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

                          E U R O P E

          Monday, July 19, 2021, Vol. 22, No. 137

                           Headlines



F R A N C E

FINANCIERE LABEYRIE: S&P Assigns 'B' LT Issuer Credit Rating


I R E L A N D

MONTMARTRE EURO 2020-2: Fitch Rates F-R Notes Final 'B-'
MONTMARTRE EURO 2020-2: S&P Assigns B- (sf) Rating to F-R Notes
OAK HILL III: Moody's Affirms B3 Rating on EUR12MM Class F-R Notes
PERIOD DOOR: In Liquidation After Rescue Efforts Collapse
SORRENTO PARK: Moody's Upgrades EUR17.5MM Class E Notes to Ba3

TORO EUROPEAN 3: S&P Assigns B- (sf) Rating to Class F Notes
TORO EUROPEAN 3: S&P Assigns Prelim. B- Rating on Cl. F Notes
VOYA EURO II: Fitch Assigns Final B- Rating to F-R Tranche
[*] IRELAND: New Rescue Process for Small Businesses Passed


L U X E M B O U R G

GARFUNKELUX HOLDCO 2: Fitch Affirms B+ LT IDR, Outlook Now Positive


S P A I N

EL CORTE: S&P Affirms 'BB+' Long-Term ICR, Outlook Negative
LUNA III: Fitch Assigns FirstTime 'BB(EXP)' LT IDR, Outlook Stable
LUNA III: S&P Assigns Prelim 'BB-' Long-Term ICR, Outlook Stable
RMBS SANTANDER 7: Moody's Assigns B3 Rating to EUR530MM B Notes


U N I T E D   K I N G D O M

A & A LTD: Brothers Banned from Acting as Company Directors
GREENSILL CAPITAL: Shop Direct Holdings to Repay Debt in Full
PINNACLE BIDCO: Moody's Affirms B3 CFR, Alters Outlook to Stable
POUNDSTRETCHER: Estate Shrinks by 75 Stores Following CVA
PRODIGY FINANCE CM2021-1: Moody's Gives Ba1 Rating to Cl. D Notes

SECOND HOME: Obtains Waiver from Lender After Covenant Breach


X X X X X X X X

[*] BOND PRICING: For the Week July 12 to July 16, 2021

                           - - - - -


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F R A N C E
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FINANCIERE LABEYRIE: S&P Assigns 'B' LT Issuer Credit Rating
------------------------------------------------------------
S&P Global Ratings assigned its 'B' long-term issuer credit rating
to Financiere Labeyrie Fine Foods, France-based gourmet foods
producer Labeyrie's holding company, and its 'B' issue rating and
'3' recovery rating to the proposed senior secured term loan B
(TLB).

The stable outlook reflects its view that Labeyrie will improve its
earnings despite potential inflation of raw material prices and
some one-off costs, with S&P Global Ratings-adjusted margins
improving to 8.0%-8.5% in the next 12 months, enabling it to post
solid cash flow and maintain cash interest coverage of funds from
operations (FFO) of 3.5x-4.0x.

S&P said, "We assume substantial deleveraging toward close to 8.0x
(including PIK debt) and 6.0x-6.5x (excluding PIK debt) by year-end
2022 (June 30), and positive cash flow, will support the 'B'
rating. Labeyrie plans to refinance debt, repay EUR10 million of
PIK debt and fund about EUR10 million of transaction costs by
issuing a EUR455 million TLB and EUR65 million RCF, assumed to be
undrawn at closing; and using EUR20 million of cash on balance
sheet. Given that we treat the PIK instrument as debt as per our
criteria, we project these issuances will lead to an S&P Global
Ratings-adjusted debt-to-EBITDA ratio of about 8.5x (including PIK
instruments) and 6.5x-7.0x (excluding PIK instruments) for fiscal
year-end 2021, which remain high for the rating category. However,
we assume substantial EBITDA growth in fiscal 2022 from improved
underlying performance, supporting deleveraging toward the S&P
Global Ratings-adjusted debt-to-EBITDA ratio of around 8.0x
(including PIK instruments) and 6.0x-6.5x (excluding PIK
instruments). At the same time, we assume Labeyrie will maintain
some headroom under its other key credit metrics. We forecast FFO
cash interest coverage of 3.0x-3.5x in 2021, before improving to
3.5x-4.0x in 2022 and healthy positive free operating cash flow
(FOCF) of EUR10 million-EUR20 million (after rent payments) on
average over the period, supporting the 'B' ratings. Our adjusted
debt calculation for 2021 totals EUR690 million and comprises the
proposed EUR455 million term loan, EUR20 million-EUR25 million of
other debt (including mainly other bank facilities), EUR22 million
of lease-related debt (including the IFRS-16 impact), and about
EUR143 million in shareholder loans, which we view as akin to debt.
We also add about EUR35 million of debt related to the factoring of
receivables and EUR12 million of pension obligations. We do not net
cash from our S&P Global Ratings-adjusted debt calculation.

"We believe the group will achieve material EBITDA growth in fiscal
2022, despite headwinds from the avian flu, some residual impact
from COVID-19, potential inflation in raw material costs, and some
exceptional costs. This will be more than offset by Labeyrie's
strong cost control, continued pricing power across most
categories, and improved industrial performance. This was
highlighted by the group reporting margins increase by 1.9% for the
10 months to April 2021, compared with the same period a year
earlier. We assume that one-off costs will remain relatively high,
at around EUR11 million in fiscal 2021 and EUR9 million in fiscal
2022, reflecting the closure of its Wishes and Pistache sites, but
we assume it will generate up to EUR3 million in annual savings
thereafter. As a result, we assume the group's S&P Global
Ratings-adjusted margins will improve to 8.0%-8.5% in 2022 from
7.9% in 2021, benefiting from the gradual normalization of
COVID-19-affected segments, cost savings benefits from ongoing
operational improvement efforts, and the group's ability to pass on
raw material prices increase to its customers in the wake of
potential inflation of salmon prices. Labeyrie's gourmet food
business is highly focused on the seafood market, from which it
derives almost 70% of total sales, and is therefore structurally
exposed to raw material price fluctuations and its ability to pass
through cost increases to major retailers. This exposes the company
to decreased profitability during periods of price hikes, such as
in 2016, a year affected by record-high salmon prices. However,
this is mitigated in our view by the group's record of passing raw
material price hikes to customers and engagement in some
pass-through contracts, typically for one-year periods. Given the
limited headroom under the ratings, we will monitor closely the
delivery of envisaged EBITDA improvements.

"We assume Labeyrie's investment in sustainable sourcing and
innovation will benefit its mix and help it face changing food
consumption preferences in mature markets, where it has most
exposure. The group recently refocused its strategy on increasing
vegetarian offers, which are currently limited to 15% of its sales,
along with developing international sales and diversifying its
distribution channels including e-commerce. In fact, Labeyrie's
digital sales increased to 11.8% of U.K.- and France-branded sales,
compared with 5.5% in fiscal 2020. We consider the strategy refocus
positive because the group will likely devote more resources to its
core brands and develop new products to address new consumer
trends. It is targeting to improve the share of plant-based
categories to 25% in the near term, which are high margin products
and benefit from attractive growth prospects (6.5% growth over
2016-2020 for appetizers, including Blini and spreadable).
Furthermore, it should benefit from better pricing power in
international markets, where it will focus on developing its
branded offerings. Earnings will be further supported by the
group's recent exit from lower-margin businesses. Labeyrie is
improving the traceability of its products sourcing and
participates in various initiatives to ensure higher-quality
products, and we believe its ongoing investment will position it
well to face health and wellness trends. Although the group has
diversified away from the foie gras segment, which represents close
to 7% of sales, we believe this category remains subject to
increasing customer awareness of animal mistreatment, which could
affect sales.

"We factor some volatility in working capital needs following the
recent avian flu outbreak. Still, we assume a lower impact on
earnings compared with previous avian flu outbreaks because the
group made significant investment in sanitary requirements and food
security in recent years to comply with stricter regulatory
measures. As well, the outbreak occurred after the seasonal peak of
Christmas, protecting foie gras volumes for 2021 somewhat. As a
result, we assume FOCF will continue being positive over the
forecast horizon, benefiting from continued working capital
discipline and supported by the group's efforts in optimizing
inventory levels. This will help mitigate volatility arising from
the avian flu episode as well as upcoming investments in growth
capital expenditure (capex). As a result, we assume FOCF of EUR20
million-EUR30 million in 2021, getting a boost from working capital
inflow of EUR10 million, reflecting mainly the unusual low levels
of inventory following the decontamination of its slaughterhouse.
We assume FOCF of around EUR10 million in 2022, hampered by working
capital outflow of around EUR10 million when the slaughterhouse
resumes activity and ducks' stocks start to increase. We also
assume capex of about EUR30 million in 2021 and around EUR35
million in 2022, mostly related to project capex to support
capacity extension of existing lines and productivity
improvement."

Labeyrie's business is constrained by the group's potential
difficulty in passing price increases to customers in a timely
fashion, its relatively low geographic diversification, and a mix
skewed toward private labels. The branded ambient food industry is
competitive, and retailers put significant price pressure on food
producers. In response, the group has invested in marketing to
maintain its brands' equity and in innovation to develop new
products in line with consumer trends. S&P said, "However, in our
view, profitability remains subject to hikes in raw material
prices, in particular salmon, although it has a track record of
passing this on to customers. Labeyrie benefits from a portfolio of
strong brands in France and the U.K., with its branded sales making
up close to 40% of the group's total sales in 2020, which support
pricing power in our view. Its historical brand, Labeyrie, is the
leading national brand in foie gras and smoked salmon in French
supermarkets. Also, the company's offerings are premium products
with low purchase frequency, which implies a lower sensitivity to
pricing than for daily staples. Nevertheless, earnings stability
remains constrained by product mix skewed toward private labels and
its geographically concentrated revenue base (with France and the
U.K accounting for about 88% of total sales in 2020)."

S&P said, "The stable outlook reflects our anticipation that
Labeyrie's operating performance will improve in the next 12
months, despite some volatility in raw material prices, price
pressure from retailers, and adverse conditions from the avian flu
outbreak. Although we anticipate margins will remain at the lower
end of the 8%-9% range in fiscal 2021, we assume material margin
improvement in the next 12 months driven by cost-control
initiatives, improved industrial performance, and increasing
diversity of products and brands. The group's strong ability to
pass-through cost increases to major retailers will also support
this. We believe that Labeyrie should maintain an FFO cash interest
coverage ratio of 3.5x-4.0x and positive FOCF in the next 12
months. This underpins both the outlook and ratings.

"We would consider lowering our ratings if the company's operating
performance did not improve materially in the next 12 months, for
example if margins decrease due to persisting lower demand from
consumption shifts in core markets or higher operating costs with a
greater likelihood that Labeyrie would not pass on price increases
to retailers on a timely basis. This could also arise from a
setback in sales growth due to strong underperformance in main
product categories, intense competition, and price pressure from
retailers, or due to a bigger impact from the avian flu outbreak
than we expect." This would result in one or more of the
following:

-- The group cannot deleverage continuously toward an adjusted
debt to EBITDA (including PIK debt) of 7.5x by fiscal 2023, after
still-important one-off costs in fiscal 2022.

-- Free cash flow turns negative sustainably.

-- The ratio of FFO to cash interest deteriorates toward 2.0x.

S&P said, "We consider rating upside unlikely, given Labeyrie's
debt leverage tolerance as a private equity owned group. We also
believe that the business remains somewhat constrained in terms of
geographical diversification, and scale of operations, although
this has gradually improved. Moreover, we believe that, despite
being relatively resilient, the group's profitability remains below
that of most peers in the branded food and beverages categories,
which is partly the result of the size of the private label
business. However, we could raise our rating if adjusted debt to
EBITDA fell to 4x-5x sustainably, with a clear commitment from the
financial sponsor to maintain leverage at this level."




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

MONTMARTRE EURO 2020-2: Fitch Rates F-R Notes Final 'B-'
--------------------------------------------------------
Fitch Ratings has assigned Montmartre Euro CLO 2020-2 DAC 's
refinancing notes final ratings.

     DEBT                    RATING             PRIOR
     ----                    ------             -----
Montmartre Euro CLO 2020-2 DAC

A XS2207635017       LT  PIFsf   Paid In Full   AAAsf
A-1-R XS2363072047   LT  AAAsf   New Rating     AAA(EXP)sf
A-2-R XS2363072716   LT  AAAsf   New Rating     AAA(EXP)sf
B-1 XS2207635793     LT  PIFsf   Paid In Full   AAsf
B-2 XS2207636338     LT  PIFsf   Paid In Full   AAsf
B-R XS2363073284     LT  AAsf    New Rating     AA(EXP)sf
C-R XS2363073797     LT  Asf     New Rating     A(EXP)sf
D-R XS2363074175     LT  BBB-sf  New Rating     BBB-(EXP)sf
E-R XS2363074506     LT  BB-sf   New Rating     BB-(EXP)sf
F-R XS2363075651     LT  B-sf    New Rating     B-(EXP)sf

TRANSACTION SUMMARY

Montmartre Euro CLO 2020-2 DAC is a securitisation of mainly senior
secured obligations (at least 90%) with a component of senior
unsecured, mezzanine, second-lien loans and high-yield bonds. Notes
proceeds are used to redeem the existing notes, except the
subordinated notes, which are not being reissued, and pay expenses
in connection with the refinancing, including making a distribution
to subordinated noteholders.

The portfolio is actively managed by CBAM CLO Management Europe
Limited. The collateralised loan obligation (CLO) has a 4.5-year
reinvestment period and an 8.5-year weighted average life (WAL).

KEY RATING DRIVERS

Above-Average Portfolio Credit Quality (Positive): Fitch assesses
the average credit quality of obligor in the 'B' category. The
Fitch weighted average rating factor (WARF) of the identified
portfolio is 32.65.

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 target portfolio is 64.59%.

Diversified Asset Portfolio (Positive): The transaction has four
matrices corresponding to two maximum top-10 obligor limits at 15%
and 27.5%; and two maximum fixed-rate asset limits at 0% and 12.5%,
respectively. The transaction also includes various concentration
limits, including a maximum exposure to the three-largest
Fitch-defined industries in the portfolio at 40%. These covenants
ensure 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' ratings are one notch higher than the model-implied ratings
(MIR). The ratings are supported by the significant default cushion
on the identified portfolio, due to the notable buffer between the
covenants of the transaction and the portfolio's parameters,
including a higher diversity (133 obligors) for the identified
portfolio.

The class F notes' deviation from the MIR reflects Fitch's view
that the tranche has a significant margin of safety given the
credit enhancement level at closing. The notes do not present a
"real possibility of default", which is the definition of 'CCC' in
Fitch's rating definitions.

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

-- After the end of the reinvestment period, upgrades may occur
    on better-than-initially expected portfolio credit quality and

    deal performance, leading to higher credit enhancement and
    excess spread available to cover for losses in the remaining
    portfolio.

Factors 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.

-- Downgrades may occur if the build-up of credit enhancement
    following amortisation does not compensate for a larger loss
    expectation than initially assumed due to unexpectedly high
    levels of defaults and portfolio deterioration.

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
recognised statistical rating organisations 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.

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.

MONTMARTRE EURO 2020-2: S&P Assigns B- (sf) Rating to F-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Montmartre Euro
CLO 2020-2 DAC's class A-1-R, A-2-R, B-R, C-R, D-R, E-R, and F-R
notes.

The transaction is a reset of the existing Montmartre Euro CLO
2020-2, which closed in August 2020. The issuance proceeds of the
refinancing notes will be used to redeem the refinanced notes
(class A, B-1, B-2, C, D, E, and F notes of the original Montmartre
Euro CLO 2020-2 DAC CLO transaction), and pay fees and expenses
incurred in connection with the reset.

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

The portfolio's reinvestment period will end approximately 4.5
years after closing.

The ratings assigned to the notes reflect our assessment of:

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

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

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

  Portfolio Benchmarks
                                                        CURRENT
  S&P Global Ratings weighted-average rating factor    2,774.59
  Default rate dispersion                                593.84
  Weighted-average life (years)                            5.35
  Obligor diversity measure                              110.60
  Industry diversity measure                              20.60
  Regional diversity measure                               1.42

  Transaction Key Metrics
                                                        CURRENT
  Total par amount (mil. EUR)                            300.00
  Defaulted assets (mil. EUR)                              0.00
  Number of performing obligors                             135
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                         'B'
  'CCC' category rated assets (%)                           3.8
  Covenanted 'AAA' weighted-average recovery (%)          35.94
  Covenanted weighted-average spread (%)                   3.60
  Covenanted weighted-average coupon (%)                   3.75

S&P said, "Our ratings reflect our assessment of the collateral
portfolio's credit quality, which has a weighted-average rating of
'B'. We consider that the portfolio is well-diversified on the
effective date, primarily comprising broadly syndicated
speculative-grade senior secured term loans and senior secured
bonds. Therefore, we conducted our credit and cash flow analysis by
applying our criteria for corporate cash flow CDOs.

"In our cash flow analysis, we used the EUR300 million par amount,
the covenanted weighted-average spread of 3.60%, the covenanted
weighted-average coupon of 3.75%, and the covenanted
weighted-average recovery rates for all rating levels designated by
the collateral manager. We applied various cash flow stress
scenarios, using four different default patterns, in conjunction
with different interest rate stress scenarios for each liability
rating category.

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

"Following the application of our structured finance sovereign risk
criteria, we consider the transaction's exposure to country risk to
be limited at the assigned ratings, as the exposure to individual
sovereigns does not exceed the diversification thresholds outlined
in our criteria.

"At closing, we consider that the transaction's legal structure is
bankruptcy remote, in line with our legal criteria.

"In our view the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently. As such, we have not applied any additional
scenario and sensitivity analysis when assigning ratings on any
classes of notes in this transaction.

"Until the end of the reinvestment period on Jan. 15, 2026, the
collateral manager is allowed to substitute assets in the portfolio
for so long as our CDO Monitor test is maintained or improved in
relation to the initial ratings on the notes. This test looks at
the total amount of losses that the transaction can sustain as
established by the initial cash flows for each rating, and compares
that with the default potential of the current portfolio plus par
losses to date. As a result, until the end of the reinvestment
period, the collateral manager may, through trading, deteriorate
the transaction's current risk profile, as long as the initial
ratings are maintained.

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

"For the class F notes, our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses that
are commensurate with a 'CCC' rating. However, we have applied our
'CCC' rating criteria resulting in a 'B- (sf)' rating to this class
of notes."

The one notch of ratings uplift (to 'B-') from the model generated
results (of 'CCC'), reflects several key factors, including:

-- The available credit enhancement for this class of notes is in
the same range as other CLOs that S&P rates, and that have recently
been issued in Europe.

-- The portfolio's average credit quality is similar to other
recent CLOs.

-- S&P said, "Our model generated break even default rate at the
'B-' rating level of 24.81% (for a portfolio with a
weighted-average life of 5.35 years), versus if we were to consider
a long-term sustainable default rate of 3.1% for 5.35 years, which
would result in a target default rate of 16.58%."

-- The actual portfolio is generating higher spreads and coupons
versus the covenanted threshold that S&P has modelled in its cash
flow analysis.

-- S&P said, "For us to assign a rating in the 'CCC' category, we
also assessed, (i) whether the tranche is vulnerable to
non-payments in the near future, (ii) if there is a one in two
chance for this note to default, and (iii) if we envision this
tranche to default in the next 12-18 months.'

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

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

"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class A-1 to E notes
to five of the 10 hypothetical scenarios we looked at in our
publication.

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

Montmartre Euro CLO 2020-2 DAC is a European cash flow CLO
securitization of a revolving pool, comprising euro-denominated
senior secured loans and bonds issued mainly by speculative-grade
borrowers. CBAM CLO Management Europe LLC manages the transaction.

Environmental, social, and governance (ESG) credit factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries:
climate risks excluded obligor, a controversial weapons excluded
obligor, a palm oil excluded obligor, a tobacco excluded obligor.
It also excludes companies where the principal business is
generated from the manufacture, production, distribution of or
trade in pornography, adult entertainment or prostitution related
activities, predatory or payday lending activities, production or
trade of illegal drugs or narcotics, including recreational
marijuana, the development, production, maintenance, trade or
stock-piling of weapons of mass destruction, including
radiological, nuclear, biological and chemical weapons.
Accordingly, since the exclusion of assets from these industries
does not result in material differences between the transaction and
our ESG benchmark for the sector, no specific adjustments have been
made in our rating analysis to account for any ESG-related risks or
opportunities."

  Ratings List

  CLASS   RATING     AMOUNT     SUB (%)    INTEREST RATE*
                   (MIL. EUR)
  A-1-R   AAA (sf)   144.00     40.00    Three/six-month EURIBOR
                                         plus 0.96%
  A-2-R   AAA (sf)    36.00     40.00    Three/six-month EURIBOR
                                         plus 1.335%§
  B-R     AA (sf)     36.00     28.00    Three/six-month EURIBOR
                                         plus 1.70%
  C-R     A (sf)      21.00     21.00    Three/six-month EURIBOR  
                                         plus 2.10%
  D-R     BBB(sf)     19.50     14.50    Three/six-month EURIBOR
                                         plus 3.10%
  E-R     BB- (sf)    14.40      9.70    Three/six-month EURIBOR
                                         plus 6.04%
  F-R     B- (sf)      8.70      6.80    Three/six-month EURIBOR
                                         plus 8.83%
  Sub. Notes   NR     24.735     N/A     N/A

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

§The class A2 notes have a cap on EURIBOR at 2.1% in addition to
a floor on EURIBOR at 0%.
EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A--Not applicable.


OAK HILL III: Moody's Affirms B3 Rating on EUR12MM Class F-R Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Oak Hill European Credit Partners III Designated
Activity Company:

EUR25,500,000 Class B-1R Senior Secured Floating Rate Notes due
2030, Upgraded to Aa1 (sf); previously on Jun 18, 2020 Affirmed Aa2
(sf)

EUR15,800,000 Class B-2R Senior Secured Fixed Rate Notes due 2030,
Upgraded to Aa1 (sf); previously on Jun 18, 2020 Affirmed Aa2 (sf)

EUR8,700,000 Class B-3R Senior Secured Floating Rate Notes due
2030, Upgraded to Aa1 (sf); previously on Jun 18, 2020 Affirmed Aa2
(sf)

EUR22,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030, Upgraded to A1 (sf); previously on Jun 18, 2020
Affirmed A2 (sf)

EUR20,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030, Upgraded to Baa1 (sf); previously on Jun 18, 2020
Confirmed at Baa2 (sf)

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

EUR222,200,000 Class A-1R Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Jun 18, 2020 Affirmed Aaa
(sf)

EUR15,800,000 Class A-2R Senior Secured Fixed/Floating Rate Notes
due 2030, Affirmed Aaa (sf); previously on Jun 18, 2020 Affirmed
Aaa (sf)

EUR28,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed Ba2 (sf); previously on Jun 18, 2020
Confirmed at Ba2 (sf)

EUR12,000,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed B3 (sf); previously on Jun 18, 2020
Downgraded to B3 (sf)

Oak Hill European Credit Partners III Designated Activity Company,
issued in June 2015 and reset in July 2017, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured European loans. The portfolio is managed by Oak Hill
Advisors (Europe), LLP. The transaction's reinvestment period will
end in July 2021.

RATINGS RATIONALE

The rating upgrades on the Class B-1R, B-2R, B-3R, C-R and D-R
notes are primarily a result of the benefit of the shorter period
of time remaining before the end of the reinvestment period in July
2021.

The affirmations on the ratings on the Class A-1R, A-2R, E-R and
F-R notes are primarily a result of the expected losses on the
notes remaining consistent with their current ratings after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralization (OC) levels.

In light of reinvestment restrictions during the amortisation
period, and therefore the limited ability to effect significant
changes to the current collateral pool, Moody's analysed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements.

Key model inputs:

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.

In its base case, Moody's used the following assumptions:

Performing par and principal proceeds balance: EUR392,192,559

Defaulted Securities: EUR2,957,312

Diversity Score: 48

Weighted Average Rating Factor (WARF): 2996

Weighted Average Life (WAL): 4.66 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.58%

Weighted Average Coupon (WAC): 5.07%

Weighted Average Recovery Rate (WARR): 45.23%

Par haircut in OC tests and interest diversion test: 0.016%

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

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance" published in May 2021. Moody's concluded the
ratings of the notes are not constrained by these risks.

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

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

Additional uncertainty about performance is due to the following:

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

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

PERIOD DOOR: In Liquidation After Rescue Efforts Collapse
---------------------------------------------------------
The Irish Times reports that Period Door Properties Ltd, a company
that rents luxury properties -- including one owned by singer Bob
Geldof -- on behalf of landlords, is to be wound up by order of the
High Court.

According to The Irish Times, the court was told on July 15 that
efforts to save the company collapsed due to the withdrawal last
week by Ulster Bank of overdraft and credit facilities and the
"unwarranted" withdrawal by Daft.ie of advertising services.

The court was also told that coupled with the behaviour of certain
subtenants, to whom the group rented rooms but who allegedly
refused to pay their rent and utility bills, the company was
hopelessly insolvent and sought liquidation so that other tenants
who were paying their bills could be treated fairly, The Irish
Times relates.

Ken Fogarty SC, for the company, told the court that, as a result
of the developments at Ulster Bank and Daft, there had been a
significant alteration in the company's financial standing, The
Irish Times recounts.  As a result, it had been decided to seek a
withdrawal of the examinership petition and its replacement with an
application to appoint a liquidator, The Irish Times notes.

The examiner, Andrew Feighery, principal of GCG Associates, said
the company was "hopelessly insolvent" and winding up was more
appropriate, acccording to The Irish Times.  He said if appointed
liquidator, he intended to pursue the numerous outstanding sums due
to the company to maximize collections for creditors and endeavour
to ensure remaining tenants are treated fairly, The Irish Times
relays.

Period Door Properties' business was to rent whole houses in
upmarket areas of Dublin from landlords and then sublet individual
rooms in those properties.  It handles 20 properties in places such
as Ballsbridge, Clontarf, Monkstown, Rathgar and Donnybrook
including one in Crosthwaite Park South, Dún Laoghaire, whose
landlord is Bob Geldof.


SORRENTO PARK: Moody's Upgrades EUR17.5MM Class E Notes to Ba3
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Sorrento Park CLO Designated Activity Company:

EUR28,750,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2027, Upgraded to Aaa (sf); previously on Dec 18, 2020
Upgraded to A1 (sf)

EUR30,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2027, Upgraded to Baa1 (sf); previously on Dec 18, 2020
Upgraded to Ba1 (sf)

EUR17,500,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2027, Upgraded to Ba3 (sf); previously on Dec 18, 2020
Upgraded to B1 (sf)

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

EUR290,000,000 (Current Outstanding Balance EUR25,701,973.73)
Class A-1A-R Senior Secured Floating Rate Notes due 2027, Affirmed
Aaa (sf); previously on Dec 18, 2020 Affirmed Aaa (sf)

EUR5,000,000 (Current Outstanding Balance EUR443,137.48) Class
A-1B-R Senior Secured Fixed Rate Notes due 2027, Affirmed Aaa (sf);
previously on Dec 18, 2020 Affirmed Aaa (sf)

EUR28,750,000 Class A-2A-R Senior Secured Floating Rate Notes due
2027, Affirmed Aaa (sf); previously on Dec 18, 2020 Affirmed Aaa
(sf)

EUR30,000,000 Class A-2B-R Senior Secured Fixed Rate Notes due
2027, Affirmed Aaa (sf); previously on Dec 18, 2020 Affirmed Aaa
(sf)

EUR30,000,000 Class B-R Senior Secured Deferrable Floating Rate
Notes due 2027, Affirmed Aaa (sf); previously on Dec 18, 2020
Upgraded to Aaa (sf)

Sorrento Park CLO Designated Activity Company, issued in October
2014 and refinanced in May 2017, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured European loans. The portfolio is managed by Blackstone
Ireland Limited. The transaction's reinvestment period ended in
November 2018.

RATINGS RATIONALE

The rating upgrades on the Class C-R, D and E notes are primarily a
result of the significant deleveraging of the Class A-1A-R and
A-1B-R notes following amortisation of the underlying portfolio
since the last rating action in December 2020. Pre-payments and
sales account for a significant proportion of the amortisation.

The Class A-1A-R and A-1B-R notes have paid down by approximately
EUR60.9 million (21.0%) since the last rating action in December
2020 and EUR268.9 million (91.1%) since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased across the
capital structure. According to the trustee report dated June 2021
[1] the Class A, Class B, Class C, Class D OC ratios are reported
at 251.0%, 185.4%, 148.3% and 122.7%, compared to December 2020 [2]
levels of 187.1%, 155.4%, 133.7% and 116.6% respectively.

The rating affirmations on the Class A-1A-R, A-1B-R, A-2A-R, A-2B-R
and B-R Notes reflect the expected losses of the notes continuing
to remain consistent with their current ratings after taking into
account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralization levels, as well as
applying Moody's revised CLO assumptions.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.

In its base case, Moody's used the following assumptions:

Performing par and principal proceeds balance: EUR214.9m

Defaulted Securities: None

Diversity Score: 34

Weighted Average Rating Factor (WARF): 3122

Weighted Average Life (WAL): 3.38 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.52%

Weighted Average Coupon (WAC): 4.32%

Weighted Average Recovery Rate (WARR): 46.1%

Par haircut in OC tests: 0.92%

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

Moody's notes that the June 2021 trustee report was published at
the time it was completing its analysis of the May 2021 data. Key
portfolio metrics such as WARF, diversity score, weighted average
spread and life exhibit little or no change between these dates.
Moody's analysis incorporates the performing par, principal
proceeds, and outstanding notes' balances as per the June 2021
data.

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank and swap providers,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in May 2021. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

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

Additional uncertainty about performance is due to the following:

Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.

TORO EUROPEAN 3: S&P Assigns B- (sf) Rating to Class F Notes
------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Toro European CLO 3
DAC's class X, A, B-1, B-2, C, D, E, and F notes. The issuer has
also issued additional subordinated notes to bring the total
issuance to EUR46 million.

The ratings reflect S&P's assessment of:

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

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

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

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

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

  Portfolio Benchmarks
                                                       CURRENT
  S&P weighted-average rating factor                  2,787.44
  Default rate dispersion                               707.64
  Weighted-average life (years)                           3.94
  Obligor diversity measure                             100.69
  Industry diversity measure                             19.36
  Regional diversity measure                              1.28

  Transaction Key Metrics
                                                       CURRENT
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                          B
  'CCC' category rated assets (%)                         3.60
  Covenanted 'AAA' weighted-average recovery (%)         36.51
  Covenanted weighted-average spread (%)                  3.70
  Covenanted weighted-average coupon (%)                  3.40

Workout obligations

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

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

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

-- The manager determining that after such purchase there are
sufficient interest proceeds to pay interest on all the rated notes
on the upcoming payment date.

-- The coverage tests passing after such purchase.

The use of principal proceeds is subject to:

-- The obligation having a principal balance at least equal to its
purchase price.

-- Passing par value tests and reinvestment test.

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

-- The balance in the principal account is a positive amount after
such purchase.

Workout obligations purchased with principal proceeds, which have
limited deviation from the eligibility criteria will receive
collateral value credit for overcollateralization carrying value
purposes. Workout obligations purchased with interest or collateral
enhancement proceeds will receive zero credit. Any distributions
received from workout obligations purchased with the use of
principal proceeds will form part of the issuer's principal account
proceeds and cannot be recharacterized as interest. Any other
amounts can form part of the issuer's interest account proceeds.
The manager may, at their sole discretion, elect to classify
amounts received from any workout obligations as principal
proceeds.

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

Rating rationale

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

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

"In our cash flow analysis, we used the EUR350 million target par
amount, the covenanted weighted-average spread (3.70%), the
reference weighted-average coupon (3.40%), and the actual
weighted-average recovery rates of the portfolio. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

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

"Until the end of the reinvestment period on Jan. 15, 2026, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and it compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

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

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

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

"For the class F notes, our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses that
are commensurate with a lower rating. However, after applying our
'CCC' criteria we have assigned a 'B-' rating to this class of
notes.' The uplift to 'B-' reflects several key factors,
including:

-- The available credit enhancement for this class of notes is in
the same range as other CLOs that we rate, and that have recently
been issued in Europe.

-- The portfolio's average credit quality is similar to other
recent CLOs.

S&P said, "Our model generated breakeven default rate (BDR) at the
'B-' rating level of 24.34% (for a portfolio with a
weighted-average life of 4.50 years), versus if we were to consider
a long-term sustainable default rate of 3.1% for 4.50 years, which
would result in a target default rate of 13.95%.

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

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

Environmental, social, and governance (ESG) credit factors

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

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it is managed by Chenavari Credit
Partners LLP.

  Ratings List

  CLASS   RATING     AMOUNT    INTEREST RATE (%)   CREDIT
                    (MIL. EUR)                     ENHANCEMENT (%)
  X       AAA (sf)     1.50       3mE + 0.60         N/A
  A       AAA (sf)   213.50       3mE + 0.99       39.00
  B-1     AA (sf)     28.00       3mE + 1.75       28.14
  B-2     AA (sf)     10.00             2.10       28.14
  C       A (sf)      23.50       3mE + 2.45       21.43
  D       BBB- (sf)   22.50       3mE + 3.45       15.00
  E       BB- (sf)    19.00       3mE + 6.30        9.57
  F       B- (sf)      9.00       3mE + 8.99        7.00
  Subordinated  NR    46.00           N/A          N/A

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

TORO EUROPEAN 3: S&P Assigns Prelim. B- Rating on Cl. F Notes
-------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Toro
European CLO 3 DAC's class X, A, B-1, B-2, C, D, E, and F notes. At
closing, the issuer will also issue additional subordinated notes
to bring the total issuance to EUR46 million.

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

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

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

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

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

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

  Portfolio Benchmarks
                                                        CURRENT
  S&P weighted-average rating factor                   2,792.59
  Default rate dispersion                                710.85
  Weighted-average life (years)                            3.94
  Obligor diversity measure                              100.69
  Industry diversity measure                              19.11
  Regional diversity measure                               1.28

  Transaction Key Metrics
                                                        CURRENT
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                          B
  'CCC' category rated assets (%)                         4.65%
  Covenanted 'AAA' weighted-average recovery (%)          36.51
  Covenanted weighted-average spread (%)                   3.70
  Covenanted weighted-average coupon (%)                   3.40

Workout obligations

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

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

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

The manager determining that after such purchase there are
sufficient interest proceeds to pay interest on all the rated notes
on the upcoming payment date.

The coverage tests passing after such purchase.

The use of principal proceeds is subject to:

-- The obligation having a principal balance at least equal to its
purchase price.

-- Passing par value tests and reinvestment test.

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

-- The balance in the principal account is a positive amount after
such purchase.

Workout obligations purchased with principal proceeds, which have
limited deviation from the eligibility criteria will receive
collateral value credit for overcollateralization carrying value
purposes. Workout obligations purchased with interest or collateral
enhancement proceeds will receive zero credit. Any distributions
received from workout obligations purchased with the use of
principal proceeds will form part of the issuer's principal account
proceeds and cannot be recharacterized as interest. Any other
amounts can form part of the issuer's interest account proceeds.
The manager may, at their sole discretion, elect to classify
amounts received from any workout obligations as principal
proceeds.

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

Rating rationale

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

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

"In our cash flow analysis, we used the EUR350 million target par
amount, the covenanted weighted-average spread (3.70%), the
reference weighted-average coupon (3.40%), and the actual
weighted-average recovery rates of the portfolio. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

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

"Until the end of the reinvestment period on Jan. 15, 2026, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and it compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

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

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

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

"For the class F notes, our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses that
are commensurate with a lower rating. However, after applying our
'CCC' criteria we have assigned a 'B-' rating to this class of
notes." The uplift to 'B-' reflects several key factors,
including:

-- The available credit enhancement for this class of notes is in
the same range as other CLOs that S&P rates, and that have recently
been issued in Europe.

-- The portfolio's average credit quality is similar to other
recent CLOs.

S&P said, "Our model generated breakeven default rate (BDR) at the
'B-' rating level of 24.34% (for a portfolio with a
weighted-average life of 4.50 years), versus if we were to consider
a long-term sustainable default rate of 3.1% for 4.50 years, which
would result in a target default rate of 13.95%.

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

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

Environmental, social, and governance (ESG) credit factors

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

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it will be managed by Chenavari
Credit Partners LLP.

  Ratings List

  CLASS    PRELIM    PRELIM AMOUNT   INTEREST RATE    CREDIT
           RATING      (MIL. EUR)        (%)        ENHANCEMENT(%)
  X        AAA (sf)         1.50      3mE + 0.60        N/A
  A        AAA (sf)       213.50      3mE + 0.99      39.00
  B-1      AA (sf)         28.00      3mE + 1.75      28.14
  B-2      AA (sf)         10.00            2.10      28.14
  C        A (sf)          23.50      3mE + 2.45      21.43
  D        BBB- (sf)       22.50      3mE + 3.45      15.00
  E        BB- (sf)        19.00      3mE + 6.30       9.57
  F        B- (sf)          9.00      3mE + 8.99       7.00
  Subordinated   NR        46.00          N/A           N/A

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


VOYA EURO II: Fitch Assigns Final B- Rating to F-R Tranche
----------------------------------------------------------
Fitch Ratings has assigned Voya Euro CLO II DAC reset final
ratings.

     DEBT                   RATING              PRIOR
     ----                   ------              -----
Voya Euro CLO II DAC

A XS1989821720       LT  PIFsf   Paid In Full   AAAsf
A-R XS2357476691     LT  AAAsf   New Rating     AAA(EXP)sf
B-1 XS1989822538     LT  PIFsf   Paid In Full   AAsf
B-1-R XS2357476931   LT  AAsf    New Rating     AA(EXP)sf
B-2 XS1989823189     LT  PIFsf   Paid In Full   AAsf
B-2-R XS2357477152   LT  AAsf    New Rating     AA(EXP)sf
C XS1989823858       LT  PIFsf   Paid In Full   Asf
C-R XS2357477079     LT  Asf     New Rating     A(EXP)sf
D XS1989824401       LT  PIFsf   Paid In Full   BBB-sf
D-R XS2357477236     LT  BBB-sf  New Rating     BBB-(EXP)sf
E XS1989824823       LT  PIFsf   Paid In Full   BB-sf
E-R XS2357478556     LT  BB-sf   New Rating     BB-(EXP)sf
F XS1989825127       LT  PIFsf   Paid In Full   B-sf
F-R XS2357478473     LT  B-sf    New Rating     B-(EXP)sf
X XS1989821563       LT  PIFsf   Paid In Full   AAAsf

TRANSACTION SUMMARY

Voya Euro CLO II DAC Reset 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
have been 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 Ratings assesses
the average credit quality of obligors in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) of the identified
portfolio is 33.77.

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
64.53%.

Diversified Portfolio (Positive): The transaction includes four
Fitch test matrices corresponding to the top-10 obligor limits of
15% and 20% and maximum fixed-rated assets at 0% and 5% of the
portfolio balance. The transaction also includes various
concentration limits, including a 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 4.5-year
reinvestment period and includes reinvestment criteria similar to
those of other European transactions. Fitch's analysis is based on
a stressed 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 final ratings
of the class D and F notes are one notch higher than the
model-implied ratings (MIR). When analysing the Fitch test matrices
with the stressed portfolio, the notes showed maximum break-even
default-rate shortfalls of 0.38% and 2.43% respectively. The final
ratings are supported by average credit enhancement, as well as a
significant default cushion in the identified portfolio due to a
notable buffer between the covenants of the transaction and the
portfolio's parameters.

Moreover, for the class F notes the deviation from the MIR reflects
Fitch's view that the tranche has a significant margin of safety
given its credit enhancement. 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-R notes, which are already at the highest rating on Fitch's
    scale and cannot be upgraded.

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

-- After the end of the reinvestment period, upgrades may occur
    if 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.

Factors 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.

-- Downgrades may occur if the build-up of the notes' credit
    enhancement following amortisation does not compensate for a
    larger loss expectation than initially assumed due to
    unexpectedly high levels of default and portfolio
    deterioration.

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
recognised statistical rating organisations 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.

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.

[*] IRELAND: New Rescue Process for Small Businesses Passed
-----------------------------------------------------------
Gill Stedman at RTE reports that small businesses that are
struggling financially are one step closer to being able to avail
of a new rescue process.

A bill passed all legislative stages in the Oireachtas on July 13,
which will provide for a Small Company Administrative Rescue
Process -- known as SCARP, RTE relates.

This will be similar to the existing examinership framework, but
aims to make the restructuring process quicker, easier and cheaper,
RTE notes.

It is expected to be signed into law by the President in the next
few days, RTE states.

According to RTE, Sven Spollen Behrens, Director of the Small Firms
Association said the bill offers small businesses with less than 50
employees a new dedicated rescue process.

Speaking on Morning Ireland, he described the process as an
alternative to the traditional examinership process, RTE relays.

Unlike the examinership process, businesses availing of SCARP will
not need to apply to the courts, as Mr. Spollen Behrens explained,
RTE discloses.

"A qualified insolvency practitioner will be appointed by the
company to begin engagement with the creditors to prepare a rescue
plan.

"By day 49 of the insolvency practitioner's appointment, the
creditors are then invited to vote on the rescue plan and the
process will be concluded in a much shorter period of time than the
traditional examinership process," RTE quotes Mr. Spollen Behrens
as saying.

According to RTE, Mr. Spollen Behrens said examinerships can
currently run for up to 150 days, whereas it is hoped this new
process will be concluded within 70 days.

"The new framework will make the restructuring of a small business
more accessible, faster, cheaper -- and it will hopefully save a
lot of businesses and jobs," he said.

The Small Firms Association said it expects many companies will
avail of this new process once it comes into operation, RTE
relays.




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

GARFUNKELUX HOLDCO 2: Fitch Affirms B+ LT IDR, Outlook Now Positive
-------------------------------------------------------------------
Fitch Ratings has revised Garfunkelux Holdco 2 S.A.'s (Lowell)
Outlook to Positive from Stable, while affirming the company's
Long-Term Issuer Default Rating (IDR) at 'B+'. It has also affirmed
Garfunkelux Holdco 3 S.A.'s (GH3) senior secured debt rating at
'B+' with a Recovery Rating of 'RR4'.

These rating actions are being taken in conjunction with a global
debt purchaser sector review, covering six publicly rated
companies.

Lowell is the Luxembourg-domiciled parent company of Lowell group,
a leading European debt purchaser with a primary focus on unsecured
consumer finance portfolios. The acquisition of Germany-based GFKL
Financial Services in 2015 and Intrum AB's Nordic carve-out
business in 2018 expanded Lowell's historically UK-centred
franchise to German-speaking markets (DACH) and Scandinavia
(northern European division).

GH3, the Luxembourg-domiciled note issuing entity and top holding
company of the restricted group (for the purpose of the senior
secured notes), is fully owned by Lowell. Lowell is majority-owned
by private equity funds controlled by Permira (63.9% beneficial
interest) with the Ontario Teachers' Pension Plan (27.7%) and
management (8.2%) holding minority stakes.

KEY RATING DRIVERS

IDR

The Positive Outlook reflects Fitch's view that Lowell's Long-Term
IDR could be upgraded to 'BB-' over the next 12 to 18 months as a
result of further improvements to the company's EBITDA margin and
net profitability and stable or improving cash-flow leverage.

The Long-Term IDR reflects Lowell's well-established and
diversified franchise in some of Europe's largest debt-purchasing
markets, a robust business model supported by strong data
analytics, and consistent collection performance through economic
cycles. The rating also considers Lowell's historically
below-average profitability (with annual pre-tax losses between
2015 and 2020) and high cash-flow leverage which has, however,
improved following a refinancing exercise in 4Q20.

Lowell's performance in 2020, notably in its important UK market,
was negatively affected by a weaker collection performance in 2Q20
and 3Q20 but has since largely recovered with collection rates in
1Q21 exceeding the end-2019 static pool in all its markets (102% in
the UK and 104% overall). This compares with 82% and 89%,
respectively, in 2Q20. Compared with the 2008 financial crisis,
Lowell should be more resilient to pressure on collection revenue
because of a materially larger proportion of collections from
payment plans, a higher proportion of payment plans being subject
to affordability assessment and a large proportion of customers
eligible for government benefits.

Market conditions for capital deployment in 2H20 and 1Q21 remained
challenging and portfolio purchases in the 12 months (TTM) to
end-March 2021 were 29% lower yoy at GBP257 million but remained
marginally above Lowell's last 12-month replacement rate of GBP251
million required to keep its estimated remaining collections (ERC)
constant. Its 120 months ERC remained broadly flat at GBP3.4
billion at end-March 2021. For the full year, Lowell estimates
capital deployment at around GBP300 million, which Fitch deems
achievable given likely improving purchasing conditions in 2H21.

Diversification by jurisdiction and revenue contribution from less
balance sheet-intensive debt servicing activities is lower than
peers'. However, Lowell has strong franchises in all its markets,
which supports Fitch's assessment of its company profile. At
end-1Q21, 62% of its 120 months ERC related to its UK business, 23%
to the northern Europe division and 15% to DACH. By cash income,
its DACH division is larger (24% of cash income at TTM to end-1Q21)
due to a sizeable debt-servicing business, notably in Germany.
Overall, debt-service activities accounted for 16% of cash income
in 1Q21, which was lower than more diversified peers'.

Lowell's collection performance in recent years has been sound,
with gross-money multiples close to or above 2x. In addition,
actual gross-money multiples exceeded priced gross-money multiples
in most vintages, in particular in the years following the 2008
financial crisis. Lowell's pricing ability is supported by the
availability of comprehensive data and data analytics in all of the
company's markets.

Reported adjusted "cash" EBITDA (gross portfolio amortisation) TTM
to end-1Q21 was 2% lower yoy at GBP498 million. EBITDA margin
improved 230bp yoy in 1Q21, supported by ongoing cost savings.
Consequently, and also due to a lower interest expense run-rate
following the 4Q20 refinancing exercise, Lowell reported a modest
pre-tax profit in 1Q21 (GBP2.6 million) following sizeable pre-tax
losses since 2015.

Its gross debt/adjusted EBITDA, Fitch's core leverage metric for
debt purchasers, improved markedly since 4Q20 and stood at around
3.8x at end-1Q21, close to the 3.5x benchmark for leverage between
'b' and 'bb' range ratings. Under its base case, Fitch expects
gross debt/adjusted EBITDA to remain below 4x in 2021 and 2022
while under its downside case to approach 4.5x in 2022. Lowell
itself monitors leverage by reference to net debt/pro forma cash
EBITDA on a rolling 12-month basis, which at end-1Q21 stood at
3.6x, well within its stated target of 3.5x to 4.0x.

While the primary source of debt repayment is cash flows generated
from Lowell's ERC, the company's tangible equity is negative, even
when sizeable shareholder loans (treated as equity under relevant
Fitch criteria) are included.

Our assessment of Lowell's funding and liquidity profile considers
the absence of near-term maturities (until 2024) but also the
company's adjusted EBITDA/interest expense of 2.6x in 1Q21 (3.3x if
shareholder interest expense is excluded), which corresponds to the
'b' range. Liquidity at end-1Q21 (GBP498 million) was supported by
GBP69 million in unrestricted cash, GBP41 million securitisation
reset availability and EUR455 million in a revolving credit
facility (RCF) draw-down capacity.

SENIOR SECURED DEBT

The 'B+'/RR4 rating of GH3's senior secured debt, junior to
Lowell's sizeable RCF, reflects Fitch's view of average recoveries
(RR4) of this debt class.

RATING SENSITIVITIES

IDR

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

-- Maintaining cash-flow leverage towards the lower end of
    management's target range (net debt/EBITDA of 3.5x to 4.0x),
    in particular if in conjunction with a wider EBITDA margin and
    sustainably improved net profitability, could lead to an
    upgrade of the Long-Term IDR to 'BB-';

-- Maintaining EBITDA/interest expense (excluding shareholder
    interest payments) consistently above 3x would also support
    positive rating action.

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

-- Cash-flow leverage (gross debt/EBITDA as calculated by Fitch)
    exceeding 4.5x on a sustained basis, specifically if without
    prospects of a short-term recovery, could lead to a revision
    of the Outlook on the Long-Term IDR to Stable;

-- Cash-flow leverage exceeding 5.0x on a sustained basis could
    lead to a downgrade of the Long-Term IDR;

-- A material weakening in EBITDA/interest expense, in particular
    if without prospects of a short-term recovery, would also be
    rating-negative.

SENIOR SECURED DEBT

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

-- Positive rating action on Lowell's Long-Term IDR;

-- Improved recovery expectations, for instance, as a result of a
    thinner layer of debt senior to the notes.

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

-- Negative rating action on Lowell's Long-Term IDR;

-- Weaker recovery expectations.

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

Lowell has an ESG Relevance Score of '4' in relation to 'Financial
Transparency', in view of the significance of internal modelling to
portfolio valuations and associated metrics such as estimated
remaining collections. However, this is a feature of the deb-
purchasing sector as a whole, and not specific to Lowell.

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



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

EL CORTE: S&P Affirms 'BB+' Long-Term ICR, Outlook Negative
-----------------------------------------------------------
S&P Global Ratings affirmed its 'BB+' long-term issuer credit
rating on El Corte Ingles (ECI) and its 'BBB-' issue rating on
ECI's senior unsecured debt.

The negative outlook reflects S&P's view that ECI's credit metrics
will be weaker than our benchmarks for the ratings in the next
12-18 months because of the lagging pandemic impact and uncertainty
on the pace of recovery, as well as on the group's ability to sell
noncore assets and restore its profitability and cash flows, such
that adjusted debt to EBITDA falls to less than 4.0x by the end of
FY2022.

ECI reported a 31.6% loss of revenue in FY 2020, with the fashion
and travel segments hit hardest by the pandemic's impact. This was
partly mitigated by the food and insurance divisions, together with
an enhanced online offering. Despite cost-savings measures
implemented throughout the year, ECI reported S&P Global
Ratings-adjusted EBITDA of negative EUR457 million and free
operating cash flow (FOCF) of about negative EUR720 million. S&P's
adjusted EBITDA figure includes the significant provisions made by
the group, including for inventory write-downs, personnel, and
other items. Following these provisions, it views ECI's balance
sheet as better prepared to benefit from the expected economic
recovery.

The expansion of e-commerce in the retail market has been one of
the main secular trends in the retail industry over the last few
years, with consumers spending more and purchasing a wider range of
products online. This trend further accelerated in 2020 on the back
of store opening restrictions related to the pandemic. S&P said,
"We see the apparel category as particularly exposed to the impact
of the changing landscape, since the online share of total sales in
Europe, at about 20% according to Euromonitor, was already higher
than the overall retail industry average in 2019. In this context,
we view ECI's established online presence as positive. The group's
technology and logistics infrastructure, with a wide local
geographic reach, positions ECI well to continue gaining amid the
accelerating e-commerce trend. On this front, ECI's main
competition comes from pure online platforms such as Amazon,
Zalando, and ASOS, or from branded apparel and electronic
manufacturers reaching out to their clients directly or via online
platforms. Still, we note ECI, given its strong logistic and
infrastructure base, is very well positioned, with ability to
deliver on over 500,000 stock keeping units in less than two hours.
The group has made considerable progress with e-commerce, achieving
over 130% growth in online sales to EUR1.4 billion in FY2020, and
launching its own mobile app in September 2020, with online traffic
through the app gaining notable momentum. Generally, we expect ECI
will continue making selected store transformations, with a focus
on rightsizing the type and location of stores, and omnichannel
investments. We note the company boosted its omnichannel
capabilities, particularly during the pandemic, including enhanced
buy online, pick up in store, and same day delivery, to support
higher online traffic and sales. We estimate that in FY2021 the
group's topline will still fall short of the 2019 figure by
15%-20%, and only reach 85%-90% of FY2019 sales by FY2022."

S&P said, "Although we anticipate continued disruptions in fiscal
2021, we believe ECI will expand its earnings and reduce debt in
FY2021. This is because we assume that pandemic-related
restrictions will continue to ease and expect a certain level of
immunization to be achieved by the end of the third quarter. We
have witnessed in Spain a spike in consumer demand as soon as
restrictions have been lifted. Still, we note ECI generates about
10% of revenue from international travelers; this channel remains
depressed due to travel restrictions imposed. We also believe the
travel segment (18% of prepandemic revenue) remains the most
affected, and the timing and scale of recovery are uncertain as new
variants of the virus emerge. Moreover, we believe business travel
will take longer to recover, with some degree of demand being lost
permanently, as consumers and businesses change their behavior, due
to videoconferencing, a green agenda, smaller budgets, and other
factors. Nonetheless, we expect ECI's margins to recover to
prepandemic levels over the next two years, supported also by cost
efficiencies implemented, particularly in personnel. After posting
negative EBITDA in FY2020, we forecast ECI's EBITDA margin will
approach 6.5% in FY2021 and improve toward 7.0%-7.5% in FY2022
compared with 7.7% in FY2019.

"In the travel segment, ECI has recently announced a merger with
Logitravel, which will own 75% of the combined group. We expect
this to be a synergistic transaction, combining ECI--a strong
offline player--with Logitravel, a pure online company. At the same
time, we are mindful that the travel segment remains heavily
affected by the pandemic's impact and recovery remains uncertain.
In the food segment, ECI has agreed to acquire the Sanchez Romero
supermarket chain, thereby strengthening its positioning in the
premium food segment. In addition, we expect ECI to continue
expanding via new business lines, such as through Sicor, in the
home security segment, and emerge as a virtual mobile operator and
energy supplier under the Sweno brand. We view ECI as well
positioned to capitalize on its brand name, client base, and
infrastructure, to enter these new businesses. Nonetheless, we are
conscious of execution risks, particularly in light of ECI's
numerous ongoing projects."

ECI's debt issuances in the past 12 months and new revolving credit
facility (RCF) bolstered its liquidity position. The company ended
FY2020 with approximately EUR928 million in cash and EUR1,546
million of undrawn facilities. This addresses well ongoing
liquidity needs, including funding operations, working capital
obligations, and upcoming debt maturities (particularly the EUR600
million Hipercor bond due in January 2022).

S&P said, "We expect operating cash flow generation to improve
markedly in FY2021, supported by recovery trends. This, together
with expected working capital inflow and contained investments,
should bring FOCF for the year close to EUR500 million. In
addition, we believe that ECI's current financial policy, which
focuses on deleveraging, supports the current ratings. We
understand that ECI's management intends to maintain adequate
liquidity and execute on several strategic actions to promote
deleveraging. As such, we forecast S&P Global Ratings-adjusted
leverage metrics to decline toward 4.5x in FY2021 and below 4.0x in
FY2022.

"The negative outlook reflects our view that ECI's credit metrics
will be outside our rating thresholds for the next 12-18 months
because of the pandemic's impact and uncertainty regarding the
economic recovery. There is also uncertainty about whether the
group can sell noncore assets and restore its profitability and
cash flows, such that our adjusted debt-to-EBITDA metric falls to
less than 4.0x by the end of FY2022. We now expect ECI's debt to
EBITDA to fall below 5x in FY2021 and only go below 4.0x by end
FY2022.

"We could lower the ratings if ECI's operating performance and cash
flow generation fell short of our base case, weakening its
financial metrics, while the proceeds or pace of asset sales are
insufficient to support leverage reduction." In particular, S&P
could lower its ratings on ECI if:

-- The EBITDA margin fails to recover and is unlikely to reach at
least 7% on an S&P Global Ratings-adjusted basis, which could
pressure our business risk profile assessment.

-- S&P Global Ratings-adjusted debt to EBITDA exceeds 5.0x by the
end of FY2021 and/or we no longer consider ECI likely to reduce S&P
Global Ratings-adjusted debt to EBITDA to less than 4.0x by the end
FY2022.

-- This could stem from a slower recovery than we currently
envisage, including due to prolonged pandemic-related disruptions,
such as continued lockdowns and travel restrictions; a decline in
real estate prices or consumer spending on discretionary goods; or
intense online and offline competition impairing earnings growth.

Although not S&P's base-case expectation, it could also lower the
rating on ECI's senior unsecured notes if ECI were to transfer a
material amount of assets to a new, separate real estate entity,
pledge its real retail estate assets, or raise material
prior-ranking debt.

S&P could revise the outlook on ECI to stable if it saw signs that
ECI's profitability is recovering to prepandemic levels and its
adjusted credit metrics are on track to sustainably reach:

-- Debt to EBITDA below 4.0x,

-- Funds from operations (FFO) to debt above 20%, and

-- Substantial FOCF.

This could happen if FY2022 and FY2023 results were at least in
line with S&P's base case, leading to meaningful leverage
reduction. To ensure comfortable headroom under the rating, ECI
would also need to keep its core real estate assets in the
operating entity.

A positive rating action would also depend on ECI demonstrating a
strong commitment to sustaining such improved financial metrics
through its financial policy, including, but not limited to, asset
sales to reduce debt.

LUNA III: Fitch Assigns FirstTime 'BB(EXP)' LT IDR, Outlook Stable
------------------------------------------------------------------
Fitch Ratings has assigned Luna III S.a.r.l (Luna) an expected
Long-Term Issuer Default Rating (IDR) of 'BB(EXP)' and its proposed
EUR1,630 million term loan an expected senior secured rating of
'BB+(EXP)' with a Recovery Rating of 'RR2'. The Outlook on the
Long-Term IDR is Stable.

Luna would be the holding company of Urbaser S.A. (Sociedad
Unipersonal) post-acquisition by Platinum Equity (Platinum) and the
borrower of the proposed financing package. Its IDR is based on the
consolidated profile as both entities are part of a restricted
group under the proposed senior facilities documentation.

Luna's 'BB (EXP)' IDR reflects the post-acquisition capital
structure, which implies a re-leverage above Fitch's negative
sensitivity of 5.2x for the next two years. Rating strengths are a
stable and predictable revenue stream backed by long-term waste
contracts with municipalities with limited volume and price risk,
largely in Spain. The business is complemented by shorter-term and
more volatile contracted revenue with industrial and commercial
(I&C) counterparties.

The Stable Outlook reflects Fitch's expectations of a return of the
leverage metrics to within Fitch's guidelines by 2023, failure of
which may result in a negative rating action.

The senior secured lenders will benefit from pledges over the
shares of the guarantors (summing up to around 80% of consolidated
EBITDA), material bank accounts and intercompany receivables, hence
their uplift of one notch versus the expected IDR.

The final ratings are subject to the acquisition of Urbaser by
Platinum from China Tianying, Inc (CNTY) and the final capital
structure conforming to Fitch's expectations. The final instrument
rating is subject to receiving final debt documentation confirming
the information already received.

KEY RATING DRIVERS

Transaction-driven Re-leverage: The transaction values Urbaser at
EUR3.3 billion in enterprise value. Based on the proposed capital
structure post-acquisition, Luna will support part of the equity to
fund the acquisition and sizable transaction fees on its balance
sheet. The initial re-leverage is partially offset by the
monetisation of several carve-out adjustments related to entities
that will fall outside the rating scope post-acquisition and will
be sold back to CNTY before completion, and of subordinated loans
granted to the same entities. The carve-outs have a mildly positive
effect on Luna's credit risk profile.

Deleverage to Guidelines by 2023: The transaction implies an
increase in Luna's net debt of around EUR500 million, leading to a
peak in funds from operations (FFO) net leverage at 5.5x by 2022.
Fitch forecasts Luna to return to within Fitch's rating sensitivity
by 2023 on consistent deleveraging, on the back of a strong
contract backlog, moderate new contract wins and capex, operating
improvements and no dividend payments. Fitch views the execution
risk of its business plan as manageable.

Shareholder Support: Platinum has indicated to Fitch its commitment
to deleverage from the high 4.4x net debt/reported EBITDA (as
adjusted by Luna) at transaction closing, but has given no target.
Fitch believes Platinum will pursue deleveraging to strengthen the
capital structure during its investment horizon of four-to-five
years. Fitch expects support to be manifested in the absence of
dividend payments and financial support for opportunistic M&A,
which Fitch does not factor into Fitch's rating case.

New Owner's Strategy Credit-Positive: As a result of Platinum's
entry, Fitch expects Luna to refocus on organic growth in core
waste activities (as some non-waste activities are being carved out
and excluded from rating scope), with an increased focus on
developed economies (towards US away from China). Overall, Fitch
expects the new shareholder to prioritise operational improvements
over external growth.

Targeting Larger Efficiencies: Platinum will introduce an
efficiency programme to improve the cost structure of Luna, mainly
linked to procurement process, working capital management and
workforce productivity, and to reinforce the ESG profile of the
group. Platinum expects operational improvements on average of
EUR35 million per year in 2022-2025 (or about 2% of the cost base
in 2020), which Fitch sees as achievable given Platinum's record.
Therefore, Fitch incorporates in Fitch's case the bulk of expected
improvements, net of the operating spending and capex related to
the efficiency programme.

Subdued Policy-driven Growth by 2025: The waste sector benefits
from underlying positive structural dynamics, supported by stricter
regulations in Luna's main territories of operation. However, the
industrial plan shared by Platinum incorporates only modest organic
growth (limited new commercial wins in 2021 and 2022) and no
bolt-on acquisitions (as opposed to its recent strong phase of
growth). Modest capex plan from 2023 also mirrors fewer new
contracts and improved ratios of maintenance capex per contract.

Resilient Business Model: Luna has a resilient business model as an
integrated waste operator that provides good cash flow stability
and revenue predictability in the medium term. Long term-contracts
with municipalities for waste collection, waste treatment and water
management accounted for 78% of total EBITDA in 2020. The remainder
is largely composed of waste operations with I&C customers, which
are short-term contracted and intrinsically more volatile. Luna has
limited exposure to commodity risk.

Limited Revenue Volatility: Revenue has proven to be resilient
through the economic cycle, including during Covid-19, with some
limited volatility largely associated with waste-treatment volumes,
as waste-management fees are defined on per tonne basis, and prices
are revised largely in line with the CPI (or linked to main cost
references) on an annual basis.

Long-term Revenue Visibility: Urbaser's backlog of contracts by
end-2020 covers almost six years of revenues, with average standard
contract duration of around seven years for waste collection and 12
years for waste treatment. Contract renewal rate on average was 87%
in 2014-2020 (2020: 86%), reflecting Urbaser's strong market
position, high barriers to entry and valued technological
capabilities in waste treatment.

Moderate Concentration/Country Risk: Concentration risk is lower
than sector peers', with the top-20 contracts at around 28% of
total revenue and a revenue-weighted residual life of 10 years.
Urbaser's contractual base is very granular for the remaining 72%.
Non-profitable contracts are well-identified and monitored on
case-by-case basis. Luna has a moderate presence in Argentina (7%
of total revenue in 2020), with risks related to hyperinflation and
currency depreciation being partially offset by contract indexation
clauses (revised every three months) and Argentinian
peso-denominated debt.

DERIVATION SUMMARY

Luna's IDR is supported by a strong business profile that compares
favourably with most of the peers', while higher leverage weighing
on the 'BB' rating.

Fitch sees local competitor, FCC Servicios Medioambiente Holding
S.A.U. (FCC MA; BBB-/Stable), as the closest peer for Luna. Fitch
sees lower business risk for FCC MA due to its stronger integrated
market position in Spain and the better credit quality of its
international operations, which are partially offset by Luna's
higher margins. However, Luna's new strategy of refocusing on
organic growth and developed countries will narrow the
debt-capacity differential between the two. Currently, FCC MA's
significantly lower leverage explains the bulk of the two-notch
difference.

Compared with the top-three US operators, Waste Management, Inc
(BBB+/Stable), Republic Services, Inc (BBB/Stable) and Waste
Connections, Inc (BBB+/Stable), Luna shares similar operational
stability through exclusive municipal long-term contracts, although
the scale of all these US peers is larger (by 5x-8x). Their
entrenched position in the US, collectively garnering more than one
third of the country's market share, also allows stronger profit
margin and pricing power. However, Luna is less exposed to I&C
end-customers and to commodity risk. In addition to better business
risk, US peers have significantly lower leverage and maintain
positive free cash flow (FCF) generation due to the mature US
market.

Compared with integrated global leaders like Veolia Environement
S.A. (BBB/Stable), Luna is significantly smaller and less
geographically diversified. Luna also lacks meaningful
diversification into low-risk water activities that is a credit
strength for Veolia. However, Veolia has worse credit metrics than
Luna. Overall, the difference in ratings reflect a worse business
risk that is not offset by Luna's slightly better financial
profile.

KEY ASSUMPTIONS

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

-- Acquisition to close in September 2021;

-- Proposed capital structure as shared by the company. This is
    based on the signed agreement with CNTY for the transaction's
    purchase price and related carve outs and the proposed debt
    structure post-transaction;

-- Stable waste volumes and price growth to 2025, in line with
    CPI forecasts and foreign exchange of countries of operations;

-- Renewal rate of 83.6% for waste collection contracts and 90%
    for waste treatment to 2025;

-- New contract awards only in 2021-2022, adding on average EUR65
    million of revenue in these two years;

-- EBITDAR margin on average at around 18% for 2021-2025 (urban
    services: 15%; waste treatment: 28%);

-- Capex on average at EUR231 million per year for 2021-2025;

-- No M&A;

-- No dividend distributions; and

-- Restricted cash of EUR40.4 million linked to project-finance
    reserve accounts, overseas blocked cash and working-capital
    needs.

RATING SENSITIVITIES

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

-- Deleveraging leading to FFO net leverage below 4.4x and FFO
    interest coverage above 3.5x on a sustained basis;

-- Positive-to-neutral FCF.

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

-- Failure to deleverage below 5.2x by 2023 would be negative for
    the rating;

-- FFO interest coverage below 2.5x on a sustained basis;

-- Material changes to concession or public contracts
    agreements/regulatory framework, to the extent such changes
    are not financially favourable.

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

Healthy Liquidity Post-Transaction: At transaction closing, Luna's
liquidity position and debt structure will be enhanced by the
long-term structure of the proposed financing package. In addition,
Fitch expects around EUR500 million of Urbaser's existing debt,
largely project-finance, to be rolled over at closing.

Expected cash at closing of EUR300 million (before usual
adjustments made by Fitch) and available committed credit
facilities of EUR400 million maturing in 2027 are sized to cover
the capex plan up until to 2025. Luna is a highly cash-generative
business, so notwithstanding the high capex in 2021-2022 and in the
absence of dividends payments and M&A, cash would be accruing on
balance sheet from 2022. The EUR1,630 million term loan has a
bullet structure and maturity in 2028.

Improved Debt Structure: Post-transaction, more than 75% of the
debt will be placed at the holdco level, with a significant amount
of opco debt being prepaid at closing, easing the risk of
structural subordination. As per the proposed senior facilities
documentation, the senior facilities will be guaranteed by material
subsidiaries jointly representing around 80% of consolidated
EBITDA. The draft financing documentation is covenant-lite,
providing limited covenant protection to creditors, in Fitch's
view.

ISSUER PROFILE

Luna will become the sole parent of Urbaser after its acquisition.

Urbaser is a leading Spanish integrated waste management company
providing domestic waste collection and street cleaning services
(42% of consolidated 2020 EBITDA) as well as solid waste-treatment
activities (54%) largely to municipalities and secondarily to I&C
clients. Around 66% of the business is domestic, with the remainder
in France, Nordics, Latam and the Middle East.

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.

LUNA III: S&P Assigns Prelim 'BB-' Long-Term ICR, Outlook Stable
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary 'BB-' long-term issuer
credit rating to Urbaser S.A.U.'s Spain-based parent company, Luna
III S.a.r.l. S&P also assigned its preliminary 'BB-' issue rating
and '3' recovery ratings to the proposed $1.63 billion term loan B
due in 2028.

The stable outlook reflects S&P's expectation that revenue will
grow by close to 10% in 2021 thanks to new contract wins, and
profitability will begin to improve in 2022 as the sponsor
implements operational improvement initiatives such that S&P Global
Ratings-adjusted debt to EBITDA remains below 5x on an ongoing
basis.

Private equity firm Platinum Equity intends to acquire Urbaser
S.A.U. from China Tianying for an enterprise value of EUR3.3
billion.

S&P expects the transaction to close in the second half of 2021,
primarily financed with EUR1.63 billion in debt and EUR1.11 billion
in equity from financial sponsor Platinum Equity.

S&P said, "We expect modest leverage reduction over the next 12-18
months.  Although Luna is owned by financial sponsor Platinum
Equity, we expect Luna will have an adjusted debt to EBITDA just
above 5x--the low-end of what we typically see for sponsor-owned
companies--at the end of 2021, dropping below 5x by year-end 2022.
Over the next 12-18 months, we expect the company to experience
continued growth in revenue, operating margins, and free operating
cash flow (FOCF) thanks to new contract wins and moderate cost
inflation, favorable industry tailwinds increasing demand for
sustainable specialty waste services, and the realization of
various process-improvement and cost-reduction initiatives
currently underway. We also expect the company to continue to
actively integrate bolt-on acquisitions to expand its service
offerings and geographic footprint, but we do not think this would
materially affect its credit metrics on a sustained basis."

Luna's high barriers to entry and leading market share help drive
profitability and cash flow. The waste management services portion
of the business enjoys high barriers to entry and high switching
costs for customers, since the large capital outlays required at
the start or renewal of a contract are embedded into the pricing.
High renewal rates for contracts of close to 90% lead to high
revenue visibility. Specifically, the top 20 customers by revenue
have been contracted with the company for an average of about 17
years, with about nine years to contract expiry on average. The
company also maintains a leading market share in waste treatment
and the No. 2 market share in waste collection in Spain. Luna
operates the fifth largest waste management company in Europe.
These strengths benefit Luna's profitability, since the company has
maintained adjusted EBITDA margins at the high end of the average
range for environmental services firms. Some lumpiness in capital
spending may increase the variability of cash flow periodically,
but Luna still maintains decent cash flow conversion. The high
barriers to entry and leading market shares, combined with the
sponsor's focus on operating improvement opportunities, should help
the company maintain its margins above its competitors'.

Secular industry tailwinds will support growth. S&P expects
population growth and increased circular economy focus will support
increased demand for sustainable waste collection, urban cleaning
services, and waste treatment services. The waste treatment
industry is shifting away from landfill usage and Luna is well
positioned to support this trend because the company is
underexposed to landfills compared to its competitors. This should
support steady growth of the company's EUR12 billion backlog,
resulting in healthy growth of about 1%-3%, excluding new contract
wins for 2021.

Since Luna provides a critical and nondiscretionary service for its
customers' daily business activities, the pandemic did not
significantly harm the company's performance. Total EBITDA for 2020
reduced by about 7%, primarily within the waste treatment segment,
as industrial and manufacturing activity, as well as tourism,
declined in large cities. Lower oil prices and an increase in
personal protective equipment expenses also factored into lower
earnings. S&P expects Luna to recapture a portion of the lost
EBITDA in 2021 and thereafter as industrial and manufacturing
activities and tourism recover, especially in the second half of
2021.

S&P said, "Based on the preliminary documentation, we view the
preferred equity as equity under our criteria.  We consider that
the yet-to-be-finalized preferred shares held by Platinum Equity
qualify for equity treatment. This includes the expected preferred
coupon rate, equity-stapling clause, and the preferred shares'
highly subordinated and default-free features. In addition,
redemption of the preferred shares can only occur 30 days after the
maturity of debt.

"The stable outlook reflects our expectation that the company's
recurring revenue stream and favorable industry tailwinds should
allow it to generate appropriate credit measures for the rating
over the next 12-18 months. We expect the company to deliver
adjusted debt to EBITDA below 5x by the end of 2022 supported by
stable demand and expected operating improvement initiatives."

S&P may lower its rating on Luna over the next 12-18 months if:

-- Adjusted debt to EBITDA remains above 5x on a sustained basis
with no clear prospects for improvement;

-- The company pursues an aggressive financial policy, resulting,
for example, in debt-funded acquisitions or shareholder
distributions that increase adjusted debt to EBITDA above the
aforementioned level;

-- Adjusted funds from operations (FFO) to debt decline below 12%
on an ongoing basis; or

-- FOCF turns negative.

Although unlikely, S&P may raise its rating on Luna over the next
12 months if:

-- Adjusted debt to EBITDA remains below 4x on a sustained basis;

-- The sponsor commits to maintaining leverage below the
aforementioned level, inclusive of any shareholder rewards or
debt-funded acquisitions;

-- FFO to debt improves above 20% on an ongoing basis; and

-- FOCF to debt improves above 10% on an ongoing basis.


RMBS SANTANDER 7: Moody's Assigns B3 Rating to EUR530MM B Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to Notes
issued by FONDO DE TITULIZACION RMBS SANTANDER 7:

EUR4,770M Serie A Notes due February 2067, Definitive Rating
Assigned Aa1 (sf)

EUR530M Serie B Notes due February 2067, Definitive Rating
Assigned B3 (sf)

Moody's has not rated the EUR265M Serie C Notes due February 2067.

RATINGS RATIONALE

The Notes are backed by a pool of Spanish prime residential
mortgage loans originated by Banco Santander S.A. (Spain) (A2/P-1;
A3(cr)/P-2(cr)), Banco Espanol de Credito, S.A. ("Banesto", NR) and
Banco Popular S.A. (NR). This represents the 7th issuance out of
the RMBS Santander securitization label.

The final portfolio amounts to approximately EUR5,300 million. The
reserve fund has been funded to 5.0% of the rated Notes balance at
closing and the total credit enhancement for Class A Notes is
15.0%.

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

The key drivers for the portfolio's expected loss of 3.5% are: (i)
performance of the originators' preceding transactions; (ii)
benchmarking with comparable transactions in the Spanish RMBS
market; (iii) analysis of the static information on defaults,
delinquencies and recoveries received from Banco Santander S.A.
(Spain) and Banco Popular S.A. to rate precedent deals; and (iv)
current economic environment in Spain.

According to Moody's, the transaction benefits from various credit
strengths such as a granular portfolio and an amortising reserve
fund sized at 5.0% of Class A and B Notes balance. However, Moody's
notes that the transaction features some credit weaknesses such as:
(i) the fact that 0.95% of the loans in the pool are currently in
arrears; (ii) the exposure to 5.0% of restructured loans; and (iii)
the fact that 4.4% of the borrowers are not Spanish nationals.

Moody's determined the portfolio lifetime expected loss of 3.5% and
a Aa1 MILAN credit enhancement ("MILAN CE") of 12.0% related to
borrower receivables. The expected loss captures Moody's
expectations of performance considering the current economic
outlook, while the MILAN CE captures the loss Moody's expect the
portfolio to suffer in the event of a severe recession scenario.
Expected loss and MILAN CE are parameters used by Moody's to
calibrate its lognormal portfolio loss distribution curve and to
associate a probability with each potential future loss scenario in
the ABSROM cash flow model to rate RMBS.

Portfolio expected loss of 3.5%: This is lower than the Spanish
Prime RMBS sector average and is based on Moody's assessment of the
lifetime loss expectation for the pool taking into account: (i) the
collateral performance of the originator's book and of previously
securitised portfolios; (ii) the high weighted average seasoning of
around 12 years, and (iii) the current macroeconomic environment in
Spain.

MILAN CE of 12.0%: This is lower than the Spanish Prime RMBS sector
average and follows Moody's assessment of the loan-by-loan
information taking into account the following key drivers: (i) the
low weighted average current loan-to-value of 65.1%; (ii) the fact
that 0.95% of the loans in the pool are currently in arrears; (iii)
the fact that 4.4% of the borrowers are not Spanish nationals; and
(iv) the 5.0% exposure to restructured loans.

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

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

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

Factors that would lead to an upgrade of the ratings include:
significantly better-than-expected performance of the pool combined
with an increase of the Spanish Local Currency Country Ceiling.

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



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

A & A LTD: Brothers Banned from Acting as Company Directors
-----------------------------------------------------------
The Insolvency Service on July 2 disclosed that Abul Azad, Abul
Ashraf, and Abul Khaled, have been banned from acting as company
directors for 7 years, 7 years, and 3-and-a-half years
respectively.

The three brothers, all from Melton Mowbray, were directors of A &
A (Melton Mowbray) Limited and shared the running of the Apurba,
Bombay Brasserie and Tandoori Knights Indian restaurants.

However, they deliberately or recklessly destroyed or removed sales
records in their company accounts in order to avoid paying the full
VAT and corporation tax amounts that were due.  In total,
GBP566,749 was owing to HMRC when the brothers placed the company
into liquidation.

Throughout the Insolvency Service investigation, the brothers
sought to discredit and place blame on the company's accountant,
despite receiving written warnings from the accountant in
successive years that the company had inadequate record keeping
processes in place and that it was obvious that cash and sales
records were going missing.  In some cases, sales identified solely
through card payment data was found to be more than their total
reported sales, which also included cash payments.

Abul Azad and Abul Ashraf signed disqualification undertakings
accepting that they caused or allowed the company to suppress its
sales over a period of at least 4-and-a-half years, to the
detriment of HMRC.  Their bans begin on 6 July 2021 and last for 7
years.

Abul Khaled, who was only a director of the company for a short
time during the period, admitted to causing or allowing the company
to suppress its sales over a period of at least 8 months.  His ban
of 3-and-a-half years also begins on July 6, 2021.

Cassandra Dowthwaite, Deputy Head of Insolvent Investigations
(North) at the Insolvency Service, said:

"This ban should serve as a warning to other directors tempted to
conceal sales and withhold taxes, which are needed to fund vital
public services, for their own benefit."

Companies have limited liability, which is a privilege, not a
right, and The Insolvency Service have strong enforcement powers
which we will not hesitate to use to remove that privilege from
dishonest or reckless directors."


GREENSILL CAPITAL: Shop Direct Holdings to Repay Debt in Full
-------------------------------------------------------------
Patricia Nilsson and Robert Smith at The Financial Times report
that the Barclay family's retail empire is paying off its debt to
Greensill Capital in full as it weighs a flotation of Very Group,
the UK's second-largest ecommerce company.

An initial public offering could take place as early as next year,
according to one person close to the company, although a partial
stake sale remains an option, the FT relates.

STJ Advisors have been appointed to work with the company ahead of
a possible listing that would mark the first time the family has
taken one of its businesses public, the FT discloses.  An IPO could
leave the family in line for a GBP4 billion windfall, according to
Sky News, which first reported the potential flotation, the FT
notes.

Very's parent company Shop Direct Holdings Limited borrowed heavily
from Greensill Capital, the supply chain finance firm that
collapsed in March in one of the year's biggest financial scandals,
the FT recounts.

The company announced on July 16 that SDHL was set to repay all of
its outstanding debt to Greensill's administrators, the FT
discloses.

The group borrowed from Greensill in part to fund investment in a
new warehouse facility near Derby, the FT states.  A recent
investor update from Credit Suisse, which invested heavily in
Greensill's bond-like products, showed that two companies related
to Very had about US$300 million of this debt outstanding, most of
which was overdue for repayment, the FT relays.


PINNACLE BIDCO: Moody's Affirms B3 CFR, Alters Outlook to Stable
----------------------------------------------------------------
Moody's Investors Service has affirmed all ratings on Pinnacle
Bidco plc ("PureGym" or "the company"), the top entity of the
borrowing group of a leading budget gym operator in the UK and
Denmark. This includes the company's corporate family rating of B3,
probability of default rating of B3-PD, the B3 ratings on the
company's EUR and GBP backed senior secured notes all due 2025, and
the Ba3 rating on the GBP145 million super senior revolving credit
facility (SSRCF) due 2024. The outlook on all ratings is changed to
stable from negative.

RATINGS RATIONALE

The change in outlook to stable reflects the company's good
liquidity discipline, successful re-opening of the gyms
post-lockdown this year and Moody's expectation that PureGym will
de-lever to below 7.5x over the next 12-18 months. The ratings are
supported by the company's efficient operating model, its
competitive and flexible offering and by user-friendly technology,
that should help PureGym to recover quicker than peers. Moody's
expects PureGym to benefit from its value positioning compared to
the broader fitness and leisure market because some individuals may
decide to trade down towards value offerings from midmarket or
premium gyms as well as capture members of financially distressed
gyms. PureGym also benefits from an element of geographic
diversification, although the current crisis is global.

PureGym was hit by the government decisions to close gyms for a
significant portion of 2020 and Q1 2021 in all countries where the
company operates including the UK, Denmark and Switzerland. PureGym
has focussed on cost reduction and benefitted from the government
schemes to compensate for staff payroll as well as a business rates
holiday in the UK. Thanks to the mitigating measures the total cash
burn during 2020 and Q1 2021 was GBP134 million, including more
than GBP40 million of expansionary capex, although in addition
approximately GBP38 million of various payments were postponed into
late 2021. Moody's positively notes that the company's owners
provided GBP100 million of equity support which covered a sizeable
portion of the cash burn.

The company's business has a high degree of operating leverage, as
the operating costs of running a gym are quite stable relative to
the level of attendance. This means it is crucial for the company
to quickly recover membership levels to avoid a disproportionate
reduction in the company's margins and cash flow generation.
Moody's understands that by end of June the company achieved
like-for-like memberships at circa 83% of 2019 level in the key UK
market and 82% in Denmark. The figures only include paying members
(excludes "frozen") and indicate a solid demand.

Moody's base case assumptions are that the member levels will
recover to the pre-crisis level by the end of 2021. However,
Moody's estimates that Moody's-adjusted debt/EBITDA will remain
well above 10x this year before reducing below 7x in 2022. This
compares to around 6.5x leverage in 2019 pro-forma for the Fitness
World acquisition.

PureGym has had to incur additional costs linked to the pandemic,
including cleaning and testing ("corona passes" in Denmark) as well
as limit the capacity of its gyms to ensure a safe layout, which
could slow down margin recovery despite the strong demand. More
positively, according to the government's plans, most of the
restrictions in the UK and Denmark will be lifted before
September.

In Moody's base case PureGym's free cash flow (FCF) will be
negative in 2021 by about GBP60 million, even before expansionary
capital spending, which the rating agency expects could be around
GBP35 million. Moody's expects PureGym to continue expanding its
network in the UK and Switzerland. Moody's models that the group
would have sufficient internally generated cash flows to fund
around 30 new gyms which will result in close to zero FCF in 2022.
Moody's understands that PureGym is also exploring equity raising
options, including potential public markets, to further accelerate
its network expansion and to invest more into its existing sites
and technology assets.

Moody's considers certain governance considerations related to
PureGym. The company is owned by Leonard Green & Partners which, as
is common for private equity firms, has a high tolerance for
leverage and appetite for debt-funded acquisition. More positively,
Moody's views the owner's commitment to the business as relatively
strong with a track record of equity support.

Moody's highlights the inherent challenges involved in modelling
profitability and cash flows in times of great uncertainty. Indeed,
risk of new virus variants leading to potential new restrictions
may significantly delay recovery for PureGym.

LIQUIDITY

PureGym's liquidity is adequate and supported by GBP81 million cash
on balance sheet as of March 2021, which includes EUR45 million tap
bond issuance. In addition, the company has access to the fully
undrawn GBP145 million SSRCF. The SSRCF has one springing covenant
that is tested when the facility is over 40% drawn, but this has
been replaced with a GBP30 million minimum liquidity test.

STRUCTURAL CONSIDERATIONS

The capital structure comprises GBP430 million and EUR490 million
of backed senior secured notes due 2025 and a GBP145 million SSRCF
due 2024. The B3 instrument rating on the notes is in line with the
company's CFR while the Ba3 instrument rating on the RCF reflects
its super senior ranking ahead of the notes.

RATIONALE FOR STABLE OUTLOOK:

The stable outlook reflects Moody's expectation that the company
will continue to maintain adequate liquidity and will successfully
de-lever to around 7x during 2022 by recovering its membership base
after the pandemic and opening new gyms.

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

Moody's could upgrade the company's rating if (1) the company
continues returns to positive organic revenue and EBITDA growth;
(2) Moody's adjusted Debt/EBITDA reduces sustainably below 6.5x;
(3) EBITA / Interest improves towards 1.5x; and (4) the company
maintains an adequate liquidity profile while it continues to scale
up its operations.

Moody's could downgrade PureGym's ratings if: (1) liquidity
deteriorates; (2) Moody's adjusted gross leverage remains above
7.5x over the next 12 months; (3) EBITA /interest is sustained
below 1x; or (4) if there is any material and sustained decline in
number of members or in membership yield.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016.

LIST OF AFFECTED RATINGS

Affirmations:

Issuer: Pinnacle Bidco plc

Probability of Default Rating, Affirmed B3-PD

LT Corporate Family Rating, Affirmed B3

Senior Secured Bank Credit Facility, Affirmed Ba3

BACKED Senior Secured Regular Bond/Debenture, Affirmed B3

Outlook Actions:

Issuer: Pinnacle Bidco plc

Outlook, Changed To Stable From Negative

PROFILE

Founded in 2009 PureGym is the third-largest health and fitness
club operator in Europe by number of members. As of May 2021, the
group had 1.6 million members and 506 gyms across the UK, Denmark
and Switzerland. Pro-forma for the Fitness World acquisition,
PureGym's revenue in 2019 was around GBP447 million and
company-adjusted EBITDA was GBP132 million (before IFRS 16 impact).
Private equity firm Leonard Green & Partners holds 79% of the
company and the remaining 21% is owned by management.

POUNDSTRETCHER: Estate Shrinks by 75 Stores Following CVA
---------------------------------------------------------
Steve Farrell at The Grocer reports that Poundstretcher's estate
has shrunk by 75 stores since it launched a company voluntary
arrangement (CVA) rescue plan a year ago.

According to The Grocer, it shows the business had 437 stores in
July 2020 and 362 this month.

The numbers include stores trading under the variety discounter's
'Bargain Buys' banner, The Grocer discloses.  They dropped from 79
to 61 stores, while branches under the Poundstretcher banner fell
from 358 to 301, The Grocer states.

The net decline comes despite Poundstretcher also opening stores,
meaning the number to have closed will be higher, The Grocer
notes.

The CVA, launched in June last year, put more than half of
Poundstretcher's estate at risk of closure dependent on performance
and landlord co-operation, The Grocer recounts.  However, in
October plans to offset the closures with 50 new openings were
confirmed by Poundstretcher and its restructuring partner KPMG,
according to The Grocer.




PRODIGY FINANCE CM2021-1: Moody's Gives Ba1 Rating to Cl. D Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned the following definitive
ratings to Notes issued by Prodigy Finance CM2021-1 Designated
Activity Company:

USD227,590,000 Class A First Priority Senior Secured Floating Rate
Notes due July 2051, Definitive Rating Assigned Aa3 (sf)

USD22,760,000 Class B Second Priority Senior Secured Floating Rate
Notes due July 2051, Definitive Rating Assigned A1 (sf)

USD19,720,000 Class C Third Priority Senior Secured Floating Rate
Notes due July 2051, Definitive Rating Assigned A2 (sf)

USD18,210,000 Class D Fourth Priority Subordinated Floating Rate
Notes due July 2051, Definitive Rating Assigned Ba1 (sf)

RATINGS RATIONALE

The Notes are backed by a pool of international student loans
originated by Prodigy Finance Limited (NR). This represents the
first issuance out of the Prodigy label.

The portfolio consists of approximately USD 303 million of loans as
of June 7th pool cut-off date. The non-amortising reserve account
has been funded to 1.2% of the total pool balance at closing and
the total credit enhancement for the Class A Notes is 26.2%.

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

The ratings also consider high social risk attributable to the debt
burden of student loans and the affordability of education in the
US. Potential regulatory or legislative changes could impact funds
available to the trust.

According to Moody's, the transaction benefits from various credit
strengths such as a granular portfolio, a non-amortising reserve
account sized at 1.2% of the total pool balance and a
non-amortising capitalized interest account sized at 0.5% of the
initial pool balance which will be available during the first two
years after closing. However, Moody's notes that the transaction
features some credit weaknesses such as an unrated servicer with an
untested business model and the servicing complexity related to
international borrowers. Various mitigants have been included in
the transaction structure such as a back-up servicer and a US
back-up servicer which will step in upon Prodigy's insolvency or
other servicer termination events. Moody's has concluded a maximum
achievable rating of Aa3 (sf) for the Notes because the different
structural features introduced to protect the transaction from
servicing disruption and other risks do not fully mitigate the
risks outlined above.

Moody's determined the portfolio lifetime expected defaults of
7.0%, expected recoveries of 25.0% and Aaa portfolio credit
enhancement ("PCE") of 30.0% related to borrower receivables. The
expected defaults and recoveries capture Moody's expectations of
performance considering the current economic outlook, while the PCE
captures the loss Moody's expect the portfolio to suffer in the
event of a severe recession scenario. Expected defaults and PCE are
parameters used by Moody's to calibrate its lognormal portfolio
loss distribution curve and to associate a probability with each
potential future loss scenario in the ABSROM cash flow model to
rate Consumer ABS.

Portfolio expected defaults of 7.0% are in line with the US
non-refinancing private student loan ABS and EMEA consumer loan ABS
average and are based on Moody's assessment of the lifetime
expectation for the pool taking into account (i) limited historic
performance of the loan book of the originator, (ii) the fact that
24.3% of the loans in the pool are currently in grace period and
4.4% are in some form of payment arrangement, (iii) benchmark
transactions, and (iv) other qualitative considerations.

Portfolio expected recoveries of 25.0% are in line with the US
non-refinancing private student loan ABS average and higher than
the EMEA consumer loan ABS average and are based on Moody's
assessment of the lifetime expectation for the pool taking into
account considerations (i) limited historic performance of the loan
book of the originator, (ii) benchmark transactions, and (iii)
other qualitative considerations.

PCE of 30.0% is higher than the US non-refinancing private student
loan ABS and EMEA consumer loan ABS average and is based on Moody's
assessment of the pool which is mainly driven by: (i) the
evaluation of the underlying portfolio, complemented by the
historical performance information as provided by the originator,
(ii) the relative ranking to originator peers in the US private
student loan sector and the EMEA consumer loan market and (iii)
other qualitative considerations, such as the exposure to loans
denominated in a currency different than that in which borrowers
receive their salary and the untested business model of the
originator. The PCE of 30.0% results in an implied coefficient of
variation (CoV) of 46.9%.

Rating Methodology:

The principal methodology used in these ratings was "Moody's
Approach to Rating Consumer Loan-Backed ABS" published in July
2020.

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

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

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

SECOND HOME: Obtains Waiver from Lender After Covenant Breach
-------------------------------------------------------------
Bryce Elder at The Financial Times reports that lenders have given
a second chance to Second Home, the upscale WeWork wannabe founded
by former Downing Street policymaker Rohan Silva.

According to the FT, accounts filed last week by Second Home showed
the company breached its main debt covenant in March and will
probably fail the March 2022 check as well.

For the year to December 2019 Second Home reported revenue of
GBP9.8 million, largely from membership subscriptions, the FT
discloses.  But administrative fees doubled to GBP13.2 million as
Second Home opened new clubs in London and Los Angeles, bringing
its total to six, the FT notes.  Currency losses, loan interest and
depreciation charges raised the total loss to GBP15.7 million which
depleted cash reserves to just GBP5.5 million, the FT states.

Since then the company has tapped the UK government's Future Fund
coronavirus support scheme for the maximum loan of GBP5 million,
which was matched by existing shareholders, and received a waiver
from main lender Metro Bank that holds until September 2021, the FT
relates.  Directors anticipate continued grace over debts but were
yet to receive any firm assurances, according to the FT.

A covenant breach would allow the bank to recall loans, which
Second Home referred to as a "severe but plausible downside
scenario", the FT states.  Directors therefore added a "going
concern" warning to the accounts, reflecting the risks that lenders
might take a tougher approach to waivers and that Covid disruption
might be more severe than anticipated, the FT relays.




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

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



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S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter-Europe is a daily newsletter co-
published by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante,
Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman,
Editors.

Copyright 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 * * *