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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, October 12, 2020, Vol. 21, No. 204

                           Headlines



F R A N C E

NEMERA: S&P Lowers ICR to 'B-', Alters Outlook to Stable
RUBIS TERMINAL: Moody's Affirms Ba3 CFR, Outlook Stable


G E R M A N Y

E-MAC DE 2005-I: Fitch Affirms 'CCsf' Rating on 2 Tranches


I R E L A N D

ARBOUR CLO V: Moody's Confirms B2 Rating on Class F Notes
CIMPRESS PLC: S&P Alters Outlook to Positive & Affirms 'B+' ICR
CVC CORDATUS VII: Moody's Confirms B2 Rating on Class F-R Notes
CVC CORDATUS VIII: Moody's Confirms B2 Rating on Class F Notes
CVC CORDATUS XI: Moody's Confirms B2 Rating on Class F Notes

E-MAC PROGRAM 2008-IV: Fitch Affirms B+sf Rating on Class D Debt
HALCYON LOAN 2014: Moody's Confirms B2 Rating on Class F-R Notes
JUBILEE CLO 2016-XVII: Moody's Confirms B2 Rating on Class F Notes
MAXIMUM MEDIA: High Court Approves Survival Scheme
[*] IRELAND: 3,000 Firms May Collapse Under Level 5 Covid Plan



I T A L Y

EMERALD ITALY 2019: DBRS Lowers Class D Notes Rating to B(low)
NEXI SPA: S&P Places BB- ICR on Watch Pos. on Potential SIA Merger
SIENA NPL 2018: DBRS Cuts Issuer Rating to BB (high), Trend Neg.


N E T H E R L A N D S

DOMI BV 2020-2 : Moody's Confirms (P)Ba1 Rating on Class E Notes
MAXEDA DIY: Fitch Assigns 'B' LongTerm IDR, Outlook Stable
OZLME BV: Moody's Confirms B2 Rating on EUR12MM Class F Notes


P O L A N D

GETIN NOBLE: Fitch Affirms CCC+ IDR on Capital Requirement Breach


S P A I N

ALHAMBRA SME 2019-1: DBRS Lowers Class C Notes Rating to B(low)
AUTO ABS SPANISH 2020-1: DBRS Confirms B(high) on Series E Notes
IM CAJA LABORAL 2: Fitch Affirms 'CCC' Rating on Class E Notes
IM CAJAMAR 1: DBRS Hikes Class B Notes Rating to BB(low)
RMBS SANTANDER 1: DBRS Confirms C Rating on Series C Notes



T U R K E Y

TURK KATILIM: Fitch Affirms B+ LongTerm IDR, Outlook Negative
TURKIYE FINANS: Fitch Affirms B+ LongTerm IDR, Outlook Negative
VAKIF KATILIM: Fitch Affirms 'B' LongTerm IDR, Outlook Negative


U N I T E D   K I N G D O M

BRITISH AIRWAYS: Fitch Lowers LT IDR to BB, Outlook Negative
INTU GROUP: Debenture PLC Takes Over Soar in Braehead Complex
LIVEWIRE: Averts Administration Following Cash Injection
NEWDAY PARTNERSHIP 2017-1: Fitch Affirms B+ Rating on Class F Debt
NEWGATE FUNDING 2007-1: Fitch Affirms BB-sf Rating on Cl. F Notes

PEACOCKS: Plans to Appoint Administrators, 21,000 Jobs at Risk
TRAFFORD CENTRE: Fitch Corrects Oct. 5 Ratings Release
TURBO FINANCE 9: Moody's Rates GBP23.4MM Class X Notes 'Ba3'
TURBO FINANCE 9: S&P Assigns B- Rating on Class X Notes
UNIVERSAL RECYCLING: Remet Buys Business Out of Administration



X X X X X X X X

[*] BOND PRICING: For the Week October 5 to October 9, 2020

                           - - - - -


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F R A N C E
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NEMERA: S&P Lowers ICR to 'B-', Alters Outlook to Stable
--------------------------------------------------------
S&P Global Ratings lowered its long-term issuer credit rating on
Nemera's parent company, Financiere N, to 'B-' from 'B', and
revised its outlook to stable from negative. S&P also lowered its
issue-level ratings on its senior secured first-lien term loan and
revolving credit facility (RCF) to 'B-' from 'B'. The recovery
ratings on the debt facilities are unchanged at '3', although S&P
now sees lower recovery prospects of 50% (60% previously) due to
higher priority ranking liabilities.

S&P said, "The stable outlook indicates that Nemera should remain
resilient and benefit from improving profitability, such that it is
able to reduce leverage to about 8x by the end of FY2021.

France-based medical devices manufacturer Nemera is acquiring an
Eastern Europe-based medical devices company, using a EUR30 million
add-on to its existing term loans. It is also increasing its use of
factoring facilities, which will likely reach EUR50 million by
end-2020, and could grow to about EUR58 million by end-2021.

As a result, elevated debt levels delay previously forecast
deleveraging to close to 7.0x by the end of fiscal year (FY) ending
Dec. 31, 2021. This is despite resilient EBITDA showing minimal
COVID-19-related impact, and good progress in organizational
improvements since 2019.

"We expect debt to remain elevated until FY2022, with
neutral-to-negative FOCF generation until end-FY2021, excluding the
increased use of factoring facilities.   Nemera's proposed
debt-funded acquisition of an Eastern Europe-based medical devices
company, combined with its increasing use of factoring facilities
(EUR38 million of receivables as of July 31, 2020), will delay the
company's progress toward an S&P Global Ratings-adjusted leverage
of close to 7.0x by the end of FY2021--our main condition for the
maintenance of a 'B' rating. This is despite our view that it is on
course to post absolute EBITDA of well above EUR70 million in 2021.
We forecast adjusted leverage of close to 9.4x in 2020, falling to
7.8x-8.0x in FY2021, thanks to a marked reduction in exceptional
costs with the turnaround plan, Project Perfex, on the finishing
line, and assuming minimal integration effort related to the
proposed bolt-on acquisition. The company intends to improve its
working capital profile and pay down the remaining drawdown under
its RCF through increasing its use of factoring facilities, but
this will hinder the deleveraging process, since we include
utilizations of these facilities in our adjusted debt calculation.
Excluding the effect of factoring utilizations, we forecast broadly
neutral FOCF in FY2020 and outflow of up to EUR5 million in FY2021,
in part due to an expansionary capex project at the proposed
acquisition target level.

"In our estimated total adjusted debt at end-2020, we include about
EUR405 million in term loans (including the EUR30 million
acquisition-related incremental add-on), about EUR86 million of
second-lien facility, EUR9 million of RCF drawdowns, EUR15 million
of lease liabilities, and EUR50 million of total factoring
facilities (both recourse and nonrecourse; EUR38 million as of
end-July). We do not deduct cash against debt given the group's
financial sponsor-ownership, its business risk assessment, and the
fact that there is no cash earmarked for debt repayment. We include
approximately EUR7.6 million of forecast exceptional costs in our
EBITDA calculation, mostly related to Project Perfex.

"In relation to Project Perfex, we understand that the external
consultants left the manufacturing sites in first-quarter 2020. The
company has spent some resources bulking up its own lean
manufacturing team to ensure permanent reduction in nonquality
costs. Positively, Nemera exhibited resilience amid the COVID-19
pandemic, and we expect that to remain the case, thanks to the
essential nature of the global pharmaceutical industry and its
uninterrupted medication delivery to those in need. We also
understand that the company has not lost a customer to date despite
the operational issues, which we also view positively."

The lack of near-term refinancing needs leaves plenty of room for
execution of the business plan and deleveraging.   With no
significant maturities until January 2025, Nemera benefits from a
long-dated debt maturity profile, with no near-term refinancing
risks. The company also retains access to about EUR38 million of
committed undrawn RCF (EUR65 million original amount), and has
sufficient headroom under the springing covenant tied to this
facility. S&P believes that its adequate liquidity position,
combined with the overall resilience of the earnings generation
capacity, provides management with space to execute its business
plan.

Ongoing quality control and the increased contribution of Nemera's
own intellectual property (IP) business are key to deleveraging.  
S&P said, "We believe that Nemera's deleveraging prospects are
sound. The company's earnings should benefit from the positive
outsourcing opportunities offered by both branded pharmaceutical
and generics drugs manufacturers. However, maintaining sound
operational control and a decrease in nonquality costs, while
investing in additional production capacity at existing facilities,
will be key. The company intends to maintain its considerable
investment in its own IP business, aiming to increase its share to
36% of total revenue by FY2024 (forecast at 22% in FY2020). We view
the planned acquisition as consistent with this strategy, and
understand that its integration will require minimal effort, and
that Nemera is winning new customers (mostly generics), that are
largely outside its traditional base." It should also support the
growing parenteral segment, while allowing the company to diversify
geographically into some high-growth emerging markets, such as
Eastern Europe, Latin America, and Asia. Nemera, in comparison, has
historically been more focused on Western Europe and the U.S.

S&P said, "Continued increase of the own-IP business' share should
enable operating margins to improve considerably and approach the
20% threshold level, which we see as average for the contract
manufacturing sector. This should lead to permanent improvement in
the free cash flow conversion rate, which is inherently weak, and
enable Nemera to reduce leverage comfortably to below 7.0x, a level
at which refinancing upcoming debt maturities will be easier, in
our view."

Nemera's weak free cash flow conversion is due to the high capital
intensity of the industry. This is because capex is incurred
shortly after a program's contract signing, while the ramp up of
sales typically occurs by the third or fourth year. This makes
operating efficiency an important pillar for the stability of
absolute EBITDA generation.

S&P said, "The stable outlook reflects our view that Nemera should
remain resilient despite the ongoing pandemic, and that its
profitability should improve thanks to lower exceptional costs and
the growing share of the higher-margin own-IP business. We
anticipate that the group will be able to reduce leverage to about
8.0x on an adjusted basis by the end of FY2021, and maintain EBITDA
interest coverage of about 2.5x. This should be supported by modest
positive FOCF thanks to increased factoring utilizations.

"Any downside would be primarily linked to a deterioration in
Nemera's liquidity position or a covenant breach. We could also
lower the ratings if Nemera's operating performance deviated from
our base case, most likely stemming from the high cost of
nonquality and potential inability to deliver under its contracts
with customers, such that we deemed the capital structure to be
unsustainable.

"We could upgrade the ratings on Nemera if, contrary to our base
case, the company posted strong profitable growth, likely stemming
from an acceleration in the share growth of its own-IP business.
Under such a scenario we would likely observe EBITDA approaching
EUR85 million, which should enable it reduce leverage to below 7.0x
and generate sustainably recurrent positive FOCF (after growth
capex). This should provide Nemera with some cushion in the event
of unexpected operational issues."


RUBIS TERMINAL: Moody's Affirms Ba3 CFR, Outlook Stable
-------------------------------------------------------
Moody's Investors Service affirmed the Ba3 corporate family rating
(CFR) and the Ba3-PD probability of default rating (PDR) of Rubis
Terminal Infra ('Rubis T' or the company). Concurrently, Moody's
affirmed the B1 instrument ratings on the company's EUR560 million
senior secured notes maturing in 2025; which the company envisages
to increase by EUR150 million from the current EUR410 million to
finance the acquisition of Terminales Portuarias, S.L. (TEPSA).

The outlook on all ratings remains stable.

RATINGS RATIONALE

On July 21, 2020 the company announced [1] the acquisition of
TEPSA, a Spanish bulk liquid storage operator with a
company-adjusted EBITDA of around EUR28 million in the last 12
months (LTM) ended on June 30, 2020. To finance the acquisition,
Rubis T will tap its current senior secured notes by EUR150 million
and receive a significant equity contribution as well as a
shareholder loan of EUR25 million. As a result of the deal, the pro
forma Moody's-adjusted gross leverage will increase to around 6.4x
LTM June 2020 and will only reduce towards below 6.0x over the next
18 months, a year later than what Fitch had incorporated in the
initial rating assignment. This delay in deleveraging places the
company weakly in its rating category, and whilst improving
moderately the scale and diversity of the business, leaves little
room for underperformance or further debt-financed acquisitions. At
the same time, the company will increase the availability under its
fully undrawn EUR75 million revolving credit facility (RCF) to
EUR90 million and hereby strengthen its liquidity.

The rating affirmation also considers the company's (1) increased
scale of operations following the announced acquisition of TEPSA,
which will add around 25% of the new capacity and around 30% of
EBITDA (based on LTM June 2020 company-adjusted numbers); (2)
improved geographic diversification, as the company enters the
Spanish market; (3) increased share of chemicals (36% of the pro
forma 2019 revenue of the combined company versus 30% of Rubis T's
standalone 2019 storage revenue), which tend to have higher
operating margins and experience structural growth dynamics.

Moody's positively notes that around 55% of the acquisition price
will be financed by equity provided by the shareholders. The
affirmation is also based on relatively stable performance in 1H
2020, as the contango of oil prices led to better demand for
storage while offsetting lower throughput volumes in Corsica caused
by the Covid-19 crisis. The company's flexibility to reduce its
growth capital spending if needed also supports the rating
affirmation. However, Moody's notes the risk that storage rents
and, to a smaller degree, volumes could come under pressure, when
its contracts come due in case of a more prolonged and severe
recession caused by Covid-19 than currently anticipated.

More negatively, Moody's notes that the company's deleveraging to
below 6.0x will take longer than anticipated when assigning the
rating. Thus, Moody's-adjusted gross leverage, which incorporates
the additional lease liabilities of EUR58 million assumed from
TEPSA, will only be reduced towards 6.0x over the next 18-24
months. Moreover, the integration process of the new asset
potentially takes longer than anticipated and result in additional
costs. At the same time Moody's highlights the repricing risk of
the contracts in Spain, which seem to have shorter tenor than the
existing contract portfolio (for the existing locations around 60%
-70% of the contracted capacity is based on three or more year
tenor where the company has an established track-record of
successfully renewing contacts when coming due), partially offset
by the strong integration of TEPSA's tanks into its customer
infrastructure and limited competition in many of its ports.

Following the acquisition, the company, albeit increasing its
storage revenues by around 30% remains of moderate scale compared
to its global peers, although with an entrenched position
especially in France and Northern Spain. The rating is also
constrained by a limited free cash flow (FCF) generation in the
next 12-18 months due to a sizeable expansion plan, mainly in
France and the ARA (Amsterdam-Rotterdam-Antwerp) region. The
current assessment also takes into consideration the company's
relatively volatile results which is due to the speculative nature
of the storage facility in Turkey.

LIQUIDITY

Rubis T's liquidity is good, as the company is able to cover easily
all basic cash obligations, including maintenance capital spending
and upcoming debt maturities in the next 12-18 months. As of June
30 2020, Rubis T, had EUR34 million cash on its standalone balance.
Fitch expects the company to have a moderately positive free cash
flow in the next 12-18 months mainly due to the ongoing expansion
programme. The company will also have access to an increased EUR90
million committed revolving credit facility available, which the
company at times plans to use for its expansion programme. The
facility contains a springing net leverage covenant, which will be
only tested when the facility is more than 40% drawn. Even though
Fitch does not expect Rubis T to draw more than 40%, there is
currently ample headroom under the covenant.

STRUCTURAL CONSIDERATIONS

The rating of the EUR560 million senior secured notes at B1, which
are envisaged to be increased from the current EUR410 million, one
notch below the CFR of Ba3 is primarily driven by the relatively
sizable amount of debt ranking ahead of the notes contractually
and/or structurally and hence likely to receive an above-average
recovery in a default scenario. These instruments include the EUR75
million super senior RCF, which will be increased to EUR90 million,
as well as a number of bank loans at operating subsidiaries
including: EUR74 million drawn under the ABN AMRO Credit Facility
for the terminal in Rotterdam, EUR18 million in the Turkish
terminal, EUR19 million in the Antwerp subsidiary and about EUR10
million in various French subsidiaries. In addition, the security
package of the bond is relatively weak consisting of share pledges
of the guarantor group representing a minimum of 75% of the group's
EBITDA and pledges on holding and intercompany bank accounts.

ESG CONSIDERATIONS

Rubis T stores hazardous liquids, including petroleum and chemical
products, as well as agri-food products including biofuels,
molasses and edible oils. Its facilities in Europe are therefore
subject to stringent regulations. Storage operations do not involve
any industrial processing, that is why air discharges and energy
consumption are limited. Overall, the company works on reducing its
carbon footprint, as per the company's statement, they have already
achieved zero CO2 emissions in its Rotterdam terminal. The
transition to low-carbon energy will lead to a decline in demand
for fossil fuels in the coming decades, which will create risks for
the company in a medium-to-long term, given its current exposure to
hydrocarbon storage (about 50% of the storage revenue going
forward).

OUTLOOK

The stable outlook is based on its assumption that the company will
be able to restore its leverage to below 6.0x over the next 18-24
months, although taking more time than anticipated when the rating
was assigned. This delay in deleveraging is due to the partially
debt-financed acquisition and somewhat softer than expected EBITDA
growth in 2020. The stable outlook is also supported by a good
liquidity position, underpinned by a moderate FCF generation and an
increased fully available EUR90 million RCF.

FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

Moody's could consider to upgrade Rubis T's ratings if adjusted
debt/EBITDA declines to or below 5.0x on a sustainable basis, while
maintaining a good liquidity position. Upward pressure could also
develop in case the company materially increases its size, while
maintaining its storage segment EBITDA margins in fifties %.

The ratings could be downgraded if Rubis T's Moody's adjusted
debt/EBITDA is not restored to below 6.0x and/or EBITDA/Interest
Expense declines to below 3.0 in the next 18 - 24 months. Weakened
liquidity and materially lower headroom under the financial
covenants could also exert negative pressure on the rating.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Midstream
Energy published in December 2018.

COMPANY PROFILE

Rubis T is one of the leading independent terminal operators in
Europe with 13 facilities and capacity of 3.7 million m3 across
four countries (France, Netherlands, Belgium and Turkey). On July
21, 2020 Rubis T announced the acquisition of TEPSA, a Spanish bulk
liquid storage operator. With this acquisition, Rubis T became the
operator of four additional terminals located in Spain with 912
thousand m3 of storage capacity specialized in chemical, biofuel
and petroleum products.

Rubis T's core activity is to provide storage for wide and
diversified range of liquid products including refined products
such as diesel and gasoline, chemical products, fertilizers and
biofuels, but it also provides additional value-added services such
as blending and coloring. The company also owns a wholesale
distribution business in France that represented around half of its
group revenues, but just 1% of its reported EBITDA in 2019. Rubis T
is jointly owned by I Squared Capital (45%) and Rubis SCA (55%) a
listed company in France.




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G E R M A N Y
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E-MAC DE 2005-I: Fitch Affirms 'CCsf' Rating on 2 Tranches
----------------------------------------------------------
Fitch Ratings has upgraded E-MAC DE 2005-I's and E-MAC DE 2006-II's
class B notes and affirmed the other classes.

RATING ACTIONS

E-MAC DE 2006-I B.V

Class B XS0257590876; LT Asf Affirmed; previously Asf

Class C XS0257591338; LT CCCsf Affirmed; previously CCCsf

Class D XS0257592062; LT CCsf Affirmed; previously CCsf

Class E XS0257592575; LT CCsf Affirmed; previously CCsf

E-MAC DE 2005-I B.V.

Class B XS0221901050; LT AAAsf Upgrade; previously A+sf

Class C XS0221902538; LT BBsf Affirmed; previously BBsf

Class D XS0221903429; LT CCCsf Affirmed; previously CCCsf

Class E XS0221904237; LT CCsf Affirmed; previously CCsf

E-MAC DE 2006-II B.V.

Class B XS0276933859; LT AAAsf Upgrade; previously AA+sf

Class C XS0276934667; LT BB-sf Affirmed; previously BB-sf

Class D XS0276935045; LT CCsf Affirmed; previously CCsf

Class E XS0276936019; LT CCsf Affirmed; previously CCsf

TRANSACTION SUMMARY

The transactions are true-sale securitisations of German
residential mortgage loans originated by GMAC-RFC Bank GmbH. Adaxio
AMC GmbH is the transaction's current servicer and the successor to
GMAC-RFC Bank GmbH.

KEY RATING DRIVERS

Unsecured Recoveries Cover High Costs

The upgrade reflects its view that the transactions have sufficient
liquidity to cover expenses. The available interest funds contain a
significant amount of unsecured recoveries. These recoveries help
to cover the high fees and expenses in the interest waterfall.

The further development of senior fees and expenses relative to
available interest funds and most importantly post-foreclosure
proceeds is crucial for ultimate interest payments on mezzanine
notes. At some point the transactions may need to rely on the
liquidity facility to cover costs and interest. If these are
depleted before the notes are repaid, interest may remain unpaid at
the maturity date of the notes. With the repayment of the class A
notes and further amortisation of the class B notes the liquidity
facility is sufficiently likely to cover senior expenses and class
B notes' interest.

While the swaps will provide some support to cover rising (in
relative terms) transaction costs, Fitch is limiting this effect by
assuming a minimum swap rate of -1%. This means excess spread can
fall below its guaranteed level in its analysis even at the reset
date. This also addresses the risk of excessive dependence on the
swap counterparties.

Fitch assumed fees of EUR300,000 plus 0.5% of the collateral
balance annually, well above the typical fees in RMBS. These fees
are lower than the actual fees in more recent payment periods. In
return Fitch does not consider recoveries after the sale of the
property as available interest funds in its modelling. Part of the
fees are success remuneration for post-foreclosure proceeds.

The transactions feature separate waterfalls with no principal
borrowing to cover fees and expenses or note interest.

2005-I's class C, 2006-I's class B and 2006-II's class C were not
upgraded to their model-implied ratings as asset deterioration
might impact the available interest funds and the liquidity
facility might not be sufficient to cover the fees and notes'
interest until the notes are repaid.

Increased Credit Enhancement

The transactions are amortising sequentially and Fitch does not
expect a switch to pro-rata given the severe trigger breaches about
the principal deficiency ledger (PDL), arrears and reserve fund.
The class A notes were repaid in full for 2006-I and 2006-II in
August 2020, while 2005-I's class A notes were repaid in 2018.
Relative credit enhancement for mezzanine notes has been further
increasing since its previous rating review in 2019. Principal
losses for the class B and C (2005-I); B (2006-I); and B and C
(2006-II) notes are becoming less of a risk. Instead ratings are
dominated more by risks to the coverage of expenses and note
interest as outlined.

Swaps Can Support Transactions

Loans are mainly fixed-rate with some floating-rate loans in the
pools. The fixed-rate portion of the portfolio is swapped with a
fixed swap rate to be paid by the SPV in exchange for 3m Euribor.
Payments on both legs are made on the asset balance including
delinquent loans. Loans are excluded from the balance after
property sale.

On the loan reset dates the issuer will renew the swap agreement in
respect of all loans that are resetting on that date. The new swap
rate ensures, on the relevant day only, a minimum excess margin of
20bp after senior expenses and note interest for rated notes.

Fitch has reflected this feature in its analysis allowing the swap
cost to adjust to provide 20bp of excess spread. Fitch assumed the
share of fixed- and floating-rate loans to remain unchanged. This
is deemed to be a reasonable assumption given the stable share
since the time when most loans reached their first reset date. Only
2005-I saw the floating-rate bucket increase to 29% from 19% last
year. Fitch tested results at a 20% floating-rate bucket, in line
with previous years', which resulted in lower model-implied ratings
than a 29% floating-rate bucket. Fitch has thus not upgraded the
class C notes.

Junior Notes Under-collateralised

As a result of large losses to date, the class D and E notes of
2005-I; C, D, and E notes of 2006-I; and D and E notes of 2006-II
are no longer fully backed by performing assets. Ratings were
affirmed at 'CCCsf' and below to reflect the high likelihood of
principal losses.

Origination Practice leads to Weak Asset Performance

Origination practices of GMAC RFC were not in line with a typical
German mortgage originator. Fitch has applied a 2x originator
adjustment to the transactions. In addition, all property values
were reduced by 50% to align calculated recovery rates with
recoveries observed, which constitutes a criteria variation.

The 90+day arrears for E-MAC DE 2005-I, 2006-I and 2006-II were at
12.9%, 17.5% and 14.3% as of August 2020, respectively, while
cumulative realised losses were between 7% to 12% of the closing
balance including prefunding. Fitch reflects historical performance
data in its analysis by using a performance adjustment factor.
Reported losses were converted to defaults assuming a recovery rate
of 50%.

Coronavirus Base-line Scenario

Fitch has identified additional stress scenarios to be applied in
conjunction with its European RMBS Rating Criteria in response to
the coronavirus outbreak (see: EMEA RMBS: Criteria Assumptions
Updated due to Impact of the Coronavirus Pandemic). The agency
considered these additional stresses for the rating analysis.

Fitch has not made any adjustments for payment holidays as take-up
was limited in Germany. Arrears for the E-MAC transactions are high
relative to other German RMBS due to poor performance and
amortisation of the pool. Fitch has not assumed additional arrears
due to the already high level. The coronavirus base-line scenario
has limited impact as the ratings are rather driven by availability
of liquidity for interest payments.

An ESG score of '4' was assigned to reflect Transaction &
Operational Risk. The score is due to weaker underwriting standards
applied by the originator that have manifested in
weaker-than-market performance of the asset portfolio. This was
reflected in originator adjustments to the foreclosure frequency,
and Fitch-applied 2x originator adjustment to the foreclosure
frequency. This has a negative impact on the credit profile, and is
relevant to the ratings in conjunction with other factors.

RATING SENSITIVITIES

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

Repayment of senior and mezzanine notes is highly sensitive to the
transaction's income versus costs. Lower-than-anticipated fees and
expenses, higher income from the asset portfolio or lower swap
costs could result in an upgrade of the notes. This affects
primarily the class B and C (2005-I); B (2006-I); and B and C
(2006-II) notes.

The ratings of junior notes rated 'CCCsf' and lower are sensitive
to higher property values realised from foreclosures or increasing
excess spread. This would limit further PDL entries and could
reduce the existing balances.

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

Higher fees, expenses and swap costs or lower income from the asset
portfolio could result in a downgrade of the notes.

Coronavirus Downside Scenario Sensitivity:

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases", Fitch considers a more severe downside coronavirus
scenario for sensitivity purposes whereby a more severe and
prolonged period of stress is assumed with a halting recovery from
2Q21. Under this scenario, Fitch's analysis uses a 15% weighted
average foreclosure frequency increase and a 15% decrease in the
weighted average recovery rate. This scenario would not lead to a
downgrade of the notes.

CRITERIA VARIATION

As a variation from criteria Fitch applies haircuts of 50% for each
property value. This variation aligns the calculated weighted
average recovery rates with recoveries observed. The application of
the variation resulted in ratings being lower than the
model-implied ratings without variation by seven notches for E-MAC
DE 2005-I's class C, three notches for E-MAC DE 2006-I's class B
and nine notches for E-MAC DE 2006-II's class C.

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.

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

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

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

E-MAC DE 2005-I B.V., E-MAC DE 2006-I B.V and E-MAC DE 2006-II B.V.
each has an ESG Relevance Score of '4' for Transaction Parties &
Operational Risk.

Except for the matters discussed, the highest level of ESG credit
relevance, if present, is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the entities,
either due to their nature or the way in which they are being
managed by the entities.




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

ARBOUR CLO V: Moody's Confirms B2 Rating on Class F Notes
---------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Arbour CLO V Designated Activity Company:

EUR21,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR23,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR12,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at B2 (sf); previously on Jun 3, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR248,000,000 Class A Senior Secured Floating Rate Notes due 2031,
Affirmed Aaa (sf); previously on Aug 3, 2018 Definitive Rating
Assigned Aaa (sf)

EUR20,000,000 Class B-1 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Aug 3, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR22,000,000 Class B-2 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Aug 3, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR26,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031, Affirmed A2 (sf); previously on Aug 3, 2018 Definitive
Rating Assigned A2 (sf)

Arbour CLO V Designated Activity Company, issued in August 2018 is
a collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Oaktree Capital Management (UK) LLP. The transaction's
reinvestment period will end in March 2023.

The action concludes the rating review on the Class D, E and F
notes initiated on June 03, 2020.

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and rating
affirmations on the Class A, B-1, B-2 and C notes reflect the
expected losses of the notes continuing to remain consistent with
their current ratings despite the risks posed by credit
deterioration, which have been primarily prompted by economic
shocks stemming from the coronavirus outbreak. Moody's analysed the
CLO's latest portfolio and took into account the recent trading
activities as well as the full set of structural features.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF) and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report of August 2020 [1], the WARF
was 3323 compared to a value of 2920 in February 2020 [2].
Securities with ratings of Caa1 or lower currently make up
approximately 8.5% of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the August trustee report [1], the Class
A/B, Class C, Class D, Class E and Class F OC ratios are reported
at 137.72%, 126.39%, 118.51%, 110.94% and 107.36% compared to
February 2020 [2] levels of 138.10%, 126.74%, 118.84%, 111.25% and
107.66% respectively. Moody's notes [1] that none of the OC tests
are currently in breach and the transaction remains in compliance
with the following collateral quality tests: Diversity Score,
Weighted Average Recovery Rate (WARR), Weighted Average Spread
(WAS) and Weighted Average Life (WAL).

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR 400.7 million,
a defaulted par balance of EUR 1.0 million, a weighted average
default probability of 28.0635% (consistent with a WARF of 3320
over a weighted average life of 6.18 years), a weighted average
recovery rate upon default of 44.34% for a Aaa liability target
rating, a diversity score of 55 and a weighted average spread of
3.54%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure, and some improvement in WARF
as the global economy gradually recovers in the second half of the
year and future corporate credit conditions generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Fitch regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank providers, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance" published in June 2020. Moody's concluded the
ratings of the notes are not constrained by these risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by (1) the manager's investment strategy and behaviour;
(2) divergence in the legal interpretation of CDO documentation by
different transactional parties because of embedded ambiguities;
and (3) the additional expected loss associated with hedging
agreements in this transaction which may also impact the ratings
negatively.

Additional uncertainty about performance is due to the following:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


CIMPRESS PLC: S&P Alters Outlook to Positive & Affirms 'B+' ICR
---------------------------------------------------------------
S&P Global Ratings affirmed its 'B+' issuer credit rating on
Ireland-based print marketing and consumer products company
Cimpress plc and revised the outlook to positive from negative.

The positive outlook reflects S&P's view that Cimpress' operating
performance could materially recover in fiscal 2021 from the
pandemic-fueled operating trough in its fourth quarter of fiscal
2020, and leverage could return to below 4.5x by the end of the
fiscal year.

Cimpress plc's bookings have rebounded faster than expected after a
steep decline in the early months of the coronavirus pandemic, and
we believe adjusted EBITDA could grow to over $400 million in
fiscal 2021.

The COVID-19 outbreak and related restrictions affected the
company's key customer base of micro and small businesses and led
to bookings declining over 60% in late March and early April. As of
the end of July, bookings had improved significantly and were down
less than 10% compared with the previous year due to the gradual
easing of stay-at-home orders, an acceleration in the shift to
online orders and e-commerce from brick and mortar stores, and new
product offerings like protective shields and facemasks. While S&P
expects Cimpress' bookings and total revenue will remain below
pre-pandemic levels until an effective vaccine is widely
distributed, the resilience of the business, and its Vistaprint
brand in particular, combined with more efficient advertising
spending and other cost-saving initiatives could result in adjusted
EBITDA improving to over $400 million in fiscal 2021 from $359
million in fiscal 2020. Cimpress has publicly stated that if
current trends persist, it believes fiscal 2021's EBITDA could be
in line with the $471 million of EBITDA it reported for the 12
months ended Dec. 31, 2019 (About $420 million after S&P Global
Ratings adjustments).

Adjusted leverage could improve to about 4x in fiscal 2021 from
4.6x at the end of fiscal 2020.

S&P said, "We expect leverage will remain in the mid- to high-4x
area through the first three quarters of fiscal 2021 and could
improve to about 4x once the company cycles past the weak results
of its fourth quarter of fiscal 2020. We believe Cimpress' ability
to improve and maintain leverage in the 4x area or lower depends on
both its EBITDA growth and to what extent it uses its cash flow,
revolving credit facility, and incremental debt to fund
investments, acquisitions, and share repurchases.

"We expect Cimpress' financial policy will moderate over the next
12-18 months, but could become more aggressive thereafter."

In February 2020, before the operational challenges presented by
the pandemic, the company announced a commitment to not
intentionally exceed covenant-calculated total leverage of 3.5x
from organic investments and share repurchases, which roughly
translates to the 4.25x-4.5x range as per our leverage calculation.
S&P said, "If Cimpress' EBITDA returns to pre-pandemic levels in
fiscal 2021, its leverage will likely return to the 4x area or
lower because we do not expect the company to pursue large
leveraging acquisition opportunities or debt-financed share
repurchases over the next 12-18 months. We expect acquisitions, if
any, will be tuck-in acquisitions like its 99designs Pty Ltd.
acquisition announced on Oct. 5, 2020, and will aim to expand the
company's portfolio of products or optimize its capabilities. As
part of an amendment to waive financial maintenance covenants
through the quarter ending Dec. 31, 2021, Cimpress is prohibited
from share repurchase activity over the waiver period. While the
company has the option to reinstate its covenants before Dec. 31
and resume share repurchases, this would likely indicate that the
company's EBITDA has successfully recovered back to pre-pandemic
levels."

Furthermore, Cimpress has historically been willing to borrow on
its revolver to fund share repurchase activity. In fiscal 2020, the
company spent about $627 million on share repurchases before the
pandemic, which dwarfed its free operating cash flow. This
aggressive spending reduced the company's financial flexibility and
contributed to it having to issue $300 million of high-priced
second-lien debt to make sure it had sufficient liquidity to
withstand a worst-case pandemic scenario. S&P said, "We believe the
company might now be less inclined to pursue an aggressive share
repurchase program when its covenant waiver period ends and it is
able to resume repurchase activity. We expect Cimpress will
generate free operating cash flow of about $160 million-$180
million in fiscal 2021 and $200 million-$225 million in fiscal 2022
and forecast about $100 million of share repurchases in fiscal
2022."

S&P expects Cimpress to show resilience despite significant
competition and manage its business to maximize profitability and
cash flows.

Cimpress competes in a highly fragmented and competitive
print-based marketing and consumer products industry. It benefits
from a highly efficient mass customization at scale platform that
allows it to profitably make to-order price-competitive products on
demand, at small quantities. This unique position in the print
industry has allowed Cimpress to escape the secular pressures of
the commercial printing industry. Competition in the mass
customization and web-to-print market has heated up over the last
few years, and we expect it will persist as the economy rebounds.
S&P said, "We believe this could cause pricing and promotional
pressure on all players to defend their market shares.
Specifically, the company's upload and print business in Europe,
which has seen larger declines than its Vistaprint business through
the recession, will likely continue to face stiff competition. We
expect Cimpress to maintain cost discipline and avoid less
profitable marketing and promotional spending, thereby balancing
growth with the maintenance of margins of about 15%-16%."

The positive outlook reflects S&P's view that Cimpress' operating
performance could materially recover in fiscal 2021 from the
pandemic-driven lows in its fourth quarter of fiscal 2020, and
leverage could return below 4.5x by the end of the fiscal year.

S&P could raise its rating if it expected Cimpress' leverage would
improve and remain comfortably below 4.5x. This could occur if:

-- Cimpress' revenue and EBITDA approached pre-pandemic levels due
to the gradual easing of social distancing restrictions, an
acceleration in the shift to online orders and e-commerce from
brick and mortar stores, and new product offerings.

-- Cimpress did not experience material operational setbacks in
the recovery of its operations due to an increase in coronavirus
cases in key markets.

S&P could revise its outlook to stable if it expected Cimpress'
leverage to remain in the 4.5x-5.25x range. This could occur if:

-- An increase in coronavirus cases in key markets caused
additional social distancing requirements such as shelter in place
or reduced customer spending, resulting in a slower recovery toward
pre-pandemic EBITDA levels.

-- The company made large debt-financed acquisitions or signaled
that it would resume significant debt-financed share repurchases in
fiscal 2022.


CVC CORDATUS VII: Moody's Confirms B2 Rating on Class F-R Notes
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by CVC Cordatus Loan Fund VII Designated Activity
Company:

EUR20,900,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at Baa3 (sf); previously on Jun 3, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

EUR27,500,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at Ba2 (sf); previously on Jun 3, 2020
Ba2 (sf) Placed Under Review for Possible Downgrade

EUR13,200,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at B2 (sf); previously on Jun 3, 2020 B2
(sf) Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR270,600,000 Class A-R Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Sep 14, 2018 Definitive
Rating Assigned Aaa (sf)

EUR26,200,000 Class B-1-R Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Sep 14, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR20,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Sep 14, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR30,800,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Sep 14, 2018
Definitive Rating Assigned A2 (sf)

CVC Cordatus Loan Fund VII Designated Activity Company, issued in
August 2016 and refinanced in September 2018, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured European loans. The portfolio is managed by CVC
Credit Partners Investment Mgmt. Ltd. The transaction's
reinvestment period will end in March 2023.

The action concludes the rating review on the Class D-R, E-R and
F-R notes initiated on June 3, 2020.

RATINGS RATIONALE

The rating confirmations on the Class D-R, E-R and F-R notes and
the rating affirmations on the Class A-R, B-1-R, B-2-R and C-R
notes reflect the expected losses of the notes continuing to remain
consistent with their current ratings despite the risks posed by
credit deterioration. Moody's analysed the CLO's latest portfolio
and took into account the recent trading activities as well as the
full set of structural features.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF) and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated August 2020 [1], the
WARF was 3119, compared to value of 2873 in March 2020 [2].
Securities with ratings of Caa1 or lower currently make up
approximately 5.4% of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of August 2020 [1] the
Class A/B, Class C, Class D, Class E and Class F OC ratios are
reported at 138.0%, 125.7%, 118.6%, 110.4% and 106.8% compared to
March 2020 [2] levels of 138.4%, 126.1%, 119.0%, 110.7% and 107.1%
respectively. Moody's notes that none of the OC tests are currently
in breach and the transaction remains in compliance with the
following collateral quality tests: Diversity Score, Weighted
Average Recovery Rate (WARR), Weighted Average Spread (WAS) and
Weighted Average Life (WAL).

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR 437.3 million
after considering a negative cash exposure of around EUR 6.0
million, a weighted average default probability of 25.5%
(consistent with a WARF of 3109 over a weighted average life of 5.8
years), a weighted average recovery rate upon default of 44.9% for
a Aaa liability target rating, a diversity score of 47 and a
weighted average spread of 3.6%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the global economy gradually recovers
in the second half of the year and future corporate credit
conditions generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Fitch regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank and swap providers,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of uncertainty about credit conditions in the
general economy. In particular, the length and severity of the
economic and credit shock precipitated by the global coronavirus
pandemic will have a significant impact on the performance of the
securities. CLO notes' performance may also be impacted either
positively or negatively by: (1) the manager's investment strategy
and behaviour; and (2) divergence in the legal interpretation of
CDO documentation by different transactional parties because of
embedded ambiguities.

Additional uncertainty about performance is due to the following:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


CVC CORDATUS VIII: Moody's Confirms B2 Rating on Class F Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by CVC Cordatus Loan Fund VIII Designated Activity
Company:

EUR20,800,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR22,200,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR11,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at B2 (sf); previously on Jun 3, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR206,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Oct 1, 2019 Definitive
Rating Assigned Aaa (sf)

EUR30,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aaa (sf); previously on Oct 1, 2019 Definitive Rating
Assigned Aaa (sf)

EUR46,000,000 Class B-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aa2 (sf); previously on Oct 1, 2019 Definitive
Rating Assigned Aa2 (sf)

EUR10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aa2 (sf); previously on Oct 1, 2019 Definitive Rating
Assigned Aa2 (sf)

EUR24,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030, Affirmed A2 (sf); previously on Oct 1, 2019 Definitive
Rating Assigned A2 (sf)

CVC Cordatus Loan Fund VIII Designated Activity Company, issued in
March 2017 and refinanced in October 2019, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured European loans. The portfolio is managed by CVC Credit
Partners European CLO Management LLP ("CVC Credit Partners"). The
transaction's reinvestment period will end in April 2021.

The action concludes the rating review on the Class D, E and F
notes initiated on June 03, 2020 as a result of the deterioration
of the credit quality and/or the reduction of the par amount of the
portfolio following from the coronavirus outbreak.

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and rating
affirmations on the Class A-1, A-2, B-1, B-2 and C notes reflect
the expected losses of the notes continuing to remain consistent
with their current ratings despite the risks posed by credit
deterioration, which have been primarily prompted by economic
shocks stemming from the coronavirus outbreak. Moody's analysed the
CLO's latest portfolio and took into account the recent trading
activities as well as the full set of structural features.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF) and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated August 2020[1], the
WARF was 3098, compared to value of 2875 as per the February
2020[2] report. Securities with ratings of Caa1 or lower currently
make up approximately 6.4% of the underlying portfolio. Moody's
notes that none of the OC tests are currently in breach and the
transaction remains in compliance with the following collateral
quality tests: Diversity Score, Weighted Average Recovery Rate
(WARR), Weighted Average Spread (WAS) and Weighted Average Life
(WAL).

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par of EUR 397.1 million, after considering a negative
cash exposure of around EUR 6.9 million, a weighted average default
probability of 23.4% (consistent with a WARF of 3097 over a
weighted average life of 4.8 years), a weighted average recovery
rate upon default of 45.1% for a Aaa liability target rating, a
diversity score of 48 and a weighted average spread of 3.65%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the global economy gradually recovers
in the second half of the year and future corporate credit
conditions generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Fitch regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance" published in June 2020. Moody's concluded the
ratings of the notes are not constrained by these risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of uncertainty about credit conditions in the
general economy. In particular, the length and severity of the
economic and credit shock precipitated by the global coronavirus
pandemic will have a significant impact on the performance of the
securities. CLO notes' performance may also be impacted either
positively or negatively by: (1) the manager's investment strategy
and behaviour; and (2) divergence in the legal interpretation of
CDO documentation by different transactional parties because of
embedded ambiguities.

Additional uncertainty about performance is due to the following:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


CVC CORDATUS XI: Moody's Confirms B2 Rating on Class F Notes
------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by CVC Cordatus Loan Fund XI Designated Activity
Company:

EUR22,500,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR30,375,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR14,625,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at B2 (sf); previously on Jun 3, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR271,125,000 Class A Senior Secured Floating Rate Notes due 2031,
Affirmed Aaa (sf); previously on Sep 7, 2018 Definitive Rating
Assigned Aaa (sf)

EUR22,500,000 Class B-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Sep 7, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR24,750,000 Class B-2 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Sep 7, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR31,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031, Affirmed A2 (sf); previously on Sep 7, 2018 Definitive
Rating Assigned A2 (sf)

CVC Cordatus Loan Fund XI Designated Activity Company, issued in
September 2018 is a collateralised loan obligation (CLO) backed by
a portfolio of mostly high-yield senior secured European loans. The
portfolio is managed by CVC Credit Partners European CLO Management
LLP. The transaction's reinvestment period will end in April 2023.

The action concludes the rating review on the Class D, E and F
notes initiated on June 3, 2020.

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and rating
affirmations on the Class A, B-1, B-2 and C notes reflect the
expected losses of the notes continuing to remain consistent with
their current ratings despite the risks posed by credit
deterioration and loss of collateral coverage observed in the
underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus outbreak. Moody's
analysed the CLO's latest portfolio and took into account the
recent trading activities as well as the full set of structural
features.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF) and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated August 2020 [1], the
WARF was 3154, compared to 2945 in February 2020 [2]. Securities
with ratings of Caa1 or lower currently make up approximately 4.6%
[1] of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of August 2020 [1] the
Class A/B, Class C, Class D, Class E and Class F OC ratios are
reported at 140.3%, 127.7%, 120.0%, 110.9% and 107.1% compared to
February 2020 levels [2] of 141.0%, 128.3%, 120.6%, 111.5% and
107.6% respectively. Moody's notes that none of the OC tests are
currently in breach and the transaction remains in compliance with
the following collateral quality tests: Diversity, Weighted Average
Recovery Rate (WARR), Weighted Average Spread (WAS) and Weighted
Average Life (WAL).

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR 447.1 million,
no defaults, a weighted average default probability of 25.9%
(consistent with a WARF of 3131 over a weighted average life of 5.9
years), a weighted average recovery rate upon default of 45.6% for
a Aaa liability target rating, a diversity score of 48 and a
weighted average spread of 3.6%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the global economy gradually recovers
in the second half of the year and future corporate credit
conditions generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Fitch regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank and swap providers,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of uncertainty about credit conditions in the
general economy. In particular, the length and severity of the
economic and credit shock precipitated by the global coronavirus
pandemic will have a significant impact on the performance of the
securities. CLO notes' performance may also be impacted either
positively or negatively by: (1) the manager's investment strategy
and behaviour; (2) divergence in the legal interpretation of CDO
documentation by different transactional parties because of
embedded ambiguities; and (3) the additional expected loss
associated with hedging agreements in this transaction which may
also impact the ratings negatively.

Additional uncertainty about performance is due to the following:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


E-MAC PROGRAM 2008-IV: Fitch Affirms B+sf Rating on Class D Debt
----------------------------------------------------------------
Fitch Ratings has affirmed E-MAC NL 2008-IV and removed the class D
notes from Rating Watch Negative (RWN) and assigned a Negative
Outlook.

RATING ACTIONS

E-MAC Program II B.V. Compartment NL 2008-IV

Class A XS0355816264; LT AAsf Affirmed; previously at AAsf

Class B XS0355816421; LT A-sf Affirmed; previously at A-sf

Class C XS0355816694; LT A-sf Affirmed; previously at A-sf

Class D XS0355816934; LT B+sf Affirmed; previously at B+sf

TRANSACTION SUMMARY

The transaction is a seasoned true-sale securitisation of Dutch
residential mortgage loans originated by GMAC-RFC Nederland B.V.
The successor company, CMIS Nederland B.V., is servicer of the
loans.

KEY RATING DRIVERS

Resilience to COVID-19 Stresses

The removal of RWN from the class D notes follows its analysis
under its base-line coronavirus assumptions (see EMEA RMBS:
Criteria Assumptions Updated due to Impact of the Coronavirus
Pandemic), which concluded that the rating was sufficiently robust
to absorb large projected losses. The notes were placed on RWN in
April in response to the coronavirus outbreak (see Fitch Places
Nine Tranches of Dutch RMBS on RWN following the Coronavirus
Outbreak), as they were identified as being vulnerable to default.

However, the class D notes remain vulnerable to sustained, more
severe collateral under-performance, and given their junior ranking
position to prolonged sequential amortisation of the notes.
Therefore, Fitch has assigned a Negative Outlook to the class D
notes.

Pro-Rata Structures

As of the July 2020 payment date, the transaction was amortising on
a pro-rata basis. Fitch notes that this occurred incorrectly, as
one of the amortisation triggers had been broken. Fitch also takes
note of the investor notice, posted by the issuer, stating that the
incorrect amounts will be corrected by use of future cash flows.

In general, the pro-rata amortisation slows the build-up of credit
enhancement for the senior notes as per the amortisation mechanism
in the documentation but is positive for the junior tranches. On
the other hand, sequential amortisation is beneficial to the class
A, B and C notes, but detrimental to the class D notes. This
feature has been factored into the rating analysis to the extent
that the relevant pro-rata triggers are captured by Fitch's
modelling assumptions.

Unlike other RMBS, the transaction has no conditions for a switch
to sequential note amortisation once the portfolio has reduced
below a certain threshold. Fitch has therefore also tested both,
fully pro-rata and fully sequential amortisation until note
maturity and incorporated the results in its rating decision.

Arrears Increase Sharply

Late-stage arrears (borrowers who have been delinquent for over
three months) have increased sharply over the last 12 months. As of
July 2020, late-stage arrears increased from 0% to 1.1%. As of now,
this has not materially increased the rate at which losses are
building, although cumulative loss levels are still above market
average.

Interest Only and Maturity Concentration Risk

The pool contains a significant proportion of interest-only loans
(87.5%), which largely mature within a short period of time in 2037
and 2038. This indicates a high exposure to refinance risk at that
time. According to criteria, Fitch tested a higher-than-normal
weighted average foreclosure frequency (WAFF) for the part of the
portfolio with maturity concentrations to assess the materiality of
concentrations. However, this test did not result in model-implied
ratings that were more than three notches below the rating derived
by applying a WAFF under its standard criteria assumptions.

RATING SENSITIVITIES

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

Unanticipated decreases in defaults or increases in recovery rates
resulting in smaller losses than its current assumptions.

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

Unanticipated increases in defaults or decreases in recovery rates
resulting in larger losses than its current assumptions.

Due to the lack of a hard switch-back to sequential amortisation, a
slight increase in delinquencies and worsening of losses might be
beneficial to the senior notes, as this would cause the transaction
to switch to sequential amortisation and an increase in credit
enhancement for those notes.

Coronavirus Downside Scenario Sensitivity

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases", we considered a more severe downside coronavirus
scenario for sensitivity purposes whereby a more severe and
prolonged period of stress is assumed with a halting recovery from
2Q21. Under this scenario, Fitch's analysis used a 15% WAFF
increase and a 15% decrease in the weighted average recovery rate.
This scenario would lead to multi-notch downgrades of the junior
notes.

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 pool
and the transaction. There were no findings that affected the
rating analysis. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

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

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

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

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


HALCYON LOAN 2014: Moody's Confirms B2 Rating on Class F-R Notes
----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Halcyon Loan Advisors European Funding 2014 B.V.:

EUR15,400,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020
Baa2 (sf) Placed Under Review for Possible Downgrade

EUR17,750,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at Ba2 (sf); previously on Jun 3, 2020
Ba2 (sf) Placed Under Review for Possible Downgrade

EUR9,300,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at B2 (sf); previously on Jun 3, 2020 B2
(sf) Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR179,800,000 Class A-R Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Apr 18, 2017 Definitive
Rating Assigned Aaa (sf)

EUR39,700,000 Class B-R Senior Secured Floating Rate Notes due
2030, Affirmed Aa2 (sf); previously on Apr 18, 2017 Definitive
Rating Assigned Aa2 (sf)

EUR20,900,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed A2 (sf); previously on Apr 18, 2017
Definitive Rating Assigned A2 (sf)

Halcyon Loan Advisors European Funding 2014 B.V., issued in
December 2014 and refinanced in April 2017, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured European loans. The portfolio is managed by Halcyon
Loan Advisors (UK) LLP. The transaction's reinvestment period will
end in April 2021.

The action concludes the rating review on the Class D-R, E-R and
F-R notes initiated on June 03, 2020.

RATINGS RATIONALE

The rating confirmations on the Class D-R, E-R and F-R notes and
rating affirmations on the Class A-R, B-R and C-R notes reflect the
expected losses of the notes continuing to remain consistent with
their current ratings despite the risks posed by credit
deterioration, which have been primarily prompted by economic
shocks stemming from the coronavirus outbreak. Moody's analysed the
CLO's latest portfolio and took into account the recent trading
activities as well as the full set of structural features.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF) and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated August 2020, the WARF
was 3585[1], compared to value of 2974[2] in February 2020.
Securities with ratings of Caa1 or lower currently make up
approximately 10.6% of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of August 2020 the Class
A/B, Class C, Class D, Class E and Class F OC ratios are reported
at 135.30%[1], 123.54%[1], 116.10%[1], 108.57%[1] and 105.00%[1]
compared to February 2020 levels of 140.39%[2], 128.19%[2],
120.47%[2], 112.65%[2], 108.95%[2] respectively. Moody's notes that
none of the OC tests are currently in breach and the transaction
remains in compliance with the following collateral quality tests:
Diversity Score, Weighted Average Recovery Rate (WARR), Weighted
Average Spread (WAS) and Weighted Average Life (WAL).

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR 300.4 million,
a defaulted par balance of EUR 7.3 million, a weighted average
default probability of 26.4% (consistent with a WARF of 3583 over a
weighted average life of 4.55 years), a weighted average recovery
rate upon default of 44.4% for a Aaa liability target rating, a
diversity score of 52 and a weighted average spread of 3.98%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure, and some improvement in WARF
as the global economy gradually recovers in the second half of the
year and future corporate credit conditions generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Fitch regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank and swap providers,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by (1) the manager's investment strategy and behaviour;
(2) divergence in the legal interpretation of CDO documentation by
different transactional parties because of embedded ambiguities;
and (3) the additional expected loss associated with hedging
agreements in this transaction which may also impact the ratings
negatively.

Additional uncertainty about performance is due to the following:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels. However, as part of the base
case, Moody's considered spread and coupon levels higher than the
covenant levels because of the large difference between the
reported and covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


JUBILEE CLO 2016-XVII: Moody's Confirms B2 Rating on Class F Notes
------------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Jubilee CLO 2016-XVII B.V.:

EUR25,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2031, Confirmed at Baa3 (sf); previously on Jun 3, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

EUR21,500,000 Class E Deferrable Junior Floating Rate Notes due
2031, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR11,500,000 Class F Deferrable Junior Floating Rate Notes due
2031, Confirmed at B2 (sf); previously on Jun 3, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR198,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Oct 16, 2018 Assigned Aaa
(sf)

EUR50,000,000 Class A-2 Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Oct 16, 2018 Assigned Aaa
(sf)

EUR31,184,000 Class B-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Oct 16, 2018 Assigned Aa2
(sf)

EUR6,316,000 Class B-2 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Oct 16, 2018 Assigned Aa2 (sf)

EUR28,000,000 Class C Deferrable Mezzanine Floating Rate Notes due
2031, Affirmed A2 (sf); previously on Oct 16, 2018 Assigned A2
(sf)

Jubilee CLO 2016-XVII B.V., issued in September 2016, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Alcentra Limited. The transaction's reinvestment period
will end in October 2022.

Theaction concludes the rating review on the Class D, E and F notes
initiated on June 03, 2020 as a result of the deterioration of the
credit quality and/or the reduction of the par amount of the
portfolio following from the coronavirus outbreak.

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and rating
affirmations on the Class A-1, A-2, B-1, B-2 and C notes reflect
the expected losses of the notes continuing to remain consistent
with their current ratings despite the risks posed by credit
deterioration and loss of collateral coverage observed in the
underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus outbreak. Moody's
analysed the CLO's latest portfolio and took into account the
recent trading activities as well as the full set of structural
features.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF) and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated September 2020[1], the
WARF was 3234, compared to value of 3055 as per the March 2020 [2]
report. Securities with ratings of Caa1 or lower currently make up
approximately 7.0% of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of September 2020 [1]
the Class A/B, Class C, Class D, Class E and Class F OC ratios are
reported at 135.8%, 123.7%, 114.6%, 107.7% and 104.4%, compared to
March 2020 [2] levels of 140.2%, 127.7%, 118.3%, 111.2% and 107.8%,
respectively. Moody's notes that none of the OC tests are currently
in breach and the transaction remains in compliance with the
following collateral quality tests: Diversity Score, Weighted
Average Recovery Rate (WARR), Weighted Average Spread (WAS) and
Weighted Average Life (WAL).

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par of EUR 389.6 million, after considering a negative
cash exposure of around EUR 0.2 million, a defaulted par of EUR
7.0m, a weighted average default probability of 26.9% (consistent
with a WARF of 3270 over a weighted average life of 5.8 years), a
weighted average recovery rate upon default of 44.8% for a Aaa
liability target rating, a diversity score of 53 and a weighted
average spread of 3.73%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the global economy gradually recovers
in the second half of the year and future corporate credit
conditions generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Fitch regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance" published in June 2020. Moody's concluded the
ratings of the notes are not constrained by these risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of uncertainty about credit conditions in the
general economy. In particular, the length and severity of the
economic and credit shock precipitated by the global coronavirus
pandemic will have a significant impact on the performance of the
securities. CLO notes' performance may also be impacted either
positively or negatively by: (1) the manager's investment strategy
and behaviour; and (2) divergence in the legal interpretation of
CDO documentation by different transactional parties because of
embedded ambiguities.

Additional uncertainty about performance is due to the following:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


MAXIMUM MEDIA: High Court Approves Survival Scheme
--------------------------------------------------
Ann O'Loughlin at BreakingNews.ie reports that the High Court has
approved a survival scheme for a digital media company behind the
social news website Joe.ie.

Mr. Justice Michael Quinn approved the scheme on Oct. 7 for Maximum
Media Network (MMN) Ltd involving a EUR10.5 million investment
which would come into force on Oct. 9, BreakingNews.ie  relates.

Greencastle Acquisition Ltd, a newly incorporated Irish company
whose sole shareholder is Linton Capital LLP, is to make a combined
investment in MMN, which is behind Joe.ie and its UK subsidiary,
BreakingNews.ie discloses.

Totalling EUR10.5 million, it includes a EUR300,000 investment in a
share subscription in MMN, the assumption of the company's secured
liability through a loan agreement with the secured creditor, and
the availability of up to EUR2 million in working capital
facilities, BreakingNews.ie notes.  The UK subsidiary was also
acquired by Greencastle out of administration in that country,
BreakingNews.ie recounts.

According to BreakingNews.ie, on Oct. 7, Ross Gorman BL, for the
examiner, said the scheme required ministerial go-ahead and from
the Competition and Consumer Protection Commission (CCPC), both of
which had been forthcoming.

Last May, the court heard MMN, which employs 48, had run into
significant solvency/financial issues which led to main creditor
BPC Lending Ireland, owed more than EUR6 million, to seek the
appointment of an examiner, BreakingNews.ie recounts.  The court
appointed Shane MCarthy KPMG as examiner, BreakingNews.ie relates.

The court heard one of the factors in the downturn in the fortunes
of MMN, which had only become loss making in 2018 and enjoyed some
42 million "hits" a year on its platforms, was a controversy last
year when it was revealed a company employee used a "click farm" to
artificially inflate engagement numbers, BreakingNews.ie states.
Click farms involve a large group of low-paid workers being hired
to click on paid advertising links, BreakingNews.ie notes.


[*] IRELAND: 3,000 Firms May Collapse Under Level 5 Covid Plan
--------------------------------------------------------------
Alan O'Keeffe at Independent.ie reports that the future of
thousands of businesses will be on "a knife edge" in Ireland if the
Government moves the country to a higher level of the Covid plan,
according to ISME chief executive Neil McDonnell.

"We are already seeing a significant level of business mortality.
Inflicting a Level 5 is just not on," Independent.ie quotes Mr.
McDonnell, whose group represents 130,000 small and medium- sized
businesses, as saying.  

He said while more and more businesses are unable to trade,
progress has been extremely slow in seeking the introduction of a
regime to help companies restructure and survive by getting them
court protection through examinerships, Independent.ie relates.  He
said Ireland needs an examinership system that is affordable as
many companies cannot afford to restructure, Independent.ie notes.

According to Independent.ie, Mr. McDonnell said even a conservative
estimate would see 2,000 or 3,000 businesses go under.  He said
Covid has been "the last straw" for struggling companies, but
hundreds of those endangered businesses could be saved,
Independent.ie relays.

Mr. McDonnell, as cited by Independent.ie, said, "When an SME
making single-digit profits runs into a 30% decline in turnover,
that's game over.

"It depends on what reserves are there."

"Covid is the cliff-edge event that pushed a lot of businesses that
should have got restructured over the past 10 years.  But they
didn't and this is a game-changer event that finishes them off."

Online sales have enjoyed "a decade of evolution in six months" and
have hit bricks-and-mortar businesses very hard, Independent.ie
discloses.  Many non-grocery shops are on "a knife edge" in the
current period of uncertainty, Independent.ie notes.




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

EMERALD ITALY 2019: DBRS Lowers Class D Notes Rating to B(low)
--------------------------------------------------------------
DBRS Ratings GmbH downgraded its ratings on the Class A, Class B,
Class C, and Class D notes of the Commercial Mortgage-Backed
Floating Rate Notes due September 2030 issued by Emerald Italy 2019
Srl (the Issuer) as follows:

-- Class A Notes to A (low) (sf) from AA (low) (sf)
-- Class B Notes to BBB (low) (sf) from A (low) (sf)
-- Class C Notes to B (high) (sf) from BBB (low) (sf)
-- Class D Notes to B (low) (sf) from BB (high) (sf)

DBRS Morningstar also assigned a Negative trend to all classes of
notes. The Class C notes have an interest in arrears designation.

The downgrades are a result of a steady deterioration in the
transaction's performance since the outbreak of the Coronavirus
Disease (COVID-19) pandemic. This, compounded with the reluctance
of the sponsor to inject further equity in the transaction in order
to fulfill its debt obligations, is expected to severely affect the
collateral's value.

As a consequence, the following changes have been made to DBSR
Morningstar's underwriting assumptions at issuance: (1) the assumed
vacancy has been increased to 20% from 15% to capture the expected
pressure on the rental income as well as potential
rent-free/reduced rents periods negotiated by the tenants and (2)
the cap rate has been increased to 9% from 8% to reflect the
increased risk associated with the collateral securing the loan.
These changes resulted in a decrease in DBRS Morningstar's net cash
flow (NCF) and stressed value to EUR 8.6 million from EUR 9.4
million and to EUR 95.7 million (i.e., 40.7% haircut to market
value at closing) from EUR 118.1 million, respectively.
Additionally, the equity credit together with the amortization
credit add-on the DBRS Morningstar loan-to-value (LTV) hurdles have
been removed to reflect the unwillingness of the sponsor to support
the borrower so far and the missed principal payment on the last
two interest payment dates (IPDs).

Emerald Italy 2019 Srl is the securitization of 100% of an Italian
commercial real estate loan advanced by J.P. Morgan Chase Bank,
N.A., Milan Branch (the loan seller) and arranged by J.P. Morgan
Securities PLC (the arranger; together with the loan seller, JPM).
The securitized loan comprises a EUR 99.1 million term facility
(EUR 100.4 million at inception) and a EUR 5.4 million capital
expenditure (capex) facility. The capex facility was fully drawn at
closing, but it has not been used so far; it is currently held in
the blocked capex account and is subject to a commitment fee of
2.025%. The loan is secured against a portfolio of two retail malls
and one shopping centre located in the Lombardy region of Northern
Italy. The borrower is Investire Società Di Gestione Del Risparmio
S.P.A., acting on behalf of an Italian real estate alternative
closed-end fund (fondo comune di investimento immobiliare
alternative di tipo chiuso riservato) named Everest, which is
ultimately owned by Kildare Partners (the sponsor).

Following a payment default on the 16 June 2020 IPD and the
subsequent transfer of the securitized loan into special servicing
on the June 19, 2020, the borrower was once again unable to meet
its entire debt obligations on the latest IPD (September 15, 2020).
As a result, the Class C and Class D notes have currently
accumulated deferred interest of EUR 33,167,60 and EUR 332,632,54,
respectively. Under the terms of the Facility Agreement, the
special servicer (acting on behalf of the loan facility agent) may
obtain a valuation at any time when an event of default is
continuing and payable by the borrower. As a result of the current
market conditions and ongoing negotiations with the tenants, the
special servicer is deferring the requirement to call a valuation
for up to six months. Consequently, the 61.4% LTV (or 64.7%
including the capex facility) currently reported is still based on
the EUR 161.4 million initial valuation provided by Cushman &
Wakefield Debenham Tie Leung Limited in March 2019.

Additionally, as a result of the financial burden caused by the
coronavirus, tenants have been demanding rent waivers and refusing
to pay any rent until they agree to revised lease terms. To address
likely breaches and ensure that the shopping centers remain
operational and value is preserved, in August 2020, the special
servicer agreed to implement the following borrower requests: (1)
amendments to tenant lease terms (suspensions/postponements or
abatements of rental income on all leases for the period from March
1, 2020 to December 31, 2020); (2) moratoriums or rent deferrals
for overdue amounts; (3) refraining from legal action against
tenants till December 31, 2020; and (4) switching from quarterly in
advance to monthly in arrears payments until December 31, 2020.

The legal final maturity of the notes is in September 2030, seven
years after the latest possible loan maturity. Considering that the
one-year extension option that is conditional upon the loan being
fully hedged is exercised and there are no continuing events of
default, the latest loan maturity date is September 15, 2023.
Assuming the loan remains in default, the first loan maturity is on
September 15, 2022, which, in DBRS Morningstar's view, provides the
special servicer with sufficient time to work on a recovery of the
collateral value and mitigates the refinancing risk of the
transaction.

The transaction benefits from a liquidity facility of EUR
5,223,875.56 (commitment at closing: EUR 5,290,000.00) to cover any
potential interest payment shortfalls on the Class A and Class B
notes, including the corresponding retention tranches. The
liquidity facility has not been drawn to date. According to DBRS
Morningstar's analysis, the commitment amount at closing was
equivalent to approximately 23 months of coverage based on the
hedging term or approximately 10 months' coverage and the 5%
Euribor cap. DBRS Morningstar does not rate the liquidity provider
but maintains public ratings on JPMorgan Chase Bank, N.A. at AA/R-1
(high) with Stable trends.

COVID-19 CONSIDERATIONS

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
tenants and borrowers. DBRS Morningstar anticipates that vacancy
rate increases and cash flow reductions may arise for many CMBS
borrowers, some meaningfully. In addition, commercial real estate
values will be negatively affected, at least in the short-term,
impacting refinancing prospects for maturing loans and expected
recoveries for defaulted loans. The ratings are based on additional
analysis as a result of the global efforts to contain the spread of
the coronavirus. For this transaction, DBRS Morningstar adjusted
its NCF and cap rate assumptions as outlined above.

Notes: All figures are in Euros unless otherwise noted.


NEXI SPA: S&P Places BB- ICR on Watch Pos. on Potential SIA Merger
------------------------------------------------------------------
S&P Global Ratings placed its 'BB-' issuer and issue ratings on
Nexi SpA on CreditWatch with positive implications.

The CreditWatch placement follows Italian payment services company
Nexi's announcement on Oct. 5, 2020, that it had signed a
memorandum of understanding with Italian provider of payment
technology and infrastructure services SIA SpA to merge by
incorporating SIA into Nexi. The parties include Nexi's reference
shareholder Mercury UK and SIA's reference shareholder Cassa
Depositi e Prestiti (CDP), which owns SIA through its subsidiaries,
FSIA Investimenti and CDP Equity. They expect to sign a merger
agreement by December 2020, pending confirmatory due diligence. The
transaction is expected to close by the third quarter of 2021,
subject to approval by regulatory bodies and antitrust
authorities.

The exchange ratio of 1.5761 Nexi shares for each SIA share will
result in Nexi's shareholders owning 70% of the combined entity,
while SIA's shareholders will own 30%. As a result, CDP will
become--indirectly through its subsidiaries--the greatest and
anchor shareholder of the enlarged group, owning about 25% of the
share capital, while Mercury UK will hold 14% of the postmerger
entity (this figure takes into account Mercury UK's recent sale of
a 13.4% stake in Nexi).

S&P said, "We believe the transaction could improve Nexi's
financial profile. The new group will benefit from SIA's lower
leverage upon closing, and we expect the combined entity to enjoy
synergies in the medium term, which would further support EBITDA
and cash generation capacity. Additionally, we consider that having
CDP as long-term, anchor investor suggests that Nexi's management
is likely to maintain its commitment to financial strengthening. If
the transaction goes through as planned, we could start calculating
leverage on a net basis (that is, netting gross debt against
available cash and equivalents).

"The merger has a solid business rationale, in our view. It would
broaden Nexi's product offering across the payments value chain,
with limited overlaps. SIA is the biggest processor operating in
the Italian market and provides payment solutions for corporates
and public administrations. It also enjoys a leading position in
the national debit scheme (PagoBancomat) and offers clearing and
settlement services for central institutions. Nexi covers few of
these segments and where it does, its service is limited. The
merger could therefore allow Nexi to enjoy increased revenue and
customer diversification."

The new group would generate about 13% of its revenue abroad,
mostly in central and southeastern Europe; by contrast, all of
Nexi's current revenue comes from Italy. That said, Nexi's
geographical concentration is likely to remain significant.

S&P said, "The global and European payment industry is
consolidating. At this stage, we cannot exclude the possibility
that Nexi could pursue further transactions to increase scale and
diversification in the European market. We would assess the
business and financial impact, and the execution risks of such
transactions, should they materialize.

"We intend to update our recovery analysis for the rated senior
unsecured notes once the capital structure of the postmerger entity
has been clarified.

"We intend to resolve the CreditWatch once we have confirmation
that the parties have finalized the merger agreement and received
necessary shareholder, regulatory, and antitrust approvals. We
could raise the long-term issuer credit rating on Nexi by up to two
notches if we conclude that the transaction will significantly
improve the company's projected financial leverage and/or if we
believe the main shareholder will pursue a conservative financial
strategy over the medium term.

"We could affirm the ratings if we concluded that the postmerger
leverage had not improved Nexi's financial profile and, at the same
time, we did not expect the new shareholder to remain committed to
maintaining a conservative financial strategy. We would also affirm
the ratings if we concluded that the transaction was unlikely to go
through."


SIENA NPL 2018: DBRS Cuts Issuer Rating to BB (high), Trend Neg.
----------------------------------------------------------------
DBRS Ratings Limited downgraded its rating of the Class A notes
issued by Siena NPL 2018 S.r.l. (the Issuer) to BB (high) (sf) from
BBB (sf) and assigned a Negative trend. At the same time, DBRS
Morningstar removed the Under Review with Negative Implications
status from the notes, which was assigned on May 8, 2020 and
maintained on August 6, 2020.

The transaction represents the issuance of Class A, Class B, and
Class J notes and a Class X detachable coupon (collectively, the
Notes). The rating on the Class A notes addresses the timely
payment of interest and ultimate payment of principal on or before
its final maturity date of January 2047. DBRS Morningstar does not
rate the Class B notes, the Class J notes, or the Class X
detachable coupon.

At issuance, the Notes were backed by a EUR 24.1 billion portfolio
by gross book value (GBV) consisting of a mixed pool of Italian
nonperforming residential, commercial, and unsecured loans
originated by Banca Monte dei Paschi di Siena S.p.A., MPS Capital
Services Banca per le Imprese S.p.A., and Monte dei Paschi di Siena
Leasing.

The receivables are serviced by Credito Fondiario S.p.A. (Credito
Fondiario), Italfondiario S.p.A., Juliet S.p.A. (Juliet), and
Prelios S.p.A. (collectively, the special servicers). Credito
Fondiario S.p.A. also operates as the master servicer in the
transaction.

RATING RATIONALE

The rating downgrade follows a review of the transaction and is
based on the following analytical considerations:

-- Transaction performance: assessment of portfolio recoveries as
of June 30, 2020, focusing on: (1) a comparison between actual
collections and the special servicers' initial business plan
forecasts; (2) the collection performance observed over the past
six months, including the period following the outbreak of the
Coronavirus Disease (COVID-19); and (3) a comparison between the
current performance and DBRS Morningstar's expectations.

-- Special servicers' updated business plan, which has new
projections starting from 30 June 2019, received in August 2020,
and its comparison with the initial collection expectations.

-- Portfolio characteristics: loan pool composition as of June
2020 and evolution of its core features since issuance.

-- Transaction liquidating structure: the order of priority
entails a fully sequential amortization of the notes (i.e., the
Class B notes will begin to amortize following the full repayment
of the Class A notes, and the Class J notes will amortize following
the repayment of the Class B notes).

-- Performance ratios and underperformance events: as per the most
recent July 2020 payment report, all servicers, with the exception
of Prelios, have breached their Special Servicer Subordination Fee
Event and 10% of their fees above the base fee are subordinated in
the priority of payments whereas the Mezzanine Notes Trigger has
not occurred.

-- Liquidity support: the transaction benefits from an amortizing
cash reserve providing liquidity to the structure and covering
against potential interest shortfall on the Class A notes. The cash
reserve target amount is equal to 3.5% of the Class A notes
principal outstanding and is currently fully funded.

According to the latest July 2020 investor report, the principal
amounts outstanding of the Class A, Class B, and Class J notes were
equal to EUR 1,969.5 million, EUR 865.6 million, and EUR 565.0
million, respectively. The balance of the Class A notes has
amortized by approximately 32.5% since issuance. The current
aggregated transaction balance is EUR 3,400.2 million.

As of June 2020, the transaction was underperforming by 38.8%
compared with the special servicers' initial expectations. The
actual cumulative gross collections equalled EUR 1,596.0 million in
June 2020, whereas special servicers' initial business plans
estimated cumulative gross collections of EUR 2,608.3 million for
the same period. However, at issuance, DBRS Morningstar estimated
cumulative gross collections of EUR 805.7 million for the same
period at the BBB (sf) stressed scenario. Therefore, as of June
2020, the transaction is performing above DBRS Morningstar's
initial stressed expectations.

In August 2020, DBRS Morningstar received a revised business plan
prepared by the Special Servicers, as provided by the original
documentation of the transaction. In this updated business plan,
the special servicers assumed lower recoveries compared with
initial expectations. The total cumulative gross collections from
the updated business plan account for EUR 6,247.5 million, which is
11.8% lower compared with the EUR 7,086.6 million expected in the
initial business plan.

Without including actual collections, the special servicers'
expected future collections from July 2020 are now accounting for
EUR 4,528.8 million. The updated DBRS Morningstar BB (high) (sf)
rating stress assumes a haircut of 25.0% to the special servicers'
latest business plans, considering future expected collections.

The final maturity date of the transaction is in January 2047.

The coronavirus and the resulting isolation measures have resulted
in a sharp economic contraction, increases in unemployment rates,
and reduced investment activities. DBRS Morningstar anticipates
that collections in European nonperforming loan (NPL)
securitizations will be disrupted in the coming months and that the
deteriorating macroeconomic conditions could negatively affect
recoveries from NPLs and the related real estate collateral. The
rating is based on additional analysis and adjustments to expected
performance as a result of the global efforts to contain the spread
of the coronavirus. For this transaction, DBRS Morningstar
incorporated its expectation of a moderate medium-term decline in
property prices, but gave partial credit to house price increases
from 2023 onwards in non-investment-grade rating stress scenarios.
DBRS Morningstar updated its estimated gross cash flow (from July
2020 onwards) at the BB (high) (sf) scenario to EUR 3,395 million
(a discount of 25.0% from the updated servicer business plan of EUR
4,529 million).

Notes: All figures are in Euros unless otherwise noted.




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

DOMI BV 2020-2 : Moody's Confirms (P)Ba1 Rating on Class E Notes
----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to Notes to
be issued by Domi 2020-2 B.V.:

EUR[227,624,000] Class A Mortgage Backed Floating Rate Notes due
November 2052, Assigned (P)Aaa (sf)

EUR[13,580,000] Class B Mortgage Backed Floating Rate Notes due
November 2052, Assigned (P)Aa2 (sf)

EUR[6,467,000] Class C Mortgage Backed Floating Rate Notes due
November 2052, Assigned (P)A2 (sf)

EUR[3,880,000] Class D Mortgage Backed Floating Rate Notes due
November 2052, Assigned (P)Baa3 (sf)

EUR[3,880,000] Class E Mortgage Backed Floating Rate Notes due
November 2052, Assigned (P)Ba1 (sf)

Moody's has not assigned any ratings to the EUR [3,233,000] Class F
Mortgage Backed Floating Rate Notes due November 2052, the EUR
[11,640,000] Class X1 Floating Rate Notes due November 2052, the
EUR [2,587,000] Class X2 Floating Rate Notes due November 2052 and
the Class Z Notes due November 2052.

RATINGS RATIONALE

The Notes are backed by a static pool of Dutch buy-to-let ("BTL")
mortgage loans originated by Domivest B.V. This represents the
third issuance of this originator.

The portfolio of assets amounts to EUR [258.7] million as of 30
September 2020. It is envisaged that on the closing date part of
the proceeds of the note's issuance will be deposited in a separate
account, and subsequently be used prior to the first note payment
date to finance the purchase by the issuer of additional loans. The
additional pool consists of loans originated in September 2020.
Moody's analysis of this transaction is based on the portfolio
including the additional pool.

The Reserve Fund is funded at [0.75] % of the Notes balance of
Class A at closing with a target of [1.5] % of Class A Notes
balance until the step-up date. The total credit enhancement for
the Class A Notes at closing will be [12.0] % in addition to excess
spread and the credit support provided by the reserve fund.

The ratings are primarily based on the credit quality of the
portfolio, the structural features of the transaction and its legal
integrity.

According to Moody's, the transaction benefits from various credit
strengths such as a static portfolio and an amortising reserve fund
sized on aggregate at closing at [0.75] % of Class A Notes'
principal amount. However, Moody's notes that the transaction
features some credit weaknesses such as a small and unregulated
originator also acting as master servicer and the focus on a small
and niche market, the Dutch BTL sector. Domivest B.V. with its
current size and set-up acting as master servicer of the
securitised portfolio would not have the capacity to service the
portfolio on its own. However, the day-to-day servicing of the
portfolio is outsourced to Stater Nederland B.V. ("Stater", NR) as
delegate servicer and HypoCasso B.V. (NR, 100% owned by Stater) as
delegate special servicer. Stater and HypoCasso B.V. are obliged to
continue servicing the portfolio after a master servicer
termination event. The risk of servicing disruption is further
mitigated by structural features of the transaction. These include,
among others, the issuer administrator acting as a back-up servicer
facilitator who will assist the issuer in appointing a back-up
servicer on a best effort basis upon termination of the servicing
agreement. Fitch has applied adjustments in its MILAN analysis
including a haircut on property values to account for the
illiquidity of properties if sold in rented state.

Moody's determined the portfolio lifetime expected loss of [2.5] %
and Aaa MILAN credit enhancement ("MILAN CE") of [17.0] % related
to borrower receivables. The expected loss captures its
expectations of performance considering the current economic
outlook, while the MILAN CE captures the loss, Fitch expects the
portfolio to suffer in the event of a severe recession scenario.
Expected defaults and MILAN CE are parameters used by Moody's to
calibrate its lognormal portfolio loss distribution curve and to
associate a probability with each potential future loss scenario in
the ABSROM cash flow model.

Portfolio expected loss of [2.5]%: This is higher than the average
in the Dutch RMBS sector and is based on Moody's assessment of the
lifetime loss expectation for the pool taking into account: (i)
that no historical performance data for the originator's portfolio
is available; (ii) benchmarking with comparable transactions in the
Dutch owner-occupied market and the UK BTL market; (iii)
peculiarities of the Dutch BTL market, such as the relatively high
likelihood that the lender will not benefit from its pledge on the
rents paid by the tenants in case of borrower insolvency; and (iv)
the current economic conditions and forecasts in The Netherlands.

The MILAN CE for this pool is [17.0]%: This is higher than that of
other RMBS transactions in The Netherlands mainly because of: (i)
the fact that no meaningful historical performance data is
available for the originator's portfolio and the Dutch BTL market;
(ii) the weighted average current loan-to-market value (LTMV) of
approximately [70.0]%; and (iii) the high interest only (IO) loan
exposure (all loans are IO loans after being repaid to 60.0% LTV).
Fitch also considered the high maturity concentration of the loans
as more than 80% repay within the same year. Borrowers could be
unable to refinance IO loans at maturity because of the lack of
alternative lenders. Furthermore, while Domivest B.V. is using the
market value in tenanted status in assessing the LTV upon
origination, Fitch applies additional stress to the property values
to account for the higher illiquidity of rented-out properties when
being foreclosed and sold in rented state in a severe stress
scenario. Due to the small and niche nature of the Dutch BTL market
and the high tenant protection laws in The Netherlands Fitch
considers likelihood that properties will have to be sold with
tenants occupying the property higher than in other BTL markets,
such as the UK.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
consumer assets from the current weak economic activity in the
Netherlands and a gradual recovery for the coming months. Although
an economic recovery is underway, it is tenuous and its
continuation will be closely tied to containment of the virus. As a
result, the degree of uncertainty around its forecasts is unusually
high.

Fitch regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Principal Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in May
2020.

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

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

Factors that may cause an upgrade of the ratings of the Notes
include significantly better than expected performance of the pool
together with an increase in credit enhancement of Notes.

Factors that would lead to a downgrade of the ratings include: (i)
increased counterparty risk leading to potential operational risk
of: (a) servicing or cash management interruptions; and (b) the
risk of increased swap linkage due to a downgrade of the swap
counterparty ratings; and (ii) economic conditions being worse than
forecast resulting in higher arrears and losses.


MAXEDA DIY: Fitch Assigns 'B' LongTerm IDR, Outlook Stable
----------------------------------------------------------
Fitch Ratings has assigned Maxeda DIY Holding B.V. (Maxeda) a final
Long-Term Issuer Default Rating (IDR) of 'B'. The Rating Outlook is
Stable. Fitch has also assigned Maxeda's EUR420 million senior
secured notes a final senior secured debt rating of 'B+'/'RR3'.

The size of the bond has been increased to EUR420 million from an
expected EUR400 million, but this has limited impact on funds from
operations (FFO) adjusted gross leverage. The interest rate on the
issued bond is 0.25% lower than previously outstanding notes at
5.875%. Other terms of the bond documentation are in line with the
draft received by Fitch.

Maxeda's 'B' IDR reflects the company's limited size but leading
position in the DIY retail market in the Benelux countries, which
is balanced by the resilience of the company's business model to
changing trends, including consumers shifting expenditures towards
DIY while staying at home since the coronavirus pandemic started.
Fitch expects Maxeda to generate positive free cash flow (FCF),
driven by sustained sales growth, lower promotion costs and
working-capital improvement. Maxeda has used some of its cash to
repay debt, showing commitment to deleveraging. However, leverage
remains high for the rating. A prudent financial policy combined
with continued deleveraging are key to the future rating
trajectory.

The Stable Outlook reflects moderate execution risks, as Maxeda's
turnaround plan approaches completion, and improving credit metrics
due to the resilience of the DIY sector in uncertain macroeconomic
conditions.

KEY RATING DRIVERS

Market Leader in Benelux: The rating reflects Maxeda's leading
position in the DIY market in Belgium and the Netherlands, with
43.9% and 25.3% market shares, respectively, as of July 2020. The
company operates a network of almost 350 stores located in prime
retail locations, and benefits from strong brand awareness,
creating a barrier to entry for new competitors. Fitch believes
online penetration of the DIY market will remain limited compared
with other non-food retail sectors, such as apparel, driven by
greater technical complexity of the product offering. This should
help limit the entry of potential competitors.

Resilient DIY Market: The coronavirus pandemic has led to strong
like-for-like growth of revenues for DIY retailers. Maxeda
experienced a 27% surge in sales in the Netherlands during 1H20,
and 5% in Belgium despite a one-month store closure. Maxeda
continued to generate high growth in July and August as the retail
environment partly normalised. In its view, only part of this
growth comes from structural changes in consumer behaviour. Fitch
expects revenues will contract in FY21 (year-end February 2022),
but to remain slightly above FY19 levels. Fitch estimates that
Maxeda will be able to generate low single-digit like-for-like
sales after the pandemic as DIY retains its appeal to consumers.

Satisfactory Format Diversification: Maxeda focuses on two
countries, but benefits from some diversification due to its
three-store formats (city stores, mid box and big box) operated
through three brands (Praxis in the Netherland, Brico and
BricoPlanit in Belgium). These stores offer a large product
portfolio, including private labels. Maxeda has also invested in
omni-channel capabilities in recent years, notably through the
creation of a dedicated e-distribution centre. Fitch estimates that
online sales growth will outpace brick and mortar sales, but remain
small relative to the overall business.

High Leverage: Fitch forecasts FFO adjusted gross leverage to
stabilise at around 6.0x from FY21, which is high for the rating.
This leaves limited rating headroom at the 'B' level, for example
in the event of any operational deviations or more severe
macroeconomic conditions than expected affecting demand. This is
offset, in its view, by Maxeda's sustainable business model and
limited embedded execution risks in the company's strategy.

Profitability to Improve: Fitch expects Fitch-adjusted EBITDA
margin to improve towards around 7.5% over the next three years,
around 100bp above FY19 level based on management's ability to
tightly manage costs, while like-for-like sales growth should
absorb fixed costs. Maxeda's profitability is solid relative to
that of close peers, such as Kingfisher PLC, and for the assigned
'B' IDR.

FCF Generation to turn Positive: Fitch forecasts FCF margin to turn
positive from FY20 as Maxeda improves its FFO margin, stabilises
capex and benefits from the completion of the conversion of Formido
into Praxis stores. Fitch also estimates that Maxeda's cash flows
will benefit from a newly implemented inventory management
programme, reducing cash flow volatility, which is reflected in the
rating.

Franchise Allows Lower-Risk Expansion: Maxeda operates retail
locations through a combination of directly owned stores (65%) and
franchisees (35%). Fitch believes that franchise agreements will
remain important in expanding Maxeda's footprint at limited cost
over the next four years. Maxeda provides some guarantees to its
franchisees, but Fitch sees limited risks as management has
streamlined its franchisee network in recent years, and guarantees
represent buyback of inventories that could be used in directly
owned stores. The company has sub-lease agreements with some of its
franchisees, although these are considered a limited risk relative
to the size of the company.

DERIVATION SUMMARY

Maxeda's closest peer is Mobilux 2 SAS (BUT; B/Negative), the
French furniture and decoration retailer. Both companies have a
satisfactory business profile for the 'B' category, with
market-leading positions in concentrated geographies. Fitch expects
Maxeda to generate higher EBITDA and FCF margins than BUT. Leverage
for both companies is high and comparable, with expected FFO
adjusted net leverage at 6.0x in February 2022 for Maxeda and 5.7x
in June 2022 for BUT. The different Outlooks reflect its
expectation that the DIY category might be more resilient than the
furniture market in an uncertain economic environment.

Maxeda is rated one notch above The Very Group (B-/Stable), which
is similar in size and profitability, despite higher sales
expectations for the latter to its prominent exposure to online
retail. However, Fitch expects Maxeda's FFO adjusted net leverage
to be around 1.0x below The Very Group's, which accounts for the
one-notch rating difference.

Kingfisher plc (BBB-/Stable), the largest DIY group in UK and the
second-largest in France (behind Groupe Adeo), has sales almost 10x
larger than Maxeda's, leading to benefits from scale, market
presence and brand diversification, which provide some competitive
advantages, underpinning its 'BBB-' rating. Profitability is
comparable between these two DIY retailers, although leverage
(measured as FFO adjusted net leverage) is materially higher for
Maxeda (5.5x-6.0x) than for Kingfisher (expected to remain below
4.0x in FY20 and FY21).

KEY ASSUMPTIONS

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

  - Sales increasing 8.2% in FY20, then declining 4.7% towards
    around EUR1.4 billion in FY21. This is followed by 1.5%-2%
    like-for-like growth until FY23

  - Stores network development over the next four years in line
    with management expectations

  - Fitch-adjusted EBITDA margin peaking at 9.6% in FY20, then
    stabilising around 7.5% until FY23

  - Capex of EUR40 million per year until FY23

  - Working-capital improvement of EUR33 million in FY20, then
    stabilising around mid- to low-single digit cash inflow from
    working capital as Maxeda continues to improve inventory
    management

  - EUR14 million of cash considered restricted by Fitch due to
    intra-year working capital requirements

KEY RECOVERY RATING ASSUMPTIONS

Fitch assumes that Maxeda would be considered a going concern in
bankruptcy and that it would be reorganised rather than liquidated.
Fitch has assumed a 10% administrative claim in the recovery
analysis.

In its bespoke going-concern recovery analysis Fitch considers an
estimated post-restructuring EBITDA available to creditors of
around EUR70 million. This is sufficient to pay interest (projected
at around EUR30 million), cash taxes (EUR10 million) and
maintenance capex (EUR25 million) representing a 22% discount to
FY19 Fitch-adjusted EBITDA.

Fitch has applied a distressed enterprise value/EBITDA multiple of
5.0x, in line with comparable businesses such as BUT.

Based on the debt waterfall Maxeda's EUR65 million revolving credit
facility (RCF) ranks super senior to the company's EUR420 million
senior secured notes. Therefore, after deducting 10% for
administrative claims, its waterfall analysis generates a ranked
recovery for the senior secured bonds in the 'RR3' band, indicating
a 'B+' instrument rating. The waterfall analysis output percentage
on current metrics and assumptions is 60%.

RATING SENSITIVITIES

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

  - Further improvement in scale and diversification together with
    better visibility on macroeconomic conditions that would lead
    to an FFO margin above 5% and FCF margin above 3% on a
    sustained basis

  - FFO fixed charge cover sustained above 2.0x

  - FFO adjusted gross leverage below 5.0x (net: 4.5x) on a
    sustained basis

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

  - Significant deterioration in revenue and profitability
    reflecting, for example, an increasingly competitive operating
    environment, a new period of prolonged lockdown and/or
    meaningful delays in economic recovery after the pandemic

  - FFO fixed charge cover below 1.5x on a sustained basis

  - FFO adjusted gross leverage sustainably above 6.5x
    (net: 6.0x)

  - FFO margin sustainably below 3%

  - Evidence that liquidity is tightening due to operational
    underperformance, large working-capital outflows, or
    distribution to shareholders

LIQUIDITY AND DEBT STRUCTURE

Satisfactory Liquidity: As of August 2, 2020 (1H20), Maxeda had
EUR162 million Fitch-defined readily available cash (excluding
EUR14 million for working-capital purposes). However, this large
cash position includes a material working-capital inflow of EUR145
million boosted by favourable suppliers' payment terms, tightened
inventories and deferred tax payments. Although Fitch expects
working capital to normalise by February 2021, Fitch does not
forecast drawings under the new EUR65 million RCF.

Maxeda has no near-term maturities following the recent debt
refinancing, with the newly issued EUR420 million senior secured
notes maturing in October 2026 and the EUR65 million RCF due April
2026. Fitch forecasts enhanced financial flexibility over the next
four years, as the company generates positive FCF and its RCF
remains undrawn. Fitch expects Maxeda to maintain a prudent
financial policy with no envisaged shareholder distributions or M&A
activity.

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

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


OZLME BV: Moody's Confirms B2 Rating on EUR12MM Class F Notes
-------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by OZLME B.V.:

EUR17,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR25,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR12,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at B2 (sf); previously on Jun 3, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR230,000,000 Class A Senior Secured Floating Rate Notes due 2030,
Affirmed Aaa (sf); previously on Sep 4, 2019 Definitive Rating
Assigned Aaa (sf)

EUR63,000,000 Class B Senior Secured Floating Rate Notes due 2030,
Affirmed Aa2 (sf); previously on Sep 4, 2019 Definitive Rating
Assigned Aa2 (sf)

EUR24,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030, Affirmed A2 (sf); previously on Sep 4, 2019 Definitive
Rating Assigned A2 (sf)

OZLME B.V. issued in December 2016, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured European loans. The portfolio is managed by Sculptor Europe
Loan Management Limited. The transaction's reinvestment period will
end in January 2021.

The action concludes the rating review on the Class D, E and F
notes initiated on June 3, 2020 as a result of the deterioration of
the credit quality and/or the reduction of the par amount of the
portfolio following from the coronavirus outbreak.

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and rating
affirmations on the Class A, B and C notes reflect the expected
losses of the notes continuing to remain consistent with their
current ratings despite the risks posed by credit deterioration and
loss of collateral coverage observed in the underlying CLO
portfolio, which have been primarily prompted by economic shocks
stemming from the coronavirus outbreak. Moody's analysed the CLO's
latest portfolio and took into account the recent trading
activities as well as the full set of structural features.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF) and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated September 2020, the
WARF was 3354 [1], compared to value of 2902 [2] in February 2020.
Reported securities with ratings of Caa1 or lower currently make up
approximately 8.4% [1] of the underlying portfolio in September
2020. In addition, the over-collateralisation (OC) levels have
weakened across the capital structure. According to the trustee
report of September 2020 the Class A/B, Class C, Class D , Class E
and Class F OC ratios are reported at 135.7% [1], 125.4% [1],
119.0% [1], 110.7% [1] and 107.1% [1] compared to March 2020 levels
of 136.9% [2], 126.6% [2], 120.1% [2], 111.8% [2] and 108.1% [2]
respectively. Moody's notes that none of the OC tests are currently
in breach and the transaction remains in compliance with the
following collateral quality tests: Diversity Score, Weighted
Average Recovery Rate (WARR), Weighted Average Spread (WAS) and
Weighted Average Life (WAL).

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR398.9 million
including a negative cash balance of EUR 2.8 million, defaulted par
of EUR1.4 million, a weighted average default probability of 25.9%
(consistent with a WARF of 3373 over a weighted average life of 4.9
years), a weighted average recovery rate upon default of 45.3% for
a Aaa liability target rating, a diversity score of 60 and a
weighted average spread of 3.68%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the global economy gradually recovers
in the second half of the year and future corporate credit
conditions generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Fitch regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank and swap provider,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by 1) the manager's investment strategy and behaviour
and 2) divergence in the legal interpretation of CDO documentation
by different transactional parties because of embedded ambiguities,
and 3) the additional expected loss associated with hedging
agreements in this transaction which may also impact the ratings
negatively.

Additional uncertainty about performance is due to the following:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.




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

GETIN NOBLE: Fitch Affirms CCC+ IDR on Capital Requirement Breach
-----------------------------------------------------------------
Fitch Ratings has affirmed Getin Noble Bank SA's (Getin) Long-Term
Issuer Default Rating (IDR) at 'CCC+' and the bank's Viability
Rating (VR) at 'ccc+'. Getin's Long-Term IDR, like most ratings in
the 'CCC' category, does not carry an Outlook because of the
potentially high volatility of ratings at that level.

KEY RATING DRIVERS

IDRS, VR, NATIONAL RATINGS

The ratings of Getin mainly reflect its breach of legal capital
requirements and persistent losses. The failure of Getin is a real
possibility because its capacity to address its capital shortfall
is highly vulnerable to the economic fallout from the coronavirus
outbreak. Fitch believes the economic implications of the pandemic
create additional risks to its assessment of Getin's profitability
and asset quality.

In mid-March 2020 Getin breached its total capital ratio legal
requirement of 9.32% (including a 1.32% Pillar 2 buffer for Swiss
franc mortgages). The bank breached its combined buffer requirement
in 2018 and since then its capital has been reduced by persistent
losses. Getin's total capital requirement breach was mainly driven
by inflation of risk-weighted assets (RWAs; due to appreciation of
Swiss franc), mainly associated with a 150% risk weight applied to
foreign-currency (FC) mortgage loans since 2018. At end-June,
Getin's CET1 ratio was 7.3%, compared with an 7.7% combined buffer
requirement and a 5.2% legal requirement.

At end-June 2020 Getin's shortfall to the legal and combined buffer
requirement for the total capital ratio equaled about PLN0.2
billion and almost PLN1.2 billion, respectively. The bank's capital
shortfall shrank PLN1.1 billion following a revision of the
systemic risk buffer to 0% from 3% in March 2020. The bank still
needs to recognise almost PLN0.9 billion from the deferred impact
of IFRS 9 implementation, of which about PLN0.2 billion will be in
2021.

Getin plans to address its capital shortfalls mainly through
improved profitability and amortisation of high capital-absorbing
Swiss franc loans (about 3% reduction of RWAs annually). Fitch
believes internal capital generation in the current environment
will be challenging for Getin and will realistically take the bank
several years to restore its capital ratios above the pre-COVID-19
combined buffer requirement. However, Fitch does not expect
immediate sanctions on the bank if management is able to
demonstrate tangible profitability improvements. The regulator has
publicly stated that it will take a pragmatic approach to cases of
temporary non-compliance driven by coronavirus-related turbulence.

Fitch expects Getin to report its fifth consecutive annual loss in
2020. This mainly reflects high loan impairment charges (LICs)
caused by the pandemic, and interest-income erosion due to a drop
in loan sales and immediate margin pressure from an all-time-low
reference rate of 10bp. Getin has a large scope to adjust to a
lower interest-rate environment given its considerably higher cost
of funding compared with the sector average. In 2Q20 the bank cut
its average rate for new deposits by about 1pp, which should
gradually improve cost of funding over the next 12 months.

Fitch expects Getin's LICs to remain notably above the 1.3%
reported of average loans in the previous two years. Getin's loan
book is dominated by legacy mortgages with weaker quality than the
sector average due to relaxed underwriting in the past. The bank's
exposure to Swiss franc mortgages (23% of gross loans at end-June
2020) coupled with unsecured retail loans (14% share) is
particularly vulnerable to economic stress.

The National Ratings reflect the bank's creditworthiness relative
to Polish peers.

SUPPORT RATING AND SUPPORT RATING FLOOR

The Support Rating Floor (SRF) of 'No Floor' and the Support Rating
(SR) of '5' for Getin express Fitch's opinion that potential
sovereign support for the bank cannot be relied upon. This is
underpinned by the Polish resolution legal framework, which
requires senior creditors to participate in losses, if necessary,
instead of a bank receiving sovereign support.

At the same time, Fitch believes the bank may continue to benefit
from regulatory forbearance, while its capital ratios are only
moderately below minimum levels. Getin's sister company, Idea Bank,
has been allowed to operate despite a significant capital breach
since end-2018.

RATING SENSITIVITIES

IDRS, VR

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

The main trigger for a downgrade of the bank's Long-Term IDR and VR
is a material widening of capital shortfall that remains
unaddressed for a prolonged period. For example, this could be
driven by a sustainable breach of the bank's Tier 1 legal capital
requirement of 6.99%.

Fitch will also downgrade Getin if the bank is not able to break
even on a pre-impairment operating profit basis, which can stem
from management's failure to reduce funding and operating expenses
and from further interest income erosion.

Fitch would also likely downgrade the bank if legal claims related
to Swiss franc mortgages accelerate and materially weigh on
management's cost-optimisation efforts.

If the bank becomes dependent on prolonged regulatory forbearance
of an extraordinary nature, this will also lead to a downgrade of
the VR, but the Long-Term IDR could be affirmed if Fitch believes
the risk of a default on senior obligations has not increased
materially.

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

Getin's ratings could be upgraded if the bank manages to restore
its internal capital generation and sustainably increase its
capital ratios to levels above regulatory requirements.

NATIONAL RATINGS

The National Ratings are sensitive to changes in the bank's
Long-Term IDR.

SUPPORT RATING AND SUPPORT RATING FLOOR

An upgrade of Getin's SR and upward revision of the bank's SRF
would be contingent on a positive change in the sovereign's
propensity to support the bank, which Fitch does not expect.

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

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.




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

ALHAMBRA SME 2019-1: DBRS Lowers Class C Notes Rating to B(low)
---------------------------------------------------------------
DBRS Ratings GmbH took the following rating actions on the notes
issued by Alhambra SME Funding 2019-1 DAC (the Issuer):

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes downgraded to AA (low) (sf) from AA (sf)
-- Class C Notes downgraded to B (low) (sf) from BB (low) (sf)

The rating on the Class A Notes addresses the timely payment of
interest and the ultimate payment of principal on or before the
legal final maturity date. The ratings on the Class B and Class C
notes address the ultimate payment of interest and principal on or
before the legal final maturity date.

DBRS Morningstar has assessed the potential impact of the
Coronavirus Disease (COVID-19) pandemic on the transaction by
adjusting its collateral assumptions in line with the risk factors
in its commentary published on 18 May 2020 outlining how the
coronavirus crisis is likely to affect DBRS Morningstar-rated
structured credit transactions in Europe.

The rating actions follow a review of the transaction and are based
on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and
losses, as of September 18, 2020.

-- Lifetime Portfolio Default Rates (PD), recovery rates, and
expected loss assumptions on the remaining receivables.

-- Current available credit enhancement to the notes to cover the
expected losses at their respective rating levels.

-- Current economic environment and an assessment of sustainable
performance, as a result of the Coronavirus Disease (COVID-19)
pandemic.

Alhambra SME Funding 2019-1 DAC is a securitization collateralized
by a portfolio of loans granted to Spanish small and medium-size
enterprises (SMEs) and middle-market (MM) corporations. The loans
were originated by Be-Spoke Capital (Ireland) Limited (BCI) and
first warehoused at Be-Spoke Loan Funding DAC, which then sold the
portfolio to the Issuer. Be-Spoke Capital (London) Limited (BCL)
acts as the Servicer to the Issuer. The portfolio is static and the
loans are interest-only till at least August 2021 (included),
becoming amortizing with equal installments afterwards. The
transaction closed on November 21, 2019 and the legal final
maturity date is on November 30, 2028.

PORTFOLIO PERFORMANCE

As of 18 September 2020, four loans had defaulted raising the
cumulative default balance to EUR 28.5 million or 10.4% of the
initial portfolio balance. The defaults occurred between June and
August 2020. Three of the borrower's defaults could be directly
associated with the hardship brought to businesses by the
coronavirus pandemic. As of September 18, 2020, the portfolio
average credit quality measured by the DBRS Morningstar Risk Score
stood at 27.5% (excluding the defaulted loans) compared with 25.7%
at closing. The portfolio currently has five borrowers with a
credit estimate equivalent to a CCC (high) rating (excluding
defaulted loans). Between April and May 2020 18.3% of the
outstanding portfolio balance at the time benefitted from interest
payment deferrals for one month or two months. As of September 18,
2020, all loans (excluding defaulted loans) were current with
respect to their interest payments. Interest deferrals are granted
on a case-by-case basis by the Servicer. There have been no changes
in the principal payment schedule and loans are expecting to start
amortizing from September 2021. The portfolio exhibits high
borrower concentration, with the top 10 borrowers representing
41.0% of the outstanding portfolio balance and high geographic
concentration, with the main exposures in Madrid and Catalonia of
29.2% and 23.0% of the outstanding portfolio balance,
respectively.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the
performing pool of receivables and has increased its base case PD
assumption to 34.1% from 29.9% at the initial rating and maintained
its base case recovery rate assumption at 19.4% since the initial
rating. The increase in the base case PD reflects the adjustments
applied due to the coronavirus pandemic. DBRS Morningstar's
assessment shows that 7.6% and 29.2% of the outstanding portfolio
balance as of 18 September 2020 belonged to industries classified
in mid-high and high risk economic sectors, respectively, which
leads to a one- and two-notch downgrade of the borrower's credit
estimate or DBRS Morningstar rating, respectively, as per the
commentaries mentioned above.

CREDIT ENHANCEMENT

The credit enhancement consists of the subordination in the form of
junior notes. Given that part of the Class Z2 Notes are not
collateralized as part of their issuance proceeds were used to
cover for the upfront costs at closing, DBRS Morningstar considered
the performing portfolio balance instead of the outstanding balance
of the junior notes for the calculation of the credit enhancement.
As of the September 2020 payment date, credit enhancement decreased
since the DBRS Morningstar initial rating as follows:

to 51.5% from 51.8% for the Class A Notes
to 44.5% from 45.8% for the Class B Notes
to 18.7% from 23.6% for the Class C Notes

The decrease in the credit enhancement is due to the increase in
defaults since the DBRS Morningstar initial rating.

The transaction benefits from a Principal Deficiency Ledger (PDL)
mechanism, whereby a PDL allocated to each class of notes records
the outstanding balance of the loan at the time of default in the
junior order of priority and interest is diverted from the interest
waterfall to the principal waterfall to amortize the notes in
sequential order of seniority. As of the September 2020 payment
date, the Class Z1 and Class Z2 notes PDLs are at EUR 12.4 million
and EUR 8.28 million, respectively, while all other PDLs remain
clear. DBRS Morningstar doesn't rate the Class Z1 and Class Z2
Notes.

The transaction benefits from an endogenous liquidity reserve,
available to cover senior expenses, interests on the Class A to
Class D notes and cure all the PDLs. The liquidity reserve is
funded by excess spread in the interest waterfall, at the required
amount of EUR 4 million. As of the September 2020 payment date, the
reserve was below its target balance at EUR 0. The reserve managed
to be funded at its target amount after the first three payment
dates, however it has been depleted due to the defaults on the
portfolio since the June payment date.

BNP Paribas Securities Services, Spanish branch (BNPSS Spain) acts
as the account bank for the transaction. Based on the DBRS
Morningstar private rating of BNPSS Spain, the downgrade provisions
outlined in the transaction documents, and other mitigating factors
inherent in the transaction structure, DBRS Morningstar considers
the risk arising from the exposure to the account bank to be
consistent with the rating assigned to the Class A Notes, as
described in DBRS Morningstar's "Legal Criteria for European
Structured Finance Transactions" methodology.

DBRS Morningstar analyzed the transaction structure with its
proprietary cashflow engine.

COVID-19 and the resulting isolation measures have caused an
economic contraction, leading to sharp increases in unemployment
rates and income reductions for many borrowers. DBRS Morningstar
anticipates that delinquencies may arise in the coming months for
many Structured Credit transactions, some meaningfully. The ratings
are based on additional analysis and adjustments to expected
performance as a result of the global efforts to contain the spread
of the coronavirus.

Notes: All figures are in Euros unless otherwise noted.


AUTO ABS SPANISH 2020-1: DBRS Confirms B(high) on Series E Notes
----------------------------------------------------------------
DBRS Ratings GmbH confirmed the following provisional ratings on
the series of notes to be issued by Auto ABS Spanish Loans 2020-1
FT (the Issuer):

-- Series A Notes at AA (high) (sf)
-- Series B Notes at A (high) (sf)
-- Series C Notes at A (low) (sf)
-- Series D Notes at BB (sf)
-- Series E Notes at B (high) (sf)

DBRS Morningstar does not rate the Series F notes expected to be
issued in this transaction. DBRS Morningstar will update and
republish the presale report for the transaction to reflect the
updated analysis.

The rating on the Series A Notes addresses the timely payment of
interest and the ultimate repayment of principal by the legal final
maturity date in December 2035. The ratings on the Series B Notes,
Series C Notes, Series D Notes, and Series E Notes address the
ultimate payment of interest and the ultimate repayment of
principal by the legal final maturity date.

DBRS Morningstar confirms the provisional ratings assigned to the
notes issued, following the analysis of the existence of residual
value (RV) risk in connection with certain loan products included
in the portfolio backing the notes. DBRS Morningstar analyzed the
transaction including RV stresses and concluded that its
provisional ratings previously assigned do not change as a result.

The RV risk arises from the balloon loans, which have equal payment
installments before maturity and a final large balloon installment
on the last payment date. For balloon loans, the borrower has the
option to return the vehicle instead of paying the final balloon
installment. The borrower must comply with certain requirements to
fulfill its obligations (including but not limited to giving
consent to the sale of the vehicle and to the application of the
proceeds of sale of the vehicle towards repayment of the loan up to
its full repayment), the vehicle must be returned in adequate
conditions and meet certain requirement in terms maintenance and
mileage. If the proceeds of sale were not sufficient to repay the
loan in full, the borrower would still be free from any further
repayment obligation, hence exposing the issuer to RV risk. At the
time DBRS Morningstar assigned provisional ratings to the notes, it
had assumed that the borrower would be liable to pay the difference
between vehicle sales proceeds and loan balance.

In this transaction, the RV risk is mitigated by the undertaking of
Peugeot S.A. Group (the manufacturer) to repurchase the vehicle at
a price equal to the balloon amount. DBRS Morningstar believes that
the undertaking mitigates but does not remove the Issuer's RV risk
and benefits are limited to the manufacturer's credit standing and
financial strength. The manufacturer's undertaking is believed to
be validly transferred to the Issuer as explained by the
transaction counsel in a memorandum DBRS Morningstar reviewed.

DBRS Morningstar based its ratings on a review of the following
analytical considerations:

-- The transaction's capital structure, including form and
sufficiency of available credit enhancement.

-- Credit enhancement levels are sufficient to support DBRS
Morningstar's projected expected net losses under various stress
scenarios, including RV haircuts.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms of the
notes.

-- The seller's, originator's, servicer's, and manufacturer's
financial strength and their capabilities with respect to
originations, underwriting and servicing.

-- The other parties' financial strength with regard to their
respective roles.

-- DBRS Morningstar's operational risk review of PSA Financial
Services Spain, E.F.C., S.A., which it deemed to be an acceptable
servicer.

-- The credit quality, diversification of the collateral, and
historical and projected performance of the portfolio.

-- DBRS Morningstar's current sovereign rating of the Kingdom of
Spain at "A" with a Stable trend.

-- The consistency of the transaction's legal structure with DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology, and the presence of legal opinions that
address the true sale of the assets to the Issuer.

The transaction represents the issuance of Series A Notes, Series B
Notes, Series C Notes, Series D Notes, and Series E Notes backed by
a portfolio of approximately EUR 600 million of fixed-rate
receivables related to standard and balloon auto loans granted by
PSA Financial Services, (the originator) to private individuals
residing in Spain for the acquisition of new or used vehicles. The
originator will also service the portfolio. The Series F Notes will
be issued to fund the cash reserve.

The transaction includes a 13-month revolving period scheduled to
end in December 2021. During the revolving period, the originator
may offer additional receivables that the Issuer will purchase
provided that eligibility criteria and concentration limits set out
in the transaction documents are satisfied. The revolving period
may end earlier than scheduled if certain events occur, such as the
breach of performance triggers, insolvency of the originator, or
replacement of the servicer.

The transaction allocates payments on a combined interest and
principal priority of payments basis and benefits from an
amortizing EUR 5.1 million cash reserve funded through the
subscription proceeds of the Series F Notes. The cash reserve can
be used to cover senior costs and interest on the Series A Notes,
Series B Notes, Series C Notes, Series D Notes, and Series E Notes.
The cash reserve will be part of the available funds.

The repayment of the Series A to Series E Notes will start after
the end of the revolving period on the first principal payment date
in January 2022 on a pro rata basis unless certain events such as
breach of performance triggers, insolvency of the servicer, or
termination of the servicer occur (Subordination Events). Under
these circumstances, the principal repayment of the notes will
become fully sequential, and the switch is not reversible. Series F
Notes will be repaid with available funds up to the target
amortization amount as from the first payment date in December
2020.

Interest and principal payments on the notes will be made monthly
on the 28th of every month. The Series A Notes, Series B Notes, and
Series C Notes pay interest indexed to one-month Euribor whereas
the total portfolio pays a fixed-interest rate. The interest rate
risk arising from the mismatch between the Issuer's liabilities and
the portfolio is hedged through a cap collateral agreement with an
eligible counterparty.

Banco Santander S.A. (Banco Santander) acts as the account bank for
the transaction. Based on the DBRS Morningstar rating of Banco
Santander, the downgrade provisions outlined in the transaction
documents, and structural mitigants inherent in the transaction
structure, DBRS Morningstar considers the risk arising from the
exposure to Banco Santander to be consistent with the rating
assigned to the Series A Notes, as described in DBRS Morningstar's
"Legal Criteria for European Structured Finance Transactions"
methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker, considering the default rates at which the notes did not
return all specified cash flows.

The provisional ratings are based on information provided to DBRS
Morningstar by the Issuer and by its agents as of the date of this
press release. The ratings can be finalized upon review of final
information, data, legal opinions, and the executed version of the
governing transaction documents. To the extent that the information
or the documents provided to DBRS Morningstar as of this date
differ from the final information, DBRS Morningstar may assign
different final ratings to the notes.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many ABS transactions, some
meaningfully. The ratings are based on additional analysis and
adjustments to expected performance as a result of the global
efforts to contain the spread of the coronavirus. For this
transaction DBRS Morningstar assumed a moderate decline in the
expected recovery rate.

Notes: All figures are in Euros unless otherwise noted.


IM CAJA LABORAL 2: Fitch Affirms 'CCC' Rating on Class E Notes
--------------------------------------------------------------
Fitch Ratings has taken multiple rating actions on IM Caja Laboral
RMBS transactions, including a downgrade and seven affirmations.
The Outlooks are Stable.

RATING ACTIONS

IM Caja Laboral 2, FTA

Class A ES0347552004; LT AAAsf Affirmed; previously AAAsf

Class B ES0347552012; LT A+sf Affirmed; previously A+sf

Class C ES0347552020; LT Bsf Downgrade; previously BB-sf

IM Caja Laboral 1, FTA

Class A ES0347565006; LT AAAsf Affirmed; previously AAAsf

Class B ES0347565014; LT AA+sf Affirmed; previously AA+sf

Class C ES0347565022; LT A+sf Affirmed; previously A+sf

Class D ES0347565030; LT A-sf Affirmed; previously A-sf

Class E (RF) ES0347565048; LT CCCsf Affirmed; previously CCCsf

TRANSACTION SUMMARY

The transactions comprise fully amortising Spanish residential
mortgages originated and serviced by Caja Laboral Popular
Cooperativa de Credito (BBB+/Negative/F2).

KEY RATING DRIVERS

COVID-19 Stress Assumptions

In its analysis of the transactions, Fitch has applied additional
stresses in conjunction with its European RMBS Rating Criteria in
response to the coronavirus outbreak and the recent legislative
developments in Catalonia. Fitch anticipates a generalised
weakening of the Spanish borrowers' ability to keep up with
mortgage payments linked to a spike in unemployment and
vulnerability of self-employed borrowers. Performance indicators
such as the levels of arrears could increase in the following
months and, Fitch has therefore also incorporated a 10% increase to
the weighted average foreclosure frequency (WAFF) of the
portfolios.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases -- Update", Fitch also considered a downside
coronavirus scenario for sensitivity purposes whereby a more severe
and prolonged period of stress is assumed. Under this scenario,
Fitch's analysis accommodates a further increase to the portfolio
WAFF and a decrease to the WA recovery rates (RR).

Credit Enhancement Trends

The affirmation of the notes' ratings (ie. Laboral 1 class A to E
notes and Laboral 2 Class A and B notes) and removal of Rating
Watch Negative (RWN) on Laboral 1 class D notes reflect its view
that credit enhancement (CE) protection is sufficient to mitigate
the immediate risks associated with its base-case coronavirus
scenario. On the other hand, the downgrade and RWN resolution of
Laboral 2 class C notes rating reflects insufficient CE to
compensate for the larger projected losses under its base-case
coronavirus scenario. Fitch expects CE ratios will remain broadly
stable in the short term for both transactions as the notes
continue to amortise on a pro-rata basis.

Low Take-up Rates on Payment Holidays

Fitch does not expect the COVID-19 emergency-support measures
introduced by the Spanish government and lenders for vulnerable
borrowers to negatively impact the SPVs' liquidity, given the low
take-up rate of payment holidays within the transactions at
0.3%-0.4% of the portfolio balances as of July 2020 (versus the
Spanish national average of around 9%).

Portfolios' High-Risk Attributes

The securitised portfolios are exposed to geographical
concentration in the Basque region, Navarra, and Castilla-Leon. In
line with Fitch's European RMBS Rating Criteria, higher rating
multiples are applied to the base foreclosure frequency (FF)
assumption to the portion of the portfolios that exceeds 2.5x the
population share of these regions relative to the national count.
Additionally, over 11% of the portfolio balances are linked to
loans granted to self-employed borrowers, which are considered
higher-risk than borrowers with third party-dependant employment
contracts, and are therefore subject to a FF increase factor of
170%.

RATING SENSITIVITIES

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

  - Increases in CE ratios as the transactions deleverage to fully
compensate the credit losses and cash flow stresses that are
commensurate with higher rating scenarios, all else being equal.

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

  - A longer-than-expected coronavirus crisis that weakens
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 current
ratings scenarios, all else being equal. To approximate this
scenario, a rating sensitivity has been conducted by increasing
default rates by an additional 15% and cutting recovery
expectations by 15%, which would imply downgrades of at least one
notch for the mezzanine and junior notes.

  - A downgrade to Spain's Long-Term Issuer Default Rating (IDR)
that could lower the maximum achievable rating for Spanish
structured finance transactions. This because class A notes on both
transactions are capped at the 'AAAsf' maximum achievable rating in
Spain, six notches above the sovereign IDR.

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. Fitch has not reviewed the results of
any third- party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

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

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

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

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


IM CAJAMAR 1: DBRS Hikes Class B Notes Rating to BB(low)
--------------------------------------------------------
DBRS Ratings GmbH took rating actions on the notes issued by IM BCC
Cajamar 1 FT (Cajamar 1), IM Cajamar 5 F.T.A. (Cajamar 5), and IM
Cajamar 6 F.T.A. (Cajamar 6) as follows:

Cajamar 1

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to BB (low) (sf) from B (high) (sf)

Cajamar 5

-- Class A Notes confirmed at A (high) (sf)

Cajamar 6

-- Class A Notes confirmed at AA (sf)

The ratings on all the Class A Notes address the timely payment of
interest and the ultimate payment of principal on or the final
maturity date in March 2055 (Cajamar 1), June 2050 (Cajamar 5), and
December 2050 (Cajamar 6). The rating on the Class B Notes of
Cajamar 1 addresses the ultimate payment of interest and principal
on or before the final maturity date.

The rating actions follow an annual review of the transactions and
are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and
losses as of the August 2020 and September 2020 payment dates;

-- Portfolio default rate (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables;

-- The current available credit enhancement to the notes to cover
the expected losses assumed at their respective rating levels;

-- Current economic environment and an assessment of sustainable
performance, as a result of the Coronavirus Disease (COVID-19)
pandemic.

Cajamar 1 closed in January 2016, while Cajamar 5 and Cajamar 6
closed in September 2007 and February 2008, respectively. All three
transactions are Spanish residential mortgage-backed securities
transactions originated and serviced by Cajamar Caja Rural,
Sociedad Cooperativa de Credito (Cajamar).

PORTFOLIO PERFORMANCE

As of the August 2020 payment date, loans that were one to two
months and two to three months delinquent represented 0.7% and 0.4%
of Cajamar 1 portfolio balance, respectively, while loans more than
three months delinquent represented 0.4%. Gross cumulative losses
amounted to 0.3% of the aggregate original portfolio balance, with
cumulative recoveries of 23.19% to date.

For Cajamar 5, as of the September 2020 payment date, loans that
were one to two months and two to three months delinquent
represented 1.0% and 0.6% of the portfolio balance, respectively,
while loans more than three months delinquent represented 0.5%.
Gross cumulative defaults amounted to 5.8% of the aggregate
original portfolio balance, with cumulative recoveries of 84.0% to
date.

For Cajamar 6, as of the September 2020 payment date, loans that
were one to two months and two to three months delinquent
represented 1.3% and 0.8% of the portfolio balance, respectively,
while loans more than three months delinquent represented 0.4%.
Gross cumulative defaults amounted to 8.3% of the aggregate
original portfolio balance, with cumulative recoveries of 86.0% to
date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables in each transaction and updated its base case
PD and LGD assumptions as follows:

For Cajamar 1, DBRS Morningstar has updated its base case PD and
LGD assumptions to 6.2% and 31.3%, respectively.

For Cajamar 5, DBRS Morningstar has updated its base case PD and
LGD assumptions to 2.8% and 4.7%, respectively.

For Cajamar 6, DBRS Morningstar has updated its base case PD and
LGD assumptions to 3.4% and 11.9%, respectively.

CREDIT ENHANCEMENT

For each transaction, credit enhancement to the rated notes is
provided by the subordination of junior classes and a cash
reserve.

For Cajamar 1, the Class A Notes credit enhancement stood at 30.61%
as of the August 2020 payment date, up from 27.9% one year ago. The
Class B Notes credit enhancement was 0.0%. When the Class A Notes
is paid in full, the cash reserve will also provide credit support
to the Class B Notes.

For Cajamar 5 and Cajamar 6, as of the September 2020 payment date,
the Class A Notes credit enhancement remained at 10.7% and 16.9%,
respectively. Both are stable given the current pro rata
amortization of the Class A, Class B, Class C, and Class D notes in
both transactions.

For Cajamar 1, the transaction benefits from a nonamortizing cash
reserve, sized at 3% of the initial balance of the Class A and
Class B notes. It is currently at its target balance of EUR 22.5
million. The reserve provides liquidity support and credit support
to the Class A Notes until the Class A Notes are paid in full after
which time the cash reserve will be available to support the Class
B Notes.

For Cajamar 5, the transaction benefits from an amortizing cash
reserve, currently at its floor and target balance of EUR 7.5
million. For Cajamar 6, the transaction benefits from an amortizing
cash reserve, currently at its target level of EUR 30.2 million.
Both reserves provide liquidity and credit support to the Class A,
Class B, Class C, and Class D notes.

Banco Santander SA (Santander) acts as the account bank for the
three transactions. Based on Santander's reference rating of A
(high), one notch below the DBRS Morningstar Long Term Critical
Obligations Rating of AA (low), the downgrade provisions outlined
in the transaction documents, and other mitigating factors inherent
in the transaction structures, DBRS Morningstar considers the risk
arising from the exposure to Santander to be consistent with the
ratings of the notes, as described in DBRS Morningstar's "Legal
Criteria for European Structured Finance Transactions"
methodology.

DBRS Morningstar analyzed the transaction structures in Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many RMBS transactions, some
meaningfully. The ratings are based on additional analysis and
adjustments to expected performance as a result of the global
efforts to contain the spread of the coronavirus.

For these transactions, DBRS Morningstar increased the expected
default rate for self-employed borrowers and assumed a moderate
reduction in residential property values. As of August 2020, the
loans that benefit from moratorium due to coronavirus represented
0.7% of the portfolio for Cajamar 1, 1.1% of the portfolio for
Cajamar 5, and 0.8% of the portfolio for Cajamar 6.

Notes: All figures are in Euros unless otherwise noted.


RMBS SANTANDER 1: DBRS Confirms C Rating on Series C Notes
----------------------------------------------------------
DBRS Ratings GmbH confirmed and upgraded the ratings on the bonds
issued by four Santander Spanish residential mortgage-backed
securities (RMBS) transactions as follows:

FTA RMBS Santander 1 (SAN1):

-- Series A Notes confirmed at AAA (sf)
-- Series B Notes confirmed at CCC (sf)
-- Series C Notes confirmed at C (sf)

FTA RMBS Santander 3 (SAN3):

-- Series A Notes confirmed at AAA (sf)
-- Series B Notes upgraded to BB (low) (sf) from B (high) (sf)
-- Series C Notes confirmed at C (sf)

FT RMBS Santander 4 (SAN4):

-- Series A Notes confirmed at AA (sf)
-- Series B Notes confirmed at B (sf)
-- Series C Notes confirmed at C (sf)

FT RMBS Santander 5 (SAN5):

-- Series A Notes confirmed at AA (sf)
-- Series B Notes upgraded to BB (low) (sf) from B (low) (sf)
-- Series C Notes confirmed at C (sf)

In each transaction, the ratings on the Series A Notes address the
timely payment of interest and ultimate payment of principal on or
before the respective legal final maturity dates. The ratings on
the Series B Notes and Series C Notes address the ultimate payment
of interest and principal on or before the respective legal final
maturity dates.

The rating actions follow an annual review of the transactions and
are based on the following analytical considerations:

-- Portfolio performances, in terms of delinquencies, defaults,
and losses.

-- Portfolio default rates (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables.

-- Current available credit enhancement to the Series A and Series
B Notes to cover the expected losses at their respective rating
levels. The Series C Notes of each transaction were issued to fund
the cash reserve and are in a first-loss position supported only by
available excess spread. Given the characteristics of the Series C
Notes, as defined in the transaction documents, the default would
most likely be recognized at maturity or following an early
termination of the transaction.

-- Current economic environment and an assessment of sustainable
performance, as a result of the Coronavirus Disease (COVID-19)
pandemic.

All four transactions are securitizations of Spanish first-lien
residential mortgage loans and include a portion of borrowers with
higher-risk characteristics. The pool of SAN1 was originated and is
serviced by Banco Santander S.A. (Santander). The pools of SAN3 and
SAN4 were originated by Santander and Banco de Credito Español
(Banesto, integrated in Santander since 2013) and are serviced by
Santander. The pool of SAN5 is originated by Santander, Banesto and
Banco Banif S.A.U. and is also serviced by Santander.

PORTFOLIO PERFORMANCE

The portfolios are performing within DBRS Morningstar's
expectations. As of the latest payment dates, the 90+ delinquency
ratios stood at 1.2%, 1.2%, 1.4%, and 1.5% of the outstanding
collateral pools of SAN1, SAN3, SAN4 and SAN5, respectively. The
cumulative default ratios were 4.3%, 2.7%, 2.4%, and 1.9%, computed
on the original portfolio balances of SAN1, SAN3, SAN4, and SAN5,
respectively.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted loan-by-loan analyses on the remaining
collateral pools of receivables and updated its PD and LGD
assumptions as follows:

-- In SAN1, the base case PD and LGD are 10.9% and 27.1%,
respectively;

-- In SAN3, the base case PD and LGD are 7.3% and 34.2%,
respectively;

-- In SAN4, the base case PD and LGD are 8.7% and 32.0%,
respectively;

-- In SAN5, the base case PD and LGD are 10.8% and 33.5%,
respectively.

CREDIT ENHANCEMENT

The credit enhancements available to the Series A and B Notes
continue to increase as the transactions continue to deleverage.
The Series C Notes funded the reserve funds and hence do not
benefit from credit enhancement.

The credit enhancements consist of the overcollateralization
provided by the outstanding collateral portfolios and include the
reserve funds in all transactions. The credit enhancements were as
follows:

-- In SAN1, the Series A and Series B Notes credit enhancements
were 52.6% and 4.4% as of the June 2020 payment date, up from 47.1%
and 3.9% as of the June 2019 payment date;

-- In SAN3, the Series A and Series B Notes credit enhancements
were 45.3% and 6.8% as of the August 2020 payment date, up from
41.6% and 6.1% as of the August 2019 payment date;

-- In SAN4, the Series A and Series B Notes credit enhancements
were 36.9% and 6.5% as of the June 2020 payment date, up from 33.8%
and 5.8% as of the June 2019 payment date;

-- In SAN5, the Series A and Series B Notes credit enhancements
were 36.7% and 6.7% as of the July 2020 payment date, up from 33.7%
and 6.1% as of the July 2019 payment date.

The reserve funds were funded through the issuances of junior
series and are available to cover principal losses, senior fees,
and interest shortfall on the rated Notes. As of the latest payment
dates, the reserves were at EUR 33.7 million in SAN1, EUR 275.6
million in SAN3, EUR 126.1 million in SAN4, and EUR 57.9 million in
SAN5. None of the reserve funds are at their target levels but they
have been increasing over the last year in all transactions.

Banco Santander S.A. acts as the Account Bank of all four
transactions. Based on the DBRS Morningstar account bank reference
rating of A (high), one notch below the DBRS Morningstar public
Long-Term Critical Obligations Rating (COR) of Banco Santander of
AA (low), the downgrade provisions outlined in the transactions'
documents, and other mitigating factors inherent in the
transactions' structures, DBRS Morningstar considers the risk
arising from the exposure to the Account Bank in all four
transactions to be consistent with the ratings assigned to the
Series A Notes of each transaction, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

DBRS Morningstar analyzed the transaction structures in Intex
DealMaker.

The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many borrowers. DBRS
Morningstar anticipates that delinquencies may arise in the coming
months for many RMBS transactions, some meaningfully. The ratings
are based on additional analysis and adjustments to expected
performance as a result of the global efforts to contain the spread
of the coronavirus.

For these transactions, DBRS Morningstar increased the expected
default rate for self-employed borrowers, incorporated a moderate
reduction in residential property values, and conducted additional
sensitivity analysis to determine that the transactions benefit
from sufficient liquidity support to withstand potential high
levels of payment holidays in the portfolios.

Notes: All figures are in Euros unless otherwise noted.




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

TURK KATILIM: Fitch Affirms B+ LongTerm IDR, Outlook Negative
-------------------------------------------------------------
Fitch Ratings has affirmed Turk Katilim Bankasi A.S.'s (Kuveyt
Turk) Long-Term Foreign-Currency (LTFC) Issuer Default Rating (IDR)
at 'B+'. The Outlook on the LTFC IDR remains Negative. The bank's
Viability Rating is also affirmed at 'b+'.

KEY RATING DRIVERS

IDRS AND SUPPORT RATING

At 'B+', the bank's LTFC IDR is underpinned by both the bank's VR,
or standalone creditworthiness, and shareholder support.

The '4' Support Rating of Kuveyt Turk reflects its strategic
importance to its 62% owner, Kuwait-based Kuwait Finance House
(K.S.P.C.) (KFH; A+/Stable), as well as its integration and role
within the wider group. Fitch's view of government intervention
risk caps the bank's LTFC IDR at 'B+', one notch below Turkey's
rating. This reflects its assessment that weaknesses in Turkey's
external finances would make some form of intervention in the
banking system that would impede banks' ability to service their
foreign-currency (FC) obligations more likely than a sovereign
default.

In Fitch's view, government intervention risks have increased,
given the greater risk of stress in Turkey's external finances amid
current heightened market volatility and Turkey's weakened net
sovereign FX reserves position. This is the main driver of the
Negative Outlook on the bank's ratings.

The 'BB-' Long-Term Local-Currency (LTLC) IDR of Kuveyt Turk, which
is also driven by institutional support, is one notch above its
LTFC IDR, reflecting its view of a lower likelihood of government
intervention that would impede the bank's ability to service
obligations in local currency (LC) versus obligations in FC.
However, the LTLC IDR is also on Negative Outlook, mirroring the
sovereign Outlook, reflecting its view that the likelihood of
government intervention that would impede the bank's ability to
service its obligations in LC is not lower than the probability of
a sovereign default in LC obligations.

VR

The VR affirmation at 'b+', despite heightened
operating-environment pressures, reflects the reasonable company
profile of Kuveyt Turk, which is underpinned by its solid market
share in the niche participation banking segment (ranked first),
notwithstanding its small domestic market share and concentration
of operations in the high-risk Turkish operating environment. The
bank benefits from a low, below-sector average cost of funding,
underpinning its solid net profit-share margin and profitability,
reflecting its high share of funding sources in demand deposits and
gold deposit accounts.

Risks to Kuveyt Turk's standalone credit profile, which were
already significant prior to the pandemic, have been heightened by
the coronavirus outbreak and lockdown measures. The lira
depreciated 24% in 9M20 and Fitch forecasts Turkey's GDP will
contract 3.2% in 2020 followed by a subsequent sharp recovery (5%
GDP growth) in 2021.

Monetary policy measures and fiscal support for the private sector
and financial markets, including the Central Bank of the Republic
of Turkey interest-rate cuts and the expanded Credit Guarantee Fund
(CGF; whereby financing disbursed under the facility to SMEs and
certain retail borrowers is covered by a Turkish Treasury guarantee
up to a certain non-performing financing (NPF) cap), have supported
borrowers' repayment capacity and the bank's ability to grow. In
addition, regulatory forbearance measures will provide uplift to
Kuveyt Turk's reported asset-quality, capital, and performance
metrics over the short term.

Kuveyt Turk has grown consistently above the sector average in
recent years. Gross financing grew 14% in FX-adjusted terms in
1H20, slightly below the sector growth of 16%, mainly driven by the
SME segment. Fitch understands from management that the bank's
growth appetite in 2H20 will be lower.

Asset-quality risks for the bank have increased given a weaker
growth outlook and high foreign currency (FC) financing (end-1H20:
36% of gross financing; sector: 35%), given the potential impact of
the lira depreciation on often weakly hedged borrowers' ability to
service their borrowing. Kuveyt Turk also has high exposure to the
SME segment (1H20: 38% of gross financing, including the micro-SME
segment), which is highly sensitive to the weaker economic climate.
The SME portfolio partially benefits from Treasury guarantees under
the CGF facility (end-1H20: 9% of gross financing).

Exposure to the troubled construction and real-estate sector (1H20:
14% of gross financing, largely financing to contractors) and, to a
lesser extent, the energy sector (1H20: 8% of gross financing,
around 70% of which is renewable-energy financing), are additional
sources of risk at the bank. These sectors have come under pressure
from the weak growth outlook, market illiquidity (real estate), the
lira depreciation (as exposures are frequently in FC while revenues
are in lira) and weak energy prices (energy financing). Single-name
concentration risk is moderate at Kuveyt Turk (top-25 obligors at
13% of gross financing, 1.3x CET1 ratio).

Total non-performing financings (NPFs) made up a
below-sector-average 3.1% of gross financing at end-1H20. The Stage
2 NPF ratio was higher at 9.5%, of which 30% was restructured.

The monthly amortising structure of the financing book means that
any deterioration in underlying asset quality should feed through
swiftly. However, the bank's reported asset-quality metrics will
continue to be supported by forbearance in the short term. As a
result of forbearance measures, Fitch does not expect growth in
reported sector NPFs to increase until at least 1Q21.

Nevertheless, Fitch expects problem financing at Kuveyt Turk to
rise from their current low levels, given heightened asset-quality
risks - although the extent of deterioration will depend on the
impact of the pandemic fallout and the pace of economic recovery.

At end-1H20 total reserve coverage of NPFs was a high 191%, a level
that far exceeded the sector average (of 116%). However, this
partly reflected the bank's higher reserves coverage (21%) of Stage
2 exposures, due to the lumpy nature of this book and that a large
part of the financings was consequently individually assessed.

Kuveyt Turk reported an above-sector-average operating profit/total
asset ratio in 1H20 of 1.5%, versus 1.3% for the sector. This was
underpinned by its improved net financing margin as deposit costs
fell in the lower lira-rate environment, and by trading gains
stemming from higher FC and gold transactions of customers (equal
to 23% of operating income). However, financing volumes are set to
reduce over the short term, while margins are set to tighten as
lira interest rates rise. Low-cost demand and gold deposit accounts
comprised 52% of the deposit base, supporting the bank's
below-sector-average cost of deposit funding.

Impairment charges absorbed 43% of Kuveyt Turk's pre-impairment
operating profit in 1H20 (2019: 59%) and included increased
provisions in 2Q20, partly reflecting weaker macroeconomic IFRS 9
model inputs, despite an easing of regulatory loan classifications.
Fitch expects financing impairments to continue to weigh on
profitability as the bank provisions for increased risks, despite
ongoing regulatory forbearance in the short term.

Core capitalisation is only moderate for the bank's risk profile
and considering heightened operating- environment risks, the lira
depreciation (given the inflation of FC risk-weighted assets) and
asset-quality risks. At end-1H20, its common equity tier-1 (CET1)
ratio stood at 13.3%. The bank's total capital adequacy ratio was
higher (21%) and comfortably above regulatory requirements,
supported by FC- denominated tier 2 subordinated borrowing and AT1
capital. Pre-impairment profit provides an additional buffer to
absorb losses through the income statement (1H20: equal to 5.5% of
average financing; annualised basis).

As an Islamic bank, risk weightings on Kuveyt Turk's assets
directly financed by profit share accounts are reduced by 50% (due
to implicit transfer risk) based on a "profit-sharing" concept.
This resulted in 220bp uplift to the bank's capital ratios at
end-1H20.

Funding is largely sourced from customer deposits, although a
significant share is in FC (59% of total customer deposits, versus
50% for the sector), in part inflated by the sector's increased
dollarisation in 1H20 and 2019. FC wholesale funding is high, at
14% of total funding at end-1H20 (or 13%, net of parent funding
primarily in the form of AT1 capital).

Refinancing risks are mitigated by potential FC liquidity support
from the parent bank. In addition, Kuveyt Turk's FC liquidity is
generally adequate. Fitch calculates that at end-1H20 FC liquid
assets (comprising mainly cash and interbank placements, FC
reserves held under the reserve option mechanism and unpledged
government Sukuk) sufficiently covered the bank's short-term FC
non-deposit liabilities due within a year. Liquidity is also
supported by the largely monthly amortising nature of the bank's
financing book. Nevertheless, FC liquidity could come under
pressure from prolonged market closure or deposit instability.

In assessing Kuveyt Turk's ratings, Fitch considers the important
differences between Islamic and conventional banks. These include a
closer analysis of regulatory oversight, disclosure, accounting
standards and corporate governance. Islamic banks' ratings do not
express an opinion on the bank's compliance with sharia. Fitch will
assess non-compliance with sharia if it has credit implications.

NATIONAL RATING

The National Rating affirmation reflects its view that the bank's
creditworthiness in LC relative to that of other Turkish issuers
has not changed.

RATING SENSITIVITIES

IDRS, SUPPORT RATING AND VR

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

The bank's LTFC IDR is primarily sensitive to Fitch's view of
government intervention risk in the banking sector and could be
downgraded if Fitch assesses this risk as having increased. The
LTFC IDR could also be downgraded if the bank's VR is downgraded
and its assessment of institutional support simultaneously
weakens.

The LTLC IDR is sensitive to an adverse change in the ability and
propensity of its parent to provide support and to Fitch's view of
intervention risk in the banking sector.

The VR is sensitive to marked deterioration in the operating
environment and therefore to the economic and financial market
fallout of the pandemic, given the negative implications for the
bank's financial profile.

The bank's VR could be downgraded due to material deterioration of
asset quality leading to significant pressure on the bank's capital
position, or a weakening of its FC liquidity position due to
deposit outflows or an inability to refinance maturing external
obligations, if not offset by shareholder support.

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

An upgrade of the bank's ratings is unlikely in the near term given
the Negative Outlooks. The Outlook on the LT IDRs could be revised
to Stable if Fitch believes that the risk of government
intervention in the banking system has abated.

NATIONAL RATING

The National Rating is sensitive to changes in the bank's LTLC IDR
and in the bank's relative creditworthiness to other Turkish
issuers.

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

As an Islamic bank, Kuveyt Turk needs to ensure compliance of its
entire operations and activities with sharia principles and rules.
This entails additional costs, processes, disclosures, regulations,
reporting and sharia audit. This results in a Governance Structure
relevance score of '4' for the bank (in contrast to a typical ESG
relevance score of '3' for comparable conventional banks), which
has a negative impact on its credit profile in combination with
other factors.

In addition, Kuveyt Turk has an exposure to social impacts
relevance score of '3' (in contrast to a typical ESG relevance
score of '2' for comparable conventional banks), which reflects
that Islamic banks have certain sharia limitations embedded in
their operations and obligations, although this only has a minimal
credit impact on the entities.

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


TURKIYE FINANS: Fitch Affirms B+ LongTerm IDR, Outlook Negative
---------------------------------------------------------------
Fitch Ratings has affirmed the Long-Term Foreign-Currency (LT FC)
Issuer Default Rating (IDR) of Turkiye Finans Katilim Bankasi A.S.
at 'B+'. The Outlook on the LT FC IDR is Negative. The bank's
Viability Rating (VR) is also affirmed at 'b+'.

KEY RATING DRIVERS

IDRS AND SUPPORT RATING

The bank's LT FC IDR is affirmed at 'B+'. At this level, the rating
is underpinned by both the bank's VR, or standalone
creditworthiness, and shareholder support.

Turkiye Finans's Support Rating of '4' reflects its strategic
importance to its 67% parent, Saudi Arabia-based The National
Commercial Bank (NCB; A-/Rating Watch Negative (RWN)), and its
integration and role within the wider group. Fitch's view of
government intervention risk caps the bank's LT FC IDR at 'B+', one
notch below Turkey's rating. This reflects its assessment that
weaknesses in Turkey's external finances make an intervention in
the banking system that could impede banks' ability to service
their foreign-currency obligations more likely than a sovereign
default.

In Fitch's view, government intervention risks have increased. This
is considering the greater risk of a stress in Turkey's external
finances amid the heightened market volatility and Turkey's
weakened net sovereign foreign exchange (FX) reserves position.
This is the main driver of the Negative Outlook on the bank's
ratings.

The LT Local-Currency (LC) IDR, which is also driven by
institutional support, is affirmed at 'BB-', one notch above
Turkiye Finans's LT FC IDR. This reflects its view that government
intervention that would impede the bank's ability to service
obligations in LC is less likely than in FC. However, the LT LC IDR
is also on Negative Outlook, mirroring the sovereign Outlook, and
reflecting its view that government intervention that would impede
the bank's ability to service its obligations in LC is not less
likely than a sovereign default in LC.

VR

The affirmation of the bank's 'b+' VR, despite heightened operating
environment pressures, reflects Turkiye Finans's established niche
franchise, moderate capitalisation, sufficient foreign-currency
(FC) liquidity buffer and limited refinancing risk.

The VR reflects the concentration of Turkiye Finans's operations in
the high-risk Turkish operating environment. Heightened pressures
to the bank's credit profile resulting from the economic and
financial-market fallout from the coronavirus pandemic also drive
the Negative Outlook on the LT FC IDR.

The VR also reflects Turkiye Finans's niche participation bank
franchise (ranked second by total assets among Islamic banks), a
segment that offers reasonable medium-term prospects, given its
strategic importance to the Turkish authorities and low base
(end-1H20: equal to 7% of total banking sector assets).

Risks to the bank's standalone creditworthiness were already
significant at the beginning of the pandemic and they have been
further heightened by the pandemic and lockdown measures, due to
the economic contraction and market volatility. The lira
depreciated by 24% in 9M20 and Fitch forecasts Turkey's GDP will
contract 3.2% in 2020, followed by a subsequent sharp recovery
(5.0% growth) in 2021.

Monetary policy measures and fiscal support for the private sector
and financial markets, including further lira interest-rate cuts in
1H20 and the expanded Credit Guarantee Fund (CGF; whereby financing
disbursed under the facility largely to SMEs is covered by a
Turkish Treasury guarantee up to a certain non-performing financing
(NPF) cap), have supported borrower repayment capacity and sector
financing growth over the course of the pandemic.

Regulatory forbearance in place until end-2020 will provide uplift
to the bank's reported asset quality, capital, and performance
metrics over the short term. Asset quality-related forbearance
measures may delay the recognition of problematic exposures, in its
view.

The bank grew rapidly in 1H20 (27% FX-adjusted; sector: 16%) as it
expanded lira working capital financing - primarily to the larger
business and retail consumer segments. However, this increase in
risk appetite followed a period of below-sector-average financing
growth (2017-2019: -2% FX-adjusted, annual average) as Turkiye
Finans tightened underwriting standards and cleaned up its
financing book.

The bank continued to deleverage FC financing in 1H20 (down 6% in
USD terms). Nevertheless, FC loans are high - although decreasing -
at 34% of gross financing at end-1H20 (end-2019: 43%) and not all
borrowers will be fully hedged, in its view. Fitch expects
financing growth to slow in 2H20 due to the reduction in government
stimulus and as effective lira interest rates rise.

Turkiye Finans also has exposure to risky sectors including
construction (end-1H20: 9% of financing; mainly residential
development financing) and energy (4%; largely renewable energy
production). Sectors such as transportation (4%) have also proven
highly sensitive to the effects of the coronavirus pandemic.
Financing of SMEs - a segment that is highly sensitive to the
weaker growth outlook - is also significant (37%) and only a small
portion (end-1H20: equal to 4% of gross financing) is
collateralised by Turkish Treasury guarantees under the Credit
Guarantee Fund (CGF) facility.

Financing is fairly concentrated by single borrower, with the 100
largest cash exposures equal to 36% of financing (2.6x common
equity Tier 1 (CET1)) at end-2019.

NPFs made up 6.1% of gross financing at end-1H20. Stage 2 financing
(8.9%) is largely restructured (72% of total Stage 2). Asset
quality risks are heightened by the weak growth outlook and high FC
financing amid the lira depreciation. The monthly amortising
structure of the financing book means that any deterioration in
underlying asset quality should feed through swiftly. However,
reported asset quality metrics will continue to be supported by
forbearance in the short term. Fitch does not expect growth in
reported NPFs across the sector until at least 1Q21.

At end-1H20, total reserve coverage of NPFs was 75%, versus the
sector average of 116%, reflecting reliance on collateral. Coverage
of Stage 2 exposures is low (6%). Fitch expects problem financing
to rise from its current low level, given the bank's risk profile
and asset quality risks - although the extent of asset quality
deterioration will depend on the impact of the pandemic and the
pace of economic recovery.

Turkiye Finans's profitability has historically been below sector
average, weighed down by asset-quality pressures, a focus in recent
years on cleaning up financing over growth and its below-average
cost efficiency. However, performance was reasonable in 1H20 (1H20
operating profit/total assets of 1.7%; 2019: 1.0%), underpinned by
renewed financing growth and more manageable financing impairment
charges. Its net financing margin was also sound (5.0%).

Low-cost demand deposit accounts comprised 48% of the deposit base
at end-1H20 (end-2019: 38%), supporting the bank's
below-sector-average cost of deposit funding and sound net
financing margin. However, new financing volumes are set to reduce
over the short term. Rising lira interest rates rise will also put
pressure on margins.

Impairment charges absorbed 46% of Turkiye Finans's pre-impairment
profit in 1H20 (2019: 60%). The bank increased provisions in 2Q20
despite the easing of regulatory financing classifications, partly
reflecting weaker macroeconomic IFRS 9 model inputs. Fitch expects
financing impairments to continue to weigh on profitability given
heightened asset quality risks and as the bank provisions for
increased risks despite regulatory forbearance in the short term.

The bank's capitalisation is only moderate considering the lira
depreciation (due to the inflation of FC risk-weighted assets) and
asset quality risks. Its CET1 ratio was a moderate 12.5% at
end-1H20, although its total capital ratio was higher at 17.0%,
supported by FC subordinated borrowing from NCB. Pre-impairment
profit provides an additional buffer to absorb losses through the
income statement (1H20: equal to 4.9% of average financing;
annualised basis).

As an Islamic bank, risk weightings on Turkiye Finans's assets
directly financed by profit share accounts are reduced by 50% (due
to the implicit transfer of risk) based on a "profit-sharing"
concept. This resulted in 170bp uplift to the bank's CET1 ratio at
end-1H20.

The bank's gross financing/deposits ratio was a sound 90% at
end-1H20 (sector: 111%). Funding is largely sourced from customer
deposits (end-1H20: 84% of total funding), although a significant
and increased share is in FC (63% of total customer deposits;
sector: 50%). The bank has deliberately reduced external funding in
recent years. FC wholesale borrowing was just 7% of total funding
at end-1H20. Parent funding is also low (3% of total funding) and
not budgeted to increase.

The bank's FC liquidity is sufficient to cover short-term FC
non-deposit liabilities due within a year. FC liquid assets
comprise mainly FC swaps, unpledged FC government sukuk, FC cash,
and interbank placements. Liquidity is supported by the largely
monthly amortising nature of financing. Nevertheless, the bank's FC
liquidity could come under pressure from prolonged market closure
or deposit instability.

Refinancing risks are mitigated by Turkiye Finans's low external FC
borrowing and potential FC liquidity support from NCB.

In assessing Turkiye Finans's ratings, Fitch considers the
important differences between Islamic and conventional banks. These
include a closer analysis of regulatory oversight, disclosure,
accounting standards and corporate governance. Islamic banks'
ratings do not express an opinion on the bank's compliance with
sharia. Fitch will assess non-compliance with sharia if it has
credit implications.

NATIONAL RATING

The National Rating is affirmed at 'AA(tur)' with a Stable Outlook,
reflecting its view that the bank's creditworthiness in LC relative
to other Turkish issuers has not changed.

RATING SENSITIVITIES

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

The bank's LT FC IDR is primarily sensitive to Fitch's view of
government intervention risk in the banking sector and could be
downgraded if Fitch assesses this risk as having increased. The LT
FC IDR could also be downgraded if the bank's VR is downgraded and
its assessment of institutional support simultaneously weakens.

The LT LC IDR is sensitive to the ability and propensity of its
parent to provide support and to Fitch's view of intervention risk
in the banking sector.

The VR is sensitive to a marked deterioration in the operating
environment, and therefore to the economic and financial market
fallout of the pandemic, given the negative implications for the
bank's financial profile.

The bank's VRs could be downgraded due to a material deterioration
of asset quality leading to significant pressure on the bank's
capital position, or a weakening of its FC liquidity position due
to deposit outflows or an inability to refinance maturing external
obligations, if not offset by shareholder support.

The National Rating is sensitive to changes in the bank's LT LC IDR
and in its relative creditworthiness to other Turkish issuers. A
negative rating action on the LT LC IDRs could lead to a negative
rating action on the National Rating.

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

An upgrade of the bank's ratings is unlikely in the near term given
the Negative Outlooks. The Outlook on the LT IDRs could be revised
to Stable if Fitch believes that the risk of government
intervention in the banking system has abated.

The National Rating is sensitive to changes in the bank's LT LC IDR
and in its relative creditworthiness to other Turkish issuers. A
positive rating action on the LT LC IDRs could lead to a positive
rating action on the National Rating.

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

Turkiye Finans has an ESG Relevance Score of '4' for Governance
Structure due to its Islamic banking nature (in contrast to a
typical ESG relevance score of '3' for comparable conventional
banks), which has a negative impact on the credit profile, and is
relevant to the ratings in conjunction with other factors. As an
Islamic bank, Turkiye Finans needs to ensure compliance of its
entire operations and activities with sharia principles and rules.
This entails additional costs, processes, disclosures, regulations,
reporting and sharia audit.

In addition, Turkiye Finans has an exposure to social impacts
relevance score of '3' (in contrast to a typical ESG relevance
score of '2' for comparable conventional banks), which reflects
that Islamic banks have certain sharia limitations embedded in
their operations and obligations, although this only has a minimal
credit impact on the entities.

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


VAKIF KATILIM: Fitch Affirms 'B' LongTerm IDR, Outlook Negative
---------------------------------------------------------------
Fitch Ratings has affirmed Vakif Katilim Bankasi AS's (Vakif
Katilim) Long-Term Foreign-Currency (LTFC) Issuer Default Ratings
(IDR) at 'B'. The rating is driven by the bank's standalone
creditworthiness, as reflected in the bank's 'b' Viability Rating
(VR). The Outlook is Negative.

KEY RATING DRIVERS

VR AND LTFC IDR

Vakif Katilim's LTFC IDR is driven by the VR but underpinned by
potential state support. The Negative Outlook primarily reflects
heightened pressure on the bank's standalone creditworthiness due
to the coronavirus outbreak and ensuing economic downturn and
financial-market volatility. However, it also reflects increased
risks to the ability of the Turkish authorities to provide support
given the depletion in sovereign net foreign-exchange reserves and
the risk of increased pressure on Turkey's external finances amid
heightened market volatility.

Vakif Katilim's ratings reflect a limited record of operation and
rapid-growth appetite, which heighten credit risks given the bank's
still developing risk framework and rising numbers of new
borrowers. However, the ratings also reflect its sufficient FC
liquidity buffer, particularly considering the bank's limited
external debt exposure, and large budgeted capital increases. This
should underpin its capital position despite heightened operating
environment pressures, rapid projected growth, and asset-quality
risks.

Vakif Katilim operates in the participation-banking segment, which
offers reasonable medium-term prospects, given its small - albeit
growing - share relative to total banking-sector assets (end-1H20:
7%) and strategic importance to the Turkish authorities. The bank
has grown rapidly (2019: total assets growth of 45%), from a small
base since it started operations in 2016, facilitated by capital
injections from the authorities. At end-1H20 it accounted for 0.8%
of sector assets and was the fifth-largest Turkish participation
bank in Turkey.

Risks to the bank's standalone creditworthiness were already
significant before the pandemic and have been further heightened by
the coronavirus outbreak and lockdown measures via economic
contraction and market volatility. The lira depreciated 24% in 9M20
and Fitch forecasts Turkey's GDP will contract 3.2% in 2020,
followed by a subsequent sharp recovery (5% growth) in 2021.

Monetary-policy measures and fiscal support for the private sector
and financial markets, including further lira interest-rate cuts in
1H20 and the expanded Credit Guarantee Fund (CGF; whereby financing
disbursed under the facility largely to SMEs is covered by a
Turkish Treasury guarantee up to a certain non-performing financing
(NPF) cap), have supported borrower repayment capacity and
sector-financing growth over the course of the pandemic. CGF
financing accounted for a significant portion of Vakif Katilim's
new financing origination in 1H20.

Regulatory forbearance in place until end-2020 will also continue
to provide uplift to the bank's reported asset quality, capital,
and performance metrics over the short term. Forbearance measures
may serve only to delay recognition of problematic exposures, in
its view.

Credit risks for Vakif Katilim remain significant given its high
growth appetite against the challenging macro backdrop and ensuing
seasoning risks, it's still developing, untested risk management
framework and its high single-name and concentration risk,
including to the high-risk real estate and construction sector. The
latter was equal to 20% of the bank's gross financing at end-1H20;
primarily comprising real-estate development financing.
Above-sector-average FC financing (42% of gross financing versus
sector's 35%), primarily to the corporate segment, is also a source
of risk, given that not all borrowers will be fully hedged against
lira depreciation, in Fitch's view.

Financing growth at the bank was high at 29%, but from a low base,
in 1H20 (or 21% foreign exchange (FX)-adjusted), largely driven by
local-currency financing. CGF financing accounted for two-thirds of
this growth, partly mitigating credit risks. Financing
diversification by both borrower and sector should improve as the
bank scales up operations. Financing was split 78%/14%/8% between
the corporate/SME/retail segments at end-1H20 and Vakif Katilim
plans to grow the share of SME and retail financing over the medium
term.

Vakif Katilim's impaired financing ratio (NPF; end-1H20: 2.6%) is
below sector average (4.4%), although its asset-quality metrics
should be viewed against the bank's above-sector average growth.
Financing overdue by 90-180 days (equal to 2.8% of gross financing)
was not recorded as NPF at end-1H20 due to regulatory forbearance
on loan classification. The bank's Stage 2 financing ratio remained
broadly flat at 5% at end-1H20, of which 29% was restructured.

Total reserves coverage of NPFs (end-1H20: 106%) is adequate.
However, seasoning risks could generate new impairments given the
bank's rapid growth. Fitch expects problem financing to rise from
its current low level, although the extent of asset-quality
deterioration will depend on the impact of the pandemic fallout and
the pace of economic recovery.

The bank's performance (1H20: operating profit/total assets of 2%;
sector: 1.7%) has been reasonable to date, underpinned by rapid
financing growth, access to state-related funding and controlled
increases in operating expenses - despite a lack of economies of
scale and investments in growing the business (cost/assets ratio of
2.1% versus 2% for the sector). Financing impairment charges have
also been manageable to date (1H20: equal to 42% of pre-impairment
operating profit).

The bank's net financing margin is also adequate (1H20: 4.7%),
despite a high share of low-yielding corporate financing. The
margin is underpinned by its access to low-cost state-related
deposits (10% of total funding at end-1H20). However, rising lira
interest rates will erode core spreads in the short term, due to
the repricing mismatch between the bank's assets and liabilities,
and Fitch expects profitability in 2021 to be weighed down by high
impairment charges as financing seasons.

Vakif Katilim's CET1 ratio (end-1H20: 18.6% excluding potential
regulatory forbearance uplift of about 500bp) is only moderate for
the bank' risk profile and growth appetite. It increased materially
in 1Q20 following a sizeable core capital injection (equal to 49%
of end-1H20 equity) from the bank's direct shareholder, the
state-related General Directorate of Foundations (GDF). However,
this, along with further planned capital increases, will be crucial
in supporting budgeted growth.

The bank's total capital adequacy ratio (21.7%) is underpinned by
EUR100 million of perpetual AT1 debt provided by the Turkish
authorities in 2Q19, which provides a partial hedge against lira
depreciation.

As an Islamic bank, risk weightings on Vakif Katilim's assets
directly financed by profit-share accounts are reduced by 50% (due
to the implicit transfer of risk) based on a "profit-sharing"
concept. This resulted in a high 450bp uplift to the bank's CET1
ratio at end-1H20.

Additional budgeted capital increases from GDF will mitigate risks
to capitalisation from further rapid growth, likely asset-quality
deterioration, potential lira depreciation (which inflates FC
risk-weighted assets) and market volatility. Pre-impairment
operating profit (5.8% of average financing in 1H20; annualised)
also provides a solid buffer to absorb losses through the income
statement.

The bank is largely deposit-funded (86% of total funding at
end-1H20) and its gross financing/deposits ratio (75%)
significantly outperforms the sector average (111%). However,
deposits are primarily in FC (62% of total customer deposits versus
sector's 50%) and concentration risk is high, albeit partly
reflecting some lumpy state-related deposits (12% of total customer
deposits at end-1H20; bank calculation), which are broadly stable.

Refinancing risk is manageable. FC liquidity is adequate given the
bank's limited FC wholesale-funding exposure (5% of total funding
at end-1H20); however, the latter could increase as the bank
diversifies funding sources over the medium term. FC liquidity
could come under pressure from prolonged market closure or
FC-deposit instability.

In assessing Vakif Katilim's ratings, Fitch considers the important
differences between Islamic and conventional banks. These include a
closer analysis of regulatory oversight, disclosure, accounting
standards and corporate governance. Islamic banks' ratings do not
express an opinion on the bank's compliance with sharia. Fitch will
assess non-compliance with sharia if it has credit implications.

LTLC IDR; SUPPORT RATING; SUPPORT RATING FLOOR

Vakif Katilim's '4' Support Rating (SR) and 'B' Support Rating
Floor (SRF) primarily reflect the limited ability of the sovereign
to provide support in FC, considering the country's weak net FX
reserves position.

The SRF continues to reflect a high government propensity to
support the bank in case of need, given its ultimate government
ownership, the strategic importance of Islamic banking to the
Turkish authorities and the record of capital support. The
authorities have budgeted further significant core capital
injections to support Vakif Katilim's growth plans.

Vakif Katilim's Long-Term Local-Currency (LTLC) IDR is driven by
state support and is equalised with the sovereign rating at 'BB-',
two notches above the bank's LTFC IDR, reflecting the higher
ability of the sovereign to provide support in local currency (LC).
The Negative Outlook mirrors that on the sovereign rating.

NATIONAL RATING

The affirmation of the bank's National Rating reflects its view
that Vakif Katilim's creditworthiness in local currency relative to
that of other Turkish issuers has not changed.

Vakif Katilim has an ESG Relevance Score of '4' for Governance
Structure in contrast to a typical relevance influence score of '3'
for comparable banks, reflecting potential government influence
over its board's strategies and effectiveness in the challenging
Turkish operating environment.

In addition, as an Islamic bank it needs to ensure compliance of
its entire operations and activities with sharia principles and
rules. This entails additional costs, processes, disclosures,
regulations, reporting and sharia audit. This also results in an
ESG Relevance Score of '4' for Governance Structure for the bank
(in contrast to a typical ESG relevance score of '3' for comparable
conventional banks). All this has a negative impact on the bank's
credit profile in combination with other factors.

RATING SENSITIVITIES

VR AND LTFC IDR

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

The LTFC IDR is sensitive to marked deterioration in the operating
environment and therefore to the economic and financial market
fallout of the pandemic, given the negative implications for the
bank's financial profile.

The VR could be downgraded if expected capital support from GDF is
not sufficient or forthcoming on a timely basis to support the
bank's growth and loss absorption capacity or if FC-deposit
instability leads to pressure on its liquidity and funding
profile.

The bank's VR could also be downgraded due to rapid deterioration
of asset quality evidencing material failures in underwriting or
risk control.

A VR downgrade would only lead to a downgrade of the bank's LTFC
IDR if its assessment of potential state support in FC also
weakens.

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

Upside for the bank's ratings is limited in the near term given the
Negative Outlook on the LTFC IDR. The Outlook could be revised to
Stable if economic conditions stabilise, supporting Vakif Katilim's
earnings, asset quality, and funding stability. It could also be
revised to Stable if the sovereign's ability to provide support to
the bank in FC improves.

LTLC IDR, SR AND SRF

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

The LTLC IDR could be downgraded if the Turkish sovereign LTLC IDR
is downgraded. It could also be downgraded if Fitch believes the
sovereign's propensity to provide support in LC has reduced (not
Fitch's base case).

Vakif Katilim's SR and SRF could be downgraded and revised
downward, respectively, if further stress in Turkey's external
finances materially reduces the reliability of sovereign support
for the bank in FC.

The introduction of bank resolution legislation in Turkey aimed at
limiting sovereign support for failed banks could negatively affect
Fitch's view of support, but Fitch does not expect this in the
short term.

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

An upgrade of the bank's LTLC IDR is unlikely in the near term
given the Negative Outlook. The Outlook could be revised to Stable
in case of a similar rating action on the sovereign.

The bank's SR and SRF are unlikely to be upgraded and revised
upward, respectively, in the near term given the Negative Outlook
on the sovereign.

NATIONAL RATING

The National Rating of Vakif Katilim is sensitive to changes in its
LTLC IDR and its relative creditworthiness to that of other Turkish
issuers.

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

Vakif Katilim has an ESG Relevance Score of '4' for Governance
Structure.

In addition, Islamic banks have an exposure to social impacts
relevance score of '3' (in contrast to a typical ESG relevance
score of '2' for comparable conventional banks), which reflects
that Islamic banks have certain sharia limitations embedded in
their operations and obligations, although this only has a minimal
credit impact on Islamic banks.

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.




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

BRITISH AIRWAYS: Fitch Lowers LT IDR to BB, Outlook Negative
------------------------------------------------------------
Fitch Ratings has downgraded British Airways Plc's (BA) Long-Term
Issuer Default Rating (IDR) to 'BB' from 'BB+'. The Outlook is
Negative. Simultaneously, Fitch has maintained Rating Watch
Negative (RWN) on BA's pass-through certificates 2018-1 (BA EETC
2018-1) class AA, which are rated 'AA-'.

The IDR downgrade reflects slower-than-expected recovery in air
travel, which Fitch expects to remain subdued around the current
levels well into 1Q21. This is due to the ongoing widespread
coronavirus infection and associated travel restrictions, followed
by more longer-term ramifications from the economic downturn and
potentially a structural change in travel behaviour, further
suppressing demand for air travel. Fitch assumes equity-like
support from its parent, International Consolidated Airlines Group,
S.A. (IAG), which would support its liquidity and strengthen the
ties with BA, leading to BA's rating being capped at the
consolidated credit profile.

The Negative Outlook reflects further downside risk to demand
recovery as well as continued execution risk for BA in
restructuring its operational base to adapt to the changed and
uncertain environment.

The RWN on the 2018-1 class AA certificates reflects the continued
uncertainty around aircraft values related to the impact of the
coronavirus pandemic.

KEY RATING DRIVERS

Subdued Recovery from Coronavirus: Fitch forecasts a slower sector
recovery than what Fitch expected at the onset of the coronavirus
pandemic and believes the recovery is highly exposed to further
setbacks. Its view is supported by the second wave of coronavirus
infection in Europe with little sign of abating, uncertainty around
travel restrictions and a deep economic recession in 2020 (Fitch
expects GDP to decline 9% in the eurozone and 11.5% in the UK).
After a notable resumption of flights in July and August driven by
summer holiday demand, BA's number of scheduled flights in
September were reduced again and down by around 78% yoy, according
to OAG Aviation Worldwide Limited (OAG).

High Exposure to Worse-hit Segments: High exposure to corporate
demand, long-haul international traffic and single-country
operational base - all of which are typical characteristics of
legacy network carriers - puts BA on a slower recovery path than
low-cost carriers (LCCs) such as Ryanair Holdings plc and Wizz Air
Holdings Plc. According to OAG, the number of scheduled flights by
BA was no more than 28% in August versus the same month last year.
The two aforementioned LCCs resumed over 60% and 80% respectively,
although capacity and traffic recovery for most European airlines
subsided from September. Based only in the UK, BA's recovery is
highly dependent on the UK government's travel restrictions, which
Fitch does not expect to be lifted soon.

Sufficient Liquidity through 2021: As of June 2020, BA had cash and
cash equivalent of GBP2.1 billion and committed and undrawn general
and aircraft facilities available were GBP1.4 billion. This,
combined with GBP750 million cash received in August at the level
of Avios Global Limited (86.26%-owned by BA) for the renewal of
partnership with American Express and the likely support from IAG's
EUR2.74 billion capital increase, will be sufficient to take BA
through the downturn into 2021. Fitch expects further
capital-market activities by BA to shore up its liquidity
position.

Capital Increase Strengthens Ties: Fitch assumes tangible support
for BA to come in equity-like form from IAG following its EUR2.74
billion capital increase, which would, in its view, strengthen the
ties between IAG and BA. This is likely to lead to BA's rating
being capped at the consolidated credit profile, which Fitch
assesses to be in the 'BB' rating category. BA is the key
contributor to the consolidated credit profile, at around
two-thirds of group's 2019 EBIT (before exceptional items). Should
support take place in the form of a senior shareholder loan, its
view of BA's Standalone Credit Profile (SCP) and the links with IAG
would weaken.

Over-hedging Adds to Losses: BA hedged a large portion (around 90%
at IAG level) of fuel consumption estimated for 2020 prior to the
outbreak. Given the low oil price environment, it is largely
out-of-the-money, with GBP688 million of exceptional cost in 1H20
related to fuel over-hedging in place for 2020 and beyond, more
than half of which was realised, with the rest subject to the
development of mark-to-market oil price for the rest of the year.
Fuel over-hedging loss is prevalent particularly in Europe and has
exacerbated European airlines' financial performance, on top of a
weaker domestic base that hampers recovery compared with other
regions.

Weaker Deleveraging Capacity: With its assumptions of cost-base
cuts and working-capital recovery following a significant reduction
in 2020, Fitch expects BA to be able to generate positive free cash
flow (FCF) from 2022, but for credit ratios to remain weak as debt
repayment capacity declines on weaker EBITDA versus pre-pandemic
levels. Assuming additional borrowing during 2020 and 2021, Fitch
forecasts BA's leverage to recover to the 'BB' rating sensitivities
only in 2023, leaving little room for further underperformance.
Fitch assumes BA will adjust its expenditure, including staff
costs, deferral of non-essential and non-regulatory capex, and
reduction in non-fleet-related expenditure.

BA EETC 2018-1: For the certificate collateral Fitch applied a
value stress of 40% to Airbus SE's (A-/Negative) A320neos and The
Boeing Company's (BBB/Negative) 787-9s and 45% to Boeing's 787-8s.
The 40% stress rate reflects Fitch's opinion that both A320neo and
787-9 are more technologically advanced than previous generations
of narrow- and wide-body aircraft, respectively, and are more
desired aircraft collateral. While Fitch believes the 787-8 is a
mid-tier 1 aircraft with fuel-efficient design and growing
in-service fleet, this is offset by a weaker order book for the
787-8 compared with the larger 787-9. Fitch therefore applied a 45%
value stress.

DERIVATION SUMMARY

BA's exposure to the crisis is similar to other major European
network carriers, while the company's liquidity buffer is fairly
strong and comparable to Ryanair Holdings plc (BBB/Negative) and
Wizz Air Holdings plc (BBB-/Negative). BA and Delta Air Lines
(BB+/Negative) have both lost their investment-grade status since
the coronavirus outbreak, as Fitch expects both companies' cash
burn and additional debt raised to sustain liquidity through the
pandemic will drive credit metrics outside of a range supportive of
investment-grade ratings at least through 2022.

KEY ASSUMPTIONS

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

  Annual capacity to fall 65% in 2020 compared with 2019; 35% in
  2021; 20% in 2022; and 10% in 2023

  Deterioration in load factor to 64% in 2020 (2019: 83.6%) and
  a gradual recovery to around 75%-78% by 2023

  Low single-digit decline in yields for the next three years,
  reflecting an expected more competitive market environment

  Oil price of USD41/bbl in 2020, USD45/bbl in 2021, USD50/bbl
  in 2022 and 2023

  Capex of about GBP4.5 billion during 2020-2023

  No dividends during 2020-2023

  Fifty-eight per cent of EUR2.74 billion capital increase to
  be distributed to BA, based on its EBIT (after exceptional
  items) contribution to IAG in 2019

RATING SENSITIVITIES

IDR

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

  Fitch does not anticipate an upgrade, as reflected in the
  Negative Outlook

  A quicker-than-assumed recovery from the market shock,
  supporting a sustained recovery in credit metrics to levels
  stronger than those outlined in the negative sensitivities
  below would allow us to revise the Outlook to Stable

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

  Failure to adapt to changing market conditions with
  effective mitigation measures, prolonged economic crisis
  and air travel restrictions, weaker-than-expected yields
  or more aggressive capex or dividend payments

  FFO adjusted gross leverage and total adjusted gross debt
  /EBITDAR above 4.7x

  FFO adjusted net leverage above 3.7x

  Failure to replenish liquidity to sufficiently cover
  operational and financing needs for the following 12
  months

  Weakening consolidated credit profile of IAG while
  maintaining stronger links with the parent

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

Fitch does not anticipate an upgrade, as reflected in the RWN,
unless collateral coverage continues to increase as the transaction
amortises.

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

  Ratings for the class AA certificates are primarily
  based on a top-down analysis based on the value of
  the collateral. Therefore, a negative rating action
  or downgrade could be driven by an unexpected decline
  in collateral values.

LIQUIDITY AND DEBT STRUCTURE

Sufficient Liquidity: BA had cash and equivalents of about GBP2.1
billion and committed undrawn credit facilities of GBP1.4 billion
at June 30, 2020. In addition, GBP750 million of unearned revenue
raised for the pre-purchase of Avios points by American Express and
IAG's EUR2.74 billion capital increase have further strengthened
its liquidity position. Fitch believes this will be more than
sufficient to cover short-term debt of GBP1.8 billion and
Fitch-expected negative FCF of GBP2.3 billion for 12 months from
June 30, 2020.

CRITERIA VARIATION

The BA 2018-1 transaction varies from one of the qualitative
characteristics for the 'AA' rating category consideration as
specified in Fitch's EETC criteria. Fitch expects collateral pools
of less than 10 aircraft to contain at least five wide-body
aircraft. The collateral pool of the BA 2018-1 transaction
initially comprised 11 aircraft, qualifying it for the 'AA' rating
consideration; however, certain aircraft are scheduled to be
released from the pool prior to the final expected maturity. In
March 2030, three A320neos are expected to be released from the
pool, followed by three more in June 2030 and the last A320neo in
September 2030. As a result, the pool will be composed of less than
10 aircraft, of which only four will be wide bodies from March 2030
through September 2031.

Even though the transaction will not meet Fitch's minimum number of
aircraft consideration for the 'AA' rating category for the last 18
months of the transaction, Fitch has assigned a 'AA-' rating to the
AA certificates because Fitch believes the significant expected
overcollateralisation and the high quality of the aircraft in the
pool mitigate the qualitative constraint tied to the pool's size.

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

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


INTU GROUP: Debenture PLC Takes Over Soar in Braehead Complex
-------------------------------------------------------------
BBC News reports that Soar in Braehead, a major leisure and
entertainment complex in Renfrewshire, has been saved from
administration.

The future of Soar in Braehead, formerly Xscape, has been secured
after a takeover by Debenture PLC from the previous owners Intu,
BBC discloses.

Debenture has appointed asset and property management company Mapp
to oversee the 370,000 square foot site, BBC relates.

The centre will continue to operate under the Soar branding ahead
of a revamp and a new name before the end of the year, BBC states.

The company plans to change the logo, external signage and create a
new website for the venue, BBC notes.

According to BBC, KPMG's Jim Tucker -- jim.tucker@kpmg.co.uk --
joint administrator of Intu, said: "The orderly migration of Intu's
centres to new management continues at pace despite their
challenges, with further transitions set to conclude in the coming
days.  We thank the team at Soar for their support during the
administration process and wish them well for the future."

Intu, the owner of some of the UK's biggest shopping centres,
called in administrators at the end of June, BBC recounts.

The firm, which owns Braehead, the Trafford Centre, the Lakeside
complex, was unable to reach an agreement in financial
restructuring talks with its lenders, BBC relays.

Its centres have remained open under administrators KPMG, BBC
states.


LIVEWIRE: Averts Administration Following Cash Injection
--------------------------------------------------------
Aran Dhillon at Warrington Guardian reports that a cash injection
has saved LiveWire from going into administration before the end of
the financial year.

The community interest company runs leisure facilities in the town,
on behalf of the borough council.

In a report on Covid-19 procurement arrangements which will come
before the cabinet during its virtual meeting today, Oct. 12,
deputy council leader Cllr Cathy Mitchell outlines the impact of
the pandemic on LiveWire, Warrington Guardian relates.

According to Warrington Guardian, she says as a result of the
closure of leisure facilities during the coronavirus crisis it was
unable to generate commercial income, which makes up 70% of annual
turnover.

"As such they have been trading at a monthly deficit, and without
the financial support set out, they would be unable to support its
monthly costs and would go into administration before the end of
the financial year," Warrington Guardian quotes Ms. Mitchell as
saying.

"The support provided is a minimal intervention to sustain services
in the short term, whilst the longer-term position is reviewed as
customers return to leisure centres."

In order to ensure the ongoing stability of services, LiveWire has
received a one-off cash contribution totalling GBP125,000,
Warrington Guardian discloses.

In addition, a "reprofiling" of the management fee paid to LiveWire
is being carried out to reflect cashflow due to Covid-19,
Warrington Guardian states.

And an arrangement has been made with community interest company to
defer the payment of the rent for Great Sankey Neighbourhood Hub
for 12 months. The annual rent is GBP439,165, Warrington Guardian
notes.

The report says the contribution to infrastructure costs and
deferral of rent has been made on the basis of "permitted state
aid" under the existing state aid measures known as "de minimis
aid" under an EC Regulation, as published in the Official Journal
of the European Union in December 2013, Warrington Guardian
relays.


NEWDAY PARTNERSHIP 2017-1: Fitch Affirms B+ Rating on Class F Debt
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to NewDay Partnership
Funding's Series 2020-1 notes.

Fitch has simultaneously affirmed the ratings on the series 2015-1,
series 2017-1, series VFN-P1 V1 and series VFN-P1 V2 notes. Fitch
revised series 2015-1 class F notes' Outlook to Stable from
Negative as its rating is no longer directly exposed to the
receivables' performance.

RATING ACTIONS

NewDay Partnership Funding

2015-1 A XS1134518155; LT AAAsf Affirmed; previously at AAAsf

2015-1 B XS1134518668; LT AAsf Affirmed; previously at AAsf

2015-1 C XS1134519393; LT Asf Affirmed; previously at Asf

2015-1 D XS1134523239; LT BBB+sf Affirmed; previously at BBB+sf

2015-1 E XS1134528626; LT BBB-sf Affirmed; previously at BBB-sf

2015-1 F XS1134535597; LT BB-sf Affirmed; previously at BB-sf

2017-1 A XS1674677767; LT AAAsf Affirmed; previously at AAAsf

2017-1 B XS1674678492; LT AAsf Affirmed; previously at AAsf

2017-1 C XS1674678575; LT A-sf Affirmed; previously at A-sf

2017-1 D XS1674678732; LT BBBsf Affirmed; previously at BBBsf

2017-1 E XS1674678815; LT BBsf Affirmed; previously at BBsf

2017-1 F XS1674678906; LT B+sf Affirmed; previously at B+sf

2020-1 A1; LT WDsf Withdrawn; previously at AAA(EXP)sf

2020-1 A2; LT WDsf Withdrawn; previously at AAA(EXP)sf

2020-1 A3; LT AAAsf New Rating; previously at AAA(EXP)sf

2020-1 B; LT AAsf New Rating; previously at AA(EXP)sf

2020-1 C; LT A-sf New Rating; previously at A-(EXP)sf

2020-1 D; LT BBBsf New Rating; previously at BBB(EXP)sf

2020-1 Originator VFN Subordination; LT NRsf New Rating; previously
at NR(EXP)sf

VFN-P1 V1 Class A; LT BBBsf Affirmed; previously at BBBsf

VFN-P1 V1 Class E; LT BBsf Affirmed; previously at BBsf

VFN-P1 V1 Class F; LT Bsf Affirmed; previously at Bsf

VFN-P1 V2 Class A; LT AAAsf Affirmed; previously at AAAsf

VFN-P1 V2 Class B; LT AAsf Affirmed; previously at AAsf

VFN-P1 V2 Class C; LT A-sf Affirmed; previously at A-sf

VFN-P1 V2 Class D; LT BBBsf Affirmed; previously at BBBsf

VFN-P1 V2 Class E; LT BBsf Affirmed; previously at BBsf

VFN-P1 V2 Class F; LT Bsf Affirmed; previously at Bsf

TRANSACTION SUMMARY

The series 2020-1 notes are issued by NewDay Partnership Funding
2020-1 Plc and collateralised by a pool of UK co-branded credit
card, store card and instalment credit receivables originated by
NewDay Ltd and beneficially held by NewDay Partnership Receivables
Trustee Ltd.

NewDay is one of the largest specialist credit card companies in
the UK, where it is also active in the near-prime credit card
market. However, the latter receivables, primarily originated under
its own brands, do not form part of this transaction. The master
trust programme features a linked note issuance structure.

The expected ratings for series 2020-1 class A1 and class A2 notes
were withdrawn as such debt issue is no longer expected to proceed
as envisaged.

KEY RATING DRIVERS

Unchanged Asset Assumptions

The portfolio's charge-off rate increased to 6.3% in June 2020 from
an average of 4.5% between April 2019 and March 2020 while
remaining below Fitch's 8% steady-state assumption. The charge-off
rate could increase and exceed the steady-state level as
unemployment rises, but Fitch's analytical approach aims to look
through short-term performance fluctuations.

Fitch would only consider changes to steady-state assumptions if
Fitch expects trust performance to re-set to materially different
levels in the longer term. Fitch has maintained the asset
assumptions unchanged at 8% for steady-state charge-off, at 20% for
the steady-state monthly payment rate (MPR) and at 22% for the
steady-state yield.

Shift in Portfolio Composition

Receivables related to the four existing retailer agreements
(Debenhams, House of Fraser, Arcadia Group and Laura Ashley)
dominate trust performance. A new retailer, Amazon, has become
eligible for the trust from this issuance. Only Amazon platinum
credit cards, with characteristics consistent with a typical prime
credit card portfolio, are eligible for the securitisation.

Fitch does not expect Amazon platinum accounts to represent a
significant proportion of the trust at the closing of the 2020-1
issue. However, Amazon platinum accounts represented 22% of the
total eligible receivables by balance as of June 2020 and the
proportion is expected to increase given continuous growth in the
originations.

Retailer Mix Dynamics

Receivables originated under other new retail agreements or other
product lines of the existing retailers could also be added to the
trust within the life of the transaction, subject to rating
confirmation. The customer demographic of a given retailer will be
the key performance driver of the related receivables. Clearly
outlined and implemented credit guidelines, combined with a
state-of-the-art scoring model minimise this risk, but in Fitch's
view, it cannot be entirely mitigated. Furthermore, fully levelling
the performance between retailers is unlikely to be in the
commercial interests of the originator. Fitch therefore derived its
steady-state assumptions on the basis of a changing retailer mix.

Variable Funding Notes (VFN) Available

In addition to Series VFN-P1 and VFN-P2 providing the funding
flexibility that is typical and necessary for credit card trusts,
the structure employs a separate Originator VFN purchased and held
by NewDay Partnership Transferor Plc. This serves three main
purposes - to provide credit enhancement to the rated notes, to add
protection against dilution by way of a separate functional
transferor interest and to serve the risk retention requirements.

Unrated Originator and Servicer

The NewDay group acts in several capacities through its various
entities, most prominently as originator, servicer and cash manager
to the securitisation, unlike most other UK trusts where these
roles are fulfilled by large institutions with a strong credit
profile. The degree of reliance in this transaction is mitigated by
the transferability of operations, agreements with established card
service providers, a back-up cash management agreement and
series-specific amortising liquidity.

Retail Partners Drive Risk

In addition to a changing portfolio composition, there is the risk
of retailer concentration. Independent of cardholders' credit
characteristics, card utility and receivables performance are
substantially linked to the continued use of the card. This applies
more to store cards than credit cards. In setting its assumptions,
Fitch considered this potentially higher stress on the portfolio.

Negative Asset Performance Outlook

Fitch has a negative asset performance outlook for the UK consumer
ABS sector. This outlook reflects the economic impact from the
coronavirus pandemic, as well as the heightened uncertainty
surrounding the UK's negotiations with the EU.

RATING SENSITIVITIES

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

Long-term asset performance deterioration, such as increased
charge-offs, reduced MPR or reduced portfolio yield, which could be
driven by changes in portfolio characteristics, macroeconomic
conditions, business practices, credit policy or legislative
landscape, would contribute to negative revisions of Fitch's asset
assumptions that could negatively affect the notes' ratings.

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 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
future performance.

Rating sensitivity to increased charge-off rate:

Increase steady state by 25% / 50% / 75%

Series 2020-1 A: 'AA+sf' / 'AAsf' / 'AAsf'

Series 2020-1 B: 'A+sf' / 'Asf' / 'A-sf'

Series 2020-1 C: 'BBBsf' / 'BBB-sf' / 'BBB-sf'

Series 2020-1 D: 'BB+sf' / 'BBsf' / 'BBsf'

Rating sensitivity to reduced monthly payment rate (MPR)

Reduce steady state by 15% / 25% / 35%

Series 2020-1 A: 'AA+sf' / 'AAsf' / 'AA-sf'

Series 2020-1 B: 'A+sf' / 'Asf' / 'A-sf'

Series 2020-1 C: 'BBB+sf' / 'BBBsf' / 'BBB-sf'

Series 2020-1 D: 'BBB-sf' / 'BB+sf' / 'BBsf'

Rating sensitivity to reduced purchase rate (i.e. aggregate new
purchases divided by aggregate principal repayments in a given
month)

Reduce purchase rate by 50% / 75% / 100%

Series 2020-1 B: 'AA-sf' / 'AA-sf' / 'A+sf'

Series 2020-1 C: 'BBB+sf' / 'BBB+sf' / 'BBBsf'

Series 2020-1 D: 'BBB-sf' / 'BBB-sf' / 'BB+sf'

No rating sensitivities are shown for class A, as Fitch is assuming
a 100% purchase rate stress in the 'AAA' scenario.

Rating sensitivity to increased charge-off rate and reduced MPR

Increase steady-state charge-offs by 25% and reduce MPR by 15%

Increase steady-state charge-offs by 50% and reduce MPR by 25%

Increase steady-state charge-offs by 75% and reduce MPR by 35%

Series 2020-1 A: 'AAsf' / 'A+sf' / 'BBB+sf'

Series 2020-1 B: 'Asf' / 'BBBsf' / 'BBB-sf'

Series 2020-1 C: 'BBB-sf' / 'BB+sf' / 'BB-sf'

Series 2020-1 D: 'BB+sf' / 'BB-sf' / 'Bsf'

Coronavirus Downside Scenario Sensitivity

Fitch acknowledges the uncertainty of the path of
coronavirus-related containment measures and has therefore
considered a more severe economic downturn than contemplated in its
base-case scenario. In the downside scenario, a re-emergence of
infections in the major economies prolongs the health crisis and
confidence shock, prompting extensions or re-impositions of
lockdown measures and preventing a recovery in financial markets.
This scenario could lead to a higher risk of downgrade of the notes
across all rating levels.

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

Long-term asset performance improvement, such as decreased
charge-offs, increased MPR or increased portfolio yield driven by a
sustainable positive change of the underlying asset quality, would
contribute to positive revisions of Fitch's asset assumptions,
which could positively affect the notes' ratings.

Rating sensitivity to reduced charge-off rate:

Reduce charge-off rate by 25%

Series 2020-1 B: 'AA+sf'

Series 2020-1 C: 'A+sf'

Series 2020-1 D: 'BBB+sf'

The class A notes cannot be upgraded given the notes are already
rated at 'AAAsf', which is the highest level on Fitch's rating
scale.

At closing, part of the proceeds from the series 2020-1 issuance
were used to defease series 2015-1. Funds are held in the series
2015-1 principal funding ledger of the receivables trustee
investment account until its extended scheduled maturity in April
2021. This means that series 2015-1 is cash collateralised. An
accumulation reserve has been funded to cover series 2015-1 notes'
monthly interest payments and senior expenses. Fitch has reviewed
the series 2015-1 defeasement approach and has no concern on it.

Fitch revised series 2015-1 class F notes' Outlook to Stable from
Negative as the notes' ratings are no longer directly exposed to
the receivables' performance. Fitch affirmed series 2015-1 notes'
ratings recognising that the series is effectively winding down and
is expected to be redeemed in about six months.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as
prepared by Deloitte LLP. The third-party due diligence described
in Form 15E focused on observing and comparing specific loan level
data contained in a sample of credit card receivables. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.

DATA ADEQUACY

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.

Fitch reviewed a small targeted sample of the originator's
origination files and found the information contained in the
reviewed files to be adequately consistent with the originator's
policies and practices and the other information provided to the
agency about the asset portfolio.

Overall and together with the assumptions referred, Fitch's
assessment of the asset pool information relied upon for the
agency' rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


NEWGATE FUNDING 2007-1: Fitch Affirms BB-sf Rating on Cl. F Notes
-----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 22 tranches of the
Newgate Funding Plc (NF) 2007 RMBS series. The agency has also
revised the Outlook on one tranche to Negative from Stable.

RATING ACTIONS

Newgate Funding Plc Series 2007-1

Class A3 XS0287753775; LT AAAsf Affirmed; previously AAAsf

Class Ba XS0287757255; LT AAsf Affirmed; previously AAsf

Class Bb XS0287757412; LT AAsf Affirmed; previously AAsf

Class Cb XS0287759624; LT BBB+sf Affirmed; previously BBB+sf

Class Db XS0287767304; LT BB+sf Affirmed; previously BB+sf

Class E XS0287776636; LT BBsf Affirmed; previously BBsf

Class F XS0287778095; LT BB-sf Affirmed; previously BB-sf

Class Ma XS0287755713; LT AAAsf Affirmed; previously AAAsf

Class Mb XS0287756877; LT AAAsf Affirmed; previously AAAsf

Newgate Funding Plc Series 2007-3

Class A2b 651357AF2; LT AAAsf Affirmed; previously AAAsf

Class A3 651357AG0; LT AA+sf Affirmed; previously AA+sf

Class Ba 651357AH8; LT AA-sf Affirmed; previously AA-sf

Class Bb 651357AJ4; LT AA-sf Affirmed; previously AA-sf

Class Cb 651357AK1; LT Asf Affirmed; previously Asf

Class D XS0329654312; LT BBB+sf Downgrade; previously A-sf

Class E XS0329655129; LT BBBsf Downgrade; previously BBB+sf

Newgate Funding Plc Series 2007-2

Class A2 XS0304279630; LT AAAsf Affirmed; previously AAAsf

Class A3 XS0304280059; LT AAAsf Affirmed; previously AAAsf

Class Bb XS0304284630; LT Asf Affirmed; previously Asf

Class Cb XS0304285959; LT BBB-sf Affirmed; previously BBB-sf

Class Db XS0304286254; LT BB-sf Affirmed; previously BB-sf

Class E XS0304280489; LT B+sf Affirmed; previously B+sf

Class F XS0304281024; LT Bsf Affirmed; previously Bsf

Class M XS0304280133; LT AA+sf Affirmed; previously AA+sf

TRANSACTION SUMMARY

All three transactions are seasoned true-sale securitisations of
mixed pools containing mainly residential non-conforming
owner-occupied (OO) mortgage loans with few residential buy-to-let
(BTL) mortgage loans.

KEY RATING DRIVERS

Coronavirus Additional Assumptions

Fitch expects a generalised weakening in borrowers' ability to keep
up with mortgage payments due to the economic impact of the
coronavirus pandemic and the related containment measures. As a
result, Fitch has applied updated criteria assumptions to the
mortgage portfolio of the Newgate Funding transactions.

The combined application of revised 'Bsf' representative pool
weighted average foreclosure frequency (WAFF), revised rating
multiples and arrears adjustment for both the OO and the BTL
sub-pools, resulted in a multiple to the current FF assumptions of
1.4x at 'Bsf' and of about 1.1x at 'AAAsf'. The updated assumptions
are more modest for higher rating levels as the corresponding
rating assumptions are already meant to withstand more severe
shocks.

Fitch also applied a payment holiday stress to the first six months
of projections, by assuming up to 25% of interest collections will
be lost, and related principal receipts will be delayed. This
reflects overall the current payment holiday percentage data
reported in the investor reports. The payment holiday percentage
for these pools as of September 2020 investor reports was 31.4% for
Negate 2007-1, 20.4% for Newgate 2007-2 and 22% for Newgate
2007-3.

The downgrades are driven by the impact of the coronavirus
assumptions on the current ratings. The Negative Outlooks reflect
the tranches' subordination in the transaction structure and hence
their greater sensitivity to a more severe coronavirus scenario
than its base line described in the rating sensitivities section.

Weakening Asset Performance

Arrears for Newgate 2007-1, 2007-2 and 2007-3 have been steadily
increasing in the last nine months. The total current balance of
borrowers with more than three monthly arrears has increased
between December 2019 and September 2020 to 14% from 11.3%
(2007-1), 14.7% from 11.8% (2007-2) and 9.4% from 7.9% (2007-3) of
the outstanding balance of mortgage loans. Nevertheless, the levels
of arrears are still well below the peak reached in 2011 and 2012.
Fitch applied a foreclosure frequency floor for loans in arrears to
account for the increased default risk.

Back-loaded Default Risks

All pools contain a high share of interest-only loans and a
significant share of borrowers with self-certified income resulting
in elevated refinancing risks later in the life of the
transactions. This combination led Fitch to apply a performance
adjustment factor floor at 1, in line with its UK RMBS Rating
Criteria.

Pro-Rata Pay

All three transactions have been repaying notes on a pro-rata
basis, which resulted in a non-amortising fully funded reserve fund
being the sole driver of an increase in credit enhancement (CE).

RATING SENSITIVITIES

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and, potentially,
upgrades. Fitch tested an additional rating sensitivity scenario by
applying a decrease in the FF of 15% and an increase in the RR of
15%. The results indicate up to a three-notch upgrade for the
mezzanine and junior notes.

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

The broader global economy remains under stress from the
coronavirus pandemic, with surging unemployment and pressure on
businesses stemming from social-distancing guidelines. Recent
government measures related to the coronavirus pandemic initially
introduced a suspension on tenant evictions for three months and
mortgage payment holidays, also for up to three months. Fitch
acknowledges the uncertainty of the path of coronavirus-related
containment measures and has therefore considered more severe
economic scenarios.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases," Fitch considered a more severe downside
coronavirus scenario for sensitivity purposes whereby a more severe
and prolonged period of stress is assumed with a halting recovery
from 2Q21. Under this scenario, Fitch assumed a 15% increase in
WAFF and a 15% decrease in weighted average recovery rate (WARR).
The results indicate up to a seven-notch downgrade for the
mezzanine and junior notes.

The economic impact of the coronavirus pandemic could considerably
affect borrower affordability, especially in legacy portfolios
where borrowers are locked into paying high interest on their
mortgage loans. The transactions' performance may be affected by
such changes in market conditions and the general economic
environment. A weakening economic environment is strongly
correlated with increasing levels of delinquencies and defaults
that could reduce CE available to the notes.

Unanticipated declines in recoveries could also result in lower net
proceeds, which may make certain notes' ratings susceptible to
negative rating actions depending on the extent of the decline in
recoveries. Fitch conducts sensitivity analyses by stressing both a
transaction's base-case FF and RR assumptions and by examining the
rating implications on all classes of issued notes.

CRITERIA VARIATION

The ratings on the class D and E notes of NF 2007-3 of 'A-sf' and
'BBB+sf', respectively, are two notches above their model-implied
ratings in Fitch's updated rating analysis. According to Fitch's UK
RMBS Rating Criteria, as outlined in the Rating Determination
paragraph, where an updated analysis results in a difference
between the current rating and model-implied rating of no more than
three notches, ratings may be affirmed or assigned in line with the
model-implied rating.

Fitch applied a criteria variation as the lower model-implied
rating stemmed from just one scenario of high prepayments, rising
interest rates and front-loaded default scenarios, which does not
represent Fitch's immediate expectations for this transaction. The
current ratings were for the class D and E notes were derived by
excluding this scenario.

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.

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

Overall and together with the assumptions referred, 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.

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

Newgate 2007-1, 2007-2, 2007-3 have ESG Relevance Score of 4 for
Human Rights, Community Relations, Access & Affordability due to
the underlying asset pools with limited affordability checks and
self-certified income, which has a negative impact on the credit
profile, and is relevant to the ratings in conjunction with other
factors.

Newgate 2007-1, Newgate 2007-2, Newgate 2007-3 have ESG Relevance
Score of 4 for Customer Welfare - Fair Messaging, Privacy & Data
Security due to a material concentration of interest-only loans,
which has a negative impact on the credit profile, and is relevant
to the ratings in conjunction with other factors.

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


PEACOCKS: Plans to Appoint Administrators, 21,000 Jobs at Risk
--------------------------------------------------------------
BBC News reports that Edinburgh Woollen Mill, owner of the Peacocks
and Jaeger clothing brands, says it plans to appoint administrators
in an attempt to save the business.

According to BBC, the move puts 21,000 jobs at risk amid what the
company described as "brutal" trading conditions.

"Like every retailer, we have found the past seven months extremely
difficult," BBC quotes Edinburgh Woollen Mill chief executive Steve
Simpson as saying.

The stores will continue to trade as a review of the firm is
carried out, BBC notes.

The company says it has had "a number of expressions of interest
for various parts of the group" which it will consider, BBC
relates.

Edinburgh Woollen Mill (EWM), which is owned by billionaire
businessman Philip Day, has 1,100 stores for its brands, BBC
discloses.

EWM said it had filed a notice to appoint administrators, partly
because of "the harsh trading conditions caused by the impact of
the Covid-19 pandemic and a recent reduction in its credit
insurance", according to BBC.

He also blamed part of the company's troubles on "a series of false
rumours about our payments and trading which have impacted our
credit insurance", BBC relays.

EWM, BBC says, has appointed FRP to review the business.

"Our team is working with the directors of a number of the
Edinburgh Woollen Mill Group subsidiaries to explore all options
for the future of its retail brands, including Edinburgh Woollen
Mill, Jaeger, Ponden Mill and Peacocks," BBC quotes a spokesperson
for FRP as saying.


TRAFFORD CENTRE: Fitch Corrects Oct. 5 Ratings Release
------------------------------------------------------
Fitch Ratings replaced a ratings release on Trafford Centre Finance
Limited published on October 5, 2020 to correct the name of the
obligor for the bonds.

The amended ratings release is as follows:

Fitch Ratings has downgraded the notes issued by The Trafford
Centre Finance Limited (TCF), and maintained the notes on Rating
Watch Negative (RWN).

RATING ACTIONS

The Trafford Centre Finance Ltd

Class A2 6.50% Secured Notes due 2033 XS0108039776; LT A+sf
Downgrade; previously  

Class A3 Floating Rate Secured Notes Due 2038 XS0222488396; LT A+sf
Downgrade; previously  

Class B 7.03% Secured Notes due 2029 XS0108043968; LT BBB+sf
Downgrade; previously  

Class B2 Floating Rate Secured Notes Due 2038 XS0222489014; LT
BBB+sf Downgrade; previously  

Class B3 Fixed rate notes XS1031629808; LT BBB+sf Downgrade;
previously  

Class D1(N) Floating Rate Secured Notes Due 2035 XS0222489873; LT
B+sf Downgrade; previously  

Class D2 8.28% Secured Notes due 2022 XS0108046474; LT B+sf
Downgrade; previously  

Class D3 Fixed rate notes XS1031633313; LT B+sf Downgrade;
previously  

TRANSACTION SUMMARY

The rating actions reflect the toll taken on the mall by the
coronavirus and related containment measures, as well as risks from
renewed social distancing, which could further negatively affect
retail sales and rental income in the near term. The intu Trafford
Centre mall, based outside of Manchester, had lost about 40% of
market value in less than two years according to its June
valuation, with the shock of the pandemic driving yields higher and
further undermining rental affordability.

Reported collection rates remain sluggish at approximately 39% as
of June. The intu Trafford Centre has suffered a severe squeeze on
net operating income (NOI), not only because of weak collections
but also due to an increase in non-recoverable property overheads.
In these unusual circumstances, brought on by the pandemic, the
issuer is dependent on access to liquidity to ensure it can avoid
near-term default. Parental support at the last interest payment
date prevented a draw on the issuer's liquidity facility. However,
there is no certainty of ongoing parental liquidity support so to
avoid default - until NOI recovers - TCF will be highly dependent
on its liquidity facility: GBP80 million (of which only GBP15
million can be drawn to service the class D notes).

The rating of the class A notes is directly linked to the rating of
Lloyds Bank plc, the liquidity facility provider. A change in
Fitch's assessment of the rating of Lloyds Bank plc (A+/Neg) would
automatically result in a change in the rating on the class A
notes. In addition, any change in Fitch's view on the liquidity
facility provider may result in a downgrade to the notes. This
direct credit dependency on the liquidity facility provider caps
the ratings, contributing to the magnitude of the downgrade of its
class A notes.

TCF is a securitisation of a GBP676 million fixed-rate commercial
mortgage loan secured on intu Trafford Centre, a super-regional
shopping centre in the north-west of England, four miles west of
Manchester city centre. The long-dated loan financing is tranched
into three series, with a combination of bullets and scheduled
amortisation arranged in a non-sequential fashion and mirrored by
the CMBS. The issuer has a liquidity facility to cover interest and
some principal obligations across the capital structure. The class
A3, B2 and D1(N) notes are floating-rate, swapped at the issuer
level. According to a June 2020 valuation, the collateral value had
fallen 22% in the preceding 12-month period, with estimated rental
value (ERV) down almost 10% over 6 months.

The property has been affected by the retail downturn underway in
the UK, including key tenants falling into administration or using
company voluntary arrangements (CVA) to restructure leases. In its
sampling, Fitch estimates recent income signed in intu Trafford
Centre trailing ERV by 12.5%, and have haircut ERV by 10% (in line
with the last rating action, albeit applied to a lower ERV). Given
the depth of the intu Trafford Centre's observed rental value
declines (RVD) over the last couple of years, which Fitch
incorporates in its modelled ERV, to avoid double-counting Fitch
has reduced its additional rating-specific RVD assumptions.

KEY RATING DRIVERS

Pandemic Continues Affecting Retail: Although retailers in England
could reopen from June 15, 2020, social distancing restrictions
remain and are tightening - for instance earlier restaurant closing
times and limits on interactions outside of individual households.
Additional restrictions cannot be ruled out, which would have
negative consequences for the retail sector. A moratorium on
evictions was extended, thus reducing landlord bargaining power. As
a result, collections are depressed and landlord costs very high.

Assumptions Updated for Coronavirus Impact: Fitch has increased its
base structural vacancy (SV) assumption to 9% from 7% as Fitch
expects further impact of store closures and job losses. Fitch caps
stressed NOI in all its rating scenarios at one-third of 'Bsf' NOI
for the next six months and at two-thirds for the six months
thereafter, with short-term pressure alleviated after the full
twelve months has elapsed in the projection. By assuming borrower
default, this test leads to an accumulation of around a semester of
loan interest, adding to the borrower's indebtedness.

The property market data Fitch tracks for UK dominant regional
shopping centres such as intu Trafford Centre have shown steep
increases in rental yields, which has lifted its 'Bsf' cap rate
above the long-term average yield (until recently a floor), and
caused cap rates to rise at each more severe rating stress, albeit
at a declining rate (with the 'AAAsf' cap rate unchanged). For the
notes with lower ratings, this yield shift has a significant
negative impact, reflecting the "through the cycle" principles of
the criteria as market values fall. For the more highly rated
notes, the collateral impact is generally more muted, with cap rate
changes less influential, and instead increasingly dominated by the
combined effect of reducing modelled ERV and increasing the base
SV, in each case since the last rating action.

Liquidity Risk: The assumed reduction in rental collections over
the next 12 months reflects in the modelling conditions that are
consistent with a direct credit dependency on the liquidity
facility provider, which exacerbates the downgrade of the class A
notes by capping them at the rating of the provider (A+/Neg). Fitch
finds the liquidity facility adequate to cover interest payments
due on the notes in the corresponding rating stresses.

Timing Dependencies: The downgrades of the class B and D are
primarily caused by the depletion of stressed collateral value (net
of material swap break costs) as a result of the haircut to ERV and
higher cap rates. Assumed collateral liquidation timing in both
scenarios is in 2022, because following loan default (assumed day
one) pressure on available liquidity builds up from the risk of the
bond payment waterfall becoming fully sequential (if the class A
investors elect to accelerate), in which case non-senior notes are
locked out from receiving funds paid by the borrower under the
loan. The B and D notes would, in this scenario, become exclusively
dependent on their respective entitlements under the liquidity
facility. This short runway limits not only the scope of note
amortisation out of property cash flow, but also the decay of swap
break costs.

For the TCF class A note class, the downgrade similarly reflects
depletion of collateral value caused by the haircut to ERV and, in
this case, a higher "effective" stressed cap rate (after the effect
of stressed structural vacancy).

However, two complexities apply here. First, the structural benefit
of a long-dated fixed-rate structure is better preserved by the
effective control over mortgage workout vested in the class A
investors, who Fitch understands have the power (upon loan default)
to delay liquidation in order to restore long-dated cash sweep and
decay swap break costs. This can eventually offset the cost to the
class A of expending the senior-ranking liquidity facility to
cover, at least in part, B and D obligations. Fitch assumes this
intermediate workout phase is, in practice, limited in duration and
for this class assume liquidation in 2027.

Secondly, there is excessive counterparty risk in relation to the
liquidity facility provider given the immediate dependency of
issuer solvency on the provider, rated 'A+/Neg', acting as a cap.

Given the uncertainty over liquidation timing, despite assuming day
one loan payment default Fitch assumes 5% depreciation.

RATING SENSITIVITIES

The Trafford Centre Finance Plc current rating: 'A+sf' / 'A+sf' /
'BBB+sf' / 'BBB+sf'/ 'BBB+sf' / 'B+sf' / 'B+sf' / 'B+sf'

The change in model output that would apply with 0.8x cap rates is
as follows:

The Trafford Centre Finance Plc: 'A+sf' / 'A+sf' / 'A+sf' / 'A+sf'/
'A+sf' / 'BB+sf' / 'BB+sf' / 'BB+sf'

The change in model output that would apply with 1.25x rental value
declines is as follows:

The Trafford Centre Finance Plc: 'A+sf' / 'A+sf' / 'BBBsf' /
'BBBsf'/ 'BBBsf' / 'B+sf' / 'B+sf' / 'B+sf'

Coronavirus Downside Scenario Sensitivity

Fitch has added a Coronavirus Sensitivity Analysis that
contemplates a more severe and prolonged economic stress caused by
a re-emergence of infections in the major economies, before a slow
recovery begins in 2Q21. Under this severe scenario, Fitch reduces
the estimated rental value of both malls by 10%, with the following
change in model output:

The Trafford Centre Finance Plc: 'A+sf' / 'A+sf' / 'BB+sf' /
'BB+sf'/ 'BB+sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'

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

An end to social distancing associated with the coronavirus
outbreak could revert consumer behaviour and discretionary spend
back to pre-pandemic levels, and lead to positive outlooks or
upgrades.

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

A second lockdown like the first one would dampen retail property
values and risk further downgrades.

KEY PROPERTY ASSUMPTIONS (all by market value)

ERV haircut: 10%

Depreciation: 5%

'Bsf' cap rate: 6.3%

'Bsf' structural vacancy: 12.6%

'Bsf' rental value decline: 2.0%

'BBsf' cap rate: 6.6%

'BBsf' structural vacancy: 13.5%

'BBsf' rental value decline: 4.0%

'BBBsf' cap rate: 7.0%

'BBBsf' structural vacancy: 15.3%

'BBBsf' rental value decline: 6.0%

'Asf' cap rate: 7.5%

'Asf' structural vacancy: 16.2%

'Asf' rental value decline: 11.8%

'AAsf' cap rate: 7.9%

'AAsf' structural vacancy: 17.1%

'AAsf' rental value decline: 20.9%

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 pool
and the transaction. 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.

Prior to the transaction 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.

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

Classes A2 and A3 are linked to Lloyds Bank rating.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


TURBO FINANCE 9: Moody's Rates GBP23.4MM Class X Notes 'Ba3'
------------------------------------------------------------
Moody's Investors Service assigned the following definitive ratings
to the Notes issued by Turbo Finance 9 plc:

GBP493.3M Class A Notes due August 2028, Definitive Rating Assigned
Aaa (sf)

GBP26.3M Class B Notes due August 2028, Definitive Rating Assigned
Aa2 (sf)

GBP29.2M Class C Notes due August 2028, Definitive Rating Assigned
A3 (sf)

GBP11.7M Class D Notes due August 2028, Definitive Rating Assigned
Baa3 (sf)

GBP14.6M Class E Notes due August 2028, Definitive Rating Assigned
Ba2 (sf)

GBP23.4M Class X Notes due August 2028, Definitive Rating Assigned
Ba3 (sf)

Moody's has not assigned a rating to the subordinated GBP 8.8M
Class F Notes due August 2028.

RATINGS RATIONALE

The transaction is a 9-month revolving cash securitisation of hire
purchase agreements ("HP") and personal contract purchase
agreements ("PCP") extended to obligors in the United Kingdom by
Motonovo Finance Limited ("MNF", NR). In May 2019, following the
acquisition by FirstRand Bank Limited (Ba1 Senior
Unsecured/Baa3(cr)/P-3(cr)) of Aldermore Group PLC ("Aldermore",
NR) a year earlier, MNF were integrated with Aldermore and this
transaction consists of all loans that have been originated since
that integration was completed. MNF will also act as the servicer
of the portfolio during the life of the transaction.

The portfolio of receivables backing the Notes consists of HP and
PCP agreements with individual's resident in the United Kingdom
collateralised by mostly used vehicles. PCP agreements include a
final balloon payment and permit obligors to return their vehicle
at the end of the contract in lieu of the balloon payment. This
obligor right creates residual value risk for the securitisation.
Residual value cash flows are 12.0% in the initial portfolio. As of
August 31, 2020, the definitive portfolio consists of 64,846
contracts, with a weighted average seasoning of 0.65 years and a
weighted average remaining term of 45 months.

The transaction's main credit strengths are the granular portfolio,
strong eligibility and replenishment criteria, significant excess
spread and an independent cash manager at closing. Among these
strengths, obligors that have been granted payment holidays due to
the coronavirus outbreak are excluded from the initial portfolio
and will be excluded from purchased portfolios during the revolving
period. Furthermore, during the revolving period residual value
cash flows are limited to 12.5% of outstanding balance, and the
total portfolio is required to maintain a margin of at least 9.3%
above SONIA.

The reserve fund is fully funded at closing and will be available
to cover liquidity shortfalls on Class A and B Notes (subject to a
PDL condition) interest throughout the life of the transaction.
Initially sized at 1.0% of Class A and Class B Notes, the reserve
fund will amortise subject to a floor of 0.5%. Upon either
outstanding principal balance of the Class F Notes is less than the
reserve fund required amount or the redemption of Class A-F Notes,
the reserve fund will fully amortise through the principal
waterfall. Furthermore, the Notes benefit from credit enhancement
provided by 15.5% subordination for Class A, 11.0% subordination
for Class B, 6% subordination for Class C, 4% subordination for
Class D and 1.5% subordination for Class E. The transaction has a
weighted-average APR of 10.3% at closing.

However, Moody's notes some credit weaknesses such as residual
value risk from PCP contracts, voluntary termination risk, and the
limited availability of the cash reserve to Class C and E Notes. As
with all auto lease-type agreements to private individuals in the
UK, the portfolio is exposed to the risk of voluntary termination.
In case of voluntary termination, the obligor uses their option to
return the vehicle to the originator before lease contract maturity
without further payment obligations as long as the obligor made
payments equal to at least one half of the total amount payable
under the financing contract. Moody's took this into account in its
quantitative analysis.

Moody's analysis focused, among other factors, on (i) an evaluation
of the underlying portfolio; (ii) historical performance
information; (iii) the credit enhancement provided by
subordination, by the excess spread and the reserve fund; (iv) the
liquidity support available in the transaction, by way of principal
to pay interest and the reserve fund; (v) the independent cash
manager; and (vi) the legal and structural integrity of the
transaction.

MAIN MODEL ASSUMPTIONS

Moody's determined the portfolio lifetime mean default of 5.0%,
recoveries of 40% and Aaa portfolio credit enhancement ("PCE") of
16.0% related to borrower receivables. The mean default rate
captures its expectations of performance considering the current
economic outlook, while the PCE captures the loss Fitch expects the
portfolio to suffer in the event of a severe recession scenario.
Mean default and PCE are parameters used by Moody's to calibrate
its lognormal portfolio loss distribution curve and to associate a
probability with each potential future loss scenario in its ABSROM
cash flow model to rate Auto ABS.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
consumer assets from the current weak UK economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Fitch regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Portfolio expected defaults of 5.0% are higher than the EMEA Auto
ABS average and are based on Moody's assessment of the lifetime
expectation for the pool taking into account: (i) historic
performance of the loan book of the originator; (ii) benchmark
transactions; and (iii) other qualitative considerations.

PCE of 16.0% is higher than the EMEA Auto ABS average and is based
on Moody's assessment of the pool which is mainly driven by
historical portfolio performance and benchmarking.

Residual value risk credit enhancement ("RV CE")

Moody's determined the Aaa (sf) RV CE of 3.9% to account for the
residual value market risk. RV CE captures additional portfolio
losses which would arise on the securitised RV receivables
following a decline in the market prices of used cars in a severe
recession environment. PCP contracts permit lessees to return their
vehicle at the end of the lease in lieu of the final payment, which
is not a default and thus is not captured in the loss assumptions
for the lease receivables described in the previous section. The
sum of the RV CE and the credit enhancement for the lessee
receivables, as described, determines the total credit enhancement
that is needed to be consistent with each Notes rating.

In deriving the RV CE Moody's assumes a haircut to the portfolio's
residual value cash flows of 46.0% for the Aaa (sf) rated Notes
taking into account: (i) limited experience in RV setting; (ii) no
track record of car sales; and (iii) high concentration of RV
maturities. The haircut is higher than the EMEA Auto ABS average
and is based on Moody's assessment of the pool which is mainly
driven by: (i) the originator's limited experience to set residual
values; (ii) lack historical portfolio performance; and (iii)
portfolio composition.

Auto Sector Transformation

Technological obsolescence, shifts in demand patterns and changes
in government policy will result in some segments of the portfolio
experiencing greater volatility in certain asset performance
metrics compared to that seen historically. Combustion engines are
declining in popularity and will face carbon, air pollution and
emission regulations. Rising popularity of Alternative Fuel
Vehicles (AFVs) introduces uncertainty in the future price trends
of both legacy engine types and AFVs themselves due to evolutions
in technology, battery costs and government incentives. The
securitised portfolio is at medium risk due to the exposure to
65.1% diesel engines, however most of the vehicles (70.0%) in the
portfolio have a registration date after September 2011, limiting
the exposure to Euro 5 or earlier emission standards.

METHODOLOGY

The principal methodology used in these ratings was 'Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS' published in
July 2020.

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

Factors that may cause an upgrade of the ratings of the Notes
include significantly better than expected performance of the pool
together with an increase in credit enhancement of Notes.

Factors that may cause a downgrade of the ratings of the Notes
include a worsening in the overall performance of the pool, or a
meaningful deterioration of the credit profile of the servicer or
originator.


TURBO FINANCE 9: S&P Assigns B- Rating on Class X Notes
-------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Turbo Finance 9
PLC's asset-backed floating-rate class A, B, C (Dfrd), D (Dfrd), E
(Dfrd), and X (Dfrd) notes. At closing, the issuer issued unrated
fixed-rate subordinated class F (Dfrd) notes. The proceeds from
class X (Dfrd) notes funded the initial cash reserve.

The collateral backing the notes comprises fixed-rate U.K. auto
loans originated by MotoNovo Finance (MotoNovo). MotoNovo, a
subsidiary of Aldermore Group PLC, is one of the largest
independent auto lenders in the U.K., with a focus on used car
financing.
The receivables arise under hire purchase (HP) agreements and
personal contract purchase (PCP) agreements granted to commercial
and private borrowers for the purchase of used and new vehicles
(including motorcycles, scooters, and light commercial vehicles).

There is a nine-month revolving period in the transaction. On each
payment date, the transaction will use a separate interest and
principal priority of payments, under which repayment of the notes
is fully sequential. The transaction also benefits from an
amortizing liquidity reserve, subject to a floor (minimum level).
The reserve primarily provides liquidity support to mitigate any
temporary cash flow shortfalls to pay timely interest on the class
A and B notes, and ultimately provide credit enhancement. Once the
class A and B notes are redeemed, the reserve will be utilized to
cover senior costs, and on the legal final maturity date, reserve
proceeds will be applied to the principal waterfall.

A combination of note subordination, a cash reserve, and any
available excess spread provides credit enhancement for the rated
notes.

MotoNovo is the initial servicer of the portfolio. Similar to the
predecessor transaction, Turbo Finance 8 PLC, there is no named
back-up servicer. Following a servicer termination event, including
insolvency of the servicer, a back-up servicer would need to be
appointed to assume servicing responsibility for the portfolio.

The issuer is exposed to counterparty risk through HSBC Bank PLC,
as bank account provider, and J.P. Morgan AG as the interest rate
swap provider.

The legal opinion at closing confirms that the sale of the assets
would survive the seller's insolvency. Also the tax opinions
address the issuer's tax liabilities under the current tax
legislation and in our view, the issuer's cash flows are sufficient
to meet all the identified tax liabilities.

Commingling risk is partially mitigated by a declaration of trust
over the servicer's collection account, and we believe the cash
reserve is sufficient to cover the liquidity stress that could
arise following the servicer's insolvency. However, we assumed a
one-week commingling loss in our analysis as there is no minimum
required rating for the servicer's collection account provider.

The transaction would not be exposed to setoff risk, as the
originator is not a deposit-taking institution, and the eligibility
criteria exclude the seller's employees from the securitization's
scope.

Interest due on the class C (Dfrd), D (Dfrd), E (Dfrd), and F
(Dfrd) notes is deferrable if available funds are insufficient to
pay timely interest. Interest payments on these notes are
subordinated to principal payment on the class A and B notes and
therefore rely on the presence of sufficient excess spread to be
paid in a timely manner. S&P said, "As a result, our ratings on the
class C (Dfrd), D (Dfrd), E (Dfrd), and X (Dfrd) notes only address
the ultimate payment of both interest and principal. Our ratings on
the class A and B notes address the timely payment of interest and
the ultimate payment of principal."

The interest rate on the swap is not floored at zero. Therefore,
S&P has stressed negative interest rates in its cash flows.

S&P's ratings in this transaction are not constrained by the
application of its structured finance sovereign risk criteria.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

  Ratings Assigned

  Class      Ratings     Amount (mil. GBP)
  A          AAA (sf)    493.27
  B          AA (sf)      26.27
  C (Dfrd)   A (sf)       29.19
  D (Dfrd)   A- (sf)      11.68
  E (Dfrd)   BB- (sf)     14.59
  F (Dfrd)   NR            8.76
  X (Dfrd)   B- (sf)      23.35

  NR--Not rated.


UNIVERSAL RECYCLING: Remet Buys Business Out of Administration
--------------------------------------------------------------
Joshua Doherty at letsrecycle.com reports that London-based
non-ferrous metal recycler, Remet, has acquired the Universal
Recycling group of companies, after it was placed into
administration.  

Grant Thornton was appointed as administrators of Universal on Oct.
7, letsrecycle.com relates.

The administrators, as cited by letsrecycle.com, said "Trading had
been challenging for some time amid a global fall in raw material
prices."

They added: "The recent pandemic exacerbated this situation."

According to letsrecycle.com, after going into administration, the
sale of the business and assets of Universal Recycling were agreed
as a going concern to Remet, an organization related to The Remet
Company Limited.

The acquisition will ensure all 40 jobs will be retained and
operations continue at the Doncaster site, letsrecycle.com
discloses.

Universal Recycling specializes in metals recycling, including
cables, waste electrical and electronic equipment (WEEE), aluminium
and copper scrap and has its main site in Doncaster.




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

[*] BOND PRICING: For the Week October 5 to October 9, 2020
-----------------------------------------------------------
Issuer              Coupon  Maturity  Currency  Price
------              ------  --------  --------  -----
Selecta Group BV      5.875   02/01/2024  EUR   37.524
Deutsche Lufthansa    5.125   08/12/2075  EUR   72.640
Takko Luxembourg 2    5.375  11/15/2023   EUR   29.040
Vedanta Resources L   8.250   06/07/2021  USD   70.180
Vedanta Resources L   6.375   7/30/2022   USD   57.330
Vedanta Resources L   6.125   08/09/2024  USD   49.107
Gol Finance SA        7.000   1/31/2025   USD   46.012
Atento Luxco 1 SA     6.125   08/10/2022  USD   73.441
Ellaktor Value Plc    6.375  12/15/2024   EUR   73.875
Intelsat Jackson Ho   5.500   08/01/2023  USD   53.000
Mclaren Finance PLC   5.000   08/01/2022  GBP   57.065
Intelsat Jackson Ho   8.500  10/15/2024   USD   57.250
Vedanta Resources F   9.250   4/23/2026   USD   52.570
Carnival PLC          1.000  10/28/2029   EUR   60.487
Europcar Mobility G   4.125  11/15/2024   EUR   63.866
Genfit                3.500  10/16/2022   EUR   10.028
Argentum Netherland   0.500   10/02/2024  EUR   63.204
Adler Pelzer Holdin   4.125   04/01/2024  EUR   47.117
Deutsche Bank AG      4.789               USD   68.055
DTEK Finance PLC     10.750  12/31/2024   USD   50.742
Vallourec SA          6.625  10/15/2022   EUR   64.150
International Perso   5.750   04/07/2021  EUR   64.783
Intelsat SA           4.500   6/15/2025   USD   22.250
CMA CGM SA            5.250   1/15/2025   EUR   70.373
Norwegian Air Shutt   7.250   11/11/2022  EUR   32.629
Banco BPM SpA         6.125               EUR   66.518
Banca Monte dei Pas   5.375   1/18/2028   EUR   79.424
Transportes Aereos    5.625   12/02/2024  EUR   56.440
Vedanta Resources F   8.000   4/23/2023   USD   51.804
Codere Finance 2 Lu   6.750   11/01/2021  EUR   46.492
Vedanta Resources L   7.125   5/31/2023   USD   51.573
Intelsat Luxembourg   8.125   06/01/2023  USD    5.750
Swissport Financing   9.000   2/15/2025   EUR    7.442
Kirk Beauty One Gmb   8.750   7/15/2023   EUR   46.853
Tullow Oil PLC        7.000   03/01/2025  USD   55.398
Kongsberg Actuation   5.000   7/15/2025   EUR   62.130
AerCap Holdings NV    5.875   10/10/2079  USD   69.388
Obrascon Huarte Lai   4.750   3/15/2022   EUR   40.396
Mitsubishi UFJ Inve   4.221  12/15/2050   EUR   50.450
Intelsat Jackson Ho   9.750   7/15/2025   USD   58.000
Selecta Group BV      5.375   02/01/2024  EUR   37.425
Intelsat Connect Fi   9.500   2/15/2023   USD   25.000
Sarens Finance Co N   5.750   2/21/2027   EUR   70.316
Andrade Gutierrez I   9.500  12/30/2024   USD   64.732
Europcar Mobility G   4.000   4/30/2026   EUR   58.561
Explorer II AS        3.375   2/24/2025   EUR   74.834
Promontoria Holding   6.750   8/15/2023   EUR   64.752
Unigel Luxembourg S   8.750   10/01/2026  USD   74.526
Piraeus Bank SA       5.500   2/19/2030   EUR   61.175
InterCement Financi   5.750   7/17/2024   USD   44.566
Swissport Financing   5.250   8/15/2024   EUR   75.959
Jaguar Land Rover A   2.200   1/15/2024   EUR   74.747
Petra Diamonds US T   7.250   05/01/2022  USD   37.330
La Financiere Atali   4.000   5/15/2024   EUR   57.880
Aryzta AG             5.468               CHF   56.224
Tereos Finance Grou   4.125   6/16/2023   EUR   70.985
Travelex Financing    8.000   5/15/2022   EUR   25.725
Takko Luxembourg 2    5.375  11/15/2023   EUR   27.583
Marcolin SpA          4.125   2/15/2023   EUR   70.666
Jaguar Land Rover A   4.500   1/15/2026   EUR   74.076
MSC Cruises SA        3.000   7/14/2023   CHF   48.000
Selecta Group BV      5.875   02/01/2024  CHF   35.659
Aegon NV              0.046               EUR   62.618
Tullow Oil PLC        6.250   4/15/2022   USD   65.861
Vallourec SA          6.375  10/15/2023   EUR   59.758
Aegon NV              0.915               USD   67.406
MSC Cruises SA        3.000  11/30/2021   CHF   54.133
Metro Bank PLC        9.500   10/08/2025  GBP   73.361
Casino Guichard Per   0.945               EUR   27.508
Naviera Armas SA      6.500   7/31/2023   EUR   50.067
Signet UK Finance P   4.700   6/15/2024   USD   61.905
Obrascon Huarte Lai   5.500   3/15/2023   EUR   39.974
Raffinerie Heide Gm   6.375   12/01/2022  EUR   60.964
Norwegian Air Shutt   6.375  11/15/2024   USD   23.515
Novafives SAS         5.000   6/15/2025   EUR   68.871
Korian SA             0.875   03/06/2027  EUR   49.459
Banca Monte dei Pas   8.000   1/22/2030   EUR   88.938
Maxeda DIY Holding    6.125   7/15/2022   EUR   70.034
Vallourec SA          2.250   9/30/2024   EUR   54.105
Vallourec SA          4.125   10/04/2022  EUR    3.683
Hema Bondco I BV      6.250   7/15/2022   EUR   45.627
Moby SpA              7.750   2/15/2023   EUR   31.750
Sudzucker Internati   2.747               EUR   73.708
International Airpo  12.000   3/15/2033   USD   66.631
Summer BC Holdco A    9.250  10/31/2027   EUR   73.815
Global Liman Isletm   8.125  11/14/2021   USD   59.855
Corestate Capital H   1.375  11/28/2022   EUR   72.136
Distribuidora Inter   1.000   4/28/2021   EUR   72.299
Matalan Finance PLC   6.750   1/31/2023   GBP   59.250
Piraeus Bank SA       9.750   6/26/2029   EUR   71.962
LSF9 Balta Issuer S   7.750   9/15/2022   EUR   49.201
ING Groep NV          0.310               EUR   74.301
AXA SA                1.604               USD   64.883
Premier Oil PLC       6.500   5/31/2021   GBP   65.364
KME SE                6.750   02/01/2023  EUR   43.624
Intu SGS Finance PL   3.875   3/17/2023   GBP   58.281
Valaris plc           5.750   10/01/2044  USD    7.887
Newday Bondco Plc     7.375   02/01/2024  GBP   74.200
Alpha Bank AE         4.250   2/13/2030   EUR   75.875
Norwegian Air Shutt   5.216   02/07/2023  SEK   50.000
BNP Paribas Fortis    1.592               EUR   70.130
Intralot Capital Lu   6.750   9/15/2021   EUR   40.782
Valaris plc           7.750   02/01/2026  USD    6.137
Intelsat Luxembourg   7.750   06/01/2021  USD    5.000
Frigoglass Finance    6.875   02/12/2025  EUR   65.000
Swissport Investmen   6.750  12/15/2021   EUR   24.532
Neoen SA              2.000   06/02/2025  EUR   46.540
Rallye SA             4.000   04/02/2021  EUR   17.806
Casino Guichard Per   3.992               EUR   43.546
Naviera Armas SA      4.250  11/15/2024   EUR   48.537
Pro-Gest SpA          3.250  12/15/2024   EUR   54.833
Mallinckrodt Intern   5.750   08/01/2022  USD   22.280
Maisons du Monde SA   0.125   12/06/2023  EUR   33.992
Tendam Brands SAU     5.000   9/15/2024   EUR   69.641
Paper Industries In   6.000   03/01/2025  EUR   66.625
Republic of Angola    6.388   12/07/2023  USD   61.125
SGL Carbon SE         3.000   9/20/2023   EUR   61.497
Nostrum Oil & Gas F   8.000   7/25/2022   USD   23.809
Mclaren Finance PLC   5.750   08/01/2022  USD   57.705
Air France-KLM        0.125   3/25/2026   EUR   13.030
Pizzaexpress Financ   6.625   08/01/2021  GBP   59.495
SGL Carbon SE         4.625   9/30/2024   EUR   74.838
Solocal Group         8.000   3/15/2022   EUR   39.504
Banque Federative d   0.181               EUR   68.910
Hurricane Energy PL   7.500   7/24/2022   USD   45.348
Pacific Drilling SA   8.375   10/01/2023  USD   22.184
ASG Finance Designa   7.875   12/03/2024  USD   55.149
Valaris plc           4.875   06/01/2022  USD    9.551
KCA Deutag UK Finan   9.625   04/01/2023  USD   44.346
Nexity SA             0.125   01/01/2023  EUR   55.913
AXA SA                0.078               EUR   65.978
Norican A/S           4.500   5/15/2023   EUR   66.795
Groupe Ecore Holdin   6.250  11/15/2023   EUR   54.292
Metro Bank PLC        5.500   6/26/2028   GBP   44.559
4finance SA          10.750   05/01/2022  USD   68.951
Astaldi SpA           7.125   12/01/2020  EUR    9.731
Rothschild & Co Con   1.313               USD   64.835
B2Holding ASA         6.350   5/28/2024   EUR   74.612
Mclaren Finance PLC   5.750   08/01/2022  USD   56.526
Odea Bank AS          7.625   08/01/2027  USD   55.557
Hema Bondco II BV     8.500   1/15/2023   EUR    3.266
La Financiere Atali   5.125   5/15/2025   EUR   60.743
International Perso   7.750  12/14/2023   GBP   69.793
SAS AB                5.375  11/24/2022   SEK   75.000
Norwegian Air Shutt   4.875   05/10/2028  USD   64.000
AXA SA                0.870               USD   71.698
CNP Assurances        0.240               EUR   72.341
Boparan Finance PLC   4.375   7/15/2021   EUR   74.833
Valaris plc           4.700   3/15/2021   USD    6.860
GOL Equity Finance    3.750   7/15/2024   USD   45.014
Koninklijke BAM Gro   3.500   6/13/2021   EUR   69.131
Mallinckrodt Intern   4.750   4/15/2023   USD   21.265
O1 Properties Finan   8.250   9/27/2021   USD   31.500
Intralot Capital Lu   5.250   9/15/2024   EUR   21.028
Fugro NV              4.000  10/26/2021   EUR   72.963
Distribuidora Inter   0.875   04/06/2023  EUR   43.702
Ilija Batljan Inves   6.079   9/27/2022   SEK   82.801
Ageasfinlux SA        1.053               EUR   57.437
Nostrum Oil & Gas F   7.000   2/16/2025   USD   23.908
Valaris plc           8.000   1/31/2024   USD    6.591
Cabonline Group Hol   7.603   12/09/2022  SEK   57.259
Aker Solutions ASA    3.280   06/03/2024  NOK   72.204
Ferroglobe PLC / Gl   9.375   03/01/2022  USD   33.105
Rallye SA             4.371   1/23/2023   EUR   18.002
Akka Technologies     3.500               EUR   60.568
Officine Maccaferri   5.750   06/01/2021  EUR   36.219
SAS AB                8.569               SEK   61.000
Amigo Luxembourg SA   7.625   1/15/2024   GBP   74.196
Neoen SA              1.875   10/07/2024  EUR   37.500
OKEA ASA              8.750   12/11/2024  USD   70.000
Saga PLC              3.375   05/12/2024  GBP   73.038
Intu Metrocentre Fi   4.125   12/06/2023  GBP   58.182
OKEA ASA              7.875   6/28/2023   USD   70.503
NIBC Bank NV          1.320               USD   62.201
KCA Deutag UK Finan   7.250   5/15/2021   USD   42.604
Cooperativa Murator   6.000   2/15/2023   EUR    2.705
AnaCap Financial Eu   5.000   08/01/2024  EUR   75.155
FIGEAC-AERO           1.125  10/18/2022   EUR   22.843
Promontoria Holding   6.250   8/15/2023   EUR   63.721
Codere Finance 2 Lu   7.625   11/01/2021  USD   45.020
Aryzta AG             3.640               CHF   60.949
Fuerstenberg Capita   5.625               EUR   66.395
Korian SA             2.500               EUR   40.642
Banco BPM SpA         1.487               EUR   72.663
Econocom Group SA/N   0.500   03/06/2023  EUR    6.590
Tendam Brands SAU     5.250   9/15/2024   EUR   68.634
Dignity Finance PLC   4.696  12/31/2049   GBP   75.317
Abengoa Abenewco 2    1.500   4/26/2024   EUR    2.841
AXA SA                0.580               EUR   65.206
Valaris plc           4.500   10/01/2024  USD    7.468
Debenhams PLC         5.250   7/15/2021   GBP    3.827
Codere Finance 2 Lu   7.625   11/01/2021  USD   40.937
ADLER Real Estate A   2.500   7/19/2021   EUR   14.450
Quadient              3.375               EUR   55.086
Rothschild & Co Con   0.310               EUR   63.402
Intu SGS Finance PL   4.250   9/17/2030   GBP   56.750
Valaris plc           5.200   3/15/2025   USD    6.285
Jain International    7.125   02/01/2022  USD   29.263
Societe Generale SA   0.623               USD   74.000
Novafives SAS         4.500   6/15/2025   EUR   68.916
Midsummer AB          8.826   4/25/2023   SEK   47.563
KCA Deutag UK Finan   9.875   04/01/2022  USD   43.843
Greenyard Fresh NV    3.750  12/22/2021   EUR   69.649
HOCHDORF Holding AG   2.500               CHF   59.241
MCH Group AG          1.875   5/16/2023   CHF   68.560
Thomas Cook Group P   6.250   6/15/2022   EUR    5.000
Republic of Angola    6.927   2/19/2027   USD   67.000
VIC Properties SA     3.000   5/28/2025   EUR   75.000
F-Brasile SpA / F-B   7.375   8/15/2026   USD   73.208
Mallinckrodt Intern   5.500   4/15/2025   USD   20.858
AX Del1 Oy            5.000   4/19/2021   EUR   63.723
Atento Luxco 1 SA     6.125   08/10/2022  USD   71.619
Pierre & Vacances S   2.000   04/01/2023  EUR   50.858
MPC Container Ships   5.945   9/22/2022   USD   74.000
Mallinckrodt Intern  10.000   4/15/2025   USD   66.376
Biocartis NV          4.000   05/09/2024  EUR   59.405
Promontoria MMB SAS   8.000               EUR   70.948
Offshore Drilling H   8.375   9/20/2020   USD   24.100
Valaris plc           5.850   1/15/2044   USD   10.210
Banco Santander SA    0.143               EUR   71.876
Union Fenosa Prefer   1.301               EUR   71.920
Nexity SA             0.250   03/02/2025  EUR   55.776
Host Property AB      6.684  11/28/2022   SEK   61.666
Mallinckrodt Intern   5.625  10/15/2023   USD   23.090
Rallye SA             5.250   02/01/2022  EUR   17.783
Senvion Holding Gmb   3.875  10/25/2022   EUR    4.137
European TopSoho Sa   4.000   9/21/2021   EUR   53.560
EA Partners I BV      6.875   9/28/2020   USD   31.000
Hoist Finance AB      7.750               EUR   65.396
Matalan Finance PLC   9.500   1/31/2024   GBP   29.188
Boparan Finance PLC   5.500   7/15/2021   GBP   75.992
Turkish Airlines 20   4.200   3/15/2027   USD   74.448
Cooperativa Murator   6.875   08/01/2022  EUR    2.760
Swissport Investmen   9.750  12/15/2022   EUR   13.210
Rallye SA             3.250   02/08/2024  CHF   20.506
Ziton A/S             7.900   10/03/2022  EUR   70.224
Petra Diamonds US T   7.250   05/01/2022  USD   37.377
Jaguar Land Rover A   4.500   10/01/2027  USD   67.267
Thomas Cook Finance   3.875   7/15/2023   EUR    3.360
Valaris plc           7.375   6/15/2025   USD    8.257
Kudelski SA           1.500   9/27/2024   CHF   52.298
Vedanta Resources F   9.250   4/23/2026   USD   52.209
Cembrit Group A/S     5.500   3/20/2021   EUR   66.392
Songa Container AS    6.741  12/14/2021   USD   70.000
Independent Oil & G   9.500   9/20/2024   EUR   68.208
Norwegian Air Shutt   7.500   11/10/2023  USD   65.250
Caisse Federale du    0.018               EUR   71.259
Metalcorp Group SA    7.000   06/06/2022  EUR   70.053
Sydbank A/S           0.069               EUR   74.162
Intu Debenture PLC    5.562  12/31/2027   GBP   58.250
Quant AB              6.000   2/15/2023   EUR   59.596
Gol Finance SA        7.000   1/31/2025   USD   45.937
Lehman Brothers UK    5.125               EUR    8.125
Santhera Pharmaceut   5.000   2/17/2022   CHF   55.771
DOF Subsea AS         9.500   3/14/2022   USD   21.008
Stockmann OYJ Abp    10.750               EUR   15.000
Newday Bondco Plc     7.053   02/01/2023  GBP   74.860
European Directorie   8.500   06/09/2021  EUR   70.000
Intelsat Jackson Ho   8.500  10/15/2024   USD   59.000
Koninklijke Luchtva   0.750               CHF   33.000
Intu SGS Finance PL   4.625   3/17/2028   GBP   57.722
Intelsat Connect Fi   9.500   2/15/2023   USD   16.000
Galapagos Holding S   7.000   6/15/2022   EUR    7.704
Fugro NV              4.500   11/02/2024  EUR   60.097
Axactor SE            7.000   6/23/2021   EUR   70.000
Rallye SA             4.000  11/23/2020   CHF   20.266
Groupe Acrotec SA     3.500  10/16/2025   CHF   67.833
Alitalia-Societa Ae   5.250   7/30/2020   EUR    1.841
Banco Espirito Sant   4.000   1/21/2019   EUR   25.326
Atento Luxco 1 SA     6.125   08/10/2022  USD   60.250
Shawbrook Group PLC   7.875               GBP   68.635
EA Partners II BV     6.750   06/01/2021  USD   48.529
Air Berlin PLC        8.250   4/19/2018   EUR    1.623
Jyske Bank A/S        0.366               EUR   73.622
Pizzaexpress Financ   8.625   08/01/2022  GBP   12.298
Solstad Offshore AS   4.620   9/24/2021   NOK    4.625
Grupo Isolux Corsan   1.000  12/30/2021   EUR    0.294
Steinhoff Finance H   1.250  10/21/2023   EUR   43.000
Vedanta Resources L   6.375   7/30/2022   USD   56.864
Scandinavian Airlin   0.625               CHF   29.334
Groupe Acrotec SA     3.750   6/14/2023   CHF   65.468
Prime Living AB       4.811   9/29/2022   SEK   47.091
Privatbank CJSC Via  10.250   1/23/2018   USD   30.747
Banco Espirito Sant   2.625   05/08/2017  EUR   17.048
Paragon GmbH & Co K   4.500   07/05/2022  EUR   44.623
Vedanta Resources L   8.250   06/07/2021  USD   70.197
Hellenic Bank PCL    10.000               EUR   49.393
Tulip Oil Netherlan   8.500  10/25/2022   EUR   83.741
La Financiere Atali   6.625   5/15/2025   GBP   67.594
Deutsche Bank AG/Lo   0.806  10/31/2034   USD   66.625
Turkish Airlines 20   4.200   3/15/2027   USD   74.448
Immigon Portfolioab   5.980               EUR   15.097
Ferroglobe PLC / Gl   9.375   03/01/2022  USD   33.818
Astaldi SpA           4.875   6/21/2024   EUR    7.350
Selecta Group BV      5.875   02/01/2024  EUR   37.980
FF Group Finance Lu   3.250   11/02/2021  CHF    8.618
Republic of Angola    9.412   07/01/2023  USD   61.125
Care Bidco AS         6.620   3/24/2021   NOK   48.109
Valaris plc           4.750   1/15/2024   USD    9.312
Mitchells & Butlers   2.612   6/15/2036   GBP   70.846
Dexia Credit Local    1.468               EUR    6.706
Barclays Bank PLC     0.824   7/31/2034   USD   67.100
FF Group Finance Lu   1.750   07/03/2019  EUR    5.878
Bourbon Corp          6.446               EUR    0.266
Valaris plc           5.400   12/01/2042  USD   11.659
EOS Imaging SA        6.000   5/31/2023   EUR    4.887
Stobart Finance PLC   2.750   05/08/2024  GBP   58.000
KCA Deutag UK Finan   9.625   04/01/2023  USD   44.294
GOL Equity Finance    3.750   7/15/2024   USD   78.127
Wasps Finance Plc     6.500   5/13/2022   GBP   45.684
Tullow Oil PLC        6.250   4/15/2022   USD   65.861
Vedanta Resources L   6.125   08/09/2024  USD   49.391
KCA Deutag UK Finan   9.875   04/01/2022  USD   42.365
Tullow Oil PLC        7.000   03/01/2025  USD   55.826
KCA Deutag UK Finan   7.250   5/15/2021   USD   42.486
LA Perla Fashion Fi   7.250   3/29/2023   EUR   49.623
Yell Bondco PLC       8.500   05/02/2023  GBP   38.028
Lambay Capital Secu   6.250               GBP    0.844
Eramet                4.000               EUR   52.027
Ellaktor Value Plc    6.375  12/15/2024   EUR   75.250
Transcapitalbank JS  10.000   9/18/2020   USD   55.500
Grupo Isolux Corsan   6.000  12/30/2021   EUR    0.307
NIBC Bank NV          0.193               EUR   62.921
Abengoa Abenewco 2    1.500   4/26/2024   USD    2.817
SLM Solutions Group   5.500   10/11/2022  EUR   70.956
BIM SAS               2.500  11/13/2020   EUR   22.014
Jacktel AS           10.000   12/04/2023  USD   15.000
Rickmers Holding AG   8.875   06/11/2018  EUR    1.152
Rallye SA             3.400   1/31/2022   EUR   18.000
DOF Subsea AS         7.760   9/30/2020   NOK   20.000
Mitsubishi UFJ Inve   4.002  12/30/2099   EUR    4.194
YA Holding AB         3.278   6/18/2022   SEK   53.304
Hoist Finance AB      8.625               EUR   69.671
Fuerstenberg Capita   1.287               EUR   64.969
Mclaren Finance PLC   5.750   08/01/2022  USD   57.091
Air Berlin PLC        6.750   05/09/2019  EUR    1.259
Credit Mutuel Arkea   0.316               EUR   67.023
Stichting Afwikkeli   6.250  10/26/2020   EUR    1.426
Dexia SA              1.519               EUR    7.431
OP Corporate Bank p   0.132               EUR   73.614
Mclaren Finance PLC   5.000   08/01/2022  GBP   57.771
Uppfinnaren 1 AB     11.000               SEK   44.092
Bilt Paper BV         9.640               USD    1.021
House of Fraser Fun   5.978   9/15/2020   GBP    3.433
Kredyt Inkaso SA      5.610   4/26/2023   PLN   70.500
Bank Otkritie Finan  10.000   4/26/2019   USD    9.505
Tresu Investment Ho   5.000   9/29/2022   EUR   41.625
DNB Bank ASA          1.750               USD   68.299
Andrade Gutierrez I   9.500  12/30/2024   USD   62.251
CMA CGM SA            5.250   1/15/2025   EUR   70.530
Avangardco Investme  10.000  10/29/2018   USD    3.800
Pacific Drilling SA   8.375   10/01/2023  USD   21.836
Mallinckrodt Intern   5.750   08/01/2022  USD   24.495
UkrLandFarming PLC   10.875   3/26/2018   USD    4.221
Agrokor dd            9.875   05/01/2019  EUR   10.500
Orient Express Bank  10.000               USD   45.089
Air Berlin PLC        5.625   05/09/2019  CHF    0.709
OGX Austria GmbH      8.500   06/01/2018  USD    0.001
GEWA 5 to 1 GmbH &    6.500   3/24/2018   EUR    4.510
JZ Capital Partners   6.000   7/30/2021   GBP    9.200
Norwegian Air Shutt   4.875   05/10/2028  USD   65.243
Virgolino de Olivei  10.500   1/28/2018   USD    0.849
Intelsat Jackson Ho   9.750   7/15/2025   USD   61.250
Rallye SA             1.000   10/02/2020  EUR   22.419
Cirio Holding Luxem   6.250   2/16/2004   EUR    0.942
Virgolino de Olivei  11.750   02/09/2022  USD    0.943
Allied Irish Banks   12.500   6/25/2035   GBP   61.971
Banca Popolare di V   9.500   9/29/2025   EUR    0.046
Afren PLC             6.625   12/09/2020  USD    0.070
4finance SA          10.750   05/01/2022  USD   68.976
CNP Assurances        2.000               EUR   50.000
Banco Espirito Sant   4.750   1/15/2018   EUR   25.599
Selecta Group BV      5.875   02/01/2024  CHF   36.381
Abengoa Abenewco 2    1.500   4/26/2024   USD    3.531
Barclays Bank PLC     0.604  11/29/2030   USD   70.319
Stichting Afwikkeli  11.250               EUR    1.210
InterCement Financi   5.750   7/17/2024   USD   43.575
KTG Agrar SE          7.125   06/06/2017  EUR    1.136
Transportes Aereos    5.625   12/02/2024  EUR   57.214
Vedanta Resources F   8.000   4/23/2023   USD   52.022
International Indus   9.000   07/06/2011  EUR    0.081
DNB Bank ASA          0.621               USD   68.470
Yuksel Insaat AS      9.500   11/10/2015  USD    1.252
CBo Territoria        3.750   07/01/2024  EUR    4.410
Enertronica Santern   7.000  12/31/2022   EUR   34.490
Unigel Luxembourg S   8.750   10/01/2026  USD   74.135
BBVA International    1.527               GBP   65.000
Intelsat Jackson Ho   9.750   7/15/2025   USD   58.597
Paper Industries In   6.000   03/01/2025  EUR   67.000
ASG Finance Designa   7.875   12/03/2024  USD   55.139
Solship Invest 1 AS   5.000   12/08/2024  NOK   11.917
GNB - Cia de Seguro   3.092               EUR   69.905
Corporate Commercia   8.250   08/08/2014  USD    0.836
Prime Living AB       7.339  10/19/2023   SEK    3.793
Takko Luxembourg 2    5.375  11/15/2023   EUR   29.999
OGX Austria GmbH      8.375   04/01/2022  USD    0.010
Europcar Mobility G   4.125  11/15/2024   EUR   64.070
BOA Offshore AS       0.409   7/17/2047   NOK    6.868
Vedanta Resources L   7.125   5/31/2023   USD   51.303
Nostrum Oil & Gas F   8.000   7/25/2022   USD   23.920
Aralco Finance SA    10.125   05/07/2020  USD    0.934
Norwegian Air Shutt   7.500   11/10/2023  USD   65.250
Paragon GmbH & Co K   4.000   4/23/2024   CHF   40.000
Depfa Funding II LP   6.500               EUR   57.819
Lehman Brothers UK    3.875               EUR    8.125
Mitchells & Butlers   2.362   9/15/2034   GBP   73.400
Brado AB              8.603   06/07/2023  SEK   69.774
Privatbank CJSC Via  11.000   02/09/2021  USD    9.248
Banco Espirito Sant   7.125  11/28/2023   EUR    0.563
International Indus  11.000   2/19/2013   USD    0.081
Russian Federal Bon   0.250   7/20/2044   RUB   27.466
Espirito Santo Fina   6.875  10/21/2019   EUR    0.068
Alno AG               8.500   5/14/2018   EUR   13.743
DNB Bank ASA          1.740               USD   68.457
Breeze Finance SA     6.708   4/19/2027   EUR   28.950
Barclays Bank PLC     0.400   5/31/2033   USD   54.235
Banca Popolare di V   2.821  12/20/2017   EUR    0.100
Lehman Brothers UK    6.900               USD    2.745
Portugal Telecom In   6.250   7/26/2016   EUR    0.612
Civitas Properties    4.000  11/24/2022   EUR   54.500
Global Liman Isletm   8.125  11/14/2021   USD   58.296
Claranova SADIR       5.000   07/01/2023  EUR    1.100
New World Resources   4.000   10/07/2020  EUR    1.217
Hellenic Republic G   2.085   7/25/2057   EUR   50.375
HPI AG                3.500               EUR    3.000
Swissport Financing   9.000   2/15/2025   EUR    7.257
DOF Subsea AS         8.280  11/27/2023   NOK   13.054
Swissport Financing   5.250   8/15/2024   EUR   78.340
UniCredit Bank AG     0.483  11/19/2029   EUR   58.160
Vallourec SA          6.625  10/15/2022   EUR   63.495
Promontoria Holding   6.750   8/15/2023   EUR   72.496
Vallourec SA          4.125   08/02/2027  EUR   52.745
Kaupthing ehf         7.625   2/28/2015   USD    0.250
F-Brasile SpA / F-B   7.375   8/15/2026   USD   73.249
Agrokor dd            9.125   02/01/2020  EUR   10.179
ESFIL-Espirito Sant   5.250   06/12/2015  EUR    0.107
Barclays Bank PLC     3.663   3/27/2029   USD   59.391
Mallinckrodt Intern   5.500   4/15/2025   USD   20.858
Banco Espirito Sant   2.343               EUR    0.042
HI Bidco AS           6.060  10/30/2022   NOK   51.031
Selecta Group BV      5.375   02/01/2024  EUR   37.770
International Airpo  12.000   3/15/2033   USD   66.686
New World Resources   8.000   04/07/2020  EUR    0.447
Societe Centrale de   2.500   5/15/2023   EUR    6.780
Deutsche Bank AG      0.687   10/11/2049  EUR   72.646
Havila Shipping ASA   5.000   11/07/2020  NOK   60.000
Kaupthing ehf         5.750   10/04/2011  USD    0.250
Hamon & CIE SA        3.300   1/30/2025   EUR   44.750
Praktiker AG          5.875   02/10/2016  EUR    0.069
Verimatrix SA         6.000   6/29/2022   EUR    3.852
KPNQwest NV          10.000   3/15/2012   EUR    0.076
Virgolino de Olivei  10.875   1/13/2020   USD   26.625
Portigon AG           7.460   06/01/2020  EUR   18.000
Mallinckrodt Intern  10.000   4/15/2025   USD   66.433
Cooperatieve Raboba   0.500   2/26/2029   HUF   70.380
Hellas Telecommunic   6.054   1/15/2015   USD    0.018
Region of Piemont I   0.010  11/27/2036   EUR   65.179
CRC Breeze Finance    6.110   05/08/2026  EUR   50.500
Privatbank CJSC Via  10.875   2/28/2018   USD   30.293
Intralot Capital Lu   6.750   9/15/2021   EUR   40.782
Top Gun Realisation   8.000   07/01/2023  GBP    1.509
Manchester Building   6.750               GBP   18.783
LBI ehf               6.100   8/25/2011   USD    7.375
Rena GmbH             8.250   07/11/2018  EUR    2.096
Afren PLC            11.500   02/01/2016  USD    0.062
German Pellets GmbH   7.250  11/27/2019   EUR    0.311
Societe Generale SA  10.000   6/28/2034   USD   62.900
Alpine Holding GmbH   6.000   5/22/2017   EUR    0.172
Banco Espirito Sant   2.523               EUR    0.159
Nostrum Oil & Gas F   7.000   2/16/2025   USD   23.944
Norske Skogindustri   7.000  12/30/2026   EUR    0.135
Agrokor dd            8.875   02/01/2020  USD   10.838
Agatos SpA            4.750  12/31/2026   EUR   73.500
Espirito Santo Fina   9.750  12/19/2025   EUR    1.144
Takko Luxembourg 2    5.375  11/15/2023   EUR   22.375
Cooperatieve Raboba   0.500  10/30/2043   MXN   20.185
Cirio Finance Luxem   7.500   11/03/2002  EUR    1.364
Saleza AS             9.000   07/12/2021  EUR    0.213
O1 Properties Finan   8.250   9/27/2021   USD   20.255
HI Bidco AS           8.560   1/30/2023   NOK   13.617
Barclays Bank PLC     0.473   3/21/2031   USD   65.588
Kongsberg Actuation   5.000   7/15/2025   EUR   62.300
Hema Bondco II BV     8.500   1/15/2023   EUR    7.030
F-Brasile SpA / F-B   7.375   8/15/2026   USD   80.030
International Finan   0.500   6/29/2027   ZAR   58.334
Hellas Telecommunic   8.500  10/15/2013   EUR    0.497
Naviera Armas SA      6.500   7/31/2023   EUR   50.709
Adler Pelzer Holdin   4.125   04/01/2024  EUR   48.000
Banco Espirito Sant   6.875   7/15/2016   EUR   25.735
Vallourec SA          6.375  10/15/2023   EUR   59.712
Societe Generale SA  21.000   3/30/2023   USD   72.500
Waste Italia SpA     10.500  11/15/2019   EUR    0.608
Kancelaria Medius S   6.900   07/05/2020  PLN   65.300
Hamburgische Landes   0.134   1/22/2041   EUR   66.253
UniCredit Bank AG     8.900  12/29/2020   EUR   26.910
Norske Skogindustri   2.000  12/30/2115   EUR    0.041
Jaguar Land Rover A   4.500   1/15/2026   EUR   74.995
Cooperatieve Raboba   0.500  10/29/2027   MXN   61.991
APP International F  11.750   10/01/2005  USD    0.362
German Pellets GmbH   7.250   07/09/2018  EUR    0.607
Europcar Mobility G   4.000   4/30/2026   EUR   58.625
Danske Bank A/S       6.400   07/09/2025  SEK   74.250
Kancelaria Medius S   7.260   03/07/2021  PLN   52.100
Activa Resources AG   0.500  11/15/2021   EUR    1.500
Banco Espirito Sant   6.900   6/28/2024   EUR   19.327
Dr Wiesent Sozial g   7.000               EUR   10.000
Afren PLC            10.250   04/08/2019  USD    0.062
Commerzbank AG        0.453  11/19/2029   EUR   60.668
Newday Bondco Plc     7.375   02/01/2024  GBP   74.876
Veneto Banca SpA      9.500   12/01/2025  EUR    0.787
Steilmann SE          7.000   03/09/2017  EUR    1.429
Norske Skogindustri   7.125  10/15/2033   USD    0.135
Decipher Production  12.500   9/27/2019   USD    1.500
Espirito Santo Fina   3.125   12/02/2018  EUR    1.099
Erotik-Abwicklungsg   7.750   07/09/2019  EUR    0.779
Offshore Drilling H   8.375   9/20/2020   USD   22.712
Raiffeisen Switzerl   6.000  10/28/2020   EUR   53.050
Lehman Brothers UK    5.750               EUR    2.117
Jaguar Land Rover A   5.875  11/15/2024   EUR   76.484
WPE International C  10.375   9/30/2020   USD    0.023
Linas Matkasse Newc   8.351   10/09/2022  SEK   55.760
KPNQwest NV           7.125   06/01/2009  EUR    0.076
Kommunekredit         0.500   7/30/2027   TRY   41.681
Ahtium PLC            9.750   04/04/2017  EUR    0.976
Norske Skog Holding   8.000   2/24/2021   EUR    0.023
Cooperatieve Raboba   0.500   7/30/2043   MXN   20.886
Virgolino de Olivei  10.500   1/28/2018   USD    0.849
Nordea Bank Abp       3.500   1/22/2024   SEK   67.130
Alno AG               8.000   3/21/2019   EUR   12.000
UBS AG/London        12.500   7/19/2021   USD   45.150
Intralot Capital Lu   5.250   9/15/2024   EUR   23.000
Senvion Holding Gmb   3.875  10/25/2022   EUR    4.137
Societe Generale SA  10.000   11/03/2022  USD   51.700
GE Capital UK Fundi   1.848   03/05/2038  GBP   65.414
Top Gun Realisation   8.000   07/01/2023  GBP    1.509
Naviera Armas SA      4.250  11/15/2024   EUR   49.000
Bulgaria Steel Fina  12.000   05/04/2013  EUR    0.216
Cooperatieve Raboba   0.500  12/29/2027   MXN   61.093
UBS AG/London        12.500   5/17/2021   USD   49.000
Depfa Funding III L   0.378               EUR   57.100
Windreich GmbH        6.500   7/15/2016   EUR    7.738
EFG International A   0.204               EUR   40.494
Cattles Ltd           8.125   07/05/2017  GBP    0.072
Ahtium PLC            4.000  12/16/2015   EUR    0.586
KTG Agrar SE          7.250  10/15/2019   EUR    1.136
Chr Bygga Bostader    9.338   07/05/2021  SEK   50.000
Odea Bank AS          7.625   08/01/2027  USD   55.557
EDOB Abwicklungs AG   7.500   04/01/2012  EUR    0.300
Yell Bondco PLC       8.500   05/02/2023  GBP   38.223
Solon SE              1.375   12/06/2012  EUR    0.769
Hema Bondco I BV      6.250   7/15/2022   EUR   46.183
Finmek Internationa   7.000   12/03/2004  EUR    2.193
Nordea Bank Abp       3.500   7/20/2022   SEK   73.130
Nordea Bank Abp       4.200   1/20/2025   SEK   74.630
UBS AG/London        12.000   11/02/2020  USD   42.550
Danske Bank A/S       7.470   07/09/2023  SEK   58.480
Krakowski Bank Spol   4.820   9/20/2023   PLN   72.010
Hamburgische Landes   0.148  10/30/2040   EUR   73.955
Societe Generale SA  12.000   07/08/2021  USD   23.955
Societe Generale SA   8.000   8/18/2021   USD   18.700
Finans-Avia OOO      10.000   7/31/2022   RUB    7.380
Raffinerie Heide Gm   6.375   12/01/2022  EUR   60.500
Cirio Del Monte NV    7.750   3/14/2005   EUR    0.552
Afren PLC            11.500   02/01/2016  USD    0.062
Swissport Investmen   6.750  12/15/2021   EUR   24.532
Maxeda DIY Holding    6.125   7/15/2022   EUR   69.255
Mallinckrodt Intern   5.625  10/15/2023   USD   23.265
F-Brasile SpA / F-B   7.375   8/15/2026   USD   73.249
KPNQwest NV           8.875   02/01/2008  EUR    0.076
Cooperatieve Raboba   0.500  11/30/2027   MXN   59.706
Skandinaviska Enski   6.000   7/15/2022   SEK   58.750
Skandinaviska Enski   7.000   1/15/2024   SEK   35.110
UniCredit SpA         1.900   6/14/2032   EUR   73.251
Agrokor dd            9.875   05/01/2019  EUR   10.500
Sequa Petroleum NV    5.000   4/29/2020   USD   25.601
Dolphin Drilling AS   4.490   8/28/2019   NOK    0.339
Gebr Sanders GmbH &   8.750  10/22/2018   EUR   11.463
Havila Shipping ASA   4.350   11/07/2020  NOK   51.213
SG Issuer SA         10.850   2/22/2021   CHF   55.000
SALVATOR Vermoegens   9.500  12/31/2021   EUR    8.000
Region of Abruzzo I   0.215   11/07/2036  EUR   65.482
Societe Generale SA  21.000  12/23/2022   USD   29.790
LSF9 Balta Issuer S   7.750   9/15/2022   EUR   49.348
Ghelamco Invest       4.250   1/21/2027   EUR   62.038
SB Holdco PLC         8.000   7/13/2022   EUR   73.000
Societe Generale SA  21.000   6/30/2022   USD   25.240
Leonteq Securities   11.600   9/17/2020   USD   50.300
Kirk Beauty One Gmb   8.750   7/15/2023   EUR   46.853
Credit Suisse AG/Lo  10.500   06/03/2020  USD   38.090
Vseukrainsky Aktsin  10.900   6/14/2019   USD    1.056
Jaguar Land Rover A   2.200   1/15/2024   EUR   75.006
Marine Subsea AS      9.000  12/16/2019   USD    0.688
Vneshprombank Ltd V   9.000  11/14/2016   USD    0.078
Pescanova SA          5.125   4/20/2017   EUR    0.319
Dogus Holding AS     13.220   7/26/2021   TRY   70.000
Del Monte Finance L   6.625   5/24/2006   EUR    0.001
Novafives SAS         5.000   6/15/2025   EUR   68.980
Republic of Italy G   0.047   7/31/2035   EUR   74.754
Pizzaexpress Financ   6.625   08/01/2021  GBP   54.833
Pizzaexpress Financ   8.625   08/01/2022  GBP   12.298
Afren PLC            10.250   04/08/2019  USD    0.062
Boparan Finance PLC   5.500   7/15/2021   GBP   75.138
La Financiere Atali   4.000   5/15/2024   EUR   58.567
Region of Abruzzo I   0.055   11/07/2031  EUR   72.332
Banque Internationa   0.224   2/20/2023   EUR    0.030
Swissport Investmen   9.750  12/15/2022   EUR   13.210
Manchester Building   8.000               GBP   21.750
Credit Agricole Cor   9.000   02/11/2021  USD   39.200
Central Business Ce   5.750  12/30/2021   EUR   31.000
Mifa Mitteldeutsche   7.500   08/12/2018  EUR    2.110
Norske Skog Holding   8.000   2/24/2023   USD    0.022
Sairgroup Finance B   4.375   06/08/2006  EUR    1.829
Alpine Holding GmbH   5.250   07/01/2015  EUR    0.172
UBS AG/London        12.000   08/12/2021  CHF   54.400
Centre Hospitalier    1.500   4/27/2050   EUR   20.138
SiC Processing GmbH   7.125   03/01/2016  EUR    2.611
Cooperatieve Raboba   0.500   1/31/2033   MXN   38.015
Nordea Bank Abp       4.000   7/20/2025   SEK   71.130
Turkey Government I   4.875   4/16/2043   USD   72.980
Matalan Finance PLC   9.500   1/31/2024   GBP   31.354
Virgolino de Olivei  11.750   02/09/2022  USD    0.943
Societe Generale SA   8.000   08/09/2022  USD   22.681
Landesbank Baden-Wu   3.520   8/28/2020   EUR   72.920
Barclays Bank PLC     1.860   5/30/2034   USD   72.250
Region of Molise It   0.060  12/15/2033   EUR   62.452
Autostrade per l'It   3.240   06/10/2034  EUR   73.184
Nordea Bank Abp       2.215   7/20/2021   SEK   13.000
Portugal Telecom In   5.242   11/06/2017  EUR    0.694
Skandinaviska Enski   6.500   1/15/2024   SEK   46.020
Investec Bank PLC     1.594   7/31/2025   GBP   74.560
SAir Group            0.125   07/07/2005  CHF    8.375
Moby SpA              7.750   2/15/2023   EUR   31.750
Banco Santander SA    1.932               EUR    3.772
Summer BC Holdco A    9.250  10/31/2027   EUR   74.500
Phosphorus Holdco P  10.000   04/01/2019  GBP    2.557
Marcolin SpA          4.125   2/15/2023   EUR   70.758
Barclays Bank PLC     1.372  12/23/2033   USD   61.161
Agrokor dd Via Aqua   4.921   08/08/2017  EUR   14.625
MS Deutschland Bete   6.875  12/18/2017   EUR    1.720
Veneto Banca SpA      6.411               EUR    1.199
Alpine Holding GmbH   5.250   06/10/2016  EUR    0.172
Waste Italia SpA     10.500  11/15/2019   EUR    0.608
Centrosolar Group A   7.000   2/15/2016   EUR    2.387
KPNQwest NV           8.125   06/01/2009  USD    0.076
Nordea Bank Abp       4.100   7/20/2023   SEK   35.630
OGX Austria GmbH      8.500   06/01/2018  USD    0.001
German Pellets GmbH   7.250   04/01/2016  EUR    0.429
Cooperatieve Raboba   0.500   8/21/2028   MXN   52.334
Leonteq Securities    9.000   7/28/2020   CHF   48.870
WEB Windenergie AG    2.250   9/25/2028   EUR   55.010
Finans-Avia OOO       0.010   7/31/2027   RUB    3.670
Pro-Gest SpA          3.250  12/15/2024   EUR   55.000
Tendam Brands SAU     5.000   9/15/2024   EUR   69.540
Nordea Bank Abp       3.600   1/22/2024   SEK   73.630
Deutsche Bank AG/Lo   0.500  10/18/2038   MXN   27.229
Veneto Banca SpA      6.944   5/15/2025   EUR    0.070
HSBC Bank PLC         0.500  11/25/2025   BRL   68.123
Landesbank Schleswi   1.518   01/05/2040  USD   56.921
International Bank    8.250   10/09/2024  USD   60.375
Island Offshore Shi   3.450   6/30/2021   NOK    4.449
Frigoglass Finance    6.875   02/12/2025  EUR   65.516
HSBC Bank PLC         0.500  12/22/2025   BRL   67.687
Landesbank Baden-Wu   2.000  12/29/2020   EUR   68.320
UBS AG/London        12.000   9/28/2020   USD   46.450
Matalan Finance PLC   6.750   1/31/2023   GBP   56.799
UBS AG/London        11.500   6/14/2021   USD   44.150
Bank Nadra Via NDR    8.250   7/31/2018   USD    0.208
La Financiere Atali   5.125   5/15/2025   EUR   61.112
Vontobel Financial   17.000   9/25/2020   EUR   58.120
Credit Suisse AG/Lo  11.750   03/03/2021  USD   72.175
Thomas Cook Group P   6.250   6/15/2022   EUR    5.000
AnaCap Financial Eu   5.000   08/01/2024  EUR   75.352
Elli Investments Lt  12.250   6/15/2020   GBP   51.505
Nordea Bank Abp       8.250   1/20/2025   SEK   74.050
Credit Suisse AG/Lo  13.500  10/13/2020   USD   56.910
Sairgroup Finance B   6.625   10/06/2010  EUR    1.829
Heta Asset Resoluti   7.500  12/31/2023   ATS    1.406
Hampshire Trust Ban   7.250   05/10/2028  GBP   72.001
Deutsche Agrar Hold   7.250   9/28/2018   EUR    1.254
KME SE                6.750   02/01/2023  EUR   44.630
Astaldi SpA           7.125   12/01/2020  EUR    9.731
Stichting Afwikkeli   6.625   5/14/2018   EUR    1.426
Galapagos Holding S   7.000   6/15/2022   EUR    7.704
Kaupthing ehf         9.000               USD    0.122
OGX Austria GmbH      8.375   04/01/2022  USD    0.001
Amigo Luxembourg SA   7.625   1/15/2024   GBP   74.928
Leonteq Securities    9.200   10/12/2020  CHF   37.620
SG Issuer SA          5.996   01/10/2023  EUR   62.950
AlphaNotes ETP Dac    0.010   09/09/2029  USD   68.317
Lehman Brothers Tre   2.000   3/16/2035   EUR    3.400
Natixis SA            0.300   6/25/2048   USD   50.307
Societe Generale SA   8.000   5/28/2027   USD   15.700
Raiffeisen Switzerl   9.180   1/25/2021   EUR   71.830
UkrLandFarming PLC   10.875   3/26/2018   USD    5.201
Privatbank CJSC Via  10.875   2/28/2018   USD   30.293
Raiffeisen Switzerl   8.000   07/11/2024  USD   56.100
Skandinaviska Enski   7.620   7/15/2022   SEK   45.610
Golden Gate AG        6.500   10/11/2014  EUR   37.550
Esbank Bank Spoldzi   4.790   7/16/2025   PLN   65.050
Sberbank of Russia   12.270   01/02/2026  RUB   67.230
Mox Telecom AG        7.250   11/02/2017  EUR    1.354
Barclays Bank PLC     0.701  11/28/2029   USD   78.375
Danske Bank A/S       5.300   7/15/2023   SEK   24.830
Nordea Bank Abp       5.100   1/20/2022   SEK   59.880
Nordea Bank Abp       7.150   7/20/2023   SEK   55.000
Leonteq Securities   30.000   7/28/2020   CHF   45.560
Norske Skog Holding   8.000   2/24/2023   USD    0.022
Petromena ASA        10.850  11/19/2018   USD    0.609
Anglian Water Servi   1.081   1/26/2057   GBP   68.948
Banco Espirito Sant  10.000   12/06/2021  EUR    0.563
Otkritie Holding JS  12.090   12/08/2027  RUB    0.100
Argentum Capital SA   4.551   06/06/2023  USD   40.870
Leonteq Securities   19.600   1/20/2021   CHF   63.380
DZ Bank AG Deutsche  10.150  11/27/2020   EUR   62.600
SG Issuer SA          7.000   2/17/2021   EUR   53.640
DZ Bank AG Deutsche   6.400   9/21/2020   EUR   71.790
Barclays Bank PLC     1.088   8/31/2031   USD   78.375
Bank Julius Baer &   10.150   08/07/2020  USD   35.250
SG Issuer SA          6.260   01/10/2024  SEK   72.830
Kredyt Inkaso SA      4.900   3/28/2022   PLN   71.010
IKB Deutsche Indust   1.666  12/31/2031   EUR   62.216
Officine Maccaferri   5.750   06/01/2021  EUR   36.083
Corner Banca SA       7.400  10/13/2020   CHF   46.510
Leonteq Securities    9.000   06/04/2020  USD   41.030
Nordea Bank Abp       2.100   7/20/2023   SEK   70.380
Skandinaviska Enski   7.880   1/16/2023   SEK   55.515
Tonon Luxembourg SA  12.500   5/14/2024   USD    0.445
Promontoria Holding   6.250   8/15/2023   EUR   72.160
Ideal Standard Inte  11.750   05/01/2018  EUR    0.051
DekaBank Deutsche G   9.600  10/16/2020   EUR   47.260
Air Berlin Finance    6.000   03/06/2019  EUR    1.550
REM Saltire AS        8.460   6/30/2021   NOK   50.000
Steilmann SE          6.750   6/27/2017   EUR    2.184
Afren PLC             6.625   12/09/2020  USD    0.070
Steilmann SE          7.000   9/23/2018   EUR    1.429
Banque Cantonale Va  14.550  12/18/2020   USD   72.710
Societe Generale SA  17.000  10/22/2020   USD   23.900
Zurcher Kantonalban   5.750   07/03/2020  CHF   71.290
Finance and Credit    9.250   1/25/2019   USD    0.993
getgoods.de AG        7.750   10/02/2017  EUR    0.126
Credit Suisse AG/London      11/30/2020   USD   30.000
Banque Cantonale Va  11.700  12/18/2020   CHF   71.780
AKB Metallinvestban   6.400   09/04/2023  RUB   99.970
Leonteq Securities   21.000   2/24/2021   CHF   16.000
UniCredit Bank AG     3.000   7/20/2022   EUR   73.550
Air Berlin Finance    8.500   03/06/2019  EUR    1.689
Thomas Cook Finance   3.875   7/15/2023   EUR    3.360
Tendam Brands SAU     5.250   9/15/2024   EUR   69.184
IKB Deutsche Indust   0.712   5/25/2031   EUR   53.115
La Financiere Atali   6.625   5/15/2025   GBP   57.450
Deutsche Bank AG      1.725   1/16/2045   EUR   64.486
Nordea Bank Abp       9.700   1/20/2023   SEK   36.250
Citigroup Global Ma  13.200  12/18/2023   SEK   38.110
Societe Generale SA  14.500   10/01/2020  USD   21.750
UBS AG/London        10.000   09/04/2020  EUR   45.150
UniCredit Bank AG     6.600   7/20/2028   EUR   36.910
SAG Solarstrom AG     6.250  12/14/2015   EUR   31.000
Barclays Bank PLC     1.756   10/10/2029  USD   78.375
PA Resources AB      13.500   03/03/2016  SEK    0.124
Heta Asset Resoluti   0.341  12/31/2023   EUR    1.406
Nordea Bank Abp       8.250   1/20/2023   SEK   36.620
Golfino AG            8.000  11/18/2023   EUR    0.015
Caixa Economica Mon   5.000               EUR   50.000
Credit Suisse AG/Lo   7.550   12/07/2021  USD   69.100
UniCredit Bank AG     2.150   7/20/2022   EUR   71.920
Espirito Santo Fina   5.050  11/15/2025   EUR    1.119
Corner Banca SA       7.800   8/17/2020   CHF   59.240
Nordea Bank Abp       7.110   7/20/2023   SEK   63.620
Leonteq Securities    4.000   01/10/2022  EUR   74.388
SG Issuer SA          1.250  11/15/2027   EUR   64.550
Pongs & Zahn AG       8.500               EUR    0.002
Deutsche Bank AG/Lo  13.750   6/20/2026   TRY   69.353
Metalloinvest Holdi   0.010   03/07/2022  RUB   94.000
Novafives SAS         4.500   6/15/2025   EUR   69.920
Mriya Agro Holding    9.450   4/19/2018   USD    7.625
New World Resources   4.000   10/07/2020  EUR    1.217
Nordea Bank Abp       5.750  10/20/2020   SEK   60.500
WEB Windenergie AG    5.250   04/08/2023  EUR   55.010
Skandinaviska Enski   9.200   7/15/2024   SEK   31.300
GE Capital European   0.330  10/15/2032   EUR   72.839
LBI ehf               7.431               USD    0.001
Bibby Offshore Serv   7.500   6/15/2021   GBP   10.394
Groupe Ecore Holdin   6.250  11/15/2023   EUR   55.062
Minicentrales Dos S   0.010   06/06/2047  EUR   65.750
Skandinaviska Enski   5.250   7/15/2022   SEK   75.350
Societe Generale Ef   5.500  12/24/2021   EUR   62.060
Natixis SA            2.970   06/08/2021  USD   58.604
Leonteq Securities   12.400   2/24/2021   CHF   53.710
Credit Suisse AG/Lo   4.000   2/21/2025   EUR   73.240
Credit Suisse AG/London       1/31/2023   USD   44.000
DZ Bank AG Deutsche   0.910   6/25/2029   EUR   73.410
UBS AG/London        13.500  11/20/2020   CHF   68.650
DekaBank Deutsche G   6.000   06/02/2021  EUR   64.230
Raiffeisen Centroba   6.750   2/17/2022   EUR   69.610
Cooperativa Murator   6.000   2/15/2023   EUR    2.705
Barclays Bank PLC     2.412   4/16/2029   USD   78.375
Otkritie Holding JS  10.770   9/17/2027   RUB   14.120
Otkritie Holding JS  10.000   4/20/2028   RUB    4.030
A-TEC Industries AG   5.750   11/02/2010  EUR    0.141
Barclays Bank PLC     1.183   3/27/2029   USD   78.375
Kaupthing ehf         6.125   10/04/2016  USD    0.250
UniCredit Bank AG     7.850   03/03/2021  EUR   64.300
Credit Suisse AG/London       03/01/2021  USD   48.370
Vontobel Financial    4.750   6/29/2020   EUR   47.000
Skandinaviska Enski  10.950   1/15/2024   SEK   39.680
Skandinaviska Enski   6.000   7/15/2024   SEK   55.000
Credit Suisse AG/London       3/29/2021   USD   67.000
Skandinaviska Enski   7.450   1/15/2025   SEK   34.440
Opus-Chartered Issu   5.000   03/08/2027  USD   56.770
Zurcher Kantonalban   9.000   12/04/2020  USD   52.940
Raiffeisen Centroba   7.250   12/06/2021  EUR   49.000
Nordea Bank Abp       7.430   1/20/2025   SEK   55.750
SG Issuer SA          0.820   08/02/2021  SEK    4.470
ECM Real Estate Inv   5.000   10/09/2011  EUR   15.375
New World Resources   8.000   04/07/2020  EUR    0.447
Bayerische Landesba   1.550   2/13/2040   EUR   72.110
Lloyds Bank PLC       0.500   7/26/2028   MXN   55.332
Grupo Isolux Corsan   0.250  12/30/2018   EUR    0.303
Veneto Banca SpA      6.950   2/25/2025   EUR    0.100
UBS AG/London         8.250   8/24/2020   USD   42.350
Luzerner Kantonalba   6.000   09/04/2020  CHF   67.210
HSBC Trinkaus & Bur   9.600   6/26/2020   EUR   53.880
Zaklady Miesne Henr   6.420   3/29/2021   PLN
Leonteq Securities    5.880  11/27/2020   GBP   43.550
Bayerische Landesba   2.800   06/05/2020  EUR   56.430
Leonteq Securities    7.200   9/24/2021   CHF   65.830
Bank Julius Baer &   12.660   6/23/2021   CHF   74.000
DekaBank Deutsche G   5.150   06/05/2020  EUR   69.000
WEB Windenergie AG    4.500               EUR   55.010
BNP Paribas Issuanc   6.550   3/28/2025   EUR   38.000
Landesbank Baden-Wu   2.400   9/25/2020   EUR   57.450
ING Bank NV           5.050   10/07/2024  EUR   56.500
F-Brasile SpA / F-B   7.375   8/15/2026   USD   73.249
A-TEC Industries AG   8.750  10/27/2014   EUR    0.141
Citigroup Global Ma   1.240   2/18/2040   EUR   74.024
Rio Forte Investmen   4.000   7/22/2014   EUR    6.094
BNP Paribas Issuanc   6.800   06/01/2020  EUR   42.850
Leonteq Securities    8.600   07/05/2021  CHF   58.320
Danske Bank A/S       8.050   07/09/2023  SEK   35.980
Bank Julius Baer &    7.100   11/09/2020  EUR   70.900
Nordea Bank Abp       5.700   1/20/2021   SEK   73.500
BNP Paribas SA        5.900   1/19/2021   USD   64.600
Bayerische Landesba   3.250   5/13/2022   EUR   67.620
Pragma Faktoring SA   5.420   07/04/2023  PLN   76.000
Trinfiko Holdings Z  10.000   3/20/2024   RUB   63.010
Bilt Paper BV         9.640               USD    1.021
NTRP Via Interpipe   10.250   08/02/2017  USD   30.500
Virgolino de Olivei  10.875   1/13/2020   USD   26.625
Mriya Agro Holding   10.950   3/30/2016   USD    7.643
Northland Resources   4.000  10/15/2020   NOK    0.271
Societe Generale SA  26.460   03/09/2023  USD   45.678
Corner Banca SA       7.400   7/22/2020   CHF   46.490
Leonteq Securities    7.400   03/04/2021  CHF   43.700
EFG International F  10.750   7/15/2020   USD   54.050
Nordea Bank Abp       5.600   7/20/2023   SEK   52.000
Natixis SA            3.100   7/26/2021   USD   39.131
Zurcher Kantonalban  11.000   7/22/2021   CHF   55.900
Zurcher Kantonalban  11.750   09/10/2020  USD   52.170
Skandinaviska Enski   6.350   7/15/2024   SEK   43.440
BNP Paribas Emissio  10.000  12/24/2020   EUR   56.910
Societe Generale SA  10.000   06/02/2022  USD   45.009
Bayerische Landesba   2.300   5/13/2022   EUR   43.080
EFG International F   6.500   8/20/2021   CHF   59.400
EFG International F   6.100   07/11/2024  CHF   68.180
Royalbeach Spielwar   7.375   11/10/2020  EUR    3.890
O1 Properties Finan  13.000   10/02/2020  RUB   97.030
Bibby Offshore Serv   7.500   6/15/2021   GBP   10.394
Irish Bank Resoluti   4.000   4/23/2018   EUR   33.250
Lehman Brothers Tre   1.000   10/05/2035  EUR    3.400
Lehman Brothers Tre   0.344   11/02/2035  EUR    3.400
Landesbank Hessen-T   0.044   7/18/2031   EUR   69.651
Landesbank Baden-Wu   3.500   2/26/2021   EUR   69.020
Zurcher Kantonalban  12.000   2/25/2021   CHF   56.370
Skandinaviska Enski   9.600   1/15/2024   SEK   32.900
Leonteq Securities    6.400   09/01/2020  CHF   63.740
Nordea Bank Abp       7.440   1/20/2023   SEK   63.870
Vontobel Financial    4.400  12/18/2020   EUR   72.160
Leonteq Securities    4.890  11/26/2021   USD   45.650
Landesbank Baden-Wu   2.650  12/29/2020   EUR   62.630
WEB Windenergie AG    3.750   9/26/2026   EUR   55.010
Landesbank Hessen-T   6.250   7/15/2022   EUR   49.800
Skandinaviska Enski   7.520   7/15/2024   SEK   46.430
Credit Suisse AG/Lo   4.200   9/25/2020   EUR   64.260
Bulgaria Steel Fina  12.000   05/04/2013  EUR    0.216
Kreditanstalt fuer    0.250   10/06/2036  CAD   46.897
Banca Popolare di V   9.500   10/02/2025  EUR    0.093
Natixis SA            3.150   06/08/2021  USD   27.516
Bank Julius Baer &    6.200   9/28/2020   USD   44.050
UBS AG/London         7.750   07/05/2021  EUR   72.000
mybet Holding SE      6.250   12/12/2020  EUR    0.700
Landesbank Hessen-T   5.250   5/15/2025   EUR   60.970
UniCredit Bank AG     4.250   6/25/2020   EUR   50.730
Credit Suisse AG/Lo  10.250   05/03/2021  CHF   59.890
EFG International F   7.000  10/25/2021   EUR   65.640
Zurcher Kantonalban   5.250  12/30/2021   CHF   74.140
Credit Suisse AG/Lo  12.120   2/28/2022   EUR   59.760
EFG International F   6.300  12/17/2020   EUR   65.710
Vontobel Financial    5.500  12/28/2020   EUR   69.730
Zurcher Kantonalban  14.000   6/17/2020   EUR   60.720
Nordea Bank Abp       7.050   7/20/2024   SEK   54.250
EFG International F   9.150  10/29/2020   USD   75.220
WEB Windenergie AG    6.500               EUR   55.010
Landesbank Hessen-T   5.600   9/27/2024   EUR   65.810
Nordea Bank Abp       6.100   7/20/2024   SEK   64.250
Leonteq Securities   10.000   12/11/2020  CHF   73.730
Irish Bank Resoluti   6.750  11/30/2013   BGN   33.250
Mriya Agro Holding    9.450   4/19/2018   USD    7.625
Espirito Santo Fina   5.125   5/30/2016   EUR    1.486
Tonon Luxembourg SA   9.250   1/24/2020   USD    1.008
SAir Group            6.250  10/27/2002   CHF    8.375
Aralco Finance SA    10.125   05/07/2020  USD    0.934
Cooperativa Murator   6.875   08/01/2022  EUR    2.760
Barclays Bank PLC     0.500   1/28/2033   MXN   38.370
Erste Group Bank AG   6.250   9/28/2023   EUR   61.450
EFG International F   5.550   07/12/2021  USD    4.170
Deutsche Bank AG/Lo   2.200   4/14/2023   EUR   57.250
Nordea Bank Abp       6.060   7/20/2023   SEK   62.750
SG Issuer SA         10.580  12/27/2022   EUR   74.260
Corner Banca SA       7.600   02/02/2021  CHF   52.070
Credit Suisse AG/Lo  10.000   5/14/2021   EUR   51.440
Citigroup Global Ma   6.010  10/23/2024   RUB   34.380
UniCredit Bank AG     6.600   7/23/2021   EUR   66.700
Leonteq Securities   14.000   8/17/2020   EUR   65.910
UBS AG/London        12.750   9/27/2021   CHF   63.000
ING Bank NV           6.500  12/30/2020   EUR   72.370
Credit Suisse AG/Lo   7.000   5/31/2021   CHF   60.270
State of Saxony-Anh   0.134   07/03/2028  EUR   45.000
UniCredit Bank AG     4.500  11/18/2020   EUR   24.850
Pescanova SA          8.750   2/17/2019   EUR    0.319
A-TEC Industries AG   2.750   05/10/2014  EUR    0.141
Vontobel Financial   16.000   6/25/2021   EUR   74.830
Raiffeisen Schweiz    4.100   06/08/2022  CHF   57.250
Societe Generale SA   8.000   1/14/2021   USD   42.080
Corner Banca SA       8.600   6/16/2020   CHF   35.820
Zurcher Kantonalban  13.550   07/03/2020  EUR   67.820
Credit Suisse AG/Lo  12.000   7/24/2020   USD   34.390
Danske Bank A/S       5.000   01/09/2025  SEK   68.200
UBS AG/London         6.250   7/13/2020   CHF   17.360
Landesbank Baden-Wu  13.120   2/26/2021   EUR   70.600
Leonteq Securities   10.250   02/04/2021  USD   56.750
Nordea Bank Abp       2.690   7/20/2023   SEK   13.000
Araratbank OJSC       5.250   09/11/2022  USD   25.248
Societe Generale SA  14.500   09/03/2020  USD   22.444
Bayerische Landesba   2.250   7/23/2021   EUR   53.720
Citigroup Global Ma  12.379  11/13/2023   SEK   35.810
City of Predeal Rom   3.500   5/15/2026   RON   60.000
EFG International F   5.350   11/07/2022  USD   57.170
Bank Spoldzielczy w   3.690   5/15/2025   PLN   75.000
WEB Windenergie AG    5.500   04/08/2023  EUR   55.010
Corner Banca SA      16.400   03/02/2021  CHF   13.330
Russian Railways JS   3.500   10/11/2038  RUB   90.000
Norske Skogindustri   7.000  12/30/2026   EUR    0.135
Norske Skog Holding   8.000   2/24/2021   EUR    0.023
Samaratransneft-Ter  17.000   6/20/2021   RUB   13.960
Agrokor dd            8.875   02/01/2020  USD   10.838
Rena GmbH             7.000  12/15/2015   EUR    2.096
Stichting Afwikkeli   8.450   8/20/2018   USD    1.426
Stichting Afwikkeli   2.504               EUR    1.210
Nordea Bank Abp       6.440   1/22/2024   SEK   57.120
HSBC Trinkaus & Bur   4.500   6/26/2020   EUR   70.100
Zurcher Kantonalban   7.500   06/10/2020  CHF   52.330
Credit Suisse AG/Lo   8.000   12/02/2020  USD    8.707
Landesbank Baden-Wu   2.800   2/26/2021   EUR   74.310
Deutsche Bank AG      8.200  12/22/2020   EUR   41.600
Landesbank Baden-Wu   3.540   7/24/2020   EUR   56.940
SG Issuer SA          3.150   07/10/2020  EUR   66.790
SG Issuer SA          5.000   5/23/2024   EUR   54.940
Danske Bank A/S      10.380   07/10/2023  EUR   44.060
Raiffeisen Centroba   8.250   11/10/2020  EUR   47.540
Bayerische Landesba   2.500   8/21/2020   EUR   47.140
BNP Paribas Emissio   8.000   9/24/2020   EUR   68.160
Landesbank Baden-Wu   2.000   3/26/2021   EUR   58.500
EFG International F   7.100   8/14/2020   EUR   51.170
Raiffeisen Centroba   7.500   4/30/2021   EUR   58.940
Bank Julius Baer &    4.080   08/07/2020  EUR   64.500
Landesbank Baden-Wu  13.660   5/31/2021   EUR   64.090
EFG International F  12.000  11/29/2024   USD   57.190
Banque Cantonale Va   6.100  11/20/2020   CHF   46.530
Nordea Bank Abp       3.792   1/20/2021   EUR   43.620
Nordea Bank Abp       5.000   1/20/2025   SEK   74.870
Raiffeisen Schweiz    7.600  11/15/2021   EUR   66.140
Zurcher Kantonalban   9.500   7/22/2021   EUR   49.780
Zurcher Kantonalban   7.750   6/18/2021   EUR   58.420
EFG International F   7.800   8/17/2020   CHF   36.860
Credit Suisse AG/Lo   9.100   09/10/2020  USD   65.390
EFG International F  12.530   3/18/2021   CHF   56.680
Danske Bank A/S       6.000   07/09/2025  SEK   74.490
EFG International F   9.500   10/11/2022  USD   70.770
Bank Julius Baer &   10.000   6/21/2021   EUR   54.600
Nordea Bank Abp       5.400   1/20/2025   SEK   66.750
EFG International F  19.200   6/18/2021   CHF   71.070
Zurcher Kantonalban  10.875   5/27/2021   EUR   45.080
Landesbank Hessen-T   4.200   9/21/2020   EUR   66.700
UBS AG/London         7.750   5/24/2021   EUR   52.850
UBS AG/London        11.750   06/01/2021  USD   53.430
Zurcher Kantonalban   5.500  10/16/2020   EUR   68.510
Societe Generale SA  22.000   11/03/2022  USD   28.625
HSBC Bank PLC         0.500   6/23/2027   MXN   61.983
Northland Resources  15.000   7/15/2019   USD    2.621
Kaupthing ehf         3.750   2/15/2024   ISK    0.250
SAG Solarstrom AG     7.500   07/10/2017  EUR   31.000
Jaguar Land Rover A   4.500   10/01/2027  USD   68.657
AKB Peresvet ZAO      0.510   2/14/2032   RUB   11.040
Heta Asset Resoluti   0.050  12/31/2023   EUR    1.406
House of Fraser Fun   5.978   9/15/2020   GBP    3.433
Windreich GmbH        6.500   03/01/2015  EUR    7.738
Windreich GmbH        6.750   03/01/2015  EUR    7.738
Lehman Brothers Tre  11.000   6/29/2009   EUR    2.571
La Veggia Finance S   7.125  11/14/2004   EUR    0.287
Agrokor dd            9.125   02/01/2020  EUR   10.179
Skandinaviska Enski   9.020   7/17/2023   SEK   41.760
Skandinaviska Enski  10.360   7/17/2023   SEK   54.310
UniCredit Bank AG     4.250  11/21/2021   EUR   38.620
Macquarie Internati  11.550   8/28/2023   ZAR   11.816
Raiffeisen Centroba   6.000   09/09/2021  EUR   72.130
Deutsche Bank AG      3.200   6/23/2020   EUR   70.790
Raiffeisen Centroba   4.150   04/05/2022  EUR   66.060
UniCredit Bank AG     9.800  12/29/2020   EUR   33.950
Raiffeisen Schweiz    5.750  11/23/2020   EUR   58.680
Corner Banca SA       7.200   4/20/2021   CHF   54.300
UBS AG/London         7.500   9/21/2020   USD   51.520
Natixis SA            2.750   03/01/2021  USD   48.916
DekaBank Deutsche G   3.000   4/24/2024   EUR   63.510
Raiffeisen Schweiz    6.900   09/10/2020  EUR   63.770
UBS AG/London         5.500   2/22/2021   CHF   59.750
Leonteq Securities    5.630  11/27/2020   GBP   71.900
EFG International F  10.850  11/29/2024   USD   53.430
Danske Bank A/S       9.430   07/09/2024  SEK   22.000
SG Issuer SA          2.200   01/10/2025  EUR   58.240
Vontobel Financial    6.000   2/26/2021   EUR   74.050
Leonteq Securities   18.000   1/28/2021   CHF   63.190
Bank Julius Baer &   11.000   7/31/2020   CHF   74.150
Raiffeisen Switzerl   4.800   6/14/2021   EUR   53.990
Raiffeisen Switzerl   5.900  10/28/2020   CHF   53.110
Landesbank Hessen-T   4.000   4/13/2021   EUR   59.220
Zurcher Kantonalban   5.750  10/18/2022   CHF   68.640
Vontobel Financial    5.850   09/11/2020  EUR   73.140
Credit Suisse AG/Lo   6.250   5/28/2021   USD   73.250
Nordea Bank Abp       2.492   1/20/2021   EUR   68.000
Societe Generale Ef   4.250   6/26/2020   EUR   72.880
UniCredit Bank AG     3.600   6/18/2020   EUR   39.980
Credit Suisse AG/Lo   5.100   2/26/2021   CHF   72.640
Landesbank Hessen-T   5.100   10/04/2024  EUR   51.920
Landesbank Hessen-T   6.450   06/03/2024  EUR   60.060
Bayerische Landesba   2.800   5/14/2021   EUR   56.670
Landesbank Hessen-T   6.500   5/21/2025   EUR   63.900
Danske Bank A/S       5.600   07/09/2025  SEK   72.940
Astana Finance BV     9.000  11/16/2011   USD   15.250
Astana Finance BV     7.875   06/08/2010  EUR   16.000
Hellas Telecommunic   6.054   1/15/2015   USD    0.018
Heta Asset Resoluti   0.570  12/31/2023   EUR    1.406
Bank Otkritie Finan   0.010   7/16/2025   RUB   69.020
BLT Finance BV       12.000   02/10/2015  USD   10.500
Hellas Telecommunic   8.500  10/15/2013   EUR    0.497
Northland Resources  12.250   3/26/2016   USD    2.621
PSN Pm OOO            9.500   09/10/2026  RUB   21.625
Northland Resources   4.000  10/15/2020   USD    0.271
Heta Asset Resoluti   4.350  12/31/2023   EUR    1.500
Norske Skogindustri   7.125  10/15/2033   USD    0.135
Elli Investments Lt  12.250   6/15/2020   GBP   51.505
Norddeutsche Landes   4.000   6/28/2038   EUR   61.852
Lehman Brothers Tre   5.103   6/22/2046   EUR    2.571
UBS AG/London         8.000   06/08/2020  CHF   56.500
Deutsche Bank AG      4.200   6/23/2020   EUR   45.300
HSBC Trinkaus & Bur   7.300   9/25/2020   EUR   54.510
Nordea Bank Abp       6.450   1/22/2024   SEK   69.870
Landesbank Hessen-T   6.000   9/21/2023   EUR   41.700
Landesbank Baden-Wu   3.750   1/22/2021   EUR   68.260
DZ Bank AG Deutsche   5.000  11/27/2020   EUR   66.990
EFG International F  10.000   08/07/2020  EUR   54.690
Bayerische Landesba   3.350   08/07/2020  EUR   49.960
Societe Generale SA  10.080   3/16/2022   USD   43.950
Societe Generale Ef  18.288  12/28/2020   EUR   63.850
Skandinaviska Enski  10.300   7/17/2023   SEK   35.130
Skandinaviska Enski  10.400   1/15/2024   SEK   38.420
DekaBank Deutsche G   4.810   6/30/2020   EUR   33.700
Danske Bank A/S       6.860   07/09/2022  SEK   63.910
Leonteq Securities    8.000   7/29/2020   EUR   34.040
Skandinaviska Enski   7.600   1/15/2024   SEK   55.280
Bank Julius Baer &   16.250   05/04/2021  CHF   65.200
Banque Cantonale Va   5.200   08/04/2021  CHF   70.980
Skandinaviska Enski   4.500   7/17/2023   SEK   42.310
Credit Suisse AG/Lo   8.500   2/22/2021   USD   68.900
Zurcher Kantonalban   6.000   11/12/2020  EUR   72.830
Credit Suisse AG/Lo  10.500  11/13/2020   USD   53.280
Skandinaviska Enski   4.350   1/15/2025   SEK   43.660
UBS AG/London         6.200   3/25/2021   EUR   62.650
Landesbank Hessen-T   3.100   11/09/2020  EUR   52.200
UniCredit Bank AG     4.300   06/04/2020  EUR   55.790
Raiffeisen Schweiz    6.000   8/17/2020   CHF   35.940
UniCredit Bank AG     3.750   09/07/2020  EUR   29.300
Bank Julius Baer &    8.950  10/19/2020   USD   35.050
DZ Bank AG Deutsche   6.400   6/26/2020   EUR   72.630
Landesbank Baden-Wu   5.750  11/26/2021   EUR   52.360
Credit Suisse AG/Lo   9.500   7/20/2020   USD   53.460
Landesbank Hessen-T   5.600   6/21/2021   EUR   64.700
BNP Paribas Issuanc   4.992   10/05/2020  CHF   61.700
Landesbank Hessen-T   4.550   11/04/2020  EUR   60.500
Erste Group Bank AG   5.600   9/29/2020   EUR   65.460
DekaBank Deutsche G   2.380   08/11/2020  EUR   60.800
EFG International F  12.870  12/23/2024   USD   62.150
EFG International F   9.700   9/26/2022   CHF   53.900
Corner Banca SA       6.000   4/25/2022   CHF   71.320
Danske Bank A/S       6.310   07/09/2025  SEK   73.820
EFG International F  13.600   2/23/2021   CHF   63.590
Gazprombank JSC       0.010  11/24/2022   RUB   75.020
BNP Paribas Emissio   6.500  12/24/2020   EUR   49.190
Raiffeisen Switzerl   3.590   7/22/2020   EUR   60.760
Skandinaviska Enski   3.000   1/17/2022   SEK   32.700
Kaupthing ehf         3.750   02/01/2045  USD    0.232
Rio Forte Investmen   3.900   07/10/2014  USD    6.125
SAir Group            4.250   02/02/2007  CHF    8.375
AKB Peresvet ZAO      0.510   6/23/2021   RUB   13.140
Rio Forte Investmen   4.750   11/10/2015  EUR    6.125
Espirito Santo Fina   5.050  11/15/2025   EUR    1.119
Barclays Bank PLC     2.000   06/12/2029  TRY   41.894
UBS AG/London         5.750   8/14/2020   CHF   48.300
EFG International F   6.200   8/16/2021   CHF   55.580
Leonteq Securities    6.400   11/03/2020  EUR   41.920
EFG International F  10.400   06/09/2020  USD   61.960
Natixis SA            2.100   06/08/2021  EUR   27.929
Skandinaviska Enski   7.800   7/17/2023   SEK   49.150
Natixis SA            2.075   6/22/2020   EUR   65.408
Raiffeisen Centroba   5.000   08/09/2021  EUR   56.530
EFG International F   6.000   08/03/2020  USD   28.140
EFG International F  11.400   6/28/2021   USD   52.670
EFG International F  10.000   2/22/2024   USD   64.960
UBS AG/London         9.000   8/27/2020   USD   40.050
Societe Generale SA   7.220   5/30/2023   USD   74.550
Leonteq Securities    7.400   11/09/2020  EUR   56.960
EFG International F  13.500   7/19/2021   USD   68.040
Credit Suisse AG/Lo   4.000   6/22/2020   EUR   63.290
Leonteq Securities    7.200  10/27/2021   CHF   51.210
Landesbank Hessen-T   4.000  11/24/2021   EUR   63.510
Societe Generale SA   9.250   9/30/2020   USD   42.500
HSBC Trinkaus & Bur   5.030   12/04/2020  EUR   56.730
Credit Suisse AG/Lo   6.000   1/31/2022   CHF   71.540
EFG International F  11.500   08/02/2021  USD   69.750
Raiffeisen Schweiz   11.500   2/18/2021   CHF   34.400
UBS AG/London         7.000   2/21/2022   EUR   64.100
UBS AG/London         9.250   8/20/2021   USD   66.650
Societe Generale Ef  10.000   2/19/2021   EUR   69.330
Zurcher Kantonalban   7.640   08/06/2020  CHF   46.320
Credit Suisse AG/Lo   2.800  11/17/2020   USD   55.700
EFG International F  13.150  12/17/2020   USD   41.460
Raiffeisen Switzerl  15.120   07/08/2020  USD   49.320
SG Issuer SA          1.750   2/22/2021   EUR   70.000
BNP Paribas Emissio   3.000   6/25/2020   EUR   64.690
EFG International F   4.700   2/21/2023   USD   59.550
Raiffeisen Centroba   5.500   02/08/2021  EUR   61.930
Deutsche Bank AG      8.200   9/22/2020   EUR   43.800
UBS AG/London         7.750   06/08/2020  CHF   55.050
Leonteq Securities   10.600   12/08/2020  EUR   33.870
UBS AG/London         9.000   11/04/2020  USD   48.600
Getin Noble Bank SA   5.710   4/29/2024   PLN   72.000
UBS AG/London         5.250   07/11/2022  CHF   66.050
Deutsche Bank AG/Lo   0.910  11/21/2022   EUR   60.140
Leonteq Securities   10.200   06/03/2020  USD   61.590
UBS AG/London         6.000   11/09/2020  CHF   58.650
Leonteq Securities    8.200   09/01/2020  CHF   40.360
Raiffeisen Schweiz    5.500   09/07/2020  CHF   73.260
Investec Bank PLC     6.650   6/20/2026   SEK   67.570
EFG International F   0.600   07/12/2022  EUR   60.310
Danske Bank A/S       6.010   07/09/2023  SEK   53.350
Corner Banca SA      10.000   10/05/2020  CHF   49.260
UBS AG/London         6.000   8/13/2020   CHF   50.700
EFG International F   9.800   9/21/2021   EUR   32.330
Leonteq Securities    7.400   9/28/2021   CHF   53.950
UniCredit Bank AG     4.100   8/24/2022   EUR   60.110
UBS AG/London         9.000   07/06/2020  USD   64.680
EFG International F  10.500   02/07/2022  EUR   48.780
EFG International F   8.700   9/28/2020   EUR   62.790
Landesbank Hessen-T   5.700   06/02/2023  EUR   55.470
Luzerner Kantonalba  13.200   8/14/2020   CHF   65.400
UBS AG/London         7.500   08/07/2020  EUR   51.650
Leonteq Securities    7.000   8/19/2020   EUR   49.810
Leonteq Securities    3.000   1/31/2022   EUR   67.070
Raiffeisen Switzerl   9.000   02/11/2021  USD   62.160
UniCredit Bank AG     6.600   04/06/2021  USD   59.770
Skandinaviska Enski   9.500   1/17/2023   SEK   37.840
EFG International F   5.350  12/27/2022   USD   56.530
EFG International F  12.750   1/31/2022   USD   53.140
EFG International F  11.500   08/02/2021  USD   70.770
Credit Suisse AG/Lo   6.000   7/15/2020   CHF   72.280
Credit Suisse AG/Lo   6.000   6/24/2022   CHF   64.640
UBS AG/London         7.000  10/26/2020   CHF   61.550
Credit Suisse AG/Lo  10.750  12/21/2020   CHF   54.690
Credit Suisse AG/Lo   7.750   8/30/2021   CHF   71.880
EFG International F  12.000  10/19/2021   USD   42.800
UBS AG/London         7.500  10/19/2020   EUR   68.250
Landesbank Baden-Wu   4.000   8/28/2020   EUR   36.660
EFG International F   4.700   2/24/2023   USD   58.010
Leonteq Securities    2.910   1/20/2021   EUR   69.520
Danske Bank A/S       6.860   07/09/2022  SEK    7.030
Zurcher Kantonalban   9.200   11/06/2020  CHF   69.250
Zurcher Kantonalban   6.000   2/25/2021   CHF   64.030
UBS AG/London        11.500   03/11/2021  EUR   71.450
EFG International F   0.600   08/08/2022  EUR   61.990
Credit Suisse AG/Lo   8.000   03/03/2022  USD   54.430
EFG International F   5.350  11/15/2022   USD   53.940
Leonteq Securities   20.000   2/18/2021   CHF   48.680
WEB Windenergie AG    6.250               EUR   55.010
EFG International F   0.600   6/28/2022   EUR   61.870
EFG International F  13.000   6/14/2021   USD   57.230
UBS AG/London        10.500   6/15/2020   CHF   62.250
Raiffeisen Centroba   5.750   7/19/2021   EUR   56.750
Raiffeisen Schweiz    7.440   6/24/2020   CHF   43.390
EFG International F   5.350   1/24/2023   USD   58.410
Landesbank Hessen-T   3.750   10/06/2020  EUR   66.200
EFG International F   9.200   8/27/2020   USD   51.430
Vontobel Financial    6.000  12/28/2020   EUR   57.070
Credit Suisse AG/Lo  10.000  10/19/2020   EUR   51.230
EFG International F  12.800   02/08/2021  USD   71.990
Raiffeisen Centroba   6.250  12/13/2021   EUR   64.930
Gold-Zack AG          7.000  12/14/2005   EUR    9.030
Zurcher Kantonalban  12.000   9/18/2020   USD   51.820
BNP Paribas Emissio  11.000   6/25/2020   EUR   68.730
EFG International F   5.350  10/31/2022   USD   56.680
EFG International F   5.350  12/19/2022   USD   58.150
EFG International F   8.700  12/17/2020   USD   67.730
Barclays Bank PLC     2.730   9/27/2024   EUR   54.300
EFG International F   5.500  12/14/2020   CHF   56.720
Bank Julius Baer &   13.510   8/17/2020   USD   34.200
Credit Suisse AG/Lo   7.500  12/14/2020   CHF   66.810
EFG International F  20.300   10/08/2021  USD   72.080
Raiffeisen Switzerl   8.400   8/20/2020   USD   57.290
Societe Generale Ef   9.250   9/25/2020   EUR   68.920
EFG International F   0.600   09/06/2022  EUR   46.340
UBS AG/London        10.250   06/05/2020  USD   55.840
UBS AG/London        10.000   5/20/2021   USD   70.620
EFG International F  10.000   12/06/2021  USD   67.460
EFG International F   5.350   12/06/2022  USD   57.150
EFG International F   6.750  10/29/2020   EUR   70.130
EFG International F   5.350  10/24/2022   USD   50.620
WEB Windenergie AG    2.500   9/26/2021   EUR   55.010
EFG International F   5.350  12/19/2022   USD   57.350
WEB Windenergie AG    2.750  12/17/2020   EUR   55.010
EFG International F   5.350  11/29/2022   USD   55.680
Getin Noble Bank SA   4.440  12/21/2020   PLN   60.000
UBS AG/London        12.500  11/30/2020   CHF   58.350
Leonteq Securities   10.400   7/29/2020   EUR   59.880
DekaBank Deutsche G   0.010   6/29/2046   EUR   71.530
SALVATOR Vermoegens   9.500               EUR   13.500
EFG International F   5.350   12/02/2022  USD   56.500
EFG International F   0.600   8/29/2022   EUR   66.590
Otkritie Holding JS   8.030   10/03/2036  RUB    0.200
Metalloinvest Holdi   0.010   03/10/2022  RUB   61.000
Bayerische Landesba   2.700   5/14/2021   EUR   50.850
BNP Paribas Emissio   6.000   6/25/2020   EUR   66.050
Banque Cantonale Va  11.160   01/04/2021  CHF   65.680
Citigroup Global Ma   9.500   9/30/2020   EUR   62.640
Bayerische Landesba   2.700   7/22/2022   EUR   35.590
SG Issuer SA          7.013   11/02/2020  EUR   65.600
Bank Julius Baer &    8.150   08/06/2020  CHF   65.300
Landesbank Baden-Wu   2.560   7/24/2020   EUR   69.590
UBS AG/London        13.500   7/15/2021   CHF   73.650
DekaBank Deutsche G   8.050   1/15/2021   EUR   71.460
EFG International F   0.600   9/20/2022   EUR   45.360
DZ Bank AG Deutsche   1.600   6/24/2026   EUR   72.020
UBS AG/London        13.500   4/26/2021   USD   41.840
Landesbank Baden-Wu   3.250   7/28/2023   EUR   60.410
Tonon Luxembourg SA  12.500   5/14/2024   USD    0.445
Lehman Brothers Tre  11.000  12/20/2017   AUD    2.571
BNP Paribas SA        1.000   1/23/2040   MXN   29.990
Lehman Brothers Tre   4.600   10/11/2017  ILS    3.750
Lehman Brothers Tre   2.875   3/14/2013   CHF    3.750
SpareBank 1 SR-Bank   1.383  12/21/2030   EUR   70.199
SAir Group            6.250   04/12/2005  CHF    8.375
Bank Otkritie Finan  10.000   4/26/2019   USD    9.505
Lehman Brothers Tre   0.500  12/20/2017   AUD    2.571
Northland Resources  15.000   7/15/2019   USD    2.621
Lehman Brothers Tre   4.050   9/16/2008   EUR    2.571
Lehman Brothers Tre  13.432   01/08/2009  ILS    2.571
Credito Padano Banc   3.100               EUR   36.529
Credito Padano Banc   3.100               EUR   36.278
Grupo Isolux Corsan   1.000  12/30/2021   USD    0.303
Pescanova SA          6.750   03/05/2015  EUR    0.319
Kaupthing ehf         6.125   10/04/2016  USD    0.250
Ideal Standard Inte  11.750   05/01/2018  EUR    0.051
DekaBank Deutsche G   1.780   02/05/2021  EUR   68.760
Societe Generale SA   4.000   6/29/2028   USD
Raiffeisen Switzerl  10.500   07/11/2024  USD    5.970
Societe Generale SA   6.640   03/02/2021  USD   72.550
Landesbank Hessen-T   2.600   7/29/2020   EUR   58.900
Societe Generale SA  14.720   6/25/2021   USD   48.600
Credit Suisse AG/Lo  10.000   7/29/2020   USD
Societe Generale SA  17.000   03/02/2023  USD   33.050
Citigroup Global Ma   3.180   08/08/2022  USD   68.460
Landesbank Baden-Wu   3.000   3/26/2021   EUR   59.650
Societe Generale SA  19.000   9/17/2020   USD   24.200
UBS AG/London         1.750   1/23/2023   USD    6.105
Societe Generale SA   6.000  11/30/2032   USD   61.420
Raiffeisen Switzerl   7.000   07/08/2020  USD   32.940
EFG International F  16.400   7/15/2020   USD   11.170
Societe Generale Ef   5.500   6/26/2020   EUR   57.810
Societe Generale SA  11.732   07/12/2024  USD   73.500
Investec Bank PLC     6.700  12/20/2025   SEK   74.380
Landesbank Hessen-T   5.500   5/25/2023   EUR   25.120
Barclays Bank PLC     3.500   8/17/2020   USD   42.750
Societe Generale SA   7.750   02/01/2021  USD   69.750
Societe Generale SA  10.000   03/02/2023  USD   41.750
Raiffeisen Switzerl   6.400   11/11/2020  EUR   58.380
Raiffeisen Switzerl   6.200   11/11/2020  CHF   58.440
Raiffeisen Schweiz    8.200  10/22/2020   USD   36.170
Raiffeisen Schweiz    8.000   9/22/2020   CHF   43.640
Societe Generale SA   9.250   3/30/2022   USD   69.000
EFG International F   9.850   7/30/2020   CHF   60.480
Credit Suisse AG/Lo   6.000   8/24/2022   CHF   62.520
Raiffeisen Schweiz   12.840   2/15/2021   CHF   64.610
Landesbank Baden-Wu   4.350   7/14/2020   EUR   66.220
Credit Suisse AG/Lo  10.000   06/03/2021  USD   73.500
Credit Suisse AG/Lo  20.000  11/29/2024   USD    6.100
Credit Suisse AG/Lo  10.500   10/02/2020  USD   48.310
Societe Generale Ef   7.000   02/01/2021  EUR   53.160
Spoldzielczy Bank R   5.290   7/16/2025   PLN   60.000
Societe Generale SA   7.000   10/02/2029  USD   74.437
Credit Suisse AG/Lo  11.250   12/03/2020  USD   71.683
BNP Paribas Issuanc   4.992   10/05/2020  EUR   61.700
Societe Generale SA  10.000  12/30/2022   USD
Societe Generale SA  10.000  12/30/2022   USD
EFG International F  10.260  12/19/2024   CHF   42.490
SG Issuer SA          5.500   04/10/2021  EUR   56.640
Credit Suisse AG/Lo  10.750  11/29/2021   USD   38.426
Credit Suisse AG/Lo  10.000  12/31/2020   USD   68.000
Landesbank Hessen-T   3.500   5/24/2023   EUR   61.590
Landesbank Baden-Wu  10.670   6/26/2020   EUR   57.330
Barclays Bank PLC     2.000   5/28/2021   USD   10.030
Raiffeisen Schweiz    8.400  11/24/2020   CHF   41.560
Societe Generale SA  11.000   9/23/2021   USD   73.150
Credit Suisse AG/Lo   8.750   09/02/2020  GBP   60.380
Citigroup Global Ma   4.875   8/22/2022   USD   30.620
Societe Generale SA   9.440   05/06/2022  USD
WEB Windenergie AG    6.500               EUR   55.010
SG Issuer SA          6.650   10/10/2021  EUR   37.770
EFG International F   5.600   07/11/2024  EUR    6.510
Lehman Brothers Tre   6.300  12/21/2018   USD    2.571
SAir Group            2.125   11/04/2004  CHF    8.375
AKB Peresvet ZAO     13.000   10/07/2017  RUB   13.375
Windreich GmbH        6.250   03/01/2015  EUR    7.738
SAir Group            5.500   7/23/2003   CHF    8.375
Bank Otkritie Finan   0.010   9/24/2025   RUB   67.560
Lehman Brothers Tre  10.000  10/22/2008   USD    2.571
Kaupthing ehf         3.063   05/10/2045  ISK    0.250
Minicentrales Dos S   0.010   06/06/2047  EUR   65.750
Kaupthing ehf         4.390  10/14/2008   CZK    0.250
BNP Paribas SA        1.147               USD   66.755
Russian Railways JS  10.300   04/03/2026  RUB   90.000
Leonteq Securities    3.500   03/08/2023  CHF   57.080
Leonteq Securities    7.500   03/11/2021  CHF   64.090
BNP Paribas Issuanc   4.800   06/01/2020  EUR   53.950
Raiffeisen Centroba   6.000   7/21/2020   EUR   46.090
Landesbank Baden-Wu   5.810   3/26/2021   EUR   61.050
Citigroup Global Ma   8.050   1/24/2023   EUR   50.150
EFG International F  10.000   2/25/2021   USD   65.750
Bank Julius Baer &    8.750   7/20/2020   USD   45.950
DekaBank Deutsche G   4.800   03/09/2021  EUR   68.090
UBS AG/London         2.000   3/25/2021   EUR   65.080
UBS AG/London        12.000   6/19/2020   USD   31.170
Landesbank Hessen-T   3.000   09/09/2020  EUR   51.400
Luzerner Kantonalba   4.800   1/18/2021   CHF   50.080
Landesbank Baden-Wu   2.400  10/23/2020   EUR   56.180
Banque Cantonale Va   6.720   8/17/2020   CHF   58.120
Leonteq Securities    2.650   1/31/2022   CHF   65.790
Zurcher Kantonalban  14.750   02/04/2021  USD   68.340
Leonteq Securities    8.800  12/23/2021   CHF   68.510
Credit Suisse AG/Lo   7.250   4/27/2021   EUR   47.150
UBS AG/London        10.250   05/10/2021  USD   74.460
Sberbank of Russia    7.550   07/12/2021  RUB   72.600
Credit Suisse AG/Lo   9.000  11/20/2020   USD   64.390
Credit Suisse AG/Lo   6.250   3/26/2021   EUR   61.980
Leonteq Securities   10.000   12/09/2020  CHF   68.470
Bank Julius Baer &    7.000  12/18/2020   CHF   70.050
Raiffeisen Schweiz   10.000   12/10/2020  CHF   35.340
Raiffeisen Schweiz    6.500   10/04/2021  EUR   67.940
Vontobel Financial   10.000  11/22/2021   EUR   70.780
Zurcher Kantonalban  10.000  10/29/2020   EUR   49.810
Russian Railways JS   4.100   5/29/2035   RUB   90.000
Sberbank of Russia    7.550   07/12/2021  RUB   70.020
Bank Julius Baer &   10.100   12/01/2020  EUR   63.750
Landesbank Hessen-T   5.250   06/03/2024  EUR   46.740
Credit Suisse AG/Lo   9.000   9/13/2020   USD   71.000
EFG International F   8.200   8/20/2021   CHF   58.720
Raiffeisen Schweiz    6.600   11/02/2020  EUR   66.330
Vontobel Financial    9.100   2/21/2022   EUR   70.700
Lehman Brothers Tre   4.100   06/10/2014  SGD    3.750
Lehman Brothers Tre  11.000   07/04/2011  CHF    2.571
Kaupthing ehf         1.744               ISK    0.250
AKB Peresvet ZAO      0.510   08/04/2034  RUB   17.520
Kaupthing ehf         5.750   10/04/2011  USD    0.250
EFG International F   6.400   03/08/2021  EUR   43.590
Citigroup Global Ma  13.600   1/25/2023   SEK   70.170
Leonteq Securities    5.200   09/02/2020  EUR   43.960
Landesbank Baden-Wu   2.600   4/28/2023   EUR   59.330
Landesbank Hessen-T   5.050   6/29/2023   EUR   70.660
Raiffeisen Schweiz    5.750   09/02/2020  CHF   44.210
Landesbank Baden-Wu   2.700  10/23/2020   EUR   72.870
Landesbank Baden-Wu   3.300  10/23/2020   EUR   62.610
DekaBank Deutsche G   3.500   3/14/2022   EUR   56.540
DekaBank Deutsche G   3.150   03/05/2021  EUR   36.550
UBS AG/London         7.000   8/28/2020   CHF   66.550
UBS AG/London         7.000   8/28/2020   CHF   72.450
UBS AG/London         7.500   8/28/2020   EUR   66.650
Bayerische Landesba   2.000   12/11/2020  EUR   58.120
Bayerische Landesba   3.400   7/16/2021   EUR   58.600
Leonteq Securities    7.000   03/09/2022  CHF   71.910
Raiffeisen Schweiz    5.750   09/09/2020  CHF   46.830
DekaBank Deutsche G   2.750   3/26/2021   EUR   65.810
DekaBank Deutsche G   2.500   3/26/2021   EUR   60.270
DekaBank Deutsche G   2.900   3/26/2021   EUR   68.130
Landesbank Baden-Wu   2.300   3/25/2022   EUR   68.890
Landesbank Baden-Wu   3.000   3/25/2022   EUR   63.050
EFG International F   7.000   03/01/2021  CHF   57.570
Leonteq Securities    3.750   2/20/2023   CHF   41.510
Landesbank Hessen-T   4.000   9/22/2020   EUR   69.800
Landesbank Hessen-T   3.500   9/22/2020   EUR   48.900
DekaBank Deutsche G   5.000   9/14/2020   EUR   49.160
DekaBank Deutsche G   7.000   9/14/2020   EUR   37.050
Landesbank Hessen-T   4.000   3/23/2022   EUR   59.420
Landesbank Hessen-T   4.000   3/23/2022   EUR   46.950
UBS AG/London         5.500   8/21/2020   CHF   64.850
EFG International F   7.400   03/08/2021  CHF   53.510
Leonteq Securities    5.000   09/02/2020  CHF   43.610
DekaBank Deutsche G   3.000   7/24/2020   EUR   64.090
Landesbank Baden-Wu   2.600   6/24/2022   EUR   65.800
DekaBank Deutsche G   2.300   03/05/2021  EUR   58.410
DekaBank Deutsche G   2.450   03/05/2021  EUR   52.400
Skandinaviska Enski   7.900   1/17/2023   SEK
Landesbank Hessen-T   8.900   3/16/2023   EUR   57.870
Landesbank Hessen-T   7.600   03/09/2023  EUR   48.000
Raiffeisen Schweiz    5.250   8/26/2020   CHF   63.870
UniCredit Bank AG     4.500   03/12/2022  EUR   43.430
DekaBank Deutsche G   4.000   9/21/2021   EUR   57.790
EFG International F   6.600   03/08/2021  CHF   61.210
UBS AG/London         8.500   8/21/2020   EUR   29.980
Leonteq Securities    2.300   02/08/2023  CHF   33.890
UniCredit Bank AG     5.100   03/05/2021  EUR   58.940
UniCredit Bank AG     4.650   03/05/2021  EUR   36.490
Landesbank Baden-Wu   2.150  11/27/2020   EUR   70.360
Landesbank Baden-Wu   3.000   4/25/2022   EUR   61.540
Erste Group Bank AG   4.350   2/28/2022   EUR   48.250
UniCredit Bank AG     3.000   3/21/2023   EUR   67.500
DekaBank Deutsche G   2.150   8/28/2020   EUR   67.360
Landesbank Hessen-T   6.000   12/01/2022  EUR   27.960
Landesbank Hessen-T   5.200   09/08/2022  EUR   64.530
Landesbank Hessen-T   6.000   8/25/2023   EUR   39.860
UniCredit Bank AG     3.800   09/04/2021  EUR   64.140
Skandinaviska Enski   5.500   7/20/2022   SEK   64.160
Leonteq Securities   15.000   03/09/2021  CHF   15.020
Vontobel Financial    3.250   4/23/2021   EUR   68.260
Leonteq Securities    8.000  10/27/2020   CHF   45.060
Leonteq Securities    6.200   08/11/2020  CHF   56.990
UniCredit Bank AG     3.200   09/10/2022  EUR   71.420
Erste Group Bank AG   5.550   8/30/2022   EUR   69.100
UniCredit Bank AG     5.350   7/28/2020   EUR   27.220
Skandinaviska Enski   9.750   1/17/2023   SEK   38.280
Leonteq Securities   17.000   03/09/2021  USD   19.130
Landesbank Baden-Wu   2.600   9/24/2021   EUR   71.710
Landesbank Baden-Wu   2.650   9/24/2021   EUR   68.750
Getin Noble Bank SA   5.790   7/26/2024   PLN   74.000
DekaBank Deutsche G   2.450   8/28/2020   EUR   56.520
Getin Noble Bank SA   5.790   8/30/2024   PLN   70.000
Landesbank Baden-Wu   3.000   8/26/2022   EUR   66.810
Landesbank Hessen-T   4.000   03/08/2021  EUR   60.100
Landesbank Hessen-T   3.450   03/08/2021  EUR   70.400
Leonteq Securities    6.500   03/09/2021  CHF   68.730
Landesbank Hessen-T   3.500   09/08/2022  EUR   58.710
Societe Generale SA   4.000   4/17/2028   EUR   61.600
Vontobel Financial   15.000   6/25/2021   EUR   75.320
Vontobel Financial   13.000   6/25/2021   EUR   75.510
Vontobel Financial   14.000   6/25/2021   EUR   75.420
Vontobel Financial   18.500   6/25/2021   EUR   75.620
Vontobel Financial   19.500   6/25/2021   EUR   75.550
Vontobel Financial    4.100   03/12/2021  EUR   64.200
Landesbank Hessen-T   4.700   2/24/2023   EUR   68.650
Landesbank Hessen-T   6.450   2/24/2023   EUR   30.240
Zurcher Kantonalban   6.250   11/02/2020  CHF   53.830
EFG International F   7.200   11/09/2020  CHF   49.060
Leonteq Securities    6.400   11/03/2021  CHF   59.560
Leonteq Securities    7.200   11/03/2020  CHF   61.800
Commerzbank AG        2.850  10/26/2020   EUR   49.900
Landesbank Hessen-T   5.700  11/24/2022   EUR   65.790
Landesbank Hessen-T   3.750   06/04/2021  EUR   65.300
Landesbank Baden-Wu   2.200   7/24/2020   EUR   62.270
Landesbank Baden-Wu   2.450   7/24/2020   EUR   68.490
Leonteq Securities    8.000   06/08/2021  CHF   63.080
Leonteq Securities    5.200   06/11/2020  CHF   40.130
BNP Paribas Issuanc   7.000   06/01/2020  EUR   41.900
BNP Paribas Issuanc   5.600   06/01/2020  EUR   48.550
BNP Paribas Issuanc   6.600   06/01/2020  EUR   44.350
BNP Paribas Issuanc   6.800   06/01/2020  EUR   54.350
BNP Paribas Issuanc   5.800   06/01/2020  EUR   41.700
BNP Paribas Issuanc   5.800   06/01/2020  EUR   44.850
BNP Paribas Issuanc   6.400   06/01/2020  EUR   30.950
BNP Paribas Issuanc   6.200   06/01/2020  EUR   67.200
BNP Paribas Issuanc   5.000   06/01/2020  EUR   43.950
BNP Paribas Issuanc   4.800   06/01/2020  EUR   53.900
DekaBank Deutsche G   3.650   6/20/2022   EUR   62.290
DekaBank Deutsche G   3.000   6/26/2020   EUR   40.250
DekaBank Deutsche G   2.000   6/25/2021   EUR   39.630
Leonteq Securities    5.200   06/07/2022  CHF   63.960
UniCredit Bank AG     5.600   07/02/2021  EUR   64.650
UniCredit Bank AG     3.700   6/25/2022   EUR   71.140
Landesbank Baden-Wu   2.500   8/25/2023   EUR   56.970
Vontobel Financial    4.000   6/29/2020   EUR   58.170
Leonteq Securities    3.000  12/20/2021   CHF   67.710
Vontobel Financial    5.000   06/07/2021  EUR   70.590
Bayerische Landesba   2.500   07/10/2020  EUR   47.850
Bayerische Landesba   3.100   07/10/2020  EUR   54.610
Bayerische Landesba   2.600   07/09/2021  EUR   67.520
Raiffeisen Centroba   7.000   6/22/2020   EUR   54.160
Landesbank Hessen-T   2.000   6/13/2022   EUR   53.540
DekaBank Deutsche G   3.750   07/04/2022  EUR   70.850
Landesbank Hessen-T   7.600   07/06/2023  EUR   66.390
Leonteq Securities    2.500   06/05/2024  EUR   45.860
UBS AG/London         7.000   06/08/2020  CHF   56.400
UBS AG/London         5.750  11/23/2020   CHF   44.200
UBS AG/London        10.750   06/08/2020  CHF   39.450
Landesbank Hessen-T   6.000   07/06/2023  EUR   65.790
UBS AG/London         6.500   12/07/2020  EUR   45.200
UBS AG/London         7.250   06/08/2020  USD   49.600
EFG International F   5.800   6/21/2021   CHF   63.830
EFG International F   7.200   6/22/2020   EUR   45.870
EFG International F   6.400   6/22/2020   CHF   41.800
Leonteq Securities    6.800  12/15/2021   CHF   71.630
Leonteq Securities    5.000   6/15/2021   CHF   54.620
Leonteq Securities   10.280   06/11/2020  CHF   60.450
Leonteq Securities    7.000   6/15/2020   CHF   41.310
Credit Suisse AG/Na   7.000   6/18/2020   CHF   60.060
Raiffeisen Centroba   7.200   07/10/2020  EUR   52.910
Erste Group Bank AG   4.650   6/29/2022   EUR   52.150
Erste Group Bank AG   4.500   6/29/2023   EUR   71.100
Raiffeisen Schweiz    6.200  12/15/2020   CHF   69.840
Raiffeisen Schweiz    7.100   6/15/2020   CHF   40.250
Raiffeisen Schweiz    9.500  12/15/2020   CHF   44.120
Raiffeisen Schweiz    5.300  12/15/2020   EUR   64.060
Raiffeisen Schweiz    4.000  12/15/2021   CHF   56.460
Skandinaviska Enski  10.320   7/17/2023   SEK   33.910
Landesbank Hessen-T   5.150   6/14/2022   EUR   57.410
DekaBank Deutsche G   5.600   01/04/2021  EUR   47.440
DekaBank Deutsche G   4.300   01/04/2021  EUR   44.940
Landesbank Baden-Wu   2.150   7/23/2021   EUR   70.170
Landesbank Baden-Wu   3.500   7/23/2021   EUR   54.770
UBS AG/London         8.500   6/15/2020   USD   59.300
UBS AG/London        10.250   6/15/2020   CHF   22.320
UBS AG/London         8.000   6/15/2020   CHF   55.200
UBS AG/London         7.000  12/14/2020   CHF   25.600
UBS AG/London        10.500   6/15/2020   EUR   48.850
UBS AG/London         8.750   6/15/2020   EUR   35.250
UBS AG/London         6.500  12/14/2020   EUR   61.400
UBS AG/London         6.500  12/14/2020   EUR   57.600
Landesbank Hessen-T   3.500   7/19/2021   EUR   61.500
Bayerische Landesba   3.000   7/17/2020   EUR   53.710
EFG International F   5.400  12/27/2021   CHF   71.060
Credit Suisse AG/Na   7.000   6/22/2021   CHF   45.100
DekaBank Deutsche G   3.350   07/10/2020  EUR   41.140
DekaBank Deutsche G   2.450   07/10/2020  EUR   53.730
DekaBank Deutsche G   2.350   07/09/2021  EUR   66.320
DekaBank Deutsche G   2.000   07/09/2021  EUR   70.020
Vontobel Financial    4.200   07/06/2021  EUR   55.740
Corner Banca SA       7.400   6/22/2020   CHF   68.450
SecurAsset SA         5.250   6/30/2022   EUR   26.730
Leonteq Securities    5.200  12/22/2020   CHF   42.040
Raiffeisen Schweiz    6.100   6/22/2020   CHF   57.990
Raiffeisen Schweiz    5.000  12/22/2020   CHF   64.220
Raiffeisen Schweiz    4.000  12/22/2021   CHF   56.390
Zurcher Kantonalban   3.400   6/15/2020   CHF   63.380
SG Issuer SA          4.000   6/22/2026   EUR   32.810
Leonteq Securities    2.000   09/07/2023  CHF   66.590
Landesbank Baden-Wu   2.700   9/23/2022   EUR   72.610
Landesbank Baden-Wu   3.000   9/23/2022   EUR   56.660
Landesbank Baden-Wu   2.650   9/23/2022   EUR   60.180
Landesbank Hessen-T   4.000   7/20/2022   EUR   69.020
Landesbank Hessen-T   4.000   7/20/2022   EUR   65.360
Landesbank Hessen-T   3.500   08/03/2022  EUR   48.350
Landesbank Hessen-T   4.000   08/03/2022  EUR   56.540
Landesbank Hessen-T   5.750   08/03/2023  EUR   43.370
Landesbank Hessen-T   3.000   06/08/2020  EUR   70.900
Bayerische Landesba   2.000   08/07/2020  EUR   70.120
Natixis SA            2.500   07/12/2021  EUR   56.695
DekaBank Deutsche G   3.000   7/31/2020   EUR   56.260
DekaBank Deutsche G   3.100   7/31/2020   EUR   41.950
Landesbank Baden-Wu   3.000   7/24/2020   EUR   57.950
Landesbank Baden-Wu   2.000   7/24/2020   EUR   41.200
Landesbank Baden-Wu   3.500   7/24/2020   EUR   36.670
Landesbank Baden-Wu   2.000   7/24/2020   EUR   62.600
Landesbank Baden-Wu   3.000   7/24/2020   EUR   57.630
Landesbank Baden-Wu   4.000   7/24/2020   EUR   53.840
Landesbank Baden-Wu   5.000   7/24/2020   EUR   50.910
Landesbank Baden-Wu   3.500   7/24/2020   EUR   51.390
Landesbank Baden-Wu   3.000   7/24/2020   EUR   38.300
Landesbank Baden-Wu   3.500   7/24/2020   EUR   67.400
Landesbank Baden-Wu   5.000   7/24/2020   EUR   59.470
Landesbank Baden-Wu   6.500   7/24/2020   EUR   54.260
Landesbank Baden-Wu   2.000   7/24/2020   EUR   61.760
Landesbank Baden-Wu   3.000   7/24/2020   EUR   57.470
Landesbank Baden-Wu   3.500   7/24/2020   EUR   66.910
Landesbank Baden-Wu   4.500   7/24/2020   EUR   63.450
Landesbank Baden-Wu   3.500   7/24/2020   EUR   42.610
Landesbank Baden-Wu   5.500   7/24/2020   EUR   37.030
Landesbank Baden-Wu   3.000   7/24/2020   EUR   73.990
Landesbank Baden-Wu   4.000   7/24/2020   EUR   69.030
Landesbank Baden-Wu   5.000   7/24/2020   EUR   65.250
Landesbank Baden-Wu   6.000   7/24/2020   EUR   62.440
Landesbank Baden-Wu   2.000   7/24/2020   EUR   60.500
Landesbank Baden-Wu   3.500   7/24/2020   EUR   53.150
Landesbank Baden-Wu   5.000   7/24/2020   EUR   48.200
Landesbank Baden-Wu   2.500   7/24/2020   EUR   65.790
Landesbank Baden-Wu   4.000   7/24/2020   EUR   60.710
Landesbank Baden-Wu   2.500   7/24/2020   EUR   48.710
Landesbank Baden-Wu   5.000   7/24/2020   EUR   41.620
Landesbank Baden-Wu   2.500   7/24/2020   EUR   66.080
Landesbank Baden-Wu   4.000   7/24/2020   EUR   60.480
Landesbank Baden-Wu   2.000   7/24/2020   EUR   37.090
Landesbank Baden-Wu   3.500   7/24/2020   EUR   33.320
Landesbank Baden-Wu   4.000   7/24/2020   EUR   72.220
Landesbank Baden-Wu   2.500   7/24/2020   EUR   71.900
Landesbank Baden-Wu   4.000   7/24/2020   EUR   62.340
Landesbank Baden-Wu   5.500   7/24/2020   EUR   60.210
Landesbank Baden-Wu   3.500   7/24/2020   EUR   70.470
Landesbank Baden-Wu   3.500   7/24/2020   EUR   55.330
Landesbank Baden-Wu   5.000   7/24/2020   EUR   50.820
Landesbank Baden-Wu   2.000   7/24/2020   EUR   34.910
Landesbank Baden-Wu   3.500   7/24/2020   EUR   31.180
Landesbank Baden-Wu   3.000   7/24/2020   EUR   71.430
Landesbank Baden-Wu   4.000   7/24/2020   EUR   67.340
Landesbank Baden-Wu   2.500   7/24/2020   EUR   65.990
Landesbank Baden-Wu   4.000   7/24/2020   EUR   59.250
Landesbank Baden-Wu   2.500   7/24/2020   EUR   42.060
Landesbank Baden-Wu   3.500   7/24/2020   EUR   39.220
Landesbank Baden-Wu   2.050   7/23/2021   EUR   68.080
Landesbank Baden-Wu   3.100   7/23/2021   EUR   71.410
Landesbank Baden-Wu   3.500   7/23/2021   EUR   53.980
Erste Group Bank AG   6.250   7/27/2023   EUR   60.350
Leonteq Securities    4.130   07/06/2020  CHF   62.690
Landesbank Hessen-T   7.500   11/03/2023  EUR   49.950
UBS AG/London         6.000   6/29/2020   CHF   58.550
UBS AG/London        11.000   6/29/2020   CHF   26.380
UBS AG/London         7.000   6/29/2020   CHF   57.450
UBS AG/London         7.000   6/29/2020   CHF   60.700
UBS AG/London         5.750   6/29/2020   CHF   63.300
UBS AG/London         6.500   6/29/2020   EUR   51.150
UBS AG/London         6.500   6/29/2020   CHF   41.150
UniCredit Bank AG     3.000   08/03/2023  EUR   66.870
DekaBank Deutsche G   7.000   02/01/2021  EUR   54.480
Erste Group Bank AG   4.650   7/27/2022   EUR   50.150
Credit Suisse AG/Na   7.000   1/13/2021   CHF   46.210
Leonteq Securities    7.600   7/13/2021   CHF   48.660
Leonteq Securities    8.400   7/13/2020   EUR   47.570
Leonteq Securities    6.200   1/13/2021   CHF   46.840
Leonteq Securities    7.600   7/13/2020   CHF   37.660
Raiffeisen Schweiz    7.000   7/13/2020   EUR   59.460
Raiffeisen Schweiz    6.000   7/13/2020   CHF   59.580
Bayerische Landesba   3.150   7/31/2020   EUR   57.480
Leonteq Securities    6.800   7/21/2020   CHF   38.310
Landesbank Baden-Wu   3.000   9/24/2021   EUR   69.910
Landesbank Hessen-T   4.000   8/18/2021   EUR   39.050
UniCredit Bank AG     4.300   8/29/2020   EUR   61.100
EFG International F   6.600   08/03/2020  EUR   59.940
UniCredit Bank AG     3.600   8/23/2021   EUR   28.110
DekaBank Deutsche G   3.000  12/28/2020   EUR   58.220
Leonteq Securities    7.000   7/28/2020   CHF   52.890
Leonteq Securities    6.200   7/28/2020   CHF   38.870
Leonteq Securities    5.200   7/28/2020   CHF   56.980
Landesbank Hessen-T   5.000  11/25/2022   EUR   71.020
Societe Generale SA   8.600   7/29/2022   USD   25.700
Societe Generale Ef  16.000   9/25/2020   EUR   68.090
Societe Generale Ef  19.250   9/25/2020   EUR   62.840
Corner Banca SA      14.400   09/02/2021  USD   64.190
UniCredit Bank AG     7.850   03/03/2021  EUR   63.090
Leonteq Securities    4.810   03/03/2022  CHF   65.540
Leonteq Securities    3.910   03/03/2023  CHF   61.750
Corner Banca SA       9.000   09/02/2021  CHF   69.330
Zurcher Kantonalban   7.550   09/03/2021  USD   66.510
Credit Suisse AG/Lo   9.000   06/02/2021  CHF   72.750
Credit Suisse AG/Lo   6.650   09/02/2022  CHF   65.460
EFG International F   4.700   03/03/2023  USD   66.560
Raiffeisen Schweiz    6.160   09/02/2021  EUR   68.630
Zurcher Kantonalban   5.000   06/10/2021  CHF   66.540
Zurcher Kantonalban  12.000   03/10/2022  CHF   54.060
Vontobel Financial    8.350   09/01/2020  EUR   70.520
Raiffeisen Schweiz    6.500   09/02/2021  CHF   67.610
Raiffeisen Schweiz    6.000   09/02/2022  CHF   61.800
Bank Julius Baer &    9.000   03/04/2021  USD   67.700
Bank Julius Baer &   12.800   03/04/2021  CHF   50.650
Landesbank Baden-Wu   2.300   2/25/2022   EUR   69.510
Landesbank Baden-Wu   3.800   2/25/2022   EUR   65.920
Landesbank Baden-Wu   2.000   2/25/2022   EUR   71.120
Landesbank Baden-Wu   3.300   2/25/2022   EUR   66.520
Landesbank Baden-Wu   4.500   2/25/2022   EUR   63.240
Landesbank Baden-Wu   5.900   2/25/2022   EUR   61.650
Landesbank Baden-Wu   4.500   2/25/2022   EUR   71.450
Landesbank Baden-Wu   4.200   2/25/2022   EUR   68.930
Landesbank Baden-Wu   6.200   2/25/2022   EUR   66.240
Landesbank Baden-Wu   6.400   2/25/2022   EUR   68.700
Landesbank Baden-Wu   2.700   2/25/2022   EUR   70.860
Landesbank Baden-Wu   4.500   2/25/2022   EUR   68.710
Landesbank Baden-Wu   6.500   2/25/2022   EUR   67.800
Landesbank Baden-Wu   5.500   2/25/2022   EUR   72.760
Landesbank Baden-Wu   2.800   2/25/2022   EUR   72.500
Landesbank Baden-Wu   3.900   2/25/2022   EUR   70.950
Landesbank Baden-Wu   5.000   2/25/2022   EUR   69.460
Landesbank Baden-Wu   1.800   2/25/2022   EUR   66.750
Landesbank Baden-Wu   3.000   2/25/2022   EUR   64.240
Landesbank Baden-Wu   3.800   2/25/2022   EUR   62.470
Landesbank Baden-Wu   1.700   2/25/2022   EUR   57.840
Landesbank Baden-Wu   2.300   2/25/2022   EUR   56.610
Landesbank Baden-Wu   3.000   2/25/2022   EUR   55.690
Landesbank Baden-Wu   3.800   2/25/2022   EUR   55.080
Landesbank Baden-Wu   4.500   2/25/2022   EUR   54.420
Landesbank Baden-Wu   5.300   2/25/2022   EUR   54.060
Landesbank Baden-Wu   2.000   2/25/2022   EUR   69.720
Landesbank Baden-Wu   3.000   2/25/2022   EUR   68.600
Landesbank Baden-Wu   4.200   2/25/2022   EUR   71.500
Landesbank Baden-Wu   5.700   2/25/2022   EUR   69.380
Landesbank Baden-Wu   1.200   2/25/2022   EUR   72.460
Landesbank Baden-Wu   2.600   2/25/2022   EUR   70.070
Landesbank Baden-Wu   3.700   2/25/2022   EUR   68.760
Landesbank Baden-Wu   4.000   2/25/2022   EUR   72.200
Landesbank Baden-Wu   5.800   2/25/2022   EUR   70.310
Landesbank Baden-Wu   2.200   2/25/2022   EUR   58.340
Landesbank Baden-Wu   3.500   2/25/2022   EUR   55.830
Landesbank Baden-Wu   5.100   2/25/2022   EUR   54.470
Landesbank Baden-Wu   5.000   2/25/2022   EUR   72.870
Landesbank Baden-Wu   6.100   2/25/2022   EUR   72.290
Landesbank Baden-Wu   2.000   2/25/2022   EUR   69.030
Landesbank Baden-Wu   3.500   2/25/2022   EUR   65.300
Landesbank Baden-Wu   1.900   2/25/2022   EUR   72.120
Landesbank Baden-Wu   3.100   2/25/2022   EUR   70.080
Landesbank Baden-Wu   4.000   2/25/2022   EUR   70.350
Landesbank Baden-Wu   5.500   2/25/2022   EUR   69.420
Landesbank Baden-Wu   6.600   2/25/2022   EUR   68.980
Landesbank Baden-Wu   7.800   2/25/2022   EUR   68.750
Landesbank Baden-Wu   8.500   2/25/2022   EUR   68.840
Landesbank Baden-Wu  10.000   2/25/2022   EUR   69.230
Landesbank Baden-Wu   3.400   2/25/2022   EUR   74.720
Landesbank Baden-Wu   3.100   2/25/2022   EUR   73.660
Landesbank Baden-Wu   4.500   2/25/2022   EUR   70.510
Landesbank Baden-Wu   5.700   2/25/2022   EUR   68.300
Landesbank Baden-Wu   2.000   3/25/2022   EUR   70.890
Landesbank Baden-Wu   2.800   3/25/2022   EUR   69.740
Landesbank Baden-Wu   4.300   3/25/2022   EUR   68.690
Credit Suisse AG/Lo   6.750   03/03/2022  CHF   71.810
Zurcher Kantonalban   6.800   09/01/2021  EUR   70.300
Vontobel Financial   19.000   3/26/2021   EUR   73.320
Vontobel Financial   20.500   3/26/2021   EUR   73.330
Vontobel Financial   22.000   3/26/2021   EUR   73.360
Vontobel Financial   13.500  12/28/2020   EUR   74.700
Vontobel Financial   15.000  12/28/2020   EUR   74.230
Vontobel Financial   17.000  12/28/2020   EUR   74.030
Vontobel Financial   19.000  12/28/2020   EUR   73.820
Vontobel Financial   21.000  12/28/2020   EUR   73.600
Vontobel Financial   23.000  12/28/2020   EUR   73.370
Vontobel Financial   25.000  12/28/2020   EUR   73.120
Vontobel Financial   10.500   3/26/2021   EUR   67.260
Vontobel Financial    4.000  12/28/2020   EUR   72.780
Vontobel Financial    4.500  12/28/2020   EUR   71.680
Vontobel Financial    7.000  12/28/2020   EUR   69.100
Vontobel Financial    8.000  12/28/2020   EUR   68.430
Vontobel Financial    9.500  12/28/2020   EUR   68.020
Vontobel Financial   10.500  12/28/2020   EUR   67.360
Vontobel Financial   11.500  12/28/2020   EUR   66.780
Vontobel Financial   10.500   3/26/2021   EUR   73.750
Vontobel Financial   12.000   3/26/2021   EUR   73.760
Vontobel Financial   13.000   3/26/2021   EUR   73.350
Vontobel Financial   14.500   3/26/2021   EUR   73.350
Vontobel Financial   16.000   3/26/2021   EUR   73.330
Vontobel Financial    3.500   3/26/2021   EUR   72.370
Vontobel Financial    4.000   3/26/2021   EUR   71.490
Vontobel Financial    4.500   3/26/2021   EUR   70.610
Vontobel Financial    5.500   3/26/2021   EUR   70.200
Vontobel Financial   17.500   3/26/2021   EUR   73.320
DZ Bank AG Deutsche   3.300   3/24/2021   EUR   72.210
DZ Bank AG Deutsche   2.500   3/24/2021   EUR   70.200
DZ Bank AG Deutsche   8.250   9/23/2020   EUR   61.900
Societe Generale Ef  21.500   7/24/2020   EUR   69.050
Societe Generale Ef  17.500   2/26/2021   EUR   73.180
Leonteq Securities    4.000   03/03/2022  EUR   16.360
UBS AG/London        10.500   03/04/2021  CHF   68.300
UBS AG/London        12.500   09/06/2021  CHF   69.850
Landesbank Baden-Wu   9.310   3/26/2021   EUR   72.720
UBS AG/London         7.500   09/06/2021  CHF   72.200
UBS AG/London         8.500   09/06/2021  CHF   49.700
Landesbank Hessen-T   4.600   7/23/2024   EUR   64.060
DekaBank Deutsche G   3.000   7/17/2020   EUR   45.040
Raiffeisen Centroba   5.250   7/21/2020   EUR   60.920
Raiffeisen Centroba   5.300   7/21/2020   EUR   46.670
DekaBank Deutsche G   3.250   1/18/2021   EUR   56.820
Leonteq Securities    6.100  12/15/2020   EUR   58.040
Vontobel Financial    8.300   6/19/2020   CHF   61.800
UniCredit Bank AG     3.800   7/27/2021   EUR   59.850
UBS AG/London         6.000   6/22/2020   EUR   49.050
Vontobel Financial    5.850   6/22/2020   EUR   59.300
Raiffeisen Schweiz    6.000   6/29/2020   CHF   62.470
Raiffeisen Schweiz    5.700  12/29/2020   EUR   56.420
Raiffeisen Schweiz    4.100  12/29/2021   CHF   56.310
Societe Generale Ef   9.500   9/25/2020   EUR   69.830
Societe Generale Ef  11.250   1/22/2021   EUR   58.570
Societe Generale Ef  15.500   9/25/2020   EUR   68.780
Societe Generale Ef  16.250  11/27/2020   EUR   70.320
Societe Generale Ef  13.750   1/22/2021   EUR   71.390
Societe Generale Ef   6.750  11/27/2020   EUR   62.180
Societe Generale Ef   8.750  11/27/2020   EUR   60.070
Societe Generale Ef  10.750  11/27/2020   EUR   58.600
Societe Generale Ef  12.750  11/27/2020   EUR   57.520
Societe Generale Ef   4.000  12/28/2020   EUR   66.750
Societe Generale Ef  12.000  12/28/2020   EUR   58.140
Societe Generale Ef   5.250   1/22/2021   EUR   64.240
Societe Generale Ef  18.250   9/25/2020   EUR   67.370
Societe Generale Ef  16.750  10/23/2020   EUR   68.280
Societe Generale Ef  15.500  11/27/2020   EUR   69.060
Societe Generale Ef  15.000  12/28/2020   EUR   69.760
Societe Generale Ef  14.250   1/22/2021   EUR   70.180
UBS AG/London        10.500   11/03/2020  CHF   34.050
EFG International F   6.400  11/17/2020   CHF   54.530
DekaBank Deutsche G   5.950   12/04/2020  EUR   44.020
DekaBank Deutsche G   4.350   12/04/2020  EUR   54.930
Raiffeisen Schweiz    5.200   11/11/2020  CHF   42.750
Landesbank Baden-Wu   2.490   6/25/2021   EUR   70.290
Landesbank Baden-Wu   2.000   7/22/2022   EUR   64.000
Landesbank Baden-Wu   2.300   7/22/2022   EUR   71.950
UniCredit Bank AG     5.400   06/04/2021  EUR   57.220
Corner Banca SA       8.000   5/25/2021   CHF   44.730
UniCredit Bank AG     5.000   06/11/2021  EUR   52.390
UniCredit Bank AG     4.650   06/04/2022  EUR   55.380
Leonteq Securities    8.000   7/14/2020   CHF   53.690
Leonteq Securities    7.000   7/14/2020   CHF   38.820
UniCredit Bank AG     4.500   1/18/2022   EUR   49.950
UniCredit Bank AG     5.300   7/19/2021   EUR   54.910
Bayerische Landesba   2.600   7/16/2021   EUR   71.240
Landesbank Baden-Wu   3.000   2/26/2021   EUR   50.600
UBS AG/London         8.500   6/22/2020   EUR   23.560
UBS AG/London         5.750   6/22/2020   EUR   69.000
UniCredit Bank AG     3.500   01/05/2021  EUR   34.220
DekaBank Deutsche G   2.900   08/07/2020  EUR   55.060
DekaBank Deutsche G   4.550   7/31/2020   EUR   44.560
DekaBank Deutsche G   2.250   1/22/2021   EUR   45.650
UniCredit Bank AG     3.750   1/18/2022   EUR   56.450
Landesbank Baden-Wu   2.300   2/25/2022   EUR   58.780
Landesbank Baden-Wu   2.300   2/25/2022   EUR   72.450
Landesbank Baden-Wu   2.750   2/25/2022   EUR   71.770
Landesbank Baden-Wu   2.400   2/25/2022   EUR   57.820
Landesbank Baden-Wu   3.000   2/25/2022   EUR   62.930
Landesbank Baden-Wu   2.650   9/25/2020   EUR   56.830
Erste Group Bank AG   5.800   1/31/2023   EUR   50.300
Leonteq Securities    7.000   01/08/2021  CHF   52.990
DekaBank Deutsche G   3.000   06/12/2020  EUR   64.720
Landesbank Baden-Wu   2.200   9/25/2020   EUR   64.880
DekaBank Deutsche G   2.000   1/22/2021   EUR   52.320
DekaBank Deutsche G   2.000   1/22/2021   EUR   39.440
EFG International F   7.600   01/11/2021  CHF   52.040
EFG International F   7.400   01/11/2021  CHF   55.620
EFG International F   6.200   01/11/2021  EUR   63.200
EFG International F   7.400   01/11/2021  USD   43.590
EFG International F   7.400   1/25/2021   CHF   51.760
EFG International F   6.400   1/25/2021   CHF   62.560
EFG International F   7.200   1/25/2021   EUR   42.050
Leonteq Securities    7.000   1/19/2021   CHF   60.640
Leonteq Securities    6.400   1/19/2021   CHF   47.240
Leonteq Securities    8.000   7/22/2020   CHF   46.110
UniCredit Bank AG     4.200   02/12/2021  EUR   37.240
UniCredit Bank AG     4.400   02/12/2021  EUR   57.800
UniCredit Bank AG     5.000   02/12/2021  EUR   72.880
UniCredit Bank AG     5.900   02/12/2021  EUR   28.110
UniCredit Bank AG     4.550   02/12/2021  EUR   36.570
UniCredit Bank AG     3.500   08/12/2021  EUR   59.580
UBS AG/London         4.000   07/06/2021  EUR   54.690
Bayerische Landesba   2.200   8/20/2021   EUR   60.450
Bayerische Landesba   2.600   8/20/2021   EUR   69.270
Landesbank Baden-Wu   3.100   3/26/2021   EUR   50.700
Landesbank Baden-Wu   3.000   3/26/2021   EUR   64.650
Landesbank Baden-Wu   3.550   3/26/2021   EUR   63.360
Landesbank Baden-Wu   3.000   3/26/2021   EUR   47.480
Landesbank Baden-Wu   2.650   1/27/2023   EUR   53.200
Landesbank Baden-Wu   2.350  10/23/2020   EUR   64.380
Landesbank Baden-Wu   3.000  10/23/2020   EUR   72.780
Landesbank Baden-Wu   2.750  10/23/2020   EUR   57.300
Landesbank Baden-Wu   3.750  12/29/2020   EUR   53.820
Landesbank Baden-Wu   5.750  12/29/2020   EUR   73.390
Raiffeisen Centroba   9.965   9/23/2020   EUR   68.370
Raiffeisen Centroba  10.588   9/23/2020   EUR   53.050
UniCredit Bank AG     4.100   3/15/2023   EUR   73.370
Raiffeisen Centroba   9.031   9/23/2020   EUR   64.490
BNP Paribas Emissio  17.000   9/24/2020   EUR   75.300
BNP Paribas Emissio  11.000   9/24/2020   EUR   42.800
BNP Paribas Emissio  16.000   6/25/2020   EUR   62.030
BNP Paribas Emissio   6.500   9/24/2020   EUR   44.330
BNP Paribas Emissio  12.000   6/25/2020   EUR   56.760
Raiffeisen Schweiz    5.750   2/25/2021   CHF   61.830
Raiffeisen Centroba  13.171   9/23/2020   EUR   68.210
Deutsche Bank AG      6.200   6/23/2020   EUR   68.000
Deutsche Bank AG      6.200  12/22/2020   EUR   68.800
Deutsche Bank AG      6.200  12/22/2020   EUR   57.400
Deutsche Bank AG      6.200  12/22/2020   EUR   47.900
Deutsche Bank AG      6.200   9/22/2020   EUR   48.700
Deutsche Bank AG      6.200  12/22/2020   EUR   50.100
Deutsche Bank AG      6.200   9/22/2020   EUR   64.900
Deutsche Bank AG      6.200  12/22/2020   EUR   60.900
Deutsche Bank AG      6.200  12/22/2020   EUR   61.520
Deutsche Bank AG      6.200  12/22/2020   EUR   56.770
Deutsche Bank AG      6.200   6/23/2020   EUR   47.810
Deutsche Bank AG      6.200  12/22/2020   EUR   53.950
Deutsche Bank AG      6.200  12/22/2020   EUR   51.280
Deutsche Bank AG      6.200  12/22/2020   EUR   48.850
Deutsche Bank AG      6.200  12/22/2020   EUR   73.800
Deutsche Bank AG      6.200  12/22/2020   EUR   72.600
DZ Bank AG Deutsche  11.000   6/24/2020   EUR   60.700
DZ Bank AG Deutsche   9.250   6/24/2020   EUR   46.510
DZ Bank AG Deutsche   9.000   6/24/2020   EUR   65.910
UBS AG/London         5.000   8/27/2020   CHF   50.300
Leonteq Securities    3.600   03/01/2021  EUR   42.105
Raiffeisen Centroba   5.070   9/23/2020   EUR   59.510
Raiffeisen Centroba  11.092   9/23/2020   EUR   66.730
Deutsche Bank AG      4.200  12/22/2020   EUR   54.260
UniCredit Bank AG     3.000   8/13/2021   EUR   70.250
EFG International F   5.000   6/29/2020   CHF   52.530
Raiffeisen Schweiz    6.200   03/01/2021  CHF   69.010
Raiffeisen Schweiz    5.000   09/01/2020  CHF   67.360
Leonteq Securities    6.600   6/30/2020   CHF   40.370
Leonteq Securities    5.400   6/30/2020   CHF   51.940
DekaBank Deutsche G   3.050   7/26/2022   EUR   63.120
Landesbank Baden-Wu   3.050   7/24/2020   EUR   56.880
Landesbank Baden-Wu   3.000   7/24/2020   EUR   60.330
Bayerische Landesba   2.500   08/07/2020  EUR   62.760
Societe Generale SA  13.200   12/11/2020  USD   18.180
DekaBank Deutsche G   3.000   6/17/2020   EUR   57.850
Landesbank Hessen-T   3.250   02/10/2021  EUR   57.100
Landesbank Baden-Wu   2.400   9/25/2020   EUR   65.000
Landesbank Baden-Wu   2.800  12/23/2022   EUR   54.130
UniCredit Bank AG     4.400   7/29/2021   EUR   71.610
UniCredit Bank AG     4.500   08/06/2021  EUR   53.570
Leonteq Securities    8.800  12/28/2020   EUR   49.610
UniCredit Bank AG     6.000   1/18/2021   EUR   26.970
Leonteq Securities    7.400  12/29/2020   CHF   65.810
Nordea Bank Abp       4.000   1/20/2023   SEK   69.000
UniCredit Bank AG     4.100   2/13/2023   EUR   73.630
UniCredit Bank AG     3.500   2/13/2023   EUR   45.860
Landesbank Baden-Wu   3.000   2/26/2021   EUR   63.880
Landesbank Baden-Wu   3.550   2/26/2021   EUR   65.960
Landesbank Hessen-T   3.100   7/29/2020   EUR   60.200
Landesbank Hessen-T   4.000   02/09/2022  EUR   70.120
Landesbank Hessen-T   5.000   08/11/2021  EUR   67.910
DekaBank Deutsche G   2.100   01/05/2021  EUR   38.660
Raiffeisen Schweiz    7.410   7/13/2020   CHF   39.110
Landesbank Hessen-T   3.000   7/29/2020   EUR   55.000
UniCredit Bank AG     4.000   01/05/2021  EUR   66.800
DekaBank Deutsche G   2.400   08/07/2020  EUR   63.970
DekaBank Deutsche G   6.050   7/31/2020   EUR   32.740
Landesbank Hessen-T   4.600   05/02/2023  EUR   54.820
Landesbank Baden-Wu   2.600   9/25/2020   EUR   34.850
UBS AG/London         5.750   6/29/2020   CHF   51.100
UBS AG/London         6.250   6/29/2020   CHF   70.900
UBS AG/London         7.000   6/29/2020   CHF   43.700
Bayerische Landesba   2.700   8/20/2021   EUR   56.600
Leonteq Securities    7.200   01/04/2021  CHF   64.040
Leonteq Securities    6.400   01/12/2021  CHF   61.400
Leonteq Securities    8.000   01/12/2021  EUR   62.030
Leonteq Securities    9.000   01/12/2021  USD   24.040
UBS AG/London         9.750   07/06/2020  EUR   48.100
Leonteq Securities    7.600   01/12/2021  CHF   49.910
Leonteq Securities    7.400   01/12/2021  CHF   51.680
Landesbank Hessen-T   4.000   1/26/2022   EUR   65.180
UBS AG/London         5.750   07/06/2020  EUR   62.700
Danske Bank A/S       2.300   07/10/2023  SEK   72.460
Danske Bank A/S       4.750   1/20/2022   SEK   70.380
Landesbank Baden-Wu   2.800   7/22/2022   EUR   63.780
Landesbank Hessen-T   7.250   06/08/2023  EUR   63.610
Landesbank Hessen-T   5.500   06/08/2023  EUR   62.040
UniCredit Bank AG     4.970   3/27/2023   EUR   68.120
UniCredit Bank AG     5.450   3/15/2022   EUR   50.140
UniCredit Bank AG     3.900   3/15/2022   EUR   72.250
DekaBank Deutsche G   3.000   04/03/2024  EUR   70.270
Bayerische Landesba   2.500   04/01/2021  EUR   51.280
BNP Paribas Emissio   8.500   9/24/2020   EUR   50.780
BNP Paribas Emissio   6.500   6/25/2020   EUR   59.470
BNP Paribas Emissio  20.000   6/25/2020   EUR   55.520
BNP Paribas Emissio   8.000   9/24/2020   EUR   61.480
Deutsche Bank AG      6.200  12/22/2020   EUR   71.400
DZ Bank AG Deutsche   8.500   6/22/2020   EUR   68.660
DZ Bank AG Deutsche   4.700   6/22/2020   EUR   58.650
Raiffeisen Schweiz    8.000   8/25/2020   EUR   41.170
Leonteq Securities   17.400   2/22/2021   RUB   41.990
Raiffeisen Schweiz    7.000   2/25/2021   CHF   67.570
Raiffeisen Centroba   6.400   04/01/2021  EUR   56.570
Deutsche Bank AG      6.200  12/22/2020   EUR   65.700
Deutsche Bank AG      6.200   6/23/2020   EUR   60.410
Landesbank Hessen-T   4.000   7/21/2021   EUR   55.750
Luzerner Kantonalba   7.800   9/14/2020   CHF   66.910
Deutsche Bank AG      4.200   9/22/2020   EUR   73.900
Deutsche Bank AG      4.200   6/23/2020   EUR   63.420
Deutsche Bank AG      4.200   6/23/2020   EUR   57.420
Deutsche Bank AG      4.200   6/23/2020   EUR   52.450
Deutsche Bank AG      4.200  12/22/2020   EUR   71.900
Landesbank Hessen-T   4.600   07/08/2020  EUR   45.800
HSBC Trinkaus & Bur   4.300   9/25/2020   EUR   61.690
HSBC Trinkaus & Bur   2.300   9/25/2020   EUR   69.320
HSBC Trinkaus & Bur   5.200   7/24/2020   EUR   58.920
HSBC Trinkaus & Bur  11.400  12/28/2020   EUR   72.590
HSBC Trinkaus & Bur   9.800   6/26/2020   EUR   42.560
HSBC Trinkaus & Bur  11.300   9/25/2020   EUR   36.030
HSBC Trinkaus & Bur  10.200   9/25/2020   EUR   51.690
HSBC Trinkaus & Bur   4.300   9/25/2020   EUR   64.350
HSBC Trinkaus & Bur   7.900   7/24/2020   EUR   57.050
DekaBank Deutsche G   2.000   6/28/2021   EUR   65.410
Deutsche Bank AG      4.200   9/22/2020   EUR   50.300
Goldman Sachs & Co    8.000   6/24/2020   EUR   64.920
Goldman Sachs & Co   10.000   9/23/2020   EUR   66.440
Goldman Sachs & Co    8.000  12/23/2020   EUR   67.310
DekaBank Deutsche G   2.750   07/10/2020  EUR   54.190
Landesbank Hessen-T   6.000   08/04/2022  EUR   54.960
Raiffeisen Schweiz   11.200   09/09/2021  CHF   72.480
Zurcher Kantonalban   9.250   9/17/2021   CHF   64.080
Landesbank Hessen-T   4.000   06/08/2022  EUR   54.860
Landesbank Hessen-T   4.000   06/08/2022  EUR   40.660
Landesbank Hessen-T   4.000   06/08/2022  EUR   55.250
DZ Bank AG Deutsche  10.250   6/21/2021   EUR   72.130
DZ Bank AG Deutsche  12.500   3/22/2021   EUR   70.550
Leonteq Securities    8.400   05/11/2021  CHF   57.670
Landesbank Baden-Wu   4.850   6/26/2020   EUR   39.410
Landesbank Baden-Wu   5.000   6/26/2020   EUR   43.350
Landesbank Baden-Wu   5.250   6/26/2020   EUR   32.610
EFG International F   6.200   5/25/2021   CHF   64.230
EFG International F   6.400   5/24/2021   EUR   48.020
Bayerische Landesba   2.300  11/26/2021   EUR   70.480
Deutsche Bank AG      4.200   6/23/2020   EUR   70.850
Landesbank Hessen-T   4.000   7/21/2021   EUR   55.720
Landesbank Hessen-T   5.650  10/28/2022   EUR   34.040
Deutsche Bank AG      4.200   9/22/2020   EUR   53.110
Deutsche Bank AG      4.200  12/22/2020   EUR   63.010
Deutsche Bank AG      4.200  12/22/2020   EUR   72.600
Deutsche Bank AG      4.200  12/22/2020   EUR   70.300
HSBC Trinkaus & Bur   4.300   6/26/2020   EUR   60.970
HSBC Trinkaus & Bur   6.400   9/25/2020   EUR   56.670
HSBC Trinkaus & Bur   7.000   9/25/2020   EUR   69.320
HSBC Trinkaus & Bur   8.800   9/25/2020   EUR   37.760
HSBC Trinkaus & Bur   2.200  12/28/2020   EUR   51.480
HSBC Trinkaus & Bur   8.100   6/26/2020   EUR   66.860
HSBC Trinkaus & Bur   9.700   6/26/2020   EUR   69.390
HSBC Trinkaus & Bur   9.000   9/25/2020   EUR   42.950
HSBC Trinkaus & Bur   4.100  12/28/2020   EUR   51.640
HSBC Trinkaus & Bur   4.400   7/24/2020   EUR   44.030
HSBC Trinkaus & Bur  11.400   9/25/2020   EUR   57.260
HSBC Trinkaus & Bur   5.200   9/25/2020   EUR   55.890
HSBC Trinkaus & Bur   3.000   7/24/2020   EUR   59.750
HSBC Trinkaus & Bur   8.200   9/25/2020   EUR   64.540
Leonteq Securities    9.000   09/01/2020  CHF   68.950
Deutsche Bank AG      4.200   6/23/2020   EUR   51.400
Deutsche Bank AG      4.200   6/23/2020   EUR   49.400
Deutsche Bank AG      4.200   9/22/2020   EUR   48.100
DekaBank Deutsche G   3.100   7/17/2020   EUR   43.940
UBS AG/London         7.000   8/27/2020   CHF   67.300
UBS AG/London         7.000   03/01/2021  CHF   70.650
Raiffeisen Centroba   9.507   9/23/2020   EUR   66.430
Deutsche Bank AG      4.200  12/22/2020   EUR   46.580
UniCredit Bank AG     3.600   7/18/2021   EUR   26.440
Landesbank Baden-Wu   4.000   6/26/2020   EUR   51.570
Deutsche Bank AG      4.200   6/23/2020   EUR   63.600
Landesbank Hessen-T   3.500   7/21/2021   EUR   66.170
Vontobel Financial    4.300   9/25/2020   EUR   64.710
DekaBank Deutsche G   2.100   7/17/2020   EUR   59.610
Credit Suisse AG/Lo   6.000   8/27/2020   CHF   52.590
DekaBank Deutsche G   3.300   7/17/2020   EUR   63.740
DekaBank Deutsche G   2.600   7/19/2021   EUR   69.960
Deutsche Bank AG      4.200  12/22/2020   EUR   57.930
Deutsche Bank AG      4.200  12/22/2020   EUR   73.300
Deutsche Bank AG      4.200  12/22/2020   EUR   55.630
Deutsche Bank AG      4.200   9/22/2020   EUR   60.490
EFG International F   7.400   07/06/2020  CHF   56.240
Skandinaviska Enski   5.110   7/20/2022   SEK   63.440
Leonteq Securities   16.200   06/04/2020  EUR   40.020
Deutsche Bank AG      4.200   9/22/2020   EUR   52.300
Deutsche Bank AG      4.200   6/23/2020   EUR   69.200
Deutsche Bank AG      4.200  12/22/2020   EUR   66.550
Deutsche Bank AG      4.200  12/22/2020   EUR   48.900
Deutsche Bank AG      4.200   6/23/2020   EUR   68.900
Deutsche Bank AG      4.200  12/22/2020   EUR   70.300
Landesbank Baden-Wu   3.000   7/23/2021   EUR   66.280
Raiffeisen Schweiz    6.000   09/01/2020  CHF   37.360
Skandinaviska Enski   8.200   7/15/2022   SEK   42.910
Raiffeisen Schweiz    5.500   6/22/2020   CHF   49.440
Raiffeisen Schweiz    8.800   03/01/2021  EUR   37.660
DekaBank Deutsche G   5.000   7/31/2020   EUR   39.740
Bayerische Landesba   2.200   7/16/2021   EUR   59.490
Landesbank Baden-Wu   3.800   2/26/2021   EUR   30.160
Landesbank Baden-Wu   3.200   2/26/2021   EUR   47.860
Leonteq Securities    7.000   01/04/2021  CHF   51.590
DekaBank Deutsche G   3.550   01/05/2022  EUR   58.050
UniCredit Bank AG     3.500   01/05/2021  EUR   29.940
UniCredit Bank AG     3.500   01/05/2021  EUR   26.450
UniCredit Bank AG     3.500   01/05/2021  EUR   36.120
UniCredit Bank AG     3.650   7/26/2022   EUR   72.840
UniCredit Bank AG     5.000   7/23/2021   EUR   46.320
UniCredit Bank AG     3.900   7/26/2022   EUR   69.570
UniCredit Bank AG     3.650   7/23/2022   EUR   71.640
Bayerische Landesba   2.000   1/28/2022   EUR   65.950
Bayerische Landesba   2.450   7/31/2020   EUR   53.340
Zurcher Kantonalban   6.250   07/03/2020  CHF   69.800
Bank Julius Baer &    3.930   6/29/2020   EUR   58.850
UniCredit Bank AG     8.900  12/29/2020   EUR   43.510
UniCredit Bank AG     7.900  12/29/2020   EUR   61.800
UniCredit Bank AG     6.200  12/29/2020   EUR   67.700
UniCredit Bank AG     6.700  12/29/2020   EUR   66.160
UniCredit Bank AG     6.300  12/29/2020   EUR   65.020
UniCredit Bank AG     6.800  12/29/2020   EUR   34.870
UniCredit Bank AG     8.200  12/29/2020   EUR   73.710
UniCredit Bank AG     6.300  12/29/2020   EUR   70.870
UniCredit Bank AG     8.300  12/29/2020   EUR   44.040
UniCredit Bank AG    10.100  12/29/2020   EUR   30.960
UniCredit Bank AG     7.300  12/29/2020   EUR   73.580
UniCredit Bank AG     7.900  12/29/2020   EUR   40.080
UniCredit Bank AG     9.100  12/29/2020   EUR   38.540
UniCredit Bank AG     6.800  12/29/2020   EUR   30.290
UniCredit Bank AG     6.900  12/29/2020   EUR   51.760
UniCredit Bank AG     6.900  12/29/2020   EUR   55.180
UniCredit Bank AG    10.600  12/29/2020   EUR   37.220
UniCredit Bank AG    11.200  12/29/2020   EUR   36.560
UniCredit Bank AG     6.200  12/29/2020   EUR   57.170
UniCredit Bank AG     6.600  12/29/2020   EUR   60.920
UniCredit Bank AG     7.500  12/29/2020   EUR   50.600
UniCredit Bank AG     9.500  12/29/2020   EUR   71.110
UniCredit Bank AG    10.100  12/29/2020   EUR   42.070
UniCredit Bank AG     9.500  12/29/2020   EUR   49.350
UniCredit Bank AG     9.900  12/29/2020   EUR   68.720
UniCredit Bank AG    10.000  12/29/2020   EUR   50.530
UniCredit Bank AG     7.500  12/29/2020   EUR   70.590
UniCredit Bank AG     6.600  12/29/2020   EUR   71.890
UniCredit Bank AG     7.300  12/29/2020   EUR   61.280
UniCredit Bank AG     6.400  12/29/2020   EUR   56.380
UniCredit Bank AG     6.600  12/29/2020   EUR   52.770
UniCredit Bank AG     6.500  12/29/2020   EUR   40.390
UniCredit Bank AG     7.200  12/29/2020   EUR   18.270
UniCredit Bank AG     7.300  12/29/2020   EUR   39.190
UniCredit Bank AG     8.700  12/29/2020   EUR   40.400
UniCredit Bank AG     8.000  12/29/2020   EUR   41.460
UniCredit Bank AG     6.100  12/29/2020   EUR   69.760
UniCredit Bank AG     9.100  12/29/2020   EUR   34.110
UniCredit Bank AG     8.200  12/29/2020   EUR   62.860
UniCredit Bank AG     9.400  12/29/2020   EUR   69.480
UniCredit Bank AG     7.000  12/29/2020   EUR   40.460
UniCredit Bank AG     8.300  12/29/2020   EUR   38.870
UniCredit Bank AG    10.100  12/29/2020   EUR   68.020
UniCredit Bank AG     7.200  12/29/2020   EUR   57.940
UniCredit Bank AG     9.500  12/29/2020   EUR   59.200
UniCredit Bank AG     6.300  12/29/2020   EUR   72.340
UniCredit Bank AG     7.100  12/29/2020   EUR   69.950
UBS AG/London         6.250   6/29/2020   CHF   39.800
UBS AG/London         7.500   6/29/2020   EUR   40.600
UBS AG/London         6.000  12/28/2020   CHF   42.700
Vontobel Financial    4.200   7/20/2020   EUR   58.090
Zurcher Kantonalban   6.500   07/03/2020  CHF   21.630
Credit Suisse AG/Na   7.250   07/06/2020  CHF   64.920
Leonteq Securities    6.000   07/06/2020  CHF   62.880
UBS AG/London         6.000   07/12/2021  EUR   70.900
Leonteq Securities    6.000   07/06/2020  CHF   65.640
Vontobel Financial    5.250   6/29/2020   EUR   68.810
Raiffeisen Schweiz    5.000   01/06/2021  CHF   62.650
Raiffeisen Schweiz    5.200   01/06/2021  CHF   44.030
Raiffeisen Schweiz    5.000   07/06/2020  CHF   65.510
Raiffeisen Schweiz    4.000   01/06/2022  CHF   57.030
Landesbank Baden-Wu   2.500   8/25/2023   EUR   59.930
Raiffeisen Centroba   9.674  12/23/2020   EUR
Raiffeisen Centroba  12.438  12/23/2020   EUR
UBS AG/London         7.000   7/19/2021   CHF   53.050
UBS AG/London        11.750   1/18/2021   CHF   60.400
Bank Julius Baer &   10.300   7/20/2020   EUR   62.100
Raiffeisen Centroba   8.182  12/22/2021   EUR   66.210
Raiffeisen Centroba   8.292  12/23/2020   EUR   65.710
EFG International F  16.200   01/12/2021  CHF   44.870
Leonteq Securities   11.200  10/22/2020   USD   48.850
Bank Julius Baer &    8.000  10/19/2020   CHF   70.250
Raiffeisen Schweiz    7.080   7/22/2020   EUR   56.640
Leonteq Securities   20.000  10/19/2020   CHF   60.200
Leonteq Securities    6.000   7/19/2021   CHF   66.450
Leonteq Securities    8.000   7/19/2021   CHF   40.420
Leonteq Securities    7.200   1/19/2022   CHF   73.220
SG Issuer SA          4.000  10/22/2029   EUR   72.760
SG Issuer SA          4.000   7/20/2021   SEK   63.050
UniCredit Bank AG     5.000   7/24/2021   EUR   74.360
DekaBank Deutsche G   3.000   1/18/2021   EUR   51.340
DekaBank Deutsche G   2.650   1/18/2021   EUR   71.060
UBS AG/London         6.250   6/21/2021   CHF   44.650
UBS AG/London         5.000   6/22/2020   CHF   70.600
UBS AG/London         6.000   6/22/2020   EUR   55.800
UBS AG/London         7.000   6/22/2020   EUR   72.950
EFG International F   5.000   07/05/2021  CHF   69.190
Landesbank Hessen-T   5.650   7/20/2023   EUR   66.360
Raiffeisen Schweiz    5.900   6/29/2020   CHF   67.610
Raiffeisen Schweiz    5.000  12/29/2021   CHF   55.780
UniCredit Bank AG     6.700   7/27/2021   USD   60.750
Credit Suisse AG/Na   7.200   07/05/2021  CHF   48.090
UniCredit Bank AG     4.300   7/26/2022   EUR   56.370
UniCredit Bank AG     5.000   7/26/2021   EUR   58.610
UniCredit Bank AG     4.200   7/26/2022   EUR   31.750
UniCredit Bank AG     3.600   7/26/2021   EUR   69.290
UniCredit Bank AG     4.450   7/23/2022   EUR   59.730
UniCredit Bank AG     4.150   7/26/2022   EUR   52.840
DekaBank Deutsche G   2.000   7/30/2021   EUR   57.440
Bayerische Landesba   2.600   7/30/2021   EUR   67.600
DekaBank Deutsche G   3.000   7/23/2021   EUR   62.250
UniCredit Bank AG     8.000  12/29/2020   EUR   47.790
UniCredit Bank AG     7.300  12/29/2020   EUR   54.640
UniCredit Bank AG     8.000  12/29/2020   EUR   60.770
UniCredit Bank AG     7.400  12/29/2020   EUR   34.280
UniCredit Bank AG     7.000  12/29/2020   EUR   68.710
UniCredit Bank AG     6.700  12/29/2020   EUR   47.980
UniCredit Bank AG     9.100  12/29/2020   EUR   38.930
UniCredit Bank AG     8.300  12/29/2020   EUR   55.930
UniCredit Bank AG     6.800  12/29/2020   EUR   59.240
UniCredit Bank AG     6.000  12/29/2020   EUR   43.250
UniCredit Bank AG     8.400  12/29/2020   EUR   28.340
UniCredit Bank AG     9.200  12/29/2020   EUR   27.860
UniCredit Bank AG     6.700  12/29/2020   EUR   37.030
UniCredit Bank AG     8.500  12/29/2020   EUR   32.540
UniCredit Bank AG     6.500  12/29/2020   EUR   76.260
UniCredit Bank AG     6.800  12/29/2020   EUR   34.540
UniCredit Bank AG     7.400  12/29/2020   EUR   33.430
UniCredit Bank AG     6.100  12/29/2020   EUR   31.070
UniCredit Bank AG     6.000  12/29/2020   EUR   54.100
UniCredit Bank AG     6.600  12/29/2020   EUR   27.650
UniCredit Bank AG     9.300  12/29/2020   EUR   26.200
UniCredit Bank AG     9.400  12/29/2020   EUR   27.400
UniCredit Bank AG     7.200  12/29/2020   EUR   28.320
UniCredit Bank AG    14.800  12/29/2020   EUR   11.890
UniCredit Bank AG     6.500  12/29/2020   EUR   68.140
UniCredit Bank AG     9.300  12/29/2020   EUR   60.230
UniCredit Bank AG     8.300  12/29/2020   EUR   60.750
UniCredit Bank AG    10.000  12/29/2020   EUR   69.680
UniCredit Bank AG    11.900  12/29/2020   EUR   64.490
UniCredit Bank AG     9.900  12/29/2020   EUR   47.390
UniCredit Bank AG     9.000  12/29/2020   EUR   55.120
UniCredit Bank AG     6.900  12/29/2020   EUR   49.430
UniCredit Bank AG     7.800  12/29/2020   EUR   53.600
UniCredit Bank AG    10.700  12/29/2020   EUR   71.170
UniCredit Bank AG     8.200  12/29/2020   EUR   43.860
UniCredit Bank AG    10.800  12/29/2020   EUR   41.280
UniCredit Bank AG     6.300  12/29/2020   EUR   57.070
UniCredit Bank AG     8.700  12/29/2020   EUR   67.550
UniCredit Bank AG    10.500  12/29/2020   EUR   62.110
UniCredit Bank AG     7.400  12/29/2020   EUR   54.610
UniCredit Bank AG     6.700  12/29/2020   EUR   62.900
UniCredit Bank AG     8.200  12/29/2020   EUR   37.140
UniCredit Bank AG     7.800  12/29/2020   EUR   51.700
UniCredit Bank AG     8.800  12/29/2020   EUR   49.920
UniCredit Bank AG     8.200  12/29/2020   EUR   65.570
UniCredit Bank AG     6.600  12/29/2020   EUR   65.730
UniCredit Bank AG     7.500  12/29/2020   EUR   38.030
UniCredit Bank AG     6.700  12/29/2020   EUR   59.420
UniCredit Bank AG     8.200  12/29/2020   EUR   61.990
UniCredit Bank AG     8.400  12/29/2020   EUR   51.780
UniCredit Bank AG     9.500  12/29/2020   EUR   49.820
UniCredit Bank AG     9.400  12/29/2020   EUR   72.740
UniCredit Bank AG    12.100  12/29/2020   EUR   56.060
UniCredit Bank AG     7.800  12/29/2020   EUR   48.960
UniCredit Bank AG     6.400  12/29/2020   EUR   51.830
UniCredit Bank AG    10.900  12/29/2020   EUR   58.740
UniCredit Bank AG     7.800  12/29/2020   EUR   53.430
UniCredit Bank AG     8.100  12/29/2020   EUR   69.780
UniCredit Bank AG     8.100  12/29/2020   EUR   49.880
UniCredit Bank AG     6.900  12/29/2020   EUR   73.300
UniCredit Bank AG     6.500  12/29/2020   EUR   18.430
UniCredit Bank AG    10.700  12/29/2020   EUR   32.420
UniCredit Bank AG    10.900  12/29/2020   EUR   64.870
UniCredit Bank AG     9.700  12/29/2020   EUR   68.020
UniCredit Bank AG    12.000  12/29/2020   EUR   47.440
UniCredit Bank AG    10.100  12/29/2020   EUR   47.600
UniCredit Bank AG     7.200  12/29/2020   EUR   65.270
UniCredit Bank AG     9.000  12/29/2020   EUR   29.360
UniCredit Bank AG     8.000  12/29/2020   EUR   50.420
UniCredit Bank AG     7.900  12/29/2020   EUR   30.220
Landesbank Hessen-T   3.600   7/27/2022   EUR   63.060
UBS AG/London         7.000   6/22/2020   CHF   71.700
UBS AG/London         6.000   6/29/2020   CHF   49.450
Leonteq Securities   17.000   10/12/2020  CHF   60.420
Leonteq Securities    6.500   07/12/2021  CHF   69.040
Leonteq Securities    6.000   07/12/2021  CHF   71.770
Vontobel Financial    6.250   7/15/2020   EUR   59.630
Societe Generale Ef   7.650   6/26/2020   EUR   72.160
UniCredit Bank AG    10.800  12/28/2020   EUR   48.810
UniCredit Bank AG    10.200  12/28/2020   EUR   73.770
UniCredit Bank AG     9.300  12/28/2020   EUR   57.130
UniCredit Bank AG    11.500  12/28/2020   EUR   65.880
UniCredit Bank AG     7.250   8/16/2022   EUR   66.100
Raiffeisen Schweiz    7.100   01/12/2021  CHF   67.330
Raiffeisen Schweiz    5.000   01/12/2022  CHF   64.960
UniCredit Bank AG     4.100   6/25/2021   EUR   58.140
UniCredit Bank AG     8.400   6/26/2020   EUR   58.330
UniCredit Bank AG    14.500   6/26/2020   EUR   64.660
Vontobel Financial    7.000   6/26/2020   EUR   67.560
UniCredit Bank AG     5.400  12/24/2021   EUR   54.460
UniCredit Bank AG     6.300  12/24/2021   EUR   68.820
UniCredit Bank AG     8.200  12/24/2021   EUR   69.310
UniCredit Bank AG     4.800  12/24/2021   EUR   72.180
UniCredit Bank AG     4.700  12/24/2021   EUR   65.930
UniCredit Bank AG     7.500  12/24/2021   EUR   44.720
UniCredit Bank AG     7.900  12/24/2021   EUR   72.130
UniCredit Bank AG     7.600  12/24/2021   EUR   65.750
UniCredit Bank AG     4.100  12/24/2021   EUR   49.090
UniCredit Bank AG     7.700  12/24/2021   EUR   60.450
UniCredit Bank AG     5.800  12/24/2021   EUR   63.210
UniCredit Bank AG     8.600   6/26/2020   EUR   48.520
UniCredit Bank AG     5.500   6/26/2020   EUR   52.650
UniCredit Bank AG    14.400   6/26/2020   EUR   43.620
UniCredit Bank AG    12.600   6/26/2020   EUR   68.380
UniCredit Bank AG     5.300   6/26/2020   EUR   71.020
UniCredit Bank AG     6.100  12/24/2021   EUR   71.850
UniCredit Bank AG     5.300  12/24/2021   EUR   64.590
UniCredit Bank AG     8.300  12/24/2021   EUR   59.710
UniCredit Bank AG     6.900  12/24/2021   EUR   73.280
UniCredit Bank AG     9.600  12/24/2021   EUR   58.690
UniCredit Bank AG     5.600   6/25/2021   EUR   55.400
UniCredit Bank AG    11.600  12/24/2021   EUR   62.570
UniCredit Bank AG     6.000   6/25/2021   EUR   52.590
UniCredit Bank AG     7.500   6/25/2021   EUR   51.000
UniCredit Bank AG     7.000   6/25/2021   EUR   67.880
UniCredit Bank AG    11.100   6/25/2021   EUR   72.230
UniCredit Bank AG    12.100  12/28/2020   EUR   48.040
UniCredit Bank AG    11.600  12/28/2020   EUR   61.380
UniCredit Bank AG     7.500  12/28/2020   EUR   68.780
UniCredit Bank AG     5.100   6/25/2021   EUR   64.850
UniCredit Bank AG     8.200   6/25/2021   EUR   59.290
UniCredit Bank AG    11.400   6/25/2021   EUR   56.000
UniCredit Bank AG     7.900   6/25/2021   EUR   65.260
UniCredit Bank AG     9.000   6/25/2021   EUR   63.980
UniCredit Bank AG     6.800   6/25/2021   EUR   66.630
UniCredit Bank AG     8.500   6/25/2021   EUR   64.640
UniCredit Bank AG    13.600   6/25/2021   EUR   59.950
UniCredit Bank AG    10.100   6/25/2021   EUR   41.980
UniCredit Bank AG     4.400   6/25/2021   EUR   47.610
UniCredit Bank AG     5.400   6/25/2021   EUR   45.700
UniCredit Bank AG     7.600   6/25/2021   EUR   43.140
UniCredit Bank AG     8.900  12/24/2021   EUR   51.710
UniCredit Bank AG     4.400  12/24/2021   EUR   56.410
UniCredit Bank AG     7.400  12/24/2021   EUR   66.620
UniCredit Bank AG     6.500   6/25/2021   EUR   69.950
UniCredit Bank AG     7.000   6/26/2020   EUR   50.490
UniCredit Bank AG    14.500   6/26/2020   EUR   68.970
UniCredit Bank AG     7.200   6/26/2020   EUR   48.100
UniCredit Bank AG    15.600   6/26/2020   EUR   67.350
UniCredit Bank AG    10.500   6/26/2020   EUR   36.430
UniCredit Bank AG    10.000   6/26/2020   EUR   55.820
UniCredit Bank AG     7.700  12/24/2021   EUR   54.250
UniCredit Bank AG    19.000   6/26/2020   EUR   46.270
UniCredit Bank AG     7.900   6/25/2021   EUR   68.010
UniCredit Bank AG     6.400  12/24/2021   EUR   55.380
DekaBank Deutsche G   3.000   7/31/2020   EUR   46.920
Landesbank Baden-Wu   3.000   6/25/2021   EUR   64.480
Landesbank Baden-Wu   4.000   7/24/2020   EUR   54.510
Landesbank Baden-Wu   2.000   7/24/2020   EUR   61.270
Landesbank Baden-Wu   4.000   7/24/2020   EUR   55.000
Landesbank Baden-Wu   5.000   7/24/2020   EUR   52.750
Landesbank Baden-Wu   5.000   7/24/2020   EUR   33.880
Landesbank Baden-Wu   5.000   7/24/2020   EUR   70.900
Landesbank Baden-Wu   4.500   7/24/2020   EUR   68.080
Landesbank Baden-Wu   2.000   7/24/2020   EUR   65.300
Landesbank Baden-Wu   3.500   7/24/2020   EUR   55.360
Landesbank Baden-Wu   5.000   7/24/2020   EUR   49.470
Landesbank Baden-Wu   6.500   7/24/2020   EUR   44.800
Landesbank Baden-Wu   2.000   7/24/2020   EUR   54.690
Landesbank Baden-Wu   3.000   7/24/2020   EUR   50.620
Landesbank Baden-Wu   4.000   7/24/2020   EUR   47.880
Landesbank Baden-Wu   2.000   7/24/2020   EUR   56.840
Landesbank Baden-Wu   5.000   7/24/2020   EUR   46.980
Landesbank Baden-Wu   2.000   7/24/2020   EUR   70.810
Landesbank Baden-Wu   3.000   7/24/2020   EUR   66.070
Landesbank Baden-Wu   4.000   7/24/2020   EUR   62.800
Landesbank Baden-Wu   5.000   7/24/2020   EUR   59.920
Landesbank Baden-Wu   4.000   7/24/2020   EUR   69.300
Landesbank Baden-Wu   5.000   7/24/2020   EUR   65.800
Landesbank Baden-Wu   2.000   7/24/2020   EUR   41.080
Landesbank Baden-Wu   6.500   7/24/2020   EUR   44.510
Landesbank Baden-Wu   3.000   7/24/2020   EUR   70.980
Landesbank Baden-Wu   4.000   7/24/2020   EUR   66.780
Landesbank Baden-Wu   5.000   7/24/2020   EUR   28.650
Landesbank Baden-Wu   2.000   7/24/2020   EUR   60.610
Landesbank Baden-Wu   2.500   7/24/2020   EUR   18.900
Landesbank Baden-Wu   4.000   7/24/2020   EUR   17.040
Landesbank Baden-Wu   4.500   7/24/2020   EUR   37.260
Landesbank Baden-Wu   2.000   7/24/2020   EUR   60.830
Landesbank Baden-Wu   2.000   7/24/2020   EUR   67.470
Landesbank Baden-Wu   4.000   7/24/2020   EUR   58.150
Landesbank Baden-Wu   4.500   7/24/2020   EUR   73.290
Landesbank Baden-Wu   6.000   7/24/2020   EUR   67.650
Landesbank Hessen-T   6.150   8/25/2022   EUR   64.880
Landesbank Baden-Wu   2.850   8/28/2020   EUR   62.180
Landesbank Baden-Wu   3.500   8/28/2020   EUR   62.190
Landesbank Baden-Wu   3.250   8/28/2020   EUR   62.050
Landesbank Baden-Wu   4.450   8/28/2020   EUR   27.990
Corner Banca SA       8.000   08/10/2020  CHF   54.000
Bayerische Landesba   2.100   8/28/2020   EUR   68.560
Bayerische Landesba   2.300   8/28/2020   EUR   69.720
Bayerische Landesba   2.500   8/28/2020   EUR   65.700
UniCredit Bank AG     3.750   8/23/2021   EUR   39.830
Landesbank Hessen-T   3.500   09/01/2021  EUR   65.840
Leonteq Securities    5.200   08/04/2020  EUR   65.040
Landesbank Baden-Wu   2.850   7/22/2022   EUR   65.060
Societe Generale Ef   3.825   6/26/2020   EUR   70.680
Societe Generale Ef  10.241  12/28/2020   EUR   68.870
Societe Generale Ef  24.419   6/25/2021   EUR   54.630
UniCredit Bank AG     6.900  12/24/2021   EUR   68.750
UniCredit Bank AG     9.000  12/24/2021   EUR   64.580
UniCredit Bank AG     5.800  12/24/2021   EUR   70.460
UniCredit Bank AG     8.000  12/24/2021   EUR   67.840
UniCredit Bank AG    10.200  12/24/2021   EUR   65.930
UniCredit Bank AG     7.100  12/24/2021   EUR   61.300
UniCredit Bank AG     7.200  12/24/2021   EUR   66.270
UniCredit Bank AG     6.300  12/24/2021   EUR   67.260
UniCredit Bank AG     8.500  12/24/2021   EUR   64.880
UniCredit Bank AG     8.100  12/24/2021   EUR   65.390
UniCredit Bank AG     8.200   6/25/2021   EUR   52.690
UniCredit Bank AG    10.900   6/25/2021   EUR   72.630
UniCredit Bank AG    11.100  12/28/2020   EUR   72.930
UniCredit Bank AG     6.200  12/28/2020   EUR   69.190
UniCredit Bank AG     9.800   6/25/2021   EUR   57.420
UniCredit Bank AG     7.400   6/25/2021   EUR   60.430
UniCredit Bank AG    10.200   6/25/2021   EUR   62.860
UniCredit Bank AG    10.700   6/25/2021   EUR   62.230
UniCredit Bank AG    12.500   6/25/2021   EUR   60.850
UniCredit Bank AG     7.000   6/25/2021   EUR   70.140
UniCredit Bank AG    13.400   6/26/2020   EUR   51.480
UniCredit Bank AG    16.600   6/26/2020   EUR   42.250
UniCredit Bank AG    10.400   6/26/2020   EUR   46.740
UniCredit Bank AG    10.800   6/26/2020   EUR   71.160
UniCredit Bank AG     8.400  12/24/2021   EUR   53.910
UniCredit Bank AG    13.300   6/26/2020   EUR   34.540
UniCredit Bank AG     9.200   6/25/2021   EUR   66.160
UniCredit Bank AG     8.400   6/25/2021   EUR   68.430
UniCredit Bank AG    18.400   6/26/2020   EUR   71.190
UniCredit Bank AG    11.600   6/26/2020   EUR   71.720
UniCredit Bank AG     4.800   6/26/2020   EUR   51.890
UniCredit Bank AG    14.000   6/26/2020   EUR   55.370
UniCredit Bank AG    14.800   6/26/2020   EUR   65.950
UniCredit Bank AG    16.100   6/26/2020   EUR   59.630
UniCredit Bank AG    15.400   6/26/2020   EUR   58.820
UniCredit Bank AG    12.100   6/25/2021   EUR   63.440
DZ Bank AG Deutsche  12.250   7/22/2020   EUR   44.530
Raiffeisen Centroba   6.992   6/23/2020   EUR   70.010
Raiffeisen Centroba   7.757   6/23/2020   EUR   52.150
EFG International F   6.800   9/14/2020   CHF   51.400
DekaBank Deutsche G   7.250   04/01/2021  EUR   51.940
UBS AG/London        10.000   8/31/2020   CHF   36.050
UBS AG/London         9.000   8/31/2020   CHF   57.800
UBS AG/London         7.000   8/31/2020   EUR   47.850
Leonteq Securities    8.000   09/07/2020  EUR   56.060
Corner Banca SA       6.400   09/07/2021  CHF   53.790
EFG International F   7.200   9/13/2021   CHF   66.450
Raiffeisen Switzerl   4.440   4/19/2021   EUR   47.730
DekaBank Deutsche G   2.300   9/24/2021   EUR   49.330
Vontobel Financial    3.300   09/04/2020  EUR   68.850
Landesbank Baden-Wu   2.800   7/24/2020   EUR   58.480
UniCredit Bank AG     3.700   5/28/2021   EUR   52.210
Skandinaviska Enski   6.900   7/15/2022   SEK   44.420
Leonteq Securities    7.400   11/03/2020  CHF   55.650
EFG International F   7.000   11/09/2020  EUR   61.340
Commerzbank AG        1.000   11/02/2020  USD    6.480
Landesbank Hessen-T   3.000   06/04/2021  EUR   49.900
Landesbank Hessen-T   4.000   06/04/2021  EUR   52.200
DekaBank Deutsche G   3.000   6/26/2020   EUR   54.470
Landesbank Baden-Wu   3.000  12/29/2020   EUR   48.920
Landesbank Hessen-T   5.200   01/08/2024  EUR   33.960
UniCredit Bank AG     4.200  11/21/2021   EUR   48.150
UniCredit Bank AG     3.700  11/21/2021   EUR   56.530
UniCredit Bank AG     4.350  11/21/2021   EUR   53.110
Landesbank Hessen-T   3.000  11/24/2022   EUR   68.320
Landesbank Hessen-T   5.000   9/21/2023   EUR   42.140
EFG International F   7.000   11/02/2020  CHF   50.000
EFG International F   7.200   11/02/2020  EUR   36.830
Landesbank Baden-Wu   2.650   9/22/2023   EUR   63.030
Raiffeisen Centroba   6.000   10/09/2020  EUR   61.380
Raiffeisen Centroba   5.500   10/09/2020  EUR   34.430
Raiffeisen Centroba   7.000   10/09/2020  EUR   57.650
Raiffeisen Centroba   6.500   10/09/2020  EUR   53.290
Raiffeisen Centroba   7.000   10/09/2020  EUR   70.890
Zurcher Kantonalban   5.500   11/03/2020  CHF   55.420
Landesbank Hessen-T   2.200  11/24/2020   EUR   27.420
Bayerische Landesba   2.100   10/09/2020  EUR   59.240
UBS AG/London         9.000   8/24/2020   EUR   44.100
UBS AG/London        10.000   8/24/2020   CHF   35.950
Landesbank Baden-Wu   2.550  12/27/2021   EUR   66.670
UBS AG/London         7.250   8/31/2020   CHF   25.900
UBS AG/London         6.250   8/31/2020   CHF   64.400
UBS AG/London         8.000   03/01/2021  USD   49.120
UniCredit Bank AG     4.850   11/01/2020  EUR   67.030
Leonteq Securities    6.000   09/07/2020  CHF   42.200
Landesbank Baden-Wu   3.000  12/29/2020   EUR   57.160
Raiffeisen Schweiz    6.200   09/10/2020  EUR   60.590
DekaBank Deutsche G   2.300  11/13/2020   EUR   49.480
Leonteq Securities    7.000  10/26/2020   EUR   51.570
Leonteq Securities    6.000   8/31/2020   CHF   68.850
Leonteq Securities    5.000  10/27/2020   CHF   50.670
DekaBank Deutsche G   3.400   3/26/2021   EUR   60.820
Landesbank Hessen-T   4.000  11/24/2021   EUR   36.120
UBS AG/London        10.500   8/31/2020   EUR   32.800
Landesbank Hessen-T   5.450  11/17/2022   EUR   42.380
Landesbank Hessen-T   8.600  11/17/2022   EUR   45.560
UniCredit Bank AG     3.800   8/30/2023   EUR   43.910
Landesbank Baden-Wu   3.500  12/29/2020   EUR   66.240
Landesbank Baden-Wu   3.600  12/29/2020   EUR   47.460
Landesbank Baden-Wu   4.400  12/29/2020   EUR   30.900
Vontobel Financial    3.800   8/31/2021   EUR   70.830
Societe Generale Ef   8.438   9/25/2020   EUR   65.770
Societe Generale Ef  29.303   6/25/2021   EUR   59.100
Raiffeisen Schweiz    6.000   8/19/2020   CHF   49.740
UniCredit Bank AG     6.400   03/05/2021  EUR   26.880
Leonteq Securities    7.000   02/12/2021  CHF   49.600
Landesbank Baden-Wu   2.600   4/25/2022   EUR   62.620
Landesbank Hessen-T   5.550   3/16/2023   EUR   35.930
Societe Generale Ef   8.263   7/24/2020   EUR   70.390
Societe Generale Ef  11.721   6/25/2021   EUR   68.540
Leonteq Securities    9.000   10/12/2020  CHF   60.830
Leonteq Securities    5.600   07/12/2022  CHF   71.960
Leonteq Securities   16.800  10/15/2020   USD   41.760
Leonteq Securities    8.600   07/12/2021  EUR   49.040
Societe Generale Ef   4.822   9/25/2020   EUR   58.020
Societe Generale Ef  18.082   9/25/2020   EUR   45.120
Societe Generale Ef  14.630  12/28/2020   EUR   69.950
UniCredit Bank AG     7.900  12/28/2020   EUR   66.240
UniCredit Bank AG     7.200  12/28/2020   EUR   60.350
UniCredit Bank AG     8.300  12/28/2020   EUR   67.810
UniCredit Bank AG    16.200  12/28/2020   EUR   58.710
Raiffeisen Schweiz    7.100   07/12/2021  EUR   59.370
UniCredit Bank AG    17.000  12/28/2020   EUR   57.970
UniCredit Bank AG    12.300   6/26/2020   EUR   62.450
UniCredit Bank AG    16.200   6/26/2020   EUR   32.880
UniCredit Bank AG     5.600   6/26/2020   EUR   64.180
UniCredit Bank AG     8.700   6/26/2020   EUR   67.340
UniCredit Bank AG     9.100  12/24/2021   EUR   66.790
UniCredit Bank AG     8.900  12/24/2021   EUR   59.080
UniCredit Bank AG     6.800  12/24/2021   EUR   66.840
UniCredit Bank AG    10.200  12/28/2020   EUR   39.010
UniCredit Bank AG     8.200  12/28/2020   EUR   58.630
UniCredit Bank AG    13.100   6/26/2020   EUR   70.320
UniCredit Bank AG    10.300   6/26/2020   EUR   73.200
UniCredit Bank AG    16.000   6/26/2020   EUR   67.700
UniCredit Bank AG    13.600   6/26/2020   EUR   69.760
UniCredit Bank AG    17.000   6/26/2020   EUR   63.700
UniCredit Bank AG     6.500  12/24/2021   EUR   62.270
UniCredit Bank AG     6.600  12/24/2021   EUR   45.310
UniCredit Bank AG     7.300   6/25/2021   EUR   53.430
UniCredit Bank AG     6.400   6/25/2021   EUR   54.290
UniCredit Bank AG     4.800   6/25/2021   EUR   56.640
UniCredit Bank AG    10.000   6/25/2021   EUR   51.550
UniCredit Bank AG     9.100   6/25/2021   EUR   52.070
UniCredit Bank AG    11.600   6/25/2021   EUR   61.360
UniCredit Bank AG    10.000   6/25/2021   EUR   73.620
UniCredit Bank AG     5.600   6/25/2021   EUR   71.010
UniCredit Bank AG     4.700   6/25/2021   EUR   54.870
UniCredit Bank AG     8.500   6/25/2021   EUR   65.250
UniCredit Bank AG    10.000   6/25/2021   EUR   63.040
UniCredit Bank AG    10.100   6/25/2021   EUR   73.150
UniCredit Bank AG     6.200  12/28/2020   EUR   62.230
UniCredit Bank AG     5.900   6/25/2021   EUR   63.270
UniCredit Bank AG     6.600   6/25/2021   EUR   61.720
UniCredit Bank AG     9.000   6/25/2021   EUR   58.290
UniCredit Bank AG     7.400   6/25/2021   EUR   66.010
UniCredit Bank AG     9.600   6/25/2021   EUR   63.380
UniCredit Bank AG    11.300   6/25/2021   EUR   61.750
UniCredit Bank AG    11.900   6/25/2021   EUR   61.280
Credit Suisse AG/Lo   4.500   07/12/2021  EUR   63.520
DZ Bank AG Deutsche   6.000   7/22/2020   EUR   36.610
DZ Bank AG Deutsche  10.500   9/23/2020   EUR   61.350
DZ Bank AG Deutsche   9.000   9/23/2020   EUR   74.330
Raiffeisen Centroba   9.674  12/23/2020   EUR
Raiffeisen Centroba  12.438  12/23/2020   EUR
UBS AG/London        14.250   7/19/2021   USD   52.440
UBS AG/London         5.250   7/19/2021   CHF   64.400
UBS AG/London        15.000   7/17/2020   CHF   52.850
UBS AG/London        13.250   7/17/2020   USD   51.290
Zurcher Kantonalban   7.750   7/23/2021   EUR   63.130
Zurcher Kantonalban   7.500   7/23/2021   CHF   62.900
Societe Generale Ef  12.500   7/24/2020   EUR   65.380
DZ Bank AG Deutsche   7.000   7/22/2020   EUR   70.040
DZ Bank AG Deutsche  10.750   7/22/2020   EUR   65.620
DZ Bank AG Deutsche   9.750   6/24/2020   EUR   69.310
DZ Bank AG Deutsche   8.000   9/23/2020   EUR   70.290
DZ Bank AG Deutsche   7.750   6/24/2020   EUR   66.200
UniCredit Bank AG     9.800   6/25/2021   EUR   66.970
UniCredit Bank AG     5.200   6/25/2021   EUR   72.150
UniCredit Bank AG    11.700   6/26/2020   EUR   72.370
UniCredit Bank AG     6.900   6/26/2020   EUR   61.100
UniCredit Bank AG    15.700   6/26/2020   EUR   62.710
UniCredit Bank AG     5.100  12/24/2021   EUR   56.960
UniCredit Bank AG     5.700  12/24/2021   EUR   56.030
UniCredit Bank AG    12.300   6/26/2020   EUR   45.100
UniCredit Bank AG     6.900   6/26/2020   EUR   71.460
UniCredit Bank AG    14.700   6/26/2020   EUR   61.780
UniCredit Bank AG    10.700   6/25/2021   EUR   64.740
UniCredit Bank AG     7.000  12/24/2021   EUR   54.690
Credit Suisse AG/Lo   5.750   01/10/2022  CHF   68.470
Zurcher Kantonalban   7.250   7/23/2021   USD   59.690
Zurcher Kantonalban   5.000   7/23/2021   EUR   55.370
Bank Julius Baer &   11.800   7/16/2020   USD   53.300
DZ Bank AG Deutsche   6.500   7/22/2020   EUR   62.590
DZ Bank AG Deutsche  13.000   7/22/2020   EUR   57.220
DZ Bank AG Deutsche   7.250   9/23/2020   EUR   67.610
Landesbank Hessen-T   6.400   03/09/2023  EUR   64.440
UniCredit Bank AG     5.350   03/05/2021  EUR   72.270
UniCredit Bank AG     3.750   03/05/2021  EUR   61.190
Landesbank Baden-Wu   2.810   3/24/2023   EUR   56.880
Leonteq Securities    4.230   07/12/2021  CHF   64.620
EFG International F  18.400   01/12/2021  USD   45.980
Societe Generale Ef   9.644   9/25/2020   EUR   73.590
Societe Generale Ef   8.778  12/28/2020   EUR   73.230
Societe Generale Ef  17.582   6/25/2021   EUR   71.300
UniCredit Bank AG     4.700  12/28/2020   EUR   72.460
UniCredit Bank AG    13.600  12/28/2020   EUR   59.490
UniCredit Bank AG     5.300  12/28/2020   EUR   64.340
UniCredit Bank AG    11.500  12/28/2020   EUR   54.550
UniCredit Bank AG    15.400  12/28/2020   EUR   59.480
UniCredit Bank AG    10.400  12/28/2020   EUR   55.770
UniCredit Bank AG    13.900  12/28/2020   EUR   52.560
UniCredit Bank AG     7.100   6/26/2020   EUR   69.940
UniCredit Bank AG    18.800   6/26/2020   EUR   55.670
UniCredit Bank AG     9.400   6/26/2020   EUR   66.620
UniCredit Bank AG    11.600   6/26/2020   EUR   53.540
UniCredit Bank AG     4.300   6/26/2020   EUR   74.380
UniCredit Bank AG     4.300   6/26/2020   EUR   44.220
UniCredit Bank AG    15.200   6/26/2020   EUR   49.590
UniCredit Bank AG    19.800   6/26/2020   EUR   57.520
UniCredit Bank AG     9.700   6/26/2020   EUR   73.520
Vontobel Financial    9.000   6/26/2020   EUR   66.460
Landesbank Baden-Wu   3.950   8/27/2021   EUR   54.550
Leonteq Securities    7.400   05/12/2021  CHF   58.620
Corner Banca SA       6.200   11/09/2021  CHF   72.970
Landesbank Baden-Wu   3.400  11/25/2022   EUR   56.330
Landesbank Baden-Wu   3.400   1/27/2023   EUR   60.100
UniCredit Bank AG     3.750  12/21/2021   EUR   43.960
UBS AG/London         7.000  11/16/2020   CHF   69.850
UBS AG/London         8.000  11/16/2020   CHF   29.400
UBS AG/London         7.000  10/30/2020   EUR   41.650
Raiffeisen Centroba   5.800  11/19/2020   EUR   61.530
Raiffeisen Centroba   4.500  11/19/2020   EUR   46.800
Zurcher Kantonalban   6.117  11/20/2020   CHF   64.690
DekaBank Deutsche G   3.800   12/04/2020  EUR   66.300
Raiffeisen Schweiz    7.000  11/30/2020   CHF   66.190
Skandinaviska Enski   8.200   1/15/2024   SEK   50.520
Banque Cantonale Va   6.500   06/05/2020  CHF   56.780
Landesbank Baden-Wu   2.000   7/24/2020   EUR   64.940
Landesbank Baden-Wu   3.500   7/24/2020   EUR   59.760
Landesbank Baden-Wu   5.000   7/24/2020   EUR   56.490
Landesbank Baden-Wu   2.000   7/24/2020   EUR   52.630
Landesbank Baden-Wu   3.500   7/24/2020   EUR   46.920
Landesbank Baden-Wu   5.000   7/24/2020   EUR   43.120
Landesbank Baden-Wu   2.500   7/24/2020   EUR   55.840
Landesbank Baden-Wu   5.000   7/24/2020   EUR   47.440
Landesbank Baden-Wu   6.000   7/24/2020   EUR   74.470
Landesbank Baden-Wu   2.500   7/24/2020   EUR   66.310
Landesbank Baden-Wu   4.000   7/24/2020   EUR   59.360
Landesbank Baden-Wu   5.500   7/24/2020   EUR   55.570
Landesbank Baden-Wu   3.500   7/24/2020   EUR   70.570
Landesbank Baden-Wu   3.000   7/24/2020   EUR   61.580
Landesbank Baden-Wu   4.500   7/24/2020   EUR   54.730
Landesbank Baden-Wu   6.000   7/24/2020   EUR   51.080
Landesbank Baden-Wu   2.000   7/24/2020   EUR   67.090
Landesbank Baden-Wu   3.500   7/24/2020   EUR   61.320
Landesbank Baden-Wu   2.000   7/24/2020   EUR   53.090
Landesbank Baden-Wu   4.000   7/24/2020   EUR   45.570
Landesbank Baden-Wu   5.500   7/24/2020   EUR   42.680
Landesbank Baden-Wu   5.500   7/24/2020   EUR   72.500
Landesbank Baden-Wu   3.500   7/24/2020   EUR   74.370
Landesbank Baden-Wu   5.000   7/24/2020   EUR   69.680
Landesbank Baden-Wu   2.000   7/24/2020   EUR   59.910
Landesbank Baden-Wu   3.500   7/24/2020   EUR   53.690
Landesbank Baden-Wu   5.000   7/24/2020   EUR   49.590
Landesbank Baden-Wu   3.500   7/24/2020   EUR   65.170
Landesbank Baden-Wu   5.000   7/24/2020   EUR   62.000
Landesbank Baden-Wu   4.000   7/24/2020   EUR   71.030
Landesbank Baden-Wu   3.000   7/24/2020   EUR   55.880
Landesbank Baden-Wu   5.500   7/24/2020   EUR   47.240
Landesbank Baden-Wu   3.000   7/24/2020   EUR   58.640
Landesbank Baden-Wu   5.500   7/24/2020   EUR   72.920
Landesbank Baden-Wu   2.000   7/24/2020   EUR   71.490
Landesbank Baden-Wu   4.000   7/24/2020   EUR   63.080
Landesbank Baden-Wu   2.000   7/24/2020   EUR   52.600
Landesbank Baden-Wu   3.500   7/24/2020   EUR   45.690
Landesbank Baden-Wu   5.000   7/24/2020   EUR   41.350
Landesbank Baden-Wu   2.500   7/24/2020   EUR   42.130
Landesbank Baden-Wu   5.000   7/24/2020   EUR   35.280
Landesbank Baden-Wu   7.000   7/24/2020   EUR   32.590
Landesbank Baden-Wu   6.000   7/24/2020   EUR   73.400
Landesbank Baden-Wu   8.000   7/24/2020   EUR   67.420
Landesbank Baden-Wu   2.000   7/24/2020   EUR   67.790
Landesbank Baden-Wu   3.000   7/24/2020   EUR   63.870
Landesbank Baden-Wu   4.500   7/24/2020   EUR   59.380
UBS AG/London         7.100   9/24/2020   EUR   46.120
UBS AG/London         7.100   9/24/2020   EUR   47.830
UBS AG/London         7.400   6/25/2020   EUR   50.420
HSBC Trinkaus & Bur   2.800   6/26/2020   EUR   62.320
HSBC Trinkaus & Bur   3.000   6/26/2020   EUR   56.860
Landesbank Baden-Wu   3.500  10/23/2020   EUR   57.030
Landesbank Baden-Wu   6.000  10/23/2020   EUR   49.100
Landesbank Baden-Wu   5.000  10/23/2020   EUR   71.020
Landesbank Baden-Wu   5.500  10/23/2020   EUR   71.930
Landesbank Baden-Wu   4.000  10/23/2020   EUR   65.920
Landesbank Baden-Wu   3.000  10/23/2020   EUR   52.990
Landesbank Baden-Wu   5.000  10/23/2020   EUR   45.890
Landesbank Baden-Wu   4.500  10/23/2020   EUR   65.410
Landesbank Baden-Wu   2.500  10/23/2020   EUR   65.500
Landesbank Baden-Wu   3.000  10/23/2020   EUR   45.840
Landesbank Baden-Wu   2.500  10/23/2020   EUR   37.620
Landesbank Baden-Wu   3.000   7/23/2021   EUR   63.960
Landesbank Baden-Wu   5.000   7/23/2021   EUR   58.510
Landesbank Baden-Wu   4.000  10/23/2020   EUR   55.780
Landesbank Baden-Wu   3.000  10/23/2020   EUR   39.730
Landesbank Baden-Wu   5.000  10/23/2020   EUR   62.990
Landesbank Baden-Wu   3.000   7/23/2021   EUR   45.270
EFG International F   7.000   11/01/2021  CHF   63.650
UBS AG/London         9.000  10/19/2020   USD   58.200
UniCredit Bank AG     4.100  11/27/2020   EUR   68.590
Landesbank Baden-Wu   3.250   1/28/2022   EUR   70.940
Landesbank Baden-Wu   3.800   1/28/2022   EUR   51.070
Landesbank Baden-Wu   3.600   1/28/2022   EUR   73.020
Raiffeisen Switzerl   5.600   11/02/2020  CHF   29.290
Corner Banca SA       8.000   11/02/2020  CHF   51.290
Raiffeisen Schweiz    7.000   11/02/2020  CHF   66.340
HSBC Trinkaus & Bur   5.100   6/26/2020   EUR   68.200
HSBC Trinkaus & Bur   3.000   6/26/2020   EUR   68.060
HSBC Trinkaus & Bur   4.100   6/26/2020   EUR   54.760
HSBC Trinkaus & Bur   8.200   6/26/2020   EUR   39.300
HSBC Trinkaus & Bur   5.100   6/26/2020   EUR   71.140
HSBC Trinkaus & Bur   6.500   6/26/2020   EUR   50.530
HSBC Trinkaus & Bur   6.500   6/26/2020   EUR   50.530
Landesbank Baden-Wu   3.000   6/24/2022   EUR   61.750
Landesbank Baden-Wu   3.050   7/24/2020   EUR   57.540
Landesbank Baden-Wu   3.100   7/24/2020   EUR   53.100
Landesbank Baden-Wu   3.300   7/24/2020   EUR   58.740
Bayerische Landesba   2.600   6/26/2020   EUR   60.460
Leonteq Securities    7.800   06/02/2020  EUR   39.330
Landesbank Baden-Wu   2.700   6/25/2021   EUR   67.330
Landesbank Hessen-T   5.200   9/30/2022   EUR   62.020
Leonteq Securities    6.200   06/08/2020  CHF   57.250
Leonteq Securities    6.000   06/08/2020  CHF   54.850
UniCredit Bank AG     5.750   07/04/2020  EUR   53.730
Erste Group Bank AG   6.000   6/28/2022   EUR   77.550
DekaBank Deutsche G   2.750   6/26/2020   EUR   51.260
DekaBank Deutsche G   2.150   6/28/2021   EUR   57.010
DekaBank Deutsche G   2.200   6/26/2020   EUR   60.450
Leonteq Securities    5.200   06/12/2020  CHF   50.370
Commerzbank AG        6.000   06/06/2022  USD    0.370
Landesbank Hessen-T   4.000   07/07/2021  EUR   63.180
Landesbank Hessen-T   4.000   07/07/2021  EUR   64.690
Bayerische Landesba   2.200   6/26/2020   EUR   62.910
Landesbank Baden-Wu   3.500   6/26/2020   EUR   56.620
UniCredit Bank AG     3.500   07/09/2021  EUR   64.360
UniCredit Bank AG     5.500   07/09/2021  EUR   32.950
Corner Banca SA       7.600   6/16/2020   CHF   53.630
EFG International F   7.000   6/22/2020   USD   44.550
DekaBank Deutsche G   3.000   6/21/2021   EUR   32.970
Landesbank Hessen-T   3.750   1/13/2021   EUR   70.800
Landesbank Hessen-T   3.350   1/13/2021   EUR   68.100
Landesbank Hessen-T   4.000   1/13/2021   EUR   48.600
Landesbank Hessen-T   2.750   1/13/2021   EUR   52.000
Citigroup Global Ma   7.000   6/16/2022   SEK   51.090
Landesbank Baden-Wu   3.330   6/25/2021   EUR   65.100
Leonteq Securities    7.000   6/16/2020   CHF   54.460
Landesbank Baden-Wu   2.400   7/24/2020   EUR   67.800
Bayerische Landesba   2.400   7/17/2020   EUR   61.850
Landesbank Hessen-T   6.800   7/14/2022   EUR   53.550
Getin Noble Bank SA   5.190   5/31/2024   PLN   71.000
Getin Noble Bank SA   5.790   6/28/2024   PLN   71.000
Landesbank Baden-Wu   3.100   7/24/2020   EUR   57.530
Landesbank Baden-Wu   3.200   7/24/2020   EUR   51.250
Landesbank Baden-Wu   3.400   7/24/2020   EUR   59.170
Landesbank Baden-Wu   4.000   7/24/2020   EUR   52.260
Bayerische Landesba   2.100   7/17/2020   EUR   67.320
Leonteq Securities    6.000   6/23/2020   CHF   50.550
UniCredit Bank AG     4.300   7/18/2021   EUR   51.240
Landesbank Hessen-T   4.000  10/13/2021   EUR   70.580
DekaBank Deutsche G   2.100   10/09/2020  EUR   56.650
DekaBank Deutsche G   2.200   10/09/2020  EUR   51.700
DekaBank Deutsche G   2.600   10/09/2020  EUR   62.190
DekaBank Deutsche G   2.900   10/09/2020  EUR   39.430
Commerzbank AG        1.580   9/16/2024   USD    0.630
EFG International F   7.200   9/28/2020   CHF   52.540
EFG International F   6.600   9/28/2020   EUR   58.790
Leonteq Securities    7.000   9/22/2020   CHF   53.620
DekaBank Deutsche G   2.000   10/09/2020  EUR   54.430
Landesbank Baden-Wu   4.000   6/26/2020   EUR   54.110
Landesbank Baden-Wu   2.150   6/26/2020   EUR   67.830
UniCredit Bank AG     5.400  10/30/2020   EUR   29.120
Landesbank Baden-Wu   2.000  10/22/2021   EUR   66.700
Landesbank Baden-Wu   2.000  11/26/2021   EUR   63.900
Landesbank Baden-Wu   2.000  11/26/2021   EUR   65.110
Landesbank Hessen-T   3.000  10/20/2022   EUR   72.410
Landesbank Hessen-T   7.000  10/20/2022   EUR   50.550
Bank Julius Baer &    4.500   9/28/2020   CHF   43.600
Bank Julius Baer &    5.000   9/28/2020   EUR   43.850
Landesbank Baden-Wu   2.350   6/26/2020   EUR   69.730
Landesbank Baden-Wu   2.500   6/26/2020   EUR   63.230
Landesbank Baden-Wu   3.600   6/26/2020   EUR   51.270
EFG International F   7.000   10/05/2020  CHF   50.100
EFG International F   6.600   10/05/2020  EUR   41.470
EFG International F   7.200   10/05/2020  USD   30.940
DekaBank Deutsche G   2.250  10/16/2020   EUR   46.190
DekaBank Deutsche G   2.000  10/16/2020   EUR   48.720
Leonteq Securities    7.200   9/29/2020   CHF   52.540
Leonteq Securities    7.000   9/29/2020   CHF   58.990
Leonteq Securities    8.000   9/29/2020   EUR   53.190
Leonteq Securities    8.200   9/29/2020   USD   69.720
Leonteq Securities    7.000   9/29/2020   CHF   57.060
UniCredit Bank AG     5.350  10/18/2020   EUR   66.130
UniCredit Bank AG     4.300  10/18/2021   EUR   42.860
DekaBank Deutsche G   2.500   9/22/2020   EUR   71.990
SG Issuer SA          6.420   9/25/2020   CHF   39.600
Landesbank Hessen-T   5.700  10/27/2022   EUR   36.180
Landesbank Hessen-T   3.500  10/27/2021   EUR   55.530
Leonteq Securities    7.600   10/06/2020  CHF   58.970
Bayerische Landesba   2.200  10/30/2020   EUR   58.240
Bayerische Landesba   3.300  10/30/2020   EUR   64.600
Bayerische Landesba   2.100   4/30/2021   EUR   71.500
UniCredit Bank AG     4.500   11/12/2022  EUR   67.250
Landesbank Baden-Wu   3.850  10/23/2020   EUR   72.620
Landesbank Baden-Wu   2.850  10/23/2020   EUR   52.400
Landesbank Baden-Wu   3.000  10/23/2020   EUR   55.220
Landesbank Baden-Wu   3.250  10/23/2020   EUR   66.160
Landesbank Baden-Wu   3.500  10/23/2020   EUR   50.240
DekaBank Deutsche G   2.250   11/08/2022  EUR   52.190
UniCredit Bank AG     3.120   9/25/2020   EUR   40.300
UniCredit Bank AG     3.550  10/24/2021   EUR   57.140
UniCredit Bank AG     4.920   9/25/2020   EUR   28.690
UniCredit Bank AG     3.800  10/24/2021   EUR   47.590
DekaBank Deutsche G   3.000   6/18/2020   EUR   59.980
Vontobel Financial    6.500   6/26/2020   EUR   46.200
Credit Suisse AG/Lo   5.750  12/24/2021   CHF   69.640
Zurcher Kantonalban   5.000   6/25/2021   CHF   67.410
DZ Bank AG Deutsche   8.250   9/23/2020   EUR   42.620
DZ Bank AG Deutsche   4.500   9/23/2020   EUR   66.310
DZ Bank AG Deutsche   6.250   9/23/2020   EUR   52.960
DZ Bank AG Deutsche   5.750   9/23/2020   EUR   67.420
Landesbank Baden-Wu   7.500   8/27/2021   EUR   66.660
Landesbank Baden-Wu   5.250   8/27/2021   EUR   60.100
Landesbank Baden-Wu   4.000   8/27/2021   EUR   70.970
Landesbank Baden-Wu   5.250   8/27/2021   EUR   68.840
Landesbank Baden-Wu   2.250   8/27/2021   EUR   72.090
Landesbank Baden-Wu   3.500   8/27/2021   EUR   68.110
Landesbank Baden-Wu   3.500   8/27/2021   EUR   72.540
Landesbank Baden-Wu   2.750   8/27/2021   EUR   62.800
Landesbank Baden-Wu   4.000   8/27/2021   EUR   58.820
Landesbank Baden-Wu   3.500   8/27/2021   EUR   64.980
Landesbank Baden-Wu   4.000   8/27/2021   EUR   55.930
Landesbank Baden-Wu   5.000   8/27/2021   EUR   53.910
Landesbank Baden-Wu   6.250   8/27/2021   EUR   52.900
Landesbank Baden-Wu   5.750   8/27/2021   EUR   67.200
Landesbank Baden-Wu   5.250   8/27/2021   EUR   59.950
Landesbank Baden-Wu   3.250   8/27/2021   EUR   47.340
Landesbank Baden-Wu   4.000   8/27/2021   EUR   45.120
Landesbank Baden-Wu   5.000   8/27/2021   EUR   43.630
Landesbank Baden-Wu   6.000   8/27/2021   EUR   42.470
Landesbank Baden-Wu   3.750   8/27/2021   EUR   69.100
Landesbank Baden-Wu   5.000   8/27/2021   EUR   67.010
Landesbank Baden-Wu   4.750   8/27/2021   EUR   71.730
Landesbank Baden-Wu   6.500   8/27/2021   EUR   67.690
Landesbank Baden-Wu   2.500   8/27/2021   EUR   68.130
Landesbank Baden-Wu   3.750   8/27/2021   EUR   64.980
Landesbank Baden-Wu   3.500   8/27/2021   EUR   62.870
Landesbank Baden-Wu   4.500   8/27/2021   EUR   64.740
Landesbank Baden-Wu   6.000   8/27/2021   EUR   62.030
Landesbank Baden-Wu   3.000   8/27/2021   EUR   66.550
Landesbank Baden-Wu   7.500   8/27/2021   EUR   61.380
Landesbank Baden-Wu   2.500   7/24/2020   EUR   65.900
Landesbank Baden-Wu   2.600   7/24/2020   EUR   60.890
Landesbank Baden-Wu   5.250   8/27/2021   EUR   66.920
Landesbank Baden-Wu   6.250   8/27/2021   EUR   64.730
Landesbank Baden-Wu   4.500   8/27/2021   EUR   63.750
Landesbank Baden-Wu   3.000   8/27/2021   EUR   57.380
Landesbank Baden-Wu   2.750   8/27/2021   EUR   64.090
Landesbank Baden-Wu   5.000   8/27/2021   EUR   60.780
Landesbank Baden-Wu   3.250   8/27/2021   EUR   68.230
Landesbank Baden-Wu   4.500   8/27/2021   EUR   73.000
Landesbank Baden-Wu   6.000   8/27/2021   EUR   71.910
Landesbank Baden-Wu   6.000   8/27/2021   EUR   62.760
Vontobel Financial   13.000   06/12/2020  EUR   34.000
Vontobel Financial    7.500   06/12/2020  EUR   38.350
Credit Suisse AG/Lo   8.000   10/02/2020  EUR   50.180
Vontobel Financial   12.000   06/12/2020  EUR   58.700
Vontobel Financial   12.500   09/11/2020  EUR   58.730
Vontobel Financial    9.500   09/11/2020  EUR   61.600
Vontobel Financial   18.500   09/11/2020  EUR   45.190
Vontobel Financial    8.000   06/12/2020  EUR   64.370
Vontobel Financial    9.500   06/12/2020  EUR   71.650
Vontobel Financial    8.000   06/12/2020  EUR   46.030
Vontobel Financial    5.400   9/18/2020   EUR   61.220
UBS AG/London         9.250   07/03/2020  CHF   64.200
UBS AG/London         5.500   07/04/2022  CHF   65.150
Vontobel Financial   13.600   6/19/2020   EUR   64.490
Vontobel Financial   10.000   09/11/2020  EUR   61.910
UniCredit Bank AG     4.100   08/02/2023  EUR   67.180
EFG International F  10.000   01/08/2021  EUR   55.540
Bank Julius Baer &    7.500   07/06/2020  EUR   51.150
Raiffeisen Switzerl  12.480   07/08/2020  EUR   48.820
Raiffeisen Switzerl  12.040   07/08/2020  CHF   48.220
Vontobel Financial   13.500   6/26/2020   EUR   34.260
Bayerische Landesba   3.200   06/12/2020  EUR   61.130
Bayerische Landesba   2.000   12/11/2020  EUR   72.240
Leonteq Securities    7.800  12/21/2020   CHF   54.320
Leonteq Securities    7.400  12/22/2020   CHF   42.670
Landesbank Hessen-T   3.000   6/15/2020   EUR   57.000
Landesbank Hessen-T   3.300   6/15/2020   EUR   57.600
UBS AG/London         7.000   6/15/2020   CHF   73.900
UBS AG/London         8.000   6/15/2020   EUR   34.200
UBS AG/London         5.500   6/15/2020   EUR   51.300
UBS AG/London         8.500   6/15/2020   CHF   30.700
EFG International F   7.200  12/29/2020   CHF   66.070
Bank Julius Baer &    6.000  12/29/2020   USD   45.950
Landesbank Baden-Wu   2.750  12/29/2020   EUR   49.780
Landesbank Baden-Wu   3.400  12/29/2020   EUR   73.140
Landesbank Baden-Wu   4.250  12/29/2020   EUR   32.360
Landesbank Baden-Wu   3.100   2/25/2022   EUR   44.560
Landesbank Baden-Wu   2.300   2/25/2022   EUR   58.570
Landesbank Baden-Wu   2.750   2/25/2022   EUR   61.760
Landesbank Hessen-T   4.000  12/22/2021   EUR   50.720
Landesbank Hessen-T   3.500  12/22/2021   EUR   58.400
DekaBank Deutsche G   4.000   01/07/2021  EUR   65.150
DekaBank Deutsche G   3.250   01/07/2021  EUR   53.230
Bayerische Landesba   3.000   12/04/2020  EUR   53.540
UBS AG/London         8.000   12/07/2020  CHF   66.300
UBS AG/London         9.100   9/24/2020   EUR   45.280
UBS AG/London        10.000   06/12/2020  EUR   35.700
Raiffeisen Centroba   7.500   1/14/2021   EUR   65.150
HSBC Trinkaus & Bur   9.200   6/26/2020   EUR   72.700
Societe Generale Ef  17.000   9/25/2020   EUR   65.010
Societe Generale Ef  15.500  12/28/2020   EUR   71.530
Societe Generale Ef  14.500   1/22/2021   EUR   71.860
Societe Generale Ef  18.250   9/25/2020   EUR   58.750
Societe Generale Ef  13.750  11/27/2020   EUR   65.200
Societe Generale Ef   7.750  12/28/2020   EUR   67.240
Societe Generale Ef   9.750  12/28/2020   EUR   66.270
Societe Generale Ef   7.000   1/22/2021   EUR   67.750
Societe Generale Ef  12.000   8/28/2020   EUR   65.460
Societe Generale Ef   8.000  12/28/2020   EUR   70.430
Societe Generale Ef   9.000  12/28/2020   EUR   69.320
Societe Generale Ef  15.000  12/28/2020   EUR   65.010
Societe Generale Ef   7.000   8/28/2020   EUR   70.470
Societe Generale Ef   8.000   8/28/2020   EUR   69.110
Societe Generale Ef   9.000   8/28/2020   EUR   67.900
Societe Generale Ef  19.000   8/28/2020   EUR   61.410
Societe Generale Ef   6.750   9/25/2020   EUR   71.050
Societe Generale Ef  17.750   9/25/2020   EUR   62.350
Societe Generale Ef   9.750  12/28/2020   EUR   63.900
Societe Generale Ef   6.250  11/27/2020   EUR   70.010
Societe Generale Ef   8.250  11/27/2020   EUR   65.850
Societe Generale Ef  10.250  11/27/2020   EUR   62.990
EFG International F   6.200   2/20/2023   CHF   65.560
Societe Generale Ef   8.250   7/24/2020   EUR   45.310
Societe Generale Ef   9.250   7/24/2020   EUR   44.310
Societe Generale Ef   9.750   7/24/2020   EUR   53.980
Societe Generale Ef  13.500   6/26/2020   EUR   72.270
Societe Generale Ef  17.500   6/26/2020   EUR   65.530
Societe Generale Ef  15.500   6/26/2020   EUR   62.010
Societe Generale Ef  17.500   6/26/2020   EUR   57.010
Societe Generale Ef   6.500   7/24/2020   EUR   70.930
Societe Generale Ef   7.500   7/24/2020   EUR   69.170
Societe Generale Ef  10.750   7/24/2020   EUR   73.170
Societe Generale Ef   8.500   7/24/2020   EUR   73.090
Societe Generale Ef   7.250   7/24/2020   EUR   69.620
Goldman Sachs & Co    8.000   6/24/2020   EUR   66.390
Goldman Sachs & Co    7.000   9/23/2020   EUR   69.810
Goldman Sachs & Co   19.000   9/23/2020   EUR   49.270
Goldman Sachs & Co   15.000  12/23/2020   EUR   53.900
Goldman Sachs & Co    6.000   3/24/2021   EUR   70.140
Goldman Sachs & Co    8.000   3/24/2021   EUR   66.140
Goldman Sachs & Co    9.000   6/24/2020   EUR   69.400
Goldman Sachs & Co   19.000   6/24/2020   EUR   55.410
Societe Generale Ef  11.750   7/24/2020   EUR   75.690
Societe Generale Ef  13.750   7/24/2020   EUR   71.490
Goldman Sachs & Co   10.000   9/23/2020   EUR   67.880
Goldman Sachs & Co   17.000   9/23/2020   EUR   58.360
Goldman Sachs & Co    8.000   3/24/2021   EUR   72.890
Societe Generale Ef   7.000   7/24/2020   EUR   69.420
Societe Generale Ef   8.000   7/24/2020   EUR   67.170
Societe Generale Ef   9.000   7/24/2020   EUR   65.200
Goldman Sachs & Co    9.000   9/23/2020   EUR   51.630
Goldman Sachs & Co   14.000   9/23/2020   EUR   46.420
Goldman Sachs & Co   17.000   9/23/2020   EUR   43.800
Goldman Sachs & Co    3.000  12/23/2020   EUR   65.530
Goldman Sachs & Co    5.000  12/23/2020   EUR   59.410
Goldman Sachs & Co    6.000  12/23/2020   EUR   56.790
Goldman Sachs & Co    7.000  12/23/2020   EUR   54.500
Goldman Sachs & Co   10.000  12/23/2020   EUR   51.160
Goldman Sachs & Co    2.000   3/24/2021   EUR   72.760
Goldman Sachs & Co    3.000   3/24/2021   EUR   66.200
Goldman Sachs & Co    3.000   3/24/2021   EUR   69.900
Goldman Sachs & Co    4.000   3/24/2021   EUR   63.540
Goldman Sachs & Co    5.000   3/24/2021   EUR   61.040
Societe Generale Ef   7.750   7/24/2020   EUR   67.610
Goldman Sachs & Co    8.000   3/24/2021   EUR   54.920
Goldman Sachs & Co   14.000   3/24/2021   EUR   49.720
Societe Generale Ef   8.500   7/24/2020   EUR   71.660
Societe Generale Ef   9.500   7/24/2020   EUR   70.380
Societe Generale Ef  19.500   6/26/2020   EUR   62.710
Societe Generale Ef  12.750   7/24/2020   EUR   72.220
Goldman Sachs & Co   15.000   9/23/2020   EUR   70.900
Societe Generale Ef   9.000   7/24/2020   EUR   66.420
Societe Generale Ef  13.000   7/24/2020   EUR   60.850
Societe Generale Ef   7.000   7/24/2020   EUR   59.220
Goldman Sachs & Co   19.000   6/24/2020   EUR   65.870
Banque Cantonale Va   4.500   3/29/2021   CHF   48.770
Vontobel Financial   16.000   06/12/2020  EUR   61.390
Landesbank Baden-Wu   2.500   9/25/2020   EUR   61.580
Landesbank Baden-Wu   4.500   9/25/2020   EUR   57.990
Landesbank Baden-Wu   4.000   9/25/2020   EUR   64.020
Landesbank Baden-Wu   2.500   9/25/2020   EUR   68.510
Landesbank Baden-Wu   3.000   9/25/2020   EUR   59.940
Landesbank Baden-Wu   6.000   9/25/2020   EUR   65.140
Landesbank Baden-Wu   5.000   9/25/2020   EUR   58.080
Landesbank Baden-Wu   6.000   9/25/2020   EUR   64.440
Landesbank Baden-Wu   7.000   9/25/2020   EUR   73.620
Leonteq Securities   10.600   7/26/2021   USD   52.430
Landesbank Baden-Wu   3.000   9/25/2020   EUR   61.000
Leonteq Securities    9.000  10/26/2020   EUR   67.280
Landesbank Baden-Wu   5.000   9/25/2020   EUR   59.520
Landesbank Baden-Wu   5.000   9/25/2020   EUR   57.300
Landesbank Baden-Wu   3.000   9/25/2020   EUR   69.870
Landesbank Baden-Wu   3.000   9/25/2020   EUR   64.800
Landesbank Baden-Wu   4.000   9/25/2020   EUR   56.040
Landesbank Baden-Wu   3.000   9/25/2020   EUR   65.210
BNP Paribas Emissio  13.000   6/25/2020   EUR   75.970
Goldman Sachs & Co   19.000   6/24/2020   EUR   59.050
Goldman Sachs & Co   21.000   6/24/2020   EUR   57.240
Goldman Sachs & Co   15.000  12/23/2020   EUR   63.410
Goldman Sachs & Co   14.000   3/24/2021   EUR   66.110
Goldman Sachs & Co   14.000   6/24/2020   EUR   56.160
Goldman Sachs & Co    8.000   9/23/2020   EUR   63.150
Goldman Sachs & Co   10.000   9/23/2020   EUR   60.230
Goldman Sachs & Co   15.000   9/23/2020   EUR   52.770
Goldman Sachs & Co    5.000  12/23/2020   EUR   66.400
Goldman Sachs & Co   10.000  12/23/2020   EUR   57.450
Goldman Sachs & Co   16.000  12/23/2020   EUR   51.210
Goldman Sachs & Co    7.000   3/24/2021   EUR   62.230
Goldman Sachs & Co    8.000   3/24/2021   EUR   61.070
Goldman Sachs & Co   15.000   3/24/2021   EUR   54.970
Goldman Sachs & Co    5.000   6/24/2020   EUR   67.390
Goldman Sachs & Co    8.000   6/24/2020   EUR   58.060
Goldman Sachs & Co   15.000   6/24/2020   EUR   47.420
Goldman Sachs & Co   19.000   6/24/2020   EUR   42.850
Goldman Sachs & Co    4.000   9/23/2020   EUR   69.400
Goldman Sachs & Co    5.000   9/23/2020   EUR   67.100
Goldman Sachs & Co    8.000   9/23/2020   EUR   59.400
Goldman Sachs & Co    6.000  12/23/2020   EUR   61.890
Goldman Sachs & Co    9.000  12/23/2020   EUR   56.610
Goldman Sachs & Co   15.000  12/23/2020   EUR   49.710
Goldman Sachs & Co    4.000   3/24/2021   EUR   68.160
Goldman Sachs & Co    7.000   3/24/2021   EUR   60.900
Goldman Sachs & Co   10.000   3/24/2021   EUR   55.270
Goldman Sachs & Co   13.000   3/24/2021   EUR   51.480
Vontobel Financial   20.000   9/25/2020   EUR   71.970
Vontobel Financial   10.000   9/25/2020   EUR   48.820
UBS AG/London         7.000   04/06/2021  CHF   70.550
UBS AG/London        15.000   04/05/2021  USD   44.790
Vontobel Financial   11.000   6/26/2020   EUR   55.900
Deutsche Bank AG      6.200  12/22/2020   EUR   67.600
Deutsche Bank AG      6.200   6/23/2020   EUR   56.690
Deutsche Bank AG      6.200  12/22/2020   EUR   60.180
DZ Bank AG Deutsche   9.000   6/24/2020   EUR   62.710
DZ Bank AG Deutsche   6.500   9/23/2020   EUR   58.990
DZ Bank AG Deutsche   5.750   9/23/2020   EUR   67.770
DekaBank Deutsche G   3.100   4/30/2021   EUR   71.610
Societe Generale Ef  12.750   6/26/2020   EUR   57.030
Banque Cantonale Va   4.500   3/29/2021   EUR   49.110
Bank Julius Baer &    6.360   7/30/2020   CHF   71.800
Zurcher Kantonalban   9.000   7/30/2021   EUR   58.320
Raiffeisen Centroba   8.959   6/23/2020   EUR   59.320
Landesbank Baden-Wu   5.750   1/22/2021   EUR   73.130
Landesbank Baden-Wu   5.250   1/22/2021   EUR   72.420
Landesbank Baden-Wu   7.000   2/26/2021   EUR   63.460
Landesbank Baden-Wu   5.250   1/22/2021   EUR   67.970
Landesbank Baden-Wu   2.000   1/22/2021   EUR   70.970
Landesbank Baden-Wu   4.000   1/22/2021   EUR   71.340
Landesbank Baden-Wu   3.000   7/22/2022   EUR   70.410
Leonteq Securities    5.600   04/04/2022  CHF   69.450
Vontobel Financial    5.000   06/01/2020  EUR   60.505
Vontobel Financial    7.200   7/31/2020   EUR   55.570
Vontobel Financial    5.500   08/07/2020  CHF   67.160
Vontobel Financial    8.900   08/07/2020  USD   66.910
UBS AG/London         8.000   7/31/2020   CHF   72.600
UBS AG/London         9.000   08/02/2021  CHF   70.800
UBS AG/London         4.000   08/02/2022  CHF   71.200
UBS AG/London         4.500   08/01/2022  EUR   72.000
UBS AG/London         6.000   08/02/2021  EUR   68.000
EFG International F  11.000   02/02/2021  EUR   49.550
Deutsche Bank AG      8.200   9/22/2020   EUR   57.300
Societe Generale Ef   3.750   6/26/2020   EUR   53.830
Societe Generale Ef   4.750   6/26/2020   EUR   51.800
Societe Generale Ef   5.750   6/26/2020   EUR   50.200
Credit Suisse AG/Lo   7.000  10/26/2020   CHF   64.370
Credit Suisse AG/Lo   5.000   7/30/2021   CHF   65.450
Credit Suisse AG/Lo   4.200   1/29/2021   CHF   64.890
Zurcher Kantonalban   6.800   1/29/2021   EUR   68.410
DZ Bank AG Deutsche   4.900   6/22/2020   EUR   46.150
Vontobel Financial   12.000   9/25/2020   EUR   62.040
Landesbank Baden-Wu   4.750   5/27/2022   EUR   69.280
Landesbank Baden-Wu   3.300   5/27/2022   EUR   52.760
DZ Bank AG Deutsche  13.100   6/26/2020   EUR   57.850
DZ Bank AG Deutsche   4.700  12/28/2020   EUR   73.640
DZ Bank AG Deutsche   7.300  12/28/2020   EUR   62.190
DZ Bank AG Deutsche   7.000   6/26/2020   EUR   46.170
DZ Bank AG Deutsche   5.200   9/25/2020   EUR   50.220
DZ Bank AG Deutsche   7.600   9/25/2020   EUR   65.270
DZ Bank AG Deutsche  10.000   9/25/2020   EUR   60.910
DZ Bank AG Deutsche   6.900  12/28/2020   EUR   66.240
Societe Generale Ef  11.500   6/26/2020   EUR   69.340
Societe Generale Ef   5.000   6/26/2020   EUR   70.350
DZ Bank AG Deutsche  11.900  12/28/2020   EUR   68.050
DZ Bank AG Deutsche   7.700  12/28/2020   EUR   68.410
Bank Julius Baer &   10.300   06/12/2020  CHF   73.650
DZ Bank AG Deutsche   9.500   6/26/2020   EUR   66.690
DZ Bank AG Deutsche  15.100   6/26/2020   EUR   60.600
DZ Bank AG Deutsche   4.900  12/28/2020   EUR   72.740
DZ Bank AG Deutsche   7.600   9/25/2020   EUR   61.590
DZ Bank AG Deutsche  13.500  12/28/2020   EUR   55.050
DZ Bank AG Deutsche  10.700   6/26/2020   EUR   57.210
DZ Bank AG Deutsche  17.000   6/26/2020   EUR   33.410
DZ Bank AG Deutsche  11.500   9/25/2020   EUR   38.780
Vontobel Financial    4.700   9/18/2020   EUR   53.620
Vontobel Financial    8.000   9/25/2020   EUR   57.030
UBS AG/London         4.500   02/01/2021  CHF   65.050
Leonteq Securities    8.000   08/05/2021  CHF   39.720
Leonteq Securities    6.500   08/05/2021  CHF   71.550
Leonteq Securities   16.400   11/05/2020  CHF   46.880
Leonteq Securities    9.200   08/02/2021  USD   64.600
EFG International F  13.500   08/05/2020  USD   56.060
Vontobel Financial   27.500   08/12/2020  USD   71.370
Corner Banca SA       7.500   08/05/2022  CHF   69.220
Corner Banca SA       9.000   11/05/2020  CHF   67.850
Corner Banca SA      17.000   08/05/2020  CHF   43.580
Societe Generale Ef   6.500   6/26/2020   EUR   46.990
Societe Generale Ef  10.500   6/26/2020   EUR   42.190
Raiffeisen Schweiz    5.200   08/02/2022  CHF   65.120
Raiffeisen Centroba   6.750   09/07/2021  EUR   53.190
Vontobel Financial    2.500   09/11/2020  EUR   52.950
Vontobel Financial    4.500   09/11/2020  EUR   49.160
Vontobel Financial   10.500   09/11/2020  EUR   43.630
Vontobel Financial    7.500   09/11/2020  EUR   45.920
Vontobel Financial    8.000   09/11/2020  EUR   72.840
Vontobel Financial   16.500   09/11/2020  EUR   68.980
Vontobel Financial    3.500   09/11/2020  EUR   74.200
Vontobel Financial   13.500   09/11/2020  EUR   63.660
Vontobel Financial   15.500   06/12/2020  EUR   55.720
Vontobel Financial   10.500   06/12/2020  EUR   61.600
Vontobel Financial    6.500   09/11/2020  EUR   69.130
Vontobel Financial    8.500   09/11/2020  EUR   66.350
Vontobel Financial   11.610   8/17/2020   EUR   73.620
Vontobel Financial   11.500   09/11/2020  EUR   70.670
Vontobel Financial    9.500   06/12/2020  EUR   72.610
Vontobel Financial    7.000   06/12/2020  EUR   71.950
Vontobel Financial   12.500   06/12/2020  EUR   66.320
Vontobel Financial    8.500   09/11/2020  EUR   70.610
Vontobel Financial   12.500   09/11/2020  EUR   66.450
Vontobel Financial   13.000   09/11/2020  EUR   70.460
Vontobel Financial    6.000   12/11/2020  EUR   61.930
Vontobel Financial    3.500   06/12/2020  EUR   64.840
Vontobel Financial    7.500   09/11/2020  EUR   60.110
Vontobel Financial    2.500   09/11/2020  EUR   55.330
Vontobel Financial   16.080  11/23/2020   EUR   49.320
Vontobel Financial    9.000   09/11/2020  EUR   49.800
Vontobel Financial   11.500   09/11/2020  EUR   66.720
Vontobel Financial    7.000   12/11/2020  EUR   66.810
Vontobel Financial    5.000   12/11/2020  EUR   70.460
Vontobel Financial   12.500   09/11/2020  EUR   53.510
Vontobel Financial   11.500   09/11/2020  EUR   57.220
Vontobel Financial    4.000   12/11/2020  EUR   70.550
Zurcher Kantonalban   6.000   5/25/2021   CHF   69.390
DZ Bank AG Deutsche   7.750  12/23/2020   EUR   66.530
DZ Bank AG Deutsche   8.250   3/24/2021   EUR   46.730
DZ Bank AG Deutsche   1.900   2/24/2021   EUR
Societe Generale Ef  14.250   1/22/2021   EUR   69.020
Societe Generale Ef   6.000  12/28/2020   EUR   70.240
Societe Generale Ef   6.000   8/28/2020   EUR   46.530
Societe Generale Ef  11.750  10/23/2020   EUR   45.570
Societe Generale Ef  14.000   9/25/2020   EUR   66.160
Societe Generale Ef  11.500  10/23/2020   EUR   46.000
Societe Generale Ef   8.000  10/23/2020   EUR   66.560
Societe Generale Ef  12.250   1/22/2021   EUR   70.230
Societe Generale Ef   6.250   8/28/2020   EUR   72.140
Societe Generale Ef   5.000  10/23/2020   EUR   73.800
Societe Generale Ef   7.000  10/23/2020   EUR   72.000
Societe Generale Ef  22.000   8/28/2020   EUR   69.150
Societe Generale Ef  17.750  12/28/2020   EUR   69.620
Vontobel Financial   10.000   9/25/2020   EUR   63.580
Vontobel Financial    5.500   09/11/2020  EUR   69.150
Vontobel Financial    8.500   12/11/2020  EUR   71.010
Vontobel Financial   11.000   12/11/2020  EUR   67.810
Vontobel Financial   11.500   12/11/2020  EUR   60.310
Vontobel Financial    8.500   09/11/2020  EUR   72.140
Vontobel Financial   13.000   09/11/2020  EUR   38.440
Societe Generale Ef   9.500   2/19/2021   EUR   55.170
Vontobel Financial    5.000   09/11/2020  EUR   44.340
Zurcher Kantonalban   6.000   5/25/2021   CHF   73.500
Zurcher Kantonalban   4.000   5/25/2021   EUR   60.290
Zurcher Kantonalban   6.800   5/25/2021   EUR   59.770
Vontobel Financial   12.000   09/11/2020  EUR   62.220
Vontobel Financial   13.000   09/11/2020  EUR   60.880
Vontobel Financial   14.000   09/11/2020  EUR   59.590
Vontobel Financial   15.500   09/11/2020  EUR   58.490
DZ Bank AG Deutsche   8.500   6/24/2020   EUR   41.420
DZ Bank AG Deutsche  10.250   6/24/2020   EUR   71.660
DZ Bank AG Deutsche   5.750   8/26/2020   EUR   50.700
Vontobel Financial   14.250   2/18/2021   EUR   64.570
Credit Suisse AG/Lo   8.250   11/05/2020  EUR   69.510
Zurcher Kantonalban   6.600   02/05/2021  EUR   67.090
Zurcher Kantonalban   8.000   8/13/2021   CHF   71.350
Zurcher Kantonalban   7.000   08/07/2020  EUR   57.670
Leonteq Securities   13.750   2/17/2021   EUR   53.710
Leonteq Securities    6.000   8/17/2022   CHF   62.020
Leonteq Securities   15.470   5/18/2021   CHF   62.560
Raiffeisen Schweiz    6.300   2/17/2022   CHF   65.030
UniCredit Bank AG    18.100   3/26/2021   EUR   68.380
UniCredit Bank AG    16.300   3/26/2021   EUR   68.840
Landesbank Hessen-T   4.000   3/20/2023   EUR   71.280
UniCredit Bank AG    14.300   3/26/2021   EUR   68.840
UniCredit Bank AG    14.800   6/25/2021   EUR   71.080
UniCredit Bank AG    19.300  12/28/2020   EUR   67.220
Corner Banca SA       8.410   08/06/2020  EUR   65.860
UBS AG/London         6.500   9/24/2020   EUR   52.390
Zurcher Kantonalban   6.000   5/27/2021   CHF   65.160
UBS AG/London         2.900  12/28/2020   EUR   71.970
UBS AG/London         4.900   9/24/2020   EUR   63.150
UniCredit Bank AG    18.100   6/26/2020   EUR   48.880
UniCredit Bank AG    18.300   3/26/2021   EUR   53.350
UniCredit Bank AG    17.900   9/25/2020   EUR   69.500
UniCredit Bank AG    18.600   3/26/2021   EUR   67.300
Zurcher Kantonalban  10.000   5/25/2021   EUR   63.780
Zurcher Kantonalban   8.000   8/20/2021   USD   66.110
UBS AG/London         8.400  12/28/2020   EUR   75.430
UniCredit Bank AG    14.000  12/24/2021   EUR   69.320
UniCredit Bank AG    19.700   3/26/2021   EUR   67.060
UBS AG/London         3.700  12/28/2020   EUR   67.580
DZ Bank AG Deutsche  15.900  12/28/2020   EUR   47.380
DZ Bank AG Deutsche  20.000  12/28/2020   EUR   65.220
DZ Bank AG Deutsche  16.800   3/26/2021   EUR   67.080
DZ Bank AG Deutsche  10.700   2/26/2021   EUR   48.910
DZ Bank AG Deutsche   7.000   6/25/2021   EUR   51.140
DZ Bank AG Deutsche   9.300   6/25/2021   EUR   50.890
DZ Bank AG Deutsche  15.700   9/25/2020   EUR   70.050
DZ Bank AG Deutsche   9.900   3/26/2021   EUR   73.280
DZ Bank AG Deutsche   6.900   6/25/2021   EUR   73.070
DZ Bank AG Deutsche   6.200   2/26/2021   EUR   67.560
DZ Bank AG Deutsche   9.100   6/25/2021   EUR
DZ Bank AG Deutsche   9.800   6/25/2021   EUR
DZ Bank AG Deutsche  14.000   2/26/2021   EUR   73.030
DZ Bank AG Deutsche  13.400   6/25/2021   EUR   70.780
DZ Bank AG Deutsche  14.900   6/25/2021   EUR   69.710
UBS AG/London        13.200   9/24/2020   EUR   71.290
UBS AG/London         9.300   9/24/2020   EUR   58.480
UBS AG/London         7.100   9/24/2020   EUR   65.620
DZ Bank AG Deutsche  12.000   6/25/2021   EUR   69.180
DZ Bank AG Deutsche   9.800   6/25/2021   EUR   71.710
DZ Bank AG Deutsche  19.000   9/25/2020   EUR
DZ Bank AG Deutsche  15.600  12/28/2020   EUR
DZ Bank AG Deutsche  20.800  12/28/2020   EUR   68.630
DZ Bank AG Deutsche   9.000   3/26/2021   EUR   64.750
DZ Bank AG Deutsche   8.300   6/25/2021   EUR   65.790
DZ Bank AG Deutsche  13.600   6/25/2021   EUR   63.150
DZ Bank AG Deutsche   8.000   9/25/2020   EUR
DZ Bank AG Deutsche  11.200   2/26/2021   EUR
DZ Bank AG Deutsche  10.700   2/26/2021   EUR   67.340
DZ Bank AG Deutsche  13.400   2/26/2021   EUR   66.080
DZ Bank AG Deutsche   7.400   6/25/2021   EUR   70.090
DZ Bank AG Deutsche   9.200   6/25/2021   EUR   68.640
DZ Bank AG Deutsche  11.200   6/25/2021   EUR   67.770
Societe Generale Ef  15.250   6/26/2020   EUR   73.130
Societe Generale Ef   5.250   9/25/2020   EUR   46.880
Societe Generale Ef   3.750  10/23/2020   EUR   47.920
Societe Generale Ef  18.000  11/27/2020   EUR   69.730
Societe Generale Ef   3.250   8/28/2020   EUR   73.440
Societe Generale Ef   4.000   8/28/2020   EUR   47.090
Societe Generale Ef  10.000   8/28/2020   EUR   44.240
Societe Generale Ef  11.750  11/27/2020   EUR   69.400
Societe Generale Ef   3.000   8/28/2020   EUR   51.710
Vontobel Financial    4.700   02/08/2021  EUR   70.520
Vontobel Financial    6.400   9/18/2020   EUR   53.710
Credit Suisse AG/Lo   9.000   08/03/2020  USD   56.960
Credit Suisse AG/Lo  11.000   08/06/2020  USD   51.200
Zurcher Kantonalban  10.000   5/18/2021   CHF   55.790
Zurcher Kantonalban   7.000   5/19/2021   CHF   73.600
Zurcher Kantonalban   9.750   8/26/2021   USD   62.000
Zurcher Kantonalban   9.250   8/26/2021   CHF   43.390
Zurcher Kantonalban   8.000   2/25/2022   CHF   51.740
EFG International F   6.400   08/09/2022  CHF   72.690
EFG International F   9.800   08/09/2021  USD   65.730
Societe Generale Ef   9.000   7/24/2020   EUR   70.610
Societe Generale Ef  14.750   8/28/2020   EUR   55.310
Raiffeisen Schweiz    6.000   2/19/2021   EUR   50.880
Vontobel Financial   20.000   9/25/2020   EUR   58.000
Bank Julius Baer &    9.050   08/07/2020  USD   67.200
UBS AG/London         8.000   02/08/2021  CHF   64.900
UBS AG/London         6.500   08/08/2022  CHF   68.200
UBS AG/London         7.250   02/08/2021  CHF   40.400
UBS AG/London         7.500   02/08/2021  EUR   70.800
Leonteq Securities   13.910   11/06/2020  CHF   47.160
Vontobel Financial   12.000   08/10/2020  EUR   60.750
Vontobel Financial    6.800   08/07/2020  CHF   65.490
Societe Generale Ef  13.500   6/26/2020   EUR   54.590
Societe Generale Ef  12.250   6/26/2020   EUR   71.580
Societe Generale Ef  16.250   6/26/2020   EUR   65.130
Societe Generale Ef  10.500   6/26/2020   EUR   72.900
Societe Generale Ef   9.750   6/26/2020   EUR   67.820
Societe Generale Ef   4.000   6/26/2020   EUR   62.560
Societe Generale Ef  14.000   6/26/2020   EUR   65.810
Societe Generale Ef   9.500   7/24/2020   EUR   55.790
Societe Generale Ef  14.500   6/26/2020   EUR   71.580
UBS AG/London        13.000   2/22/2021   USD   72.950
Vontobel Financial   12.000   2/22/2021   USD   69.820
Vontobel Financial   12.000   8/26/2020   EUR   63.620
Banque Cantonale Va   5.800   08/09/2021  CHF   56.720
UniCredit Bank AG     5.500   9/25/2020   EUR   62.150
UniCredit Bank AG    13.600   6/25/2021   EUR   70.220
UniCredit Bank AG    14.500  12/28/2020   EUR   74.420
UBS AG/London         5.750   8/20/2021   EUR   67.100
UniCredit Bank AG    12.100   6/26/2020   EUR   69.400
Leonteq Securities   20.000   11/09/2020  CHF   52.200
Leonteq Securities   10.000   08/09/2021  CHF   53.590
Leonteq Securities    8.000   08/09/2021  EUR   71.630
Leonteq Securities    9.400   08/09/2021  EUR   62.330
Bayerische Landesba   2.850   1/22/2021   EUR   54.280
HSBC Trinkaus & Bur   5.200   6/26/2020   EUR   58.280
HSBC Trinkaus & Bur   6.300   6/26/2020   EUR   43.360
HSBC Trinkaus & Bur   4.200   6/26/2020   EUR   48.180
BNP Paribas Emissio   7.500   6/25/2020   EUR   46.370
DekaBank Deutsche G   3.200   1/15/2021   EUR   49.450
HSBC Trinkaus & Bur   6.700   6/26/2020   EUR   40.340
HSBC Trinkaus & Bur   5.600  12/28/2020   EUR   32.150
HSBC Trinkaus & Bur   6.300  12/28/2020   EUR   70.520
HSBC Trinkaus & Bur   5.700   6/25/2021   EUR   50.560
HSBC Trinkaus & Bur   5.000   6/26/2020   EUR   65.170
HSBC Trinkaus & Bur   7.000   6/26/2020   EUR   57.240
HSBC Trinkaus & Bur   9.500   6/26/2020   EUR   40.890
HSBC Trinkaus & Bur   7.100   6/26/2020   EUR   63.970
HSBC Trinkaus & Bur   8.900   9/25/2020   EUR   69.740
HSBC Trinkaus & Bur   7.400   9/25/2020   EUR   73.310
HSBC Trinkaus & Bur   3.100   9/25/2020   EUR   67.580
HSBC Trinkaus & Bur   8.800   9/25/2020   EUR   30.250
HSBC Trinkaus & Bur   2.900   9/25/2020   EUR   41.370
HSBC Trinkaus & Bur   8.700   6/26/2020   EUR   65.390
BNP Paribas Emissio   9.500   6/25/2020   EUR   66.290
SG Issuer SA          6.000   6/24/2020   EUR   65.990
Societe Generale Ef   9.000   9/25/2020   EUR   69.500
Societe Generale Ef  11.000   9/25/2020   EUR   67.950
Societe Generale Ef  13.000   9/25/2020   EUR   66.730
Societe Generale Ef  15.000   9/25/2020   EUR   65.770
Societe Generale Ef  19.000   9/25/2020   EUR   64.340
Societe Generale Ef  21.000   9/25/2020   EUR   63.800
DZ Bank AG Deutsche  15.100   9/25/2020   EUR   71.710
DZ Bank AG Deutsche  18.700   9/25/2020   EUR   69.440
DZ Bank AG Deutsche  22.800   9/25/2020   EUR   67.570
DZ Bank AG Deutsche  14.000  12/28/2020   EUR   71.010
Societe Generale Ef   6.750  10/23/2020   EUR   71.410
Societe Generale Ef   8.750  10/23/2020   EUR   69.410
Societe Generale Ef  10.750  10/23/2020   EUR   67.900
Societe Generale Ef  12.750  10/23/2020   EUR   66.680
Societe Generale Ef  14.750  10/23/2020   EUR   65.750
Societe Generale Ef  16.750  10/23/2020   EUR   65.080
Societe Generale Ef  18.750  10/23/2020   EUR   64.490
Societe Generale Ef   6.500  11/27/2020   EUR   71.260
Societe Generale Ef   8.500  11/27/2020   EUR   68.880
Societe Generale Ef  10.500  11/27/2020   EUR   67.670
Societe Generale Ef  12.500  11/27/2020   EUR   66.560
Societe Generale Ef  14.500  11/27/2020   EUR   65.790
Societe Generale Ef  16.500  11/27/2020   EUR   65.180
Societe Generale Ef   7.000  12/28/2020   EUR   69.680
Societe Generale Ef   9.000  12/28/2020   EUR   68.380
Societe Generale Ef  11.000  12/28/2020   EUR   67.200
Societe Generale Ef  13.000  12/28/2020   EUR   66.320
Societe Generale Ef  15.000  12/28/2020   EUR   65.640
Societe Generale Ef  18.500   9/25/2020   EUR   70.730
Societe Generale Ef  20.500   9/25/2020   EUR   69.450
DZ Bank AG Deutsche  16.700  12/28/2020   EUR   69.530
DZ Bank AG Deutsche  19.700  12/28/2020   EUR   68.530
DZ Bank AG Deutsche  11.500   3/26/2021   EUR   71.760
DZ Bank AG Deutsche  13.600   3/26/2021   EUR   70.610
DZ Bank AG Deutsche  15.800   3/26/2021   EUR   69.950
DZ Bank AG Deutsche   9.900   6/25/2021   EUR   72.570
DZ Bank AG Deutsche  11.600   6/25/2021   EUR   71.480
DZ Bank AG Deutsche  13.400   6/25/2021   EUR   70.860
Societe Generale Ef  16.750  10/23/2020   EUR   71.520
Societe Generale Ef  18.750  10/23/2020   EUR   70.160
Societe Generale Ef  16.750  11/27/2020   EUR   70.980
Vontobel Financial   13.500   3/26/2021   EUR   73.560
UBS AG/London        10.750   3/18/2021   CHF   72.500
UBS AG/London        11.500   3/18/2021   CHF   72.200
UBS AG/London        14.250   3/18/2021   CHF   16.200
Societe Generale SA   3.000   11/07/2031  EUR   45.750
EFG International F   8.200   07/04/2022  CHF   65.080
Vontobel Financial    5.500   6/26/2020   EUR   58.890
Vontobel Financial   10.500   6/26/2020   EUR   51.900
Vontobel Financial   14.000   6/26/2020   EUR   67.040
Vontobel Financial    6.000   6/26/2020   EUR   40.920
Vontobel Financial    8.000   6/26/2020   EUR   38.350
Vontobel Financial    7.000   6/26/2020   EUR   39.590
Vontobel Financial    9.500   6/26/2020   EUR   37.230
Vontobel Financial   10.500   6/26/2020   EUR   36.150
Vontobel Financial   12.000   6/26/2020   EUR   35.170
Vontobel Financial   14.500   6/26/2020   EUR   72.080
Vontobel Financial   24.000   6/26/2020   EUR   55.290
Vontobel Financial   19.500   6/26/2020   EUR   62.720
Vontobel Financial    6.500   6/26/2020   EUR   55.620
Vontobel Financial   11.000   6/26/2020   EUR   45.130
Vontobel Financial    7.500   6/26/2020   EUR   48.520
Vontobel Financial    8.500   6/26/2020   EUR   69.230
Vontobel Financial   11.500   6/26/2020   EUR   62.960
Vontobel Financial   12.500   6/26/2020   EUR   41.820
Vontobel Financial   17.000   6/26/2020   EUR   38.960
Vontobel Financial    4.000   6/26/2020   EUR   72.770
Vontobel Financial   14.500   6/26/2020   EUR   60.270
Vontobel Financial    6.000   6/26/2020   EUR   65.130
Vontobel Financial   15.000   6/26/2020   EUR   53.950
Bank Julius Baer &   11.350   07/06/2020  EUR   61.750
Vontobel Financial   16.000   6/26/2020   EUR   64.790
Vontobel Financial   19.000   6/25/2020   EUR   72.130
Vontobel Financial    3.000   6/26/2020   EUR   63.200
Vontobel Financial    6.000   6/26/2020   EUR   58.750
Vontobel Financial   10.000   6/26/2020   EUR   55.260
Vontobel Financial   20.000   6/26/2020   EUR   58.970
Vontobel Financial   11.000   6/26/2020   EUR   73.310
Vontobel Financial   12.000   6/26/2020   EUR   70.970
Leonteq Securities   18.000   10/05/2020  CHF   62.710
Leonteq Securities   11.200   10/05/2020  CHF   72.700
Corner Banca SA      11.300   07/08/2020  EUR   57.250
Leonteq Securities    7.600   07/05/2021  CHF   68.190
Leonteq Securities    7.800   07/08/2021  CHF   72.780
Raiffeisen Schweiz    8.750   10/05/2020  CHF   42.740
Raiffeisen Schweiz    5.250   07/05/2021  CHF   56.000
Raiffeisen Schweiz    5.000   07/05/2022  CHF   68.830
UniCredit Bank AG     4.600   8/14/2023   EUR   70.930
Societe Generale Ef   5.500   6/26/2020   EUR   70.400
Raiffeisen Switzerl   4.800  11/23/2023   CHF   42.790
Landesbank Hessen-T   3.000  12/22/2022   EUR   68.140
Landesbank Hessen-T   6.250  12/22/2022   EUR   31.390
UniCredit Bank AG     4.450  12/29/2022   EUR   40.430
UniCredit Bank AG     4.300  12/19/2021   EUR   46.890
UniCredit Bank AG     4.700  12/19/2021   EUR   36.500
UniCredit Bank AG     5.500  12/19/2020   EUR   56.510
Natixis SA            3.690   11/09/2020  USD   36.940
Corner Banca SA      10.000   12/01/2020  CHF   50.180
Landesbank Hessen-T   3.250   07/08/2020  EUR   47.400
UniCredit Bank AG     4.150  12/28/2021   EUR   73.060
Leonteq Securities    6.400   06/04/2020  CHF    8.400
Leonteq Securities    8.000   06/04/2020  EUR   63.570
Vontobel Financial   11.500   6/26/2020   EUR   64.880
Vontobel Financial   17.000   9/25/2020   EUR   59.200
Vontobel Financial    7.500   9/25/2020   EUR   71.710
Zurcher Kantonalban   7.170   2/17/2021   CHF   63.730
Raiffeisen Schweiz    5.400   8/17/2022   CHF   60.150
Raiffeisen Schweiz    7.800   2/14/2022   EUR   62.630
Raiffeisen Schweiz    8.000   2/14/2022   CHF   63.590
Raiffeisen Schweiz   10.500   2/17/2021   CHF   54.130
Raiffeisen Schweiz    5.250   2/14/2022   CHF   72.160
Societe Generale Ef   4.500   6/26/2020   EUR   50.790
Societe Generale Ef   8.500   6/26/2020   EUR   44.300
Societe Generale Ef  12.500   6/26/2020   EUR   40.460
Vontobel Financial    9.000   06/12/2020  EUR   73.930
Vontobel Financial    8.000   09/11/2020  EUR   68.160
Vontobel Financial   10.500   06/12/2020  EUR   60.570
Vontobel Financial   14.500   09/11/2020  EUR   56.900
Vontobel Financial   16.500   06/12/2020  EUR   54.220
Vontobel Financial    7.500   09/11/2020  EUR   67.830
Vontobel Financial   11.000   09/11/2020  EUR   63.610
Vontobel Financial    7.000   09/11/2020  EUR   77.030
Vontobel Financial   11.500   06/12/2020  EUR   71.830
Vontobel Financial   13.500   06/12/2020  EUR   53.330
Vontobel Financial   16.500   09/11/2020  EUR   52.930
Vontobel Financial    5.500   09/11/2020  EUR   52.170
Vontobel Financial   10.000   06/12/2020  EUR   43.350
Vontobel Financial    8.000   09/11/2020  EUR   70.820
Vontobel Financial   12.500   12/11/2020  EUR   66.520
Vontobel Financial    8.500   12/11/2020  EUR   70.020
Vontobel Financial    9.500   12/11/2020  EUR   64.280
Vontobel Financial   17.500   09/11/2020  EUR   51.800
Vontobel Financial    8.000   12/11/2020  EUR   62.260
Vontobel Financial   12.500   12/11/2020  EUR   56.640
Zurcher Kantonalban  10.000   2/25/2021   CHF   70.920
Zurcher Kantonalban   6.000   5/25/2021   CHF   57.040
DZ Bank AG Deutsche   7.000   2/24/2021   EUR   71.500
Societe Generale Ef  13.250   1/22/2021   EUR   69.610
Societe Generale Ef   6.000  10/23/2020   EUR   69.800
Societe Generale Ef  17.000  10/23/2020   EUR   67.000
Societe Generale Ef  16.000  11/27/2020   EUR   67.840
Societe Generale Ef  10.250   1/22/2021   EUR   71.770
Societe Generale Ef  11.250   1/22/2021   EUR   70.990
Societe Generale Ef   7.500   9/25/2020   EUR   71.510
Societe Generale Ef   6.000  10/23/2020   EUR   72.810
Societe Generale Ef  23.000   8/28/2020   EUR   68.520
Vontobel Financial    3.500   12/11/2020  EUR   71.420
Vontobel Financial    7.000   12/11/2020  EUR   64.990
Vontobel Financial   11.500   09/11/2020  EUR   67.930
Vontobel Financial    9.500   06/12/2020  EUR   71.240
Vontobel Financial    9.000   09/11/2020  EUR   72.550
Vontobel Financial    7.500   09/11/2020  EUR   41.940
Vontobel Financial   10.000   09/11/2020  EUR   39.950
Zurcher Kantonalban  10.000   5/25/2021   CHF   68.300
Zurcher Kantonalban   5.600   5/25/2021   CHF   62.680
Zurcher Kantonalban   8.000   5/25/2021   EUR   64.370
Zurcher Kantonalban   6.000   5/25/2021   EUR   57.240
Zurcher Kantonalban   6.500   5/25/2021   EUR   67.390
Zurcher Kantonalban   8.600   8/25/2021   USD   71.260
Credit Suisse AG/Lo   9.500   2/16/2021   USD   72.260
Vontobel Financial    9.500   09/11/2020  EUR   64.840
DZ Bank AG Deutsche   6.000   6/24/2020   EUR   64.520
DZ Bank AG Deutsche   7.500   9/23/2020   EUR   61.690
DZ Bank AG Deutsche   5.250   8/26/2020   EUR   48.260
Societe Generale Ef  17.000   6/26/2020   EUR   67.170
Credit Suisse AG/Lo   7.000   11/06/2020  CHF   67.190
Zurcher Kantonalban   5.858   1/22/2021   CHF   64.880
UniCredit Bank AG    19.800   9/25/2020   EUR   67.230
UniCredit Bank AG    11.100  12/24/2021   EUR   72.530
UniCredit Bank AG    19.000   9/25/2020   EUR   71.360
Landesbank Baden-Wu   3.400   6/23/2023   EUR   71.350
UBS AG/London        15.700   9/24/2020   EUR   57.500
UBS AG/London         5.200   9/24/2020   EUR   53.820
UniCredit Bank AG    17.600   6/25/2021   EUR   54.560
UniCredit Bank AG    18.200   6/26/2020   EUR   75.260
UniCredit Bank AG    19.100   3/26/2021   EUR   67.140
UniCredit Bank AG    19.800   9/25/2020   EUR   68.420
UniCredit Bank AG    18.900  12/28/2020   EUR   67.070
UniCredit Bank AG    18.900   9/25/2020   EUR   68.960
UniCredit Bank AG    19.700  12/28/2020   EUR   66.860
UBS AG/London         2.500   9/24/2020   EUR   68.320
UniCredit Bank AG    17.400   6/25/2021   EUR   67.270
DZ Bank AG Deutsche  20.300   9/25/2020   EUR   44.580
DZ Bank AG Deutsche  14.100   2/26/2021   EUR   67.940
DZ Bank AG Deutsche   9.500   6/25/2021   EUR   70.740
DZ Bank AG Deutsche  13.400   3/26/2021   EUR   49.200
DZ Bank AG Deutsche  11.700   6/25/2021   EUR   50.770
DZ Bank AG Deutsche  12.000  12/28/2020   EUR   72.050
DZ Bank AG Deutsche   8.500   6/25/2021   EUR   72.230
DZ Bank AG Deutsche   3.000   3/26/2021   EUR
DZ Bank AG Deutsche   5.500   6/25/2021   EUR
DZ Bank AG Deutsche   8.200   2/26/2021   EUR
DZ Bank AG Deutsche   7.000   6/25/2021   EUR
DZ Bank AG Deutsche  16.100   2/26/2021   EUR   71.530
DZ Bank AG Deutsche  13.400   3/26/2021   EUR   73.630
DZ Bank AG Deutsche  12.000   6/25/2021   EUR   73.420
DZ Bank AG Deutsche  10.300   6/25/2021   EUR   70.370
DZ Bank AG Deutsche  11.400   6/25/2021   EUR
DZ Bank AG Deutsche  14.700   6/25/2021   EUR   68.160
UBS AG/London         5.900   9/24/2020   EUR   62.210
UBS AG/London         6.700   9/24/2020   EUR   67.430
UBS AG/London         1.900   9/24/2020   EUR   70.200
DZ Bank AG Deutsche  15.700   9/25/2020   EUR
DZ Bank AG Deutsche  10.900   6/25/2021   EUR   64.150
DZ Bank AG Deutsche  14.200   6/25/2021   EUR   71.710
BNP Paribas Issuanc  18.000   8/13/2029   EUR   67.060
Societe Generale Ef   4.750   1/22/2021   EUR   56.050
Bank Julius Baer &    4.750   08/07/2020  EUR   72.600
Bank Julius Baer &    7.820   08/07/2020  EUR   73.250
Societe Generale Ef   7.250   9/25/2020   EUR   45.800
Societe Generale Ef   9.250   9/25/2020   EUR   45.150
Societe Generale Ef   5.750  10/23/2020   EUR   46.450
Societe Generale Ef  17.000  12/28/2020   EUR   70.700
Societe Generale Ef   8.000   8/28/2020   EUR   44.840
Societe Generale Ef   3.250   9/25/2020   EUR   48.680
Societe Generale Ef   7.250  10/23/2020   EUR   69.940
Societe Generale Ef  12.750  11/27/2020   EUR   68.750
Credit Suisse AG/Lo   8.750   11/02/2020  USD   68.480
Credit Suisse AG/Lo   6.000   02/07/2022  CHF   72.100
Credit Suisse AG/Lo   8.500   5/18/2021   EUR   62.870
Zurcher Kantonalban   5.750   8/27/2021   CHF   70.150
EFG International F  16.000   08/12/2020  CHF   48.350
EFG International F   9.000   08/09/2021  USD   69.900
EFG International F  11.000   08/07/2020  EUR   68.350
EFG International F   8.600   08/09/2021  CHF   62.580
UniCredit Bank AG     4.650   09/11/2023  EUR   68.410
Societe Generale Ef   6.500   6/26/2020   EUR   66.270
Societe Generale Ef  13.500   9/25/2020   EUR   56.200
Vontobel Financial    4.000   1/13/2021   EUR   68.190
Leonteq Securities    3.000   2/19/2024   CHF   72.790
Raiffeisen Switzerl  10.000   2/19/2021   USD   38.520
Credit Suisse AG/Lo   7.000   8/19/2021   CHF   71.250
Credit Suisse AG/Lo   4.850   2/27/2023   EUR   72.870
Vontobel Financial    5.040   2/23/2021   EUR   66.860
Societe Generale Ef   6.750  10/23/2020   EUR   71.410
Societe Generale Ef   7.750  10/23/2020   EUR   70.040
Societe Generale Ef   8.750  10/23/2020   EUR   68.820
Societe Generale Ef   9.750  10/23/2020   EUR   67.800
Societe Generale Ef   3.750  12/28/2020   EUR   71.210
Societe Generale Ef   5.750  12/28/2020   EUR   68.770
Societe Generale Ef   9.000   1/22/2021   EUR   66.620
Societe Generale Ef   8.000   8/28/2020   EUR   68.190
Societe Generale Ef  10.000   8/28/2020   EUR   66.650
Societe Generale Ef   7.000  12/28/2020   EUR   71.710
Societe Generale Ef  10.000  12/28/2020   EUR   68.340
Societe Generale Ef  11.000  12/28/2020   EUR   67.450
Societe Generale Ef   7.750   9/25/2020   EUR   69.680
Raiffeisen Switzerl   7.000   8/19/2021   EUR   62.800
EFG International F   8.160   2/26/2025   EUR   48.640
Bank Julius Baer &    6.400   2/23/2021   USD   73.950
Vontobel Financial   18.300   8/21/2020   USD   31.060
Vontobel Financial   13.950   8/21/2020   USD   53.270
Zurcher Kantonalban  10.200   2/19/2021   CHF   59.510
Zurcher Kantonalban   7.602   2/19/2021   CHF   63.580
Vontobel Financial    5.600   2/22/2021   EUR   44.480
Corner Banca SA      14.200   8/24/2021   USD   56.430
Raiffeisen Schweiz    5.600   5/20/2021   CHF   66.360
Leonteq Securities    6.800   2/20/2023   CHF   59.550
Bank Julius Baer &    9.000   2/23/2021   EUR   57.950
Landesbank Hessen-T   3.750   6/15/2020   EUR   59.700
Landesbank Hessen-T   2.600   6/15/2020   EUR   66.200
Leonteq Securities    7.260  11/16/2020   CHF   52.740
DekaBank Deutsche G   1.900  11/20/2020   EUR   67.440
DekaBank Deutsche G   3.000   06/12/2020  EUR   58.820
EFG International F   7.200  11/23/2020   CHF   53.720
EFG International F   7.000  11/23/2020   CHF   40.890
EFG International F   8.000  11/23/2020   EUR   49.930
EFG International F   7.800  11/24/2020   USD   40.150
Landesbank Hessen-T   5.400  11/24/2022   EUR   35.630
Landesbank Baden-Wu   3.000  12/29/2020   EUR   62.990
Landesbank Baden-Wu   3.500  12/29/2020   EUR   50.720
Leonteq Securities    6.400  11/17/2020   CHF   53.080
Raiffeisen Schweiz    7.300  11/13/2020   CHF   62.260
DekaBank Deutsche G   2.550   12/11/2020  EUR   54.500
Landesbank Hessen-T   7.800  12/15/2022   EUR   39.880
Landesbank Hessen-T   7.250   3/15/2023   EUR   59.410
Landesbank Baden-Wu   2.200   8/28/2020   EUR   64.460
Landesbank Baden-Wu   2.450   8/28/2020   EUR   72.330
Landesbank Baden-Wu   3.000   8/28/2020   EUR   59.960
Landesbank Baden-Wu   3.350   8/28/2020   EUR   63.570
Societe Generale SA  11.500  11/30/2020   USD
EFG International F   6.800  11/29/2021   CHF   63.930
EFG International F   7.000  11/30/2020   CHF   54.450
EFG International F   7.200  11/30/2020   EUR   48.440
Landesbank Baden-Wu   2.750   3/25/2022   EUR   70.950
Landesbank Baden-Wu   2.800   3/25/2022   EUR   60.780
Landesbank Baden-Wu   2.500   3/25/2022   EUR   61.940
Leonteq Securities    4.200   06/01/2021  CHF   30.150
DekaBank Deutsche G   2.000   12/11/2020  EUR   66.110
Landesbank Baden-Wu   2.350  11/26/2021   EUR   67.770
Landesbank Baden-Wu   3.500  11/26/2021   EUR   69.770
Zurcher Kantonalban   7.000   9/14/2020   CHF   64.660
Leonteq Securities    6.100   3/15/2021   CHF   68.890
DZ Bank AG Deutsche   6.000   9/27/2021   EUR   65.100
Raiffeisen Schweiz    7.300   9/14/2020   CHF   51.980
Raiffeisen Schweiz    7.000   9/14/2020   CHF   52.620
Raiffeisen Schweiz    6.500   9/14/2020   EUR   62.800
Raiffeisen Schweiz    6.100   9/14/2020   CHF   68.870
Raiffeisen Schweiz    5.300   9/14/2020   CHF   68.540
Landesbank Hessen-T   4.000   10/12/2022  EUR   58.940
Landesbank Hessen-T   3.000   7/15/2021   EUR   71.700
DekaBank Deutsche G   2.300   10/02/2020  EUR   70.830
DekaBank Deutsche G   2.900   10/02/2020  EUR   65.170
Basler Kantonalbank   4.950   9/25/2020   CHF   65.730
Landesbank Hessen-T   5.200  10/22/2024   EUR   57.550
UniCredit Bank AG     5.550   10/05/2021  EUR   52.370
UniCredit Bank AG     4.500   10/05/2022  EUR   65.120
UBS AG/London         6.250   9/14/2020   CHF   51.650
Raiffeisen Schweiz    6.300   06/10/2020  CHF   54.390
Raiffeisen Schweiz    6.000   12/07/2020  EUR   46.520
UBS AG/London         7.000   12/07/2020  EUR   69.100
UBS AG/London        12.000   06/05/2020  EUR   43.150
UBS AG/London         6.200   12/07/2020  EUR   53.100
UniCredit Bank AG     5.050   01/11/2022  EUR   33.320
UniCredit Bank AG     4.750   01/11/2022  EUR   61.000
UniCredit Bank AG     5.750   01/11/2022  EUR   43.100
Landesbank Baden-Wu   4.000   7/24/2020   EUR   61.120
Landesbank Baden-Wu   3.600   7/24/2020   EUR   45.600
Bank Julius Baer &   10.900  12/14/2020   USD   46.250
Landesbank Hessen-T   4.300   7/17/2020   EUR   55.900
DekaBank Deutsche G   2.150   1/21/2022   EUR   47.720
HSBC Trinkaus & Bur   3.100   6/26/2020   EUR   67.150
UBS AG/London        12.000   06/12/2020  USD   19.100
Nordea Bank Abp       7.340   1/20/2024   SEK   73.500
Commerzbank AG        2.980  12/28/2021   EUR   49.570
Commerzbank AG        2.980  12/28/2021   USD   49.100
DekaBank Deutsche G   6.000   06/11/2021  EUR   45.490
Landesbank Baden-Wu   4.100   1/28/2022   EUR   52.740
UBS AG/London        10.000   6/19/2020   EUR   67.150
EFG International F  14.800   8/19/2021   CHF   65.150
Raiffeisen Schweiz    4.600   2/20/2023   CHF   62.580
Leonteq Securities   10.000   8/19/2021   CHF   60.630
Bank Julius Baer &    8.100   2/23/2021   EUR   62.050
Raiffeisen Centroba  20.605  12/23/2020   EUR   71.700
Raiffeisen Centroba  24.137  12/23/2020   EUR   72.010
Vontobel Financial   18.650   8/21/2020   USD   74.070
Raiffeisen Centroba  18.250  12/23/2020   EUR   69.280
EFG International F   8.620   8/24/2022   CHF   66.750
Leonteq Securities   14.000   2/24/2021   USD   63.930
Corner Banca SA       8.000   2/24/2021   CHF   44.650
Bank Julius Baer &    6.200   2/23/2021   CHF   70.850
Vontobel Financial   21.600   8/21/2020   USD   32.100
Landesbank Baden-Wu   4.200   2/26/2021   EUR   73.610
Landesbank Baden-Wu   3.250   2/26/2021   EUR   71.720
Landesbank Baden-Wu   6.000   2/26/2021   EUR   68.280
Landesbank Baden-Wu  10.500   2/26/2021   EUR   65.360
Landesbank Baden-Wu   1.900   2/26/2021   EUR   65.320
Landesbank Baden-Wu   4.000   2/26/2021   EUR   61.870
Landesbank Baden-Wu   3.000   2/26/2021   EUR   64.780
Landesbank Baden-Wu   7.500   2/26/2021   EUR   68.160
Landesbank Baden-Wu   4.700   2/26/2021   EUR   68.130
Landesbank Baden-Wu   5.200   2/26/2021   EUR   66.750
Landesbank Baden-Wu   6.000   2/26/2021   EUR   69.240
Landesbank Baden-Wu   3.000   2/26/2021   EUR   73.830
Landesbank Baden-Wu   4.500   2/26/2021   EUR   68.260
Landesbank Baden-Wu   7.500   2/26/2021   EUR   64.990
Landesbank Baden-Wu  12.000   2/26/2021   EUR   66.170
Landesbank Baden-Wu  11.500   2/26/2021   EUR   62.720
Landesbank Baden-Wu   2.900   2/26/2021   EUR   72.260
Landesbank Baden-Wu   3.600   2/26/2021   EUR   71.330
Landesbank Baden-Wu   4.400   2/26/2021   EUR   70.520
Landesbank Baden-Wu   3.500   2/26/2021   EUR   74.660
Landesbank Baden-Wu   2.300   2/26/2021   EUR   52.910
Landesbank Baden-Wu   4.000   2/26/2021   EUR   67.130
Landesbank Baden-Wu   6.250   2/26/2021   EUR   64.790
Landesbank Baden-Wu   2.400   2/26/2021   EUR   51.370
Landesbank Baden-Wu   3.500   2/26/2021   EUR   50.140
Landesbank Baden-Wu   4.000   2/26/2021   EUR   49.760
Landesbank Baden-Wu   4.500   2/26/2021   EUR   49.020
Landesbank Baden-Wu   2.000   2/26/2021   EUR   70.330
Societe Generale Ef   8.000  10/23/2020   EUR   45.440
Societe Generale Ef  13.000  11/27/2020   EUR   70.120
Societe Generale Ef  12.000  12/28/2020   EUR   70.790
Societe Generale Ef  21.250  10/23/2020   EUR   71.210
Societe Generale Ef  10.500  10/23/2020   EUR   68.920
Societe Generale Ef  12.500  10/23/2020   EUR   67.560
Societe Generale Ef  12.250   1/22/2021   EUR   68.280
Societe Generale Ef  15.500  11/27/2020   EUR   60.220
Societe Generale Ef   9.000   1/22/2021   EUR   64.900
Societe Generale Ef  13.000   8/28/2020   EUR   60.070
Societe Generale Ef  15.000   8/28/2020   EUR   58.970
Societe Generale Ef   9.500   9/25/2020   EUR   63.080
Societe Generale Ef  12.500   9/25/2020   EUR   60.790
Societe Generale Ef  12.500  10/23/2020   EUR   61.210
Societe Generale Ef   5.500  11/27/2020   EUR   69.140
Societe Generale Ef   6.500  11/27/2020   EUR   67.460
Societe Generale Ef   8.500  11/27/2020   EUR   64.940
Societe Generale Ef  12.500  11/27/2020   EUR   61.740
Societe Generale Ef  13.250  11/27/2020   EUR   67.360
Societe Generale Ef   7.000  12/28/2020   EUR   72.190
Societe Generale Ef   5.750   9/25/2020   EUR   71.940
Societe Generale Ef  17.500  10/23/2020   EUR   60.430
Societe Generale Ef   7.500  12/28/2020   EUR   67.270
Societe Generale Ef  13.000  12/28/2020   EUR   67.840
Societe Generale Ef   6.250   1/22/2021   EUR   73.100
Societe Generale Ef  12.000   1/22/2021   EUR   62.560
Societe Generale Ef  13.000   1/22/2021   EUR   62.020
Societe Generale Ef  14.000   1/22/2021   EUR   61.510
Societe Generale Ef  14.750   8/28/2020   EUR   65.840
Societe Generale Ef   5.500   9/25/2020   EUR   74.310
Societe Generale Ef   7.500   9/25/2020   EUR   71.630
Societe Generale Ef  11.500   9/25/2020   EUR   68.050
Zurcher Kantonalban   6.000   8/24/2021   EUR   71.480
Vontobel Financial   20.450   8/20/2020   USD   73.780
Credit Suisse AG/Lo   7.500   06/04/2020  CHF   67.310
Landesbank Baden-Wu   5.000   3/26/2021   EUR   70.010
Landesbank Baden-Wu   6.000   3/26/2021   EUR   70.500
Landesbank Baden-Wu   3.000   3/26/2021   EUR   52.970
Landesbank Baden-Wu   4.500   3/26/2021   EUR   49.410
Landesbank Baden-Wu   4.000   3/26/2021   EUR   65.680
Landesbank Baden-Wu   4.500   3/26/2021   EUR   42.160
Landesbank Baden-Wu   4.000   3/26/2021   EUR   60.240
Landesbank Baden-Wu   8.000   9/24/2021   EUR   70.910
Landesbank Baden-Wu   3.000   3/26/2021   EUR   63.040
Landesbank Baden-Wu   3.500   3/26/2021   EUR   59.300
Landesbank Baden-Wu   4.500   3/26/2021   EUR   56.900
Vontobel Financial    9.500   06/12/2020  EUR   58.390
Vontobel Financial   15.500   06/12/2020  EUR   40.570
Vontobel Financial   17.000   06/12/2020  EUR   56.330
Vontobel Financial   10.500   06/12/2020  EUR   69.840
Vontobel Financial    9.000   06/12/2020  EUR   63.360
DZ Bank AG Deutsche   8.200   3/24/2021   EUR
DZ Bank AG Deutsche   8.500   9/23/2020   EUR   47.030
DZ Bank AG Deutsche   5.700   9/23/2020   EUR   70.900
DZ Bank AG Deutsche   6.900   9/23/2020   EUR
DZ Bank AG Deutsche   5.400   3/24/2021   EUR
DZ Bank AG Deutsche  10.500   9/23/2020   EUR
EFG International F   7.000   03/07/2022  CHF   66.370
DZ Bank AG Deutsche   9.500   3/24/2021   EUR
UBS AG/London        11.000   09/07/2020  EUR   40.200
UBS AG/London         4.500   09/07/2020  CHF   69.450
Societe Generale Ef  18.250   8/28/2020   EUR   64.860
Societe Generale Ef  18.500   9/25/2020   EUR   64.620
Societe Generale Ef  11.250  10/23/2020   EUR   68.910
Erste Group Bank AG   8.250   3/29/2024   EUR   64.550
Societe Generale Ef  10.500  10/23/2020   EUR   61.590
Societe Generale Ef  14.500  11/27/2020   EUR   59.740
Societe Generale Ef  11.500  10/23/2020   EUR   69.750
UBS AG/London         5.400  12/28/2020   EUR   46.980
Societe Generale Ef  11.500  12/28/2020   EUR   68.820
UBS AG/London         3.900   6/25/2020   EUR   49.250
Societe Generale Ef  17.250  10/23/2020   EUR   65.380
UBS AG/London         4.500   9/24/2020   EUR   71.040
Zurcher Kantonalban   7.000   09/03/2021  CHF   70.430
Zurcher Kantonalban   6.000   06/08/2020  EUR   61.780
Credit Suisse AG/Lo   7.000   09/02/2020  USD   53.590
Landesbank Hessen-T   4.000   04/12/2023  EUR   70.810
Landesbank Hessen-T   4.000   04/12/2023  EUR   56.530
DZ Bank AG Deutsche   5.000   6/22/2020   EUR   51.800
DZ Bank AG Deutsche   3.900   6/22/2020   EUR   59.750
Leonteq Securities    7.500   03/11/2021  CHF   55.480
DZ Bank AG Deutsche   5.000   6/24/2020   EUR   69.020
DekaBank Deutsche G   2.900   04/08/2022  EUR   68.920
DekaBank Deutsche G   2.500   04/09/2021  EUR   51.510
DekaBank Deutsche G   3.100   04/08/2022  EUR   62.880
DekaBank Deutsche G   3.300   04/08/2022  EUR   47.320
Bank Julius Baer &   10.800   06/12/2020  CHF   57.650
Raiffeisen Schweiz    6.400   09/08/2021  CHF   69.700
Raiffeisen Schweiz    7.200   09/08/2020  CHF   66.090
Zurcher Kantonalban   6.250   3/19/2021   CHF   68.270
Zurcher Kantonalban   6.500   3/19/2021   EUR   64.710
Credit Suisse AG/Lo   8.000   06/12/2020  EUR   54.810
Deutsche Bank AG      3.200   9/22/2020   EUR   58.900
Goldman Sachs & Co   13.000   3/24/2021   EUR   60.670
HSBC Trinkaus & Bur   3.000   08/10/2020  EUR   60.170
UBS AG/London         5.000   3/15/2021   CHF   67.850
UBS AG/London         8.000   3/15/2021   EUR   37.900
UBS AG/London        11.000   3/15/2021   CHF   73.150
UBS AG/London         8.000   3/15/2021   CHF   68.900
Landesbank Baden-Wu   3.250   8/27/2021   EUR   52.830
UBS AG/London         7.000   3/15/2021   EUR   53.000
Leonteq Securities    5.000   9/13/2021   CHF   54.710
Deutsche Bank AG      3.200   6/23/2020   EUR   63.350
Deutsche Bank AG      3.200   9/22/2020   EUR   49.790
UniCredit Bank AG     4.050   10/09/2020  EUR   72.930
UBS AG/London        10.000   09/07/2020  CHF   32.900
UBS AG/London        10.000   09/07/2020  EUR   60.900
Raiffeisen Schweiz   12.900   9/14/2020   GBP   52.710
Credit Suisse AG/Lo   5.750   01/03/2022  CHF   69.570
Zurcher Kantonalban   5.000   07/02/2021  CHF   68.950
Vontobel Financial   15.000   09/11/2020  EUR   64.240
Vontobel Financial   13.500   06/12/2020  EUR   57.570
Vontobel Financial   15.000   06/12/2020  EUR   56.160
Vontobel Financial   15.000   06/12/2020  EUR   57.840
Vontobel Financial    8.000   09/11/2020  EUR   65.330
Vontobel Financial   13.000   06/12/2020  EUR   45.220
Vontobel Financial    9.500   06/12/2020  EUR   44.290
Vontobel Financial   13.000   06/12/2020  EUR   61.620
UBS AG/London         5.750   07/03/2020  CHF   65.400
Vontobel Financial   12.350   9/18/2020   EUR   59.200
Vontobel Financial    7.650   09/11/2020  EUR   65.230
Zurcher Kantonalban   8.500   07/10/2020  CHF   51.950
Zurcher Kantonalban   7.000   07/10/2020  CHF   66.430
Zurcher Kantonalban   6.000   07/12/2021  CHF   60.390
Vontobel Financial    5.500   6/26/2020   EUR   65.500
Vontobel Financial    7.000   6/26/2020   EUR   61.200
Vontobel Financial   17.000   6/26/2020   EUR   46.630
Vontobel Financial   13.500   6/26/2020   EUR   60.280
Vontobel Financial    8.000   6/26/2020   EUR   61.850
Vontobel Financial   12.500   6/26/2020   EUR   56.310
UniCredit Bank AG     5.100  12/19/2020   EUR   55.650
UniCredit Bank AG     5.900  12/19/2020   EUR   27.030
Landesbank Hessen-T   4.400   01/05/2023  EUR   38.460
EFG International F   7.000   5/23/2022   EUR   44.990
Credit Suisse AG/Lo   7.000   5/20/2021   CHF   73.820
Credit Suisse AG/Lo   8.750   5/20/2021   GBP   62.610
Landesbank Baden-Wu   5.000   3/26/2021   EUR   72.800
Landesbank Baden-Wu   9.000   3/26/2021   EUR   73.030
Landesbank Baden-Wu   4.000   9/24/2021   EUR   72.550
Landesbank Baden-Wu   7.500   3/26/2021   EUR   73.580
Landesbank Baden-Wu   6.000   3/26/2021   EUR   47.570
Landesbank Baden-Wu   5.000   3/26/2021   EUR   50.790
Raiffeisen Switzerl   8.500   8/24/2021   EUR   72.100
Leonteq Securities    8.130   2/21/2022   EUR   64.800
Landesbank Baden-Wu   3.000   3/26/2021   EUR   62.700
Landesbank Baden-Wu   5.000   3/26/2021   EUR   53.760
Landesbank Baden-Wu   2.500   3/26/2021   EUR   70.590
Leonteq Securities    4.000   2/21/2022   EUR   69.790
Leonteq Securities    5.700   2/21/2022   CHF   62.000
Landesbank Baden-Wu   2.500   3/26/2021   EUR   62.220
Landesbank Baden-Wu   5.000   3/26/2021   EUR   57.580
Landesbank Baden-Wu   3.000   3/26/2021   EUR   61.020
Corner Banca SA      12.800   8/24/2021   CHF   60.770
Vontobel Financial   14.000   06/12/2020  EUR   50.200
Vontobel Financial   13.000   06/12/2020  EUR   61.310
Vontobel Financial    8.500   06/12/2020  EUR   67.850
Vontobel Financial   11.500   06/12/2020  EUR   63.100
Vontobel Financial    6.500   06/12/2020  EUR   68.150
Vontobel Financial   11.500   06/12/2020  EUR   59.210
DZ Bank AG Deutsche   9.200  12/23/2020   EUR   64.420
DZ Bank AG Deutsche   7.900   3/24/2021   EUR   66.490
DZ Bank AG Deutsche   8.500   3/24/2021   EUR   66.140
DZ Bank AG Deutsche   6.200   9/23/2020   EUR
DZ Bank AG Deutsche   5.200  12/23/2020   EUR
DZ Bank AG Deutsche   4.500   3/24/2021   EUR
DZ Bank AG Deutsche   7.800  12/23/2020   EUR   48.850
DZ Bank AG Deutsche   6.700   6/23/2021   EUR   51.110
DZ Bank AG Deutsche   6.100  12/23/2020   EUR
DZ Bank AG Deutsche   5.000   6/23/2021   EUR
UBS AG/London         5.000   03/08/2021  CHF   67.700
Societe Generale Ef   8.500   9/25/2020   EUR   71.500
Societe Generale Ef  16.500   9/25/2020   EUR   65.620
Societe Generale Ef   7.250  10/23/2020   EUR   72.750
Societe Generale Ef  16.500   9/25/2020   EUR   57.850
Societe Generale Ef  10.500  11/27/2020   EUR   70.430
Societe Generale Ef  15.500  12/28/2020   EUR   66.710
UBS AG/London         6.600   6/25/2020   EUR   64.180
Societe Generale Ef  14.250   8/28/2020   EUR   67.030
Societe Generale Ef  14.250  11/27/2020   EUR   67.050
UBS AG/London         6.700  12/28/2020   EUR   44.890
UBS AG/London         7.400  12/28/2020   EUR   43.920
Leonteq Securities    5.000   03/08/2021  CHF   70.110
DekaBank Deutsche G   2.500  10/24/2023   EUR   55.580
EFG International F   5.400   9/27/2021   CHF   71.190
UBS AG/London         7.500   9/14/2020   CHF   66.700
UniCredit Bank AG     5.900   10/05/2021  EUR   55.380
Leonteq Securities    6.000   9/27/2021   CHF   68.780
Raiffeisen Schweiz    7.000   9/21/2020   CHF   65.390
Vontobel Financial    3.950   9/14/2020   EUR   62.370
UniCredit Bank AG     3.450   9/14/2022   EUR   53.460
UniCredit Bank AG     4.200   10/09/2020  EUR   63.650
UniCredit Bank AG     6.300   10/09/2020  EUR   72.310
HSBC Trinkaus & Bur   4.300   9/25/2020   EUR   51.680
HSBC Trinkaus & Bur   6.700   9/25/2020   EUR   46.220
UniCredit Bank AG     5.500  10/26/2021   EUR   57.160
Landesbank Baden-Wu   2.300  12/27/2021   EUR   68.520
Landesbank Baden-Wu   3.150  12/27/2021   EUR   67.070
Skandinaviska Enski   4.000   7/17/2023   SEK   59.720
Landesbank Baden-Wu   3.050   9/23/2022   EUR   55.770
Raiffeisen Centroba   8.699   9/23/2020   EUR   61.550
Credit Suisse AG/Lo   8.000   6/29/2020   CHF   67.870
Raiffeisen Schweiz    7.500   9/29/2020   CHF   30.450
Leonteq Securities    5.800   3/29/2021   CHF   52.590
Raiffeisen Schweiz    5.400   9/29/2021   CHF   71.240
Raiffeisen Schweiz    6.200   3/29/2021   CHF   68.370
Vontobel Financial    4.150   6/19/2020   EUR   40.100
Vontobel Financial    6.500   6/19/2020   USD   69.380
Vontobel Financial    5.450   8/24/2020   EUR   65.150
Vontobel Financial   15.000   06/12/2020  EUR   67.050
DekaBank Deutsche G   3.000   4/14/2022   EUR   72.130
Landesbank Baden-Wu   5.000   7/24/2020   EUR   51.380
Landesbank Baden-Wu   3.500  12/29/2020   EUR   53.850
Banque Cantonale Va   8.000   9/29/2020   CHF   70.090
Vontobel Financial    6.100   6/19/2020   EUR   47.360
Vontobel Financial    4.900   6/19/2020   EUR   72.700
Deutsche Bank AG      8.200   6/23/2020   EUR   53.520
Deutsche Bank AG      8.200  12/22/2020   EUR   55.090
Societe Generale Ef   3.250   7/24/2020   EUR   60.270
Societe Generale Ef   4.250   7/24/2020   EUR   57.530
Societe Generale Ef   5.250   7/24/2020   EUR   55.530
Societe Generale Ef   6.250   7/24/2020   EUR   53.920
Societe Generale Ef   7.250   7/24/2020   EUR   52.580
Societe Generale Ef   3.750   7/24/2020   EUR   64.730
Societe Generale Ef   5.750   7/24/2020   EUR   59.800
Societe Generale Ef   7.750   7/24/2020   EUR   56.410
Societe Generale Ef   8.500   7/24/2020   EUR   67.610
Societe Generale Ef  12.750   7/24/2020   EUR   69.860
Societe Generale Ef   7.500   7/24/2020   EUR   63.470
Societe Generale Ef   9.500   7/24/2020   EUR   60.290
Societe Generale Ef  11.500   7/24/2020   EUR   57.960
Societe Generale Ef   4.250   7/24/2020   EUR   49.130
Societe Generale Ef   8.250   7/24/2020   EUR   42.620
Societe Generale Ef  10.250   7/24/2020   EUR   40.590
Societe Generale Ef  12.250   7/24/2020   EUR   38.920
Societe Generale Ef   5.250   7/24/2020   EUR   73.640
Societe Generale Ef   6.250   7/24/2020   EUR   71.490
Goldman Sachs & Co   10.000   6/24/2020   EUR   61.980
Goldman Sachs & Co   19.000   6/24/2020   EUR   46.790
Goldman Sachs & Co   17.000  12/23/2020   EUR   52.820
Goldman Sachs & Co   10.000   3/24/2021   EUR   62.760
Goldman Sachs & Co   15.000   3/24/2021   EUR   55.320
Goldman Sachs & Co   15.000   6/24/2020   EUR   60.590
Goldman Sachs & Co   13.000   9/23/2020   EUR   62.410
Goldman Sachs & Co    8.000  12/23/2020   EUR   71.100
Societe Generale Ef  12.250   7/24/2020   EUR   57.490
Goldman Sachs & Co    5.000   6/24/2020   EUR   60.140
Goldman Sachs & Co    7.000   6/24/2020   EUR   56.690
Goldman Sachs & Co    8.000   6/24/2020   EUR   53.500
Goldman Sachs & Co   20.000   6/24/2020   EUR   40.720
Goldman Sachs & Co    4.000   9/23/2020   EUR   63.110
Goldman Sachs & Co    5.000   9/23/2020   EUR   59.640
Goldman Sachs & Co    6.000   9/23/2020   EUR   56.500
Goldman Sachs & Co    8.000   9/23/2020   EUR   54.070
Goldman Sachs & Co   15.000  12/23/2020   EUR   46.280
Societe Generale Ef   5.750   7/24/2020   EUR   71.220
Goldman Sachs & Co    6.000   3/24/2021   EUR   58.770
Goldman Sachs & Co    7.000   3/24/2021   EUR   56.740
Goldman Sachs & Co   10.000   3/24/2021   EUR   52.020
Societe Generale Ef  16.750   7/24/2020   EUR   65.660
Goldman Sachs & Co   14.000  12/23/2020   EUR   72.330
Goldman Sachs & Co   13.000   3/24/2021   EUR   69.880
DZ Bank AG Deutsche   5.330   7/24/2020   EUR   56.650
Vontobel Financial   19.500   06/12/2020  EUR   44.110
Credit Suisse AG/Lo   8.500   07/02/2020  EUR   67.140
Vontobel Financial    8.000   06/12/2020  EUR   50.700
Landesbank Baden-Wu   5.500   9/25/2020   EUR   57.490
Landesbank Baden-Wu   4.000   9/25/2020   EUR   64.390
Landesbank Baden-Wu   5.000   9/25/2020   EUR   53.780
Landesbank Baden-Wu   7.000   9/25/2020   EUR   50.680
Landesbank Baden-Wu   6.000   9/25/2020   EUR   39.780
Landesbank Baden-Wu   6.500   9/25/2020   EUR   55.130
Landesbank Baden-Wu   5.000   9/25/2020   EUR   60.900
Landesbank Baden-Wu   6.000   9/25/2020   EUR   58.580
Landesbank Baden-Wu   7.000   9/25/2020   EUR   56.460
Landesbank Baden-Wu   5.000  10/23/2020   EUR   71.380
Landesbank Baden-Wu   6.000   9/25/2020   EUR   73.950
Landesbank Baden-Wu   6.000   9/25/2020   EUR   54.120
Landesbank Baden-Wu   3.000   9/25/2020   EUR   66.240
Landesbank Baden-Wu   7.000   9/25/2020   EUR   54.910
Landesbank Baden-Wu   3.000   9/25/2020   EUR   62.560
Landesbank Baden-Wu   3.000   9/25/2020   EUR   59.160
Landesbank Baden-Wu   7.000   9/25/2020   EUR   49.640
Landesbank Baden-Wu   5.500   9/25/2020   EUR   61.350
Landesbank Baden-Wu   5.000   9/25/2020   EUR   58.940
Landesbank Baden-Wu   5.000   9/25/2020   EUR   54.800
Vontobel Financial    8.500   9/25/2020   EUR   66.450
Goldman Sachs & Co   10.000   9/23/2020   EUR   71.750
Goldman Sachs & Co    9.000   6/24/2020   EUR   65.600
Goldman Sachs & Co   20.000   6/24/2020   EUR   48.730
Goldman Sachs & Co    7.000   9/23/2020   EUR   65.350
Goldman Sachs & Co   19.000   9/23/2020   EUR   49.950
Goldman Sachs & Co    6.000  12/23/2020   EUR   62.360
Goldman Sachs & Co    6.000   3/24/2021   EUR   65.620
Goldman Sachs & Co    7.000   6/24/2020   EUR   60.860
Goldman Sachs & Co    9.000   6/24/2020   EUR   55.510
Goldman Sachs & Co    4.000   9/23/2020   EUR   73.510
Goldman Sachs & Co    7.000   9/23/2020   EUR   61.760
Goldman Sachs & Co    4.000  12/23/2020   EUR   72.200
Goldman Sachs & Co    5.000  12/23/2020   EUR   66.760
Goldman Sachs & Co    7.000  12/23/2020   EUR   59.970
Goldman Sachs & Co    8.000  12/23/2020   EUR   58.220
Societe Generale Ef   3.000   6/26/2020   EUR   66.160
Raiffeisen Schweiz    7.000   7/26/2021   AUD   57.100
Vontobel Financial    7.000   9/25/2020   EUR   64.880
Vontobel Financial   16.500   6/26/2020   EUR   46.930
UBS AG/London         9.000   04/06/2021  CHF   73.450
Credit Suisse AG/Lo   4.000   05/05/2023  EUR   71.870
Deutsche Bank AG      6.200  12/22/2020   EUR   72.100
Societe Generale Ef  14.250   6/26/2020   EUR   68.090
Societe Generale Ef   3.500   6/26/2020   EUR   72.140
Societe Generale Ef   5.500   6/26/2020   EUR   66.240
Societe Generale Ef  13.750   6/26/2020   EUR   62.440
Landesbank Baden-Wu   4.300   9/25/2020   EUR   69.930
Societe Generale Ef   7.750   6/26/2020   EUR   71.110
Societe Generale Ef  11.750   6/26/2020   EUR   64.740
Societe Generale Ef  12.750   6/26/2020   EUR   69.890
Societe Generale Ef  12.000   6/26/2020   EUR   68.740
Societe Generale Ef  10.000   6/26/2020   EUR   55.090
UBS AG/London        11.000   2/19/2021   CHF   53.550
Societe Generale Ef  12.500   6/26/2020   EUR   74.680
UBS AG/London         9.000   2/19/2021   CHF   70.400
UBS AG/London        10.750   8/19/2021   CHF   70.450
UBS AG/London        12.000   8/19/2021   CHF   62.650
Banque Cantonale Va   6.100   08/09/2021  EUR   56.330
UniCredit Bank AG    12.200   9/25/2020   EUR   61.420
UniCredit Bank AG    14.400   3/26/2021   EUR   61.950
UniCredit Bank AG     8.500   6/26/2020   EUR   69.010
UniCredit Bank AG     6.200   6/26/2020   EUR   60.770
UniCredit Bank AG    14.200   6/26/2020   EUR   66.330
UniCredit Bank AG    12.100  12/24/2021   EUR   61.880
UniCredit Bank AG    13.400  12/24/2021   EUR   72.890
UniCredit Bank AG     8.900   9/25/2020   EUR   64.270
UniCredit Bank AG    12.300   3/26/2021   EUR   63.040
UniCredit Bank AG    11.900  12/24/2021   EUR   63.870
Corner Banca SA       9.000   11/09/2020  CHF   71.760
Leonteq Securities   10.000   08/09/2021  CHF   42.570
Leonteq Securities   10.400   11/09/2020  CHF   69.850
Leonteq Securities   10.800   08/09/2021  USD   71.720
Leonteq Securities   15.500   11/09/2020  CHF   50.660
Landesbank Baden-Wu   3.050   9/23/2022   EUR   61.840
Raiffeisen Schweiz    7.500   02/09/2021  EUR   64.890
Raiffeisen Schweiz    5.200   02/09/2021  CHF   63.540
Raiffeisen Schweiz    5.600   08/09/2022  CHF   64.060
Societe Generale Ef   3.500   6/26/2020   EUR   55.970
Societe Generale Ef  15.750   6/26/2020   EUR   57.810
Societe Generale Ef  10.500   7/24/2020   EUR   69.840
Societe Generale Ef  12.500   7/24/2020   EUR   67.110
Societe Generale Ef  14.250   7/24/2020   EUR   73.500
Societe Generale Ef  16.250   7/24/2020   EUR   70.270
Societe Generale Ef  13.000   7/24/2020   EUR   57.170
Societe Generale Ef   6.500   6/26/2020   EUR   61.090
Societe Generale Ef   4.000   7/24/2020   EUR   65.730
Societe Generale Ef  10.250   7/24/2020   EUR   48.870
Vontobel Financial   15.000   9/25/2020   EUR   71.840
Vontobel Financial   17.000   9/25/2020   EUR   58.980
Vontobel Financial   19.500   9/25/2020   EUR   56.980
Vontobel Financial   11.500   6/26/2020   EUR   70.910
Vontobel Financial   17.000   6/26/2020   EUR   62.520
Vontobel Financial   18.500   6/26/2020   EUR   60.700
Vontobel Financial   20.000   6/26/2020   EUR   58.970
Vontobel Financial    9.500   9/25/2020   EUR   67.750
Vontobel Financial    8.500   9/25/2020   EUR   69.130
Vontobel Financial   10.500   9/25/2020   EUR   66.390
Vontobel Financial   14.500   9/25/2020   EUR   61.180
Vontobel Financial   16.000   9/25/2020   EUR   60.140
Vontobel Financial   11.500   9/25/2020   EUR   65.040
Vontobel Financial   18.000   9/25/2020   EUR   57.820
Vontobel Financial   10.000   6/26/2020   EUR   73.260
Vontobel Financial   13.000   6/26/2020   EUR   68.670
Vontobel Financial   14.000   6/26/2020   EUR   66.480
Vontobel Financial   15.500   6/26/2020   EUR   64.460
Societe Generale Ef   7.500   6/26/2020   EUR   62.190
Societe Generale Ef   9.500   6/26/2020   EUR   59.130
Societe Generale Ef  11.500   6/26/2020   EUR   56.680
Landesbank Baden-Wu   4.000   9/25/2020   EUR   71.240
Landesbank Baden-Wu   8.500   9/25/2020   EUR   65.240
HSBC Trinkaus & Bur   2.420   8/28/2020   EUR   58.870
Landesbank Baden-Wu   3.900   8/28/2020   EUR   48.740
DZ Bank AG Deutsche   8.000   9/21/2020   EUR   61.890
DZ Bank AG Deutsche   6.600   9/21/2020   EUR   72.210
DZ Bank AG Deutsche   9.300   9/21/2020   EUR   69.870
DZ Bank AG Deutsche  10.700   9/21/2020   EUR   67.330
DZ Bank AG Deutsche   9.200  12/21/2020   EUR   67.260
DZ Bank AG Deutsche   9.000   6/24/2020   EUR   71.620
DekaBank Deutsche G   7.800   09/11/2020  EUR   63.260
Societe Generale Ef   6.000   7/24/2020   EUR   62.600
Societe Generale Ef  10.000   7/24/2020   EUR   63.160
Societe Generale Ef   8.500   6/26/2020   EUR   64.710
Societe Generale Ef  10.500   6/26/2020   EUR   62.590
Societe Generale Ef   8.000   7/24/2020   EUR   65.190
Landesbank Hessen-T   6.250  12/13/2024   EUR   55.330
Landesbank Baden-Wu   4.200  12/27/2021   EUR   69.860
Landesbank Baden-Wu   2.500  12/27/2021   EUR   70.900
BNP Paribas Emissio   3.000   9/24/2020   EUR   66.420
Societe Generale Ef   8.250   7/24/2020   EUR   51.440
Societe Generale Ef  11.750   7/24/2020   EUR   51.800
Societe Generale Ef  15.500   6/26/2020   EUR   68.670
Societe Generale Ef   9.500   7/24/2020   EUR   66.230
Societe Generale Ef   9.500   7/24/2020   EUR   71.700
Societe Generale Ef   5.500   7/24/2020   EUR   67.370
Societe Generale Ef   6.250   7/24/2020   EUR   45.320
Goldman Sachs & Co    7.000   6/24/2020   EUR   68.850
Societe Generale Ef   8.250   7/24/2020   EUR   67.970
Societe Generale Ef   9.250   7/24/2020   EUR   66.560
Goldman Sachs & Co   14.000   6/24/2020   EUR   53.200
Goldman Sachs & Co   21.000   6/24/2020   EUR   44.680
Goldman Sachs & Co    8.000   9/23/2020   EUR   67.820
Goldman Sachs & Co    9.000   9/23/2020   EUR   63.860
Goldman Sachs & Co   14.000   9/23/2020   EUR   53.730
Goldman Sachs & Co    7.000  12/23/2020   EUR   70.370
Goldman Sachs & Co    7.000  12/23/2020   EUR   68.290
Goldman Sachs & Co   10.000  12/23/2020   EUR   62.430
Goldman Sachs & Co   10.000  12/23/2020   EUR   60.750
Goldman Sachs & Co   15.000  12/23/2020   EUR   55.080
Goldman Sachs & Co    7.000   3/24/2021   EUR   69.010
Goldman Sachs & Co    8.000   6/24/2020   EUR   72.080
Goldman Sachs & Co    8.000   9/23/2020   EUR   72.250
Societe Generale Ef  16.250   7/24/2020   EUR   55.830
Goldman Sachs & Co    7.000  12/23/2020   EUR   72.930
Goldman Sachs & Co    9.000  12/23/2020   EUR   69.370
Goldman Sachs & Co   15.000  12/23/2020   EUR   61.340
Goldman Sachs & Co    8.000   3/24/2021   EUR   70.720
Societe Generale Ef  14.250   7/24/2020   EUR   55.150
Goldman Sachs & Co    3.000   6/24/2020   EUR   68.870
Goldman Sachs & Co    4.000   6/24/2020   EUR   64.230
Goldman Sachs & Co   10.000   6/24/2020   EUR   50.760
Goldman Sachs & Co   14.000   6/24/2020   EUR   46.120
Goldman Sachs & Co    2.000   9/23/2020   EUR   71.150
Goldman Sachs & Co    3.000   9/23/2020   EUR   66.980
Goldman Sachs & Co    3.000  12/23/2020   EUR   69.510
Goldman Sachs & Co    4.000  12/23/2020   EUR   62.370
Societe Generale Ef   6.750   7/24/2020   EUR   69.250
Societe Generale Ef   7.500   7/24/2020   EUR   73.140
Societe Generale Ef  14.750   7/24/2020   EUR   68.770
Societe Generale Ef  18.750   7/24/2020   EUR   62.920
Landesbank Baden-Wu   3.100   6/26/2020   USD   69.080
Vontobel Financial    7.000   6/19/2020   USD   61.450
Goldman Sachs & Co   16.000   9/23/2020   EUR   69.610
Societe Generale Ef  11.000   7/24/2020   EUR   63.340
Societe Generale Ef   6.000   7/24/2020   EUR   60.430
Societe Generale Ef   8.000   7/24/2020   EUR   58.060
Societe Generale Ef   9.000   7/24/2020   EUR   57.120
Goldman Sachs & Co   15.000   6/24/2020   EUR   70.740
Raiffeisen Centroba   5.750   05/06/2021  EUR   66.560
Vontobel Financial    6.000   06/12/2020  EUR   60.430
Vontobel Financial   11.500   06/12/2020  EUR   45.740
Vontobel Financial   16.000   06/12/2020  EUR   41.720
Landesbank Baden-Wu   8.000   9/25/2020   EUR   62.670
Landesbank Baden-Wu   3.500   9/25/2020   EUR   59.290
Landesbank Baden-Wu   8.000   9/25/2020   EUR   61.400
Landesbank Baden-Wu   3.000   9/25/2020   EUR   45.310
Landesbank Baden-Wu   4.500   9/25/2020   EUR   42.070
Landesbank Baden-Wu   3.500   9/25/2020   EUR   62.210
Landesbank Baden-Wu   8.000   9/25/2020   EUR   59.050
Leonteq Securities    5.800   7/26/2021   CHF   60.400
Landesbank Baden-Wu   4.500   9/25/2020   EUR   56.910
Landesbank Baden-Wu   5.000   9/25/2020   EUR   53.590
Landesbank Baden-Wu   4.000   9/25/2020   EUR   68.980
Landesbank Baden-Wu   6.500   9/25/2020   EUR   60.470
Landesbank Baden-Wu   3.000   9/25/2020   EUR   57.360
BNP Paribas Emissio   6.000   6/25/2020   EUR   46.510
Vontobel Financial   14.000   9/25/2020   EUR   68.170
Goldman Sachs & Co   12.000   6/24/2020   EUR   67.890
Goldman Sachs & Co   15.000   9/23/2020   EUR   63.730
Goldman Sachs & Co   18.000   9/23/2020   EUR   60.750
Goldman Sachs & Co   10.000  12/23/2020   EUR   71.070
Goldman Sachs & Co    9.000   3/24/2021   EUR   72.160
Goldman Sachs & Co   22.000   6/24/2020   EUR   46.710
Goldman Sachs & Co    6.000   9/23/2020   EUR   67.650
Goldman Sachs & Co    4.000  12/23/2020   EUR   69.550
Goldman Sachs & Co    6.000  12/23/2020   EUR   64.610
Goldman Sachs & Co    7.000  12/23/2020   EUR   60.760
Goldman Sachs & Co   15.000  12/23/2020   EUR   52.410
Goldman Sachs & Co    4.000   3/24/2021   EUR   69.770
Goldman Sachs & Co    4.000   3/24/2021   EUR   67.390
Goldman Sachs & Co    6.000   3/24/2021   EUR   63.480
Goldman Sachs & Co   10.000   3/24/2021   EUR   59.900
Goldman Sachs & Co   17.000   3/24/2021   EUR   54.950
Goldman Sachs & Co    5.000   6/24/2020   EUR   70.450
Goldman Sachs & Co   10.000   9/23/2020   EUR   55.260
Goldman Sachs & Co   15.000   9/23/2020   EUR   47.660
Goldman Sachs & Co   16.000   9/23/2020   EUR   46.500
Goldman Sachs & Co    4.000  12/23/2020   EUR   68.540
Vontobel Financial    9.500   9/25/2020   EUR   64.400
Goldman Sachs & Co    4.000   3/24/2021   EUR   71.590
Goldman Sachs & Co    5.000   3/24/2021   EUR   66.760
Goldman Sachs & Co    6.000   3/24/2021   EUR   62.450
Goldman Sachs & Co    8.000   3/24/2021   EUR   59.500
Goldman Sachs & Co   13.000   3/24/2021   EUR   52.890
Raiffeisen Schweiz    6.700   7/26/2021   EUR   72.060
Leonteq Securities    4.100   7/29/2020   CHF   62.410
EFG International F   5.750   04/04/2022  CHF   72.560
Deutsche Bank AG      6.200  12/22/2020   EUR   68.900
Bank Julius Baer &    9.700   7/29/2020   CHF   40.850
DZ Bank AG Deutsche   7.000   6/22/2020   EUR   71.740
DZ Bank AG Deutsche   4.750   9/21/2020   EUR   72.710
DZ Bank AG Deutsche   5.500   9/21/2020   EUR   66.660
DZ Bank AG Deutsche   4.750   9/21/2020   EUR   54.890
DZ Bank AG Deutsche   6.250   9/21/2020   EUR   63.000
DZ Bank AG Deutsche   7.000   9/21/2020   EUR   57.310
DZ Bank AG Deutsche   4.750   9/21/2020   EUR   40.100
DZ Bank AG Deutsche   8.000   6/22/2020   EUR   65.030
DZ Bank AG Deutsche   7.250   9/21/2020   EUR   61.660
DZ Bank AG Deutsche   7.100   6/22/2020   EUR   69.360
DZ Bank AG Deutsche   5.800   9/21/2020   EUR   70.840
DZ Bank AG Deutsche   6.500   9/21/2020   EUR   69.700
DZ Bank AG Deutsche   5.500   9/21/2020   EUR   42.890
DZ Bank AG Deutsche   6.500   9/21/2020   EUR   41.770
DZ Bank AG Deutsche   9.100   9/21/2020   EUR   68.840
DZ Bank AG Deutsche  10.500   9/21/2020   EUR   66.150
Deutsche Bank AG      6.200   9/22/2020   EUR   64.050
Deutsche Bank AG      6.200   9/22/2020   EUR   60.160
Deutsche Bank AG      6.200  12/22/2020   EUR   63.770
Erste Group Bank AG   6.000   4/29/2024   EUR   63.000
DekaBank Deutsche G   4.100   4/30/2021   EUR   61.420
Societe Generale Ef  16.750   6/26/2020   EUR   52.540
Banque Cantonale Va   4.500   3/29/2021   CHF   52.900
Bank Julius Baer &    5.700   7/30/2020   CHF   53.550
Zurcher Kantonalban   6.500   08/06/2021  CHF   67.480
Zurcher Kantonalban  10.750   08/06/2021  USD   72.290
Goldman Sachs & Co   11.000   6/24/2020   EUR   70.400
Raiffeisen Centroba  10.181   6/23/2020   EUR   53.120
Landesbank Baden-Wu   7.750   1/22/2021   EUR   68.350
Landesbank Baden-Wu   3.000   1/22/2021   EUR   65.450
Landesbank Baden-Wu   8.500   1/22/2021   EUR   68.200
UBS AG/London         5.500   9/24/2020   EUR   56.590
UBS AG/London        10.400   9/24/2020   EUR   57.130
Landesbank Baden-Wu   5.750   1/22/2021   EUR   65.770
Landesbank Baden-Wu   5.000   2/26/2021   EUR   67.200
Landesbank Baden-Wu   8.000   1/22/2021   EUR   65.260
Landesbank Baden-Wu   6.250   1/22/2021   EUR   66.680
Landesbank Baden-Wu   5.000   7/22/2022   EUR   69.510
Landesbank Baden-Wu   2.000   1/22/2021   EUR   66.560
Landesbank Baden-Wu   2.000   1/22/2021   EUR   55.900
Landesbank Baden-Wu   4.000   1/22/2021   EUR   58.950
Landesbank Baden-Wu   5.750   1/22/2021   EUR   55.770
BNP Paribas Emissio   9.500   9/24/2020   EUR   74.280
Landesbank Baden-Wu   4.400   1/22/2021   EUR   68.840
Landesbank Baden-Wu   7.000   1/22/2021   EUR   64.270
Landesbank Baden-Wu   2.750   1/22/2021   EUR   50.210
Landesbank Baden-Wu   6.500   1/22/2021   EUR   43.990
Landesbank Baden-Wu   4.000   1/22/2021   EUR   56.320
BNP Paribas Emissio  10.000   9/24/2020   EUR   73.800
BNP Paribas Emissio  12.000   9/24/2020   EUR   71.120
Landesbank Baden-Wu   2.000   1/22/2021   EUR   72.410
EFG International F   8.400  10/30/2020   EUR   69.380
Leonteq Securities   23.440   03/09/2021  CHF   27.980
UBS AG/London        21.900  12/28/2020   EUR   66.860
UBS AG/London        11.200   3/25/2021   EUR   66.970
UBS AG/London         9.200  12/28/2020   EUR   59.030
UBS AG/London         8.400   3/25/2021   EUR   73.380
UBS AG/London         8.600   3/25/2021   EUR   70.610
UBS AG/London         3.300   3/25/2021   EUR   69.480
UBS AG/London         7.000   6/24/2021   EUR   56.890
UBS AG/London         7.600   3/25/2021   EUR   56.580
UBS AG/London        11.300   3/25/2021   EUR   66.230
UBS AG/London         5.900  12/28/2020   EUR   73.740
UBS AG/London         5.500   3/25/2021   EUR   60.570
UBS AG/London         4.900   3/25/2021   EUR   69.840
UBS AG/London         7.200   3/25/2021   EUR   66.940
UBS AG/London        13.700   9/24/2020   EUR   58.240
UBS AG/London         8.400   3/25/2021   EUR   72.100
UBS AG/London        25.200   9/24/2020   EUR   59.140
UBS AG/London         7.100   9/23/2021   EUR   56.840
UBS AG/London         8.600   3/25/2021   EUR   71.130
UBS AG/London        12.400  12/28/2020   EUR   64.690
UBS AG/London        11.200  12/28/2020   EUR   72.760
UBS AG/London        13.400  12/28/2020   EUR   71.650
UBS AG/London         2.500   3/25/2021   EUR   64.870
UBS AG/London         7.400   6/24/2021   EUR   70.620
UBS AG/London         9.200   9/24/2020   EUR   66.370
UBS AG/London         8.200   6/24/2021   EUR   69.460
UBS AG/London        12.700   6/24/2021   EUR   70.950
UBS AG/London         3.500   3/25/2021   EUR   62.670
UBS AG/London         6.200   9/23/2021   EUR   70.080
UBS AG/London        12.000   3/25/2021   EUR   71.790
UBS AG/London         7.400   3/25/2021   EUR   63.740
UBS AG/London         5.800   3/25/2021   EUR   57.990
UBS AG/London        10.600  12/28/2020   EUR   73.280
UBS AG/London        10.200  12/28/2020   EUR   66.580
UBS AG/London         7.500   3/25/2021   EUR   72.310
UBS AG/London        13.100  12/28/2020   EUR   71.830
UBS AG/London         9.600   3/25/2021   EUR   72.510
UBS AG/London        10.900  12/28/2020   EUR   72.580
UBS AG/London         4.600   3/25/2021   EUR   60.870
UBS AG/London         6.400   3/25/2021   EUR   57.210
UBS AG/London         3.000   3/25/2021   EUR   62.630
UBS AG/London         5.200   3/25/2021   EUR   67.730
UBS AG/London         6.900  12/28/2020   EUR   67.430
UBS AG/London         5.400   3/25/2021   EUR   66.690
UBS AG/London         8.900   9/24/2020   EUR   61.150
UBS AG/London         4.400   3/25/2021   EUR   54.400
UBS AG/London         4.900   3/25/2021   EUR   66.680
UBS AG/London         7.900   3/25/2021   EUR   71.640
UBS AG/London         9.900   3/25/2021   EUR   65.860
UBS AG/London         8.400  12/28/2020   EUR   62.930
UBS AG/London         7.600   9/24/2020   EUR   62.730
UBS AG/London         8.400   3/25/2021   EUR   74.160
UBS AG/London         5.900   3/25/2021   EUR   58.980
UBS AG/London         9.100  12/28/2020   EUR   68.630
UBS AG/London        24.300   9/24/2020   EUR   61.800
UBS AG/London         5.000   3/25/2021   EUR   62.340
UBS AG/London         9.600  12/28/2020   EUR   50.810
UBS AG/London        13.400   9/24/2020   EUR   65.590
UBS AG/London        22.400  12/28/2020   EUR   63.800
UBS AG/London        17.500  12/28/2020   EUR   64.110
UBS AG/London        10.600  12/28/2020   EUR   72.590
UBS AG/London        15.700   9/24/2020   EUR   62.620
UBS AG/London         8.800   3/25/2021   EUR   71.190
UBS AG/London         4.600   3/25/2021   EUR   70.730
UBS AG/London         7.500   3/25/2021   EUR   68.330
UBS AG/London         5.200   6/24/2021   EUR   68.090
UBS AG/London         7.800  12/28/2020   EUR   67.290
UBS AG/London         5.600   3/25/2021   EUR   60.100
UBS AG/London        12.500   3/25/2021   EUR   68.340
UBS AG/London         5.600   3/25/2021   EUR   64.680
UBS AG/London         5.800   3/25/2021   EUR   58.400
UBS AG/London        11.800   6/24/2021   EUR   55.780
UBS AG/London         4.900   3/25/2021   EUR   59.690
UBS AG/London        12.000   3/25/2021   EUR   71.540
UBS AG/London        12.600  12/28/2020   EUR   64.730
UBS AG/London         9.000   9/23/2021   EUR   56.310
UBS AG/London         7.000   3/25/2021   EUR   57.330
UBS AG/London        12.500   3/25/2021   EUR   69.380
UBS AG/London        14.100  12/28/2020   EUR   66.380
UBS AG/London         3.900   3/25/2021   EUR   59.080
UBS AG/London        12.700   6/24/2021   EUR   70.410
UBS AG/London         8.600  12/28/2020   EUR   69.980
Raiffeisen Schweiz    6.900   8/13/2020   CHF   70.350
Zurcher Kantonalban  10.100   08/12/2020  EUR   43.700
Vontobel Financial   16.000   6/26/2020   EUR   59.850
Vontobel Financial   20.500   6/26/2020   EUR   55.620
Vontobel Financial   10.500   9/25/2020   EUR   66.810
Vontobel Financial   13.500   9/25/2020   EUR   62.660
Raiffeisen Schweiz   10.000   8/17/2021   CHF   68.810
Raiffeisen Schweiz    7.500   5/14/2021   CHF   59.050
Societe Generale Ef  18.632   6/19/2020   EUR   37.040
Societe Generale Ef  12.849   6/19/2020   EUR   39.020
Leonteq Securities    6.500   03/08/2021  CHF   70.690
Leonteq Securities    7.200   09/08/2021  CHF   54.090
Deutsche Bank AG      8.200   9/22/2020   EUR   67.500
Deutsche Bank AG      8.200   6/23/2020   EUR   51.700
Deutsche Bank AG      8.200   6/23/2020   EUR   49.600
Deutsche Bank AG      8.200  12/22/2020   EUR   53.300
DZ Bank AG Deutsche   8.000   6/22/2020   EUR   68.670
Credit Suisse AG/Lo   7.000   06/08/2020  CHF   66.120
DekaBank Deutsche G   2.400   04/09/2021  EUR   56.760
DekaBank Deutsche G   3.200   04/09/2021  EUR   63.070
DekaBank Deutsche G   3.100   04/08/2022  EUR   41.870
Raiffeisen Schweiz    6.200   03/08/2021  CHF   66.980
Leonteq Securities    4.000   03/08/2022  EUR   55.720
Raiffeisen Schweiz    7.200   03/08/2021  EUR   66.260
Deutsche Bank AG      3.200   6/23/2020   EUR   58.300
Deutsche Bank AG      3.200  12/22/2020   EUR   64.000
HSBC Trinkaus & Bur   9.500   6/26/2020   EUR   66.820
HSBC Trinkaus & Bur   8.800   6/26/2020   EUR   66.770
HSBC Trinkaus & Bur   6.000   6/26/2020   EUR   66.590
HSBC Trinkaus & Bur   9.400   6/26/2020   EUR   46.960
HSBC Trinkaus & Bur   6.000  12/28/2020   EUR   41.620
HSBC Trinkaus & Bur   8.700  12/28/2020   EUR   41.620
HSBC Trinkaus & Bur   7.700  12/28/2020   EUR   58.390
HSBC Trinkaus & Bur  11.000   6/26/2020   EUR   63.860
HSBC Trinkaus & Bur   8.800  12/28/2020   EUR   64.630
HSBC Trinkaus & Bur   7.600   6/25/2021   EUR   67.200
HSBC Trinkaus & Bur   6.500   6/25/2021   EUR   68.170
Landesbank Hessen-T   6.600   02/01/2024  EUR   58.190
Landesbank Baden-Wu   3.250   2/24/2023   EUR   62.520
UniCredit Bank AG     7.350   7/16/2020   EUR   39.760
HSBC Trinkaus & Bur   3.900   9/25/2020   EUR   50.940
HSBC Trinkaus & Bur   6.100   6/26/2020   EUR   46.080
HSBC Trinkaus & Bur   4.300   6/26/2020   EUR   51.080
HSBC Trinkaus & Bur   3.200   9/25/2020   EUR   54.330
HSBC Trinkaus & Bur   7.500   6/26/2020   EUR   68.380
BNP Paribas Emissio   8.500   6/25/2020   EUR   65.150
BNP Paribas Emissio  10.000   6/25/2020   EUR   51.670
Erste Group Bank AG   9.000   1/31/2024   EUR   73.100
BNP Paribas Emissio   5.000   6/25/2020   EUR   71.950
Societe Generale Ef  12.207   6/19/2020   EUR   58.560
Societe Generale Ef  18.953   6/19/2020   EUR   50.680
HSBC Trinkaus & Bur   5.100   6/26/2020   EUR   59.350
Corner Banca SA       6.200   03/08/2022  CHF   71.250
Leonteq Securities   10.200   06/08/2020  USD   35.250
Leonteq Securities    8.000   09/08/2021  EUR   57.460
Deutsche Bank AG      8.200  12/22/2020   EUR   66.200
Deutsche Bank AG      8.200   6/23/2020   EUR   38.100
Deutsche Bank AG      8.200  12/22/2020   EUR   41.900
Deutsche Bank AG      8.200   9/22/2020   EUR   70.600
Deutsche Bank AG      8.200   6/23/2020   EUR   67.000
Deutsche Bank AG      8.200  12/22/2020   EUR   68.900
DZ Bank AG Deutsche   4.750   6/22/2020   EUR   63.620
Leonteq Securities    6.000   9/14/2021   CHF   64.980
Societe Generale Ef  13.200   9/19/2023   SEK   55.530
Landesbank Baden-Wu   2.200  12/23/2022   EUR   68.700
Landesbank Hessen-T   4.000  11/28/2024   EUR   68.570
Center-Invest Comme   7.000   03/03/2022  RUB   63.130
Zurcher Kantonalban   6.500   9/20/2021   CHF   68.240
Goldman Sachs & Co   10.000   3/24/2021   EUR   62.850
UBS AG/London         9.500   3/15/2021   EUR   68.050
UBS AG/London         6.000   3/15/2021   CHF   66.250
Erste Group Bank AG   4.250   9/28/2022   EUR   65.950
EFG International F   6.100   09/07/2020  CHF   61.240
UniCredit Bank AG     4.500   10/09/2020  EUR   54.700
Deutsche Bank AG      3.200  12/22/2020   EUR   52.250
Deutsche Bank AG      3.200  12/22/2020   EUR   44.940
UBS AG/London         5.500   09/07/2020  CHF   56.850
UniCredit Bank AG     4.400   04/12/2023  EUR   72.970
DekaBank Deutsche G   6.300   10/01/2021  EUR   53.280
Bank Julius Baer &    7.760   3/15/2021   CHF   60.350
UBS AG/London         7.000   3/15/2021   CHF   67.500
UBS AG/London         8.000   3/15/2021   CHF   70.050
UBS AG/London        11.000   3/15/2021   EUR   46.900
Erste Group Bank AG   8.000   9/28/2023   EUR   52.900
Landesbank Baden-Wu   2.600   8/27/2021   EUR   71.560
Landesbank Baden-Wu   3.250   8/27/2021   EUR   73.030
Credit Suisse AG/Lo   5.250   9/13/2021   CHF   67.280
Landesbank Baden-Wu   3.600  12/29/2020   EUR   60.690
Bayerische Landesba   2.500   08/07/2020  EUR   67.020
Vontobel Financial    3.000   09/05/2023  EUR   72.340
Deutsche Bank AG      3.200   6/23/2020   EUR   54.750
Deutsche Bank AG      3.200  12/22/2020   EUR   55.060
UniCredit Bank AG     6.650   10/09/2020  EUR   60.220
UBS AG/London         8.000   09/07/2020  CHF   64.000
Zurcher Kantonalban   5.500   9/14/2020   CHF   49.380
Leonteq Securities    6.000   9/17/2020   CHF   55.830
Landesbank Baden-Wu   3.250  11/26/2021   EUR   67.150
Raiffeisen Schweiz    5.000   09/10/2020  CHF   52.920
Landesbank Baden-Wu   2.150  12/23/2022   EUR   68.150
Landesbank Baden-Wu   3.000  12/23/2022   EUR   56.510
DekaBank Deutsche G   3.700   10/02/2020  EUR   54.790
DekaBank Deutsche G   3.150   10/02/2020  EUR   41.510
DekaBank Deutsche G   3.300   10/04/2021  EUR   65.390
DekaBank Deutsche G   3.100  12/21/2020   EUR   65.330
Societe Generale SA   7.000  10/20/2020   USD    0.010
Bayerische Landesba   3.300   07/03/2020  EUR   69.200
Landesbank Hessen-T   3.400   8/13/2020   EUR   60.100
Landesbank Hessen-T   3.350   8/13/2020   EUR   63.500
Landesbank Hessen-T   3.800   8/13/2020   EUR   67.000
Landesbank Hessen-T   2.500   8/13/2020   EUR   62.000
Bayerische Landesba   2.600   07/03/2020  EUR   62.230
Landesbank Baden-Wu   2.300   2/26/2021   EUR   68.290
Landesbank Hessen-T   3.100   8/13/2020   EUR   30.800
DekaBank Deutsche G   2.400   10/09/2020  EUR   54.750
Landesbank Hessen-T   4.000   2/17/2021   EUR   31.530
EFG International F   7.000   10/12/2020  EUR   48.370
Corner Banca SA       9.000   10/06/2020  CHF   48.600
UniCredit Bank AG     4.050  10/24/2021   EUR   54.330
Leonteq Securities    5.200   10/06/2020  CHF   58.940
Landesbank Hessen-T   3.000   08/06/2021  EUR   34.400
Leonteq Securities    7.400   10/12/2020  CHF   63.910
Leonteq Securities    6.000   10/12/2020  CHF   58.760
Credit Suisse AG/Lo   7.250  12/28/2020   EUR   44.480
DZ Bank AG Deutsche   6.000   9/23/2020   EUR   67.810
SG Issuer SA          6.700   07/10/2024  EUR   60.390
Landesbank Hessen-T   3.250   8/13/2020   EUR   58.000
DekaBank Deutsche G   2.600   10/09/2020  EUR   72.960
Citigroup Global Ma   5.600   9/15/2022   SEK   55.540
DekaBank Deutsche G   3.250   10/09/2020  EUR   64.190
Landesbank Hessen-T   4.000   2/17/2021   EUR   61.240
Landesbank Hessen-T   1.550  10/27/2020   EUR   52.180
EFG International F   7.000   10/12/2020  CHF   63.500
EFG International F   7.000   10/12/2020  CHF   49.410
UniCredit Bank AG     3.900  10/24/2021   EUR   37.680
Landesbank Hessen-T   3.350   08/06/2021  EUR   49.500
Landesbank Baden-Wu   2.750   9/23/2022   EUR   56.620
DekaBank Deutsche G   1.000   11/02/2021  EUR   50.220
Skandinaviska Enski   4.000   7/15/2022   SEK   76.310
Landesbank Baden-Wu   2.150   7/24/2020   EUR   67.380
Leonteq Securities   10.800   9/28/2020   CHF   67.020
Leonteq Securities    6.400   6/28/2021   CHF   63.980
Raiffeisen Schweiz    7.000   9/28/2020   EUR   69.240
Leonteq Securities   10.000   9/28/2020   USD   49.980
Raiffeisen Schweiz    6.100   6/28/2021   CHF   63.690
Vontobel Financial    7.000   6/26/2020   EUR   55.630
Vontobel Financial    9.000   6/26/2020   EUR   55.760
Vontobel Financial   10.500   6/26/2020   EUR   52.440
Vontobel Financial   10.500   6/26/2020   EUR   51.010
Vontobel Financial    8.000   6/26/2020   EUR   70.390
Vontobel Financial    8.500   6/26/2020   EUR   37.580
Vontobel Financial   11.500   6/26/2020   EUR   51.410
Raiffeisen Schweiz    6.000   07/01/2022  CHF   71.290
Credit Suisse AG/Lo   8.000   9/25/2020   CHF   69.320
Credit Suisse AG/Lo   7.000   10/01/2020  CHF   65.190
UniCredit Bank AG     4.400   01/09/2021  EUR   54.990
DZ Bank AG Deutsche   7.500   9/23/2020   EUR   59.910
DZ Bank AG Deutsche   8.750   9/23/2020   EUR   53.730
DZ Bank AG Deutsche  12.000   6/24/2020   EUR   67.060
DZ Bank AG Deutsche   6.250   9/23/2020   EUR   71.030
UniCredit Bank AG     4.000   12/07/2020  EUR   46.850
Landesbank Baden-Wu   6.000   8/27/2021   EUR   69.150
Landesbank Baden-Wu   4.750   8/27/2021   EUR   66.310
Landesbank Baden-Wu   6.250   8/27/2021   EUR   63.770
Landesbank Baden-Wu   3.500   8/27/2021   EUR   64.660
Landesbank Baden-Wu   6.500   8/27/2021   EUR   66.970
Landesbank Baden-Wu   8.000   8/27/2021   EUR   65.600
Landesbank Baden-Wu   4.500   8/27/2021   EUR   70.230
Landesbank Baden-Wu   5.000   8/27/2021   EUR   57.140
Landesbank Baden-Wu   5.750   8/27/2021   EUR   55.410
Landesbank Baden-Wu   2.500   8/27/2021   EUR   67.230
Landesbank Baden-Wu   4.250   8/27/2021   EUR   70.400
Landesbank Baden-Wu   7.500   8/27/2021   EUR   64.700
Landesbank Baden-Wu   3.250   8/27/2021   EUR   64.620
Landesbank Baden-Wu   7.250   8/27/2021   EUR   64.690
Landesbank Baden-Wu   3.500   8/27/2021   EUR   71.320
Landesbank Baden-Wu   4.500   8/27/2021   EUR   64.500
Landesbank Baden-Wu   8.750   8/27/2021   EUR   60.060
Vontobel Financial   10.000   06/12/2020  EUR   36.030
Zurcher Kantonalban   5.000   07/02/2021  CHF   73.660
Vontobel Financial    6.000   06/12/2020  EUR   71.080
Vontobel Financial    8.500   06/12/2020  EUR   66.080
Vontobel Financial   12.500   09/11/2020  EUR   59.030
Vontobel Financial   13.000   09/11/2020  EUR   66.000
UBS AG/London         7.500   01/04/2021  CHF   73.800
UBS AG/London         6.750   07/05/2021  CHF   52.100
UBS AG/London        14.000   07/06/2021  USD   54.080
Banque Cantonale Va   6.800   6/28/2021   CHF   52.820
SAir Group            5.125   03/01/2003  CHF   12.500
Erste Group Bank AG   4.750  12/20/2021   EUR   58.050
Leonteq Securities    8.000   12/08/2020  CHF   53.520
Landesbank Baden-Wu   2.050   1/28/2022   EUR   61.660
Corner Banca SA       8.200   6/15/2020   CHF   52.500
Leonteq Securities    7.400  12/15/2020   CHF   66.530
Leonteq Securities    7.000  12/15/2020   CHF   64.000
UniCredit Bank AG     4.200   12/08/2021  EUR   37.670
Leonteq Securities    7.400  12/15/2020   CHF   61.800
DekaBank Deutsche G   2.300   01/08/2021  EUR   45.920
Leonteq Securities    4.000  12/29/2020   CHF   29.840
Landesbank Hessen-T   3.300   6/15/2020   EUR   66.600
UBS AG/London         7.000   6/15/2020   CHF   44.200
Landesbank Hessen-T   8.000   01/05/2023  EUR   59.330
Leonteq Securities    8.000  12/22/2020   CHF   55.040
EFG International F   7.200  12/29/2020   EUR   44.970
DekaBank Deutsche G   3.050  11/20/2020   EUR   44.410
Vontobel Financial    4.500  12/30/2020   EUR   52.680
DekaBank Deutsche G   3.800  12/18/2020   EUR   40.910
UniCredit Bank AG     5.200   1/14/2021   USD   43.780
Landesbank Hessen-T   6.100  11/17/2020   EUR   49.970
Landesbank Baden-Wu   2.750  11/25/2022   EUR   54.740
UBS AG/London         5.250   06/01/2020  USD   55.800
Landesbank Baden-Wu   2.400   1/28/2022   EUR   63.810
DekaBank Deutsche G   2.200  11/20/2020   EUR   56.620
Leonteq Securities    9.800   06/12/2020  CHF   32.730
DekaBank Deutsche G   3.000  12/29/2022   EUR   53.320
BNP Paribas Issuanc   6.400   01/05/2024  SEK   71.790
EFG International F   7.400  12/21/2020   USD   44.570
DekaBank Deutsche G   2.150   01/04/2021  EUR   72.290
Zurcher Kantonalban   5.000  12/14/2020   EUR   54.850
EFG International F   7.200  11/16/2020   CHF   62.820
EFG International F   6.400  11/16/2020   CHF   56.050
UBS AG/London         8.000   06/08/2020  CHF   52.850
DekaBank Deutsche G   2.900   01/04/2021  EUR   48.270
DekaBank Deutsche G   2.100   01/04/2021  EUR   38.660
Skandinaviska Enski   4.744   1/17/2023   SEK   48.730
Leonteq Securities    6.800  12/15/2020   CHF   53.670
Landesbank Hessen-T   4.000   12/08/2021  EUR   51.770
Landesbank Baden-Wu   2.000   2/25/2022   EUR   62.070
Bayerische Landesba   2.000   12/11/2020  EUR   68.640
UniCredit Bank AG     4.200   01/04/2021  EUR   42.290
Landesbank Baden-Wu   2.700  10/28/2022   EUR   55.390
DekaBank Deutsche G   4.050   07/03/2020  EUR   60.810
Landesbank Baden-Wu   3.000   9/25/2020   EUR   59.350
EFG International F   7.400  12/21/2020   CHF   51.670
Landesbank Baden-Wu   2.900  11/26/2021   EUR   61.630
Skandinaviska Enski   8.600   1/17/2023   SEK   36.250
UniCredit Bank AG     4.400   12/10/2022  EUR   43.290
EFG International F   7.000  11/16/2020   EUR   46.180
Leonteq Securities    7.000  12/15/2020   EUR   61.140
Landesbank Hessen-T   4.000   12/08/2021  EUR   72.940
Landesbank Baden-Wu   2.200   2/25/2022   EUR   62.980
Landesbank Baden-Wu   2.500   1/28/2022   EUR   70.610
Landesbank Baden-Wu   3.200  12/29/2020   EUR   50.890
UniCredit Bank AG     3.300  12/29/2022   EUR   60.150
Landesbank Hessen-T   4.000   01/05/2022  EUR   36.380
UniCredit Bank AG     3.600   09/03/2020  EUR   51.000
Landesbank Hessen-T   5.000   04/05/2023  EUR   73.650
Landesbank Hessen-T   5.400   04/05/2023  EUR   57.510
UBS AG/London         5.500   06/08/2020  EUR   70.150
DekaBank Deutsche G   2.800   01/04/2021  EUR   52.560
Zurcher Kantonalban   4.500   12/07/2020  CHF   61.810
Landesbank Baden-Wu   3.300  12/29/2020   EUR   65.390
Landesbank Baden-Wu   3.750  12/29/2020   EUR   50.190
UniCredit Bank AG     3.800  12/29/2022   EUR   51.530
DekaBank Deutsche G   5.150   07/03/2020  EUR   47.950
DekaBank Deutsche G   6.300   07/03/2020  EUR   30.840
Leonteq Securities    7.000   12/08/2021  CHF   69.250
Leonteq Securities    8.000   12/08/2020  CHF   55.320
Leonteq Securities    7.200   12/08/2020  USD   42.050
Landesbank Hessen-T   3.500   01/05/2022  EUR   68.790
Landesbank Hessen-T   3.500   01/05/2022  EUR   44.360
DekaBank Deutsche G   2.450  11/20/2020   EUR   69.690
DekaBank Deutsche G   3.000  11/22/2021   EUR   70.480
Landesbank Baden-Wu   3.000   7/24/2020   EUR   57.790
Leonteq Securities    6.800  12/13/2021   CHF   71.070
UBS AG/London         5.000   11/02/2020  CHF   63.700
Landesbank Hessen-T   3.000   09/06/2021  EUR   72.800
HSBC Trinkaus & Bur   5.200   6/26/2020   EUR   41.130
HSBC Trinkaus & Bur   7.000   6/26/2020   EUR   33.680
DekaBank Deutsche G   3.100   12/03/2021  EUR   46.070
Landesbank Baden-Wu   3.000  10/23/2020   EUR   51.370
Landesbank Baden-Wu   3.000  10/23/2020   EUR   68.980
Landesbank Baden-Wu   3.000  10/23/2020   EUR   60.900
Landesbank Baden-Wu   2.500  10/23/2020   EUR   69.560
Landesbank Baden-Wu   3.000  10/23/2020   EUR   72.510
Landesbank Baden-Wu   3.000  10/23/2020   EUR   57.650
Landesbank Baden-Wu   5.000  10/23/2020   EUR   31.860
Landesbank Baden-Wu   4.750   8/28/2020   EUR   72.400
Landesbank Baden-Wu   3.000  10/23/2020   EUR   57.680
Landesbank Baden-Wu   3.000  10/23/2020   EUR   51.230
Landesbank Baden-Wu   3.000  10/23/2020   EUR   68.910
Landesbank Baden-Wu   3.500   7/23/2021   EUR   64.620
UBS AG/London         6.000  10/26/2020   EUR   53.400
Bayerische Landesba   2.500   12/03/2021  EUR   56.660
UniCredit Bank AG     5.350  11/27/2020   EUR   59.030
Landesbank Baden-Wu   5.000  10/23/2020   EUR   66.040
Landesbank Baden-Wu   3.000   7/23/2021   EUR   60.370
Landesbank Baden-Wu   3.800   8/28/2020   EUR   59.670
Landesbank Baden-Wu   5.500   8/28/2020   EUR   47.710
Landesbank Baden-Wu   5.500  10/23/2020   EUR   73.000
Landesbank Baden-Wu   3.000  10/23/2020   EUR   57.550
Landesbank Baden-Wu   3.000  10/23/2020   EUR   69.870
Landesbank Baden-Wu   7.000  10/23/2020   EUR   57.330
UBS AG/London         6.000   11/02/2020  CHF   57.300
DZ Bank AG Deutsche   6.000   9/23/2020   EUR   71.330
UniCredit Bank AG     8.100   6/25/2021   EUR   71.520
UniCredit Bank AG    10.700   6/25/2021   EUR   55.430
UniCredit Bank AG    10.600   6/25/2021   EUR   62.650
UniCredit Bank AG     7.500   6/25/2021   EUR   71.720
UniCredit Bank AG     8.200   6/25/2021   EUR   70.880
UniCredit Bank AG     8.600   6/25/2021   EUR   71.970
UniCredit Bank AG     9.900   6/25/2021   EUR   63.480
UniCredit Bank AG    11.100   6/25/2021   EUR   70.360
UniCredit Bank AG     8.600  12/24/2021   EUR   70.840
UniCredit Bank AG     7.100  12/24/2021   EUR   72.650
UniCredit Bank AG     9.600   6/25/2021   EUR   56.530
UniCredit Bank AG     5.100   6/25/2021   EUR   50.190
UniCredit Bank AG     8.600   6/25/2021   EUR   60.020
UniCredit Bank AG     9.400   6/25/2021   EUR   64.180
Leonteq Securities    7.400  10/13/2020   CHF   62.960
UniCredit Bank AG     9.700   6/25/2021   EUR   73.420
UniCredit Bank AG    10.900   6/25/2021   EUR   59.350
UniCredit Bank AG    12.300   6/25/2021   EUR   61.820
UniCredit Bank AG     7.300  12/24/2021   EUR   73.340
UniCredit Bank AG     9.500  12/24/2021   EUR   61.860
UniCredit Bank AG    11.400  12/24/2021   EUR   61.310
UniCredit Bank AG    10.200   6/25/2021   EUR   57.280
UniCredit Bank AG    11.300   6/25/2021   EUR   56.460
UniCredit Bank AG     7.100   6/25/2021   EUR   63.200
UniCredit Bank AG     7.000   6/25/2021   EUR   48.320
UniCredit Bank AG     8.500   6/25/2021   EUR   70.580
UniCredit Bank AG     9.800  12/28/2020   EUR   58.700
UniCredit Bank AG    12.300  12/28/2020   EUR   54.850
UniCredit Bank AG    14.400  12/28/2020   EUR   51.240
DZ Bank AG Deutsche   5.250   7/22/2020   EUR   44.670
Landesbank Hessen-T   5.000   9/22/2023   EUR   70.960
Landesbank Hessen-T   5.900   9/22/2023   EUR   63.770
DZ Bank AG Deutsche   6.000   9/23/2020   EUR   64.120
UniCredit Bank AG     7.800   6/25/2021   EUR   56.990
Landesbank Baden-Wu   2.100   6/25/2021   EUR   69.630
UniCredit Bank AG     6.000   6/25/2021   EUR   49.120
DekaBank Deutsche G   2.250   6/18/2021   EUR   62.430
UniCredit Bank AG    10.700   6/25/2021   EUR   64.890
UniCredit Bank AG     9.600   6/25/2021   EUR   69.630
UniCredit Bank AG     8.700  12/24/2021   EUR   59.870
UniCredit Bank AG     6.500  12/24/2021   EUR   55.910
UniCredit Bank AG     7.700  12/24/2021   EUR   63.050
UniCredit Bank AG     5.200   6/25/2021   EUR   64.780
UniCredit Bank AG     8.000   6/25/2021   EUR   59.410
UniCredit Bank AG     6.400   6/25/2021   EUR   58.380
UniCredit Bank AG     9.300   6/25/2021   EUR   55.970
DZ Bank AG Deutsche   6.500   6/24/2020   EUR   47.430
DZ Bank AG Deutsche   9.250   9/23/2020   EUR   62.230
Landesbank Hessen-T   4.750   05/11/2023  EUR   49.810
Landesbank Hessen-T   6.500   05/11/2023  EUR   59.600
UniCredit Bank AG    10.300   6/25/2021   EUR   57.660
UniCredit Bank AG    10.100   6/25/2021   EUR   46.880
UniCredit Bank AG     9.000   6/25/2021   EUR   47.160
UniCredit Bank AG     8.200   6/25/2021   EUR   65.940
UniCredit Bank AG     8.000   6/25/2021   EUR   62.060
UniCredit Bank AG    10.500   6/25/2021   EUR   69.250
UniCredit Bank AG    12.500   6/25/2021   EUR   67.100
UniCredit Bank AG     5.500   6/25/2021   EUR   64.710
UniCredit Bank AG    14.600   6/25/2021   EUR   60.480
UniCredit Bank AG    11.300   6/25/2021   EUR   55.530
UniCredit Bank AG     5.200  12/24/2021   EUR   66.010
UniCredit Bank AG     9.800  12/24/2021   EUR   71.180
UniCredit Bank AG     9.400   6/25/2021   EUR   49.660
UniCredit Bank AG     6.000   6/25/2021   EUR   62.580
UniCredit Bank AG    10.700   6/25/2021   EUR   48.440
Leonteq Securities    3.000   07/04/2024  CHF   73.150
UniCredit Bank AG    11.800   6/25/2021   EUR   54.520
UniCredit Bank AG    11.900   6/25/2021   EUR   55.800
DekaBank Deutsche G   2.800   6/19/2020   EUR   43.250
UniCredit Bank AG     6.200  12/24/2021   EUR   62.710
UniCredit Bank AG     7.300   6/25/2021   EUR   72.310
UniCredit Bank AG    10.600   6/25/2021   EUR   74.490
UniCredit Bank AG    12.000   6/25/2021   EUR   47.540
UniCredit Bank AG     6.500   6/25/2021   EUR   61.480
UniCredit Bank AG     7.500   6/25/2021   EUR   59.530
UniCredit Bank AG    11.800   6/25/2021   EUR   61.320
UniCredit Bank AG    14.000   6/25/2021   EUR   69.420
UniCredit Bank AG     7.600   6/25/2021   EUR   70.760
UniCredit Bank AG     7.000   6/25/2021   EUR   67.910
Societe Generale Ef  10.500   6/26/2020   EUR   70.200
Skandinaviska Enski   7.800   7/15/2024   SEK   27.730
Skandinaviska Enski   6.500   7/15/2024   SEK   43.470
Credit Suisse AG/Lo   7.000   10/09/2020  CHF   70.370
Landesbank Baden-Wu   3.750   4/23/2021   EUR   63.840
UniCredit Bank AG     6.100  12/24/2021   EUR   64.130
UniCredit Bank AG     7.300  12/24/2021   EUR   71.760
UniCredit Bank AG     6.400  12/24/2021   EUR   73.760
Leonteq Securities    6.800   05/11/2021  EUR   60.670
UniCredit Bank AG     8.300  12/29/2020   EUR   44.050
UniCredit Bank AG     8.500  12/29/2020   EUR   57.040
UniCredit Bank AG     6.200  12/29/2020   EUR   66.020
UniCredit Bank AG     7.400  12/29/2020   EUR   45.390
UniCredit Bank AG     9.300  12/29/2020   EUR   49.220
UniCredit Bank AG     7.000  12/29/2020   EUR   55.870
UniCredit Bank AG     9.200  12/29/2020   EUR   51.470
UniCredit Bank AG     9.200  12/29/2020   EUR   55.850
UniCredit Bank AG     9.400  12/29/2020   EUR   42.560
UniCredit Bank AG     7.600  12/29/2020   EUR   45.960
UniCredit Bank AG     7.300  12/29/2020   EUR   47.690
UniCredit Bank AG     9.800  12/29/2020   EUR   63.760
UniCredit Bank AG     7.900  12/29/2020   EUR   67.840
UniCredit Bank AG     7.100  12/29/2020   EUR   55.560
UniCredit Bank AG     7.400  12/29/2020   EUR   72.450
UniCredit Bank AG     8.400  12/29/2020   EUR   74.410
UniCredit Bank AG     6.700  12/29/2020   EUR   25.400
UniCredit Bank AG     6.500  12/29/2020   EUR   56.490
UniCredit Bank AG     7.900  12/29/2020   EUR   75.410
UniCredit Bank AG     9.800  12/29/2020   EUR   57.970
UniCredit Bank AG     8.500  12/29/2020   EUR   43.460
UniCredit Bank AG     9.500  12/29/2020   EUR   37.570
UniCredit Bank AG     8.400  12/29/2020   EUR   33.980
UniCredit Bank AG    11.500  12/29/2020   EUR   47.800
UniCredit Bank AG     8.100  12/29/2020   EUR   47.490
UniCredit Bank AG    10.000  12/29/2020   EUR   25.230
UniCredit Bank AG     8.100  12/29/2020   EUR   51.690
UniCredit Bank AG     6.600  12/29/2020   EUR   54.900
UniCredit Bank AG     8.400  12/29/2020   EUR   17.510
UniCredit Bank AG     8.900  12/29/2020   EUR   17.380
UniCredit Bank AG     9.200  12/29/2020   EUR   74.290
UniCredit Bank AG     7.300  12/29/2020   EUR   41.930
UniCredit Bank AG     6.700  12/29/2020   EUR   74.210
UniCredit Bank AG    10.500  12/29/2020   EUR   70.610
UniCredit Bank AG     6.600  12/29/2020   EUR   42.920
UniCredit Bank AG     6.600  12/29/2020   EUR   47.410
UniCredit Bank AG     7.400  12/29/2020   EUR   68.380
UniCredit Bank AG     6.700  12/29/2020   EUR   52.830
UniCredit Bank AG     9.300  12/29/2020   EUR   61.380
UniCredit Bank AG     6.800  12/29/2020   EUR   70.110
UniCredit Bank AG     8.300  12/29/2020   EUR   43.900
UniCredit Bank AG     8.600  12/29/2020   EUR   63.440
UniCredit Bank AG     9.300  12/29/2020   EUR   26.990
UniCredit Bank AG    10.500  12/29/2020   EUR   27.330
UniCredit Bank AG     7.000  12/29/2020   EUR   35.260
UniCredit Bank AG     8.400  12/29/2020   EUR   27.670
UniCredit Bank AG     7.400  12/29/2020   EUR   67.450
UniCredit Bank AG     8.800  12/29/2020   EUR   63.380
UniCredit Bank AG    10.200  12/29/2020   EUR   48.450
UniCredit Bank AG     8.800  12/29/2020   EUR   49.460
UniCredit Bank AG     9.400  12/29/2020   EUR   58.890
UniCredit Bank AG     7.600  12/29/2020   EUR   29.910
UniCredit Bank AG     9.200  12/29/2020   EUR   28.350
UniCredit Bank AG     8.000  12/29/2020   EUR   34.100
UniCredit Bank AG     8.500  12/29/2020   EUR   29.170
UniCredit Bank AG     6.400  12/29/2020   EUR   70.990
UniCredit Bank AG     7.500  12/29/2020   EUR   41.220
UniCredit Bank AG     9.600  12/29/2020   EUR   69.340
UniCredit Bank AG     8.300  12/29/2020   EUR   40.080
UniCredit Bank AG     7.800  12/29/2020   EUR   34.090
UniCredit Bank AG     8.700  12/29/2020   EUR   28.590
UniCredit Bank AG    10.600  12/29/2020   EUR   55.670
UniCredit Bank AG     8.400  12/29/2020   EUR   64.100
UniCredit Bank AG    10.800  12/29/2020   EUR   31.620
UniCredit Bank AG     8.000  12/29/2020   EUR   27.630
UniCredit Bank AG     8.100  12/29/2020   EUR   27.390
UniCredit Bank AG     9.200  12/29/2020   EUR   28.640
UniCredit Bank AG     6.100  12/29/2020   EUR   28.950
Raiffeisen Centroba   7.200   6/19/2020   EUR   46.030
UniCredit Bank AG     3.250   06/04/2021  EUR   60.430
UniCredit Bank AG     3.350   6/14/2022   EUR   69.980
UniCredit Bank AG     4.200   06/07/2021  EUR   61.640
Landesbank Baden-Wu   3.000   8/25/2023   EUR   59.480
Vontobel Financial    9.000   06/05/2020  EUR   28.180
DekaBank Deutsche G   2.200   4/16/2021   EUR   49.000
Landesbank Baden-Wu   4.400   6/24/2022   EUR   63.960
EFG International F   6.600   06/01/2021  CHF   61.240
UniCredit Bank AG     4.000   06/11/2020  EUR   36.880
Raiffeisen Schweiz    5.300  11/23/2020   CHF   41.780
Leonteq Securities    5.500   5/25/2021   CHF   44.290
Landesbank Baden-Wu   3.000   6/23/2023   EUR   62.900
Leonteq Securities    7.800   5/14/2021   CHF   22.040
DekaBank Deutsche G   3.500   8/14/2020   EUR   49.190
UniCredit Bank AG     7.700  12/29/2020   EUR   67.880
UniCredit Bank AG     8.200  12/29/2020   EUR   66.310
UniCredit Bank AG     7.600  12/29/2020   EUR   70.930
UniCredit Bank AG    10.200  12/29/2020   EUR   54.130
UniCredit Bank AG     8.800  12/29/2020   EUR   59.480
UniCredit Bank AG     8.600  12/29/2020   EUR   52.810
UniCredit Bank AG     8.500  12/29/2020   EUR   35.650
UniCredit Bank AG     6.200  12/29/2020   EUR   65.820
UniCredit Bank AG     7.400  12/29/2020   EUR   67.860
UniCredit Bank AG     7.200  12/29/2020   EUR   71.680
UniCredit Bank AG     7.200  12/29/2020   EUR   51.680
UniCredit Bank AG     9.300  12/29/2020   EUR   38.130
UniCredit Bank AG     6.900  12/29/2020   EUR   68.480
UniCredit Bank AG     7.500  12/29/2020   EUR   53.140
UniCredit Bank AG     6.600  12/29/2020   EUR   35.760
UniCredit Bank AG     7.000  12/29/2020   EUR   64.370
UniCredit Bank AG     6.100  12/29/2020   EUR   70.730
UniCredit Bank AG     7.300  12/29/2020   EUR   53.610
UniCredit Bank AG     3.800  10/24/2021   EUR   75.050
DekaBank Deutsche G   2.600   8/14/2020   EUR   71.270
UniCredit Bank AG     6.200  12/29/2020   EUR   38.190
UniCredit Bank AG     7.000  12/29/2020   EUR   53.010
UniCredit Bank AG     6.300  12/29/2020   EUR   63.550
UniCredit Bank AG     8.400  12/29/2020   EUR   41.470
UniCredit Bank AG     9.000  12/29/2020   EUR   63.760
UniCredit Bank AG     8.200  12/29/2020   EUR   60.490
UniCredit Bank AG     6.800  12/29/2020   EUR   40.400
UniCredit Bank AG     8.700  12/29/2020   EUR   76.030
UniCredit Bank AG     7.900  12/29/2020   EUR   50.450
UniCredit Bank AG     6.300  12/29/2020   EUR   50.220
UniCredit Bank AG    10.100  12/29/2020   EUR   42.790
UniCredit Bank AG     7.100  12/29/2020   EUR   45.370
UniCredit Bank AG     8.100  12/29/2020   EUR   44.890
UniCredit Bank AG     9.200  12/29/2020   EUR   69.660
UniCredit Bank AG     7.600  12/29/2020   EUR   22.330
UniCredit Bank AG     7.300  12/29/2020   EUR   65.340
UniCredit Bank AG     6.900  12/29/2020   EUR   41.280
UniCredit Bank AG    10.800  12/29/2020   EUR   66.950
UniCredit Bank AG     7.000  12/29/2020   EUR   71.210
UniCredit Bank AG     8.800  12/29/2020   EUR   38.550
UniCredit Bank AG    11.000  12/29/2020   EUR   48.620
UniCredit Bank AG     7.000  12/29/2020   EUR   69.950
UniCredit Bank AG     8.200  12/29/2020   EUR   67.870
UniCredit Bank AG     8.100  12/29/2020   EUR   53.030
UniCredit Bank AG     9.200  12/29/2020   EUR   45.610
UniCredit Bank AG     9.300  12/29/2020   EUR   25.510
UniCredit Bank AG     4.000   06/07/2022  EUR   38.170
UniCredit Bank AG     3.700   06/04/2022  EUR   74.810
Bank Julius Baer &   10.000   07/08/2020  EUR   50.050
Raiffeisen Schweiz    4.500   07/05/2021  CHF   35.720
DZ Bank AG Deutsche   6.700   9/21/2020   EUR   71.160
DekaBank Deutsche G   3.000   7/24/2020   EUR   61.510
DZ Bank AG Deutsche  10.500   6/22/2020   EUR   70.050
DZ Bank AG Deutsche  10.000   9/21/2020   EUR   68.550
DZ Bank AG Deutsche   5.250   9/21/2020   EUR   66.520
Zurcher Kantonalban   6.750   7/16/2021   CHF   66.000
UniCredit Bank AG     7.000  12/29/2020   EUR   41.470
UniCredit Bank AG     7.500  12/29/2020   EUR   42.610
UniCredit Bank AG     6.200  12/29/2020   EUR   57.390
UniCredit Bank AG     6.100  12/29/2020   EUR   41.580
UniCredit Bank AG     6.500  12/29/2020   EUR   56.050
UniCredit Bank AG     8.700  12/29/2020   EUR   39.040
UniCredit Bank AG    10.500  12/29/2020   EUR   48.460
UniCredit Bank AG     7.500  12/29/2020   EUR   54.150
UniCredit Bank AG     6.700  12/29/2020   EUR   67.240
UniCredit Bank AG    11.800  12/29/2020   EUR   33.480
Leonteq Securities    5.600   5/25/2021   CHF   24.700
Vontobel Financial   11.500   6/26/2020   EUR   63.400
Vontobel Financial    9.500   6/26/2020   EUR   68.610
Vontobel Financial    9.500   6/26/2020   EUR   60.820
Vontobel Financial   10.500   6/26/2020   EUR   52.850
Vontobel Financial   14.000   6/26/2020   EUR   60.160
DZ Bank AG Deutsche   8.250   6/22/2020   EUR   65.050
Zurcher Kantonalban   6.500   7/16/2021   EUR   62.500
UniCredit Bank AG     4.000  10/30/2021   EUR   62.450
DZ Bank AG Deutsche  12.200   6/22/2020   EUR   65.770
EFG International F   7.600   10/11/2021  CHF   64.750
Landesbank Baden-Wu   3.000   3/25/2022   EUR   59.450
UBS AG/London         6.750  11/17/2020   CHF   56.700
Leonteq Securities    3.250   5/18/2021   CHF   62.540
DZ Bank AG Deutsche   7.250   6/22/2020   EUR   65.300
Bayerische Landesba   2.500   6/18/2021   EUR   63.570
DZ Bank AG Deutsche   9.250   9/21/2020   EUR   62.270
Zurcher Kantonalban   5.250   7/16/2021   CHF   66.990
Bayerische Landesba   3.000   11/05/2021  EUR   61.810
UniCredit Bank AG     8.900   6/26/2020   EUR   67.300
UniCredit Bank AG     9.000   6/26/2020   EUR   70.580
UniCredit Bank AG    12.600   6/26/2020   EUR   64.350
UniCredit Bank AG    10.300   6/26/2020   EUR   67.760
Landesbank Hessen-T   2.500   5/20/2021   EUR   58.800
Landesbank Baden-Wu   3.500   6/25/2021   EUR   59.450
Bayerische Landesba   2.800   06/05/2020  EUR   70.450
Societe Generale Ef  11.750   6/26/2020   EUR   69.440
Societe Generale Ef   7.750   6/26/2020   EUR   55.980
Societe Generale Ef   5.500   6/26/2020   EUR   69.650
Societe Generale Ef   7.500   6/26/2020   EUR   65.870
Commerzbank AG        6.000   05/09/2022  USD    0.160
Societe Generale Ef   4.500   6/26/2020   EUR   45.380
Societe Generale Ef  11.750   6/26/2020   EUR   50.910
Societe Generale Ef   4.500   6/26/2020   EUR   72.040
Societe Generale Ef   6.500   6/26/2020   EUR   67.610
Societe Generale Ef  10.500   6/26/2020   EUR   64.340
Societe Generale Ef   3.750   6/26/2020   EUR   64.680
Societe Generale Ef   5.750   6/26/2020   EUR   59.550
Landesbank Hessen-T   6.000   03/10/2023  EUR   66.880
UBS AG/London         6.500   07/12/2021  EUR   52.500
EFG International F  10.000   7/15/2020   CHF   55.690
UniCredit Bank AG     9.800   6/25/2021   EUR   57.120
UniCredit Bank AG     4.000   7/31/2020   EUR   54.170
Societe Generale Ef  11.500   6/26/2020   EUR   72.170
Societe Generale Ef   9.750   6/26/2020   EUR   53.100
BNP Paribas Issuanc   5.000   06/12/2023  SEK   68.580
Societe Generale Ef  11.250   6/26/2020   EUR   69.110
Societe Generale Ef   9.500   6/26/2020   EUR   62.900
Landesbank Hessen-T   8.200   06/09/2022  EUR   54.020
Societe Generale Ef   5.250   6/26/2020   EUR   68.970
Societe Generale Ef  14.000   6/26/2020   EUR   61.370
Societe Generale Ef   5.250   6/26/2020   EUR   74.410
Societe Generale Ef   4.500   6/26/2020   EUR   59.960
Societe Generale Ef   6.500   6/26/2020   EUR   50.670
Societe Generale Ef   7.500   6/26/2020   EUR   49.210
Societe Generale Ef   9.500   6/26/2020   EUR   46.770
Societe Generale Ef  12.750   6/26/2020   EUR   46.630
Societe Generale Ef   8.500   6/26/2020   EUR   60.150
Societe Generale Ef  12.500   6/26/2020   EUR   60.640
Bayerische Landesba   3.200  11/20/2020   EUR   62.480
Societe Generale Ef   7.250   6/26/2020   EUR   63.320
Societe Generale Ef   6.500   6/26/2020   EUR   56.020
Societe Generale Ef   8.500   6/26/2020   EUR   53.200
Societe Generale Ef  14.750   6/26/2020   EUR   44.010
Societe Generale Ef  10.000   6/26/2020   EUR   71.240
Societe Generale Ef   9.250   6/26/2020   EUR   72.740
Societe Generale Ef   8.500   6/26/2020   EUR   64.310
Skandinaviska Enski   8.300   7/17/2023   SEK   40.680
Landesbank Hessen-T   3.150   05/11/2022  EUR   54.730
UBS AG/London         8.500   07/10/2020  CHF   70.950
UBS AG/London        11.000   07/10/2020  CHF   52.750
Landesbank Baden-Wu   2.900  12/29/2020   EUR   64.850
Landesbank Baden-Wu   2.400  12/29/2020   EUR   72.100
DekaBank Deutsche G   4.250   11/09/2020  EUR   62.760
UBS AG/London         6.250   06/02/2020  CHF   71.350
UBS AG/London         7.000   06/02/2020  CHF   36.300
UBS AG/London         7.500   06/01/2020  EUR   72.100
Vontobel Financial   18.000   9/25/2020   EUR   67.260
Vontobel Financial    4.000   6/26/2020   EUR   73.470
Vontobel Financial   11.500   9/25/2020   EUR   53.500
DekaBank Deutsche G   2.200   06/08/2020  EUR   74.200
DekaBank Deutsche G   2.250   06/08/2020  EUR   62.400
UBS AG/London         7.500   07/10/2020  CHF   68.900
Leonteq Securities   10.000   12/07/2020  EUR   52.450
DekaBank Deutsche G   4.250   05/03/2022  EUR   52.520
Landesbank Hessen-T   3.450   09/09/2020  EUR   60.700
UniCredit Bank AG     3.300   06/11/2021  EUR   62.220
Bank Julius Baer &    6.750   7/13/2020   EUR   43.400
Bank Julius Baer &    8.050   7/13/2020   EUR   55.600
Vontobel Financial   18.500   6/26/2020   EUR   57.500
Leonteq Securities    7.400  11/25/2020   CHF   24.400
Raiffeisen Schweiz    3.100   5/28/2021   CHF   67.120
Raiffeisen Centroba   5.500   6/30/2020   EUR   64.630
Landesbank Baden-Wu   2.650   8/26/2022   EUR   67.830
UBS AG/London         6.250   07/12/2021  CHF   64.650
EFG International F   7.000   07/11/2022  CHF   66.990
Landesbank Hessen-T   5.200   08/09/2024  EUR   56.010
UniCredit Bank AG    13.500   6/25/2021   EUR   61.160
UniCredit Bank AG     6.600  12/24/2021   EUR   72.340
UniCredit Bank AG     8.300  12/24/2021   EUR   62.060
UniCredit Bank AG     8.300  12/24/2021   EUR   65.410
Leonteq Securities    7.000   04/09/2021  EUR   70.670
UniCredit Bank AG     8.600  12/24/2021   EUR   62.510
Societe Generale Ef   3.750   5/24/2021   EUR   22.720
UniCredit Bank AG    10.200  12/24/2021   EUR   56.720
UniCredit Bank AG     7.700  12/24/2021   EUR   49.390
UniCredit Bank AG    10.300  12/24/2021   EUR   58.650
Raiffeisen Schweiz    6.250   12/01/2020  CHF   63.490
UniCredit Bank AG     7.000  12/24/2021   EUR   61.530
UniCredit Bank AG    11.100   6/25/2021   EUR   62.590
Societe Generale Ef  10.750   6/26/2020   EUR   66.730
Societe Generale Ef   4.500   6/26/2020   EUR   63.170
UniCredit Bank AG     8.000  12/24/2021   EUR   72.080
UniCredit Bank AG     8.100  12/24/2021   EUR   58.320
Leonteq Securities    5.000  10/13/2020   CHF   46.760
Bayerische Landesba   2.800   12/11/2020  EUR   60.760
UniCredit Bank AG    10.600  12/24/2021   EUR   60.790
UniCredit Bank AG    11.100   6/25/2021   EUR   69.940
UniCredit Bank AG     9.400  12/24/2021   EUR   72.170
Bayerische Landesba   3.000   09/04/2020  EUR   70.320
UniCredit Bank AG     7.200  12/24/2021   EUR   63.020
UniCredit Bank AG     6.500  12/24/2021   EUR   72.520
UniCredit Bank AG     7.900  12/24/2021   EUR   71.790
UniCredit Bank AG    10.500  12/24/2021   EUR   61.610
UniCredit Bank AG     9.300  12/24/2021   EUR   51.530
UniCredit Bank AG    12.300  12/24/2021   EUR   61.090
UniCredit Bank AG     4.630   7/30/2020   EUR   45.430
UniCredit Bank AG     9.500  12/24/2021   EUR   59.210
UniCredit Bank AG     6.900  12/24/2021   EUR   58.960
Raiffeisen Schweiz    5.200   12/01/2020  CHF   53.500
Landesbank Baden-Wu   2.800   6/25/2021   EUR   65.800
Societe Generale Ef   8.750   6/26/2020   EUR   69.960
Societe Generale Ef  12.500   6/26/2020   EUR   53.720
Landesbank Baden-Wu   3.500   6/26/2020   EUR   49.730
Societe Generale Ef   9.500   6/26/2020   EUR   71.830
Societe Generale Ef  15.250   6/26/2020   EUR   50.150
Societe Generale Ef   7.000   6/26/2020   EUR   74.550



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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
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