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

                          E U R O P E

          Monday, May 4, 2020, Vol. 21, No. 89

                           Headlines



B E L G I U M

LBC TANK: S&P Lowers ICR to 'B' on Revised Growth Expectations


B U L G A R I A

EXPRESSBANK AD: Fitch Affirms BB+ LT IDRs, Alters Outlook to Neg.


G E O R G I A

GEORGIA: Fitch Affirms 'BB' LT IDR, Alters Outlook to Negative


G E R M A N Y

ROHM HOLDCO: S&P Cuts ICR to 'B-' on Lower Demand, Outlook Stable


G R E E C E

GREECE: S&P Affirms 'BB-/B' SCR, Alters Outlook  to Stable


I R E L A N D

[*] Fitch Alters Outlook on 3 Tranches from 2 EU CLOs to Neg.
[*] Fitch Alters Outlook on 3 Tranches from 3 EU CLOs to Neg.
[*] Fitch Alters Outlook on 7 Tranches from 6 EU CLOs to Neg.
[*] Fitch Alters Outlook on 8 Tranches from 3 EU CLOs to Neg.
[*] Fitch Alters Outlook on 8 Tranches from 4 EU CLOs to Neg.

[*] Fitch Places 5 Tranches on 5 European CLOs on Negative Outlook
[*] Fitch Places 8 Tranches from 5 European CLOs on Neg. Outlook


I T A L Y

GUALA CLOSURES: S&P Alters Outlook to Stable & Affirms 'B+' ICR


L U X E M B O U R G

FLINT HOLDCO: S&P Affirms 'CCC+' Long-Term Issuer Credit Rating


N E T H E R L A N D S

[*] Fitch Alters Outlook on 9 Tranches from 5 EU CLOs to Neg.


N O R W A Y

NORWEGIAN AIR: Reaches Debt-for-Equity Swap Deal with Bondholders


P O L A N D

ZABRZE: Fitch Affirms LT IDRs at 'BB+', Outlook Stable


R U S S I A

NATIONAL FACTORING: S&P Affirms 'B/B' ICRs, Outlook Stable


S P A I N

KUTXA HIPOTECARIO 1: Fitch Affirms Class C Notes Rating at 'BB+sf'


U K R A I N E

NAFTOGAZ: Fitch Affirms 'B' LT IDR, Alters Outlook to Stable


U N I T E D   K I N G D O M

DRYDEN 74 2020: S&P Assigns B- (sf) Rating on Class F Notes
ELLI INVESTMENTS: Fitch Withdraws 'D' IDR Over Insufficient Data
FONTWELL SECURITIES 2016: Fitch Places 6 Tranches on Watch Neg.
INTU PROPERTIES: Obtains Temporary Lifeline from Lenders
LGC SCIENCE: S&P Assigns B Issuer Credit Rating, Outlook Negative

MITCHELLS & BUTLERS: S&P Places 'BB' C1 Notes Rating on Watch Neg.
MOTION MIDCO: S&P Downgrades ICR to 'B', On CreditWatch Negative
NEWDAY GROUP: S&P Alters Outlook to Negative & Affirms 'B+' ICR
ONEWEB: Amazon Eyes Data Room, May 4 Rescue Bid Deadline Set
P&O FERRIES: Ministers Tap Financial Advisers for Taxpayer Rescue

TOGETHER FINANCIAL: S&P Alters Outlook to Neg. & Affirms 'BB-' ICR
VENATOR MATERIALS: S&P Lowers LT ICR to 'B-', Outlook Stable
WINDBOATS MARINE: Enters Administration Amid Coronavirus Crisis


X X X X X X X X

[*] BOND PRICING: For the Week April 27 to May 1, 2020

                           - - - - -


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B E L G I U M
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LBC TANK: S&P Lowers ICR to 'B' on Revised Growth Expectations
--------------------------------------------------------------
S&P Global Ratings lowered its issuer credit rating on LBC Tank
Terminals Holding Netherlands BV (LBC) to 'B' from 'B+', its
issue-level rating on the company's senior secured notes to 'BB-'
from 'BB', and its issue-level rating on the company's senior
unsecured debt to 'B-' from 'B'.

S&P said, "We revised our forecasts on LBC to reflect
slower-than-expected execution of the company's growth plan.  LBC
continues to operate with a highly leveraged capital structure, due
to an aggressive growth plan that's primarily funded with debt.
This is reflected in our adjusted debt-to-EBITDA ratio for the
company, which averaged 7x in fiscal years 2018-2019. We also
believe the company's robust growth plan will lead to pronounced
execution risk, especially in light of LBC's relatively small size.
In our opinion, this risk is exacerbated by the current global
demand weakness, and we believe there is a likelihood that leverage
will remain elevated at above 6.5x over the next 12-18 months. In
our forecast, we make an adjustment to debt for operating lease
obligations, which adds to total debt. We also haircut the cash
balance to arrive at an S&P Global Ratings-adjusted debt amount.
Both of these adjustments lead to higher adjusted debt compared to
the reported debt balance when calculating adjusted credit ratios.
We forecast fiscal 2020 EBITDA of about $110 million, which is in
line with the company's projections, an increase of about 14% over
the prior year.

"The stable outlook reflects S&P Global Ratings' expectation that
leverage will remain at about 6.5x over the 12-18-month outlook
period. As LBC executes on its growth plan, we expect the company
will have enough flexibility in its capital spending plan to
prevent leverage from significantly exceeding our expectations. We
also expect the company will successfully execute its growth
capital plans, receive sizable equity contributions from its
parents, and maintain adequate liquidity.

"We could lower the rating if LBC's leverage exceeds 7.5x over the
12-month outlook period. This could be the result of
lower-than-expected utilization across the company's terminals,
slower-than-expected ramp up of completed growth projects, or any
delay in receiving contracted revenue from counterparties. We could
also consider a lower rating if growth projects experience delays
or cost overruns, and if the owners do not provide material equity
injections to fund these projects.

"We could take a positive rating action if LBC continues to
increase its scale and reduce business risk, such as by obtaining
longer-term contracts at its terminals, while reducing its leverage
such that adjusted debt-to-EBITDA falls and remains below 6.5x on a
sustained basis."




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B U L G A R I A
===============

EXPRESSBANK AD: Fitch Affirms BB+ LT IDRs, Alters Outlook to Neg.
-----------------------------------------------------------------
Fitch Ratings has revised the Outlooks on Expressbank AD's and OTP
Leasing's Long-Term Issuer Default Ratings to Negative from Stable
and affirmed their Long-Term IDRs at 'BB+' and Expressbank's
Viability Rating at bb.

The Negative Outlook on Expressbank's and OTPL's IDRs reflects
increased uncertainty about the ability of their ultimate parent,
Hungary's OTP Bank PLC, to provide support to the Bulgarian
subsidiaries. This reflects the pressure on OTP's credit profile
arising from the economic effects of the coronavirus outbreak.

Expressbank is in the process of merging with DSK Bank (unrated).
The merger process is well advanced and Fitch does not expect
significant delays to its execution. Upon completion of the legal
merger, Expressbank will cease to exist and Fitch expects to
withdraw the ratings.

OTPL's IDRs are equalised with its direct parent's (Expressbank).
Fitch expects the company's ownership to be transferred to DSK upon
the merger of Expressbank with DSK. Upon merger completion Fitch
expects OTPL's ratings to be driven by the ultimate parent's
ability and propensity to support OTPL, reflecting the strategic
importance of the Bulgarian operations to OTP.

KEY RATING DRIVERS

IDRS, SUPPORT RATINGS

The IDRs and Support Ratings of Expressbank and OTPL reflect a
moderate probability of support from their respective parents, if
required.

In its assessment of support for Expressbank, Fitch takes into
consideration the strategic importance of Bulgaria for OTP,
reputational damage for OTP from a potential default of its
subsidiary, and OTP's majority ownership stake in Expressbank.

OTP Leasing's IDRs are equalised with those of Expressbank as Fitch
views the leasing company as a core subsidiary of the bank. The
company is an integral part of financial services provided by
Expressbank and is strongly integrated with the bank from an
operational and funding perspective.

Fitch believes that any required support would be manageable
relative to Expressbank's and OTPL's respective parents' ability to
provide it.

VR

The challenging domestic operating environment weighs on its
assessment of Expressbank's credit profile. Fitch believes that
risks in the Bulgarian operating environment have increased due to
the coronavirus pandemic and its economic implications. It recently
revised the sector outlook for Bulgarian banks to negative. Fitch
has also revised the outlook on its 'bb' assessment of the
operating environment for Bulgarian banks to negative from stable.
The coronavirus outbreak will put additional pressure on
Expressbank's earnings and asset quality and therefore Fitch has
revised the outlook for these VR factors at Expressbank to negative
from stable.

Fitch's revised GDP for Bulgaria is expected to contract by 5.0%
this year (compared with forecast 3.3% growth in December 2019),
before returning to 4.6% growth in 2021. The contraction is
expected to be more intense than the emerging markets' GDP decline
median of 2.8%. The Bulgarian economy is small and significantly
exposed to the economic impact of the COVID-19 pandemic, which
presents a near-term downside risk to its performance.

Expressbank's reasonable capital buffers and solid liquidity place
the bank in a reasonable position to face the recession. In its
view, its financial profile will likely be resistant to an abrupt
but only temporary deterioration in Bulgarian economic performance.
A prolonged period of economic downturn is likely to result in a
downgrade.

Expressbank is a medium-sized universal bank with a market share of
about 6% in gross loans and almost 7% in total assets at end-2019.
It is classified as a domestic systemically important bank (D-SIB)
by the Bulgarian central bank. Expressbank was sold to DSK (OTP's
Bulgarian subsidiary) in mid-January 2019 by Societe Generale S.A.
(A/Rating Watch Negative). Expressbank's loan and deposit franchise
has not materially changed following the change of ownership.

The underlying credit risk in Expressbank's loan book has remained
broadly stable, with contained inflow of new bad debts and modest
write-offs. At end-2019, Expressbank's impaired loans ratio was
below the Bulgarian banking sector average of 9.2%. Reserve
coverage is strong. The bank's focus on corporate lending results
in relatively high single borrower concentrations in the loan book
but these exposures are reasonably diversified by sector and
comprise mostly local blue-chip companies. The negative outlook on
asset quality is driven by the pressure stemming from the operating
environment that is likely to curb the bank's borrowers' ability to
service their loans.

Profitability is solid with operating profits/risk-weighted assets
around 2.6% in 2019. Expressbank's reasonable operating efficiency
and its ability to generate adequate returns through-the-cycle
allow the bank to cover its provisioning needs and provide a solid
return on equity. Loan impairment charges have been reasonably
stable in the recent part of the credit cycle, but Fitch believes
they are likely to increase in the near term. In its view, together
with expected muted loan growth this will put pressure on the
bank's profitability, and for this reason the outlook on this score
has been revised to negative.

Expressbank's capital ratios are solid with healthy buffers above
the regulatory minimum requirements. The bank's asset quality
metrics are still above the (previous) pre-crisis level. Impaired
loans are strongly covered by loan loss reserves, which results in
modest encumbrance of capital by unreserved impaired loans. Its
assessment of the bank's capital also considers ordinary support
from its ultimate parent.

Funding and liquidity is a rating strength because of the bank's
diversified deposit franchise (based on stable and granular
customer deposits) and strong liquidity metrics. The bank has a
high self-financing capacity, with customer deposits covering
almost all funding needs. Liquid assets account for about a quarter
of total assets and the regulatory liquidity ratios are well above
the 100% minimum requirement.

RATING SENSITIVITIES

IDRS, SRs

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Expressbank's and OTPL's IDRs and SRs could be downgraded if the
credit quality of their respective parents deteriorates.
Expressbank's IDRs and SR could also be downgraded if the bank
becomes less strategically important to its parent, which Fitch
considers unlikely. OTPL's IDRs and SR could also be downgraded if
its role in the group diminishes, which Fitch does not expect.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

An upgrade of Expressbank's and OTPL's IDRs would require an
improvement in the credit quality of their respective parents.

VR

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

The bank's VR could be downgraded in case of a prolonged economic
downturn resulting in credit losses that would materially erode the
bank's capital.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Upside potential for Expressbank's VR is limited given the pressure
stemming from the economic downturn, which constrains the bank's
standalone credit profile. Any upgrade would require a significant
improvement in the operating environment, coupled with
strengthening of asset quality and sustained solid capitalization
metrics.

BEST/WORST CASE RATING SCENARIO

International scale credit 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

Expressbank's Long-Term IDR and Support Rating are linked to the
credit quality of OTP.

OTPL's Long-Term IDR and Support Rating are linked to the IDR of
Expressbank.

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).



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G E O R G I A
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GEORGIA: Fitch Affirms 'BB' LT IDR, Alters Outlook to Negative
--------------------------------------------------------------
Fitch Ratings has revised the Outlook on Georgia Long-Term
Foreign-Currency Issuer Default Rating to Negative from Stable and
affirmed the IDR at 'BB'.

KEY RATING DRIVERS

The revision of the Outlook reflects the following key rating
drivers and their relative weights:

HIGH

The Outlook revision reflects the evolving impact of the COVID-19
pandemic on Georgia. This significant shock will lead to a sharp
contraction of Georgia's small and open economy with a high
dependence on tourism, deterioration in fiscal accounts including
markedly higher public debt and increased risk stemming from
Georgia's higher external debt and wider structural current account
deficit relative to the median of its 'BB' category peers.

Real GDP growth is forecast to contract by 4.8% in 2020 (a
significant downward revision of 9.2pp from its last review in
February 2020). Services and industries related to the tourism
sector will be hardest hit. The direct contribution from tourism to
GDP and employment is around 11.6% and 10.9%, respectively,
according to the World Travel Tourism Council. A national lockdown,
in place since March 21, will accentuate the impact on domestic
demand.

Fitch projects that GDP growth partially recovers in 2021, to 4.3%,
supported by a rebound in external demand, revival of private
consumption, employment growth, and a recovery in investment.
However, there are material downside risks to its forecasts given
the uncertainty around the extent and duration of the coronavirus
outbreak. If a second wave of infections materializes and lockdown
measures have to be re-introduced, this would exacerbate negative
spillovers to the Georgia's labor market, banking sector and public
finances and cause material negative adjustment to its forecasts.

Fitch forecasts that the general government deficit will rise to
8.6% of GDP in 2020, from a deficit of 2.0% in 2019, reflecting the
government's fiscal support measures, automatic stabilizers and the
impact on revenue of the contraction in the economy. Georgia's
announced fiscal package in response to COVID-19 amounted to GEL2
billion (approx. 4.0% of GDP) as of April 23, 2020. This includes
grants to businesses, higher social expenditure and subsidies,
acceleration in VAT refunds, and higher capital spending, including
additional funds for healthcare sector. Fitch expects that
Georgia's fiscal deficit should narrow towards 5.0% of GDP in 2021
due to the fading of one-off expenditure and recovery in economic
growth.

General government debt is projected to increase significantly,
from 39.8% at end-2019 to 59.4% of GDP in 2020, before declining
moderately to 56.3% in 2021; an upward revision of 19.3pp and
18.6pp, respectively, since its February review; and above its
latest projected median debt ratio (51.0%) of 'BB' category peers.
Georgia's high share of foreign-currency denominated debt (77.7%,
2019) gives rise to exchange rate risk. Fitch considers that
increased fiscal risks are partly mitigated by Georgia's
demonstrated fiscal consolidation, underpinned by the IMF Extended
Fund Facility (EFF), and a high share of multilateral debt (73% of
total debt, 2019), low interest costs and long maturities.

MEDIUM

The COVID-19 shock has increased vulnerabilities to Georgia's
external finances. Deteriorating external demand, a halt on inward
tourism, and lower inflows of remittances, are forecast by Fitch to
more than double Georgia's current account deficit (CAD) to GDP
from 5.1% in 2019 to 11.6% in 2020; significantly higher than the
projected 4.6% median CAD of 'BB' rated category peers. Fitch
expects external financing need to be met by concessional official
borrowing, which will also help preserve external buffers and CXP
coverage. Net external debt to GDP will increase to 68.3% in 2020
from 60.3% in 2019, well above the projected 23.7% median ratio of
'BB' category peers.

Georgia's IDRs also reflect the following key rating drivers:

A consistent and credible policy framework has underpinned
Georgia's resilience to previous shocks and will preserve
macroeconomic stability and mitigate balance of payments risks. The
National Bank of Georgia (NBG) has acted decisively in its response
to the COVID-19 crisis, to preserve financial stability through
macroprudential measures, and limited intervention in the foreign
exchange (FX) market to smooth exchange rate volatility. In March,
the NBG conducted three FX auctions, selling a total of USD110
million to the market in response to heightened inflation
expectations as the USD/GEL exchange rate depreciated close to 25%
from end February (2.79) to its March peak (3.48). The USD/GEL
exchange rate has since stabilized at around 3.15.

Georgia has a track record of cooperation and strong support from
official creditors, which supports policy credibility, continued
reform momentum and reduce financing risks. This strong
relationship has helped the government quickly secure official
financing to meet its increased needs (estimated at 14.4% of GDP in
2020), as well as supporting government plans to increase fiscal
buffers that would allow for additional policy space if downside
risks materialize. Its 2020 government debt forecast includes the
accumulation of an additional 6.0% of GDP in government deposits.

The severity of the economic recession in 2020 and a high share of
foreign currency loans (55% of sector loans, end 2019), will likely
result in a deterioration of banks' asset quality, earnings and
capitalization, with downside risks in the event of a deeper and
longer economic downturn. Support measures from the NBG (which
includes postponing additional Pillar 2 capital buffers and
allowing banks to utilize their capital conservation buffer
(reduced to 0% from 2.5%), will help cover foreign-currency risk,
reduce pressure on borrowers and lower the risk for regulatory
breaches by banks in the short-term. The impact of the COVID-19
shock led Fitch to revise the outlook on the Georgian banking
sector to negative from stable on March 25, 2020.

Political uncertainty remains high in the run-up to October's
parliamentary elections. A recent memorandum of understanding
between the ruling Georgian Dream (GD) party and opposition parties
concerning changes to the electoral system has eased political
tensions to some degree. However, these proposals are yet to go
through parliament, with the risk that the current COVID-19 shock
could delay its vote. Meanwhile, relations with Russia remain
fragile, associated with the Russia-occupied territories of
Autonomous Republic of Abkhazia and Tskhinvali Region.

Georgia's structural features are more favorable than 'BB' category
peers; with both governance and ease of doing business indicators
outperforming the median percentile of its peers. The recent
extension of the IMF EFF program until April 2021 underscores the
authorities' commitment towards maintaining policy credibility and
structural reform, even against the backdrop of an electoral
cycle.

ESG - Governance: Georgia 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. Georgia has a medium WBGI
ranking at 64.0, reflecting a moderate institutional capacity,
established rule of law, a moderate level of corruption and
political risks associated with the unresolved conflict with
Russia.

SOVEREIGN RATING MODEL AND QUALITATIVE OVERLAY (QO)

Fitch's proprietary SRM assigns Georgia a score equivalent to a
rating of 'BB' on the LTFC IDR scale.

Fitch's sovereign rating committee adjusted the output from the SRM
to arrive at the final LTFC IDR by applying its QO, relative to
rated peers, as follows:

  - External finances: -1 notch, to reflect that relative to its
peer group, Georgia has higher net external debt, structurally
larger CADs, and a large negative net international investment
position.

The addition of +1 notch under "Macroeconomic policy and
performance" since the previous review reflects Georgia's policy
framework strength and consistency, including a credible monetary
and exchange rate policy, prudent fiscal strategy and strong record
of compliance with IMF's quantitative performance criteria and
structural benchmarks. This policy mix has delivered a track record
of resilience to external shocks, including negative developments
in its main trading partners, and reduced risks to macroeconomic
stability.

RATING SENSITIVITIES

Factors That Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade:

  - Fiscal consolidation post-coronavirus crisis that is consistent
with a medium-term reduction in general government debt and
improvements in debt composition.

  - A significant reduction in external vulnerability, stemming
from decreasing external indebtedness and rising external buffers.

  - Stronger GDP growth prospects leading to higher GDP per capita
level, consistent with preserving macro stability.

Factors That Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade:

  - Deterioration in the projected medium-term outlook for public
finances, for example due to the absence of fiscal consolidation
and/or deterioration in growth prospects.

  - An increase in external vulnerability, for example a sustained
widening of the CAD and rapid decline in international reserves.

  - Deterioration in either the domestic or regional political
environment that affects economic policy-making, economic growth
and/or political stability.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 expects the global economy to go through a deep but
short-lived recession in 2020 due to the COVID-19 pandemic. In
particular, eurozone GDP is expected to fall by 7.0% in 2020,
followed by 4.3% growth in 2021 (Fitch Global Economic Outlook,
April 22, 2020). Fitch notes that there is an unusually high level
of uncertainty around these forecasts and that risks are firmly to
the downside.

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

Georgia 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.

Georgia 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.

Georgia 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.

Georgia 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 Georgia, as for all sovereigns.



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G E R M A N Y
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ROHM HOLDCO: S&P Cuts ICR to 'B-' on Lower Demand, Outlook Stable
-----------------------------------------------------------------
S&P Global Ratings lowered to 'B-' from 'B' its issuer credit
rating on Rohm HoldCo II GmbH and its issue ratings on the senior
secured debt, co-issued by Rohm Holding GmbH.

The global economic slowdown in 2020 will likely hurt demand for
Methacrylates in key end markets.  S&P Global Ratings now forecasts
a global recession in 2020, with global GDP rising just 0.4%. S&P
said, "In our base case, we project GDP will decline by 2% in the
eurozone and by 1.3% in the U.S., while China will see slower GDP
growth of 2.9%. Rohm serves relatively diverse regions, including
EMEA (about 52% of group sales), Americas (28%), and Asia-Pacific
(20%), and it is mostly exposed to cyclical sectors, with
construction and automotive combined accounting for more than 50%
of revenue. We expect Rohm's end market industries to be
significantly hit by COVID-19 disruptions since mobility and
transportation are key drivers in these markets, only partly
compensated by demand boost for Plexiglas sheet as a protective
measure against the virus. For instance, we recently further
lowered our forecasts for global light vehicle sales, marked by a
decline of almost 15% in 2020. This also factors in that some
European auto manufacturers have stopped production in recent
weeks."

A high degree of uncertainty related to COVID-19 economic impacts
heightens the risk to Rohm's already weakening credit metrics.  S&P
said, "Under our revised base case, we expect EBITDA to decline by
20%-40% in 2020, mainly due to the drop in demand. Furthermore,
adding the impact of an increased level of gross debt following the
utilization of the revolving credit facility (RCF), we anticipate
that the adjusted gross leverage will be close to 10x in 2020 and
recover to 7x-8x in 2021. As observed over the past quarters, we
expect MMA prices to continue to normalize in 2020. This trend
follows top of cycle conditions in recent years, affecting mainly
the upstream division. We anticipate that the weight of volume
changes will be more pronounced, and lower oil prices, leading to
lower input costs, will only partly offset lower revenues. We
expect volume demand in the downstream division to show more
resilience than in upstream. However, the high exposure to the auto
industry of the molding compounds segment within downstream also
indicates that this segment will see a material EBITDA
contraction."

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak.  S&P said,
"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly."

S&P said, "We expect positive cash flow generation in 2020 and
2021.  Given the limited capital intensity of the business and
management's measures, we expect Rohm to generate FOCF in 2020 and
2021. We now expect the company to cut its capital expenditure
(capex) to EUR50 million-EUR70 million in 2020 from about EUR100
million in our previous base case. We also expect working capital
to improve in 2020 thanks to the lower activity this year. This
also takes into account our understanding that Rohm will increase
its factoring utilization this year to EUR80 million from EUR60
million at end-2019.

"Short-term liquidity and manageable debt maturities provide some
protection, in our view.  Rohm maintains solid liquidity, with
about EUR189 million in cash and EUR135 million available under its
RCF as of March 31, 2020. Although we do not net its cash balance
against the group's debt to calculate our credit ratios, given its
financial-sponsor ownership, we view positively the group's solid
liquidity position. Drawings under the EUR300 million RCF as of
year-end 2019 amounted to EUR75 million, and the company drew an
additional EUR95 million during first-quarter 2020. We also believe
that the company will continue to comply with its springing
covenants over the next year with an adequate cushion. Finally,
Rohm benefits from long-term debt maturity and will not face any
significant debt maturities until 2026.

"The stable outlook indicates our expectation that Rohm will
generate FOCF and retain adequate liquidity and headroom under its
springing covenants. These factors reduce the risk of further
credit deterioration, in our view.

"We could lower the ratings if Rohm's operating performance
deteriorates such that its capital structure becomes unsustainable.
Under that scenario, the company would report negative FOCF. We
could also lower the rating if the company's liquidity weakens
materially.

"We could raise the ratings if the COVID-19 pandemic has limited
longer-term repercussions on Rohm's credit measures than currently
anticipated, and if the company rapidly restored its operating
performance by markedly outperforming our forecasts. We consider
that these conditions would improve EBITDA, enabling the ratio of
adjusted gross debt to EBITDA to recover toward 6.5x on a
sustainable basis."




===========
G R E E C E
===========

GREECE: S&P Affirms 'BB-/B' SCR, Alters Outlook  to Stable
----------------------------------------------------------
On April 24, 2020, S&P Global Ratings revised its outlook on the
long-term sovereign credit rating on Greece to stable from
positive. At the same time, S&P affirmed its 'BB-/B' long- and
short-term sovereign credit ratings.

Outlook

The stable outlook reflects S&P's view that Greece's substantial
fiscal policy buffers offset risks to its creditworthiness
emanating from COVID-19's economic and budgetary implications.

Downside scenario

S&P could lower the ratings if economic growth is significantly
weaker than it expects, eroding the government's fiscal buffers and
resulting in significant deviation from our current budgetary
projections.

Upside scenario

S&P said, "We would consider an upgrade if the impact of the
COVID-19 pandemic on Greece's economic performance proves to be
short-lived and the current erosion in budgetary performance due to
the crisis is reversed. We could raise the ratings in the context
of continuous policy implementation oriented toward economic
stability to address the remaining structural challenges in the
economy. Another potential trigger for an upgrade over the medium
term would be a marked reduction of nonperforming exposures (NPEs)
in Greece's impaired banking system, which would, in our view,
benefit the currently challenged monetary transmission mechanism."

Rationale

The revision of the outlook reflects S&P's expectation of sharp
deterioration in Greece's economic and budgetary performance owing
to the adverse impact of the COVID-19 pandemic and the
countermeasures Greece is taking.

S&P affirmed the ratings because, in its current economic forecast,
it expects a rebound in 2021, accompanied by a steady budgetary
consolidation over our forecast horizon. The affirmation is based
on Greece's significant fiscal buffers built over the past several
years thanks to:

-- Its very strong budgetary performance;

-- Preservation of substantial liquidity reserves on the
government's balance sheet;

-- A favorable government debt structure; and

-- Funding flexibility enhanced by the European Central Bank's
(ECB's) recent waiver on the eligibility of Greek government bonds
for its Pandemic Emergency Purchase Program (PEPP) and as
collateral in the ECB's repurchase operations.

S&P said, "In terms of maturity and average interest costs, Greece
has one of the most advantageous debt profiles of all the
sovereigns we rate. The commercial portion of Greece's central
government debt represents less than 20% of total debt, or less
than 40% of GDP. After a sharp increase in 2020, we project that
Greece's general government gross and net debt-to-GDP ratios will
decline from 2021, aided by a recovery in nominal GDP growth and
budgetary consolidation."

The ratings are constrained by the country's high external and
public debt, a banking system still under pressure with large NPEs,
and a challenged monetary transmission mechanism.

Institutional and economic profile: Greece is countering the
COVID-19-induced recession with sizable fiscal buffers and monetary
policy measures

-- The pandemic and its implications for economic activity will,
in S&P's view, lead to a sharp downturn this year, with GDP
contracting by about 9% before rebounding in 2021.

-- Downside risk emanating from the lockdown's duration and
subsequent pace of recovery remains firmly in place, especially in
Greece's large tourism sector, hence threatening GDP.

-- To counter the adverse economic effects of the pandemic, the
government announced a sizable fiscal package, helped by its
substantial liquidity buffer, as well as by the ECB's recent waiver
to include Greek government bonds in its PEPP.

Greek authorities have achieved early success in stabilizing
infection and mortality rates in the face of the outbreak of the
novel coronavirus. S&P said, "We currently forecast that the
COVID-19 pandemic and its implications for economic activity will
lead to a sharp economic downturn this year, with GDP contracting
by about 9%. Our economic projections are unusually uncertain, as
they depend upon the evolution of the pandemic. In Greece, as in
other affected countries, the lockdown measures imposed on March 23
to combat the spread of the virus have been constraining consumer
spending and economic activity more generally. Further government
restrictions on the movement of labor, and especially the duration
of these measures, could lead to a deeper recession. For example,
we currently project GDP will contract by about 7.3% in the
eurozone this year."

Recession in Greece will be spurred by contraction in all
components of aggregate demand, given the pandemic's simultaneous
effect on external and domestic demand. In S&P's forecast, it
projects that investment and exports in particular will contract
significantly this year, with a particularly adverse effect on the
country's important tourism sector. Current account travel receipts
in 2019 represented almost 10% of GDP and about 22% of the
economy's total current account receipts.

To counter the adverse economic effects of the pandemic, and shield
viable businesses and employees from a temporary-but-severe
liquidity shock, the government has announced a sizable fiscal
package. It includes:

-- Wage subsidies and full coverage of social security
contributions for employees and the self-employed affected by the
COVID-19 countermeasures;

-- Interest payment subsidies, a corporate tax cut (from 24% to
20%), loan guarantees and grants for companies, a tax and social
security contributions holiday for businesses, and rent payment
support for businesses; and

-- A mortgage holiday for three months for the most vulnerable
individuals and a EUR180 million program to support teleworking
skills of 170,000 professionals as well as reduction of levies on
airlines and hotels.

The package of measures, funded by government and EU funds, is
currently estimated at about EUR15 billion (7.5% of 2019 GDP). The
government is considering additional temporary measures, which
could potentially include reduction in the value-added-tax (VAT)
rate and in the advance tax payment, as well as elimination of the
overnight stay charge. In the absence of such a fiscal response,
Greece's GDP would fall considerably further, and solvent
businesses would be forced to liquidate, eroding the economy's
productive base.

In support of the eurozone's forceful fiscal response to COVID-19,
the ECB has pushed back against rate divergence within the monetary
union by launching the PEPP. Under the PEPP, the ECB has committed
to purchase EUR750 billion (6.2% of eurozone GDP) in government and
corporate bonds this year, over and above the EUR360 billion (3.1%
of GDP) in the existing asset purchase programs. Eligible maturity
ranges for PEPP purchases have also been broadened to include
maturities as low as 70 days, and the ECB has clearly stated that
it is prepared to scale up PEPP beyond its current envelope.
Although the ECB noted that government bond purchases would be
linked to the capital key of the national central banks, it
promised that it would take a flexible approach toward purchases,
and that there would be fluctuations away from the capital key in
some jurisdictions depending upon market conditions. The capital
key is the fixed percentage each national central bank accounts for
of the ECB's total subscribed capital. It is calculated according
to the size of a member state in relation to the EU as a whole,
size being measured by population and gross domestic product in
equal parts. In the context of the increase in government borrowing
needs, S&P believes that the planned expansion of the ECB's balance
sheet is appropriately oriented toward absorbing them at relatively
low borrowing costs.

Another key decision is to grant a waiver of the eligibility
requirements for securities issued by the Greek government. This
implies the ECB's willingness to directly participate in purchases
of Greek government debt for the first time since 2011 when the
purchases of Greek bonds took place under the ECB's Securities
Markets Program. Moreover, the ECB announced that it would start
accepting Greek government bonds as collateral in its repurchase
operations, boosting further the liquidity support to the banking
system.

S&P said, "In 2021, we expect an economic rebound, the magnitude of
which will hinge, among other factors strictly related to the
potential end of the COVID-19 health crisis, on the restoration of
tourism activity. Over the next three years, we expect Greece's
economic growth will surpass the eurozone average, including in
real GDP per capita terms. We also expect economic performance to
remain balanced, fueled mainly by domestic demand and exports. In
this context, we expect a steady rise in private consumption amid
higher employment, following the decline in 2020." The government's
fiscal measures included in the 2020 budget, such as the reduction
of personal income tax for low-income earners, lowering of property
tax, and revised schedule for paying tax arrears, should support
households' disposable income.

Following a decline in 2020, driven by the COVID-19 pandemic and
countermeasures and their impact on demand and companies' profits,
investment activity is also set to improve in 2021 alongside
increasing net foreign direct investment. Despite the economic
recession arising from the pandemic, the government is sticking to
its privatization program, facilitating planned private-sector-led
projects, such as redevelopment of the site where Athens
International Airport formerly stood. Assets to be privatized
include a 30% stake of Athens International Airport, a stake in
Hellenic Petroleum, DEPA (the public gas corporation), concessions
on the Egnatia motorway, and regional ports. Given the 2020
recession, progress on the privatization agenda will likely slow.
According to the 2020 budget, the government had planned to
increase public-sector investment to 4.3% of GDP in 2020 from about
3.8% in 2019.

S&P said, "However, in our opinion, the key to a faster economic
recovery is a drop in banks' NPEs, which would spur private-sector
credit. We believe the positive impact of previous reforms, such as
in product and services markets, are unlikely to be displayed in
recessionary or low-growth conditions." Without access to working
capital, the small and midsize enterprise sector--the economy's
largest employer--remains in varying degrees of distress.
Private-sector default is still widespread, including on tax debt.
The onset of recession will further complicate efforts to reduce
the large stock of NPEs, given its impact on corporate balance
sheets.

Greece still compares poorly with its peers, due to impediments to
competition in its product and professional services markets,
relatively weak property rights, complex bankruptcy procedures,
inefficient judiciary, and low predictability of contract
enforcement. Labor reform by the previous administration, which
could have reintroduced national collective wage negotiations, was
reversed last year. S&P views the current government's labor
reforms as geared toward improving companies' flexibility.

The government also plans to reform the business environment, by
reducing undue administrative burdens (especially to speed up
investment) and anticompetitive behavior, particularly in the
services sector. S&P believes successful business-friendly reforms
would likely enhance macroeconomic outcomes and the sovereign's
debt-servicing ability in the medium to long term.

Following the end of the European Stability Mechanism (ESM)
program, Greece is subject to quarterly reviews under the European
Commission's "enhanced surveillance framework." Ongoing debt relief
and the return of so-called ANFA/SMP profits on Greek bonds held by
the ECB and the eurozone's national central banks is subject to
ongoing compliance with the program's objectives. S&P said,
"However, given the extraordinary circumstances of 2020 and the
temporary suspension of the EU Stability and Growth Pact fiscal
framework, we expect those profits to be at the government's
disposal even though Greece's GDP primary balance in 2020 is much
lower than the agreed 3.5%. We also believe that, based on current
assumptions on the financing needs, the Greek authorities may not
need to draw on the corresponding part of the ESM's cash buffer."

Flexibility and performance profile: Strong budgetary performance
interrupted by the effects of COVID-19

-- S&P now forecasts a budget deficit of about 7.7% of GDP in
2020, compared with a budget surplus in 2019.

-- S&P projects general government debt will temporarily increase
in 2020, but the government is facing the COVID-19 crisis with a
large cash buffer and a wide array of funding options without
jeopardizing public finance sustainability.

-- The COVID-19 crisis complicates banks' NPE reduction plans.

The adverse economic and budgetary effects of COVID-19 will
interrupt Greece's recently established strong track record of
exceeding budgetary targets following a large budgetary adjustment
since the 2010 economic and financial crisis. As a result of the
government's abovementioned discretionary budgetary measures and
the impact of the recession on government revenue and spending, S&P
currently expects a budget deficit in 2020 of about 7.7% of GDP,
from a surplus of about 1.5% in 2019. This implies a primary
deficit of nearly 5% of GDP, significantly below the previous
target of a 3.5% surplus agreed with official creditors.

Besides the measures to mitigate the impact of COVID-19, the 2020
budget included a series of measures to reduce the tax burden on
the economy. In addition to a reduction in the property tax rate,
the budget decreased the basic personal income tax rate to 9% from
22%, corporate income tax rate to 24% from 28%, and dividend tax
rate to 5% from 10%. It also suspended VAT on new buildings and the
tax on property capital gains for three years, as well as cutting
social security contributions by 5 percentage points by 2023, among
other measures. This tax relief was expected to be offset by
revenue and spending measures, including increased tax collection
from combatting tax evasion via the enhancement of electronic
transactions, and revaluation of the property tax base.

Sharp deterioration in the general government balance will lead to
an increase in gross general government debt to about 197% of GDP
this year from about 177% last year, before falling again in 2021.
S&P said, "Net of cash buffers, we project net general government
debt will increase in 2020 to about 181% of GDP from about 157% of
GDP in 2019, before declining thereafter. Despite the significant
worsening in budget balance and government debt in 2020, Greece
entered the COVID-19 crisis with substantial fiscal buffers. This
evident in not only its underlying structural budget position,
estimated in a surplus of about 2% of GDP in 2019, but also in that
Greece has at its disposal a substantial liquidity reserve
(estimated at about 20% of 2019 GDP), which dramatically reduces
its borrowing needs. In this context, we expect the transfer of
SMP/ANFA returns from the Eurosystem this year, despite a
substantial deterioration in budgetary performance. Moreover, the
ECB's decision on eligibility of Greek government bonds for PEPP
and as collateral in repurchase operations, are, in our view, key
for Greece's access to funding at affordable rates." Eased access
to funding options in the context of the recent EU agreement on a
credit line from the ESM, credit support from the European
Investment Bank, and reinsurance for national unemployment schemes
represent additional resources.

S&P said, "Despite the size of Greece's debt, we estimate its
debt-servicing costs averaged about 1.5% at year-end 2019,
significantly lower than the average refinancing costs for the
majority of sovereigns we rate in the 'BB' category. We estimate
the average remaining term of Greece's debt at 23 years as of Dec.
31, 2019, although this is set to increase with the implementation
of debt-relief measures granted in June 2018."

Greek banks have made progress in reducing their NPEs, which at the
end of 2019 totaled about EUR68 billion (excluding
off-balance-sheet items), down slightly more than a third from
EUR107.2 billion in March 2016. The Greek authorities have launched
an asset-protection scheme called Hercules, which entails granting
sovereign guarantees for senior tranches of proposed NPE
securitizations to reduce NPEs in the banking system. S&P said,.
"We believe such measures would help repair the monetary
transmission mechanism and hasten the economic recovery. However,
as a result of the COVID-19 impact, we expect a reversal in the
positive trend on new NPE formation. We also believe that, in this
environment, the recent implementation of Hercules is also unlikely
to speed up the expected pace of problematic asset disposal."

Nevertheless, the Single Supervisory Mechanism's decision to give
banks more flexibility for NPE classification should lead to less
stress on reported asset quality metrics. Similarly, the ECB
announced several extraordinary measures to provide temporary
capital and operational relief to European banks, as well as
liquidity support in case of need, to an extent alleviate risks to
the overall financial risk profiles of Greek banks.

Liquidity in the banking system has improved over the past few
years. Since a year ago, banks no longer rely on costly emergency
liquidity assistance. Greek financial institutions retain access to
the ECB's long-term refinancing lines, while those Greek small and
midsize enterprises most exposed to COVID-19, particularly in
tourism, have access to dedicated targeted longer-term refinancing
operations (TLTRO III) lines on highly accommodative terms. This
should shield the Greek economy from intense external liquidity
pressures. Importantly, following the ECB's recent decision, banks
can access regular ECB financing using Greek government bonds as
collateral.

S&Pe projects Greece's current account deficit will widen in 2020
to about 4.7% of GDP, due to lower tourism and other export
receipts, while the fall in imports, including due to the fall in
oil prices, will cushion this impact. Structural economic changes
over recent years have put Greece's export sector into a position
to benefit from its increased competitiveness. Labor cost
competitiveness has improved to the level before 2000, and external
demand has risen. Consequently, the share of exported goods and
services (excluding shipping services) has almost doubled, compared
with 19% of GDP in 2009. Once the threat of COVID-19 has abated,
Greece's market shares in global trade could post further gains in
the medium term.

Environmental, social, and governance (ESG) factors relevant to the
rating action:

-- Health and safety

In accordance with S&P's relevant policies and procedures, the
Rating Committee was composed of analysts that are qualified to
vote in the committee, with sufficient experience to convey the
appropriate level of knowledge and understanding of the methodology
applicable. At the onset of the committee, the chair confirmed that
the information provided to the Rating Committee by the primary
analyst had been distributed in a timely manner and was sufficient
for Committee members to make an informed decision.

After the primary analyst gave opening remarks and explained the
recommendation, the Committee discussed key rating factors and
critical issues in accordance with the relevant criteria.
Qualitative and quantitative risk factors were considered and
discussed, looking at track-record and forecasts.

The committee's assessment of the key rating factors is reflected
in the Ratings Score Snapshot above.

The chair ensured every voting member was given the opportunity to
articulate his/her opinion. The chair or designee reviewed the
draft report to ensure consistency with the Committee decision. The
views and the decision of the rating committee are summarized in
the above rationale and outlook. The weighting of all rating
factors is described in the methodology used in this rating action.


  Ratings List

  Outlook Action; Ratings Affirmed  
                                        To            From
  Greece
  Sovereign Credit Rating          BB-/Stable/B   BB-/Positive/B
  Transfer & Convertibility Assessment  AAA            AAA
  Senior Unsecured                      BB-            BB-




=============
I R E L A N D
=============

[*] Fitch Alters Outlook on 3 Tranches from 2 EU CLOs to Neg.
-------------------------------------------------------------
Fitch Ratings has revised the Outlook on three tranches from two
European collateralized loan obligations to Negative from Stable.

Sound Point Euro CLO I Funding DAC    

  - Class E XS1979504716; LT BB-sf Revision Outlook

  - Class F XS1979506091; LT B-sf Revision Outlook

Sorrento Park CLO DAC    

  - Class E XS1112970022; LT B-sf Revision Outlook

TRANSACTION SUMMARY

The transactions are cash flow CLOs mostly comprising senior
secured obligations.

KEY RATING DRIVERS

Coronavirus Sensitivity Analysis

Fitch revised the Outlooks on the tranches to 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 sector and
for all issuers in eight sectors with high exposure to the
coronavirus pandemic as identified by the EMEA Leveraged 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
COVID-19 sensitivity test are below the current ratings.

The model-implied ratings for the affected tranches under the
coronavirus sensitivity test are below the current ratings. In
Fitch's view, tranches placed on Negative Outlook have a slightly
higher resilience than tranches placed on Rating Watch Negative.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch-weighted average rating factor (WARF) of the current
portfolio are between 33.8 and 36.0. After applying the coronavirus
stress, the Fitch WARF would increase to between 35.5 and 37.4.

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 obligor's concentration is between 16.3% and
19.4% while single obligor concentration is between 2.0% and 2.3%
of the portfolio balance. Exposition to the eight sectors
identified by the EMEA Leverage Finance team range is between 12.7%
and 13.6% 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's analysis was based on the stable interest rate
scenario but included the front-, mid- and back-loaded default
timing scenarios as outlined in its 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 voluntarily 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

Sorrento Park CLO DAC is now out of its reinvestment period. As of
the last investor report, the transaction was 2.71% below target
par and all the collateral quality tests and coverage tests are
passing except its weighted average life test since February 2019
and the manager will only be able to reinvest once the test is back
in compliance.

Sound Point Euro CLO 1 Funding DAC is still in its reinvestment
period and the portfolio is actively managed by the collateral
manager. All the portfolio profile tests, collateral quality tests
and coverage tests are passing as of the latest investor reports
and the transaction is above target par. 'CCC' and below exposure
in the transactions is between 7.0% and 7.5% and would increase to
between 9.6% and 11.5% 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 portfolios
are 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. However, no upgrades are expected in the
near term given the current environment.

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.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 'AAAsf' to 'Dsf'. 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

Most 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 on
for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.

[*] Fitch Alters Outlook on 3 Tranches from 3 EU CLOs to Neg.
-------------------------------------------------------------
Fitch Ratings has placed two tranches from three European
collateralized loan obligations on Rating Watch Negative and
revised the Outlook on three other tranches to Negative.

ALME Loan Funding III DAC    

  - Class E-RR XS2114313005; LT BB-sf; Revision Outlook

ALME Loan Funding IV B.V.    

  - Class E-R XS1724886764; LT BBsf; Revision Outlook

  - Class F-R XS1724887143; LT B-sf; Revision Outlook

Adagio VII CLO DAC    

  - Class E XS1861327937; LT BBsf; Rating Watch On

  - Class F XS1861328075; LT B-sf; Rating Watch On

TRANSACTION SUMMARY

The three 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

Its rating actions are a result of a sensitivity analysis Fitch 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 RWN over the coming months as and when Fitch
observes rating actions on the underlying loans. In Fitch's view,
the tranches pon Negative Outlook have a slightly higher resilience
than the tranches on RWN.

Asset Credit Quality

'B' Category Portfolio Credit Quality: Fitch assesses the average
credit quality of obligors in the 'B' category. The Fitch weighted
average rating factor of the current portfolios ranges between 33.7
and 35. 1. After applying the coronavirus stress, the Fitch WARF
would increase to between 36.1 and 37.5.

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 13.9% and 15.7%, 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 13.9% to 17.6%, 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 transactions, 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 a stable interest-rate
scenario but includes the front-, mid- and back-loaded default
timing scenarios as outlined in the agency's criteria.

When conducting cash flow analysis, Fitch's model first projects
the portfolio's 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, all the portfolio profile tests, Fitch
collateral quality tests and coverages tests are passing. All the
transactions are above their reinvestment target par, except for
one which is 6bp below par. Exposure to assets rated 'CCC' and
below ranges between 5.1% and 6.5%, and would increase to between
11.8% and 12.5% 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 upside and
downside 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 smaller 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 larger 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

International scale credit 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 'AAAsf' to 'Dsf'. 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.

[*] Fitch Alters Outlook on 7 Tranches from 6 EU CLOs to Neg.
-------------------------------------------------------------
Fitch Ratings has revised the Outlook on seven tranches of European
collateralized loan obligations to Negative from Stable and placed
four tranches on Rating Watch Negative.

Harvest CLO XII DAC    

  - Class E-R XS1692043737; LT BBsf; Revision Outlook

  - Class F-R XS1692044388; LT B-sf; Rating Watch On

St. Paul's CLO XI DAC    

  - Class E XS2007341576; LT BB-sf; Revision Outlook

  - Class F XS2007341816; LT B-sf; Revision Outlook

St. Paul's CLO VIII DAC    

  - Class E XS1718484238; LT BBsf; Revision Outlook

  - Class F XS1718484584; LT B-sf; Revision Outlook

Harvest CLO VII DAC    

  - Class E-R XS1533917263; LT BBsf; Revision Outlook

  - Class F-R XS1533919475; LT B-sf; Rating Watch On

St. Paul's CLO V DAC    

  - Class E-R XS1648277710; LT BBsf; Rating Watch On

  - Class F-R XS1648277983; LT B-sf; Rating Watch On

Harvest CLO X DAC    

  - Class F XS1114266866; LT B+sf; Revision Outlook

TRANSACTION SUMMARY

The six transactions are cash flow CLOs mostly comprising senior
secured obligations. Five of the transactions are in their
reinvestment period and all the portfolios are actively managed by
the collateral manager.

KEY RATING DRIVERS

Coronavirus Sensitivity Analysis

The rating actions are a result of a sensitivity analysis Fitch 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 RWN over the coming months as and when it observes
rating actions on the underlying loans. In Fitch's view, tranches
placed on Negative Outlook have a slightly higher resilience than
tranches placed on RWN.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality. Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) of the current
portfolios range between 34.6 and 35.4. After applying the
coronavirus stress, the Fitch WARF would increase to between 36.7
and 38.2.

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 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 14.5% and 21.8%, and
no obligor represents more than 2.6% of the portfolio balance.
Exposure to the eight sectors identified by the EMEA Leverage
Finance team range from 7.5% to 18.8% compared with an average 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's 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

Five of the six transactions are in their reinvestment period and
all the portfolios are actively managed by the collateral manager.
As of the latest investors report available all the portfolio
profile tests, collateral quality tests and coverages tests are
passing for four transactions out of the six. Marginal failures are
reported for Fitch's WARF and WARR tests in Harvest CLO VII, single
obligor concentration, top three industries limitation and WAL test
in Harvest CLO X. Four of the six transactions are slightly below
their reinvestment target par. Exposure to assets rated 'CCC' and
below range between 7.4% and 9.7% and would increase to between 12%
and 17.7% after applying the coronavirus stress.

RATING SENSITIVITIES

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. 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 RWN over the coming months as and
when it observes rating actions on the underlying loans.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 'AAAsf' to 'Dsf'. 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.

[*] Fitch Alters Outlook on 8 Tranches from 3 EU CLOs to Neg.
-------------------------------------------------------------
Fitch Ratings has revised the Outlook on eight tranches from three
European collateralized loan obligations to Negative.

BNPP IP Euro CLO 2015-1 B.V.    

  - Class E-R XS1802331139; LT BBsf; Revision Outlook

  - Class F-R XS1802332533; LT B-sf; Revision Outlook

Barings Euro CLO 2018-3 B.V.    

  - Class D XS1914507014; LT BBB-sf; Revision Outlook


  - Class E XS1914506800; LT BB-sf; Revision Outlook

  - Class F XS1914507527; LT B-sf; Revision Outlook

BNPP AM Euro CLO 2019 B.V.    

  - Class D XS2014458926; LT BBB-sf; Revision Outlook

  - Class E XS2014459148; LT BB-sf; Revision Outlook

  - Class F XS2014459494; LT B-sf; Revision Outlook

TRANSACTION SUMMARY

The three 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 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 sector and for all
issuers in eight sectors with high exposure to the coronavirus
pandemic as identified by the EMEA Leveraged 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. In
Fitch's view, the tranches with Negative Outlook have slightly
higher resilience than tranches placed on Rating Watch Negative.

Asset Credit Quality

'B/B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B/B-' category.
The Fitch weighted average rating factors (WARF) of the current
portfolios are from 34.49 to 37.87. After applying the coronavirus
stress, the Fitch WARF would increase to between 36.48 and 41.31.

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 are between 11.56% and 16.53%, and
no obligor represents more than 2.33% of the portfolio balance.
Exposure to the eight sectors identified by the EMEA Leveraged
Finance team is from 10.67% to 25.63% 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, and 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's analysis was based on the stable interest rate scenario but
included the front-, mid- and back-loaded default timing scenarios
as outlined in its 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, these 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 voluntarily terminated, when applicable).

This adjustment avoids running out of performing collateral due to
amortization and ensures all 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. All the
portfolio profile tests, collateral quality tests and coverages
tests are passing as of the latest investor reports. All the
transactions are above their reinvestment target par. Exposure to
assets rated 'CCC' and below is between 3.23% and 13.83%, and would
increase to between 7.77% and 25.62% 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 has 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, as portfolio credit quality may
still deteriorate, not only through natural credit migration, but
also through reinvestments.

After the end of the reinvestment period, upgrades may occur in
case of better portfolio credit quality and deal performance than
initially expected, 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 pandemic become apparent
for other sectors, loan ratings in those sectors would also come
under pressure. Fitch will resolve the Rating Watch over the coming
months as and when it observes rating actions on the underlying
loans.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 'AAAsf' to 'Dsf'. 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

Most 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 on
for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.

[*] Fitch Alters Outlook on 8 Tranches from 4 EU CLOs to Neg.
-------------------------------------------------------------
Fitch Ratings has revised the Outlook on eight tranches from four
European collateralized loan obligations to Negative from Stable.

Aqueduct European CLO 4-2019 DAC    

  - Class E XS2004874512; LT BBsf; Revision Outlook

  - Class F XS2004875758; LT B-sf; Revision Outlook

Armada Euro CLO III DAC    

  - Class E XS1913265044; LT BB-sf; Revision Outlook

  - Class F XS1913265390; LT B-sf; Revision Outlook

Avoca CLO XIII DAC    

  - Class E-R XS1659773516; LT BBsf; Revision Outlook

  - Class F-R XS1659773607; LT B-sf; Revision Outlook

Jubilee CLO 2013-X B.V.    

  - Class E-R XS1533925449; LT BBsf; Revision Outlook

  - Class F-R XS1533925100 LT B-sf; Revision Outlook

TRANSACTION SUMMARY

The four 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 revised the Outlooks to 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 sector and for all issuers in
eight sectors with high exposure to the coronavirus pandemic as
identified by the EMEA Leveraged 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. In
Fitch's view, tranches placed on Negative Outlook have a slightly
higher resilience than tranches placed on Rating Watch Negative.

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 factors (WARF) of the current portfolios
are 33.7 and 35.6. After applying the coronavirus stress, the Fitch
WARF would increase to between 35.9 and 37.6.

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 are between 15.4% and 17.9% of the
total portfolio, and no obligor represents more than 2.3% of the
portfolio balance. Exposure to the eight sectors identified by the
EMEA Leveraged Finance team is from 12.7% to 19.1%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, and 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's analysis was based on the stable interest rate scenario but
include the front-, mid- and back-loaded default timing scenarios
as outlined in its 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, these 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 voluntarily terminated, when applicable).

This adjustment avoids running out of performing collateral due to
amortization and ensures all 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. All the
portfolio profile tests, collateral quality tests and coverages
tests are passing as of the latest investor reports, except the
Fitch minimum weighted average recovery rate and Fitch maximum
weighted average rating factor test for one transaction, which is
failing marginally. All the transactions are above their
reinvestment target par. Exposure to assets rated 'CCC' and below
(as per Fitch's calculation and based on its 'CLOs and Corporate
CDOs Rating Criteria') is between 4.7% and 11.04% and would
increase to between 9.5% and 14.3% 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 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, as the portfolio credit quality
may still deteriorate, not only through natural credit migration,
but also through reinvestments.

After the end of the reinvestment period, upgrades may occur in
case of better portfolio credit quality and deal performance than
initially expected, 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 pandemic become apparent
for other sectors, loan ratings in those sectors would also come
under pressure.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 'AAAsf' to 'Dsf'. 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.

[*] Fitch Places 5 Tranches on 5 European CLOs on Negative Outlook
------------------------------------------------------------------
Fitch Ratings has placed four tranches from two European
collateralized loan obligations on Rating Watch Negative and five
tranches from three other CLOs on Negative Outlook.

Madison Park Euro Funding V B.V.    

  - Class E XS1578109362; LT BBsf; Revision Outlook

  - Class F XS1578109289; LT B-sf; Revision Outlook

Madison Park Euro Funding XIV DAC    

  - Class E XS2002367428; LT BB-sf; Revision Outlook

  - Class F XS2002367857; LT B-sf; Revision Outlook

Oak Hill European Credit Partners VII DAC    

  - Class E XS1843456093; LT BB-sf; Rating Watch On

  - Class F XS1843455871; LT B-sf; Rating Watch On

OCP EURO CLO 2019-3 DAC    

  - Class F XS1843437978; LT B-sf; Revision Outlook

Penta CLO 6 DAC    

  - Class E XS2013632091; LT BB-sf; Rating Watch On

  - Class F XS2013632331; 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

COVID-19 Sensitivity Analysis

Fitch placed several tranches on RWN or 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 sector and
for all issuers in eight sectors with high exposure to the
coronavirus pandemic as identified by the EMEA Leveraged 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 it observes rating actions on the underlying loans. In Fitch's
view, the tranches placed on Negative Outlook have a slightly
higher resilience than the tranches placed on Rating Watch
Negative.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch weighted average rating factors of the current portfolios
are between 33.1 and 35.4. After applying the coronavirus stress,
the Fitch WARF would increase to between 35.3 and 37.5.

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 are between 11.8% and 16.3% of the
total portfolio, and no one obligor represents more than 1.8% of
the portfolio balance. Exposure to the eight sectors identified by
the EMEA Leveraged Finance team is from 11.2% to 20.4%, 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, and 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's analysis was based on the stable interest rate scenario but
included 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 voluntarily terminated, when applicable).

This adjustment avoids running out of performing collateral due to
amortization and ensures all 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. All the
portfolio profile tests, collateral quality tests and coverages
tests are passing as of the latest investor reports with the
exception of a few minor test breaches, depending on the
transaction. All the transactions are above or marginally below
their reinvestment target par (not more than 0.50%). Three of the
five transactions are holding defaulted assets. Exposure to assets
rated 'CCC' and below is between 3% and 9.6% and would increase to
between 8.9% and 14.6% 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 have 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, as portfolio
credit quality may still deteriorate, not only through natural
credit migration, but also through reinvestments.

Upgrades may occur after the end of the reinvestment period if
there is 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 pandemic become apparent
for other sectors, loan ratings in such sectors would also come
under pressure. Fitch will resolve the Rating Watch status over the
coming months as and when it observes rating actions on the
underlying loans.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

DATA ADEQUACY

Most 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 on
for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.

[*] Fitch Places 8 Tranches from 5 European CLOs on Neg. Outlook
----------------------------------------------------------------
Fitch Ratings has placed two tranches from five European
collateralized loan obligations on Rating Watch Negative and
revised the Outlook on eight others to Negative.

Carlyle Euro CLO 2019-1 DAC    

  - Class D XS1936201323; LT BB-sf Revision Outlook

  - Class E XS1936201836; LT B-sf Revision Outlook

Toro European CLO 3 DAC    

  - Class E XS1573954085; LT BBsf Revision Outlook

  - Class F XS1573958235; LT B-sf Revision Outlook

Carlyle Global Market Strategies Euro CLO 2014-2 DAC    

  - Class D-R XS1898116162; LT BBsf Revision Outlook

  - Class E-R XS1898116246; LT B-sf Revision Outlook

Carlyle Euro CLO 2018-2 DAC    

  - Class D XS1852486742; LT BBsf Rating Watch On

  - Class E XS1852486312; LT B-sf Rating Watch On

Carlyle Global Market Strategies Euro CLO 2016-1 DAC    

  - Class D-R XS1813994909; LT BBsf Revision Outlook

  - Class E-R XS1813992366; LT B-sf Revision Outlook

TRANSACTION SUMMARY

The five transactions are cash flow CLOs comprising mostly 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

Its rating actions are a result of a sensitivity analysis Fitch 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 it observes rating actions on the underlying loans. In Fitch's
view, the tranches on Negative Outlook have a slightly higher
resilience than the tranches on RWN.

Asset Credit Quality

'B' Category Portfolio Credit Quality: Fitch assesses the average
credit quality of obligors in the 'B' category. The Fitch weighted
average rating factor (WARF) of the current portfolios ranges
between 35.4 and 37.3. After applying the coronavirus stress, the
Fitch WARF would increase to between 37.7 and 39.6.

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 13.1% and 15.5%, and
no obligor represents more than 2.1% of the portfolio balance.
Exposure to the eight sectors identified by the EMEA Leverage
Finance team range from 15.8% 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 a stable interest-rate
scenario but includes the front-, mid- and back-loaded default
timing scenarios as outlined in its criteria.

When conducting cash flow analysis, Fitch's model first projects
the portfolio's 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 investors report available all the portfolio profile
tests, collateral quality tests and coverages tests are passing,
apart from Toro European CLO 3 DAC's marginal failure on the Fitch
WARF test. All except two of the transactions are above their
reinvestment target par. Exposure to assets rated 'CCC' and below
ranges between 6.3% and 11.8%, as calculated by Fitch based on
ratings as of April 18, 2020, and would increase to between 10.3%
and18.4% 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 upside and
downside 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 smaller 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 larger 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 in 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 it observes rating actions on the
underlying loans.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 'AAAsf' to 'Dsf'. 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

Most 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 on
for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.



=========
I T A L Y
=========

GUALA CLOSURES: S&P Alters Outlook to Stable & Affirms 'B+' ICR
---------------------------------------------------------------
S&P Global Ratings revised its outlook on Guala Closures SpA to
stable from positive and affirmed its 'B+' long-term issuer credit
rating on the company.

S&P said, "We expect Guala Closures' revenues to drop by about 4%
in 2020.  Some 84% of Guala Closures' revenues relate to wine and
spirits. The social-distancing measures that governments have
implemented to stem the spread of COVID-19 will reduce the
company's revenues from restaurants and bars in 2020, particularly
in the first half of the year. We expect a gradual recovery in
revenues in the second half and in 2021, as social-distancing
measures are gradually lifted. In 2021, we expect sales to grow by
about 7% as demand picks up.

"An upgrade is now unlikely in the short term.   We expect slightly
weaker S&P Global Ratings-adjusted EBITDA margins of about 16.9%
for 2020 due to temporary production stoppages at certain plants.
We have revised our free operating cash flow (FOCF) projections for
2020 downward, but expect FOCF to remain positive at around EUR5
million. From 2021, we expect EBITDA margins to recover to 18%-19%
and FOCF to improve."

A possible transfer of 20% of Guala Closures' voting rights to a
new financial sponsor, InvestIndustrial, could lead to a more
aggressive financial policy and potentially, to a downgrade.  The
entry of an additional financial sponsor into the company's
ownership structure could change its financial policy assessment,
notably, if the transaction is completed and the financial sponsors
decide to jointly pursue more aggressive strategies, such as
debt-funded shareholder returns or acquisitions. This could lead to
a downgrade.

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. S&P said,
"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly."

S&P said, "The stable outlook reflects our view that Guala
Closures' credit metrics will remain commensurate with the current
rating despite a temporary deterioration in credit metrics in 2020.
By year-end 2020, we forecast debt to EBITDA of about 4.8x and
funds from operations (FFO) to debt of 10.6%. From 2021, we expect
a significant improvement in Guala Closures' credit metrics
following a recovery in demand and no further disruptions to its
operations."

S&P could take a negative rating action if:

-- Guala Closures' operating performance deteriorates such that
adjusted debt to EBITDA increases above 5.0x and FOCF becomes
negative, both on a sustained basis; or

-- Guala Closures' financial policy becomes more aggressive,
possibly as a result of InvestIndustrial acquiring a material
equity or voting stake in Guala Closures, and this leads to a
deterioration in credit metrics.

An upgrade would require Guala Closures to:

-- Improve its cash flow generation so that FOCF to debt exceeded
5% and FFO to debt increased to above 16%, both on a sustained
basis; and

-- Maintain a financial policy that supports such credit metrics.




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

FLINT HOLDCO: S&P Affirms 'CCC+' Long-Term Issuer Credit Rating
---------------------------------------------------------------
S&P Global Ratings affirmed its 'CCC+' long-term issuer credit
rating on Luxembourg-Based packaging ink and print consumables
provider Flint HoldCo S.a.r.l.

S&P Global Ratings views Flint's maturity extension offer as
opportunistic rather than distressed.   To address the debt
maturities next year and enable the implementation of operational
improvement initiatives, on April 8, the company announced a
proposal to extend the maturity of its bank facilities by two
years, including EUR103 million revolving credit facility (RCF) and
EUR50 million asset-backed loan (ABL) facility due in March 2021,
EUR1.6 billion first-lien term loan (TL) due September 2021, and
EUR137 million second-lien TL due September 2022. There will be no
change in the nominal principal amounts.

S&P said, "Lenders are not receiving less value than the promise of
the original securities, because we view the compensation offered
by Flint as adequate for the two-year maturity extension.   All-in
margins, a mix of cash and payment-in-kind (PIK) interest, are
increasing to 5% (4.25% cash plus 0.75% PIK) from 3% for the RCF
and first-lien TL, and to 10% from 7.25% for the second-lien TL,
albeit 3% less cash pay on the smaller second-lien. A consent fee
of 25-50 bps applies. In addition, we understand that the offer
includes other creditor friendly amendments of documentation,
including additional minimum liquidity covenants, which will lead
to better lender protection. According to our criteria, an exchange
offer conducted several quarters in advance of maturities, where
investors are asked to extend the tenor, with compensation in the
form of amendment fees or increased interest rates, would be
considered proactive treasury management, rather than a de facto
restructuring."

The rating continues to reflect Flint's very high leverage and high
refinancing risks in the long term, even after the proposed
transaction.   Continued weak operating performance in 2019 with a
significant decline in EBITDA has resulted in very high leverage,
with S&P Global Ratings-adjusted debt to EBITDA above 10x in 2019.
In 2019, group sales declined by 5.9% and S&P Global
Ratings-adjusted EBITDA was down by about 14% to EUR202 million.
This stems from weakened market demand for packaging products and a
continued decline in print media (CPS business), as well as
larger-than-expected restructuring expenses for both segments. S&P
said, "Restructuring costs amounted to more than EUR60 million in
2019, of which we view EUR23 million related to the scaling down of
the packaging segment as one-off. Through restructuring measures,
Flint has been shifting its portfolio from declining print media to
the packaging and digital printing business, which now accounts for
86% of the group's EBITDA. Despite a gradual deleveraging from
higher demand for the packaging segment and increasing efficiency
gains from implemented restructuring measures, we expect leverage
to remain high, at above 8x in the next 12-18 months. Despite the
proposed two-year maturity extension, we continue to view Flint's
capital structure as unsustainable in the long term, with
relatively high refinancing risks, although we do not see a
specific conventional default scenario over the near term."

Recent improvement in operating performance and cash flow
generation supports adequate liquidity in the next 12 months, even
assuming that RCF and ABL facility become due in March 2021.  
Despite lower earnings, cash flow improved significantly in the
second half of 2019, driven by working capital releases due to
restructuring measures and proceeds from disposal of CPS plants. As
a result, the cash position strengthened by more than EUR15 million
to EUR91 million as of year-end 2019. Performance in first-quarter
2020 was well above that of the prior year and budget due to higher
selling prices carry-over from the previous year, lower raw
material costs, and efficiency gains from restructuring measures.
Moreover, the COVID-19 outbreak has provided a tailwind for Flint
because demand increased for packaged items for food and medicines,
leading to higher volume of packaging ink and flexographic
products. S&P expects positive free operating cash flow (FOCF) of
EUR10 million-EUR20 million in 2020, after one-off amendment fees
and higher cash interests post the proposed transaction. Supported
by continuous positive FOCF and proceeds from ongoing disposal of
CPS assets, liquidity will remain adequate for the next 12 months,
even assuming that RCF and ABL facility become due in March 2021.

The negative outlook reflects the risks of weakening liquidity due
to slower-than-expected improvement in operating performance and
FOCF, and potential refinancing risks should the maturity extension
be unsuccessful.

S&P could lower the rating if:

-- The proposed maturity extension does not materialize, exposing
the group to heightened refinancing risks due to increased
likelihood of a pre-emptive restructuring on the group's debt
facilities in a period of less than 12 months;

-- Flint does not improve its operating performance and EBITDA
generation as we expect; or

-- FOCF turns negative without near-term prospect of recovery and
liquidity weakened.

S&P could revise the outlook to stable if:

-- Flint maintains sustainably adequate liquidity, supported by
continuous positive FOCF;

-- The company improves its operating performance, supported by
higher demand for its packaging business and cost structure
improvements from restructuring measures; or

-- Disposal proceeds from the sale of the CPS segment assets lead
to a significantly lower debt burden.






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

[*] Fitch Alters Outlook on 9 Tranches from 5 EU CLOs to Neg.
-------------------------------------------------------------
Fitch Ratings has revised the Outlook on nine tranches from five
European collateralized loan obligations to Negative and placed two
other tranches on Rating Watch Negative.

Contego CLO III B.V.    

  - Class E-R XS1785847580; LT BBsf; Revision Outlook

  - Class F-R XS1785847747; LT B-sf; Revision Outlook

Contego CLO V DAC    

  - Class E XS1825537191; LT BBsf; Revision Outlook

  - Class F XS1825537274; LT B-sf; Revision Outlook

Euro-Galaxy VI CLO DAC    

  - Class E XS1766837758; LT BBsf; Revision Outlook

  - Class F XS1766838210; LT B-sf; Revision Outlook

Invesco Euro CLO III DAC    

  - Class D XS2072092799; LT BBB-sf; Revision Outlook

  - Class E XS2072093334; LT BB-sf; Rating Watch On

  - Class F XS2072093508; LT B-sf; Rating Watch On

Invesco Euro CLO I DAC    

  - Class E XS1911621883; LT BBsf; Revision Outlook

  - Class F XS1911621966; LT B-sf; Revision Outlook

TRANSACTION SUMMARY

The CLOs comprise mostly senior secured euro obligations. All the
transactions are currently within their reinvestment period and
actively managed by their collateral managers.

KEY RATING DRIVERS

Coronavirus Sensitivity Analysis

The RWN and Negative Outlook are a result of a sensitivity analysis
Fitch 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. In
Fitch's view, the tranches on Negative Outlook have a slightly
higher resilience than the tranches placed on RWN.

Asset Credit Quality

'B'/'B-' Credit Quality: Fitch assesses the average credit quality
of obligors in the 'B'/'B-' category. The Fitch weighted average
rating factors (WARF) of the current portfolios are between 32.89
and 36.11. After applying the coronavirus stress, the Fitch WARF
would increase to between 35.43 and 38.49.

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 are between 12.88% and 20.81% of
the total portfolio, and no one obligor represents more than 2.5%
of the portfolio balance. Exposure to the eight sectors identified
by the EMEA Leverage Finance team is from 12.76% to 19.8%, 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 includes the front-, mid- and back-loaded default
timing scenarios as outlined in its criteria.

When conducting cash flow analysis, Fitch's model first projects
the portfolio's 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 managers. As of
the latest investor reports, all the portfolio profile tests,
collateral quality tests and coverages tests are passing, except
for one transaction showing marginal failures for the Fitch maximum
WARF test and Fitch's maximum 'CCC' limit test. Four transactions
are above their reinvestment target par and one is below par by
22bp. Exposure to assets rated 'CCC' and below is between 4.23% and
10.41% and would increase to between 7.97% and 15.97% 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 upside and
downside 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 smaller 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 greater 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 in 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 it observes rating actions on the
underlying loans.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 'AAAsf' to 'Dsf'. 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.



===========
N O R W A Y
===========

NORWEGIAN AIR: Reaches Debt-for-Equity Swap Deal with Bondholders
-----------------------------------------------------------------
Veronica Ek at Bloomberg News reports that Norwegian Air Shuttle
ASA reached an agreement with bondholders to swap debt for equity,
taking the airline one step closer to securing the state loan
guarantees needed to keep the struggling carrier afloat.

According to Bloomberg, Norwegian Air Chief Executive Officer Jacob
Schram said in a statement on May 3 such loan guarantees were
"crucial to getting through the crisis".  As the airline prepares
to hold a shareholder meeting on today, May 4, Mr. Schram, as cited
by Bloomberg, said his main priority now is to reach an agreement
with the leasing companies that provide their planes.

In earlier talks with bondholders, Norwegian Air said on May 1 it
failed to get the required two-thirds majority support from holders
of EUR250 million (US$275 million) of bonds, Bloomberg relates.
Talks continued into the weekend with today, May 4, as a deadline,
the date when shareholders are scheduled to vote on the
restructuring plan, Bloomberg notes.

The debt-for-equity exchange is part of a plan to meet terms set by
Norway to give the airline access to a NOK3 billion (US$290
million) package of loan guarantees, Bloomberg states.




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

ZABRZE: Fitch Affirms LT IDRs at 'BB+', Outlook Stable
------------------------------------------------------
Fitch Ratings has affirmed the Polish City of Zabrze's Long-Term
Foreign- and Local-Currency Issuer Default Ratings at 'BB+'. The
Outlooks are Stable.

The affirmation reflects Fitch's opinion that the city's debt
payback, after weakening in 2020-2021 due to contraction in the
operating balance, should recover from 2022 and remain compatible
with the city's current ratings. The city's standalone credit
profile is 'bb+'.

While Polish 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 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.

KEY RATING DRIVERS

Risk Profile: 'Midrange'

Zabrze's risk profile is assessed at 'Midrange', in line with the
majority of other Fitch-rated Polish cities'. It combines a
'Weaker' assessment of revenue adjustability and a 'Midrange'
assessment of the remaining factors (revenue robustness,
expenditure sustainability and adjustability, as well as
liabilities and liquidity framework).

Revenue Robustness: 'Midrange'

Zabrze's revenue sources are stable as current transfers accounted
for almost 49% of operating revenue in 2019, with the majority of
transfers from the Polish state budget (A-/Stable). Tax revenue
accounted for almost 38% of Zabrze's operating revenue, of which
more than 90% is not dependent on economic cycles. Zabrze's tax
base is diversified but weaker than other Polish cities'. The city
shows a record of operating revenue growth (CAGR of 5.3% in
2015-2019), below nominal national GDP growth (5.7%).

Revenue Adjustability: 'Weaker'

Fitch assesses Zabrze's ability to generate additional revenue in
response to possible economic downturns as limited, in line with
the majority of Polish cities. Income tax rates are set by the
central government, as are the majority of current transfers.
Zabrze has low flexibility on local taxes as their rates are
constrained by ceilings set in national tax regulations.

With tax revenue per capita below the average for Polish cities,
Zabrze is entitled to equalization subsidies, which however are low
in relation to the city's budget (PLN20 million or 2% of total
revenue in 2019). The city could increase its revenue with asset
sales (PLN35 million annually in 2015-2019, i.e. 4% of total
revenue), but this source of revenue may prove unsustainable in an
economic downturn.

Expenditure Sustainability: 'Midrange'

The city's expenditure sustainability is underpinned by
non-cyclical responsibilities such as education, public transport,
municipal services, administration and others. However, due to a
higher share of inflexible costs than in other cities, Zabrze's
operating results are more prone to volatility following the
central government's decisions to cut in personal income tax rates
from November 2019 or increase teachers' salaries from September
2019.

Zabrze aims to keep operating spending growth broadly in line with
operating revenue growth over the long term to secure a positive
operating balance (on average of 5%-6% of operating revenue in
2015-2019), which together with asset sales and EU grants, would be
used to finance investments. However, Fitch expects Zabrze's capex
to be also debt-financed in view of Fitch's projected average
budget deficit of 3% of total revenue in 2020-2024.

Expenditure Adjustability: 'Midrange'

The city can scale back more than 25% of its capex and more than
10% of its operating expenditure. The city's capex may total PLN720
million in 2020-2024 and is almost equally split between
investments co-financed from own sources (being the most flexible),
investments co-financed by EU and contributions to the city's
companies, which have the lowest spending flexibility.

Liabilities and Liquidity Robustness: 'Midrange'

Zabrze's debt is dominated by bonds (60% of total with final
maturity up to 2027 years), followed by loans from European
Investment Bank (EIB; AAA/Stable) (32%) and preferential loans and
loans from local banks (8%). The EIB loans will remain the main
source of financing for the city's capex in the medium term, thus
supporting a long-term and smooth repayment schedule until 2042,
mitigating repayment risk. Zabrze's debt is in Polish zloty and at
floating rates, which exposes the city to interest- rate risk as
Polish cities are not allowed to use derivatives. Zabrze partially
mitigates this risk by budgeting higher amounts than necessary for
debt service.

Fitch includes the debt of the city's football stadium company as
other Fitch-classified debt. This is because the company's debt was
raised to build a facility on behalf of Zabrze and is effectively
the city's obligation. Fitch also includes liabilities stemming
from the sell-and-buy back transaction of the football club
company. However, the transactions are modest (PLN149 million at
end-2019) in relation to the city's budget and are included in the
city's long-term projections for capex.

Liabilities and Liquidity Framework Flexibility: 'Midrange'

Zabrze frequently uses its committed low-cost liquidity lines (with
a limit of PLN50 million) provided by ING Bank Slaski S.A.
(A+/Rating Watch Negative) to manage liquidity during the year.
This policy results in low levels of cash at year-end, which
covered about 15% of annual debt service in 2017-2019. Fitch
assumes this will continue in the following years.

Debt Sustainability: 'bbb' category

Fitch has revised its rating-case assumptions to factor in the
expected economic downturn triggered by the coronavirus pandemic.
With a weaker operating balance projected under its revised rating
case, the city's debt payback will weaken to 18 years in 2020-2021
before rebounding to 13 years in 2023-2024 (13.8 years in 2019),
thus remaining compatible with a 'bbb' debt sustainability. Fitch
expects the city's net adjusted debt to reach almost PLN800 million
at end-2024 (from PLN650 million in 2019) in view of planned capex.
Although higher in nominal terms, net adjusted debt will remain
stable at 70% of operating revenue, which is compatible with a 'aa'
debt sustainability. Its strong fiscal debt burden of about 70%
counterbalances the city's weak synthetic debt service coverage
ratio of 1x. All these metrics result in an overall debt
sustainability of 'bbb'.

Zabrze is a medium-sized city by Polish standards, located in the
Slaskie region and is part of the Silesia Metropolis (more than two
million inhabitants). It benefits from its location at a crossroads
of the main Polish rail and road corridors. Zabrze's tax base is
diversified but weaker than other Polish cities. GDP per capita in
2017 for the Gliwicki sub-region, where Zabrze is located, was 119%
of the national average but this probably over-estimates Zabrze's
performance. Zabrze's local economy is dominated by industry and
construction (46% of the sub-region's gross value added in 2016),
above the Polish average of 34%.

DERIVATION SUMMARY

Zabrze's 'bb+ SCP reflects a 'Midrange' risk profile and a 'bbb'
debt sustainability assessment. It also factors in Zabrze's
comparison with peers. The city's IDRs are not affected by any
asymmetric risk or extraordinary support from the Polish state.

KEY ASSUMPTIONS

Qualitative Assumptions and assessments:

Risk Profile: Midrange

Revenue Robustness: Midrange

Revenue Adjustability: Weaker

Expenditure Sustainability: Midrange

Expenditure Adjustability: Midrange

Liabilities and Liquidity Robustness: Midrange

Liabilities and Liquidity Flexibility: Midrange

Debt sustainability: 'bbb' category

Support: n/a

Asymmetric Risk: n/a

Sovereign Cap or Floor: No

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 CAGR of 4.1% over 2019-2024

  - Operating expenditure CAGR of 4% over 2019-2024

  - Net capital deficit on average of PLN75 million annually in
2020-2024

  - Cost of debt rising to 4.3% in 2024 from 2.8% in 2019 and final
maturity of new debt in 2042

  - Other Fitch-classified debt declining in line with the
repayment schedule (no new debt-financed investments undertaken by
government-related entities as envisaged by the city).

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

  - A downward reassessment of the SCP to 'bb' with debt payback
deteriorating to 16 years on a sustained basis under Fitch's rating
case.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

  - An upward reassessment of the SCP to 'bbb-' with debt payback
improving to below 13 years and synthetic debt service coverage
ratio improving to above 1x on a sustained basis under Fitch's
rating case.

BEST/WORST CASE RATING SCENARIO

International scale credit 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).  



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

NATIONAL FACTORING: S&P Affirms 'B/B' ICRs, Outlook Stable
----------------------------------------------------------
S&P Global Ratings affirmed its 'B/B' long- and short-term issuer
credit ratings on Russia-based financial institution National
Factoring Co. (NFC). The outlook is stable.

S&P said, "The affirmation reflects our view that NFC will likely
maintain its flexible business model, proactive risk management,
and relatively good asset quality. We take into account visible
improvements in the company's profitability, and expect further
progress with the implementation of NFC's strategy. However,
potential pressure on the company's risk profile amid deteriorating
economic conditions in Russia may mitigate the positive impact of
the improvements on NFC's credit profile. Risks to Russia's
economic prospects in 2020 are increasing, and we foresee a
significant adverse impact on the financial sector should these
risks materialize."

In 2019, NFC continued to demonstrate positive profitability
dynamics, thanks to a sustainable improvement in operating
efficiency and relatively low credit losses. In particular, the
company's return on average equity increased to about 15% from 12%
a year earlier, while its cost-to-income ratio remained stable at
52%. Part of NFC's strategy is to focus on small-ticket deals with
small and midsize enterprises (SMEs) operating in sectors with low
sensitivity to the current phase of the economic cycle, such as
food retailers, pharmaceutical companies, and alcohol distributors.
Last year, NFC gradually shifted from large transactions to an
average size of about Russian ruble (RUB) 200 million (about $2.5
million). Therefore there was almost no growth in 2019, and the
company still plans to keep the same overall portfolio size through
2020 while reshuffling the components.

S&P said, "As a result, we believe that NFC's earnings capacity and
management and governance are gradually improving, supporting the
sustainability of its business model in the long term. Last year,
NFC's risk-adjusted capital (RAC) ratio improved by 30 basis points
to 5.9% due to better financial performance and close to zero
growth of the factoring portfolio. In our baseline scenario, we
assume the RAC ratio will stay broadly stable over the next 12-18
months at about 6.0%. NFC's bank regulatory capital adequacy ratio
stood at a comfortable 19.6% as of March 1, 2020, versus the
minimum requirement of 8% (without buffers).

"In our view, NFC's risk position remains stronger than that of its
peers. Over the past year, the company's asset quality has remained
broadly stable. We note that nonperforming loans (NPLs) mainly
comprise a legacy portfolio of factoring advances that defaulted in
2014-2015, while the inflow of new problem assets remains low. We
think that conservative underwriting standards and proactive risk
management to avoid sectors with increasing risks support NFC's
good asset quality. We also think that the high turnover of NFC's
factoring portfolio, which is about 60 days on average, and the
small size of its transactions, help keep credit losses relatively
low. Given that almost 75% of NPLs are covered 100% by provisions
and represent the legacy book, the true impairment rate, including
recovery from insured portions, is about 1% of the gross portfolio.
In 2020, new loss provisions will likely increase to 2.5% and
reduce to 1.6% in 2021.

"Over previous years, NFC has improved the diversification of its
funding mix by attracting resources from Russian banks and
corporate clients. Nevertheless, we think NFC's funding profile
remains highly dependent on short-term resources provided by BANK
URALSIB, which represented about one-third of total liabilities at
year-end 2019, versus 70% at year-end 2018. We recognize that BANK
URALSIB's funding has been relatively stable, and that refinancing
risk for this funding is low, taking into account the close ties
between NFC and BANK URALSIB.

"The stable outlook on NFC reflects our view that NFC's credit
profile is unlikely to change materially over the next 12 months,
balancing recent improvements of the company's business
sustainability and funding diversity with our anticipation of
rising pressure on asset quality due to the economic contraction
and challenging operating conditions.

"We could take a negative rating action in the next 12 months if
NFC's asset quality deteriorated substantially, eroding its capital
position due to higher credit costs than currently anticipated,
with our RAC ratio falling well below 5.0%, and if the improvements
in profitability and funding diversity proved unsustainable.

"An upgrade in the current turbulent conditions is unlikely. Once
the macroeconomic situation stabilizes, we could raise the ratings
if management continues to successfully execute its strategy,
achieving sustainable improvements in profitability supported by
good operating efficiency and curbed credit losses. The forthcoming
12 months will likely allow NFC to demonstrate a sufficient track
record of sustainable performance amid the cycle downturn."




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

KUTXA HIPOTECARIO 1: Fitch Affirms Class C Notes Rating at 'BB+sf'
------------------------------------------------------------------
Fitch Ratings has upgraded one senior tranche of HT Abanca RMBS II
and downgraded one junior tranche of AyT Kutxa Hipotecario II.
Additionally, Fitch has revised the Outlook to Negative from Stable
on four tranches of Kutxa RMBS transactions (Kutxa 1 and Kutxa 2)
and maintained Kutxa 2's class A notes on Rating Watch Negative.

AyT Kutxa Hipotecario I, FTA    

  - Class A ES0370153001; LT AA+sf; Affirmed

  - Class B ES0370153019; LT A+sf; Affirmed

  - Class C ES0370153027; LT BB+sf; Affirmed

AyT Kutxa Hipotecario II, FTA    

  - Class A ES0370154009; LT AAAsf; Rating Watch Maintained

  - Class B ES0370154017; LT Asf; Affirmed

  - Class C ES0370154025; LT B-sf; Downgrade

HT Abanca RMBS II    

  - Class A ES0305306005; LT AA+sf; Upgrade

TRANSACTION SUMMARY

The transactions comprise residential mortgages serviced by
KutxaBank, SA (BBB+/Negative) and Abanca, SA (BBB-/RWN).

KEY RATING DRIVERS

Credit Enhancement Trends: The upgrade of Abanca's class A notes
reflects the strong and increasing CE, which is expected to further
increase as the transaction amortizes on a fully sequential basis
with a non-amortizing reserve fund.

The revision of the Outlooks on Kutxa 1's class A to C notes and
Kutxa 2's class B notes, and the downgrade and RWN on Kutxa 2's
class C notes reflect the possibility of downgrade. This is driven
by the notes' decreasing CE due to structural definitions (ie.
reserve fund amortization and pro-rata amortization of the notes)
with a limited margin of safety to absorb portfolio performance
volatility.

Weaker Performance Outlook Driven by COVID-19 Stresses: Fitch
expects a generalized weakening of borrowers' ability to keep up
with mortgage payments, as large-scale job losses take place,
especially in sectors like tourism related services. Spain has been
under a state of alert since mid-March 2020 with full lockdown
measures. Fitch has made assumptions about the spread of
coronavirus and the economic impact of the related containment
measures. As a base-case (most likely) scenario, Fitch assumes a
global recession in 2020. However, if a longer lockdown period is
required to contain the virus or the health crisis extends through
2021 because of the re-emergence of infections, a prolonged period
of economic contraction will take place linked to continued job
losses and depressed markets.

Commentary describing Fitch's credit views and analytical approach
as a consequence of coronavirus is available within the reports
"Global Economic Outlook: Crisis Update Late April 2020 -
Coronavirus Recession Unparalleled", "Coronavirus Baseline and
Downside Scenarios" and "Global SF Rating Assumptions Updated to
Reflect Coronavirus Risk". Analytical notes relevant for EMEA RMBS
transactions are discussed in the commentary "Fitch Ratings'
Approach for Addressing Coronavirus-Related Risks for EMEA RMBS"
dated April 15, 2020.

Payment Interruption Risk on Kutxa 2: The maintained RWN on Kutxa
2's class A notes reflects Fitch's assessment of increased payment
interruption risk on the notes in the event of a servicer
disruption, as available liquidity sources could be reduced by the
payment moratoriums that are now available in Spain to vulnerable
borrowers in light of the COVID-19 crisis, and also by larger
projected defaults. The only source of liquidity within the
transaction is the reserve fund, which is expected to decrease in
the short term as per the transaction's structural features. Fitch
expects to resolve the RWN in the next six months after assessing
the take up rate of payment holidays and any related portfolio
servicer strategy.

Fitch views the Kutxa 1 and Abanca transactions as sufficiently
protected against payment interruption risk in the event of
servicer disruption and payment moratorium take ups. Liquidity
sources are sufficient to cover at least three months of senior
fees, net swap payments (if applicable) and interest payment
obligations on the senior notes until an alternative servicing
arrangement is implemented, and offer a buffer against payment
holiday cash flow reductions.

Regional Concentration: The securitized portfolios are exposed to
geographical concentration in the regions of Galicia (Abanca 2) and
the Basque region (Kutxa 1 and 2). In line with Fitch´s European
RMBS rating criteria, higher rating multiples are applied to the
base foreclosure frequency assumption to the portion of the
portfolio that exceeds two and a half times the population within
these regions.

RATING SENSITIVITIES

Factors That Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade:

Liquidity sources for Kutxa 2's class A notes being resilient to
coronavirus-associated stresses such as payment moratoriums and new
loan defaults, all else being equal.

CE ratios increasing as the transactions deleverage, able to fully
compensate the credit losses and cash flow stresses commensurate
with higher rating scenarios, all else being equal.

Factors That Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade:

Liquidity for Kutxa 2's class A notes weakening due to large take
ups on mortgage payment moratoriums and new defaults as a
consequence of the coronavirus crisis.

A longer-than-expected coronavirus crisis that deteriorates
macroeconomic fundamentals and the mortgage market in Spain beyond
Fitch's current base case. CE ratios cannot fully compensate the
credit losses and cash flow stresses associated with the ratings
scenarios, all else being equal.

A downgrade of Spain's Long-Term Issuer Default Rating, which could
decrease the maximum achievable rating for Spanish structured
finance transactions below the current 'AAAsf' rating. This is in
connection with the senior notes rated 'AAAsf' in line with Fitch's
Structured Finance and Covered Bonds Country Risk Rating Criteria.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

CRITERIA VARIATION

In its analysis of Abanca, Fitch has decreased to 5% from 50% the
FF adjustment for instalment build-up loans that come from previous
securitizations (AyT Colaterales Global Hipotecario, FTA Series
Caixa Galicia I and II), representing 52.8% of the portfolio. This
is substantiated by the stable credit performance since these
transactions were originated in 2008 and the high seasoning of
those loans. This constitutes a variation from the agency's
European RMBS Rating Criteria, which includes a 50% FF adjustment
for instalment build-up loans. The model implied rating impact of
this criteria variation is one notch for Abanca's class A notes,
similar to the impact assessment as of closing date.

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

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pools and the transactions. There were no findings that affected
the rating analysis. Fitch has not reviewed the results of any
third party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

For Kutxa 1 and Kutxa 2 Fitch did not undertake a review of the
information provided about the underlying asset pools ahead of the
transactions' initial closing. The subsequent performance of the
transactions over the years is consistent with the agency's
expectations given the operating environment and Fitch is therefore
satisfied that the asset pool information relied upon for its
initial rating analysis was adequately reliable.

For Abanca, prior to the transactions closing, Fitch reviewed the
results of a third party assessment conducted on the asset
portfolio information and concluded that there were no findings
that affected the rating analysis. Overall, Fitch's assessment of
the information relied upon for the agency's rating analysis
according to its applicable rating methodologies indicates that it
is adequately reliable.



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

NAFTOGAZ: Fitch Affirms 'B' LT IDR, Alters Outlook to Stable
------------------------------------------------------------
Fitch Ratings has revised the Outlook on the National Joint Stock
Company Naftogaz's Long-Term Foreign-Currency Issuer Default Rating
to Stable from Positive and affirmed the IDR at 'B'.

The Outlook revision follows the revision of the Outlook on
Ukraine's sovereign rating (B/Stable) and the application of
Fitch's Government-Related Entities Rating Criteria. Fitch
equalises Naftogaz's ratings with those of sovereign, reflecting
the company's strong links with the sovereign and its assessment of
the company's Standalone Credit Profile at 'b-'.

Naftogaz's SCP reflects the transformation of its business profile
after the unbundling of its gas transmission business to primarily
a natural gas-producing and -wholesale supply company. It also
captures likely deterioration of its financial profile due to
expected volatility in operations after the unbundling, expected
2020 earnings decrease due to significantly weaker gas prices,
macro-economic challenges as a result of the COVID-19 pandemic and
uncertainty over domestic price regulation and collectability of
receivables amid a weaker domestic economy. However, Fitch also
expects leverage to remain low and weak, albeit, manageable
liquidity.

KEY RATING DRIVERS

Ratings in Line with Sovereign: Fitch views the overall linkage of
Naftogaz with the sovereign as strong, which is reflected in a
score of 40 under its GRE Criteria. It reflects its strong
assessment of status, ownership and control, record of support and
expectations and financial implications of a potential default of
Naftogaz. Fitch views the socio-political implications of a
potential default of Naftogaz as very strong.

Strategic Importance: Naftogaz is 100% state-owned and
strategically important as Ukraine's largest natural gas
production, wholesale and trading company. Dividends, taxes and
levies paid by Naftogaz represented almost 16% of Ukraine's state
budget in 2019. The share of state-guaranteed debt decreased to 5%
at end-2019 from 28% at end-2018 due to repayment of its debt to
World Bank in May 2019. In 2012-2015, the government provided about
UAH141 billion in direct support to Naftogaz. Naftogaz's financial
performance is closely monitored by the IMF, Ukraine's main lender,
which incentivises the government to ensure that Naftogaz is
adequately funded.

SCP at 'b-': Naftogaz's SCP captures uncertainties and potential
volatility of its business and financial profiles following the
transit business unbundling from 2020, as well as significant
pressure from weaker gas prices, all of which might result in a
weakening of the financial profile. Fitch expects the EBITDA margin
to decline to below 15% in 2020 from an average 40% in 2017-2019F,
before gradually recovering over 2021-2023. Further gas prices
liberalisation and the Public Service Obligations (PSO) regime
cancellation as well as collectability of receivables amid a weaker
domestic economy and liquidity strain from high capex in the
upstream segment remain increasingly important factors for
Naftogaz's financial profile.

FX Exposure: Naftogaz is subject to FX risk, as around 60% of its
total debt or USD1.5 billion of Eurobonds at end-2019 were
denominated in foreign currencies, i.e. US dollars and euros, while
most of its revenue is denominated in hryvna. Naftogaz is also
exposed to currency risk through its imports of natural gas, which
it partially passes onto unregulated market participants (not
subject to the PSO regime). Fitch expects further hryvna
depreciation against major currencies (the hryvna has lost 15%
against the US dollar so far in 2020) may lead to significant
deterioration of the financial profile and pressure the Eurobond
covenant of net debt/EBITDA of 3.0x.

Gas Transit Unbundling: The unbundling of the gas transit operator
from Naftogaz's subsidiary Ukrtransgaz PJSC took place on January
1, 2020. The unbundling will have a significant impact on EBITDA
generation and the business profile. However, this is in line with
its previous forecast that the unbundling of highly profitable gas
transit will weaken Naftogaz financially, and which assumes limited
earnings from transit and transportation from 2020 onwards.
Ukrtransgaz is managed independently but remains a subsidiary of
Naftogaz and will pay dividends to the parent, which it
conservatively assumes to be twice lower than management
estimates.

Regulatory Risks: Naftogaz is obliged to supply gas to municipal
heat utilities and distribution intermediaries until 1 May 2020
under the PSO regime. It is legally required to continue supply to
some of its non-paying customers under certain conditions, which
may negatively affect the collectability of receivables as long as
the PSO is in operation. Due to low market prices, which are lower
than the PSO-determined prices, prices of gas for PSO customers
decreased in April 2020 by 15% from March. Naftogaz estimates that
the state owes it significant compensation under PSO for supplying
gas to customers at below market prices, but it conservatively
excludes any compensation in its forecasts.

Focus on Domestic Markets: After 2020, Naftogaz will focus on
domestic gas sales, storage, domestic petrol products and LNG
sales, gas production and service legal agreements with the newly
unbundled gas transit company. Fitch expects funds from operation
(FFO) gross leverage to average below 3.0x over 2020-2023, assuming
lower earnings due to unbundling. Management also expects increased
capex to boost domestic gas production both through greenfield and
brownfield investments. Naftogaz accounts for about 80% of
Ukraine's domestic gas production.

DERIVATION SUMMARY

Naftogaz's rating is at the same level as Ukraine under its GRE
Criteria. Naftogaz operates in a weaker operating environment than
other Fitch-rated EMEA gas transmission and distribution companies,
such as eustream, a.s. (A-/Stable) and KazTransGas JSC
(BBB-/Stable). The unbundling will affect the company's EBITDA and
business profile.

While Naftogaz's estimated financial metrics for 2019 are strong
relative to peers, the company's 'b-' SCP reflects potential cash
flow volatility as its forecasts are sensitive to the continued
indexation of domestic gas prices in Ukraine, collectability of
accounts receivable and the impact of unbundling post-2019.

KEY ASSUMPTIONS

Fitch's Key Assumptions Within its Rating Case for the Issuer:

  - Ukrainian GDP to decline by around 6.5% in 2020 and recover by
3.5% in 2021

  - Ukrainian CPI of average 6% over 2020-2023

  - Limited revenues from transit-related fees over 2020-2023

  - No earn-out fees for unbundled assets

  - Natural gas prices dynamics over 2020-2023 in line with price
deck

  - Domestic gas sales volumes to slightly decline over 2020-2023

  - Capex of average USD1 billion annually over 2020-2023

  - Dividends payment of almost USD2 billion in 2020 and on average
USD600 million over 2021-2023

Key Recovery Rating Assumptions:

  - Naftogaz's value on a going-concern basis in a distressed
scenario assumes that the company would keep its operations and
would be restructured rather than liquidated.

  - Fitch has applied a 25% discount to 2021 EBITDA,
post-unbundling, reflecting its view of a sustainable,
post-reorganization level upon which it bases the valuation of the
company. The discount reflects risks associated with the regulatory
framework, potential weakening of financial profile and other
adverse factors.

  - 3.0x multiple is used to calculate a post-reorganization
enterprise value (EV). It is below the mid-cycle multiple for EMEA
oil and gas companies. It captures higher-than-average business
risks in Ukraine and reflects Naftogaz's lack of unique
characteristics allowing for a higher multiple.

Fitch has treated all banking debt as prior-ranking.

- After deduction of 10% for administrative claims and applying
Fitch's Country-Specific Treatment of Recovery Ratings Rating
Criteria, its waterfall analysis generated a ranked recovery in the
RR4 band, indicating a 'B' rating for the notes issued by Kondor
Finance plc. The waterfall analysis output percentage on current
metrics and assumptions was capped at 50%.

  - The notes are issued by Kondor Finance on a limited recourse
basis for the sole purpose of funding a loan to Naftogaz. They
constitute direct, unconditional senior unsecured obligations of
Naftogaz and rank pari passu with all other present and future
unsecured and unsubordinated obligations.

RATING SENSITIVITIES

Developments That May, Individually or Collectively, Lead to
Positive Rating Action/Upgrade:

  - Positive rating action on Ukraine would be reflected on
Naftogaz's rating assuming that Naftogaz's SCP is up to three
notches below the sovereign's and the links with the state do not
weaken.

Developments That May, Individually or Collectively, Lead to
Negative Rating Action/Downgrade:

  - Further negative rating action on Ukraine would be reflected on
Naftogaz.

  - Significant deterioration of Naftogaz's financial profile
following the planned reorganization with SCP falling more than
three notches below that of the sovereigns.

  - Unremedied liquidity issues.

The following rating sensitivities are for Ukraine (April 22,
2020):

The main factors that could, individually or collectively, lead to
positive rating action/upgrade are:

- General government debt/GDP returning to a firm downward path
over the medium term, for example due to a post-coronavirus-shock
fiscal consolidation.

- Reduction in external financial vulnerabilities, for example due
to a strengthened external balance sheet and greater financing
flexibility.

- Increased confidence that progress in reforms will lead to
improvement in governance standards and higher growth prospects
while preserving the improvements in macroeconomic stability.

The main factors that could, individually or collectively, lead to
negative rating action/downgrade:

- Increased external financing pressures or increased macroeconomic
instability, for example stemming from failure to agree an IMF
program or delays to disbursements from it.

- Persistent increase in general government debt, for example due
to a more pronounced and longer period of fiscal loosening,
economic contraction or currency depreciation.

- Sustained external or political/geopolitical shocks that weaken
the macroeconomic stability, growth prospects and Ukraine's fiscal
and external position.

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 fits 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

Manageable Liquidity, No Near-Term Maturities: At September 30,
2019, Naftogaz had UAH36 billion in short-term debt, with freely
available cash of UAH25 billion. The company managed to refinance
the majority of its short-term maturities to 2022. The nearest
largest maturities are in 2022 totalling UAH20 billion, which
partially comprise US dollar-denominated bonds.

Around USD1.0 billion out of USD2.5 billion total indebtedness is
bank borrowings from Ukrainian state banks such as JSC State
Savings Bank of Ukraine, Public Joint-Stock Company Joint Stock
Bank Ukrgasbank and JSC The State Export-Import Bank of Ukraine,
while the remaining USD1.5 billion is senior unsecured euro- and US
dollar- denominated bonds maturing in 2022-2026.

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

Ukraine Sovereign Rating

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
===========================

DRYDEN 74 2020: S&P Assigns B- (sf) Rating on Class F Notes
-----------------------------------------------------------
S&P Global Ratings assigned credit ratings to the class A to F
European cash flow CLO notes issued by Dryden 74 Euro CLO 2020 DAC
(Dryden 74). At closing the issuer also issued unrated subordinated
notes.

The ratings reflect S&P's assessment of:

-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans and
bonds that are governed by collateral quality tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.

-- The transaction's legal structure, which is bankruptcy remote.

-- The transaction's counterparty risks, which are in line with
our counterparty rating framework.

Under the transaction documents, the rated notes pay quarterly
interest unless there is a frequency switch event. Following this,
the notes will permanently switch to semiannual payment.

The portfolio's reinvestment period will end approximately
four-and-a-half years after closing, and the portfolio's maximum
average maturity date will be eight-and-a-half years after
closing.

S&P said, "We consider that the portfolio will be well-diversified
on the effective date, primarily comprising broadly syndicated
speculative-grade senior secured term loans and senior secured
bonds. Therefore, we have conducted our credit and cash flow
analysis by applying our criteria for corporate cash flow
collateralized debt obligations."

  Table 1
  Portfolio Benchmarks
                                                        Current
  S&P Global Ratings weighted-average rating factor       2,602
  Default rate dispersion                                   781
  Weighted-average life (years)                            5.66
  Obligor diversity measure                               90.79
  Industry diversity measure                              17.86
  Regional diversity measure                               1.36

  Table 2
  Transaction Key Metrics
                                                        Current
  Total par amount (mil. EUR)                               400
  Defaulted assets (mil. EUR)                                 0
  Number of performing obligors                             127
  Portfolio weighted-average rating
   derived from our CDO evaluator                           'B'
  'CCC' category rated assets (%)                           5.7
  Covenanted 'AAA' weighted-average recovery (%)          36.22
  Covenanted weighted-average spread (%)                    3.7
  Reference weighted-average coupon (%)                     3.6

S&P said, "In our cash flow analysis, we used the EUR400 million
target par amount, the covenanted weighted-average spread (3.70%),
the reference weighted-average coupon (3.60%), and the target 'AAA'
minimum weighted-average recovery rate as indicated by the
collateral manager. We applied various cash flow stress scenarios,
using four different default patterns, in conjunction with
different interest rate stress scenarios for each liability rating
category. Our credit and cash flow analysis indicates that the
available credit enhancement for the class B-1 to D notes could
withstand stresses commensurate with higher rating levels than
those we have assigned. However, as the CLO will be in its
reinvestment phase starting from closing, during which the
transaction's credit risk profile could deteriorate, we have capped
our ratings assigned to the notes.

"Our cash flow analysis also considers scenarios where the
underlying pool comprises 100% of floating-rate assets (i.e., the
fixed-rate bucket is 0%) and where the fixed-rate bucket is fully
utilized (in this case, 20%). In latter scenarios, the class F
cushion is -2.73%. Based on the portfolio's actual characteristics
of the portfolio and additional overlaying factors, including our
long-term corporate default rates and the class F notes' credit
enhancement (6.75%), we believe this class is able to sustain a
steady-state scenario, where the current market level of stress and
collateral performance remains steady. Consequently, we have
assigned our 'B- (sf)' rating to the class F notes, in line with
our criteria.

"Under our structured finance ratings above the sovereign criteria,
we consider that the transaction's exposure to country risk is
sufficiently mitigated at the assigned rating levels."

Until the end of the reinvestment period on Oct. 18, 2024, the
collateral manager is allowed to substitute assets in the portfolio
for so long as our CDO Monitor test is maintained or improved in
relation to the initial ratings on the notes. This test looks at
the total amount of losses that the transaction can sustain as
established by the initial cash flows for each rating, and compares
that with the default potential of the current portfolio plus par
losses to date. As a result, until the end of the reinvestment
period, the collateral manager can, through trading, deteriorate
the transaction's current risk profile, as long as the initial
ratings are maintained.

The transaction's documented counterparty replacement and remedy
mechanisms adequately mitigate its exposure to counterparty risk
under our current counterparty criteria.

The transaction's legal structure is bankruptcy remote, in line
with our legal criteria.

In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
corporate loan issuers, we are making qualitative adjustments to
our analysis when rating CLO tranches to reflect the likelihood
that changes to the credit profile of the underlying assets may
affect a portfolio's credit quality in the near term. This is
consistent with paragraph 15 of our criteria for analyzing CLOs. To
do this, we review the likelihood of near-term changes to the
portfolio's credit profile by evaluating the transaction's specific
risk factors, including, but not limited to, the percentage of the
underlying portfolio that comes from obligors that:

Are rated in the 'CCC' range;

-- Are currently on CreditWatch with negative implications;
-- Are rated with negative a negative outlook; or
-- Sit within a static portfolio CLO transaction.

S&P said, "Based our review of these factors, we believe that the
minimum cushion between this CLO tranches' break-even default rates
(BDRs) and scenario default rates (SDRs) should be 1% (from a
possible range of 1%-5%). The reasoning for this is that the
portfolio appears to be in line with others in terms of industry
composition and assets rated 'B-', and is relatively well
diversified with few large obligor concentrations. The transaction
has fewer assets on CreditWatch with negative implications and is a
reinvesting portfolio.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our ratings are
commensurate with the available credit enhancement for each class
of notes.

"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class A to E notes
to five of the 10 hypothetical scenarios we looked at in our recent
publication. The results shown in the chart below are based on
actual weighted-average spread, coupon, and recoveries.

"As our ratings analysis makes additional considerations before
assigning ratings in the 'CCC' category, and we would assign a 'B-'
rating if the criteria for assigning a 'CCC' category rating are
not met, we have not included the above scenario analysis results
for the class F notes. We have also floored the class E notes at
'B-' in scenario 3.

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. Some
government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly.

The transaction securitizes a portfolio of primarily senior secured
leveraged loans and bonds, and is managed by PGIM Ltd.

  Ratings List

  Class   Rating    Amount    Sub (%)   Interest rate*
                  (mil. EUR)                
  A       AAA (sf)   246.40   38.40     Three/six-month EURIBOR
                                         plus 1.00%
  B-1     AA (sf)     17.90   28.93     Three/six-month EURIBOR
                                         plus 1.70%
  B-2     AA(sf)      20.00   28.93     2.10%
  C-1     A (sf)      14.70   22.75     Three/six-month EURIBOR
                                         plus 2.30%
  C-2     A (sf)      10.00   22.75     2.80%
  D       BBB (sf)    29.20   15.45     Three/six-month EURIBOR
                                         plus 4.00%
  E       BB- (sf)    23.80   9.50      Three/six-month EURIBOR
                                         plus 6.52%
  F       B- (sf)     11.00   6.75      Three/six-month EURIBOR
                                         plus 8.91%
  Sub notes  NR       39.00   N/A       N/A

*The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event occurs.

EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A—-Not applicable.


ELLI INVESTMENTS: Fitch Withdraws 'D' IDR Over Insufficient Data
----------------------------------------------------------------
Fitch Ratings has withdrawn UK care home operator Elli Investments
Ltd's ratings, including the Issuer Default Rating of 'D'.

Subsequent to the appointment of independent administrators in
April 2019, there has been a reduction in available information. As
such, Fitch is withdrawing the ratings as Elli has stopped
participating in the rating process. Therefore, Fitch no longer has
sufficient information to maintain the ratings. Accordingly, Fitch
will no longer provide ratings or analytical coverage for Elli.

The ratings were withdrawn due to insufficient information
provided, due to Elli ceasing to participate in the rating
process.

KEY RATING DRIVERS

In Default: Fitch had downgraded Elli to 'D' following its
announcement on April 30, 2019 that independent administrators for
the issuers of Elli's bonds had been appointed and subsequently
initiated an independent sales process, which was terminated in
October 2019.

Unresolved Cost Pressures despite Scale: Elli has been facing
continuing constraints on profitability and cash flow generation
for the past few years. This is due to pressures on the group's
cost base associated with an increase in the national living wage,
and a shortage of nurses in the UK, leading to increasing reliance
on agency workers. Four Seasons Health Care is a UK care home
operator. It is one of the largest independent providers of elderly
care services in the UK.

Uncertainty around Social Care Reforms: Despite positive underlying
secular trends such as increasing demand for care and greater
differentiation of the care model, long-term visibility over social
care in the UK remains uncertain due to a chronic funding gap,
which so far has not been politically addressed and hence makes the
formulation of long-term strategies and business plans, as well as
asset valuations in the sector difficult.

Recovery Value: Fitch's recovery assumptions for the rated debt
were underpinned by valuations of Elli's properties given the
group's asset-heavy strategy, despite limitations on repurposing
these properties for alternative use in light of regulatory
oversight. However, there is no current information with regard to
any changes in the asset base or consolidation perimeter, in light
of discussions among stakeholders, to ascertain any impact on
recoveries for creditors in the event of financial restructuring.
Therefore, Fitch has withdrawn the ratings on the debt instruments
at their current levels.

ESG CONSIDERATIONS

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).

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.

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.

FONTWELL SECURITIES 2016: Fitch Places 6 Tranches on Watch Neg.
---------------------------------------------------------------
Fitch Ratings has placed six tranches of Fontwell Securities 2016
Limited on Rating Watch Negative due to the anticipated effects of
the coronavirus pandemic on the transaction portfolio.

Fontwell Securities 2016 Limited    

  - Class M; LT BB+sf Rating Watch On

  - Class N; LT BB+sf Rating Watch On

  - Class O; LT BB+sf Rating Watch On

  - Class P; LT B+sf Rating Watch On

  - Class Q; LT B+sf Rating Watch On

  - Class R; LT B+sf Rating Watch On

TRANSACTION SUMMARY

The transaction is a granular synthetic securitization of partially
funded credit default swaps referencing a static portfolio of
secured loans granted to UK borrowers in the farming and
agriculture sector. The loans were originated by AMC plc, a fully
owned subsidiary of Lloyds Bank plc (Lloyds, A+/ RWN/F1).

The notes' ratings address the likelihood of a claim being made by
the protection buyer under the CDS by the end of a five-year
protection period, in accordance with the documentation.

KEY RATING DRIVERS

The RWN reflects the increased probability of a downgrade on the
six tranches as the economic recession and contraction in demand
triggered by the pandemic could impair the capacity of SMEs and
self-employed workers to make payments. Fitch considers the
affected tranches' credit enhancement level as insufficient to
compensate for additional projected losses on the portfolio.
Fitch's sensitivity analysis is based on an increase of 25% to
default rates in combination with a 25% haircut to recovery
assumptions.

Fitch has made assumptions about the spread of coronavirus and the
economic impact of the related containment measures. Fitch's
baseline scenario assumes a global recession in 1H20 driven by
sharp economic contractions in major economies with a rapid spike
in unemployment, followed by a recovery that begins in 3Q20 as the
health crisis subsides. However, if the crisis extends through 2021
because of a re-emergence of infections, a prolonged period of
economic contraction will take place, leading to continued job
losses and depressed markets.

Commentary describing Fitch's credit views and analytical approach
as a consequence of coronavirus is available in the reports "Global
Economic Outlook - COVID-19 Crisis Update April 2 2020",
"Coronavirus Baseline and Downside Scenarios" and "Global SF Rating
Assumptions Updated to Reflect Coronavirus Risk". Fitch expects to
resolve the RWN in the coming months, with a likely rating impact
that could range between an affirmation to a multi-category
downgrade depending on the trajectory of the coronavirus crisis.

RATING SENSITIVITIES

Developments that may, individually or collectively, lead to
positive rating action/upgrade include:

  - CE ratios increase as the transaction deleverages, fully
compensating credit losses and cash flow stresses that are
commensurate with higher rating scenarios, all else being equal.
This takes into account a weaker asset performance outlook due to
the coronavirus crisis.

Developments that may, individually or collectively, lead to
negative rating action/downgrade include:

  - A longer-than-expected coronavirus crisis that weakens
macroeconomic fundamentals and the lending market in the UK beyond
Fitch's current base case. CE ratios cannot fully compensate the
credit losses and cash flow stresses associated with the current
ratings scenarios, all else being equal. This takes into account a
weaker asset performance outlook due to the coronavirus crisis.

  - A downgrade of the UK sovereign's Long-Term Issuer Default
Ratings could lower the maximum achievable structured finance
rating for the transaction.

Fitch expects to resolve the RWN in the coming months, with a
likely rating impact that could range between upgrades and
affirmations to multi-category downgrades depending on the
trajectory of the coronavirus crisis.

BEST/WORST CASE RATING SCENARIO

International scale credit 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 'AAAsf' to 'Dsf'. 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

Fitch has not conducted any check on the consistency and
plausibility of the information it has received about the
performance of the asset pools and the transaction. Fitch has not
reviewed the results of any third-party assessment of the asset
portfolio information or conducted a review of origination files as
part of its ongoing monitoring

Overall, Fitch's assessment of the information relied upon for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.

GVC HOLDINGS: Fitch Cuts LT IDR to 'BB', Outlook Negative
---------------------------------------------------------

Fitch Downgrades GVC Holding Plc to 'BB'; Outlook Negative
Fri 24 Apr, 2020 - 12:21 PM ET
Fitch Ratings - London - 24 Apr 2020:

Fitch Ratings downgraded GVC Holdings Plc's Long-Term Issuer
Default Rating to 'BB' from 'BB+. The Outlook is Negative. Fitch
also downgraded GVC's and Ladbrokes's senior secured instrument
ratings to 'BB' from 'BB+'.

The downgrade is driven by GVC's slower-than-expected deleveraging
to levels that would be consistent with a 'BB+' rating. This is due
to a severe impact from the coronavirus outbreak on its retail- and
sports- betting divisions, which is only partly offset by online
gaming. The Negative Outlook reflects continued regulatory pressure
over the next 12-18 months, low rating headroom, and diminishing
liquidity in an uncertain economic environment.

The 'BB' IDR reflects GVC's solid geographic and business
diversification, combining retail- and digital- betting offerings
following its takeover of Ladbrokes-Coral in 2018, sound profit
margins and good cash- generation ability. Fitch expects GVC's own
financial policy to shape the future rating trajectory.

Some instrument ratings on GVC Holdings and GVH Holdings
(Gibraltar) Limited were withdrawn with the following reason: Bonds
Were Prefunded/Called/Redeemed/Exchanged/Cancelled/Repaid Early.
Between September 2019 and February 2020, GVC moved its senior
secured term loans to under GVC's wholly owned subsidiary, GVC
Holdings (Gibraltar) Limited.

KEY RATING DRIVERS

High Pandemic Exposure: GVC faces significant revenue impact from
cancellation of sports events and closure of land-based operations
in the UK and Europe, with sport-betting (online & retail)
representing 48% and retail machines & virtual around 17% of its
net gaming revenues in 2019. This is only partly mitigated by an
increase in online gaming (17% NGR in 1Q20). Fitch's base case
assumes zero revenue from sports-betting and the retail business
for a three-month lockdown (despite some online sport-betting
revenues being generated over first weeks of the lockdown period).
Growth in 2021 will be affected by continued social distancing and
slow GDP recovery, with gaming as a discretionary expense suffering
from impaired purchasing power.

Slower Deleveraging amid Coronavirus: Fitch forecasts funds from
operations (FFO)-adjusted net leverage to exceed 'BB+' levels at
4.7x for 2021 (and 3.6x for 2022) due to coronavirus disruption.
This compares to its prior forecast of 3.7x for 2021 and a
sensitivity of below 4.0x by 2021. GVC remains committed to its
long-term net debt/EBITDA target of below 2.0x, equivalent to
FFO-adjusted net leverage of below 3.0x, while maintaining a
progressive dividend policy.

Liquidity Headroom Could Erode: Under a three-month lockdown, GVC
has sufficient flexibility to weather the pandemic due to its
decent liquidity position and ability to reduce cash outflows.
Mitigating actions include UK government support to cover 80% of
retail staff wages, 12-month business rates holiday and reduction
in variable costs. To preserve cash GVC has cancelled its interim
dividend and reduced retail capex. Fitch forecasts revolving credit
facility drawings to be below the covenant level (35%) under its
base case. Financial flexibility is further supported by no
near-term maturities. However, a prolonged lockdown could erode
GVC's liquidity headroom.

Slower Profitability Expansion: Fitch expects profitability
improvement to be slower, on the back of its revised assumptions
for lower growth in online operations. The negative trend in
footfall is expected to be partly offset by the new machines
employed in UK retail venues. Fitch has lowered its EBITDA margin
expectations for GVC amid lower economies of scale for online- and
its retail-cost base. Fitch believes that GVC will be able to
deliver at least GBP100 million of cost-savings from the Ladbrokes
merger by 2021. Fitch forecasts EBITDAR margin to improve towards
23% by 2022 from 21% in 2019.

Strong Business Profile: The combination of GVC with Ladbrokes
created one of the world's top-three leading gaming operators. The
enlarged group benefits from owning multiple leading brands,
providing betting and gaming services across multiple geographies
in Europe, as well as sizeable operations in Australia. Under
normal circumstances, its retail presence provides a competitive
advantage by granting higher visibility to its online operations,
with GVC delivering double-digit NGR growth across all major
territories from 2019 to 1Q20.

Increasing Sector Competition: The size of the business allows GVC
to benefit from economies of scale in an industry that is becoming
more competitive and tightly regulated. Fitch expects the advancing
merger of Flutter Entertainment and The Stars Group (B+/RWP) to
create a major rival to GVC, both in Europe (where the combined
Flutter and The Stars Group would be larger than GVC), and in the
US where GVC has set up a JV with MGM Resorts International
(BB-/Negative) targeting the regulated US sport-betting market. The
JV launched its operations in 2019, one year after its main
competitors Flutter Entertainment or Draftkings. The Stars Group
signed a 25-year partnership with Fox Sports in 2019.

Adverse Regulatory Changes: 2019 saw regulatory changes in the UK
that have affected all gaming operators such as the introduction of
a new stake limit of GBP2 on B2 fixed-odds betting terminals (FOBT)
in the UK and the increase in the remote gaming duty to 21% from
15% (both effective since April 1, 2019). Ban on using credit cards
for online gaming is effective since April 1, 2020, although Fitch
expects minor impact on GVC as less than 5% of customers use this
payment method.

Mounting Regulatory Pressure: Fitch expects increasing regulatory
pressure over the next 12-18 months following the growth in online
gaming during the lockdown period. This could drive a negative
rating action. GVC has significantly increased its funding of
responsible gaming initiatives, agreed to further TV and stadium
advertising restrictions and rolled out safer gaming tools and
behavioural tracker systems.

ESG Factors: GVC has an ESG Relevance Score of 4 for customer
welfare - fair messaging, privacy & data security due to increasing
regulatory scrutiny on the sector, greater awareness around social
implications of gaming addiction and increasing focus on
responsible gaming. This factor has a negative impact on the credit
profile, as already reflected in the rating, and is relevant to the
rating in conjunction with other factors.

DERIVATION SUMMARY

GVC's business profile is commensurate with a higher rating
category, supported by strong profitability and large scale. GVC's
expected EBITDAR margin at 22%-24% post-pandemic is solid relative
to 'BB' category-rated peers' 15%. GVC has weaker profitability
than Sazka Group (BB-/Stable), and is more exposed to increasingly
stringent regulation of sports-betting and online, but has lower
leverage and better geographic diversification.

GVC's leverage would be in line with 'BB' category-rated peers' at
4.5x post-pandemic, but above that of other rated gaming operators
such as Crown Resorts Limited's (BBB/Stable) and Las Vegas Sands
Corp's (BBB-/Stable).

KEY ASSUMPTIONS

Fitch's key assumptions for the base case include:

  - Sports events cancelled until end-June 2020, leading to no
revenues during those three months. Fitch then expect a gradual
recovery, with 2021 on a par with 2019 in performance. Thereafter,
Fitch expects low single-digit revenue growth until 2023;

  - Online gaming revenues would be boosted by the lockdown, with
around 12% growth in 2020. Fitch expects that adverse
macroeconomics conditions, combined with players returning to
online sports- betting, would lead to a mid-single digit decline in
online gaming revenue in 2021. Thereafter, Fitch expects low
single-digit growth until 2023;

  - Retail revenues materially impacted by a three-month lockdown,
combined with continuing social distancing post-lockdown leading to
revenue decline of around 30%-40% in 2020. Fitch expects that
retail venues revenues would return to 2019 levels (on a
like-for-like basis) by 2022. Fitch sees GVC's newly implemented
terminals in UK betting shops driving post-pandemic growth, ahead
of its previous expectations;

  - Bonus to staff initially due in 2020 paid in 2021;

  - Corporate costs of around GBP40 million-GBP50 million excluding
corporate bonuses;

  - EBITDAR margin decreasing to around 18% in 2020, before
recovering to 23.5% by 2023;

  - Capex reduced to around GBP140 million in 2020, before
increasing to GBP160 million in 2021 and stabilizing to around
GBP150 million until 2023;

  - Austrian duty of GBP77 million fully paid by end-2022, and
Greek tax payment of GBP50 million in 2020;

  - Earn-out payment of around GBP130 million in 2021;

  - No dividends paid to minorities post 2020 following payment of
Crystalbet earn-out;

  - No dividends paid to shareholders in 2020. Thereafter, Fitch
expects a minimum double-digit growth in dividends.

RATING SENSITIVITIES

Developments That May, Individually or Collectively, Lead to
Positive Rating Action/Upgrade to 'BB+'

  - Prompt rebound of operations post-pandemic coupled with
successful integration of Ladbrokes, lack of material tightening in
gaming regulation, and realization of planned synergies resulting
in EBITDAR margin above 22%

  - FFO-adjusted net leverage sustainably below 4.0x (gross below
4.5x)

  - FFO fixed-charge coverage remaining above 3.0x

Developments That May, Individually or Collectively, lead to a
revision of Outlook to Stable

  - No sign of tightening regulatory environment over the next
12-18 months that could threaten profitability and EBITDAR margin
at or above 20% by 2021

  - FFO-adjusted net leverage sustainably below 4.5x (gross below
5.0x) in 2021, supported by strict financial policies

  - FFO fixed-charge coverage at around 3.0x, with satisfactory
liquidity amid extended lockdown

Developments That May, Individually or Collectively, Lead to
Negative Rating Action/Downgrade to 'BB-'

  - Long-lasting effects of the pandemic such as prolonged
sports-event cancellations, failure to realize expected synergies,
increased competition or tighter regulation leading to
weaker-than-forecast profitability (for example EBITDAR margin at
or below 18% by 2021)

  - FFO-adjusted net leverage remaining above 4.5x (gross above
5.0x) from 2021 onwards

  - Maintaining shareholder-friendly financial policies that limit
deleveraging prospects

  - FFO fixed-charge coverage below 2.7x along with deteriorating
liquidity buffer amid extended lockdown

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 Financial Flexibility: Fitch forecasts that GVC's
liquidity will tighten due to the pandemic but remain adequate. The
adverse impact of the pandemic would be offset by cost-cutting and
cancellation of dividends. GVC's GBP550 million facility (of which
GBP495 million can be utilized as a multi-currency facility) was
undrawn as of March 31, 2020. The debt documentation includes a net
debt-to-EBITDA covenant of 4.0x when the facility is 35% drawn at
quarter-end. Fitch expects that GVC may draw on its RCF during
2020, but the outstanding amount should remain below the
covenant-testing threshold. Fitch sees further RCF draws in 2021
when Fitch expects GVC to resume its dividend distribution and pay
an estimated GBP130 million earn-out consideration for Crystalbet.

GVC has no material debt maturity until 2022 and 2023 when
Ladbrokes' bonds (respectively GBP100 million and GBP400 million)
are due.

All Senior Secured Debt Capital Structure: The capital structure
comprises solely senior debt (ie no second-lien debt). The asset
base comprises principally limited sizeable tangible assets,
resulting in limited additional credit enhancement arising from the
security package at the 'BB' IDR level. Fitch expects recovery
prospects to be "good" (i.e. 'RR3' within the band of 51%-70%
recoveries as per its criteria) for secured and guaranteed
creditors in a default, but not sufficient to merit a single-notch
uplift.

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

GVC has an ESG Relevance Score of 4 for Customer Welfare - Fair
Messaging, Privacy & Data Security.

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).

INTU PROPERTIES: Obtains Temporary Lifeline from Lenders
--------------------------------------------------------
George Hammond at The Financial Times reports that Intu Properties
PLC, the troubled UK shopping centre owner, has been given a
temporary lifeline by its lenders as the group battles to keep
control over malls that the coronavirus lockdown has left empty for
the past month.

Intu said in a statement on May 1 the company had been set to
breach covenants with its lenders, but has negotiated waivers until
June 26 on a GBP600 million revolving credit facility, the FT
relates.

According to the FT, it will use the time to attempt to negotiate
an agreement with lenders that, it says, will help it "to fix the
balance sheet over the medium term".

The UK lockdown has deepened problems at Intu, which was already
labouring under GBP4.5 billion of debt and consumers' shift from
physical stores to shopping online, the FT discloses.

A group of Intu's bondholders, which lent money to the group
secured against four of its shopping centres, have appointed the
financial advisory firm Moelis to look at restructuring options,
the FT relays.

One option being explored by the bondholders is the appointment of
a separate team to oversee the running of those sites, which
include Lakeside in Essex and the Victoria Centre in Nottingham,
the FT notes.


LGC SCIENCE: S&P Assigns B Issuer Credit Rating, Outlook Negative
-----------------------------------------------------------------
S&P Global Ratings assigned its 'B' long-term issuer credit rating
to U.K.-Based LGC Science Group Ltd. (Loire UK Midco 3 Ltd.) and
the group's financing company Loire Finco Luxembourg S.a.r.l. and
its 'B' issue and '3' recovery ratings to the group's senior
secured facilities, comprising the GBP1,082 million-equivalent
first-lien term loan and the GBP265 million RCF.

LGC's leading positions in the specialized life science tools and
genomics sectors will support revenue growth despite COVID-19
headwinds.   The group's strong market position leads to high
revenue visibility, with about 95% of the group's revenue in a
given year recurring in nature. Furthermore, LGC's exposure to end
markets that are benefiting from pandemic-related research, and the
mission-critical solutions embedded in its clients' regulatory and
compliance procedures, insulates the group's financials more than
if it had exposure to sectors reliant on more cyclical and
discretionary spending. For instance, whereas other sectors have
faced closures of operations due to the COVID-19 pandemic, the
majority of LGC's laboratories and manufacturing sites have
remained open, with specific facilities being exempt from the wider
shutdown.

S&P said, "Nevertheless, we expect some level of disruption in
LGC's end markets and a gradual erosion in LGC's revenue growth as
the duration of pandemic and the severity of the subsequent
recession grows. We forecast robust organic growth of about 4%-5%
in the fiscal year ending March 31, 2021 (fiscal 2021) and fiscal
2022, bolstered by continuous M&A. Our base-case organic growth
rate is more conservative than the historical like-for-like growth
rates and includes a margin of safety to account for the
uncertainty we observe in the wider economy." For context, LGC
recorded total revenue growth of about 17% in fiscal 2019 and a 6%
compound annual organic growth rate throughout the financial crisis
in fiscal 2007-fiscal 2010, when the group did not have exposure to
the higher-growth genomics division.

The life science tools sector remains fragmented and LGC is small
compared with some of the large players in the space, but it has
implemented a highly active M&A strategy in recent years.   Despite
the potential for execution risk, the group has demonstrated a
sound track record of integrating acquired entities and has
maintained relatively strong operating margins before transaction
and integration or restructuring costs. S&P said, "We expect
M&A-related and restructuring costs to remain controlled at around
GBP20 million per year, given management's experience in
integrating acquired companies. Our base case factors in a
strengthening in LGC's S&P Global Ratings-adjusted EBITDA margins
to 27%-28% in fiscal 2020, before a fall to around 25% in fiscal
2021-fiscal 2022 as the COVID-19 pandemic dampens LGC's positive
momentum in profitability."

S&P said, "Despite the recessionary macroeconomic environment, we
expect LGC to have sufficient liquidity to continue with tactical
acquisitions where management sees value. Although we acknowledge a
high degree of uncertainty about the rate of the spread and
duration of the COVID-19 pandemic, we understand that LGC has the
option to significantly reduce its acquisition and capital
spending. This would play an important role in preserving
profitability and free cash flow generation should COVID-19-related
pressures amplify.

"LGC's high share of fixed costs and its concentrated exposure to
the life science testing and certification industry constrain our
assessment of the business risk profile.   The requirement for
higher qualifications among LGC's technical staff somewhat reduces
the group's capacity to flex its cost structure if demand were to
drop suddenly. However, the group's concentrated exposure is
mitigated by its satisfactory geographical and end-market
diversification, with no material customer concentration risk.
Across both LGC's standards and genomics divisions, the largest 10
customers represent approximately 15% of pro forma fiscal 2019
revenue. The expected geographical split in terms of revenue is
about 8% for China, 6% for Asia-Pacific, 42% for Europe, the Middle
East, and Africa, and 44% for the Americas.

“We expect the acquisition to increase LGC's leverage compared
with the previous capital structure.   New owners Cinven and Astorg
replaced the previous first and second-lien term loans with a new,
upsized first-lien term loan of roughly equivalent size, bolstered
by a significant RCF of about GBP265 million. However, the new
capital structure includes a 10-year PIK facility of about GBP500
million that the previous shareholders and other external investors
arranged and that which we consider as debt, but that does not
weigh on LGC's cash flows. As a result, we estimate that the
group's adjusted debt in fiscal 2020 will be about GBP1.6 billion.
This will comprise GBP1,082 million-equivalent of new senior
secured term loans, about GBP500 million of PIK debt, and about
GBP40 million relating to the noncancellable portion of future
operating leases. Since we expect the group to generate adjusted
EBITDA of about GBP130-150 million over the rating horizon
(including M&A integration costs, which we view as recurring), our
expectation that adjusted debt to EBITDA will be in excess of 12x
would place LGC among the most highly leveraged service providers
that we rate.

"Nevertheless, we consider that LGC's lower cash-interest burden
and free operating cash flow (FOCF) generation will support the
rating over the next two years.   LGC's new capital structure will
lower its cash-interest burden compared with the previous
structure, resulting in our expectation of funds from operations
(FFO) cash interest coverage in excess of 2.5x, and FOCF of about
GBP15 million-GBP30 million per year. This is consistent with a 'B'
rating given our view of LGC's business risk profile. At present,
the COVID-19 pandemic does not change our fundamental view of LGC's
credit quality and we forecast that FOCF generation should remain
robust in the recessionary environment. However, this is contingent
on management maintaining a sound financial policy, and scaling
down its growth strategy should internal cash flow generation
deteriorate beyond our expectations. The combined effect of a
macroeconomic slowdown--despite LGC's limited direct correlation to
industrial cycles--alongside the group's aggressive M&A strategy,
limits our expectations for deleveraging, and introduces additional
risk to our interest coverage and FOCF forecasts. For that reason,
our outlook on the rating is negative.

"The negative outlook reflects our view that, while we expect LGC
will generate healthy levels of organic growth and cash (absent
significant integration costs), the group's aggressive M&A strategy
is unlikely to result in material deleveraging below 12x. This
results in the risk that weaker growth than we expect could lead to
cash flow and coverage metrics consistent with a lower rating.

"We could take a negative rating action if LGC underperformed our
organic growth expectations, while maintaining its aggressive M&A
policy, such that we expected FFO cash interest coverage to fall
below 2x or FOCF to be negative for a sustained period. Material
debt-financed acquisitions, with cash-pay debt increasing to an
unsustainable level, could also lead us to consider a downgrade.

"We would revise the outlook to stable if LGC continues to increase
organic revenue, successfully integrates acquisitions, and reduces
integration costs such that FOCF to debt reaches 5% on a sustained
basis."


MITCHELLS & BUTLERS: S&P Places 'BB' C1 Notes Rating on Watch Neg.
------------------------------------------------------------------
S&P Global Ratings placed its 'BB (sf)' ratings on two custodial
receipts related to the class C1 6.469% secured notes due Dec. 15,
2032, from Mitchells & Butlers Finance PLC on CreditWatch with
negative implications.

S&P said, "Our rating on the EUR63.993 million custodial receipts
is dependent on the higher of the rating on the insurance provider,
Ambac Assurance Corp. (not rated), and on the underlying security,
Mitchells & Butlers Finance PLC's class C1 6.469% secured notes due
Dec. 15, 2032 ('BB (sf)/Watch Neg').

"Similarly, our rating on GBP16.007 million custodial receipts is
dependent on the higher of the rating on the insurance provider,
Ambac Assurance U.K. Ltd. (not rated), and on the underlying
security, also Mitchells & Butlers Finance PLC's class C1 6.469%
secured notes due Dec. 15, 2032 ('BB (sf)/Watch Neg')."

The rating actions reflect the April 17, 2020, placement of S&P's
'BB (sf)' rating on the underlying security on CreditWatch with
negative implications. As noted in "34 Tranches On Seven U.K.
Corporate Securitizations Placed On CreditWatch Negative Due To
COVID-19 Uncertainty," published April 17, 2020, "CreditWatch
placements reflect the potential effect that the U.K. government's
measures to contain the spread of COVID-19 could have on both the
U.K economy and the relevant business sectors. In our view, the
credit quality of each transaction may decline due to health and
safety fears related to COVID-19. We believe this may negatively
impact the cash flows available to the issuers."

S&P may take subsequent rating actions on these transactions due to
changes in its rating assigned to the underlying security or
insurance provider.

Environmental, social, and governance factors relevant to the
rating actions:

-- Health and safety.


MOTION MIDCO: S&P Downgrades ICR to 'B', On CreditWatch Negative
----------------------------------------------------------------
S&P Global Ratings lowered the issuer credit rating on U.K.-Based
Motion Midco Ltd. (Merlin Entertainment) to 'B' from 'B+'. S&P also
lowered the issue rating on the existing senior secured debt to 'B'
from 'B+' and on the senior notes to 'CCC+' from 'B-'. S&P assigned
a 'B' rating to the proposed GBP350 million equivalent senior
secured notes. S&P placed all ratings on CreditWatch negative.

The spread of COVID-19 will likely materially constrain Merlin's
credit metrics.

Motion Midco Ltd. (Merlin Entertainment) is exposed to the impact
of the COVID-19 pandemic on the global leisure industry and
directly on its own global leisure attractions. S&P Global Ratings'
current base case is for COVID-19 to peak in June–August 2020,
although uncertainty around the rate of spread and timing of the
peak increases the downside risk to our forecasts. The closure of
the group's parks will likely pressure our base-case projections
for its 2020 and 2021 credit metrics. We previously forecast that
the group would deleverage toward 12x (7x excluding preference
shares and shareholder loans) by the end of 2020. The downgrade
primarily follows our revised expectation that Merlin will not
deleverage toward 7x in 2020, meaning leverage will remain above
the tolerance for a 'B+' rating.

Relaxation of confinement measures may not cause demand to bounce
back immediately, and business conditions may vary for operations
exposed to large groups if social distancing measures continue.  
S&P acknowledges the potential for material variability in key
assumptions underpinning its base case because of the COVID-19
pandemic, including:

-- Timing of the infection peak in key markets, relaxation of any
shutdown measures, and the risk of a second wave;

-- The scope of post-peak measures (social distancing), including
the degree of social distancing or continued mandated shutdowns by
governments for large groups;

-- The timing of a rebound in international tourism; and

-- The medium-term macroeconomic environment including consumer
confidence, notwithstanding government measures to curtail
COVID-19.

The spread of COVID-19 has increased markedly, particularly in
Europe, with several countries moving toward lockdown, with all but
basic societal functions on hold. Merlin has a global portfolio
that buffered the initial impact felt in Asia during the onset of
the virus. However, the pandemic has shut almost all of its global
operations. The length of shutdowns and containment measures would
deepen the impact.

It's possible that social distancing measures remain in place well
beyond any virus peak and the reopening of countries from lockdown
(in Europe for example). Aggressive social distancing measures or
the mandated closure of attractions from governments beyond a peak
could mean the prospects for attractions reopening will extend well
beyond our base case. Further, the macroeconomic environment and
consumer confidence conditions in the medium term remain uncertain,
however we forecast a global recession in 2020. Lastly, we expect
Merlin may be exposed to varying conditions as individual countries
take different courses of action in response to COVID-19. Merlin is
geographically diversified across 25 countries and should be better
placed than single-country operators. About 70% of the Merlin
attractions cater to domestic tourists, and the outdoor attractions
could witness a quicker recovery compared with indoor attractions.
Additionally, the segment of Merlin's business dependent on
international tourists will see slower recovery as we expect
international leisure travel will be disrupted for the rest of the
year.

Liquidity remains a key concern for global leisure operators in the
current environment and the proposed issuance will increase
Merlin's liquidity.  With many leisure operators experiencing
little to no revenue during the COVID-19 outbreak, liquidity is
critical. Merlin's proposed notes issuance will provide an
additional GBP350 million of liquidity to the group. S&P said, "We
estimate that Merlin had around GBP500 million of cash and drawn
revolving credit facilities (RCF) at the end of March 2020. The
additional GBP350 million equivalent would take total liquidity to
GBP800 million. We estimate the group has a current cash burn rate
of around GBP50 million per month (before additional interest costs
assumed). Merlin has taken advantage of government initiatives
including employee wage support and tax deferrals. Additionally,
the group has scaled back costs, including the usual seasonal
part-time and casual hiring. We believe that if conditions prove
materially detrimental beyond our base case the group could move
further into hibernation and seek to further reduce cash burn."

S&P said, "If COVID-19 impacts persist longer than our base case,
then drawn near-term liquidity will add to longer-term debt in the
capital structure.  The additional liquidity provides support
through near-term uncertainty, but also adds term debt financing to
the long-term capital structure. With the drawing down of an
additional GBP350 million of financing, we estimate that the
group's reported debt will approach GBP4 billion in fiscal year
2020 (approaching GBP8 billion adjusted including GBP1.2 billion of
lease debt and GBP2.7 billion of preference shares). We are
conscious that depending on when the portfolio's attractions
reopen, near-term liquidity once drawn during no revenue,
cash-burning conditions could become permanent debt in the capital
structure in the medium term. Due to financial sponsor ownership,
we do not net cash from our adjusted leverage metrics.

Merlin has a diversified portfolio of invested assets, which have
sunk cost value to replicate; however, the robustness of the
business to withstand an enduring crisis may come under review.
S&P said, "Our assessment of Merlin's business strength comes from
its diversified portfolio of assets, global market position in
leisure attractions, and above-average margins. However, the scope
of this pandemic--although unprecedented--has highlighted potential
vulnerabilities in the robustness of the business profile. The
group's assets are enduring, and given sunk capital expenditure
(capex) are costly to replicate. The pandemic is unlikely to erode
the portfolio's competitive position or underlying long-term
attractiveness. Before the pandemic we also considered the positive
long-term demand for travel and leisure experiences. However,
current conditions reveal the business' susceptibility from being
in a single industry and arguably a single product line. While the
group is diversified geographically, and is a profitable scale
operator with pre-pandemic S&P Global Ratings-adjusted EBITDA of
GBP564 million per year.

Environmental, social, and governance (ESG) factors relevant to the
rating action:   

-- Health and safety

S&P said, "The CreditWatch placement reflects significant downside
risk to our current base-case assumption that Merlin's ongoing
revenue would recover toward 90% of its normal level by
fourth-quarter 2020 and that it would support our base-case
forecast of revenue reverting back to around GBP1.7 billion in
2021, as well as deleveraging toward 13.0x-14.0x (8.3x–8.7x
excluding preference shares) in 2021.

"We could lower the rating if the trading in the coming months are
significantly weaker than our base case, depleting the group's cash
cushion, or it cannot raise fresh financing to manage its ongoing
liquidity and to complete the Legoland theme parks in New York and
South Korea. We expect to resolve the CreditWatch placements in the
next three to six months and will consider the status of the
closure of its attractions, liquidity cushion, and our updated
forecast on the magnitude of recovery in 2021. Lastly, we could
consider a downgrade if in our view the risk of specific default
events increases. This could include a weaker liquidity profile,
covenant breach, debt restructuring, or distressed exchange
including debt purchases below par."


NEWDAY GROUP: S&P Alters Outlook to Negative & Affirms 'B+' ICR
---------------------------------------------------------------
S&P Global Ratings revised its outlook on NewDay Group (Jersey)
Ltd. (NewDay) to negative from stable. At the same time, we
affirmed our 'B+' issuer credit rating on NewDay, and the 'B' issue
rating on notes issued by NewDay BondCo PLC.

S&P said, "The outlook revision reflects our view that economic and
market stress triggered by the COVID-19 pandemic will materially
reduce NewDay's profitability and asset quality metrics in the
coming quarters.

"In addition to the human cost, large parts of economic activity in
the U.K. and much of the rest of Europe have ground to a halt. With
isolation strategies still very much in force, our economists
expect sharp economic contraction in the second quarter of 2020,
followed by a rebound starting in the third quarter. However, they
are now more cautious on the strength of recovery through end-2020
and into 2021, envisaging a 2.4% decline in global GDP in 2020. In
the U.K., they assume a 6.5% GDP decline in 2020 before rebounding
by 6% in 2021. Even under this base case, the effects of COVID-19
will be evident for long after the crisis subsides.

"The affirmation balances our unfavorable view of NewDay's negative
tangible equity base at year-end 2019, and across our forecast
horizon, against our positive view of its diverse customer base,
and its robust funding and liquidity position. We expect revenues
for the group to remain fairly resilient through the year,
supported by a low cost of funding. However, given the unsecured,
nonprime nature of the loan book, we expect a significant uptick in
impairments in 2020. Despite this pressure on earnings, the group's
liquidity position and diverse funding base coming into the
pandemic, and its solid risk management, could support the group's
credit profile over the course of this year.

"The negative outlook reflects our view of the potential economic
and market impact of the COIVD-19 pandemic on NewDay's earnings and
business prospects. Although we view positively NewDay's stable,
niche franchise in the U.K. credit card market, its solid risk
framework, and robust liquidity and funding, an extended economic
downturn could materially increase impairment losses and weaken
revenues over our 12-month outlook time horizon.

"We could consider taking a negative rating action on NewDay if we
believe that pressures on the U.K. economy and financial system
were likely to sustainably weaken NewDay's earnings and capital
generation.

"We could revise the outlook back to stable if NewDay demonstrates
relatively resilient earnings and asset quality above our base
case.

"We could raise the rating on the senior secured notes issued by
NewDay BondCo PLC and equalize it with the group credit profile if
NewDay funds more of its assets with retained earnings, rather than
with securitization."


ONEWEB: Amazon Eyes Data Room, May 4 Rescue Bid Deadline Set
------------------------------------------------------------
Matthew Field at The Sunday Telegraph reports that Amazon is
circling crashed satellite company OneWeb, the British firm backed
by Sir Richard Branson and SoftBank.

According to The Sunday Telegraph, the e-commerce giant is
understood to be among the firms sifting through OneWeb's data room
as the UK-headquartered company, which filed for bankruptcy in the
US in March, conducts a firesale.

It joins Elon Musk's SpaceX and France's Eutelsat in conducting due
diligence on OneWeb's assets ahead of a deadline late today, May 4,
for expressions of interest, The Sunday Telegraph discloses.

A bidder could still try to buy the whole company and at least two
parties are understood to be interested, The Sunday Telegraph
states.

Another option is buying choice assets, the most valuable of which
is OneWeb's wireless spectrum which analysts have said could be
worth up to US$1 billion (GBP800 million), The Sunday Telegraph
notes.



P&O FERRIES: Ministers Tap Financial Advisers for Taxpayer Rescue
-----------------------------------------------------------------
Oliver Gill at The Telegraph reports that ministers have called in
specialist financial advisers to help negotiate a controversial
taxpayer rescue of P&O, the Dubai-owned ferry operator.

According to The Telegraph, accountancy firm PwC has been drafted
in by the Department for Transport as talks with owner DP World
over a GBP150 million bailout risk collapse.

Boss Sultan Ahmed bin Sulayem has accused ministers of being "slow"
to respond to a crisis to secure vital supply routes, The Telegraph
relates.

P&O Ferries, the English Channel operator that transports roughly
15% of the goods into the UK, is understood to be targeting GBP257
million through cost cuts and state aid, The Telegraph discloses.

More than GBP40 million savings will come from changes to pension
payments, and roughly GBP55 million from changes to working
conditions and pay cuts, The Telegraph states.  DP World wants the
balance, some GBP150 million, to come from the Exchequer, despite
paying GBP270 million to shareholders, The Telegraph notes.


TOGETHER FINANCIAL: S&P Alters Outlook to Neg. & Affirms 'BB-' ICR
------------------------------------------------------------------
S&P Global Ratings revised its outlook on Together Financial
Services Ltd. and its nonoperating holding company, Bracken Midco 1
PLC (Bracken), to negative from positive. At the same time, S&P
affirmed the 'BB-' long-term issuer credit rating on Together and
the 'B+' ratings on Bracken. S&P also affirmed the issue ratings on
senior secured notes issued by Jerrold Finco, a subsidiary of
Together, and the PIK Toggle notes issued by Bracken.

The outlook revision reflects S&P's view that economic and market
stress triggered by the COVID-19 pandemic may weaken Together's
profitability and asset quality in the coming quarters, while
meaningfully testing its funding franchise.

In addition to the human cost, large parts of economic activity in
the U.K. and much of the rest of Europe have ground to a halt. With
isolation strategies still very much in force, S&P's economists
expect sharp economic contraction in the second quarter of 2020,
followed by a rebound starting in the third quarter. However, they
are now more cautious on the strength of recovery through end-2020
and into 2021, envisaging a 2.4% decline in global GDP in 2020. In
the U.K., they assume a 6.5% GDP decline in 2020 before rebounding
by 6% in 2021. Even under this base case, the effects of COVID-19
will be evident for long after the crisis subsides.

S&P said, "The affirmation of the ratings on Together balances our
favorable view of its robust capital base, stable liquidity
position, and prudent lending policy, against its niche business
profile and our less favorable view of its funding franchise.
Although we expect the COVID-19 pandemic to challenge the group's
financial performance through 2020, primarily through material
growth in impairments, we expect Together to weather the economic
downturn relatively well, led by its low loan-to-value loan book (a
reported weighted average of 55% across the whole loan book at Dec.
31 2019). That said, given its profile as a niche, specialist
lender we still consider Together to be relatively more exposed to
further downside deterioration in the U.K. macroeconomic
environment. In addition, we consider that a tight, or largely
closed, wholesale funding market for issuers such as Together
creates further downside pressure.

"The negative outlook reflects our view of the potential economic
and market impact of the COVID-19 pandemic on Together's earnings
and funding. Although we view positively Together's track record of
resilience and profitability, its improving management framework,
and growing funding franchise, an extended economic downturn could
materially increase impairment losses, damage its funding
franchise, and weaken revenues over our 12-month outlook time
horizon.

"We could consider taking a negative rating action on Together if
we believe that pressures on the U.K. economy and financial system
were likely to sustainably weaken its earnings prospects and
capital generation."

S&P could revise the outlook back to stable if:

-- Together demonstrates relatively resilient earnings and asset
quality; and

-- S&P sees a material opening and loosening of capital markets
for the group; or

-- S&P observes an easing of economic pressures and a manageable
deterioration of asset quality in the U.K.


VENATOR MATERIALS: S&P Lowers LT ICR to 'B-', Outlook Stable
------------------------------------------------------------
S&P Global Ratings lowered its long-term issuer credit rating on
Venator Materials PLC to 'B-' from 'B+'. S&P also revised the
issue-level ratings on various related debt instruments, reflecting
weaker-than-anticipated valuation expectations and recovery
prospects.

S&P said, "In light of the COVID-19 pandemic, we expect the U.S.
and Eurozone GDP to contract 5.2% and 7.3% this year, respectively,
before rebounding by 6.2% and 5.6% in 2021.   Downside risks to our
base-case forecast could arise depending on whether the epidemic
persists beyond the second quarter of 2020. In these circumstances,
we expect demand for TiO2 to decline, especially in cyclical and
industrial end markets."

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. S&P said,
"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly."

S&P said, "We anticipate TiO2 prices and volumes will decline
significantly from current levels, leading to lower revenues during
the second and third quarters of 2020.  TiO2 pricing and demand
have been steady in the first quarter of 2020, but we expect demand
weakness to materialize beginning in the second quarter of the
year. Annual industry demand for TiO2 products tends to be
correlated with GDP growth rates over the medium term. We
anticipate revenues to decline by 8% to 10% in 2020. We view cash
flows in the TiO2 sector as very volatile, with pricing and supply
being particularly difficult to predict.

"While the effects of the anticipated economic downturn could vary
across TiO2 grades or applications by sectors, we believe all of
Venator's business segments and main end-markets will be affected
by a more challenging macroeconomic environment and soft demand."
Venator operates in a variety of end markets, including
architectural paints and industrial coatings, plastics,
construction materials, paper, inks, pharmaceuticals, food, and
personal care. Over a half to two-thirds of Venator's TiO2 segment
and performance additive segment sales remain tied to the
cyclically sensitive coatings, plastics, and construction end
markets.

Low margin and negative free-operating cash flow (FOCF) will remain
in 2020, resulting in weak credit metrics despite certain
initiatives to preserve cash.  S&P said, "We are lowering our
long-term issuer credit rating on the company to 'B-', as we now
forecast S&P Global Ratings-adjusted debt to EBITDA to increase to
above 6.5x in 2020, against 6.2x at the end of 2019. We believe the
releveraging will come in part because of reduced earnings, but
also due to still-high restructuring costs and ongoing capex for
footprint rebalancing projects in 2020, leaving the company with
negative cash flow."

S&P said, "In our view, softer demand in the company's European and
U.S. markets, greater competitive pressure, and lower volumes in
the performance additive segment will lead to a lower adjusted
EBITDA margin of 6.0%-7.5% over 2020. We also continue to
anticipate various restructuring costs and expenses related to the
closure from the Pori plant in Finland, following a fire that
damaged the plant in 2017. More recently, credit metrics have been
negatively affected by one-time costs and expenditure stemming from
the decision to transfer Venator's specialty and differentiated
technology from its Pori manufacturing site to other existing
facilities.

"We continue to project still-significant capex and other cash
expenditures for a total of of about $80 million-$110 million in
2020, along with cash contributions of $40 million per year to the
company's underfunded pension and postretirement benefit plans.
Venator is exploring a potential sale of the color pigments
business, but we believe the intended disposal could be delayed to
the second half of 2020, or to 2021, depending on market
conditions.

"We believe the global macroeconomic recession and COVID-19-related
effects over 2020 will inevitably result in Venator's adjusted debt
to EBITDA increasing above 6.5x in 2020. Our base-case scenario
continues to reflect high volatility in TiO2 prices and the
company's credit measures being affected by ongoing large
restructuring costs and capex."

The stable outlook indicates that Venator is likely to retain
adequate liquidity and adopt cash-preservation initiatives over
2020, reducing the risk of further credit deterioration.

S&P could lower its rating on Venator if it think its credit
metrics and FOCF were to deteriorate over the next 12 months beyond
its current expectations. This could occur if:

-- Pandemic-related disruption further weakens Venator's operating
performance and reduces the cash generation in 2020;

-- S&P observes larger restructuring costs and capex;

-- The company's liquidity position deteriorates materially; or

-- The company were to incur additional debts, leading to concerns
about the sustainability of its capital structure.

S&P said, "We could raise the rating if Ti02 revenue and
performance additive segments recover and look set to grow in 2021,
along with a reduction in the restructuring costs and capex over
that horizon.

"We consider that these conditions would lead to a strengthening in
EBITDA and turn FOCF positive, enabling the ratio of adjusted debt
to EBITDA to return comfortably to below 5.5x, and liquidity
sources to cover uses by at least 1.2x on a sustainable basis."


WINDBOATS MARINE: Enters Administration Amid Coronavirus Crisis
---------------------------------------------------------------
Business Sale reports that Windboats Marine, a Norfolk boat maker
dating back to 1920, has gone into administration following a
"general downturn in orders" during the coronavirus crisis.

Mark Upton -- mark.upton@ensors.co.uk -- and David Scrivener --
david.scrivener@ensors.co.uk -- of Ensors Chartered Accountants
have been appointed joint-administrators of the business, Business
Sale relates.  The company's 60 staff have not been made redundant,
with the administrators saying they are hopeful of finding a buyer
for the business, Business Sale notes.

"Unfortunately the Covid-19 pandemic and the disruption caused by
that, together with a downturn in orders and cash flow difficulties
has meant that Windboats Marine Limited has had to enter
administration," Business Sale quotes Mr. Upton as saying.

According to the company's most recent accounts, to the year ending
March 31 2019, it had fixed assets of GBP702,912 and current assets
of around GBP1.1 million, Business Sale discloses.

Windboats Marine is based in North Walsham and operates as both a
boatyard and boat-builder.  It has built the Gunfleet luxury
cruising yacht and Hardy motor yachts.





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

[*] BOND PRICING: For the Week April 27 to May 1, 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 Espirito Santo SA  6.900    6/28/2024     EUR    25.226
NTRP Via Interpipe Ltd   10.250   8/2/2017      USD    30.000
Pizzaexpress Financing 1 8.625    8/1/2022      GBP    35.739
Afren PLC                10.250   4/8/2019      USD     0.034
Erotik-Abwicklungsgesells7.750    7/9/2019      EUR     0.779
Senvion Holding GmbH     3.875    10/25/2022    EUR     6.000
PA Resources AB          13.500   3/3/2016      SEK     0.124
Espirito Santo Financial 3.125    12/2/2018     EUR     0.103
OGX Austria GmbH         8.375    4/1/2022      USD     0.001
Sequa Petroleum NV       5.000    4/29/2020     USD    68.238
Espirito Santo Financial 9.750    12/19/2025    EUR     0.790
Finmek International SA  7.000    12/3/2004     EUR     2.193
Astaldi SpA              7.125    12/1/2020     EUR    12.932
Moby SpA                 7.750    2/15/2023     EUR    32.000
UkrLandFarming PLC       10.875   3/26/2018     USD     5.121
Hellas Telecommunications8.500    10/15/2013    EUR     0.444
Pro-Gest SpA             3.250    12/15/2024    EUR    64.389
CRC Breeze Finance SA    6.110    5/8/2026      EUR    50.250
Saleza AS                9.000    7/12/2021     EUR     0.213
Corporate Commercial Bank8.250    8/8/2014      USD     0.289
Steilmann SE             7.000    3/9/2017      EUR     1.429
Vneshprombank Ltd Via VPB9.000    11/14/2016    USD     0.326
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     0.214
HPI AG                   3.500                  EUR     3.000
State Transport Leasing C7.550    1/18/2030     RUB    60.010
Alpine Holding GmbH      5.250    7/1/2015      EUR     0.477
Bank Nadra Via NDR Financ8.250    7/31/2018     USD     0.208
Solon SE                 1.375    12/6/2012     EUR     0.769
getgoods.de AG           7.750    10/2/2017     EUR     0.126
Galapagos Holding SA     7.000    6/15/2022     EUR     7.684
Virgolino de Oliveira Fin11.750   2/9/2022      USD     3.407
Alpine Holding GmbH      5.250    6/10/2016     EUR     0.478
Steilmann SE             6.750    6/27/2017     EUR     2.184
Stichting Afwikkeling Ond2.358                  EUR     1.109
Steilmann SE             7.000    9/23/2018     EUR     1.429
Finance and Credit Bank J9.250    1/25/2019     USD     0.993
Centrosolar Group AG     7.000    2/15/2016     EUR     2.387
Region of Molise Italy   0.060    12/15/2033    EUR    60.913
Dolphin Drilling ASA     4.490    8/28/2019     NOK     0.296
KPNQwest NV              10.000   3/15/2012     EUR     0.634
Windreich GmbH           6.500    3/1/2015      EUR     8.000
Societe Generale SA      7.000    10/20/2020    USD
Stichting Afwikkeling Ond6.625    5/14/2018     EUR     1.000
Vseukrainsky Aktsinerny B10.900   6/14/2019     USD     1.056
Abengoa Abenewco 2 Bis SA1.500    4/26/2024     EUR     6.200
Thomas Cook Group PLC    6.250    6/15/2022     EUR     6.875
Officine Maccaferri-SpA  5.750    6/1/2021      EUR    35.407
Societe Generale SA      12.000   7/8/2021      USD    42.300
Mox Telecom AG           7.250    11/2/2017     EUR     1.295
Credit Suisse AG/London  12.000   7/3/2020      USD    47.450
Industrial S.p.A.        5.300    8/7/2021      EUR    105.22
Afren PLC                11.500   2/1/2016      USD     0.017
Phosphorus Holdco PLC    10.000   4/1/2019      GBP     2.671
Banco Santander SA       2.008                  EUR     3.289
BOA Offshore AS          0.409    7/17/2047     NOK     8.112
Intralot Capital Luxembou6.750    9/15/2021     EUR    65.463
Leonteq Securities AG/Gue1.600    1/28/2022     EUR    39.790
Sberbank of Russia PJSC  1.165    1/27/2025     RUB    80.000
Virgolino de Oliveira Fin10.500   1/28/2018     USD     3.000
Virgolino de Oliveira Fin10.875   1/13/2020     USD    21.677
Sberbank of Russia PJSC  1.054    7/16/2024     RUB    80.000
International Finance Fac0.500    6/29/2027     ZAR    55.404
Decipher Production Ltd  12.500   9/27/2019     USD     1.500
Pescanova SA             5.125    4/20/2017     EUR     0.443
Hema Bondco II BV        8.500    1/15/2023     EUR    45.448
Havila Shipping ASA      6.360    11/7/2020     NOK    60.338
Ahtium PLC               4.000    12/16/2015    EUR     0.586
International Bank of Aze8.250    10/9/2024     USD    61.250
Air Berlin Finance BV    6.000    3/6/2019      EUR     2.433
O1 Properties Finance PLC7.000    1/29/2021     USD    72.183
Ahtium PLC               9.750    4/4/2017      EUR     0.976
Sberbank of Russia PJSC  0.010    2/28/2020     RUB    98.700
KPNQwest NV              7.125    6/1/2009      EUR     0.634
Linas Matkasse Newco AB  8.195    10/9/2022     SEK    55.000
Afren PLC                6.625    12/9/2020     USD     0.051
Bibby Offshore Services P7.500    6/15/2021     GBP    11.113
Yell Bondco PLC          8.500    5/2/2023      GBP    61.653
SALVATOR Vermoegensverwal9.500    12/31/2021    EUR     6.300
Agrokor dd               8.875    2/1/2020      USD    19.364
Mifa Mitteldeutsche Fahrr7.500    8/12/2018     EUR     2.411
Deutsche Agrar Holding Gm7.250    9/28/2018     EUR     1.254
Evrofinansy-Nedvizhimost 1.500    10/23/2020    RUB    100.00
Landesbank Schleswig-Hols2.239    1/5/2040      USD    50.306
Rena GmbH                8.250    7/11/2018     EUR     2.096
Portugal Telecom Internat5.242    11/6/2017     EUR     0.694
New World Resources NV   4.000    10/7/2020     EUR     0.021
Tonon Luxembourg SA      12.500   5/14/2024     USD     0.445
SiC Processing GmbH      7.125    3/1/2016      EUR     2.858
Mriya Agro Holding PLC   9.450    4/19/2018     USD     7.875
Kardan NV                6.325    1/15/2020     ILS     6.580
Veneto Banca SpA         6.950    2/25/2025     EUR     0.100
Muehl Product & Service A6.750    3/10/2005     DEM     0.032
Credito Padano Banca di C3.100                  EUR    34.123
Activa Resources AG      0.500    11/15/2021    EUR     5.110
Sberbank of Russia PJSC  1.169    1/21/2025     RUB    80.030
Barclays Bank PLC        1.376    10/10/2029    USD    71.394
Barclays Bank PLC        0.252    6/17/2033     USD    72.173
SAG Solarstrom AG        6.250    12/14/2015    EUR    31.000
Golden Gate AG           6.500    10/11/2014    EUR    38.260
Stichting Afwikkeling Ond8.450    8/20/2018     USD     1.000
A-TEC Industries AG      2.750    5/10/2014     EUR     0.141
IT Holding Finance SA    9.875    11/15/2012    EUR     0.202
HSBC Bank PLC            0.500    12/22/2025    BRL    67.327
Depfa Funding III LP     0.378                  EUR    56.730
Rio Forte Investments SA 4.000    7/22/2014     EUR     5.615
Veneto Banca SpA         6.944    5/15/2025     EUR     0.436
WEB Windenergie AG       4.000    12/17/2025    EUR    55.010
New World Resources NV   8.000    4/7/2020      EUR     1.454
Air Berlin Finance BV    8.500    3/6/2019      EUR     2.750
Credit Suisse AG/London  10.200   2/3/2023      USD     9.780
WPE International Coopera10.375   9/30/2020     USD     3.417
Espirito Santo Financial 5.050    11/15/2025    EUR     0.239
Depfa Funding II LP      6.500                  EUR    59.250
Royalbeach Spielwaren Und7.375    11/10/2020    EUR     2.420
Veneto Banca SpA         6.411                  EUR     0.369
AKB Peresvet ZAO         0.510    2/14/2032     RUB    12.000
Pescanova SA             8.750    2/17/2019     EUR     0.443
Finans-Avia OOO          10.000   7/31/2022     RUB     7.380
Atari SA                 0.100    4/1/2020      EUR     7.060
Societe Generale SA      13.200   12/11/2020    USD    63.100
O1 Properties Finance AO 13.000   10/2/2020     RUB    99.000
Landesbank Baden-Wuerttem0.400    2/7/2040      EUR     0.000
Cooperatieve Rabobank UA 0.500    12/29/2027    MXN    56.130
Top Gun Realisations 73 P8.000    7/1/2023      GBP     1.189
SAir Group               5.500    7/23/2003     CHF     9.875
O1 Properties Finance PLC8.250    9/27/2021     USD    47.774
Waste Italia SpA         10.500   11/15/2019    EUR     1.000
Thomas Cook Finance 2 PLC3.875    7/15/2023     EUR     7.031
Lehman Brothers Treasury 2.000    3/16/2035     EUR     3.400
SAG Solarstrom AG        7.500    7/10/2017     EUR    31.000
Lloyds Bank PLC          0.500    7/26/2028     MXN    53.151
Marine Subsea AS         9.000    12/16/2019    USD     0.688
Barclays Bank PLC        12.860   5/28/2020     USD    66.000
Northland Resources AB   15.000   7/15/2019     USD     2.621
AlphaNotes ETP Dac       0.010    9/9/2029      USD    72.607
Afren PLC                10.250   4/8/2019      USD     0.034
Credit Suisse AG/London  10.000   3/13/2020     USD     4.000
MS Deutschland Beteiligun6.875    12/18/2017    EUR     1.820
Cooperativa Muratori & Ce6.875    8/1/2022      EUR     2.467
UniCredit Bank AG        6.600    7/20/2028     EUR    43.660
Leonteq Securities AG    12.000   8/28/2020     CHF    14.930
Agrokor dd Via Aquarius +4.921    8/8/2017      EUR    14.375
WEB Windenergie AG       5.250    4/8/2023      EUR    55.010
Heta Asset Resolution AG 7.500    12/31/2023    ATS     1.748
Northland Resources AB   4.000    10/15/2020    NOK     0.138
Bank Otkritie Financial C10.000   4/26/2019     USD     9.701
Polski Bank Spoldzielczy 5.290    9/14/2027     PLN    21.000
Irish Bank Resolution Cor4.000    4/23/2018     EUR    42.733
Mobylife Holding A/S     7.407    5/23/2020     SEK     8.125
mybet Holding SE         6.250    12/12/2020    EUR     0.500
Boparan Finance PLC      5.500    7/15/2021     GBP    73.345
Raiffeisen Centrobank AG 6.000    7/21/2020     EUR    57.790
BNP Paribas SA           1.000    1/23/2040     MXN    39.569
Havila Shipping ASA      5.000    11/7/2020     NOK    50.387
SpareBank 1 SR-Bank ASA  1.383    12/21/2030    EUR    72.506
Lehman Brothers Treasury 1.692    10/5/2035     EUR     3.400
Lehman Brothers Treasury 6.650    8/24/2011     AUD     3.400
Privatbank CJSC Via UK SP10.875   2/28/2018     USD    31.133
Cooperatieve Rabobank UA 0.500    1/31/2033     MXN    36.587
Heta Asset Resolution AG 0.064    12/31/2023    EUR     1.748
Lehman Brothers Treasury 1.692    11/2/2035     EUR     3.400
Societe Generale SA      12.000   4/2/2020      USD    44.900
A-TEC Industries AG      8.750    10/27/2014    EUR     0.141
Agrokor dd               9.125    2/1/2020      EUR    19.247
Teksid Aluminum Luxembour12.375   7/15/2011     EUR     0.338
Norske Skog Holding AS   8.000    2/24/2021     EUR     0.084
Raiffeisen Schweiz Genoss6.250    2/17/2020     CHF    55.810
EFG International Finance6.130    6/20/2024     EUR    43.770
German Pellets GmbH      7.250    4/1/2016      EUR     0.622
Municipality Finance PLC 0.500    6/19/2024     ZAR    73.256
Societe Generale SA      8.600    7/29/2022     USD    53.150
Top Gun Realisations 74 P6.500    7/1/2022      GBP    18.791
ING Bank NV              6.500    12/30/2020    EUR    72.600
BKZ Finance OAO          6.000    12/6/2030     RUB    85.000
Kaupthing ehf            9.000                  USD     0.122
Barclays Bank PLC        2.000    6/12/2029     TRY    40.523
Plaza Centers NV         6.900    7/1/2020      ILS    21.350
Finans-Avia OOO          0.010    7/31/2027     RUB     3.670
Corner Banca SA          12.400   11/2/2020     CHF    63.000
Cooperativa Muratori & Ce6.000    2/15/2023     EUR     2.549
Banca Popolare di Vicenza9.500    10/2/2025     EUR     0.094
Phosphorus Holdco PLC    10.000   4/1/2019      GBP     2.671
Hellas Telecommunications6.054    1/15/2015     USD     0.033
Heta Asset Resolution AG 0.148    12/31/2023    EUR     1.748
Zaklady Miesne Henryk Kan6.950    3/29/2021     PLN
UniCredit Bank AG        4.000    5/14/2020     EUR    69.430
Spoldzielczy Bank Rozwoju5.290    7/16/2025     PLN    52.000
Natixis SA               0.300    6/25/2048     USD    47.850
Solarwatt GmbH           7.000    11/1/2015     EUR    15.500
Trinfiko Holdings ZAO    10.000   3/20/2024     RUB    100.00
Heta Asset Resolution AG 5.920    12/31/2023    EUR     1.748
Pescanova SA             6.750    3/5/2015      EUR     0.443
mybet Holding SE         6.250    12/11/2020    EUR    20.000
Aralco Finance SA        10.125   5/7/2020      USD     1.880
Banco Espirito Santo SA  10.000   12/6/2021     EUR     0.075
Grupo Isolux Corsan SA   6.000    12/30/2021    USD     0.398
Deutsche Bank AG/London  0.500    10/18/2038    MXN    19.932
Bilt Paper BV            9.640                  USD     1.004
Barclays Bank PLC        1.450    9/24/2038     MXN    28.821
BLT Finance BV           12.000   2/10/2015     USD    10.500
SG Issuer SA             5.500    4/10/2021     EUR    70.160
Agrokor dd               9.875    5/1/2019      EUR    19.336
Leonteq Securities AG    14.000   6/12/2020     CHF     6.130
Transneft PJSC           9.650    6/30/2023     RUB    68.070
Credit Suisse AG/London  6.250    10/31/2025    USD    11.734
Leonteq Securities AG    7.200    2/2/2021      EUR    60.460
SALVATOR Vermoegensverwal9.500                  EUR    15.400
Bank Otkritie Financial C0.010    9/24/2025     RUB    64.070
SAir Group               6.250    10/27/2002    CHF     9.875
IT Holding Finance SA    9.875    11/15/2012    EUR     0.202
COFIDUR SA               0.100    12/31/2024    EUR    25.800
WEB Windenergie AG       6.250                  EUR    55.010
SAir Group               5.125    3/1/2003      CHF    13.500
SAir Group               0.125    7/7/2005      CHF     9.875
Minicentrales Dos SA     0.010    6/6/2047      EUR    65.750
Norske Skogindustrier ASA7.125    10/15/2033    USD     0.036
Petromena ASA            10.850   11/19/2018    USD     0.607
Kaupthing ehf            7.625    2/28/2015     USD     0.250
Minicentrales Dos SA     0.010    6/6/2047      EUR    65.750
KPNQwest NV              8.125    6/1/2009      USD     0.634
Ideal Standard Internatio11.750   5/1/2018      EUR     0.240
Credito Padano Banca di C3.100                  EUR    34.345
La Veggia Finance SA     7.125    11/14/2004    EUR     0.287
UniCredit Bank AG        12.300   6/26/2020     EUR    63.090
Fast Finance SA          10.500   1/15/2021     PLN
Erste Group Bank AG      5.800    1/31/2023     EUR    65.550
KPNQwest NV              7.125    6/1/2009      EUR     0.634
Grupo Isolux Corsan SA   0.250    12/30/2018    EUR     1.453
ECM Real Estate Investmen5.000    10/9/2011     EUR    15.375
Kaupthing ehf            6.125    10/4/2016     USD     0.250
AKB Peresvet ZAO         0.510    8/4/2034      RUB    17.100
Cooperatieve Rabobank UA 0.500    8/21/2028     MXN    52.862
Zaklady Miesne Henryk Kan6.950    3/29/2021     PLN
Raiffeisen Schweiz Genoss5.250    2/9/2021      CHF    39.410
RENE LEZARD Mode GmbH    7.250    11/25/2017    EUR     1.400
Gold-Zack AG             7.000    12/14/2005    EUR     9.050
Bulgaria Steel Finance BV12.000   5/4/2013      EUR     0.216
A-TEC Industries AG      5.750    11/2/2010     EUR     0.141
Northland Resources AB   4.000    10/15/2020    USD     0.138
PSN Pm OOO               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   7/9/2023      SEK    55.300
Credit Suisse AG/London  4.360    2/28/2020     EUR    67.000
Commerzbank AG           1.000    11/2/2020     USD    18.680
WEB Windenergie AG       5.500    4/8/2023      EUR    55.010
Lehman Brothers Treasury 0.500    12/20/2017    AUD     2.571
Espirito Santo Financial 0.515    10/27/2024    EUR     1.217
Norske Skogindustrier ASA7.000    12/30/2026    EUR     0.036
Heta Asset Resolution AG 0.370    12/31/2023    EUR     1.748
Hellenic Republic Governm2.085    7/25/2057     EUR    50.339
Lehman Brothers Treasury 6.600    2/22/2012     EUR     2.571
Espirito Santo Financial 5.125    5/30/2016     EUR     1.677
House of Fraser Funding P6.504    9/15/2020     GBP     4.517
DekaBank Deutsche Girozen4.810    6/30/2020     EUR    53.240
Commerzbank AG           5.350    3/2/2020      USD    54.040
Leonteq Securities AG    10.000   3/2/2020      EUR    52.030
Raiffeisen Schweiz Genoss10.300   2/19/2020     EUR    62.880
Bayerische Landesbank    2.800    3/13/2020     EUR    73.840
UniCredit Bank AG        4.500    8/6/2021      EUR    68.610
Laurel GmbH              7.125    11/16/2017    EUR     7.750
Lehman Brothers Treasury 14.900   9/15/2008     EUR     2.571
Lehman Brothers Treasury 11.750   3/1/2010      EUR     2.571
AKB Peresvet ZAO         13.250   4/25/2018     RUB    18.000
Credit Suisse AG/London  12.500   7/24/2020     USD    25.680
Lehman Brothers Treasury 2.875    3/14/2013     CHF     3.750
Lehman Brothers Treasury 10.000   6/11/2038     JPY     2.571
Windreich GmbH           6.250    3/1/2015      EUR     8.000
MIK OAO                  15.000   2/19/2020     RUB    60.020
DekaBank Deutsche Girozen7.000    2/28/2020     EUR    72.440
Commerzbank AG           13.200   9/19/2023     SEK    77.000
Raiffeisen Schweiz Genoss5.500    5/4/2020      CHF    54.770
EFG International Finance5.150    6/10/2020     EUR    40.570
Fonciere Volta SA        4.500    7/30/2020     EUR     2.360
Business-Consulting OAO  6.000    12/6/2030     RUB    65.000
Sberbank of Russia PJSC  0.010    5/22/2023     RUB    73.110
LBI ehf                  7.431                  USD     0.001
Otkritie Holding JSC     12.090   12/8/2027     RUB     0.010
Petromena ASA            9.750    5/24/2016     NOK     0.607
Bayerische Landesbank    2.300    9/11/2020     EUR    73.530
SAir Group               2.750    7/30/2004     CHF     9.875
EDOB Abwicklungs AG      7.500    4/1/2012      EUR     0.466
Norske Skogindustrier ASA2.000    12/30/2115    EUR     0.415
HSBC Bank PLC            0.500    6/23/2027     MXN    58.207
Lehman Brothers Treasury 0.500    12/20/2017    USD     2.571
Lehman Brothers Treasury 7.600    1/31/2013     AUD     2.571
SAir Group               2.125    11/4/2004     CHF     9.875
Windreich GmbH           6.750    3/1/2015      EUR     8.000
Tonon Luxembourg SA      12.500   5/14/2024     USD     0.445
DZ Bank AG Deutsche Zentr8.000    2/26/2020     EUR    73.760
Commerzbank AG           6.000    5/9/2022      USD     1.000
UBS AG/London            6.000    2/28/2020     CHF    60.650
Leonteq Securities AG/Gue2.750    9/15/2022     CHF    31.750
UniCredit Bank AG        3.800    7/23/2020     EUR    38.800
Landesbank Baden-Wuerttem4.800    2/28/2020     EUR    62.480
Archer Finance OOO       9.250    3/29/2022     RUB     0.590
UniCredit Bank AG        4.500    11/18/2020    EUR    40.720
Astana Finance BV        7.875    6/8/2010      EUR    16.000
Nutritek International Co8.750    12/11/2008    USD     2.089
Intelsat SA              4.500    6/15/2025     USD    44.250
Credit Suisse AG/London  6.500    3/28/2022     USD     3.910
State of Saxony-Anhalt   0.134    7/3/2028      EUR    42.000
Kaupthing ehf            7.500    12/5/2014     ISK     0.250
Kaupthing ehf            4.390    10/14/2008    CZK     0.250
Rosbank PJSC             0.020    4/30/2024     RUB    60.000
Heta Asset Resolution AG 5.730    12/31/2023    EUR     1.748
Rio Forte Investments SA 4.750    11/10/2015    EUR     5.394
Barclays Bank PLC        10.500   5/29/2020     USD    33.490
EFG International Finance6.400    6/22/2020     CHF    51.740
Leonteq Securities AG/Gue6.000    5/22/2020     CHF    66.300
Landesbank Baden-Wuerttem5.000    4/24/2020     EUR    63.080
UniCredit Bank AG        3.750    9/7/2020      EUR    40.970
UniCredit Bank AG        3.730    3/12/2020     EUR    65.200
UBS AG/London            11.500   3/9/2020      CHF    73.250
UBS AG/London            10.000   3/9/2020      CHF    56.200
Landesbank Baden-Wuerttem2.230    5/22/2020     EUR    74.660
Spoldzielczy Bank Rozwoju5.290    3/12/2025     PLN    70.000
Raiffeisen Centrobank AG 8.000    3/3/2020      EUR    61.870
Bank Julius Baer & Co Ltd6.250    10/5/2020     CHF    71.250
Bayerische Landesbank    2.500    9/10/2021     EUR    71.560
Bayerische Landesbank    3.200    7/3/2020      EUR    71.610
Kaupthing ehf            5.750    10/4/2011     USD     0.250
Rio Forte Investments SA 3.900    7/10/2014     USD     5.500
Otkritie Holding JSC     12.140   10/3/2036     RUB    60.010
UniCredit Bank AG        5.200    5/4/2020      USD    43.400
Landesbank Hessen-Thuerin6.600    2/17/2023     EUR    50.360
Sberbank of Russia PJSC  7.550    7/12/2021     RUB    70.020
Landesbank Hessen-Thuerin6.250    12/22/2022    EUR    55.150
EFG International Finance7.000    5/23/2022     EUR    65.100
Commerzbank AG           2.540    4/15/2020     EUR    67.800
Societe Generale SA      9.000    7/22/2022     USD    47.100
Samaratransneft-Terminal 12.000   4/27/2022     RUB    19.000
Tonon Luxembourg SA      9.250    1/24/2020     USD     0.536
Lehman Brothers Treasury 5.250    4/1/2023      EUR     2.571
Natixis SA               2.100    6/8/2021      EUR    47.395
Leonteq Securities AG    4.000    12/18/2026    CHF    67.670
UniCredit Bank AG        3.630    3/12/2020     EUR    57.880
Leonteq Securities AG/Gue10.000   3/16/2020     USD    52.450
UBS AG/London            12.500   3/16/2020     CHF    36.050
Landesbank Hessen-Thuerin5.700    6/16/2022     EUR    64.330
UniCredit Bank AG        4.100    10/1/2020     EUR    52.650
City of Predeal Romania  3.500    5/15/2026     RON    60.000
Raiffeisen Schweiz Genoss5.750    2/25/2021     CHF    61.680
Gazprombank JSC          0.010    11/24/2022    RUB    72.270
Bayerische Landesbank    3.100    7/31/2020     EUR    71.060
Bank Julius Baer & Co Ltd7.650    6/8/2020      EUR    62.600
Landesbank Hessen-Thuerin4.000    2/17/2021     EUR    74.180
Landesbank Hessen-Thuerin5.550    3/16/2023     EUR    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   3/26/2020     EUR    72.230
UBS AG/London            6.400    6/25/2020     EUR    71.530
UBS AG/London            8.200    6/25/2020     EUR    69.080
UBS AG/London            15.600   3/26/2020     EUR    60.930
UBS AG/London            7.400    3/26/2020     EUR    71.570
UBS AG/London            7.700    3/26/2020     EUR    71.910
UBS AG/London            6.700    12/28/2020    EUR    75.370
UBS AG/London            7.400    3/26/2020     EUR    72.310
UBS AG/London            7.700    6/25/2020     EUR    70.420
DZ Bank AG Deutsche Zentr12.000   3/25/2020     EUR    55.750
Landesbank Baden-Wuerttem4.600    3/27/2020     EUR    73.980
HSBC Trinkaus & Burkhardt0.750    4/22/2020     EUR    69.220
Landesbank Baden-Wuerttem5.000    3/26/2021     EUR    77.250
Landesbank Baden-Wuerttem4.500    3/26/2021     EUR    65.120
Landesbank Baden-Wuerttem3.000    3/26/2021     EUR    59.300
Vontobel Financial Produc21.500   3/13/2020     EUR    71.500
Bank J Safra Sarasin AG/G10.400   3/5/2020      CHF    54.580
UBS AG/London            21.000   3/26/2020     EUR    67.280
UBS AG/London            9.200    3/26/2020     EUR    69.660
UBS AG/London            9.400    3/26/2020     EUR    67.050
UBS AG/London            5.800    6/25/2020     EUR    72.970
UBS AG/London            5.300    3/26/2020     EUR    74.780
UBS AG/London            8.400    3/26/2020     EUR    70.080
UBS AG/London            6.600    3/26/2020     EUR    74.150
UBS AG/London            14.600   3/26/2020     EUR    73.870
UBS AG/London            12.900   6/25/2020     EUR    61.770
UBS AG/London            6.300    3/26/2020     EUR    73.130
UBS AG/London            8.700    6/25/2020     EUR    67.810
UBS AG/London            9.000    4/3/2020      CHF    71.950
UBS AG/London            9.000    10/5/2020     EUR    49.550
DZ Bank AG Deutsche Zentr8.400    3/23/2020     EUR    56.650
Vontobel Financial Produc10.000   3/27/2020     EUR    52.150
UBS AG/London            8.750    8/17/2020     CHF    37.300
UBS AG/London            9.500    8/17/2020     CHF    63.550
UBS AG/London            8.000    8/17/2020     EUR    50.300
UBS AG/London            8.000    8/17/2020     CHF    66.750
Raiffeisen Schweiz Genoss5.340    8/17/2020     CHF    59.540
Leonteq Securities AG/Gue6.000    8/24/2020     CHF    62.070
DekaBank Deutsche Girozen3.000    9/11/2020     EUR    68.130
Vontobel Financial Produc3.840    2/17/2020     EUR    61.370
Leonteq Securities AG    8.000    8/24/2020     CHF    63.690
Raiffeisen Schweiz Genoss6.500    2/24/2020     CHF    61.080
Raiffeisen Schweiz Genoss5.250    2/24/2020     CHF    66.810
Societe Generale Effekten5.600    9/4/2023      EUR    71.640
UniCredit Bank AG        3.700    9/14/2022     EUR    48.210
Societe Generale Effekten15.533   6/19/2020     EUR    57.500
UniCredit Bank AG        4.550    9/28/2023     EUR    74.440
SG Issuer SA             3.000    9/2/2021      EUR    62.860
UBS AG/London            6.500    2/24/2020     CHF    55.700
UBS AG/London            10.000   8/24/2020     CHF    67.700
UBS AG/London            11.000   8/24/2020     CHF    60.900
UBS AG/London            12.000   2/24/2020     USD    30.250
Landesbank Hessen-Thuerin6.000    8/4/2022      EUR    57.890
Leonteq Securities AG/Gue6.600    6/30/2020     CHF    72.260
Leonteq Securities AG/Gue5.400    6/30/2020     CHF    65.490
Landesbank Hessen-Thuerin3.250    2/10/2021     EUR    75.200
Landesbank Hessen-Thuerin2.750    12/16/2020    EUR    74.100
Leonteq Securities AG/Gue7.200    9/28/2020     EUR    68.810
UniCredit Bank AG        7.350    7/16/2020     EUR    62.550
HSBC Trinkaus & Burkhardt6.700    3/27/2020     EUR    69.530
HSBC Trinkaus & Burkhardt11.100   6/26/2020     EUR    60.890
HSBC Trinkaus & Burkhardt5.100    6/26/2020     EUR    52.800
HSBC Trinkaus & Burkhardt8.800    9/25/2020     EUR    45.850
HSBC Trinkaus & Burkhardt6.500    9/25/2020     EUR    49.540
HSBC Trinkaus & Burkhardt4.400    9/25/2020     EUR    54.630
HSBC Trinkaus & Burkhardt2.900    9/25/2020     EUR    59.860
HSBC Trinkaus & Burkhardt9.500    2/28/2020     EUR    42.620
HSBC Trinkaus & Burkhardt6.300    2/28/2020     EUR    48.040
HSBC Trinkaus & Burkhardt3.600    2/28/2020     EUR    55.130
HSBC Trinkaus & Burkhardt12.300   6/26/2020     EUR    41.450
HSBC Trinkaus & Burkhardt7.600    6/26/2020     EUR    47.450
Societe Generale SA      9.250    10/1/2020     USD    32.300
Societe Generale Effekten7.315    3/20/2020     EUR    37.160
Landesbank Baden-Wuerttem4.000    4/24/2020     EUR    37.460
Landesbank Baden-Wuerttem3.000    4/24/2020     EUR    51.150
Landesbank Baden-Wuerttem2.500    4/24/2020     EUR    41.280
Landesbank Baden-Wuerttem2.500    4/24/2020     EUR    70.460
Landesbank Baden-Wuerttem6.500    5/22/2020     EUR    68.510
Landesbank Baden-Wuerttem6.000    4/24/2020     EUR    66.520
UBS AG/London            8.000    4/3/2020      USD    54.900
UBS AG/London            7.500    9/28/2020     EUR    68.000
Commerzbank AG           5.500    2/28/2020     EUR    72.000
Landesbank Baden-Wuerttem2.000    4/24/2020     EUR    64.640
Landesbank Baden-Wuerttem4.000    4/24/2020     EUR    56.970
Landesbank Baden-Wuerttem5.000    4/24/2020     EUR    73.640
Landesbank Baden-Wuerttem4.000    4/24/2020     EUR    63.950
UBS AG/London            4.300    6/25/2020     EUR    72.620
UBS AG/London            5.800    6/25/2020     EUR    67.690
DZ Bank AG Deutsche Zentr6.200    3/23/2020     EUR    60.350
Raiffeisen Schweiz Genoss7.400    4/1/2020      CHF    65.960
Raiffeisen Schweiz Genoss5.800    9/28/2021     CHF    55.840
Raiffeisen Schweiz Genoss7.200    9/28/2020     EUR    59.710
Deutsche Bank AG         4.200    6/23/2020     EUR    74.040
HSBC Trinkaus & Burkhardt8.800    9/25/2020     EUR    60.190
HSBC Trinkaus & Burkhardt8.000    9/25/2020     EUR    61.440
HSBC Trinkaus & Burkhardt5.000    9/25/2020     EUR    67.580
HSBC Trinkaus & Burkhardt6.000    12/28/2020    EUR    65.160
HSBC Trinkaus & Burkhardt4.200    12/28/2020    EUR    69.820
HSBC Trinkaus & Burkhardt10.200   9/25/2020     EUR    55.840
HSBC Trinkaus & Burkhardt8.100    9/25/2020     EUR    59.320
HSBC Trinkaus & Burkhardt6.100    9/25/2020     EUR    63.630
HSBC Trinkaus & Burkhardt9.500    7/24/2020     EUR    57.080
HSBC Trinkaus & Burkhardt9.000    9/25/2020     EUR    71.870
HSBC Trinkaus & Burkhardt7.800    9/25/2020     EUR    74.180
HSBC Trinkaus & Burkhardt6.700    7/24/2020     EUR    63.610
HSBC Trinkaus & Burkhardt4.400    7/24/2020     EUR    69.350
HSBC Trinkaus & Burkhardt12.600   3/27/2020     EUR    61.730
HSBC Trinkaus & Burkhardt9.800    6/26/2020     EUR    68.040
HSBC Trinkaus & Burkhardt8.500    3/27/2020     EUR    58.450
HSBC Trinkaus & Burkhardt5.800    3/27/2020     EUR    64.860
HSBC Trinkaus & Burkhardt8.400    6/26/2020     EUR    59.090
HSBC Trinkaus & Burkhardt6.100    6/26/2020     EUR    64.350
HSBC Trinkaus & Burkhardt11.300   9/25/2020     EUR    54.380
HSBC Trinkaus & Burkhardt5.600    6/26/2020     EUR    72.230
BNP Paribas Emissions- un11.000   3/26/2020     EUR    62.930
BNP Paribas Emissions- un7.500    6/25/2020     EUR    72.630
HSBC Trinkaus & Burkhardt1.750    3/27/2020     EUR    72.900
UBS AG/London            12.000   3/26/2020     EUR    29.600
HSBC Trinkaus & Burkhardt9.400    6/26/2020     EUR    67.900
HSBC Trinkaus & Burkhardt5.100    3/27/2020     EUR    56.470
HSBC Trinkaus & Burkhardt9.100    6/26/2020     EUR    61.830
HSBC Trinkaus & Burkhardt8.700    12/28/2020    EUR    65.300
HSBC Trinkaus & Burkhardt7.000    12/28/2020    EUR    63.840
HSBC Trinkaus & Burkhardt5.100    12/28/2020    EUR    73.530
HSBC Trinkaus & Burkhardt5.600    12/28/2020    EUR    47.110
HSBC Trinkaus & Burkhardt1.880    3/27/2020     EUR    68.930
DekaBank Deutsche Girozen2.750    10/23/2020    EUR    69.230
DekaBank Deutsche Girozen3.400    10/22/2021    EUR    71.420
Landesbank Baden-Wuerttem3.500    7/24/2020     EUR    58.340
Landesbank Baden-Wuerttem4.400    7/24/2020     EUR    71.830
UBS AG/London            10.000   6/12/2020     EUR    69.350
HSBC Trinkaus & Burkhardt6.700    2/28/2020     EUR    74.890
HSBC Trinkaus & Burkhardt7.300    3/27/2020     EUR    46.370
HSBC Trinkaus & Burkhardt10.600   3/27/2020     EUR    41.650
UniCredit Bank AG        5.050    1/11/2022     EUR    46.220
UniCredit Bank AG        5.750    1/11/2022     EUR    64.790
UBS AG/London            11.000   9/21/2020     CHF    69.900
UBS AG/London            11.000   9/21/2020     CHF    69.650
Vontobel Financial Produc5.500    4/15/2020     EUR    70.610
Vontobel Financial Produc4.600    4/15/2020     EUR    54.340
HSBC Trinkaus & Burkhardt5.500    2/28/2020     EUR    71.810
BNP Paribas Emissions- un10.000   3/26/2020     EUR    65.040
BNP Paribas Emissions- un12.000   3/26/2020     EUR    60.980
BNP Paribas Emissions- un15.000   6/25/2020     EUR    57.110
UBS AG/London            12.000   6/12/2020     USD    53.320
Luzerner Kantonalbank AG 6.000    4/8/2020      CHF    66.090
Luzerner Kantonalbank AG 10.000   4/8/2020      CHF    53.700
UBS AG/London            11.000   9/28/2020     EUR    73.950
HSBC Trinkaus & Burkhardt5.400    3/27/2020     EUR    66.610
HSBC Trinkaus & Burkhardt3.600    3/27/2020     EUR    72.740
HSBC Trinkaus & Burkhardt9.500    6/26/2020     EUR    75.020
HSBC Trinkaus & Burkhardt6.800    3/27/2020     EUR    75.390
HSBC Trinkaus & Burkhardt2.600    3/27/2020     EUR    59.390
HSBC Trinkaus & Burkhardt10.400   6/26/2020     EUR    43.510
Landesbank Baden-Wuerttem5.000    4/24/2020     EUR    73.870
Landesbank Baden-Wuerttem7.000    4/24/2020     EUR    67.080
Landesbank Baden-Wuerttem5.000    4/24/2020     EUR    71.970
Landesbank Baden-Wuerttem5.500    4/24/2020     EUR    60.380
Landesbank Baden-Wuerttem2.000    4/24/2020     EUR    74.390
Landesbank Baden-Wuerttem3.500    4/24/2020     EUR    67.830
Landesbank Baden-Wuerttem5.000    5/22/2020     EUR    72.930
UniCredit Bank AG        5.550    10/26/2022    EUR    72.980
Natixis SA               1.500    10/4/2021     EUR    69.125
UBS AG/London            10.000   9/28/2020     EUR    55.100
HSBC Trinkaus & Burkhardt3.200    3/27/2020     EUR    62.060
HSBC Trinkaus & Burkhardt7.700    6/26/2020     EUR    61.340
DekaBank Deutsche Girozen8.100    4/23/2021     EUR    65.820
HSBC Trinkaus & Burkhardt7.800    12/28/2020    EUR    64.520
HSBC Trinkaus & Burkhardt7.800    9/25/2020     EUR    67.110
HSBC Trinkaus & Burkhardt8.800    2/28/2020     EUR    64.220
HSBC Trinkaus & Burkhardt3.300    6/26/2020     EUR    58.710
Bank Julius Baer & Co Ltd7.000    3/23/2020     CHF    66.550
HSBC Trinkaus & Burkhardt8.000    6/26/2020     EUR    65.820
BNP Paribas Emissions- un8.000    3/26/2020     EUR    69.730
UniCredit Bank AG        4.350    10/26/2021    EUR    43.530
UBS AG/London            12.000   10/26/2020    CHF    73.450
DekaBank Deutsche Girozen3.250    11/13/2020    EUR    69.820
Landesbank Baden-Wuerttem5.000    2/28/2020     EUR    57.940
Landesbank Baden-Wuerttem7.500    2/28/2020     EUR    75.520
UniCredit Bank AG        14.000   12/29/2020    EUR    33.140
UniCredit Bank AG        12.800   12/29/2020    EUR    33.700
UniCredit Bank AG        7.800    12/29/2020    EUR    39.320
UniCredit Bank AG        9.200    12/29/2020    EUR    37.310
UBS AG/London            10.000   4/24/2020     USD    55.910
UBS AG/London            9.000    4/24/2020     EUR    55.650
DekaBank Deutsche Girozen5.150    5/21/2021     EUR    70.510
Leonteq Securities AG/Gue6.900    2/15/2021     CHF     1.070
Leonteq Securities AG    15.000   5/15/2020     CHF    24.200
Leonteq Securities AG/Gue7.800    2/16/2021     USD    31.230
Raiffeisen Switzerland BV8.250    2/15/2021     CHF    73.010
Leonteq Securities AG/Gue7.000    2/15/2021     CHF     1.070
DZ Bank AG Deutsche Zentr7.000    2/26/2020     EUR    66.350
Vontobel Financial Produc7.500    3/27/2020     EUR    68.580
Vontobel Financial Produc15.000   3/27/2020     EUR    67.660
Vontobel Financial Produc6.500    3/27/2020     EUR    74.150
Vontobel Financial Produc13.000   3/27/2020     EUR    64.360
DZ Bank AG Deutsche Zentr10.250   3/25/2020     EUR    52.590
Vontobel Financial Produc8.500    3/27/2020     EUR    56.750
Landesbank Baden-Wuerttem3.300    9/24/2021     EUR    70.870
Leonteq Securities AG/Gue6.000    8/18/2021     CHF     1.420
Leonteq Securities AG/Gue4.900    2/16/2021     CHF    28.820
Leonteq Securities AG/Gue10.000   2/8/2021      USD    63.200
Vontobel Financial Produc6.500    3/27/2020     EUR    60.260
Landesbank Baden-Wuerttem6.100    3/27/2020     EUR    53.920
Landesbank Baden-Wuerttem4.100    6/25/2021     EUR    73.990
BNP Paribas Emissions- un5.000    3/26/2020     EUR    54.560
DekaBank Deutsche Girozen2.850    3/6/2020      EUR    67.430
Landesbank Baden-Wuerttem5.000    2/28/2020     EUR    66.870
Landesbank Baden-Wuerttem7.000    2/28/2020     EUR    59.510
Landesbank Baden-Wuerttem2.000    2/28/2020     EUR    66.800
Landesbank Baden-Wuerttem3.000    2/28/2020     EUR    63.180
Landesbank Baden-Wuerttem2.500    2/28/2020     EUR    49.610
Landesbank Baden-Wuerttem4.500    2/28/2020     EUR    44.450
Landesbank Baden-Wuerttem5.500    2/28/2020     EUR    41.520
Landesbank Baden-Wuerttem3.000    2/28/2020     EUR    65.880
Landesbank Baden-Wuerttem4.500    2/28/2020     EUR    60.010
Landesbank Baden-Wuerttem6.000    2/28/2020     EUR    54.970
Landesbank Baden-Wuerttem2.500    2/28/2020     EUR    58.980
Landesbank Baden-Wuerttem3.500    2/28/2020     EUR    56.050
Landesbank Baden-Wuerttem4.500    2/28/2020     EUR    52.280
Landesbank Baden-Wuerttem3.000    2/28/2020     EUR    74.830
Landesbank Baden-Wuerttem4.000    2/28/2020     EUR    70.030
Landesbank Baden-Wuerttem5.000    2/28/2020     EUR    66.820
Landesbank Baden-Wuerttem6.000    2/28/2020     EUR    61.460
Landesbank Baden-Wuerttem3.500    2/28/2020     EUR    69.440
Landesbank Baden-Wuerttem2.000    2/28/2020     EUR    56.220
Landesbank Baden-Wuerttem3.500    2/28/2020     EUR    49.960
Landesbank Baden-Wuerttem2.500    2/28/2020     EUR    24.520
Vontobel Financial Produc8.000    3/27/2020     EUR    56.780
UBS AG/London            6.000    2/24/2020     CHF    59.000
UBS AG/London            7.500    8/24/2020     CHF    52.300
UBS AG/London            11.000   8/24/2020     CHF    69.100
Raiffeisen Schweiz Genoss7.200    2/24/2020     CHF    60.420
Leonteq Securities AG/Gue10.000   8/31/2020     EUR    68.140
Raiffeisen Schweiz Genoss7.300    3/5/2020      CHF    60.220
Raiffeisen Schweiz Genoss6.000    3/5/2020      CHF    59.890
Raiffeisen Centrobank AG 5.359    3/24/2020     EUR    68.380
Landesbank Hessen-Thuerin3.150    9/28/2020     EUR    75.600
UniCredit Bank AG        4.750    9/18/2020     EUR    55.720
Raiffeisen Centrobank AG 8.511    3/24/2020     EUR    53.460
Landesbank Baden-Wuerttem2.500    8/28/2020     EUR    75.400
Landesbank Baden-Wuerttem5.000    8/28/2020     EUR    68.540
Landesbank Baden-Wuerttem2.500    8/28/2020     EUR    73.850
Landesbank Baden-Wuerttem4.000    8/28/2020     EUR    67.980
Landesbank Baden-Wuerttem4.000    8/28/2020     EUR    66.800
Landesbank Baden-Wuerttem2.500    8/28/2020     EUR    61.610
Landesbank Baden-Wuerttem3.500    8/28/2020     EUR    56.820
Landesbank Baden-Wuerttem4.500    8/28/2020     EUR    55.020
Landesbank Hessen-Thuerin3.500    9/28/2022     EUR    60.500
Raiffeisen Centrobank AG 9.755    3/24/2020     EUR    60.610
Credit Suisse AG/London  5.000    6/23/2020     EUR    47.740
Raiffeisen Centrobank AG 6.620    3/24/2020     EUR    52.410
Raiffeisen Centrobank AG 6.935    3/24/2020     EUR    67.800
Landesbank Baden-Wuerttem4.000    8/28/2020     EUR    68.370
Landesbank Baden-Wuerttem7.000    8/28/2020     EUR    60.260
Landesbank Baden-Wuerttem2.500    8/28/2020     EUR    60.000
Landesbank Baden-Wuerttem4.000    8/28/2020     EUR    54.000
Landesbank Baden-Wuerttem3.000    8/28/2020     EUR    40.040
Landesbank Baden-Wuerttem5.000    8/28/2020     EUR    35.120
Landesbank Baden-Wuerttem2.500    8/28/2020     EUR    72.610
Landesbank Baden-Wuerttem4.500    8/28/2020     EUR    75.450
Landesbank Baden-Wuerttem6.000    8/28/2020     EUR    74.080
Landesbank Baden-Wuerttem3.000    8/28/2020     EUR    75.060
Vontobel Financial Produc9.500    6/26/2020     EUR    48.730
Vontobel Financial Produc17.000   3/27/2020     EUR    54.380
Plaza Centers NV         6.000    7/1/2020      ILS    20.850
DekaBank Deutsche Girozen2.100    10/9/2020     EUR    73.540
Leonteq Securities AG/Gue7.000    7/14/2020     CHF    69.630
Landesbank Hessen-Thuerin6.000    10/6/2022     EUR    69.410
DekaBank Deutsche Girozen2.900    10/9/2020     EUR    40.710
Commerzbank AG           1.580    9/16/2024     USD     5.110
DekaBank Deutsche Girozen2.000    10/9/2020     EUR    68.050
EFG International Finance5.500    9/21/2020     USD    59.770
Raiffeisen Schweiz Genoss7.410    7/13/2020     CHF    68.860
DekaBank Deutsche Girozen2.200    10/9/2020     EUR    71.670
DekaBank Deutsche Girozen2.400    10/9/2020     EUR    69.520
DekaBank Deutsche Girozen7.700    3/26/2021     EUR    62.180
UBS AG/London            6.250    3/2/2020      CHF    58.600
UBS AG/London            10.000   8/31/2020     CHF    68.650
UBS AG/London            10.500   8/31/2020     EUR    60.050
UBS AG/London            10.000   3/2/2020      EUR    47.200
Raiffeisen Schweiz Genoss7.100    3/10/2020     CHF    62.740
Landesbank Baden-Wuerttem2.500    8/28/2020     EUR    59.780
Landesbank Baden-Wuerttem4.000    8/28/2020     EUR    53.520
Landesbank Baden-Wuerttem5.000    8/28/2020     EUR    68.060
Landesbank Hessen-Thuerin4.650    9/28/2023     EUR    63.880
Raiffeisen Centrobank AG 7.757    6/23/2020     EUR    74.890
Raiffeisen Schweiz Genoss7.200    3/10/2020     CHF    62.760
Landesbank Hessen-Thuerin5.200    1/8/2024      EUR    67.530
DekaBank Deutsche Girozen2.200    4/20/2020     EUR    65.400
UniCredit Bank AG        3.800    8/30/2023     EUR    68.110
Landesbank Hessen-Thuerin5.000    9/21/2023     EUR    74.950
Raiffeisen Schweiz Genoss3.000    9/22/2020     CHF     5.720
Leonteq Securities AG    3.600    9/22/2026     CHF    60.530
Raiffeisen Schweiz Genoss3.000    9/21/2029     CHF    68.420
Raiffeisen Schweiz Genoss2.700    9/22/2026     CHF    55.020
Leonteq Securities AG    3.900    12/20/2024    CHF    54.600
Raiffeisen Schweiz Genoss3.200    12/18/2026    CHF    63.100
Raiffeisen Schweiz Genoss10.000   12/31/2024    CHF    73.630
Landesbank Hessen-Thuerin5.000    6/26/2020     EUR    64.900
UniCredit Bank AG        3.750    10/2/2020     EUR    38.860
Landesbank Hessen-Thuerin8.000    4/7/2020      EUR    61.600
Raiffeisen Schweiz Genoss3.400    3/21/2025     CHF    54.370
Credit Suisse AG/London  11.000   3/27/2020     USD    60.850
Credit Suisse AG/London  6.100    3/30/2020     USD    42.750
Landesbank Hessen-Thuerin6.400    8/18/2020     EUR    47.110
Landesbank Hessen-Thuerin9.500    5/15/2020     EUR    26.850
Landesbank Hessen-Thuerin8.400    5/8/2020      EUR    28.500
BNP Paribas Issuance BV  5.650    6/19/2020     EUR    70.710
Leonteq Securities AG    2.750    3/20/2020     CHF    63.090
Credit Suisse AG/London  7.000    4/24/2020     USD    50.150
UniCredit Bank AG        3.600    6/18/2020     EUR    54.900
Landesbank Baden-Wuerttem3.000    6/26/2020     EUR    73.650
Landesbank Hessen-Thuerin6.400    9/4/2020      EUR    73.660
Landesbank Hessen-Thuerin7.400    6/12/2020     EUR    66.950
DZ Bank AG Deutsche Zentr6.750    6/24/2020     EUR    63.830
DZ Bank AG Deutsche Zentr7.200    9/21/2020     EUR    64.600
DZ Bank AG Deutsche Zentr8.300    9/21/2020     EUR    63.420
DZ Bank AG Deutsche Zentr4.750    9/21/2020     EUR    70.010
Vontobel Financial Produc15.000   6/26/2020     EUR    68.950
Sberbank of Russia PJSC  0.010    3/13/2020     RUB    60.100
Commerzbank AG           12.500   7/24/2020     EUR    73.660
Commerzbank AG           8.250    7/24/2020     EUR    67.130
Commerzbank AG           10.250   7/24/2020     EUR    64.600
Commerzbank AG           12.250   7/24/2020     EUR    62.530
Vontobel Financial Produc20.000   9/25/2020     EUR    72.600
DZ Bank AG Deutsche Zentr4.750    9/21/2020     EUR    62.970
DZ Bank AG Deutsche Zentr5.500    9/21/2020     EUR    68.640
DZ Bank AG Deutsche Zentr6.500    9/21/2020     EUR    67.240
Landesbank Baden-Wuerttem4.750    1/22/2021     EUR    70.500
Landesbank Baden-Wuerttem6.500    1/22/2021     EUR    67.990
Raiffeisen Switzerland BV5.000    8/14/2020     EUR    55.180
UBS AG/London            10.500   2/28/2020     CHF    37.400
UBS AG/London            9.500    2/28/2020     EUR    47.550
UBS AG/London            10.000   2/28/2020     EUR    48.200
UBS AG/London            7.500    2/28/2020     EUR    71.100
Raiffeisen Schweiz Genoss5.750    9/9/2020      CHF    43.470
DekaBank Deutsche Girozen3.100    3/27/2020     EUR    60.890
Leonteq Securities AG/Gue8.200    3/2/2020      CHF    20.180
UniCredit Bank AG        4.050    3/26/2021     EUR    41.820
UniCredit Bank AG        4.400    3/26/2021     EUR    71.490
UniCredit Bank AG        4.250    3/29/2021     EUR    63.660
UBS AG/London            11.250   3/9/2020      EUR    54.700
Zurcher Kantonalbank Fina6.600    6/19/2020     CHF    71.040
Commerzbank AG           2.450    3/9/2020      EUR    56.580
DekaBank Deutsche Girozen4.250    4/14/2022     EUR    66.730
Landesbank Baden-Wuerttem6.000    12/29/2020    EUR    71.100
Landesbank Baden-Wuerttem5.000    12/29/2020    EUR    49.020
Leonteq Securities AG/Gue2.990    8/7/2020      USD    71.900
Vontobel Financial Produc9.000    3/13/2020     EUR    60.190
Vontobel Financial Produc5.000    3/13/2020     EUR    69.090
Vontobel Financial Produc13.500   3/13/2020     EUR    53.480
Vontobel Financial Produc11.000   3/13/2020     EUR    56.600
Vontobel Financial Produc7.000    3/13/2020     EUR    64.310
Societe Generale Effekten9.855    3/20/2020     EUR    71.090
Vontobel Financial Produc12.500   3/27/2020     EUR    69.300
Vontobel Financial Produc14.500   3/27/2020     EUR    51.190
Vontobel Financial Produc10.000   3/27/2020     EUR    56.910
Vontobel Financial Produc6.500    3/27/2020     EUR    64.520
Vontobel Financial Produc12.500   3/27/2020     EUR    53.890
Vontobel Financial Produc8.500    3/27/2020     EUR    60.480
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 & Burkhardt7.700    2/28/2020     EUR    69.110
HSBC Trinkaus & Burkhardt12.500   3/27/2020     EUR    40.410
HSBC Trinkaus & Burkhardt6.900    3/27/2020     EUR    48.080
HSBC Trinkaus & Burkhardt7.400    6/26/2020     EUR    70.300
HSBC Trinkaus & Burkhardt11.100   3/27/2020     EUR    69.760
HSBC Trinkaus & Burkhardt9.300    3/27/2020     EUR    73.610
Commerzbank AG           6.250    7/24/2020     EUR    70.580
Leonteq Securities AG/Gue6.600    8/18/2020     CHF    69.520
Vonetize Plc             6.000    8/1/2022      ILS    65.700
DekaBank Deutsche Girozen2.700    9/18/2020     EUR    68.160
Leonteq Securities AG/Gue8.200    9/1/2020      CHF    73.120
Leonteq Securities AG/Gue6.000    8/18/2020     CHF    74.580
Credit Suisse AG/London  13.100   7/31/2020     USD    73.500
DZ Bank AG Deutsche Zentr17.000   6/26/2020     EUR    58.710
DZ Bank AG Deutsche Zentr11.500   9/25/2020     EUR    63.930
DekaBank Deutsche Girozen2.000    9/18/2020     EUR    55.900
Leonteq Securities AG/Gue5.000    8/25/2020     CHF    74.530
UniCredit Bank AG        3.800    9/19/2021     EUR    65.230
UniCredit Bank AG        3.850    9/19/2021     EUR    48.750
UniCredit Bank AG        3.500    9/19/2021     EUR    50.900
DekaBank Deutsche 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
UniCredit Bank AG        8.100    12/29/2020    EUR    72.360
UniCredit Bank AG        11.500   12/29/2020    EUR    73.290
UniCredit Bank AG        9.200    12/29/2020    EUR    56.000
UniCredit Bank AG        6.600    12/29/2020    EUR    66.180
UniCredit Bank AG        6.600    12/29/2020    EUR    50.870
UniCredit Bank AG        8.300    12/29/2020    EUR    47.690
UniCredit Bank AG        7.000    12/29/2020    EUR    44.090
UniCredit Bank AG        8.400    12/29/2020    EUR    44.680
UniCredit Bank AG        9.200    12/29/2020    EUR    43.160
UniCredit Bank AG        6.400    12/29/2020    EUR    61.600
UniCredit Bank AG        8.300    12/29/2020    EUR    63.450
UniCredit Bank AG        10.600   12/29/2020    EUR    73.290
UniCredit Bank AG        10.800   12/29/2020    EUR    66.150
UniCredit Bank AG        8.000    12/29/2020    EUR    62.960
Raiffeisen Centrobank AG 7.200    6/19/2020     EUR    69.630
Banque Cantonale Vaudoise2.750    5/25/2020     CHF    70.580
UBS AG/London            21.500   9/24/2020     EUR    71.720
EFG International Finance7.200    10/5/2020     USD    61.510
DekaBank Deutsche Girozen2.250    10/16/2020    EUR    73.520
DekaBank Deutsche Girozen3.000    6/18/2020     EUR    74.720
EFG International Finance7.200    7/29/2020     EUR    10.880
Leonteq Securities AG/Gue6.000    4/2/2020      CHF    70.990
UniCredit Bank AG        4.300    10/18/2021    EUR    71.990
Landesbank Hessen-Thuerin5.700    10/27/2022    EUR    48.630
Landesbank Baden-Wuerttem2.850    10/23/2020    EUR    73.150
Landesbank Baden-Wuerttem3.000    10/23/2020    EUR    73.520
Landesbank Baden-Wuerttem3.500    10/23/2020    EUR    67.050
DekaBank Deutsche Girozen4.150    4/30/2020     EUR    60.450
DekaBank Deutsche Girozen2.250    11/8/2022     EUR    68.540
UniCredit Bank AG        3.120    9/25/2020     EUR    42.800
UniCredit Bank AG        3.800    10/24/2021    EUR    59.570
UBS AG/London            7.000    3/27/2020     CHF    74.250
EFG International Finance7.000    10/12/2020    EUR    64.930
UniCredit Bank AG        3.900    10/24/2021    EUR    65.170
Leonteq Securities AG/Gue8.100    4/6/2020      CHF    61.830
Landesbank Hessen-Thuerin3.350    8/6/2021      EUR    62.900
Landesbank Hessen-Thuerin3.000    8/6/2021      EUR    56.100
Landesbank Baden-Wuerttem2.750    9/23/2022     EUR    74.130
DekaBank Deutsche Girozen3.000    5/20/2020     EUR    62.590
Landesbank Hessen-Thuerin8.900    10/6/2020     EUR    23.500
Credit Suisse AG/London  8.000    6/11/2020     USD     5.138
UniCredit Bank AG        3.800    7/23/2020     EUR    56.300
UniCredit Bank AG        4.350    7/21/2020     EUR    71.870
SG Issuer SA             6.420    9/25/2020     CHF    69.550
Landesbank Hessen-Thuerin3.500    10/27/2021    EUR    70.070
DekaBank Deutsche Girozen2.000    10/16/2020    EUR    49.930
Leonteq Securities AG/Gue7.000    9/29/2020     CHF    73.900
Leonteq Securities AG/Gue8.000    9/29/2020     EUR    68.880
HSBC Trinkaus & Burkhardt3.000    12/29/2020    EUR    72.840
EFG International Finance6.600    9/28/2020     EUR    75.400
Landesbank Hessen-Thuerin7.000    10/20/2022    EUR    73.930
Commerzbank AG           16.500   6/26/2020     EUR    70.300
Vontobel Financial Produc14.500   12/28/2020    EUR    72.340
Vontobel Financial Produc12.000   12/28/2020    EUR    74.190
UniCredit Bank AG        6.100    12/29/2020    EUR    52.330
UniCredit Bank AG        7.900    12/29/2020    EUR    65.150
UniCredit Bank AG        7.200    12/29/2020    EUR    66.620
UniCredit Bank AG        7.300    12/29/2020    EUR    55.950
UniCredit Bank AG        7.100    12/29/2020    EUR    75.540
UniCredit Bank AG        7.300    12/29/2020    EUR    74.820
UniCredit Bank AG        9.500    12/29/2020    EUR    59.480
UniCredit Bank AG        11.000   12/29/2020    EUR    74.590
UniCredit Bank AG        8.400    12/29/2020    EUR    56.960
UniCredit Bank AG        8.100    12/29/2020    EUR    58.030
UniCredit Bank AG        9.300    12/29/2020    EUR    39.470
UniCredit Bank AG        8.400    12/29/2020    EUR    25.270
UniCredit Bank AG        10.500   12/29/2020    EUR    41.590
UniCredit Bank AG        10.200   12/29/2020    EUR    72.560
UniCredit Bank AG        8.000    12/29/2020    EUR    42.850
UniCredit Bank AG        8.500    12/29/2020    EUR    52.160
UniCredit Bank AG        7.500    12/29/2020    EUR    65.280
UniCredit Bank AG        12.000   12/29/2020    EUR    28.810
UniCredit Bank AG        13.900   12/29/2020    EUR    27.420
UniCredit Bank AG        8.700    12/29/2020    EUR    40.140
UniCredit Bank AG        9.200    12/29/2020    EUR    51.070
UniCredit Bank AG        8.900    12/29/2020    EUR    56.540
UniCredit Bank AG        4.000    6/11/2020     EUR    65.970
UBS AG/London            9.500    11/16/2020    USD    51.500
Landesbank Hessen-Thuerin5.350    9/22/2023     EUR    64.670
DekaBank Deutsche Girozen2.800    6/19/2020     EUR    48.880
EFG International Finance5.550    7/12/2021     USD    63.500
Raiffeisen Schweiz Genoss5.200    12/1/2020     CHF    50.630
UBS AG/London            12.200   9/24/2020     EUR    65.940
UBS AG/London            25.000   9/24/2020     EUR    61.860
UBS AG/London            23.000   6/25/2020     EUR    60.230
Leonteq Securities AG/Gue6.000    6/8/2020      CHF    68.570
Vontobel Financial Produc17.500   9/25/2020     EUR    72.450
DekaBank Deutsche Girozen2.750    6/26/2020     EUR    68.120
DZ Bank AG Deutsche Zentr8.250    3/25/2020     EUR    66.610
Raiffeisen Switzerland BV11.250   11/25/2020    CHF    38.050
UBS AG/London            17.700   9/24/2020     EUR    73.300
Commerzbank AG           14.500   3/27/2020     EUR    69.260
Vontobel Financial Produc6.500    9/25/2020     EUR    67.970
Vontobel Financial Produc7.000    12/28/2020    EUR    67.900
Vontobel Financial Produc15.500   12/28/2020    EUR    74.770
Leonteq Securities AG/Gue6.000    6/23/2020     CHF    64.700
Landesbank Baden-Wuerttem4.000    7/24/2020     EUR    74.510
Getin Noble Bank SA      5.790    6/28/2024     PLN    74.000
HSBC Trinkaus & Burkhardt5.000    12/29/2020    EUR    65.200
DZ Bank AG Deutsche Zentr15.250   5/20/2020     EUR    66.010
Corner Banca SA          8.600    6/16/2020     CHF    69.110
Landesbank Baden-Wuerttem3.100    7/24/2020     EUR    72.230
Societe Generale SA      8.000    5/28/2027     USD    39.500
DekaBank Deutsche Girozen3.000    6/21/2021     EUR    33.760
Corner Banca SA          7.600    6/16/2020     CHF    67.040
Landesbank Hessen-Thuerin4.000    1/13/2021     EUR    69.100
Vontobel Financial Produc13.000   9/25/2020     EUR    68.585
UBS AG/London            18.100   9/24/2020     EUR    62.930
UBS AG/London            9.400    9/24/2020     EUR    68.140
DZ Bank AG Deutsche Zentr7.000    9/23/2020     EUR    72.510
UBS AG/London            6.800    9/24/2020     EUR    70.930
UBS AG/London            15.000   9/24/2020     EUR    64.160
UBS AG/London            13.500   9/11/2020     USD    72.380
SG Issuer SA             0.800    11/30/2020    SEK    11.710
Vontobel Financial Produc7.000    9/25/2020     EUR    70.870
Vontobel Financial Produc5.000    9/25/2020     EUR    74.520
Vontobel Financial Produc6.000    9/25/2020     EUR    72.740
Vontobel Financial Produc5.500    3/27/2020     EUR    64.410
Vontobel Financial Produc8.500    3/27/2020     EUR    72.790
Vontobel Financial Produc10.000   3/27/2020     EUR    68.780
Deutsche Bank AG         4.200    9/22/2020     EUR    74.800
DekaBank Deutsche Girozen2.050    12/11/2020    EUR    59.380
DekaBank Deutsche Girozen4.250    8/21/2020     EUR    60.630
Landesbank Baden-Wuerttem2.600    11/27/2020    EUR    49.370
Bank Julius Baer & Co Ltd6.300    10/23/2020    EUR    72.500
UBS AG/London            8.500    10/23/2020    EUR    73.000
Landesbank Hessen-Thuerin5.450    11/17/2022    EUR    59.580
Landesbank Hessen-Thuerin8.600    11/17/2022    EUR    58.060
Landesbank Baden-Wuerttem3.000    12/29/2020    EUR    66.260
Landesbank Baden-Wuerttem3.000    12/29/2020    EUR    74.770
Landesbank Baden-Wuerttem3.600    12/29/2020    EUR    62.370
DekaBank Deutsche Girozen2.300    11/13/2020    EUR    67.440
UBS AG/London            9.500    4/20/2020     CHF    75.800
EFG International Finance7.200    11/2/2020     EUR    60.280
Landesbank Hessen-Thuerin4.000    11/24/2021    EUR    54.820
Landesbank Baden-Wuerttem2.800    7/24/2020     EUR    75.530
UniCredit Bank AG        3.700    5/28/2021     EUR    70.200
Landesbank Hessen-Thuerin2.200    11/24/2020    EUR    54.610
Landesbank Hessen-Thuerin6.450    2/24/2023     EUR    51.370
Leonteq Securities AG/Gue6.400    11/3/2021     CHF    74.260
Leonteq Securities AG/Gue6.400    11/3/2020     EUR    53.200
DZ Bank AG Deutsche Zentr7.300    3/23/2020     EUR    61.110
Credit Suisse AG/London  8.500    2/26/2020     CHF    72.570
Societe Generale Effekten9.508    6/19/2020     EUR    69.790
BNP Paribas Emissions- un7.500    6/25/2020     EUR    73.050
BNP Paribas Emissions- un9.500    6/25/2020     EUR    73.740
BNP Paribas Emissions- un5.000    9/24/2020     EUR    73.110
BNP Paribas Emissions- un6.500    9/24/2020     EUR    72.460
BNP Paribas Emissions- un9.000    9/24/2020     EUR    70.490
BNP Paribas Emissions- un6.000    6/25/2020     EUR    71.400
BNP Paribas Emissions- un7.500    6/25/2020     EUR    70.820
BNP Paribas Emissions- un15.000   6/25/2020     EUR    70.250
BNP Paribas Emissions- un14.000   6/25/2020     EUR    68.900
BNP Paribas Emissions- un21.000   6/25/2020     EUR    67.560
BNP Paribas Emissions- un12.000   9/24/2020     EUR    69.940
BNP Paribas Emissions- un14.000   9/24/2020     EUR    68.910
BNP Paribas Emissions- un17.000   9/24/2020     EUR    69.420
BNP Paribas Emissions- un19.000   9/24/2020     EUR    68.970
Raiffeisen Schweiz Genoss9.000    10/12/2020    CHF    59.230
EFG International Finance7.200    10/26/2020    EUR    61.740
Landesbank Hessen-Thuerin4.000    8/26/2020     EUR    55.800
Landesbank Hessen-Thuerin5.700    6/2/2023      EUR    73.860
UBS AG/London            6.500    7/31/2020     CHF    64.400
UBS AG/London            7.500    7/31/2020     EUR    50.300
Raiffeisen Centrobank AG 5.450    3/3/2020      EUR    67.400
Bank Julius Baer & Co Ltd7.700    10/26/2020    EUR    66.300
SG Issuer SA             5.000    7/10/2020     EUR
SG Issuer SA             5.000    7/10/2021     EUR
Raiffeisen Schweiz Genoss6.000    5/25/2020     EUR    69.210
Raiffeisen Schweiz Genoss7.500    5/25/2020     CHF    22.140
UBS AG/London            10.000   5/18/2020     CHF    48.100
DekaBank Deutsche Girozen2.660    2/28/2020     EUR    67.210
DekaBank Deutsche Girozen2.800    6/18/2021     EUR    72.750
EFG International Finance7.000    6/8/2021      EUR    72.900
Leonteq Securities AG    7.400    11/25/2020    CHF    47.510
Raiffeisen Centrobank AG 5.500    6/30/2020     EUR    71.980
UBS AG/London            7.000    6/2/2020      CHF    51.950
UniCredit Bank AG        3.850    6/28/2022     EUR    57.410
Credit Suisse AG/Nassau  7.250    6/8/2020      EUR    70.660
UniCredit Bank AG        3.800    6/28/2022     EUR    59.240
Natixis SA               3.150    6/9/2021      USD    46.104
Landesbank Baden-Wuerttem5.000    2/28/2020     EUR    54.860
Landesbank Baden-Wuerttem5.300    2/28/2020     EUR    50.970
Landesbank Hessen-Thuerin3.500    7/6/2022      EUR    70.780
Raiffeisen Schweiz Genoss4.800    12/8/2020     CHF    50.320
Leonteq Securities AG    5.200    6/11/2020     CHF    52.880
BNP Paribas Issuance BV  6.400    6/1/2020      EUR    58.500
DekaBank Deutsche Girozen3.000    6/26/2020     EUR    68.410
DekaBank Deutsche Girozen2.000    6/25/2021     EUR    53.540
Vontobel Financial Produc12.000   3/27/2020     EUR    65.580
Vontobel Financial Produc11.000   3/27/2020     EUR    73.170
DZ Bank AG Deutsche Zentr5.500    3/25/2020     EUR    65.730
Bank Julius Baer & Co Ltd9.450    5/11/2020     USD    62.400
Vontobel Financial Produc13.500   6/26/2020     EUR    56.360
Vontobel Financial Produc8.000    3/27/2020     EUR    60.350
Vontobel Financial Produc9.500    3/27/2020     EUR    58.720
Vontobel Financial Produc13.000   3/27/2020     EUR    55.540
Vontobel Financial Produc6.000    6/26/2020     EUR    64.630
Vontobel Financial Produc9.500    6/26/2020     EUR    59.970
Vontobel Financial Produc10.500   6/26/2020     EUR    58.500
Vontobel Financial Produc12.000   6/26/2020     EUR    57.320
Vontobel Financial Produc12.500   6/26/2020     EUR    74.290
Vontobel Financial Produc10.000   6/26/2020     EUR    73.450
Vontobel Financial Produc5.000    3/27/2020     EUR    76.520
Vontobel Financial Produc8.000    3/27/2020     EUR    71.950
Vontobel Financial Produc9.500    3/27/2020     EUR    69.890
UniCredit Bank AG        4.000    12/7/2020     EUR    74.420
Landesbank Baden-Wuerttem6.000    8/27/2021     EUR    64.480
Vontobel Financial Produc10.000   6/12/2020     EUR    57.940
Vontobel Financial Produc6.500    3/27/2020     EUR    62.240
Vontobel Financial Produc11.500   3/27/2020     EUR    57.070
Vontobel Financial Produc8.000    6/26/2020     EUR    61.240
Vontobel Financial Produc7.000    6/26/2020     EUR    62.870
Vontobel Financial Produc17.000   6/26/2020     EUR    70.580
Vontobel Financial Produc10.500   6/26/2020     EUR    68.050
Vontobel Financial Produc17.000   3/27/2020     EUR    65.950
DZ Bank AG Deutsche Zentr6.900    3/23/2020     EUR    56.660
DZ Bank AG Deutsche Zentr11.000   6/22/2020     EUR    51.090
UniCredit Bank AG        6.200    6/26/2020     EUR    65.820
UniCredit Bank AG        12.300   6/26/2020     EUR    59.740
UniCredit Bank AG        13.500   6/26/2020     EUR    69.570
UniCredit Bank AG        11.800   6/26/2020     EUR    72.090
UniCredit Bank AG        10.700   6/26/2020     EUR    68.660
Leonteq Securities AG    9.000    3/27/2020     USD    46.960
Societe Generale Effekten22.434   3/20/2020     EUR    74.310
Societe Generale Effekten26.833   3/20/2020     EUR    70.390
Societe Generale Effekten21.995   3/20/2020     EUR    65.890
Societe Generale Effekten22.874   3/20/2020     EUR    65.000
Societe Generale Effekten19.135   3/20/2020     EUR    71.430
Societe Generale Effekten25.514   3/20/2020     EUR    69.430
Societe Generale Effekten15.836   3/20/2020     EUR    67.910
Societe Generale Effekten18.342   6/19/2020     EUR    70.060
Societe Generale Effekten12.977   3/20/2020     EUR    71.790
Societe Generale Effekten14.077   3/20/2020     EUR    65.960
Societe Generale Effekten8.958    9/18/2020     EUR    71.970
Societe Generale Effekten7.337    6/19/2020     EUR    58.190
Societe Generale Effekten27.053   3/20/2020     EUR    73.450
Bank Julius Baer & Co Ltd5.600    5/5/2020      EUR    73.900
Vontobel Financial Produc8.000    6/12/2020     EUR    71.980
Vontobel Financial Produc13.500   6/12/2020     EUR    65.090
Vontobel Financial Produc13.000   6/12/2020     EUR    74.640
Vontobel Financial Produc7.750    3/27/2020     EUR    69.850
Commerzbank AG           8.750    3/27/2020     EUR    58.790
Commerzbank AG           12.750   3/27/2020     EUR    53.410
Zurcher Kantonalbank Fina1.003    4/9/2020      CHF    66.480
Vontobel Financial Produc17.500   6/26/2020     EUR    69.500
Bank Julius Baer & Co Ltd11.250   8/6/2020      EUR    60.250
Landesbank Baden-Wuerttem3.250    8/27/2021     EUR    71.080
Landesbank Baden-Wuerttem4.000    8/27/2021     EUR    68.340
Landesbank Baden-Wuerttem5.000    8/27/2021     EUR    66.270
Vontobel Financial Produc13.000   6/12/2020     EUR    55.670
Vontobel Financial Produc7.500    6/12/2020     EUR    60.710
Societe Generale Effekten28.219   6/19/2020     EUR    73.160
Societe Generale Effekten16.649   6/19/2020     EUR    74.150
Societe Generale Effekten22.874   3/20/2020     EUR    42.110
Commerzbank AG           3.000    3/27/2020     EUR    73.490
Vontobel Financial Produc10.500   6/12/2020     EUR    66.070
Vontobel Financial Produc11.500   6/12/2020     EUR    67.090
DZ Bank AG Deutsche Zentr8.500    12/23/2020    EUR    73.010
Vontobel Financial Produc8.500    12/28/2020    EUR    71.650
UniCredit Bank AG        4.200    2/19/2022     EUR    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
Societe Generale Effekten12.671   4/24/2020     EUR    71.460
Landesbank Baden-Wuerttem5.500    6/25/2021     EUR    76.030
Landesbank Baden-Wuerttem3.000    6/25/2021     EUR    65.460
Landesbank Baden-Wuerttem5.000    6/25/2021     EUR    61.360
Landesbank Baden-Wuerttem6.500    6/25/2021     EUR    59.830
Landesbank Baden-Wuerttem2.000    6/25/2021     EUR    73.110
DekaBank Deutsche Girozen5.500    12/3/2021     EUR    65.410
Vontobel Financial Produc16.000   6/26/2020     EUR    74.570
Societe Generale Effekten20.895   3/20/2020     EUR    66.800
Societe Generale Effekten22.214   3/20/2020     EUR    70.780
Societe Generale Effekten25.074   3/20/2020     EUR    67.760
Societe Generale Effekten11.217   3/20/2020     EUR    73.940
Societe Generale Effekten7.619    6/19/2020     EUR    71.260
Societe Generale Effekten17.156   3/20/2020     EUR    45.260
Societe Generale Effekten11.570   6/19/2020     EUR    53.320
Societe Generale Effekten19.471   6/19/2020     EUR    48.770
DZ Bank AG Deutsche Zentr4.250    12/21/2020    EUR    68.000
DZ Bank AG Deutsche Zentr7.100    9/21/2020     EUR    72.220
DZ Bank AG Deutsche Zentr6.900    12/21/2020    EUR    73.330
Vontobel Financial Produc10.000   9/25/2020     EUR    68.310
Vontobel Financial Produc11.000   9/25/2020     EUR    66.740
Vontobel Financial Produc12.500   9/25/2020     EUR    65.730
Vontobel Financial Produc9.500    6/26/2020     EUR    68.130
Landesbank Hessen-Thuerin4.000    11/10/2021    EUR    63.520
DekaBank Deutsche Girozen2.000    11/2/2020     EUR    71.180
EFG International Finance7.200    10/26/2020    USD    63.650
DekaBank Deutsche Girozen3.000    6/26/2020     EUR    71.750
UniCredit Bank AG        4.250    11/21/2021    EUR    64.770
UniCredit Bank AG        4.200    11/21/2021    EUR    60.130
UniCredit Bank AG        4.350    11/21/2021    EUR    72.970
SG Issuer SA             0.820    8/2/2021      SEK    13.850
BNP Paribas Emissions- un5.000    6/25/2020     EUR    73.920
BNP Paribas Emissions- un6.000    6/25/2020     EUR    74.260
BNP Paribas Emissions- un8.000    6/25/2020     EUR    74.950
BNP Paribas Emissions- un7.500    9/24/2020     EUR    71.050
BNP Paribas Emissions- un9.000    6/25/2020     EUR    69.730
BNP Paribas Emissions- un11.000   6/25/2020     EUR    68.870
BNP Paribas Emissions- un15.000   6/25/2020     EUR    68.270
BNP Paribas Emissions- un18.000   6/25/2020     EUR    67.890
BNP Paribas Emissions- un17.000   6/25/2020     EUR    66.180
BNP Paribas Emissions- un20.000   6/25/2020     EUR    66.330
BNP Paribas Emissions- un4.000    9/24/2020     EUR    75.160
BNP Paribas Emissions- un16.000   9/24/2020     EUR    68.000
BNP Paribas Emissions- un18.000   9/24/2020     EUR    69.190
Leonteq Securities AG/Gue7.000    4/16/2020     CHF    56.880
Landesbank Baden-Wuerttem2.750    10/23/2020    EUR    73.920
Landesbank Baden-Wuerttem2.400    2/25/2022     EUR    75.470
UniCredit Bank AG        3.250    2/27/2022     EUR    62.790
Leonteq Securities AG/Gue8.000    8/5/2020      CHF    65.140
BNP Paribas Emissions- un7.000    9/24/2020     EUR    74.300
BNP Paribas Emissions- un8.500    9/24/2020     EUR    73.650
BNP Paribas Emissions- un8.000    6/25/2020     EUR    72.090
BNP Paribas Emissions- un9.500    6/25/2020     EUR    71.510
BNP Paribas Emissions- un12.000   6/25/2020     EUR    68.210
BNP Paribas Emissions- un16.000   6/25/2020     EUR    67.200
BNP Paribas Emissions- un22.000   6/25/2020     EUR    67.020
BNP Paribas Emissions- un23.000   6/25/2020     EUR    66.510
BNP Paribas Emissions- un4.500    9/24/2020     EUR    74.390
BNP Paribas Emissions- un11.000   9/24/2020     EUR    70.260
Societe Generale Effekten8.065    12/18/2020    EUR    73.590
Societe Generale Effekten10.646   12/18/2020    EUR    70.660
Societe Generale Effekten13.872   12/18/2020    EUR    68.650
Societe Generale Effekten17.098   12/18/2020    EUR    67.120
Societe Generale Effekten20.324   12/18/2020    EUR    65.980
Societe Generale Effekten26.776   12/18/2020    EUR    64.720
DekaBank Deutsche Girozen2.000    2/12/2021     EUR    72.310
DekaBank Deutsche Girozen2.800    2/12/2021     EUR    67.280
Leonteq Securities AG/Gue8.000    7/29/2020     EUR    59.000
Landesbank Baden-Wuerttem2.650    1/27/2023     EUR    69.210
UBS AG/London            10.000   2/20/2020     CHF    71.200
Societe Generale Effekten12.913   3/20/2020     EUR    72.230
Societe Generale Effekten14.273   3/20/2020     EUR    71.060
Societe Generale Effekten15.649   6/19/2020     EUR    74.590
BNP Paribas Emissions- un4.000    6/25/2020     EUR    73.570
BNP Paribas Emissions- un5.500    6/25/2020     EUR    72.360
BNP Paribas Emissions- un7.000    9/24/2020     EUR    71.750
BNP Paribas Emissions- un9.000    9/24/2020     EUR    72.940
BNP Paribas Emissions- un9.500    9/24/2020     EUR    72.240
BNP Paribas Emissions- un10.000   6/25/2020     EUR    72.780
BNP Paribas Emissions- un10.000   6/25/2020     EUR    70.080
BNP Paribas Emissions- un19.000   6/25/2020     EUR    66.870
BNP Paribas Emissions- un21.000   6/25/2020     EUR    65.820
BNP Paribas Emissions- un10.000   9/24/2020     EUR    71.080
BNP Paribas Emissions- un13.000   9/24/2020     EUR    69.630
BNP Paribas Emissions- un15.000   9/24/2020     EUR    68.230
BNP Paribas Emissions- un17.000   9/24/2020     EUR    67.780
BNP Paribas Emissions- un16.000   6/25/2020     EUR    73.110
Raiffeisen Centrobank AG 10.481   12/23/2020    EUR    74.340
UBS AG/London            10.000   8/20/2020     EUR    69.400
Zurcher Kantonalbank Fina12.250   2/27/2020     USD    60.970
BNP Paribas Emissions- un5.500    3/26/2020     EUR    66.970
BNP Paribas Emissions- un11.000   9/24/2020     EUR    70.360
Raiffeisen Centrobank AG 14.127   12/23/2020    EUR    74.330
BNP Paribas Emissions- un14.000   3/26/2020     EUR    65.090
BNP Paribas Emissions- un12.000   3/26/2020     EUR    69.740
BNP Paribas Emissions- un7.000    3/26/2020     EUR    69.720
BNP Paribas Emissions- un6.500    9/24/2020     EUR    72.900
Landesbank Baden-Wuerttem3.200    7/24/2020     EUR    68.670
Landesbank Baden-Wuerttem4.800    10/22/2021    EUR    73.800
Vontobel Financial Produc15.000   6/26/2020     EUR    63.670
Vontobel Financial Produc14.000   3/27/2020     EUR    68.140
Vontobel Financial Produc10.500   3/27/2020     EUR    68.930
Vontobel Financial Produc17.000   6/12/2020     EUR    75.440
Vontobel Financial Produc10.000   6/12/2020     EUR    72.610
UBS AG/London            6.600    6/25/2020     EUR    74.550
BNP Paribas Emissions- un11.000   9/24/2020     EUR    70.560
Vontobel Financial Produc13.400   9/16/2020     USD    73.740
UBS AG/London            5.900    12/28/2020    EUR    75.730
UBS AG/London            2.300    6/25/2020     EUR    73.450
UBS AG/London            18.600   6/25/2020     EUR    53.180
BNP Paribas Emissions- un9.000    12/24/2020    EUR    73.750
Landesbank Baden-Wuerttem3.000    8/28/2020     EUR    68.870
BNP Paribas Emissions- un22.000   3/26/2020     EUR    59.570
BNP Paribas Emissions- un6.000    9/24/2020     EUR    70.300
BNP Paribas Emissions- un8.000    9/24/2020     EUR    67.080
BNP Paribas Emissions- un10.000   9/24/2020     EUR    64.320
UBS AG/London            4.200    3/26/2020     EUR    64.250
Landesbank Baden-Wuerttem1.500    8/28/2020     EUR    74.370
UBS AG/London            12.300   3/26/2020     EUR    67.380
BNP Paribas Emissions- un16.000   3/26/2020     EUR    64.210
BNP Paribas Emissions- un6.000    6/25/2020     EUR    69.560
Landesbank Baden-Wuerttem3.650    3/27/2020     EUR    72.250
BNP Paribas Emissions- un13.000   12/24/2020    EUR    68.540
UBS AG/London            23.400   3/26/2020     EUR    49.670
UBS AG/London            10.200   6/25/2020     EUR    58.740
Landesbank Baden-Wuerttem6.500    8/28/2020     EUR    62.160
Volga Sport ZAO          9.130    2/29/2024     RUB    100.00
BNP Paribas Emissions- un8.000    6/25/2020     EUR    65.600
BNP Paribas Emissions- un6.000    12/24/2020    EUR    71.080
BNP Paribas Emissions- un8.500    12/24/2020    EUR    67.040
BNP Paribas Emissions- un8.500    3/26/2020     EUR    72.580
BNP Paribas Emissions- un10.000   12/24/2020    EUR    69.000
BNP Paribas Emissions- un8.500    3/26/2020     EUR    67.130
BNP Paribas Emissions- un12.000   3/26/2020     EUR    63.830
BNP Paribas Emissions- un23.000   3/26/2020     EUR    57.850
BNP Paribas Emissions- un8.500    9/24/2020     EUR    69.090
BNP Paribas Emissions- un17.000   9/24/2020     EUR    64.120
DZ Bank AG Deutsche Zentr6.500    8/26/2020     EUR    74.530
BNP Paribas Emissions- un7.500    3/26/2020     EUR    67.060
BNP Paribas Emissions- un9.500    3/26/2020     EUR    67.230
BNP Paribas Emissions- un17.000   3/26/2020     EUR    61.110
BNP Paribas Emissions- un20.000   3/26/2020     EUR    59.410
BNP Paribas Emissions- un8.000    9/24/2020     EUR    71.210
BNP Paribas Emissions- un9.500    9/24/2020     EUR    69.680
DZ Bank AG Deutsche Zentr10.500   12/23/2020    EUR    71.660
BNP Paribas Emissions- un9.000    3/26/2020     EUR    64.850
BNP Paribas Emissions- un14.000   3/26/2020     EUR    61.080
UBS AG/London            6.700    6/25/2020     EUR    61.080
UBS AG/London            12.100   6/25/2020     EUR    73.750
Commerzbank AG           14.500   6/26/2020     EUR    72.410
Leonteq Securities AG/Gue10.000   9/16/2020     EUR    68.180
UBS AG/London            16.300   6/25/2020     EUR    54.900
Commerzbank AG           12.500   6/26/2020     EUR    73.960
UBS AG/London            18.000   6/25/2020     EUR    50.650
Vontobel Financial Produc20.500   9/25/2020     EUR    67.760
Vontobel Financial Produc15.000   6/26/2020     EUR    56.950
Vontobel Financial Produc5.500    6/26/2020     EUR    69.110
Vontobel Financial Produc10.000   6/26/2020     EUR    61.890
Vontobel Financial Produc11.000   6/26/2020     EUR    60.500
Vontobel Financial Produc6.000    3/27/2020     EUR    66.830
Vontobel Financial Produc8.500    3/27/2020     EUR    62.530
Vontobel Financial Produc4.500    6/26/2020     EUR    71.300
DZ Bank AG Deutsche Zentr5.000    9/23/2020     EUR    65.780
BNP Paribas Emissions- un10.000   9/24/2020     EUR    61.730
BNP Paribas Emissions- un11.000   9/24/2020     EUR    60.570
BNP Paribas Emissions- un7.000    12/24/2020    EUR    66.470
BNP Paribas Emissions- un9.000    12/24/2020    EUR    63.340
BNP Paribas Emissions- un13.000   12/24/2020    EUR    60.340
BNP Paribas Emissions- un8.000    12/24/2020    EUR    73.810
BNP Paribas Emissions- un9.500    12/24/2020    EUR    71.160
BNP Paribas Emissions- un13.000   9/24/2020     EUR    74.260
BNP Paribas Emissions- un17.000   3/26/2020     EUR    72.070
Landesbank Baden-Wuerttem4.500    4/24/2020     EUR    72.480
Landesbank Baden-Wuerttem5.000    4/24/2020     EUR    60.900
Landesbank Baden-Wuerttem6.500    4/24/2020     EUR    57.430
DZ Bank AG Deutsche Zentr12.500   4/22/2020     EUR    63.050
DZ Bank AG Deutsche Zentr6.750    4/22/2020     EUR    72.360
EFG International Finance15.000   4/23/2020     USD    50.130
Vontobel Financial Produc14.000   6/26/2020     EUR    73.700
Vontobel Financial Produc9.500    6/26/2020     EUR    72.990
Vontobel Financial Produc9.500    3/27/2020     EUR    74.480
Vontobel Financial Produc13.000   3/27/2020     EUR    70.270
EFG International Finance8.000    3/9/2020      USD    48.220
Vontobel Financial Produc8.000    6/26/2020     EUR    70.000
Vontobel Financial Produc8.500    9/25/2020     EUR    69.500
Vontobel Financial Produc6.500    6/26/2020     EUR    72.020
Vontobel Financial Produc11.500   6/26/2020     EUR    66.660
Vontobel Financial Produc13.000   6/26/2020     EUR    65.010
Commerzbank AG           3.900    3/23/2022     USD     7.720
DekaBank Deutsche Girozen3.000    3/13/2020     EUR    61.940
DekaBank Deutsche Girozen3.350    3/15/2021     EUR    68.640
Vontobel Financial Produc18.750   3/13/2020     EUR    74.490
Societe Generale Effekten14.057   3/27/2020     EUR    73.220
Commerzbank AG           10.250   3/27/2020     EUR    61.400
DZ Bank AG Deutsche Zentr5.000    6/24/2020     EUR    64.370
Societe Generale Effekten14.057   3/27/2020     EUR    72.510
Societe Generale Effekten17.795   6/26/2020     EUR    72.650
Societe Generale Effekten21.164   12/28/2020    EUR    74.030
Societe Generale Effekten11.714   3/27/2020     EUR    73.790
Landesbank Baden-Wuerttem7.000    6/25/2021     EUR    74.420
Landesbank Baden-Wuerttem2.000    6/25/2021     EUR    70.100
Landesbank Baden-Wuerttem3.500    6/25/2021     EUR    63.970
Landesbank Baden-Wuerttem3.500    6/25/2021     EUR    67.490
Vontobel Financial Produc15.500   6/26/2020     EUR    44.700
UniCredit Bank AG        6.400    5/11/2020     EUR    76.280
Leonteq Securities AG/Gue18.400   4/8/2020      USD    61.650
Leonteq Securities AG/Gue15.600   4/8/2020      EUR    61.110
Commerzbank AG           12.750   3/27/2020     EUR    74.650
Landesbank Hessen-Thuerin6.250    7/15/2022     EUR    48.520
Getin Noble Bank SA      6.790    5/31/2023     PLN    75.000
Vontobel Financial Produc13.500   9/25/2020     EUR    72.410
Vontobel Financial Produc12.500   12/28/2020    EUR    74.900
Leonteq Securities AG/Gue3.400    3/20/2024     CHF    49.340
Vontobel Financial Produc8.500    9/25/2020     EUR    71.440
Societe Generale Effekten19.126   3/20/2020     EUR    38.380
Vontobel Financial Produc12.000   12/11/2020    EUR    71.700
Vontobel Financial Produc15.000   12/11/2020    EUR    70.320
Vontobel Financial Produc9.500    12/11/2020    EUR    73.910
Vontobel Financial Produc9.000    9/11/2020     EUR    74.310
Vontobel Financial Produc16.000   9/11/2020     EUR    69.250
Vontobel Financial Produc12.500   9/11/2020     EUR    71.490
Vontobel Financial Produc18.000   9/11/2020     EUR    68.440
UniCredit Bank AG        15.400   12/28/2020    EUR    73.110
UniCredit Bank AG        12.600   9/25/2020     EUR    74.250
DZ Bank AG Deutsche Zentr8.750    12/23/2020    EUR    70.180
DZ Bank AG Deutsche Zentr10.750   11/25/2020    EUR    73.930
DZ Bank AG Deutsche Zentr10.600   9/25/2020     EUR    59.110
DZ Bank AG Deutsche Zentr7.000    6/24/2020     EUR    68.980
Landesbank Baden-Wuerttem3.000    11/27/2020    EUR    66.730
Vontobel Financial Produc14.000   6/26/2020     EUR    58.100
Vontobel Financial Produc15.000   3/27/2020     EUR    55.760
Vontobel Financial Produc12.000   3/27/2020     EUR    58.870
Vontobel Financial Produc6.500    6/26/2020     EUR    66.990
Vontobel Financial Produc7.500    6/26/2020     EUR    65.100
Vontobel Financial Produc12.500   6/26/2020     EUR    59.220
Vontobel Financial Produc8.500    6/26/2020     EUR    63.340
Vontobel Financial Produc13.500   3/27/2020     EUR    57.290
Vontobel Financial Produc7.500    3/27/2020     EUR    64.550
Vontobel Financial Produc10.000   3/27/2020     EUR    60.640
EFG International Finance7.200    2/22/2021     CHF    28.610
Vontobel Financial Produc5.000    9/9/2020      EUR    66.970
Raiffeisen Schweiz Genoss6.900    2/19/2020     EUR    64.100
Leonteq Securities AG/Gue2.300    2/8/2023      CHF    57.910
UniCredit Bank AG        6.400    3/5/2021      EUR    43.720
UniCredit Bank AG        4.650    3/5/2021      EUR    67.870
Noyabrskaya Pge OOO      8.500    11/10/2020    RUB    60.010
Vontobel Financial Produc16.000   6/26/2020     EUR    64.990
Vontobel Financial Produc12.500   3/27/2020     EUR    72.770
Vontobel Financial Produc4.500    3/27/2020     EUR    60.040
Vontobel Financial Produc7.500    3/27/2020     EUR    54.940
Vontobel Financial Produc11.500   3/27/2020     EUR    50.860
Vontobel Financial Produc10.000   3/27/2020     EUR    52.120
Vontobel Financial Produc5.500    6/26/2020     EUR    58.480
Vontobel Financial Produc4.500    6/26/2020     EUR    59.990
Vontobel Financial Produc3.000    6/26/2020     EUR    63.560
Vontobel Financial Produc8.500    6/26/2020     EUR    54.580
Vontobel Financial Produc9.500    6/26/2020     EUR    53.460
Vontobel Financial Produc6.500    6/26/2020     EUR    57.080
Vontobel Financial Produc10.500   6/26/2020     EUR    52.430
Vontobel Financial Produc11.500   6/26/2020     EUR    51.470
Vontobel Financial Produc16.000   3/27/2020     EUR    62.760
BNP Paribas Emissions- un10.000   3/26/2020     EUR    75.120
BNP Paribas Emissions- un15.000   6/25/2020     EUR    71.560
BNP Paribas Emissions- un4.500    3/26/2020     EUR    66.750
BNP Paribas Emissions- un7.000    3/26/2020     EUR    63.390
BNP Paribas Emissions- un8.500    3/26/2020     EUR    60.290
BNP Paribas Emissions- un10.000   3/26/2020     EUR    58.450
BNP Paribas Emissions- un14.000   3/26/2020     EUR    54.410
BNP Paribas Emissions- un17.000   3/26/2020     EUR    52.360
BNP Paribas Emissions- un7.000    9/24/2020     EUR    64.860
BNP Paribas Emissions- un6.000    3/26/2020     EUR    60.310
BNP Paribas Emissions- un7.000    12/24/2020    EUR    60.490
BNP Paribas Emissions- un9.500    12/24/2020    EUR    76.220
BNP Paribas Emissions- un5.500    12/24/2020    EUR    68.470
BNP Paribas Emissions- un8.500    12/24/2020    EUR    64.760
BNP Paribas Emissions- un14.000   6/25/2020     EUR    72.640
BNP Paribas Emissions- un12.000   9/24/2020     EUR    74.710
BNP Paribas Emissions- un10.000   3/26/2020     EUR    70.010
BNP Paribas Emissions- un13.000   3/26/2020     EUR    66.000
BNP Paribas Emissions- un9.000    6/25/2020     EUR    71.090
BNP Paribas Emissions- un14.000   6/25/2020     EUR    71.780
BNP Paribas Emissions- un17.000   6/25/2020     EUR    74.220
Vontobel Financial Produc12.000   6/29/2020     EUR    70.870
Landesbank Baden-Wuerttem3.000    4/24/2020     EUR    64.820
Landesbank Baden-Wuerttem6.000    4/24/2020     EUR    71.410
DZ Bank AG Deutsche Zentr8.300    4/22/2020     EUR    57.100
Societe Generale Effekten25.504   9/18/2020     EUR    55.700
Societe Generale Effekten26.320   3/20/2020     EUR    71.840
Leonteq Securities AG    15.400   4/8/2020      CHF    61.080
Commerzbank AG           4.500    3/27/2020     EUR    67.800
Vontobel Financial Produc14.000   3/27/2020     EUR    70.700
Vontobel Financial Produc5.000    6/25/2020     EUR    62.160
Vontobel Financial Produc13.000   6/26/2020     EUR    74.200
Vontobel Financial Produc6.550    6/26/2020     EUR    49.180
Vontobel Financial Produc5.500    3/27/2020     EUR    58.230
Vontobel Financial Produc6.500    3/27/2020     EUR    56.530
Vontobel Financial Produc9.000    3/27/2020     EUR    53.510
Landesbank Baden-Wuerttem5.400    7/24/2020     EUR    67.980
DZ Bank AG Deutsche Zentr8.250    6/24/2020     EUR    73.700
Vontobel Financial Produc7.500    6/26/2020     EUR    55.780
Vontobel Financial Produc3.500    6/26/2020     EUR    61.620
Vontobel Financial Produc11.500   6/26/2020     EUR    73.530
Vontobel Financial Produc13.000   6/26/2020     EUR    71.910
BNP Paribas Emissions- un14.000   3/26/2020     EUR    69.830
BNP Paribas Emissions- un12.000   9/24/2020     EUR    72.580
BNP Paribas Emissions- un13.000   6/25/2020     EUR    73.310
BNP Paribas Emissions- un14.000   6/25/2020     EUR    72.410
BNP Paribas Emissions- un8.500    9/24/2020     EUR    62.710
BNP Paribas Emissions- un8.000    3/26/2020     EUR    56.780
BNP Paribas Emissions- un7.000    9/24/2020     EUR    59.010
BNP Paribas Emissions- un8.500    9/24/2020     EUR    56.760
BNP Paribas Emissions- un10.000   9/24/2020     EUR    54.840
BNP Paribas Emissions- un11.000   12/24/2020    EUR    55.540
BNP Paribas Emissions- un13.000   12/24/2020    EUR    75.160
Societe Generale Effekten4.397    9/18/2020     EUR    70.830
Societe Generale Effekten17.003   9/18/2020     EUR    58.460
Societe Generale Effekten19.641   9/18/2020     EUR    57.200
UniCredit Bank AG        16.200   6/26/2020     EUR    54.550
UniCredit Bank AG        4.100    12/24/2021    EUR    70.480
UniCredit Bank AG        10.200   12/28/2020    EUR    60.240
UniCredit Bank AG        4.400    6/25/2021     EUR    70.030
UniCredit Bank AG        7.600    6/25/2021     EUR    63.550
UniCredit Bank AG        10.500   6/26/2020     EUR    58.560
UniCredit Bank AG        4.300    6/26/2020     EUR    68.710
UniCredit Bank AG        6.600    12/24/2021    EUR    64.980
UniCredit Bank AG        10.100   6/25/2021     EUR    61.460
UniCredit Bank AG        19.300   3/27/2020     EUR    51.800
WEB Windenergie AG       2.500    9/26/2021     EUR    55.010
Landesbank Baden-Wuerttem4.500    11/27/2020    EUR    63.820
Landesbank Baden-Wuerttem6.000    11/27/2020    EUR    60.460
Goldman Sachs & Co Wertpa19.000   2/26/2020     EUR    73.820
Goldman Sachs & Co Wertpa23.000   2/26/2020     EUR    68.490
Goldman Sachs & Co Wertpa20.000   3/25/2020     EUR    71.620
Goldman Sachs & Co Wertpa24.000   3/25/2020     EUR    67.160
Goldman Sachs & Co Wertpa15.000   2/26/2020     EUR    71.860
Goldman Sachs & Co Wertpa17.000   2/26/2020     EUR    69.630
Goldman Sachs & Co Wertpa24.000   2/26/2020     EUR    67.840
Goldman Sachs & Co Wertpa15.000   3/25/2020     EUR    73.030
Goldman Sachs & Co Wertpa20.000   3/25/2020     EUR    67.090
Goldman Sachs & Co Wertpa22.000   3/25/2020     EUR    65.420
Goldman Sachs & Co Wertpa19.000   4/22/2020     EUR    72.800
Goldman Sachs & Co Wertpa21.000   4/22/2020     EUR    71.050
Goldman Sachs & Co Wertpa19.000   6/24/2020     EUR    72.250
Goldman Sachs & Co Wertpa15.000   2/26/2020     EUR    68.570
Goldman Sachs & Co Wertpa18.000   2/26/2020     EUR    65.620
Goldman Sachs & Co Wertpa24.000   2/26/2020     EUR    60.530
Goldman Sachs & Co Wertpa20.000   3/25/2020     EUR    64.450
Goldman Sachs & Co Wertpa22.000   3/25/2020     EUR    67.140
Goldman Sachs & Co Wertpa19.000   4/22/2020     EUR    71.250
Goldman Sachs & Co Wertpa21.000   4/22/2020     EUR    68.710
Goldman Sachs & Co Wertpa20.000   6/24/2020     EUR    69.380
Goldman Sachs & Co Wertpa17.000   9/23/2020     EUR    72.530
Goldman Sachs & Co Wertpa15.000   12/23/2020    EUR    74.950
Landesbank Baden-Wuerttem3.770    3/27/2020     EUR    73.260
Vontobel Financial Produc14.500   3/13/2020     EUR    73.510
Goldman Sachs & Co Wertpa22.000   3/25/2020     EUR    74.870
Landesbank Baden-Wuerttem7.500    10/23/2020    EUR    67.650
SG Issuer SA             0.800    10/21/2020    SEK    42.730
UniCredit Bank AG        8.500    3/27/2020     EUR    60.530
UniCredit Bank AG        13.300   6/26/2020     EUR    56.370
DZ Bank AG Deutsche Zentr6.000    7/22/2020     EUR    60.600
Landesbank Baden-Wuerttem4.000    10/23/2020    EUR    71.960
WEB Windenergie AG       2.750    12/17/2020    EUR    55.010
Landesbank Hessen-Thuerin4.000    1/6/2021      EUR    74.570
Landesbank Hessen-Thuerin2.250    7/13/2020     EUR    36.500
Landesbank Hessen-Thuerin4.100    7/13/2020     EUR    60.900
DZ Bank AG Deutsche Zentr6.100    3/23/2020     EUR    58.400
DZ Bank AG Deutsche Zentr9.250    9/21/2020     EUR    52.760
Landesbank Hessen-Thuerin4.000    8/9/2023      EUR    71.240
UniCredit Bank AG        10.500   6/26/2020     EUR    73.030
UniCredit Bank AG        11.000   12/28/2020    EUR    69.910
UniCredit Bank AG        8.800    12/28/2020    EUR    72.090
UniCredit Bank AG        8.500    12/28/2020    EUR    74.520
UniCredit Bank AG        12.700   12/28/2020    EUR    69.580
UniCredit Bank AG        14.400   12/28/2020    EUR    73.240
UniCredit Bank AG        10.100   6/26/2020     EUR    61.460
UniCredit Bank AG        8.000    6/26/2020     EUR    63.450
UniCredit Bank AG        14.700   6/26/2020     EUR    58.300
UniCredit Bank AG        13.500   6/26/2020     EUR    65.130
UniCredit Bank AG        13.800   6/26/2020     EUR    69.500
UniCredit Bank AG        9.800    12/28/2020    EUR    72.590
UniCredit Bank AG        7.500    12/24/2021    EUR    63.900
UniCredit Bank AG        5.400    6/25/2021     EUR    67.400
UniCredit Bank AG        13.800   3/27/2020     EUR    75.250
Landesbank Baden-Wuerttem7.000    9/25/2020     EUR    67.710
Goldman Sachs & Co Wertpa24.000   2/26/2020     EUR    72.310
Raiffeisen Centrobank AG 9.367    6/23/2020     EUR    65.140
UBS AG/London            15.200   3/26/2020     EUR    63.000
Raiffeisen Centrobank AG 10.995   6/23/2020     EUR    64.190
Vontobel Financial Produc16.000   6/12/2020     EUR    71.390
Vontobel Financial Produc17.000   3/13/2020     EUR    70.380
Landesbank Baden-Wuerttem4.500    9/25/2020     EUR    66.340
Landesbank Baden-Wuerttem6.000    9/25/2020     EUR    63.160
Landesbank Baden-Wuerttem5.000    9/25/2020     EUR    71.160
Vontobel Financial Produc9.250    4/3/2020      EUR    59.160
UBS AG/London            15.000   4/5/2021      USD    67.940
DekaBank Deutsche Girozen2.250    3/27/2020     EUR    74.760
Landesbank Hessen-Thuerin3.250    8/13/2020     EUR    75.200
Landesbank Hessen-Thuerin3.100    8/13/2020     EUR    58.100
UBS AG/London            4.500    6/25/2020     EUR    64.370
UBS AG/London            5.700    9/24/2020     EUR    74.860
UBS AG/London            10.400   3/26/2020     EUR    69.800
Landesbank Hessen-Thuerin3.250    7/13/2020     EUR    73.500
Landesbank Baden-Wuerttem7.100    3/26/2021     EUR    71.510
Landesbank Hessen-Thuerin5.750    7/12/2024     EUR    63.190
Vontobel Financial Produc3.500    6/12/2020     EUR    73.710
Vontobel Financial Produc6.000    3/13/2020     EUR    66.680
Vontobel Financial Produc16.500   3/13/2020     EUR    55.230
Vontobel Financial Produc5.500    6/12/2020     EUR    68.960
Vontobel Financial Produc9.000    3/13/2020     EUR    62.310
Vontobel Financial Produc12.500   3/13/2020     EUR    58.510
Vontobel Financial Produc8.000    6/12/2020     EUR    65.060
DZ Bank AG Deutsche Zentr13.750   3/25/2020     EUR    70.420
Landesbank Baden-Wuerttem5.000    3/27/2020     EUR    65.240
Societe Generale Effekten24.337   3/20/2020     EUR    61.970
Societe Generale Effekten4.660    3/20/2020     EUR    70.050
Vontobel Financial Produc11.000   9/25/2020     EUR    75.540
Societe Generale Effekten10.874   3/20/2020     EUR    67.750
BNP Paribas Emissions- un4.000    9/24/2020     EUR    69.110
BNP Paribas Emissions- un5.500    9/24/2020     EUR    67.740
Zurcher Kantonalbank Fina7.500    3/13/2020     EUR    73.680
Landesbank Baden-Wuerttem5.500    3/27/2020     EUR    68.230
BNP Paribas Emissions- un7.000    9/24/2020     EUR    66.480
BNP Paribas Emissions- un10.000   3/26/2020     EUR    60.700
Landesbank Baden-Wuerttem4.000    3/27/2020     EUR    72.400
Landesbank Baden-Wuerttem3.000    3/27/2020     EUR    71.110
UBS AG/London            7.400    12/28/2020    EUR    73.880
BNP Paribas Emissions- un3.500    9/24/2020     EUR    71.190
BNP Paribas Emissions- un4.500    9/24/2020     EUR    67.140
BNP Paribas Emissions- un6.500    9/24/2020     EUR    64.150
BNP Paribas Emissions- un7.500    9/24/2020     EUR    64.750
BNP Paribas Emissions- un18.000   3/26/2020     EUR    57.740
BNP Paribas Emissions- un4.000    3/26/2020     EUR    64.370
BNP Paribas Emissions- un8.000    3/26/2020     EUR    64.750
BNP Paribas Emissions- un3.000    6/25/2020     EUR    68.430
BNP Paribas Emissions- un4.500    6/25/2020     EUR    66.550
BNP Paribas Emissions- un15.000   9/24/2020     EUR    60.620
BNP Paribas Emissions- un7.000    12/24/2020    EUR    67.710
UBS AG/London            18.100   3/26/2020     EUR    70.550
BNP Paribas Emissions- un5.000    9/24/2020     EUR    69.700
BNP Paribas Emissions- un6.000    9/24/2020     EUR    65.890
BNP Paribas Emissions- un8.500    3/26/2020     EUR    62.610
BNP Paribas Emissions- un23.000   3/26/2020     EUR    54.920
BNP Paribas Emissions- un6.000    6/25/2020     EUR    64.810
BNP Paribas Emissions- un7.000    6/25/2020     EUR    65.160
BNP Paribas Emissions- un10.000   6/25/2020     EUR    62.100
BNP Paribas Emissions- un19.000   6/25/2020     EUR    58.380
BNP Paribas Emissions- un13.000   12/24/2020    EUR    62.480
BNP Paribas Emissions- un8.000    9/24/2020     EUR    63.130
BNP Paribas Emissions- un12.000   9/24/2020     EUR    61.980
BNP Paribas Emissions- un4.000    12/24/2020    EUR    69.380
BNP Paribas Emissions- un7.500    12/24/2020    EUR    66.180
BNP Paribas Emissions- un9.500    3/26/2020     EUR    62.700
BNP Paribas Emissions- un9.000    3/26/2020     EUR    60.600
BNP Paribas Emissions- un5.000    3/26/2020     EUR    64.470
BNP Paribas Emissions- un6.000    3/26/2020     EUR    64.560
BNP Paribas Emissions- un7.000    3/26/2020     EUR    64.660
BNP Paribas Emissions- un5.500    6/25/2020     EUR    66.890
BNP Paribas Emissions- un6.500    6/25/2020     EUR    67.240
BNP Paribas Emissions- un9.000    6/25/2020     EUR    61.750
BNP Paribas Emissions- un8.000    12/24/2020    EUR    64.750
BNP Paribas Emissions- un4.500    12/24/2020    EUR    67.650
UBS AG/London            10.700   3/26/2020     EUR    71.610
BNP Paribas Emissions- un21.000   3/26/2020     EUR    54.730
BNP Paribas Emissions- un5.000    6/25/2020     EUR    69.120
BNP Paribas Emissions- un7.500    6/25/2020     EUR    63.220
BNP Paribas Emissions- un8.500    6/25/2020     EUR    63.560
BNP Paribas Emissions- un9.000    12/24/2020    EUR    65.600
BNP Paribas Emissions- un10.000   12/24/2020    EUR    63.020
BNP Paribas Emissions- un9.000    9/24/2020     EUR    63.720
BNP Paribas Emissions- un3.500    12/24/2020    EUR    71.210
BNP Paribas Emissions- un6.000    12/24/2020    EUR    66.860
UBS AG/London            6.000    3/26/2020     EUR    75.250
Bank Julius Baer & Co Ltd7.000    3/6/2020      EUR    67.850
DZ Bank AG Deutsche Zentr4.750    12/21/2020    EUR    62.160
BNP Paribas Emissions- un8.500    9/24/2020     EUR    65.340
BNP Paribas Emissions- un14.000   3/26/2020     EUR    57.350
BNP Paribas Emissions- un16.000   3/26/2020     EUR    57.550
Commerzbank AG           8.750    7/24/2020     EUR    74.180
Commerzbank AG           11.000   3/27/2020     EUR    71.640
Commerzbank AG           9.000    3/27/2020     EUR    73.680
Commerzbank AG           10.750   7/24/2020     EUR    71.510
Commerzbank AG           12.750   7/24/2020     EUR    69.430
SG Issuer SA             6.650    10/10/2021    EUR    72.160
Landesbank Hessen-Thuerin4.000    10/14/2020    EUR    33.270
UBS AG/London            6.900    3/26/2020     EUR    75.350
BNP Paribas Emissions- un19.000   3/26/2020     EUR    54.530
UBS AG/London            3.000    3/26/2020     EUR    69.000
UBS AG/London            8.500    3/26/2020     EUR    72.440
UBS AG/London            6.200    3/26/2020     EUR    60.230
UBS AG/London            4.200    6/25/2020     EUR    68.910
UBS AG/London            12.600   6/25/2020     EUR    56.400
UBS AG/London            22.700   3/26/2020     EUR    47.240
BNP Paribas Emissions- un11.000   6/25/2020     EUR    64.430
BNP Paribas Emissions- un14.000   9/24/2020     EUR    63.170
BNP Paribas Emissions- un10.000   12/24/2020    EUR    66.440
Landesbank Baden-Wuerttem6.200    3/26/2021     EUR    72.560
BNP Paribas Emissions- un7.500    6/25/2020     EUR    67.580
BNP Paribas Emissions- un9.000    6/25/2020     EUR    65.850
BNP Paribas Emissions- un4.000    9/24/2020     EUR    73.980
BNP Paribas Emissions- un9.500    9/24/2020     EUR    65.940
BNP Paribas Emissions- un4.000    12/24/2020    EUR    73.970
BNP Paribas Emissions- un6.500    12/24/2020    EUR    69.340
BNP Paribas Emissions- un12.000   12/24/2020    EUR    64.710
DZ Bank AG Deutsche Zentr7.250    3/25/2020     EUR    69.180
BNP Paribas Emissions- un7.000    12/24/2020    EUR    72.070
BNP Paribas Emissions- un4.500    12/24/2020    EUR    72.060
BNP Paribas Emissions- un8.500    12/24/2020    EUR    71.000
BNP Paribas Emissions- un20.000   3/26/2020     EUR    57.930
BNP Paribas Emissions- un4.500    9/24/2020     EUR    71.790
BNP Paribas Emissions- un6.500    9/24/2020     EUR    68.330
BNP Paribas Emissions- un8.000    12/24/2020    EUR    68.560
HSBC Trinkaus & Burkhardt2.250    4/22/2020     EUR    66.250
Vontobel Financial Produc17.000   6/26/2020     EUR    72.940
Vontobel Financial Produc18.500   3/27/2020     EUR    72.570
Vontobel Financial Produc14.500   3/27/2020     EUR    59.860
DZ Bank AG Deutsche Zentr8.000    6/24/2020     EUR    67.250
Landesbank Baden-Wuerttem5.280    8/28/2020     EUR    64.430
Landesbank Hessen-Thuerin4.000    9/20/2023     EUR    70.070
Vontobel Financial Produc5.500    3/20/2020     EUR    64.830
Raiffeisen Switzerland BV9.500    3/11/2020     EUR    61.980
DZ Bank AG Deutsche Zentr10.000   3/25/2020     EUR    61.620
Bank Julius Baer & Co Ltd15.300   3/23/2020     USD    51.400
HSBC Trinkaus & Burkhardt3.000    8/10/2020     EUR    68.580
HSBC Trinkaus & Burkhardt6.000    2/28/2020     EUR    72.460
HSBC Trinkaus & Burkhardt2.250    4/22/2020     EUR    66.250
HSBC Trinkaus & Burkhardt1.000    4/22/2020     EUR    71.760
Deutsche Bank AG         3.200    6/23/2020     EUR    73.680
Deutsche Bank AG         3.200    12/22/2020    EUR    74.590
DZ Bank AG Deutsche Zentr11.750   3/25/2020     EUR    70.580
DZ Bank AG Deutsche Zentr8.750    3/25/2020     EUR    69.810
Deutsche Bank AG         8.200    12/22/2020    EUR    65.000
Societe Generale Effekten6.762    6/26/2020     EUR    70.900
Deutsche Bank AG         8.200    12/22/2020    EUR    60.500
HSBC Trinkaus & Burkhardt1.250    4/22/2020     EUR    74.800
HSBC Trinkaus & Burkhardt5.100    3/27/2020     EUR    66.690
HSBC Trinkaus & Burkhardt7.700    9/25/2020     EUR    60.380
HSBC Trinkaus & Burkhardt5.000    9/25/2020     EUR    72.240
Leonteq Securities AG/Gue7.500    3/11/2021     CHF    70.150
Societe Generale Effekten14.240   3/20/2020     EUR    72.720
Vontobel Financial Produc21.500   6/26/2020     EUR    74.590
Societe Generale Effekten10.601   6/19/2020     EUR    63.950
Vontobel Financial Produc4.500    9/25/2020     EUR    50.640
Societe Generale Effekten8.803    3/20/2020     EUR    71.100
Societe Generale Effekten10.601   6/19/2020     EUR    71.850
Societe Generale Effekten11.564   6/19/2020     EUR    70.580
Societe Generale Effekten13.204   3/20/2020     EUR    52.030
Societe Generale Effekten12.849   6/19/2020     EUR    59.030
Societe Generale Effekten10.740   9/18/2020     EUR    65.240
Societe Generale Effekten25.890   3/20/2020     EUR    43.690
Societe Generale Effekten9.316    6/19/2020     EUR    62.110
Societe Generale Effekten28.268   6/19/2020     EUR    69.230
Vontobel Financial Produc8.500    3/27/2020     EUR    73.020
Societe Generale Effekten15.793   3/20/2020     EUR    61.430
DZ Bank AG Deutsche Zentr8.250    3/25/2020     EUR    66.790
Landesbank Baden-Wuerttem4.750    3/27/2020     EUR    69.450
Deutsche Bank AG         8.200    6/23/2020     EUR    61.500
Societe Generale Effekten9.392    6/26/2020     EUR    63.120
Societe Generale Effekten11.270   6/26/2020     EUR    64.000
Societe Generale Effekten5.000    9/25/2020     EUR    70.550
Societe Generale Effekten6.000    9/25/2020     EUR    71.150
Societe Generale Effekten8.000    9/25/2020     EUR    72.360
Societe Generale Effekten12.500   9/25/2020     EUR    66.220
Societe Generale Effekten6.288    12/28/2020    EUR    71.560
Societe Generale Effekten8.803    12/28/2020    EUR    73.280
Societe Generale Effekten12.575   12/28/2020    EUR    67.180
Societe Generale Effekten15.719   12/28/2020    EUR    69.340
Societe Generale Effekten18.863   12/28/2020    EUR    64.640
Societe Generale Effekten10.492   6/25/2021     EUR    73.080
Societe Generale Effekten12.240   6/25/2021     EUR    74.430
Deutsche Bank AG         8.200    9/22/2020     EUR    64.200
HSBC Trinkaus & Burkhardt5.600    6/26/2020     EUR    65.850
HSBC Trinkaus & Burkhardt6.300    6/26/2020     EUR    72.290
Leonteq Securities AG    7.400    3/2/2020      CHF    19.920
DekaBank Deutsche Girozen3.150    3/5/2021      EUR    60.780
Landesbank Baden-Wuerttem5.000    3/27/2020     EUR    75.310
Societe Generale Effekten19.677   3/20/2020     EUR    73.280
Societe Generale Effekten11.564   6/19/2020     EUR    60.200
Societe Generale Effekten8.026    3/20/2020     EUR    72.660
Societe Generale Effekten8.995    6/19/2020     EUR    74.730
Societe Generale Effekten18.632   6/19/2020     EUR    63.280
Societe Generale Effekten10.097   3/20/2020     EUR    56.760
Societe Generale Effekten14.499   3/20/2020     EUR    51.790
Societe Generale Effekten20.195   3/20/2020     EUR    47.290
Societe Generale Effekten7.067    6/19/2020     EUR    65.730
Societe Generale Effekten14.134   6/19/2020     EUR    56.460
Societe Generale Effekten25.377   6/19/2020     EUR    71.850
Societe Generale Effekten7.767    3/20/2020     EUR    72.990
Societe Generale Effekten22.007   3/20/2020     EUR    72.870
Societe Generale Effekten25.373   3/20/2020     EUR    69.030
Vontobel Financial Produc11.000   3/27/2020     EUR    63.090
Societe Generale Effekten5.260    6/26/2020     EUR    70.190
Societe Generale Effekten7.000    9/25/2020     EUR    71.760
Societe Generale Effekten9.000    9/25/2020     EUR    72.960
Societe Generale Effekten15.000   9/25/2020     EUR    67.720
Societe Generale Effekten7.545    12/28/2020    EUR    72.420
Societe Generale Effekten10.060   12/28/2020    EUR    73.710
Societe Generale Effekten7.514    6/26/2020     EUR    71.250
Leonteq Securities AG/Gue11.000   3/2/2020      CHF    40.490
UniCredit Bank AG        4.500    3/12/2022     EUR    71.330
UBS AG/London            7.500    2/21/2020     EUR    39.750
UBS AG/London            8.500    8/21/2020     EUR    46.850
EFG International Finance6.400    3/8/2021      EUR    56.010
Societe Generale Effekten6.011    6/26/2020     EUR    70.550
UBS AG/London            10.000   3/22/2021     EUR    71.450
HSBC Trinkaus & Burkhardt5.700    9/25/2020     EUR    64.880
HSBC Trinkaus & Burkhardt8.600    3/27/2020     EUR    66.980
HSBC Trinkaus & Burkhardt6.100    12/28/2020    EUR    69.290
HSBC Trinkaus & Burkhardt4.100    12/28/2020    EUR    74.370
HSBC Trinkaus & Burkhardt7.000    7/24/2020     EUR    68.090
HSBC Trinkaus & Burkhardt4.300    7/24/2020     EUR    74.450
HSBC Trinkaus & Burkhardt10.600   3/27/2020     EUR    66.180
Vontobel Financial Produc11.000   3/27/2020     EUR    45.390
Landesbank Baden-Wuerttem7.000    3/27/2020     EUR    60.230
Societe Generale Effekten22.525   3/20/2020     EUR    63.640
Societe Generale Effekten23.301   3/20/2020     EUR    62.780
Societe Generale Effekten24.337   3/20/2020     EUR    72.440
Societe Generale Effekten18.123   3/20/2020     EUR    74.940
Societe Generale Effekten16.052   3/20/2020     EUR    62.180
Societe Generale Effekten9.637    6/19/2020     EUR    73.210
Societe Generale Effekten12.528   6/19/2020     EUR    69.340
Societe Generale Effekten7.249    3/20/2020     EUR    62.630
Societe Generale Effekten9.637    6/19/2020     EUR    64.180
Societe Generale Effekten14.192   9/18/2020     EUR    60.770
Societe Generale Effekten6.990    3/20/2020     EUR    61.110
Societe Generale Effekten11.910   3/20/2020     EUR    54.500
Societe Generale Effekten22.486   6/19/2020     EUR    50.860
Societe Generale Effekten9.321    3/20/2020     EUR    70.260
Societe Generale Effekten12.168   6/19/2020     EUR    74.990
Volga Sport ZAO          7.880    4/4/2022      RUB    100.00
Polski Bank Spoldzielczy 4.790    11/26/2024    PLN    50.000
Societe Generale Effekten8.262    3/20/2020     EUR    68.230
Societe Generale Effekten17.902   3/20/2020     EUR    52.540
Societe Generale Effekten6.473    6/19/2020     EUR    70.810
Societe Generale Effekten23.301   6/19/2020     EUR    54.860
Societe Generale Effekten10.279   9/18/2020     EUR    68.520
Societe Generale Effekten12.849   9/18/2020     EUR    65.520
Societe Generale Effekten15.419   9/18/2020     EUR    63.030
Societe Generale Effekten18.310   9/18/2020     EUR    61.110
Societe Generale Effekten26.984   9/18/2020     EUR    57.290
Societe Generale Effekten13.981   6/19/2020     EUR    72.790
Societe Generale Effekten15.793   6/19/2020     EUR    70.800
Deutsche Bank AG         5.400    3/24/2020     EUR    72.930
Deutsche Bank AG         5.400    2/25/2020     EUR    72.480
Societe Generale Effekten13.447   3/20/2020     EUR    59.610
Leonteq Securities AG/Gue9.600    8/4/2020      CHF    58.350
Societe Generale Effekten12.046   3/20/2020     EUR    69.750
Societe Generale Effekten8.684    3/20/2020     EUR    43.920
Societe Generale Effekten14.041   6/19/2020     EUR    43.540
Societe Generale Effekten5.042    3/20/2020     EUR    70.090
Societe Generale Effekten11.766   3/20/2020     EUR    57.700
Societe Generale Effekten19.610   3/20/2020     EUR    71.180
Societe Generale Effekten25.212   3/20/2020     EUR    64.730
Societe Generale Effekten7.564    3/20/2020     EUR    76.040
Raiffeisen Schweiz Genoss5.750    9/2/2020      CHF    42.390
Raiffeisen Schweiz Genoss7.000    3/2/2020      CHF    73.300
Raiffeisen Schweiz Genoss6.200    3/2/2020      CHF    63.860
Deutsche Bank AG         3.200    9/22/2020     EUR    74.190
BNP Paribas Emissions- un7.500    3/26/2020     EUR    62.510
BNP Paribas Emissions- un4.000    6/25/2020     EUR    68.770
BNP Paribas Emissions- un9.500    6/25/2020     EUR    63.910
BNP Paribas Emissions- un14.000   6/25/2020     EUR    59.860
BNP Paribas Emissions- un17.000   6/25/2020     EUR    57.690
BNP Paribas Emissions- un5.000    12/24/2020    EUR    70.230
BNP Paribas Emissions- un5.500    12/24/2020    EUR    68.500
BNP Paribas Emissions- un6.500    12/24/2020    EUR    65.340
Leonteq Securities AG/Gue3.750    2/20/2023     CHF    54.840
Landesbank Baden-Wuerttem3.000    4/25/2022     EUR    75.610
Landesbank Hessen-Thuerin3.500    9/22/2020     EUR    64.200
Landesbank Baden-Wuerttem2.810    3/24/2023     EUR    73.690
DekaBank Deutsche Girozen5.000    9/14/2020     EUR    64.770
DekaBank Deutsche Girozen7.000    9/14/2020     EUR    60.160
DekaBank Deutsche Girozen3.500    3/14/2022     EUR    72.340
Landesbank Hessen-Thuerin7.000    4/29/2022     EUR    45.540
Vontobel Financial Produc7.500    3/27/2020     EUR    59.100
Landesbank Baden-Wuerttem2.300    2/25/2022     EUR    75.130
Landesbank Baden-Wuerttem2.400    2/25/2022     EUR    72.520
UBS AG/London            11.000   4/17/2020     CHF    40.250
Landesbank Hessen-Thuerin3.000    9/9/2020      EUR    71.300
Landesbank Hessen-Thuerin7.770    7/15/2021     EUR    22.950
DekaBank Deutsche Girozen2.250    1/22/2021     EUR    61.280
DekaBank Deutsche Girozen2.550    11/13/2020    EUR    71.230
EFG International Finance12.000   10/19/2021    USD    74.620
Landesbank Baden-Wuerttem2.600    9/25/2020     EUR    55.240
UBS AG/London            7.000    6/29/2020     CHF    73.750
Leonteq Securities AG/Gue9.000    1/12/2021     USD    39.440
Landesbank Baden-Wuerttem3.000    2/28/2020     EUR    56.760
Landesbank Baden-Wuerttem4.000    2/28/2020     EUR    54.150
Credit Suisse AG/Nassau  7.000    4/17/2020     USD    72.070
DekaBank Deutsche Girozen2.100    1/5/2021      EUR    61.670
Vontobel Financial Produc14.500   3/27/2020     EUR    73.910
UniCredit Bank AG        3.500    1/5/2021      EUR    38.350
UniCredit Bank AG        3.500    1/5/2021      EUR    72.560
Bank Julius Baer & Co Ltd8.150    5/26/2020     EUR    52.250
Landesbank Hessen-Thuerin4.350    2/24/2023     EUR    36.230
Landesbank Baden-Wuerttem3.200    2/26/2021     EUR    63.820
Vontobel Financial Produc9.000    3/27/2020     EUR    61.520
DekaBank Deutsche Girozen5.000    7/31/2020     EUR    41.690
Vontobel Financial Produc18.000   6/26/2020     EUR    70.250
UniCredit Bank AG        4.500    1/18/2022     EUR    68.670
HSBC Trinkaus & Burkhardt9.100    2/28/2020     EUR    36.970
HSBC Trinkaus & Burkhardt9.800    6/26/2020     EUR    70.060
UniCredit Bank AG        4.450    10/30/2020    EUR    69.870
HSBC Trinkaus & Burkhardt13.100   3/27/2020     EUR    33.580
HSBC Trinkaus & Burkhardt12.600   6/26/2020     EUR    36.120
UniCredit Bank AG        3.450    4/30/2020     EUR    70.950
Citigroup Global Markets 12.379   11/13/2023    SEK    60.610
Landesbank Baden-Wuerttem3.000    2/26/2021     EUR    69.000
Landesbank Baden-Wuerttem3.800    2/26/2021     EUR    58.560
Landesbank Hessen-Thuerin3.000    7/29/2020     EUR    69.200
DekaBank Deutsche Girozen6.050    7/31/2020     EUR    53.280
UBS AG/London            11.090   4/8/2020      USD     5.406
Landesbank Baden-Wuerttem4.350    7/24/2020     EUR    46.190
UniCredit Bank AG        3.500    2/13/2023     EUR    70.460
HSBC Trinkaus & Burkhardt7.900    3/27/2020     EUR    38.580
UBS AG/London            8.500    6/22/2020     EUR    42.550
Raiffeisen Schweiz Genoss6.400    4/8/2020      CHF    66.190
HSBC Trinkaus & Burkhardt8.200    3/27/2020     EUR    73.450
United Confectioners Fina8.000    4/3/2023      RUB    100.23
Business-Consulting OAO  8.500    3/26/2020     RUB    100.00
Vontobel Financial Produc10.500   3/27/2020     EUR    73.120
Vontobel Financial Produc9.500    2/28/2020     EUR    64.770
Vontobel Financial Produc13.000   2/28/2020     EUR    68.240
Deutsche Bank AG         7.400    3/24/2020     EUR    69.870
Societe Generale Effekten10.365   3/20/2020     EUR    63.480
Leonteq Securities AG/Gue13.000   8/4/2020      CHF    32.870
Societe Generale Effekten9.245    3/20/2020     EUR    74.400
Societe Generale Effekten14.287   3/20/2020     EUR    67.040
Societe Generale Effekten10.925   3/20/2020     EUR    41.070
Societe Generale Effekten11.986   6/19/2020     EUR    46.040
Societe Generale Effekten7.003    3/20/2020     EUR    65.330
Societe Generale Effekten19.890   3/20/2020     EUR    49.490
Societe Generale Effekten22.411   3/20/2020     EUR    67.770
Societe Generale Effekten9.247    6/19/2020     EUR    76.300
Vontobel Financial Produc5.000    3/20/2020     EUR    69.940
UniCredit Bank AG        3.750    1/18/2022     EUR    74.030
Lehman Brothers Treasury 2.300    6/6/2013      USD     2.571
Lehman Brothers Treasury 7.500    5/30/2010     AUD     2.571
Lehman Brothers Treasury 7.250    7/8/2014      EUR     2.571
Lehman Brothers Treasury 14.100   11/12/2008    USD     2.571
Lehman Brothers Treasury 16.800   8/21/2009     USD     2.571
Lehman Brothers Treasury 13.432   1/8/2009      ILS     2.571
Lehman Brothers Treasury 3.100    6/4/2010      USD     2.571
Lehman Brothers Treasury 11.000   7/4/2011      USD     2.571
Lehman Brothers Treasury 10.000   6/17/2009     USD     2.571
Lehman Brothers Treasury 16.000   12/26/2008    USD     2.571
Lehman Brothers Treasury 12.000   7/4/2011      EUR     2.571
Lehman Brothers Treasury 0.500    6/2/2020      EUR     2.571
Lehman Brothers Treasury 7.600    5/21/2013     USD     2.571
Lehman Brothers Treasury 6.000    3/4/2015      USD     2.571
Lehman Brothers Treasury 11.000   7/4/2011      CHF     2.571
Lehman Brothers Treasury 7.750    1/3/2012      AUD     2.571
Lehman Brothers Treasury 0.500    8/1/2020      EUR     2.571
Lehman Brothers Treasury 6.000    8/7/2013      EUR     2.571
Lehman Brothers Treasury 4.000    4/24/2009     USD     2.571
Lehman Brothers Treasury 10.500   8/9/2010      EUR     2.571
Lehman Brothers Treasury 7.000    11/28/2008    CHF     2.571
Lehman Brothers Treasury 3.850    4/24/2009     USD     2.571
Lehman Brothers Treasury 7.585    11/22/2009    MXN     3.750
Lehman Brothers Treasury 8.280    3/26/2009     USD     2.571
Lehman Brothers Treasury 11.000   12/19/2011    USD     2.571
Lehman Brothers Treasury 4.000    10/12/2010    USD     2.571
Lehman Brothers Treasury 8.000    10/23/2008    USD     2.571
Lehman Brothers Treasury 3.400    9/21/2009     HKD     2.571
Lehman Brothers Treasury 13.000   7/25/2012     EUR     2.571
Lehman Brothers Treasury 1.500    10/12/2010    EUR     2.571
Lehman Brothers Treasury 7.000    10/22/2010    EUR     2.571
Lehman Brothers Treasury 5.250    11/21/2009    USD     2.571
SG Issuer SA             2.700    11/28/2034    ZAR    41.019
Lehman Brothers Treasury 2.500    8/23/2012     GBP     2.571
Lehman Brothers Treasury 3.000    8/13/2011     EUR     2.571
Lehman Brothers Treasury 18.250   10/2/2008     USD     2.571
AKB Peresvet ZAO         0.510    6/23/2021     RUB    17.700
Lehman Brothers Treasury 6.000    5/23/2018     CZK     2.571
Lehman Brothers Treasury 3.350    10/13/2016    EUR     2.571
Investtorgstroi OOO      11.000   1/19/2023     RUB    100.00
Lehman Brothers Treasury 5.100    5/8/2017      HKD     3.400
Lehman Brothers Treasury 6.750    4/5/2012      EUR     2.571
Lehman Brothers Treasury 1.680    3/5/2015      EUR     2.571
Lehman Brothers Treasury 4.100    6/10/2014     SGD     3.750
Lehman Brothers Treasury 4.000    5/30/2010     USD     2.571
Lehman Brothers Treasury 4.000    5/17/2010     USD     2.571
Lehman Brothers Treasury 2.480    5/12/2009     USD     2.571
Lehman Brothers Treasury 2.250    5/12/2009     USD     2.571
Lehman Brothers Treasury 4.500    3/6/2013      CHF     2.571
LBI ehf                  6.100    8/25/2011     USD     7.375
Lehman Brothers Treasury 5.500    6/15/2009     CHF     2.571
Lehman Brothers Treasury 11.000   6/29/2009     EUR     2.571
Lehman Brothers Treasury 8.000    8/3/2009      USD     2.571
Lehman Brothers Treasury 2.000    10/28/2010    EUR     2.571
Heta Asset Resolution AG 4.350    12/31/2023    EUR     1.748
Lehman Brothers Treasury 6.850    12/22/2008    EUR     2.571
Lehman Brothers Treasury 7.600    3/26/2009     EUR     2.571
Lehman Brothers Treasury 7.550    12/29/2008    USD     2.571
Lehman Brothers Treasury 2.500    12/15/2011    GBP     2.571
Lehman Brothers Treasury 4.000    11/24/2016    EUR     2.571
Lehman Brothers Treasury 9.000    6/13/2009     USD     2.571
Lehman Brothers Treasury 7.375    9/20/2008     EUR     2.571
Kaupthing ehf            6.125    10/4/2016     USD     0.250
Lehman Brothers Treasury 9.000    3/17/2009     GBP     2.571
Lehman Brothers Treasury 3.860    9/21/2011     SGD     3.750
Lehman Brothers Treasury 0.250    7/21/2014     EUR     2.571
Samaratransneft-Terminal 17.000   6/20/2021     RUB    10.200
BNP Paribas SA           0.500    11/16/2032    MXN    35.855
Lehman Brothers Treasury 6.000    10/24/2008    EUR     2.571
Lehman Brothers Treasury 4.000    4/13/2011     CHF     2.571
Lehman Brothers Treasury 8.000    5/22/2009     USD     2.571
Lehman Brothers Treasury 7.500    10/24/2008    USD     2.571
Lehman Brothers Treasury 7.000    4/14/2009     EUR     2.571
Lehman Brothers Treasury 5.750    6/15/2009     CHF     2.571
Lehman Brothers Treasury 5.000    10/24/2008    CHF     2.571
Lehman Brothers Treasury 4.300    6/4/2012      USD     2.571
Lehman Brothers Treasury 4.000    6/5/2011      USD     2.571
Lehman Brothers Treasury 1.460    2/19/2012     JPY     3.750
Deutsche Bank AG/London  0.500    4/5/2038      MXN    20.827
Lehman Brothers Treasury 11.250   12/31/2008    USD     2.571
KPNQwest NV              8.875    2/1/2008      EUR     0.634
Lehman Brothers Treasury 8.050    12/20/2010    HKD     2.571
Lehman Brothers Treasury 13.000   12/14/2012    USD     2.571
Kaupthing ehf            9.750    9/10/2015     USD     0.250
Lehman Brothers Treasury 3.000    9/12/2036     JPY     3.750
Lehman Brothers Treasury 6.700    4/21/2011     USD     2.571
Lehman Brothers Treasury 8.000    12/31/2010    USD     2.571
Lehman Brothers Treasury 0.500    12/20/2017    USD     2.571
Lehman Brothers Treasury 0.500    12/20/2017    AUD     2.571
Lehman Brothers Treasury 0.500    12/20/2017    USD     2.571
Lehman Brothers Treasury 9.300    12/21/2010    EUR     2.571
Lehman Brothers Treasury 4.000    3/10/2011     EUR     2.571
Lehman Brothers Treasury 8.000    3/21/2018     USD     2.571
Lehman Brothers Treasury 5.375    2/4/2014      USD     2.571
Lehman Brothers Treasury 11.000   2/16/2009     CHF     2.571
Lehman Brothers Treasury 10.000   2/16/2009     CHF     2.571
Lehman Brothers Treasury 7.000    2/15/2010     CHF     2.571
Lehman Brothers Treasury 6.300    12/21/2018    USD     2.571
Societe Generale SA      0.500    4/4/2024      MXN    74.504
Lehman Brothers Treasury 11.000   12/20/2017    AUD     2.571
Lehman Brothers Treasury 6.000    3/17/2011     EUR     2.571
Lehman Brothers Treasury 4.500    12/30/2010    USD     2.571
Lehman Brothers Treasury 6.000    12/6/2016     USD     2.571
Lehman Brothers Treasury 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 * * *