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

                          E U R O P E

          Monday, May 17, 2021, Vol. 22, No. 92

                           Headlines



F I N L A N D

FINNAIR OYJ: Egan-Jones Retains CCC- Sr. Unsecured Debt Ratings


G R E E C E

PIRAEUS BANK: Moody's Affirms Caa2 Deposit Rating, Outlook Now Pos.


I R E L A N D

ALBACORE EURO II: S&P Assigns B- (sf) Rating to Class F Notes
BARINGS EURO 2021-1: S&P Assigns B- (sf) Rating to Class F Notes
FAIR OAKS I: S&P Assigns B- (sf) Rating on EUR10.5MM Class F Notes
HARBOUR AIRCRAFT: S&P Lowers Rating on Series B Loans to 'B'
HENLEY CLO II: Fitch Assigns B-(EXP) Rating on Class F-R Tranche

HENLEY CLO II: S&P Assigns Prelim B- (sf) Rating on F-R Notes


I T A L Y

CEDACRI MERGECO: Moody's Assigns First Time B3 Corp Family Rating


L U X E M B O U R G

DANA FINANCING: Moody's Rates New EUR325M Sr. Unsecured Notes 'B2'
DANA FINANCING: S&P Rates New EUR325MM Sr. Unsec. Notes 'BB'
WINTERFELL FINANCING: Fitch Gives Final 'B' LT IDR, Outlook Stable


N E T H E R L A N D S

OCI NV: Moody's Affirms Ba2 CFR, Alters Outlook to Stable
SIGMA HOLDCO: S&P Downgrades Rating to 'B' on Slower Debt Reduction


P O R T U G A L

ENERGIAS DE PORTUGAL: Moody's Affirms Ba2 Debt Rating, Outlook Pos.
GROUNDFORCE PORTUGAL: Parent Files Application for Liquidation


R U S S I A

RICS LLC: Bank of Russia Provides Update on Administration
TEXBANK JSC: Bank of Russia Cancels Banking License


S P A I N

AZUL MASTER CREDIT: Fitch Affirms BB+ Rating on Class C Tranche
FTA UCI 14: S&P Lowers Class B Notes Rating to 'BB (sf)'
FTA UCI 15: S&P Lowers Class B Notes Rating to 'BB (sf)'


S W I T Z E R L A N D

ORIFLAME INVESTMENT: Fitch Puts Final BB- Rating to Sr. Sec. Notes


U K R A I N E

PRIVATBANK: Bank of England Approves Bail-in of US$595MM Loans


U N I T E D   K I N G D O M

ATLANTICA SUSTAINABLE: Fitch Assigns BB+ Rating to USD400MM Notes
GFG ALLIANCE: SFO Launches Investigation Over Suspected Fraud
GREENE KING: S&P Affirms 'BB+ (sf)' Rating on Class B Notes
GREENSILL: Credit Suisse Faces Pressure to Compensate Clients
INFINITY BIDCO 1: S&P Assigns 'B' Ratings, Outlook Stable

JAGUAR LAND ROVER: Fitch Affirms Then Withdraws 'B' LT IDR
SPIRIT ISSUER: S&P Affirms 'BB+' Rating on Class A5 Notes
UNIQUE PUB: S&P Affirms 'B- (sf)' Rating on N Notes, Off Watch Neg.


X X X X X X X X

[*] BOND PRICING: For the Week May 10 to May 14, 2021

                           - - - - -


=============
F I N L A N D
=============

FINNAIR OYJ: Egan-Jones Retains CCC- Sr. Unsecured Debt Ratings
---------------------------------------------------------------
Egan-Jones Ratings Company, on May 5, 2021, maintained its 'CCC-'
foreign currency and local currency senior unsecured ratings on
debt issued by Finnair Oyj. EJR also maintained its 'C' rating on
commercial paper issued by the Company.

Headquartered in Vantaa, Finland, Finnair Oyj operates scheduled
passenger traffic, technical and ground handling operations,
catering, travel agencies, and reservation services.




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

PIRAEUS BANK: Moody's Affirms Caa2 Deposit Rating, Outlook Now Pos.
-------------------------------------------------------------------
Moody's Investors Service has affirmed Piraeus Bank S.A.'s Caa2
long-term bank deposit ratings and Piraeus Financial Holdings
S.A.'s Caa3 long-term issuer ratings. Concurrently the rating
agency changed their respective rating outlook to positive from
stable.

RATINGS RATIONALE

Capital increase paves the way for a major overhaul of the bank's
balance sheet

Moody's has affirmed all outstanding ratings assigned to both
Piraeus Bank S.A. (operating company) and Piraeus Financial
Holdings S.A. (holding company), following the latter's share
capital increase of EUR1.4 billion. The rating affirmation takes
into consideration the still significant downside credit risks on
the bank's balance sheet, as well as the relevant execution risks
for its transformation plan to improve both its asset quality and
solvency. In addition, these challenges and risks are compounded by
the potential knock-on effects on the Greek economy from the
coronavirus. The rating agency said that the recent positive
developments with the capital increase are still not sufficient to
lead to a rating upgrade, and that the relatively low ratings of
both the bank and its holding company are appropriately positioned
for now taking into consideration their still elevated credit
profile.

According to Moody's the decision to change the rating outlook to
positive from stable for both Piraeus Bank S.A. and Piraeus
Financial Holdings S.A., is driven by the recent successful share
capital increase of EUR1.4 billion that will help Piraeus Bank
improve its asset quality and solvency over the next two years.

The rating agency notes that the fresh equity raised, paves the way
for the implementation of the bank's 'Sunrise' transformation plan
that envisages the reduction of its nonperforming exposures (NPEs)
to gross loans ratio to below 10% by the end of 2021 from a
pro-forma 35% in December 2020 (incorporating the recent NPE
securitisations called 'Phoenix' and 'Vega').

Through the recent capital increase, both the bank and its holding
company have been able to enhance their regulatory capital metrics,
which will allow more NPE securitisations this year through the
Hellenic Asset Protection Scheme (HAPS) that provides a government
guarantee for the senior notes and was extended until October 2022.
Following the capital increase, Piraeus Financial Holdings'
phased-in common equity Tier 1 (CET1) and total capital adequacy
ratio (CAR) were increased to 16.9% and 18.9% respectively from the
reported 13.8% and 15.8% as of December 2020, while Piraeus Bank's
corresponding capital ratios improved to 14% and 15.8% respectively
from the reported 9.4% and 11.3% in December 2020.

In addition, Piraeus Bank's other non-dilutive capital actions
(including realised gains from sovereign bond trading transactions
in the first quarter in 2021, the sale of it cards merchant
acquiring business signed in March 2021, and synthetic
securitisations of performing loans) will result in approximately
EUR1 billion of capital generation benefiting both legal entities.
This will further enhance the holding company's capital metrics to
a pro-forma CAR of 21.8%.

Moody's said that the higher capital metrics at Piraeus Financial
Holdings S.A. will allow Piraeus Bank S.A. to proceed with the
planned aggressive de-risking of its balance sheet, by carrying out
two additional NPE securitisations of around EUR11 billion (Sunrise
1 & 2) through HAPS. This will likely result in a capital hit of
approximately 400 basis points, which will be absorbed at the
holding company level. The reduction will be over and above the
capital impact of around 250 basis points from the already
completed NPE securitisations of 'Phoenix' and 'Vega' for EUR7
billion. All in all, these transactions will likely result in both
the bank and its holding company to end up with a CAR of around 16%
in 2022, against a regulatory requirement of only 11.25% until the
end of 2022 (incorporating the ECB relaxations due to COVID-19) and
14.5% from 2023 onwards. Their CET1 ratio is also expected to
remain comfortably above the corresponding regulatory requirements
of 6.3% until the end of 2022 and 9.6% from 2023 and beyond.

The rating agency also said that the positive rating outlook
reflects the potential reduction of Piraeus Bank's NPE ratio to
around 3% in 2023-24 (or to around EUR1 billion in NPE balances),
from a pro-forma 35% (or EUR16 billion) as of December 2020. The
significant reduction also incorporates the sale of around EUR1.5
billion of NPEs in the form of leasing, shipping and other
corporate exposures. This will likely create a legacy-free balance
sheet, that will have the capacity to enhance its pre-provision
income by a combination of top-line strengthening and a reduction
in operating costs through efficiency improvements and
digitisation. According to the bank's 'Sunrise' transformation
plan, it targets to achieve a return on average tangible equity of
above 10%, unlocking the underlying business potential post NPE
clean-up.

RATINGS OUTLOOK

The positive outlook on the bank's deposit ratings and the holding
company's issuer rating reflects Moody's view that there is a good
possibility for the bank's Baseline Credit Assessment (BCA) to be
upgraded to caa1 from caa2 over the next 12-18 months, contingent
on the gradual implementation of the bank's solvency improving
plan.

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

Upward pressure on the bank's ratings could arise from the expected
economic recovery in Greece and when there is evidence that the
improvement in the bank's financial fundamentals delivered by the
current reorganisation and securitisation are being delivered and
are sustainable. Also, tangible improvements in the bank's core
profitability following its capital enhancing actions in 2021 will
positively affect its BCA. Concurrently, any material change in the
bank's liability structure through the raising of senior or
subordinated debt, could also trigger rating upgrades through the
rating agency's Advanced Loss Given Failure (LGF) analysis.

Piraeus Bank S.A.'s deposit and senior debt ratings could be
downgraded in the event of significant negative impact on the
domestic consumption and economic activity from the coronavirus, to
the extent that it will materially deteriorate its asset quality
and underlying financial fundamentals. In addition, the deposit
ratings could be downgraded if the sovereign rating and Macro
Profile for Greece is downgraded or in case the bank is unable to
further reduce its stock of NPEs by 2022.

Piraeus Bank S.A. and Piraeus Financial Holdings S.A. are
headquartered in Athens, Greece, with pro-forma total consolidated
group assets of around EUR72 billion as of December 2020.

LIST OF AFFECTED RATINGS

Issuer: Piraeus Bank S.A.

Affirmations:

Adjusted Baseline Credit Assessment, Affirmed caa2

Baseline Credit Assessment, Affirmed caa2

Long-term Counterparty Risk Assessment, Affirmed B2(cr)

Short-term Counterparty Risk Assessment, Affirmed NP(cr)

Long-term Counterparty Risk Ratings, Affirmed B3

Short-term Counterparty Risk Ratings, Affirmed NP

Short-term Bank Deposit Ratings, Affirmed NP

Long-term Bank Deposit Ratings, Affirmed Caa2, Outlook Changed To
Positive From Stable

Outlook Action:

Outlook, Changed To Positive From Stable

Issuer: Piraeus Financial Holdings S.A.

Affirmations:

Short-term Issuer Ratings, Affirmed NP

Long-term Issuer Ratings, Affirmed Caa3, Outlook Changed To
Positive From Stable

Subordinate Regular Bond/Debenture, Affirmed Caa3

Outlook Action:

Outlook, Changed To Positive From Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
Methodology published in March 2021.



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I R E L A N D
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ALBACORE EURO II: S&P Assigns B- (sf) Rating to Class F Notes
-------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to AlbaCore Euro CLO
II DAC's class A-1 Loan, and A-1, A-2, B, C, D, E, and F notes. At
closing, the issuer also issued unrated subordinated notes.

The ratings reflect S&P's assessment of:

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

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

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

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

-- The transaction's counterparty risks, which is in line with
S&P's counterparty rating framework.

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

The portfolio's reinvestment period will end approximately 4.3
years after closing, and the portfolio's maximum average maturity
date will be 8.5 years after closing.

A notable feature in this transaction is the introduction of loss
mitigation obligations. Loss mitigation obligations allow the
issuer to participate in potential new financing initiatives by a
borrower in default or in distress. This feature aims to mitigate
the risk of other market participants taking advantage of CLO
restrictions, which typically do not allow the CLO to participate
in a defaulted entity new financing request, and hence increase the
chance of increased recovery for the CLO. While the objective is
positive, it may lead to par erosion as additional funds will be
placed with an entity that is under distress or in default. This
may cause greater volatility in our ratings if these loans'
positive effect does not materialize. In S&P's view, the
restrictions on the use of proceeds and the presence of a bucket
for the loss mitigation loans helps to mitigate the risk.

Loss mitigation obligation mechanics

Under the transaction documents, the issuer can purchase loss
mitigation obligations, which are assets of an existing collateral
obligation held by the issuer, offered in connection with
bankruptcy, workout, or restructuring of the obligation, to improve
the recovery value of the related collateral obligation.

The purchase of loss mitigation obligations is not subject to the
reinvestment or eligibility criteria. They receive no credit in the
principal balance definition--except where loss mitigation
obligations meet the eligibility criteria, with certain exclusions,
and are purchased using principal proceeds–-in which case they
are afforded defaulted treatment in par coverage tests.

To protect the transaction from par erosion, any distributions
received from loss mitigation obligations, which are afforded
credit in the par coverage tests, will irrevocably form part of the
issuer's principal account proceeds. The cumulative exposure to
loss mitigation obligations is limited to 10% of target par.

The issuer may purchase loss mitigation obligations using either
interest proceeds or principal proceeds. The use of interest
proceeds to purchase loss mitigation obligations is subject to all
interest coverage tests passing following the purchase, and the
manager determining that there are sufficient interest proceeds to
pay interest on all the rated notes on the upcoming payment date.

The use of principal proceeds is subject to passing par coverage
tests and the manager having built sufficient excess par in the
transaction so that the principal collateral amount is equal to or
exceeds the portfolio's target par balance after the reinvestment.

To protect the transaction from par erosion, any distributions
received from loss mitigation obligations that are either purchased
with the use of principal--and have been afforded credit in the
coverage tests--will irrevocably form part of the issuer's
principal account proceeds and cannot be recharacterized as
interest.

  Portfolio Benchmarks
                                                         CURRENT
  S&P Global Ratings weighted-average rating factor     2,755.59
  Default rate dispersion                                 528.77
  Weighted-average life (years)                             5.58  
  Obligor diversity measure                                99.83
  Industry diversity measure                               18.14
  Regional diversity measure                                1.18

  Transaction Key Metrics
                                                         CURRENT
  Total par amount (mil. EUR)                              400.0
  Defaulted assets (mil. EUR)                                  0
  Number of performing obligors                              115
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                         'B'
  'CCC' category rated assets (%)                           0.75
  'AAA' weighted-average recovery (%)                      36.07
  Covenanted weighted-average spread (%)                    3.65
  Reference weighted-average coupon (%)                     4.50

The portfolio is well-diversified, primarily comprising broadly
syndicated speculative-grade senior secured term loans and senior
secured bonds. Therefore, S&P has conducted its credit and cash
flow analysis by applying its criteria for corporate cash flow
collateralized debt obligations.

S&P said, "In our cash flow analysis, we used the EUR400 million
target par amount, the covenanted weighted-average spread (3.65%),
the reference weighted-average coupon (4.50%), and the actual
weighted-average recovery rates. We applied various cash flow
stress scenarios, using four different default patterns, in
conjunction with different interest rate stress scenarios for each
liability rating category.

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

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

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

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our ratings are
commensurate with the available credit enhancement for the class
A-1 Loan and A-1 to F notes. Our credit and cash flow analysis
indicates that the available credit enhancement for the class B to
D notes could withstand stresses commensurate with higher ratings
than those we have assigned. However, as the CLO will be in its
reinvestment phase starting from closing, during which the
transaction's credit risk profile could deteriorate, we have capped
our ratings assigned to the notes.

"The class F notes' current break-even default rate cushion is
-2.71%. Based on the portfolio's actual characteristics and
additional overlaying factors, including our long-term corporate
default rates and the class F notes' credit enhancement, this class
is able to sustain a steady-state scenario, in accordance with our
criteria." S&P's analysis further reflects several factors,
including:

-- The class F notes' available credit enhancement is in the same
range as that of other CLOs we have rated and that have recently
been issued in Europe.

-- S&P's model-generated portfolio default risk at the 'B-' rating
level is 27.93% (for a portfolio with a weighted-average life of
5.58 years) versus 17.29% if it was to consider a long-term
sustainable default rate of 3.1% for 5.58 years.

-- Whether the tranche is vulnerable to nonpayment in the near
future

-- If there is a one-in-two chance for this note to default.

-- If S&P envisions this tranche to default in the next 12-18
months.

Following this analysis, S&P considers that the available credit
enhancement for the class F notes is commensurate with the assigned
'B- (sf)' rating.

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on the class
A-1 loan and A-1 to E notes to five of the 10 hypothetical
scenarios we looked at in our publication "How Credit Distress Due
To COVID-19 Could Affect European CLO Ratings," published on April
2, 2020. The results shown in the chart below are based on the
actual weighted-average spread, coupon, and recoveries.

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

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

Environmental, social, and governance (ESG) credit factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries:
tobacco, hazardous chemicals, pesticides and wastes, pornography or
prostitution, gambling, subprime lending, weapons or firearms,
marijuana, and thermal coal mining or the generation of electricity
using coal. Accordingly, since the exclusion of assets from these
industries does not result in material differences between the
transaction and our ESG benchmark for the sector, no specific
adjustments have been made in our rating analysis to account for
any ESG-related risks or opportunities."

  Ratings List

  CLASS    RATING     AMOUNT     INTEREST RATE      CREDIT
                    (MIL. EUR)                     ENHANCEMENT(%)
  A-1      AAA (sf)    60.50    Three/six-month       38.00
                                EURIBOR plus 0.83%
  A-1 Loan AAA (sf)   155.00    Three/six-month       38.00
                                EURIBOR plus 0.83%
  A-2      AAA (sf)    32.50    Three/six-month       38.00
                                EURIBOR plus 1.00% *
  B        AA (sf)     40.00    Three/six-month       28.00
                                EURIBOR plus 1.65%
  C        A (sf)      28.00    Three/six-month       21.00
                                EURIBOR plus 2.50%
  D        BBB (sf)    25.00    Three/six-month       14.75
                                EURIBOR plus 3.78%
  E        BB- (sf)    19.00    Three/six-month       10.00
                                EURIBOR plus 5.96%
  F        B- (sf)     12.00    Three/six-month        7.00
                                EURIBOR plus 8.41%

  Sub. Notes   NR      36.35    N/A                     N/A

*The three/six-month EURIBOR for the class A-2 notes is capped at
2.20%.
EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A--Not applicable.


BARINGS EURO 2021-1: S&P Assigns B- (sf) Rating to Class F Notes
----------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Barings Euro CLO
2021-1 DAC's class A loan and A, B, C, D, E, and F notes. At
closing, the issuer also issued unrated subordinated notes.

The ratings reflect S&P's assessment of:

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

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

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

-- The transaction's legal structure, which S&P considers
bankruptcy remote.

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

  Portfolio Benchmarks
                                                      CURRENT
  S&P weighted-average rating factor                 2,784.00
  Default rate dispersion                              570.74
  Weighted-average life (years)                          5.16
  Obligor diversity measure                            111.00
  Industry diversity measure                            22.23
  Regional diversity measure                             1.40

  Transaction Key Metrics
                                                      CURRENT
  Portfolio weighted-average rating
     derived from S&P's CDO evaluator                       B
  'CCC' category rated assets (%)                        2.49
   Covenanted 'AAA' weighted-average recovery (%)       37.04
  Covenanted weighted-average spread (%)                 3.70
  Covenanted weighted-average coupon (%)                 4.25

Under the transaction documents, the rated loan and notes will pay
quarterly interest unless a frequency switch event occurs.
Following this, the rated loan and notes will switch to semiannual
payments. The portfolio's reinvestment period will end
approximately four years after closing.

S&P said, "We consider the portfolio at closing, primarily
comprising broadly syndicated speculative-grade senior-secured term
loans and senior-secured bonds, to be well-diversified. Therefore,
we have conducted our credit and cash flow analysis by applying our
criteria for corporate cash flow CDOs.

"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread (3.70%), the
reference weighted-average coupon (4.25%), and the target minimum
'AAA' weighted-average recovery rate (37.04%) as indicated by the
collateral manager. We applied various cash flow stress scenarios,
using four different default patterns, in conjunction with
different interest rate stress scenarios for each liability rating
category.

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

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

"We consider the transaction's legal structure and framework to be
bankruptcy remote, in line with our legal criteria.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our ratings are
commensurate with the available credit enhancement for the class A
loan and A, B, C, D, E, and F notes. Our credit and cash flow
analysis indicates that the available credit enhancement for
classes B, C, and D could withstand stresses commensurate with the
same or higher rating levels than those we have assigned. However,
as the CLO will be in its reinvestment phase starting from closing,
during which the transaction's credit risk profile could
deteriorate, we have capped our ratings assigned to these notes.

"Taking the above factors into account and following our analysis
of the credit, cash flow, counterparty, operational, and legal
risks, we believe that our ratings are commensurate with the
available credit enhancement for the rated loan and all of the
rated classes of notes.

"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class A loan and
class A to E notes to five of the 10 hypothetical scenarios we
looked at in our recent publication.

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it will be managed by Barings (U.K.)
Ltd.

Environmental, social, and governance (ESG) credit factors

S&P regards the exposure to ESG credit factors in the transaction
as being broadly in line with our benchmark for the sector.
Primarily due to the diversity of the assets within CLOs, the
exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries: the
manufacturing or distribution of weapon systems, firearms,
pornography, coal mining, food commodity derivatives industry,
tobacco, palm oil and palm fruit products, or payday lending
activities. Accordingly, since the exclusion of assets from these
industries does not result in material differences between the
transaction and our ESG benchmark for the sector, no specific
adjustments have been made in our rating analysis to account for
any ESG-related risks or opportunities.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P sid, "We use these assumptions about vaccine
timing in assessing the economic and credit implications associated
with the pandemic. As the situation evolves, we will update our
assumptions and estimates accordingly."

  Ratings List

  CLASS    RATING     AMOUNT     INTEREST RATE (%)   CREDIT
                    (MIL. EUR)                     ENHANCEMENT (%)

  A        AAA (sf)   198.00        3mE + 0.80       38.00
  A Loan   AAA (sf)    50.00        3mE + 0.80       38.00
  B        AA (sf)     40.00        3mE + 1.35       28.00
  C        A (sf)      28.00        3mE + 2.30       21.00
  D        BBB (sf)    25.00        3mE + 3.75       14.75
  E        BB- (sf)    23.00        3mE + 7.05        9.00
  F        B- (sf)      8.00        3mE + 8.96        7.00
  Sub      NR          36.40           N/A             N/A

  NR--Not rated.
  N/A--Not applicable.
  3mE--Three-month Euro Interbank Offered Rate.


FAIR OAKS I: S&P Assigns B- (sf) Rating on EUR10.5MM Class F Notes
------------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Fair Oaks Loan
Funding I DAC's class X to F European cash flow CLO notes. At
closing, the issuer issued unrated subordinated notes.

The ratings reflect S&P's assessment of:

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

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

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

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

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

  Portfolio Benchmarks
                                                       CURRENT
  S&P weighted-average rating factor                  2,602.84
  Default rate dispersion                               616.51
  Weighted-average life (years)                           4.94
  Obligor diversity measure                             102.50
  Industry diversity measure                             18.44
  Regional diversity measure                              1.29

  Transaction Key Metrics
                                                       CURRENT
  Portfolio weighted-average rating
     derived from S&P's CDO evaluator                      'B'
  'CCC' category rated assets (%)                         0.82
  Actual 'AAA' weighted-average recovery (%)             36.77
  Covenanted weighted-average spread (%)                  3.30
  Reference weighted-average coupon (%)                   4.00

Unique Features

Loss mitigation loan mechanics

Loss mitigation loans allow the issuer to participate in potential
new financing initiatives by the borrower in default. This feature
aims to mitigate the risk of other market participants taking
advantage of CLO restrictions, which typically do not allow the CLO
to participate in a defaulted entity new financing request, and
hence increase the chance of increased recovery for the CLO. Whilst
the objective is positive, it can also lead to par erosion, as
additional funds will be placed with an entity that is under
distress or in default. This may cause greater volatility in our
ratings if the positive effect of such loans does not materialize.
In our view, the restrictions on the use of proceeds and the
presence of a bucket for such loss mitigation loans helps to
mitigate the risk.

Under the transaction documents, the issuer can purchase loss
mitigation loans which are assets of an existing collateral
obligation held by the issuer offered in connection with
bankruptcy, workout, or restructuring of such obligation, to
improve the recovery value of such related collateral obligation.

The purchase of loss mitigation loans is not subject to the
reinvestment criteria or the eligibility criteria. It receives no
credit in the principal balance definition, although where the loss
mitigation loan meets the eligibility criteria with certain
exclusions, it is accorded defaulted treatment in the par coverage
tests. The cumulative exposure to loss mitigation loans is limited
to 10% of target par.

The issuer may purchase loss mitigation loans using either interest
proceeds, principal proceeds, or amounts standing to the credit of
the supplemental reserve account. The use of interest proceeds to
purchase loss mitigation loans is subject to the manager
determining that there are sufficient interest proceeds to pay
interest on all the rated notes on the upcoming payment date. The
use of principal proceeds to purchase loss mitigation loans is
subject to:

-- Passing par coverage tests and the manager having built
sufficient excess par in the transaction;

-- The principal collateral amount equals or exceeds the
portfolio's target par balance after the reinvestment; and

-- Such loss mitigation loan is a debt obligation ranking senior
pari passu in relation to the defaulted or credit impaired
obligation, with a maturity not longer than the notes' maturity and
a par value above its purchase price.

To protect the transaction from par erosion, any distributions
received from loss mitigation loans that are either purchased with
the use of principal or purchased with interest or amounts in the
supplemental account, but which have been afforded credit in the
coverage test, will irrevocably form part of the issuer's principal
account proceeds and cannot be recharacterized as interest.

Reverse collateral allocation mechanism

If a defaulted euro-denominated obligation becomes the subject of a
mandatory exchange for U.S.-denominated obligation following a
collateral allocation mechanism (CAM) trigger event, the portfolio
manager may sell the CAM obligation and invest the sale proceeds in
the same obligor (a CAM euro obligation), provided the obligation:

-- Is denominated in euros;

-- Ranks as the same or more senior level of priority as the CAM
obligation; and

-- Is issued under the same facility as the CAM obligation by the
obligor.

To ensure that the CLO's original or adjusted collateral par amount
is not adversely affected following a CAM exchange, a CAM
obligation may only be acquired if, following the reinvestment, the
numerator of the CLO's par value test, referred to as the adjusted
collateral principal amount, is either:

-- Greater than the reinvestment target par balance;

-- Maintained or improved when compared to the same balance
immediately after the collateral obligation became a defaulted
obligation; or

-- Maintained or improved compared to the same balance immediately
after the mandatory exchange which resulted in the issuer holding
the CAM exchange. Solely for the purpose of this condition, the CAM
obligation's principal balance is carried at the lowest of its
market value and recovery rate, adjusted for foreign currency risk
and foreign exchange rates.

Finally, a CAM euro exchanged obligation that is also a
restructured obligation may not be purchased with sale proceeds
from a CAM exchanged obligation.

The portfolio manager may only sell a CAM obligation and reinvest
the sale proceeds in a CAM euro obligation if, in the judgment of
the portfolio manager, the sale and subsequent reinvestment is
expected to result in a higher level of ultimate recovery when
compared to the expected ultimate recovery from the CAM
obligation.

Under the transaction documents, the rated notes pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period ends approximately 4.2 years after closing.

At closing, the portfolio is well-diversified, primarily comprising
broadly syndicated speculative-grade senior-secured term loans and
senior-secured bonds. Therefore, we have conducted our credit and
cash flow analysis by applying our criteria for corporate cash flow
CDOs.

In our cash flow analysis, we used the EUR350 million target par
amount, the covenanted weighted-average spread (3.30%), the
reference weighted-average coupon (4.00%), and the covenanted
weighted-average recovery rate at the 'AAA' level as indicated by
the collateral manager. S&P applied various cash flow stress
scenarios, using four different default patterns, in conjunction
with different interest rate stress scenarios for each liability
rating category.

S&P said, "Our cash flow analysis also considers scenarios where
the underlying pool comprises 100% floating-rate assets (i.e., the
fixed-rate bucket is 0%) and where the fixed-rate bucket is fully
utilized (in this case, 7.5%). In latter scenarios, the class F
cushion is negative. Based on the portfolio's actual
characteristics and additional overlaying factors, including our
long-term corporate default rates and the class F notes' credit
enhancement (6.80%), we believe this class is able to sustain a
steady-state scenario, where the current market level of stress and
collateral performance remains steady. Consequently, we have
assigned our 'B- (sf)' rating to the class F notes, in line with
our 'CCC' ratings criteria.

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

Until the end of the reinvestment period on July 15, 2025, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and it compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

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

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

S&P said, "Following our analysis of the credit, cash flow,
counterparty, operational, and legal risks, we believe our ratings
are commensurate with the available credit enhancement for the
class X to F notes. Our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses
commensurate with the same or higher rating levels than those we
have assigned. However, as the CLO will be in its reinvestment
phase starting from closing, during which the transaction's credit
risk profile could deteriorate, we have capped our ratings assigned
to the notes.

"Taking the above factors into account and following our analysis
of the credit, cash flow, counterparty, operational, and legal
risks, we believe that our ratings are commensurate with the
available credit enhancement for all of the rated classes of
notes.

"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class X to E notes
to five of the 10 hypothetical scenarios we looked at in our
publication "How Credit Distress Due To COVID-19 Could Affect
European CLO Ratings," published on April 2, 2020. The results
shown in the chart below are based on the covenanted
weighted-average spread and recoveries.

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

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it will be managed by Fair Oaks
Capital Ltd.

Environmental, social, and governance (ESG) credit factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries:
oil, gas or thermal coal, upstream production of palm oil and palm
fruit products, controversial weapons, hazardous chemicals,
pesticides and wastes, pornography or prostitution, tobacco, and
predatory or payday lending. Accordingly, since the exclusion of
assets from these industries does not result in material
differences between the transaction and our ESG benchmark for the
sector, no specific adjustments have been made in our rating
analysis to account for any ESG-related risks or opportunities."

  Ratings List

  CLASS    RATING     AMOUNT    INTEREST RATE (%)    CREDIT
                    (MIL. EUR)                     ENHANCEMENT (%)
  X        AAA (sf)     2.00       3mE + 0.30          N/A
  A        AAA (sf)   217.00       3mE + 0.85        38.00
  B        AA (sf)     35.00       3mE + 1.65        28.00
  C        A (sf)      24.50       3mE + 2.40        21.00
  D        BBB (sf)    21.00       3mE + 3.40        15.00
  E        BB- (sf)    18.20       3mE + 6.09         9.80
  F        B- (sf)     10.50       3mE + 8.70         6.80
  Z        NR           2.00          N/A              N/A
  Sub      NR          28.00          N/A              N/A
  M        NR           1.00          N/A              N/A

  NR--Not rated.
  N/A--Not applicable.
  3mE--Three-month Euro Interbank Offered Rate.


HARBOUR AIRCRAFT: S&P Lowers Rating on Series B Loans to 'B'
------------------------------------------------------------
S&P Global Ratings lowered its ratings on Harbour Aircraft
Investments Ltd.'s series A and B loans and affirmed its rating on
the series C loans. The ratings were removed from CreditWatch,
where they were placed with negative implications on Feb. 25,
2021.

The downgrades primarily reflect the loans' insufficient credit
enhancement at their previous respective rating levels, based on
the following assumptions and considerations:

-- Declining credit quality of the lessees,

-- Relatively high exposure to off-lease and near-term lease
maturities,

-- Continued steep decline in rental collections,

-- The prolonged negative impact of COVID-19 on world travel and
the resulting stress on airlines' liquidity and ability to make
timely lease payments.

Assumptions For The Review

Similar to S&P's last review in September 2020, its analysis
included additional stresses on aircraft values, time to re-lease,
and retirement age due to the impact of COVID-19.

Collateral value

S&P said, "We typically use the lesser of the mean and median of
the three appraised values (LMM value) as the starting point in our
analysis. For this review, we compared the appraised values
provided in 2019 and 2020. We applied our aircraft-specific
depreciation assumptions from the date of the appraisal to the
first payment date. In addition, we applied 50% of our 'B-' lease
rate decline stress to haircut the initial portfolio value."

Lessee default pattern

S&P said, "In our prior review (September 2020), we applied a
front-loaded default pattern (55%/45%) for our first modeled
recession. For this review, we applied defaults evenly over a
four-year period during the first recession in recognition of the
financial support many governments have provided to airlines and
the vaccine rollout efforts, which have helped stem airline
defaults.

"In both the September 2020 review and the current review, we
assumed defaults occurred over a (30%/40%/20%/10%) pattern in the
second and third recessions."

Aircraft-on-ground (AOG) times

S&P made a criteria exception, extending the AOG downtime during
the first modeled recession and differentiating the re-lease time
for wide-bodies and narrow-bodies because we believe that
wide-bodies will be more vulnerable to lower demand.

  Table 1

  Aircraft On Ground
  In months

      BEFORE APPLICATION           AFTER APPLICATION
    OF CRITERIA EXCEPTION        OF CRITERIA EXCEPTION

  STRESS     ALL AOG    RECESSION 1  RECESSION 1  RECESSIONS 2 & 3
                         NB AOG      WB AOG         ALL AOG
  AA           11         13          16              11
  A            10         12          15              10
  BBB           9         11          14               9
  BB            8         10          13               8
  B             7          9          12               7

  AOG--Aircraft on ground.
  NB--Narrow-body.
  WB--Wide-body.

Useful life

S&P said, "We assumed a 22-year useful life for all aircraft in the
portfolio given the continued uncertainty around fleet plans. We
also assumed an early retirement (earlier than 22 years in some
cases) for some of the older aircraft upon the end of their current
lease."

Portfolio

As of the determination date for the April 15, 2021, payment date,
the transaction was backed by a portfolio of 20 aircraft with a
weighted average age and lease term of approximately 16 years and
three years, respectively. The portfolio also includes two engines,
which S&P did not give credit to in its analysis. Three of the
portfolio's aircraft and both engines are currently off-lease, two
of the aircraft are leased to airlines in default, and a number of
the aircraft are subject to power-by-the-hour agreements, none of
which have mandatory minimum rental payments. In addition, eight of
the lessees in the portfolio were more than one month late on
payments of basic rent or utilization rent as of the determination
date, and the servicer expects that more lessees will fall more
than one month behind on their obligations.

Liabilities

As of the determination date for the April 15, 2021, payment date,
available amounts were insufficient to pay principal on the series
A and B loans, as well as interest and principal on the series C
loans. In addition, principal on the series A and B loans is behind
schedule.

  Table 2

  Liabilities                                   SERIES
                                        A          B         C
  Original balance (mil. $)          445.20      68.30     66.30
  Current balance (April 2021)       228.38      35.04     40.85
  Last review balance (Sept. 2020)   228.38      35.04     39.10
  Paydowns since last review           0          0         0

Dwindling rental collections and the failure to pay scheduled
principal, among other things, continue to put negative pressure on
the debt service coverage ratio.

  Table 3

  Debt Service Coverage                
                                        DSCR(X)
  Current                               0.0837
  Last review (September 2020)          0.5028

  DSCR--Debt service coverage ratio.

Although the transaction structure includes a credit facility that
may be drawn upon to pay certain expenses and interest on the
series A and B loans, such amounts could be depleted in the near
future should collections continue to deteriorate at the current
pace. Interest on the series C loans is deferrable; nevertheless,
the series C interest reserve account has already been depleted.
Nonpayment of the series A and B principal and series C interest
and principal prior to the legal final maturity date does not
constitute an event of default.

S&P will continue to review whether the ratings assigned are
consistent with the credit enhancement available to support the
loans.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

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

-- Health and safety

  Ratings Lowered And Off CreditWatch

  Harbour Aircraft Investments Ltd.

  Series A loans, To: BB- (sf); From BB+ (sf)/Watch Neg
  Series B Loans, To: B (sf); From BB- (sf)/Watch Neg

  Rating Affirmed And Off CreditWatch

  Harbour Aircraft Investments Ltd.

  Series C loans, To: CCC (sf); From CCC (sf)/Watch Neg


HENLEY CLO II: Fitch Assigns B-(EXP) Rating on Class F-R Tranche
----------------------------------------------------------------
Fitch Ratings has assigned Henley CLO II DAC reset expected
ratings.

      DEBT                       RATING
      ----                       ------
Henley CLO II DAC

A-R                  LT  AAA(EXP)sf   Expected Rating
B-1-R                LT  AA(EXP)sf    Expected Rating
B-2-R                LT  AA(EXP)sf    Expected Rating
C-R                  LT  A(EXP)sf     Expected Rating
D-R                  LT  BBB-(EXP)sf  Expected Rating
E-R                  LT  BB-(EXP)sf   Expected Rating
F-R                  LT  B-(EXP)sf    Expected Rating
Subordinated notes   LT  NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Henley CLO II DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of senior unsecured,
mezzanine, second-lien loans, first-lien, last-out loans and
high-yield bonds. Net proceeds from the issuance of the notes will
be used to redeem existing notes (excluding the subordinated notes)
at the reset date. The portfolio is actively managed by Napier Park
Global Capital Ltd. The transaction has a 4.6-year reinvestment
period and an 8.5-year weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) of the identified
portfolio is 34.8.

High Recovery Expectations (Positive): At least 90% of the
portfolio will comprise senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate (WARR) of the identified portfolio is 61.4%.

Diversified Portfolio (Positive): The indicative 10 largest
obligors' limit at 18.00% is higher than the top 10 obligors'
exposure at 16.85% of the portfolio. The transaction also includes
various concentration limits, including the maximum exposure to the
three largest (Fitch-defined) industries in the portfolio at 40%.
These covenants ensure that the asset portfolio will not be exposed
to excessive concentration.

Portfolio Management (Positive): The transaction has a 4.6-year
reinvestment period and includes reinvestment criteria similar to
those of other European transactions. Fitch's analysis is based on
a stressed-case portfolio with the aim of testing the robustness of
the transaction structure against its covenants and portfolio
guidelines.

Deviation from Model-implied Rating (Negative): The class F notes'
rating is one notch higher than the model-implied rating (MIR). The
notes pass the assigned rating based on the identified portfolio
and the coronavirus sensitivity analysis that is used for ongoing
surveillance. The class F notes deviation from the MIR also
reflects Fitch's view that the tranche displays a significant
margin of safety given the credit enhancement level. The notes do
not currently present a "real possibility of default", which is the
definition of 'CCC' in Fitch's Ratings Definitions.

RATING SENSITIVITIES

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

-- A reduction of the default rate (RDR) at all rating levels by
    25% and an increase in the recovery rate (RRR) by 25% at all
    rating levels would result in an upgrade of up to five notches
    depending on the notes, except for the class A notes, which
    are already at the highest 'AAAsf' rating.

-- At closing, Fitch will use a standardised stressed portfolio
    (Fitch's stressed portfolio) that is customised to the
    portfolio limits as specified in the transaction documents.
    Even if the actual portfolio shows lower defaults and smaller
    losses at all rating levels than Fitch's stressed portfolio
    assumed at closing, an upgrade of the notes during the
    reinvestment period is unlikely, as the portfolio credit
    quality may still deteriorate, not only by natural credit
    migration, but also through reinvestments.

-- After the end of the reinvestment period, upgrades may occur
    on better-than-expected portfolio credit quality and deal
    performance, leading to higher credit enhancement and excess
    spread available to cover for losses in the remaining
    portfolio.

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

-- An increase of the RDR at all rating levels by 25% and a
    decrease of the RRR by 25% at all rating levels will result in
    downgrades of no more than five notches depending on the
    notes.

Coronavirus Baseline Stress Scenario

Fitch has recently updated its CLO coronavirus stress scenario to
assume half of the underlying corporate exposure on Negative
Outlook is downgraded by one notch instead of 100%. The Stable
Outlooks on all the notes reflect their resilience in the
sensitivity analysis Fitch ran in light of the coronavirus
pandemic.

Coronavirus Severe Downside Stress Scenario

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies. The severe downside stress
incorporates a single-notch downgrade to all the underlying
corporate exposure on Negative Outlook. This scenario shows
resilience at the current ratings for all notes.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

Henley CLO II DAC

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

The majority of the underlying assets or risk presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk presenting entities.

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action

Overall, and together with any assumptions referred to above,
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.

HENLEY CLO II: S&P Assigns Prelim B- (sf) Rating on F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Henley
CLO II DAC's class A-R, B-1-R, B-2-R, C-R, D-R, E-R, and F-R reset
notes. At closing, the issuer will issue additional subordinated
notes to bring the total to EUR34.75m.

The transaction is a reset of an existing transaction, which
originally closed in June 2020. The issuance proceeds of the
refinancing notes will be used to redeem the refinanced notes (the
class A, B, C, D, E, and F notes), pay fees and expenses incurred
in connection with the reset, and fund the acquisition of
additional assets.

The preliminary ratings reflect S&P's assessment of:

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

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

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

-- The transaction's legal structure, which S&P expects to be
bankruptcy remote.

-- The transaction's counterparty risks, which S&P expects to be
in line with its counterparty rating framework.

  Portfolio Benchmarks
                                                   CURRENT
  S&P weighted-average rating factor              3,012.60
  Default rate dispersion                           446.94
  Weighted-average life (years)                       5.33
  Obligor diversity measure                          92.32
  Industry diversity measure                         20.14
  Regional diversity measure                          1.18

  Transaction Key Metrics
                                                   CURRENT
  Portfolio weighted-average rating
      derived from S&P's CDO evaluator                   B
  'CCC' category rated assets (%)                     2.00
  Actual 'AAA' weighted-average recovery (%)         33.66
  Covenanted weighted-average spread (%)              4.10
  Covenanted weighted-average coupon (%)              4.50

Loss mitigation obligations

Under the transaction documents, the issuer can purchase loss
mitigation obligations, which are assets of an existing collateral
obligation held by the issuer offered in connection with
bankruptcy, workout, or restructuring of such obligation, to
improve the recovery value of such related collateral obligation.

Loss mitigation obligations allow the issuer to participate in
potential new financing initiatives by the borrower in default.
This feature aims to mitigate the risk of other market participants
taking advantage of CLO restrictions, which typically do not allow
the CLO to participate in a defaulted entity's new financing
request. Hence, this feature increases the chance of a higher
recovery for the CLO. While the objective is positive, it can also
lead to par erosion, as additional funds will be placed with an
entity that is under distress or in default. This may cause greater
volatility in our ratings if the positive effect of such
obligations does not materialize. In our view, the presence of a
bucket for loss mitigation obligations, the restrictions on the use
of interest and principal proceeds to purchase such assets, and the
limitations in reclassifying proceeds received from such assets
from principal to interest help to mitigate the risk.

The purchase of loss mitigation obligations is not subject to the
reinvestment criteria or the eligibility criteria. The issuer may
purchase loss mitigation obligations using interest proceeds,
principal proceeds, or amounts in the collateral enhancement
account. The use of interest proceeds to purchase loss mitigation
obligations is subject to:

-- The manager determining that there are sufficient interest
proceeds to pay interest on all the rated notes on the upcoming
payment date; and

-- Following the purchase of such loss mitigation obligation, all
coverage tests shall be satisfied.

The use of principal proceeds is subject to:

-- Passing par coverage tests;

-- The manager having built sufficient excess par in the
transaction so that the aggregate collateral balance is equal to or
exceeds the portfolio's reinvestment target par balance after the
reinvestment;

-- The obligation purchased is a debt obligation, which ranks
senior or pari passu and has a par value greater than or equal to
its purchase price; and

-- The balance in the principal account remaining equal to or
greater than zero after giving effect to the purchase.

Loss mitigation obligations that have limited deviation from the
eligibility criteria will receive collateral value credit for
overcollateralization carrying value purposes. To protect the
transaction from par erosion, any distributions received from loss
mitigation obligations purchased with the use of principal proceeds
will form part of the issuer's principal account proceeds and
cannot be recharacterized as interest. Loss mitigation obligations
that do not meet this version of the eligibility criteria will
receive zero credit.

Amounts received from loss mitigation loans originally purchased
using principal proceeds will be returned to the principal account,
whereas any other amounts can form part of the issuer's interest
account proceeds. The manager may, at their sole discretion, elect
to classify amounts received from any loss mitigation obligations
as principal proceeds.

The cumulative exposure to loss mitigation obligations purchased
with principal is limited to 5% of the target par amount. The
cumulative exposure to loss mitigation obligations purchased with
principal and interest is limited to 10% of the target par amount.

Rating rationale

Under the transaction documents, the rated notes will pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately 4.5 years after
closing.

S&P said, "We understand that at closing the portfolio will be
well-diversified, primarily comprising broadly syndicated
speculative-grade senior-secured term loans and senior-secured
bonds. Therefore, we have conducted our credit and cash flow
analysis by applying our criteria for corporate cash flow CDOs.

"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread (4.10%), the
reference weighted-average coupon (4.50%), and the actual
weighted-average recovery rates generated by the portfolio. We
applied various cash flow stress scenarios, using four different
default patterns, in conjunction with different interest rate
stress scenarios for each liability rating category.

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

Until the end of the reinvestment period on Jan. 25, 2026, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and it compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

S&P said, "At closing, we expect that the transaction's documented
counterparty replacement and remedy mechanisms will adequately
mitigate its exposure to counterparty risk under our current
counterparty criteria.

"We expect the transaction's legal structure and framework to be
bankruptcy remote, in line with our legal criteria .

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our preliminary ratings
are commensurate with the available credit enhancement for the
class A to F notes. Our credit and cash flow analysis indicates
that the available credit enhancement for the class B-1, B-2, C, D,
and E notes could withstand stresses commensurate with higher
rating levels than those we have assigned. However, as the CLO will
be in its reinvestment phase starting from closing, during which
the transaction's credit risk profile could deteriorate, we have
capped our preliminary ratings assigned to the notes.

"Taking the above factors into account and following our analysis
of the credit, cash flow, counterparty, operational, and legal
risks, we believe that our preliminary ratings are commensurate
with the available credit enhancement for all the rated classes of
notes.

"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class A to E notes
to five of the 10 hypothetical scenarios we looked at in our
publication, "How Credit Distress Due To COVID-19 Could Affect
European CLO Ratings," published on April 2, 2020. The results are
shown in the chart below.

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

Environmental, social, and governance (ESG) credit factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries
(non-exhaustive list): tobacco, controversial weapons, and thermal
coal and fossil fuels from unconventional sources. Accordingly,
since the exclusion of assets from these industries does not result
in material differences between the transaction and our ESG
benchmark for the sector, no specific adjustments have been made in
our rating analysis to account for any ESG-related risks or
opportunities."

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it will be managed by Napier Park
Global Capital Ltd.

  Ratings List

  CLASS    PRELIM.   PRELIM. AMOUNT  INTEREST RATE(%)  CREDIT
           RATING       (MIL. EUR)                  ENHANCEMENT(%)
  A-R      AAA (sf)      236.00       3mE + 0.85       41.00
  B-1-R    AA (sf)        20.00       3mE + 1.55       29.75
  B-2-R    AA (sf)        25.00             2.00       29.75
  C-R      A (sf)         31.00       3mE + 2.15       22.00
  D-R      BBB- (sf)      24.50       3mE + 3.00       15.88
  E-R      BB- (sf)       22.00       3mE + 5.71       10.38
  F-R      B- (sf)         2.50       3mE + 8.30        7.25
  Sub      NR             34.75          N/A             N/A

  NR--Not rated.
  N/A--Not applicable.
  mE--Three-month Euro Interbank Offered Rate.




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

CEDACRI MERGECO: Moody's Assigns First Time B3 Corp Family Rating
-----------------------------------------------------------------
Moody's Investors Service has assigned a first-time B3 corporate
family rating and B3-PD probability of default rating to Cedacri
Mergeco S.p.A., a vehicle recently created to acquire Cedacri
S.p.A. an Italian based software provider for the banking sector.
Concurrently, Moody's has assigned a B3 rating to the proposed
EUR650 million equivalent guaranteed senior secured notes due 2028
to be issued by Cedacri Mergeco S.p.A. The outlook on all ratings
is positive.

Proceeds from the note issuance will be used to finance part of the
acquisition of Cedacri S.p.A., repay existing indebtedness and pay
transaction fees and expenses. The acquisition is still pending
regulatory approvals and is expected to close in Q2 2021. Proceeds
will be placed in an escrow account pending approval.

Post completion of the acquisition, Cedacri Mergeco S.p.A. will be
merged into Cedacri S.p.A., which will remain the surviving entity.
Cedacri Mergeco S.p.A. is indirectly owned by ION Investment Group
(ION), a privately owned investment company focusing on investing
in mission-critical financial technology, software automation, data
and analytics.

"The B3 rating assigned to Cedacri balances the company's leading
position as provider of critical services to Italian banks, the
predictability of its revenues owing to long term contracts and
some barriers to entry and the positive market fundamentals, with
the relatively small size of the company, its niche business focus,
its limited geographic reach and its high financial leverage," says
Paolo Leschiutta, a Moody's Senior Vice President and lead analyst
for Cedacri.

"The positive outlook, however, recognizes the upside potential on
the rating if the company demonstrates a successful track record in
improving its operating profitability while strengthening its free
cash flow generation, reducing its financial leverage and
maintaining a prudent approach towards future M&A activity. Under
the new ownership, the company is targeting significant cost
savings which should lead to gradual deleveraging albeit there are
some execution risks which may delay the improvement in credit
metrics," adds Mr. Leschiutta.

RATINGS RATIONALE

Cedacri's B3 CFR is supported by the good revenue visibility owing
to the company's solid market position as a provider of essential
services to Italian banks and the long term nature of its contracts
with customers, with 75% of 2020 recurring revenues linked to
contracts with remaining life of over five years. The company's
topline is also protected by relatively high barriers to entry in
light of the integration of its systems within those of its
customers. High switching costs and potential migration challenges
result in low customer churn with a 98% retention rate.

Industry fundamentals remains supportive of future topline growth
as Italian banks spending on IT is likely to increase over the
coming years and focus on cost reduction might result in greater
outsourcing of proprietary software to third party providers, which
is positive for Cedacri. In addition, the complexity of the Italian
banking regulatory environment makes the market less attractive for
international players.

These strengths compensate for the narrow scope of the company's
product offering, basically servicing only financial institutions,
and its limited product and geographic diversification with 97% of
its 2020 revenues generated in Italy. Customer concentration is
also high with approximately half of the company's revenues
generated by its ten largest customers and its largest customer
being a new ten year contract which went live in 2020. Any key
customer loss might have severe implications on the company's top
line and profitability, offset by the weighted average contract for
customers at over 4.5 years. In this context, Moody's acknowledges
the company's historical track record of retaining most of its
customers, albeit ongoing consolidation in the Italian banking
system might result in some revenue attrition and further customer
concentration which is partially offset by the company's ability to
exploit cross selling opportunities among its customers.

The company's financial leverage, measured as Moody's adjusted debt
to EBITDA and including the capitalisation of software development
costs, in excess of 7.0x is seen as high based on the company's
2020 EBITDA adjusted for non-recurring items and pro-forma for the
transaction. Moody's recognizes however, that initial leverage
reduces to around 6.3x considering the positive impact of a number
of new contracts already signed by the company. The initial
leverage is seen as high for the rating in light of the company's
modest size but the rating assumes gradual deleveraging towards
5.5x over the next 6 to 12 months. Deleveraging should stem from
ongoing top-line growth and potential to improve profitability
through better economies of scale and some cost reduction
opportunities. Moody's also expects the company's free cash flow to
debt ratio, as adjusted by Moody's, to remain below 5% in 2021, and
to improve thereafter on the back of improving profitability and
lower capex investments than that in recent years. The improvement
in key ratios is, however, exposed to some execution risks.

Moody's has assumed lower cost savings and free cash flow
generation than those assumed by the company's management over the
next two years, albeit the rating agency still expects some success
in improving profitability to a level closer to other software
providers which currently display better profitability. Moody's
also notes the high cash conversion rate of Cedacri which should
support positive free cash flow generation on an ongoing basis.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE CONSIDERATIONS

Environmental risks are generally low for software companies, while
companies in this sector tend to be more exposed to social risks
related to cyber risks stemming from the fact that these companies,
including Cedacri, process large amounts of confidential and
sensitive data, which increases legal, regulatory or reputational
risks. These risks are, however, similar to those faced by other
companies in the sector, and the company has a relatively good
track record in protecting its customers.

Following the acquisition, the company will be tightly controlled
by funds managed by ION, which — as is often the case in highly
levered, private-equity-sponsored deals — has a high tolerance
for leverage, as shown by the fact that other ION owned assets
(such as Helios Software Holdings, Inc. (B2 stable) and ION Trading
Technologies Limited (B3 stable) are rated in the B2/B3 categories.
Although Moody's understands that ION has long term interest in the
company and has a track record of achieving cost savings, Moody's
notes that the ability to further improve cash generation is
exposed to the implementation of what the rating agency perceives
as a challenging cost savings programme which might result in
failure to improve free cash flow and reduce financial leverage
according to management's expectations. High market fragmentation
might also result in possible acquisitions adding some event risks
to the company's strategy, albeit the current rating does not
assume any meaningful debt funded acquisition.

LIQUIDITY

Cedacri's liquidity is good, supported by Moody's expectation of
ongoing positive free cash flow generation of around EUR30-40
million per annum, and limited business and working capital
seasonality limiting cash needs during the year. Following the
refinancing, the company will not have any meaningful debt maturity
until 2028 when the notes are due. The company will also have
access to a relatively sizeable revolving credit facility due in
2027 of EUR60 million which Moody' understands will remain largely
undrawn. The revolving credit facility is covenant-lite with a
leverage ratio that will be tested when drawings exceed 40% and
will act as a drawstop on further drawing. Moody's understands the
company will only have a modest cash balance of EUR10 million
following the transaction but expects the cash balance to build up
over time.

STRUCTURAL CONSIDERATIONS

The B3 rating assigned to the EUR650 million senior secured notes,
in line with the CFR, reflects the fact that the notes constitute
most of the financial debt of the company. While the EUR60 million
super senior RCF ranks senior to the notes, its size is not enough
to cause a notching down of the notes. Moody's has assumed a 50%
family recovery rate, as it is standard for capital structures that
include both bonds and bank debt. The security package is weak, as
the notes are secured by share pledges, but they are guaranteed
(with some limitations under Italian law) by subsidiaries,
representing at least 80% of the group's EBITDA.

OUTLOOK

The positive outlook reflects that the company's success in growing
its top-line while improving its profitability and containing its
capex should result in improvements in operating profit leading to
stronger free cash flow generation and lower financial leverage
over the next few quarters. The positive outlook also reflects the
good liquidity of the company and Moody's expectation that the
company will continue to generate positive free cash flow and will
not pursue large debt-funded acquisitions or any shareholder
distributions.

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

The company's modest size and limited geographic diversification
constrain the upside potential on the rating. However, positive
rating pressure could develop if Cedacri manages to improve its
profitability showing good track record in achieving and
maintaining an adjusted financial leverage below 6.0x (after the
capitalisation of software development costs) and a FCF to gross
debt above 5%, both on a sustained basis and as adjusted by
Moody's, while preserving a conservative financial policy.

Conversely, negative rating pressure could materialise in case of
loss of any large customers that leads to negative free cash flow
generation for a sustained period, or in case of a large debt
funded acquisition. The rating could come under immediate pressure
in case the company's adjusted leverage increases above 7.5x on a
sustained basis (after the capitalisation of software development
costs), or if its liquidity deteriorates.

LIST OF AFFECTED RATINGS

Assignments:

Issuer: Cedacri Mergeco S.p.A.

Probability of Default Rating, Assigned B3-PD

LT Corporate Family Rating, Assigned B3

Senior Secured Regular Bond/Debenture, Assigned B3

Outlook Actions:

Issuer: Cedacri Mergeco S.p.A.

Outlook, Assigned Positive

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Software
Industry published in August 2018.
COMPANY PROFILE

Cedacri Mergeco S.p.A. is a newly created vehicle for the
acquisition of Cedacri S.p.A., an Italian based software and
service provider to Italian financial institutions. The company
operates under six divisions and focuses on the provision of core
banking infrastructure, software, solutions and other IT services
to the Italian market including the management of banks
applications pursuant to a software-as-a-service approach, trading
and post trading brokerage activities, regulatory compliance
platforms, comprising anti-money laundry checks, and other services
like business continuity and disaster recovery, consulting and
cloud infrastructure.

In fiscal 2020, the company reported revenues of EUR402.7 million
and EBITDA of EUR87 million. Excluding a number of company's
reported non-recurring items, EBITDA in 2020 stood at EUR97.6
million.



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

DANA FINANCING: Moody's Rates New EUR325M Sr. Unsecured Notes 'B2'
------------------------------------------------------------------
Moody's Investors Service assigned a B2 rating to Dana Financing
Luxembourg S.a.r.l.'s (Dana Luxembourg) proposed EUR325 million of
senior unsecured notes. Dana Luxembourg is a financing subsidiary
of Dana Incorporated (Dana), and Dana will unconditionally
guarantee the Dana Luxembourg notes on a senior unsecured basis.
Dana Luxembourg does not have any operating subsidiaries. All other
ratings are unaffected including Dana's Ba3 corporate family
rating, Baa3 senior secured rating and B2 senior unsecured rating.
The rating outlook is negative.

The proceeds from these proposed Euro notes will be used to
refinance the USD 2026 senior unsecured notes.

RATINGS RATIONALE

Dana's ratings reflect a strong competitive position as a key,
global supplier of drive-line products and thermal sealants for
light vehicle and off-road vehicles. The product mix is weighted
towards light trucks and SUVs in North America, a segment that
continues to grow as a percentage of overall vehicle production
levels. Moody's expects debt-to-EBITDA (after Moody's standard
adjustments) to fall steadily to below 4x by year-end 2021, from
the current mid-5x range. The EBITDA margin should approach the low
double-digit level in 2021 (consistent with pre-2020 results) with
Moody's expectation for continued end market stability leading to
improved earnings and cash flow.

The negative outlook reflects a more measured rebound in results
that should accelerate in the latter half of 2021, positioning Dana
for a sharper uptick in results for 2022 and beyond.

The SGL-1 Speculative Grade Liquidity Rating indicates very good
liquidity with Moody's expectation for Dana to maintain a solid
cash position and ample availability under the upsized $1.15
billion revolving credit facility set to expire 2026. At March 31,
2021, Dana had cash and marketable securities of approximately $510
million and near full availability under the revolving credit
facility. Moody's anticipates free cash flow generation to rebound
in 2021 even with higher working capital and capital expenditures
needed for growth.

Moody's took the following rating action on Dana Financing
Luxembourg S.a.r.l.:

Gtd Senior Unsecured Euro Bond/Debenture, assigned at B2 (LGD5)

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

The ratings could be upgraded with expectations of sustained
revenue growth leading to EBITA-to-interest over 3.5x,
debt-to-EBITDA of 3x or below and consistent and significant free
cash flow, while maintaining a very good liquidity profile. Other
factors supporting an upgrade would be continued cost structure
improvements to better position the company to manage through
cyclicality and continued discipline in return of capital to
shareholders.

Ratings could be downgraded if Moody's believes that through the
second-half of 2021 Dana's EBITA-to-interest coverage is expected
in the 2x range or debt-to-EBITDA is sustained at or above 4x.
Other developments that could lead to downward rating pressure
include deteriorating liquidity and aggressive debt-funded
acquisitions or shareholder returns that result in leverage
remaining elevated.

Dana's role in the automotive and commercial vehicle industries
exposes it to material environmental risks arising from increasing
regulations on carbon emissions. Automotive manufacturers and
commercial fleet operators (particularly in the off-highway
markets) continue to introduce electrified products to meet
increasingly stringent regulatory requirements. Dana has
strategically and aggressively acquired electrification technology
and electrified product offerings to complement its own branded
product offerings.

The principal methodology used in this rating was Automotive
Supplier Methodology published in January 2020.

Dana Incorporated is a global manufacturer of drive systems (axles,
driveshafts, transmissions), sealing solutions (gaskets, seals, cam
covers, oil pan modules) and thermal-management technologies
(transmission and engine oil cooling, battery and electronics
cooling) serving OEMs in the light vehicle, commercial vehicle and
off-highway markets. Revenues for the latest twelve months ended
March 31, 2021 were approximately $7.4 billion.

DANA FINANCING: S&P Rates New EUR325MM Sr. Unsec. Notes 'BB'
------------------------------------------------------------
S&P Global Ratings assigned its 'BB' issue-level rating and '4'
recovery rating to Dana Financing Luxembourg S.a r.l.'s parent,
Dana Inc.'s proposed EUR325 million senior unsecured notes due
2029. The '4' recovery rating indicates our expectation for average
(30%-50%; rounded estimate: 30%) recovery for the senior unsecured
lenders in the event of a payment default. The notes will be
guaranteed, fully and unconditionally, by the company.

The company plans to use the proceeds from these notes to refinance
its existing US$375 million senior unsecured notes due 2026.
Because this is largely a refinancing transaction, it will not
materially increase Dana's leverage or impair the recovery
prospects for its unsecured noteholders. Therefore, S&P rated the
new unsecured notes at the same level as its rating on its existing
senior unsecured debt.

WINTERFELL FINANCING: Fitch Gives Final 'B' LT IDR, Outlook Stable
------------------------------------------------------------------
Fitch Ratings has assigned building materials distributor
Winterfell Financing S.a.r.l. (Stark Group) a final Long-Term
Issuer Default Rating (IDR) of 'B' with a Stable Outlook, following
the finalisation of the acquisition of Stark Group by CVC. Fitch
has also assigned a final instrument rating of 'B+'/'RR3' to the
group's EUR1,345 million senior secured seven-year term loan B.

The assignment of the final ratings follows a review of the final
documentation being materially in line with the draft terms.

KEY RATING DRIVERS

Solid Business Profile: Stark Group's business profile is mainly
underpinned by its leading position in the heavy building materials
distribution market in the Nordics and Germany. Diversification is
sound due to its extensive branch coverage with proximity to the
largest growing urban areas as well as limited supplier and
customer concentration.

These positives are offset by its exposure to the cyclical
construction end-markets and intense competition in the fragmented
distribution markets. This is somewhat mitigated by the focus on
the more resilient renovation, maintenance and improvement (RMI)
end-markets (around 70% of gross profit exposure) and the growing
segment of small and medium-sized customer companies (around 56% of
net sales).

Leading Market Position: Stark has the leading market position in
the fragmented heavy building materials distribution market in
Denmark, Sweden and Germany. It also has the second-largest market
share in Finland and a strong regional presence in Norway. The
group's market position is mainly underpinned by its long record of
operations, scale advantage and integrated business model. The
group's fairly dense network of branches across key markets,
supported by a sales force with technical and customer-specific
knowledge, has helped generate strong local brand awareness.

Sound Diversification: The group's geographic footprint is balanced
between the Nordic and German markets and has limited supplier and
customer concentration. The company has a fairly broad building
products offering, albeit focused on heavy building materials (e.g.
plasterboards, insulation materials, steels) and timber and panels,
which together account for over 60% of revenue.

Continued Acquisitive Strategy: Fitch expects the group to continue
to pursue an M&A-driven growth strategy, which bears execution
risk. Over FY21-FY24 (financial year ending 31 July), Fitch expects
the company to spend EUR35 million on average annually on bolt-on
acquisitions. Execution risk is mitigated by the group's successful
integration track record and prudent policy of acquiring companies
with a clear strategic fit at modest valuation multiples.
Nevertheless, the M&A pipeline, deal parameters and post-merger
integration remain important rating drivers.

In October 2019, the company roughly doubled its size following the
completion of the acquisition of Saint-Gobain's German Distribution
division (currently Stark Deutschland). Fitch believes that ongoing
execution risk related to the integration and large-scale
operations in the new market is mitigated by progress in the
integration to date, modest remaining restructuring costs and
significant potential for margin improvements.

Resilient Free Cash Flow: Fitch expects that Stark will continue to
generate positive free cash flow (FCF) through the cycle. The
company's structurally low operating profitability driven by the
competitive distribution business is offset by strong cash
conversion. The group's cash flow volatility is limited by its
large share of variable and semi-variable costs as well as a
portfolio of around EUR900 million of owned real estate assets,
which provides additional financial flexibility.

Fitch expects that the pandemic will continue to have a limited
impact on the company's profitability. Performance will be
supported by resilient demand, driven by fiscal stimulus packages
and emerging trends such as "nesting", which have been bolstering
demand in the renovation markets. The company is also focused on
the Nordics and Germany, which Fitch expects to remain more
resilient than most Western European countries.

High but Sustainable Leverage: The rating is restricted to the 'B'
category because of high leverage and expected modest deleveraging
during the forecast period. Fitch forecasts funds from operations
(FFO) leverage to be around 8.5x at end-2021. Fitch expects gradual
deleveraging towards around 6.7x by end-2024 on the back of
improving operating profitability generation and moderate bolt-on
acquisitions.

DERIVATION SUMMARY

Fitch views Stark Group's business profile as broadly in line with
Quimper's (Ahlsell; B/Stable), a leading Nordic distributor of
installation products, tools and supplies to professional
customers. Both companies benefit from strong market positions,
significant scale of operations and sound diversification with
fairly broad product offerings, significant exposure to RMI
end-markets and limited customer and supplier concentration. Stark
Group's broader geographic footprint is partly offset by Ahlsell's
stronger end-market diversification given its exposure to
infrastructure and industry end-markets.

Both companies' ratings are mainly constrained by high leverage.
Following its refinancing, Ahlsell's leverage metrics are expected
to be somewhat stronger than that of Stark. Fitch views Ahlsell's
profitability as somewhat stronger, driven by higher operating
margins. Fitch expects that both companies will generate positive
FCF through the cycle.

KEY ASSUMPTIONS

Fitch's key assumptions within its rating case for the issuer
include:

-- Organic annual revenue growth in low single digit;

-- Broadly stable EBITDA margin of 4.8%-5.1%;

-- Average annual M&A spend of EUR35 million in FY21-FY24;

-- Capex at 1.7% of revenue annually in FY21-FY24 (including
    gross freehold capex);

-- Broadly neutral annual average working capital requirement in
    FY21-FY24;

-- No dividends.

KEY RECOVERY RATING ASSUMPTIONS

-- The recovery analysis assumes that Stark Group would be
    reorganised as a going-concern (GC) in bankruptcy rather than
    liquidated.

-- It reflects Stark's market position, dense network of
    branches, own portfolio of brands and potential for further
    consolidation in the fragmented distribution market.

-- Fitch has assumed a 10% administrative claim.

-- For the purpose of recovery analysis Fitch assumed that post
    transaction debt comprises EUR1,345 million TLB, EUR200
    million revolving credit facility (RCF; assumed full
    drawdown), EUR31 million non-recourse factoring (the highest
    drawn amount) and around EUR27 million other debt.

-- The GC EBITDA estimate of EUR190 million reflects Fitch's view
    of a sustainable, post-reorganisation EBITDA level upon which
    Fitch bases the enterprise valuation.

-- The GC EBITDA assumption equals the cash flow assuming average
    EBITDA margins of around 4%, reflecting intense market
    competition, and revenues of around EUR4.6 billion.

-- An EV multiple of 5.5x EBITDA is applied to the GC EBITDA to
    calculate a post-reorganisation enterprise value.

-- The multiple reflects leading position across the Nordics and
    German heavy materials distribution market, significant scale
    and strong asset quality with significant owned real estate
    portfolio located near growing urban areas.

-- The selected multiple is in line with Assemblin Financing AB's
    and Gerflor/Hestiafloor 2 (5.5x) and somewhat higher than
    Ahlsell's's (5.0x) due to Stark's stronger asset quality
    driven by significant owned real estate portfolio and somewhat
    stronger market position and better geographic
    diversification.

RATING SENSITIVITIES

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

-- FFO leverage below 6.0x on a sustained basis;

-- EBITDA margin above 5.5%, potentially evidencing successful
    integration of acquisitions;

-- Consistent low-to-mid single-digit FCF margin.

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

-- FFO leverage above 8.0x on a sustained basis;

-- Problems with integration of acquisitions or increased debt
    funding;

-- EBITDA margin of below 4.5% on a sustained basis;

-- Erosion of FCF to neutral or negative.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Satisfactory Liquidity: Liquidity at the closing of the transaction
was expected to consist of around EUR45 million of readily
available cash (excluding EUR40 million restricted by Fitch for
intra-year working capital swings) and EUR200 million undrawn
6.5-year RCF. There are no significant short-term debt maturities
(apart from expected around EUR50 million factoring drawdown) as
the new debt structure is concentrated on EUR1,345 million senior
secured seven-year term loan B.

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.



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

OCI NV: Moody's Affirms Ba2 CFR, Alters Outlook to Stable
---------------------------------------------------------
Moody's Investors Service has changed the outlook on OCI N.V.'s
rating to stable from previously negative. Concurrently Moody's
affirmed OCI's Ba2 corporate family rating and the Ba2-PD
probability of default rating. Moody's has also affirmed the Ba3
rating on the backed senior secured notes borrowed by OCI N.V.

RATINGS RATIONALE

The stabilization of OCI's rating outlook reflects Moody's
expectations that OCI´s EBITDA and cash generation will recover
strongly in 2021 and that free cash flow (FCF) generated will be
applied to reduce gross debt. This will result in improved credit
metrics which are adequate for a Ba2 rating and result in a capital
structure better placed to withstand the cyclicality inherent to
OCI's end-markets

Moody's expects that OCI's EBITDA generation in 2021 will benefit
from improved average pricing for nitrogen fertilizer and methanol
through 2021 due to strong demand from China, higher crop prices,
higher expected planted acreage, increasing industrial demand and
some production curtailments. Furthermore, Moody's forecast
incorporates the expectation that production volumes for methanol
and ammonia in 2021 will increase due to the absence of larger
turnarounds and consistently high operating rates across OCI's
platform. Based on these assumptions, Moody's expects that OCI will
generate Moody's adjusted EBITDA in excess of $1.3 billion in 2021
resulting in a Moody's adjusted gross leverage of below 3.5x. The
favorable price environment will enable the company to generate
meaningful FCF increasing its capacity to reduce gross debt. In
2021, Moody's forecast incorporates a gross debt reduction of at
least $500 million. In January 2021, OCI already repaid around $147
million of bonds issued at its subsidiary Iowa Fertilizer Company
(IFCO). In combination with scheduled debt amortizations this has
resulted in a year to date gross debt reduction of around $220
million during Q1 2021. Expected debt reduction in 2021 will put
the company's capital structure on a more solid footing to
withstand the cyclicality inherent to OCI's business model. The
company targets a net leverage (company definition) of around 2x
through the cycle (3x as of end March 2021).

The Ba2 rating also takes into account the group's complex capital
structure which might constrain its ability to apply FCF to debt
reduction. Also, cash flow generated within the Fertiglobe
perimeter (which is 58% owned and fully consolidated; Fertiglobe
accounts for around 50% of OCI's consolidated EBITDA per March
2021) will not be available to serve debt at the OCI N.V. level or
at other operating subsidiaries. Cash from the Fertiglobe perimeter
can only be upstreamed to the OCI N.V. level via dividend payments,
which results in some cash leakage to minority shareholders.
However, Moody's adjusted debt/EBITDA also does not take into
account the value of OCI's 50% participation in Natgasoline LLC
(B1, neg).

LIQUIDTY PROFILE

OCI's liquidity profile is solid. As of March 2021, the company had
$770 million of cash on balance sheet and around $500 million of
availability under its $850 million senior secured revolving credit
facility as of December 2020. In addition, the company's liquidity
profile benefits from around $195 million of committed revolving
credit facilities at local subsidiaries, which are currently
undrawn and available to cater liquidity needs of respective
subsidiaries. In combination with expected FCF generation those
sources should be sufficient to cover mandatory debt repayments,
swings in working capital and capital expenditures. The revolving
credit facilities contain financial covenants, which Moody's
expects to be met at all times.

STRUCTURAL CONSIDERATIONS

The one notch differential between the Ba2 CFR of OCI N.V., which
is the ultimate holding company of the group, and the Ba3 rating
assigned to the senior secured notes issued by OCI N.V. reflects:
1) the structural subordination of OCI N.V.'s creditors to those of
its US based operating subsidiary Iowa Fertilizer Company and North
African operating subsidiaries, whose financial debt is largely
secured against respective assets; and 2) the relatively weak
guarantor package supporting OCI's Senior Secured Notes.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook on OCI's rating reflects Moody's expectation
that gross leverage will remain within the guidance for a Ba2
rating in the next 18-24 months and that the company will able to
generate meaningful positive FCF and reduce gross debt.

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

Moody's could upgrade OCI's corporate family rating if the company
strengthens its capital structure, such that debt/EBITDA falls
below 3x and RCF/debt increases above 20% on a sustained basis.
Furthermore, Moody's would expect a track record of positive FCF
generation, with the FCF/debt metric in the high-single-digit
percentages.

Moody's could downgrade OCI's rating if the company fails to reduce
Moody's-adjusted debt/EBITDA to below 4x and does not generate
positive FCF on a consistent basis, with the FCF/debt metric at
around 5%.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Chemical
Industry published in March 2019.

SIGMA HOLDCO: S&P Downgrades Rating to 'B' on Slower Debt Reduction
-------------------------------------------------------------------
S&P Global Ratings lowered to 'B' from 'B+' its ratings on
Netherlands-based plant-based food producer Upfield (Sigma HoldCo
BV), its EUR700 million revolving credit facility (RCF), and its
EUR4,325 million term loan due 2025. At the same time, S&P lowered
the rating on its EUR1,075 million unsecured notes due 2026 to
'CCC+' from 'B-'.

S&P said, "The stable outlook reflects our view that Upfield will
post positive organic growth, manage inflationary pressure, and
deliver expected value-creation savings, supporting annual FOCF in
excess of EUR150 million from 2021 and a gradual leverage reduction
to 9.0x-9.5x by end-2021, approaching 8.0x the following year.

"Upfield's S&P Global-Ratings-adjusted leverage materially
increased in 2020, approaching 10.5x, and we expect it will
slightly reduce close to 9.0-9.5x in 2021 which is above the level
commensurate with a 'B+' rating."

Upfield reported flat revenue of about EUR2.8 billion in 2020
compared with 2019, and a S&P Global Ratings-adjusted EBITDA margin
of about 21%, a contraction of roughly 200 basis points (bps)
compared with 2019. The decline in profitability was mainly driven
by COVID-19-related costs and the restructuring of Upfield's
manufacturing footprint. At the same time, the company's margin has
come under pressure from an increase in raw material prices and
logistics costs, which partially eroded realized savings in
marketing and procurement activities. In addition,
separation-related expenses of about EUR200 million (EUR274 million
reported in the income statement and partly payable in 2021) hit
reported FOCF. These expenses reflected the final set-up of the
business management information-technology (IT) infrastructure
(Enterprise Resource Planning [ERP]) and related processes in
Europe and North America as part of the separation from Unilever
completed in June 2020. Moreover, the company's working capital
outflow of about EUR200 million contributed to negative FOCF of
about EUR345 million in 2020. Given the company completely exited
the Transitional Service Agreements (TSA) with Unilever, S&P
expects working capital will normalize by the end of this year on
the back of the ongoing set up of payment terms with suppliers and
customers.

S&P said, "We expect the COVID-19 pandemic will continue to weigh
on Upfield's sales in the professional segment (food service) in
2021. The stringent COVID-19 lockdown measures implemented in many
countries in 2020 saw consumers stockpiling basic food ingredients
and eating at home. Given Upfield generates the bulk of sales in
the retail segment (92% of total sales in 2020), revenue benefited
from the increase in stay-at home consumption. However, growth was
constrained by challenges in managing the demand spike in some
countries. Also, COVID-19-related restrictions caused a 23.4%
revenue decline in Upfield's professional segment in 2020 (8% of
total sales in 2020), mainly driven by Europe and Indonesia. We
expect performance in the professional segment will remain subdued
in 2021 given restaurants, hotels, canteens are still subject to
tight restrictions. We anticipate some recovery starting from the
second half of 2021 as the vaccination campaign should lead to
eased restrictions." In addition, Upfield's relatively weak
performance in its European markets at the beginning of 2020
reflect operational issues related to the transition to its own ERP
system in Europe, causing delays in the collection and invoicing of
customer orders.

Increasing demand for alternatives to animal fats should support
Upfield's expansion in plant-based cheese and creams categories.
The acquisition of plant-based cheese company Arivia, completed at
the beginning of 2020, supported the group's reported 2.5% revenue
growth at constant currencies (before 2.6% adverse foreign
exchange). Arivia contributed with EUR100 million sales, an
increase of about 55% compared with 2019 when it posted EUR65
million of sales. S&P said, "We believe Arivia will benefit from
Upfield's global distribution network, enabling the company to
expand in new countries and distribution channels such as health
food stores, modern trade, and food service. We estimate Upfield's
reported revenue growth over 2021-2022 at 1.5%-3.0% per year. Our
assumptions take in consideration Upfield's relatively solid
innovation pipeline in fast growing categories such as plant-based
creams and plant-based butter."

S&P said, "We anticipate potential competitive pressure on the
company's core margarine business. Upfield is accelerating the
renovation of its core margarine segment, which accounted for 84%
of total sales at the end of 2020. It will be achieved through
improved taste, natural formulation, new product formats, and the
introduction of palm oil free alternatives. These initiatives
should translate into a gradual shift in consumer preference toward
margarine. However, according to Euromonitor, demand for margarine
in some Upfield's core mature markets such as the U.S. and U.K.
(respectively 21% and 14% of the company's sales in 2020) will
decline by low single digits over the next five years, while butter
sales are expected to increase by a compound annual growth rate of
about 5.0% over the same period by retail value. In addition, we
forecast ongoing competitive pressure in the margarine business in
some European countries from private label players and butter
producers. This is because Upfield will raise prices to pass some
of the raw material price increase on to customers.

"From 2021, we expect the company will generate positive FOCF,
supported by gradual adjusted EBITDA margin improvement.We
anticipate Upfield's S&P Global-Ratings adjusted margin will expand
to 22%-23% in 2021 from about 21% in 2020, excluding costs
associated with the separation. This is despite the observed
inflationary pressure, with key raw materials prices, including for
soybean, palm, and sunflower oils, almost double today compared
with May 2020. In our view, the company's hedging policy (covering
more than 90% of the raw material), as well as price increases
should compensate the hikes in raw material prices. In addition, we
believe Upfield should be able to generate the remaining EUR70
million-EUR80 million value-creation savings in line with
management estimates. Savings should come from cost reduction from
factory closings in Netherlands, product reengineering, SKU (stock
keeping unit) rationalization, and additional logistic savings from
an optimized manufacturing footprint. We estimated Upfield's FOCF
will turn positive in 2021, reaching EUR150 million-EUR160 million,
which is below our previous expectation of over EUR200 million. Our
estimates include EUR110 million-EUR115 million separation-related
expenses in 2021, of which EUR70 million-EUR75 million was incurred
in 2020, with cash impact expected in 2021. Our annual FOCF
forecast is supported by improved working capital management
following Upfield's exit from its TSAs with Unilever.

"The company's highly leveraged capital structure leaves limited
headroom for debt-financed acquisitions. In our view, Upfield's
relatively high adjusted leverage at the end of 2020 of about
10.5x, and lower than expected FOCF generation will slow the
company's deleveraging. We expect S&P Global Ratings-adjusted debt
to EBITDA will slightly reduce in 2021 to 9.0x-9.5x, and approach
8.0x by 2022 as the EBITDA margin approaches 25% on the back of the
phasing out of restructuring costs in 2022. In our base case, we
only include a EUR100 million revolving credit facility (RCF)
repayment that occurred in first-quarter 2021, while further RCF
repayments (currently drawn for EUR566 million) could slightly
accelerate deleveraging. Under this scenario, this would mean the
company is prioritizing debt reduction over discretionary spending.
While acquisitions are not included in our base case, Upfield could
explore potential bolt-on acquisitions in adjacent plant-based
categories to support the company's long-term growth.

"The stable outlook reflects our view that Upfield will reduce
leverage close to 8.0x by 2022 from 9.0x-9.5x expected at the end
of 2021. This reflects full realization of value-creation savings
and the ability to offset the increase in raw material prices
without material pressures on volume demand, supported by
successful product innovations. At the same time, we expect
normalization of working capital from 2021 and a significant
reduction of exceptional costs over 2021-2022, supporting annual
positive FOCF above EUR150 million.

"We could lower the rating if we observe Upfield is unable to
generate recurring positive FOCF. This could result from, for
example, profitability erosion from raw material price headwinds,
or a significantly higher-than-expected cash out for separation
costs and manufacturing optimization. Under this scenario, we would
likely observe a slower deleveraging trend, with leverage remaining
at or above 9.0x for longer than expected and EBITDA interest
coverage below 2.0x. Additional rating pressure could arise in the
case of liquidity pressure and if the company embarks on large
debt-funded acquisitions.

"We could raise the rating on Upfield if leverage reduces
sustainably close or below 7.5x. This could happen if Upfield
successfully withstands the inflationary environment, reporting
profitable topline growth, and if we observe a significant
reduction in one-off costs. Under this scenario, we would see the
company generating annual FOCF in excess of EUR200 million, used to
prioritize debt repayment."




===============
P O R T U G A L
===============

ENERGIAS DE PORTUGAL: Moody's Affirms Ba2 Debt Rating, Outlook Pos.
-------------------------------------------------------------------
Moody's Investors Service has changed the outlook on EDP - Energias
de Portugal, S.A. and its finance subsidiary EDP Finance B.V. to
positive from stable. Concurrently, Moody's has affirmed the Baa3
senior unsecured ratings, the (P)Baa3 senior unsecured MTN program
rating, the Ba2 junior subordinate debt ratings and the Prime-3
commercial paper rating of EDP. Moody's has also affirmed the Baa3
senior unsecured ratings, the (P)Baa3 senior unsecured MTN program
rating and the Prime-3 commercial paper rating of EDP Finance
B.V..

RATINGS RATIONALE

The rating action reflects the recent deleveraging achieved by EDP
and Moody's expectation that credit metrics could strengthen
further as the company executes its updated strategy.

EDP's ratio of funds from operations (FFO) to net debt rose to
close to 17% in 2020 from around 15% in the prior year, reflecting
the company's resilience in the context of the pandemic, the EUR1
billion rights issue in August 2020 to partially finance the Viesgo
acquisition, as well as the sale of a portfolio of hydro plants in
Portugal for EUR2.2 billion at year-end 2020. Under its new
strategy announced in February 2021, EDP targets to further improve
its financial profile whilst investing at the same time EUR24
billion over 2021-25, of which 80% will be dedicated to
renewables[1].

The change in outlook to positive takes account of the
front-loading of several creditor-friendly measures to finance this
capex programme, including (1) a EUR750 million hybrid issuance in
January 2021; (2) a EUR1.5 billion capital increase by its
renewables subsidiary EDP Renováveis S.A., completed in April
2021[2]; and (3) the recent announcement of a 405 megawatts asset
rotation deal for an enterprise value (100%) of USD0.7 billion.
Moody's also notes positively that EDP's management has committed
to take steps to reinforce its balance sheet, if needed, to
maintain a sustainable leverage.

The outlook change further factors in the progress realised by EDP
in (1) improving its business risk profile, as a result of
continuing investments in renewables and in networks and a
reduction of its exposure to merchant activities, including through
the disposal of thermal plants and supply activities in Spain as
well as the Viesgo acquisition in 2020; and (2) reducing exposure
to Portugal following the sale of the hydro plants, which also
helped reduce merchant exposure. Accordingly, Moody's has revised
downwards its ratio guidance for an upgrade.

The rating affirmation reflects that EDP's Baa3 rating continues to
be supported by (1) the company's diversified business and
geographical mix, including a strong footprint in North America
(20% of EBITDA in 2020); (2) stable earnings stemming from
contracted generation and regulated networks, which account for
over 75% of group EBITDA; (3) the low carbon intensity of its power
generation fleet and the strategy to exit coal-fired power
generation by 2025, which positions it well in the context of the
energy transition; and (4) the group's track record of rotating
assets to alleviate financing needs.

These factors are balanced against (1) the residual exposure to
volatile power prices of EDP's merchant generation and supply
activities; (2) the earnings volatility stemming from variations in
hydro output in Iberia and, to a lesser extent, wind resource
globally; (3) the execution risks associated with a significant
investment programme; (4) the remaining exposure to Portugal and
the challenging macro-economic environment in Brazil; (5) EDP's
relatively high dividend payout, which constrains financial
flexibility; and (6) the minority holdings in the group, which add
to complexity.

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

The ratings could be upgraded if EDP's progress on the delivery of
its strategy were to result in a sustained strengthening of its
financial profile, with FFO/net debt in the high teens and retained
cash flow (RCF) to net debt trending towards the low teens (both in
percentage terms). Conversely, the outlook could be stabilised if
credit metrics appear likely to remain persistently below the
guidance for the higher rating.

Given the positive outlook, downward pressure on the ratings is
unlikely. Nevertheless, the ratings could be downgraded if EDP's
credit metrics fell below the guidance for the Baa3 rating, which
includes FFO/net debt in the mid-teens and RCF/net debt in the low
double digits (both in percentage terms).

The principal methodology used in these ratings was Unregulated
Utilities and Unregulated Power Companies published in May 2017.

LIST OF AFFECTED RATINGS

Affirmations:

Issuer: EDP - Energias de Portugal, S.A.

LT Issuer Rating, Affirmed Baa3

Junior Subordinated Regular Bond/Debenture, Affirmed Ba2

Commercial Paper, Affirmed P-3

Backed Senior Unsecured Medium-Term Note Program, Affirmed
(P)Baa3

Senior Unsecured Regular Bond/Debenture, Affirmed Baa3

Issuer: EDP Finance B.V.

Backed Commercial Paper, Affirmed P-3

Backed Senior Unsecured Medium-Term Note Program, Affirmed
(P)Baa3

Backed Senior Unsecured Regular Bond/Debenture, Affirmed Baa3

Outlook Actions:

Issuer: EDP - Energias de Portugal, S.A.

Outlook, Changed To Positive From Stable

Issuer: EDP Finance B.V.

Outlook, Changed To Positive From Stable

EDP - Energias de Portugal, S.A., headquartered in Lisbon,
Portugal, is a vertically integrated utility company. It generated
EUR3.95 billion of EBITDA in 2020.

GROUNDFORCE PORTUGAL: Parent Files Application for Liquidation
--------------------------------------------------------------
Ch-Aviation reports that TAP Air Portugal (TP, Lisbon) has filed an
application in the Commercial Courts of Lisbon for the liquidation
of its groundhandling company, Servicos Portugueses de Handling,
S.A. (SPdH), also known by its trademark Groundforce Portugal.

The airline is a creditor of Groundforce, which to date has
provided ground-handling services to TAP at Lisbon, Porto, Faro,
Funchal, and Porto Santo, Ch-Aviation notes.

At the end of April, Groundforce's board of directors approved the
cancellation of its groundhandling contract with TAP, alleging that
the contract, as it was structured, had been unviable, Ch-Aviation
relates.

Groundforce is owned 50.1% by private entity firm Pasogal and 49.9%
by the TAP Group, which, in 2020, became 72.5% owned by the
Portuguese state, Ch-Aviation discloses.  The TAP Group share is
divided between subsidiaries Transportes Aereos Portugueses SGPS SA
(43.9%) and Portugalia Airlines (NI, Lisbon) (6%).

According to Ch-Aviation, TAP, in a statement, said the application
has been made in the light of Groundforce's worsening financial
situation; there being no apparent credible solutions for it to
obtain financing following the refusal by the state-owned Caixa
Geral de Depositos and Banco Portugues de Fomento to provide
financing and guarantees; and the fact that its majority
shareholder had failed to restore the confidence of creditors.

TAP, as cited by Ch-Aviation, said it believed the insolvency
filing was the solution that best protected the majority of the
company's stakeholders, with the objective that, if Groundforce was
declared insolvent, its creditors (including its employees) would
be given a voice and primacy regarding the following critical
options:

   -- to evaluate the possibility of the continuity of Grounforce
and to decide on the approval of a recovery plan; or

   -- if this option was not viable, that the liquidation of
Groundforce was carried out in an orderly manner and to the optimum
satisfaction of each of its creditors.

The filing of the insolvency application would be followed by a
judicial review of TAP's application and of any opposition that may
be filed by Groundforce, which may culminate in a ruling of
declaration of insolvency or a ruling rejecting TAP's filing,
according to Ch-Aviation.

The company pointed out that the mere filing for a declaration of
insolvency did not have the legal effect of paralysing
Groundforce's operations and the services it provides, Ch-Aviation
notes.




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

RICS LLC: Bank of Russia Provides Update on Administration
----------------------------------------------------------
The provisional administration of LLC RICS (thereafter, the
Company) has established facts suggesting that the Company's former
management and officials performed offence aimed at siphoning off
corporate assets, according to the Bank of Russia.

As the Bank of Russia reasonably presumes that the Company's
officials were engaged in financial operations suggestive of
criminal offence, the Bank of Russia submitted relevant information
to the Prosecutor General's Office of the Russian Federation and
the Investigative Committee of the Ministry of Internal Affairs of
the Russian Federation for consideration and procedural
decision-making.

According to Bank of Russia Orders No. OD-2174 and No. OD-2175,
dated December 25, 2020, an insurance license was revoked from LLC
RICS and a temporary administration was appointed.


TEXBANK JSC: Bank of Russia Cancels Banking License
---------------------------------------------------
The Bank of Russia, by virtue of its Order No. OD-883, dated May
14, 2021, cancelled the banking license of Cherkessk-based
Joint-stock Company Texbank, or JSC Texbank (Registration No.
2756). The credit institution ranked 320th by assets in the Russian
banking system.

The license of JSC Texbank was cancelled following the request that
the credit institution submitted to the Bank of Russia after the
decision of the general shareholders' meeting on its voluntary
liquidation (in accordance with Article 61 of the Civil Code of the
Russian Federation).

Based on the reporting data provided to the Bank of Russia, the
credit institution has sufficient assets to satisfy creditors'
claims.

A liquidator will be appointed to JSC Texbank.

JSC Texbank is a member of the deposit insurance system.




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

AZUL MASTER CREDIT: Fitch Affirms BB+ Rating on Class C Tranche
---------------------------------------------------------------
Fitch Ratings has affirmed four tranches of WiZink Master Credit
Cards (WiZink MCC) and two tranches of aZul Master Credit Cards
(aZul MCC).

           DEBT                     RATING          PRIOR
           ----                     ------          -----
Wizink Master Credit Cards, FT

Class A2018-01 ES0305279061   LT  A+sf   Affirmed   A+sf
Class A2019-01 ES0305279087   LT  A+sf   Affirmed   A+sf
Class A2019-02 ES0305279103   LT  A+sf   Affirmed   A+sf
Class A2019-03 ES0305279129   LT  A+sf   Affirmed   A+sf

aZul Master Credit Cards DAC

Class A 2020-1 XS2208978341   LT  Asf    Affirmed   Asf
Class C 2020-1 XS2208978770   LT  BB+sf  Affirmed   BB+sf

TRANSACTION SUMMARY

WiZink MCC and aZul MCC are credit card receivables securitisation
programmes. WiZink MCC has four series of notes outstanding for a
combined balance of EUR1.030 million and aZul MCC has one series of
notes outstanding for a combined balance of EUR273.5 million (aZul
MCC) as of the latest reporting date. The notes are collateralised
by a pool of receivables originated by WiZink Bank S.A. (not
rated). For aZul MCC, the portfolio is also collateralised by a
pool of receivables originated by Barclaycard, and purchased by
WiZink Bank in 2016. All receivables consist of drawings by Spanish
individuals under revolving credit agreements mainly associated
with credit cards.

KEY RATING DRIVERS

Assets Subject to Usury Claims: The Spanish Supreme Court concluded
on 4 March that the 26.8% annual rate charged by WiZink on a
specific credit card contract was usurious according to the Spanish
Usury Law of 1908, as it was materially above the market average
rate of around 20%. This contract was therefore considered invalid,
resulting in the customer only being obliged to pay Wizink the
drawn principal amount, while the bank must reimburse all interest
and fees paid by the customer from the contract start date.

The affirmations reflect Fitch's view that claims received up to
December 2020 are within Fitch's expectations used as a base for
its usury claims set-off sensitivity analysis.

Potential Set-off Risk to the Trust: Fitch does not maintain a
credit view on Wizink that allows it to derive any benefit from the
bank's commitment to repurchase ineligible loans at higher rating
levels, which may directly expose the trust to borrower claims and
ensuing setoff risk. Given the high degree of uncertainty
surrounding the amount of set-off risk that could materialise,
Fitch has applied a rating cap at the 'A' category. This cap has
also been reflected with a Governance Score of 5 for " Rule of Law,
Institutional and Regulatory Quality " under ESG considerations.

Fitch has maintained its scenario analysis to assess the potential
effect of set-off risk on the ratings against the available credit
enhancement (CE).

Fitch expects WiZink to continue repurchasing assets with claims
from the fund, as per the documentation. Following the ruling by
the Supreme Court, WiZink increased the level of provisions related
to usury cases to around EUR210 million. The number of claims
gradually increased during 2020, with 7,800 claims received in
2H20. Fitch expected this as the initial number of claims remained
low during 1H20, driven by the lockdown. Fitch will continue to
monitor the amount of claims as part of its surveillance of the
transactions.

Asset Assumptions Maintained: Fitch has maintained its charge-off
assumption of 8.0% with a 3.83x multiple at 'A+' for WiZink MCC.
For aZul MCC it has maintained its steady state of 13% (2.63x
multiple at 'A') for the Barclaycard-originated portfolio (62% of
outstanding balance at closing), and 8.0% (3.5x multiple at 'A')
for the WiZink-originated portfolio (remainder of portfolio). Fitch
has also maintained its monthly payment rate (MPR) assumptions for
WiZink MCC and for the aZul MCC Wizink originated portfolio, with a
steady state of 14% (52% haircut at 'A+' and 50% at 'A'). For the
Barclaycard-originated portfolio, Fitch has maintained an MPR
steady state assumption of 8% with a 'A' haircut of 40%.

Fitch has maintained its yield assumptions for both programmes at
18%, with a 'A'+' haircut of 29.2% and 27.5% at 'A'. For the
purchase rate, Fitch's assumption are unchanged at 90% with a 'A+'
haircut of 77.7% and a 'A' haircut of 75.0%.

Payment Interruption Risk Mitigated: Payment interruption risk is
mitigated for the class A notes in both programmes due to the
dedicated reserves to cover senior fees and class A interest. Fitch
expects WiZink to continue performing its functions as the seller
and servicer of the trust in its base scenario. In addition,
transaction documents provide well-defined collections and borrower
notification processes, and the management company operates as a
back-up servicer facilitator under a scenario of servicer
disruption risk, which should find a replacement within 60 calendar
days upon a servicer termination event.

Interruption Risk for aZul MCC Class C: aZul MCC's class C payment
interruption risk is mitigated only up to 'BB+sf' due to the lack
of access to liquidity to cover for interruption periods. Payment
interruption risk is mitigated by daily sweeps from collection
account banks and high excess spread from the assets. Both classes
are protected from potential commingling losses due to a funded
commingling reserve.

WiZink MCC Trust, FT: Rule of Law, Institutional and Regulatory
Quality: 5. Due to potential set-off risk arising from an increase
in Usury Law related claims, which has a negative impact on the
credit profile, and is highly relevant to the rating, resulting in
a change to the rating of two notches.

aZul MCC DAC: Rule of Law, Institutional and Regulatory Quality: 5.
Due to potential set-off risk arising from an increase in Usury Law
related claims, which has a negative impact on the credit profile,
and is highly relevant to the rating, resulting in a change to the
rating of two notches.

RATING SENSITIVITIES

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

-- The class A notes' rating is capped at the 'Asf' category due
    to the uncertainty around the exposure of set-off risk that
    could materialise as a result of the usury claims. Fitch has
    considered scenario analysis for claims set-off risk,
    including variations in the total number of claims WiZink
    receives (applied pro rata into the fund) and their timing. In
    key rating scenarios, the assumed set-off loss is 10%-15% of
    the initial portfolio balance before class A fully amortises.

-- In the long term, the ratings could be upgraded by one to two
    notches if Fitch sees the evolution of claims remaining well
    below expectations for a sustained period, provided there is
    additional certainty that future claims will remain manageable
    for the bank, all else being equal.

For aZul MCC, the class A notes are rated 'Asf' (lower than the
'A+sf' rating allowed by the 'Asf' category cap) due to available
CE being insufficient to cover for losses (including usury-related
set-off losses) in key set-off rating scenarios. Long-term asset
performance improvement, such as reduced charge-offs, increased MPR
or increased portfolio yield, which could be driven by changes in
portfolio characteristics, macroeconomic conditions, business
practices, credit policy or legislative landscape, would contribute
to positive revisions of Fitch's asset assumptions that could
positively affect the class A notes' ratings. In addition to the
set-off risk analysis, the class C notes are capped at 'BB+sf' due
to payment interruption risk, which is mitigated only up to 'BB+sf'
due to the lack of access to liquidity to cover for interruption
periods.

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

-- The ratings could be downgraded if claims received by WiZink
    are higher than Fitch's current expectations or if the
    performance of the receivables deteriorates more than Fitch's
    expectations considering the macroeconomic environment.

-- 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 lead to negative
    rating action.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

aZul Master Credit Cards DAC, Wizink Master Credit Cards, FT

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action

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.

Prior to the transaction closing, Fitch conducted a review of 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 any assumptions referred to above,
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.

ESG CONSIDERATIONS

Wizink Master Credit Cards, FT has an ESG Relevance Score of '5'
for Rule of Law, Institutional and Regulatory Quality due to
{DESCRIPTION OF ISSUE/RATIONALE}, which has a negative impact on
the credit profile, and is highly relevant to the rating, resulting
in {an implicitly lower/higher rating or outlook/watch or cite
specific change(s) to the rating/outlook/watch: stable from
positive, stable from negative, one notch downgrade, etc.}.

aZul Master Credit Cards DAC has an ESG Relevance Score of '5' for
Rule of Law, Institutional and Regulatory Quality due to
{DESCRIPTION OF ISSUE/RATIONALE}, which has a negative impact on
the credit profile, and is highly relevant to the rating, resulting
in {an implicitly lower/higher rating or outlook/watch or cite
specific change(s) to the rating/outlook/watch: stable from
positive, stable from negative, one notch downgrade, etc.}.

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.

FTA UCI 14: S&P Lowers Class B Notes Rating to 'BB (sf)'
--------------------------------------------------------
S&P Global Ratings raised to 'AA (sf)' from 'A (sf)' its credit
rating on Fondo de Titulizacion de Activos UCI 14's class A notes.
At the same time, S&P lowered to 'BB (sf)' from 'BBB- (sf)' its
rating on the class B notes and affirmed its 'B- (sf)' rating on
the class C notes.

The rating actions follow the implementation of our revised
criteria and assumptions for assessing pools of Spanish residential
loans. They also reflect our full analysis of the most recent
information that we have received and the transaction's current
structural features.

S&P said, "Upon expanding our global RMBS criteria to include
Spanish transactions, we placed our ratings on the class A, B, and
C notes under criteria observation. Following our review of the
transaction's performance and the application of our updated
criteria for rating Spanish RMBS transactions, the ratings are no
longer under criteria observation.

"In this transaction, almost 50% of the portfolio has been
restructured at least once since origination. Out of this share,
19.5% is currently under restructuring arrangements, while 14.0% of
those arrangements have already been extended for more than seven
years. These borrowers are paying a lower amount compared with
their original schedule. Therefore, we have increased our
reperforming adjustment to 5x from 2.5x because we consider that
these loans introduce higher risk in the transaction, and these
restructures do not appear to be successful, are not a permanent
solution, and they have been extended multiple times.

"Our weighted-average foreclosure frequency (WAFF) assumptions have
increased due to the higher originator adjustment, which we have
recalibrated in accordance with our current criteria, and the
consideration of restructured loans in the pool. This has offset
the benefit from the calculation of the effective loan-to-value
(LTV) ratio, which is based on 80% original LTV (OLTV) ratio and
20% current LTV (CLTV) ratio. Under our previous criteria, we used
only the OLTV ratio.

"In addition, our weighted-average loss severity (WALS) assumptions
have decreased, due to the lower CLTV and lower market value
declines. However, this is partially offset by the increase in our
foreclosure cost assumptions. Additionally, based on actual data
received from comparable asset sales, we have seen a risk that
property prices were overvalued at origination. Therefore, we have
introduced a 10% haircut on valuations."

  Table 1

  Credit Analysis Results

  RATING      WAFF (%)     WALS (%)    CREDIT COVERAGE (%)
  AAA         54.70        19.47       10.65
  AA          45.63        16.26        7.42
  A           40.12        10.82        4.34
  BBB         35.01         8.34        2.92
  BB          27.47         6.77        1.86
  B           20.75         5.46        1.13

  WAFF--Weighted-average foreclosure frequency.
  WALS--Weighted-average loss severity.

UCI 14's class A, B, and C notes' credit enhancement has increased
to 26.1%, 15.1%, and 2.63%, respectively, from 22.1%, 12.7%, and
2.2% as of our previous review, due to the notes' amortization,
which is sequential following the arrears trigger breach. In this
transaction, the reserve has been fully funded from 2012 onward.
Given that the three-month Euro Interbank Offered Rate (EURIBOR) is
currently negative and considering the margin on the notes, no
interest is due on the class A and B notes. Therefore, collections
are currently used to pay principal on the class A notes and only
interest on the class C notes.

Loan-level arrears above 90 days increased to 3.7%, compared with
2.7% as of the previous review. Overall delinquencies are below
S&P's Spanish RMBS index.

S&P said, "Our analysis also considers the transaction's
sensitivity to the potential repercussions of the coronavirus
outbreak. Of the pool, about 5.6% of loans are on payment holidays
under the Spanish sectorial moratorium schemes, and the proportion
of loans with either legal or sectorial payment holidays has
remained higher than the market average, which is below 5%. The
latest government approved payment holiday scheme was available
until March 31, 2021, where the payment holidays could last up to
nine months. In our analysis, we considered the risk the payment
holidays could present should they become arrears or defaults in
the future.

"Our operational, rating above the sovereign, counterparty, and
legal risk analyses remain unchanged since our last review.
Therefore, the ratings assigned are not capped by any of these
criteria. The replacement framework for the collection account does
not satisfy our counterparty criteria. Therefore, we stressed one
month of commingling risk as a loss.

"We have raised to 'AA (sf)' from 'A (sf)' our rating on the class
A notes. The class A notes could withstand our cash flow stresses
at higher ratings than the revised rating. However, our revised
rating considers the uncertain macroeconomic environment, the
historical performance of the transaction, the amount of
restructured loans in the portfolio, and the risk that payment
holidays could become arrears in the future.

"We have lowered to 'BB (sf)' from 'BBB- (sf)' our rating on the
class B notes in line with our cash flow results. Given the
increased default assumptions from our credit analysis, the
triggers in this transaction are breached earlier in our cash flow
model. Therefore, there is less protection for this class of
notes.

"Although credit enhancement has increased for the class C notes,
this class is still failing our cash flow 'B' stresses. However,
considering the available credit enhancement, in a steady state
scenario the issuer would be able to fulfill its payment
obligations under the notes. As such, we believe that the payment
of ultimate interest and principal on the class C notes is not
dependent upon favorable business, financial, and economic
conditions. Therefore, we have affirmed our 'B- (sf)' rating on the
class C notes."

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."


FTA UCI 15: S&P Lowers Class B Notes Rating to 'BB (sf)'
--------------------------------------------------------
S&P Global Ratings raised to 'AA (sf)' from 'A+ (sf)' its credit
rating on Fondo de Titulizacion de Activos UCI 15's class A notes.
At the same time, S&P lowered to 'BB (sf)' from 'BBB (sf)' its
rating on the class B notes and affirmed its 'B- (sf)' rating on
the class C notes.

S&P said, "The rating actions follow the implementation of our
revised criteria and assumptions for assessing pools of Spanish
residential loans. They also reflect our full analysis of the most
recent information that we have received and the transaction's
current structural features.

"Upon expanding our global RMBS criteria to include Spanish
transactions, we placed our ratings on the class A, B, and C notes
under criteria observation. Following our review of the
transaction's performance and the application of our updated
criteria for rating Spanish RMBS transactions, the ratings are no
longer under criteria observation."

In this transaction, almost 50% of the portfolio has been
restructured at least once since origination. Out of this share,
20.5% is currently under restructuring arrangements, while 16.0% of
those arrangements have already been extended for more than seven
years. These borrowers are paying a lower amount compared with
their original schedule. Therefore, S&P has increased its
reperforming adjustment to 5x from 2.5x because it considers that
these loans introduce higher risk in the transaction, and these
restructures do not appear to be successful, are not a permanent
solution, and they have been extended multiple times.

S&P said, "Our weighted-average foreclosure frequency (WAFF)
assumptions have increased due to the higher originator adjustment,
which we have recalibrated in accordance with our current criteria,
and the consideration of restructured loans in the pool. This has
offset the benefit from the calculation of the effective
loan-to-value (LTV) ratio, which is based on 80% original LTV
(OLTV) ratio and 20% current LTV (CLTV) ratio. Under our previous
criteria, we used only the OLTV ratio.

"In addition, our weighted-average loss severity (WALS) assumptions
have decreased, due to the lower CLTV and lower market value
declines. However, this is partially offset by the increase in our
foreclosure cost assumptions. Additionally, based on actual data
received from comparable asset sales, we have seen a risk that
property prices were overvalued at origination. Therefore, we have
introduced a 10% haircut on valuations."

  Table 1

  Credit Analysis Results

  RATING      WAFF (%)      WALS (%)     CREDIT COVERAGE (%)
  AAA          54.15         25.16        13.62
  AA           45.14         21.86         9.87
  A            39.05         16.06         6.27
  BBB          33.36         13.17         4.40
  BB           25.69         11.28         2.90
  B            18.64          9.64         1.80

  WAFF--Weighted-average foreclosure frequency.
  WALS--Weighted-average loss severity.

UCI 15's class A and B notes' credit enhancement has increased to
26.2% from 23.4% and to 17.8%, from 160%, respectively. The
increase in credit enhancement is due to the notes' amortization,
which is sequential following the arrears trigger breach. However,
as the reserve has not reached its floor, the class C notes' credit
enhancement remained stable at 3.3%. In this transaction, the
reserve has been fully funded from 2012 onward. Given that the
three-month Euro Interbank Offered Rate (EURIBOR) is currently
negative and considering the margin on the notes, no interest is
due on the class A and B notes. Therefore, collections are
currently used to pay principal on the class A notes and only
interest on the class C notes.

Loan-level arrears above 90 days increased to 3.2%, compared with
2.0% as of the previous review, in line with the investor report.
Overall delinquencies are below S&P's Spanish RMBS index.

S&P said, "Our analysis also considers the transaction's
sensitivity to the potential repercussions of the coronavirus
outbreak. Of the pool, about 7.6% of loans are on payment holidays
under the Spanish sectorial moratorium schemes, and the proportion
of loans with either legal or sectorial payment holidays has
remained higher than the market average, which is below 5%. The
latest government approved payment holiday scheme was available
until March 31, 2021, where the payment holidays could last up to
nine months. In our analysis, we considered the risk the payment
holidays could present should they become arrears or defaults in
the future.

"Our operational, rating above the sovereign, counterparty, and
legal risk analyses remain unchanged since our last review.
Therefore, the ratings assigned are not capped by any of these
criteria. The replacement framework for the collection account does
not satisfy our counterparty criteria. Therefore, we stressed one
month of commingling risk as a loss.

"We have raised to 'AA (sf)' from 'A+ (sf)' our rating on the class
A notes. The class A notes could withstand our cash flow stresses
at higher ratings than the revised rating. However, our revised
rating considers the uncertain macroeconomic environment, the
historical performance of the transaction, the amount of
restructured loans in the portfolio, and the risk that payment
holidays could become arrears in the future.

"We have lowered to 'BB (sf)' from 'BBB (sf)' our rating on the
class B notes in line with our cash flow results. Given the
increased results from our credit analysis, the triggers in this
transaction are breached earlier in our cash flow model. Therefore,
there is less protection for this class of notes. The class B notes
could withstand our cash flow stresses at higher ratings than the
revised rating. However, as for the class A notes, we have
considered several factors in our revised rating.

"The class C notes are still failing our cash flow 'B' stresses.
However, considering the available credit enhancement, in a steady
state scenario the issuer would be able to fulfill its payment
obligations under this class. As such, we believe that the payment
of ultimate interest and principal on the class C notes is not
dependent upon favorable business, financial, and economic
conditions. Therefore, we have affirmed our 'B- (sf)' rating on the
class C notes."

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."




=====================
S W I T Z E R L A N D
=====================

ORIFLAME INVESTMENT: Fitch Puts Final BB- Rating to Sr. Sec. Notes
------------------------------------------------------------------
Fitch Ratings has assigned Oriflame Investment Holding Plc's
(Oriflame) senior secured notes a final 'BB-' rating with a
Recovery Rating of 'RR3'. The issue is split into EUR250 million
floating-rate notes (no floor Euribor+ 4.25%) and USD550 million
fixed-rate notes (5.125%). The new notes are due in May 2026.

The assignment of the final rating follows the completion of the
notes issue and receipt of documents conforming to the information
previously received. The rating is the same as the expected rating
assigned on 19 April 2021.

Notes proceeds and cash on balance sheet have been used for the
redemption in full of Oriflame's EUR475 million 6.75% senior
secured notes and its USD335 million 9.125% senior secured notes,
both due 2024.

Oriflame's 'B+' Issuer Default Rating (IDR) reflects its exposure
to foreign-exchange (FX) risks and emerging markets, which
increases the volatility of revenue and profits. Positively it
reflects Fitch's expectation of further deleveraging towards the
company's target of below 2.5x, which is fully aligned with a 'B+'
rating. The IDR also reflects Oriflame's strong market position in
direct-selling beauty and diversified operations.

The ratings of Oriflame's EUR475 million 6.75% senior secured notes
and USD335 million 9.125% senior secured notes have been withdrawn
as these instruments were repaid in full.

KEY RATING DRIVERS

Resilience to the Pandemic: Oriflame's performance in 2020 was more
resilient to the pandemic than Fitch had expected in April 2020,
when Fitch downgraded the IDR to 'B' from B+'. Its local currency
revenue fell only 2%, aided by the digitalisation of its business
model and ability of members to market Oriflame's products without
in-person meetings with consumers. EBITDA substantially exceeded
Fitch's expectation and grew versus 2019 levels, despite reduced
sales and higher staff bonuses. This was achieved via cost
controls, lower travel expenses and cancellation of events for
brand partners.

Exposure to FX, Emerging Markets: Oriflame operates in more than 60
countries - predominantly emerging markets - across Europe, Asia
and Latin America. This exposes the company to inherent volatility
of developing economies and FX risks as the cost of its products is
linked to hard currencies and its debt is effectively
euro-denominated. These risks materialised in 2020, and drove a 6%
reduction in the company's revenue.

Fitch's rating case assumes that the depreciation of
emerging-market currencies relative to the euro will have a low
single-digit impact on Oriflame's revenue in 2021. This considers
its geographical diversification, which insulates the company from
the adverse impact of significant depreciation of a single
currency. Given limited visibility over FX rates for a longer
period of time, 2021-2022 projections have a greater weight than
2023-2024 in Fitch's analysis.

Challenges in Asia: Asia is a big and promising market for Oriflame
(27% of total sales), especially in light of its strategy to grow
wellness and skincare products. However, performance in this region
was under pressure in 2019-2020 with local-currency sales falling
14% and the number of members declining 6% in 2020. Fitch's rating
case assumes sales will start growing from 2021 due to Oriflame's
new reward programme and planned product launches.

Leverage Reduction: Oriflame's funds from operations (FFO) net
leverage fell to 4.7x in 2020, corresponding to a
management-defined leverage of 2.8x. Leverage was just slightly
above Fitch's positive rating sensitivity of 4.5x and materially
better than Fitch's expectations. Fitch sees potential for further
deleveraging as sales volumes recover from the pandemic and EBITDA
normalises after unusually high staff bonuses in 2020. This is also
supported by Oriflame's public net leverage target of below 2.5x,
which corresponds to FFO net leverage of below 4.5x that is
commensurate with a 'B+' rating.

Dividend Flexibility: Oriflame announced dividends in 2021 for the
first time since being taken private in 2019. Although this creates
some pressure on net leverage metrics, Fitch believes that the 'B+'
rating has some room to accommodate these outflows. This is also
supported by Fitch's expectation that Oriflame will maintain its
prudent financial policy and flexibility in dividends if operating
performance is below expectations. Its capital structure has
historically included low debt levels as the company has abstained
from dividend payments during years of challenging market
conditions.

Strategic Shareholder: Fitch believes that the presence of a
strategic shareholder favourably differentiates Oriflame from other
high-yield debt issuers, via dividend flexibility and a focus on
deleveraging. Nevertheless, any shift in the company's financial
strategy to a more aggressive stance than anticipated would be
negative for Oriflame's ratings and may lead us to consider gross,
rather than net, leverage for rating sensitivities.

Expected Positive FCF Despite Dividends: Oriflame's credit profile
benefits from the company's ability to generate free cash flow
(FCF) due to an asset-light business model and, subsequently,
limited capex needs. Fitch expects positive FCF to be maintained,
despite dividend payments, as it will be supported by the confirmed
reduction in interest expenses following debt refinancing and
expected EBITDA improvement. However, FCF in 2021 will temporarily
be weakened by working-capital outflows, driven by inventory
build-up and staff bonuses accrued in 2020 but paid in 1Q21. Fitch
sees some upside to Fitch's working-capital expectations as
Oriflame intends to improve working-capital turnover (payables days
in particular).

Product Diversification: Oriflame benefits from diversification
across all major beauty product categories, including skincare (26%
of 2020 sales), colour cosmetics (16%), fragrances (20%) and
personal and hair care (17%). Sixteen percent of revenue comes from
sales of wellness products, which enjoy growing demand and higher
profitability than some beauty products as consumers become
increasingly health-conscious. In 2020, growth in this category was
constrained by supply challenges but these have largely been
resolved and Fitch expects product availability to improve in 2021.
Fitch expects Oriflame's strategy to increase sales of more
expensive and profitable skincare and wellness products to be the
major driver of growth in revenue and profit margins over the
medium term.

Medium-Sized Company in Competitive Market: Oriflame holds leading
market shares in the direct-sales beauty sector in its core
countries of operation. However, it is a medium-size company in the
global beauty industry and is vulnerable to competition from large
multinational companies, innovative direct sellers and niche firms
that have emerged due to low-cost marketing via social media. This
positions the company's business profile in the low 'BB' rating
category, based on Fitch's Ratings Navigator for consumer
companies.

DERIVATION SUMMARY

Fitch rates Oriflame according to its Ratings Navigator framework
for consumer companies. Oriflame's closest sector peer is Natura
Cosmeticos S.A. (BB/Positive) as it also operates in the
direct-selling beauty market. Natura has stronger business and
financial profiles than Oriflame, which is reflected in its higher
rating. As in Oriflame, Natura is geographically diversified with
exposure to emerging markets but benefits from greater diversity
across sales channels and a substantially larger scale in the
sector as, after the acquisition of Avon Products Inc.
(BB/Positive), Natura is fourth-largest pure-play beauty company
globally. Natura's downgrade in 2020 reflected challenges of
integrating Avon and from the pandemic in Brazil but recent equity
injection has significantly improved leverage metrics, resulting in
an upgrade back to 'BB'.

Oriflame is rated higher than colour cosmetics company Anastasia
Intermediate Holdings, LLC (CCC). Anastasia's rating reflects an
unsustainable capital structure due to deterioration in operating
results and cash flow generation, which cast doubt over the
long-term health of the brand and the ability of management to
successfully execute new product launches and control expenses.
Anastasia is smaller than Oriflame by sales and EBITDA and has
narrower diversification by product and geography.

Oriflame has the same rating as THG Holdings plc (B+/Positive),
which operates in the beauty and well-being consumer market. It is
smaller in scale than Oriflame, as it operates mostly in the UK and
Europe but is not exposed to FX risks, although THG's revenues are
growing rapidly, organically and through M&A. Unlike Oriflame's,
THG's strategy is based on bolt-on, increasingly equity-funded,
M&A. Fitch expects leverage to fall due to the group's commitment
to a conservative financial policy post-IPO. This is reflected in
the Positive Outlook on THG's rating.

No Country Ceiling, parent-subsidiary linkage or operating
environment aspects apply to Oriflame's ratings.

KEY ASSUMPTIONS

-- Low single-digit increase of revenue based on price-mix effect
    and volumes recovery over the next four years;

-- Adverse FX effect on revenue in low single digits in 2021;

-- EBITDA margin improving towards 16% by 2024 due to changes in
    product mix and optimised administrative costs;

-- EUR40 million one-off working capital outflow in 2021 with no
    additional adverse changes in working-capital turnover over
    2022-2024; payment of staff bonuses in 2021 assumed within
    working-capital outflows;

-- Capex not exceeding EUR12 million a year until 2024;

-- Dividend distribution around EUR60 million a year until 2024;

-- No M&A over the next four years.

RECOVERY RATING ASSUMPTIONS

The recovery analysis assumes that Oriflame would be considered a
going-concern (GC) in bankruptcy and that the company would be
reorganised rather than liquidated. Fitch has assumed a 10%
administrative claim.

Oriflame's GC EBITDA estimate reflects Fitch's view of a
sustainable, post-reorganisation EBITDA level upon which Fitch
bases the enterprise valuation (EV). The GC EBITDA is 15% below
2020 EBITDA to reflect the company's exposure to FX volatility and
emerging markets. An EV/EBITDA multiple of 4x is used to calculate
a post-reorganisation valuation and is around half of the
take-private transaction multiple of 7.2x.

Oriflame's super senior EUR100 million revolving credit facility
(RCF) is assumed to be fully drawn upon default and ranks senior to
the company's new senior secured notes of EUR709 million. The
waterfall analysis generated a ranked recovery for senior secured
notes in the 'RR3' band. Therefore, the notes are rated one notch
above Oriflame's IDR at 'BB-'. The waterfall generated recovery
computation (WGRC) output percentage is 52% based on current
metrics and assumptions.

RATING SENSITIVITIES

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

-- Local-currency revenue growth, driven by improvements in price
    mix or sales volume and successful engagement of new
    representatives, sufficiently offsetting FX challenges;

-- EBITDA margin above 15% due to favourable changes in product
    mix, cost efficiencies and ability to pass on cost increases
    to customers;

-- FCF margin above 5% on a sustained basis;

-- FFO net leverage below 4.0x on a sustained basis.

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

-- Sustained operating under-performance in key markets, driven
    by intensifying competitive pressure or inability to protect
    revenue and profit from adverse changes in FX;

-- Material reduction in number of active representatives not
    offset by improvements in productivity;

-- EBITDA margin below 12% on a sustained basis;

-- FCF margin below 2% on a sustained basis;

-- FFO net leverage above 5.0x on a sustained basis.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Comfortable Liquidity: Pro-forma for the refinancing,
Fitch-adjusted cash balances of EUR71 million (also excluding EUR70
million required for operating purposes as adjusted by Fitch) at
end-2020 and a EUR100 million undrawn RCF would be sufficient to
cover the expected small negative FCF in 2021 resulting from
outflows under working capital and dividends. Its future liquidity
profile is underpinned by Fitch's expectation of positive FCF from
2022, and lack of debt maturities under the completed refinanced
debt structure.

SUMMARY OF FINANCIAL ADJUSTMENTS

Fitch treats restructuring charges and purchase price allocation
items related to the take-private transaction as a one-off and
excluded them from EBITDA (EUR24 million) and operating cash flow
(EUR26 million).

Fitch reflects staff bonuses accrued in 2020 but paid in 2021
within inflows/ outflows under working capital rather than as other
items before FFO in the cash flow statement. This is because of
their exceptional nature. This treatment results in a neutral
effect on FFO net leverage.

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.



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

PRIVATBANK: Bank of England Approves Bail-in of US$595MM Loans
--------------------------------------------------------------
David Milliken and Natalia Zinets at Reuters report that the Bank
of England said on May 14 that it had approved the "bail-in" of
US$595 million of loans that a British-based financial company made
to the major Ukrainian lender PrivatBank before it was nationalized
in 2016.

The bank's nationalization has been subject to lengthy litigation
in Ukraine, and the International Monetary Fund last year made
successful resolution of the legal issues a condition for financial
aid, Reuters notes.

The loans to PrivatBank had been made by UK SPV Credit Finance plc,
which the BoE said did not perform banking activities or have
banking customers in Britain and instead had acted as a funding
conduit for PrivatBank, Reuters relates.

According to Reuters, under international rules, Ukraine's central
bank, the National Bank of Ukraine, had to ask the BoE for
recognition of the bail-in of the loans, which were made under
English law.

Under a bail-in, unsecured creditors have their loans written off
or converted into shares of the struggling bank according to terms
set by regulators where the bank operates, Reuters states.

"Whilst considering its decision, the Bank of England has kept
relevant stakeholders, including the NBU and representatives of
creditors, informed about the recognition process throughout,"
Reuters quotes the BoE as saying.

Ukraine's central bank welcomed the decision, Reuters relays.  It
said that the nationalization of PrivatBank had been carried out
within the framework of a reliable legal procedure that fully
complied with the legislation of Ukraine and international
standards, Reuters discloses.

Ukraine's central bank declared PrivatBank insolvent in 2016 and
wrote off the assets of its owners and related firms to cover the
lender's capital gap, Reuters recounts.  It said PrivatBank was
nationalized because shady lending practices had pushed it toward
insolvency, Reuters relates.

The Kyiv government invested over US$5.7 billion to rescue the
savings of about 20 million small depositors, Reuters states.

Former shareholders deny any wrongdoing and have fought in
different courts since 2016 to reverse the nationalization,
according to Reuters.




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

ATLANTICA SUSTAINABLE: Fitch Assigns BB+ Rating to USD400MM Notes
-----------------------------------------------------------------
Fitch Ratings has assigned a 'BB+'/'RR4' rating to Atlantica
Sustainable Infrastructure Plc's (Atlantica) USD400 million
issuance of green senior notes. The notes are unsecured and will
rank pari passu with Atlantica's other existing and future senior
unsecured debt.

Net proceeds from the issuance will be used to fully prepay
Atlantica's note issuance facility (2019), including principal of
$331.9 million and accrued and unpaid interest and prepayment costs
of $6.6 million, as well as to finance the acquisition of renewable
energy assets.

Atlantica's Long-Term Issuer Default Rating (IDR) is 'BB+' with a
Stable Rating Outlook.

KEY RATING DRIVERS

Holdco Leverage in Line with Ratings: Fitch expects the gross
holdco leverage to decline to the mid-3.0x range post 2021 and
remain below Fitch's 4.0x negative sensitivity trigger through the
forecast period. Atlantica exercised its option to buy the tax
equity investor's interest in the Solana solar project and has
already pre-financed planned investments for 2021, resulting in the
increased leverage. Holdco-only interest coverage is projected to
average about 7.8x over the forecast, which Fitch considers to be
strong for the rating.

Enhanced Flexibility to Grow Distributions: Recently announced
moderation in the midterm distribution growth rate supports the
conservative financing policy and provides additional flexibility
to manage growth. Atlantica continued to deliver on its annual $300
million equity investment target in 2020. Acquisitions in 2021 also
provide visibility to Atlantica's growth strategy. Refinancing and
new debt issuances at lower interest rates in 2020 are accretive to
cash available for distribution (CAFD). Other levers to drive
distribution growth include pricing indexation, built in
contractual agreements and additional project-level refinancings.

Ample access to the capital markets, including a sizable equity
issuance supported by Atlantica's sponsor Algonquin Power &
Utilities Corp. (APUC; BBB/Stable), enabled Atlantica to
pre-finance its capital needs for 2021. Corporate cash on hand and
expanded revolver capacity provide an additional cushion to finance
planned asset acquisitions in 2021 and beyond without need to
access capital markets.

Conservative Financial Policy: A majority of debt at Atlantica
consists of nonrecourse project debt held at ring-fenced project
subsidiaries. The distribution test in project finance agreements
is typically set at a debt service coverage ratio (DSCR) of
1.10x-1.25x. As of Dec. 31, 2020, all the projects were performing
in excess of their required DSCRs.

The project debt is typically long term and self-amortizing with a
term that is shorter than the duration of the contracts. More than
90% of the long-term interest exposure is either fixed or hedged,
mitigating any impact in a rising interest rate environment.
Approximately 90% of the CAFD is in U.S. dollars or euros, and
Atlantica typically hedges its euro exposure on a 24-month rolling
basis.

Stable Cash Flow and Asset Diversity: Atlantica's portfolio of
assets produces stable, predictable cash flows underpinned by
long-term contracts (weighted average contract life of 17 years
remaining as of Dec. 31, 2020). Most counterparties have strong
investment-grade ratings, although there are some concerns as
highlighted below. The contracts are typically fixed-price with
annual escalation mechanisms. Atlantica's portfolio does not bear
material resource availability risk or commodity risk, and it does
not depend on any single project for more than 15% of its project
distributions.

The forecast cash distributions to the holdco from the project
subsidiaries are largely derived from renewable assets (72%), with
the remainder split between natural gas plants and transmission
lines based on 2021-2025 projections, including announced
acquisitions. Geographically, the split is 41% from North America
(U.S. and Mexico), 36% from Europe (Spain), 14% from South America
and 9% from the rest of the world. Approximately 60% of project
distributions are generated from solar projects; solar resource
availability has typically been strong and predictable.

Recovery Ratings: Instrument ratings and recovery ratings (RRs) for
Atlantica's debt instruments are based on Fitch's newly introduced
notching grid for issuers with 'BB' category Long-Term IDRs. This
grid reflects average recovery characteristics of similar-ranking
instruments. Atlantica's senior secured debt is viewed as a
category 2 first lien because it is secured by the equity of
Atlantica's subsidiaries and receives a one-notch uplift from the
'BB+' Long-Term IDR. The senior unsecured debt is 'RR4'. 'RR2'
denotes superior recovery (71%-90%) and 'RR4' denotes average
recovery (31%-50%) in the event of default.

DERIVATION SUMMARY

Fitch views Atlantica's portfolio of assets as favorably positioned
due to the asset type compared with those of NextEra Energy
Partners, LP (NEP; BB+/Stable) and TerraForm Power Operating, LLC
(TERPO; BB-/Stable), owing to Atlantica's large concentration of
solar generation assets that exhibit less resource variability.
Innergex Renewable Energy Inc.'s (BBB-/Stable) portfolio of assets
is anchored by its low-cost hydroelectric and solar generation
assets. In comparison, NEP's portfolio consists of a large
proportion of wind projects, and TERPO's portfolio consists of 41%
solar and 59% wind projects.

Fitch views NEP and Innergex's geographic exposure in the U.S. and
Canada (100% of MW and 88% of MW, respectively) favorably as
compared with TERPO's (68%) and Atlantica's (30%). Both Atlantica
and TERPO have exposure to the Spanish regulatory framework for
renewable assets, but the current construct provides clarity of
return for the next six or 12 years. In terms of total MW,
approximately 33% of Atlantica's power generation portfolio is in
Spain, compared with 24% for TERPO. Atlantica's long-term
contracted fleet has a remaining contracted life of 17 years,
higher than Innergex and NEP's at about 15 years, and TERPO's at 12
years.

Atlantica's credit metrics are stronger than those of TERPO and
NEP. Fitch forecasts Atlantica's gross leverage ratio (holdco
debt/CAFD) to decline to the mid-3.0x range post 2021, compared
with high 3.0x for NEP and around 6.0x for TERPO. Atlantica's
credit metrics are modestly weaker compared with Innergex's
3.0x-3.6x projected FFO leverage through 2024. Atlantica's recently
reduced distribution per-unit target of 5%-8% is more conservative
than NEP's at 12%-15%, while still more aggressive than for
Innergex at 2%-3%. TERPO has been taken private and is no longer
subject to public growth targets.

Atlantica, TERPO and NEP have strong parent support. Fitch
considers NEP best positioned owing to NEP's association with
NextEra Energy, Inc. (A-/Stable), which is the largest renewable
developer in the world. TERPO benefits from having Brookfield Asset
Management as a 100% owner. APUC has 44.2% ownership interest in
Atlantica. Fitch rates Atlantica, NEP, Innergex and TERPO on a
deconsolidated approach, because their portfolio comprises assets
financed using nonrecourse project debt or with tax equity.

KEY ASSUMPTIONS

Fitch's key assumptions within its rating case for the issuer
include:

-- Acquisitions beyond 2021 generate 8%-9% CAFD yield.

-- Future acquisitions beyond 2021 financed using a combination
    of debt and equity.

-- All projects operating as expected and being able to make
    regular distribution to the holdco.

-- Dividend payout ratio of roughly 83%.

-- $1.5 billion investment over five years into already announced
    projects (Coso, Calgary District Heating, Chile PV2 and La
    Sierpe) and new projects.

-- Returns in Spain at 7.4% and 7.1%, depending on the project.

RATING SENSITIVITIES

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

-- Longer-term visibility on acquisitions and distribution per
    share growth.

-- Holding company leverage below 3.0x for several quarters and
    payout ratio at or below 80%.

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

-- Lower than expected performance at its largest assets and
    absence of mitigating measures to replace the lost CAFD.

-- Growth strategy underpinned by aggressive acquisitions or
    addition of assets in the portfolio that bear material
    volumetric, commodity, counterparty or interest rate risks.

-- Lack of access to equity markets to fund growth that may lead
    Atlantica to deviate from its target capital structure.

-- Holding company leverage ratio exceeding 4.0x and payout ratio
    exceeding 85% for several quarters.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Adequate Liquidity: As of March 31, 2021, corporate cash on hand
was USD434.2 million and Atlantica had USD440 million of
availability under its USD450 million revolver, which matures on
Dec. 31, 2023.

Atlantica also has a 2017 credit facility for up to EUR10 million,
which matures on Dec. 13, 2021; a credit facility with a local bank
for up to EUR5 million, which matures on Dec. 4, 2025; and a euro
CP program that allows Atlantica to issue short-term notes over the
next 12 months for up to EUR50 million.

Atlantica has an average corporate debt maturity of 4.8 years with
minimal debt maturities in the near term.

SUMMARY OF FINANCIAL ADJUSTMENTS

No financial statement adjustments were made that depart materially
from those contained in the published financial statements of the
relevant rated entity.

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.

GFG ALLIANCE: SFO Launches Investigation Over Suspected Fraud
-------------------------------------------------------------
BBC News reports that the business empire of Liberty Steel owner
Sanjeev Gupta is under investigation by the Serious Fraud Office
(SFO).

The probe is over suspected fraudulent trading and money
laundering, including its financing arrangements with failed
company Greensill Capital UK, BBC discloses.

Greensill, a major lender to Mr. Gupta's business, collapsed in
March, BBC recounts.

GFG Alliance, Mr. Gupta's family conglomerate, said it would
co-operate fully with the investigation, BBC relates.

"As these matters are the subject of an SFO investigation we cannot
make any further comment," BBC quotes a GFG spokesperson as
saying.

The company's reliance on Greensill caused many to worry that it
might itself be at risk following the finance firm's demise.  GFG
is in talks with finance firms about providing emergency loans, BBC
relates.  A request for a GBP170 million from the UK government was
rejected, BBC recounts.

The announcement of a Serious Fraud Office investigation into the
workings of Sanjeev Gupta's metals-based empire has serious
consequences, before any evidence is even heard, BBC notes.

First, BBC understands that the Department for Business feels
vindicated that it did not agree to give the so-called "saviour of
steel" a requested government bailout of GBP170 million.

Second, and perhaps more importantly, it sets back Mr. Gupta's
attempts to raise new finance to replace the money it once received
from the now defunct Greensill, BBC discloses.

The government has promised to save the steel plants -- owned by
Gupta's GFG alliance that are now in dire financial straits -- but
this investigation makes the chance of it surviving in its current
form an increasingly remote possibility, BBC relays.

The news comes a day after former prime minister and former
Greensill employee, David Cameron, defended his role in lobbying
the government to grant Greensill access to a government-backed
Covid loan programme, BBC states.


GREENE KING: S&P Affirms 'BB+ (sf)' Rating on Class B Notes
-----------------------------------------------------------
S&P Global Ratings affirmed its 'BBB (sf)', 'BBB- (sf)', and 'BB+
(sf)' ratings on the class A, AB, and B notes issued by Greene King
Finance PLC, and S&P removed its rating on the class B notes from
CreditWatch negative.

S&P said, "On April 17, 2020, we placed on CreditWatch negative our
ratings in this transaction to reflect the potential effect that
the U.K. government's measures to contain the spread of COVID-19
could have on both the U.K economy and the restaurant and public
houses (pub) sectors. We resolved the class A and AB CreditWatch
placements in July. On Dec. 22, 2020, we maintained our CreditWatch
negative placement on the class B notes."

Greene King Finance is a corporate securitization of the U.K.
operating business of the managed and tenanted pub estate operator
Greene King Retailing, the borrower. It originally closed in March
2005 and has been tapped several times since, most recently in
February 2019.

The transaction features three classes of notes (A, AB, and B), the
proceeds of which have been on-lent by Greene King Finance, the
issuer, to Greene King Retailing, via issuer-borrower loans. The
revenues generated by the assets owned by the borrower, Greene King
Retailing, are available to repay its borrowings from the issuer
that, in turn, uses those proceeds to service the notes. Each class
of notes is fully amortizing and our ratings address the timely
payment of interest and principal due on the notes, excluding any
subordinated step-up interest.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

Business risk profile

S&P said, "We have applied our corporate securitization criteria as
part of our rating analysis of the notes in this transaction. As
part of our analysis, we assess whether the operating cash flows
generated by the borrower are sufficient to make the payments
required under the notes' loan agreements by using a debt service
coverage ratio (DSCR) analysis under a base-case and a downside
scenario. Our view of the borrowing group's potential to generate
cash flows is informed by our base-case operating cash flow
projection and our assessment of its business risk profile (BRP),
which we derive using our corporate methodology."

Recent performance and events

On May 4, 2021, Greene King Retailing Parent Ltd. released its
annual report for the financial year from April 27, 2020, to Jan.
3, 2021, which comprises three financial quarters of 36 weeks in
total (FY2021).

For the financial year ending January 2021, the borrower disposed
of six pubs from the securitized portfolio, four tenanted pubs, and
two managed pubs. Overall, in the financial year ending January
2021, the tenanted segment decreased by 0.62% (by number of pubs),
whereas the managed segment decreased by about 0.24% (by number).

Driven by the mandatory pub closures due to COVID-19 and a shorter
financial year, total FY2021 revenues were GBP248 million, a 71.0%
decrease from FY2020, while reported EBITDA decreased to GBP120
million, a 41.5% decrease from FY2020.

Following a third national lockdown in England, the U.K. government
gave the go-ahead for pubs to reopen beginning on April 12, 2021,
with the pending opening date for indoor service being May 17.
Furthermore, with summer months approaching, indoor restrictions
will have a muted effect on trading performance. Even more
promising is the speed of the rollout of the vaccination program in
the U.K. and the government's target that the adult population be
offered at least the first dose of an available vaccine by the end
of summer, which bodes well for next autumn and winter.

S&P continues to assess the borrower's BRP as fair, supported by
the group's strong position as one of the top-three pub operators
in the U.K., its well-invested estate, and the added flexibility of
its cost structure due to high levels of real estate ownership.
Issuer's liquidity position.

The outstanding issuer/borrower loan balance after the December
payment date is GBP1,412.0 million. On the December 2020 payment
date, the borrower had sufficient cash flows from operations to
service the term loans owed to the issuer.

Owing to the third national lockdown in England that spanned the
second quarter of trading for the borrower, the issuer's liquidity
position at the end of March 2021 had deteriorated.

However, the committed liquidity facility remains fully undrawn
with GBP224 million available to the issuer.

On May 29, 2020, Greene King Ltd. (parent company) advanced to the
borrower, Greene King Retailing, on an uncommitted basis, a new
subordinated loan facility with a limit of up to GBP165 million.
The subordinated loan can be used toward the working capital and
debt service requirements of the borrower. There remains
significant headroom under the subordinated loan.

Rating Rationale

Greene King Retailing's primary sources of funds for principal and
interest payments on the outstanding notes are the loan interest
and principal payments from the borrower, which are ultimately
backed by future cash flows generated by the operating assets.
S&P's ratings address the timely payment of interest and principal
due on the notes, excluding any subordinated step-up coupons.

In S&P's view, the transaction's credit quality has declined due to
health and safety fears related to COVID-19. It believes this will
negatively affect the business cash flows available to the issuer.

DSCR analysis

S&P said, "Our cash flow analysis serves to both assess whether
cash flows will be sufficient to service debt through the
transaction's life and to project minimum DSCRs in our base-case
and downside scenarios.

"In the face of the liquidity stress resulting from the COVID-19
pandemic on those sectors directly affected by the U.K.
government's response, our current view is that the hardest-hit
sectors will not recover to 2019 levels until 2023 or later.
Importantly, it is our current view that the pandemic will not have
a lasting effect on the industries and companies themselves,
meaning that the long-term creditworthiness of the underlying
companies will not fundamentally or materially deteriorate over the
long term.

"Our downside analysis provides unique insight into a transaction's
ability to withstand the liquidity stress precipitated by the
closure of pubs in the U.K. Given those circumstances, the outcome
of our downside analysis alone determines the resilience-adjusted
anchor. As a result, our analysis begins with the construction of a
base-case projection from which we derive a downside case. However,
we have not determined our anchor, which does not reflect the
liquidity support at the issuer level--which we see as a mitigating
factor to the liquidity stress we expect to result from the U.K.
government's response to the COVID-19 pandemic. Rather, we
developed the downside scenario from the base case to assess
whether the COVID-19 liquidity stress would have a negative effect
on level of the resilience-adjusted anchor for each class of
notes.

"That said, we performed the base-case analysis to assess whether,
post-pandemic, the anchor would be adversely affected given the
long-term prospects currently assumed under our base-case
forecast."

Base-case forecast

S&P typically does not give credit to growth after the first two
years, however in this review, it considers the growth period to
continue through FY2023 in order to accommodate both the duration
of the COVID-19 stress and the subsequent recovery.

Greene King Retailing's earnings depend mostly on general economic
activity and discretionary consumer demand. Considering the state
of and prognoses for the COVID-19 pandemic, our current assumptions
for the U.K. are:

-- Conditions for a rapid, consumer-led recovery remain in place,
with strong fiscal and monetary policy support.

-- The recovery will begin in second-quarter 2021 but from a much
lower starting point because of the contraction in the first
quarter, with the U.K.'s third national lockdown limiting GDP
growth in 2021 to 4.3%.
-- S&P's forecast is subject to significant uncertainty on both
sides because of the unique and novel shock that the pandemic and
lockdowns present.

-- Conditions for a strong recovery remain in place. Indeed, the
U.K.'s swift progress with its vaccination program (now in a race
against the spread of viral variants) is very good news in this
regard, complemented by continuing fiscal and monetary support for
households and businesses. The recovery is not forgone, only
postponed. S&P expects a strong rebound to set in from the second
quarter, which will spill over into 2022 with growth of 6.8% (5%
earlier), before slowing to 2.2% in 2023 as momentum from the
recovery fades.

-- Businesses are now better prepared for, and have adapted to,
operating under lockdowns. The data confirms that the impact of
subsequent lockdowns on economic activity decreases over time.
Considering the potential effect from the third national lockdown
and the subsequent recovery prospects, we have revised our forecast
for 2021.

Downside DSCR analysis

S&P's downside DSCR analysis tests whether the issuer-level
structural enhancements improve the transaction's resilience under
a moderate stress scenario. Greene King Retailing falls within the
pubs, restaurants, and retail industry. Considering U.K. pubs'
historical performance during the financial crisis of 2007-2008, in
its view, a 15% and 25% decline in EBITDA from our base case is
appropriate for the managed and tenanted pub subsectors,
respectively.

S&P said, "Our current expectations are that the COVID-19 liquidity
stress will result in a reduction in EBITDA that is far greater
than the 15% and 25% declines we would normally assume under our
downside stresses for managed and tenanted pubs, respectively.
Hence, our downside scenario comprises both our short- to
medium-term EBITDA projections during the liquidity stress period
and our long-term forecast, but with the level of ultimate recovery
limited to 15% and 25% lower than what we would assume for a
base-case forecast over the long-term for managed and tenanted
pubs, respectively. For example, our downside scenario forecast of
EBITDA reflects our base-case assumptions for recovery into FY2023
(on a comparable basis) until the level of EBITDA is within 85% and
75% of our projected long-term EBITDA for managed and tenanted
pubs, respectively.

"Our downside DSCR analysis resulted in strong resilience scores
for the class A and AB notes and a satisfactory score for the class
B notes. Our score for the class AB notes improved from
satisfactory in our previous review, and they are unchanged for the
class A and B notes. This reflects the headroom above a 1.80:1 and
1.30:1 DSCR threshold that is required under our criteria to
achieve strong and satisfactory resilience scores respectively
after considering the level of liquidity support available to each
class.

Each class's resilience score corresponds to rating
categories--excellent at 'AAA' through vulnerable at 'B'. Within
each category, the recommended resilience-adjusted anchor reflect
notching based on where the downside DSCR falls within a range (for
the class A, AB, and B notes). As a result, the resilience-adjusted
anchors for the class A, AB, and B notes would not be adversely
affected under our downside scenario.

Liquidity facility adjustment

Given that we have given full credit to the liquidity facility
amount available to each class of notes, a further one-notch
increase to any of the resilience-adjusted anchors is not
warranted.

Modifiers analysis

S&P said, "We applied a one-notch downward adjustment to the class
AB notes to reflect their subordination and weaker access to the
security package compared to the class A notes, which is unchanged
from our previous reviews.

"As mentioned, we performed our base-case analysis to assess
whether, post-COVID-19, the anchor would be adversely affected
given the long-term prospects currently assumed in our base-case
forecast. Based on our post-COVID-19 base-case analysis, which
reflects the performance from FY2023 and beyond, we have concluded
that the anchor would not be adversely affected."

Comparable rating analysis

A comparison of the potential ratings (following the modifiers
analysis) for notes issued by Greene King Finance and the ratings
on the comparable class (by seniority) issued by Mitchells &
Butlers Finance shows that the relative ratings for the class A and
AB notes are commensurate with the relative strengths and
weaknesses between the borrowers in each transaction, while the
relative ratings assigned to the class B notes show an inverse
relationship with the relative strengths and weaknesses between the
two borrowers. However, the class AB notes issue by Greene King
Finance are significantly thinner (GBP40 million) than the class AB
notes issued by Mitchells & Butlers Finance (GBP311.4 million),
resulting in a one-notch ratings differential between the class AB
and B ratings, in the case of Greene King Finance, compared to a
three-notch differential, in the case of Mitchells & Butlers
Finance.

Based on those comparisons, S&P does not apply any additional
adjustment due to our comparable rating analysis.

Counterparty risk

S&P's ratings are not currently constrained by the ratings on any
of the counterparties, including the liquidity facility,
derivatives, and bank account providers.

The notes are supported by hedging agreements with the London
branch of Banco Santander, S.A. (interest rate swaps for the
floating-rate class B1 and B2 notes) and HSBC Bank PLC (interest
rate swap on the floating-rate class A5 notes). S&P said, "We
assess the collateral framework as weak under our counterparty
criteria, notably due to the type of collateral that can be posted,
which we do not view as eligible under our criteria, or lower
haircuts for collateral denominated in currencies other than
British pound sterling. But because the replacement commitment is
sufficiently robust, based on our counterparty criteria, we give
credit to it. As the swaps in this transaction are collateralized,
we consider the resolution counterparty rating (RCR) on the swap
counterparty as the applicable counterparty rating."

Outlook

S&P said, "Over the next 12 to 24 months, we expect that the pub
sector's earnings potential will remain low as the sector grapples
with several issues, with full-year revenue to recover to 2019
levels only by 2022. Factoring in the significant cash burn during
the closures and deferral of maintenance capex, we expect that pub
operators will prioritize investment over deleveraging and that
credit metrics will take time to recover to 2019 levels, with our
current expectation being 2023. Our expectations of recovery in
profitability and credit metrics in 2022 and 2023 will be the key
factors in shaping our views of issuers' underlying credit quality
and will be the main reasons for any rating actions.

"At the same time, we anticipate that food-led operators with
takeaway models and pubs that appeal to families will fare better
than their drinks-led counterparts.

"For many rated pub operators, their significant freehold property
portfolios have offered substantial operational and financial
flexibility, but we have yet to see meaningful large-scale
valuation support from conversions or alternative uses for pub
properties. Rather, we expect that their quality of earnings will
be a more defining factor in the credit profile compared to the
quantum of real estate ownership. We expect that leased and
tenanted (L&T) operators will continue supporting tenants in the
recovery phase, leading to a potentially slower improvement in
earnings compared with that of managed operators. For our complete
view of the sector and the factors that will shape its performance
over the near to medium term, see "U.K. Pubs, Shaken And Stirred,
Look To Recover After A Cocktail Of Headwinds," published April 8,
2021.

"As we receive more issuer-specific and industry-level data, we
will assess the transaction to determine whether rating actions are
warranted."

Downside scenario

S&P said, "We may consider lowering our ratings on the class A, AB,
and B notes if their minimum projected DSCRs in our downside
scenario have a material adverse effect on each class's
resilience-adjusted anchor.

"We could also lower our ratings on the class A, AB, and B notes if
their minimum projected DSCRs in our base case analysis,
post-COVID-19, falls below 1.40:1 for the class A and AB notes and
below 1.30:1 for the class B notes. This could happen if
deteriorated trading conditions reduce cash flows available to the
borrowing group to service its rated debt. However, there have been
a number of positive developments that, in our view, reduce the
likelihood of future nationwide lockdowns in England and put the
U.K. government in a position to take further, non-regressive steps
toward easing restrictions over the coming months. Beyond the
reopening of pubs across the U.K. for outdoor service on April 12
and the expected start of indoor service on May 17, the speed of
the rollout of the vaccination program in the U.K. and the
government's target that the adult population be offered at least
the first dose of an available vaccine by the end of summer will
bode well for next autumn and winter. The quality of earnings will,
in our view, be largely driven by the ability to invest and tailor
offerings to changes to consumer behavior post-pandemic."

Upside scenario

Due to the current economic situation, S&P doed not anticipate
raising its assessment of Greene King Retailing's BRP over the near
to medium term.

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

-- Health and safety.


GREENSILL: Credit Suisse Faces Pressure to Compensate Clients
-------------------------------------------------------------
Stephen Morris and Owen Walker at The Financial Times report that
Credit Suisse faces growing pressure from prized clients to
compensate them for losses following the collapse of supply-chain
finance funds linked to Greensill Capital.

The decision whether to do so is one of the first big dilemmas
confronting new chair Antonio Horta-Osorio in his clean up of the
bank, which faces the threat of several class action lawsuits from
angry investors, the FT notes.

According to the FT, more than 1,000 Credit Suisse customers
invested in the US$10 billion suite of funds, having been told by
the bank's advisers and marketing material that they were low-risk
products, fully insured against losses.

However, the Swiss lender in March suspended the funds, which
packaged up invoices owed by Greensill's customers into investment
products, the FT recounts.  The bank's clients could lose up to
US$3 billion after several of the companies whose debt the funds
invested in said they were unable or unwilling to repay, the FT
discloses.

The inclusion in the funds of securities linked to yet to be issued
invoices contravene the funds' rules and marketing material,
investors told the FT.

However, the bank's lawyers are confident that the wording in the
fund documents allude to the potential for investing in
non-standard receivables, according to people briefed on internal
discussions, the FT states.

"It still irritates me that they won't come clean," and acknowledge
they should compensate clients, said a wealthy individual who was
personally invested in the funds and also runs a company that is a
major counterparty to Credit Suisse.  "The facts are pretty clear,
no future invoices."

He added that he hoped Mr. Horta-Osorio would decide to compensate
clients, in a replay of his decision when chief executive at Lloyds
Banking Group to reimburse customers wrongly sold payment
protection insurance, the FT
relays.

Credit Suisse has refused to confirm whether participants in the
funds will bear any losses, but has so far taken the view that they
were professional investors who were aware of any risks, the FT
notes.

Senior executives are wary of compensating clients over fears it
would weaken the bank's hands in insolvency and potential legal
proceedings against Greensill, the FT relays, citing people
familiar with the matter.


INFINITY BIDCO 1: S&P Assigns 'B' Ratings, Outlook Stable
---------------------------------------------------------
S&P Global Ratings assigned its 'B' long-term ratings to Corialis'
intermediate parent company Infinity Bidco 1 Ltd. and to the
proposed EUR629 million term loan B, GBP224 million term loan B,
and EUR150 million revolving credit facility (RCF), with a recovery
rating of '3'.

The stable outlook indicates S&P's view that the company will
continue to post robust growth and profitability, while
implementing its new capital expenditure program, with adjusted
debt to EBITDA of about 5.5x-5.9x in 2021-2022.

The contemplated transaction will releverage the company. On March
29, 2021, Astorg agreed to purchase a majority stake in Corialis
from CVC Capital Partners. As part of the transaction, the company
plans to issue:

-- A new EUR150 million senior secured RCF due 2027, assumed
undrawn at closing.

-- A new EUR890 million first-lien term loan B split between a
EUR629 million tranche and a GBP244 million tranche.

The proceeds are to be used to fund the buyout and refinance all
outstanding debt. S&P said, "Pro forma the transaction, we expect
adjusted leverage of about 5.8-5.9x in 2021, reducing to about
5.5x-5.7x in 2022 on the back of higher EBITDA. We note that
management and CVC Capital Partners will retain a significant stake
in the company. Positively, we also note the refinancing should not
result in higher interest expenses."

Corialis' capex program will limit free operating cash flow (FOCF)
but should fuel sales growth in 2021-2022. Under its new ownership,
Corialis' strategy will be to continue growing in its core aluminum
in-wall windows and doors markets, as well as expand its product
offering in the outdoor segment (roller shutters, pergolas,
conservatories, etc.) and indoor segment (fire-resistant doors,
interior doors aluminum, etc.); further develop in the U.K.,
Eastern Europe, and Iberia, where the new products will be
manufactured; and continue the vertical integration strategy of its
Iberian hub. Corialis is introducing a new capex program to achieve
its objectives: S&P said, "We anticipate annual capex of EUR55
million-EUR60 million in 2021-2022. In our view, this will limit
FOCF in 2021-2022. However, we expect strong growth, supported by
the additional production capacity, along with the increasing
penetration rate for aluminum systems, and solid momentum in the
residential market. We also expect FOCF will materially increase
starting 2023 when the expansion capex will slow."

S&P said, "We expect Corialis to weather the raw material price
increase. Corialis' main raw material is aluminum billets. We
acknowledge Corialis' good track record of passing through price
increases and understand that the company has already announced two
price increases in 2021." At the same time, aluminum represents a
minor part of the final product price charged to the fabricators
and installers. Current trading induces strong growth of sales and
the profitability margin.

Corialis' strong growth profile and track record continue to
support the rating. Over the past decades, Corialis reported
continued strong growth as it added production capacity, developed
new hubs, entered new geographies, and benefitted from the
increasing penetration rate of aluminum systems over PVC and wood.
Sales and adjusted EBITDA stood at about EUR560 million and EUR134
million in 2020, compared with EUR355 million and EUR70 million in
2014, respectively. Corialis differentiates itself from peers
through its vertically integrated, well-invested asset base, which
has enabled it to service core markets using an under-one-roof
hub-and-spoke model. The group continues to experience significant
demand for its products from the repair, remodel, and improve
market, which exhibits less cyclicality than the new-build
construction market. S&P also continues to acknowledge
best-in-class profitability, with EBITDA margins consistently
exceeding 22%-23%.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

S&P said, "The stable outlook indicates our view that the company
will continue to post robust growth and profitability, while
implementing its new capex program, with adjusted debt to EBITDA of
about 5.5x-5.9x in 2021-2022.

"We could lower the rating if Corialis were to experience severe
margin pressure or weaker cash flows, constraining credit metrics
and leading to less-than-adequate liquidity. This could occur if
the company did not curtail its capex in time to reduce debt before
a potential drop in earnings."

S&P could also consider lowering the ratings if:

-- Corialis undertook material debt-funded acquisitions or
shareholder returns;

-- Corialis' FOCF turned negative; or

-- Corialis' adjusted leverage sustainably exceeded 6.5x.

S&P could raise the rating if Corialis were to exhibit:

-- A debt-to-EBITDA ratio sustainably below 5.5x; and
-- Continued material positive free operating cash flows.

While S&P sees its credit metrics trending toward these levels in
2022, S&P would also need to see a track record and commitment from
the company and the financial sponsor to sustain these credit
metrics.


JAGUAR LAND ROVER: Fitch Affirms Then Withdraws 'B' LT IDR
-----------------------------------------------------------
Fitch Ratings has revised the Outlook on Jaguar Land Rover
Automotive plc's (JLR) Long-Term Issuer Default Rating to Stable
from Negative and affirmed the IDR and senior unsecured ratings at
'B'. Fitch has subsequently withdrawn all ratings.

The revision of the Outlook reflects JLR's better than expected
cashflow performance during the pandemic, due to good stock
management and operating cost measures, which Fitch expects to
result in an EBIT margin of about 4% for the financial year to
March 2021. JLR's Standalone Credit Profile (SCP) of 'b' reflects
Fitch's view that the recovery in demand in JLR's end markets due
to the Covid-19 pandemic remains uncertain.

Fitch believes that JLR has produced positive free cash flow for
three consecutive quarters to March 2021, offsetting the initial
cash outflow of to June 2020 as a result of the pandemic. In
addition, an emissions fine was lower than expected at GBP35
million.

The rating also reflects Fitch's assessment of the moderate linkage
between JLR and its 100% parent Tata Motors Limited (TML) and
Fitch's assessment that TML's credit profile is weaker than JLR's.

The ratings are being withdrawn for commercial reasons.

KEY RATING DRIVERS

Substantially Reduced Volumes: JLR's volumes fell a further 13.6%
for the full year to March 2021 to 439,588 units compared with
FY20, and Fitch expects a commensurate revenue reduction. Annual
retail volumes in FY20 fell 12% to just under 510,000. However,
during the year, JLR managed to cut costs and manage working
capital effectively. JLR has focused on selling higher value
models, and refreshed and added hybrid options to the rest of the
range in its efforts to meet UK and EU emissions restrictions.

Improved FCF: Fitch expects JLR's cumulative free cash flow (FCF)
for FY21 to be neutral to positive. This is considerably better
than Fitch's previous expectations, driven by a substantial
reduction in operating costs. JLR's working capital profile
improved substantially in 2Q with a working capital inflow of
GBP740 million. This followed a GBP1.1 billion outflow in 1Q. Fitch
expects FCF to remain neutral in FY22 despite further restructuring
costs, and higher capex. FCF should gradually improve in FY23,
supported by higher margin model replacement.

Operating Costs Limited: JLR took immediate action to reduce its
exposure to the economic closures resulting from the pandemic,
including suspending production at its factories and furloughing
staff with the support of the UK government. Fitch believes
government support measures have reduced both operating costs and
cash outflow. Fitch expects JLR to continue its cost-cutting
exercise to support unit margins and to limit dealer stocks to
contain working capital.

Capex Refocused: Fitch believes that JLR reduced its capex
programme for FY21 to GBP2.5 billion as non-essential projects were
stopped or delayed. Fitch expects capex to increase to GBP3 billion
per year from FY22, as the company invests in new battery electric
vehicle (BEV)-only model architecture for the restructuring of the
Jaguar brand. The responsibility for this has been combined with
the existing Land Rover operations. Manufacturing capacity will
also be reduced to improve utilisation.

Strategy Announcement Focuses Brands: Fitch expects the recent
strategy announcement to produce new BEV-only Jaguar models from
2025 will have a limited effect on JLR's short to medium term sales
and profitability. However, additional capex relating to the
development of the electric chassis architecture and
reconfiguration of manufacturing capacity has been factored into
the rating.

Parent-Subsidiary Linkage: JLR's 'B' IDR reflects Fitch's
assessment of its 100% parent's credit quality and of moderate
linkages between the two entities. TML has a weaker credit profile
than JLR, and apart from the restricted payment covenants within
the UK Export Finance debt facility, there are no other major
restrictions that would limit TML's ability to extract cash from
JLR.

Effect from ESG Factor: JLR has an ESG Relevance Score of 4 for GHG
Emissions & Air Quality. It faces stringent CO2 emissions targets,
particularly in Europe. This is expected to remain a challenge for
JLR as its product portfolio is weighted towards larger, less
fuel-efficient SUVs. In Europe, Whilst JLR missed its CO2 target
for the 2020 calendar year, the fine it received is lower than
provided for at GBP35m, due to the sale of more hybrid vehicles.
The company is optimistic that it will meet emissions targets for
2021 as it now offers electrified powertrain options on all new
models . However, uncertainties regarding electric vehicle
penetration and a decline in diesel sales in Europe pose a risk to
meeting these emissions targets.

DERIVATION SUMMARY

JLR competes in the premium car segment with Daimler AG's Mercedes
(BBB+/Stable), BMW AG and Volkswagen AG (BBB+/Stable), notably VW's
Audi brand. JLR is much smaller than its German peers and has a
more limited product portfolio. This limits JLR's economies of
scale and means that the required capex to launch new models and
meet emissions targets represents a greater share of revenue than
larger peers. JLR's production is also more concentrated than
peers, and despite the opening of the manufacturing facility in
Slovakia, the majority of production is still in the UK.

JLR's weak profitability and cash flow generation was negatively
affected by the pandemic, but a reduction in capex and cost-cutting
measures offset the impact. After an increase in Fitch estimated
FFO net leverage to 1.5x in FY21, Fitch forecasts JLR's FFO net
leverage to decline to 1.3x in FY22. This is in line with higher
rated Stellantis N.V. (BBB-/Stable), where Fitch forecasts FFO net
leverage to fall to about to 1.1x in 2021.

KEY ASSUMPTIONS

Fitch's key assumptions within its rating case for the issuer
include:

-- Revenue to decline by around 12% in FY21, driven by lower
    sales volumes, before recovering in FY22 to grow around 10%;

-- EBIT margin to of about 4% for FY21 before recovering further
    in FY22;

-- Capex of GBP2.5 billion in FY21, increasing to GBP3.0 billion
    in FY22;

-- No dividend payment in FY21 and FY22.

RATING SENSITIVITIES

Not applicable as the ratings are being withdrawn.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Much Stronger Liquidity: At end-March 2021, JLR reported around
GBP4.8 billion of cash and short-term investments and committed
undrawn facilities of GBP1.94 billion maturing in 2022 (of which
GBP1.31 billion has been extended to March 2024). JLR has a good
spread of debt maturities, and near-term maturities are limited to
the GBP400 million bond in February 2022.

Fitch expects JLR's FCF to be positive for 2021 and neutral for
2022, despite restructuring costs and forecast higher capex, and
its cash holdings have further increased as a result of its
issuances during FY21. Fitch expects JLR to maintain a comfortable
level of cash and liquidity, adequate to repay maturities through
2023.

ESG CONSIDERATIONS

Jaguar Land Rover Automotive plc has an ESG Relevance Score of '4'
for GHG Emissions & Air Quality due to due to strict EU and UK
emissions regulations, 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.

SPIRIT ISSUER: S&P Affirms 'BB+' Rating on Class A5 Notes
---------------------------------------------------------
S&P Global Ratings affirmed its 'BB+' credit rating on Spirit
Issuer PLC's class A5 notes.

S&P asid, "On April 17, 2020, we placed on CreditWatch negative our
rating in this transaction to reflect the potential effect that the
U.K. government's measures to contain the spread of COVID-19 could
have on both the U.K economy and the restaurant and public houses
(pub) sectors. We resolved the class A5 CreditWatch placement in
July."

Spirit Issuer is a corporate securitization backed by operating
cash flows generated by the borrowers, Spirit Pub Company (Leased)
Ltd. and Spirit Pub Company (Managed) Ltd. (Spirit Pub,
collectively). These operating cash flows are the primary source of
repayment for an underlying issuer-borrower secured loan. Spirit
Pub operates an estate of tenanted and managed pubs. The original
transaction closed in November 2004 and was tapped in November
2013.

The transaction features one class of notes, the proceeds of which
have been on-lent by Spirit Issuer, the issuer, to Spirit Pub, the
borrowers, via issuer-borrower loans. The operating cash flows
generated by the borrowers are available to repay their borrowings
from the issuer, which in turn uses those proceeds to service the
notes. S&P said, "The class A5 notes are fully amortizing, and our
rating addresses the timely payment of interest and principal due
on the notes, excluding any subordinated step-up interest. The
notes pay fixed interest until December 2028, after which they will
pay floating interest at the three-month London Interbank Offered
Rate (LIBOR) plus 0.30%, with a step-up margin of 0.45%. Our rating
does not address the step-up margin."

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P uses these assumptions about vaccine timing
in assessing the economic and credit implications associated with
the pandemic.

Business risk profile

S&P said, "We have applied our corporate securitization criteria as
part of our rating analysis on the notes in this transaction. As
part of our analysis, we assess whether the operating cash flows
generated by the borrower are sufficient to make the payments
required under the notes' loan agreements by using a debt service
coverage ratio (DSCR) analysis under a base-case and a downside
scenario. Our view of the borrowing group's potential to generate
cash flows is informed by our base-case operating cash flow
projection and our assessment of its business risk profile (BRP),
which we derive using our corporate methodology."

Recent performance and events

-- For the financial year ending Jan. 3, 2021 (from April 27,
2020, to Jan. 3, 2021), which comprises three financial quarters of
36 weeks in total, the borrower disposed of two managed pubs, a
decrease of 0.65% within this segment, and reduced the number of
tenanted pubs in its portfolio by five, a 2.16% reduction from the
previous year.

-- Driven by the pub disposals, mandatory pub closures due to
COVID-19, and a shorter financial year, total FY2021 revenues
according to the latest financial report were GBP83.4 million, a
78.3% decrease from the previous year. Over the same period,
reported earnings before interest, taxes, depreciation, and
amortization (EBITDA) were negative GBP19.0 million, a 119.3%
decrease compared with the previous year.

-- Following a third national lockdown in England, the U.K.
government gave the go-ahead for pubs to reopen beginning on April
12, 2021, with the pending opening date for indoor service being
May 17. Furthermore, with summer months approaching, indoor
restrictions will have a muted effect on trading performance. Even
more promising is the speed of the rollout of the vaccination
program in the U.K. and the government's target that the adult
population be offered at least the first dose of an available
vaccine by the end of summer, which bodes well for next autumn and
winter.

-- S&P assesses the borrower's BRP as weak, which changed from
fair as of its previous review. Overall, we believe that Spirit's
size and profitability are not at the same level as the other pub
operators we rate. Spirit's securitized portfolio has been
persistently shrinking over the past few years, from 1,010 sites in
2017 to 530 sites in January 2021. This substantially reduced
Spirit's scale, with a direct consequence on revenues and EBITDA,
which have been declining over the past few years. The operator
also has a lower share of freehold and long leasehold assets
compared to its peers, which increases its operating leverage and
could cause volatility in a downturn. In addition, a lower scale
and cost inflation arising from the increase in the national living
wage could have a negative impact on its margins over the medium
term.

-- The business has similar metrics to the Greene King group's
main securitization platform (Greene King Finance PLC), which has a
fair BRP. S&P said, "However, Spirit's size is about one-third of
Greene King Finance, and as most of the securitized liabilities
have now been repaid, we expect that the Spirit platform will not
play a central role in the parents' strategy in the future. This in
our view is supported by the fact that various covenants under the
intercompany loan agreement between Spirit Pub Company (Managed)
Ltd. and Spirit Pub Company (Leased) Ltd. (the borrowers) and the
issuer has been breached and not actively waived."

Issuer's liquidity position

The outstanding issuer/borrower loan balance after the December
payment date is GBP96.8 million. On the December 2020 payment date,
the borrower had sufficient cash flows from operations to service
the term loans owed to the issuer.

Owing to the third national lockdown in England that spanned the
second quarter of trading for the borrower, the issuer's liquidity
position at the end of March 2021 had deteriorated.

However, the committed liquidity facility remains undrawn with
GBP15.01 million available to the issuer.

On June 22, 2020, Spirit Managed Funding Ltd. advanced to the
borrowers (Spirit Pub), on an uncommitted basis, a subordinated
loan facility with a limit of up to GBP100 million. The
subordinated loan can be applied toward the working capital and
debt service requirements of the borrowers. Based on the most
recent investor report (as of third-quarter 2020) about GBP3
million was drawn.

Rating Rationale

Spirit Issuer's primary sources of funds for principal and interest
payments on the outstanding class of notes are the loan interest
and principal payments from the borrowers, which are ultimately
backed by future cash flows generated by the operating assets.
S&P's rating addresses the timely payment of interest and principal
due on the notes.

In S&P's view, the transaction's credit quality has declined due to
health and safety fears related to COVID-19. It believes this will
negatively affect the business cash flows available to the issuer.

DSCR analysis

S&P's cash flow analysis serves to both assess whether cash flows
will be sufficient to service debt through the transaction's life
and to project minimum DSCRs in our base-case and downside
scenarios.

Considering the liquidity stress resulting from the COVID-19
pandemic on those sectors directly affected by the U.K.
government's response, our current view is that the hardest-hit
sectors will not recover to 2019 levels until 2023 or later.
Importantly, S&P's current view is that the pandemic will not have
a lasting effect on the industries and companies themselves,
meaning that the long-term creditworthiness of the underlying
companies will not fundamentally or materially deteriorate over the
long term.

S&P said, "Our downside analysis provides unique insight into a
transaction's ability to withstand the liquidity stress
precipitated by the closure of pubs in the U.K. Given those
circumstances, the outcome of our downside analysis alone
determines the resilience-adjusted anchor. As a result, our
analysis begins with the construction of a base-case projection
from which we derive a downside case. However, we have not
determined our anchor, which does not reflect the liquidity support
at the issuer level--which we see as a mitigating factor to the
liquidity stress we expect to result from the U.K. government's
response to the COVID-19 pandemic. Rather, we developed the
downside scenario from the base case to assess whether the COVID-19
liquidity stress would have a negative effect on level of the
resilience-adjusted anchor for each class of notes."

That said, S&P performed the base-case analysis to assess whether,
post-pandemic, the anchor would be adversely affected given the
long-term prospects currently assumed under its base-case
forecast.

Base-case forecast

S&P typically does not give credit to growth after the first two
years. However, in this review, S&P considered the growth period to
continue through FY2023 in order to accommodate both the duration
of the COVID-19 stress and the subsequent recovery.

Spirit Issuer's earnings depend mostly on general economic activity
and discretionary consumer demand. Considering the state of and
prognoses for the COVID-19 pandemic, S&P's current assumptions for
the U.K. are:

-- Conditions for a rapid, consumer-led recovery remain in place,
with strong fiscal and monetary policy support.

-- The recovery will begin in second-quarter 2021 but from a much
lower starting point because of the contraction in the first
quarter, with the U.K.'s third national lockdown limiting GDP
growth in 2021 to 4.3%.

-- S&P's forecast is subject to significant uncertainty on both
sides because of the unique and novel shock that the pandemic and
lockdowns present.

-- Conditions for a strong recovery remain in place. Indeed, the
U.K.'s swift progress with its vaccination program (now in a race
against the spread of viral variants) is very good news in this
regard, complemented by continuing fiscal and monetary support for
households and businesses. The recovery is not forgone, only
postponed. S&P expects a strong rebound to set in from the second
quarter, which will spill over into 2022 with growth of 6.8% (5%
earlier), before slowing to 2.2% in 2023 as momentum from the
recovery fades.

-- Businesses are now better prepared for, and have adapted to,
operating under lockdowns. The data confirms that the impact of
subsequent lockdowns on economic activity decreases over time.

Considering the potential effect from the third national lockdown
and the subsequent recovery prospects, S&P has revised its forecast
for 2021.

Downside DSCR analysis

S&P said, "Our downside DSCR analysis tests whether the
issuer-level structural enhancements improve the transaction's
resilience under a moderate stress scenario. Spirit Pub falls
within the pubs, restaurants, and retail industry. Considering U.K.
pubs' historical performance during the financial crisis of
2007-2008, in our view, a 15% and 25% decline in EBITDA from our
base case is appropriate for the managed and tenanted pub
subsectors, respectively.

"Our current expectations are that the COVID-19 liquidity stress
will result in a reduction in EBITDA that is far greater than the
15% and 25% declines we would normally assume under our downside
stress for the managed and tenanted pubs, respectively. Hence, our
downside scenario comprises both our short- to medium-term EBITDA
projections during the liquidity stress period and our long-term
forecast, but with the level of ultimate recovery limited to 15%
and 25% lower than what we would assume for a base-case forecast
over the long-term for the managed and tenanted pubs, respectively.
For example, our downside scenario forecast of EBITDA reflects our
base-case assumptions for recovery into FY2023 (on a comparable
basis) until the level of EBITDA is within 85% and 75% of our
projected long-term EBITDA for managed and tenanted pubs,
respectively.

"Our downside DSCR analysis resulted in strong resilience score for
the class A5 notes, which is unchanged from that as of our previous
review. This reflects the headroom above a 1.80:1 DSCR threshold
that is required under our criteria to achieve a strong resilience
score after considering the level of liquidity support available to
the class A5 notes.

"Under our criteria, the resilience score corresponds to rating
categories--excellent at 'AAA' through vulnerable at 'B'. Within
each category, the recommended resilience-adjusted anchor reflects
notching based on where the downside DSCR falls within a range. As
a result, the resilience-adjusted anchor for the class A5 notes
would not be adversely affected under our downside scenario."

Liquidity facility adjustment

Given that S&P has given full credit to the liquidity facility
amount available to each class of notes, a further one-notch
increase to any of the resilience-adjusted anchors is not
warranted.

Modifiers analysis

No adjustment, which is unchanged since S&P's previous review.

S&P said, "As mentioned, we performed our base-case analysis to
assess whether, post-COVID-19, the anchor would be adversely
affected given the long-term prospects currently assumed in our
base-case forecast. Based on our post-COVID-19 base-case analysis,
which reflects a weak BRP assessment, and the performance from
FY2023 and beyond, we have concluded that the anchor would not be
adversely affected."

Comparable rating analysis

S&P said, "We considered a one-notch downward adjustment to the
potential rating, which is unchanged from our previous review.

"In our assessment, we considered the current small size of the
securitization estate compared with its peers (with the next
smallest being Marston's Issuer PLC, with 948 pubs). We expect the
securitization estate to continue to shrink.

"Currently, the observed headroom in our downside DSCR analysis
does not provide a sufficient comfort level due to uncertainty
surrounding the timing and robustness of the COVID-19 recovery and
long-term disposal strategy of the borrower. The borrower will
continue to sell pubs to Greene King as part of a broader strategy
to consolidate the Greene King Retail and Spirit Pub estates and
simplify their management and reporting structures. As confirmed by
the management, the aim is to liquidate as much as possible subject
to financial covenants and restricted payment conditions being met.
This will further compress the currently observed headroom in the
DSCR.

However, in the near term, there will not be many disposals because
it is likely that the disposal DSCR test will continue to be
breached for at least the next two quarters.

Counterparty risk

S&P said, "We do not consider the bank account agreement to be in
line with our current counterparty criteria due to the weakness of
the contractual remedies provided in the documentation. Therefore,
our rating on the notes in this transaction is capped at the issuer
credit rating (ICR) on the bank account provider (Barclays Bank
PLC).

"The class A5 notes are supported by an interest rate swap
agreement. We assess the collateral framework as weak under our
counterparty criteria, notably due to the length of the remedy
period to begin collateral posting, while the replacement
commitment is robust enough that we give credit to it. As the swap
in this transaction is collateralized, we consider the resolution
counterparty rating (RCR) on the swap counterparty as the
applicable counterparty rating (if we have assigned one), otherwise
we rely on the counterparty's ICR. American International Group
Inc. as interest rate swap counterparty guarantor holds only an
ICR."

This combination of factors results in a maximum supported rating
on the class A5 notes at the level of the lowest applicable rating
among the ICR on the account bank and the ICR on the swap
counterparty's guarantor.

The current minimum applicable rating is above the rating on the
class A5 notes, so it does not currently constrain our rating.

Outlook

S&P said, "Over the next 12 to 24 months, we expect that the pub
sector's earnings potential will remain low as the sector grapples
with several issues, with full-year revenue to recover to 2019
levels only by 2022. Factoring in the significant cash burn during
the closures and deferral of maintenance capex, we expect that pub
operators will prioritize investment over deleveraging and that
credit metrics will take time to recover to 2019 levels, with our
current expectation being 2023. Our expectations of recovery in
profitability and credit metrics in 2022 and 2023 will be the key
factors in shaping our views of issuers' underlying credit quality
and will be the main reason for any rating actions.

"At the same time, we anticipate that food-led operators with
takeaway models and pubs that appeal to families, will fare better
than their drinks-led counterparts.

"For many rated pub operators, their significant freehold property
portfolios have offered substantial operational and financial
flexibility, but we have yet to see meaningful large-scale
valuation support from conversions or alternative uses for pub
properties. Rather, we expect that their quality of earnings will
be a more defining factor in the credit profile compared to the
quantum of real estate ownership. We expect that leased and
tenanted (L&T) operators will continue supporting tenants in the
recovery phase, leading to a potentially slower improvement in
earnings compared with that of managed operators. For our complete
view of the sector and the factors that will shape its performance
over the near to medium term, see "U.K. Pubs, Shaken And Stirred,
Look To Recover After A Cocktail Of Headwinds," published April 8,
2021.

"As we receive more issuer-specific and industry-level data, we
will assess the transaction to determine whether rating actions are
warranted."

Downside scenario

S&P said, "We could lower our ratings on the notes if we revised
our current assessment of Spirit Pub's BRP to vulnerable from weak.
This could occur if cost increases result in a sharp decline in
reported EBITDA or the EBITDA margin, or a reduction in the scale
of the securitized estate, potentially due to a continuation of the
group's accelerated disposal program.

"We may also consider lowering our rating on the notes if our
minimum projected DSCR falls below 1.2:1 in our base-case
scenario.

"However, there have been a number of positive developments that,
in our view, reduces the likelihood of future nationwide lockdowns
in England and puts the U.K. government in a position to take
further, non-regressive, steps toward easing restrictions over the
coming months. Beyond the reopening of pubs across the U.K. for
outdoor service on April 12 and the expected start of indoor
service on May 17, we considered the speed of the rollout of the
U.K.'s vaccination program and the government's target that the
adult population be offered at least the first dose of an available
vaccine by the end of summer, which bodes well for next autumn and
winter. The quality of earnings will, in our view, be largely
driven by the ability to invest and tailor offering to changes in
consumer behavior post-pandemic."

Upside scenario

Due to the current economic situation, S&P does not anticipate
raising its assessment of Spirit Pub's BRP over the near to medium
term.

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

-- Health and safety.


UNIQUE PUB: S&P Affirms 'B- (sf)' Rating on N Notes, Off Watch Neg.
-------------------------------------------------------------------
S&P Global Ratings affirmed and removed from CreditWatch negative
its 'BB+ (sf)', 'B (sf)', and B- (sf)' credit ratings on Unique Pub
Finance Co. PLC (The)'s class A4, M, and N notes.

S&P said, "On April 17, 2020, we placed on CreditWatch negative our
ratings in this transaction to reflect the potential effect that
the U.K. government's measures to contain the spread of COVID-19
could have on both the U.K economy and the restaurant and public
houses (pub) sectors. On Dec. 18, 2020, we kept our ratings on the
class A, M, and N notes on CreditWatch negative considering the
continuing significant uncertainty surrounding the timing and
robustness of the COVID-19 recovery and the issuer's available
liquidity."

Unique Pub Finance is a corporate securitization of the U.K.
operating business of the leased and tenanted pub estate operator
Unique Pub Properties Ltd. (UPP or the borrower). It originally
closed in June 1999 and was last tapped in February 2005.

The transaction features three classes of notes (A4, M, and N), the
proceeds of which have been on-lent by Unique Pub Finance to UPP
via issuer-borrower loans. The operating cash flows generated by
UPP are available to repay its borrowings from the issuer that, in
turn, uses those proceeds to service the notes. S&P's ratings on
the notes address the timely payment of interest and principal due
on the class A notes, and the ultimate payment of interest and
principal due on the class M and N notes.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

Business risk profile

S&P said, "We have applied our corporate securitization criteria as
part of our rating analysis on the notes in this transaction. As
part of our analysis, we assess whether the operating cash flows
generated by the borrower are sufficient to make the payments
required under the notes' loan agreements by using a debt service
coverage ratio (DSCR) analysis under a base-case and a downside
scenario. Our view of the borrowing group's potential to generate
cash flows is informed by our base-case operating cash flow
projection and our assessment of its business risk profile (BRP),
which we derive using our corporate methodology.

Recent performance and events

For the financial year ending in September 2020 (FY2020), UPP
reported annual FY2020 EBITDA of GBP84.2 million, about 33% below
the reported FY2019 results. Over the same period the borrower
disposed of 31 pubs from the securitized portfolio, representing a
decline in UPP's estate size of 1.6%. UPP ended FY2020 with a
securitized estate of 1,870 pubs, the largest estate among our
rated U.K. pub universe.

Following a third national lockdown in England, the U.K. government
gave the go-ahead for pubs to reopen beginning on April 12, 2021,
with a May 17, 2021, opening date for indoor service. Furthermore,
with the summer approaching, indoor restrictions will have a muted
effect on trading performance. More promising, the speed of the
rollout of the vaccination program in the U.K. and the U.K.
government's target that the adult population be offered at least
the first dose of an available vaccine by the end of summer bode
well for next autumn and winter.

S&P said, "We continue to assess the borrower's BRP as fair,
supported by the group's sizeable scale of operations as part of
the recently consolidated Stonegate Pub Company (the largest pub
operator in the U.K.), its higher-than-average profitability, and
the earnings stability that its tied-in leased and tenanted (L&T)
model provides. We believe that, together with the
cash-preservation measures put in place over the lockdown period,
the above factors will support UPP's longer-term recovery in
earnings toward more sustainable levels."

Issuer's liquidity position

Owing to the third national lockdown in England that spanned the
second quarter of trading for the borrower, the issuer's liquidity
position at the end of March 2021 had deteriorated.

The outstanding issuer/borrower loan balance after the March
payment date is GBP659.4 million. To meet principal and interest
payments for the quarter, the borrower drew GBP6.0 million on its
cash reserve, which is available to cover the borrower's senior
fees and payments on the loans.

The remaining cash reserve account balance after the March 2021
payment date is GBP42.99 million.

The committed liquidity facility remains fully undrawn with GBP152
million available to the issuer.

Rating Rationale

Unique Pub Finance's primary sources of funds for principal and
interest payments on the outstanding notes are the loan interest
and principal payments from the borrower, which are ultimately
backed by future cash flows generated by the operating assets. Our
ratings on the notes address the timely payment of interest and
principal due on the class A4 notes, and the ultimate payment of
interest and principal due on the class M and N notes.

In S&P's view, the transaction's credit quality has declined due to
health and safety fears related to COVID-19. It believes this will
negatively affect the cash flows available to the issuer.

DSCR analysis

S&P's cash flow analysis serves to both assess whether cash flows
will be sufficient to service debt through the transaction's life
and to project minimum DSCRs in our base-case and downside
scenarios.

In the face of the liquidity stress resulting from the COVID-19
pandemic on those sectors directly affected by the U.K.
government's response, our current view is that the hardest-hit
sectors will not recover to 2019 levels until 2023 or later.
Importantly, it is our current view that the pandemic will not have
a lasting effect on the industries and companies themselves,
meaning that the long-term creditworthiness of the underlying
companies will not fundamentally or materially deteriorate over the
long term.

S&P said, "Our downside analysis provides unique insight into a
transaction's ability to withstand the liquidity stress
precipitated by the closure of pubs in the U.K. Given those
circumstances, the outcome of our downside analysis alone
determines the resilience-adjusted anchor. As a result, our
analysis begins with the construction of a base-case projection
from which we derive a downside case. However, we have not
determined our anchor, which does not reflect the liquidity support
at the issuer level--which we see as a mitigating factor to the
liquidity stress we expect to result from the U.K. government's
response to the COVID-19 pandemic. Rather, we developed the
downside scenario from the base case to assess whether the COVID-19
liquidity stress would have a negative effect on the
resilience-adjusted anchor for each class of notes.

"That said, we performed the base-case analysis to assess whether,
post-pandemic, the anchor would be adversely affected given the
long-term prospects currently assumed under our base-case
forecast.

Base-case forecast

S&P typically does not give credit to growth after the first two
years, however in this review, it considers the growth period to
continue through FY2023 to accommodate both the duration of the
COVID-19 stress and the subsequent recovery.

UPP's earnings depend largely on general economic activity and
discretionary consumer demand. Considering the state of and
prognoses for the COVID-19 pandemic, our current assumptions
include:

-- Conditions for a rapid, consumer-led recovery remain in place,
with strong fiscal and monetary policy support.

-- The recovery will begin in second-quarter 2021 but from a much
lower starting point because of the contraction in the first
quarter, with the U.K.'s third national lockdown limiting GDP
growth in 2021 to 4.3%.

-- S&P's forecast is subject to significant uncertainty on both
sides because of the unique and novel shock that the pandemic and
lockdowns present.

-- Conditions for a strong recovery remain in place. The U.K.'s
swift progress with its vaccination program (now in a race against
the spread of viral variants) is very good news in this regard,
complemented by continuing fiscal and monetary support for
households and businesses. The recovery is not forgone, only
postponed. S&P expects a strong rebound to set in from the second
quarter, which will spill over into 2022 with growth of 6.8% (5.0%
earlier), before slowing to 2.2% in 2023 as momentum from the
recovery fades.

-- Businesses are now better prepared for, and have adapted to,
operating under lockdowns. The data confirm that the effect of
subsequent lockdowns on economic activity decreases over time.

-- Considering the potential effect from the third national
lockdown and the subsequent recovery prospects, we have revised our
forecast for 2021.

Downside DSCR analysis

S&P said, "Our downside DSCR analysis tests whether the
issuer-level structural enhancements improve the transaction's
resilience under a moderate stress scenario. UPP falls within the
pubs, restaurants, and retail industry. Considering U.K. pubs'
historical performance during the financial crisis of 2007-2008, in
our view, a 25% decline in EBITDA from our base case is appropriate
for the tenanted pub subsector.

"Our current expectations are that the COVID-19 liquidity stress
will result in a reduction in EBITDA that is far greater than the
25% decline we would normally assume under our downside stress.
Hence, our downside scenario comprises both our short- to
medium-term EBITDA projections during the liquidity stress period
and our long-term forecast, but with the level of ultimate recovery
limited to 25% lower than what we would assume for a base-case
forecast over the long-term. For example, our downside scenario
forecast of EBITDA reflects our base-case assumptions for recovery
into FY2021 until the level of EBITDA is within 75% of our
projected long-term EBITDA.

"Our downside DSCR analysis resulted in a strong resilience score
for the class A notes, and weak resilience scores for the class M
and N notes, which are unchanged from our previous review. This
reflects the headroom above a 1.8:1.0 DSCR threshold that is
required under our criteria to achieve a strong resilience score
after considering the level of liquidity support available to class
A notes."

Both the class M and N notes have limits on the amount of the
liquidity facility they may use to cover liquidity shortfalls.
Moreover, any more-senior classes may draw on those same amounts,
which makes the exercise of determining the amount of the liquidity
support available to the class M and N notes dynamic. S&P's ratings
on the class M and N notes address the ultimate payment of interest
and principal due on the notes. Due to their deferrable feature,
which means that these notes cannot default before their legal
final maturity date (March 2032), these classes of notes will not
experience interest shortfalls under its downside DSCR analysis
within three to four years. Consequently, the resulting resilience
scores are weak for both classes of notes.

Each class' resilience score corresponds to rating
categories--excellent at 'AAA' through vulnerable at 'B'. Within
each category, the recommended resilience-adjusted anchor reflect
notching based on where the downside DSCR falls within a range (for
the class A notes) or the length of time the notes will survive
before we project shortfalls (for the class M and N notes). As a
result, the resilience-adjusted anchors for each class of notes
would not be adversely affected under our downside scenario.

Liquidity facility adjustment

Given that we have given full credit to the liquidity facility
amount available to each class of notes, a further one-notch
increase to any of the resilience-adjusted anchors is not
warranted.

Modifiers analysis

S&P said, "We applied a one-notch downward adjustment to the class
N notes to reflect their subordination and weaker access to the
security package compared to the class M notes. We have also
applied a two-notch downward adjustment to the class A notes to
reflect the weaknesses of the effectiveness of the two main
covenant tests (financial covenant and restricted payment condition
covenant), which is unchanged since our Nov. 22, 2019 review.

"As mentioned, we performed our base-case analysis to assess
whether, post-COVID-19, the anchor would be adversely affected
given the long-term prospects currently assumed in our base-case
forecast. Based on our post-COVID-19 base-case analysis, which
reflect the performance from FY2023 and beyond, we have concluded
that the anchor would not be adversely affected."

Comparable rating analysis

A comparison of the potential ratings (following the modifiers
analysis) for notes issued by The Unique Pub Finance and the
ratings on the comparable class (by seniority) issued by Marston's
Issuer PLC shows that the relative ratings for the class A notes
are commensurate to the relative strengths and weaknesses between
the borrowers in each transaction.

The BRP for both transactions is weaker than other pubco's with a
fair BRP. On one hand, UPP's estate is larger, which enhances its
economies of scale and provides better regional diversification
than that of Marston's. On the other hand, Unique Pub Finance's L&T
model and a wet-led orientation lead to weak earnings and cash flow
generation per pub, and could expose the group to weaker trading
performance in a market with declining on-trade beer consumption.

In S&P's view, UPP's larger estate size outweighs the benefits from
Marston's growing presence in the managed segment.

Based on those comparisons, S&P does not apply any additional
adjustment due to our comparable rating analysis.

Counterparty risk

Due to weaker replacement provisions in the related agreements, S&P
does not consider the liquidity facility and bank account providers
to be in line with its current counterparty criteria. As a result,
the application of these criteria caps the ratings at the weakest
issuer credit rating (ICR) among the bank account providers
(National Westminster Bank PLC and Barclays Bank PLC), and the
liquidity facility provider, NatWest Markets PLC.

This combination of factors results in a maximum supported rating
on the notes at the level of the lowest applicable rating among the
ICR on the account banks, and the ICR on the liquidity facility
provider. The current minimum applicable rating is above the rating
on the senior notes, so they do not currently constrain our
ratings.

Outlook

S&P said, "Over the next 12 to 24 months, we expect that the pub
sector's earnings visibility will remain low as the sector grapples
with several issues, with full-year revenue to recover to 2019
levels only by 2022. Factoring the significant cash burn during the
closures and deferral of maintenance capital expenditures (capex),
we expect pub operators to prioritize investment over deleveraging
and that credit metrics will take time to recover to 2019 levels,
with our current expectation being 2023. Our expectations of
recovery in profitability and credit metrics in 2022 and 2023 will
be the key factors in shaping our views of issuers' underlying
credit quality and will be the main reason for any rating actions.

"At the same time, we anticipate that food-led operators with
takeaway models and pubs that appeal to families, will fare better
than their drinks-led counterparts. For many rated pub operators,
their significant freehold property portfolios have offered
substantial operational and financial flexibility, but we have yet
to see meaningful large-scale valuation support from conversions or
alternative uses for pub properties. Rather, we expect that their
quality of earnings to be a more defining factor in the credit
profile compared to the quantum of real estate ownership. We expect
L&T operators will continue supporting tenants in the recovery
phase, leading to a potentially slower improvement in earnings
compared with that of managed operators.

"As we receive more issuer-specific and industry-level data, we
will assess the transaction to determine whether rating actions are
warranted."

Downside scenario

S&P said, "We may consider lowering our rating on the class A notes
if their minimum projected DSCRs in our downside scenario have a
material-adverse effect on the class A notes' resilience-adjusted
anchor.

"We may also consider lowering our rating on the class A notes if
the minimum forecast DSCRs falls below 1.4:1.0 in our base-case
scenario.

"We could also lower our ratings on the class M or N notes if there
were a further deterioration in our assessment of the borrower's
overall creditworthiness, which reflects its financial and
operational strength over the short-to-medium term. This could be
the result of increased leverage at UPP, driven by a failure to
recover earnings and free cash flow following the impact of the
pandemic, or a material increase in outstanding debt.

"However, there have been a number of positive developments that,
in our view, reduce the likelihood of future nationwide lockdowns
in England and put the U.K. government in a position to take
further, non-regressive, steps toward easing restrictions over the
coming months. Beyond the reopening of pubs across the U.K. for
outdoor service on April 12, 2021, and the expected start of indoor
service on May 17, 2021, the speed of the rollout of the
vaccination program in the U.K. and the U.K. government's target
that the adult population be offered at least the first dose of an
available vaccine by the end of summer bodes well for next autumn
and winter. Finally, the quality of earnings will, in our view, be
largely driven by the ability to invest and tailor their offering
to changes to consumer behavior post-pandemic."

Upside scenario

Due to the current economic situation, S&P does not anticipate
raising its assessment of UPP's BRP over the near to medium term.

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

-- Health and safety




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

[*] BOND PRICING: For the Week May 10 to May 14, 2021
-----------------------------------------------------
Issuer                  Coupon  Maturity     Currency  Price
------                  ------  --------     --------  -----
Fuerstenberg Capital I     5.625                 EUR    44.445
Casino Guichard Perrac     3.992                 EUR    67.940
Casino Guichard Perrac     0.767                 EUR    38.774
Rallye SA                  4.000  04/02/2021     EUR    28.333
Intralot Capital Luxem     5.250  9/15/2024      EUR    57.610
Obrascon Huarte Lain S     4.750  3/15/2022      EUR    70.500
Mitsubishi UFJ Investo     3.960 12/15/2050      EUR    58.693
PB International BV        7.625  1/26/2022      USD    27.000
Accor SA                   0.700  12/07/2027     EUR    55.793
Air France-KLM             0.125  3/25/2026      EUR    15.388
Andrade Gutierrez Inte     9.500 12/30/2024      USD    53.484
Naviera Armas SA           6.500  7/31/2023      EUR    60.240
Orient Express Bank PJ    10.000                 USD    30.750
Mallinckrodt Internati     5.750  08/01/2022     USD    74.250
VIC Properties SA          3.000  5/28/2025      EUR    70.000
Distribuidora Internac     0.875  04/06/2023     EUR    67.298
BNP Paribas SA             7.625                 USD    99.963
Norwegian Air Shuttle      7.250  11/11/2022     EUR    45.000
Korian SA                  0.875  03/06/2027     EUR    57.157
Jain International Tra     7.125  02/01/2022     USD    21.000
FIGEAC-AERO                1.125 10/18/2022      EUR    21.542
Obrascon Huarte Lain S     5.500  3/15/2023      EUR    69.339
Mallinckrodt Internati     4.750  4/15/2023      USD    11.500
Moby SpA                   7.750  2/15/2023      EUR    23.557
EYEMAXX Real Estate AG     5.500  4/26/2023      EUR    71.390
O1 Properties Finance      0.500  9/27/2028      USD    14.000
Rallye SA                  4.371  1/23/2023      EUR    28.000
Voltalia SA                1.000  1/13/2025      EUR    33.251
Quadient SA                3.375                 EUR    57.735
HOCHDORF Holding AG        2.500                 CHF    53.080
Cooperativa Muratori &     6.000  2/15/2023      EUR     2.880
Biocartis Group NV         4.000  05/09/2024     EUR    70.044
Neoen SA                   2.000  06/02/2025     EUR    58.060
Econocom Group SA/NV       0.500  03/06/2023     EUR     7.327
Wirecard AG                0.500  09/11/2024     EUR     9.006
Cooperativa Muratori &     6.875  08/01/2022     EUR     2.596
Officine Maccaferri-Sp     5.750  06/01/2021     EUR    35.515
Pierre Et Vacances SA      2.000  04/01/2023     EUR    29.226
Nexity SA                  0.125  01/01/2023     EUR    65.615
Nostrum Oil & Gas Fina     8.000  7/25/2022      USD    23.500
Union Fenosa Preferent     1.113                 EUR    70.420
Maisons du Monde SA        0.125  12/06/2023     EUR    44.132
Neoen SA                   1.875  10/07/2024     EUR    49.203
Vallourec SA               4.125  10/04/2022     EUR     5.948
Korian SA                  2.500                 EUR    43.096
Mallinckrodt Internati     5.625 10/15/2023      USD    75.000
Turkey Government Bond     8.000  03/12/2025     TRY    72.800
Naviera Armas SA           4.250 11/15/2024      EUR    60.295
Paper Industries Inter     6.000  03/01/2025     EUR    70.000
Intelsat Jackson Holdi     5.500  08/01/2023     USD    62.000
Valaris plc                7.750  02/01/2026     USD    11.000
Metro Bank PLC             5.500  6/26/2028      GBP    60.617
Rallye SA                  3.250  02/08/2024     CHF    28.007
Koninklijke Luchtvaart     0.750                 CHF    25.000
Norwegian Air Shuttle      5.000  02/07/2023     SEK    46.322
Valaris plc                5.200  3/15/2025      USD    11.000
Intu Debenture PLC         5.562 12/31/2027      GBP    46.833
SAS AB                     3.406                 SEK    71.000
Stockmann OYJ Abp         10.750                 EUR    44.750
Intelsat Luxembourg SA     8.125  06/01/2023     USD     8.125
Hurricane Energy PLC       7.500  7/24/2022      USD    50.425
Fuerstenberg Capital E     1.301                 EUR    44.333
Rallye SA                  5.250  02/01/2022     EUR    27.929
Genfit                     3.500 10/16/2025      EUR    19.177
Scandinavian Airlines      0.625                 CHF    23.261
Wasps Finance Plc          6.500  5/13/2022      GBP    70.299
Travelex Financing PLC     8.000  5/15/2022      EUR     1.588
Mallinckrodt Internati     5.500  4/15/2025      USD    75.000
Thomas Cook Group PLC      6.250  6/15/2022      EUR     0.836
Nexity SA                  0.250  03/02/2025     EUR    69.151
Cabonline Group Holdin     7.500  12/09/2022     SEK    80.583
Lambay Capital Securit     6.250                 GBP     0.082
Debenhams PLC              5.250  7/15/2021      GBP     1.751
Valaris plc                5.750  10/01/2044     USD    10.875
Abengoa Abenewco 2 Bis     1.500  4/26/2024      EUR     0.982
Senvion Holding GmbH       3.875 10/25/2022      EUR     0.782
ADLER Real Estate AG       2.500  7/19/2021      EUR    13.937
Swissport Investments      6.750 12/15/2021      EUR     0.942
Intelsat Jackson Holdi     8.500 10/15/2024      USD    62.938
Norddeutsche Landesban     7.780                 EUR    65.547
Galapagos Holding SA       7.000  6/15/2022      EUR     7.498
Linas Matkasse Newco A     8.000  10/09/2022     SEK    55.750
Nostrum Oil & Gas Fina     7.000  2/16/2025      USD    20.759
Air Berlin PLC             8.250  4/19/2018      EUR     0.895
EOS Imaging SA             6.000  5/31/2023      EUR     6.765
Rallye SA                  4.000 11/23/2020      CHF    28.200
Intelsat Jackson Holdi     9.750  7/15/2025      USD    63.438
Swissport Investments      9.750 12/15/2022      EUR    45.679
Hellenic Republic Gove     2.085  7/25/2057      EUR    50.375
Offshore Drilling Hold     8.375  9/20/2020      USD     9.624
Privatbank CJSC Via UK    10.250  1/23/2018      USD    30.002
Rallye SA                  3.400  1/31/2022      EUR    28.961
Dexia Credit Local SA      1.187                 EUR     3.143
Yell Bondco PLC            8.500  05/02/2023     GBP    40.054
EA Partners II BV          6.750  06/01/2021     USD    44.000
Valaris plc                4.875  06/01/2022     USD     7.027
Air Berlin PLC             6.750  05/09/2019     EUR     0.259
Hema Bondco II BV          8.500  1/15/2023      EUR     0.122
Virgolino de Oliveira     10.500  1/28/2018      USD     0.949
Avangardco Investments    10.000 10/29/2018      USD     1.500
Bank Otkritie Financia    10.000  4/26/2019      USD     9.539
UkrLandFarming PLC        10.875  3/26/2018      USD     2.886
Valaris plc                8.000  1/31/2024      USD    11.000
Mitsubishi UFJ Investo     3.700 12/30/2099      EUR     5.969
Santhera Pharmaceutica     5.000  2/17/2022      CHF    39.609
Intelsat Connect Finan     9.500  2/15/2023      USD    36.000
Stichting Afwikkeling      6.250 10/26/2020      EUR     5.365
Eramet SA                  4.000                 EUR    63.346
Stobart Finance PLC        2.750  05/08/2024     GBP    65.000
Valaris plc                4.500  10/01/2024     USD     3.980
EA Partners I BV           6.875  9/28/2020      USD     0.774
Valaris plc                4.700  3/15/2021      USD    11.000
HI Bidco AS                8.480  1/30/2023      NOK    69.087
BAT International Fina     2.250  09/09/2052     GBP    74.157
Societe Centrale des B     2.500  5/15/2023      EUR     6.880
FF Group Finance Luxem     3.250  11/02/2021     CHF     9.769
FF Group Finance Luxem     1.750  07/03/2019     EUR     5.304
Claranova SADIR            5.000  07/01/2023     EUR     1.110
Deutsche Bank AG           2.652  6/28/2033      USD    70.530
Vseukrainsky Aktsinern    10.900  6/14/2019      USD     1.056
Intelsat Luxembourg SA     7.750  06/01/2021     USD     5.000
WD Invest Sarl             1.900  10/02/2024     EUR     8.375
Catena Media PLC           7.984                 SEK    64.164
Banco Espirito Santo S     7.125 11/28/2023      EUR     0.096
Rickmers Holding AG        8.875  06/11/2018     EUR     0.766
Mallinckrodt Internati     5.750  08/01/2022     USD    65.250
Lehman Brothers UK Cap     5.125                 EUR     7.919
Thomas Cook Finance 2      3.875  7/15/2023      EUR     1.024
Joh Friedrich Behrens      6.250  6/18/2024      EUR    43.028
Stichting Afwikkeling     11.250                 EUR     1.210
DOF Subsea AS              9.500  3/14/2022      USD    25.172
OGX Austria GmbH           8.375  04/01/2022     USD     0.001
Andrade Gutierrez Inte     9.500 12/30/2024      USD    53.484
CNP Assurances             2.000                 EUR    50.005
Joh Friedrich Behrens      7.750  11/11/2020     EUR    44.160
Privatbank CJSC Via UK    11.000  02/09/2021     USD     9.042
Grupo Isolux Corsan SA     1.000 12/30/2021      EUR     0.267
New World Resources NV     4.000  10/07/2020     EUR     0.912
Havila Shipping ASA        4.880  01/02/2025     NOK    24.631
Rallye SA                  1.000  10/02/2020     EUR    27.304
Hamon & CIE SA             3.300  1/30/2025      EUR    44.750
Mallinckrodt Internati     5.500  4/15/2025      USD    74.867
Lehman Brothers UK Cap     3.875                 EUR     7.398
OGX Austria GmbH           8.500  06/01/2018     USD     0.001
DOF Subsea AS              8.450 11/27/2023      NOK    25.196
Alno AG                    8.500  5/14/2018      EUR    14.770
Bourbon Corp               7.989                 EUR     0.273
KTG Agrar SE               7.125  06/06/2017     EUR     2.932
Hellenic Bank PCL         10.000                 EUR    46.066
Dexia SA                   1.232                 EUR     1.351
Agrokor dd                 9.875  05/01/2019     EUR    15.000
German Pellets GmbH        7.250 11/27/2019      EUR     0.588
Lehman Brothers UK Cap     6.900                 USD     2.745
Mallinckrodt Internati     5.625 10/15/2023      USD    74.940
Espirito Santo Financi     6.875 10/21/2019      EUR     0.301
Valaris plc                7.375  6/15/2025      USD    13.750
Alpine Holding GmbH        6.000  5/22/2017      EUR     1.007
Gamalife - Cia de Segu     2.957                 EUR    69.997
JZ Capital Partners Lt     6.000  7/30/2021      GBP     9.050
Yuksel Insaat AS           9.500  11/10/2015     USD     2.495
CBo Territoria             3.750  07/01/2024     EUR     4.700
Alitalia-Societa Aerea     5.250  7/30/2020      EUR     1.699
Virgolino de Oliveira     11.750  02/09/2022     USD     1.545
Cirio Finanziaria SpA      8.000 12/21/2005      EUR     1.375
Senivita Social Estate     2.000  05/12/2025     EUR     9.700
Verimatrix SA              6.000  6/29/2022      EUR     3.951
Cirio Holding Luxembou     6.250  2/16/2004      EUR     0.620
Allied Irish Banks PLC    12.500  6/25/2035      GBP    60.614
Autonomous Community o     2.965  09/08/2039     JPY    71.910
Norske Skog Holding AS     8.000  2/24/2021      EUR     0.006
Immigon Portfolioabbau     5.795                 EUR    12.466
Privatbank CJSC Via UK    10.875  2/28/2018      USD    29.749
Abengoa Abenewco 2 Bis     1.500  4/26/2024      USD     0.903
Pongs & Zahn AG            8.500  11/01/2014     EUR     0.002
Banca Popolare di Vice     2.821 12/20/2017      EUR     0.150
Tresu Investment Holdi     5.000  9/29/2022      EUR    28.255
Valaris plc                5.850  1/15/2044      USD    14.000
Valaris plc                5.400  12/01/2042     USD    12.337
Norske Skogindustrier      7.000 12/30/2026      EUR     0.001
Norwegian Air Shuttle      6.375 11/15/2024      USD    50.750
Bilt Paper BV              9.640                 USD     1.000
Finmek International S     7.000  12/03/2004     EUR     2.193
Valaris plc                4.750  1/15/2024      USD    14.000
Banca Popolare di Vice     9.500  9/29/2025      EUR     0.049
Banco Espirito Santo S     2.106                 EUR     0.100
EDOB Abwicklungs AG        7.500  04/01/2012     EUR     2.351
Lehman Brothers UK Cap     5.750                 EUR     2.225
Virgolino de Oliveira     10.500  1/28/2018      USD     0.949
Manchester Building So     6.750                 GBP    30.051
International Industri     9.000  07/06/2011     EUR     0.254
Veneto Banca SpA           9.878  12/01/2025     EUR     0.407
Portugal Telecom Inter     6.250  7/26/2016      EUR     0.175
KCA Deutag UK Finance      9.875  04/01/2022     USD    48.430
Air Berlin PLC             5.625  05/09/2019     CHF     0.513
International Industri    11.000  2/19/2013      USD     0.280
Nostrum Oil & Gas Fina     8.000  7/25/2022      USD    23.299
KCA Deutag UK Finance      9.625  04/01/2023     USD    49.709
Russian Federal Bond -     0.250  7/20/2044      RUB    19.000
Ghelamco Invest            4.500  5/23/2022      EUR    40.000
KPNQwest NV                7.125  06/01/2009     EUR     0.068
Credit Suisse AG/Londo     4.740  6/29/2022      USD     9.900
Kaupthing ehf              7.625  2/28/2015      USD     0.250
Autostrade per l'Itali     2.730  12/10/2038     JPY    28.682
Phones4u Finance PLC       9.500  04/01/2018     GBP    71.750
New World Resources NV     8.000  04/07/2020     EUR     0.036
Praktiker AG               5.875  02/10/2016     EUR     0.069
Kommunekredit              0.500  7/30/2027      TRY    32.432
Cooperatieve Rabobank      0.500 10/30/2043      MXN    14.404
Civitas Properties Fin     4.000 11/24/2022      EUR    47.000
Hellas Telecommunicati     6.054  1/15/2015      USD     0.001
Cooperatieve Rabobank      0.500 10/29/2027      MXN    62.920
Grupo Isolux Corsan SA     6.000 12/30/2021      EUR     0.732
Virgolino de Oliveira     10.875  1/13/2020      USD    32.000
Corporate Commercial B     8.250  08/08/2014     USD     0.308
SpareBank 1 SR-Bank AS     1.207 12/21/2030      EUR    73.990
Cooperatieve Rabobank      0.500  7/30/2043      MXN    14.493
Cooperatieve Rabobank      0.500  1/31/2033      MXN    37.498
ESFIL-Espirito Santo F     5.250  06/12/2015     EUR     1.311
Elli Investments Ltd      12.250  6/15/2020      GBP    52.265
Island Offshore Shipho     2.790  6/30/2021      NOK     2.651
Cirio Finance Luxembou     7.500  11/03/2002     EUR     2.545
Banco Espirito Santo S     6.875  7/15/2016      EUR    20.375
Steilmann SE               6.750  6/27/2017      EUR     2.184
Centrosolar Group AG       7.000  2/15/2016      EUR     2.505
Kaupthing ehf              5.750  10/04/2011     USD     0.250
Offshore Drilling Hold     8.375  9/20/2020      USD     9.624
CRC Breeze Finance SA      6.110  05/08/2026     EUR    30.272
O1 Properties Finance      8.250  9/27/2021      USD    13.569
Waste Italia SpA          10.500 11/15/2019      EUR     0.500
Cirio Del Monte NV         7.750  3/14/2005      EUR     0.510
Del Monte Finance Luxe     6.625  5/24/2006      EUR     4.426
Agrokor dd                 9.125  02/01/2020     EUR    15.000
Alno AG                    8.000  3/21/2019      EUR    15.250
OGX Austria GmbH           8.375  04/01/2022     USD     0.001
KPNQwest NV                8.875  02/01/2008     EUR     0.068
Norske Skogindustrier      2.000 12/30/2115      EUR     0.113
Bank Nadra Via NDR Fin     8.250  7/31/2018      USD     0.208
MaxFastigheter i Sveri     6.500                 SEK    50.104
ML 33 Invest AS            7.500                 NOK    61.704
Tennor Finance BV          5.750  6/17/2024      EUR    75.000
Sairgroup Finance BV       4.375  06/08/2006     EUR     0.233
Espirito Santo Financi     3.125  12/02/2018     EUR     1.752
LBI ehf                    6.100  8/25/2011      USD     9.904
KCA Deutag UK Finance      7.250  5/15/2021      USD    48.500
Caixa Economica Montep     5.000                 EUR    50.000
Banco Espirito Santo S     6.900  6/28/2024      EUR    20.375
UBS AG/London             14.000  07/06/2021     USD    69.760
Breeze Finance SA          6.708  4/19/2027      EUR    28.950
BNG Bank NV               10.010  6/17/2025      TRY    69.465
Intelsat Jackson Holdi     9.750  7/15/2025      USD    73.250
Veneto Banca SpA           6.411                 EUR     0.761
Intelsat Jackson Holdi     8.500 10/15/2024      USD    62.375
Pongs & Zahn AG            8.500                 EUR     0.002
Steilmann SE               7.000  03/09/2017     EUR     1.429
Grenke Finance PLC         0.819  2/15/2030      EUR    63.553
Chr Bygga Bostader Hol     9.000  07/05/2021     SEK    50.000
Stichting Afwikkeling      6.625  5/14/2018      EUR     5.375
Solstad Offshore ASA       3.900  9/24/2021      NOK     4.666
Bulgaria Steel Finance    12.000  05/04/2013     EUR     0.216
Hellas Telecommunicati     8.500 10/15/2013      EUR     0.540
Windreich GmbH             6.500  7/15/2016      EUR     4.315
Rena GmbH                  7.000 12/15/2015      EUR     2.096
Alpine Holding GmbH        5.250  07/01/2015     EUR     1.007
REM Saltire AS             7.200  6/30/2021      NOK    51.679
Manchester Building So     8.000                 GBP    34.667
KTG Agrar SE               7.250 10/15/2019      EUR     2.932
KPNQwest NV               10.000  3/15/2012      EUR     0.068
Abengoa Abenewco 2 Bis     1.500  4/26/2024      USD     1.315
AKB Peresvet ZAO           0.510  08/04/2034     RUB    36.860
Decipher Production Lt    12.500  9/27/2019      USD     1.500
Sairgroup Finance BV       6.625  10/06/2010     EUR     0.233
Agrokor dd                 8.875  02/01/2020     USD    15.000
Saleza AS                  9.000  07/12/2021     EUR     0.203
Naviera Armas SA           4.250 11/15/2024      EUR    60.805
Turkey Government Bond    11.700 11/13/2030      TRY    73.250
Phosphorus Holdco PLC     10.000  04/01/2019     GBP     0.613
Finance and Credit Ban     9.250  1/25/2019      USD     0.257
Mox Telecom AG             7.250  11/02/2017     EUR     1.354
SiC Processing GmbH        7.125  03/01/2016     EUR     2.614
Alpine Holding GmbH        5.250  06/10/2016     EUR     1.007
Depfa Funding III LP       0.040                 EUR    37.034
Veneto Banca SpA           6.950  2/25/2025      EUR     0.407
Officine Maccaferri-Sp     5.750  06/01/2021     EUR    35.515
Erotik-Abwicklungsgese     7.750  07/09/2019     EUR     0.779
La Veggia Finance SA       7.125 11/14/2004      EUR     0.287
WPE International Coop    10.375  9/30/2020      USD     4.922
Senvion Holding GmbH       3.875 10/25/2022      EUR     0.782
OGX Austria GmbH           8.500  06/01/2018     USD     0.001
Cattles Ltd                8.125  07/05/2017     GBP     0.027
Hema Bondco II BV          8.500  1/15/2023      EUR     0.122
Aralco Finance SA         10.125  05/07/2020     USD     0.934
KCA Deutag UK Finance      9.875  04/01/2022     USD    48.083
German Pellets GmbH        7.250  07/09/2018     EUR     0.588
Banco Espirito Santo S     2.286                 EUR     0.235
Windreich GmbH             6.500  03/01/2015     EUR     4.315
Credit Suisse AG/Londo    20.000 11/29/2024      USD    11.890
Dr Wiesent Sozial gGmb     7.000                 EUR     0.020
Deutsche Bank AG           0.687  10/11/2049     EUR    72.814
Yell Bondco PLC            8.500  05/02/2023     GBP    40.309
Turkiye Ihracat Kredi     12.540  9/14/2028      TRY    72.225
KCA Deutag UK Finance      7.250  5/15/2021      USD    48.417
SFO Akkord Finans         10.000  02/12/2024     RUB    61.540
Barclays Bank PLC          0.350  05/06/2022     USD     9.865
Banco Santander SA         1.860                 EUR     2.117
Deutsche Bank AG/Londo    13.750  6/20/2026      TRY    66.765
Lehman Brothers Treasu     5.220  03/01/2024     EUR     0.100
SAS AB                     4.407                 SEK    37.652
Espirito Santo Financi     9.750 12/19/2025      EUR     1.134
Agrokor dd                 9.875  05/01/2019     EUR    15.000
KCA Deutag UK Finance      9.625  04/01/2023     USD    49.709
Portugal Telecom Inter     5.242  11/06/2017     EUR     0.694
MS Deutschland Beteili     6.875 12/18/2017      EUR     1.920
BOA Offshore AS            0.409  7/17/2047      NOK     7.396
Sidetur Finance BV        10.000  4/20/2016      USD     2.749
Gold-Zack AG               7.000 12/14/2005      EUR    11.030
Intelsat Connect Finan     9.500  2/15/2023      USD    28.000
Virgolino de Oliveira     10.875  1/13/2020      USD    32.000
Rena GmbH                  8.250  07/11/2018     EUR     2.096
German Pellets GmbH        7.250  04/01/2016     EUR     0.588
AKB Peresvet ZAO           0.510  2/14/2032      RUB    11.000
Swissport Investments      9.750 12/15/2022      EUR    45.679
Uppfinnaren 1 AB          11.000                 SEK    40.000
International Finance      0.500  6/29/2027      ZAR    63.210
Russian Post FGUP          2.750  12/06/2023     RUB    70.000
Intralot Capital Luxem     5.250  9/15/2024      EUR    56.034
Credit Suisse AG/Londo     5.000  3/29/2023      USD     9.610
Promsvyazbank PJSC         2.500  9/29/2029      RUB    67.120
Havila Shipping ASA        4.130  01/02/2025     NOK    49.964
Ideal Standard Interna    11.750  05/01/2018     EUR     0.050
Paper Industries Inter     6.000  03/01/2025     EUR    70.000
Credit Agricole Corpor     5.400  1/31/2028      BRL    73.571
Stichting Afwikkeling      2.207                 EUR     1.210
Stichting Afwikkeling      8.450  8/20/2018      USD     5.375
Air Berlin Finance BV      8.500  03/06/2019     EUR     0.510
Getin Noble Bank SA        5.250  4/29/2024      PLN    50.146
Ahtium PLC                 4.000 12/16/2015      EUR     0.586
SAir Group                 6.250 10/27/2002      CHF    12.625
Vneshprombank Ltd Via      9.000 11/14/2016      USD     0.078
AKB Peresvet ZAO           0.510  6/23/2021      RUB    53.590
Top Gun Realisations 7     8.000  07/01/2023     GBP     1.476
Nostrum Oil & Gas Fina     7.000  2/16/2025      USD    23.482
Ahtium PLC                 9.750  04/04/2017     EUR     0.768
NTRP Via Interpipe Ltd    10.250  08/02/2017     USD    30.500
Rio Forte Investments      4.750  11/10/2015     EUR     5.720
UniCredit Bank AG         10.300 12/24/2021      EUR    68.030
DZ Bank AG Deutsche Ze     0.490  03/11/2031     EUR    43.346
getgoods.de AG             7.750  10/02/2017     EUR     0.291
Golfino AG                 8.000 11/18/2023      EUR     0.010
DekaBank Deutsche Giro     6.000  06/02/2021     EUR    57.110
Depfa Funding II LP        6.500                 EUR    60.474
Norske Skogindustrier      7.125 10/15/2033      USD     0.001
Rio Forte Investments      4.000  7/22/2014      EUR     5.859
Moby SpA                   7.750  2/15/2023      EUR    23.557
A-TEC Industries AG        8.750 10/27/2014      EUR     0.100
SAir Group                 4.250  02/02/2007     CHF    12.625
Deutsche Agrar Holding     7.250  9/28/2018      EUR     1.254
Commerzbank AG             0.085 11/19/2029      EUR    64.718
Solship Invest 1 AS        5.000  12/08/2024     NOK     6.682
Societe Generale SA        8.000  8/18/2021      USD    34.060
Steilmann SE               7.000  9/23/2018      EUR     1.429
Rio Forte Investments      3.900  07/10/2014     USD     5.394
Credit Suisse AG/Londo     6.500  3/28/2022      USD     4.420
City of Predeal Romani     2.500  5/15/2026      RON    61.000
Barclays Bank PLC          2.000  06/12/2029     TRY    31.926
Air Berlin Finance BV      6.000  03/06/2019     EUR     0.315
HSBC Bank PLC              0.500  6/23/2027      MXN    65.005
Espirito Santo Financi     5.050 11/15/2025      EUR     1.230
Deutsche Bank AG/Londo     0.500 10/18/2038      MXN    15.015
Credit Suisse AG/Londo    12.250  02/08/2024     USD     9.750
Gebr Sanders GmbH & Co     8.750 10/22/2018      EUR     9.492
Dolphin Drilling ASA       4.490  8/28/2019      NOK     0.644
Sequa Petroleum NV         5.000  4/29/2020      USD    28.764
Veneto Banca SpA           6.944  5/15/2025      EUR     0.407
Kingdom of Belgium         0.459  7/23/2079      EUR    71.829
Lloyds Bank PLC            0.500  7/26/2028      MXN    59.466
SAir Group                 6.250  04/12/2005     CHF    12.625
Barclays Bank PLC          0.500  4/13/2022      USD
Norske Skogindustrier      7.125 10/15/2033      USD     0.001
Pescanova SA               5.125  4/20/2017      EUR     0.319
Pescanova SA               8.750  2/17/2019      EUR     0.319
UBS AG/London             10.250  4/19/2021      EUR    73.950
BNP Paribas Issuance B     6.550  3/28/2025      EUR    64.350
Credit Suisse AG/Londo     6.250 10/31/2025      USD    11.501
Activa Resources AG        0.500 11/15/2021      EUR     1.000
SAir Group                 5.500  7/23/2003      CHF    12.625
BLT Finance BV            12.000  02/10/2015     USD    10.500
Galapagos Holding SA       7.000  6/15/2022      EUR     7.498
Lehman Brothers Treasu     1.000  10/05/2035     EUR     0.100
Barclays Bank PLC          5.000  11/01/2029     BRL    65.893
Muehl Product & Servic     6.750  03/10/2005     DEM     0.080
Virgolino de Oliveira     11.750  02/09/2022     USD     1.545
Solon SE                   1.375  12/06/2012     EUR     0.544
Societe Generale SA        6.000  05/09/2022     USD    13.950
Leonteq Securities AG/     5.880  6/16/2021      EUR    16.600
SG Issuer SA               5.000  5/23/2024      EUR    61.930
Golden Gate AG             6.500  10/11/2014     EUR    37.600
Thomas Cook Finance 2      3.875  7/15/2023      EUR     1.024
Lehman Brothers Treasu     0.188  11/02/2035     EUR     0.100
Otkritie Holding JSC       0.010  10/03/2036     RUB     0.010
Swissport Investments      6.750 12/15/2021      EUR     0.942
Bank Otkritie Financia     0.010  9/24/2025      RUB    71.050
Credit Suisse AG/Londo     4.970  4/29/2022      USD     9.900
Zurcher Kantonalbank F    11.000  7/22/2021      CHF    67.350
Banco Espirito Santo S    10.000  12/06/2021     EUR     0.098
AKB Peresvet ZAO          13.000  10/07/2017     RUB    46.500
Danske Bank A/S            5.300  7/15/2023      SEK    45.850
Societe Generale SA       22.000  11/03/2022     USD    58.400
COFIDUR SA                 0.100 12/31/2024      EUR    24.050
Bibby Offshore Service     7.500  6/15/2021      GBP    11.500
Intelsat Jackson Holdi     9.750  7/15/2025      USD    73.250
Credit Agricole Corpor    10.320  7/22/2026      TRY    70.737
BRAbank ASA                7.440                 NOK    57.933
ECM Real Estate Invest     5.000  10/09/2011     EUR    15.375
UniCredit Bank AG          0.115 11/19/2029      EUR    71.236
SG Issuer SA               0.263  2/20/2025      EUR    19.940
Leonteq Securities AG/     6.400  11/03/2021     CHF    51.020
Societe Generale SA       12.560  09/08/2023     USD
Cooperativa Muratori &     6.875  08/01/2022     EUR     2.596
Credit Agricole Corpor    10.500  2/16/2027      TRY    71.062
Credito Padano Banca d     3.100                 EUR    34.168
New World Resources NV     8.000  04/07/2020     EUR     0.036
SAir Group                 2.125  11/04/2004     CHF    12.625
Agrokor dd                 8.875  02/01/2020     USD    15.000
Norske Skog Holding AS     8.000  2/24/2023      USD     0.006
Cooperatieve Rabobank      0.500 11/30/2027      MXN    62.901
SALVATOR Vermoegensver     9.500 12/31/2021      EUR     9.250
Leonteq Securities AG     12.500  5/20/2021      CHF    64.860
Tonon Luxembourg SA        9.250  1/24/2020      USD     1.000
Landesbank Hessen-Thue     0.650  10/01/2031     EUR    10.320
Grupo Isolux Corsan SA     0.250 12/30/2018      EUR     0.265
Agrokor dd Via Aquariu     4.921  08/08/2017     EUR    14.625
International Bank of      8.250  10/09/2024     USD    60.375
Windreich GmbH             6.750  03/01/2015     EUR     4.315
Instabank ASA              5.380  3/28/2028      NOK    71.087
Minicentrales Dos SA       0.010  06/06/2047     EUR    67.347
Societe Generale SA       12.000  07/08/2021     USD
Landesbank Baden-Wuert     6.000  8/27/2021      EUR    55.880
Leonteq Securities AG/     3.350 12/13/2021      EUR    68.630
Santander Consumer Ban     5.280                 NOK    61.002
Barclays Bank PLC          1.450  9/24/2038      MXN    31.388
Astana Finance BV          7.875  06/08/2010     EUR    16.000
SG Issuer SA               4.000  7/20/2021      SEK    71.000
Societe Generale SA        6.000  06/06/2022     USD    14.700
BNP Paribas Emissions-    10.000  6/24/2021      EUR    60.000
Phones4u Finance PLC       9.500  04/01/2018     GBP    71.750
Thomas Cook Group PLC      6.250  6/15/2022      EUR     0.836
BNP Paribas SA             1.000  1/23/2040      MXN    19.850
Tonon Luxembourg SA       12.500  5/14/2024      USD     0.399
Espirito Santo Financi     0.352 10/27/2024      EUR     0.300
A-TEC Industries AG        5.750  11/02/2010     EUR     0.100
Instabank ASA              7.380                 NOK    48.428
A-TEC Industries AG        2.750  05/10/2014     EUR     0.100
KPNQwest NV                7.125  06/01/2009     EUR     0.068
UniCredit Bank AG          6.600  7/20/2028      EUR    45.780
Landesbank Hessen-Thue     7.000 10/20/2022      EUR    53.810
Metalloinvest Holding      0.010  03/10/2022     RUB    73.160
UkrLandFarming PLC        10.875  3/26/2018      USD     2.886
Credit Agricole Corpor    10.200  08/06/2026     TRY    70.375
Kaupthing ehf              5.750  10/04/2011     USD     0.250
Credit Agricole Corpor    11.190  1/15/2026      TRY    74.476
SAir Group                 0.125  07/07/2005     CHF    12.625
Credit Agricole CIB Fi     0.390 12/16/2032      EUR    61.601
Cooperativa Muratori &     6.000  2/15/2023      EUR     2.880
KPNQwest NV                8.875  02/01/2008     EUR     0.068
Cooperatieve Rabobank      0.500 12/29/2027      MXN    62.277
Skandinaviska Enskilda     9.500  7/17/2023      SEK    75.520
SAir Group                 5.125  03/01/2003     CHF    12.500
Barclays Bank PLC          2.730  9/27/2024      EUR    71.810
Resa SA/Belgium            1.950  7/22/2036      EUR    50.000
Archer Finance OOO         9.250  3/29/2022      RUB     0.020
Solarwatt GmbH             7.000  11/01/2015     EUR    15.500
LBI ehf                    6.100  8/25/2011      USD     9.904
Northland Resources AB     4.000 10/15/2020      NOK     0.271
AlphaNotes ETP Dac         0.010  09/09/2029     USD    68.996
Bulgaria Steel Finance    12.000  05/04/2013     EUR     0.216
Samaratransneft-Termin    17.000  6/20/2021      RUB    32.000
Societe Generale SA        4.500 12/29/2022      USD     4.190
Credit Suisse AG/Londo     8.750  5/20/2021      GBP    63.250
UniCredit Bank AG          5.050  01/11/2022     EUR    35.870
Credit Suisse AG/Londo     8.000  05/04/2021     EUR    74.560
SAG Solarstrom AG          6.250 12/14/2015      EUR    31.000
Santander Consumer Ban     5.280                 NOK    60.483
Kaupthing ehf              4.390 10/14/2008      CZK     0.250
SAir Group                 2.750  7/30/2004      CHF    12.625
Otkritie Holding JSC      10.000  4/20/2028      RUB     2.440
Credito Padano Banca d     3.100                 EUR    33.959
EDOB Abwicklungs AG        7.500  04/01/2012     EUR     2.351
Mriya Agro Holding PLC     9.450  4/19/2018      USD     4.376
Barclays Bank PLC          0.500  1/28/2033      MXN    35.423
Espirito Santo Financi     5.125  5/30/2016      EUR     1.526
Cooperatieve Rabobank      0.500  8/21/2028      MXN    58.521
HSBC Bank PLC             10.300  12/10/2024     TRY    74.156
Raiffeisen Switzerland     5.500  7/26/2021      EUR    54.580
EFG International Fina     6.130  6/20/2024      EUR     2.990
Skandinaviska Enskilda     8.300  7/17/2023      SEK    73.280
Landesbank Hessen-Thue     5.400  04/05/2023     EUR    47.360
Nordea Bank Abp            4.100  7/20/2023      SEK    51.500
SG Issuer SA               3.000  09/02/2021     EUR    49.090
Credit Suisse AG/Londo     7.250  4/27/2021      EUR    72.610
Privatbank CJSC Via UK    10.875  2/28/2018      USD    29.749
Tonon Luxembourg SA       12.500  5/14/2024      USD     0.399
Windreich GmbH             6.250  03/01/2015     EUR     4.315
OOO SPV Structural Inv     0.010  09/01/2023     RUB    66.740
Agrokor dd                 9.125  02/01/2020     EUR    15.000
Landesbank Baden-Wuert     2.050  7/23/2021      EUR    68.680
Landesbank Hessen-Thue     5.000  02/10/2023     EUR    71.830
Raiffeisen Switzerland     4.000  8/30/2022      CHF    55.490
Credit Suisse AG/Londo    10.250  05/03/2021     CHF    68.440
SG Issuer SA               5.000  07/10/2021     EUR
Getin Noble Bank SA        4.750  5/31/2024      PLN    71.874
Getin Noble Bank SA        4.250  6/28/2024      PLN    59.875
Top Gun Realisations 7     8.000  07/01/2023     GBP     1.476
Bilt Paper BV              9.640                 USD     1.000
Heta Asset Resolution      7.500 12/31/2023      ATS     1.994
Lehman Brothers Treasu    14.900  9/15/2008      EUR     0.100
Getin Noble Bank SA        5.250  7/28/2023      PLN    65.059
Kaupthing ehf              9.000                 USD     0.122
Pescanova SA               6.750  03/05/2015     EUR     0.319
Societe Generale Effek     3.000  7/22/2022      USD     8.050
SG Issuer SA               2.980 12/28/2021      USD    71.170
Citigroup Global Marke    12.379 11/13/2023      SEK    71.760
Landesbank Hessen-Thue     3.600  08/12/2021     EUR    58.100
Barclays Bank PLC          0.517  05/06/2022     USD     9.950
SG Issuer SA               1.400 12/28/2032      EUR    26.010
UBS AG/London             25.250  08/10/2021     CHF    68.050
Credit Suisse AG/Londo    10.000  1/20/2023      USD     9.780
Bank Julius Baer & Co     10.600  7/22/2021      USD    58.650
Kardan NV                  6.325  2/21/2021      ILS    13.860
Bank Julius Baer & Co      9.500  05/07/2021     EUR    70.750
WEB Windenergie AG         4.000 12/17/2025      EUR     0.010
Metalloinvest Holding      0.010  03/07/2022     RUB    70.010
Rosbank PJSC               0.010  4/30/2024      RUB    65.000
Aralco Finance SA         10.125  05/07/2020     USD     0.934
Lehman Brothers Treasu     2.000  3/16/2035      EUR     0.100
Mriya Agro Holding PLC     9.450  4/19/2018      USD     4.376
Minicentrales Dos SA       0.010  06/06/2047     EUR    65.750
Kaupthing ehf              1.588                 ISK     0.250
Ideal Standard Interna    11.750  05/01/2018     EUR     0.050
Espirito Santo Financi     5.050 11/15/2025      EUR     0.852
Credit Agricole Corpor     9.450  03/08/2027     TRY    66.519
Lehman Brothers Treasu     6.650  8/24/2011      AUD     0.100
Credit Agricole CIB Fi     7.000  06/12/2023     TRY    75.665
Kaupthing ehf              6.125  10/04/2016     USD     0.250
EYEMAXX Real Estate AG     5.500  9/24/2024      EUR    69.379
Eiendomskreditt AS         2.270  9/17/2029      NOK    71.603
Bank Otkritie Financia    10.000  4/26/2019      USD     9.539
PA Resources AB           13.500  03/03/2016     SEK     0.124
New World Resources NV     4.000  10/07/2020     EUR     0.912
Phosphorus Holdco PLC     10.000  04/01/2019     GBP     0.613
LBI ehf                    7.431                 USD     0.001
Credit Suisse AG/Londo     0.500  01/08/2026     BRL    63.445
KPNQwest NV                8.125  06/01/2009     USD     0.068
Credit Agricole Corpor    10.200 12/13/2027      TRY    67.955
Norske Skog Holding AS     8.000  2/24/2023      USD     0.006
Lehman Brothers Treasu     5.500  6/22/2010      USD     0.100
HSBC Bank PLC             10.300 12/20/2024      TRY    74.117
LBI ehf                    8.650  05/01/2011     ISK     9.375
Credit Agricole Corpor    10.800  3/24/2026      TRY    70.162
Heta Asset Resolution      5.730 12/31/2023      EUR     1.994
Heta Asset Resolution      5.920 12/31/2023      EUR     1.994
Cerruti Finance SA         6.500  7/26/2004      EUR     2.061
Norske Skogindustrier      7.000 12/30/2026      EUR     0.001
UniCredit Bank AG          5.500  07/09/2021     EUR    47.670
DekaBank Deutsche Giro     2.000 11/19/2021      EUR    67.930
Societe Generale SA        4.890  2/16/2023      USD
Leonteq Securities AG/     2.630  7/30/2021      USD    71.290
TransKomplektHolding O     9.500  11/02/2028     RUB    70.000
SG Issuer SA               5.000  04/02/2024     EUR    58.550
Skandinaviska Enskilda     8.600  7/17/2023      SEK    73.840
Skandinaviska Enskilda     4.400  7/15/2022      SEK    71.045
RENE LEZARD Mode GmbH      7.250 11/25/2017      EUR     1.000
BNP Paribas Issuance B     5.000  11/05/2024     EUR    27.710
Zurcher Kantonalbank F    10.200  08/06/2021     CHF    73.680
SALVATOR Vermoegensver     9.500                 EUR    10.800
Derzhava-Garant OOO        7.500  06/12/2030     RUB     0.990
State of Saxony-Anhalt     0.030  07/03/2028     EUR    60.000
Tonon Luxembourg SA        9.250  1/24/2020      USD     1.000
AKB Peresvet ZAO          13.250  4/25/2018      RUB    46.500
Irish Bank Resolution      4.000  4/23/2018      EUR    33.250
Getin Noble Bank SA        4.250  8/30/2024      PLN    68.371
Intelsat SA                4.500  6/15/2025      USD    35.152
Kaupthing ehf              3.750  02/01/2045     USD     0.232
Nota-Bank OJSC            13.500  04/01/2016     RUB    31.500
SAG Solarstrom AG          7.500  07/10/2017     EUR    31.000
Astana Finance BV          9.000 11/16/2011      USD    15.250
Lehman Brothers Treasu     4.050  9/16/2008      EUR     0.100
Lehman Brothers Treasu     7.375  9/20/2008      EUR     0.100
Hellas Telecommunicati     6.054  1/15/2015      USD     0.001
Lehman Brothers Treasu     8.000 10/23/2008      USD     0.100
Credit Agricole Corpor    10.800  3/24/2026      TRY    72.926
Lehman Brothers Treasu    23.300  9/16/2008      USD     0.100
Heta Asset Resolution      0.131 12/31/2023      EUR     1.994
UBS AG/London             13.750  7/26/2021      USD    70.810
Credit Suisse AG/Nassa     7.000  6/22/2021      CHF    55.930
Danske Bank A/S           10.300  07/09/2023     SEK    11.000
Vontobel Financial Pro     5.000  4/13/2021      EUR    58.463
Landesbank Hessen-Thue     5.000  9/21/2023      EUR    72.020
Corner Banca SA           12.200  4/27/2021      CHF    73.560
UBS AG/London             13.500  4/26/2021      USD    66.950
Credit Suisse AG/Londo     8.750  6/23/2021      EUR    70.940
Santander Consumer Ban     5.280                 NOK    60.483
Turkey Government Bond    10.500  08/11/2027     TRY    73.000
IT Holding Finance SA      9.875 11/15/2012      EUR     0.255
Petromena ASA              9.750  5/24/2016      NOK     0.607
HSBC Bank PLC              0.500 11/25/2025      BRL    64.266
Heta Asset Resolution      4.350 12/31/2023      EUR     1.994
Northland Resources AB     4.000 10/15/2020      USD     0.271
Banca Popolare di Vice     9.500  10/02/2025     EUR     0.049
Lehman Brothers Treasu     2.875  3/14/2013      CHF     0.100
Lehman Brothers Treasu     4.350  08/08/2016     SGD     0.100
Nutritek International     8.750  12/11/2008     USD     2.089
MIK OAO                   15.000  2/19/2020      RUB    13.875
Deutsche Bank AG/Londo     0.500  04/05/2038     MXN    23.347
BNP Paribas SA             0.500 11/16/2032      MXN    27.540
Kaupthing ehf              7.000  7/24/2009      ISK     0.250
Raiffeisen Switzerland     6.800  05/06/2022     EUR     0.020
Landesbank Hessen-Thue     4.000  07/07/2021     EUR    49.480
DekaBank Deutsche Giro     3.000  6/21/2021      EUR    45.840
Societe Generale SA        3.900  3/23/2022      USD     0.890
UBS AG/London             10.000  8/19/2021      CHF    70.750
UniCredit Bank AG         13.000  6/25/2021      EUR    73.650
Zurcher Kantonalbank F     8.000  2/25/2022      CHF    72.140
Leonteq Securities AG      5.000  6/15/2021      CHF    69.600
Credit Suisse AG/Londo     8.500  5/18/2021      EUR    62.250
Zurcher Kantonalbank F     9.250  8/26/2021      CHF    67.900
Landesbank Hessen-Thue     3.350  5/19/2021      EUR    76.700
UBS AG/London              7.000  2/21/2022      EUR    63.800
UBS AG/London              5.500  8/19/2021      EUR    67.300
UBS AG/London              5.750  8/20/2021      EUR    69.800
Societe Generale Effek    29.303  6/25/2021      EUR    66.510
Leonteq Securities AG/     8.600  07/12/2021     EUR    62.470
UBS AG/London              6.500  8/19/2021      CHF    67.300
Landesbank Hessen-Thue     5.150  6/14/2022      EUR    69.590
BNP Paribas Emissions-     8.500  6/24/2021      EUR    71.740
BNP Paribas Emissions-     9.500  6/24/2021      EUR    71.930
BNP Paribas Emissions-    13.000  6/24/2021      EUR    64.380
BNP Paribas Emissions-     9.000  6/24/2021      EUR    66.980
BNP Paribas Emissions-     7.500  6/24/2021      EUR    73.450
BNP Paribas Emissions-     9.000  6/24/2021      EUR    70.920
BNP Paribas Emissions-    10.000  6/24/2021      EUR    69.610
BNP Paribas Emissions-    12.000  6/24/2021      EUR    72.780
BNP Paribas Emissions-    10.000  6/24/2021      EUR    71.110
BNP Paribas Emissions-    11.000  6/24/2021      EUR    68.680
BNP Paribas Emissions-    12.000  6/24/2021      EUR    67.230
Vontobel Financial Pro    14.500  6/25/2021      EUR    75.250
Vontobel Financial Pro    18.000  6/25/2021      EUR    73.450
Corner Banca SA           15.400  06/02/2021     CHF    71.670
Vontobel Financial Pro    16.000  6/25/2021      EUR    73.910
Vontobel Financial Pro    17.000  6/25/2021      EUR    72.540
Vontobel Financial Pro    19.500  6/25/2021      EUR    72.140
Raiffeisen Schweiz Gen     7.000  7/26/2021      AUD    68.170
BNP Paribas Emissions-    10.000  6/24/2021      EUR    70.430
DekaBank Deutsche Giro     3.400  09/04/2023     EUR    75.990
BNP Paribas Emissions-     9.500  6/24/2021      EUR    71.580
Leonteq Securities AG/    10.600  7/26/2021      USD    72.270
UBS AG/London              7.500  09/06/2021     CHF    72.400
Leonteq Securities AG     22.300  6/15/2021      EUR     6.240
Leonteq Securities AG     21.800  6/25/2021      CHF     5.680
Leonteq Securities AG/     4.000  03/03/2022     EUR    34.260
Vontobel Financial Pro    11.000  6/25/2021      EUR    68.179
Landesbank Baden-Wuert     5.700  2/25/2022      EUR    71.730
Landesbank Baden-Wuert     1.200  2/25/2022      EUR    70.000
Landesbank Baden-Wuert     3.700  2/25/2022      EUR    62.780
Landesbank Baden-Wuert     2.800  6/25/2021      EUR    64.880
Citigroup Global Marke     8.050  1/24/2023      EUR    63.570
Erste Group Bank AG        4.350  2/20/2022      EUR    55.450
SG Issuer SA               7.600  1/20/2025      SEK    66.370
UniCredit Bank AG          4.200  2/19/2022      EUR    51.920
DekaBank Deutsche Giro     3.000  8/27/2021      EUR    59.130
Landesbank Hessen-Thue     3.500  03/09/2022     EUR    57.480
UniCredit Bank AG          4.000  3/13/2022      EUR    55.600
Landesbank Hessen-Thue     5.900  03/09/2023     EUR    66.460
EFG International Fina     7.000  2/21/2022      CHF    73.400
Landesbank Hessen-Thue     6.400  03/09/2023     EUR    63.150
Leonteq Securities AG      6.400  5/25/2021      CHF    58.550
Landesbank Hessen-Thue     3.500  07/06/2022     EUR    46.490
Leonteq Securities AG      8.000  06/08/2021     CHF    65.000
UniCredit Bank AG          3.700  6/25/2022      EUR    60.460
UniCredit Bank AG          6.000 12/25/2021      EUR    76.670
Landesbank Hessen-Thue     2.000  6/13/2022      EUR    61.510
UBS AG/London             10.000  8/26/2021      EUR    70.450
Bank Julius Baer & Co      9.500  8/26/2021      CHF    69.050
UBS AG/London             10.750  8/26/2021      CHF    73.800
DZ Bank AG Deutsche Ze     4.300  6/21/2021      EUR    71.510
UBS AG/London              7.000  7/26/2021      EUR    55.400
Credit Suisse AG/Londo     6.000  8/24/2022      CHF    74.970
Credit Suisse AG/Londo     7.500  5/25/2021      CHF    68.480
UBS AG/London             10.250  8/26/2021      CHF    73.800
EFG International Fina    10.000  7/26/2021      EUR    64.480
Landesbank Hessen-Thue     2.300  02/09/2023     EUR    74.110
UniCredit Bank AG          4.130  2/13/2022      EUR    58.260
Landesbank Hessen-Thue     6.500  2/16/2023      EUR    53.850
Societe Generale SA        4.500 12/30/2024      USD    65.180
Societe Generale SA        4.500 12/29/2022      USD     6.100
EFG International Fina    11.500  08/02/2021     USD    60.330
DZ Bank AG Deutsche Ze     5.750  9/22/2021      EUR    74.180
Societe Generale SA       22.000  8/31/2022      USD    73.800
Corner Banca SA           15.000  05/04/2021     CHF     3.580
BNP Paribas Emissions-     8.000  6/24/2021      EUR    73.230
EFG International Fina    14.800  8/19/2021      CHF    67.980
Vontobel Financial Pro    16.500  6/25/2021      EUR    58.334
Landesbank Baden-Wuert     2.200  7/23/2021      EUR    69.190
Landesbank Hessen-Thue     6.000  03/10/2023     EUR    63.670
UniCredit Bank AG          6.000  6/25/2021      EUR    67.570
UniCredit Bank AG          5.400 12/24/2021      EUR    69.230
Landesbank Baden-Wuert     3.500  7/23/2021      EUR    66.130
Raiffeisen Schweiz Gen     5.600  07/12/2021     CHF    45.000
UniCredit Bank AG          7.500 12/24/2021      EUR    53.790
UniCredit Bank AG         10.200 12/24/2021      EUR    70.090
UniCredit Bank AG          4.700  6/25/2021      EUR    72.810
Landesbank Baden-Wuert     2.300  7/23/2021      EUR    67.900
Landesbank Hessen-Thue     4.000  6/16/2022      EUR    55.680
Landesbank Hessen-Thue     5.300  9/23/2022      EUR    45.300
Societe Generale SA        8.000  5/28/2027      USD    44.400
DZ Bank AG Deutsche Ze     3.300  6/21/2021      EUR    73.810
Raiffeisen Schweiz Gen     5.000 12/29/2021      CHF    66.720
Landesbank Baden-Wuert     3.000  6/25/2021      EUR    65.260
UniCredit Bank AG          6.600 12/24/2021      EUR    56.110
UniCredit Bank AG         10.000  6/25/2021      EUR    74.470
UniCredit Bank AG          7.500  6/25/2021      EUR    63.170
Skandinaviska Enskilda     9.020  7/17/2023      SEK    72.110
Corner Banca SA           14.200  8/24/2021      USD     6.610
UniCredit Bank AG          9.100 12/24/2021      EUR    72.640
UniCredit Bank AG          4.100 12/24/2021      EUR    65.500
UniCredit Bank AG          7.600  6/25/2021      EUR    53.280
UniCredit Bank AG          4.400 12/24/2021      EUR    73.430
Landesbank Hessen-Thue     6.700 10/13/2023      EUR    67.750
UniCredit Bank AG          8.700  6/25/2021      EUR    74.550
UniCredit Bank AG         10.700  6/25/2021      EUR    71.250
UniCredit Bank AG         12.100  6/25/2021      EUR    67.600
Zurcher Kantonalbank F     5.000  7/23/2021      EUR    69.980
UniCredit Bank AG          4.400  6/25/2021      EUR    64.550
UniCredit Bank AG          5.400  6/25/2021      EUR    60.220
UniCredit Bank AG          8.900 12/24/2021      EUR    60.090
UniCredit Bank AG         10.100  6/25/2021      EUR    48.040
Landesbank Hessen-Thue     6.200  6/17/2022      EUR    52.860
Landesbank Baden-Wuert     3.000  9/23/2022      EUR    66.000
Landesbank Baden-Wuert     2.650  9/23/2022      EUR    68.240
UBS AG/London             14.250  7/19/2021      USD    66.620
DZ Bank AG Deutsche Ze     5.600  6/23/2021      EUR    69.440
UBS AG/London              7.000  7/19/2021      CHF    53.800
Landesbank Hessen-Thue     2.500  6/21/2021      EUR    68.900
SG Issuer SA               4.000  6/22/2026      EUR    62.320
EFG International Fina    11.400  6/28/2021      USD    50.970
SG Issuer SA              11.170  7/20/2025      SEK    62.000
Credit Suisse AG/Londo     7.000  8/25/2021      EUR    73.750
UBS AG/London              6.250  6/21/2021      CHF    56.800
Vontobel Financial Pro    18.000  6/25/2021      EUR    69.910
Vontobel Financial Pro    13.500  6/25/2021      EUR    67.800
Vontobel Financial Pro    21.000  6/25/2021      EUR    75.660
Vontobel Financial Pro    15.500  6/25/2021      EUR    65.500
Vontobel Financial Pro    22.000  6/25/2021      EUR    74.690
Goldman Sachs & Co Wer    14.000 12/22/2021      EUR    74.150
Goldman Sachs & Co Wer    16.000 12/22/2021      EUR    72.600
Goldman Sachs & Co Wer    19.000  6/23/2021      EUR    68.360
Goldman Sachs & Co Wer    14.000  9/22/2021      EUR    74.070
Goldman Sachs & Co Wer    15.000  7/21/2021      EUR    73.850
Goldman Sachs & Co Wer    18.000  7/21/2021      EUR    69.530
Landesbank Hessen-Thue     5.700  6/16/2022      EUR    57.470
Vontobel Financial Pro    10.500  6/25/2021      EUR    73.340
Vontobel Financial Pro    12.000  6/25/2021      EUR    70.440
Goldman Sachs & Co Wer    18.000  9/22/2021      EUR    69.560
Landesbank Hessen-Thue     5.200  9/30/2022      EUR    46.590
Vontobel Financial Pro    16.500  6/25/2021      EUR    71.330
Vontobel Financial Pro    14.500  6/25/2021      EUR    72.740
Landesbank Baden-Wuert     2.600  2/25/2022      EUR    65.430
Natixis SA                 2.500  07/12/2021     EUR    57.090
Leonteq Securities AG      7.600  7/13/2021      CHF    62.260
Landesbank Baden-Wuert     3.050  9/23/2022      EUR    64.900
Landesbank Baden-Wuert     2.850  9/23/2022      EUR    67.800
DekaBank Deutsche Giro     2.550  7/30/2021      EUR    59.540
Landesbank Hessen-Thue     2.750  5/20/2021      EUR    59.100
Bayerische Landesbank      2.000  2/18/2022      EUR    65.200
Landesbank Hessen-Thue     3.500  8/17/2022      EUR    70.550
UniCredit Bank AG          4.300  7/26/2022      EUR    60.980
UniCredit Bank AG          3.650  7/23/2022      EUR    61.050
UniCredit Bank AG          6.400  7/23/2021      EUR    77.010
Bayerische Landesbank      2.000  1/28/2022      EUR    66.360
Credit Suisse AG/Nassa     7.200  07/05/2021     CHF    60.150
UniCredit Bank AG          4.200  7/26/2022      EUR    42.510
UniCredit Bank AG          4.450  7/23/2022      EUR    72.310
UniCredit Bank AG          4.150  7/26/2022      EUR    62.040
Landesbank Hessen-Thue     3.600  7/27/2022      EUR    71.010
SG Issuer SA               4.000  08/02/2021     EUR    65.150
Landesbank Hessen-Thue     4.000  08/03/2022     EUR    64.250
Landesbank Hessen-Thue     5.750  08/03/2023     EUR    68.000
Landesbank Baden-Wuert     3.500  7/23/2021      EUR    65.060
Landesbank Hessen-Thue     7.500  11/03/2023     EUR    63.820
Landesbank Baden-Wuert     2.000  2/25/2022      EUR    73.710
Landesbank Hessen-Thue     4.000  8/18/2021      EUR    54.650
Landesbank Hessen-Thue     5.100  2/17/2023      EUR    58.930
UniCredit Bank AG          4.250 11/21/2021      EUR    43.670
UniCredit Bank AG          4.200 11/21/2021      EUR    58.490
Leonteq Securities AG/     7.200 10/27/2021      CHF    65.270
Landesbank Hessen-Thue     4.000 11/24/2021      EUR    48.730
UniCredit Bank AG          4.500  1/18/2022      EUR    57.640
Landesbank Hessen-Thue     5.000 11/25/2022      EUR    56.590
Raiffeisen Switzerland    10.500  07/11/2024     USD    19.330
UniCredit Bank AG          3.500  2/13/2023      EUR    50.900
UniCredit Bank AG          3.600  8/23/2021      EUR    49.680
Landesbank Hessen-Thue     5.900  8/25/2023      EUR    36.480
Landesbank Hessen-Thue     4.000  06/08/2022     EUR    53.780
Landesbank Hessen-Thue     4.000  06/08/2022     EUR    58.630
Leonteq Securities AG      8.400  05/11/2021     CHF    60.430
UniCredit Bank AG          3.750  8/23/2021      EUR    56.100
UniCredit Bank AG          3.900 10/24/2021      EUR    50.130
UniCredit Bank AG          4.050 10/24/2021      EUR    66.110
EFG International Fina     6.200  8/16/2021      CHF    74.280
Landesbank Baden-Wuert     2.300  7/22/2022      EUR    63.710
UniCredit Bank AG          3.200  09/10/2022     EUR    57.130
Landesbank Baden-Wuert     2.600  9/24/2021      EUR    62.180
UniCredit Bank AG          3.800 10/24/2021      EUR    58.360
Landesbank Hessen-Thue     6.000  12/01/2022     EUR    46.580
Erste Group Bank AG        5.550  8/30/2022      EUR    54.000
DekaBank Deutsche Giro     3.100  5/28/2021      EUR    45.260
Vontobel Financial Pro     6.700  03/07/2022     EUR    58.150
UniCredit Bank AG          3.250  3/29/2022      EUR    20.350
UniCredit Bank AG          3.600  3/29/2022      EUR    72.080
UniCredit Bank AG          3.750  3/26/2022      EUR    63.200
Landesbank Hessen-Thue     4.000  7/21/2021      EUR    70.840
Landesbank Hessen-Thue     5.650 10/28/2022      EUR    61.380
Landesbank Hessen-Thue     3.000  08/11/2022     EUR    66.730
Landesbank Hessen-Thue     6.250 12/22/2022      EUR    55.490
UniCredit Bank AG          4.450 12/29/2022      EUR    44.850
UniCredit Bank AG          4.300 12/19/2021      EUR    56.430
UniCredit Bank AG          4.700 12/19/2021      EUR    40.670
Landesbank Hessen-Thue     4.400  01/05/2023     EUR    53.170
EFG International Fina     7.000  5/23/2022      EUR    56.980
SG Issuer SA               7.500  1/20/2025      SEK    64.760
UniCredit Bank AG          4.400  12/10/2022     EUR    64.130
UniCredit Bank AG          4.200  12/08/2021     EUR    42.520
Landesbank Hessen-Thue     5.400 11/24/2022      EUR    64.140
Landesbank Baden-Wuert     2.750  3/25/2022      EUR    61.840
Landesbank Baden-Wuert     2.500  3/25/2022      EUR    70.760
Leonteq Securities AG/     4.200  06/01/2021     CHF    29.110
Landesbank Baden-Wuert     3.100  2/25/2022      EUR    67.930
Raiffeisen Switzerland     4.800 11/23/2023      CHF    58.990
Credit Suisse AG/Londo     6.810  4/29/2022      USD     9.900
BNP Paribas Emissions-    23.000 12/23/2021      EUR    16.360
Leonteq Securities AG/     3.750  2/20/2023      CHF    64.020
Leonteq Securities AG     27.000  06/02/2021     CHF     7.090
EFG International Fina     6.000  8/13/2021      CHF    64.450
Leonteq Securities AG      6.000  8/17/2021      CHF    47.810
Raiffeisen Schweiz Gen     5.800  9/28/2021      CHF    66.900
DekaBank Deutsche Giro     4.000  4/23/2021      EUR    70.990
Corner Banca SA            6.200  10/05/2021     CHF    72.710
UniCredit Bank AG          5.750  01/11/2022     EUR    56.420
DekaBank Deutsche Giro     3.250  06/08/2021     EUR    55.350
HSBC Trinkaus & Burkha     6.500  6/25/2021      EUR     1.470
Natixis SA                 2.970  06/08/2021     USD    72.880
Landesbank Baden-Wuert     3.250  2/24/2023      EUR    70.390
HSBC Trinkaus & Burkha     5.700  6/25/2021      EUR    59.070
UniCredit Bank AG          4.250  6/28/2022      EUR    58.620
DekaBank Deutsche Giro     6.000  06/11/2021     EUR    58.390
Landesbank Baden-Wuert     4.100  1/28/2022      EUR    62.860
UniCredit Bank AG          4.350 10/26/2021      EUR    34.460
SG Issuer SA               2.980 12/28/2021      EUR    71.540
Landesbank Baden-Wuert     3.550  6/25/2021      EUR    58.840
Landesbank Baden-Wuert     2.250  6/25/2021      EUR    69.710
Landesbank Hessen-Thue     5.350  9/22/2023      EUR    39.910
Landesbank Baden-Wuert     2.200  6/25/2021      EUR    65.340
EFG International Fina     7.000 10/25/2021      EUR    72.800
Leonteq Securities AG      6.200  06/08/2021     CHF    53.120
DekaBank Deutsche Giro     5.150  5/21/2021      EUR    54.900
Landesbank Baden-Wuert     3.250 12/23/2022      EUR    68.810
Landesbank Baden-Wuert     2.650 12/23/2022      EUR    71.650
Landesbank Hessen-Thue     4.700  2/24/2023      EUR    54.780
Landesbank Hessen-Thue     6.450  2/24/2023      EUR    50.050
Landesbank Hessen-Thue     5.700 11/24/2022      EUR    59.790
Landesbank Hessen-Thue     4.000  06/04/2021     EUR    68.200
Landesbank Baden-Wuert     2.500  1/28/2022      EUR    61.580
Bayerische Landesbank      2.300 11/26/2021      EUR    62.020
UniCredit Bank AG          5.400  06/04/2021     EUR    66.020
Leonteq Securities AG/     5.500  5/25/2021      CHF    57.970
EFG International Fina     7.000  06/08/2021     EUR    53.710
EFG International Fina     5.550  07/12/2021     USD     4.170
UniCredit Bank AG          4.350 11/21/2021      EUR    63.570
Corner Banca SA            8.000  5/25/2021      CHF    59.590
Leonteq Securities AG      7.800  5/14/2021      CHF    17.340
EFG International Fina     6.200  8/16/2021      CHF    64.840
DekaBank Deutsche Giro     2.500 10/22/2021      EUR    73.970
Leonteq Securities AG      7.400  9/28/2021      CHF    72.460
Landesbank Baden-Wuert     3.000 12/23/2022      EUR    69.650
Landesbank Baden-Wuert     3.200 12/23/2022      EUR    68.530
DekaBank Deutsche Giro     4.250  4/14/2022      EUR    47.430
Landesbank Hessen-Thue     6.800  7/14/2022      EUR    71.520
UniCredit Bank AG          4.300  7/18/2021      EUR    63.760
UniCredit Bank AG          3.600  7/18/2021      EUR    45.300
UBS AG/London             21.800  6/24/2021      EUR    73.510
UBS AG/London             12.200  6/24/2021      EUR    68.090
UniCredit Bank AG          5.350  8/24/2021      EUR    50.640
Raiffeisen Schweiz Gen     5.000  04/05/2022     CHF    75.460
Corner Banca SA            8.600  10/12/2021     CHF    70.850
Landesbank Baden-Wuert     3.500  1/28/2022      EUR    65.690
Landesbank Hessen-Thue     6.350 11/19/2024      EUR    68.210
Landesbank Hessen-Thue     4.000  3/23/2022      EUR    52.970
SG Issuer SA               9.180  1/20/2025      SEK    70.170
Landesbank Baden-Wuert     2.800  4/25/2022      EUR    64.580
Erste Group Bank AG        4.350  2/28/2022      EUR    54.950
Landesbank Hessen-Thue     5.550  3/16/2023      EUR    54.740
UniCredit Bank AG          4.500  03/12/2022     EUR    57.030
UniCredit Bank AG          3.500  8/24/2022      EUR    65.710
UniCredit Bank AG          4.000  2/28/2022      EUR    62.880
UniCredit Bank AG          4.000 11/21/2022      EUR    70.650
HSBC Trinkaus & Burkha     5.000  10/07/2021     EUR    73.510
Landesbank Baden-Wuert     3.950  8/27/2021      EUR    65.150
Landesbank Baden-Wuert     3.400 11/25/2022      EUR    64.330
DekaBank Deutsche Giro     3.100  12/03/2021     EUR    54.910
Landesbank Baden-Wuert     3.800  1/28/2022      EUR    61.260
Bayerische Landesbank      2.500  12/03/2021     EUR    66.740
Landesbank Hessen-Thue     5.600  02/11/2025     EUR    69.310
Leonteq Securities AG/     4.750  11/01/2021     CHF    37.930
UniCredit Bank AG          4.730  01/02/2023     EUR    64.990
Landesbank Baden-Wuert     3.000  7/23/2021      EUR    64.620
Leonteq Securities AG/     4.290  7/30/2021      USD    40.210
SG Issuer SA               0.263  4/16/2025      EUR    29.250
Leonteq Securities AG/     6.200  7/27/2021      CHF    69.190
UniCredit Bank AG          4.100  8/24/2022      EUR    65.880
Landesbank Baden-Wuert     4.000 10/22/2021      EUR    54.730
Landesbank Baden-Wuert     3.500  8/27/2021      EUR    59.800
Leonteq Securities AG      7.200  08/06/2021     CHF    70.850
Araratbank OJSC            5.250  09/11/2022     USD    25.018
Landesbank Hessen-Thue     4.000  8/31/2022      EUR    55.040
DekaBank Deutsche Giro     2.300  11/12/2021     EUR    67.410
SG Issuer SA               7.740  7/20/2025      SEK    75.010
Landesbank Baden-Wuert     2.150  8/27/2021      EUR    67.870
EFG International Fina     6.400  08/09/2021     CHF    63.610
Landesbank Baden-Wuert     2.600  9/23/2022      EUR    70.520
Landesbank Baden-Wuert     3.500  7/23/2021      EUR    70.000
EFG International Fina    12.000 10/19/2021      USD    67.360
Leonteq Securities AG/     4.000  08/10/2022     CHF    66.410
Landesbank Baden-Wuert     4.000  5/27/2022      EUR    56.040
Landesbank Baden-Wuert     3.300  5/27/2022      EUR    61.960
Leonteq Securities AG      5.400  7/25/2022      CHF    63.940
DekaBank Deutsche Giro     2.800  05/02/2022     EUR    59.190
Landesbank Baden-Wuert     2.300  6/24/2022      EUR    61.070
DekaBank Deutsche Giro     3.400  4/30/2021      EUR    49.550
Landesbank Baden-Wuert     2.550 12/27/2021      EUR    57.390
Landesbank Baden-Wuert     2.500 12/27/2021      EUR    51.010
Landesbank Hessen-Thue     4.400 12/22/2022      EUR    53.280
UniCredit Bank AG          4.300  8/24/2021      EUR    50.010
Landesbank Hessen-Thue     4.000  11/10/2021     EUR    42.880
Landesbank Hessen-Thue     3.000  08/06/2021     EUR    40.500
DekaBank Deutsche Giro     1.000  11/02/2021     EUR    62.440
DekaBank Deutsche Giro     3.900  4/25/2022      EUR    49.360
Leonteq Securities AG/     6.100  2/21/2022      CHF    73.380
Credit Suisse AG/Londo     4.500  07/12/2021     EUR    71.600
SecurAsset SA              5.250  6/30/2022      EUR    49.500
Leonteq Securities AG/     4.000  2/21/2022      EUR    68.620
Leonteq Securities AG/     2.500  06/05/2024     EUR    70.150
DZ Bank AG Deutsche Ze    11.200  6/25/2021      EUR    71.130
Zurcher Kantonalbank F     9.750  8/26/2021      USD    72.180
UBS AG/London              6.750  07/05/2021     CHF    52.900
Landesbank Hessen-Thue     4.000  08/09/2023     EUR    60.000
UniCredit Bank AG          7.800  6/25/2021      EUR    65.640
UniCredit Bank AG         10.700  6/25/2021      EUR    60.450
UniCredit Bank AG          9.700  6/25/2021      EUR    64.620
UniCredit Bank AG         11.300  6/25/2021      EUR    74.950
UniCredit Bank AG         10.100  6/25/2021      EUR    71.450
UniCredit Bank AG          6.400  6/25/2021      EUR    69.360
UniCredit Bank AG          9.300  6/25/2021      EUR    62.400
UniCredit Bank AG          7.500  6/25/2021      EUR    70.990
UniCredit Bank AG         11.800  6/25/2021      EUR    57.670
UniCredit Bank AG          8.500  6/25/2021      EUR    67.050
UniCredit Bank AG          9.600  6/25/2021      EUR    63.590
UniCredit Bank AG          7.600  6/25/2021      EUR    69.870
UniCredit Bank AG          8.100 12/24/2021      EUR    65.760
UniCredit Bank AG          5.800 12/24/2021      EUR    71.490
UniCredit Bank AG          6.600 12/24/2021      EUR    72.720
UniCredit Bank AG         11.000 12/24/2021      EUR    74.970
UniCredit Bank AG         10.200 12/24/2021      EUR    59.120
UniCredit Bank AG          8.500 12/24/2021      EUR    63.450
UniCredit Bank AG          6.900 12/24/2021      EUR    68.390
UniCredit Bank AG          7.700 12/24/2021      EUR    66.070
UniCredit Bank AG          6.800 12/24/2021      EUR    68.990
UniCredit Bank AG          6.000 12/24/2021      EUR    72.230
Landesbank Baden-Wuert     4.000  8/27/2021      EUR    71.550
Landesbank Baden-Wuert     3.500  8/27/2021      EUR    71.970
Landesbank Baden-Wuert     4.000  8/27/2021      EUR    62.330
Landesbank Baden-Wuert     2.750  8/27/2021      EUR    58.560
Landesbank Baden-Wuert     3.500  8/27/2021      EUR    56.630
Landesbank Baden-Wuert     5.000  8/27/2021      EUR    53.240
Leonteq Securities AG     20.000  5/20/2021      CHF     5.350
Leonteq Securities AG     20.400  5/18/2021      CHF     5.460
Corner Banca SA           21.000  5/18/2021      CHF     5.160
Goldman Sachs & Co Wer    21.000  6/23/2021      EUR    68.750
Landesbank Baden-Wuert     5.000  8/27/2021      EUR    68.050
Erste Group Bank AG        8.000  7/31/2024      EUR    70.700
Landesbank Baden-Wuert     3.750  8/27/2021      EUR    73.340
Landesbank Baden-Wuert     5.750  8/27/2021      EUR    64.810
Landesbank Baden-Wuert     3.250  8/27/2021      EUR    66.770
Landesbank Baden-Wuert     5.000  8/27/2021      EUR    58.560
Corner Banca SA           30.000  06/08/2021     USD     7.330
Leonteq Securities AG/    29.000  06/08/2021     CHF     7.530
Vontobel Financial Pro    11.500  6/25/2021      EUR    74.443
Leonteq Securities AG     30.000  06/09/2021     CHF     7.780
BNP Paribas Emissions-     9.000  6/24/2021      EUR    73.390
BNP Paribas Emissions-     9.500  6/24/2021      EUR    74.990
BNP Paribas Emissions-    11.000  6/24/2021      EUR    71.040
BNP Paribas Emissions-     8.500  6/24/2021      EUR    73.640
BNP Paribas Emissions-    10.000  6/24/2021      EUR    75.470
BNP Paribas Emissions-    11.000  6/24/2021      EUR    72.300
BNP Paribas Emissions-    13.000  6/24/2021      EUR    70.200
BNP Paribas Emissions-    15.000  6/24/2021      EUR    67.180
BNP Paribas Emissions-     7.500  6/24/2021      EUR    72.030
BNP Paribas Emissions-     8.500  6/24/2021      EUR    72.220
BNP Paribas Emissions-    12.000  6/24/2021      EUR    67.310
BNP Paribas Emissions-    11.000  6/24/2021      EUR    74.040
BNP Paribas Emissions-    13.000  6/24/2021      EUR    65.850
Leonteq Securities AG/     6.000  06/08/2021     USD     4.250
BNP Paribas Emissions-    11.000  6/24/2021      EUR    66.060
BNP Paribas Emissions-    10.000  6/24/2021      EUR    75.440
BNP Paribas Emissions-     9.500  6/24/2021      EUR    70.120
EFG International Fina    15.000  05/06/2021     USD     7.710
Corner Banca SA           20.000  4/27/2021      CHF     5.250
UBS AG/London              8.000  03/04/2022     EUR    70.450
BNP Paribas Emissions-     0.170  9/23/2021      EUR     0.440
SG Issuer SA               1.500 12/30/2032      EUR    50.940
UBS AG/London              6.500  07/12/2021     EUR    55.650
UBS AG/London             21.250  2/18/2022      USD    62.600
Landesbank Hessen-Thue     3.000  05/03/2022     EUR    66.000
DZ Bank AG Deutsche Ze    19.300  6/25/2021      EUR    60.880
Leonteq Securities AG     15.600  4/20/2021      CHF     4.180
DZ Bank AG Deutsche Ze    13.900  6/25/2021      EUR    70.240
EFG International Fina    29.000  5/25/2021      CHF    14.760
Banque Cantonale Vaudo     6.800  6/28/2021      CHF    53.250
Landesbank Baden-Wuert     3.250  9/24/2021      EUR    72.660
Finca Uco Cjsc             6.000  2/25/2022      USD    25.176
Leonteq Securities AG      7.200  9/22/2021      CHF    63.640
Citigroup Global Marke     8.200  3/21/2024      SEK    56.710
Landesbank Hessen-Thue     4.000  6/22/2022      EUR    54.330
Landesbank Baden-Wuert     3.000  7/23/2021      EUR    68.260
Landesbank Baden-Wuert     3.000  7/23/2021      EUR    72.260
Leonteq Securities AG/     3.770  7/30/2021      USD    61.070
Leonteq Securities AG      6.800  05/11/2021     EUR    53.270
UniCredit Bank AG          4.000  06/07/2022     EUR    50.240
UniCredit Bank AG          3.800  6/28/2022      EUR    59.170
UniCredit Bank AG          3.800 12/29/2022      EUR    73.450
Landesbank Hessen-Thue     3.500  01/05/2022     EUR    54.900
Landesbank Hessen-Thue     3.500  01/05/2022     EUR    53.310
UniCredit Bank AG          6.350  5/14/2021      EUR    66.080
EFG International Fina     6.200  05/03/2021     CHF    62.570
Landesbank Hessen-Thue     6.150  8/25/2022      EUR    61.140
Landesbank Baden-Wuert     2.300  2/25/2022      EUR    63.860
Societe Generale Effek     6.100  04/03/2023     EUR    59.740
UniCredit Bank AG          3.750  4/19/2022      EUR    67.430
getBACK SA                 4.610  9/14/2021      PLN
Landesbank Baden-Wuert     3.650  6/25/2021      EUR    59.990
UniCredit Bank AG          6.300 10/16/2021      EUR    41.420
UBS AG/London             11.300  6/24/2021      EUR    69.060
UniCredit Bank AG          3.800 10/24/2021      EUR    62.660
UniCredit Bank AG          5.700  5/14/2021      EUR    60.100
Landesbank Hessen-Thue     4.000  01/05/2022     EUR    41.550
Landesbank Hessen-Thue     5.500  5/25/2023      EUR    39.160
Landesbank Hessen-Thue     6.100  4/26/2024      EUR    64.790
Zurcher Kantonalbank F    24.500  6/22/2021      EUR    27.550
EFG International Fina    27.000  6/24/2021      EUR    13.640
EFG International Fina    26.000  6/24/2021      CHF    13.150
Leonteq Securities AG      5.600  5/16/2022      CHF    63.310
UniCredit Bank AG          3.350  6/14/2022      EUR    56.860
Leonteq Securities AG/     5.600  5/25/2021      CHF    45.350
UniCredit Bank AG          3.700  06/04/2022     EUR    64.410
Landesbank Baden-Wuert     2.100  8/27/2021      EUR    53.480
EFG International Fina     5.600  4/26/2021      CHF    62.480
UBS AG/London             12.900  6/24/2021      EUR    67.130
Landesbank Hessen-Thue     2.000  3/29/2022      EUR    51.070
EFG International Fina     7.600  10/11/2021     CHF    66.400
HSBC Trinkaus & Burkha     7.600  6/25/2021      EUR     1.690
DZ Bank AG Deutsche Ze    13.100  6/25/2021      EUR    76.090
Landesbank Hessen-Thue     4.000  05/11/2022     EUR    62.750
SG Issuer SA               8.700  1/20/2025      SEK    68.610
Landesbank Baden-Wuert     3.700  9/24/2021      EUR    66.510
DZ Bank AG Deutsche Ze    14.600  9/24/2021      EUR    73.580
Landesbank Hessen-Thue     3.500  05/11/2022     EUR    60.920
Landesbank Hessen-Thue     6.500  05/11/2023     EUR    70.820
Banque Cantonale Vaudo     5.800  08/09/2021     CHF    61.890
Raiffeisen Schweiz Gen     7.500  5/14/2021      CHF    63.930
Leonteq Securities AG/    15.470  5/18/2021      CHF     3.650
UniCredit Bank AG         17.600  6/25/2021      EUR    59.500
DZ Bank AG Deutsche Ze     9.300  6/25/2021      EUR    74.320
Corner Banca SA           15.200  08/11/2021     CHF     7.790
UBS AG/London              6.500  08/02/2021     CHF    63.900
Landesbank Baden-Wuert     2.500 12/27/2021      EUR    59.410
Leonteq Securities AG      7.200  9/24/2021      CHF    70.330
Leonteq Securities AG/    11.400  9/20/2021      CHF     5.780
DZ Bank AG Deutsche Ze    11.000  6/23/2021      EUR    74.320
UniCredit Bank AG          3.750 12/21/2021      EUR    65.330
Landesbank Baden-Wuert     3.400  2/24/2023      EUR    70.030
Leonteq Securities AG     30.000  6/22/2021      CHF     7.770
Leonteq Securities AG/     3.380  6/16/2021      USD    47.780
Landesbank Hessen-Thue     4.000 12/21/2022      EUR    71.440
Landesbank Baden-Wuert     3.400  1/27/2023      EUR    67.990
Leonteq Securities AG/     3.420  6/16/2021      USD    49.490
UniCredit Bank AG          5.150  01/02/2023     EUR    67.040
Landesbank Baden-Wuert     4.000 12/27/2021      EUR    65.800
Zurcher Kantonalbank F     9.000  7/30/2021      EUR    70.660
EFG International Fina     6.200  08/05/2022     EUR    70.450
EFG International Fina    11.500  08/02/2021     USD    55.400
Leonteq Securities AG      8.000  08/05/2021     CHF    72.760
Landesbank Baden-Wuert     3.050  9/23/2022      EUR    70.270
DekaBank Deutsche Giro     2.050  05/03/2021     EUR    70.360
Zurcher Kantonalbank F     6.000  5/25/2021      CHF    72.940
Zurcher Kantonalbank F     6.000  5/25/2021      EUR    70.250
UniCredit Bank AG         12.200  6/25/2021      EUR    71.350
DZ Bank AG Deutsche Ze     7.000  6/25/2021      EUR    70.170
DZ Bank AG Deutsche Ze     9.000  6/25/2021      EUR    66.300
DZ Bank AG Deutsche Ze    11.300  6/25/2021      EUR    62.960
DZ Bank AG Deutsche Ze    11.700  6/25/2021      EUR    70.040
DZ Bank AG Deutsche Ze    10.300  6/25/2021      EUR    70.850
Landesbank Baden-Wuert     3.500  7/23/2021      EUR    71.420
UniCredit Bank AG          4.150  10/12/2022     EUR    62.320
Natixis SA                 1.500  10/04/2021     EUR    72.250
Leonteq Securities AG/     9.200  9/21/2021      EUR    74.920
EFG International Fina     9.800  9/21/2021      EUR    53.540
Landesbank Baden-Wuert     2.550 11/26/2021      EUR    65.160
Leonteq Securities AG      6.000  9/14/2021      CHF    70.370
Landesbank Baden-Wuert     3.000 12/23/2022      EUR    64.670
Landesbank Baden-Wuert     2.500  6/24/2022      EUR    67.680
Bayerische Landesbank      2.250  7/23/2021      EUR    62.530
DekaBank Deutsche Giro     2.600 10/24/2023      EUR    67.440
DekaBank Deutsche Giro     2.500 10/24/2023      EUR    67.170
UniCredit Bank AG          3.850  10/05/2023     EUR    74.760
UBS AG/London              9.500  9/13/2021      CHF    74.050
Landesbank Hessen-Thue     4.000  10/12/2022     EUR    67.690
UniCredit Bank AG          3.600  10/05/2022     EUR    68.190
Center-Invest Commerci     5.250  03/03/2022     RUB    65.000
DekaBank Deutsche Giro     6.300  10/01/2021     EUR    58.900
UniCredit Bank AG          4.300 10/18/2021      EUR    49.440
Landesbank Hessen-Thue     5.700 10/27/2022      EUR    59.450
Landesbank Hessen-Thue     3.000 10/20/2022      EUR    66.070
UniCredit Bank AG          3.850  9/19/2021      EUR    41.300
Leonteq Securities AG/     8.000  09/01/2021     CHF    69.880
UniCredit Bank AG          5.350  2/27/2023      EUR    61.980
Landesbank Hessen-Thue     4.000  03/01/2023     EUR    62.170
UBS AG/London             10.000  6/14/2021      EUR    65.550
UBS AG/London             14.750  6/14/2021      USD     9.150
Landesbank Hessen-Thue     5.000  9/29/2022      EUR    61.480
Landesbank Hessen-Thue     3.000  07/06/2021     EUR    45.800
Societe Generale SA        1.580  9/16/2024      USD     4.840
UniCredit Bank AG          3.500  9/19/2021      EUR    46.690
Landesbank Hessen-Thue     3.500  9/29/2021      EUR    43.350
UniCredit Bank AG          3.500  10/08/2022     EUR    56.840
Landesbank Hessen-Thue     6.000  10/06/2022     EUR    60.020
DekaBank Deutsche Giro     3.100  04/08/2022     EUR    59.120
DekaBank Deutsche Giro     3.300  04/08/2022     EUR    56.490
Leonteq Securities AG/     4.000  03/08/2022     EUR    65.920
Raiffeisen Schweiz Gen     4.700 10/20/2021      CHF    70.650
Leonteq Securities AG      7.200  09/08/2021     CHF    57.400
Landesbank Hessen-Thue     4.000  04/12/2023     EUR    67.060
Landesbank Baden-Wuert     2.500  9/23/2022      EUR    70.330
Societe Generale Effek     5.600  09/04/2023     EUR    51.400
Landesbank Hessen-Thue     3.350  9/21/2022      EUR    65.510
UniCredit Bank AG          4.600  9/14/2022      EUR    66.660
UniCredit Bank AG          3.700  9/14/2022      EUR    60.420
UniCredit Bank AG          3.750  9/14/2022      EUR    67.850
Barclays Bank PLC          0.500  06/08/2022     USD    10.000
Landesbank Hessen-Thue     5.200  01/08/2024     EUR    60.630
DekaBank Deutsche Giro     2.300  9/24/2021      EUR    59.660
Landesbank Hessen-Thue     6.000  9/21/2023      EUR    56.180
Landesbank Baden-Wuert     3.250  8/27/2021      EUR    60.170
Corner Banca SA            6.400  09/07/2021     CHF    69.320
UniCredit Bank AG          3.800  8/30/2023      EUR    59.200
Opus-Chartered Issuanc     5.000  03/08/2027     USD    68.720
Bank Julius Baer & Co     10.200  5/30/2023      EUR    23.050
Landesbank Baden-Wuert     2.700  6/25/2021      EUR    59.970
Vontobel Financial Pro    11.500  6/25/2021      EUR    71.092
Leonteq Securities AG/    22.620 12/23/2021      CHF    72.910
UniCredit Bank AG          4.200  9/21/2022      EUR    58.980
Leonteq Securities AG/    25.000  8/26/2021      USD    12.710
Landesbank Hessen-Thue     2.500  6/17/2021      EUR    73.700
UBS AG/London              7.500  6/14/2021      EUR    54.400
UniCredit Bank AG          8.200  6/25/2021      EUR    76.370
Landesbank Baden-Wuert     4.800  2/25/2022      EUR    55.070
Raiffeisen Centrobank      5.750  7/19/2021      EUR    62.470
UniCredit Bank AG          6.000  2/22/2022      EUR    69.670
DekaBank Deutsche Giro     3.200  2/25/2022      EUR    73.200
Leonteq Securities AG/    26.000  5/28/2021      CHF     6.940
Landesbank Baden-Wuert     3.000  6/25/2021      EUR    64.390
Societe Generale Effek     3.750  5/24/2021      EUR    34.340
Landesbank Hessen-Thue     6.700  5/17/2022      EUR    55.880
Landesbank Hessen-Thue     6.600  2/17/2023      EUR    64.270
Landesbank Hessen-Thue     4.350  2/24/2023      EUR    59.680
Zurcher Kantonalbank F     7.750  6/18/2021      EUR    65.450
Landesbank Baden-Wuert     3.300  3/25/2022      EUR    61.800
UniCredit Bank AG          5.450  3/15/2022      EUR    56.730
UniCredit Bank AG          7.000  3/29/2022      EUR    68.680
Leonteq Securities AG/     3.400  3/20/2024      CHF    54.330
Leonteq Securities AG/     2.750  9/15/2022      CHF    30.970
Leonteq Securities AG      3.600  9/22/2026      CHF    64.860
Raiffeisen Schweiz Gen     3.000  9/21/2029      CHF    73.450
Leonteq Securities AG      3.900 12/20/2024      CHF    61.630
Raiffeisen Schweiz Gen     3.200 12/18/2026      CHF    75.270
Raiffeisen Schweiz Gen     3.400  3/21/2025      CHF    64.680
Leonteq Securities AG/     5.000  9/13/2021      CHF    73.600
Raiffeisen Schweiz Gen     2.700  9/22/2026      CHF    61.250
UBS AG/London              7.250  6/21/2021      CHF    54.100
Landesbank Baden-Wuert     3.300  9/24/2021      EUR    66.410
UBS AG/London              6.500  6/28/2021      EUR    53.800
Landesbank Baden-Wuert     4.700  3/25/2022      EUR    54.630
UniCredit Bank AG          9.600 12/27/2021      EUR    62.590
Landesbank Baden-Wuert     3.500  8/27/2021      EUR    65.940
Landesbank Baden-Wuert     3.400  2/25/2022      EUR    63.250
Landesbank Baden-Wuert     4.750  2/25/2022      EUR    55.810
Landesbank Hessen-Thue     4.000  3/15/2023      EUR    70.970
UniCredit Bank AG          3.800  9/19/2021      EUR    49.780
WEB Windenergie AG         2.250  9/25/2028      EUR     0.010
Zurcher Kantonalbank F     8.500  8/24/2021      CHF    65.230
Raiffeisen Schweiz Gen     5.250  8/24/2021      CHF    67.000
Landesbank Hessen-Thue     5.800  9/24/2024      EUR    63.000
Landesbank Baden-Wuert     3.000  9/23/2022      EUR    60.940
UBS AG/London             11.250  6/21/2021      USD    54.450
UniCredit Bank AG          9.000 12/27/2021      EUR    74.670
UniCredit Bank AG          4.200  03/01/2023     EUR    67.150
Skandinaviska Enskilda     6.300  7/15/2022      SEK    72.530
Landesbank Hessen-Thue     6.150  03/11/2025     EUR    65.860
Landesbank Baden-Wuert     2.750 11/26/2021      EUR    59.150
Leonteq Securities AG/     5.600  8/24/2021      CHF    46.710
EFG International Fina     6.500  8/30/2021      CHF    66.910
Leonteq Securities AG/     7.420 11/22/2021      EUR    63.630
Landesbank Baden-Wuert     3.690 12/23/2022      EUR    71.830
BNP Paribas Emissions-     8.000  6/24/2021      EUR    70.640
BNP Paribas Emissions-     9.500  6/24/2021      EUR    67.000
BNP Paribas Emissions-     5.000  6/24/2021      EUR    68.640
BNP Paribas Emissions-    12.000  6/24/2021      EUR    71.500
BNP Paribas Emissions-    11.000  6/24/2021      EUR    74.130
EFG International Fina    17.800  5/27/2021      USD     8.570
Vontobel Financial Pro    10.250  9/24/2021      EUR    71.790
Leonteq Securities AG     13.200  5/25/2021      CHF    63.590
DekaBank Deutsche Giro     3.700 12/17/2021      EUR    71.930
EFG International Fina    10.800  5/26/2021      CHF    68.380
UBS AG/London             10.000  5/20/2021      CHF    71.950
UniCredit Bank AG          4.450  01/02/2024     EUR    72.550
Bayerische Landesbank      1.350 12/23/2022      EUR    65.060
BNP Paribas Emissions-    12.000  6/24/2021      EUR    63.950
BNP Paribas Emissions-    13.000  6/24/2021      EUR    60.950
BNP Paribas Emissions-    11.000  6/24/2021      EUR    72.220
UniCredit Bank AG          4.650 12/22/2023      EUR    72.470
Landesbank Hessen-Thue     4.000  9/20/2023      EUR    66.340
Araratbank OJSC            5.500  9/19/2023      USD    25.050
UBS AG/London              7.000  8/16/2021      CHF    58.400
UBS AG/London             10.750  6/28/2021      CHF    68.000
Vontobel Financial Pro    15.500  6/25/2021      EUR    76.650
Societe Generale SA       21.000 12/23/2022      USD    74.100
Landesbank Baden-Wuert     3.500  3/24/2023      EUR    70.480
Zurcher Kantonalbank F    10.750  1/21/2022      CHF    73.170
Raiffeisen Schweiz Gen     5.000  9/13/2022      CHF    73.740
Landesbank Baden-Wuert     2.100 10/27/2023      EUR    63.810
Leonteq Securities AG/    11.800  4/20/2021      CHF    66.100
Vontobel Financial Pro     3.400  6/18/2021      EUR    71.331
Landesbank Baden-Wuert     5.500  4/23/2021      EUR    64.440
Landesbank Baden-Wuert     3.400  4/23/2021      EUR    63.160
UBS AG/London              7.750  9/13/2021      EUR    58.800
UBS AG/London             11.750  7/22/2021      CHF    71.050
UniCredit Bank AG         11.100  7/23/2021      EUR    74.330
UBS AG/London              8.000  1/24/2022      CHF    70.800
Zurcher Kantonalbank F     5.350  7/29/2021      CHF    71.910
UBS AG/London             15.000  7/22/2021      CHF    64.700
UBS AG/London             11.250  1/24/2022      CHF    73.300
EFG International Fina    13.000 12/27/2021      CHF    12.420
Bank Julius Baer & Co      6.650  5/14/2021      EUR    68.900
Bank Julius Baer & Co     14.750  8/16/2021      EUR     5.000
Raiffeisen Schweiz Gen     8.000  5/14/2021      CHF    55.140
Vontobel Financial Pro     9.100  2/21/2022      EUR    72.877
Zurcher Kantonalbank F     7.000  2/21/2022      CHF    72.130
Leonteq Securities AG     11.000  01/03/2022     CHF    71.600
BNP Paribas Emissions-    10.000  9/23/2021      EUR     4.670
BNP Paribas Emissions-     5.000  06/04/2021     EUR    54.310
Raiffeisen Schweiz Gen     6.000  6/30/2021      EUR    62.720
Zurcher Kantonalbank F     7.000  8/18/2021      CHF    62.980
UBS AG/London             10.000  7/15/2021      CHF    72.800
UBS AG/London             11.750  6/28/2021      CHF    73.550
UBS AG/London             10.000  6/28/2021      CHF    73.300
UBS AG/London             11.000  5/17/2021      USD    66.010
Leonteq Securities AG/     8.000  5/14/2021      CHF    56.210
Landesbank Baden-Wuert     2.950 10/22/2021      EUR    72.950
Zurcher Kantonalbank F     7.750  09/09/2021     EUR    71.370
Raiffeisen Centrobank      6.000  10/07/2021     EUR    69.120
Landesbank Baden-Wuert     4.400  4/23/2021      EUR    60.440
Zurcher Kantonalbank F     9.500  7/22/2021      EUR    66.310
Zurcher Kantonalbank F     7.500  7/28/2021      CHF    72.340
UBS AG/London              8.500  9/13/2021      EUR    65.300
UBS AG/London             14.250 10/25/2021      CHF    66.250
BNP Paribas Issuance B     7.200 12/17/2024      SEK    69.450
Leonteq Securities AG     16.000  4/13/2021      CHF    14.120
Vontobel Financial Pro    11.500  06/11/2021     EUR    71.050
UBS AG/London              7.750  5/24/2021      EUR    53.650
Vontobel Financial Pro    10.500  06/11/2021     EUR    70.680
UBS AG/London              7.750 10/25/2021      EUR    60.850
UBS AG/London             12.000  4/23/2021      CHF    67.250
UBS AG/London              7.000  10/04/2021     CHF    74.450
UBS AG/London              7.250  10/04/2021     CHF    65.400
Landesbank Baden-Wuert     2.900  4/23/2021      EUR    72.950
Landesbank Baden-Wuert     4.100  4/23/2021      EUR    68.430
UBS AG/London              7.000  9/13/2021      CHF    65.250
Raiffeisen Schweiz Gen     4.400 10/21/2021      CHF    57.550
Vontobel Financial Pro    16.000  06/11/2021     EUR    64.220
SG Issuer SA               0.850 10/16/2024      EUR    11.180
Raiffeisen Schweiz Gen     8.200  4/20/2021      CHF    68.380
Credit Suisse AG/Londo     7.500  4/21/2021      EUR    60.940
Landesbank Baden-Wuert     1.800  4/23/2021      EUR    69.430
Leonteq Securities AG     12.000 10/18/2021      CHF    71.250
Vontobel Financial Pro     5.100  5/28/2021      EUR    70.653
Raiffeisen Schweiz Gen     8.600  4/21/2021      CHF    61.780
EFG International Fina    10.400 10/15/2021      EUR    63.510
UBS AG/London              7.000  10/11/2021     CHF    60.050
Erste Group Bank AG        5.800 10/31/2024      EUR    69.250
Landesbank Baden-Wuert     3.600  6/23/2023      EUR    62.870
UBS AG/London              5.500  8/23/2021      CHF    65.500
Zurcher Kantonalbank F     6.300 12/16/2022      CHF    63.380
UBS AG/London              7.000  8/23/2021      EUR    59.150
Danske Bank A/S            6.860  07/09/2022     SEK    25.790
UniCredit Bank AG          9.200 12/24/2021      EUR    73.490
UniCredit Bank AG         10.200  6/25/2021      EUR    72.060
UniCredit Bank AG         11.400  6/25/2021      EUR    70.010
UniCredit Bank AG          8.400 12/24/2021      EUR    75.030
UniCredit Bank AG         10.300 12/24/2021      EUR    71.470
UniCredit Bank AG         15.300  6/25/2021      EUR    66.530
UniCredit Bank AG         16.700  6/25/2021      EUR    64.140
UniCredit Bank AG         11.300 12/24/2021      EUR    69.850
UniCredit Bank AG         12.400  6/25/2021      EUR    71.860
Credit Suisse AG/Londo     8.250  4/27/2021      CHF    72.260
UniCredit Bank AG         11.800  6/25/2021      EUR    67.110
UniCredit Bank AG          9.300 12/24/2021      EUR    70.980
UniCredit Bank AG         13.000  6/25/2021      EUR    65.440
UniCredit Bank AG         10.100 12/24/2021      EUR    69.670
Bank Julius Baer & Co      8.850  4/28/2021      CHF    69.600
UniCredit Bank AG          7.300 12/24/2021      EUR    73.610
UniCredit Bank AG          8.100 12/24/2021      EUR    72.110
UniCredit Bank AG          9.000 12/24/2021      EUR    70.770
UniCredit Bank AG         12.900  6/25/2021      EUR    62.440
UniCredit Bank AG         13.900  6/25/2021      EUR    70.020
UniCredit Bank AG         10.200  6/25/2021      EUR    62.210
UniCredit Bank AG         10.400 12/24/2021      EUR    63.050
UniCredit Bank AG         12.600 12/24/2021      EUR    71.800
UniCredit Bank AG          8.300 12/24/2021      EUR    65.960
UniCredit Bank AG         13.200  6/25/2021      EUR    58.390
UniCredit Bank AG         14.100  6/25/2021      EUR    60.400
UniCredit Bank AG         11.700  6/25/2021      EUR    64.680
UniCredit Bank AG         10.000 12/24/2021      EUR    68.640
UniCredit Bank AG         10.800 12/24/2021      EUR    66.890
UniCredit Bank AG         12.500 12/24/2021      EUR    63.900
UniCredit Bank AG         11.700 12/24/2021      EUR    65.360
UniCredit Bank AG          7.600  6/25/2021      EUR    73.470
UniCredit Bank AG          9.900  6/25/2021      EUR    69.240
UniCredit Bank AG          8.700  6/25/2021      EUR    71.270
UniCredit Bank AG         11.100  6/25/2021      EUR    67.340
UBS AG/London             11.750  7/29/2021      CHF    71.800
Bank Julius Baer & Co     16.250  05/04/2021     CHF    69.450
Skandinaviska Enskilda     6.000  1/15/2025      SEK    72.300
Zurcher Kantonalbank F     4.000  02/11/2022     CHF    69.390
Bank Julius Baer & Co      7.500  05/05/2021     CHF    73.450
Vontobel Financial Pro    16.500  06/11/2021     EUR    71.860
UBS AG/London              9.300  08/12/2021     CHF    71.550
UBS AG/London              7.000  08/12/2021     CHF    69.750
UniCredit Bank AG         13.200  6/25/2021      EUR    63.640
Leonteq Securities AG/     4.500  09/02/2021     EUR    65.490
Leonteq Securities AG/     5.910  09/02/2021     EUR    66.030
Leonteq Securities AG/     7.290  09/02/2021     EUR    67.550
Leonteq Securities AG/     8.590  09/02/2021     EUR    67.060
Leonteq Securities AG/     9.660  09/02/2021     EUR    67.490
Leonteq Securities AG/     1.430  09/02/2021     EUR    70.850
Leonteq Securities AG/     2.470  09/02/2021     EUR    71.250
Leonteq Securities AG/     3.650  09/02/2021     EUR    71.750
Leonteq Securities AG/     5.020  09/02/2021     EUR    72.280
Leonteq Securities AG/     6.330  09/02/2021     EUR    72.770
Leonteq Securities AG/     3.290  09/02/2021     EUR    69.510
Leonteq Securities AG/     4.570  09/02/2021     EUR    70.020
Leonteq Securities AG/     6.020  09/02/2021     EUR    70.540
Leonteq Securities AG/     7.440  09/02/2021     EUR    71.060
Leonteq Securities AG/     8.760  09/02/2021     EUR    71.570
Leonteq Securities AG/     9.900  09/02/2021     EUR    70.810
Leonteq Securities AG/    11.390  09/02/2021     EUR    68.080
Leonteq Securities AG/     9.220  09/02/2021     EUR    73.750
Raiffeisen Schweiz Gen     8.500 12/13/2021      CHF    69.870
SG Issuer SA               0.850  7/29/2024      EUR    13.530
UBS AG/London             14.000  6/28/2021      CHF    68.300
UBS AG/London              8.000  6/28/2021      CHF    75.900
UBS AG/London             13.750  6/28/2021      CHF     7.610
Vontobel Financial Pro    14.500  9/24/2021      EUR    74.180
Vontobel Financial Pro    17.000  9/24/2021      EUR    71.370
Vontobel Financial Pro    20.000  9/24/2021      EUR    69.180
Vontobel Financial Pro    23.000  6/25/2021      EUR    66.700
UBS AG/London             11.000  6/28/2021      CHF    69.700
EFG International Fina    11.120 12/27/2024      EUR    66.370
Bayerische Landesbank      2.500  7/22/2022      EUR    70.960
Vontobel Financial Pro    13.000  9/24/2021      EUR    75.650
Vontobel Financial Pro    18.500  9/24/2021      EUR    70.230
Vontobel Financial Pro    14.000  6/25/2021      EUR    75.460
Vontobel Financial Pro    15.500  6/25/2021      EUR    73.380
Vontobel Financial Pro    16.000  9/24/2021      EUR    72.840
Vontobel Financial Pro    17.500  6/25/2021      EUR    71.550
Vontobel Financial Pro    21.000  6/25/2021      EUR    68.170
UBS AG/London             10.000 12/27/2021      CHF    74.200
UBS AG/London              7.250  6/28/2021      EUR    73.250
Vontobel Financial Pro    19.500  6/25/2021      EUR    69.850
Vontobel Financial Pro    18.500  6/25/2021      EUR    70.540
Vontobel Financial Pro    20.000  6/25/2021      EUR    68.550
Vontobel Financial Pro    17.500  9/24/2021      EUR    70.200
Vontobel Financial Pro    16.500  6/25/2021      EUR    72.590
Vontobel Financial Pro    14.000  9/24/2021      EUR    74.070
Credit Suisse AG/Londo    10.800  12/07/2021     USD    54.600
UBS AG/London             12.000  12/06/2021     USD    73.560
Leonteq Securities AG/     9.500  06/03/2021     EUR    58.900
Landesbank Baden-Wuert     5.700  6/25/2021      EUR    72.500
Landesbank Baden-Wuert     5.900  7/23/2021      EUR    71.770
Landesbank Baden-Wuert     2.500  7/23/2021      EUR    66.070
Landesbank Baden-Wuert     4.200  7/23/2021      EUR    61.100
Landesbank Baden-Wuert     6.500  7/23/2021      EUR    57.130
Landesbank Baden-Wuert     4.500  6/25/2021      EUR    71.960
Landesbank Baden-Wuert     3.000  6/25/2021      EUR    69.500
Landesbank Baden-Wuert     3.700  6/25/2021      EUR    67.530
Landesbank Baden-Wuert     4.750  6/25/2021      EUR    65.100
Landesbank Baden-Wuert     5.750  6/25/2021      EUR    63.460
Landesbank Baden-Wuert     7.750  6/25/2021      EUR    70.080
Deutsche Bank AG           3.800  02/04/2030     USD
Landesbank Baden-Wuert     5.050 10/22/2021      EUR    69.410
EFG International Fina     7.000  09/06/2021     EUR    74.500
Raiffeisen Schweiz Gen     6.600  3/23/2022      CHF    67.910
BNP Paribas Emissions-    10.000  3/24/2022      EUR     9.800
Leonteq Securities AG     10.000  8/17/2021      CHF    72.410
BNP Paribas Emissions-     5.000  3/24/2022      EUR    71.240
BNP Paribas Emissions-     7.000  3/24/2022      EUR    69.440
Landesbank Baden-Wuert     4.100 10/22/2021      EUR    71.690
Skandinaviska Enskilda     6.400  1/15/2025      SEK    75.120
Landesbank Baden-Wuert     4.800 10/22/2021      EUR    67.540
BNP Paribas Emissions-     6.000  9/23/2021      EUR    71.850
EFG International Fina     9.700  9/26/2022      CHF    13.740
BNP Paribas Emissions-    10.000 12/23/2021      EUR     7.280
BNP Paribas Emissions-     6.000  6/24/2021      EUR    69.660
UBS AG/London              7.250  09/06/2021     CHF    59.450
BNP Paribas Emissions-     7.000 12/23/2021      EUR    69.190
Leonteq Securities AG/     6.000  5/20/2021      CHF    74.800
Societe Generale SA        8.000  7/14/2021      USD     5.000
Corner Banca SA           11.000  7/21/2021      CHF    71.570
Zurcher Kantonalbank F     8.000 10/22/2021      EUR    66.780
BNP Paribas Emissions-     9.000  9/23/2021      EUR     4.300
UBS AG/London             12.500  06/11/2021     CHF    74.300
UBS AG/London              9.000  06/11/2021     CHF    76.450
UBS AG/London             14.000  06/11/2021     CHF    59.050
Leonteq Securities AG/    15.000  6/16/2021      CHF    61.690
EFG International Fina    15.500  6/16/2021      EUR     7.420
Leonteq Securities AG/    11.400  6/16/2021      EUR    67.630
Leonteq Securities AG      8.000 12/13/2022      CHF    70.800
UBS AG/London             10.750  05/07/2021     USD    52.800
Leonteq Securities AG/    10.000  05/10/2021     EUR    55.130
BNP Paribas Emissions-     7.000  6/24/2021      EUR    74.650
Barclays Bank PLC          2.000  5/28/2021      USD    11.560
Societe Generale Effek    12.240  6/25/2021      EUR    66.230
Societe Generale Effek    13.989  6/25/2021      EUR    61.650
Zurcher Kantonalbank F    14.000  5/21/2021      CHF    68.400
Societe Generale Effek    13.479 12/24/2021      EUR    67.980
UBS AG/London              7.000  9/27/2021      CHF    73.050
UBS AG/London              9.750  6/18/2021      CHF    74.250
UBS AG/London              7.000 12/20/2021      CHF    61.600
UBS AG/London             10.250 12/20/2021      CHF    74.700
UBS AG/London             12.000 12/20/2021      CHF    71.000
Landesbank Baden-Wuert     2.000  7/23/2021      EUR    60.490
Landesbank Baden-Wuert     3.000  6/25/2021      EUR    62.470
Landesbank Baden-Wuert     2.000  6/25/2021      EUR    67.870
Landesbank Baden-Wuert     3.500  6/25/2021      EUR    58.360
Landesbank Baden-Wuert     2.000  6/25/2021      EUR    71.550
Zurcher Kantonalbank F     6.250 12/30/2021      EUR    74.590
UBS AG/London              6.500  05/03/2021     CHF    72.150
Landesbank Baden-Wuert     5.500  7/23/2021      EUR    71.880
Landesbank Baden-Wuert     7.000  6/25/2021      EUR    52.610
Landesbank Baden-Wuert     5.000  7/23/2021      EUR    69.800
Landesbank Baden-Wuert     7.000  6/25/2021      EUR    70.920
DekaBank Deutsche Giro     5.500  12/03/2021     EUR    57.230
Landesbank Baden-Wuert     2.000  6/25/2021      EUR    66.950
Landesbank Baden-Wuert     4.000  6/25/2021      EUR    67.220
Landesbank Baden-Wuert     5.000  6/25/2021      EUR    60.950
Landesbank Baden-Wuert     5.000  7/23/2021      EUR    74.020
Landesbank Baden-Wuert     4.000  6/25/2021      EUR    61.910
Landesbank Baden-Wuert     2.500  6/25/2021      EUR    76.200
Landesbank Baden-Wuert     6.500  6/25/2021      EUR    56.270
Landesbank Baden-Wuert     4.500  6/25/2021      EUR    62.030
Leonteq Securities AG/     8.150  09/02/2021     CHF    42.720
Leonteq Securities AG     11.800 12/20/2021      CHF    71.960
Landesbank Baden-Wuert     3.000  6/25/2021      EUR    66.700
Landesbank Baden-Wuert     2.500  6/25/2021      EUR    70.130
Landesbank Baden-Wuert     5.500  6/25/2021      EUR    61.200
Landesbank Baden-Wuert     3.000  6/25/2021      EUR    70.950
Landesbank Baden-Wuert     6.500  6/25/2021      EUR    73.840
Landesbank Baden-Wuert     5.500  6/25/2021      EUR    56.830
Landesbank Baden-Wuert     3.500  7/23/2021      EUR    56.300
Landesbank Baden-Wuert     5.000  7/23/2021      EUR    52.030
Leonteq Securities AG     11.000 12/20/2021      CHF    75.020
Zurcher Kantonalbank F     8.000  5/16/2022      CHF    72.260
UBS AG/London              7.000  8/30/2021      CHF    64.300
DekaBank Deutsche Giro     3.000  9/24/2021      EUR    71.650
DekaBank Deutsche Giro     4.000  1/14/2022      EUR    72.670
Societe Generale Effek    17.468  6/25/2021      EUR    70.550
Zurcher Kantonalbank F     8.125  02/11/2022     EUR    66.370
Zurcher Kantonalbank F     9.750  02/11/2022     USD    68.090
Leonteq Securities AG/    11.200  08/04/2021     CHF    75.140
UBS AG/London             12.000  08/05/2021     CHF    71.650
UBS AG/London             11.500  08/05/2021     CHF    73.800
Araratbank OJSC            5.500  1/29/2024      USD    24.978
Leonteq Securities AG/    13.500  05/12/2021     EUR     3.120
UBS AG/London             10.500 11/15/2021      CHF    73.800
UBS AG/London             11.000  5/14/2021      CHF    67.750
Credit Suisse AG/Londo    10.000  5/14/2021      EUR    74.020
Leonteq Securities AG/     6.800  5/18/2021      EUR    60.780
BNP Paribas Issuance B     7.150  11/07/2024     SEK    71.120
Credit Suisse AG/Londo    11.500  5/20/2021      CHF    67.090
Credit Suisse AG/Londo     7.600  7/23/2021      EUR    70.540
UBS AG/London             14.000 12/20/2021      CHF    65.750
EFG International Fina     5.600  07/11/2024     EUR    25.830
Zurcher Kantonalbank F     8.000  05/07/2021     CHF    67.510
Bank Julius Baer & Co     10.000  6/21/2021      EUR    63.950
Landesbank Baden-Wuert     3.250  7/28/2023      EUR    67.060
Bayerische Landesbank      1.450  1/26/2024      EUR    66.660
Leonteq Securities AG/     7.500 12/20/2021      EUR    59.750
WEB Windenergie AG         2.500  9/26/2021      EUR     0.010
Vontobel Financial Pro    20.000  6/25/2021      EUR    62.500
Vontobel Financial Pro    22.000  6/25/2021      EUR    61.120
Vontobel Financial Pro    16.500  9/24/2021      EUR    65.040
Vontobel Financial Pro    18.000  6/25/2021      EUR    63.980
Vontobel Financial Pro    16.000  6/25/2021      EUR    65.600
Raiffeisen Schweiz Gen     7.800 11/22/2021      CHF    60.120
Raiffeisen Schweiz Gen     9.000  5/25/2021      CHF    67.690
BNP Paribas Emissions-     9.000  6/24/2021      EUR    70.830
Societe Generale SA       10.000  12/02/2021     USD    64.200
Raiffeisen Schweiz Gen     7.060  06/02/2021     USD    58.430
BNP Paribas Emissions-     8.000  6/24/2021      EUR    64.060
UBS AG/London              7.000 11/29/2021      EUR    62.300
Landesbank Baden-Wuert     3.000 11/26/2021      EUR    61.680
DekaBank Deutsche Giro     3.250 11/25/2022      EUR    71.490
Vontobel Financial Pro    11.000  05/11/2021     EUR    61.217
EFG International Fina     9.000  9/20/2021      EUR    60.230
Leonteq Securities AG/     2.290 10/29/2021      EUR    51.290
SG Issuer SA               7.440  05/03/2021     CHF    54.050
UniCredit Bank AG         10.000  6/25/2021      EUR    67.390
UniCredit Bank AG         12.300  6/25/2021      EUR    59.590
UniCredit Bank AG          7.500  6/25/2021      EUR    73.090
UniCredit Bank AG         12.300  6/25/2021      EUR    48.180
UniCredit Bank AG         10.900 12/24/2021      EUR    74.390
UniCredit Bank AG         15.100  6/25/2021      EUR    56.850
UniCredit Bank AG          5.700 12/24/2021      EUR    70.090
UniCredit Bank AG          9.900 12/24/2021      EUR    71.500
UniCredit Bank AG          9.900  6/25/2021      EUR    68.260
UniCredit Bank AG          7.400 12/24/2021      EUR    70.100
UniCredit Bank AG         11.200  6/25/2021      EUR    50.030
UniCredit Bank AG         12.800  6/25/2021      EUR    71.580
UniCredit Bank AG         11.000  6/25/2021      EUR    56.880
UniCredit Bank AG         12.900 12/24/2021      EUR    59.100
UniCredit Bank AG          9.100 12/24/2021      EUR    66.020
Landesbank Hessen-Thue     7.000  4/29/2022      EUR    73.380
SG Issuer SA               9.800  05/03/2021     USD    56.700
UniCredit Bank AG         10.200  6/25/2021      EUR    52.090
Societe Generale SA       13.010  02/02/2023     USD    65.200
UniCredit Bank AG         11.700  6/25/2021      EUR    73.430
UniCredit Bank AG         13.000  6/25/2021      EUR    60.850
UniCredit Bank AG          7.800 12/24/2021      EUR    63.230
UniCredit Bank AG         11.800  6/25/2021      EUR    73.730
UniCredit Bank AG          9.900 12/24/2021      EUR    64.490
UniCredit Bank AG          8.900 12/24/2021      EUR    53.600
UniCredit Bank AG          8.300  6/25/2021      EUR    63.780
UniCredit Bank AG         10.000 12/24/2021      EUR    58.210
UniCredit Bank AG          9.300 12/24/2021      EUR    59.740
UniCredit Bank AG          8.100 12/24/2021      EUR    55.220
UniCredit Bank AG          8.300 12/24/2021      EUR    71.070
UniCredit Bank AG         13.600  6/25/2021      EUR    66.080
UniCredit Bank AG          9.700 12/24/2021      EUR    52.150
UniCredit Bank AG         11.200 12/24/2021      EUR    49.600
UniCredit Bank AG         11.100 12/24/2021      EUR    69.140
UniCredit Bank AG         12.000  6/25/2021      EUR    54.980
Rosbank PJSC               0.030  4/30/2024      RUB    65.000
HPI AG                     3.500                 EUR     3.011
UBS AG/London              5.750  8/16/2021      CHF    71.550
Mifa Mitteldeutsche Fa     7.500  08/12/2018     EUR     2.100
Landesbank Hessen-Thue     7.700  8/20/2021      EUR    54.070
EFG International Fina    13.000  11/08/2021     EUR    67.940
Vontobel Financial Pro     4.300  5/24/2021      EUR    75.770
UBS AG/London              8.000  11/08/2021     CHF    59.600
Leonteq Securities AG/     6.000 11/23/2021      CHF    55.250
DekaBank Deutsche Giro     2.400  6/17/2022      EUR    72.570
Raiffeisen Schweiz Gen     5.500  5/24/2022      CHF    76.090
Zurcher Kantonalbank F     9.000  06/04/2021     CHF    74.630
DekaBank Deutsche Giro     4.150  07/01/2022     EUR    59.370
Landesbank Hessen-Thue     5.750  07/12/2024     EUR    62.160
UBS AG/London              6.250  06/07/2021     CHF    53.950
UBS AG/London              8.750  06/07/2021     EUR    58.400
Bayerische Landesbank      2.700  5/14/2021      EUR    58.970
Leonteq Securities AG      6.600  10/12/2021     CHF    64.320
UniCredit Bank AG         11.400 12/24/2021      EUR    61.600
UniCredit Bank AG         12.000  6/25/2021      EUR    69.500
Landesbank Hessen-Thue     6.000  03/06/2025     EUR    54.580
UBS AG/London             14.250  05/06/2021     CHF    61.250
UBS AG/London              7.500  9/20/2021      CHF    58.300
Vontobel Financial Pro    10.000 12/24/2021      EUR    75.182
Vontobel Financial Pro    15.000  9/24/2021      EUR    65.995
Vontobel Financial Pro    19.500  6/25/2021      EUR    63.351
SG Issuer SA               0.350 11/15/2023      EUR    20.430
Vontobel Financial Pro    19.500  6/25/2021      EUR    68.488
Leonteq Securities AG/     4.890 11/26/2021      USD    67.510
Vontobel Financial Pro    10.000  9/24/2021      EUR    73.725
Lehman Brothers Treasu     9.250  6/20/2012      USD     0.100
Mriya Agro Holding PLC    10.950  3/30/2016      USD     4.374
Lehman Brothers Treasu     3.000  9/13/2010      JPY     0.100
Heta Asset Resolution      5.270 12/31/2023      EUR     1.994
Mriya Agro Holding PLC    10.950  3/30/2016      USD     4.374
Getin Noble Bank SA        5.250 11/30/2023      PLN    70.645
Getin Noble Bank SA        5.250 12/21/2023      PLN    70.412
Getin Noble Bank SA        5.250  04/04/2024     PLN    59.778
Lehman Brothers Treasu     8.600  7/31/2013      GBP     0.100
Lehman Brothers Treasu     7.320  7/31/2013      GBP     0.100
WPE International Coop    10.375  9/30/2020      USD     4.922
Lehman Brothers Treasu     3.600  3/19/2018      JPY     0.100
Lehman Brothers Treasu     8.280  7/31/2013      GBP     0.100
Spoldzielczy Bank Rozw     3.750  7/16/2025      PLN    74.885
Lehman Brothers Treasu     1.280  11/06/2010     JPY     0.100
Lehman Brothers Treasu     4.000  12/02/2012     EUR     0.100
Lehman Brothers Treasu     7.500  7/31/2013      GBP     0.100
Leonteq Securities AG/    15.180 12/27/2021      EUR    11.440
DekaBank Deutsche Giro     3.700 11/25/2022      EUR    68.250
Leonteq Securities AG     14.800  05/04/2021     CHF    61.760
Landesbank Baden-Wuert     2.000 11/26/2021      EUR    65.220
Landesbank Baden-Wuert     4.000 11/26/2021      EUR    59.500
Landesbank Hessen-Thue     7.770  7/15/2021      EUR    36.840
EFG International Fina    15.000  4/30/2021      CHF    67.580
DekaBank Deutsche Giro     2.300  4/16/2021      EUR    54.570
Bibby Offshore Service     7.500  6/15/2021      GBP    11.500
Lehman Brothers Treasu     5.250 11/21/2009      USD     0.100
Lehman Brothers Treasu     2.300  6/27/2013      USD     0.100
Kaupthing ehf              6.500  10/08/2010     ISK     0.250
Lehman Brothers Treasu     1.950  11/04/2013     EUR     0.100
Lehman Brothers Treasu     4.870  10/08/2013     USD     0.100
Lehman Brothers Treasu     3.630  03/02/2012     EUR     0.100
Lehman Brothers Treasu     0.750  3/29/2012      EUR     0.100
Lehman Brothers Treasu     3.000  08/08/2017     EUR     0.100
Hellas Telecommunicati     8.500 10/15/2013      EUR     0.540
Lehman Brothers Treasu     6.000  7/28/2010      EUR     0.100
Lehman Brothers Treasu     6.000  7/28/2010      EUR     0.100
Lehman Brothers Treasu     4.500  03/07/2015     EUR     0.100
Lehman Brothers Treasu     3.025  1/31/2015      EUR     0.100
Kuntarahoitus Oyj          0.250  6/28/2040      CAD    38.412
Getin Noble Bank SA        4.250  7/26/2024      PLN    54.818
Lehman Brothers Treasu     3.820 10/20/2009      USD     0.100
IT Holding Finance SA      9.875 11/15/2012      EUR     0.255
Lehman Brothers Treasu     6.000  3/17/2011      EUR     0.100
Lehman Brothers Treasu     0.500  2/16/2009      EUR     0.100
Credit Suisse AG           0.500 12/16/2025      BRL    64.694
Bank Otkritie Financia     0.010  7/16/2025      RUB    72.660
Lehman Brothers Treasu     4.000  2/28/2010      EUR     0.100
Lehman Brothers Treasu     4.100  5/20/2009      USD     0.100
Lehman Brothers Treasu     2.000  5/17/2010      EUR     0.100
Heta Asset Resolution      4.875 12/31/2023      EUR     1.994
Heta Asset Resolution      5.030 12/31/2023      EUR     1.994
Rosbank PJSC               0.020  4/30/2024      RUB    65.000
Kaupthing ehf              7.500  12/05/2014     ISK     0.250
Lehman Brothers Treasu     2.370  7/15/2013      USD     0.100
Teksid Aluminum Luxemb    12.375  7/15/2011      EUR     0.122
Grupo Isolux Corsan SA     6.000 12/30/2021      USD     0.732
Grupo Isolux Corsan SA     1.000 12/30/2021      USD     0.265
Getin Noble Bank SA        5.250  1/31/2024      PLN    64.875
Rosbank PJSC               0.040  4/30/2024      RUB    65.000
Lehman Brothers Treasu     3.700  06/06/2009     EUR     0.100
HSBC Bank PLC              0.500 12/22/2025      BRL    63.716
Barclays Bank PLC         10.200  2/14/2025      TRY    71.328
Sidetur Finance BV        10.000  4/20/2016      USD     2.749
Lehman Brothers Treasu     4.250  3/13/2021      EUR     0.100
Lehman Brothers Treasu     8.500  07/06/2009     CHF     0.100
Lehman Brothers Treasu     5.103  6/22/2046      EUR     0.100
Getin Noble Bank SA        5.250  3/31/2023      PLN    75.230
Lehman Brothers Treasu     7.500  9/13/2009      CHF     0.100
Lehman Brothers Treasu     0.250  7/21/2014      EUR     0.100
Lehman Brothers Treasu     4.500  03/06/2013     CHF     0.100
Espirito Santo Financi     5.625  7/28/2017      EUR     0.785
Lehman Brothers Treasu     5.500  6/15/2009      CHF     0.100
Lehman Brothers Treasu     8.000  08/03/2009     USD     0.100
Lehman Brothers Treasu     1.500 10/25/2011      EUR     0.100
Lehman Brothers Treasu    10.000  3/27/2009      USD     0.100
Kaupthing ehf              6.125  10/04/2016     USD     0.250
Lehman Brothers Treasu     5.750  6/15/2009      CHF     0.100
Lehman Brothers Treasu     4.000  4/13/2011      CHF     0.100
Lehman Brothers Treasu     7.000  4/14/2009      EUR     0.100
Lehman Brothers Treasu     2.000 10/28/2010      EUR     0.100
Lehman Brothers Treasu     7.750  1/30/2009      EUR     0.100
Lehman Brothers Treasu     3.860  9/21/2011      SGD     0.100
Lehman Brothers Treasu    10.500  08/09/2010     EUR     0.100
Lehman Brothers Treasu     8.000  5/22/2009      USD     0.100
Lehman Brothers Treasu     5.000 10/24/2008      CHF     0.100
Lehman Brothers Treasu     7.500 10/24/2008      USD     0.100
Lehman Brothers Treasu     6.000 10/24/2008      EUR     0.100
Lehman Brothers Treasu     8.000  4/20/2009      EUR     0.100
Lehman Brothers Treasu     7.000  07/11/2010     EUR     0.100
Lehman Brothers Treasu     4.500 12/30/2010      USD     0.100
Lehman Brothers Treasu     4.150  8/25/2020      EUR     0.100
Lehman Brothers Treasu     6.000  12/06/2016     USD     0.100
Kreditanstalt fuer Wie     0.250  10/06/2036     CAD    49.140
Lehman Brothers Treasu     3.500 10/31/2011      USD     0.100
BRAbank ASA/NO             7.440                 NOK    62.052
Lehman Brothers Treasu     7.585 11/22/2009      MXN     0.100
Lehman Brothers Treasu     6.600  2/22/2012      EUR     0.100
Lehman Brothers Treasu     3.500 10/24/2011      USD     0.100
Lehman Brothers Treasu     0.250 10/19/2012      CHF     0.100
Lehman Brothers Treasu     2.400  6/20/2011      JPY     0.100
Lehman Brothers Treasu     1.600  6/21/2010      JPY     0.100
Lehman Brothers Treasu     6.000  2/14/2012      EUR     0.100
Lehman Brothers Treasu     7.000  2/15/2012      EUR     0.100
Lehman Brothers Treasu     4.690  2/19/2017      EUR     0.100
Lehman Brothers Treasu    15.000  3/30/2011      EUR     0.100
Lehman Brothers Treasu     6.750  04/05/2012     EUR     0.100
Lehman Brothers Treasu     5.100  05/08/2017     HKD     0.100
Lehman Brothers Treasu     5.000  4/24/2017      EUR     0.100
Lehman Brothers Treasu    13.500 11/28/2008      USD     0.100
Lehman Brothers Treasu     1.680  03/05/2015     EUR     0.100
Getin Noble Bank SA        5.250  8/31/2023      PLN    65.875
Lehman Brothers Treasu     1.750  02/07/2010     EUR     0.100
Heta Asset Resolution      0.217 12/31/2023      EUR     1.994
Kaupthing ehf              5.000  01/04/2027     SKK     0.250
Lehman Brothers Treasu     5.200  3/19/2018      EUR     0.100
Lehman Brothers Treasu     4.000 11/24/2016      EUR     0.100
SG Issuer SA               3.300  9/26/2034      ZAR    47.580
SG Issuer SA               2.700 11/28/2034      ZAR    42.832
SG Issuer SA               3.000  10/10/2034     ZAR    45.358
Lehman Brothers Treasu     2.500 12/15/2011      GBP     0.100
Lehman Brothers Treasu    11.000  6/29/2009      EUR     0.100
Lehman Brothers Treasu    11.000 12/19/2011      USD     0.100
Lehman Brothers Treasu     4.500  08/02/2009     USD     0.100
Lehman Brothers Treasu     4.000  4/24/2009      USD     0.100
Lehman Brothers Treasu     9.000  3/17/2009      GBP     0.100
Lehman Brothers Treasu     7.250  10/06/2008     EUR     0.100
Lehman Brothers Treasu     9.000  6/13/2009      USD     0.100
Lehman Brothers Treasu     7.000 11/28/2008      CHF     0.100
Lehman Brothers Treasu     3.850  4/24/2009      USD     0.100
Northland Resources AB    15.000  7/15/2019      USD     2.621
Northland Resources AB    15.000  7/15/2019      USD     2.621
LBI ehf                    2.250  2/14/2011      CHF     9.375
Lehman Brothers Treasu     4.000  10/12/2010     USD     0.100
ECM Real Estate Invest     5.000  10/09/2011     EUR    15.375
Lehman Brothers Treasu     7.000 10/22/2010      EUR     0.100
Lehman Brothers Treasu     4.800 11/16/2012      HKD     0.100
Petromena ASA             10.850 11/19/2018      USD     0.622
PSN Pm OOO                 9.500  09/10/2026     RUB    21.625
Natixis SA                 0.300  6/25/2048      USD    45.671
LBI ehf                    7.431                 USD     0.001
Lehman Brothers Treasu     3.400  9/21/2009      HKD     0.100
Lehman Brothers Treasu     3.000  8/13/2011      EUR     0.100
Getin Noble Bank SA        5.250  11/09/2023     PLN    70.605
Kaupthing ehf              3.750  2/15/2024      ISK     0.250
Lehman Brothers Treasu     2.500  8/23/2012      GBP     0.100
Lehman Brothers Treasu    18.250  10/02/2008     USD     0.100
Lehman Brothers Treasu     6.000  5/23/2018      CZK     0.100
Lehman Brothers Treasu     3.350 10/13/2016      EUR     0.100
Lehman Brothers Treasu     0.800 12/30/2016      EUR     0.100
Lehman Brothers Treasu     5.000  05/02/2022     EUR     0.100
Lehman Brothers Treasu     2.250  05/12/2009     USD     0.100
Kaupthing ehf              5.250  7/18/2017      BGN     0.250
RGS Nedvizhimost OOO      12.000 10/18/2017      RUB     0.335
Lehman Brothers Treasu    13.000  7/25/2012      EUR     0.100
Lehman Brothers Treasu     4.000  5/17/2010      USD     0.100
Lehman Brothers Treasu     4.000  5/30/2010      USD     0.100
Lehman Brothers Treasu     2.480  05/12/2009     USD     0.100
Lehman Brothers Treasu     4.100  06/10/2014     SGD     0.100
Elli Investments Ltd      12.250  6/15/2020      GBP    52.265
Lehman Brothers Treasu     6.000  9/20/2011      EUR     0.100
Lehman Brothers Treasu     0.500 12/20/2017      AUD     0.100
Lehman Brothers Treasu     9.300 12/21/2010      EUR     0.100
Lehman Brothers Treasu     0.500 12/20/2017      AUD     0.100
Lehman Brothers Treasu     0.500 12/20/2017      AUD     0.100
Lehman Brothers Treasu     0.500 12/20/2017      AUD     0.100
Lehman Brothers Treasu     8.800 12/27/2009      EUR     0.100
Lehman Brothers Treasu    11.000 12/20/2017      AUD     0.100
Kaupthing ehf              4.730 12/19/2008      SKK     0.250
Lehman Brothers Treasu     0.500 12/20/2017      AUD     0.100
Lehman Brothers Treasu    11.000 12/20/2017      AUD     0.100
Lehman Brothers Treasu    11.000 12/20/2017      AUD     0.100
Lehman Brothers Treasu     4.000  01/04/2011     USD     0.100
Lehman Brothers Treasu    16.000  10/08/2008     CHF     0.100
KPNQwest NV                7.125  06/01/2009     EUR     0.068
Lehman Brothers Treasu     4.600  10/11/2017     ILS     0.100
Lehman Brothers Treasu     5.200  11/09/2011     EUR     0.100
Lehman Brothers Treasu     3.500 12/20/2027      USD     0.100
Waste Italia SpA          10.500 11/15/2019      EUR     0.500
Lehman Brothers Treasu     1.500  10/12/2010     EUR     0.100
Lehman Brothers Treasu     5.375  02/04/2014     USD     0.100
Lehman Brothers Treasu    13.000  2/16/2009      CHF     0.100
Lehman Brothers Treasu     0.500 12/20/2017      USD     0.100
Lehman Brothers Treasu     6.300 12/21/2018      USD     0.100
Lehman Brothers Treasu    11.000  2/16/2009      CHF     0.100
Lehman Brothers Treasu     4.200  12/03/2008     HKD     0.100
Lehman Brothers Treasu     8.000 12/31/2010      USD     0.100
Kaupthing ehf              7.625  2/28/2015      USD     0.250
Lehman Brothers Treasu     8.050 12/20/2010      HKD     0.100
Irish Bank Resolution      6.750 11/30/2013      BGN    33.250
Kommunalbanken AS          4.800  12/01/2022     TRY    75.963
Sberbank CIB CJSC          0.010  01/04/2030     RUB    51.366
Lehman Brothers Treasu     1.000  2/26/2010      USD     0.100
Lehman Brothers Treasu     6.000  3/18/2015      USD     0.100
Lehman Brothers Treasu     0.500 12/20/2017      USD     0.100
Lehman Brothers Treasu     0.500 12/20/2017      USD     0.100
Lehman Brothers Treasu     0.500 12/20/2017      USD     0.100
Lehman Brothers Treasu     8.000  3/19/2012      USD     0.100
KPNQwest NV                8.875  02/01/2008     EUR     0.068
Lehman Brothers Treasu     8.000  3/21/2018      USD     0.100
Lehman Brothers Treasu     4.000  03/10/2011     EUR     0.100
Lehman Brothers Treasu     1.000  05/09/2012     EUR     0.100
Lehman Brothers Treasu    10.600  4/22/2014      MXN     0.100
Lehman Brothers Treasu    10.442 11/22/2008      CHF     0.100
Lehman Brothers Treasu    10.000  5/22/2009      USD     0.100
Northland Resources AB    12.250  3/26/2016      USD     2.621
Lehman Brothers Treasu     5.250  04/01/2023     EUR     0.100
Getin Noble Bank SA        5.250  5/31/2023      PLN    70.147
Credit Agricole Corpor    10.150  02/05/2025     TRY    73.003
Getin Noble Bank SA        5.250  4/28/2023      PLN    70.093
Instabank ASA              9.430                 NOK    58.748
Lehman Brothers Treasu     6.700  4/21/2011      USD     0.100
Lehman Brothers Treasu     3.000  09/12/2036     JPY     0.100
Norske Skog Holding AS     8.000  2/24/2021      EUR     0.006
Lehman Brothers Treasu    13.000 12/14/2012      USD     0.100
SAir Group                 2.750  7/30/2004      CHF    12.625
Lehman Brothers Treasu     0.500  08/01/2020     EUR     0.100
Lehman Brothers Treasu     4.680  12/12/2045     EUR     0.100
Deutsche Bank AG/Londo     2.000 10/25/2023      TRY    65.214
Lehman Brothers Treasu     4.820 12/18/2036      EUR     0.100
Lehman Brothers Treasu     7.750  2/21/2016      EUR     0.100
Lehman Brothers Treasu     5.500  4/23/2014      EUR     0.100
Lehman Brothers Treasu    15.000  06/04/2009     CHF     0.100
Lehman Brothers Treasu     7.600  03/04/2010     NZD     0.100
Lehman Brothers Treasu    13.500  06/02/2009     USD     0.100
Lehman Brothers Treasu     5.000 11/22/2012      EUR     0.100
Lehman Brothers Treasu     4.600  08/01/2013     EUR     0.100
Lehman Brothers Treasu     1.460  2/19/2012      JPY     0.100
Lehman Brothers Treasu     6.250  09/05/2011     EUR     0.100
Lehman Brothers Treasu    16.800  8/21/2009      USD     0.100
Lehman Brothers Treasu     4.000  06/05/2011     USD     0.100
Lehman Brothers Treasu     2.300  06/06/2013     USD     0.100
Lehman Brothers Treasu     4.300  06/04/2012     USD     0.100
Lehman Brothers Treasu    10.000  2/16/2009      CHF     0.100
Lehman Brothers Treasu     7.000  2/15/2010      CHF     0.100
Lehman Brothers Treasu    14.900 11/16/2010      EUR     0.100
Lehman Brothers Treasu    11.750  03/01/2010     EUR     0.100
Lehman Brothers Treasu     3.000  06/03/2010     EUR     0.100
Lehman Brothers Treasu     7.600  5/21/2013      USD     0.100
Lehman Brothers Treasu    11.000  07/04/2011     USD     0.100
Lehman Brothers Treasu    11.000  07/04/2011     CHF     0.100
Lehman Brothers Treasu     8.875  1/28/2011      HKD     0.100
Lehman Brothers Treasu     5.550  03/12/2015     EUR     0.100
Lehman Brothers Treasu     2.000  6/28/2011      EUR     0.100
Lehman Brothers Treasu     0.500  06/02/2020     EUR     0.100
Lehman Brothers Treasu    12.400  06/12/2009     USD     0.100
Lehman Brothers Treasu     5.500  07/08/2013     EUR     0.100
Polski Bank Spoldzielc     3.750  9/14/2027      PLN    64.873
Lehman Brothers Treasu    10.000  6/17/2009      USD     0.100
Lehman Brothers Treasu    12.000  07/04/2011     EUR     0.100
Lehman Brothers Treasu     6.850 12/22/2008      EUR     0.100
Lehman Brothers Treasu     7.550 12/29/2008      USD     0.100
Lehman Brothers Treasu     7.600  3/26/2009      EUR     0.100
Lehman Brothers Treasu     7.500  5/30/2010      AUD     0.100
Lehman Brothers Treasu    14.100  11/12/2008     USD     0.100
Lehman Brothers Treasu     7.250  07/08/2014     EUR     0.100
Lehman Brothers Treasu     6.000  08/07/2013     EUR     0.100
Lehman Brothers Treasu    11.250 12/31/2008      USD     0.100
Kaupthing ehf              9.750  09/10/2015     USD     0.250
Lehman Brothers Treasu     8.280  3/26/2009      USD     0.100
Lehman Brothers Treasu    16.000 12/26/2008      USD     0.100
LBI ehf                    5.080  03/01/2013     ISK     9.375
Lehman Brothers Treasu     2.673  9/21/2010      JPY     0.100
Laurel GmbH                7.125 11/16/2017      EUR     7.750
Lehman Brothers Treasu     7.750  01/03/2012     AUD     0.100
Lehman Brothers Treasu     2.500  8/15/2012      CHF     0.100
Lehman Brothers Treasu     0.500  07/02/2020     EUR     0.100
Lehman Brothers Treasu    13.150 10/30/2008      USD     0.100
Lehman Brothers Treasu    13.432  01/08/2009     ILS     0.100
Lehman Brothers Treasu     3.100  06/04/2010     USD     0.100
Lehman Brothers Treasu    16.000  11/09/2008     USD     0.100
Lehman Brothers Treasu    16.200  5/14/2009      USD     0.100
Lehman Brothers Treasu     9.000  05/06/2011     CHF     0.100
Lehman Brothers Treasu     6.450  2/20/2010      AUD     0.100
Lehman Brothers Treasu     7.625  7/22/2011      HKD     0.100
Lehman Brothers Treasu    17.000  06/02/2009     USD     0.100
Lehman Brothers Treasu     8.000  5/22/2009      USD     0.100
Kaupthing ehf              2.775  05/10/2045     ISK     0.250
Lehman Brothers Treasu     7.000  4/24/2009      USD     0.100
Lehman Brothers Treasu    10.000 10/23/2008      USD     0.100
Lehman Brothers Treasu     6.000  03/04/2015     USD     0.100
Lehman Brothers Treasu     2.430  9/25/2009      USD     0.100
Lehman Brothers Treasu    10.000 10/22/2008      USD     0.100
Lehman Brothers Treasu    16.000 10/28/2008      USD     0.100
Lehman Brothers Treasu     6.600  5/23/2012      AUD     0.100
Lehman Brothers Treasu     3.450  5/23/2013      USD     0.100
Lehman Brothers Treasu     6.600  02/09/2009     EUR     0.100
Lehman Brothers Treasu     6.720 12/29/2008      EUR     0.100
Lehman Brothers Treasu     7.600  1/31/2013      AUD     0.100
Lehman Brothers Treasu     7.060 12/29/2008      EUR     0.100
Lehman Brothers Treasu     3.500  6/20/2011      EUR     0.100
Lehman Brothers Treasu     7.150  3/21/2013      USD     0.100
Norske Skogindustrier      2.000 12/30/2115      EUR     0.113
Lehman Brothers Treasu     7.500  2/14/2010      AUD     0.100
Lehman Brothers Treasu    10.000  06/11/2038     JPY     0.100
Lehman Brothers Treasu     6.000  6/21/2011      EUR     0.100
Lehman Brothers Treasu     2.000  6/21/2011      EUR     0.100
Lehman Brothers Treasu     8.000 12/27/2032      JPY     0.100
Lehman Brothers Treasu     4.100  8/23/2010      USD     0.100
Lehman Brothers Treasu     1.500  02/08/2012     CHF     0.100
Lehman Brothers Treasu     5.120  4/30/2027      EUR     0.100
Lehman Brothers Treasu     0.010  9/20/2011      USD     0.100
Lehman Brothers Treasu    12.000  7/13/2037      JPY     0.100
UniCredit Bank AG          5.600  4/16/2021      EUR    61.410



                           *********


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 2021.  All rights reserved.  ISSN 1529-2754.

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

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

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


                * * * End of Transmission * * *