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

                          E U R O P E

          Monday, October 4, 2021, Vol. 22, No. 192

                           Headlines



G E R M A N Y

ARAGON HOLDCO: Moody's Assigns B2 CFR & Rates New EUR740MM Loan B2
E-MAC DE 2005-I: Fitch Affirms CC Rating on Class E Debt


I R E L A N D

ANCHORAGE CAPITAL 5: Moody's Assigns (P)B3 Rating to Class F Notes
DILLON'S PARK: Fitch Assigns Final B- Rating on Class F Debt
DILLON'S PARK: S&P Assigns B- Rating on $12MM Class F Notes
TOP DRAWER: Evoestate to Oppose Appointment of Examinership


I T A L Y

ALMAVIVA SPA: S&P Raises ICR to 'B+', Outlook Positive
CEDACRI MERGECO: Fitch Assigns Final 'B' LT IDR, Outlook Stable


L U X E M B O U R G

ELEVING GROUP: Fitch Gives 'B-(EXP)' Rating to New Secured Bonds
EUROPEAN MEDCO 3: S&P Affirms 'B-' ICR on Announced Merger


R U S S I A

ASIAN-PACIFIC BANK: Bankruptcy Prevention Measures Completed


S P A I N

[*] Fitch Hikes Ratings on 10 Tranches of 3 Spanish RMBS Deals


U N I T E D   K I N G D O M

CAFFE NERO: Judge Rejects Landlord's Bid to Overturn CVA
FERGUSON MARINE: Failure to Win Contract a Humiliation, Sarwar Says
JIGSAW: Appoints Beth Butterwick as New Chief Executive Officer
RRE 8 LOAN: S&P Assigns BB- Rating on EUR20MM Class D Notes


X X X X X X X X

[*] BOND PRICING: For the Week September 27 to October 3, 2021
[*] Fitch Puts 13 EMEA RMBS Ratings & Retains 3 Ratings on UCO
[*] Fitch Puts 27 SME CLO and ABS Ratings on Observation

                           - - - - -


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G E R M A N Y
=============

ARAGON HOLDCO: Moody's Assigns B2 CFR & Rates New EUR740MM Loan B2
------------------------------------------------------------------
Moody's Investors Service has assigned a new B2 corporate family
rating and a new B2-PD probability of default rating to Aragon
HoldCo GmbH (Amedes), the new top entity of Amedes's restricted
group. Concurrently, Moody's has assigned a B2 instrument rating to
the proposed EUR740 million senior secured term loan B and a B2
instrument rating to the proposed EUR135 million senior secured
revolving credit facility, issued by Aragon BidCo GmbH, a
subsidiary of Aragon HoldCo GmbH. The outlook on Aragon HoldCo GmbH
and Aragon BidCo GmbH is stable.

The proceeds from the proposed senior secured term loan B along
with EUR775 million equity will be used to finance the acquisition
of Amedes by a consortium consisting of OMERS Infrastructure,
Goldman Sachs Asset Management and AXA IM. It is envisaged that the
Management will own a minority stake.

At the same time, Moody's has withdrawn the B2 CFR and B2-PD PDR on
Antin Amedes Bidco GmbH, the former parent of Amedes. The existing
B2 rating and stable outlook on senior secured term loan B and
revolving credit facility will be withdrawn upon the completion of
the transaction.

Moody's has decided to withdraw the rating for reorganization
reasons.

RATINGS RATIONALE

The rating action balances the re-leveraging effect from the
contemplated transaction, which will increase the gross debt by
around EUR300 million with the strengths of Amedes' business
profile, the defensive demand drivers, its good market positioning
in Germany and Belgium and the resilience of its core business
performance despite COVID-19 related disruptions reflected in high
profitability ratios and a solid free cash flow generation
ability.

Pro forma for the proposed refinancing, Moody's-adjusted
debt/EBITDA would reach 4.6x, based on LTM June 2021 EBITDA up from
around 3.0x as of the same period and including COVID-19 impact and
all recently secured acquisitions. Moody's expects leverage to
increase slightly above 6.0x by the end of 2022 as the positive
effect of the COVID-19 impact normalizes. This will lead to a
weakening of the company's positioning in its current rating
category. However, continued organic growth in the core testing
business is expected to outweigh this effect over the next years,
resulting in leverage metrics well in line with the requirements
for the current rating category.

The rating action also takes into account the current strong
tailwind from COVID-19 testing activities. Amedes recorded 27%
revenue growth in 2020 driven by a strong acceleration of COVID-19
testing activities, mainly PCR testing, during Q3 and Q4. Thanks to
volume effects, the boost from COVID-19 testing translated into
margin expansion from around 20% in 2019 to around 25% in 2020
(Moody's-adjusted EBITDA).

Moody's forecasts Amedes's revenue to grow further in 2021 driven
by a strong contribution from COVID-19 testing. Beyond 2021,
Moody's currently forecasts the exceptional boost from COVID-19
testing to gradually normalize and underlying core organic business
to grow low single digit. The current rating is based on the
expectation that the underlying core organic growth coupled with
bolt-on M&A mainly financed by internally generated cash flow will
drive underlying EBITDA increase and a Moody's adjusted leverage to
slightly above 6.0x by 2022/2023 when COVID-19 revenue will have
normalized. Price pressure has been a credit constraint for the
sector in the past and while European public authorities have put
tariff cuts on hold last year as the sector was seen as
instrumental in the day to day fight against the coronavirus, there
is a risk that pricing pressure could increase over time as
European governments grapple with the cost of supporting their
economies during the pandemic.

Financial policy is a key rating driver for the ratings. M&A has
been a key pillar of Amedes's growth strategy historically. In a
sector continuously subject to tariff cuts, inorganic growth
allowed large networks to achieve economies of scale and efficiency
gains. Business rationale, acquisition multiples and funding will
be key drivers of the ratings of Amedes going forward. In order to
maintain its B2 CFR, Amedes should demonstrate discipline in the
context of its M&A strategy to dilute its financial profile from
elevated purchase prices.

OUTLOOK RATIONALE

The stable outlook reflects Moody's expectation that the operating
environment will remain favorable for the next quarters as the
additional volume from COVID tests will more than offset potential
disruptions on core volume as long as the pandemic persists. The
stable outlook also assumes that the company's will continue
improving the margins of its base business (i.e. excluding COVID),
that M&A strategy will remain measured in terms of size, pace and
acquisition multiple and that funding will not result in a Moody's
adjusted debt / EBITDA higher than what is currently forecasted.

LIQUIDITY

Amedes liquidity is good supported by (1) EUR20 million cash on
balance sheet after closing of the proposed transaction, (2) a new
EUR135 million senior secured revolving credit facility undrawn at
closing with a comfortable covenant headroom, (3) positive free
cash flow expected for the next 12-18 months and (4) long dated
maturities post contemplated refinancing.

STRUCTURAL CONSIDERATIONS

The B2 rating assigned to the EUR740 million senior secured term
loan B and EUR135 million senior secured RCF reflects their pari
passu ranking, with upstream guarantees from material subsidiaries
and collateral comprising essentially share pledges.

The B2-PD PDR, in line with the CFR, reflects Moody's assumption of
a 50% family recovery rate, typical for covenant lite secured loan
structures.

The equity is contributed in the form of a shareholder loan that
complies with Moody's criteria to receive equity credit.

ESG CONSIDERATIONS

Amedes has an inherent exposure to social risks, given the highly
regulated nature of the healthcare industry and its sensitivity to
social pressure related to the affordability of and access to
healthcare services. Governance risks for Amedes include any
potential failure in internal control that could result in a loss
of accreditation or reputational damage and, as a result, could
harm its credit profile. Given its private equity ownership,
Moody's considers that Amedes has a relatively aggressive financial
strategy characterized by a tolerance for high financial leverage
and shareholder-friendly policies such as the pursuit of
debt-financed acquisitions.

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

Positive pressure could arise over time if (1) the Moody's-adjusted
debt/EBITDA falls below 5.0x on a sustained basis; (2) the Moody's
adjusted FCF/debt improves to 10% on a sustained basis.

Downward rating pressure could develop if (1) leverage, as measured
by Moody's-adjusted debt/EBITDA, exceeds 6.0x on a sustained basis;
(2) the Moody's adjusted FCF/debt does not improve to around 5% on
a sustained basis and (3) the company's liquidity deteriorates.

PRINCIPAL METHODOLOGY

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


E-MAC DE 2005-I: Fitch Affirms CC Rating on Class E Debt
--------------------------------------------------------
Fitch Ratings has upgraded E-MAC 2006-I B.V.'s class B notes and
E-MAC DE 2006-II B.V.'s class C notes and affirmed the other
classes of the transactions as well as all tranches of E-MAC 2005-I
B.V.

       DEBT                  RATING           PRIOR
       ----                  ------           -----
E-MAC DE 2006-I B.V

Class B XS0257590876    LT AAAsf  Upgrade     Asf
Class C XS0257591338    LT CCCsf  Affirmed    CCCsf
Class D XS0257592062    LT CCsf   Affirmed    CCsf
Class E XS0257592575    LT CCsf   Affirmed    CCsf

E-MAC DE 2005-I B.V.

Class B XS0221901050    LT AAAsf  Affirmed    AAAsf
Class C XS0221902538    LT BBsf   Affirmed    BBsf
Class D XS0221903429    LT CCCsf  Affirmed    CCCsf
Class E XS0221904237    LT CCsf   Affirmed    CCsf

E-MAC DE 2006-II B.V.

Class B XS0276933859    LT AAAsf  Affirmed    AAAsf
Class C XS0276934667    LT BBBsf  Upgrade     BB-sf
Class D XS0276935045    LT CCsf   Affirmed    CCsf
Class E XS0276936019    LT CCsf   Affirmed    CCsf

TRANSACTION SUMMARY

The transactions are true-sale securitisations of German
residential mortgage loans originated by GMAC-RFC Bank GmbH. Adaxio
AMC GmbH is the transaction's current servicer and the successor to
GMAC-RFC Bank GmbH.

KEY RATING DRIVERS

Swaps Can Support Transactions: The loans are mainly fixed-rate
with some floating-rate loans in the pools. The fixed-rate portion
of the portfolio is swapped with a fixed-rate swap to be paid by
the SPV in exchange for three-month Euribor. Payments on both legs
are made on the asset balance including delinquent loans. Loans are
excluded from the balance after property sale.

On the loan reset dates, the issuer will renew the swap agreement
for all loans that are resetting on that date. The new swap rate
ensures on the relevant day only, a minimum excess margin of 20bp
after fees and expenses to be paid at the top of the interest
priority of payments and after interest from all rated notes.

Fitch has reflected this feature in Fitch's analysis, allowing the
swap cost to adjust to provide coverage for senior payments and
note interest and 20bp excess spread. Fitch assumes the share of
fixed- and floating-rate loans remains constant. Fitch deems this a
reasonable assumption due to economic considerations on the
borrower's side, despite some minor fluctuation in 2005-I and
2006-I over recent years.

Unsecured Recoveries Cover High Costs: The transactions feature
separate waterfalls with no principal borrowing to cover fees and
expenses or note interest. The available interest funds contain a
significant amount of unsecured recoveries. These recoveries help
to cover the high fees and expenses in the interest waterfall.
While the swap will provide some support to cover rising (in
relative terms) transactions costs, Fitch is limiting this effect
by assuming a minimum swap rate of -1%. This means excess spread
can fall below its guaranteed level in Fitch's analysis. This also
addresses risk of excessive dependence on the swap counterparties.

Fitch assumes fees of EUR300,000 plus 0.5% of the collateral
balance annually, well above the typical fees in RMBS. These fees
are lower than the actual fees in more recent payment periods. In
return Fitch does not consider unsecured recoveries as available
interest funds in Fitch's modelling.

The development of senior fees and expenses relative to available
interest funds and most importantly unsecured recoveries is crucial
for ultimate interest payments on senior and mezzanine notes. At
some point, the transactions may need to rely on each of the
liquidity facilities to cover costs and interest. If these are
depleted before the notes are repaid, interest may remain unpaid at
the maturity date of the notes. Fitch has upgraded 2006-I's class B
notes given a further strengthening of overcollateralisation and
better coverage of the liquidity facility for class B interest.
Fitch has also upgraded 2006-II's class C notes. With the repayment
of the class B notes and further amortisation of the class C notes,
the liquidity facility is more likely to cover senior expenses and
class C notes' interest. For 2005-I's class C notes, Fitch notes a
higher sensitivity to increasing senior expenses. Consequently,
Fitch has not upgraded to the model-implied rating.

Junior Notes' Liquidity Drawings Negative for Senior Notes: Without
a principal borrowing mechanism in place, ultimate interest
payments on the notes are fully dependent on enough interest
available funds. Fitch notes that the availability for senior notes
is also dependent on the timing of liquidity drawings and
repayments of drawings made for junior notes' interest. These
repayments could further reduce funds available to make interest
payments of more senior notes. Given the effect of this on
2006-II's class C notes, Fitch has not upgraded to the
model-implied rating.

Increased Credit Enhancement: The transactions are amortising
sequentially and Fitch does not expect a switch to pro-rata given
the severe trigger breaches with regard to the principal deficiency
ledger (PDL), arrears and reserve fund. The class A notes of 2006-I
abd 2006-II repaid in full in August 2020, while 2005-I's class A
notes repaid in full in 2018. Relative credit enhancement for
mezzanine notes has been further increasing since the review in
2020. Principal losses for the class B and C (2005-I); B (2006-I);
and B and C (2006-II) notes are becoming less of a risk. The
ratings are instead dominated more by risks to the coverage of
expenses and note interest.

Junior Notes Undercollateralised: As a result of large losses to
date, the class E notes of 2005-I, class C, D, and E notes of
2006-I and class D and E notes of 2006-II are no longer fully
backed by performing assets. The ratings have been affirmed at
'CCCsf' and below to reflect the high likelihood of principal
losses. Overcollateralisation improved for the class D notes of
2005-I, but are not sufficient in Fitch's modelling to shield
against losses in higher rating scenarios than 'CCC'.

RATING SENSITIVITIES

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

-- Higher fees, expenses and swap costs or lower income from the
    asset portfolio could result in a downgrade of the senior and
    mezzanine notes.

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

-- Repayment of senior and mezzanine notes is highly sensitive to
    the transaction's income versus costs. Lower-than-anticipated
    fees and expenses, higher income from the asset portfolio or
    lower swap costs could result in an upgrade of the notes. This
    affects primarily the class C notes of 2005-I and 2006-II.

-- The ratings of junior notes rated 'CCCsf' and lower are
    sensitive to higher property values realised from foreclosures
    or increasing excess spread. This would limit further PDL
    entries and could reduce the existing balances.

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

As a variation from criteria Fitch applies haircuts of 50% for each
property value. This variation aims at aligning the assumed
recovery rates with recoveries observed.

The application of the variation resulted in model-implied ratings
being up to three notches lower for 2005-I and up to five notches
lower for 2006-II than the model-implied rating using a model
without variation.

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

E-MAC DE 2005-I B.V., E-MAC DE 2006-I B.V, E-MAC DE 2006-II B.V.

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

E-MAC DE 2005-I B.V., E-MAC DE 2006-I B.V and E-MAC DE 2006-II B.V.
have 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 and reflected in originator
adjustments to the foreclosure frequency, 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.




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I R E L A N D
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ANCHORAGE CAPITAL 5: Moody's Assigns (P)B3 Rating to Class F Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Anchorage
Capital Europe CLO 5 DAC (the "Issuer"):

EUR266,600,000 Class A Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

EUR25,800,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

EUR13,400,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned (P)Aa2 (sf)

EUR26,900,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

EUR32,300,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

EUR23,100,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Ba3 (sf)

EUR12,400,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)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 90% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the c.a. 5 month ramp-up period in compliance with the
portfolio guidelines.

Anchorage CLO ECM, L.L.C ("Anchorage") 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 4.7 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.

In addition to the seven classes of notes rated by Moody's, the
Issuer will issue EUR37,500,000 Subordinated Notes due 2034 which
are not rated.

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

Methodology underlying the rating action:

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

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

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

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

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

Par Amount: EUR430,000,000

Diversity Score: 46

Weighted Average Rating Factor (WARF): 3100

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4.75%

Weighted Average Recovery Rate (WARR): 44.0%

Weighted Average Life (WAL): 8.7 years


DILLON'S PARK: Fitch Assigns Final B- Rating on Class F Debt
------------------------------------------------------------
Fitch Ratings has assigned Dillon's Park CLO DAC final ratings.

     DEBT                      RATING              PRIOR
     ----                      ------              -----
Dillon's Park CLO DAC

A XS2388462777            LT AAAsf  New Rating    AAA(EXP)sf
B-1 XS2388462934          LT AAsf   New Rating    AA(EXP)sf
B-2 XS2388463239          LT AAsf   New Rating    AA(EXP)sf
C XS2388463312            LT Asf    New Rating    A(EXP)sf
D XS2388463585            LT BBBsf  New Rating    BBB(EXP)sf
E XS2388464047            LT BBsf   New Rating    BB(EXP)sf
F XS2388463742            LT B-sf   New Rating    B-(EXP)sf
Sub Notes XS2388464393    LT NRsf   New Rating    NR(EXP)sf
X XS2388462421            LT AAAsf  New Rating    AAA(EXP)sf

TRANSACTION SUMMARY

Dillon's Park CLO DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of senior unsecured,
mezzanine, second-lien loans, first-lien, last-out loans and
high-yield bonds. Net proceeds from the issuance of the notes are
being used to fund a portfolio with a target par of EUR400 million.
The portfolio is actively managed by Blackstone Ireland Limited.
The transaction has a 4.5-year reinvestment period and an 8.5-year
weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors in the 'B'/'B-' category. The
Fitch weighted average rating factor (WARF) of the identified
portfolio is 25.5.

High Recovery Expectations (Positive): At least 90% of the
portfolio will comprise senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate (WARR) of the identified portfolio is
62.79%.

Diversified Portfolio (Positive): The transaction includes two
Fitch matrices: (i) one effective at closing corresponding to
top-10 obligor concentration limit at 18%, fixed-rate asset limit
to 10% and 8.5-year WAL and (ii) another one that can be selected
by the manager at any time one year after closing as long as the
portfolio balance (including defaulted obligations at their Fitch
collateral value) is above target par and corresponding to the same
limits of the previous matrix apart from a 7.5-year WAL. The
transaction also includes various concentration limits, including a
maximum exposure to the three-largest Fitch-defined industries in
the portfolio at 40%. These covenants ensure that the asset
portfolio will not be exposed to excessive concentration.

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

Cash Flow Modelling (Neutral): The WAL used for the transaction's
stressed-case portfolio and matrices analysis is 12 months less
than the WAL covenant, to account for structural and reinvestment
conditions after the reinvestment period, including
over-collateralisation (OC) tests and Fitch 'CCC' limitation and
WARF test being passed after reinvestment, among others. This
ultimately reduces the maximum possible risk horizon of the
portfolio when combined with loan pre-payment expectations.

RATING SENSITIVITIES

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

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels
    would result in an upgrade of up to four notches, depending on
    the notes, except for the class X and A notes, which are
    already at the highest rating on Fitch's scale and cannot be
    upgraded.

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

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

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.


DILLON'S PARK: S&P Assigns B- Rating on $12MM Class F Notes
-----------------------------------------------------------
S&P Global Ratings assigned credit ratings to Dillon's Park CLO
DAC's class X, A, B-1, B-2, C, D, E, and F notes. The issuer has
also issued subordinated notes.

The ratings reflect S&P's assessment of:

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

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

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

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

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

  Portfolio Benchmarks
                                                        CURRENT
  S&P weighted-average rating factor                   2,840.27
  Default rate dispersion                                540.86
  Weighted-average life (years)                            5.42
  Obligor diversity measure                              145.25
  Industry diversity measure                              22.72
  Regional diversity measure                               1.28

  Transaction Key Metrics
                                                        CURRENT
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                          B
  'CCC' category rated assets (%)                          4.42
  Actual 'AAA' weighted-average recovery (%)              35.78
  Covenanted weighted-average spread (%)                   3.65
  Covenanted weighted-average coupon (%)                   4.50

Rating rationale

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

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

S&P said, "In our cash flow analysis, we used the EUR396 million
amortizing target par amount, the covenanted weighted-average
spread (3.65%), the reference weighted-average coupon (4.50%), and
covenanted weighted-average recovery rates provided at each rating
level. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

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

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

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

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

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

"Our credit and cash flow analysis shows that the class F notes
benefit from a break-even default rate-scenario default rate
(BDR-SDR) cushion that we would typically consider to be in line
with a lower rating than 'B- (sf)'. However, considering the
long-term annual default rate of 3.1% and the portfolio
weighted-average life of 5.42 years, we believe the class F notes
can sustain the steady-state scenario. We do not consider the class
F notes to be currently vulnerable to non-payment. Therefore,
following the application of our "Criteria For Assigning 'CCC+',
'CCC', 'CCC-', And 'CC' Ratings," published on Oct. 1, 2012, we
have assigned a 'B- (sf)' rating to the class F notes.

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

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

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

Environmental, social, and governance (ESG) 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 certain activities,
including, but not limited to, the following: the end manufacture
or manufacture of intended use components of biological, nuclear,
chemical or similar controversial weapons, anti-personnel land
mines, or cluster munitions; the trade in hazardous chemicals,
pesticides and wastes; ozone-depleting substances; pornography or
prostitution; predatory or payday lending activities; weapons or
firearms; tobacco; and any asset whose activities are violations of
the UNGC Ten Principles. Accordingly, since the exclusion of assets
from these industries does not result in material differences
between the transaction and our ESG benchmark for the sector, no
specific adjustments have been made in our rating analysis to
account for any ESG-related risks or opportunities.'

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

  Ratings List

  CLASS   RATING     AMOUNT     INTEREST RATE (%)   CREDIT
                   (MIL. EUR)                      ENHANCEMENT (%)
  X       AAA (sf)      2.00       3mE + 0.50         N/A
  A       AAA (sf)    245.10       3mE + 1.02       38.73
  B-1     AA (sf)      22.90       3mE + 1.70       28.00
  B-2     AA (sf)      20.00             2.00       28.00
  C       A (sf)       29.00       3mE + 2.05       20.75
  D       BBB (sf)     24.00       3mE + 3.00       14.75
  E       BB- (sf)     20.00       3mE + 6.11        9.75
  F       B- (sf)      12.00       3mE + 8.64        6.75
  Sub     NR           31.21              N/A         N/A

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


TOP DRAWER: Evoestate to Oppose Appointment of Examinership
-----------------------------------------------------------
John Mulligan at Independent.ie reports that an Estonian
crowdfunding platform that loaned EUR1.2 million to a Limerick
construction firm building 16 houses in the county has told
investors the Irish finance company that originated the loans will
oppose the planned appointment of an examiner to the firm.

According to Independent.ie, a deal had previously been struck to
sell the houses to Limerick County Council.

Limerick-based company Top Drawer Developments is the borrower of
the money, Independent.ie discloses.  However, the funds were
originated by Dublin finance firm Property Bridges from the
Estonian peer-to-peer lending platform Evoestate, on behalf of Top
Drawer, Independent.ie notes.




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

ALMAVIVA SPA: S&P Raises ICR to 'B+', Outlook Positive
------------------------------------------------------
S&P Global Ratings raised its issuer and issue credit ratings on
Italian IT services provider Almaviva SpA to 'B+' from 'B'.

S&P said, "The positive outlook reflects our expectation that
Almaviva will maintain adjusted leverage comfortably below 4x and
materially strengthen its FOCF in line with our base case,
supported by solid top-line growth, EBITDA margin improvement, and
prudent capital expenditure (capex) management.

"We believe Almaviva's business profile has strengthened, given the
company's track record of continuous growth, significant margin
improvement, and reduced customer concentration." Healthy IT
services market trends over the last several years, coupled with
the COVID-19 related disruptions that have further increased the
need for digitalization in Italy, have supported Almaviva's solid
performance since we assigned the rating in 2017. Capitalizing on
its leading position as a mission-critical IT services provider to
Italy's domestic transportation, logistics, and public
administration sectors, Almaviva has increased its revenue base to
nearly EUR900 million for the 12 months ended June 30, 2021, from
about EUR750 million in 2017, while adjusted EBITDA margin improved
to about 13% from below 10%. The profitability improvement is
supported by the growth in IT services, the Brazilian CRM business,
and cost-efficiency measures implemented mainly in the domestic CRM
business.

Moreover, Almaviva has managed to diversify its customer base and
thus reduce the risk arising from contracts with only a few big
clients or sectors. In 2016, Almaviva derived 66% of its revenue
from 10 customers while in 2020, this share was down to 46%. The
company also intends to further diversify its international CRM
operations to non-telecommunications clients, which currently
represent about half of the operations in that segment versus about
75% in 2017. S&P said, "Although we still view Almaviva's high
exposure to its biggest customer (21% of total revenues), Gruppo
Ferrovie dello Stato, as a rating constraint, we acknowledge the
significant reduction of concentration in IT services revenue to
31% from 49% from this single client. We anticipate further
customer and sector diversification in the future."

Almaviva benefits from high exposure to public-sector contracts,
which are resilient during the pandemic and expected to benefit
from the EU recovery package. IT services has been relatively
underpenetrated in Italy compared with other European countries
like the U.K., France, Sweden, and Germany. This, coupled with
ongoing digital transformation in all sectors, especially the
public sector, has helped Almaviva expand its revenue. The pandemic
prompted the public sector (central and local administrations) to
invest more in the digitization of public services, with a special
focus on data protection, data analytics, cybersecurity, and border
control--fields where Almaviva is active and a market leader.
Moreover, the government has recently announced that part of
Italy's EUR221 billion share of the EU recovery package will be
used for fully digitalizing public administration, among other
things. S&P said, "We anticipate that Almaviva will greatly benefit
from these funds, given its solid position as the main IT services
provider for the public administration. Almaviva has already signed
EUR715 million of new contracts with the public sector, about
EUR120 million of this in the first half of 2021. Its IT division
also benefitted from a significant increase in contract value, with
new contracts totalling EUR1,258 million signed in the first half
of 2021, up from EUR680 million in first-half 2020. The company
also expects the first set of new tenders with Gruppo Ferrovie
dello Stato will be assigned this year after several delays. We
note that Almaviva was awarded its first tender from this customer,
which covers traffic planning and management, in mid-019."

Almaviva continues to be largely exposed, albeit less so, to the
volatile and unprofitable domestic CRM business. Almaviva has been
facing challenges in its Italian CRM business since 2015, which
represents about 10% of total revenue, leading to consistently
negative EBITDA in this segment. These include a tough competitive
environment and low prices, since telecom operators are
increasingly offshoring business to Albania. Since then, Almaviva
has invested in resources in Romania, rightsizing the business, and
consequently achieved break-even EBITDA in second-quarter 2021. For
the full year 2021, S&P anticipates the European CRM business'
EBITDA will be negative EUR3 million to negative EUR5 million.

S&P said, "We expect Almaviva's FOCF will improve in the next 12-18
months, owing to adjusted EBITDA margin expansion and prudent capex
management. We expect Almaviva's adjusted EBITDA margin will
increase to 13%-14% in 2021-2022, from 11.6% in 2020 and 10.2% in
2019, supported mainly by its IT services and CRM International
segments. We expect the CRM International segment to benefit from
recent acquisitions of new non-telecom clients. This should partly
offset our expectation of a slightly negative contribution from the
domestic CRM operations. We anticipate about EUR20 million-EUR25
million of negative working capital changes in 2021-2022, resulting
from solid top-line growth. Consequently, we expect FOCF after
leases to be below EUR10 million in 2021, before increasing to
EUR20 million-EUR40 million in 2022, while FOCF to debt reaches
about 10% by end of 2022. Almaviva maintains a solid cash position,
which given the company's improved business profile, we now partly
net from debt. As a result of the cash benefit and larger EBITDA
base, we expect S&P Global Ratings-adjusted leverage to decline
below 3.0x in 2021-2022."

Outlook

S&P said, "The positive outlook reflects our view that Almaviva
will expand by 3%-5% in the next 12 months, supported by its IT
services business, offsetting the revenue decline in the European
and international CRM segments. We expect top-line growth coupled
with ongoing cost efficiency plans to result in adjusted EBITDA
margins improving to 13%-14% in 2021 from 12% in 2020, leading to
adjusted EBITDA to debt below 3.0x and FOCF to debt above 10% by
year-end 2022."

Upside scenario

S&P could raise the rating if Almaviva's FOCF improves sustainably
in line with its base case from 2022, as a result of continued
profitability increases and prudent cash flow management, leading
to adjusted FOCF to debt moving toward 10%. An upgrade would also
be contingent on adjusted leverage staying below 4.0x and adequate
liquidity.

Downside scenario

S&P said, "We could revise the outlook to stable if Almaviva's
performance was weaker than anticipated, and its FOCF failed to
improve in line with our base case. This could happen if the CRM
activities experienced further setbacks, requiring Almaviva to
incur large restructuring costs, or if the IT services segment
didn't expand as expected, weighing on EBITDA. Alongside any
adverse foreign exchange impact or rising working capital, this
could hinder the group's ability to generate meaningful FOCF after
leases and reduce FOCF to debt."


CEDACRI MERGECO: Fitch Assigns Final 'B' LT IDR, Outlook Stable
---------------------------------------------------------------
Fitch Ratings has assigned Cedacri Mergeco S.p.A. a final Long-Term
Issuer Default Rating (IDR) of 'B' with a Stable Outlook. Fitch
also assigned a final instrument rating to its senior secured notes
(SSN) of 'B+' with a Recovery Rating of 'RR3'.

The rating actions follow the full implementation of the financial
structure and the receipt of the final contractual arrangements.
Changes to the financial documentation versus the drafts previously
received include an increase in the margin on the senior secured
notes and a different group corporate structure. The impact of the
modifications is not material and does not change Fitch's previous
rating assessment. Current trading figures are in line with Fitch's
rating case.

Cedacri Mergeco is the entity incorporated by the financial
investor ION Group for the leveraged buyout (LBO) of Cedacri S.p.A.
(Cedacri). Cedacri is an Italian provider of software solution,
infrastructure and outsourcing services for the financial sector in
Italy.

KEY RATING DRIVERS

High Leverage: The IDR reflects Cedacri's high expected leverage at
end-2021, with funds from operations (FFO) gross leverage at 8.8x,
due to the LBO debt and the financing of earn-out payments. Fitch
expects this metric to ease to around 7.2x by end-2022, within
Fitch's sensitivities for a 'B' rating. EBITDA growth will be key
to significant deleveraging over the next three to four years,
taking FFO gross leverage to below 6.0x in 2024, Fitch's threshold
for an upgrade to 'B+'. Cedacri's high financial risk is mitigated
by strong free cash flow (FCF) generation from sustained
improvements in EBITDA margin, stable capex requirements and
neutral working-capital changes.

Leadership in Banking Software: Cedacri is a provider of a wide
scope of software and IT services for banks in Italy. Its products
portfolio and relationships with banks in the country make it a
natural IT outsourcing partner from single processes to entire
branch activity. Cedacri excels in regulatory and compliance
related solutions - in this vital function its systems are seen as
the standard for the sector. Through its core banking solutions
(CBS) product, the company is capable of managing all IT functions
of a financial institution. However, Fitch believes that CBS is
suited mainly for small to medium-sized Italian banks and for
Italian branches of foreign institutions.

R&D and Efficiencies Increase EBITDA: Fitch-defined EBITDA margin,
adjusted for the application of IFRS 16 and capitalised R&D costs,
should increase to around 23% in 2023 from around 9% in 2020. This
material margin expansion will be driven mainly by decreases in
one-off R&D expenditure and by a set of operating-efficiency
initiatives. Fitch assumes capitalised R&D expenses will fall to a
yearly average of EUR26 million for 2021-2023 from EUR40 million
for 2018-2020. Fitch also expects the effect of cost cuts to
progressively feed through into EBITDA over the next four years.

Reduction in R&D: Cedacri spent around EUR42 million on capitalised
R&D for 2020, and over EUR120 million for 2018-2020. Fitch believes
these amounts have strong one-off components, mainly related to the
development of a bespoke CBS solution for a new large customer.
These investments have been incurred in the implementation phase of
the contract that, once live, generated strong increase in CBS
sales for 2020. Fitch assumes that R&D will decrease to total
around EUR100 million for the four-year period ending 2024.

Limited CBS Growth: Fitch's revenue assumptions assume 4% CAGR in
CBS services between 2021 and 2024, due to contract inflation and
additional services sold to current customers. Should a new large
customer be added to the CBS platform, Fitch expects R&D to
increase during the implementation phase of the service. Such
increase in expenses will negatively affect margins for about 18 to
24 months from the contract signing.

Operating Savings Initiatives: ION Group and management identified
around EUR50 million of potential cost savings within Cedacri
between procurement, operations and personnel. The new shareholder
believes that, compared with their investment portfolio, Cedacri's
cost structure is heavy on external contracting and IT. Fitch
acknowledges ION Group's record on cost efficiencies but sees high
execution risk in the savings plan. The reduction of Cedacri's
mainly fixed cost base may require more time to deliver to maintain
the current customer service standards. Fitch expects savings to be
phased in over the next four years, up to a total amount of around
EUR35 million.

Recurring Revenues: Most of Cedacri's systems are essential for
orderly daily operations of the company's clients. Over 50% of its
revenues arise from long-term contracts, increasingly delivered
through a software-as-a service (SaaS) model. Overall, about three
quarters of Cedacri's turnover are recurring, while the remainder
is made up of IT projects run on a consultancy basis. The average
yearly cancellation of customer subscriptions for the company is
limited, at low single digits for CBS, mainly driven by mergers and
reorganisations between clients.

Challenges from Customers Consolidation: Fitch expects the
operating environment for banks in Italy to remain challenging in
2021 due to slow economic recovery. Consolidation among banks could
take place, also driven by cost-reduction needs. Cedacri's
contracts include short-term protection against customer cancelling
subscriptions, while a wide product portfolio helps to partially
retain merging customers. However, the concentration in Cedacri's
customer base, with top ten clients accounting for around 50%
revenue, significantly exposes the company to the risk of
consolidation in its customer base.

Technology Risk Present: Cedacri's product proposition aims to
allow banks to realise efficiency gains from the outsourcing of
certain IT activities. The company's growth plan relies on software
being increasingly delivered through hosted services and cloud, as
opposed to traditional deployment. Disruptions to support and
maintenance services as well as to third-party infrastructure may
affect revenue generation as well as its reputation with customers
for reliability.

DERIVATION SUMMARY

Cedacri is strongly positioned in the Italian software and IT
services market for banks. Its business model enables the company
to capitalise on the growth in digital, cloud and the increasing
outsourcing trends within financial institutions. It competes in
Italy with international champions such as Accenture Plc
(A+/Stable) and IBM, as well as with local companies such as
Centurion Bidco S.p.A (Engineering - Ingegneria Informatica S.p.A.
(EII), B+/Stable). Cedacri leads in niches such as regulatory and
compliance software and in full IT outsourcing for small to
medium-sized banks. It is exposed to the risk of consolidation
within its customer base.

Cedacri's ratings are underpinned by a strong market position and
strong FCF generation that are counterbalanced by high leverage. It
compares well with Fitch-rated LBO peers in software services.
These include Project Angel Holdings, LLC (Meridian Link,
B/Stable), EII and, Dedalus SpA (B/Stable). Meridian Link's
business model is similar to Cedacri's as is the capital structure.
Like Cedacri, Meridian Link has a significant cost-saving process
in place, particularly following the acquisition of CRIF and TCI.
Dedalus has comparable leverage with and smaller scale than
Cedacri, but its pan-European footprint in the highly fragmented
healthcare software industry provides it with a stronger anchor to
revenue growth. Cedacri's business model is stronger than EII's,
with the latter being strongly exposed to the consultancy model but
with a less leveraged capital structure.

Fitch sees some comparison also with LBO peers in ERP services
including Teamsystem Holdings SpA (B/Stable) and Bock Capital Bidco
B.V. (B(EXP)/Stable), also active with a SaaS model. These two
peers' leverage and FCF generation are broadly comparable with
Cedacri's. However, Fitch believes that ERP providers' diversified
customer base provides for lower business risk, in particular
Teamsystem, which offers a sophisticated full service offering.

KEY ASSUMPTIONS

-- Revenue growth of 11.5% in 2021 followed by around 5%-6% until
    2024;

-- Annual cost savings of EUR35 million by 2024, with low
    integration costs;

-- R&D costs treated as operating expense, between EUR20 million
    and EUR30 million annually from 2021 to 2024;

-- Limited revenue synergies contributing to a EUR5 million
    increase in EBITDA by 2024.

Key Recovery Assumptions

Our recovery analysis assumes that Cedacri will be considered a
going-concern (GC) in bankruptcy, and that it would be reorganised
rather than liquidated. This is because most of its value lies
within its contract portfolio, incumbent software licenses and
strong client relationships.

Fitch has assumed a 10% administrative claim.

Fitch has assessed GC EBITDA at EUR80 million. Fitch estimates that
at this level of EBITDA, after the undertaking of corrective
measures and the restructuring of its capital structure, Cedacri
would generate zero to slightly positive FCF.

A financial distress leading to a restructuring may be driven by
Cedacri losing part of its customer base and compromising on
pricing to retain clients. In particular, the combination of a wave
of mergers between Italian banks and Cedacri suffering
technological weaknesses within its portfolio may lead to declining
revenue and a contraction in margins. In this case, Cedacri's
capital structure may come under pressure, with increased cost of
debt absorbing remaining FCF headroom.

Fitch applies a recovery multiple of 5.5x, in line with sector
peers' and around the mid-point of Fitch's multiples band for EMEA.
This generates a ranked recovery in the 'RR3' band, after deducting
10% for administrative claims, indicating a 'B+'/'RR3'/52%
instrument rating for the outstanding senior secured debt.

Our estimates of creditor claims include a fully drawn EUR60
million super senior revolving credit facility (RCF) and the EUR650
million SSN

RATING SENSITIVITIES

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

-- FFO gross leverage below 6x, driven by revenue expansion and
    cost-savings initiatives;

-- Cash from operations (CFO) less capex/gross debt at above 10%;

-- FFO interest coverage sustained above 3.5.

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

-- FFO gross leverage above 7.5x, led by lower margins, debt
    funded acquisitions or dividend payments;

-- CFO less capex/gross debt below 5%;

-- FFO interest coverage sustainably below 2.5x;

-- Fitch-defined EBITDA margin remaining below 18%, including
    failure to control R&D and operating expenses;

-- FCF margin below 3%.

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

Fitch views Cedacri's liqudity as temporarily limited at the end of
2021, due to the low amount of available cash on balance sheet at
completion of the LBO and post earn-out payments. However, Fitch
expects liquidity to be satisfactory over the next 12 to 18 months.
The good performance of cash from working capital evidenced by the
current trading is also a mitigant. Fitch assumes EUR20 million
under the EUR60 million RCF will be drawn in 2021 to finance, among
others, certain earn-out payments

ISSUER PROFILE

Cedacri Mergeco is the entity incorporated by the financial
investor ION Group for the leveraged buyout (LBO) of Cedacri S.p.A.
(Cedacri). Cedacri is an Italian provider of software solution,
infrastructure and outsourcing services for the financial sector in
Italy.

Sources of Information

The sources of information used to assess this rating were the
final versions of the debt documents, interim financials and a
conversation with management.

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.




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

ELEVING GROUP: Fitch Gives 'B-(EXP)' Rating to New Secured Bonds
-----------------------------------------------------------------
Fitch Ratings has assigned Eleving Group S.A.'s (Eleving; formerly
Mogo Finance S.A.) proposed bonds an expected senior secured debt
rating of 'B-(EXP)' with a Recovery Rating of 'RR4'.

Eleving plans to raise up to EUR200 million with a five-year
maturity, which will be guaranteed and secured by pledges on the
equity and loan portfolios of its material subsidiaries outside
sub-Saharan Africa and Uzbekistan (about 80% of Eleving's total
assets at end-1H21). The proceeds will be used to prepay its
outstanding EUR100 million bonds due in July 2022 (ISIN
XS1831877755) and to partly refinance its funding from Mintos, a
peer-to-peer (P2P) lending platform. Fitch expects the net impact
on leverage to be minimal (gross debt/tangible equity plus
shareholder loans of 7x at end-1H21).

The final rating is contingent upon the receipt of final documents
conforming to information already received.

KEY RATING DRIVERS

The bonds' rating is equalised with Eleving's Long-Term Issuer
Default Rating (LT IDR), reflecting Fitch's expectation of average
recoveries. While the bonds are secured, they are structurally
subordinated to outstanding debt at operating entities. This leads
to only average recoveries, as reflected in a 'RR4' Recovery
Rating. The proposed bonds are rated at the same level as Eleving's
outstanding bonds due in July 2022, which they will replace.

Fitch affirmed Eleving's LT IDR and removed it from Rating Watch
Negative on August 13, 2021. The affirmation reflected lower
leverage (7x at end-1H21), since Fitch views capitalisation as key
to Eleving's continued access to external funding.

The IDRs of Eleving are driven by its nominal franchise in a
competitive niche, exposure to potentially volatile markets, as
well as high risk appetite and leverage. They also reflect the
largely secured nature of its lending, strong profitability and
adequate experience of its management team. The key rating drivers
for Eleving are outlined detail in Fitch's Rating Action Commentary
published on 13 August 2021.

RATING SENSITIVITIES

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

-- An upgrade of Eleving's Long-Term IDR would likely be mirrored
    in the senior secured bond rating.

-- Higher recovery assumptions due to, for instance, operating
    entity debt falling in importance compared with rated debt
    instruments, could lead to above-average recoveries and Fitch
    to notch up the rated debt from Eleving's Long-Term IDR.

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

-- A downgrade of Eleving's Long-Term IDR would likely be
    mirrored in the senior secured bond rating.

-- Lower recovery assumptions, due for instance to operating
    entity debt increasing in importance relative to rated debt or
    worse-than-expected asset-quality trends (which could lead to
    higher asset haircuts), could lead to below-average recoveries
    and Fitch to notch down the rated debt from Eleving's Long-
    Term IDR.

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

Eleving has an ESG Relevance Score of '4' for both Governance
Structure and Group Structure. Governance Structure reflects a
number of issues around related-party transactions and
concentration of decision-making. Group Structure reflects Fitch's
view about the appropriateness of Eleving's organisational
structure relative to the company's business model, intra-group
dynamics and risks to its creditors. This has a moderately negative
impact on the credit profile and is relevant to the rating in
conjunction with other factors.

Eleving has a ESG Relevance Score of '4' for Customer Welfare,
reflecting Fitch's view that its entry to the high-cost credit
sector means that its business model is sensitive to potential
regulatory changes (such as lending caps) and conduct-related
risks. These issues have a moderately negative impact on the credit
profile and are relevant to the rating in conjunction with other
factors.

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance for Eleving 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 to the way in which they
are being managed by the entity.


EUROPEAN MEDCO 3: S&P Affirms 'B-' ICR on Announced Merger
----------------------------------------------------------
S&P Global Ratings affirmed its 'B-' long-term ratings on European
Medco Development 3 S.a.r.l. (doing business as PharmaZell) with a
stable outlook.

S&P said, "We expect the transaction to be mostly credit neutral.
PharmaZell recently announced that it had entered exclusive
negotiations to combine its business with the CDMO division of
Novasep. PharmaZell has not announced its ultimate financing plan
for this transaction, but we understand that the sponsor is
expected to contribute the equity portion for this transaction and
management is currently reviewing its capital structure.
Nevertheless, we expect PharmaZell's credit measures to remain in
line with our parameters for the current rating. We will reassess
the transaction as additional information becomes available.

"The transaction will add scale and revenue diversity for
PharmaZell, but it likely will come with some risks. The combined
entity's estimated revenue generation will be EUR500 million with
10 production facilities across Europe, Asia, and the U.S. We note
that the CDMO Division of Novasep's expertise in the manufacture of
complex active pharmaceutical ingredients (APIs) will complement
PharmaZell's, which primarily focuses on production of small
molecule APIs for generic pharmaceutical companies; hence, the
combination could strengthen PharmaZell's market positioning.
Nevertheless, we see some risks in the integration and transition
of the CDMO Division of Novasep into the group, potential one-off
costs which further add to the uncertainties as regards the group's
cash flow generation.

"The stable outlook reflects our view that PharmaZell will report
continued EBITDA growth, underpinned by volume growth in its core
products, its increasing product offering, and sustained strong
market share in regulated markets, leading to gradual deleveraging.
We forecast the group's adjusted debt to EBITDA will be 7.0x-8.0x
in 2022-2023. At the same time, we expect free operating cash flow
(FOCF) to be neutral to slightly negative in 2021-2022, due to the
company's capital spending plans.

"We could lower the ratings if PharmaZell's performance deviated
materially from our base case, such that we deemed the capital
structure to be unsustainable and FOCF turned negative on a
sustainable basis. This could happen if the proposed acquisition of
the CDMO Division of Novasep is primarily funded by new debt, if
management failed to successfully executee the integration and to
deliver the anticipated synergies, and if there were unexpected
operational issues.

"We could raise the rating if PharmaZell significantly increased
the scale and diversity of its product offerings without hindering
its credit metrics. Ratings upside could also emerge if the company
generated sizable recurring positive FOCF that would enable the
company to withstand any unforeseen negative events, such as
pressure on profitability, greater working capital outflow, or an
increase in interest rates."




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

ASIAN-PACIFIC BANK: Bankruptcy Prevention Measures Completed
------------------------------------------------------------
The Bank of Russia Board of Directors has made the decision to
complete the implementation of the measures taken to prevent the
bankruptcy of JSC Asian-Pacific Bank (Registration No. 1810)
(hereinafter, the Bank).  The measures stipulated by the Plan for
the Bank of Russia's Participation in Bank Bankruptcy Prevention
Measures (hereinafter, the anti-bankruptcy plan) have been
accomplished.  The period for the implementation of the
anti-bankruptcy plan has ended.  Accordingly, the effective period
of the decision to guarantee the continuity of the Bank's
operations terminates.

The anti-bankruptcy measures have helped ensure the continuity of
the Bank's operation to provide services to its clients, create
loan loss provisions in the amount necessary to cover current and
potential risks, and restore the Bank's financial stability.
Today, the Bank is compliant with all the requirements established
by the Bank of Russia for financial stability and solvency.
Therefore, the Bank of Russia will start to apply common
supervision in relation to the Bank.

By November 1, 2021, the title to the Bank's shares will be
transferred to the new owner LLP Pioneer Capital Invest, the winner
in the auction held on September 17, 2021 to sell 100% of the
Bank's shares previously owned by the Bank of Russia.




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

[*] Fitch Hikes Ratings on 10 Tranches of 3 Spanish RMBS Deals
--------------------------------------------------------------
Fitch Ratings, on September 29, 2021, upgraded 10 tranches of three
Spanish Madrid RMBS transactions and affirmed the others. Fitch has
also affirmed all tranches of GAT ICO RMBS transaction. Fitch has
removed five Madrid RMBS tranches from Rating Watch Positive (RWP).
All Outlooks are Stable.

       DEBT                  RATING            PRIOR
       ----                  ------            -----
Madrid RMBS II, FTA

Class A2 ES0359092014    LT A+sf   Upgrade     A-sf
Class A3 ES0359092022    LT A+sf   Upgrade     A-sf
Class B ES0359092030     LT Asf    Upgrade     BBBsf
Class C ES0359092048     LT BBsf   Upgrade     BB-sf
Class D ES0359092055     LT B-sf   Affirmed    B-sf
Class E ES0359092063     LT CCsf   Affirmed    CCsf

Madrid RMBS III, FTA

Class A2 ES0359093012    LT A+sf   Upgrade     A-sf
Class A3 ES0359093020    LT A+sf   Upgrade     A-sf
Class B ES0359093038     LT BB+sf  Affirmed    BB+sf
Class C ES0359093046     LT BB-sf  Upgrade     Bsf
Class D ES0359093053     LT CCsf   Affirmed    CCsf
Class E ES0359093061     LT Csf    Affirmed    Csf

Madrid RMBS I, FTA

Class A2 ES0359091016    LT A+sf   Upgrade     A-sf
Class B ES0359091024     LT A-sf   Upgrade     BBBsf
Class C ES0359091032     LT BB-sf  Upgrade     B+sf
Class D ES0359091040     LT CCCsf  Affirmed    CCCsf
Class E ES0359091057     LT CCsf   Affirmed    CCsf

GAT ICO-FTVPO 1, FTH

AG ES0341068007          LT AAAsf  Affirmed    AAAsf
B (CA) ES0341068015      LT AAAsf  Affirmed    AAAsf
B (CM) ES0341068023      LT AAAsf  Affirmed    AAAsf
B (CP) ES0341068031      LT AAAsf  Affirmed    AAAsf
B (CT) ES0341068049      LT AAAsf  Affirmed    AAAsf
C (CA) ES0341068056      LT Asf    Affirmed    Asf
C (CM) ES0341068064      LT Asf    Affirmed    Asf
C (CP) ES0341068072      LT Asf    Affirmed    Asf
C (CT) ES0341068080      LT Asf    Affirmed    Asf

TRANSACTION SUMMARY

The transactions comprise fully amortising residential mortgages
serviced by Banco Bilbao Vizcaya Argentaria, S.A. (BBB+/Stable/F2)
and Banco de Sabadell, S.A. (BBB-/Stable/F3) for GAT ICO and
serviced by Caixabank, S.A. (BBB+/Stable/F2) for Madrid 1, 2 and 3.
For GAT ICO, the transaction is linked to subsidised mortgages
granted to low-income borrowers fulfilling stated eligibility
criteria.

KEY RATING DRIVERS

Stable Performance, Removal of Additional Stresses: The rating
actions reflect the broadly stable asset performance outlook driven
by the low share of loans in payment holiday schemes, the low share
of loans in arrears over 90 days and the improved macro-economic
outlook for Spain as described in Fitch's latest Global Economic
Outlook dated September 2021. The upgrades of Madrid 1's class A2,
B and C notes are not attributable to the retirement of the
Coronavirus Additional Stress Scenario.

The upgrades of Madrid 2 and 3's notes are supported by the
retirement of the additional stresses in relation to the
coronavirus outbreak and legal developments in Catalonia as
announced on 22 July 2021.

Counterparty Risks Cap Some Ratings: GAT ICO's class C notes'
rating is capped at 'Asf', equivalent to the SPV account bank
provider's deposit rating (Societe Generale, A/Stable/F1). The
rating cap reflects the excessive counterparty dependency on the
SPV account bank holding the cash reserve, as the sudden loss of
these funds could imply a downgrade of 10 or more notches of the
notes in accordance with Fitch's criteria.

For Madrid 1, 2 and 3, the notes are capped at 'A+sf' because the
reserve funds are not expected to provide long-term coverage of
payment interruption risk and could be depleted by losses. The
reserve for Madrid 3 is currently fully depleted.

Fitch views the risk of not making timely payments to noteholders
following a disruption of collection processes as sufficiently
mitigated up to 'A+sf', despite the absence of dedicated liquidity
facilities and the cash reserves having been depleted by losses.
This is in line with Fitch's Structured Finance and Covered Bonds
Counterparty Rating Criteria for notes rated up to 'A+sf', as the
collection account bank and servicer rating (Caixabank) is at least
'BB-sf' and within a five-notch distance to the highest note
ratings and the transfer of collected funds is made to the SPV bank
account within two business days. Additionally, the depleted cash
reserves have led to a switch to sequential amortisation, which
Fitch does not expect to be reversed.

Interest Deferral Risk: Interest are currently being deferred for
all classes of notes except class A for Madrid 3. This follows the
breach of a gross cumulative default trigger. Where notes defer (or
are expected to defer) interest for prolonged periods, the rating
is capped at 'BB+sf'. This constrains Madrid 3's class B notes'
rating. Madrid 1 and 2 might also be exposed to this risk but
deferrals are not expected for these transactions.

Geographical Concentration: The Madrid 1, 2 and 3 portfolios are
highly exposed to the region of Madrid. For GAT ICO, the portfolio
is highly exposed to the regions of Catalonia and Extremadura. To
address regional concentration risk, Fitch has applied higher
rating multiples to the base foreclosure frequency (FF) assumption
to the portion of the portfolios that exceeds 2.5x the population
within these regions, in line with Fitch's European RMBS Rating
Criteria.

Low Take-up on Payment Holidays: For Madrid 1, 2 and 3, Fitch does
not expect the Covid-19 emergency support measures introduced by
the Spanish government and banks for vulnerable borrowers to
negatively affect the SPVs' liquidity. This is due to low take-ups
of payment holidays of the current portfolio balances as of
September 2021. Additionally, high portfolio seasoning of about 15
years, and the predominant share of floating-rate loans benefiting
from the current low interest rates are strong mitigating factors
against macroeconomic uncertainty.

ESG Score: Madrid 1, Madrid 2 and Madrid 3 have an ESG Relevance
Score of '5' for "Transaction and Collateral Structure" due to the
ratings being capped at 'A+sf' as payment interruption risk is not
sufficiently mitigated. This is because the reserve funds are well
below target (so there is a risk of liquidity shortfall in case of
servicer default), which has a negative impact on the credit
profile, and is relevant to the ratings in conjunction with other
factors.

RATING SENSITIVITIES

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

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

-- For GAT ICO's class A and B notes, a downgrade of Spain's
    Long-Term Issuer Default Rating (IDR) that could decrease the
    maximum achievable rating for Spanish structured finance
    transactions. This is because these notes are capped at the
    'AAAsf' maximum achievable rating in Spain, six notches above
    the sovereign IDR.

-- For GAT ICO's class C notes, a downgrade of the SPV account
    bank's long-term deposit rating could trigger a corresponding
    change to the notes' rating. This is because the notes' rating
    is capped at the bank's rating, given the excessive
    counterparty risk exposure.

-- For Madrid 1, 2 and 3, a downgrade of the collection account
    bank and servicer below 'BB-', more than five notches between
    the collection account bank and servicer rating and the
    highest notes' ratings and transfer of collected funds to the
    SPV bank account not being made within two business days.

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

-- CE ratios increase as the transactions deleverage, able to
    fully compensate the credit losses and cash flow stresses
    commensurate with higher rating scenarios, all else being
    equal.

-- For GAT ICO's class C notes, an upgrade of the SPV account
    bank's long-term deposit rating could trigger a corresponding
    change to the notes' rating. This is because the notes rating
    is capped at the bank's rating given the excessive
    counterparty risk exposure.

-- For Madrid 1, 2 and 3 improved liquidity protection against a
    servicer disruption event. This is because the ratings are
    capped at 'A+sf', driven by unmitigated payment interruption
    risk.

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

GAT ICO-FTVPO 1, FTH, Madrid RMBS I, FTA, Madrid RMBS II, FTA,
Madrid RMBS III, FTA

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

Fitch did not undertake a review of the information provided about
the underlying asset pool[s] ahead of the transaction's [GAT
ICO-FTVPO 1, FTH, Madrid RMBS I, FTA, Madrid RMBS II, FTA, Madrid
RMBS III, FTA] initial closing. The subsequent performance of the
transaction[s] over the years is consistent with the agency's
expectations given the operating environment and Fitch is therefore
satisfied that the asset pool information relied upon for its
initial rating analysis was adequately reliable.

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

GAT ICO, class C notes are capped at the level of the SPV account
bank deposit rating due to Excessive Counterparty Exposure.

ESG CONSIDERATIONS

Madrid RMBS I, FTA has an ESG Relevance Score of '5' for
Transaction & Collateral Structure due to {DESCRIPTION OF
ISSUE/RATIONALE}, which has a negative impact on the credit
profile, and is highly relevant to the rating, resulting in {an
implicitly lower/higher rating or outlook/watch or cite specific
change(s) to the rating/outlook/watch: stable from positive, stable
from negative, one notch downgrade, etc.}.

Madrid RMBS II, FTA has an ESG Relevance Score of '5' for
Transaction & Collateral Structure due to {DESCRIPTION OF
ISSUE/RATIONALE}, which has a negative impact on the credit
profile, and is highly relevant to the rating, resulting in {an
implicitly lower/higher rating or outlook/watch or cite specific
change(s) to the rating/outlook/watch: stable from positive, stable
from negative, one notch downgrade, etc.}.

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




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

CAFFE NERO: Judge Rejects Landlord's Bid to Overturn CVA
--------------------------------------------------------
Dominic Walsh at The Sunday Times reports that a High Court judge
has dismissed an attempt to overturn the restructuring of Caffe
Nero, in a ruling that in effect kills off the takeover hopes of
Mohsin and Zuber Issa.

According to The Sunday Times, a challenge to the coffee shop
chain's company voluntary arrangement was denied by Mr. Justice
Green, who rejected all allegations of "material irregularity and
unfair prejudice".

The challenge was brought by Ronald Young, a Nero landlord who
received financial support for his case from the Issa brothers, who
recently acquired the Asda supermarket chain, The Sunday Times
discloses.  EG Group, the brothers' main holding company, had
launched a bid to take over the coffee chain just before the CVA
vote last November, The Sunday Times recounts.


FERGUSON MARINE: Failure to Win Contract a Humiliation, Sarwar Says
-------------------------------------------------------------------
BBC News reports that the failure of Scotland's state-owned
shipyard Ferguson Marine to compete for a Scottish ferry building
contract is an "international humiliation", Scottish Labour leader
Anas Sarwar has claimed.

It was announced that Ferguson Marine had failed to make the
shortlist to build the two ferries, BBC recounts.

The Scottish government took the shipbuilder into public ownership
in 2019 to avoid its collapse, BBC relates.

According to BBC, Anas Sarwar said "complacency and ineptitude"
were to blame.

Firms from Turkey, Romania and Poland are now in contention for the
contracts to build the ferries, which will serve the islands of
Islay and Jura, BBC states.

Speaking during First Minister's Questions at Holyrood, Mr. Sarwar
challenged Scottish politician Nicola Sturgeon to explain "how a
Scottish yard, supporting Scottish jobs and owned by the Scottish
government failed to even make the shortlist to build Scotland's
ferries", BBC relays.

He added: "The truth is that the failure to deliver these ferries
are the result of complacency and ineptitude on the part of this
SNP government.

"That this Scottish government-owned company can't win a Scottish
government contract to build ships is a national scandal that is
now an international humiliation.

"The only thing the SNP are good at manufacturing is grievance."

Ms. Sturgeon argued that Ferguson "is on a journey back to
recovery" and its focus is on the two other heavily delayed ferries
that are still being built there, BBC discloses.

She said her government had safeguarded hundreds of shipbuilding
jobs in Scotland by keeping Ferguson's open, BBC notes.

The Ferguson shipyard, which is based at Port Glasgow in
Inverclyde, had been among 11 bidders for the order to replace the
ferries on the Islay route, but failed to make the shortlist,
according to BBC.

The two new boats will be the first major order by CMAL, which
procures vessels for CalMac, since Glen Sannox and an as-yet
unnamed ship, known as Hull 802, which are still under construction
at the Ferguson shipyard, BBC says.

Glen Sannox is currently due to be delivered in the second half of
next year, more than four years late, with the two ships costing
the taxpayer more than double the original contract price, BBC
relates.

Problems with the order dragged the yard back into administration
in 2019 and since then it has been wholly-owned by the Scottish
government, which also owns CMAL and CalMac, BBC notes.

The nationalized shipyard recorded a GBP100 million loss in the
first few months it was under Scottish government ownership, BBC
states.


JIGSAW: Appoints Beth Butterwick as New Chief Executive Officer
---------------------------------------------------------------
Huw Hughes at FashionUnited reports that British fashion retailer
Jigsaw has reportedly confirmed the appointment of former Karen
Millen chief executive Beth Butterwick as its new CEO.

The news comes just weeks after reports emerged that Jigsaw could
be taken upmarket after receiving a GBP27 million takeover offer,
FashionUnited notes.

According to FashionUnited, The Sunday Times reported the retailer,
which is majority owned by Carphone Warehouse co-founder David
Ross, received an indicative offer from investor Henrik Madsen.

At the time of the report, a sale process had not begun, according
to sources, and it was unsure how Madsen would fund the deal,
FashionUnited notes.

He is reportedly seeking investor backing to take Jigsaw upmarket,
invest in online and grow its licensing arm, FashionUnited states.

Jigsaw called in advisers to run a strategic review of the company
last summer, with KPMG overseeing rent negotiations with landlords
and Cavendish Corporate Finance working on a potential sale process
or the recruitment of a new external investor, FashionUnited
recounts.

It came after the company was hit hard by the pandemic, revealing
in February that it lost around GBP31 million in sales during
lockdowns, FashionUnited relays.

The company was also forced to close almost half of its stores as
part of a company voluntary arrangement (CVA), with its remaining
stores switching to turnover-based rents, FashionUnited discloses.

And six of Jigsaw's board members stepped down as the retailer
looked to "streamline" its business amid the pandemic,
FashionUnited notes.


RRE 8 LOAN: S&P Assigns BB- Rating on EUR20MM Class D Notes
-----------------------------------------------------------
S&P Global Ratings assigned its credit ratings to RRE 8 Loan
Management DAC's class A-1 to D notes. At closing the issuer also
issued unrated subordinated notes.

This is a European cash flow CLO transaction, securitizing a
portfolio of primarily senior secured leveraged loans and bonds.
The transaction will be managed by Redding Ridge Asset Management
(UK) LLP.

The ratings assigned to the notes reflect S&P's assessment of:

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

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

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

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

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

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

The portfolio's reinvestment period will end approximately 4.5
years after closing, and the portfolio's maximum average maturity
date is nine years after closing.

  Portfolio Benchmarks
                                                          CURRENT
  S&P Global Ratings weighted-average rating factor      2,828.35
  Default rate dispersion                                  342.89
  Weighted-average life (years)                              5.45
  Obligor diversity measure                                139.65
  Industry diversity measure                                20.46
  Regional diversity measure                                 1.22

  Transaction Key Metrics
                                                          CURRENT
  Total par amount (mil. EUR)                                 500
  Defaulted assets (mil. EUR)                                   0
  Number of performing obligors                               163
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                            B
  'CCC' category rated assets (%)                            0.92
  'AAA' covenanted weighted-average recovery (%)            36.41
  Covenanted weighted-average spread (%)                     3.55
  Reference weighted-average coupon (%)                      5.00

Workout obligations

Under the transaction documents, the issuer may purchase debt and
non-debt assets of an existing borrower offered in connection with
a workout, restructuring, or bankruptcy (workout obligations), to
maximize the overall recovery prospects on the borrower's
obligations held by the issuer.

The transaction documents limit the CLO's exposure to workout
obligations quarterly, and on a cumulative basis, may not exceed
10% of target par if purchased with principal proceeds.

The issuer may only purchase workout obligations provided the
following are satisfied:

Using principal proceeds or amounts designated as principal
proceeds, provided that:

-- The obligation is a debt obligation;

-- It is pari passu or senior to the obligation already held by
the issuer;

-- Its maturity date falls before the rated notes' maturity date;

-- It is not purchased at a premium; and

-- The class A-1, A-2, B, and C par value tests are satisfied
after the acquisition, or the performing portfolio balance exceeds
the reinvestment target par balance.

Using interest proceeds, provided that:

-- The class C interest coverage test is satisfied after the
acquisition; and

-- The manager believes there will be enough interest proceeds on
the following payment date to pay interest on all the rated notes.

The issuer may also purchase workout obligations using amounts
standing to the credit of the supplemental reserve account.

In all instances where principal proceeds or amounts designated as
principal proceeds are used to purchase workout obligations:

-- A zero carrying value is assigned to the workout obligations
until they fully satisfy the eligibility criteria (following which
the obligation will be subject to the same treatment as other
obligations held by the issuer); and

-- All and any distributions received from a workout obligation
will be retained as principal and may not be transferred into any
other account.

S&P said, "The portfolio is well-diversified, primarily comprising
broadly syndicated speculative-grade senior secured term loans and
senior secured bonds. Therefore, we have conducted our credit and
cash flow analysis by applying our criteria for corporate cash flow
CDOs. As such, we have not applied any additional scenario and
sensitivity analysis when assigning ratings to any classes of notes
in this transaction.

"In our cash flow analysis, we used the EUR500 million target par
amount, the covenanted weighted-average spread (3.55%), the
reference weighted-average coupon (5.00%), and the covenanted
weighted-average recovery rates at all rating levels 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 indicates that
the available credit enhancement for the class A-2 and B notes
could withstand stresses commensurate with higher ratings than
those we have assigned. However, as the CLO will be in its
reinvestment phase starting from closing, during which the
transaction's credit risk profile could deteriorate, we have capped
our ratings assigned to the notes.

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

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

"We consider that 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 assigned ratings
are commensurate with the available credit enhancement for the
class A-1, A-2, B, C, and D notes.

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

"As our ratings analysis makes additional considerations before
assigning ratings in the 'CCC' category, and we would assign a 'B-'
rating if the criteria for assigning a 'CCC' category rating are
not met, we have not included the above scenario analysis results
for the class D 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. For this transaction, the documents
prohibit assets from being related to the following industries:
controversial weapons, nuclear weapons, thermal coal, oil and gas,
pornography or prostitution, opioid manufacturing or distribution,
and hazardous chemicals. 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 Assigned

  CLASS   RATING*     AMOUNT     SUB (%)     INTEREST RATE§
                    (MIL. EUR)
  A-1     AAA (sf)    302.50    39.50  Three/six-month EURIBOR
                                       plus 1.04%
  A-2     AA (sf)      42.50    31.00  Three/six-month EURIBOR
                                       plus 1.70%
  B       A (sf)       52.50    20.50  Three/six-month EURIBOR
                                       plus 2.15%
  C       BBB- (sf)    32.50    14.00  Three/six-month EURIBOR
                                       plus 3.15%
  D       BB- (sf)     20.00    10.00  Three/six-month EURIBOR
                                       plus 6.15%
  Sub notes   NR       57.40    N/A    N/A

* The ratings assigned to the class A-1 and A-2 notes address
timely interest and ultimate principal payments. The ratings
assigned to the class B, C, and D notes address ultimate interest
and principal payments.
§ The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event occurs.

NR--Not rated.
N/A--Not applicable.
EURIBOR--Euro Interbank Offered Rate.




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

[*] BOND PRICING: For the Week September 27 to October 3, 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   9/26/2021   EUR     0.010
Golfino AG                   8.000  11/18/2023   EUR     0.020
Bayerische Landesbank        1.450   1/26/2024   EUR    56.060
Credit Suisse AG/London     20.000  11/29/2024   USD    13.440
Landesbank Baden-Wuertte     4.000  11/26/2021   EUR    68.600
Otkritie Holding JSC        10.000   4/20/2028   RUB     3.080
Dr Wiesent Sozial gGmbH      7.000               EUR     0.012
Bank ZENIT PJSC              0.100   3/27/2025   RUB    92.000
Landesbank Baden-Wuertte     4.100  10/22/2021   EUR    71.770
Landesbank Baden-Wuertte     5.250  11/26/2021   EUR    66.610
SG Issuer SA                 2.100   5/16/2033   EUR    29.580
Credit Suisse AG/London  #N/A N/A    8/18/2022   USD     9.010
Muehl Product & Service      6.750   03/10/2005  DEM     0.102
Agrokor dd                   9.875   05/01/2019  EUR    15.000
KPNQwest NV                  8.875   02/01/2008  EUR     0.453
Cooperatieve Rabobank UA     0.500  12/29/2027   MXN    61.586
Virgolino de Oliveira Fi    11.750   02/09/2022  USD     1.047
Deutsche Agrar Holding G     7.250   9/28/2018   EUR     1.254
Privatbank CJSC Via UK S    10.875   2/28/2018   USD    10.000
Leonteq Securities AG        5.400   7/25/2022   CHF    57.920
Windreich GmbH               6.250   03/01/2015  EUR     4.475
Credit Suisse AG             0.500  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 Financial Produ    11.000  12/24/2021   EUR    54.230
Vontobel Financial Produ    10.000   3/25/2022   EUR    55.940
Vontobel Financial Produ    11.500   3/25/2022   EUR    54.410
Vontobel Financial Produ     9.000  12/24/2021   EUR    57.080
Vontobel Financial Produ     8.000   3/25/2022   EUR    57.510
Vontobel Financial Produ    13.000   3/25/2022   EUR    53.010
Vontobel Financial Produ    16.500  12/24/2021   EUR    68.410
UniCredit Bank AG            4.200   9/21/2022   EUR    42.730
Societe Generale SA          9.000   7/22/2022   USD    57.500
UniCredit Bank AG            3.800  12/29/2022   EUR    66.630
Societe Generale Effekte     5.600   09/04/2023  EUR    36.260
Leonteq Securities AG/Gu     5.600   8/24/2021   CHF    44.410
EFG International Financ     6.500   8/30/2021   CHF    63.160
Zurcher Kantonalbank Fin     8.500   8/24/2021   CHF    65.880
Raiffeisen Schweiz Genos     5.250   8/24/2021   CHF    67.570
Landesbank Baden-Wuertte     3.000   9/23/2022   EUR    49.230
Landesbank Baden-Wuertte     2.500   9/23/2022   EUR    70.800
WEB Windenergie AG           2.250   9/25/2028   EUR     0.010
UniCredit Bank AG            4.600   9/14/2022   EUR    62.380
DekaBank Deutsche Giroze     6.300   10/01/2021  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


[*] Fitch Puts 13 EMEA RMBS Ratings & Retains 3 Ratings on UCO
--------------------------------------------------------------
Fitch Ratings, on September 24, 2021, placed 10 Spanish, one Dutch,
one Portuguese and one UK RMBS ratings Under Criteria Observation
(UCO) and has maintained 3 Dutch RMBS ratings UCO, following the
publication of its Structured Finance and Covered Bonds Interest
Rate Stresses Rating Criteria on 20 September 2021.

      DEBT                    RATING                        PRIOR
      ----                    ------                        -----
AyT Hipotecario BBK II, FTA

Class C ES0312251020  LT BBB-sf  Under Criteria Observation BBB-sf


IM Cajamar 3, FTA

Series D ES0347783039 LT A+sf  Under Criteria Observation   A+sf

Bancaja 9, FTA

Series C ES0312888037 LT BBB+sf  Under Criteria Observation BBB+sf


Rural Hipotecario IX, FTA

Class D ES0374274050  LT BB-sf  Under Criteria Observation  BB-sf

EDML 2018-2

E XS1895668249        LT BBBsf  Under Criteria Observation  BBBsf

AyT Genova Hipotecario VIII, FTH

Class B ES0312344023  LT AAsf  Under Criteria Observation   AAsf
Class C ES0312344031  LT Asf  Under Criteria Observation    Asf

Hypenn RMBS I B.V.

A2 NL0010511101       LT AAAsf  Under Criteria Observation  AAAsf

Cartesian Residential Mortgages 3 S.A.

B XS1848866007        LT AA+sf  Under Criteria Observation  AA+sf

IM Cajamar 4, FTA

D ES0349044034        LT BBB+sf  Under Criteria Observation BBB+sf


AyT Genova Hipotecario VI, FTH

Class D ES0312349048  LT BBB+sf  Under Criteria Observation BBB+sf


Lusitano Mortgages No.5 plc

Class C XS0268643649  LT Bsf  Under Criteria Observation    Bsf

Eurosail-UK 2007-1 NC Plc

Class C1a XS0284933719 LT A-sf  Under Criteria Observation  A-sf

AyT Genova Hipotecario IX, FTH

Class B ES0312300025  LT Asf  Under Criteria Observation    Asf
Class C ES0312300033  LT BBB+sf  Under Criteria Observation BBB+sf


Green Storm 2019 B.V.

Class D XS2019292023  LT BBB+sf  Under Criteria Observation BBB+sf


KEY RATING DRIVERS

Structured Finance and Covered Bonds Interest Rate Stresses Rating
Criteria Publication: The rating actions follow publication of
Fitch's Structured Finance and Covered Bonds Interest Rate Stresses
Rating Criteria. Fitch uses the criteria to assess the materiality
of residual interest-rate risk in structured finance and covered
bond transactions. Fitch will resolve the UCO status of the ratings
by 20 March 2022.

Three Dutch ratings were already UCO following the publication of
the European RMBS Rating Criteria as of 19 July 2021. Fitch has
maintained them UCO and these transactions will be reviewed for
both criteria changes not later than 19 January 2022.

One Spanish rating is on Rating Watch Positive following the
retirement of Fitch's coronavirus-related additional stress
scenario analysis on 22 July 2021. Fitch will assess the combined
impact of the removal of this stress scenario and the criteria
change by 23 January 2022.

Ratings being placed UCO indicates the possibility of rating change
as a result of the application of the new criteria. The UCO status
of each rating will be resolved on a transaction-specific basis by
applying the new criteria in the next rating review. This can
result in affirmations, upgrades or downgrades.

The changes to the criteria relate to the framework for negative
interest-rate stresses and jurisdiction-specific stress levels for
both increasing and decreasing stress environments. For its
negative interest-rate stress assumptions, Fitch has removed the
distinction between investment-grade and non-investment-grade
ratings; doubled-stress durations; changed the method and the
parameters used for the negative rate determination; and introduced
a negative interest-rate reversion level when the spot rate is
already in the negative territory.

Fitch has also revised the parameters describing stresses in an
assumed rising or falling, but positive, interest-rate environment
for the majority of jurisdictions. The changes relate to the
'AAAsf' and 'Bsf' upward and 'Bsf' downward plateaus as well as the
equilibrium rate, which is used in conjunction with the current
short-rate level to adjust applicable stress levels.

RATING SENSITIVITIES

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

-- Rating sensitivities as disclosed in the latest rating action
    commentaries on each transaction continue to apply.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

AyT Genova Hipotecario IX, FTH, AyT Genova Hipotecario VI, FTH, AyT
Genova Hipotecario VIII, FTH, AyT Hipotecario BBK II, FTA, Bancaja
9, FTA, Cartesian Residential Mortgages 3 S.A., EDML 2018-2,
Eurosail-UK 2007-1 NC Plc, Green Storm 2019 B.V., Hypenn RMBS I
B.V., IM Cajamar 3, FTA, IM Cajamar 4, FTA, Lusitano Mortgages No.5
plc, Rural Hipotecario IX, FTA

Fitch has not conducted any checks on 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.


[*] Fitch Puts 27 SME CLO and ABS Ratings on Observation
--------------------------------------------------------
Fitch Ratings, on Sept. 23, 2021, placed 27 SME CLO and ABS ratings
Under Criteria Observation (UCO) following the publication of its
CLOs and Corporate CDOs Rating Criteria (the CLO Criteria) on 17
September 2021. Fitch also published a separate Exposure Draft for
the SME Balance Sheet Securitisation Rating Criteria (the SME
Criteria) on 16 September 2021.

    DEBT                   RATING                           PRIOR
    ----                   ------                           -----
Rosenkavalier 2015

Class A DE000A1687E2 LT Asf     Under Criteria Observation  Asf

Siena PMI 2016 S.r.l - Series 2

C IT0005372971       LT A-sf    Under Criteria Observation  A-sf
D IT0005372989       LT B-sf    Under Criteria Observation  B-sf

Fontwell II Securities 2020 DAC

Class A CLN          LT BBB-sf  Under Criteria Observation  BBB-sf
XS2226194244
Class B CLN          LT BB+sf   Under Criteria Observation  BB+sf
XS2226194673
Retained Tranche B   LT Asf     Under Criteria Observation  Asf
Retained Tranche C   LT A-sf    Under Criteria Observation  A-sf
Retained Tranche D   LT BBB+sf  Under Criteria Observation  BBB+sf

Tranche A            LT BBB-sf  Under Criteria Observation  BBB-sf

Tranche B            LT BB+sf   Under Criteria Observation  BB+sf

Series 2019-1 of the FP Ignition Trust 2011-1 New Zealand

E NZFPID1018R2       LT BBB-sf  Under Criteria Observation  BBB-sf


Thorn ABS Warehouse Trust No. 1

D AU3FN0043964       LT A+sf    Under Criteria Observation  A+sf
E AU3FN0043972       LT BBsf    Under Criteria Observation  BBsf

Fontwell Securities 2016 Limited

J                    LT A+sf    Under Criteria Observation  A+sf
K                    LT A+sf    Under Criteria Observation  A+sf
L                    LT Asf     Under Criteria Observation  Asf
M                    LT BB+sf   Under Criteria Observation  BB+sf
N                    LT BB+sf   Under Criteria Observation  BB+sf
O                    LT BB+sf   Under Criteria Observation  BB+sf
P                    LT B+sf    Under Criteria Observation  B+sf
Q                    LT B+sf    Under Criteria Observation  B+sf
R                    LT B+sf    Under Criteria Observation  B+sf
S                    LT CCCsf   Under Criteria Observation  CCCsf

FT PYMES Santander 14

Series B             LT BB+sf   Under Criteria Observation  BB+sf
ES0305381016

IM BCC Capital 1, FT

Class B ES0305386015 LT BBB+sf  Under Criteria Observation  BBB+sf

Class C ES0305386023 LT BB+sf   Under Criteria Observation  BB+sf
Class D ES0305386031 LT CCCsf   Under Criteria Observation  CCCsf

KEY RATING DRIVERS

Publication of the CLO Criteria: Certain elements of the CLO
criteria, mainly the revised confidence levels and probability of
default assumptions, are derived from the CLO Criteria for the SME
CLO analysis. In determining which ratings to place UCO, Fitch
considered the changes resulting from the update of the CLO
criteria as well as those proposed in the Exposure Draft for the
SME CLO Criteria. Overall the combined impact is rating positive.

The ratings placed on UCO comprise 27 ratings from eight SME CLO
and ABS transactions, excluding 'AAAsf' ratings and those at the
cap level due to among other sovereign risk or counterparty risk,
as well as those below 'CCCsf'. The combined impact is rating
positive, but the application of the CLO criteria change alone
could be marginally negative. Therefore, if the SME Criteria
proposal changes during the exposure period and the CLO criteria
alone become the driving rating factor, Fitch would revise the list
of ratings UCO accordingly.

Ratings placed UCO indicate the possibility of a rating change as a
result of the application of the new criteria. Fitch will resolve
the UCO status of all ratings within six months from the
publication of the CLO Criteria. Once final SME criteria are
published after the exposure draft period, the UCO status of each
rating will be resolved on a transaction-specific basis by
undertaking a full review of each transaction with the new SME
criteria.

RATING SENSITIVITIES

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

-- Based on Fitch's analysis, the updated CLO and SME criteria
    are not expected to lead to any downgrades. Further changes
    relating to the new SME criteria, in addition to those already
    described in the Exposure Draft, may lead to negative rating
    action, and may also trigger a revision of the list of ratings
    placed UCO following the publication of the new CLO criteria.

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

-- Fitch expects limited positive rating impact on the model
    implied ratings (MIRs) of about 15% of rated tranches based on
    the updated CLO and SME criteria. For most of these the
    expected impact is within one notch. However, such a change is
    within the discretion Fitch's rating committees have to
    deviate from the MIR.

-- Further changes relating to the new SME criteria, in addition
    to those already described in the Exposure Draft, may lead to
    positive rating action, and may also trigger a revision of the
    list of ratings placed UCO following the publication of the
    new CLO criteria.

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

Fontwell II Securities 2020 DAC, Fontwell Securities 2016 Limited,
FT PYMES Santander 14, IM BCC Capital 1, FT, Rosenkavalier 2015,
Series 2019-1 of the FP Ignition Trust 2011-1 New Zealand, Siena
PMI 2016 S.r.l - Series 2, Thorn ABS Warehouse Trust No. 1

Fitch has not conducted any checks on 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.

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.

The following issuers informed Fitch that not all relevant
underlying information used in the analysis of the rated notes is
public.

Series 2019-1 of the FP Ignition Trust 2011-1 New Zealand

Thorn ABS Warehouse Trust No. 1



                           *********


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-
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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
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