/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/210913.mbx T R O U B L E D C O M P A N Y R E P O R T E R E U R O P E Monday, September 13, 2021, Vol. 22, No. 177 Headlines F R A N C E SPCM SA: Moody's Assigns Ba1 Rating to New Sr. Unsecured USD Notes G R E E C E INTRALOT SA: Moody's Ups CFR to Caa1 & Alters Outlook to Stable NAVIOS MARITIME: Moody's Puts Caa1 CFR on Review for Upgrade I R E L A N D BURLINGTON MORTGAGES 1: Moody's Ups Rating on Class E Notes to Ba2 PERRIGO COMPANY: Moody's Affirms Ba1 CFR, Alters Outlook to Neg. SCULPTOR EUROPEAN VI: Moody's Gives B3 Rating to EUR13MM F-R Notes SCULPTOR EUROPEAN VI: S&P Assigns BB- (sf) Rating to Cl. E Notes TORO EURO CLO 6: Fitch Affirms Final B- Rating on Class F Notes TORO EUROPEAN 6: S&P Raises Class E Notes Rating to 'BB- (sf)' L U X E M B O U R G MILLICOM INT'L: $335MM Notes Add-on No Impact on Moody's Ba1 CFR N E T H E R L A N D S EMF-NL PRIME 2008-A: Fitch Affirms CC Rating on 2 Tranches INTERTRUST NV: Moody's Affirms Ba2 CFR, Alters Outlook to Negative TITAN HOLDINGS II: Fitch Assigns Final 'B' LT IDR, Outlook Stable R U S S I A CB SPUTNIK: Deposit Agency to Manage Provisional Administration CREDIT BANK: Fitch Rates Upcoming USD Sr. Unsec. Eurobonds BB(EXP) IRS-BANK: Bank of Russia Terminates Provisional Administration RFI BANK: Bank of Russia Terminates Provisional Administration U K R A I N E KYIV CITY: Fitch Rates Upcoming Domestic Bond Issue 'B(EXP)' U N I T E D K I N G D O M CANADA SQUARE 2020-2: Moody's Hikes Rating on Class X Notes to B3 CHESHIRE 2021-1: Fitch Assigns B(EXP) Rating to Class F Tranche CHESHIRE 2021-1: S&P Assigns Prelim B (sf) Rating to Class F Notes CLEVELAND BRIDGE: Administrators Prepare to Auction Assets DUNCHURCH PARK: Says Not in Receivership or Administration HOWDEN GROUP: Moody's Affirms B2 CFR Following Align Acquisition HOWDEN GROUP: S&P Affirms 'B' ICR on Debt Financing Announcement LANEBROOK MORTGAGE 2020-1: Moody's Ups Class X Notes Rating to Ba1 O'KEEFE CONSTRUCTION: Creditors OK Company Voluntary Arrangement SPRINTDELIVER: Administrators Seek Buyers for Business, Assets TOWD POINT MORTGAGE 2020: Fitch Ups Class XA Notes Rating to 'B-' X X X X X X X X [*] BOND PRICING: For the Week September 6 to September 10, 2021 - - - - - =========== F R A N C E =========== SPCM SA: Moody's Assigns Ba1 Rating to New Sr. Unsecured USD Notes ------------------------------------------------------------------ Moody's Investors Service has assigned a Ba1 instrument rating to SPCM SA's proposed senior unsecured USD notes. The total proposed issuance amount of $700 million will consist of two tranches of $350 million due in 2027 and 2030, respectively. Proceeds from the proposed notes issuance will be used to redeem the company's outstanding $500 million notes due 2025, pay fees and expenses related to the refinancing and to fund around EUR144 million cash to balance sheet. RATING RATIONALE The Ba1 rating assigned to the notes reflects their ranking along with SPCM's existing debt, which include EUR700 million of senior secured notes, a EUR180 million EIB Loan and other bank loans at the issuer level. The company's unsecured notes are not benefiting from any opco guarantees. They have incurrence covenants, limiting the company's ability to incur additional indebtedness and pay dividends. However, the notes are structurally subordinated to the liabilities of SPCM's operating subsidiaries, such as trade payables, lease liabilities and around EUR16 million of debt at operating subsidiaries, an increase of these liabilities might affect Moody's notching practices in the future. Moody's assumes that the proposed transaction will not only extend SPCM's maturity profile but also result in interest savings to the group given that the notes to be redeemed carry a coupon of 4.875%. The notes issuance will result in a slight increase in gross leverage and Moody's forecast leverage at the end of the year to be slightly below 3.5x, largely unchanged from 2020, which is still in line with the rating assigned, and is also offset by the expected increase in the company's cash balance. Operationally, Moody's expects that the company to some degree can mitigate the negative impact of higher raw material prices on its EBITDA by price and volume increases, in addition the company will record lower "non-recurring items", which have negatively impacted Moody's adjusted EBITDA in 2020. This will therefore lead to full year Moody's adjusted EBITDA that is moderately higher than the level that was achieved in 2020. Moody's also expects that SPCM will generate FCF around break-even levels in 2021, driven by high capex used to increase production capacity, which is offset by solid cash flow generation at operating level. SPCM's rating continues to reflect its leading position in polyacrylamide (PAM) used in the water treatment process, mineral extraction, paper process, and the oil industry. SPCM's market share is estimated to be around 48% with its next largest competitor accounting for around 10% of market share. Notwithstanding its focus on PAM the company serves a number of end-markets. The relatively defensive water treatment markets for municipalities and industrial waste-water treatment combined account for around 41% of revenues in H1-21. The Ba1 rating furthermore reflect SPCM's balanced global footprint with close relationships with customers; strong track record of organic growth, conservative financial policy. The rating is constrained by the company's exposure to raw material price fluctuations, particularly propylene and acrylonitrile, both of which are oil based; the competition from substantially larger and financially more flexible companies, such as BASF (SE) (BASF, A3 stable) and Ecolab Inc. (Baa1 positive); its exposure to the cyclical oil and gas production end market (20% of sales); and an ambitious capital spending programme, aimed at expanding capacity and leading to periods of negative FCF. RATING OUTLOOK The stable outlook on SPCM's rating reflects Moody's expectation that the company will maintain Moody's adjusted gross leverage around 3x through the cycle and adjusted EBITDA margins in the range of 13% -14% under midcycle conditions. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Moody's could upgrade SPCM's rating if the company's leverage would move towards 2.5x and establishes a track record of maintaining RCF/debt in the mid-twenties percentage range, while maintaining FCF at around break-even levels. Conversely Moody's could downgrade SPCM's rating, if leverage would consistently remain above 3.5x or FCF would be strongly negative for a prolonged period of time. A structural decline in the company's EBITDA margins, pointing to a decrease in the company's ability to adjust pricing or increasing competitive pressure would also likely result in a downgrade of SPCM's rating. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Chemical Industry published in March 2019. COMPANY PROFILE SPCM SA (SPCM) is the parent holding company of the SNF Group (SNF). SNF, headquartered in Andrezieux, France, is the world's largest chemical company producing polyacrylamide. PAM is a water-soluble chemical used as flocculant to separate suspended solids from liquids, as viscosity modifiers to alter the thickness of liquids, and as drag reducers to decrease pressure drop in segments of pipes. In 2020 the company generated revenues of close to EUR3 billion and employed around 6,600 worldwide. =========== G R E E C E =========== INTRALOT SA: Moody's Ups CFR to Caa1 & Alters Outlook to Stable --------------------------------------------------------------- Moody's Investors Service has upgraded Intralot S.A.'s corporate family rating to Caa1 from Ca and its probability of default rating to Caa1-PD from Ca-PD. At the same time, Moody's upgraded the guaranteed 2024 senior unsecured notes (SUNs) issued by Intralot Capital Luxembourg S.A. to Caa2 from Ca. The instrument rating of the 2021 senior unsecured notes issued by Intralot Capital Luxembourg S.A. has been withdrawn following the completion of the exchange offer into the 2025 senior secured PIK toggle notes (PIKs) issued by Intralot Inc. Moody's has also changed the outlook to stable from ratings under review for Intralot S.A. and Intralot Capital Luxembourg S.A. RATINGS RATIONALE The rating action reflects the restructuring of the capital structure, which reduces debt by c.EUR165 million and interest by around EUR9 million. The exchange offer for the 2021 notes removes the short-term refinancing risk, while the restructuring also increases the company's options to refinance or repay the next debt maturity in 2024. The company's recent results were further evidence of a positive trajectory in the company's operating performance in the last six to nine months following a decline in performance in the last several years. Moody's positively views the company's significant exposure to the US, which is more profitable and has higher growth potential than its operations in the rest of the world. The absence of material contract renewal until 2024 will also improve earnings stability. However, the rating remains constrained by the complexity of the structure with a high reliance on the cash flows from the company's US operations and reliance on the operating services that the company's Rest of the World business provides. Furthermore, consolidated credit metrics remain weak, with an expected pro-forma Moody's-adjusted gross leverage of more than 6.5x and close to 10x on a proportionate basis. Moody's forecasts that Moody's-adjusted free cash-flow will only turn positive in 2023 (mostly due to the renewal cost of Malta contract in 2022). Interest cover, despite the debt reduction, is also forecast by Moody's to stay weak at around 0.5x EBIT/interest expense. LIQUIDITY Moody's considers Intralot's liquidity to be adequate. The company reported EUR91 million of cash and cash equivalents as of March 2021, which includes EUR22 million at the Intralot Inc level, and there are no significant debt maturities before September 2024. Cash will be primarily generated by Intralot Inc as Moody's projects that the company's rest of the world restricted group will continue to burn cash in 2021 and 2022. Therefore, Moody's estimates that the servicing of the 2024 SUNs will be heavily reliant on cash being up-streamed to Intralot Global Holdings B.V., which is allowed by the 2025 PIKs documentation and subject to a 3.75x net leverage test and a USD20 million minimum liquidity test. Intralot S.A. also has access to an alternative source of liquidity thanks to the distribution put option, which was agreed with the minority shareholders of Intralot Inc. Intralot S.A. can keep control of the board with ownership of only 30% and therefore Moody's estimates that the company could raise EUR150-250 million in proceeds from the sale of a 35% stake in its US subsidiary. Moody's notes the absence of revolving credit facility and financial covenants. STRUCTURAL CONSIDERATIONS Intralot's PDR is Caa1-PD and in line with the CFR, reflecting Moody's assumption of a 50% family recovery rate as is customary for a capital structure comprising of bonds with no financial covenants. The Caa2 rating on the 2024 SUNs is one notch below the CFR and reflects the structural subordination to the 2025 PIKs and the reliance on cash up-stream from Intralot Inc to service its debt and equity valuation to partially repay it. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Positive rating pressure could arise if: The company successfully refinances or repays its 2024 SUNs debt maturity, while keeping adequate liquidity; Moody's-adjusted gross leverage remains sustainably below 6.0x and leverage on a proportionate basis declines below 8.0x; Moody's-adjusted FCF returns to being sustainably positive across the two restricted groups. Negative rating pressure could arise if: Operating performance is weaker than Moody's expectations such that free cash flow remains negative and liquidity becomes weak. The company looks unlikely to be able to refinance or repay the 2024 SUNs and there are concerns about the sustainability of the capital structure or a further restructuring; PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Gaming published in June 2021. COMPANY PROFILE Headquartered in Athens, Intralot is a global supplier of integrated gaming systems and services. The company designs, develops, operates and supports customized software and hardware for the gaming industry and provides technology and services and state licensed lottery and gaming organizations worldwide. It operates a diversified portfolio across 41 jurisdictions and is listed on the Athens stock exchange. NAVIOS MARITIME: Moody's Puts Caa1 CFR on Review for Upgrade ------------------------------------------------------------ Moody's Investors Service has placed the corporate family rating of Caa1 and probability of default rating of Caa2-PD of Navios Maritime Acquisition Corporation (Navios Acquisition) on review for upgrade. The outlook has been changed to Ratings under Review from Negative. The rating actions follow Navios Acquisition's announcement on August 26, 2021 of a merger with Navios Maritime Partners L.P. (Navios Partners, B2 stable) as well as the expected redemption of the Caa1-rated ship mortgage notes of Navios Acquisition. [1] Moody's would expect to withdraw the rating on the ship mortgage notes once repaid. The merger is expected to close in the fourth quarter of 2021. RATINGS RATIONALE / FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Moody's placed the CFR and PDR of Navios Acquisition under review for upgrade because the credit quality of Navios Acquisition will likely align with Navios Partners once the merger has completed. Moody's is likely to withdraw the ratings of Navios Acquisition once it has become a subsidiary of Navios Partners. Moody's expects the review to complete once the merger has completed. Navios Maritime Acquisition Corporation (NYSE:NNA) is an owner and operator of tanker vessels focusing on the transportation of petroleum products (clean and dirty) and bulk liquid chemicals. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Shipping published in June 2021. ============= I R E L A N D ============= BURLINGTON MORTGAGES 1: Moody's Ups Rating on Class E Notes to Ba2 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 4 notes in Burlington Mortgages No. 1 DAC. The rating action reflects better than expected collateral performance, as well as increased levels of credit enhancement for the affected notes. Moody's affirmed the ratings of the notes that had sufficient credit enhancement to maintain their current ratings. EUR1731.4M Class A1 Notes, Affirmed Aaa (sf); previously on Mar 16, 2020 Assigned Aaa (sf) EUR1731.4M Class A2 Notes, Affirmed Aaa (sf); previously on Mar 16, 2020 Assigned Aaa (sf) EUR201.3M Class B Notes, Upgraded to Aa1 (sf); previously on Mar 16, 2020 Assigned Aa2 (sf) EUR110.7M Class C Notes, Upgraded to Aa2 (sf); previously on Mar 16, 2020 Assigned A1 (sf) EUR110.7M Class D Notes, Upgraded to A2 (sf); previously on Mar 16, 2020 Assigned Baa3 (sf) EUR80.5M Class E Notes, Upgraded to Ba2 (sf); previously on Mar 16, 2020 Assigned B3 (sf) Burlington Mortgages No. 1 DAC is a static cash securitisation of residential mortgages extended to obligors located in Ireland by EBS Designated Activity Company and Haven Mortgages Limited. RATINGS RATIONALE The rating action is prompted by decreased key collateral assumptions, namely the portfolio Expected Loss (EL) and MILAN CE assumptions due to better than expected collateral performance, as well as an increase in credit enhancement for the affected tranches. Revision of Key Collateral Assumptions As part of the rating action, Moody's reassessed its lifetime loss expectation for the portfolio reflecting the collateral performance to date. The performance of the transaction has continued to be stable since it closed in March 2020. Total delinquencies have remained stable over the course of this year, with 90 days plus arrears currently standing at only 0.09% of current pool balance. There have been no losses in the transaction so far, with pool factor currently at 84.7%. Moody's decreased the expected loss assumption to 1.5% as a percentage of original pool balance from 3.0% previously. This corresponds to an expected loss as a percentage of current pool balance of 1.77%. The expected loss reduction was based on the good performance since closing, despite challenging economic environment, as well as benchmarking with comparable transactions in Ireland and abroad. 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 rating levels and the volatility of future losses. As a result, Moody's has decreased the MILAN CE assumption to 10.0% from 12.0% previously. Increase in Available Credit Enhancement Sequential amortization led to the increase in the credit enhancement available in this transaction. Credit enhancement supporting classes B, C, D and E increased to 11.6%, 8.4%, 5.1% and 2.8% from 9.7%, 7.0%, 4.2% and 2.2% at closing respectively. Counterparty Exposure The rating actions took into consideration the notes' exposure to relevant counterparties, such as servicer, cash manager and account bank. Moody's considered how the liquidity available in the transactions and other mitigants support continuity of note payments, in case of financial disruption. The rating of the Class B Notes is constrained due to the level of liquidity support available to this tranche. 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 available credit enhancement; and (iii) improvements in the credit quality of the transaction counterparties. 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. PERRIGO COMPANY: Moody's Affirms Ba1 CFR, Alters Outlook to Neg. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of Perrigo Company plc and related subsidiaries (together "Perrigo") and revised the outlook to negative from stable. Ratings affirmed include the Ba1 Corporate Family Rating, Ba1-PD Probability of Default Rating, and Ba1 senior unsecured ratings. The Speculative Grade Liquidity Rating was downgraded to SGL-3 from SGL-1. On September 8, 2021, Perrigo announced that it had signed a definitive agreement to acquire HRA Pharma ("HRA") for approximately $2.1 billion in cash. HRA is a leading manufacturer of over-the-counter ("OTC") products, primarily in Europe, which accounts for about 60% of its revenue. The acquisition reduces some uncertainty associated with how Perrigo plans to use the cash proceeds from the July 2021 generic pharmaceutical business ("RX") sale but the depletion of cash will also stress its liquidity profile. The HRA deal is expected to close by the end of the first half of 2022, subject to the satisfaction of customary closing conditions, including regulatory approvals. Moody's views Perrigo's capital allocation and M&A appetite as aggressive, governance risk considerations that are material to the rating. Moody's believes that Perrigo's debt/EBITDA will remain well above 4.0x for the next few years, pro forma for the sale of RX and the acquisition of HRA. Perrigo has sizeable unresolved tax liabilities and the potential for a settlement payment could result in an increase in Perrigo's financial leverage or delay its ability to delever. The timing and magnitude of a potential settlement remain highly uncertain. The downgrade in Perrigo's liquidity rating to SGL-3 primarily reflects Moody's expectation that most of Perrigo's cash will be depleted to fund the HRA deal. It also reflects refinancing risk associated with Perrigo's $600 million term loan which matures in less than a year (August 2022) and revolver which expires in March 2023. Moody's believes that Perrigo may be reliant on its revolver in 2022 to manage the timing of the HRA deal, term loan maturity, and potential for a settlement of its tax liabilities in Ireland. A roughly $412 million award from an arbitration hearing related to its 2015 acquisition of Omega Pharma NV will boost liquidity but the timing and certain of the payment is uncertain. The negative outlook reflects Perrigo's refinancing needs over the next 12-18 months and the risk that it will be unable to delever towards 4.5x. Risks to Perrigo's earnings include a weak cough/cold season this year and a slower recovery on the products sold by HRA which have been negative impacted by the pandemic. Moody's took the following action on Perrigo Company plc and related subsidiaries: Affirmations: Issuer: Perrigo Company plc Corporate Family Rating, Affirmed Ba1 Probability of Default Rating, Affirmed Ba1-PD Senior Unsecured Regular Bond/Debenture, Affirmed Ba1 (LGD4) Issuer: Perrigo Finance Unlimited Company Gtd. Senior Unsecured Regular Bond/Debenture, Affirmed Ba1 (LGD4) Downgrades: Issuer: Perrigo Company plc Speculative Grade Liquidity Rating, Downgraded to SGL-3 from SGL-1 Issuer: Perrigo Company plc Outlook, Changed To Negative From Stable Issuer: Perrigo Finance Unlimited Company Outlook, Changed To Negative From Stable RATINGS RATIONALE Perrigo's Ba1 Corporate Family Rating is supported by its leading positions in the relatively stable over-the-counter (OTC) market in US and Europe. Perrigo has good scale, as well as good product and customer diversity. Earnings growth will outpace revenue growth for the next few years, driven by cost savings and portfolio mix shifts towards higher margin products. Constraining Perrigo's Ba1 rating is its elevated financial leverage, which Moody's estimates will be around 4.5x at the end of 2022, pro forma for the sale of its RX business and contribution from HRA and cost synergies. While Moody's forecasts mid-single digit earnings growth through 2023, slower demand recovery in segments most impacted by the pandemic such as cough and cold, could result in lower earnings and delay deleveraging. Another constraint is the potential for a sizable cash settlement payment over the next 12-18 months to resolve its tax liabilities in Ireland which stand at just under EUR1 billion. The SGL-3 Speculative Grade Liquidity Rating reflects Perrigo's adequate liquidity profile over the next 12-15 months. Today Perrigo has a significant cash balance of more than $1.8 billion that Moody's expects will be largely depleted to fund the acquisition of HRA in the first half of 2022. Moody's believes Perrigo will generate good free cash flow of around $250 million, although working capital swings can be volatile. Perrigo pays a dividend, which in 2021, will approximate $130 million. Perrigo has a $600 million term loan that matures in August 2022. Perrigo also has a fully undrawn $1 billion unsecured revolver that expires in March 2023, that may need to be utilized in 2022 to temporarily fund one-time items. Perrigo's term loan and revolver have a 5.75x maximum net leverage covenant in Q3 2021 dropping back to 3.75x in Q4 2021 and thereafter (subject to 4x with qualifying acquisitions) and a 3.0x minimum interest coverage covenant. Cushion under Perrigo's leverage covenant will be tight starting in Q4 2021 and beyond. ESG considerations are material to the rating. Social considerations include Perrigo's disputed tax liabilities with Irish and US tax authorities which raise the risk of a potentially large cash outflow to resolve in the future. Governance considerations include Perrigo's aggressive approach to M&A in light of its unresolved tax liabilities. Moody's rates all of Perrigo's unsecured bonds Ba1, the same as its Ba1 Corporate Family Rating. All of Perrigo's bonds and bank facilities (unrated) are unsecured and unconditionally guaranteed by Perrigo Company plc, the parent company. All of the debt is pari passu. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Factors that could lead to an upgrade include a demonstration of more conservative financial policies, such that Moody's expects debt/EBITDA to be sustained below 3.5x. Factors that could lead to a downgrade include if debt/EBITDA is expected to be sustained above 4.5x and weakened liquidity. Failure to proactively refinance Perrigo's revolver and term loan could also pressure ratings. The principal methodology used in these ratings was Consumer Packaged Goods Methodology published in February 2020. SCULPTOR EUROPEAN VI: Moody's Gives B3 Rating to EUR13MM F-R Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following definitive ratings to refinancing Notes issued by Sculptor European CLO VI DAC (the "Issuer"): EUR246,000,000 Class A-R Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) EUR30,000,000 Class B-1-R Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR10,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR28,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned A2 (sf) EUR27,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Baa3 (sf) EUR19,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Ba3 (sf) EUR13,000,000 Class F-R 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 senior secured obligations and up to 10% of the portfolio may consist of senior unsecured obligations, second-lien loans, mezzanine obligations and high yield bonds. The portfolio is expected to be fully ramped as of the closing date and to comprise of predominantly corporate loans to obligors domiciled in Western Europe. Sculptor Europe Loan Management Limited 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 4.5 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 or credit improved obligations. Additionally, the issuer has the ability to purchase loss mitigation loans using principal proceeds subject to a set of conditions including satisfaction of the par coverage tests. On the Original Closing Date, the Issuer also issued EUR34,300,000 Subordinated Notes due 2034 which will remain outstanding. 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 debt's performance is subject to uncertainty. The debt's 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 debt's 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: Par Amount: EUR400,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3001 Weighted Average Spread (WAS): 3.65% Weighted Average Coupon (WAC): 3.75% Weighted Average Recovery Rate (WARR): 43.0% Weighted Average Life (WAL): 8.5 years SCULPTOR EUROPEAN VI: S&P Assigns BB- (sf) Rating to Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned credit ratings to Sculptor European CLO VI DAC's class A, B-1, B-2, C, D, E, and F notes. The issuer also has EUR34.30 million of unrated subordinated notes outstanding from the existing transaction. This is a reset transaction. The reinvestment period will end in March 2026. The covenanted maximum weighted-average life is 8.5 years from closing. Under the transaction documents, the manager is allowed to purchase loss mitigation obligations in connection with the default of an existing asset with the aim of enhancing the global recovery on that obligor. The manager is also allowed to exchange defaulted obligations for other defaulted obligations from a different obligor with a better likelihood of recovery. The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans. Therefore, S&P has conducted our credit and cash flow analysis by applying its criteria for corporate cash flow collateralized debt obligations. Portfolio Benchmarks S&P performing weighted-average rating factor 2,847.86 Default rate dispersion 639.81 Weighted-average life (years) 4.88 Obligor diversity measure 128.16 Industry diversity measure 21.44 Regional diversity measure 1.27 Weighted-average rating B 'CCC' category rated assets (%) 6.46 'AAA' weighted-average recovery rate (covenanted) 34.50 Floating-rate assets (%) 91.73 Weighted-average spread (net of floors; %) 3.69 Loss mitigation loan mechanics Under the transaction documents, the issuer can purchase loss mitigation loans, which are assets of an existing collateral obligation held by the issuer offered in connection with the obligation's bankruptcy, workout, or restructuring, to improve its recovery value. Loss mitigation loans allow the issuer to participate in potential new financing initiatives by the borrower in default. This feature aims to mitigate the risk of other market participants taking advantage of CLO restrictions, which typically do not allow the CLO to participate in a defaulted entity's new financing request. Hence, this feature increases the chance of a higher recovery for the CLO. While the objective is positive, it can also lead to par erosion, as additional funds will be placed with an entity that is under distress or in default. This may cause greater volatility in our ratings if the positive effect of such loans does not materialize. In S&P's view, the presence of a bucket for loss mitigation loans, 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 loans is not subject to the documented reinvestment criteria or eligibility criteria. The issuer may purchase loss mitigation loans using interest proceeds, principal proceeds, or amounts in the supplemental reserve account. The use of interest proceeds to purchase loss mitigation loans is subject to (i) the manager determining that there are sufficient interest proceeds to pay interest on all the rated debt on the upcoming payment date; and (ii) in the manager's reasonable judgment, following the purchase, all coverage tests will be satisfied on the upcoming payment date. The use of principal proceeds is subject to (i) passing par coverage tests; (ii) the manager having built sufficient excess par in the transaction so that the principal collateral amount is equal to or exceeds the portfolio's reinvestment target par balance after the reinvestment; and (iii) the obligation purchased is a debt obligation ranking senior or pari passu with the related defaulted or credit risk obligation, maturity date not exceeding the maturity date of debt and par value greater than its purchase price. Loss mitigation loans that are purchased with principal proceeds and have limited deviation from the eligibility criteria will receive collateral value credit in the adjusted collateral principal amount or the collateral principal amount determination. To protect the transaction from par erosion, any distributions received from loss mitigation loans 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 loans that are purchased with interest will receive zero credit in the principal balance determination, and the proceeds received will form part of the issuer's interest account proceeds. The manager can elect to give collateral value credit to loss mitigation loans, purchased with interest proceeds, subject to them meeting the same limited deviation from eligibility criteria conditions. The proceeds from any loss mitigations reclassified in this way are credited to the principal account. The cumulative exposure to loss mitigation loans purchased with principal is limited to 5% of the target par balance. The cumulative exposure to loss mitigation loans purchased with principal and interest is limited to 10% of the target par balance. Reverse collateral allocation mechanism If a defaulted euro-denominated obligation becomes the subject of a mandatory exchange for U.S. dollar-denominated obligation following a collateral allocation mechanism (CAM) trigger event, the portfolio manager may sell the CAM obligation and invest the sale proceeds in the same obligor (a CAM euro obligation), provided the obligation: -- Is denominated in euro; -- Ranks as the same or more senior level of priority as the CAM obligation; and -- Is issued under the same facility as the CAM obligation by the obligor. To ensure that the CLO's original or adjusted collateral par amount is not adversely affected following a CAM exchange, a CAM obligation may only be acquired if, following the reinvestment, the numerator of the CLO's par value test, referred to as the adjusted collateral principal amount, is either: -- Greater than the reinvestment target par balance; -- Maintained or improved when compared with the same balance immediately after the collateral obligation became a defaulted obligation; or -- Maintained or improved compared with the same balance immediately after the mandatory exchange that resulted in the issuer holding the CAM exchange. Solely for the purpose of this condition, the CAM obligation's principal balance is carried at the lowest of its market value and recovery rate, adjusted for foreign currency risk and foreign exchange rates. Finally, a CAM euro exchanged obligation that is also a restructured obligation may not be purchased with sale proceeds from a CAM exchanged obligation. The portfolio manager may only sell a CAM obligation and reinvest the sale proceeds in a CAM euro obligation if, in the portfolio manager's view, the sale and subsequent reinvestment is expected to result in a higher level of ultimate recovery when compared with the expected ultimate recovery from the CAM obligation. S&P said, "In our cash flow analysis, we modelled a par collateral size of EUR400.00 million, a weighted-average spread covenant of 3.65%, the reference weighted-average coupon covenant of 3.75%, and the minimum 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. "Our credit and cash flow analysis show that the class B-1, B-2, C, and D notes benefit from break-even default rate (BDR) and scenario default rate cushions that are typically in line with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our ratings on the notes. The class A and E notes withstand stresses commensurate with the currently assigned ratings. In our view, the portfolio is granular in nature, and well-diversified across obligors, industries, and assets. "For the class F notes, our credit and cash flow analysis indicates that the available credit enhancement could withstand stresses that are commensurate with a 'CCC' rating. However, following the application of our 'CCC' rating criteria we have assigned a 'B- (sf)' rating to this class of notes." The two-notch uplift (to 'B-') from the model generated results (of 'CCC'), reflects several key factors, including: -- The available credit enhancement for this class of notes is in the same range as other CLOs that we rate, and that have recently been issued in Europe. -- The portfolio's average credit quality is similar to other recent CLOs. -- S&P's model generated BDR at the 'B-' rating level of 23.84% (for a portfolio with a weighted average life of 4.88 years), versus a generated BDR at 15.83% if it was to consider a long-term sustainable default rate of 3.1% for 4.88 years. -- The actual portfolio is generating higher spreads and recoveries versus the covenanted thresholds that it has modelled in its cash flow analysis. For S&P's to assign a rating in the 'CCC' category, S&P also assessed (i) whether the tranche is vulnerable to non-payments in the near future, (ii) if there is a one in two chance for this note to default, and (iii) if it envisions this tranche to default in the next 12-18 months. Following this analysis, S&P considers that the available credit enhancement for the class F notes is commensurate with the 'B- (sf)' rating assigned. The Bank of New York Mellon, London Branch is the bank account provider and custodian. The documented downgrade remedies are in line with S&P's current counterparty criteria. Under S&P's structured finance sovereign risk criteria, it considers that the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. The issuer is bankruptcy remote, in accordance with S&P's legal criteria. S&P said, "The CLO is managed by Sculptor Europe Loan Management Ltd. Under our "Global Framework For Assessing Operational Risk In Structured Finance Transactions," published on Oct. 9, 2014, the maximum potential rating on the liabilities is 'AAA'. "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. "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 each class of 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: tobacco, weapons, thermal coal, fossil fuels, and production of pornography or trade in prostitution. Accordingly, since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings List CLASS RATING AMOUNT INTEREST RATE* SUB (%) (MIL. EUR) A AAA (sf) 246.00 Three/six-month EURIBOR 38.50 plus 1.05% B-1 AA (sf) 30.00 Three/six-month EURIBOR 28.50 plus 1.85% B-2 AA (sf) 10.00 2.10% 28.50 C A (sf) 28.00 Three/six-month EURIBOR 21.50 plus 2.30% D BBB- (sf) 27.00 Three/six-month EURIBOR 14.75 plus 3.40% E BB- (sf) 19.00 Three/six-month EURIBOR 10.00 plus 6.17% F B- (sf) 13.00 Three/six-month EURIBOR 6.75 plus 9.00% Sub NR 34.30 N/A N/A *The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. EURIBOR--Euro Interbank Offered Rate. N/A--Not applicable. NR--Not rated. TORO EURO CLO 6: Fitch Affirms Final B- Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings has assigned Toro European CLO 6 DAC refinancing notes final ratings based on its Exposure Draft for CLOs and Corporate CDOs Rating Criteria published on 9 August 2021. At the same time it has upgraded Toro European CLO 6 DAC's non-refinanced class B-1 notes and affirmed the class E & F notes based on its existing CLOs and Corporate CDOs Rating Criteria. DEBT RATING PRIOR ---- ------ ----- Toro European CLO 6 DAC A XS2027426456 LT PIFsf Paid In Full AAAsf A-R XS2376114976 LT AAAsf New Rating AAA(EXP)sf B-1 XS2027426969 LT AA+sf Upgrade AAsf B-2 XS2027427264 LT PIFsf Paid In Full AAsf B-2-R XS2376115437 LT AA+sf New Rating AA+(EXP)sf C XS2027427694 LT PIFsf Paid In Full Asf C-R XS2376115601 LT Asf New Rating A(EXP)sf D XS2027430649 LT PIFsf Paid In Full BBB-sf D-R XS2376115866 LT BBB-sf New Rating BBB-(EXP)sf E XS2027431027 LT BB-sf Affirmed BB-sf F XS2027431290 LT B-sf Affirmed B-sf TRANSACTION SUMMARY This transaction is a cash flow collateralised loan obligation (CLO) actively managed by the manager, Chenavari Credit Partners LLP. The reinvestment period is scheduled to end in January 2024. At closing of the refinance, the class A-R, B-2-R, C-R & D-R notes have been issued to refinance the existing notes. The class B-1, E, F and the subordinated notes are not refinanced. The weighted average life (WAL) covenant has been extended by six months to seven years and the matrix has been updated concurrently based on the exposure draft. 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 current portfolio is 25.6, based on the Exposure Draft Criteria and 34.3 based on the existing criteria. High Recovery Expectations (Positive): Over 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the portfolio is 61.7% based on both the Exposure Draft and existing criteria. Diversified Portfolio (Positive): The transaction has four matrices corresponding to two top-10 limits at 15% and 26.5%, and two maximum fixed-rate asset limits at 0% and 10%. The portfolio is diversified with 126 issuers, and the top-10 obligor exposure at below 15% while the largest obligor is below 2.5%. The transaction also includes various concentration limits, including the maximum exposure to the three-largest Fitch-defined industries in the portfolio at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has a 2.4-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. Cash Flow Modelling (Neutral): In Fitch's analysis, the stressed-case portfolio is modelled with a WAL of six years, which is one year shorter than the seven years expected at the closing of the refinance. Fitch views the tight reinvestment conditions post the reinvestment period, such as the satisfaction of Fitch WARF test and a linear step-down of the WAL test, effective in locking the transaction out of reinvestment should the transaction deteriorate. This justifies a one-year WAL reduction in Fitch's analysis. Concurrently, the matrices have been updated based on the exposure draft. Transaction Performance Improved (Positive): The transaction's performance has improved further since Fitch's last rating action in August 2021 based on the July 2021 data. Fitch's WARF improved to 34.3 based on the August 2021 data from 35.1 based on the July 2021 data while the WARR has been unchanged at 61.7%. The portfolio currently has no defaulted assets and 'CCC' exposure per Fitch's calculation has remained unchanged at about 5%. The transaction is 0.7% below par, an improvement from 1.1% below par in the prior review. Upgrade & Affirmations of Existing Notes (Positive): Based on the existing criteria, the class B-1 notes qualify for a 'AA+' rating, assuming the portfolio migrates to the stressed portfolio with an updated covenant. The class B-1 notes also display a large default rate cushion in the current portfolio analysis. This supports the upgrade of class B-1 notes to 'AA+', in line with the assigned rating to the class B-2-R note, which ranks pari-passu with each other. Class E & F notes have been affirmed based on the existing criteria. The ratings are one notch above their respective model implied ratings (MIR). Both notes show a shortfall based on the current portfolio analysis in the back-default timing scenario, which is not the agency's base-case expectation. Given the improvement in the portfolio performance, Fitch is unlikely to downgrade the notes to the next lower rating category in the next 12-18 months. Further, the class F notes display a safety margin due to their credit enhancement of 6.6% and therefore do not show a real default possibility, which is Fitch's 'CCC' definition. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease of the recovery rate (RRR) across all ratings would result in downgrades of up to four notches cross the structure. -- Downgrades may occur if the build-up of credit enhancement following amortisation does not compensate for a larger loss expectation than initially assumed due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A 25% reduction of the mean RDR across all ratings and a 25% increase in the RRR across all ratings will result in an upgrade of no more than five notches across the structure, apart from the class A notes, which are already at the highest rating on Fitch's scale and therefore cannot be upgraded. -- At closing, Fitch used a standardised stressed portfolio (Fitch's stressed portfolio) that was customised to the portfolio limits as specified in the transaction documents. Even if the actual portfolio shows lower defaults and smaller losses (at all rating levels) than Fitch's stressed portfolio assumed at closing, an upgrade of the notes during the reinvestment period is unlikely as the portfolio credit quality may still deteriorate, not only through natural credit migration, but also through reinvestments as the manager can update the collateral quality tests. -- Upgrades may occur after the end of the reinvestment period on better-than-expected portfolio credit quality and deal performance, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. 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. TORO EUROPEAN 6: S&P Raises Class E Notes Rating to 'BB- (sf)' -------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Toro European CLO 6 DAC's class A-R, B-2-R, C-R, and D-R notes. At the same time, S&P has raised its rating on the class E notes and affirmed our ratings on the class B-1 and F notes. On Sept. 9, 2021, the issuer refinanced the original class A, B-2, C, and D notes by issuing replacement notes of the same notional. The class B-1, E, and F notes have not been refinanced. The refinanced notes are largely subject to the same terms and conditions as the original notes. However, they bear a lower spread over Euro Interbank Offered Rate (EURIBOR) or a lower coupon. The ratings assigned to Toro European CLO 6 DAC's refinanced notes reflect S&P's assessment of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are mitigated in line with our counterparty rating framework. S&P said, "In October 2020, we lowered to 'B+ (sf)' from 'BB- (sf)' our rating on the class E notes as the credit enhancement was no longer sufficient to withstand 'BB-' stresses. The refinancing of the class A, B-2, C, and D notes has reduced the transaction's cost of funding and, moreover, the 'BB-' scenario default rates have decreased, due to the portfolio's improved credit quality and the lower weighted-average life of the assets. As such, the class E notes are once again capable of withstanding stresses commensurate with their original target rating and we have raised to 'BB- (sf)' from 'B+ (sf)' our rating on this class of notes." Under the transaction documents, the rated notes pay quarterly interest unless there is a frequency switch event. Following this, the notes will permanently switch to semiannual payment. The portfolio's reinvestment period will end in January 2024. S&P said, "In our cash flow analysis, we used a EUR347.72 million adjusted collateral principal amount and the actual weighted-average spread, weighted-average coupon, and weighted-average recovery rates at all rating levels. 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. "Our credit and cash flow analysis indicates that the available credit enhancement could withstand stresses commensurate with higher ratings than those assigned to the class B-2-R, C-R, and D-R notes, and affirmed on the class B-1 notes. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our ratings on these notes at their target ratings." The Bank of New York Mellon, London Branch is the bank account provider and custodian. The documented downgrade remedies are in line with our counterparty criteria. S&P said, "Following the application of our structured finance sovereign risk criteria, we consider the transaction's exposure to country risk to be limited at the assigned ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. "We consider the transaction's legal structure 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 that our ratings are commensurate with the available credit enhancement for the class A-R, B-1, B-2-R, C-R, D-R, E, and F notes." Environmental, social, and governance (ESG) 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. In the context of this refinancing, the documentation is being supplemented with investment restrictions based on ESG considerations. In particular the documents prohibit the manager from investing in activities related to thermal coal mining or generation of electricity using coal, to manufacturing and sale of tobacco or tobacco products, to controversial weapons and illegal drugs, or to pornography, prostitution, human trafficking, sexual violence against women, forced labor or child labor as defined by the International Labour Organisation conventions, severe environmental damage, gross corruption, including extortion and bribery. Since the exclusion of assets related to these activities 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." Toro European CLO 6 is a broadly syndicated CLO managed by Chenavari Credit Partners LLP. Ratings List Ratings assigned CLASS RATING AMOUNT REPLACEMENT ORIGINAL SUB(%) (MIL. EUR) NOTES NOTES INTEREST RATE* INTEREST RATE A-R AAA (sf) 214.00 3-month EURIBOR 3-month EURIBOR 38.46 plus 0.92% plus 1.14% B-2-R AA (sf) 10.00 2.20% 2.40% 29.54 C-R A (sf) 30.40 3-month EURIBOR 3-month EURIBOR 20.80 plus 2.45% plus 2.50% D-R BBB (sf) 20.60 3-month EURIBOR 3-month EURIBOR 14.87 plus 3.50% plus 4.03% Rating raised CLASS RATING RATING AMOUNT NOTES SUB(%) TO FROM (MIL. EUR) INTEREST RATE* E BB- (sf) B+ (sf) 19.70 3-month EURIBOR 9.21 plus 6.49%% Ratings affirmed CLASS RATING AMOUNT NOTES SUB(%) (MIL. EUR) INTEREST RATE* B-1 AA (sf) 21.00 3-month EURIBOR plus 1.80% 29.54 F B- (sf) 9.10 3-month EURIBOR plus 8.49% 6.59 *The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. EURIBOR--Euro Interbank Offered Rate. N/A--Not applicable. =================== L U X E M B O U R G =================== MILLICOM INT'L: $335MM Notes Add-on No Impact on Moody's Ba1 CFR ---------------------------------------------------------------- Moody's Investors Service comments that Millicom International Cellular S.A.'s Ba1 corporate family rating and Ba2 senior unsecured ratings, and stable outlook remain unchanged following the company's announcement that it plans to issue up to $335 million add-on to its senior unsecured notes due 2031. The company plans to use proceeds from the proposed add-on to fund the exchange offer for its existing 6.625% senior unsecured notes due 2026. The issuance is part of Millicom's liability management with the objective of extending the company's debt maturity profile while reducing its cost of debt. The proposed exchange will be neutral for the company's credit metrics, but it will allow for a more comfortable debt maturity profile. Assuming full acceptance of the proposed exchange, 65% of the company's debt will mature in 2026 or thereafter; further improving the company's liquidity profile that includes $800 million in cash and a five-year committed revolving credit facility for $600 million due in October 2025, fully available as of June 2021. Millicom's Ba1 CFR reflects the company's strong operating performance, solid business model, leading market shares in key geographies, and multiregional balance of profit and cash flow generation. The Ba1 rating also incorporates the regulatory and other operating risks and limitations in the countries where the company operates. The Ba2 rating of Millicom's senior unsecured notes reflects their structural subordination to debt at the operating company level as well as their unguaranteed status. Debt at the holding company level amounts to around 32% of total consolidated debt as of June 30, 2021. The stable outlook reflects Moody's expectation that Millicom will maintain adequate liquidity while remaining committed to its 2.0x net leverage target and that the company will continue its conservative approach of managing debt maturities ahead of schedule to avoid near-term concentration of payments. The stable outlook also takes into consideration the fact that the increase in leverage will be temporary. Downward pressure on Millicom's ratings could develop if liquidity and credit metrics deteriorate, gross debt leverage increases to 3.5 times, shareholder remuneration is higher than anticipated or if the company takes on material debt-funded acquisition that increases leverage without prospects of recovery. The ratings could also be downgraded if Millicom concentrates its exposure to riskier countries, or in case of increased sovereign risk in any of the countries in which it currently operates. Positive pressure on Millicom's ratings could arise if the company's gross debt leverage decreases below 2.5 times on an ongoing basis, its retained cash flow to debt increases above 30% and if the group sustains a strong liquidity position. An upgrade would also be dependent on an improvement in the balance of risk across the countries in which Millicom operates and would require the group to maintain its strong market positions, a good level of geographical diversification of cash flows, the continued ability to repatriate dividends from its subsidiaries and conservative financial policies. Millicom is a global telecommunications investor focused on emerging markets, with cellular operations and licenses in 10 countries in Latin America and Africa. The company has around 52 million mobile customers, and 3.3 million cable and broadband households. The company derives around 94% of its revenue from its Central and South American operations in El Salvador, Guatemala, Honduras, Costa Rica, Nicaragua, Colombia, Bolivia, Paraguay and Panama. In Africa, Millicom operates in Tanzania and through a joint venture in Ghana. The company also offers cable and satellite TV services in Central and South America. Millicom's consolidated revenue was $4.3 billion for the 12 months that ended June 2021. Millicom is incorporated in Luxembourg and publicly listed on the Nasdaq Stock Market in New York and Nasdaq Stockholm. ===================== N E T H E R L A N D S ===================== EMF-NL PRIME 2008-A: Fitch Affirms CC Rating on 2 Tranches ---------------------------------------------------------- Fitch Ratings has taken multiple rating actions of three Dutch RMBS, including upgrades of two tranches of Eurosail-NL 2007-1 B.V. (Eurosail 2007-1), downgrade of one tranche of Eurosail-NL 2007-2 B.V. (Eurosail 2007-2), and affirmation of EMF-NL Prime 2008-A B.V. (EMF). DEBT RATING PRIOR ---- ------ ----- Eurosail-NL 2007-2 B.V. Class A XS0327216569 LT A+sf Affirmed A+sf Class B XS0327217880 LT B-sf Downgrade Bsf Class C XS0327218425 LT CCCsf Affirmed CCCsf Class D1 XS0327219159 LT CCCsf Affirmed CCCsf Class M XS0330526772 LT BBBsf Affirmed BBBsf Eurosail-NL 2007-1 B.V. Class A XS0307254259 LT A+sf Affirmed A+sf Class B XS0307256114 LT A+sf Affirmed A+sf Class C XS0307257435 LT A+sf Upgrade BBB+sf Class D XS0307260496 LT BBsf Upgrade CCCsf Class E1 XS0307265370 LT CCCsf Affirmed CCCsf EMF-NL Prime 2008-A B.V. Class A2 XS0362465535 LT Bsf Affirmed Bsf Class A3 XS0362465881 LT Bsf Affirmed Bsf Class B XS0362466186 LT CCCsf Affirmed CCCsf Class C XS0362466269 LT CCsf Affirmed CCsf Class D XS0362466772 LT CCsf Affirmed CCsf TRANSACTION SUMMARY The transactions are securitisations of Dutch non-conforming residential mortgages originated by ELQ Portefeuille I BV and partially by Quion 50 (in EMF only). KEY RATING DRIVERS UCO Resolution Drives Rating Changes: In July 2021, Fitch has updated its European RMBS Rating Criteria and retired its coronavirus-related assumptions. The upgrade of Eurosail 2007-1 class C and D reflects primarily the application of less severe loss assumptions compared with the last review, but also the increase in the credit enhancement. The downgrade of Eurosail 2007-2 class B reflects the update of the criteria that limits the rating that can be assigned to notes with model-implied rating below 'B-sf'. Stable Asset Performance: Portfolio performance data as of June 2021 did not show signs of deterioration due to the pandemic so far. Since autumn 2020, the share of performing loans has increased for all three deals. The absolute level of late-stage arrears remains high (over 1% arrears of three months or more in June 2021 for Eurosail 2007-2 and over 2% for the other two deals) compared with the equivalent measure in the Fitch Netherlands All Deals Index of 0.23% (as of June 2021). Fitch expects some increase in Dutch RMBS arrears once government-support programmes are rolled back. Originator Adjustment: Given the significant portion of borrowers with adverse credit characteristics, Fitch applied originator adjustments of 3.5x for all three transactions that are different to those applied at transactions' closing (1.3x). These adjustments address the portfolios' sub-standard credit quality and the weak performance reported since closing compared with prime Dutch RMBS. The performance adjustment factor was floored at 100% to reflect the back-loaded risk profile from interest-only loans in combination with non-prime borrowers. Eurosail Capped at 'Asf' Category: Fitch currently views the Eurosail transactions' portfolio characteristics as incompatible with high investment-grade categories ( 'AAsf' or higher). The cap aims to account for residual uncertainty around high maturity concentrations of interest-only loans in combination with the non-standard nature of the assets in both portfolios. Consequently, Fitch has capped the transactions' ratings in the 'Asf' rating category. As a result, Eurosail 2007-1's class A and B notes as well as Eurosail 2007-2's class A notes have been affirmed, and Eurosail 2007-1's class C notes have only been upgraded to 'A+sf'. EMF Ratings Capped at 'Bsf': In the absence of liquidity protection, principal borrowing or other mitigants, the EMF transaction solely depends on interest collections to meet timely interest payments on the class A2 and A3 notes, in particular in the event of servicing disruption. In Fitch's view, the notes are not compatible with ratings above 'Bsf', at least as long as the reserve fund is not sustainably replenished. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Unanticipated increases in the frequency of defaults or decreases in recovery rates could produce larger losses and reduce available revenue funds. Lower available revenue funds may jeopardise the transactions' ability to meet timely or ultimate interest payment obligations. -- Since the notes can be called net of principal deficiency ledger (PDL), occurrence of material PDLs in Fitch's cash flow analysis over the life of the transactions may trigger negative rating actions. -- Fitch has tested an increase in defaults of 15% and a decrease in recoveries of 15%. In such a scenario, Eurosail 2007-1's class A and B notes' ratings would remain unchanged while all other notes' ratings would be about one notch lower than the current ratings. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance driven by stable delinquencies and defaults would lead to higher- than-expected available revenue funds late in the transactions' lives and, potentially, upgrades, as long as no cap applies. For instance, Fitch tested an additional rating sensitivity scenario by applying a decrease in the WAFF of 15% and an increase in the WARR of 15%, all else equal. In such scenario, Eurosail 2007-1 class D notes and Eurosail 2007-2 class M notes would be upgraded to 'A-', while all other notes' ratings would remain unchanged due to the rating caps in place. -- Higher available revenue funds could also result in an increase in excess spread, which could replenish Eurosail 2007-2's and EMF's reserve funds. If EMF's reserve fund is replenished sustainably, all else equal, the 'Bsf' rating cap on class A2 and A3 notes could be lifted and the notes could be upgraded. 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. CRITERIA VARIATION The portfolios comprise over 90% of interest-only loans with maturities clustered within a short two-year period, close to the notes' final legal maturity. In combination with the adverse borrower profile, this exposes the structures to more back-loaded losses than typically assumed. In the scenarios analysed by Fitch, later defaults and recoveries lead to later note principal amortisation, which results in larger interest shortfalls being accumulated. The issuer cannot borrow principal funds and thus may not be able to cover such larger shortfalls by the legal final maturity date. To account for this risk, Fitch applied a criteria variation by changing the distribution of defaults for the back-loaded default timing and extending the recovery timing for additional 18 months across all rating scenarios. SUMMARY OF FINANCIAL ADJUSTMENTS NA USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. Fitch has not reviewed the results of any third- party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Eurosail 2007-1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to weaker underwriting standards applied by the originator that have manifested in weaker-than-market performance of the asset portfolio, as reflected in originator adjustments to the FF. This has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Eurosail 2007-2 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to weaker underwriting standards applied by the originator that have manifested in weaker-than-market performance of the asset portfolio, as reflected in originator adjustments to the FF. This has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. EMFhas an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to weaker underwriting standards applied by the originator that have manifested in weaker-than-market performance of the asset portfolio, as reflected in originator adjustments to the FF. This has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. 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. INTERTRUST NV: Moody's Affirms Ba2 CFR, Alters Outlook to Negative ------------------------------------------------------------------ Moody's Investors Service has changed the outlook on Intertrust N.V. to negative from stable. Concurrently, Moody's has affirmed all Intertrust's ratings, including its Ba2 Corporate Family Rating, as well as all the ratings of its subsidiary Intertrust Group B.V. Moody's also assigned negative outlook to the Intertrust Group B.V. RATINGS RATIONALE The change of the outlook to negative reflects an extended period of time in which Intertrust's operating performance and credit metrics did not meet the requirements for the Ba2 rating category and the uncertainties regarding the recovery of these credit metrics. Intertrust's financial leverage reached 5.4x Moody's adjusted debt/EBITDA as of last twelve months (LTM) ended June 2021 compared to 5.2x and 5.2x in 2019 and 2020, respectively, which continues to clearly exceed the guidance for the Ba2 rating category. Furthermore, the rating action reflects Moody's concerns that slower-than-expected operational improvements and/or M&A activity or shareholder returns may further delay a meaningful restoration of Intertrust's credit metrics back to the requirements for the Ba2 rating category in the next 12-18 months. The affirmation of the ratings primarily recognizes Intertrust's established position in the market with favorable demand fundamentals. Moody's expects that the company will grow its like-for-like revenues by around 4% in 2021 and by 4%-6% in 2022, in line with the medium-term targets of the company. At the same time, Moody's expects a gradual improvement in EBITA margins (as defined by Moody's) to around 30% in the next 12-18 months from currently around 28% as of LTM ended June 2021, as Intertrust will benefit from realization of synergies from Viteos acquisition. In addition, margin improvements are expected to be driven by the sound growth fundamentals in the global Trust & Corporate Service (T&CS) market amid economic recovery, partly offset by the incremental compliance investments of around EUR10 million in the second half of 2021 and EUR10 million (Moody's estimate) in 2022. The growth in revenue and EBITDA combined with low capital intensity of the business (with capital spending at around 3% of sales) and annual dividend payout amounting to 20% of company-adjusted net income will lead to a solid Moody's adjusted free cash flow (FCF) generation, with FCF/Debt at around 10% in the next 12-18 months. Earnings growth combined with Moody's expectation of debt repayment from positive FCF will lead to Moody's adjusted Debt/EBITDA of 4.8x-4.9x in 2021 and around 4.2x in 2022. This forecast incorporates Moody's assumption that there will be no substantial adverse effects due to regulations, litigations or taxes, and/or no debt-funded acquisitions or shareholder distributions in excess of the forecasted dividend payout. The Ba2 rating continues to be underpinned by Intertrust's resilient business, with long-standing customer relationships and high switching costs, resulting in around 80%-90% of recurring revenues. At the same time, the rating reflects relatively small scale in a fragmented market despite some leading market position and the company's exposure to legal and regulatory risks inherent to the industry. ESG CONSIDERATIONS Governance considerations include the track record of the listed company with manageable shareholder distributions and a clearly communicated strategy, including its financial policy. In addition, governance considerations include Intertrust's exposure to litigation risks because of the potential for errors and the alternative interpretation of complex regulatory, reporting and tax requirements, as evidenced by the recent administrative fine to Intertrust of approximately EUR4.3 million by the Cayman Islands Monetary Authority (CIMA). The company is regulated by multiple regulators, and it is important to maintain the necessary IT infrastructure and retain suitably qualified and experienced personnel to ensure compliance across the world. LIQUIDITY Moody's considers Intertrust's liquidity good based on the rating agency's expectation that FCF will remain positive, its cash balance of around EUR137 million as of June 2021, and its RCF of EUR150 million, with a leverage covenant and a reasonable headroom. Moody's expects full repayment of USD term loan B maturity in 2022 from available liquidity sources. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Due to the rating currently being weakly positioned as reflected in the negative outlook, Moody's does not expect any upward pressure on the rating in the near term. However, this could occur over time if the company were to significantly increase its scale, continue to diversify its business, and achieve (1) a reduction in Moody's adjusted leverage to 3.0x or below on a sustainable basis, (2) an improvement of Moody's adjusted FCF/Debt to above 15%, and (3) a maintenance of a solid liquidity profile. Moody's could downgrade Intertrust if (1) the company fails to bring leverage towards 4.5x Moody's-adjusted debt/EBITDA in 2021 and clearly below 4.5x in 2022, (2) Moody's adjusted FCF/Debt remains below 10%, (3) credit metrics were to weaken as a result of substantial adverse effects due to regulations, litigations or taxes, and/or significant debt-funded acquisitions or shareholder distributions, or (4) its liquidity were to deteriorate. LIST OF AFFECTED RATINGS: Issuer: Intertrust Group B.V. Affirmations: BACKED Senior Unsecured Regular Bond/Debenture, Affirmed Ba2 Outlook Actions: Outlook, Changed To Negative From No Outlook Issuer: Intertrust N.V. Affirmations: LT Corporate Family Rating, Affirmed Ba2 Probability of Default Rating, Affirmed Ba2-PD Outlook Actions: Outlook, Changed To Negative From Stable PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Service Industry published in October 2016. CORPORATE PROFILE Intertrust is the Netherlands based global provider of corporate, fund, capital market and private wealth services. The company has around 4,000 employees in more than 30 jurisdictions in Europe, the Americas, Asia and the Middle East. In 2020, Intertrust generated revenue and company-adjusted EBITA of EUR564 million and EUR185 million, respectively. It is listed on the Amsterdam Stock Exchange and had a market capitalisation of EUR1.18 billion as of September 7, 2021. TITAN HOLDINGS II: Fitch Assigns Final 'B' LT IDR, Outlook Stable ----------------------------------------------------------------- Fitch Ratings has assigned Titan Holdings II B.V. (TH) a final Long-Term Issuer Default Rating (IDR) of 'B'. The Outlook is Stable. Fitch has also assigned TH's notes a final subordinated rating of 'CCC+' with a Recovery Rating of 'RR6' and subsidiary Kouti B.V.'s term loan B (TLB) a final senior secured rating of 'B+'/'RR3'. The IDR of TH is constrained by its forecast high leverage, limited geographical diversification and product range and a smaller share of contracts with a pass-through mechanism than Fitch-rated peers'. Rating strengths are its leading market position in the EMEA metal food packaging sector and resilient demand for metal food cans, as 95% of TH's revenue comes from the food industry. The IDR is also supported by good customer diversification with long-term relationships and an established supplier base. The Stable Outlook reflects expected solid operating performance, supported by stable demand for metal food packaging and expected improvement of EBITDA and free cash flow (FCF) generation, which will provide the group with deleveraging capacity. TH is the new group housing the European tinplate business following the sale of an 80% stake by Crown Holdings, Inc to KPS Capital Partners, LP. KEY RATING DRIVERS High Leverage: TH's leverage is high following Crown Holdings, Inc's sale of 80% of TH, which was funded by a EUR1.2 billion TLB and EUR375 million notes. This has increased TH's total debt to EUR1.9 billion. Fitch expects TH's funds from operations (FFO) gross leverage to be at 9.1x by end-2021, which is higher than most Fitch-rated peers'. Fitch expects gradual deleveraging in the medium term but forecast FFO gross leverage to remain high relative to peers' at 7.3x by 2024. Fitch views the group's leverage as a key rating constraint. Its deleveraging capacity is strongly linked to expected profitability improvement, which if not achieved, could put pressure on leverage metrics and result in a negative rating action. Limited Diversification: TH's geographical diversification is limited and mainly concentrated in Europe. TH produces metal food cans and its production facilities are located close to food producers'. About 85% of TH's revenue is exposed to the production of metal food cans, which limits product diversification versus higher-rated peers'. This is mitigated by stable demand from food producers and supports TH's solid position in the metal food cans market. Moderate Profitability: TH's Fitch-defined EBITDA margin of about 11% in 2019-2020 is lower than some Fitch-rated peers', including Silgan Holdings Inc's 14%-16% and Ardagh Metal Packaging S.A.'s about 14%. TH's new management is focused on improving the group's profitability, which Fitch forecasts will rise to about 15%-16% by 2023-2024. Stability from Contracted Sales: A significant part of sales, albeit lower than that of some Fitch-rated peers, is secured by long-term contracts with a pass-through mechanism, which enables the group to mitigate raw-material price volatility. Price negotiations with customers are mostly subject to annual revision, which indicates lower operating flexibility versus some peers'. Fitch views the group's operating efficiency as slightly weaker than that of some Fitch-rated peers, including Ardagh Group S.A. and Amcor plc, although Fitch forecasts EBITDA margin will improve to be closer to peers'. Sustained Positive FCF from 2022: Fitch forecasts a sustained FCF margin of 5%-7% from 2022, which should provide deleveraging capacity, supported by expectation of an improving EBITDA margin and no dividend payment. TH's pre-dividend FCF margin in 2019-2020 was strong at 4%-6%, with capex limited to 1.5%-2% of revenue. Management plans to increase capex to about 2.5% of revenue during 2021-2024 to support profitability growth. Fitch expects marginal FCF in 2021 to be eroded with increased capex and additional expenses of about EUR125 million following the leveraged buyout of TH. Leader in a Niche Market: TH is the largest metal food can producer in Europe with a market share of about 39%, supported by stable, non-cyclical end-markets. The group benefits from moderate to high barriers to entry that include a broad network of production facilities, long-term relationships with key customers as well as a sustained record with suppliers of tinplate, the group's core raw material. End-Markets Provide Resilience: TH benefits from exposure to the non-cyclical food industry, which contributes about 95% of revenue. This provides the group with resilient revenue generation, as observed in 2020 during the pandemic when revenue increased 4% in US dollar terms while the EBITDA margin slightly increased to 11.4%. Strong financial performance in 1Q21 with annual revenue growth of 15% and improved profitability support Fitch's forecast for continued stable revenue through 2021. Financial Policy Drives Deleveraging: The new owners plan no material M&As or dividend payments until internal profitability targets are reached. Fitch views this positively as it should support the group's deleveraging. Fitch expects that the group will maintain its conservative financial policy. Any additional borrowings or shareholder-friendly cash deployment policy will reduce the group's deleveraging capacity, which would negatively affect the rating. DERIVATION SUMMARY TH is smaller than higher-rated peers such as Amcor plc (BBB/Stable), Smurfit Kappa Group plc (BBB-/Stable), Berry Global Group, Inc (BB+/Stable), Silgan Holdings Inc. (BB+/Stable) and Ardagh Group S.A. (B+/Stable). The group's business profile is also weaker than higher-rated peers' due to a less diversified geographical presence and a more limited product range. TH's operating profitability is somewhat lower than peers'. TH's Fitch-defined EBITDA margin was about 11% and FFO margin about 8.5% in 2019-2020, while peers reported profitability in the range of 14%-18% and 8.5%-12%, respectively. Nevertheless, Fitch expects TH's profitability to be healthy, similar to peers', with an EBITDA margin of about 13% in 2021-2022. Fitch expects FCF generation to be strong from 2022, with a margin of over 5% that is comparable with that of Silgan Holdings Inc. (5%-6%) and higher than that of Amcor plc (about 2%). TH's leverage is higher than peers', with forecast FFO leverage at about 9.1x at end-2021 and about 8.4x by 2022. Ardagh Group S.A. is also highly leveraged, with expected FFO gross leverage of about 8.0x through the cycle, but its business profile is stronger than TH's, with higher diversification and better contract structure with pass-through of most costs. Forecast strong cash-flow generation should allow TH to reduce FFO gross leverage towards 7.0x-7.5x by end-2024, which is comparable with Ardagh Group S.A.'s. KEY ASSUMPTIONS Fitch's key assumptions within its rating case for the issuer include: -- Revenue to grow on average 1.2% in 2021-2024; -- EBITDA margin to improve to about 13% in 2021, rising to about 16% by 2024; -- EUR1,175 million TLB due in 2028; -- EUR375 million notes due in 2029; -- About EUR2.1 billion cash, following the equity sale, to be paid to Crown Holdings Inc.; -- Rise of capex to about 2.5% of revenue during 2021-2024; -- No dividend payments to 2024 ; -- No M&A to 2024. Key Recovery Rating Assumptions: -- The recovery analysis assumes that TH would be considered a going concern (GC) in bankruptcy and that it would be reorganised rather than liquidated. -- Fitch's GC value available for creditor claims is estimated at about EUR1.2 billion, assuming GC EBITDA of EUR230 million. The GC EBITDA reflects expected improvement of the EBITDA margin, due to cost-optimisation initiatives, assumed loss of a major customer and a failure to broadly apply pass-through mechanism amid price increases of raw materials. Therefore, the GC EBITDA is based on Fitch's assumption of an EBITDA margin of 11.5% applied to sustained revenue of approximately EUR2 billion. The assumption also reflects corrective measures taken in the reorganisation to offset the adverse conditions that trigger default. -- A 10% administrative claim. -- An enterprise value (EV) multiple of 5.5x EBITDA is applied to the GC EBITDA to calculate a post-reorganisation EV. The multiple is based on TH's strong market position in Europe with resilient performance during the pandemic, good customer diversification with a long record of cooperation, and expected strong FCF generation. At the same time, the EV multiple reflects the group's concentrated geographical diversification and limited range of products. -- Fitch deducts about EUR336 million from the EV, relating to TH's highest usage of factoring facility adjusted for discount, in line with Fitch's criteria. -- Fitch estimates the total amount of senior debt claims at EUR1,825 million, which includes an EUR275 million senior secured revolving credit facility (RCF), EUR1,175 million senior secured TLB and EUR375 million subordinated notes. -- The allocation of value in the liability waterfall results in recovery corresponding to 'RR3'/55% for the TLB and a recovery corresponding to 'RR6'/0% for the subordinated notes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- FFO gross leverage below 7.0x on a sustained basis; -- EBITDA margin above 15% on a sustained basis. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- FFO interest coverage below 2.5x; -- Negative FCF margin on sustained basis; -- FFO gross leverage not reducing below 8.0x by end-2023. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Non-Financial Corporate issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. LIQUIDITY AND DEBT STRUCTURE Adequate Liquidity Expected: Following the debt issuance and purchase of 80% of Crown Holdings Inc's tinplate business, TH has no scheduled debt repayment until its bullet maturities in 2028. Fitch's expectation of sustainably positive FCF generation from 2022 supports the group's liquidity over the long term. Moreover, the issued RCF of EUR275 million provides the group with additional committed liquidity. Fitch-adjusted short-term debt is represented by drawn factoring facilities totalling EUR362 million at end-2020. This debt self-liquidates with factored receivables. ISSUER PROFILE TH is the largest metal food can producer in Europe with market share of about 39%. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. =========== R U S S I A =========== CB SPUTNIK: Deposit Agency to Manage Provisional Administration --------------------------------------------------------------- The Bank of Russia, by virtue of its Order No. OD-1894, dated September 9, 2021, appointed the State Corporation Deposit Insurance Agency as the provisional administration to manage Samara-based Commercial Bank Sputnik (public joint-stock company) (Registration No. 1071) beginning from September 10, 2021, for six months. The credit institution ranks 292nd by assets in the Russian banking system. The Bank of Russia made this decision based on the facts that CB Sputnik (PJSC): -- violated federal banking laws and Bank of Russia regulations, due to which the regulator repeatedly applied supervisory measures against it over the last 12 months, including restrictions on a number of banking operations; -- understated the credit risk level and overstated the book value of its assets; according to the findings of the appropriate assessment, the credit institution's capital decreased below the amount required for banks with a basic license, which is evidence of signs of financial instability; -- is involved in dubious foreign exchange transactions. The above facts and the failure of the credit institution's owners and executives to take effective actions stabilising the bank's financial standing, as well as the bank's financial instability identified by the Bank of Russia based on a set of management quality indicators are the reasons why the operations of CB Sputnik (PJSC) create a real threat to the interests of its creditors (depositors). The Bank of Russia suspended the powers of the shareholders of CB Sputnik (PJSC) related to their equity stakes, as well as the authority of its management bodies for the period of the provisional administration's activity. Simultaneously, by its Order No. OD-1895, dated September 9, in accordance with Federal Law No. 127-FZ, dated October 26, 2002, "On Insolvency (Bankruptcy)", the Bank of Russia imposed the moratorium on the claims of the creditors of CB Sputnik (PJSC) beginning from September 10, 2021, for three months. CB Sputnik (PJSC) is the only credit institution in the Russian Federation having correspondent relations with the Foreign Trade Bank of the Democratic People's Republic of Korea in the Russian Federation within the implementation of the UN Resolution 2270 (2016) for the purpose of processing UN entities' transactions for the DPRK. The decisions made by the Bank of Russia in relation to CB Sputnik (PJSC) are aimed at protecting the interests of the bank's creditors (depositors) and will ensure complete control in the credit institution and the protection of its assets. CB Sputnik (PJSC) is a member of the deposit insurance system. The moratorium on the claims of the bank's creditors imposed by the Bank of Russia is an insured event provided for by Federal Law No. 177-FZ, dated December 23, 2003, "On the Insurance of Deposits with Russian Banks". According to this Federal Law, the bank's depositors are entitled to insurance compensation in the amount of 100% of the balance of funds, but no more than a total of RUR1.4 million per depositor (including interest accrued), taking into account the conditions stipulated by Chapter 2.1 of this Federal Law. The procedure and period for the payment of insurance compensations will be set by the State Corporation Deposit Insurance Agency. Depositors may obtain detailed information regarding repayments 24/7 at the Agency's hotline (8 800 200-08-05) and on its website (https://www.asv.org.ru/) in the Deposit Insurance / Insured Events section. CREDIT BANK: Fitch Rates Upcoming USD Sr. Unsec. Eurobonds BB(EXP) ------------------------------------------------------------------ Fitch Ratings has assigned Credit Bank of Moscow's (CBM) upcoming issue of US dollar-denominated senior unsecured Eurobonds an expected 'BB(EXP)' rating. The bonds will be issued by CBM's Irish SPV, CBOM Finance PLC (Ireland), which will on-lend the proceeds to the bank. The issue size is yet to be determined, while the tenor is expected to be five years. Proceeds from the issue are expected to be used for general-banking purposes. The final rating is contingent upon the receipt of final documents conforming to information already received. KEY RATING DRIVERS The expected rating is in line with CBM's Long-Term Issuer Default Rating (IDR) of 'BB', as the notes will represent unconditional, senior unsecured obligations of the bank. CBM's 'BB' IDRs are driven by the bank's standalone strength, as reflected in its 'bb' Viability Rating (VR). CBM's VR factors in its large franchise, manageable volume of high-risk assets relative to its moderate pre-impairment profit and core capital, and its concentrated funding, which is balanced by healthy liquidity. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- The senior debt rating could be upgraded if the IDRs were upgraded. -- An upgrade of the IDRs would require a strengthening of the bank's franchise and business model, including a reduction in balance-sheet and revenue concentrations. A marked improvement in asset quality, higher core capital ratios and reduced risks stemming from double leverage at the holdco level would also be credit positive. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The senior debt rating could be downgraded if the IDRs were downgraded. -- CBM's IDRs would be downgraded if there was a material asset quality deterioration resulting in core capital erosion. For example, Fitch may take this view if annualised loan impairment charges exceed 3.5% of average gross loans in two to three consecutive semi-annual reporting periods, which could translate into negative or close to negative operating performance, or if Fitch's assessment of the bank's net high- risk assets rises significantly above 0.5x common equity Tier 1 capital. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Financial Institutions and Covered Bond issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. IRS-BANK: Bank of Russia Terminates Provisional Administration -------------------------------------------------------------- On September 6, 2021, the Bank of Russia terminated the activity of the provisional administration1 appointed to manage the credit institution IRS-BANK (hereinafter, the Bank), according to the Bank of Russia's Press Service. No signs of insolvency (bankruptcy) have been established as a result of the provisional administration-conducted inspection of the credit institution. On August 24, 2021, the Court of Arbitration of the City of Moscow issued a ruling on the forced liquidation of the Bank. The State Corporation Deposit Insurance Agency was appointed as a receiver. Further information on the results of the provisional administration's activity is available on the Bank of Russia website. The provisional administration was appointed by virtue of Bank of Russia Order No. OD-981, dated May 28, 2021, following the revocation of the banking license from IRS-BANK. RFI BANK: Bank of Russia Terminates Provisional Administration -------------------------------------------------------------- On September 6, 2021, the Bank of Russia terminated the activity of the provisional administration appointed to manage the credit institution RFI BANK JSC (hereinafter, the Bank), according to the Bank of Russia's Press Service. No signs of insolvency (bankruptcy) have been established as a result of the provisional administration-conducted inspection of the credit institution. On August 24, 2021, the Court of Arbitration of the City of Moscow issued a ruling on the forced liquidation of the Bank. The State Corporation Deposit Insurance Agency was appointed as a receiver. Further information on the results of the provisional administration's activity is available on the Bank of Russia website. The provisional administration was appointed by virtue of Bank of Russia Order No. OD-1040, dated June 4, 2021, following the revocation of the banking license from RFI BANK JSC. ============= U K R A I N E ============= KYIV CITY: Fitch Rates Upcoming Domestic Bond Issue 'B(EXP)' ------------------------------------------------------------ Fitch Ratings has assigned the City of Kyiv's upcoming domestic bond issue an expected Long-Term Rating of 'B(EXP)'. The final rating is contingent upon the receipt of final documents conforming to information already received. KEY RATING DRIVERS Kyiv plans to issue domestic bonds up to UAH1.1 billion in one tranche of UAH300 million and two tranches of UAH400 million, to be redeemed bullet at the tranches' final maturities, which fall between 2024-2026. Interest will be paid quarterly. The bonds' proceeds will be used to finance infrastructure investments. DERIVATION SUMMARY Kyiv's bond issue rating is equalized with the city's Long-Term Issuer Default Rating since the bonds will be a senior, unsecured obligation and rank pari passu with the city's other senior unsecured obligations. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Any change in Kyiv's ratings will be mirrored in the bond issue's rating. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Any change in Kyiv's ratings will be mirrored in the bond issue's rating. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Sovereigns, Public Finance and Infrastructure issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of three notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. ISSUER PROFILE Kyiv is Ukraine's capital and the largest and wealthiest city in the country, with a population approaching three million inhabitants. The city's gross product accounted for about 23% of the country's GDP in 2018 an per capita it was 336% of the national. According to budgetary regulation, Kyiv has the right to borrow on the domestic market and externally, which is unique in Ukraine. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS Kyiv's ratings are capped by Ukraine's sovereign rating. ESG CONSIDERATIONS Kyiv of has an ESG Relevance Score of '4' for Political Stability and Rights due to its exposure to impact of political pressure or to instability of operations and tendency towards unpredictable policy shifts, which in combination with other factors, impact the rating. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. =========================== U N I T E D K I N G D O M =========================== CANADA SQUARE 2020-2: Moody's Hikes Rating on Class X Notes to B3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of four notes in Canada Square Funding 2020-2 PLC ("Canada Square Funding 2020-2") and four notes in Canada Square Funding 2021-1 plc ("Canada Square Funding 2021-1"). The rating action reflects better than expected collateral performance and updated view on operational risk. Moody's affirmed the ratings of the notes that had sufficient credit enhancement to maintain their current ratings. Issuer: Canada Square Funding 2020-2 PLC GBP138.56M Class A Notes, Affirmed Aaa (sf); previously on Jul 10, 2020 Definitive Rating Assigned Aaa (sf) GBP13.04M Class B Notes, Upgraded to Aa2 (sf); previously on Jul 10, 2020 Definitive Rating Assigned Aa3 (sf) GBP4.89M Class C Notes, Upgraded to Aa3 (sf); previously on Jul 10, 2020 Definitive Rating Assigned A2 (sf) GBP4.08M Class D Notes, Upgraded to Baa1 (sf); previously on Jul 10, 2020 Definitive Rating Assigned Baa3 (sf) GBP2.45M Class E Notes, Affirmed B2 (sf); previously on Jul 10, 2020 Definitive Rating Assigned B2 (sf) GBP5.71M Class X Notes, Upgraded to B3 (sf); previously on Jul 10, 2020 Definitive Rating Assigned Caa3 (sf) Issuer: Canada Square Funding 2021-1 plc GBP205.64M Class A Notes, Affirmed Aaa (sf); previously on Mar 11, 2021 Definitive Rating Assigned Aaa (sf) GBP13.94M Class B Notes, Upgraded to Aa2 (sf); previously on Mar 11, 2021 Definitive Rating Assigned Aa3 (sf) GBP6.39M Class C Notes, Affirmed Aa3 (sf); previously on Mar 11, 2021 Definitive Rating Assigned Aa3 (sf) GBP3.49M Class D Notes, Upgraded to A1 (sf); previously on Mar 11, 2021 Definitive Rating Assigned A2 (sf) GBP2.90M Class E Notes, Upgraded to Baa1 (sf); previously on Mar 11, 2021 Definitive Rating Assigned Baa2 (sf) GBP9.29M Class X Notes, Upgraded to Ba2 (sf); previously on Mar 11, 2021 Definitive Rating Assigned Ba3 (sf) Both transactions are static cash securitisations of buy-to-let (BTL) mortgage loans extended to borrowers in the UK. The originators are Fleet Mortgages Limited ("Fleet", NR), Landbay Partners Limited ("Landbay", NR), Topaz Finance Limited ("Topaz", NR) which originated loans under Zephyr Homeloans ("Zephyr", NR) brand, and Habito Funding Ltd (NR) in the case of Canada Square Funding 2021-1. RATINGS RATIONALE The rating action is prompted by the decreased key collateral assumptions, namely the portfolio Expected Loss (EL) assumption in both transactions due to better than expected collateral performance, as well as updated view on operational risk. Key Collateral Assumptions: As part of the rating action, Moody's reassessed its lifetime loss expectation for the portfolio reflecting the collateral performance to date and the performance of similar pools in the UK. The performance of both transactions has been better than expected. 90 days plus arrears as a percentage of current balance in Canada Square Funding 2020-2 and Canada Square Funding 2021-1 are currently standing at 0%, with the pool factor at 96% and 99%. Both loan portfolios have incurred no losses since closing. In addition Moody's considered the performance of more seasoned transactions with similar collateral characteristics in the UK during its review. Moody's assumed the expected loss of 1.5% as a percentage of current pool balance for both transactions, due to better than expected collateral performance and benchmarking against similar pools. This corresponds to an expected loss assumption as a percentage of the original pool balance of 1.4% for Canada Square Funding 2020-2 and 1.5% for Canada Square Funding 2021-1, down from the previous assumption of 2.2% and 2.0%, respectively. 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 rating levels and the volatility of future losses. As a result, Moody's has maintained the MILAN CE assumption at 14% and 13% for Canada Square Funding 2020-2 and Canada Square Funding 2021-1, respectively. Counterparty Exposure The rating actions took into consideration the notes' exposure to relevant counterparties, such as servicers. Moody's considered how the liquidity available in the transactions and other mitigants support continuity of note payments, in case of servicer default, using the CR assessment as a reference point for servicers. The ratings of the Class B notes in Canada Square Funding 2020-2 and Classes B and C notes in Canada Square Funding 2021-1 were constrained at closing by operational risk. The liquidity reserve provides liquidity support to Class A, however, Classes B to E do not benefit from it. This risk is partially mitigated by the principal to pay interest mechanism applicable to Classes B to E notes as long as the respective tranche's PDL does not exceed 10% or a tranche becomes the most senior outstanding class of notes. Low scheduled portfolio amortisation amounts and low expected prepayments initially limit this benefit. In today's rating action Moody's considered that, among others: (i) portfolios are serviced by multiple servicers; (ii) loans pay monthly whereas notes pay quarterly; and (iii) the payment holiday scheme has ended in the UK, reducing the risk of having no cash flows at any payment date to pay interest on Classes B to E notes in case of a servicing disruption event. Moody's have taken this into account in Moody's analysis and the ratings of the Class B notes are now constrained at a higher level. 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 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. CHESHIRE 2021-1: Fitch Assigns B(EXP) Rating to Class F Tranche --------------------------------------------------------------- Fitch Ratings has assigned Cheshire 2021-1 PLC expected ratings. DEBT RATING ---- ------ Cheshire 2021-1 PLC A LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT B(EXP)sf Expected Rating Z LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Cheshire 2021-1 PLC is a multi-originator securitisation of legacy owner-occupied (OO) and buy-to-let (BTL) mortgages where the three largest lenders are GMAC-RFC Limited (64.7%), Future Mortgages Limited (14.6%) and Mortgages 1 Limited (11.9%). The transaction is a refinancing of the Dukinfield II PLC issuance. KEY RATING DRIVERS Additional Stress Scenario: Fitch has applied its additional stress scenario to its UK non-conforming assumptions (see EMEA RMBS: Criteria Assumptions Updated due to Impact of the Coronavirus Pandemic). This is due to uncertainty regarding the long-term impact of the pandemic on payment ability, with borrowers rolling into late stage arrears over recent months in the sector. The additional stress scenario is not applicable to buy-to-let (BTL) loans, which make up 7.8% of the collateral. The combined application of revised 'Bsf' representative pool weighted average foreclosure frequency (WAFF) and revised rating multiples resulted in a multiple to the current FF assumptions of about 1.3x at 'Bsf'. Seasoned Non-Prime Loans: The portfolio consists of seasoned loans, originated primarily prior to 2007. The OO loans (92.2% of the pool) contain a high proportion of self-certified, interest-only, county court judgements, restructured loan arrangements and loans in arrears. Fitch therefore applied its non-conforming assumptions to this sub-pool. Certain loan-level attributes that attract a FF adjustment were not provided to Fitch, but were reported in the Dukinfield II PLC prospectus. Fitch has used these reported proportions to apply loan-level data adjustments to capture the relevant FF adjustments. When setting the originator adjustment for the portfolio, Fitch considered factors including the historical performance and average annualised constant default rate since closing of Dukinfield II PLC. This resulted in an originator adjustment of 1.0x for the OO sub-pool and 1.5x for the BTL sub-pool. Interest Deferability: The interest payments for all notes apart from the class A notes are deferrable at all times. In its analysis, Fitch tested the class A and B notes' ratings on a timely basis and assessed the materiality of the interest deferability exposure for the class C to F notes. Fitch considers the liquidity protection in the structure adequate for the respective ratings. Nonetheless, the ratings of the class C to F notes are constrained at the 'Asf' rating category due to a lack of dedicated liquidity. Warranty Reserve Fund: The transaction features a warranty reserve sized at 0.1% of the closing collateral balance and available to compensate the issuer for any loan that breaches the representations and warranties. This reserve replaces the obligation of the seller to repurchase loans in breach, which is typical of a UK RMBS transaction. Fitch has assessed the likelihood of excess spread being available to replenish the warranty reserve fund in an expected case scenario, and expects the reserve to be available to cover for breaches over the life of the transaction. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The transaction's performance may be affected by changes in market conditions and economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce credit enhancement available to the notes. -- In addition, unanticipated declines in recoveries could result in lower net proceeds, which may make certain notes' ratings susceptible to potential negative rating action depending on the extent of the decline in recoveries. Fitch conducts sensitivity analyses by stressing both a transaction's base case FF and RR assumptions. For example, a 15% WAFF increase and 15% WARR decrease would result in a class A model-implied downgrade of up to three notches. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch tested an additional rating sensitivity scenario by applying a decrease in the WAFF of 15% and an increase in the WARR of 15%, implying upgrades of up to four notches. 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. Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Cheshire 2021-1 PLC has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to exposure to compliance risks including fair lending practices, mis-selling, repossession/foreclosure practices, consumer data protection (data security), which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Cheshire 2021-1 PLC has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to exposure to accessibility to affordable housing, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CHESHIRE 2021-1: S&P Assigns Prelim B (sf) Rating to Class F Notes ------------------------------------------------------------------ S&P Global Ratings assigned preliminary ratings to Cheshire 2021-1 PLC's class A to F-Dfrd U.K. RMBS notes. At closing, the issuer will also issue unrated class Z and VRR notes, and S1 and S2 certificates. Cheshire 2021-1 is a static RMBS transaction that securitizes a portfolio of GBP214.4 million owner-occupied and BTL mortgage loans secured on properties in the U.K. The transaction is a refinancing of the Dukinfield II PLC transaction, which closed in September 2016. At closing, the issuer will use the issuance proceeds to purchase the full beneficial interest in the mortgage loans from the seller (Cheshire Seller 2021-1 Ltd.). The issuer will grant security over all of its assets in the security trustee's favor. S&P considers the collateral to be nonconforming based on the prevalence of loans to self-certified borrowers and borrowers with adverse credit history, such as prior county court judgments, an individual voluntary arrangement, or a bankruptcy order. The pool is well seasoned with 100% of loans being more than 10 years seasoned. Of the preliminary pool, 30.1% of the mortgage loans by current balance have had a historical payment holiday due to the COVID-19 pandemic. Approximately 7.8% of the pool comprises BTL loans, and the remaining 92.2% are owner-occupier loans. There is high exposure to interest-only loans in the pool at 92.5%, and 15.0% of the mortgage loans are currently in arrears greater than (or equal to) one month. A liquidity reserve fund provides liquidity support for the class A and B-Dfrd notes (subject to conditions for the B-Dfrd notes), and principal can be used to pay senior fees and interest on the notes subject to various conditions. Pepper (UK) Ltd. is the servicer in this transaction. There are no rating constraints in the transaction under our counterparty, operational risk, or structured finance sovereign risk criteria. S&P considers the issuer to be bankruptcy remote. At closing, S&P expects the legal documents to be in line with its legal criteria. S&P said, "Our credit and cash flow analysis and related assumptions consider the transaction's ability to withstand the potential repercussions of the COVID-19 outbreak, namely, higher defaults and longer recovery timing. Considering these factors, we believe that the available credit enhancement is commensurate with the preliminary ratings assigned." Preliminary Ratings CLASS PRELIM. RATING* CLASS SIZE (%)§ A AAA (sf) 78.00 B-Dfrd AA (sf) 6.50 C-Dfrd A (sf) 5.50 D-Dfrd BBB (sf) 3.00 E-Dfrd BB (sf) 2.50 F-Dfrd B (sf) 1.50 Z NR 3.00 S1 certs NR N/A S2 certs NR N/A Y certs NR N/A VRR loan notes NR 5.00 *S&P's preliminary ratings address timely receipt of interest and ultimate repayment of principal for the class A notes, and the ultimate payment of interest and principal on the other rated notes. §As a percentage of 95% of the total pool balance for the class A to Z notes. N/A--Not applicable. NR--Not rated. CLEVELAND BRIDGE: Administrators Prepare to Auction Assets ---------------------------------------------------------- Business Sale reports that administrators for structural engineering firm Cleveland Bridge have announced that they are preparing the company's property and assets for sale after failing to secure a buyer for the business. The Darlington-based firm, which dates back close to 150 years, fell into administration in July after the COVID-19 pandemic caused major delays to several global infrastructure projects that the company was engaged in, Business Sale recounts. According to Business Sale, administrators from FRP Advisory were initially optimistic of securing a sale of the firm and have said that they intend to "keep this dialogue open". However, despite interest from potential buyers worldwide, including lengthy talks with one interested party, none have been able to give assurances regarding their ability to complete a deal. As a result, the company looks likely to be wound down following the completion of its final production in the week beginning September 20th, at which point its property and assets will head to auction, Business Sale states. The company, which had a full order book for the forthcoming 18 months when it entered administration in July, reported GBP47.9 million in turnover in its most recent financial report, for the year ending December 30, 2019, Business Sale discloses. At the time, the company had GBP7.1 million in fixed assets, GBP13.68 million in current assets and net assets (less creditors and liabilities) of GBP2 million, Business Sale notes. In addition to its Darlington headquarters, Cleveland Bridge also has manufacturing facilities in Dubai and Saudi Arabia, with the capacity to produce approximately 150,000 tonnes of steel annually. DUNCHURCH PARK: Says Not in Receivership or Administration ---------------------------------------------------------- Rugby Advertiser reports that a spokesperson for Dunchurch Park Hotel has confirmed that the venue has not gone into receivership or administration following the news that they have shut to the public. According to Rugby Advertiser, earlier on Sept. 1, a spokesperson took to social media, stating: "With immediate effect, Dunchurch Park Hotel is no longer open to the general public, or able to facilitate weddings or events. "However, we are operational during this period and can clarify we are not in receivership or administration. "In the meantime, we sincerely apologize for the inconvenience this will cause, any concerns or questions regarding the impact of our closure should be emailed to info@dunchurch.co.uk where a member of our team will be happy to contact you by return." HOWDEN GROUP: Moody's Affirms B2 CFR Following Align Acquisition ---------------------------------------------------------------- Moody's Investors Service has affirmed the B2 corporate family rating of Howden Group Holdings and the probability of default rating at B2-PD. Moody's has also affirmed the B2 ratings on the guaranteed senior secured term loans issued by Hyperion Refinance S.a.r.l. and HIG Finance 2 Limited, and affirmed the B2 rating on the GBP185 million guaranteed senior secured revolving credit facility. Concurrently, Moody's has assigned B2 ratings to the proposed new $415 million first lien USD term loan and EUR350 million first lien EUR term loan also issued by Hyperion Refinance S.a.r.l. (Hyperion Refinance) and HIG Finance 2 Limited. The outlooks on all issuers are stable. The action follows Howden's announcement that it has entered into an agreement to acquire 100% of Align Financial Holdings (Align), a US based managing general agent. Howden expects to fund the acquisition through a combination of debt and roll-over equity. The transaction remains subject to regulatory approval and is expected to complete in October 2021. RATINGS RATIONALE CORPORATE FAMILY RATING The rating affirmation reflects Moody's view that, despite the meaningful increase in Howden's debt levels, which will weigh on the group's financial flexibility, leverage will improve steadily over the next 24 months as the group continues to grow its EBITDA base. The affirmation also reflects the complimentary nature and diversification of Align's business, which will enhance Howden's footprint and scale in the US market. The B2 CFR is supported by Howden's solid business profile, notably its strong diversification across business lines and geographic regions, its healthy EBITDA margins and a track record of revenue and EBITDA growth, which mitigates the pressure on leverage. As part of the Align transaction, Howden is seeking to raise GBP859 million of debt and upsize its revolving credit facility (RCF) by GBP60 million to GBP185 million. The majority of the debt proceeds will be used in relation to the acquisition of Align, with GBP253 million placed into a locked account and GBP69m to pay down existing draw on the RCF and other transaction costs. Moody's expects that the locked account will be utilised over the next 24 months to fund further acquisitions and new hires, as well as to pay deferred consideration on past acquisitions. The debt raise increases the group's total gross financial debt materially, to GBP2.4 billion from GBP1.6 billion. On a Moody's basis, which includes adjustments for operating lease obligations, deferred considerations, certain non-recurring costs and run-rate earnings from acquisitions, pro forma debtto-EBITDA is estimated at around 8.0x. Further adjusting for the locked account element (a portion of which will be used to repay some of the outstanding deferred consideration obligations), pro forma leverage is lower, slightly above 7.0x, which is high for the group's rating level. Moody's expects that Howden will steadily reduce leverage by growing its EBITDA base via bolton acquisitions, organic growth including synergies related to recently acquired businesses, and through new hires. Nevertheless, if Howden's revenue and EBITDA expansion falls short of management forecasts and/or if the group further increases its gross debt, which may result in leverage, adjusted for the locked account, remaining elevated -above 7x- in the next 12-18 months, negative rating pressure may arise. More positively, the acquisition of Align will further expand Howden's global footprint and strengthen the group's revenue and earnings diversification. The combined group will also have a stronger position within the US, the world's largest managing general agent market. Moody's also views Align's product offering, geographic focus and capacity providers as complementary to the group's existing business, and believes Howden will be in a good position to benefit from future revenue synergies. However, despite the recent material expansion of the group's revenue and EBITDA, following completion of the A-Plan acquisition in March 2021, and the proposed acquisition of Align, the group's size remains modest compared to the three largest specialty brokers. DEBT AND PROBABILITY OF DEFAULT RATINGS The B2 rating assigned to the group's proposed senior secured USD and EUR term loans, which rank pari passu with the group's existing senior secured term loans and senior secured revolving credit facility, is in line with the B2 CFR. This reflects the proposed largely senior secured debt structure with limited levels of deferred consideration and other debt obligations ranking behind the senior debt. The B2-PD PDR is in line with the CFR and reflects Moody's assumption of a 50% recovery rate, which is standard for covenant-lite loan structures. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Factors that could lead to a rating upgrade include: (i) debt-to-EBITDA ratio consistently below 5.5x; (ii) free-cash-flow-to-debt ratio consistently exceeding 6%; and (iii) EBITDA coverage of interest consistently exceeding 3.0x. Factors that could lead to a rating downgrade include: (i) an unsuccessful execution of deleveraging plans, resulting in a sustained rise in debt-to-EBITDA above 7.0x; (ii) EBITDA coverage of interest consistently below 1.5x; and/or (iii) a material deterioration in the group's liquidity position. LIST OF AFFECTED RATINGS Issuer: Howden Group Holdings Affirmations: Long-term Corporate Family Rating, affirmed B2 Probability of Default Rating, affirmed B2-PD Backed Senior Secured Revolving Credit Facility, affirmed B2 Outlook Action: Outlook remains Stable Issuer: HIG Finance 2 Limited Affirmations: Backed Senior Secured Term Loan, affirmed B2 Assignment: Backed Senior Secured Term Loan, assigned B2 Outlook Action: Outlook remains Stable Issuer: Hyperion Refinance S.a.r.l. Affirmations: Backed Senior Secured Term Loans, affirmed B2 Assignment: Backed Senior Secured Term Loan, assigned B2 Outlook Action: Outlook remains Stable PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Insurance Brokers and Service Companies published in June 2018. HOWDEN GROUP: S&P Affirms 'B' ICR on Debt Financing Announcement ---------------------------------------------------------------- S&P Global Ratings affirmed its 'B' long-term issuer credit rating on U.K.-based Howden Group Holdings Ltd. (Howden) and its financing subsidiaries, HIG Finance 2 Ltd. and Hyperion Refinance S.a.r.l., and its 'B' issue rating on the group's first-lien term loans. The '3' recovery rating, reflecting meaningful recovery prospects (50%-70%), is unchanged. The stable outlook indicates that Howden will continue to record strong underlying performance in 2022-2023 and will successfully integrate Align, with operating performance and credit metrics in line with the 'B' rating. Howden plans to raise GBP860 million in new debt to acquire Align Financial Holdings (Align) and free up liquidity under its locked account and revolving credit facility (RCF). Howden's acquisition of Align and the replenishing of liquidity availability under the RCF and locked account will increase S&P Global Ratings-adjusted leverage to an estimated 9.5x in 2022. Howden is acquiring Align, a large managing general agent and one of the largest independent program managers in the U.S., for a total enterprise value of GBP564 million (the cash consideration includes some rolled-over equity from Align's management). The financing will be obtained by raising both incremental first lien (GBP595 million across euro and U.S. dollar tranches) and new second lien debt (GBP265 million), amounting to about GBP860 million. S&P said, "This is an elevated amount in our view, and our base case forecasts an adjusted debt-to-EBITDA ratio of about 9.5x in FY2022 (8.7x when netting an estimated GBP223 million of locked account cash from debt) and 8.5x in FY2023 (8.0x with locked account cash). Although we view this increase as transient with forecast deleveraging in 2022-2023, we see diminished rating headroom should the group underperform our base case or undertake further debt-funded acquisitions, with FFO cash interest coverage becoming increasingly strained for the rating." The debt issuance will position the group for future growth given the ample liquidity expected at transaction close, with potential liquidity sources of GBP502 million being deployed toward growth initiatives. This is because about GBP253 million of the total proceeds will be used to replenish the locked account. S&P said, "Although we do not view the locked account as a source of fully unrestricted cash, the account enables Howden to grow through new hire expenditure cash acquisition considerations, and making mergers and acquisitions (M&A)-related deferred consideration payments. As part of this transaction, Howden will upsize its RCF from GBP125 million to GBP185 million to reflect the larger business, with a portion of the transaction funds used to repay the existing drawn amount under the RCF (GBP40 million). We believe that the group's ample liquidity at transaction close limits the risk of acquisitions with significant amounts of debt funding over the next 12 months. However, at the same time, we expect continued high valuations for acquisition targets and financial sponsor ownership in the insurance broking sector more generally." This could potentially result in gradual, but higher, tolerance to elevated leverage levels in Howden, and other insurance brokers relying on growth through a strong M&A pipeline. Align will improve scale and business-line diversification, given the little product overlap, and strengthen Howden's position in the U.S. Align, which was founded in 2003, is estimated to add about $522 million of gross written premium (GWP) by December 2021, or $847 million including two ongoing M&A by Align. S&P said, "We expect Align to increase Howden's scale by GBP63 million and GBP19 million for revenue and EBITDA respectively in FY2022. These figures relate to Align on a stand-alone basis and exclude the ongoing M&A we refer to above and our projections of future integrated acquisitions. Where Howden's A-Plan Group (APG) acquisition in late 2020 increased the group's overall presence in the U.K., the Align transaction is increasing the amount of revenue derived in the U.S., with 54% of revenue in the Dual segment now originating from the U.S. By comparison, about 24% of pro forma FY2020 revenue (including Align) is derived in North America, compared with 17% of pro forma FY2019 revenue (including APG). In addition, there is little overlap between product lines, with Align bringing in additional products that are focused on natural disasters. Align's largest three lines are personal property (28% of estimated 2021 GWP), earthquake (18%), and wind (15%) coverage. However, the acquisition is a relatively small group, and though we expect an enhanced product offering and diversification, this does not warrant a change in the group's competitive advantage relative to other rated U.S. peers, in our view." Howden continues to record strong underlying performance with double-digit performance across Howden Broking and Dual, yielding organic growth of 15% year-to-date (third quarter) for the group. Howden reports its results in pound sterling, and the organic growth figure excludes the foreign exchange impact of an appreciation in the sterling over a mix of currencies, including the euro and U.S. dollar, during the past year. S&P said, "We expect high-single-digit organic revenue growth in 2022-2023, with buoyant pricing and rate increases in the property and casualty (P/C) market as the global economy recovers. In terms of strategy, management is continuously looking at new opportunities, whether through increased scale or expansion into new markets (for example, Italy through the acquisition of Andrea Scagliarini SpA, which closed in July 2021), or product offering (for example, Howden is also looking at increased presence in climate finance product development through its Parhelion investment, although it is early days). Finally, we believe that inorganic growth and M&A will remain a key staple of the group's strategy given the ample liquidity provided as part of this transaction." S&P said, "The stable outlook indicates that Howden will continue to record strong underlying performance in 2022-2023 and successfully integrate Align, with operating performance and credit metrics in line with our 'B' issuer credit rating. We forecast leverage at 8.5x-9.5x and positive FOCF of about GBP60 million-GBP65 million in 2022-2023, with synergy realization and lessened restructuring costs. On the other hand, there is limited headroom in interest coverage, with FFO cash interest cover reducing to 2.1x in 2022, forecast to recover to 2.3x in 2023." S&P could lower the rating if Howden: -- Faced increased competition and a loss of key personnel such that revenue growth and profitability were materially affected; -- Recorded negative FOCF, and funds from operations (FFO) cash interest coverage dropped below 2.0x on a sustained basis; and -- Undertook further material debt-financed acquisitions, or if S&P felt its financial policy became more aggressive, with tolerance for higher leverage and a higher rate of debt-funded acquisitions, leaving limited room for consolidation and deleveraging S&P believes an upgrade is unlikely in the short term, given the group's core strategy of debt-funded M&A and high leverage tolerance, but could consider an upgrade if the group: -- Improved its credit metrics in line with an aggressive financial risk profile, alongside a change in financial policy that supported the maintenance of the metrics at those levels; and -- Sustained adjusted debt to EBITDA below 5x. LANEBROOK MORTGAGE 2020-1: Moody's Ups Class X Notes Rating to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of six notes in Shawbrook Mortgage Funding 2019-1 (Shawbrook 2019-1) plc and Lanebrook Mortgage Transaction 2020-1 plc (Lanebrook 2020-1) transactions. The rating action reflects better than expected collateral performance. Moody's affirmed the ratings of the notes that had sufficient credit enhancement to maintain the current rating and for the Class C Notes of Lanebrook 2020-1 that are constrained by the swap agreement. Issuer: Lanebrook Mortgage Transaction 2020-1 plc GBP200M Class A1 Notes, Affirmed Aaa (sf); previously on Sep 30, 2020 Definitive Rating Assigned Aaa (sf) GBP79.339M Class A2 Notes, Affirmed Aaa (sf); previously on Sep 30, 2020 Definitive Rating Assigned Aaa (sf) GBP18.182M Class B Notes, Upgraded to Aaa (sf); previously on Sep 30, 2020 Definitive Rating Assigned Aa1 (sf) GBP13.223M Class C Notes, Affirmed Aa2 (sf); previously on Sep 30, 2020 Definitive Rating Assigned Aa2 (sf) GBP9.917M Class D Notes, Upgraded to Aa3 (sf); previously on Sep 30, 2020 Definitive Rating Assigned A1 (sf) GBP9.917M Class E Notes, Upgraded to A3 (sf); previously on Sep 30, 2020 Definitive Rating Assigned Baa3 (sf) GBP7.934M Class X Notes, Upgraded to Ba1 (sf); previously on Sep 30, 2020 Definitive Rating Assigned B1 (sf) Issuer: SHAWBROOK MORTGAGE FUNDING 2019-1 PLC GBP250M Class A Notes, Affirmed Aaa (sf); previously on Jun 4, 2019 Definitive Rating Assigned Aaa (sf) GBP14.793M Class B Notes, Upgraded to Aaa (sf); previously on Jun 4, 2019 Definitive Rating Assigned Aa1 (sf) GBP14.793M Class C Notes, Upgraded to Aa2 (sf); previously on Jun 4, 2019 Definitive Rating Assigned A1 (sf) RATINGS RATIONALE Revision of Key Collateral Assumptions: As part of the rating action, Moody's reassessed its lifetime loss expectation for the portfolio reflecting the collateral performance to date and the performance of similar pools in the UK. The performance of both transactions has been better than initially expected at closing. 90 days plus arrears as a percentage of current balance are currently standing at 0.0% for Shawbrook 2019-1 and 0.14% for Lanebrook2020-1, with pool factor at 85.2% and 96.7% respectively. Both transactions have no losses since closing. In addition, during its review, Moody's considered the performance of more seasoned transactions with similar collateral characteristics in the UK. Moody's assumed the expected loss as a percentage of current pool balance of 1.4% for Shawbrook 2019-1 and Lanebrook 2020-1, due to the better than expected collateral performance and benchmarking against similar pools. This corresponds to expected loss assumption as a percentage of the original pool balance of 1.20% for Shawbrook 2019-1 and 1.35% for Lanebrook 2020-1. 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 rating levels and the volatility of future losses. As a result, Moody's has decreased the MILAN CE of Shawbrook 2019-1 and Lanebrook 2020-1 to 13% from 16%. Counterparty Exposure The rating actions took into consideration the notes' exposure to relevant counterparties, such as servicer and swap providers. Moody's analysis considered the risks of additional losses on the notes if they were to become unhedged following a swap counterparty default by using the CR assessment as reference point for swap counterparties. Moody's concluded that the ratings of the Class C Notes of Lanebrook 2020-1 are constrained by the swap agreement entered between the issuer and Lloyds Bank Corporate Markets plc. 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 (1) performance of the underlying collateral that is better than Moody's expected, (2) an increase in available credit enhancement, (3) improvements in the credit quality of the transaction counterparties and (4) a decrease in sovereign risk. Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties. O'KEEFE CONSTRUCTION: Creditors OK Company Voluntary Arrangement ---------------------------------------------------------------- Grant Prior at Construction Enquirer reports that suppliers to civils contractor O'Keefe Construction (Greenwich) Ltd have overwhelmingly voted in favour of the proposed Company Voluntary Arrangement (CVA) with 90% of creditors supporting the move. According to Construction Enquirer, CEO Patrick O'Keefe said: "We wish to wholeheartedly thank our creditors for this vote of confidence in the business. "We have a robust underlying business supported by a strong order book. This CVA has rapidly restructured the business and ensures the business is well placed going forward. "As shareholders we are committed to the business and we will be injecting GBP0.75 million to support the restructuring. Again, could I reiterate my thanks to the company's creditors for supporting us." The well-known firm has been in business for more than 50 years on sites across London and the South East, Construction Enquirer notes. It ran into trouble after suffering a "significant loss" in the financial year to May 2021, Construction Enquirer relates. SPRINTDELIVER: Administrators Seek Buyers for Business, Assets -------------------------------------------------------------- Business Sale reports that buyers are being sought for the business and assets of Derbyshire-based haulage company Sprintdeliver after it entered administration. The company's collapse has been attributed to the impact of COVID-19 and the UK's shortage of HGV drivers, Business Sale relates. According to Business Sale, the company's administrator, Interpath Advisory, said in a statement: "In recent months, the company had encountered significant financial challenges due both to the impact of the COVID-19 pandemic on trading and difficulties in attracting and retaining heavy goods vehicle drivers." The Glossop-based firm had a fleet of 30 lorries and 30 trailers. In its most recent financial accounts, for the year ending March 31, 2020, it reported fixed assets of GBP525,474 and current assets of GBP1.35 million, Business Sale discloses. At the time of filing, Sprintdeliver owed GBP1.1 million to creditors within one year and GBP353,408 falling after one year, with total equity standing at GBP341,736, Business Sale states. The company, which was founded in 1991, had ceased trading prior to the appointment of Interpath Advisory's Neil Morley and Howard Smith as joint administrators, Business Sale recounts. Upon the appointment of the joint administrators, the business had no prospect of resuming trading and its workforce of 35 staff were made redundant, Business Sale notes. TOWD POINT MORTGAGE 2020: Fitch Ups Class XA Notes Rating to 'B-' ----------------------------------------------------------------- Fitch Ratings has upgraded a combined six tranches of Towd Point Mortgage Funding - Auburn 13 (A13) and Towd Point Mortgage Funding - Auburn 14 (A14). All other notes have been affirmed. DEBT RATING PRIOR ---- ------ ----- Towd Point Mortgage Funding 2020 - Auburn 14 plc Class A XS2109385679 LT AAAsf Affirmed AAAsf Class B XS2109385836 LT AA+sf Upgrade AAsf Class C XS2109386057 LT A+sf Upgrade Asf Class D XS2109386214 LT BB+sf Affirmed BB+sf Class E XS2109386487 LT BB-sf Upgrade Bsf Class XA XS2109387378 LT B-sf Upgrade CCsf Towd Point Mortgage Funding - Auburn 13 A1 XS2053911264 LT AAAsf Affirmed AAAsf A2 XS2062950584 LT AAAsf Affirmed AAAsf B XS2053911421 LT AA+sf Upgrade AAsf C XS2053911934 LT A+sf Upgrade Asf D XS2053912239 LT BB+sf Affirmed BB+sf E XS2053913393 LT Bsf Affirmed Bsf TRANSACTION SUMMARY The transactions are static pass-through RMBS securitisations of primarily legacy buy-to-let (BTL) loans, originated by Capital Home Loans (CHL) in England, Wales, Scotland and Northern Ireland. KEY RATING DRIVERS Increased Credit Enhancement (CE) The notes in each transaction are amortising sequentially, with the rated collateralised notes supported by unrated collateralised notes in each transaction. The amortisation allows for a gradual increase in CE, supporting today's affirmations and upgrades. Rating Watch Positive Resolved The class C notes of A13 and class C and E notes of A14 were placed on Rating Watch Positive (RWP) following the retirement of coronavirus-related additional stress analysis scenario (see 'Fitch Retires UK and European RMBS Coronavirus Additional Stress Scenario Analysis, except for UK Non-Conforming'). The retirement of its additional stress scenario analysis, which had been applied in conjunction with its UK RMBS Rating Criteria for UK BTL pools, resulted in improved asset levels. Though additional stresses are still applied to the non-conforming sub-pools in each transaction, these are small compared with the BTL sub-pool in each transaction. This, together with the accumulated CE and stable asset performance in the pool, led to the upgrades of the collateralised notes. Stable Performance; Limited Payment Holidays Both transactions have seen some increase in late-stage arrears but three-month plus arrears remain below 2% in each transaction. Additionally, both transactions now have minimal payment holidays, having decreased from the peak seen in 2020. This has, however, not resulted in any significant deterioration in asset performance. Fitch does not expect payment holidays to increase further given the deadline for applying to the scheme has now passed and the loosening of coronavirus-containment restrictions. The reduction in the level of payment holidays also benefits the transactions through increased available revenue and thus excess spread supporting the ratings of the notes. Interest Deferral Caps Junior Notes As per Fitch's criteria, the ratings of the class D and E notes in both A13 and A14 are capped at 'BB+sf' as these notes are seen to defer interest in the modelling of Fitch's expected case. Excess Spread Notes Balance Reduced The outstanding balance on A14's XA notes has reduced significantly since the transaction closed in February 2020. Based on the observed levels of amortisation of the notes it is now expected that they will be paid in full shortly, resulting in an upgrade from a distressed rating to 'B-sf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The transactions' performance may be affected by changes in market conditions and economic environment. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce CE available to the notes. -- Additionally, unanticipated declines in recoveries could also result in lower net proceeds, which may make certain note ratings susceptible to negative rating actions depending on the extent of the decline in recoveries. Fitch conducts sensitivity analyses by stressing both a transaction's base case foreclosure frequency (FF) and recovery rate (RR) assumptions, and examining the rating implications on all classes of issued notes. A 15% increase in weighted average FF (WAFF) and a 15% decrease in WARR indicate downgrades of up to three notches for A13 and four notches for A14. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, driven by stable delinquencies and defaults would lead to increasing CE and, potentially, upgrades. A decrease in WAFF of 15% and an increase in WARR of 15% indicate upgrades of up to three notches for both A13 and A14. 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. CRITERIA VARIATION Under the UK RMBS Rating Criteria, loan margins and rates are input into the multi-asset cash flow model on a bucketed basis where the portfolio contains wide dispersion in margins and rates. The cash flow model applies a yield compression over time by application of 100% of defaults and 80% of prepayments to the receivables within the higher-yielding buckets. A14 contains legacy loans (originated between 2005 and 2008), which exceeded the mortgages' fixed- rate reversion dates, and as such are paying a variable rate. The WA margin of these loans is low, meaning that borrowers within this portfolio have no incentives to refinance, given the product offerings currently available for BTL loans. As a result of this consideration, no yield compression was applied to voluntary prepayments in Fitch's cash flow analysis for A14. Without the criteria variation the notes would have been lower by no more than one notch. 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. Prior to the transactions' closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Overall, 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 A13 has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to a high proportion of interest-only (IO) loans in legacy OO mortgages, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. A14 has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to high proportion of IO loans in legacy OO mortgages, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. =============== X X X X X X X X =============== [*] BOND PRICING: For the Week September 6 to September 10, 2021 ---------------------------------------------------------------- Issuer Coupon Maturity Currency Price ------ ------ -------- -------- ----- Casino Guichard Perracho 3.992 EUR 72.328 Casino Guichard Perracho 1.004 EUR 42.435 Intralot Capital Luxembo 5.250 9/15/2024 EUR 59.971 PB International BV 7.625 1/26/2022 USD 41.387 Mitsubishi UFJ Investor 3.957 12/15/2050 EUR 50.393 Paragon GmbH & Co KGaA 4.000 4/23/2023 CHF 65.550 Accor SA 0.700 12/07/2027 EUR 51.066 Moby SpA 7.750 2/15/2023 EUR 36.037 Mallinckrodt Internation 4.750 4/15/2023 USD 27.750 Rallye SA 4.000 2/28/2030 EUR 28.711 Hurricane Energy PLC 7.500 7/24/2022 USD 64.385 Hylea Group SA 7.250 12/01/2022 EUR 12.200 Air France-KLM 0.125 3/25/2026 EUR 15.848 Nostrum Oil & Gas Financ 8.000 7/25/2022 USD 27.458 Mallinckrodt Internation 5.750 08/01/2022 USD 63.500 Wirecard AG 0.500 09/11/2024 EUR 11.000 Intelsat Jackson Holding 5.500 08/01/2023 USD 55.000 Yell Bondco PLC 8.500 05/02/2023 GBP 60.219 Intelsat Luxembourg SA 8.125 06/01/2023 USD 1.625 Fuerstenberg Capital II 5.625 EUR 48.931 Rallye SA 4.371 1/23/2023 EUR 28.500 Korian SA 0.875 03/06/2027 EUR 57.139 Intu Debenture PLC 5.562 12/31/2027 GBP 39.293 Metro Bank PLC 5.500 6/26/2028 GBP 65.128 Intelsat Jackson Holding 8.500 10/15/2024 USD 55.000 Maisons du Monde SA 0.125 12/06/2023 EUR 47.243 Naviera Armas SA 6.500 7/31/2023 EUR 74.735 FIGEAC-AERO 1.125 10/18/2022 EUR 21.919 Mallinckrodt Internation 5.625 10/15/2023 USD 64.500 Voltalia SA 1.000 1/13/2025 EUR 31.883 Quadient SA 3.375 EUR 57.738 Privatbank CJSC Via UK S 10.250 1/23/2018 USD 10.000 Offshore Drilling Holdin 8.375 9/20/2020 USD 10.561 Nexity SA 0.250 03/02/2025 EUR 68.137 HOCHDORF Holding AG 2.500 CHF 57.191 Nostrum Oil & Gas Financ 7.000 2/16/2025 USD 27.458 Econocom Group SA/NV 0.500 03/06/2023 EUR 7.652 Korian SA 2.500 EUR 41.990 EA Partners II BV 6.750 06/01/2021 USD 1.501 Pierre Et Vacances SA 2.000 04/01/2023 EUR 29.176 Mallinckrodt Internation 5.500 4/15/2025 USD 65.250 Rallye SA 3.250 02/08/2024 CHF 29.016 EYEMAXX Real Estate AG 5.500 4/26/2023 EUR 69.571 Travelex Financing PLC 8.000 5/15/2022 EUR 1.313 Debenhams PLC 5.250 7/15/2021 GBP 1.001 Intelsat Connect Finance 9.500 2/15/2023 USD 32.898 Thomas Cook Group PLC 6.250 6/15/2022 EUR 0.909 Immigon Portfolioabbau A 5.801 EUR 12.479 Neoen SA 1.875 10/07/2024 EUR 42.504 Intelsat Jackson Holding 9.750 7/15/2025 USD 55.000 Officine Maccaferri-SpA 5.750 06/01/2021 EUR 20.490 Ziton A/S 7.900 10/03/2022 EUR 70.744 EYEMAXX Real Estate AG 5.500 9/24/2024 EUR 66.197 O1 Properties Finance PL 0.500 9/27/2028 USD 10.000 Rickmers Holding AG 8.875 06/11/2018 EUR 0.512 Neoen SA 2.000 06/02/2025 EUR 52.088 Eramet SA 4.000 EUR 66.017 Intelsat SA 4.500 6/15/2025 USD 34.039 OGX Austria GmbH 8.375 04/01/2022 USD 0.002 Union Fenosa Preferentes 1.107 EUR 71.100 Rallye SA 3.400 1/31/2022 EUR 30.700 PREOS Global Office Real 7.500 12/09/2024 EUR 69.900 Rallye SA 4.000 11/23/2020 CHF 29.000 Bourbon Corp 8.061 EUR 17.905 Intelsat Luxembourg SA 7.750 06/01/2021 USD 2.500 Deutsche Bank AG 1.268 6/28/2033 USD 72.446 Senvion Holding GmbH 3.875 10/25/2022 EUR 0.358 EOS Imaging SA 6.000 5/31/2023 EUR 6.964 Rallye SA 5.250 02/01/2022 EUR 30.988 Bilt Paper BV 10.360 USD 1.253 Abengoa Abenewco 2 Bis S 1.500 4/26/2024 EUR 1.183 Air Berlin PLC 8.250 4/19/2018 EUR 0.268 Jain International Tradi 7.125 02/01/2022 USD 21.750 Hellenic Bank PCL 10.000 EUR 49.019 Scandinavian Airlines Sy 0.625 CHF 22.189 Thomas Cook Finance 2 PL 3.875 7/15/2023 EUR 1.778 Galapagos Holding SA 7.000 6/15/2022 EUR 1.500 Mitsubishi UFJ Investor 3.704 12/30/2099 EUR 5.083 Fuerstenberg Capital Ers 1.020 EUR 48.360 EA Partners I BV 6.875 9/28/2020 USD 1.000 Naviera Armas SA 4.250 11/15/2024 EUR 76.299 FF Group Finance Luxembo 3.250 11/02/2021 CHF 8.599 Air Berlin PLC 6.750 05/09/2019 EUR 0.325 Banco Espirito Santo SA 7.125 11/28/2023 EUR 0.139 DOF Subsea AS 8.260 11/27/2023 NOK 27.000 Nexity SA 0.875 4/19/2028 EUR 59.195 Agrokor dd 9.875 05/01/2019 EUR 15.000 Breeze Finance SA 6.708 4/19/2027 EUR 31.000 Dexia Credit Local SA 1.180 EUR 3.184 Orient Express Bank PJSC 2.000 USD 30.174 KTG Agrar SE 7.125 06/06/2017 EUR 2.804 Norddeutsche Landesbank- 7.490 EUR 68.292 OGX Austria GmbH 8.500 06/01/2018 USD 0.002 Avangardco Investments P 10.000 10/29/2018 USD 0.646 Stichting Afwikkeling On 6.250 10/26/2020 EUR 5.375 Genfit 3.500 10/16/2025 EUR 18.597 Dexia SA 1.236 EUR 1.674 Nexity SA 0.125 01/01/2023 EUR 64.769 UkrLandFarming PLC 10.875 3/26/2018 USD 1.879 EDOB Abwicklungs AG 7.500 04/01/2012 EUR 0.642 Koninklijke Luchtvaart M 0.750 CHF 26.250 Norske Skogindustrier AS 7.000 12/30/2026 EUR 0.001 EFG International AG 0.321 EUR 71.748 Air Berlin PLC 5.625 05/09/2019 CHF 0.406 Turkey Government Bond 8.000 03/12/2025 TRY 75.350 Privatbank CJSC Via UK S 10.875 2/28/2018 USD 10.000 Stichting Afwikkeling On 11.250 EUR 1.248 German Pellets GmbH 7.250 11/27/2019 EUR 1.000 Praktiker AG 5.875 02/10/2016 EUR 0.069 Gamalife - Cia de Seguro 2.957 EUR 72.999 Verimatrix SA 6.000 6/29/2022 EUR 3.790 Senivita Social Estate A 4.000 05/12/2025 EUR 8.010 Tresu Investment Holding 5.000 9/29/2022 EUR 28.250 WD Invest Sarl 1.900 10/02/2024 EUR 10.329 Banco Espirito Santo SA 6.875 7/15/2016 EUR 25.125 Privatbank CJSC Via UK S 11.000 02/09/2021 USD 4.285 Lehman Brothers UK Capit 6.900 USD 3.986 Deutsche Bank AG/London 2.218 3/15/2033 USD 73.092 REM Saltire Holding AS 7.000 12/31/2024 NOK 52.838 International Industrial 9.000 07/06/2011 EUR 0.007 BNG Bank NV 10.010 6/17/2025 TRY 74.760 Bank Otkritie Financial 10.000 4/26/2019 USD 10.010 Espirito Santo Financial 6.875 10/21/2019 EUR 0.244 FF Group Finance Luxembo 1.750 07/03/2019 EUR 5.442 Joh Friedrich Behrens AG 6.250 6/18/2024 EUR 46.031 Hellenic Republic Govern 2.085 7/25/2057 EUR 48.553 Norske Skogindustrier AS 2.000 12/30/2115 EUR 0.113 Havila Shipping ASA 4.700 01/02/2025 NOK 25.037 Yuksel Insaat AS 9.500 11/10/2015 USD 1.008 International Industrial 11.000 2/19/2013 USD 0.008 DOF Subsea AS 9.500 3/14/2022 USD 27.140 KPNQwest NV 10.000 3/15/2012 EUR 0.453 Ghelamco Invest 4.500 5/23/2022 EUR 40.000 Claranova SADIR 5.000 07/01/2023 EUR 1.110 Virgolino de Oliveira Fi 10.500 1/28/2018 USD 0.897 Lehman Brothers UK Capit 3.875 EUR 7.069 Windreich GmbH 6.500 03/01/2015 EUR 4.475 OGX Austria GmbH 8.375 04/01/2022 USD 0.002 Hellas Telecommunication 6.054 1/15/2015 USD 0.001 Komplett Bank ASA 8.190 NOK 74.073 Autonomous Community of 2.965 09/08/2039 JPY 69.089 Banca Popolare di Vicenz 2.821 12/20/2017 EUR 0.100 Allied Irish Banks PLC 12.500 6/25/2035 GBP 61.205 LBI ehf 6.100 8/25/2011 USD 9.842 Banca Popolare di Vicenz 9.500 9/29/2025 EUR 0.049 Alitalia-Societa Aerea I 5.250 7/30/2020 EUR 0.209 Lehman Brothers UK Capit 5.125 EUR 7.127 Saleza AS 9.000 07/12/2021 EUR 0.203 Grupo Isolux Corsan SA 1.000 12/30/2021 EUR 0.182 New World Resources NV 8.000 04/07/2020 EUR 0.101 Alno AG 8.500 5/14/2018 EUR 16.325 Cirio Holding Luxembourg 6.250 2/16/2004 EUR 0.723 Offshore Drilling Holdin 8.375 9/20/2020 USD 10.561 Banco Espirito Santo SA 2.102 EUR 0.160 Pentracor GmbH 8.500 5/29/2025 EUR 66.300 Virgolino de Oliveira Fi 11.750 02/09/2022 USD 1.047 Alpine Holding GmbH 6.000 5/22/2017 EUR 2.233 Fuerstenberg Capital Dri 1.609 EUR 55.000 Intralot Capital Luxembo 5.250 9/15/2024 EUR 59.740 UBS AG/London 13.250 05/04/2022 USD 60.150 Norwegian Air Shuttle AS 5.000 02/07/2023 SEK 44.592 ESFIL-Espirito Santo Fin 5.250 06/12/2015 EUR 0.111 Mallinckrodt Internation 5.625 10/15/2023 USD 69.750 Sairgroup Finance BV 4.375 06/08/2006 EUR 1.568 Joh Friedrich Behrens AG 7.750 11/11/2020 EUR 44.000 Hema Bondco II BV 8.500 1/15/2023 EUR 0.780 Mallinckrodt Internation 5.750 08/01/2022 USD 63.646 SAG Solarstrom AG 6.250 12/14/2015 EUR 31.000 Veneto Banca SpA 9.878 12/01/2025 EUR 0.473 Lehman Brothers UK Capit 5.750 EUR 3.962 Sberbank of Russia PJSC 0.010 08/06/2026 RUB 80.100 Portugal Telecom Interna 6.250 7/26/2016 EUR 0.175 Norske Skog Holding AS 8.000 2/24/2021 EUR 0.006 Windreich GmbH 6.500 7/15/2016 EUR 4.475 Finmek International SA 7.000 12/03/2004 EUR 2.193 UniCredit Bank AG 0.107 11/19/2029 EUR 67.373 Cooperatieve Rabobank UA 0.500 7/30/2043 MXN 15.756 Hellas Telecommunication 8.500 10/15/2013 EUR 0.540 Waste Italia SpA 10.500 11/15/2019 EUR 0.753 Intelsat Luxembourg SA 12.500 11/15/2024 USD 65.750 Cooperatieve Rabobank UA 0.500 10/30/2043 MXN 15.015 Societe Centrale des Boi 2.500 5/15/2023 EUR 6.880 Corporate Commercial Ban 8.250 08/08/2014 USD 0.308 Agrokor dd 9.125 02/01/2020 EUR 15.000 Elli Investments Ltd 12.250 6/15/2020 GBP 52.250 Grupo Isolux Corsan SA 6.000 12/30/2021 EUR 0.177 Credit Suisse AG/London 8.750 08/02/2024 USD 9.750 Cirio Finanziaria SpA 8.000 12/21/2005 EUR 1.682 Sberbank of Russia PJSC 0.010 02/06/2023 RUB 80.100 KPNQwest NV 8.875 02/01/2008 EUR 0.453 Sberbank of Russia PJSC 0.010 08/03/2028 RUB 80.100 Commerzbank AG 0.077 11/19/2029 EUR 62.729 Mallinckrodt Internation 5.500 4/15/2025 USD 69.250 MS Deutschland Beteiligu 6.875 12/18/2017 EUR 0.620 Aralco Finance SA 10.125 05/07/2020 USD 0.934 Yell Bondco PLC 8.500 05/02/2023 GBP 60.219 SAS AB 4.410 SEK 25.301 Cirio Del Monte NV 7.750 3/14/2005 EUR 0.614 New World Resources NV 4.000 10/07/2020 EUR 0.231 Bulgaria Steel Finance B 12.000 05/04/2013 EUR 0.216 Banco Espirito Santo SA 2.282 EUR 0.237 Espirito Santo Financial 3.125 12/02/2018 EUR 1.093 Cooperatieve Rabobank UA 0.500 1/31/2033 MXN 36.317 Rallye SA 1.000 10/02/2020 EUR 27.353 JP Morgan Structured Pro 0.379 9/30/2021 EUR 1.000 Bank Nadra Via NDR Finan 8.250 7/31/2018 USD 0.208 JP Morgan Structured Pro 0.379 9/30/2021 EUR 1.000 CBo Territoria 3.750 07/01/2024 EUR 4.720 Krakowski Bank Spoldziel 3.550 9/20/2023 PLN 70.000 Banco Espirito Santo SA 6.900 6/28/2024 EUR 25.159 Intelsat Jackson Holding 9.750 7/15/2025 USD 54.422 Sidetur Finance BV 10.000 4/20/2016 USD 1.809 Alno AG 8.000 3/21/2019 EUR 16.200 Nostrum Oil & Gas Financ 8.000 7/25/2022 USD 27.606 International Finance Fa 0.500 6/29/2027 ZAR 65.878 JP Morgan Structured Pro 0.379 9/30/2021 EUR 1.000 Cirio Finance Luxembourg 7.500 11/03/2002 EUR 2.657 Kardan NV 6.325 2/21/2021 ILS 14.100 Lehman Brothers Treasury 5.220 03/01/2024 EUR 0.100 Kommunekredit 0.500 7/30/2027 TRY 35.633 SpareBank 1 SR-Bank ASA 1.212 12/21/2030 EUR 73.674 Veneto Banca SpA 6.944 5/15/2025 EUR 0.473 Alpine Holding GmbH 5.250 07/01/2015 EUR 2.233 OGX Austria GmbH 8.500 06/01/2018 USD 0.002 Sberbank of Russia PJSC 0.010 8/21/2028 RUB 80.100 Lloyds Bank PLC 0.500 7/26/2028 MXN 59.418 Phones4u Finance PLC 9.500 04/01/2018 GBP 71.750 Uppfinnaren 1 AB 11.000 SEK 40.000 KPNQwest NV 7.125 06/01/2009 EUR 0.453 Rena GmbH 8.250 07/11/2018 EUR 2.096 CRC Breeze Finance SA 6.110 05/08/2026 EUR 30.226 Intelsat Luxembourg SA 12.500 11/15/2024 USD 65.750 Phosphorus Holdco PLC 10.000 04/01/2019 GBP 0.974 Erotik-Abwicklungsgesell 7.750 07/09/2019 EUR 0.779 Sberbank of Russia PJSC 0.010 8/24/2026 RUB 80.100 Finance and Credit Bank 9.250 1/25/2019 USD 0.257 Hamon & CIE SA 3.300 1/31/2035 EUR 45.361 Virgolino de Oliveira Fi 10.500 1/28/2018 USD 0.897 Steilmann SE 7.000 03/09/2017 EUR 1.429 Agrokor dd 8.875 02/01/2020 USD 15.000 Naviera Armas SA 4.250 11/15/2024 EUR 74.901 Erste Group Bank AG 5.550 8/30/2022 EUR 44.300 Moby SpA 7.750 2/15/2023 EUR 35.413 Bilt Paper BV 10.360 USD 1.253 Norwegian Air Shuttle AS 6.375 11/15/2024 USD 49.841 Cattles Ltd 8.125 07/05/2017 GBP 0.027 Getin Noble Bank SA 5.250 12/21/2023 PLN 66.875 Depfa Funding III LP 0.235 EUR 57.439 Island Offshore Shiphold 2.790 6/30/2022 NOK 4.806 Erste Group Bank AG 4.350 2/20/2022 EUR 35.550 Banco Santander SA 1.858 EUR 1.569 O1 Properties Finance PL 8.250 9/27/2021 USD 11.969 Del Monte Finance Luxemb 6.625 5/24/2006 EUR 2.806 Depfa Funding II LP 6.500 EUR 60.536 Peine GmbH 2.000 07/05/2023 EUR 44.500 Espirito Santo Financial 9.750 12/19/2025 EUR 0.384 Steilmann SE 7.000 9/23/2018 EUR 1.429 Portugal Telecom Interna 5.242 11/06/2017 EUR 0.694 Intelsat Jackson Holding 8.500 10/15/2024 USD 54.159 Espirito Santo Financial 5.050 11/15/2025 EUR 1.015 Nostrum Oil & Gas Financ 7.000 2/16/2025 USD 27.943 Ahtium PLC 4.000 12/16/2015 EUR 0.586 Agrokor dd 8.875 02/01/2020 USD 15.000 SiC Processing GmbH 7.125 03/01/2016 EUR 2.410 Credit Suisse AG/London 12.450 12/08/2021 USD 15.140 La Veggia Finance SA 7.125 11/14/2004 EUR 0.287 KTG Agrar SE 7.250 10/15/2019 EUR 2.804 Phones4u Finance PLC 9.500 04/01/2018 GBP 71.750 DZ Bank AG Deutsche Zent 0.488 03/11/2031 EUR 60.539 ECM Real Estate Investme 5.000 10/09/2011 EUR 15.375 Norske Skog Holding AS 8.000 2/24/2023 USD 0.006 Pescanova SA 5.125 4/20/2017 EUR 0.319 Alpine Holding GmbH 5.250 06/10/2016 EUR 2.233 Rena GmbH 7.000 12/15/2015 EUR 2.096 Caixa Economica Montepio 5.000 EUR 50.060 Credit Suisse AG/London 7.500 10/25/2021 USD 74.240 Mox Telecom AG 7.250 11/02/2017 EUR 2.255 A-TEC Industries AG 2.750 05/10/2014 EUR 0.100 Tonon Luxembourg SA 9.250 1/24/2020 USD 1.000 WPE International Cooper 10.375 9/30/2020 USD 5.000 SAG Solarstrom AG 7.500 07/10/2017 EUR 31.000 Orange SA 3.000 6/15/2022 EUR 10.000 Veneto Banca SpA 6.411 EUR 0.336 New World Resources NV 8.000 04/07/2020 EUR 0.101 Rio Forte Investments SA 4.000 7/22/2014 EUR 5.772 Veneto Banca SpA 6.950 2/25/2025 EUR 0.473 Solon SE 1.375 12/06/2012 EUR 0.745 Vneshprombank Ltd Via VP 9.000 11/14/2016 USD 0.078 Stichting Afwikkeling On 6.625 5/14/2018 EUR 5.375 NTRP Via Interpipe Ltd 10.250 08/02/2017 USD 30.500 SFO Akkord Finans 10.000 02/12/2024 RUB 69.370 Intelsat Connect Finance 9.500 2/15/2023 USD 32.898 Norske Skogindustrier AS 7.125 10/15/2033 USD 0.001 Agrokor dd Via Aquarius 4.921 08/08/2017 EUR 14.625 Leonteq Securities AG 8.000 9/14/2021 CHF 53.410 Steilmann SE 6.750 6/27/2017 EUR 2.184 Cooperatieve Rabobank UA 0.500 10/29/2027 MXN 62.381 Agrokor dd 9.125 02/01/2020 EUR 15.000 KPNQwest NV 8.125 06/01/2009 USD 0.453 Thomas Cook Group PLC 6.250 6/15/2022 EUR 0.909 Bulgaria Steel Finance B 12.000 05/04/2013 EUR 0.216 BRAbank ASA/NO 7.210 NOK 52.294 A-TEC Industries AG 8.750 10/27/2014 EUR 0.100 Intelsat Jackson Holding 9.750 7/15/2025 USD 54.422 Stichting Afwikkeling On 2.207 EUR 1.248 Virgolino de Oliveira Fi 10.875 1/13/2020 USD 34.000 Mifa Mitteldeutsche Fahr 7.500 08/12/2018 EUR 2.000 Ahtium PLC 9.750 04/04/2017 EUR 0.726 Air Berlin Finance BV 8.500 03/06/2019 EUR 0.357 KPNQwest NV 7.125 06/01/2009 EUR 0.453 Air Berlin Finance BV 6.000 03/06/2019 EUR 0.357 Havila Shipping ASA 3.950 01/02/2025 NOK 51.707 TransKomplektHolding OOO 9.500 11/02/2028 RUB 70.000 Resa SA/Belgium 1.950 7/22/2036 EUR 50.000 Credit Suisse AG/London 20.000 12/07/2021 USD 67.800 COFIDUR SA 0.100 12/31/2024 EUR 24.050 Senvion Holding GmbH 3.875 10/25/2022 EUR 0.358 Sairgroup Finance BV 6.625 10/06/2010 EUR 1.568 Gebr Sanders GmbH & Co K 8.750 10/22/2018 EUR 9.375 getgoods.de AG 7.750 10/02/2017 EUR 0.404 SG Issuer SA 5.000 04/02/2024 EUR 58.920 Pongs & Zahn AG 8.500 11/01/2014 EUR 0.002 Credit Suisse AG/London 11.150 12/08/2021 CHF 14.060 UBS AG/London 11.250 02/03/2023 CHF 67.450 Cooperatieve Rabobank UA 0.500 11/30/2027 MXN 61.932 Sequa Petroleum NV 5.000 4/29/2020 USD 30.500 German Pellets GmbH 7.250 04/01/2016 EUR 1.000 Pescanova SA 6.750 03/05/2015 EUR 0.319 Lehman Brothers Treasury 1.000 10/05/2035 EUR 0.100 BOA Offshore AS 0.409 7/17/2047 NOK 8.805 Derzhava-Garant OOO 9.500 06/12/2030 RUB 6.890 Dyadya Doner OOO 13.500 4/25/2023 RUB 15.600 Tonon Luxembourg SA 12.500 5/14/2024 USD 0.399 Banco Espirito Santo SA 10.000 12/06/2021 EUR 0.139 Cooperatieve Rabobank UA 0.500 8/21/2028 MXN 58.146 Credit Suisse AG/London 14.500 08/02/2024 USD 9.750 Barclays Bank PLC 5.000 11/01/2029 BRL 62.107 Pescanova SA 8.750 2/17/2019 EUR 0.319 WEB Windenergie AG 4.000 12/17/2025 EUR 0.010 SALVATOR Vermoegensverwa 9.500 EUR 9.000 HPI AG 3.500 EUR 3.011 Center-Invest Commercial 6.000 03/03/2022 RUB 66.000 KPNQwest NV 7.125 06/01/2009 EUR 0.453 Credito Padano Banca di 3.100 EUR 33.690 Credito Padano Banca di 3.100 EUR 33.917 Hellas Telecommunication 8.500 10/15/2013 EUR 0.540 Komplett Bank ASA 5.240 03/03/2031 NOK 74.087 SAir Group 0.125 07/07/2005 CHF 12.625 Eiendomskreditt AS 2.050 9/17/2029 NOK 68.640 UkrLandFarming PLC 10.875 3/26/2018 USD 1.879 Golden Gate AG 6.500 10/11/2014 EUR 37.300 Landesbank Baden-Wuertte 6.000 8/27/2021 EUR 71.920 Russian Post FGUP 2.750 12/06/2023 RUB 70.000 Landesbank Baden-Wuertte 7.000 11/26/2021 EUR 72.210 Phosphorus Holdco PLC 10.000 04/01/2019 GBP 0.974 Hema Bondco II BV 8.500 1/15/2023 EUR 0.780 German Pellets GmbH 7.250 07/09/2018 EUR 1.000 Credit Suisse AG/London 11.600 12/08/2021 EUR 15.630 Erste Group Bank AG 8.000 7/31/2024 EUR 69.500 Deutsche Bank AG/London 13.750 6/20/2026 TRY 72.972 WEB Windenergie AG 2.500 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12/16/2025 BRL 63.025 Russian Bank for Small & 8.500 12/03/2030 RUB 65.030 Norske Skog Holding AS 8.000 2/24/2023 USD 0.006 AlphaNotes ETP Dac 0.010 09/09/2029 USD 69.815 HSBC Bank PLC 0.500 6/23/2027 MXN 64.059 SG Issuer SA 3.000 09/02/2021 EUR 30.870 RENE LEZARD Mode GmbH 7.250 11/25/2017 EUR 0.200 Landesbank Baden-Wuertte 3.250 11/26/2021 EUR 75.240 Northland Resources AB 4.000 10/15/2020 NOK 0.271 Mriya Agro Holding PLC 9.450 4/19/2018 USD 4.667 Ukraine Government Bond 6.000 12/23/2026 UAH 72.458 Ukraine Government Bond 8.120 11/10/2035 UAH 67.330 Irish Bank Resolution Co 6.750 11/30/2013 BGN 33.250 Petromena ASA 9.750 5/24/2016 NOK 0.607 A-TEC Industries AG 5.750 11/02/2010 EUR 0.100 Barclays Bank PLC 5.090 06/08/2022 USD 9.930 DeltaCredit Bank JSC 1.000 10/20/2025 RUB 70.020 SG Issuer SA 8.700 1/20/2025 SEK 68.370 Hellas Telecommunication 6.054 1/15/2015 USD 0.001 Heta Asset Resolution AG 5.730 12/31/2023 EUR 1.440 Decipher Production Ltd 12.500 9/27/2019 USD 1.500 Thomas Cook Finance 2 PL 3.875 7/15/2023 EUR 1.778 Virgolino de Oliveira Fi 10.875 1/13/2020 USD 34.000 Rio Forte Investments SA 3.900 07/10/2014 USD 5.750 Societe Generale SA 8.500 9/30/2021 USD 43.100 Leonteq Securities AG 10.000 7/20/2022 CHF 51.490 Leonteq Securities AG 18.000 11/24/2021 CHF 60.120 BrokerCreditService Stru 3.000 2/28/2023 USD 71.000 Lehman Brothers Treasury 2.875 3/14/2013 CHF 0.100 Ukraine Government Bond 8.880 05/10/2032 UAH 75.129 EDOB Abwicklungs AG 7.500 04/01/2012 EUR 0.642 Instabank ASA 5.190 3/28/2028 NOK 60.798 Dolphin Drilling ASA 4.490 8/28/2019 NOK 0.644 Natixis SA 0.300 6/25/2048 USD 52.118 Getin Noble Bank SA 5.250 7/28/2023 PLN 72.875 UBS AG/London 16.300 01/08/2024 EUR 42.050 UniCredit Bank AG 4.250 11/21/2021 EUR 30.180 SALVATOR Vermoegensverwa 9.500 12/31/2021 EUR 8.800 Landesbank Baden-Wuertte 5.000 8/27/2021 EUR 61.260 Credit Suisse AG/London 5.800 07/12/2023 USD 9.720 Santander Consumer Bank 5.110 NOK 44.368 AKB Peresvet ZAO 13.250 4/25/2018 RUB 27.750 Norske Skogindustrier AS 7.125 10/15/2033 USD 0.001 Banca Popolare di Vicenz 9.500 10/02/2025 EUR 0.049 Gold-Zack AG 7.000 12/14/2005 EUR 5.000 Bank Julius Baer & Co Lt 11.700 4/26/2022 CHF 52.150 EFG International Financ 9.800 9/21/2021 EUR 76.310 Vontobel Financial Produ 24.380 12/08/2021 USD 65.962 Getin Noble Bank SA 5.250 5/31/2023 PLN 67.075 Windreich GmbH 6.750 03/01/2015 EUR 4.475 Espirito Santo Financial 5.125 5/30/2016 EUR 0.528 BNP Paribas SA 0.500 11/16/2032 MXN 29.332 Lehman Brothers Treasury 4.800 11/16/2012 HKD 0.100 KPNQwest NV 8.875 02/01/2008 EUR 0.453 Stichting Afwikkeling On 8.450 8/20/2018 USD 5.375 Bank Otkritie Financial 0.010 9/24/2025 RUB 72.010 Santander Consumer Bank 5.110 NOK 44.368 Espirito Santo Financial 5.050 11/15/2025 EUR 0.874 Lehman Brothers Treasury 4.250 3/13/2021 EUR 0.100 MIK OAO 15.000 2/19/2020 RUB 13.875 Lehman Brothers Treasury 2.000 3/16/2035 EUR 0.100 Teksid Aluminum Luxembou 12.375 7/15/2011 EUR 0.122 Solarwatt GmbH 7.000 11/01/2015 EUR 15.500 BLT Finance BV 12.000 02/10/2015 USD 10.500 UniCredit Bank AG 3.600 8/23/2021 EUR 34.220 Raiffeisen Switzerland B 4.000 8/30/2022 CHF 39.950 Banque Cantonale Vaudois 10.875 11/05/2021 EUR 70.700 UniCredit Bank AG 6.600 7/20/2028 EUR 50.170 Leonteq Securities AG/Gu 2.750 9/15/2022 CHF 15.800 DeloPorts LLC 0.010 11/14/2025 RUB 70.010 Leonteq Securities AG/Gu 15.000 10/20/2021 USD 54.290 Leonteq Securities AG/Gu 20.000 11/04/2021 CHF 55.340 BrokerCreditService Stru 3.000 04/03/2022 USD 54.100 UBS AG/London 13.500 4/14/2022 CHF 61.700 BrokerCreditService Stru 8.000 1/30/2024 USD 56.000 UniCredit Bank AG 6.600 9/13/2023 EUR 71.970 Lehman Brothers Treasury 1.750 02/07/2010 EUR 0.100 Heta Asset Resolution AG 0.211 12/31/2023 EUR 1.440 Lehman Brothers Treasury 6.000 10/24/2008 EUR 0.100 Norske Skogindustrier AS 7.000 12/30/2026 EUR 0.001 Ukraine Government Bond 6.000 1/22/2031 UAH 61.368 Credit Agricole Corporat 10.200 08/06/2026 TRY 74.710 LBI ehf 6.100 8/25/2011 USD 9.842 Nutritek International C 8.750 12/11/2008 USD 2.089 Lehman Brothers Treasury 4.600 08/01/2013 EUR 0.100 Waste Italia SpA 10.500 11/15/2019 EUR 0.753 New World Resources NV 4.000 10/07/2020 EUR 0.231 Santander Consumer Bank 5.110 NOK 44.368 Mriya Agro Holding PLC 10.950 3/30/2016 USD 4.667 Minicentrales Dos SA 0.010 06/06/2047 EUR 59.375 Landesbank Baden-Wuertte 5.400 2/25/2022 EUR 68.340 Rosseti South PJSC 9.240 07/01/2022 RUB 70.020 UBS AG/London 15.000 06/03/2022 USD 66.550 OOO SPV Structural Inves 0.010 09/01/2023 RUB 66.740 Rio Forte Investments SA 4.750 11/10/2015 EUR 5.750 Credit Agricole Corporat 10.800 3/24/2026 TRY 74.527 PA Resources AB 13.500 03/03/2016 SEK 0.124 Lehman Brothers Treasury 4.000 4/13/2011 CHF 0.100 Heta Asset Resolution AG 4.350 12/31/2023 EUR 1.440 International Bank of Az 8.250 10/09/2024 USD 60.375 Centrosolar Group AG 7.000 2/15/2016 EUR 2.505 UBS AG/London 15.000 8/26/2021 CHF 65.900 Landesbank Baden-Wuertte 3.700 2/25/2022 EUR 72.120 Leonteq Securities AG/Gu 4.000 08/10/2022 CHF 58.780 SG Issuer SA 0.263 2/20/2025 EUR 18.870 WEB Windenergie AG 4.500 EUR 0.010 Credit Suisse AG/London 5.200 8/17/2022 USD 9.829 EFG International Financ 12.750 1/31/2022 USD 62.570 Leonteq Securities AG/Gu 4.890 11/26/2021 USD 71.130 Activa Resources AG 0.500 11/15/2021 EUR 0.500 Landesbank Baden-Wuertte 4.000 11/26/2021 EUR 72.770 Landesbank Baden-Wuertte 4.750 8/27/2021 EUR 73.520 Landesbank Baden-Wuertte 2.750 8/27/2021 EUR 68.570 Landesbank Baden-Wuertte 3.500 8/27/2021 EUR 65.940 Credit Suisse AG/London 12.450 12/08/2021 USD 15.810 Leonteq Securities AG 28.630 12/15/2021 CHF 68.720 Credit Suisse AG/London 5.880 6/28/2023 USD 10.000 Leonteq Securities AG 15.000 6/21/2022 CHF 68.450 Credit Suisse AG/London 27.250 07/03/2024 USD 9.700 Bank Julius Baer & Co Lt 8.200 10/15/2021 EUR 65.600 Credit Suisse AG/London 4.600 11/09/2022 USD 9.900 EFG International Financ 9.700 9/26/2022 CHF 11.400 Credit Suisse AG/London 10.000 02/02/2023 USD 10.000 Landesbank Baden-Wuertte 3.000 11/26/2021 EUR 71.710 SAir Group 2.750 7/30/2004 CHF 12.625 Northland Resources AB 4.000 10/15/2020 USD 0.271 Ukraine Government Bond 6.000 9/18/2030 UAH 62.084 Ukraine Government Bond 6.000 06/12/2030 UAH 62.663 Ukraine Government Bond 6.000 4/23/2031 UAH 60.850 Bank Otkritie Financial 10.000 4/26/2019 USD 10.010 Minicentrales Dos SA 0.010 06/06/2047 EUR 67.500 City of Novosibirsk Russ 7.300 10/08/2026 RUB 69.470 Russian Federal Bond - O 0.250 7/20/2044 RUB 17.800 Norske Skogindustrier AS 2.000 12/30/2115 EUR 0.113 Lehman Brothers Treasury 6.450 2/20/2010 AUD 0.100 DANY COLL LLC 0.100 7/19/2022 RUB 1.160 Barclays Bank PLC 0.500 1/28/2033 MXN 35.019 Bibby Offshore Services 7.500 6/15/2021 GBP 11.625 Mriya Agro Holding PLC 9.450 4/19/2018 USD 4.667 Vontobel Financial Produ 23.950 06/03/2022 EUR 71.944 BNP Paribas Emissions- u 29.000 9/23/2021 EUR 61.210 SG Issuer SA 5.000 5/23/2024 EUR 59.840 Leonteq Securities AG 11.000 01/03/2022 CHF 56.000 Landesbank Baden-Wuertte 4.500 8/27/2021 EUR 55.310 Societe Generale SA 6.000 06/06/2022 USD 0.470 Societe Generale SA 6.000 05/09/2022 USD 4.780 Danske Bank A/S 6.860 07/09/2022 SEK 25.870 Leonteq Securities AG 4.000 12/18/2026 CHF 66.160 Barclays Bank PLC 2.730 9/27/2024 EUR 60.620 Ukraine Government Bond 6.000 10/15/2031 UAH 59.927 Ukraine Government Bond 8.420 05/10/2034 UAH 70.484 Credit Agricole Corporat 10.500 2/16/2027 TRY 74.572 SAir Group 4.250 02/02/2007 CHF 12.625 Credit Agricole Corporat 9.450 03/08/2027 TRY 70.559 LBI ehf 7.431 USD 0.001 AKB Peresvet ZAO 0.510 2/14/2032 RUB 12.700 Rosbank PJSC 0.040 4/30/2024 RUB 65.000 SAir Group 6.250 10/27/2002 CHF 12.625 Astana Finance BV 7.875 06/08/2010 EUR 16.000 Credit Agricole Corporat 10.320 7/22/2026 TRY 75.088 AKB Peresvet ZAO 0.510 6/23/2021 RUB 27.180 Lehman Brothers Treasury 3.700 06/06/2009 EUR 0.100 SAir Group 5.500 7/23/2003 CHF 12.625 Instabank ASA 7.190 NOK 36.850 Heta Asset Resolution AG 4.875 12/31/2023 EUR 1.440 IT Holding Finance SA 9.875 11/15/2012 EUR 0.031 Credit Agricole Corporat 10.200 12/13/2027 TRY 71.635 SAir Group 2.125 11/04/2004 CHF 12.625 DZ Bank AG Deutsche Zent 7.930 9/24/2021 EUR 62.850 SG Issuer SA 0.850 7/29/2024 EUR 15.370 WEB Windenergie AG 5.250 04/08/2023 EUR 0.010 Landesbank Baden-Wuertte 6.250 8/27/2021 EUR 70.910 Landesbank Baden-Wuertte 13.180 1/28/2022 EUR 68.260 SAir Group 5.125 03/01/2003 CHF 12.750 Bank Julius Baer & Co Lt 13.800 11/01/2021 USD 54.700 Bank2 ASA 5.270 NOK 57.898 Petromena ASA 10.850 11/19/2018 USD 0.622 LBI ehf 2.250 2/14/2011 CHF 9.250 SAir Group 2.750 7/30/2004 CHF 12.625 Sberbank CIB JSC 0.010 01/04/2030 RUB 54.296 Norske Skog Holding AS 8.000 2/24/2021 EUR 0.006 Lehman Brothers Treasury 8.000 4/20/2009 EUR 0.100 Heta Asset Resolution AG 7.500 12/31/2023 ATS 1.440 Bibby Offshore Services 7.500 6/15/2021 GBP 11.625 SAir Group 6.250 04/12/2005 CHF 12.625 UBS AG/London 7.000 9/23/2021 EUR 68.320 UBS AG/London 12.250 8/26/2021 CHF 68.650 UBS AG/London 10.750 8/26/2021 CHF 68.550 UBS AG/London 10.250 8/26/2021 CHF 70.550 UBS AG/London 10.000 8/26/2021 EUR 61.800 Raiffeisen Schweiz Genos 6.500 09/02/2021 CHF 71.180 Landesbank Baden-Wuertte 4.000 2/25/2022 EUR 72.400 Landesbank Baden-Wuertte 6.400 2/25/2022 EUR 63.600 Landesbank Baden-Wuertte 3.900 2/25/2022 EUR 71.880 Landesbank Baden-Wuertte 5.000 2/25/2022 EUR 67.380 Landesbank Baden-Wuertte 4.900 2/25/2022 EUR 70.650 Landesbank Baden-Wuertte 3.400 2/25/2022 EUR 74.180 Landesbank Baden-Wuertte 4.800 3/25/2022 EUR 70.920 UBS AG/London 11.000 09/06/2021 CHF 72.800 UBS AG/London 12.500 09/06/2021 CHF 69.700 UBS AG/London 8.000 03/04/2022 EUR 68.300 UBS AG/London 7.500 09/06/2021 CHF 72.400 UBS AG/London 8.500 09/06/2021 CHF 68.950 UniCredit Bank AG 5.450 3/15/2022 EUR 41.050 UniCredit Bank AG 4.100 8/24/2022 EUR 65.820 UniCredit Bank AG 4.000 2/28/2022 EUR 61.280 Landesbank Baden-Wuertte 4.000 10/22/2021 EUR 36.970 Landesbank Baden-Wuertte 2.600 9/23/2022 EUR 70.960 EFG International Financ 12.000 10/19/2021 USD 60.140 DekaBank Deutsche Giroze 2.300 11/12/2021 EUR 53.090 Leonteq Securities AG/Gu 6.200 10/18/2021 CHF 71.240 Leonteq Securities AG/Gu 7.000 10/19/2021 CHF 70.940 Leonteq Securities AG/Gu 6.100 2/21/2022 CHF 73.020 Landesbank Baden-Wuertte 3.050 9/23/2022 EUR 53.100 Bayerische Landesbank 2.000 2/18/2022 EUR 59.360 Landesbank Baden-Wuertte 2.800 4/25/2022 EUR 58.720 Danske Bank A/S 10.300 07/09/2023 SEK 11.200 Raiffeisen Schweiz Genos 5.800 9/28/2021 CHF 63.920 EFG International Financ 10.500 02/07/2022 EUR 64.300 Landesbank Baden-Wuertte 3.050 9/23/2022 EUR 71.000 Leonteq Securities AG/Gu 8.130 2/21/2022 EUR 60.400 Leonteq Securities AG/Gu 4.000 2/21/2022 EUR 62.800 UBS AG/London 10.750 8/19/2021 CHF 70.950 Landesbank Baden-Wuertte 4.700 3/25/2022 EUR 40.070 Landesbank Baden-Wuertte 3.300 3/25/2022 EUR 48.520 UBS AG/London 11.500 8/19/2021 CHF 70.900 UniCredit Bank AG 4.200 03/01/2023 EUR 67.080 EFG International Financ 14.800 8/19/2021 CHF 41.060 Bayerische Landesbank 2.500 12/03/2021 EUR 52.790 DekaBank Deutsche Giroze 3.100 12/03/2021 EUR 40.280 Zurcher Kantonalbank Fin 8.000 2/25/2022 CHF 71.450 UBS AG/London 6.500 8/19/2021 CHF 60.950 UBS AG/London 5.500 8/19/2021 EUR 60.900 UBS AG/London 10.000 8/19/2021 CHF 68.000 UBS AG/London 7.000 2/21/2022 EUR 61.950 UBS AG/London 5.750 8/20/2021 EUR 72.750 UniCredit Bank AG 9.000 12/27/2021 EUR 68.780 Landesbank Baden-Wuertte 2.500 3/25/2022 EUR 71.310 UniCredit Bank AG 4.300 12/19/2021 EUR 52.940 EFG International Financ 7.000 5/23/2022 EUR 38.140 Landesbank Baden-Wuertte 2.750 3/25/2022 EUR 56.060 UniCredit Bank AG 4.450 12/29/2022 EUR 32.780 Raiffeisen Switzerland B 4.800 11/23/2023 CHF 43.200 UniCredit Bank AG 5.050 01/11/2022 EUR 65.510 DekaBank Deutsche Giroze 2.150 1/21/2022 EUR 65.960 Vontobel Financial Produ 9.500 9/24/2021 EUR 72.660 Vontobel Financial Produ 11.500 9/24/2021 EUR 68.720 Vontobel Financial Produ 10.500 9/24/2021 EUR 70.630 Vontobel Financial Produ 12.500 9/24/2021 EUR 66.920 Landesbank Baden-Wuertte 3.500 1/28/2022 EUR 58.230 Landesbank Baden-Wuertte 5.700 1/28/2022 EUR 50.500 DZ Bank AG Deutsche Zent 5.750 9/22/2021 EUR 66.590 DZ Bank AG Deutsche Zent 7.000 9/20/2021 EUR 71.400 Vontobel Financial Produ 17.500 9/24/2021 EUR 55.910 Landesbank Baden-Wuertte 5.100 11/25/2022 EUR 64.320 Vontobel Financial Produ 16.000 9/24/2021 EUR 57.720 Vontobel Financial Produ 19.500 9/24/2021 EUR 54.280 Vontobel Financial Produ 21.500 9/24/2021 EUR 52.740 Landesbank Baden-Wuertte 3.200 11/25/2022 EUR 68.660 Societe Generale Effekte 3.000 7/22/2022 USD 5.250 Raiffeisen Switzerland B 10.500 07/11/2024 USD 19.760 UniCredit Bank AG 4.300 10/18/2021 EUR 33.640 UniCredit Bank AG 3.800 10/24/2021 EUR 54.090 UniCredit Bank AG 4.050 10/24/2021 EUR 56.160 DekaBank Deutsche Giroze 1.000 11/02/2021 EUR 48.960 Landesbank Baden-Wuertte 2.550 12/27/2021 EUR 51.560 Landesbank Baden-Wuertte 2.500 12/27/2021 EUR 58.670 Vontobel Financial Produ 9.500 12/24/2021 EUR 56.030 Vontobel 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EUR 44.270 UBS AG/London 14.000 02/10/2022 CHF 57.400 EFG International Financ 6.200 08/05/2022 EUR 58.130 Leonteq Securities AG 7.200 09/08/2021 CHF 55.790 DekaBank Deutsche Giroze 3.300 04/08/2022 EUR 43.030 Leonteq Securities AG/Gu 4.000 03/08/2022 EUR 45.770 Leonteq Securities AG/Gu 11.400 9/20/2021 CHF 2.690 Landesbank Baden-Wuertte 3.700 9/24/2021 EUR 51.380 Landesbank Baden-Wuertte 2.500 6/24/2022 EUR 55.650 DZ Bank AG Deutsche Zent 19.900 9/24/2021 EUR 70.470 Credit Suisse AG/London 4.250 03/07/2022 USD 9.900 Vontobel Financial Produ 8.500 12/24/2021 EUR 68.220 Vontobel Financial Produ 14.500 9/24/2021 EUR 73.870 Leonteq Securities AG 12.400 05/12/2022 CHF 68.540 UBS AG/London 21.250 2/18/2022 USD 46.100 Leonteq Securities AG/Gu 5.000 9/13/2021 CHF 67.770 Leonteq Securities AG 6.000 9/14/2021 CHF 66.380 DekaBank Deutsche Giroze 2.300 9/24/2021 EUR 45.970 DZ Bank AG Deutsche Zent 21.800 12/24/2021 EUR 72.470 DZ Bank AG Deutsche Zent 22.000 9/24/2021 EUR 68.100 DZ Bank AG Deutsche Zent 18.500 12/24/2021 EUR 71.990 Corner Banca SA 6.400 09/07/2021 CHF 63.740 Vontobel Financial Produ 23.000 9/24/2021 EUR 68.820 Vontobel Financial Produ 15.500 9/24/2021 EUR 59.770 Vontobel Financial Produ 14.000 9/24/2021 EUR 61.870 Vontobel Financial Produ 12.000 9/24/2021 EUR 64.120 Landesbank Baden-Wuertte 3.950 12/27/2021 EUR 65.960 Landesbank Baden-Wuertte 6.900 12/27/2021 EUR 59.310 Credit Suisse AG/Nassau 13.000 11/26/2021 USD 59.900 Landesbank Baden-Wuertte 7.750 5/27/2022 EUR 70.980 Landesbank Baden-Wuertte 6.500 5/27/2022 EUR 68.040 UBS AG/London 16.000 9/19/2022 CHF 65.550 Vontobel Financial Produ 21.000 12/24/2021 EUR 72.360 Leonteq Securities AG 24.530 4/22/2022 CHF 59.910 Vontobel Financial Produ 12.500 3/25/2022 EUR 73.967 Vontobel Financial Produ 19.500 3/25/2022 EUR 73.360 DZ Bank AG Deutsche Zent 10.500 4/22/2022 EUR 70.160 Leonteq Securities AG/Gu 21.100 4/21/2022 CHF 69.500 Zuercher Kantonalbank 8.624 4/25/2022 CHF 0.044 Societe Generale SA 3.900 3/23/2022 USD 0.090 Bank Julius Baer & Co Lt 18.300 2/18/2022 USD 64.600 Skandinaviska Enskilda B 6.300 7/15/2022 SEK 73.110 UniCredit Bank AG 5.550 7/19/2022 EUR 64.390 Societe Generale Effekte 5.250 10/22/2021 EUR 64.680 Societe Generale Effekte 7.250 10/22/2021 EUR 59.000 Societe Generale Effekte 9.250 10/22/2021 EUR 54.950 Societe Generale Effekte 13.250 10/22/2021 EUR 49.320 Citigroup Global Markets 9.000 8/18/2022 USD 0.689 Landesbank Baden-Wuertte 4.000 5/27/2022 EUR 41.110 Landesbank Baden-Wuertte 3.300 5/27/2022 EUR 49.480 Bayerische Landesbank 3.700 7/15/2022 EUR 72.030 UniCredit Bank AG 4.450 09/11/2023 EUR 52.380 Landesbank Baden-Wuertte 5.250 4/28/2023 EUR 72.530 Barclays Bank PLC 4.000 7/19/2022 USD 9.970 Leonteq Securities AG 22.340 4/14/2022 CHF 54.280 EFG International Financ 18.000 4/14/2022 CHF 57.770 BNP Paribas Emissions- u 6.500 9/23/2021 EUR 59.470 BNP Paribas Emissions- u 7.500 9/23/2021 EUR 59.540 BNP Paribas Emissions- u 8.500 9/23/2021 EUR 59.620 BNP Paribas Emissions- u 7.000 9/23/2021 EUR 58.040 BNP Paribas Emissions- u 8.000 9/23/2021 EUR 58.120 BNP Paribas Emissions- u 9.000 9/23/2021 EUR 58.200 BNP Paribas Emissions- u 7.500 9/23/2021 EUR 56.690 BNP Paribas Emissions- u 8.500 9/23/2021 EUR 56.770 BNP Paribas Emissions- u 9.500 9/23/2021 EUR 56.850 BNP Paribas Emissions- u 9.000 9/23/2021 EUR 54.850 BNP Paribas Emissions- u 11.000 12/23/2021 EUR 55.740 BNP Paribas Emissions- u 12.000 12/23/2021 EUR 54.940 BNP Paribas Emissions- u 11.000 12/23/2021 EUR 53.530 BNP Paribas Emissions- u 13.000 12/23/2021 EUR 54.190 BNP Paribas Emissions- u 14.000 12/23/2021 EUR 52.980 BNP Paribas Emissions- u 15.000 12/23/2021 EUR 51.860 BNP Paribas Emissions- u 16.000 12/23/2021 EUR 51.270 BNP Paribas Emissions- u 15.000 12/23/2021 EUR 50.060 BNP Paribas Emissions- u 17.000 12/23/2021 EUR 50.720 BNP Paribas Emissions- u 10.000 9/23/2021 EUR 54.920 BNP Paribas Emissions- u 11.000 9/23/2021 EUR 53.170 BNP Paribas Emissions- u 13.000 9/23/2021 EUR 53.330 BNP Paribas Emissions- u 12.000 9/23/2021 EUR 52.100 BNP Paribas Emissions- u 14.000 9/23/2021 EUR 52.250 BNP Paribas Emissions- u 13.000 9/23/2021 EUR 51.070 BNP Paribas Emissions- u 15.000 9/23/2021 EUR 51.230 BNP Paribas Emissions- u 14.000 9/23/2021 EUR 49.580 BNP Paribas Emissions- u 16.000 9/23/2021 EUR 49.740 BNP Paribas Emissions- u 17.000 9/23/2021 EUR 48.340 BNP Paribas Emissions- u 18.000 9/23/2021 EUR 47.490 BNP Paribas Emissions- u 19.000 9/23/2021 EUR 46.670 BNP Paribas Emissions- u 6.500 12/23/2021 EUR 60.680 BNP Paribas Emissions- u 7.500 12/23/2021 EUR 61.010 BNP Paribas Emissions- u 8.500 12/23/2021 EUR 61.340 BNP Paribas Emissions- u 7.000 12/23/2021 EUR 59.440 BNP Paribas Emissions- u 8.000 12/23/2021 EUR 59.770 BNP Paribas Emissions- u 9.000 12/23/2021 EUR 60.100 BNP Paribas Emissions- u 7.500 12/23/2021 EUR 58.270 BNP Paribas Emissions- u 8.500 12/23/2021 EUR 58.600 BNP Paribas Emissions- u 9.500 12/23/2021 EUR 58.930 BNP Paribas Emissions- u 9.000 12/23/2021 EUR 56.860 BNP Paribas Emissions- u 10.000 12/23/2021 EUR 57.190 BNP Paribas Emissions- u 9.500 12/23/2021 EUR 55.240 DZ Bank AG Deutsche Zent 17.800 12/24/2021 EUR 66.160 UBS AG/London 14.000 07/07/2022 USD 67.650 BNP Paribas Issuance BV 5.450 1/14/2022 EUR 72.070 DZ Bank AG Deutsche Zent 10.250 3/23/2022 EUR 63.320 Landesbank Baden-Wuertte 4.050 3/24/2023 EUR 67.000 DZ Bank AG Deutsche Zent 24.200 12/24/2021 EUR 62.320 Leonteq Securities AG/Gu 15.000 4/13/2022 CHF 49.850 BNP Paribas Emissions- u 19.000 12/23/2021 EUR 64.780 BNP Paribas Emissions- u 15.000 9/23/2021 EUR 68.680 BNP Paribas Emissions- u 25.000 9/23/2021 EUR 60.900 Leonteq Securities AG 18.000 04/12/2022 CHF 52.510 Bank Vontobel AG 14.004 09/02/2022 CHF 62.500 Landesbank Baden-Wuertte 3.000 9/23/2022 EUR 54.250 Bank Julius Baer & Co Lt 12.500 12/10/2021 USD 63.800 Vontobel Financial Produ 17.750 12/24/2021 EUR 71.226 Vontobel Financial Produ 18.000 9/24/2021 EUR 73.560 Vontobel Financial Produ 10.500 9/24/2021 EUR 66.590 Leonteq Securities AG/Gu 4.000 4/19/2022 EUR 50.590 Citigroup Global Markets 8.200 3/21/2024 SEK 59.800 Leonteq Securities AG 7.200 9/22/2021 CHF 45.800 SG Issuer SA 11.170 7/20/2025 SEK 61.300 Vontobel Financial Produ 21.000 12/24/2021 EUR 69.410 UniCredit Bank AG 4.300 7/26/2022 EUR 59.510 UniCredit Bank AG 4.200 7/26/2022 EUR 31.920 Bank Julius Baer & Co Lt 15.000 11/12/2021 USD 57.750 DZ Bank AG Deutsche Zent 19.300 12/24/2021 EUR 74.020 UBS AG/London 13.500 05/12/2022 USD 62.050 UniCredit Bank AG 4.250 6/28/2022 EUR 41.520 Societe Generale Effekte 22.750 9/24/2021 EUR 70.810 SecurAsset SA 5.250 6/30/2022 EUR 40.800 SG Issuer SA 4.000 6/22/2026 EUR 71.970 Landesbank Baden-Wuertte 2.650 9/23/2022 EUR 68.500 Vontobel Financial Produ 16.000 12/24/2021 EUR 50.578 Vontobel Financial Produ 17.000 3/25/2022 EUR 72.340 Vontobel Financial Produ 22.500 3/25/2022 EUR 71.100 Vontobel Financial Produ 23.500 3/25/2022 EUR 69.800 UniCredit Bank AG 4.150 7/26/2022 EUR 44.920 Vontobel Financial Produ 9.200 3/23/2022 EUR 72.310 UniCredit Bank AG 4.300 6/28/2022 EUR 70.890 UniCredit Bank AG 3.800 6/28/2022 EUR 57.820 Vontobel Financial Produ 13.250 12/24/2021 EUR 64.486 UBS AG/London 12.250 3/24/2022 CHF 55.850 UBS AG/London 21.250 3/24/2022 USD 68.550 Landesbank Baden-Wuertte 4.850 6/24/2022 EUR 51.790 Vontobel Financial Produ 13.250 12/24/2021 EUR 64.496 Bank Julius Baer & Co Lt 16.000 05/11/2022 EUR 70.900 DZ Bank AG Deutsche Zent 13.100 12/24/2021 EUR 57.500 DZ Bank AG Deutsche Zent 15.000 12/24/2021 EUR 55.210 Vontobel Financial Produ 15.000 12/24/2021 EUR 59.480 Vontobel Financial Produ 20.000 12/24/2021 EUR 57.210 Vontobel Financial Produ 16.000 3/25/2022 EUR 59.490 UniCredit Bank AG 4.200 12/08/2021 EUR 29.880 Landesbank Baden-Wuertte 3.400 11/25/2022 EUR 52.790 Landesbank Baden-Wuertte 3.400 1/27/2023 EUR 57.050 UniCredit Bank AG 5.150 01/02/2023 EUR 53.330 Landesbank Baden-Wuertte 4.000 12/27/2021 EUR 47.810 Landesbank Baden-Wuertte 3.400 2/24/2023 EUR 59.510 Raiffeisen Schweiz Genos 5.000 04/05/2022 CHF 70.830 Corner Banca SA 8.600 10/12/2021 CHF 67.380 UniCredit Bank AG 4.000 11/21/2022 EUR 60.280 Raiffeisen Schweiz Genos 5.700 10/12/2021 CHF 70.120 Landesbank Baden-Wuertte 3.500 1/28/2022 EUR 48.680 UniCredit Bank AG 4.500 1/18/2022 EUR 50.250 UniCredit Bank AG 3.500 2/13/2023 EUR 38.550 Landesbank Baden-Wuertte 2.300 2/25/2022 EUR 58.090 Danske Bank A/S 5.300 7/15/2023 SEK 43.640 Societe Generale SA 4.500 12/29/2022 USD 0.460 Societe Generale SA 4.500 12/29/2022 USD 9.100 Landesbank Baden-Wuertte 2.300 7/22/2022 EUR 58.040 Bayerische Landesbank 2.300 11/26/2021 EUR 55.990 Citigroup Global Markets 7.200 5/24/2023 SEK 49.900 UniCredit Bank AG 3.350 6/14/2022 EUR 49.780 UniCredit Bank AG 4.000 06/07/2022 EUR 70.960 Leonteq Securities AG 5.600 5/16/2022 CHF 57.200 UniCredit Bank AG 7.100 12/24/2021 EUR 73.340 UniCredit Bank AG 9.500 12/24/2021 EUR 71.250 UniCredit Bank AG 11.400 12/24/2021 EUR 64.710 UniCredit Bank AG 6.600 12/24/2021 EUR 64.070 UniCredit Bank AG 7.900 12/24/2021 EUR 70.660 UniCredit Bank AG 10.200 12/24/2021 EUR 42.670 UniCredit Bank AG 8.100 12/24/2021 EUR 56.030 UniCredit Bank AG 7.300 12/24/2021 EUR 59.010 UniCredit Bank AG 10.300 12/24/2021 EUR 68.800 UniCredit Bank AG 6.800 12/24/2021 EUR 51.960 UniCredit Bank AG 6.000 12/24/2021 EUR 55.230 UniCredit Bank AG 6.900 12/24/2021 EUR 62.560 UniCredit Bank AG 8.900 12/24/2021 EUR 67.990 UniCredit Bank AG 7.700 12/24/2021 EUR 72.670 UniCredit Bank AG 5.800 12/24/2021 EUR 66.690 UniCredit Bank AG 8.000 12/24/2021 EUR 58.890 UniCredit Bank AG 8.300 12/24/2021 EUR 70.200 UniCredit Bank AG 6.600 12/24/2021 EUR 71.920 UniCredit Bank AG 5.350 2/27/2023 EUR 49.040 UniCredit Bank AG 5.000 2/22/2022 EUR 71.610 Landesbank Baden-Wuertte 4.800 2/25/2022 EUR 40.390 UniCredit Bank AG 8.600 12/24/2021 EUR 68.190 UniCredit Bank AG 8.000 12/24/2021 EUR 69.190 UniCredit Bank AG 8.100 12/24/2021 EUR 59.350 UniCredit Bank AG 5.800 12/24/2021 EUR 65.630 UniCredit Bank AG 9.400 12/24/2021 EUR 72.250 UniCredit Bank AG 6.400 12/24/2021 EUR 62.310 UniCredit Bank AG 10.500 12/24/2021 EUR 67.820 UniCredit Bank AG 8.500 12/24/2021 EUR 46.700 UniCredit Bank AG 5.600 12/24/2021 EUR 66.130 UniCredit Bank AG 12.300 12/24/2021 EUR 61.900 UniCredit Bank AG 6.900 12/24/2021 EUR 62.270 UniCredit Bank AG 7.700 12/24/2021 EUR 49.170 UniCredit Bank AG 9.100 12/24/2021 EUR 55.810 UniCredit Bank AG 4.800 12/24/2021 EUR 71.630 UniCredit Bank AG 7.500 12/24/2021 EUR 68.340 UniCredit Bank AG 7.900 12/24/2021 EUR 70.930 UniCredit Bank AG 10.200 12/24/2021 EUR 53.080 UniCredit Bank AG 9.600 12/24/2021 EUR 65.890 Landesbank Baden-Wuertte 3.000 12/23/2022 EUR 58.020 Landesbank Baden-Wuertte 3.200 12/23/2022 EUR 67.750 Corner Banca SA 6.200 10/05/2021 CHF 67.270 Landesbank Baden-Wuertte 3.400 2/25/2022 EUR 49.620 Societe Generale SA 1.580 9/16/2024 USD 3.350 Landesbank Baden-Wuertte 4.750 2/25/2022 EUR 40.750 Landesbank Baden-Wuertte 2.850 9/23/2022 EUR 67.940 Erste Group Bank AG 4.350 2/28/2022 EUR 35.400 Leonteq Securities AG/Gu 3.750 2/20/2023 CHF 44.960 Leonteq Securities AG 7.200 9/24/2021 CHF 66.150 UniCredit Bank AG 4.150 10/12/2022 EUR 61.650 DekaBank Deutsche Giroze 2.500 10/22/2021 EUR 62.570 Leonteq Securities AG 7.400 9/28/2021 CHF 66.600 UniCredit Bank AG 4.200 11/21/2021 EUR 53.810 Landesbank Baden-Wuertte 2.500 1/28/2022 EUR 55.820 UniCredit Bank AG 5.350 8/24/2021 EUR 38.520 Landesbank Baden-Wuertte 2.650 12/23/2022 EUR 71.720 EFG International Financ 7.000 10/25/2021 EUR 64.390 UniCredit Bank AG 4.350 10/26/2021 EUR 66.010 Leonteq Securities AG/Gu 4.750 11/01/2021 CHF 8.530 UniCredit Bank AG 4.350 11/21/2021 EUR 53.870 Leonteq Securities AG/Gu 6.400 11/03/2021 CHF 43.980 Landesbank Baden-Wuertte 3.250 12/23/2022 EUR 57.370 EFG International Financ 6.500 10/25/2021 CHF 72.680 Landesbank Baden-Wuertte 3.800 1/28/2022 EUR 44.920 Leonteq Securities AG/Gu 7.200 10/27/2021 CHF 59.880 EFG International Financ 7.000 2/21/2022 CHF 65.190 SG Issuer SA 7.600 1/20/2025 SEK 66.520 DekaBank Deutsche Giroze 3.000 8/27/2021 EUR 70.020 Corner Banca SA 14.200 8/24/2021 USD 3.710 UniCredit Bank AG 7.000 3/29/2022 EUR 65.150 UBS AG/London 9.500 9/13/2021 CHF 70.200 UBS AG/London 8.500 9/13/2021 CHF 70.050 UniCredit Bank AG 4.000 3/13/2022 EUR 71.560 UniCredit Bank AG 9.600 12/27/2021 EUR 71.980 UniCredit Bank AG 4.700 12/19/2021 EUR 29.140 Landesbank Baden-Wuertte 4.100 1/28/2022 EUR 46.100 Landesbank Baden-Wuertte 3.250 2/24/2023 EUR 60.160 Landesbank Baden-Wuertte 3.250 7/28/2023 EUR 66.800 Zurcher Kantonalbank Fin 8.000 5/16/2022 CHF 54.460 DekaBank Deutsche Giroze 5.500 12/03/2021 EUR 74.870 Vontobel Financial Produ 8.750 9/24/2021 EUR 55.383 UniCredit Bank AG 3.200 01/02/2023 EUR 69.700 UBS AG/London 8.500 11/22/2021 EUR 66.050 SG Issuer SA 0.350 11/15/2023 EUR 21.100 Bayerische Landesbank 1.350 12/23/2022 EUR 53.140 Leonteq Securities AG/Gu 7.420 11/22/2021 EUR 49.830 DekaBank Deutsche Giroze 3.700 12/17/2021 EUR 57.450 UBS AG/London 7.250 1/24/2022 CHF 72.300 UBS AG/London 8.000 1/24/2022 CHF 65.050 UBS AG/London 11.250 1/24/2022 CHF 69.000 UBS AG/London 7.000 8/23/2021 EUR 58.700 UBS AG/London 5.500 8/23/2021 CHF 61.500 UBS AG/London 9.000 8/23/2021 EUR 73.500 Landesbank Baden-Wuertte 2.650 3/25/2022 EUR 61.340 Landesbank Baden-Wuertte 5.300 3/25/2022 EUR 53.540 Vontobel Financial Produ 10.500 9/24/2021 EUR 46.530 Vontobel Financial Produ 8.000 9/24/2021 EUR 51.410 Vontobel Financial Produ 18.500 9/24/2021 EUR 57.470 Leonteq Securities AG 3.600 9/22/2026 CHF 54.920 Raiffeisen Schweiz Genos 3.000 9/21/2029 CHF 67.780 DekaBank Deutsche Giroze 3.400 02/04/2022 EUR 67.660 BNP Paribas Issuance BV 7.200 12/17/2024 SEK 71.770 Leonteq Securities AG 9.400 1/13/2022 CHF 70.730 UBS AG/London 7.000 8/30/2021 CHF 58.350 Leonteq Securities AG 11.000 8/30/2021 EUR 73.500 Leonteq Securities AG/Gu 8.150 09/02/2021 CHF 33.810 Landesbank Baden-Wuertte 5.050 10/22/2021 EUR 68.970 Pongs & Zahn AG 8.500 EUR 0.002 Credit Suisse AG/London 6.250 11/28/2025 USD 11.570 UBS AG/London 7.250 09/06/2021 CHF 56.900 EFG International Financ 16.000 10/11/2021 CHF 66.130 UniCredit Bank AG 6.250 11/04/2021 EUR 56.710 DekaBank Deutsche Giroze 4.000 11/05/2021 EUR 54.990 Landesbank Baden-Wuertte 3.600 6/23/2023 EUR 53.110 Leonteq Securities AG 6.600 10/12/2021 CHF 46.730 Landesbank Baden-Wuertte 3.250 8/27/2021 EUR 48.310 Bayerische Landesbank 2.500 7/22/2022 EUR 60.100 Vontobel Financial Produ 16.500 9/24/2021 EUR 36.480 Vontobel Financial Produ 23.000 9/24/2021 EUR 70.830 Vontobel Financial Produ 7.500 9/24/2021 EUR 63.730 Vontobel Financial Produ 9.000 9/24/2021 EUR 61.450 Vontobel Financial Produ 6.500 9/24/2021 EUR 66.260 Vontobel Financial Produ 11.500 9/24/2021 EUR 57.350 Vontobel Financial Produ 10.000 9/24/2021 EUR 59.310 DekaBank Deutsche Giroze 4.150 07/01/2022 EUR 58.620 Societe Generale Effekte 4.500 07/03/2023 EUR 69.510 Zurcher Kantonalbank Fin 6.000 1/28/2022 CHF 72.930 UniCredit Bank AG 8.200 11/26/2021 EUR 70.390 Vontobel Financial Produ 9.200 1/24/2022 EUR 61.550 EFG International Financ 10.400 10/15/2021 EUR 62.150 UBS AG/London 7.000 10/11/2021 CHF 58.350 UBS AG/London 10.000 12/27/2021 CHF 69.050 Leonteq Securities AG/Gu 15.180 12/27/2021 EUR 7.730 City of Predeal Romania 2.985 5/15/2026 RON 61.000 EFG International Financ 13.000 12/27/2021 CHF 6.060 EFG International Financ 11.120 12/27/2024 EUR 55.310 Leonteq Securities AG 11.000 12/20/2021 CHF 71.930 Leonteq Securities AG 11.800 12/20/2021 CHF 72.000 EFG International Financ 12.000 12/31/2021 USD 71.310 Leonteq Securities AG 8.000 12/13/2022 CHF 58.440 Landesbank Baden-Wuertte 5.750 11/26/2021 EUR 70.230 DekaBank Deutsche Giroze 3.600 07/01/2022 EUR 71.990 Leonteq Securities AG/Gu 6.000 11/23/2021 CHF 60.800 Raiffeisen Schweiz Genos 5.500 5/24/2022 CHF 71.210 Rosbank PJSC 0.030 4/30/2024 RUB 65.000 DekaBank Deutsche Giroze 2.400 6/17/2022 EUR 61.330 UBS AG/London 7.750 10/25/2021 EUR 59.250 UBS AG/London 14.250 10/25/2021 CHF 58.800 UBS AG/London 9.250 10/25/2021 CHF 72.050 UBS AG/London 10.000 10/25/2021 CHF 55.400 Landesbank Baden-Wuertte 4.000 11/26/2021 EUR 71.350 Landesbank Baden-Wuertte 2.350 9/23/2022 EUR 57.820 EFG International Financ 5.350 10/24/2022 USD 69.150 DekaBank Deutsche Giroze 3.250 11/25/2022 EUR 60.900 Vontobel Financial Produ 19.500 12/24/2021 EUR 71.904 Vontobel Financial Produ 15.500 12/24/2021 EUR 64.745 DZ Bank AG Deutsche Zent 19.000 12/24/2021 EUR 74.520 Landesbank Baden-Wuertte 2.100 8/27/2021 EUR 46.780 Landesbank Baden-Wuertte 2.150 8/27/2021 EUR 62.260 Landesbank Baden-Wuertte 3.500 8/27/2021 EUR 47.930 Landesbank Baden-Wuertte 3.000 8/27/2021 EUR 66.820 Landesbank Baden-Wuertte 6.250 8/27/2021 EUR 55.080 Landesbank Baden-Wuertte 9.000 8/27/2021 EUR 49.340 DZ Bank AG Deutsche Zent 18.200 9/24/2021 EUR 65.700 DZ Bank AG Deutsche Zent 23.000 9/24/2021 EUR 61.930 DZ Bank AG Deutsche Zent 19.100 12/24/2021 EUR 65.930 DZ Bank AG Deutsche Zent 22.400 12/24/2021 EUR 63.530 DZ Bank AG Deutsche Zent 19.000 3/25/2022 EUR 66.470 Landesbank Baden-Wuertte 3.950 8/27/2021 EUR 52.360 Landesbank Baden-Wuertte 3.500 8/27/2021 EUR 53.190 Landesbank Baden-Wuertte 4.000 8/27/2021 EUR 74.610 Landesbank Baden-Wuertte 5.250 8/27/2021 EUR 68.890 Landesbank Baden-Wuertte 6.500 8/27/2021 EUR 64.000 Landesbank Baden-Wuertte 8.000 8/27/2021 EUR 59.770 Landesbank Baden-Wuertte 2.500 8/27/2021 EUR 73.500 Landesbank Baden-Wuertte 3.750 8/27/2021 EUR 68.570 Landesbank Baden-Wuertte 3.500 8/27/2021 EUR 73.920 UniCredit Bank AG 9.300 10/22/2021 EUR 72.840 Goldman Sachs & Co Wertp 10.000 9/22/2021 EUR 73.080 Goldman Sachs & Co Wertp 10.000 12/22/2021 EUR 71.050 Goldman Sachs & Co Wertp 14.000 9/22/2021 EUR 63.560 Goldman Sachs & Co Wertp 14.000 12/22/2021 EUR 63.970 Goldman Sachs & Co Wertp 16.000 12/22/2021 EUR 61.350 Goldman Sachs & Co Wertp 18.000 9/22/2021 EUR 57.470 Vontobel Financial Produ 10.500 12/24/2021 EUR 55.190 Vontobel Financial Produ 7.000 3/25/2022 EUR 60.060 Vontobel Financial Produ 7.500 12/24/2021 EUR 59.190 Vontobel Financial Produ 12.000 12/24/2021 EUR 53.490 Vontobel Financial Produ 8.000 12/24/2021 EUR 58.030 Vontobel Financial Produ 8.000 3/25/2022 EUR 50.420 Vontobel Financial Produ 7.000 3/25/2022 EUR 49.232 UniCredit Bank AG 6.300 10/16/2021 EUR 33.700 DekaBank Deutsche Giroze 3.900 4/25/2022 EUR 35.620 Vontobel Financial Produ 9.750 9/24/2021 EUR 73.828 Leonteq Securities AG 13.000 05/09/2022 CHF 62.590 UniCredit Bank AG 16.840 03/01/2022 NOK 71.100 Vontobel Financial Produ 9.000 12/24/2021 EUR 62.550 Vontobel Financial Produ 10.000 12/24/2021 EUR 61.430 Vontobel Financial Produ 9.000 3/25/2022 EUR 61.130 Vontobel Financial Produ 15.000 3/25/2022 EUR 56.480 Vontobel Financial Produ 7.500 3/25/2022 EUR 63.710 Leonteq Securities AG/Gu 17.600 03/08/2022 USD 62.990 DZ Bank AG Deutsche Zent 9.000 11/24/2021 EUR 58.760 Corner Banca SA 14.000 05/09/2022 CHF 63.250 UBS AG/London 15.250 2/24/2022 USD 53.200 UBS AG/London 6.500 8/24/2022 CHF 71.650 Vontobel Financial Produ 14.500 9/24/2021 EUR 72.901 DZ Bank AG Deutsche Zent 20.200 9/24/2021 EUR 51.990 SG Issuer SA 7.500 1/20/2025 SEK 64.960 Vontobel Financial Produ 6.700 03/07/2022 EUR 54.200 UniCredit Bank AG 3.250 3/29/2022 EUR 31.680 UniCredit Bank AG 3.600 3/29/2022 EUR 72.560 UniCredit Bank AG 3.750 3/26/2022 EUR 54.830 DekaBank Deutsche Giroze 4.250 4/14/2022 EUR 35.140 Vontobel Financial Produ 12.500 9/24/2021 EUR 56.740 Vontobel Financial Produ 14.000 9/24/2021 EUR 54.270 Vontobel Financial Produ 16.000 9/24/2021 EUR 52.080 Vontobel Financial Produ 18.500 9/24/2021 EUR 50.120 Vontobel Financial Produ 20.500 9/24/2021 EUR 48.310 Vontobel Financial Produ 9.000 12/24/2021 EUR 46.171 UniCredit Bank AG 3.200 09/10/2022 EUR 48.240 Landesbank Baden-Wuertte 2.600 9/24/2021 EUR 56.120 SG Issuer SA 1.400 12/28/2032 EUR 28.820 SG Issuer SA 2.100 01/06/2033 EUR 29.680 SG Issuer SA 1.500 12/30/2032 EUR 48.580 UniCredit Bank AG 10.900 2/16/2022 EUR 68.500 Landesbank Baden-Wuertte 3.000 1/28/2022 EUR 61.610 Landesbank Baden-Wuertte 5.550 1/28/2022 EUR 55.970 Vontobel Financial Produ 9.500 9/24/2021 EUR 60.880 Vontobel Financial Produ 18.500 12/24/2021 EUR 49.620 Vontobel Financial Produ 8.000 12/24/2021 EUR 45.842 DZ Bank AG Deutsche Zent 20.200 3/25/2022 EUR 65.810 Landesbank Baden-Wuertte 5.600 11/26/2021 EUR 62.260 DZ Bank AG Deutsche Zent 12.600 3/25/2022 EUR 74.160 DZ Bank AG Deutsche Zent 16.300 3/25/2022 EUR 69.340 SG Issuer SA 2.100 2/14/2033 EUR 30.770 Societe Generale Effekte 30.000 9/24/2021 EUR 72.460 Societe Generale Effekte 24.750 9/24/2021 EUR 70.340 Bank Julius Baer & Co Lt 7.300 2/22/2022 EUR 73.250 Vontobel Financial Produ 7.500 3/25/2022 EUR 47.417 Landesbank Baden-Wuertte 2.200 1/27/2023 EUR 55.360 Vontobel Financial Produ 19.500 12/24/2021 EUR 55.950 Vontobel Financial Produ 11.000 9/24/2021 EUR 66.620 Vontobel Financial Produ 20.500 9/24/2021 EUR 54.360 Vontobel Financial Produ 22.500 9/24/2021 EUR 52.830 Vontobel Financial Produ 17.500 12/24/2021 EUR 66.570 Vontobel Financial Produ 15.000 9/24/2021 EUR 70.390 Vontobel Financial Produ 16.000 9/24/2021 EUR 69.240 Vontobel Financial Produ 18.000 9/24/2021 EUR 67.070 Vontobel Financial Produ 20.000 9/24/2021 EUR 65.050 Vontobel Financial Produ 22.000 9/24/2021 EUR 63.170 Vontobel Financial Produ 13.000 12/24/2021 EUR 71.430 Vontobel Financial Produ 16.000 12/24/2021 EUR 68.060 Nordea Bank Abp 4.100 7/20/2023 SEK 51.630 Vontobel Financial Produ 21.000 9/24/2021 EUR 72.090 DZ Bank AG Deutsche Zent 10.250 8/25/2021 EUR 44.730 BNP Paribas Emissions- u 0.170 9/23/2021 EUR 0.380 Vontobel Financial Produ 9.500 9/24/2021 EUR 59.270 Vontobel Financial Produ 11.000 9/24/2021 EUR 64.030 Vontobel Financial Produ 9.500 9/24/2021 EUR 66.500 Landesbank Baden-Wuertte 3.100 11/26/2021 EUR 70.420 Vontobel Financial Produ 13.750 9/24/2021 EUR 60.710 Vontobel Financial Produ 11.000 12/24/2021 EUR 46.839 Vontobel Financial Produ 20.500 3/25/2022 EUR 64.760 Landesbank Baden-Wuertte 3.400 8/23/2024 EUR 57.310 Vontobel Financial Produ 17.000 9/24/2021 EUR 68.130 Vontobel Financial Produ 12.000 12/24/2021 EUR 64.590 Vontobel Financial Produ 19.000 9/24/2021 EUR 56.030 Vontobel Financial Produ 17.000 9/24/2021 EUR 57.810 Vontobel Financial Produ 12.500 9/24/2021 EUR 64.150 Vontobel Financial Produ 18.500 12/24/2021 EUR 65.960 Vontobel Financial Produ 13.000 9/24/2021 EUR 72.820 Vontobel Financial Produ 14.000 9/24/2021 EUR 71.580 Vontobel Financial Produ 19.000 9/24/2021 EUR 66.040 Vontobel Financial Produ 21.000 9/24/2021 EUR 64.100 Vontobel Financial Produ 23.000 9/24/2021 EUR 62.280 Vontobel Financial Produ 12.500 12/24/2021 EUR 72.450 Vontobel Financial Produ 11.500 12/24/2021 EUR 73.330 Vontobel Financial Produ 14.000 12/24/2021 EUR 70.620 Vontobel Financial Produ 14.500 12/24/2021 EUR 69.680 Vontobel Financial Produ 15.500 12/24/2021 EUR 68.940 Vontobel Financial Produ 17.000 12/24/2021 EUR 67.390 Vontobel Financial Produ 12.250 9/24/2021 EUR 60.548 Vontobel Financial Produ 11.000 12/24/2021 EUR 57.140 Vontobel Financial Produ 14.500 12/24/2021 EUR 52.790 Vontobel Financial Produ 7.500 12/24/2021 EUR 62.800 Vontobel Financial Produ 8.000 9/24/2021 EUR 43.679 Societe Generale Effekte 7.750 10/22/2021 EUR 65.970 Societe Generale Effekte 11.750 10/22/2021 EUR 58.070 Leonteq Securities AG/Gu 25.000 8/26/2021 USD 6.560 Bank Julius Baer & Co Lt 10.200 5/30/2023 EUR 18.100 Societe Generale SA 4.890 2/16/2023 USD #N/A N/A SG Issuer SA 9.180 1/20/2025 SEK 69.740 Vontobel Financial Produ 20.000 12/24/2021 EUR 47.420 Vontobel Financial Produ 19.000 12/24/2021 EUR 47.820 Vontobel Financial Produ 18.000 12/24/2021 EUR 48.250 Vontobel Financial Produ 15.500 3/25/2022 EUR 65.430 Vontobel Financial Produ 20.000 12/24/2021 EUR 61.150 Vontobel Financial Produ 12.000 12/24/2021 EUR 52.450 Vontobel Financial Produ 14.500 3/25/2022 EUR 66.830 Vontobel Financial Produ 12.000 3/25/2022 EUR 52.420 Vontobel Financial Produ 16.000 3/25/2022 EUR 50.780 Leonteq Securities AG 12.000 02/09/2022 CHF 57.090 Vontobel Financial Produ 12.500 12/24/2021 EUR 51.630 Vontobel Financial Produ 15.500 12/24/2021 EUR 49.870 Vontobel Financial Produ 13.500 12/24/2021 EUR 51.010 Vontobel Financial Produ 14.500 12/24/2021 EUR 50.420 Vontobel Financial Produ 16.500 12/24/2021 EUR 49.360 Vontobel Financial Produ 17.500 12/24/2021 EUR 48.870 Vontobel Financial Produ 14.000 3/25/2022 EUR 51.510 Vontobel Financial Produ 18.000 3/25/2022 EUR 63.290 Vontobel Financial Produ 13.500 3/25/2022 EUR 68.360 Vontobel Financial Produ 17.000 3/25/2022 EUR 64.450 Vontobel Financial Produ 17.500 3/25/2022 EUR 49.910 UBS AG/London 8.750 6/23/2022 CHF 68.400 UniCredit Bank AG 3.500 10/08/2022 EUR 41.420 EFG International Financ 7.600 10/11/2021 CHF 64.250 Bayerische Landesbank 3.100 8/27/2021 EUR 71.820 Vontobel Financial Produ 11.500 9/24/2021 EUR 58.050 Vontobel Financial Produ 10.500 9/24/2021 EUR 59.430 Vontobel Financial Produ 13.000 9/24/2021 EUR 55.450 Vontobel Financial Produ 15.000 9/24/2021 EUR 53.150 Vontobel Financial Produ 17.500 9/24/2021 EUR 51.100 Vontobel Financial Produ 19.500 9/24/2021 EUR 49.190 Vontobel Financial Produ 21.500 9/24/2021 EUR 47.460 DZ Bank AG Deutsche Zent 14.600 9/24/2021 EUR 42.240 Leonteq Securities AG/Gu 3.000 9/20/2022 CHF 73.300 EFG International Financ 7.000 12/29/2022 USD 48.470 UniCredit Bank AG 4.300 8/24/2021 EUR 44.900 UniCredit Bank AG 3.500 9/19/2021 EUR 32.900 UniCredit Bank AG 3.850 9/19/2021 EUR 55.250 Leonteq Securities AG/Gu 8.000 09/01/2021 CHF 66.700 DZ Bank AG Deutsche Zent 16.000 12/24/2021 EUR 69.280 DZ Bank AG Deutsche Zent 14.400 3/25/2022 EUR 71.210 DZ Bank AG Deutsche Zent 16.700 3/25/2022 EUR 68.840 Societe Generale Effekte 8.500 9/24/2021 EUR 59.960 Societe Generale Effekte 10.500 9/24/2021 EUR 56.010 Societe Generale Effekte 14.500 9/24/2021 EUR 50.260 UBS AG/London 9.250 10/21/2022 CHF 73.900 UBS AG/London 17.250 10/21/2021 CHF 63.650 UBS AG/London 12.000 10/21/2021 CHF 66.700 Zurcher Kantonalbank Fin 6.300 12/16/2022 CHF 55.670 Raiffeisen Schweiz Genos 8.500 12/13/2021 CHF 51.640 UBS AG/London 12.000 12/20/2021 CHF 50.300 UBS AG/London 14.000 12/20/2021 CHF 62.600 UBS AG/London 10.250 12/20/2021 CHF 70.450 UBS AG/London 7.000 12/20/2021 CHF 61.600 Leonteq Securities AG/Gu 7.500 12/20/2021 EUR 67.090 Zurcher Kantonalbank Fin 6.250 12/30/2021 EUR 70.650 Bayerische Landesbank 3.500 1/26/2024 EUR 66.780 DekaBank Deutsche Giroze 2.800 1/13/2023 EUR 68.180 DekaBank Deutsche Giroze 4.000 1/14/2022 EUR 56.040 Vontobel Financial Produ 16.500 3/25/2022 EUR 70.560 Vontobel Financial Produ 19.500 3/25/2022 EUR 70.279 Vontobel Financial Produ 11.750 3/25/2022 EUR 73.967 Bank Julius Baer & Co Lt 11.800 4/26/2022 EUR 52.250 Bank Julius Baer & Co Lt 12.650 4/26/2022 USD 52.450 Bank Julius Baer & Co Lt 12.850 4/26/2022 USD 69.850 Leonteq Securities AG/Gu 22.620 12/23/2021 CHF 43.500 Corner Banca SA 17.200 4/26/2022 CHF 64.710 Societe Generale Effekte 5.750 10/22/2021 EUR 72.040 Societe Generale Effekte 9.750 10/22/2021 EUR 61.520 Societe Generale Effekte 13.750 10/22/2021 EUR 55.250 Vontobel Financial Produ 20.000 12/24/2021 EUR 66.590 Bayerische Landesbank 2.000 1/28/2022 EUR 60.420 Vontobel Financial Produ 16.500 12/24/2021 EUR 72.310 Raiffeisen Schweiz Genos 5.000 12/29/2021 CHF 61.910 UniCredit Bank AG 4.450 7/23/2022 EUR 69.360 BNP Paribas Emissions- u 23.000 12/23/2021 EUR 7.860 UBS AG/London 10.500 06/09/2022 CHF 74.350 UBS AG/London 12.250 06/09/2022 CHF 67.750 Landesbank Baden-Wuertte 3.150 6/24/2022 EUR 58.580 BNP Paribas Emissions- u 13.000 9/23/2021 EUR 73.040 BNP Paribas Emissions- u 13.000 6/23/2022 EUR 72.180 BNP Paribas Emissions- u 15.000 6/23/2022 EUR 69.730 BNP Paribas Emissions- u 10.000 12/23/2021 EUR 72.620 BNP Paribas Emissions- u 13.000 12/23/2021 EUR 70.840 BNP Paribas Emissions- u 14.000 12/23/2021 EUR 69.410 BNP Paribas Emissions- u 18.000 12/23/2021 EUR 66.670 BNP Paribas Emissions- u 12.000 9/23/2021 EUR 71.500 BNP Paribas Emissions- u 20.000 9/23/2021 EUR 67.170 BNP Paribas Emissions- u 21.000 9/23/2021 EUR 65.440 BNP Paribas Emissions- u 24.000 9/23/2021 EUR 63.150 BNP Paribas Emissions- u 13.000 3/24/2022 EUR 72.710 BNP Paribas Emissions- u 14.000 3/24/2022 EUR 71.680 BNP Paribas Emissions- u 15.000 3/24/2022 EUR 70.710 BNP Paribas Emissions- u 17.000 3/24/2022 EUR 67.550 BNP Paribas Emissions- u 15.000 12/23/2021 EUR 68.070 BNP Paribas Emissions- u 22.000 12/23/2021 EUR 64.360 BNP Paribas Emissions- u 16.000 9/23/2021 EUR 66.860 Landesbank Baden-Wuertte 2.300 6/24/2022 EUR 49.110 DekaBank Deutsche Giroze 2.800 05/02/2022 EUR 47.050 UBS AG/London 13.250 05/12/2022 USD 63.000 Corner Banca SA 13.000 1/19/2022 CHF 66.460 Leonteq Securities AG/Gu 15.000 1/19/2022 USD 62.510 Leonteq Securities AG/Gu 20.960 1/19/2022 USD 76.890 Vontobel Financial Produ 23.000 9/24/2021 EUR 72.900 Vontobel Financial Produ 12.000 9/24/2021 EUR 61.710 Vontobel Financial Produ 10.000 9/24/2021 EUR 72.083 Societe Generale Effekte 11.250 10/22/2021 EUR 51.840 Vontobel Financial Produ 6.500 12/24/2021 EUR 65.070 Vontobel Financial Produ 8.000 12/24/2021 EUR 61.080 Vontobel Financial Produ 10.000 12/24/2021 EUR 57.810 Vontobel Financial Produ 11.500 12/24/2021 EUR 54.860 Vontobel Financial Produ 14.000 12/24/2021 EUR 52.630 Vontobel Financial Produ 9.000 9/24/2021 EUR 59.220 Vontobel Financial Produ 14.000 9/24/2021 EUR 52.110 Vontobel Financial Produ 11.500 9/24/2021 EUR 55.410 Raiffeisen Centrobank AG 10.000 3/24/2023 EUR 1.000 Corner Banca SA 19.000 5/23/2022 USD 78.040 Landesbank Baden-Wuertte 7.300 3/25/2022 EUR 57.630 Bank Julius Baer & Co Lt 8.500 2/18/2022 EUR 71.500 Landesbank Baden-Wuertte 3.050 3/25/2022 EUR 65.440 Landesbank Baden-Wuertte 5.000 3/25/2022 EUR 61.060 Landesbank Baden-Wuertte 3.500 8/26/2022 EUR 58.990 EFG International Financ 6.200 12/18/2023 USD 55.330 Leonteq Securities AG/Gu 17.000 11/30/2021 USD 71.190 Landesbank Baden-Wuertte 5.450 8/26/2022 EUR 52.970 Credit Suisse AG/London 4.500 3/21/2022 USD #N/A N/A Landesbank Baden-Wuertte 3.000 10/25/2024 EUR 61.180 Vontobel Financial Produ 8.000 12/24/2021 EUR 64.606 EFG International Financ 6.000 12/22/2023 USD 51.470 Leonteq Securities AG 15.000 1/25/2022 CHF 61.740 Vontobel Financial Produ 10.500 3/25/2022 EUR 47.248 UniCredit Bank AG 8.200 2/16/2022 EUR 72.260 Leonteq Securities AG 17.000 11/10/2021 CHF 52.360 EFG International Financ 7.000 3/23/2023 USD 45.420 UBS AG/London 7.500 4/19/2022 EUR 0.030 Vontobel Financial Produ 24.500 12/24/2021 EUR 70.050 Vontobel Financial Produ 12.500 12/24/2021 EUR 62.210 Vontobel Financial Produ 22.500 12/24/2021 EUR 55.930 Vontobel Financial Produ 11.500 3/25/2022 EUR 62.600 Vontobel Financial Produ 23.000 12/24/2021 EUR 67.597 Vontobel Financial Produ 22.000 12/24/2021 EUR 63.260 Vontobel Financial Produ 10.500 12/24/2021 EUR 64.520 Bank Julius Baer & Co Lt 8.800 10/19/2021 CHF 23.464 Vontobel Financial Produ 13.500 3/25/2022 EUR 60.760 Vontobel Financial Produ 7.500 3/25/2022 EUR 67.250 UniCredit Bank AG 17.000 11/15/2021 NOK 55.980 Bank Julius Baer & Co Lt 10.850 10/27/2021 USD 54.300 Leonteq Securities AG/Gu 10.000 4/26/2022 CHF 76.520 Bank Julius Baer & Co Lt 9.000 10/28/2021 USD 54.200 Zurcher Kantonalbank Fin 12.500 11/04/2021 USD 55.240 Corner Banca SA 11.400 10/28/2021 USD 60.920 Landesbank Baden-Wuertte 4.700 4/25/2022 EUR 59.370 Landesbank Baden-Wuertte 7.050 4/25/2022 EUR 55.090 Landesbank Baden-Wuertte 2.700 4/25/2022 EUR 65.110 UBS AG/London 18.250 10/28/2021 CHF 67.800 Bank Vontobel AG 11.500 4/25/2022 USD 65.700 EFG International Financ 6.500 10/29/2021 USD 63.770 Leonteq Securities AG/Gu 10.000 4/29/2022 USD 60.900 Corner Banca SA 15.000 05/02/2022 USD 62.910 Leonteq Securities AG/Gu 28.010 4/19/2022 CHF 43.560 Landesbank Baden-Wuertte 5.750 10/28/2022 EUR 72.000 SG Issuer SA 1.400 03/07/2033 EUR 30.640 SG Issuer SA 2.100 04/05/2033 EUR 30.860 Leonteq Securities AG/Gu 22.520 07/06/2022 CHF 67.050 DZ Bank AG Deutsche Zent 12.900 9/24/2021 EUR 73.830 Credit Suisse AG/London 4.530 07/12/2023 USD 9.630 DZ Bank AG Deutsche Zent 22.400 12/24/2021 EUR 67.450 Landesbank Baden-Wuertte 3.000 12/23/2022 EUR 52.780 DZ Bank AG Deutsche Zent 24.700 12/24/2021 EUR 74.290 DZ Bank AG Deutsche Zent 24.100 3/25/2022 EUR 72.980 UniCredit Bank AG 3.850 10/05/2023 EUR 68.700 DZ Bank AG Deutsche Zent 20.200 9/24/2021 EUR 73.570 DZ Bank AG Deutsche Zent 20.200 12/24/2021 EUR 73.310 DekaBank Deutsche Giroze 2.500 10/24/2023 EUR 56.630 Leonteq Securities AG/Gu 9.200 9/21/2021 EUR 69.160 Leonteq Securities AG/Gu 20.760 6/17/2022 CHF 69.070 DekaBank Deutsche Giroze 2.600 10/24/2023 EUR 56.850 Leonteq Securities AG/Gu 23.690 06/03/2022 CHF 67.050 Corner Banca SA 12.000 6/21/2022 CHF 74.550 Leonteq Securities AG/Gu 12.000 06/08/2022 CHF 69.540 Leonteq Securities AG 16.000 5/25/2022 CHF 69.630 Bank Vontobel AG 13.002 9/19/2022 CHF 73.700 Landesbank Baden-Wuertte 5.000 6/24/2022 EUR 67.360 Credit Suisse AG/London 4.180 9/14/2022 USD 9.800 Credit Suisse AG/London 6.190 9/14/2022 USD 10.000 Leonteq Securities AG/Gu 16.000 06/01/2022 USD 70.790 Leonteq Securities AG/Gu 12.000 6/28/2022 CHF 69.790 Vontobel Financial Produ 9.750 6/24/2022 EUR 72.781 Landesbank Baden-Wuertte 3.300 12/27/2021 EUR 70.160 Landesbank Baden-Wuertte 5.150 12/27/2021 EUR 62.300 Bayerische Landesbank 3.000 2/25/2022 EUR 67.450 Bayerische Landesbank 1.550 2/23/2024 EUR 71.240 Leonteq Securities AG/Gu 12.200 02/07/2022 USD 71.790 UBS AG/London 13.000 2/14/2022 CHF 68.450 UniCredit Bank AG 10.300 12/24/2021 EUR 59.290 BNP Paribas Emissions- u 10.000 9/23/2021 EUR 1.010 Zurcher Kantonalbank Fin 7.000 2/21/2022 CHF 72.760 BNP Paribas Issuance BV 5.000 11/05/2024 EUR 33.520 Raiffeisen Schweiz Genos 7.800 11/22/2021 CHF 57.180 UBS AG/London 7.000 11/29/2021 EUR 60.800 EFG International Financ 9.000 11/29/2021 EUR 72.670 UniCredit Bank AG 6.100 12/24/2021 EUR 69.320 UniCredit Bank AG 11.300 12/24/2021 EUR 56.100 UniCredit Bank AG 9.300 12/24/2021 EUR 62.450 UniCredit Bank AG 10.100 12/24/2021 EUR 60.930 UniCredit Bank AG 6.500 12/24/2021 EUR 72.220 UniCredit Bank AG 7.300 12/24/2021 EUR 70.120 UniCredit Bank AG 8.100 12/24/2021 EUR 68.160 UniCredit Bank AG 10.400 12/24/2021 EUR 53.940 UniCredit Bank AG 10.000 12/24/2021 EUR 41.310 UniCredit Bank AG 10.800 12/24/2021 EUR 40.100 Skandinaviska Enskilda B 6.000 1/15/2025 SEK 72.830 Zurcher Kantonalbank Fin 4.000 02/11/2022 CHF 54.880 Zurcher Kantonalbank Fin 8.125 02/11/2022 EUR 56.040 Zurcher Kantonalbank Fin 9.750 02/11/2022 USD 56.880 Leonteq Securities AG/Gu 9.400 02/04/2022 CHF 65.570 UBS AG/London 13.000 02/07/2022 CHF 67.400 UBS AG/London 10.500 10/18/2021 CHF 59.150 DekaBank Deutsche Giroze 3.200 11/04/2022 EUR 65.540 Societe Generale Effekte 6.500 9/24/2021 EUR 53.120 Societe Generale Effekte 12.500 9/24/2021 EUR 43.340 Societe Generale Effekte 4.500 9/24/2021 EUR 59.520 Raiffeisen Centrobank AG 6.000 10/07/2021 EUR 65.560 UBS AG/London 8.250 9/20/2021 CHF 71.750 Zurcher Kantonalbank Fin 7.750 09/09/2021 EUR 67.610 UBS AG/London 7.000 9/13/2021 CHF 59.300 UBS AG/London 7.750 9/13/2021 EUR 56.000 UBS AG/London 8.500 9/13/2021 EUR 65.300 Landesbank Baden-Wuertte 2.100 10/27/2023 EUR 63.710 Societe Generale SA 13.010 02/02/2023 USD 74.450 EFG International Financ 7.800 1/17/2022 CHF 71.760 Vontobel Financial Produ 9.100 2/21/2022 EUR 64.765 UBS AG/London 10.000 1/17/2022 CHF 76.300 BNP Paribas Emissions- u 5.000 3/24/2022 EUR 67.460 BNP Paribas Emissions- u 4.000 3/24/2022 EUR 72.660 BNP Paribas Emissions- u 10.000 3/24/2022 EUR 6.100 BNP Paribas Emissions- u 7.000 12/23/2021 EUR 57.400 Landesbank Baden-Wuertte 3.500 3/24/2023 EUR 70.560 Zurcher Kantonalbank Fin 10.750 1/21/2022 CHF 53.360 Landesbank Baden-Wuertte 3.250 10/22/2021 EUR 65.860 Landesbank Baden-Wuertte 6.500 10/22/2021 EUR 56.900 DZ Bank AG Deutsche Zent 16.200 9/24/2021 EUR 69.380 DZ Bank AG Deutsche Zent 20.700 9/24/2021 EUR 62.140 Zurcher Kantonalbank Fin 11.250 10/20/2022 USD 64.420 Zurcher Kantonalbank Fin 15.000 10/21/2021 USD 60.940 Societe Generale Effekte 3.750 9/24/2021 EUR 69.410 Vontobel Financial Produ 6.000 12/24/2021 EUR 67.380 Vontobel Financial Produ 11.500 12/24/2021 EUR 56.530 Vontobel Financial Produ 13.500 12/24/2021 EUR 53.940 Societe Generale Effekte 6.500 9/24/2021 EUR 65.280 Societe Generale Effekte 12.500 9/24/2021 EUR 52.860 UniCredit Bank AG 7.000 12/24/2021 EUR 72.640 UniCredit Bank AG 10.000 12/24/2021 EUR 50.620 UniCredit Bank AG 9.100 12/24/2021 EUR 52.970 EFG International Financ 13.000 11/08/2021 EUR 57.280 UBS AG/London 8.250 11/08/2021 CHF 71.050 Bayerische Landesbank 3.000 11/26/2021 EUR 61.650 Leonteq Securities AG 7.500 11/08/2022 CHF 62.530 Vontobel Financial Produ 11.000 9/24/2021 EUR 55.360 Vontobel Financial Produ 13.500 9/24/2021 EUR 52.070 Leonteq Securities AG/Gu 17.450 09/01/2021 EUR 67.810 Leonteq Securities AG/Gu 19.470 09/01/2021 EUR 67.790 Vontobel Financial Produ 10.250 9/24/2021 EUR 42.024 UBS AG/London 10.500 11/15/2021 CHF 67.300 Raiffeisen Schweiz Genos 4.000 11/15/2022 CHF 73.340 Societe Generale Effekte 13.479 12/24/2021 EUR 66.880 UBS AG/London 8.750 9/27/2021 CHF 71.300 UniCredit Bank AG 5.650 11/06/2023 EUR 70.240 Vontobel Financial Produ 12.500 9/24/2021 EUR 53.680 Vontobel Financial Produ 15.000 9/24/2021 EUR 37.318 Vontobel Financial Produ 10.000 9/24/2021 EUR 63.888 Landesbank Baden-Wuertte 3.900 10/22/2021 EUR 55.990 Bayerische Landesbank 3.600 10/28/2022 EUR 69.670 Vontobel Financial Produ 14.000 9/24/2021 EUR 42.670 Vontobel Financial Produ 9.000 9/24/2021 EUR 71.160 Vontobel Financial Produ 11.500 9/24/2021 EUR 66.520 Vontobel Financial Produ 13.000 9/24/2021 EUR 64.470 Vontobel Financial Produ 16.000 9/24/2021 EUR 60.760 Vontobel Financial Produ 17.000 9/24/2021 EUR 59.040 Vontobel Financial Produ 20.000 9/24/2021 EUR 55.990 Leonteq Securities AG/Gu 3.400 3/20/2024 CHF 38.740 Leonteq Securities AG 3.900 9/21/2029 CHF 72.630 Raiffeisen Schweiz Genos 2.700 9/22/2026 CHF 52.140 Leonteq Securities AG 3.900 12/20/2024 CHF 47.760 Leonteq Securities AG/Gu 10.000 7/19/2022 CHF 59.640 UniCredit Bank AG 10.900 12/24/2021 EUR 62.080 UniCredit Bank AG 8.900 12/24/2021 EUR 70.760 UniCredit Bank AG 5.700 12/24/2021 EUR 63.400 UniCredit Bank AG 9.300 12/24/2021 EUR 52.280 UniCredit Bank AG 7.800 12/24/2021 EUR 56.060 UniCredit Bank AG 6.400 12/24/2021 EUR 66.940 UniCredit Bank AG 8.100 12/24/2021 EUR 39.970 UniCredit Bank AG 8.300 12/24/2021 EUR 61.980 UniCredit Bank AG 6.300 12/24/2021 EUR 64.500 UniCredit Bank AG 9.900 12/24/2021 EUR 54.430 UniCredit Bank AG 7.500 12/24/2021 EUR 60.700 UniCredit Bank AG 9.100 12/24/2021 EUR 48.470 UniCredit Bank AG 6.600 12/24/2021 EUR 71.030 UniCredit Bank AG 9.900 12/24/2021 EUR 51.070 UniCredit Bank AG 9.700 12/24/2021 EUR 37.130 UniCredit Bank AG 8.900 12/24/2021 EUR 38.470 UniCredit Bank AG 11.200 12/24/2021 EUR 34.820 UniCredit Bank AG 9.700 12/24/2021 EUR 65.160 UniCredit Bank AG 9.700 12/24/2021 EUR 68.680 UniCredit Bank AG 10.500 12/24/2021 EUR 66.810 UniCredit Bank AG 11.100 12/24/2021 EUR 51.970 UniCredit Bank AG 10.900 12/24/2021 EUR 45.040 UniCredit Bank AG 11.400 12/24/2021 EUR 47.760 UniCredit Bank AG 12.900 12/24/2021 EUR 45.000 UniCredit Bank AG 4.200 12/06/2022 EUR 68.770 UBS AG/London 8.000 11/08/2021 CHF 57.850 Bank Julius Baer & Co Lt 12.000 10/12/2021 USD 58.150 Leonteq Securities AG/Gu 21.000 10/13/2021 USD 65.650 Bank Julius Baer & Co Lt 12.000 10/13/2021 USD 58.100 Societe Generale Effekte 8.500 9/24/2021 EUR 48.880 Societe Generale Effekte 10.500 9/24/2021 EUR 45.780 Vontobel Financial Produ 21.500 9/24/2021 EUR 72.130 Landesbank Baden-Wuertte 3.690 12/23/2022 EUR 71.790 DekaBank Deutsche Giroze 2.000 02/10/2023 EUR 67.670 Raiffeisen Schweiz Genos 7.750 1/27/2022 CHF 75.810 Leonteq Securities AG 8.600 1/24/2023 CHF 72.330 UniCredit Bank AG 10.500 12/24/2021 EUR 57.990 UniCredit Bank AG 10.300 12/24/2021 EUR 58.350 DekaBank Deutsche Giroze 3.500 2/24/2023 EUR 64.540 UniCredit Bank AG 9.000 12/24/2021 EUR 66.380 UniCredit Bank AG 14.600 12/24/2021 EUR 71.700 UniCredit Bank AG 8.300 12/24/2021 EUR 57.250 UniCredit Bank AG 12.500 12/24/2021 EUR 37.990 UniCredit Bank AG 11.700 12/24/2021 EUR 39.010 Leonteq Securities AG 7.200 1/31/2022 CHF 76.000 Bank Julius Baer & Co Lt 10.300 1/31/2022 USD 66.500 Landesbank Baden-Wuertte 4.400 9/23/2022 EUR 52.150 Vontobel Financial Produ 10.500 9/24/2021 EUR 63.990 Leonteq Securities AG/Gu 12.000 11/08/2021 EUR 66.460 Vontobel Financial Produ 11.500 9/24/2021 EUR 61.660 Vontobel Financial Produ 13.000 9/24/2021 EUR 59.560 Vontobel Financial Produ 9.000 9/24/2021 EUR 66.460 Vontobel Financial Produ 14.500 9/24/2021 EUR 57.610 UBS AG/London 8.000 12/06/2021 CHF 69.050 EFG International Financ 9.000 9/20/2021 EUR 60.690 UBS AG/London 7.500 9/20/2021 CHF 55.750 Skandinaviska Enskilda B 4.400 7/15/2022 SEK 71.755 Bayerische Landesbank 3.050 8/27/2021 EUR 74.020 BNP Paribas Emissions- u 9.000 9/23/2021 EUR 1.000 Raiffeisen Schweiz Genos 3.400 3/21/2025 CHF 52.160 EFG International Financ 10.800 12/13/2021 EUR 73.590 UBS AG/London 12.000 12/06/2021 USD 71.050 Leonteq Securities AG/Gu 8.000 12/06/2021 EUR 72.640 Leonteq Securities AG/Gu 7.750 1/17/2022 CHF 71.550 Bayerische Landesbank 2.650 2/25/2022 EUR 71.620 BNP Paribas Emissions- u 6.000 3/24/2022 EUR 63.660 BNP Paribas Emissions- u 5.000 12/23/2021 EUR 66.680 BNP Paribas Emissions- u 7.000 3/24/2022 EUR 58.150 EFG International Financ 15.000 02/03/2022 USD 58.220 UBS AG/London 19.750 02/03/2022 USD 67.650 BNP Paribas Emissions- u 5.000 3/24/2022 EUR 44.570 Raiffeisen Schweiz Genos 3.200 12/18/2026 CHF 64.090 Raiffeisen Schweiz Genos 10.000 12/31/2024 CHF 72.370 Raiffeisen Schweiz Genos 6.600 3/23/2022 CHF 63.030 Vontobel Financial Produ 17.500 9/24/2021 EUR 39.500 Vontobel Financial Produ 8.000 9/24/2021 EUR 73.780 Vontobel Financial Produ 10.500 9/24/2021 EUR 68.780 Vontobel Financial Produ 14.500 9/24/2021 EUR 62.550 Vontobel Financial Produ 13.000 9/24/2021 EUR 53.720 Vontobel Financial Produ 9.500 12/24/2021 EUR 59.550 Vontobel Financial Produ 15.500 12/24/2021 EUR 51.720 UBS AG/London 7.250 10/04/2021 CHF 59.300 DekaBank Deutsche Giroze 3.250 10/15/2021 EUR 68.300 UniCredit Bank AG 7.940 10/04/2021 USD 55.210 Landesbank Baden-Wuertte 7.250 9/24/2021 EUR 51.500 Landesbank Baden-Wuertte 4.500 9/24/2021 EUR 57.640 Vontobel Financial Produ 7.500 12/24/2021 EUR 63.080 Vontobel Financial Produ 8.500 9/24/2021 EUR 61.410 Vontobel Financial Produ 10.500 9/24/2021 EUR 57.260 Vontobel Financial Produ 16.000 9/24/2021 EUR 50.690 Landesbank Baden-Wuertte 2.200 9/24/2021 EUR 65.620 DZ Bank AG Deutsche Zent 9.500 9/22/2021 EUR 49.370 SG Issuer SA 0.850 10/16/2024 EUR 11.950 Vontobel Financial Produ 10.000 11/11/2021 EUR 67.736 DekaBank Deutsche Giroze 3.700 11/25/2022 EUR 55.420 Leonteq Securities AG/Gu 2.290 10/29/2021 EUR 58.990 Landesbank Baden-Wuertte 4.050 8/26/2022 EUR 59.710 Leonteq Securities AG 12.000 10/18/2021 CHF 62.800 Raiffeisen Schweiz Genos 4.400 10/21/2021 CHF 59.100 Vontobel Financial Produ 10.000 11/22/2021 EUR 68.783 DZ Bank AG Deutsche Zent 9.000 2/23/2022 EUR 53.860 Zurcher Kantonalbank Fin 8.000 10/22/2021 EUR 64.510 Bank Julius Baer & Co Lt 9.500 8/26/2021 CHF 54.650 Bank Julius Baer & Co Lt 12.050 3/18/2022 USD 58.300 Bank Julius Baer & Co Lt 17.100 11/10/2021 USD 62.950 Vontobel Financial Produ 28.350 8/26/2021 EUR 59.601 Goldman Sachs & Co Wertp 10.000 3/23/2022 EUR 72.960 Goldman Sachs & Co Wertp 14.000 3/23/2022 EUR 67.070 Goldman Sachs & Co Wertp 10.000 6/22/2022 EUR 73.100 Goldman Sachs & Co Wertp 13.000 6/22/2022 EUR 67.770 Lehman Brothers Treasury 7.000 2/15/2012 EUR 0.100 Lehman Brothers Treasury 0.250 10/19/2012 CHF 0.100 Lehman Brothers Treasury 14.900 9/15/2008 EUR 0.100 Grupo Isolux Corsan SA 1.000 12/30/2021 USD 0.181 Grupo Isolux Corsan SA 6.000 12/30/2021 USD 0.177 Lehman Brothers Treasury 15.000 3/30/2011 EUR 0.100 Lehman Brothers Treasury 4.690 2/19/2017 EUR 0.100 Lehman Brothers Treasury 6.000 2/14/2012 EUR 0.100 Lehman Brothers Treasury 5.200 3/19/2018 EUR 0.100 Lehman Brothers Treasury 6.600 2/22/2012 EUR 0.100 Grupo Isolux Corsan SA 0.250 12/30/2018 EUR 0.181 Lehman Brothers Treasury 7.750 1/30/2009 EUR 0.100 Lehman Brothers Treasury 0.250 7/21/2014 EUR 0.100 Lehman Brothers Treasury 5.750 6/15/2009 CHF 0.100 Lehman Brothers Treasury 10.000 3/27/2009 USD 0.100 Lehman Brothers Treasury 5.000 10/24/2008 CHF 0.100 Lehman Brothers Treasury 7.500 10/24/2008 USD 0.100 Lehman Brothers Treasury 2.000 10/28/2010 EUR 0.100 Lehman Brothers Treasury 3.860 9/21/2011 SGD 0.100 Lehman Brothers Treasury 4.000 4/24/2009 USD 0.100 Lehman Brothers Treasury 9.000 3/17/2009 GBP 0.100 Lehman Brothers Treasury 7.000 11/28/2008 CHF 0.100 SG Issuer SA 2.700 11/28/2034 ZAR 45.052 SG Issuer SA 3.000 10/10/2034 ZAR 47.582 SG Issuer SA 3.300 9/26/2034 ZAR 49.820 Northland Resources AB 15.000 7/15/2019 USD 2.621 Northland Resources AB 15.000 7/15/2019 USD 2.621 AKB Peresvet ZAO 13.000 10/07/2017 RUB 27.750 Ukraine Government Bond 6.000 06/04/2031 UAH 60.625 Ukraine Government Bond 6.000 12/11/2030 UAH 61.593 Ukraine Government Bond 6.000 03/12/2031 UAH 61.089 Ukraine Government Bond 6.000 8/28/2030 UAH 62.216 Lehman Brothers Treasury 6.720 12/29/2008 EUR 0.100 Lehman Brothers Treasury 7.060 12/29/2008 EUR 0.100 Lehman Brothers Treasury 8.000 12/27/2032 JPY 0.100 Lehman Brothers Treasury 1.500 02/08/2012 CHF 0.100 Lehman Brothers Treasury 0.010 9/20/2011 USD 0.100 Northland Resources AB 12.250 3/26/2016 USD 2.621 Heta Asset Resolution AG 5.920 12/31/2023 EUR 1.440 Rosbank PJSC 0.010 4/30/2024 RUB 65.000 Otkritie Holding JSC 0.010 10/03/2036 RUB 0.010 Ukraine Government Bond 8.630 05/10/2033 UAH 72.681 Ukraine Government Bond 6.000 1/27/2027 UAH 72.113 Ukraine Government Bond 8.310 11/10/2034 UAH 69.361 Ukraine Government Bond 6.000 11/22/2028 UAH 66.442 Tonon Luxembourg SA 12.500 5/14/2024 USD 0.399 Ukraine Government Bond 8.520 11/10/2033 UAH 71.545 Ukraine Government Bond 8.220 05/10/2035 UAH 68.375 LBI ehf 5.080 03/01/2013 ISK 9.250 Heta Asset Resolution AG 0.131 12/31/2023 EUR 1.440 Ukraine Government Bond 6.000 9/19/2029 UAH 64.353 Ukraine Government Bond 6.000 9/13/2028 UAH 66.973 Ukraine Government Bond 8.750 11/10/2032 UAH 73.872 Ukraine Government Bond 6.000 10/11/2028 UAH 66.755 Ukraine Government Bond 6.000 5/16/2029 UAH 65.196 Lehman Brothers Treasury 3.500 10/31/2011 USD 0.100 Lehman Brothers Treasury 3.500 10/24/2011 USD 0.100 Lehman Brothers Treasury 6.000 9/20/2011 EUR 0.100 Lehman Brothers Treasury 6.000 5/23/2018 CZK 0.100 Getin Noble Bank SA 5.250 1/31/2024 PLN 63.985 Deutsche Bank AG/London 2.000 10/25/2023 TRY 68.246 MTS-Bank PAO 9.500 10/28/2029 RUB 51.650 Promsvyazbank PJSC 2.500 9/29/2029 RUB 66.680 Lehman Brothers Treasury 3.000 8/13/2011 EUR 0.100 Lehman Brothers Treasury 13.000 7/25/2012 EUR 0.100 Lehman Brothers Treasury 2.500 8/23/2012 GBP 0.100 Lehman Brothers Treasury 3.000 09/12/2036 JPY 0.100 HSBC Bank PLC 0.500 12/22/2025 BRL 63.005 Barclays Bank PLC 1.450 9/24/2038 MXN 30.435 Lehman Brothers Treasury 8.000 10/23/2008 USD 0.100 Lehman Brothers Treasury 14.900 11/16/2010 EUR 0.100 Lehman Brothers Treasury 16.000 10/08/2008 CHF 0.100 Lehman Brothers Treasury 4.600 10/11/2017 ILS 0.100 Elli Investments Ltd 12.250 6/15/2020 GBP 52.250 Lehman Brothers Treasury 3.500 12/20/2027 USD 0.100 Lehman Brothers Treasury 8.050 12/20/2010 HKD 0.100 Lehman Brothers Treasury 5.120 4/30/2027 EUR 0.100 Lehman Brothers Treasury 4.100 8/23/2010 USD 0.100 Lehman Brothers Treasury 12.000 7/13/2037 JPY 0.100 Lehman Brothers Treasury 10.000 06/11/2038 JPY 0.100 BRAbank ASA 7.410 NOK 50.255 Lehman Brothers Treasury 6.600 02/09/2009 EUR 0.100 Lehman Brothers Treasury 6.000 08/07/2013 EUR 0.100 Barclays Bank PLC 2.000 05/07/2036 MXN 36.802 Lehman Brothers Treasury 11.250 12/31/2008 USD 0.100 Lehman Brothers Treasury 14.100 11/12/2008 USD 0.100 HSBC Bank PLC 0.500 11/25/2025 BRL 63.573 Lehman Brothers Treasury 7.625 7/22/2011 HKD 0.100 Cerruti Finance SA 6.500 7/26/2004 EUR 2.058 Lehman Brothers Treasury 7.750 2/21/2016 EUR 0.100 Lehman Brothers Treasury 4.680 12/12/2045 EUR 0.100 Lehman Brothers Treasury 5.250 04/01/2023 EUR 0.100 Lehman Brothers Treasury 13.000 12/14/2012 USD 0.100 Lehman Brothers Treasury 4.820 12/18/2036 EUR 0.100 Lehman Brothers Treasury 6.700 4/21/2011 USD 0.100 Laurel GmbH 7.125 11/16/2017 EUR 7.750 LBI ehf 8.650 05/01/2011 ISK 9.250 Lehman Brothers Treasury 8.875 1/28/2011 HKD 0.100 Rosbank PJSC 0.020 4/30/2024 RUB 65.000 Heta Asset Resolution AG 5.270 12/31/2023 EUR 1.440 Getin Noble Bank SA 4.750 5/31/2024 PLN 62.895 Getin Noble Bank SA 4.250 6/28/2024 PLN 73.675 Lehman Brothers Treasury 6.000 7/28/2010 EUR 0.100 Lehman Brothers Treasury 3.000 08/08/2017 EUR 0.100 Lehman Brothers Treasury 4.150 8/25/2020 EUR 0.100 Lehman Brothers Treasury 6.000 12/06/2016 USD 0.100 Getin Noble Bank SA 5.250 11/30/2023 PLN 69.675 Lehman Brothers Treasury 1.500 10/25/2011 EUR 0.100 Lehman Brothers Treasury 9.000 6/13/2009 USD 0.100 Lehman Brothers Treasury 7.375 9/20/2008 EUR 0.100 Lehman Brothers Treasury 3.850 4/24/2009 USD 0.100 Lehman Brothers Treasury 7.250 10/06/2008 EUR 0.100 Lehman Brothers Treasury 10.500 08/09/2010 EUR 0.100 Lehman Brothers Treasury 8.000 5/22/2009 USD 0.100 Lehman Brothers Treasury 4.500 03/06/2013 CHF 0.100 Instabank ASA 9.200 NOK 48.605 Lehman Brothers Treasury 5.500 6/15/2009 CHF 0.100 Lehman Brothers Treasury 8.000 08/03/2009 USD 0.100 Lehman Brothers Treasury 11.000 6/29/2009 EUR 0.100 Lehman Brothers Treasury 3.025 1/31/2015 EUR 0.100 Lehman Brothers Treasury 0.750 3/29/2012 EUR 0.100 Lehman Brothers Treasury 0.128 11/02/2035 EUR 0.100 Lehman Brothers Treasury 4.500 03/07/2015 EUR 0.100 Espirito Santo Financial 5.625 7/28/2017 EUR 0.528 Lehman Brothers Treasury 2.500 12/15/2011 GBP 0.100 Lehman Brothers Treasury 4.000 11/24/2016 EUR 0.100 Lehman Brothers Treasury 7.585 11/22/2009 MXN 0.100 Lehman Brothers Treasury 11.000 12/19/2011 USD 0.100 Lehman Brothers Treasury 8.500 07/06/2009 CHF 0.100 Lehman Brothers Treasury 4.350 08/08/2016 SGD 0.100 Lehman Brothers Treasury 4.500 08/02/2009 USD 0.100 Lehman Brothers Treasury 7.500 9/13/2009 CHF 0.100 Lehman Brothers Treasury 5.103 6/22/2046 EUR 0.100 Astana Finance BV 9.000 11/16/2011 USD 15.250 Lehman Brothers Treasury 7.000 4/14/2009 EUR 0.100 Lehman Brothers Treasury 6.650 8/24/2011 AUD 0.100 Lehman Brothers Treasury 7.600 03/04/2010 NZD 0.100 Instabank ASA 7.830 02/04/2030 NOK 65.513 Lehman Brothers Treasury 2.000 6/28/2011 EUR 0.100 Lehman Brothers Treasury 0.500 08/01/2020 EUR 0.100 Lehman Brothers Treasury 7.600 5/21/2013 USD 0.100 Lehman Brothers Treasury 10.000 6/17/2009 USD 0.100 Lehman Brothers Treasury 0.500 07/02/2020 EUR 0.100 Lehman Brothers Treasury 7.750 01/03/2012 AUD 0.100 Lehman Brothers Treasury 3.100 06/04/2010 USD 0.100 Lehman Brothers Treasury 5.500 07/08/2013 EUR 0.100 Lehman Brothers Treasury 16.000 12/26/2008 USD 0.100 Lehman Brothers Treasury 0.500 06/02/2020 EUR 0.100 Lehman Brothers Treasury 11.000 07/04/2011 CHF 0.100 Lehman Brothers Treasury 11.000 07/04/2011 USD 0.100 Lehman Brothers Treasury 13.150 10/30/2008 USD 0.100 Lehman Brothers Treasury 13.432 01/08/2009 ILS 0.100 Lehman Brothers Treasury 12.000 07/04/2011 EUR 0.100 Lehman Brothers Treasury 16.800 8/21/2009 USD 0.100 Lehman Brothers Treasury 6.250 09/05/2011 EUR 0.100 BNP Paribas SA 1.000 1/23/2040 MXN 21.884 Lehman Brothers Treasury 5.000 05/02/2022 EUR 0.100 Lehman Brothers Treasury 5.000 4/24/2017 EUR 0.100 Lehman Brothers Treasury 2.480 05/12/2009 USD 0.100 Lehman Brothers Treasury 1.600 6/21/2010 JPY 0.100 Lehman Brothers Treasury 2.400 6/20/2011 JPY 0.100 Lehman Brothers Treasury 2.250 05/12/2009 USD 0.100 Lehman Brothers Treasury 4.000 5/30/2010 USD 0.100 Lehman Brothers Treasury 4.000 5/17/2010 USD 0.100 Lehman Brothers Treasury 3.350 10/13/2016 EUR 0.100 Lehman Brothers Treasury 5.100 05/08/2017 HKD 0.100 Lehman Brothers Treasury 0.800 12/30/2016 EUR 0.100 Lehman Brothers Treasury 7.550 12/29/2008 USD 0.100 Lehman Brothers Treasury 8.800 12/27/2009 EUR 0.100 Lehman Brothers Treasury 6.850 12/22/2008 EUR 0.100 Lehman Brothers Treasury 0.500 12/20/2017 AUD 0.100 Lehman Brothers Treasury 9.300 12/21/2010 EUR 0.100 Lehman Brothers Treasury 1.000 2/26/2010 USD 0.100 Lehman Brothers Treasury 8.000 3/21/2018 USD 0.100 Lehman Brothers Treasury 5.375 02/04/2014 USD 0.100 Lehman Brothers Treasury 10.000 2/16/2009 CHF 0.100 Lehman Brothers Treasury 7.000 2/15/2010 CHF 0.100 Lehman Brothers Treasury 0.500 12/20/2017 AUD 0.100 Lehman Brothers Treasury 6.300 12/21/2018 USD 0.100 Lehman Brothers Treasury 13.000 2/16/2009 CHF 0.100 Lehman Brothers Treasury 11.000 2/16/2009 CHF 0.100 Lehman Brothers Treasury 3.500 6/20/2011 EUR 0.100 Lehman Brothers Treasury 10.000 10/22/2008 USD 0.100 Lehman Brothers Treasury 5.500 6/22/2010 USD 0.100 Lehman Brothers Treasury 10.000 10/23/2008 USD 0.100 Lehman Brothers Treasury 4.200 12/03/2008 HKD 0.100 Getin Noble Bank SA 5.250 04/04/2024 PLN 67.616 Lehman Brothers Treasury 7.500 2/14/2010 AUD 0.100 Lehman Brothers Treasury 13.500 06/02/2009 USD 0.100 Lehman Brothers Treasury 23.300 9/16/2008 USD 0.100 Lehman Brothers Treasury 3.000 06/03/2010 EUR 0.100 Lehman Brothers Treasury 12.400 06/12/2009 USD 0.100 Lehman Brothers Treasury 17.000 06/02/2009 USD 0.100 Lehman Brothers Treasury 10.442 11/22/2008 CHF 0.100 Lehman Brothers Treasury 5.550 03/12/2015 EUR 0.100 Lehman Brothers Treasury 5.000 11/22/2012 EUR 0.100 Lehman Brothers Treasury 8.000 5/22/2009 USD 0.100 Lehman Brothers Treasury 1.000 05/09/2012 EUR 0.100 Lehman Brothers Treasury 16.200 5/14/2009 USD 0.100 Lehman Brothers Treasury 10.600 4/22/2014 MXN 0.100 Lehman Brothers Treasury 5.500 4/23/2014 EUR 0.100 Lehman Brothers Treasury 6.000 3/18/2015 USD 0.100 Lehman Brothers Treasury 11.750 03/01/2010 EUR 0.100 Deutsche Bank AG/London 0.500 04/05/2038 MXN 24.223 Lehman Brothers Treasury 16.000 10/28/2008 USD 0.100 Lehman Brothers Treasury 7.600 1/31/2013 AUD 0.100 Lehman Brothers Treasury 6.600 5/23/2012 AUD 0.100 Lehman Brothers Treasury 3.450 5/23/2013 USD 0.100 Lehman Brothers Treasury 8.000 3/19/2012 USD 0.100 Lehman Brothers Treasury 4.000 03/10/2011 EUR 0.100 Lehman Brothers Treasury 11.000 12/20/2017 AUD 0.100 Lehman Brothers Treasury 11.000 12/20/2017 AUD 0.100 Lehman Brothers Treasury 4.000 01/04/2011 USD 0.100 Lehman Brothers Treasury 0.500 12/20/2017 AUD 0.100 LBI ehf 7.431 USD 0.001 ECM Real Estate Investme 5.000 10/09/2011 EUR 15.375 Lehman Brothers Treasury 1.500 10/12/2010 EUR 0.100 Lehman Brothers Treasury 7.000 10/22/2010 EUR 0.100 Lehman Brothers Treasury 3.400 9/21/2009 HKD 0.100 Lehman Brothers Treasury 4.100 06/10/2014 SGD 0.100 Lehman Brothers Treasury 18.250 10/02/2008 USD 0.100 Lehman Brothers Treasury 4.000 10/12/2010 USD 0.100 Lehman Brothers Treasury 5.200 11/09/2011 EUR 0.100 Lehman Brothers Treasury 1.680 03/05/2015 EUR 0.100 Lehman Brothers Treasury 13.500 11/28/2008 USD 0.100 Lehman Brothers Treasury 6.750 04/05/2012 EUR 0.100 Landesbank Hessen-Thueri 0.650 10/01/2031 EUR 10.074 Lehman Brothers Treasury 16.000 11/09/2008 USD 0.100 Lehman Brothers Treasury 7.000 4/24/2009 USD 0.100 Lehman Brothers Treasury 9.000 05/06/2011 CHF 0.100 Lehman Brothers Treasury 10.000 5/22/2009 USD 0.100 Lehman Brothers Treasury 15.000 06/04/2009 CHF 0.100 Lehman Brothers Treasury 2.500 8/15/2012 CHF 0.100 Lehman Brothers Treasury 2.300 06/06/2013 USD 0.100 Lehman Brothers Treasury 7.500 5/30/2010 AUD 0.100 Lehman Brothers Treasury 7.250 07/08/2014 EUR 0.100 Deutsche Bank AG/London 0.500 10/18/2038 MXN 17.854 Lehman Brothers Treasury 4.000 06/05/2011 USD 0.100 Lehman Brothers Treasury 1.460 2/19/2012 JPY 0.100 Lehman Brothers Treasury 4.300 06/04/2012 USD 0.100 Getin Noble Bank SA 4.250 7/26/2024 PLN 68.715 Sidetur Finance BV 10.000 4/20/2016 USD 1.809 Credit Suisse AG/London 0.500 01/08/2026 BRL 62.179 Getin Noble Bank SA 4.250 8/30/2024 PLN 68.755 Lehman Brothers Treasury 6.000 3/17/2011 EUR 0.100 Lehman Brothers Treasury 4.050 9/16/2008 EUR 0.100 Societe Generale Effekte 6.750 8/27/2021 EUR 66.760 Societe Generale Effekte 12.750 8/27/2021 EUR 54.410 Societe Generale Effekte 6.500 8/27/2021 EUR 60.660 Societe Generale Effekte 14.500 8/27/2021 EUR 46.390 Kuntarahoitus Oyj 0.250 6/28/2040 CAD 40.408 Lehman Brothers Treasury 0.500 2/16/2009 EUR 0.100 Bank Otkritie Financial 0.010 7/16/2025 RUB 73.120 Kreditanstalt fuer Wiede 0.250 10/06/2036 CAD 49.113 RGS Nedvizhimost OOO 12.000 10/18/2017 RUB 0.335 Lehman Brothers Treasury 7.000 07/11/2010 EUR 0.100 Lehman Brothers Treasury 6.000 7/28/2010 EUR 0.100 Lehman Brothers Treasury 4.500 12/30/2010 USD 0.100 Lehman Brothers Treasury 11.000 12/20/2017 AUD 0.100 Lehman Brothers Treasury 0.500 12/20/2017 USD 0.100 Lehman Brothers Treasury 7.600 3/26/2009 EUR 0.100 Lehman Brothers Treasury 8.280 3/26/2009 USD 0.100 Lehman Brothers Treasury 6.000 03/04/2015 USD 0.100 Lehman Brothers Treasury 0.500 12/20/2017 USD 0.100 Lehman Brothers Treasury 0.500 12/20/2017 AUD 0.100 Lehman Brothers Treasury 0.500 12/20/2017 AUD 0.100 Lehman Brothers Treasury 0.500 12/20/2017 USD 0.100 Lehman Brothers Treasury 0.500 12/20/2017 USD 0.100 Lehman Brothers Treasury 8.000 12/31/2010 USD 0.100 Lehman Brothers Treasury 7.150 3/21/2013 USD 0.100 Ukraine Government Bond 8.750 2/16/2033 UAH 74.473 Lehman Brothers Treasury 6.000 6/21/2011 EUR 0.100 Tonon Luxembourg SA 9.250 1/24/2020 USD 1.000 Lehman Brothers Treasury 3.630 03/02/2012 EUR 0.100 Lehman Brothers Treasury 2.000 6/21/2011 EUR 0.100 Ukraine Government Bond 6.000 11/28/2029 UAH 63.887 Ukraine Government Bond 6.000 1/28/2032 UAH 59.415 Ukraine Government Bond 6.000 09/10/2031 UAH 60.116 Lehman Brothers Treasury 4.870 10/08/2013 USD 0.100 Lehman Brothers Treasury 1.950 11/04/2013 EUR 0.100 Lehman Brothers Treasury 2.370 7/15/2013 USD 0.100 Getin Noble Bank SA 5.240 4/29/2024 PLN 63.130 Ukraine Government Bond 8.750 4/20/2033 UAH 73.439 Ukraine Government Bond 5.000 2/20/2032 UAH 53.712 WPE International Cooper 10.375 9/30/2020 USD 5.000 Lehman Brothers Treasury 3.600 3/19/2018 JPY 0.100 Heta Asset Resolution AG 5.030 12/31/2023 EUR 1.440 Irish Bank Resolution Co 4.000 4/23/2018 EUR 33.250 Lehman Brothers Treasury 4.100 5/20/2009 USD 0.100 Lehman Brothers Treasury 2.000 5/17/2010 EUR 0.100 Lehman Brothers Treasury 1.280 11/06/2010 JPY 0.100 Espirito Santo Financial 0.346 10/27/2024 EUR 0.297 Lehman Brothers Treasury 8.600 7/31/2013 GBP 0.100 Lehman Brothers Treasury 4.000 2/28/2010 EUR 0.100 PSN Pm OOO 9.500 09/10/2026 RUB 21.625 Credit Agricole Corporat 5.400 1/31/2028 BRL 70.526 Lehman Brothers Treasury 2.300 6/27/2013 USD 0.100 Aralco Finance SA 10.125 05/07/2020 USD 0.934 Getin Noble Bank SA 5.240 11/09/2023 PLN 74.035 Lehman Brothers Treasury 5.250 11/21/2009 USD 0.100 Officine Maccaferri-SpA 5.750 06/01/2021 EUR 20.490 Mriya Agro Holding PLC 10.950 3/30/2016 USD 4.667 Lehman Brothers Treasury 3.000 9/13/2010 JPY 0.100 Getin Noble Bank SA 5.250 8/31/2023 PLN 73.375 IT Holding Finance SA 9.875 11/15/2012 EUR 0.031 Nota-Bank OJSC 13.500 04/01/2016 RUB 31.500 Lehman Brothers Treasury 8.280 7/31/2013 GBP 0.100 Lehman Brothers Treasury 7.500 7/31/2013 GBP 0.100 Lehman Brothers Treasury 7.320 7/31/2013 GBP 0.100 Lehman Brothers Treasury 3.820 10/20/2009 USD 0.100 Lehman Brothers Treasury 4.000 12/02/2012 EUR 0.100 Lehman Brothers Treasury 9.250 6/20/2012 USD 0.100 Barclays Bank PLC 2.000 06/12/2029 TRY 34.368 AKB Peresvet ZAO 0.510 08/04/2034 RUB 30.200 ********* 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 * * *