that hold a
potential 700 million barrels of oil reserves, The Telegraph
discloses.

Premier Oil is a London-based oil and gas explorer.


TESCO PLC: S&P Affirms 'BB+' Long-Term CCR on Booker Merger
-----------------------------------------------------------
S&P Global Ratings said that it affirmed its 'BB+' long-term
corporate credit rating on U.K.-based grocery retailer Tesco PLC.
At the same time, S&P affirmed its 'B' short-term rating on
Tesco. The outlook is stable.

Tesco's management recently announced that the company agreed the
terms of a share and cash merger with a leading U.K. food
wholesaler Booker PLC; and that it will recommence paying
dividends in the financial year to February 2018.

S&P also affirmed the 'BB+' long-term issue rating on Tesco's
senior unsecured debt.  The recovery rating on this debt is '3',
indicating S&P's expectation of meaningful recovery (50%-70%) in
the event of a payment default.

The affirmation reflects S&P's view that, given Tesco's and
Booker's leading positions in their respective segments of the
U.K. food market, their advanced e-commerce capabilities, and
combined scale underpinning strong purchasing power, the proposed
merger is positive for the business in the long term.  At the
same time, S&P considers Booker's food wholesale business as
inherently more competitive and low-margin, and its earnings more
volatile. Earnings volatility is exacerbated by the material
share of revenues generated from the sale of tobacco products,
which have been in secular decline since new regulation was
introduced in May 2016.  In addition, S&P believes that, in the
short term and for the full year after the merger is completed,
Tesco's profitability will be constrained by the execution risks
related to both its cost optimization strategy and integration
with Booker.

S&P considers that Tesco's announced resumption of dividends is
unfavorable for the company's short-term credit quality, as the
group's credit metrics are already weakened by a spike in its
tax-adjusted pension deficit to GBP5.9 billion as of Aug. 26,
2016, from GBP3.2 billion as of Feb. 27, 2016.  Notwithstanding
Tesco's improvement in operating performance over recent
quarters, structural changes and competitive pressures that Tesco
is facing in the U.K. market will continue to challenge the
group's financial flexibility and its ability to expand headroom
under its credit metrics in the next 24 months.

On a pro forma combined basis, Booker's contribution to S&P
Global Ratings-adjusted metrics was not very material in
financial-year 2016 (ending February for Tesco and March for
Booker).  For example, adjusted EBITDA would have totaled GBP3.76
billion, funds from operations (FFO) GBP2.59 billion, and debt
GBP17.1 billion. This translates to a debt-to-EBITDA ratio of
4.6x (compared with 4.8x for Tesco stand-alone), FFO to debt of
15.1% (Tesco alone: 14.3%), and free operating cash flow (FOCF)
to debt of 12.3% (Tesco alone: 11.4%).  At the same time, the
adjusted EBITDA margin on a combined basis would have been 6.4%
in financial 2016, compared with 6.5% for Tesco.  S&P anticipates
that Tesco would maintain a 6.5%-7% margin over the medium term
on a stand-alone basis.

Tesco has announced a gradual increase in capital expenditure to
GBP1.4 billion annually from GBP1.0 billion in financial 2016.
Alongside the resumed dividend payments, this could prevent Tesco
from gaining more comfortable headroom under its credit metrics,
which are already weakened by the increase in pension deficit.
At the same time, the improvement in the company's profitability
and cash generation over recent quarters, added to the future
contribution from the cash-generative Booker business, would
mitigate long-term pressure on the credit metrics.  Metrics would
also be supported by the smooth navigation of Tesco's cost-
rationalization program and integration with Bookers.

The merger will increase the combined business' exposure to the
U.K. food market, which S&P expects to remain highly competitive
for retailers and wholesalers.  S&P anticipates that tough
competition and price pressures in the U.K. from both traditional
and discount retailers could suppress any benefits from various
management strategies oriented toward improving trading
performance.  Accordingly, S&P anticipates that Tesco's
profitability will continue to remain under pressure as market
competition in the U.K. remains high.

S&P's business risk assessment is supported by the group's
competitive advantage stemming from its commanding 28% share of
the U.K. grocery retail market, which would be further enhanced
by Booker's solid position in the cash and carry segment.  S&P
considers Tesco's strong position in the fast-growing U.K. online
retail market and the diversity of the format of its outlets
would benefit from vertical integration with Booker and enhance
Tesco's ability to reach out to the convenience market segment.
Tesco also benefits from its presence in Southeast Asia and
Eastern Europe, where it holds strong market positions and which
generated about 29% of operating income in financial 2016.

On a pro forma combined basis, S&P forecasts that in the
financial year ending Feb. 28, 2018, Tesco and Booker will
generate adjusted EBITDA of just over GBP4 billion.  This will
likely result in adjusted debt to EBITDA of about 4.5x-5x and
adjusted FFO to debt of 12%-15%.  At the same time, the EBITDAR
coverage ratio will stay at about 2.3x, comparable to financial
2016.  These metrics take into account the retailers' sizable
debt on a lease- and pension-adjusted basis.  In particular, S&P
includes about GBP8.0 billion of additional debt and about
GBP1.35 billion of additional EBITDA to reflect operating leases
for the two combined businesses, and assume that the pension
deficit will remain at GBP5.9 billion. In our estimate of
adjusted debt, S&P deducts about GBP1.5 billion surplus cash, and
GBP9.7 billion liabilities related to Tesco Bank operations.

S&P's base case assumes:

   -- Moderate U.K. real GDP growth, forecast to be 1.8% in 2016
      and 1.0% in 2017, with consumer price inflation of 0.7% in
      2016 and 2.0% in 2017, stemming from the weakening
      sterling, some of which will be passed on to consumers and
      suppliers.  Modest like-for-like sales growth in the U.K.
      for financial years 2017 and 2018, in line with the trend
      in the past four quarters.  S&P expects the positive
      momentum in operating performance to continue, as
      underpinned by management's efforts to continue
      streamlining the cost base and to focus on higher-growth
      segments of the market and a higher-margin product mix.
      Overall, S&P anticipates the group's reported top line will
      grow by about 0.5%-1.5% annually, with further contribution
      from full-year Booker sales of about GBP5.4 billion in
      financial 2018.

   -- S&P forecasts that adjusted EBITDA margins will remain
      around 6.5%-7.0% over financial 2017 and financial 2018,
      with the group's focus on managing fixed costs offsetting
      the effects of ongoing and intense pricing competition, as
      well as the impact of rising labor costs and unfavorable
      foreign currency effect on input costs.

   -- Capital expenditure (capex) of up to GBP1.5 billion
      annually (up to GBP1.4 billion for Tesco alone).

   -- Modest dividend of up to GBP100 million in financial 2018.
      Positive discretionary cash flows (DCFs) in financial 2017
      and 2018.

Based on these assumptions, S&P forecasts these credit measures
over the financial years 2017 and 2018:

   -- An adjusted debt-to-EBITDA ratio of about 5x in financial
      2017, improving toward 4.5x in 2018 as a result of the
      improvement in Tesco's underlying trading performance and
      the merger with Booker in financial 2018;

   -- An adjusted FFO-to-debt ratio of about 12.5% for financial
      year 2017, improving toward 15% in financial 2018; and

   -- An EBITDAR coverage ratio of 2x in financial 2017, rising
      to 2.3x in financial 2018.

The stable outlook reflects S&P's expectation that, over the next
12 months, Tesco's management will make progress in implementing
recently launched operational and strategic initiatives to
support growth in absolute EBITDA and cash flows, and offset the
impact of recommencing dividends.  S&P estimates that the group
will maintain an adjusted debt-to-EBITDA ratio of less than 5x
and an FFO-to-debt ratio of more than 12%.  In S&P's view,
despite the continued tough trading conditions, the group should
be able to maintain its standing as the largest food retailer in
the U.K. and keep its adjusted EBITDA margins at consistently
more than 6%.

S&P could lower the ratings on Tesco if earnings and cash
generation were insufficient to support adjusted debt reduction
over the next 12 months.  This could result in adjusted debt to
EBITDA reverting to more than 5x and adjusted FFO to debt falling
to below 12%.

Rating constraints could also arise from the group pursuing a
more aggressive financial policy, with dividends consuming most
of the generated operating cash flow leading to weakening of
credit metrics.  A negative rating action could also follow if,
as a result of unrelenting competitive pressures, Tesco were
unable to stabilize its market share, its operating performance,
and its profitability.

S&P could raise the ratings on Tesco if management executes
further credit-enhancing operational improvements and financial
policies to reduce debt and strengthen credit metrics.  To have a
positive credit impact, these targeted debt reduction measures
would have to contribute to a sustainable improvement in Tesco's
credit metrics.  S&P considers an adjusted FFO-to-debt ratio
sustainably higher than 20% and an adjusted debt-to-EBITDA ratio
of sustainably less than 4x as commensurate with a higher rating,
absent any material weakening of Tesco's market positions or
profitability.


TOWD POINT 2017: Moody's Assigns (P)Ba2 Rating to Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
following classes of notes to be issued by Towd Point Mortgage
Funding 2017 - Auburn 11 plc:

-- GBP [*] Class A1 Mortgage Backed Floating Rate Notes due [*],
Assigned (P)Aaa (sf)

-- GBP [*] Class A2 Mortgage Backed Floating Rate Notes due [*],
Assigned (P)Aaa (sf)

-- GBP [*] Class B Mortgage Backed Floating Rate Notes due [*],
Assigned (P)Aa2 (sf)

-- GBP [*] Class C Mortgage Backed Floating Rate Notes due [*],
Assigned (P)A1 (sf)

-- GBP [*] Class D Mortgage Backed Floating Rate Notes due [*],
Assigned (P)Baa2 (sf)

-- GBP [*] Class E Mortgage Backed Floating Rate Notes due [*],
Assigned (P)Ba2 (sf)

The Class Z Mortgage Backed Notes, the Senior Deferred
Certificate, the Deferred Certificate 1 and the Deferred
Certificate 2 have not been rated by Moody's.

This transaction is the latest securitisation of Capital Home
Loans Limited ("CHL", not rated), and the sixth under the "TPMF"
label. The portfolio consists of UK first lien home loans,
predominantly buy-to-let, originated by CHL. The loans were
previously securitised in Auburn Securities 3 plc, Auburn
Securities 6 plc or Auburn Securities 7 plc and, immediately
prior to the sale by CHL to the Issuer, they were beneficially
owned by Auburn Warehouse Borrower 2 Limited. Subject to certain
conditions the final pool will comprise approximately GBP[1,646]
million of loans and the portfolio will be serviced by CHL.

RATINGS RATIONALE

The rating of the notes take into account, among other factors:
(1) the performance of the previous transactions originated by
CHL; (2) the credit quality of the underlying mortgage loan pool,
(3) legal considerations (4) the initial credit enhancement
provided to the senior notes by the junior notes and the reserve
fund and (5) the low level of excess spread causing a deferral of
interest for Class D and E in certain loss scenarios.

-- Expected Loss and MILAN CE Analysis

Moody's determined the MILAN credit enhancement (MILAN CE) and
the portfolio's expected loss (EL) based on the pool's credit
quality. The MILAN CE reflects the loss Moody's expects the
portfolio to suffer in the event of a severe recession scenario.
The expected portfolio loss (EL) of 2.5% and the MILAN CE of
14.0% serve as input parameters for Moody's cash flow and
tranching model, which is based on a probabilistic lognormal
distribution.

The key drivers for the MILAN CE, which is lower than the UK buy-
to-let sector average of ca. 14.7% and is based on Moody's
assessment of the loan-by-loan information, are (1) the weighted-
average current loan-to-value (LTV) of [82.8]%, which is higher
than the LTV observed in other comparable UK BTL transactions;
(2) the historical performance of the pool (more than [87]% of
the pool are loans that have never been in arrears); (3) the
weighted-average seasoning of [9.9] years; (4) the proportion of
interest-only loans ([98.6]%) ; and (5) the benchmarking with
other UK BTL RMBS transactions as well as with the previous
transactions of CHL.

The key drivers for the portfolio's expected loss, which is
higher than the UK buy-to-let sector average of ca. 1.7% and is
based on Moody's assessment of the lifetime loss expectation are:
(1) the performance of the seller's previous transactions as well
as the performance of the seller's book; (2) benchmarking with
comparable transactions in the UK BTL RMBS market; and (3) the
current economic conditions in the UK.

-- Operational Risk Analysis

CHL is the contractual servicer. A back-up servicer (Homeloan
Management Limited ("HML" not rated)) and back-up servicer
facilitator (Wilmington Trust SP Services (London) Limited (not
rated)) will be appointed at closing. The backup servicer is
required to step in within 60 days and perform the duties of the
servicer if, amongst other things, the servicer is insolvent or
defaults on its obligation under the servicing agreement.

CHL will also act as cash manager. A back-up cash manager (Elavon
Financial Services DAC (Aa2/P-1)) will be appointed at closing.

The collection account is held at Barclays Bank PLC ("Barclays")
(A1/P-1/A1(cr)). There is a daily sweep of the funds held in the
collection account into the transaction account. In the event
Barclays rating falls below Baa3 the collection account will be
transferred to an entity rated at least Baa3. The issuer account
is held at Elavon Financial Services DAC (Aa2/P-1) with a
transfer requirement if the rating of the account bank falls
below A3.

-- Transaction structure

There is no Liquidity Reserve Fund in place at closing. Following
the step up date (3 years from closing) the Liquidity Reserve
Fund will start to build up to 1.65% of the Class A outstanding
balance and can be used to pay senior fees and interest on class
A. Prior to the step up date liquidity is provided via a 365 day
revolving Liquidity Facility equal to 1.65% of the Classes A1 and
A2 Notes (together "Class A" Notes) outstanding balance provided
by Wells Fargo Bank, National Association, London Branch (Wells
Fargo Bank, N.A (Aa1/P-1/Aa1(cr)). At closing, the Liquidity
Facility provides approx. 2.8 months of liquidity to the Class A
assuming Libor of 5.7%. Principal can be used as an additional
source of liquidity to meet shortfall on senior fees and interest
on the most senior outstanding class. In addition, Moody's notes
that unpaid interest on the Class B, C, D and E is deferrable.
Non-payment of interest on the Class A notes constitutes an event
of default.

Interest on the Class B, Class C, Class D and Class E notes is
subject to a Net Weighted Average Coupon (Net WAC) Cap. Net WAC
additional amounts are paid junior in the revenue waterfall being
the difference between the class B, C, D and E coupon and the Net
WAC Cap. Net WAC additional amounts occur if interest payments to
the respective notes are greater than the Net WAC Cap. Moody's
notes that the Net WAC additional amounts are not part of the
interest payment promise to the referenced Classes. As such
Moody's ratings assigned to the Class B, Class C, Class D and
Class E Notes do not address the timely and/ or ultimate payment
of such payments.

Moody's notes that the Net WAC Cap formula defined in the deal
divides the scheduled weighted average coupon net of fees of
25bps by the proportion of the rated notes to the aggregate
current balance of the loans. Consequently, should the aggregate
current balance of the loans become less than the rated notes as
a result of high portfolio losses leading to unpaid PDL on the
rated notes, the Net WAC Cap calculation result would decrease
and potentially reduce the size of promised interest payment to
be received by investors under the Class B through Class E notes
to below their stated coupon and furthermore below the scheduled
WAC of the pool. Moody's views the likelihood of such scenario as
consistent with the ratings of the notes.

-- Interest Rate Risk Analysis

The majority of the loans in the pool are BBR linked (ca.
[99.4]%) with the remaining small proportion linked to CHL's SVR.
There is no swap in the transaction to mitigate the risk of
mismatch between the index applicable to the loans in the pool
and the index applicable to the notes. Moody's has taken the
absence of swap into account in the stressed margin vector used
in the cash flow modelling.

-- Parameter Sensitivities

At the time the ratings were assigned, the model output indicated
that Class A1 notes would have achieved Aaa(sf), even if MILAN CE
was increased to 22.4% from 14.0% and the portfolio expected loss
was increased to 7.5% from 2.5% and all other factors remained
the same. Class A2 notes would have achieved Aaa(sf), even if the
portfolio expected loss was increased to 7.5% from 2.5% assuming
MILAN CE remained unchanged at 14.0% and all other factors
remained the same.

Moody's Parameter Sensitivities provide a quantitative/model-
indicated calculation of the number of rating notches that a
Moody's structured finance security may vary if certain input
parameters used in the initial rating process differed. The
analysis assumes that the deal has not aged and is not intended
to measure how the rating of the security might migrate over
time, but rather how the initial rating of the security might
have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are
calculated by stressing key variable inputs in Moody's primary
rating model.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
September 2016.

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

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

Significantly different loss assumptions compared with Moody's
expectations at close due to either a change in economic
conditions from Moody's central scenario forecast or
idiosyncratic performance factors would lead to rating actions.

For instance, should economic conditions be worse than forecast,
the higher defaults and loss severities resulting from a greater
unemployment, worsening household affordability and a weaker
housing market could result in a downgrade of the ratings.
Downward pressure on the ratings could also stem from (1)
deterioration in the notes' available credit enhancement; (2)
counterparty risk, based on a weakening of a counterparty's
credit profile, or (3) any unforeseen legal or regulatory
changes.

Conversely, the junior notes' ratings could be upgraded: (1) if
economic conditions are significantly better than forecasted; or
(2) upon deleveraging of the capital structure.

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

Moody's issues provisional ratings in advance of the final sale
of securities, but these ratings only represent Moody's
preliminary credit opinion. Upon a conclusive review of the
transaction and associated documentation, Moody's will endeavour
to assign definitive ratings to the Notes. A definitive rating
may differ from a provisional rating. Moody's will disseminate
the assignment of any definitive ratings through its Client
Service Desk. Moody's will monitor this transaction on an ongoing
basis.


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


* EMEA Firms at Highest Default Risk Hit Record High in 2016
------------------------------------------------------------
The number of EMEA spec-grade companies at the highest risk of
default (rated B3-PD negative and lower) remained at a record
high of 60 for the second quarter running as upgrades and rating
withdrawals offset downgrades in Q4 2016, says Moody's Investors
Service in a new report. In 2017, Moody's expects this number to
grow at a slower pace after nearly doubling in 2016 due to a slew
of downgrades in the energy and metals & mining sectors on
oil/commodity price weakness.

Moody's report, titled "B3 Negative and Lower Ratings -- EMEA:
List Stabilized at Record High Level in Q4 2016", is available on
www.moodys.com. Moody's subscribers can access this report via
the link provided at the end of this press release.

"As stabilizing oil and commodity prices ease the pressure on the
oil & gas and metals & mining sectors into 2018, the number of
companies most likely to default in 2017 will grow at a slower
pace. However, weakening economic conditions could see other
sectors like retail, service and manufacturing currently on the
border of highest default risk face downgrades," says Matteo
Versiglioni, a Moody's Analyst and author of the report.

While the actual number of B3-PD negative and lower companies
remains at its highest level, the proportion remains around its
historical average of 14%.

The oil & gas and metals & mining remain overrepresented in the
B3 negative and lower category (at 35%) compared to their size
within the total spec-grade rated universe (at 15%). By
comparison, the services and manufacturing sectors account
respectively for 8.9% and 6.8% of the total EMEA spec-grade rated
universe while representing only 1.7% and 5.0% of the B3 negative
and lower list.

In 2017, Moody's expects upgrades and downgrades actions to
balance each other out. A limited number of downgrades are
expected in the energy and metals & mining sectors, given the
lower number of single-B rates issuers not yet in the highest
risk of default category. However, there is a large proportion of
service, manufacturing and retail issuers on the border of the
highest default risk category, which could potentially face
downgrades if macroeconomic conditions were to weaken.

Risks to macroeconomic growth in EMEA include low growth in
Europe, with the added uncertainty of last year's Brexit vote;
China's ongoing economic slowdown; and uncertainty about the pace
of US interest rate rises.


* BOND PRICING: For the Week January 30 to February 3, 2017
-----------------------------------------------------------

Issuer                   Coupon      Maturity  Currency  Price
------                   ------      --------  --------  -----
CGG SA                     5.88     5/15/2020    EUR     44.08
IMMOFINANZ AG              4.25      3/8/2018    EUR      4.38
Co-Operative Bank PLC/U   11.00    12/20/2023    GBP     62.67
Casino Guichard Perrach    1.69                  EUR     66.15
Bank of New York Mellon    4.19    12/15/2050    EUR     49.43
AXA SA                     0.54                  EUR     71.01
Air Berlin PLC             6.75      5/9/2019    EUR     73.63
Oi Brasil Holdings Coop    5.75     2/10/2022    USD     32.75
Aegon NV                   0.52                  EUR     67.91
QGOG Constellation SA      6.25     11/9/2019    USD     74.21
Banque Federative du Cr    0.90                  EUR     67.32
Ajecorp BV                 6.50     5/14/2022    USD     69.04
Nordea Bank AB             0.44                  EUR     74.19
CGG SA                     6.50      6/1/2021    USD     43.38
Offshore Drilling Holdi    8.38     9/20/2020    USD     46.00
Abengoa SA                 8.50     3/31/2016    EUR      2.56
AXA SA                     0.82                  EUR     74.18
Obrascon Huarte Lain SA    4.75     3/15/2022    EUR     72.38
Intelsat Luxembourg SA     7.75      6/1/2021    USD     35.00
Pacific Drilling SA        5.38      6/1/2020    USD     51.50
Mitsubishi UFJ Investor    3.92    12/30/2099    EUR      5.48
CHC Helicopter SA          9.25    10/15/2020    USD     52.00
Portugal Telecom Intern    4.63      5/8/2020    EUR     33.99
CNP Assurances             0.88                  EUR     67.63
Fuerstenberg Capital II    5.63                  EUR     70.19
CGG SA                     1.75      1/1/2020    EUR      2.48
Banca Popolare di Vicen    2.84    12/20/2017    EUR     40.31
Rickmers Holding AG        8.88     6/11/2018    EUR     17.75
Credit Agricole SA         0.86                  EUR     69.89
Brunswick Rail Finance     6.50     11/1/2017    USD     62.50
Co-Operative Bank PLC/U    8.50      7/1/2025    GBP     59.76
Banca Popolare di Vicen    9.50     9/29/2025    EUR     39.95
Rothschilds Continuatio    1.46                  EUR     65.05
Immigon Portfolioabbau    10.00                  EUR     11.87
Intelsat Jackson Holdin    5.50      8/1/2023    USD     70.42
Portugal Telecom Intern    5.00     11/4/2019    EUR     34.04
Portugal Telecom Intern    4.38     3/24/2017    EUR     34.38
Veneto Banca SpA           0.74     6/21/2017    EUR     53.88
Obrascon Huarte Lain SA    5.50     3/15/2023    EUR     72.17
ING Groep NV               0.44                  EUR     69.08
BNP Paribas SA             1.31                  USD     67.09
CGG SA                     6.88     1/15/2022    USD     45.00
Abengoa Finance SA         6.00     3/31/2021    EUR      3.57
Privatbank CJSC Via UK    10.88     2/28/2018    USD     11.75
HSH Nordbank AG            7.25                  USD     28.38
Oi Brasil Holdings Coop    5.63     6/22/2021    EUR     35.11
Banca Monte dei Paschi     5.00     4/21/2020    EUR     51.53
Frigoglass Finance BV      8.25     5/15/2018    EUR     62.51
Ageasfinlux SA             1.02                  EUR     51.92
ING Groep NV               0.84                  EUR     72.92
Air Berlin PLC             5.63      5/9/2019    CHF     64.68
PagesJaunes Finance & C    8.88      6/1/2018    EUR     63.52
Privatbank CJSC Via UK    11.00      2/9/2021    USD     14.63
Caisse Federale du Cred    0.89                  EUR     64.13
BNP Paribas Fortis SA      1.68                  EUR     70.85
Portugal Telecom Intern    6.25     7/26/2016    EUR     34.23
Santander Finance Prefe    0.31                  EUR     66.42
Far East Capital Ltd SA    8.00      5/2/2018    USD     57.00
Johnston Press Bond Plc    8.63      6/1/2019    GBP     62.88
Intelsat Luxembourg SA     8.13      6/1/2023    USD     33.50
Paragon Offshore PLC       6.75     7/15/2022    USD     18.00
BNP Paribas SA             1.15                  EUR     57.60
Nordea Bank AB             1.50                  USD     66.49
BPCE SA                    2.81                  USD     73.50
Banque Federative du Cr    0.65                  EUR     66.94
Cofinoga Funding Two LP    2.12                  EUR     69.67
Aldesa Financial Servic    7.25      4/1/2021    EUR     67.39
Santander International    2.00                  USD     49.00
Portugal Telecom Intern    5.88     4/17/2018    EUR     34.01
Banco Espirito Santo SA    4.00     1/21/2019    EUR     27.63
Banca Monte dei Paschi     0.69    11/30/2017    EUR     52.21
CEVA Group PLC             9.00      9/1/2021    USD     67.25
Portugal Telecom Intern    4.50     6/16/2025    EUR     34.25
Abengoa Finance SA         7.00     4/15/2020    EUR      3.78
ADLER Real Estate AG       2.50     7/19/2021    EUR     14.73
Caixa Terrassa Societat    0.41                  EUR     59.63
CGG SA                     1.25      1/1/2019    EUR     12.79
Econocom Group SA/NV       1.50     1/15/2019    EUR     14.16
Air France-KLM             2.03     2/15/2023    EUR     10.44
Banca Monte dei Paschi     2.29     5/15/2018    EUR     45.51
OAS Investments GmbH       8.25    10/19/2019    USD      3.50
Matalan Finance PLC        8.88      6/1/2020    GBP     72.62
Jyske Bank A/S             0.84                  EUR     58.50
Sapinda Invest SARL        5.00     6/30/2019    EUR     40.00
Neopost SA                 3.38                  EUR     52.73
Bluewater Holding BV      10.00    12/10/2019    USD     70.00
Banca Monte dei Paschi     5.60      9/9/2020    EUR     51.91
Mriya Agro Holding PLC     9.45     4/19/2018    USD      7.00
Solarworld AG              9.67     2/24/2019    EUR     65.33
Banco Espirito Santo SA    2.63      5/8/2017    EUR     27.63
UkrLandFarming PLC        10.88     3/26/2018    USD     26.50
Centrics Oil & Gas Fina    6.00      3/4/2017    EUR     70.00
Alno AG                    8.50     5/14/2018    EUR     41.00
Novo Banco SA              3.50      1/2/2043    EUR     53.03
Etablissements Maurel e    1.63      7/1/2019    EUR     16.81
Fred Olsen Energy ASA      4.13     2/28/2019    NOK     55.00
Rothschilds Continuatio    1.50                  USD     55.68
Credit Mutuel Arkea SA     0.79                  EUR     62.18
WPE International Coope   10.38     9/30/2020    USD     15.75
SOITEC                     6.75     9/18/2018    EUR      2.64
Banco Santander SA         0.61                  EUR     66.50
Scholz Holding Gmbh        8.50      3/8/2017    EUR     37.38
Abengoa Greenfield SA      5.50     10/1/2019    EUR      3.93
Banco Espirito Santo SA    7.13    11/28/2023    EUR      0.40
Norske Skog Holding AS     8.00     2/24/2021    EUR     56.50
Pierre & Vacances SA       3.50     10/1/2019    EUR     44.09
IPF Investments Polska     6.06      6/3/2020    PLN     73.39
Banco Espirito Santo SA    4.75     1/15/2018    EUR     27.50
Sequa Petroleum NV         5.00     4/29/2020    USD     69.75
Societe Generale SA        1.38                  USD     66.00
Bibby Offshore Services    7.50     6/15/2021    GBP     60.50
KTG Agrar SE               7.13      6/6/2017    EUR      2.30
BIM SAS                    2.50    11/13/2020    EUR     26.66
Paragon Offshore PLC       7.25     8/15/2024    USD     17.50
Danske Bank Oyj            0.63                  EUR     97.17
Far East Capital Ltd SA    8.75      5/2/2020    USD     58.50
Societe Generale SA        0.81                  EUR     58.01
KTG Energie AG             7.25     9/28/2018    EUR      3.15
Aegon NV                   1.51                  NLG     60.98
Abengoa Finance SA         8.88     11/1/2017    USD      3.05
OSX 3 Leasing BV          13.00     3/20/2015    USD     33.00
VistaJet Malta Finance     7.75      6/1/2020    USD     71.00
Bilt Paper BV              9.64                  USD     48.27
CHC Helicopter SA          9.38      6/1/2021    USD     34.00
Veneto Banca SpA           6.41                  EUR
Scandinavian Airlines S    0.63                  CHF     24.46
Waste Italia SpA          10.50    11/15/2019    EUR     25.38
European Directories Bo    7.00     12/9/2018    EUR     71.63
ATF Capital BV             8.58                  USD     64.00
Pastor Participaciones     1.84                  EUR     75.00
Yuksel Insaat AS           9.50    11/10/2015    USD     25.88
National Westminster Ba    1.50                  USD     75.38
Kazkommertsbank JSC via    7.08                  USD     65.34
NIBC Bank NV               1.84                  USD     67.17
Fuerstenberg Capital Er    1.45                  EUR     60.38
Ausy                       3.25      1/1/2021    EUR     54.60
Solarworld AG              9.67     2/24/2019    EUR     62.00
Sanha GmbH & Co KG         7.75      6/4/2018    EUR     44.75
NIBC Bank NV               0.66                  EUR     59.00
DNB Bank ASA               1.19                  USD     64.85
NTRP Via Interpipe Ltd    10.25      8/2/2017    USD     26.01
Popular Capital SA         0.81                  EUR     49.94
Norske Skogindustrier A    2.00    12/30/2115    EUR     10.00
Intelsat Luxembourg SA    12.50    11/15/2024    USD     62.42
IKB Deutsche Industrieb    5.63     3/31/2017    EUR     30.50
Grupo Isolux Corsan SA     0.25    12/30/2018    EUR      3.81
Banco Espirito Santo SA    2.33                  EUR      0.46
OGX Austria GmbH           8.50      6/1/2018    USD      0.00
Eramet                     4.00                  EUR     56.97
Jyske Bank A/S             0.53                  EUR     62.83
Nexity SA                  0.13      1/1/2023    EUR     63.77
Pacific Drilling SA        5.38      6/1/2020    USD     48.50
de Volksbank NV           11.25                  EUR      1.14
Virgolino de Oliveira F   10.50     1/28/2018    USD      8.10
OP Corporate Bank plc      0.61                  EUR     62.01
Greene King Finance PLC    2.45     3/15/2036    GBP     70.80
Neue ZWL Zahnradwerk Le    7.50     2/17/2021    EUR     71.63
Barclays Bank PLC          3.21     7/31/2034    USD     72.80
Allied Irish Banks PLC    12.50     6/25/2035    GBP     72.13
Abengoa SA                 6.25     1/17/2019    EUR      1.53
Farstad Shipping ASA       5.27     2/15/2017    NOK     22.50
Iona Energy Co UK PLC     12.50     9/27/2018    USD      2.37
IGas Energy PLC           10.00     3/22/2018    USD     73.50
Mobylife Holding A/S       7.25     5/23/2018    SEK     51.50
E Forland AS               7.89      9/4/2018    NOK     71.50
Etablissements Maurel e    2.75      7/1/2021    EUR     10.85
Solor Bioenergi Holding    6.32     11/2/2017    NOK     58.75
Oceanteam ASA             12.29    10/24/2017    USD     21.38
Lambay Capital Securiti    6.25                  GBP      0.56
Havila Shipping ASA        8.60     3/30/2017    NOK     66.13
Abengoa Finance SA         8.88     11/1/2017    USD      3.05
MS Deutschland Beteilig    6.88    12/18/2017    EUR      6.00
BNP Paribas SA             0.58     4/30/2033    USD     52.00
Banca Monte dei Paschi     7.00      3/4/2019    EUR     50.08
Banca Popolare di Vicen    4.60    12/15/2017    EUR     63.00
Banca Carige SpA           2.78     6/19/2018    EUR     65.00
Pescanova SA               5.13     4/20/2017    EUR      2.34
Sydbank A/S                0.85                  EUR     57.70
de Volksbank NV            6.25    10/26/2020    EUR      3.31
Banca Carige SpA           8.34                  EUR     34.63
Wild Bunch AG              8.00     3/23/2019    EUR     50.00
Pescanova SA               8.75     2/17/2019    EUR      2.25
Royal Bank of Scotland     1.63                  USD     71.50
Aralco Finance SA         10.13      5/7/2020    USD      3.00
Banca Monte dei Paschi     0.67     1/15/2018    EUR     51.85
Avanti Communications G   10.00     10/1/2019    USD     60.63
Gebr Sanders GmbH & Co     8.75    10/22/2018    EUR     21.00
National Westminster Ba    1.19                  USD     76.25
Intelsat Connect Financ   12.50      4/1/2022    USD     64.28
Novo Banco SA              3.50     2/19/2043    EUR     53.06
Afren PLC                 11.50      2/1/2016    USD      0.10
Lloyds Bank PLC            3.25    11/27/2033    USD     67.30
IKB Deutsche Industrieb    4.70     3/31/2017    EUR     31.60
DNB Bank ASA               1.38                  USD     64.69
syncreon Group BV / syn    8.63     11/1/2021    USD     73.63
Novo Banco SA              5.00     3/15/2022    EUR     71.36
City of Kiev Ukraine Vi    8.00     11/6/2015    USD     70.00
BOA OCV AS                 6.75     10/7/2019    NOK     50.10
Dexia Credit Local SA      1.42                  EUR      4.63
Barclays Bank PLC          0.53     5/31/2033    USD     54.57
Barclays Bank PLC          0.84     3/21/2033    USD     58.50
Abengoa Greenfield SA      6.50     10/1/2019    USD      3.87
Abengoa Finance SA         7.75      2/1/2020    USD      3.09
Petrol AD                  5.50     1/26/2022    EUR     16.00
DNB Bank ASA               1.38                  USD     64.55
Novo Banco SA              5.00     2/24/2022    EUR     71.33
World Wide Supply AS       7.75     5/26/2017    USD     13.50
Lehman Brothers UK Capi    5.13                  EUR      0.17
German Pellets GmbH        7.25    11/27/2019    EUR      0.72
Touax SA                   6.00     7/10/2020    EUR     16.67
Ichor Coal NV              8.00      6/7/2017    EUR     61.41
Rudolf Woehrl AG           6.50     2/12/2018    EUR     12.55
Banca Monte dei Paschi     2.79    10/31/2018    EUR     51.60
Farstad Shipping ASA       4.52     5/29/2018    NOK     22.38
Espirito Santo Financia    6.88    10/21/2019    EUR      0.05
Novo Banco SA              3.50     1/23/2043    EUR     53.15
Orco Property Group SA     7.00     11/7/2019    EUR     65.25
Alpine Holding GmbH        6.00     5/22/2017    EUR      2.50
Talvivaara Mining Co PL    4.00    12/16/2015    EUR      0.37
LBI HF                     6.10     8/25/2011    USD      8.00
Candyking Holding AB       5.00     1/29/2018    SEK     38.00
Offshore Drilling Holdi    8.38     9/20/2020    USD     41.00
IM Skaugen SE             10.13     4/11/2017    NOK     54.50
Espirito Santo Financia    3.13     12/2/2018    EUR      0.50
KTG Agrar SE               7.25    10/15/2019    EUR      2.21
Praktiker AG               5.88     2/10/2016    EUR      0.12
Volstad Shipping AS        7.14     4/15/2019    NOK     25.00
Minicentrales Dos SA       4.81    11/29/2034    EUR     60.75
Minicentrales Dos SA       6.45     4/14/2028    EUR     67.25
Royal Bank of Scotland     2.62    12/30/2030    USD     65.90
Cirio Holding Luxembour    6.25     2/16/2004    EUR      0.38
GEWA 5 to 1 GmbH & Co K    6.50     3/24/2018    EUR     31.38
3W Power SA                8.00     8/29/2019    EUR     40.00
Ideal Standard Internat   11.75      5/1/2018    EUR      4.43
Oi Brasil Holdings Coop    5.75     2/10/2022    USD     35.50
Manchester Building Soc    6.75                  GBP     13.75
Banco Pinto & Sotto May    0.68                  EUR     19.00
Dexia SA                   1.45                  EUR      5.00
German Pellets GmbH        7.25      7/9/2018    EUR      1.48
Uppfinnaren 1 AB          10.00                  SEK     64.00
Phosphorus Holdco PLC     10.00      4/1/2019    GBP      1.11
Lehman Brothers Treasur    6.00     11/2/2035    EUR      8.63
GNB - Cia de Seguros de    1.88    12/19/2022    EUR     60.00
Bank Nadra via NDR Fina    8.25     7/31/2018    USD      0.44
Action SA                  3.21      7/4/2017    PLN     38.50
Elli Investments Ltd      12.25     6/15/2020    GBP     45.00
Novo Banco SA              3.00     6/21/2022    USD     68.52
Azubu Investments SA       5.00     8/25/2018    EUR     79.00
Societe Alsacienne et L    1.63      1/1/2022    EUR     60.46
GNB - Cia de Seguros de    3.18                  EUR     42.50
Banca delle Marche SpA     0.64      6/1/2017    EUR      1.00
Paragon Offshore PLC       7.25     8/15/2024    USD     15.50
Cooperatieve Rabobank U    0.50    11/26/2021    ZAR     65.57
National Westminster Ba    1.03                  USD     75.38
Western Bulk Chartering    7.80     4/19/2019    NOK     74.75
Norske Skog Holding AS     8.00     2/24/2023    USD     45.38
Tonon Luxembourg SA        9.25     1/24/2020    USD     10.75
International Industria   11.00     2/19/2013    USD      0.28
Norske Skogindustrier A    7.13    10/15/2033    USD     30.25
Banca Popolare di Vicen    8.50    12/28/2018    EUR     65.00
OGX Austria GmbH           8.38      4/1/2022    USD      0.00
Tonon Luxembourg SA       10.50     5/14/2024    USD     40.63
Barclays Bank PLC          0.69     2/25/2031    USD     67.81
Novo Banco SA              3.50     3/18/2043    EUR     53.06
Credit Lyonnais SACA       0.44                  EUR     53.51
Assystem                   4.50                  EUR     30.11
Barclays Bank PLC          0.66     3/28/2033    USD     58.00
Corporate Commercial Ba    8.25      8/8/2014    USD      0.50
RWE AG                     3.80      4/5/2033    USD     74.05
Beate Uhse AG              7.75      7/9/2019    EUR     22.00
Travel24.com AG            7.50     9/17/2017    EUR     68.00
BNP Paribas SA             0.50     9/29/2029    AUD     53.58
Portugal Telecom Intern    5.24     11/6/2017    EUR     33.50
Barclays Bank PLC          0.96     9/30/2031    USD     67.82
Sazka AS                   9.00     7/12/2021    EUR      0.06
Barclays Bank PLC          3.72    10/30/2034    USD     71.50
CBo Territoria             6.00      1/1/2020    EUR      4.15
Lloyds Bank PLC            1.33                  USD     75.14
Barclays Bank PLC          2.62    12/30/2030    USD     67.41
Banca Carige SpA           1.68    12/29/2018    EUR     61.25
Barclays Bank PLC          0.75     4/19/2033    USD     59.00
Belfius Bank SA/NV         1.66                  FRF     69.25
Veneto Banca SpA           6.95     2/25/2025    EUR     34.63
Island Drilling Co ASA     9.50      4/3/2018    USD      3.14
Virgolino de Oliveira F   10.88     1/13/2020    USD     25.83
SRH NV                     6.26                  EUR      0.01
Abengoa Greenfield SA      6.50     10/1/2019    USD      3.87
Vneshprombank Ltd via V    9.00    11/14/2016    USD      0.06
Barclays Bank PLC          2.72     3/28/2034    USD     61.22
CGG SA                     6.88     1/15/2022    USD     44.38
Lloyds Bank PLC            0.66     4/26/2033    USD     56.75
Gol LuxCo SA               8.88     1/24/2022    USD     72.50
Barclays Bank PLC          1.63                  USD     75.50
Alno AG                    8.00     3/21/2019    EUR     37.00
Barclays Bank PLC          4.61     1/31/2029    USD     72.00
Sydbank A/S                0.77                  EUR     69.88
Abanka Vipa DD Via Afin    1.57                  EUR      1.53
Hellenic Republic Gover    2.09     7/25/2057    EUR     36.63
Mriya Agro Holding PLC    10.95     3/30/2016    USD      6.48
Breeze Finance SA          6.71     4/19/2027    EUR     29.05
ESFIL-Espirito Santo Fi    5.25     6/12/2015    EUR      0.45
Barclays Bank PLC          2.41    11/29/2030    USD     67.83
Smart Solutions GmbH       8.00     12/3/2018    EUR     33.38
Kaupthing ehf              7.63     2/28/2015    USD     17.63
Vseukrainsky Aktsinerny   10.90     6/14/2019    USD      1.89
Finance and Credit Bank    9.25     1/25/2019    USD      0.00
Barclays Bank PLC          2.72     7/28/2031    USD     67.56
UniCredit Bank Austria     0.21     8/20/2033    EUR     70.05
Orient Express Bank PJS   12.00     5/29/2019    USD     49.00
Autonomous Community of    2.97      9/8/2039    JPY     63.89
Koninklijke Luchtvaart     0.75                  CHF     36.75
Far Eastern Shipping Co   13.00    11/28/2017    RUB     50.10
Ajecorp BV                 6.50     5/14/2022    USD     69.04
Barclays Bank PLC          3.41     5/30/2034    USD     73.75
Cirio Finanziaria SpA      8.00    12/21/2005    EUR      0.17
Privatbank CJSC Via UK    10.88     2/28/2018    USD     28.50
Lehman Brothers UK Capi    5.75                  EUR      0.02
wige MEDIA AG              6.00     3/17/2019    EUR      2.10
Danske Bank Oyj            1.28                  EUR     65.00
Standard Chartered PLC     1.44                  USD     70.00
Brunswick Rail Finance     6.50     11/1/2017    USD     63.79
Cirio Finance Luxembour    7.50     11/3/2002    EUR      4.45
Bremer Landesbank Kredi    9.50                  EUR     71.63
Capital Raising GmbH       7.50                  EUR     17.65
Barclays Bank PLC          3.38     9/29/2034    USD     69.92
Paragon Offshore PLC       6.75     7/15/2022    USD     15.50
Banco Espirito Santo SA    6.88     7/15/2016    EUR     26.83
Cooperatieve Rabobank U    0.50     7/30/2043    MXN     11.48
Eniro AB                   6.00     4/14/2020    SEK     17.47
Sidetur Finance BV        10.00     4/20/2016    USD      4.95
Golden Gate AG             6.50    10/11/2014    EUR     48.50
Laurel GmbH                7.13    11/16/2017    EUR      8.25
Abengoa Finance SA         7.75      2/1/2020    USD      3.09
Manchester Building Soc    8.00                  GBP     24.25
JZ Capital Partners Ltd    6.00     7/30/2021    GBP     11.30
Oceanic Champion AS        8.00     2/20/2020    USD     65.78
More & More AG             8.13     6/11/2018    EUR     40.50
Commerzbank Holdings UK    1.69                  USD     69.58
Deutsche Bank AG/London    2.98     6/30/2034    USD     52.00
La Mutuelle Generale       6.81                  EUR     70.02
Accentro Real Estate AG    6.25     3/27/2019    EUR      8.81
CNP Assurances             2.00                  EUR     61.24
Electromagnetic Geoserv    7.18     6/27/2019    NOK     54.88
3W Power SA                5.50    11/11/2020    EUR     45.00
Barclays Bank PLC          0.55     8/31/2031    USD     68.20
Landes-Hypothekenbank S    0.07     3/20/2043    EUR     78.78
Cirio Del Monte NV         7.75     3/14/2005    EUR      0.94
Standard Chartered PLC     1.56                  USD     69.91
Steilmann SE               6.75     6/27/2017    EUR      4.44
Espirito Santo Financia    9.75    12/19/2025    EUR      0.57
Santander Issuances SAU    4.35     12/1/2026    EUR     70.95
IT Holding Finance SA      9.88    11/15/2012    EUR      0.24
Phones4u Finance PLC       9.50      4/1/2018    GBP     66.50
Sairgroup Finance BV       6.63     10/6/2010    EUR     11.88
getgoods.de AG             7.75     10/2/2017    EUR      0.03
German Pellets GmbH        7.25      4/1/2016    EUR      1.11
Norske Skog Holding AS     8.00     2/24/2021    EUR     56.50
Barclays Bank PLC          2.62    12/30/2030    USD     66.10
Barclays Bank PLC          2.85     1/27/2031    USD     69.97
SAG Solarstrom AG          6.25    12/14/2015    EUR     28.50
KPNQwest NV               10.00     3/15/2012    EUR      0.18
Hellas Telecommunicatio    8.50    10/15/2013    EUR      0.43
Havila Shipping ASA        9.50     8/30/2017    NOK     15.00
Del Monte Finance Luxem    6.63     5/24/2006    EUR      5.00
Royal Bank of Scotland     2.54    11/16/2030    USD     61.96
Norske Skogindustrier A    7.13    10/15/2033    USD     34.69
Tatfondbank PJSC          13.50     5/28/2025    RUB     26.56
Deutsche Bank AG/London    4.06    10/31/2034    USD     69.75
BOA Offshore AS            7.90    12/18/2018    NOK     23.38
Standard Chartered PLC     1.65                  USD     69.88
Sairgroup Finance BV       4.38      6/8/2006    EUR     11.75
Deutsche Bank AG/London    3.65    11/26/2034    USD     65.25
Hybrid Raising GmbH        6.63                  EUR     17.50
Standard Chartered PLC     1.53                  USD     69.91
de Volksbank NV            2.42                  EUR      1.14
EDOB Abwicklungs AG        7.50      4/1/2012    EUR      0.25
Santander Finance Capit    2.00                  EUR     26.25
Barclays Bank PLC          2.75     2/28/2034    USD     67.16
Alpine Holding GmbH        5.25      7/1/2015    EUR      2.47
Deutsche Bank AG           0.50     6/28/2033    USD     54.25
Lehman Brothers Treasur    6.00     2/15/2035    EUR      8.63
Afren PLC                  6.63     12/9/2020    USD      0.08
Far Eastern Shipping Co   15.00     2/27/2018    RUB     55.55
AKB Peresvet ZAO          13.50    10/16/2020    RUB     30.10
Golden Energy Offshore     5.00    12/31/2017    NOK     29.00
Brighthouse Group PLC      7.88     5/15/2018    GBP     65.75
Enterprise Holdings LTD    7.00     3/30/2020    EUR      2.33
Strenesse AG               9.00     3/15/2017    EUR     20.00
SiC Processing GmbH        7.13      3/1/2016    EUR      1.26
Teksid Aluminum Luxembo   11.38     7/15/2011    EUR      0.19
Virgolino de Oliveira F   11.75      2/9/2022    USD      7.97
CEVA Group PLC             9.00      9/1/2021    USD     67.00
Rena GmbH                  8.25     7/11/2018    EUR      8.63
Barclays Bank PLC          1.46     6/17/2033    USD     58.92
HSBC France SA             1.03                  EUR     50.01
CGG SA                     5.88     5/15/2020    EUR     44.38
Lloyds Bank PLC            0.65     1/31/2033    USD     61.07
Alpine Holding GmbH        5.25     6/10/2016    EUR      2.47
IGas Energy PLC           10.00    12/11/2018    USD     24.38
CRC Breeze Finance SA      6.11      5/8/2026    EUR     53.63
Frey                       6.00    11/15/2022    EUR     22.60
Lehman Brothers Treasur    7.25     10/5/2035    EUR      9.63
RENE LEZARD Mode GmbH      7.25    11/25/2017    EUR     19.05
Olympic Ship AS            6.15     6/18/2019    NOK     20.38
Depfa Funding II LP        6.50                  EUR     56.75
Bank of Scotland PLC       1.56                  USD     74.87
Portigon AG                7.46    12/31/2019    EUR     27.75
Barclays Bank PLC          5.40     9/13/2028    USD     74.85
Pescanova SA               6.75      3/5/2015    EUR      3.64
Windreich GmbH             6.50     7/15/2016    EUR     10.88
Cooperatieve Rabobank U    0.50    10/30/2043    MXN     11.31
PNE Wind AG                3.75    10/10/2019    EUR      3.12
Standard Chartered PLC     0.69                  GBP     69.25
Mox Telecom AG             7.25     11/2/2017    EUR      2.85
Bulgaria Steel Finance    12.00      5/4/2013    EUR      2.46
OGX Austria GmbH           8.38      4/1/2022    USD      0.00
Landesbank Hessen-Thuer    0.12      5/3/2041    EUR     62.76
Norske Skog Holding AS     8.00     2/24/2023    USD     44.94
EFG International AG       0.63                  EUR     65.75
Espirito Santo Financia    5.13     5/30/2016    EUR      0.85
DOF ASA                    8.00     9/12/2019    NOK     39.88
Mifa Mitteldeutsche Fah    7.50     8/12/2018    EUR      3.02
Forthnet SA                1.00    10/11/2025    EUR      0.15
Barclays Bank PLC          1.88     11/1/2031    USD     66.20
Nationwide Building Soc    0.85                  GBP     70.00
Intelsat Connect Financ   12.50      4/1/2022    USD     64.25
OGX Austria GmbH           8.50      6/1/2018    USD      0.00
Marfin Investment Group    7.00     7/29/2019    EUR      1.00
Steilmann SE               7.00     9/23/2018    EUR      2.90
Atari SA                   7.50     2/17/2020    EUR      0.35
SAG Solarstrom AG          7.50     7/10/2017    EUR     28.50
Kaupthing ehf              5.75     10/4/2011    USD     17.63
Geotech Seismic Service   13.00    10/16/2019    RUB     69.90
Enterprise Holdings LTD    7.00     9/26/2017    EUR      2.33
Karlie Group GmbH          5.00     6/25/2021    EUR      3.00
Lloyds Bank PLC            0.75     2/22/2033    USD     56.50
Windreich GmbH             6.50      3/1/2015    EUR     10.88
SeaBird Exploration Fin    6.00      3/3/2018    USD     13.75
Societe Generale SA        0.14     2/28/2033    USD     65.00
Lehman Brothers Treasur    8.25     3/16/2035    EUR      8.63
Deutsche Bank AG/London    3.62     9/30/2029    USD     70.50
Santander Finance Capit    2.00                  EUR     25.88
Talvivaara Mining Co PL    9.75      4/4/2017    EUR      0.78
Intelsat Luxembourg SA    12.50    11/15/2024    USD     62.42
IVG Immobilien AG          5.54                  EUR      0.55
de Volksbank NV            6.63     5/14/2018    EUR      3.31
Steilmann SE               7.00      3/9/2017    EUR      2.90
Deutsche Bank AG/London    1.09     3/15/2033    USD     58.63
PA Resources AB           13.50      3/3/2016    SEK      0.11
KPNQwest NV                8.88      2/1/2008    EUR      0.18
Barclays Bank PLC          2.34     4/25/2034    USD     62.11
Gunther Zamek Produktio    7.75     5/15/2017    EUR      1.55
Barclays Bank PLC          2.47     7/24/2028    USD     72.10
VistaJet Malta Finance     7.75      6/1/2020    USD     71.00
Eidesvik Offshore ASA      5.60     5/22/2018    NOK     68.88
KPNQwest NV                7.13      6/1/2009    EUR      0.18
Dannemora Mineral AB      11.75     3/22/2016    USD      0.90
TradeDoubler AB            6.75    12/20/2018    SEK     47.63
Heta Asset Resolution A    0.43    12/31/2023    EUR     39.25
Banca Monte dei Paschi     4.40     3/14/2024    EUR      8.25
Abengoa Finance SA         6.00     3/31/2021    EUR      3.57
Barclays Bank PLC          0.96     9/30/2031    USD     67.87
Kommunekredit              0.50     7/30/2027    TRY     30.16
ADLER Real Estate AG       6.00     6/30/2017    EUR     13.25
Alpha Bank AE              2.50     6/20/2022    EUR     67.51
Deutsche Bank AG/London    2.65     8/28/2034    USD     58.00
Afren PLC                 11.50      2/1/2016    USD      0.10
Kazkommertsbank JSC via    7.08                  USD     68.38
INVEST-DEVELOPMENT PJSC   15.00      4/2/2026    RUB    100.00
Depfa Funding IV LP        5.03                  EUR     57.00
Region of Abruzzo Italy    0.17     11/7/2036    EUR     61.04
Bibby Offshore Services    7.50     6/15/2021    GBP     60.50
LBI HF                     2.25     2/14/2011    CHF      5.88
Finmek International SA    7.00     12/3/2004    EUR      0.13
BLT Finance BV            12.00     2/10/2015    USD     10.50
Autonomous Community of    1.10      9/8/2024    EUR     72.66
Northland Resources AB    15.00     7/15/2019    USD      0.44
A-TEC Industries AG        8.75    10/27/2014    EUR      2.00
Afren PLC                 10.25      4/8/2019    USD      0.03
Lehman Brothers Treasur    4.00     2/16/2017    EUR      8.63
Northland Resources AB     4.00    10/15/2020    USD      0.07
UniCredit Bank Austria     0.16    12/27/2031    EUR     68.23
Novo Banco SA              3.00    12/16/2021    EUR     61.13
Kaupthing ehf              5.75     10/4/2011    USD     17.63
A-TEC Industries AG        2.75     5/10/2014    EUR      2.00
Afren PLC                 10.25      4/8/2019    USD      0.00
Espirito Santo Financia    5.05    11/15/2025    EUR      0.10
Vnesheconombank           10.90      5/3/2019    RUB     85.00
Lehman Brothers Treasur    5.00     9/22/2014    EUR      8.63
Afren PLC                  6.63     12/9/2020    USD      0.08
A-TEC Industries AG        5.75     11/2/2010    EUR      2.00
Deutsche Bank AG/London    0.40     1/31/2033    USD     58.50
Olympic Ship AS            7.29     9/21/2017    NOK     20.75
Abengoa Greenfield SA      5.50     10/1/2019    EUR      3.93
Santander Finance Capit    2.00                  USD     45.38
AKB Peresvet ZAO          13.25     4/25/2018    RUB     40.42
Gazprom PJSC               6.40    10/21/2043    RUB     70.00
APP International Finan   11.75     10/1/2005    USD      0.56
UniCredit Bank Austria     0.18    12/31/2031    EUR     71.00
Russian Post FGUP          9.35     9/10/2026    RUB    100.00
KPNQwest NV                8.13      6/1/2009    USD      0.18
Rosneft Oil Co PJSC       14.90     12/3/2020    RUB     62.00
OAS Investments GmbH       8.25    10/19/2019    USD      3.15
Muehl Product & Service    6.75     3/10/2005    DEM      2.35
Far East Capital Ltd SA    8.00      5/2/2018    USD     57.24
Matalan Finance PLC        8.88      6/1/2020    GBP     72.88
Deutsche Bank AG/London    3.33     3/27/2035    USD     73.95
Agroton Public Ltd         6.00     7/14/2019    USD     14.13
Barclays Bank PLC          2.72     7/28/2034    USD     62.82
Lehman Brothers Treasur    2.88     3/14/2013    CHF      8.63
Waste Italia SpA          10.50    11/15/2019    EUR     25.38
Artea                      6.00      8/4/2019    EUR     14.32
Aldesa Financial Servic    7.25      4/1/2021    EUR     68.13
Lehman Brothers Treasur    5.00     2/16/2015    EUR      8.63
Podkarpacki Bank Spoldz    5.81      7/2/2020    PLN     57.00
Heliocentris Energy Sol    4.00     1/16/2019    EUR     45.66
Cattles Ltd                7.13      7/5/2017    GBP      0.20
Tonon Luxembourg SA       10.50     5/14/2024    USD     40.63
Barclays Bank PLC          0.07    12/28/2040    EUR     67.42
Barclays Bank PLC          1.14     3/21/2031    USD     68.90
AKB Peresvet ZAO          13.25     6/22/2017    RUB     45.00
Nuova Banca Popolare de    1.68     9/28/2017    EUR      0.81
Banco Espirito Santo SA    6.90     6/28/2024    EUR     26.38
Cooperatieve Rabobank U    0.50    10/29/2027    MXN     38.56
Russian Bank for Small    14.00     3/17/2022    RUB    100.52
Banca Popolare di Vicen    9.50     10/2/2025    EUR     37.63
Deutsche Bank AG           1.73     1/16/2045    EUR     72.82
Kaupthing ehf              6.13     10/4/2016    USD     17.63
Oi Brasil Holdings Coop    5.63     6/22/2021    EUR     36.14
UkrLandFarming PLC        10.88     3/26/2018    USD     30.00
Lehman Brothers Treasur    5.10      5/8/2017    HKD      9.63
Lloyds Bank PLC            2.73     7/26/2033    USD     69.00
Alpha Bank AE              2.50     6/20/2022    EUR     67.53
Credit Suisse AG/London    8.00    11/29/2019    USD      8.69
Abengoa Finance SA         8.88      2/5/2018    EUR      3.75
Republic of Italy Gover    0.18     7/31/2045    EUR     71.69
CHC Helicopter SA          9.25    10/15/2020    USD     63.63
Montepio Holding SGPS S    5.00                  EUR     50.10
Tonon Luxembourg SA        9.25     1/24/2020    USD     10.75
Aralco Finance SA         10.13      5/7/2020    USD      2.47
Transcapitalbank JSC      13.00      6/6/2018    RUB     70.00
Landesbank Hessen-Thuer    0.13     4/23/2041    EUR     65.43
UniCredit Bank Austria     0.16    10/31/2031    EUR     66.81
ADLER Real Estate AG       6.00    12/27/2018    EUR     13.25
Svensk Exportkredit AB     0.50     4/24/2029    AUD     59.52
AKB Peresvet ZAO          12.50      9/6/2017    RUB     35.06
Societe Generale SA        1.60      1/9/2020    GBP      1.08
Virgolino de Oliveira F   10.50     1/28/2018    USD      7.19
Dexia Kommunalbank Deut    5.63    12/31/2017    EUR     13.13
BLT Finance BV             7.50     5/15/2014    USD      1.92
Orient Express Bank PJS   13.60      8/9/2018    RUB     65.50
Tatfondbank PJSC          13.00      9/7/2021    RUB     27.60
Solon SE                   1.38     12/6/2012    EUR      0.33
Lehman Brothers Treasur    7.00     5/17/2035    EUR      8.63
German Pellets GmbH        8.00                  EUR      0.16
Immigon Portfolioabbau     3.51     4/12/2022    EUR
Municipality Finance PL    0.50     4/26/2022    ZAR     62.11
Banco Espirito Santo SA   10.00     12/6/2021    EUR      0.40
Hamburgische Landesbank    0.05     1/22/2041    EUR     61.91
Immigon Portfolioabbau     6.00     3/30/2017    EUR
Transcapitalbank JSC Vi   10.00     9/18/2020    USD     72.50
HSBC Bank PLC              0.50    10/30/2026    NZD     62.34
PA Resources AB            3.00    12/27/2017    NOK      0.11
UniCredit Bank AG          0.41    11/19/2029    EUR     61.63
Cooperatieve Rabobank U    0.50     1/31/2033    MXN     23.25
International Industria    9.00      7/6/2011    EUR      0.32
Activa Resources AG        8.00    11/15/2017    EUR     10.50
SAir Group                 0.13      7/7/2005    CHF     13.00
Kaupthing ehf              9.75     9/10/2015    USD     17.63
Tatfondbank PJSC          12.50    12/11/2024    RUB     28.60
Rusfinans Bank OOO        12.10     9/29/2020    RUB     60.46
Banco Comercial Portugu    5.00                  EUR     50.00
Finans-Avia OOO            8.25     7/31/2022    RUB     71.87
HPI AG                     3.50                  EUR      5.01
Ekotechnika AG             9.75     5/10/2018    EUR      9.50
Johnston Press Bond Plc    8.63      6/1/2019    GBP     62.88
AKB Peresvet ZAO          13.00     10/7/2017    RUB     41.00
Hypo Tirol Bank AG         0.12     7/23/2026    EUR     67.07
Bank Nederlandse Gemeen    0.50     7/12/2022    ZAR     61.30
HSBC Bank PLC              0.50     6/10/2021    BRL     66.91
Kaupthing ehf              9.00                  USD      0.13
Lloyds Bank PLC            2.30      7/5/2033    USD     71.00
syncreon Group BV / syn    8.63     11/1/2021    USD     73.63
Svensk Exportkredit AB     0.50     6/28/2022    ZAR     61.00
Anglian Water Services     0.87     1/26/2057    GBP     74.76
Veneto Banca SpA           6.94     5/15/2025    EUR      8.75
WPE International Coope   10.38     9/30/2020    USD     14.75
Marine Subsea AS           9.00    12/16/2019    USD      0.50
Gazprombank JSC           10.90     2/19/2021    RUB     60.06
AKB Peresvet ZAO          13.50     6/23/2021    RUB     29.35
Bank Nederlandse Gemeen    0.50      8/9/2022    MXN     64.24
FPK OAO                    9.95      6/4/2026    RUB     61.00
Rena GmbH                  7.00    12/15/2015    EUR      8.63
Abengoa SA                 6.25     1/17/2019    EUR      2.50
Cooperatieve Rabobank U    0.50    11/30/2027    MXN     38.40
Svensk Exportkredit AB     0.50     6/29/2029    AUD     59.21
Mechel PJSC                8.00      2/9/2021    RUB     60.06
Governo Portugues Conso    2.75                  EUR     65.10
LBI HF                     7.43                  USD      0.00
Petromena ASA             10.85    11/19/2014    USD      0.59
Banco Pastor SAU           2.08                  EUR     57.26
Barclays Bank PLC          2.62    12/23/2033    USD     68.53
City of Moscow Russia      7.50     5/18/2021    RUB     60.00
La Veggia Finance SPA      7.13    11/14/2004    EUR      0.15
Espirito Santo Financia    5.63     7/28/2017    EUR      0.42
Kaupthing ehf              7.50      2/1/2045    USD      0.00
Lehman Brothers Treasur    7.00    11/26/2013    EUR      8.63
Republic of Italy Gover    0.19     7/31/2045    EUR     69.81
UniCredit Bank Austria     0.02     1/25/2031    EUR     68.69
Mriya Agro Holding PLC     9.45     4/19/2018    USD      5.75
DEMIRE Real Estate AG      6.00    12/30/2018    EUR      3.55
Transneft PJSC             9.65     6/30/2023    RUB    100.03
Kommunalbanken AS          0.50     5/27/2022    ZAR     63.05
Northland Resources AB     4.00    10/15/2020    NOK      0.07
Region of Molise Italy     0.18    12/15/2033    EUR     66.28
Virgolino de Oliveira F   10.88     1/13/2020    USD     25.83
Agentstvo po Ipotechnom    8.05    11/15/2018    RUB     85.00
Sberbank of Russia PJSC   12.27      1/2/2026    RUB     85.00
SAir Group                 6.25     4/12/2005    CHF     12.63
Svensk Exportkredit AB     0.50     1/31/2022    ZAR     64.59
Far East Capital Ltd SA    8.75      5/2/2020    USD     57.10
Bilt Paper BV              9.64                  USD     48.75
Rosneft Oil Co PJSC       10.10     1/18/2021    RUB     60.00
WGF Westfaelische Grund    6.35      8/1/2017    EUR      3.63
Barclays Bank PLC          0.50     1/28/2033    MXN     20.02
BNP Paribas SA             0.50      5/6/2021    MXN     71.54
Abengoa SA                 5.13      3/5/2017    USD      3.04
Kommunalkredit Austria     0.87     2/24/2026    EUR     74.94
Lloyds Bank PLC            2.72     7/29/2033    USD     67.10
State Transport Leasing   14.30    12/10/2024    RUB     60.00
Russian Railways JSC       9.25     7/11/2028    RUB     98.25
Bank Nederlandse Gemeen    0.50     9/20/2022    MXN     63.62
SNCF Reseau                1.48     3/30/2065    EUR     73.26
RESO-Garantia Insurance   12.00     9/13/2022    RUB     60.08
Virgolino de Oliveira F   11.75      2/9/2022    USD      7.19
Stroika Finance Ltd Via    7.70     6/25/2019    RUB     12.00
Tatfondbank PJSC          13.50     3/21/2025    RUB     26.65
Lehman Brothers Treasur    6.00     3/14/2011    EUR      8.63
NIBC Bank NV              25.98      5/7/2029    EUR     70.47
Elli Investments Ltd      12.25     6/15/2020    GBP     45.00
Marfin Investment Group    6.30     7/29/2020    EUR      0.30
KTM Industries AG          5.00                  EUR     72.38
Immigon Portfolioabbau     1.26     7/29/2018    EUR
Kaupthing ehf              6.13     10/4/2016    USD     17.63
Svensk Exportkredit AB     0.50     8/29/2029    AUD     57.84
Lehman Brothers Treasur    3.03     1/31/2015    EUR      0.65
Lehman Brothers Treasur    6.00    10/30/2012    EUR      0.65
CHC Helicopter SA          9.25    10/15/2020    USD     63.63
Salvator Grundbesitz-AG    9.50                  EUR     19.60
Rusfinans Bank OOO        10.00     7/31/2026    RUB    100.55
Solarwatt GmbH             7.00     11/1/2015    EUR     14.50
Lehman Brothers Treasur    5.25     5/26/2026    EUR      0.65
LBI HF                     6.10     8/25/2011    USD      8.00
Metalloinvest Holding C    0.01     3/10/2022    RUB     70.00
Russian Post FGUP          9.45    10/18/2019    RUB     61.06
Mechel PJSC               12.75     7/15/2021    RUB     82.01
Lehman Brothers Treasur    8.25     12/3/2015    EUR      8.63
Lehman Brothers Treasur    5.00     3/18/2015    EUR      8.63
Vnesheconombank           11.50     8/20/2020    RUB     85.00
Gazprom PJSC               6.40    10/21/2043    RUB     70.00
Santander Finance Capit    2.00                  USD     44.38
Vnesheconombank            2.00     6/18/2021    RUB     73.06
Salvator Grundbesitz-AG    9.50    12/31/2021    EUR     10.15
Finans-Avia OOO            0.01     7/31/2027    RUB     19.90
BLT Finance BV             7.50     5/15/2014    USD      1.92
Lehman Brothers Treasur    4.00     12/2/2012    EUR      0.65
Mechel PJSC                8.00      2/9/2021    RUB     70.00
PagesJaunes Finance & C    8.88      6/1/2018    EUR     63.38
Lehman Brothers Treasur    4.00    10/24/2012    EUR      0.65
Lehman Brothers Treasur    4.50      5/2/2017    EUR      8.63
Lehman Brothers Treasur   11.00    12/20/2017    AUD      0.65
Barclays Bank PLC          2.24     8/15/2033    USD     62.08
Republic of Italy Gover    0.30     7/31/2035    EUR     71.85
HSBC Bank PLC              0.50     7/21/2021    BRL     66.26
Lehman Brothers Treasur    5.00     2/27/2014    EUR      8.63
Penell GmbH Elektrogros    7.75     6/10/2019    EUR      5.97
Barclays Bank PLC          3.49     3/27/2029    USD     66.63
Lehman Brothers Treasur    1.00      5/9/2012    EUR      0.65
Banco BPI SA               1.78                  EUR     58.02
Realwerte GmBh & Co KG     1.20                  EUR     43.16
Lehman Brothers Treasur    7.00      6/6/2017    EUR      0.65
Communaute Francaise de    0.50     6/27/2046    EUR     65.54
Mriya Agro Holding PLC    10.95     3/30/2016    USD      6.88
Lehman Brothers Treasur   14.90     9/15/2008    EUR      0.65
Lehman Brothers Treasur    6.00     3/18/2015    USD      8.63
Lehman Brothers Treasur    5.55     3/12/2015    EUR      0.65
UniCredit Bank AG          4.00     3/21/2017    EUR     67.40
Cie de Financement Fonc    0.98     8/11/2046    EUR     74.86
Windreich GmbH             6.75      3/1/2015    EUR     10.88
Heta Asset Resolution A    0.27    12/31/2023    EUR     39.25
Abengoa SA                 5.13      3/5/2017    USD      3.04
Abengoa Finance SA         7.00     4/15/2020    EUR      3.78
EFG International Finan    2.10     3/23/2018    EUR      6.06
Rosneft Oil Co PJSC       11.40     12/3/2020    RUB     62.00
Ideal Standard Internat   11.75      5/1/2018    EUR      4.43
Bank Nederlandse Gemeen    0.50     8/15/2022    ZAR     61.30
Pongs & Zahn AG            8.50                  EUR      0.30
Renaissance Credit Comm   11.15     7/30/2018    RUB     87.00
Agentstvo po Ipotechnom   11.50     9/25/2018    RUB     60.00
Rosneft Oil Co PJSC       12.90     12/3/2020    RUB     62.00
OT-Optima Telekom DD       5.25     5/30/2022    HRK     65.00
Promsvyazbank PJSC        11.00     4/19/2021    RUB     90.01
Rusfinans Bank OOO         9.95     8/22/2019    RUB     60.67
SG Option Europe SA        7.00      5/5/2017    EUR     63.82
Credit Suisse AG/Nassau    7.13     6/26/2017    CHF     70.16
Barclays Bank PLC          0.50     3/19/2021    MXN     68.07
UniCredit Bank AO         12.35     9/16/2020    RUB     62.62
Hamburgische Landesbank    0.05    10/30/2040    EUR     64.35
ING Bank Eurasia JSC      10.45     3/30/2021    RUB     85.00
City of Siret Romania      2.24      3/1/2028    RON     51.00
City of Kiev Ukraine Vi    8.00     11/6/2015    USD     70.00
EFG International Finan    8.99      9/4/2017    EUR      7.27
Rosselkhozbank JSC        12.87    12/21/2021    RUB     60.06
Lehman Brothers Treasur    5.00      5/2/2022    EUR      0.65
Metalloinvest Holding C    0.01      3/7/2022    RUB     60.02
MT-Energie GmbH & Co KG    8.25      4/4/2017    EUR      8.15
Lehman Brothers Treasur    1.46     2/19/2012    JPY      8.63
AKB Peresvet ZAO           9.80      9/2/2020    RUB     27.80
Lehman Brothers Treasur    4.00     4/13/2011    CHF      0.65
Kaupthing ehf              5.25     7/18/2017    BGN     17.63
HSBC Bank PLC              0.50    11/25/2025    BRL     43.75
Barclays Bank PLC          4.65    11/28/2029    USD     74.75
AKB Peresvet ZAO          12.75     7/24/2018    RUB     27.93
Bank Nederlandse Gemeen    0.50      6/7/2022    ZAR     62.14
Svensk Exportkredit AB     0.50     2/22/2022    ZAR     63.16
Frigoglass Finance BV      8.25     5/15/2018    EUR     62.25
Lloyds Bank PLC            3.34    10/25/2033    USD     71.50
EFG International Finan    6.00    11/30/2017    EUR      1.90
Bank Julius Baer & Co L    6.70      6/2/2017    USD     67.25
COFIDUR SA                 0.10    12/31/2024    EUR     19.01
AKB Peresvet ZAO          13.25     11/6/2020    RUB     27.01
UniCredit Bank Austria     0.06     1/24/2031    EUR     71.23
Tatfondbank PJSC          14.50      2/3/2026    RUB     27.02
Rosneft Oil Co PJSC        8.90      2/6/2024    RUB     60.00
URALSIB Leasing Co OOO    11.50    12/21/2017    RUB    100.00
Barclays Bank PLC          0.50     4/24/2023    MXN     53.53
Astana Finance BV          9.00    11/16/2011    USD     16.88
Barclays Bank PLC          2.57    12/27/2028    USD     74.63
Rinol AG                   5.50    10/15/2006    DEM      0.00
Lehman Brothers Treasur    6.00     9/20/2011    EUR      0.65
Rosneft Oil Co PJSC       11.40     12/3/2020    RUB     62.00
Vnesheconombank            9.65     7/10/2018    RUB     85.00
SG Issuer SA               0.78     6/15/2020    SEK     71.57
Araratbank OJSC            7.00     6/18/2019    USD     26.35
Rusfinans Bank OOO        10.10    11/24/2020    RUB     62.02
Fonciere Volta SA          4.50     7/30/2020    EUR      2.60
Kamaz PJSC                10.39     12/5/2030    RUB     73.53
Lehman Brothers Treasur    5.00     5/12/2011    CHF      0.65
Podkarpacki Bank Spoldz    4.99     10/6/2021    PLN     55.11
Phosphorus Holdco PLC     10.00      4/1/2019    GBP      1.11
ECM Real Estate Investm    5.00     10/9/2011    EUR     10.38
Miratorg-Finans OOO       11.00     8/24/2021    RUB     60.00
Lehman Brothers Treasur   13.50      6/2/2009    USD      0.65
City of Predeal Romania    1.50     5/15/2026    RON     60.00
ECA                        2.50      1/1/2018    EUR     12.44
MegaFon PJSC               9.90     5/29/2026    RUB     62.06
Vnesheconombank            9.75     8/16/2029    RUB     60.00
SAir Group                 5.50     7/23/2003    CHF     12.63
Landes-Hypothekenbank S    0.02     9/26/2043    EUR     77.23
Province of Brescia Ita    0.14     6/30/2036    EUR     60.35
Rossiysky Capital OJSC    10.50     1/20/2020    RUB     60.67
Banca delle Marche SpA     6.00      5/8/2018    EUR      1.00
Veneto Banca SpA           1.69     5/15/2019    EUR     39.25
Evrofinansy-Nedvizhimos   11.00    10/23/2020    RUB    100.00
Lehman Brothers Treasur    6.65     8/24/2011    AUD      9.63
Banco Espirito Santo SA    1.24     5/27/2018    EUR      0.40
Russian Post FGUP          2.75     12/6/2023    RUB     67.55
Agentstvo po Ipotechnom    8.90     11/1/2032    RUB    100.05
DekaBank Deutsche Giroz    0.01     6/29/2046    EUR     51.69
Lehman Brothers Treasur   10.00     6/11/2038    JPY      0.65
Notenstein Finance Guer    1.00     9/17/2019    CHF     64.91
Metalloinvest Holding C    0.01      3/7/2022    RUB    100.00
Province of Rovigo Ital    0.06    12/28/2035    EUR     61.08
Oberoesterreichische La    0.32     11/6/2030    EUR     71.75
Municipality Finance PL    0.50     7/30/2029    AUD     66.45
Credit Suisse AG/London    8.00     5/21/2025    USD      9.10
Bank Julius Baer & Co L    7.85     7/28/2017    USD     50.50
JP Morgan Structured Pr    4.05     8/29/2017    EUR     33.02
UBS AG/London              6.25     4/18/2017    CHF     47.30
Sidetur Finance BV        10.00     4/20/2016    USD      4.95
Bank Nederlandse Gemeen    0.50     6/22/2021    ZAR     67.65
UniCredit Bank Austria     0.15     1/22/2031    EUR     72.38
Biomed-Lublin Wytwornia    7.29     8/14/2018    PLN     72.00
Araratbank OJSC            7.25     6/27/2018    USD     26.03
Phones4u Finance PLC       9.50      4/1/2018    GBP     66.50
Raiffeisenbank AO         11.35     6/11/2018    RUB     86.00
Lehman Brothers Treasur    0.50      7/2/2020    EUR      0.65
Municipiul Timisoara       0.64     5/15/2026    RON     70.90
Araratbank OJSC            8.00     6/10/2018    USD     26.35
Agrokompleks OOO           0.10     12/8/2022    RUB      1.36
BNP Paribas SA             0.50    11/16/2032    MXN     28.91
Center-Invest Commercia   10.00     5/22/2019    RUB     60.01
Moscow United Electric    11.00     9/12/2024    RUB     62.00
Aegon NV                   5.19                  NLG     72.65
Royal Bank of Scotland     2.65     2/25/2031    USD     66.00
Municipiul Timisoara       0.64     5/15/2026    RON     77.50
EFG International Finan   12.86    10/30/2017    EUR      1.16
Raiffeisen Centrobank A    6.70     3/13/2017    EUR     64.65
Zapsibcombank PAO         14.85    12/12/2019    RUB     90.00
Russian Railways JSC      13.90     5/30/2040    RUB     60.00
SAir Group                 4.25      2/2/2007    CHF     13.00
Nuova Banca delle March    7.20     6/30/2018    EUR      1.24
Dresdner Bank AG           0.38    11/19/2029    EUR     64.88
BAWAG PSK Versicherungs    1.06                  EUR     44.89
Deutsche Bank AG/London    0.50     10/5/2021    IDR     63.42
Svensk Exportkredit AB     0.50     8/28/2020    TRY     65.16
Lehman Brothers Treasur    4.00     7/20/2012    EUR      0.65
Kaupthing ehf              7.63     2/28/2015    USD     17.63
Lehman Brothers Treasur    8.00     3/19/2012    USD      0.65
Svensk Exportkredit AB     0.50     3/28/2029    AUD     68.64
Lehman Brothers Treasur    1.28     11/6/2010    JPY      8.63
Espirito Santo Financia    5.05    11/15/2025    EUR      0.40
IDGC of the South PJSC    13.50      6/8/2020    RUB     60.00
Araratbank OJSC            7.00     12/2/2017    USD     25.78
World of Building Techn    7.70     6/25/2019    RUB      1.16
Podkarpacki Bank Spoldz    5.11     5/28/2023    PLN     53.01
Credit Suisse AG/London    0.50      1/8/2026    BRL     44.03
Kommunalbanken AS          0.50    12/16/2020    TRY     68.68
Deutsche ETP GmbH & Co     3.00    11/30/2028    EUR
Royal Bank of Scotland     2.65     8/26/2031    USD     62.92
Kreditanstalt fuer Wied    0.25     10/6/2036    CAD     40.74
HSBC Bank PLC              0.50    12/29/2026    AUD     61.53
Societe Generale SA        0.50     5/30/2023    MXN     57.68
Svensk Exportkredit AB     0.50     6/20/2029    AUD     67.48
Societe Generale SA        0.53     6/28/2033    USD     71.55
Northland Resources AB    15.00     7/15/2019    USD      0.44
Pierer Industrie AG        5.75                  EUR     57.13
Lehman Brothers Treasur    3.86     9/21/2011    SGD      9.63
Gold-Zack AG               7.00    12/14/2005    EUR     12.57
KPNQwest NV                8.88      2/1/2008    EUR      0.18
Bulgaria Steel Finance    12.00      5/4/2013    EUR      2.46
Lehman Brothers Treasur    6.30    12/21/2018    USD      0.65
Lehman Brothers Treasur   13.00     2/16/2009    CHF      0.65
Barclays Bank PLC          0.42      4/9/2028    USD     65.10
Lehman Brothers Treasur    2.00     6/28/2011    EUR      0.65
Lehman Brothers Treasur    7.50    10/24/2008    USD      0.65
Societe Generale SA       10.00     7/31/2018    USD     74.98
Nuova Banca delle March    7.75     6/30/2018    EUR      1.24
Leonteq Securities AG      7.00    10/19/2017    CHF     66.10
SAir Group                 2.75     7/30/2004    CHF     12.75
KPNQwest NV                7.13      6/1/2009    EUR      0.18
Credit Agricole Corpora    2.00      7/9/2020    BRL     75.05
Lehman Brothers Treasur    5.00     2/28/2032    EUR      0.65
EFG International Finan    7.20     7/29/2020    EUR     42.92
Windreich GmbH             6.25      3/1/2015    EUR     10.88
Svensk Exportkredit AB     0.50     3/15/2022    ZAR     62.84
Svensk Exportkredit AB     0.10    11/20/2019    TRY     70.43
OOO SPV Structural Inve    0.01      9/1/2023    RUB     65.75
Lehman Brothers Treasur    8.25      2/3/2016    EUR      0.65
Bank Spoldzielczy w Lim    5.00     5/13/2021    PLN     75.00
Russian Post FGUP          9.50    10/18/2019    RUB     98.89
Hellas Telecommunicatio    8.50    10/15/2013    EUR      0.43
HSBC Bank PLC              0.50     1/29/2027    NZD     61.28
BNP Paribas SA             0.50     7/20/2021    BRL     63.90
Oberoesterreichische La    0.30     4/25/2042    EUR     42.75
Nuova Banca Popolare de    3.50     6/28/2018    EUR      0.78
ENEL RUSSIA PJSC          12.10     5/22/2025    RUB     60.00
Ladya-Finans LLC          12.00    10/29/2021    RUB     60.00
Municipality Finance PL    0.50      5/8/2029    AUD     62.96
Vnesheconombank            8.35    11/24/2020    RUB     85.00
Polbrand sp zoo            9.00     10/2/2017    PLN     50.00
Lehman Brothers Treasur   12.00     7/13/2037    JPY      0.65
Lehman Brothers Treasur    4.60      7/6/2016    EUR      0.65
Noyabrskaya Pge OOO        8.50    11/10/2020    RUB     60.00
Rossiysky Capital OJSC    10.50     1/16/2020    RUB     60.12
Western High-Speed Diam    9.15      2/6/2032    RUB     85.00
Raiffeisen Versicherung    2.02                  EUR     26.82
Steiermaerkische Bank u    1.25                  EUR     51.02
HSBC Bank PLC              0.50     12/8/2020    BRL     70.81
Cooperatieve Rabobank U    0.50    12/29/2027    MXN     38.52
Barclays Bank PLC          0.50     3/26/2021    MXN     68.03
BANIF - Banco Internaci    4.50     1/30/2025    EUR     65.50
Cooperatieve Rabobank U    0.50     8/21/2028    MXN     36.24
Torgovyi Dom Spartak-Ka   14.00      5/2/2017    RUB     68.02
UBS AG/London              3.50     3/24/2017    EUR     73.17
Lehman Brothers Treasur    4.35      8/8/2016    SGD      9.63
Bank VTB 24 JSC            9.00     9/15/2044    RUB     60.00
Barclays Bank PLC          4.27     5/14/2029    USD     70.00
Delta Credit Bank JSC     10.29    11/24/2021    RUB     60.06
Credit Agricole Corpora    0.50      3/6/2023    RUB     60.98
Province of Milan Italy    0.03    12/22/2033    EUR     69.18
Rusfinans Bank OOO        11.00     10/2/2019    RUB     64.02
BNP Paribas SA             0.50     2/13/2024    NZD     72.60
Podkarpacki Bank Spoldz    5.79     3/31/2025    PLN     45.00
SAir Group                 2.13     11/4/2004    CHF     13.00
YamalStroiInvest          14.25     4/24/2021    RUB     65.70
Lehman Brothers Treasur    3.50     9/29/2017    EUR      0.65
Redvans                   12.50    12/17/2021    RUB     99.90
Credit Suisse AG/London   10.00     6/28/2017    USD     54.50
URALSIB Leasing Co OOO    11.50      2/6/2018    RUB      0.01
Stroytemp CJSC             9.00    11/13/2019    RUB     92.70
Banca delle Marche SpA     6.00     6/12/2018    EUR      1.00
Indre Sogn Sparebank       5.95                  NOK     47.23
Lehman Brothers Treasur    5.50     6/15/2009    CHF      0.65
RGS Nedvizhimost OOO      12.50      6/2/2017    RUB     98.26
Center-Invest Commercia    8.70    11/13/2018    RUB
Vegarshei Sparebank        5.08                  NOK     67.60
Lehman Brothers Treasur    5.00      8/1/2025    EUR      0.65
EDOB Abwicklungs AG        7.50      4/1/2012    EUR      0.25
Enemona AD-Kozloduy       10.00     4/28/2017    BGN      0.05
UniCredit Bank AG          4.25     3/27/2020    EUR     68.41
Lehman Brothers Treasur    7.38     9/20/2008    EUR      0.65
Nuova Banca Popolare de    5.00    10/30/2023    EUR      0.78
Transgazservice LLP       10.50     11/8/2019    RUB      1.00
Russian Railways JSC       6.80     5/20/2044    RUB     70.00
HSBC Bank PLC              0.50     4/27/2027    NZD     60.67
Municipality Finance PL    0.50     6/19/2024    ZAR     51.07
HSBC Bank PLC              0.50      6/9/2023    MXN     56.95
City of Alba Iulia Roma    1.50     4/15/2025    RON     68.50
Astana Finance BV          7.88      6/8/2010    EUR     16.88
Lehman Brothers Treasur    4.00     7/27/2011    EUR      0.65
Lehman Brothers Treasur    8.00     2/16/2016    EUR      0.65
Absolut Bank PAO          14.50    10/22/2021    RUB     92.68
Absolut Bank PAO           8.55     4/29/2020    RUB     92.83
Lehman Brothers Treasur    0.50      6/2/2020    EUR      0.65
Lehman Brothers Treasur   11.00      7/4/2011    CHF      0.65
Atari SA                   0.10      4/1/2020    EUR      3.90
UBS AG/London              6.02     8/15/2017    USD     50.05
LZMO SA                    8.50     6/30/2017    PLN     25.00
Lehman Brothers Treasur    8.50      7/6/2009    CHF      0.65
Lehman Brothers Treasur    7.00     4/14/2009    EUR      0.65
Bank Nederlandse Gemeen    0.50     9/20/2022    ZAR     60.70
Societe Generale SA        0.50      4/3/2023    RUB     60.76
Lehman Brothers Treasur    5.00     4/24/2017    EUR      0.65
Driver & Bengsch AG        8.50    12/31/2027    EUR      0.00
Lehman Brothers Treasur    8.28     3/26/2009    USD      0.65
SAir Group                 6.25    10/27/2002    CHF     12.58
Raiffeisen-Landesbank T    2.50      9/2/2024    EUR     68.68
Lehman Brothers Treasur    3.40     3/19/2018    JPY      0.65
Lehman Brothers Treasur    7.60     5/21/2013    USD      0.65
LBI HF                     8.65      5/1/2011    ISK      5.88
Lehman Brothers Treasur    4.05     9/16/2008    EUR      0.65
Bank Julius Baer & Co L   12.15     11/8/2017    CHF     69.25
Lehman Brothers Treasur    5.75     6/15/2009    CHF      0.65
Notenstein La Roche Pri    8.99     7/22/2019    EUR     38.81
UBS AG/London             14.50     5/26/2017    CHF     74.15
SAir Group                 5.13      3/1/2003    CHF     13.00
Deutsche Bank AG           5.20     3/21/2017    EUR     75.90
Province of Brescia Ita    0.11    12/22/2036    EUR     59.53
Lehman Brothers Treasur    4.00    11/24/2016    EUR      0.65
Kaupthing ehf              3.75     2/15/2024    ISK     17.63
URALSIB Leasing Co OOO    10.25     3/21/2019    RUB    100.00
Agrokompleks OOO           0.10     7/29/2019    RUB      4.22
Societe Generale SA        0.50      4/4/2024    MXN     52.88
Credit Suisse AG/London    3.00    11/15/2025    ZAR     62.40
Veneto Banca SpA           9.50     12/1/2025    EUR     38.69
Lehman Brothers Treasur    5.00    11/22/2012    EUR      0.65
Municipiul Timisoara       0.64     5/15/2026    RON     62.00
Lehman Brothers Treasur    4.70     3/23/2016    EUR      0.65
Lehman Brothers Treasur    2.00    11/16/2009    EUR      0.65
LBI HF                     5.08      3/1/2013    ISK      5.88
URALSIB Leasing Co OOO    10.50     4/17/2018    RUB      0.01
Credit Suisse AG/Nassau    7.00     3/22/2017    CHF     60.08
First Collection Bureau   15.00    10/15/2021    RUB     99.51
Lehman Brothers Treasur    9.00     6/13/2009    USD      0.65
Lehman Brothers Treasur    6.00    10/24/2008    EUR      0.65
Promnefteservis OOO       10.50    11/21/2019    RUB      1.12
Lehman Brothers Treasur    5.25    11/21/2009    USD      0.65
Western High-Speed Diam    9.15      2/6/2032    RUB     85.00
Drangedal Sparebank        2.36                  NOK     74.47
Municipality Finance PL    0.50    11/25/2020    ZAR     70.68
Lillestroem Sparebank      4.62                  NOK     51.51
Deutsche Bank AG/London    1.52      9/2/2036    JPY     65.15
Barclays Bank PLC          0.79     5/10/2028    USD     65.32
Lehman Brothers Treasur    4.69     2/19/2017    EUR      0.65
Nutritek International     8.75    12/11/2008    USD      2.00
Lehman Brothers Treasur    3.00     12/3/2012    EUR      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      0.65
UBS AG                     8.29     9/21/2017    USD     30.05
Lehman Brothers Treasur    4.20     12/3/2008    HKD      9.63
Blaker Sparebank           4.83                  NOK     45.22
Lehman Brothers Treasur   10.00    10/23/2008    USD      0.65
Petromena ASA              9.75     5/24/2016    NOK      0.59
DekaBank Deutsche Giroz    3.40      3/5/2018    EUR     71.37
Bank Julius Baer & Co L   11.85     8/30/2017    CHF     63.55
Leonteq Securities AG/G   29.61    10/26/2017    EUR     28.32
Podkarpacki Bank Spoldz    5.79     2/23/2025    PLN     50.00
Bank Julius Baer & Co L    7.10     3/29/2017    CHF     73.70
Bayerische Landesbank      2.60    10/19/2018    EUR     70.36
Leonteq Securities AG      3.00     10/2/2017    CHF     74.08
Societe Generale SA        1.00    12/22/2017    GBP      1.00
UBS AG/London             20.36      6/6/2017    USD      6.88
Cerruti Finance SA         6.50     7/26/2004    EUR      1.35
Lehman Brothers Treasur   13.50    11/28/2008    USD      0.65
Lehman Brothers Treasur    0.25    10/19/2012    CHF      0.65
Societe Generale SA        8.88      6/1/2017    USD     29.75
Fargo Finance OOO          9.00      2/6/2019    RUB     99.00
Credit Suisse AG/Nassau    5.00     2/20/2017    CHF     73.98
Barclays Bank PLC          0.50     3/13/2023    RUB     61.02
Lehman Brothers Treasur    8.00     5/22/2009    USD      0.65
Lehman Brothers Treasur    6.50     5/16/2015    EUR      0.65
Lehman Brothers Treasur    3.00      8/8/2017    EUR      0.65
Lehman Brothers Treasur    3.00     6/23/2009    EUR      8.63
Lehman Brothers Treasur    2.75    10/28/2009    EUR      0.65
Lehman Brothers Treasur    4.50      3/7/2015    EUR      0.65
Podkarpacki Bank Spoldz    5.80    10/24/2024    PLN     50.00
Redvans                   12.50    12/17/2021    RUB     99.90
DekaBank Deutsche Giroz    3.20     1/14/2019    EUR     63.31
DekaBank Deutsche Giroz    2.60     4/21/2017    EUR     62.45
UBS AG/London             11.00     2/24/2017    CHF     53.85
Credit Suisse AG/London    7.00    11/15/2019    USD      8.40
Lehman Brothers Treasur    4.50      3/6/2013    CHF      0.65
BNP Paribas Emissions-     4.00     7/27/2017    EUR     75.38
Natixis Structured Issu   11.70     12/8/2023    EUR     63.01
Nuova Banca delle March    8.00     6/30/2018    EUR      1.24
Royal Bank of Scotland     1.33    10/26/2018    GBP      1.06
Bank J Safra Sarasin AG    5.00     7/27/2017    CHF     82.67
Notenstein La Roche Pri    4.50    10/31/2018    CHF     69.92
SAir Group                 2.75     7/30/2004    CHF     12.63
Abengoa Finance SA         8.88      2/5/2018    EUR      3.75
Landes-Hypothekenbank S    0.10      3/7/2043    EUR     78.12
Hellenic Republic Gover    5.20     7/17/2034    EUR     65.13
BPCE SA                    0.71                  EUR     62.00
Western High-Speed Diam   10.44     5/13/2031    RUB     85.00
Brighthouse Group PLC      7.88     5/15/2018    GBP     65.75
Vontobel Financial Prod    4.00     11/9/2017    EUR     69.10
Lehman Brothers Treasur    1.50    10/25/2011    EUR      0.65
Lehman Brothers Treasur    7.59    11/22/2009    MXN      8.63
Kaupthing ehf              5.00      1/4/2027    SKK     17.63
Lehman Brothers Treasur    6.00     2/14/2012    EUR      0.65
Lehman Brothers Treasur    6.60     2/22/2012    EUR      0.65
Lehman Brothers Treasur    7.39      5/4/2017    USD      0.65
Lehman Brothers Treasur    2.50     8/23/2012    GBP      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      9.63
Lehman Brothers Treasur    5.38      2/4/2014    USD      0.65
Lehman Brothers Treasur    7.00     2/15/2010    CHF      0.65
City of Alba Iulia Roma    1.50     4/15/2025    RON     72.10
Lehman Brothers Treasur    4.00     3/10/2011    EUR      0.65
Lehman Brothers Treasur    4.60    10/11/2017    ILS      8.63
Lehman Brothers Treasur    2.50     11/9/2011    CHF      0.65
Lehman Brothers Treasur    6.00    10/30/2012    USD      0.65
UBS AG/London              5.75      6/6/2017    CHF     73.15
Zurcher Kantonalbank Fi    5.00     7/27/2017    CHF     71.53
Bank Julius Baer & Co L    4.75     2/13/2017    CHF     71.90
RGS Nedvizhimost OOO      12.25    10/19/2017    RUB     60.00
Municipality Finance PL    0.50    12/15/2020    BRL     71.21
Credit Suisse AG           0.50    12/16/2025    BRL     45.10
HSH Nordbank AG/Luxembo    2.10                  EUR     19.53
Intelsat Connect Financ   12.50      4/1/2022    USD     64.29
Polski Bank Spoldzielcz    4.81     6/18/2020    PLN     50.00
Lehman Brothers Treasur   16.00    10/28/2008    USD      0.65
City of Hunedoara Roman    1.43     8/15/2026    RON     78.00
Lehman Brothers Treasur    4.50    12/30/2010    USD      0.65
Lehman Brothers Treasur    7.50      8/1/2035    EUR      0.65
Lehman Brothers Treasur    4.25     3/13/2021    EUR      0.65
Lehman Brothers Treasur    3.70      6/6/2009    EUR      0.65
Lehman Brothers Treasur    5.22      3/1/2024    EUR      0.65
Lehman Brothers Treasur    5.00     12/6/2011    EUR      0.65
UBS AG/London              5.00     8/14/2017    CHF     56.45
EFG International Finan    5.00     8/15/2017    CHF     72.20
Credit Suisse AG/London    7.00     2/20/2017    CHF     71.35
Leonteq Securities AG      3.50     4/10/2018    EUR     62.81
Bayerische Landesbank      3.00      3/9/2018    EUR     63.12
DekaBank Deutsche Giroz    0.12     6/23/2034    EUR     70.25
Exane Finance SA           6.25    12/20/2019    SEK     70.35
Exane Finance SA           5.00    12/20/2019    SEK     64.40
Northland Resources AB    12.25     3/26/2016    USD      0.44
Polski Bank Spoldzielcz    4.81     6/22/2021    PLN     55.00
Societe Generale Effekt    8.81     6/23/2017    EUR     55.55
Societe Generale Effekt    9.62     6/23/2017    EUR     54.33
Societe Generale Effekt   11.68     6/23/2017    EUR     51.08
Credit Suisse AG/London    7.00     5/16/2017    CHF     72.46
Municipality Finance PL    0.50     5/31/2022    ZAR     61.39
Sparebanken Din            2.39                  NOK     72.81
HSBC Bank PLC              0.50     12/8/2026    AUD     67.91
HSBC Bank PLC              0.50     2/24/2027    NZD     61.30
Strommen Sparebank         2.36                  NOK     41.63
SpareBank 1 Nordvest       3.94     3/11/2099    NOK     72.34
Privatbank CJSC Via UK    10.25     1/23/2018    USD     27.76
Lloyds Bank PLC            0.50     7/26/2028    MXN     41.48
Deutsche Bank AG/London    1.20     8/22/2031    JPY     70.75
HSBC Bank PLC              5.05     5/15/2025    MXN     71.91
Lehman Brothers Treasur    1.75      2/7/2010    EUR      0.65
Lehman Brothers Treasur    7.50      5/2/2017    EUR      0.65
Lehman Brothers Treasur   10.00      8/2/2037    JPY      0.65
Lehman Brothers Treasur    7.50     6/15/2017    USD      0.65
Lehman Brothers Treasur    5.00     8/16/2017    EUR      8.63
SG Issuer SA               5.50     4/10/2021    EUR     68.86
Credit Suisse AG/London    4.00     5/22/2017    CHF     73.29
Landesbank Baden-Wuertt    3.00     8/25/2017    EUR     74.03
Societe Generale SA        0.50     5/22/2024    MXN     52.17
Lehman Brothers Treasur    6.45     2/20/2010    AUD      0.65
Lehman Brothers Treasur   15.00      6/4/2009    CHF      0.65
Lehman Brothers Treasur    0.50     2/16/2009    EUR      0.65
Bank Julius Baer & Co L    6.40     8/23/2017    CHF     78.50
Goldman Sachs & Co Wert   12.00     9/20/2017    EUR     70.01
Landesbank Baden-Wuertt    3.40     6/23/2017    EUR     53.61
Goldman Sachs & Co Wert   11.00    12/20/2017    EUR     73.93
Union Technologies Info    0.10      1/1/2020    EUR      5.30
BNP Paribas Emissions-    26.00    12/21/2017    EUR     65.11
Barclays Bank PLC          1.64      6/3/2041    USD     71.31
Societe Generale SA        0.50     4/30/2023    RUB     60.17
Lehman Brothers Treasur   15.00     3/30/2011    EUR      0.65
Credit Suisse AG/Nassau    6.38     6/12/2017    EUR     67.37
Rem Offshore ASA           5.00     12/8/2024    NOK     25.00
Lehman Brothers Treasur    8.60     7/31/2013    GBP      0.65
Lehman Brothers Treasur    8.28     7/31/2013    GBP      0.65
Lehman Brothers Treasur    7.50     7/31/2013    GBP      0.65
Lehman Brothers Treasur    7.32     7/31/2013    GBP      0.65
Commerzbank AG            12.00     5/24/2017    EUR     73.91
Lehman Brothers Treasur    9.25     6/20/2012    USD      0.65
Lehman Brothers Treasur    3.00     9/13/2010    JPY      8.63
Lehman Brothers Treasur    7.50     2/14/2010    AUD      0.65
Lehman Brothers Treasur    7.60     1/31/2013    AUD      0.65
Lehman Brothers Treasur    5.50     6/22/2010    USD      8.63
Lehman Brothers Treasur   10.00    10/22/2008    USD      0.65
Lehman Brothers Treasur    6.60     5/23/2012    AUD      0.65
Lehman Brothers Treasur    3.45     5/23/2013    USD      0.65
Lehman Brothers Treasur    5.50     4/23/2014    EUR      0.65
Lehman Brothers Treasur    5.00     2/15/2018    EUR      0.65
Lehman Brothers Treasur    9.00      5/6/2011    CHF      0.65
Lehman Brothers Treasur   16.20     5/14/2009    USD      0.65
Lehman Brothers Treasur   10.60     4/22/2014    MXN      0.65
Lehman Brothers Treasur   16.00     11/9/2008    USD      0.65
Lehman Brothers Treasur    9.75     6/22/2018    USD      0.65
Lehman Brothers Treasur   10.00     5/22/2009    USD      0.65
Lehman Brothers Treasur    4.60      8/1/2013    EUR      0.65
Lehman Brothers Treasur   10.44    11/22/2008    CHF      0.65
Lehman Brothers Treasur    7.60      3/4/2010    NZD      0.65
Nuova Banca Popolare de    2.19     5/21/2018    EUR      0.81
Lehman Brothers Treasur   17.00      6/2/2009    USD      0.65
Lehman Brothers Treasur   23.30     9/16/2008    USD      0.65
Lehman Brothers Treasur    3.00      6/3/2010    EUR      0.65
Lehman Brothers Treasur   12.40     6/12/2009    USD      0.65
Lehman Brothers Treasur   10.00     6/17/2009    USD      0.65
Lehman Brothers Treasur   11.00      7/4/2011    USD      0.65
Lehman Brothers Treasur   12.00      7/4/2011    EUR      0.65
Lehman Brothers Treasur    5.50      7/8/2013    EUR      0.65
Lehman Brothers Treasur   16.00    12/26/2008    USD      0.65
Lehman Brothers Treasur   13.43      1/8/2009    ILS      0.65
Lehman Brothers Treasur    7.75      1/3/2012    AUD      0.65
Lehman Brothers Treasur    3.10      6/4/2010    USD      0.65
Lehman Brothers Treasur    2.50     8/15/2012    CHF      0.65
Lehman Brothers Treasur   13.15    10/30/2008    USD      0.65
Lehman Brothers Treasur    0.50      8/1/2020    EUR      0.65
Lehman Brothers Treasur    6.00      8/7/2013    EUR      0.65
Lehman Brothers Treasur    6.25      9/5/2011    EUR      0.65
Lehman Brothers Treasur   16.80     8/21/2009    USD      0.65
Lehman Brothers Treasur   14.10    11/12/2008    USD      0.65
Lehman Brothers Treasur    5.25      7/8/2014    EUR      0.65
Lehman Brothers Treasur    4.00     8/11/2010    USD      8.63
Lehman Brothers Treasur    2.30      6/6/2013    USD      0.65
Lehman Brothers Treasur    7.50     5/30/2010    AUD      0.65
Lehman Brothers Treasur   11.00      5/9/2020    USD      0.65
Lehman Brothers Treasur    4.30      6/4/2012    USD      0.65
Lehman Brothers Treasur    4.00      6/5/2011    USD      0.65
Lehman Brothers Treasur    6.70     4/21/2011    USD      0.65
Lehman Brothers Treasur    3.00     9/12/2036    JPY      8.63
Lehman Brothers Treasur    4.68    12/12/2045    EUR      0.65
Lehman Brothers Treasur   13.00    12/14/2012    USD      0.65
Lehman Brothers Treasur    4.82    12/18/2036    EUR      0.65
Lehman Brothers Treasur    5.25      4/1/2023    EUR      0.65
Lehman Brothers Treasur    7.25     6/20/2010    USD      0.65
Lehman Brothers Treasur    7.00     9/20/2011    USD      0.65
Oravita City Council       1.97     6/15/2027    RON     70.90
Lehman Brothers Treasur    4.10     8/23/2010    USD      0.65
Lehman Brothers Treasur    5.12     4/30/2027    EUR      0.65
Lehman Brothers Treasur    7.75     2/21/2016    EUR      0.65
Lehman Brothers Treasur    8.00    12/27/2032    JPY      0.65
Lehman Brothers Treasur    1.50      2/8/2012    CHF      0.65
Lehman Brothers Treasur    0.01     9/20/2011    USD      0.65
Lehman Brothers Treasur    7.00     7/11/2010    EUR      0.65
Lehman Brothers Treasur    6.00     7/28/2010    EUR      0.65
Lehman Brothers Treasur    6.00     7/28/2010    EUR      0.65
Lehman Brothers Treasur    4.90     7/28/2020    EUR      0.65
Lehman Brothers Treasur    4.15     8/25/2020    EUR      0.65
Lehman Brothers Treasur    6.00     12/6/2016    USD      0.65
Lehman Brothers Treasur    5.00      9/1/2011    EUR      0.65
Lehman Brothers Treasur    3.00     8/15/2017    EUR      0.65
Lehman Brothers Treasur    3.50     9/19/2017    EUR      0.65
Lehman Brothers Treasur   10.00      1/4/2010    USD      0.65
Lehman Brothers Treasur    6.00     3/17/2011    EUR      0.65
Lehman Brothers Treasur    4.70     3/23/2016    EUR      0.65
Lehman Brothers Treasur    8.00     4/20/2009    EUR      0.65
Lehman Brothers Treasur    2.30     4/28/2014    JPY      0.65
Lehman Brothers Treasur    4.00     2/28/2010    EUR      0.65
Lehman Brothers Treasur    4.10     5/20/2009    USD      0.65
Lehman Brothers Treasur    2.00     5/17/2010    EUR      0.65
Lehman Brothers Treasur    3.82    10/20/2009    USD      0.65
Lehman Brothers Treasur    3.63      3/2/2012    EUR      0.65
Lehman Brothers Treasur    0.75     3/29/2012    EUR      0.65
Lehman Brothers Treasur    8.88     1/28/2011    HKD      9.63
Kaupthing ehf              7.00     7/24/2009    ISK     17.63
Lehman Brothers Treasur    4.05     9/16/2008    EUR      0.65
Lehman Brothers Treasur    5.00     3/13/2009    EUR      0.65
Kaupthing ehf              6.50     10/8/2010    ISK     17.63
Kaupthing ehf              7.50     12/5/2014    ISK     17.63
Lehman Brothers Treasur    2.30     6/27/2013    USD      0.65
Lehman Brothers Treasur    2.37     7/15/2013    USD      0.65
Lehman Brothers Treasur    4.87     10/8/2013    USD      0.65
Lehman Brothers Treasur    1.95     11/4/2013    EUR      0.65
Leonteq Securities AG     20.00    10/25/2017    CHF     72.12
Bank Julius Baer & Co L   10.90     7/26/2017    CHF     70.60
Commerzbank AG             4.00     7/19/2017    EUR     65.23
UBS AG/London             14.50     7/20/2017    USD     65.95
Goldman Sachs & Co Wert   24.00     4/26/2017    EUR     72.91
Goldman Sachs & Co Wert   24.00     6/21/2017    EUR     72.34
Goldman Sachs & Co Wert   22.00     7/26/2017    EUR     73.76
Goldman Sachs & Co Wert   21.00     8/23/2017    EUR     74.89
Credit Suisse AG/Nassau    7.25     6/14/2017    CHF     68.33
Vontobel Financial Prod   16.60     3/10/2017    EUR     70.87
Vontobel Financial Prod   14.90      6/9/2017    EUR     71.67
DekaBank Deutsche Giroz    3.40      4/9/2018    EUR     66.77
Landesbank Baden-Wuertt    3.60     6/23/2017    EUR     72.32
DekaBank Deutsche Giroz    3.15     5/18/2018    EUR     49.04
DekaBank Deutsche Giroz    3.65     5/18/2018    EUR     74.21
Notenstein La Roche Pri    6.50      7/2/2018    USD     61.06
UBS AG                     9.00      7/3/2017    CHF     75.47
Goldman Sachs & Co Wert   16.00     6/21/2017    EUR     73.59
HSBC Trinkaus & Burkhar   16.10     3/24/2017    EUR     49.47
HSBC Trinkaus & Burkhar    8.20     3/24/2017    EUR     65.76
DZ Bank AG Deutsche Zen    7.00     3/24/2017    EUR     60.78
DZ Bank AG Deutsche Zen    7.50     3/24/2017    EUR     65.34
UBS AG                     9.50    12/22/2017    EUR     56.25
UBS AG                     7.00    12/22/2017    EUR     73.39
UBS AG                     5.25    12/22/2017    EUR     69.71
UBS AG                     8.25    12/22/2017    EUR     65.68
UBS AG                    11.75    12/22/2017    EUR     51.74
UBS AG                     7.75    12/22/2017    EUR     72.42
UBS AG                     7.00    12/22/2017    EUR     64.01
UBS AG                    10.25    12/22/2017    EUR     61.80
UBS AG                    10.25    12/22/2017    EUR     50.43
UBS AG                     5.00    12/22/2017    EUR     73.61
UBS AG                     8.50    12/22/2017    EUR     54.67
UBS AG                    11.75    12/22/2017    EUR     46.57
UBS AG                     8.00    12/22/2017    EUR     61.15
UBS AG                     8.75    12/22/2017    EUR     58.51
UBS AG                     5.50    12/22/2017    EUR     71.80
UBS AG                    10.25    12/22/2017    EUR     54.31
UBS AG                    11.75    12/22/2017    EUR     51.20
UBS AG                     7.50    12/22/2017    EUR     58.66
UBS AG                    13.00    12/22/2017    EUR     73.89
UBS AG                     6.75    12/22/2017    EUR     62.31
UBS AG                     9.50    12/22/2017    EUR     59.82
UBS AG                     5.75    12/22/2017    EUR     66.42
UBS AG                     7.75    12/22/2017    EUR     47.36
UBS AG                     8.25    12/22/2017    EUR     56.78
UBS AG                    10.50    12/22/2017    EUR     55.13
UBS AG                     4.75    12/22/2017    EUR     59.45
UBS AG                     5.00    12/22/2017    EUR     71.27
UBS AG                     6.25    12/22/2017    EUR     61.71
UBS AG                     8.25    12/22/2017    EUR     41.95
UBS AG                     4.50    12/22/2017    EUR     74.00
UBS AG                    10.50    12/22/2017    EUR     49.99
UBS AG                     9.50    12/22/2017    EUR     55.36
UBS AG                     6.50    12/22/2017    EUR     72.67
UBS AG                     6.50    12/22/2017    EUR     61.91
Leonteq Securities AG/G    5.75     3/17/2017    CHF     66.46
UniCredit Bank AG          4.30    10/17/2018    EUR     76.16
Landesbank Baden-Wuertt    3.30     6/22/2018    EUR     73.88
UniCredit Bank AG          4.30    12/22/2017    EUR     76.13
DekaBank Deutsche Giroz    3.30     2/26/2018    EUR     62.46
DekaBank Deutsche Giroz    3.10     2/26/2018    EUR     72.66
UniCredit Bank AG          4.30    10/29/2018    EUR     68.28
DekaBank Deutsche Giroz    3.45      6/1/2018    EUR     62.91
UBS AG                     4.50    12/22/2017    EUR     65.12
UBS AG                     5.00    12/22/2017    EUR     73.38
UBS AG                     4.75    12/22/2017    EUR     58.99
Credit Suisse AG/Nassau    5.25     5/14/2018    CHF     67.77
UniCredit Bank AG          4.10     9/28/2018    EUR     65.37
Commerzbank AG            13.75     2/23/2017    EUR     74.12
Commerzbank AG            17.25     2/23/2017    EUR     71.72
Zurcher Kantonalbank Fi    6.00     5/17/2017    CHF     71.17
DZ Bank AG Deutsche Zen    8.00     9/22/2017    EUR     74.25
UBS AG/London              6.50     1/25/2018    CHF     68.38
Redvans                   12.50    12/17/2021    RUB     99.95
Zurcher Kantonalbank Fi    7.75     3/17/2017    CHF     66.94
Leonteq Securities AG     11.00     3/14/2017    CHF     75.42
Bank Julius Baer & Co L    7.60      3/8/2017    CHF     67.75
UBS AG/London             10.00     3/16/2017    CHF     20.40
Landesbank Baden-Wuertt    3.85     8/25/2017    EUR     73.33
Barclays Bank PLC          2.50      3/7/2017    EUR     54.77
Commerzbank AG            20.00     5/28/2018    SEK     61.96
Societe Generale Effekt    4.00     6/26/2017    EUR     49.92
UniCredit Bank AG          4.00     6/26/2018    EUR     71.40
UniCredit Bank AG          4.60     6/30/2017    EUR     62.83
UBS AG/London              7.00    12/22/2017    EUR     72.64
UBS AG/London              4.00    12/22/2017    EUR     67.90
UBS AG/London              9.50    12/22/2017    EUR     68.82
UBS AG/London              9.00    12/22/2017    EUR     66.68
UBS AG/London              5.00    12/22/2017    EUR     64.24
UBS AG/London              6.25    12/22/2017    EUR     76.33
UBS AG/London              7.75    12/22/2017    EUR     42.61
UBS AG/London             14.50    12/22/2017    EUR     74.40
UniCredit Bank AG          4.25     9/12/2017    EUR     61.47
Notenstein La Roche Pri    5.00     8/29/2018    CHF     70.31
Leonteq Securities AG/G    4.40     8/28/2017    CHF     67.67
Notenstein La Roche Pri    5.04     8/28/2017    CHF     75.42
Notenstein La Roche Pri    5.00      9/5/2018    CHF     73.09
Leonteq Securities AG/G    5.99     9/11/2017    EUR     46.72
DZ Bank AG Deutsche Zen    5.60     3/30/2017    EUR     38.57
Bank Julius Baer & Co L    5.20     9/25/2017    EUR     74.30
UniCredit Bank AG          4.00    10/14/2019    EUR     54.22
Deutsche Bank AG           5.20     6/20/2017    EUR     76.70
Goldman Sachs & Co Wert   18.00     3/22/2017    EUR     72.01
Deutsche Bank AG           5.20     7/26/2017    EUR     74.00
Zurcher Kantonalbank Fi    4.75    12/11/2017    CHF     62.17
Goldman Sachs & Co Wert   23.00     5/24/2017    EUR     73.59
Barclays Bank PLC          7.50     4/17/2017    USD
Landesbank Baden-Wuertt    3.25     1/26/2018    EUR     71.54
Landesbank Hessen-Thuer    4.00     1/16/2018    EUR     68.91
EFG International Finan    6.48     5/29/2018    EUR      9.26
Leonteq Securities AG/G    5.00    12/27/2019    EUR     70.30
Landesbank Baden-Wuertt    3.00     2/23/2018    EUR     71.35
Landesbank Baden-Wuertt    3.55     6/23/2017    EUR     70.73
Landesbank Baden-Wuertt    3.15     6/22/2018    EUR     72.39
Erste Group Bank AG        9.25     6/29/2017    EUR     56.75
Credit Suisse AG/London    8.95      6/6/2017    USD     66.61
Vontobel Financial Prod    3.00     6/13/2017    EUR     59.75
Kerdos Group SA            8.00    12/15/2017    PLN
Uginvestgerion OOO        12.10      4/1/2020    RUB    100.00
URALSIB Leasing Co OOO    10.50     4/17/2018    RUB      0.01
Syntagma OOO              16.50     5/10/2022    RUB      0.01
Lehman Brothers Treasur    6.00     6/21/2011    EUR      0.65
Lehman Brothers Treasur    2.00     6/21/2011    EUR      0.65
Bank Julius Baer & Co L    5.00     8/21/2017    CHF     73.45
Notenstein La Roche Pri    6.40     8/14/2017    CHF     75.57
Zurcher Kantonalbank Fi    8.00      3/3/2017    CHF     62.20
Notenstein La Roche Pri    5.30     8/21/2017    CHF     75.61
UBS AG/London              5.00     8/13/2018    CHF     74.95
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     63.11
Leonteq Securities AG      6.77     8/17/2017    CHF     58.41
Deutsche Bank AG           7.20     3/21/2017    EUR     75.10
Deutsche Bank AG           5.20     3/21/2017    EUR     74.90
Deutsche Bank AG           5.20     3/21/2017    EUR     73.10
Deutsche Bank AG           7.20     3/21/2017    EUR     73.30
Deutsche Bank AG           5.20     3/21/2017    EUR     70.40
Deutsche Bank AG           7.20     3/21/2017    EUR     70.70
Deutsche Bank AG           7.20     3/21/2017    EUR     68.20
Deutsche Bank AG           5.20     3/21/2017    EUR     67.90
Deutsche Bank AG           7.20     3/21/2017    EUR     65.90
Deutsche Bank AG           5.20     3/21/2017    EUR     65.60
Deutsche Bank AG           5.20     3/21/2017    EUR     63.40
Deutsche Bank AG           7.20     3/21/2017    EUR     63.70
Deutsche Bank AG           5.20     3/21/2017    EUR     69.70
Deutsche Bank AG           5.20     3/21/2017    EUR     72.30
Deutsche Bank AG           7.20     3/21/2017    EUR     72.50
Deutsche Bank AG           7.20     3/21/2017    EUR     68.60
Deutsche Bank AG           5.20     3/21/2017    EUR     68.30
Deutsche Bank AG           5.20     3/21/2017    EUR     64.70
Deutsche Bank AG           7.20     3/21/2017    EUR     65.00
Notenstein La Roche Pri    5.02     2/20/2017    CHF     73.40
Leonteq Securities AG      5.40     8/28/2017    CHF     60.77
Leonteq Securities AG      5.80     8/24/2017    CHF     73.63
Credit Suisse AG/Nassau    7.90     2/27/2017    CHF     72.51
Leonteq Securities AG      5.00      9/4/2018    CHF     60.89
Leonteq Securities AG      5.60      9/4/2017    CHF     62.16
Banque Cantonale Vaudoi    5.36     8/25/2017    CHF     74.26
UniCredit Bank AG          3.95     10/7/2019    EUR     62.09
Goldman Sachs & Co Wert   15.00     3/22/2017    EUR     69.54
Goldman Sachs & Co Wert   14.00     6/21/2017    EUR     72.12
Banque Cantonale Vaudoi    3.90      2/5/2018    CHF      0.80
DZ Bank AG Deutsche Zen    8.50     2/24/2017    EUR     75.70
HSBC Trinkaus & Burkhar   13.30     3/24/2017    EUR     72.05
HSBC Trinkaus & Burkhar   11.80     3/24/2017    EUR     71.27
Bank Julius Baer & Co L   10.25     5/17/2017    CHF     55.90
Goldman Sachs & Co Wert   16.00     3/22/2017    EUR     60.63
Deutsche Bank AG           3.20    11/22/2017    EUR     73.40
DekaBank Deutsche Giroz    3.10      8/4/2017    EUR     61.78
HSBC Trinkaus & Burkhar   10.50     3/24/2017    EUR     71.01
HSBC Trinkaus & Burkhar    9.40     3/24/2017    EUR     73.51
HSBC Trinkaus & Burkhar   14.60     3/24/2017    EUR     52.70
HSBC Trinkaus & Burkhar    7.30     3/24/2017    EUR     72.00
DekaBank Deutsche Giroz    2.75     6/24/2019    EUR     74.64
UBS AG/London              6.50     3/23/2017    CHF     74.95
Credit Suisse AG/Nassau    7.25      3/8/2017    CHF     61.90
Leonteq Securities AG      5.60     9/11/2017    CHF     61.49
HSBC Trinkaus & Burkhar    7.50     3/24/2017    EUR     76.20
Landesbank Baden-Wuertt    5.50     2/24/2017    EUR     74.62
UBS AG/London              9.50      9/4/2017    CHF     20.50
DekaBank Deutsche Giroz    2.75     6/28/2019    EUR     69.56
Goldman Sachs & Co Wert    9.00     9/20/2017    EUR     76.72
Goldman Sachs & Co Wert   16.00     3/22/2017    EUR     69.98
Goldman Sachs & Co Wert   15.00     6/21/2017    EUR     73.50
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     73.44
Goldman Sachs & Co Wert   15.00     3/22/2017    EUR     64.42
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     75.79
Goldman Sachs & Co Wert   14.00     6/21/2017    EUR     67.89
Goldman Sachs & Co Wert   10.00     9/20/2017    EUR     75.27
Goldman Sachs & Co Wert   12.00     9/20/2017    EUR     72.07
Goldman Sachs & Co Wert   17.00     3/22/2017    EUR     69.11
Goldman Sachs & Co Wert   14.00     9/20/2017    EUR     74.20
BNP Paribas Emissions-     3.00    10/12/2018    EUR     75.27
Bank Julius Baer & Co L    7.45     3/28/2017    CHF     54.00
DZ Bank AG Deutsche Zen   15.75     2/24/2017    EUR     60.96
Zurcher Kantonalbank Fi    7.50    11/27/2017    CHF     77.29
Goldman Sachs & Co Wert   22.00     2/22/2017    EUR     72.92
Bank Julius Baer & Co L    9.40      2/9/2017    CHF     29.05
Societe Generale Effekt   12.00     3/24/2017    EUR     73.47
Societe Generale Effekt   14.99     3/24/2017    EUR     68.48
Societe Generale Effekt   15.64     6/23/2017    EUR     71.54
Societe Generale SA        7.00    10/20/2020    USD     10.70
Vontobel Financial Prod    8.50     3/24/2017    EUR     73.40
Commerzbank AG             5.00     6/21/2017    EUR     75.57
HSBC Trinkaus & Burkhar    7.70     3/24/2017    EUR     74.72
Goldman Sachs & Co Wert   21.00     6/21/2017    EUR     73.67
Zurcher Kantonalbank Fi   13.04     4/13/2017    CHF     53.83
DekaBank Deutsche Giroz    3.05     2/25/2019    EUR     75.14
Vontobel Financial Prod    5.35      3/3/2017    EUR     64.82
Vontobel Financial Prod    5.40      3/3/2017    EUR     73.46
Landesbank Hessen-Thuer    4.00      4/8/2019    EUR     70.65
Leonteq Securities AG      5.25     3/19/2018    CHF     74.43
Notenstein La Roche Pri    6.50     3/13/2017    EUR     52.51
Notenstein La Roche Pri    5.80     3/13/2017    CHF     73.89
Leonteq Securities AG      7.00     3/13/2017    CHF     75.02
UniCredit Bank AG          4.60      7/2/2018    EUR     67.96
Leonteq Securities AG      2.75     3/20/2018    CHF     74.71
Raiffeisen Centrobank A    6.88     3/30/2017    EUR     63.46
Notenstein La Roche Pri    5.20     3/20/2017    CHF     75.15
Notenstein La Roche Pri    5.00     3/20/2017    CHF     73.19
Leonteq Securities AG      7.00     9/20/2017    CHF     67.53
Commerzbank AG             5.80     10/8/2017    EUR     72.03
DZ Bank AG Deutsche Zen    5.60      9/8/2017    EUR     73.41
Credit Suisse AG/Nassau    5.00     3/27/2017    CHF     71.41
DekaBank Deutsche Giroz    3.75     3/10/2017    EUR     50.08
UBS AG/London              5.00     3/20/2017    CHF     73.10
Notenstein La Roche Pri    4.50     3/27/2018    EUR     62.60
Notenstein La Roche Pri    5.50     3/27/2017    CHF     73.46
Landesbank Hessen-Thuer    5.00     4/24/2019    EUR     65.91
Bank Julius Baer & Co L    4.90      4/3/2017    CHF     73.95
UBS AG/London              5.50     3/27/2017    CHF     72.25
Vontobel Financial Prod    3.50      4/6/2017    EUR     71.36
DekaBank Deutsche Giroz    3.25     5/18/2018    EUR     74.24
Notenstein La Roche Pri    4.20     4/10/2018    EUR     64.79
Notenstein Finance Guer    9.00      4/1/2019    EUR     30.81
Notenstein Finance Guer    2.95      4/7/2017    CHF     74.71
Bayerische Landesbank      2.70      7/6/2018    EUR     72.82
Bayerische Landesbank      2.70      7/6/2018    EUR     72.86
Notenstein La Roche Pri    5.70     4/20/2017    CHF     72.32
Notenstein La Roche Pri    4.80     4/20/2017    CHF     70.52
Zurcher Kantonalbank Fi    6.50     4/10/2018    CHF     67.33
Credit Suisse AG/Nassau    4.25     4/24/2017    CHF     72.03
Notenstein La Roche Pri    5.80     4/27/2017    CHF     75.34
Leonteq Securities AG      7.20     4/24/2017    EUR     63.05
Notenstein La Roche Pri    5.00     1/14/2019    CHF     74.46
DekaBank Deutsche Giroz    3.00    12/17/2018    EUR     50.04
Vontobel Financial Prod    5.00     2/13/2017    EUR     67.28
UniCredit Bank AG          3.75      9/7/2020    EUR     74.86
Vontobel Financial Prod    6.20      2/4/2019    EUR     73.98
Leonteq Securities AG      6.00     2/20/2017    CHF     51.72
Commerzbank AG             5.24     2/16/2017    EUR     69.22
Leonteq Securities AG      7.20      3/6/2017    CHF     66.18
Leonteq Securities AG      6.40      3/6/2017    CHF     74.78
Leonteq Securities AG      7.80     2/27/2017    EUR     65.96
Notenstein La Roche Pri    5.00     2/27/2019    CHF     72.53
Notenstein La Roche Pri    5.70     2/27/2019    CHF     70.89
DekaBank Deutsche Giroz    2.40     2/17/2017    EUR     67.84
UniCredit Bank AG          5.00     6/25/2019    EUR     68.13
Bayerische Landesbank      2.60     3/29/2018    EUR     76.29
EFG International Finan    7.20     2/25/2019    EUR     22.61
Notenstein La Roche Pri    5.00      3/6/2017    CHF     75.30
UniCredit Bank AG          3.75     10/2/2020    EUR     72.42
Landesbank Baden-Wuertt    3.00     8/24/2018    EUR     64.92
Landesbank Baden-Wuertt    3.40     6/22/2018    EUR     56.85
Landesbank Baden-Wuertt    2.70     7/27/2018    EUR     72.96
Landesbank Baden-Wuertt    3.40     8/24/2018    EUR     69.49
Landesbank Baden-Wuertt    4.20     6/23/2017    EUR     64.18
Landesbank Baden-Wuertt    5.00    10/27/2017    EUR     73.72
Landesbank Baden-Wuertt    5.00    10/27/2017    EUR     68.89
Landesbank Baden-Wuertt    4.00    10/27/2017    EUR     73.09
Landesbank Baden-Wuertt    2.50     2/24/2017    EUR     57.45
Landesbank Baden-Wuertt    2.50     2/24/2017    EUR     70.17
Landesbank Baden-Wuertt    3.50     2/24/2017    EUR     54.67
Landesbank Baden-Wuertt    3.50     2/24/2017    EUR     71.45
Landesbank Baden-Wuertt    3.50     2/24/2017    EUR     64.88
Landesbank Baden-Wuertt    4.50     2/24/2017    EUR     67.41
Landesbank Baden-Wuertt    4.50     2/24/2017    EUR     60.54
Landesbank Baden-Wuertt    5.50     2/24/2017    EUR     63.85
Landesbank Baden-Wuertt    5.50     2/24/2017    EUR     56.83
Landesbank Baden-Wuertt    5.50     2/24/2017    EUR     72.45
Landesbank Baden-Wuertt    5.00     2/24/2017    EUR     71.89
Landesbank Baden-Wuertt    4.60     6/23/2017    EUR     72.35
Landesbank Baden-Wuertt    3.25     7/28/2017    EUR     74.52
Landesbank Baden-Wuertt    3.90     7/28/2017    EUR     49.80
Landesbank Baden-Wuertt    5.00     3/24/2017    EUR     74.31
Landesbank Baden-Wuertt    6.00     3/24/2017    EUR     70.18
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     69.49
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     65.25
Landesbank Baden-Wuertt    5.00     3/24/2017    EUR     61.72
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     71.03
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     66.64
Landesbank Baden-Wuertt    5.00     3/24/2017    EUR     63.72
Landesbank Baden-Wuertt    2.50     3/24/2017    EUR     56.55
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     52.68
Landesbank Baden-Wuertt    4.50     3/24/2017    EUR     72.82
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     71.31
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     63.76
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     59.96
Landesbank Baden-Wuertt    5.00     3/24/2017    EUR     56.80
Landesbank Baden-Wuertt    6.00     3/24/2017    EUR     53.97
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     72.19
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     67.70
Landesbank Baden-Wuertt    5.50     3/24/2017    EUR     62.55
Landesbank Baden-Wuertt    3.55     8/25/2017    EUR     43.74
Landesbank Baden-Wuertt    3.75     9/22/2017    EUR     42.49
Landesbank Baden-Wuertt    3.90     9/22/2017    EUR     41.53
Landesbank Baden-Wuertt    3.20     9/22/2017    EUR     69.51
Landesbank Baden-Wuertt    3.00     6/22/2018    EUR     58.59
Landesbank Baden-Wuertt    3.50    11/24/2017    EUR     58.29
Landesbank Baden-Wuertt    3.85    10/27/2017    EUR     46.43
Landesbank Baden-Wuertt    3.00    11/24/2017    EUR     55.37
Landesbank Baden-Wuertt    3.40    11/24/2017    EUR     44.87
Landesbank Baden-Wuertt    3.45     3/22/2019    EUR     64.56
Landesbank Baden-Wuertt    4.50     3/23/2018    EUR     55.47
Landesbank Baden-Wuertt    3.00     6/28/2019    EUR     71.75
Landesbank Baden-Wuertt    2.50     6/28/2019    EUR     73.47
Landesbank Baden-Wuertt    3.50     6/22/2018    EUR     71.34
Landesbank Baden-Wuertt    4.00     8/25/2017    EUR     42.18
Landesbank Baden-Wuertt    3.00     9/28/2018    EUR     49.68
Landesbank Baden-Wuertt    3.75    10/27/2017    EUR     47.03
Landesbank Baden-Wuertt    3.00      1/4/2019    EUR     55.83
Notenstein La Roche Pri    5.40     4/21/2017    CHF     71.56
UBS AG/London              5.00     4/22/2017    CHF     71.50
Leonteq Securities AG      5.00      5/7/2019    CHF     68.88
Leonteq Securities AG      6.00      5/5/2017    CHF     72.01
Notenstein La Roche Pri    5.60      5/4/2017    CHF     73.37
Banque Cantonale Vaudoi    5.35     4/24/2017    CHF     75.38
Landesbank Baden-Wuertt    3.25     8/25/2017    EUR     74.07
Bayerische Landesbank      3.20     7/27/2018    EUR     74.65
Leonteq Securities AG      7.80      5/5/2017    CHF     72.38
Commerzbank AG             7.24     4/27/2017    EUR     60.24
Leonteq Securities AG      8.00     4/24/2017    USD     61.33
DekaBank Deutsche Giroz    3.25     4/20/2018    EUR     66.47
Leonteq Securities AG      6.00      5/4/2017    CHF     71.67
Bank Julius Baer & Co L    6.00      5/2/2017    CHF     70.55
Notenstein La Roche Pri    4.00      5/8/2018    CHF     65.79
Notenstein La Roche Pri    5.50      5/8/2017    CHF     75.60
Zurcher Kantonalbank Fi    7.00     11/3/2017    CHF     71.75
Loan Portfolio Securiti    8.50    12/14/2018    USD     32.21
UBS AG/London             15.50    11/30/2017    CHF     74.25
Leonteq Securities AG     10.20    10/24/2018    EUR     72.19
Bank Julius Baer & Co L    5.40    12/20/2017    CHF     69.50
Notenstein La Roche Pri    4.80    11/14/2018    CHF     74.95
Notenstein La Roche Pri    3.00     9/22/2020    CHF     70.39
Credit Suisse AG/London    9.50    11/15/2019    USD      5.23
EFG International Finan    7.00    11/27/2019    EUR     22.62
Goldman Sachs Internati    1.00     12/5/2017    SEK     14.29
Leonteq Securities AG      3.00     9/19/2019    CHF     59.40
DekaBank Deutsche Giroz    7.15    10/27/2017    EUR     49.18
Lehman Brothers Treasur    7.50     9/13/2009    CHF      0.65
Lehman Brothers Treasur    5.10     6/22/2046    EUR      0.65
Lehman Brothers Treasur    6.50     7/24/2026    EUR      0.65
Lehman Brothers Treasur    4.50      8/2/2009    USD      0.65
Lehman Brothers Treasur    4.00     4/24/2009    USD      0.65
Lehman Brothers Treasur    9.00     3/17/2009    GBP      0.65
Lehman Brothers Treasur    7.00    11/28/2008    CHF      0.65
Lehman Brothers Treasur    3.85     4/24/2009    USD      0.65
Lehman Brothers Treasur    7.25     10/6/2008    EUR      0.65
Lehman Brothers Treasur   10.50      8/9/2010    EUR      0.65
Lehman Brothers Treasur    8.00     5/22/2009    USD      0.65
Lehman Brothers Treasur    4.50     7/24/2014    EUR      0.65
Lehman Brothers Treasur   10.00     3/27/2009    USD      0.65
Lehman Brothers Treasur    5.00    10/24/2008    CHF      0.65
Lehman Brothers Treasur    7.75     1/30/2009    EUR      0.65
Commerzbank AG             8.00     7/14/2021    USD
Polski Bank Spoldzielcz    5.29     9/14/2027    PLN     44.00
HSBC Trinkaus & Burkhar    4.00     6/16/2017    EUR     73.81
Vontobel Financial Prod    3.00     5/26/2017    CHF     72.69
Credit Suisse AG/London    7.80     7/16/2025    USD      9.23
Landesbank Baden-Wuertt    2.90     7/27/2018    EUR     75.13
Landesbank Hessen-Thuer    4.00     5/16/2018    EUR     76.65
DZ Bank AG Deutsche Zen    6.00     3/24/2017    EUR     71.78
Notenstein La Roche Pri    4.80     1/24/2018    CHF     73.94
Credit Suisse AG/London    7.80     7/31/2020    USD      9.33
Credit Suisse AG/Nassau    6.00     7/31/2017    CHF     72.60
Bayerische Landesbank      2.60     8/24/2018    EUR     72.46
Leonteq Securities AG      7.00     7/31/2017    CHF     74.52
Bank Julius Baer & Co L    6.00     7/24/2017    CHF     69.10
UBS AG/London              7.00     7/17/2017    CHF     59.05
Notenstein La Roche Pri    4.00     7/24/2019    CHF     69.39
Notenstein La Roche Pri    6.70     7/24/2017    EUR     72.65
Goldman Sachs & Co Wert    7.00     3/22/2017    EUR     75.08
Notenstein La Roche Pri    4.20     7/17/2019    CHF     73.12
Vontobel Financial Prod    4.65     7/24/2017    EUR     72.60
Notenstein La Roche Pri    6.00     7/17/2017    CHF     75.13
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     71.24
Goldman Sachs & Co Wert   11.00     6/21/2017    EUR     71.60
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     67.02
Goldman Sachs & Co Wert   11.00     6/21/2017    EUR     67.39
DekaBank Deutsche Giroz    2.60     6/15/2018    EUR     73.99
Bank Julius Baer & Co L   11.30      6/7/2017    CHF     60.40
DZ Bank AG Deutsche Zen   11.50     6/23/2017    EUR     57.20
Notenstein La Roche Pri    9.68     6/15/2017    CHF     72.39
UBS AG/London              9.75     3/24/2017    EUR     53.04
UBS AG/London              7.50     3/24/2017    EUR     75.02
UBS AG/London              9.50     3/24/2017    EUR     76.18
Goldman Sachs & Co Wert   11.00    12/20/2017    EUR     76.00
Leonteq Securities AG      8.80     6/21/2017    CHF     74.89
SG Issuer SA               5.05     4/10/2025    EUR     55.56
Goldman Sachs & Co Wert   16.00     3/22/2017    EUR     66.70
Leonteq Securities AG/G   16.20    11/30/2017    USD     72.17
Zurcher Kantonalbank Fi   10.00     8/18/2017    CHF     70.53
BNP Paribas Emissions-    22.00     6/22/2017    EUR     73.24
BNP Paribas Emissions-    16.00     6/22/2017    EUR     74.15
BNP Paribas Emissions-    19.00     3/23/2017    EUR     71.57
Lehman Brothers Treasur    8.05    12/20/2010    HKD      0.65
Lehman Brothers Treasur    6.72    12/29/2008    EUR      0.65
Lehman Brothers Treasur    7.63     7/22/2011    HKD      0.65
Lehman Brothers Treasur    6.60      2/9/2009    EUR      0.65
Lehman Brothers Treasur    7.06    12/29/2008    EUR      0.65
Royal Bank of Scotland     6.20      9/7/2018    GBP
Goldman Sachs & Co Wert   16.00     6/21/2017    EUR     73.87
Deutsche Bank AG           7.20     3/21/2017    EUR     76.20
Vontobel Financial Prod    8.65     3/10/2017    EUR     67.91
Norddeutsche Landesbank    3.00    10/30/2018    EUR     71.56
UBS AG/London              3.81    10/28/2017    USD     69.30
Notenstein La Roche Pri    7.70      5/9/2017    CHF     45.58
Landesbank Baden-Wuertt    4.00     4/28/2017    EUR     70.81
Leonteq Securities AG      7.00     11/6/2017    CHF     47.21
Leonteq Securities AG     16.40      2/6/2017    CHF     42.96
Landesbank Baden-Wuertt    3.00     4/28/2017    EUR     73.53
Leonteq Securities AG     10.00      2/6/2017    CHF     65.90
SG Issuer SA               6.65    10/10/2021    EUR     64.31
Vontobel Financial Prod   11.75      6/9/2017    EUR     76.05
DZ Bank AG Deutsche Zen    9.25     7/28/2017    EUR     59.60
Commerzbank AG            12.25     6/22/2017    EUR     77.61
Commerzbank AG            16.00     6/22/2017    EUR     72.27
HSBC Trinkaus & Burkhar   15.20     6/23/2017    EUR     69.52
Goldman Sachs & Co Wert   17.00     3/22/2017    EUR     74.27
SG Issuer SA               0.80    11/30/2020    SEK     70.24
Notenstein La Roche Pri    6.50     7/11/2017    CHF     60.64
Notenstein La Roche Pri    6.00     7/11/2017    CHF     70.39
EFG International Finan    7.35    12/28/2017    CHF     65.19
Credit Suisse AG/Nassau    7.25     7/13/2017    CHF     70.73
Vontobel Financial Prod   12.50     3/24/2017    EUR     70.86
DZ Bank AG Deutsche Zen    8.00     3/24/2017    EUR     63.91
BNP Paribas Emissions-    28.00     3/23/2017    EUR     68.43
BNP Paribas Emissions-    27.00    12/21/2017    EUR     69.03
Goldman Sachs & Co Wert   20.00     2/22/2017    EUR     75.09
Goldman Sachs & Co Wert   19.00     2/22/2017    EUR     73.13
Goldman Sachs & Co Wert   16.00     6/21/2017    EUR     71.83
Goldman Sachs & Co Wert   20.00     2/22/2017    EUR     68.76
BNP Paribas Emissions-    27.00    12/21/2017    EUR     74.25
BNP Paribas Emissions-    26.00    12/21/2017    EUR     71.76
BNP Paribas Emissions-    26.00    12/21/2017    EUR     73.53
BNP Paribas Emissions-    29.00     6/22/2017    EUR     68.56
BNP Paribas Emissions-    23.00    12/21/2017    EUR     74.67
BNP Paribas Emissions-    28.00    12/21/2017    EUR     69.22
BNP Paribas Emissions-    25.00     6/22/2017    EUR     73.40
BNP Paribas Emissions-    28.00    12/21/2017    EUR     70.02
BNP Paribas Emissions-    28.00     6/22/2017    EUR     69.24
BNP Paribas Emissions-    26.00    12/21/2017    EUR     70.45
BNP Paribas Emissions-    22.00    12/21/2017    EUR     73.52
BNP Paribas Emissions-    25.00    12/21/2017    EUR     69.34
BNP Paribas Emissions-    28.00    12/21/2017    EUR     66.67
BNP Paribas Emissions-    25.00     3/23/2017    EUR     68.25
BNP Paribas Emissions-    25.00    12/21/2017    EUR     72.02
BNP Paribas Emissions-    28.00    12/21/2017    EUR     68.84
BNP Paribas Emissions-    22.00     3/23/2017    EUR     69.83
BNP Paribas Emissions-    29.00     3/23/2017    EUR     62.27
BNP Paribas Emissions-    26.00    12/21/2017    EUR     72.67
BNP Paribas Emissions-    29.00    12/21/2017    EUR     69.20
BNP Paribas Emissions-    25.00     3/23/2017    EUR     72.72
BNP Paribas Emissions-    28.00     3/23/2017    EUR     69.21
BNP Paribas Emissions-    18.00     6/22/2017    EUR     72.62
BNP Paribas Emissions-    26.00     6/22/2017    EUR     63.62
BNP Paribas Emissions-    22.00    12/21/2017    EUR     68.68
BNP Paribas Emissions-    23.00    12/21/2017    EUR     69.37
BNP Paribas Emissions-    29.00    12/21/2017    EUR     62.41
BNP Paribas Emissions-    27.00    12/21/2017    EUR     71.77
BNP Paribas Emissions-    29.00     3/23/2017    EUR     69.81
BNP Paribas Emissions-    27.00    12/21/2017    EUR     70.85
BNP Paribas Emissions-    18.00     3/23/2017    EUR     64.44
BNP Paribas Emissions-    22.00     3/23/2017    EUR     60.47
BNP Paribas Emissions-    28.00     3/23/2017    EUR     53.96
BNP Paribas Emissions-    22.00    12/21/2017    EUR     62.54
BNP Paribas Emissions-    27.00    12/21/2017    EUR     59.03
BNP Paribas Emissions-    28.00    12/21/2017    EUR     69.98
BNP Paribas Emissions-    27.00    12/21/2017    EUR     71.80
BNP Paribas Emissions-    15.00     3/23/2017    EUR     67.19
BNP Paribas Emissions-    16.00     6/22/2017    EUR     65.21
BNP Paribas Emissions-    28.00     6/22/2017    EUR     54.82
BNP Paribas Emissions-    10.00    12/21/2017    EUR     73.33
BNP Paribas Emissions-    15.00    12/21/2017    EUR     67.60
BNP Paribas Emissions-    22.00    12/21/2017    EUR     62.36
BNP Paribas Emissions-    27.00     3/23/2017    EUR     71.68
BNP Paribas Emissions-    25.00     6/22/2017    EUR     73.61
BNP Paribas Emissions-    28.00     6/22/2017    EUR     73.02
BNP Paribas Emissions-    28.00    12/21/2017    EUR     71.29
BNP Paribas Emissions-    25.00    12/21/2017    EUR     73.14
BNP Paribas Emissions-    29.00    12/21/2017    EUR     68.70
BNP Paribas Emissions-    27.00     3/23/2017    EUR     74.52
BNP Paribas Emissions-    27.00    12/21/2017    EUR     73.14
BNP Paribas Emissions-    28.00    12/21/2017    EUR     74.29
BNP Paribas Emissions-    19.00    12/21/2017    EUR     73.41
BNP Paribas Emissions-    27.00     3/23/2017    EUR     68.41
BNP Paribas Emissions-    28.00     3/23/2017    EUR     62.28
BNP Paribas Emissions-    22.00     3/23/2017    EUR     72.03
BNP Paribas Emissions-    28.00     3/23/2017    EUR     65.81
BNP Paribas Emissions-    25.00    12/21/2017    EUR     69.32
BNP Paribas Emissions-    26.00     3/23/2017    EUR     74.28
BNP Paribas Emissions-     9.00     6/22/2017    EUR     72.99
BNP Paribas Emissions-    18.00     6/22/2017    EUR     58.51
BNP Paribas Emissions-    21.00     6/22/2017    EUR     54.71
BNP Paribas Emissions-    10.00    12/21/2017    EUR     72.32
BNP Paribas Emissions-    13.00    12/21/2017    EUR     66.78
BNP Paribas Emissions-    25.00    12/21/2017    EUR     54.54
BNP Paribas Emissions-    18.00     3/23/2017    EUR     58.83
BNP Paribas Emissions-    28.00     3/23/2017    EUR     48.68
BNP Paribas Emissions-    15.00    12/21/2017    EUR     64.52
BNP Paribas Emissions-    27.00     6/22/2017    EUR     72.85
BNP Paribas Emissions-    25.00    12/21/2017    EUR     73.10
BNP Paribas Emissions-    22.00     3/23/2017    EUR     68.16
BNP Paribas Emissions-    25.00    12/21/2017    EUR     66.03
BNP Paribas Emissions-    27.00    12/21/2017    EUR     64.40
BNP Paribas Emissions-    28.00    12/21/2017    EUR     74.72
BNP Paribas Emissions-    28.00     3/23/2017    EUR     72.09
BNP Paribas Emissions-    27.00    12/21/2017    EUR     72.73
BNP Paribas Emissions-    13.00     3/23/2017    EUR     60.04
BNP Paribas Emissions-    16.00     3/23/2017    EUR     53.91
BNP Paribas Emissions-    19.00     3/23/2017    EUR     49.07
BNP Paribas Emissions-    22.00     3/23/2017    EUR     45.18
BNP Paribas Emissions-    25.00     3/23/2017    EUR     41.99
BNP Paribas Emissions-    28.00     3/23/2017    EUR     39.35
BNP Paribas Emissions-    13.00     6/22/2017    EUR     61.96
BNP Paribas Emissions-    25.00     6/22/2017    EUR     44.42
BNP Paribas Emissions-    15.00    12/21/2017    EUR     59.76
BNP Paribas Emissions-    19.00    12/21/2017    EUR     53.92
BNP Paribas Emissions-    22.00    12/21/2017    EUR     51.19
BNP Paribas Emissions-    25.00    12/21/2017    EUR     49.80
BNP Paribas Emissions-    27.00    12/21/2017    EUR     48.99
BNP Paribas Emissions-    25.00     6/22/2017    EUR     69.43
BNP Paribas Emissions-    27.00     6/22/2017    EUR     67.00
BNP Paribas Emissions-    22.00    12/21/2017    EUR     73.33
BNP Paribas Emissions-    25.00     6/22/2017    EUR     62.09
BNP Paribas Emissions-    19.00    12/21/2017    EUR     69.37
BNP Paribas Emissions-    28.00    12/21/2017    EUR     62.14
BNP Paribas Emissions-    19.00     3/23/2017    EUR     68.26
BNP Paribas Emissions-    24.00     3/23/2017    EUR     62.86
BNP Paribas Emissions-    28.00     3/23/2017    EUR     58.34
BNP Paribas Emissions-    16.00     6/22/2017    EUR     71.95
BNP Paribas Emissions-     5.00     3/23/2017    EUR     73.35
BNP Paribas Emissions-     5.00     6/22/2017    EUR     73.71
BNP Paribas Emissions-    13.00     6/22/2017    EUR     55.92
BNP Paribas Emissions-    19.00     6/22/2017    EUR     49.64
BNP Paribas Emissions-     5.00    12/21/2017    EUR     73.61
BNP Paribas Emissions-    28.00    12/21/2017    EUR     49.92
BNP Paribas Emissions-    24.00     3/23/2017    EUR     60.02
BNP Paribas Emissions-    12.00    12/21/2017    EUR     74.13
BNP Paribas Emissions-    18.00     3/23/2017    EUR     62.85
BNP Paribas Emissions-    22.00     3/23/2017    EUR     58.99
BNP Paribas Emissions-    25.00     6/22/2017    EUR     56.52
BNP Paribas Emissions-    27.00     6/22/2017    EUR     54.48
BNP Paribas Emissions-    19.00    12/21/2017    EUR     63.79
BNP Paribas Emissions-    22.00    12/21/2017    EUR     61.16
BNP Paribas Emissions-    25.00    12/21/2017    EUR     59.57
BNP Paribas Emissions-    27.00    12/21/2017    EUR     57.88
BNP Paribas Emissions-    28.00     3/23/2017    EUR     69.13
BNP Paribas Emissions-    26.00     3/23/2017    EUR     72.36
UBS AG/London             11.70     4/18/2017    EUR     60.36
Raiffeisen Centrobank A    7.20     9/20/2017    EUR     73.25
Goldman Sachs & Co Wert   16.00     6/21/2017    EUR     73.52
Leonteq Securities AG      7.40    11/20/2017    EUR     71.76
Bank Julius Baer & Co L    5.50     11/6/2017    CHF     62.85
Deutsche Bank AG           9.20     3/21/2017    EUR     73.60
UBS AG/London             10.20     2/10/2017    EUR     72.23
DekaBank Deutsche Giroz    3.50    10/28/2019    EUR     71.86
Vontobel Financial Prod   12.25     3/10/2017    EUR     73.40
Notenstein La Roche Pri    5.00    10/31/2018    CHF     72.65
Zurcher Kantonalbank Fi   11.25     4/26/2017    CHF     47.29
HSBC Trinkaus & Burkhar    5.00     4/28/2017    EUR     64.15
Bank Julius Baer & Co L   14.40     11/2/2017    CHF     67.80
Landesbank Baden-Wuertt    3.00     9/22/2017    EUR     63.78
Leonteq Securities AG      6.00    10/12/2017    CHF     66.54
UniCredit Bank AG          4.50     9/19/2017    EUR     70.89
Landesbank Hessen-Thuer    5.00    10/17/2017    EUR     76.20
Landesbank Hessen-Thuer    4.50    11/28/2017    EUR     75.66
UniCredit Bank AG          5.40     6/30/2017    EUR     61.33
Eiendomskreditt            5.43                  NOK     67.00
Kommunekredit              0.50     5/11/2029    CAD     70.26
Municipality Finance PL    0.25     6/28/2040    CAD     30.52
KPNQwest NV                7.13      6/1/2009    EUR      0.18
Societe Generale SA        0.50      7/6/2021    BRL     66.56
Societe Generale SA        0.50      8/4/2021    BRL     66.13
Svensk Exportkredit AB     0.50     8/25/2021    ZAR     67.74
Bank Nederlandse Gemeen    0.50     5/12/2021    ZAR     69.33
KPNQwest NV                8.88      2/1/2008    EUR      0.18
Barclays Bank PLC          1.99     12/1/2040    USD     69.88
Kommunekredit              0.50    12/14/2020    ZAR     71.51
Societe Generale SA        0.50     6/12/2023    RUB     59.55
HSBC Bank PLC              0.50     4/11/2023    MXN     57.90
Eiendomskreditt            4.48                  NOK     56.29
Lehman Brothers Treasur    4.25     5/15/2010    EUR      0.65
Lehman Brothers Treasur   10.00      1/3/2012    BRL      0.65
Lehman Brothers Treasur    6.00     5/23/2018    CZK      0.65
HSBC Trinkaus & Burkhar    9.20     6/23/2017    EUR     72.81
HSBC Trinkaus & Burkhar    7.20     9/22/2017    EUR     74.96
HSBC Trinkaus & Burkhar    4.00     6/16/2017    EUR     66.91
HSBC Trinkaus & Burkhar    1.75     8/25/2017    EUR     60.70
Zurcher Kantonalbank Fi   12.10      9/6/2017    CHF     72.04
Vontobel Financial Prod    8.35     5/26/2017    USD     72.17
BNP Paribas Emissions-    15.00     3/23/2017    EUR     63.21
BNP Paribas Emissions-    16.00     3/23/2017    EUR     60.26
BNP Paribas Emissions-    18.00     3/23/2017    EUR     57.71
BNP Paribas Emissions-    24.00     3/23/2017    EUR     51.45
BNP Paribas Emissions-    25.00     3/23/2017    EUR     49.62
BNP Paribas Emissions-    15.00    12/21/2017    EUR     66.38
BNP Paribas Emissions-    16.00    12/21/2017    EUR     63.72
BNP Paribas Emissions-    18.00    12/21/2017    EUR     62.35
BNP Paribas Emissions-    19.00    12/21/2017    EUR     61.36
BNP Paribas Emissions-    12.00     3/23/2017    EUR     73.03
BNP Paribas Emissions-    12.00     6/22/2017    EUR     73.14
Exane Finance SA           3.00     9/18/2018    USD     72.53
Lehman Brothers Treasur    0.25     7/21/2014    EUR      0.65
Lehman Brothers Treasur    4.95    10/25/2036    EUR      0.65
Lehman Brothers Treasur   11.00     6/29/2009    EUR      0.65
Lehman Brothers Treasur    8.00      8/3/2009    USD      0.65
Lehman Brothers Treasur    2.50    12/15/2011    GBP      0.65
Lehman Brothers Treasur   11.00    12/19/2011    USD      0.65
Lehman Brothers Treasur    7.00     2/15/2012    EUR      0.65
Lehman Brothers Treasur    6.00     5/12/2017    EUR      0.65
Lehman Brothers Treasur    4.10     2/19/2010    EUR      0.65
Lehman Brothers Treasur    3.50    10/31/2011    USD      0.65
Lehman Brothers Treasur    3.50    10/24/2011    USD      0.65
Lehman Brothers Treasur    1.68      3/5/2015    EUR      0.65
Lehman Brothers Treasur    9.00     5/15/2022    USD      0.65
Lehman Brothers Treasur    6.75      4/5/2012    EUR      0.65
Lehman Brothers Treasur    3.35    10/13/2016    EUR      0.65
Lehman Brothers Treasur    0.80    12/30/2016    EUR      0.65
Lehman Brothers Treasur    4.00     5/30/2010    USD      0.65
Lehman Brothers Treasur    4.00     5/17/2010    USD      0.65
Lehman Brothers Treasur    2.48     5/12/2009    USD      0.65
Lehman Brothers Treasur    2.25     5/12/2009    USD      0.65
Lehman Brothers Treasur    4.10     6/10/2014    SGD      9.63
Lehman Brothers Treasur   13.00     7/25/2012    EUR      0.65
Lehman Brothers Treasur    3.00     8/13/2011    EUR      0.65
Lehman Brothers Treasur    6.00    12/30/2017    EUR      0.65
Lehman Brothers Treasur    8.80    12/27/2009    EUR      0.65
Lehman Brothers Treasur   11.00    12/20/2017    AUD      0.65
Lehman Brothers Treasur   11.00    12/20/2017    AUD      0.65
Lehman Brothers Treasur    4.00      1/4/2011    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      0.65
Lehman Brothers Treasur    9.30    12/21/2010    EUR      0.65
Lehman Brothers Treasur    8.00    12/31/2010    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    USD      0.65
Lehman Brothers Treasur   11.00     2/16/2009    CHF      0.65
Lehman Brothers Treasur   10.00     2/16/2009    CHF      0.65
Lehman Brothers Treasur    6.25    11/30/2012    EUR      0.65
Lehman Brothers Treasur    6.00     2/19/2023    USD      0.65
Lehman Brothers Treasur    1.00     2/26/2010    USD      0.65
Lehman Brothers Treasur    8.00     3/21/2018    USD      0.65
Lehman Brothers Treasur   11.75      3/1/2010    EUR      0.65
Lehman Brothers Treasur    8.00    10/17/2014    EUR      0.65
Lehman Brothers Treasur    7.05      4/8/2015    USD      0.65
Lehman Brothers Treasur    7.80     3/31/2018    USD      0.65
Lehman Brothers Treasur    9.50      4/1/2018    USD      0.65
Lehman Brothers Treasur    6.00      3/4/2015    USD      0.65
Lehman Brothers Treasur    7.15     3/21/2013    USD      0.65
Lehman Brothers Treasur    3.50     6/20/2011    EUR      0.65
Bank Julius Baer & Co L   12.80     9/20/2017    CHF     62.90
Bank Julius Baer & Co L   13.85     9/20/2017    CHF     72.55
Lehman Brothers Treasur   18.25     10/2/2008    USD      0.65
Lehman Brothers Treasur    1.50    10/12/2010    EUR      0.65
ECM Real Estate Investm    5.00     10/9/2011    EUR     10.38
LBI HF                     7.43                  USD      0.00
Lehman Brothers Treasur   12.22    11/21/2017    USD      0.65
Lehman Brothers Treasur    5.50    11/30/2012    CZK      0.65
Lehman Brothers Treasur   14.90    11/16/2010    EUR      0.65
Lehman Brothers Treasur   16.00     10/8/2008    CHF      0.65
Lehman Brothers Treasur    3.40     9/21/2009    HKD      0.65
Lehman Brothers Treasur    4.00    10/12/2010    USD      0.65
Lehman Brothers Treasur    7.00    10/22/2010    EUR      0.65
Lehman Brothers Treasur    8.00    10/23/2008    USD      0.65
Lehman Brothers Treasur    4.60     11/9/2011    EUR      8.63
Lehman Brothers Treasur    4.80    11/16/2012    HKD      0.65
Lehman Brothers Treasur    3.50    12/20/2027    USD      0.65
Nota-Bank OJSC            13.50      4/1/2016    RUB     31.50
Zurcher Kantonalbank Fi    6.51     10/5/2018    CHF     74.19
Bank Julius Baer & Co L   11.60    10/11/2017    CHF     65.20
DZ Bank AG Deutsche Zen   16.00     2/24/2017    EUR     70.47
Vontobel Financial Prod   17.50     3/24/2017    EUR     71.62
DekaBank Deutsche Giroz    2.75    10/29/2018    EUR     65.56
EFG International Finan    7.19      5/6/2019    EUR     19.29
Bank J Safra Sarasin AG    8.00      5/4/2017    CHF     67.31
DekaBank Deutsche Giroz    3.00     4/30/2019    EUR     74.10
Landesbank Baden-Wuertt    3.55     8/25/2017    EUR     74.42
Landesbank Baden-Wuertt    4.00     6/22/2018    EUR     74.78
Landesbank Baden-Wuertt    3.60     6/22/2018    EUR     72.02
UBS AG                     7.40     5/17/2021    CHF     71.86
Notenstein La Roche Pri    4.20     5/22/2019    CHF     69.10
Notenstein La Roche Pri    4.50     5/22/2018    CHF     69.30
DekaBank Deutsche Giroz    3.00     5/12/2017    EUR     68.75
DekaBank Deutsche Giroz    2.80     5/13/2019    EUR     69.59
Notenstein La Roche Pri    5.70     5/29/2017    CHF     74.59
Notenstein La Roche Pri    4.00     5/29/2017    CHF     72.98
Zurcher Kantonalbank Fi    3.80     5/22/2017    EUR     68.64
UBS AG/London              7.00     5/22/2017    CHF     66.00
UBS AG/London              8.00     5/26/2017    EUR     65.00
Leonteq Securities AG      9.92     5/29/2017    EUR     67.61
Notenstein La Roche Pri    5.80      6/5/2018    CHF     73.51
Notenstein La Roche Pri    5.50      6/8/2017    CHF     74.85
Commerzbank AG             6.76     6/22/2017    EUR     63.83
Landesbank Baden-Wuertt    3.50     7/27/2018    EUR     74.72
Landesbank Baden-Wuertt    3.50     7/27/2018    EUR     67.33
Landesbank Baden-Wuertt    5.50     6/23/2017    EUR     72.35
Landesbank Baden-Wuertt    4.00     6/23/2017    EUR     75.63
Landesbank Baden-Wuertt    5.50     6/23/2017    EUR     69.12
Landesbank Baden-Wuertt    2.50     6/23/2017    EUR     72.50
Landesbank Baden-Wuertt    3.50     6/23/2017    EUR     68.22
Landesbank Baden-Wuertt    4.50     6/23/2017    EUR     64.95
Landesbank Baden-Wuertt    2.50     6/23/2017    EUR     69.32
Landesbank Baden-Wuertt    4.00     6/23/2017    EUR     62.97
Landesbank Baden-Wuertt    5.50     6/23/2017    EUR     58.41
Landesbank Baden-Wuertt    4.00     6/23/2017    EUR     72.47
Landesbank Baden-Wuertt    5.00     6/23/2017    EUR     68.92
Landesbank Baden-Wuertt    6.00     6/23/2017    EUR     66.11
Notenstein Finance Guer    5.40     6/12/2017    CHF     74.12
UniCredit Bank AG          3.80     7/23/2020    EUR     73.20
Raiffeisen Centrobank A    9.50     7/13/2017    EUR     67.80
Leonteq Securities AG      3.00      7/8/2019    CHF     75.76
UniCredit Bank AG          4.40     7/13/2018    EUR     73.94
Bayerische Landesbank      2.70     7/20/2018    EUR     74.45
Notenstein La Roche Pri    6.50     6/26/2017    EUR     70.91
HSBC Trinkaus & Burkhar    8.20     9/22/2017    EUR     72.85
UBS AG/London              6.00     10/5/2017    CHF     58.95
Lehman Brothers Treasur    6.85    12/22/2008    EUR      0.65
Lehman Brothers Treasur    7.60     3/26/2009    EUR      0.65
Lehman Brothers Treasur    7.55    12/29/2008    USD      0.65
Raiffeisen Centrobank A    6.24     3/22/2017    EUR     75.05
Goldman Sachs & Co Wert   14.00     6/21/2017    EUR     72.86
Goldman Sachs & Co Wert    8.00     3/22/2017    EUR     75.20
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     69.27
Goldman Sachs & Co Wert   14.00     3/22/2017    EUR     60.03
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     71.66
Goldman Sachs & Co Wert   13.00     6/21/2017    EUR     63.24
Goldman Sachs & Co Wert   13.00     3/22/2017    EUR     71.96
Goldman Sachs & Co Wert   12.00     6/21/2017    EUR     72.05
Goldman Sachs & Co Wert    6.00     3/22/2017    EUR     75.84
Goldman Sachs & Co Wert    7.00     3/22/2017    EUR     73.09
Goldman Sachs & Co Wert    8.00     3/22/2017    EUR     68.06
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     63.83
Goldman Sachs & Co Wert   14.00     3/22/2017    EUR     56.94
Goldman Sachs & Co Wert    6.00     6/21/2017    EUR     77.00
Goldman Sachs & Co Wert    7.00     6/21/2017    EUR     74.68
Goldman Sachs & Co Wert    8.00     6/21/2017    EUR     70.09
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     66.42
Goldman Sachs & Co Wert   13.00     6/21/2017    EUR     60.20
Goldman Sachs & Co Wert    7.00     3/22/2017    EUR     68.60
Goldman Sachs & Co Wert    8.00     3/22/2017    EUR     65.14
Goldman Sachs & Co Wert    9.00     3/22/2017    EUR     61.89
Goldman Sachs & Co Wert   13.00     3/22/2017    EUR     54.39
Goldman Sachs & Co Wert    6.00     6/21/2017    EUR     73.03
Goldman Sachs & Co Wert    7.00     6/21/2017    EUR     69.54
Goldman Sachs & Co Wert    8.00     6/21/2017    EUR     66.46
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     64.04
Goldman Sachs & Co Wert   13.00     6/21/2017    EUR     57.12
Goldman Sachs & Co Wert    7.00     3/22/2017    EUR     73.32
UBS AG/London              9.25     6/26/2017    CHF     64.30
UBS AG/London              7.00     6/26/2017    EUR     70.35
UBS AG/London              9.40     6/30/2017    EUR     44.60
EFG International Finan    7.20     6/26/2017    GBP     13.86
Zurcher Kantonalbank Fi    8.50     7/17/2017    CHF     60.99
UBS AG/London              7.50      7/3/2017    EUR     66.65
Banque Cantonale Vaudoi    7.25      7/3/2017    CHF     59.17
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     70.13
Goldman Sachs & Co Wert   12.00     3/22/2017    EUR     66.06
Goldman Sachs & Co Wert   11.00     6/21/2017    EUR     67.40
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     71.25
HSBC Trinkaus & Burkhar    7.10     3/24/2017    EUR     71.80
HSBC Trinkaus & Burkhar    6.70     3/24/2017    EUR     65.71
HSBC Trinkaus & Burkhar    6.50     3/24/2017    EUR     70.02
HSBC Trinkaus & Burkhar    7.40     3/24/2017    EUR     63.67
HSBC Trinkaus & Burkhar    6.70     3/24/2017    EUR     73.21
Landesbank Baden-Wuertt    2.60     2/24/2017    EUR     72.33
UBS AG/London              6.25     7/24/2017    CHF     71.45
Landesbank Baden-Wuertt    2.60     8/23/2019    EUR     73.77
Banque Cantonale Vaudoi    5.35     7/24/2017    CHF     73.31
Credit Suisse AG/Nassau    7.00      8/7/2017    CHF     72.34
Notenstein La Roche Pri    5.80      8/7/2017    CHF     73.04
Goldman Sachs & Co Wert   13.00     3/22/2017    EUR     53.75
Goldman Sachs & Co Wert    9.00     6/21/2017    EUR     62.16
Goldman Sachs & Co Wert   12.00     6/21/2017    EUR     56.76
Landesbank Baden-Wuertt    4.50     8/25/2017    EUR     73.13
Landesbank Baden-Wuertt    3.50     8/25/2017    EUR     73.17
Landesbank Baden-Wuertt    4.50     8/25/2017    EUR     69.61
Landesbank Baden-Wuertt    5.00     8/25/2017    EUR     73.67
Landesbank Baden-Wuertt    3.00     8/25/2017    EUR     74.18
Landesbank Baden-Wuertt    4.00     8/25/2017    EUR     70.13
Landesbank Baden-Wuertt    5.00     8/25/2017    EUR     66.92
Landesbank Baden-Wuertt    3.00     8/25/2017    EUR     74.68
Notenstein La Roche Pri    5.60     7/31/2017    CHF     74.21
Zurcher Kantonalbank Fi    4.00     8/24/2018    CHF     74.23
Bank Julius Baer & Co L    9.05     2/13/2017    EUR     74.85
DekaBank Deutsche Giroz    2.60     6/23/2017    EUR     74.05
Notenstein La Roche Pri    7.00     8/14/2017    CHF     72.99
Leonteq Securities AG      5.20     8/14/2018    CHF     70.12
Goldman Sachs & Co Wert    9.00     6/21/2017    EUR     68.81
Goldman Sachs & Co Wert   13.00     6/21/2017    EUR     60.96
Credit Suisse AG/London    7.70     8/20/2025    USD      8.64
Notenstein La Roche Pri    6.30     2/14/2017    CHF     57.83
Notenstein La Roche Pri    5.30     8/14/2017    CHF     75.62
Leonteq Securities AG      5.20     8/14/2017    CHF     73.80
UBS AG/London              5.00      8/6/2018    CHF     74.80
Lehman Brothers Treasur    2.40     6/20/2011    JPY      0.65
Lehman Brothers Treasur    1.60     6/21/2010    JPY      0.65
Bank VTB 24 JSC            9.00      9/1/2044    RUB     60.00
Commerzbank AG             4.00      9/8/2017    EUR     68.76
Lehman Brothers Treasur    5.20     3/19/2018    EUR      0.65
Credit Suisse AG/Nassau    7.25     2/20/2017    EUR     74.35
Credit Suisse AG/London    8.95    10/17/2019    USD      9.35
Lloyds Bank PLC            0.50     7/26/2021    BRL     65.29
RGS Nedvizhimost OOO      12.50     7/22/2021    RUB     60.06
Praim Finans OOO          12.50    11/10/2025    RUB    100.00
HSBC Bank PLC              0.50    12/22/2025    BRL     43.44
Soyuz AKB OAO             11.00    10/11/2018    RUB     60.06
IT Holding Finance SA      9.88    11/15/2012    EUR      0.24
Synergy PJSC              14.50     5/28/2020    RUB     61.01
IDGC of the North Cauca   13.00     4/22/2021    RUB     60.00


                            *********

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, Julie Anne L. Toledo, Ivy B. Magdadaro, and
Peter A. Chapman, Editors.

Copyright 2017.  All rights reserved.  ISSN 1529-2754.

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

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

The TCR Europe subscription rate is US$775 per half-year,
delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
contact Peter Chapman at 215-945-7000 or Nina Novak at
202-362-8552.


                 * * * End of Transmission * * *