/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/200420.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, April 20, 2020, Vol. 21, No. 79 Headlines A Z E R B A I J A N AZERBAIJAN: Fitch Affirms BB+ LT IDR, Alters Outlook to Negative B E L G I U M HOUSE OF HR: Moody's Cuts CFR to B2, Outlook Stable C A Y M A N I S L A N D S PEARL HOLDING: Moody's Cuts CFR & Senior Secured Rating to Caa1 F R A N C E OPTIMUS BIDCO: Moody's Cuts CFR to B3 & Alters Outlook to Neg. G E O R G I A [*] Fitch Alters Outlook on 5 Georgian Banks to Negative I R E L A N D CITYJET: Court Appoints Interim Examiner Amid Coronavirus Crisis DEBENHAMS RETAIL: High Court Appoints Provisional Liquidators STOBART AIR: Stobart Group Mulls Acquisition of Business [*] Fitch Places 10 Tranches from 5 European CLOs on Watch Neg. [*] Fitch Places 11 Tranches from 5 European CLOs on Watch Neg. [*] Fitch Places 9 Tranches from 5 European CLOs on Watch Neg. I T A L Y OFFICINE MACCAFERRI: Moody's Cuts EUR190MM Sr. Notes Rating to C L U X E M B O U R G ORION ENGINEERED: Moody's Affirms Ba2 CFR, Alters Outlook to Neg. N E T H E R L A N D S ALCOA NEDERLAND: Moody's Affirms CFR at Ba1, Outlook Stable SAMVARDHANA MOTHERSON: Fitch Cuts LT IDR to BB, Outlook Negative R U S S I A ASIAN-PACIFIC BANK: Fitch Affirms 'B' LT IDR, Alters Outlook to Neg KRASNOYARSK REGION: Fitch Affirms LT IDR at 'BB+', Outlook Stable MARI EL REPUBLIC: Fitch Affirms 'BB' LT IDR, Alters Outlook to Neg. STAVROPOL REGION: Fitch Affirms BB+ LT IDR, Alters Outlook to Neg. S L O V E N I A GORENJSKA BANKA: Fitch Affirms 'BB-' LT IDR, Alters Outlook to Neg. NOVA KREDITNA: Fitch Affirms 'BB+' LT IDR, Alters Outlook to Neg. NOVA LJUBLJANSKA: Fitch Affirms BB+ LT IDR, Alters Outlook to Neg. U N I T E D K I N G D O M ARCADIA GROUP: Mulls Closure of 100+ Stores by End of Summer CSM BAKERY: Moody's Cuts CFR to Caa3 & Alters Outlook to Neg. DEBENHAMS PLC: Strikes Deal with Landlords After Administration ICICI BANK: Moody's Affirms Ba1 Debt Rating, Alters Outlook to Neg. NOVA TOURS: Ceases Trading Due to Coronavirus Outbreak Impact X X X X X X X X [*] BOND PRICING: For the Week April 13 to April 17, 2020 - - - - - =================== A Z E R B A I J A N =================== AZERBAIJAN: Fitch Affirms BB+ LT IDR, Alters Outlook to Negative ---------------------------------------------------------------- Fitch Ratings has revised its Outlook on Azerbaijan's Long-Term Foreign-Currency Issuer Default Rating to Negative from Stable and affirmed the IDR at 'BB+'. Under EU credit rating agency regulation, the publication of sovereign reviews is subject to restrictions and must take place according to a published schedule, except where it is necessary for CRAs to deviate from this in order to comply with their legal obligations. Fitch interprets this provision as allowing us to publish a rating review in situations where there is a material change in the creditworthiness of the issuer that Fitch believes makes it inappropriate for us to wait until the next scheduled review date to update the rating or Outlook/Watch status. The next scheduled review date for Fitch's sovereign rating on Azerbaijan will be 17 July 2020, but Fitch believes that developments in the country warrant such a deviation from the calendar. KEY RATING DRIVERS The revision of the Outlook reflects the following key rating drivers and their relative weights: High The Negative Outlook reflects the impact of the combined shock from the slump in oil prices and the COVID-19 pandemic on Azerbaijan's external buffers and increased risk of a disruptive macroeconomic adjustment. The authorities' persistent defense of the 1.7 AZN/USD exchange rate despite a 32% fall in Brent oil prices since end-February is proving costly and appears unsustainable if external pressures fail to ease, given Azerbaijan's high dependence on the oil sector with hydrocarbons accounting for roughly 40% of GDP, 90% of exports, and two-thirds of fiscal revenues. The state oil-fund SOFAZ has sold USD2.9 billion in FX auctions in the year-to-date, with USD1.9 billion auctioned in March 2020 alone. SOFAZ FX sales to date represent 45% of its USD6.7 billion authorized transfers to the budget for 2020. A change in the budget law would be required to authorize further FX sales beyond the annual envelope. Central Bank of Azerbaijan-reported FX reserves rose slightly to USD6.4 billion at end-March 2020, from USD6.3 billion at end-2019, but have remained below four months of current external payments (CXP) since the last oil price shock. The volume of FX sold in individual adhoc and regular auctions peaked on 10 March 2020 (USD323 million) and have since fallen steadily to USD55 million on 9 April 2020. However, even at this reduced demand, the pace of FX sales would require continued drawdown of external assets, albeit from a high level, to defend the manat under a low oil price environment. Sovereign foreign assets comprising FX reserves of CBA and SOFAZ assets are large at USD49.5 billion at end-2019, or 27 months of CXP. The lack of predictability and transparency of policy-making exacerbates the risk of policy missteps and a disruptive policy adjustment reminiscent of Azerbaijan's experience in the 2014-2015 oil price shock. Deposit dollarization (61% at end-2019) and loan dollarization (35%) ratios have declined since the 2015 crisis, but remain above their pre-2014 levels and accentuate the potential impact of a disorderly devaluation. The fall in oil prices will lead to a significant worsening in Azerbaijan's current account balance due to the high share of commodity exports at 67% of current account receipts. Fitch forecasts the current account to move from a surplus of 9.3% in 2019 to a 2.8% of GDP deficit in 2020, as the goods trade surplus narrows to 5% of GDP from 18% in 2019. The current account should recover to a surplus of 5.2% of GDP in 2021 as oil prices and global demand recovers. Medium Public health measures to contain the spread of the COVID-19 infection and the sharp fall in oil prices will result in a contraction in economic activity. Fitch forecasts real GDP growth to contract by 4.8% in 2020 as incomes, consumption and non-oil activity are hit by the restriction of movement and extended holidays. Fitch projects real GDP growth then grows 2.5% in 2021 as oil prices and aggregate demand recover. The growth shock will be partly mitigated by ongoing government packages announced in 2019 and also AZN2.5 billion (USD1.5 billion) in support measures recently announced by the government to support households and businesses. Production and investment in oil and gas sectors are likely to fall at prolonged low oil prices. Fitch forecasts the consolidated fiscal balance deteriorates to -6.8% of GDP in 2020 (implied fiscal break-even oil price of USD50.5/b) from 4.4% during its January 2020 review. The sharp fall in oil prices will greatly reduce oil fiscal revenues flowing into SOFAZ, while automatic stabilizers are expected to increase current spending on social payments and benefits as the unemployment rate rises to 8% from 5.0% in 2019. Fitch anticipates the fiscal rules are temporarily suspended to allow the government to respond to the crisis and then fiscal policy is tightened in line with the fiscal rules beyond the near-term shock. Azerbaijan's 'BB+' IDRs also reflect the following key rating drivers: Fiscal and external buffers are stand-out strengths relative to the 'BB' and 'BBB' medians. Gross general government debt is very low at 19.1% of GDP in 2019, (current 'BB' median of 45.7%). Government on-lending and guarantees of 31% of GDP at end-3Q19 accruing to the largest state-owned bank International Bank of Azerbaijan's (IBA) (B-/Stable) restructuring and to gas investment projects are a large contingent liability. Fitch forecasts government debt/GDP to rise to 23.8% to finance part of the government support measures during the COVID-19 crisis, before narrowing to 22.2% of GDP in 2021. Fitch believes that banks' asset quality will be pressured by the coronavirus outbreak and the lower oil prices. Banks in Azerbaijan are still recovering from legacy asset quality problems since the 2015 devaluations, but remain weak, as reflected by its Fitch Banking System Indicator (BSI) score of 'b'. Aggregate banking sector NPLs continue to be higher than similarly rated peers at 11% at end-October 2019. Following a debt restructuring in 2017, IBA has returned to profitability with large capital buffers and improved asset quality. However, despite reducing its open currency position from USD1.9 billion in 2017, the unhedged position remains large at USD0.8 billion in February 2020. Azerbaijan has made significant progress in the World Bank Ease of Doing Business indicators to rank 87 percentiles of Fitch-rated sovereigns in 2019, from 70 percentile in 2018, but the ability to attract significant non-oil FDI to diversify the economy away from hydrocarbons remains uncertain. The long-standing conflict with Armenia over Nagorno-Karabakh has the potential to escalate, although recent meetings between officials from both countries signal a possibility for easing of tensions. ESG ESG - Governance: Azerbaijan has an ESG Relevance Score (RS) of 5 for both Political Stability and Rights and for the Rule of Law, Institutional and Regulatory Quality and Control of Corruption, as is the case for all sovereigns. Theses scores reflect the high weight that the World Bank Governance Indicators (WBGI) have in its proprietary Sovereign Rating Model. Azerbaijan has a low WBGI ranking at 28 percentiles, reflecting very poor voice and accountability, relatively weak rights for participation in the political process, uneven application of the rule of law and a high level of corruption. SOVEREIGN RATING MODEL (SRM) AND QUALITATIVE OVERLAY (QO) Fitch's proprietary SRM assigns Azerbaijan a score equivalent to a rating of 'BB' on the Long-Term Foreign-Currency (LT FC) IDR scale. Fitch's sovereign rating committee adjusted the output from the SRM to arrive at the final LT FC IDR by applying its QO, relative to rated peers, as follows: - External Finances: +1 notch, to reflect large SOFAZ assets, which underpin Azerbaijan's exceptionally strong foreign currency liquidity position and the very large net external creditor position of the country. Fitch's SRM is the agency's proprietary multiple regression rating model that employs 18 variables based on three-year centered averages, including one year of forecasts, to produce a score equivalent to a LT FC IDR. Fitch's QO is a forward-looking qualitative framework designed to allow for adjustment to the SRM output to assign the final rating, reflecting factors within its criteria that are not fully quantifiable and/or not fully reflected in the SRM. RATING SENSITIVITIES The main factors that could, individually or collectively, lead to negative rating action/downgrade: - Developments in the economic policy framework that undermine macroeconomic stability, e.g. rapid erosion of the sovereign's external balance sheet or disorderly devaluation of the manat exchange rate. - Sustained low oil prices or a more prolonged external shock that would have a significant adverse effect on the economy, banking sector, public finances or the external position. The main factors that could, individually or collectively, lead to positive rating action/upgrade are: - Easing of external pressures stabilizing the public and external balance sheets, e.g. from higher oil prices. - Improvement in the macroeconomic policy framework, including exchange rate policy, that strengthens the country's ability to address external shocks and reduces macro volatility. BEST/WORST CASE RATING SCENARIO Ratings of Public Finance issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of three notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. KEY ASSUMPTIONS Fitch forecasts Brent Crude to average USD35.0/b in 2020 and USD 45.0/b in 2021. Fitch notes that there is an unusually high level of uncertainty around them and that risks are firmly to the downside. Fitch assumes that Azerbaijan will continue to experience broad social and political stability and that there will be no prolonged escalation in the conflict with Armenia over Nagorno-Karabakh to a degree that would affect economic and financial stability. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS Azerbaijan has an ESG Relevance Score of 5 for Political Stability and Rights as World Bank Governance Indicators have the highest weight in Fitch's SRM and are highly relevant to the rating and a key rating driver with a high weight. Azerbaijan has an ESG Relevance Score of 5 for Rule of Law, Institutional & Regulatory Quality and Control of Corruption as World Bank Governance Indicators have the highest weight in Fitch's SRM and are therefore highly relevant to the rating and are a key rating driver with a high weight. Azerbaijan has an ESG Relevance Score of 4 for Human Rights and Political Freedoms as strong social stability and voice and accountability are reflected in the World Bank Governance Indicators that have the highest weight in the SRM. They are relevant to the rating and a rating driver. Azerbaijan has an ESG Relevance Score of 4 for Creditor Rights as willingness to service and repay debt is relevant to the rating and is a rating driver for Azerbaijan, as for all sovereigns. Except for the matters discussed, the highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). ============= B E L G I U M ============= HOUSE OF HR: Moody's Cuts CFR to B2, Outlook Stable --------------------------------------------------- Moody's Investors Service has downgraded House of HR NV's corporate family rating to B2 from B1 and its probability of default ratings to B2-PD from B1-PD. Concurrently, Moody's also downgraded the instrument ratings on the EUR370 million senior secured notes, the EUR550 million term loan B and the EUR100 million revolving credit facility, issued by The House of Finance NV (The), to B2 from B1. The outlook remains stable for both entities. "House of HR's downgrade reflects its expectations that credit metrics will remain outside the B1 range for a prolonged period of time mainly due to the deteriorating prospects of the small and medium-sized enterprises segment, the company's core focus" said Florent Egonneau, Assistant Vice President and Moody's lead analyst for House of HR. "Liquidity is largely sufficient to cope with the lower level of activity during lockdowns, thanks to the flexibility of its cost structure, the counter-cyclical working capital and asset-lite nature of the business" added Mr. Egonneau. RATINGS RATIONALE The rapid and widening spread of the coronavirus outbreak, deteriorating global economic outlook, falling oil prices, and asset price declines are creating a severe and extensive credit shock across many sectors, regions and markets. The combined credit effects of these developments are unprecedented. The staffing industry sector has been one of the sectors most significantly affected given the tendency of employers to quickly cut temporary workers and reduce hiring when economic conditions deteriorate. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. During the lockdown period, Moody's estimates that House of HR's revenues will decline in the range of 25% to 60% depending on the country of operations, with a higher level of disruption in France and Belgium compared to the Netherlands and Germany. House of HR benefits from a flexible cost structure, mainly consisting of candidate salaries, that will allow the company to limit cash burn in the short-term. However, the company's high exposure to small and medium-sized enterprises is likely to leave it vulnerable to downside risk given Moody's expectations of a weakening economic environment and an increase in defaults. In contrast, the focus on white-collar and specialized blue-collar workers is a credit positive. LIQUIDITY Moody's considers House of HR's liquidity to be adequate. As of March 17, 2020, the company had over EUR225 million cash on balance sheet, of which EUR95 million reflected full drawings of the company's revolving credit facility. Furthermore, the counter-cyclical nature of its working capital will generate cash when activity declines and will support its cash on balance sheet during the lockdown period. The RCF contains a springing financial covenant based on a senior secured net leverage set at 6.0x and tested on a quarterly basis only when the RCF is drawn by more than 40%. Moody's expects the headroom under this covenant to be low at around 5% at the end of 2020. STRUCTURAL CONSIDERATIONS Using Moody's Loss Given Default for Speculative-Grade Companies methodology, the PDR is B2-PD, in line with the CFR, reflecting its assumption of a 50% recovery rate as is customary for capital structures including notes and bank debt. The RCF, term loan B and SSNs, which rank pari passu, are rated B2 in line with the CFR in the absence of any significant liabilities ranking ahead or behind. OUTLOOK RATIONALE The stable outlook reflects its expectation that House of HR's leverage, as measured by Moody's adjusted debt/EBITDA, will return to below 5.0x in the next 12-18 months. Moody's expects that this will be supported by a recovery in earnings. The company's limited capex requirements (~1% of revenues) will also support good free cash flow generation. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Positive rating pressure could arise if the company's: (1) operating performance returns to historical levels, both in terms of sales and EBITDA margin; (2) leverage, as measured by Moody's-adjusted debt/EBITDA, decreases sustainably below 4.5x; (3) FCF/ debt rises sustainably above 5% and liquidity remains strong. Negative rating pressure could arise if the company's: (1) operating performance continues to deteriorate; (2) leverage, as measured by Moody's-adjusted debt/EBITDA, increases sustainably above 5.5x; (3) free cash flow turns negative for a prolonged period and liquidity concerns arise. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Service Industry published in October 2016. COMPANY PROFILE House of HR is a Belgium-based provider of human resource solutions with a focus on small and medium-sized enterprises. The company predominantly operates in Belgium, the Netherlands, Germany and France, and serves three segments: (1) engineering/consulting -- secondment of engineers and highly skilled technicians, consultants and lawyers; (2) specialized staffing -- temporary and permanent staffing services of candidates with technical profiles in Belgium and the Netherlands; (3) general staffing -- temporary staffing services of primarily low-skilled profiles in Germany. =========================== C A Y M A N I S L A N D S =========================== PEARL HOLDING: Moody's Cuts CFR & Senior Secured Rating to Caa1 --------------------------------------------------------------- Moody's Investors Service has downgraded Pearl Holding III Limited's corporate family rating and senior secured bond rating to Caa1 from B3. The outlook remains negative. RATINGS RATIONALE "The downgrade reflects the increased risk of a debt restructuring or distressed exchange -- which Moody's considers a default event -- considering Pearl's unsustainable capital structure and large bond maturity in 2022," says Gloria Tsuen, a Moody's Vice President and Senior Credit Officer. "This risk is exacerbated by the deterioration in the company's earnings and cash flow this year as a result of the coronavirus outbreak, and following already weak 2019 levels," adds Tsuen. The rapid and widening spread of the coronavirus outbreak, deteriorating global economic outlook, falling oil prices, and asset price declines are also creating a severe and extensive credit shock across many sectors, regions and markets. The combined credit effects of these developments are unprecedented. The autos and consumer electronics sector have been some of the sectors most significantly affected by the shock given their sensitivity to consumer demand and sentiment. More specifically, the weaknesses in Pearl's credit profile, including its exposure to the auto, smartphone, and game console end-markets, as well as the significant size of its debt, have left it vulnerable to shifts in market sentiment in these unprecedented operating conditions, and Pearl remains vulnerable to the outbreak continuing to spread. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Its action reflects the impact on Pearl of the breadth and severity of the shock, and the broad deterioration in credit quality it has triggered. Pearl III's adjusted debt/EBITDA rose to around 8.4x in 2019 from 5.1x in 2018, and will likely continue to increase through 2020 as its earnings decline. Similarly, adjusted EBITA/interest fell to 0.5x in 2019 from 1.3x in 2018 and will likely deteriorate further this year. These ratios no longer support the company's previous B3 rating. The company's high debt leverage and declining financial flexibility create uncertainty around its ability to refinance its $175 million in senior secured notes due in 2022. In particular, it increases the risk of a distressed exchange, such as through debt repurchases at a substantial discount in line with current trading prices, or through the restructuring of existing obligations. Pearl III's liquidity is adequate for the next 12 months. Its cash of $15.6 million as of December 2019 can cover its modest short-term debt of $6.3 million and capital spending. However, its liquidity buffer could be easily eroded if its operating cash flow remains weak. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The negative outlook reflects the increased risk of a debt restructuring or distressed exchange. A rating upgrade is unlikely at this moment, given the negative outlook. The outlook could return to stable if the company's capital structure and liquidity strengthen. Moody's could downgrade the ratings further if the company's liquidity and earnings continue to weaken. The principal methodology used in these ratings was Manufacturing Methodology published in March 2020. Pearl Holding III Limited (Pearl III) is a precision engineered plastic components producer, mainly engaged in the manufacture and sale of plastic injection molds and related products. It is an indirectly wholly owned subsidiary of Platinum Equity, LLC, a private equity firm, headquartered in Los Angeles. =========== F R A N C E =========== OPTIMUS BIDCO: Moody's Cuts CFR to B3 & Alters Outlook to Neg. -------------------------------------------------------------- Moody's Investors Service downgraded to B3 from B2 the corporate family rating and to B3-PD from B2-PD the probability of default rating of Optimus BidCo SAS. Concurrently Moody's downgraded to B3 from B2 the instrument ratings of the company's EUR75 million senior secured revolving credit facility and its EUR400 million senior secured first lien term loan and to Caa2 from Caa1 the rating of its EUR85 million senior secured second lien term loan. The outlook on the ratings has been changed to negative from stable. RATINGS RATIONALE The rapid and widening spread of the coronavirus outbreak, deteriorating global economic outlook, falling oil prices, and asset price declines are creating a severe and extensive credit shock across many sectors, regions and markets. The combined credit effects of these developments are unprecedented. The manufacturing industry has been one of the sectors most significantly affected by the shock given its sensitivity to consumer demand and sentiment. More specifically, the weaknesses in the credit profile of Averys, including its high leverage and its exposure to the retail and industrial end markets -- albeit somewhat mitigated by the company's exposure to e-commerce - have left it vulnerable to shifts in market sentiment in these unprecedented operating conditions and Averys remains vulnerable to the outbreak continuing to spread. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Its action reflects the impact on Averys of the breadth and severity of the shock, and the broad deterioration in credit quality it has triggered. The downgrade of Averys' ratings to B3 with a negative outlook reflects the expectation, that the company's operating performance is likely to weaken over the next quarters with weakening credit metrics, against the expectation of the previous rating category of performance and leverage improvements. Credit metrics are currently already below the requirements for a rating in the mid of the single B-rating category. STRUCTURAL CONSIDERATIONS Optimus BidCo SAS is the borrower of the EUR75 million RCF (rated B3), the EUR400 million first-lien term loan (1L TL, B3) and the EUR85 million second-lien term loan (2L TL, Caa2). The RCF and 1L TL rank pari passu and ahead of the 2L TL. The instrument ratings reflect the quantum of subordinated debt and the ranking in the debt structure. Given the security pledged (shares, intercompany loans and bank accounts), Moody's sees the structure as essentially unsecured. Guarantors represent a minimum of 80% of the group's EBITDA. ESG CONSIDERATIONS The coronavirus outbreak is regarded as a social risk under its ESG framework, given the substantial implications for public health and safety. With regards to governance, Moody's notes that the company is controlled by private equity company Blackstone and Moody's expects its financial policy to favor shareholders over creditors as evidenced by its high leverage. Averys has grown through acquisitions, and it assumes that it will continue doing so. Any impact from future transactions will be assessed on a case-by-case basis, knowing that Moody's typically tolerate a temporary higher leverage after acquisition, provided that a clear deleveraging path is foreseen in the following 12-18-month period. LIQUIDITY Averys' solid liquidity position is supported by a cash balance expected to be in excess of EUR40 million as of December 2019, which is further supplemented by a EUR70 million availability under the company's EUR75 million RCF which matures in 2025. The cash requirements are largely for working cash of around EUR15 million (or 3% of annual sales), working capital swings to fund future growth and capital spending. Maintenance and growth-related total capital spending are not expected to be higher than EUR15 million in its base scenario for 2020. Moody's assumes only moderate drawings under the RCF. OUTLOOK The negative outlook mirrors Moody's expectation that the company's operating performance is likely to weaken over the next quarters with weakening credit metrics, against its previous expectation of performance and leverage improvements. Moody's will continue to closely monitor the further development in particular with regard to the development of order intake and potential cancellations of orders, potential restructuring needs as well as maintenance of solid liquidity and covenant headroom. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The ratings could be further downgraded in case of EBITA margin declining below 6.0%, negative free cash flow for a prolonged period, leverage exceedingly sustainably 8.0x debt/EBITDA, weakening of liquidity or tightening of covenant headroom. Albeit currently unlikely, Moody's would consider an upgrade action should Averys manage to sustainably generate an adjusted EBITA margin above 8%, reduce its gross adjusted debt/EBITDA below 6.0x on a sustainable basis, generate meaningful positive FCF and maintain an adequate liquidity profile with sufficient covenant headroom at all times. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Manufacturing Methodology published in March 2020. COMPANY PROFILE Optimus BidCo SAS, headquartered in Paris, France, is the parent of companies that trade under the brand name Stow. According to management data, Averys is the largest manufacturer of storage systems in Europe. The company manufactures heavy-duty shelving (62% of sales), semi-automated and automated racking (17%), medium- to light-duty shelving (15%) and metal furniture (6%), of which it distributes 60% through own channels, 15% through distributors and 25% through integrators/OEMs. As per the latest quarterly report, the company generated reported EUR463 million of revenue and EUR60 million of company adjusted EBITDA during the period from January to September 2019. Funds of Blackstone acquired Optimus from the private equity firm Equistone on 27 September 2018. ============= G E O R G I A ============= [*] Fitch Alters Outlook on 5 Georgian Banks to Negative -------------------------------------------------------- Fitch Ratings has revised the Outlooks on JSC TBC Bank (TBC, BB-), JSC Bank of Georgia (BOG, BB-), JSC Liberty Bank (LB, B+), JSC Terabank (Tera, B+) and Basisbank (Basis, B+) to Negative from Stable, while affirming their Long-Term Issuer Default Ratings. Fitch has also affirmed ProCredit Bank Georgia (PCBG) at 'BB+' with a Stable Outlook. The rating actions follow the revision of the Georgian banking sector outlook to negative from stable in light of the economic and financial market fallout from the coronavirus outbreak. Fitch expects a sharp economic slowdown in Georgia in 2020 (GDP contraction of 3.2%, versus growth of 5.2% in 2019), before a recovery in 2021. However, there are significant downside risks to these forecasts. Fitch expects that weaker economic activity (especially in tourism-related sectors), exchange-rate pressures (the lari has depreciated 16% against the US dollar since the beginning of March, while 55% of sector loans were in foreign currency at end-2019) and weaker household real incomes (reflecting higher unemployment, salary reductions and decreasing remittances) will result in deterioration of Georgian banks' asset quality, earnings and capitalization. The government has announced plans to allocate GEL2 billion (4% of GDP) to support the economy, in particular through suspension of taxes, VAT refunds and interest-rates subsidies for qualifying borrowers. The policy response should provide some support to households and to businesses operating in the most vulnerable sectors (mainly tourism-dependent). The National Bank of Georgia (NBG) has also introduced measures to support the stability of the banking sector, including postponing additional Pillar 2 capital buffers and allowing banks to utilize their capital conservation buffer (reduced to 0% from 2.5%) and two-thirds of the buffer covering foreign-currency risks. Fitch believes these measures will reduce pressures on some borrowers and lower the potential for regulatory breaches by banks, but significant risks to lenders' credit profiles remain. KEY RATING DRIVERS Key Rating Drivers - IDRs The IDRs of TBC, BOG, LB, Basis and Tera are driven by the banks' respective standalone profiles, as reflected by their Viability Ratings. The revisions of the Outlooks to Negative on these banks reflect the downside risks to their credit profiles resulting from the economic implications of the coronavirus pandemic. PCBG's IDRs and Support Rating are driven by the potential support the bank may receive from its sole shareholder, ProCredit Holding AG & Co. KGaA (PCH, BBB/Stable), in case of need. The Stable Outlook mirrors that on the Georgian sovereign. Key Rating Drivers - VRs The VRs of all six banks reflect their exposure to a high-risk operating environment, which Fitch believes is likely to deteriorate materially in 2020 against the backdrop of economic recession, putting pressure on lenders' financial metrics. Fitch expects asset quality to weaken, albeit from rather moderate levels of impaired loans in most cases, and earnings challenges to increase due to growing loan loss allowances and subdued credit growth. However, Fitch believes banks' pre-impairment profits will remain sufficient to absorb moderate credit losses. The banks' regulatory capital ratios moderated after additional provisions booked at end-1Q20, and are exposed to further asset-quality pressures and a weaker lari, which could drive increases in risk- weighted assets (RWAs). Downside risks for funding and liquidity are low, in its view, as deposits have been stable to date, upcoming wholesale repayments are moderate, and liquidity cushions are sufficient to withstand significant stress. BOG and TBC - VRs Both banks' 'bb-' VRs are underpinned by strong local franchises (39% of sector loans for TBC and 35% for BOG at end-2019), significant pricing power and robust financial metrics. However, the ratings are constrained by exposure to the Georgian operating environment and high foreign-currency lending. Impaired loans (Stage 3 and purchased or originated credit-impaired loans under IFRS 9, including leasing) ratios declined to 4.8% and 3% at BOG and TBC, respectively, at end-2019, from 6.6% and 3.5% at end-2018, helped by lending growth and write-offs. Asset quality has been supported by the stricter regulatory affordability criteria and restrictions on new foreign-currency lending in the retail segment. Coverage of impaired loans by specific loan loss allowances (LLAs) was a low 35% at TBC and 29% at BOG, reflecting high reliance on collateral. Significant loan dollarization (56% and 59% at BOG and TBC, respectively) heightens credit risks as the lari depreciates, as the share of naturally hedged borrowers is low. Stage 3 loans are likely to rise in 2020, in particular in the most vulnerable sectors of the economy (tourism, trade, transportation, construction and real estate), which accounted for 27% of loans at BOG and 26% at TBC, as well as in consumer loans (17% of loans at BOG and 15% at TBC). Profitability remained healthy in 2019 with operating profit/RWAs ratios of 3.8% and 4.6% at BOG and TBC, respectively (the difference mainly due to RWA calculations). Net interest margins contracted to 6% from 7% in 2019 due to seasoning of high-yielding portfolios. This decline was partly compensated by reduced risk costs (below 1% for both banks), which Fitch however expects to rise in 2020 as loans season in the difficult operating environment. Margins are also likely to come under further pressure from limited new lending. The banks' regulatory capital ratios declined by about 3pp at end-1Q20 following the NBG requirement to increase LLAs against potential asset-quality deterioration, with CET1 ratios falling to a moderate 9.1% at TBC (bank's estimate) and about 8.5% at BOG (Fitch estimate). However, headroom above the minimum requirements remained broadly unchanged as the regulator reduced capital buffers at the same time. BOG's IFRS-based Fitch Core Capital ratio (FCC) was moderately above the regulatory CET1 ratio, while TBC's was significantly higher, mainly due to the difference in RWA calculation. Both banks postponed dividend payments for 2019 to preserve capital, but solvency could come under further pressure in case of additional provisioning requirements or continued lari depreciation. BOG and TBC are predominantly funded by deposits (62% and 64% of end-2019 liabilities, respectively), which have been broadly stable to date. Wholesale debt maturities in 2020 are moderate at both banks. Highly-liquid assets (cash, short-term placements with NBG and banks, net of sizable obligatory reserves, and unpledged securities eligible for repo) amounted to a reasonable 24% of deposits at BOG and 17% at TBC at end-2019. BOG and TBC - DEBT RATINGS TBC's and BOG's senior unsecured debt is rated in line with the banks' respective Long-Term IDRs of 'BB-'. The two banks' perpetual additional Tier 1 (AT1) notes are rated at 'B-', three notches below the VRs. The notching reflects (i) the high loss severity of the notes due to their deep subordination, and (ii) additional non-performance risk relative to the VR, given fully discretionary coupon omission. The trigger for mandatory coupon omission for each bank is a decline in any of its regulatory capital ratios (CET1, tier 1 or total) below the minimum level plus the combined pillar 1 buffers of capital conservation (now 0%), countercyclical (0%) and systemic importance (1.5%), i.e. the trigger levels are now 6% CET1, 7.5% tier 1 and 9.5% total. Based on the banks' estimated capital ratios at end-1Q20, their headroom above these trigger levels was lowest for the CET1 ratio, but still a significant 310bp for TBC and about 250bp for BOG (Fitch estimate). The NBG could also impose restrictions on coupon payments if banks breach minimum capital ratios including all (pillar 1 and pillar 2) buffers. At end-1Q20 the minimum required ratios including all applicable buffers were 6.9% CET1, 8.8% Tier 1 (8.7% for BOG) and 13.3% total for both banks. The headroom above those levels was lowest for the CET1 ratios, and stood at 220pb for TBC and about 150bp for BOG at end-1Q20. In Fitch's view, there is some uncertainty as to whether the NBG would prevent coupon payments if banks breach minimum requirements including all buffers while still meeting minimum requirements plus pillar 1 buffers. On 3 April 2020, TBC paid the latest coupon on its AT1 notes, following the end-1Q20 reduction in capital ratios; the next coupon on BOG's notes is due on 28 June. The AT1 notes will be written down if the CET1 ratio falls below 5.125% or if the bank is subject to intervention by NBG. LB - VR LB's 'b+' VR reflects exposure to the Georgian operating environment, moderate market shares and less-diversified business model compared with BOG's and TBC's, but at the same time also the bank's reasonable financial metrics. LB's asset quality improved in 2019, helped by the cessation of high-yield consumer lending, almost completely banned by regulatory restrictions. Based on preliminary financial statements, Stage 3 loans decreased to 5.2% at end-2019 from 9% at end-2018 due to write-offs and strong corporate growth. The cost of risk (loan impairment charges/average gross loans ratio) moderated to 1.4% in 2019 from 3.7% in 2018, while corporate and SME loans increased to about 30% of gross loans providing reasonable diversification to the bank's lending activities. At the same time Fitch expects a spike in impaired consumer loans in 2020 (the segment accounted for 36% of total loans, excluding lower-risk pension advances) as the crisis negatively impacts household incomes and employment levels. The bank's exposure to vulnerable industries in the corporate loan book accounted for a further 18% of total loans. Profitability was under pressure from tighter margins on the back of a portfolio mix change and declining loan yields in core retail products. Operational expenses remained elevated due to the bank's large branch network. As a result, the operating profit/RWAs ratio contracted to 2.5% in 2019 from 4.2% in 2018. Fitch expects that the bank's profitability will remain under pressure in 2020 from higher risk costs and weaker lending growth. Regulatory capital ratios declined about 1pp in 1Q20 following the NBG requirement to increase LLAs, albeit the impact was lower than the sector average. LB's regulatory CET1 ratio fell to an estimated 10.9% at end-1Q20, which was moderately above larger peers. Fitch does not expect significant pressures on the bank's funding and liquidity profile. LB is predominantly funded by customer accounts (85% of total liabilities at end-2019), of which 54% are sourced from households. Customer funding has been generally stable to date. Liquidity buffers are strong, covering 35% of customer accounts at end-2019. PCBG - VR PCBG's 'bb-' VR captures the bank's modest franchise, high risk appetite given significant dollarization, but also robust risk management policies and generally sound financial metrics to date. Impaired loans remained a sound 2.9% at end-2019, supported by the bank's the prudent risk- management framework and group supervision. Impaired exposures were almost fully covered by total LLAs. However, PCBG's focus on the vulnerable SME segment skews asset-quality risks to the downside. Lending dollarization is highest among Fitch-rated banks (75% at end-2019), exposing the bank to potential further depreciation of the local currency. These risks are only partly mitigated by PCBG's sound underwriting policies and borrowers' mostly reasonable financial performance to date. PCBG's profitability has been adequate with a 3% operating profit/RWAs ratio in 2019. Margins continued to contract as a result of its exit from the high-yielding micro business, intensified competition and low credit growth. Capital pressures resulting from potential inflation of RWAs and additional provisioning of problem loans are moderated by significant capital buffers above the minimum regulatory requirements (about 650bp for CET1 at end-1Q20). The FCC ratio at end-2019 was a healthy 19.4%, helped by dividend postponement and modest credit growth. The bank is mainly reliant on customer funding (60% of end-2019 liabilities). Wholesale debt (35% of liabilities) refinancing risks are mitigated by moderate upcoming repayments and the predominance of IFIs and related parties in the funding structure. Liquidity is underpinned by potential support from the parent and sister banks. At end-2019, highly-liquid assets (excluding sizeable obligatory reserves) covered 22% of customer deposits. Basis and Tera Unless noted below, the key rating drivers for Basis and Tera are those outlined in its Rating Action Commentaries published on 3 December 2019 (Fitch Affirms Basisbank at 'B+'; Outlook Stable) and on 23 December 2019 (Fitch Rates Terabank 'B+'; Stable Outlook). The 'b+' VRs capture the banks' limited franchises and heightened risk appetite as reflected in significant lending dollarization (56% and 63% for Basis and Tera, respectively). However, both banks enter the economic downturn with reasonable asset quality and profitability metrics and stable liquidity and funding profiles, with limited reliance on wholesale funding. Basis has higher reported capital adequacy ratios and greater headroom above the minimum regulatory capital requirements. At the same time, the economic implications from the pandemic create additional downside risks to its assessments of both banks' loan book quality, earnings and capital, relative to when Fitch last reviewed the banks' ratings. Tera will also now face challenges in executing its new strategy of developing SME, micro and retail lending. Key Rating Drivers - Support Ratings and Support Rating Floors PCBG's Support Ratings of '3' reflects Fitch's view that PCH will continue to have a high propensity to provide support to its Georgian subsidiary given its high importance to the group, full ownership, common branding, strong integration and a record of capital and liquidity support. Fitch caps PCBG's ratings at one notch above the 'BB' Georgian sovereign rating to reflect the country risks that domestic banks are exposed to. In its view, in case of extreme macroeconomic and sovereign stress, these risks could limit the ability of PCBG to service its obligations or the parent's propensity to continue providing support, or both. Fitch has placed TBC's, BOG's and LB's Support Ratings of '4' and Support Rating Floors of 'B' on Rating Watch Negative (RWN), reflecting its view that the Support Ratings could be downgraded to '5' and SRFs could be revised to 'No Floor' once draft bank resolution legislation is implemented. The legislation, which provides a credible framework for the bail-in of senior creditors of failed banks, has already been approved by Parliament, and that NBG plans to implement this in 2021. Fitch does not expect the RWN to be resolved within the next six months. The Support Ratings and SRFs of TBC, BOG and LB at present reflect Fitch's view of the limited probability of support being available from the Georgian authorities, in case of need. Fitch believes that the authorities would likely have a high propensity to support BOG, TBC and LB, at least in the near term before the bail-in resolution legislation is adopted, in light of their high systemic importance (BOG/TBC) and extensive branch network and role in distributing pensions and benefits. However, Fitch assesses that the ability of the sovereign to provide support, especially in foreign currencies, is limited given the banks' large FC liabilities (USD7 billion at end-2019) relative to sovereign FX reserves (USD3.5 billion). The affirmation of the Support Ratings of '5' and SRFs of 'No Floor' of Tera and Basis reflect their limited systemic importance and, consequently, Fitch's view that state support cannot be relied upon. Potential support from the banks' private shareholders, while possible, is not factored into the ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The IDRs of TBC, BOG, LB, Basis and Tera, the VRs of all banks and the senior debt of TBC and BOG could be downgraded in case the economic downturn leads to marked deterioration in asset quality, material weakening of profitability and capital erosion to a point where banks' capital ratios have only minimum headroom above regulatory requirements. The ratings could also be downgraded if Georgia's recession is deeper and longer than currently anticipated in Fitch's baseline scenario. The ratings of TBC's and BOG's AT1 notes could be downgraded if the banks' VRs are downgraded, or if the instruments become non-performing due a coupon omission or principal write-down. The IDRs of PCBG could be downgraded if Fitch revises downwards its support assessment from PCH or if Georgian country risks increase materially. The Support Ratings and SRFs of TBC, BOG and LB could be downgraded and revised lower, respectively, if resolution legislation providing a credible framework for the bail-in of senior creditors of failed banks is adopted, expected in January 2021. The ratings are also sensitive to changes in the sovereign rating. Factors that could, individually or collectively, lead to positive rating action/upgrade: Negative Outlooks could be revised back to Stable if the Georgian economy stabilizes after a short-lived downturn and banks are able to withstand pressures on asset quality, profitability and capital metrics. PCBG's support-driven IDRs could be upgraded if Georgian country risks decrease materially, which is unlikely in the near term. BEST/WORST CASE RATING SCENARIO Ratings of financial institutions issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The IDRs of PCBG are linked to the ratings of PCH. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). JSC Liberty Bank - LT IDR B+; Affirmed - ST IDR B; Affirmed - Viability b+; Affirmed - Support 4; Rating Watch On - Support Floor B; Rating Watch On TBC BANK JSC - LT IDR BB-; Affirmed - ST IDR B; Affirmed - Viability bb-; Affirmed - Support 4; Rating Watch On - Support Floor B; Rating Watch On - Senior unsecured; LT BB-; Affirmed - Subordinated; LT B-; Affirmed ProCredit Bank (Georgia) - LT IDR BB+; Affirmed - ST IDR B; Affirmed - LC LT IDR BB+; Affirmed - LC ST IDR B; Affirmed - Viability bb-; Affirmed - Support 3; Affirmed JSC Basisbank - LT IDR B+; Affirmed - ST IDR B; Affirmed - Viability b+; Affirmed - Support 5; Affirmed - Support Floor NF; Affirmed JSC Terabank - LT IDR B+; Affirmed - ST IDR B; Affirmed - Viability b+; Affirmed - Support 5; Affirmed - Support Floor NF; Affirmed Bank of Georgia - LT IDR BB-; Affirmed - ST IDR B; Affirmed - LC LT IDR BB-; Affirmed - LC ST IDR B; Affirmed - Viability bb-; Affirmed - Support 4; Rating Watch On - Support Floor B; Rating Watch On - Senior unsecured; LT BB-; Affirmed - Subordinated; LT B-; Affirmed ============= I R E L A N D ============= CITYJET: Court Appoints Interim Examiner Amid Coronavirus Crisis ---------------------------------------------------------------- Graham Dunn at FlightGlobal reports that an Irish court has appointed an interim examiner at regional wet-lease specialist CityJet as the carrier seeks protection during the coronavirus crisis. According to FlightGlobal, a spokesman for the airline confirms an interim examiner has been appointed following a High Court hearing in Dublin on April 17. The move follows the coronavirus crisis, which has brought a virtual halt to scheduled passenger flights across Europe, FlightGlobal discloses. Irish carrier CityJet has focused on its wet-lease business since ending scheduled passenger flights in its own right in the winter of 2018. CityJet has been operating flights for carriers including Aer Lingus and SAS. DEBENHAMS RETAIL: High Court Appoints Provisional Liquidators ------------------------------------------------------------- Aodhan O'Faolain and Ray Managh at Irish Independent report that the High Court has appointed joint provisional liquidators to the Irish arm of Debenhams. The provisional liquidators were appointed on April 16 to Debenhams Retail Ireland Ltd., which operated 11 stores in the Republic of Ireland, Irish Independent discloses. According to Irish Independent, Mr. Justice Paul Coffey said he was satisfied to appoint insolvency practitioners Kieran Wallace and Andrew O'Leary of KPMG as joint provisional liquidators of the company. Earlier, it was announced the company was ceasing operations, arising out of its UK-based parent's decision to enter administration, Irish Independent recounts. Rossa Fanning SC, for the firm, said it was "with great regret" that the retailer was seeking an order for its winding up, but the company was wholly insolvent and its directors had "no other option", Irish Independent relays. He said the application to seek the appointment of provisional liquidators came after the company was informed by its UK parent that it was no longer in a position to provide it with financial support, Irish Independent notes. Counsel said that the UK parent had been struggling in recent years and it had made a pre-tax loss for the year ending 2018, according to Irish Independent. The Irish firm owes millions of euro to parties including Revenue, the landlords of the premises it had operated from, trade creditors, other firms within the group, and its employees, Irish Independent discloses. According to Irish Independent, counsel said it had been making substantial losses before the Covid-19 pandemic had resulted in stores being closed in late March. He also said the Irish firm had made estimated losses in 2019 and 2018 of over EUR40 million, Irish Independent notes. The Covid-19 outbreak, he said, had compounded the firm's difficulties by firstly resulting in a reduction of footfall in the stores, Irish Independent relates. The company directly employed over 940 staff, and also provided over 500 other jobs indirectly through the 26 concession stands operated by other retail firms located in its stores, Irish Independent states. Making the appointment, Mr. Justice Coffey, as cited by Irish Independent, said that the evidence before the court was the company had been loss-making after it had emerged from examinership in 2016, and its difficulties had been compounded by the Covid-19 crisis. STOBART AIR: Stobart Group Mulls Acquisition of Business -------------------------------------------------------- John Mulligan at the Irish Independent reports that the UK's Stobart Group has confirmed that it's considering buying struggling Dublin-based Stobart Air and a related business, Propius. Stobart Air operates the Aer Lingus Regional service. According to the Irish Independent, an acquisition of the airline would prevent the immediate crystalization of significant liabilities Stobart Group has that are attached to Stobart Air's aircraft leases, if Stobart Air fell into examinership here. But any deal would require the support of Aer Lingus, the Irish Independent notes. Stobart Air is part of Connect Airways, which is in administration in the UK, the Irish Independent discloses. That has left administrator EY controlling 49% of Stobart Air, the Irish Independent states. The other 51% is owned by Stobart Air's more than 400 staff, according to the Irish Independent. If Stobart Group could buy the 49% stake in Stobart Air from EY, it might be able to prevent the carrier from falling into examinership here, the Irish Independent relays. [*] Fitch Places 10 Tranches from 5 European CLOs on Watch Neg. --------------------------------------------------------------- Fitch Ratings has placed 10 tranches from five European collateralized loan obligations on Rating Watch Negative. Tikehau CLO II B.V. - Class E XS1505671062; LT BBsf Rating Watch On - Class F XS1505671732; LT B-sf Rating Watch On Euro-Galaxy III CLO B.V. - Class E-RR XS2010045602; LT BBsf Rating Watch On - Class F-RR XS2010046089; LT B-sf Rating Watch On Toro European CLO 4 DAC - Class E-R XS1639910808; LT BBsf Rating Watch On - Class F-R US89109MAZ77; LT B-sf Rating Watch On Toro European CLO 2 DAC - Class E-R XS1884800985; LT BB-sf Rating Watch On - Class F-R XS1884801280; LT B-sf Rating Watch On Euro-Galaxy VII CLO DAC - Class E XS1963041188; LT BB-sf Rating Watch On - Class F XS1963041428; LT B-sf Rating Watch On TRANSACTION SUMMARY The five transactions are cash flow CLOs mostly comprising senior secured obligations. All the transactions are within their reinvestment period and are actively managed by their collateral managers. KEY RATING DRIVERS Coronavirus Sensitivity Analysis Fitch placed several tranches on Rating Watch Negative as a result of a sensitivity analysis it ran in light of the coronavirus pandemic. The agency notched down the ratings for all assets with corporate issuers with a Negative Outlook regardless of the sectors and to all issuers in eight sectors with high exposure to the coronavirus pandemic as identified by the EMEA Leverage Finance team. Fitch assumed these assets will be downgraded by one notch (floor at 'CCC'). In addition, the stress scenario includes a haircut to recovery assumptions, by applying a multiplier of 0.85 at all rating scenarios to issuers in these sectors. The model-implied ratings for the affected tranches under the coronavirus sensitivity test are below the current ratings. Fitch will resolve the rating watch status over the coming months as and when Fitch observes rating actions on the underlying loans. Asset Credit Quality 'B' Category Portfolio Credit Quality: Fitch assesses the average credit quality of obligors to be in the 'B' category. The Fitch weighted average rating factor (WARF) of the current portfolios range between 33.8 and 35.3. After applying the coronavirus stress, the Fitch WARF would increase to between 36.1 and 38. Asset Security High Recovery Expectations: At least 90% of the portfolios comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favorable than for second-lien, unsecured and mezzanine assets. Fitch's stress scenario includes a haircut to recovery assumptions by applying a multiplier of 0.85 at all rating scenarios to issuers in the eight high-exposure sectors. The recovery haircut reflects anticipated movement in going-concern EBITDAs for the recovery analysis, increased use of the liquidation approach instead of the going-concern approach and otherwise weaker valuations in the affected sectors. Portfolio Composition The portfolios are well diversified across obligors, countries and industries. The top 10 obligors' range between 13.4% and 15.1%, and no obligor represents more than 2% of the portfolio balance. Exposure to the eight sectors identified by the EMEA Leverage Finance team ranges from 15.7% to 20.1% compared with an average exposure of 16.5% for all Fitch-rated European CLOs. Cash Flow Analysis Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and the various structural features of the transaction, as well as to assess their effectiveness, including the structural protection provided by excess spread diverted through the par value and interest coverage tests. The transactions were modelled using the current portfolio and the current portfolio with a coronavirus sensitivity analysis applied. Fitch analysis was based on the stable interest rate scenario but include the front-, mid- and back-loaded default timing scenarios as outlined in Fitch's criteria. When conducting cash flow analysis, Fitch's model first projects the portfolio scheduled amortization proceeds and any prepayments for each reporting period of the transaction life assuming no defaults (and no voluntary terminations, when applicable). In each rating stress scenario, such scheduled amortization proceeds and prepayments are then reduced by a scale factor equivalent to the overall percentage of loans that are not assumed to default (or to be voluntary terminated, when applicable). This adjustment avoids running out of performing collateral due to amortization and ensures all of the defaults projected to occur in each rating stress are realized in a manner consistent with Fitch's published default timing curve. Portfolio Performance; Surveillance All the transactions are in their reinvestment period and the portfolios are actively managed by the collateral manager. As of the latest investor reports available, all the portfolio profile tests, collateral quality tests and coverages tests are passing, except the Fitch minimum weighted average spread in one of the deals, which is failing marginally. The transactions are currently slightly below their reinvestment target par, by no more than 80bp, except for one, which is above its reinvestment target par. Exposure to assets rated 'CCC' and below range between 3.72% and 8.54%, and would increase to between 6.28% and 15.55% after applying the coronavirus stress. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade The transactions feature a reinvestment period and the portfolio is actively managed. At closing, Fitch uses a standardized stress portfolio (Fitch's Stressed Portfolio) that is customized to the specific portfolio limits for the transaction as specified in the transaction documents. Even if the actual portfolio shows lower defaults and losses (at all rating levels) than Fitch's Stressed Portfolio assumed at closing, an upgrade of the notes during the reinvestment period is unlikely, given the portfolio credit quality may still deteriorate, not only by natural credit migration, but also by reinvestments. After the end of the reinvestment period, upgrades may occur in case of a better than initially expected portfolio credit quality and deal performance, leading to higher credit enhancement for the notes and excess spread available to cover for losses on the remaining portfolio. Factors that could, individually or collectively, lead to negative rating action/downgrade Downgrades may occur if the build-up of credit enhancement for the notes following amortization does not compensate for a higher loss expectation than initially assumed due to an unexpectedly high level of default and portfolio deterioration. As the disruptions to supply and demand due to the coronavirus for other sectors become apparent, loan ratings in such sectors would also come under pressure. Fitch will resolve the rating watch status over the coming months as and when Fitch observes rating actions on the underlying loans. BEST/WORST CASE RATING SCENARIO Ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION Euro Galaxy III CLO B.V.: Loan-by-loan data provided by U.S. Bank Trustee Limited as at March 12, 2020. Transaction reporting provided by U.S. Bank Trustee Limited as at March 12, 2020. Euro Galaxy VII CLO B.V.: Loan-by-loan data provided by U.S. Bank Trustee Limited as at March 12, 2020. Transaction reporting provided by U.S. Bank Trustee Limited as at March 12, 2020. Tikehau CLO II B.V.: Loan-by-loan data provided by U.S. Bank Trustee Limited as at February 26, 2020. Transaction reporting provided by U.S. Bank Trustee Limited as at February 26, 2020. Toro European CLO 2 DAC: Loan-by-loan data provided by BNY Mellon Corporate Trustee Services Limited as at March 16, 2020. Transaction reporting provided by BNY Mellon Corporate Trustee Services Limited as at March 16, 2020. Toro European CLO 4 DAC: Loan-by-loan data provided by U.S. Bank Trustee Limited as at March 16, 2020. Transaction reporting provided by U.S. Bank Trustee Limited as at March 16, 2020. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. [*] Fitch Places 11 Tranches from 5 European CLOs on Watch Neg. --------------------------------------------------------------- Fitch Ratings has placed 11 tranches from five European collateralized loan obligations on Rating Watch Negative and two others on Negative Outlook. Madison Park Euro Funding XI DAC - Class E XS1833626747; LT BB-sf; Rating Watch On - Class F XS1833627471; LT B-sf; Rating Watch On Madison Park Euro Funding XII DAC - Class D XS1861232806; LT BBBsf; Rating Watch On - Class E XS1861233101; LT BBsf; Rating Watch On - Class F XS1861233366; LT B-sf; Rating Watch On Madison Park Euro Funding XIII DAC - Class D XS1943605334; LT BBB-sf; Revision Outlook - Class E XS1943606068; LT BB-sf; Rating Watch On - Class F XS1943606738; LT B-sf; Rating Watch On Madison Park Euro Funding VI B.V - Class E-R XS1655108105; LT BBsf; Rating Watch On - Class F-R XS1655108360; LT B-sf; Rating Watch On CIFC European Funding CLO I DAC - Class D XS2020693557; LT BBB-sf; Revision Outlook - Class E XS2020693987; LT BBsf; Rating Watch On - Class F XS2020694100; LT B-sf; Rating Watch On TRANSACTION SUMMARY The five transactions are cash flow CLOs mostly comprising senior secured obligations. All the transactions are within their reinvestment period and are actively managed by their collateral managers. KEY RATING DRIVERS Coronavirus Sensitivity Analysis Fitch placed several tranches on Rating Watch Negative and Negative Outlook as a result of a sensitivity analysis it ran in light of the coronavirus pandemic. The agency notched down the ratings for all assets with corporate issuers on Negative Outlook regardless of the sectors and to all issuers in eight sectors with high exposure to the coronavirus pandemic as identified by the EMEA Leverage Finance team. Fitch assumed these assets will be downgraded by one notch (floor at 'CCC'). In addition, the stress scenario includes a haircut to recovery assumptions, by applying a multiplier of 0.85 at all rating scenarios to issuers in these eight sectors. The model-implied ratings for the affected tranches under the coronavirus sensitivity test are below the current ratings. Fitch will resolve the rating watch status over the coming months as and when Fitch observes rating actions on the underlying loans. Asset Credit Quality 'B' Category Portfolio Credit Quality: Fitch assesses the average credit quality of obligors to be in the 'B' category. The Fitch weighted average rating factor (WARF) of the current portfolios range from 33.50 to 35.13. After applying the coronavirus stress, the Fitch WARF would increase to between 35.94 and 37.92. Asset Security High Recovery Expectations: At least 90% of the portfolios comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favorable than for second-lien, unsecured and mezzanine assets. Fitch's stress scenario includes a haircut to recovery assumptions by applying a multiplier of 0.85 at all rating scenarios to issuers in the eight high-exposure sectors. The recovery haircut reflects anticipated movement in going-concern EBITDAs for the recovery analysis, increased use of the liquidation approach instead of the going-concern approach and otherwise weaker valuations in the affected sectors. Portfolio Composition The portfolios are well diversified across obligors, countries and industries. The top 10 obligors' range between 11.01% and 16.76% and no obligor represents more than 2.02% of the portfolio balance. Exposure to the eight sectors identified by the EMEA Leverage Finance team ranges from 14.12% to 19.88%, compared with an average exposure of 16.5% for all Fitch-rated European CLOs. Cash Flow Analysis Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and the various structural features of the transaction, as well as to assess their effectiveness, including the structural protection provided by excess spread diverted through the par value and interest coverage tests. The transactions were modelled using the current portfolio and the current portfolio with a coronavirus sensitivity analysis applied. Fitch analysis was based on the stable interest rate scenario but include the front-, mid- and back-loaded default timing scenarios as outlined in Fitch's criteria. When conducting cash flow analysis, Fitch's model first projects the portfolio scheduled amortization proceeds and any prepayments for each reporting period of the transaction life assuming no defaults (and no voluntary terminations, when applicable). In each rating stress scenario, such scheduled amortization proceeds and prepayments are then reduced by a scale factor equivalent to the overall percentage of loans that are not assumed to default (or to be voluntary terminated, when applicable). This adjustment avoids running out of performing collateral due to amortization and ensures all of the defaults projected to occur in each rating stress are realized in a manner consistent with Fitch's published default timing curve. Portfolio Performance; Surveillance All the transactions are still in their reinvestment period and the portfolios are actively managed by the collateral manager. As of the latest investor reports, all the portfolio profile tests, collateral quality tests and coverages tests are passing, except one case, where the failure is marginal. All the transactions are currently above their reinvestment target par, except for one. Exposure to assets rated 'CCC' and below range between 3.14% and 9.09%, and would increase to between 7.27% and 15.40% after applying the coronavirus stress. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade: The transactions feature a reinvestment period and the portfolio is actively managed. At closing, Fitch uses a standardized stress portfolio (Fitch's Stressed Portfolio) that is customized to the specific portfolio limits for the transaction as specified in the transaction documents. Even if the actual portfolio shows lower defaults and losses (at all rating levels) than Fitch's Stressed Portfolio assumed at closing, an upgrade of the notes during the reinvestment period is unlikely, given the portfolio credit quality may still deteriorate, not only by natural credit migration, but also by reinvestments. After the end of the reinvestment period, upgrades may occur in case of a better than initially expected portfolio credit quality and deal performance, leading to higher credit enhancement for the notes and excess spread available to cover for losses on the remaining portfolio. Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades may occur if the build-up of credit enhancement for the notes following amortization does not compensate for a higher loss expectation than initially assumed due to an unexpectedly high level of default and portfolio deterioration. As the disruptions to supply and demand due to the coronavirus for other sectors become apparent, loan ratings in such sectors would also come under pressure. Fitch will resolve the rating watch status over the coming months as and when Fitch observes rating actions on the underlying loans. BEST/WORST CASE RATING SCENARIO Ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION CIFC European Funding CLO I DAC: Loan-by-loan data provided by BNY Mellon as at March 10, 2020. Transaction reporting provided by BNY Mellon as at March 10, 2020. Madison Park Euro Funding VI B.V. Loan-by-loan data provided by BNP Paribas as at March 20, 2020. Transaction reporting provided by BNP Paribas as at March 20, 2020. Madison Park Euro Funding XI DAC Loan-by-loan data provided by U.S. Bank as at March 12, 2020. Transaction reporting provided by U.S. Bank as at March 12, 2020. Madison Park Euro Funding XII DAC Loan-by-loan data provided by BNY Mellon as at March 12, 2020. Transaction reporting provided by BNY Mellon as at March 12, 2020. Madison Park Euro Funding XIII DAC Loan-by-loan data provided by BNY Mellon as at March 20, 2020. Transaction reporting provided by BNY Mellon as at March 20, 2020. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. [*] Fitch Places 9 Tranches from 5 European CLOs on Watch Neg. -------------------------------------------------------------- Fitch Ratings has placed 10 tranches from five European collateralized loan obligations on Rating Watch Negative and three others on Negative Outlook. Man GLG Euro CLO V - Class D-1 XS1881731951; LT BBBsf; Revision Outlook - Class D-2 XS1885675410; LT BBBsf; Revision Outlook - Class E XS1881732256; LT BB-sf; Rating Watch On - Class F XS1881732330; LT B-sf; Rating Watch On Jubilee CLO 2014-XIV B.V. - Class Class F XS1114491126; LT B-sf; Rating Watch On Jubilee CLO 2018-XXI B.V. - Class E XS1897616865; LT BBsf; Rating Watch On - Class F XS1897617087; LT B-sf; Rating Watch On Jubilee CLO 2016-XVII B.V. - Class D-R XS1874093906; LT BBB-sf; Revision Outlook - Class E-R XS1874094201; LT BB-sf; Rating Watch On - Class F-R XS1874094466; LT B-sf; Rating Watch On Jubilee CLO 2019-XXIII B.V. - Class D XS2075330683; LT BBB-sf; Revision Outlook - Class E XS2075331228; LT BBsf; Rating Watch On - Class F XS2075331731; LT Bsf; Rating Watch On TRANSACTION SUMMARY All the transactions are cash flow CLOs mostly comprising senior secured obligations. Four of the five transactions are within their reinvestment period and are actively managed by their collateral managers. One transaction has exited the reinvestment period and is amortizing. KEY RATING DRIVERS Coronavirus Sensitivity Analysis Fitch placed several tranches on Rating Watch Negative and Negative Outlook as a result of a sensitivity analysis it ran in light of the coronavirus pandemic. The agency notched down the ratings for all assets with corporate issuers with a Negative Outlook regardless of the sectors and to all issuers in eight sectors with high exposure to the coronavirus pandemic as identified by the EMEA Leverage Finance team. Fitch assumed these assets will be downgraded by one notch (floor at 'CCC'). In addition, the stress scenario includes a haircut to recovery assumptions, by applying a multiplier of 0.85 at all rating scenarios to issuers in these sectors. The model-implied ratings for the affected tranches under the coronavirus sensitivity test are below the current ratings. Fitch will resolve the rating watch status over the coming months as and when Fitch observes rating actions on the underlying loans. Asset Credit Quality 'B' Category Portfolio Credit Quality: Fitch assesses the average credit quality of obligors to be in the 'B' category. The Fitch weighted average rating factor (WARF) of the current portfolios range between 34.7 and 36.9. After applying the coronavirus stress, the Fitch WARF would increase to between 37.5 and 40.3. Asset Security High Recovery Expectations: At least 90% of the portfolios comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favorable than for second-lien, unsecured and mezzanine assets. Fitch's stress scenario includes a haircut to recovery assumptions by applying a multiplier of 0.85 at all rating scenarios to issuers in the eight high-exposure sectors. The recovery haircut reflects anticipated movement in going-concern EBITDAs for the recovery analysis, increased use of the liquidation approach instead of the going-concern approach and otherwise weaker valuations in the affected sectors. Portfolio Composition The portfolios are well diversified across obligors, countries and industries. The top 10 obligors' range between 14.8% and 21.5%, and no obligor represent more than 3% of the portfolio balance. Exposure to the eight sectors identified by the EMEA Leverage Finance team ranges from 14% to 20%, compared with an average exposure of 16.5% for all Fitch-rated European CLOs. Cash Flow Analysis Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and the various structural features of the transaction, as well as to assess their effectiveness, including the structural protection provided by excess spread diverted through the par value and interest coverage tests. The transactions were modelled using the current portfolio and the current portfolio with a coronavirus sensitivity analysis applied. Fitch analysis was based on the stable interest rate scenario but include the front-, mid- and back-loaded default timing scenarios as outlined in Fitch's criteria. When conducting cash flow analysis, Fitch's model first projects the portfolio scheduled amortization proceeds and any prepayments for each reporting period of the transaction life assuming no defaults (and no voluntary terminations, when applicable). In each rating stress scenario, such scheduled amortization proceeds and prepayments are then reduced by a scale factor equivalent to the overall percentage of loans that are not assumed to default (or to be voluntary terminated, when applicable). This adjustment avoids running out of performing collateral due to amortization and ensures all of the defaults projected to occur in each rating stress are realized in a manner consistent with Fitch's published default timing curve. Portfolio Performance; Surveillance All the transactions are in their reinvestment period and the portfolios are actively managed by the collateral manager except one, which is out of its reinvestment period and is amortizing. As of the latest investors report available all the portfolio profile tests, collateral quality tests and coverages tests are passing, except the maximum weighted average life in one transaction, which is failing marginally. All the transactions are above their reinvestment target par except one, which is below the target par. Exposure to assets rated 'CCC' and below range between 7.0% and 9.2% and would increase to between 12.6% and 17.0% after applying the coronavirus stress. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade For transactions in the reinvestment period, even if the actual portfolio shows lower defaults and losses (at all rating levels) than Fitch's Stressed Portfolio assumed at closing, an upgrade of the notes during the reinvestment period is unlikely, given the portfolio credit quality may still deteriorate, not only by natural credit migration, but also by reinvestments. For transactions out of the reinvestment period, upgrades may occur in case of a better than initially expected portfolio credit quality and deal performance, leading to higher credit enhancement for the notes and excess spread available to cover for losses on the remaining portfolio. However, no upgrades are expected in the near term given the current environment. Factors that could, individually or collectively, lead to negative rating action/downgrade Downgrades may occur if the build-up of credit enhancement for the notes following amortization does not compensate for a higher loss expectation than initially assumed due to an unexpectedly high level of default and portfolio deterioration. As the disruptions to supply and demand due to the coronavirus for other sectors become apparent, loan ratings in such sectors would also come under pressure. Fitch will resolve the rating watch status over the coming months as and when Fitch observes rating actions on the underlying loans. BEST/WORST CASE RATING SCENARIO Ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION Jubilee CLO 2014-XIV B.V.: The monthly investor report and loan level data as of March 20, 2020 provided by BNY Mellon. Jubilee CLO 2016-XVII B.V.: The monthly investor report and loan level data as of March 4, 2020 provided by BNY Mellon. Jubilee CLO 2018-XXI B.V.: The monthly investor report and loan level data as of March 4, 2020 provided by BNY Mellon. Jubilee CLO 2019-XXIII B.V.: The monthly investor report and loan level data as of March 13, 2020 provided by BNY Mellon. Man GLG Euro CLO V: The monthly investor report and loan level data as of March 4, 2020 provided by U.S. Bank. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ========= I T A L Y ========= OFFICINE MACCAFERRI: Moody's Cuts EUR190MM Sr. Notes Rating to C ---------------------------------------------------------------- Moody's Investors Service downgraded to C from Ca the rating of the EUR190 million senior unsecured notes due June 2021 issued by Officine Maccaferri S.p.A. Maccaferri's current Ca corporate family rating and Ca-PD/LD probability of default rating remain unchanged. The outlook remains negative. "The downgrade of the notes' rating to C reflects the proposed terms of the company's debt restructuring plan, which envisages a recovery rate of 30% or less for the noteholders," says Igor Kartavov, a Moody's lead analyst for Maccaferri. "However, if debt restructuring is executed as planned, the overall family recovery rate will likely fall within the 35% to 65% range, consistent with Maccaferri's current Ca CFR," adds Mr. Kartavov. RATINGS RATIONALE The rating action follows Maccaferri's announcement on 20 March 2020 [1] that it had accepted a proposal from an ad-hoc group of noteholders, including private equity firm Carlyle, that owns around 54% of its outstanding EUR190 million senior unsecured notes, which envisages provision of new financing as well as restructuring of a part of the company's current debt. The proposed restructuring terms imply that the noteholders will receive either (1) a combination of new 5.75% notes, with an approximately 70% discount to the par value of their current notes' holdings, and 96% of Maccaferri's ordinary shares, subject to dilution to 13%; or (2) cash, with an approximately 90% discount to the par value of their current notes' holdings. The downgrade of the notes' rating to C from Ca thus reflects the fact that the recovery rate for the noteholders will be 30% or below, if the restructuring is executed as planned. The company intends to keep bank debt raised by its operating subsidiaries, estimated at around EUR60 million, outside of the restructuring process. Maccaferri also aims to fully reinstate at par bank debt raised at the level of the holding company, i.e. Officine Maccaferri S.p.A., subject to the outcome of its negotiations with the banks, although an alternative option would be to reinstate bank creditors at 30% or less of the outstanding debt, and to fully repay the debt due to strategic creditors. Moody's estimates that the overall family recovery rate implied by this restructuring plan would fall within the 35% to 65% range, though likely within the lower part of it, which is already reflected by the company's CFR of Ca. Concurrently, the noteholders' proposal accepted by Maccaferri envisages that the company will raise up to EUR60 million of super senior secured bridge financing in the form of a bond maturing in at least 18 months, to be bought by an ad-hoc group of noteholders including Carlyle. The company aims to use the proceeds from this issuance to settle its overdue accounts payable, build up safety stocks, resolve liquidity constraints at some of its subsidiaries and finance its new strategic plan, which is currently being developed. Moody's views this arrangement as credit positive, because it will allow the company to continue operating as a going concern and will mitigate the disruption to its operational activity caused by its weak liquidity position. According to the proposed restructuring plan, bridge financing will be replaced with longer-term financing, with at least 4-year tenor, part of which, currently assumed to be EUR30 million, would be convertible into 83% of Maccaferri's ordinary shares at the discretion of the lenders. Assuming this conversion takes place, the noteholders' ownership stake would be diluted to 13% from 96%. Irrespectively of whether the conversion is exercised, Maccaferri will be majority owned by an ad-hoc group of noteholders including Carlyle. Maccaferri's current sole shareholder SECI S.p.A. will retain a 4% stake in the company. RATIONALE FOR NEGATIVE OUTLOOK The negative outlook reflects the execution risk associated with the proposed restructuring plan. Failure to execute the debt restructuring as currently envisaged by the company could lead to a lower family recovery rate than that incorporated in the current CFR of Ca. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS An upgrade of Maccaferri's ratings would be conditional upon the company completing a restructuring of its debt, establishing a sustainable capital structure and restoring its liquidity position. The ratings could be downgraded if Moody's estimates of expected losses for the company's creditors become higher than those implied by the Ca CFR or if the company enters insolvency proceedings. LIST OF AFFECTED RATINGS Issuer: Officine Maccaferri S.p.A. Downgrade: Senior Unsecured Regular Bond/Debenture, Downgraded to C from Ca PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Building Materials published in May 2019. COMPANY PROFILE Officine Maccaferri S.p.A., incorporated in Bologna, Italy, is a leading designer and manufacturer of environmental engineering products and solutions, with a global footprint. It reports under four divisions: The Double Twist Mesh products, the Geosynthetics polymer materials, the Rockfall and snow protections nets and the Other Products division, which includes a range of tunneling and wall reinforcing products, as well as engineering solution services and wire products. The company estimates that it generated a revenue of EUR490 million and EBITDA of EUR35 million in 2019. =================== L U X E M B O U R G =================== ORION ENGINEERED: Moody's Affirms Ba2 CFR, Alters Outlook to Neg. ----------------------------------------------------------------- Moody's Investors Service has affirmed Orion Engineered Carbons S.A.'s Ba2 corporate family rating and Ba2-PD probability of default rating. Moody's has also affirmed the Ba2 rating on the backed senior secured bank credit facilities borrowed by Orion Engineered Carbons GmbH. The outlook on the ratings has been changed to negative from stable. RATINGS RATIONALE The rapid and widening spread of the coronavirus outbreak, deteriorating global economic outlook, falling oil prices, and asset price declines are creating a severe and extensive credit shock across many sectors, regions and markets. The combined credit effects of these developments are unprecedented. The automotive sector, one of Orion's key end market, has been one of the sectors most significantly affected by the shock given its sensitivity to consumer demand and sentiment. More specifically, the weaknesses in Orion's credit profile has left it vulnerable to shifts in market sentiment in these unprecedented operating conditions and Orion remains vulnerable to the outbreak continuing to spread. Moody´s regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Its action reflects the impact on Orion of the breadth and severity of the shock, and the broad deterioration in credit quality it has triggered. Moody's expects that Orion's credit metrics, at least through 2020, will not be in line with the expectations for the Ba2 rating. The company's exposure to end markets negatively affected by the current Covid-19 outbreak, namely the OEM segment in the Automotive industry and other cyclical end markets like the construction industry, will translate into lower sales volumes at both of the company's segments. In addition, Orion's EBITDA will be negatively affected by the currently low oil price, which impacts the profitability in the company's rubber carbon black segment. The company has announced a suspension of its dividend payments from Q2-2020 onwards, which will result in a dividend payout of $12 million compared $48 million paid out in 2019. Moody's would also expect that the company will reduce capex to the minimum required in order to safeguard its liquidity profile. Furthermore, Moody's would expect a share of the company's EPA related capital expenditures to be postponed, due to the challenges to maintain social distancing and availability of workforce for these projects. These effects in combination with a release of working capital should enable the company to generate positive free cash flow in 2020. Thus, allowing the company to sustain the challenging environment without incurring additional gross debt. This view takes into account a recovery in demand in 2021. Moody's expects that the company can utilize its market leading position in the specialty carbon black segment and its global footprint in the rubber carbon black segment, in order to benefit from a gradually improving market environment. This view also takes into account that close to 70% of the company's rubber carbon black sales are related to the replacement tire market, which Moody´s expects to be be more resilient than the Auto OEM market, although even that market will be affected given the significantly reduced mileage driven in areas with lockdowns. However, in the context of the company's need to accelerate EPA related capital expenditure in 2021 in order to meet the milestone agreed upon with the EPA, the company might be challenged to finance these capital expenditures entirely from internal sources resulting in the risk of the company at least temporarily incurring additional indebtedness in 2021, which in combination with continued depressed EBITDA generation as result of a slower than currently anticipated recovery would challenge the company's ability to reduce leverage towards 3x in 2021 , a level deemed to be commensurate with the Ba2 rating. LIQUIDITY Orion's liquidity profile is good and a factor supporting the Ba2 rating. As at December 31, 2019 the company reported cash on balance sheet of $63 million (excluding restricted cash) and had access to a EUR250 million senior secured revolving credit facility with ample covenant headroom. Despite the expected decline in EBITDA generation headroom under the net leverage maintenance covenant will remain ample. In addition, the covenant is only tested when the RCF is drawn more than 35%. The company currently has drawn down around $40 million as a precaution. The RCF and cash on balance sheet in combination with expected FFO generation are sufficient to fund capital expenditures and unexpected swings in working capital as well as the moderate scheduled debt amortization under the company's existing term loan. STUCTURAL CONSIDERATIONS The Ba2 rating on the senior secured bank facilities (senior secured term loan facility and revolving credit facility) is in line with the CFR and reflects the dominant position of these debt instruments in Orion's current capital structure. RATIONALE FOR THE NEGATIVE OUTLOOK The negative outlook on Orion's ratings reflects the risk that the company will not be able to restore credit metrics in line with its guidelines for a Ba2 rating, in case of a prolonged downturn or a slower than currently anticipated recovery following the downturn. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Moody's could consider downgrading Orion's ratings if, Moody's adjusted debt/EBITDA would remain above 3x on a sustained basis, RCF/debt would decline to below 15% or if FCF would remain negative over several year and the company would lose headroom under its revolving credit facility financial covenant. An upgrade of the rating would require the company to grow the share of its specialty segment in its product mix and if the company establishes a track record of resilient operating performance, supporting a deleveraging towards 2x RCF/Debt remaining above 20%. An upgrade also would require the company to maintain a strong liquidity profile underpinned by consistently positive FCF generation. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Chemical Industry published in March 2019. ===================== N E T H E R L A N D S ===================== ALCOA NEDERLAND: Moody's Affirms CFR at Ba1, Outlook Stable ----------------------------------------------------------- Moody's Investors Service affirmed Alcoa Nederland Holding B.V.'s Ba1 Corporate Family Rating, its Ba1-PD Probability of Default Rating and its Ba1 senior unsecured note ratings. The notes are guaranteed by Alcoa Corporation. The speculative grade liquidity rating remained unchanged at SGL-1. The outlook remains stable. "The affirmation of ANHBV's Ba1 CFR reflects the expectation that Alcoa's liquidity profile will remain solid and that the company's metrics, while under pressure in 2020 on lower aluminum and alumina prices will return to stronger levels in 2021 as global economies recover from the impact of the coronavirus" said Carol Cowan, Moody's Senior Vice President and lead analyst for Alcoa. Affirmations: Issuer: Alcoa Nederland Holding B.V. Corporate Family Rating, Affirmed Ba1 Probability of Default Rating, Affirmed Ba1-PD Gtd Senior Unsecured Regular Bond/Debenture, Affirmed Ba1 (LGD4) Outlook Actions: Issuer: Alcoa Nederland Holding B.V. Outlook, Remains Stable RATINGS RATIONALE The Ba1 CFR at ANHBV considers its parent's position as a leading producer of bauxite, alumina and aluminum (including cast products), geographical and aluminum product diversity, and operational quality. From a business profile perspective, Alcoa Corp. is well positioned within its products and markets served. Additionally, the company has a good cost production profile, driven by continued refocusing of its refining and smelting system and idling/closure of higher cost facilities. However, the CFR considers the company's exposure to essentially a single metal commodity, as the demand for bauxite and alumina is directly correlated to the demand for aluminum. Additionally, the alumina and aluminum markets exhibit volatility driven by global growth expectations and industrial production levels. Further considerations include industry overcapacity, particularly given the increase in Chinese smelting capacity, which offsets the positive impact of supply curtailments and closures by other producers, supply/demand imbalances, and market sentiment. companies. Prior to the outbreak of the coronavirus, the bauxite, alumina and aluminum markets were expected to be in surplus in 2020, and this surplus is expected to widen. Alcoa's EBITDA of $1.5 billion in 2019 was well below 2018 levels although Moody's believes 2018 aluminum and alumina prices were over inflated due to supply issues for alumina and aluminum as well as the impact of Section 232 tariffs imposed in the US in 2018 and sanctions against UC RUSAL (Rusal). Consequently, Moody's does not view 2018 as a reasonable comparative year. Aluminum prices in 2019 remained relatively range bound due to concerns on trade tensions between the US and China. Additionally, still relatively robust alumina prices and the lag impact of this cost input pressured the aluminum segment with EBITDA generation of around $25 million in 2019. The company was free cash flow generative prior to the payment of minority distributions, which included an element of carry over calculations from the strong performance in 2018. Despite the lower EBITDA in 2019, Alcoa's leverage position, as measured by the debt/EBITDA ratio remained acceptable at 2.3x. Should aluminum prices in 2020 average for the year around $1,390/MT ($0.63) Moody's estimates that leverage, as measured by the debt/ EBITDA ratio, could increase to around 3.2x. Aluminum prices for the first quarter averaged approximately $1,610 ($0.73.lb) with a more precipitous fall in late March/April to date). The stable outlook incorporates Alcoa's solid liquidity position at year-end 2019 and anticipates that the company will remain focused on its cash generation and levers it has to minimize cash burn. Additionally, the company evidenced moderate leverage relative to its CFR of 2.3x providing some cushion for deterioration in performance given the challenging market conditions and weakening in aluminum and alumina prices due to the coronavirus outbreak, the duration of which is uncertain. While weaker alumina prices will impact performance in this segment, such will benefit performance in the smelting segment. Additionally, lower fuel input costs, electricity costs and benefits from deprecating currencies in countries where Alcoa operates will provide some mitigation. The SGL-1 speculative grade liquidity rating acknowledges the company's solid liquidity as evidenced by its cash position of $879 million at December 31, 2019 and its $1.5 billion secured revolving credit facility (RCF -unrated) at Alcoa Nederland, guaranteed by Alcoa and maturing in November 2023. The facility is unused except for around $17 million in letters of credit. The RCF is secured by substantially all assets. The RCF contains two financial covenants; Consolidated EBITDA/interest of no less than 5x and consolidated debt/EBITDA of no more than 2.5x (Moody's interest coverage and leverage ratios include its standard adjustments for pensions and operating leases). Additionally, the company has no material maturities until the revolver expires in November 2023. Alcoa's subsidiary Alcoa Norway ANS has a NOK 1.3 billion ($147MM at year-end December 31, 2019) facility maturing October 2, 2020, guaranteed by Alcoa, and through another subsidiary there is a $120 million 3-year securitization program, also guaranteed by Alcoa. Alcoa is expected to have good liquidity to accommodate the current difficult operating environment including maintenance capital expenditures of approximately $290 million. Moody's would expect the company to evaluate and reduce discretionary capital expenditures in the current tightened operating environment. The Ba1 senior unsecured debt rating, at the same level as the CFR, reflects the preponderance of unsecured debt in the capital structure, given the level of unsecured notes and unfunded pension obligations relative to the $1.5 billion secured revolving credit facility. The rapid and widening spread of the coronavirus outbreak, deteriorating global economic outlook, falling oil prices, and asset price declines are creating a severe and extensive credit shock across many sectors, regions and markets. The combined credit effects of these developments are unprecedented. The aluminum sector is a sector that will be affected by the shock given the sensitivity of its customers to market demand, such as automotive, construction, general manufacturing and market sentiment as to global economic contraction expectations. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. As a primary aluminum producer, Alcoa faces numerous environmental risks across the totality of its operations with regulations varying significantly from country to country and region to region. Environmental considerations are not a factor in Alcoa's ratings. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Given the volatility in the commodities in which Alcoa participates and potential for wide swings in performance, further upward rating movement could be limited. Additionally, upward rating movement to investment grade is constrained by the secured nature of the bank revolving credit facility. However, ratings could be upgraded should Alcoa be able to sustain an EBIT margin of at least 17.5%, EBIT/interest of at least 7x, and debt/EBITDA of no more than 2x. Continued discipline in its capital allocation strategy and financial policy would also be a consideration. The ratings could be downgraded should EBIT/interest be sustained below 4.5x, EBIT margins be less than 8%, leverage exceed and be sustained above 2.75x. as the impact of the current difficult economic conditions ease into 2021. Greater negative free cash flow than expected and liquidity contraction would also be a downgrade consideration. The principal methodology used in these ratings was Mining published in September 2018. Alcoa Nederland is a wholly owned subsidiary of Alcoa Corporation. Alcoa holds the bauxite, alumina, aluminum, cast products and energy business as well as the rolling operations in Warrick, Indiana. Alcoa's bauxite and alumina business is conducted through its 60% (Alcoa)/40% (Alumina Ltd) joint venture. Revenues for the twelve months ended December 31, 2019 were $10.4 billion. SAMVARDHANA MOTHERSON: Fitch Cuts LT IDR to BB, Outlook Negative ---------------------------------------------------------------- Fitch Ratings has downgraded Netherlands-based Samvardhana Motherson Automotive Systems Group BV's Long-Term Issuer Default Rating to 'BB' from 'BB+'. The Outlook is Negative. The downgrade is driven by the significant impact the coronavirus pandemic will have on SMRP BV's earnings and cash flow in the financial year ending March 2021 (FY21), which will hinder or delay the improvement in leverage assumed in its December 2019 review. The Negative Outlook reflects the risk of further deterioration in SMRP BV's credit profile if COVID-19 spread is not controlled or is prolonged, leading to a more pronounced and extended impact on economic growth and new auto sales globally. Fitch has also downgraded SMRP BV's senior secured bonds to 'BB+' from 'BBB-'. The bonds are rated one notch higher than the company's IDR as Fitch believes the recovery prospects are superior. The bonds are secured over assets in key SMRP BV group subsidiaries, which will be shared equally with bank debt. The ratings reflect SMRP BV's strong linkages with its shareholders, Motherson Sumi Systems Limited and Samvardhana Motherson International Limited, given the aligned economic interests. Fitch rates SMRP BV based on SMIL's consolidated financial profile. KEY RATING DRIVERS Pandemic Affects Operations, Profitability: MSSL's operations have been affected by coronavirus mitigation measures globally, including production suspensions by large automakers. MSSL has significant exposure to Europe and the US, the two most affected regions, which together made up about 60% of FY19 consolidated revenue. Fitch sharply cut its global economic growth forecasts and expects a deep global recession in 2020. This will significantly reduce new auto sales and affect MSSL's profitability and cash flows. Fitch expects auto sales volumes to recover in 2021, but they could be lower than in 2019. Fitch estimates that lower revenues in FY21 and the negative impact on operating leverage will result in a nearly 50% drop in EBITDA in FY21 compared with its previous estimates (excluding domestic wiring harness business), despite flexibility in employee costs. Fitch believes MSSL's intention to be prudent in dividend payments and discretionary capex will help conserve cash, but a prolonged pandemic could lead to severe working-capital mismatch and impair MSSL's liquidity. Sustained High Leverage: In its December 2019 rating review, Fitch had expected MSSL's leverage to remain above the negative rating sensitivity during FY20, but normalize below the threshold by FY21. However, Fitch now forecasts the pandemic will cause MSSL's leverage, measured as consolidated net debt to EBITDA, to rise sharply to 5.0x in FY21 and remain high for its previous rating at 2.6x in FY22. Fitch expects that MSSL's leverage will normalize below its current negative sensitivity of 3.0x in FY22, but its Negative Outlook reflects risks to Fitch's estimates for MSSL's operating performance, cash flows and liquidity due to uncertainties about the impact of the pandemic on global auto sales. Linkages to Samvardhana Motherson Group: Fitch analyses MSSL, its largest shareholder, SMIL, and their 51:49 joint venture, SMRP BV, as a single economic entity because SMIL effectively controls more than half of the economic interests in MSSL group and because their senior management overlap. Fitch assesses the operating, financial and strategic linkages between SMRP BV and SMIL as strong and has based SMRP BV's IDR on SMIL's consolidated financial profile, which has been adjusted to include 100% of MSSL and SMRP BV, but excludes the share of dividends paid to minority shareholders at MSSL. MSSL aims to demerge its domestic wiring-harness business into a new legal entity as part of its corporate restructuring plan announced in January 2020. Fitch will exclude this business upon its demerger, but will continue to view the resultant MSSL, SMIL and SMRP BV as a single economic entity due to management control and overlap and rate SMRP BV based on SMIL's consolidated financial profile. Secured Notes Rated Above IDR: SMRP BV's secured notes are rated one notch above its IDR as they are secured against assets in key subsidiaries in the SMRP BV group. The rating uplift applied to the EUR300 million secured notes due 2024 may be removed if the amount of SMRP BV's secured debt, excluding debt with a fall-away security structure, falls below EUR110 million and triggers the release of security over the assets under the fall-away security structure, as defined in the bond documentation for the EUR300 million 2024 notes. This may occur if SMRP BV chooses to call the USD400 million secured notes due 2021, which are callable from June 2019, and obtains approval of existing bank lenders to amend the inter-creditor agreement for the release of security. DERIVATION SUMMARY MSSL's scale, leading market position in its product categories and business diversification positions it well against peers, such as Metalsa, S.A. de C.V. (BBB-/Stable) and Dana Incorporated (BB+/Stable). MSSL has larger scale and greater business diversification in terms of customers, geographies and products than Metalsa. However, Metalsa benefits from its position as an important supplier of chassis structures to pickup truck platforms, which Fitch expects will continue to remain as large contributors to the cash flow of Metalsa's customers. This together with the strength of Metalsa's financial profile, which Fitch expects to remain commensurate for its rating during the crisis, justifies SMRP BV being rated two notches lower. SMRP BV and Dana have similar scale and business diversification, and prior to the pandemic, both had broadly similar leverage profiles after considering Dana's acquisition of Oerlikon Group's drive systems business and normalization of profitability at SMRP BV's new plants from FY21. Nonetheless, the COVID-19 pandemic will result in a sharp deterioration in SMRP BV's leverage. As a result, SMRP BV is rated one notch lower than Dana. GKN Holdings Limited (BB+/Stable) has greater diversification and stronger technological leadership than MSSL. SMRP BV's one notch lower rating also reflects deterioration in its leverage due to the COVID-19 outbreak. KEY ASSUMPTIONS Fitch's Key Assumptions Within its Rating Case for the Issuer - Revenue (excluding MSSL's domestic wiring harness) to decline by 16% in FY21, with an average of one month of production shutdowns in 1Q FY21, followed by gradual ramp-up to around 75% of normal production by end of 2Q and some recoupment of lost volumes in 2H FY21. Revenue to rebound by 18% in FY22 as global auto volumes recover following weakness in FY21. - EBITDA margin to decline to 4.6% in FY21 (FY20 estimate: 6.9%) due to weaker sales volumes and negative operating leverage, which will be partly offset by cost cuts. Recovering auto volumes and stabilization of production at new plants will drive improvement in the EBITDA margin to 8.7% by FY22. - Capex of INR20 billion in FY21, reflecting a degree of flexibility following completion of new plants and fewer launches of new models by automakers amid subdued industry conditions. Capex as a percentage of sales to increase to 4.8% in FY22 (FY19: 4.3%). - MSSL's dividend payout to remain below 40% of net income in FY22 and no cash dividends in FY21. RATING SENSITIVITIES Factors That Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: - Deterioration in MSSL's consolidated liquidity profile due to a prolonged impact of COVID-19 pandemic - MSSL's consolidated net leverage, defined as total net debt/operating EBITDA, after Fitch's adjustment for minorities and factoring, remaining above 3.0x for a sustained period Factors That Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: - Fitch may consider revising the Outlook to Stable, if global economic conditions recover, leading to reduced risk of underperformance in MSSL's operations relative to Fitch's expectations. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Non-Financial Corporate issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. LIQUIDITY AND DEBT STRUCTURE Adequate Liquidity; Risks from Pandemic: Manageable level of scheduled long-term debt maturities and sufficient cash and undrawn revolving credit facilities at end-March 2020 will help MSSL to manage its liquidity, particularly over the next few months when the pandemic's impact on profitability and working-capital related cash flow mismatches will be worst. MSSL has less than INR0.5 billion of long-term debt maturing in 1H FY21 and INR5 billion in FY21. MSSL also had short-term debt of around INR29.7 billion at end-March 2020, the majority of which is drawn under committed long-term credit facilities. MSSL had INR46.9 billion of cash (before Fitch's adjustment for seasonality) at end-March 2020 and INR39.1 billion of undrawn committed bank facilities maturing beyond FY21, including INR36.7 billion in SMRP BV. In its view, this should be sufficient to cover a moderate level of working-capital mismatch over 1Q FY20 as production disruption and potential lengthening of receivables from customers reduce inflows while payments to vendors for past supplies continue. MSSL also intends to take a prudent approach to dividends and discretionary capex to conserve cash. Nonetheless, a prolonged pandemic will severely impair MSSL's liquidity as its operations will be affected and access to bank facilities may be restricted, potentially due to breach of covenants. SUMMARY OF FINANCIAL ADJUSTMENTS Fitch has treated INR12.7 billion in FY19 (equivalent to 2% of sales) as restricted cash for intra-year working capital volatility. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). =========== R U S S I A =========== ASIAN-PACIFIC BANK: Fitch Affirms 'B' LT IDR, Alters Outlook to Neg ------------------------------------------------------------------- Fitch Ratings has revised PJSC Asian-Pacific Bank's Outlook to Negative from Stable while affirming the bank's Long-Term Issuer Default Ratings at 'B'. The Outlook change reflects pressure on the bank's financial profile from the coronavirus outbreak, lower oil prices and the resulting economic downturn. The rating action follows the revision of Outlooks to Negative on 15 other Russian banks whose IDRs are driven by their Viability Rating. KEY RATING DRIVERS The rating action reflects significant risks to Russian banks' credit profiles as a result of the coronavirus outbreak and its economic and financial-market implications. Fitch recently revised the sector outlook for Russian banks to Negative. Fitch's updated baseline is for Russian GDP to contract by 1.4% this year (a negative 2.4% swing from its March forecast), before returning to 2.2% growth in 2021. However, the recently announced extension of the 'non-working' regime in Russia to the end of April was not factored into this forecast, and will further constrain economic activity. The IDRs of APB are driven by the bank's intrinsic creditworthiness, which is reflected in its VR of 'b'. Unless noted below, the key rating drivers for APB are those outlined in its Rating Action Commentary published on 25 October 2019 ('Fitch Upgrades Asian-Pacific Bank to 'B'; Outlook Stable'). Although APB is 99.9%-owned by the Central Bank of Russia following its rehabilitation in 2018, Fitch does not factor state support into the bank's IDRs due to the CBR's plan to sell the bank in the short- to medium- term. At the same time, Fitch understands from management that sale plans may be affected by the ongoing market uncertainty as a result of the pandemic and some forms of support or forbearance are possible while the bank is controlled by the CBR. Fitch has not downgraded or placed APB on Rating Watch Negative because the bank's business model and financial metrics have recently stabilized. In Fitch's view, the bank's ratings could probably tolerate a short-lived, sharp economic contraction in 2Q20 if this is followed by stabilization in 2H20. However, an extended period of suppressed economic activity would likely result in rating downgrade. Weaker asset quality will be the main source of pressure on the bank's credit profile and is the key driver of the Outlook change. Fitch expects increases in stage 3 and stage 2 exposures in corporate lending as borrowers' operating income and debt repayment capacity deteriorates due to the drop-off in economic activity. The quality of retail loans (almost 60% of the bank's portfolio and 30% of assets at end-3Q19) will deteriorate due to lower household incomes and job losses. APB's profitability will be under pressure from higher impairment charges, potential margin pressure (as deposits reprice upwards) and weaker fee and commission generation (due to lower economic activity). However, healthy pre-impairment profit (9% of net loans in 9M19) should provide significant capacity to absorb a reduction in revenues and higher risk costs. Capitalization is modest in light of APB's vulnerable asset quality and moderate performance with an estimated Fitch Core Capital (FCC)-to-regulatory risk-weighted assets (RWA) of 13% at end-9M19. The regulatory Tier 1 ratio of 9.4% at end-2019 showed moderate headroom above the regulatory minimum requirement of 8.25% including buffers. APB's funding and liquidity profile remains a relative rating strength as the bank is mostly funded by granular customer deposits, which have been generally stable to date, and APB maintains a reasonable liquidity cushion. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The bank's ratings could be downgraded in case of marked deterioration in financial metrics, in particular asset quality, profitability and capitalization. The ratings could also be downgraded if the economic contraction caused by the coronavirus outbreak turns out to be significantly sharper or more prolonged than currently anticipated. Factors that could, individually or collectively, lead to positive rating action/upgrade: The Outlooks could be revised to Stable, if the economic downturn does not result in significant erosion of financial metrics, and the Russian economy stabilizes after a short-lived contraction. If the CBR changes its plans to sell the bank and reconsiders APB's role under its ownership, Fitch may factor state support into APB's ratings, which would be credit-positive. The sale of APB to an institution rated higher than APB could also result in an upgrade. BEST/WORST CASE RATING SCENARIO Ratings of financial institution issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). KRASNOYARSK REGION: Fitch Affirms LT IDR at 'BB+', Outlook Stable ----------------------------------------------------------------- Fitch Ratings has affirmed the Russian Krasnoyarsk Region's Long-Term Foreign- and Local-Currency Issuer Default Ratings at 'BB+' with a Stable Outlook and Short-Term Foreign-Currency IDR at 'B'. The region's senior debt long-term rating has been affirmed at 'BB+'. The affirmation reflects Fitch's expectations that the region will be resilient to downside shocks and will sustain debt sustainability ratios in line with its ratings. KEY RATING DRIVERS Risk Profile: 'Low Midrange' Fitch has re-assessed Krasnoyarsk's risk profile to 'Low Midrange' from 'Weaker', following the revision of the region's revenue robustness attribute to 'Midrange' from 'Weaker'. Revenue Robustness: 'Midrange' Revenue robustness has been reassessed to 'Midrange' from 'Weaker' based on the region's stronger than Russian average economic profile, which is diversified across sectors and companies. Krasnoyarsk's economic fabric, which is represented by metallurgy (both non-ferrous and ferrous), oil extraction, hydro-energy, machinery etc., generates sound tax base. Krasnoyarsk's GRP CAGR for 2013-2018 exceeded the Russian average, which meant increasing stability of the region's revenue proceeds. Taxes accounted for almost 90% of operating revenue in 2019, dominated by corporate income tax. Revenue Adjustability: 'Weaker' Krasnoyarsk's ability to generate additional revenue in response to possible economic downturns is assessed as limited. The federal government in Russia holds significant tax-setting authority, which limits local and regional governments' fiscal autonomy and revenue adjustability. The regional governments have rate-setting power only over three regional taxes: corporate property tax, transport tax and gambling tax, albeit with limits set in the National Tax Code. The proportion of these taxes was less than 15% of Krasnoyarsk's total revenue in 2019. Expenditure Sustainability: 'Midrange' Like other national peers, Krasnoyarsk has responsibilities in education, healthcare, some types of social benefits, public transportation and road construction. The education, healthcare and some smaller sectors, which are of counter- or non-cyclical nature, accounted for half of total expenditure in 2019. The control over expenditure is prudent, which is evidenced from spending growth closely following that of revenue in 2016-2018 after the termination of an active investment phase. The region managed to reach surplus budget in 2019 at high 13% of total revenue after a period of deficits caused by implementation of the large infrastructure projects. Expenditure Adjustability: 'Weaker' The vast majority of spending responsibilities are mandatory for Russian subnationals, which leads to inflexible items dominating the expenditure structure. Consequently, the bulk of expenditure could be difficult to cut in response to potential revenue shrinking, although the region retains some flexibility to cut capex, particularly taking into account that Krasnoyarsk just finished a large investment cycle connected with preparation for Universiade, which the region hosted in March 2019. However, the ability to curb expenditure is constrained by overall high demand for infrastructure development. Liabilities and Liquidity Robustness: 'Midrange' The assessment is supported by a national budgetary framework with strict rules on regional debt management. Russian LRGs are subject to debt stock limits and new borrowing restrictions as well as limits on annual interest payments. The use of derivatives is prohibited for LRGs in Russia. Limitations on external debt are very strict and in practice no Russian region borrows externally. Krasnoyarsk follows a prudent debt policy, as demonstrated by its moderate debt levels. Liabilities and Liquidity Flexibility: 'Midrange' The region's liquidity is supported by federal treasury loans covering intra-year cash gaps. Fitch assesses Krasnoyarsk's access to domestic capital market as reasonable, allowing the region to borrow in case of need, as evidenced by its track record of domestic bond issues. As the counterparty risk associated with domestic liquidity providers is rated 'BBB', Fitch assesses this risk factor as 'Midrange'. Debt sustainability: 'a' category The assessment is derived from a combination of a sound payback ratio, which according to Fitch's rating case, will remain in line with a 'aa' assessment, low fiscal debt burden, which will approach 50% only in the final year of rating case, and a weak actual debt service coverage ratio at the 'b' level. The payback ratio, which is the primary metric of debt sustainability for type B LRGs, was strong at 1.0x in 2019. Fitch's rating case forecasts it could deteriorate to 5x-7x over the next five years, which corresponds to a 'aa' assessment. However, the weak ADSCR, which remains below 1x in 2021-2024 in the rating case, is the reason for overriding the total assessment of debt sustainability to 'a' category. Krasnoyarsk's net adjusted debt decreased to RUB63.6 billion as of end-2019 from almost RUB100 billion one year earlier. Debt structure is dominated by domestic bonds, which accounted for 73% of the total in the end-2019. The residual part of debt is represented by gradually amortising intergovernmental loans. The region's weighted average life of debt is relatively short at around 3.5 years, which creates pressure on the ADSCR. DERIVATION SUMMARY Krasnoyarsk's SCP is assessed at 'bb+', reflecting a combination of a 'Low Midrange' risk profile and debt sustainability metrics assessed in the 'a' category under Fitch's rating case scenario. The SCP, positioned at 'bb+', also reflects the peer comparison. As the region is not subject to extraordinary support and has no asymmetric risk, the IDRs are in line with the SCP at 'BB+'. KEY ASSUMPTIONS Qualitative Assumptions and assessments: Risk Profile: Low Midrange Revenue Robustness: Midrange Revenue Adjustability: Weaker Expenditure Sustainability: Midrange Expenditure Adjustability: Weaker Liabilities and Liquidity Robustness: Midrange Liabilities and Liquidity Flexibility: Midrange Debt sustainability: 'a' category Support: N/A Asymmetric Risk: N/A Rating Cap: N/A Quantitative assumptions - issuer specific Fitch's rating case is a "through-the-cycle" scenario, which incorporates a combination of revenue, cost and financial risk stresses. It is based on 2015-2019 figures and 2020-2024 projected ratios. The key assumptions for the scenario include: - Tax revenue growth at 1.9% CAGR in 2020-2024 - Operating expenditure growth at 5.0 % CAGR in 2020-2024 Fitch's rating case envisages the following stress compared with the base case: - Additional cumulative stress on CIT by 9.1% leading to operating revenue stress by 3.7% in 2020-2024 - Additional cumulative stress on operating expenditure by 2.4% in 2020-2024 Figures as per Fitch's sovereign forecast for 2020 and 2021, respectively: - Real GDP growth (%): -1.4, 2.2 - Consumer prices (end-year, %): 4.7, 4.0 - General government balance (% of GDP): 0.7, 0.3 - General government debt (% of GDP): 15.7, 16.6 - Current account balance plus net FDI (% of GDP): 3.1, 2.3 - Net external debt (% of GDP): -36.6, -37.1 - IMF Development Classification: EM - CDS Market Implied Rating: n/a RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The deterioration of the region's debt payback towards 9x on a sustained basis coupled with weak ADSCR below 1.0x according to Fitch's rating case could lead to a downgrade. Factors that could, individually or collectively, lead to positive rating action/upgrade: A debt payback below 5x or improvement of ADSCR to above 1.2x on a sustained basis could lead to a positive rating action. BEST/WORST CASE RATING SCENARIO Ratings of Public Finance issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of three notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). MARI EL REPUBLIC: Fitch Affirms 'BB' LT IDR, Alters Outlook to Neg. ------------------------------------------------------------------- Fitch Ratings has revised the Outlook on the Russian Mari El Republic's Long-Term Foreign- and Local-Currency Issuer Default Ratings to Negative from Stable and affirmed the IDRs at 'BB'. The revision of the Outlook reflects Fitch's expectation that the economic impact of the coronavirus pandemic puts pressure on Mari El's debt sustainability metrics. The deterioration could lead to a reassessment of the republic's Standalone Credit Profile. While Russian local and regional governments' most recently available data may not have indicated performance impairment, material changes in revenue and cost profiles are occurring across the sector and likely to worsen in the coming months as economic activity suffers and government restrictions are maintained or broadened. Fitch's ratings are forward-looking in nature, and Fitch will monitor developments in the sector for their severity and duration, and incorporate revised base- and rating-case qualitative and quantitative inputs based on performance expectations and assessment of key risks. KEY RATING DRIVERS The rating action reflects the following key rating drivers and their relative weights HIGH Debt Sustainability Assessment: 'aa' According to Fitch's rating case, the payback ratio, which is the primary metric of the Debt Sustainability assessment for Type B LRGs, will approach 9x over the five-year projected period, still in line with the current 'aa' assessment, but if this deterioration is sustained, Fitch will likely lower the issuer's debt sustainability assessment from its current level, which could lead to negative rating action. For the secondary metrics, Fitch's rating case envisages a weak actual debt service coverage ratio (ADSCR) at below 1x, which is mitigated by moderate fiscal debt burden approaching 40% by 2024. Fitch expects a negative effect from the pandemic on Mari El's revenue, particularly on corporate income tax, an important revenue source for the republic. CIT accounted for 30% of its tax revenue in 2019 and is the most volatile tax revenue item during a downturn. Fitch has already factored CIT's historical volatility into its rating case, and applies a further 2pp negative stress to CIT proceeds for 2020. Additionally, Fitch's rating case expects an acceleration in operating expenditure growth, driven by healthcare and social spending. Fitch will evaluate whether the additional one-off stress is sufficient or whether it will have medium-term consequences. LOW Risk Profile: 'Weaker' Fitch has assessed Mari El Republic's risk profile at 'Weaker'. This reflects a 'Midrange' assessment for key risk factors of expenditure sustainability; and liabilities and liquidity robustness and flexibility. Revenue robustness and adjustability and expenditure adjustability are assessed as 'Weaker', which has led to the overall 'Weaker' risk profile. Revenue Robustness: 'Weaker' The republic's tax base is moderate in size and has limited prospects for growth, in Fitch's view, due to wealth indicators being historically weaker than that of the average Russian region. Taxes represent Mari El's important revenue source, comprising about 50% of total revenue in 2019, most of which is exposed to economic fluctuations. Another important revenue source is transfers from the federal budget (47%). The latter is almost equally split between formula-based general-purpose transfers and other intergovernmental grants, which are exposed to some volatility. In general, intergovernmental grants do not sufficiently enhance the republic's fiscal capacity to cover expenditure, which is evident from the track record of high deficits in 2012-2015. Revenue Adjustability: 'Weaker' As with other Russian LRGs, Mari El's revenue adjustability is assessed as 'Weaker'. This is because the federal government holds significant tax-setting authority, limiting Russian LRGs' fiscal autonomy and revenue adjustability. Regional governments have limited rate-setting power over several property taxes. Russian regions formally have the rate-setting power over those taxes, although the limits are set in the National Tax Code. Expenditure Sustainability: 'Midrange' The republic's control of expenditure is prudent, as evidenced by the track record of the spending dynamic being close to that of revenue during the last three years, and Fitch expects this policy to be continued in the medium term. Like other Russian regions Mari El has responsibilities in education, healthcare, some types of social benefits, public transportation and road construction. In line with other Russian regions, Mari El is not required to adopt anti-cyclical measures, which would inflate expenditure related to social benefits in a downturn. At the same time, the republic's budgetary policy is dependent on the decisions of the federal authorities, which could negatively affect the dynamic of expenditure. Expenditure Adjustability: 'Weaker' Like most Russian regions, Fitch assesses Mari El's expenditure adjustability as low. The vast majority of spending responsibilities are mandatory for Russian subnationals, which leads to inflexible items dominating the expenditure structure. Consequently, the bulk of expenditure could be difficult to cut in response to potential revenue shrinking. Fitch notes that the republic retains limited flexibility to cut or postpone capital expenditure in case of stress, as capex on average composes about 18% of total expenditure in 2015-2019. The ability to cut expenditure is also constrained by the low level of per capita expenditure compared with national and international peers. Liabilities and Liquidity Robustness: 'Midrange' Under national regulations Russian LRGs are subject to debt stock and new borrowing restrictions as well as limits on annual interest payments. Derivatives are prohibited and floating rates are very rare for LRGs in Russia. Limits on external debt are strict and in practice no Russian region borrows externally. Liabilities and Liquidity Flexibility: 'Midrange' Mari El's liquidity flexibility is supported by the liquidity instruments in the form of a federal treasury line to cover intra-year cash gaps. This treasury facility amounted to 1/12th of annual budgeted revenue (excluding intergovernmental transfers) and can be rolled over during the financial year. The counterparty risk associated with the liquidity providers is 'BBB', which limits the assessment of this risk factor to Midrange. DERIVATION SUMMARY Under the Rating Criteria for International Local and Regional Governments, like other Russian LRGs Fitch classifies Mari El as a Type B LRG, which are required to cover debt service from cash flow on an annual basis. The assessment of key risk factors with three factors assessed as 'Weaker' and three factors assessed as 'Midrange' resulted in an overall assessment of the region's risk profile as 'Weaker' according to the risk profile guidance table in the criteria. Mari El's SCP of 'bb' reflects a combination of a 'Weaker' Risk Profile and a 'aa' assessment of debt sustainability. The SCP also factors in appropriate rated peers positioning. Fitch does not apply any asymmetric risk or extraordinary support from upper-tier government, which results in the 'BB' IDR. KEY ASSUMPTIONS Qualitative assumptions and assessments and their respective change since the last review October 11, 2019 and weight in the rating decision: Risk Profile: Weaker, unchanged with Low weight Revenue Robustness: Weaker, unchanged with Low weight Revenue Adjustability: Weaker, unchanged with Low weight Expenditure Sustainability: Midrange, unchanged with Low weight Expenditure Adjustability: Weaker, unchanged with Low weight Liabilities and Liquidity Robustness: Midrange, unchanged with Low weight Liabilities and Liquidity Flexibility: Midrange, unchanged with Low weight Debt sustainability: 'aa' category, weakening with High weight Extraordinary Support: n/a Asymmetric Risk: n/a Sovereign Cap or Floor: n/a Quantitative assumptions - issuer-specific Fitch's rating case is a "through-the-cycle" scenario, which incorporates a combination of revenue, cost and financial risk stresses. It is based on 2015-2019 figures and 2020-2024 projected ratios. The key assumptions for the scenario include: - Operating revenue growth at 5.8% CAGR in 2020-2024 - Operating expenditure growth at 6.0% CAGR in 2020-2024 Fitch's rating case envisages the following stress compared with the base case: - Additional cumulative stress on CIT by -10.5% leading to operating revenue stress by -1.3% in 2020-2024 - Additional cumulative stress on operating expenditure by 2.4% in 2020-2024 Figures as per Fitch's sovereign forecast for 2020 and 2021, respectively: - Real GDP growth (%): -1,4, 2.2 - Consumer prices (end-year, %): 4.7, 4.0 - General government balance (% of GDP): 0.7, 0.3 - General government debt (% of GDP): 15.7, 16.6 - Current account balance plus net FDI (% of GDP): 3.1, 2.3 - Net external debt (% of GDP): -36.6, -37.1 - IMF Development Classification: EM - CDS Market Implied Rating: n/a RATING SENSITIVITIES Factors That Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: Mari El's debt payback deterioration toward 9x on a sustained basis accompanied by weak ADSCR at below 1x according to Fitch's rating case. Factors That Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: The Outlook would be revised back to Stable if the republic demonstrated better than expected resilience to stress due to, but not exclusively, additional support from the federal budget or expenditure adjustment, and managed to keep payback sustainably below 7x during the rating case. COMMITTEE MINUTE SUMMARY Committee date: April 7, 2020 There was an appropriate quorum at the committee and the members confirmed that they were free from recusal. It was agreed that the data was sufficiently robust relative to its materiality. During the committee no material issues were raised that were not in the original committee package. The main rating factors under the relevant criteria were discussed by the committee members. The rating decision as discussed in this rating action commentary reflects the committee discussion. BEST/WORST CASE RATING SCENARIO Ratings of Public Finance issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of three notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). STAVROPOL REGION: Fitch Affirms BB+ LT IDR, Alters Outlook to Neg. ------------------------------------------------------------------ Fitch Ratings has revised Russian Stavropol Region's Outlook to Negative from Stable, while affirming the region's Long-Term Foreign- and Local-Currency Issuer Default Ratings at 'BB+'. The revision of Outlook reflects Fitch's expectation that the economic impact, triggered by the coronavirus pandemic, will put pressure on the region's debt sustainability metrics, potentially leading to a reassessment of the region's standalone credit profile. KEY RATING DRIVERS While Russian LRGs' most recently available data may not have indicated performance impairment, material changes in revenue and cost profiles are occurring across the sector and likely to worsen in the coming weeks and months as economic activity suffers and government restrictions are maintained or broadened. Fitch's ratings are forward-looking in nature, and Fitch will monitor developments in the sector for their severity and duration, and incorporate revised base- and rating-case qualitative and quantitative inputs based on performance expectations and assessment of key risks. The rating action reflects the following key rating drivers and their relative weights: HIGH Debt Sustainability Assessment: 'aa' Its new rating case no longer expects the region's debt payback ratio to remain sustainably below 5x, while actual debt service coverage ratio is forecast to deteriorate to below 1x in 2020-2024. If this deterioration intensifies over the next four years under its rating case Fitch will likely revise down its debt sustainability assessment, which could lead to negative rating action. Fitch expects a negative effect from the pandemic on the region's revenue, particularly on corporate income tax - an important revenue source for Stavropol Region. CIT accounted for 30% of the region's tax revenue in 2019 and is the most volatile tax revenue item during downswings. Fitch has already factored CIT's historical volatility in its rating case, and applied a further 2pp negative stress to CIT proceeds for 2020. Fitch will evaluate whether the additional one-off stress on CIT is sufficient or whether negative pressure will increase in the medium-term. Additionally, Fitch's rating case expects an acceleration of operating expenditure growth, driven by healthcare and social spending. These factors will lead to fiscal debt burden growth of 55% in 2024 from a low 25% at end-2019. LOW Risk Profile: 'Weaker' Stavropol Region's 'Weaker' risk profile reflects a combination of three 'Midrange' key factors - expenditure sustainability; and liabilities and liquidity robustness and flexibility - and three other 'Weaker' key factors - revenue robustness and adjustability and expenditure adjustability. Revenue Robustness: 'Weaker' The region's tax base is moderate in size and has limited prospects to grow, in Fitch's view, due to an agrarian-oriented economy with wealth indicators being historically weaker than that of the average Russian region. Taxes represent Stavropol's main revenue source at about 58% of total revenue in 2019, followed by transfers from the federal budget (41%). The federal transfers do not enhance the region's fiscal capacity sufficiently to finance mandated expenditures, which is evident from the region's large deficits in 2014-2016. Revenue Adjustability: 'Weaker' As with other Russian LRGs, region's revenue adjustability is assessed as 'Weaker'. This is because the federal government holds significant tax-setting authority, limiting Russian LRGs' fiscal autonomy and revenue adjustability. Regional governments have limited rate-setting power over several property taxes but rates are constrained by ceilings embedded in national tax regulation. Expenditure Sustainability: 'Midrange' The region's control over expenditure is prudent, which is evident from spending growth tracking closely that of revenue. Similar to other Russian regions Stavropol is vested with responsibilities in education, healthcare, some types of social benefits, public transportation and road construction. Education and healthcare spending, which are counter-cyclical in nature, accounted for 29% of regional expenditure in 2019. In line with other Russian regions, Stavropol is not required to adopt anti-cyclical measures, which would inflate expenditure related to social benefits in downturns. At the same time, the region's budgetary policy is dependent on the decisions of the federal authorities, which could negatively affect the dynamic of expenditure. Expenditure Adjustability: 'Weaker' As for most of Russian regions, Fitch assesses Stavropol's expenditure adjustability as low. Spending responsibilities mandated to Russian sub-nationals dominate their expenditure structure and are inflexible, which could be difficult to cut in response to shrinking revenue. The region retains some flexibility to cut or postpone capex in case of stress (averaged 22.8% of total spending over the last five years) but the ability is constrained by currently low per capita investment compared with international peers. Liabilities and Liquidity Robustness: 'Midrange' Under national regulations Russian LRGs are subject to debt stock and new borrowing restrictions as well as limits on annual interest payments. Derivatives are prohibited for LRGs and floating rates are used very rarely in Russia. Limits on external debt are strict and in practice no Russian region borrows externally. Stavropol Region follows a prudent debt policy that is evident in its moderate debt levels, which have been declining over the last two years. Debt structure is well-balanced between market borrowings (bank loans and bonds) and low-cost loans from the federal budget. The region has low contingent liabilities in the form of guarantees and is not exposed to material off-balance sheet risks. Liabilities and Liquidity Flexibility: 'Midrange' National budgetary regulation supports Russian regions' liquidity flexibility via the provision of emergency liquidity from upper-tier governments in the form of s treasury line to cover intra-year cash gaps. Stavropol follows conservative liquidity management practice and maintains adequate cash balances as well as committed credit lines with state-owned banks. Counterparty risk associated with the liquidity providers is assessed at 'BBB' category, which limits the assessment of this risk factor at 'Midrange'. DERIVATION SUMMARY Under the Rating Criteria for International LRGs, Fitch classifies Stavropol like other Russian LRGs as a Type B LRG, which are required to cover debt service from cash flow on an annual basis. The combination of three 'Weaker' key factors with three 'Midrange' key factors resulted in overall assessment of the region's risk profile as Weaker according to the risk profile guidance in its criteria. The 'Weaker' risk profile, together with a 'aa' debt sustainability, leads to a SCP of 'bb+'. The SCP also factors in peer comparison. Fitch does not apply any asymmetric risk or extraordinary support from upper-tier governments, which results in the 'BB+' IDR being equal to the SCP. KEY ASSUMPTIONS Qualitative assumptions and assessments and their respective change since the last review October 11, 2019 and weight in the rating decision: Risk Profile: Weaker, unchanged with Low weight Revenue Robustness: Weaker, unchanged with Low weight Revenue Adjustability: Weaker, unchanged with Low weight Expenditure Sustainability: Midrange, unchanged with Low weight Expenditure Adjustability: Weaker, unchanged with Low weight Liabilities and Liquidity Robustness: Midrange, unchanged with Low weight Liabilities and Liquidity Flexibility: Midrange, unchanged with Low weight Debt sustainability: 'aa' category, weakening with High weight Extraordinary Support: n/a Asymmetric Risk: n/a Sovereign Cap or Floor: n/a Quantitative assumptions - issuer-specific Fitch's rating case is a "through-the-cycle" scenario, which incorporates a combination of revenue, cost and financial risk stresses. It is based on 2015-2019 figures and 2020-2024 projected ratios. The key assumptions for the base case scenario include: - Operating revenue growth at 5.4% CAGR in 2020-2024 - Operating expenditure growth at 7% CAGR in 2020-2024 Fitch's rating case envisages the following stress compared with the base case: - Additional cumulative stress on CIT by -13.1% leading to operating revenue stress by -2.5% in 2020-2024 - Additional cumulative stress on operating expenditure by 2.4% in 2020-2024 Figures as per Fitch's sovereign forecast for 2020 and 2021, respectively: - Real GDP growth (%): -1,4, 2.2 - Consumer prices (end-year, %): 4.7, 4 - General government balance (% of GDP): 0.7, 0.3 - General government debt (% of GDP): 15.7, 16.6 - Current account balance plus net FDI (% of GDP): 3.1, 2.3 - Net external debt (% of GDP): -36.6, -37.1 - IMF Development Classification: EM - CDS Market Implied Rating: n/a RATING SENSITIVITIES Factors that could, individually or collectively, lead to downgrade: The deterioration of the region's debt payback above 5x on a sustained basis accompanied by weak ADSCR at below 1x according to Fitch's rating case. Factors that could, individually or collectively, lead to The Outlook being revised to Stable - Better-than-expected resilience to stress, for example, due to additional support from the federal budget or expenditure flexibility, and debt payback sustainably below 5x under its rating case. COMMITTEE MINUTE SUMMARY Committee date: April 7, 2020 There was an appropriate quorum at the committee and the members confirmed that they were free from recusal. It was agreed that the data was sufficiently robust relative to its materiality. During the committee no material issues were raised that were not in the original committee package. The main rating factors under the relevant criteria were discussed by the committee members. BEST/WORST CASE RATING SCENARIO Ratings of public finance issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of three notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). =============== S L O V E N I A =============== GORENJSKA BANKA: Fitch Affirms 'BB-' LT IDR, Alters Outlook to Neg. ------------------------------------------------------------------- Fitch Ratings has affirmed the Long-Term Issuer Default Rating of Slovenia's Gorenjska Banka d.d., Kranj at 'BB-' and the bank's Viablity Rating at 'bb-'. The Outlook on the Long-Term IDR has been revised to Negative from Stable. The Outlook revision reflects the coronavirus pandemic and the resulting economic disruptions. Affirmation of the ratings reflects no significant changes to the bank's credit profile since the last review in April 2019. Since then, there have been improvements in the reported impaired loans/gross loans ratio and profitability. However, this is balanced by minimal retention of 2019 profits, which limits capital strengthening, the increase of related-party exposures, fall in reserve coverage of impaired loans and increased risk appetite, in its view. The affirmation of Gorenjska Banka's Long-Term IDR also reflects the agency's view that the potential support benefits or contingent risks from its ownership by Serbian AIK Banka (AIK, not rated) are not sufficiently significant to result in a change in Gorenjska Banka's Long-Term IDR. KEY RATING DRIVERS IDRs Gorenjska Banka's IDRs are driven by its standalone financial strength, as expressed by its VR. The rating action Outlook reflects the significant risks to Slovenian banks' credit profiles as a result of the coronavirus outbreak and its economic implications. Fitch recently revised the sector outlook for Slovenian banks to Negative. The coronavirus outbreak will put additional pressure on banks' earnings, asset quality and capitalization. Fitch's updated baseline is for Slovenian GDP to contract by 6.45% this year (a sharp negative 9pp swing from its March forecast), before returning to 5.20% growth in 2021. However, there is significant downside risk to this scenario given the rapidly evolving impact of the pandemic and possible extensions in containment measures. A 12-month loan repayment moratorium introduced by law and available to all customer segments, although with varying conditions to be met before being granted, may defer recognition of asset-quality trends. Fitch expects banks to manage their loan classification procedures in a prudent manner to avoid the risk of a rapid increase in impaired loans when the moratorium ends. However, broad uptake of the moratorium, combined with uncertainty about the timing and pace of the economic recovery, will make it hard to assess borrowers' future repayment capacity. Gorenjska Banka is entering the downturn with modest capital buffers and comfortable liquidity, and without large stocks of unreserved problem loans. In Fitch's view, its financial profile, and therefore ratings, could tolerate a short-lived, sharp economic contraction in 2Q20 if this is followed by stabilization in 2H20. However, an extended period of suppressed economic activity would be more likely to result in a rating downgrade. Gorenjska Banka's ratings do not factor in any potential support from AIK as its assessment is that there are limitations in AIK's own credit profile, given its exposure to Serbia (BB+/Stable), whose operating environment Fitch assesses at 'bb-'). In addition, Gorenjska Banka is large relative to AIK, which could make it difficult for AIK to provide support in case of need. At the same time, Fitch does not expect significant near-term contagion risks from AIK for Gorenjska Banka given AIK's reasonable reported financial metrics, no reliance of the bank on funding from AIK and its view that the Slovenian regulator is sufficiently strong to prevent upstreaming of capital or liquidity from Gorenjska Banka to AIK, which could put significant pressure on Gorenjska Banka's credit profile. ESG FACTORS Gorenjska Banka's direct exposure to AIK increased in 2019 and was equivalent to about 55% of Gorenjska Banka's common equity Tier 1 (CET1) ratio at end-2019. In its view, this represents a shift in risk appetite and weaknesses in Gorenjska Banka's governance structure relative to peers. Although not a key rating driver, in combination with other factors, its governance concerns have a moderate influence on Gorenjska Banka's VR. This is reflected in a score of '4' for Governance Structure under its Environmental Social and Governance relevance scores. Fitch has changed the outlook on its assessment of management and strategy to negative to reflect some governance pressures and heightened execution risk given the current operating environment. VR Fitch assessment of Gorenjska Banka's standalone profile reflects the bank's small size and modest franchise, sizeable loan book concentrations and volatile profitability. The bank's funding profile and liquidity position are rating strengths. Gorenjska Banka's business model is simple and based on traditional banking. Lending is predominantly to corporates and SMEs with 30% exposure to retail mortgage and consumer. Customer deposits provide the bulk of funding. Until recently, its assessment was that Gorenjska Banka's risk appetite was broadly in line with peers' and that underwriting standards were in line with good market practice. However, Fitch believes that the bank's risk appetite is increasing and the outlook for risk appetite is now negative. This is demonstrated by increased related-party lending, higher tolerance for equity market risk, and higher-than-average loan growth and industry concentrations, including to real estate and construction (around 21% of the corporate gross loan book at end-1H19) and auto-related manufacturing. The bank made good progress in resolving its legacy impaired loans portfolio. At end-2019, the bank's impaired loans ratio (defined as Stage 3 loans under IFRS 9) was 4.5% of gross loans (end-2018: 11%). Asset-quality indicators are now broadly in line with rated Slovenian peers. However, sizeable industry and single-obligor concentrations weigh on its assessment of Gorenjska Banka's asset quality. At end-1H19, the top 25 exposures (funded and unfunded) were equivalent of almost 200% of the bank's CET1 capital. The outlook for asset quality is nevertheless negative reflecting likely pressures arising from the weak operating environment. Operating profitability was strong in 2019, but this was heavily distorted by sizeable positive one-off gains and reversals of impairment provisions. Fitch believes such gains will reduce because economic conditions are likely to be less supportive of recoveries. Its outlook for earnings and profitability is revised to negative. Large 2019 profits will not support CET1 capital buffers as profit retention was only minimal. Instead of strengthening CET1 capital buffers the shareholder supported regulatory capital by Tier 2 capital injection of EUR20 million in early 2020. The bank's CET1 ratio of 15.7% at end-2019 is broadly in line with peers. Its assessment is that Gorenjska Banka's capital adequacy is only moderate considering the small size of the bank's CET1 capital and its high single-name and sector concentrations. The outlook for capitalization is negative as Fitch expects further pressure to arise from the coronavirus outbreak. Capital encumbrance by unreserved impaired loans was low at about 13%. Customer deposits are stable and diversified, refinancing risks are low and Gorenjska Banka's liquidity position is solid. Its outlook for the bank's funding and liquidity profile is stable. The share of term deposits at Gorenjska Banka is higher than at peers, which may indicate weaker customer relationships. Deposit concentration is in line with peers and the share of the largest depositor is gradually decreasing. Wholesale funding is about EUR140 million, split equally between the Slovenian development bank and ECB TLTROs maturing in 2021. SUPPORT RATING The Support Rating of '5' reflects Fitch's opinion that support from AIK, while possible, cannot be relied on. This reflects the large size of Gorenjska Banka relative to AIK and its assessment that AIK's credit quality could limit the ability of the parent to provide support. RATING SENSITIVITIES IDRs and VR Factors that could, individually or collectively, lead to negative rating action/downgrade: Gorenjska Banka's ratings will be downgraded if the bank experiences sharp deterioration in asset-quality, capitalization and operating profitability metrics. Substantial increase in risk appetite especially if combined with reduced capitalization or evidence of material governance weakness may also lead to a downgrade Factors that could, individually or collectively, lead to positive rating action/upgrade: The Outlook on the Long-Term IDRs could be revised back to Stable if the impact of the pandemic on the Slovenian economy is short and the recovery swift. Maintaining capital at close to current levels and contained risk appetite would support the ratings being maintained at their current levels in the event of a short-lived downturn. In the event that the bank is able to withstand rating pressure arising from the pandemic, an upgrade would require significant strengthening of the bank's franchise, more clarity around strategic goals and financial targets under the new ownership, and improvement in profitability. SUPPORT RATING Factors that could, individually or collectively, lead to positive rating action/upgrade: An upgrade is unlikely, as it would require material change of Gorenjska Banka's size relative to AIK and material improvement of its assessment of AIK credit quality. BEST/WORST CASE RATING SCENARIO Ratings of Financial Institutions issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS Gorenjska Banka's Support Rating is linked to credit quality of its parent AIK Banka and Gorenjska Banka's relative size to AIK Banka. ESG CONSIDERATIONS Gorenjska Banka has an ESG Relevance Score of '4' for governance structure reflecting concerns about Board independence given the increase of direct and indirect related-party exposures with parent AIK. Its concerns about governance have a moderate influence on the bank's rating. Other ESG issues are credit neutral or have only a minimal credit impact on the entity, either due to their nature or to the way in which they are being managed by the entity. NOVA KREDITNA: Fitch Affirms 'BB+' LT IDR, Alters Outlook to Neg. ----------------------------------------------------------------- Fitch Ratings has affirmed Slovenia's Nova Kreditna Banka Maribor and Abanka d.d. Long-Term Issuer Default Ratings at 'BB+' and revised the Rating Outlooks to Negative from Positive. Fitch has also affirmed Viability Ratings at 'bb+'. The affirmation of the ratings reflects the completion of the acquisition of Abanka by NKBM, and the fact that the financial metrics of the combined entity are broadly in line with or slightly better than its initial estimates. Fitch now assigns common VRs and IDRs to NKBM and Abanka based on their combined financial profile as it believes the two banks' credit profiles cannot be disentangled. NKBM plans to merge with Abanka in 3Q20. Fitch has revised the Outlooks for the two banks to Negative from Positive because Fitch believes the economic fallout from the coronavirus crisis represents a medium-term risk to their ratings. In its view, the medium-term downside risks stemming from this crisis are likely to outweigh the expected benefits of the stronger franchise resulting from the merger and reduction of NPLs achieved over 2019, which had driven the Positive Outlook. Fitch has withdrawn the Support Rating Floor of 'NF' for Abanka, as it is no longer considered by Fitch to be relevant to the agency's coverage. KEY RATING DRIVERS IDRS AND VRS The Outlooks reflect the significant risks to Slovenian banks' credit profiles as a result of the coronavirus outbreak and its economic implications. Fitch recently revised the sector outlook for Slovenian banks to negative. The coronavirus outbreak will put pressure on the banks' earnings, asset quality and capitalization. Fitch's updated baseline is for Slovenian GDP to contract by 6.4% this year (a sharp negative 9pp swing from its March forecast), before returning to 5.2% growth in 2021. However, there is significant downside risk to this scenario given the rapidly evolving impact of the pandemic and possible extensions in containment measures. A 12-month loan repayment moratorium introduced by law and available to all customer segments, although with varying conditions to be met before being granted, may defer recognition of asset quality trends. Fitch expects banks to manage their loan classification procedures in a prudent manner to avoid the risk of a rapid increase in impaired loans when the moratorium ends. However, broad uptake of the moratorium, combined with uncertainty about the timing and pace of the economic recovery, will make it hard to assess borrowers' future repayment capacity. NKBM and Abanka are entering the downturn with reasonable capital buffers and comfortable liquidity, and without large stocks of unreserved problem loans. In Fitch's view, the combined entity's financial profile, and therefore ratings, could probably tolerate a short-lived, sharp economic contraction in 2Q20 if this is followed by stabilization in 2H20. However, an extended period of suppressed economic activity would be more likely to result in a rating downgrade. NKBM's merger with Abanka, if completed, will create the second-largest bank in Slovenia with a market share in assets of around 22% (based on end-2019 data), only marginally smaller than the domestic operations of Slovenia's largest bank Nova Ljubljanska Banka d.d. (NLB, BB+/Negative). The stronger franchise and achievement of critical mass is positive for its assessment of the company profile of the combined entity. Execution risks related to the acquisition and integration process are significant given the size of the two banks, and are amplified by the ongoing social distancing measures in force due to the coronavirus pandemic in Slovenia. Positively, the project has so far been executed with little or no delay compared to original timetable. No consolidated financial statements encompassing the two banks have yet been published as the Abanka acquisition was completed only in early February. However, based on its estimates and information provided by the management, Fitch concludes that the impact on NKBM's consolidated capital, asset quality metrics and liquidity position has been broadly in line with its initial estimates published on 28 June 2019 (Fitch Revises NKBM's and Abanka's Outlooks to Positive; Affirms at 'BB+'). Both banks achieved further reduction in impaired loan ratios in 2019 through disposals, recoveries and write-offs. At end-2019, impaired loan ratios at NKBM and Abanka were 4.3% and 2.1%, respectively, and coverage ratios were a moderate 59% at NKBM and strong at over 100% at Abanka; on a combined basis, Fitch estimates an NPL ratio of 2.6%. The economic fallout from the coronavirus crisis poses a clear threat for asset quality at both banks. Fitch believes recurring pre-impairment profit provides only moderate loss-absorption capacity. Both banks reported strong operating profitability metrics in 2019, as in previous years, but they have been distorted by large one-off gains and net releases of credit impairment provisions. Fitch would expect profitability to weaken in 2020 even without the additional pressures caused by the pandemic, given its expectation of more normalized revenues and risk charges and additional integration costs related to the merger. The coronavirus crisis will also affect profits through lower business volumes and likely further pressure on margins. Consolidated capitalization metrics are broadly in line with its initial estimates, with the CET1 ratio of 14.0% (before negative goodwill recognition) providing significant headroom over the regulatory minimum of 9.25% (including Pillar 1 and Pillar 2 buffers). Capitalization will be supported by full 2019 profit retention. Negative goodwill recognition will provide an additional benefit, higher than Fitch initially estimated, and could add 400bp to the CET1 ratio. The total capital ratio is also supported by a EUR90 million Tier 2 qualifying subordinated loan received in 2019, and should be about 170bp above the CET1 metric. The funding and liquidity position is a relative rating strength. Both banks' funding is based almost exclusively on customer deposits and they entered the downturn with large liquidity cushions. Combined high-quality liquid assets of EUR2.3 billion at end-February 2020 (i.e. after Abanka's acquisition price of EUR444 million was paid) compared well with combined customer deposits of around EUR7 billion. SUPPORT RATINGS AND SUPPORT RATING FLOORS NKBM's Support Rating Floor of 'No Floor' and Support Rating of '5' express Fitch's opinion that potential sovereign support for NKBM cannot be relied on. This is because the EU's Bank Recovery and Resolution Directive, which provides a framework for resolving banks, is likely to require senior creditors to participate in losses, if necessary, instead of or ahead of a bank receiving sovereign support. Fitch does not incorporate any potential support for NKBM from its private shareholders as in the agency's view such support cannot be relied on in all circumstances. Following its acquisition Fitch considers the primary source of support for Abanka to be institutional, rather than sovereign. As a result, Fitch has withdrawn the SRF of 'NF' for Abanka because it is no longer considered by Fitch to be relevant to the agency's coverage. Abanka's Support Rating of '5' reflects Fitch's opinion that the large size of Abanka relative to NKBM limits the ability of the parent to provide support. RATING SENSITIVITIES IDRS and VRS Factors that could, individually or collectively, lead to negative rating action/downgrade: -- NKBM and Abanka's ratings will be downgraded if the banks experience sharp deterioration in asset quality, capitalization and operating profitability metrics. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- The Outlook on the Long-Term IDRs could be revised to Stable if the impact of the pandemic on the Slovenian economy is short and the recovery swift. The strength of the banks' combined company profile, moderate risk appetite and the current health of their assets, capitalization and funding profile would support the ratings being maintained at their current levels in the event of a short-lived downturn. -- If the banks are able to withstand rating pressure arising from the pandemic, an upgrade would require smooth completion of the operational integration, maintenance of sound consolidated capital ratios with large buffers over the required minimums, no major increase in risk appetite, an impaired loans ratio close to end-2019 levels and a still healthy funding and liquidity profile. At the completion of the legal merger, Fitch expects to withdraw Abanka's ratings. SUPPORT RATINGS AND SUPPORT RATING FLOORS Factors that could, individually or collectively, lead to positive rating action/upgrade: An upward revision of the NKBM's SRF would require a higher propensity of sovereign support. While not impossible, this is highly unlikely in Fitch's view. An upgrade of Abanka's SR is unlikely given large relative size of Abanka compared to NKBM and expected merger between the two banks. BEST/WORST CASE RATING SCENARIO Ratings of Financial Institutions issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). NOVA LJUBLJANSKA: Fitch Affirms BB+ LT IDR, Alters Outlook to Neg. ------------------------------------------------------------------ Fitch Ratings has affirmed the Long-Term Issuer Default Rating of Slovenia's Nova Ljubljanska banka d.d. at 'BB+' with the Outlook revised to Negative from Stable. At the same time Fitch has affirmed the bank's Viability Rating at 'bb+'. Fitch has revised the Outlook to Negative in light of the coronavirus outbreak across Europe and the resulting economic disruption. Pressure on the bank's ratings also stems from the announced sizable acquisition of Serbia-based Komercijalna Banka, which Fitch earlier noted as moderately negative for NLB's credit profile. KEY RATING DRIVERS IDRS AND VR The rating action reflects the significant risks to Slovenian banks' credit profiles as a result of the coronavirus outbreak and its economic implications. Fitch recently revised the sector outlook for Slovenian banks to negative. The coronavirus outbreak will put pressure on NLB's earnings, asset quality and capitalization. Fitch's updated baseline scenario is for Slovenian GDP to contract by 6.4% this year - a sharp negative swing of nine percentage points (pps) from its March forecast - before returning to 5.2% growth in 2021. However, there is significant downside risk to this scenario given the rapidly evolving impact of the pandemic and possible extensions in containment measures. A 12-month loan repayment moratorium introduced by law and available to all customer segments, although with varying conditions to be met before being granted, may defer recognition of asset-quality trends. Fitch expects banks to manage their loan-classification procedures in a prudent manner to avoid risk of a rapid increase in impaired loans when the moratorium ends. However, broad uptake of the moratorium, combined with uncertainty about the timing and pace of the economic recovery, will make it hard to assess borrowers' future repayment capacity. NLB is entering the downturn with adequate capitalization (assessed on a post-acquisition pro forma basis) and comfortable liquidity, and without large stocks of unreserved problem loans. In Fitch's view, its financial profile (and therefore ratings) could probably tolerate a short-lived, sharp economic contraction in 2Q20 if this is followed by stabilization in 2H20. However, an extended period of suppressed economic activity would be more likely to result in a rating downgrade, especially if accompanied by a sharp deterioration in performance at NLB's non-Slovenian subsidiaries. NLB's ratings reflect the bank's solid franchise, underpinned by its international presence, healthy funding and liquidity profiles, adequate capitalization and satisfactory earnings. The ratings also factor in the bank's relatively conservative management and risk appetite. However, the expected downturn in the economies in which the bank operates is likely to drag on the bank's execution of its strategy which drives the negative outlook on its assessment of the bank's management and strategy. In Fitch's view, the announced acquisition of KB will consume a large part of the bank's capital, substantially reducing its capital buffers at a time when asset quality will deteriorate. NLB announced its intention to retain in full its 2019 profit, improving the bank's capital position entering the slowdown. But weaker loan growth and rising loan-impairment charges will considerably weaken 2020 profitability. At end-2019, the bank's CET1 ratio stood at 15.8%, and would rise to about 17.7% after it included 2019 earnings, as well as the revised risk weighting on exposure to the Serbian sovereign, as of January 2020. Fitch estimates that the acquisition will consume about 4.9pps of the CET1 ratio, suggesting a ratio of about 12.8% on a pro forma basis going into the downturn. NLB's asset quality reflects the bank's substantial clean-up of legacy problem loans which drove a reduction in the bank's impaired (Stage 3) loans ratio to 4.3% at end-2019 from a peak of over 32% at end-2012. In its view, the impact of the coronavirus epidemic will weaken the bank's underlying asset quality, although Fitch expects the impact to be spread over time due to the moratorium on loan repayments. The acquisition of KB will also weaken the bank's overall asset quality as the Serbian bank reported weaker impaired loan metrics compared to the broader Serbian banking sector, and the management has indicated a need for some additional provisioning to bring risk standards in line with those of NLB. In its view, the bank's profitability is likely to suffer from weaker revenue generation as loan growth will likely remain subdued in the short term. Lower business volumes will also drag on the bank's fee-generating business while operating efficiency is unlikely to materially improve. Loan-impairment charges will sharply increase as the bank builds provisions for restructured loans and the benefits of reversals from legacy bad debts fade. Additional pressure on the bank's profitability in the medium term will come from the restructuring and integration costs related to the acquisition of KB, as profitability benefits from higher margins will take time to materialize. NLB's funding benefits from its solid deposit franchise in its domestic market and in most of its foreign subsidiaries. The bank's funding profile is based mostly on granular customer deposits with wholesale funding mostly reflecting Tier 2 capital instruments. The bank's liquidity profile is strong, with the ratio of gross loans to customer deposits at a modest 68% at end-2019 and the liquidity coverage ratio well in excess of minimum requirements (about 325% at end 2019). SUPPORT RATING AND SUPPORT RATING FLOOR The Support Rating Floor of 'No Floor' and Support Rating of '5' for NLB express Fitch's opinion that the bank cannot rely on potential sovereign support. This is underpinned by the EU's Bank Recovery and Resolution Directive, which provides a framework for resolving banks that is likely to require senior creditors to participate in losses, if necessary, instead of or ahead of a bank receiving sovereign support. RATING SENSITIVITIES IDRS AND VR Factors that could, individually or collectively, lead to negative rating action/downgrade: The most immediate downside rating sensitivity for the bank's IDRs and VR relate to the economic impact of the coronavirus outbreak, as this represents a clear risk to its assessment of asset quality and earnings. However, the ultimate impact will depend on the depth and duration of the coronavirus-related shock to the Slovenian economy and other markets in which the bank operates. The bank could also be downgraded if the acquisition of KB results in a significantly greater deterioration of capital and asset-quality metrics than currently anticipated by Fitch. Factors that could, individually or collectively, lead to positive rating action/upgrade: An upgrade is unlikely in the near term given the Negative Outlook on the ratings. The Outlook could be revised to Stable if the economic downturn in Slovenia is short-lived and any deterioration in NLB's financial metrics is moderate. SUPPORT RATING AND SUPPORT RATING FLOOR An upgrade of the Support Rating and upward revision of the Support Rating Floor would be contingent on a positive change in the sovereign's propensity to support the bank. However, this is highly unlikely, given existing resolution legislation. BEST/WORST CASE RATING SCENARIO Ratings of Financial Institutions issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). =========================== U N I T E D K I N G D O M =========================== ARCADIA GROUP: Mulls Closure of 100+ Stores by End of Summer ------------------------------------------------------------ Emma Simpson at BBC News reports that Sir Philip Green's Arcadia group is serving notice on landlords to walk away from more than 100 stores by the end of the summer. The fashion group owns brands such as Topshop and Dorothy Perkins and has 550 stores across the UK, but all are shut due to coronavirus restrictions, BBC discloses. Arcadia was struggling before the pandemic, BBC notes. In 2019, it did a deal to survive with landlords to cut rents and close 23 stores -- and 12 more closed this year, BBC relays. Like other retailers grappling with the fallout from deserted high streets and a collapse in sales, Sir Philip's retail empire has been thrown into turmoil, BBC states. Most of his 16,000 staff are being paid through the government's furlough scheme and bosses are taking a pay cut, according to BBC. But the coronavirus crisis is now accelerating a potentially dramatic shrinkage of the business, BBC says. Arcadia has already been closing stores over the years as leases expired, BBC states. Last June's rescue deal, known as a company voluntary arrangement, also included many break clauses on leases which allow Arcadia to hand back the keys at relatively short notice, BBC recounts. A number of other leases are also coming up for renewal, according to BBC. The BBC understands that Arcadia has typically given three months' notice on at least 100 leases, and potentially it could be significantly higher than that. However, it does not mean all the affected stores will shut, BBC says. New agreements could be reached with some property owners who would have to swallow further rent reductions, BBC notes. CSM BAKERY: Moody's Cuts CFR to Caa3 & Alters Outlook to Neg. ------------------------------------------------------------- Moody's Investors Service downgraded ratings of CSM Bakery Solutions Limited and subsidiaries, including the Corporate Family Rating to Caa3 from Caa2, Probability of Default rating to Ca-PD from Caa2-PD and second lien-term loan rating to Ca from Caa3. Moody's affirmed the first lien term loan rating at Caa1. Finally, the outlook was revised to negative from stable. The rating downgrades reflect high financial leverage and critically weak liquidity due to approaching debt maturities, which result in a rising probability of default. The debt maturities include the July 2020 expiration of the company's $125 million (EUR112 million) asset-based revolving credit facility and the concomitant maturity of its $447 million (EUR399 million) first lien term loan, followed thereafter by the July 2021 maturity of its $209 million (EUR187 million) second lien term loan. CSM's efforts to either refinance or extend these maturities have been complicated by its high financial leverage, and more recently, market disruptions from the coronavirus pandemic. Moody's affirmation of the first lien debt rating reflects an anticipated high recovery rate on this instrument in the event of a default, the risk of which is currently high. The differential between the Caa3 CFR and the Ca-PD reflects the elevated default risk and Moody's assumption that the company's customer relationships and network of production and distribution facilities will lead to an above average family recovery. Moody's has downgraded the following ratings: CSM Bakery Solutions Limited: Corporate Family Rating to Caa3 from Caa2; Probability of Default Rating to Ca-PD from Caa2-PD. CSM Bakery Solutions LLC: $209 million Secured Second Lien Term Loan due 1 July 2021 to Ca (LGD3) from Caa3 (LGD4). Moody's has affirmed the following rating: CSM Bakery Solutions LLC: $447 million Secured First Lien Term Loan due July 2020 at Caa1 (to LGD2 from LGD3). Outlook: CSM Bakery Solutions Limited Outlook revised to negative from stable CSM Bakery Solutions LLC Outlook revised to negative from stable RATINGS RATIONALE CSM's Caa3 corporate family rating reflects its high financial leverage, low profit margin, weak liquidity and poor future earnings visibility, due partly to the coronavirus pandemic. These negative factors are balanced against supportive fundamentals of CSM's business, including its leading positions in North American and European premium bakery supply categories including icings, glazes, cakes, cookies, and pastry ingredients. Financial policies under private equity ownership are aggressive. CSM is controlled and supported by sponsor firm Rhône Capital. In 2019, CSM reported improved operating performance, especially in its European business, which has partially offset, but still weak, although somewhat improved, performance in North America where operations have not yet fully recovered from past lost business due to major enterprise systems disruptions that began in late 2015. Although the company has since largely remediated its systems issues, the company has been unable to win back as much lost sales as planned. European operations, have been more stable, primarily through better business mix. As a result of higher earnings in 2019, financial leveraged has declined significantly, but remains high. Incorporating Moody's adjustments, debt/EBITDA was approximately 8.4x at the end of fiscal 2019 compared to 10.4x in fiscal 2018. Free cash flow was negative $29 million in 2019. Moody's anticipates that the company will suffer further disruptions across most of its business this year due to the coronavirus, which will likely cause leverage to rise again. The negative outlook reflects the potential for earnings deterioration in 2020 that would further elevate default risk or weaken recovery values. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Ratings could be downgraded if operating performance, liquidity or recovery estimates deteriorate, or if CSM pursues a debt restructuring or transaction that Moody's would consider a distressed exchange, and hence a default. Ratings could be upgraded if operating performance improves, and the company is able to successfully refinance or extend its upcoming debt maturities at a manageable cost. ESG CONSIDERATIONS Moody's views the coronavirus outbreak as a social risk given the substantial credit implications of public health and safety. The rapid and widening spread of the coronavirus outbreak, deteriorating global economic outlook, falling oil prices, and asset price declines are creating a severe and extensive credit shock across many sectors, regions and markets. The combined credit effects of these developments are unprecedented. While food companies in general are likely to be more resilient than companies in other sectors, volatility can be expected in 2020 due to uncertain demand characteristics, channel shifting, and the potential for supply chain disruptions. The principal methodology used in these ratings was Consumer Packaged Goods Methodology published in February 2020. CORPORATE PROFILE CSM Bakery Solutions Limited is headquartered in Cardiff, United Kingdom. The company is managed out of its US operations located in Tucker, Georgia (USA). CSM produces and distributes bakery ingredients and products for artisan and industrial bakeries, and for in-store and out-of-home markets, mainly in Europe and North America. The company supplies bakery products finished or semi-finished. Annual sales are approximately EUR1.6 billion. The company is owned and controlled by investment funds associated with private equity firm Rhône Capital. DEBENHAMS PLC: Strikes Deal with Landlords After Administration --------------------------------------------------------------- BBC News reports that Debenhams says it has struck deals with landlords to keep most of its 142 stores open after it fell into administration. The company said it has agreed terms on 120 branches and is in "advanced" talks on the remainder of its estate, BBC relates. But seven stores will not reopen when the government lifts coronavirus restrictions on non-essential shops, BBC states. However, the department store chain acknowledged a "handful" more sites could be at risk, BBC notes. According to BBC, the stores which will not reopen are: -- Truro -- Stratford-upon-Avon -- Salisbury -- Westfield, west London -- Warrington -- Leamington Spa -- South Shields Debenhams, as cited by BBC, said in all, 422 employees across the seven stores will be affected and have been informed. It added that the plan to close 28 more stores as part of last year's company voluntary arrangement remained, but the intention was there would still be a Debenhams of more than 100 UK stores, BBC relays. Debenhams, BBC says, is currently in what it describes as a "light touch" administration to protect it from legal action from creditors while its department stores are closed. The retailer is still trading online "normally" while its shops are closed, BBC states. It has furloughed the majority of its staff who are being paid under the government's coronavirus job retention scheme which pays 80% of a worker's salary up to GBP2,500 a month, BBC discloses. ICICI BANK: Moody's Affirms Ba1 Debt Rating, Alters Outlook to Neg. ------------------------------------------------------------------- Moody's Investors Service affirmed the Baa1 long-term deposit, senior unsecured debt ratings and Counterparty Risk Ratings of ICICI Bank UK PLC, as well as its Baa1(cr) Counterparty Risk Assessment. Furthermore, Moody's affirmed ICICI UK's ba2 standalone Baseline Credit Assessment, ba1 Adjusted BCA, Ba1 subordinated debt and (P)Ba3 junior subordinated program ratings. ICICI UK is a wholly owned subsidiary of the Indian bank ICICI Bank Limited. At the same time, the agency revised the outlook for ICICI UK's long-term deposits and senior unsecured debt ratings to negative from stable in line with the outlook change on its parent ICICI. RATINGS RATIONALE AFFIRMATION OF DEPOSIT AND DEBT RATINGS, CRRs AND CR ASSESSMENT The affirmations of the Baa1 long-term deposit and senior unsecured debt ratings and CRRs and the Baa1(cr) CR Assessment reflect the affirmation of ICICI UK's ba1 Adjusted BCA, incorporating a one-notch uplift for affiliate support from the bank's parent ICICI, together with three notches of uplift from the result of its Advanced Loss Given Failure (LGF) analysis. Its assumption of a low probability of support from the Government of United Kingdom (Aa2 negative) results in no further rating uplift. The affirmations of the Ba1 subordinated debt and (P)Ba3 junior subordinated program ratings follow the affirmation of ICICI UK's ba1 Adjusted BCA and reflects Moody's Advanced Loss Given Failure analysis and includes an additional negative notch for the junior subordinated debt reflecting the coupon suspension risk ahead of a potential failure. AFFIRMATION OF THE BCA The affirmation of ICICI UK's ba2 standalone BCA reflects its (1) niche strategic position as a provider of financial services in Europe to the group's corporate clients, and (2) strong capitalization, improving modest profitability and good liquidity profile. However, at the same time it is constrained by the limited scope of its franchise, earnings volatility and concentration risk in its corporate lending book, though the bank is actively addressing this in order to reduce asset risk. CHANGE IN OUTLOOK TO NEGATIVE FROM STABLE The change in outlook to negative from stable on ICICI UK's long-term deposit and senior unsecured debt ratings reflects the outlook on those of its parent ICICI. ICICI UK's Adjusted BCA benefits from a one-notch uplift reflecting Moody's assumption of a very high probability of affiliate support from ICICI. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Given the negative outlook on the long-term deposit and senior unsecured debt ratings of ICICI UK, the ratings of the bank are unlikely to be upgraded over the next 12-18 months. The outlook could return to stable if the ratings on ICICI were to be affirmed with a stable outlook. The deposit and debt ratings could be downgraded following a downgrade of the parent's BCA or a reduction in the probability of ICICI providing support. ICICI UK's deposit and senior unsecured debt ratings could also be downgraded because of the redemption of maturing senior unsecured or subordinated debt without their replacement. The BCA could be downgraded if there is a weakening in the bank's solvency due to a significant deterioration in asset risk and profitably or due to pressure on the bank's liquidity or stability on its deposit base. However, a notch downgrade of ICICI UK's BCA would likely be offset by the widening in the notches of uplift currently incorporated in the adjusted BCA to two from one. LIST OF AFFECTED RATINGS Issuer: ICICI Bank UK PLC Affirmations: Long-term Counterparty Risk Ratings, affirmed Baa1 Short-term Counterparty Risk Ratings, affirmed P-2 Long-term Bank Deposits, affirmed Baa1, outlook changed to Negative from Stable Short-term Bank Deposits, affirmed P-2 Long-term Counterparty Risk Assessment, affirmed Baa1(cr) Short-term Counterparty Risk Assessment, affirmed P-2(cr) Baseline Credit Assessment, affirmed ba2 Adjusted Baseline Credit Assessment, affirmed ba1 Senior Unsecured Regular Bond/Debenture, affirmed Baa1, outlook changed to Negative from Stable Senior Unsecured Medium-Term Note Program, affirmed (P)Baa1 Subordinate Regular Bond/Debenture, affirmed Ba1 Subordinate Medium-Term Note Program, affirmed (P)Ba1 Junior Subordinate Medium-Term Note Program, affirmed (P)Ba3 Outlook Action: Outlook changed to Negative from Stable PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Banks Methodology published in November 2019. NOVA TOURS: Ceases Trading Due to Coronavirus Outbreak Impact ------------------------------------------------------------- Amy Woodfield at BBC News reports that the "catastrophic effect" of the coronavirus outbreak has forced Nova Tours, a coach holiday company, to cease trading. Managing director David Sheriff said the business "got a few things wrong" when the travel ban first came into force in March, BBC relates. According to BBC, Mr. Sheriff said Nova Tours was "inundated" with panic cancellations at the start of the outbreak with about 40% of bookings for the year cancelled. The company had to issue "huge amounts" of refunds and gift vouchers, which had a "catastrophic effect" on the business, BBC discloses. Mr. Sheriff, as cited by BBC, said the "final nail" was the company being down 100% on new bookings. Nova Tours, based in Chesterfield, was established in 1988 and organized holidays across the UK. =============== X X X X X X X X =============== [*] BOND PRICING: For the Week April 13 to April 17, 2020 --------------------------------------------------------- Issuer Coupon Maturity Currency Price ------ ------ -------- -------- ----- Intelsat Luxembourg SA 8.125 6/1/2023 USD 41.539 Intelsat Connect Finance 9.500 2/15/2023 USD 60.918 Moby SpA 7.750 2/15/2023 EUR 32.000 Valaris plc 7.750 2/1/2026 USD 48.981 Nostrum Oil & Gas Finance8.000 7/25/2022 USD 46.164 Petra Diamonds US Treasur7.250 5/1/2022 USD 61.344 Casino Guichard Perrachon3.992 EUR 55.482 Naviera Armas SA 6.500 7/31/2023 EUR 72.933 Valaris plc 8.000 1/31/2024 USD 56.708 Vallourec SA 2.250 9/30/2024 EUR 72.632 Mitsubishi UFJ Investor S4.092 12/15/2050 EUR 70.994 Valaris plc 4.875 6/1/2022 USD 72.700 Vallourec SA 4.125 10/4/2022 EUR 5.619 Pro-Gest SpA 3.250 12/15/2024 EUR 64.758 Mallinckrodt Internationa5.750 8/1/2022 USD 53.256 Valaris plc 5.750 10/1/2044 USD 40.160 Ageasfinlux SA 0.950 EUR 71.357 Rallye SA 4.000 4/2/2021 EUR 27.070 Naviera Armas SA 4.250 11/15/2024 EUR 67.800 Officine Maccaferri-SpA 5.750 6/1/2021 EUR 35.407 Nostrum Oil & Gas Finance7.000 2/16/2025 USD 45.094 Astaldi SpA 7.125 12/1/2020 EUR 12.932 Valaris plc 5.200 3/15/2025 USD 48.548 Casino Guichard Perrachon1.154 EUR 36.602 Distribuidora Internacion0.875 4/6/2023 EUR 53.583 Ferroglobe PLC / Globe Sp9.375 3/1/2022 USD 73.707 Valaris plc 4.500 10/1/2024 USD 49.851 Maisons du Monde SA 0.125 12/6/2023 EUR 42.131 Thomas Cook Group PLC 6.250 6/15/2022 EUR 6.875 Intralot Capital Luxembou6.750 9/15/2021 EUR 64.032 Quadient 3.375 EUR 59.169 HI Bidco AS 7.300 10/30/2022 NOK 58.219 Valaris plc 7.375 6/15/2025 USD 55.552 Offshore Drilling Holding8.375 9/20/2020 USD 31.787 Rallye SA 4.371 1/23/2023 EUR 27.025 Debenhams PLC 5.250 7/15/2021 GBP 21.000 Jain International Tradin7.125 2/1/2022 USD 31.637 Air France-KLM 0.125 3/25/2026 EUR 17.922 Intralot Capital Luxembou5.250 9/15/2024 EUR 43.055 Valaris plc 4.750 1/15/2024 USD 54.663 Cooperativa Muratori & Ce6.000 2/15/2023 EUR 2.549 Abengoa Abenewco 2 Bis SA1.500 4/26/2024 EUR ADLER Real Estate AG 2.500 7/19/2021 EUR 14.780 Mallinckrodt Internationa5.625 10/15/2023 USD 43.841 Neoen SA 1.875 10/7/2024 EUR 38.303 HI Bidco AS 9.800 1/30/2023 NOK 21.072 Valaris plc 5.850 1/15/2044 USD 44.013 Mallinckrodt Internationa5.500 4/15/2025 USD 40.932 Mallinckrodt Internationa4.750 4/15/2023 USD 47.847 Hema Bondco II BV 8.500 1/15/2023 EUR 45.021 Boparan Finance PLC 4.375 7/15/2021 EUR 73.330 Econocom Group SA/NV 0.500 3/6/2023 EUR 7.119 Intelsat Connect Finance 9.500 2/15/2023 USD 61.569 Cooperativa Muratori & Ce6.875 8/1/2022 EUR 2.467 Senvion Holding GmbH 3.875 10/25/2022 EUR 6.000 Senivita Social Estate AG6.500 5/12/2020 EUR 56.400 Rallye SA 3.250 2/8/2024 CHF 26.000 Korian SA 2.500 EUR 49.797 Genfit 3.500 10/16/2022 EUR 24.639 Pierre & Vacances SA 2.000 4/1/2023 EUR 54.631 Yell Bondco PLC 8.500 5/2/2023 GBP 61.411 Astaldi SpA 4.875 6/21/2024 EUR 11.802 FF Group Finance Luxembou1.750 7/3/2019 EUR 4.500 HOCHDORF Holding AG 2.500 CHF 54.079 Ferroglobe PLC / Globe Sp9.375 3/1/2022 USD 73.478 Top Gun Realisations 74 P6.500 7/1/2022 GBP 18.791 O1 Properties Finance PLC8.250 9/27/2021 USD 40.000 FF Group Finance Luxembou3.250 11/2/2021 CHF 10.246 Pizzaexpress Financing 1 8.625 8/1/2022 GBP 35.739 Greenyard Fresh NV 3.750 12/22/2021 EUR 69.732 KCA Deutag UK Finance PLC7.250 5/15/2021 USD 69.046 Valaris plc 5.400 12/1/2042 USD 43.610 Boparan Finance PLC 5.500 7/15/2021 GBP 73.053 Banco Espirito Santo SA 4.000 1/21/2019 EUR 25.244 EA Partners I BV 6.875 9/28/2020 USD 45.074 Galapagos Holding SA 7.000 6/15/2022 EUR 7.684 Rallye SA 5.250 2/1/2022 EUR 27.513 Rallye SA 4.000 11/23/2020 CHF 26.556 Transcapitalbank JSC Via 10.000 9/18/2020 USD 54.906 KCA Deutag UK Finance PLC9.875 4/1/2022 USD 69.900 Immigon Portfolioabbau AG5.980 EUR 15.866 Bourbon Corp 6.446 EUR 2.651 FIGEAC-AERO 1.125 10/18/2022 EUR 23.775 Alno AG 8.500 5/14/2018 EUR 11.527 Privatbank CJSC Via UK SP11.000 2/9/2021 USD 9.532 EA Partners II BV 6.750 6/1/2021 USD 48.500 Grupo Isolux Corsan SA 6.000 12/30/2021 EUR 0.398 Steinhoff Finance Holding1.250 10/21/2023 EUR 41.118 Air Berlin PLC 8.250 4/19/2018 EUR 1.999 Grupo Isolux Corsan SA 1.000 12/30/2021 EUR 1.453 Thomas Cook Finance 2 PLC3.875 7/15/2023 EUR 7.056 Santhera Pharmaceuticals 5.000 2/17/2022 CHF 55.749 CNP Assurances 2.000 EUR 75.000 Bilt Paper BV 9.640 USD 1.004 Petra Diamonds US Treasur7.250 5/1/2022 USD 61.611 Allied Irish Banks PLC 12.500 6/25/2035 GBP 70.751 Quant AB 6.000 2/15/2023 EUR 70.738 Banco Espirito Santo SA 2.625 5/8/2017 EUR 24.550 House of Fraser Funding P6.504 9/15/2020 GBP 4.517 Stobart Finance PLC 2.750 5/8/2024 GBP 74.000 UkrLandFarming PLC 10.875 3/26/2018 USD 4.250 KCA Deutag UK Finance PLC9.625 4/1/2023 USD 69.370 Lehman Brothers UK Capita5.125 EUR 7.092 Mitsubishi UFJ Investor S3.859 12/30/2099 EUR 4.853 Scandinavian Airlines Sys0.625 CHF 36.872 Lambay Capital Securities6.250 GBP 0.574 Rickmers Holding AG 8.875 6/11/2018 EUR 1.682 Nexity SA 0.125 1/1/2023 EUR 66.293 Prime Living AB 7.201 10/19/2023 SEK 5.000 Evan Group PLC 6.000 7/31/2022 EUR 70.963 Lehman Brothers UK Capita6.900 USD 2.745 Avangardco Investments Pu10.000 10/29/2018 USD 6.000 Privatbank CJSC Via UK SP10.250 1/23/2018 USD 30.529 Banco Espirito Santo SA 7.125 11/28/2023 EUR 0.075 Nostrum Oil & Gas Finance8.000 7/25/2022 USD 46.047 Bank Otkritie Financial C10.000 4/26/2019 USD 9.701 Rallye SA 3.400 1/31/2022 EUR 28.000 Hellenic Bank PCL 10.000 EUR 49.907 LA Perla Fashion Finance 7.250 3/29/2023 EUR 39.215 Air Berlin PLC 6.750 5/9/2019 EUR 1.782 Virgolino de Oliveira Fin11.750 2/9/2022 USD 4.022 Hamon & CIE SA 3.300 1/30/2025 EUR 50.000 Virgolino de Oliveira Fin10.500 1/28/2018 USD 3.000 Alno AG 8.000 3/21/2019 EUR 15.250 Alitalia-Societa Aerea It5.250 7/30/2020 EUR 6.000 Portugal Telecom Internat6.250 7/26/2016 EUR 1.198 Yuksel Insaat AS 9.500 11/10/2015 USD 1.000 Nexity SA 0.250 3/2/2025 EUR 69.492 Banco Espirito Santo SA 4.750 1/15/2018 EUR 25.549 Afren PLC 6.625 12/9/2020 USD 0.051 Civitas Properties Financ4.000 11/24/2022 EUR 74.500 Eramet 4.000 EUR 51.385 Koninklijke Luchtvaart Ma0.750 CHF 37.100 Rallye SA 1.000 10/2/2020 EUR 27.125 Claranova SADIR 5.000 7/1/2023 EUR 1.180 Agrokor dd 9.125 2/1/2020 EUR 19.247 Stichting Afwikkeling Ond6.250 10/26/2020 EUR 1.000 KCA Deutag UK Finance PLC9.875 4/1/2022 USD 69.926 Espirito Santo Financial 6.875 10/21/2019 EUR 0.130 DOF Subsea AS 9.500 3/14/2022 USD 66.448 Abengoa Abenewco 2 Bis SA1.500 4/26/2024 USD 6.350 Nostrum Oil & Gas Finance7.000 2/16/2025 USD 45.224 Orient Express Bank PJSC 10.000 USD 40.081 EDOB Abwicklungs AG 7.500 4/1/2012 EUR 0.466 Cirio Holding Luxembourg 6.250 2/16/2004 EUR 0.822 New World Resources NV 4.000 10/7/2020 EUR 0.021 DOF Subsea AS 8.830 5/22/2020 NOK 70.000 Lehman Brothers UK Capita3.875 EUR 7.125 Afren PLC 11.500 2/1/2016 USD 0.017 EOS Imaging SA 6.000 5/31/2023 EUR 5.797 KCA Deutag UK Finance PLC7.250 5/15/2021 USD 69.869 Mallinckrodt Internationa5.625 10/15/2023 USD 43.175 KTG Agrar SE 7.125 6/6/2017 EUR 0.561 Stichting Afwikkeling Ond11.250 EUR 1.109 JZ Capital Partners Ltd 6.000 7/30/2021 GBP 9.800 APP International Finance11.750 10/1/2005 USD 0.769 Top Gun Realisations 73 P8.000 7/1/2023 GBP 1.189 Banca Popolare di Vicenza2.821 12/20/2017 EUR 0.200 Dexia Credit Local SA 1.317 EUR 6.758 Lloyds Bank PLC 1.380 7/5/2033 USD 67.931 Europejskie Centrum Odszk5.790 4/14/2020 PLN 71.000 OGX Austria GmbH 8.500 6/1/2018 USD 0.001 BBVA International Prefer1.574 GBP 66.500 Paragon GmbH & Co KGaA 4.000 4/23/2024 CHF 73.000 Agrokor dd 8.875 2/1/2020 USD 19.364 Dexia SA 1.382 EUR 7.642 Abengoa Abenewco 2 Bis SA1.500 4/26/2024 USD 6.500 ESFIL-Espirito Santo Fina5.250 6/12/2015 EUR 0.060 KCA Deutag UK Finance PLC9.625 4/1/2023 USD 69.752 Banca Popolare di Vicenza9.500 9/29/2025 EUR 0.038 Banco Espirito Santo SA 2.237 EUR 0.086 Agrokor dd 9.875 5/1/2019 EUR 19.336 Region of Abruzzo Italy 0.036 11/7/2036 EUR 64.574 Caixa Economica Montepio 5.000 EUR 51.000 Prime Living AB 4.598 9/29/2022 SEK 34.380 Portigon AG 7.460 6/1/2020 EUR 19.000 New World Resources NV 8.000 4/7/2020 EUR 1.454 Air Berlin PLC 5.625 5/9/2019 CHF 1.363 HOCHDORF Holding AG 3.500 3/30/2020 CHF 26.600 Mallinckrodt Internationa5.750 8/1/2022 USD 52.115 Societe Centrale des Bois2.500 5/15/2023 EUR 6.880 Offshore Drilling Holding8.375 9/20/2020 USD 32.439 Mallinckrodt Internationa5.500 4/15/2025 USD 41.092 BIM SAS 2.500 11/13/2020 EUR 22.436 Kaupthing ehf 7.625 2/28/2015 USD 0.250 Manchester Building Socie6.750 GBP 20.676 CBo Territoria 3.750 7/1/2024 EUR 4.900 Privatbank CJSC Via UK SP10.875 2/28/2018 USD 31.133 Tonon Luxembourg SA 9.250 1/24/2020 USD 0.536 Norske Skog Holding AS 8.000 2/24/2021 EUR 0.084 Waste Italia SpA 10.500 11/15/2019 EUR 1.000 DOF Subsea AS 9.850 11/27/2023 NOK 58.476 SeniVita Sozial gGmbH 7.000 EUR 23.100 Tresu Investment Holding 5.000 9/29/2022 EUR 41.625 LBI ehf 6.100 8/25/2011 USD 7.375 Sairgroup Finance BV 4.375 6/8/2006 EUR 0.409 Veneto Banca SpA 9.500 12/1/2025 EUR 0.788 Norske Skogindustrier ASA7.000 12/30/2026 EUR 0.036 Cattles Ltd 8.125 7/5/2017 GBP 0.001 International Industrial 9.000 7/6/2011 EUR 0.059 Cirio Finance Luxembourg 7.500 11/3/2002 EUR 2.278 Cirio Del Monte NV 7.750 3/14/2005 EUR 0.450 Solstad Offshore ASA 5.380 9/24/2021 NOK 4.667 YA Holding AB 3.020 6/18/2022 SEK 56.629 Rena GmbH 7.000 12/15/2015 EUR 2.096 Lehman Brothers UK Capita5.750 EUR 1.500 Idea Bank SA 5.090 8/14/2020 PLN 71.000 Virgolino de Oliveira Fin10.875 1/13/2020 USD 21.677 Deutsche Bank AG/London 0.032 10/31/2034 USD 69.875 Praktiker AG 5.875 2/10/2016 EUR 0.542 Russian Federal Bond - OF0.250 7/20/2044 RUB 24.815 Verimatrix SA 6.000 6/29/2022 EUR 3.751 Cooperatieve Rabobank UA 0.500 2/26/2029 HUF 70.780 Chr Bygga Bostader Holdin9.163 7/5/2021 SEK 50.000 Alpine Holding GmbH 6.000 5/22/2017 EUR 0.477 Del Monte Finance Luxembo6.625 5/24/2006 EUR 1.709 Banco Espirito Santo SA 6.875 7/15/2016 EUR 24.785 Kaupthing ehf 5.750 10/4/2011 USD 0.250 Manchester Building Socie8.000 GBP 20.559 Hellas Telecommunications6.054 1/15/2015 USD 0.033 Banco Espirito Santo SA 2.417 EUR 0.217 GEWA 5 to 1 GmbH & Co KG 6.500 3/24/2018 EUR 5.260 Boparan Finance PLC 4.375 7/15/2021 EUR 73.325 Norske Skogindustrier ASA2.000 12/30/2115 EUR 0.415 Bulgaria Steel Finance BV12.000 5/4/2013 EUR 0.216 Elli Investments Ltd 12.250 6/15/2020 GBP 52.501 German Pellets GmbH 7.250 11/27/2019 EUR 0.672 OGX Austria GmbH 8.500 6/1/2018 USD 0.001 EFG International AG 0.286 EUR 45.000 Aralco Finance SA 10.125 5/7/2020 USD 1.880 International Finance Fac0.500 6/24/2024 ZAR 74.180 Windreich GmbH 6.500 7/15/2016 EUR 8.000 KTG Agrar SE 7.250 10/15/2019 EUR 0.561 WPE International Coopera10.375 9/30/2020 USD 3.417 German Pellets GmbH 7.250 7/9/2018 EUR 0.582 Naviera Armas SA 4.250 11/15/2024 EUR 68.509 Banco 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Societe Generale SA 12.000 5/29/2020 USD 29.106 Eniro AB 6.000 4/14/2020 SEK 75.226 Cooperatieve Rabobank UA 0.500 7/30/2043 MXN 17.959 Breeze Finance SA 6.708 4/19/2027 EUR 28.950 Solship Invest 1 AS 5.000 12/8/2024 NOK 10.000 Enertronica Santerno SpA 7.000 12/31/2022 EUR 51.000 International Industrial 11.000 2/19/2013 USD 0.156 Cooperatieve Rabobank UA 0.500 10/29/2027 MXN 57.658 Kommunekredit 0.500 7/30/2027 TRY 41.379 Mriya Agro Holding PLC 10.950 3/30/2016 USD 7.875 KPNQwest NV 8.875 2/1/2008 EUR 0.634 Ideal Standard Internatio11.750 5/1/2018 EUR 0.240 Naviera Armas SA 6.500 7/31/2023 EUR 72.976 Sairgroup Finance BV 6.625 10/6/2010 EUR 0.409 Intralot Capital Luxembou5.250 9/15/2024 EUR 43.000 Golfino AG 8.000 11/18/2023 EUR 0.010 Cooperatieve Rabobank UA 0.500 10/30/2043 MXN 17.297 Gebr Sanders GmbH & Co KG8.750 10/22/2018 EUR 14.406 Norske Skogindustrier ASA7.125 10/15/2033 USD 0.036 Island Offshore Shipholdi4.090 6/30/2021 NOK 13.000 Norske Skog Holding AS 8.000 2/24/2023 USD 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9.500 9/10/2026 RUB 21.625 OGX Austria GmbH 8.375 4/1/2022 USD 0.001 Bibby Offshore Services P7.500 6/15/2021 GBP 11.113 Commerzbank AG 6.000 6/6/2022 USD 2.070 EFG International Finance10.500 2/7/2022 EUR 75.550 Cooperatieve Rabobank UA 0.500 11/30/2027 MXN 56.143 Grupo Isolux Corsan SA 1.000 12/30/2021 USD 1.453 Otkritie Holding JSC 10.000 4/20/2028 RUB Pongs & Zahn AG 8.500 EUR 0.016 Irish Bank Resolution Cor6.750 11/30/2013 BGN 42.750 KPNQwest NV 8.875 2/1/2008 EUR 0.634 Norske Skog Holding AS 8.000 2/24/2023 USD 0.214 Cerruti Finance SA 6.500 7/26/2004 EUR 1.389 DekaBank Deutsche Girozen0.010 6/29/2046 EUR 74.620 SAir Group 4.250 2/2/2007 CHF 9.875 Barclays Bank PLC 0.500 1/28/2033 MXN 35.169 Lehman Brothers Treasury 7.250 10/6/2008 EUR 2.571 Lehman Brothers Treasury 5.103 6/22/2046 EUR 2.571 Kaupthing ehf 3.092 ISK 0.250 Leonteq Securities AG/Gue9.800 6/12/2020 CHF 66.620 SAir Group 6.250 4/12/2005 CHF 9.875 Northland Resources AB 15.000 7/15/2019 USD 2.621 Danske Bank A/S 10.300 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56.100 Astana Finance BV 9.000 11/16/2011 USD 15.250 Lehman Brothers Treasury 1.500 10/25/2011 EUR 2.571 Lehman Brothers Treasury 4.680 12/12/2045 EUR 2.571 Lehman Brothers Treasury 6.000 3/18/2015 USD 3.400 Municipality Finance PLC 0.250 6/28/2040 CAD 36.439 DekaBank Deutsche Girozen5.000 2/28/2020 EUR 56.440 SAir Group 2.750 7/30/2004 CHF 9.875 Kaupthing ehf 3.750 2/1/2045 USD 0.100 Lehman Brothers Treasury 13.500 11/28/2008 USD 2.571 SG Issuer SA 3.000 10/10/2034 ZAR 43.579 Lehman Brothers Treasury 12.400 6/12/2009 USD 2.571 Lehman Brothers Treasury 1.000 5/9/2012 EUR 2.571 Lehman Brothers Treasury 8.875 1/28/2011 HKD 3.400 Lehman Brothers Treasury 6.250 9/5/2011 EUR 2.571 Espirito Santo Financial 5.625 7/28/2017 EUR 1.226 Credit Suisse AG 0.500 12/16/2025 BRL 67.395 LBI ehf 8.650 5/1/2011 ISK 7.375 Bayerische Landesbank 2.500 8/21/2020 EUR 74.630 Bayerische Landesbank 3.550 8/21/2020 EUR 62.300 Bayerische Landesbank 3.150 7/31/2020 EUR 61.860 Bayerische Landesbank 3.100 7/10/2020 EUR 58.910 Bayerische Landesbank 3.000 7/17/2020 EUR 66.020 Bayerische Landesbank 3.100 10/23/2020 EUR 65.400 Raiffeisen Switzerland BV5.600 11/2/2020 CHF 66.000 UBS AG/London 12.000 6/19/2020 USD 44.110 Leonteq Securities AG 16.200 6/4/2020 EUR 72.810 Landesbank Hessen-Thuerin5.900 2/2/2024 EUR 74.580 Credit Suisse AG/London 4.590 2/28/2020 EUR 39.790 Banque Cantonale Vaudoise6.300 9/7/2020 CHF 61.270 Bayerische Landesbank 3.400 10/2/2020 EUR 65.510 Credit Suisse AG/London 7.250 4/24/2020 USD 41.400 Bayerische Landesbank 4.000 5/3/2020 EUR 70.850 Landesbank Hessen-Thuerin4.750 3/3/2020 EUR 71.000 Corner Banca SA 8.200 5/14/2020 CHF 27.080 UniCredit Bank AG 3.750 12/21/2021 EUR 69.510 Bayerische Landesbank 2.800 6/5/2020 EUR 74.120 Societe Generale SA 0.933 4/30/2024 USD 69.200 Leonteq Securities AG 5.600 5/16/2022 CHF 66.030 Bayerische Landesbank 2.200 10/30/2020 EUR 74.430 Leonteq Securities AG/Gue5.200 6/12/2020 CHF 64.810 Landesbank Hessen-Thuerin5.100 2/17/2023 EUR 59.850 Bayerische Landesbank 2.800 4/3/2020 EUR 71.520 Landesbank Hessen-Thuerin6.500 2/16/2023 EUR 70.450 Bayerische Landesbank 3.100 11/13/2020 EUR 74.630 LBI ehf 7.431 USD 0.001 ECM Real Estate Investmen5.000 10/9/2011 EUR 15.375 Kreditanstalt fuer Wieder0.250 10/6/2036 CAD 46.508 Credit Suisse AG/London 0.500 1/8/2026 BRL 67.131 Lehman Brothers Treasury 5.220 3/1/2024 EUR 2.571 Espirito Santo Financial 5.050 11/15/2025 EUR 0.564 LBI ehf 2.250 2/14/2011 CHF 7.375 Lehman Brothers Treasury 4.250 3/13/2021 EUR 2.571 Bayerische Landesbank 2.700 8/20/2021 EUR 71.130 Bayerische Landesbank 3.300 9/11/2020 EUR 63.940 Bayerische Landesbank 2.600 11/13/2020 EUR 74.270 Bayerische Landesbank 3.000 2/21/2020 EUR 74.500 Deutsche Bank AG/London 2.000 10/25/2023 TRY 61.965 Lehman Brothers Treasury 3.630 3/2/2012 EUR 2.571 Northland Resources AB 12.250 3/26/2016 USD 2.621 Mriya Agro Holding PLC 9.450 4/19/2018 USD 7.875 Societe Generale SA 0.500 5/22/2024 MXN 73.788 Lehman Brothers Treasury 1.500 2/8/2012 CHF 2.571 Rosbank PJSC 0.010 4/30/2024 RUB 60.000 Credit Suisse AG/London 11.000 6/22/2020 USD 76.860 Natixis SA 2.750 3/1/2021 USD 66.596 Rosbank PJSC 0.030 4/30/2024 RUB 60.000 Landesbank Baden-Wuerttem3.000 9/25/2020 EUR 70.690 Credit Suisse AG/London 6.500 4/30/2021 USD 3.910 Lehman Brothers Treasury 10.000 3/27/2009 USD 2.571 Bank Otkritie Financial C0.010 7/16/2025 RUB 67.000 Lehman Brothers Treasury 7.320 7/31/2013 GBP 2.571 Elli Investments Ltd 12.250 6/15/2020 GBP 52.501 TransFin-M PAO 10.500 6/28/2027 RUB 60.010 Lehman Brothers Treasury 1.750 2/7/2010 EUR 2.571 Lehman Brothers Treasury 13.500 6/2/2009 USD 2.571 Lehman Brothers Treasury 10.442 11/22/2008 CHF 2.571 Rosbank PJSC 0.040 4/30/2024 RUB 60.000 Samaratransneft-Terminal 10.000 3/30/2022 RUB 20.000 Landesbank Hessen-Thuerin5.650 7/20/2023 EUR 67.120 UniCredit Bank AG 4.200 7/26/2022 EUR 64.990 DekaBank Deutsche Girozen2.000 7/30/2021 EUR 70.070 Landesbank Baden-Wuerttem4.850 2/28/2020 EUR 69.860 Landesbank Baden-Wuerttem4.000 2/28/2020 EUR 59.000 Leonteq Securities AG/Gue6.000 1/20/2021 CHF 60.000 UBS AG/London 6.250 7/13/2020 CHF 26.040 UBS AG/London 5.250 7/13/2020 CHF 57.300 Landesbank Hessen-Thuerin2.750 5/20/2021 EUR 60.100 Raiffeisen Schweiz Genoss6.800 7/20/2020 CHF 56.300 UBS AG/London 12.040 7/9/2020 USD 10.045 UniCredit Bank AG 7.000 12/24/2021 EUR 67.290 UniCredit Bank AG 7.500 12/24/2021 EUR 73.530 UniCredit Bank AG 8.400 3/27/2020 EUR 64.510 UniCredit Bank AG 8.800 12/24/2021 EUR 72.440 UniCredit Bank AG 12.800 3/27/2020 EUR 71.940 UniCredit Bank AG 9.300 12/24/2021 EUR 71.630 UniCredit Bank AG 9.500 12/24/2021 EUR 71.350 Commerzbank AG 11.500 6/26/2020 EUR 60.080 Bank Julius Baer & Co Ltd6.750 7/13/2020 EUR 75.300 Commerzbank AG 12.500 6/26/2020 EUR 67.920 UBS AG/London 6.250 6/21/2021 CHF 57.200 UBS AG/London 6.000 6/29/2020 CHF 44.050 UBS AG/London 6.250 6/29/2020 CHF 55.200 UBS AG/London 7.500 6/29/2020 EUR 53.500 UBS AG/London 6.000 12/28/2020 CHF 55.950 Zurcher Kantonalbank Fina6.500 7/3/2020 CHF 38.400 Landesbank Hessen-Thuerin3.500 8/3/2022 EUR 53.120 Raiffeisen Schweiz Genoss5.200 1/6/2021 CHF 57.210 Landesbank Hessen-Thuerin5.750 8/3/2023 EUR 69.320 DekaBank Deutsche Girozen3.100 7/31/2020 EUR 71.590 DekaBank Deutsche Girozen3.000 7/31/2020 EUR 61.110 Landesbank Baden-Wuerttem2.000 7/24/2020 EUR 57.400 Landesbank Baden-Wuerttem3.500 7/24/2020 EUR 51.400 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 48.000 Landesbank Baden-Wuerttem2.000 7/24/2020 EUR 66.350 Landesbank Baden-Wuerttem3.000 7/24/2020 EUR 61.740 Landesbank Baden-Wuerttem4.000 7/24/2020 EUR 58.700 Landesbank Baden-Wuerttem2.000 7/24/2020 EUR 67.600 Landesbank Baden-Wuerttem3.000 7/24/2020 EUR 62.580 Landesbank Baden-Wuerttem4.000 7/24/2020 EUR 58.800 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 55.940 Landesbank Baden-Wuerttem3.000 7/24/2020 EUR 79.870 Landesbank Baden-Wuerttem3.500 7/24/2020 EUR 70.100 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 62.460 Landesbank Baden-Wuerttem6.500 7/24/2020 EUR 57.550 Landesbank Baden-Wuerttem5.500 7/24/2020 EUR 68.810 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 74.690 Landesbank Baden-Wuerttem6.500 7/24/2020 EUR 69.560 Landesbank Baden-Wuerttem2.000 7/24/2020 EUR 69.120 Landesbank Baden-Wuerttem3.500 7/24/2020 EUR 62.710 Landesbank Baden-Wuerttem2.000 7/24/2020 EUR 66.570 Landesbank Baden-Wuerttem3.500 7/24/2020 EUR 59.820 Landesbank Baden-Wuerttem2.000 7/24/2020 EUR 55.000 Landesbank Baden-Wuerttem3.500 7/24/2020 EUR 49.480 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 45.850 Landesbank Baden-Wuerttem2.000 7/24/2020 EUR 73.260 Landesbank Baden-Wuerttem2.500 7/24/2020 EUR 27.060 Landesbank Baden-Wuerttem4.000 7/24/2020 EUR 24.810 Landesbank Baden-Wuerttem2.500 7/24/2020 EUR 65.980 Landesbank Baden-Wuerttem3.500 7/24/2020 EUR 61.780 Landesbank Baden-Wuerttem4.500 7/24/2020 EUR 58.950 Landesbank Baden-Wuerttem4.000 7/24/2020 EUR 73.570 UBS AG/London 11.000 6/29/2020 CHF 58.250 UBS AG/London 7.000 6/29/2020 CHF 73.000 UBS AG/London 6.500 6/29/2020 CHF 54.900 DekaBank Deutsche Girozen7.000 2/1/2021 EUR 57.390 UBS AG/London 3.200 3/26/2020 EUR 60.700 Credit Suisse AG/Nassau 7.000 1/13/2021 CHF 60.360 Leonteq Securities AG 7.600 7/13/2021 CHF 63.780 Leonteq Securities AG/Gue6.200 1/13/2021 CHF 61.130 UniCredit Bank AG 14.200 12/28/2020 EUR 68.410 UniCredit Bank AG 10.100 6/25/2021 EUR 64.330 UniCredit Bank AG 9.000 6/25/2021 EUR 64.870 UniCredit Bank AG 9.000 6/25/2021 EUR 72.270 UniCredit Bank AG 8.000 6/25/2021 EUR 72.440 UniCredit Bank AG 7.000 6/25/2021 EUR 73.920 UniCredit Bank AG 7.000 6/25/2021 EUR 66.690 UniCredit Bank AG 8.000 6/25/2021 EUR 65.700 UniCredit Bank AG 7.400 6/25/2021 EUR 74.210 UniCredit Bank AG 10.600 6/25/2021 EUR 70.800 Landesbank Hessen-Thuerin3.500 8/17/2022 EUR 68.120 Leonteq Securities AG 5.400 7/25/2022 CHF 65.890 HSBC Trinkaus & Burkhardt5.300 6/26/2020 EUR 66.480 HSBC Trinkaus & Burkhardt5.400 6/26/2020 EUR 45.880 HSBC Trinkaus & Burkhardt5.200 6/26/2020 EUR 74.610 UBS AG/London 9.000 7/20/2020 CHF 64.700 UBS AG/London 6.000 7/20/2020 CHF 56.300 UBS AG/London 6.500 7/20/2020 EUR 51.650 Credit Suisse AG/Nassau 7.250 7/30/2020 EUR 74.740 Landesbank Baden-Wuerttem4.000 10/22/2021 EUR 74.320 DekaBank Deutsche Girozen4.000 8/21/2020 EUR 55.140 Landesbank Baden-Wuerttem3.700 8/27/2021 EUR 71.990 Raiffeisen Schweiz Genoss5.800 8/3/2020 EUR 50.640 UBS AG/London 8.000 7/20/2020 CHF 55.800 Leonteq Securities AG/Gue6.200 7/27/2021 CHF 54.240 UniCredit Bank AG 5.350 8/24/2021 EUR 72.970 Leonteq Securities AG 10.000 8/3/2020 CHF 30.860 Raiffeisen Schweiz Genoss7.500 7/27/2020 CHF 55.000 Leonteq Securities AG/Gue10.000 7/27/2020 CHF 59.440 DekaBank Deutsche Girozen3.100 8/21/2020 EUR 66.480 DekaBank Deutsche Girozen3.150 8/21/2020 EUR 67.150 Landesbank Baden-Wuerttem2.300 8/27/2021 EUR 58.700 DekaBank Deutsche Girozen8.150 2/26/2021 EUR 58.890 Leonteq Securities AG 6.200 8/6/2020 CHF 56.370 Goldman Sachs & Co Wertpa12.000 6/24/2020 EUR 64.080 Goldman Sachs & Co Wertpa9.000 3/25/2020 EUR 68.970 Goldman Sachs & Co Wertpa12.000 3/25/2020 EUR 63.820 Goldman Sachs & Co Wertpa9.000 6/24/2020 EUR 68.230 UniCredit Bank AG 6.000 6/25/2021 EUR 67.860 UniCredit Bank AG 11.300 6/25/2021 EUR 74.300 UniCredit Bank AG 8.700 12/24/2021 EUR 72.120 UniCredit Bank AG 9.400 6/25/2021 EUR 71.450 UniCredit Bank AG 10.200 6/25/2021 EUR 70.250 UniCredit Bank AG 11.300 6/25/2021 EUR 69.420 UniCredit Bank AG 12.000 6/25/2021 EUR 68.480 UniCredit Bank AG 10.700 6/25/2021 EUR 69.830 UniCredit Bank AG 5.100 6/25/2021 EUR 69.350 UniCredit Bank AG 5.500 12/24/2021 EUR 69.150 UniCredit Bank AG 8.600 12/24/2021 EUR 66.200 UniCredit Bank AG 6.200 12/24/2021 EUR 68.050 UniCredit Bank AG 13.600 3/27/2020 EUR 59.300 UniCredit Bank AG 6.300 3/27/2020 EUR 67.620 UniCredit Bank AG 10.800 3/27/2020 EUR 61.740 UniCredit Bank AG 7.700 12/24/2021 EUR 66.490 UniCredit Bank AG 12.500 3/27/2020 EUR 71.960 UniCredit Bank AG 14.900 6/25/2021 EUR 72.210 UniCredit Bank AG 7.000 12/24/2021 EUR 73.920 Raiffeisen Schweiz Genoss5.700 12/29/2020 EUR 73.520 Credit Suisse AG/Nassau 7.200 7/5/2021 CHF 61.720 Landesbank Baden-Wuerttem4.000 4/24/2020 EUR 70.840 UniCredit Bank AG 8.900 12/29/2020 EUR 51.490 UniCredit Bank AG 7.300 12/29/2020 EUR 71.050 UniCredit Bank AG 6.800 12/29/2020 EUR 58.640 UniCredit Bank AG 7.400 12/29/2020 EUR 57.580 UniCredit Bank AG 9.100 12/29/2020 EUR 49.530 UniCredit Bank AG 8.300 12/29/2020 EUR 72.170 UniCredit Bank AG 6.000 12/29/2020 EUR 54.370 UniCredit Bank AG 8.400 12/29/2020 EUR 43.890 UniCredit Bank AG 9.200 12/29/2020 EUR 43.130 UniCredit Bank AG 6.700 12/29/2020 EUR 46.200 UniCredit Bank AG 8.500 12/29/2020 EUR 49.560 UniCredit Bank AG 10.100 12/29/2020 EUR 47.140 UniCredit Bank AG 6.800 12/29/2020 EUR 48.200 UniCredit Bank AG 7.400 12/29/2020 EUR 46.720 UniCredit Bank AG 6.100 12/29/2020 EUR 56.030 UniCredit Bank AG 6.800 12/29/2020 EUR 54.500 UniCredit Bank AG 6.600 12/29/2020 EUR 59.350 UniCredit Bank AG 9.300 12/29/2020 EUR 54.780 UniCredit Bank AG 9.400 12/29/2020 EUR 61.640 UniCredit Bank AG 7.200 12/29/2020 EUR 65.050 UniCredit Bank AG 14.800 12/29/2020 EUR 29.590 UniCredit Bank AG 6.500 12/29/2020 EUR 59.280 UniCredit Bank AG 12.200 12/29/2020 EUR 32.210 UniCredit Bank AG 9.300 12/29/2020 EUR 53.800 UniCredit Bank AG 6.900 12/29/2020 EUR 69.450 UniCredit Bank AG 10.600 12/29/2020 EUR 53.850 UniCredit Bank AG 11.200 12/29/2020 EUR 52.940 UniCredit Bank AG 6.200 12/29/2020 EUR 71.550 UniCredit Bank AG 10.100 12/29/2020 EUR 50.110 UniCredit Bank AG 7.800 12/29/2020 EUR 69.790 UniCredit Bank AG 10.800 12/29/2020 EUR 73.180 UniCredit Bank AG 9.500 12/29/2020 EUR 69.720 UniCredit Bank AG 7.300 12/29/2020 EUR 70.370 UniCredit Bank AG 6.700 12/29/2020 EUR 72.010 UniCredit Bank AG 8.200 12/29/2020 EUR 72.100 UniCredit Bank AG 8.800 12/29/2020 EUR 75.420 UniCredit Bank AG 7.900 12/29/2020 EUR 41.950 UniCredit Bank AG 8.900 12/29/2020 EUR 40.320 UniCredit Bank AG 7.500 12/29/2020 EUR 73.910 UniCredit Bank AG 8.400 12/29/2020 EUR 70.740 UniCredit Bank AG 9.500 12/29/2020 EUR 68.230 UniCredit Bank AG 7.800 12/29/2020 EUR 64.950 UniCredit Bank AG 6.400 12/29/2020 EUR 68.040 UniCredit Bank AG 6.600 12/29/2020 EUR 63.710 UniCredit Bank AG 6.500 12/29/2020 EUR 63.800 UniCredit Bank AG 7.200 12/29/2020 EUR 26.290 UniCredit Bank AG 8.100 12/29/2020 EUR 60.550 UniCredit Bank AG 7.300 12/29/2020 EUR 62.000 UniCredit Bank AG 8.700 12/29/2020 EUR 65.980 UniCredit Bank AG 6.500 12/29/2020 EUR 26.480 UniCredit Bank AG 8.000 12/29/2020 EUR 67.740 UniCredit Bank AG 10.700 12/29/2020 EUR 56.970 UniCredit Bank AG 9.100 12/29/2020 EUR 60.260 UniCredit Bank AG 7.000 12/29/2020 EUR 55.310 UniCredit Bank AG 10.900 12/29/2020 EUR 74.350 UniCredit Bank AG 8.100 12/29/2020 EUR 75.800 UniCredit Bank AG 12.000 12/29/2020 EUR 52.370 UniCredit Bank AG 8.300 12/29/2020 EUR 53.270 UniCredit Bank AG 7.200 12/29/2020 EUR 62.060 UniCredit Bank AG 9.000 12/29/2020 EUR 47.400 UniCredit Bank AG 7.900 12/29/2020 EUR 48.900 UBS AG/London 8.000 7/20/2020 EUR 53.350 Goldman Sachs & Co Wertpa8.000 3/25/2020 EUR 75.250 Goldman Sachs & Co Wertpa13.000 6/24/2020 EUR 71.110 Leonteq Securities AG/Gue2.500 6/5/2024 EUR 58.590 UBS AG/London 7.000 6/8/2020 CHF 71.900 UBS AG/London 5.750 11/23/2020 CHF 57.400 UBS AG/London 10.750 6/8/2020 CHF 63.550 UBS AG/London 6.500 12/7/2020 EUR 56.450 UBS AG/London 7.250 6/8/2020 USD 64.320 Landesbank Baden-Wuerttem2.500 8/25/2023 EUR 73.000 Landesbank Hessen-Thuerin2.750 8/31/2020 EUR 69.800 Leonteq Securities AG 7.000 8/3/2020 EUR 72.370 Goldman Sachs & Co Wertpa10.000 3/25/2020 EUR 68.850 Goldman Sachs & Co Wertpa8.000 6/24/2020 EUR 74.240 Goldman Sachs & Co Wertpa13.000 6/24/2020 EUR 62.070 Landesbank Hessen-Thuerin4.000 8/31/2022 EUR 73.080 Leonteq Securities AG/Gue10.280 6/11/2020 CHF 72.210 UBS AG/London 6.100 6/25/2020 EUR 55.490 Natixis SA 3.150 6/8/2021 USD 46.430 Leonteq Securities AG 5.000 6/15/2021 CHF 52.320 Leonteq Securities AG/Gue7.000 6/15/2020 CHF 54.340 DekaBank Deutsche Girozen2.700 4/17/2020 EUR 53.300 UBS AG/London 11.000 3/12/2020 USD 56.270 UBS AG/London 6.250 9/14/2020 CHF 67.650 UBS AG/London 12.000 3/12/2020 EUR 29.500 Societe Generale SA 8.000 9/12/2020 USD 57.820 Raiffeisen Schweiz Genoss7.100 6/15/2020 CHF 53.350 Societe Generale Effekten9.140 3/20/2020 EUR 64.090 Landesbank Hessen-Thuerin2.000 3/29/2022 EUR 73.160 Credit Suisse AG/London 10.500 3/23/2020 USD 66.380 UBS AG/London 11.000 3/12/2020 CHF 57.650 UBS AG/London 11.000 3/12/2020 CHF 58.200 UBS AG/London 7.500 3/12/2020 EUR 67.600 DekaBank Deutsche Girozen2.200 4/16/2021 EUR 56.590 Landesbank Hessen-Thuerin5.200 10/22/2024 EUR 67.430 DekaBank Deutsche Girozen6.300 10/9/2020 EUR 59.420 UBS AG/London 7.250 3/5/2020 CHF 70.600 UBS AG/London 11.000 3/5/2020 CHF 56.250 UBS AG/London 10.000 9/7/2020 CHF 43.500 Leonteq Securities AG/Gue8.000 3/17/2020 CHF 49.320 SecurAsset SA 5.250 6/30/2022 EUR 42.250 DekaBank Deutsche Girozen4.300 1/4/2021 EUR 52.320 DekaBank Deutsche Girozen7.050 10/9/2020 EUR 45.090 Raiffeisen Centrobank AG 10.286 3/24/2020 EUR 68.590 Leonteq Securities AG 5.200 12/22/2020 CHF 54.920 UBS AG/London 12.000 3/5/2020 CHF 71.250 Raiffeisen Centrobank AG 5.500 10/9/2020 EUR 59.300 UBS AG/London 7.000 12/14/2020 CHF 55.900 DekaBank Deutsche Girozen4.250 10/9/2020 EUR 51.400 UBS AG/London 10.250 6/15/2020 CHF 49.900 UBS AG/London 11.000 3/6/2020 USD 64.150 Landesbank Hessen-Thuerin4.000 4/20/2022 EUR 56.650 Leonteq Securities AG/Gue6.000 9/17/2020 CHF 51.910 Credit Suisse AG/Nassau 7.000 6/22/2021 CHF 58.000 Raiffeisen Centrobank AG 3.857 3/24/2020 EUR 74.260 UBS AG/London 4.200 6/25/2020 EUR 66.090 Raiffeisen Schweiz Genoss7.000 9/14/2020 CHF 68.860 UniCredit Bank AG 4.650 4/16/2021 EUR 52.410 DekaBank Deutsche Girozen3.900 4/25/2022 EUR 69.600 DekaBank Deutsche Girozen2.900 10/2/2020 EUR 66.940 Raiffeisen Centrobank AG 5.300 7/21/2020 EUR 58.050 Societe Generale Effekten11.121 9/18/2020 EUR 66.550 Leonteq Securities AG 10.000 3/17/2020 CHF 61.810 DekaBank Deutsche Girozen2.750 4/17/2020 EUR 67.940 Raiffeisen Schweiz Genoss8.500 3/17/2020 CHF 67.540 Landesbank Hessen-Thuerin4.000 7/20/2022 EUR 74.910 UniCredit Bank AG 6.300 10/16/2021 EUR 45.460 Natixis SA 3.500 3/23/2020 USD 44.149 Raiffeisen Schweiz Genoss6.600 4/3/2020 EUR 52.900 UniCredit Bank AG 4.850 10/9/2021 EUR 71.650 DekaBank Deutsche Girozen3.700 10/2/2020 EUR 56.090 Societe Generale Effekten9.901 3/20/2020 EUR 36.180 DekaBank Deutsche Girozen3.000 1/18/2021 EUR 59.350 DekaBank Deutsche Girozen3.000 9/18/2020 EUR 73.200 Landesbank Baden-Wuerttem2.500 10/23/2020 EUR 52.330 Landesbank Baden-Wuerttem5.000 10/23/2020 EUR 45.400 UBS AG/London 9.000 10/19/2020 USD 53.150 Raiffeisen Centrobank AG 3.921 3/24/2020 EUR 74.740 Commerzbank AG 5.250 3/27/2020 EUR 72.340 Commerzbank AG 9.250 3/27/2020 EUR 63.770 Commerzbank AG 13.250 3/27/2020 EUR 58.600 Commerzbank AG 11.500 5/22/2020 EUR 73.170 Commerzbank AG 11.000 4/24/2020 EUR 59.880 DZ Bank AG Deutsche Zentr7.750 3/25/2020 EUR 66.220 Landesbank Baden-Wuerttem3.000 2/28/2020 EUR 71.980 Landesbank Baden-Wuerttem5.000 2/28/2020 EUR 64.270 Landesbank Baden-Wuerttem7.000 2/28/2020 EUR 60.040 HSBC Trinkaus & Burkhardt8.200 2/28/2020 EUR 62.000 HSBC Trinkaus & Burkhardt10.000 3/27/2020 EUR 58.780 HSBC Trinkaus & Burkhardt7.900 6/26/2020 EUR 63.640 HSBC Trinkaus & Burkhardt8.300 3/27/2020 EUR 71.000 UBS AG/London 7.500 9/21/2020 USD 47.290 Landesbank Baden-Wuerttem3.600 7/24/2020 EUR 71.410 EFG International Finance13.150 12/17/2020 USD 72.420 EFG International Finance9.800 9/21/2021 EUR 58.770 Landesbank Baden-Wuerttem3.000 2/28/2020 EUR 64.710 Societe Generale Effekten14.647 6/19/2020 EUR 76.890 Societe Generale Effekten15.867 6/19/2020 EUR 74.730 Leonteq Securities AG/Gue5.000 5/5/2020 EUR 54.170 Vontobel Financial Produc11.500 3/13/2020 EUR 74.600 HSBC Trinkaus & Burkhardt5.200 6/26/2020 EUR 71.850 HSBC Trinkaus & Burkhardt7.600 6/26/2020 EUR 57.670 HSBC Trinkaus & Burkhardt6.500 6/26/2020 EUR 57.280 HSBC Trinkaus & Burkhardt5.800 6/26/2020 EUR 57.030 HSBC Trinkaus & Burkhardt4.400 6/26/2020 EUR 56.530 HSBC Trinkaus & Burkhardt3.600 6/26/2020 EUR 71.250 HSBC Trinkaus & Burkhardt7.000 6/26/2020 EUR 64.430 HSBC Trinkaus & Burkhardt5.700 6/26/2020 EUR 63.960 HSBC Trinkaus & Burkhardt6.200 6/26/2020 EUR 64.030 Vontobel Financial Produc14.500 3/13/2020 EUR 72.880 Vontobel Financial Produc14.500 3/13/2020 EUR 72.760 Vontobel Financial Produc13.000 3/13/2020 EUR 56.910 Raiffeisen Schweiz Genoss6.000 9/1/2020 CHF 71.910 Landesbank Baden-Wuerttem6.000 3/26/2021 EUR 74.180 Landesbank Baden-Wuerttem3.000 3/26/2021 EUR 69.830 Landesbank Baden-Wuerttem5.500 3/26/2021 EUR 54.280 UBS AG/London 11.000 9/7/2020 EUR 70.000 UBS AG/London 9.000 9/7/2020 EUR 65.700 UBS AG/London 14.000 3/26/2020 EUR 61.240 UBS AG/London 9.000 3/26/2020 EUR 68.610 UBS AG/London 9.600 3/26/2020 EUR 69.910 UBS AG/London 6.000 6/25/2020 EUR 74.330 UBS AG/London 5.500 6/25/2020 EUR 74.580 UBS AG/London 20.500 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Vontobel Financial Produc12.500 3/27/2020 EUR 74.810 Vontobel Financial Produc15.500 3/27/2020 EUR 64.650 Vontobel Financial Produc13.000 3/27/2020 EUR 73.390 Vontobel Financial Produc15.000 3/27/2020 EUR 70.820 Vontobel Financial Produc9.500 3/27/2020 EUR 59.520 UBS AG/London 9.100 6/25/2020 EUR 42.620 UBS AG/London 7.200 3/26/2020 EUR 46.350 UBS AG/London 9.100 3/26/2020 EUR 43.040 Deutsche Bank AG 4.200 3/24/2020 EUR 74.750 DZ Bank AG Deutsche Zentr8.250 3/25/2020 EUR 49.720 DZ Bank AG Deutsche Zentr10.000 3/25/2020 EUR 72.230 UniCredit Bank AG 9.600 12/27/2021 EUR 70.410 UniCredit Bank AG 13.900 12/29/2020 EUR 60.300 UniCredit Bank AG 11.000 12/29/2020 EUR 66.320 Vontobel Financial Produc14.500 3/27/2020 EUR 69.870 Vontobel Financial Produc14.500 3/27/2020 EUR 67.400 Vontobel Financial Produc17.000 3/27/2020 EUR 64.030 Vontobel Financial Produc12.500 3/27/2020 EUR 71.240 HSBC Trinkaus & Burkhardt10.800 3/27/2020 EUR 53.780 HSBC Trinkaus & Burkhardt10.200 6/26/2020 EUR 55.570 HSBC Trinkaus & Burkhardt9.300 6/26/2020 EUR 56.820 HSBC Trinkaus & Burkhardt8.200 2/28/2020 EUR 58.030 HSBC Trinkaus & Burkhardt13.500 3/27/2020 EUR 35.640 HSBC Trinkaus & Burkhardt11.300 3/27/2020 EUR 37.680 HSBC Trinkaus & Burkhardt11.200 6/26/2020 EUR 39.830 HSBC Trinkaus & Burkhardt9.500 2/28/2020 EUR 39.600 HSBC Trinkaus & Burkhardt7.900 3/27/2020 EUR 72.400 HSBC Trinkaus & Burkhardt9.700 6/26/2020 EUR 73.000 DekaBank Deutsche Girozen2.450 3/5/2021 EUR 70.920 Landesbank Baden-Wuerttem4.000 2/28/2020 EUR 56.890 Landesbank Baden-Wuerttem2.000 2/28/2020 EUR 65.750 Landesbank Baden-Wuerttem3.000 2/28/2020 EUR 61.830 Landesbank Baden-Wuerttem3.500 2/28/2020 EUR 45.940 Landesbank Baden-Wuerttem4.500 2/28/2020 EUR 66.750 Landesbank Baden-Wuerttem2.500 2/28/2020 EUR 75.420 Landesbank Baden-Wuerttem4.500 2/28/2020 EUR 66.350 Landesbank Baden-Wuerttem5.000 2/28/2020 EUR 45.000 Landesbank Baden-Wuerttem4.000 2/28/2020 EUR 21.990 UBS AG/London 12.000 3/9/2020 CHF 37.700 UBS AG/London 9.750 3/9/2020 EUR 67.450 UBS AG/London 8.500 3/9/2020 USD 47.050 UBS AG/London 7.500 3/16/2020 EUR 74.050 EFG International Finance7.400 3/29/2021 EUR 58.430 Zurcher Kantonalbank Fina7.150 3/19/2020 CHF 20.630 Leonteq Securities AG/Gue9.000 3/16/2020 CHF 70.440 Raiffeisen Schweiz Genoss7.000 9/23/2020 EUR 56.270 UniCredit Bank AG 4.400 11/1/2020 EUR 60.270 Raiffeisen Schweiz Genoss7.000 4/30/2020 EUR 59.450 Leonteq Securities AG/Gue7.000 10/29/2020 CHF 60.650 HSBC Trinkaus & Burkhardt6.300 3/27/2020 EUR 60.330 HSBC Trinkaus & Burkhardt4.100 3/27/2020 EUR 66.510 HSBC Trinkaus & Burkhardt5.800 3/27/2020 EUR 64.780 Landesbank Baden-Wuerttem3.000 10/23/2020 EUR 71.150 Landesbank Baden-Wuerttem3.000 10/23/2020 EUR 72.720 Landesbank Baden-Wuerttem3.000 7/23/2021 EUR 68.660 Commerzbank AG 12.750 3/27/2020 EUR 67.590 Commerzbank AG 14.750 3/27/2020 EUR 65.120 Credit Suisse AG/London 6.600 5/22/2020 CHF 51.210 Vontobel Financial Produc27.500 8/12/2020 USD 72.650 Commerzbank AG 8.500 6/26/2020 EUR 70.000 Commerzbank AG 10.500 6/26/2020 EUR 67.400 Vontobel Financial Produc13.000 9/11/2020 EUR 62.110 Vontobel Financial Produc5.000 9/11/2020 EUR 69.610 Vontobel Financial Produc10.000 9/11/2020 EUR 63.910 DZ Bank AG Deutsche Zentr6.000 6/24/2020 EUR 73.170 UBS AG/London 24.500 3/26/2020 EUR 52.400 UBS AG/London 15.900 6/25/2020 EUR 57.620 UBS AG/London 20.300 6/25/2020 EUR 56.370 Commerzbank AG 6.500 6/26/2020 EUR 73.380 Commerzbank AG 12.500 6/26/2020 EUR 65.380 Vontobel Financial Produc7.500 9/11/2020 EUR 66.420 DZ Bank AG Deutsche Zentr8.500 6/24/2020 EUR 69.710 Societe Generale Effekten9.979 3/20/2020 EUR 61.510 Vontobel Financial Produc7.000 3/13/2020 EUR 75.110 Vontobel Financial Produc16.000 3/13/2020 EUR 72.870 Landesbank Baden-Wuerttem2.000 7/24/2020 EUR 72.580 Landesbank Baden-Wuerttem3.500 7/24/2020 EUR 65.450 Landesbank Baden-Wuerttem3.500 7/24/2020 EUR 71.520 Landesbank Baden-Wuerttem7.000 7/24/2020 EUR 47.180 UBS AG/London 17.700 3/26/2020 EUR 71.200 HSBC Trinkaus & 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Girozen3.100 12/3/2021 EUR 74.150 Raiffeisen Centrobank AG 10.000 5/11/2020 EUR 69.040 Landesbank Hessen-Thuerin4.750 5/11/2023 EUR 58.060 Leonteq Securities AG/Gue5.000 10/13/2020 CHF 61.280 UBS AG/London 4.500 3/26/2020 EUR 56.460 UniCredit Bank AG 5.000 9/26/2021 EUR 51.820 getBACK SA 5.710 2/16/2021 PLN UniCredit Bank AG 4.730 1/2/2023 EUR 71.420 Leonteq Securities AG/Gue10.000 4/17/2020 CHF 43.160 UBS AG/London 5.500 4/6/2020 CHF 68.950 Credit Suisse AG/London 8.750 5/21/2020 USD 51.420 HSBC Trinkaus & Burkhardt11.500 3/27/2020 EUR 43.300 HSBC Trinkaus & Burkhardt9.800 3/27/2020 EUR 69.050 HSBC Trinkaus & Burkhardt10.300 3/27/2020 EUR 44.860 HSBC Trinkaus & Burkhardt6.900 3/27/2020 EUR 50.460 HSBC Trinkaus & Burkhardt5.000 3/27/2020 EUR 55.220 HSBC Trinkaus & Burkhardt9.400 2/28/2020 EUR 46.140 HSBC Trinkaus & Burkhardt11.000 3/27/2020 EUR 71.720 HSBC Trinkaus & Burkhardt9.200 3/27/2020 EUR 55.210 HSBC Trinkaus & Burkhardt6.600 2/28/2020 EUR 59.900 HSBC Trinkaus & Burkhardt4.300 2/28/2020 EUR 66.470 UBS AG/London 7.000 5/21/2020 EUR 69.700 Leonteq Securities AG/Gue10.200 6/3/2020 USD 56.490 Citigroup Global Markets 13.200 12/18/2023 SEK 61.220 HSBC Trinkaus & Burkhardt10.500 3/27/2020 EUR 70.900 HSBC Trinkaus & Burkhardt9.400 3/27/2020 EUR 73.370 HSBC Trinkaus & Burkhardt5.000 3/27/2020 EUR 64.440 HSBC Trinkaus & Burkhardt3.000 3/27/2020 EUR 71.880 HSBC Trinkaus & Burkhardt6.500 6/26/2020 EUR 61.150 HSBC Trinkaus & Burkhardt4.500 6/26/2020 EUR 66.850 UBS AG/London 10.500 11/3/2020 CHF 63.300 EFG International Finance7.000 11/17/2020 CHF 58.480 DekaBank Deutsche Girozen3.000 6/12/2020 EUR 73.310 DekaBank Deutsche Girozen5.950 12/4/2020 EUR 51.720 EFG International Finance7.000 11/23/2020 CHF 72.470 Raiffeisen Schweiz Genoss3.400 5/14/2020 CHF 54.340 Landesbank Baden-Wuerttem2.750 12/29/2020 EUR 67.770 Landesbank Baden-Wuerttem3.500 12/29/2020 EUR 68.360 Landesbank Baden-Wuerttem5.000 6/26/2020 EUR 45.800 Landesbank Baden-Wuerttem5.250 6/26/2020 EUR 74.700 Corner Banca SA 8.000 5/25/2021 CHF 60.380 Citigroup Global Markets 7.200 5/24/2023 SEK 51.250 Raiffeisen Schweiz Genoss5.300 11/23/2020 CHF 56.000 UBS AG/London 6.250 4/20/2020 CHF 38.800 Landesbank Hessen-Thuerin4.000 6/22/2022 EUR 58.890 Leonteq Securities AG/Gue5.500 5/25/2021 CHF 57.490 Leonteq Securities AG 7.800 5/14/2021 CHF 28.140 DekaBank Deutsche Girozen3.500 8/14/2020 EUR 64.500 UniCredit Bank AG 8.300 12/29/2020 EUR 73.710 UniCredit Bank AG 7.700 12/29/2020 EUR 67.270 UniCredit Bank AG 8.100 12/29/2020 EUR 61.140 UniCredit Bank AG 6.200 12/29/2020 EUR 67.640 UniCredit Bank AG 8.200 12/29/2020 EUR 65.940 UniCredit Bank AG 10.200 12/29/2020 EUR 66.900 UniCredit Bank AG 8.800 12/29/2020 EUR 74.080 UniCredit Bank AG 8.600 12/29/2020 EUR 68.910 Societe Generale Effekten7.404 3/20/2020 EUR 65.750 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 65.470 Landesbank Baden-Wuerttem2.500 7/24/2020 EUR 58.730 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 50.380 HSBC Trinkaus & Burkhardt5.000 3/27/2020 EUR 52.630 HSBC Trinkaus & Burkhardt9.200 2/28/2020 EUR 44.300 EFG International Finance7.200 11/30/2020 EUR 65.300 UBS AG/London 10.500 4/20/2020 EUR 53.700 UniCredit Bank AG 5.000 6/11/2021 EUR 55.000 Raiffeisen Schweiz Genoss5.750 5/18/2020 CHF 53.590 Raiffeisen Schweiz Genoss6.500 5/18/2020 CHF 19.620 Bank Julius Baer & Co Ltd6.000 5/11/2020 CHF 63.000 Vontobel Financial Produc20.000 9/25/2020 EUR 71.300 Landesbank Baden-Wuerttem3.000 12/29/2020 EUR 53.910 UniCredit Bank AG 4.000 3/2/2020 EUR 36.310 Erste Group Bank AG 6.250 3/29/2023 EUR 62.000 UniCredit Bank AG 6.300 3/26/2021 EUR 42.850 UniCredit Bank AG 4.600 3/26/2021 EUR 50.180 UniCredit Bank AG 3.250 3/29/2022 EUR 26.680 Societe Generale Effekten16.740 3/20/2020 EUR 71.870 Vontobel Financial Produc16.500 3/13/2020 EUR 73.020 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 60.640 Raiffeisen Centrobank AG 9.626 3/24/2020 EUR 72.050 Raiffeisen Centrobank AG 10.929 3/24/2020 EUR 67.390 Raiffeisen Centrobank AG 9.643 3/24/2020 EUR 69.990 UBS AG/London 10.250 3/23/2020 EUR 36.450 DekaBank Deutsche Girozen2.750 4/16/2021 EUR 68.320 Vontobel Financial Produc6.500 4/20/2020 EUR 67.610 Landesbank Baden-Wuerttem2.750 5/31/2021 EUR 60.690 SG Issuer SA 5.000 4/2/2024 EUR 62.670 Landesbank Baden-Wuerttem3.500 4/24/2020 EUR 59.130 Landesbank Baden-Wuerttem2.000 4/24/2020 EUR 74.540 Landesbank Baden-Wuerttem3.000 4/24/2020 EUR 50.540 Landesbank Baden-Wuerttem3.000 4/24/2020 EUR 60.270 Landesbank Baden-Wuerttem2.000 4/24/2020 EUR 72.240 Landesbank Baden-Wuerttem2.000 4/24/2020 EUR 63.550 Landesbank Baden-Wuerttem4.000 5/22/2020 EUR 72.810 Landesbank Baden-Wuerttem5.500 5/22/2020 EUR 66.100 Landesbank Baden-Wuerttem6.000 5/22/2020 EUR 69.250 Landesbank Baden-Wuerttem3.500 5/22/2020 EUR 74.310 Landesbank Baden-Wuerttem5.000 5/22/2020 EUR 65.170 Landesbank Baden-Wuerttem2.500 4/24/2020 EUR 48.220 Landesbank Baden-Wuerttem4.000 4/24/2020 EUR 70.410 Landesbank Baden-Wuerttem2.000 4/24/2020 EUR 62.740 Landesbank Baden-Wuerttem3.500 4/24/2020 EUR 57.160 Landesbank Hessen-Thuerin5.400 11/24/2022 EUR 63.270 Landesbank Hessen-Thuerin4.000 6/8/2022 EUR 59.380 Landesbank Hessen-Thuerin4.000 6/8/2022 EUR 63.730 Leonteq Securities AG/Gue3.000 9/20/2022 CHF 68.530 Commerzbank AG 2.100 8/28/2020 EUR 59.440 Leonteq Securities AG/Gue5.000 9/8/2020 CHF 36.750 Leonteq Securities AG/Gue6.200 3/11/2020 CHF 73.950 Landesbank Hessen-Thuerin3.000 7/6/2021 EUR 69.500 Natixis SA 4.975 3/23/2020 USD 33.761 UBS AG/London 8.000 3/30/2020 EUR 61.150 UBS AG/London 6.500 3/30/2020 CHF 65.850 DekaBank Deutsche Girozen2.050 5/3/2021 EUR 47.100 Raiffeisen Schweiz Genoss6.500 10/9/2020 CHF 47.190 UniCredit Bank AG 3.450 9/14/2022 EUR 67.170 Landesbank Hessen-Thuerin7.800 12/15/2022 EUR 74.540 Landesbank Baden-Wuerttem4.850 6/26/2020 EUR 61.380 UBS AG/London 9.000 11/10/2022 USD 5.880 Leonteq Securities AG/Gue4.200 6/1/2021 CHF 39.470 DekaBank Deutsche Girozen2.200 5/28/2021 EUR 58.500 DekaBank Deutsche Girozen2.700 5/29/2020 EUR 47.670 DekaBank Deutsche Girozen3.100 5/28/2021 EUR 62.860 Landesbank Baden-Wuerttem4.000 4/24/2020 EUR 56.610 Landesbank Baden-Wuerttem5.000 5/22/2020 EUR 72.240 Landesbank Baden-Wuerttem4.000 4/24/2020 EUR 43.710 Landesbank Baden-Wuerttem5.500 4/24/2020 EUR 65.110 Landesbank Baden-Wuerttem5.500 4/24/2020 EUR 74.980 Landesbank Baden-Wuerttem3.000 4/24/2020 EUR 59.640 Landesbank Baden-Wuerttem2.000 4/24/2020 EUR 65.810 Landesbank Baden-Wuerttem5.000 4/24/2020 EUR 52.710 UBS AG/London 13.000 5/4/2020 CHF 51.000 BNP Paribas Issuance BV 12.600 2/17/2020 CHF 60.900 EFG International Finance8.000 11/23/2020 EUR 69.830 Raiffeisen Schweiz Genoss5.200 11/11/2020 CHF 55.930 Landesbank Hessen-Thuerin7.000 1/9/2023 EUR 39.730 DekaBank Deutsche Girozen3.650 3/27/2020 EUR 71.930 UBS AG/London 6.500 12/14/2020 EUR 73.250 Leonteq Securities AG/Gue4.750 11/1/2021 CHF 33.470 Landesbank Hessen-Thuerin3.000 6/4/2021 EUR 66.200 UBS AG/London 9.000 5/14/2020 CHF 70.500 Raiffeisen Schweiz Genoss5.300 5/4/2020 EUR 73.400 Commerzbank AG 8.000 11/6/2020 USD 5.980 HSBC Trinkaus & Burkhardt6.630 5/22/2020 EUR 70.920 EFG International Finance7.000 11/16/2020 EUR 62.380 UniCredit Bank AG 4.200 12/8/2021 EUR 62.640 Credit Suisse AG/London 9.750 2/18/2020 USD 60.060 DekaBank Deutsche Girozen2.500 5/28/2021 EUR 71.620 DekaBank Deutsche Girozen2.900 5/29/2020 EUR 46.730 Landesbank Baden-Wuerttem4.000 4/24/2020 EUR 56.860 Landesbank Baden-Wuerttem5.000 4/24/2020 EUR 53.110 DekaBank Deutsche Girozen3.050 11/20/2020 EUR 70.760 Landesbank Baden-Wuerttem5.000 4/24/2020 EUR 53.140 Landesbank Baden-Wuerttem4.000 4/24/2020 EUR 45.710 Landesbank Baden-Wuerttem5.000 4/24/2020 EUR 43.750 Landesbank Baden-Wuerttem4.500 4/24/2020 EUR 23.690 Landesbank Baden-Wuerttem2.000 4/24/2020 EUR 63.370 Landesbank Baden-Wuerttem3.500 4/24/2020 EUR 63.700 Leonteq Securities AG 20.000 5/12/2020 CHF 60.620 Landesbank Baden-Wuerttem3.700 7/23/2021 EUR 72.160 Leonteq Securities AG 12.000 5/12/2020 CHF 74.710 Landesbank Hessen-Thuerin4.000 6/4/2021 EUR 71.600 DekaBank Deutsche Girozen4.700 5/29/2020 EUR 61.860 DekaBank Deutsche Girozen6.000 5/29/2020 EUR 52.670 Landesbank Baden-Wuerttem3.000 10/23/2020 EUR 72.130 DekaBank Deutsche Girozen2.500 5/29/2020 EUR 70.770 DekaBank Deutsche Girozen3.000 5/29/2020 EUR 74.970 SG Issuer SA 5.000 5/23/2024 EUR 63.480 Landesbank Baden-Wuerttem2.000 4/24/2020 EUR 65.670 Landesbank Baden-Wuerttem3.500 4/24/2020 EUR 67.060 Landesbank Baden-Wuerttem5.000 4/24/2020 EUR 61.830 Landesbank Baden-Wuerttem2.000 4/24/2020 EUR 53.300 Landesbank Baden-Wuerttem2.500 4/24/2020 EUR 26.610 Landesbank Baden-Wuerttem4.000 4/24/2020 EUR 57.410 UBS AG/London 5.100 3/26/2020 EUR 53.870 DekaBank Deutsche Girozen2.200 11/20/2020 EUR 73.440 Landesbank Baden-Wuerttem2.700 10/28/2022 EUR 72.420 Raiffeisen Schweiz Genoss4.700 11/4/2020 CHF 55.430 Landesbank Hessen-Thuerin3.000 12/16/2020 EUR 70.100 EFG International Finance8.000 5/26/2020 USD 52.580 Vontobel Financial Produc10.500 3/27/2020 EUR 53.680 Vontobel Financial Produc12.500 3/27/2020 EUR 50.970 Vontobel Financial Produc6.000 3/27/2020 EUR 72.340 BNP Paribas Emissions- un5.000 6/25/2020 EUR 54.200 BNP Paribas Emissions- un5.000 6/25/2020 EUR 54.060 BNP Paribas Emissions- un9.000 6/25/2020 EUR 55.440 BNP Paribas Emissions- un4.000 3/26/2020 EUR 52.910 BNP Paribas Emissions- un5.000 3/26/2020 EUR 54.560 Luzerner Kantonalbank AG 10.000 8/28/2020 CHF 68.840 BNP Paribas Emissions- un6.000 6/25/2020 EUR 54.400 Landesbank Baden-Wuerttem3.500 6/26/2020 EUR 74.360 Landesbank Baden-Wuerttem4.000 5/27/2022 EUR 75.520 UniCredit Bank AG 4.000 7/31/2020 EUR 74.490 Leonteq Securities AG/Gue7.400 3/3/2020 CHF 60.620 Macquarie Internationale 11.550 8/28/2023 ZAR 13.697 Commerzbank AG 30.000 6/30/2020 USD Landesbank Baden-Wuerttem5.300 6/26/2020 EUR 72.680 HSBC Trinkaus & Burkhardt8.000 6/26/2020 EUR 58.020 HSBC Trinkaus & Burkhardt8.200 9/25/2020 EUR 58.210 HSBC Trinkaus & Burkhardt5.400 12/28/2020 EUR 62.770 HSBC Trinkaus & Burkhardt6.000 7/24/2020 EUR 61.330 HSBC Trinkaus & Burkhardt10.300 6/26/2020 EUR 57.090 HSBC Trinkaus & Burkhardt9.400 7/24/2020 EUR 58.310 HSBC Trinkaus & Burkhardt7.200 6/26/2020 EUR 69.920 Vontobel Financial Produc7.000 3/27/2020 EUR 65.500 Vontobel Financial Produc7.500 3/27/2020 EUR 54.120 Vontobel Financial Produc9.250 3/26/2020 EUR 71.280 Commerzbank AG 15.500 3/27/2020 EUR 68.230 Commerzbank AG 11.750 3/27/2020 EUR 74.870 Commerzbank AG 11.000 3/27/2020 EUR 69.970 DZ Bank AG Deutsche Zentr7.500 6/24/2020 EUR 52.560 DZ Bank AG Deutsche Zentr8.750 6/24/2020 EUR 72.910 Commerzbank AG 11.500 3/27/2020 EUR 71.270 Commerzbank AG 3.250 3/27/2020 EUR 68.490 Commerzbank AG 5.250 3/27/2020 EUR 61.720 Commerzbank AG 7.250 3/27/2020 EUR 57.580 DZ Bank AG Deutsche Zentr5.250 6/24/2020 EUR 71.810 DZ Bank AG Deutsche Zentr8.500 6/24/2020 EUR 67.040 DZ Bank AG Deutsche Zentr11.000 6/24/2020 EUR 68.210 UBS AG/London 10.000 3/29/2021 EUR 75.650 Landesbank Hessen-Thuerin6.100 4/26/2024 EUR 67.170 UBS AG/London 7.200 5/22/2020 EUR 68.930 Commerzbank AG 8.500 3/27/2020 EUR 70.450 Commerzbank AG 10.500 3/27/2020 EUR 66.220 Commerzbank AG 12.500 3/27/2020 EUR 62.930 Commerzbank AG 14.500 3/27/2020 EUR 60.000 HSBC Trinkaus & Burkhardt8.700 9/25/2020 EUR 56.970 HSBC Trinkaus & Burkhardt8.200 3/27/2020 EUR 69.580 HSBC Trinkaus & Burkhardt7.200 9/25/2020 EUR 71.700 HSBC Trinkaus & Burkhardt8.800 7/24/2020 EUR 70.250 Bank Julius Baer & Co Ltd10.700 9/28/2020 EUR 61.800 Vontobel Financial Produc12.000 3/27/2020 EUR 73.280 Vontobel Financial Produc8.000 3/27/2020 EUR 52.750 Vontobel Financial Produc10.000 3/27/2020 EUR 74.770 Vontobel Financial Produc9.250 3/27/2020 EUR 74.110 Commerzbank AG 9.500 3/27/2020 EUR 53.610 UniCredit Bank AG 3.600 7/18/2021 EUR 50.810 Landesbank Baden-Wuerttem4.000 6/26/2020 EUR 73.030 Landesbank Hessen-Thuerin5.650 10/28/2022 EUR 32.980 Vontobel Financial Produc16.000 12/28/2020 EUR 71.780 Vontobel Financial Produc13.000 12/28/2020 EUR 73.120 Commerzbank AG 16.250 7/24/2020 EUR 73.330 UniCredit Bank AG 9.200 12/29/2020 EUR 68.780 UniCredit Bank AG 8.500 12/29/2020 EUR 62.390 UniCredit Bank AG 6.800 12/29/2020 EUR 50.980 UniCredit Bank AG 8.700 12/29/2020 EUR 63.770 UniCredit Bank AG 8.100 12/29/2020 EUR 63.520 UniCredit Bank AG 7.600 12/29/2020 EUR 35.120 UniCredit Bank AG 6.700 12/29/2020 EUR 36.220 UniCredit Bank AG 11.800 12/29/2020 EUR 48.520 UniCredit Bank AG 10.000 12/29/2020 EUR 39.000 UniCredit Bank AG 8.100 12/29/2020 EUR 62.680 UniCredit Bank AG 8.900 12/29/2020 EUR 25.110 UniCredit Bank AG 7.300 12/29/2020 EUR 57.320 UniCredit Bank AG 6.600 12/29/2020 EUR 58.590 UniCredit Bank AG 9.300 12/29/2020 EUR 43.500 UniCredit Bank AG 7.600 12/29/2020 EUR 41.880 UniCredit Bank AG 7.800 12/29/2020 EUR 72.880 UniCredit Bank AG 8.400 12/29/2020 EUR 56.670 UniCredit Bank AG 8.100 12/29/2020 EUR 58.120 UniCredit Bank AG 6.100 12/29/2020 EUR 67.170 Vontobel Financial Produc9.000 6/5/2020 EUR 49.920 UniCredit Bank AG 4.000 6/7/2022 EUR 61.270 Leonteq Securities AG/Gue5.600 5/25/2021 CHF 55.950 Landesbank Baden-Wuerttem4.650 3/27/2020 EUR 56.780 UBS AG/London 11.000 5/4/2020 USD 63.000 UBS AG/London 7.000 5/4/2020 CHF 69.000 Raiffeisen Schweiz Genoss4.600 5/25/2020 CHF 52.810 Raiffeisen Schweiz Genoss8.600 5/28/2020 CHF 54.850 Raiffeisen Schweiz Genoss6.450 5/25/2020 CHF 67.900 UBS AG/London 6.000 5/18/2020 CHF 54.200 Landesbank Hessen-Thuerin2.350 12/21/2020 EUR 73.600 UniCredit Bank AG 7.000 12/29/2020 EUR 72.610 UniCredit Bank AG 9.800 12/29/2020 EUR 59.240 UniCredit Bank AG 9.400 12/29/2020 EUR 60.370 UniCredit Bank AG 6.300 12/29/2020 EUR 58.590 UniCredit Bank AG 10.100 12/29/2020 EUR 76.120 UniCredit Bank AG 9.300 12/29/2020 EUR 62.240 UniCredit Bank AG 6.600 12/29/2020 EUR 60.160 UniCredit Bank AG 10.500 12/29/2020 EUR 73.460 UniCredit Bank AG 6.900 12/29/2020 EUR 59.240 UniCredit Bank AG 9.800 12/29/2020 EUR 74.180 UniCredit Bank AG 8.800 12/29/2020 EUR 61.020 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65.680 Leonteq Securities AG 3.800 2/15/2021 CHF 32.080 Credit Suisse AG/Nassau 5.500 2/17/2020 CHF 73.390 UBS AG/London 6.750 7/31/2020 CHF 72.200 EFG International Finance7.000 2/15/2021 CHF 72.380 EFG International Finance7.800 2/15/2021 EUR 59.230 Landesbank Baden-Wuerttem3.000 2/26/2021 EUR 67.220 Corner Banca SA 7.600 2/2/2021 CHF 69.680 DekaBank Deutsche Girozen6.550 8/21/2020 EUR 57.830 Landesbank Hessen-Thuerin3.500 3/9/2022 EUR 65.220 Zurcher Kantonalbank Fina4.704 2/5/2021 CHF 73.930 DZ Bank AG Deutsche Zentr4.250 9/21/2020 EUR 67.520 DZ Bank AG Deutsche Zentr6.200 9/21/2020 EUR 73.760 Commerzbank AG 11.750 8/28/2020 EUR 70.500 National Capital JSC 10.000 9/15/2020 RUB 100.00 DekaBank Deutsche Girozen2.700 7/1/2020 EUR 62.190 DekaBank Deutsche Girozen3.000 9/23/2020 EUR 74.910 Leonteq Securities AG/Gue14.200 11/5/2020 USD 70.120 Commerzbank AG 9.750 8/28/2020 EUR 72.760 Societe Generale Effekten13.589 3/27/2020 EUR 73.180 Societe Generale Effekten14.057 3/27/2020 EUR 73.260 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4.150 8/25/2020 EUR 2.571 Lehman Brothers Treasury 8.000 4/20/2009 EUR 2.571 Lehman Brothers Treasury 8.600 7/31/2013 GBP 2.571 Lehman Brothers Treasury 7.500 7/31/2013 GBP 2.571 Lehman Brothers Treasury 8.280 7/31/2013 GBP 2.571 Lehman Brothers Treasury 3.820 10/20/2009 USD 2.571 Lehman Brothers Treasury 4.100 5/20/2009 USD 2.571 Lehman Brothers Treasury 2.000 6/21/2011 EUR 2.571 Kaupthing ehf 6.500 10/8/2010 ISK 0.250 OOO SPV Structural Invest0.010 9/1/2023 RUB 66.740 Lehman Brothers Treasury 3.700 6/6/2009 EUR 2.571 Lehman Brothers Treasury 1.280 11/6/2010 JPY 3.750 Lehman Brothers Treasury 4.500 8/2/2009 USD 2.571 Lehman Brothers Treasury 4.000 12/2/2012 EUR 2.571 Lehman Brothers Treasury 4.350 8/8/2016 SGD 3.750 Otkritie Holding JSC 10.770 9/17/2027 RUB 0.010 Lehman Brothers Treasury 8.500 7/6/2009 CHF 2.571 AKB Peresvet ZAO 13.000 10/7/2017 RUB 18.000 Lehman Brothers Treasury 7.500 9/13/2009 CHF 2.571 Lehman Brothers Treasury 4.200 12/3/2008 HKD 3.400 Lehman Brothers Treasury 3.600 3/19/2018 JPY 2.571 Hellas Telecommunications8.500 10/15/2013 EUR 0.444 Lehman Brothers Treasury 2.000 5/17/2010 EUR 2.571 Lehman Brothers Treasury 6.000 6/21/2011 EUR 2.571 Lehman Brothers Treasury 4.000 2/28/2010 EUR 2.571 Lehman Brothers Treasury 0.500 2/16/2009 EUR 2.571 Lehman Brothers Treasury 6.000 7/28/2010 EUR 2.571 Lehman Brothers Treasury 6.000 7/28/2010 EUR 2.571 Lehman Brothers Treasury 7.000 7/11/2010 EUR 2.571 Lehman Brothers Treasury 3.000 8/8/2017 EUR 2.571 DZ Bank AG Deutsche Zentr5.000 9/21/2020 EUR 57.140 Landesbank Hessen-Thuerin3.300 6/15/2020 EUR 73.800 DZ Bank AG Deutsche Zentr6.250 9/21/2020 EUR 57.870 DZ Bank AG Deutsche Zentr7.800 9/21/2020 EUR 59.410 EFG International Finance7.400 1/25/2021 CHF 65.540 DekaBank Deutsche Girozen2.000 1/22/2021 EUR 67.900 DekaBank Deutsche Girozen2.000 1/22/2021 EUR 62.890 EFG International Finance7.600 1/11/2021 CHF 65.810 EFG International Finance7.200 1/25/2021 EUR 50.430 UniCredit Bank AG 4.200 2/12/2021 EUR 70.130 UniCredit Bank AG 5.900 2/12/2021 EUR 46.180 Landesbank Hessen-Thuerin3.000 6/15/2020 EUR 70.700 Leonteq Securities AG/Gue8.000 7/22/2020 CHF 62.980 Landesbank Baden-Wuerttem2.000 2/28/2020 EUR 63.050 UBS AG/London 5.750 7/6/2020 EUR 67.450 Landesbank Baden-Wuerttem5.000 2/28/2020 EUR 49.470 UniCredit Bank AG 3.500 1/5/2021 EUR 63.160 Landesbank Baden-Wuerttem2.650 9/25/2020 EUR 73.330 Landesbank Hessen-Thuerin3.800 9/9/2020 EUR 64.300 DekaBank Deutsche Girozen4.550 7/31/2020 EUR 58.730 Landesbank Hessen-Thuerin4.000 2/17/2021 EUR 35.790 Leonteq Securities AG/Gue4.000 12/29/2020 CHF 38.290 DZ Bank AG Deutsche Zentr8.500 6/24/2020 EUR 52.130 UniCredit Bank AG 4.550 2/12/2021 EUR 73.870 UBS AG/London 4.000 7/6/2021 EUR 70.270 Landesbank Baden-Wuerttem3.100 3/26/2021 EUR 68.950 Landesbank Baden-Wuerttem3.000 3/26/2021 EUR 63.130 Corner Banca SA 7.400 7/22/2020 CHF 67.290 Bank Otkritie Financial C1.000 11/11/2023 RUB 65.000 DZ Bank AG Deutsche Zentr5.500 8/26/2020 EUR 68.270 Vontobel Financial Produc7.500 9/25/2020 EUR 72.350 Leonteq Securities AG/Gue5.600 8/24/2021 CHF 59.650 Societe Generale Effekten13.074 3/20/2020 EUR 70.060 Societe Generale Effekten19.949 3/20/2020 EUR 70.030 EFG International Finance8.000 4/21/2020 USD 48.160 Societe Generale Effekten3.750 5/24/2021 EUR 40.650 Landesbank Baden-Wuerttem4.150 6/25/2021 EUR 74.340 Landesbank Hessen-Thuerin3.150 5/11/2022 EUR 65.080 Leonteq Securities AG/Gue5.200 7/28/2020 CHF 71.610 DekaBank Deutsche Girozen2.100 1/4/2021 EUR 61.670 Raiffeisen Centrobank AG 5.333 3/5/2020 EUR 67.620 UniCredit Bank AG 4.200 1/4/2021 EUR 44.510 Leonteq Securities AG/Gue5.000 8/17/2020 CHF 59.250 Leonteq Securities AG 6.000 8/17/2021 CHF 74.060 UniCredit Bank AG 3.750 8/23/2021 EUR 72.670 UBS AG/London 6.500 8/10/2020 CHF 59.300 UBS AG/London 10.000 8/10/2020 CHF 64.750 UBS AG/London 6.500 2/8/2021 EUR 63.250 Raiffeisen Schweiz Genoss5.300 8/17/2020 CHF 58.730 Landesbank Hessen-Thuerin6.000 12/1/2022 EUR 47.900 Credit Suisse AG/London 9.500 2/24/2020 USD 65.290 Landesbank Hessen-Thuerin5.200 9/8/2022 EUR 63.420 EFG International Finance9.200 8/27/2020 USD 74.540 EFG International Finance7.100 8/14/2020 EUR 59.270 Landesbank Hessen-Thuerin4.000 9/14/2022 EUR 72.540 WEB Windenergie AG 2.250 9/25/2028 EUR 55.010 WEB Windenergie AG 4.500 EUR 55.010 Landesbank Baden-Wuerttem5.500 2/28/2020 EUR 56.920 DekaBank Deutsche Girozen2.400 8/21/2020 EUR 49.360 Landesbank Baden-Wuerttem3.750 12/29/2020 EUR 67.440 Leonteq Securities AG/Gue6.200 2/10/2021 CHF 61.000 DekaBank Deutsche Girozen6.300 7/3/2020 EUR 50.570 UBS AG/London 6.000 8/3/2020 CHF 30.600 DekaBank Deutsche Girozen3.000 12/29/2022 EUR 68.740 DekaBank Deutsche Girozen2.900 1/4/2021 EUR 64.240 Landesbank Baden-Wuerttem5.200 3/27/2020 EUR 58.800 EFG International Finance6.600 8/3/2020 EUR 73.040 EFG International Finance6.000 8/13/2021 CHF 61.680 Zurcher Kantonalbank Fina5.000 12/14/2020 EUR 68.400 Landesbank Baden-Wuerttem4.450 8/28/2020 EUR 73.390 DekaBank Deutsche Girozen2.300 1/8/2021 EUR 74.710 UBS AG/London 3.800 3/26/2020 EUR 59.160 Leonteq Securities AG/Gue10.600 2/17/2020 CHF 58.610 Leonteq Securities AG 5.000 2/17/2021 CHF 49.200 DekaBank Deutsche Girozen3.800 12/18/2020 EUR 52.580 Landesbank Hessen-Thuerin4.000 8/18/2021 EUR 37.960 Landesbank Baden-Wuerttem2.500 2/28/2020 EUR 66.800 Landesbank Hessen-Thuerin6.100 12/4/2023 EUR 46.660 Landesbank Baden-Wuerttem3.200 12/29/2020 EUR 69.450 UniCredit Bank AG 3.800 12/29/2022 EUR 51.950 DekaBank Deutsche Girozen5.150 7/3/2020 EUR 61.970 Leonteq Securities AG/Gue10.600 12/8/2020 EUR 58.880 Landesbank Hessen-Thuerin3.500 1/5/2022 EUR 54.210 Landesbank Hessen-Thuerin4.000 1/5/2022 EUR 59.340 UBS AG/London 10.000 8/3/2020 CHF 65.900 Societe Generale SA 8.000 12/3/2020 USD Landesbank Baden-Wuerttem4.750 3/27/2020 EUR 66.150 EFG International Finance6.000 8/3/2020 USD 54.210 Raiffeisen Schweiz Genoss5.200 8/10/2020 CHF 57.850 UniCredit Bank AG 3.600 8/23/2021 EUR 54.060 DekaBank Deutsche Girozen3.000 2/21/2020 EUR 74.620 Commerzbank AG 4.500 2/21/2020 EUR 72.710 DekaBank Deutsche Girozen4.400 2/21/2020 EUR 72.550 DekaBank Deutsche Girozen2.050 2/21/2020 EUR 72.400 BNP Paribas Emissions- un13.000 3/26/2020 EUR 73.080 HSBC Trinkaus & Burkhardt13.000 6/26/2020 EUR 38.230 Vontobel Financial Produc16.500 6/26/2020 EUR 73.030 Vontobel Financial Produc17.500 9/25/2020 EUR 72.790 UBS AG/London 17.900 9/24/2020 EUR 69.480 UBS AG/London 14.400 9/24/2020 EUR 71.250 UBS AG/London 21.600 9/24/2020 EUR 68.260 Raiffeisen Schweiz Genoss5.000 4/3/2020 CHF 30.080 Societe Generale Effekten14.539 3/20/2020 EUR 69.050 Landesbank Hessen-Thuerin3.100 11/9/2020 EUR 73.000 Societe Generale Effekten22.316 3/20/2020 EUR 68.380 Societe Generale Effekten23.781 6/19/2020 EUR 74.310 Landesbank Hessen-Thuerin3.600 11/9/2020 EUR 67.100 Landesbank Baden-Wuerttem3.700 6/26/2020 EUR 73.270 Leonteq Securities AG 7.400 4/24/2020 USD 46.950 DekaBank Deutsche Girozen2.900 5/15/2020 EUR 62.370 DekaBank Deutsche Girozen2.100 5/15/2020 EUR 49.350 BNP Paribas Emissions- un11.000 6/25/2020 EUR 69.470 BNP Paribas Emissions- un15.000 3/26/2020 EUR 57.150 BNP Paribas Emissions- un6.500 3/26/2020 EUR 62.510 BNP Paribas Emissions- un9.000 3/26/2020 EUR 56.970 BNP Paribas Emissions- un15.000 3/26/2020 EUR 48.710 BNP Paribas Emissions- un9.000 6/25/2020 EUR 58.240 UniCredit Bank AG 6.100 8/12/2020 EUR 58.540 DZ Bank AG Deutsche Zentr6.250 2/26/2020 EUR 68.830 DZ Bank AG Deutsche Zentr11.500 2/26/2020 EUR 66.410 DZ Bank AG Deutsche Zentr6.500 2/26/2020 EUR 66.770 DZ Bank AG Deutsche Zentr7.800 3/23/2020 EUR 66.800 Vontobel Financial Produc12.000 3/13/2020 EUR 66.930 Vontobel Financial Produc13.000 3/27/2020 EUR 71.300 HSBC Trinkaus & Burkhardt7.200 9/25/2020 EUR 62.780 DekaBank Deutsche Girozen3.000 6/17/2020 EUR 72.100 Vontobel Financial Produc9.000 3/13/2020 EUR 56.460 Landesbank Baden-Wuerttem2.800 12/23/2022 EUR 70.120 DZ Bank AG Deutsche Zentr11.000 6/24/2020 EUR 50.360 Vontobel Financial Produc7.000 3/13/2020 EUR 56.400 HSBC Trinkaus & Burkhardt8.400 6/26/2020 EUR 72.680 UBS AG/London 12.000 4/13/2020 USD 45.400 UniCredit Bank AG 6.000 1/18/2021 EUR 44.040 DZ Bank AG Deutsche Zentr5.500 6/24/2020 EUR 54.610 UBS AG/London 8.500 6/15/2020 CHF 69.850 EFG International Finance7.200 12/29/2020 EUR 54.030 Landesbank Baden-Wuerttem3.000 7/24/2020 EUR 73.940 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 67.280 Vontobel Financial Produc11.000 3/13/2020 EUR 53.310 Vontobel Financial Produc16.000 3/13/2020 EUR 69.640 Landesbank Baden-Wuerttem3.000 7/24/2020 EUR 47.420 Landesbank Baden-Wuerttem5.000 7/24/2020 EUR 42.920 Vontobel Financial Produc15.500 3/27/2020 EUR 67.510 Vontobel Financial Produc18.000 3/13/2020 EUR 63.490 Goldman Sachs & Co Wertpa8.000 6/24/2020 EUR 72.810 UBS AG/London 8.000 6/15/2020 EUR 61.000 Vontobel Financial Produc6.500 3/13/2020 EUR 60.010 Landesbank Baden-Wuerttem5.000 9/25/2020 EUR 73.450 HSBC Trinkaus & Burkhardt10.500 6/26/2020 EUR 42.140 HSBC Trinkaus & Burkhardt7.700 6/26/2020 EUR 45.720 HSBC Trinkaus & Burkhardt5.200 6/26/2020 EUR 50.590 HSBC Trinkaus & Burkhardt9.700 2/28/2020 EUR 41.060 HSBC Trinkaus & Burkhardt3.600 6/26/2020 EUR 74.240 HSBC Trinkaus & Burkhardt6.900 9/25/2020 EUR 64.530 HSBC Trinkaus & Burkhardt4.900 9/25/2020 EUR 69.790 HSBC Trinkaus & Burkhardt9.600 3/27/2020 EUR 71.470 Deutsche Bank AG 6.200 3/24/2020 EUR 74.970 Citigroup Global Markets 12.000 2/13/2024 SEK 69.210 Vontobel Financial Produc10.500 3/27/2020 EUR 68.930 Vontobel Financial Produc11.000 3/27/2020 EUR 62.210 Vontobel Financial Produc9.500 3/27/2020 EUR 65.410 Bank Julius Baer & Co Ltd10.350 5/4/2020 EUR 74.800 Bank Julius Baer & Co Ltd15.500 5/4/2020 USD 55.050 Vontobel Financial Produc8.950 4/21/2020 EUR 73.460 Leonteq Securities AG 9.200 7/23/2020 CHF 71.140 Vontobel Financial Produc11.500 6/26/2020 EUR 73.080 Vontobel Financial Produc15.000 3/27/2020 EUR 61.250 Vontobel Financial Produc13.000 6/26/2020 EUR 61.170 Vontobel Financial Produc12.000 6/26/2020 EUR 50.390 Vontobel Financial Produc13.000 3/27/2020 EUR 48.410 DZ Bank AG Deutsche Zentr8.000 6/24/2020 EUR 67.130 UBS AG/London 9.250 10/26/2020 EUR 70.250 UniCredit Bank AG 10.300 7/24/2020 EUR 74.170 UniCredit Bank AG 14.300 7/24/2020 EUR 74.500 UniCredit Bank AG 12.600 7/24/2020 EUR 71.010 UniCredit Bank AG 13.100 7/24/2020 EUR 71.980 UniCredit Bank AG 14.300 7/24/2020 EUR 70.240 Bank Julius Baer & Co Ltd10.060 4/27/2020 CHF 70.600 Bank Julius Baer & Co Ltd8.500 4/27/2020 EUR 68.600 Landesbank Baden-Wuerttem3.750 4/20/2020 EUR 64.880 Bank Julius Baer & Co Ltd9.650 4/27/2020 USD 69.550 Landesbank Baden-Wuerttem2.300 2/25/2022 EUR 74.890 Landesbank Hessen-Thuerin4.000 12/22/2021 EUR 47.620 Raiffeisen Switzerland BV4.800 11/23/2023 CHF 53.930 UniCredit Bank AG 4.450 12/29/2022 EUR 61.980 UniCredit Bank AG 4.300 12/19/2021 EUR 58.480 UniCredit Bank AG 4.700 12/19/2021 EUR 59.280 UniCredit Bank AG 5.900 12/19/2020 EUR 44.810 Natixis SA 3.690 11/9/2020 USD 68.168 Landesbank Hessen-Thuerin3.250 7/8/2020 EUR 61.800 Landesbank Hessen-Thuerin1.950 9/3/2021 EUR 50.800 Goldman Sachs & Co Wertpa10.000 3/25/2020 EUR 51.480 Goldman Sachs & Co Wertpa3.000 6/24/2020 EUR 73.140 Goldman Sachs & Co Wertpa5.000 6/24/2020 EUR 68.820 Goldman Sachs & Co Wertpa10.000 6/24/2020 EUR 57.230 DekaBank Deutsche Girozen3.450 7/31/2020 EUR 59.420 Leonteq Securities AG 6.200 2/17/2021 CHF 60.750 UBS AG/London 10.000 8/10/2020 USD 56.360 Raiffeisen Schweiz Genoss6.000 2/17/2020 CHF 66.300 Landesbank Hessen-Thuerin3.500 9/8/2022 EUR 55.880 DekaBank Deutsche Girozen4.250 5/3/2022 EUR 54.180 DekaBank Deutsche Girozen6.200 11/9/2020 EUR 62.480 DekaBank Deutsche Girozen2.200 5/8/2020 EUR 44.220 DekaBank Deutsche Girozen2.500 5/7/2021 EUR 74.540 DekaBank Deutsche Girozen3.050 5/7/2021 EUR 67.890 EFG International Finance5.600 4/26/2021 CHF 60.990 Leonteq Securities AG/Gue5.000 10/20/2020 CHF 58.470 UniCredit Bank AG 6.350 5/14/2021 EUR 48.990 Landesbank Baden-Wuerttem4.500 2/28/2020 EUR 70.730 Landesbank Baden-Wuerttem4.550 2/28/2020 EUR 61.060 Landesbank Baden-Wuerttem6.500 2/28/2020 EUR 41.010 UniCredit Bank AG 4.400 5/17/2021 EUR 72.250 EFG International Finance6.200 5/3/2021 CHF 61.640 Commerzbank AG 3.200 4/6/2020 USD 65.540 Landesbank Baden-Wuerttem3.500 12/29/2020 EUR 56.610 UBS AG/London 9.000 4/14/2020 CHF 65.150 UBS AG/London 7.000 4/14/2020 CHF 68.850 DekaBank Deutsche Girozen3.300 5/8/2020 EUR 61.700 UniCredit Bank AG 4.900 11/14/2021 EUR 55.510 Landesbank Hessen-Thuerin5.500 5/25/2023 EUR 63.980 UBS AG/London 7.000 4/20/2020 CHF 58.150 Raiffeisen Schweiz Genoss6.250 4/27/2020 CHF 55.570 Raiffeisen Schweiz Genoss6.600 4/27/2020 EUR 73.230 Leonteq Securities AG/Gue8.000 10/27/2020 CHF 59.420 Landesbank Hessen-Thuerin6.000 8/25/2023 EUR 49.710 Landesbank Hessen-Thuerin5.900 8/25/2023 EUR 38.180 UBS AG/London 8.750 4/27/2020 EUR 66.100 UBS AG/London 8.000 4/27/2020 EUR 53.850 Goldman Sachs & Co Wertpa13.000 3/25/2020 EUR 47.570 Goldman Sachs & Co Wertpa10.000 6/24/2020 EUR 52.730 Goldman Sachs & Co Wertpa5.000 3/25/2020 EUR 67.540 Goldman Sachs & Co Wertpa15.000 3/25/2020 EUR 50.250 Leonteq Securities AG/Gue6.400 6/4/2020 CHF 18.550 DekaBank Deutsche Girozen5.500 2/26/2021 EUR 67.130 Vontobel Financial Produc4.500 12/30/2020 EUR 67.660 Landesbank Baden-Wuerttem2.750 11/25/2022 EUR 71.460 Landesbank Baden-Wuerttem4.000 2/28/2020 EUR 59.810 UBS AG/London 5.250 6/1/2020 USD 66.000 Bank Julius Baer & Co Ltd6.400 2/21/2020 EUR 70.900 Lehman Brothers Treasury 4.870 10/8/2013 USD 2.571 Derzhava-Garant OOO 9.000 6/24/2020 RUB 60.000 Lehman Brothers Treasury 3.025 1/31/2015 EUR 2.571 Lehman Brothers Treasury 2.370 7/15/2013 USD 2.571 Lehman Brothers Treasury 1.950 11/4/2013 EUR 2.571 Heta Asset Resolution AG 4.875 12/31/2023 EUR 1.748 Lehman Brothers Treasury 2.300 6/27/2013 USD 2.571 Heta Asset Resolution AG 5.030 12/31/2023 EUR 1.748 Lehman Brothers Treasury 15.000 3/30/2011 EUR 2.571 Lehman Brothers Treasury 9.250 6/20/2012 USD 2.571 Lehman Brothers Treasury 0.750 3/29/2012 EUR 2.571 Lehman Brothers Treasury 4.500 3/7/2015 EUR 2.571 Lehman Brothers Treasury 7.750 1/30/2009 EUR 2.571 Kaupthing ehf 5.000 1/4/2027 SKK 0.250 RGS Nedvizhimost OOO 12.000 10/18/2017 RUB 0.335 Lehman Brothers Treasury 3.000 9/13/2010 JPY 3.750 Lehman Brothers Treasury 3.500 10/31/2011 USD 2.571 Lehman Brothers Treasury 0.250 10/19/2012 CHF 2.571 Mriya Agro Holding PLC 10.950 3/30/2016 USD 7.875 Lehman Brothers Treasury 7.000 2/15/2012 EUR 2.571 Lehman Brothers Treasury 6.000 2/14/2012 EUR 2.571 Lehman Brothers Treasury 4.690 2/19/2017 EUR 2.571 Lehman Brothers Treasury 3.500 10/24/2011 USD 2.571 Lehman Brothers Treasury 5.200 3/19/2018 EUR 2.571 Lehman Brothers Treasury 5.000 5/2/2022 EUR 2.571 Lehman Brothers Treasury 5.000 4/24/2017 EUR 2.571 Lehman Brothers Treasury 0.800 12/30/2016 EUR 2.571 Kaupthing ehf 5.250 7/18/2017 BGN 0.250 Kaupthing ehf 3.750 2/15/2024 ISK 0.250 Lehman Brothers Treasury 4.800 11/16/2012 HKD 2.571 Lehman Brothers Treasury 16.000 10/8/2008 CHF 2.571 SG Issuer SA 3.300 9/26/2034 ZAR 45.876 Lehman Brothers Treasury 6.000 9/20/2011 EUR 2.571 Lehman Brothers Treasury 11.000 12/20/2017 AUD 2.571 Lehman Brothers Treasury 11.000 12/20/2017 AUD 2.571 Lehman Brothers Treasury 0.500 12/20/2017 AUD 2.571 Lehman Brothers Treasury 0.500 12/20/2017 AUD 3.400 Lehman Brothers Treasury 4.000 1/4/2011 USD 2.571 Lehman Brothers Treasury 0.500 12/20/2017 AUD 2.571 Kaupthing ehf 4.730 12/19/2008 SKK 0.250 Lehman Brothers Treasury 8.800 12/27/2009 EUR 2.571 Lehman Brothers Treasury 3.500 12/20/2027 USD 2.571 Lehman Brothers Treasury 5.200 11/9/2011 EUR 3.400 Lehman Brothers Treasury 4.600 10/11/2017 ILS 3.750 Lehman Brothers Treasury 14.900 11/16/2010 EUR 2.571 Lehman Brothers Treasury 8.000 3/19/2012 USD 2.571 Lehman Brothers Treasury 1.000 2/26/2010 USD 2.571 Lehman Brothers Treasury 0.500 12/20/2017 USD 2.571 Lehman Brothers Treasury 13.000 2/16/2009 CHF 2.571 Lehman Brothers Treasury 5.000 11/22/2012 EUR 2.571 Lehman Brothers Treasury 5.500 4/23/2014 EUR 2.571 Lehman Brothers Treasury 10.600 4/22/2014 MXN 2.571 Lehman Brothers Treasury 7.150 3/21/2013 USD 2.571 Lehman Brothers Treasury 6.450 2/20/2010 AUD 2.571 Lehman Brothers Treasury 7.500 2/14/2010 AUD 2.571 Lehman Brothers Treasury 15.000 6/4/2009 CHF 2.571 Lehman Brothers Treasury 5.550 3/12/2015 EUR 2.571 KPNQwest NV 7.125 6/1/2009 EUR 0.634 Lehman Brothers Treasury 2.000 6/28/2011 EUR 2.571 Lehman Brothers Treasury 3.000 6/3/2010 EUR 2.571 Lehman Brothers Treasury 9.000 5/6/2011 CHF 2.571 Lehman Brothers Treasury 16.000 11/9/2008 USD 2.571 Lehman Brothers Treasury 16.200 5/14/2009 USD 2.571 Kaupthing ehf 4.825 5/10/2045 ISK 0.250 Lehman Brothers Treasury 7.600 3/4/2010 NZD 2.571 Lehman Brothers Treasury 17.000 6/2/2009 USD 2.571 Lehman Brothers Treasury 23.300 9/16/2008 USD 2.571 Lehman Brothers Treasury 10.000 5/22/2009 USD 2.571 Lehman Brothers Treasury 8.000 5/22/2009 USD 2.571 Lehman Brothers Treasury 4.600 8/1/2013 EUR 2.571 Lehman Brothers Treasury 12.000 7/13/2037 JPY 2.571 Lehman Brothers Treasury 1.600 6/21/2010 JPY 2.571 Lehman Brothers Treasury 6.600 5/23/2012 AUD 2.571 Lehman Brothers Treasury 3.450 5/23/2013 USD 2.571 Lehman Brothers Treasury 16.000 10/28/2008 USD 2.571 Lehman Brothers Treasury 0.500 7/2/2020 EUR 2.571 Lehman Brothers Treasury 2.500 8/15/2012 CHF 2.571 Lehman Brothers Treasury 13.150 10/30/2008 USD 2.571 Nota-Bank OJSC 13.500 4/1/2016 RUB 31.500 Lehman Brothers Treasury 10.000 10/22/2008 USD 2.571 Lehman Brothers Treasury 7.000 4/24/2009 USD 2.571 Lehman Brothers Treasury 3.500 6/20/2011 EUR 2.571 Lehman Brothers Treasury 5.500 6/22/2010 USD 3.400 Lehman Brothers Treasury 10.000 10/23/2008 USD 2.571 Fondovye Strategicheskie 1.500 10/5/2020 RUB 100.00 Heta Asset Resolution AG 5.270 12/31/2023 EUR 1.748 Lehman Brothers Treasury 8.000 12/27/2032 JPY 2.571 Lehman Brothers Treasury 7.060 12/29/2008 EUR 2.571 Lehman Brothers Treasury 5.120 4/30/2027 EUR 2.571 Lehman Brothers Treasury 6.720 12/29/2008 EUR 2.571 Lehman Brothers Treasury 4.820 12/18/2036 EUR 2.571 Lehman Brothers Treasury 0.010 9/20/2011 USD 2.571 Lehman Brothers Treasury 4.100 8/23/2010 USD 2.571 Lehman Brothers Treasury 7.750 2/21/2016 EUR 2.571 Kaupthing ehf 7.000 7/24/2009 ISK 0.250 Lehman Brothers Treasury 4.050 9/16/2008 EUR 2.571 LBI ehf 5.080 3/1/2013 ISK 7.375 Heta Asset Resolution AG 0.281 12/31/2023 EUR 1.748 Lehman Brothers Treasury 7.625 7/22/2011 HKD 2.571 Lehman Brothers Treasury 6.600 2/9/2009 EUR 2.571 HSBC Bank PLC 0.500 11/25/2025 BRL 67.694 Lehman Brothers Treasury 2.400 6/20/2011 JPY 2.571 Lehman Brothers Treasury 4.050 9/16/2008 EUR 2.571 Vontobel Financial Produc5.250 2/21/2020 EUR 56.050 ********* 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 2020. 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 * * *