TCREUR_Public/170410.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, April 10, 2017, Vol. 18, No. 71


                            Headlines


C R O A T I A

AGROKOR DD: Creditors Willing to Inject Cash Into Business
AGROKOR DD: Ovum Files Bankruptcy Petition Against Konzum Unit
AGROKOR DD: S&P Lowers CCR to 'CC/C' on Bank Standstill Agreement


G E R M A N Y

K+S AG: S&P Affirms 'BB+/B' CCR; Outlook Negative


G R E E C E

GREECE: Reaches "In Principle" Deal with EU Finance Ministers
NAVIOS MARITIME: Egan-Jones Lowers Sr. Unsecured Ratings to CC


I R E L A N D

AVOCA CLO XII: Moody's Assigns B2(sf) Rating to Class F-R Notes
ENDO INTERNATIONAL: S&P Rates Prop. $2.965BB Sr. Term Loan 'BB'
EUROPEAN RESIDENTIAL 2017-NPL1: Moody's Rates Class C Debt (P)B1
GRAND CANAL: Moody's Assigns (P)B1(sf) Rating to Cl. F2 Notes


I T A L Y

INTERBANCA SPA: Moody's Confirms B2 Long-Term Deposit Rating
MONTE DEI PASCHI: Egan-Jones Withdraws B- Sr. Unsecured Ratings
UNICREDIT SPA: Moody's Rates Sub. Debt under MTN Programme (P)Ba1


L U X E M B O U R G

FEATHER INVESTMENTS: Moody's Assigns B2 CFR, Outlook Stable


N E T H E R L A N D S

ARES EUROPEAN CLO VI: Moody's Rates Class F-R Notes (P)B2
HALCYON LOAN 2014: S&P Assigns 'B-' Rating to Class F-R Notes


P O R T U G A L

NOVO BANCO: Moody's Lowers LT Sr. Unsecured Debt Rating to Caa2


R U S S I A

METALLURGICAL COMMERCIAL: Moody's Withdraws B1 Deposit Ratings
POWER MACHINES: Moody's Cuts CFR to B1 on Financial Deterioration
TEMPBANK PJSC: Moratorium on Meeting Creditors' Claims Imposed
TENEX-SERVICE: S&P Affirms 'BB/B' Counterparty Credit Ratings


S L O V E N I A

T-2: Constitutional Court Annuls Bankruptcy Ruling


T U R K E Y

ABT SUKUK: S&P Lowers Rating on $200MM Certificates to 'CCC+'
EREGLI DEMIR: S&P Affirms Then Withdraws 'BB' CCR


U N I T E D   K I N G D O M

CO-OPERATIVE BANK: Gets Takeover Proposals, Enters Further Talks
JAEGER: Files Notice of Intention to Appoint Administrators
MICRO FOCUS: S&P Rates Unit's Sr. Sec. Term Loans 'BB-'
RIPON MORTGAGES: Moody's Assigns (P)Caa1 Rating to Cl. G Notes


X X X X X X X X

* BOND PRICING: For the Week April 3 to April 7, 2017


                            *********



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C R O A T I A
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AGROKOR DD: Creditors Willing to Inject Cash Into Business
----------------------------------------------------------
SeeNews reports that the largest creditors of Croatia's troubled
concern Agrokor intend to fund its operational cash needs on the
condition that this funding will enjoy priority status under the
"Lex Agrokor" bill just approved in parliament.

According to SeeNews, VTB, Sberbank, Erste&Steiermaerkische Bank,
Privredna banka Zagreb, the local unit of Austria's
Raiffeisenbank and Zagrebacka Banka, will continue to support the
operational continuation of the group and all of the efforts
particularly of its employees and suppliers during this period of
high uncertainty, the company said in a statement, quoting its
chief restructuring officer, Antonio Alvarez III.

Mr. Alvarez noted that the banks' financial commitment is subject
to the final credit committee approvals of each institution,
which is currently in expedited process, SeeNews relates.

Earlier on April 6, Croatia's parliament passed emergency
legislation, commonly known as "Lex Agorkor", aiming to shield
the country's economy from big corporate bankruptcies by
appointing extraordinary administration in companies of systemic
importance to lead a restructuring process at the request of the
company's creditors or the debtor itself, SeeNews discloses.

In a bid to provide security to creditors looking to fund
Agrokor, the law says that following the activation of "Lex
Agrokor", the first creditor that offers a loan to the company
gets priority in the collection of receivables in case of a
potential bankruptcy, SeeNews notes.

Zagreb-based Agrokor is the biggest food producer and retailer in
the Balkans, employing almost 60,000 people across the region
with annual revenue of some HRK50 billion (US$7billion).

                            *   *   *

As reported by the Troubled Company Reporter-Europe on March 31,
2017, Moody's Investors Service downgraded the Croatian retailer
and food manufacturer Agrokor D.D.'s corporate family rating
(CFR) to Caa1 from B3 and its probability of default rating (PDR)
to Caa1-PD from B3-PD. Moody's has also downgraded the senior
unsecured rating assigned to the notes issued by Agrokor and due
in 2019 and 2020 to Caa1 from B3. The outlook on the company's
ratings remains negative.

"Our downgrade of Agrokor's rating reflects Moody's views that
the company is no longer able to sustain its high level of trade
payables, which may constrain its liquidity position," says
Vincent Gusdorf, a Vice President -- Senior Analyst at Moody's.
"This comes at a time when the company has limited means to raise
additional sources of liquidity owing to its restricted access to
credit markets and its reliance on a limited number of banks."


AGROKOR DD: Ovum Files Bankruptcy Petition Against Konzum Unit
--------------------------------------------------------------
SeeNews reports that court documents show Croatian wholesale
trade company Ovum has asked the commercial court in Zagreb to
open bankruptcy proceedings against local retailer Konzum, a unit
of struggling concern Agrokor.

Ovum, to whom Konzum owes HRK9.6 million (US$1.4 million/EUR1.3
million), filed the bankruptcy request on March 31 citing over-
indebtedness, SeeNews relays, citing court documents published by
broadcaster N1 on April 6.

According to SeeNews, the request reads "The creditor's claims
against the debtor amount to 9,575,159.67 kuna plus legal default
interest, based on delivered but unpaid for goods".

Konzum's accounts remain blocked over Agrokor's financial
troubles, according to local media reports, SeeNews notes.

Zagreb-based Agrokor is the biggest food producer and retailer in
the Balkans, employing almost 60,000 people across the region
with annual revenue of some HRK50 billion (US$7billion).

                            *   *   *

As reported by the Troubled Company Reporter-Europe on March 31,
2017, Moody's Investors Service downgraded the Croatian retailer
and food manufacturer Agrokor D.D.'s corporate family rating
(CFR) to Caa1 from B3 and its probability of default rating (PDR)
to Caa1-PD from B3-PD. Moody's has also downgraded the senior
unsecured rating assigned to the notes issued by Agrokor and due
in 2019 and 2020 to Caa1 from B3. The outlook on the company's
ratings remains negative.

"Our downgrade of Agrokor's rating reflects Moody's views that
the company is no longer able to sustain its high level of trade
payables, which may constrain its liquidity position," says
Vincent Gusdorf, a Vice President -- Senior Analyst at Moody's.
"This comes at a time when the company has limited means to raise
additional sources of liquidity owing to its restricted access to
credit markets and its reliance on a limited number of banks."


AGROKOR DD: S&P Lowers CCR to 'CC/C' on Bank Standstill Agreement
-----------------------------------------------------------------
S&P Global Ratings said that it lowered its long- and short-term
corporate credit ratings on Croatian retailer Agrokor d.d. to
'CC/C' from 'B-/B'.  The outlook is negative.

At the same time, S&P lowered the issue rating on the senior
unsecured notes to 'CC' from 'B-'.

On April 2, 2017, a spokesperson for the Agrokor group said that
the company reached an agreement with its bank creditors to
freeze debt payments.  The creditor group includes Sberbank, VTB,
and Erste Bank, which together account for most of the EUR2.5
billion loan debt for the Agrokor group, as of Sept. 30, 2016.

The banks have indicated that they might provide Agrokor with
EUR300 million of additional credit lines to fund its short-term
liquidity needs, which consist mostly of payments to suppliers.
S&P believes that these new borrowings are necessary to keep the
company operational after what appears to be an abrupt reduction
in trade credit terms extended to it by its suppliers.

S&P understands that the proposed transaction still remains
subject to a signed agreement between Agrokor, its owners, and
the main banks.  S&P believes, however, that the standstill
agreement is likely to represent a reduction in economic value
relative to the original terms of Agrokor's loan package and will
be considered distressed under our methodology.

The outlook is negative.  S&P expects to downgrade Agrokor to
'SD' (selective default) if the standstill is agreed under terms
that we consider distressed.


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G E R M A N Y
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K+S AG: S&P Affirms 'BB+/B' CCR; Outlook Negative
-------------------------------------------------
S&P Global Ratings affirmed its long- and short-term corporate
credit ratings on German potash and salt producer K+S AG at
'BB+/B'.  The outlook is negative.

S&P also affirmed the issue ratings on its three senior unsecured
bonds due December 2018, December 2021, and June 2022 at 'BB+'.
S&P is assigning recovery ratings of '3', reflecting its
expectations of meaningful recovery (50%-70%; rounded estimate
60%).  (This corrects an error because the previous research
update, dated Oct. 21, 2016, did not include a recovery analysis
section).

S&P is assigning its 'BB+' issue rating to K+S' EUR500 million
proposed senior unsecured bond due April 2023.  The recovery
rating is '3', reflecting S&P's expectations of meaningful
recovery (50%-70%; rounded estimate 60%) in the event of a
default.

The outlook remains negative, reflecting the ongoing risks S&P
sees to its base case.  Under S&P's base case, it expects a
gradual improvement in adjusted FFO to debt to above 20% by end-
2017 and to 25%-30% by end-2018 (the latter a level S&P views as
commensurate with the 'BB+' rating).

K+S' ratio of adjusted FFO to debt in 2016 was about 17%, as S&P
expected, due to continued weak selling prices on international
potash markets combined with operational constraints at K+S'
German operations, a reduced contribution from the salt business,
and still-peak capital expenditure (capex) for the legacy
project.

S&P believes that prices are unlikely to recover significantly
from current spot levels through 2018, due to a likely continued
weak supply-demand balance.  S&P believes this will be the case,
given that capacity additions in 2017 will likely more than
compensate for recently-announced production curtailments and
outages of about 5 million metric tons.  Furthermore, 2018 and
2019 capacity additions could pressure prices even more.

S&P factors into its base case that the legacy project is on
track to commission in second-quarter 2017 with a total 2017
production of 600 kilotons (kt)-700kt, of which 100kt is for
inventory built-up, as well as a positive EBITDA contribution
from 2018. Production limitations in Germany should significantly
reduce in 2017, compared to 2016, as the company received
prolongation for the deep-well injection permit at Werra River,
to 2021, for a volume of 1.5 million m3 per year.  However,
production uncertainty remains high at K+S' German plants as its
capacity utilization continues to depend on the Werra River's
water levels. Adverse weather conditions led to a 25-day outage
so far in 2017.

K+S' credit metrics in the coming years will depend heavily on
the timely commissioning and ramp-up of the legacy greenfield
project. Following the collapse of the holding structure of a
crystallizer unit in August 2016, S&P factors in the delayed
ramp-up of the legacy project in 2017, some limited additional
capex requirements, and the company's free operating cash flow
generation remaining negative in 2017 and turning positive in
2018.

In S&P's base case, it assumes:

   -- Improving EBITDA contribution from the potash and magnesium
      business in 2018 due to stable prices and improving
      volumes.

   -- Stable volumes in industrial and other salts, but lower
      pricing and margin in de-icing salt due to the mild winter.

   -- The ramp-up of legacy with about 600kt of product sales in
      2017.

   -- Capex reducing to EUR800 million-EUR900 million for 2017
      (mainly for the legacy project) then again to EUR450
      million-EUR500 million in 2018.

   -- An unchanged dividend policy of payout ratios between
      40%-50%.

Based on these assumptions, S&P arrives at these measures:

   -- Adjusted EBITDA of EUR850 million-EUR900 million in 2017
      and about EUR1.0 billion-EUR1.1 billion 2018.

   -- Adjusted FFO to debt of about 20% in 2017 and 25%-30% in
      2017.

   -- Negative free operating cash flow of EUR150 million in 2017
      turning positive to EUR250 million-EUR350 million in 2018.

S&P assess K+S' liquidity as strong because S&P expects liquidity
sources to exceed uses by more than 1.5x in the 12 months from
Dec. 31, 2016, and by more than 1.0x in the subsequent 12 months.
S&P also factors in the company's solid access to bank financing
and its prudent liquidity management.

S&P estimates these liquidity sources for the 12 months from
Dec. 31, 2016:

   -- Cash and cash equivalents of EUR161.5 million on Dec. 31,
      2016;
   -- A EUR1.0 billion committed credit line, of which
      EUR690 million is available as of Dec. 31, 2016;
   -- Cash FFO of EUR650 million over the next 12 months; and
   -- Proceeds from the issuance of a new EUR400 million bond.

S&P estimates these liquidity uses for the same period:

   -- Capex of about EUR0.8 billion-EUR0.9 billion, mainly
      related to the legacy project;
   -- A dividend payout of about EUR57 million; and
   -- Debt repayments of EUR319 million over next 12 months and
      EUR500 million over the next 24 months.

The negative outlook reflects risks to S&P's current expectation
of a gradual improvement in adjusted FFO to debt to above 20% by
end-2017 and to 25%-30% by end-2018 (the latter a level S&P views
as commensurate with the 'BB+' rating).  Those risks relate to
the prevailing weakness in global potash fertilizer prices,
potential delays in the ramp-up of the legacy project,
uncertainties around a solution to the operational issues in the
company's German plants; and a lower-than-expected contribution
from the salt segment.

S&P could lower the ratings over the next 12 months if it
believed that industry conditions or operational issues were
preventing the company from improving its ratio of adjusted FFO
to debt to above 20% in 2017 and 25%-30% by end-2018.  Rating
pressure could also arise from continued negative free cash flow
generation beyond 2017 despite the completion of the legacy
project and the corresponding strong reduction in capex in 2017
and 2018.

S&P could revise the outlook to stable if it observed a more
sustainable supply-demand equilibrium in 2017 and beyond.  This
could be indicated by steadier prices and K+S' ratio of adjusted
FFO to debt improving to 20%-25% in 2017.  At the same time, an
outlook revision to stable would depend on a timely ramp-up of
the legacy project and S&P's expectation of positive free cash
flow generation by 2018.


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G R E E C E
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GREECE: Reaches "In Principle" Deal with EU Finance Ministers
-------------------------------------------------------------
Andrew Walker at BBC News reports that eurozone finance ministers
say they have agreed with Greece the main elements of a deal to
unlock a delayed bailout payment.

According to BBC, Greece is now part way through its third
eurozone bailout program, worth up to EUR86 billion (GBP74
billion).

The program has encountered repeated delays as the lenders
monitor compliance with policy conditions, BBC notes.

Technical officials are expected to return to Athens soon to
complete the negotiations, BBC states.

The "in principle" deal, as European Economic Affairs
Commissioner Pierre Moscovici called it, was agreed at a meeting
of eurozone finance ministers in Malta, BBC discloses.

The main elements in the latest agreement are commitments to
reduce spending on pensions from 2019 and to collect more income
tax from 2020 by lowering the tax-free threshold, BBC says.
Together the two measures are intended to improve the Greek
government's finances by the equivalent of 2% of the country's
economic activity, or GDP, according to the report.

To sweeten a pill that will be unpopular in Greece, the other
eurozone countries agreed that Athens would be able take other
measures to stimulate the economy, if the government finances
perform better than expected, BBC relays.

The next step is that technical experts from three European
institutions and the IMF will return to Athens to try to
negotiate the remaining details, BBC states.


NAVIOS MARITIME: Egan-Jones Lowers Sr. Unsecured Ratings to CC
--------------------------------------------------------------
Egan-Jones Ratings, on January 31, 2017, lowered the senior
unsecured ratings on debt issued by Navious Maritime Holdings
Inc. to CC from CCC-.  EJR also lowered the rating on commercial
paper by the Company to D from C.

Navios Maritime Holdings Inc. operates as a seaborne shipping and
logistics company. Based in Monte Carlo, Monaco, the company
focuses on the transportation and transshipment of dry bulk
commodities, including iron ore, coal, and grains.


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I R E L A N D
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AVOCA CLO XII: Moody's Assigns B2(sf) Rating to Class F-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
eight classes of notes (the "Refinancing Notes") issued by Avoca
CLO XII Designated Activity Company:

-- EUR2,000,000 Class X Senior Secured Floating Rate Notes due
    2030, Definitive Rating Assigned Aaa (sf)

-- EUR190,000,000 Class A-1R Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aaa (sf)

-- EUR50,000,000 Class A-2R Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aaa (sf)

-- EUR53,000,000 Class B-R Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aa2 (sf)

-- EUR22,000,000 Class C-R Deferrable Mezzanine Floating Rate
    Notes due 2030, Definitive Rating Assigned A2 (sf)

-- EUR22,000,000 Class D-R Deferrable Mezzanine Floating Rate
    Notes due 2030, Definitive Rating Assigned Baa2 (sf)

-- EUR23,000 000 Class E-R Deferrable Junior Floating Rate Notes
    due 2030, Definitive Rating Assigned Ba2 (sf)

-- EUR10,000,000 Class F-R Deferrable Junior Floating Rate Notes
    due 2030, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

Moody's ratings of the notes address the expected loss posed to
noteholders. The ratings reflect the risks due to defaults on the
underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.

The Issuer has issued the Refinancing Notes in connection with
the refinancing of the following classes of notes: Class A Notes,
Class B Notes, Class C Notes, Class D Notes, Class E Notes and
Class F Notes due 2027 (the "Original Notes"), previously issued
on September 17, 2014 (the "Original Closing Date"). On the
Refinancing Date, the Issuer will use the proceeds from the
issuance of the Refinancing Notes to redeem in full its
respective Original Notes. On the Original Closing Date, the
Issuer also issued one class of Subordinated Notes, which will
remain outstanding.

Avoca XII is a managed cash flow CLO. The issued notes are
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans and eligible investments, and up
to 10% of the portfolio may consist of second lien loans,
unsecured loans, mezzanine obligations and high yield bonds.

KKR Credit Advisors (Ireland) Unlimited Company (the "Manager")
manages the CLO. It directs the selection, acquisition, and
disposition of collateral on behalf of the Issuer. After the
reinvestment period, which ends in April 2021, the Manager may
reinvest unscheduled principal payments and proceeds from sales
of credit risk obligations, subject to certain restrictions.

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.

Loss and Cash Flow Analysis:

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.

The cash flow model evaluates all default scenarios that are then
weighted considering the probabilities of the binomial
distribution assumed for the portfolio default rate. In each
default scenario, the corresponding loss for each class of notes
is calculated given the incoming cash flows from the assets and
the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum
product of (i) the probability of occurrence of each default
scenario and (ii) the loss derived from the cash flow model in
each default scenario for each tranche. As such, Moody's
encompasses the assessment of stressed scenarios.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: EUR400,000,000

Diversity Score: 37

Weighted Average Rating Factor (WARF): 2750

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 44%

Weighted Average Life (WAL): 8 years

Moody's has analysed the potential impact associated with
sovereign related risk of peripheral European countries. As part
of the base case, Moody's has addressed the potential exposure to
obligors domiciled in countries with local currency country risk
ceiling of A1 or below. Following the effective date, and given
the portfolio constraints, up to 10% of the pool can be domiciled
in countries with local currency government bond rating below Aa3
with a further constraint of 5% to exposures with local currency
government bond rating below A3. However, the eligibility
criteria require that an obligor be domiciled in a Qualifying
Country. At present, all Qualifying countries have a local
currency government bond ratings of at least A3. Therefore at
present, it is not possible to have exposures to countries with a
local currency government rating of below A3. Given this
portfolio composition, there were no adjustments to the target
par amount, as further described in the methodology.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in October 2016.

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

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

Stress Scenarios:

Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a
component in determining the rating assigned to the rated notes.
This sensitivity analysis includes increased default probability
relative to the base case.

Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds
to higher expected losses), assuming that all other factors are
held equal.

Percentage Change in WARF -- increase of 15% (from 2750 to 3163)

Rating Impact in Rating Notches:

Class X Notes: 0

Class A-1R Notes: 0

Class A-2R Notes: 0

Class B-R Notes: -2

Class C-R Notes: -2

Class D-R Notes: -2

Class E-R Notes: -1

Class F-R Notes: 0

Percentage Change in WARF -- increase of 30% (from 2750 to 3575)

Rating Impact in Rating Notches:

Class X Notes: 0

Class A-1R Notes: -1

Class A-2R Notes: -1

Class B-R Notes: -3

Class C-R Notes: -4

Class D-R Notes: -2

Class E-R Notes: -1

Class F-R Notes: -1

Further details regarding Moody's analysis of this transaction
may be found in the related pre-sale report, published prior to
the Original Closing Date in August 2014 and available on
Moodys.com.


ENDO INTERNATIONAL: S&P Rates Prop. $2.965BB Sr. Term Loan 'BB'
---------------------------------------------------------------
S&P Global Ratings assigned its 'BB' issue-level rating to
Dublin, Ireland-based specialty branded and generic drugmaker
Endo International PLC's proposed $2.965 billion senior secured
term loan B facility due 2024.  Endo Luxembourg Finance Co.
S.a.r.l and Endo LLC are the co-borrowers.  The recovery rating
is '1', indicating S&P's expectations for very high (90%-100%;
rounded estimate: 90%) recovery in the event of a payment
default.

S&P expects the company will use proceeds from this transaction--
together with $750 million of additional secured debt to be
issued at a later date by the company--to repay its existing term
loan A due 2019, the existing term loan B due 2022, and for
general corporate purposes.  The company also plans to extend the
maturity of its $1 billion revolving credit facility.  S&P
expects the transaction to be leverage-neutral.

At the same time, S&P lowered its issue-level rating on the
company's unsecured notes to 'B-' from 'B'.  S&P also revised the
recovery rating to '6' from '5', indicating its expectations for
negligible (0%-10%; rounded estimate 5%) recovery in the event of
a payment default.  The lower recovery rating on the unsecured
debt reflects the higher amount of secured debt in the capital
structure.

S&P's 'B+' corporate credit rating and negative outlook on Endo
International continue to reflect S&P's expectations for limited
deleveraging in the near term as a result of weakening of its
generic franchise, competitive pressures in its branded business,
increased litigation costs, and other negative developments.

Ratings List

New Rating

Endo Luxembourg Finance Co. S.a.r.l
Endo LLC
Senior secured debt
  $2.965 billion term loan B
   facility due 2024*                   BB
   Recovery rating                      1 (90%)

*Co-borrowers Endo Luxembourg Finance Co. I S.a.r.l. and Endo LLC

Ratings Affirmed

Endo International PLC
Corporate Credit Rating                B+/Negative/--

Endo Ltd.
Senior Secured
  US$1 bil asset sale bridge bank ln    BB
   Recovery Rating                      1(90%)
  US$2.8 bil  term B bank ln due        BB
  09/26/2022
   Recovery Rating                      1(90%)

Endo LLC
Senior Secured
  US$1 bil  revolving bank ln due       BB
  02/28/2019
   Recovery Rating                      1(90%)
  US$1 bil asset sale bridge bank ln    BB
   Recovery Rating                      1(90%)
  US$1.1 bil  term A bank ln due        BB
  02/28/2019
   Recovery Rating                      1(90%)
  US$2.8 bil  term B bank ln due        BB
  09/26/2022
   Recovery Rating                      1(90%)
  US$425 mil  term B bank ln due        BB
  03/01/2021
   Recovery Rating                      1(90%)

Endo Luxembourg Finance Co. S.a.r.l
Senior Secured
  US$1 bil  revolving bank ln due       BB
  02/28/2019
   Recovery Rating                      1(90%)
  US$1 bil asset sale bridge bank ln    BB
   Recovery Rating                      1(90%)
  US$1.1 bil  term A bank ln due        BB
  02/28/2019
   Recovery Rating                      1(90%)
  US$2.8 bil  term B bank ln due        BB
  09/26/2022
   Recovery Rating                      1(90%)
  US$425 mil  term B bank ln due        BB
  03/01/2021
   Recovery Rating                      1(90%)

Revised; Downgraded

                                        To                 From
Endo International PLC
Senior Unsecured
  US$400 mil  7.00% sr unsecd nts due   B-                 B
  12/15/2020
   Recovery Rating                      6(5%)              5(10%)
  US$400 mil  7.25% nts due 01/15/2022  B-                 B
   Recovery Rating                      6(5%)              5(10%)
  US$500 mil  7.00% nts due 07/15/2019  B-                 B
   Recovery Rating                      6(5%)              5(10%)

Endo Ltd.
Senior Unsecured
  US$1 bil 6.00%  nts due 2025          B-                 B
   Recovery Rating                      6(5%)              5(10%)
  US$1.635 bil 6.00%  sr nts due        B-                 B
  07/15/2023
   Recovery Rating                      6(5%)              5(10%)

Endo Finance LLC
Endo Finco Inc.
Senior Unsecured
  US$0 mil 7.00% sr nts due 07/15/2019  B-                 B
   Recovery Rating                      6(5%)              5(10%)
  US$0 mil 7.00% sr nts due 12/15/2020  B-                 B
   Recovery Rating                      6(5%)              5(10%)
  US$0 mil 7.25% sr nts due 01/15/2022  B-                 B
   Recovery Rating                      6(5%)              5(10%)
  US$1 bil 6.00%  nts due 2025          B-                 B
   Recovery Rating                      6(5%)              5(10%)
  US$1.635 bil 6.00%  sr nts due        B-                 B
  07/15/2023
   Recovery Rating                      6(5%)              5(10%)
  US$700 mil 5.75%  sr nts due          B-                 B
  01/15/2022
   Recovery Rating                      6(5%)              5(10%)
  US$750 mil 5.375%  nts due 01/15/2023 B-                 B
   Recovery Rating                      6(5%)              5(10%)


EUROPEAN RESIDENTIAL 2017-NPL1: Moody's Rates Class C Debt (P)B1
----------------------------------------------------------------
Moody's Investors Service has assigned provisional credit ratings
to the following notes to be issued by European Residential Loan
Securitisation 2017-NPL1 DAC:

EUR [*] Class A Mortgage Backed Floating Rate Notes due [December
2055], Assigned (P)A1(sf)

EUR [*] Class B Mortgage Backed Floating Rate Notes due [December
2055], Assigned (P)Baa3(sf)

EUR [*] Class C Mortgage Backed Floating Rate Notes due [December
2055], Assigned (P)B1(sf)

Moody's has not assigned ratings to EUR [*] Class P and EUR [*]
Class D Mortgage Backed Notes due [December 2055].

This transaction represents the second securitisation transaction
that Moody's has rated in Ireland that is backed by non-
performing loans ("NPL"). The assets supporting the notes are
NPLs extended to borrowers in Ireland.

The portfolio will be serviced by Start Mortgages DAC ("Start";
NR). The servicing activities performed by Start are monitored by
the servicing consultant, Hudson Advisors Ireland DAC ("Hudson";
NR). Hudson has also been appointed as back-up servicer
facilitator in place to assist the issuer to find a substitute
servicer in case the servicing agreement with Start is
terminated.

RATINGS RATIONALE

Moody's ratings reflect an analysis of the characteristics of the
underlying pool of the NPLs, sector-wide and servicer-specific
performance data, protection provided by credit enhancement, the
roles of external counterparties, and the structural integrity of
the transaction.

In order to estimate the cash flows generated by the pool,
Moody's used a Monte Carlo based simulation that generates for
each property backing a loan an estimate of the property value at
the sale date based on the timing of collections.

The key drivers for the estimates of the collections and their
timing are: (i) the historical data received from the servicer;
(ii) the timings of collections for the secured loans based on
the legal stage a loan is located at; (iii) the current and
projected house values at the time of default and (iv) the
servicer's strategies and capabilities in maximising the
recoveries on the loans and in foreclosing on properties.

Hedging: As the collections from the pool are not directly
connected to a floating interest rate, a higher index payable on
the notes would not be offset with higher collections from the
NPLs. The transaction therefore benefits from an interest rate
cap, linked to one-month EURIBOR, with Barclays Bank PLC (A1/P-1/
A1(cr)) as cap counterparty. The notional of the interest rate
cap is equal to the closing balance of the Class A, B and C
notes. The cap expires [five] years from closing.

Coupon cap: The transaction structure features coupon caps that
apply when [five] years have elapsed since closing. The coupon
caps protect the note from interest rate increases following the
expiration of the interest rate cap.

Transaction structure: The payment waterfall provides for full
cash trapping: as long as Class A is outstanding, any cash left
after replenishing the Class A reserve and paying the servicer
consultant fee will be used to repay Class A. The transaction
benefits from an amortising Class A reserve equal to [4.5]% of
the Class A note balance. The Class A reserve can be used to
cover senior fees and interest payments on Class A. The amounts
released from the Class A reserve as it amortises form part of
the available funds and will be used to pay the servicer
consultant fees and/or to amortise Class A. The Class A reserve
would be sufficient to cover around [23] months of interest on
the Class A notes and more senior items, at the strike price of
the cap. Class B benefits from a dedicated Class interest reserve
equal to [10]% of Class B which can only be used to pay interest
on Class B while Class A is outstanding. The Class B interest
reserve is sufficient to cover around [53] months of interest on
Class B, at the strike price of the cap. Unpaid interest on Class
B and Class C is deferrable with interest accruing on the
deferred amounts at the rate of interest applicable to the
respective note. Class C does not benefit from any source of
liquidity, therefore no interest or principal will be paid on
Class C until Classes A and B are fully repaid.

Servicing disruption risk: Hudson Advisors Ireland DAC (not
rated) is the back-up servicer facilitator in the transaction.
The back-up servicer facilitator will help the issuer to find a
substitute servicer in case the servicing agreement with Start is
terminated. Moody's expects the Class A reserve to be used to pay
interest on Class A in absence of sufficient regular cashflows
generated by the portfolio, therefore it is likely that there
will not be sufficient liquidity available to make payments on
the Class A notes in the event of servicer disruption. The
insufficiency of liquidity in conjunction with the lack of a
back-up servicer mean that continuity of note payments is not
ensured in case of servicer disruption. This risk is commensurate
with the single-A rating assigned to the most senior note.

Moody's Parameter Sensitivities: The model output indicates that
if house price volatility were to be increased to 6.28% from
5.23% and it would take an additional 12 months to go through the
foreclosure process the Class A notes would move to A2. Moody's
Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's
structured finance security may vary if certain input parameters
used in the initial rating process differed. The analysis assumes
that the deal has not aged and is not intended to measure how the
rating of the security might migrate over time, but rather how
the initial rating of the security might have differed if key
rating input parameters were varied.

The principal methodology used in these ratings was "Moody's
Approach to Rating Securitisations Backed by Non-Performing and
Re-Performing Loans" published in August 2016.

Please note that on March 22, 2017, Moody's released a Request
for Comment, in which it has requested market feedback on
potential revisions to its Approach to Assessing Counterparty
Risks in Structured Finance. If the revised Methodology is
implemented as proposed, the Credit Rating on European
Residential Loan Securitisation 2017-NPL1 DAC is not expected to
be affected. Please refer to Moody's Request for Comment, titled
"Moody's Proposes Revisions to Its Approach to Assessing
Counterparty Risks in Structured Finance," for further details
regarding the implications of the proposed Methodology revisions
on certain Credit Ratings.

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

Factors that may lead to an upgrade of the ratings include that
the recovery process of the NPLs produces significantly higher
cash flows realised in a shorter time frame than expected.

Factors that may cause a downgrade of the ratings include
significantly less or slower cash flows generated from the
recovery process on the NPLs due to either a longer time for the
courts to process the foreclosures and bankruptcies or a change
in economic conditions from Moody's central scenario forecast or
idiosyncratic performance factors.

For instance, should economic conditions be worse than
forecasted, falling property prices could result, upon the sale
of the properties, in less cash flows for the Issuer or it would
take a longer time to sell the properties and the higher defaults
and loss severities resulting from a greater unemployment,
worsening household affordability and a weaker housing market
could result in downgrade of the rating. Additionally,
counterparty risk could cause a downgrade of the rating due to a
weakening of the credit profile of transaction counterparties.
Finally, unforeseen regulatory changes or significant changes in
the legal environment may also result in changes of the ratings.

The ratings address the expected loss posed to investors by the
legal final maturity. In Moody's opinion the structure allows for
timely payment of interest and ultimate payment of principal with
respect to the Class A. Moody's ratings address only the credit
risks associated with the transaction. Other non-credit risks
have not been addressed, but may have a significant effect on
yield to investors.

Moody's issues provisional ratings in advance of the final sale
of securities, but these ratings only represent Moody's
preliminary credit opinion. Upon a conclusive review of the
transaction and associated documentation, Moody's will endeavour
to assign definitive ratings to the Notes. A definitive rating
may differ from a provisional rating. Moody's will disseminate
the assignment of any definitive ratings through its Client
Service Desk. Moody's will monitor this transaction on an ongoing
basis. For updated monitoring information, please contact
monitor.rmbs@moodys.com.


GRAND CANAL: Moody's Assigns (P)B1(sf) Rating to Cl. F2 Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional credit ratings
to the following classes of notes to be issued by Grand Canal
Securities 1 Designated Activity Company:

-- EUR [ ] Class A Mortgage Backed Floating Rate Notes due
    February 2055, Assigned (P) [Aaa] (sf)

-- EUR [ ] Class B Mortgage Backed Floating Rate Notes due
    February 2055, Assigned (P) [Aa2] (sf)

-- EUR [ ] Class C Mortgage Backed Floating Rate Notes due
    February 2055, Assigned (P) [Aa3] (sf)

-- EUR [ ] Class D Mortgage Backed Floating Rate Notes due
    February 2055, Assigned (P) [A2] (sf)

-- EUR [ ] Class E Mortgage Backed Floating Rate Notes due
    February 2055, Assigned (P) [Baa3] (sf)

-- EUR [ ] Class F1 Mortgage Backed Floating Rate Notes due
    February 2055, Assigned (P) [Ba2] (sf)

-- EUR [ ] Class F2 Mortgage Backed Floating Rate Notes due
    February 2055, Assigned (P) [B1] (sf)

The EUR [ ] Class Z1 Mortgage Backed Notes due February 2055, the
EUR [ ] Class Z2 Mortgage Backed Notes due February 2055, the EUR
[ ] Class Z3 Mortgage Backed Notes due February 2055 and the EUR
[ ] Class X Floating Rate Notes due February 2055 were not rated
by Moody's.

The Class X Notes are not backed by the collateral.

This transaction is the first securitisation in Ireland by Mars
Capital Ireland Holdings DAC. ("Mars", NR). The portfolio
consists of Irish first lien prime and non-conforming residential
mortgage loans originated by Irish Nationwide Building Society
and Springboard Mortgages Limited mainly between 2004 to 2008.

RATINGS RATIONALE

The ratings of the notes are based on an analysis of the
characteristics of the underlying portfolio, protection provided
by credit enhancement and the structural integrity of the
transaction.

In analysing the portfolio, Moody's determined the MILAN Credit
Enhancement (CE) of [21]% and the portfolio Expected Loss (EL) of
[6.5]%. The MILAN CE and portfolio EL are key input parameters
for Moody's cash flow model.

Please note that on March 21, 2017, Moody's released a Request
for Comment, in which it has requested market feedback on
potential revisions to its Approach to Assessing Counterparty
Risks in Structured Finance. If the revised Methodology is
implemented as proposed, the Credit Rating on Grand Canal
Securities 1 DAC may be affected. Please refer to Moody's Request
for Comment, titled " Moody's Proposes Revisions to Its Approach
to Assessing Counterparty Risks in Structured Finance," for
further details regarding the implications of the proposed
Methodology revisions on certain Credit Ratings.

MILAN CE of [21]%: This is around the average MILAN CE assumption
for other Irish RMBS transactions and follows Moody's assessment
of the loan-by-loan information taking into account the
historical performance and the pool composition including (i) the
fairly low weighted average current loan-to-value (LTV) ratio of
[58.3]% and indexed LTV of [73.7]% (ii) the high seasoning of
[9.9] years on average and (iii) [13.9]% of restructured loans.

Portfolio expected loss of [6.5]%: This is around the average
expected loss assumption for other Irish RMBS transactions and is
based on Moody's assessment of the lifetime loss expectation for
the pool taking into account (i) the historical collateral
performance of the loans to date; as provided by the seller; (ii)
the current macroeconomic environment in Ireland and (iii)
benchmarking with similar Irish RMBS transactions.

Credit Enhancement: The Class A notes benefit from the
subordination provided by more junior notes, namely Class B to Z3
notes (excluding Class X notes). There is a fully funded
liquidity reserve fund in place sized at closing as [1.85]% of
Class A principal balance dedicated to paying senior fees and
interest on Class A notes. The liquidity reserve builds up to
[3.75]% of the original principal balance of the Class A notes in
accordance with a predefined liquidity reserve target schedule.
During the life of the transaction the liquidity reserve fund can
only be used for liquidity purposes and cannot be used to cure
credit losses. The general reserve fund is not funded at closing
and is set to build up with excess spread to [3.5]% of Class B to
Z3 principal outstanding balance. The general reserve fund can be
used to pay senior fees and interest on Class A to F notes
(including Class X notes) as well as cure PDL allocated to Class
A to F2 notes. The transaction has annualized excess spread of
around [1.56]% (assuming a 3-month EURIBOR at 4%, [0.3]% senior
fees, SVR loans yield 2.5% over EURIBOR and assuming that there
is no Class X senior payment).

Operational Risk Analysis: The primary servicer Acenden Limited
and special servicer Mars are both not rated by Moody's. In order
to mitigate the operational risk, a back-up servicer facilitator
is appointed at closing that would support the issuer in the
event a replacement needs to be appointed relating to the primary
and special servicer. In addition, to ensure payment continuity
over the transaction's lifetime the transaction documents
incorporate estimation language whereby the cash manager can use
the three most recent servicer reports to determine the cash
allocation in case no servicer report is available. The Class A
notes also benefit from the dedicated liquidity to ensure
timeliness of interest payment should there be a cash flow
interruption in the transaction.

Interest Rate Risk Analysis: There is no swap in the transaction
to hedge the basis risk. As such the deal is exposed to the basis
mismatch between the 3 month EURIBOR linked payments made to
noteholders and the interest received on the mortgage loans which
are linked to ECB's refinancing rate and standard variable rate.
In mitigation, the transaction includes a requirement for the
servicer not to set the SVR rate on the loans at a level of less
than 3 month EURIBOR plus [2.50]%. Moody's has taken into
consideration the absence of a basis swap in its cash flow
modelling.

Moody's Parameter Sensitivities: If the portfolio expected loss
was increased from [6.5]% to [11.4]% of current balance, and the
MILAN CE was increased from [21.0]% to [29.4]%, the model output
indicates that the Class A notes would still achieve Aaa(sf)
assuming that all other factors remained equal. Moody's Parameter
Sensitivities quantify the potential rating impact on a
structured finance security from changing certain input
parameters used in the initial rating. The analysis assumes that
the deal has not aged and is not intended to measure how the
rating of the security might change over time, but instead what
the initial rating of the security might have been under
different key rating inputs.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
September 2016.

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

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

Significantly different loss assumptions compared with Moody's
expectations at close due to either a change in economic
conditions from Moody's central scenario forecast or
idiosyncratic performance factors would lead to rating actions.
For instance, should economic conditions be worse than forecast,
the higher defaults and loss severities resulting from a greater
unemployment, worsening household affordability and a weaker
housing market could result in downgrade of the rating.
Deleveraging of the capital structure or conversely a
deterioration in the notes available credit enhancement could
result in an upgrade or a downgrade of the rating, respectively.

The ratings address the expected loss posed to investors by the
legal final maturity of the notes. In Moody's opinion, the
structure allows for timely payment of interest and ultimate
payment of principal at par on or before the rated final legal
maturity date for the Class A and B notes and ultimate payment of
interest and principal at par on or before the rated final legal
maturity date for the Class C to F2 notes. Moody's ratings only
address the credit risk associated with the transaction. Other
non-credit risks have not been addressed, but may have a
significant effect on yield to investors.

Moody's issues provisional ratings in advance of the final sale
of securities, but these ratings only represent Moody's
preliminary credit opinion. Upon a conclusive review of the
transaction and associated documentation, Moody's will endeavour
to assign definitive ratings to the Notes. A definitive rating
may differ from a provisional rating. Moody's will disseminate
the assignment of any definitive ratings through its Client
Service Desk. Moody's will monitor this transaction on an ongoing
basis. For updated monitoring information, please contact
monitor.rmbs@moodys.com.


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


INTERBANCA SPA: Moody's Confirms B2 Long-Term Deposit Rating
------------------------------------------------------------
Moody's Investors Service has confirmed Interbanca S.p.A.'s
(Interbanca) B2 long-term deposit rating, which was previously on
review for downgrade. The rating agency also affirmed the bank's
Not Prime short-term deposit rating. Furthermore, Moody's
confirmed Interbanca's standalone baseline credit assessment
(BCA) of caa1, and upgraded the bank's adjusted BCA to b1 from
caa1 on review for upgrade. Finally, Moody's upgraded
Interbanca's long-term Counterparty Risk Assessment (CR
Assessment) to Ba3(cr) from B1(cr) on review with direction
uncertain, and affirmed the bank's Not Prime(cr) short-term CR
Assessment. The outlook on the long-term deposit ratings was
changed to Stable from Rating under Review.

Moody's said that action concludes the review on Interbanca's
ratings initiated on September 6, 2016 and extended on January
10, 2017. It follows the acquisition of Interbanca by Banca IFIS
S.p.A. (Banca IFIS, unrated), which was finalised on 30 November
2016.

RATINGS RATIONALE

Moody's said that action follows the acquisition of Interbanca by
Banca IFIS. According to the rating agency, extraordinary support
coming from Banca IFIS has lowered the probability of supervisory
intervention, but this is offset by higher loss-given-failure on
deposits.

  -- INTERBANCA REMAINS VERY WEAK ON A STANDALONE BASIS

Moody's said that Interbanca's standalone credit fundamentals
remain very weak, and therefore confirmed its caa1 standalone
BCA. In 2016, Interbanca reported a very large stock of problem
loans, equivalent to more than 50% of its loan book on an
unconsolidated basis. The bank's franchise has been materially
eroded over time, and in recent years new lending has been very
limited. Furthermore, the bank, which in 2016 reported its tenth
consecutive annual pre-tax loss, is fully dependent on its parent
to fund its activities.

Nevertheless, there are some mitigating factors: regulatory
capital is ample, and coverage of problem loans is high in the
context of the Italian banking system. Interbanca's Common Equity
Tier 1 (CET1) ratio was 37.4% as of December 2016 on an
unconsolidated basis, well above the prudential requirements set
by the Bank of Italy (7% minimum). In December 2016, Interbanca
reported reserves on problem loans of around 58% of gross
exposures, which compares with a system-wide average of 47%.
Reserves against bad loans, i.e. the weakest category of problem
loans, represent 80% of their gross value (versus the system
average of 59%).

  -- HIGHER PROBABILITY OF AFFILIATE SUPPORT

The upgrade of Interbanca's adjusted BCA to b1 from caa1 follows
the acquisition by Banca IFIS. Even though Banca IFIS is
significantly smaller and less diversified than Interbanca's
previous shareholder General Electric Company (GE, long-term
issuer rating A1, stable outlook), the change in shareholder is
credit positive for Interbanca. GE had put Interbanca for sale as
part of its global strategy to significantly reduce its financial
sector activities. For this reason, Moody's assumed a low
probability of support stemming from GE, which resulted in no
uplift to Interbanca's standalone BCA. Instead Banca IFIS's
management has stated its intention to fully support Interbanca's
growth, and it has planned on merging Interbanca with Banca IFIS
by end of 2017.

  -- HIGHER LOSS GIVEN FAILURE

At the same time, the inclusion of Interbanca into Banca IFIS's
group results in a higher loss-given-failure for Interbanca's
junior depositors.

Moody's said that it assumes that any resolution of Interbanca
would be done at consolidated level together with Banca IFIS and
its other subsidiaries, in line with the rating agency's
methodology. In a resolution scenario, junior depositors of
Interbanca would rank pari-passu with Banca IFIS's junior
depositors, and they will face higher loss-given-failure than
previously. Prior to the inclusion in the Banca IFIS group,
Interbanca's deposits benefited from a cushion provided by GE's
funding, which Moody's assumed to be junior to Interbanca's
deposits in a resolution scenario. The Banca IFIS-Interbanca
group is instead mostly funded with retail deposits and
securitisations, which provide no cushion to junior deposits in
resolution; this results in a deposit rating positioned one notch
below the bank's adjusted BCA, reflecting high loss-given-
failure, from very low previously.

OUTLOOK IS STABLE

The outlook on Interbanca's B2 long-term deposit rating is
stable, reflecting the rating agency's expectations that
Interbanca's weak franchise will continue to be constrained by a
large stock of problem loans and very weak profitability, but it
will still benefit from a high level of coverage of problem loan
and ample capital.

FACTORS THAT COULD LEAD TO AN UPGRADE

Interbanca's BCA could be upgraded following a substantial
reduction of its very high stock of problem loans, and a return
to a sustainable level of profitability, provided that the bank's
capitalisation is maintained. Interbanca's adjusted BCA could be
upgraded following an improvement in the credit profile of Banca
IFIS.

Deposit ratings could be upgraded following an upgrade of the
adjusted BCA. A substantial increase in the stock of bail-in-able
debt, which is included in Banca IFIS's plans, could also lead to
an upgrade of Interbanca's deposit ratings.

FACTORS THAT COULD LEAD TO A DOWNGRADE

Interbanca's adjusted BCA could be downgraded following a
deterioration in the credit profile of Banca IFIS, or should
Moody's conclude that the probability of support from Banca IFIS
is lower than currently expected. A lower adjusted BCA would
likely lead to a downgrade in the bank's deposit ratings.

LIST OF AFFECTED RATINGS

Issuer: Interbanca S.p.A.

Upgrades:

-- Adjusted Baseline Credit Assessment, upgraded to b1 from caa1

-- Long-term Counterparty Risk Assessment, upgraded to Ba3(cr)
    from B1(cr)

Confirmations:

-- Baseline Credit Assessment, confirmed at caa1

-- Long-term Bank Deposits, confirmed at B2, outlook changed to
    Stable from Ratings under Review

Affirmations:

-- Short-term Counterparty Risk Assessment, affirmed NP(cr)

-- Short-term Bank Deposits, affirmed NP

Outlook Actions:

-- Outlook changed to Stable from Rating under Review

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
published in January 2016.


MONTE DEI PASCHI: Egan-Jones Withdraws B- Sr. Unsecured Ratings
---------------------------------------------------------------
Egan-Jones Ratings Company, on Feb. 23, 2017, withdrew the B-
senior unsecured ratings on debt issued by Banca Monte dei Paschi
di Siena SpA.

Banca Monte dei Paschi di Siena S.p.A. is the oldest surviving
bank in the world and the third largest Italian commercial and
retail bank by total assets, according to research from Ricerche
e Studi, using 2014 data.


UNICREDIT SPA: Moody's Rates Sub. Debt under MTN Programme (P)Ba1
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to UniCredit
S.p.A.'s (UniCredit) USD30 billion Medium-Term Note (MTN)
Programme, based on the final prospectus dated March 30, 2017.
The provisional rating on senior unsecured debt to be issued
under the MTN programme is (P)Baa1, while the provisional rating
on subordinated debt to be issued under the programme is (P)Ba1.

RATINGS RATIONALE

The ratings take into account UniCredit's ba1 standalone baseline
credit assessment (BCA), extremely low loss-given-failure
assumptions for senior debt and moderate loss-given-failure for
subordinated debt under Moody's Loss Given Failure (LGF)
analysis, and the rating agency's assessment of moderate
probability of government support for senior debt and low
probability of government support for subordinated debt.

RATING OUTLOOK

Subordinate ratings, and provisional senior unsecured ratings on
programmes do not carry outlooks.

Unicredit's senior unsecured debt rating has a stable outlook,
reflecting Moody's expectations that UniCredit will broadly meet
its plan targets for 2017.

FACTORS THAT COULD LEAD TO AN UPGRADE/DOWNGRADE

Moody's said that UniCredit's ratings could be upgraded following
tangible progress towards planned targets for 2019.

Conversely, the rating agency said that UniCredit's ratings could
be downgraded if the bank fails to execute its restructuring, or
if the bank reduces its cushion of bail-in-able debt.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
published in January 2016.


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


FEATHER INVESTMENTS: Moody's Assigns B2 CFR, Outlook Stable
-----------------------------------------------------------
Moody's Investors Service has assigned a B2 corporate family
rating (CFR) and a B2-PD probability of default (PDR) to Feather
Investments Holdings S.C.A, parent and holding company of
Corialis. Moody's has also assigned, definitive B1 ratings to the
EUR505 million first lien senior secured term loan due 2024, the
EUR125 million revolving credit facility due 2023, definitive
Caa1 rating to the EUR130 million second lien senior secured term
loan due 2025. These debt instruments have all been issued by
Corialis Group Limited, a subsidiary of Feather Investments
Holdings S.C.A. The outlook on all ratings is stable.

Concurrently, Moody's has withdrawn the B1 CFR and B1-PD PDR on
Alu Holco 1 Limited (both under review for downgrade), former
parent of Corialis, concluding the review of the ratings. Moody's
has also withdrawn the Ba3 ratings of the EUR353 million first
lien senior secured term loans due 2020 and 2021, the EUR25
million revolving credit facility due 2020, and the EUR105
million second lien senior secured term loan due 2020, issued by
Alu Holdco 2 Limited.

The action was prompted by the completion of the acquisition of
Corialis by CVC Capital Partners ("CVC") on March 30, 2017 via
Feather Investments Holdings S.C.A., a recently incorporated
company.

RATINGS RATIONALE

Corialis' rating reflects the company's: (1) strong market
position as one of the leading aluminium profile system
manufacturers in Europe, with geographically diversified
operations; (2) exposure to the more stable affluent end-customer
and renovation markets; (3) very strong recent financial
performance supported by the EBITDA growth in UK and Polish hubs;
(4) high barriers to entry from vertically integrated production
and loyal customer base and (5) future sales performance
supported by expected aluminium penetration growth.

However, the rating is constrained by (1) the company's exposure
to the inherently cyclical building industry and the uncertain
impact of Brexit on the UK construction market; (2) increased
financial leverage of 6.2x pro forma for acquisition by CVC; (3)
strong competitive environment with top 4 players consolidating
the European market and (4) exposure to volatility of aluminium
prices and to a - lesser extent -- fluctuations in foreign
exchange rates (GBP).

Moody's views Corialis' near-term liquidity position as good. Pro
forma for the CVC LBO at the end of March 2017, there will be no
cash left on the balance. Additional liquidity for working
capital, capex funding for the new hubs in the Balkans and South
Africa and acquisitions is available from a EUR125 million RCF.

The debt structure is covenant-lite, but benefits from one
springing maintenance covenant tested when the RCF is drawn more
than EUR45 million.

RATING OUTLOOK

The stable outlook reflects Moody's views that the company's
operating performance will benefit from the continued volume
growth and economies of scale on the back of its vertical
integrated production strategy, and will continue to show strong
operating margins and cash flow performance, with some modest
deleveraging expectations. The stable outlook also reflects no
material debt-funded acquisitions or shareholder friendly
actions.

WHAT COULD CHANGE THE RATING - UP

Upward pressure on the rating could develop if debt/EBITDA
sustainably falls below 5.5x and FCF/Debt nears 5%, whilst
maintaining an adequate liquidity.

WHAT COULD CHANGE THE RATING - DOWN

Downward pressure on the rating could develop if Corialis'
liquidity position deteriorates, debt/EBITDA exceeds 6.5x, or
free cash flow moves towards zero.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Building
Materials Industry published in January 2017.

CORPORATE PROFILE

Corialis is one of the European leaders in the design and
manufacturing of aluminium profile systems for windows, doors,
roof systems and curtain walls. The company extrudes, insulates
and paints aluminium profile systems and distributes to local
fabricators and installers servicing the residential market
(estimated 60% of FY2015 sales) and non-residential market (40%).
Founded in 1984 and headquartered in Belgium, the company
operates in 20 European countries through four hubs in Belgium,
France, Poland and the UK. In FY2016, the company is expected to
report sales and EBITDA of EUR426 million and EUR99 million,
respectively, and employed approximately 1,800 full-time
employees. In 2017, funds controlled by CVC Capital Partners
together with management acquired 100% of the shares from Advent
Private Equity.


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


ARES EUROPEAN CLO VI: Moody's Rates Class F-R Notes (P)B2
---------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes ("Refinanced Notes") to be
issued by Ares European CLO VI B.V., following a restructuring of
the transaction which closed on September 2013:

-- EUR208,150,000 Class A-1-R Senior Secured Floating Rate Notes
    due 2030, Assigned (P)Aaa (sf)

-- EUR39,250,000 Class B-1-R Senior Secured Floating Rate Notes
    due 2030, Assigned (P)Aa2 (sf)

-- EUR5,000,000 Class B-2-R Senior Secured Fixed Rate Notes due
    2030, Assigned (P)Aa2 (sf)

-- EUR21,700,000 Class C-R Senior Secured Deferrable Floating
    Rate Notes due 2030, Assigned (P)A2 (sf)

-- EUR17,300,000 Class D-R Senior Secured Deferrable Floating
    Rate Notes due 2030, Assigned (P)Baa2 (sf)

-- EUR20,400,000 Class E-R Senior Secured Deferrable Floating
    Rate Notes due 2030, Assigned (P)Ba2 (sf)

-- EUR4,700,000 Class F-R Senior Secured Deferrable Floating
    Rate Notes due 2030, Assigned (P)B2 (sf)

Moody's issues provisional ratings in advance of the final sale
of financial instruments, but these ratings only represent
Moody's preliminary credit opinions. Upon a conclusive review of
a transaction and associated documentation, Moody's will
endeavour to assign definitive ratings. A definitive rating (if
any) may differ from a provisional rating.

RATINGS RATIONALE

Moody's provisional ratings of the rated notes address the
expected loss posed to noteholders by the legal final maturity of
the notes in 2030. The provisional ratings reflect the risks due
to defaults on the underlying portfolio of loans given the
characteristics and eligibility criteria of the constituent
assets, the relevant portfolio tests and covenants as well as the
transaction's capital and legal structure. Furthermore, Moody's
is of the opinion that the collateral manager, Ares European Loan
Management LLP ("Ares"), has sufficient experience and
operational capacity and is capable of managing this CLO.

The Issuer has issued the Refinanced Notes in connection with the
refinancing of the following classes of notes: Class A notes,
Class B notes, Class C notes, Class D notes and Class E notes due
2025 (the "Original Notes"), previously issued on September 3,
2013 (the "Original Issue Date"). On the Refinancing Date, the
Issuer will use the proceeds from the issuance of the Refinanced
Notes to redeem in full its respective Original Notes. On the
Original Issue Date, the Issuer also issued one class of
subordinated notes, which will remain outstanding.

Ares VI is a managed cash flow CLO. At least 96% of the portfolio
must consist of senior secured loans and senior secured bonds and
up to 4% of the portfolio may consist of unsecured loans, second-
lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be approximately 75% ramped up as of the
refinancing closing date and to be comprised predominantly of
corporate loans to obligors domiciled in Western Europe.

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

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.

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. Ares' investment decisions and
management of the transaction will also affect the notes'
performance.

Loss and Cash Flow Analysis:

Moody's modeled the transaction using CDOEdge, 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
October 2016. The cash flow model evaluates all default scenarios
that are then weighted considering the probabilities of the
binomial distribution assumed for the portfolio default rate. In
each default scenario, the corresponding loss for each class of
notes is calculated given the incoming cash flows from the assets
and the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum
product of (i) the probability of occurrence of each default
scenario and (ii) the loss derived from the cash flow model in
each default scenario for each tranche. As such, Moody's
encompasses the assessment of stressed scenarios.

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

Par amount: EUR 347,000,000

Diversity Score: 40

Weighted Average Rating Factor (WARF): 2860

Weighted Average Spread (WAS): 3.75%

Weighted Average Recovery Rate (WARR): 43.5%

Weighted Average Life (WAL): 8.5 years.

Weighted Average Coupon (WAC): 6.00%

Moody's has analysed the potential impact associated with
sovereign related risk of peripheral European countries. As part
of the base case, Moody's has addressed the potential exposure to
obligors domiciled in countries with local currency country risk
ceiling of A1 or below. Following the effective date, and given
the portfolio constraints and the current sovereign ratings in
Europe, such exposure may not exceed 10% of the total portfolio.
As a result and in conjunction with the current foreign
government bond ratings of the eligible countries, as a worst
case scenario, a maximum 10% of the pool would be domiciled in
countries with A3 local currency country ceiling. The remainder
of the pool will be domiciled in countries which currently have a
local or foreign currency country ceiling of Aaa or Aa1 to Aa3.

Stress Scenarios:

Together with the set of modeling assumptions above, Moody's
conducted additional sensitivity analysis, which was an important
component in determining the provisional ratings assigned to the
rated notes. This sensitivity analysis includes increased default
probability relative to the base case. Below is a summary of the
impact of an increase in default probability (expressed in terms
of WARF level) on each of the rated notes (shown in terms of the
number of notch difference versus the current model output,
whereby a negative difference corresponds to higher expected
losses), holding all other factors equal.

Percentage Change in WARF: WARF + 15% (to 3289 from 2860)

Ratings Impact in Rating Notches:

Class A-1-R Senior Secured Floating Rate Notes: 0

Class B-1-R Senior Secured Floating Rate Notes: -2

Class B-2-R Senior Secured Fixed Rate Notes: -2

Class C-R Senior Secured Deferrable Floating Rate Notes: -2

Class D-R Senior Secured Deferrable Floating Rate Notes: -2

Class E-R Senior Secured Deferrable Floating Rate Notes: -1

Class F-R Senior Secured Deferrable Floating Rate Notes: -1

Percentage Change in WARF: WARF + 30% (to 3718 from 2860)

Ratings Impact in Rating Notches:

Class A-1-R Senior Secured Floating Rate Notes: -1

Class B-1-R Senior Secured Floating Rate Notes: -3

Class B-2-R Senior Secured Fixed Rate Notes: -3

Class C-R Senior Secured Deferrable Floating Rate Notes: -4

Class D-R Senior Secured Deferrable Floating Rate Notes: -2

Class E-R Senior Secured Deferrable Floating Rate Notes: -1

Class F-R Senior Secured Deferrable Floating Rate Notes: -2

Further details regarding Moody's analysis of this transaction
may be found in the upcoming Pre-sale/New Issue report, available
soon on Moodys.com.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in October 2016.


HALCYON LOAN 2014: S&P Assigns 'B-' Rating to Class F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary credit ratings to
Halcyon Loan Advisors European Funding 2014 B.V.'s (Halcyon 2014)
class A-R, B-R, C-R, D-R, E-R, and F-R notes.  The unrated
subordinated notes initially issued will not be redeemed and will
remain outstanding with an extended maturity to match the newly
issued notes.

The ratings assigned to Halcyon 2014's notes reflect S&P's
assessment of:

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

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

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

   -- The transaction's legal structure, which expect to be
      bankruptcy remote.

In S&P's view, the transaction's documented counterparty
replacement and remedy mechanisms adequately mitigate its
exposure to counterparty risk under S&P's current counterparty
criteria.

The application of S&P's structured finance ratings above the
sovereign criteria indicates that the transaction's exposure to
country risk is limited at the assigned preliminary rating
levels, as the exposure to individual sovereigns does not exceed
the diversification thresholds outlined in S&P's criteria.

S&P considers that the transaction's legal structure will be
bankruptcy remote, in line with its European legal criteria.

Following S&P's analysis of the credit, cash flow, counterparty,
operational, and legal risks, S&P believes its preliminary
ratings are commensurate with the available credit enhancement
for each class of notes.

Halcyon 2014 is a European cash flow corporate loan
collateralized loan obligation (CLO) securitization of a
revolving pool, comprising euro-denominated senior secured loans
and bonds issued mainly by European borrowers. Halcyon Loan
Advisors (UK) LLP is the collateral manager.  The transaction is
a reset of an existing transaction, which closed in 2014.

RATINGS LIST

Halcyon Loan Advisors European Funding 2014 B.V.
EUR313.85 Million Floating-Rate Notes (Including EUR31 Million
Subordinated Notes)

Class                   Prelim.         Prelim.
                        rating           amount
                                       (mil. EUR)
A-R                     AAA (sf)         179.80
B-R                     AA (sf)           39.70
C-R                     A (sf)            20.90
D-R                     BBB (sf)          15.40
E-R                     BB (sf)           17.75
F-R                     B- (sf)            9.30
Subordinated            NR                31.00

NR--Not rated.


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


NOVO BANCO: Moody's Lowers LT Sr. Unsecured Debt Rating to Caa2
---------------------------------------------------------------
Moody's Investors Service placed on review for downgrade Novo
Banco, S.A.,'s Caa1 long-term deposit ratings, downgraded the
long-term senior unsecured debt rating to Caa2 from Caa1, and
placed it on review for further downgrade. At the same time the
rating agency downgraded the bank's: (1) standalone baseline
credit assessment (BCA) by two notches to ca from caa2; and (2)
long-term counterparty risk assessment (CR Assessment) to B3(cr)
from B2(cr), and placed it on review for further downgrade. The
outlook on the long-term deposit and debt ratings has been
changed to Ratings under Review from Developing.

Novo Banco's short-term deposit and program ratings of Not Prime
are unaffected by this rating action as well as the bank's short-
term CRA of Not Prime(cr).

The rating action follows the announcement made by the Bank of
Portugal on March 31, 2017 that as part of Novo Banco's sale
process, a liability management exercise (LME) on senior
bondholders will be undertaken with the aim of recapitalizing the
bank by at least EUR500 million. Moody's views this offer as a
distressed exchange and has reflected this in its downgrade of
Novo Banco's standalone BCA to ca. The Bank of Portugal also
announced that the private equity firm Lone Star (unrated) will
acquire 75% of Novo Banco's capital after injecting EUR1 billion
of capital, while the resolution fund will maintain 25% of the
bank's shares.

The downgrade of the bank's long-term senior debt rating to Caa2
on review for further downgrade reflects Moody's expectation of
the losses that Novo Banco's senior bondholders are likely to
face as part of the LME.

Based on current information, the LME does not appear to include
rated deposits, and the rating agency has accordingly not
downgraded Novo Banco's long-term deposit ratings from Caa1.
However, in placing them on review for downgrade, Moody's
recognizes the downside risks to these junior deposits should the
announced measures prove insufficient to restore the viability of
the bank, or fail altogether, thereby increasing the risk of a
resolution or liquidation and consequent losses for depositors.

During the review, Moody's will focus on the following issues:
(1) the terms and conditions of the LME; (2) the scope and
functioning of the so-called contingent capital mechanism to be
provided by the resolution fund, that could be available to
recapitalize the bank under certain circumstances; (3) Novo
Banco's most recent financial profile upon the disclosure of
year-end 2016 audited accounts; (4) details on the medium-term
strategy and restructuring plan that Lone Star will have for Novo
Banco; and (5) the timeline for the closure of the sale process
including the approvals required from the European Central Bank
and the European Commission (EC).

A full list of affected ratings can be found at the end of this
press release.

RATINGS RATIONALE

-- DOWNGRADE OF THE STANDALONE BCA

The downgrade of the bank's standalone BCA to ca reflects Moody's
view that the proposed LME on Novo Banco's outstanding senior
bonds (EUR3.4 billion as end-June 2016) to recapitalize the bank
has the effect of allowing the issuer to avoid a likely eventual
default according to Moody's definitions. The rating agency
considers this offer to be a distressed exchange that will be
made as a means to avoid Novo Banco's liquidation and close the
sale process. The completion of Novo Banco's sale process by the
resolution fund before August 2017 was a condition imposed by the
EC in order to avoid the liquidation of the bank, which was
created by the Portuguese authorities in 2014 as a bridge
institution following the collapse of Banco Espirito Santo, S.A.
(unrated).

Novo Banco's ca standalone credit assessment also reflects the
bank's very weak fundamentals given its very high and still
growing stock of problem loans and the large losses that it
continues to report (EUR359 million at end-September 2016). These
will be in part mitigated by Lone Star's EUR1 billion capital
injection and the establishment of the so-called contingent
capital mechanism to recapitalize the bank under specific
circumstances. However, these measures are not sufficient to
prevent a the proposed LME on the bank's senior debt to raise at
least EUR500 million of Common Equity Tier 1 and hence the bank's
default on its senior debt.

-- RATIONALE FOR THE LONG-TERM SENIOR DEBT AND DEPOSIT RATINGS

The downgrade of the bank's senior debt rating to Caa2 on review
for further downgrade reflects the rating agency's view that Novo
Banco's senior debt bondholders will suffer losses under the
proposed LME. Based on current available information that the
offer would apply to about EUR3.4 billion of senior unsecured
bonds, Moody's estimates that losses for these investors would be
in the range of 10% to 20%. However, losses could be higher
should the LME apply to a more limited stock of debt, and the
review for downgrade will consider the potential for further
losses for these instruments once the rating agency has more
information on the terms and conditions.

Moody's does not at present expect junior deposits to incur
losses, and has therefore not downgraded Novo Banco's long-term
deposit ratings. However, the review for downgrade on these
ratings reflects the risk that losses could yet arise for Novo
Banco's junior deposits should the announced measures prove
insufficient to restore the viability of the bank, or fail
altogether, thereby increasing the risk of a resolution or
liquidation and consequent losses for depositors.

-- RATIONALE FOR THE CR ASSESSMENT

The downgrade of the bank's CR Assessment to B3(cr) reflects
Moody's assessment of an increased probability of default for
Novo Banco's senior operating obligations following the downgrade
of the bank's standalone BCA to ca. The review for further
downgrade will consider the risk of default on these obligations,
depending on the implementation of the announced measures.

WHAT COULD CHANGE THE RATINGS UP/DOWN

Given the low standalone BCA, scope for further downgrade is
limited, but it would likely be downgraded to c in the event that
plans to restore the bank's solvency prove unsuccessful and the
resolution fund places the bank into a resolution or liquidation
process. This or the prospect of larger-than-expected losses on
senior unsecured debt or deposits would likely result in lower
ratings.

The BCA could be upgraded if the bank successfully completes the
LME and demonstrates that its solvency has been materially
improved without the prospect of further losses for creditors. A
positive change in the BCA would likely lead to an upgrade in all
ratings.

LIST OF AFFECTED RATINGS

Issuer: Novo Banco, S.A.

Downgraded:

-- Adjusted Baseline Credit Assessment, downgraded to ca from
    caa2

-- Baseline Credit Assessment, downgraded to ca from caa2

Downgraded and placed on review for further downgrade:

-- Long-term Counterparty Risk Assessment, downgraded to B3(cr)
    from B2(cr)

-- Senior Unsecured Regular Bond/Debenture, downgraded to Caa2
Rating under Review from Caa1 Developing

Placed on review for downgrade:

-- Long-term Bank Deposits, currently Caa1, outlook changed to
    Rating under Review from Developing

Outlook Action:

-- Outlook changed to Rating under Review from Developing

Issuer: NB Finance Ltd.

Downgraded and placed on review for further downgrade:

-- Backed Senior Unsecured Regular Bond/Debenture, downgraded to
    Caa2 Rating under Review from Caa1 Developing

Outlook Action:

-- Outlook changed to Rating under Review from Developing

Issuer: Novo Banco, S.A., Cayman Branch

Downgraded and placed on review for further downgrade:

-- Long-term Counterparty Risk Assessment, downgraded to B3(cr)
    from B2(cr)

Placed on review for downgrade:

-- Long-term Bank Deposits, currently Caa1, outlook changed to
    Rating under Review from Developing

Outlook Action:

-- Outlook changed to Rating under Review from Developing

Issuer: Novo Banco S.A., Luxembourg Branch

Downgraded and placed on review for further downgrade:

-- Long-term Counterparty Risk Assessment, downgraded to B3(cr)
    from B2(cr)

-- Senior Unsecured Regular Bond/Debenture, downgraded to Caa2
    Rating under Review from Caa1 Developing

Placed on review for downgrade:

-- Long-term Bank Deposits, currently Caa1, outlook changed to
    Rating under Review from Developing

Outlook Action:

-- Outlook changed to Rating under Review from Developing

Issuer: Novo Banco S.A., London Branch

Downgraded and placed on review for further downgrade:

-- Long-term Counterparty Risk Assessment, downgraded to B3(cr)
    from B2(cr)

-- Senior Unsecured Regular Bond/Debenture, downgraded to Caa2
    Rating under Review from Caa1 Developing

Placed on review for downgrade:

-- Long-Term Bank Deposit, currently Caa1, outlook changed to
    Rating under Review from Developing

Outlook Action:

-- Outlook changed to Rating under Review from Developing

Issuer: Novo Banco, S.A., Madeira Branch

Downgraded and placed on review for further downgrade:

-- Long-term Counterparty Risk Assessment, downgraded to B3(cr)
    from B2(cr)

Placed on review for downgrade:

-- Long-term Bank Deposits, currently Caa1, outlook changed to
    Rating under Review from Developing

Outlook Action:

-- Outlook changed to Rating under Review from Developing

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
published in January 2016.


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


METALLURGICAL COMMERCIAL: Moody's Withdraws B1 Deposit Ratings
--------------------------------------------------------------
Moody's Investors Service has withdrawn Metallurgical Commercial
Bank's B1/Not Prime long- and short-term local- and foreign-
currency deposit ratings respectively, its b2 baseline credit
assessment (BCA) and b1 adjusted BCA, as well as the long- and
short-term counterparty risk (CR) assessment of Ba3(cr)/Not
Prime(cr). Prior to withdrawal the outlook on the long-term
deposit ratings was stable.

RATINGS RATIONALE

The withdrawal follows Metallurgical Commercial Bank's merger
into Sovcombank (rated LT bank deposits B1 stable, ST bank
deposits Not Prime, BCA b1), which took place on March 27, 2017,
whereupon Metallurgical Commercial Bank ceased to exist as a
separate legal entity. Prior to the merger, in January 2017,
Metallurgical Commercial Bank's ratings had been aligned with
those of Sovcombank.


POWER MACHINES: Moody's Cuts CFR to B1 on Financial Deterioration
-----------------------------------------------------------------
Moody's Investors Service has downgraded the corporate family
rating (CFR) and the probability of default rating (PDR) of Power
Machines PJSC (PM), a Russian manufacturer of electric power
generation equipment, to B1 from Ba2 and to B1-PD from Ba2-PD
respectively. At the same time, the rating agency placed the
ratings on review for further downgrade. The rating action
reflects a significant sustained deterioration of PM's financial
profile and Moody's concerns over the company's ability to
address its currently stressed liquidity.

RATINGS RATIONALE

The downgrade reflects PM's much weaker than Moody's expected
financial profile as of end-2016, including a leverage in the
high single digits in combination with a sizable negative free
cash flow, which, in Moody's view, will unlikely return to levels
commensurate with a higher rating in the next 12-18 months. Such
deterioration in financial performance has stressed the company's
liquidity, and this is the main driver of the downgrade review.

PM's operating and financial performance in 2016 has remained
significantly weaker than historically, as well as compared to
initial expectations. Though the company managed to increase
revenue in dollar terms in 2016, this did not translate into a
recovery in its financial metrics. PM generates around 60%-70% of
revenue from Russian customers, mainly Russia's largest electric
utilities; the remaining revenues come from export projects. The
low economic growth in Russia and the weak domestic market for
electric power generation equipment, which is dominated by a few
state-controlled customers, continues to weigh on the company's
cash generation capacity. In addition, Moody's also notes weaker-
than-expected fundamentals in PM's export markets. In response to
shifts in demand for its products and services, PM is now
increasingly involved in projects of larger scale and complexity
with a significant construction component. As a result, the
average duration of PM's contracts has increased to 7-10 years
from 2-3 years, while advance payments from customers currently
do not exceed 10%-15% of total contract value compared to 30%-50%
in the past.

PM's EBITDA remains significantly weaker than in previous years.
A large working capital outflow resulted in negative free cash
flow in 2016, driving up new borrowings (a 34% debt increase in
rouble and 60% in dollar terms) and putting pressure on the
company's liquidity. In 2016, Moody's-adjusted debt/EBITDA
increased to 9x from 4.4x in 2015, although Moody's notes that
the 2016 metric also reflects a large degree of foreign exchange
losses in that year due to rouble volatility, without which
adjusted leverage would be lower. Nevertheless Moody's believes
that PM's leverage remains elevated and the company has a limited
ability to improve its metrics in 2017.

PM's liquidity is currently under stress, given its deteriorated
internal cash flow generation and the risk of covenants breach
under its bank debt facilities through end-2018. The company's
cash reserves of $293 million at end-2016 almost fully cover its
short-term debt obligations in 2017. However, overall liquidity
will depend on PM's internal cash generation, availability of
external sources and on the company's ability to remain compliant
with bank covenants. Moody's understands that the company is now
in advanced discussions with banks to attract new funding and
address its weak liquidity.

PM's B1 rating is supported by (1) the company's dominant
position in Russia's market for equipment and solutions for
domestic power generators and a sizeable order book valued at
around $5.9 billion at end-2016; and (2) a dividend policy, which
is aligned with the challenging market environment and the
company's weak financial profile.

The ratings review will focus on the company's ability to address
its weak liquidity and attract additional funding. Moody's will
also continue monitoring the company's progress in terms of the
intake of new orders and the execution of the cash inflows
schedule under its order book, including the evolution of payment
terms with its main customers.

The rating could be confirmed if the company's liquidity profile
is strengthened with no significant deterioration in operating
performance. The rating could be downgraded if the current
weakness in liquidity is not resolved, or if PM's credit metrics
deteriorate further.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Global
Manufacturing Companies published in July 2014.

Headquartered in St. Petersburg, Russia, Power Machines PJSC (PM)
is a manufacturer of a wide range of electric power generating
equipment (turbines, generators, boilers and other equipment) and
integrated solutions for electric power plants of all types and
sizes. 100% of PM's share capital is indirectly controlled by Mr.
Aleksey A. Mordashov. In 2016, PM generated revenue and adjusted
EBIT of $1.2 billion and $69.3 billion, respectively.


TEMPBANK PJSC: Moratorium on Meeting Creditors' Claims Imposed
--------------------------------------------------------------
AK&M reports that the Bank of Russia has imposed a moratorium on
meeting creditors' claims with respect to PJSC MJSB Tempbank.

According to AK&M, this decision was motivated by the unstable
financial position of PJSC Moscow Joint Stock Bank Tempbank and a
threat to the interests of creditors and depositors.

The Bank of Russia appointed the state corporation Deposit
Insurance Agency to perform the functions of provisional
administration of the bank for a period of six months, AK&M
relates.

The powers of shareholders connected with participation in the
authorized capital and the powers of managing bodies of PJSC MJSB
Tempbank are suspended for the period of provisional
administration activity, AK&M notes.

The key objective of the provisional administration is to carry
out an inspection of the bank's financial position, AK&M states.

At the same time, the Bank of Russia imposed a moratorium on
meeting creditors' claims with respect to PJSC MJSB Tempbank for
a three-month period, AK&M relays.


TENEX-SERVICE: S&P Affirms 'BB/B' Counterparty Credit Ratings
-------------------------------------------------------------
S&P Global Ratings said that it had affirmed its 'BB/B' long- and
short-term counterparty credit ratings on Russian nuclear sector
leasing company TENEX-Service.  The outlook remains positive.

S&P also affirmed its 'ruAA' Russia national scale rating.

The affirmation reflects TENEX-Service's highly strategic status
within the Atomic Energy Power Corp. (AtomEnergoProm) group.  In
particular, S&P considers TENEX-Service to be a captive leasing
company and a highly strategic subsidiary of AtomEnergoProm.  As
such, S&P rates TENEX-Service one notch below AtomEnergoProm
(BB+/Positive/B; Russia national scale 'ruAA+').  In addition S&P
views TENEX-Service as a government-related entity (GRE), given
that it is indirectly owned by the Russian government through
AtomEnergoProm.  Therefore, any government support to TENEX-
Service, if needed, would likely be extended indirectly through
its parent.

S&P revised up its assessment of TENEX-Service's capital,
leverage, and earnings, which is primarily thanks to continuous
deleveraging resulting from scaling down its operations in 2014-
2016.  S&P understands the deleveraging owes to the less
favorable operating environment in Russia, which slowed
AtomEnergoProm's investment programs.  Although the situation in
the economy is gradually stabilizing, S&P don't expect
AtomEnergoProm's investment program to increase immediately.
Therefore, S&P don't believe that leasing portfolio volumes will
stop contracting until 2018.

S&P's risk-adjusted capital (RAC) ratio for TENEX-Service stood
at 11.7% at year-end 2015.  S&P estimates it was about 13%-14% as
of year-end 2016 and assume this ratio will remain in the 13%-15%
range over the next 12-18 months.  S&P's projections incorporate
further gradual deleveraging, as well as a 100% dividend pay-out
ratio.

As a result of the improvement in TENEX-Service's capital,
leverage, and earnings, S&P has revised its assessment of TENEX-
Service's stand-alone credit profile to 'b+' from 'b', although
it does not result in upside for the rating because the rating is
capped at one notch below the rating on AtomEnergoProm, in line
with S&P's criteria for highly strategic subsidiaries.

Although TENEX-Service is small compared with the parent group,
it has a high level of integration with AtomEnergoProm.  TENEX-
Service's strategy, risk management, funding, and client base are
shared with, or provided by, AtomEnergoProm, and it has limited
business scope outside the group.  In S&P's view, TENEX-Service
is not separable from the rest of the group and therefore it
enjoys a very high likelihood of extraordinary support from its
parent, if required.

The positive outlook on TENEX-Service mirrors that on
AtomEnergoProm, as well as S&P's understanding that TENEX-
Service's role within the group will not change over the next 12-
18 months.  This reflects S&P's expectation that TENEX-Service
will continue to benefit from its high level of strategic and
operational integration with its parent.

A positive rating action would follow a positive rating action on
AtomEnergoProm, all else being equal.

S&P could consider revising the outlook on TENEX-Service to
stable if S&P revises its outlook on AtomEnergoProm following the
same action on the sovereign.


===============
S L O V E N I A
===============


T-2: Constitutional Court Annuls Bankruptcy Ruling
--------------------------------------------------
Telecompaper reports that Slovenia's Constitutional Court has
annulled the decision of the Higher Court in Ljubljana from
March last year that for the third time unduly initiated
bankruptcy proceedings at telecommunications operator T-2.

According to Telecompaper, with its ruling, the Constitutional
Court definitively confirmed the decision of the Ljubljana
District Court from June 22, 2015, which rejected a request to
initiate bankruptcy proceedings against T-2.

This means that all possible legal procedures have been
exhausted, Telecompaper notes.



===========
T U R K E Y
===========


ABT SUKUK: S&P Lowers Rating on $200MM Certificates to 'CCC+'
-------------------------------------------------------------
S&P Global Ratings said that it lowered its issue rating on the
$200 million trust certificates issued by ABT Sukuk Ltd. to
'CCC+' from 'B-' and removed it from CreditWatch with negative
implications where it was placed on Jan. 27, 2017.

The downgrade is underpinned by the fact that the sukuk legal
documentation now includes a clause for mandatory write-down at
the point of non-viability.  This clause was introduced to ensure
the eligibility of the sukuk as a Tier 2 capital instrument under
Basel III and was subject to an investors' consent solicitation.

The 'CCC+' rating on the sukuk trust certificates now reflects
the three-notch deduction from Albaraka Turk Katilim Bankasi
A.S.' (the sukuk's sponsor) stand-alone credit profile; two for
subordination and a further notch for the clause of mandatory
write-down at the point of non-viability.


EREGLI DEMIR: S&P Affirms Then Withdraws 'BB' CCR
-------------------------------------------------
S&P Global Ratings affirmed its 'BB' long-term corporate credit
rating on Turkish flat steel producer Eregli Demir ve Celik
Fabrikalari T.A.S. (Erdemir).  S&P subsequently withdrew the
rating at Erdemir's request.  The outlook was negative at the
time of the withdrawal.

The affirmation incorporates S&P's expectation that, following
strong results in 2016, Erdemir's performance will remain
resilient and supportive of S&P's 'BB' rating over the first half
of 2017.


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


CO-OPERATIVE BANK: Gets Takeover Proposals, Enters Further Talks
----------------------------------------------------------------
Nicholas Megaw at The Financial Times reports that the
Co-Operative Bank has agreed to enter further discussions with
"several" parties interested in making a takeover offer, the
company said on April 7, a day after its former parent group
effectively declared it worthless by taking a writedown for its
entire value.

The bank reported last month that a number of potential suitors
had expressed interest in an offer, and on April 7 it said
several have since made non-binding proposals, the FT recounts.
According to the FT, the bank said it board has agreed to enter
further discussions while continuing to discuss other options to
build capital.

It said the Prudential Regulation Authority "has welcomed the
actions being taken", though it added that there can be no
certainty of any final moves, the FT relays.

Co-op Bank, as cited by the FT, said it had received proposals
from "strategic and financial parties", with each of the
preliminary offers including "some form of liability management
exercise" of its outstanding public debt.

Co-op Bank has struggled since 2013, when bad loans created a
GBP1.5 billion capital hole in its books, the FT notes.

The Co-operative Bank is a retail and commercial bank in the
United Kingdom, with its headquarters in Balloon Street,
Manchester.  The bank has around four million customers and 105
branches.


JAEGER: Files Notice of Intention to Appoint Administrators
-----------------------------------------------------------
The Daily Mail reports that Jaeger could collapse into
administration as soon as this week -- endangering 700 jobs.

According to The Daily Mail, the struggling fashion brand on
April 6 reportedly filed a notice of intention to appoint
administrators, meaning it will be protected from creditors for
ten days.  This could then be followed by a formal winding up of
the business, The Daily Mail notes.

A mystery buyer -- thought to be Edinburgh Woollen Mill's backer
Philip Day -- was said to have purchased the retailer from its
owner, private equity firm Better Capital, for GBP7 million, The
Daily Mail discloses.

Billionaire Day was believed to be planning to shut most of
Jaeger's 25 stores and turn it into a brand sold in concessions
and online, The Daily Mail states.


MICRO FOCUS: S&P Rates Unit's Sr. Sec. Term Loans 'BB-'
-------------------------------------------------------
S&P Global Ratings said that it has assigned its 'BB-' issue
rating to the $885 million and $2.6 billion pari passu senior
secured term loans to be borrowed by MA FinanceCo. LLC, a
subsidiary of U.K.-based software provider Micro Focus
International PLC and Seattle SpinCo Inc., a company that will be
wholly-owned by Micro Focus and hold the assets of HPE Software.
The recovery rating is '3', indicating S&P's expectation of
meaningful (rounded estimate: 55%) recovery prospects in the
event of default.

The pari passu status will be achieved through a customary
intercreditor agreement and a shared guarantee and identical
collateral package.

S&P also affirmed its 'BB-' issue ratings on Micro Focus'
outstanding senior secured debt, comprising a $1,103 million term
loan B, $412 million term loan C, and increased $500 million
revolving credit facility (RCF).  The recovery rating is
unchanged at '3'.

The recovery rating is supported by the limited amount of prior-
ranking liabilities and the senior position of the debt in the
capital structure, but constrained by the large amount of pari
passu secured debt and the security and guarantee package.  S&P
views this package as weak because it is primarily comprised of
share pledges over all obligors' shares, bank accounts,
intercompany receivables, and certain low value tangible assets.
The proposed loans and existing amended credit facilities'
documentation, debt incurrence, dividend payment tests, and
basket carve-outs will be amended to reflect the combined group.
However, Micro Focus' springing leverage covenant under the
$500 million RCF will remain unchanged.  The security and
guarantor package for the proposed loans remains the same as for
the existing loans, with guarantor coverage just above 50%
(excluding foreign subsidiaries, for tax and organization
optimization).

                        RECOVERY ANALYSIS

The issue and recovery ratings on the new proposed debt and the
affirmation of S&P's ratings on the existing senior secured
credit facilities are based on preliminary information and are
subject to the proposed loans' successful issuance and S&P's
satisfactory review of the final documentation and structure.
The issuance proceeds will be used to finance part of the
acquisition, dividends to Micro Focus' shareholders, and
transaction costs.  The documentation, as well as baskets and
covenants, will be amended to reflect the combined group.

S&P's hypothetical default scenario envisages increased
competition from larger players and limited growth, combined with
operational issues related to the integration.

S&P's going concern valuation is based on the belief that the
company will reorganize in an event of default given its high
customer retention rate and strong market position in niche
segments.

SIMULATED DEFAULT ASSUMPTIONS

   -- Year of default: 2021
   -- Minimum capex (% of average sales): 1%
   -- Cyclicality adjustment factor: +5% (standard sector
      assumption for technology software and services)
   -- Operational adjustment: +20% (this reflects S&P's view that
      the company could face materially higher financing costs on
      the path to default and incur more debt given the baskets'
      capacity).
   -- Emergence EBITDA after recovery adjustments: about $511
      million
   -- Implied enterprise value multiple: 6.0x
   -- Jurisdiction: U.S.

SIMPLIFIED WATERFALL

   -- Gross enterprise value at default: about $3.1 billion
   -- Administrative costs: 5%
   -- Net value available to debtors: $2.9 billion
   -- Priority claims: N/A (1)
   -- Secured debt claims: about $5.2 billion (1)
   -- Recovery expectation: 50%-70% (rounded estimate: 55%) (2)

(1) All debt amounts include six months' prepetition interest.
RCF assumed 85% drawn on the path to default.
(2) Rounded down to the nearest 5%.

N/A--Not applicable.


RIPON MORTGAGES: Moody's Assigns (P)Caa1 Rating to Cl. G Notes
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
following classes of notes to be issued by Ripon Mortgages Plc:

-- GBP [*]M Class A mortgage backed floating rate notes due
August 2056, Assigned (P)Aaa (sf)

-- GBP [*]M Class B mortgage backed floating rate notes due
August 2056, Assigned (P)Aa1 (sf)

-- GBP [*]M Class C mortgage backed floating rate notes due
August 2056, Assigned (P)A1 (sf)

-- GBP [*]M Class D mortgage backed floating rate notes due
August 2056, Assigned (P)Baa1 (sf)

-- GBP [*]M Class E mortgage backed floating rate notes due
August 2056, Assigned (P)Baa3 (sf)

-- GBP [*]M Class F mortgage backed floating rate notes due
August 2056, Assigned (P)Ba1 (sf)

-- GBP [*]M Class G mortgage backed fixed rate notes due August
2056, Assigned (P)Caa1 (sf)

The subject transaction is a static cash securitisation of
residential buy-to-let (BTL) mortgage loans extended to borrowers
located in the UK. The portfolio consists of first lien BTL home
loans extended to [48,247] borrowers, with the current pool
balance of approximately GBP [9,971] million. A significant
portion of the assets comes from a pool backing Aire Valley
Master Trust. The portfolio will be serviced by Topaz Finance
Limited (NR), part of the Computershare group.

RATINGS RATIONALE

The ratings of the notes take into account, among other factors:
(1) the performance of the Aire Valley Master Trust; (2) the
credit quality of the underlying mortgage loan pool, (3) legal
considerations (4) the initial credit enhancement provided to the
senior notes by the junior notes and the reserve fund and (5) the
low level of excess spread.

Please note that on March 21, 2017, Moody's released a Request
for Comment, in which it has requested market feedback on
potential revisions to its Approach to Assessing Counterparty
Risks in Structured Finance. If the revised Methodology is
implemented as proposed, the Credit Rating on Ripon Mortgages Plc
may be affected. Please refer to Moody's Request for Comment,
titled "Moody's Proposes Revisions to Its Approach to Assessing
Counterparty Risks in Structured Finance," for further details
regarding the implications of the proposed Methodology revisions
on certain Credit Ratings.

  -- Expected Loss and MILAN CE Analysis

Moody's determined the MILAN credit enhancement (MILAN CE) and
the portfolio's expected loss (EL) based on the pool's credit
quality. The MILAN CE reflects the loss Moody's expects the
portfolio to suffer in the event of a severe recession scenario.
The expected portfolio loss (EL) of [2.3]% and the MILAN CE of
[15.0]% serve as input parameters for Moody's cash flow and
tranching model, which is based on a probabilistic lognormal
distribution.

MILAN CE for this pool is [15.0]%, which is higher than the UK
buy-to-let sector average of ca. 14.7%, owing to: (1) the
weighted average original loan-to-value (LTV) of [74.78]%, which
is higher than the LTV observed in other comparable UK BTL
transactions; (2) the historical performance of the pool (high
levels of arrears were observed in stressed scenarios); (3) the
weighted-average seasoning of [11.09] years; (4) the proportion
of interest-only loans ([89.4]%); and (5) benchmarking with other
UK BTL RMBS transactions as well as with the previous
transactions of Aire Valley.

The expected loss is [2.3]%, which is higher than the UK buy-to-
let sector average of ca. 1.7%, owing to: (1) the performance of
the originator's precedent transactions; (2) benchmarking with
comparable transactions in the UK BTL RMBS market; and (3) the
current economic conditions in the UK and the potential impact of
future interest rate rises on the performance of the mortgage
loans.

  -- Operational Risk Analysis

Topaz Finance Limited ("Topaz") will act as a Long Term Servicer
and will start servicing the portfolio one year after closing.
Bradford & Bingley plc will act as the Interim Servicing and will
service the portfolio for one year after closing. Moreover,
Bradford & Bingley plc will delegate their servicing to
Computershare Mortgage Services Limited ("Computershare").
Computershare has been servicing the portfolio prior to closing.
A back-up servicer facilitator (Intertrust Management Limited
(not rated)) will be appointed at closing. The backup servicer
facilitator is required to find a suitable replacement within 30
days if, amongst other things, the servicer is insolvent or
defaults on its obligation under the servicing agreement.
Citibank N.A., London Branch (A1 Senior Unsecured/(P)P-1/A1(cr))
will act as cash manager. The collection account is held at The
Royal Bank of Scotland plc (A3/P-2 Bank Deposits/A3(cr)) ("RBS").
There is a daily sweep of the funds held in the collection
account into the transaction account. In the event RBS rating
falls below Baa3 the collection account will be transferred to an
entity rated at least Baa3. The issuer account is held at
Citibank N.A., London Branch (A1 Senior Unsecured/(P)P-1/A1(cr))
with a transfer requirement if the rating of the account bank
falls below A3.

  -- Transaction structure

There is no General Reserve Fund in place at closing. The reserve
fund will be funded by the Available Revenues up to a target
amount of [2.5%] of Classes A and B initial amount less the
Liquidity Reserve Fund target, according to the priority of
payments. The General Reserve Fund can be used to cover
shortfalls in interest payments for Classes A to F as well as to
cure PDL. There will be a fully funded Liquidity Reserve Fund in
place at closing equal to [2.5]% of the Class A and B Notes
outstanding balance. Following the first IPD the Liquidity
Reserve Fund will be available to cover senior fees and interest
shortfalls on Class A and B Notes after using revenue and
principal proceeds. At closing, the Liquidity Reserve Fund
provides approx. 4 months of liquidity to the Class A assuming
Libor of 5.7%. Principal can be used as an additional source of
liquidity to meet shortfall on senior fees and interest on the
most senior outstanding class, principal can also be used to
cover interest payment for more junior classes subject to a PDL
condition.

  -- Interest Rate Risk Analysis

The majority of the loans in the pool are BBR linked (ca.
[98.2]%) with the remaining small proportion being fixed rate
loans. There is no swap in the transaction to mitigate the risk
of mismatch between the index applicable to the loans in the pool
and the index applicable to the notes. Moody's has taken the
absence of swap into account in the stressed margin vector used
in the cash flow modelling.

STRESS SCENARIOS:

  -- Parameter Sensitivities

At the time the ratings were assigned, the model output indicated
that Class A notes would have achieved Aaa(sf), even if MILAN CE
was increased to 24% from 15.0% and the portfolio expected loss
was increased to 6.9% from 2.3% and all other factors remained
the same.

Moody's Parameter Sensitivities provide a quantitative/model-
indicated calculation of the number of rating notches that a
Moody's structured finance security may vary if certain input
parameters used in the initial rating process differed. The
analysis assumes that the deal has not aged and is not intended
to measure how the rating of the security might migrate over
time, but rather how the initial rating of the security might
have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are
calculated by stressing key variable inputs in Moody's primary
rating model.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
September 2016.

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

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

Significantly different loss assumptions compared with Moody's
expectations at close due to either a change in economic
conditions from Moody's central scenario forecast or
idiosyncratic performance factors would lead to rating actions.

For instance, should economic conditions be worse than forecast,
the higher defaults and loss severities resulting from a greater
unemployment, worsening household affordability and a weaker
housing market could result in a downgrade of the ratings.
Downward pressure on the ratings could also stem from (1)
deterioration in the notes' available credit enhancement; (2)
counterparty risk, based on a weakening of a counterparty's
credit profile, or (3) any unforeseen legal or regulatory
changes.

Conversely, the junior notes' ratings could be upgraded: (1) if
economic conditions are significantly better than forecasted; or
(2) upon deleveraging of the capital structure.

The provisional rating addresses the expected loss posed to
investors by the legal final maturity of the notes. In Moody's
opinion, the structure allows for timely payment of interest and
ultimate payment of principal with respect to the Classes A and B
Notes by the legal final maturity. In Moody's opinion, the
structure allows for ultimate payment of interest and principal
with respect to the Class C, Class D, Class E, Class F and Class
G notes by the legal final maturity. Moody's ratings only address
the credit risk associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.

Moody's issues provisional ratings in advance of the final sale
of securities, but these ratings only represent Moody's
preliminary credit opinion. Upon a conclusive review of the
transaction and associated documentation, Moody's will endeavour
to assign definitive ratings to the Notes. A definitive rating
may differ from a provisional rating. Moody's will disseminate
the assignment of any definitive ratings through its Client
Service Desk. Moody's will monitor this transaction on an ongoing
basis.


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


* BOND PRICING: For the Week April 3 to April 7, 2017
-----------------------------------------------------

Issuer                   Coupon      Maturity  Currency  Price
------                   ------      --------  --------  -----
CGG SA                     5.88     5/15/2020    EUR     44.08
IMMOFINANZ AG              4.25      3/8/2018    EUR      4.38
Co-Operative Bank PLC/U   11.00    12/20/2023    GBP     62.67
Casino Guichard Perrach    1.69                  EUR     66.15
Bank of New York Mellon    4.19    12/15/2050    EUR     49.43
AXA SA                     0.54                  EUR     71.01
Air Berlin PLC             6.75      5/9/2019    EUR     73.63
Oi Brasil Holdings Coop    5.75     2/10/2022    USD     32.75
Aegon NV                   0.52                  EUR     67.91
QGOG Constellation SA      6.25     11/9/2019    USD     74.21
Banque Federative du Cr    0.90                  EUR     67.32
Ajecorp BV                 6.50     5/14/2022    USD     69.04
Nordea Bank AB             0.44                  EUR     74.19
CGG SA                     6.50      6/1/2021    USD     43.38
Offshore Drilling Holdi    8.38     9/20/2020    USD     46.00
Abengoa SA                 8.50     3/31/2016    EUR      2.56
AXA SA                     0.82                  EUR     74.18
Obrascon Huarte Lain SA    4.75     3/15/2022    EUR     72.38
Intelsat Luxembourg SA     7.75      6/1/2021    USD     35.00
Pacific Drilling SA        5.38      6/1/2020    USD     51.50
Mitsubishi UFJ Investor    3.92    12/30/2099    EUR      5.48
CHC Helicopter SA          9.25    10/15/2020    USD     52.00
Portugal Telecom Intern    4.63      5/8/2020    EUR     33.99
CNP Assurances             0.88                  EUR     67.63
Fuerstenberg Capital II    5.63                  EUR     70.19
CGG SA                     1.75      1/1/2020    EUR      2.48
Banca Popolare di Vicen    2.84    12/20/2017    EUR     40.31
Rickmers Holding AG        8.88     6/11/2018    EUR     17.75
Credit Agricole SA         0.86                  EUR     69.89
Brunswick Rail Finance     6.50     11/1/2017    USD     62.50
Co-Operative Bank PLC/U    8.50      7/1/2025    GBP     59.76
Banca Popolare di Vicen    9.50     9/29/2025    EUR     39.95
Rothschilds Continuatio    1.46                  EUR     65.05
Immigon Portfolioabbau    10.00                  EUR     11.87
Intelsat Jackson Holdin    5.50      8/1/2023    USD     70.42
Portugal Telecom Intern    5.00     11/4/2019    EUR     34.04
Portugal Telecom Intern    4.38     3/24/2017    EUR     34.38
Veneto Banca SpA           0.74     6/21/2017    EUR     53.88
Obrascon Huarte Lain SA    5.50     3/15/2023    EUR     72.17
ING Groep NV               0.44                  EUR     69.08
BNP Paribas SA             1.31                  USD     67.09
CGG SA                     6.88     1/15/2022    USD     45.00
Abengoa Finance SA         6.00     3/31/2021    EUR      3.57
Privatbank CJSC Via UK    10.88     2/28/2018    USD     11.75
HSH Nordbank AG            7.25                  USD     28.38
Oi Brasil Holdings Coop    5.63     6/22/2021    EUR     35.11
Banca Monte dei Paschi     5.00     4/21/2020    EUR     51.53
Frigoglass Finance BV      8.25     5/15/2018    EUR     62.51
Ageasfinlux SA             1.02                  EUR     51.92
ING Groep NV               0.84                  EUR     72.92
Air Berlin PLC             5.63      5/9/2019    CHF     64.68
PagesJaunes Finance & C    8.88      6/1/2018    EUR     63.52
Privatbank CJSC Via UK    11.00      2/9/2021    USD     14.63
Caisse Federale du Cred    0.89                  EUR     64.13
BNP Paribas Fortis SA      1.68                  EUR     70.85
Portugal Telecom Intern    6.25     7/26/2016    EUR     34.23
Santander Finance Prefe    0.31                  EUR     66.42
Far East Capital Ltd SA    8.00      5/2/2018    USD     57.00
Johnston Press Bond Plc    8.63      6/1/2019    GBP     62.88
Intelsat Luxembourg SA     8.13      6/1/2023    USD     33.50
Paragon Offshore PLC       6.75     7/15/2022    USD     18.00
BNP Paribas SA             1.15                  EUR     57.60
Nordea Bank AB             1.50                  USD     66.49
BPCE SA                    2.81                  USD     73.50
Banque Federative du Cr    0.65                  EUR     66.94
Cofinoga Funding Two LP    2.12                  EUR     69.67
Aldesa Financial Servic    7.25      4/1/2021    EUR     67.39
Santander International    2.00                  USD     49.00
Portugal Telecom Intern    5.88     4/17/2018    EUR     34.01
Banco Espirito Santo SA    4.00     1/21/2019    EUR     27.63
Banca Monte dei Paschi     0.69    11/30/2017    EUR     52.21
CEVA Group PLC             9.00      9/1/2021    USD     67.25
Portugal Telecom Intern    4.50     6/16/2025    EUR     34.25
Abengoa Finance SA         7.00     4/15/2020    EUR      3.78
ADLER Real Estate AG       2.50     7/19/2021    EUR     14.73
Caixa Terrassa Societat    0.41                  EUR     59.63
CGG SA                     1.25      1/1/2019    EUR     12.79
Econocom Group SA/NV       1.50     1/15/2019    EUR     14.16
Air France-KLM             2.03     2/15/2023    EUR     10.44
Banca Monte dei Paschi     2.29     5/15/2018    EUR     45.51
OAS Investments GmbH       8.25    10/19/2019    USD      3.50
Matalan Finance PLC        8.88      6/1/2020    GBP     72.62
Jyske Bank A/S             0.84                  EUR     58.50
Sapinda Invest SARL        5.00     6/30/2019    EUR     40.00
Neopost SA                 3.38                  EUR     52.73
Bluewater Holding BV      10.00    12/10/2019    USD     70.00
Banca Monte dei Paschi     5.60      9/9/2020    EUR     51.91
Mriya Agro Holding PLC     9.45     4/19/2018    USD      7.00
Solarworld AG              9.67     2/24/2019    EUR     65.33
Banco Espirito Santo SA    2.63      5/8/2017    EUR     27.63
UkrLandFarming PLC        10.88     3/26/2018    USD     26.50
Centrics Oil & Gas Fina    6.00      3/4/2017    EUR     70.00
Alno AG                    8.50     5/14/2018    EUR     41.00
Novo Banco SA              3.50      1/2/2043    EUR     53.03
Etablissements Maurel e    1.63      7/1/2019    EUR     16.81
Fred Olsen Energy ASA      4.13     2/28/2019    NOK     55.00
Rothschilds Continuatio    1.50                  USD     55.68
Credit Mutuel Arkea SA     0.79                  EUR     62.18
WPE International Coope   10.38     9/30/2020    USD     15.75
SOITEC                     6.75     9/18/2018    EUR      2.64
Banco Santander SA         0.61                  EUR     66.50
Scholz Holding Gmbh        8.50      3/8/2017    EUR     37.38
Abengoa Greenfield SA      5.50     10/1/2019    EUR      3.93
Banco Espirito Santo SA    7.13    11/28/2023    EUR      0.40
Norske Skog Holding AS     8.00     2/24/2021    EUR     56.50
Pierre & Vacances SA       3.50     10/1/2019    EUR     44.09
IPF Investments Polska     6.06      6/3/2020    PLN     73.39
Banco Espirito Santo SA    4.75     1/15/2018    EUR     27.50
Sequa Petroleum NV         5.00     4/29/2020    USD     69.75
Societe Generale SA        1.38                  USD     66.00
Bibby Offshore Services    7.50     6/15/2021    GBP     60.50
KTG Agrar SE               7.13      6/6/2017    EUR      2.30
BIM SAS                    2.50    11/13/2020    EUR     26.66
Paragon Offshore PLC       7.25     8/15/2024    USD     17.50
Danske Bank Oyj            0.63                  EUR     97.17
Far East Capital Ltd SA    8.75      5/2/2020    USD     58.50
Societe Generale SA        0.81                  EUR     58.01
KTG Energie AG             7.25     9/28/2018    EUR      3.15
Aegon NV                   1.51                  NLG     60.98
Abengoa Finance SA         8.88     11/1/2017    USD      3.05
OSX 3 Leasing BV          13.00     3/20/2015    USD     33.00
VistaJet Malta Finance     7.75      6/1/2020    USD     71.00
Bilt Paper BV              9.64                  USD     48.27
CHC Helicopter SA          9.38      6/1/2021    USD     34.00
Veneto Banca SpA           6.41                  EUR
Scandinavian Airlines S    0.63                  CHF     24.46
Waste Italia SpA          10.50    11/15/2019    EUR     25.38
European Directories Bo    7.00     12/9/2018    EUR     71.63
ATF Capital BV             8.58                  USD     64.00
Pastor Participaciones     1.84                  EUR     75.00
Yuksel Insaat AS           9.50    11/10/2015    USD     25.88
National Westminster Ba    1.50                  USD     75.38
Kazkommertsbank JSC via    7.08                  USD     65.34
NIBC Bank NV               1.84                  USD     67.17
Fuerstenberg Capital Er    1.45                  EUR     60.38
Ausy                       3.25      1/1/2021    EUR     54.60
Solarworld AG              9.67     2/24/2019    EUR     62.00
Sanha GmbH & Co KG         7.75      6/4/2018    EUR     44.75
NIBC Bank NV               0.66                  EUR     59.00
DNB Bank ASA               1.19                  USD     64.85
NTRP Via Interpipe Ltd    10.25      8/2/2017    USD     26.01
Popular Capital SA         0.81                  EUR     49.94
Norske Skogindustrier A    2.00    12/30/2115    EUR     10.00
Intelsat Luxembourg SA    12.50    11/15/2024    USD     62.42
IKB Deutsche Industrieb    5.63     3/31/2017    EUR     30.50
Grupo Isolux Corsan SA     0.25    12/30/2018    EUR      3.81
Banco Espirito Santo SA    2.33                  EUR      0.46
OGX Austria GmbH           8.50      6/1/2018    USD      0.00
Eramet                     4.00                  EUR     56.97
Jyske Bank A/S             0.53                  EUR     62.83
Nexity SA                  0.13      1/1/2023    EUR     63.77
Pacific Drilling SA        5.38      6/1/2020    USD     48.50
de Volksbank NV           11.25                  EUR      1.14
Virgolino de Oliveira F   10.50     1/28/2018    USD      8.10
OP Corporate Bank plc      0.61                  EUR     62.01
Greene King Finance PLC    2.45     3/15/2036    GBP     70.80
Neue ZWL Zahnradwerk Le    7.50     2/17/2021    EUR     71.63
Barclays Bank PLC          3.21     7/31/2034    USD     72.80
Allied Irish Banks PLC    12.50     6/25/2035    GBP     72.13
Abengoa SA                 6.25     1/17/2019    EUR      1.53
Farstad Shipping ASA       5.27     2/15/2017    NOK     22.50
Iona Energy Co UK PLC     12.50     9/27/2018    USD      2.37
IGas Energy PLC           10.00     3/22/2018    USD     73.50
Mobylife Holding A/S       7.25     5/23/2018    SEK     51.50
E Forland AS               7.89      9/4/2018    NOK     71.50
Etablissements Maurel e    2.75      7/1/2021    EUR     10.85
Solor Bioenergi Holding    6.32     11/2/2017    NOK     58.75
Oceanteam ASA             12.29    10/24/2017    USD     21.38
Lambay Capital Securiti    6.25                  GBP      0.56
Havila Shipping ASA        8.60     3/30/2017    NOK     66.13
Abengoa Finance SA         8.88     11/1/2017    USD      3.05
MS Deutschland Beteilig    6.88    12/18/2017    EUR      6.00
BNP Paribas SA             0.58     4/30/2033    USD     52.00
Banca Monte dei Paschi     7.00      3/4/2019    EUR     50.08
Banca Popolare di Vicen    4.60    12/15/2017    EUR     63.00
Banca Carige SpA           2.78     6/19/2018    EUR     65.00
Pescanova SA               5.13     4/20/2017    EUR      2.34
Sydbank A/S                0.85                  EUR     57.70
de Volksbank NV            6.25    10/26/2020    EUR      3.31
Banca Carige SpA           8.34                  EUR     34.63
Wild Bunch AG              8.00     3/23/2019    EUR     50.00
Pescanova SA               8.75     2/17/2019    EUR      2.25
Royal Bank of Scotland     1.63                  USD     71.50
Aralco Finance SA         10.13      5/7/2020    USD      3.00
Banca Monte dei Paschi     0.67     1/15/2018    EUR     51.85
Avanti Communications G   10.00     10/1/2019    USD     60.63
Gebr Sanders GmbH & Co     8.75    10/22/2018    EUR     21.00
National Westminster Ba    1.19                  USD     76.25
Intelsat Connect Financ   12.50      4/1/2022    USD     64.28
Novo Banco SA              3.50     2/19/2043    EUR     53.06
Afren PLC                 11.50      2/1/2016    USD      0.10
Lloyds Bank PLC            3.25    11/27/2033    USD     67.30
IKB Deutsche Industrieb    4.70     3/31/2017    EUR     31.60
DNB Bank ASA               1.38                  USD     64.69
syncreon Group BV / syn    8.63     11/1/2021    USD     73.63
Novo Banco SA              5.00     3/15/2022    EUR     71.36
City of Kiev Ukraine Vi    8.00     11/6/2015    USD     70.00
BOA OCV AS                 6.75     10/7/2019    NOK     50.10
Dexia Credit Local SA      1.42                  EUR      4.63
Barclays Bank PLC          0.53     5/31/2033    USD     54.57
Barclays Bank PLC          0.84     3/21/2033    USD     58.50
Abengoa Greenfield SA      6.50     10/1/2019    USD      3.87
Abengoa Finance SA         7.75      2/1/2020    USD      3.09
Petrol AD                  5.50     1/26/2022    EUR     16.00
DNB Bank ASA               1.38                  USD     64.55
Novo Banco SA              5.00     2/24/2022    EUR     71.33
World Wide Supply AS       7.75     5/26/2017    USD     13.50
Lehman Brothers UK Capi    5.13                  EUR      0.17
German Pellets GmbH        7.25    11/27/2019    EUR      0.72
Touax SA                   6.00     7/10/2020    EUR     16.67
Ichor Coal NV              8.00      6/7/2017    EUR     61.41
Rudolf Woehrl AG           6.50     2/12/2018    EUR     12.55
Banca Monte dei Paschi     2.79    10/31/2018    EUR     51.60
Farstad Shipping ASA       4.52     5/29/2018    NOK     22.38
Espirito Santo Financia    6.88    10/21/2019    EUR      0.05
Novo Banco SA              3.50     1/23/2043    EUR     53.15
Orco Property Group SA     7.00     11/7/2019    EUR     65.25
Alpine Holding GmbH        6.00     5/22/2017    EUR      2.50
Talvivaara Mining Co PL    4.00    12/16/2015    EUR      0.37
LBI HF                     6.10     8/25/2011    USD      8.00
Candyking Holding AB       5.00     1/29/2018    SEK     38.00
Offshore Drilling Holdi    8.38     9/20/2020    USD     41.00
IM Skaugen SE             10.13     4/11/2017    NOK     54.50
Espirito Santo Financia    3.13     12/2/2018    EUR      0.50
KTG Agrar SE               7.25    10/15/2019    EUR      2.21
Praktiker AG               5.88     2/10/2016    EUR      0.12
Volstad Shipping AS        7.14     4/15/2019    NOK     25.00
Minicentrales Dos SA       4.81    11/29/2034    EUR     60.75
Minicentrales Dos SA       6.45     4/14/2028    EUR     67.25
Royal Bank of Scotland     2.62    12/30/2030    USD     65.90
Cirio Holding Luxembour    6.25     2/16/2004    EUR      0.38
GEWA 5 to 1 GmbH & Co K    6.50     3/24/2018    EUR     31.38
3W Power SA                8.00     8/29/2019    EUR     40.00
Ideal Standard Internat   11.75      5/1/2018    EUR      4.43
Oi Brasil Holdings Coop    5.75     2/10/2022    USD     35.50
Manchester Building Soc    6.75                  GBP     13.75
Banco Pinto & Sotto May    0.68                  EUR     19.00
Dexia SA                   1.45                  EUR      5.00
German Pellets GmbH        7.25      7/9/2018    EUR      1.48
Uppfinnaren 1 AB          10.00                  SEK     64.00
Phosphorus Holdco PLC     10.00      4/1/2019    GBP      1.11
Lehman Brothers Treasur    6.00     11/2/2035    EUR      8.63
GNB - Cia de Seguros de    1.88    12/19/2022    EUR     60.00
Bank Nadra via NDR Fina    8.25     7/31/2018    USD      0.44
Action SA                  3.21      7/4/2017    PLN     38.50
Elli Investments Ltd      12.25     6/15/2020    GBP     45.00
Novo Banco SA              3.00     6/21/2022    USD     68.52
Azubu Investments SA       5.00     8/25/2018    EUR     79.00
Societe Alsacienne et L    1.63      1/1/2022    EUR     60.46
GNB - Cia de Seguros de    3.18                  EUR     42.50
Banca delle Marche SpA     0.64      6/1/2017    EUR      1.00
Paragon Offshore PLC       7.25     8/15/2024    USD     15.50
Cooperatieve Rabobank U    0.50    11/26/2021    ZAR     65.57
National Westminster Ba    1.03                  USD     75.38
Western Bulk Chartering    7.80     4/19/2019    NOK     74.75
Norske Skog Holding AS     8.00     2/24/2023    USD     45.38
Tonon Luxembourg SA        9.25     1/24/2020    USD     10.75
International Industria   11.00     2/19/2013    USD      0.28
Norske Skogindustrier A    7.13    10/15/2033    USD     30.25
Banca Popolare di Vicen    8.50    12/28/2018    EUR     65.00
OGX Austria GmbH           8.38      4/1/2022    USD      0.00
Tonon Luxembourg SA       10.50     5/14/2024    USD     40.63
Barclays Bank PLC          0.69     2/25/2031    USD     67.81
Novo Banco SA              3.50     3/18/2043    EUR     53.06
Credit Lyonnais SACA       0.44                  EUR     53.51
Assystem                   4.50                  EUR     30.11
Barclays Bank PLC          0.66     3/28/2033    USD     58.00
Corporate Commercial Ba    8.25      8/8/2014    USD      0.50
RWE AG                     3.80      4/5/2033    USD     74.05
Beate Uhse AG              7.75      7/9/2019    EUR     22.00
Travel24.com AG            7.50     9/17/2017    EUR     68.00
BNP Paribas SA             0.50     9/29/2029    AUD     53.58
Portugal Telecom Intern    5.24     11/6/2017    EUR     33.50
Barclays Bank PLC          0.96     9/30/2031    USD     67.82
Sazka AS                   9.00     7/12/2021    EUR      0.06
Barclays Bank PLC          3.72    10/30/2034    USD     71.50
CBo Territoria             6.00      1/1/2020    EUR      4.15
Lloyds Bank PLC            1.33                  USD     75.14
Barclays Bank PLC          2.62    12/30/2030    USD     67.41
Banca Carige SpA           1.68    12/29/2018    EUR     61.25
Barclays Bank PLC          0.75     4/19/2033    USD     59.00
Belfius Bank SA/NV         1.66                  FRF     69.25
Veneto Banca SpA           6.95     2/25/2025    EUR     34.63
Island Drilling Co ASA     9.50      4/3/2018    USD      3.14
Virgolino de Oliveira F   10.88     1/13/2020    USD     25.83
SRH NV                     6.26                  EUR      0.01
Abengoa Greenfield SA      6.50     10/1/2019    USD      3.87
Vneshprombank Ltd via V    9.00    11/14/2016    USD      0.06
Barclays Bank PLC          2.72     3/28/2034    USD     61.22
CGG SA                     6.88     1/15/2022    USD     44.38
Lloyds Bank PLC            0.66     4/26/2033    USD     56.75
Gol LuxCo SA               8.88     1/24/2022    USD     72.50
Barclays Bank PLC          1.63                  USD     75.50
Alno AG                    8.00     3/21/2019    EUR     37.00
Barclays Bank PLC          4.61     1/31/2029    USD     72.00
Sydbank A/S                0.77                  EUR     69.88
Abanka Vipa DD Via Afin    1.57                  EUR      1.53
Hellenic Republic Gover    2.09     7/25/2057    EUR     36.63
Mriya Agro Holding PLC    10.95     3/30/2016    USD      6.48
Breeze Finance SA          6.71     4/19/2027    EUR     29.05
ESFIL-Espirito Santo Fi    5.25     6/12/2015    EUR      0.45
Barclays Bank PLC          2.41    11/29/2030    USD     67.83
Smart Solutions GmbH       8.00     12/3/2018    EUR     33.38
Kaupthing ehf              7.63     2/28/2015    USD     17.63
Vseukrainsky Aktsinerny   10.90     6/14/2019    USD      1.89
Finance and Credit Bank    9.25     1/25/2019    USD      0.00
Barclays Bank PLC          2.72     7/28/2031    USD     67.56
UniCredit Bank Austria     0.21     8/20/2033    EUR     70.05
Orient Express Bank PJS   12.00     5/29/2019    USD     49.00
Autonomous Community of    2.97      9/8/2039    JPY     63.89
Koninklijke Luchtvaart     0.75                  CHF     36.75
Far Eastern Shipping Co   13.00    11/28/2017    RUB     50.10
Ajecorp BV                 6.50     5/14/2022    USD     69.04
Barclays Bank PLC          3.41     5/30/2034    USD     73.75
Cirio Finanziaria SpA      8.00    12/21/2005    EUR      0.17
Privatbank CJSC Via UK    10.88     2/28/2018    USD     28.50
Lehman Brothers UK Capi    5.75                  EUR      0.02
wige MEDIA AG              6.00     3/17/2019    EUR      2.10
Danske Bank Oyj            1.28                  EUR     65.00
Standard Chartered PLC     1.44                  USD     70.00
Brunswick Rail Finance     6.50     11/1/2017    USD     63.79
Cirio Finance Luxembour    7.50     11/3/2002    EUR      4.45
Bremer Landesbank Kredi    9.50                  EUR     71.63
Capital Raising GmbH       7.50                  EUR     17.65
Barclays Bank PLC          3.38     9/29/2034    USD     69.92
Paragon Offshore PLC       6.75     7/15/2022    USD     15.50
Banco Espirito Santo SA    6.88     7/15/2016    EUR     26.83
Cooperatieve Rabobank U    0.50     7/30/2043    MXN     11.48
Eniro AB                   6.00     4/14/2020    SEK     17.47
Sidetur Finance BV        10.00     4/20/2016    USD      4.95
Golden Gate AG             6.50    10/11/2014    EUR     48.50
Laurel GmbH                7.13    11/16/2017    EUR      8.25
Abengoa Finance SA         7.75      2/1/2020    USD      3.09
Manchester Building Soc    8.00                  GBP     24.25
JZ Capital Partners Ltd    6.00     7/30/2021    GBP     11.30
Oceanic Champion AS        8.00     2/20/2020    USD     65.78
More & More AG             8.13     6/11/2018    EUR     40.50
Commerzbank Holdings UK    1.69                  USD     69.58
Deutsche Bank AG/London    2.98     6/30/2034    USD     52.00
La Mutuelle Generale       6.81                  EUR     70.02
Accentro Real Estate AG    6.25     3/27/2019    EUR      8.81
CNP Assurances             2.00                  EUR     61.24
Electromagnetic Geoserv    7.18     6/27/2019    NOK     54.88
3W Power SA                5.50    11/11/2020    EUR     45.00
Barclays Bank PLC          0.55     8/31/2031    USD     68.20
Landes-Hypothekenbank S    0.07     3/20/2043    EUR     78.78
Cirio Del Monte NV         7.75     3/14/2005    EUR      0.94
Standard Chartered PLC     1.56                  USD     69.91
Steilmann SE               6.75     6/27/2017    EUR      4.44
Espirito Santo Financia    9.75    12/19/2025    EUR      0.57
Santander Issuances SAU    4.35     12/1/2026    EUR     70.95
IT Holding Finance SA      9.88    11/15/2012    EUR      0.24
Phones4u Finance PLC       9.50      4/1/2018    GBP     66.50
Sairgroup Finance BV       6.63     10/6/2010    EUR     11.88
getgoods.de AG             7.75     10/2/2017    EUR      0.03
German Pellets GmbH        7.25      4/1/2016    EUR      1.11
Norske Skog Holding AS     8.00     2/24/2021    EUR     56.50
Barclays Bank PLC          2.62    12/30/2030    USD     66.10
Barclays Bank PLC          2.85     1/27/2031    USD     69.97
SAG Solarstrom AG          6.25    12/14/2015    EUR     28.50
KPNQwest NV               10.00     3/15/2012    EUR      0.18
Hellas Telecommunicatio    8.50    10/15/2013    EUR      0.43
Havila Shipping ASA        9.50     8/30/2017    NOK     15.00
Del Monte Finance Luxem    6.63     5/24/2006    EUR      5.00
Royal Bank of Scotland     2.54    11/16/2030    USD     61.96
Norske Skogindustrier A    7.13    10/15/2033    USD     34.69
Tatfondbank PJSC          13.50     5/28/2025    RUB     26.56
Deutsche Bank AG/London    4.06    10/31/2034    USD     69.75
BOA Offshore AS            7.90    12/18/2018    NOK     23.38
Standard Chartered PLC     1.65                  USD     69.88
Sairgroup Finance BV       4.38      6/8/2006    EUR     11.75
Deutsche Bank AG/London    3.65    11/26/2034    USD     65.25
Hybrid Raising GmbH        6.63                  EUR     17.50
Standard Chartered PLC     1.53                  USD     69.91
de Volksbank NV            2.42                  EUR      1.14
EDOB Abwicklungs AG        7.50      4/1/2012    EUR      0.25
Santander Finance Capit    2.00                  EUR     26.25
Barclays Bank PLC          2.75     2/28/2034    USD     67.16
Alpine Holding GmbH        5.25      7/1/2015    EUR      2.47
Deutsche Bank AG           0.50     6/28/2033    USD     54.25
Lehman Brothers Treasur    6.00     2/15/2035    EUR      8.63
Afren PLC                  6.63     12/9/2020    USD      0.08
Far Eastern Shipping Co   15.00     2/27/2018    RUB     55.55
AKB Peresvet ZAO          13.50    10/16/2020    RUB     30.10
Golden Energy Offshore     5.00    12/31/2017    NOK     29.00
Brighthouse Group PLC      7.88     5/15/2018    GBP     65.75
Enterprise Holdings LTD    7.00     3/30/2020    EUR      2.33
Strenesse AG               9.00     3/15/2017    EUR     20.00
SiC Processing GmbH        7.13      3/1/2016    EUR      1.26
Teksid Aluminum Luxembo   11.38     7/15/2011    EUR      0.19
Virgolino de Oliveira F   11.75      2/9/2022    USD      7.97
CEVA Group PLC             9.00      9/1/2021    USD     67.00
Rena GmbH                  8.25     7/11/2018    EUR      8.63
Barclays Bank PLC          1.46     6/17/2033    USD     58.92
HSBC France SA             1.03                  EUR     50.01
CGG SA                     5.88     5/15/2020    EUR     44.38
Lloyds Bank PLC            0.65     1/31/2033    USD     61.07
Alpine Holding GmbH        5.25     6/10/2016    EUR      2.47
IGas Energy PLC           10.00    12/11/2018    USD     24.38
CRC Breeze Finance SA      6.11      5/8/2026    EUR     53.63
Frey                       6.00    11/15/2022    EUR     22.60
Lehman Brothers Treasur    7.25     10/5/2035    EUR      9.63
RENE LEZARD Mode GmbH      7.25    11/25/2017    EUR     19.05
Olympic Ship AS            6.15     6/18/2019    NOK     20.38
Depfa Funding II LP        6.50                  EUR     56.75
Bank of Scotland PLC       1.56                  USD     74.87
Portigon AG                7.46    12/31/2019    EUR     27.75
Barclays Bank PLC          5.40     9/13/2028    USD     74.85
Pescanova SA               6.75      3/5/2015    EUR      3.64
Windreich GmbH             6.50     7/15/2016    EUR     10.88
Cooperatieve Rabobank U    0.50    10/30/2043    MXN     11.31
PNE Wind AG                3.75    10/10/2019    EUR      3.12
Standard Chartered PLC     0.69                  GBP     69.25
Mox Telecom AG             7.25     11/2/2017    EUR      2.85
Bulgaria Steel Finance    12.00      5/4/2013    EUR      2.46
OGX Austria GmbH           8.38      4/1/2022    USD      0.00
Landesbank Hessen-Thuer    0.12      5/3/2041    EUR     62.76
Norske Skog Holding AS     8.00     2/24/2023    USD     44.94
EFG International AG       0.63                  EUR     65.75
Espirito Santo Financia    5.13     5/30/2016    EUR      0.85
DOF ASA                    8.00     9/12/2019    NOK     39.88
Mifa Mitteldeutsche Fah    7.50     8/12/2018    EUR      3.02
Forthnet SA                1.00    10/11/2025    EUR      0.15
Barclays Bank PLC          1.88     11/1/2031    USD     66.20
Nationwide Building Soc    0.85                  GBP     70.00
Intelsat Connect Financ   12.50      4/1/2022    USD     64.25
OGX Austria GmbH           8.50      6/1/2018    USD      0.00
Marfin Investment Group    7.00     7/29/2019    EUR      1.00
Steilmann SE               7.00     9/23/2018    EUR      2.90
Atari SA                   7.50     2/17/2020    EUR      0.35
SAG Solarstrom AG          7.50     7/10/2017    EUR     28.50
Kaupthing ehf              5.75     10/4/2011    USD     17.63
Geotech Seismic Service   13.00    10/16/2019    RUB     69.90
Enterprise Holdings LTD    7.00     9/26/2017    EUR      2.33
Karlie Group GmbH          5.00     6/25/2021    EUR      3.00
Lloyds Bank PLC            0.75     2/22/2033    USD     56.50
Windreich GmbH             6.50      3/1/2015    EUR     10.88
SeaBird Exploration Fin    6.00      3/3/2018    USD     13.75
Societe Generale SA        0.14     2/28/2033    USD     65.00
Lehman Brothers Treasur    8.25     3/16/2035    EUR      8.63
Deutsche Bank AG/London    3.62     9/30/2029    USD     70.50
Santander Finance Capit    2.00                  EUR     25.88
Talvivaara Mining Co PL    9.75      4/4/2017    EUR      0.78
Intelsat Luxembourg SA    12.50    11/15/2024    USD     62.42
IVG Immobilien AG          5.54                  EUR      0.55
de Volksbank NV            6.63     5/14/2018    EUR      3.31
Steilmann SE               7.00      3/9/2017    EUR      2.90
Deutsche Bank AG/London    1.09     3/15/2033    USD     58.63
PA Resources AB           13.50      3/3/2016    SEK      0.11
KPNQwest NV                8.88      2/1/2008    EUR      0.18
Barclays Bank PLC          2.34     4/25/2034    USD     62.11
Gunther Zamek Produktio    7.75     5/15/2017    EUR      1.55
Barclays Bank PLC          2.47     7/24/2028    USD     72.10
VistaJet Malta Finance     7.75      6/1/2020    USD     71.00
Eidesvik Offshore ASA      5.60     5/22/2018    NOK     68.88
KPNQwest NV                7.13      6/1/2009    EUR      0.18
Dannemora Mineral AB      11.75     3/22/2016    USD      0.90
TradeDoubler AB            6.75    12/20/2018    SEK     47.63
Heta Asset Resolution A    0.43    12/31/2023    EUR     39.25
Banca Monte dei Paschi     4.40     3/14/2024    EUR      8.25
Abengoa Finance SA         6.00     3/31/2021    EUR      3.57
Barclays Bank PLC          0.96     9/30/2031    USD     67.87
Kommunekredit              0.50     7/30/2027    TRY     30.16
ADLER Real Estate AG       6.00     6/30/2017    EUR     13.25
Alpha Bank AE              2.50     6/20/2022    EUR     67.51
Deutsche Bank AG/London    2.65     8/28/2034    USD     58.00
Afren PLC                 11.50      2/1/2016    USD      0.10
Kazkommertsbank JSC via    7.08                  USD     68.38
INVEST-DEVELOPMENT PJSC   15.00      4/2/2026    RUB    100.00
Depfa Funding IV LP        5.03                  EUR     57.00
Region of Abruzzo Italy    0.17     11/7/2036    EUR     61.04
Bibby Offshore Services    7.50     6/15/2021    GBP     60.50
LBI HF                     2.25     2/14/2011    CHF      5.88
Finmek International SA    7.00     12/3/2004    EUR      0.13
BLT Finance BV            12.00     2/10/2015    USD     10.50
Autonomous Community of    1.10      9/8/2024    EUR     72.66
Northland Resources AB    15.00     7/15/2019    USD      0.44
A-TEC Industries AG        8.75    10/27/2014    EUR      2.00
Afren PLC                 10.25      4/8/2019    USD      0.03
Lehman Brothers Treasur    4.00     2/16/2017    EUR      8.63
Northland Resources AB     4.00    10/15/2020    USD      0.07
UniCredit Bank Austria     0.16    12/27/2031    EUR     68.23
Novo Banco SA              3.00    12/16/2021    EUR     61.13
Kaupthing ehf              5.75     10/4/2011    USD     17.63
A-TEC Industries AG        2.75     5/10/2014    EUR      2.00
Afren PLC                 10.25      4/8/2019    USD      0.00
Espirito Santo Financia    5.05    11/15/2025    EUR      0.10
Vnesheconombank           10.90      5/3/2019    RUB     85.00
Lehman Brothers Treasur    5.00     9/22/2014    EUR      8.63
Afren PLC                  6.63     12/9/2020    USD      0.08
A-TEC Industries AG        5.75     11/2/2010    EUR      2.00
Deutsche Bank AG/London    0.40     1/31/2033    USD     58.50
Olympic Ship AS            7.29     9/21/2017    NOK     20.75
Abengoa Greenfield SA      5.50     10/1/2019    EUR      3.93
Santander Finance Capit    2.00                  USD     45.38
AKB Peresvet ZAO          13.25     4/25/2018    RUB     40.42
Gazprom PJSC               6.40    10/21/2043    RUB     70.00
APP International Finan   11.75     10/1/2005    USD      0.56
UniCredit Bank Austria     0.18    12/31/2031    EUR     71.00
Russian Post FGUP          9.35     9/10/2026    RUB    100.00
KPNQwest NV                8.13      6/1/2009    USD      0.18
Rosneft Oil Co PJSC       14.90     12/3/2020    RUB     62.00
OAS Investments GmbH       8.25    10/19/2019    USD      3.15
Muehl Product & Service    6.75     3/10/2005    DEM      2.35
Far East Capital Ltd SA    8.00      5/2/2018    USD     57.24
Matalan Finance PLC        8.88      6/1/2020    GBP     72.88
Deutsche Bank AG/London    3.33     3/27/2035    USD     73.95
Agroton Public Ltd         6.00     7/14/2019    USD     14.13
Barclays Bank PLC          2.72     7/28/2034    USD     62.82
Lehman Brothers Treasur    2.88     3/14/2013    CHF      8.63
Waste Italia SpA          10.50    11/15/2019    EUR     25.38
Artea                      6.00      8/4/2019    EUR     14.32
Aldesa Financial Servic    7.25      4/1/2021    EUR     68.13
Lehman Brothers Treasur    5.00     2/16/2015    EUR      8.63
Podkarpacki Bank Spoldz    5.81      7/2/2020    PLN     57.00
Heliocentris Energy Sol    4.00     1/16/2019    EUR     45.66
Cattles Ltd                7.13      7/5/2017    GBP      0.20
Tonon Luxembourg SA       10.50     5/14/2024    USD     40.63
Barclays Bank PLC          0.07    12/28/2040    EUR     67.42
Barclays Bank PLC          1.14     3/21/2031    USD     68.90
AKB Peresvet ZAO          13.25     6/22/2017    RUB     45.00
Nuova Banca Popolare de    1.68     9/28/2017    EUR      0.81
Banco Espirito Santo SA    6.90     6/28/2024    EUR     26.38
Cooperatieve Rabobank U    0.50    10/29/2027    MXN     38.56
Russian Bank for Small    14.00     3/17/2022    RUB    100.52
Banca Popolare di Vicen    9.50     10/2/2025    EUR     37.63
Deutsche Bank AG           1.73     1/16/2045    EUR     72.82
Kaupthing ehf              6.13     10/4/2016    USD     17.63
Oi Brasil Holdings Coop    5.63     6/22/2021    EUR     36.14
UkrLandFarming PLC        10.88     3/26/2018    USD     30.00
Lehman Brothers Treasur    5.10      5/8/2017    HKD      9.63
Lloyds Bank PLC            2.73     7/26/2033    USD     69.00
Alpha Bank AE              2.50     6/20/2022    EUR     67.53
Credit Suisse AG/London    8.00    11/29/2019    USD      8.69
Abengoa Finance SA         8.88      2/5/2018    EUR      3.75
Republic of Italy Gover    0.18     7/31/2045    EUR     71.69
CHC Helicopter SA          9.25    10/15/2020    USD     63.63
Montepio Holding SGPS S    5.00                  EUR     50.10
Tonon Luxembourg SA        9.25     1/24/2020    USD     10.75
Aralco Finance SA         10.13      5/7/2020    USD      2.47
Transcapitalbank JSC      13.00      6/6/2018    RUB     70.00
Landesbank Hessen-Thuer    0.13     4/23/2041    EUR     65.43
UniCredit Bank Austria     0.16    10/31/2031    EUR     66.81
ADLER Real Estate AG       6.00    12/27/2018    EUR     13.25
Svensk Exportkredit AB     0.50     4/24/2029    AUD     59.52
AKB Peresvet ZAO          12.50      9/6/2017    RUB     35.06
Societe Generale SA        1.60      1/9/2020    GBP      1.08
Virgolino de Oliveira F   10.50     1/28/2018    USD      7.19
Dexia Kommunalbank Deut    5.63    12/31/2017    EUR     13.13
BLT Finance BV             7.50     5/15/2014    USD      1.92
Orient Express Bank PJS   13.60      8/9/2018    RUB     65.50
Tatfondbank PJSC          13.00      9/7/2021    RUB     27.60
Solon SE                   1.38     12/6/2012    EUR      0.33
Lehman Brothers Treasur    7.00     5/17/2035    EUR      8.63
German Pellets GmbH        8.00                  EUR      0.16
Immigon Portfolioabbau     3.51     4/12/2022    EUR
Municipality Finance PL    0.50     4/26/2022    ZAR     62.11
Banco Espirito Santo SA   10.00     12/6/2021    EUR      0.40
Hamburgische Landesbank    0.05     1/22/2041    EUR     61.91
Immigon Portfolioabbau     6.00     3/30/2017    EUR
Transcapitalbank JSC Vi   10.00     9/18/2020    USD     72.50
HSBC Bank PLC              0.50    10/30/2026    NZD     62.34
PA Resources AB            3.00    12/27/2017    NOK      0.11
UniCredit Bank AG          0.41    11/19/2029    EUR     61.63
Cooperatieve Rabobank U    0.50     1/31/2033    MXN     23.25
International Industria    9.00      7/6/2011    EUR      0.32
Activa Resources AG        8.00    11/15/2017    EUR     10.50
SAir Group                 0.13      7/7/2005    CHF     13.00
Kaupthing ehf              9.75     9/10/2015    USD     17.63
Tatfondbank PJSC          12.50    12/11/2024    RUB     28.60
Rusfinans Bank OOO        12.10     9/29/2020    RUB     60.46
Banco Comercial Portugu    5.00                  EUR     50.00
Finans-Avia OOO            8.25     7/31/2022    RUB     71.87
HPI AG                     3.50                  EUR      5.01
Ekotechnika AG             9.75     5/10/2018    EUR      9.50
Johnston Press Bond Plc    8.63      6/1/2019    GBP     62.88
AKB Peresvet ZAO          13.00     10/7/2017    RUB     41.00
Hypo Tirol Bank AG         0.12     7/23/2026    EUR     67.07
Bank Nederlandse Gemeen    0.50     7/12/2022    ZAR     61.30
HSBC Bank PLC              0.50     6/10/2021    BRL     66.91
Kaupthing ehf              9.00                  USD      0.13
Lloyds Bank PLC            2.30      7/5/2033    USD     71.00
syncreon Group BV / syn    8.63     11/1/2021    USD     73.63
Svensk Exportkredit AB     0.50     6/28/2022    ZAR     61.00
Anglian Water Services     0.87     1/26/2057    GBP     74.76
Veneto Banca SpA           6.94     5/15/2025    EUR      8.75
WPE International Coope   10.38     9/30/2020    USD     14.75
Marine Subsea AS           9.00    12/16/2019    USD      0.50
Gazprombank JSC           10.90     2/19/2021    RUB     60.06
AKB Peresvet ZAO          13.50     6/23/2021    RUB     29.35
Bank Nederlandse Gemeen    0.50      8/9/2022    MXN     64.24
FPK OAO                    9.95      6/4/2026    RUB     61.00
Rena GmbH                  7.00    12/15/2015    EUR      8.63
Abengoa SA                 6.25     1/17/2019    EUR      2.50
Cooperatieve Rabobank U    0.50    11/30/2027    MXN     38.40
Svensk Exportkredit AB     0.50     6/29/2029    AUD     59.21
Mechel PJSC                8.00      2/9/2021    RUB     60.06
Governo Portugues Conso    2.75                  EUR     65.10
LBI HF                     7.43                  USD      0.00
Petromena ASA             10.85    11/19/2014    USD      0.59
Banco Pastor SAU           2.08                  EUR     57.26
Barclays Bank PLC          2.62    12/23/2033    USD     68.53
City of Moscow Russia      7.50     5/18/2021    RUB     60.00
La Veggia Finance SPA      7.13    11/14/2004    EUR      0.15
Espirito Santo Financia    5.63     7/28/2017    EUR      0.42
Kaupthing ehf              7.50      2/1/2045    USD      0.00
Lehman Brothers Treasur    7.00    11/26/2013    EUR      8.63
Republic of Italy Gover    0.19     7/31/2045    EUR     69.81
UniCredit Bank Austria     0.02     1/25/2031    EUR     68.69
Mriya Agro Holding PLC     9.45     4/19/2018    USD      5.75
DEMIRE Real Estate AG      6.00    12/30/2018    EUR      3.55
Transneft PJSC             9.65     6/30/2023    RUB    100.03
Kommunalbanken AS          0.50     5/27/2022    ZAR     63.05
Northland Resources AB     4.00    10/15/2020    NOK      0.07
Region of Molise Italy     0.18    12/15/2033    EUR     66.28
Virgolino de Oliveira F   10.88     1/13/2020    USD     25.83
Agentstvo po Ipotechnom    8.05    11/15/2018    RUB     85.00
Sberbank of Russia PJSC   12.27      1/2/2026    RUB     85.00
SAir Group                 6.25     4/12/2005    CHF     12.63
Svensk Exportkredit AB     0.50     1/31/2022    ZAR     64.59
Far East Capital Ltd SA    8.75      5/2/2020    USD     57.10
Bilt Paper BV              9.64                  USD     48.75
Rosneft Oil Co PJSC       10.10     1/18/2021    RUB     60.00
WGF Westfaelische Grund    6.35      8/1/2017    EUR      3.63
Barclays Bank PLC          0.50     1/28/2033    MXN     20.02
BNP Paribas SA             0.50      5/6/2021    MXN     71.54
Abengoa SA                 5.13      3/5/2017    USD      3.04
Kommunalkredit Austria     0.87     2/24/2026    EUR     74.94
Lloyds Bank PLC            2.72     7/29/2033    USD     67.10
State Transport Leasing   14.30    12/10/2024    RUB     60.00
Russian Railways JSC       9.25     7/11/2028    RUB     98.25
Bank Nederlandse Gemeen    0.50     9/20/2022    MXN     63.62
SNCF Reseau                1.48     3/30/2065    EUR     73.26
RESO-Garantia Insurance   12.00     9/13/2022    RUB     60.08
Virgolino de Oliveira F   11.75      2/9/2022    USD      7.19
Stroika Finance Ltd Via    7.70     6/25/2019    RUB     12.00
Tatfondbank PJSC          13.50     3/21/2025    RUB     26.65
Lehman Brothers Treasur    6.00     3/14/2011    EUR      8.63
NIBC Bank NV              25.98      5/7/2029    EUR     70.47
Elli Investments Ltd      12.25     6/15/2020    GBP     45.00
Marfin Investment Group    6.30     7/29/2020    EUR      0.30
KTM Industries AG          5.00                  EUR     72.38
Immigon Portfolioabbau     1.26     7/29/2018    EUR
Kaupthing ehf              6.13     10/4/2016    USD     17.63
Svensk Exportkredit AB     0.50     8/29/2029    AUD     57.84
Lehman Brothers Treasur    3.03     1/31/2015    EUR      0.65
Lehman Brothers Treasur    6.00    10/30/2012    EUR      0.65
CHC Helicopter SA          9.25    10/15/2020    USD     63.63
Salvator Grundbesitz-AG    9.50                  EUR     19.60
Rusfinans Bank OOO        10.00     7/31/2026    RUB    100.55
Solarwatt GmbH             7.00     11/1/2015    EUR     14.50
Lehman Brothers Treasur    5.25     5/26/2026    EUR      0.65
LBI HF                     6.10     8/25/2011    USD      8.00
Metalloinvest Holding C    0.01     3/10/2022    RUB     70.00
Russian Post FGUP          9.45    10/18/2019    RUB     61.06
Mechel PJSC               12.75     7/15/2021    RUB     82.01
Lehman Brothers Treasur    8.25     12/3/2015    EUR      8.63
Lehman Brothers Treasur    5.00     3/18/2015    EUR      8.63
Vnesheconombank           11.50     8/20/2020    RUB     85.00
Gazprom PJSC               6.40    10/21/2043    RUB     70.00
Santander Finance Capit    2.00                  USD     44.38
Vnesheconombank            2.00     6/18/2021    RUB     73.06
Salvator Grundbesitz-AG    9.50    12/31/2021    EUR     10.15
Finans-Avia OOO            0.01     7/31/2027    RUB     19.90
BLT Finance BV             7.50     5/15/2014    USD      1.92
Lehman Brothers Treasur    4.00     12/2/2012    EUR      0.65
Mechel PJSC                8.00      2/9/2021    RUB     70.00
PagesJaunes Finance & C    8.88      6/1/2018    EUR     63.38
Lehman Brothers Treasur    4.00    10/24/2012    EUR      0.65
Lehman Brothers Treasur    4.50      5/2/2017    EUR      8.63
Lehman Brothers Treasur   11.00    12/20/2017    AUD      0.65
Barclays Bank PLC          2.24     8/15/2033    USD     62.08
Republic of Italy Gover    0.30     7/31/2035    EUR     71.85
HSBC Bank PLC              0.50     7/21/2021    BRL     66.26
Lehman Brothers Treasur    5.00     2/27/2014    EUR      8.63
Penell GmbH Elektrogros    7.75     6/10/2019    EUR      5.97
Barclays Bank PLC          3.49     3/27/2029    USD     66.63
Lehman Brothers Treasur    1.00      5/9/2012    EUR      0.65
Banco BPI SA               1.78                  EUR     58.02
Realwerte GmBh & Co KG     1.20                  EUR     43.16
Lehman Brothers Treasur    7.00      6/6/2017    EUR      0.65
Communaute Francaise de    0.50     6/27/2046    EUR     65.54
Mriya Agro Holding PLC    10.95     3/30/2016    USD      6.88
Lehman Brothers Treasur   14.90     9/15/2008    EUR      0.65
Lehman Brothers Treasur    6.00     3/18/2015    USD      8.63
Lehman Brothers Treasur    5.55     3/12/2015    EUR      0.65
UniCredit Bank AG          4.00     3/21/2017    EUR     67.40
Cie de Financement Fonc    0.98     8/11/2046    EUR     74.86
Windreich GmbH             6.75      3/1/2015    EUR     10.88
Heta Asset Resolution A    0.27    12/31/2023    EUR     39.25
Abengoa SA                 5.13      3/5/2017    USD      3.04
Abengoa Finance SA         7.00     4/15/2020    EUR      3.78
EFG International Finan    2.10     3/23/2018    EUR      6.06
Rosneft Oil Co PJSC       11.40     12/3/2020    RUB     62.00
Ideal Standard Internat   11.75      5/1/2018    EUR      4.43
Bank Nederlandse Gemeen    0.50     8/15/2022    ZAR     61.30
Pongs & Zahn AG            8.50                  EUR      0.30
Renaissance Credit Comm   11.15     7/30/2018    RUB     87.00
Agentstvo po Ipotechnom   11.50     9/25/2018    RUB     60.00
Rosneft Oil Co PJSC       12.90     12/3/2020    RUB     62.00
OT-Optima Telekom DD       5.25     5/30/2022    HRK     65.00
Promsvyazbank PJSC        11.00     4/19/2021    RUB     90.01
Rusfinans Bank OOO         9.95     8/22/2019    RUB     60.67
SG Option Europe SA        7.00      5/5/2017    EUR     63.82
Credit Suisse AG/Nassau    7.13     6/26/2017    CHF     70.16
Barclays Bank PLC          0.50     3/19/2021    MXN     68.07
UniCredit Bank AO         12.35     9/16/2020    RUB     62.62
Hamburgische Landesbank    0.05    10/30/2040    EUR     64.35
ING Bank Eurasia JSC      10.45     3/30/2021    RUB     85.00
City of Siret Romania      2.24      3/1/2028    RON     51.00
City of Kiev Ukraine Vi    8.00     11/6/2015    USD     70.00
EFG International Finan    8.99      9/4/2017    EUR      7.27
Rosselkhozbank JSC        12.87    12/21/2021    RUB     60.06
Lehman Brothers Treasur    5.00      5/2/2022    EUR      0.65
Metalloinvest Holding C    0.01      3/7/2022    RUB     60.02
MT-Energie GmbH & Co KG    8.25      4/4/2017    EUR      8.15
Lehman Brothers Treasur    1.46     2/19/2012    JPY      8.63
AKB Peresvet ZAO           9.80      9/2/2020    RUB     27.80
Lehman Brothers Treasur    4.00     4/13/2011    CHF      0.65
Kaupthing ehf              5.25     7/18/2017    BGN     17.63
HSBC Bank PLC              0.50    11/25/2025    BRL     43.75
Barclays Bank PLC          4.65    11/28/2029    USD     74.75
AKB Peresvet ZAO          12.75     7/24/2018    RUB     27.93
Bank Nederlandse Gemeen    0.50      6/7/2022    ZAR     62.14
Svensk Exportkredit AB     0.50     2/22/2022    ZAR     63.16
Frigoglass Finance BV      8.25     5/15/2018    EUR     62.25
Lloyds Bank PLC            3.34    10/25/2033    USD     71.50
EFG International Finan    6.00    11/30/2017    EUR      1.90
Bank Julius Baer & Co L    6.70      6/2/2017    USD     67.25
COFIDUR SA                 0.10    12/31/2024    EUR     19.01
AKB Peresvet ZAO          13.25     11/6/2020    RUB     27.01
UniCredit Bank Austria     0.06     1/24/2031    EUR     71.23
Tatfondbank PJSC          14.50      2/3/2026    RUB     27.02
Rosneft Oil Co PJSC        8.90      2/6/2024    RUB     60.00
URALSIB Leasing Co OOO    11.50    12/21/2017    RUB    100.00
Barclays Bank PLC          0.50     4/24/2023    MXN     53.53
Astana Finance BV          9.00    11/16/2011    USD     16.88
Barclays Bank PLC          2.57    12/27/2028    USD     74.63
Rinol AG                   5.50    10/15/2006    DEM      0.00
Lehman Brothers Treasur    6.00     9/20/2011    EUR      0.65
Rosneft Oil Co PJSC       11.40     12/3/2020    RUB     62.00
Vnesheconombank            9.65     7/10/2018    RUB     85.00
SG Issuer SA               0.78     6/15/2020    SEK     71.57
Araratbank OJSC            7.00     6/18/2019    USD     26.35
Rusfinans Bank OOO        10.10    11/24/2020    RUB     62.02
Fonciere Volta SA          4.50     7/30/2020    EUR      2.60
Kamaz PJSC                10.39     12/5/2030    RUB     73.53
Lehman Brothers Treasur    5.00     5/12/2011    CHF      0.65
Podkarpacki Bank Spoldz    4.99     10/6/2021    PLN     55.11
Phosphorus Holdco PLC     10.00      4/1/2019    GBP      1.11
ECM Real Estate Investm    5.00     10/9/2011    EUR     10.38
Miratorg-Finans OOO       11.00     8/24/2021    RUB     60.00
Lehman Brothers Treasur   13.50      6/2/2009    USD      0.65
City of Predeal Romania    1.50     5/15/2026    RON     60.00
ECA                        2.50      1/1/2018    EUR     12.44
MegaFon PJSC               9.90     5/29/2026    RUB     62.06
Vnesheconombank            9.75     8/16/2029    RUB     60.00
SAir Group                 5.50     7/23/2003    CHF     12.63
Landes-Hypothekenbank S    0.02     9/26/2043    EUR     77.23
Province of Brescia Ita    0.14     6/30/2036    EUR     60.35
Rossiysky Capital OJSC    10.50     1/20/2020    RUB     60.67
Banca delle Marche SpA     6.00      5/8/2018    EUR      1.00
Veneto Banca SpA           1.69     5/15/2019    EUR     39.25
Evrofinansy-Nedvizhimos   11.00    10/23/2020    RUB    100.00
Lehman Brothers Treasur    6.65     8/24/2011    AUD      9.63
Banco Espirito Santo SA    1.24     5/27/2018    EUR      0.40
Russian Post FGUP          2.75     12/6/2023    RUB     67.55
Agentstvo po Ipotechnom    8.90     11/1/2032    RUB    100.05
DekaBank Deutsche Giroz    0.01     6/29/2046    EUR     51.69
Lehman Brothers Treasur   10.00     6/11/2038    JPY      0.65
Notenstein Finance Guer    1.00     9/17/2019    CHF     64.91
Metalloinvest Holding C    0.01      3/7/2022    RUB    100.00
Province of Rovigo Ital    0.06    12/28/2035    EUR     61.08
Oberoesterreichische La    0.32     11/6/2030    EUR     71.75
Municipality Finance PL    0.50     7/30/2029    AUD     66.45
Credit Suisse AG/London    8.00     5/21/2025    USD      9.10
Bank Julius Baer & Co L    7.85     7/28/2017    USD     50.50
JP Morgan Structured Pr    4.05     8/29/2017    EUR     33.02
UBS AG/London              6.25     4/18/2017    CHF     47.30
Sidetur Finance BV        10.00     4/20/2016    USD      4.95
Bank Nederlandse Gemeen    0.50     6/22/2021    ZAR     67.65
UniCredit Bank Austria     0.15     1/22/2031    EUR     72.38
Biomed-Lublin Wytwornia    7.29     8/14/2018    PLN     72.00
Araratbank OJSC            7.25     6/27/2018    USD     26.03
Phones4u Finance PLC       9.50      4/1/2018    GBP     66.50
Raiffeisenbank AO         11.35     6/11/2018    RUB     86.00
Lehman Brothers Treasur    0.50      7/2/2020    EUR      0.65
Municipiul Timisoara       0.64     5/15/2026    RON     70.90
Araratbank OJSC            8.00     6/10/2018    USD     26.35
Agrokompleks OOO           0.10     12/8/2022    RUB      1.36
BNP Paribas SA             0.50    11/16/2032    MXN     28.91
Center-Invest Commercia   10.00     5/22/2019    RUB     60.01
Moscow United Electric    11.00     9/12/2024    RUB     62.00
Aegon NV                   5.19                  NLG     72.65
Royal Bank of Scotland     2.65     2/25/2031    USD     66.00
Municipiul Timisoara       0.64     5/15/2026    RON     77.50
EFG International Finan   12.86    10/30/2017    EUR      1.16
Raiffeisen Centrobank A    6.70     3/13/2017    EUR     64.65
Zapsibcombank PAO         14.85    12/12/2019    RUB     90.00
Russian Railways JSC      13.90     5/30/2040    RUB     60.00
SAir Group                 4.25      2/2/2007    CHF     13.00
Nuova Banca delle March    7.20     6/30/2018    EUR      1.24
Dresdner Bank AG           0.38    11/19/2029    EUR     64.88
BAWAG PSK Versicherungs    1.06                  EUR     44.89
Deutsche Bank AG/London    0.50     10/5/2021    IDR     63.42
Svensk Exportkredit AB     0.50     8/28/2020    TRY     65.16
Lehman Brothers Treasur    4.00     7/20/2012    EUR      0.65
Kaupthing ehf              7.63     2/28/2015    USD     17.63
Lehman Brothers Treasur    8.00     3/19/2012    USD      0.65
Svensk Exportkredit AB     0.50     3/28/2029    AUD     68.64
Lehman Brothers Treasur    1.28     11/6/2010    JPY      8.63
Espirito Santo Financia    5.05    11/15/2025    EUR      0.40
IDGC of the South PJSC    13.50      6/8/2020    RUB     60.00
Araratbank OJSC            7.00     12/2/2017    USD     25.78
World of Building Techn    7.70     6/25/2019    RUB      1.16
Podkarpacki Bank Spoldz    5.11     5/28/2023    PLN     53.01
Credit Suisse AG/London    0.50      1/8/2026    BRL     44.03
Kommunalbanken AS          0.50    12/16/2020    TRY     68.68
Deutsche ETP GmbH & Co     3.00    11/30/2028    EUR
Royal Bank of Scotland     2.65     8/26/2031    USD     62.92
Kreditanstalt fuer Wied    0.25     10/6/2036    CAD     40.74
HSBC Bank PLC              0.50    12/29/2026    AUD     61.53
Societe Generale SA        0.50     5/30/2023    MXN     57.68
Svensk Exportkredit AB     0.50     6/20/2029    AUD     67.48
Societe Generale SA        0.53     6/28/2033    USD     71.55
Northland Resources AB    15.00     7/15/2019    USD      0.44
Pierer Industrie AG        5.75                  EUR     57.13
Lehman Brothers Treasur    3.86     9/21/2011    SGD      9.63
Gold-Zack AG               7.00    12/14/2005    EUR     12.57
KPNQwest NV                8.88      2/1/2008    EUR      0.18
Bulgaria Steel Finance    12.00      5/4/2013    EUR      2.46
Lehman Brothers Treasur    6.30    12/21/2018    USD      0.65
Lehman Brothers Treasur   13.00     2/16/2009    CHF      0.65
Barclays Bank PLC          0.42      4/9/2028    USD     65.10
Lehman Brothers Treasur    2.00     6/28/2011    EUR      0.65
Lehman Brothers Treasur    7.50    10/24/2008    USD      0.65
Societe Generale SA       10.00     7/31/2018    USD     74.98
Nuova Banca delle March    7.75     6/30/2018    EUR      1.24
Leonteq Securities AG      7.00    10/19/2017    CHF     66.10
SAir Group                 2.75     7/30/2004    CHF     12.75
KPNQwest NV                7.13      6/1/2009    EUR      0.18
Credit Agricole Corpora    2.00      7/9/2020    BRL     75.05
Lehman Brothers Treasur    5.00     2/28/2032    EUR      0.65
EFG International Finan    7.20     7/29/2020    EUR     42.92
Windreich GmbH             6.25      3/1/2015    EUR     10.88
Svensk Exportkredit AB     0.50     3/15/2022    ZAR     62.84
Svensk Exportkredit AB     0.10    11/20/2019    TRY     70.43
OOO SPV Structural Inve    0.01      9/1/2023    RUB     65.75
Lehman Brothers Treasur    8.25      2/3/2016    EUR      0.65
Bank Spoldzielczy w Lim    5.00     5/13/2021    PLN     75.00
Russian Post FGUP          9.50    10/18/2019    RUB     98.89
Hellas Telecommunicatio    8.50    10/15/2013    EUR      0.43
HSBC Bank PLC              0.50     1/29/2027    NZD     61.28
BNP Paribas SA             0.50     7/20/2021    BRL     63.90
Oberoesterreichische La    0.30     4/25/2042    EUR     42.75
Nuova Banca Popolare de    3.50     6/28/2018    EUR      0.78
ENEL RUSSIA PJSC          12.10     5/22/2025    RUB     60.00
Ladya-Finans LLC          12.00    10/29/2021    RUB     60.00
Municipality Finance PL    0.50      5/8/2029    AUD     62.96
Vnesheconombank            8.35    11/24/2020    RUB     85.00
Polbrand sp zoo            9.00     10/2/2017    PLN     50.00
Lehman Brothers Treasur   12.00     7/13/2037    JPY      0.65
Lehman Brothers Treasur    4.60      7/6/2016    EUR      0.65
Noyabrskaya Pge OOO        8.50    11/10/2020    RUB     60.00
Rossiysky Capital OJSC    10.50     1/16/2020    RUB     60.12
Western High-Speed Diam    9.15      2/6/2032    RUB     85.00
Raiffeisen Versicherung    2.02                  EUR     26.82
Steiermaerkische Bank u    1.25                  EUR     51.02
HSBC Bank PLC              0.50     12/8/2020    BRL     70.81
Cooperatieve Rabobank U    0.50    12/29/2027    MXN     38.52
Barclays Bank PLC          0.50     3/26/2021    MXN     68.03
BANIF - Banco Internaci    4.50     1/30/2025    EUR     65.50
Cooperatieve Rabobank U    0.50     8/21/2028    MXN     36.24
Torgovyi Dom Spartak-Ka   14.00      5/2/2017    RUB     68.02
UBS AG/London              3.50     3/24/2017    EUR     73.17
Lehman Brothers Treasur    4.35      8/8/2016    SGD      9.63
Bank VTB 24 JSC            9.00     9/15/2044    RUB     60.00
Barclays Bank PLC          4.27     5/14/2029    USD     70.00
Delta Credit Bank JSC     10.29    11/24/2021    RUB     60.06
Credit Agricole Corpora    0.50      3/6/2023    RUB     60.98
Province of Milan Italy    0.03    12/22/2033    EUR     69.18
Rusfinans Bank OOO        11.00     10/2/2019    RUB     64.02
BNP Paribas SA             0.50     2/13/2024    NZD     72.60
Podkarpacki Bank Spoldz    5.79     3/31/2025    PLN     45.00
SAir Group                 2.13     11/4/2004    CHF     13.00
YamalStroiInvest          14.25     4/24/2021    RUB     65.70
Lehman Brothers Treasur    3.50     9/29/2017    EUR      0.65
Redvans                   12.50    12/17/2021    RUB     99.90
Credit Suisse AG/London   10.00     6/28/2017    USD     54.50
URALSIB Leasing Co OOO    11.50      2/6/2018    RUB      0.01
Stroytemp CJSC             9.00    11/13/2019    RUB     92.70
Banca delle Marche SpA     6.00     6/12/2018    EUR      1.00
Indre Sogn Sparebank       5.95                  NOK     47.23
Lehman Brothers Treasur    5.50     6/15/2009    CHF      0.65
RGS Nedvizhimost OOO      12.50      6/2/2017    RUB     98.26
Center-Invest Commercia    8.70    11/13/2018    RUB
Vegarshei Sparebank        5.08                  NOK     67.60
Lehman Brothers Treasur    5.00      8/1/2025    EUR      0.65
EDOB Abwicklungs AG        7.50      4/1/2012    EUR      0.25
Enemona AD-Kozloduy       10.00     4/28/2017    BGN      0.05
UniCredit Bank AG          4.25     3/27/2020    EUR     68.41
Lehman Brothers Treasur    7.38     9/20/2008    EUR      0.65
Nuova Banca Popolare de    5.00    10/30/2023    EUR      0.78
Transgazservice LLP       10.50     11/8/2019    RUB      1.00
Russian Railways JSC       6.80     5/20/2044    RUB     70.00
HSBC Bank PLC              0.50     4/27/2027    NZD     60.67
Municipality Finance PL    0.50     6/19/2024    ZAR     51.07
HSBC Bank PLC              0.50      6/9/2023    MXN     56.95
City of Alba Iulia Roma    1.50     4/15/2025    RON     68.50
Astana Finance BV          7.88      6/8/2010    EUR     16.88
Lehman Brothers Treasur    4.00     7/27/2011    EUR      0.65
Lehman Brothers Treasur    8.00     2/16/2016    EUR      0.65
Absolut Bank PAO          14.50    10/22/2021    RUB     92.68
Absolut Bank PAO           8.55     4/29/2020    RUB     92.83
Lehman Brothers Treasur    0.50      6/2/2020    EUR      0.65
Lehman Brothers Treasur   11.00      7/4/2011    CHF      0.65
Atari SA                   0.10      4/1/2020    EUR      3.90
UBS AG/London              6.02     8/15/2017    USD     50.05
LZMO SA                    8.50     6/30/2017    PLN     25.00
Lehman Brothers Treasur    8.50      7/6/2009    CHF      0.65
Lehman Brothers Treasur    7.00     4/14/2009    EUR      0.65
Bank Nederlandse Gemeen    0.50     9/20/2022    ZAR     60.70
Societe Generale SA        0.50      4/3/2023    RUB     60.76
Lehman Brothers Treasur    5.00     4/24/2017    EUR      0.65
Driver & Bengsch AG        8.50    12/31/2027    EUR      0.00
Lehman Brothers Treasur    8.28     3/26/2009    USD      0.65
SAir Group                 6.25    10/27/2002    CHF     12.58
Raiffeisen-Landesbank T    2.50      9/2/2024    EUR     68.68
Lehman Brothers Treasur    3.40     3/19/2018    JPY      0.65
Lehman Brothers Treasur    7.60     5/21/2013    USD      0.65
LBI HF                     8.65      5/1/2011    ISK      5.88
Lehman Brothers Treasur    4.05     9/16/2008    EUR      0.65
Bank Julius Baer & Co L   12.15     11/8/2017    CHF     69.25
Lehman Brothers Treasur    5.75     6/15/2009    CHF      0.65
Notenstein La Roche Pri    8.99     7/22/2019    EUR     38.81
UBS AG/London             14.50     5/26/2017    CHF     74.15
SAir Group                 5.13      3/1/2003    CHF     13.00
Deutsche Bank AG           5.20     3/21/2017    EUR     75.90
Province of Brescia Ita    0.11    12/22/2036    EUR     59.53
Lehman Brothers Treasur    4.00    11/24/2016    EUR      0.65
Kaupthing ehf              3.75     2/15/2024    ISK     17.63
URALSIB Leasing Co OOO    10.25     3/21/2019    RUB    100.00
Agrokompleks OOO           0.10     7/29/2019    RUB      4.22
Societe Generale SA        0.50      4/4/2024    MXN     52.88
Credit Suisse AG/London    3.00    11/15/2025    ZAR     62.40
Veneto Banca SpA           9.50     12/1/2025    EUR     38.69
Lehman Brothers Treasur    5.00    11/22/2012    EUR      0.65
Municipiul Timisoara       0.64     5/15/2026    RON     62.00
Lehman Brothers Treasur    4.70     3/23/2016    EUR      0.65
Lehman Brothers Treasur    2.00    11/16/2009    EUR      0.65
LBI HF                     5.08      3/1/2013    ISK      5.88
URALSIB Leasing Co OOO    10.50     4/17/2018    RUB      0.01
Credit Suisse AG/Nassau    7.00     3/22/2017    CHF     60.08
First Collection Bureau   15.00    10/15/2021    RUB     99.51
Lehman Brothers Treasur    9.00     6/13/2009    USD      0.65
Lehman Brothers Treasur    6.00    10/24/2008    EUR      0.65
Promnefteservis OOO       10.50    11/21/2019    RUB      1.12
Lehman Brothers Treasur    5.25    11/21/2009    USD      0.65
Western High-Speed Diam    9.15      2/6/2032    RUB     85.00
Drangedal Sparebank        2.36                  NOK     74.47
Municipality Finance PL    0.50    11/25/2020    ZAR     70.68
Lillestroem Sparebank      4.62                  NOK     51.51
Deutsche Bank AG/London    1.52      9/2/2036    JPY     65.15
Barclays Bank PLC          0.79     5/10/2028    USD     65.32
Lehman Brothers Treasur    4.69     2/19/2017    EUR      0.65
Nutritek International     8.75    12/11/2008    USD      2.00
Lehman Brothers Treasur    3.00     12/3/2012    EUR      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      0.65
UBS AG                     8.29     9/21/2017    USD     30.05
Lehman Brothers Treasur    4.20     12/3/2008    HKD      9.63
Blaker Sparebank           4.83                  NOK     45.22
Lehman Brothers Treasur   10.00    10/23/2008    USD      0.65
Petromena ASA              9.75     5/24/2016    NOK      0.59
DekaBank Deutsche Giroz    3.40      3/5/2018    EUR     71.37
Bank Julius Baer & Co L   11.85     8/30/2017    CHF     63.55
Leonteq Securities AG/G   29.61    10/26/2017    EUR     28.32
Podkarpacki Bank Spoldz    5.79     2/23/2025    PLN     50.00
Bank Julius Baer & Co L    7.10     3/29/2017    CHF     73.70
Bayerische Landesbank      2.60    10/19/2018    EUR     70.36
Leonteq Securities AG      3.00     10/2/2017    CHF     74.08
Societe Generale SA        1.00    12/22/2017    GBP      1.00
UBS AG/London             20.36      6/6/2017    USD      6.88
Cerruti Finance SA         6.50     7/26/2004    EUR      1.35
Lehman Brothers Treasur   13.50    11/28/2008    USD      0.65
Lehman Brothers Treasur    0.25    10/19/2012    CHF      0.65
Societe Generale SA        8.88      6/1/2017    USD     29.75
Fargo Finance OOO          9.00      2/6/2019    RUB     99.00
Credit Suisse AG/Nassau    5.00     2/20/2017    CHF     73.98
Barclays Bank PLC          0.50     3/13/2023    RUB     61.02
Lehman Brothers Treasur    8.00     5/22/2009    USD      0.65
Lehman Brothers Treasur    6.50     5/16/2015    EUR      0.65
Lehman Brothers Treasur    3.00      8/8/2017    EUR      0.65
Lehman Brothers Treasur    3.00     6/23/2009    EUR      8.63
Lehman Brothers Treasur    2.75    10/28/2009    EUR      0.65
Lehman Brothers Treasur    4.50      3/7/2015    EUR      0.65
Podkarpacki Bank Spoldz    5.80    10/24/2024    PLN     50.00
Redvans                   12.50    12/17/2021    RUB     99.90
DekaBank Deutsche Giroz    3.20     1/14/2019    EUR     63.31
DekaBank Deutsche Giroz    2.60     4/21/2017    EUR     62.45
UBS AG/London             11.00     2/24/2017    CHF     53.85
Credit Suisse AG/London    7.00    11/15/2019    USD      8.40
Lehman Brothers Treasur    4.50      3/6/2013    CHF      0.65
BNP Paribas Emissions-     4.00     7/27/2017    EUR     75.38
Natixis Structured Issu   11.70     12/8/2023    EUR     63.01
Nuova Banca delle March    8.00     6/30/2018    EUR      1.24
Royal Bank of Scotland     1.33    10/26/2018    GBP      1.06
Bank J Safra Sarasin AG    5.00     7/27/2017    CHF     82.67
Notenstein La Roche Pri    4.50    10/31/2018    CHF     69.92
SAir Group                 2.75     7/30/2004    CHF     12.63
Abengoa Finance SA         8.88      2/5/2018    EUR      3.75
Landes-Hypothekenbank S    0.10      3/7/2043    EUR     78.12
Hellenic Republic Gover    5.20     7/17/2034    EUR     65.13
BPCE SA                    0.71                  EUR     62.00
Western High-Speed Diam   10.44     5/13/2031    RUB     85.00
Brighthouse Group PLC      7.88     5/15/2018    GBP     65.75
Vontobel Financial Prod    4.00     11/9/2017    EUR     69.10
Lehman Brothers Treasur    1.50    10/25/2011    EUR      0.65
Lehman Brothers Treasur    7.59    11/22/2009    MXN      8.63
Kaupthing ehf              5.00      1/4/2027    SKK     17.63
Lehman Brothers Treasur    6.00     2/14/2012    EUR      0.65
Lehman Brothers Treasur    6.60     2/22/2012    EUR      0.65
Lehman Brothers Treasur    7.39      5/4/2017    USD      0.65
Lehman Brothers Treasur    2.50     8/23/2012    GBP      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      9.63
Lehman Brothers Treasur    5.38      2/4/2014    USD      0.65
Lehman Brothers Treasur    7.00     2/15/2010    CHF      0.65
City of Alba Iulia Roma    1.50     4/15/2025    RON     72.10
Lehman Brothers Treasur    4.00     3/10/2011    EUR      0.65
Lehman Brothers Treasur    4.60    10/11/2017    ILS      8.63
Lehman Brothers Treasur    2.50     11/9/2011    CHF      0.65
Lehman Brothers Treasur    6.00    10/30/2012    USD      0.65
UBS AG/London              5.75      6/6/2017    CHF     73.15
Zurcher Kantonalbank Fi    5.00     7/27/2017    CHF     71.53
Bank Julius Baer & Co L    4.75     2/13/2017    CHF     71.90
RGS Nedvizhimost OOO      12.25    10/19/2017    RUB     60.00
Municipality Finance PL    0.50    12/15/2020    BRL     71.21
Credit Suisse AG           0.50    12/16/2025    BRL     45.10
HSH Nordbank AG/Luxembo    2.10                  EUR     19.53
Intelsat Connect Financ   12.50      4/1/2022    USD     64.29
Polski Bank Spoldzielcz    4.81     6/18/2020    PLN     50.00
Lehman Brothers Treasur   16.00    10/28/2008    USD      0.65
City of Hunedoara Roman    1.43     8/15/2026    RON     78.00
Lehman Brothers Treasur    4.50    12/30/2010    USD      0.65
Lehman Brothers Treasur    7.50      8/1/2035    EUR      0.65
Lehman Brothers Treasur    4.25     3/13/2021    EUR      0.65
Lehman Brothers Treasur    3.70      6/6/2009    EUR      0.65
Lehman Brothers Treasur    5.22      3/1/2024    EUR      0.65
Lehman Brothers Treasur    5.00     12/6/2011    EUR      0.65
UBS AG/London              5.00     8/14/2017    CHF     56.45
EFG International Finan    5.00     8/15/2017    CHF     72.20
Credit Suisse AG/London    7.00     2/20/2017    CHF     71.35
Leonteq Securities AG      3.50     4/10/2018    EUR     62.81
Bayerische Landesbank      3.00      3/9/2018    EUR     63.12
DekaBank Deutsche Giroz    0.12     6/23/2034    EUR     70.25
Exane Finance SA           6.25    12/20/2019    SEK     70.35
Exane Finance SA           5.00    12/20/2019    SEK     64.40
Northland Resources AB    12.25     3/26/2016    USD      0.44
Polski Bank Spoldzielcz    4.81     6/22/2021    PLN     55.00
Societe Generale Effekt    8.81     6/23/2017    EUR     55.55
Societe Generale Effekt    9.62     6/23/2017    EUR     54.33
Societe Generale Effekt   11.68     6/23/2017    EUR     51.08
Credit Suisse AG/London    7.00     5/16/2017    CHF     72.46
Municipality Finance PL    0.50     5/31/2022    ZAR     61.39
Sparebanken Din            2.39                  NOK     72.81
HSBC Bank PLC              0.50     12/8/2026    AUD     67.91
HSBC Bank PLC              0.50     2/24/2027    NZD     61.30
Strommen Sparebank         2.36                  NOK     41.63
SpareBank 1 Nordvest       3.94     3/11/2099    NOK     72.34
Privatbank CJSC Via UK    10.25     1/23/2018    USD     27.76
Lloyds Bank PLC            0.50     7/26/2028    MXN     41.48
Deutsche Bank AG/London    1.20     8/22/2031    JPY     70.75
HSBC Bank PLC              5.05     5/15/2025    MXN     71.91
Lehman Brothers Treasur    1.75      2/7/2010    EUR      0.65
Lehman Brothers Treasur    7.50      5/2/2017    EUR      0.65
Lehman Brothers Treasur   10.00      8/2/2037    JPY      0.65
Lehman Brothers Treasur    7.50     6/15/2017    USD      0.65
Lehman Brothers Treasur    5.00     8/16/2017    EUR      8.63
SG Issuer SA               5.50     4/10/2021    EUR     68.86
Credit Suisse AG/London    4.00     5/22/2017    CHF     73.29
Landesbank Baden-Wuertt    3.00     8/25/2017    EUR     74.03
Societe Generale SA        0.50     5/22/2024    MXN     52.17
Lehman Brothers Treasur    6.45     2/20/2010    AUD      0.65
Lehman Brothers Treasur   15.00      6/4/2009    CHF      0.65
Lehman Brothers Treasur    0.50     2/16/2009    EUR      0.65
Bank Julius Baer & Co L    6.40     8/23/2017    CHF     78.50
Goldman Sachs & Co Wert   12.00     9/20/2017    EUR     70.01
Landesbank Baden-Wuertt    3.40     6/23/2017    EUR     53.61
Goldman Sachs & Co Wert   11.00    12/20/2017    EUR     73.93
Union Technologies Info    0.10      1/1/2020    EUR      5.30
BNP Paribas Emissions-    26.00    12/21/2017    EUR     65.11
Barclays Bank PLC          1.64      6/3/2041    USD     71.31
Societe Generale SA        0.50     4/30/2023    RUB     60.17
Lehman Brothers Treasur   15.00     3/30/2011    EUR      0.65
Credit Suisse AG/Nassau    6.38     6/12/2017    EUR     67.37
Rem Offshore ASA           5.00     12/8/2024    NOK     25.00
Lehman Brothers Treasur    8.60     7/31/2013    GBP      0.65
Lehman Brothers Treasur    8.28     7/31/2013    GBP      0.65
Lehman Brothers Treasur    7.50     7/31/2013    GBP      0.65
Lehman Brothers Treasur    7.32     7/31/2013    GBP      0.65
Commerzbank AG            12.00     5/24/2017    EUR     73.91
Lehman Brothers Treasur    9.25     6/20/2012    USD      0.65
Lehman Brothers Treasur    3.00     9/13/2010    JPY      8.63
Lehman Brothers Treasur    7.50     2/14/2010    AUD      0.65
Lehman Brothers Treasur    7.60     1/31/2013    AUD      0.65
Lehman Brothers Treasur    5.50     6/22/2010    USD      8.63
Lehman Brothers Treasur   10.00    10/22/2008    USD      0.65
Lehman Brothers Treasur    6.60     5/23/2012    AUD      0.65
Lehman Brothers Treasur    3.45     5/23/2013    USD      0.65
Lehman Brothers Treasur    5.50     4/23/2014    EUR      0.65
Lehman Brothers Treasur    5.00     2/15/2018    EUR      0.65
Lehman Brothers Treasur    9.00      5/6/2011    CHF      0.65
Lehman Brothers Treasur   16.20     5/14/2009    USD      0.65
Lehman Brothers Treasur   10.60     4/22/2014    MXN      0.65
Lehman Brothers Treasur   16.00     11/9/2008    USD      0.65
Lehman Brothers Treasur    9.75     6/22/2018    USD      0.65
Lehman Brothers Treasur   10.00     5/22/2009    USD      0.65
Lehman Brothers Treasur    4.60      8/1/2013    EUR      0.65
Lehman Brothers Treasur   10.44    11/22/2008    CHF      0.65
Lehman Brothers Treasur    7.60      3/4/2010    NZD      0.65
Nuova Banca Popolare de    2.19     5/21/2018    EUR      0.81
Lehman Brothers Treasur   17.00      6/2/2009    USD      0.65
Lehman Brothers Treasur   23.30     9/16/2008    USD      0.65
Lehman Brothers Treasur    3.00      6/3/2010    EUR      0.65
Lehman Brothers Treasur   12.40     6/12/2009    USD      0.65
Lehman Brothers Treasur   10.00     6/17/2009    USD      0.65
Lehman Brothers Treasur   11.00      7/4/2011    USD      0.65
Lehman Brothers Treasur   12.00      7/4/2011    EUR      0.65
Lehman Brothers Treasur    5.50      7/8/2013    EUR      0.65
Lehman Brothers Treasur   16.00    12/26/2008    USD      0.65
Lehman Brothers Treasur   13.43      1/8/2009    ILS      0.65
Lehman Brothers Treasur    7.75      1/3/2012    AUD      0.65
Lehman Brothers Treasur    3.10      6/4/2010    USD      0.65
Lehman Brothers Treasur    2.50     8/15/2012    CHF      0.65
Lehman Brothers Treasur   13.15    10/30/2008    USD      0.65
Lehman Brothers Treasur    0.50      8/1/2020    EUR      0.65
Lehman Brothers Treasur    6.00      8/7/2013    EUR      0.65
Lehman Brothers Treasur    6.25      9/5/2011    EUR      0.65
Lehman Brothers Treasur   16.80     8/21/2009    USD      0.65
Lehman Brothers Treasur   14.10    11/12/2008    USD      0.65
Lehman Brothers Treasur    5.25      7/8/2014    EUR      0.65
Lehman Brothers Treasur    4.00     8/11/2010    USD      8.63
Lehman Brothers Treasur    2.30      6/6/2013    USD      0.65
Lehman Brothers Treasur    7.50     5/30/2010    AUD      0.65
Lehman Brothers Treasur   11.00      5/9/2020    USD      0.65
Lehman Brothers Treasur    4.30      6/4/2012    USD      0.65
Lehman Brothers Treasur    4.00      6/5/2011    USD      0.65
Lehman Brothers Treasur    6.70     4/21/2011    USD      0.65
Lehman Brothers Treasur    3.00     9/12/2036    JPY      8.63
Lehman Brothers Treasur    4.68    12/12/2045    EUR      0.65
Lehman Brothers Treasur   13.00    12/14/2012    USD      0.65
Lehman Brothers Treasur    4.82    12/18/2036    EUR      0.65
Lehman Brothers Treasur    5.25      4/1/2023    EUR      0.65
Lehman Brothers Treasur    7.25     6/20/2010    USD      0.65
Lehman Brothers Treasur    7.00     9/20/2011    USD      0.65
Oravita City Council       1.97     6/15/2027    RON     70.90
Lehman Brothers Treasur    4.10     8/23/2010    USD      0.65
Lehman Brothers Treasur    5.12     4/30/2027    EUR      0.65
Lehman Brothers Treasur    7.75     2/21/2016    EUR      0.65
Lehman Brothers Treasur    8.00    12/27/2032    JPY      0.65
Lehman Brothers Treasur    1.50      2/8/2012    CHF      0.65
Lehman Brothers Treasur    0.01     9/20/2011    USD      0.65
Lehman Brothers Treasur    7.00     7/11/2010    EUR      0.65
Lehman Brothers Treasur    6.00     7/28/2010    EUR      0.65
Lehman Brothers Treasur    6.00     7/28/2010    EUR      0.65
Lehman Brothers Treasur    4.90     7/28/2020    EUR      0.65
Lehman Brothers Treasur    4.15     8/25/2020    EUR      0.65
Lehman Brothers Treasur    6.00     12/6/2016    USD      0.65
Lehman Brothers Treasur    5.00      9/1/2011    EUR      0.65
Lehman Brothers Treasur    3.00     8/15/2017    EUR      0.65
Lehman Brothers Treasur    3.50     9/19/2017    EUR      0.65
Lehman Brothers Treasur   10.00      1/4/2010    USD      0.65
Lehman Brothers Treasur    6.00     3/17/2011    EUR      0.65
Lehman Brothers Treasur    4.70     3/23/2016    EUR      0.65
Lehman Brothers Treasur    8.00     4/20/2009    EUR      0.65
Lehman Brothers Treasur    2.30     4/28/2014    JPY      0.65
Lehman Brothers Treasur    4.00     2/28/2010    EUR      0.65
Lehman Brothers Treasur    4.10     5/20/2009    USD      0.65
Lehman Brothers Treasur    2.00     5/17/2010    EUR      0.65
Lehman Brothers Treasur    3.82    10/20/2009    USD      0.65
Lehman Brothers Treasur    3.63      3/2/2012    EUR      0.65
Lehman Brothers Treasur    0.75     3/29/2012    EUR      0.65
Lehman Brothers Treasur    8.88     1/28/2011    HKD      9.63
Kaupthing ehf              7.00     7/24/2009    ISK     17.63
Lehman Brothers Treasur    4.05     9/16/2008    EUR      0.65
Lehman Brothers Treasur    5.00     3/13/2009    EUR      0.65
Kaupthing ehf              6.50     10/8/2010    ISK     17.63
Kaupthing ehf              7.50     12/5/2014    ISK     17.63
Lehman Brothers Treasur    2.30     6/27/2013    USD      0.65
Lehman Brothers Treasur    2.37     7/15/2013    USD      0.65
Lehman Brothers Treasur    4.87     10/8/2013    USD      0.65
Lehman Brothers Treasur    1.95     11/4/2013    EUR      0.65
Leonteq Securities AG     20.00    10/25/2017    CHF     72.12
Bank Julius Baer & Co L   10.90     7/26/2017    CHF     70.60
Commerzbank AG             4.00     7/19/2017    EUR     65.23
UBS AG/London             14.50     7/20/2017    USD     65.95
Goldman Sachs & Co Wert   24.00     4/26/2017    EUR     72.91
Goldman Sachs & Co Wert   24.00     6/21/2017    EUR     72.34
Goldman Sachs & Co Wert   22.00     7/26/2017    EUR     73.76
Goldman Sachs & Co Wert   21.00     8/23/2017    EUR     74.89
Credit Suisse AG/Nassau    7.25     6/14/2017    CHF     68.33
Vontobel Financial Prod   16.60     3/10/2017    EUR     70.87
Vontobel Financial Prod   14.90      6/9/2017    EUR     71.67
DekaBank Deutsche Giroz    3.40      4/9/2018    EUR     66.77
Landesbank Baden-Wuertt    3.60     6/23/2017    EUR     72.32
DekaBank Deutsche Giroz    3.15     5/18/2018    EUR     49.04
DekaBank Deutsche Giroz    3.65     5/18/2018    EUR     74.21
Notenstein La Roche Pri    6.50      7/2/2018    USD     61.06
UBS AG                     9.00      7/3/2017    CHF     75.47
Goldman Sachs & Co Wert   16.00     6/21/2017    EUR     73.59
HSBC Trinkaus & Burkhar   16.10     3/24/2017    EUR     49.47
HSBC Trinkaus & Burkhar    8.20     3/24/2017    EUR     65.76
DZ Bank AG Deutsche Zen    7.00     3/24/2017    EUR     60.78
DZ Bank AG Deutsche Zen    7.50     3/24/2017    EUR     65.34
UBS AG                     9.50    12/22/2017    EUR     56.25
UBS AG                     7.00    12/22/2017    EUR     73.39
UBS AG                     5.25    12/22/2017    EUR     69.71
UBS AG                     8.25    12/22/2017    EUR     65.68
UBS AG                    11.75    12/22/2017    EUR     51.74
UBS AG                     7.75    12/22/2017    EUR     72.42
UBS AG                     7.00    12/22/2017    EUR     64.01
UBS AG                    10.25    12/22/2017    EUR     61.80
UBS AG                    10.25    12/22/2017    EUR     50.43
UBS AG                     5.00    12/22/2017    EUR     73.61
UBS AG                     8.50    12/22/2017    EUR     54.67
UBS AG                    11.75    12/22/2017    EUR     46.57
UBS AG                     8.00    12/22/2017    EUR     61.15
UBS AG                     8.75    12/22/2017    EUR     58.51
UBS AG                     5.50    12/22/2017    EUR     71.80
UBS AG                    10.25    12/22/2017    EUR     54.31
UBS AG                    11.75    12/22/2017    EUR     51.20
UBS AG                     7.50    12/22/2017    EUR     58.66
UBS AG                    13.00    12/22/2017    EUR     73.89
UBS AG                     6.75    12/22/2017    EUR     62.31
UBS AG                     9.50    12/22/2017    EUR     59.82
UBS AG                     5.75    12/22/2017    EUR     66.42
UBS AG                     7.75    12/22/2017    EUR     47.36
UBS AG                     8.25    12/22/2017    EUR     56.78
UBS AG                    10.50    12/22/2017    EUR     55.13
UBS AG                     4.75    12/22/2017    EUR     59.45
UBS AG                     5.00    12/22/2017    EUR     71.27
UBS AG                     6.25    12/22/2017    EUR     61.71
UBS AG                     8.25    12/22/2017    EUR     41.95
UBS AG                     4.50    12/22/2017    EUR     74.00
UBS AG                    10.50    12/22/2017    EUR     49.99
UBS AG                     9.50    12/22/2017    EUR     55.36
UBS AG                     6.50    12/22/2017    EUR     72.67
UBS AG                     6.50    12/22/2017    EUR     61.91
Leonteq Securities AG/G    5.75     3/17/2017    CHF     66.46
UniCredit Bank AG          4.30    10/17/2018    EUR     76.16
Landesbank Baden-Wuertt    3.30     6/22/2018    EUR     73.88
UniCredit Bank AG          4.30    12/22/2017    EUR     76.13
DekaBank Deutsche Giroz    3.30     2/26/2018    EUR     62.46
DekaBank Deutsche Giroz    3.10     2/26/2018    EUR     72.66
UniCredit Bank AG          4.30    10/29/2018    EUR     68.28
DekaBank Deutsche Giroz    3.45      6/1/2018    EUR     62.91
UBS AG                     4.50    12/22/2017    EUR     65.12
UBS AG                     5.00    12/22/2017    EUR     73.38
UBS AG                     4.75    12/22/2017    EUR     58.99
Credit Suisse AG/Nassau    5.25     5/14/2018    CHF     67.77
UniCredit Bank AG          4.10     9/28/2018    EUR     65.37
Commerzbank AG            13.75     2/23/2017    EUR     74.12
Commerzbank AG            17.25     2/23/2017    EUR     71.72
Zurcher Kantonalbank Fi    6.00     5/17/2017    CHF     71.17
DZ Bank AG Deutsche Zen    8.00     9/22/2017    EUR     74.25
UBS AG/London              6.50     1/25/2018    CHF     68.38
Redvans                   12.50    12/17/2021    RUB     99.95
Zurcher Kantonalbank Fi    7.75     3/17/2017    CHF     66.94
Leonteq Securities AG     11.00     3/14/2017    CHF     75.42
Bank Julius Baer & Co L    7.60      3/8/2017    CHF     67.75
UBS AG/London             10.00     3/16/2017    CHF     20.40
Landesbank Baden-Wuertt    3.85     8/25/2017    EUR     73.33
Barclays Bank PLC          2.50      3/7/2017    EUR     54.77
Commerzbank AG            20.00     5/28/2018    SEK     61.96
Societe Generale Effekt    4.00     6/26/2017    EUR     49.92
UniCredit Bank AG          4.00     6/26/2018    EUR     71.40
UniCredit Bank AG          4.60     6/30/2017    EUR     62.83
UBS AG/London              7.00    12/22/2017    EUR     72.64
UBS AG/London              4.00    12/22/2017    EUR     67.90
UBS AG/London              9.50    12/22/2017    EUR     68.82
UBS AG/London              9.00    12/22/2017    EUR     66.68
UBS AG/London              5.00    12/22/2017    EUR     64.24
UBS AG/London              6.25    12/22/2017    EUR     76.33
UBS AG/London              7.75    12/22/2017    EUR     42.61
UBS AG/London             14.50    12/22/2017    EUR     74.40
UniCredit Bank AG          4.25     9/12/2017    EUR     61.47
Notenstein La Roche Pri    5.00     8/29/2018    CHF     70.31
Leonteq Securities AG/G    4.40     8/28/2017    CHF     67.67
Notenstein La Roche Pri    5.04     8/28/2017    CHF     75.42
Notenstein La Roche Pri    5.00      9/5/2018    CHF     73.09
Leonteq Securities AG/G    5.99     9/11/2017    EUR     46.72
DZ Bank AG Deutsche Zen    5.60     3/30/2017    EUR     38.57
Bank Julius Baer & Co L    5.20     9/25/2017    EUR     74.30
UniCredit Bank AG          4.00    10/14/2019    EUR     54.22
Deutsche Bank AG           5.20     6/20/2017    EUR     76.70
Goldman Sachs & Co Wert   18.00     3/22/2017    EUR     72.01
Deutsche Bank AG           5.20     7/26/2017    EUR     74.00
Zurcher Kantonalbank Fi    4.75    12/11/2017    CHF     62.17
Goldman Sachs & Co Wert   23.00     5/24/2017    EUR     73.59
Barclays Bank PLC          7.50     4/17/2017    USD
Landesbank Baden-Wuertt    3.25     1/26/2018    EUR     71.54
Landesbank Hessen-Thuer    4.00     1/16/2018    EUR     68.91
EFG International Finan    6.48     5/29/2018    EUR      9.26
Leonteq Securities AG/G    5.00    12/27/2019    EUR     70.30
Landesbank Baden-Wuertt    3.00     2/23/2018    EUR     71.35
Landesbank Baden-Wuertt    3.55     6/23/2017    EUR     70.73
Landesbank Baden-Wuertt    3.15     6/22/2018    EUR     72.39
Erste Group Bank AG        9.25     6/29/2017    EUR     56.75
Credit Suisse AG/London    8.95      6/6/2017    USD     66.61
Vontobel Financial Prod    3.00     6/13/2017    EUR     59.75
Kerdos Group SA            8.00    12/15/2017    PLN
Uginvestgerion OOO        12.10      4/1/2020    RUB    100.00
URALSIB Leasing Co OOO    10.50     4/17/2018    RUB      0.01
Syntagma OOO              16.50     5/10/2022    RUB      0.01
Lehman Brothers Treasur    6.00     6/21/2011    EUR      0.65
Lehman Brothers Treasur    2.00     6/21/2011    EUR      0.65
Bank Julius Baer & Co L    5.00     8/21/2017    CHF     73.45
Notenstein La Roche Pri    6.40     8/14/2017    CHF     75.57
Zurcher Kantonalbank Fi    8.00      3/3/2017    CHF     62.20
Notenstein La Roche Pri    5.30     8/21/2017    CHF     75.61
UBS AG/London              5.00     8/13/2018    CHF     74.95
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     63.11
Leonteq Securities AG      6.77     8/17/2017    CHF     58.41
Deutsche Bank AG           7.20     3/21/2017    EUR     75.10
Deutsche Bank AG           5.20     3/21/2017    EUR     74.90
Deutsche Bank AG           5.20     3/21/2017    EUR     73.10
Deutsche Bank AG           7.20     3/21/2017    EUR     73.30
Deutsche Bank AG           5.20     3/21/2017    EUR     70.40
Deutsche Bank AG           7.20     3/21/2017    EUR     70.70
Deutsche Bank AG           7.20     3/21/2017    EUR     68.20
Deutsche Bank AG           5.20     3/21/2017    EUR     67.90
Deutsche Bank AG           7.20     3/21/2017    EUR     65.90
Deutsche Bank AG           5.20     3/21/2017    EUR     65.60
Deutsche Bank AG           5.20     3/21/2017    EUR     63.40
Deutsche Bank AG           7.20     3/21/2017    EUR     63.70
Deutsche Bank AG           5.20     3/21/2017    EUR     69.70
Deutsche Bank AG           5.20     3/21/2017    EUR     72.30
Deutsche Bank AG           7.20     3/21/2017    EUR     72.50
Deutsche Bank AG           7.20     3/21/2017    EUR     68.60
Deutsche Bank AG           5.20     3/21/2017    EUR     68.30
Deutsche Bank AG           5.20     3/21/2017    EUR     64.70
Deutsche Bank AG           7.20     3/21/2017    EUR     65.00
Notenstein La Roche Pri    5.02     2/20/2017    CHF     73.40
Leonteq Securities AG      5.40     8/28/2017    CHF     60.77
Leonteq Securities AG      5.80     8/24/2017    CHF     73.63
Credit Suisse AG/Nassau    7.90     2/27/2017    CHF     72.51
Leonteq Securities AG      5.00      9/4/2018    CHF     60.89
Leonteq Securities AG      5.60      9/4/2017    CHF     62.16
Banque Cantonale Vaudoi    5.36     8/25/2017    CHF     74.26
UniCredit Bank AG          3.95     10/7/2019    EUR     62.09
Goldman Sachs & Co Wert   15.00     3/22/2017    EUR     69.54
Goldman Sachs & Co Wert   14.00     6/21/2017    EUR     72.12
Banque Cantonale Vaudoi    3.90      2/5/2018    CHF      0.80
DZ Bank AG Deutsche Zen    8.50     2/24/2017    EUR     75.70
HSBC Trinkaus & Burkhar   13.30     3/24/2017    EUR     72.05
HSBC Trinkaus & Burkhar   11.80     3/24/2017    EUR     71.27
Bank Julius Baer & Co L   10.25     5/17/2017    CHF     55.90
Goldman Sachs & Co Wert   16.00     3/22/2017    EUR     60.63
Deutsche Bank AG           3.20    11/22/2017    EUR     73.40
DekaBank Deutsche Giroz    3.10      8/4/2017    EUR     61.78
HSBC Trinkaus & Burkhar   10.50     3/24/2017    EUR     71.01
HSBC Trinkaus & Burkhar    9.40     3/24/2017    EUR     73.51
HSBC Trinkaus & Burkhar   14.60     3/24/2017    EUR     52.70
HSBC Trinkaus & Burkhar    7.30     3/24/2017    EUR     72.00
DekaBank Deutsche Giroz    2.75     6/24/2019    EUR     74.64
UBS AG/London              6.50     3/23/2017    CHF     74.95
Credit Suisse AG/Nassau    7.25      3/8/2017    CHF     61.90
Leonteq Securities AG      5.60     9/11/2017    CHF     61.49
HSBC Trinkaus & Burkhar    7.50     3/24/2017    EUR     76.20
Landesbank Baden-Wuertt    5.50     2/24/2017    EUR     74.62
UBS AG/London              9.50      9/4/2017    CHF     20.50
DekaBank Deutsche Giroz    2.75     6/28/2019    EUR     69.56
Goldman Sachs & Co Wert    9.00     9/20/2017    EUR     76.72
Goldman Sachs & Co Wert   16.00     3/22/2017    EUR     69.98
Goldman Sachs & Co Wert   15.00     6/21/2017    EUR     73.50
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     73.44
Goldman Sachs & Co Wert   15.00     3/22/2017    EUR     64.42
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     75.79
Goldman Sachs & Co Wert   14.00     6/21/2017    EUR     67.89
Goldman Sachs & Co Wert   10.00     9/20/2017    EUR     75.27
Goldman Sachs & Co Wert   12.00     9/20/2017    EUR     72.07
Goldman Sachs & Co Wert   17.00     3/22/2017    EUR     69.11
Goldman Sachs & Co Wert   14.00     9/20/2017    EUR     74.20
BNP Paribas Emissions-     3.00    10/12/2018    EUR     75.27
Bank Julius Baer & Co L    7.45     3/28/2017    CHF     54.00
DZ Bank AG Deutsche Zen   15.75     2/24/2017    EUR     60.96
Zurcher Kantonalbank Fi    7.50    11/27/2017    CHF     77.29
Goldman Sachs & Co Wert   22.00     2/22/2017    EUR     72.92
Bank Julius Baer & Co L    9.40      2/9/2017    CHF     29.05
Societe Generale Effekt   12.00     3/24/2017    EUR     73.47
Societe Generale Effekt   14.99     3/24/2017    EUR     68.48
Societe Generale Effekt   15.64     6/23/2017    EUR     71.54
Societe Generale SA        7.00    10/20/2020    USD     10.70
Vontobel Financial Prod    8.50     3/24/2017    EUR     73.40
Commerzbank AG             5.00     6/21/2017    EUR     75.57
HSBC Trinkaus & Burkhar    7.70     3/24/2017    EUR     74.72
Goldman Sachs & Co Wert   21.00     6/21/2017    EUR     73.67
Zurcher Kantonalbank Fi   13.04     4/13/2017    CHF     53.83
DekaBank Deutsche Giroz    3.05     2/25/2019    EUR     75.14
Vontobel Financial Prod    5.35      3/3/2017    EUR     64.82
Vontobel Financial Prod    5.40      3/3/2017    EUR     73.46
Landesbank Hessen-Thuer    4.00      4/8/2019    EUR     70.65
Leonteq Securities AG      5.25     3/19/2018    CHF     74.43
Notenstein La Roche Pri    6.50     3/13/2017    EUR     52.51
Notenstein La Roche Pri    5.80     3/13/2017    CHF     73.89
Leonteq Securities AG      7.00     3/13/2017    CHF     75.02
UniCredit Bank AG          4.60      7/2/2018    EUR     67.96
Leonteq Securities AG      2.75     3/20/2018    CHF     74.71
Raiffeisen Centrobank A    6.88     3/30/2017    EUR     63.46
Notenstein La Roche Pri    5.20     3/20/2017    CHF     75.15
Notenstein La Roche Pri    5.00     3/20/2017    CHF     73.19
Leonteq Securities AG      7.00     9/20/2017    CHF     67.53
Commerzbank AG             5.80     10/8/2017    EUR     72.03
DZ Bank AG Deutsche Zen    5.60      9/8/2017    EUR     73.41
Credit Suisse AG/Nassau    5.00     3/27/2017    CHF     71.41
DekaBank Deutsche Giroz    3.75     3/10/2017    EUR     50.08
UBS AG/London              5.00     3/20/2017    CHF     73.10
Notenstein La Roche Pri    4.50     3/27/2018    EUR     62.60
Notenstein La Roche Pri    5.50     3/27/2017    CHF     73.46
Landesbank Hessen-Thuer    5.00     4/24/2019    EUR     65.91
Bank Julius Baer & Co L    4.90      4/3/2017    CHF     73.95
UBS AG/London              5.50     3/27/2017    CHF     72.25
Vontobel Financial Prod    3.50      4/6/2017    EUR     71.36
DekaBank Deutsche Giroz    3.25     5/18/2018    EUR     74.24
Notenstein La Roche Pri    4.20     4/10/2018    EUR     64.79
Notenstein Finance Guer    9.00      4/1/2019    EUR     30.81
Notenstein Finance Guer    2.95      4/7/2017    CHF     74.71
Bayerische Landesbank      2.70      7/6/2018    EUR     72.82
Bayerische Landesbank      2.70      7/6/2018    EUR     72.86
Notenstein La Roche Pri    5.70     4/20/2017    CHF     72.32
Notenstein La Roche Pri    4.80     4/20/2017    CHF     70.52
Zurcher Kantonalbank Fi    6.50     4/10/2018    CHF     67.33
Credit Suisse AG/Nassau    4.25     4/24/2017    CHF     72.03
Notenstein La Roche Pri    5.80     4/27/2017    CHF     75.34
Leonteq Securities AG      7.20     4/24/2017    EUR     63.05
Notenstein La Roche Pri    5.00     1/14/2019    CHF     74.46
DekaBank Deutsche Giroz    3.00    12/17/2018    EUR     50.04
Vontobel Financial Prod    5.00     2/13/2017    EUR     67.28
UniCredit Bank AG          3.75      9/7/2020    EUR     74.86
Vontobel Financial Prod    6.20      2/4/2019    EUR     73.98
Leonteq Securities AG      6.00     2/20/2017    CHF     51.72
Commerzbank AG             5.24     2/16/2017    EUR     69.22
Leonteq Securities AG      7.20      3/6/2017    CHF     66.18
Leonteq Securities AG      6.40      3/6/2017    CHF     74.78
Leonteq Securities AG      7.80     2/27/2017    EUR     65.96
Notenstein La Roche Pri    5.00     2/27/2019    CHF     72.53
Notenstein La Roche Pri    5.70     2/27/2019    CHF     70.89
DekaBank Deutsche Giroz    2.40     2/17/2017    EUR     67.84
UniCredit Bank AG          5.00     6/25/2019    EUR     68.13
Bayerische Landesbank      2.60     3/29/2018    EUR     76.29
EFG International Finan    7.20     2/25/2019    EUR     22.61
Notenstein La Roche Pri    5.00      3/6/2017    CHF     75.30
UniCredit Bank AG          3.75     10/2/2020    EUR     72.42
Landesbank Baden-Wuertt    3.00     8/24/2018    EUR     64.92
Landesbank Baden-Wuertt    3.40     6/22/2018    EUR     56.85
Landesbank Baden-Wuertt    2.70     7/27/2018    EUR     72.96
Landesbank Baden-Wuertt    3.40     8/24/2018    EUR     69.49
Landesbank Baden-Wuertt    4.20     6/23/2017    EUR     64.18
Landesbank Baden-Wuertt    5.00    10/27/2017    EUR     73.72
Landesbank Baden-Wuertt    5.00    10/27/2017    EUR     68.89
Landesbank Baden-Wuertt    4.00    10/27/2017    EUR     73.09
Landesbank Baden-Wuertt    2.50     2/24/2017    EUR     57.45
Landesbank Baden-Wuertt    2.50     2/24/2017    EUR     70.17
Landesbank Baden-Wuertt    3.50     2/24/2017    EUR     54.67
Landesbank Baden-Wuertt    3.50     2/24/2017    EUR     71.45
Landesbank Baden-Wuertt    3.50     2/24/2017    EUR     64.88
Landesbank Baden-Wuertt    4.50     2/24/2017    EUR     67.41
Landesbank Baden-Wuertt    4.50     2/24/2017    EUR     60.54
Landesbank Baden-Wuertt    5.50     2/24/2017    EUR     63.85
Landesbank Baden-Wuertt    5.50     2/24/2017    EUR     56.83
Landesbank Baden-Wuertt    5.50     2/24/2017    EUR     72.45
Landesbank Baden-Wuertt    5.00     2/24/2017    EUR     71.89
Landesbank Baden-Wuertt    4.60     6/23/2017    EUR     72.35
Landesbank Baden-Wuertt    3.25     7/28/2017    EUR     74.52
Landesbank Baden-Wuertt    3.90     7/28/2017    EUR     49.80
Landesbank Baden-Wuertt    5.00     3/24/2017    EUR     74.31
Landesbank Baden-Wuertt    6.00     3/24/2017    EUR     70.18
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     69.49
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     65.25
Landesbank Baden-Wuertt    5.00     3/24/2017    EUR     61.72
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     71.03
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     66.64
Landesbank Baden-Wuertt    5.00     3/24/2017    EUR     63.72
Landesbank Baden-Wuertt    2.50     3/24/2017    EUR     56.55
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     52.68
Landesbank Baden-Wuertt    4.50     3/24/2017    EUR     72.82
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     71.31
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     63.76
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     59.96
Landesbank Baden-Wuertt    5.00     3/24/2017    EUR     56.80
Landesbank Baden-Wuertt    6.00     3/24/2017    EUR     53.97
Landesbank Baden-Wuertt    3.00     3/24/2017    EUR     72.19
Landesbank Baden-Wuertt    4.00     3/24/2017    EUR     67.70
Landesbank Baden-Wuertt    5.50     3/24/2017    EUR     62.55
Landesbank Baden-Wuertt    3.55     8/25/2017    EUR     43.74
Landesbank Baden-Wuertt    3.75     9/22/2017    EUR     42.49
Landesbank Baden-Wuertt    3.90     9/22/2017    EUR     41.53
Landesbank Baden-Wuertt    3.20     9/22/2017    EUR     69.51
Landesbank Baden-Wuertt    3.00     6/22/2018    EUR     58.59
Landesbank Baden-Wuertt    3.50    11/24/2017    EUR     58.29
Landesbank Baden-Wuertt    3.85    10/27/2017    EUR     46.43
Landesbank Baden-Wuertt    3.00    11/24/2017    EUR     55.37
Landesbank Baden-Wuertt    3.40    11/24/2017    EUR     44.87
Landesbank Baden-Wuertt    3.45     3/22/2019    EUR     64.56
Landesbank Baden-Wuertt    4.50     3/23/2018    EUR     55.47
Landesbank Baden-Wuertt    3.00     6/28/2019    EUR     71.75
Landesbank Baden-Wuertt    2.50     6/28/2019    EUR     73.47
Landesbank Baden-Wuertt    3.50     6/22/2018    EUR     71.34
Landesbank Baden-Wuertt    4.00     8/25/2017    EUR     42.18
Landesbank Baden-Wuertt    3.00     9/28/2018    EUR     49.68
Landesbank Baden-Wuertt    3.75    10/27/2017    EUR     47.03
Landesbank Baden-Wuertt    3.00      1/4/2019    EUR     55.83
Notenstein La Roche Pri    5.40     4/21/2017    CHF     71.56
UBS AG/London              5.00     4/22/2017    CHF     71.50
Leonteq Securities AG      5.00      5/7/2019    CHF     68.88
Leonteq Securities AG      6.00      5/5/2017    CHF     72.01
Notenstein La Roche Pri    5.60      5/4/2017    CHF     73.37
Banque Cantonale Vaudoi    5.35     4/24/2017    CHF     75.38
Landesbank Baden-Wuertt    3.25     8/25/2017    EUR     74.07
Bayerische Landesbank      3.20     7/27/2018    EUR     74.65
Leonteq Securities AG      7.80      5/5/2017    CHF     72.38
Commerzbank AG             7.24     4/27/2017    EUR     60.24
Leonteq Securities AG      8.00     4/24/2017    USD     61.33
DekaBank Deutsche Giroz    3.25     4/20/2018    EUR     66.47
Leonteq Securities AG      6.00      5/4/2017    CHF     71.67
Bank Julius Baer & Co L    6.00      5/2/2017    CHF     70.55
Notenstein La Roche Pri    4.00      5/8/2018    CHF     65.79
Notenstein La Roche Pri    5.50      5/8/2017    CHF     75.60
Zurcher Kantonalbank Fi    7.00     11/3/2017    CHF     71.75
Loan Portfolio Securiti    8.50    12/14/2018    USD     32.21
UBS AG/London             15.50    11/30/2017    CHF     74.25
Leonteq Securities AG     10.20    10/24/2018    EUR     72.19
Bank Julius Baer & Co L    5.40    12/20/2017    CHF     69.50
Notenstein La Roche Pri    4.80    11/14/2018    CHF     74.95
Notenstein La Roche Pri    3.00     9/22/2020    CHF     70.39
Credit Suisse AG/London    9.50    11/15/2019    USD      5.23
EFG International Finan    7.00    11/27/2019    EUR     22.62
Goldman Sachs Internati    1.00     12/5/2017    SEK     14.29
Leonteq Securities AG      3.00     9/19/2019    CHF     59.40
DekaBank Deutsche Giroz    7.15    10/27/2017    EUR     49.18
Lehman Brothers Treasur    7.50     9/13/2009    CHF      0.65
Lehman Brothers Treasur    5.10     6/22/2046    EUR      0.65
Lehman Brothers Treasur    6.50     7/24/2026    EUR      0.65
Lehman Brothers Treasur    4.50      8/2/2009    USD      0.65
Lehman Brothers Treasur    4.00     4/24/2009    USD      0.65
Lehman Brothers Treasur    9.00     3/17/2009    GBP      0.65
Lehman Brothers Treasur    7.00    11/28/2008    CHF      0.65
Lehman Brothers Treasur    3.85     4/24/2009    USD      0.65
Lehman Brothers Treasur    7.25     10/6/2008    EUR      0.65
Lehman Brothers Treasur   10.50      8/9/2010    EUR      0.65
Lehman Brothers Treasur    8.00     5/22/2009    USD      0.65
Lehman Brothers Treasur    4.50     7/24/2014    EUR      0.65
Lehman Brothers Treasur   10.00     3/27/2009    USD      0.65
Lehman Brothers Treasur    5.00    10/24/2008    CHF      0.65
Lehman Brothers Treasur    7.75     1/30/2009    EUR      0.65
Commerzbank AG             8.00     7/14/2021    USD
Polski Bank Spoldzielcz    5.29     9/14/2027    PLN     44.00
HSBC Trinkaus & Burkhar    4.00     6/16/2017    EUR     73.81
Vontobel Financial Prod    3.00     5/26/2017    CHF     72.69
Credit Suisse AG/London    7.80     7/16/2025    USD      9.23
Landesbank Baden-Wuertt    2.90     7/27/2018    EUR     75.13
Landesbank Hessen-Thuer    4.00     5/16/2018    EUR     76.65
DZ Bank AG Deutsche Zen    6.00     3/24/2017    EUR     71.78
Notenstein La Roche Pri    4.80     1/24/2018    CHF     73.94
Credit Suisse AG/London    7.80     7/31/2020    USD      9.33
Credit Suisse AG/Nassau    6.00     7/31/2017    CHF     72.60
Bayerische Landesbank      2.60     8/24/2018    EUR     72.46
Leonteq Securities AG      7.00     7/31/2017    CHF     74.52
Bank Julius Baer & Co L    6.00     7/24/2017    CHF     69.10
UBS AG/London              7.00     7/17/2017    CHF     59.05
Notenstein La Roche Pri    4.00     7/24/2019    CHF     69.39
Notenstein La Roche Pri    6.70     7/24/2017    EUR     72.65
Goldman Sachs & Co Wert    7.00     3/22/2017    EUR     75.08
Notenstein La Roche Pri    4.20     7/17/2019    CHF     73.12
Vontobel Financial Prod    4.65     7/24/2017    EUR     72.60
Notenstein La Roche Pri    6.00     7/17/2017    CHF     75.13
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     71.24
Goldman Sachs & Co Wert   11.00     6/21/2017    EUR     71.60
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     67.02
Goldman Sachs & Co Wert   11.00     6/21/2017    EUR     67.39
DekaBank Deutsche Giroz    2.60     6/15/2018    EUR     73.99
Bank Julius Baer & Co L   11.30      6/7/2017    CHF     60.40
DZ Bank AG Deutsche Zen   11.50     6/23/2017    EUR     57.20
Notenstein La Roche Pri    9.68     6/15/2017    CHF     72.39
UBS AG/London              9.75     3/24/2017    EUR     53.04
UBS AG/London              7.50     3/24/2017    EUR     75.02
UBS AG/London              9.50     3/24/2017    EUR     76.18
Goldman Sachs & Co Wert   11.00    12/20/2017    EUR     76.00
Leonteq Securities AG      8.80     6/21/2017    CHF     74.89
SG Issuer SA               5.05     4/10/2025    EUR     55.56
Goldman Sachs & Co Wert   16.00     3/22/2017    EUR     66.70
Leonteq Securities AG/G   16.20    11/30/2017    USD     72.17
Zurcher Kantonalbank Fi   10.00     8/18/2017    CHF     70.53
BNP Paribas Emissions-    22.00     6/22/2017    EUR     73.24
BNP Paribas Emissions-    16.00     6/22/2017    EUR     74.15
BNP Paribas Emissions-    19.00     3/23/2017    EUR     71.57
Lehman Brothers Treasur    8.05    12/20/2010    HKD      0.65
Lehman Brothers Treasur    6.72    12/29/2008    EUR      0.65
Lehman Brothers Treasur    7.63     7/22/2011    HKD      0.65
Lehman Brothers Treasur    6.60      2/9/2009    EUR      0.65
Lehman Brothers Treasur    7.06    12/29/2008    EUR      0.65
Royal Bank of Scotland     6.20      9/7/2018    GBP
Goldman Sachs & Co Wert   16.00     6/21/2017    EUR     73.87
Deutsche Bank AG           7.20     3/21/2017    EUR     76.20
Vontobel Financial Prod    8.65     3/10/2017    EUR     67.91
Norddeutsche Landesbank    3.00    10/30/2018    EUR     71.56
UBS AG/London              3.81    10/28/2017    USD     69.30
Notenstein La Roche Pri    7.70      5/9/2017    CHF     45.58
Landesbank Baden-Wuertt    4.00     4/28/2017    EUR     70.81
Leonteq Securities AG      7.00     11/6/2017    CHF     47.21
Leonteq Securities AG     16.40      2/6/2017    CHF     42.96
Landesbank Baden-Wuertt    3.00     4/28/2017    EUR     73.53
Leonteq Securities AG     10.00      2/6/2017    CHF     65.90
SG Issuer SA               6.65    10/10/2021    EUR     64.31
Vontobel Financial Prod   11.75      6/9/2017    EUR     76.05
DZ Bank AG Deutsche Zen    9.25     7/28/2017    EUR     59.60
Commerzbank AG            12.25     6/22/2017    EUR     77.61
Commerzbank AG            16.00     6/22/2017    EUR     72.27
HSBC Trinkaus & Burkhar   15.20     6/23/2017    EUR     69.52
Goldman Sachs & Co Wert   17.00     3/22/2017    EUR     74.27
SG Issuer SA               0.80    11/30/2020    SEK     70.24
Notenstein La Roche Pri    6.50     7/11/2017    CHF     60.64
Notenstein La Roche Pri    6.00     7/11/2017    CHF     70.39
EFG International Finan    7.35    12/28/2017    CHF     65.19
Credit Suisse AG/Nassau    7.25     7/13/2017    CHF     70.73
Vontobel Financial Prod   12.50     3/24/2017    EUR     70.86
DZ Bank AG Deutsche Zen    8.00     3/24/2017    EUR     63.91
BNP Paribas Emissions-    28.00     3/23/2017    EUR     68.43
BNP Paribas Emissions-    27.00    12/21/2017    EUR     69.03
Goldman Sachs & Co Wert   20.00     2/22/2017    EUR     75.09
Goldman Sachs & Co Wert   19.00     2/22/2017    EUR     73.13
Goldman Sachs & Co Wert   16.00     6/21/2017    EUR     71.83
Goldman Sachs & Co Wert   20.00     2/22/2017    EUR     68.76
BNP Paribas Emissions-    27.00    12/21/2017    EUR     74.25
BNP Paribas Emissions-    26.00    12/21/2017    EUR     71.76
BNP Paribas Emissions-    26.00    12/21/2017    EUR     73.53
BNP Paribas Emissions-    29.00     6/22/2017    EUR     68.56
BNP Paribas Emissions-    23.00    12/21/2017    EUR     74.67
BNP Paribas Emissions-    28.00    12/21/2017    EUR     69.22
BNP Paribas Emissions-    25.00     6/22/2017    EUR     73.40
BNP Paribas Emissions-    28.00    12/21/2017    EUR     70.02
BNP Paribas Emissions-    28.00     6/22/2017    EUR     69.24
BNP Paribas Emissions-    26.00    12/21/2017    EUR     70.45
BNP Paribas Emissions-    22.00    12/21/2017    EUR     73.52
BNP Paribas Emissions-    25.00    12/21/2017    EUR     69.34
BNP Paribas Emissions-    28.00    12/21/2017    EUR     66.67
BNP Paribas Emissions-    25.00     3/23/2017    EUR     68.25
BNP Paribas Emissions-    25.00    12/21/2017    EUR     72.02
BNP Paribas Emissions-    28.00    12/21/2017    EUR     68.84
BNP Paribas Emissions-    22.00     3/23/2017    EUR     69.83
BNP Paribas Emissions-    29.00     3/23/2017    EUR     62.27
BNP Paribas Emissions-    26.00    12/21/2017    EUR     72.67
BNP Paribas Emissions-    29.00    12/21/2017    EUR     69.20
BNP Paribas Emissions-    25.00     3/23/2017    EUR     72.72
BNP Paribas Emissions-    28.00     3/23/2017    EUR     69.21
BNP Paribas Emissions-    18.00     6/22/2017    EUR     72.62
BNP Paribas Emissions-    26.00     6/22/2017    EUR     63.62
BNP Paribas Emissions-    22.00    12/21/2017    EUR     68.68
BNP Paribas Emissions-    23.00    12/21/2017    EUR     69.37
BNP Paribas Emissions-    29.00    12/21/2017    EUR     62.41
BNP Paribas Emissions-    27.00    12/21/2017    EUR     71.77
BNP Paribas Emissions-    29.00     3/23/2017    EUR     69.81
BNP Paribas Emissions-    27.00    12/21/2017    EUR     70.85
BNP Paribas Emissions-    18.00     3/23/2017    EUR     64.44
BNP Paribas Emissions-    22.00     3/23/2017    EUR     60.47
BNP Paribas Emissions-    28.00     3/23/2017    EUR     53.96
BNP Paribas Emissions-    22.00    12/21/2017    EUR     62.54
BNP Paribas Emissions-    27.00    12/21/2017    EUR     59.03
BNP Paribas Emissions-    28.00    12/21/2017    EUR     69.98
BNP Paribas Emissions-    27.00    12/21/2017    EUR     71.80
BNP Paribas Emissions-    15.00     3/23/2017    EUR     67.19
BNP Paribas Emissions-    16.00     6/22/2017    EUR     65.21
BNP Paribas Emissions-    28.00     6/22/2017    EUR     54.82
BNP Paribas Emissions-    10.00    12/21/2017    EUR     73.33
BNP Paribas Emissions-    15.00    12/21/2017    EUR     67.60
BNP Paribas Emissions-    22.00    12/21/2017    EUR     62.36
BNP Paribas Emissions-    27.00     3/23/2017    EUR     71.68
BNP Paribas Emissions-    25.00     6/22/2017    EUR     73.61
BNP Paribas Emissions-    28.00     6/22/2017    EUR     73.02
BNP Paribas Emissions-    28.00    12/21/2017    EUR     71.29
BNP Paribas Emissions-    25.00    12/21/2017    EUR     73.14
BNP Paribas Emissions-    29.00    12/21/2017    EUR     68.70
BNP Paribas Emissions-    27.00     3/23/2017    EUR     74.52
BNP Paribas Emissions-    27.00    12/21/2017    EUR     73.14
BNP Paribas Emissions-    28.00    12/21/2017    EUR     74.29
BNP Paribas Emissions-    19.00    12/21/2017    EUR     73.41
BNP Paribas Emissions-    27.00     3/23/2017    EUR     68.41
BNP Paribas Emissions-    28.00     3/23/2017    EUR     62.28
BNP Paribas Emissions-    22.00     3/23/2017    EUR     72.03
BNP Paribas Emissions-    28.00     3/23/2017    EUR     65.81
BNP Paribas Emissions-    25.00    12/21/2017    EUR     69.32
BNP Paribas Emissions-    26.00     3/23/2017    EUR     74.28
BNP Paribas Emissions-     9.00     6/22/2017    EUR     72.99
BNP Paribas Emissions-    18.00     6/22/2017    EUR     58.51
BNP Paribas Emissions-    21.00     6/22/2017    EUR     54.71
BNP Paribas Emissions-    10.00    12/21/2017    EUR     72.32
BNP Paribas Emissions-    13.00    12/21/2017    EUR     66.78
BNP Paribas Emissions-    25.00    12/21/2017    EUR     54.54
BNP Paribas Emissions-    18.00     3/23/2017    EUR     58.83
BNP Paribas Emissions-    28.00     3/23/2017    EUR     48.68
BNP Paribas Emissions-    15.00    12/21/2017    EUR     64.52
BNP Paribas Emissions-    27.00     6/22/2017    EUR     72.85
BNP Paribas Emissions-    25.00    12/21/2017    EUR     73.10
BNP Paribas Emissions-    22.00     3/23/2017    EUR     68.16
BNP Paribas Emissions-    25.00    12/21/2017    EUR     66.03
BNP Paribas Emissions-    27.00    12/21/2017    EUR     64.40
BNP Paribas Emissions-    28.00    12/21/2017    EUR     74.72
BNP Paribas Emissions-    28.00     3/23/2017    EUR     72.09
BNP Paribas Emissions-    27.00    12/21/2017    EUR     72.73
BNP Paribas Emissions-    13.00     3/23/2017    EUR     60.04
BNP Paribas Emissions-    16.00     3/23/2017    EUR     53.91
BNP Paribas Emissions-    19.00     3/23/2017    EUR     49.07
BNP Paribas Emissions-    22.00     3/23/2017    EUR     45.18
BNP Paribas Emissions-    25.00     3/23/2017    EUR     41.99
BNP Paribas Emissions-    28.00     3/23/2017    EUR     39.35
BNP Paribas Emissions-    13.00     6/22/2017    EUR     61.96
BNP Paribas Emissions-    25.00     6/22/2017    EUR     44.42
BNP Paribas Emissions-    15.00    12/21/2017    EUR     59.76
BNP Paribas Emissions-    19.00    12/21/2017    EUR     53.92
BNP Paribas Emissions-    22.00    12/21/2017    EUR     51.19
BNP Paribas Emissions-    25.00    12/21/2017    EUR     49.80
BNP Paribas Emissions-    27.00    12/21/2017    EUR     48.99
BNP Paribas Emissions-    25.00     6/22/2017    EUR     69.43
BNP Paribas Emissions-    27.00     6/22/2017    EUR     67.00
BNP Paribas Emissions-    22.00    12/21/2017    EUR     73.33
BNP Paribas Emissions-    25.00     6/22/2017    EUR     62.09
BNP Paribas Emissions-    19.00    12/21/2017    EUR     69.37
BNP Paribas Emissions-    28.00    12/21/2017    EUR     62.14
BNP Paribas Emissions-    19.00     3/23/2017    EUR     68.26
BNP Paribas Emissions-    24.00     3/23/2017    EUR     62.86
BNP Paribas Emissions-    28.00     3/23/2017    EUR     58.34
BNP Paribas Emissions-    16.00     6/22/2017    EUR     71.95
BNP Paribas Emissions-     5.00     3/23/2017    EUR     73.35
BNP Paribas Emissions-     5.00     6/22/2017    EUR     73.71
BNP Paribas Emissions-    13.00     6/22/2017    EUR     55.92
BNP Paribas Emissions-    19.00     6/22/2017    EUR     49.64
BNP Paribas Emissions-     5.00    12/21/2017    EUR     73.61
BNP Paribas Emissions-    28.00    12/21/2017    EUR     49.92
BNP Paribas Emissions-    24.00     3/23/2017    EUR     60.02
BNP Paribas Emissions-    12.00    12/21/2017    EUR     74.13
BNP Paribas Emissions-    18.00     3/23/2017    EUR     62.85
BNP Paribas Emissions-    22.00     3/23/2017    EUR     58.99
BNP Paribas Emissions-    25.00     6/22/2017    EUR     56.52
BNP Paribas Emissions-    27.00     6/22/2017    EUR     54.48
BNP Paribas Emissions-    19.00    12/21/2017    EUR     63.79
BNP Paribas Emissions-    22.00    12/21/2017    EUR     61.16
BNP Paribas Emissions-    25.00    12/21/2017    EUR     59.57
BNP Paribas Emissions-    27.00    12/21/2017    EUR     57.88
BNP Paribas Emissions-    28.00     3/23/2017    EUR     69.13
BNP Paribas Emissions-    26.00     3/23/2017    EUR     72.36
UBS AG/London             11.70     4/18/2017    EUR     60.36
Raiffeisen Centrobank A    7.20     9/20/2017    EUR     73.25
Goldman Sachs & Co Wert   16.00     6/21/2017    EUR     73.52
Leonteq Securities AG      7.40    11/20/2017    EUR     71.76
Bank Julius Baer & Co L    5.50     11/6/2017    CHF     62.85
Deutsche Bank AG           9.20     3/21/2017    EUR     73.60
UBS AG/London             10.20     2/10/2017    EUR     72.23
DekaBank Deutsche Giroz    3.50    10/28/2019    EUR     71.86
Vontobel Financial Prod   12.25     3/10/2017    EUR     73.40
Notenstein La Roche Pri    5.00    10/31/2018    CHF     72.65
Zurcher Kantonalbank Fi   11.25     4/26/2017    CHF     47.29
HSBC Trinkaus & Burkhar    5.00     4/28/2017    EUR     64.15
Bank Julius Baer & Co L   14.40     11/2/2017    CHF     67.80
Landesbank Baden-Wuertt    3.00     9/22/2017    EUR     63.78
Leonteq Securities AG      6.00    10/12/2017    CHF     66.54
UniCredit Bank AG          4.50     9/19/2017    EUR     70.89
Landesbank Hessen-Thuer    5.00    10/17/2017    EUR     76.20
Landesbank Hessen-Thuer    4.50    11/28/2017    EUR     75.66
UniCredit Bank AG          5.40     6/30/2017    EUR     61.33
Eiendomskreditt            5.43                  NOK     67.00
Kommunekredit              0.50     5/11/2029    CAD     70.26
Municipality Finance PL    0.25     6/28/2040    CAD     30.52
KPNQwest NV                7.13      6/1/2009    EUR      0.18
Societe Generale SA        0.50      7/6/2021    BRL     66.56
Societe Generale SA        0.50      8/4/2021    BRL     66.13
Svensk Exportkredit AB     0.50     8/25/2021    ZAR     67.74
Bank Nederlandse Gemeen    0.50     5/12/2021    ZAR     69.33
KPNQwest NV                8.88      2/1/2008    EUR      0.18
Barclays Bank PLC          1.99     12/1/2040    USD     69.88
Kommunekredit              0.50    12/14/2020    ZAR     71.51
Societe Generale SA        0.50     6/12/2023    RUB     59.55
HSBC Bank PLC              0.50     4/11/2023    MXN     57.90
Eiendomskreditt            4.48                  NOK     56.29
Lehman Brothers Treasur    4.25     5/15/2010    EUR      0.65
Lehman Brothers Treasur   10.00      1/3/2012    BRL      0.65
Lehman Brothers Treasur    6.00     5/23/2018    CZK      0.65
HSBC Trinkaus & Burkhar    9.20     6/23/2017    EUR     72.81
HSBC Trinkaus & Burkhar    7.20     9/22/2017    EUR     74.96
HSBC Trinkaus & Burkhar    4.00     6/16/2017    EUR     66.91
HSBC Trinkaus & Burkhar    1.75     8/25/2017    EUR     60.70
Zurcher Kantonalbank Fi   12.10      9/6/2017    CHF     72.04
Vontobel Financial Prod    8.35     5/26/2017    USD     72.17
BNP Paribas Emissions-    15.00     3/23/2017    EUR     63.21
BNP Paribas Emissions-    16.00     3/23/2017    EUR     60.26
BNP Paribas Emissions-    18.00     3/23/2017    EUR     57.71
BNP Paribas Emissions-    24.00     3/23/2017    EUR     51.45
BNP Paribas Emissions-    25.00     3/23/2017    EUR     49.62
BNP Paribas Emissions-    15.00    12/21/2017    EUR     66.38
BNP Paribas Emissions-    16.00    12/21/2017    EUR     63.72
BNP Paribas Emissions-    18.00    12/21/2017    EUR     62.35
BNP Paribas Emissions-    19.00    12/21/2017    EUR     61.36
BNP Paribas Emissions-    12.00     3/23/2017    EUR     73.03
BNP Paribas Emissions-    12.00     6/22/2017    EUR     73.14
Exane Finance SA           3.00     9/18/2018    USD     72.53
Lehman Brothers Treasur    0.25     7/21/2014    EUR      0.65
Lehman Brothers Treasur    4.95    10/25/2036    EUR      0.65
Lehman Brothers Treasur   11.00     6/29/2009    EUR      0.65
Lehman Brothers Treasur    8.00      8/3/2009    USD      0.65
Lehman Brothers Treasur    2.50    12/15/2011    GBP      0.65
Lehman Brothers Treasur   11.00    12/19/2011    USD      0.65
Lehman Brothers Treasur    7.00     2/15/2012    EUR      0.65
Lehman Brothers Treasur    6.00     5/12/2017    EUR      0.65
Lehman Brothers Treasur    4.10     2/19/2010    EUR      0.65
Lehman Brothers Treasur    3.50    10/31/2011    USD      0.65
Lehman Brothers Treasur    3.50    10/24/2011    USD      0.65
Lehman Brothers Treasur    1.68      3/5/2015    EUR      0.65
Lehman Brothers Treasur    9.00     5/15/2022    USD      0.65
Lehman Brothers Treasur    6.75      4/5/2012    EUR      0.65
Lehman Brothers Treasur    3.35    10/13/2016    EUR      0.65
Lehman Brothers Treasur    0.80    12/30/2016    EUR      0.65
Lehman Brothers Treasur    4.00     5/30/2010    USD      0.65
Lehman Brothers Treasur    4.00     5/17/2010    USD      0.65
Lehman Brothers Treasur    2.48     5/12/2009    USD      0.65
Lehman Brothers Treasur    2.25     5/12/2009    USD      0.65
Lehman Brothers Treasur    4.10     6/10/2014    SGD      9.63
Lehman Brothers Treasur   13.00     7/25/2012    EUR      0.65
Lehman Brothers Treasur    3.00     8/13/2011    EUR      0.65
Lehman Brothers Treasur    6.00    12/30/2017    EUR      0.65
Lehman Brothers Treasur    8.80    12/27/2009    EUR      0.65
Lehman Brothers Treasur   11.00    12/20/2017    AUD      0.65
Lehman Brothers Treasur   11.00    12/20/2017    AUD      0.65
Lehman Brothers Treasur    4.00      1/4/2011    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    AUD      0.65
Lehman Brothers Treasur    9.30    12/21/2010    EUR      0.65
Lehman Brothers Treasur    8.00    12/31/2010    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    USD      0.65
Lehman Brothers Treasur    0.50    12/20/2017    USD      0.65
Lehman Brothers Treasur   11.00     2/16/2009    CHF      0.65
Lehman Brothers Treasur   10.00     2/16/2009    CHF      0.65
Lehman Brothers Treasur    6.25    11/30/2012    EUR      0.65
Lehman Brothers Treasur    6.00     2/19/2023    USD      0.65
Lehman Brothers Treasur    1.00     2/26/2010    USD      0.65
Lehman Brothers Treasur    8.00     3/21/2018    USD      0.65
Lehman Brothers Treasur   11.75      3/1/2010    EUR      0.65
Lehman Brothers Treasur    8.00    10/17/2014    EUR      0.65
Lehman Brothers Treasur    7.05      4/8/2015    USD      0.65
Lehman Brothers Treasur    7.80     3/31/2018    USD      0.65
Lehman Brothers Treasur    9.50      4/1/2018    USD      0.65
Lehman Brothers Treasur    6.00      3/4/2015    USD      0.65
Lehman Brothers Treasur    7.15     3/21/2013    USD      0.65
Lehman Brothers Treasur    3.50     6/20/2011    EUR      0.65
Bank Julius Baer & Co L   12.80     9/20/2017    CHF     62.90
Bank Julius Baer & Co L   13.85     9/20/2017    CHF     72.55
Lehman Brothers Treasur   18.25     10/2/2008    USD      0.65
Lehman Brothers Treasur    1.50    10/12/2010    EUR      0.65
ECM Real Estate Investm    5.00     10/9/2011    EUR     10.38
LBI HF                     7.43                  USD      0.00
Lehman Brothers Treasur   12.22    11/21/2017    USD      0.65
Lehman Brothers Treasur    5.50    11/30/2012    CZK      0.65
Lehman Brothers Treasur   14.90    11/16/2010    EUR      0.65
Lehman Brothers Treasur   16.00     10/8/2008    CHF      0.65
Lehman Brothers Treasur    3.40     9/21/2009    HKD      0.65
Lehman Brothers Treasur    4.00    10/12/2010    USD      0.65
Lehman Brothers Treasur    7.00    10/22/2010    EUR      0.65
Lehman Brothers Treasur    8.00    10/23/2008    USD      0.65
Lehman Brothers Treasur    4.60     11/9/2011    EUR      8.63
Lehman Brothers Treasur    4.80    11/16/2012    HKD      0.65
Lehman Brothers Treasur    3.50    12/20/2027    USD      0.65
Nota-Bank OJSC            13.50      4/1/2016    RUB     31.50
Zurcher Kantonalbank Fi    6.51     10/5/2018    CHF     74.19
Bank Julius Baer & Co L   11.60    10/11/2017    CHF     65.20
DZ Bank AG Deutsche Zen   16.00     2/24/2017    EUR     70.47
Vontobel Financial Prod   17.50     3/24/2017    EUR     71.62
DekaBank Deutsche Giroz    2.75    10/29/2018    EUR     65.56
EFG International Finan    7.19      5/6/2019    EUR     19.29
Bank J Safra Sarasin AG    8.00      5/4/2017    CHF     67.31
DekaBank Deutsche Giroz    3.00     4/30/2019    EUR     74.10
Landesbank Baden-Wuertt    3.55     8/25/2017    EUR     74.42
Landesbank Baden-Wuertt    4.00     6/22/2018    EUR     74.78
Landesbank Baden-Wuertt    3.60     6/22/2018    EUR     72.02
UBS AG                     7.40     5/17/2021    CHF     71.86
Notenstein La Roche Pri    4.20     5/22/2019    CHF     69.10
Notenstein La Roche Pri    4.50     5/22/2018    CHF     69.30
DekaBank Deutsche Giroz    3.00     5/12/2017    EUR     68.75
DekaBank Deutsche Giroz    2.80     5/13/2019    EUR     69.59
Notenstein La Roche Pri    5.70     5/29/2017    CHF     74.59
Notenstein La Roche Pri    4.00     5/29/2017    CHF     72.98
Zurcher Kantonalbank Fi    3.80     5/22/2017    EUR     68.64
UBS AG/London              7.00     5/22/2017    CHF     66.00
UBS AG/London              8.00     5/26/2017    EUR     65.00
Leonteq Securities AG      9.92     5/29/2017    EUR     67.61
Notenstein La Roche Pri    5.80      6/5/2018    CHF     73.51
Notenstein La Roche Pri    5.50      6/8/2017    CHF     74.85
Commerzbank AG             6.76     6/22/2017    EUR     63.83
Landesbank Baden-Wuertt    3.50     7/27/2018    EUR     74.72
Landesbank Baden-Wuertt    3.50     7/27/2018    EUR     67.33
Landesbank Baden-Wuertt    5.50     6/23/2017    EUR     72.35
Landesbank Baden-Wuertt    4.00     6/23/2017    EUR     75.63
Landesbank Baden-Wuertt    5.50     6/23/2017    EUR     69.12
Landesbank Baden-Wuertt    2.50     6/23/2017    EUR     72.50
Landesbank Baden-Wuertt    3.50     6/23/2017    EUR     68.22
Landesbank Baden-Wuertt    4.50     6/23/2017    EUR     64.95
Landesbank Baden-Wuertt    2.50     6/23/2017    EUR     69.32
Landesbank Baden-Wuertt    4.00     6/23/2017    EUR     62.97
Landesbank Baden-Wuertt    5.50     6/23/2017    EUR     58.41
Landesbank Baden-Wuertt    4.00     6/23/2017    EUR     72.47
Landesbank Baden-Wuertt    5.00     6/23/2017    EUR     68.92
Landesbank Baden-Wuertt    6.00     6/23/2017    EUR     66.11
Notenstein Finance Guer    5.40     6/12/2017    CHF     74.12
UniCredit Bank AG          3.80     7/23/2020    EUR     73.20
Raiffeisen Centrobank A    9.50     7/13/2017    EUR     67.80
Leonteq Securities AG      3.00      7/8/2019    CHF     75.76
UniCredit Bank AG          4.40     7/13/2018    EUR     73.94
Bayerische Landesbank      2.70     7/20/2018    EUR     74.45
Notenstein La Roche Pri    6.50     6/26/2017    EUR     70.91
HSBC Trinkaus & Burkhar    8.20     9/22/2017    EUR     72.85
UBS AG/London              6.00     10/5/2017    CHF     58.95
Lehman Brothers Treasur    6.85    12/22/2008    EUR      0.65
Lehman Brothers Treasur    7.60     3/26/2009    EUR      0.65
Lehman Brothers Treasur    7.55    12/29/2008    USD      0.65
Raiffeisen Centrobank A    6.24     3/22/2017    EUR     75.05
Goldman Sachs & Co Wert   14.00     6/21/2017    EUR     72.86
Goldman Sachs & Co Wert    8.00     3/22/2017    EUR     75.20
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     69.27
Goldman Sachs & Co Wert   14.00     3/22/2017    EUR     60.03
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     71.66
Goldman Sachs & Co Wert   13.00     6/21/2017    EUR     63.24
Goldman Sachs & Co Wert   13.00     3/22/2017    EUR     71.96
Goldman Sachs & Co Wert   12.00     6/21/2017    EUR     72.05
Goldman Sachs & Co Wert    6.00     3/22/2017    EUR     75.84
Goldman Sachs & Co Wert    7.00     3/22/2017    EUR     73.09
Goldman Sachs & Co Wert    8.00     3/22/2017    EUR     68.06
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     63.83
Goldman Sachs & Co Wert   14.00     3/22/2017    EUR     56.94
Goldman Sachs & Co Wert    6.00     6/21/2017    EUR     77.00
Goldman Sachs & Co Wert    7.00     6/21/2017    EUR     74.68
Goldman Sachs & Co Wert    8.00     6/21/2017    EUR     70.09
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     66.42
Goldman Sachs & Co Wert   13.00     6/21/2017    EUR     60.20
Goldman Sachs & Co Wert    7.00     3/22/2017    EUR     68.60
Goldman Sachs & Co Wert    8.00     3/22/2017    EUR     65.14
Goldman Sachs & Co Wert    9.00     3/22/2017    EUR     61.89
Goldman Sachs & Co Wert   13.00     3/22/2017    EUR     54.39
Goldman Sachs & Co Wert    6.00     6/21/2017    EUR     73.03
Goldman Sachs & Co Wert    7.00     6/21/2017    EUR     69.54
Goldman Sachs & Co Wert    8.00     6/21/2017    EUR     66.46
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     64.04
Goldman Sachs & Co Wert   13.00     6/21/2017    EUR     57.12
Goldman Sachs & Co Wert    7.00     3/22/2017    EUR     73.32
UBS AG/London              9.25     6/26/2017    CHF     64.30
UBS AG/London              7.00     6/26/2017    EUR     70.35
UBS AG/London              9.40     6/30/2017    EUR     44.60
EFG International Finan    7.20     6/26/2017    GBP     13.86
Zurcher Kantonalbank Fi    8.50     7/17/2017    CHF     60.99
UBS AG/London              7.50      7/3/2017    EUR     66.65
Banque Cantonale Vaudoi    7.25      7/3/2017    CHF     59.17
Goldman Sachs & Co Wert   10.00     3/22/2017    EUR     70.13
Goldman Sachs & Co Wert   12.00     3/22/2017    EUR     66.06
Goldman Sachs & Co Wert   11.00     6/21/2017    EUR     67.40
Goldman Sachs & Co Wert   10.00     6/21/2017    EUR     71.25
HSBC Trinkaus & Burkhar    7.10     3/24/2017    EUR     71.80
HSBC Trinkaus & Burkhar    6.70     3/24/2017    EUR     65.71
HSBC Trinkaus & Burkhar    6.50     3/24/2017    EUR     70.02
HSBC Trinkaus & Burkhar    7.40     3/24/2017    EUR     63.67
HSBC Trinkaus & Burkhar    6.70     3/24/2017    EUR     73.21
Landesbank Baden-Wuertt    2.60     2/24/2017    EUR     72.33
UBS AG/London              6.25     7/24/2017    CHF     71.45
Landesbank Baden-Wuertt    2.60     8/23/2019    EUR     73.77
Banque Cantonale Vaudoi    5.35     7/24/2017    CHF     73.31
Credit Suisse AG/Nassau    7.00      8/7/2017    CHF     72.34
Notenstein La Roche Pri    5.80      8/7/2017    CHF     73.04
Goldman Sachs & Co Wert   13.00     3/22/2017    EUR     53.75
Goldman Sachs & Co Wert    9.00     6/21/2017    EUR     62.16
Goldman Sachs & Co Wert   12.00     6/21/2017    EUR     56.76
Landesbank Baden-Wuertt    4.50     8/25/2017    EUR     73.13
Landesbank Baden-Wuertt    3.50     8/25/2017    EUR     73.17
Landesbank Baden-Wuertt    4.50     8/25/2017    EUR     69.61
Landesbank Baden-Wuertt    5.00     8/25/2017    EUR     73.67
Landesbank Baden-Wuertt    3.00     8/25/2017    EUR     74.18
Landesbank Baden-Wuertt    4.00     8/25/2017    EUR     70.13
Landesbank Baden-Wuertt    5.00     8/25/2017    EUR     66.92
Landesbank Baden-Wuertt    3.00     8/25/2017    EUR     74.68
Notenstein La Roche Pri    5.60     7/31/2017    CHF     74.21
Zurcher Kantonalbank Fi    4.00     8/24/2018    CHF     74.23
Bank Julius Baer & Co L    9.05     2/13/2017    EUR     74.85
DekaBank Deutsche Giroz    2.60     6/23/2017    EUR     74.05
Notenstein La Roche Pri    7.00     8/14/2017    CHF     72.99
Leonteq Securities AG      5.20     8/14/2018    CHF     70.12
Goldman Sachs & Co Wert    9.00     6/21/2017    EUR     68.81
Goldman Sachs & Co Wert   13.00     6/21/2017    EUR     60.96
Credit Suisse AG/London    7.70     8/20/2025    USD      8.64
Notenstein La Roche Pri    6.30     2/14/2017    CHF     57.83
Notenstein La Roche Pri    5.30     8/14/2017    CHF     75.62
Leonteq Securities AG      5.20     8/14/2017    CHF     73.80
UBS AG/London              5.00      8/6/2018    CHF     74.80
Lehman Brothers Treasur    2.40     6/20/2011    JPY      0.65
Lehman Brothers Treasur    1.60     6/21/2010    JPY      0.65
Bank VTB 24 JSC            9.00      9/1/2044    RUB     60.00
Commerzbank AG             4.00      9/8/2017    EUR     68.76
Lehman Brothers Treasur    5.20     3/19/2018    EUR      0.65
Credit Suisse AG/Nassau    7.25     2/20/2017    EUR     74.35
Credit Suisse AG/London    8.95    10/17/2019    USD      9.35
Lloyds Bank PLC            0.50     7/26/2021    BRL     65.29
RGS Nedvizhimost OOO      12.50     7/22/2021    RUB     60.06
Praim Finans OOO          12.50    11/10/2025    RUB    100.00
HSBC Bank PLC              0.50    12/22/2025    BRL     43.44
Soyuz AKB OAO             11.00    10/11/2018    RUB     60.06
IT Holding Finance SA      9.88    11/15/2012    EUR      0.24
Synergy PJSC              14.50     5/28/2020    RUB     61.01
IDGC of the North Cauca   13.00     4/22/2021    RUB     60.00



                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than US$3 per
share in public markets.  At first glance, this list may look
like the definitive compilation of stocks that are ideal to sell
short.  Don't be fooled.  Assets, for example, reported at
historical cost net of depreciation may understate the true value
of a firm's assets.  A company may establish reserves on its
balance sheet for liabilities that may never materialize.  The
prices at which equity securities trade in public market are
determined by more than a balance sheet solvency test.

Each Friday's edition of the TCR includes a review about a book
of interest to troubled company professionals.  All titles are
available at your local bookstore or through Amazon.com.  Go to
http://www.bankrupt.com/booksto order any title today.


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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.
Valerie U. Pascual, Marites O. Claro, Rousel Elaine T. Fernandez,
Joy A. Agravante, Julie Anne L. Toledo, Ivy B. Magdadaro, and
Peter A. Chapman, Editors.

Copyright 2017.  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 or Nina Novak at
202-362-8552.


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