/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/180226.mbx T R O U B L E D C O M P A N Y R E P O R T E R E U R O P E Monday, February 26, 2018, Vol. 19, No. 040 Headlines F R A N C E FAURECIA SA: Moody's Hikes CFR to Ba1, Outlook Stable FAURECIA SA: Fitch Raises IDR & Sr. Unsec. Debt Rating to BB+ SOLOCAL GROUP: Fitch Affirms B- Long-Term IDR, Outlook Stable G E O R G I A GEORGIA CAPITAL: S&P Gives Prelim. 'B+' Rating, Outlook Stable G E R M A N Y NORDEX SE: S&P Assigns 'B' Issuer Credit Rating, Outlook Stable TUI AG: Moody's Revises Outlook to Positive & Affirms Ba2 CFR G R E E C E * S&P Affirms CCC+/C Counterparty Credit Ratings on 4 Greek Banks I R E L A N D AVOCA CLO XV: Moody's Assigns B2(sf) Rating to Class F-R Notes AVOCA CLO XV: Fitch Assigns B- Rating to Class M-2 Notes GREAT HALL 2006-1: S&P Raises Class Ea Notes Rating to BB+(sf) N E T H E R L A N D S MUNDA CLO I: Moody's Hikes Class D Notes Rating to Ba2 P O R T U G A L LUSITANO MORTGAGES 4: Fitch Affirms BB Ratings on 3 Tranches R U S S I A BANK OTKRITIE: Moody's Reviews B2 Unsec. Debt Ratings for Upgrade BANK SOVETSKY: Bank of Russia Okays Bankruptcy Participation Plan BANK ZENIT: Moody's Alters Outlook to Pos. & Affirms Ba3 Rating MASTER-CAPITAL BANK: Placed on Provisional Administration NATIONAL STANDARD: Reorganization Procedure Launched Via Merger U N I T E D K I N G D O M CARILLION PLC: Amey Rail Buys Wave of Contracts, 700 Jobs Saved CARILLION PLC: Regulator to Use Powers for Pensions Recovery STONEGATE PUB: S&P Lowers CCR to 'B-' on Negative Cash Flow X X X X X X X X * BOND PRICING: For the Week February 19 to February 23, 2018 ********* =========== F R A N C E =========== FAURECIA SA: Moody's Hikes CFR to Ba1, Outlook Stable ----------------------------------------------------- Moody's Investors Service has upgraded the corporate family rating (CFR) of Faurecia SA to Ba1 from Ba2. Concurrently, Moody's upgraded the probability of default rating (PDR) to Ba1-PD from Ba2-PD and the senior unsecured instrument ratings to Ba1 from Ba3. The outlook on the ratings is stable. "The upgrade of Faurecia's ratings reflects the company's continued improvements in its operating performance over the last two years, which has sustained leverage metrics within Moody's expectations for a rating upgrade. Moreover, profitability has consistently improved and now meets Moody's expectations for a Ba1. Within a stable industry environment, Moody's expects further gradual improvements in Faurecia's credit metrics," says Matthias Heck, a Moody's Vice President -- Senior Analyst and Lead Analyst for Faurecia. LIST OF AFFECTED RATINGS Upgrades: Issuer: Faurecia SA -- Corporate Family Rating, Upgraded to Ba1 from Ba2 -- Probability of Default Rating, Upgraded to Ba1-PD from Ba2-PD -- Senior Unsecured Regular Bond/Debenture, Upgraded to Ba1 from Ba3 Outlook Actions: Issuer: Faurecia SA -- Outlook, Changed To Stable From Positive RATINGS RATIONALE The rating upgrade reflects Faurecia's gradual improvement of key credit metrics to the level required for a Ba1 rating. Leverage (Moody's adjusted debt / EBITDA estimated at 2.7x as of December 2017 vs. 3.0x as of 2016) and EBITA margins (4.8% on total sales, 5.5% on value-added sales, estimated for 2017, based on Moody's calculation, vs. 4.2% / 5.0% in 2016) have improved in line with expectations. Moreover, free cash flows have recovered (+6.4% Moody's adjusted FCF / debt in 2017, after 0% in 2016). For FY2017, Faurecia reported an increase in value-added sales (excluding monoliths) of 10.6% to EUR17.0 billion and an increase in operating income of 20.6% to EUR1.17 billion. Faurecia's sales growth substantially outperformed global light vehicle production (+2.3% in 2017). All three divisions, seating, interiors and clean mobility, contributed to sales and operating profit growth. Faurecia's gross debt (Moody's adjusted) slightly increased to approximately EUR4.0 billion as of December 2017 (EUR3.8 billion at December 2016), reflecting financial investments of EUR319 million and also shareholder distributions of EUR226 million (dividends and share purchase). Faurecia's Ba1 Corporate Family Rating (CFR) reflects as positives: (a) the large size of the group, which positions it as one of the 10 largest global automotive suppliers; (b) its strong market position with a leading market share in seating, emission control technologies and interiors; (c) long-standing relationships across a diversified number of original equipment manufacturers (OEMs); and (d) positive exposure to key industry themes (emissions reduction, light weighting and autonomous driving) that supports revenue growth above light vehicle production. The rating also balances offsetting negative considerations, including: (a) significant exposure to OEM production which is highly cyclical and subjects the company to the manufacturers bargaining power; (b) limited exposure to aftermarket activities, which are typically more stable and at higher margin; (c) relatively weak, albeit improving profitability; (d) recently improved but overall still limited free cash flow (FCF) generation. RATIONALE FOR THE STABLE OUTLOOK The stable outlook incorporates Moody's expectation that Faurecia will continue to improve its profitability, further reduce its leverage and thus build on the solid improvements the group has shown over the last three years. Moody's anticipates a continued strengthening of Faurecia's credit quality and buildup of some headroom for bolt-on acquisitions to support growth in strategic areas. WHAT COULD CHANGE THE RATINGS DOWN/UP Moody's would consider a positive rating action should Faurecia sustainably achieve EBITA margins above 7% (5.0% estimated for 2017, excluding monoliths), if it further improves FCF generation (EUR255 million estimated for 2017), indicated by FCF/debt in the high single digits (6.4% estimated for 2017) through the cycle and if the company can manage its leverage ratio to a level materially below 2.5x debt/EBITDA on a sustainable basis (2.7x estimated for 2017). An upgrade would also require Faurecia to achieve a solid liquidity profile. The rating incorporates the expectation that profitability can be further strengthened and FCF generation will remain positive. However, EBITA margin approaching 4% or recurring negative free cash flow, would put downward pressure on the ratings. Moody's would also consider downgrading Faurecia's ratings if its leverage ratio increases to a level of sustainably above 3.0x debt/EBITDA. Likewise, a weakening liquidity profile could result in a downgrade. The principal methodology used in these ratings was Global Automotive Supplier Industry published in June 2016. Headquartered in Paris, France, Faurecia S.A. is one of the world's largest automotive suppliers for seats, exhaust systems and interiors. In 2017, value added sales (excluding monoliths) amounted to EUR17.0 billion. Faurecia is listed on the Paris stock exchange and the largest shareholder is Peugeot S.A. (PSA), which holds 46.3% of the capital and 63.1% of the voting rights (data as of June 30, 2017). The remaining shares of Faurecia are in free float. FAURECIA SA: Fitch Raises IDR & Sr. Unsec. Debt Rating to BB+ ------------------------------------------------------------- Fitch Ratings has upgraded Faurecia S.A.'s Long-Term Issuer Default Rating (IDR) and senior unsecured debt to 'BB+' from 'BB'. The Outlook on the Long-Term IDR is Stable. The rating action reflects the improved and better-than-expected earnings and underlying cash generation of Faurecia, which positions the French auto supplier at the high-end of the 'BB' category, according to Fitch's revised Rating Navigator for auto suppliers. Free cash flow (FCF) below 1.5% of sales remains weak for the rating. This is despite an improvement in 2017 to 1.1% of total sales (1.3% of value-added (VA) sales, excluding sales of catalytic converter monoliths), boosted by a working capital inflow that offset higher dividends and capex. However, Fitch expect a gradual and modest strengthening towards 2% by 2020. Fitch also assess FCF in combination with leverage, the latter of which has improved continuously since 2012 and is now firmly in line with the rating. Faurecia's credit metrics now compare more adequately with similarly-rated peers in Fitch's portfolio. KEY RATING DRIVERS Improving Earnings: The operating margin, based on VA sales and after restructuring expenses, has increased continuously to 6.4% in 2017 from 3.8% in 2014. Fitch expect further improvement to more than 7% by 2020, a level more in line with peers' and a 'BB+' rating. All divisions have strengthened their earnings and all regions returned to profitability in 2017. The robust order book also provides support to earnings sustainability in the next two to three years. Underlying cash generation has also improved to levels more commensurate with the high end of the 'BB' category as the FFO margin is forecast to rise to about 9% of VA sales by 2020, from 7.9% in 2017 and 7.6% in 2016. Leading Market Positions: The ratings of Faurecia are supported by its diversification, size and leading market positions as the eighth-largest global automotive supplier. Its large and diversified portfolio is a strength in the global automotive market, which is being reshaped by the development of global car manufacturing platforms and the acceleration of new technologies and demand from large manufacturers. Fitch also believes that the company is well- positioned in some fast-growing segments to outperform the overall auto supply market, notably by offering products that increase the fuel efficiency of its customers' vehicles. Business Refocus: Fitch believes that the exterior business (FAE) disposal in 2016 is an illustration of Faurecia's aim to gradually refocus the business. In particular, Fitch expect the company to acquire businesses active in higher added-value and faster-growing segments and to accelerate investment in sustainable mobility and the interior business. This should help address some of the longer-term risks associated with Faurecia's smaller exposure to fast-growing and more profitable segments such as connectivity and autonomous driving, compared with large peers such as Continental and Bosch. Fitch's rating case includes several bolt-on acquisitions for about EUR350 million per year but no major purchases, which Fitch would assess on a case-by-case basis. Sound Diversification: Faurecia's healthy diversification by product, customer and geography can smooth potential sales decline in one particular region or lower orders from one specific manufacturer. Its broad industrial footprint matching its customers' production sites and needs enables Faurecia to follow its customers in their international expansion. The company has greatly reduced its dependence on some of its large historical customers and no manufacturer now represents more than 20% of product sales. Weak FCF: FCF increased to just over EUR220 million in 2017 (1.1% of total sales and 1.3% of VA sales) from about breakeven in 2015 and 2016. The improvement was driven chiefly by more than EUR200 million of working capital inflow and improved funds from operations (FFO) offsetting higher dividends and capex. Fitch expects FCF to remain at risk of a potential working capital reversal in the medium-term and increasing investment to meet the company's business refocus and accelerating demand arising from shifting automotive trends. Fitch expects the FCF margin to decline below 1% in 2018 before recovering towards 2% by 2020. This remains at the low end of Fitch's typical guidelines for a 'BB+' rating but Fitch assess FCF in combination with leverage, the latter of which has improved continuously since 2012 and is now firmly in line with the current rating. Stronger Financial Structure: Faurecia's FFO adjusted net leverage remained stable at 1.6x at end-2017 as positive FCF was absorbed by a few small acquisitions. Fitch expects leverage to remain broadly stable at around 1.5-1.6x in the foreseeable future in the absence of major acquisitions, which would be treated as event risk. Weak Linkage with Peugeot S.A.: Fitch applied Fitch parent and subsidiary rating linkage (PSL) methodology and assessed that Faurecia has a credit profile similar to its parent Peugeot S.A. (PSA; BB+/Stable), which has a 46.3% stake and 63.1% voting rights. Fitch also deem the legal, operational and strategic ties between the two entities weak enough to rate Faurecia on a standalone basis. DERIVATION SUMMARY Faurecia's business profile compares adequately with auto suppliers at the low-end of the 'BBB' category. The share of the company's aftermarket business, which is less volatile and cyclical than sales to original equipment manufacturers (OEMs), is smaller than tyre manufacturers such as CGE Michelin (A-/Stable) and Continental AG (BBB+/Stable). Faurecia's portfolio has fewer products with higher added value and substantial growth potential than other leading and innovative suppliers including Robert Bosch AG (F1), Continental AG and Aptiv PLC (BBB/Stable). However, similar to other large and global suppliers, it has a broad and diversified exposure to large international auto manufacturers. With an EBIT margin around 6.5%, profitability is lower than that of investment grade-rated peers, such as Continental AG, BorgWarner, Inc. (BBB+/Stable) and Aptiv PLC and similarly rated Tenneco, Inc. (BB+/Stable). Faurecia's FCF is at the low end of Fitch's portfolio of auto suppliers in the 'BB+'/'BBB-' rating categories. Adjusted net leverage is just above 1.5x, lower than Tenneco's, and improving but still higher than investment-grade peers'. Fitch applied its PSL methodology and assessed that Faurecia can be rated on a standalone basis. No country-ceiling or operating environment aspects impact the ratings. KEY ASSUMPTIONS Fitch's Key Assumptions within Fitch Rating Case for the Issuer - Revenues to increase in mid-single digits in 2018-2020. Fitch is now assessing revenue based on VA sales, excluding catalytic converter monoliths, in line with the company's new reporting method. Monoliths represented EUR3.2 billion sales in 2017. - Operating margins to increase gradually to 7.2% of VA sales by 2020. - Restructuring cash outflows of about EUR80 million in 2018, declining to about EUR60 million-EUR70 million per year in 2019-2020. - Moderate cash outflow from working capital reversal in 2018, before stabilising in 2019-2020. - Capex to remain broadly stable around EUR1.2 billion per year. - Dividend pay-out ratio of 25%. - Acquisitions to average around EUR350 million per year in 2018-2020. RATING SENSITIVITIES Rating sensitivities have been updated to reflect the upgrade and the latest Rating Navigator for the auto supply industry. Developments That May, Individually or Collectively, Lead to Positive Rating Action - FFO adjusted net leverage below 1.5x - Operating EBIT margin above 8% - FCF margin around 2% Developments That May, Individually or Collectively, Lead to Negative Rating Action - FFO adjusted net leverage above 2.5x - Operating EBIT margin below 5% - FCF margin below 0.5% LIQUIDITY Sound Liquidity: Liquidity is supported by EUR1.2billion of readily available cash according to Fitch's adjustments for minimum operational cash of about EUR0.4 billion. Total committed and unutilised credit lines maturing in June 2021 were EUR1.2 billion at end-2017, largely covering short-term debt of EUR0.4 billion at end-2017. The company's financial flexibility and liquidity is further supported by Fitch expectations of positive FCF generation. SOLOCAL GROUP: Fitch Affirms B- Long-Term IDR, Outlook Stable ------------------------------------------------------------- Fitch Ratings has affirmed Solocal Group's Long-Term Issuer Default Rating (IDR) at 'B-' and debt instrument rating of the EUR397.8 million senior secured notes due 15 March 2022 at 'B'/'RR3'. The Outlook for the Long-Term IDR is Stable. The Long-Term IDR of 'B-' takes account of the earnings pressure faced by the business and the more progressive business plan put forward by the new management that seeks to materially cut costs and turn Solocal into a leaner and more customer-centric organisation. The change in strategy entails execution risk, given that it targets a radical transformation of the organisation with the requirement to achieve sizeable efficiencies and to strengthen the customer proposition. However, leverage remains low for a 'B-' rating at 3.5x on an FFO gross basis. The group produces sufficient cash flow and has liquidity at hand to stabilise the business over the next two years. The rating case assumes that EBITDA will move back above EUR200 million in 2019. KEY RATING DRIVERS Addressing Operating Leverage: Solocal reported a headcount of 4,403 (full-time equivalent) and staff expenses of EUR381.9 million for 2017 (50% of turnover). For an internet company, this represents a very high fixed-cost base. The new management team has announced a cost-savings plan. Measures include consolidating teams and activities to facilitate more flexible coordination, centralising support functions, reducing the number of management layers, simplifying the IT infrastructure and putting in place effective performance management. Target annual savings of EUR120 million are to be achieved over three years, which includes reducing the headcount by 1,000. Strengthening the Customer Proposition: SME customers such as plumbers and electricians often have little experience when it comes to having an online presence, or with regards to digital marketing and search engine optimisation. The new strategy wants to make the business more customer- and user-centric, simplify the product portfolio and strengthen the digital capabilities. This should allow Solocal to showcase the value of its products to those customers, monitor their changing expectations, streamline the sales process and improve customer support. Customers who see results from their internet presence through new business leads and contacts are more likely to expand their commitment to Solocal. Greater Cash-Flow Focus: The group will convert its customer contracts in 2018 to a new template, which does not have a fixed expiry date any more, but auto-renews unless the customer gives notice. Other contract and product features may also be used to help customer retention. The aim is to generate a higher proportion of recurring revenues. In addition, the new management team will reinforce cost discipline. All expiring procurement contracts and new investment projects will be scrutinised and/or re-tendered. Evolving Business Profile: The new management team has identified cost savings and scope for greater efficiencies in the organisational structure as well as new product initiatives. Management aims to achieve meaningful business growth with 25% fewer people and more emphasis on technological skills over a medium-term horizon. These ambitious objectives remain challenging as the digital media sector in France is increasingly fragmented and competitive and ongoing internal initiatives could prove distracting. Meaningful Audience and Traffic: One key differentiator is Solocal's ability to update customers' data and content across the web in real time. Through its own media and mobile apps (55% audience reach), Solocal can use cookies on desktops and the broader functionality embedded into the apps to gather big data that provides a competitive edge to its online marketing business. In addition, a lot of smaller businesses may not want to employ an advertising agency but are happy to discuss cheaper, local choices of digital advertising with their internet support provider. These are the services that cannot be easily replicated by competitors. Prospect of Industry Consolidation: The digital media sector is highly fragmented. In most cases, customer growth and product pricing are key to developing reliable earnings. Currently, there are too many players in many of the segments in which Solocal is active, limiting income for everyone. Consolidation would improve economies of scale and establish pricing power. The market participants that do not manage to take part in this process could be left behind and become less relevant. There are internet companies and digital platforms that are better capitalised than Solocal. DERIVATION SUMMARY Solocal Group offers a broad range of services to enhance customers' visibility on the web. This starts with creating and maintaining websites and their content, achieving better rankings on search engines (increasingly with a geographical focus), placing advertising links with the target audience, and offering transactional tools to complete bookings and payments. The group generates traffic from its own media platforms, including PagesJaunes and Mappy, as well as through partnerships with international players, including Google and Apple. Solocal's operations have weaker monetisation of audience reach and structurally higher costs than market-leading online classified businesses that Fitch has covered in its media and broadcasting ratings and credit opinion portfolio. Fitch consider that the current business profile limits Solocal Group to a 'B' category rating, while the online classified businesses with number-one or -two positions in their local markets can achieve 'BB' category ratings, assuming in both cases very little debt funding. KEY ASSUMPTIONS Fitch's Key Assumptions Within Fitch Rating Case for the Issuer - 2018 EBITDA broadly in line with 2017 and moving above EUR200 million in 2019 - Restructuring costs that may be qualified as recurring and utilisation of provisions of around EUR15 million per annum - these items are included in "Other Items Before FFO" in Fitch's presentation of the cash flow statement - EUR180 million of restructuring costs related to the new strategy, spread across 2018 to 2020, included as non- operating and non-recurring cash flow items (after cash flow from operations as defined by Fitch) - A sizeable working capital outflow in 2018 similar to that of 2017 linked to changes in the product mix followed by lower levels of working capital requirements in subsequent years - EUR 45 to 50 million of capital expenditure per annum over the medium term -- the lower figure in comparison to the rating case from last year reflects on the one hand better investment discipline and on the other hand a reallocation of capex to opex that may result from revisiting some procurement contracts - No dividends over the medium term RATING SENSITIVITIES Developments That May, Individually or Collectively, Lead to Positive Rating Action - Above-market growth in the local search business with a visibly improving market position - Stabilisation of the customer base and robust trading performance as evidenced by key performance indicators (customer numbers, average revenue per customer, (EBITDA less capital expenditure) per customer) - Successful realisation of the cost-cutting programme, improving free cash flow margin to around 5% Developments That May, Individually or Collectively, Lead to Negative Rating Action - Failure for the restructuring plan to stabilise the business/lack of EBITDA growth in the digital business over the next 24 months - Failure to return to positive free cash flow generation in 2020 - Weakening liquidity either due to operational issues or corporate activity LIQUIDITY Sufficient Liquidity: The group reported a cash position of EUR87.5 million as of December 2017 against short-term maturities from overdrafts and finance leases of EUR1.4 million. Free cash flow is likely to be negative in 2018 and possibly 2019 due to sizeable restructuring costs and working capital outflows, but Fitch expect the current cash position to be sufficient to cover the associated financing needs. FULL LIST OF RATING ACTIONS Solocal Group - IDR: 'B-' with Stable Outlook; - EUR397.8 million senior secured bonds due 15 March 2022: 'B'/'RR3' ============= G E O R G I A ============= GEORGIA CAPITAL: S&P Gives Prelim. 'B+' Rating, Outlook Stable -------------------------------------------------------------- S&P Global Ratings said that it had assigned its 'B+' preliminary long-term rating to Georgia-based investment holding company Georgia Capital JSC. The outlook is stable. At the same time, S&P also assigned a preliminary 'B+' rating to the US$300 million proposed senior unsecured bond to be issued by Georgia Capital. The preliminary ratings are based on Georgia Capital's proposed capital and investment portfolio structure once the planned financing and demerger are complete. The final ratings will depend on S&P's receipt and satisfactory review of all final transaction documentation. Accordingly, the preliminary ratings should not be construed as evidence of the final ratings. If S&P Global Ratings does not receive final documentation within a reasonable time frame, or if final documentation departs from materials reviewed, S&P reserves the right to withdraw or revise our ratings. Potential changes include, but are not limited to, utilization of loan proceeds, maturity, size and conditions of the facilities, financial and other covenants, security, and ranking. The preliminary ratings reflect Georgia Capital's limited portfolio size and diversification, as well as its sole exposure to the economic and business development in the Government of Georgia (BB-/Stable/B). S&P said, "We expect Georgia Capital to actively manage its debt levels so that it maintains a maximum of 30% loan-to-portfolio value (LTV) ratio at all times, which includes selling listed assets at a discount if needed. Based on current market prices, we assess its LTV ratio will be about 20%- 25% at the closing of the demerger." With a portfolio size of about $1 billion after the expected demerger, Georgia Capital's investment portfolio will be smaller than that of many other rated investment holding companies globally, which increases concentration risks. In addition, its investee companies are solely exposed to economic and business conditions in Georgia, which is a developing market that could exhibit significant volatility and is heavily reliant on net foreign direct investments. S&P said, "Moreover, in our view, the Georgian economy remains constrained by relatively low per-capita income (estimated $3,800 in 2017) and balance-of-payments vulnerabilities, including Georgia's import dependence, high current account deficits, and sizable external debt, which could affect Georgia Capital's growth potential. However, we generally assess the macroeconomic factors as supportive for Georgia Capital over the near term, given our expectation of 4.5% real GDP growth in 2017-2018 (compared with 2.7% in 2016) and the country's strong institutional arrangements for the region." The recent association agreement for political association and economic integration between EU and Georgia, which entered into force in 2016, will likely bolster Georgia's consumption of products, such as compulsory third-party insurance. S&P said, "In our view, local-currency depreciation versus the U.S. dollar is a key risk for Georgia Capital. Its proposed bond is to be issued in U.S. dollars, whereas the cash flows of its investees are largely in Georgian lari, with only some embedded natural hedge supported by the generally high level of dollarization of the Georgian economy. Historically, the lari has demonstrated large swings versus foreign currencies, which could materially increase Georgia Capital's debt in local currency and rapidly erode any headroom in the company's LTV ratio. The company holds its cash balances in foreign currencies, however, which buffers negative exchange-rate fluctuations. We also factor in that Georgian Renewable Power Company JSC (GRPC) benefits from renewable energy purchase power agreements signed in U.S. dollars, and that m2 Real Estate JSC (m2) set its hotel room prices in U.S. dollar equivalent. "We assess Georgia Capital's portfolio characteristics as weak, due to its small size, its high concentration in three key assets, and the weighted average credit quality of investee companies in the 'B' category. Georgian Healthcare Group (GHG), Bank of Georgia (BoG), and Georgian Global Utilities (GGU) constitute about 70% of the portfolio. GHG and BoG are listed on the London Stock Exchange, which we believe provides better liquidity and, consequently, the ability for Georgia Capital to readily monetize partial stakes if needed to manage its debt levels. Other assets - - like insurance company Aldagi and water utility GGU -- would take significantly longer to monetize if needed, as they are unlisted and 100% owned. This weighs on our assessment of portfolio liquidity. "In our view, Georgia Capital's weighted average creditworthiness of investee companies is in the 'B' rating category. Nevertheless, management has stated that its investee companies' share of Georgia's GDP is about 10%, which makes Georgia Capital a very important investment vehicle in the country. BoG, where Georgia Capital will be holding 19.9% after the demerger, has the strongest credit quality among Georgia Capital's investee companies, in our assessment. BoG has a good business position, being the largest provider of banking services in Georgia, with a market share of about 40%. We expect that BoG will be generating about 30%-40% of Georgia Capital's total dividend stream." GGU's water unit benefits from having completed a large investment program that should allow it to generate positive cash flows that can be distributed as dividends to Georgia Capital. S&P said, "We expect dividends from GGU to account for 30%-40% of Georgia Capital's total dividend stream. At the same time, GGU's new renewables division, GRPC, will require large investments over the next three to five years. We consider these investments to be partly funded with the proceeds from the proposed bond that is on- lent to GRPC, which is part of GGU, and m2." S&P said, "We also factor in that that GHG, of which Georgia Capital holds 57%, is actively expanding in both the pharma retail segment, where it generated about 60% of revenues in 2017, and health care due to the ramp-up of the two hospitals renovated through 2016-2017. As a result of these investments, GHG has financial leverage of about 4x on an S&P Global Ratings-adjusted basis. Due to relatively high financial leverage, we believe GHG's ability to upstream dividends is limited. "We believe management has demonstrated an ability to develop exit opportunities, such as the initial public offering of GHG in 2015 (bringing in US$110 million), which was Georgia's third IPO overall and its first outside the financial sector. We also factor in that Georgia Capital in May 2017 sold 7.2% of GHG shares for US$40 million. Consequently, we expect Georgia Capital to gradually monetize its shares in GHG and reduce its ownership to below 50%, redeploying the funds into existing or new investments that could support better portfolio diversification. "It's our understanding that $165 million of bond proceeds will be on-lent to two investee companies--GGU and m2--to fund the development of wind power projects and hotel construction. We believe these investments entail some execution risk and are difficult to finance at a reasonable cost on a stand-alone basis in the local capital markets. This is unusual for an investment holding company, given that they typically don't participate in debt financing of investee companies. Such a commitment could reduce the willingness to sell the shares of the investee, even if needed to manage holding-company debt levels. "The stable outlook reflects our view that that Georgia Capital will actively manage its LTV ratio so that it remains below 30% in the next 12 months. We also expect stable dividend flow from BoG and GGU, which should allow Georgia Capital to comfortably cover its operating and interest expenses, and no on-lending other than US$165 million from the bond proceeds. "We could lower the rating if Georgia Capital's LTV rises above 30% on a sustained basis and the company does not take immediate action, such as asset sales, to restore balance-sheet strength. LTV deterioration would most likely be the result of a material weakening in equity values or large negative currency fluctuations. Ratings pressure could also result from material deterioration of the credit quality of any of the core investments, which would erode valuations and increase the likelihood of Georgia Capital having to inject fresh capital for support. We could also lower the rating if there are any signs of liquidity or refinancing risks at the level of either Georgia Capital or its investees. "We could revise the outlook to positive or raise the ratings if Georgia Capital's portfolio characteristics--such as liquidity, asset quality, and portfolio diversification--materially improve. In addition, material portfolio valuation increases resulting in sustained lower LTV ratios and which management commits to maintaining could support a higher rating. An upgrade would hinge on maintenance of at least an adequate liquidity profile." ============= G E R M A N Y ============= NORDEX SE: S&P Assigns 'B' Issuer Credit Rating, Outlook Stable --------------------------------------------------------------- S&P Global Ratings said that it had assigned its 'B' long-term issuer credit rating to Germany-based wind-turbine manufacturer Nordex SE. The outlook is stable. S&P said, "At the same time, we assigned a 'B' issue rating to its proposed EUR275 million senior unsecured notes. The recovery rating on these senior unsecured notes is '3', indicating our expectation of meaningful recovery (50%-70%; rounded estimate: 55%) in the event of payment default. "The ratings are in line with the preliminary ratings we assigned on Jan. 23, 2018. The final documentation does not depart materially from what we reviewed in January. The issue amount was in line with the figure proposed. However, the achieved interest rate was higher than we expected, albeit remaining in line with our assessment of the group's financial risk profile and the 'B' rating. "The rating on Nordex reflects our view that structural changes in the wind-power manufacturing industry and late introduction of a competitive wind-turbine platform will lead to weak operating performance over the next two years. However, we also expect Nordex will maintain comfortable liquidity to ensure the financial flexibility to overcome the contraction of the operating performance." Nordex is a European manufacturer of onshore wind-turbine generators with cumulative installed capacity of approximately 21 gigawatts worldwide, about 60% in Europe. Headquartered in Germany, the group has a global production footprint, including facilities in Germany, Spain, the U.S., Brazil, and India. Pro forma the acquisition of Acciona Windpower in 2016, Nordex generated about EUR3.6 billion of revenues and EUR295 million of EBITDA in 2016, a notable increase compared with Nordex's stand- alone figures for 2015 (EUR2.4 billion and EUR182 million, respectively). With the acquisition of Acciona Windpower in 2016, partly via a share deal, Acciona S.A. became the largest shareholder of Nordex, holding almost 30% of outstanding shares. The acquisition aims to extend Nordex's geographic footprint and broaden its customer base and product offering. The group's European operations now represent about 60% of revenues, North America accounting for about 20%, South America for about 15%, and the rest of the world for the remaining 5%. S&P said, "We view the wind-power manufacturing industry as under consolidation pressure, reflecting existing overcapacity and the immense cost pressure arising from the change to auction-based systems in Europe, especially in Germany, the largest market in Europe and most important market for Nordex. In the first auctions under the new regime, awarded prices were roughly halved to about EUR43 per megawatt hour compared with the granted feed-in tariffs until 2017. Additionally, under the new scheme, smaller bidders won most of the auctions and have until 2022 to develop their projects. We therefore believe that in addition to the high cost pressure, demand will be delayed in Germany." Nordex is relatively small compared with the industry leaders like Vestas, GE, and Siemens-Gamesa. It still has limited geographic diversification, given that the majority of group sales are generated in Europe, with a high dependence on the German market. S&P said, "Moreover, we regard Nordex as exposed to the policy- driven demand cyclicality of the wind-power manufacturing industry, as well as to some project execution risks that could translate into volatile cash flows. Compared with peers Nordex was late in introducing a new wind-turbine platform to meet client demand for a larger and more efficient wind-turbine model, which we expect will lead to a loss in market share over the next two years." The company is currently in the development phase, and expects first order intakes in 2018 and installations of the new turbine platform in 2019, closing the gap with its competitors. S&P said, "We view as positive Nordex's good market positions in its core markets, its longstanding relationships with its key customers, and its order backlog, which adds some predictability to future revenues and earnings. Furthermore, Nordex has extended its geographic footprint and product offering, with the acquisition of Acciona Windpower, now providing turbines optimized for projects with or without land constraints. With that, we expect Nordex to better capture global demand and growth outside Europe, improving its geographic diversification. The growing aftermarket business makes only a small contribution to earnings stability, with about 10% of total sales, leading to high dependency on new projects. We view Nordex's business risk profile as weak." Nordex plans to refinance EUR275 million of its outstanding EUR550 million borrowing notes with EUR275 million senior unsecured notes. S&P said, "Our estimates account for financial debt of about EUR680 million, which includes the newly issued senior unsecured notes of EUR275 million, remaining borrowing notes of EUR275 million, and a EUR78 million loan from the European Investment Bank. Our debt figure also includes about EUR40 million of operating lease liabilities. We net some EUR200 million of cash in our calculation, which we understand is not needed for operations and is instead reserved for upcoming debt maturities." S&P said, "Following the refinancing, we estimate that the S&P Global Ratings-adjusted debt-to-EBITDA ratio was close to 3.0x on Dec. 31, 2017. This is based on our assumption that Nordex will post reported EBITDA margins of about 8%, broadly in line with 2016 (8.4%). With the high price pressure, which can be only be partly compensated by supply chain management and cost measures, as well as lower volumes due to a current lack of a competitive platform and some delays for new projects in Germany, we expect reported EBITDA margins will fall to about 3% over 2018 and 2019. Debt to EBITDA in 2018 will be not meaningful, improving to about 10x in 2019, in our view. We forecast roughly neutral free operating cash flow (FOCF) over 2018-2019. We note that very large swings in working capital have affected the group's cash flows in the past, and we incorporate this in our liquidity analysis. Coverage of cash interest by funds from operations (FFO), which is not influenced by the level of surplus cash used, will average around 3x in 2017-2019. Overall, we assess the financial risk profile in the lower half of the highly leveraged category, reflecting the group's high leverage. "The stable outlook is based on our assumption that Nordex will, after the successful refinancing, maintain a solid cash balance of about EUR600 million (before intrayear working capital swings). This should offer financial flexibility until the company is able to generate more sales in developing markets and through the new Delta platform, expected in the second half of 2019. We also expect that management will continue to proactively manage financial risks, ensuring prefinancing of maturities. After the platform's introduction, we expect a stabilization of order intake and operating performance. "Rating pressure could arise if we expected a material decrease in liquid funds, reducing the company's financial flexibility. This could result from higher-than-expected capex or outflows relating to working capital. We could also take a negative rating action if market conditions weakened more than we expect and Nordex's operating results deteriorated for a longer period than currently we expect, leading to sales and EBITDA margins below our current base case, and translating into substantially negative FOCF and a cash interest coverage ratio of less than 2x. "We might consider an upgrade if the contraction of Nordex's operating performance was less than we currently expect, leading to a FFO-to-cash interest coverage ratio of around 3x, while a strong order intake for the new Delta platform provides more confidence in the recovery of operating performance from the second half of 2019--and at the same time the company maintains a solid cash balance, providing financial flexibility. However, we view such a development as unlikely over the next 18 months. An improvement in our assessment of the business risk profile is unlikely, given Nordex's low profitability and the ongoing consolidation in the wind-power industry, in which Nordex is a relatively small player." TUI AG: Moody's Revises Outlook to Positive & Affirms Ba2 CFR ------------------------------------------------------------- Moody's Investors Service has affirmed the Ba2 corporate family rating (CFR), the Ba2-PD probability of default rating (PDR) and the Ba2 senior unsecured rating of the world's leading tourism company TUI AG's (TUI). Concurrently, Moody's has changed the outlook to positive from stable. "Our decision to change the outlook to positive reflects the company's strong operating performance in fiscal year 2017 (to September) and its continued resilience to geopolitical events. Company's current liquidity and credit metrics benefitted from the disposal of non-core businesses (Travelopia, Hotelbeds and the shareholding in Hapag-Lloyd AG for EUR2 billion in total). The Group's credit profile will also benefit from the intended reinvestment of proceeds into core hotel and cruise business aiming to diversify the portfolio and enhance the group's earnings potential" says Vitali Morgovski, a Moody's Assistant Vice President-Analyst and lead analyst for TUI. RATINGS RATIONALE The outlook change and affirmation reflect significant improvement in TUI's key credit metrics following continued improvements in its operating performance in FY2017 (12 months to September). Since merger with TUI Travel Plc (completed in December 2014), the group demonstrated double digit annual growth rates in underlying EBITA and recently confirmed its guidance for at least 10% underlying EBITA CAGR at constant currency rates now extended to 2020. Moreover, its revised target leverage ratio (2.25x-3.0x debt/EBITDAR for FY2018 from 2.5x-3.25x for FY2017 and 2.75x-3.5x for FY2016) points towards a more conservative financial policy. Driven by the growing EBITDA and cash flow generation, alongside materially reduced interest expenses, TUI's financial profile improved in FY2017. For example, Moody's adjusted gross debt/EBITDA ratio declined to 3.5x (4.1x) and the retained cash flow/net debt ratio increased to 23.9% (20.9%) at the end of fiscal year 2017, coming closer to Moody's positive rating triggers. Unlike previous years, TUI's debt level has not increased in Q1 FY2018 as the company covered all its seasonally driven negative working capital change with the existing cash balance that consequently declined to EUR997 million from EUR2,516 million at the end of September 2017. Moody's gross adjusted leverage ratio remained flat at 3.5x during Q1 FY2018. The high level of investment in the coming two-three years (for FY2018, TUI guides EUR1.2 billion net capex incl. pre-delivery payments for aircraft) will likely result in a negative free cash flow generation (Moody's definition), but was effectively prefunded by the sale of non-core assets and will further diversify TUI's portfolio, strengthening its credit profile and earnings potential. Moody's sees the group's maintenance capex to be less than half of the intended investment guidance. Moody's considers that destination disruptions, such as natural catastrophes, social unrest and terrorist attacks in key tourist destinations, remain a key risk to TUI's operating performance. However, Moody's noted positively a rebound in travel demand for destinations such as Turkey, Egypt and Tunisia, due in part to the more stable geopolitical environment in these countries in 2017 following the disruption in 2016. Also the reliance on the UK (around 30% of the group's revenue) as one of the key source markets, where the economic growth following the Brexit vote is expected to be weaker than in the rest of Europe may present a challenge for the group. Moody's views TUI's liquidity position as good, with EUR2.5 billion cash and cash equivalents in September 2017 (of which EUR261 million were subject to restrictions) as well as a syndicated credit facility of EUR1.75 billion (of which EUR1,535 million is a cash RCF), which maturity was extended from December 2020 to July 2022. Of this, EUR119 million had been taken-up in the form of bank guarantees as of December 2017. Moody's considers that TUI's liquidity is sufficiently flexible to meet its high seasonal cash swings, in particular in the first quarter of the fiscal year, as well as the fairly low debt maturities over the next few years. At the end of Q1 FY2018, the cash credit line remained fully undrawn and the company covered the negative working capital swings with existing cash balance that consequently declined to EUR997 million. RATIONALE FOR THE POSITIVE OUTLOOK The positive outlook reflects Moody's view that TUI's operating performance will remain resilient to geopolitical events, and that the company can deliver on its guidance of at least 10% increase in underlying EBITA at constant currency rates in FY2018 and a further double-digit earnings growth through FY2020. The outlook also assumes that TUI's financial profile will continue to gradually improve, mainly driven by (1) additional profit contribution arising from the redeployed funds (EUR2 billion sales proceeds) invested in Hotels & Resorts as well as Cruises segments, (2) and TUI's new digitalization initiatives, (3) somewhat less seasonality of cash flows during the year on the back of growing Cruises and long-haul holiday package offerings with an all-year-round demand; and (4) a solid underlying performance benefitting from an overall favourable economic environment and growth in travel markets. Additionally, the ongoing recovery in some of TUI's markets e.g. Turkey, Egypt, Tunisia will help strengthening the group's financial profile. WHAT COULD CHANGE THE RATING UP/DOWN Moody's would consider upgrading TUI's rating if the company were to demonstrate further resilience of its business model to external shocks. In addition, the rating would benefit if TUI achieves the recently tightened financial targets. Quantitatively, positive pressure could arise if the group's gross adjusted leverage were to fall below 3.5x and the retained cash flow/net debt metric to remain above 25% throughout the seasonal swings of the year, with the group retaining a solid liquidity profile to address the high seasonal cash swings. The rating could be under negative pressure should TUI not be able to fully offset any additional external shocks that might occur. Quantitatively, the rating could be lowered if leverage were to increase above 4.5x and retained cash flow/net debt were to fall below 15% over the next 12-18 months, or if the group's liquidity profile were to deteriorate materially. PROFILE TUI AG, headquartered in Hanover, Germany, is the world's largest integrated tourism group. In fiscal year 2016-17, TUI reported revenues and underlying EBITA of EUR18.5 billion and EUR1.1 billion, respectively. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Service Industry published in October 2016. =========== G R E E C E =========== * S&P Affirms CCC+/C Counterparty Credit Ratings on 4 Greek Banks ----------------------------------------------------------------- S&P Global Ratings said that it affirmed its long- and short-term counterparty credit ratings on four Greek banks, Alpha Bank A.E. (Alpha), Eurobank Ergasias S.A. (Eurobank), National Bank of Greece S.A. (NBG), and Piraeus Bank S.A. (Piraeus) at 'CCC+/C'. The outlook on all four banks is stable. S&P said, "The affirmation reflect our view that Greek banks' financial profiles are still fragile and will take time to improve materially. "We expect Greece's GDP to grow by about 2.3% in real terms between 2018-2020, absent any large shifts in the policymaking environment. Sustained and stable economic growth, together with improving investor confidence in the country, might translate into a more supportive environment for the banking sector, in our view. We now see a positive trend for the economic risk of the Greek banking sector. "This development has not affected the ratings or outlook on the Greek banks, however. This is because, in our view, Greek banks' ability to fulfil their obligations in a timely manner remains highly dependent on favorable economic and market conditions. The required conditions are mainly access to central bank funding and positive market sentiment that allows banks to access secured funding, both in terms of repo transaction and covered bonds. "Despite some progress, we think that Greek banks' funding and liquidity positions remain fragile, after they lost access to the unsecured debt capital market and about EUR115 billion of deposits (or 64% of GDP) since the beginning of the crisis. We think that further progress is highly dependent on prolonged political stability and the recovery of depositor confidence in the banking sector. We expect a portion of deposits withdrawn during 2014-2015 -- amounting to about EUR49 billion -- to return to the banking sector, but at very slow pace. In addition, capital controls are still in place and, despite some relaxation over the past 18 months, it will take a very long time for them to be fully removed, in our view. Our ratings on the Greek banks continue to reflect the banks' poor profitability and very weak asset quality, with nonperforming exposures (NPE) still representing between about 45% and 55% of customer loans as of Sept. 17. "We think that Greece returning to economic growth after eight years of decline (amounting to an aggregate GDP contraction of about 25%) might help to create more favorable conditions for banks to pursue their ambitious NPE reduction plan. However, we consider a material NPE decline to be a challenge for Greek banks. "We anticipate that, over the next two-to-three years, Greek banks will need to accumulate additional credit losses for about 10.3% of loans (as of September 2017) to recognize losses embedded in their NPEs. We anticipate that the implementation of International Financial Reporting Standards 9 will likely mean that a larger part of these losses will be recognized on the balance sheet, though the impact on regulatory capital will be limited due to likely transitional relief measures." OUTLOOK S&P said, "The stable outlook reflects our view that Greek banks' financial profiles remain weak. "We could raise the ratings if the macroeconomic environment, liquidity profile, and asset quality improve. This could happen if market confidence in the Greek banking system increases, resulting in customer deposits steadily returning to the Greek banks and the banks becoming less reliant on European Central Bank (ECB) and other short-term funding sources. At the same time, a positive rating action would require Greek banks to reduce the stock of NPEs while preserving coverage through provisions. "We could lower the ratings if macroeconomic conditions and the relationship with European authorities materially worsened, resulting in a deterioration of banks' liquidity positions." RATINGS LIST Ratings Affirmed Alpha Bank A.E. Counterparty Credit Rating CCC+/Stable/C Senior Unsecured CCC+ Alpha Group Jersey Ltd. Preference Stock D Eurobank Ergasias S.A Counterparty Credit Rating CCC+/Stable/C ERB Hellas plc Senior Unsecured CCC+ National Bank of Greece S.A. Counterparty Credit Rating CCC+/Stable/C Piraeus Bank S.A. Counterparty Credit Rating CCC+/Stable/C Piraeus Group Finance PLC Commercial Paper C ============= I R E L A N D ============= AVOCA CLO XV: Moody's Assigns B2(sf) Rating to Class F-R Notes -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to eight classes of notes (the "Refinancing Notes") issued by Avoca CLO XV Designated Activity Company ("Avoca CLO XV" or the "Issuer"): -- EUR3,000,000 Class X Senior Secured Floating Rate Notes due 2031, Definitive Rating Assigned Aaa (sf) -- EUR309,500,000 Class A-R Senior Secured Floating Rate Notes due 2031, Definitive Rating Assigned Aaa (sf) -- EUR9,000,000 Class B-1R Senior Secured Fixed Rate Notes due 2031, Definitive Rating Assigned Aa2 (sf) -- EUR44,500,000 Class B-2R Senior Secured Floating Rate Notes due 2031, Definitive Rating Assigned Aa2 (sf) -- EUR29,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2031, Definitive Rating Assigned A2 (sf) -- EUR26,500,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2031, Definitive Rating Assigned Baa2 (sf) -- EUR34,000,000 Class E-R Deferrable Junior Floating Rate Notes due 2031, Definitive Rating Assigned Ba2 (sf) -- EUR13,500,000 Class F-R Deferrable Junior Floating Rate Notes due 2031, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE Moody's definitive rating of the Notes addresses the expected loss posed to noteholders. The 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 will issue the Refinancing Notes in connection with the refinancing of the following classes of notes: Class A-2 Notes, Class A-1 Notes, Class B-2 Notes, Class B-1 Notes, Class C Notes, Class D Notes, Class E Notes and Class F Notes due 2029 (the "Original Notes"), previously issued on Nov 05, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer will use the proceeds from the issuance of the Refinancing Notes to redeem in full its respective Original Notes. On the Original Closing Date, the Issuer also issued one class of subordinated notes, which will remain outstanding. Avoca CLO XV is a managed cash flow CLO. The issued notes are collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, senior secured bonds and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans, mezzanine obligations and high yield bonds. KKR Credit Advisors (Ireland) Unlimited Company (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 April 2022, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit impaired obligations and credit improved obligations, subject to certain restrictions. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the binomial distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario and (ii) the loss derived from the cash flow model in each default scenario for each tranche. As such, Moody's encompasses the assessment of stressed scenarios. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: EUR500,000,000 Diversity Score: 42 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 4.5% Weighted Average Recovery Rate (WARR): 43.0% Weighted Average Life (WAL): 8.5 years Moody's has analysed the potential impact associated with sovereign related risk of peripheral European countries. As part of the base case, Moody's has addressed the potential exposure to obligors domiciled in countries with local currency country risk ceiling (LCC) of A1 or below. As per the portfolio constraints, exposures to countries with a LCC of A1 or below cannot exceed 10%, with exposures to countries with a LCC of below A3 further limited to 5%. Given the current composition of qualifying countries, Moody's has assumed a maximum 5% of the pool would be domiciled in countries with LCC of Baa1 to Baa3. The remainder of the pool will be domiciled in countries which currently have a LCC of Aa3 and above. Given this portfolio composition, the model was run with different target par amounts depending on the target rating of each class of notes as further described in the methodology. The portfolio haircuts are a function of the exposure size to peripheral countries and the target ratings of the rated notes and amount to 0.75% for the Class A notes, 0.50% for the Class B notes, 0.375% for the Class C notes and 0% for Classes D, E and F. 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 definitive rating assigned to the rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on 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 2800 to 3220) Rating Impact in Rating Notches Class X Senior Secured Floating Rate Notes: 0 Class A-R Senior Secured Floating Rate Notes: 0 Class B-1R Senior Secured Fixed Rate Notes: -2 Class B-2R Senior Secured Floating Rate Notes: -2 Class C-R Deferrable Mezzanine Floating Rate Notes: -2 Class D-R Deferrable Mezzanine Floating Rate Notes: -1 Class E-R Deferrable Junior Floating Rate Notes: 0 Class F-R Deferrable Junior Floating Rate Notes: 0 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches Class X Senior Secured Floating Rate Notes: 0 Class A-R Senior Secured Floating Rate Notes: -1 Class B-1R Senior Secured Fixed Rate Notes: -3 Class B-2R Senior Secured Floating Rate Notes: -3 Class C-R Deferrable Mezzanine Floating Rate Notes: -3 Class D-R Deferrable Mezzanine Floating Rate Notes: -2 Class E-R Deferrable Junior Floating Rate Notes: -1 Class F-R Deferrable Junior Floating Rate Notes: -1 AVOCA CLO XV: Fitch Assigns B- Rating to Class M-2 Notes -------------------------------------------------------- Fitch Ratings has assigned Avoca CLO XV DAC refinancing notes final ratings: EUR3 million Class X notes: 'AAAsf'; Outlook Stable EUR309.5 million Class A-R notes: 'AAAsf'; Outlook Stable EUR9 million Class B-1R notes: 'AAsf'; Outlook Stable EUR44.5 million Class B-2R notes: 'AAsf'; Outlook Stable EUR29 million Class C-R notes: 'Asf'; Outlook Stable EUR26.5 million Class D-R notes: 'BBBsf'; Outlook Stable EUR34 million Class E-R notes: 'BBsf'; Outlook Stable EUR13.5 million Class F-R notes: 'B-sf'; Outlook Stable EUR24.6 million Class M-1 notes: not rated EUR28.5 million Class M-2 notes: not rated Avoca CLO XV DAC is a cash flow collateralised loan obligation (CLO). Net proceeds from the notes are being used to redeem the old notes, with a new identified portfolio comprising the existing portfolio, as modified by sales and purchases conducted by the manager. The portfolio is managed by KKR Credit Advisors (Ireland) Unlimited Company (formerly KKR Credit Advisors (Ireland)). The refinanced CLO envisages a further four-year reinvestment period and an 8.5-year weighted average life. KEY RATING DRIVERS 'B'/'B+' Portfolio Credit Quality Fitch assesses the average credit quality of obligors to be in the 'B'/'B+' category. The Fitch-weighted average rating factor (WARF) of the current portfolio is 31.4, below the indicative maximum covenanted WARF of 33 for assigning the final ratings. High Recovery Expectations At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-weighted average recovery rate (WARR) of the current portfolio is 68.2%, above the minimum covenant of 62.3% corresponding to the matrix point of WARF 33, weighted average spread (WAS) of 3.4% and maximum fixed-rate assets of 5%. Limited Interest Rate Exposure Up to 5% of the portfolio can be invested in fixed-rate assets, while fixed-rate liabilities represent 1.8% of the target par. Fitch modelled both 0% and 5% fixed-rate buckets and found that the rated notes can withstand the interest rate mismatch associated with each scenario. Diversified Asset Portfolio The covenanted maximum exposure to the top 10 obligors is 21% of the portfolio balance. This covenant ensures that the asset portfolio will not be exposed to excessive obligor concentration. VARIATIONS FROM CRITERIA The "Fitch Rating" definition was amended so that assets that are not expected to be rated by Fitch, but that are rated privately by the other rating agency rating the liabilities, can be assumed to be of 'B-' credit quality for up to 10% of the collateral principal amount. This is a variation from Fitch's criteria, which require all assets unrated by Fitch and without public ratings to be treated as 'CCC'. The change was motivated by Fitch's policy change of no longer providing credit opinions for EMEA companies over a certain size. Instead Fitch expects to provide private ratings that would remove the need for the manager to treat assets under this leg of the "Fitch Rating" definition. The amendment has had only a small impact on the ratings. Fitch has modelled the transaction at the pricing point with 10% of the 'B-' assets with a 'CCC' rating instead, which resulted in a two- notch downgrade at the 'A' rating level and at most a one-notch downgrade at other rating levels. RATING SENSITIVITIES A 125% default multiplier applied to the portfolio's mean default rate, and with this increase added to all rating default levels, would lead to a downgrade of up to two notches for the rated notes. A 25% reduction in recovery rates would lead to a downgrade of up to three notches for the rated notes. GREAT HALL 2006-1: S&P Raises Class Ea Notes Rating to BB+(sf) -------------------------------------------------------------- S&P Global Ratings raised its credit ratings on Great Hall Mortgages No. 1 PLC series 2006-01's class Da, Db, and Ea notes. At the same time, S&P has affirmed its 'A (sf)' ratings on the class A2a, A2b, Ba, Bb, Ca, and Cb notes. The rating actions follow S&P's credit and cash flow analysis of the most recent transaction information that it has received. Collateral performance has continued to improve since total delinquencies peaked in the first quarter of 2009. The reserve fund is fully funded and credit enhancement is increasing as the transaction is paying principal sequentially. Furthermore, the transaction has been paying sequentially following the cumulative loss trigger breach. S&P said, "The current maximum potential rating in this transaction is 'A', our long-term issuer credit rating on Danske Bank A/S, acting as the guaranteed investment contract provider, as we do not view the replacement framework for this agreement to be in line with our current counterparty criteria. "According to the December 2017 investor report, total delinquencies of greater than one month were 5.67%, down from 6.77% in June 2014. Seasoning is currently 135 months, and so we give seasoning credit to all of the loans that are not in arrears in our analysis." S&P's weighted-average foreclosure frequency (WAFF), weighted- average loss severity (WALS) assumptions, and expected credit coverage (CC) levels are: Rating level WAFF (%) WALS (%) CC (%) AAA 26.86 39.79 10.69 AA 19.71 30.95 6.10 A 15.27 16.43 2.51 BBB 11.43 8.27 0.94 BB 7.48 4.21 0.31 B 6.14 2.53 0.16 S&P said, "We have raised our ratings on the class Da, Db, and Ea notes based on our overall lower expected credit coverage, increases in available credit enhancement, and our cash flow results. We have affirmed our 'A (sf)' ratings on the class A2a, A2b, Ba, Bb, Ca, and Cb notes as the available credit enhancement is commensurate with the currently assigned ratings. "According to our credit stability analysis, the maximum projected deterioration we would expect at each rating level for time horizons of one year and three years, under moderate stress conditions, is in line with our credit stability criteria." The transaction is a U.K. residential mortgage-backed securities (RMBS) transaction that securitizes buy-to-let and nonconforming mortgages originated by Platform Funding Ltd. RATINGS LIST Class Rating To From Great Hall Mortgages No. 1 PLC EUR280.0 Million, GBP275.2 Million Mortgage-Backed Floating-Rate Notes Series 2006-1 Ratings Raised Da BBB+ (sf) BBB (sf) Db BBB+ (sf) BBB (sf) Ea BB+ (sf) B+ (sf) Ratings Affirmed A2a A (sf) A2b A (sf) Ba A (sf) Bb A (sf) Ca A (sf) Cb A (sf) ===================== N E T H E R L A N D S ===================== MUNDA CLO I: Moody's Hikes Class D Notes Rating to Ba2 ------------------------------------------------------ Moody's Investors Service announced that it has taken rating actions on the following classes of notes issued by Munda CLO I B.V.: -- EUR243.95M (current balance EUR0.44M) Class A-1 Senior Secured Floating Rate Notes due 2024, Affirmed Aaa (sf); previously on Sep 21, 2017 Affirmed Aaa (sf) -- EUR200.00M (current balance EUR0.36M) Class A-2 Senior Secured Delayed Draw Floating Rate Notes due 2024, Affirmed Aaa (sf); previously on Sep 21, 2017 Affirmed Aaa (sf) -- EUR61.75M Class B Senior Secured Floating Rate Notes due 2024, Affirmed Aaa (sf); previously on Sep 21, 2017 Upgraded to Aaa (sf) -- EUR27.30M Class C Senior Secured Deferrable Floating Rate Notes due 2024, Upgraded to Aaa (sf); previously on Sep 21, 2017 Upgraded to A2 (sf) -- EUR27.95M Class D Senior Secured Deferrable Floating Rate Notes due 2024, Upgraded to Ba2 (sf); previously on Sep 21, 2017 Affirmed B1 (sf) -- EUR27.30M (current balance EUR20.46M) Class E Senior Secured Deferrable Floating Rate Notes due 2024, Affirmed Caa3 (sf); previously on Sep 21, 2017 Affirmed Caa3 (sf) Munda CLO I B.V., issued in December 2007, is a collateralised loan obligation (CLO) backed by a portfolio of high-yield senior secured European loans managed by Cohen & Company Financial Limited. The transaction's reinvestment period ended in January 2014. The portfolio has significant proportions of CLO securities and Spanish sub-sovereign and financial assets. RATINGS RATIONALE According to Moody's, the upgrades of the Class C and Class D notes are the result of deleveraging of the Class A-1 and A-2 notes following amortisation of the portfolio since the last rating action in September 2017. Classes A-1 and A-2 notes have paid down by a total of approximately EUR66.3 million (c 15% of combined closing balances) on the January 2018 payment date. Moody's notes that these principal payments are not reflected in the reported OC ratios detailed in the January 2018 payment date report. Moody's notes that Class E paid down by approximately EUR1.2 million on the January 2018 payment date from excess spread; EOC continues to be in breach of the trigger. 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 of EUR126.19 million, defaulted par of EUR15.90 million, a weighted average default probability of 11.98% (consistent with a WARF of 1768 over a weighted average life of 5.06 years), a weighted average recovery rate upon default of 36.62% for a Aaa liability target rating, a diversity score of 11 and a weighted average spread of 2.60%. 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. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs" published in June 2017. In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. 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 analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors that would lead to an upgrade or downgrade of the ratings: 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 that were unchanged for Classes A-1, A-2, B, and E, and within one notch of the base-case results for Classes C and D. 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: 1) 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. 2) Recoveries on defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over- 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. 3) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors with low non-investment-grade ratings, especially when they default. Because of the deal's lack of granularity, Moody's substituted its typical Binomial Expansion Technique analysis with a simulated default distribution using Moody's CDOROM(TM) software and an individual scenario analysis. 4) The transaction has significant concentrations in mezzanine and junior CLO tranches in the portfolio, whose credit quality has improved since the last rating action. Based on the latest trustee report, the CLO securities in the portfolio currently amount to about EUR19.3 million, accounting for approximately 15% of the modelled performing collateral balance. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. =============== P O R T U G A L =============== LUSITANO MORTGAGES 4: Fitch Affirms BB Ratings on 3 Tranches ------------------------------------------------------------ Fitch Ratings has taken multiple rating actions on Lusitano Mortgages Series and removed them from Rating Watch Evolving (RWE). The removal of RWE follows the implementation of Fitch's new European RMBS Rating criteria, published on October 27, 2017. KEY RATING DRIVERS Stable Performance; Increasing Credit Enhancement The transactions have shown stable asset performance supported by low interest rates and high seasoning. Senior notes in particular are benefitting from increased credit enhancement. This is the key rating driver of upgrades and affirmations. Payment Interruption Risk Unmitigated Lusitano 4 and 5 do not have sufficient payment interruption risk mitigants and therefore the ratings continue to be capped at 'BBsf'. The reserve fund for Lusitano 4 has recently returned to being funded; however, given volatile historical excess spread, Fitch does not see this as mitigating the payment interruption risk. The reserve fund for Lusitano 5 is not currently funded. For Lusitano 6 the payment interruption risk is mitigated through the liquidity facility, which has been drawn and deposited with an account bank. Loan Maturity Dates The rating of the Lusitano 4 class D notes is affected by the presence of 23 loans within the pools that have maturity dates beyond the legal final maturity dates of the rated notes and hence those funds received thereafter are excluded for the note repayment. VARIATIONS FROM CRITERIA The sole structural mitigant for payment interruption risks to Lusitano 4 and 5 is a reserve fund, the amount of which varies and may be insufficient to provide payments to the notes for at least one payment period under a service disruption and higher interest rates. As a result, Fitch believes that not all these transactions can support investment-grade ratings. Hence for Lusitano 4 and 5, Fitch judges the notes are not commensurate with investment-grade ratings. This constitutes a variation from Fitch Counterparty Criteria for Structure Finance and Covered Bonds, as the collection account bank (and servicer) is not rated by Fitch. Absent this variation, Fitch might not have been able to rate the class A notes of these two transactions. RATING SENSITIVITIES If the transactions benefit from stronger-than-expected recoveries on defaulted assets, the ratings could be positively affected. The notes' ratings may be negatively affected by an increase in the magnitude of mortgage cash flows scheduled to be received beyond the notes' legal final maturity dates. The notes' ratings could be positively affected by a reduction in the magnitude of mortgage cash flows scheduled to be received beyond the notes' legal final maturity dates. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that affected the rating analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. The rating actions are: Lusitano Mortgages No. 4 Plc: Class A affirmed at 'BBsf'; off RWE; Outlook Stable Class B affirmed at 'BBsf'; off RWE; Outlook Stable Class C affirmed at 'BBsf'; off RWE; Outlook Stable Class D affirmed at 'CCCsf'; off RWE; Recovery Estimate 90% Lusitano Mortgages No. 5 Plc: Class A affirmed at 'BBsf'; off RWE; Outlook Stable Class B affirmed at 'BB-sf'; off RWE; Outlook Stable Class C affirmed at 'CCCsf'; off RWE; Recovery Estimate 90% Class D affirmed at 'CCsf'; off RWE; Recovery Estimate 0% Lusitano Mortgages No. 6 Limited: Class A upgraded to 'A-sf' from 'BBBsf'; off RWE; Outlook Positive Class B upgraded to 'BB+sf' from 'BB-sf'; off RWE; Outlook Positive Class C affirmed at 'B-sf'; off RWE; Outlook Stable Class D affirmed at 'CCCsf'; off RWE; Recovery Estimate revised to 90% from 5% Class E affirmed at 'CCsf'; off RWE; Recovery Estimate 0% =========== R U S S I A =========== BANK OTKRITIE: Moody's Reviews B2 Unsec. Debt Ratings for Upgrade ----------------------------------------------------------------- Moody's Investors Service placed on review for upgrade the B2 long-term foreign- and local-currency senior unsecured debt and deposit ratings, and the B1(cr) long-term counterparty risk assessment (CRA) of Bank Otkritie Financial Corporation PJSC (BOFC). Concurrently, Moody's upgraded BOFC's baseline credit assessment (BCA) to caa3 from ca, its adjusted BCA to caa3 from ca and placed them on review for further upgrade. In addition, Moody's affirmed BOFC's foreign-currency subordinated debt (ISIN: XS0776121062) ratings at C, short-term deposit rating of Not Prime, and the short-term CRA of Not Prime(cr). The subordinated debt ratings of C and C(hyb), respectively, assigned to debt securities issued by BOFC (ISIN: XS0940730228) and Khanty-Mansiysk bank Otkritie PJSC (ISIN: XS0944741833), were withdrawn following the full write-down of these subordinated debt issues and their delisting from the Irish Stock Exchange. RATINGS RATIONALE The rating action reflects the bank's improved financial metrics following its recent asset writedowns and recapitalization, as well as the stabilization of its customer deposits, although considerable risks and uncertainties remain. The upgrade of the bank's BCA and adjusted BCA also reflects the bank's improved liquidity cushion, supported by short-term funding from the CBR (Central Bank of Russia). In December 2017, the CBR provided BOFC with RUB456 billion of new equity and thus became the owner of virtually all of its share capital. This restored the bank's capital ratios following substantial provisioning charges of RUB384 billion and a further negative asset revaluation of RUB70 billion incurred in Q3-Q4 2017. As a result, on a standalone basis, BOFC reported a core Tier 1 ratio (N1.1) of 11.8% as of January 1, 2018, exceeding the regulatory thresholds and Basel III additional buffers for systemically important banks (SIB). Despite this extraordinary capital support, Moody's believes that asset risk remains high for BOFC given its substantial exposure to its subsidiary Bank Trust (BT; unrated), which reported negative regulatory capital of RUB192 billion as of year-end 2017. The rating agency estimates BOFC's gross interbank lending to BT to be about RUB303 billion (136% of BOFC's regulatory capital), which is only 21% covered by provisions. While Moody's expects a central- bank funded recapitalization of BT in Q1 2018 to reduce this risk, the amounts, timing and mechanism for this support are uncertain. Following the bailout of BOFC's senior debt holders and depositors in late August 2017, along with the liquidity support that was provided by the CBR, the bank's customer base stabilized in Q4 2017. Although the CBR loans are steadily being repaid, they remain a material source of funding for BOFC, amounting to 37% of the bank's liabilities as of year-end 2017. However BOFC's liquidity cushion is now ample, at over 50% of total assets, and well in excess of its CBR funding. BOFC's ability to re-build the bank's business model, generate sufficient recurring revenue, and potentially recover problem assets, are among the key challenges it faces in the next 12-18 months. Moody's also sees the potential merger with B&N Bank (unrated) which may happen in 2018-19, the unclear timing and amount of BT's recapitalization, as well as the destiny of several assets acquired from Otkritie Holding (unrated), as additional factors of uncertainty. The rating agency will conclude its review for upgrade given further clarity on the recapitalization of BT and repayment schedule of the interbank loan to BT from BOFC. GOVERNMENT SUPPORT Moody's incorporates a very high likelihood of government support for BOFC's debt and deposit ratings, resulting in four notches of uplift from the BCA of caa3. This is based upon the CBR's 100% ownership of the bank, BOFC's status as a SIB, a still significant market share by assets among the 10 largest Russian banks, and a history of financial support from the CBR, as both capital and funding. WHAT COULD MOVE THE RATINGS UP/ DOWN BOFC's BCA could be upgraded if BT's capital were fully replenished or/and BOFC's exposure to BT were repaid. Moody's may also upgrade the bank's ratings if its profitability and capital were to return to sustainable levels on a consolidated basis. An upgrade in the BCA may result in an upgrade to the bank's ratings but this will also depend on an updated assessment of potential further government support. The possibility of a downgrade to the bank's BCA is limited given its low level of caa3 and the fact that it is on review for upgrade. Moody's may confirm the BCA and ratings if BT were not recapitalized and BOFC's exposure to its subsidiary were to remain substantial. The ratings could be downgraded in the unlikely event that the CBR appeared less likely to continue its support to BOFC, or if the Russian government's overall capacity and propensity to render support to systemically important financial institutions should diminish. LIST OF AFFECTED RATINGS Issuer: Bank Otkritie Financial Corporation PJSC Upgraded and Placed on Review for further Upgrade: -- Adjusted Baseline Credit Assessment, Upgraded to caa3 from ca -- Baseline Credit Assessment, Upgraded to caa3 from ca Placed On Review for Upgrade: -- LT Bank Deposits, currently B2, Outlook changed To Rating Under Review From Developing -- Senior Unsecured Regular Bond/Debenture, currently B2, Outlook changed To Rating Under Review From Developing -- LT Counterparty Risk Assessment, currently B1(cr) Affirmations: -- ST Bank Deposits, Affirmed NP -- Subordinate, Affirmed C (ISIN: XS0776121062) -- ST Counterparty Risk Assessment, Affirmed NP(cr) Withdrawals: -- Subordinate, Withdrawn, previously rated C (ISIN: XS0940730228) Outlook Actions: -- Outlook, Changed To Rating Under Review From Developing Issuer: Khanty-Mansiysk bank Otkritie PJSC Withdrawals: -- Subordinate, Withdrawn, previously rated C (hyb) (ISIN: XS0944741833) Outlook Actions: -- Outlook, Changed To Rating Withdrawn From No Outlook PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Banks published in September 2017. BANK SOVETSKY: Bank of Russia Okays Bankruptcy Participation Plan ----------------------------------------------------------------- The Bank of Russia on Feb. 21 disclosed that it has approved the plan of its participation in bankruptcy prevention measures for Joint-stock Company Bank Sovetsky. As part of the Participation Plan, LLC UK FKBS is vested with the authority of a provisional administration of JSC Bank Sovetsky from February 22, 2018. One of the priority tasks of the provisional administration will be to analyze the Bank's financial standing to determine the prospects of further implementation of bankruptcy prevention measures. Other measures provided for by the Participation Plan will ensure that the Bank continues its activity with regard to servicing its clients and performing its existing obligations. BANK ZENIT: Moody's Alters Outlook to Pos. & Affirms Ba3 Rating --------------------------------------------------------------- Moody's Investors Service has changed to positive from negative the outlook on Bank ZENIT PJSC's Ba3 long-term local- and foreign- currency deposit ratings and its Ba3 local-currency senior unsecured debt rating and affirmed the above long-term ratings. Concurrently, Moody's affirmed Bank Zenit's baseline credit assessment (BCA) of b1, its adjusted BCA of ba3 and Not Prime short-term local-currency and foreign-currency deposit ratings. The overall outlook on the entity has changed to positive from negative. Moody's has also affirmed Bank Zenit's long-term and short-tern Counterparty Risk Assessments (CR Assessments) of Ba2(cr) / Not Prime(cr). A full list of affected ratings can be found at the end of this press release. RATINGS RATIONALE Moody's revision of Bank Zenit's ratings outlook to positive reflects the bank's recently strengthened standalone financial fundamentals and Moody's expectation that Bank Zenit's strategic fit to its controlling shareholder Tatneft PJSC (Tatneft, rated Baa3 on issuer rating with positive outlook) will be increasing over time leading to the latter's greater propensity to render support to the bank. Tatneft's willingness to support Bank Zenit is evidenced by its sizeable capital injections into the bank and its purchase from Bank Zenit of a material portfolio of problematic assets in 2017. In mid-2017, Tatneft completed a RUB14 billion capital injection into the bank. As a result, its stake in Bank Zenit has increased to 71.12% of voting shares as of now from 50.44% held as of the end of 2016. Tatneft also established an asset management company for purchasing from Bank Zenit its problematic assets accumulated during the financial crisis and mainly consisting of overdue and impaired loans, as well as repossessed collateral of defaulted borrowers. In the second half of 2017, Bank Zenit sold to this asset management company a sizeable portfolio of distressed assets for RUB25 billion. According to Bank Zenit's management, all of the bank's risks relating to the sold assets terminated upon completion of the deal. Tatneft's Chief Executive Officer is the chair of Bank Zenit's board of directors, and Tatneft actively participates in developing Bank Zenit's business strategy. Moody's expects that the integration of Bank Zenit's business with Tatneft may increase over time, with the former expanding its range of services rendered to Tatneft and achieving greater degree of a strategic fit with its parent. Currently, Bank Zenit already provides some tailor-made services to Tatneft group of companies, including payroll services to Tatneft employees that are mainly provided through Bank Zenit's subsidiary bank Devon-Credit. Tatneft also places with the bank a material amount of own deposits. As of 30 September 2017, this funding stood at RUB24 billion or 10% of Bank Zenit's liabilities. Moody's change of the outlook on Bank Zenit's ratings also reflects the bank's improved standalone solvency metrics, that are now more solidly positioned at b1 BCA. The rating agency estimates that, following the transfer of problematic assets to the specialized asset management company, Bank Zenit's problem loan ratio reduced to around 13% of total gross loans as of the end of 2017 from 22% reported a year earlier, while coverage of the problem loans by loan loss reserves has increased to around 70% from 58% over the same period. The resulting ratios are in line with the banking sector average metrics. Moody's expects that Bank Zenit's slightly improved net interest margin coupled with moderating credit losses will result in marginally profitable performance in 2018, enabling the bank to sustain its recently strengthened capital adequacy level. As of September 30, 2017, Bank Zenit reported Basel I Tier 1 and total capital adequacy ratios of 12.9% and 18.7%, respectively, according to consolidated IFRS financial statements. WHAT COULD MOVE THE RATINGS UP / DOWN Moody's could upgrade Bank Zenit's BCA and its deposit and debt ratings if the bank's solvency metrics continue to improve, and if this trend is coupled with a greater strategic fit of Bank Zenit to its controlling shareholder which would enable the rating agency to increase its affiliate support assumptions for the bank. Bank Zenit's BCA could be downgraded if Moody's observes a deterioration in the bank's asset-quality metrics, such as a migration of impaired loans into the nonperforming loan category, and if this deterioration results in substantial losses and capital erosion. Furthermore, any signs of a diminished support from Tatneft to Bank Zenit, such as an announcement of Tatneft's partial or full divestment from the bank, could result in the downgrade of the bank's supported deposit and debt ratings. LIST OF AFFECTED RATINGS Issuer: Bank ZENIT PJSC Affirmations: -- LT Bank Deposits, Affirmed Ba3, Outlook changed To Positive From Negative -- ST Bank Deposits, Affirmed NP -- Senior Unsecured Regular Bond/Debenture, Affirmed Ba3, Outlook changed To Positive From Negative -- Adjusted Baseline Credit Assessment, Affirmed ba3 -- Baseline Credit Assessment, Affirmed b1 -- LT Counterparty Risk Assessment, Affirmed Ba2(cr) -- ST Counterparty Risk Assessment, Affirmed NP(cr) Outlook Actions: -- Outlook, Changed To Positive From Negative PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Banks published in September 2017. Headquartered in Moscow, Russia, Bank Zenit reported total assets of RUB274 billion and total shareholder equity of RUB31 billion under unaudited IFRS financial statements as of September 30, 2017. The bank's IFRS profits for the nine months of 2017 stood at RUB735 million. MASTER-CAPITAL BANK: Placed on Provisional Administration --------------------------------------------------------- The Bank of Russia, by Order No. OD-425 dated February 20, 2018, revoked the banking license of Moscow-based credit institution Joint Stock Commercial Bank Master-Capital from February 20, 2018. According to the financial statements, as of February 1, 2018, the credit institution ranked 302th by assets in the Russian banking system. Master-Capital's activity was oriented at servicing the interests of its owner. Lending to borrowers directly or indirectly related to the ultimate beneficiaries of the credit institution resulted in the considerable amount of non-performing assets in the credit institution's balance sheet. The due diligence check of credit risk at the regulator's request established a substantial loss of capital and entailed the need for action to prevent the credit institution's insolvency (bankruptcy), which created a real threat to its creditors' and depositors' interests. The credit institution's management and owners failed to take effective measures to normalise its activities. As it stands, the Bank of Russia has taken the decision to withdraw Master-Capital from the banking services market. The Bank of Russia takes this extreme measure -- revocation of the banking license --because of the credit institution's failure to comply with federal banking laws and Bank of Russia regulations, due to repeated application, within a year, of measures envisaged by the Federal Law "On the Central Bank of the Russian Federation (Bank of Russia)", considering a real threat to the creditors' and depositors' interests. The Bank of Russia, by its Order No. OD-426, dated February 20, 2018, appointed a provisional administration to Master-Capital for the period until the appointment of a receiver pursuant to the Federal Law "On the Insolvency (Bankruptcy)" or a liquidator under Article 23.1 of the Federal Law "On Banks and Banking Activities". In accordance with federal laws, the powers of the credit institution's executive bodies have been suspended. Master-Capital is a member of the deposit insurance system. The revocation of the banking licence is an insured event as stipulated by Federal Law No. 177-FZ "On the Insurance of Household Deposits with Russian Banks" in respect of the bank's retail deposit obligations, as defined by law. The said Federal Law provides for the payment of indemnities to the bank's depositors, including individual entrepreneurs, in the amount of 100% of the balance of funds but no more than a total of 1.4 million rubles per depositor. NATIONAL STANDARD: Reorganization Procedure Launched Via Merger --------------------------------------------------------------- Pursuant to Part 5 Article 23 of Federal Law No. 395-1 dated December 2, 1990, "On Banks and Banking Activities", the Western Market Access Centre, Department for Market Access and Activity Termination of Financial Institutions of the Bank of Russia announced the launch of a reorganization procedure of Joint-stock Company National Standard Bank through a merger with Public Joint- stock Company Commercial Bank Russky Yuzhny Bank. =========================== U N I T E D K I N G D O M =========================== CARILLION PLC: Amey Rail Buys Wave of Contracts, 700 Jobs Saved --------------------------------------------------------------- Bradley Gerrard at The Telegraph reports that more than 700 rail industry jobs have been saved after British company Amey swept in to buy up a wave of contracts previously owned by the collapsed outsourcer Carillion. According to The Telegraph, Amey Rail will now take on the contracts for work on projects in the East Midlands, London and the North West, safeguarding more than two thirds of the roughly 1,000 Carillion workers on Network Rail projects and potentially hundreds more involved in the supply chain. Network Rail said Amey had bought a "significant number" of Carillion's contracts, including work on some of its most complex projects such as the North West electrification program and work related to Crossrail at Old Oak Common, but did not disclose financial details of the transactions, The Telegraph relates. Headquartered in Wolverhampton, United Kingdom, Carillion plc -- http://www.carillionplc.com/-- is an integrated support services company. The Company operates through four business segments: Support services, Public Private Partnership projects, Middle East construction services and Construction services (excluding the Middle East). CARILLION PLC: Regulator to Use Powers for Pensions Recovery ------------------------------------------------------------ Josephine Cumbo at The Financial Times reports that the Pensions Regulator is considering pursuing individuals connected with Carillion as it weighs using its powers to recover cash for the collapsed outsourcing group's indebted pension schemes. The regulator began an investigation into Carillion on Jan. 18, three days after the group was placed into compulsory liquidation with an estimated GBP900 million funding shortfall in its pension scheme, the FT relates. Appearing before a joint select committee inquiry into Carillion's collapse, the Pensions Regulator, as cited by the FT, said its "anti-avoidance" probe was looking at whether there was a case for using its powers to recover cash for the group's pension schemes. The committee asked what could be retrieved for the pension schemes, now in the hands of the industry lifeboat fund, given Carillion had collapsed with about GBP29 million in cash in the company, the FT relays. According to the FT, Nicola Parish, executive director of front- line regulation with the regulator, said its powers could go beyond seeking recoveries from companies. "It (the powers) can look at individuals associated and connected with corporates as well," said the FT quotes Ms. Parish as saying. Ms. Parish said the regulator was working on its investigation with other agencies, including the Financial Reporting Council, the Insolvency Service and the Financial Conduct Authority, the FT notes. Headquartered in Wolverhampton, United Kingdom, Carillion plc -- http://www.carillionplc.com/-- is an integrated support services company. The Company operates through four business segments: Support services, Public Private Partnership projects, Middle East construction services and Construction services (excluding the Middle East). STONEGATE PUB: S&P Lowers CCR to 'B-' on Negative Cash Flow ----------------------------------------------------------- S&P Global Ratings lowered its long-term issuer credit rating on U.K. pub operator Stonegate Pub Co. Ltd. to 'B-' from 'B'. The outlook is stable. Elevated acquisition and capital spending has led to materially negative cash flow for Stonegate, the U.K.'s fourth-largest managed pub operator, owned by TDR Capital. S&P said, "At the same time, we downgraded the group's senior secured facilities (GBP405 million fixed-rate notes and GBP190 million floating-rate notes) to 'B-' from 'B'. The recovery rating remains unchanged at '3', reflecting our expectation of meaningful recovery prospects (50%-70%; rounded estimate: 50%) in the event of default." Aggressive debt-funded opportunistic acquisitions and capital expenditure (capex) has resulted in materially negative cash flow for Stonegate. After refinancing in March 2017, Stonegate further accelerated its expansion plan, elevating capex and acquisition spending to GBP82 million and GBP66 million in FY2017, respectively. The additional spending of GBP28 million enabled the group to acquire various pubs from JD Wetherspoon plc, Faucet Inn Limited, Punch Taverns plc, and Ei Group plc, among others. This has reduced Stonegate's cash balance to GBP16.5 million in FY2017 from GBP28.9 million in FY2016. The weaker cash balance has been exacerbated by GBP21 million outstanding bank overdrafts and RCF drawings as of September 2017. Although S&P currently sees no immediate liquidity constraints, Stonegate will have to carefully manage its cash flow as further deterioration in liquidity or leverage could lead it to assess its capital structure as unsustainable. S&P said, "Our adjusted debt to EBIDTA reached 7.9x in FY2017, after deducting GBP15.5 million of exceptional costs mostly related to acquisitions, restructuring, integration, and management fees. Owing to aggressive expansion, we see limited deleveraging prospects and our adjusted debt to EBITDA could well remain around 7.5x-8.0x unless the group reins in capex and acquisitions. Absent further acquisitions, we forecast our adjusted debt to EBITDA could improve marginally to 7.5x-7.7x in FY2018 and 7.3x-7.5x in FY2019. "Nevertheless, we expect around 1.5x-1.6x EBITDAR coverage (defined as reported EBITDA before deducting rent costs over cash interest plus rent costs) in FY2018 and FY2019. We also anticipate about 50% headroom on the group's minimum EBIDTA financial covenant. There is also no near-term refinancing need as the senior secured notes will mature in March 2022." Stonegate is the fourth-largest managed pub operator in the U.K. with about 700 pubs and bars. The group was established by financial sponsor TDR Capital in 2010 following the acquisition of 333 pubs from Mitchells & Butlers PLC, and has since more than doubled in size through a series of acquisitions, including Town & City in 2011, Bramwell in 2013, Tattershall Castle Group and Maclay's in 2015, and iNTERTAIN in 2016. The group's strategy is to acquire underperforming pubs from competitors and subsequently integrate them through refurbishment and conversion to achieve earnings growth. About 40% of the group pubs are branded: Slug & Lettuce, Yates, Walkabout, Venues, and Common Rooms. Stonegate's strategy requires substantial spending and capital investment post-acquisition, which could significantly weigh on its cash flow generation and liquidity. Despite these challenges, Stonegate achieved positive like-for- like sales growth of 2% in FY2017 and S&P's adjusted EBITDA margin of 18.9%. Its drinks-led pub portfolio, predominantly located in towns and cities, stands to benefit from rising demand for premium drinks and cocktails relative to cheaper lagers. S&P's base case assumes: -- S&P said, "In anticipation of the U.K. leaving the EU, we forecast U.K. real GDP growth falling to 1.5% in 2017 and 1.0% in 2018, from 1.8% in 2016. Consumer price index inflation will rise to 2.7% in 2017 and 2.4% in 2018 (0.6% in 2016). This reflects our view that U.K. consumers will face rising menu prices as pubs and restaurants attempt to pass- through cost inflationary pressures." -- Revenue growth of 7%-8% for FY2018, primarily reflecting the full year consolidation of the recent acquisitions. These include 30 Intertain pubs, 10 JD Wetherspoon pubs, five London-transport-hub-located pubs, three Faucet Inn pubs, and three other London pubs. Absent further acquisitions, S&P expects sales growth to normalize to 3%-4% in FY2019 on the b back of positive momentum in premium drinks sales as well as a moderate increase in menu prices. -- S&P expects Stonegate's adjusted EBITDA margin to decline to around 18% in FY2018 and FY2019, from 18.9% achieved in FY2017. S&P thinks that inflationary pressures to labor, food and drinks costs, and business rates, will weigh on the profitability of managed pubs. -- S&P's adjusted EBITDA also factors in acquisition-related costs and associated restructuring, and integration costs, consistent with their treatment as operating cash flows. S&P views acquisitions as integral to Stonegate's growth strategy. -- S&P expects normalized capex to be GBP50 million-GBP55 million in FY2018 and FY2019, reducing from GBP82 million in FY2017. However, any further capex would likely result in negative FOCF, reducing our headroom on the current ratings. -- No further acquisitions or shareholder distributions in the near term. Based on these assumptions, S&P arrives at the following credit measures: -- Absent further acquisitions, S&P forecasts that S&P Global Ratings-adjusted debt to EBITDA could improve toward 7.5x-7.7x in FY2018 and 7.3x-7.5x in FY2019, from 7.9x in FY2017. -- However, based on the group's acquisition track record, S&P's adjusted debt to EBITDA could well remain around 7.5x-8.0x. -- S&P forecasts the EBITDAR coverage ratio (defined as reported EBITDA before deducting rent costs over cash interest plus rent costs) will be around 1.5-1.6x in FY2018 and FY2019. -- While management expects to rein in capex, to turn negative reported FOCF to positive, S&P sees a risk that further opportunistic expansion could result in reported FOCF remaining negative. S&P said, "The stable outlook reflects our view that Stonegate will continue to achieve positive like-for-like sales growth and improve its EBITDA. However, its debt-funded acquisition-driven expansion will likely result in S&P Global Ratings-adjusted debt to EBITDA of around 8.0x, while maintaining sufficient liquidity over the next 12 months. "We could lower the ratings if we perceive a risk that the capital structure is becoming unsustainable, which could be triggered by liquidity further weakening, our adjusted debt to EBITDA rising meaningfully beyond 8x, or EBITDAR coverage falling below 1.2x. This could arise if operating performance is weaker than expected; capex continues to overrun, leading to negative reported FOCF beyond 2017; or further debt-funded opportunistic acquisitions or shareholder returns that could weaken Stonegate's credit profile. "Base on Stonegate's debt-funded acquisition track record, we consider an upgrade unlikely over the next 12 months. Nevertheless, we could consider raising the ratings if the group deleveraged to below 7x on the back of positive reported FOCF generation on a sustainable basis. This would be accompanied by greater visibility on TDR Capital's financial policy in relation to capex, acquisitions, and shareholder returns." =============== X X X X X X X X =============== * BOND PRICING: For the Week February 19 to February 23, 2018 ------------------------------------------------------------- Issuer Coupon Maturity Currency Price ------ ------ -------- -------- ----- Steinhoff Europe AG 1.88 1/24/2025 EUR 62.26 Steinhoff Finance Holding Gm 1.25 8/11/2022 EUR 63.08 Steinhoff Finance Holding Gm 1.25 10/21/2023 EUR 55.43 New Look Secured Issuer PLC 6.50 7/1/2022 GBP 45.75 Oi Brasil Holdings Cooperati 5.75 2/10/2022 USD 43.40 Astaldi SpA 4.88 6/21/2024 EUR 70.09 Intelsat Luxembourg SA 7.75 6/1/2021 USD 44.62 Portugal Telecom Internation 4.63 5/8/2020 EUR 43.50 Intelsat Luxembourg SA 8.13 6/1/2023 USD 42.01 New Look Secured Issuer PLC 4.50 7/1/2022 EUR 44.87 Agrokor dd 9.88 5/1/2019 EUR 30.04 Ageasfinlux SA 1.02 EUR 70.83 Portugal Telecom Internation 5.00 11/4/2019 EUR 40.00 Air Berlin PLC 8.25 4/19/2018 EUR 1.07 New Look Senior Issuer PLC 8.00 7/1/2023 GBP 16.01 Promsvyazbank OJSC Via PSB F 10.20 11/6/2019 USD 96.75 Vallourec SA 4.13 10/4/2022 EUR 7.89 Portugal Telecom Internation 4.50 6/16/2025 EUR 43.81 CGG SA 5.88 5/15/2020 EUR 53.02 Oi Brasil Holdings Cooperati 5.63 6/22/2021 EUR 43.06 Portugal Telecom Internation 5.88 4/17/2018 EUR 44.13 EA Partners I BV 6.88 9/28/2020 USD 74.77 Offshore Drilling Holding SA 8.38 9/20/2020 USD 44.45 Korian SA 2.50 EUR 41.74 Banco Espirito Santo SA 4.75 1/15/2018 EUR 31.27 CGG SA 1.75 1/1/2020 EUR 1.78 Air Berlin PLC 6.75 5/9/2019 EUR 0.92 Portugal Telecom Internation 6.25 7/26/2016 EUR 41.41 Neopost SA 3.38 EUR 55.94 Bank Otkritie Financial Corp 10.00 4/26/2019 USD 20.13 Maisons du Monde SA 0.13 12/6/2023 EUR 53.50 Privatbank CJSC Via UK SPV C 10.25 1/23/2018 USD 29.67 Immigon Portfolioabbau AG 10.00 EUR 16.38 Genfit 3.50 10/16/2022 EUR 31.38 Pierre & Vacances SA 2.00 4/1/2023 EUR 58.72 Agrokor dd 8.88 2/1/2020 USD 28.84 Avangardco Investments Publi 10.00 10/29/2018 USD 18.33 Agrokor dd 9.13 2/1/2020 EUR 29.07 OAS Investments GmbH 8.25 10/19/2019 USD 7.00 Grupo Isolux Corsan SA 3.00 12/30/2021 EUR 0.50 UkrLandFarming PLC 10.88 3/26/2018 USD 22.47 Rickmers Holding AG 8.88 6/11/2018 EUR 2.42 Pacific Drilling SA 5.38 6/1/2020 USD 45.25 publity AG 3.50 11/17/2020 EUR 77.00 BIM SAS 2.50 11/13/2020 EUR 25.19 Bibby Offshore Services PLC 7.50 6/15/2021 GBP 15.50 Grupo Isolux Corsan SA 0.25 12/30/2021 EUR 0.28 EA Partners II BV 6.75 6/1/2021 USD 71.47 Banco Espirito Santo SA 4.00 1/21/2019 EUR 28.75 Mitsubishi UFJ Investor Serv 3.92 12/30/2099 EUR 5.54 CGG SA 6.50 6/1/2021 USD 53.41 WPE International Cooperatie 10.38 9/30/2020 USD 18.90 Transcapitalbank JSC Via Tra 10.00 9/18/2020 USD 70.25 Banco Espirito Santo SA 2.63 5/8/2017 EUR 30.27 Promsvyazbank OJSC Via PSB F 10.50 7/30/2021 USD 5.01 CGG SA 1.25 1/1/2019 EUR 21.38 Scholz Holding Gmbh 8.50 12/31/2019 EUR 8.00 FIGEAC-AERO 1.13 10/18/2022 EUR 25.14 Air Berlin PLC 5.63 5/9/2019 CHF 1.16 Santhera Pharmaceuticals Hol 5.00 2/17/2022 CHF 73.97 Credito Valtellinese SpA 4.70 8/4/2021 EUR 70.33 Promsvyazbank OJSC Via PSB F 10.50 3/17/2021 USD 10.50 Capital Raising GmbH 7.50 EUR 53.04 Barclays Bank PLC 2.23 7/31/2034 USD 63.00 Bilt Paper BV 9.64 USD 20.33 Mriya Agro Holding PLC 9.45 4/19/2018 USD 5.38 ADLER Real Estate AG 2.50 7/19/2021 EUR 15.56 Cooperatieve Rabobank UA 0.50 11/26/2021 ZAR 73.09 Alno AG 8.50 5/14/2018 EUR 3.65 CGG SA 6.88 1/15/2022 USD 54.75 Allied Irish Banks PLC 12.50 6/25/2035 GBP 72.51 Hybrid Raising GmbH 6.63 EUR 53.11 Nexity SA 0.13 1/1/2023 EUR 69.51 Norske Skogindustrier ASA 7.00 12/30/2026 EUR 1.64 Mobylife Holding A/S 7.25 5/23/2020 SEK 8.00 Nexans SA 2.50 1/1/2019 EUR 74.87 Promsvyazbank OJSC Via PSB F 8.75 USD 5.00 Banca Carige SpA 7.32 12/20/2020 EUR 65.20 3W Power SA 10.00 8/29/2019 EUR 3.10 Banco Espirito Santo SA 7.13 11/28/2023 EUR 0.40 Orient Express Bank PJSC Via 10.00 USD 56.00 Norske Skog Holding AS 8.00 2/24/2021 EUR 2.21 Elli Investments Ltd 12.25 6/15/2020 GBP 65.00 Yuksel Insaat AS 9.50 11/10/2015 USD 20.88 OGX Austria GmbH 8.50 6/1/2018 USD 0.00 Alitalia-Societa' Aerea Ital 5.25 7/30/2020 EUR 5.83 Privatbank CJSC Via UK SPV C 11.00 2/9/2021 USD 13.34 IMMOFINANZ AG 4.25 3/8/2018 EUR 4.32 Virgolino de Oliveira Financ 10.50 1/28/2018 USD 6.50 Aligera Holding AB publ 5.00 5/7/2019 SEK 29.63 Lloyds Bank PLC 0.12 1/31/2033 USD 54.95 Johnston Press Bond Plc 8.63 6/1/2019 GBP 73.03 Privatbank CJSC Via UK SPV C 10.88 2/28/2018 USD 34.97 Stichting Afwikkeling Onderh 11.25 EUR 0.58 Norske Skogindustrier ASA 2.00 12/30/2115 EUR 1.10 Stichting Afwikkeling Onderh 6.25 10/26/2020 EUR 3.86 Beate Uhse AG 7.75 7/9/2019 EUR 9.88 Cirio Holding Luxembourg SA 6.25 2/16/2004 EUR 1.07 Afren PLC 6.63 12/9/2020 USD 0.04 Veneto Banca SpA 9.50 12/1/2025 EUR 0.31 Waste Italia SpA 10.50 11/15/2019 EUR 2.00 Oi Brasil Holdings Cooperati 5.75 2/10/2022 USD 42.25 Lambay Capital Securities PL 6.25 GBP 2.00 Espirito Santo Financial Gro 6.88 10/21/2019 EUR 0.16 Lloyds Bank PLC 1.50 12/27/2028 USD 72.50 Afren PLC 10.25 4/8/2019 USD 0.01 LBI HF 6.10 8/25/2011 USD 7.88 Bank Nederlandse Gemeenten N 0.50 7/12/2022 ZAR 69.35 KTG Agrar SE 7.13 6/6/2017 EUR 3.69 Belfius Bank SA/NV 1.60 FRF 72.00 Banca Popolare di Vicenza 9.50 9/29/2025 EUR 0.55 BBVA International Preferred 1.40 GBP 45.75 New World Resources NV 4.00 10/7/2020 EUR 0.46 NTRP Via Interpipe Ltd 10.25 8/2/2017 USD 28.00 OSX 3 Leasing BV 13.00 3/20/2015 USD 29.25 Dexia SA 1.45 EUR 8.75 Pescanova SA 5.13 4/20/2017 EUR 1.91 GNB - Cia de Seguros de Vida 3.17 EUR 73.13 Lehman Brothers UK Capital F 5.13 EUR 2.94 Barclays Bank PLC 1.28 8/28/2029 USD 75.58 Cattles Ltd 7.13 7/5/2017 GBP 0.24 Dexia Credit Local SA 1.40 EUR 5.67 New Look Senior Issuer PLC 8.00 7/1/2023 GBP 16.88 Intelsat Luxembourg SA 12.50 11/15/2024 USD 44.50 Kaupthing ehf 5.75 10/4/2011 USD 0.25 Barclays Bank PLC 1.35 9/30/2031 USD 62.85 GEWA 5 to 1 GmbH & Co KG 6.50 3/24/2018 EUR 18.31 Steilmann SE 7.00 9/23/2018 EUR 1.56 Phones4u Finance PLC 9.50 4/1/2018 GBP 74.50 Deutsche Bank AG/London 2.56 10/31/2034 USD 65.75 Cirio Del Monte NV 7.75 3/14/2005 EUR 1.25 Manchester Building Society 6.75 GBP 15.00 Mriya Agro Holding PLC 10.95 3/30/2016 USD 5.41 Kaupthing ehf 7.63 2/28/2015 USD 0.25 Corporate Commercial Bank AD 8.25 8/8/2014 USD 1.40 Banca Carige SpA 8.34 EUR 28.00 Lehman Brothers UK Capital F 6.90 USD 1.51 Pierre & Vacances SA 3.50 10/1/2019 EUR 42.32 Pescanova SA 8.75 2/17/2019 EUR 2.33 Societe Centrale des Bois et 2.50 5/15/2023 EUR 7.80 New Look Secured Issuer PLC 6.50 7/1/2022 GBP 46.13 Espirito Santo Financial Gro 3.13 12/2/2018 EUR 0.28 BLT Finance BV 7.50 5/15/2014 USD 2.04 Agrokor dd Via Aquarius + In 4.92 8/8/2017 EUR 24.88 New World Resources NV 8.00 4/7/2020 EUR 3.56 Aralco Finance SA 10.13 5/7/2020 USD 4.98 Lloyds Bank PLC 1.11 11/27/2033 USD 64.75 Sazka AS 9.00 7/12/2021 EUR 0.50 Afren PLC 11.50 2/1/2016 USD 0.05 Alno AG 8.00 3/21/2019 EUR 3.85 Lehman Brothers UK Capital F 5.75 EUR 1.47 Accentro Real Estate AG 6.25 3/27/2019 EUR 7.80 Royal Bank of Scotland PLC/T 0.95 11/16/2030 USD 65.63 HSBC France SA 1.03 EUR 70.00 CGG SA 6.50 6/1/2021 USD 55.35 Promsvyazbank PJSC 12.25 2/1/2018 RUB 50.00 German Pellets GmbH 7.25 11/27/2019 EUR 1.79 Cirio Finanziaria SpA 8.00 12/21/2005 EUR 0.54 German Pellets GmbH 7.25 7/9/2018 EUR 1.90 EFG International AG 1.14 EUR 64.53 Norske Skog Holding AS 8.00 2/24/2023 USD 2.31 ESFIL-Espirito Santo Financi 5.25 6/12/2015 EUR 0.07 Tonon Luxembourg SA 9.25 1/24/2020 USD 7.75 Deutsche Bank AG/London 0.21 6/30/2034 USD 61.50 Smart Solutions GmbH 8.00 12/3/2018 EUR 9.50 Touax SA 6.00 7/10/2020 EUR 17.89 Cirio Finance Luxembourg SA 7.50 11/3/2002 EUR 4.81 Tonon Luxembourg SA 10.50 5/14/2024 USD 40.75 Virgolino de Oliveira Financ 11.75 2/9/2022 USD 6.50 Eniro AB 6.00 4/14/2020 SEK 4.30 PNE Wind AG 3.75 10/10/2019 EUR 3.50 Barclays Bank PLC 0.61 11/29/2030 USD 63.35 Deutsche Bank AG/London 0.81 9/30/2029 USD 70.00 Praktiker AG 5.88 2/10/2016 EUR 0.08 Breeze Finance SA 6.71 4/19/2027 EUR 29.05 Portigon AG 7.46 12/31/2019 EUR 31.00 Barclays Bank PLC 1.42 2/25/2031 USD 62.50 Manchester Building Society 8.00 GBP 25.00 Agrokor dd 8.88 2/1/2020 USD 29.13 Del Monte Finance Luxembourg 6.63 5/24/2006 EUR 5.38 Espirito Santo Financial Gro 9.75 12/19/2025 EUR 0.51 Banca Carige SpA 2.77 6/19/2018 EUR 68.64 Gebr Sanders GmbH & Co KG 8.75 10/22/2018 EUR 33.38 Barclays Bank PLC 0.46 3/21/2033 USD 58.65 Lehman Brothers UK Capital F 3.88 EUR 1.91 New Look Secured Issuer PLC 4.50 7/1/2022 EUR 45.00 Uppfinnaren 1 AB 10.00 SEK 61.33 CBo Territoria 6.00 1/1/2020 EUR 4.08 Portugal Telecom Internation 5.24 11/6/2017 EUR 41.25 KPNQwest NV 8.88 2/1/2008 EUR 0.06 Lloyds Bank PLC 1.30 7/26/2033 USD 65.63 Lloyds Bank PLC 1.04 4/25/2034 USD 62.50 Etablissements Maurel et Pro 1.63 7/1/2019 EUR 16.24 Havila Shipping ASA 5.39 11/7/2020 NOK 67.63 Vneshprombank Ltd Via VPB Fu 9.00 11/14/2016 USD 0.32 IT Holding Finance SA 9.88 11/15/2012 EUR 0.76 Cooperatieve Rabobank UA 0.50 2/26/2029 HUF 64.74 KPNQwest NV 7.13 6/1/2009 EUR 0.07 Bank Nadra Via NDR Finance P 8.25 7/31/2018 USD 0.80 Hamburgische Landesbank-Giro 0.05 1/22/2041 EUR 63.15 Home Money LLC 18.00 4/19/2022 RUB 68.77 Phosphorus Holdco PLC 10.00 4/1/2019 GBP 1.18 Sairgroup Finance BV 4.38 6/8/2006 EUR 9.25 Golden Gate AG 6.50 10/11/2014 EUR 50.60 Frey 6.00 11/15/2022 EUR 21.50 Havila Shipping ASA 4.61 11/7/2020 NOK 54.00 Alpha Bank AE 2.50 6/20/2022 EUR 89.53 Promsvyazbank OJSC Via PSB F 10.20 11/6/2019 USD 2.37 Afren PLC 6.63 12/9/2020 USD 0.04 Deutsche Bank AG/London 3.00 2/23/2035 EUR 72.50 Lehman Brothers Treasury Co 6.00 11/2/2035 EUR 7.50 Petrol AD 5.50 1/26/2022 EUR 30.00 Atari SA 5.50 10/30/2022 EUR 0.56 Steilmann SE 6.75 6/27/2017 EUR 3.50 Waste Italia SpA 10.50 11/15/2019 EUR 2.00 Etablissements Maurel et Pro 2.75 7/1/2021 EUR 10.50 Windreich GmbH 6.50 7/15/2016 EUR 13.38 Deutsche Bank AG/London 0.50 8/28/2034 USD 61.50 Stichting Afwikkeling Onderh 2.42 EUR 0.58 UniCredit Bank Austria AG 0.17 12/31/2031 EUR 71.38 Rena GmbH 8.25 7/11/2018 EUR 2.00 Kommunalbanken AS 0.50 5/27/2022 ZAR 70.57 International Industrial Ban 9.00 7/6/2011 EUR 0.30 Barclays Bank PLC 0.30 3/28/2033 USD 59.70 Stroika Finance Ltd Via Emer 9.90 6/25/2019 RUB 10.00 Lehman Brothers Treasury Co 7.25 10/5/2035 EUR 7.50 Barclays Bank PLC 1.10 6/17/2033 USD 58.60 Vseukrainsky Aktsinerny Bank 10.90 6/14/2019 USD 0.89 PA Resources AB 13.50 3/3/2016 SEK 0.12 Rem Offshore ASA 5.00 12/8/2024 NOK 42.94 Enterprise Holdings LTD 7.00 3/30/2020 EUR 4.31 Northland Resources AB 4.00 10/15/2020 USD 0.15 MS Deutschland Beteiligungsg 6.88 12/18/2017 EUR 4.11 Koninklijke Luchtvaart Maats 0.75 CHF 38.00 Norske Skog Holding AS 8.00 2/24/2023 USD 2.31 Norske Skogindustrier ASA 7.13 10/15/2033 USD 2.52 Air Berlin Finance BV 6.00 3/6/2019 EUR 1.14 Ideal Standard International 11.75 5/1/2018 EUR 4.89 Pescanova SA 6.75 3/5/2015 EUR 2.09 Barclays Bank PLC 0.34 9/29/2034 USD 65.72 Sequa Petroleum NV 5.00 4/29/2020 USD 68.75 EDOB Abwicklungs AG 7.50 4/1/2012 EUR 0.39 Finmek International SA 7.00 12/3/2004 EUR 6.13 DEMIRE Deutsche Mittelstand 6.00 12/30/2018 EUR 4.00 Barclays Bank PLC 1.46 5/30/2034 USD 65.50 Banco Espirito Santo SA 6.88 7/15/2016 EUR 28.38 Windreich GmbH 6.50 3/1/2015 EUR 13.50 Offshore Drilling Holding SA 8.38 9/20/2020 USD 44.11 Norske Skog Holding AS 8.00 2/24/2021 EUR 2.21 Lloyds Bank PLC 0.09 4/26/2033 USD 57.50 Banco Pinto & Sotto Mayor 1.13 EUR 39.50 Espirito Santo Financial Gro 5.05 11/15/2025 EUR 0.61 Depfa Funding III LP 0.87 EUR 56.69 Pacific Drilling SA 5.38 6/1/2020 USD 38.00 Orient Express Bank PJSC 13.60 8/9/2018 RUB 65.00 International Industrial Ban 11.00 2/19/2013 USD 0.17 Governo Portugues Consolidad 3.00 EUR 70.00 OGX Austria GmbH 8.38 4/1/2022 USD 0.83 Societe Generale SA 2.04 3/31/2034 USD 69.40 KPNQwest NV 8.13 6/1/2009 USD 0.07 Promsvyazbank OJSC Via PSB F 12.50 USD 10.50 Lehman Brothers Treasury Co 6.00 2/15/2035 EUR 7.50 Air Berlin Finance BV 8.50 3/6/2019 EUR 1.23 Lloyds Bank PLC 1.24 7/5/2033 USD 62.13 World Wide Supply AS 7.75 5/26/2017 USD 15.38 Rudolf Woehrl AG 6.50 2/12/2018 EUR 6.61 Atari SA 7.50 2/17/2020 EUR 0.51 Stichting Afwikkeling Onderh 6.63 5/14/2018 EUR 3.86 OGX Austria GmbH 8.50 6/1/2018 USD 0.83 Depfa Funding II LP 6.50 EUR 59.17 APP International Finance Co 11.75 10/1/2005 USD 0.28 Steilmann SE 7.00 3/9/2017 EUR 1.56 Depfa Funding IV LP 1.54 EUR 57.25 Cooperatieve Rabobank UA 0.50 7/30/2043 MXN 9.55 Societe Generale SA 1.15 6/26/2034 USD 72.32 KTG Agrar SE 7.25 10/15/2019 EUR 3.43 Northland Resources AB 15.00 7/15/2019 USD 2.62 SiC Processing GmbH 7.13 3/1/2016 EUR 2.91 IVG Immobilien AG 5.47 EUR 2.35 Ahtium PLC 9.75 4/4/2017 EUR 3.25 PSN Pm OOO 13.00 9/10/2026 RUB 43.01 Santander Finance Capital SA 2.00 EUR 70.63 Azubu Investments SA 5.00 8/25/2018 EUR 60.00 JZ Capital Partners Ltd 6.00 7/30/2021 GBP 10.50 CGG SA 6.88 1/15/2022 USD 53.50 Tatfondbank OAO Via TFB Fina 8.50 11/12/2019 USD 2.18 Teksid Aluminum Luxembourg S 11.38 7/15/2011 EUR 0.11 Lloyds Bank PLC 3.33 1/29/2034 USD 74.99 Sidetur Finance BV 10.00 4/20/2016 USD 3.65 CGG SA 5.88 5/15/2020 EUR 53.75 BOA Offshore AS 0.40 7/17/2047 NOK 10.88 Agroton Public Ltd 6.00 7/14/2019 USD 16.63 Svensk Exportkredit AB 0.50 3/15/2022 ZAR 70.56 Activa Resources AG 0.50 11/15/2021 EUR 23.00 Lehman Brothers Treasury Co 5.00 9/22/2014 EUR 7.50 Barclays Bank PLC 1.81 3/27/2029 USD 58.00 AKB Peresvet ZAO 0.51 2/14/2032 RUB 24.13 3W Power SA 5.50 11/11/2020 EUR 1.50 Veneto Banca SpA 6.95 2/25/2025 EUR 0.13 UniCredit Bank Austria AG 0.15 12/27/2031 EUR 74.77 Otkritie Holding JSC 12.62 4/25/2028 RUB 16.10 Afren PLC 10.25 4/8/2019 USD 0.01 Santander Issuances SAU 4.35 12/1/2026 EUR 75.16 Virgolino de Oliveira Financ 10.50 1/28/2018 USD 6.38 Bulgaria Steel Finance BV 12.00 5/4/2013 EUR 0.17 Frigoglass Finance BV 8.25 5/15/2018 EUR 47.75 Mifa Mitteldeutsche Fahrradw 7.50 8/12/2018 EUR 1.68 Laurel GmbH 7.13 11/16/2017 EUR 7.75 SAG Solarstrom AG 6.25 12/14/2015 EUR 33.63 Abanka DD Via Afinance BV 1.57 EUR 1.90 Lehman Brothers Treasury Co 5.00 2/16/2015 EUR 7.50 KPNQwest NV 10.00 3/15/2012 EUR 0.08 Enterprise Holdings LTD 7.00 9/26/2017 EUR 4.33 SeaBird Exploration Finance 6.00 6/30/2020 USD 20.13 Kaupthing ehf 5.75 10/4/2011 USD 0.25 Veneto Banca SpA 6.41 EUR 1.20 Cooperatieve Rabobank UA 0.50 10/30/2043 MXN 9.40 CRC Breeze Finance SA 6.11 5/8/2026 EUR 53.13 Virgolino de Oliveira Financ 10.88 1/13/2020 USD 25.50 Credit Suisse AG/London 10.50 2/15/2018 USD 71.31 getgoods.de AG 7.75 10/2/2017 EUR 0.26 Agrokor dd 9.13 2/1/2020 EUR 28.49 Intelsat Luxembourg SA 12.50 11/15/2024 USD 44.50 Finans-Avia OOO 9.00 7/31/2022 RUB 69.51 Moscow United Electric Grid 8.55 5/6/2027 RUB 74.20 Caixa Geral de Depositos SA 1.31 11/5/2018 EUR 54.85 La Veggia Finance SPA 7.13 11/14/2004 EUR 0.56 Artea 6.00 8/4/2019 EUR 14.19 Decipher Production Ltd 12.50 9/27/2018 USD 1.87 Wild Bunch AG 8.00 3/23/2019 EUR 45.00 Mox Telecom AG 7.25 11/2/2017 EUR 3.00 Afren PLC 11.50 2/1/2016 USD 0.05 Banco Comercial Portugues SA 5.00 EUR 70.00 Hellas Telecommunications Lu 8.50 10/15/2013 EUR 1.04 Kardan NV 6.33 2/25/2018 ILS 62.14 Minicentrales Dos SA 6.45 4/14/2028 EUR 65.75 Bank Otkritie Financial Corp 10.00 4/26/2019 USD 20.13 Hamburgische Landesbank-Giro 0.05 10/30/2040 EUR 67.85 Montepio Holding SGPS SA 5.00 EUR 50.00 Svensk Exportkredit AB 0.50 4/24/2029 AUD 65.04 Landesbank Hessen-Thueringen 0.06 4/23/2041 EUR 68.29 Banca Carige SpA 5.70 9/17/2020 EUR 60.11 Lehman Brothers Treasury Co 2.88 3/14/2013 CHF 7.50 DOF ASA 7.85 9/12/2019 NOK 40.00 Deutsche Agrar Holding GmbH 7.25 9/28/2018 EUR 2.20 Landesbank Hessen-Thueringen 0.05 5/3/2041 EUR 66.58 Northland Resources AB 4.00 10/15/2020 NOK 0.15 A-TEC Industries AG 8.75 10/27/2014 EUR 0.10 Banco Espirito Santo SA 6.90 6/28/2024 EUR 26.63 Svensk Exportkredit AB 0.50 1/31/2022 ZAR 71.64 Popular Capital SA 4.00 EUR 2.76 Royal Bank of Scotland PLC/T 0.50 12/13/2028 USD 62.97 BLT Finance BV 12.00 2/10/2015 USD 10.50 Alpha Bank AE 2.50 6/20/2022 EUR 89.55 Otkritie Holding JSC 11.56 7/27/2028 RUB 16.06 A-TEC Industries AG 2.75 5/10/2014 EUR 0.10 HPI AG 3.50 EUR 2.27 Agrokor dd 9.88 5/1/2019 EUR 29.86 ADLER Real Estate AG 6.00 12/27/2018 EUR 14.00 Governo Portugues Consolidad 2.75 EUR 68.00 Barclays Bank PLC 2.74 3/27/2029 USD 67.25 SAG Solarstrom AG 7.50 7/10/2017 EUR 33.63 Alpine Holding GmbH 5.25 7/1/2015 EUR 0.13 Lehman Brothers Treasury Co 11.25 12/31/2008 USD 1.90 International Finance Facili 0.50 6/24/2024 ZAR 56.41 Salvator Grundbesitz-AG 9.50 12/31/2021 EUR 4.00 Alpine Holding GmbH 6.00 5/22/2017 EUR 0.13 HSH Nordbank AG 3.21 5/6/2030 EUR 74.44 OAS Investments GmbH 8.25 10/19/2019 USD 7.00 A-TEC Industries AG 5.75 11/2/2010 EUR 0.10 Mriya Agro Holding PLC 9.45 4/19/2018 USD 6.13 Moscow United Electric Grid 10.30 4/16/2026 RUB 66.02 Norske Skogindustrier ASA 7.13 10/15/2033 USD 2.52 Penell GmbH Elektrogrosshand 7.75 6/10/2019 EUR 5.00 Siberian Gostinecs PAO 17.00 6/26/2019 RUB 45.01 Plaza Centers NV 6.90 7/1/2020 ILS 74.06 Barclays Bank PLC 0.50 4/24/2023 MXN 61.80 Lehman Brothers Treasury Co 7.00 11/26/2013 EUR 7.50 Barclays Bank PLC 1.21 11/1/2031 USD 62.80 Gazprom PJSC 3.50 10/21/2043 RUB 65.01 Tonon Luxembourg SA 10.50 5/14/2024 USD 40.75 Lehman Brothers Treasury Co 7.00 5/17/2035 EUR 7.50 German Pellets GmbH 7.25 4/1/2016 EUR 1.85 Solon SE 1.38 12/6/2012 EUR 0.25 BNP Paribas SA 0.50 9/29/2029 AUD 63.86 Petromena ASA 10.85 11/19/2018 USD 0.61 Societe Generale SA 1.60 1/9/2020 GBP 1.13 Municipality Finance PLC 0.50 7/30/2029 AUD 70.83 Sairgroup Finance BV 6.63 10/6/2010 EUR 11.00 Banco Pastor SAU 2.08 EUR 1.55 OGX Austria GmbH 8.38 4/1/2022 USD 0.83 Finance and Credit Bank JSC 9.25 1/25/2019 USD 0.67 SAir Group 5.50 7/23/2003 CHF 11.81 Svensk Exportkredit AB 0.50 2/22/2022 ZAR 70.90 PromSvyazCapital AO 10.50 4/10/2026 RUB 97.75 UniCredit Bank Austria AG 0.02 1/25/2031 EUR 73.71 Veneto 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Centers NV 6.00 7/1/2020 ILS 72.06 Ahtium PLC 4.00 12/16/2015 EUR 1.52 Bank Julius Baer & Co Ltd/Gu 9.10 5/23/2018 USD 59.60 Lehman Brothers Treasury Co 8.25 3/16/2035 EUR 7.50 Agentstvo po Ipotechnomu Zhy 7.60 11/13/2050 RUB 70.53 Phones4u Finance PLC 9.50 4/1/2018 GBP 74.50 BNP Paribas SA 0.50 7/20/2021 BRL 72.62 Alpine Holding GmbH 5.25 6/10/2016 EUR 0.13 BTV Hybrid I GmbH 6.50 EUR 37.92 Orient Express Bank PJSC 18.00 5/28/2020 RUB 75.00 Agentstvo po Ipotechnomu Zhy 7.60 11/13/2050 RUB 70.53 SPORTTOTAL AG 6.00 3/17/2019 EUR 3.85 Lehman Brothers Treasury Co 5.10 5/8/2017 HKD 7.50 Virgolino de Oliveira Financ 11.75 2/9/2022 USD 6.75 Deutsche Bank AG/London 1.51 11/26/2034 USD 66.33 Barclays Bank PLC 1.40 12/23/2033 USD 68.00 Krakowski Bank Spoldzielczy 5.11 9/20/2023 PLN 65.20 Lehman Brothers Treasury Co 4.00 2/16/2017 EUR 7.50 Norske Skogindustrier ASA 2.00 12/30/2115 EUR 1.10 Delamare Finance PLC 1.72 2/19/2029 GBP 72.46 Marine Subsea AS 9.00 12/16/2019 USD 0.50 Region of Abruzzo 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9/28/2018 EUR 66.99 HSBC Trinkaus & Burkhardt AG 8.80 9/28/2018 EUR 73.43 HSBC Trinkaus & Burkhardt AG 11.10 4/27/2018 EUR 68.76 HSBC Trinkaus & Burkhardt AG 11.20 3/23/2018 EUR 71.97 HSBC Trinkaus & Burkhardt AG 9.20 6/22/2018 EUR 71.76 Deutsche Bank AG 4.20 9/25/2018 EUR 74.20 Deutsche Bank AG 4.20 12/27/2018 EUR 75.00 UniCredit Bank AG 12.10 6/22/2018 EUR 72.45 Araratbank OJSC 7.25 6/27/2018 USD 25.43 UniCredit Bank AG 12.00 3/23/2018 EUR 73.33 HSBC Trinkaus & Burkhardt AG 11.10 9/28/2018 EUR 68.92 UniCredit Bank AG 10.50 3/23/2018 EUR 71.24 Vontobel Financial Products 8.00 9/28/2018 EUR 72.38 UniCredit Bank AG 12.20 6/22/2018 EUR 71.36 SG Issuer SA 0.80 10/21/2020 SEK 68.03 Commerzbank AG 17.75 5/25/2018 EUR 78.72 HSBC Trinkaus & Burkhardt AG 8.00 9/28/2018 EUR 72.29 HSBC Trinkaus & Burkhardt AG 7.10 9/28/2018 EUR 71.66 HSBC Trinkaus & Burkhardt AG 9.40 12/28/2018 EUR 68.89 HSBC Trinkaus & Burkhardt AG 11.30 3/23/2018 EUR 57.23 HSBC Trinkaus & Burkhardt AG 7.80 3/23/2018 EUR 69.49 Polski Bank Spoldzielczy w C 5.31 9/14/2027 PLN 50.01 HSBC Trinkaus & Burkhardt AG 8.00 6/22/2018 EUR 62.64 HSBC Trinkaus & Burkhardt AG 11.70 6/22/2018 EUR 55.65 Deutsche Bank AG 6.20 6/19/2018 EUR 73.74 DZ Bank AG Deutsche Zentral- 8.40 3/23/2018 EUR 70.46 UBS AG/London 12.50 4/5/2018 USD 61.00 UBS AG/London 10.00 4/5/2018 USD 54.40 BNP Paribas Emissions- und H 6.00 6/21/2018 EUR 68.12 BNP Paribas Emissions- und H 10.00 6/21/2018 EUR 64.99 BNP Paribas Emissions- und H 13.00 6/21/2018 EUR 59.64 Vontobel Financial Products 10.00 3/23/2018 EUR 75.37 Commerzbank AG 13.50 4/26/2018 EUR 64.70 Vontobel Financial Products 10.50 7/27/2018 EUR 71.52 Deutsche Bank AG 6.20 3/20/2018 EUR 71.10 Bank Julius Baer & Co Ltd/Gu 5.25 3/14/2018 CHF 69.35 DZ Bank AG Deutsche Zentral- 6.75 3/23/2018 EUR 11.40 Commerzbank AG 16.00 5/24/2018 EUR 67.67 UBS AG/London 8.30 6/22/2018 EUR 54.25 UBS AG/London 9.00 2/22/2018 EUR 51.60 DZ Bank AG Deutsche Zentral- 6.25 4/27/2018 EUR 73.73 HSBC Trinkaus & Burkhardt AG 5.70 6/22/2018 EUR 69.39 HSBC Trinkaus & Burkhardt AG 10.10 4/27/2018 EUR 58.14 BNP Paribas Emissions- und H 4.50 6/21/2018 EUR 73.43 Goldman Sachs & Co Wertpapie 25.00 3/21/2018 EUR 74.68 BNP Paribas Emissions- und H 12.00 3/22/2018 EUR 53.06 BNP Paribas Emissions- und H 7.00 6/21/2018 EUR 61.07 Vontobel Financial Products 9.50 1/2/2019 EUR 70.03 Vontobel Financial Products 11.50 1/2/2019 EUR 69.38 Commerzbank AG 9.50 4/26/2018 EUR 71.84 HSBC Trinkaus & Burkhardt AG 13.10 3/23/2018 EUR 52.82 HSBC Trinkaus & Burkhardt AG 10.50 6/22/2018 EUR 57.33 Vontobel Financial Products 8.95 3/9/2018 EUR 71.97 DZ Bank AG Deutsche Zentral- 8.25 6/22/2018 EUR 74.27 Vontobel Financial Products 12.00 9/28/2018 EUR 70.58 Commerzbank AG 15.50 4/26/2018 EUR 61.98 HSBC Trinkaus & Burkhardt AG 5.20 6/22/2018 EUR 73.46 HSBC Trinkaus & Burkhardt AG 6.10 3/23/2018 EUR 68.92 DZ Bank AG Deutsche Zentral- 5.40 6/22/2018 EUR 74.28 DZ Bank AG Deutsche Zentral- 8.20 6/22/2018 EUR 69.70 DZ Bank AG Deutsche Zentral- 5.30 6/22/2018 EUR 71.71 DZ Bank AG Deutsche Zentral- 9.50 6/22/2018 EUR 65.56 DZ Bank AG Deutsche Zentral- 5.50 6/22/2018 EUR 71.23 Lehman Brothers Treasury Co 3.00 9/13/2010 JPY 7.50 Lehman Brothers Treasury Co 5.50 6/22/2010 USD 7.50 Lehman Brothers Treasury Co 3.82 10/20/2009 USD 1.90 Lehman Brothers Treasury Co 3.00 9/12/2036 JPY 7.50 Lehman Brothers Treasury Co 6.70 4/21/2011 USD 1.90 Lehman Brothers Treasury Co 2.75 10/28/2009 EUR 1.90 Lehman Brothers Treasury Co 4.00 6/5/2011 USD 1.90 Lehman Brothers Treasury Co 14.10 11/12/2008 USD 1.90 Lehman Brothers Treasury Co 4.00 8/11/2010 USD 7.50 Lehman Brothers Treasury Co 9.25 6/20/2012 USD 1.90 Lehman Brothers Treasury Co 2.30 4/28/2014 JPY 1.90 Societe Generale SA 0.50 4/4/2024 MXN 58.74 Lehman Brothers Treasury Co 4.90 7/28/2020 EUR 1.90 Lehman Brothers Treasury Co 4.15 8/25/2020 EUR 1.90 Societe Generale SA 0.50 4/30/2023 RUB 71.21 Lehman Brothers Treasury Co 6.00 7/28/2010 EUR 1.90 Lehman Brothers Treasury Co 6.00 7/28/2010 EUR 1.90 Lehman Brothers Treasury Co 7.00 7/11/2010 EUR 1.90 Lehman Brothers Treasury Co 13.15 10/30/2008 USD 1.90 Lehman Brothers Treasury Co 16.80 8/21/2009 USD 1.90 Lehman Brothers Treasury Co 2.30 6/6/2013 USD 1.90 Lehman Brothers Treasury Co 4.30 6/4/2012 USD 1.90 Lehman Brothers Treasury Co 2.00 5/17/2010 EUR 1.90 Lehman Brothers Treasury Co 1.60 6/21/2010 JPY 1.90 Lehman Brothers Treasury Co 4.10 5/20/2009 USD 1.90 Heta Asset Resolution AG 4.88 12/31/2023 EUR 34.63 Lehman Brothers Treasury Co 4.00 2/28/2010 EUR 1.90 Lehman Brothers Treasury Co 2.40 6/20/2011 JPY 1.90 Lehman Brothers Treasury Co 11.00 5/9/2020 USD 1.90 Lehman Brothers Treasury Co 13.43 1/8/2009 ILS 1.90 Lehman Brothers Treasury Co 7.75 1/3/2012 AUD 1.90 Lehman Brothers Treasury Co 13.50 6/2/2009 USD 1.90 Lehman Brothers Treasury Co 3.10 6/4/2010 USD 1.90 Lehman Brothers Treasury Co 2.50 8/15/2012 CHF 1.90 Digital Invest OOO 10.48 4/7/2021 RUB 0.81 Lehman Brothers Treasury Co 7.38 9/20/2008 EUR 1.90 Lehman Brothers Treasury Co 3.85 4/24/2009 USD 1.90 Lehman Brothers Treasury Co 4.00 4/24/2009 USD 1.90 Lehman Brothers Treasury Co 10.50 8/9/2010 EUR 1.90 Lehman Brothers Treasury Co 8.00 5/22/2009 USD 1.90 Lehman Brothers Treasury Co 9.00 6/13/2009 USD 1.90 Lehman Brothers Treasury Co 4.00 4/13/2011 CHF 1.90 Lehman Brothers Treasury Co 10.00 3/27/2009 USD 1.90 Lehman Brothers Treasury Co 5.75 6/15/2009 CHF 1.90 Lehman Brothers Treasury Co 7.00 11/28/2008 CHF 1.90 Lehman Brothers Treasury Co 7.25 10/6/2008 EUR 1.90 Lehman Brothers Treasury Co 4.50 7/24/2014 EUR 1.90 Lehman Brothers Treasury Co 5.00 5/12/2011 CHF 1.90 Lehman Brothers Treasury Co 6.50 7/24/2026 EUR 1.90 Lehman Brothers Treasury Co 7.75 2/21/2016 EUR 1.90 Lehman Brothers Treasury Co 7.50 9/13/2009 CHF 1.90 Lehman Brothers Treasury Co 8.50 7/6/2009 CHF 1.90 Lehman Brothers Treasury Co 4.95 10/25/2036 EUR 1.90 Lehman Brothers Treasury Co 8.28 7/31/2013 GBP 1.90 Lehman Brothers Treasury Co 2.30 6/27/2013 USD 1.90 Lehman Brothers Treasury Co 2.37 7/15/2013 USD 1.90 Lehman Brothers Treasury Co 8.60 7/31/2013 GBP 1.90 Lehman Brothers Treasury Co 7.50 7/31/2013 GBP 1.90 Kaupthing ehf 7.50 12/5/2014 ISK 0.25 Kaupthing ehf 6.50 10/8/2010 ISK 0.25 Lehman Brothers Treasury Co 9.75 6/22/2018 USD 1.90 Heta Asset Resolution AG 5.27 12/31/2023 EUR 34.63 Lehman Brothers Treasury Co 10.00 10/23/2008 USD 1.90 Lehman Brothers Treasury Co 10.00 10/22/2008 USD 1.90 Lehman Brothers Treasury Co 16.00 11/9/2008 USD 1.90 Lehman Brothers Treasury Co 16.20 5/14/2009 USD 1.90 Lehman Brothers Treasury Co 10.60 4/22/2014 MXN 1.90 Lehman Brothers Treasury Co 10.00 5/22/2009 USD 1.90 Lehman Brothers Treasury Co 6.60 5/23/2012 AUD 1.90 Lehman Brothers Treasury Co 3.45 5/23/2013 USD 1.90 Lehman Brothers Treasury Co 9.00 5/6/2011 CHF 1.90 Lehman Brothers Treasury Co 11.00 12/20/2017 AUD 1.90 Credit Suisse AG/London 3.00 11/15/2025 ZAR 68.90 Lehman Brothers Treasury Co 11.00 12/20/2017 AUD 1.90 Lehman Brothers Treasury Co 0.50 12/20/2017 AUD 1.90 Lehman Brothers Treasury Co 10.00 2/16/2009 CHF 1.90 Lehman Brothers Treasury Co 5.38 2/4/2014 USD 1.90 Lehman Brothers Treasury Co 4.00 1/4/2011 USD 1.90 Lehman Brothers Treasury Co 0.50 12/20/2017 AUD 7.50 Lehman Brothers Treasury Co 6.72 12/29/2008 EUR 1.90 Lehman Brothers Treasury Co 7.06 12/29/2008 EUR 1.90 Lehman Brothers Treasury Co 9.30 12/21/2010 EUR 1.90 Lehman Brothers Treasury Co 8.00 12/31/2010 USD 1.90 Araratbank OJSC 8.00 6/10/2018 USD 25.58 Transgazservice LLP 10.50 11/8/2019 RUB 5.02 Noyabrskaya Pge OOO 8.50 11/10/2020 RUB 60.00 UNGP-Finance OOO 10.00 12/16/2020 RUB 0.10 BNP Paribas Emissions- und H 3.00 10/12/2018 EUR 74.11 Landesbank Baden-Wuerttember 2.60 8/23/2019 EUR 73.23 National Developing Co PAO 12.00 7/19/2018 RUB 1.11 Lehman Brothers Treasury Co 9.00 3/17/2009 GBP 1.90 Lehman Brothers Treasury Co 8.00 12/27/2032 JPY 1.90 Lehman Brothers Treasury Co 1.50 2/8/2012 CHF 1.90 Lehman Brothers Treasury Co 4.50 8/2/2009 USD 1.90 Lehman Brothers Treasury Co 4.35 8/8/2016 SGD 7.50 Societe Generale SA 0.50 5/22/2024 MXN 57.99 HSBC Bank PLC 0.50 12/8/2026 AUD 72.94 Lehman Brothers Treasury Co 3.00 8/13/2011 EUR 1.90 Kaupthing ehf 3.75 2/15/2024 ISK 0.25 Lehman Brothers Treasury Co 7.50 6/15/2017 USD 1.90 Lehman Brothers Treasury Co 8.00 10/23/2008 USD 1.90 Lehman Brothers Treasury Co 7.00 10/22/2010 EUR 1.90 Lehman Brothers Treasury Co 2.00 6/21/2011 EUR 1.90 Lehman Brothers Treasury Co 6.00 6/21/2011 EUR 1.90 Lehman Brothers Treasury Co 3.40 9/21/2009 HKD 1.90 Lehman Brothers Treasury Co 4.00 10/12/2010 USD 1.90 Lehman Brothers Treasury Co 1.50 10/12/2010 EUR 1.90 Lehman Brothers Treasury Co 18.25 10/2/2008 USD 1.90 Lehman Brothers Treasury Co 2.50 8/23/2012 GBP 1.90 Lehman Brothers Treasury Co 6.00 12/30/2017 EUR 1.90 Lehman Brothers Treasury Co 13.00 7/25/2012 EUR 1.90 Lehman Brothers Treasury Co 10.00 8/2/2037 JPY 1.90 Lehman Brothers Treasury Co 4.10 8/23/2010 USD 1.90 Societe Generale SA 0.50 6/12/2023 RUB 70.60 Lehman Brothers Treasury Co 8.00 4/20/2009 EUR 1.90 Lehman Brothers Treasury Co 6.00 3/17/2011 EUR 1.90 Lehman Brothers Treasury Co 4.70 3/23/2016 EUR 1.90 Lehman Brothers Treasury Co 3.70 6/6/2009 EUR 1.90 Lehman Brothers Treasury Co 3.63 3/2/2012 EUR 1.90 Lehman Brothers Treasury Co 13.00 12/14/2012 USD 1.90 Kaupthing ehf 5.00 1/4/2027 SKK 0.25 Lehman Brothers Treasury Co 7.00 2/15/2012 EUR 1.90 Lehman Brothers Treasury Co 4.69 2/19/2017 EUR 1.90 Credit Suisse AG/London 0.50 1/8/2026 BRL 44.50 Lehman Brothers Treasury Co 5.20 3/19/2018 EUR 1.90 Lehman Brothers Treasury Co 3.50 10/24/2011 USD 1.90 Lehman Brothers Treasury Co 13.50 11/28/2008 USD 1.90 Lehman Brothers Treasury Co 4.10 2/19/2010 EUR 1.90 Lehman Brothers Treasury Co 6.00 2/14/2012 EUR 1.90 Lehman Brothers Treasury Co 6.60 2/22/2012 EUR 1.90 Lehman Brothers Treasury Co 9.00 5/15/2022 USD 1.90 Lehman Brothers Treasury Co 6.75 4/5/2012 EUR 1.90 Lehman Brothers Treasury Co 0.25 10/19/2012 CHF 1.90 Lehman Brothers Treasury Co 7.39 5/4/2017 USD 1.90 Lehman Brothers Treasury Co 2.25 5/12/2009 USD 1.90 Lehman Brothers Treasury Co 4.00 5/17/2010 USD 1.90 Escher Marwick PLC 3.50 10/14/2031 USD 56.24 Digital Invest OOO 11.00 3/8/2021 RUB 0.74 Lehman Brothers Treasury Co 4.25 5/15/2010 EUR 1.90 Lehman Brothers Treasury Co 4.00 5/30/2010 USD 1.90 Lehman Brothers Treasury Co 2.48 5/12/2009 USD 1.90 Lehman Brothers Treasury Co 6.00 5/23/2018 CZK 1.90 Lehman Brothers Treasury Co 0.80 12/30/2016 EUR 1.90 Lehman Brothers Treasury Co 4.10 6/10/2014 SGD 7.50 Lehman Brothers Treasury Co 5.50 6/15/2009 CHF 1.90 Lehman Brothers Treasury Co 8.00 8/3/2009 USD 1.90 UNGP-Finance OOO 10.00 4/20/2021 RUB 0.10 HSBC Bank PLC 0.50 6/9/2023 MXN 63.22 Lehman Brothers Treasury Co 4.00 11/24/2016 EUR 1.90 Lehman Brothers Treasury Co 4.00 10/24/2012 EUR 1.90 Lehman Brothers Treasury Co 11.00 6/29/2009 EUR 1.90 Lehman Brothers Treasury Co 7.75 1/30/2009 EUR 1.90 Lehman Brothers Treasury Co 0.25 7/21/2014 EUR 1.90 TPGK-Finance ZAO 10.83 9/17/2021 RUB 0.08 TPGK-Finance ZAO 10.83 9/17/2021 RUB 0.07 Societe Generale SA 0.50 7/6/2021 BRL 72.91 Lehman Brothers Treasury Co 10.00 1/4/2010 USD 1.90 Lehman Brothers Treasury Co 0.50 2/16/2009 EUR 1.90 Lehman Brothers Treasury Co 3.00 8/8/2017 EUR 1.90 Lehman Brothers Treasury Co 3.50 9/19/2017 EUR 1.90 Lehman Brothers Treasury Co 8.25 2/3/2016 EUR 1.90 Lehman Brothers Treasury Co 4.20 12/3/2008 HKD 7.50 Lehman Brothers Treasury Co 0.75 3/29/2012 EUR 1.90 Lehman Brothers Treasury Co 4.50 12/30/2010 USD 1.90 Kommunekredit 0.50 5/11/2029 CAD 71.95 Lehman Brothers Treasury Co 7.50 8/1/2035 EUR 1.90 Lehman Brothers Treasury Co 6.00 12/6/2016 USD 1.90 Lehman Brothers Treasury Co 7.25 6/20/2010 USD 1.90 Lehman Brothers Treasury Co 3.00 8/15/2017 EUR 1.90 Lehman Brothers Treasury Co 3.50 9/29/2017 EUR 1.90 Lehman Brothers Treasury Co 1.95 11/4/2013 EUR 1.90 Lehman Brothers Treasury Co 23.30 9/16/2008 USD 1.90 Lehman Brothers Treasury Co 10.44 11/22/2008 CHF 1.90 Lehman Brothers Treasury Co 7.60 3/4/2010 NZD 1.90 Lehman Brothers Treasury Co 4.00 12/2/2012 EUR 1.90 Lehman Brothers Treasury Co 3.00 6/3/2010 EUR 1.90 Lehman Brothers Treasury Co 7.60 5/21/2013 USD 1.90 Bashneft PJSC 12.00 5/9/2025 RUB 60.00 Lehman Brothers Treasury Co 12.00 7/4/2011 EUR 1.90 Lehman Brothers Treasury Co 8.00 3/19/2012 USD 1.90 Lehman Brothers Treasury Co 3.60 3/19/2018 JPY 1.90 Lehman Brothers Treasury Co 6.00 3/4/2015 USD 1.90 Lehman Brothers Treasury Co 1.00 2/26/2010 USD 1.90 Lehman Brothers Treasury Co 11.00 7/4/2011 USD 1.90 Lehman Brothers Treasury Co 5.50 7/8/2013 EUR 1.90 Societe Generale SA 0.50 4/3/2023 RUB 71.79 Lehman Brothers Treasury Co 7.50 2/14/2010 AUD 1.90 Lehman Brothers Treasury Co 7.32 7/31/2013 GBP 1.90 Lehman Brothers Treasury Co 16.00 10/28/2008 USD 1.90 Lehman Brothers Treasury Co 8.00 5/22/2009 USD 1.90 Lehman Brothers Treasury Co 4.60 8/1/2013 EUR 1.90 Lehman Brothers Treasury Co 16.00 10/8/2008 CHF 1.90 Lehman Brothers Treasury Co 14.90 11/16/2010 EUR 1.90 Lehman Brothers Treasury Co 7.60 3/26/2009 EUR 1.90 HSBC Bank PLC 0.50 12/22/2025 BRL 43.60 Lehman Brothers Treasury Co 7.80 3/31/2018 USD 1.90 Lehman Brothers Treasury Co 9.50 4/1/2018 USD 1.90 Digital Invest OOO 10.48 4/8/2021 RUB 0.57 Lehman Brothers Treasury Co 8.88 1/28/2011 HKD 7.50 Lehman Brothers Treasury Co 0.50 12/20/2017 USD 1.90 Lehman Brothers Treasury Co 0.50 12/20/2017 USD 1.90 Lehman Brothers Treasury Co 0.50 12/20/2017 USD 1.90 Lehman Brothers Treasury Co 0.50 12/20/2017 USD 1.90 Lehman Brothers Treasury Co 7.05 4/8/2015 USD 1.90 Lehman Brothers Treasury Co 7.15 3/21/2013 USD 1.90 Digital Invest OOO 10.48 4/9/2021 RUB 0.57 Digital Invest OOO 10.48 4/9/2021 RUB 0.57 Lehman Brothers Treasury Co 4.00 3/10/2011 EUR 1.90 Lehman Brothers Treasury Co 8.00 3/21/2018 USD 1.90 Heta Asset Resolution AG 0.38 12/31/2023 EUR 34.63 Lehman Brothers Treasury Co 4.05 9/16/2008 EUR 1.90 Lehman Brothers Treasury Co 11.00 2/16/2009 CHF 1.90 Kommunalbanken AS 0.50 12/16/2020 TRY 70.54 Lehman Brothers Treasury Co 13.00 2/16/2009 CHF 1.90 Lehman Brothers Treasury Co 7.00 2/15/2010 CHF 1.90 Lehman Brothers Treasury Co 6.00 2/19/2023 USD 1.90 Lehman Brothers Treasury Co 6.25 11/30/2012 EUR 1.90 Lehman Brothers Treasury Co 8.80 12/27/2009 EUR 1.90 Lehman Brothers Treasury Co 8.05 12/20/2010 HKD 1.90 Lehman Brothers Treasury Co 2.50 11/9/2011 CHF 1.90 Lehman Brothers Treasury Co 7.63 7/22/2011 HKD 1.90 Lehman Brothers Treasury Co 0.50 12/20/2017 AUD 1.90 Lehman Brothers Treasury Co 3.50 12/20/2027 USD 1.90 Lloyds Bank PLC 0.50 7/26/2021 BRL 72.50 Lehman Brothers Treasury Co 4.80 11/16/2012 HKD 1.90 Digital Invest OOO 10.22 11/3/2020 RUB 0.67 HSBC Bank PLC 0.50 11/25/2025 BRL 43.94 Lehman Brothers Treasury Co 16.00 12/26/2008 USD 1.90 Lehman Brothers Treasury Co 6.00 8/7/2013 EUR 1.90 HSBC Bank PLC 0.50 4/11/2023 MXN 64.15 ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers' public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than US$3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/booksto order any title today. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter-Europe is a daily newsletter co- published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante, Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman, Editors. Copyright 2018. All rights reserved. ISSN 1529-2754. This material is copyrighted and any commercial use, resale or 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. * * * End of Transmission * * *