/raid1/www/Hosts/bankrupt/TCREUR_Public/211011.mbx        T R O U B L E D   C O M P A N Y   R E P O R T E R

                          E U R O P E

          Monday, October 11, 2021, Vol. 22, No. 197

                           Headlines



F R A N C E

SIRONA HOLDCO: Moody's Assigns 'B2' CFR, Outlook Stable


G E R M A N Y

FORTUNA CONSUMER 2021: Fitch Gives Final 'BB' to 2 Note Tranches


I R E L A N D

ARBOUR CLO VIII: Fitch Assigns B-(EXP) Rating on Class F-R Notes
BAIN CAPITAL 2021-2: Moody's Assigns (P)B3 Rating to Class F Notes
CARLYLE GLOBAL 2015-2: Fitch Raises Class E Debt Rating to 'B+'
LANSDOWNE MORTGAGE 1: Fitch Affirms CC Rating on 3 Tranches


N E T H E R L A N D S

TRIODOS BANK: Fitch Gives BB+(EXP) Rating to Planned Sub. T2 Notes


U N I T E D   K I N G D O M

BRITISH AIRWAYS: Fitch Affirms 'BB' LongTerm IDR, Outlook Negative
ESSAR OIL: Deloitte Faces ICAEW Probe Over Audit
GREENSILL CAPITAL: Credit Suisse to Front Costs to Recover Cash
NMCN: Galliford Try Acquires Water Business
NMCN: Subsidiaries Expected to Be Sold Off for Fraction of Value

NMCN: Svella Acquires Business Units, 680 Jobs Secured
RANGERS FC: BDO Awarded GBP3.4MM Plus Interest by Lord Tyre
SOUTHERN PACIFIC 06-1: Fitch Affirms CCC Rating on Cl. FTc Debt
TOWD POINT 2019: Fitch Assigns B+(EXP) Rating on Class G Notes


X X X X X X X X

[*] BOND PRICING: For the Week October 4 to October 10, 2021

                           - - - - -


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F R A N C E
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SIRONA HOLDCO: Moody's Assigns 'B2' CFR, Outlook Stable
-------------------------------------------------------
Moody's Investors Service has assigned a B2 corporate family rating
and a probability of default rating of B2-PD to Sirona HoldCo
(Seqens). Moody's also assigned a B2 instrument rating to the
EUR830 million senior secured term loan B due in 2028 and EUR130
million senior secured revolving credit facility (RCF) due 2028
issued by Sirona BidCo France. The outlook on all ratings for both
entities is stable.

Moody's expects to withdraw all ratings and the outlook on Seqens
Group Holding and its subsidiaries once its equivalent EUR647
million senior secured term loans B due 2023 and the EUR90 million
senior secured revolving credit facility (RCF) due in June 2022
raised by Seqens Group Bidco have been repaid.

"The assignment of the B2 rating to Seqens reflects its improved
business mix by focusing on the relatively resilient pharma end
market, by carving out its Mineral Specialties business and the
combination with Wavelength Pharmaceutical (Wavelength), a medium
sized API developer and manufacturer" said Janko Lukac, Moody's
Vice President and Senior Analyst. "Furthermore, the adequate
liquidity provides a buffer for the next 2 -- 3 years when free
cash flow generation will be very limited due to high growth
capex."

RATINGS RATIONALE

Seqens' B2 CFR is weakly positioned and reflects Moody's
expectation of the company's leverage remaining broadly flat at
around 6.0x Moody's adjusted debt/EBITDA from the closing of the
transaction expected by end of 2021 until end of 2023. For 2021 and
2022 leverage has been normalized by Moody's for extraordinary high
profits in the Consumer Health API business division due to a
temporary closure of a competitor's production. Over the next years
Moody's estimates the company's to generate very limited free cash
flows at about EUR15 - EUR20 million in 2022 and about EUR5 million
in 2023 including subsidies of the French government as the company
is heavily investing in new API production capacity in France.
Adequate liquidity after closing of the successful transaction will
provide a buffer for potential operating underperformance, delays
and difficulties in the integration of Wavelength and set-up of new
production units.

The combination of Seqens with Wavelength that is expected to
generate revenue and EBITDA of around EUR94 million and EUR17.1
million in 2021, respectively, will increase Seqens' portfolio of
APIs and extend its client base. It will help diversify the
company's portfolio of APIs, enable some moderate cost savings as
well as cross selling opportunities and increase its R&D
capabilities. Following the closure of the transaction, more than
70% of normalized revenues and 75% of normalized EBITDA of Seqens
will be generated in the relatively resilient and growing
pharmaceutical end market. The remaining sales and EBITDA will be
generated in the Specialty Ingredients business unit focused on
electronics, cosmetics, lubricants and additives and its Upstream
Platform business unit focused on phenol and acetone.

In 2021 Seqens results have been positively impacted from the
temporary closure of its main Chinese competitor Bengbu Bayi
Pharmaceuticals (Bayi) in the paracetamol chain, and pharma
companies building safety stock due the Covid 19 crisis and hence
being less focused on pricing / procurement savings. Moody's
expects Bayi to start production in its new plant in early 2022
which should lead to a gradual normalization of pricing in the
paracetamol chain and expects pharma companies to become more price
sensitive once the Covid 19 situation normalizes. Consequently,
Seqens' high adj. EBITDA margins of about 18% expected for 2021 in
Moody's view are likely to normalize towards the mid-teens in 2022/
2023.

LIQUIDITY

Seqens' liquidity is adequate with EUR40 million cash on balance
and a fully available EUR130 million senior secured RCF maturing in
April 2028. For 2022 the rating agency expects Seqens to generate
funds from operations of around EUR100 - EUR110 million, which will
comfortably cover all cash outflows related to an expected moderate
increase in working capital and net capital spending of around
EUR70 million as a part of Seqens growth investments. Part of
Seqens' growth investments are also funded by subsidies from the
French government. Absent dividend payments in 2022, the company is
likely to generate moderate positive free cash flow (FCF) at around
EUR15 - EUR20 million. For 2023 Moody's expects FCF to be only
slightly positive when taking into account subsidies due to high
CAPEX spending and a normalization of operating performance.

Upon the completion of the transaction, the company will have only
relatively small maturities of EUR12.6 million in 2022 and EUR8.3
million in 2023 and low single digit millions afterwards. The
EUR830 million senior secured Term Loan B comes due in October
2028. Under Moody's base case scenario, the company will maintain
comfortable headroom under its 6.4x springing net debt / EBITDA
maintenance covenant set on its RCF, if it would be tested (only
tested if more than 40% of the RCF are drawn).

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook reflects Moody's expectations that Seqens'
leverage will not increase meaningfully above 6x debt/EBITDA over
the next 12-24 months despite an expected decline of revenue and
EBITDA margins due to a normalization of the supply demand balance
in the paracetamol chain. Furthermore, it takes into account
Seqens' main exposure to the relatively stable pharma end market
and its adequate liquidity.

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

An upward revision of the rating would likely result from (1)
adjusted EBITDA margins remaining at high-teens; (2)
Moody's-adjusted leverage ratio declining below 5.0x on a sustained
basis (3) material positive cash flow generation as evidenced by
FCF/debt exceeding mid-single digits % on a sustained basis; and
(4) maintaining adequate liquidity.

Downward pressure on the rating may built if (1) adjusted EBITDA
margins decline towards low teens; (2) Moody's-adjusted debt/EBITDA
ratio exceeds 6.0x on a sustained basis; (3) operational production
issues re-emerge and materially affect the company's performance;
and (4) negative free cash flow generation and / or a material
deterioration of the company's liquidity.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE CONSIDERATIONS

Governance and social considerations for Seqens were a driver of
the rating action. Generally, private equity sponsors tend to have
aggressive financial policies favoring very high leverage,
shareholder-friendly policies such as dividend recapitalization and
the pursuit of acquisitive growth. In the case of Seqens Moody's
does not expect its PE owner SK Capital to extract dividends or
pursue major acquisitions until normalized leverage has been
reduced to well below 6.0x and rather focus on growing revenue and
EBITDA through capex investments.

Social considerations include risks related to the company being
highly exposed to regulation in its API production for
pharmaceuticals. Seqens needs to maintain the highest standards in
its production and is exposed to potential quality issues, which
can have severe consequences on operating performance. Seqens
experienced production issues in one of its API CDMO facilities in
2018/2019, which were successfully mitigated but had a meaningful
negative impact on the company's results. On the positive side
Seqens is benefiting from meaningful subsidies to re-shore API
production to Europe.

Environmental considerations consider environmental risks for API
producers such as soil and water pollution regulations or potential
related litigation, which have been managed well by Seqens in the
past.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Chemical
Industry published in March 2019.

COMPANY PROFILE

Headquartered in Ecully, France, Seqens is an integrated global
leader in Pharmaceutical (about 80% of 2021's company reported
EBITDA pro forma for Wavelength) Solutions and Specialty
Ingredients serving end markets such as cosmetics, electronics,
food and feed, homecare and environment. Following a successful
closure of the transaction the company will be owned by funds
advised from SK Capital a US private equity sponsor focusing on the
chemical and pharmaceutical industries.




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

FORTUNA CONSUMER 2021: Fitch Gives Final 'BB' to 2 Note Tranches
----------------------------------------------------------------
Fitch Ratings has assigned Fortuna Consumer Loan ABS 2021 DAC's
(Fortuna 2021) notes final ratings.

DEBT      RATING               PRIOR
----      ------               -----
Fortuna Consumer Loan ABS 2021 DAC

A    LT AAAsf  New Rating    AAA(EXP)sf
B    LT AAsf   New Rating    AA(EXP)sf
C    LT Asf    New Rating    A(EXP)sf
D    LT BBBsf  New Rating    BBB(EXP)sf
E    LT BBsf   New Rating    BB(EXP)sf
F    LT NRsf   New Rating    NR(EXP)sf
X    LT BBsf   New Rating    BB(EXP)sf

TRANSACTION SUMMARY

Fortuna 2021 is a true-sale securitisation of a static pool of
unsecured consumer loans sold by auxmoney Investments Limited. The
securitised consumer loan receivables are derived from loan
agreements entered into between Süd-West-Kreditbank Finanzierung
GmbH (SWK) and individuals located in Germany and brokered by
auxmoney GmbH via its online lending platform.

KEY RATING DRIVERS

Operational Risks: auxmoney operate a data- and tech-driven lending
platform that connects borrowers and investors on a
fully-digitalised basis. Fitch conducted an operational review
during which auxmoney showed a robust corporate governance and risk
approach. A warehouse facility with BNP Paribas S.A. is in place,
of which auxmoney holds the junior tranche.

Assets for the transaction are selected from this warehouse
facility according to the transaction's eligibility criteria,
ensuring that auxmoney retains sufficient risk on its own book.

Large Loss Expectations: auxmoney also targets higher-risk
borrowers compared with traditional lenders of German unsecured
consumer loans. Fitch determined the score calculated by auxmoney
as the key asset performance driver. Fitch assumes a weighted
average (WA) default base case of 12.8% based on the score
distribution in the preliminary pool and a recovery base case of
35%. Fitch applied a low WA default multiple of 3.8x and a high
recovery haircut of 60% at 'AAAsf'.

The resulting loss rates are the highest among Fitch-rated German
unsecured loans transactions.

Adequate Historical Performance Data Availability: Fitch's asset
assumptions are based on historical performance data since 2016,
which just covers Fitch's minimum requirement of five years of data
history and also covers the usual lifetime of the loans. The data
includes some visibility on performance during economic stress
(i.e. during the coronavirus pandemic in 2020).

Rapid Volume Growth; Stable Portfolio: Borrower characteristics
have remained largely stable, despite rapid origination volume
growth until 2020. There does not appear to be any evidence
suggesting an increasing risk appetite. The transaction is static,
which further limits the risk horizon in this regard.

Servicing Continuity Risk Addressed: CreditConnect GmbH (not
rated), a subsidiary of auxmoney, is the servicer. Loancos GmbH
acts as back-up servicer from closing, reducing the risk of
servicing discontinuity. The back-up servicing agreement covers two
scenarios, (i) where CreditConnect is replaced; and (ii) both
CreditConnect and SWK no longer perform their contractual duties.
The risk of payment interruption is also reduced by a liquidity
reserve, which covers more than three months of senior expenses,
swap payments and interest on the class A and B notes.

The key rating drivers listed in the applicable sector criteria,
but not mentioned above, are not material to this rating action.

RATING SENSITIVITIES

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

-- Long-term asset performance deterioration such as increased
    delinquencies or reduced portfolio yield, which could be
    driven by changes in portfolio characteristics, macro-economic
    conditions, business practices or legislation.

Expected impact on the notes' ratings of increased defaults (class
A/B/C/D/E/X):

-- Increase default rate by 10%: 'AAAsf'/'AA-sf'/'A-
    sf'/'BBBsf'/'BBsf'/'BBsf'

-- Increase default rate by 25%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-
    sf'/'B-sf'/'B-sf'

-- Increase default rate by 50%: 'AAsf'/'Asf'/'BBB-
    sf'/'BBsf'/'NRsf'/'NRsf'

Expected impact on the notes' ratings of decreased recoveries
(class A/B/C/D/E/X):

-- Reduce recovery rates by 10%:
    'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'BBsf'

-- Reduce recovery rates by 25%: 'AAAsf'/'AAsf'/'A-
    sf'/'BBBsf'/'BBsf'/'BBsf'

-- Reduce recovery rates by 50%: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-
    sf'/'B+sf'/'B+sf'

Expected impact on the notes' ratings of increased defaults and
decreased recoveries (class A/B/C/D/E/X):

-- Increase default rates by 10% and decrease recovery rates by
    10%: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'BB-sf'

-- Increase default rates by 25% and decrease recovery rates by
    25%: 'AA+sf'/'A+sf'/'BBBsf'/'BB+sf'/'NRsf'/'NRsf'

-- Increase default rates by 50% and decrease recovery rates by
    50%: 'AA-sf'/'BBB+sf'/'BB+sf'/'BB-sf'/'NRsf'/'NRsf'

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

-- Increase in credit enhancement ratios as the transaction
    deleverages; or

-- Losses are smaller than assumed.

Expected impact on the notes' ratings of decreased defaults (class
A/B/C/D/E/X):

-- Decrease default rate by 10%:
    'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'BBsf'

-- Decrease default rate by 25%: 'AAAsf'/'AAAsf'/'AA-
    sf'/'Asf'/'BB+sf'/'BB+sf'

-- Decrease default rate by 50%:
    'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'/'A-sf'/'BB+sf'

Expected impact on the notes' ratings of increased recoveries
(class A/B/C/D/E/X):

-- Increase recovery rate by 10%:
    'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'BBsf'

-- Increase recovery rate by 25%:
    'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBsf'/'BBsf'

-- Increase recovery rate by 50%:
    'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB+sf'

Expected impact on the notes' ratings of decreased defaults and
increased recoveries (class A/B/C/D/E/X):

-- Decrease default rates by 10% and increase recovery rates by
    10%: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB+sf'

-- Decrease default rates by 25% and increase recovery rates by
    25%: 'AAAsf'/'AAAsf'/'AA-sf'/'Asf'/'BBB-sf'/'BB+sf'

-- Decrease default rates by 50% and increase recovery rates by
    50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BB+sf'

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

Overall, Fitch's assessment of the asset pool information relied
upon for the agency's rating analysis according to its applicable
rating methodologies indicates that it is adequately reliable.

ESG CONSIDERATIONS

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




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

ARBOUR CLO VIII: Fitch Assigns B-(EXP) Rating on Class F-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned Arbour CLO VIII DAC's refinancing notes
expected ratings.

The assignment of final ratings is contingent on the final
documents conforming to information already received.

DEBT                RATING
----                ------
Arbour CLO VIII DAC

A-R      LT AAA(EXP)sf   Expected Rating
B-1-R    LT AA(EXP)sf    Expected Rating
B-2-R    LT AA(EXP)sf    Expected Rating
C-R      LT A(EXP)sf     Expected Rating
D-R      LT BBB-(EXP)sf  Expected Rating
E-R      LT BB-(EXP)sf   Expected Rating
F-R      LT B-(EXP)sf    Expected Rating
X-R      LT AAA(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Arbour CLO VIII DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of corporate rescue
loans, senior unsecured, mezzanine, second-lien loans and
high-yield bonds. Net proceeds from the expected note issuance will
be used to redeem existing notes and buy additional assets at the
reset date. The portfolio is managed by Oaktree Capital Management
(Europe) LLP. The collateralised loan obligation (CLO) envisages a
4.5-year reinvestment period and an 8.5-year weighted average life
(WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) of the identified
portfolio is 25.37.

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
62.97%.

Diversified Portfolio (Positive): The indicative maximum exposure
of the 10 largest obligors for assigning the expected ratings is
21% of the portfolio balance and maximum fixed rated obligations
are limited at 15% of the portfolio. The transaction also includes
various concentration limits, including the maximum exposure to the
three largest (Fitch-defined) industries in the portfolio at 40%.
These covenants ensure that the asset portfolio will not be exposed
to excessive concentration.

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

Cash Flow Modelling (Neutral): The WAL used for the transaction
stress portfolio and matrices analysis is 12 months less than the
WAL covenant, to account for structural and reinvestment conditions
post-reinvestment period, including the overcollateralisation tests
and Fitch 'CCC' limitation passing post reinvestment, among others.
Combined with loan pre-payment expectations this ultimately reduces
the maximum possible risk horizon of the portfolio.

RATING SENSITIVITIES

Factors 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 four notches, depending on the notes.

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

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 five notches depending on
    the notes, except for the class A notes, which are already at
    the highest rating on Fitch's scale and cannot be upgraded.

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

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.


BAIN CAPITAL 2021-2: 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 Bain Capital
Euro CLO 2021-2 Designated Activity Company (the "Issuer"):

EUR228,800,000 Class A Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

EUR25,900,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

EUR13,500,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned (P)Aa2 (sf)

EUR26,300,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

EUR25,100,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

EUR19,900,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Ba3 (sf)

EUR9,800,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)B3 (sf)

RATINGS RATIONALE

The rationale for the rating 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 in the range of 80% to 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 five month ramp-up period in
compliance with the portfolio guidelines.

Bain Capital Credit U.S. CLO Manager, LLC ("Bain Capital Credit")
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 approximately 4.5 year reinvestment period.
Thereafter, subject to certain restrictions, purchases are
permitted using principal proceeds from unscheduled principal
payments and proceeds from sales of credit risk obligations or
credit improved obligations.

In addition to the seven classes of notes rated by Moody's, the
Issuer will issue EUR36,000,000 of Class M-1 Notes due 2034 and
EUR500,000 of Class M-2 due 2034 (together the subordinated notes)
which are not rated. The Class M-2 Notes accrue interest in an
amount equivalent to a certain proportion of the senior and
subordinated management fees and are paid pari passu with the
payment of the senior and subordinated management fee
respectively.

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: EUR375,000,000

Diversity Score: 48

Weighted Average Rating Factor (WARF): 2950

Weighted Average Spread (WAS): 3.75%

Weighted Average Coupon (WAC): 4%

Weighted Average Recovery Rate (WARR): 43.7%

Weighted Average Life (WAL): 8.5 years


CARLYLE GLOBAL 2015-2: Fitch Raises Class E Debt Rating to 'B+'
---------------------------------------------------------------
Fitch Ratings has upgraded four tranches of Carlyle Global Market
Strategies Euro CLO 2015-2 DAC and removed the tranches from Under
Criteria Observation (UCO). Fitch also affirmed four other tranches
not placed in UCO. The Rating Outlook remains Stable for all
tranches.

      DEBT                  RATING           PRIOR
      ----                  ------           -----
Carlyle Global Market Strategies Euro CLO 2015-2 DAC

A-1A-R XS1665115421    LT AAAsf  Affirmed    AAAsf
A-1B-R XS1665115777    LT AAAsf  Affirmed    AAAsf
A-2A-R XS1665115934    LT AAAsf  Affirmed    AAAsf
A-2B-R XS1665116155    LT AAAsf  Affirmed    AAAsf
B-R XS1665116239       LT AAAsf  Upgrade     A+sf
C-R XS1665116312       LT A+sf   Upgrade     BBB+sf
D-R XS1665116742       LT BB+sf  Upgrade     BBsf
E XS1257961331         LT B+sf   Upgrade     B-sf

TRANSACTION SUMMARY

Carlyle Global Market Strategies Euro CLO 2015-2 DAC is a cash flow
collateralised loan obligation (CLO). The underlying portfolio of
assets mainly consists of leveraged loans and is managed by CELF
Advisors LLP. The deal exited its reinvestment period in September
2019.

KEY RATING DRIVERS

The analysis was based on the current portfolio and evaluated the
combined impact of deleveraging and performance since the last
review in April 2021 and the recently updated Fitch CLOs and
Corporate CDOs Rating Criteria (including, among others, a change
in the underlying default assumptions). In addition, Fitch
performed a scenario which assumes a one-notch downgrade on the
Fitch Issuer Default Rating (IDR) Equivalency Rating for assets
with a Negative Outlook on the driving rating of the obligor.

Transaction Amortisation

The transaction continues to amortise, with the most senior notes
having paid-down EUR69.7 million since the rating action in April
2021. The CLO is currently prohibited to reinvest the sale proceeds
of credit risk obligations, credit-improved obligations and from
unscheduled principal proceeds due to certain test failures.

Deviation from Model-implied Rating

Class D-R has been upgraded to 'BB+sf' which is a deviation from
the model implied rating of 'BBB-sf' while Class E has been
upgraded to 'B+sf' which is a deviation from the model implied
rating of 'BB-sf'. The deviation for each class by negative one
notch reflects that the model-implied rating would not be as
resilient based upon a scenario that assumes a one-notch downgrade
on the Fitch IDR Equivalency Rating for assets with a Negative
Outlook on the driving rating of the obligor. The deviation is
motivated by the limited default rate cushion when considering this
scenario in the analysis.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the obligors to be in the 'B'/'B-' category. The Fitch weighted
average rating factor (WARF) was reported as 36.67 against a
maximum of 36.00 in the Sept. 9, 2021 monthly report. The Fitch
calculated WARF under the updated Fitch CLOs and Corporate CDOs
Rating Criteria is 27.62 as of Sept. 25, 2021.

Portfolio Concentration: The portfolio has become more concentrated
as it continues to amortise. There are 88 obligors remaining with a
top 10 obligor concentration of 17.5%; Although the concentration
risk is increasing, this may be offset by pay down of the assets
and increased credit enhancement. The largest obligor represents
approximately 2.0% of the portfolio balance. The largest Fitch
industry represents as calculated by Fitch represents 11.7% and
three largest Fitch industries are 27.6%; both within their
respective limits of 17.5% and 40%.

Broadly Stable Asset Performance: The transaction has not been
reinvesting since 2020 as it does not satisfy certain post
reinvestment period criteria. It is below target par as of the
latest investor report available. Exposure to assets with a
Fitch-derived rating of 'CCC+' and below is 7.8% compared to the
7.5% limit. The exposure to one defaulted asset was reported at
EUR1.9 million.

High Recovery Expectations: 99.4% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch weighted average recovery rate of the
current portfolio is reported by the trustee at 61.0% as of Sept.
9, 2021 compared to a minimum of 60.7%.

RATING SENSITIVITIES

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

-- An increase of the reduction 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 would result
    in downgrades of up to four notches depending on the notes.

-- Downgrades may occur if the built up of the notes CE following
    amortisation does not compensate for a higher loss expectation
    than initially assumed due to unexpected high level of default
    and portfolio deterioration.

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

-- A 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 two to four notches depending on the notes.

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better than expected portfolio
    credit quality and deal performance, and continued
    amortization that leads to higher CE and excess spread
    available to cover for losses on 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

Carlyle Global Market Strategies Euro CLO 2015-2 DAC

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

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

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.


LANSDOWNE MORTGAGE 1: Fitch Affirms CC Rating on 3 Tranches
-----------------------------------------------------------
Fitch Ratings has affirmed Lansdowne Mortgage Securities No. 1 Plc
(LMS1) and Lansdowne Mortgage Securities No. 2 Plc (LMS2), as
follows:

        DEBT                 RATING           PRIOR
        ----                 ------           -----
Lansdowne Mortgage Securities No. 1 Plc

Class A2 XS0250832614    LT B+sf  Affirmed    B+sf
Class M1 XS0250833695    LT Bsf   Affirmed    Bsf
Class M2 XS0250834073    LT CCsf  Affirmed    CCsf
Class B1 XS0250834404    LT CCsf  Affirmed    CCsf
Class B2 XS0250835120    LT CCsf  Affirmed    CCsf

Lansdowne Mortgage Securities No. 2 Plc

Class A2 XS0277482286    LT Bsf   Affirmed    Bsf
Class M1 XS0277482526    LT B-sf  Affirmed    B-sf
Class M2 XS0277482955    LT CCsf  Affirmed    CCsf
Class B XS0277483417     LT CCsf  Affirmed    CCsf

TRANSACTION SUMMARY

The transactions are securitisations of Irish non-conforming
residential mortgage loans originated by Start Mortgages Ltd.

KEY RATING DRIVERS

High Arrears, Delayed Foreclosures: In LMS1, 37% of the portfolio
is in arrears over 90 days and in LMS2 35% was at the June 2021
payment date. The majority of borrowers in arrears have been
subject to restructuring measures. The provisioning mechanism is
defined on losses rather than defaults. As foreclosure timing in
Ireland is often long, crystallisation of losses and subsequent
provisioning in the revenue waterfall is being delayed. This leads
to the transactions' high sensitivity to a longer foreclosure
timing and is particularly relevant for LMS1's class M1 notes and
LMS2's class A2 and M1 notes.

Fitch applied an increased floor of 100% for the Performance
Adjustment Factor (PAF), as per Fitch's European RMBS Rating
Criteria, as Fitch considers the reported levels of defaults
understated by late default definition in transaction documents (as
loans are rather restructured than repossessed).

Payment Interruption Risk Constrains Ratings: The transactions'
reserve funds may be drawn to cover losses. If the high arrears
translate into foreclosures and then losses within a short period,
reserves could be depleted imminently. As a result, in Fitch's
view, payment interruption risk is not adequately addressed and the
ratings are capped at 'B+sf', which limits the rating for LMS1's
class A2 notes.

The transaction documents allow for interest to be deferred on
subordinated notes until they become the most senior. Some of the
subordinated notes in both transactions (class B1 and B2 in LMS1
and class M2 and B in LMS2) are expected to experience interest
deferral in the expected case scenario. Fitch considers this
adequately reflected in the notes' 'CCsf' rating.

CE Build-up Supports Senior Notes: The sequential amortisation of
the notes has led to an increase in credit enhancement (CE),
particularly for the senior notes. As arrears remain elevated, the
transactions will continue paying sequentially, due to the arrears
trigger breach. CE may continue to increase further as long as
losses continue to be limited. However, the rating of the notes
remains constrained.

Limited Impact from Updated Criteria Assumptions: The analysis is
based on Fitch's updated European RMBS Rating Criteria. During the
latest criteria review, Fitch revised its assumptions for Ireland,
including its house price decline assumptions for Irish properties,
which led to higher weighted average recovery rates (WARR) and
resultant lower loss assumptions for the transactions. The analysis
also reflects Fitch's removal of the additional stresses in
relation to the coronavirus outbreak.

The updated assumptions had a limited impact on the notes' ratings,
as they remain constrained.

Elevated ESG Score: LMS1 and LMS2 have an ESG Relevance Score of
'5' for Governance (Rule of Law, Institutional and Regulatory
Quality) due to exposure to jurisdictional legal risks; regulatory
effectiveness; supervisory oversight; foreclosure laws; government
support and intervention, which has a negative impact on the credit
profile, and is highly relevant to the rating. The current
foreclosure practice is negatively affecting the ratings.

The key rating drivers listed in the applicable sector criteria,
but not mentioned above, are not material to this rating action.

RATING SENSITIVITIES

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

-- The majority of the loans in the portfolios have been subject
    to restructuring arrangements as opposed to foreclosures
    taking place. Increased foreclosure frequency, lower recovery
    proceeds combined with longer foreclosure timing could result
    in downgrades.

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

-- If the transactions continue to make timely payments while
    withstanding negative carry and losses from delinquencies and
    foreclosures, leading to a decrease in late stage arrears,
    Fitch may reduce its foreclosure frequency assumptions and
    perceive the risk of delayed foreclosures as reduced. This
    could result in upgrades.

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

Lansdowne Mortgage Securities No. 1 Plc, Lansdowne Mortgage
Securities No. 2 Plc

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

Both transactions have an ESG Relevance Score of '5' for Rule of
Law, Institutional and Regulatory Quality due to exposure to
jurisdictional legal risks; regulatory effectiveness; supervisory
oversight; foreclosure laws; government support and intervention,
which has a negative impact on the credit profile, and is highly
relevant to the rating. The current foreclosure practice is
negatively affecting the ratings.

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




=====================
N E T H E R L A N D S
=====================

TRIODOS BANK: Fitch Gives BB+(EXP) Rating to Planned Sub. T2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned Triodos Bank N.V.'s planned subordinated
Tier 2 issue an expected long-term rating of 'BB+(EXP)'. The
assignment of a final rating is contingent on the receipt of final
documents consistent with the information already received.

KEY RATING DRIVERS

The expected rating of the proposed subordinated notes is two
notches below Triodos Bank's 'bbb' Viability Rating. The notching
considers the loss severity risk arising from the likely poor
recovery prospects for the notes due to subordination in a
non-viability event.

Fitch does not apply further notches for non-performance risk
because the terms of the notes do not provide for loss absorption
on a "going concern" basis.

RATING SENSITIVITIES

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

-- The notes could be downgraded if Triodos Bank's VR is
    downgraded to maintain the two-notch differential with the VR.

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

-- The notes could be upgraded if Triodos Bank's VR is upgraded.

-- The notes' rating is also sensitive to a change in notching
    should Fitch change its assessment of loss severity or
    relative non-performance risk.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, 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.

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.




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

BRITISH AIRWAYS: Fitch Affirms 'BB' LongTerm IDR, Outlook Negative
------------------------------------------------------------------
Fitch Ratings has affirmed British Airways Plc's (BA) Long-Term
Issuer Default Rating (IDR) at 'BB'. The Outlook is Negative.

The rating affirmation reflects Fitch's expectation for easing
travel restrictions to allow a meaningful recovery in BA's
operations after being hit particularly hard by the pandemic.
Subdued recovery has been mitigated by its rebased cost base as
well as by the balance-sheet repair undertaken at BA's parent,
International Consolidated Airlines Group, S.A. (IAG).

The Negative Outlook reflects continued volatility in demand with
risks from new virus variants and resulting travel restrictions as
well as uncertainty around the future of premium demand to which BA
has a large exposure. Fitch expects fiercer competition, with
yields under pressure from aggressive expansion and pricing
strategies from ultra low-cost carriers on intra-European routes,
and slower recoveries of corporate demand and long-haul traffic.
However, Fitch may revise the Outlook to Stable once Fitch sees
evidence of extended forward bookings and revenue recovery.

KEY RATING DRIVERS

Weaker Standalone Credit Profile: In Fitch's view, BA's Standalone
Credit Profile (SCP) has weakened to be in line with IAG's
consolidated credit profile at 'bb', which means the latter no
longer acts as a rating constraint for BA. Fitch expects BA's funds
from operation (FFO) adjusted net leverage to improve to within
Fitch's negative sensitivity by 2023 - a year later than Fitch's
prior expectations - driven by another year of lacklustre operation
that Fitch had not anticipated last year. BA's results have so far
lagged European peers' due to stricter travel restrictions in the
UK. Fitch's rating case continues to assume tangible support from
IAG in equity-like form.

Moderate Parent-Subsidiary Ties: Fitch assesses BA's legal and
operational ties with IAG as 'Weak' and 'Moderate', respectively,
leading to Fitch's overall 'Moderate' assessment. While IAG
continues to allow its operating entities to be run independently,
IAG has provided financial support to BA in times of need. IAG
raised EUR2.74 billion in an equity issuance in September 2020, of
which EUR1.6 billion was on-lent to BA as a term loan. BA is the
key contributor to the consolidated credit profile, generating
about 60% of IAG's 2019 EBITDA. IAG has effective parental control
of BA's board.

Steady Recovery After Weaker Performance: Despite a rapid vaccine
rollout, UK's stricter travel restrictions have led BA's operation
in 1H21 to be 14% of its available seat kilometres (ASK) in 1H19.
Ramp-up has been much slower relative to that of most major
airlines, including network and low-cost carriers. Fitch expects
travel recovery to be steadier and less volatile than in the past
15 months, given successful vaccine rollouts, improved testing
regimes and better coordination of travel restrictions globally.
Fitch forecasts BA's 2021 revenue to be slightly lower than 2020's
but FFO (Fitch-adjusted, after lease) to improve to around -GBP1.7
billion (2020: -GBP3 billion), on a reduced cost base and smaller
exceptional loss from restructuring or fuel over-hedging.

Restructuring Mitigates Margin Pressure: Fitch expects BA's
substantial cost-saving measures taken on fleet and workforce to
mitigate pressure on profitability arising from stiffer
competition, increased fuel prices and an expected shift in the
customer base away from corporates in the medium term. Fitch does
not expect yields to recover to 2019 levels at least until 2024. BA
has retired early its 32 Boeing 747 aircraft, which are less
fuel-efficient and more focused on first/business classes than the
replacement fleet such as A350 and B787. Over 20% of staff have
left BA and management envisage that staff unit cost will be as
much as 10% lower than pre-pandemic levels once its capacity
returns to 2019 levels.

Competitive Position in EMEA: Fitch expects BA's cost-cutting
measures will help the company emerge from the crisis and remain a
highly competitive carrier in various markets. Fitch forecasts BA's
cost per ASK to improve to around USD0.08 by 2023 - similar to its
2019 levels - on the back of improved operational efficiency,
labour-and-supplier cost optimisation, fleet efficiencies and
technological advancement. BA's cost position is stronger than
western European and US network carriers' but weaker than that of
fast- growing ultra-low-cost carriers with whom BA also competes,
particularly on intra-European routes.

UK/US Relaxations Help Recovery: The recent relaxation of travel
restrictions by both the UK and US governments will boost BA's
operational performance in time for the Christmas season. BA's
recovery was directly derailed by a more restrictive UK travel
policy in light of Covid-19 than other neighbouring countries'. BA
is the European leader in the transatlantic market and, according
to OAG, has generated 37% of revenue from Europe-north America
routes in 2019. Despite some airlines having exited, Fitch expects
overcapacity in the transatlantic market in the near term as other
intercontinental routes remain subdued.

Capex-driven Negative FCF: Fitch forecasts negative free cash flow
(FCF) during 2021-2024, despite expected steady improvements. Fitch
expects capex in 2022-2024 to be significantly higher than its
historical average in 2016-2019 as BA commits to fleet renewal and
resumption of non-mandatory investments that were deferred during
the crisis. BA has made no cancellation on aircraft orders but
pushed them out to later years to replace older aircraft. Early
retirement of the 747 fleet requires replenishment of its widebody
fleet if BA were to ramp up its capacity to pre-pandemic levels.
Planned fleet renewal will enable BA to better adapt to a shifting
customer base and improve cost efficiency.

DERIVATION SUMMARY

BA's exposure to the pandemic is similar to other major European
network carriers'. The company's liquidity buffer is fairly strong
and comparable to Ryanair Holdings plc's (BBB/Negative) and Wizz
Air Holdings plc's (BBB-/Negative). BA's recovery has lagged behind
many of its competitors', due to stricter travel restrictions in
the UK and a reliance on international traffic and corporate
demand, both of which are set to recover at a slower pace. Delay in
recovery, however, has not changed Fitch's view on the company's
business risk as BA remains competitive in the broader aviation
market through the cycle while its weaker financial profile is the
key driver of its current rating and Outlook.

KEY ASSUMPTIONS

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

-- Annual capacity to fall 70% in 2021 (2020: 66%), compared with
    2019; 25% in 2022 and 10% in 2023 before it fully recovers in
    2024;

-- Deterioration in load factor to 65% in 2021 (2019: 83.6%) and
    a gradual recovery to around 77%-80% by 2024;

-- Low single-digit decline in yields for the next three years,
    reflecting an expected more competitive market environment;

-- Oil price of USD63/bbl in 2021, USD55/bbl in 2022, USD53/bbl
    in 2023 and 2024;

-- Capex of about GBP5.8 billion during 2021-2024;

-- No dividends during 2021-2024;

-- Sixty per cent of IAG's EUR2.74 billion capital increase in
    September 2020 to be distributed to BA.

RATING SENSITIVITIES

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

-- Fitch does not anticipate an upgrade, as reflected in the
    Negative Outlook unless a quicker-than-assumed recovery
    follows the re-opening of transatlantic routes, supporting a
    sustained recovery in forward bookings, revenues and credit
    metrics to levels stronger than those outlined in the negative
    sensitivities below that would allow us to revise the Outlook
    to Stable.

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

-- Failure to adapt to changing market conditions with mitigation
    measures, prolonged economic crisis and air travel
    restrictions, weaker-than-expected yields or more aggressive
    capex or dividend payments;

-- FFO adjusted gross leverage and total adjusted gross
    debt/EBITDAR above 4.7x;

-- FFO adjusted net leverage above 3.7x;

-- Weakening consolidated credit profile of IAG while maintaining
    stronger links with the parent.

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

Sufficient Liquidity: As of June 2021, BA had cash and cash
equivalent of GBP1.7 billion and committed and undrawn general and
aircraft facilities available of GBP1.4 billion. This, along with
USD785 million EETC issued in July 2021, is sufficient against
GBP951 million of short-term debt and Fitch-expected FCF of GBP1.2
billion until 1H22. Fitch expects further parent support and other
capital-market debt by BA, if needed.

ISSUER PROFILE

BA is the fourth-largest European airline based on pre-pandemic
passenger-revenue-kilometres and the largest UK international
airline. It benefits from an extensively diversified route
structure, a strong position at the Heathrow hub and on the
transatlantic market - one of the most profitable routes in the
world.

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.


ESSAR OIL: Deloitte Faces ICAEW Probe Over Audit
------------------------------------------------
James Booth at Financial News reports that Deloitte is reportedly
being investigated in connection with its auditing of refinery
company Essar Oil UK.

Deloitte resigned as the company's auditor in October 2020, raising
governance concerns around Essar Oil UK's audit strategy, Financial
News recounts.  It did not raise such concerns when it signed off
the company's accounts for the 18 months to September 2019,
Financial News notes.

The Institute of Chartered Accountants in England and Wales has
opened an investigation into whether the Big Four firm should have
raised its concerns about Essar's governance earlier than it did,
the Financial Times reported, citing documents it had seen,
Financial News relays.

According to Financial News, an ICAEW case manager wrote in the
documents cited by the FT that "given the contents and timing of
the resignation statement [relative] to the audit report issued I
do have some potential concerns regarding the audit report
issued".

An Essar Oil UK spokesperson, as cited by Financial News, said in a
statement: "Deloitte gave EOUK a clean audit opinion in July 2020,
as did a separate independent auditor in 2021.  EOUK has taken
extensive action to address the governance concerns raised by
Deloitte more than a year earlier, including the appointment of an
additional independent director and a commitment to the Wates
Corporate Governance Principles."

"Our disciplinary byelaws preclude us from commenting on whether
any matter may or may not be the subject of consideration by our
professional conduct department.  Where such consideration results
in disciplinary action being taken then a public announcement will
be made," Financial News quotes an ICAEW spokesperson as saying.

The report said ICAEW is also examining whether Deloitte missed a
deadline for filing the reasons for its resignation at Companies
House, Financial News relates.  It is also reportedly examining how
Deloitte dated documents when it did file them almost six months
after its resignation, Financial News discloses.

Auditors that resign over governance concerns are required to file
a statement of reasons at Companies House within 28 days.  Deloitte
filed a statement in November 2020, but it was deemed unacceptable
and returned, Financial News relays, citing a Companies House
response to a freedom of information request, seen by the FT.

The second statement was not sent to Companies House until April
2021, almost six months on from Deloitte's resignation, Financial
News states.

Deloitte was fined GBP15 million last year plus more than GBP5
million in costs for its conduct during its audit of software
company Autonomy, according to Financial News.

As reported by the Troubled Company Reporter-Europe on April 13,
2021, Place North West related that Essar Oil UK said it's fully
committed to its operations at the Ellesmere Port oil refinery,
including plans to decarbonize its activities and produce
sustainable fuel there, despite reports that the company is nearing
collapse.  Sky News reported on April 9 that Essar, which bought
the 2,000-acre Stanlow Oil Refinery at the Cheshire enterprise zone
from Shell in 2011, had been in urgent discussions over efforts to
stabilize its finances, Place North West related.  Whitehall
officials had reportedly been warned of the company's declining
financial position amid fears it might be close to collapse, Place
North West noted.


GREENSILL CAPITAL: Credit Suisse to Front Costs to Recover Cash
---------------------------------------------------------------
Lucca De Paoli and Marion Halftermeyer at Bloomberg News report
that Credit Suisse Group AG said it will front "as much as
possible" of the legal and advisory costs to recover cash for
investors in supply-chain finance funds it ran with the now-defunct
Greensill Capital.

According to Bloomberg, Credit Suisse said in a statement published
on Oct. 6 the majority of expenses incurred in recovering the money
has not been passed onto investors.  It estimates it will spend
around US$145 million for the process in 2021.

Credit Suisse's asset management arm "is fronting as much of this
expense as possible and will seek to recoup the amount which has
been incurred when appropriate," it said, Bloomberg notes.  Part of
the recovery work is being done by the bank's own teams and those
costs will be absorbed by the bank, Bloomberg states.

The Swiss bank ran a suite of funds that invested in notes issued
by Greensill Capital, a specialty lender that went into
administration in March, Bloomberg recounts.  It said expenses
incurred include advisory fees, money to continue operating
Greensill infrastructure and ongoing fund costs, Bloomberg relates.


Credit Suisse, Bloomberg says, is still trying to recover US$2.7
billion in overdue loan payments.  The majority -- US$2.3 billion
-- lies with problem borrowers Katerra Inc., Sanjeev Gupta's GFG
Alliance Ltd., and Bluestone Resources Inc., Bloomberg discloses.
All three are undergoing restructuring processes and the bank has
said it needs more time to assess how much of investors' money it
will get back, according to Bloomberg.

Refinancing and restructuring discussions are ongoing with respect
to GFG Alliance's assets in the US, the U.K., and Australia.
Katerra is in a U.S. Chapter 11 process and a liquidator has been
appointed, Bloomberg relates.  The bank said it began conversations
with Bluestone and its shareholders to find an agreement on
payments, which is unlikely to happen before the fourth quarter,
Bloomberg notes.  The company is offering US$300 million and half
of the value of its business to repay the loans made by Greensill
Capital that ended up in the Credit Suisse funds, Bloomberg
reported.

The remaining US$400 million is due to late payments from debtors
who are at risk of insolvency or unable to refinance, according to
Bloomberg.  The bank, as cited by Bloomberg, said it can expect a
recovery of more than 90% but less than 100% of the aggregate value
of those loans.  


NMCN: Galliford Try Acquires Water Business
-------------------------------------------
Sam Steers at Construction Global reports that UK construction firm
Galliford Try has announced that it has acquired NMCN's water
business including the specialist water process and control
businesses Nomenca and Lintott in a GBP1 million transaction.

The news comes after NMCN announced that it had gone into
administration, Construction Global notes.

According to Construction Global, in addition to the GBP1.0 million
purchase price, Galliford Try claims that it will have to fund
specific contractual liabilities incurred prior to the completion
date of the Transaction which will be necessary to provide
operational stability to the Water Business.

For the year ended December 31, 2019, being the last year for which
NMCN has published audited results, NMCN's water business generated
an operating profit of GBP7.6 million on turnover of GBP282.6
million, Construction Global discloses.  The gross assets of NMCN's
water segment were GBP70 million as of December 31, 2019,
Construction Global states.


NMCN: Subsidiaries Expected to Be Sold Off for Fraction of Value
----------------------------------------------------------------
Rob Hakimian at New Civil Engineer reports that NMCN group's
subsidiaries will be sold off for a fraction of their value,
according to a leading construction market analyst.

On Oct. 4, it was revealed that the firm had entered into
administration after a planned refinancing of the business
collapsed, NCE relates.

When announcing its administration, a NMCN spokesperson confirmed
that subsidiary companies would be sold off as part of the
administrative process, NCE notes.

Subsidiaries owned by NMCN include Nomenca, NMCN Developments, and
electrical equipment manufacturer Lintott Control Systems, NCE
discloses.

According to NCE, sections of the core business are also expected
to be sold off including the firm's Infrastructure, Plant Transport
& Accommodation, Telecoms and Water divisions.

However, DRS Bond Management managing director Chris Davies expects
any sales to be completed at a cut price, NCE states.

"It's now a fire sale," Mr. Davies told NCE.  "My suspicion is that
there will undoubtedly be divisions that are very well run, perhaps
by region rather than by business itself, that will be carve-outs
that can be sold.

"But the prices that they will be expecting to get for those
businesses will not be realised.

"My conclusion is that there will be a modest recovery, but it
really will be pennies on the pound," he added.  "What typically
happens with construction businesses and civil engineering groups
is that if one part goes, the lot goes.

"A lot of that has to do with cross-securitisation of debt, where
one part of the group may have borrowed but the whole group is on
the hook if there is a default on that debt."

Mr. Davies compared the situation to that of construction giant
Kier, which had to sell off parts of the company earlier this year
to make ground on its significant debt, but said NMCN's position is
"a hundred times worse", NCE relates.

According to NCE, Mr. Davies described NMCN's collapse as a "tale
of woe" and believes it should never have come to this.  

"Given the potential pipeline of infrastructure work that should be
coming through over the next 10 to 15 years -- whether you want to
use the 'build back better' slogan or 'levelling up' -- there's no
way that this business should have gone unless it had been in
catastrophic difficulties for some time," NCE quotes Mr. Davies as
saying.

"My suspicion is that these losses have accumulated over a period
of years, being hidden in work in progress on the balance sheet."


NMCN: Svella Acquires Business Units, 680 Jobs Secured
------------------------------------------------------
Tiya Thomas-Alexander at Construction News reports that NMCN's
telecoms, plant, transport and accommodation business units have
been acquired by Svella, the investor that was leading a GBP24
million re-financing of the contractor.

According to Construction News, Svella said that its acquisition of
the operations had secured 680 jobs and would provide assurance to
suppliers.  The assets acquired include plant and machinery, mobile
offices and welfare units, Construction News discloses.  The
investor, as cited by Construction News, said that the acquisition
would avoid disruption of NMCNs telecoms division by continuing to
service telecoms infrastructure services for BT, Virgin Media and
CityFibre, while preserving the supply chain.

The new owner said it was "best placed" to ensure other parts of
the collapsed contractor -- which operate in the water, highways
and building markets -- could use its assets, Construction News
relates.  It added that the other divisions could be bought out of
administration by different buyers, Construction News notes.

On October 4, 2021, NMCN appointed Grant Thornton UK as
administrators after a GBP24 million refinancing deal fell through
because NMCN could not sign off its 2020 accounts, Construction
News recounts.

According to Construction News, Svella said talks had been ongoing
between the two parties about a solution.

NMCN was a utilities-focused contractor with a GBP400 million
turnover business when it went into administration.  It was
expected to report a pre-tax loss of around GBP43 million for 2020,
according to Construction News.

Svella was a secured creditor of NMCN, Construction News notes.
The Cumbria-based investor targets distressed and underperforming
businesses, particularly in civil engineering, construction,
energy, infrastructure, logistics and transport.


RANGERS FC: BDO Awarded GBP3.4MM Plus Interest by Lord Tyre
-----------------------------------------------------------
Scottish Legal News reports that BDO has been awarded GBP3.4
million plus interest by Lord Tyre in the Outer House in a case
over Rangers Football Club (FC).

According to Scottish Legal News, administrators Paul Clark and
David Whitehouse were allegedly guilty of breaches of duties to the
company.  The firm consequently suffered loss, injury and damage,
and the interests of creditors were not served, Scottish Legal News
discloses.

Administrators Paul Clark and David Whitehouse should have thought
about selling the club's training ground and other options in order
to satisfy creditors, Scottish Legal News states.

The case was lodged in 2017 but evidence was only heard earlier
this year, Scottish Legal News recounts.  Rangers went into
administration in 2012 after it failed to pay national insurance
and VAT, Scottish Legal News relates.

It was owned by Craig Whyte at the time, Scottish Legal News notes.
He had paid a token GBP1 for the club to Sir David Murray the
previous year and said he would wipe its GBP18 million debt,
according to Scottish Legal News.

Messrs Clark and Whitehouse had aimed to sell the business,
Scottish Legal News relays.  HMRC, however, voted against a company
voluntary arrangement, which would have given the club more time to
pay its debts, Scottish Legal News recounts.  It was bought by a
consortium led by businessman Charles Green, Scottish Legal News
states.

BDO then took over as liquidator, Scottish Legal News discloses.

Lord Tyre, awarded GBP750,000 for failing to take the opportunity
to look into selling Ibrox and leasing it back to the club along
with GBP850,000 for their reluctance to explore a sale of the
club's training ground, which was then known as Murray Park,
according to Scottish Legal News.


SOUTHERN PACIFIC 06-1: Fitch Affirms CCC Rating on Cl. FTc Debt
---------------------------------------------------------------
Fitch Ratings has taken rating actions on Southern Pacific
Financing 05-B Plc (SPF 05-B), Southern Pacific Financing 06-A Plc
(SPF 06-A) and Southern Pacific Securities 06-1 plc (SPS 06-1).

       DEBT                    RATING             PRIOR
       ----                    ------             -----
Southern Pacific Financing 06-A Plc

Class A XS0241080075      LT AAAsf   Affirmed     AAAsf
Class B XS0241082287      LT AAAsf   Affirmed     AAAsf
Class C XS0241083764      LT AAAsf   Upgrade      AA+sf
Class D1 XS0241084572     LT AAsf    Upgrade      A+sf
Class E XS0241085033      LT BBB+sf  Affirmed     BBB+sf

Southern Pacific Financing 05-B Plc

Class B XS0221840324      LT AAAsf   Affirmed     AAAsf
Class C XS0221840910      LT AAAsf   Affirmed     AAAsf
Class D XS0221841561      LT AA+sf   Upgrade      AAsf
Class E XS0221842023      LT A+sf    Upgrade      Asf

Southern Pacific Securities 06-1 plc

Class B1c XS0240950880    LT AAAsf   Affirmed     AAAsf
Class C1a XS0240951185    LT AAAsf   Upgrade      AAsf
Class C1c XS0240952076    LT AAAsf   Upgrade      AAsf
Class D1a XS0240952316    LT Asf     Upgrade      BBB+sf
Class D1c XS0240953470    LT Asf     Upgrade      BBB+sf
Class E1c 84359LAS3       LT B-sf    Downgrade    Bsf
Class FTc 84359LAU8       LT CCCsf   Affirmed     CCCsf

TRANSACTION SUMMARY

The transactions comprise non-conforming UK mortgage loans
originated by wholly owned subsidiaries of Lehman Brothers. They
closed between 2005 and 2006.

KEY RATING DRIVERS

Adequate Asset Performance; Credit Enhancement Build-up: Asset
performance has evolved in line with Fitch's expectations. Total
arrears for the transactions have fallen from the highs reached in
mid-2020. Late stage arrears have also started to stabilise, albeit
at a slower pace after a number of accounts have rolled into
longer-dated arrears since March 2020.

Credit enhancement (CE) has continued to build up, in line with the
amortisation of the notes. This has led to upgrades of SPF 05-B's
class D and E notes, SPF 06-A's class C and D notes and SPS 06-1's
class C1a, Cc, D1a and D1c notes. Stable performance and reduced
risks of significant collateral underperformance versus Fitch's
expectations are also reflected in the Stable Outlooks on the class
E notes of SPF 05-B and SPF 06-A.

New UK RMBS Criteria Drives Downgrade: SPS 06-1's class E1 notes
have been downgraded to 'B-sf' as a result of a change in Fitch's
UK RMBS Criteria. This change determined that any note with a
model-implied rating (MIR) lower than 'B-sf' must have a rating in
the range of 'Csf' to 'B-sf' instead of up to 'B+sf' previously.
The notes have also been removed from Rating Watch Negative.

Excessive Counterparty Exposure: Fitch has identified excessive
dependency on a transaction counterparty for SP 05-B's class D and
E notes. In a "jump to default" scenario for the transaction's
account bank (Barclays Bank plc, A+), these two classes could be
downgraded by 10 notches or more. Consequently, Fitch restricted
the upgrade of the class D to 'AA+sf', as the notes' counterparty
exposure to the account bank would not be material at this rating.
The class E notes have been upgraded to 'A+sf'. This is equal to
the rating of the transaction's account bank and is not currently
constrained by excessive counterpary risk analysis.

Foreclosure Frequency Macroeconomic Adjustments: Fitch applied
foreclosure frequency (FF) macroeconomic adjustments to SPF 05-B
and SPS 06-1's total asset pools, and to SPF 06-A's UK
non-conforming sub-pool because of the expectation of a temporary
mortgage underperformance (see Fitch Ratings to Apply Macroeconomic
Adjustments for UK Non-Conforming RMBS to Replace Additional
Stress).

With the end of the government's repossession ban, there is still
uncertainty regarding borrowers' performance in the UK
non-conforming sector where many borrowers have already rolled into
late arrears over recent months. Borrowers' payment ability may
also be challenged with the end of the furlough schemes. The
adjustment is of 1.58x at 'Bsf' while no adjustment is applied at
'AAAsf' as assumptions are deemed sufficiently remote at this
level.

Interest-only Concentration Risks: The transactions have a
significant proportion of owner-occupied interest-only loans (SPF
05-B: 72.2%, SPF 06-A: 69%, SPS 06-1: 63.2%), which represents an
elevated back-loaded risk profile for the portfolios. Due to the
material concentration of interest-only loans in all transactions,
Fitch floored the performance adjustment factor (PAF) to 100% in
line with its UK RMBS Rating Criteria. Fitch will monitor the
performance of these loans as they approach their maturity dates.

RATING SENSITIVITIES

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

-- Performance for the Southern Pacific series may be affected by
    negative developments in the UK's economic performance. A
    decrease in economic output for the country could affect asset
    performance, increasing arrears and default levels for all
    transactions.

-- In order to capture the possible impact of an economic
    deterioration, Fitch conducts a sensitivity analysis by
    testing a scenario in which there is a 15% increase in FF and
    a 15% decrease in recovery rate (RR) beyond Fitch's base case
    assumption. The application of this stress indicated
    downgrades of up to seven, 10 and five notches for SPF 05-0B,
    SPF 06-A and SPS 06-1, respectively.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing credit
    enhancement and potential upgrades. Fitch tested an additional
    rating sensitivity scenario by applying a decrease in the FF
    of 15% and an increase in the RR of 15%, implying upgrades of
    up to three, five and 11 notches for SPF 05-B, SPF 06-A and
    SPS 06-1, respectively.

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

Southern Pacific Financing 05-B Plc, Southern Pacific Financing
06-A Plc, Southern Pacific Securities 06-1 plc

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

SPF 05-B, SPF 06-A and SPS 06-1 have an ESG Relevance Score of '4'
for "Customer Welfare - Fair Messaging, Privacy & Data Security"
due to the pools exhibiting an interest-only maturity concentration
of legacy non-conforming owner-occupied loans, which has a negative
impact on the credit profile, and is relevant to the ratings in
conjunction with other factors.

SPF 05-B, SPF 06-A and SPS 06-1 have an ESG Relevance Score of '4'
for "Human Rights, Community Relations, Access & Affordability" due
to a significant proportion of the pools containing owner-occupied
loans advanced with limited affordability checks, 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.


TOWD POINT 2019: Fitch Assigns B+(EXP) Rating on Class G Notes
--------------------------------------------------------------
Fitch Ratings has assigned Towd Point Mortgage Funding 2019 -
Granite 4 plc's (Granite 4) refinancing notes expected ratings.

The notes listed are refinancing notes to be issued from the
existing Towd Point Mortgage Funding 2019 - Granite 4 (TPMF Granite
4) transaction. This will occur on the subordinated optional
redemption date (20 October 2021), at which time the outstanding
class B, C, D, E, F and Z notes will be replaced by the refinancing
notes. The current class A1 notes cannot be called and will remain
outstanding and their current rating is expected to be affirmed by
Fitch at closing date.

The assignment of final ratings is contingent on the receipt of
final documents conforming to information already received.

DEBT                      RATING
----                      ------
Towd Point Mortgage Funding 2019 - Granite 4 plc

Class A2 - R    LT AAA(EXP)sf  Expected Rating
Class B - R     LT AA+(EXP)sf  Expected Rating
Class C - R     LT A+(EXP)sf   Expected Rating
Class D - R     LT A(EXP)sf    Expected Rating
Class E - R     LT BBB(EXP)sf  Expected Rating
Class F - R     LT BB(EXP)sf   Expected Rating
Class G - R     LT B+(EXP)sf   Expected Rating
Class Z - R     LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

This transaction is a securitisation of prime UK owner-occupied
(OO) mortgages originated by Northern Rock plc prior to the global
financial crisis.

KEY RATING DRIVERS

Seasoned Loans: The portfolio consists of seasoned prime OO loans
predominantly originated between 2003 and 2007 (93.7%). The pool
has benefitted from considerable indexation, with a weighted
average (WA) indexed current loan-to-value (CLTV) of 50.7% leading
to a WA sustainable LTV of 70%. The pool also contains a fairly
high share of interest-only (IO) loans, with a material proportion
of the loans that may have been originated as fast-track loans.

Worse-than-Average Performance: Arrears levels, both current and
historical, are above those typical of prime UK pools. Fitch
considered the historical performance and the average annualised
constant default rate (CDR) of the pool in setting the lender
adjustment of 1.4x under its prime criteria assumptions.

Class A2 Liquidity Facility Created: The issuance of new class A2
notes will lead to the creation of a dedicated liquidity facility
(LF) for the A2 notes. This will eventually convert into a
liquidity reserve fund (LRF), which will begin funding on the
liquidity facility redemption date (October 2026).

The class A2 notes will be subordinated to the class A1 notes and
payments to the A2LF and A2LRF will also be subordinated to
payments of interest and principal for the class A1 notes. The
A2LRF will be funded via interest at a junior position and
principal receipts at a senior position. Use of principal receipts
will create a principal deficiency debit to be applied reverse
sequentially to the notes, with excess amounts released into the
revenue waterfall.

Borrowers' Refinancing Challenges Remain: The WA debt-to-income of
32.7% suggests strong borrower affordability, but the proportion of
borrowers in the pool still on the standard variable rate (SVR,
92.8% including small number of fixed-rate loans that are yet
revert to SVR) means refinancing is still an issue for many of the
borrowers, especially given the number of cheaper products
currently available on the market. Many would not meet the
affordability criteria of lenders after the 2014 Financial Conduct
Authority Mortgage Market Review. The SVR loans will also remain
unhedged, leading to basis risk, although the level of excess
spread to date for the transaction has been very robust.

RATING SENSITIVITIES

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

-- The transaction's performance may be affected by changes in
    market conditions and economic environment. Weakening asset
    performance is strongly correlated to increasing levels of
    delinquencies and defaults that could reduce credit
    enhancement available to the notes.

-- Additionally, unanticipated declines in recoveries could also
    result in lower net proceeds, which may make certain note
    ratings susceptible to negative rating actions, depending on
    the extent of the decline in recoveries. Fitch conducts
    sensitivity analyses by stressing both a transaction's base
    case foreclosure frequency (FF) and recovery rate (RR)
    assumptions, and examining the rating implications on all
    classes of issued notes. A 15% increase in weighted average FF
    (WAFF) and a 15% decrease in WARR indicate downgrades of up to
    six notches across the capital structure.

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

-- Stable to improved asset performance, driven by stable
    delinquencies and defaults, would lead to increasing credit
    enhancement and, potentially, upgrades. A decrease in WAFF of
    15% and an increase in WARR of 15% indicate upgrades of up to
    three notches across the capital structure.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte LLP. The third-party due diligence described
in Form 15E focused on the validation of loan-level data provided
in the loan-level data file for the pool compared with the original
loan files. Fitch considered this information in its analysis,
which did not have an effect on its analysis or conclusions.

DATA ADEQUACY

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

Overall, Fitch's assessment of the asset pool information relied on
for the agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.

ESG CONSIDERATIONS

Towd Point Mortgage Funding 2019 - Granite 4 plc has an ESG
Relevance Score of '4' for Customer Welfare - Fair Messaging,
Privacy & Data Security due to a high proportion of interest-only
loans in legacy OO mortgages, which has a negative impact on the
credit profile, and is relevant to the ratings in conjunction with
other factors.

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




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

[*] BOND PRICING: For the Week October 4 to October 10, 2021
------------------------------------------------------------
Issuer                     Coupon   Maturity  Currency  Price
------                     ------   --------  --------  -----
Casino Guichard Perracho     3.992               EUR    72.328
Casino Guichard Perracho     1.004               EUR    42.435
Intralot Capital Luxembo     5.250   9/15/2024   EUR    59.971
PB International BV          7.625   1/26/2022   USD    41.387
Mitsubishi UFJ Investor      3.957  12/15/2050   EUR    50.393
Paragon GmbH & Co KGaA       4.000   4/23/2023   CHF    65.550
Accor SA                     0.700   12/07/2027  EUR    51.066
Moby SpA                     7.750   2/15/2023   EUR    36.037
Mallinckrodt Internation     4.750   4/15/2023   USD    27.750
Rallye SA                    4.000   2/28/2030   EUR    28.711
Hurricane Energy PLC         7.500   7/24/2022   USD    64.385
Hylea Group SA               7.250   12/01/2022  EUR    12.200
Air France-KLM               0.125   3/25/2026   EUR    15.848
Nostrum Oil & Gas Financ     8.000   7/25/2022   USD    27.458
Mallinckrodt Internation     5.750   08/01/2022  USD    63.500
Wirecard AG                  0.500   09/11/2024  EUR    11.000
Intelsat Jackson Holding     5.500   08/01/2023  USD    55.000
Yell Bondco PLC              8.500   05/02/2023  GBP    60.219
Intelsat Luxembourg SA       8.125   06/01/2023  USD     1.625
Fuerstenberg Capital II      5.625               EUR    48.931
Rallye SA                    4.371   1/23/2023   EUR    28.500
Korian SA                    0.875   03/06/2027  EUR    57.139
Intu Debenture PLC           5.562  12/31/2027   GBP    39.293
Metro Bank PLC               5.500   6/26/2028   GBP    65.128
Intelsat Jackson Holding     8.500  10/15/2024   USD    55.000
Maisons du Monde SA          0.125   12/06/2023  EUR    47.243
Naviera Armas SA             6.500   7/31/2023   EUR    74.735
FIGEAC-AERO                  1.125  10/18/2022   EUR    21.919
Mallinckrodt Internation     5.625  10/15/2023   USD    64.500
Voltalia SA                  1.000   1/13/2025   EUR    31.883
Quadient SA                  3.375               EUR    57.738
Privatbank CJSC Via UK S    10.250   1/23/2018   USD    10.000
Offshore Drilling Holdin     8.375   9/20/2020   USD    10.561
Nexity SA                    0.250   03/02/2025  EUR    68.137
HOCHDORF Holding AG          2.500               CHF    57.191
Nostrum Oil & Gas Financ     7.000   2/16/2025   USD    27.458
Econocom Group SA/NV         0.500   03/06/2023  EUR     7.652
Korian SA                    2.500               EUR    41.990
EA Partners II BV            6.750   06/01/2021  USD     1.501
Pierre Et Vacances SA        2.000   04/01/2023  EUR    29.176
Mallinckrodt Internation     5.500   4/15/2025   USD    65.250
Rallye SA                    3.250   02/08/2024  CHF    29.016
EYEMAXX Real Estate AG       5.500   4/26/2023   EUR    69.571
Travelex Financing PLC       8.000   5/15/2022   EUR     1.313
Debenhams PLC                5.250   7/15/2021   GBP     1.001
Intelsat Connect Finance     9.500   2/15/2023   USD    32.898
Thomas Cook Group PLC        6.250   6/15/2022   EUR     0.909
Immigon Portfolioabbau A     5.801               EUR    12.479
Neoen SA                     1.875   10/07/2024  EUR    42.504
Intelsat Jackson Holding     9.750   7/15/2025   USD    55.000
Officine Maccaferri-SpA      5.750   06/01/2021  EUR    20.490
Ziton A/S                    7.900   10/03/2022  EUR    70.744
EYEMAXX Real Estate AG       5.500   9/24/2024   EUR    66.197
O1 Properties Finance PL     0.500   9/27/2028   USD    10.000
Rickmers Holding AG          8.875   06/11/2018  EUR     0.512
Neoen SA                     2.000   06/02/2025  EUR    52.088
Eramet SA                    4.000               EUR    66.017
Intelsat SA                  4.500   6/15/2025   USD    34.039
OGX Austria GmbH             8.375   04/01/2022  USD     0.002
Union Fenosa Preferentes     1.107               EUR    71.100
Rallye SA                    3.400   1/31/2022   EUR    30.700
PREOS Global Office Real     7.500   12/09/2024  EUR    69.900
Rallye SA                    4.000  11/23/2020   CHF    29.000
Bourbon Corp                 8.061               EUR    17.905
Intelsat Luxembourg SA       7.750   06/01/2021  USD     2.500
Deutsche Bank AG             1.268   6/28/2033   USD    72.446
Senvion Holding GmbH         3.875  10/25/2022   EUR     0.358
EOS Imaging SA               6.000   5/31/2023   EUR     6.964
Rallye SA                    5.250   02/01/2022  EUR    30.988
Bilt Paper BV               10.360               USD     1.253
Abengoa Abenewco 2 Bis S     1.500   4/26/2024   EUR     1.183
Air Berlin PLC               8.250   4/19/2018   EUR     0.268
Jain International Tradi     7.125   02/01/2022  USD    21.750
Hellenic Bank PCL           10.000               EUR    49.019
Scandinavian Airlines Sy     0.625               CHF    22.189
Thomas Cook Finance 2 PL     3.875   7/15/2023   EUR     1.778
Galapagos Holding SA         7.000   6/15/2022   EUR     1.500
Mitsubishi UFJ Investor      3.704  12/30/2099   EUR     5.083
Fuerstenberg Capital Ers     1.020               EUR    48.360
EA Partners I BV             6.875   9/28/2020   USD     1.000
Naviera Armas SA             4.250  11/15/2024   EUR    76.299
FF Group Finance Luxembo     3.250   11/02/2021  CHF     8.599
Air Berlin PLC               6.750   05/09/2019  EUR     0.325
Banco Espirito Santo SA      7.125  11/28/2023   EUR     0.139
DOF Subsea AS                8.260  11/27/2023   NOK    27.000
Nexity SA                    0.875   4/19/2028   EUR    59.195
Agrokor dd                   9.875   05/01/2019  EUR    15.000
Breeze Finance SA            6.708   4/19/2027   EUR    31.000
Dexia Credit Local SA        1.180               EUR     3.184
Orient Express Bank PJSC     2.000               USD    30.174
KTG Agrar SE                 7.125   06/06/2017  EUR     2.804
Norddeutsche Landesbank-     7.490               EUR    68.292
OGX Austria GmbH             8.500   06/01/2018  USD     0.002
Avangardco Investments P    10.000  10/29/2018   USD     0.646
Stichting Afwikkeling On     6.250  10/26/2020   EUR     5.375
Genfit                       3.500  10/16/2025   EUR    18.597
Dexia SA                     1.236               EUR     1.674
Nexity SA                    0.125   01/01/2023  EUR    64.769
UkrLandFarming PLC          10.875   3/26/2018   USD     1.879
EDOB Abwicklungs AG          7.500   04/01/2012  EUR     0.642
Koninklijke Luchtvaart M     0.750               CHF    26.250
Norske Skogindustrier AS     7.000  12/30/2026   EUR     0.001
EFG International AG         0.321               EUR    71.748
Air Berlin PLC               5.625   05/09/2019  CHF     0.406
Turkey Government Bond       8.000   03/12/2025  TRY    75.350
Privatbank CJSC Via UK S    10.875   2/28/2018   USD    10.000
Stichting Afwikkeling On    11.250               EUR     1.248
German Pellets GmbH          7.250  11/27/2019   EUR     1.000
Praktiker AG                 5.875   02/10/2016  EUR     0.069
Gamalife - Cia de Seguro     2.957               EUR    72.999
Verimatrix SA                6.000   6/29/2022   EUR     3.790
Senivita Social Estate A     4.000   05/12/2025  EUR     8.010
Tresu Investment Holding     5.000   9/29/2022   EUR    28.250
WD Invest Sarl               1.900   10/02/2024  EUR    10.329
Banco Espirito Santo SA      6.875   7/15/2016   EUR    25.125
Privatbank CJSC Via UK S    11.000   02/09/2021  USD     4.285
Lehman Brothers UK Capit     6.900               USD     3.986
Deutsche Bank AG/London      2.218   3/15/2033   USD    73.092
REM Saltire Holding AS       7.000  12/31/2024   NOK    52.838
International Industrial     9.000   07/06/2011  EUR     0.007
BNG Bank NV                 10.010   6/17/2025   TRY    74.760
Bank Otkritie Financial     10.000   4/26/2019   USD    10.010
Espirito Santo Financial     6.875  10/21/2019   EUR     0.244
FF Group Finance Luxembo     1.750   07/03/2019  EUR     5.442
Joh Friedrich Behrens AG     6.250   6/18/2024   EUR    46.031
Hellenic Republic Govern     2.085   7/25/2057   EUR    48.553
Norske Skogindustrier AS     2.000  12/30/2115   EUR     0.113
Havila Shipping ASA          4.700   01/02/2025  NOK    25.037
Yuksel Insaat AS             9.500   11/10/2015  USD     1.008
International Industrial    11.000   2/19/2013   USD     0.008
DOF Subsea AS                9.500   3/14/2022   USD    27.140
KPNQwest NV                 10.000   3/15/2012   EUR     0.453
Ghelamco Invest              4.500   5/23/2022   EUR    40.000
Claranova SADIR              5.000   07/01/2023  EUR     1.110
Virgolino de Oliveira Fi    10.500   1/28/2018   USD     0.897
Lehman Brothers UK Capit     3.875               EUR     7.069
Windreich GmbH               6.500   03/01/2015  EUR     4.475
OGX Austria GmbH             8.375   04/01/2022  USD     0.002
Hellas Telecommunication     6.054   1/15/2015   USD     0.001
Komplett Bank ASA            8.190               NOK    74.073
Autonomous Community of      2.965   09/08/2039  JPY    69.089
Banca Popolare di Vicenz     2.821  12/20/2017   EUR     0.100
Allied Irish Banks PLC      12.500   6/25/2035   GBP    61.205
LBI ehf                      6.100   8/25/2011   USD     9.842
Banca Popolare di Vicenz     9.500   9/29/2025   EUR     0.049
Alitalia-Societa Aerea I     5.250   7/30/2020   EUR     0.209
Lehman Brothers UK Capit     5.125               EUR     7.127
Saleza AS                    9.000   07/12/2021  EUR     0.203
Grupo Isolux Corsan SA       1.000  12/30/2021   EUR     0.182
New World Resources NV       8.000   04/07/2020  EUR     0.101
Alno AG                      8.500   5/14/2018   EUR    16.325
Cirio Holding Luxembourg     6.250   2/16/2004   EUR     0.723
Offshore Drilling Holdin     8.375   9/20/2020   USD    10.561
Banco Espirito Santo SA      2.102               EUR     0.160
Pentracor GmbH               8.500   5/29/2025   EUR    66.300
Virgolino de Oliveira Fi    11.750   02/09/2022  USD     1.047
Alpine Holding GmbH          6.000   5/22/2017   EUR     2.233
Fuerstenberg Capital Dri     1.609               EUR    55.000
Intralot Capital Luxembo     5.250   9/15/2024   EUR    59.740
UBS AG/London               13.250   05/04/2022  USD    60.150
Norwegian Air Shuttle AS     5.000   02/07/2023  SEK    44.592
ESFIL-Espirito Santo Fin     5.250   06/12/2015  EUR     0.111
Mallinckrodt Internation     5.625  10/15/2023   USD    69.750
Sairgroup Finance BV         4.375   06/08/2006  EUR     1.568
Joh Friedrich Behrens AG     7.750   11/11/2020  EUR    44.000
Hema Bondco II BV            8.500   1/15/2023   EUR     0.780
Mallinckrodt Internation     5.750   08/01/2022  USD    63.646
SAG Solarstrom AG            6.250  12/14/2015   EUR    31.000
Veneto Banca SpA             9.878   12/01/2025  EUR     0.473
Lehman Brothers UK Capit     5.750               EUR     3.962
Sberbank of Russia PJSC      0.010   08/06/2026  RUB    80.100
Portugal Telecom Interna     6.250   7/26/2016   EUR     0.175
Norske Skog Holding AS       8.000   2/24/2021   EUR     0.006
Windreich GmbH               6.500   7/15/2016   EUR     4.475
Finmek International SA      7.000   12/03/2004  EUR     2.193
UniCredit Bank AG            0.107  11/19/2029   EUR    67.373
Cooperatieve Rabobank UA     0.500   7/30/2043   MXN    15.756
Hellas Telecommunication     8.500  10/15/2013   EUR     0.540
Waste Italia SpA            10.500  11/15/2019   EUR     0.753
Intelsat Luxembourg SA      12.500  11/15/2024   USD    65.750
Cooperatieve Rabobank UA     0.500  10/30/2043   MXN    15.015
Societe Centrale des Boi     2.500   5/15/2023   EUR     6.880
Corporate Commercial Ban     8.250   08/08/2014  USD     0.308
Agrokor dd                   9.125   02/01/2020  EUR    15.000
Elli Investments Ltd        12.250   6/15/2020   GBP    52.250
Grupo Isolux Corsan SA       6.000  12/30/2021   EUR     0.177
Credit Suisse AG/London      8.750   08/02/2024  USD     9.750
Cirio Finanziaria SpA        8.000  12/21/2005   EUR     1.682
Sberbank of Russia PJSC      0.010   02/06/2023  RUB    80.100
KPNQwest NV                  8.875   02/01/2008  EUR     0.453
Sberbank of Russia PJSC      0.010   08/03/2028  RUB    80.100
Commerzbank AG               0.077  11/19/2029   EUR    62.729
Mallinckrodt Internation     5.500   4/15/2025   USD    69.250
MS Deutschland Beteiligu     6.875  12/18/2017   EUR     0.620
Aralco Finance SA           10.125   05/07/2020  USD     0.934
Yell Bondco PLC              8.500   05/02/2023  GBP    60.219
SAS AB                       4.410               SEK    25.301
Cirio Del Monte NV           7.750   3/14/2005   EUR     0.614
New World Resources NV       4.000   10/07/2020  EUR     0.231
Bulgaria Steel Finance B    12.000   05/04/2013  EUR     0.216
Banco Espirito Santo SA      2.282               EUR     0.237
Espirito Santo Financial     3.125   12/02/2018  EUR     1.093
Cooperatieve Rabobank UA     0.500   1/31/2033   MXN    36.317
Rallye SA                    1.000   10/02/2020  EUR    27.353
JP Morgan Structured Pro     0.379   9/30/2021   EUR     1.000
Bank Nadra Via NDR Finan     8.250   7/31/2018   USD     0.208
JP Morgan Structured Pro     0.379   9/30/2021   EUR     1.000
CBo Territoria               3.750   07/01/2024  EUR     4.720
Krakowski Bank Spoldziel     3.550   9/20/2023   PLN    70.000
Banco Espirito Santo SA      6.900   6/28/2024   EUR    25.159
Intelsat Jackson Holding     9.750   7/15/2025   USD    54.422
Sidetur Finance BV          10.000   4/20/2016   USD     1.809
Alno AG                      8.000   3/21/2019   EUR    16.200
Nostrum Oil & Gas Financ     8.000   7/25/2022   USD    27.606
International Finance Fa     0.500   6/29/2027   ZAR    65.878
JP Morgan Structured Pro     0.379   9/30/2021   EUR     1.000
Cirio Finance Luxembourg     7.500   11/03/2002  EUR     2.657
Kardan NV                    6.325   2/21/2021   ILS    14.100
Lehman Brothers Treasury     5.220   03/01/2024  EUR     0.100
Kommunekredit                0.500   7/30/2027   TRY    35.633
SpareBank 1 SR-Bank ASA      1.212  12/21/2030   EUR    73.674
Veneto Banca SpA             6.944   5/15/2025   EUR     0.473
Alpine Holding GmbH          5.250   07/01/2015  EUR     2.233
OGX Austria GmbH             8.500   06/01/2018  USD     0.002
Sberbank of Russia PJSC      0.010   8/21/2028   RUB    80.100
Lloyds Bank PLC              0.500   7/26/2028   MXN    59.418
Phones4u Finance PLC         9.500   04/01/2018  GBP    71.750
Uppfinnaren 1 AB            11.000               SEK    40.000
KPNQwest NV                  7.125   06/01/2009  EUR     0.453
Rena GmbH                    8.250   07/11/2018  EUR     2.096
CRC Breeze Finance SA        6.110   05/08/2026  EUR    30.226
Intelsat Luxembourg SA      12.500  11/15/2024   USD    65.750
Phosphorus Holdco PLC       10.000   04/01/2019  GBP     0.974
Erotik-Abwicklungsgesell     7.750   07/09/2019  EUR     0.779
Sberbank of Russia PJSC      0.010   8/24/2026   RUB    80.100
Finance and Credit Bank      9.250   1/25/2019   USD     0.257
Hamon & CIE SA               3.300   1/31/2035   EUR    45.361
Virgolino de Oliveira Fi    10.500   1/28/2018   USD     0.897
Steilmann SE                 7.000   03/09/2017  EUR     1.429
Agrokor dd                   8.875   02/01/2020  USD    15.000
Naviera Armas SA             4.250  11/15/2024   EUR    74.901
Erste Group Bank AG          5.550   8/30/2022   EUR    44.300
Moby SpA                     7.750   2/15/2023   EUR    35.413
Bilt Paper BV               10.360               USD     1.253
Norwegian Air Shuttle AS     6.375  11/15/2024   USD    49.841
Cattles Ltd                  8.125   07/05/2017  GBP     0.027
Getin Noble Bank SA          5.250  12/21/2023   PLN    66.875
Depfa Funding III LP         0.235               EUR    57.439
Island Offshore Shiphold     2.790   6/30/2022   NOK     4.806
Erste Group Bank AG          4.350   2/20/2022   EUR    35.550
Banco Santander SA           1.858               EUR     1.569
O1 Properties Finance PL     8.250   9/27/2021   USD    11.969
Del Monte Finance Luxemb     6.625   5/24/2006   EUR     2.806
Depfa Funding II LP          6.500               EUR    60.536
Peine GmbH                   2.000   07/05/2023  EUR    44.500
Espirito Santo Financial     9.750  12/19/2025   EUR     0.384
Steilmann SE                 7.000   9/23/2018   EUR     1.429
Portugal Telecom Interna     5.242   11/06/2017  EUR     0.694
Intelsat Jackson Holding     8.500  10/15/2024   USD    54.159
Espirito Santo Financial     5.050  11/15/2025   EUR     1.015
Nostrum Oil & Gas Financ     7.000   2/16/2025   USD    27.943
Ahtium PLC                   4.000  12/16/2015   EUR     0.586
Agrokor dd                   8.875   02/01/2020  USD    15.000
SiC Processing GmbH          7.125   03/01/2016  EUR     2.410
Credit Suisse AG/London     12.450   12/08/2021  USD    15.140
La Veggia Finance SA         7.125  11/14/2004   EUR     0.287
KTG Agrar SE                 7.250  10/15/2019   EUR     2.804
Phones4u Finance PLC         9.500   04/01/2018  GBP    71.750
DZ Bank AG Deutsche Zent     0.488   03/11/2031  EUR    60.539
ECM Real Estate Investme     5.000   10/09/2011  EUR    15.375
Norske Skog Holding AS       8.000   2/24/2023   USD     0.006
Pescanova SA                 5.125   4/20/2017   EUR     0.319
Alpine Holding GmbH          5.250   06/10/2016  EUR     2.233
Rena GmbH                    7.000  12/15/2015   EUR     2.096
Caixa Economica Montepio     5.000               EUR    50.060
Credit Suisse AG/London      7.500  10/25/2021   USD    74.240
Mox Telecom AG               7.250   11/02/2017  EUR     2.255
A-TEC Industries AG          2.750   05/10/2014  EUR     0.100
Tonon Luxembourg SA          9.250   1/24/2020   USD     1.000
WPE International Cooper    10.375   9/30/2020   USD     5.000
SAG Solarstrom AG            7.500   07/10/2017  EUR    31.000
Orange SA                    3.000   6/15/2022   EUR    10.000
Veneto Banca SpA             6.411               EUR     0.336
New World Resources NV       8.000   04/07/2020  EUR     0.101
Rio Forte Investments SA     4.000   7/22/2014   EUR     5.772
Veneto Banca SpA             6.950   2/25/2025   EUR     0.473
Solon SE                     1.375   12/06/2012  EUR     0.745
Vneshprombank Ltd Via VP     9.000  11/14/2016   USD     0.078
Stichting Afwikkeling On     6.625   5/14/2018   EUR     5.375
NTRP Via Interpipe Ltd      10.250   08/02/2017  USD    30.500
SFO Akkord Finans           10.000   02/12/2024  RUB    69.370
Intelsat Connect Finance     9.500   2/15/2023   USD    32.898
Norske Skogindustrier AS     7.125  10/15/2033   USD     0.001
Agrokor dd Via Aquarius      4.921   08/08/2017  EUR    14.625
Leonteq Securities AG        8.000   9/14/2021   CHF    53.410
Steilmann SE                 6.750   6/27/2017   EUR     2.184
Cooperatieve Rabobank UA     0.500  10/29/2027   MXN    62.381
Agrokor dd                   9.125   02/01/2020  EUR    15.000
KPNQwest NV                  8.125   06/01/2009  USD     0.453
Thomas Cook Group PLC        6.250   6/15/2022   EUR     0.909
Bulgaria Steel Finance B    12.000   05/04/2013  EUR     0.216
BRAbank ASA/NO               7.210               NOK    52.294
A-TEC Industries AG          8.750  10/27/2014   EUR     0.100
Intelsat Jackson Holding     9.750   7/15/2025   USD    54.422
Stichting Afwikkeling On     2.207               EUR     1.248
Virgolino de Oliveira Fi    10.875   1/13/2020   USD    34.000
Mifa Mitteldeutsche Fahr     7.500   08/12/2018  EUR     2.000
Ahtium PLC                   9.750   04/04/2017  EUR     0.726
Air Berlin Finance BV        8.500   03/06/2019  EUR     0.357
KPNQwest NV                  7.125   06/01/2009  EUR     0.453
Air Berlin Finance BV        6.000   03/06/2019  EUR     0.357
Havila Shipping ASA          3.950   01/02/2025  NOK    51.707
TransKomplektHolding OOO     9.500   11/02/2028  RUB    70.000
Resa SA/Belgium              1.950   7/22/2036   EUR    50.000
Credit Suisse AG/London     20.000   12/07/2021  USD    67.800
COFIDUR SA                   0.100  12/31/2024   EUR    24.050
Senvion Holding GmbH         3.875  10/25/2022   EUR     0.358
Sairgroup Finance BV         6.625   10/06/2010  EUR     1.568
Gebr Sanders GmbH & Co K     8.750  10/22/2018   EUR     9.375
getgoods.de AG               7.750   10/02/2017  EUR     0.404
SG Issuer SA                 5.000   04/02/2024  EUR    58.920
Pongs & Zahn AG              8.500   11/01/2014  EUR     0.002
Credit Suisse AG/London     11.150   12/08/2021  CHF    14.060
UBS AG/London               11.250   02/03/2023  CHF    67.450
Cooperatieve Rabobank UA     0.500  11/30/2027   MXN    61.932
Sequa Petroleum NV           5.000   4/29/2020   USD    30.500
German Pellets GmbH          7.250   04/01/2016  EUR     1.000
Pescanova SA                 6.750   03/05/2015  EUR     0.319
Lehman Brothers Treasury     1.000   10/05/2035  EUR     0.100
BOA Offshore AS              0.409   7/17/2047   NOK     8.805
Derzhava-Garant OOO          9.500   06/12/2030  RUB     6.890
Dyadya Doner OOO            13.500   4/25/2023   RUB    15.600
Tonon Luxembourg SA         12.500   5/14/2024   USD     0.399
Banco Espirito Santo SA     10.000   12/06/2021  EUR     0.139
Cooperatieve Rabobank UA     0.500   8/21/2028   MXN    58.146
Credit Suisse AG/London     14.500   08/02/2024  USD     9.750
Barclays Bank PLC            5.000   11/01/2029  BRL    62.107
Pescanova SA                 8.750   2/17/2019   EUR     0.319
WEB Windenergie AG           4.000  12/17/2025   EUR     0.010
SALVATOR Vermoegensverwa     9.500               EUR     9.000
HPI AG                       3.500               EUR     3.011
Center-Invest Commercial     6.000   03/03/2022  RUB    66.000
KPNQwest NV                  7.125   06/01/2009  EUR     0.453
Credito Padano Banca di      3.100               EUR    33.690
Credito Padano Banca di      3.100               EUR    33.917
Hellas Telecommunication     8.500  10/15/2013   EUR     0.540
Komplett Bank ASA            5.240   03/03/2031  NOK    74.087
SAir Group                   0.125   07/07/2005  CHF    12.625
Eiendomskreditt AS           2.050   9/17/2029   NOK    68.640
UkrLandFarming PLC          10.875   3/26/2018   USD     1.879
Golden Gate AG               6.500   10/11/2014  EUR    37.300
Landesbank Baden-Wuertte     6.000   8/27/2021   EUR    71.920
Russian Post FGUP            2.750   12/06/2023  RUB    70.000
Landesbank Baden-Wuertte     7.000  11/26/2021   EUR    72.210
Phosphorus Holdco PLC       10.000   04/01/2019  GBP     0.974
Hema Bondco II BV            8.500   1/15/2023   EUR     0.780
German Pellets GmbH          7.250   07/09/2018  EUR     1.000
Credit Suisse AG/London     11.600   12/08/2021  EUR    15.630
Erste Group Bank AG          8.000   7/31/2024   EUR    69.500
Deutsche Bank AG/London     13.750   6/20/2026   TRY    72.972
WEB Windenergie AG           2.500   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



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

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

Copyright 2021.  All rights reserved.  ISSN 1529-2754.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.

Information contained herein is obtained from sources believed to
be reliable, but is not guaranteed.

The TCR Europe subscription rate is US$775 per half-year,
delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
contact Peter Chapman at 215-945-7000.


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