/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/210705.mbx T R O U B L E D C O M P A N Y R E P O R T E R E U R O P E Monday, July 5, 2021, Vol. 22, No. 127 Headlines I R E L A N D BULA: Co-Founder Loses Supreme Court Bankruptcy Ruling Appeal CAIRN CLO X: Fitch Affirms Final B- Rating on Class F Notes FINANCE IRELAND 3: DBRS Finalizes BB(low) Rating on Class X Notes LAST MILE: DBRS Gives Prov. B(high) Rating on Class F Notes MULCAIR SECURITIES 2: DBRS Finalizes BB(low) Rating on Cl. F Notes VOYA EURO CLO II: Fitch Gives B-(EXP) Rating to Class F-R Debt I T A L Y SIENA PMI 2016: DBRS Confirms CC Rating on Class D Notes N E T H E R L A N D S NOURYON HOLDING: Fitch Affirms 'B+' LongTerm IDR, Outlook Stable R O M A N I A COS TARGOVISTE: Dambovita Court Launches Bankruptcy Proceedings R U S S I A BANK AVERS: Fitch Affirms 'BB' LongTerm IDRs, Outlook Stable BANK LEVOBEREZHNY: Fitch Alters Outlook on 'BB' IDRs to Stable EURASIA DRILLING: Fitch Affirms 'BB+' LT IDR, Outlook Stable OTP BANK: Fitch Alters Outlook on 'BB+' LT IDRs to Stable SPASSKIYE: Bank of Russia Provides Update on Administration S P A I N AUTONORIA SPAIN 2021: Fitch Assigns Final B+ Rating on F Debt AYT GENOVA X: Fitch Affirms B- Rating on Class D Debt CAIXABANK CONSUMO 5: DBRS Hikes Series B Notes Rating to B(high) CAIXABANK PYMES 8: DBRS Confirms CCC(low) Rating on Series B Notes RURAL HIPOTERARIO VIII: Fitch Affirms CC Rating on Class E Debt T U R K E Y MILLI REASURANS: A.M. Best Affirms B(Fair) Finc'l. Strength Rating U N I T E D K I N G D O M ADRIAN POOLE: Goes Into Administration Due to Pandemic DEBENHAMS PLC: Ex-Chair Blames Ashley for Scuppering Rescue GFG ALLIANCE: Gupta In Talks with Glencore to Refinance Debt NEWDAY FUNDING 2021-2: DBRS Gives Prov. B(high) Rating on F Notes RALPH & RUSSO: Bought Out of Administration by Retail Ecommerce SCORPIO 34: DBRS Confirms BB Rating on Class E Notes X X X X X X X X [*] BOND PRICING: For the Week June 28 to July 2, 2021 - - - - - ============= I R E L A N D ============= BULA: Co-Founder Loses Supreme Court Bankruptcy Ruling Appeal ------------------------------------------------------------- Mary Carolan at The Irish Times reports that a co-founder of the collapsed Bula mine in Co Meath has lost a Supreme Court appeal aimed at permitting him to challenge a decision adjudicating him bankrupt over non-payment of a EUR4.8 million legal costs debt. The High Court granted a petition in March 2018 adjudicating Michael Wymes and another co-founder of Bula, Richard Wood, bankrupt, The Irish Times relates. The two, with Tom Roche senior, established Bula in 1971 to buy a zinc and lead mine near Navan but it collapsed with substantial debts some years later, The Irish Times recounts. The State was a shareholder in the company and a protracted litigation followed, The Irish Times relays. In July 2003, costs of the litigation were taxed at EUR3.29 million and the bill, plus interest, amounted to some EUR4.8 million, The Irish Times discloses. The Minister for Communications, Energy and Natural Resources set about recovering that money and issued bankruptcy proceedings against Mr. Wymes and Mr. Wood, The Irish Times relates. Further litigation followed over the bankruptcy summonses, the report notes. Ultimately, in March 2018, the High Court's Mr. Justice Charles Meenan ruled the Minister was entitled to orders adjudicating both men bankrupt, The Irish Times discloses. Neither man appealed that order but Mr. Wymes, representing himself, later went to the High Court seeking to dispute the validity of the adjudication of bankruptcy against him, The Irish Times recounts. According to The Irish Times, Wymes argued, inter alia, that no act of bankruptcy had occurred in the three months preceding the petition and he could not have committed an act of bankruptcy while the validity of the bankruptcy summons had yet to be adjudicated. After the High Court refused Wymes' application in April 2019, he appealed. In July 2020, the Court of Appeal (CoA) dismissed Wymes' appeal, The Irish Times relates. It said the requirement that an act of bankruptcy on which the petition was founded must have occurred within three months before the petition was presented had been met, according to The Irish Times. Mr. Wymes sought a further appeal and the Supreme Court agreed to hear an appeal centred on a legal issue not to date considered by the Irish courts, The Irish Times discloses. The issue, outlined by Ms. Justice Marie Baker in the five-judge court's judgment on July 1, is whether a debtor can commit an act of bankruptcy when they have challenged the summons relied on by the creditor, The Irish Times notes. According to The Irish Times, Mr. Wymes, the judge noted, argued the Bankruptcy Act 1988, as amended, is deficient in not providing for a postponement or enlargement of time for the happening of an act of bankruptcy. She said that argument was "difficult to reconcile" with the plain language of the Act which does not say the time limit provided for in section 7(1)(g) is suspended or postponed, or that time does not run for the happening of an act of bankruptcy if a challenge to the summons is issued, The Irish Times relays. She held that the 1988 Act does not provide that an application to dismiss the summons acts as a stay, The Irish Times states. CAIRN CLO X: Fitch Affirms Final B- Rating on Class F Notes ----------------------------------------------------------- Fitch Ratings has assigned Cairn CLO X DAC refinancing notes final ratings and affirmed classes E and F. DEBT RATING PRIOR ---- ------ ----- Cairn CLO X DAC A XS1880990095 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating AAA(EXP)sf B-1 XS1880990418 LT PIFsf Paid In Full AAsf B-1-R LT AAsf New Rating AA(EXP)sf B-2 XS1880990764 LT PIFsf Paid In Full AAsf B-2-R LT AAsf New Rating AA(EXP)sf C-1 XS1880991069 LT PIFsf Paid In Full Asf C-1-R LT Asf New Rating A(EXP)sf C-2 XS1880991655 LT PIFsf Paid In Full Asf C-2-R LT Asf New Rating A(EXP)sf D XS1880991739 LT PIFsf Paid In Full BBBsf D-R LT BBBsf New Rating BBB(EXP)sf E XS1880994246 LT BBsf Affirmed BBsf F XS1880994329 LT B-sf Affirmed B-sf TRANSACTION SUMMARY Cairn CLO X DAC is a cash flow collateralised loan obligation (CLO) actively managed by the manager, Cairn Loan Investments LLP. The reinvestment period is scheduled to end in April 2023. At closing of the refinance, the class A-R to D-R notes had been issued and the proceeds used to refinance the existing notes. Classes E and F and the subordinated notes were not refinanced. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch Ratings assesses the average credit quality of obligors to be in the 'B'/'B-' category. The Fitch weighted average rating factor (WARF) of the current portfolio is 34.0. High Recovery Expectations (Positive): Over 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the portfolio is 61.8% based on Fitch's current criteria. Diversified Portfolio (Positive): The transaction has two matrices corresponding to two top-10 obligor limits of 17.5% and 27.5%, respectively. The portfolio is more diversified than modelled in the transaction stress portfolio, with 129 issuers compared with 110. 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 (Neutral): The transaction has a 1.8-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. WAL Extended (Neutral): The weighted average life (WAL) covenant has been extended by nine months to 6.5 years. The matrices have been updated concurrently. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in upside and downside environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A 25% reduction of the mean default rate across all ratings and a 25% increase in the recovery rate across all ratings would result in an upgrade of no more than five notches across the structure, apart from the class A-R notes, which are already at the highest rating on Fitch's scale and cannot be upgraded. -- At closing, Fitch will use a standardised stress 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 due to 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: -- A 25% increase of the mean default rate across all ratings and a 25% decrease of the recovery rate across all ratings would result in downgrades of up to five notches across the structure. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has 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. FINANCE IRELAND 3: DBRS Finalizes BB(low) Rating on Class X Notes ----------------------------------------------------------------- DBRS Ratings GmbH finalized its provisional ratings on the following residential mortgage-backed floating-rate notes issued by Finance Ireland RMBS No. 3 DAC (the Issuer): -- Class A rated AAA (sf) -- Class B rated AA (sf) -- Class C rated A (sf) -- Class D rated BBB (sf) -- Class E rated BB (high) (sf) -- Class F rated B (high) (sf) -- Class X rated BB (low) (sf) DBRS Morningstar does not rate the Class Y and Class Z notes also issued in the transaction. The rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal. The ratings on the Class B, Class C, Class D, and Class E notes address the timely payment of interest once most senior and the ultimate repayment of principal on or before the final maturity date. The ratings on Class X and F notes address the ultimate payment of interest and principal. The Issuer is a bankruptcy-remote, special-purpose vehicle incorporated in Ireland. The issued notes have been used to fund the purchase of Irish residential mortgage loans originated by Finance Ireland Credit Solutions DAC (Finance Ireland) and Pepper Finance Corporation DAC (Pepper). Since 2018, Finance Ireland has been offering residential mortgage loans within the Irish market distributed by regulated intermediaries. Finance Ireland's residential mortgages are available exclusively through appointed mortgage brokers. Pepper began originating mortgage loans in 2016, and in December 2018, it sold its mortgage business to Finance Ireland. All mortgages have been originated post-crisis and in accordance with the new mortgage code of conduct. As of 31 May2021, the mortgage portfolio aggregated to EUR 297.5 million. All loans were originated between 2016 and 2021, but 94.7% of the pool has been originated in the past 11 months (i.e., from July 2020 to May 2021) as loans pre-dating the second half of 2020 have been securitized under the previous transactions, Finance Ireland RMBS No. 1 and Finance Ireland RMBS No. 2. The beneficial interest of the mortgage loans will be transferred to the Issuer whereas the legal titles of the mortgage loans will remain with Finance Ireland. Pepper will also service the mortgage portfolio, with Intertrust Management Ireland Limited acting as the backup servicer facilitator. Pepper's servicing capabilities are appropriate to monitor and manage the performance of its mortgage book and securitized mortgage portfolios. In DBRS Morningstar's view, this setup can mitigate a potential servicer termination and therefore remedy potential interest shortfalls arising from operational issues. The Class A notes will benefit from an amortizing liquidity reserve fund (ALRF) providing liquidity support for items senior in the waterfall to payments of interest on the Class A notes. The liquidity reserve will have a target amount equal to 0.75% of the outstanding Class A notes balance, down to a floor of EUR 1 million. While the amortized amounts are released through the revenue waterfall, the final release of the floor occurs through the principal waterfall when the sum of principal available funds and the ALRF floor is enough to fully redeem the Class A notes. The general reserve fund provides credit support for the rated notes. The general reserve will have a target amount equal to 0.75% of the outstanding balance of the Class A to Class F notes less the ALRF amount. Class B to Class F are locked out of support if there is an outstanding principal deficiency ledger (PDL) balance on the respective class ledger. However, when they are the most-senior classes outstanding, the support will be available regardless of PDL debiting. The general reserve fund can only be used after the ALRF, but in priority to principal to cover the interest shortfalls and debited PDLs. While the amortized amounts are released through the revenue waterfall, the final release of the floor occurs through the principal waterfall when the sum of principal available funds and available reserve fund is enough to fully redeem the Class F notes. Credit enhancement for the Class A notes is calculated at 17.2% and is provided by the subordination of the Class B to Class Z notes and the reserve funds. Credit enhancement for the Class B notes is calculated at 11.2% and is provided by the subordination of the Class C to Class Z notes and the reserve funds. Credit enhancement for the Class C notes is calculated at 8.0% and is provided by the subordination of the Class D to Class Z notes and the reserve funds. Credit enhancement for the Class D notes is calculated at 5.0% and is provided by the subordination of the Class E to Class Z notes and the reserve funds. Credit enhancement for the Class E notes is calculated at 3.0% and is provided by the subordination of the Class Z notes and the reserve funds. Credit enhancement for the Class F notes is calculated at 2.0% and is provided by the subordination of the Class Z notes and the reserve funds. A key structural feature is the provisioning mechanism in the transaction that is linked to the arrears status of a loan besides the usual provisioning based on losses. The degree of provisioning increases in line with increases in the number of months in a loan's arrears status. This is positive for the transaction as provisioning based on the arrears status traps any excess spread much earlier for a loan that may ultimately end up in foreclosure. The Issuer will enter into a fixed-to-floating balance guaranteed swap agreement with BNP Paribas SA (rated AA (low) with a Stable trend by DBRS Morningstar) which, in combination with the fixed-rate floor of 200 basis points (bps) over the then-prevailing mid-swap rate for loans that reset or switch to fixed-rate loans, will lock in a post-swap margin of at least 187 bps for all loans that reset to a new fixed rate or switch to a fixed rate before the step-up date. To hedge the floating-rate portion of the portfolio, the loans that are currently paying a standard variable rate (SVR) rate, revert to SVR, or switch to SVR are subject to a minimum rate of one-month Euribor (floored at zero) plus 240 bps. Borrower collections are held with The Governor and Company of the Bank of Ireland (rated A (low) with a Negative trend by DBRS Morningstar) and are deposited on the next business day into the Issuer transaction account held with Elavon Financial Services DAC, UK Branch. DBRS Morningstar's private rating on the Issuer Account Bank is consistent with the threshold for the account bank outlined in its "Legal Criteria for European Structured Finance Transactions" methodology, given the ratings assigned to the notes. DBRS Morningstar based its ratings on a review of the following analytical considerations: -- The transaction capital structure and form and sufficiency of available credit enhancement. -- The credit quality of the mortgage portfolio and the ability of the servicer to perform collection and resolution activities. DBRS Morningstar calculated probability of default (PD), loss given default (LGD), and expected loss (EL) outputs on the mortgage portfolio. The PD, LGD, and EL are used as an input into DBRS Morningstar's cash flow tool. DBRS Morningstar analyzed the mortgage portfolio in accordance with its "Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda". -- The ability of the transaction to withstand stressed cash flow assumptions and repay the Class A, Class B, Class C, Class D, Class E, and Class F notes according to the terms of the transaction documents. DBRS Morningstar analyzed the transaction structure using Intex DealMaker. -- The DBRS Morningstar sovereign rating of A (high)/R-1 (middle) with Stable trends (as of the date of this press release) on the Republic of Ireland. -- The consistency of the legal structure with DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions addressing the assignment of the assets to the Issuer. The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading in some cases to increases in unemployment rates and income reductions for borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many structured finance transactions, some meaningfully. The ratings are based on additional analysis and, where appropriate, adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar incorporated an increase in probability of default for certain borrower characteristics, and conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand potential high levels of payment holidays in the portfolio. Notes: All figures are in euros unless otherwise noted. LAST MILE: DBRS Gives Prov. B(high) Rating on Class F Notes ----------------------------------------------------------- DBRS Ratings GMBH assigned provisional ratings to the following notes to be issued by Last Mile Logistics Pan Euro Finance DAC (the Issuer): -- Class A notes at AAA (sf) -- Class B notes at AA (sf) -- Class C notes at A (sf) -- Class D notes at BBB (low) (sf) -- Class E notes at BB (sf) -- Class F notes at B (high) (sf) All trends are Stable. Last Mile Logistics Pan Euro Finance DAC is a securitization of a EUR 510.2 million senior commercial real estate (CRE) loan backed by a pan-European portfolio of light industrial and logistics assets managed collectively by Mileway and owned by Blackstone Real Estate Partners (Blackstone, or the Sponsor). The senior loan will be divided into two term facilities - term A and term B - with term facility A being advanced to non-Irish borrowers and term facility B only to Irish borrowers. On June 15, 2021, Barclays Bank Ireland Plc, Goldman Sachs Bank Europe SE, and GS EMI Ireland DAC (the loan sellers) advanced the senior loan to the borrowers. Then, when the transaction closes, the Issuer will purchase from the loan sellers using the 95% of the note issuance proceeds and an issuer loan. The issuer loan is sized to represent at least 5% of the securitized interests to comply with the applicable regulatory requirements. Barclays Bank Plc and Goldman Sachs International are joint arrangers of the issuance. Unlike some of the recently issued Mileway securitizations, the Issuer will also issue Class X1 and Class X2 notes. As such, the excess spread will be distributed to the Class X noteholders. There will be a EUR 102.0 million mezzanine facility, representing 76.4% mezzanine loan-to-value (LTV), that is contractually and structurally subordinated to the securitized senior loan. The senior facility will be denominated in euros (EUR) whereas the Danish assets and income, which amounts to approximately 6.9% of the portfolio aggregated market value (MV), are denominated in Danish kroner (DKK). In the absence of a currency swap, the borrower will take on the foreign exchange risk between the two currencies. However, the Danish central bank has pegged the DKK exchange rate to EUR and historical data showed little fluctuation in the DKK/EUR exchange rate. The senior loan is backed by 113 predominately light industrial or logistics assets across seven European countries and was accumulated through four portfolio acquisitions and one single-asset acquisition by Blackstone in the past 18 months. However, as of the press release date, the acquisitions Choissy asset was not completed, and its corresponding allocated loan amount (ALA) will either be held by the facility agent until the completion of the acquisitions or be used to prepay the senior loan after the delayed completion property longstop date. As such, the general purpose of the senior loan is to refinance the acquisition debts of the borrowers. Jones Lang LaSalle Limited and its affiliates (JLL) valued the portfolio on May 13, 2021 for a total market value (MV) of EUR 801.4 million, including a 5% portfolio premium, or EUR 763.2 million based on the aggregated MV of each property. Most of the MV is concentrated in Germany (29.7% of aggregated MV), France (20.8%), and the Netherlands (17.5%). DBRS Morningstar also noted that although the Danish part of the portfolio is limited to 6.9% of the aggregated MV, it is concentrated in two Danish assets. As per the May valuation, these two assets generate a gross rental income (GRI) of DKK 26.1 million or EUR 3.5 million (7.6% of the portfolio GRI) per annum. As the income from and value of these Danish assets are denominated in DKK, whose exchange rate is pegged to the euro, and there is absence of any currency hedging between DKK and EUR, DBRS Morningstar has applied an exchange rate of DKK 7.6282 per euro, the highest exchange rate allowed by the Danish central bank, for all non-AAA (sf) rated investment grade stress scenarios and a higher exchange rate of 12.1086 DKK per euro in the AAA (sf) stress scenario. Although the outbreak of the Coronavirus Disease (COVID-19) has negatively affected all CRE sectors, the light industrial/ logistics assets seem to fare better than the other asset types. Based on the collection data provided by the Sponsor, for 57 out of the 113 assets that were already under management by Mileway, 95.3% of the rent has been collected as of Q1 2021. The two-year senior loan (the initial loan term) has three one-year extension options, which can be exercised if certain conditions are met. The borrower will purchase an interest cap agreement to hedge against increases in the interest payable under the loan. The cap agreement will be provided by [*] and covers 100% of the outstanding loan balance with a strike rate of [1.25]%. The strike rate is also required to ensure a senior hedged interest coverage ratio of not less than two times. After the expected note maturity, the Euribor rate will be capped at 4%. Similar to other Blackstone-sponsored loans, there are no financial covenants applicable prior to a permitted change of control (CoC) but cash trap covenants are applicable both prior and post a permitted CoC. The cash trap covenants are set at 73.67% LTV while the debt yield (DY) covenant is set at 7.55% for the first and second year and will step up to 7.93% on and from year three. After a permitted CoC, the financial default covenants on the LTV and the DY will be applicable; they are set, respectively, at 10% above the LTV at the time of permitted CoC and the higher of 85% of the DY at the time of permitted CoC and 7.34%. The loan will also start to amortize for 1% per year after a permitted CoC. However, it should be noted that to be qualified as a permitted CoC, the LTV should not exceed 63.67% and the new owner needs to be a qualifying transferee. Meanwhile, DBRS Morningstar noted that the asset under management (AUM) criteria for a qualifying transferee has been lowered compared with previous DBRS Morningstar-rated Mileway securitizations. The worldwide CRE AUM limit has been lowered to EUR 2 billion from EUR 5 billion and the European CRE AUM limitation was removed completely. DBRS Morningstar believes that the current requirement is weaker than the previous transactions and may lead to higher rating sensitivity should a permitted CoC occur. The rating impact, however, is partially mitigated by the qualified asset manager requirement, which remains unchanged except the payment to an affiliated qualifying asset manager is no longer subordinated to the secured liability. In addition, DBRS Morningstar noted that the facility agent has a weaker control on the cash trap account as compared with previous CMBS transactions rated by DBRS Morningstar. In this transaction, the facility agent will only have sole signing right on the cash trap account after a permitted CoC or a loan event of default has occurred; whereas, normally, the facility agent will have sole signing right on the cash trap account from day one. The senior facility agreement features a new permitted return concept, which effectively allows the sponsor to withdraw from cash trap account the equity it has injected since the start of a cash trap event. DBRS Morningstar views these new features to be credit negative and has adjusted its hurdles accordingly. To cover any potential interest payment shortfalls, the Issuer will overissue EUR 11.4 million Class A notes to fund the issuer liquidity reserve. In parallel, the issuer loan will be upsized by EUR 0.6 million to fund the issuer loan share of liquidity reserve. The liquidity reserve will cover the Class A, Class B, and the relevant portion of the issuer loan. DBRS Morningstar estimates that the commitment amount at closing is equivalent to approximately [20] months of coverage based on the hedging terms mentioned above or approximately [9] months of coverage based on the 4% Euribor cap. The liquidity reserve will be reduced based on note amortization, if any, and in the event of a substantial market value decline of the property portfolio. The Class E to Class F Notes are subject to an available funds cap where the shortfall is attributable to a reduction in the interest-bearing balance of the senior loan that results from prepayments or by a final recovery determination of the senior loan. The legal final maturity of the notes is in [August 2033], [seven] years after the fully extended loan maturity date. DBRS Morningstar believes that this provides sufficient time to enforce the loan collateral and repay the bondholders, given the security structure and jurisdiction of the underlying loan. The ratings will be finalized upon receipt of execution versions of the governing transaction documents. To the extent that the documents and information provided to DBRS Morningstar as of this date differ from the executed version of the governing transaction documents, DBRS Morningstar may assign different final ratings to the notes. The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many tenants and borrowers. DBRS Morningstar anticipates that vacancy rate increases and cash flow reductions may continue to arise for many CMBS borrowers, some meaningfully. In addition, commercial real estate values will be negatively affected, at least in the short term, affecting refinancing prospects for maturing loans and expected recoveries for defaulted loans. Notes: All figures are in euros unless otherwise noted. MULCAIR SECURITIES 2: DBRS Finalizes BB(low) Rating on Cl. F Notes ------------------------------------------------------------------ DBRS Ratings GmbH (DBRS Morningstar) finalized its provisional ratings on the notes issued by Mulcair Securities No. 2 DAC (Mulcair No.2 or the Issuer): -- Class A rated AAA (sf) -- Class B rated AA (sf) -- Class C rated A (low) (sf) -- Class D rated BBB (low) (sf) -- Class E rated BB (sf) -- Class F rated BB (low) (sf) The Class Z notes also issued in the transaction are not rated by DBRS Morningstar. The finalized rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal. The finalized rating on the Class B notes addresses the timely payment of interest when the notes are the most senior and the ultimate payment of principal. The finalized ratings on the Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and ultimate payment of principal. An increased margin on all the rated notes is payable from the step-up date in April 2024. Additional amounts are also due to the Class D, Class E, and Class F notes on and from the first interest payment date following the step-up date. Such additional amounts are not rated by DBRS Morningstar. Mulcair No.2 is a bankruptcy-remote special-purpose vehicle incorporated in Ireland. The issued notes were used to fund the purchase of reperforming Irish residential mortgage loans sold by The Governor and Company of the Bank of Ireland (rated A (low) with a Negative trend by DBRS Morningstar) and secured over properties in Ireland. As at 31 March 2021, the secured mortgage portfolio consisted of 2,996 loans to 1,172 borrowers with a total portfolio balance of approximately EUR 344.5 million with an additional EUR 5.7 million of unsecured loans. The weighted-average (WA) loan-to-indexed value is 66.9% with a WA seasoning of 14.5 years. Most of the portfolio consists of floating-for-life loans (88.8%) indexed either to the European Central Bank Base Rate (66.9%) or an Standard Variable Rate set by the Bank of Ireland (25.0%). The remaining 11.2% of fixed-rate loans will switch to the SVR. The notes pay a floating rate of interest linked to three-month Euribor. To partially mitigate the interest rate mismatch, the transaction is structured with an interest rate cap agreement with Natixis, which is privately rated by DBRS Morningstar. The interest rate cap agreement will terminate on April 24, 2028 or, if earlier, the date as of which all amounts due under the Class A, Class B, Class C, Class D, Class E, and Class F notes have been repaid and/or redeemed in full. The Issuer will receive payments to the extent that one-month Euribor is higher than 1.5% for the relevant interest period. The interest rate cap notional balance will be equal to 20.0% of the portfolio balance. Approximately 82.4% of the mortgage portfolio by loan balance was originated between 2005 and 2008. The performance history for the pool indicates that 43.4% of the outstanding pool has previously been more than three months in arrears and that around 97.8% has undergone some form of forbearance measure. Currently, 1.8% of the portfolio is more than three months in arrears. The Class A and B notes benefit from liquidity support provided by a senior reserve fund. At closing, the senior reserve fund will be sized at 2.0% of the Class A and B notes balance and will amortize with a floor of 1.0% of the initial Class A and B notes balance. The Class C, Class D, Class E, and Class F notes benefit from credit and liquidity support provided by the amortizing general reserve. The general reserve will be sized at 2.0% of the initial Class C to Class F notes and will amortize with no floor, in line with these notes. The general reserve does not provide support to the Class A notes. Credit enhancement for the Class A notes is calculated at 28.5% and is provided by the subordination of the Class B to Class Z notes. Credit enhancement for the Class B notes is calculated at 21.8% and is provided by the subordination of the Class C to Class Z notes and the general reserve fund. Credit enhancement for the Class C notes is calculated at 17.0% and is provided by the subordination of the Class D to Class Z notes and the general reserve fund. Credit enhancement for the Class D notes is calculated at 12.8% and is provided by the subordination of the Class E to Class Z notes and the general reserve fund. Credit enhancement for the Class E notes is calculated at 10.3% and is provided by the subordination of the Class F and Class Z notes as well as the general reserve fund. Credit enhancement for the Class F notes is calculated at 8.8% and is provided by the subordination of the Class Z notes and the general reserve fund. A key structural feature is the provisioning mechanism in the transaction that is linked to the arrears status of a loan besides the usual provisioning based on losses. The degree of provisioning increases in line with increases in the number of months in a loan's arrears status. This is positive for the transaction as provisioning based on the arrears status will trap any excess spread much earlier for a loan, which may ultimately end up in foreclosure. Borrower collections are held with The Governor and Company of the Bank of Ireland and are deposited on the next business day into the Issuer deposit account held with The Bank of New York Mellon - London Branch (rated AA (high) with a Stable trend by DBRS Morningstar). DBRS Morningstar's rating on the Issuer Account Bank, along with the replacement provisions upon downgrade below "A", is consistent with the threshold for the Account Bank outlined in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology, given the ratings assigned to the notes. The ratings are based on DBRS Morningstar's review of the following analytical considerations: -- Transaction capital structure and form and sufficiency of available credit enhancement. -- The credit quality of the mortgage portfolio and the ability of the servicer to perform collection and resolution activities. DBRS Morningstar calculated probability of default (PD), loss given default (LGD), and expected loss (EL) outputs on the mortgage portfolio. The PD, LGD, and ELs are used as an input into DBRS Morningstar's cash flow tool. DBRS Morningstar analyzed the mortgage portfolio in accordance with its "Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda". -- The ability of the transaction to withstand stressed cash flow assumptions and repay the Class A, Class B, Class C, Class D, Class E, and Class F notes according to the terms of the transaction documents. -- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as a downgrade, and replacement language in the transaction documents. -- The sovereign rating on the Republic of Ireland at A (high)/R-1 (middle) with Stable trends as of the date of this press release. -- The consistency of the legal structure with DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions addressing the assignment of the assets to the Issuer. DBRS Morningstar analyzed the transaction structure in Intex DealMaker, considering the default rates at which the rated notes did not return all specified cash flows. The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading in some cases to increases in unemployment rates and income reductions for borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many structured finance transactions, some meaningfully. The ratings are based on additional analysis and, where appropriate, adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar incorporated an increase in probability of default for certain borrower characteristics, and conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand potential high levels of payment holidays in the portfolio. Notes: All figures are in euros unless otherwise noted. VOYA EURO CLO II: Fitch Gives B-(EXP) Rating to Class F-R Debt -------------------------------------------------------------- Fitch Ratings has assigned Voya Euro CLO II DAC reset expected ratings. DEBT RATING ---- ------ Voya Euro 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 TRANSACTION SUMMARY Voya Euro 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 Voya Alternative Asset Management LLC. The transaction has a 4.5-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 in the 'B'/'B-' category. The Fitch weighted average rating factor (WARF) of the identified portfolio is 34.03. 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 64.45%. Diversified Portfolio (Positive): The indicative maximum exposure of the 10 largest obligors for assigning the expected ratings is 15% of the portfolio balance. 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 4.5-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 D and F notes' expected ratings are one notch higher than the model-implied ratings (MIR). The ratings are supported by the average credit enhancement, as well as the significant default cushion on the identified portfolio at the assigned rating due to the notable cushion between the transaction's covenants and the portfolio's parameters, including the higher diversity (184 obligors) of the identified portfolio. Moreover, for the class F notes the deviation from the MIR 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 Rating 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% of the mean RDR 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 rating on Fitch's scale and cannot be upgraded. -- At closing, Fitch uses a standardised stress portfolio (Fitch's stressed portfolio) that was 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% of the mean RDR 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 recently updated its CLO coronavirus stress scenario to assume half of the corporate exposure on Negative Outlook is downgraded by one notch instead of 100%. The Stable Outlooks on all the notes reflect the default rate cushion in the sensitivity analysis run in light of the coronavirus pandemic. Coronavirus Potential 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 potential severe downside stress incorporates the following stresses: applying a notch downgrade to all the corporate exposure on Negative Outlook. This scenario shows resilience at the current ratings for all notes except for the class F notes, which would be downgraded by one notch. 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 Voya Euro 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. ========= I T A L Y ========= SIENA PMI 2016: DBRS Confirms CC Rating on Class D Notes -------------------------------------------------------- DBRS Ratings GmbH upgraded and confirmed its ratings on the bonds issued by Siena PMI 2016 S.r.l. - Series 2-2019 as follows: -- Class A2 Notes confirmed at AAA (sf) -- Class B Notes upgraded to AA (high) (sf) from AA (sf) -- Class C Notes upgraded to A (low) (sf) from BBB (low) (sf) -- Class D Notes confirmed at CC (sf) The rating actions follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the May 2021 payment date; -- The one-year base case probability of default (PD) and updated default and recovery rates on the remaining pool of receivables; -- Current available credit enhancement to the rated notes to cover the expected losses at the respective rating levels; and -- Current economic environment and sustainable performance assessment, as a result of the Coronavirus Disease (COVID-19) outbreak. The rating on the Class A2 Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the final legal maturity date in February 2060. The rating on the Class B Notes addresses the timely payment of interest and the ultimate payment of principal on or before the final legal maturity date, in accordance with the transaction documentation. The ratings on the Class C and Class D Notes address the ultimate payment of interest and ultimate repayment of principal on or before the final legal maturity date. The Issuer also issued Class J Notes, which DBRS Morningstar does not rate. The transaction is a cash flow securitization collateralized by a portfolio of secured and unsecured loans to small and medium-size enterprises (SME), entrepreneurs, artisans, and producer families based in Italy. The loans were granted by Banca Monte dei Paschi di Siena SpA (BMPS or the servicer). A small percentage of the portfolio (totaling approximately 2.5% of the outstanding notional) was originated by Banca Antonveneta S.p.A., Banca Agricola Mantovana S.p.A., and Banca Toscana S.p.A. before they merged into BMPS. PORTFOLIO PERFORMANCE As of the May 2021 payment date, loans two to three months in arrears represented 0.0% of the outstanding portfolio balance, down from 0.3% as of May 2020. The 90+-day delinquency ratio was 0.1% of the outstanding portfolio balance, down from 0.5% in the same period, and the cumulative default ratio remained at 0.0%. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar conducted a loan-by-loan analysis on the remaining pool of receivables and updated its default and recovery rate assumptions on the outstanding portfolio to 23.4% and 48.8%, respectively, at the B (sf) rating level. DBRS Morningstar updated the base case PD including coronavirus adjustments to 5.6%. CREDIT ENHANCEMENT As of the May 2021 payment date, the credit enhancements to the Class A2, Class B, Class C, and Class D Notes stood at 81.3%, 61.8%, 38.4%, and 15.6%, respectively, up from 57.1%, 43.2%, 26.5%, and 11.2%, respectively, one year ago. The credit enhancements to the notes are provided by the subordination of the junior class of notes. The increase in the credit enhancements to the rated notes prompted the confirmation and upgrade of the ratings. The transaction includes a cash reserve, which is available to cover senior fees and interest on the Class A2, Class B, and Class C Notes. The cash reserve amortizes subject to the target level being equal to 2.0% of the outstanding balance of the Class A2, Class B, and Class C Notes. As of the May 2021 payment date, the cash reserve was at its target level of EUR 16.4 million. BNP Paribas Securities Services SCA/Milan (BNP Milan) acts as the account bank for the transaction. Based on the DBRS Morningstar's private rating on BNP Milan, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A2 Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. DBRS Morningstar analyzed the transaction structure in its proprietary Excel-based cashflow engine. The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that payment holidays and delinquencies may continue to increase in the coming months for many SME transactions, some meaningfully. The ratings are based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar increased the expected default rate for obligors in certain industries based on their perceived exposure to the adverse disruptions of the coronavirus. As per DBRS Morningstar's assessment, 3.9% and 25.6% of the outstanding portfolio balance represented industries classified in the mid-high and high-risk economic sectors, respectively. This led the underlying one-year PDs to be multiplied by 1.5 times (x) and 2.0x, respectively, as per DBRS Morningstar's "European Structured Credit Transactions' Risk Exposure to Coronavirus (COVID-19) Effect" commentary released on 18 May 2020, wherein DBRS Morningstar discussed the overall risk exposure of the SME sector to the coronavirus and provided a framework for identifying the transactions that are more at risk and more likely to be affected by the fallout of the pandemic on the economy. Notes: All figures are in euros unless otherwise noted. ===================== N E T H E R L A N D S ===================== NOURYON HOLDING: Fitch Affirms 'B+' LongTerm IDR, Outlook Stable ---------------------------------------------------------------- Fitch Ratings has affirmed Nouryon Holding B.V.'s (Nouryon) Long-Term Issuer Default Rating (IDR) at 'B+' with Stable Outlook. Fitch has also affirmed Nouryon Finance B.V.'s senior secured rating at 'BB-' with a Recovery Rating of 'RR3' and senior unsecured ratings at 'B-' with a Recovery Rating of 'RR6' based on the current capital structure. Fitch does not expect an impact on the senior secured rating from Nouryon's new capital structure following the spin-off of Nobian Holding 2 B.V. (B+(EXP)/Stable) based on current assumptions. The rating reflects high funds from operations (FFO) gross leverage following the acquisition by The Carlyle Group and GIC in 2018, which constrains the rating. This is despite the company's solid business profile and resilient cash flows, further strengthened by achieved cost savings. The Stable Outlook reflects the balance between the company's fairly predictable EBITDA generation as a pure specialty chemicals company with leading positions in niche markets, and a highly leveraged capital structure, albeit with a focus on gradual debt repayment. KEY RATING DRIVERS Nobian Sale Broadly Neutral: Fitch estimates that the sale of Nobian will reduce Nouryon's sales, EBITDA and gross debt by approximately EUR1 billion, EUR300 million and EUR1.5 billion, respectively, resulting in broadly similar net debt/EBITDA ratio pre-and post-sale. Nouryon will be fully focused on specialty chemicals, which supports stable cash flow generation, but scale and diversification will somewhat decline. However, Fitch expects Nouryon's EBITDA to return to 2020 levels by 2024, driven by steady growth and cost initiatives. As the two businesses had limited synergies and different strategies - as Nobian is a regional producer of more commoditised chemicals - Fitch believes the sale is part of the strategic options considered by Nouryon's shareholders. Debt Reduction: Following the carve-out of Nobian, Nouryon plans to use the proceeds to repay senior unsecured notes and part of its US dollar term loan B (TLB). Based on the current assumptions Fitch does not expect the new capital structure to affect the senior secured rating. Increased Standalone Margins: Fitch views Nouryon's strong 2020 performance as reflective of the company's focus on diversified and resilient end-markets, product differentiation, cost reductions and portfolio optimisation. Excluding the higher-margin Nobian, Nouryon's Fitch-adjusted EBITDA margin grew to 22.7% in 2020 from below 18% in 2018. Fitch believes that Nouryon will maintain EBITDA margins above 22% and will grow revenue by around 4% per year, slightly above market growth, on successful product launches, capacity additions and inorganic growth. Robust FCF Underpins Deleveraging: Fitch expects Nouryon to generate recurring positive free cash flow (FCF) in the next four years, supporting a reduction of FFO gross leverage to below 5x in 2024 from 6.3x in 2020. While mandatory debt repayments are modest at about EUR40 million per year, Fitch believes that Nouryon will allocate part of FCF to voluntary debt repayments, as seen in November 2020 when it repaid EUR100 million and in October 2019 when it repaid EUR110 million of the US dollar TLB. Fitch projects that it will have the capacity to further reduce its gross debt depending on its capital-allocation strategy. Bolt-On Acquisitions to Continue: During 2020, Nouryon acquired the carboxymethyl cellulose (CMC) business from J.M. Huber Corporation and the merchant triethyl aluminium (TEAL) business of Sasol, and divested its re-dispersible polymer powders business to Celanese, for a net outflow of EUR109 million. These acquisitions reinforced Nouryon's leadership in CMC and metal alkyls. Fitch understands from management that they intend to maintain this external growth strategy, albeit selectively, and therefore assume EUR100 million M&A outflow per year, targeting bolt-on acquisitions in key end-markets such as polymer specialties, paints & coatings, agriculture or personal care. Barriers to Entry: Fitch views significant barriers to entry to Nouryon's leading positions in niche markets, as the company specialises in products that are either providing differentiated or tailor-made properties, or that are key in the manufacturing process of a final product. This supports steady volumes, as seen in 2020 when they declined only 2%. Nouryon's R&D investments amount to around 3% of sales, and result in several new product launches every year. No Dividend Assumed: Fitch expects Carlyle to prioritise deleveraging and bolt-on acquisitions in the coming years. Clauses in Nouryon's debt documentation permit dividends below a certain leverage level but the company's leverage metrics remain above this threshold under Fitch's forecast. Fitch believes that a significant shareholder distribution would not be consistent with the current strategy to voluntarily repay debt when feasible. Regulatory Risk: An increasing focus by governments on more environmentally friendly manufacturing methods results in expensive and time-intensive adjustments to ensure compliance. While this could generally constitute a risk to the ability of Nouryon to sell its products, Fitch believes that it is unlikely to be negatively affected, given its proactivity to ensure the business remains compliant. DERIVATION SUMMARY Most of Nouryon's specialty chemicals peers in EMEA, such as BASF SE (A/Stable), Solvay SA (BBB/Stable) or Akzo Nobel N.V. (BBB+/Stable), are higher-rated due to significantly lower leverage, and their leading positions in larger-scale products globally. However, Nouryon has higher EBITDA and FCF margins, and is a leader in niche markets. Nouryon is larger and more diversified across stable markets and has higher FCF margin than Roehm Holding GmbH (B-/Stable), Root Bidco S.a.r.l. (B/Stable), Petkim Petrokimya Holdings A.S. (B/Stable), Nobian Holding 2 B.V. (B+(EXP)/Stable), or Synthos Spolka Akcyjna (BB/Stable), the latter three being regional suppliers. It is however smaller and less diversified than Ineos Quattro Holdings Limited (BB/Stable), which also has lower leverage. Nouryon's FFO gross leverage is higher than Petkim's or Synthos', but comparable to Nobian's, Roehm's or Rovensa's. KEY ASSUMPTIONS Fitch's key assumptions within its rating case for the issuer include: -- Revenues to grow on average 3%-4% over 2021-2024; -- EBITDA margin on average at 22%-23% over 2021-2024; -- Annual capex on average at 6.5% of sales; -- M&A of EUR100 million per year from 2022 until 2024; -- Assumed voluntary annual debt repayments of EUR150 million in 2022, 2023 and 2024 based on company's willingness to deleverage; -- No common dividends. Key Recovery Analysis Assumptions The recovery analysis assumes that Nouryon would be reorganised as a going-concern (GC) in bankruptcy rather than liquidated. The GC EBITDA estimate reflects Fitch's view of a sustainable, post-reorganisation EBITDA level upon which Fitch bases the enterprise valuation. The GC EBITDA of EUR787 million reflects changes in regulation or substantial external pressures, such as a severe global downturn that particularly hits Nouryon's main end-markets, resulting in heavily reduced demand for Nouryon's products, but also considers corrective measures taken in the reorganisation to offset adverse conditions. Fitch uses a multiple of 5.5x to estimate a GC enterprise value for Nouryon because of its leadership position, resilient exposure to non-cyclical end-markets, solid profitability and higher barriers to entry due to substantial R&D needs for product development. The recovery analysis is based on the existing capital structure. Fitch assumes the company's revolving credit facility (RCF) to be fully drawn and to rank pari passu with the TLB and other senior secured debt. After deduction of 10% for administrative claims, Fitch's waterfall analysis generated a waterfall generated recovery computation (WGRC) for the senior secured instrument in the 'RR3' band, indicating a 'BB-' instrument rating and a WGRC for the senior unsecured instrument in the 'RR6' band, indicating a 'B-' rating. The WGRC output percentage on current metrics and assumptions was 65% for the senior secured debt and 0% for the senior unsecured debt. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- FFO gross leverage below 5.0x on a sustained basis; -- FFO interest coverage above 3.5x on a sustained basis; -- EBITDA margin sustained above 23% and FCF margins above 5% through achieved synergies and cost savings. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- FFO gross leverage above 7.0x on a sustained basis; -- FFO interest coverage below 2.5x on a sustained basis; -- Weakening EBITDA and FCF margins; for example, as a result of lost market share or adverse regulatory changes. 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: As of 31 March 2021, Nouryon maintained liquidity of approximately EUR1 billion, consisting of EUR375 million of cash and about EUR640 million of its undrawn revolver, excluding EUR109 million as security for cash management and trade-finance facilities. This compared with about EUR40 million of mandatory TLB amortisation and about EUR50 million of other current financial liabilities. Post disposal of Nobian, Fitch expects Nouryon to have about EUR800 million of liquidity as the RCF is being downsized to USD637 million (about EUR524 million). Fitch expects Nouryon to generate positive FCF over the next four years. Fitch views this level of liquidity as sufficient to cover debt repayments in the coming four years while allowing flexibility to make voluntary debt repayments and realise acquisitions. ISSUER PROFILE Post-Nobian spin-off, Nouryon is a Netherland-based producer of specialty chemicals used in a broad range of sectors, owned by The Carlyle Group and GIC since 2018. SUMMARY OF FINANCIAL ADJUSTMENTS For 2020: -- Lease liabilities of EUR159 million excluded from financial debt; depreciation of right-of-use assets (EUR48 million) and lease-related interest expense (EUR8 million) deducted from EBITDA and cash flow from operations. -- EUR126 million added back to EBITDA and EUR87 million to FFO to remove non-recurring or non-cash costs. 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. ============= R O M A N I A ============= COS TARGOVISTE: Dambovita Court Launches Bankruptcy Proceedings --------------------------------------------------------------- Nicoleta Banila at SeeNews reports that the Dambovita county court has launched bankruptcy proceedings against Romanian special steel mill Cos Targoviste, formerly known as Mechel Targoviste. According to SeeNews, the court rejected the reorganization plan submitted by Alpha Financial, one of the steel mill's creditors, a statement filed on June 30 by Cos Targovishte with the Bucharest Stock Exchange, BVB, showed. Cos Targoviste said that it will appeal the court decision, SeeNews relates. As a result of the start of bankruptcy proceedings, the company's shares were suspended from trading on the main segment of the BVB on July 1, SeeNews discloses. A year ago, Cos Targoviste said it plans to halt production indefinitely and lay off 1,200 employees due to economic issues caused by the coronavirus disease (Covid-19) outbreak and shortage of working capital, SeeNews recounts. The company has been insolvent since 2013, SeeNews relays, citing data posted on its website. According to SeeNews, data posted on the finance ministry website showed that in 2020, Cos Targoviste swung to a net loss of RON62 million (US$15 million/ EUR13 million) from a net profit of RON140 million in the previous year. The company still employed 921 at the end of 2020, SeeNews states. =========== R U S S I A =========== BANK AVERS: Fitch Affirms 'BB' LongTerm IDRs, Outlook Stable ------------------------------------------------------------ Fitch Ratings has affirmed Bank Avers' (Avers) Long-Term Issuer Default Ratings (IDRs) at 'BB'. The Outlooks are Stable. KEY RATING DRIVERS IDRS AND VIABILITY RATING (VR) The affirmation reflects limited changes to the bank's credit profile since the previous rating action in July 2020. The ratings continue to capture the bank's reasonable financial profile but remain constrained by the bank's business model and some franchise limitations such as large deposit concentrations and an unusual asset structure. Net loans equaled to just 10% of total assets at end-2020 and mainly comprised exposures related to the sister company TAIF Group (59% of total loans at end-2020). The share of impaired loans was limited to 0.5% at end-2020 (end 1Q21: 0.2%) and impaired loans net of provisions accounted for less than 1% of the bank's Fitch Core Capital (FCC). Credit risks outside of the loan book are limited. Assets are mainly short-term placements in banks (49% of assets at end-2020) and securities (32%), most of which are of strong credit quality. The bank's profitability remained strong in 2020 with an operating profit/risk-weighted assets ratio of 3.7%, which is largely consistent with pre-pandemic years'. Performance was supported by stable margins (2.7% in 2020), fairly high operating efficiency (the cost/income ratio was 27% in 2020) and low impairment charges given the bank's low-risk asset structure. Avers' FCC ratio was a high 37% at end-2020, which was notably higher than peers' and provides the bank with a reasonable loss-absorption capacity. Avers is mainly deposit-funded, although most of the customer funding is related to shareholders and TAIF Group. Avers also has a comfortable liquidity position derived from its large securities portfolio, which together with CACE and short-term bank placements fully covered customer accounts at end-1Q21. SUPPORT RATING AND SUPPORT RATING FLOOR The bank's Support Rating of '5' and Support Rating Floor of 'No Floor' reflect Fitch's view that support from the Russian authorities cannot be relied on due to the bank's low systemic importance. RATING SENSITIVITIES -- Upside for the ratings is limited in the short term. Over the long term, an upgrade would require a material expansion of the bank's franchise. -- Downward rating pressure could result from large losses eroding the bank's capital, or a considerable increase in risk appetite. The ratings could also be downgraded if the current benefits of cooperation with TAIF Group diminish, resulting in weaker profitability and business prospects. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Financial Institutions and Covered Bond 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. 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. BANK LEVOBEREZHNY: Fitch Alters Outlook on 'BB' IDRs to Stable -------------------------------------------------------------- Fitch Ratings has revised Russia-based Novosibirsk Social Commercial Bank Levoberezhny, PJSC's (LB) Outlook to Stable from Negative and affirmed the bank's Long-Term Issuer Default Ratings (IDRs) at 'BB'. The agency has also affirmed LB's Viability Rating (VR) at 'bb'. The revision of the Outlook reflects the stabilisation of the economic environment in Russia, which has reduced pressure on the bank's financial profile from the pandemic. LB has demonstrated stable asset quality since the start of the pandemic-driven economic disruption, while its profitability and capitalisation have remained healthy. In Fitch's view, this will allow the bank to successfully manage a potential further increase in problem loans and cost of risk due to the pandemic without putting pressure on its capital. KEY RATING DRIVERS The IDRs of LB are driven by its intrinsic credit strength, as reflected by its 'bb' VR. The VR captures LB's extended record of robust through-the-cycle profitability, stable capitalisation and funding profile, and reasonable asset quality. However, the ratings also factor in LB's limited franchise in a concentrated Russian banking sector, although the bank has maintained notable market shares in its core Novosibirsk Region. The Stable Outlook on the ratings reflects Fitch's expectation that LB's financial profile will remain fairly stable in the medium term. Impaired loans (Stage 3 loans under IFRS9) equalled 5.4% of gross loans at end-1Q21, increasing only moderately from end-2019 (4.9%), while Stage 2 loans were a low 1% of gross loans. Positively, impaired exposures were 1.3x covered by total loan loss allowances at end-1Q21. Fitch continues to expect some moderate asset-quality deterioration due to the pandemic but additional loan impairment should be covered by the bank's significant pre-impairment profits. LB's pre-impairment profit covered a high 7% of average gross loans in 2020, which Fitch views as sustainable. LB's loan impairment charges increased to 2% of gross loans in 2020 (2019: 1.2%). This was well below the bank's pre-impairment profitability, allowing the bank to post a strong 19% return on average equity, which was consistent with pre-pandemic years'. LB's Fitch Core Capital (FCC) ratio was a reasonable 15% at end-2020, up from 14% at end-2019. The bank's regulatory Tier 1 and total capital adequacy ratios were, respectively, 13% and 14% at end-1Q21, with reasonable headroom over regulatory minimums (including buffers). Capital ratios are likely to be stable given expected moderate loan growth and healthy profit retention. The bank is almost fully (95% at end-1Q21) funded by customer accounts, mostly retail deposits (70% of total customer funding). LB faced moderate deposit outflows in 1Q20 but customer funding fully recovered in 2H20. Its buffer of available liquidity (cash, balances with the Central Bank of Russia and liquid bonds of investment-grade bonds) covered a reasonable 31% of customer accounts at end-1Q21. LB's Support Rating of '5' and Support Rating Floor of 'No Floor' reflect Fitch's view that support from the Russian authorities cannot be relied on due to the bank's limited franchise and thus low systemic importance. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- An upgrade of the ratings would require a material strengthening of market shares while maintaining a reasonable financial profile. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- The ratings could be downgraded in case of material deterioration of asset quality and a significant increase in loan impairment charges translating into sustainably weak profitability. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Financial Institutions and Covered Bond 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. 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. EURASIA DRILLING: Fitch Affirms 'BB+' LT IDR, Outlook Stable ------------------------------------------------------------ Fitch Ratings has affirmed Russia-based Eurasia Drilling Company Limited's (EDC) Long-Term Issuer Default Rating (IDR) at 'BB+' with Stable Outlook. The rating of EDC is constrained by a fairly narrow range of its services and a concentrated customer base in PJSC Lukoil (BBB+/Stable), which represented 78% of total revenue in 2020. Fitch expects EDC's leverage to remain conservative and well below Fitch's negative rating sensitivity, even though its revenue and earnings are expected to fall in 2021 after a fairly strong performance in 2020. The affirmation also reflects EDC's comfortable liquidity and leading market position in Russia. KEY RATING DRIVERS Falling Revenue and Earnings: Fitch expects EDC to see a more significant drop in 2021 with drilling volumes falling around 25% yoy and EBITDA contracting 35% yoy (2020: -4% and -5% respectively) as Russian oil producers continue to adjust their drilling and capex plans in view of continued OPEC+ restrictions. OPEC+ restrictions should gradually ease, which will create additional demand for drilling but the pace of recovery is uncertain. Fitch conservatively assumes recovery to be moderate and expect EDC's 2024 EBITDA to be around 25% lower than in 2019. Caspian Sea Business Under Pressure: Fitch assumes that EDC's offshore operations in the Caspian Sea, where full-cycle oil production costs are higher than Russian onshore and where EDC works with both Russian and international clients, will continue to under-perform. EDC has four jack-up rigs in the landlocked Caspian Sea, two of which are currently active. Fitch assumes EDC's revenue from the offshore segment to average around USD125 million in 2021-2024, compared with almost USD190 million in 2019. Conservative Financial Profile: EDC's leverage remains conservative despite contracting earnings. In 2020, its funds from operations (FFO) net leverage was low at 0.6x, which Fitch expects to be around 1x through 2021-2024, well below the downgrade sensitivity of 2x. EDC's debt is mostly rouble-denominated (around 85%), which implies low foreign-exchange (FX) risks. Dividends to Moderate: EDC resumed dividends in 2020 when it paid out USD104 million, and increased dividends to USD153 million in 2021. The latter were funded from accumulated cash. Fitch expects EDC to cut dividends thereafter to around USD75 million, which will enable it to remain broadly free cash flow (FCF)-neutral after dividends, in line with EDC's guidance. Resilience to Low Oil Prices: The Russian oil industry has proved broadly resilient to the substantial volatility in oil prices over the past several years due to a supportive domestic tax system (with the state bearing most of the price risk), low production costs and a floating exchange-rate regime. Even though EDC's customers have reduced drilling activity in view of OPEC+ restrictions, drilling rates (prices) have remained broadly stable. The financial position of EDC's main customers remains strong. Long-Term Outlook: Over the long term, Fitch believes EDC is less exposed to the energy transition than companies operating in regions with higher cost of production. Also, the importance of horizontal drilling, which generates higher margins, will continue to increase. Russian oil companies will require more complex wells with significant horizontal sections for hydraulic fracturing and higher oil flow rates at conventional wells as the production base becomes more depleted, and green-fields become more geologically complex. Concentrated Customer Base: EDC's customer base remains concentrated. In 2020, Lukoil accounted for 78% of EDC's revenue, followed by PJSC Gazprom Neft (10%) and Rosneft Oil Company (8%). The high customer concentration stems from the long-term cooperation between Lukoil and EDC, the latter itself a spin-off from Lukoil in 2004, and the structure of the Russian oil industry, with a significant share of in-house drilling services. This is mitigated by EDC's position and reputation in the domestic drilling market and limited alternatives for reliable drilling contractors. Limited Impact from Sanctions: The Russian oil industry has been the target of western technological sanctions, but those have been mainly limited to hard-to-recover tight oil reserves and deep offshore, where Russian oil companies have not been very active. The technological sanctions have had a limited impact on Russian oil producers and EDC. While new, more stringent sanctions cannot be completely ruled out, Fitch does not see them as likely given Russia's large share in global oil production. DERIVATION SUMMARY EDC is among Russia's largest onshore oil drilling companies, which also provides onshore work-over, side-tracking services and offshore drilling on the Caspian Sea shelf. Even though EDC's revenue and earnings are forecast to decline in 2021, its financial profile is stronger and the company is less exposed to the volatility in the oil and gas markets than international peers, such as Precision Drilling Corporation (B+/Stable), CGG SA (B-/Positive) and Nabors Industries, Inc (CCC+). In contrast, EDC has exposure to a single country with a weak operating environment, high reliance on a single customer Lukoil, and provides a narrow range of oilfield services. Its closest Fitch-rated Russian peer is JSC Investgeoservis (B-/Stable), which has a lower rating because of weaker liquidity, smaller scale and higher leverage. KEY ASSUMPTIONS -- Onshore drilling volumes down 25% yoy in 2021, up 5% in 2022 and 7.5% p.a. in 2023-2024; -- Stagnant effective rates in 2021-2022; indexation up 3% in 2023 and 2024; -- Revenue from offshore drilling at around USD125 million p.a. over 2021-2024; -- Capex at USD65 million in 2021, increasing to around USD140 million in 2022-2024; and -- Dividends at USD75 million per annum in 2021-2024. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- An upgrade is unlikely unless EDC sees significant improvement in customer diversification. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- FFO net leverage above 2.0x on a sustained basis. -- Negative post-dividend FCF on a sustained basis, e.g. due to sustainably high dividends. -- Substantial deterioration in drilling volumes or tariffs. 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: At end-2020, EDC's cash of RUB40.3 billion fully covered short-term debt of RUB25.7 billion (RUB10.9 billion of which was refinanced in 1H21) and Fitch-projected negative free cash flow of around RUB4 billion. EDC's debt portfolio is predominantly denominated in the Russian rouble, with low FX risk. ISSUER PROFILE EDC is Russia's largest independent drilling company, accounting for around 18% of domestic drilling volumes. SUMMARY OF FINANCIAL ADJUSTMENTS -- Fitch reclassified around RUB117 million of depreciation of right-of-use assets and around RUB36 million of interest on lease liabilities as lease expenses, reducing Fitch-calculated EBITDA by around RUB153 million in 2020. -- RUB483 million of lease liabilities excluded from total debt amount. 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. OTP BANK: Fitch Alters Outlook on 'BB+' LT IDRs to Stable --------------------------------------------------------- Fitch Ratings has revised Joint Stock Company OTP Bank's (OTP) Outlook to Stable from Negative and affirmed the bank's Long-Term Issuer Default Ratings (IDRs) at 'BB+'. OTP's Viability Rating (VR) of 'bb-' is unaffected by today's rating action. KEY RATING DRIVERS The revision of the Outlook reflects Fitch's view that the ability of its parent, Hungary-based OTP Bank Plc, to provide support to its Russian subsidiary has improved due to moderated risks from the pandemic. This is supported by Hungary's solid recovery prospects owing to economic normalisation, an advanced vaccination rollout, a low unemployment rate and strong levels of support and stimulus from the Hungarian authorities. OTP's IDRs and Support Rating are driven by potential support from the parent, in case of need. This is based on the strategic importance of the Russian market for the parent bank, OTP's 98% ownership, high level of integration, common branding and reputational damage in case the subsidiary defaults. Fitch believes that any required support would be manageable for the parent bank. OTP has an ESG Relevance Score of '4' for Group Structure due to significant exposure to, and potential contingent risks related to, its sister company, which operates as a microfinance lender. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- OTP's IDRs could be upgraded if OTP Bank Plc's ability to provide support improves. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- OTP's IDRs could be downgraded in case of a weakening of the parent's propensity or ability to provide support to the Russian subsidiary. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Financial Institutions and Covered Bond 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. ESG CONSIDERATIONS OTP has an ESG Relevance Score of '4' for Group Structure due to significant exposure to, and potential contingent risks related to, its sister company. This has a negative impact on the credit profile, and is relevant to the rating[s] 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. SPASSKIYE: Bank of Russia Provides Update on Administration ----------------------------------------------------------- The Bank of Russia on June 30 disclosed that the provisional administration to manage JSC Insurance Group Spasskiye Vorota-M (hereinafter, the Insurer) established that the Insurer's officials conducted operations to divert funds through the sale of a land plot without receiving payment, the acquisition by the Insurer of overpriced real estate items, the sale of transport vehicles on non-marketable conditions, and also detected the shortage of strictly controlled forms. As the Bank of Russia reasonably presumes that the Insurer'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. ========= S P A I N ========= AUTONORIA SPAIN 2021: Fitch Assigns Final B+ Rating on F Debt ------------------------------------------------------------- Fitch Ratings has assigned Autonoria Spain 2021, FT final ratings. DEBT RATING PRIOR ---- ------ ----- Autonoria Spain 2021, FT Class A ES0305565006 LT AAAsf New Rating AAA(EXP)sf Class B ES0305565014 LT AA+sf New Rating AA+(EXP)sf Class C ES0305565022 LT Asf New Rating A(EXP)sf Class D ES0305565030 LT BBB+sf New Rating BBB+(EXP)sf Class E ES0305565048 LT BB+sf New Rating BB+(EXP)sf Class F ES0305565055 LT B+sf New Rating B+(EXP)sf Class G ES0305565063 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The transaction is a revolving securitisation of a portfolio of fully amortising auto loans originated in Spain by Banco Cetelem S.A.U. (Cetelem, the seller and originator, unrated). Cetelem is a specialist lender fully owned by BNP Paribas S.A. (A+/Negative/F1). KEY RATING DRIVERS Asset Assumptions Reflect Mixed Portfolio: The securitised portfolio includes loans for the acquisition of passenger cars (new and used), motorcycles and recreational vehicles (RecV). Fitch calibrated asset assumptions for each product separately, reflecting different performance expectations and product features, such as the much longer initial tenor of RecV loans of about 11 years versus the around six years average for the other products. Fitch has assumed base case lifetime default and recovery rates of 4.6% and 20.1%, respectively, for the blended portfolio, given the historical data provided by Cetelem, Spain's economic outlook and the originator's underwriting and servicing strategies. Revolving and Pro Rata Amortisation: The portfolio will be revolving until June 2022 as new eligible receivables can be purchased by the issuer. The class A to G notes will be repaid pro rata after the revolving period, unless a sequential amortisation event occurs if cumulative defaults on the portfolio exceed certain thresholds or a principal deficiency exceeds 0.5% of the performing portfolio balance at end of the prior month. Fitch believes the switch to sequential amortisation is unlikely during the first years after closing, given the portfolio performance expectations compared with defined triggers. Fitch views the tail risk posed by the pro rata paydown as mitigated by the mandatory switch to sequential amortisation when the notes balance falls below 10% of its initial balance. Servicing Disruption Risk Mitigated: Fitch views servicing disruption risk as mitigated by the liquidity provided in the form of a cash reserve equal to 1% of the class A to E notes' outstanding balance, with a floor at 60% of its initial balance, which would cover senior costs and interest on these notes for more than three months. Fitch views this as sufficient to implement alternative arrangements and maintain payment continuity on the notes. As the class F notes are excluded from this liquidity arrangement and its interest payments are non-deferrable when it is the most senior tranche, its maximum achievable rating is 'B+sf' under Fitch's rating criteria. Mezzanine and Junior Notes' Ratings Capped: The maximum achievable rating for the class B notes is 'AA+sf' and for the class C to F notes it is 'A+sf', as per Fitch's counterparty criteria, due to the minimum eligibility rating thresholds defined for the hedge provider and guarantor of 'A-' or 'F1' and 'BBB' or 'F2' that are insufficient to support 'AAAsf' and 'AAsf' ratings, respectively. These rating caps do not apply to the senior class A notes that operate minimum counterparty ratings of 'A' or 'F1' commensurate with the highest rating category. RATING SENSITIVITIES Developments that may, individually or collectively, lead to positive rating action include: -- The class A notes are rated at the highest level on Fitch's scale and cannot be upgraded. -- For the class B to F notes, credit enhancement ratios increase as the transaction deleverages able to fully compensate the credit losses and cash flow stresses commensurate with higher rating scenarios. -- For the class B to F notes, updated swap counterparty eligibility triggers that would allow the notes' rating to be higher than the established rating caps. Developments that may, individually or collectively, lead to negative rating action include: -- For the class A notes, a downgrade of Spain's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Spanish structured finance transactions. This is because these notes are rated at the maximum achievable rating, six notches above the sovereign IDR. -- Long-term asset performance deterioration such as increased delinquencies or reduced portfolio yield, which could be driven by changes in portfolio characteristics, macroeconomic conditions, business practices or the legislative landscape. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in upside and downside environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Sensitivity to Increased Defaults: Original ratings (class A/B/C/D/E/F): 'AAAsf' / 'AA+sf' / 'Asf'/ 'BBB+sf' / 'BB+sf' / 'B+sf' Increase defaults by 10%: 'AAAsf' / 'AAsf' / 'Asf'/ 'BBBsf' / 'BB+sf' / 'B+sf' Increase defaults by 25%: 'AA+sf' / 'AA-sf' / 'A-sf' / 'BBB-sf' /'BBsf' / 'B+sf' Increase defaults by 50%: 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' / 'BB-sf' / 'B-sf' Sensitivity to Reduced Recoveries: Original ratings (class A/B/C/D/E/F): 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BB+sf' / 'B+sf' Reduce recoveries by 10%: 'AAAsf' / 'AAsf' / 'Asf'/ 'BBB+sf' / 'BB+sf' / 'B+sf' Reduce recoveries by 25%: 'AAAsf' / 'AAsf' / 'Asf'/ 'BBBsf' / 'BB+sf' / 'B+sf' Reduce recoveries by 50%: 'AAAsf' / 'AA-sf' / 'A-sf'/ 'BBBsf' / 'BBsf' / 'B+sf' Sensitivity to Increased Defaults and Reduced Recoveries: Original ratings (class A/B/C/D/E/F): 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BB+sf' / 'B+sf' Increase defaults by 10%, reduce recoveries by 10%: 'AAAsf' / 'AAsf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'B+sf' Increase defaults by 25%, reduce recoveries by 25%: 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'Bsf' Increase defaults by 50%, reduce recoveries by 50%: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'NRsf' 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 Autonoria Spain 2021, FT Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Fitch 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 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. AYT GENOVA X: Fitch Affirms B- Rating on Class D Debt ----------------------------------------------------- Fitch Ratings has upgraded one tranche, downgraded two tranches and affirmed 16 tranches of five AyT Genova Hipotecario Spanish RMBS transactions. The Outlooks on two tranches have been revised to Negative from Stable. DEBT RATING PRIOR ---- ------ ----- AyT Genova Hipotecario VI, FTH Class A2 ES0312349014 LT AAAsf Affirmed AAAsf Class B ES0312349022 LT AAAsf Upgrade AA+sf Class C ES0312349030 LT Asf Affirmed Asf Class D ES0312349048 LT BBB+sf Affirmed BBB+sf AyT Genova Hipotecario VII, FTH Class A2 ES0312343017 LT AAAsf Affirmed AAAsf Class B ES0312343025 LT AA-sf Affirmed AA-sf Class C ES0312343033 LT BB+sf Affirmed BB+sf AyT Genova Hipotecario X, FTH Class A2 ES0312301015 LT A+sf Affirmed A+sf Class B ES0312301023 LT A+sf Affirmed A+sf Class C ES0312301031 LT BBB+sf Affirmed BBB+sf Class D ES0312301049 LT B-sf Affirmed B-sf AyT Genova Hipotecario IX, FTH Class A2 ES0312300017 LT A+sf Affirmed A+sf Class B ES0312300025 LT Asf Affirmed Asf Class C ES0312300033 LT BBB+sf Affirmed BBB+sf Class D ES0312300041 LT B-sf Downgrade Bsf AyT Genova Hipotecario VIII, FTH Class A2 ES0312344015 LT AAAsf Affirmed AAAsf Class B ES0312344023 LT AAsf Affirmed AAsf Class C ES0312344031 LT Asf Affirmed Asf Class D ES0312344049 LT B-sf Downgrade Bsf TRANSACTION SUMMARY The transactions are backed by Spanish residential mortgages serviced by CaixaBank, S.A. (BBB+/Negative/F2). KEY RATING DRIVERS Resilient to Additional Stresses: The upgrade of AyT Genova Hipotecario VI, FTH's (Genova 6) class B notes and the affirmations and Stable Outlooks on most of the other notes reflect Fitch's view that the notes are sufficiently protected by credit enhancement (CE) and excess spread to absorb the additional projected losses (see EMEA RMBS: Criteria Assumptions Updated due to Impact of the Coronavirus Pandemic and Spain RMBS: Criteria Assumptions Updated Due to Decree Law in Catalonia.) The rating actions also reflect the broadly stable asset performance outlook, driven by the low share of loans in payment moratoria schemes (between 1.6% and 3.0% as of the latest reporting periods), and the improved macro-economic outlook for Spain as outlined in Fitch's latest Global Economic Outlook dated June 2021. Fitch does not expect the level of late stage arrears to materially increase, and therefore no arrears adjustment has been captured within the analysis (across the transactions, arrears over 90 days are below 1% as of the latest reporting periods). Moreover, the analysis is not influenced by the Covid-19 downside scenario calibration (see "Fitch Ratings Retires Coronavirus Baseline and Downside Scenarios" dated 15 June 2021). Exposed to Non-Floored Swap Payments: The downgrades of AyT Genova Hipotecario VIII, FTH's (Genova 8) and AyT Genova Hipotecario IX, FTH's (Genova 9) class D notes and Negative Outlooks on Genova 8, 9 and AyT Genova Hipotecario X (Genova 10), FTH's junior notes' ratings reflect their vulnerability if negative Euribor persists in the long term. The payments under the transactions' interest rate swap agreements are non-floored and could result in continued negative excess spread. Under these arrangements, the fund pays actual interest received from the performing mortgages and, given the current negative interest rate, it also pays three-month Euribor plus 43bp on the same performing balance. These notes' ratings are also sensitive to performance volatility if the economic outlook deteriorates. CE to Continue Increasing: Fitch expects structural CE to continue increasing in the short term for all transactions, given the prevailing sequential amortisation of the notes and the non-amortising reserve funds which are at or below the absolute floor levels. Rating Cap Due to Counterparty Risks Genova 6 and Genova 8's class C notes' ratings are capped at the account bank provider's deposit rating (Societé Generale, A long-term deposit rating) as the transactions' cash reserves held at this entity represent a material source of CE for these notes. The rating cap reflects the excessive counterparty dependence on the SPV account bank holding the cash reserve as a sudden loss of these funds would imply a downgrade of 10 or more notches of these notes, in accordance with Fitch's Structured Finance and Covered Bonds Counterparty Rating Criteria. Payment Interruption Risk Mitigated: Fitch views the transactions as sufficiently protected against payment interruption risk. In a scenario of servicer disruption, liquidity sources provide a sufficient buffer to cover senior fees, swap payments and interest payment obligations on the senior notes while an alternative servicing arrangement was implemented. Portfolio Adjustment Factor Floor: The transactions all display strong performance, as measured by a historically low default rate. In Fitch's analysis, the calculated performance adjustment factor is below 30% for all transactions, which is less than the applicable floor. As a result, the floor is used to derive the pool weighted average foreclosure frequency (WAFF). The conditions set out in Fitch's criteria are met to apply a floor of 50%; specifically, a period since closing of at least seven years, a WA indexed loan to value below 50% and demonstrated performance through a period of economic stress. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- CE ratios increase as the transactions deleverage able to fully compensate the credit losses and cash flow stresses commensurate with higher rating scenarios, in addition to adequate counterparty arrangements. -- Genova 6's class A2 and B notes are rated at the highest level on Fitch's scale and cannot be upgraded. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Long-term asset performance deterioration such as increased delinquencies or larger defaults, which could be driven by changes to macroeconomic conditions, interest rate increases or borrower behaviour . -- For Genova 6 and Genova 8's class C notes, a downgrade of Societe Generale's long term deposit rating as it is the SPV account bank provider, and the notes' ratings are capped at the bank's rating due to excessive counterparty risk exposure. -- For Genova 8, 9 and 10's junior notes, if negative Euribor persists in the long term, as the payments under the transactions' respective interest rate swap agreements are non-floored and could result in continued negative excess spread. -- For Genova 6's class A2 and B notes, a downgrade of Spain's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Spanish structured finance transactions. This is because these notes are rated at the maximum achievable rating, six notches above the sovereign IDR. 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 AyT Genova Hipotecario IX, FTH, AyT Genova Hipotecario VI, FTH, AyT Genova Hipotecario VII, FTH, AyT Genova Hipotecario VIII, FTH, AyT Genova Hipotecario X, FTH Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool[s] and the transaction[s]. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transaction's [AyT Genova Hipotecario IX, FTH, AyT Genova Hipotecario VI, FTH, AyT Genova Hipotecario VII, FTH, AyT Genova Hipotecario VIII, FTH, AyT Genova Hipotecario X, FTH] initial closing. The subsequent performance of the transaction[s] over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, and together with 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. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS Genova 6 and Genova 8's class C notes' ratings are capped at the account bank provider's deposit rating, as the transactions' cash reserves held at this entity represent a material source of CE for these notes. ESG CONSIDERATIONS AyT Genova Hipotecario X, FTH ESG Relevance Score for Transaction Parties and Operational Risk has been revised to '3' from '5' as counterparty risk is not a constraint for current ratings. 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. CAIXABANK CONSUMO 5: DBRS Hikes Series B Notes Rating to B(high) ---------------------------------------------------------------- DBRS Ratings GmbH upgraded its ratings on the Series A and Series B Notes (together, the Notes) issued by Caixabank Consumo 5, F.T. (the Issuer) as follows: -- Series A Notes to AA (sf) from AA (low) (sf) -- Series B Notes to B (high) (sf) from B (low) (sf) The rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in October 2054. The rating on the Series B Notes addresses the ultimate payment of interest and principal on or before the legal final maturity date. The upgrades follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the April 2021 payment date; -- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; -- Current available credit enhancement to the Notes to cover the expected losses at their respective rating levels; and -- Current economic environment and sustainable performance assessment, as a result of the Coronavirus Disease (COVID-19) outbreak. The transaction is a securitization of unsecured consumer loans granted to individuals residing in Spain by CaixaBank, S.A. (CaixaBank), which is also the servicer of the portfolio and the Issuer account bank. At closing, the static EUR 3.6 billion collateral portfolio consisted of loans granted primarily to borrowers in Catalonia (31.5% of the initial portfolio balance), Andalusia (17.6%), and Madrid (10.5%). The transaction closed in June 2020. PORTFOLIO PERFORMANCE As of the April 2021 payment date, loans that were 0 to 30 days, 30 to 60 days, and 60 to 90 days delinquent represented 0.6%, 0.3%, and 0.04% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent amounted to 2.7%. Gross cumulative defaults amounted to 0.2% of the aggregate original portfolio balance, with cumulative recoveries of 1.0% to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions to 6.2% and 74.6%, respectively. CREDIT ENHANCEMENT The subordination of the Series B Notes and the cash reserve provide credit enhancement to the Series A Notes, while only the cash reserve provides credit enhancement to the Series B Notes following the full repayment of the Series B Notes. As of the April 2021 payment date, credit enhancement to the Series A Notes increased to 19.0% from 14.0% at the time of the initial rating 12 months ago while credit enhancement to the Series B Notes increased to 6.8% from 5.0%. The increased credit enhancement prompted the rating upgrades. The transaction benefits from an amortizing cash reserve available to cover senior expenses and all payments due on the senior-most class of Notes outstanding at the time. The reserve was funded to EUR 177.5 million at closing through a subordinated loan granted by CaixaBank and, from the June 2021 payment date onward, as long as the reserve has been replenished to its target level on the previous payment date, it will amortize to its target level, which is 5% of the outstanding principal balance of the Notes. Since closing, the reserve has remained at EUR 177.5 million. CaixaBank acts as the account bank for the transaction. Based on the account bank reference rating of A (high) on CaixaBank (which is one notch below the DBRS Morningstar public Long Term Critical Obligations Rating of AA (low)), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the Notes, as described in DBRS Morningstar's Legal Criteria for European Structured Finance Transactions" methodology. DBRS Morningstar analyzed the transaction structure in Intex DealMaker. The coronavirus and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many ABS transactions, some meaningfully. The ratings are based on additional analysis and, where appropriate, adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar applied an additional haircut to its base case recovery rate and conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand high levels of payment holidays in the portfolio. As of April 30, 2021, 0.6% of the pool benefitted from payment holidays. Notes: All figures are in euros unless otherwise noted. CAIXABANK PYMES 8: DBRS Confirms CCC(low) Rating on Series B Notes ------------------------------------------------------------------ DBRS Ratings GmbH confirmed the following ratings on the notes issued by CaixaBank PYMES 8, FT (the Issuer): -- Series A Notes at AA (sf) -- Series B Notes at CCC (low) (sf) The rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal maturity of the notes in January 2054. The rating on the Series B Notes addresses the ultimate payment of interest and the ultimate payment of principal on or before the legal maturity. The confirmations follow an annual review of the transaction and are based on the following analytical considerations: -- The portfolio performance, in terms of level of delinquencies and defaults, as of the April 2021 payment date; -- The one-year base case probability of default (PD) and default and recovery rates on the outstanding receivables; -- The current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels; and -- The current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic. The transaction is a cash flow securitization collateralized by a portfolio of bank loans originated and serviced by CaixaBank, S.A. (CaixaBank) to self-employed individuals and small and medium-size enterprises (SMEs) based in Spain. The transaction closed in November 2016. PORTFOLIO PERFORMANCE The portfolio is performing within DBRS Morningstar's expectations. As of March 2021, the 90+-day delinquency ratio was 2.1%, up from 1.5% in March 2020. The cumulative default ratio was 1.4% in March 2021, slightly up from 1.1% one year ago. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar conducted a loan-by-loan analysis on the remaining pool of receivables and updated its default rate and recovery assumptions on the outstanding portfolio to 36.9% and 33.6%, respectively, at the AA (sf) rating level, and to 10.2% and 40.3%, respectively, at the CCC (low) (sf) rating level. DBRS Morningstar updated its base case PD including coronavirus-related adjustments to 2.4% based on the updated portfolio composition. CREDIT ENHANCEMENT The credit enhancements available to the rated notes have continued to increase as the transaction deleverages. As of the April 2021 payment date, the credit enhancements available to the Series A Notes and Series B Notes were 61.5% and 12.0%, respectively (up from 44.5% and 8.7%, respectively, as of the April 2020 payment date). Credit enhancement is provided by subordination of the Series B Notes and a reserve fund. The reserve fund is available to cover senior expenses as well as missed interest and principal payments on the Series A Notes and also on the Series B Notes once the Series A Notes have paid in full. CaixaBank acts as the account bank for the transaction. Based on the account bank reference rating of A (high) on CaixaBank (one notch below its DBRS Morningstar Long Term Critical Obligations Rating of AA (low)), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Series A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. DBRS Morningstar analyzed the transaction structure in its proprietary Excel-based cash flow engine. The coronavirus and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that payment holidays and delinquencies may continue to increase in the coming months for many SME transactions, some meaningfully. The ratings are based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar increased the expected default rate on receivables granted to obligors operating in certain industries based on their perceived exposure to the adverse disruptions of the coronavirus. As per DBRS Morningstar's assessment, 8.2% and 34.6% of the outstanding portfolio balance represented industries classified in the mid-high and high-risk economic sectors, respectively. This led the underlying one-year PDs to be multiplied by 1.5 times (x) and 2.0x, respectively, as per DBRS Morningstar's "European Structured Credit Transactions' Risk Exposure to Coronavirus (COVID-19) Effect" commentary released on 18 May 2020, wherein DBRS Morningstar discussed the overall risk exposure of the SME sector to the coronavirus and provided a framework for identifying the transactions that are more at risk and more likely to be affected by the fallout of the pandemic on the economy. DBRS Morningstar also conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand high levels of payment holidays in the portfolio. As of 30 April 2021, EUR 5.1 million (0.9% of the current outstanding balance) was reported as currently benefitting from coronavirus-related moratoriums. Notes: All figures are in euros unless otherwise noted. RURAL HIPOTERARIO VIII: Fitch Affirms CC Rating on Class E Debt --------------------------------------------------------------- Fitch Ratings has upgraded six tranches of five Spanish Rural Hipotecario RMBS transactions and affirmed the others. DEBT RATING PRIOR ---- ------ ----- Rural Hipotecario Global I, FTA Class A ES0374273003 LT AAAsf Upgrade AA+sf Class B ES0374273011 LT AA-sf Upgrade A+sf Class C ES0374273029 LT A+sf Upgrade Asf Class D ES0374273037 LT Asf Upgrade BBB+sf Class E ES0374273045 LT CCCsf Affirmed CCCsf Rural Hipotecario VII, FTA Class A1 ES0366366005 LT AAAsf Affirmed AAAsf Class B ES0366366021 LT AA+sf Upgrade AA-sf Class C ES0366366039 LT Asf Affirmed Asf Rural Hipotecario VIII, FTA Class A2a ES0366367011 LT AAsf Affirmed AAsf Class A2b ES0366367029 LT AAsf Affirmed AAsf Class B ES0366367037 LT A+sf Upgrade Asf Class C ES0366367045 LT A-sf Affirmed A-sf Class D ES0366367052 LT BBBsf Affirmed BBBsf Class E ES0366367060 LT CCsf Affirmed CCsf Rural Hipotecario IX, FTA Class A2 ES0374274019 LT A+sf Affirmed A+sf Class A3 ES0374274027 LT A+sf Affirmed A+sf Class B ES0374274035 LT A+sf Affirmed A+sf Class C ES0374274043 LT BBB+sf Affirmed BBB+sf Class D ES0374274050 LT BB-sf Affirmed BB-sf Class E (RF) ES0374274068 LT CCsf Affirmed CCsf Rural Hipotecario X, FTA Class A ES0374275008 LT A+sf Affirmed A+sf Class B ES0374275016 LT Asf Affirmed Asf TRANSACTION SUMMARY The transactions comprise fully amortising residential mortgages originated and serviced by multiple rural savings banks in Spain with a back-up servicer arrangement with Banco Cooperativo Espanol S.A. (BBB/Stable/F2). KEY RATING DRIVERS Resilient to Additional Stresses: The upgrades and revisions of Outlooks reflect Fitch's view that the notes are sufficiently protected by credit enhancement (CE) and excess spread to absorb the additional projected losses (see "EMEA RMBS: Criteria Assumptions Updated due to Impact of the Coronavirus Pandemic" and "Spain RMBS: Criteria Assumptions Updated Due to Decree Law in Catalonia"). The rating actions also reflect the broadly stable asset performance outlook, driven by the low share of loans in payment moratoria schemes and the improved macro-economic outlook for Spain as outlined in Fitch's latest Global Economic Outlook dated June 2021. Fitch does not expect the level of late stage arrears to materially increase, and therefore has not made any arrears adjustment within its analysis. Across the transactions, arrears over 90 days range between 0.6% and 2.3% as of the latest reporting periods. Moreover, the analysis is not influenced by the Covid-19 downside scenario calibration, in line with "Fitch Ratings Retires Coronavirus Baseline and Downside Scenarios" dated 15 June 2021. The Negative Outlook on Rural Hipotecario VIII, FTA's class D notes reflects the rating's vulnerability to shock scenarios, especially increased defaults, which could be triggered by the large exposure to self-employed borrowers (21.8% of the portfolio balance as of March-2021). Fitch considers these loans riskier than third party employed borrowers due to income volatility. Rating Caps Due to Counterparty Risks: Rural Hipotecario IX, FTA's maximum achievable rating is 'A+sf' as per Fitch's Structured Finance and Covered Bonds Counterparty Rating Criteria, as the transaction remains exposed to payment interruption risk in the event of servicer disruption. Fitch deems the available structural mitigants (i.e. cash reserve funds that can be depleted by losses) insufficient to cover stressed senior fees, net swap payments and senior notes interest due amounts while an alternative servicer arrangement is implemented. Rural Hipotecario X, FTA's maximum achievable rating remains capped at 'A+sf' due to the account bank minimum eligibility rating thresholds of 'BBB+' and 'F2', which are not compatible with 'AAsf' or 'AAAsf' rating categories as per Fitch's Counterparty Criteria. Rural Hipotecario VII, FTA's class C notes and Rural Hipotecario X's class B notes' ratings are capped at the SPV account bank provider deposit rating (Societe Generale S.A. A-/Stable/F1, deposit rating 'A') as the cash reserves held at this entity are the only source of structural CE for these notes. The rating cap reflects the excessive counterparty dependence on the SPV account bank holding the cash reserves, in accordance with Fitch's Structure Finance and Covered Bonds Counterparty Rating Criteria. CE to Increase in Short Term: Fitch expects CE ratios for Rural Hipotecario Global I, FTA to remain broadly stable over the immediate term due to the prevailing pro-rata amortisation mechanism. They will likely increase when the switch to sequential amortisation of the notes is activated after the portfolio factor is lower than 10% (versus 11.8% currently). Similarly, for Rural Hipotecario VII Fitch expects increased CE for the senior notes as the portfolio factor is now less than 10%, which mandates strictly sequential amortisation of the notes. Fitch expects Rural Hipotecario VIII, IX and X CE ratios to continue increasing in the immediate short term due to the prevailing sequential amortisation. However, the CE ratios could reduce if the pro-rata amortisation of the notes is activated using a reverse sequential pay mechanism until tranche thickness targets are met. For example, Rural Hipotecario VIII's class A notes current CE of 13.0% could fall to around 11.0% if pro-rata amortisation applies. The pro-rata amortisation will be activated if the late stage arrears of the transactions decrease below certain triggers defined by the documentation. ESG Factors Rural Hipotecario IX has an ESG Relevance Score of '5' for Transaction & Collateral Structure due to payment interruption risk, which has a negative impact on the credit profile, and is highly relevant to the rating, resulting in a change to the rating of at least one notch downgrade. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Rural Hipotecario Global I and Rural Hipotecario VII class A notes are rated at the highest level on Fitch's scale and cannot be upgraded. -- For mezzanine and junior notes, CE ratios increase as the transactions deleverage, able to fully compensate the credit losses and cash flow stresses commensurate with higher rating scenarios, all else being equal. -- For Rural Hipotecario IX class A2 and A3 notes, improved liquidity protection against a servicer disruption event. This is because the ratings are capped at 'A+sf' driven by unmitigated payment interruption risk. -- For Rural Hipotecario VII class C and Rural Hipotecario X class B notes, an upgrade of the SPV account bank's long-term deposit rating could trigger a corresponding upgrade of the notes. This is because the notes' ratings are capped at the bank rating given the excessive counterparty risk exposure. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- For Rural Hipotecario Global I and Rural Hipotecario VII class A notes, a downgrade of Spain's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Spanish structured finance transactions. This is because these notes are rated at the maximum achievable rating, six notches above the sovereign IDR. -- Long-term asset performance deterioration such as increased delinquencies or larger defaults, which could be driven by changes to macroeconomic conditions, interest rate increases or borrower behaviour. -- For Rural Hipotecario VII class C and Rural Hipotecario X's class B notes, a downgrade of the SPV account bank's long-term deposit rating could trigger a corresponding downgrade of the notes. This is because the notes' ratings are capped at the bank rating given the excessive counterparty risk exposure. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, 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. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS Rural Hipotecario VII's class C notes and Rural Hipotecario X's class B notes' ratings are capped at Societe Generale S.A.'s long-term deposit rating due to unmitigated counterparty dependency. ESG CONSIDERATIONS Rural Hipotecario IX has an ESG Relevance Score of '5' for Transaction & Collateral Structure due to payment interruption risk, which has a negative impact on the credit profile, and is highly relevant to the rating, resulting in a change to the rating of at least one notch downgrade. For Rural Hipotecario VII and Rural Hipotecario X, Fitch is changing the ESG.RS to '3' from '5' for Transaction Parties & Operational Risk as Fitch only considers a '5' when the counterparty constraint is at a senior class level. 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. =========== T U R K E Y =========== MILLI REASURANS: A.M. Best Affirms B(Fair) Finc'l. Strength Rating ------------------------------------------------------------------ AM Best has affirmed the Financial Strength Rating of B (Fair) and the Long-Term Issuer Credit Rating of "bb+" (Fair) of Milli Reasurans Turk Anonim Sirketi (Milli Re) (Turkey). The outlook of these Credit Ratings (ratings) is stable. The ratings reflect Milli Re's consolidated balance sheet strength, which AM Best assesses as adequate, as well as its adequate operating performance, neutral business profile and appropriate enterprise risk management. Milli Re's balance sheet strength is underpinned by its consolidated risk-adjusted capitalization, which was at the strong level at the end of 2020, as measured by Best's Capital Adequacy Ratio (BCAR). Capital requirements relate largely to underwriting risk, driven by the business written by Milli Re's subsidiary, Anadolu Anonim Turk Sigorta Sirketi (Anadolu). The balance sheet strength assessment benefits from Milli Re's relatively conservative investment portfolio by asset class, although investment quality is constrained by exposure to high levels of financial system risk in Turkey. The consolidated balance sheet is also subject to potential volatility from Milli Re's and Anadolu's domestic catastrophe exposure. Milli Re has a track record of generating strong investment earnings and foreign currency gains, which have supported a five-year weighted average return on equity of 18% (2016-2020) and reflect, in part, high interest rates in Turkey and should be considered in the context of high inflation. Underwriting results have been poor over the same period, demonstrated by a five-year weighted average combined ratio of 110%. AM Best expects Milli Re's prospective operating performance to remain adequate, although subject to potential volatility arising from changes in insurance regulation and monetary policy, which have been frequent in recent years. Milli Re has a strong market position in Turkey as the only locally domiciled, privately owned reinsurer. In addition, the company's profile benefits from its ownership of Anadolu, which is a market leader in the country's direct insurance market. =========================== U N I T E D K I N G D O M =========================== ADRIAN POOLE: Goes Into Administration Due to Pandemic ------------------------------------------------------ Chris Tindall at MotorTransport reports that Welsh haulier Adrian Poole & Sons International has entered administration. Insolvency practitioners from Mazars LLP were appointed to the business, which operates out of two depots in Whitland and Llanfyrnach, on June 14, MotorTransport relates. According to MotorTransport, recent financial documents summarizing an ongoing voluntary arrangement Adrian Poole & Sons International was subjected to reveal it had struggled during the pandemic. DEBENHAMS PLC: Ex-Chair Blames Ashley for Scuppering Rescue ----------------------------------------------------------- Jonathan Eley at The Financial Times reports that Debenhams PLC's former chair claimed a rescue of the business that could have saved dozens of stores and thousands of jobs fell through because Frasers' head Mike Ashley persisted in trying to drive the price down. "I know Mike very well from other discussions," Mark Gifford told the FT. "He's a great entrepreneur and his business plan was genuinely very, very well thought-out and I think had the best opportunity for success of anything I'd heard." "But he ultimately also wanted to pay the lowest possible price," he added. "We had six weeks of negotiations. There was an alternative option in Boohoo that we were also negotiating and the lenders lost patience with Mike." Boohoo eventually bought the brand rights, website and customer data of Debenhams for GBP55 million at the start of this year, leaving the administrators to liquidate its stock and close its remaining 124 stores with the loss of thousands of jobs, the FT discloses. US hedge funds Silver Point and GoldenTree, which along with Barclays acquired control of Debenhams through a prepack administration in 2019 and remained creditors, later also sold its Magasin du Nord business to Germany's Peek & Cloppenburg, reducing the overall losses on their investment, the FT relays. The negotiations with Mr. Ashley came after another proposal from JD Sports, which would also have preserved many of the stores, was withdrawn, the FT recounts. Mr. Gifford said Peter Cowgill, JD's executive chair, "ran a very thorough and detailed process and got everything lined up", including support from the group's majority shareholder, Pentland Brands, the FT relates. "There was a leak. His share price crashed and he got a lot of pressure from other shareholders not to proceed with the deal. And then by the Friday, Arcadia had gone into administration, which was our biggest concession partner." "Those two factors -- losing almost a billion pounds of market cap and the challenge of turning [Debenhams] around becoming even more difficult -- meant that although Peter had tried very hard . . . he just wouldn't get the support from the shareholders." "But there was over GBP300 million sitting in his lawyer's bank account and there was a final sale and purchase agreement." Frasers did not dispute Mr. Gifford's account, and remains in discussions with a number of Debenhams' landlords over some of its former stores, the FT notes. GFG ALLIANCE: Gupta In Talks with Glencore to Refinance Debt ------------------------------------------------------------ Robert Smith and Neil Hume at The Financial Times report that Sanjeev Gupta is in talks with Glencore to refinance debt at his European aluminium business, a deal that would allow the metals magnate to retain control of one of his best assets. Mr. Gupta's GFG Alliance, which employs 35,000 people from the UK to Australia, has been battling to restructure and refinance its debt after the collapse of Greensill Capital, its main lender, the FT relates. Greensill and its debt investors had US$5 billion of exposure to GFG when the supply chain finance group imploded in March, the FT discloses. GFG is also under investigation in the UK over suspected fraud, complicating the efforts to find new financing, the FT notes. GFG has said it will co-operate with the probe. Glencore is in discussions to refinance more than US$500 million of debt at Alvance, Gupta's aluminium business with assets in France and Belgium, the FT relays, citing two people familiar with the matter. An agreement with the London-listed miner and commodity trader would allow Mr. Gupta to remain as owner, in contrast to an earlier proposal from US private equity firm American Industrial Partners (AIP), which was looking to buy the asset, the FT relates. According to the FT, a deal would be a boon for Glencore's aluminium business if it is able to secure supply of the metal, giving the FTSE 100 company a pipeline it could sell on through its vast trading arm. GFG, as cited by the FT, said that it "continues to focus on the restructuring and refinancing of its businesses following the collapse of Greensill Capital. The Alvance portfolio is performing well, supported by strong market conditions." A deal with Glencore would repay several debt facilities across the Alvance business, the FT states. The Dunkirk aluminium smelter has a US$260 million loan against it, while Alvance's rolling mill in Duffel has a further US$59 million of debt, according to the FT. The business also has US$131 million of riskier holding company debt from BlackRock, and US$73 million in financing from Greensill, the FT notes. Trafigura also signed an aluminium agreement with Mr. Gupta when it originally provided the Dunkirk debt at the end of 2018, the FT relates. Alvance, the FT says, has a further US$114 million in liabilities stemming from disputes with the original sellers of the Dunkirk and Duffel assets. NEWDAY FUNDING 2021-2: DBRS Gives Prov. B(high) Rating on F Notes ----------------------------------------------------------------- DBRS Ratings Limited assigned provisional ratings of AAA (sf), AAA (sf), AA (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (high) (sf) to the Class A1, Class A2, Class B, Class C, Class D, Class E, and Class F Notes of Series 2021-2 (collectively, the Notes) to be issued by NewDay Funding Master Issuer plc (the Issuer). The provisional ratings are based on information provided to DBRS Morningstar by the Issuer and its agents as of the date of this press release. The ratings can be finalized upon review of final information, data, legal opinions, and the executed version of the governing transaction documents. To the extent that the information or the documents provided to DBRS Morningstar as of this date differ from the final information, DBRS Morningstar may assign different final ratings to the Notes. The ratings address the timely payment of scheduled interest and the ultimate repayment of principal by the relevant legal final maturity dates. The Notes are backed by a portfolio of own-branded credit cards granted by NewDay Cards, the originator, to individuals domiciled in the UK. The ratings are based on the following analytical considerations: -- The transaction's capital structure, including form and sufficiency of available credit enhancement to support DBRS Morningstar's revised expectation of charge-off, principal payment, and yield rates under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay the Notes. -- The originator's capabilities with respect to origination, underwriting, and servicing. -- An operational risk review of the originator, which DBRS Morningstar deems to be an acceptable servicer. -- The transaction parties' financial strength regarding their respective roles. -- The credit quality, diversification of the collateral, and historical and projected performance of the securitized portfolio. -- DBRS Morningstar's sovereign rating of the United Kingdom of Great Britain and Northern Ireland at AA (high) with a Stable trend. -- The consistency of the transaction's legal structure with DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. TRANSACTION STRUCTURE The Notes are to be issued out of the NewDay Funding Master Issuer as part of the NewDay Funding-related master issuance structure, where all series of notes are supported by the same pool of receivables and generally issued under the same requirements regarding servicing, amortization events, priority of distributions, and eligible investments. The transaction includes a scheduled revolving period. During this period, additional receivables may be purchased and transferred to the securitized pool, provided that the eligibility criteria set out in the transaction documents are satisfied. The revolving period may end earlier than scheduled if certain events occur, such as the breach of performance triggers or servicer termination. The scheduled revolving period may be extended by the servicer by up to 12 months. If the Notes are not fully redeemed at the end of the respective scheduled revolving periods, the transaction enters into a rapid amortization. As the Class A2 Notes are denominated in U.S. dollars (USD), there is a balance-guaranteed, cross-currency swap to hedge the currency and interest rate risk between the British pound sterling (GBP) denominated receivables and the USD-based Class A2 Notes. For the GBP-denominated classes of the Notes, which carry floating-rate coupons based on the rate of Daily Compounding Sterling Overnight Index Average (Sonia), the interest rate mismatch risk arising from the fixed-interest rate collateral is mitigated to a degree by the excess spread in the transaction and is considered in DBRS Morningstar's cash flow analysis. The transaction includes a series-specific liquidity reserve that is available to cover the shortfalls in senior expenses, swap costs if applicable, and interests on the Class A1, Class A2, Class B, Class C, and Class D Notes and would amortize down to a floor amount of GBP 250,000. COUNTERPARTIES HSBC Bank plc is the account bank and swap collateral account bank for the transactions. Based on DBRS Morningstar's private rating of HSBC Bank and the downgrade provisions outlined in the transaction documents, DBRS Morningstar considers the risk arising from the exposure to the account bank and swap collateral account bank to be commensurate with the ratings assigned. BNP Paribas SA is the swap counterparty for the Class A2 swap. DBRS Morningstar has a Long-Term Issuer Debt rating of AA (low) on BNP Paribas SA, which meets its criteria to act in such capacity. The swap documentation also contains downgrade provisions consistent with DBRS Morningstar's criteria. PORTFOLIO ASSUMPTIONS AND COVID-19 CONSIDERATIONS The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to increases in unemployment rates and adverse financial impact on many borrowers. DBRS Morningstar anticipates that delinquencies could continue to rise, and payment and yield rates could remain subdued in the coming months for many credit card portfolios. The ratings are based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. The most recent June 2021 servicer report of the securitized portfolio shows an improved total payment rate of 14.3% including the interest collections after reaching a record low level of 10.4% in April 2020 due to the impact of the coronavirus. The payment rates appear to have stabilized but remain slightly below historical levels. After removing the interest collections, the estimated monthly principal payment rates (MPPRs) of the securitized portfolio have been stable above 8%. Based on the analysis of historical data, macroeconomic factors, and the portfolio-specific coronavirus adjustments, DBRS Morningstar maintains the expected MPPR at 8%. Similarly, the portfolio yield has been largely stable over the reported period until March 2020. The most recent performance in May 2021 shows a total yield of 28.9%, increased from the record low of 26.5% in May 2020 because of higher delinquencies and the forbearance measures of payment holiday and payment freeze offered. Based on the observed trend and the potential yield compression because of the forbearance measures, DBRS Morningstar maintains the expected yield at 24.5%. The reported historical charge-off rates had been high but stable at approximately 16% until March 2020. The most recent performance in May 2021 showed a charge-off rate of 11.5%, after reaching a record high of 17.6% in April 2020. Based on the analysis of delinquency trends, macroeconomic factors, and the portfolio-specific adjustment because of the impact of coronavirus, in November 2020, DBRS Morningstar maintains the expected charge-off rate at 18%. DBRS Morningstar also elected to stress the asset performance deterioration over a longer period for the Notes rated below investment grade in accordance with its "Rating European Consumer and Commercial Asset-Backed Securitizations" methodology. DBRS Morningstar analyzed the transaction structure in its proprietary cash flow tool. Notes: All figures are in British pound sterling unless otherwise noted. RALPH & RUSSO: Bought Out of Administration by Retail Ecommerce --------------------------------------------------------------- Business Sale reports that British couture fashion brand Ralph & Russo has revealed that it has been bought out of administration by US-based investment firm Retail Ecommerce Ventures (REV). Set up by entrepreneurs Tai Lopez and Alex Mehr in 2019, REV already owns fashion retailers Dressbarn and Stein Mart, as well as homeware company Pier 1. The sale of the business was managed by UK-based Hillco Streambank and Hilco Valuation Services Europe, who were instructed by joint administrators Begbies Traynor Group and Quantuma Advisory, Business Sale discloses. The news comes three months after Ralph & Russo fell into administration with debts of almost GBP28 million, Business Sale notes. The firm reported that it had been hit hard by the Covid-19 pandemic, which had resulted in the cancellation of many weddings and formal events that would have otherwise helped the business boost its profits, Business Sale relates. According to Business Sale, in a joint statement released at the time, co-founders Ralph & Russo said: "This difficult decision has been made to help ensure the company's ongoing success and to restructure the business after the retail economy across the world has been badly hit by the Covid-19 pandemic." SCORPIO 34: DBRS Confirms BB Rating on Class E Notes ---------------------------------------------------- DBRS Ratings Limited confirmed its ratings of the following classes Commercial Mortgage-Backed Floating Rate Notes due May 2029 issued by Scorpio (European Loan Conduit No. 34) DAC: -- Class RFN at AAA (sf) -- Class A1 at AAA (sf) -- Class A2 at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) All trends remain Stable. Scorpio (European Loan Conduit No.34) DAC is the securitization of 82.5% (GBP 236.4 million) of a GBP 286.4 million floating-rate senior commercial real estate loan (the senior loan) advanced by Morgan Stanley Bank N.A. (the Loan Seller) to borrowers sponsored by Blackstone Group L.P. (Blackstone or the Sponsor). The remaining 17.5% of the senior loan was retained by the original senior lender and ranks pari passu with the securitized senior loan. The financing is also accompanied by a GBP 57.3 million (80% loan-to-value or LTV) mezzanine loan granted by BSRECP III Joint International S.a r.l. and Broad Street Credit Holdings S.a r.l. The mezzanine loan is structurally and contractually subordinated to the senior facility and is not part of the transaction. The senior loan (65.1% LTV) is backed by a portfolio of 110 multilet, last-mile industrial properties located throughout the United Kingdom. Two assets have been sold since issuance, resulting in a partial repayment of the loan by GBP 0.23 million in November 2020. Blackstone acquired the assets through 16 subportfolio transactions between Q2 2018 and Q1 2019. Blackstone and M7 Real Estate Ltd. (M7) manage the portfolios, leveraging their asset and investment management platforms. Since issuance, the overall performance of the portfolio has been stable even amidst the prevailing Coronavirus Disease (COVID-19) pandemic. As of May 2021, approximately 850 tenants occupied 90.0% of the portfolio's net lettable area (NLA). The top five tenants contribute 7.7% of the gross rental income (GRI) with no tenant lease in the portfolio representing more than 2.4% of GRI. The assets are geographically concentrated across the UK: in Scotland (22.3% market value or MV), Northern England (26.5% MV), and the Midlands (26.1% MV). Properties accounting for a combined 25.1% of the portfolio MV are located in Southern England and Wales. The quarter's debt yield, to the May 2021 interest payment date, was 10.8%, which is in line with the previous quarter's figure; Last year, as a result of the coronavirus pandemic, the borrower reported that it had received 58 requests from tenants seeking amendments to the terms of their leases, including rent deferrals and requests to switch to monthly payments. Of the requests, 36 were agreed to, equating to approximately GBP 385,000 of relief being granted; however, with the recent increase in debt yield figures, performance of the portfolio has returned to normal levels. Given the asset class of the portfolio of last-mile industrial properties, the granularity of the tenants, and the continued easing of restrictions, the pandemic's impact on the portfolio appears to be remote. The borrower had three annual loan extension options available, of which the first was in November 2020. Having satisfied all senior loan extension option conditions, the borrower exercised the extension option and extended the loan maturity date until the first senior loan extended repayment date, being November 15, 2021. If all extensions are exercised the final loan maturity will be in May 2024 as the final extension option extends the loan maturity by 18 months. In September 2020 the portfolio was revalued by Jones Lang Lasalle, which appraised the market value at GBP 439,185,000, an increase in value of 2.6% since issuance. The loan structure does not include financial default covenants prior to a permitted change of control, but provides other standard events of default including: (1) any missing payment, including failure to repay the loan by the maturity date; (2) borrower insolvency; (3) a loan default arising as a result of any creditor's process or cross-default. DBRS Morningstar notes that the lack of default financial covenants makes it easier for the borrower to exercise the loan maturity extension options included in the facility agreement. The transaction includes a Reserve Fund Note (RFN), which funds 95% of the liquidity reserve (i.e., the note share part). After issuance, the GBP 10.4 million RFN proceeds and the GBP 0.5 million Vertical Risk Retention (VRR) loan contribution was deposited into the transaction's liquidity reserve, which works similarly to a typical liquidity facility by providing liquidity to pay property protection advances, senior costs, and interest shortfalls (if any) in relation to the corresponding VRR loan, Class A1, Class A2, Class B, Class C, and Class D notes (for further details, please see the "Liquidity Support" section in DBRS Morningstar's rating report for this transaction). According to DBRS Morningstar's analysis, the liquidity reserve amount will be equivalent to approximately 15 months on the covered notes, based on the interest rate cap strike rate of 2.0% per year and nine months based on the Libor cap after the loan maturity of 5.0% per year. The final legal maturity of the notes is expected to be in May 2029, five years after the fully extended loan term. The latest loan maturity date, considering potential extensions, is May 15, 2024. In DBRS Morningstar's view, such structural feature provides further benefit to the securitization with regard to loan refinancing risk and property value declines. Class E is subject to an available funds cap where the shortfall is attributable to an increase in the weighted-average margin of the notes. The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many tenants and borrowers. DBRS Morningstar anticipates that vacancy rate increases and cash flow reductions may continue to arise for many CMBS borrowers, some meaningfully. In addition, commercial real estate values will be negatively affected, at least in the short-term, impacting refinancing prospects for maturing loans and expected recoveries for defaulted loans. The ratings are based on additional analysis as a result of the global efforts to contain the spread of the coronavirus. Notes: All figures are in British pound sterling unless otherwise noted. =============== X X X X X X X X =============== [*] BOND PRICING: For the Week June 28 to July 2, 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 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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 * * *