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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, August 2, 2021, Vol. 22, No. 147

                           Headlines



F I N L A N D

FINNAIR OYJ: Egan-Jones Keeps CCC Senior Unsecured Ratings


F R A N C E

CMA CGM: S&P Upgrades ICR to 'BB' on Stronger Credit Metrics


I R E L A N D

ACCUNIA EUROPEAN I: Moody's Upgrades EUR11.1MM Class F Notes to B2
AURIUM CLO III: Moody's Affirms B2 Rating on EUR10.5MM Cl. F Notes
BILBAO CLO II: Fitch Assigns Final B- Rating on E-R Tranche
BILBAO CLO II: Moody's Assigns B3 Rating to EUR7.75MM Cl. E Notes
HENLEY CLO I: Fitch Assigns Final B- Rating on F-R Tranche

HENLEY CLO I: S&P Assigns B- (sf) Rating to Class F Notes
ROCKFIELD PARK: Moody's Assigns B3 Rating to EUR12MM Class E Notes
SHAW ACADEMY: Seeks Examinership for Second Time
TIKEHAU CLO: Moody's Assigns (P)B3 Rating to EUR11MM Cl. F-R Notes


I T A L Y

FIAT S.P.A: Egan-Jones Withdraws BB Sr. Unsec. Debt Ratings


P O R T U G A L

ARES LUSITANI: Fitch Assigns Final B- Rating on Class F Tranche
ARES LUSITANI: S&P Assigns CCC (sf) Rating to Cl. F Notes


R U S S I A

FIRST COLLECTION: S&P Raises Long-Term Issuer Credit Rating to 'B'
ROSSETI MOSCOW: S&P Affirms 'BB+' Long-Term Ratings
ROZNICHNOYE I: Bank of Russia Ends Provisional Administration


S P A I N

AYT KUTXA II: Fitch Affirms B- Rating on Class C Tranche
CAIXA PENEDES 1: Fitch Raises Class C Notes Rating to 'BB+'
IM CAJAMAR 6: Moody's Hikes Rating on EUR62.4MM Cl. D Notes to Ba3
LEVIATHAN BOND: S&P Affirms 'BB-' Rating on Senior Secured Notes
TENDAM BRANDS: S&P Alters Outlook to Stable, Affirms 'B' ICR



S W I T Z E R L A N D

CEVA LOGISTICS: S&P Upgrades Ratings to 'BB', Outlook Stable


U K R A I N E

UKRAINIAN RAILWAYS: S&P Hikes ICR to 'CCC+' on Improved Liquidity


U N I T E D   K I N G D O M

ALPHA TOPCO: S&P Alters Outlook to Stable, Affirms 'B+' ICR
B&M: S&P Upgrades Rating to 'BB-', Outlook Stable
JTF MEGA:  Lincoln Store May Turn Into Cinema Complex
KAPEX CONSTRUCTION: Enters Administration, Owes GBP3.6 Million
RALPH & RUSSO: Tamara Ralph Responds to GBP20.8MM Lawsuit

[*] UK: Company Insolvencies in England, Wales Up 31% in Q2 2021


X X X X X X X X

[*] BOND PRICING: For the Week July 26 to July 30, 2021

                           - - - - -


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F I N L A N D
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FINNAIR OYJ: Egan-Jones Keeps CCC Senior Unsecured Ratings
----------------------------------------------------------
Egan-Jones Ratings Company, on July 20, 2021, maintained its 'CCC'
foreign currency and local currency senior unsecured ratings on
debt issued by Finnair Oyj. EJR also maintained its 'C' rating on
commercial paper issued by the Company.

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




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F R A N C E
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CMA CGM: S&P Upgrades ICR to 'BB' on Stronger Credit Metrics
------------------------------------------------------------
S&P Global Ratings raised its long-term issuer credit rating on
French container liner CMA CGM to 'BB' from 'BB-', and its issue
rating on the group's senior unsecured debt to 'BB-' from 'B',
while revising the recovery rating to '5' from '6'.

S&P said, "The stable outlook reflects our view that CMA CGM's
EBITDA will start moderating from midyear 2022 to a more
sustainable annual run rate of about $5.0 billion, allowing the
group to maintain adjusted FFO to debt above 25%.

"Freight rates are unlikely to moderate in the second half of 2021,
contrary to our previous expectations." Uninterrupted strong demand
for tangible goods, accompanied by prolonged congestion in major
maritime ports and disruption of logistical supply chains are tying
up containership capacity and boosting freight rates. In
particular, freight rates on the main container liner
trades--Transpacific and Asia-Europe--remain at record highs.
According to Clarksons Research, the Shanghai Containerized Freight
Index reached a new high at mid-June of 3,748 points, 3x the
elevated average in 2020 and 4x the prepandemic 10-year average of
950 points.

Short-to-medium-term freight rate conditions should be supportive,
and underpin CMA CGM's cash flow. The movement of essential goods,
strong pickup in e-commerce, and shift in consumer spending to
tangible goods from services have supported shipping volume
recovery and container-liner freight rates from June 2020. Trade
momentum remained solid in first-quarter 2021, despite the usual
seasonal slowdown. S&P said, "As a result, we forecast a rebound in
shipped volumes consistent with global GDP growth of 5%-6% in 2021
following a 1%-2% contraction in 2020 compared with 2019. Despite
the most recent spike in new ship orders (lifting the containership
order book to 18% of the total global fleet from about 9% three
months ago), containership supply growth is unlikely to surpass
demand growth in the coming quarters, propping up freight rates. We
believe that more stringent regulation on sulfur emissions
(limiting sulfur used in ship fuel to 0.5% from Jan. 1, 2020), and
broader considerations about greenhouse gas emissions in
general--particularly in the context of decarbonization--will
likely result in uncertainties over the costs and benefits of
various technologies and fuel, and should constrain orders to some
extent in the short term. We also note that lead times between
placing orders for ships and the ability of shipyards to deliver
currently stand at 18 months-24 months. We believe that
demand-and-supply conditions will be largely in balance in 2021 and
2022. We now forecast that freight rates could start normalizing
only from year-end 2021 at the earliest, as the pandemic's impact
on container shipping eases."

S&P said, "We anticipate the container liner industry will remain
disciplined in deploying capacity, as demonstrated since the
pandemic began.Soon after the initial COVID-19 outbreak last year,
there was a withdrawal of sailings from China, and container liner
operators continued to adjust capacities to demand trends in a
timely manner throughout 2020. These measures demonstrate industry
players' reactive supply management, which we consider normal in a
sector that has been through several rounds of consolidation in
recent years. The five largest container shipping companies now
have a combined market share of about 65%, up from 30% around 15
years ago.

"Supported by continuously strong freight rates, CMA CGM's EBITDA
should significantly outperform our March 2021 base case. We now
expect the group's average revenue per twenty-foot equivalent unit
(TEU) to increase by about 50% in 2021 compared with our previous
forecast of 2%. This, supported by robust trade volumes growth,
should translate into adjusted EBITDA of about $16 billion, which
is 2.5x our previous forecast. We believe the slower normalization
of freight rates than we previously expected will not only boost
CMA CGM's EBITDA in 2021, but also strongly support its 2022
earnings.

"We expect EBITDA will be inflated in 2022 as well, although lower
than in 2021.Our 2022 base case incorporates likely persistently
strong freight rates, benefiting from the elevated base we expect
at year-end 2021. In view of ongoing supply chain disruptions,
customers will be keen to secure containership space for longer
durations than usually, which should additionally support CMA CGM's
earnings next year. That said, as infrastructure bottlenecks will
start loosening, we expect freight rates to normalize but remain at
a profitable level as the industrywide prudent capacity deployment
continues. According to our base case, we expect CMA CGM's EBITDA
to normalize from midyear 2022 to a more sustainable annual run
rate of about $5.0 billion, which compares with $6.2 billion in
2020 and $3.8 billion in 2019.

"Stronger cash flows than expected, combined with reduced debt,
should increase the cushion under the improved credit metrics for
future fluctuations in EBITDA and unforeseen operational setbacks.
We expect CMA CGM to maintain its prudent stance toward capital
investments and shareholder distributions, allowing it to generate
ample excess cash flows. We also acknowledge the group's proactive
voluntary debt repayments of approximately $1.7 billion in the
first quarter of 2021 and early redemption of the remainder of its
senior unsecured notes due 2022 in April this year. In 2021, we
expect adjusted debt to drop to $12 billion from $17.3 billion as
of Dec. 31, 2020, translating into adjusted FFO to debt well above
60%, compared with about 28% in 2020, and falling within the range
for the minimal financial risk profile category. However, we
consider the intermediate category to be more appropriate for CMA
CGM because the shipping industry is tied to cyclical
supply-and-demand conditions and the EBITDA we forecast in 2021 and
2022 is unlikely to be sustainable in the long term. Our
sensitivity analysis suggests that a possible 50% drop in EBITDA
from its forecast peak in 2021 would result in a financial risk
assessment of intermediate--two categories weaker than the cash
flow/leverage assessment of minimal that our base-case currently
indicates.

"There is a high degree of uncertainty about the levels that
freight rates will settle at when they begin to normalize, and CMA
CGM's capex to comply with environmental regulation could increase.
To capture these risk factors, we apply a negative adjustment of
one notch under our comparable rating analysis to the 'bb+' anchor,
resulting in the rating of 'BB'. We also acknowledge risks stemming
from the shift in consumer spending back to services from tangible
goods and potential slowdown in e-commerce as the pandemic's
effects ease, weighing on shipping volumes, aggravated by the
accelerated deliveries of new vessels and potential overcapacity
from 2023. We also understand that the environmental pressure on
the container liner industry is increasing, which may accelerate
fleet upgrades, requiring higher capex and potentially additional
operating costs."

Outlook

S&P said, "The stable outlook reflects our view that CMA CGM's
EBITDA will start moderating to a more sustainable annual run rate
of about $5.0 billion from midyear 2022, allowing the group to
maintain adjusted FFO to debt above 25%. We think this will be
underpinned by the sustained capacity discipline of industry
players and the group's balanced financial policy."

Upside scenario

S&P said, "We could raise the rating if CMA CGM sustained its
adjusted FFO-to-debt ratio above 35% once freight rates normalize.
In our view, this will largely depend on CMA CGM's ability and
willingness to keep adjusted debt at around the current lower
level. This would mean shareholder remuneration will remain prudent
and the group will not unexpectedly embark on any significant
debt-financed fleet expansion or mergers and acquisitions without
an offsetting increase in earnings."

Downside scenario

S&P said, "We view a downgrade in the near term as unlikely,
considering ample headroom under the current and forecast credit
metrics. In the medium term, we could lower the rating if CMA CGM's
EBITDA plunged and remained below $5.0 billion; for example, due to
industry players' unexpected aggressive capacity management
depressing freight rates. Alternatively, we could lower the ratings
if for example CMA CGM was unable to offset fuel-cost inflation
because of unsuccessful pass-through efforts or failure to realize
cost efficiencies. This would imply adjusted FFO to debt
deteriorating to less than 25%, with limited prospects for
improvement."

A downgrade could also follow if the company adopted a
more-aggressive financial policy, resulting in a material buildup
of adjusted debt from the current levels.




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I R E L A N D
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ACCUNIA EUROPEAN I: Moody's Upgrades EUR11.1MM Class F Notes to B2
------------------------------------------------------------------
Moody's Investors Service as upgraded the ratings on the following
notes issued by Accunia European CLO I DAC:

EUR20,000,000 Class B-1 Senior Secured Floating Rate Notes due
2030, Upgraded to Aa1 (sf); previously on Sep 21, 2020 Affirmed Aa2
(sf)

EUR27,400,000 Class B-2 Senior Secured Fixed Rate Notes due 2030,
Upgraded to Aa1 (sf); previously on Sep 21, 2020 Affirmed Aa2 (sf)

EUR27,100,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2030, Upgraded to A1 (sf); previously on Sep 21, 2020
Affirmed A2 (sf)

EUR27,600,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2030, Upgraded to Baa2 (sf); previously on Sep 21, 2020
Confirmed at Baa3 (sf)

EUR24,900,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2030, Upgraded to Ba2 (sf); previously on Sep 21, 2020
Downgraded to Ba3 (sf)

EUR11,100,000 (current outstanding amount EUR7,739,697.21) Class F
Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to
B2 (sf); previously on Sep 21, 2020 Downgraded to B3 (sf)

Moody's has also affirmed the rating on the following note:

EUR283,700,000 (current outstanding amount EUR279,032,908.74)
Class A Senior Secured Floating Rate Notes due 2030, Affirmed Aaa
(sf); previously on Sep 21, 2020 Affirmed Aaa (sf)

Accunia European CLO I DAC, issued in August 2016 and reset in May
2019, is a collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured European loans. The
portfolio is managed by Accunia Fondsmaglerselskab A/S. The
transaction's reinvestment period ended in May 2021.

RATINGS RATIONALE

The rating upgrades on the Class B-1, B-2, C, D, E and F Notes are
primarily a result of the benefit of the transaction having reached
the end of the reinvestment period in May 2021.

The affirmations on the rating on the Class A Note is primarily a
result of the expected loss on the note remaining consistent with
its current rating 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.

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: EUR443,222,536

Defaulted Securities: EUR4,000,000

Diversity Score: 51

Weighted Average Rating Factor (WARF): 2879

Weighted Average Life (WAL): 4.36 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.74%

Weighted Average Coupon (WAC): 1.82%

Weighted Average Recovery Rate (WARR): 44.77%

Par haircut in OC tests and interest diversion test: none

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:

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.

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.

AURIUM CLO III: Moody's Affirms B2 Rating on EUR10.5MM Cl. F Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Aurium CLO III Designated Activity Company:

EUR41,500,000 Class B-1 Senior Secured Floating Rate Notes due
2030, Upgraded to Aa1 (sf); previously on Sep 22, 2020 Affirmed Aa2
(sf)

EUR10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2030,
Upgraded to Aa1 (sf); previously on Sep 22, 2020 Affirmed Aa2 (sf)

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

EUR220,000,000 (Current Outstanding Amount EUR 219,888,275.71)
Class A Senior Secured Floating Rate Notes due 2030, Affirmed Aaa
(sf); previously on Sep 22, 2020 Affirmed Aaa (sf)

EUR25,500,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed A2 (sf); previously on Sep 22, 2020
Affirmed A2 (sf)

EUR18,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed Baa2 (sf); previously on Sep 22, 2020
Confirmed at Baa2 (sf)

EUR22,500,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed Ba2 (sf); previously on Sep 22, 2020
Confirmed at Ba2 (sf)

EUR10,500,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed B2 (sf); previously on Sep 22, 2020
Confirmed at B2 (sf)

Aurium CLO III Designated Activity Company, issued in May 2017 and
refinanced in October 2019, is a collateralised loan obligation
(CLO) backed by a portfolio of mostly high-yield senior secured
European loans. The portfolio is managed by Spire Management
Limited. The transaction's reinvestment period ended in April
2021.

RATINGS RATIONALE

The rating upgrades on the Class B-1 and B-2 notes are primarily a
result of the transaction having reached the end of the
reinvestment period in April 2021.

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 analyzed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements. In particular, Moody's assumed that
the deal will benefit from a shorter amortisation profile than it
had assumed at the last rating action in September 2020.

The rating affirmations on the Class A, C, D, E and F 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: EUR373.1m

Defaulted Securities: None

Diversity Score: 51

Weighted Average Rating Factor (WARF): 2750

Weighted Average Life (WAL): 5.26 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.55%

Weighted Average Coupon (WAC): 3.91%

Weighted Average Recovery Rate (WARR): 44.5%

Par haircut in OC tests and interest diversion test: None

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 July 09, 2021 trustee report was published
at the time it was completing its analysis of the May 28, 2021
data. Key portfolio metrics such as OC levels, WARF, diversity
score, weighted average spread and life exhibit little or no change
between these dates.

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 provider,
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; 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:

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.

BILBAO CLO II: Fitch Assigns Final B- Rating on E-R Tranche
-----------------------------------------------------------
Fitch Ratings has assigned Bilbao CLO II Designated Activity
Company final ratings.

DEBT                       RATING                PRIOR
----                       ------                -----
Bilbao CLO II DAC

A-1-R                LT AAAsf   New Rating     AAA(EXP)sf
A-1A XS1941071372    LT PIFsf   Paid In Full   AAAsf
A-1B XS1941072008    LT PIFsf   Paid In Full   AAAsf
A-2A XS1941072776    LT PIFsf   Paid In Full   AAsf
A-2A-R               LT AAsf    New Rating     AA(EXP)sf
A-2B XS1941073824    LT PIFsf   Paid In Full   AAsf
A-2B-R               LT AAsf    New Rating     AA(EXP)sf
B XS1941076926       LT PIFsf   Paid In Full   A+sf
B-R                  LT Asf     New Rating     A(EXP)sf
C XS1941078039       LT PIFsf   Paid In Full   BBB-sf
C-R                  LT BBB-sf  New Rating     BBB-(EXP)sf
D XS1941079193       LT PIFsf   Paid In Full   BB-sf
D-R                  LT BB-sf   New Rating     BB-(EXP)sf
E-R                  LT B-sf    New Rating     B-(EXP)sf
X XS1941068154       LT PIFsf   Paid In Full   AAAsf
X-R                  LT AAAsf   New Rating     AAA(EXP)sf

TRANSACTION SUMMARY

Bilbao CLO II DAC is a securitisation of mainly senior secured
obligations with a component of senior unsecured, mezzanine and
second-lien loans, and high-yield bonds. Note proceeds are being
used to redeem all existing classes except the subordinated notes.
The portfolio is actively managed by Guggenheim Partners Europe
Limited. The transaction has a 4.5-year reinvestment period and an
8.5-year weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors in the 'B'/'B-' category. The
Fitch weighted average rating factor (WARF) of the target portfolio
is 34.16.

High Recovery Expectations (Positive): At least 90% of the
portfolio comprises senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate (WARR) of the target portfolio is 63.95%.

Diversified Portfolio (Positive): The transaction has multiple
matrices based on the top 10 obligor limits of 15% and 23%, and
fixed-rate obligation limits of 0%, 5%, and 10%. The transaction
also has 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-case portfolio with the aim of testing the robustness of
the transaction structure against its covenants and portfolio
guidelines.

Model Implied Ratings Deviation (Negative): The assigned ratings of
the class A-1, A-2A, A-2B, C, D and E notes are one notch above
their model-implied ratings (MIR). The maximum default-rate
shortfall at the assigned rating ranges from 0.13% to 1.73% across
the structure. The final ratings are supported by the good
performance of the existing CLO, and the significant default buffer
against downgrade based on the target portfolio due to the notable
cushion between the covenants of the transaction and the
portfolio's parameters.

RATING SENSITIVITIES

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

-- A 25% reduction of the mean default rate (RDR) across all
    ratings and a 25% increase in the recovery rate (RRR) across
    all ratings would lead to an upgrade of up to five notches for
    the rated notes, except for the class A and X 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, 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 ability to update the Fitch collateral quality
    tests.

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

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

-- A 25% increase of the mean RDR across all ratings and a 25%
    decrease of the RRR across all ratings would lead to a
    downgrade of up to five notches for the rated 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 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.

BILBAO CLO II: Moody's Assigns B3 Rating to EUR7.75MM Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by Bilbao
CLO II Designated Activity Company (the "Issuer"):

EUR2,000,000 Class X Senior Secured Floating Rate Notes due 2035,
Definitive Rating Assigned Aaa (sf)

EUR248,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Definitive Rating Assigned Aaa (sf)

EUR27,000,000 Class A-2A Senior Secured Floating Rate Notes due
2035, Definitive Rating Assigned Aa2 (sf)

EUR10,000,000 Class A-2B Senior Secured Fixed Rate Notes due 2035,
Definitive Rating Assigned Aa2 (sf)

EUR26,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2035, Definitive Rating Assigned A2 (sf)

EUR29,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2035, Definitive Rating Assigned Baa3 (sf)

EUR20,250,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2035, Definitive Rating Assigned Ba3 (sf)

EUR7,750,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2035, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in Moody's methodology.

Interest and principal amortisation amounts due to the Class X
Notes are paid pro rata with payments to the Class A-1 Notes. The
Class X Notes amortise by 10 % on each payment date, starting on
the first payment date.

As part of this reset, the Issuer amended certain concentration
limits, definitions including the definition of "Adjusted Weighted
Average Rating Factor" and minor features. The issuer included the
ability to hold loss mitigation obligations. In addition, the
Issuer amended the base matrix and modifiers that Moody's took into
account for the assignment of the definitive ratings.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior loans, second-lien loans, high yield bonds and mezzanine
loans. The underlying portfolio is expected to be almost fully
ramped as of the closing date.

Guggenheim Partners Europe Limited ("Guggenheim") continues to
manage the CLO. It will direct the selection, acquisition and
disposition of collateral on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's 4.6 year reinvestment period. Thereafter, subject to
certain restrictions, purchases are permitted using principal
proceeds from unscheduled principal payments and proceeds from
sales of [credit risk obligations and credit improved obligations.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

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.

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

The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

Moody's used the following base-case modeling assumptions:

Target Par Amount: EUR400,000,000

Diversity Score: 46

Weighted Average Rating Factor (WARF): 2994

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 43.00%

Weighted Average Life (WAL): 8.5 years

HENLEY CLO I: Fitch Assigns Final B- Rating on F-R Tranche
----------------------------------------------------------
Fitch Ratings has assigned Henley CLO I DAC final ratings.

     DEBT                  RATING               PRIOR
     ----                  ------               -----
Henley CLO I DAC

A XS2008552999       LT PIFsf   Paid In Full    AAAsf
A-R XS2360085760     LT AAAsf   New Rating      AAA(EXP)sf
B-1 XS2008553377     LT PIFsf   Paid In Full    AAsf
B-1R XS2360086065    LT AAsf    New Rating      AA(EXP)sf
B-2 XS2008553708     LT PIFsf   Paid In Full    AAsf
B-2R XS2360086222    LT AAsf    New Rating      AA(EXP)sf
C XS2008555828       LT PIFsf   Paid In Full    A+sf
C-R XS2360086578     LT Asf     New Rating      A(EXP)sf
D XS2008556123       LT PIFsf   Paid In Full    BBB-sf
D-R XS2360086735     LT BBB-sf  New Rating      BBB-(EXP)sf
E XS2008555588       LT PIFsf   Paid In Full    BB-sf
E-R XS2360086909     LT BB-sf   New Rating      BB-(EXP)sf
F XS2008554342       LT PIFsf   Paid In Full    B-sf
F-R XS2360087113     LT B-sf    New Rating      B-(EXP)sf
X XS2008552304       LT PIFsf   Paid In Full    AAAsf
X-R XS2360085687     LT AAAsf   New Rating      AAA(EXP)sf

TRANSACTION SUMMARY

Henley CLO I DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of senior unsecured,
mezzanine, second-lien loans, first-lien, last-out loans and
high-yield bonds. Note proceeds have been used to redeem existing
notes except the subordinated notes. The transaction has a target
par of EUR400 million and the portfolio is actively managed by
Napier Park Global Capital Ltd. The transaction has a 4.5-year
reinvestment period and an 8.5-year weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) of the identified
portfolio is 33.1.

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 62.9%.

Diversified Portfolio (Positive): The transaction has four matrices
corresponding to two 10 largest obligor limits at 18% and 26.5% of
the portfolio balance and two maximum fixed-rate asset limits at 0%
and 15%. The transaction also includes various concentration
limits, including the maximum exposure to the three largest
(Fitch-defined) industries in the portfolio at 40%. These covenants
ensure that the asset portfolio will not be exposed to excessive
concentration.

Portfolio Management (Positive): The transaction has a 4.5-year
reinvestment period and includes reinvestment criteria similar to
those of other European transactions. Fitch's analysis is based on
a stressed-case portfolio with the aim of testing the robustness of
the transaction structure against its covenants and portfolio
guidelines.

Deviation from Model-Implied Rating (Negative): The ratings of all
notes except the class X notes are one notch higher than the
model-implied rating (MIR). When analysing the matrices, the
transaction shows a maximum default rate shortfall ranging from
-0.5% to -3.8% across the structure. The ratings are supported by
the good performance of the existing portfolio, and a notable
default cushion on the current portfolio at the assigned ratings,
which is used for surveillance due to the diversity of the
portfolio (130 obligors versus 110 modelled) and the cushion of the
collateral quality tests between the covenants and the portfolio's
parameters.

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

RATING SENSITIVITIES

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is stressed, while
holding others equal. The modelling process uses the estimation and
stress of these variables to reflect asset performance in a
stressed environment. The results below should only be considered
as one potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

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

-- A 25% reduction of the mean default rate (RDR) across all
    ratings and a 25% increase in the recovery rate (RRR) across
    all ratings will result in an upgrade of no more than five
    notches across the structure, apart from the class X and A
    notes, which are already at the highest rating on Fitch's
    scale and cannot be upgraded.

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

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

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

-- A 25% increase of the mean RDR across all ratings and a 25%
    decrease of the RRR across all ratings will result in
    downgrades of up to five notches across the structure except
    for the class X notes' rating, which would be unchanged.

-- Downgrades may occur if the build-up of the notes' credit
    enhancement following amortisation does not compensate for a
    higher loss expectation than initially assumed due to
    unexpected 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

Henley CLO I DAC

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

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

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

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

HENLEY CLO I: S&P Assigns B- (sf) Rating to Class F Notes
---------------------------------------------------------
S&P Global Ratings assigned credit ratings to Henley CLO I DAC's
class X, A, B-1, B-2, C, D, E, and F notes. The issuer did not
issue additional subordinated notes in addition to the EUR34.20
million of existing subordinated notes.

The transaction is a reset of an existing transaction, which
originally closed in July 2019. The issuance proceeds of the
refinancing notes will be used to redeem the refinanced notes and
pay fees and expenses incurred in connection with the reset.

The ratings 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.

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

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

  Portfolio Benchmarks
                                                        CURRENT
  S&P weighted-average rating factor                   2,799.96
  Default rate dispersion                                540.03
  Weighted-average life (years)                            5.13
  Obligor diversity measure                               99.80
  Industry diversity measure                              21.05
  Regional diversity measure                               1.17

  Transaction Key Metrics
                                                        CURRENT
  Portfolio weighted-average rating
     derived from S&P's CDO evaluator                        B
  'CCC' category rated assets (%)                         3.05
  Covenanted 'AAA' weighted-average recovery (%)         34.50
  Covenanted weighted-average spread (%)                  3.80
  Covenanted weighted-average coupon (%)                  4.50

Loss mitigation obligations

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

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

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

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

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

The use of principal proceeds is subject to certain conditions,
including the following:

-- Passing par coverage tests;

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

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

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

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

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

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

Rating rationale

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

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

"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread (3.80%), the
reference weighted-average coupon (4.50%), and the covenanted
weighted-average recovery rates as indicated by the collateral
manager. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

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

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

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

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

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our ratings are
commensurate with the available credit enhancement for the class A,
B-1, B-2, C, D, and 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.

"Our credit and cash flow analysis shows a negative break-even
default rate (BDR) cushion for the class F notes at the 'B-' rating
level. Nevertheless, based on the portfolio's actual
characteristics and additional overlaying factors, including our
long-term corporate default rates and recent economic outlook, we
believe this class is able to sustain a steady-state scenario, in
accordance with our criteria." S&P's analysis reflects several
factors, including:

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

-- S&P's BDR at the 'B-' rating level is 26.99% versus a portfolio
default rate of 15.90% if S&P was to consider a long-term
sustainable default rate of 3.1% for a portfolio with a
weighted-average life of 5.13 years.

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

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

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

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on the class A
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
(non-exhaustive list): tobacco, controversial weapons, and thermal
coal and fossil fuels from unconventional sources. Accordingly,
since the exclusion of assets from these industries does not result
in material differences between the transaction and our ESG
benchmark for the sector, no specific adjustments have been made in
our rating analysis to account for any ESG-related risks or
opportunities.

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

  Ratings List

  CLASS   RATING     AMOUNT    INTEREST RATE    CREDIT
                   (MIL. EUR)                   ENHANCEMENT (%)
  X       AAA (sf)     1.00     3mE + 0.40%       N/A
  A       AAA (sf)   238.00     3mE + 0.95%     40.50
  B-1     AA (sf)     29.00     3mE + 1.65%     28.25
  B-2     AA (sf)     20.00           2.00%     28.25
  C       A (sf)      24.50     3mE + 2.15%     22.13
  D       BBB (sf)    24.00     3mE + 3.00%     16.13
  E       BB- (sf)    25.50     3mE + 5.96%      9.75
  F       B- (sf)     11.00     3mE + 8.53%      7.00
  Subordinated  NR    34.20          N/A          N/A

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


ROCKFIELD PARK: Moody's Assigns B3 Rating to EUR12MM Class E Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to the notes issued by Rockfield Park
CLO DAC (the "Issuer"):

EUR2,000,000 Class X Senior Secured Floating Rate Notes due 2034,
Definitive Rating Assigned Aaa (sf)

EUR243,500,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)

EUR26,000,000 Class A-2A Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR14,500,000 Class A-2B Senior Secured Fixed Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

EUR 26,500,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned A2 (sf)

EUR 28,500,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

EUR21,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Ba2 (sf)

EUR12,000,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in Moody's methodology.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior loans, second-lien loans, high yield bonds and mezzanine
loans. The underlying portfolio is expected to be 80% ramped as of
the closing date and to comprise of predominantly corporate loans
to obligors domiciled in Western Europe. The remainder of the
portfolio will be acquired during the 9 month ramp-up period in
compliance with the portfolio guidelines.

Blackstone Ireland Limited ("Blackstone") will manage the CLO. It
will direct the selection, acquisition and disposition of
collateral on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
four-year reinvestment period. Thereafter, subject to certain
restrictions, purchases are permitted using principal proceeds from
unscheduled principal payments and proceeds from sales of credit
risk obligations or credit improved obligations.

Interest and principal amortisation amounts due to the Class X
Notes are paid pro rata with payments to the Class A-1 Notes. The
Class X Notes amortise by EUR333,333 on the second payment date
over six payment dates.

In addition to the eight classes of notes rated by Moody's, the
Issuer issued EUR30,000,000 of Subordinated Notes which are not
rated.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

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.

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

The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

Moody's used the following base-case modeling assumptions:

Performing par: EUR400,000,000

Diversity Score: 48

Weighted Average Rating Factor (WARF): 2995

Weighted Average Spread (WAS): 3.0%

Weighted Average Coupon (WAC): 4.0%

Weighted Average Recovery Rate (WARR): 43.0%

Weighted Average Life (WAL): 8.5 years

SHAW ACADEMY: Seeks Examinership for Second Time
------------------------------------------------
Roisin Burke at Business Post reports that Shaw Academy, the
troubled online education platform, has petitioned the High Court
for examinership for the second time.

According to Business Post, two companies attached to the business,
Shaw Academy Limited and Shaw Education Group, are seeking approval
from the courts for a period of protection from creditors while a
plan is devised for the group's future survival.


TIKEHAU CLO: Moody's Assigns (P)B3 Rating to EUR11MM Cl. F-R Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to refinancing notes to be issued by
Tikehau CLO DAC (the "Issuer"):

EUR3,000,000 Class X-R Notes due 2034, Assigned (P)Aaa (sf)

EUR217,000,000 Class A-R Notes due 2034, Assigned (P)Aaa (sf)

EUR21,750,000 Class B-1-R Notes due 2034, Assigned (P)Aa2 (sf)

EUR15,000,000 Class B-2-R Notes due 2034, Assigned (P)Aa2 (sf)

EUR19,250,000 Class C-R Notes due 2034, Assigned (P)A2 (sf)

EUR24,500,000 Class D-R Notes due 2034, Assigned (P)Baa3 (sf)

EUR17,500,000 Class E-R Notes due 2034, Assigned (P)Ba3 (sf)

EUR11,000,000 Class F-R Notes due 2034, Assigned (P)B3 (sf)

On July 15, 2015, the Issuer also issued EUR41.7 million of
subordinated notes, which will remain outstanding. In addition, the
Issuer will issue EUR11.8 million of additional subordinated notes
on the refinancing date. All subordinated notes are not rated.

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in Moody's methodology.

Interest and principal amortisation amounts due to the Class X-R
Notes are paid pro rata with payments to the Class A-R. The Class
X-R Notes amortise by 12.5% or EUR375,500 over the eight payment
dates starting on the second payment date.

As part of this reset, the Issuer will increase the target par
amount to EUR350.0 million from an aggregated target par balance of
270.4 million as of 28-May-21[1]. The Issuer will extend the
reinvestment period to 2.5 years and the weighted average life to
6.0 years. It will also amend certain concentration limits,
definitions including the definition of "Adjusted Weighted Average
Rating Factor" and minor features. The issuer will include the
ability to hold loss mitigation obligations. In addition, the
Issuer will amend the base matrix and modifiers that Moody's will
take into account for the assignment of the definitive ratings.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior loans, second-lien loans, high yield bonds and mezzanine
loans. The underlying portfolio is expected to be approximately 77%
ramped as of the closing date and to comprise of predominantly
corporate loans to obligors domiciled in Western Europe. The
remainder of the portfolio will be acquired prior to the effective
date in January 2022, in compliance with the portfolio guidelines.

Tikehau Capital Europe Limited ("Tikehau") will continue to manage
the CLO. It will direct the selection, acquisition and disposition
of collateral on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
2.5-year reinvestment period. Thereafter, subject to certain
restrictions, purchases are permitted using principal proceeds from
unscheduled principal payments and proceeds from sales of credit
risk obligations and credit improved obligations.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

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.

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

The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

Moody's used the following base-case modeling assumptions:

Target Par Amount: EUR350.0 million

Defaulted Par: None

Diversity Score: 49

Weighted Average Rating Factor (WARF): 3050

Weighted Average Spread (WAS): 3.65%

Weighted Average Coupon (WAC): 4.25%

Weighted Average Recovery Rate (WARR): 44.50%

Weighted Average Life (WAL): 6.00 years



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

FIAT S.P.A: Egan-Jones Withdraws BB Sr. Unsec. Debt Ratings
-----------------------------------------------------------
Egan-Jones Ratings Company, on July 22, 2021, withdrew its 'BB'
foreign currency and local currency senior unsecured ratings on
debt issued by Fiat S.p.A.

Headquartered in Turin, Italy, Fiat S.p.A. manufactures and markets
automobiles, commercial vehicles, and agricultural and construction
equipment.




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

ARES LUSITANI: Fitch Assigns Final B- Rating on Class F Tranche
---------------------------------------------------------------
Fitch Ratings has assigned Ares Lusitani - STC S.A. /Thetis Finance
No. 2 final ratings.

     DEBT               RATING
     ----               ------
Ares Lusitani -- STC / Thetis Finance No.2

A PTLSNLOM0005   LT  AAsf    New Rating
B PTLSNMOM0004   LT  A+sf    New Rating
C PTLSNNOM0003   LT  A-sf    New Rating
D PTLSNOOM0002   LT  BBB-sf  New Rating
E PTLSNPOM0001   LT  BBsf    New Rating
F PTLSNQOM0000   LT  B-sf    New Rating
G PTLSNSOM0008   LT  NRsf    New Rating
X PTLSNROM0009   LT  NRsf    New Rating

TRANSACTION SUMMARY

The transaction is a three-year revolving securitisation of a
portfolio of fully amortising auto loans originated in Portugal by
Banco Credibom, S.A.. Credibom is a specialist lender wholly owned
by CA Consumer Finance (A+/Negative/F1), itself fully owned by
Credit Agricole S.A. (A+/Negative/F1).

KEY RATING DRIVERS

Blended Portfolio Asset Assumptions: The portfolio includes loans
for the acquisition of passenger cars (new and used), motorcycles
and tractors. The share of used cars at the closing date was about
85%, which can increase to 93% during the revolving period. Fitch
has assumed base-case lifetime default and recovery rates of 9.8%
and 50.7%, respectively, for the blended stressed portfolio given
the historical data provided by Credibom, Portugal's economic
outlook, and the originator's underwriting and servicing
strategies.

Revolving and Pro-Rata Amortisation: The portfolio will be
revolving until July 2024 as new eligible receivables can be
purchased by the issuer. After revolving, the class A to G notes
have an initial sequential amortisation period until their credit
enhancement (CE) ratios increase by 20% from their initial levels,
after which they will be repaid pro-rata. A sequential amortisation
event will occur if cumulative defaults on the portfolio exceed
certain thresholds or a principal deficiency ledger (PDL) is
recorded for two consecutive periods.

In Fitch's analysis, the duration of the pro-rata period is limited
given the defined switch to sequential triggers versus projected
defaults. Tail risk is mitigated by a mandatory switch to
sequential amortisation when the portfolio balance is 10% or less
of its initial balance.

Liquidity Mitigates Servicing Disruption: While no back-up servicer
has been appointed at closing date, servicing continuity risk is
mitigated by liquidity in the form of a dedicated cash reserve that
would cover senior costs and interest on the class A to C notes for
about four months, a period Fitch deems sufficient to implement
alternative arrangements if needed.

As the class D to G notes are excluded from this liquidity
arrangement, and their interest payments are deferrable even when
they become the most senior tranche, their maximum achievable
rating is 'A+sf' in accordance with Fitch's rating criteria.

Rating Caps: The maximum achievable rating for this transaction is
'AAsf', which is six notches above the Portuguese sovereign's
Issuer Default Rating (IDR) in accordance with Fitch criteria.
Moreover, this maximum achievable rating is consistent with the
contractually defined minimum 'A-' or 'F1' ratings for the swap
counterparty. The documentation establishes lower eligibility
ratings for the swap counterparty if the most senior class of notes
have lower ratings, which may limit upgrades for mezzanine tranches
once they become the most senior notes.

RATING SENSITIVITIES

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

-- For the class A notes, an upgrade to Portugal's Long-Term IDR
    that could increase the maximum achievable rating for
    Portuguese structured-finance transactions. This is because
    the class A notes are rated at the maximum achievable rating,
    six notches above the sovereign IDR.

-- For the class B to F notes, CE ratio increase as the
    transaction deleverages to fully compensate the credit losses
    and cash flow stresses commensurate with higher rating
    scenarios would result in rating upgrades.

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

-- For the class A notes, a downgrade to Portugal's Long-Term IDR
    that could decrease the maximum achievable rating for
    Portuguese structured-finance transactions.

-- Long-term asset performance deterioration such as increased
    delinquencies or reduced portfolio yield, which could be
    driven by changes in portfolio characteristics, macroeconomic
    conditions, business practices or the legislative landscape.

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 reviewed the results of a third-party assessment conducted on
the asset portfolio information, and concluded that there were no
findings that affected the rating analysis.

Fitch conducted a review of a small targeted sample of the
originator's origination files and found the information contained
in the reviewed files to be adequately consistent with the
originator's policies and practices and the other information
provided to the agency about the asset portfolio.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

ESG CONSIDERATIONS

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

ARES LUSITANI: S&P Assigns CCC (sf) Rating to Cl. F Notes
---------------------------------------------------------
S&P Global Ratings has assigned its credit ratings to Ares Lusitani
- STC, S.A. (Thetis Finance No. 2)'s asset-backed floating-rate
class A to F-Dfrd notes.

S&P's ratings address timely payment of interest and ultimate
payment of principal on the class A to C notes and the ultimate
payment of interest and principal on the class D-Dfrd to F-Dfrd
notes.

Environmental, social, and governance (ESG) factors

S&P said, "Our rating analysis considers a transaction's potential
exposure to ESG credit factors. For the auto ABS sector, we view
the exposure to environmental credit factors as above average,
social credit factors as average, and governance credit factors as
below average. This transaction has higher exposure to governance
credit factors than the auto ABS sector as a result of the
revolving period, as revolving collateral pools may be subject to
deterioration in underwriting or adverse selection. We have
considered this risk to be mitigated given the strict eligibility
criteria and the worst-pool concentration limits during the
revolving period.

"The transaction's above average exposure to environmental credit
factors results from the collateral pool primarily comprising
vehicles with internal combustion engines (ICE), which create
emissions of pollutants including greenhouse gases. We believe that
our stressed recovery rates already capture this risk."

Transaction summary

The pool of assets backing the transaction comprises consumer auto
loans granted to individual Portuguese residents by Banco Credibom
S.A. This transaction is Banco Credibom's second public consumer
ABS securitization in Portugal. We rated the previous transaction,
which has already been redeemed, in 2015.

The originator (Banco Credibom) is 100% owned by CA Consumer
Finance S.A. (A+/Stable/A-1), which in turn is 100% owned by Credit
Agricole S.A. (A+/Stable/A-1). The originator is a leading bank in
the Portuguese consumer lending credit market and belongs to the
Credit Agricole Group, which is one of the largest banking groups
in Europe.

The underlying collateral comprises auto loan receivables
originated by Banco Credibom in its ordinary course of business to
residents of Portugal. The title of the asset remains with Banco
Credibom until the loan is satisfied in full. Nearly 85% of the
portfolio to be securitized comprises used vehicles with the
remaining being new vehicles. Historically this has always been the
product mix of Banco Credibom auto lending in Portugal.

The transaction has a three-year revolving phase, during which the
issuer may add new eligible receivables into the pool as long as
the portfolio conditions are satisfied. Once the revolving period
ends, there is an initial sequential amortization period until the
rated notes' credit enhancement is at least 1.2 times the initial
credit enhancement. Afterwards, the transaction amortizes pro-rata
provided that the sequential redemption events, mainly driven by
the cumulative gross loss ratios, do not take place.

The assets pay a monthly fixed interest rate, and the rated notes
pay one-month EURIBOR plus a margin, subject to a floor of zero. To
mitigate fixed-float interest rate risk, the rated notes benefit
from two interest rate swaps: one for class A and another for class
B to E-Dfrd.

The transaction benefits from an amortizing liquidity reserve fund
to cover any interest shortfalls on senior expenses and the class A
to C notes' interest. At closing, this liquidity reserve was funded
by Banco Credibom. The amortizing liquidity reserve has a fixed
component and a floating component in relation to each of the class
A to C notes outstanding balance.

Credit enhancement to the rated notes is provided by
subordination.

S&P's ratings in this transaction are not constrained by its
operational risk or structured finance ratings above the sovereign
criteria.

The counterparty risk of the issuer bank account provider and swap
provider is mitigated in line with its criteria to support a 'AAA'
and 'AA+' rating, respectively.

The issuer is a Portuguese special-purpose entity, which is
bankruptcy-remote under the Portuguese securitization law. The
legal opinion at closing provides assurance that the sale of the
assets would survive the seller's insolvency. The issuer can fully
redeem the notes if the seller exercises a clean-up call on the
payment date on which the balance of the collateral pool is lower
than 10% of the balance at closing.

  Ratings

  CLASS    RATING     AMOUNT (MIL. EUR)
  A        AA- (sf)     504.0
  B        A- (sf)      100.8
  C        BBB (sf)      75.6
  D-Dfrd   BB- (sf)      50.4
  E-Dfrd   B- (sf)       42.0
  F-Dfrd   CCC (sf)      25.0
  G-Dfrd   NR            42.1
  X        NR             0.1

*S&P's ratings address timely payment of interest and ultimate
payment of principal on the class A, B, and C notes and the
ultimate payment of interest and principal on the other rated
notes.
NR--Not rated.




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

FIRST COLLECTION: S&P Raises Long-Term Issuer Credit Rating to 'B'
------------------------------------------------------------------
S&P Global Ratings raised its long-term issuer credit rating on
First Collection Bureau (FCB), a core subsidiary of FCB Group Ltd.,
to 'B' from 'B-'.

The stable outlook reflects S&P's expectation that the company will
operate with a resilient competitive position and solid
performance, supporting the rating amid a challenging operating
environment and evolving regulatory framework.

FCB's increasingly diversified funding mix, led by material bond
placements and growth in its banking relationships, has solidified
its capital structure and supports growth prospects. The company
has improved its funding base diversification following the
placement of RUB1 billion of bonds in 2020 (about $13 million), and
materially expanding its banking credit lines--with bank lines now
totalling RUB1.5 billion (undrawn at June 30). S&P said,
"Subsequently, we now consider its capital structure more
sustainable when compared with its historical funding mix, which
was characterized by material single-party concentration, which
previously exceeded 70% of total financial liabilities. We also
expect that the improved capital structure will support new
portfolio purchases, which were limited over 2019 and effectively
frozen in first-half 2020--both of which affected revenue growth."

FCB's profitability improved following tight cost control and
decent collections performance. Despite the challenges associated
with COVID-19, the company saw strong operating results in 2020,
with its S&P Global Ratings-adjusted EBITDA margin increasing to
around 50% from 32% a year earlier, in turn driving reported net
income of RUB2.3 billion (about $31 million). This is a more than
tripling from 2019 and reflects the group's significant cost
restructuring as it pivoted its business model, and which the
pandemic accelerated. Key cost reduction initiatives focused on
reducing staff costs, public relations spending, and marketing
expenses. All told, FCB's operating expenses decreased by more than
30% over 2020, which more than offset decent, but slowing,
collections on the back of pandemic and lockdown measures. However,
whether the cost-cutting initiatives were temporary or permanent is
unclear. S&P expects that the company will maintain its EBITDA
margin around the 50% level over the next 12 months, supporting the
rating.

S&P said, "Our financial forecasts for FCB remain sensitive to the
pandemic's evolution and nonperforming loan (NPL) pricing in
Russia.For example, new lockdowns if the pandemic resurges in
Russia would affect our forecast. We also remain cautious in in
terms of NPL pricing in Russia, where loans overdue by less than
two years in the market have grown considerably. These loans are
more expensive, reflecting more favorable collections
features--notably, better client traceability and more efficient
collections procedures. Together, increased collections efficiency
should be offset by the increasingly expensive new portfolio
stock.

"We do not expect further ramifications from the corporate dispute
between Baring Vostok and Bank Vostochny. FCB paid RUB2.55 billion
to the bank in line with the agreement between FCB, Baring Vostok,
and Bank Vostochny at the end of 2020 to settle their corporate
dispute. The resolution of this dispute had a neutral impact on the
company's financial position because FCB funded the payout via a
capital injection from its shareholders. Following the resolution,
latent litigation risks and reputational risks have decreased for
the company, which we consider credit positive.

"Ongoing changes in the regulatory framework could pressure
collections in the medium term. We anticipate that the regulatory
developments for Russian distressed debt purchasers, recent
legislative changes, and new regulatory initiatives could curb
FCB's collections ability and competitive dynamics in the industry.
These initiatives include a ban on interactions with third parties
(primarily borrowers' relatives) without their written consent,
initiatives to protect low-income individuals, and an introduction
of a simplified (out-of-court) bankruptcy procedure for
individuals.

"The stable outlook reflects our expectation that, over the next 12
months, FCB will maintain its competitive position in Russian debt
collection market and resilient operating performance despite the
challenging operating environment and developing regulatory
framework. In our base-case scenario, we assume rising debt
issuance but still-low leverage metrics, with debt to EBITDA below
2x.

"We would consider a negative rating action in the next 12 months
if, contrary to our expectations, the company's operating
performance deteriorates significantly on pandemic-related
pressures, increased competition, or regulatory changes, which will
result in additional pressure on its business risk profile.
Downward pressure could come from tight management of refinancing
risks, in particular, if the company struggles to prefund upcoming
maturities sufficiently in advance and in a predictable way. As
well, a very aggressive ramp-up in portfolio purchases could be a
risk, in our view, because it increases mispricing risk.

"We view a positive rating action as unlikely in the next 12 months
unless FCB's geographical and product diversification and its
business position improve meaningfully relative to those of
peers."


ROSSETI MOSCOW: S&P Affirms 'BB+' Long-Term Ratings
---------------------------------------------------
S&P Global Ratings affirmed its 'BBB-' long-term ratings on
state-controlled Russian electric grid holding company Rosseti PJSC
and its transmission and distribution subsidiary--Federal Grid Co.
of the Unified Energy System (FGC), and its 'BB+' long-term ratings
on Rosseti Moscow Region PJSC (Rosseti Moscow); and Interregional
Distribution Grid Co. of Centre PJSC (IDGC of Center). S&P also
affirmed its short-term ratings on Rosseti at 'A-3' and on IDGC of
Center at 'B'.

The outlooks on all four entities remain stable, reflecting that on
Russia (foreign currency BBB-/Stable/A-3) and the headroom in their
credit metrics.

S&P said, "The regulatory advantage for Russian electricity
transmission and distribution companies has strengthened over the
past years, in our view, given a track record of supportive tariff
decisions contributing to healthy profitability and moderate
leverage, which benefits Rosseti and its subsidiaries. The tariff
design is based on international best practices. The tariff
includes coverage of capital and operating expenditures (capex and
opex), including controllable and noncontrollable costs. The
framework also ensures a return on new investments and existing
capital, and has incentives to support reliability and cost
efficiency. Rosseti group benefits from a stable regulated utility
business, consolidating Russia's largest electricity transmission
and distribution companies. As a result, Rosseti's rated
subsidiaries have reported healthy profitability since 2015, with
EBITDA margins of about 50% at FGC, the transmission system
operator (TSO), and in the 20%-30% range at Rosseti Moscow and IDGC
of Center, the distribution system operators (DSOs). Financial
leverage remains moderate, with FFO to debt of 20%-30% for the DSOs
and 30%-40% at the TSO.

"We have also seen less political interference in the regulatory
framework for electricity utilities than in the past, and don't
expect any materially harmful impact from regulation on Rosseti
group. In our view, regulatory bodies are not completely insulated
from political interventions. The Russian government has a track
record of intervening in the tariff-setting process to achieve
broader policy goals, as indicated by the 2014 tariff freeze.
However, since then, we have seen limited political interference on
electricity utilities' tariffs. Despite the economic challenges
from the COVID-19 pandemic, the July 2020 and July 2021 tariff
adjustments proceeded as planned. There were no negative revisions
to the regulatory return on invested capital or indexation rates,
and the regulator confirmed that it would maintain remuneration
levels even if grids fell up to 10% short on their approved
investment plans in 2020 due to the pandemic. We think that
existing flexibility in capex will help the grids offset the
potentially negative effect from macroeconomic and regulatory
pressures. We therefore revise upward our assessment of regulatory
advantage for Russian electricity networks to adequate from
adequate/weak, previously.

"A more supportive Russian regulatory framework underpins our
overview that the business risk profiles of Rosseti and its three
subsidiaries have strengthened, along with their stand-alone
creditworthiness. We revised upward by one notch our stand-alone
credit profiles (SACPs) for Rosseti, FGC, IDGC of Center, and
Rosseti Moscow. This does not result in upgrades though. The
ratings on Rosseti and FGC are already at the sovereign rating
level, and we do not expect to rate any of Rosseti's companies
above the sovereign due to exposure of the group's business to
Russia. We rate Rosseti Moscow and IDGC of Center one notch below
the rating on their parent, in line with our group rating approach,
until their stand-alone qualities improve and reach the Rosseti's
level.

"Despite our expectation of the group's elevated capex in the next
two-to-three years (primarily at FGC), existing state support and a
significant cushion in financial metrics limit downside prospects
for the group.Rosseti's capex program is largely determined by the
Russian government's focus on economic development through national
projects, including the digitalization and electrification of grid
infrastructure, such as the Baikal-Amur-Trans-Siberian railway
(BAM). Despite sizable capex, including strategic national
projects, primarily at FGC, and the digitalization of electricity
grids, we expect that Rosseti and its rated subsidiaries will
maintain credit metrics commensurate with current ratings."

Rosseti

S&P said, "Rosseti's performance has proven relatively resilient to
the effects of the COVID-19 pandemic on the back of tariff uplift
and capex flexibility, and we expect it will maintain credit
metrics in line with its 'bb+' SACP. We forecast the group will
perform solidly with consolidated metrics of funds from operations
(FFO) to debt of 30%-35% in 2021-2022, compared with 35% in 2020.
We think that, compared with FGC, all DSOs are more exposed to ad
hoc decisions of local regulators, which could be not consistent
across all distribution subsidiaries, and factor this in our
assessment of Rosseti's 'bb+' SACP.

"Our stable outlook on Rosseti reflects that on Russia, and our
expectation of a high likelihood of extraordinary government
support. We expect Rosseti will maintain FFO to debt of about
30%-35% and debt to EBITDA below 2.5x, which are comfortable for
the 'BBB-' rating and 'bb+' SACP. We expect Rosseti will retain a
comfortable debt maturity profile and sizable liquidity reserves.
However, we note that discretionary cash flow (DCF) is negative due
to working capital outlays, material capex, and an expected
increase in dividend payments from 2021. In our base-case scenario,
we do not include any material changes to the group's consolidated
structure, such as minority shareholder buyouts or material
acquisitions.

"We would consider upgrading Rosseti if we upgraded Russia, and our
assessment of Rosseti's SACP remains least at 'bb+'.

"If we revised our assessment of Rosseti's SACP to 'bbb-', this
would not trigger an upgrade, all else being the same.

"Rating downside is limited. It could stem from a sovereign
downgrade, since we do not expect to rate Rosseti above the
sovereign given the group's business focuses on Russia.
Furthermore, Rosseti's link with the government is very strong,
implying risks of negative government intervention in a sovereign
stress scenario.

"We could also consider lowering the rating if Rosseti's SACP
deteriorated by two or more notches, owing to less-than-adequate
liquidity or weaker financial performance. We see this scenario as
unlikely given the material headroom for higher capex, dividends,
or acquisitions."

Federal Grid Co

S&P said, "Despite our expectation of increased capex for the BAM-2
project, we believe FGC will maintain credit metrics in line with a
'bbb-' SACP, given that higher investments are mostly offset by the
supporting tariff parameters until 2024.FGC's regulator, Federal
Antimonopoly Service, prolonged the previous regulatory period
until 2024 (previously ending 2020) with the same parameters.
Annual tariff indexation of 5.5% and a weighted average cost of
capital of 10% are supportive for the leverage metrics and
profitability (historically higher than DSOs'). We asses additional
investments for BAM-2 at Russian ruble (RUB) 20 billion-RUB30
billion per year, bringing total S&P Global Ratings-adjusted capex
to RUB130 billion-RUB140 billion annually (excluding value added
tax), and FFO to debt to 30%-35% in 2021-2022, compared with actual
capex of RUB92 billion and FFO to debt of 43% in 2020. Still, we
understand that given the strategic importance of the BAM-2
project, FGC might receive some state support or compensation, not
currently included in our base case.

"Our stable outlook on FGC reflects that on its parent Rosseti PJSC
and Russia, as well as our expectation of the company's solid
stand-alone performance and liquidity. We expect FGC's FFO to debt
will drop to 30%-35% in 2021-2022 from 43% in 2020, due to expected
investments in BAM-2 started in second-quarter 2021. We believe its
credit metrics will remain commensurate with the 'BBB-' rating and
'bbb-' SACP. We believe that FGC will likely use proceeds from the
sale of a 10% stake in InterRAO to fund increased investments.

"Given FGC's core status to the Rosseti group and close
integration, we see upside and downside prospects as limited.

"Rating upside would likely result from a sovereign upgrade and the
respective upgrade of the parent, Rosseti. If we revised upward our
assessment of FGC's SACP, this would not result in a positive
rating action, given its core status to the group, all else being
the same.

"A downgrade of FGC's parent Rosseti, although not expected at this
stage, could pressure the rating on FGC, due to FGC's increasing
integration with its parent."

IDGC of Center

S&P said, "We expect IDGC of Center will post credit metrics in
2021-2022 commensurate with a 'bb+' SACP, with FFO to debt of
27%-32% on the back of moderate capex of RUB13 billion-RUB16
billion annually and dividends at 50% of net income.Our assessment
of the company's SACP is also underpinned by an improvement in its
business risk profile that reflects a track record of supportive
tariff regulation. Still, in our view, regional distribution grids
like IDGC of Center are more exposed to the ad hoc decisions of
local regulators than the transmission grid, and could be forced to
take on the function of a supplier of last resort, which we see as
more risky than distribution operations.

"The stable outlook reflects our expectations of solid financial
metrics, with FFO to debt of about 27%-32% in 2021-2022. We
forecast that the company will be able to continue investments with
no material external borrowings. The recent investments will
support opex efficiency. Furthermore, we don't expect material
weakening of Rosseti's credit quality or its policy of support for
subsidiaries.

"We expect IDGC of Center will generate neutral DCF in our base
case, due to planned capex and expected dividends at 50% on net
income. We don't anticipate material changes in the company's
structure, such as the merger with sibling entity IDGC of Centre
and Volga Region, despite overlaps in the companies' management
teams.

"We would consider raising the ratings if we revised upward our
assessment of the company's SACP to 'bbb-', for example because of
much stronger operating performance, or substantial debt reduction
resulting in FFO to debt sustainably above 35%. In addition to SACP
improvement, the upgrade would hinge on management's commitment to
maintain the rating, prudent liquidity, and an adequate financial
policy.

"We would likely upgrade IDGC of Center if we raise our sovereign
rating on Russia and, respectively, on the parent, Rosseti.

"A downgrade of Russia or Rosseti by one notch would not
necessarily lead us to downgrade of IDGC of Center. Pressure on the
rating from deterioration in the company's stand-alone
creditworthiness is unlikely over the next two-to-three years. If
we revised our assessment of its SACP to 'bb', this would not
result in a negative rating action due to existing group support,
all else being the same."

Rosseti Moscow Region

S&P said, "We expect that higher capex in 2021-2022 of RUB25
billion-RU26 billion annually (net of connections), up from RUB19
billion in 2020, will likely result in Rosseti Moscow's DCF being
moderately negative; however tariff indexation up by 2.5% will
support stable performance with FFO to debt of 26%-31% in 2021-2022
(28% in 2020).As for IDGC of Center, we think distribution grid
Rosseti Moscow is more exposed to the ad hoc decisions of the local
regulator than the transmission grid and report relatively lower
profitability, which we factor in our assessment of its 'bb+'
SACP.

"The stable outlook on Rosseti Moscow reflects our expectation that
the company will maintain FFO to debt of about 26%-31% in
2021-2022. We also expect that its financial policy regarding
dividends and liquidity management will remain prudent; we expect
Rosseti Moscow to proactively address upcoming maturities and
retain a portfolio of committed lines. The stable outlook also
assumes no sharp increase in investment plans and no weakening in
Rosseti's credit quality and its policy of support for
subsidiaries."

S&P would upgrade Rosseti Moscow if it raised the rating on its
parent Rosseti. Alternatively, S&P could upgrade Rosseti Moscow
if:

-- S&P revised its assessment of its SACP to 'bbb-', for example
as result of much stronger operating performance, or a material
debt reduction, with FFO to debt sustainably above 35%;

-- Its liquidity remains at least adequate; and

-- Management commits to maintain a higher rating with supportive
financial policies in place.

There are limited downside risks. A downgrade of Russia or Rosseti
by one notch would not automatically lead us to downgrade Rosseti
Moscow. Similarly, if S&P revised downward its assessment of its
SACP by one notch to 'bb', it will not result in a negative rating
action due to existing group support, all else being the same.


ROZNICHNOYE I: Bank of Russia Ends Provisional Administration
-------------------------------------------------------------
On July 15, 2021, the Bank of Russia terminated activity of the
provisional administration appointed to manage Roznichnoye i
Korporativnoye Strakhovaniye Limited liability Company
(hereinafter, the insurer), according to the Bank of Russia's Press
Service.

The provisional administration established facts of
operations/transactions conducted to withdraw the insurer's liquid
assets (property) and recognition of cash funds that were not
actually available in its accounting records.

The provisional administration filed a relevant complaint to the
law enforcement agencies regarding the facts detected.

The provisional administration carried out analysis of the
insurer's financial standing and revealed that it lacked sufficient
property (assets) to fulfil all its obligations to its creditors
and make mandatory payments.

On July 15, 2021, the Arbitration Court of Moscow recognized the
insurer as insolvent (bankrupt) and initiated a bankruptcy
proceeding against it.  The State Corporation Deposit Insurance
Agency was appointed as a receiver.

More details about the work of the provisional administration are
available on the Bank of Russia website.

Settlements with the insurer's creditors will be made in the course
of the bankruptcy proceeding as its assets are sold (enforced).
The quality of these assets is the responsibility of the insurer's
former management and owners.

The provisional administration was appointed by virtue of Bank of
Russia Order No. OD-2175, dated December 25, 2020, due to the
revocation of insurance licenses of the insurer.




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

AYT KUTXA II: Fitch Affirms B- Rating on Class C Tranche
--------------------------------------------------------
Fitch Ratings has taken multiple rating actions on two Spanish AyT
Kutxa Hipotecario RMBS transactions, including an upgrade and two
Outlook revisions to Stable.

        DEBT                 RATING           PRIOR
        ----                 ------           -----
AyT Kutxa Hipotecario I, FTA

Class A ES0370153001   LT  AA+sf  Affirmed    AA+sf
Class B ES0370153019   LT  A+sf   Affirmed    A+sf
Class C ES0370153027   LT  BB+sf  Affirmed    BB+sf

AyT Kutxa Hipotecario II, FTA

Class A ES0370154009   LT  AAAsf  Affirmed    AAAsf
Class B ES0370154017   LT  A+sf   Upgrade     Asf
Class C ES0370154025   LT  B-sf   Affirmed    B-sf

TRANSACTION SUMMARY

The transactions are static securitisations of Spanish residential
mortgages originated and serviced by Kutxabank (BBB+/Stable/F2).

KEY RATING DRIVERS

Stable Performance

The affirmations, upgrade, resolution of the Rating Watch Positive
(RWP) and revision of Outlooks to Stable, reflect broadly stable
asset performance outlook driven by a low share of loans in payment
moratoria schemes (3.1% and 4% of the current portfolio balances
(CPB) for Kutxa I and Kutxa II respectively as of April 2021). The
rating actions also factor in the low share of loans in arrears
over 90 days (below 1.1% of CPB) and the improved macro-economic
outlook for Spain as described in Fitch's latest Global Economic
Outlook dated June 2021.

Removal of Additional Stresses

The rating actions reflect the removal of the additional stresses
in relation to the coronavirus outbreak and legal developments in
Catalonia as announced on 22 July 2021.

Rising Credit Enhancement (CE)

The rating actions also reflect Fitch's view that the
securitisation notes are sufficiently protected by CE to absorb the
projected losses that are commensurate with the current and higher
rating scenarios. Fitch expects structural CE to continue
increasing for the senior notes due to sequential amortisation of
the notes.

The transactions have limited gross excess spread due to
interest-rate swaps, which operate non-floored receiving rates.
Under the swaps, the SPVs pay actual interest received from the
performing mortgages and receive 3m Euribor plus a margin of 50bp
and 40bp in Kutxa I and II, respectively. Fitch views current and
projected CE protection sufficient to compensate this structural
feature, and compatible with today's rating actions.

Regional Concentration

The portfolios are highly exposed to the Basque Country region in
Spain. Within Fitch's credit analysis, and to address regional
concentration risk, higher rating multiples are applied to the base
foreclosure frequency assumption to the portion of the portfolios
that exceeds 2.5x the population within these regions, in line with
Fitch´s European RMBS Rating Criteria.

Payment Interruption Risk Mitigated

Fitch deems payment interruption risk on the notes as sufficiently
mitigated in both transactions in the event of a servicer
disruption. Fitch deems the available liquidity protection (cash
reserves that could be depleted by losses) as sufficient to cover
stressed senior fees, net swap payments and senior note interest
due amounts until an alternative servicer arrangement is
implemented.

RATING SENSITIVITIES

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

-- Kutxa II class A notes are rated at the highest level on
    Fitch's scale and cannot be upgraded.

-- Increases in CE ratios as the transactions deleverage to fully
    compensate the credit losses and cash flow stresses that are
    commensurate with higher rating scenarios, in addition to
    adequate counterparty arrangements.

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

-- For Kutxa II class A notes, a downgrade to Spain's Long-Term
    Issuer Default Rating (IDR) that could decrease the maximum
    achievable rating for Spanish structured-finance transactions.
    This is because these notes are rated at the maximum
    achievable rating, six notches above the sovereign IDR

-- Long-term asset performance deterioration such as increased
    delinquencies or larger defaults, which could be driven by
    changes to macroeconomic conditions, interest-rate increases
    or borrower behaviour.

-- Long-term negative Euribor rates that affect excess spread,
    especially for the class C notes of both transactions as they
    are only protected by their respective reserve funds.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

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.

CAIXA PENEDES 1: Fitch Raises Class C Notes Rating to 'BB+'
-----------------------------------------------------------
Fitch Ratings has upgraded Caixa Penedes 1 TDA, FTA's class A and C
notes and affirmed the class B notes. The class A notes have been
removed from Rating Watch Positive (RWP). Fitch has also affirmed
TDA 19 - MIXTO, FTA and TDA Cajamar 2, FTA.

       DEBT                   RATING          PRIOR
       ----                   ------          -----
Caixa Penedes 1 TDA, FTA

Class A ES0313252001    LT  A-sf   Upgrade    BBB+sf
Class B ES0313252019    LT  BBBsf  Affirmed   BBBsf
Class C ES0313252027    LT  BB+sf  Upgrade    BBsf

TDA Cajamar 2, FTA

Class A3 ES0377965027   LT  AAAsf  Affirmed   AAAsf
Class B ES0377965035    LT  AAAsf  Affirmed   AAAsf
Class C ES0377965043    LT  AAAsf  Affirmed   AAAsf
Class D ES0377965050    LT  A+sf   Affirmed   A+sf

TDA 19 - MIXTO, FTA

Class A ES0377964004    LT  AAAsf  Affirmed   AAAsf
Class B ES0377964012    LT  AAAsf  Affirmed   AAAsf
Class C ES0377964020    LT  AAAsf  Affirmed   AAAsf
Class D ES0377964038    LT  A+sf   Affirmed   A+sf

TRANSACTION SUMMARY

The transactions comprise residential mortgages serviced by Banco
Sabadell, S.A. (BBB-/Stable/F3) and Caixabank S.A
(BBB+/Negative/F2) for Penedes, BBVA (BBB+/Stable/F2) and Grupo
Cooperativo Cajamar (NR) for TDA 19 and Cajamar Caja Rural,
Sociedad Cooperativa de Crédito (NR), for Cajamar 2.

KEY RATING DRIVERS

Stable Asset Performance: The rating actions on Penedes' class A
notes were mainly driven by the removal of the Covid-19-related
additional stresses that had been applied since July 2020 and the
legal developments in Catalonia. The upgrade of Penedes' class C
notes was also driven by the positive credit enhancement (CE)
trend.

The affirmations of TDA 19 - Mixto and Cajamar 2, and the rating
actions taken on Penedes, reflect the transactions' stable asset
performance. The share of loans in payment holiday schemes is low
(ranging between 0.0% and 1.8% of the current portfolio balances
(CPB) as of the latest reporting periods), as is the share of loans
in arrears over 90 days (approximately 0.1% of the CPB). Fitch's
outlook for Spanish residential mortgages is broadly stable
following its revised macro-economic outlook for Spain (see Fitch's
latest Global Economic Outlook dated June 2021).

The rating actions also reflects the removal of the additional
stresses applied since July 2020 in relation to the coronavirus
outbreak. Fitch considers the stresses included in its current
criteria assumptions to be sufficient to account for the remaining
uncertainty of the pandemic.

CE Trends: The affirmations and upgrades reflect Fitch's view that
the notes are sufficiently protected by CE to absorb the projected
losses commensurate with prevailing rating scenarios. The
transactions benefit from non-amortising reserve funds, either due
to the breach of performance triggers or because they have already
reached their floor. Fitch expects CE ratios to slightly increase
for Penedes and Cajamar 2 due to the prevailing pro-rata
amortisation. Fitch expects pro-rata note amortisation will
continue until the portfolio factor falls below 10% threshold
(currently 16% and 12% for Penedes and Cajamar 2, respectively).
For TDA 19, the current portfolio factor is 8.2%. The transaction
amortises sequentially and CE ratios will continue to increase.

Junior Ratings Capped by Counterparty Risks: TDA 19 and Cajamar 2's
class D notes' ratings are capped at the issuer account bank
provider's rating (BNP Paribas Securities Services;
A+/Negative/F1), as the only source of structural CE for these
classes is the reserve fund held at the account bank. The Negative
Outlooks on the notes reflect that on BNP Paribas Securities
Services. The rating cap reflects the excessive counterparty
dependency on the SPV account bank holding the cash reserves, as
per Fitch's Structure Finance and Covered Bonds Counterparty Rating
Criteria. The sudden loss of these amounts would imply a downgrade
of 10 or more notches of the notes.

TDA 19 and Cajamar 2's class C notes are currently not affected by
the excessive counterparty risk, but could be exposed subject to CE
developments.

Portfolio Risky Attributes: The portfolios include loans to
self-employed borrowers (in the range of 10.7% and 16.3% of current
balances). Fitch considers these loans riskier due to income
volatility and they are subject to a foreclosure frequency
adjustment of 70%.

The portfolios are exposed to geographic concentration risk, mainly
to the regions of Catalonia (Penedes and TDA 19) and Murcia
(Cajamar 2 and TDA 19). Fitch has applied a higher set of rating
multiples to the base foreclosure frequency assumption to the
portion of the portfolios that exceed 2.5x the population within
these regions.

ESG Considerations - Governance

Penedes has an Environmental, Social and Governance (ESG) Relevance
Score of '4' for Transaction & Collateral Structure due to loan
modifications after transaction closing that introduced interest
rate risk, which has a negative impact on the credit profile, and
is relevant to the rating in combination with other factors.

RATING SENSITIVITIES

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

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

-- For Penedes, the introduction of an interest rate hedging
    agreement that mitigates the open interest rate risk as
    liabilities pay a floating coupon rate linked to three-month
    Euribor, but around 31% of the underlying mortgages pay a
    fixed interest rate.

-- Cajamar 2 and TDA 19's class D notes' ratings are capped at
    the SPV account bank provider rating. An upgrade of the
    account bank rating could trigger a corresponding upgrade of
    these notes' ratings.

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

-- Cajamar 2 and TDA 19's class D notes' ratings are capped at
    the SPV account bank provider rating. A downgrade of the
    account bank rating could trigger a corresponding downgrade of
    these notes' ratings.

-- Cajamar 2 and TDA 19 class C notes' ratings could be
    downgraded if the proportion of CE coming solely from the
    reserve fund that is held at the SPV account bank materially
    increases from current levels. In this scenario, the notes'
    ratings would be capped at the SPV account bank provider
    rating.

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

Caixa Penedes 1 TDA, FTA, TDA 19 - MIXTO, FTA, TDA Cajamar 2, FTA

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

Fitch did not undertake a review of the information provided about
the underlying asset pools ahead of the transactions' [Caixa
Penedes 1 TDA, FTA, TDA 19 - MIXTO, FTA, TDA Cajamar 2, FTA]
initial closing. The subsequent performance of the transaction[s]
over the years is consistent with the agency's expectations given
the operating environment and Fitch is therefore satisfied that the
asset pool information relied upon for its initial rating analysis
was adequately reliable.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

For Caixa Penedes 1, because the loan-by-loan portfolio data
sourced from the European Data Warehouse did not include
information about "Occupancy Type", "Foreign National" and
"Restructuring Agreement", Fitch assumed all loans were "no data"
and did not apply any additional FF adjustments to such loans.
Fitch views the ResiGlobal model output of this transaction to
adequately capture the risky attributes of the portfolio.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

TDA 19 - Mixto and TDA Cajamar 2 class D notes' ratings are capped
at the issuer account bank provider's rating (BNP Paribas
Securities Services) because they are exposed to an excessive
counterparty dependency risk.

ESG CONSIDERATIONS

Caixa Penedes has an Environmental, Social and Governance (ESG)
Relevance Score of '4' for Transaction & Collateral Structure due
to loan modifications after transaction closing that introduced
interest rate risk, which has a negative impact on the credit
profile, and is relevant to the rating in combination with other
factors.

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

IM CAJAMAR 6: Moody's Hikes Rating on EUR62.4MM Cl. D Notes to Ba3
------------------------------------------------------------------
Moody's Investors Service has upgraded and affirmed the ratings of
Notes in IM CAJAMAR 6, FTA and TDA 23, FTA, RMBS transactions. The
upgrades reflect the better than expected collateral performances
and increased levels of credit enhancement for the affected Notes

Issuer: IM CAJAMAR 6, FTA

EUR1836.2M Class A Notes, Upgraded to Aa1 (sf); previously on Jun
29, 2018 Upgraded to Aa2 (sf)

EUR31.2M Class B Notes, Upgraded to A1 (sf); previously on Jun 29,
2018 Upgraded to A3 (sf)

EUR19.5M Class C Notes, Upgraded to Baa1 (sf); previously on Jun
29, 2018 Affirmed Ba1 (sf)

EUR62.4M Class D Notes, Upgraded to Ba3 (sf); previously on Jun
29, 2018 Affirmed B3 (sf)

Issuer: TDA 23, FTA

EUR837.2M Class A Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR16.3M Class B Notes, Upgraded to Aa1 (sf); previously on Jun
29, 2018 Upgraded to Aa2 (sf)

EUR6.5M Class C Notes, Upgraded to A3 (sf); previously on Jun 29,
2018 Upgraded to Baa2 (sf)

The maximum achievable rating is Aa1 (sf) for structured finance
transactions in Spain, driven by the corresponding local currency
country ceiling of the country.

RATINGS RATIONALE

The upgrades of the ratings of the Notes are prompted by the better
than expected collateral performances and increase in credit
enhancements for the affected tranches. For instance, cumulative
defaults have remained largely unchanged in the past year, below
are the exact figures for each transaction:

(i) IM CAJAMAR 6, FTA, to 8.17% from 8.08%.

(ii) TDA 23, FTA, to 5.13% from 5.11%.

Moody's affirmed the rating of the Class of Notes that had
sufficient credit enhancement to maintain its current rating.

Key Collateral Assumption Revised

As part of the rating actions, Moody's reassessed its lifetime loss
expectations and recovery rates for the portfolios reflecting their
collateral performances to date.

Moody's revised its expected loss assumptions as follows:

(i) IM CAJAMAR 6, FTA, to 4.52% from 5.40%.

(ii) TDA 23, FTA, to 1.94% from 2.74%.

All as a percentage of the original pool balance for each
transaction.

Moody's has also assessed loan-by-loan information as a part of its
detailed transaction review to determine the credit support
consistent with target ratings levels and the volatility of future
losses. As a result, Moody's has revised the MILAN CE assumptions
of each transaction as follows:

(i) IM CAJAMAR 6, FTA, to 9.0% from 15.0%.

(ii) TDA 23, FTA, remains 9.0%, unchanged.

The significant reduction of the MILAN CE of IM CAJAMAR 6, FTA is
driven by the stable pool performance since 2015, comparable to
pools of similar transactions, Moody's belief that loans with weak
credit quality have already defaulted and observation that the pool
remains resilient in spite of the COVID pandemic.

PRINCIPAL METHODOLOGY

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 or circumstances that could lead to an upgrade of the
ratings include: (i) performance of the underlying collateral that
is better than Moody's expected; (ii) an increase in the Notes'
available credit enhancement; (iii) improvements in the credit
quality of the transaction counterparties; and (iv) a decrease in
sovereign risk.

Factors or circumstances that could lead to a downgrade of the
ratings include: (i) an increase in sovereign risk; (ii)
performance of the underlying collateral that is worse than Moody's
expected; (iii) deterioration in the Notes' available credit
enhancement; and (iv) deterioration in the credit quality of the
transaction counterparties.

LEVIATHAN BOND: S&P Affirms 'BB-' Rating on Senior Secured Notes
----------------------------------------------------------------
S&P Global Ratings affirmed its 'BB-' rating on Leviathan Bond
Ltd's senior secured notes, with the recovery rating remaining at
'1', indicating its expectation of 90% recovery (down from 95%) in
the event of a default.

The stable outlook reflects S&P's expectation of solid operational
performance coupled with stable exports to Egypt and Jordan.

The Leviathan field is an offshore gas field located in the eastern
Mediterranean, discovered in 2010, and is the largest natural gas
reserve in Israel. Situated offshore Israel, approximately 120
kilometers (km) West of Haifa with a water depth of 1.7 km;
currently supplying gas to Israel, Egypt, and Jordan. According to
a reserve report prepared by the independent engineering
consultant, Netherland, Sewell, & Associates Inc. (NSAI), the field
has proven developed producing reserves (1P) totaling 12,111.1
billion cubic feet (BCF) of gas and 26.6 million barrels (MMbbl) of
condensate oil as of March 31 2021, and an annual capacity of 12
billion cubic meters (BCM).

The rights to explore and produce petroleum and gas in the
Leviathan field were granted, proportionally, to Delek Drilling
(45.34%), Chevron Mediterranean Ltd. (Chevron Mediterranean;
39.66%), and Ratio Oil Exploration (15.00%) under a production
lease until February 2044, which may be extended by up to an
additional 20 years in case the partners continue to produce from
the Leviathan field. (The Chevron Mediterranean contract was
originally signed with Dolphinus Holding Ltd., and it was novated
in favor of Blue Ocean Energy June 26, 2020.) The operations and
associated infrastructure are defined under a joint operating
agreement (JOA) among the three parties in the respective
proportions in the Leviathan lease. The operations of the field are
performed by Chevron Mediterranean under the terms defined in the
Leviathan lease and JOA.

S&P said, "Given these unique characteristics, we rate the project
based on our Principles Of Credit Ratings. In particular, we have
assessed the cash flow coverage according to Delek Drilling's
45.34% working interest and the JOA. The latter defines that
operating committee proposals need to reach at least a 60% approval
by the vote of two non-affiliate partners. Whereas there's no
majority control by any party, we view the risk of Delek Drilling
having a non-controlling stake as mitigated by this voting
procedure, because decisions can't be made without its vote. As
such, the repayment of the notes will consist of the pro rata
revenue stream from the sale of gas and condensate produced at the
field. We also acknowledge the risk of having Delek Drilling as
part of the project under the sponsor loan. But we don't limit the
rating on the notes to the credit quality of Delek Drilling, since
we see cross-default mitigation in the project's structure and the
risk of default under the JOA as remote at this stage.

The Leviathan field closed long-term gas sales purchase agreements
(GSPA) totals approximately 10 BCM per year (85% of production
capacity) until around 2035. Currently, 50%-55% of the Leviathan
field's gas sales in 2021 are expected to be for National Electric
Power Co. (Nepco) in Jordan and to Blue Ocean Energy in Egypt, and
the rest in Israel. However, S&P expect under its base case that
sales to Egypt and Jordan will increase as a share of total gas
sales.

Strengths

The Leviathan field has minimal resource risk, with 1P reserves
sufficient to cover production capacity for over 30 years,
according to information provided under a reserve report prepared
by NSAI.

An experienced and global player will undertake the operations of
the asset. Chevron Mediterranean has been operating a similar
project in the adjacent field (Tamar) successfully since 2013,
which S&P views as credit positive. This underlines its view of
stable production and low operating cost (below 10% of revenue).

Risks

S&P said, "Despite a high contracted revenue base, we expect the
project will remain exposed to market risk, which introduces some
cash flow volatility. About 85% of the gas sales benefit from
long-term GSPA with minimum take-or-pay volumes at a fixed price,
floor price, and escalating price depending on Brent or the
domestic electricity production tariff (depending on the type of
agreement). Nevertheless, because we assess the credit quality of
only 40% of the contracted capacity, for the remaining 60%, we
assume that gas is sold in the merchant market throughout the
project's life, making expected cash flows available for debt
service more volatile throughout the debt's term."

Each note series has a bullet payment for the respective maturities
in 2023, 2025, 2027, and 2030, increasing the refinancing risk to
the project. This risk is partly offset, in our view, by the debt
payment fund and the principal reserve fund, which starts to be
funded 12 months before the maturity of each series, and is limited
at $150 million and the very long reserve tail.

Default by Delek Drilling under the JOA might cause an interruption
of cash flows to the project, if not cured. S&P assesses this risk
as remote because its analysis of the base- and downside-case
scenarios considers that Delek Drilling has already performed all
required payments in respect of the current stage of development of
the Leviathan project and does not have any material outstanding
liabilities.

Natural gas prices continue to rebound from unusually low levels in
2020. Economic reopening and strong global liquefied natural gas
(LNG) demand have led to a rebound of global natural gas prices.
S&P is revising its long-term assumption on the uncontracted gas
sales for Leviathan--which is lower than the current contracted
prices and current prices elsewhere in the region--to $3.0 per
million British thermal unit (/MMBTU) from $2.5/MMBTU.

Leviathan has successfully completed the first year and a half in
operation. Leviathan delivered its first gas to the Israeli
domestic market in December 2019 and has exported to Egypt and
Jordan since it started operating. Since then, operations have been
stable and in line with expectations, despite the challenges
brought by the pandemic and armed conflict at Gaza.

S&P said, "We view exports to Egypt and Jordan as the main risk. We
view the Egyptian and Jordanian markets as key for the Leviathan's
economic feasibility, since the project, in our view, cannot switch
its gas supply to other countries. Israel became a gas exporter
when Leviathan started operating and, absent a material increase in
local demand, which would take years, could not absorb the gas that
Leviathan currently sells to Egypt and Jordan. Israel does not have
liquefaction plants to export gas directly, and the current
pipeline networks connect Israel only with Egypt and Jordan. For
this reason, our rating in Leviathan is limited by the weighted
average long-term rating on Egypt ('B') and Jordan ('B+') plus two
notches."

Higher gas production in East Mediterranean could increase market
competition over the long-term. The start of Leviathan's operations
converted Israel into a gas exporter. In addition, and over the
long term, potential new developments in the East Mediterranean, or
increased production capacity of existing projects could
potentially convert the region into a gas export hub. Egypt already
benefits from relevant gas field developments that could increase
in the future, and Jordan has some oil shale reserves. S&P factors
this risk into our rating by assuming in its base case a $3.0/MMBTU
price for uncontracted sales, which is well below the current
contracted price.

S&P said, "We assume that 60% of gas produced will be dispatched in
the market. We lack visibility on the quality of this cash flow
because around 60% of the offtakers (we exclude all volume sold to
Blue Ocean Energy under its respective contract) are not rated or
do not publicly share sufficient financial information for us fully
assess their credit standing. As such, we only consider the GSPA of
40% of the contracted capacity to the offtakers that we were able
to assess (including the portion sold to Nepco), and view the
remainder as exposed to market risk under our analysis.

"The stable outlook reflects our assessment that Leviathan's
operations are unlikely to encounter substantial setbacks, and that
the project has contracted a reasonable proportion of its
production capacity with floor prices. Given the bullet nature of
the notes, we expect the project to generate debt service coverage
ratios (DSCRs) above 3.0x in the next two years. The stable outlook
reflects our expectation of stable gas exports to Jordan and
Egypt."

Downside scenario

S&P said, "We could lower the rating if operations come up against
production issues, resulting in lower uptime and higher operating
costs, reducing the minimum DSCR below 1.4x. In addition, we could
revise our gas price assumption if conditions in the oil and gas
industry deteriorate, complicating the project's ability to sell
its production capacity at favorable prices, leading to lower cash
flows and higher refinancing risk. We could also lower the rating
if gas exports to Egypt or Jordan were not stable or at risk of
disruption. A negative rating action could be triggered by a
decline in the weighted average rating on Egypt and Jordan.

"In addition, we could lower the rating if the partners of the
field were to engage in aggressive expansion commitments, which
could reduce the net cash flows for the repayment of the notes, and
result in extraordinary obligations of Delek Drilling to pay its
participating interest in related joint account expenses."

Upside scenario

S&P said, "We view an upgrade as unlikely, since that would require
substantial strengthening of Leviathan's stand-alone profile (SACP)
coupled with an improvement on the creditworthiness of the
counterparties that currently cap the rating. We could revise
upward our SACP assessment if the project sells its remaining
capacity to counterparties of stronger creditworthiness, reducing
its market risk exposure and enhancing the blended-average credit
quality of its revenue stream, which could reduce risks and might
raise the minimum DSCR toward 1.70x."

Operational performance has remained solid since the beginning of
operations. The project started operating in December 2019, and has
posted strong performance since then--with operational uptime in
2021 of about 99%.

Noble Inc. is now a wholly owned subsidiary of Chevron Corp. On
Oct. 5, 2020, Chevron Corp. announced the completion of the merger
with Noble Energy Inc., the parent company of Noble Energy
Mediterranean Ltd., the operator of Leviathan. Noble Energy
Mediterranean Ltd. changed its name to Chevron Mediterranean Ltd.
June 28, 2020.

TENDAM BRANDS: S&P Alters Outlook to Stable, Affirms 'B' ICR
------------------------------------------------------------
S&P Global Ratings revised its outlook on Madrid-based fashion
retailer Tendam Brands to stable from negative, and affirmed its
long-term issuer credit rating at 'B'. S&P also affirmed its 'BB-'
issue rating on the group's senior secured revolving credit
facility (RCF) and 'B' issue rating on its senior secured notes
with fixed and floating rates.

S&P said, "The stable outlook reflects our expectation of revenue
growth above 30% with an EBITDA margin gradually recovering to
pre-pandemic levels and healthy free operating cash flow (FOCF)
over the next 12 months. We expect adjusted debt to EBITDA
(leverage) will drop below 5.0x, EBITDAR interest coverage of about
1.7x, and reported FOCF after lease payments of EUR20 million-EUR30
million."

Although Tendam's revenue and EBITDA suffered from the pandemic,
the group managed to contain its cash burn. Tendam experienced
material business disruption in fiscal 2021 from the pandemic and
related social distancing measures, with all of the major lockdowns
to date occurring in a single fiscal year. Sales declined 34.5% or
17.7% on a like-for-like basis; the difference is due to on-going
portfolio optimization leading to the closure of about 86 directly
operated store and about 60 franchises and corners as well as the
lockdown-related closures. The impact of the pandemic was uneven
across brands though: Cortefiel was heavily affected, due to formal
wear making up more of its collections and the higher age of its
customers; however, Women'secret, showed higher resilience due to
its focus on loungewear. The group mitigated the impact on its
earnings by actively managing its cost structure, in particular by
renegotiating rents and minimizing payroll costs when possible. S&P
said, "Nonetheless, our S&P Global Ratings-adjusted EBITDA was
materially affected by about EUR40 million of nonrecurring costs in
the second half of fiscal 2021 due to the group's restructuring
program. This led to S&P Global Ratings-adjusted EBITDA generation
of about EUR93 million or a 12% margin (compared with EUR138
million or 18% excluding these costs), and had a material impact on
our year-end adjusted leverage in excess of 10x. However, in spite
of the material decline in earnings and the one-off costs, Tendam's
FOCF after lease payment was less negative than anticipated, with
just EUR39 million consumed against the EUR55 million-EUR65 million
we initially anticipated. Beyond the optimization of the cost
structure, this performance is driven by the sizeable reduction of
capital expenditure (capex) to EUR30.5 million in fiscal 2021 from
EUR41.9 million in fiscal 2020, together with tight management of
working capital. This resulted in a positive contribution of about
EUR15 million."

S&P said, "We expect credit metrics will gradually recover and
return to pre-pandemic levels between fiscals 2023 and 2024.
Although we do not anticipate a sales recovery to fiscal 2020
levels in fiscals 2022 or 2023, we expect credit metrics will
improve in the next couple of years. In fiscal 2022, we expect S&P
Global Ratings-adjusted EBITDA generation of about EUR230 million,
which is still about EUR60 million lower than in fiscal 2020, and
translates to S&P Global Ratings-adjusted leverage of about 5x.
However, considering Tendam's relatively high operating leverage,
with annual lease payments representing about EUR110 million-EUR130
million, the group's EBITDAR ratio remains at about 1.5x,
significantly below the fiscal 2020 level. From fiscal 2023, with
the continued recovery in earnings, we expect leverage will trend
toward 4.0x and the group's FOCF will return to robust pre-pandemic
levels."

Tendam has a comfortable liquidity cushion. Tendam reported a cash
balance of EUR141 million of end-May, while its EUR193.5 million
RCF remains fully undrawn, available, and not subject to any
maintenance covenants. S&P said, "In addition, thanks to good
working capital management, in particular due to inventory
reduction and controlled capex, we estimate FOCF generation after
lease payments of EUR20 million-EUR30 million in fiscal 2022, even
after accounting for the remaining cash effects of the
restructuring plan. We note that Tendam extended the maturity of
the EUR132.5 million credit line it put in place in April 2020,
which is guaranteed by up to 70% by the Spanish state, to May 2026
from May 2023. We consider that the group's efforts to manage cash
will continue to support its financial position, and we view its
liquidity as sufficient to cover potential further disruptions over
the next 12 months."

Tendam's earnings sustainability will depend on its ability to
actively manage its cost base and adapt its business model to the
post-pandemic environment. S&P said, "We expect the group will
recover gradually on the back of full opening of its store
portfolio, together with the reduction of social distancing
measures. While we still see some uncertainty with regards to the
application of further movement restrictions to fight the spread of
COVID-19 variants across Europe, we see the scenario of hard
lockdowns similar to the ones experienced in fiscal 2021 and the
start of fiscal 2022 as less likely, since vaccination is being
rolled out across the continent. To benefit from a sustained
recovery, we understand the group intends to adapt its brand
positioning and development to the post-pandemic trends. We
understand legacy brands such as Cortefiel and Pedro del Hierro
will focus on a more casual style, while three new brands, Slow
Love, High Spirits and Hoss Intropia, will round out Tendam's
offering by targeting a younger audience with a higher median
shopping basket. We also expect margins will recover to
pre-pandemic levels as the restructuring program's aim is to close
or turnaround underperforming or loss-making stores. The
development of the e-commerce channel--which made up 13% of sales
in first-quarter fiscal 2022 versus 6% same quarter of fiscal
2020--should be beneficial to the group's margin, since it tends to
report higher profitability than store sales. Hence, even if
e-commerce penetration increases in Spain, in line with trends we
see in other European countries, and leads to further store
closures beyond the 80-90 planned in fiscal 2022, we don't expect a
material impact on the group's earnings as long as it succeeds in
capturing online traffic. In our view, sales will be facilitated by
the group's strong brand awareness and its important physical store
footprint, and are a key pillar of Tendam's renewed growth
strategy."

S&P said, "We still see some risks that may hamper the group's
future earnings. Further lockdown measures or restrictions measures
could dampen the recovery we anticipate. Additionally, we expect a
bit of cost inflation, driven by an increase in cotton prices and
transportation costs, which could pressure margins in future
months. Lastly, the strong pick-up in sales registered in the first
quarter of the fiscal year might not last, since it may be driven
by a catch-up effect and discretionary spending might be pressured
in the next few months, as governments start to suspend economic
support measures.

"The stable outlook on Tendam reflects our expectation of revenue
growth above 30% with an EBITDA margin gradually recovering to
pre-pandemic levels and healthy FOCF after leases over the next 12
months. We expect the group's earnings growth will come from the
gradual end of the pandemic-related restrictions, and the group's
restructuring plan, which includes the closure of nonperforming
stores. We expect S&P Global Ratings-adjusted leverage will drop
below 5.0x, EBITDAR interest coverage of about 1.5x, and reported
FOCF after lease payments of EUR20 million-EUR30 million in fiscal
2022.

"We could take a negative rating action over the next 12 months if
Tendam's earnings failed to recover as expected." This could occur
if the pandemic was to trigger new store closures or new movement
restrictions, which would likely increase input costs or trigger
higher-than-expected restructuring costs, or if the repositioning
of the legacy brands and the addition of the three new brands were
not successful leading to:

-- Tendam's inability to reduce S&P Global Ratings-adjusted
leverage to about 5x;

-- Reported FOCF generation after lease payment below EUR20
million;

-- EBITDAR coverage ratio below 1.5x; or

-- Materially weaker liquidity.

S&P could take a positive rating action if:

-- Tendam outperformed our base case, demonstrating substantial
growth level while prudently controlling costs, leading to sizeable
cash flow generation, thus paving the way for an improvement in S&P
Global Ratings-adjusted debt leaning toward 4.0x and reported FOCF
after lease payments sustainably above EUR80 million; and

-- A positive rating action would also hinge on a commitment from
the group and its shareholders to permanently support these
metrics.




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

CEVA LOGISTICS: S&P Upgrades Ratings to 'BB', Outlook Stable
------------------------------------------------------------
S&P Global Ratings raised its ratings on CEVA Logistics AG and its
senior secured debt to 'BB' from 'BB-'.

S&P said, "We are also now correcting a previous error in the
application of criteria by applying our criteria on The Treatment
Of Non-Common Equity Financing In Nonfinancial Corporate Entities,
published on April 29, 2014, to CEVA's shareholder loans in our
cash flow and leverage analysis, which was erroneously omitted in
our March 2021 review. This has no impact on the ratings.

"The stable outlook is aligned with that on the parent and reflects
our view that CMA CGM's EBITDA will start moderating from midyear
2022 to a more sustainable figure of about $5.0 billion annually,
allowing the group to maintain adjusted FFO to debt above 25%, our
threshold for a 'BB' rating.

"We expect CEVA's EBITDA for full-year 2021 to outperform our March
base case. We now expect CEVA's S&P Global Ratings-adjusted EBITDA
to reach about $750 million in 2021, well above our forecast in
March this year of about $660 million. This follows a solid 2020,
where the company expanded its adjusted EBITDA to $629 million from
$513 million in 2019. We expect the largest contribution will be
from the Freight Management segment, underpinned by the persistent
strength of freight yields in the Air division (amid still-scarce
air cargo capacity), as well as sharp yield increase and volume
recovery in the Ocean division. At the same time, benefits from the
ongoing major transformation program--aimed at revenue maximization
and cost efficiency--should largely offset COVID-19-related
negative effects on the Contract Logistics segment. In our base
case, EBITDA in 2022 will remain at around the 2021 level, despite
likely dwindling freight yields, boosted by an expected resurgence
of demand for contract logistics services and further cost
savings.

"We continue viewing CEVA's financial risk profile as consistent
with the significant category but strengthening to the higher end
of the range.Stronger EBITDA than expected, combined with reduced
debt, should increase the cushion under the improved credit metrics
for future fluctuations in EBITDA and unforeseen operational
setbacks. According to our base case, adjusted FFO to debt will
reach 25%-30% over 2021-2022, compared with about 21% in 2020. CEVA
repaid the remaining drawings under its revolving credit facility
(RCF) due in 2023 with the proceeds from the EUR176 million
shareholder loan it received in January 2021. As of March 31, 2021,
CEVA's financial debt mainly consisted of the drawings under its
global securitization program due in 2022 and shareholder loans
(which we view equity like), including $469 million granted in
December 2020, the proceeds of which were used to repay the senior
term loan B due 2025. Under our noncommon equity criteria, we
exclude these shareholder loans from adjusted debt, considering CMA
CGM to be CEVA's strategic owner and the loans' terms and
conditions to be favorable for third-party creditors. Please note
that in our March 2021 review, the shareholder loans were also
excluded from our cash flow and leverage ratio analysis, but
without referral to the applicable criteria.

"We revised our assessment of CEVA's stand-alone credit profile
(SACP) to 'bb-' from 'b+' on account of slowly improving
profitability and stronger cash flow/leverage measures.That said
the company's business risk profile remains weak. This is because
of CEVA's participation in the highly fragmented logistics
industry, which is sensitive to macroeconomic conditions and has
inherently thin margins. CEVA is also competing against larger more
profitable players. These constraints are only partly offset by the
company's long-standing client relationships across broadly
diversified end markets and its markedly reduced exposure to
underperforming contracts. CEVA's profitability is improving as
gains from the major transformation program flow through, albeit
its EBIT margins remain low. Furthermore, according to our base
case, free operating cash flow (after lease payments) will be
largely neutral in 2021 and 2022. We forecast that improving EBITDA
and operating cash flows will by and large cover high capital
expenditure (capex), which we expect to reach $200 million per year
in 2021 and 2022. This should allow CEVA to maintain its lowered
gross debt at about $2.0 billion over our forecast period and
support firm ratios. However, the medium-term prospects for
meaningful excess cash flow generation are limited unless CEVA
significantly overperforms our EBITDA forecast, while maintaining a
tight grip on working capital."

Outlook

The stable outlook on CEVA is aligned with that on the parent and
reflects S&P's view that CMA CGM's EBITDA will start moderating
from midyear 2022 to a more sustainable figure of about $5.0
billion annually, allowing the group to maintain adjusted FFO to
debt above 25%, our threshold for a 'BB' rating.

Upside scenario

S&P said, "We would raise our rating on CEVA following the same
rating action on the parent, if the group sustained its adjusted
FFO-to-debt ratio above 35% once freight rates normalize. In our
view, this will largely depend on CMA CGM's ability and willingness
to keep adjusted debt at around the current lower level. This would
mean shareholder remuneration will remain prudent and the group
will not unexpectedly embark on any significant debt-financed fleet
expansion or mergers and acquisitions without an offsetting
increase in earnings."

Downside scenario

S&P said, "We would lower the rating on CEVA if we downgraded the
parent, which could happen if CMA CGM's EBITDA plunged and remained
below $5.0 billion; for example, due to freight rates remaining
depressed on account of industry overcapacity. This would imply
adjusted FFO to debt deteriorating to less than 25%, with limited
prospects for improvement.

"Additionally, we could lower our rating on CEVA if we changed our
view on its status as a core group entity and its SACP did not
strengthen to 'bb' in the meantime."

  Ratings Score Snapshot

  Issuer Credit Rating: BB/Stable/--
  
  Business risk: Weak
  
   Country risk: Intermediate
   Industry risk: Low
   Competitive position: Weak
  
  Financial risk: Significant
  
   Cash flow/leverage: Significant
  
  Anchor: bb-

  Modifiers

   Diversification/portfolio effect: Neutral (no impact)
   Capital structure: Neutral (no impact)
   Financial policy: Neutral (no impact)
   Liquidity: Adequate (no impact)
   Management and governance: Fair (no impact)
   Comparable rating analysis: Neutral (no impact)
  
  Stand-alone credit profile: bb-
  
   Group credit profile: bb
   Entity status within group: Core (+1 notch)




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

UKRAINIAN RAILWAYS: S&P Hikes ICR to 'CCC+' on Improved Liquidity
-----------------------------------------------------------------
S&P Global Ratings raised to 'CCC+' from 'CCC' its long-term issuer
credit rating on Ukrainian Railways JSC (UR) and issue rating on
its debt.

The stable outlook balances S&P's view that UR will effectively
manage maturity payments in 2021-2022 with the persisting
vulnerabilities to ongoing litigations, unstable operating
environment, and potentially significant investment needs.

UR successfully boosted its liquidity position via the issuance of
$300 million notes due in 2026. The company is using the proceeds
to refinance maturing debt. It repaid $131 million of an
outstanding loan to Sberbank and a part of its short-term debt due
in 2021-2022, then it will reserve funds to make the last $50
million installment of its 2021 Eurobond in September this year.
This refinancing removes immediate pressure from the company's
liquidity due to high and concentrated maturity payments. At this
time, the contractual debt payments for the rest of 2021 reduced to
$58 million from $160 million, and to $35 million from $131 million
for 2022.

However, there is limited visibility on potential cash uses over
the coming 12 months. UR is involved in a number of litigations,
and we see contingent risks for liquidity once and how the ongoing
court cases are settled. The finalization of a $153 million
restructuring with the current debt owner, VR GLOBAL PARTNERS, L.P.
(VR Global), will not trigger a selective default for UR. As per
the resolved cases, the supreme court decided that a part of the
debt is payable and due. S&P cannot rule out that the court could
decide against UR on the remaining cases. Still, as determined in
another case, any payments from UR to VR Global are temporarily
prohibited. Also, the supreme court has to decide if the
government's debt-servicing moratorium--prohibiting any payments to
creditors of Donetsk Railway--is still valid and if UR's assets are
protected from any claims until the resolution of a conflict in the
Donbas region.

UR's ability to carry out much-needed investments through its
capital expenditure (capex) program, although largely not
committed, depends on funding. Absent state support or structural
changes in the business, the company might struggle to modernize
its fleet and upgrade infrastructure. S&P said, "We understand UR
expects Ukrainian hryvnia (UAH) 4 billion of financing in 2021 from
the special state fund, of which the company already received
UAH0.9 billion from the about UAH2 billion accumulated in the fund
since the beginning of the year. We forecast 2021 capex of UAH10
billion-UAH12 billion compared to UR's potential investment needs
of up to UAH27 billion and maintenance capex of UAH6 billion-UAH7
billion."

UR's credit metrics are gradually improving following a weak 2020,
but the recovery trajectory remains uncertain. S&P said, "We expect
about UAH12 billion of EBITDA in 2021 (versus UAH10 billion in 2020
and UAH18 billion in 2019). Although COVID-19 impacts continue to
constrain passenger traffic, since this segment accounted for less
than 10% of consolidated revenues in 2019, the company's other
revenue streams will drive operating results. We expect cash flow
will accelerate on the back of a pick-up in freight volumes,
primarily of grains, iron ore, and construction materials."
Ukraine's resource-based industries (such as coal production) have
declined over the past decade, and UR is exposed to the structural
changes to the freight flows. Forty to forty-five percent of
freight turnover is from export and about 35% is from domestic.

S&P said, "In our view, UR's sole shareholder, the government,
would have limited capacity to provide extraordinary financial
support. As such, in the rating on UR, we do not apply any notches
of uplift for such extraordinary support. Still, we note that, in
2021, the company expects to get UAH4 billion from the state budget
for replacement of passenger rolling stock and investments in
infrastructure assets. We incorporate this ongoing support in our
assessment of the company's stand-alone credit profile.

"The stable outlook reflects our view that UR will manage upcoming
maturity payments in 2021-2022, despite its persisting exposure to
a volatile operating environment, potentially significant
investment needs, and uncertainty around the outcomes of ongoing
litigations.

"We expect UR to make the timely payment of the last $50 million
installment on the 2021 Eurobond in September."

UR's financial leverage remains moderate with expected funds from
operations (FFO) to debt of about 18%-23% in 2021, compared with
17% in 2020, and the recovery trajectory in 2022 will depend on the
pickup in the freight volumes, mostly domestic and export.

Downside scenario

S&P could take a negative rating action if it deems UR unlikely to
make payments according to the existing maturity schedule because
of adverse market conditions that limit its cash flow from
operations. A downgrade could also occur if the company faces
challenges to commit funding to refinancing.

Rating pressure could materialize if the ongoing litigation with VR
Global results in cash outflows that impair UR's ability to pay
obligations other than that owed to VR Global.

Upside scenario

For an upgrade to 'B-', we'd need to assess the effectiveness of
UR's strategy and its capacity to consistently service its debt,
while maintaining at least less-then-adequate liquidity. In
addition, S&P'd need to see positive changes or trends, such as any
of the following:

-- Successful resolution of the ongoing debt restructuring with VR
Global and progress with other litigations;

-- More certain operating conditions translating to stronger cash
flow; or

-- Material state support to compensate for loss-making passenger
segment and to co-fund investments.




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

ALPHA TOPCO: S&P Alters Outlook to Stable, Affirms 'B+' ICR
-----------------------------------------------------------
S&P Global Ratings revised its outlook on Alpha Topco (F1) to
stable from negative and affirmed its issuer credit rating at 'B+'.
S&P also affirmed its 'B+' issue ratings on the group's $2.9
billion term loan and $500 million RCF, with recovery expectations
of '3' (60%).

The stable outlook reflects S&P's forecast that, in 2021, F1's
leverage will return to below 7x and the group will generate
material free operating cash flows (FOCF) such that FOCF to debt
approaches 10% in the medium term.

F1 outperformed our FY2020 base-case forecast. S&P said, "Our base
case had included 15 races and minimal race promoter fees. This
produced our forecast of around neutral EBITDA and up to minus $300
million in free cash flows for the year. F1 bettered our base case,
staging 17 races by extending the season and rescheduling some
races to new circuits." The group also retained some promoter fees
or negotiated a partial fee reduction in some instances even where
no spectators attended. Media rights, despite being reduced,
underpinned core revenue generation during FY2020. It generated 59%
of total revenue, up from only 39% in FY2019. This culminated in
the group reporting S&P Global Ratings-adjusted EBITDA of $24
million and FOCF of minus $130 million. As a result, it preserved
its liquidity and balance sheet. F1 has not added any new gross
debt during the pandemic.

S&P's FY2021 forecast incorporates a full calendar of 23 races and
substantially higher race promoter fees than 2020. In 2020, F1
reported revenues of $1.15 billion, just more than half the $2.02
billion of 2019. In the group's three key revenue segments (for
reference, based on reclassified reporting) this included:

-- Media Rights: $671 million, down from $795 million in 2019 (16%
year-on-year decline)

-- Race Promotion: $149 million, down from $644 million in 2019
(77% year-on-year decline)

-- Sponsorship: $209 million, down from $311 million (33%
year-on-year decline)

S&P forecasts revenue will recover to $2.0 billion-$2.1 billion in
2021 with the 23-race schedule. Apart from the full schedule,
managed revenue increases and price rises in media rights and
sponsorship will also boost revenues. F1 anticipates additional
revenue uplift in FY2021, in particular from race promotions and
sponsorship, compared to FY2019, through additional races, contract
escalations, improved contract renewal terms, additional race
sponsorship, and continued expansion of sponsor partners.

F1 has a high proportion of contracted revenues. Its key revenue
streams--media rights, promoter fees, and sponsorship--are
underpinned by contractual relationships, which ordinarily mean
recurring revenue visibility. The group tries to manage its
contract renewals pipeline such that no given year is particularly
exposed to material contract expiry. Large media rights contracts
are typically negotiated on three- or five-year terms, with minimum
race delivery requirements set typically at or below 16 races. Race
promotor contracts vary depending on the event, with some promoters
on very long dated contracts and others on shorter arrangements,
which are rarely less than three-year contracts.

Like many leisure and media operators, F1 is still exposed to any
worsening of the pandemic. Despite the group's contractual
positions, 2020 showed that a material disruptive event such as a
pandemic can shake its revenue stability. Any worsening of the
pandemic that led to a return of lockdowns and restrictions on
movement would likely affect revenue generation, particularly from
sponsorship and race promotion. S&P said, "That said, we believe
the group would now have the logistical know-how to stage close to
a full calendar of closed races if required to under more severe
conditions in the future. In FY2021, we expect some races could
still be in doubt, but note the group has already held 10 race
events to date (11 on Aug. 1) and can reschedule events, leading,
in our view, to a reasonable chance of it hosting its planned 23
races."

F1 continues to drive forward business initiatives Despite the
pandemic, F1 continued to drive change and development in the
business. In FY2020, the group signed a renewed Concorde Agreement,
which, among other things, governs the determination and allocation
of the teams' prize fund. S&P thinks the renewed agreement achieved
two economically important outcomes for F1. Firstly, it removed any
fixed payments required to be made to the teams, increasing the
group's cost base flexibility. Secondly, at certain higher levels
of EBIT generation, F1 will keep proportionally more, assuming it
can execute on ambitious growth plans. This year sees the group add
Saudi Arabia to its calendar, with Miami added next season. Over
time, increased penetration in the U.S. remains an opportunity via
greater media rights and sponsorship revenue. This also comes off
the back of the commercial success of the group's Netflix program,
which has increased awareness, particularly in the US. Lastly, next
season will see implementation of new technical regulations and
new-look cars.

The stable outlook reflects S&P's forecast that, in 2021, F1
leverage will return to below 7x and it will generate material FOCF
such that FOCF to debt approaches 10% over the medium term.

S&P said, "We could lower our rating on F1 if the group
underperformed our current base case forecast. This could occur if
we believed adjusted leverage was likely to remain anchored above
7x and FOCF to debt was to fall well below 10% on a sustainable
basis. For example, if material government restrictions were
implemented to combat the pandemic, resulting in severe reductions
to the race calendar, negative ratings pressure would build.
Additionally, a material weakening in the group's liquidity,
decreasing headroom under the minimum liquidity covenant, or
increased probability of a specific default event such as purchase
of the group's debt below par could result in us lowering the
rating.

"We do not envisage ratings upside until the group achieves credit
metrics in line with pre-pandemic levels and re-establishes
consistent financial performance. However, upside could build if
the group committed to and demonstrated a track record of
sustaining leverage below 5x combined with consistent and material
FOCF generation comfortably above 10% FOCF to debt. This would need
to be accompanied by strong business performance and adequate
liquidity. Lastly, under our group rating approach, any ratings
upside for F1 would require our assessment of the estimated group
credit profile of controlling parent Liberty Media to be at least
'bb-'."


B&M: S&P Upgrades Rating to 'BB-', Outlook Stable
-------------------------------------------------
S&P Global Ratings upgrades U.K. value retailer B&M from 'BB-' to
'BB'. The outlook is stable.

The stable outlook reflects S&P's expectation that B&M will sustain
its strong metrics (compared to pre-pandemic) and achieve a
profitable rollout of new stores, underpinning positive earnings
momentum over the next 18 months and beyond; this should see the
group maintain its EBITDAR cash interest coverage at around 3.0x
while capital investments and shareholder distributions will not
materially exceed generated free cash flow.

B&M reported a robust trading performance during the pandemic,
supported by its value-oriented offering and product mix of grocery
and general merchandise including gardening, home improvement, and
DIY. Its revenues grew by more than 25% in FY2021. Despite lacking
an online offering, the group benefited from its "essential
retailer" status, which allowed it to keep stores open throughout
the pandemic, and from a shift in consumer preferences toward value
retailers. Good weather and stay-at-home restrictions, which
increased demand for gardening, home improvement, and DIY products,
also supported its robust performance. Management delivered 41
store openings during the year, despite the setbacks and slowdowns
caused by the pandemic.

S&P believes B&M's revenues will moderately contract in FY2022, as
performance at B&M UK stabilizes and customers divert their
spending toward non-essential retailers and leisure activities.

Many of the factors that supported B&M's strong U.K. performance in
FY2021 are likely to disappear in FY2022, thereby slowing down
revenue expansion. Now that non-essential retailers have reopened,
competition for customers' share of wallet has increased--during
the pandemic non-essential retailers could only sell online. As
most restrictions on outdoor and leisure activities have now eased,
consumers will likely spend less time at home, reducing demand for
groceries, and gardening and DIY products. This trend was already
noticeable in Q1 2022, when B&M UK's revenues declined by 4.4%
year-on-year, like-for-like (LFL). That said, during the pandemic
B&M acquired first-time customers, a large portion returning even
after restrictions were eased. S&P also expects B&M to deliver on
its store expansion plan, with about 45 new B&M-branded stores
planned for FY2022 in the U.K., generating additional revenues.

S&P said, "We foresee a strong rebound for the B&M French business
(Babou), and continued growth for the Heron Foods fascia.B&M's
French operations closed for several months in FY2021 and the
beginning of FY2022 as they were not considered essential. As these
restrictions have now eased, we expect rest-of-year performance to
be robust, with strong LFL growth (12%-16%). The group has also
been accelerating the Babou stores rebranding to B&M (about 70% at
the end of FY2021), which should increase brand penetration and
recognition in the country. This rebound in B&M France, combined
with the stable organic and external expansion of Heron Foods, will
contain revenue contraction at the group level and reduce downside
risk, in our view."

B&M's earnings and profitability will decline year-on-year in
FY2022, but remain above pre-pandemic levels.

The group's earnings reached an all-time high in FY2021, with
reported EBITDA exceeding GBP800 million. Such expansion was
underpinned by a:

-- Stable margin on groceries;

-- Demand shift toward more value-added categories; and

-- Strong sell-through of seasonal products such as gardening and
Christmas ranges, which reduced write-offs at year-end.

This was despite an increase in employees' salaries during the
pandemic, and the repayment of a GBP80 million business rates
subsidy.

Profitability will rebalance from FY2022 as trading returns to
normal, demand stabilizes, and the usual discounts and promotions
resume. However, given the group's sustainable improvement in
operational efficiency and executed cost savings, we expect its
medium term reported EBITDA margin to remain above pre-pandemic
levels (14.1% in FY2020), at around 14.5%-15.0%.

Despite the expected rebalancing in FY2022, we forecast B&M's
credit metrics to be stronger than before the pandemic, in the
medium term.The strong operating performance in FY2021
significantly improved B&M's credit metrics, with leverage
declining to 2.2x, from 3.4x in FY2020, and EBITDAR cash interest
plus rents coverage growing to more than 3.5x, from 2.3x in FY2020.
While the contraction in profitability and cash flow generation
expected for FY2022 will inevitably cause a re-leveraging of B&M's
capital structure, we forecast that earnings will stay higher than
before the pandemic. In fact, we estimate that S&P Global
Ratings-adjusted EBITDA will remain above GBP700 million in the
medium term (compared to GBP523 million in FY2020), thanks to the
sizable cohort of new customers, the expansion of the stores
network, and improvements in operating efficiency--despite the
normalization of trading conditions. Therefore, we forecast some
weakening in credit measures in FY2022, with S&P Global
Ratings-adjusted debt to EBITDA rising to 2.5x-3.0x and EBITDAR
cash interest coverage declining to 2.7x-3.0x. We estimate that the
group will pursue some deleveraging thereafter, but financial
policy will likely preclude significant sustainable improvement.

B&M's focus on returning capital to shareholders and investing in
store expansion will constrain rating upside in the medium term.
The group is expected to generate robust and growing FOCF after
leases of about GBP200 million-GBP300 million in FY2022 and GBP300
million-GBP400 million in FY2023. However, in line with its track
record and stated financial policy, a large portion of this cash
will likely be returned to shareholders. In FY2021 only, about
GBP700 million was paid out as ordinary and special
dividends--these were funded by the year's above-normal performance
and the sale and leaseback of the distribution center. A large
portion of capital will also likely be allocated to the group's
store expansion plan, which, together with maintenance expenditure,
will absorb about GBP100 million per year in the medium term.
Therefore, S&P believes that a stark acceleration of deleveraging
compared with the historical trend is unlikely.

S&P said, "The stable outlook reflects our expectation that B&M
will continue its store expansion and grow sales and profit, after
the rebalancing in FY2022, supporting robust FOCF generation over
the next 12-18 months. During this time, we expect the group will
perform better than before the pandemic, thanks to new customers
and higher operating efficiencies, with EBITDAR cash interest
coverage reaching 3.0x.

"An upgrade is unlikely in the medium term amid uncertain recovery
prospects for the retail industry post-pandemic, and would likely
be predicated on a track record of moderate financial policy and
sustained business expansion. We could upgrade B&M if earnings
growth exceeds our expectations, and the group demonstrates
commitment to maintaining stronger credit metrics, including
EBITDAR cover comfortably above 4.0x and substantial positive
discretionary cash flows.

"We could lower our rating on B&M over the next 12-18 months if it
underperforms our base case such that EBITDAR cover declined toward
2.5x, adjusted debt to EBITDA exceeded 3x, or if we expected a
material weakening in its ability to generate substantial positive
FOCF after leases. This could occur if fewer newly acquired
customers returned to shop at B&M, if consumer preferences were to
shift away from value merchandise, or the group encountered
setbacks in executing its store expansion plan. We could also lower
our ratings on B&M if the company adopted a more aggressive
financial policy."


JTF MEGA:  Lincoln Store May Turn Into Cinema Complex
-----------------------------------------------------
Adam Laver at LincolnshireLive reports that JTF Mega Discount
Warehouse in Lincoln looks set to be turned into a cinema complex
following the company going into administration.

According to a note of application for the grant of a Premises
License on the door of the old JTF building on Greetwell Road,
Campelino Coffee Company has applied to City of Lincoln Council to
turn the building into a cinema, LincolnshireLive relates.

City of Lincoln Council confirmed that a planning application has
not yet been submitted, LincolnshireLive notes.

JTF went into voluntary arrangement last month after their Lincoln
store planned a "grand relaunch" -- putting 500 jobs nationally at
risk in the process, LincolnshireLive recounts.

It's unclear if the plans will definitely go ahead for the discount
store to be turned into a cinema, but it certainly seems like that
is their intention, LincolnshireLive discloses.


KAPEX CONSTRUCTION: Enters Administration, Owes GBP3.6 Million
--------------------------------------------------------------
Business Sale reports that Newcastle-based contractor Kapex
Construction Limited has entered administration.

According to Business Sale, the company, which said last year that
it had an order book of GBP40 million, is understood to be close to
appointing FRP Advisory to handle the administration process.

In its most recent reports at Companies House, to the year ending
March 31 2020, the company had current assets of GBP4.1 million,
with creditors owed around GBP3.6 million within one year, Business
Sale discloses.  The company reported post-tax profits of
GBP433,020 on turnover of GBP11.6 million, Business Sale states.

Founded in 2016 as part of the Morton Group, Kapex was largely
involved in residential construction contracts in the North East,
working on projects including commercial building refurbishment and
student accommodation.

According to recent reports, work on the firm's ongoing sites
stopped earlier this month, with staff being sent home, Business
Sale notes.  A number of staff have reportedly since confirmed
online that they are no longer working for Kapex, Business Sale
relates.


RALPH & RUSSO: Tamara Ralph Responds to GBP20.8MM Lawsuit
---------------------------------------------------------
Samantha Conti at Yahoo!Finance reports that Tamara Ralph, the
designer and cofounder of Ralph & Russo, which collapsed earlier
this year and was subsequently sold, has responded to a
multimillion-pound lawsuit against her, accusing company principals
and administrators of bullying behavior.

As reported earlier last month, the joint administrators who
handled the sale of Ralph & Russo to Retail Ecommerce Ventures have
filed suit against Ms. Ralph in England's High Court, and are
seeking damages of GBP20.8 million, Yahoo!Finance recounts.

Paul Appleton of Begbies Traynor Group, one of the joint
administrators, and Daniel Morrison, the lawyer representing him,
have accused Ms. Ralph of siphoning money from the company,
financial mismanagement and breaching contractual obligations by
attempting to set up a competing business, Yahoo!Finance relates.

Candy Ventures Sarl, which had previously loaned Ralph & Russo
GBP17 million, is the defunct Ralph & Russo's largest creditor, and
is supporting the administrators in the suit, Yahoo!Finance
discloses.

Ms. Ralph has robustly denied the administrators' claims, calling
them "misconceived and demonstrably false", Yahoo!Finance notes.

She has since filed her response to the suit, and on July 26 issued
a further statement about the ongoing case, Yahoo!Finance relays.

In the statement Ms. Ralph, as cited by Yahoo!Finance, said she
spent 11 years building a brand that celebrated women, "so I feel
greatly saddened by what has happened to the business I created and
loved, and gave my heart and soul to.  I will leave others to
reflect on the irony of Ralph & Russo's female founder, creative
force and face of the brand, being bullied, unfairly blamed and
targeted for financial mismanagement, despite trying to prevent
it."

Ms. Ralph was referring to alleged bullying by her former life
partner, and cofounder, Michael Russo, Yahoo!Finance discloses.
According to Yahoo!Finance, Ms. Ralph said as the company collapsed
into administration, she "refused to be pressured to work with the
person who had bullied me, or to be silent about what has happened
to me.  It made me feel deeply distressed and this conduct severely
impacted my health."

Ms. Ralph, who resigned from Ralph & Russo in May, said she had
repeatedly raised concerns about financial mismanagement at the
company, Yahoo!Finance relays.  Mr. Russo, the company's chief
executive officer, was subsequently fired for gross misconduct, but
later reinstated as chairman, Yahoo!Finance recounts.

Separately, in the court documents, Ralph's lawyers refer to
Michael "Russo's campaign of bullying, harassment and abuse toward
Ms. Ralph," and said his behavior became "increasingly hostile and
escalated into repeated menacing statements that he wanted Ms.
Ralph to die.  This behavior caused Ms. Ralph to undergo treatment
for panic attacks in 2019."

According to Yahoo!Finance, the documents add that Ralph required
hospitalization in June 2020 "because of the stress from Mr.
Russo's conduct and from the litigation being brought by Candy
Ventures Sarl.  It caused Ms. Ralph (who was in the early stages of
pregnancy at the time) to suffer severe hemorrhages, which were
almost fatal to both her and her unborn child."

In the court documents Ms. Ralph's lawyers also say that she was
bullied and pressured by the administrators and Candy into working
with Mr. Russo after the company collapsed into administration
earlier this year, Yahoo!Finance relates.

The court documents also note that Candy, and the administrator
Appleton, were aware of Russo's "serious financial mismanagement,
according to Yahoo!Finance.  Ms. Ralph's objection to
Mr. Russo's continued involvement in the business, and to the
insistence that she work with him, was ignored," Yahoo!Finance
quotes the lawyers as saying.


[*] UK: Company Insolvencies in England, Wales Up 31% in Q2 2021
----------------------------------------------------------------
Business Sale, citing figures from The Insolvency Service, reports
that company insolvencies in England and Wales increased 31% in Q2
2021.

According to Business Sale, insolvencies for the second quarter
were comprised of 90% CVLs, 5% administrations, 3% liquidations and
1% company voluntary arrangements (CVAs).

The news comes amid growing concerns about the debts that
businesses have accrued from government loan schemes during the
pandemic, with the first repayments for the Bounce Back scheme and
Coronavirus Business Interruption Loan Scheme (CBILS) now due,
Business Sale discloses.

The Q2 FY2021 figure of 3,116 was up 4% on the same period a year
earlier, Business Sale states.  It was announced that company
insolvencies had increased 63% in June 2021 compared to the same
month last year, Business Sale notes.  The June 2021 figure of
1,207 was also a 19% increase on the previous month, according to
Business Sale.

In the year ending June 30 2021, the sector which saw the highest
number of insolvencies was construction, with 1,801, Business Sale
relates.  This was followed by accommodation and food services,
with 1,474 and wholesale and retail trade with 1,366 insolvencies,
Business Sale says.




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

[*] BOND PRICING: For the Week July 26 to July 30, 2021
-------------------------------------------------------
Issuer         Coupon  Maturity     Currency  Price
------         ------  --------     --------  -----
Casino Guichard 1.004                 EUR     43.323
Casino Guichard 3.992                 EUR     72.701
Hurricane Energy7.500     7/24/2022   USD     63.333
Mitsubishi UFJ I3.957     12/15/2050  EUR     50.127
Intralot Capital5.250     9/15/2024   EUR     59.981
Accor SA        0.700     12/07/2027  EUR     51.846
Fuerstenberg Cap5.625                 EUR     49.275
Rallye SA       4.000     2/28/2030   EUR     30.875
Air France-KLM  0.125     3/25/2026   EUR     15.866
EYEMAXX Real Est5.500     4/26/2023   EUR     61.991
Metro Bank PLC  5.500     6/26/2028   GBP     65.325
EA Partners II B6.750     06/01/2021  USD     42.125
Econocom Group S0.500     03/06/2023  EUR     7.649
Voltalia SA     1.000     1/13/2025   EUR     31.131
Korian SA       0.875     03/06/2027  EUR     57.107
Mallinckrodt Int5.750     08/01/2022  USD     66.500
EYEMAXX Real Est5.500     9/24/2024   EUR     44.473
PB International7.625     1/26/2022   USD     30.833
FIGEAC-AERO     1.125     10/18/2022  EUR     22.338
Pierre Et Vacanc2.000     04/01/2023  EUR     29.904
Rallye SA       4.371     1/23/2023   EUR     31.699
Korian SA       2.500                 EUR     42.099
Wirecard AG     0.500     09/11/2024  EUR     10.990
HOCHDORF Holding2.500                 CHF     57.502
Nexity SA       0.250     03/02/2025  EUR     67.729
Mallinckrodt Int4.750     4/15/2023   USD     24.500
Hylea Group SA  7.250     12/01/2022  EUR     35.500
Maisons du Monde0.125     12/06/2023  EUR     46.355
Naviera Armas SA6.500     7/31/2023   EUR     69.864
Quadient SA     3.375                 EUR     58.213
Moby SpA        7.750     2/15/2023   EUR     31.524
Nostrum Oil & Ga8.000     7/25/2022   USD     27.458
Intu Debenture P5.562     12/31/2027  GBP     39.500
Intelsat Luxembo8.125     06/01/2023  USD     3.316
Mallinckrodt Int5.625     10/15/2023  USD     68.250
Privatbank CJSC 10.250    1/23/2018   USD     10.000
Air Berlin PLC  6.750     05/09/2019  EUR     0.325
Mallinckrodt Int5.500     4/15/2025   USD     69.250
Bourbon Corp    8.061                 EUR     15.770
Intelsat Jackson5.500     08/01/2023  USD     58.500
Officine Maccafe5.750     06/01/2021  EUR     19.906
O1 Properties Fi0.500     9/27/2028   USD     10.000
Air Berlin PLC  8.250     4/19/2018   EUR     0.268
Intelsat Jackson8.500     10/15/2024  USD     58.000
Abengoa Abenewco1.500     4/26/2024   EUR     1.183
EYEMAXX Real Est5.500     7/22/2025   EUR     73.981
Orient Express B2.000                 USD     30.190
Debenhams PLC   5.250     7/15/2021   GBP     1.001
PREOS Global Off7.500     12/09/2024  EUR     64.500
Rallye SA       3.400     1/31/2022   EUR     34.132
Rallye SA       3.250     02/08/2024  CHF     32.435
Offshore Drillin8.375     9/20/2020   USD     6.967
Union Fenosa Pre1.107                 EUR     70.420
Thomas Cook Grou6.250     6/15/2022   EUR     0.484
Lloyds Bank PLC 2.661     2/22/2033   USD     77.178
Nostrum Oil & Ga7.000     2/16/2025   USD     27.458
Hellenic Bank PC10.000                EUR     57.440
Senvion Holding 3.875     10/25/2022  EUR     0.504
Neoen SA        1.875     10/07/2024  EUR     43.572
Rallye SA       5.250     02/01/2022  EUR     32.887
Genfit          3.500     10/16/2025  EUR     18.669
Intelsat Connect9.500     2/15/2023   USD     33.397
Immigon Portfoli5.801                 EUR     12.226
Ziton A/S       7.900     10/03/2022  EUR     65.000
Neoen SA        2.000     06/02/2025  EUR     52.947
OGX Austria GmbH8.375     04/01/2022  USD     0.022
Turkey Governmen10.500    08/11/2027  TRY     74.950
Lloyds Bank PLC 2.308     4/26/2033   USD     80.836
Naviera Armas SA4.250     11/15/2024  EUR     68.360
Travelex Financi8.000     5/15/2022   EUR     1.333
Rickmers Holding8.875     06/11/2018  EUR     0.565
Koninklijke Luch0.750                 CHF     25.250
DOF Subsea AS   8.260     11/27/2023  NOK     27.250
EA Partners I BV6.875     9/28/2020   USD     0.503
Galapagos Holdin7.000     6/15/2022   EUR     1.500
Jain Internation7.125     02/01/2022  USD     21.750
Stichting Afwikk6.250     10/26/2020  EUR     5.263
Intelsat Luxembo7.750     06/01/2021  USD     2.500
Mitsubishi UFJ I3.704     12/30/2099  EUR     5.333
Nexity SA       0.125     01/01/2023  EUR     64.819
Air Berlin PLC  5.625     05/09/2019  CHF     0.510
Bank Otkritie Fi10.000    4/26/2019   USD     10.000
Avangardco Inves10.000    10/29/2018  USD     0.396
Intelsat Jackson9.750     7/15/2025   USD     58.750
Nexity SA       0.875     4/19/2028   EUR     59.001
Dexia Credit Loc1.181                 EUR     3.391
Barclays Bank PL2.852     3/28/2033   USD     71.793
Banco Espirito S7.125     11/28/2023  EUR     0.139
Rallye SA       4.000     11/23/2020  CHF     28.000
Bilt Paper BV   9.640                 USD     1.699
Thomas Cook Fina3.875     7/15/2023   EUR     2.410
Deutsche Bank AG2.218     3/15/2033   USD     72.300
Norddeutsche Lan7.490                 EUR     67.891
OGX Austria GmbH8.500     06/01/2018  USD     0.022
FF Group Finance3.250     11/02/2021  CHF     8.422
Scandinavian Air0.625                 CHF     23.000
Senivita Social 4.000     05/12/2025  EUR     8.010
UkrLandFarming P10.875    3/26/2018   USD     1.885
Yell Bondco PLC 8.500     05/02/2023  GBP     54.480
Yuksel Insaat AS9.500     11/10/2015  USD     1.007
Alitalia-Societa5.250     7/30/2020   EUR     0.100
Privatbank CJSC 10.875    2/28/2018   USD     29.354
Privatbank CJSC 11.000    02/09/2021  USD     3.772
Hamon & CIE SA  3.300     1/31/2035   EUR     45.890
JP Morgan Struct0.379     9/30/2021   EUR     1.000
REM Saltire Hold7.000     12/31/2024  NOK     51.777
Grupo Isolux Cor1.000     12/30/2021  EUR     0.182
Hellenic Republi2.085     7/25/2057   EUR     47.720
Gamalife - Cia d2.957                 EUR     72.991
Alno AG         8.500     5/14/2018   EUR     16.226
FF Group Finance1.750     07/03/2019  EUR     5.442
Eramet SA       4.000                 EUR     66.173
Fuerstenberg Cap1.020                 EUR     48.138
Joh Friedrich Be7.750     11/11/2020  EUR     45.000
EDOB Abwicklungs7.500     04/01/2012  EUR     3.495
JZ Capital Partn6.000     7/30/2021   GBP     9.600
Claranova SADIR 5.000     07/01/2023  EUR     1.110
EOS Imaging SA  6.000     5/31/2023   EUR     6.857
Lehman Brothers 5.125                 EUR     8.008
Espirito Santo F6.875     10/21/2019  EUR     0.244
Stichting Afwikk11.250                EUR     1.258
Banco Espirito S6.875     7/15/2016   EUR     25.250
Norske Skogindus7.000     12/30/2026  EUR     0.001
DOF Subsea AS   9.500     3/14/2022   USD     27.194
WD Invest Sarl  1.900     10/02/2024  EUR     10.051
Lehman Brothers 6.900                 USD     3.986
Tresu Investment5.000     9/29/2022   EUR     28.250
Hema Bondco II B8.500     1/15/2023   EUR     0.780
EFG Internationa0.321                 EUR     66.617
Saleza AS       9.000     07/12/2021  EUR     0.203
Verimatrix SA   6.000     6/29/2022   EUR     3.801
Banco Espirito S2.106                 EUR     0.124
Dexia SA        1.244                 EUR     1.402
Pentracor GmbH  8.500     5/29/2025   EUR     71.175
Deutsche Bank AG1.268     6/28/2033   USD     71.650
KTG Agrar SE    7.125     06/06/2017  EUR     2.885
Lehman Brothers 3.875                 EUR     8.000
International In9.000     07/06/2011  EUR     0.176
KPNQwest NV     10.000    3/15/2012   EUR     0.474
JP Morgan Struct0.379     9/30/2021   EUR     1.000
Virgolino de Oli10.500    1/28/2018   USD     0.882
Praktiker AG    5.875     02/10/2016  EUR     0.069
JP Morgan Struct0.379     9/30/2021   EUR     1.000
ESFIL-Espirito S5.250     06/12/2015  EUR     0.112
New World Resour4.000     10/07/2020  EUR     0.231
Solon SE        1.375     12/06/2012  EUR     0.745
Banca Popolare d2.821     12/20/2017  EUR     0.159
Joh Friedrich Be6.250     6/18/2024   EUR     45.500
BNP Paribas SA  7.625                 USD     50.000
Finance and Cred9.250     1/25/2019   USD     0.257
Agrokor dd      9.875     05/01/2019  EUR     15.000
Banca Popolare d9.500     9/29/2025   EUR     0.049
Norske Skogindus2.000     12/30/2115  EUR     0.113
Cirio Holding Lu6.250     2/16/2004   EUR     0.728
LBI ehf         6.100     8/25/2011   USD     9.883
Norwegian Air Sh5.000     02/07/2023  SEK     44.592
Lehman Brothers 5.750                 EUR     3.962
Hellas Telecommu6.054     1/15/2015   USD     0.001
Breeze Finance S6.708     4/19/2027   EUR     31.000
Virgolino de Oli11.750    02/09/2022  USD     1.336
Intralot Capital5.250     9/15/2024   EUR     60.035
Corporate Commer8.250     08/08/2014  USD     0.308
Nostrum Oil & Ga8.000     7/25/2022   USD     27.865
Allied Irish Ban12.500    6/25/2035   GBP     61.150
Windreich GmbH  6.500     03/01/2015  EUR     4.475
Tennor Finance B5.750     6/17/2024   EUR     75.000
Mallinckrodt Int5.625     10/15/2023  USD     68.183
Finmek Internati7.000     12/03/2004  EUR     2.193
Portugal Telecom6.250     7/26/2016   EUR     0.175
Cirio Finanziari8.000     12/21/2005  EUR     1.295
Mallinckrodt Int5.750     08/01/2022  USD     66.300
New World Resour8.000     04/07/2020  EUR     0.110
UniCredit Bank A0.107     11/19/2029  EUR     67.979
Norwegian Air Sh6.375     11/15/2024  USD     49.542
Alpine Holding G6.000     5/22/2017   EUR     2.233
Alno AG         8.000     3/21/2019   EUR     16.200
OGX Austria GmbH8.375     04/01/2022  USD     0.022
Veneto Banca SpA9.878     12/01/2025  EUR     0.448
SAG Solarstrom A6.250     12/14/2015  EUR     31.000
Societe Centrale2.500     5/15/2023   EUR     6.880
Dr Wiesent Sozia7.000                 EUR     0.011
Agrokor dd      9.125     02/01/2020  EUR     15.000
Mallinckrodt Int5.500     4/15/2025   USD     62.500
Abengoa Abenewco1.500     4/26/2024   USD     1.069
Cooperatieve Rab0.500     10/30/2043  MXN     15.182
KPNQwest NV     8.875     02/01/2008  EUR     0.474
Cirio Finance Lu7.500     11/03/2002  EUR     2.665
Civitas Properti4.000     11/24/2022  EUR     47.000
Ghelamco Invest 4.500     5/23/2022   EUR     40.000
Orange SA       3.000     6/15/2022   EUR     10.000
Cooperatieve Rab0.500     7/30/2043   MXN     15.987
Sairgroup Financ4.375     06/08/2006  EUR     1.525
Banco Espirito S6.900     6/28/2024   EUR     25.296
International In11.000    2/19/2013   USD     0.276
CBo Territoria  3.750     07/01/2024  EUR     4.700
KPNQwest NV     7.125     06/01/2009  EUR     0.484
Depfa Funding II0.235                 EUR     57.237
Santander Consum5.110                 NOK     44.846
Virgolino de Oli10.500    1/28/2018   USD     0.882
Lloyds Bank PLC 0.500     7/26/2028   MXN     59.625
OGX Austria GmbH8.500     06/01/2018  USD     0.022
Stichting Afwikk6.625     5/14/2018   EUR     5.250
Santander Consum5.110                 NOK     44.846
Alpine Holding G5.250     07/01/2015  EUR     2.233
Offshore Drillin8.375     9/20/2020   USD     6.967
Rallye SA       1.000     10/02/2020  EUR     27.309
Bank Nadra Via N8.250     7/31/2018   USD     0.208
Sidetur Finance 10.000    4/20/2016   USD     2.082
KPNQwest NV     8.125     06/01/2009  USD     0.474
Nostrum Oil & Ga7.000     2/16/2025   USD     27.592
Cirio Del Monte 7.750     3/14/2005   EUR     0.590
Agrokor dd      8.875     02/01/2020  USD     15.000
Island Offshore 2.790     6/30/2022   NOK     4.777
Virgolino de Oli10.875    1/13/2020   USD     34.000
Banco Espirito S2.286                 EUR     0.237
WPE Internationa10.375    9/30/2020   USD     5.000
Grupo Isolux Cor6.000     12/30/2021  EUR     0.229
Abengoa Abenewco1.500     4/26/2024   USD     1.069
Espirito Santo F9.750     12/19/2025  EUR     0.389
Intelsat Connect9.500     2/15/2023   USD     33.397
Alpine Holding G5.250     06/10/2016  EUR     2.233
SpareBank 1 SR-B1.212     12/21/2030  EUR     73.522
SAS AB          4.410                 SEK     26.464
Waste Italia SpA10.500    11/15/2019  EUR     0.782
Peine GmbH      2.000     07/05/2023  EUR     44.500
Windreich GmbH  6.500     7/15/2016   EUR     4.475
Sberbank of Russ0.010     7/24/2028   RUB     80.100
German Pellets G7.250     04/01/2016  EUR     1.000
German Pellets G7.250     11/27/2019  EUR     1.000
Bulgaria Steel F12.000    05/04/2013  EUR     0.216
Espirito Santo F3.125     12/02/2018  EUR     1.485
A-TEC Industries2.750     05/10/2014  EUR     0.100
Hellas Telecommu8.500     10/15/2013  EUR     0.540
Norske Skog Hold8.000     2/24/2021   EUR     0.006
Cattles Ltd     8.125     07/05/2017  GBP     0.027
SiC Processing G7.125     03/01/2016  EUR     2.381
Erotik-Abwicklun7.750     07/09/2019  EUR     0.779
Elli Investments12.250    6/15/2020   GBP     52.250
Del Monte Financ6.625     5/24/2006   EUR     4.413
Sberbank of Russ0.010     7/23/2026   RUB     80.100
SAG Solarstrom A7.500     07/10/2017  EUR     31.000
Credit Suisse AG5.880     6/28/2023   USD     10.000
Havila Shipping 4.700     01/02/2025  NOK     24.195
Vneshprombank Lt9.000     11/14/2016  USD     0.078
O1 Properties Fi8.250     9/27/2021   USD     10.440
KTG Agrar SE    7.250     10/15/2019  EUR     2.885
Havila Shipping 3.950     01/02/2025  NOK     51.646
Lehman Brothers 5.220     03/01/2024  EUR     0.100
Hema Bondco II B8.500     1/15/2023   EUR     0.780
Virgolino de Oli10.875    1/13/2020   USD     34.000
Deutsche Bank AG13.750    6/20/2026   TRY     72.069
Golfino AG      8.000     11/18/2023  EUR     0.020
Intelsat Jackson9.750     7/15/2025   USD     58.500
Pescanova SA    5.125     4/20/2017   EUR     0.319
Senvion Holding 3.875     10/25/2022  EUR     0.504
Kommunekredit   0.500     7/30/2027   TRY     33.770
CRC Breeze Finan6.110     05/08/2026  EUR     30.273
Intelsat Jackson8.500     10/15/2024  USD     58.500
Phosphorus Holdc10.000    04/01/2019  GBP     0.974
Naviera Armas SA4.250     11/15/2024  EUR     68.990
Norske Skog Hold8.000     2/24/2023   USD     0.006
Agrokor dd      9.875     05/01/2019  EUR     15.000
Pongs & Zahn AG 8.500     11/01/2014  EUR     0.002
Commerzbank AG  0.077     11/19/2029  EUR     63.129
Virgolino de Oli11.750    02/09/2022  USD     1.336
Intelsat Luxembo12.500    11/15/2024  USD     65.750
Stichting Afwikk2.207                 EUR     1.258
Credit Suisse AG12.450    12/08/2021  USD     40.590
Credit Suisse AG4.250     03/07/2022  USD     9.900
Veneto Banca SpA6.950     2/25/2025   EUR     0.449
Aralco Finance S10.125    05/07/2020  USD     0.934
Officine Maccafe5.750     06/01/2021  EUR     19.906
Ahtium PLC      4.000     12/16/2015  EUR     0.586
Air Berlin Finan6.000     03/06/2019  EUR     0.357
Cooperatieve Rab0.500     10/29/2027  MXN     62.118
SALVATOR Vermoeg9.500                 EUR     9.900
Gebr Sanders Gmb8.750     10/22/2018  EUR     9.375
International Fi0.500     6/29/2027   ZAR     65.586
Yell Bondco PLC 8.500     05/02/2023  GBP     54.480
Cooperatieve Rab0.500     11/30/2027  MXN     61.836
Depfa Funding II6.500                 EUR     60.509
NTRP Via Interpi10.250    08/02/2017  USD     30.500
AKB Peresvet ZAO0.510     2/14/2032   RUB     12.250
Getin Noble Bank5.250     7/28/2023   PLN     73.398
SALVATOR Vermoeg9.500     12/31/2021  EUR     8.800
Decipher Product12.500    9/27/2019   USD     1.500
Turkiye Ihracat 12.540    9/14/2028   TRY     73.991
Espirito Santo F5.050     11/15/2025  EUR     1.097
BNG Bank NV     10.010    6/17/2025   TRY     73.373
Caixa Economica 5.000                 EUR     50.040
Sberbank of Russ0.010     7/29/2024   RUB     80.100
Steilmann SE    6.750     6/27/2017   EUR     2.184
Landesbank Hesse6.800     7/18/2024   EUR     70.970
Golden Gate AG  6.500     10/11/2014  EUR     37.500
Sequa Petroleum 5.000     4/29/2020   USD     30.718
A-TEC Industries8.750     10/27/2014  EUR     0.100
HPI AG          3.500                 EUR     3.011
getgoods.de AG  7.750     10/02/2017  EUR     0.367
Portugal Telecom5.242     11/06/2017  EUR     0.694
MS Deutschland B6.875     12/18/2017  EUR     1.810
Veneto Banca SpA6.411                 EUR     0.342
BOA Offshore AS 0.409     7/17/2047   NOK     8.777
Barclays Bank PL4.000     7/19/2022   USD     9.970
Barclays Bank PL5.090     06/08/2022  USD     9.940
DZ Bank AG Deuts0.488     03/11/2031  EUR     57.129
Bank Otkritie Fi10.000    4/26/2019   USD     10.000
Air Berlin Finan8.500     03/06/2019  EUR     0.357
Privatbank CJSC 10.875    2/28/2018   USD     29.354
German Pellets G7.250     07/09/2018  EUR     1.000
La Veggia Financ7.125     11/14/2004  EUR     0.287
Mox Telecom AG  7.250     11/02/2017  EUR     2.272
Steilmann SE    7.000     9/23/2018   EUR     1.429
Credit Suisse AG20.000    11/29/2024  USD     13.340
Muehl Product & 6.750     03/10/2005  DEM     0.102
SAir Group      0.125     07/07/2005  CHF     12.625
Russian Federal 0.250     7/20/2044   RUB     20.000
SFO Akkord Finan10.000    02/12/2024  RUB     67.810
Ahtium PLC      9.750     04/04/2017  EUR     0.717
Uppfinnaren 1 AB11.000                SEK     40.000
Santander Consum5.110                 NOK     45.107
KPNQwest NV     7.125     06/01/2009  EUR     0.484
Credit Suisse AG27.250    07/03/2024  USD     9.700
Ukraine Governme8.120     11/10/2035  UAH     69.163
Steilmann SE    7.000     03/09/2017  EUR     1.429
Getin Noble Bank4.250     8/30/2024   PLN     60.039
KPNQwest NV     8.875     02/01/2008  EUR     0.474
Barclays Bank PL0.500     1/28/2033   MXN     37.304
Rena GmbH       7.000     12/15/2015  EUR     2.096
WEB Windenergie 4.000     12/17/2025  EUR     0.010
Barclays Bank PL5.000     11/01/2029  BRL     66.961
Banco Santander 1.858                 EUR     1.565
Phones4u Finance9.500     04/01/2018  GBP     71.750
EFG Internationa12.000    10/19/2021  USD     66.110
Moby SpA        7.750     2/15/2023   EUR     33.382
Stichting Afwikk8.450     8/20/2018   USD     5.250
Dyadya Doner OOO13.500    4/25/2023   RUB     16.510
Rio Forte Invest4.000     7/22/2014   EUR     5.814
COFIDUR SA      0.100     12/31/2024  EUR     24.050
International Ba8.250     10/09/2024  USD     60.375
Bibby Offshore S7.500     6/15/2021   GBP     11.625
Ukraine Governme6.000     1/22/2031   UAH     62.721
New World Resour4.000     10/07/2020  EUR     0.231
Metalloinvest Ho0.010     03/07/2022  RUB     70.000
Sairgroup Financ6.625     10/06/2010  EUR     1.509
A-TEC Industries5.750     11/02/2010  EUR     0.100
UkrLandFarming P10.875    3/26/2018   USD     1.885
Activa Resources0.500     11/15/2021  EUR     0.500
Banco Espirito S10.000    12/06/2021  EUR     0.139
Cooperatieve Rab0.500     1/31/2033   MXN     36.400
Centrosolar Grou7.000     2/15/2016   EUR     2.505
SG Issuer SA    5.000     04/02/2024  EUR     58.780
SG Issuer SA    2.100     04/05/2033  EUR     31.130
Getin Noble Bank4.250     7/26/2024   PLN     65.837
BRAbank ASA     7.260                 NOK     50.193
MTS-Bank PAO    9.500     10/28/2029  RUB     51.860
Lehman Brothers 1.000     10/05/2035  EUR     0.100
WEB Windenergie 4.500                 EUR     0.010
LBI ehf         7.431                 USD     0.001
Credit Suisse AG6.250     11/28/2025  USD     11.570
Thomas Cook Grou6.250     6/15/2022   EUR     0.484
Natixis SA      0.300     6/25/2048   USD     51.061
Northland Resour15.000    7/15/2019   USD     2.621
Tonon Luxembourg12.500    5/14/2024   USD     0.399
Rena GmbH       8.250     07/11/2018  EUR     2.096
Credit Suisse AG5.200     8/17/2022   USD     9.829
City of Predeal 2.985     5/15/2026   RON     61.000
RENE LEZARD Mode7.250     11/25/2017  EUR     0.500
SAir Group      6.250     10/27/2002  CHF     12.625
SAir Group      5.125     03/01/2003  CHF     12.750
Credit Suisse AG11.150    12/08/2021  CHF     42.210
Credit Suisse AG16.500    05/10/2024  USD     10.290
Mifa Mitteldeuts7.500     08/12/2018  EUR     2.000
Getin Noble Bank5.250     11/30/2023  PLN     65.269
Rio Forte Invest3.900     07/10/2014  USD     5.750
Mriya Agro Holdi10.950    3/30/2016   USD     4.667
Intelsat Jackson9.750     7/15/2025   USD     56.936
Bilt Paper BV   9.640                 USD     1.699
Credit Suisse AG4.180     9/14/2022   USD     9.800
Vontobel Financi9.100     2/21/2022   EUR     70.169
Kardan NV       6.325     2/21/2021   ILS     14.140
Getin Noble Bank5.250     12/21/2023  PLN     74.676
Russian Post FGU2.750     12/06/2023  RUB     70.000
Resa SA/Belgium 1.950     7/22/2036   EUR     50.000
Veneto Banca SpA6.944     5/15/2025   EUR     0.449
Banca Popolare d9.500     10/02/2025  EUR     0.049
Rosbank PJSC    0.040     4/30/2024   RUB     65.000
Heta Asset Resol5.030     12/31/2023  EUR     1.438
Mriya Agro Holdi9.450     4/19/2018   USD     4.667
Hellas Telecommu8.500     10/15/2013  EUR     0.540
Landesbank Baden5.400     2/25/2022   EUR     73.950
Credit Suisse AG11.500    12/08/2021  EUR     42.290
Otkritie Holding0.010     9/17/2027   RUB     3.500
Archer Finance O9.250     3/29/2022   RUB     0.120
BNP Paribas SA  1.000     1/23/2040   MXN     21.986
Astana Finance B7.875     06/08/2010  EUR     16.000
DANY COLL LLC   0.100     7/19/2022   RUB     1.970
PA Resources AB 13.500    03/03/2016  SEK     0.124
Phosphorus Holdc10.000    04/01/2019  GBP     0.974
Intelsat Luxembo12.500    11/15/2024  USD     65.750
ECM Real Estate 5.000     10/09/2011  EUR     15.375
LBI ehf         7.431                 USD     0.001
Heta Asset Resol7.500     12/31/2023  ATS     1.438
Otkritie Holding0.010     10/03/2036  RUB     0.010
Credit Suisse AG4.530     07/12/2023  USD     9.630
Credit Suisse AG6.960     8/24/2022   USD     9.900
BRAbank ASA/NO  7.210                 NOK     51.443
Windreich GmbH  6.750     03/01/2015  EUR     4.475
Windreich GmbH  6.250     03/01/2015  EUR     4.475
Pescanova SA    8.750     2/17/2019   EUR     0.319
Grupo Isolux Cor6.000     12/30/2021  USD     0.229
SAir Group      5.500     7/23/2003   CHF     12.625
OOO SPV Structur0.010     09/01/2023  RUB     66.740
Lehman Brothers 2.875     3/14/2013   CHF     0.100
Norske Skogindus7.125     10/15/2033  USD     0.001
Espirito Santo F5.625     7/28/2017   EUR     0.544
Agrokor dd Via A4.921     08/08/2017  EUR     14.625
UBS AG/London   25.250    08/10/2021  CHF     72.200
Thomas Cook Fina3.875     7/15/2023   EUR     2.410
Eiendomskreditt 2.050     9/17/2029   NOK     68.924
Bulgaria Steel F12.000    05/04/2013  EUR     0.216
New World Resour8.000     04/07/2020  EUR     0.110
IT Holding Finan9.875     11/15/2012  EUR     0.238
EDOB Abwicklungs7.500     04/01/2012  EUR     3.495
Landesbank Hesse3.000     08/06/2021  EUR     35.300
BNP Paribas Issu5.000     11/05/2024  EUR     28.820
UBS AG/London   17.250    10/21/2021  CHF     69.550
Norske Skog Hold8.000     2/24/2021   EUR     0.006
SAir Group      4.250     02/02/2007  CHF     12.625
Espirito Santo F5.125     5/30/2016   EUR     0.546
Deutsche Bank AG0.500     10/18/2038  MXN     17.639
Pescanova SA    6.750     03/05/2015  EUR     0.319
Solarwatt GmbH  7.000     11/01/2015  EUR     15.500
Bank2 ASA       5.270                 NOK     59.547
Getin Noble Bank5.240     4/29/2024   PLN     61.349
Bayerische Lande2.000     1/28/2022   EUR     65.240
Credit Suisse AG11.600    12/08/2021  EUR     39.000
Corner Banca SA 12.000    6/21/2022   CHF     64.050
Danske Bank A/S 6.860     07/09/2022  SEK     25.860
Gold-Zack AG    7.000     12/14/2005  EUR     5.000
Citigroup Global9.000     8/18/2022   USD     0.752
Landesbank Baden7.000     11/26/2021  EUR     69.840
Bank Otkritie Fi0.010     7/16/2025   RUB     72.880
Norske Skog Hold8.000     2/24/2023   USD     0.006
Waste Italia SpA10.500    11/15/2019  EUR     0.782
Lehman Brothers 5.120     4/30/2027   EUR     0.100
Deutsche Agrar H7.250     9/28/2018   EUR     1.254
Astana Finance B9.000     11/16/2011  USD     15.250
SAir Group      6.250     04/12/2005  CHF     12.625
Ukraine Governme6.000     11/22/2028  UAH     67.642
Ukraine Governme6.000     11/28/2029  UAH     65.169
Espirito Santo F0.355     10/27/2024  EUR     0.297
Lehman Brothers 10.000    06/11/2038  JPY     0.100
Agrokor dd      8.875     02/01/2020  USD     15.000
Rosbank PJSC    0.010     4/30/2024   RUB     65.000
HSBC Bank PLC   0.500     12/22/2025  BRL     65.600
Lehman Brothers 2.000     3/16/2035   EUR     0.100
Cooperatieve Rab0.500     8/21/2028   MXN     57.717
UniCredit Bank A6.600     7/20/2028   EUR     46.520
Citigroup Global12.379    11/13/2023  SEK     72.470
Landesbank Hesse5.500     5/25/2023   EUR     30.050
Landesbank Hesse6.250     12/22/2022  EUR     58.300
Credit Suisse AG18.000    8/17/2021   USD     68.970
UBS AG/London   7.000     8/16/2021   CHF     55.400
Societe Generale13.010    02/02/2023  USD     74.450
Lehman Brothers 4.100     06/10/2014  SGD     0.100
Petromena ASA   10.850    11/19/2018  USD     0.622
DeloPorts LLC   0.010     11/14/2025  RUB     70.020
Vontobel Financi10.000    11/22/2021  EUR     74.685
Hellas Telecommu6.054     1/15/2015   USD     0.001
Northland Resour4.000     10/15/2020  NOK     0.271
Elli Investments12.250    6/15/2020   GBP     52.250
Rio Forte Invest4.750     11/10/2015  EUR     5.750
Lehman Brothers 7.750     01/03/2012  AUD     0.100
Credit Agricole 5.400     1/31/2028   BRL     75.005
Laurel GmbH     7.125     11/16/2017  EUR     7.750
Norske Skogindus7.125     10/15/2033  USD     0.001
Tonon Luxembourg12.500    5/14/2024   USD     0.399
Heta Asset Resol5.920     12/31/2023  EUR     1.438
WEB Windenergie 2.250     9/25/2028   EUR     0.010
Banque Cantonale5.800     08/09/2021  CHF     56.340
Societe Generale6.000     05/09/2022  USD     8.680
UniCredit Bank A4.050     10/24/2021  EUR     61.320
Societe Generale6.000     06/06/2022  USD     1.460
Credit Suisse AG10.000    02/02/2023  USD     10.000
Leonteq Securiti2.750     9/15/2022   CHF     18.630
Leonteq Securiti28.630    12/15/2021  CHF     59.310
UBS AG/London   9.300     08/12/2021  CHF     63.000
Lehman Brothers 5.103     6/22/2046   EUR     0.100
LBI ehf         6.100     8/25/2011   USD     9.883
Lehman Brothers 3.860     9/21/2011   SGD     0.100
Sberbank CIB JSC0.010     01/04/2030  RUB     52.462
Instabank ASA   7.190                 NOK     36.881
Instabank ASA   5.190     3/28/2028   NOK     60.261
Lehman Brothers 4.200     12/03/2008  HKD     0.100
Deutsche Bank AG2.000     10/25/2023  TRY     67.623
Cooperatieve Rab0.500     12/29/2027  MXN     61.416
Lehman Brothers 7.500     10/24/2008  USD     0.100
Agrokor dd      9.125     02/01/2020  EUR     15.000
Phones4u Finance9.500     04/01/2018  GBP     71.750
Ukraine Governme6.000     1/27/2027   UAH     72.953
Leonteq Securiti4.290     7/30/2021   USD     52.560
Leonteq Securiti2.630     7/30/2021   USD     35.630
Bayerische Lande2.300     11/26/2021  EUR     60.560
Landesbank Baden2.300     7/22/2022   EUR     62.880
Credit Suisse AG6.190     9/14/2022   USD     10.000
Getin Noble Bank5.250     1/31/2024   PLN     72.727
Turkey Governmen8.000     03/12/2025  TRY     #N/A N/A
DeltaCredit Bank1.000     7/28/2025   RUB     73.000
Lehman Brothers 2.500     12/15/2011  GBP     0.100
Getin Noble Bank4.750     5/31/2024   PLN     71.875
Rosbank PJSC    0.030     4/30/2024   RUB     65.000
KPNQwest NV     8.875     02/01/2008  EUR     0.474
Getin Noble Bank5.250     04/04/2024  PLN     64.780
Lehman Brothers 16.000    12/26/2008  USD     0.100
Rosbank PJSC    0.020     4/30/2024   RUB     65.000
Credito Padano B3.100                 EUR     34.091
Ukraine Governme6.000     9/18/2030   UAH     63.407
Ukraine Governme6.000     9/13/2028   UAH     68.143
Ukraine Governme6.000     4/23/2031   UAH     62.215
Ukraine Governme5.000     2/20/2032   UAH     55.004
Intelsat SA     4.500     6/15/2025   USD     34.200
Ukraine Governme6.000     06/04/2031  UAH     62.003
Ukraine Governme6.000     09/10/2031  UAH     61.494
Ukraine Governme6.000     10/11/2028  UAH     67.938
Ukraine Governme8.420     05/10/2034  UAH     72.297
Ukraine Governme8.310     11/10/2034  UAH     71.183
Ukraine Governme8.630     05/10/2033  UAH     74.465
Ukraine Governme8.220     05/10/2035  UAH     70.205
Ukraine Governme6.000     03/12/2031  UAH     62.440
Ukraine Governme6.000     8/28/2030   UAH     63.532
Ukraine Governme6.000     1/28/2032   UAH     60.816
Ukraine Governme6.000     12/11/2030  UAH     62.944
Ukraine Governme6.000     5/16/2029   UAH     66.437
Aralco Finance S10.125    05/07/2020  USD     0.934
KPNQwest NV     7.125     06/01/2009  EUR     0.484
LBI ehf         5.080     03/01/2013  ISK     9.500
Nota-Bank OJSC  13.500    04/01/2016  RUB     31.500
Ukraine Governme6.000     10/15/2031  UAH     61.316
Ukraine Governme8.520     11/10/2033  UAH     73.346
Ukraine Governme6.000     12/23/2026  UAH     73.269
Barclays Bank PL2.000     05/07/2036  MXN     39.634
Getin Noble Bank5.250     8/31/2023   PLN     73.348
SAir Group      2.125     11/04/2004  CHF     12.625
Getin Noble Bank5.240     11/09/2023  PLN     74.792
UBS AG/London   9.750     9/13/2021   CHF     73.900
Landesbank Hesse3.600     08/12/2021  EUR     49.900
Landesbank Hesse5.200     01/11/2024  EUR     73.020
UniCredit Bank A4.150     10/12/2022  EUR     60.430
Landesbank Baden4.000     10/22/2021  EUR     42.820
Landesbank Baden3.250     10/22/2021  EUR     68.760
Landesbank Baden2.150     8/27/2021   EUR     66.730
Landesbank Baden3.500     8/27/2021   EUR     52.490
Skandinaviska En8.300     7/17/2023   SEK     74.840
UniCredit Bank A3.800     6/28/2022   EUR     61.770
Leonteq Securiti4.000     08/10/2022  CHF     74.090
Raiffeisen Schwe5.800     9/28/2021   CHF     68.420
Landesbank Baden3.000     12/23/2022  EUR     65.630
Landesbank Baden3.200     12/23/2022  EUR     67.690
Zurcher Kantonal6.000     8/24/2021   EUR     73.970
Leonteq Securiti8.130     2/21/2022   EUR     70.160
Leonteq Securiti4.000     2/21/2022   EUR     68.620
Raiffeisen Schwe4.500     2/21/2023   CHF     74.060
Landesbank Baden3.050     9/23/2022   EUR     69.680
Leonteq Securiti10.000    08/09/2021  CHF     57.750
Landesbank Hesse6.300     8/31/2023   EUR     55.070
Landesbank Hesse4.000     6/22/2022   EUR     38.630
UniCredit Bank A3.350     6/14/2022   EUR     54.650
Leonteq Securiti5.600     5/16/2022   CHF     68.730
Landesbank Baden2.100     8/27/2021   EUR     50.230
Landesbank Hesse5.350     9/22/2023   EUR     31.210
Landesbank Baden3.050     9/23/2022   EUR     60.050
Landesbank Baden2.850     9/23/2022   EUR     67.030
Societe Generale6.100     04/03/2023  EUR     75.330
UniCredit Bank A4.100     8/24/2022   EUR     64.290
Leonteq Securiti5.400     7/25/2022   CHF     68.140
Leonteq Securiti6.200     7/27/2021   CHF     66.540
UniCredit Bank A5.350     8/24/2021   EUR     42.230
Landesbank Baden3.150     12/27/2021  EUR     72.620
Danske Bank A/S 10.300    07/09/2023  SEK     11.200
UniCredit Bank A4.000     2/28/2022   EUR     60.250
Landesbank Hesse8.900     3/16/2023   EUR     66.220
Landesbank Baden2.800     4/25/2022   EUR     63.560
Leonteq Securiti3.750     2/20/2023   CHF     50.700
Societe Generale3.900     3/23/2022   USD     0.030
Landesbank Hesse5.650     10/28/2022  EUR     60.410
DekaBank Deutsch3.900     4/25/2022   EUR     41.730
Landesbank Baden3.000     9/23/2022   EUR     61.280
UBS AG/London   10.250    8/26/2021   CHF     70.050
UBS AG/London   10.000    8/26/2021   EUR     67.550
Bank Julius Baer9.500     8/26/2021   CHF     56.900
Credit Suisse AG6.000     8/24/2022   CHF     72.480
Societe Generale4.890     2/16/2023   USD     #N/A N/A
SG Issuer SA    9.180     1/20/2025   SEK     69.850
Bayerische Lande2.000     2/18/2022   EUR     64.070
Landesbank Hesse3.500     8/17/2022   EUR     77.070
Leonteq Securiti7.200     9/24/2021   CHF     65.730
Raiffeisen Schwe6.500     09/02/2021  CHF     70.730
Landesbank Baden3.700     2/25/2022   EUR     64.030
Landesbank Baden4.000     3/25/2022   EUR     71.030
Landesbank Baden4.800     3/25/2022   EUR     68.240
UBS AG/London   12.500    09/06/2021  CHF     69.050
UBS AG/London   8.000     03/04/2022  EUR     67.150
UBS AG/London   7.500     09/06/2021  CHF     72.400
UBS AG/London   8.500     09/06/2021  CHF     72.650
Erste Group Bank4.350     2/28/2022   EUR     43.650
UBS AG/London   7.000     9/23/2021   EUR     74.370
Landesbank Hesse4.000     3/23/2022   EUR     42.810
Landesbank Hesse3.500     03/09/2022  EUR     41.270
Landesbank Baden6.400     2/25/2022   EUR     72.000
Landesbank Baden3.300     2/25/2022   EUR     74.030
Landesbank Baden1.200     2/25/2022   EUR     72.970
Landesbank Hesse6.400     03/09/2023  EUR     65.730
Raiffeisen Schwe7.200     03/02/2022  CHF     74.620
UniCredit Bank A4.000     3/13/2022   EUR     65.690
Landesbank Hesse5.900     03/09/2023  EUR     69.400
Landesbank Baden4.900     2/25/2022   EUR     67.970
Landesbank Baden2.600     2/25/2022   EUR     67.310
UBS AG/London   12.250    8/26/2021   CHF     68.450
UBS AG/London   10.750    8/26/2021   CHF     68.300
SG Issuer SA    0.263     2/20/2025   EUR     19.120
SG Issuer SA    7.600     1/20/2025   SEK     65.890
DekaBank Deutsch3.000     8/27/2021   EUR     66.920
Landesbank Hesse5.150     6/14/2022   EUR     63.170
Skandinaviska En9.020     7/17/2023   SEK     73.340
UniCredit Bank A4.450     7/23/2022   EUR     71.610
Landesbank Hesse4.000     8/18/2021   EUR     51.200
Landesbank Hesse3.600     7/27/2022   EUR     67.560
SecurAsset SA   5.250     6/30/2022   EUR     35.850
SG Issuer SA    11.170    7/20/2025   SEK     60.840
SG Issuer SA    4.000     6/22/2026   EUR     68.140
Landesbank Hesse2.000     3/29/2022   EUR     43.260
EFG Internationa7.600     10/11/2021  CHF     63.840
Leonteq Securiti5.600     8/24/2021   CHF     44.200
DekaBank Deutsch2.500     09/10/2021  EUR     71.270
Landesbank Baden2.500     9/23/2022   EUR     69.820
Rosseti South PJ9.240     07/01/2022  RUB     72.460
Raiffeisen Schwe5.250     8/24/2021   CHF     73.360
Zurcher Kantonal8.500     8/24/2021   CHF     64.970
Raiffeisen Switz4.000     8/30/2022   CHF     41.400
EFG Internationa6.500     8/30/2021   CHF     74.830
Societe Generale9.000     7/22/2022   USD     57.500
Landesbank Baden3.000     9/23/2022   EUR     55.830
Societe Generale5.600     09/04/2023  EUR     43.850
Landesbank Hesse5.800     9/24/2024   EUR     57.090
Landesbank Baden2.650     9/23/2022   EUR     67.560
UniCredit Bank A6.300     10/16/2021  EUR     33.960
UniCredit Bank A4.200     7/26/2022   EUR     33.610
UniCredit Bank A4.150     7/26/2022   EUR     53.350
UniCredit Bank A4.300     7/26/2022   EUR     58.600
Landesbank Hesse6.700     10/13/2023  EUR     61.390
Leonteq Securiti6.000     8/17/2021   CHF     40.170
Landesbank Baden3.400     11/26/2021  EUR     70.630
Landesbank Baden2.750     11/26/2021  EUR     73.830
Raiffeisen Schwe5.000     12/29/2021  CHF     69.900
Landesbank Hesse3.000     08/11/2022  EUR     66.920
Landesbank Hesse7.500     11/03/2023  EUR     56.310
Landesbank Hesse6.200     6/17/2022   EUR     50.790
EFG Internationa14.800    8/19/2021   CHF     48.420
Raiffeisen Schwe5.000     8/24/2022   CHF     73.600
Raiffeisen Schwe6.000     8/24/2022   CHF     75.220
Landesbank Hesse7.250     06/08/2023  EUR     69.690
Landesbank Hesse5.500     06/08/2023  EUR     73.660
UniCredit Bank A4.300     6/28/2022   EUR     67.800
UniCredit Bank A4.250     6/28/2022   EUR     49.310
Landesbank Hesse3.500     07/06/2022  EUR     35.120
Landesbank Hesse2.000     6/13/2022   EUR     52.020
Landesbank Hesse6.000     03/10/2023  EUR     65.470
Araratbank OJSC 5.250     09/11/2022  USD     25.155
Landesbank Hesse4.000     8/31/2022   EUR     49.230
EFG Internationa6.400     08/09/2021  CHF     69.570
Landesbank Baden3.500     1/28/2022   EUR     56.480
Landesbank Hesse6.350     11/19/2024  EUR     62.510
Credit Suisse AG6.000     8/22/2022   CHF     72.100
Leonteq Securiti6.100     2/21/2022   CHF     71.380
Vontobel Financi6.700     03/07/2022  EUR     63.400
UniCredit Bank A3.250     3/29/2022   EUR     27.710
UniCredit Bank A3.750     3/26/2022   EUR     60.740
Landesbank Baden2.600     9/23/2022   EUR     69.990
Leonteq Securiti7.200     08/06/2021  CHF     68.030
UBS AG/London   5.500     8/19/2021   EUR     65.250
UBS AG/London   6.500     8/19/2021   CHF     65.300
UniCredit Bank A4.000     11/21/2022  EUR     58.770
Corner Banca SA 14.200    8/24/2021   USD     3.210
Credit Suisse AG7.500     8/13/2021   CHF     74.060
Zurcher Kantonal8.000     2/25/2022   CHF     70.100
UBS AG/London   10.000    8/19/2021   CHF     66.900
UBS AG/London   5.750     8/20/2021   EUR     66.550
Raiffeisen Schwe4.600     2/20/2023   CHF     75.320
Zurcher Kantonal9.750     8/26/2021   USD     72.910
Zurcher Kantonal7.250     09/02/2021  CHF     74.510
UBS AG/London   10.750    8/19/2021   CHF     69.200
Corner Banca SA 8.600     10/12/2021  CHF     67.600
UBS AG/London   7.000     2/21/2022   EUR     60.850
UBS AG/London   11.500    8/19/2021   CHF     69.200
DekaBank Deutsch4.250     4/14/2022   EUR     40.620
Raiffeisen Switz10.500    07/11/2024  USD     19.800
Landesbank Hesse4.000     08/03/2022  EUR     57.980
Societe Generale3.000     7/22/2022   USD     5.800
Landesbank Hesse3.350     9/21/2022   EUR     61.830
UniCredit Bank A3.600     8/23/2021   EUR     32.430
UniCredit Bank A4.600     9/14/2022   EUR     61.370
SG Issuer SA    3.000     09/02/2021  EUR     47.730
Landesbank Hesse5.000     11/25/2022  EUR     54.890
UniCredit Bank A4.200     9/21/2022   EUR     50.270
UniCredit Bank A9.900     12/24/2021  EUR     74.170
DekaBank Deutsch2.500     10/22/2021  EUR     73.100
EFG Internationa6.000     8/13/2021   CHF     71.960
EFG Internationa6.200     8/16/2021   CHF     62.110
DekaBank Deutsch2.150     1/21/2022   EUR     64.050
UniCredit Bank A4.200     03/01/2023  EUR     65.590
Landesbank Baden4.700     3/25/2022   EUR     46.160
Landesbank Hesse6.600     02/01/2024  EUR     68.190
Landesbank Baden3.300     3/25/2022   EUR     55.300
EFG Internationa10.500    02/07/2022  EUR     67.630
UniCredit Bank A9.000     12/27/2021  EUR     66.960
Leonteq Securiti11.400    9/20/2021   CHF     2.770
Landesbank Baden3.250     2/24/2023   EUR     67.030
Landesbank Baden4.100     1/28/2022   EUR     53.100
Landesbank Hesse6.150     8/25/2022   EUR     61.870
DZ Bank AG Deuts20.200    9/24/2021   EUR     63.370
Landesbank Hesse4.000     05/11/2022  EUR     50.480
Leonteq Securiti7.000     7/30/2021   CHF     58.900
Landesbank Hesse5.900     8/25/2023   EUR     62.540
Landesbank Hesse4.000     06/08/2022  EUR     47.830
DekaBank Deutsch2.300     11/12/2021  EUR     60.980
Landesbank Baden3.250     12/23/2022  EUR     64.630
Landesbank Baden2.650     12/23/2022  EUR     71.230
EFG Internationa6.500     10/25/2021  CHF     72.260
EFG Internationa7.000     10/25/2021  EUR     69.280
UniCredit Bank A4.350     10/26/2021  EUR     52.280
Bayerische Lande2.500     12/03/2021  EUR     60.070
Landesbank Baden3.800     1/28/2022   EUR     51.560
DekaBank Deutsch3.100     12/03/2021  EUR     46.780
Leonteq Securiti4.750     11/01/2021  CHF     15.860
Landesbank Hesse4.000     11/10/2021  EUR     37.350
Landesbank Hesse5.450     11/17/2022  EUR     64.630
UniCredit Bank A4.350     11/21/2021  EUR     58.290
Leonteq Securiti7.200     10/27/2021  CHF     59.990
Leonteq Securiti6.200     10/18/2021  CHF     71.160
Leonteq Securiti7.000     10/19/2021  CHF     70.850
Nordea Bank Abp 4.100     7/20/2023   SEK     51.630
Landesbank Hesse6.500     05/11/2023  EUR     66.470
Landesbank Hesse3.500     05/11/2022  EUR     56.280
SG Issuer SA    8.700     1/20/2025   SEK     67.700
Raiffeisen Schwe4.700     10/20/2021  CHF     72.160
UniCredit Bank A7.000     3/29/2022   EUR     62.550
Raiffeisen Switz4.800     11/23/2023  CHF     47.920
UniCredit Bank A4.450     12/29/2022  EUR     37.380
UniCredit Bank A4.700     12/19/2021  EUR     33.680
SG Issuer SA    7.500     1/20/2025   SEK     64.310
Landesbank Hesse3.500     01/05/2022  EUR     56.190
Landesbank Hesse4.000     01/05/2022  EUR     35.180
UniCredit Bank A3.800     12/29/2022  EUR     72.850
Landesbank Hesse3.500     01/05/2022  EUR     53.520
Landesbank Hesse5.400     04/05/2023  EUR     46.040
Landesbank Hesse7.800     12/15/2022  EUR     57.810
Landesbank Baden2.750     3/25/2022   EUR     60.730
Landesbank Baden2.500     3/25/2022   EUR     70.050
Landesbank Baden3.400     1/27/2023   EUR     63.900
Landesbank Baden3.400     11/25/2022  EUR     59.540
Landesbank Hesse4.000     12/21/2022  EUR     69.280
Landesbank Baden3.250     8/27/2021   EUR     52.890
Landesbank Hesse4.000     10/12/2022  EUR     62.750
DekaBank Deutsch2.500     10/24/2023  EUR     64.080
Landesbank Hesse6.000     9/21/2023   EUR     48.590
DekaBank Deutsch2.300     9/24/2021   EUR     52.930
Leonteq Securiti6.000     9/14/2021   CHF     65.900
Landesbank Baden3.000     12/23/2022  EUR     60.080
Center-Invest Co6.000     03/03/2022  RUB     65.200
UniCredit Bank A3.850     10/05/2023  EUR     74.530
Landesbank Hesse6.700     5/17/2022   EUR     52.730
Landesbank Hesse4.350     2/24/2023   EUR     59.310
Landesbank Hesse5.100     2/17/2023   EUR     40.720
UniCredit Bank A4.250     11/21/2021  EUR     35.040
UniCredit Bank A4.200     11/21/2021  EUR     60.270
Vontobel Financi11.500    9/24/2021   EUR     74.810
Vontobel Financi12.500    9/24/2021   EUR     72.940
Landesbank Baden3.500     8/26/2022   EUR     67.970
Landesbank Baden5.450     8/26/2022   EUR     61.620
Corner Banca SA 6.400     09/07/2021  CHF     75.750
Landesbank Hesse5.000     9/21/2023   EUR     57.790
Landesbank Baden3.250     11/26/2021  EUR     72.890
TransKomplektHol9.500     11/02/2028  RUB     70.000
SG Issuer SA    5.000     5/23/2024   EUR     59.670
Landesbank Baden4.000     12/27/2021  EUR     55.710
Landesbank Baden3.400     2/24/2023   EUR     66.390
Landesbank Baden3.950     8/27/2021   EUR     57.350
UniCredit Bank A5.150     01/02/2023  EUR     61.470
Leonteq Securiti10.600    7/26/2021   USD     69.870
Raiffeisen Schwe7.000     7/26/2021   AUD     68.100
UniCredit Bank A9.600     12/27/2021  EUR     70.530
Landesbank Baden3.400     2/25/2022   EUR     56.640
UBS AG/London   6.500     08/02/2021  CHF     66.250
Landesbank Baden4.750     2/25/2022   EUR     47.080
EFG Internationa6.200     08/05/2022  EUR     61.680
EFG Internationa11.500    08/02/2021  USD     37.680
Landesbank Hesse4.000     03/01/2023  EUR     57.720
Landesbank Hesse6.600     2/17/2023   EUR     66.110
Skandinaviska En8.600     7/17/2023   SEK     75.340
DekaBank Deutsch2.600     10/24/2023  EUR     64.280
Vontobel Financi11.500    9/24/2021   EUR     75.104
Landesbank Baden3.500     1/28/2022   EUR     68.180
Landesbank Baden5.700     1/28/2022   EUR     59.800
DZ Bank AG Deuts5.750     9/22/2021   EUR     72.120
Landesbank Hesse4.700     2/24/2023   EUR     53.400
Leonteq Securiti6.400     11/03/2021  CHF     49.050
UniCredit Bank A4.200     12/08/2021  EUR     34.580
DekaBank Deutsch2.750     3/18/2022   EUR     72.580
Landesbank Baden2.100     7/28/2023   EUR     72.040
UniCredit Bank A5.450     3/15/2022   EUR     47.700
UniCredit Bank A5.050     01/11/2022  EUR     53.480
UBS AG/London   6.250     7/26/2021   CHF     70.750
UniCredit Bank A8.900     12/27/2021  EUR     72.680
Zurcher Kantonal9.000     7/30/2021   EUR     71.120
UBS AG/London   13.750    7/26/2021   USD     66.950
DekaBank Deutsch3.450     8/13/2021   EUR     76.450
UBS AG/London   7.000     7/26/2021   EUR     51.750
EFG Internationa10.000    7/26/2021   EUR     42.820
Raiffeisen Switz5.500     7/26/2021   EUR     50.160
EFG Internationa11.500    08/02/2021  USD     41.490
BNP Paribas Emis23.000    12/23/2021  EUR     9.660
Landesbank Baden3.150     6/24/2022   EUR     67.850
Landesbank Baden4.850     6/24/2022   EUR     60.630
Leonteq Securiti8.000     08/05/2021  CHF     56.660
UniCredit Bank A5.350     2/27/2023   EUR     56.070
BNP Paribas Issu18.000    8/13/2029   EUR     68.390
EFG Internationa12.750    1/31/2022   USD     66.700
UniCredit Bank A5.000     2/22/2022   EUR     68.720
Landesbank Baden3.700     9/24/2021   EUR     59.010
Landesbank Hesse4.000     04/12/2023  EUR     58.950
Leonteq Securiti7.200     09/08/2021  CHF     54.480
DekaBank Deutsch3.300     04/08/2022  EUR     49.790
Leonteq Securiti4.000     03/08/2022  EUR     57.870
SG Issuer SA    1.400     03/07/2033  EUR     30.800
UniCredit Bank A17.000    11/15/2021  NOK     69.780
DZ Bank AG Deuts9.000     2/23/2022   EUR     63.720
Leonteq Securiti4.000     4/19/2022   EUR     62.680
Leonteq Securiti12.000    02/09/2022  CHF     62.960
Vontobel Financi17.500    12/24/2021  EUR     75.104
Vontobel Financi19.000    12/24/2021  EUR     75.722
Vontobel Financi15.500    12/24/2021  EUR     59.740
Vontobel Financi14.500    12/24/2021  EUR     60.360
Vontobel Financi20.000    12/24/2021  EUR     56.930
Vontobel Financi17.500    12/24/2021  EUR     58.600
Vontobel Financi19.000    12/24/2021  EUR     57.390
Vontobel Financi18.000    12/24/2021  EUR     57.880
Landesbank Baden2.300     6/24/2022   EUR     55.890
Landesbank Baden4.050     8/26/2022   EUR     68.790
Landesbank Baden4.700     4/25/2022   EUR     69.020
UniCredit Bank A7.500     12/24/2021  EUR     73.370
UniCredit Bank A8.900     12/24/2021  EUR     65.890
UniCredit Bank A7.700     12/24/2021  EUR     70.210
UniCredit Bank A10.200    12/24/2021  EUR     61.020
UniCredit Bank A7.100     12/24/2021  EUR     72.790
UniCredit Bank A6.600     12/24/2021  EUR     76.890
UniCredit Bank A6.900     12/24/2021  EUR     73.180
EFG Internationa6.130     6/20/2024   EUR     2.990
Leonteq Securiti17.000    11/10/2021  CHF     72.740
UniCredit Bank A8.600     12/24/2021  EUR     67.960
UniCredit Bank A11.400    12/24/2021  EUR     67.960
UniCredit Bank A5.800     12/24/2021  EUR     74.330
UniCredit Bank A9.400     12/24/2021  EUR     71.380
UniCredit Bank A10.200    12/24/2021  EUR     44.170
UniCredit Bank A8.500     12/24/2021  EUR     48.150
UniCredit Bank A7.300     12/24/2021  EUR     69.740
UniCredit Bank A6.900     12/24/2021  EUR     70.600
UniCredit Bank A7.700     12/24/2021  EUR     50.600
UniCredit Bank A6.000     12/24/2021  EUR     56.610
UniCredit Bank A9.100     12/24/2021  EUR     64.060
UniCredit Bank A6.900     12/24/2021  EUR     71.440
UniCredit Bank A7.900     12/24/2021  EUR     70.280
UniCredit Bank A8.000     12/24/2021  EUR     67.520
UniCredit Bank A8.300     12/24/2021  EUR     67.890
UniCredit Bank A9.600     12/24/2021  EUR     64.000
Zurcher Kantonal8.000     2/23/2022   CHF     73.910
Landesbank Hesse4.400     12/22/2022  EUR     51.490
UniCredit Bank A4.300     8/24/2021   EUR     48.210
UniCredit Bank A3.500     9/19/2021   EUR     31.790
Landesbank Hesse5.000     9/29/2022   EUR     62.580
Landesbank Baden4.500     8/27/2021   EUR     71.970
Landesbank Baden2.750     8/27/2021   EUR     60.240
Landesbank Baden3.000     10/25/2024  EUR     68.340
DZ Bank AG Deuts14.600    9/24/2021   EUR     51.450
UniCredit Bank A3.850     9/19/2021   EUR     65.680
EFG Internationa9.800     9/21/2021   EUR     52.200
UniCredit Bank A4.300     12/19/2021  EUR     58.080
Landesbank Hesse4.400     01/05/2023  EUR     45.190
EFG Internationa7.000     5/23/2022   EUR     38.590
DekaBank Deutsch1.000     11/02/2021  EUR     56.230
Landesbank Baden2.550     12/27/2021  EUR     56.230
Landesbank Baden2.500     12/27/2021  EUR     52.250
DekaBank Deutsch6.300     10/01/2021  EUR     51.190
Landesbank Baden2.500     6/24/2022   EUR     63.030
UniCredit Bank A4.300     10/18/2021  EUR     39.060
UniCredit Bank A3.800     10/24/2021  EUR     59.810
DZ Bank AG Deuts12.800    9/24/2021   EUR     74.860
Landesbank Baden3.500     8/27/2021   EUR     58.230
Landesbank Baden4.800     2/25/2022   EUR     46.630
Landesbank Hesse6.150     03/11/2025  EUR     56.460
Landesbank Baden7.050     4/25/2022   EUR     64.530
Landesbank Baden2.700     4/25/2022   EUR     74.570
Erste Group Bank5.550     8/30/2022   EUR     50.300
Vontobel Financi14.000    9/24/2021   EUR     68.790
Landesbank Baden5.550     1/28/2022   EUR     65.910
Goldman Sachs & 18.000    9/22/2021   EUR     63.570
Landesbank Hesse3.000     10/20/2022  EUR     65.690
UniCredit Bank A3.200     09/10/2022  EUR     55.090
Landesbank Baden2.600     9/24/2021   EUR     60.930
Citigroup Global8.050     1/24/2023   EUR     62.920
Landesbank Hesse6.500     2/16/2023   EUR     67.840
Societe Generale4.500     12/29/2022  USD     8.840
Landesbank Baden6.250     8/27/2021   EUR     64.840
Landesbank Baden9.000     8/27/2021   EUR     58.320
UniCredit Bank A4.450     09/11/2023  EUR     60.020
Danske Bank A/S 5.300     7/15/2023   SEK     43.410
UniCredit Bank A4.130     2/13/2022   EUR     70.030
Societe Generale4.500     12/29/2022  USD     0.040
Societe Generale4.500     12/30/2024  USD     77.490
UniCredit Bank A3.500     2/13/2023   EUR     44.240
Vontobel Financi8.500     12/24/2021  EUR     54.160
Finca Uco Cjsc  6.000     2/25/2022   USD     25.612
Leonteq Securiti7.200     9/22/2021   CHF     47.410
Vontobel Financi12.500    12/24/2021  EUR     61.710
Vontobel Financi13.500    12/24/2021  EUR     61.020
Vontobel Financi16.500    12/24/2021  EUR     59.150
Vontobel Financi14.000    3/25/2022   EUR     60.920
Vontobel Financi12.000    3/25/2022   EUR     61.990
Vontobel Financi17.500    3/25/2022   EUR     58.980
Vontobel Financi12.000    12/24/2021  EUR     62.660
Landesbank Hesse6.000     10/06/2022  EUR     47.050
Landesbank Hesse4.000     08/09/2023  EUR     61.910
UniCredit Bank A7.100     12/24/2021  EUR     72.870
UniCredit Bank A8.000     12/24/2021  EUR     74.130
UniCredit Bank A8.100     12/24/2021  EUR     67.360
UniCredit Bank A6.600     12/24/2021  EUR     62.190
UniCredit Bank A6.400     12/24/2021  EUR     73.240
UniCredit Bank A7.900     12/24/2021  EUR     70.340
UniCredit Bank A10.500    12/24/2021  EUR     71.040
UniCredit Bank A13.700    12/24/2021  EUR     74.770
UniCredit Bank A8.100     12/24/2021  EUR     66.490
UniCredit Bank A10.300    12/24/2021  EUR     71.330
UniCredit Bank A12.300    12/24/2021  EUR     65.170
UniCredit Bank A6.800     12/24/2021  EUR     53.360
Vontobel Financi10.000    3/25/2022   EUR     65.940
Goldman Sachs & 14.000    12/22/2021  EUR     69.700
Leonteq Securiti8.000     09/01/2021  CHF     66.340
Landesbank Hesse3.500     9/29/2021   EUR     43.580
Landesbank Baden4.750     8/27/2021   EUR     72.430
Landesbank Baden3.750     8/27/2021   EUR     74.660
Landesbank Baden5.000     8/27/2021   EUR     53.990
Societe Generale1.580     9/16/2024   USD     3.880
Vontobel Financi9.500     12/24/2021  EUR     66.650
Vontobel Financi10.500    12/24/2021  EUR     65.740
Vontobel Financi11.500    3/25/2022   EUR     64.270
Goldman Sachs & 14.000    9/22/2021   EUR     69.590
Goldman Sachs & 16.000    12/22/2021  EUR     67.290
Landesbank Baden3.500     8/27/2021   EUR     57.990
UniCredit Bank A3.500     10/08/2022  EUR     48.490
Landesbank Hesse5.700     11/24/2022  EUR     60.780
Landesbank Baden2.500     1/28/2022   EUR     60.520
Goldman Sachs & 13.000    6/22/2022   EUR     73.610
Goldman Sachs & 14.000    3/23/2022   EUR     73.020
UniCredit Bank A4.400     12/10/2022  EUR     73.090
Landesbank Baden4.500     8/27/2021   EUR     66.160
Landesbank Hesse5.200     9/30/2022   EUR     43.990
Credit Suisse AG12.450    12/08/2021  USD     42.560
Credit Suisse AG11.200    12/08/2021  CHF     40.250
Societe Generale8.000     5/28/2027   USD     53.400
DZ Bank AG Deuts16.300    3/25/2022   EUR     74.230
DZ Bank AG Deuts20.200    3/25/2022   EUR     70.770
DZ Bank AG Deuts24.200    12/24/2021  EUR     67.760
DZ Bank AG Deuts10.250    3/23/2022   EUR     74.390
Landesbank Hesse5.600     02/11/2025  EUR     66.020
SG Issuer SA    2.100     2/14/2033   EUR     30.430
Vontobel Financi8.000     3/25/2022   EUR     62.280
Vontobel Financi7.500     12/24/2021  EUR     66.300
DZ Bank AG Deuts9.000     11/24/2021  EUR     69.330
BNP Paribas Emis0.170     9/23/2021   EUR     0.430
Vontobel Financi7.000     3/25/2022   EUR     63.600
Vontobel Financi8.500     12/24/2021  EUR     63.290
UniCredit Bank A5.000     04/08/2022  PLN     0.100
Vontobel Financi21.000    9/24/2021   EUR     71.090
Vontobel Financi8.000     12/24/2021  EUR     68.962
Leonteq Securiti25.000    8/26/2021   USD     6.600
Credit Suisse AG4.500     3/21/2022   USD     9.719
Leonteq Securiti24.530    4/22/2022   CHF     67.100
Leonteq Securiti15.000    4/13/2022   CHF     55.120
Vontobel Financi19.000    3/25/2022   EUR     73.200
Bank Julius Baer8.800     10/19/2021  CHF     27.636
UBS AG/London   7.500     4/19/2022   EUR     0.068
Leonteq Securiti16.000    5/25/2022   CHF     62.810
Vontobel Financi11.500    3/25/2022   EUR     73.260
Vontobel Financi16.000    3/25/2022   EUR     69.950
Vontobel Financi12.500    12/24/2021  EUR     73.510
Vontobel Financi20.000    12/24/2021  EUR     68.290
Vontobel Financi22.500    12/24/2021  EUR     66.900
Vontobel Financi13.500    3/25/2022   EUR     71.320
Vontobel Financi23.000    12/24/2021  EUR     67.078
EFG Internationa7.000     3/23/2023   USD     63.710
Vontobel Financi28.350    8/26/2021   EUR     50.069
Vontobel Financi24.500    12/24/2021  EUR     69.850
Credit Suisse AG6.100     09/08/2022  USD     10.000
Landesbank Baden5.000     6/24/2022   EUR     65.800
EFG Internationa24.000    06/07/2022  USD     69.400
Vontobel Financi24.380    12/08/2021  USD     57.427
Vontobel Financi23.950    06/03/2022  EUR     65.034
Leonteq Securiti12.000    06/08/2022  CHF     59.030
Bank Vontobel AG13.002    9/19/2022   CHF     66.600
Vontobel Financi18.000    9/24/2021   EUR     73.960
Vontobel Financi23.000    9/24/2021   EUR     69.690
Vontobel Financi8.000     9/24/2021   EUR     54.340
Vontobel Financi7.500     12/24/2021  EUR     55.990
Vontobel Financi6.500     9/24/2021   EUR     54.060
Raiffeisen Schwe17.000    9/14/2021   CHF     75.720
Landesbank Baden6.900     12/27/2021  EUR     69.770
Zuercher Kantona8.624     4/25/2022   CHF     0.096
Vontobel Financi6.500     3/25/2022   EUR     56.960
Vontobel Financi7.000     3/25/2022   EUR     57.300
Vontobel Financi10.500    3/25/2022   EUR     55.772
DZ Bank AG Deuts18.800    9/24/2021   EUR     75.110
DZ Bank AG Deuts13.100    12/24/2021  EUR     68.180
Vontobel Financi23.500    9/24/2021   EUR     75.510
Vontobel Financi17.000    12/24/2021  EUR     73.429
Vontobel Financi6.500     12/24/2021  EUR     55.560
Vontobel Financi7.000     12/24/2021  EUR     55.780
Vontobel Financi10.500    3/25/2022   EUR     73.260
Vontobel Financi15.500    12/24/2021  EUR     72.821
Leonteq Securiti22.620    12/23/2021  CHF     45.850
Leonteq Securiti24.870    6/14/2022   CHF     69.910
Credit Suisse AG7.110     8/17/2022   USD     9.730
Vontobel Financi18.650    06/09/2022  EUR     72.900
Leonteq Securiti22.340    4/14/2022   CHF     59.810
Bank Julius Baer10.200    5/30/2023   EUR     18.900
EFG Internationa18.000    4/14/2022   CHF     62.800
Zurcher Kantonal5.000     8/18/2021   CHF     56.190
Vontobel Financi12.500    9/24/2021   EUR     70.770
Vontobel Financi15.000    9/24/2021   EUR     45.782
Erste Group Bank8.000     7/31/2024   EUR     68.850
Corner Banca SA 17.200    4/26/2022   CHF     72.610
Vontobel Financi19.500    3/25/2022   EUR     69.601
Bank Julius Baer11.700    4/26/2022   CHF     70.250
Bank Julius Baer11.800    4/26/2022   EUR     70.350
UniCredit Bank A5.550     7/19/2022   EUR     73.550
Landesbank Baden4.750     8/27/2021   EUR     73.610
Landesbank Baden2.500     8/27/2021   EUR     67.330
Landesbank Baden3.750     8/27/2021   EUR     62.910
Landesbank Baden6.500     8/27/2021   EUR     70.200
Landesbank Baden6.250     8/27/2021   EUR     68.310
Landesbank Baden8.000     8/27/2021   EUR     65.690
Landesbank Baden3.500     8/27/2021   EUR     73.060
Credit Suisse AG13.000    11/26/2021  USD     64.150
Vontobel Financi10.000    3/25/2022   EUR     61.740
Vontobel Financi11.000    12/24/2021  EUR     55.922
Vontobel Financi7.500     3/25/2022   EUR     55.982
Vontobel Financi9.000     3/25/2022   EUR     61.060
Vontobel Financi10.000    12/24/2021  EUR     59.540
EFG Internationa15.000    02/03/2022  USD     68.310
UBS AG/London   19.750    02/03/2022  USD     73.200
Vontobel Financi22.500    9/24/2021   EUR     70.150
Vontobel Financi18.500    12/24/2021  EUR     71.880
Vontobel Financi20.000    9/24/2021   EUR     71.330
Vontobel Financi22.000    9/24/2021   EUR     69.460
Vontobel Financi17.000    12/24/2021  EUR     73.300
Vontobel Financi22.500    9/24/2021   EUR     74.670
DZ Bank AG Deuts20.200    9/24/2021   EUR     72.680
DZ Bank AG Deuts20.200    12/24/2021  EUR     72.610
Leonteq Securiti5.700     7/27/2022   CHF     1.110
Corner Banca SA 13.000    1/19/2022   CHF     63.440
DZ Bank AG Deuts10.250    8/25/2021   EUR     55.650
Citigroup Global8.200     3/21/2024   SEK     63.440
Vontobel Financi16.000    3/25/2022   EUR     60.040
Landesbank Hesse5.250     5/15/2025   EUR     71.680
DekaBank Deutsch2.800     05/02/2022  EUR     53.800
Landesbank Baden3.400     8/23/2024   EUR     65.670
Vontobel Financi19.500    12/24/2021  EUR     72.420
Vontobel Financi20.500    9/24/2021   EUR     72.040
Vontobel Financi17.500    12/24/2021  EUR     72.470
Luzerner Kantona25.000    03/09/2022  CHF     74.410
Vontobel Financi18.000    9/24/2021   EUR     73.350
Vontobel Financi19.000    9/24/2021   EUR     72.320
Vontobel Financi21.000    9/24/2021   EUR     70.380
Vontobel Financi23.000    9/24/2021   EUR     68.580
Vontobel Financi16.000    12/24/2021  EUR     73.950
DZ Bank AG Deuts22.000    9/24/2021   EUR     71.360
DZ Bank AG Deuts22.400    12/24/2021  EUR     70.350
DZ Bank AG Deuts21.300    9/24/2021   EUR     71.630
DZ Bank AG Deuts17.100    12/24/2021  EUR     75.210
Landesbank Baden5.600     11/26/2021  EUR     73.040
Raiffeisen Centr10.000    3/24/2023   EUR     1.000
Vontobel Financi17.000    3/25/2022   EUR     72.780
Vontobel Financi16.500    12/24/2021  EUR     72.650
Vontobel Financi11.000    12/24/2021  EUR     67.940
Vontobel Financi14.500    12/24/2021  EUR     63.110
Landesbank Baden4.000     5/27/2022   EUR     48.040
Landesbank Baden3.300     5/27/2022   EUR     56.340
Leonteq Securiti17.600    03/08/2022  USD     70.670
Landesbank Baden2.200     1/27/2023   EUR     63.620
BNP Paribas Emis25.000    9/23/2021   EUR     73.820
BNP Paribas Emis6.500     9/23/2021   EUR     70.960
BNP Paribas Emis7.000     9/23/2021   EUR     69.380
BNP Paribas Emis9.500     9/23/2021   EUR     68.160
BNP Paribas Emis11.000    12/23/2021  EUR     63.540
BNP Paribas Emis13.000    12/23/2021  EUR     64.350
BNP Paribas Emis14.000    12/23/2021  EUR     62.990
BNP Paribas Emis16.000    12/23/2021  EUR     61.070
BNP Paribas Emis15.000    12/23/2021  EUR     59.640
BNP Paribas Emis17.000    12/23/2021  EUR     60.450
BNP Paribas Emis10.000    9/23/2021   EUR     65.970
BNP Paribas Emis12.000    9/23/2021   EUR     62.790
BNP Paribas Emis14.000    9/23/2021   EUR     63.100
BNP Paribas Emis13.000    9/23/2021   EUR     61.650
BNP Paribas Emis17.000    9/23/2021   EUR     58.680
BNP Paribas Emis8.500     12/23/2021  EUR     72.070
BNP Paribas Emis9.000     12/23/2021  EUR     70.770
BNP Paribas Emis8.500     12/23/2021  EUR     69.110
BNP Paribas Emis9.500     12/23/2021  EUR     69.520
BNP Paribas Emis10.000    12/23/2021  EUR     67.620
BNP Paribas Emis9.500     12/23/2021  EUR     65.430
BNP Paribas Emis7.500     9/23/2021   EUR     71.120
BNP Paribas Emis7.500     9/23/2021   EUR     67.860
BNP Paribas Emis8.500     9/23/2021   EUR     68.010
BNP Paribas Emis11.000    12/23/2021  EUR     66.040
BNP Paribas Emis15.000    12/23/2021  EUR     61.730
BNP Paribas Emis13.000    9/23/2021   EUR     64.300
BNP Paribas Emis16.000    9/23/2021   EUR     60.270
BNP Paribas Emis18.000    9/23/2021   EUR     57.730
BNP Paribas Emis6.500     12/23/2021  EUR     71.260
BNP Paribas Emis7.000     12/23/2021  EUR     69.960
BNP Paribas Emis7.500     12/23/2021  EUR     68.710
BNP Paribas Emis8.500     9/23/2021   EUR     71.270
BNP Paribas Emis8.000     9/23/2021   EUR     69.530
BNP Paribas Emis9.000     9/23/2021   EUR     69.680
BNP Paribas Emis9.000     9/23/2021   EUR     65.810
BNP Paribas Emis12.000    12/23/2021  EUR     65.170
BNP Paribas Emis11.000    9/23/2021   EUR     63.990
BNP Paribas Emis15.000    9/23/2021   EUR     61.960
BNP Paribas Emis14.000    9/23/2021   EUR     59.960
BNP Paribas Emis19.000    9/23/2021   EUR     56.830
BNP Paribas Emis7.500     12/23/2021  EUR     71.660
BNP Paribas Emis8.000     12/23/2021  EUR     70.370
BNP Paribas Emis9.000     12/23/2021  EUR     67.220
DZ Bank AG Deuts17.800    12/24/2021  EUR     71.340
UBS AG/London   16.300    01/08/2024  EUR     42.050
BNP Paribas Issu5.450     1/14/2022   EUR     68.060
Vontobel Financi9.000     12/24/2021  EUR     73.730
Corner Banca SA 15.200    08/11/2021  CHF     4.110
Vontobel Financi21.000    12/24/2021  EUR     70.150
Landesbank Baden7.300     3/25/2022   EUR     67.470
Landesbank Baden5.150     12/27/2021  EUR     72.730
Vontobel Financi20.000    12/24/2021  EUR     75.004
Raiffeisen Switz6.800     05/06/2022  EUR     0.010
Vontobel Financi15.000    3/25/2022   EUR     66.610
Vontobel Financi21.000    12/24/2021  EUR     71.800
Vontobel Financi19.500    3/25/2022   EUR     72.820
Vontobel Financi10.000    12/24/2021  EUR     72.600
Vontobel Financi9.000     3/25/2022   EUR     71.590
Vontobel Financi7.500     3/25/2022   EUR     74.350
Vontobel Financi11.000    12/24/2021  EUR     64.670
Vontobel Financi7.000     3/25/2022   EUR     70.450
Vontobel Financi7.500     12/24/2021  EUR     70.060
Vontobel Financi14.000    3/25/2022   EUR     75.070
Vontobel Financi9.000     12/24/2021  EUR     67.810
Vontobel Financi13.000    3/25/2022   EUR     62.670
Landesbank Hesse7.000     10/20/2022  EUR     56.700
SG Issuer SA    2.100     01/06/2033  EUR     28.820
Landesbank Baden3.000     1/28/2022   EUR     71.690
Vontobel Financi12.000    12/24/2021  EUR     63.850
Vontobel Financi8.000     3/25/2022   EUR     67.640
Vontobel Financi8.000     12/24/2021  EUR     68.810
Erste Group Bank4.350     2/20/2022   EUR     44.050
Vontobel Financi8.000     9/24/2021   EUR     52.971
Vontobel Financi10.500    9/24/2021   EUR     57.320
Vontobel Financi10.500    9/24/2021   EUR     71.430
Vontobel Financi15.000    9/24/2021   EUR     64.450
Vontobel Financi17.500    9/24/2021   EUR     62.180
Vontobel Financi18.500    9/24/2021   EUR     61.090
Vontobel Financi20.500    9/24/2021   EUR     59.050
SG Issuer SA    1.400     12/28/2032  EUR     27.810
SG Issuer SA    1.500     12/30/2032  EUR     48.100
Vontobel Financi11.500    12/24/2021  EUR     71.150
Vontobel Financi14.000    12/24/2021  EUR     68.270
Vontobel Financi13.500    3/25/2022   EUR     74.740
Vontobel Financi20.000    12/24/2021  EUR     65.852
Vontobel Financi23.500    3/25/2022   EUR     74.250
Landesbank Baden5.100     11/25/2022  EUR     73.150
UBS AG/London   15.250    2/24/2022   USD     56.000
UBS AG/London   6.500     8/24/2022   CHF     74.400
Banque Cantonale10.875    11/05/2021  EUR     69.460
UBS AG/London   21.250    2/18/2022   USD     51.600
Landesbank Baden5.000     3/25/2022   EUR     70.960
Vontobel Financi9.500     9/24/2021   EUR     73.000
Vontobel Financi18.500    12/24/2021  EUR     59.500
Landesbank Baden2.300     2/25/2022   EUR     62.930
Vontobel Financi8.000     12/24/2021  EUR     54.695
Vontobel Financi11.500    9/24/2021   EUR     69.920
Vontobel Financi12.500    9/24/2021   EUR     68.480
Vontobel Financi19.500    9/24/2021   EUR     60.050
Vontobel Financi21.500    9/24/2021   EUR     58.100
Vontobel Financi9.000     12/24/2021  EUR     55.104
Landesbank Hesse5.700     6/16/2022   EUR     65.430
Landesbank Hesse4.000     6/16/2022   EUR     55.110
Vontobel Financi10.000    12/24/2021  EUR     59.540
Vontobel Financi13.000    9/24/2021   EUR     67.020
Vontobel Financi14.000    9/24/2021   EUR     65.710
Vontobel Financi16.000    9/24/2021   EUR     63.250
Landesbank Hesse5.300     9/23/2022   EUR     43.750
Vontobel Financi7.500     12/24/2021  EUR     73.910
Vontobel Financi17.000    9/24/2021   EUR     75.882
UniCredit Bank A4.500     1/18/2022   EUR     53.130
Zurcher Kantonal8.125     02/11/2022  EUR     61.530
UBS AG/London   8.750     9/27/2021   CHF     73.550
UniCredit Bank A10.300    12/24/2021  EUR     61.420
BNP Paribas Emis5.000     12/23/2021  EUR     55.740
BNP Paribas Emis7.000     3/24/2022   EUR     60.660
Leonteq Securiti10.000    12/06/2021  CHF     75.720
Zurcher Kantonal6.750     02/11/2022  CHF     72.470
Bank Julius Baer7.400     1/25/2022   EUR     73.700
Zurcher Kantonal9.750     02/11/2022  USD     62.490
UBS AG/London   5.750     8/16/2021   CHF     71.550
UBS AG/London   12.000    12/06/2021  USD     74.550
Raiffeisen Schwe7.750     1/27/2022   CHF     72.370
BNP Paribas Emis4.000     3/24/2022   EUR     71.750
BNP Paribas Emis10.000    3/24/2022   EUR     6.900
UniCredit Bank A11.300    12/24/2021  EUR     59.180
UniCredit Bank A9.300     12/24/2021  EUR     67.730
UniCredit Bank A10.100    12/24/2021  EUR     66.160
BNP Paribas Emis10.000    12/23/2021  EUR     4.350
DekaBank Deutsch2.000     02/10/2023  EUR     74.360
EFG Internationa9.700     9/26/2022   CHF     11.420
Leonteq Securiti7.750     1/17/2022   CHF     71.160
BNP Paribas Emis6.000     3/24/2022   EUR     72.060
BNP Paribas Emis6.000     9/23/2021   EUR     51.860
Zurcher Kantonal5.350     7/29/2021   CHF     54.740
Credit Suisse AG10.750    7/26/2021   USD     61.020
UBS AG/London   13.000    02/07/2022  CHF     66.800
UBS AG/London   11.000    08/05/2021  CHF     71.900
UBS AG/London   11.250    1/24/2022   CHF     71.200
Bank Julius Baer10.300    1/31/2022   USD     72.100
Leonteq Securiti12.400    08/03/2021  CHF     75.310
Raiffeisen Schwe3.200     12/18/2026  CHF     66.980
Bank ZENIT PJSC 0.100     3/27/2025   RUB     70.020
Leonteq Securiti3.900     9/21/2029   CHF     74.650
Raiffeisen Schwe3.400     3/21/2025   CHF     55.470
Raiffeisen Schwe3.000     9/21/2029   CHF     69.640
Raiffeisen Schwe2.700     9/22/2026   CHF     54.960
Leonteq Securiti3.900     12/20/2024  CHF     51.670
Leonteq Securiti4.000     12/18/2026  CHF     69.250
Leonteq Securiti3.600     9/22/2026   CHF     57.950
Pongs & Zahn AG 8.500                 EUR     0.002
UniCredit Bank A9.300     12/24/2021  EUR     50.880
UniCredit Bank A6.400     12/24/2021  EUR     64.930
UniCredit Bank A9.900     12/24/2021  EUR     62.590
UniCredit Bank A9.100     12/24/2021  EUR     57.970
UniCredit Bank A11.200    12/24/2021  EUR     36.270
UniCredit Bank A10.500    12/24/2021  EUR     72.470
UniCredit Bank A10.900    12/24/2021  EUR     60.600
UBS AG/London   6.750     5/16/2022   CHF     74.650
UniCredit Bank A9.100     12/24/2021  EUR     55.820
Landesbank Hesse6.000     03/06/2025  EUR     56.660
UniCredit Bank A9.700     12/24/2021  EUR     64.970
UniCredit Bank A11.400    12/24/2021  EUR     50.580
UniCredit Bank A12.900    12/24/2021  EUR     47.820
UniCredit Bank A7.800     12/24/2021  EUR     54.360
UniCredit Bank A8.100     12/24/2021  EUR     41.280
UniCredit Bank A8.300     12/24/2021  EUR     60.340
UniCredit Bank A6.300     12/24/2021  EUR     73.540
UniCredit Bank A7.500     12/24/2021  EUR     69.440
UniCredit Bank A6.600     12/24/2021  EUR     71.130
UniCredit Bank A9.900     12/24/2021  EUR     53.920
UniCredit Bank A9.700     12/24/2021  EUR     38.500
UniCredit Bank A10.900    12/24/2021  EUR     53.970
UniCredit Bank A7.000     12/24/2021  EUR     72.440
UBS AG/London   7.000     10/04/2021  CHF     73.800
UBS AG/London   7.250     10/04/2021  CHF     67.550
UniCredit Bank A8.200     11/26/2021  EUR     69.780
UBS AG/London   10.750    7/29/2021   CHF     68.750
Credit Suisse AG6.200     7/29/2022   CHF     75.470
Barclays Bank PL2.730     9/27/2024   EUR     65.480
Leonteq Securiti7.200     1/31/2022   CHF     74.350
Gmina Miasta San1.400     11/25/2032  PLN     0.010
Bayerische Lande3.500     1/26/2024   EUR     73.990
Raiffeisen Schwe6.600     3/23/2022   CHF     70.870
Skandinaviska En6.000     1/15/2025   SEK     75.470
Vontobel Financi9.200     1/24/2022   EUR     67.410
Raiffeisen Schwe5.300     9/20/2022   CHF     75.360
Landesbank Baden2.650     10/27/2023  EUR     74.530
Raiffeisen Schwe7.000     08/03/2021  CHF     71.800
UBS AG/London   8.000     1/24/2022   CHF     70.550
SG Issuer SA    0.850     7/29/2024   EUR     15.370
DekaBank Deutsch3.200     11/04/2022  EUR     72.790
Raiffeisen Schwe8.000     1/31/2022   CHF     75.190
Corner Banca SA 9.000     1/21/2022   CHF     74.040
Raiffeisen Schwe8.600     12/13/2021  CHF     74.480
Leonteq Securiti8.000     12/13/2022  CHF     59.780
Zurcher Kantonal4.000     02/11/2022  CHF     56.730
UniCredit Bank A5.700     12/24/2021  EUR     61.170
UniCredit Bank A8.900     12/24/2021  EUR     39.810
UniCredit Bank A9.700     12/24/2021  EUR     74.430
UniCredit Bank A10.000    12/24/2021  EUR     49.360
BNP Paribas Emis3.000     12/23/2021  EUR     71.300
Leonteq Securiti3.400     3/20/2024   CHF     43.330
UniCredit Bank A10.400    12/24/2021  EUR     52.810
UniCredit Bank A10.000    12/24/2021  EUR     49.560
UniCredit Bank A12.500    12/24/2021  EUR     45.610
BNP Paribas Emis9.000     9/23/2021   EUR     1.730
BNP Paribas Emis4.000     3/24/2022   EUR     57.080
BNP Paribas Emis7.000     12/23/2021  EUR     59.980
UniCredit Bank A7.300     12/24/2021  EUR     74.380
UniCredit Bank A8.100     12/24/2021  EUR     72.390
UniCredit Bank A9.000     12/24/2021  EUR     70.570
UniCredit Bank A14.600    12/24/2021  EUR     75.030
UniCredit Bank A8.300     12/24/2021  EUR     55.800
UniCredit Bank A10.800    12/24/2021  EUR     48.100
UniCredit Bank A11.700    12/24/2021  EUR     46.790
DekaBank Deutsch2.800     1/13/2023   EUR     75.050
DekaBank Deutsch4.000     1/14/2022   EUR     65.960
EFG Internationa7.800     1/17/2022   CHF     71.000
Leonteq Securiti11.800    12/20/2021  CHF     73.130
UBS AG/London   10.000    1/17/2022   CHF     73.700
Zurcher Kantonal6.000     1/28/2022   CHF     73.710
UBS AG/London   10.000    7/29/2021   CHF     68.700
UBS AG/London   11.750    7/29/2021   CHF     66.550
Leonteq Securiti10.000    12/23/2021  CHF     74.340
Vontobel Financi21.500    9/24/2021   EUR     71.160
Leonteq Securiti7.000     10/25/2021  EUR     75.590
DekaBank Deutsch3.250     11/25/2022  EUR     68.180
Landesbank Baden4.000     11/26/2021  EUR     68.510
Landesbank Baden5.750     11/26/2021  EUR     70.840
Landesbank Baden4.250     11/26/2021  EUR     74.540
Landesbank Baden3.000     11/26/2021  EUR     63.520
Landesbank Baden3.250     11/26/2021  EUR     73.110
Landesbank Baden4.000     11/26/2021  EUR     70.800
EFG Internationa13.400    10/31/2022  CHF     74.490
Raiffeisen Schwe4.000     11/15/2022  CHF     71.230
Zurcher Kantonal5.750     11/26/2021  CHF     73.890
UBS AG/London   8.500     11/22/2021  EUR     62.250
SG Issuer SA    0.350     11/15/2023  EUR     20.620
Bayerische Lande1.350     12/23/2022  EUR     60.570
Leonteq Securiti7.420     11/22/2021  EUR     58.430
DekaBank Deutsch3.700     12/17/2021  EUR     65.810
Landesbank Baden3.690     12/23/2022  EUR     71.050
Raiffeisen Schwe7.800     11/22/2021  CHF     57.630
Zurcher Kantonal6.000     12/06/2021  CHF     74.060
UBS AG/London   7.000     11/29/2021  EUR     59.750
Landesbank Baden2.600     1/26/2024   EUR     73.880
Bank Julius Baer8.200     10/15/2021  EUR     71.650
Vontobel Financi6.500     9/24/2021   EUR     49.640
Vontobel Financi13.000    9/24/2021   EUR     70.840
Vontobel Financi15.500    12/24/2021  EUR     67.090
Vontobel Financi13.500    12/24/2021  EUR     69.970
Vontobel Financi16.000    9/24/2021   EUR     67.050
UBS AG/London   10.000    12/27/2021  CHF     74.900
UBS AG/London   5.750     12/27/2021  CHF     73.050
EFG Internationa12.000    12/31/2021  USD     73.990
EFG Internationa13.000    12/27/2021  CHF     6.060
EFG Internationa11.120    12/27/2024  EUR     57.720
Leonteq Securiti15.180    12/27/2021  EUR     7.740
Leonteq Securiti11.000    01/03/2022  CHF     55.500
Leonteq Securiti8.600     01/07/2022  CHF     74.770
UniCredit Bank A11.100    12/24/2021  EUR     59.780
WEB Windenergie 5.250     04/08/2023  EUR     0.010
Landesbank Hesse7.700     8/20/2021   EUR     50.900
Landesbank Hesse5.750     11/21/2022  EUR     73.700
Leonteq Securiti7.500     11/08/2022  CHF     65.670
Leonteq Securiti12.000    11/08/2021  EUR     67.170
UniCredit Bank A4.200     12/06/2022  EUR     66.320
Bayerische Lande3.000     11/26/2021  EUR     69.990
UBS AG/London   8.000     11/08/2021  CHF     56.750
EFG Internationa13.000    11/08/2021  EUR     55.110
BNP Paribas Emis3.000     9/23/2021   EUR     70.170
Leonteq Securiti9.400     1/13/2022   CHF     70.860
Zurcher Kantonal7.500     7/28/2021   CHF     54.720
Landesbank Baden3.500     3/24/2023   EUR     69.660
EFG Internationa0.600     09/06/2022  EUR     75.130
Raiffeisen Centr6.000     10/07/2021  EUR     73.590
UBS AG/London   7.000     9/13/2021   CHF     67.550
UBS AG/London   7.750     9/13/2021   EUR     55.100
UBS AG/London   8.500     9/13/2021   EUR     65.300
Raiffeisen Schwe5.000     9/13/2022   CHF     74.310
Landesbank Baden2.100     10/27/2023  EUR     63.110
EFG Internationa9.000     9/20/2021   EUR     59.160
UBS AG/London   7.500     9/20/2021   CHF     54.750
UBS AG/London   8.250     9/20/2021   CHF     71.700
UBS AG/London   7.250     09/06/2021  CHF     55.850
EFG Internationa7.000     09/06/2021  EUR     75.530
Zurcher Kantonal8.000     1/14/2022   CHF     74.720
Zurcher Kantonal13.000    1/14/2022   EUR     71.930
EFG Internationa0.600     9/20/2022   EUR     70.510
Vontobel Financi14.500    9/24/2021   EUR     68.790
Vontobel Financi11.500    9/24/2021   EUR     72.010
UBS AG/London   10.000    11/15/2021  CHF     73.500
Zurcher Kantonal5.750     11/19/2021  CHF     75.040
UBS AG/London   10.500    11/15/2021  CHF     73.300
Landesbank Baden6.500     10/22/2021  EUR     67.710
DZ Bank AG Deuts16.200    9/24/2021   EUR     75.090
DZ Bank AG Deuts20.700    9/24/2021   EUR     67.860
Landesbank Baden3.900     10/22/2021  EUR     66.540
Landesbank Baden2.650     3/25/2022   EUR     71.020
Zurcher Kantonal6.300     12/16/2022  CHF     56.240
Landesbank Baden5.300     3/25/2022   EUR     62.930
Raiffeisen Schwe8.500     12/13/2021  CHF     53.270
UBS AG/London   12.000    12/20/2021  CHF     52.900
UBS AG/London   14.000    12/20/2021  CHF     62.900
UBS AG/London   7.000     12/20/2021  CHF     61.600
Leonteq Securiti7.500     12/20/2021  EUR     59.760
Bayerische Lande1.450     1/26/2024   EUR     63.700
Zurcher Kantonal10.750    1/21/2022   CHF     54.900
Landesbank Baden4.500     9/24/2021   EUR     68.760
Landesbank Baden7.250     9/24/2021   EUR     61.860
DZ Bank AG Deuts9.500     9/22/2021   EUR     59.730
UBS AG/London   7.000     08/12/2021  CHF     69.750
Vontobel Financi10.250    9/24/2021   EUR     51.126
Leonteq Securiti5.910     09/02/2021  EUR     73.440
Leonteq Securiti1.430     09/02/2021  EUR     64.420
Leonteq Securiti6.330     09/02/2021  EUR     64.870
Leonteq Securiti11.390    09/02/2021  EUR     73.960
Leonteq Securiti7.590     09/02/2021  EUR     68.390
Leonteq Securiti9.220     09/02/2021  EUR     65.140
UBS AG/London   9.000     08/12/2021  CHF     73.050
Citigroup Global6.500     2/21/2030   EUR     73.530
UniCredit Bank A6.900     12/24/2021  EUR     71.650
Leonteq Securiti4.500     09/02/2021  EUR     73.300
Leonteq Securiti7.290     09/02/2021  EUR     74.570
Leonteq Securiti8.590     09/02/2021  EUR     73.700
Leonteq Securiti2.470     09/02/2021  EUR     64.490
Leonteq Securiti3.650     09/02/2021  EUR     64.610
Zurcher Kantonal7.000     8/18/2021   CHF     60.880
BNP Paribas Emis5.000     9/23/2021   EUR     59.000
BNP Paribas Emis6.000     9/23/2021   EUR     54.920
BNP Paribas Emis6.000     12/23/2021  EUR     56.150
BNP Paribas Emis10.000    9/23/2021   EUR     1.800
BNP Paribas Emis5.000     3/24/2022   EUR     58.480
BNP Paribas Emis6.000     9/23/2021   EUR     73.650
BNP Paribas Emis5.000     12/23/2021  EUR     75.040
BNP Paribas Emis6.000     12/23/2021  EUR     73.050
Zurcher Kantonal7.000     2/21/2022   CHF     71.210
Credit Suisse AG6.100     8/15/2022   CHF     74.240
Leonteq Securiti10.000    8/17/2021   CHF     70.470
Vontobel Financi13.500    9/24/2021   EUR     68.720
UniCredit Bank A10.300    12/24/2021  EUR     64.440
UniCredit Bank A5.900     12/24/2021  EUR     75.000
Leonteq Securiti9.660     09/02/2021  EUR     73.810
Leonteq Securiti5.020     09/02/2021  EUR     64.770
Leonteq Securiti6.070     09/02/2021  EUR     71.950
Bank Julius Baer14.750    8/16/2021   EUR     0.800
Leonteq Securiti10.600    8/13/2021   CHF     57.300
Vontobel Financi10.000    9/24/2021   EUR     70.009
Araratbank OJSC 5.500     1/29/2024   USD     25.118
Vontobel Financi10.500    9/24/2021   EUR     56.350
Vontobel Financi11.500    9/24/2021   EUR     72.310
Vontobel Financi14.500    9/24/2021   EUR     68.270
Vontobel Financi16.000    9/24/2021   EUR     66.450
Vontobel Financi8.000     9/24/2021   EUR     61.980
Vontobel Financi17.000    9/24/2021   EUR     64.680
Vontobel Financi18.500    9/24/2021   EUR     63.100
Credit Suisse AG7.500     08/05/2021  CHF     74.510
Zurcher Kantonal10.200    08/06/2021  CHF     69.920
UniCredit Bank A6.600     9/13/2023   EUR     73.470
Leonteq Securiti11.200    08/04/2021  CHF     73.430
UBS AG/London   10.750    08/05/2021  CHF     71.800
UBS AG/London   10.500    10/18/2021  CHF     61.950
Zurcher Kantonal8.000     10/22/2021  EUR     62.740
Landesbank Hesse4.000     6/14/2023   EUR     69.600
Zurcher Kantonal8.000     5/16/2022   CHF     58.030
Bayerische Lande2.500     7/22/2022   EUR     67.620
UBS AG/London   12.000    08/05/2021  CHF     69.550
UBS AG/London   11.500    08/05/2021  CHF     69.550
EFG Internationa5.600     07/11/2024  EUR     25.820
Landesbank Baden3.250     7/28/2023   EUR     66.220
Societe Generale13.479    12/24/2021  EUR     66.020
UniCredit Bank A10.500    12/24/2021  EUR     66.550
UBS AG/London   7.000     9/27/2021   CHF     72.450
UBS AG/London   8.250     9/27/2021   CHF     73.400
BNP Paribas Emis5.000     9/23/2021   EUR     54.600
BNP Paribas Emis5.000     3/24/2022   EUR     52.810
Zurcher Kantonal8.000     7/30/2021   CHF     69.050
DekaBank Deutsch3.500     2/24/2023   EUR     72.280
Vontobel Financi4.000     12/14/2021  EUR     70.180
UniCredit Bank A4.900     5/22/2023   EUR     73.930
DekaBank Deutsch4.150     07/01/2022  EUR     58.040
Vontobel Financi16.500    9/24/2021   EUR     44.690
Araratbank OJSC 5.500     9/19/2023   USD     25.391
Leonteq Securiti7.000     8/16/2021   CHF     57.560
DekaBank Deutsch3.400     09/09/2022  EUR     72.140
UBS AG/London   7.000     8/23/2021   EUR     55.650
UBS AG/London   5.500     8/23/2021   CHF     68.300
Skandinaviska En4.400     7/15/2022   SEK     70.355
Leonteq Securiti6.600     10/12/2021  CHF     48.330
DekaBank Deutsch4.000     11/05/2021  EUR     65.360
Landesbank Baden4.400     9/23/2022   EUR     60.640
Otkritie Holding0.010     12/08/2027  RUB     2.010
Landesbank Baden3.600     6/23/2023   EUR     59.440
Erste Group Bank5.800     10/31/2024  EUR     69.350
DekaBank Deutsch2.400     6/17/2022   EUR     69.020
EFG Internationa16.000    10/11/2021  CHF     63.680
UBS AG/London   7.000     10/11/2021  CHF     57.150
UniCredit Bank A6.250     11/04/2021  EUR     70.600
EFG Internationa10.400    10/15/2021  EUR     61.750
Leonteq Securiti6.000     11/23/2021  CHF     55.390
Derzhava-Garant 8.500     06/12/2030  RUB     5.280
Vontobel Financi21.500    9/24/2021   EUR     69.980
Vontobel Financi19.500    9/24/2021   EUR     71.880
DZ Bank AG Deuts15.000    12/24/2021  EUR     65.710
Leonteq Securiti18.000    04/12/2022  CHF     57.620
Raiffeisen Schwe4.400     10/21/2021  CHF     66.870
Vontobel Financi10.000    11/11/2021  EUR     73.599
UBS AG/London   7.750     10/25/2021  EUR     58.100
EFG Internationa5.350     10/24/2022  USD     72.990
Landesbank Baden2.900     11/26/2021  EUR     73.330
Landesbank Baden2.000     11/26/2021  EUR     67.650
Landesbank Baden4.000     11/26/2021  EUR     60.880
DekaBank Deutsch3.700     11/25/2022  EUR     63.690
Leonteq Securiti2.290     10/29/2021  EUR     52.700
DekaBank Deutsch2.550     7/30/2021   EUR     51.570
Societe Generale10.000    8/27/2021   EUR     75.150
Societe Generale12.750    8/27/2021   EUR     64.610
Societe Generale14.750    8/27/2021   EUR     61.760
Vontobel Financi9.500     9/24/2021   EUR     54.410
Societe Generale13.750    10/22/2021  EUR     66.530
Societe Generale7.250     10/22/2021  EUR     70.460
Vontobel Financi10.000    12/24/2021  EUR     73.800
Vontobel Financi5.500     9/24/2021   EUR     51.320
Societe Generale10.750    8/27/2021   EUR     68.130
Societe Generale9.750     10/22/2021  EUR     73.420
Vontobel Financi7.500     12/24/2021  EUR     55.690
Societe Generale11.750    10/22/2021  EUR     69.660
Vontobel Financi11.500    9/24/2021   EUR     54.750
Societe Generale8.750     8/27/2021   EUR     72.520
Vontobel Financi5.500     12/24/2021  EUR     52.510
Vontobel Financi11.500    12/24/2021  EUR     68.640
Vontobel Financi5.500     3/25/2022   EUR     53.640
Societe Generale13.250    10/22/2021  EUR     59.550
Societe Generale11.250    10/22/2021  EUR     62.430
Vontobel Financi17.500    3/25/2022   EUR     67.740
Societe Generale10.500    9/24/2021   EUR     55.480
Societe Generale12.500    9/24/2021   EUR     52.690
Societe Generale8.500     9/24/2021   EUR     59.060
Vontobel Financi9.000     12/24/2021  EUR     56.320
Vontobel Financi8.000     3/25/2022   EUR     57.590
Vontobel Financi8.000     12/24/2021  EUR     55.900
Societe Generale6.500     9/24/2021   EUR     63.970
Societe Generale4.500     9/24/2021   EUR     71.310
Societe Generale10.500    9/24/2021   EUR     67.620
Vontobel Financi21.000    9/24/2021   EUR     62.512
Societe Generale14.500    9/24/2021   EUR     61.070
Societe Generale12.500    9/24/2021   EUR     64.040
Societe Generale8.500     9/24/2021   EUR     72.090
Vontobel Financi6.000     12/24/2021  EUR     48.600
Societe Generale6.500     8/27/2021   EUR     71.390
Societe Generale10.500    8/27/2021   EUR     61.450
Societe Generale14.500    8/27/2021   EUR     55.390
Societe Generale8.500     8/27/2021   EUR     65.670
Societe Generale12.500    8/27/2021   EUR     58.130
Russian Bank for8.500     12/03/2030  RUB     67.080
Lehman Brothers 8.500     07/06/2009  CHF     0.100
Tonon Luxembourg9.250     1/24/2020   USD     1.000
Tonon Luxembourg9.250     1/24/2020   USD     1.000
Lehman Brothers 7.500     9/13/2009   CHF     0.100
Lehman Brothers 4.500     08/02/2009  USD     0.100
Lehman Brothers 4.350     08/08/2016  SGD     0.100
Lehman Brothers 6.650     8/24/2011   AUD     0.100
Lehman Brothers 7.250     10/06/2008  EUR     0.100
Lehman Brothers 8.000     5/22/2009   USD     0.100
Lehman Brothers 9.000     3/17/2009   GBP     0.100
Lehman Brothers 3.850     4/24/2009   USD     0.100
Lehman Brothers 4.000     4/24/2009   USD     0.100
Lehman Brothers 9.000     6/13/2009   USD     0.100
Lehman Brothers 7.375     9/20/2008   EUR     0.100
Lehman Brothers 10.500    08/09/2010  EUR     0.100
Lehman Brothers 7.000     11/28/2008  CHF     0.100
Lehman Brothers 4.500     03/06/2013  CHF     0.100
Lehman Brothers 4.600     10/11/2017  ILS     0.100
Lehman Brothers 3.500     12/20/2027  USD     0.100
Lehman Brothers 6.850     12/22/2008  EUR     0.100
MIK OAO         15.000    2/19/2020   RUB     13.875
Lehman Brothers 16.000    10/08/2008  CHF     0.100
Lehman Brothers 8.280     3/26/2009   USD     0.100
Lehman Brothers 7.600     3/26/2009   EUR     0.100
Lehman Brothers 0.500     12/20/2017  USD     0.100
Lehman Brothers 0.500     12/20/2017  USD     0.100
Dolphin Drilling4.490     8/28/2019   NOK     0.644
Lehman Brothers 0.500     12/20/2017  USD     0.100
Lehman Brothers 11.000    12/20/2017  AUD     0.100
Lehman Brothers 11.000    12/20/2017  AUD     0.100
Lehman Brothers 11.000    12/20/2017  AUD     0.100
Lehman Brothers 8.800     12/27/2009  EUR     0.100
Lehman Brothers 0.500     12/20/2017  AUD     0.100
Lehman Brothers 0.500     12/20/2017  AUD     0.100
Lehman Brothers 4.000     01/04/2011  USD     0.100
Lehman Brothers 0.500     12/20/2017  AUD     0.100
Lehman Brothers 8.000     12/31/2010  USD     0.100
Lehman Brothers 0.500     12/20/2017  AUD     0.100
AKB Peresvet ZAO0.510     6/23/2021   RUB     32.680
Lehman Brothers 9.300     12/21/2010  EUR     0.100
Lehman Brothers 2.400     6/20/2011   JPY     0.100
Lehman Brothers 1.600     6/21/2010   JPY     0.100
Lehman Brothers 6.000     5/23/2018   CZK     0.100
Lehman Brothers 4.000     5/30/2010   USD     0.100
Lehman Brothers 4.000     5/17/2010   USD     0.100
Lehman Brothers 2.250     05/12/2009  USD     0.100
Lehman Brothers 7.150     3/21/2013   USD     0.100
Lehman Brothers 3.500     6/20/2011   EUR     0.100
Lehman Brothers 5.500     6/22/2010   USD     0.100
Lehman Brothers 7.500     2/14/2010   AUD     0.100
Lehman Brothers 7.600     1/31/2013   AUD     0.100
Lehman Brothers 3.450     5/23/2013   USD     0.100
Lehman Brothers 6.450     2/20/2010   AUD     0.100
Lehman Brothers 10.000    10/22/2008  USD     0.100
Lehman Brothers 10.000    10/23/2008  USD     0.100
Lehman Brothers 4.800     11/16/2012  HKD     0.100
Lehman Brothers 5.200     11/09/2011  EUR     0.100
Lehman Brothers 14.900    11/16/2010  EUR     0.100
Irish Bank Resol6.750     11/30/2013  BGN     33.250
Lehman Brothers 13.000    2/16/2009   CHF     0.100
Lehman Brothers 6.300     12/21/2018  USD     0.100
Lehman Brothers 5.375     02/04/2014  USD     0.100
Lehman Brothers 8.000     3/21/2018   USD     0.100
AlphaNotes ETP D0.010     09/09/2029  USD     68.640
Lehman Brothers 5.500     4/23/2014   EUR     0.100
Lehman Brothers 16.000    10/28/2008  USD     0.100
Lehman Brothers 6.600     5/23/2012   AUD     0.100
Lehman Brothers 9.000     05/06/2011  CHF     0.100
Lehman Brothers 8.000     5/22/2009   USD     0.100
Lehman Brothers 10.000    5/22/2009   USD     0.100
Lehman Brothers 16.000    11/09/2008  USD     0.100
Lehman Brothers 8.000     3/19/2012   USD     0.100
SG Issuer SA    0.850     10/16/2024  EUR     11.980
Leonteq Securiti12.000    10/18/2021  CHF     60.100
UBS AG/London   14.250    10/25/2021  CHF     58.650
UBS AG/London   10.000    10/25/2021  CHF     58.050
Nutritek Interna8.750     12/11/2008  USD     2.089
Lehman Brothers 1.680     03/05/2015  EUR     0.100
Lehman Brothers 13.500    11/28/2008  USD     0.100
Lehman Brothers 6.750     04/05/2012  EUR     0.100
Lehman Brothers 2.480     05/12/2009  USD     0.100
Lehman Brothers 13.000    7/25/2012   EUR     0.100
SG Issuer SA    3.000     10/10/2034  ZAR     46.990
Credit Suisse AG0.500     01/08/2026  BRL     64.812
Instabank ASA   9.200                 NOK     48.825
Northland Resour4.000     10/15/2020  USD     0.271
SG Issuer SA    2.700     11/28/2034  ZAR     44.480
SG Issuer SA    3.300     9/26/2034   ZAR     49.217
Lehman Brothers 4.690     2/19/2017   EUR     0.100
Lehman Brothers 6.000     2/14/2012   EUR     0.100
Lehman Brothers 7.000     2/15/2012   EUR     0.100
Heta Asset Resol0.211     12/31/2023  EUR     1.438
Lehman Brothers 4.000     11/24/2016  EUR     0.100
Lehman Brothers 1.500     10/25/2011  EUR     0.100
Lehman Brothers 5.500     6/15/2009   CHF     0.100
Bank Otkritie Fi0.010     9/24/2025   RUB     72.470
Lehman Brothers 7.585     11/22/2009  MXN     0.100
Lehman Brothers 6.000     9/20/2011   EUR     0.100
Lehman Brothers 3.400     9/21/2009   HKD     0.100
Lehman Brothers 8.000     10/23/2008  USD     0.100
Grupo Isolux Cor1.000     12/30/2021  USD     0.182
Grupo Isolux Cor0.250     12/30/2018  EUR     0.182
Lehman Brothers 18.250    10/02/2008  USD     0.100
Lehman Brothers 7.000     10/22/2010  EUR     0.100
Lehman Brothers 1.500     10/12/2010  EUR     0.100
ECM Real Estate 5.000     10/09/2011  EUR     15.375
Getin Noble Bank4.250     6/28/2024   PLN     64.715
HSBC Bank PLC   0.500     6/23/2027   MXN     63.874
Lehman Brothers 3.000     8/13/2011   EUR     0.100
Lehman Brothers 2.500     8/23/2012   GBP     0.100
Lehman Brothers 4.000     10/12/2010  USD     0.100
Vontobel Financi17.500    9/24/2021   EUR     48.360
Vontobel Financi14.000    9/24/2021   EUR     51.940
Vontobel Financi13.000    9/24/2021   EUR     70.220
Vontobel Financi20.000    9/24/2021   EUR     61.620
Leonteq Securiti8.150     09/02/2021  CHF     37.710
Landesbank Baden5.050     10/22/2021  EUR     67.710
Landesbank Baden3.050     10/22/2021  EUR     74.050
Landesbank Baden2.950     10/22/2021  EUR     75.720
Corner Banca SA 8.620     8/30/2021   CHF     75.330
Landesbank Hesse7.000     4/29/2022   EUR     73.790
UBS AG/London   7.000     8/30/2021   CHF     66.550
Landesbank Baden2.350     9/23/2022   EUR     66.610
Landesbank Baden4.100     10/22/2021  EUR     70.360
Societe Generale9.250     10/22/2021  EUR     65.950
DekaBank Deutsch3.600     07/01/2022  EUR     69.820
Lehman Brothers 0.010     9/20/2011   USD     0.100
Northland Resour12.250    3/26/2016   USD     2.621
Lehman Brothers 8.050     12/20/2010  HKD     0.100
Minicentrales Do0.010     06/06/2047  EUR     67.500
Instabank ASA   7.800     02/04/2030  NOK     65.337
Lehman Brothers 7.750     2/21/2016   EUR     0.100
Promsvyazbank PJ2.500     9/29/2029   RUB     65.950
Lehman Brothers 4.100     8/23/2010   USD     0.100
Lehman Brothers 7.500     5/30/2010   AUD     0.100
Lehman Brothers 2.300     06/06/2013  USD     0.100
Lehman Brothers 4.300     06/04/2012  USD     0.100
Barclays Bank PL1.450     9/24/2038   MXN     31.418
Lehman Brothers 15.000    06/04/2009  CHF     0.100
Lehman Brothers 4.600     08/01/2013  EUR     0.100
Lehman Brothers 5.000     11/22/2012  EUR     0.100
Lehman Brothers 5.550     03/12/2015  EUR     0.100
Lehman Brothers 13.500    06/02/2009  USD     0.100
Lehman Brothers 10.442    11/22/2008  CHF     0.100
Deutsche Bank AG0.500     04/05/2038  MXN     24.715
Lehman Brothers 5.250     04/01/2023  EUR     0.100
AKB Peresvet ZAO13.250    4/25/2018   RUB     31.375
Lehman Brothers 16.800    8/21/2009   USD     0.100
Lehman Brothers 14.100    11/12/2008  USD     0.100
Lehman Brothers 13.432    01/08/2009  ILS     0.100
Lehman Brothers 0.500     07/02/2020  EUR     0.100
Lehman Brothers 3.100     06/04/2010  USD     0.100
Lehman Brothers 2.500     8/15/2012   CHF     0.100
Lehman Brothers 13.150    10/30/2008  USD     0.100
Lehman Brothers 0.500     08/01/2020  EUR     0.100
Lehman Brothers 6.000     08/07/2013  EUR     0.100
Lehman Brothers 6.250     09/05/2011  EUR     0.100
Lehman Brothers 11.750    03/01/2010  EUR     0.100
Lehman Brothers 4.000     03/10/2011  EUR     0.100
Lehman Brothers 0.500     12/20/2017  USD     0.100
Lehman Brothers 6.000     3/18/2015   USD     0.100
Lehman Brothers 1.000     2/26/2010   USD     0.100
Lehman Brothers 7.550     12/29/2008  USD     0.100
Lehman Brothers 7.000     4/24/2009   USD     0.100
Lehman Brothers 16.200    5/14/2009   USD     0.100
Lehman Brothers 5.100     05/08/2017  HKD     0.100
Lehman Brothers 3.350     10/13/2016  EUR     0.100
Credito Padano B3.100                 EUR     33.866
Lehman Brothers 5.000     4/24/2017   EUR     0.100
Lehman Brothers 5.000     05/02/2022  EUR     0.100
Lehman Brothers 4.000     4/13/2011   CHF     0.100
Lehman Brothers 7.000     4/14/2009   EUR     0.100
Lehman Brothers 6.000     10/24/2008  EUR     0.100
Heta Asset Resol4.350     12/31/2023  EUR     1.438
Lehman Brothers 5.750     6/15/2009   CHF     0.100
Lehman Brothers 0.250     7/21/2014   EUR     0.100
Lehman Brothers 2.000     10/28/2010  EUR     0.100
Lehman Brothers 11.000    6/29/2009   EUR     0.100
Lehman Brothers 8.000     08/03/2009  USD     0.100
Lehman Brothers 11.000    12/19/2011  USD     0.100
Norske Skogindus7.000     12/30/2026  EUR     0.001
Lehman Brothers 3.500     10/24/2011  USD     0.100
Lehman Brothers 3.500     10/31/2011  USD     0.100
Lehman Brothers 0.250     10/19/2012  CHF     0.100
Lehman Brothers 5.200     3/19/2018   EUR     0.100
Norske Skogindus2.000     12/30/2115  EUR     0.113
Lehman Brothers 14.900    9/15/2008   EUR     0.100
Lehman Brothers 1.750     02/07/2010  EUR     0.100
Lehman Brothers 15.000    3/30/2011   EUR     0.100
Lehman Brothers 6.600     2/22/2012   EUR     0.100
Lehman Brothers 10.000    3/27/2009   USD     0.100
Lehman Brothers 5.000     10/24/2008  CHF     0.100
Lehman Brothers 7.750     1/30/2009   EUR     0.100
Sidetur Finance 10.000    4/20/2016   USD     2.082
Petromena ASA   9.750     5/24/2016   NOK     0.607
Espirito Santo F5.050     11/15/2025  EUR     0.983
Lehman Brothers 3.700     06/06/2009  EUR     0.100
Lehman Brothers 0.800     12/30/2016  EUR     0.100
AKB Peresvet ZAO13.000    10/07/2017  RUB     31.375
Lehman Brothers 10.000    2/16/2009   CHF     0.100
Lehman Brothers 0.500     12/20/2017  AUD     0.100
Lehman Brothers 11.000    2/16/2009   CHF     0.100
Lehman Brothers 7.000     2/15/2010   CHF     0.100
Lehman Brothers 4.000     06/05/2011  USD     0.100
Lehman Brothers 1.460     2/19/2012   JPY     0.100
Lehman Brothers 11.250    12/31/2008  USD     0.100
SAir Group      2.750     7/30/2004   CHF     12.625
SAir Group      2.750     7/30/2004   CHF     12.625
Lehman Brothers 3.000     09/12/2036  JPY     0.100
Lehman Brothers 11.000    07/04/2011  USD     0.100
Lehman Brothers 12.000    07/04/2011  EUR     0.100
Lehman Brothers 5.500     07/08/2013  EUR     0.100
Landesbank Hesse0.650     10/01/2031  EUR     10.127
Lehman Brothers 11.000    07/04/2011  CHF     0.100
Lehman Brothers 0.500     06/02/2020  EUR     0.100
Lehman Brothers 7.250     07/08/2014  EUR     0.100
Lehman Brothers 3.000     9/13/2010   JPY     0.100
Lehman Brothers 9.250     6/20/2012   USD     0.100
Lehman Brothers 3.820     10/20/2009  USD     0.100
IT Holding Finan9.875     11/15/2012  EUR     0.238
Lehman Brothers 4.100     5/20/2009   USD     0.100
Lehman Brothers 2.000     5/17/2010   EUR     0.100
Ukraine Governme6.000     9/19/2029   UAH     65.610
Lehman Brothers 4.500     03/07/2015  EUR     0.100
Northland Resour15.000    7/15/2019   USD     2.621
Ukraine Governme6.000     06/12/2030  UAH     63.983
Lehman Brothers 2.300     6/27/2013   USD     0.100
City of Novosibi7.300     10/08/2026  RUB     69.700
Credit Suisse AG0.500     12/16/2025  BRL     66.175
Lehman Brothers 6.720     12/29/2008  EUR     0.100
Lehman Brothers 7.625     7/22/2011   HKD     0.100
Lehman Brothers 12.000    7/13/2037   JPY     0.100
Lehman Brothers 7.060     12/29/2008  EUR     0.100
Heta Asset Resol5.730     12/31/2023  EUR     1.438
Lehman Brothers 6.000     6/21/2011   EUR     0.100
Lehman Brothers 6.600     02/09/2009  EUR     0.100
Lehman Brothers 2.000     6/21/2011   EUR     0.100
WPE Internationa10.375    9/30/2020   USD     5.000
BLT Finance BV  12.000    02/10/2015  USD     10.500
Lehman Brothers 4.870     10/08/2013  USD     0.100
Lehman Brothers 4.000     12/02/2012  EUR     0.100
Teksid Aluminum 12.375    7/15/2011   EUR     0.122
Irish Bank Resol4.000     4/23/2018   EUR     33.250
Lehman Brothers 8.280     7/31/2013   GBP     0.100
Lehman Brothers 8.600     7/31/2013   GBP     0.100
Lehman Brothers 3.600     3/19/2018   JPY     0.100
Lehman Brothers 2.370     7/15/2013   USD     0.100
Lehman Brothers 6.000     03/04/2015  USD     0.100
Lehman Brothers 10.600    4/22/2014   MXN     0.100
Lehman Brothers 1.000     05/09/2012  EUR     0.100
Lehman Brothers 23.300    9/16/2008   USD     0.100
Lehman Brothers 3.000     06/03/2010  EUR     0.100
Lehman Brothers 12.400    06/12/2009  USD     0.100
Lehman Brothers 2.000     6/28/2011   EUR     0.100
Lehman Brothers 7.600     03/04/2010  NZD     0.100
Lehman Brothers 17.000    06/02/2009  USD     0.100
Lehman Brothers 10.000    6/17/2009   USD     0.100
Lehman Brothers 7.600     5/21/2013   USD     0.100
Lehman Brothers 6.000     3/17/2011   EUR     0.100
PSN Pm OOO      9.500     09/10/2026  RUB     21.625
Credit Agricole 0.390     12/16/2032  EUR     73.283
BNP Paribas SA  0.500     11/16/2032  MXN     28.981
Lehman Brothers 6.700     4/21/2011   USD     0.100
Lehman Brothers 4.820     12/18/2036  EUR     0.100
Lehman Brothers 13.000    12/14/2012  USD     0.100
Lehman Brothers 4.680     12/12/2045  EUR     0.100
Otkritie Holding10.000    4/20/2028   RUB     3.490
Mriya Agro Holdi10.950    3/30/2016   USD     4.667
Lehman Brothers 1.280     11/06/2010  JPY     0.100
Lehman Brothers 1.950     11/04/2013  EUR     0.100
Lehman Brothers 4.000     2/28/2010   EUR     0.100
Bibby Offshore S7.500     6/15/2021   GBP     11.625
Mriya Agro Holdi9.450     4/19/2018   USD     4.667
Lehman Brothers 8.000     12/27/2032  JPY     0.100
Lehman Brothers 1.500     02/08/2012  CHF     0.100
Heta Asset Resol0.131     12/31/2023  EUR     1.438
Lehman Brothers 8.875     1/28/2011   HKD     0.100
Cerruti Finance 6.500     7/26/2004   EUR     2.058
HSBC Bank PLC   0.500     11/25/2025  BRL     66.128
LBI ehf         8.650     05/01/2011  ISK     9.500
Heta Asset Resol5.270     12/31/2023  EUR     1.439
Lehman Brothers 7.500     7/31/2013   GBP     0.100
Lehman Brothers 7.320     7/31/2013   GBP     0.100
Heta Asset Resol4.875     12/31/2023  EUR     1.438
Minicentrales Do0.010     06/06/2047  EUR     59.375
Lehman Brothers 3.025     1/31/2015   EUR     0.100
Lehman Brothers 0.750     3/29/2012   EUR     0.100
Lehman Brothers 5.250     11/21/2009  USD     0.100
Kuntarahoitus Oy0.250     6/28/2040   CAD     40.421
Lehman Brothers 6.000     7/28/2010   EUR     0.100
Lehman Brothers 4.500     12/30/2010  USD     0.100
Lehman Brothers 3.630     03/02/2012  EUR     0.100
Kreditanstalt fu0.250     10/06/2036  CAD     49.119
Lehman Brothers 6.000     7/28/2010   EUR     0.100
Lehman Brothers 7.000     07/11/2010  EUR     0.100
Lehman Brothers 3.000     08/08/2017  EUR     0.100
Lehman Brothers 4.150     8/25/2020   EUR     0.100
Lehman Brothers 6.000     12/06/2016  USD     0.100
Lehman Brothers 0.129     11/02/2035  EUR     0.100
Lehman Brothers 0.500     2/16/2009   EUR     0.100
LBI ehf         2.250     2/14/2011   CHF     9.500
Lehman Brothers 4.250     3/13/2021   EUR     0.100
Lehman Brothers 8.000     4/20/2009   EUR     0.100
AKB Peresvet ZAO0.510     08/04/2034  RUB     30.120
Lehman Brothers 4.050     9/16/2008   EUR     0.100
RGS Nedvizhimost12.000    10/18/2017  RUB     0.335
Leonteq Securiti4.560     7/30/2021   USD     71.240
Leonteq Securiti3.770     7/30/2021   USD     66.900



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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 * * *