TCREUR_Public/170529.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, May 29, 2017, Vol. 18, No. 105



AZERBAIJAN: S&P Affirms 'BB+/B' Sovereign Credit Ratings
INT'L BANK OF AZERBAIJAN: Fitch Lowers Long-Term IDR to RD


AGROKOR DD: Sberbank to Hold Debt Talks with Croatian Government


ACCOR SA: Fitch Puts EUR900MM Bond Rating on Watch Evolving
GM&S: Obtains Bankruptcy Protection Lifeline Until June 23


PROCREDIT BANK: Fitch Hikes Viability Rating to 'bb-'
SAPPI LIMITED: Moody's Alters Outlook to Pos. & Affirms Ba2 CFR


AVOCA CLO XI: S&P Assigns 'B-' Rating to Class F-R Notes
CONTEGO CLO IV: Moody's Assigns (P)B2 Rating to Class F Notes
JUBILEE CLO 2017-XVIII: Moody's Rates Class F Notes (P)B2
MOUNT WOLSELELY: Thomas Roeggla Emerges as Big Buyer for Hotel
QUIRINUS EUROPEAN NO. 23: S&P Cuts Rating on Class E Notes to 'D'


POPOLARE DI VICENZA: Italy Provides Guarantees for Liquidity
UNICREDIT SPA: Moody's Rates EUR1.25BB Additional AT1 Bond B1


BANK RBK: S&P Puts 'B-' LongTerm CCR on CreditWatch Negative


DRYDEN XXVII-R 2017: Moody's Assigns B2(sf) Rating to Cl. F Notes
INTERNATIONAL PARK: Moody's Assigns B2 Corporate Family Rating
JUBILEE CLO 2017-XVIII: Fitch Rates EUR12MM Class F Notes B-(EXP)


GLOBALWORTH REAL: S&P Assigns Prelim. 'BB+' CCR, Outlook Stable


ALFA-BANK: Moody's Affirms Ba2 Long-Term Debt & Deposit Ratings
VELES CAPITAL: S&P Affirms 'BB-/B' Ratings, Outlook Stable


FTA PYMES BANESTO 2: Fitch Affirms CC Rating on Class C Notes
RURAL HIPOTECARIO XI: Fitch Lifts Rating on Cl. C Notes From BB+


CLARIANT AG: Moody's Affirms Ba1 CFR, Outlook Developing


ZIRAAT KATILIM: Fitch Assigns BB+ Long-Term Issuer Default Rating


MYKHAILIVSKY BANK: Kyiv Court Cancels Liquidation
UKRAINE: Russian Government Seeks Interim Payment of Debt

U N I T E D   K I N G D O M

GEMGARTO 2015-1: Moody's Assigns B2(sf) Rating to Cl. X1 Notes
HEATHROW FINANCE: Fitch Rates GBP250MM HY Notes Issuance BB+(EXP)
PERFORM GROUP: S&P Lowers CCR to 'CCC+', Outlook Stable
VOYAGE CARE: Fitch Assigns BB- Rating to GBP215MM Secured Notes


* BOND PRICING: For the Week May 22 to May 26, 2017



AZERBAIJAN: S&P Affirms 'BB+/B' Sovereign Credit Ratings
S&P Global Ratings affirmed its long- and short-term foreign and
local currency sovereign credit ratings on the Republic of
Azerbaijan at 'BB+/B'.  The outlook for the long-term ratings on
the Republic of Azerbaijan remains negative.

As a "sovereign rating" (as defined in EU CRA Regulation 1060/2009
"EU CRA Regulation"), the ratings on the Republic of Azerbaijan
are subject to certain publication restrictions set out in Art 8a
of the EU CRA Regulation, including publication in accordance with
a pre-established calendar.  Under the EU CRA Regulation,
deviations from the announced calendar are allowed only in limited
circumstances and must be accompanied by a detailed explanation of
the reasons for the deviation.

In this case, the reason for the deviation is the announcement by
the International Bank of Azerbaijan of its intention to undertake
a restructuring of its debt whereby the government may directly
assume some obligations of the institution.  The next scheduled
rating publication on the sovereign rating of the Republic of
Azerbaijan will be on July 28, 2017.


On May 11, the International Bank of Azerbaijan (IBA) announced
its intention to undertake a debt restructuring to address its
weak financial position given the reported negative equity at
year-end 2016.  IBA is the largest bank in Azerbaijan, accounting
for an estimated 40% of system assets.  The affected debt totals
US$3.3 billion and includes several foreign trade financing
facilities, loans, and Eurobonds.  It also includes a US$1 billion
deposit at the IBA by SOFAZ, the country's sovereign wealth fund.
According to the proposals unveiled during an investor
presentation on May 23, the plan is to exchange most of these
instruments into sovereign bonds with a prolongation of maturities
and a haircut.  Creditors will also have an option to invest in
the new IBA seven-year bond.  S&P understands that none of the
debt included in the exchange had an explicit sovereign guarantee.
The final terms of the exchange will depend on the outcome of the
creditors' vote, which the authorities and IBA management expect
will take place in July.

S&P estimates that as a result of the exchange, the sovereign's
net general government debt could increase by about 9% of GDP--6%
of GDP due to the direct assumption of IBA's foreign liabilities
and another 3% of GDP from SOFAZ's deposit at IBA, which S&P now
excludes from its calculation of government liquid assets.  S&P
had already incorporated additional fiscal costs stemming from
IBA's weak financial position in S&P's forecast published in
January 2017.  That forecast assumed the government taking on an
additional 7.5% of GDP in debt in 2017 owing to IBA's asset
cleanup.  As such, S&P believes the current proposals lead to only
a modest increase in net debt compared to what it had previously

According to the official announcements, neither retail nor
corporate deposits of the bank will be affected by the
restructuring.  S&P therefore do not expect additional banking
sector instability, although there are downside risks to this

The ratings on Azerbaijan remain primarily supported by the
sovereign's strong fiscal position, underpinned by the large
foreign assets accumulated in the sovereign wealth fund SOFAZ.
S&P forecasts these will amount to about 80% of GDP at year-end
2017, and the sovereign will remain in a net asset position
averaging 40% of GDP over the four-year forecast horizon after
factoring in the additional debt assumed from the IBA debt

Nevertheless, Azerbaijan's net external asset position (external
assets net of external liabilities) is weakening and could decline
to a level insufficient to fully mitigate the risks from its
volatile export revenue base, constraining the government's
ability to respond to potential adverse shocks in the future.  S&P
currently projects a gradual improvement in external flows, which
should help arrest the decline in accumulated buffers.  However,
if that does not happen, pressure could emerge on the ratings.
This could result from a combination of weaker-than-projected oil
prices and delays in the Shah Deniz II gas project launch, among
other factors.

S&P's ratings on Azerbaijan remain constrained by weak
institutional arrangements as characterized by highly centralized
decision-making, which often lacks transparency and makes future
policy responses difficult to predict.  The ratings also remain
constrained by the limited effectiveness of monetary policy given
the underdeveloped local debt capital markets and high levels of


The negative outlook reflects the risks of the country's external
performance being weaker than in S&P's baseline forecast over the
next six to 12 months.

S&P could lower the ratings if:

   -- Contrary to S&P's expectations, IBA's debt exchange
      resulted in negative spillover effects, endangering the
      stability of the rest of the banking system;

   -- Balance of payments pressures do not recede as in S&P's
      baseline forecast, leading, for example, to a further
      decline in central bank or SOFAZ-accumulated reserves; or

  -- The government's fiscal flexibility is reduced, for
     instance because restraining expenditure becomes challenging
     for political reasons.

S&P could revise the outlook to stable if balance of payments
pressures abated while the country's growth prospects and domestic
banking system stability improved.

In accordance with S&P's relevant policies and procedures, the
Rating Committee was composed of analysts that are qualified to
vote in the committee, with sufficient experience to convey the
appropriate level of knowledge and understanding of the
methodology applicable.  At the onset of the committee, the chair
confirmed that the information provided to the Rating Committee by
the primary analyst had been distributed in a timely manner and
was sufficient for Committee members to make an informed decision.

After the primary analyst gave opening remarks and explained the
recommendation, the Committee discussed key rating factors and
critical issues in accordance with the relevant criteria.
Qualitative and quantitative risk factors were considered and
discussed, looking at track-record and forecasts.

The committee agreed that all key rating factors were unchanged.

The chair ensured every voting member was given the opportunity to
articulate his/her opinion.  The chair or designee reviewed the
draft report to ensure consistency with the Committee decision.
The views and the decision of the rating committee are summarized
in the above rationale and outlook.  The weighting of all rating
factors is described in the methodology used in this rating


                                        To             From
Azerbaijan (Republic of)
Sovereign Credit Rating
  Foreign and Local Currency            BB+/Neg./B     BB+/Neg./B
Transfer & Convertibility Assessment   BB+            BB+

INT'L BANK OF AZERBAIJAN: Fitch Lowers Long-Term IDR to RD
Fitch Ratings has downgraded International Bank of Azerbaijan's
(IBA) Long-Term Issuer Default Rating (IDR) to 'RD' (Restricted
Default) from 'CCC' and removed it from Rating Watch Evolving


The downgrade of IBA's IDRs to 'RD' follows the announcement of
the bank's restructuring plan, presented on May 23, 2017. The
proposed restructuring will represent a distressed debt exchange
(DDE) according to Fitch's criteria as it will impose a material
reduction in terms on certain senior, third-party creditors
through a combination of write-downs, tenor extensions and
interest rate reductions.

IBA expects to complete the restructuring following a creditors'
meeting in July 2017. However, Fitch has downgraded the ratings to
'RD' now as the bank ceased servicing the obligations, subject to
the restructuring, on May 10, 2017, and this period of non-
servicing will continue until the restructuring is complete. The
restructuring will affect USD2.2 billion of senior, third-party
non-government foreign-currency creditors, but will not apply to
deposits or to non-deposit local currency obligations.

The rating of IBA's USD500 million Eurobond, due in 2019, has been
affirmed at 'CCC'. This reflects Fitch's estimate that recoveries
on the bond are likely to fall in the 71%-90% range, which
corresponds to a Recovery Rating of '2' and maps to a 'CCC'
instrument rating for an issuer in default.

The affirmation of the Support Rating at '5' and the revision of
IBA's Support Rating Floor (SRF) to 'No Floor' reflect Fitch's
view that although the sovereign had provided support to IBA, it
was insufficient to prevent IBA's default.


Fitch expects to review and upgrade the bank's Viability Rating
and IDRs once the restructuring is complete and sufficient
information is available on the bank's post-restructuring credit

The rating actions are:

Long-Term IDR: downgraded to 'RD' from 'CCC', off RWE
Short-Term IDR: downgraded to 'RD' from 'C', off RWE
Viability Rating: 'f', unaffected
Support Rating: affirmed at '5', off Rating Watch Positive
Support Rating Floor: revised to 'No Floor' from 'CCC', off RWE
Senior unsecured debt: affirmed at 'CCC', off RWE; Recovery
Rating upgraded to 'RR2' from 'RR4'


AGROKOR DD: Sberbank to Hold Debt Talks with Croatian Government
Kira Zavyalova at Reuters reports that Russia's biggest bank
Sberbank will provide no new financing for indebted food and
retail company Agrokor until the lender has reached an
understanding with the Croatian government.

Sberbank is a major creditor to Agrokor, the biggest employer in
the Balkans, which is battling to avoid collapse after running up
multibillion-dollar debts, Reuters notes.

According to Reuters, in a move to avert the bankruptcy of
country's largest private company, the Croatian government in
April appointed a crisis manager at Agrokor to oversee a debt
restructuring, adopting emergency legislation to contain the

Sberbank CEO German Gref, as cited by Reuters, said cooperation
with the Croatian government had so far been "not simple".

"You shouldn't adopt a law which deprives creditors of their
rights post factum."

He said Sberbank planned to hold talks with the Croatian
government this week, Reuters relays.

Sberbank previously said it was ready to go to court if necessary
to recover more than EUR1 billion (US$1.12 billion) it had given
to Agrokor in loans, Reuters recounts.

"If they (the Croatian government) took on responsibility for the
running of the company, then they should also take on
responsibility for its debts.  Let them give a sovereign guarantee
for those debts," Reuters quotes Mr. Gref as saying.

"If they aren't ready to do that, then that means they should
return to normal market practice."

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$7 billion).

                            *   *   *

The Troubled Company Reporter-Europe reported on May 10, 2017
that S&P Global Ratings lowered its corporate credit rating on
Agrokor d.d. to SD/--/SD (SD: selective default) from
CC/Negative/C. S&P lowered its issue rating on the
three series of Company's senior unsecured notes to 'D' from

S&P understands that, on May 1, 2017, Agrokor missed a coupon
payment on its EUR300 million senior secured notes due 2019.  On
April 6, 2017, Croatia enacted a law -- "Law on Procedures for
Extraordinary Management in Companies of Systematic
Significance" -- that restricts Agrokor from making any interest
or principal payments on its debt over the next 12 months.  Under
the standstill agreement, Agrokor signed with its main lenders,
its bank debt payments are currently frozen.  Under S&P's
criteria, it considers all the above to be tantamount to a
default, because S&P does not expect Agrokor to be able to make a
payment within the grace period of 30 days.

The TCR-Europe on April 17, 2017, reported that Moody's Investors
Service has downgraded Agrokor D.D.'s corporate family rating
(CFR) to Caa2 from Caa1 and its probability of default rating
(PDR) to Ca-PD from Caa1-PD. The outlook on the company's ratings
remains negative.  "Our decision to downgrade Agrokor's rating
reflects its filing for restructuring under Croatian law, which
in Moody's views makes a default highly likely," Vincent Gusdorf,
a Vice President -- Senior Analyst at Moody's, said.  "It also
takes into account uncertainties around the restructuring
process, as creditors' ability to get their money back hinges on
numerous factors that will become apparent over time."


ACCOR SA: Fitch Puts EUR900MM Bond Rating on Watch Evolving
Fitch has placed Accor SA's (Accor) Long-Term Issuer Default
rating (IDR) and senior unsecured rating of 'BBB-' on Rating Watch
Evolving (RWE).

Turning HotelInvest (HI) into a subsidiary and selling a majority
stake will effectively make Accor a truly asset-light hotel
operator, generating recurrent management contract and franchise
fees. At present, Fitch expects the balance of risks to be skewed
to a positive rating action, with either an affirmation at 'BBB-'
with a Positive Outlook, or an upgrade to 'BBB' upon completion of
the split and HI sale process. Management has not yet announced
clear parameters defining the company's financial policies post-
deconsolidation of HI. Therefore Fitch will resolve its RWE once
it has a clearer understanding of the company's financial targets.
Fitch views Accor's strong commitment to an investment-grade
rating as credit-positive, but the RWE signals the risks, albeit
small currently, that a large portion of disposal proceeds may be
used for shareholder remuneration, keeping leverage high over the
rating horizon.

Accor's profitability should be more resilient by virtue of the
recurring profit stream derived from management contracts, despite
its increasing exposure to luxury hotels which are inherently


HotelInvest Deconsolidation: Accor plans to sell a majority stake
in HotelInvest (HI) to third parties and deconsolidate HI, but the
percentage could range from 51% to 80%. If Accor reduces its stake
in HI to a minority share, Fitch would deconsolidate HI from the
group and add back the pro rata dividends from the HI business.
This could be positive for Accor's credit profile, mainly due to a
reduction in lease expenses, cash-flow volatility and capital
intensity. Accor will complete turning HI into a subsidiary in
June, and expects the deconsolidation to be effective at the
subsequent sale of a majority stake.

HI would have EUR2.0 billion term loans and a EUR1.6 billion
available credit facility for financing future capex. The project
to turn HI into a new legal entity will accelerate the group's
"twin track" strategy, eventually shifting the risks and rewards
associated with property ownership to investors who prefer real

More Resilient Asset-light Business: The remaining Accor's
business model post-split will become less capital-intensive with
mainly fee-based businesses in management and franchise contracts
under HotelServices, and increasingly less reliant on HI. Over
time, HI's importance within Accor's room portfolio will be
reduced as HI plans to dispose some of its assets, representing
around 25% of its room portfolio. The asset-light model will
mirror that of US lodging groups. The recurrent fee nature helps
to mitigate revenue and EBITDA volatility during a period of sharp
occupancy rate declines, which could occur should security
concerns re-emerge in Europe.

High Leverage to Moderate: Fitch estimates that Accor's FFO gross
adjusted leverage will increase temporarily in 2017 after
excluding discontinued operations. However, Fitch expects low FFO
net adjusted leverage because of a high cash balance after the
sale of HI. The overall leverage metrics with lower lease
liabilities would clearly improve compared to those metrics prior
to the separation. The level of cash left in the business, which
Fitch would consider readily available for debt service instead of
being earmarked for acquisitions or shareholder remuneration will
be critical as Fitch expects initially a wide gap between gross
and net leverage metrics (above 5.5x/1.8x respectively for 2017).

If Accor pursues a conservative financial structure post-split,
and uses the proceeds from the sale of its majority stake in HI
for debt servicing or for value-accretive acquisitions to solidify
its already solid business risk profile and enable leverage to
trend to 3.0- 3.5x by end-2020, this will lead to at least one-
notch upgrade to 'BBB'.

Stronger Position in Luxury Segment: Fitch considers Accor's
strategy of moving more upmarket will make its business model more
competitive relative to disruptive hospitality operators. Premium
and upscale hotel guests (both business and leisure) are generally
willing to pay for high-quality services which Airbnb does not
offer. In 1Q17 Accor's revenue exposure to the luxury and upscale
segment increased to 44% of total on a HotelServices standalone
basis, from 26% in 2016. While Fitch views the luxury hotel
business as typically more exposed to industry downturns than the
mid-range and budget segments, Accor will decrease its
vulnerability due to the lower share of fixed costs in managing

Security Concerns in France: Fitch expects security concerns to
remain in place over the near term, which will put pressure on
both Accor's ARR (average room rate) and its occupancy rate. Fitch
expects some recovery in RevPar (revenue per available room) to be
moderate in 2017. During 2016 the number of nights spent in hotels
by foreign tourists fell by 10.8% and the RevPar in Paris fell by
double digits. Nevertheless, Accor's LfL (like-for-like) revenue
in France was mitigated by its asset-light model.

Value-Accretive Acquisitions: Fitch expects Accor will remain very
active in small-sized strategic acquisitions in digital,
alternative accommodation and premium service businesses. Accor
has announced a total of EUR150 million in acquisitions year-to-
date at a reasonable average EV/EBITDA multiple of 9x.

Potential Credit Impact: Fitch expects Accor to use part of the
proceeds from the sale of HI for bolt-on acquisitions and part of
the proceeds for shareholder returns. The ultimate credit impact
will depend on the size of shareholder returns relative to the
sale of HI, the final set-up of the group and the future financial
structure and policy. Fitch expects the downside risk to be
limited in Fitch projections, given the group's strong commitment
to its rating, less cyclical asset-light model, and its growing
FFO and FCF through expansion.


Accor's 'BBB-' is well positioned relative to European competitors
Melia Hotels International and NH Hotel Group SA (B/Positive) on
each major comparative. It has a slightly weaker competitive
position than major global peers like Marriott (BBB/Positive) and
Intercontinental Hotel Group (not rated), based on number of rooms
and geographical diversification. It has a reasonable financial
profile, although not as strong as asset-light and FCF cash-
generative groups such as Marriott.


Fitch's key assumptions within Fitch ratings case for the issuer

- room increases, rather than occupancy, remain the key driver
   for revenue growth over the next two years;
- Fitch expects group profitability to improve after the
   deconsolidation of HI;
- Fitch projects a moderate recovery in France beginning in 2H17
   and in Brazil in 2018;
- cash tax of EUR300 million from the sale of HI over 2017 and
- annual synergies of EUR65 million from the acquisition of
   Fairmont Raffles Hotels (FRHI) to be achieved in 2019 as per
   management guidance;
- disposal of 55% of HI and the use of proceeds for value-
   accretive acquisitions and shareholder returns;
- dividend policy remains unchanged;
- moderately improving working capital variation from 2017 in a
   pure asset-light model;
- equity credit of 50% given for EUR900 million (EUR887 million
   book value) subordinated hybrid perpetual bond.


Future Developments That May, Individually or Collectively, Lead
to Positive Rating (BBB) Action

- Fitch FFO lease adjusted gross leverage (adjusted for variable
   leases ) below 4.0x (2016: 3.8x) and lease-adjusted net debt
   /EBITDAR ((adjusted for variable leases) ratio below 3x on a
   sustained basis (2016: 4.6x)

- Lease-adjusted EBITDAR/gross interest plus rents ratio of
   above 2.5x (2016: 2.8x)

- Sustained positive free cash flow (FCF) (2016: positive EUR115

Future Developments That May, Individually or Collectively, Lead
to Negative Rating (BB+) Action

- A sharp contraction in profitability leading to group EBIT
   margin below 7%, which is highly unlikely for a pure asset-
   light mode;

- FFO adjusted gross leverage (adjusted for variable leases)
   above 5.0x and lease adjusted net debt/ EBITDAR (adjusted for
   variable leases) above 4.5x on a sustained basis

- Lease-adjusted EBITDAR/gross interest plus rents of below 2.0x
- Sustained negative free cash flow (FCF)


Strong Liquidity: The group continues to retain high financial
flexibility for its rating. The Company obtained the consent of
the lenders of the revolving credit facility whose amount will be
reduced from EUR1.8 billion to EUR1.2 billion upon the completion
of the separation. At end-2016, Accor had EUR1.1 billion of
readily available cash which will be sufficient to cover EUR732
million short-term debt, and Fitch-projected EUR39m positive FCF
in 2017.

Fitch have excluded 5% of Accor's cash and cash equivalents as
restricted cash which are cash in Accor's subsidiaries outside
OECD countries. Fitch estimates that Accor's wide geographic
presence greatly limits the business seasonality and Accor cash
balance should not be affected by working capital movements.


Accor SA
-- Long-Term IDR: 'BBB-' placed on RWE
-- Short-Term IDR: 'F3' placed on RWE
-- Senior unsecured long-term rating: 'BBB-' placed on RWE
-- EUR900 million subordinated hybrid perpetual bond: 'BB'
    on RWE

GM&S: Obtains Bankruptcy Protection Lifeline Until June 23
Simon Warburton at reports that troubled
French supplier, GM&S has been granted a bankruptcy protection
lifeline until June 23 as judges have allowed it to continue the
search for a new buyer.

GM&S' La Souterraine factory in the French region of Creuse,
produces stamping parts for Renault and PSA, with both automakers
being "asked" last week by new Minister of Economy, Bruno Le Maire
to guarantee a combined EUR7 million (US$8 million) of extra
orders to bring the total turnover to EUR22 million, relates.

According to, despite the supplier only employing
around 300 staff, its knife edge situation has triggered enormous
coverage in France, where its fate is widely regarded as an early
litmus test of newly-elected President Emmanuel Macron's
industrial policy.

Mr. Macron has barely crossed the threshold of the Elysee Palace
and only just appointed Edouard Philippe as Prime Minister, but
GM&S' plight has shot to the top of his industrial in-tray,
leading the Economy Minister to issue his "request" Renault and
PSA inject further orders into the struggling stamper, relays.

Both automakers remained coy as to whether Le Maire's request was
advisory or compulsory or as to whether the European Commission
might have a view on his intervention, but as a shareholder in
both manufacturers, it may be Paris feels it is within its
jurisdiction to act in the way it has, states.

"The period of observation of bankruptcy protection will be
renewed," a Tribunal de Commerce de Poitiers spokeswoman told from France.

Offers are invited to be submitted by June 7 after which the
Tribunal will deliver its final decision on June 23 in Poitiers, discloses.

The breathing space will come as a relief to the Confederation
Generale du Travail (CGT) union, which told it was
prepared to detonate gas cylinders attached to a tower at the
factory, while machinery has already been destroyed using welding


PROCREDIT BANK: Fitch Hikes Viability Rating to 'bb-'
Fitch Ratings has affirmed ProCredit Holding AG & Co. KGaA's (PCH)
Long-Term Issuer Default Rating (IDR) at 'BBB' with a Stable
Outlook. The agency has also affirmed the IDRs of six subsidiary
banks in Albania, Bosnia & Herzegovina, Germany, Kosovo, Macedonia
and Serbia. Fitch has upgraded the Viability Rating (VR) of the
subsidiary in Serbia to 'bb-' from 'b+' and downgraded the VR of
the Macedonian subsidiary to to 'b+' from 'bb-'.


PCH's IDRs and Support Rating are driven by Fitch's view of the
potential support it can expect to receive from its core
international financial institution (IFI) shareholders: KfW
(AAA/Stable), IFC and DOEN Foundation (end-2016: combined stake of
39.3%). Apart from the three IFIs, Fitch views Zeitinger Invest
(formerly IPC) and ProCredit Staff Invest as core shareholders in
PCH. These entities have strategic control over the group, through
their status as general partners within the KGaA structure.

Fitch's view of support is based on the long-term and strategic
commitment of the IFI shareholders, as highlighted by their role
within PCH's structure, the alignment of their own missions of
development finance with that of PCH, and a record of debt and
capital support (including the equity injection completed in late
2016) to PCH and its subsidiary banks.

PCH's 'bb-' VR reflects the group's exposure to difficult emerging
market environments, the relatively narrow franchises of the
subsidiary banks in their respective jurisdictions (with some
exceptions, most notably PCBK in Kosovo) and the inherent credit
risks in PCH's business model based on lending to SMEs. Following
the equity injection completed ahead of the listing on the
Frankfurt Stock Exchange, the group's capitalisation has improved
significantly. Fitch Core Capital (FCC) increased to 13.7% at end-
2016, from 10.95% at end-2015, although at these levels, it
remains moderate relative to the risks the group faces given its
exposure to weaker operating environments.

PCH's VR also reflects strong corporate governance and risk
management across the group, underpinned by supervision by the
German Banking Regulator (BaFin) of the consolidated PCH group,
and by solid management. The group has a record of asset quality
that consistently exceeds the markets in which it operates, and
its financial performance has been stable and resilient through
the cycle.

The group applies a conservative definition of impaired loans
compared with peers. Apart from usual qualitative triggers, PCH
applies a quantitative trigger for impairment at 30 days past due,
compared with a standard 90 days. It reported impaired loans of
6.3% of gross loans at end-2016. The coverage of impaired loans
with specific reserves was modest at around 43%, partly reflecting
the highly collateralised profile of the loan book. Substantial
IBNR reserves bring the overall provision coverage to a more
adequate 66% at end-2016. The coverage of loans more than 30 days
past due was above 100% at end-2016.

Pressure on revenues from a tightening net interest margin -
reflecting both the exit from higher-margin micro lending and the
low interest rate environment - has been gradually offset by
efficiency gains. 6The group's profitability in 2016 was
additionally supported by low impairment charges of around 50bp of
average gross loans (2015: around 100bp) and, as in 2015, by
profits from discontinued operations.

The group is on track with its strategy to exit micro-lending
(loan exposures of below EUR30,000) and reduce its presence in
Central America. Subsidiaries in Bolivia and Mexico were sold in
2016 and operations in El Salvador and Nicaragua are reported as
assets held for sale. Lending to SMEs remains key to the group's
strategy, and operations now focus on 14 banking subsidiaries in
south-eastern Europe (70% of the loan book at end-2016), eastern
Europe (20%), South America (8%; operations in Colombia and
Ecuador) and Germany (2%). Liquidity is well-managed across the
group, and adequate reserves are held to cover potential liquidity
needs from subsidiary banks in case of stress.


The IDRs and Support Ratings of ProCredit Bank Sh.a. (PCBA,
Albania), ProCredit Bank d.d. Sarajevo (PCBiH, Bosnia), ProCredit
Bank AG (PCBDE, Germany), ProCredit Bank Sh.a. Kosovo (PCBK)
ProCredit AD Skopje (PCBM, Macedonia) and ProCredit Bank ad
Beograd (PCBS, Serbia) are underpinned by the likelihood of
support from their parent, PCH. In assessing support, Fitch views
positively the full ownership of the subsidiaries, the strategic
importance of south-eastern Europe to PCH, the potential negative
implications of a subsidiary default for the group, the strong
integration of the subsidiaries within the group and a record of
capital and liquidity support.

The IDRs of ProCredit Bank ad Beograd (PCBS) are also underpinned
by its 'bb-' VR.

The extent to which support can be factored into the ratings of
the five south-eastern European subsidiaries is constrained by
Fitch's assessment of country risks in the jurisdictions in which
they operate. Absent of country risk constraints, Fitch would be
likely to maintain a one-notch differential between the ratings of
the south-eastern European subsidiaries and PCH.

PCBM and PCBS's Long-Term Foreign-Currency IDRs are constrained by
the respective Country Ceilings (Macedonia: BB+, Serbia: BB-).
PCBA, PCBiH and PCBK's Long-Term Foreign-Currency IDRs reflect
Fitch's assessment of transfer and convertibility risks in
Albania, Bosnia & Herzegovina and Kosovo, respectively. The Long-
Term Local-Currency IDRs of the five banks are also constrained by
country risks.

The equalisation of PCBDE's IDRs with those of PCH reflects
Fitch's view of a high likelihood of parental support. This view
is based primarily on the bank's treasury role within the group
and a strong legal commitment in the form of a profit and loss
sharing agreement, which obliges PCH to replenish PCBDE's equity
should the latter suffer a loss.

The Outlook on PCBM's Long-Term IDRs is Negative, reflecting that
on the sovereign's ratings. The Stable Outlooks on the other
south-eastern European banks reflect the sovereign Outlook, where
assigned (Serbia), or Fitch's assessment of the balance of risks
on the sovereign credit profile in other markets.


The upgrade of PCBS's VR to 'bb-' from 'b+' reflects the further
strengthening of its capitalisation, with the FCC ratio rising to
20% at end-2016 (2015: 18%) and an extended record of positive
internal capital generation and resilient asset quality.

The downgrade of PCBM's VR to 'b+' from 'bb-' reflects Fitch's
reassessment of risks relating to the operating environment in
Macedonia and the bank's financial metrics relative to other banks
in the PCH group.

The VRs of the five banks reflect, to varying degrees, the high
risks from their operating environment, making their performance
vulnerable to potential domestic market shocks, which cannot be
fully mitigated by the application of conservative group risk
management policies. For PCBA and PCBiH, the VRs also reflect the
banks' small franchises and limited scale, which in turn act as
constraints on performance and internal capital generation.

PCBK is one the largest banks in Kosovo (23% market share by total
assets at end-2016) and its large franchise affords it the benefit
of economies of scale. Internal capital generation at PCBK has
been stable through the cycle, and has supported capital ratios at
solid levels (FCC of 16.3% at end-2016), despite regular dividend
payments to PCH. PCBM and PCBS's stable performance has been
supported by a wide, albeit tightening, net interest margin (NIM),
economies of scale, loan book growth and, in the case of PCBS, low
loan impairment charges,

PCBiH's small scale and franchise limitations resulted in the bank
barely breaking even at a pre-impairment operating level in 2016.
PCBiH's loan impairment charges fell in 2016 compared with 2015,
when the bank incurred additional charges following implementation
of a more conservative collateral valuation policy, but impaired
loans based on local regulatory definitions were still a
significant 15.6%. The agency views the bank's FCC of 13.3% at
end-2016 as modest, given the bank's weak internal capital
generation, significant net NPLs and a difficult operating
environment. The bank is dependent on regular capital support from

PCBA's VR also reflects asset quality and financial performance
that have been weaker than most regional peers in the PCH group.
The bank's FCC ratio of 16.4% at end-2016 is only moderate, given
the challenging operating environment and the bank's asset quality
(NPLs of 11.6% at end-2016).

All the subsidiary banks' VRs benefit from PCH's participation, in
terms of strong corporate governance and risk management
frameworks, and from track records of asset quality that have
outperformed their respective domestic banking sectors.

Fitch does not assign a Viability Rating to PCBDE because the bank
does not have a meaningful standalone franchise, and its
operations rely strongly on integration within the broader group.


PCBDE's Deposit Ratings are aligned with the bank's IDRs. Fitch
has not given any Deposit Rating uplift because in Fitch's view,
the bank's qualifying debt buffers would not afford any obvious
additional benefit over and above the support benefit already
factored into the bank's IDRs, even if they reach a sufficient
size in future.


A change in Fitch's view of the support available to PCH, for
example, due to the exit of one or more core shareholders, or a
change in their support stance, could be negative for PCH's IDRs.
However, the Stable Outlook reflects Fitch's view that the
propensity and ability of PCH's owners to provide support are
unlikely to change in the near to medium term. PCBDE's ratings are
likely to move in tandem with those of PCH.

Changes in Fitch's perception of country risks in the five south-
eastern European markets could result in changes to the subsidiary
banks' IDRs. The Negative Outlook on PCBM reflects the greater
risk of a downgrade, driven by the Negative Outlook on the

Upside for PCH's VR could result from an improvement in the
operating environments of the jurisdictions where the group has a
presence. A marked deterioration in asset quality and
capitalisation would be negative for the VR.

The subsidiary banks' VRs could be downgraded in the event of a
material worsening of their respective operating environments or
if a sharp deterioration in asset quality puts pressure on
profitability and capitalisation. Upside potential is currently
limited for the VRs given the challenges of their local operating
environments and in most cases limited franchises.

SAPPI LIMITED: Moody's Alters Outlook to Pos. & Affirms Ba2 CFR
Moody's Investors Service has changed the outlook on Sappi
Limited, as well as its guaranteed subsidiary Sappi Papier Holding
GmbH, to positive from stable. Concurrently, Moody's has also
affirmed Sappi's corporate family rating (CFR) of Ba2, its
probability of default rating (PDR) of Ba2-PD, as well as
instruments ratings for instruments issued by Sappi Papier Holding
GmbH, namely the Ba2 rating on the senior unsecured global notes
due 2022 and 2023 as well as senior unsecured credit facilities
due 2020 and the B1 rating on the senior unsecured global notes
due 2032.

"The outlook change to positive reflects Sappi building a further
track record of solid operational results slightly ahead of
Moody's expectations as well as Sappi's management taking steps to
strengthen the company's balance sheet", says Martin Fujerik,
Moody's lead analyst for Sappi. "Sappi is currently strongly
positioned in the Ba2 category. An upgrade would require further
clarity on initiatives of Sappi's 2020Vision and further track
record of maintaining the strengthened balance sheet while
undertaking those initiatives, in addition to continuing to
deliver solid operational performance even in a potentially less
buoyant dissolving wood pulp (DWP) market", adds Mr. Fujerik.


The action recognizes further improvements in Sappi's credit
metrics, which have by now even exceeded the rating agency's
expectation for a Ba2 rating, such as Moody's adjusted EBITDA
margin of 16.3% or debt/EBITDA of 2.6x for the period of the last
12 months to March 2017. The leverage calculation is pro-forma for
the repayment of the USD400 million bond that was repaid from cash
in April 2017, which will going forward benefit interest cover and
cash flow generation, as the bond carried a fairly expensive
coupon of 7.75%.

The improvements in credit metrics have been driven by a marked
improvement in operating profits for the third consecutive year
against the backdrop of declining demand and sales volumes in
graphic paper, driven by (1) cost containment initiatives
resulting in improved fixed and variable costs; and (2) rising
proportion of more profitable specialty packaging paper and DWP
businesses which have both enjoyed strong momentum in terms of
demand and pricing over the last two years, DWP in particular.

However, before Moody's considers an upgrade, Sappi needs to
demonstrate that it can sustain such strong metrics even in a less
beneficial operating environment with lower average DWP prices
this year compared to 2016, as well as financial discipline while
undertaking projects to diversify further from the graphic paper.

In order to address the structural decline in demand for graphic
paper, Sappi has formulated its strategy 2020Vision. This focuses
on reducing its dependence on graphic paper through
rationalization of the gradually declining graphic paper business
including selective transitioning to specialty paper grades. In
addition, moderate growth investments and acceleration of growth
in specialty packaging paper, biomaterials, biochemical and
expansion of its DWP portfolio will add to Sappi's increasing

That vision will require sizeable investments in the next 4-5
years, which could take form of capex spending as well as bolt-on
M&A activities. However, management remains committed to undertake
those investments without compromising its balance sheet,
committing to maintain its reported net debt/EBITDA below 2.0x
(1.7x for the last 12 months to March 2017 period), or exceed it
only for a short period of time when a larger project is

At this point, Sappi guides investors that it will spend around
USD350 million capex in the financial year-end September 2017
(FYE2017) and around USD400 million capex in both FYE2018 and
FYE2019, which should be comfortably covered from its internally
generated operating cash flows. These figures include two recently
announced investments in specialty packaging businesses: USD140
million in four European mills and USD165 million in the US based
Somerset mill. A potential rating upgrade would also require
further clarity on initiatives under the 2020Vision.


Further upward rating pressure could occur if Sappi continues to
successfully manage the structural demand decline and pricing
pressures in coated fine paper while gradually improving the
diversification of its business profile towards growing and more
profitable paper grades, as reflected by RCF/debt maintained
sustainably above 20% and EBITDA margins above 15%. In addition,
the rating agency would expect to see a more permanent improvement
in Sappi's Moody's adjusted leverage towards below 3.0x in terms
of debt/EBITDA before considering a rating upgrade.

The ratings could experience downward pressure over the coming
quarters in case of material weakening of profitability, or the
inability to sustain current credit metrics, reflected in EBITDA
margins sustainably declining towards low double-digit in
percentage terms, RCF/ Debt towards mid-teens in percentage terms,
or debt/EBITDA towards 4.0x. In addition, the rating could come
under pressure in case Sappi makes sizable debt-funded acquisition
resulting in a more permanent deterioration of its credit metrics.

The principal methodology used in these ratings was Global Paper
and Forest Products Industry published in October 2013.

Headquartered in Johannesburg, South Africa, Sappi is among
leading global producers of coated fine paper and dissolving wood
pulp with group sales of USD5.1 billion in FYE2016. The company
also owns and manages various plantations totaling around 500,000
hectares in Southern Africa, that supply over 75% of Sappi South
Africa's wood requirements.


AVOCA CLO XI: S&P Assigns 'B-' Rating to Class F-R Notes
S&P Global Ratings assigned its credit ratings to Avoca CLO XI
DAC's class X, A-R, B-1R, B-2R, B-3R, C-1R, C-2R, D-R, E-R, and F-
R notes.  The unrated subordinated notes initially issued were not
redeemed at closing and remain outstanding, with an extended
maturity to match the newly issued notes.

The ratings assigned to the 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

   -- The collateral manager's experienced team, which can affect
      the performance of the rated notes through collateral
      selection, ongoing portfolio management, and trading.  The
      transaction's legal structure, which S&P considers to be
      bankruptcy remote.

   -- The transaction's counterparty risk.

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

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

The transaction's legal structure is bankruptcy remote, in line
with S&P's legal criteria.

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

Avoca CLO XI is a European cash flow corporate collateralized loan
obligation (CLO) securitization of a revolving pool, comprising
euro-denominated senior secured loans and bonds issued mainly by
European borrowers. KKR Credit Advisors (Ireland) Unlimited Co. is
the collateral manager


EUR523.80 Million Senior Secured And Deferrable Fixed- And
Floating-Rate Notes (Including Subordinated Notes)

Class                   Rating          Amount
                                      (mil. EUR)

X                       AAA (sf)           3.0
A-R                     AAA (sf)         300.0
B-1R                    AA (sf)           20.0
B-2R                    AA (sf)           27.0
B-3R                    AA (sf)           13.0
C-1R                    A (sf)            21.0
C-2R                    A (sf)            15.0
D-R                     BBB (sf)          23.0
E-R                     BB (sf)           27.5
F-R                     B- (sf)           15.8
Sub. notes              NR                58.5

NR--Not rated.

CONTEGO CLO IV: Moody's Assigns (P)B2 Rating to Class F Notes
Moody's Investors Service assigned the following provisional
ratings to notes to be issued by Contego CLO IV Designated
Activity Company:

-- EUR211,800,000 Class A Senior Secured Floating Rate Notes due
    2030, Assigned (P)Aaa (sf)

-- EUR31,600,000 Class B1 Senior Secured Floating Rate Notes due
    2030, Assigned (P)Aa2 (sf)

-- EUR10,000,000 Class B2 Senior Secured Fixed Rate Notes due
    2030, Assigned (P)Aa2 (sf)

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

-- EUR16,200,000 Class D Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned (P)Baa2 (sf)

-- EUR22,400,000 Class E Senior Secured Deferrable Floating Rate
    Notes due 2030, Assigned (P)Ba2 (sf)

-- EUR11,400,000 Class F 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.


Moody's provisional rating of the rated notes addresses the
expected loss posed to noteholders by 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, Five Arrows Managers
LLP ("Five Arrows"), has sufficient experience and operational
capacity and is capable of managing this CLO.

Contego CLO IV Designated Activity Company is a managed cash flow
CLO. At least 90% of the portfolio must consist of secured senior
obligations and up to 10% of the portfolio may consist of senior
unsecured obligations, second-lien loans, high yield bonds and
mezzanine obligations. The portfolio is expected to be
approximately 67% ramped up as of the closing date and to be
comprised predominantly of corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the three month ramp-up period in compliance with the
portfolio guidelines.

Five Arrows, a Rothschild Group company, 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 improved and credit
impaired obligations, and are subject to certain restrictions.

In addition to the six classes of notes rated by Moody's, the
Issuer will issue EUR37,500,000 of subordinated notes. Moody's
will not assign ratings to this class of notes.

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. Five Arrows' 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.

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

Par Amount: EUR350,000,000

Diversity Score: 36

Weighted Average Rating Factor (WARF): 2700

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4%

Weighted Average Recovery Rate (WARR): 44.5%

Weighted Average Life (WAL): 8,5 years

As part of the base case, Moody's has addressed the potential
exposure to obligors domiciled in countries with local currency
country risk ceiling (LCC) of A1 or below. As per the portfolio
constraints, exposures to countries with local currency country
risk ceiling ratings of A1 or below cannot exceed 10%, with
exposures to countries local currency country risk ceiling ratings
of Baa1 to Baa3 further limited to 5%. As a worst case scenario, a
maximum 5% of the pool would be domiciled in countries with LCC of
A3 and 5% in countries with LCC of Baa3. The remainder of the pool
will be domiciled in countries which currently have a LCC of Aa3
and above. Given this portfolio composition, the model was run
with different target par amounts depending on the target rating
of each class of notes as further described in the methodology.
The portfolio haircuts are a function of the exposure size to
peripheral countries and the target ratings of the rated notes and
amount to 0.75% for the Class A Notes, 0.50% for the Class B
Notes, 0.375% for the Class C Notes and 0% for Classes D, E and F

Stress Scenarios:

Together with the set of modelling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the provisional 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 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 3105 from 2700)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: 0

Class B1 Senior Secured Floating Rate Notes: -1

Class B2 Senior Secured Fixed Rate Notes: -1

Class C Senior Secured Deferrable Floating Rate Notes: -1

Class D Senior Secured Deferrable Floating Rate Notes: -1

Class E Senior Secured Deferrable Floating Rate Notes: 0

Class F Senior Secured Deferrable Floating Rate Notes: 0

Percentage Change in WARF: WARF +30% (to 3510 from 2700)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: -1

Class B1 Senior Secured Floating Rate Notes: -3

Class B2 Senior Secured Fixed Rate Notes: -3

Class C Senior Secured Deferrable Floating Rate Notes: -3

Class D Senior Secured Deferrable Floating Rate Notes: -2

Class E Senior Secured Deferrable Floating Rate Notes: -1

Class F Senior Secured Deferrable Floating Rate Notes: -1

Methodology Underlying the Rating Action:

JUBILEE CLO 2017-XVIII: Moody's Rates Class F Notes (P)B2
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Jubilee CLO
2017-XVIII B.V.:

-- EUR240,000,000 Class A Senior Secured Floating Rate Notes due
    2030, Assigned (P)Aaa (sf)

-- EUR50,000,000 Class B Senior Secured Floating Rate Notes due
    2030, Assigned (P)Aa2 (sf)

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

-- EUR21,500,000 Class D Deferrable Mezzanine Floating Rate
    Notes due 2030, Assigned (P)Baa2 (sf)

-- EUR24,500,000 Class E Deferrable Junior Floating Rate Notes
    due 2030, Assigned (P)Ba2 (sf)

-- EUR12,000,000 Class F Deferrable Junior 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 endeavor to
assign definitive ratings. A definitive rating (if any) may differ
from a provisional rating.


Moody's provisional rating of the rated notes addresses 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, Alcentra Limited
("Alcentra"), has sufficient experience and operational capacity
and is capable of managing this CLO.

Jubilee CLO 2017-XVIII B.V. is a managed cash flow CLO. At least
90% of the portfolio must consist of senior secured loans and
senior secured bonds and up to 10% of the portfolio may consist of
unsecured obligations, second-lien loans, mezzanine loans and high
yield bonds. The bond bucket gives the flexibility to Jubilee CLO
2017-XVIII B.V. to hold bonds if Volcker Rule is changed. The
portfolio is expected to be approximately 75% ramped up as of the
closing date and to be comprised predominantly of corporate loans
to obligors domiciled in Western Europe.

Alcentra 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

In addition to the six classes of notes rated by Moody's, the
Issuer will issue EUR45.4m of subordinated notes, which will not
be rated.

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

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. Alcentra's 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: EUR400,000,000

Diversity Score: 37

Weighted Average Rating Factor (WARF): 2750

Weighted Average Spread (WAS): 3.90%

Weighted Average Recovery Rate (WARR): 42%

Weighted Average Life (WAL): 8.0 years

As part of its analysis, Moody's has addressed the potential
exposure to obligors domiciled in countries with a local currency
country risk ceiling (LCC) 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 5% of the pool would be
domiciled in countries with A3 and a maximum of 5% of the pool
would be domiciled in countries with Baa3 local currency country
ceiling each. The remainder of the pool will be domiciled in
countries which currently have a local currency country ceiling of
Aaa or Aa1 to Aa3. Given this portfolio composition, the model was
run with different target par amounts depending on the target
rating of each class as further described in the methodology. The
portfolio haircuts are a function of the exposure size to
peripheral countries and the target ratings of the rated notes and
amount to 0.75% for the Class A notes, 0.50% for the Class B
notes, 0.38% for the Class C notes and 0% for Classes D, E, and F.

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 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 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 3163 from 2750)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: 0

Class B Senior Secured Floating Rate Notes: -2

Class C Deferrable Mezzanine Floating Rate Notes: -2

Class D Deferrable Mezzanine Floating Rate Notes.-1

Class E Deferrable Junior Floating Rate Notes: 0

Class F Deferrable Junior Floating Rate Notes: 0

Percentage Change in WARF: WARF +30% (to 3575 from 2750)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: -1

Class B Senior Secured Floating Rate Notes: -3

Class C Deferrable Mezzanine Floating Rate Notes: -3

Class D Deferrable Mezzanine Floating Rate Notes.-2

Class E Deferrable Junior Floating Rate Notes: -1

Class F Deferrable Junior Floating Rate Notes: 0

Methodology Underlying the Rating Action:

MOUNT WOLSELELY: Thomas Roeggla Emerges as Big Buyer for Hotel
The Sunday Times reports that Thomas Roeggla, an Austrian investor
who has emerged as a big buyer of Irish hotels, is close to adding
the Mount Wolseley hotel, spa and golf resort in Co Carlow to his
line-up of investments.

Roeggla has signed contracts to buy the Tullow establishment for
close to its EUR14.25 million asking price, The Sunday Times
relates.  The sale will result in a bumper return for Mount
Wolseley's owner, Irish property group Tetrarch Capital, which
acquired the resort out of examinership in 2014 for EUR7.5
million, according to the report.

The 170-acre resort includes a 143-bedroom hotel, an 18-hole golf
course designed by Christy O'Connor Jr, and 16 four-bed lodges,
The Sunday Times discloses.  It was developed by the Morrissey
family but their businesses went into examinership with debts of
about EUR60 million, including EUR28 million owed to Bank of
Ireland, The Sunday Times relays.

QUIRINUS EUROPEAN NO. 23: S&P Cuts Rating on Class E Notes to 'D'
S&P Global Ratings lowered to 'D (sf)' from 'CCC- (sf)' its credit
rating on Quirinus (European Loan Conduit No. 23) PLC's class E
notes.  At the same time, S&P has affirmed its 'D (sf)' rating on
the class F notes.  S&P has subsequently withdrawn, effective in
30 days' time, its ratings on the class E and F notes.

The rating actions follow the resolution of the final loan in the
transaction.  The Eurocastle loan repaid at a loss following the
sale of the portfolio, and EUR76.5 million from the sale proceeds
were applied to fully repay the class A to D notes and to
partially repay the class E notes.  An additional EUR6.2 million
in principal losses were applied to the class E and F notes on the
February 2017 interest payment date.

Quirinus (European Loan Conduit No. 23) closed in July 2006 with
notes totaling EUR700.8 million.  The original 10 loans were
secured on commercial properties located in France and Germany.
All loans have now repaid, including three at a loss.

                         RATING RATIONALE

S&P's ratings in Quirinus (European Loan Conduit No. 23) address
the timely payment of interest and the payment of principal no
later than the February 2019 legal final maturity date.

S&P had already withdrawn its ratings on the class A to D notes
following the full repayment of these classes.

Principal losses have been applied to the class E notes.  S&P has
therefore lowered to 'D (sf)' from 'CCC- (sf)' its rating on this
class of notes, in line with S&P's criteria.

At the same time, S&P has affirmed its 'D (sf)' rating on the
class F notes because they have also experienced a principal loss.

S&P has subsequently withdrawn, effective in 30 days' time, its
ratings on the class E and F notes.


Quirinus (European Loan Conduit No. 23) PLC
EUR700.82 mil commercial mortgage-backed variable- and floating-
rate notes
Class             Identifier             To             From
E                 74880RAE0              D (sf)         CCC- (sf)
F                 74880RAF7              D (sf)         D (sf)


POPOLARE DI VICENZA: Italy Provides Guarantees for Liquidity
Rachel Sanderson at The Financial Times reports that Italy has
given troubled lenders Banca Popolare di Vicenza and Veneto Banca
"all the public guarantees necessary" to shore up liquidity.

Finance minister Pier Carlo Padoan made the announcement after
meeting the heads of the two struggling banks following the latest
round of rescue talks with EU officials, the FT relates.

According to the FT, Italy's Treasury said it was continuing to
talk to European authorities with a common objective: finding a
solution that will guarantee the stability of the two Veneto banks
and safeguard savers, while also respecting EU law.

"In the context of liquidity, Banca Popolare di Vicenza and Veneto
Banca have all the public guarantees necessary.  The government is
working to come to a solution rapidly," the FT quotes the Treasury
as saying.

Italian authorities want to prevent a damaging "bail-in" of the
two struggling banks -- where bondholders, investors and
depositors must bear losses before the use of state funds -- and
instead establish a scheme using a lower share of private funds,
the FT discloses.

A commission spokesperson, as cited by the FT, said: "The European
Commission, the [Single Supervisory Mechanism] and the Italian
authorities are working hand-in-hand.  Constructive contacts are

Banca Popolare di Vicenza and Veneto Banca are struggling to
recover from a surge in bad loans compounded by a mis-selling
scandal that has caused a flight of account holders, the FT
relays, citing people with direct knowledge of the situation.

Veneto Banca, the smaller of the two banks, tapped Europe's
emergency liquidity assistance last summer, the FT notes, citing
people with direct knowledge of the decision.

According to the FT, the two Veneto banks must fill a EUR6.4
billion capital shortfall after loan writedowns led to a combined
2016 loss of EUR3.4 billion and pushed their capital below minimum

Banca Popolare di Vicenza (BPVi) is an Italian bank.  The bank was
the 13th largest retail and corporate bank of Italy by total
assets, according to Mediobanca.

                         *     *     *

As reported by the Troubled Company Reporter-Europe on Mar 21,
2017, Fitch Ratings downgraded Banca Popolare di Vicenza's
(Vicenza) Long-Term Issuer Default Rating (IDR) to 'CCC' from
'B-' and Viability Rating (VR) to 'cc' from 'b-'. The Long-Term
IDR has been placed on Rating Watch Evolving (RWE).

The downgrade of Vicenza's VR to 'cc' reflects Fitch's view that
it is probable that the bank will require fresh capital to
address a material capital shortfall, which under Fitch's
criteria would be a failure.

The downgrade of the Long-Term IDR to 'CCC' reflects Fitch's view
that there is a real possibility that losses could be imposed on
senior bondholders if a conversion or write-down of junior debt
is not sufficient to strengthen capitalisation and if the bank
does not receive fresh capital in a precautionary

UNICREDIT SPA: Moody's Rates EUR1.25BB Additional AT1 Bond B1
Moody's Investors Service has assigned a B1(hyb) rating to
UniCredit S.p.A.'s EUR1.25 billion Additional Tier 1 (AT1) bond
'Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed
Rate Resettable Notes' (ISIN XS1619015719), based on the final
prospectus dated May 19, 2017.


The rating takes into account UniCredit's ba1 standalone baseline
credit assessment (BCA); high loss-given-failure for AT1 debt
under Moody's Loss Given Failure (LGF) analysis, which results in
a position one notch below the BCA; the instrument's coupon skip
mechanism and write-down features, which reduce the rating by an
additional two notches; and the rating agency's assessment of a
low probability of government support for subordinated debt,
leading to no rating uplift.


Ratings on subordinated instruments, including AT1 instruments, do
not carry outlooks.


UniCredit's ratings, including the rating on its AT1 instruments,
could be upgraded following a substantial reduction in the stock
of problem loans, improved buffers over prudential requirement,
and following a track record of sustainable recurring

Conversely, the bank's ratings could be downgraded should
UniCredit failed to carry out its plans, or if the operating
environment in one of the main countries where UniCredit operates


The principal methodology used in this rating was Banks published
in January 2016.


BANK RBK: S&P Puts 'B-' LongTerm CCR on CreditWatch Negative
S&P Global Ratings placed its 'B-' long-term counterparty credit
rating and 'kzB+' Kazakhstan national scale rating on Bank RBK JSC
on CreditWatch with negative implications.

Additionally, S&P raised its short-term counterparty credit rating
on Bank RBK to 'B' from 'C', removed the UCO (under criteria
observation) designation, and placed it on CreditWatch negative.

The CreditWatch placement stems from S&P's view that Bank RBK's
persistently low liquidity cushion leaves it less able to meet
unplanned cash outflows.  Since S&P's last review in February
2017, Bank RBK hasn't been able to improve its vulnerable
liquidity position, which instead has continued to deteriorate.
The bank's regulatory coefficient of current liquidity (a
liquidity measure with a three-month horizon) was only 0.11x as of
May 22, 2017, significantly below the regulatory minimum of 0.30x.
Similarly, its liquid assets (cash, cash equivalents, short-term
interbank placements, and unpledged securities) reduced to 4.2% of
total assets as of May 22, 2017, from 15% as of Dec. 31, 2016.

As a result, S&P revised its assessment of the bank's liquidity
position to moderate from adequate.  S&P's views of Bank RBK's
moderate business and risk positions, weak capital and earnings,
and average funding are unchanged.

S&P's long-term rating on the bank remains at 'B-', in line with
its "Criteria For Assigning 'CCC+', 'CCC', 'CCC-' And 'CC'
Ratings."  This is because S&P currently do not foresee a default
within the next several months, due to limited planned funding
repayments during that period.  Nevertheless, S&P put its ratings
on CreditWatch because S&P believes that the bank's modest
liquidity buffer makes it vulnerable to the risk of unexpected
cash outflows, which could challenge the bank's sustainability in
the medium term.

Bank RBK's borderline local regulatory capital adequacy ratio (k2)
of 10.3% as of May 1, 2017, compared with the regulatory minimum
of 10%, further limits its financial flexibility in the event of
unexpected adverse financial changes.  The bank expects to receive
external financial support (from the National Bank of Kazakhstan
or shareholders) within the next three months, which will boost
liquidity.  However, this support, which was planned for the first
quarter of 2017, has not yet been provided.  Still, S&P cannot
exclude the possibility that the regulator's support might come
within the scope of Bank RBK's recently announced plan to merge
with Qazaq Banki (B-/Negative/B).

S&P raised its short-term rating on Bank RBK solely based on the
application of S&P's revised methodology for linking long- and
short-term ratings.  That action does not reflect any change in
S&P's assessment of the bank's credit quality.

The CreditWatch placement reflects S&P's view that Bank RBK's
persistently low liquidity cushion leaves it less able to meet
unplanned fund outflows.

S&P will likely downgrade the bank within the next three months if
it does not significantly strengthen its liquidity buffer to well
above the regulatory minimum, thereby enabling it to better meet
unforeseen liquidity outflows.  While less likely, a downgrade
could be hastened by any material unplanned deposit outflows that
deplete the bank's sparse liquidity resources before support is

S&P would likely affirm the ratings if Bank RBK received
sufficient shareholder or state support that allowed it to
increase liquid assets sustainably to at least 10% of total assets
and regulatory liquidity ratios to comfortably above the
regulatory minimum.


DRYDEN XXVII-R 2017: Moody's Assigns B2(sf) Rating to Cl. F Notes
Moody's Investors Service announced that it has assigned the
following definitive ratings to notes issued by Dryden XXVII-R
Euro CLO 2017 B.V.:

-- EUR251,200,000 Class A-1 Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aaa (sf)

-- EUR15,800,000 Class A-2 Senior Secured Fixed Rate Notes due
    2030, Definitive Rating Assigned Aaa (sf)

-- EUR36,800,000 Class B-1 Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aa2 (sf)

-- EUR18,500,000 Class B-2 Senior Secured Fixed Rate Notes due
    2030, Definitive Rating Assigned Aa2 (sf)

-- EUR39,000,000 Class C Mezzanine Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned A2 (sf)

-- EUR29,300,000 Class D Mezzanine Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned Baa2 (sf)

-- EUR27,300,000 Class E Mezzanine Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned Ba2 (sf)

-- EUR14,000,000 Class F Mezzanine Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned B2 (sf)


Moody's definitive ratings of the rated notes address the expected
loss posed to noteholders by the legal final maturity of the notes
in 2030. The definitive 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, PGIM Limited, has sufficient experience
and operational capacity and is capable of managing this CLO.

Dryden XXVII-R Euro CLO is a managed cash flow CLO. At least 90%
of the portfolio must consist of senior secured loans and senior
secured bonds. The portfolio is expected to be 85% ramped up as of
the closing date and to be comprised predominantly of corporate
loans to obligors domiciled in Western Europe.

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

In addition to the eight classes of notes rated by Moody's, the
Issuer has issued EUR46.9M of subordinated notes, which will not
be rated.

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

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. PGIM Limited's investment decisions and
management of the transaction will also affect the notes'

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: EUR466,000,000

Diversity Score: 40

Weighted Average Rating Factor (WARF): 2800

Weighted Average Spread (WAS): 4.00%

Weighted Average Coupon (WAC): 5.70%

Weighted Average Recovery Rate (WARR): 41%

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. For countries which are not member of the
European Union, the foreign currency country risk ceiling applies
at the same levels under this transaction. Following the effective
date, and given the portfolio constraints and the current
sovereign ratings in Europe, such exposure may not exceed 15% 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 15% of the pool would be
domiciled in countries with A3 local or foreign 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. Given this portfolio composition, the model
was run with different target par amounts depending on the target
rating of each class as further described in the methodology. The
portfolio haircuts are a function of the exposure size to
peripheral countries and the target ratings of the rated notes and
amount to 2.00% for the Class A-1 and A-2 Notes, 1.25% for the
Class B-1 and B-2 Notes, 0.50% for the Class C Notes and 0% for
Classes D, E, and F Notes.

Stress Scenarios:

Together with the set of modelling assumptions above, Moody's
conducted additional sensitivity analysis, which was an important
component in determining the definitive 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 3220 from 2800)

Ratings Impact in Rating Notches:

Class A-1 Senior Secured Floating Rate Notes: 0

Class A-2 Senior Secured Fixed Rate Notes: 0

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

Class B-2 Senior Secured Fixed Rate Notes: -1

Class C Mezzanine Secured Deferrable Floating Rate Notes: -1

Class D Mezzanine Secured Deferrable Floating Rate Notes: -2

Class E Mezzanine Secured Deferrable Floating Rate Notes: -1

Class F Mezzanine Secured Deferrable Floating Rate Notes: 0

Percentage Change in WARF: WARF +30% (to 3640 from 2800)

Ratings Impact in Rating Notches:

Class A-1 Senior Secured Floating Rate Notes: 0

Class A-2 Senior Secured Fixed Rate Notes: 0

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

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

Class C Mezzanine Secured Deferrable Floating Rate Notes: -3

Class D Mezzanine Secured Deferrable Floating Rate Notes: -2

Class E Mezzanine Secured Deferrable Floating Rate Notes: -1

Class F Mezzanine Secured Deferrable Floating Rate Notes: -1

Methodology Underlying the Rating Action:

INTERNATIONAL PARK: Moody's Assigns B2 Corporate Family Rating
Moody's Investors Service has assigned a B2 Corporate Family
Rating (CFR) and B2-PD Probability of Default Rating (PDR) to
International Park Holdings B.V. Concurrently, Moody's assigned a
B2 instrument ratings to the proposed EUR620 million senior
secured term loan due 2024. The outlook on all aforementioned
ratings is stable. International Park Holdings B.V. is the holding
company of PAESA Entertainment Holding, S.L. ("PortAventura"), the
leading theme park and destination resort in Spain.

In addition, Moody's has upgraded to B2 from B3 the CFR and to B2-
PD from B3-PD the PDR of PAESA Entertainment Holding, S.L., the
current Spanish holding company. Moody's also upgraded to B2 from
B3 the rating of the EUR420 million senior secured notes due in
2019 and 2020 which were issued by PortAventura Entertainment
Barcelona B.V. Moody's expects to withdraw these ratings upon
repayment of the notes. The outlook on PAESA Entertainment
Holding, S.L. and PortAventura Entertainment Barcelona B.V. has
been changed to stable from positive.

Proceeds from the new senior secured loan will be used to repay
the outstanding EUR420 million notes, to pay a EUR170 million
dividend and to fund a total of around EUR30 million of
transaction costs and call premium for the outstanding notes.



The rating is supported by PortAventura's resilient and improving
performance in recent years. Reported EBITDA grew to EUR91 million
in 2016, from EUR40 million in 2010, despite the difficult
macroeconomic situation in Spain between 2010 and 2013.
PortAventura's operating performance has continued on a positive
trajectory in 2017 with last twelve month reported revenues to 23
April 2017 up by around 15% in the Hospitality segment and by 10%
in the Entertainment segment. The park's earnings growth has
benefited in part from the park's own expansion in terms of adding
new hotels, as well as adding new attractions. Moody's views
positively that PortAventura opened a few weeks ago its latest new
offering, FerrariLand, which is an additional theme park at the
same location. FerrariLand opens year-around from 2018 onwards (it
is closed in the winter during week days) thereby reducing the
company's seasonality and it also attracts new source markets.
PortAventura strategy of selling combined tickets for the new
FerrariLand and the existing PortAventura park mitigates
cannibalization risks as it also attracts new visitors for the
PortAventura park.

The rating is supported by Moody's expectations that Spain will
continue to benefit from the sharply reduced demand for previously
popular tourist destinations such as Egypt, Tunisia and Turkey,
following terrorist attacks in those markets in 2015 and 2016. The
overall economic environment in Spain remains strong following
three years of positive GDP growth (1.4% in 2014, 3.2% in 2015,
and 3.2% in 2016) and based on Moody's expectations of 2.3% GDP
growth in 2017 and 2.0% in 2018.

In Moody's view, the key constraints to PortAventura's ratings are
its small scale relative to its peers in the theme park and
destination resort industry, exposure to single location risk --
despite the expansion with the opening of FerraiLand -, and the
rating agency's expectation of a fairly aggressive capital
structure pro-forma the announced loan refinancing. Despite the
strong historic track record of revenues and earnings growth,
Moody's continues to believe that PortAventura's limited
diversification, exposes the company to economic, regulatory or
political risks in Spain. Its concentration of visitors from
Spain, which continued to make up around two thirds of visits to
the theme park in 2016, is significant and exposes the company to
domestic tourism trends, although the opening of FerrariLand
should enable PortAventura to increase the share of foreign
visitors. The sector specific risk of potential accidents would
likely impact PortAventura more severely financially than its more
diversified peers such as Merlin Entertainments PLC (Ba2 stable)
who operates a large number of different attractions across the
globe. However, PortAventura's excellent safety track record, high
safety standards and insurance cover mitigates this risk to a

The company's gross leverage (debt/EBITDA), as adjusted by
Moody's, was 5.2x as of FYE2016, although Moody's expects that
with the proposed dividend recapitalization, the metric will rise
to about 5.9x as of FYE2017 based on Moody's expected reported
2017 EBITDA of around EUR115 million. As the rating agency expects
the company to generate positive free cash flow, the trend in the
leverage metric will depend on the company and its shareholders'
own financial policies. Moody's rating factors in the expectation
of continued steady growth in earnings which should lead to a
Moody's gross adjusted leverage ratio of below 5.5x at FYE2018. It
is worth noting that PortAventura's interest coverage
(EBITA/interest expense) is -- despite higher total debt levels -
expected to profit from lower expected interest rates of the new
term loan B -- Moody's forecast the metric to improve to around
3.0x in 2017 from 2.2x in 2016.

PortAventura had 3.9 million visitors in 2016, of which about 33%
from abroad, making it one of the most visited parks in Europe,
with the second largest number of rooms after Disneyland Paris.
Moody's expects that the company will continue to invest in new
rides and attractions, which Moody's believes will remain
fundamental to attract new and repeat customers and to grow

In terms of liquidity, the company will benefit from a Revolving
Credit Facility (RCF) of at least EUR50 million maturing in 2023
(unrated), which is expected to be undrawn at closing, as well as
a pro forma cash balance as of May 2017 of EUR10 million. The
facility will contain one covenant for net leverage, for which
Moody's expects strong headroom. The covenant is only applicable
if the aggregate amount of utilization amounts to at least 35% of
the available amount. The company's revenues are highly seasonal,
with the majority of revenues and earnings generated between June
and August. Seasonality is partly mitigated by the convention
centre, which is opened year-round, and where peak occupancy is in
the October to March period. Since the company tends to see cash
outflows in the fourth and first quarters of the year, Moody's
expects drawings under the RCF during the first quarter in 2018.
The rating agency's assessment of adequate liquidity therefore
assumes access to the RCF at all times.


The B2 rating of the term loan, at the same level as the CFR,
reflects the fact that they will represent nearly all of the
company's debt obligations. The senior secured term loan will be
guaranteed by guarantors that represented around 90% of the EBITDA
and of the total assets of the group. The senior secured term loan
will also hold a security over certain bank accounts and shares of
the Issuer and the Subsidiary Guarantors. The RCF is secured by
the same collateral as the senior secured term loan.


The stable outlook reflects Moody's view that PortAventura's
strong recent operating performance and the expansion with the
opening of FerrariLand, will result in quickly improving credit
metrics. The rating does not anticipate any further distributions
to shareholders after this transaction. Given the single site
nature of the company, Moody's would expect it to retain a fairly
conservative financial profile for the rating. For the current B2
rating, the rating agency would expect PortAventura to quickly
deleverage below 5.5x.


A rating upgrade is unlikely in the next two years. For positive
rating pressure to arise, not only would PortAventura's financial
profile need to improve with materially lower leverage, strong
liquidity and continued positive free cash flow generation, but
the company's business profile would need to strengthen as well in
terms of scale and diversification.

Downward pressure on the rating would likely occur if operating
performance trends worsen or the gross leverage metric were to
exceed 5.5x on a continued basis, or following a significant
deterioration in liquidity (including, but not limited to,
diminishing covenant headroom) or free cash flow generation.


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

JUBILEE CLO 2017-XVIII: Fitch Rates EUR12MM Class F Notes B-(EXP)
Fitch Ratings has assigned Jubilee CLO 2017-XVIII B.V. expected

EUR240 million Class A senior secured floating rate notes due
2030: 'AAA(EXP)sf'; Outlook Stable

EUR50million Class B senior secured floating rate notes due 2030:
'AA(EXP)sf'; Outlook Stable

EUR22 million Class C deferrable mezzanine floating rate notes due
2030: 'A(EXP)sf'; Outlook Stable

EUR21.5 million Class D deferrable mezzanine floating rate notes
due 2030: 'BBB(EXP)sf'; Outlook Stable

EUR24.5 million Class E deferrable junior floating rate notes due
2030: 'BB(EXP)sf'; Outlook Stable

EUR12 million Class F deferrable junior floating rate notes due
2030: 'B-(EXP)sf'; Outlook Stable

EUR45.4 million subordinated notes due 2030: not rated

Jubilee CLO 2017-XVIII B.V. is a cash flow collateralised loan
obligation. Net proceeds from the issuance of the notes are being
used to purchase a portfolio of EUR400 million of mostly European
leveraged loans and bonds. The portfolio is actively managed by
Alcentra Limited.

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


'B' Portfolio Credit Quality
Fitch expects the average credit quality of obligors to be in the
'B' range. Fitch has public ratings or credit opinions on all 86
obligors in the identified portfolio. The identified portfolio is
about 73% of the target par amount. The Fitch weighted average
rating factor of the identified portfolio is 32.4, below the
maximum covenant for assigning the expected ratings of 33.

High Recovery Expectations
At least 90% of the portfolio will comprise senior secured
obligations. Fitch views the recovery prospects for these assets
as more favourable than for second-lien, unsecured and mezzanine
assets. Fitch has assigned Recovery Ratings to 119 assets in the
identified portfolio, apart from three. The Fitch weighted average
recovery rate of the identified portfolio is 66.2%, below the
minimum covenant for assigning final ratings of 64.7%, but this is
expected to be raised before the effective date.

Limited Interest Rate Exposure
Fitch modelled both a 5% and a 0% fixed-rate bucket in its
analysis, and found that the rated notes can withstand the
interest rate mismatch associated with both scenarios.

Diversified Asset Portfolio
The covenanted maximum exposure to the top 10 obligors for
assigning the expected ratings is 20% of the portfolio balance.
This covenant ensures that the asset portfolio will not be exposed
to excessive obligor concentration.

Documentation Amendments
The transaction documents may be amended subject to rating agency
confirmation or noteholder approval. Where rating agency
confirmation relates to risk factors, Fitch will analyse the
proposed change and may provide commentary if the change would
have a negative impact on the ratings. Such amendments may delay
the repayment of the notes as long as Fitch's analysis confirms
the expected repayment of principal at the legal final maturity.

If in the agency's opinion the amendment is risk-neutral from a
rating perspective Fitch may decline to comment. Noteholders
should be aware that the structure considers confirmation to be
given if Fitch declines to comment.


A 25% increase in the obligor default probability or reduction in
expected recovery rates would each lead to a downgrade of up to
two notches for the rated notes.


GLOBALWORTH REAL: S&P Assigns Prelim. 'BB+' CCR, Outlook Stable
S&P Global Ratings assigned its preliminary 'BB+' long-term
corporate credit rating to Romania-based property investment
company Globalworth Real Estate Investments Ltd.  The outlook is

At the same time, S&P assigned its preliminary 'BB+' issue rating
to Globalworth's planned inaugural senior unsecured bond.

Final ratings will depend on S&P's receipt and satisfactory review
of all final transaction documentation of the proposed senior
unsecured bond issuance.  Accordingly, the preliminary ratings
should not be construed as evidence of final ratings.  If S&P
Global Ratings does not receive final documentation within a
reasonable timeframe, or if final documentation departs from
materials reviewed, S&P reserves the right to withdraw or revise
its rating.  Potential changes include, but are not limited to,
utilization of bond proceeds, maturity, size and conditions of the
bonds, financial and other covenants, and security and ranking of
the bonds.

Globalworth is a real estate investment company that focuses on
acquiring, developing, and managing real estate assets in South
Eastern Europe and in Central and Eastern Europe (CEE),
particularly in Romania and especially in the capital city,
Bucharest.  The company currently owns and manages 16 assets,
valued at EUR977.5 million as of Dec. 31, 2016 (and EUR1,100
million upon completions of developments), office properties (81%
of portfolio value), and light logistics (5%).  Globalworth also
owns residential and retail assets on the ground floor of some of
its properties (12%), which the company considers as nonstrategic
operations, as well as land (2%).  Globalworth is starting to
invest in countries such as Poland this year, and it targets a
portfolio of more than EUR2 billion in the next couple of years,
to achieve a balanced exposure between Romania and Poland.

S&P takes into account Globalworth's limited portfolio size
compared with higher rated peers, and its small number of assets,
which creates revenue volatility in case of asset rotation.  S&P
generally views the office segment as more cyclical and vulnerable
to economic changes than residential or retail property segments.
This can also be attributed to the lower number of tenants per
assets.  S&P therefore sees some risk of tenant concentration, as
the company's top 15 tenants account for a large 68% of its total
rents, and its largest counterpart represented 9% of total rents
as of Dec. 31, 2016.  S&P believes this could create rent
volatility if a tenant would like to exit, although S&P recognizes
that the leases currently in place have a long maturity (average
of 6.5 years).  In addition, S&P notes some counterparty risk from
the 4% of total rents leased to National Bank of Greece S.A.
(CCC+/Stable/C), which has a low credit quality, in S&P's view.

Partly offsetting these weaknesses in Globalworth's business risk
profile, however, is the high quality of the company's offices
assets, which have all been recently built or renovated and are
mainly located in dynamic areas of Bucharest, such as the
historical central business district (CBD) and the new CBD,
located in the northern part of the city.  Its logistic assets are
also well placed along the main logistic corridors of Romania
(roads linking the Black Sea's ports to the Hungarian borders).
S&P notes positively the company's effort to achieve high
environmental standards, as the vast majority of its office
portfolio is green certified, with the remaining currently
undergoing the certification process.  S&P believes this may
translate into reversionary lease potential, as tenants
increasingly seek energy-efficient buildings.  Globalworth enjoys
a solid leadership position in Romania, and S&P views positively
its expansion plan in Poland, given that the country represents
the largest economy in CEE and a fast-growing market for most
types of real estate.  Globalworth's current assets, and those
which may be in strategic areas of main Polish cities, are well
located in business districts where demand strongly outpaces
supply.  S&P believes Romania and Poland should remain resilient
markets for office landlords like Globalworth, because both
countries are major outsourcing hubs for multinationals and
financial institutions, due to their low costs of labor and
qualified work force.  S&P believes these investments will be
supported by Globalworth's main shareholder, South Africa-based

In addition, S&P views positively Globalworth's long-term leases
that provide sound revenue predictability and support
Globalworth's high occupancy ratio (about 97% on June 30, 2017, as
per our estimates).  S&P also recognizes the large share of
international tenants (86%) in the company's total occupancy and
the presence of creditworthy entities among its top-15 tenants,
such as Renault S.A. (BBB-/Positive/A-3), Vodafone AG
(BBB+/Stable/NR), UniCredit Bank AG (BBB/Developing/A-2),
Honeywell International Inc. (A/Stable/A-1), and Orange S.A.

S&P notes that there is limited development risk in the portfolio,
because the share of assets under development will remain less
than 10% of the current portfolio value and subject to pre-letting
hurdle of 50% before the construction can start.

Under S&P's base case, it assumes that the company's EBITDA will
exceed EUR45 million in 2017 and EUR90 million in 2018, mainly on
the back of full-year contribution of previous acquisitions and
completed development projects.  S&P forecasts that Globalworth's
adjusted EBITDA margin will range between 60% and 70% over 2017-
2019.  S&P's operating base-case scenario for the next 24 months
includes like-for-like rental income growth of 2%-3%, as most
leases are indexed to CPI inflation and a stable occupancy.

S&P's assessment of Globalworth's financial risk profile is
underpinned by the company's prudent financial policy centered on
a loan-to-value ratio of less than 35%, which is low for the
industry.  S&P forecasts debt-to-debt plus equity ratio of about
33%-34% in 2017-2018, considering no yield compression.  S&P also
anticipates that the EBITDA interest coverage ratio will surpass
2x in 2017 and exceed 4x in 2018.  S&P factors the planned bond
issuance into its base case and believe that this should lower the
company's effective interest rate.  S&P expects the dividend
payout ratio to shareholders to remain stable, but Globalworth's
legal status doesn't oblige it to distribute dividends.

S&P understands that Globalworth has good access to equity capital
markets, demonstrated by its track record of issuing equity to
fund its assets acquisition pipeline (over EUR500 million raised
in four years).  In addition, the company benefits from the strong
support of its main shareholders, including Growthpoint, which
owns a total of 26.9% of the company's shares.  Growthpoint owns
approximately EUR8 billion of group property assets and has a
market cap of about EUR4.8 billion.

Following the bond issuance and debt refinancing, S&P expects that
the level of priority liabilities, mainly secured bank loans, will
represent less than 15% of Globalworth's assets. This should
result in a capital structure in which unsecured debt issuance is
not structurally subordinated to other debt obligations to the
extent that it would affect the issue rating.

The stable outlook on Globalworth reflects S&P's view that the
company's portfolio of prime office assets should continue
generating rental income, as supported by strong demand from
corporations interested in expanding in Romania and Poland.  S&P
assumes the company will be able to maintain a high occupancy
ratio at about 95%. S&P also believes the company will likely
maintain a disciplined approach toward the funding of its
investments, such that its debt-to-debt plus equity ratio remains
below 35%.  S&P also expects that the refinancing of its capital
structure and its resilient income should translate into an EBITDA
to interest coverage ratio exceeding 2x in 2017 and 4x in 2018.

S&P could consider taking a negative rating action if, in
particular, Globalworth's EBITDA-to-interest ratio does not exceed
3.5x by 2018.  This could occur if operating conditions were to
deteriorate unexpectedly.  Rating pressures would also arise if
the company's occupancy ratio was to deteriorate or if its debt to
debt plus equity increased above 35% as a result of largely debt-
funded acquisitions or from unexpected negative asset

S&P could raise the ratings if it assess that Globalworth's
business risk profile has materially strengthened on the back of
improvements in the company's size and tenant diversification.
Ratings upside is also dependent on the company proving
sustainability of positive like-for-like rental income growth, as
well as positive portfolio valuation increases on the same
perimeter basis.


ALFA-BANK: Moody's Affirms Ba2 Long-Term Debt & Deposit Ratings
Moody's Investors Service upgraded Alfa-Bank's Baseline Credit
Assessment (BCA) and adjusted BCA to ba2 from ba3 and affirmed the
Ba2 long-term local- and foreign-currency senior unsecured debt
and deposit ratings with a stable outlook. The rating agency also
affirmed the bank's short-term local- and foreign-currency deposit
ratings of Not Prime, its long-term Counterparty Risk Assessment
(CR Assessment) of Ba1(cr) and its short-term CR Assessment of Not
Prime(cr). Concurrently, the rating agency upgraded the bank's
subordinated debt rating to Ba3 from B1 and subordinated debt
rating to B1(hyb) from B2(hyb).


The BCA upgrade to ba2 from ba3 reflects recent improvements in
Alfa-Bank's financial metrics which Moody's expects to be
sustained in the longer term.

In 2016, Alfa-Bank's non-performing loans (NPLs; loans overdue by
more than 90 days) declined to 4.2% from 6.9%, owing to a
stabilization in the operating environment and a much lower build-
up of new problem loans, while the successful work-outs of legacy
problem assets helped to lower NPLs and improve their coverage by
loan loss reserves to 113%. As a result, credit costs fell to 1.2%
of gross loans in 2016 after peaking at 3.6% in 2015 and 4.4% in
2014. This, together with lower funding costs, helped the bank to
substantially improve its profitability metrics. In 2016, Alfa-
Bank reported a 1.53% return on average assets and Moody's expects
these healthy earnings to be sustained in the coming years driven
by the gradually improving operating environment and benign
liquidity conditions in the banking sector.

The strengthening of Alfa-Bank's asset profile and improved
profitability metrics were also supported by increased capital
adequacy thanks to internal capital generation. As of December 31,
2016, the bank reported a ratio of Tangible Common Equity to Risk
Weighted Assets of 15.3%, an increase from 12.3% reported in 2014
and 11.4% in 2013.

In addition to stronger solvency metrics, Alfa-Bank also improved
its liquidity profile owing to higher reliance on a relatively
sticky and granulated deposit base. Along with a maintenance of a
very large liquidity cushion (includes cash and cash equivalents,
liquid securities and short-term deposits with banks) at around
30% of total assets at year-end 2016, the bank decreased reliance
on market funding to around 20% of tangible banking assets at
year-end 2016 from over 37% at year-end 2014.

Given an operating environment which is gradually improving (with
the Russian economy returning to modest growth), a loan book which
is largely seasoned and a benign liquidity outlook for the sector,
Moody's expects Alfa-Bank to maintain its improved financial
metrics in the coming years, supporting the upgrade in Alfa-Bank's
BCA to ba2.

Moody's considers Alfa-Bank to be of systemic importance in Russia
given its significance in the retail deposit market, and believes
there is a moderate probability of support for the bank's senior
unsecured debt and deposits from the government of Russia (Ba1
stable). However, given the upgrade of the bank's BCA to a level
closer to the sovereign rating, this no longer results in rating
uplift for Alfa-Bank's Ba2 senior unsecured ratings. As a result,
Moody's affirmed the bank's Ba2 local- and foreign-currency
deposit and senior unsecured ratings as well as long-term
Counterparty Risk Assessment (CR Assessment) of Ba1(cr). The
upgrade of the subordinated ratings, that do not incorporate
government support uplift, follows the corresponding upgrade of
the bank's BCA.


An increased capacity of government support as reflected in a
sovereign rating upgrade could lead to an upgrade of Alfa-Bank's
long-term ratings, provided there is no deterioration in the
bank's financial profile. An upgrade in the bank's BCA, resulting
for example from a reduction in single-name concentrations in the
loan book combined with lower foreign-currency lending, could also
lead to a rating upgrade.

The ratings could be downgraded in case of a sharp deterioration
in the operating environment that could hamper Alfa-Bank's
financial metrics, or a reduction in key credit metrics notably
capitalization, asset quality or liquidity.


Issuer: Alfa-Bank


-- BACKED Subordinate, Upgraded to Ba3 from B1

-- Subordinate, Upgraded to B1(hyb) from B2(hyb)

-- Adjusted Baseline Credit Assessment, Upgraded to ba2 from ba3

-- Baseline Credit Assessment, Upgraded to ba2 from ba3


-- LT Bank Deposits (Local & Foreign Currency), Affirmed Ba2,
    Outlook remains Stable

-- ST Bank Deposits (Local & Foreign Currency), Affirmed NP

-- Senior Unsecured Regular Bond/Debenture, Affirmed Ba2,
    Outlook remains Stable

-- BACKED Senior Unsecured Regular Bond/Debenture, Affirmed Ba2,
    Outlook remains Stable

-- LT Counterparty Risk Assessment, Affirmed Ba1(cr)

-- ST Counterparty Risk Assessment, Affirmed NP(cr)

Outlook Actions:

-- Outlook, Remains Stable


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

VELES CAPITAL: S&P Affirms 'BB-/B' Ratings, Outlook Stable
S&P Global Ratings said that it has revised its outlook on Russia-
based Investment Company Veles Capital LLC to stable from

At the same time, S&P affirmed its 'BB-/B' long- and short-term
counterparty credit and 'ruAA-' Russia national scale ratings on

The outlook revision reflects S&P's view that Veles will be able
to maintain its strong capital position, low risk appetite,
appropriate risk-management practices, and high liquidity cushion.
S&P's decision to revise the outlook is also supported by its view
that economic risks and operating conditions in Russian financial
markets have stabilized.

In 2016, Veles kept its leading positions on the Russian fixed-
income market.  Veles' operating revenues in 2016 mirrored the
decline in trading volumes, specifically following depressed
activity in the local promissory note segment.  S&P expects,
however, that in 2017 Veles will improve its trading revenues,
supported by recovery of market flows in the Russian bond market,
despite still depressed volumes in the promissory note segment.
S&P views as positive management's intention to develop equity
sales and trading and widen Veles' clientele, which at the moment
consists primarily of institutional investors and high net-worth

S&P expects that Veles will maintain its low leverage and risk
tolerance, which translate into a very strong capital position, as
reflected in S&P's risk-adjusted capital (RAC) ratio.  As of year-
end 2016, Veles' RAC ratio increased to 45.5% supported by
reduction of loans to related parties and the divestment of a 20%
stake in Veles Asset Management.  S&P expects that the forecast
RAC ratio will remain in the range of 35%-40% in the next 12-18
months.  In S&P's view, Veles' good earnings capacity and its
conservative growth plans will support its capital position in the
medium term.

S&P forecasts that Veles' management will keep its conservative
approach to risk-taking.  S&P believes that due to its low risk
appetite, limited proprietary business, and adequate risk
management practices, Veles' projected losses will stay low.  In
our view, Veles will maintain its sizable liquidity cushion and
focus on highly liquid securities, which support the broker's
strong liquidity profile.  S&P thinks that Veles' strong funding
profile will be supported by a large share of capital in its
funding mix and lack of short-term public debt.

S&P continues to apply a negative adjustment of one notch to
Veles' stand-alone credit profile (SACP), which is at 'bb', to
reflect S&P's holistic view of the company's weaker credit
characteristics versus peers.  S&P notes that Veles' preliminary
'bb' SACP is high in the Russian context, and usually associated
with larger institutions with much better business diversity and
scale of operations.  S&P believes that, despite the formal sale
of Veles' sister companies operating in the real estate and
development sectors, potential risks related to those businesses
can still influence Veles.

The stable outlook reflects S&P's view that operating conditions
in Russia's economy and financial market have stabilized.  The
stable outlook also reflects S&P's expectation that Veles will be
able to preserve its solid capital position, high liquidity
buffers, and strong funding profile, while its material presence
in some market segments support operating revenues and

S&P could lower the ratings on Veles in the next 12-18 months if
we saw that the broker had increased its risk appetite or changed
its conservative approach to risk management.  A negative rating
action may also follow a material erosion of Veles' liquidity
position or a protracted decline of its operating revenues, caused
for example by weakening trading volumes in the Russian fixed-
income market.

The possibility of a positive rating action is currently remote,
in S&P's view.  S&P could consider it if it saw that Veles had
materially improved its business diversification, while
maintaining its conservative risk appetite and strong
capitalization.  A positive rating action will be possible only if
S&P also saw no risks from Veles' former affiliate companies in
the real estate and development sectors.


FTA PYMES BANESTO 2: Fitch Affirms CC Rating on Class C Notes
Fitch Ratings has upgraded FTA, PYMES Banesto 2's class B notes
and affirmed the others:

EUR9.2 class A2 (ISIN ES0372260010): affirmed at 'Asf' Outlook

EUR24.3 class B (ISIN ES0372260028): upgraded to 'Asf' from
'BBsf'; Outlook Stable

EUR34.0 class C (ISIN ES0372260036): affirmed at 'CCsf'; RE 0%

FTA PYMES Banesto 2 (the issuer) is a cash flow SME CLO originated
by Banco Espanol de Credito S.A, now part of Banco Santander S.A.
At closing, the issuer used the note proceeds to purchase a EUR1.0
billion portfolio of secured and unsecured loans granted to
Spanish small and medium enterprises and self-employed
individuals. The transaction is managed by Santander de
Titulizacion, S.G.F.T., S.A.


Increased Credit Enhancement
The upgrade of the class B notes reflects the increase in credit
enhancement, which has resulted from the pay down of the senior
class A2 notes by EUR26 million in the year since Fitch previous
review. The credit enhancement for the class B notes has increased
by 13.9% to 37.4%.

Liquidity Risk
The ratings of the class A2 and B notes are capped at 'Asf' as the
reserve fund is completely depleted and so the transaction has no
liquidity line to mitigate any disruption of the collection
process and to maintain timely payments to the noteholders. The
principal deficiency ledger has been reimbursed by EUR1.6 million
since Fitch last review and is currently EUR13.9 million compared
with EUR15.6 million at the previous review. The class C notes
remain under-collateralised and are at risk of default.

Falling Delinquency Rate
The 90-365 delinquency balance has been relatively stable in the
year since Fitch previous review and the three year average, based
on a percentage of the outstanding balance, is lower compared with
previous review as the higher delinquency rates in 2013 are not
included. This has resulted in a lower transaction probability of
default benchmark of 3.69% compared with 4.72% at last review.

Stable Borrower Concentration
The portfolio has amortised during the year, with the pool factor
now at 5.4%. However, the pool remains granular with the top five
obligors representing 3.48% of the performing portfolio and the
top 10 obligors representing 6.12%.

Low Observed Recoveries
Since Fitch last review, the transaction has received EUR1.2
million of recoveries, marginally increasing the weighted average
recovery rate to 19.6% from 17.7%. Fitch has analysed the
underlying portfolio on an unsecured basis due to the low observed
recovery rate.


Increasing the default probabilities assigned to the underlying
obligors by 25%, or decreasing the recovery rates assigned by the
same amount, would not impact the ratings of the notes.

RURAL HIPOTECARIO XI: Fitch Lifts Rating on Cl. C Notes From BB+
Fitch Ratings has downgraded the class A notes of Rural
Hipotecario X, XI and XII, upgraded one tranche and affirmed four

Rural Hipotecario X, FTA
Class A (ES0374275008); downgraded to 'A+sf' from 'AA+sf'; Outlook
Class B (ES0374275016); affirmed at 'Asf'; Outlook Stable

Rural Hipotecario XI, FTA
Class A (ES0323975005); downgraded to 'A+sf' from 'AAsf'; Outlook
Class B (ES0323975013); affirmed at 'A+sf'; Outlook Stable
Class C (ES0323975021); upgraded to 'BBB-sf' from 'BB+sf'; Outlook

Rural Hipotecario XII, FTA
Class A (ES0323976003); downgraded to 'A+sf' from 'AAsf'; Outlook
Class B (ES0323976011); affirmed at 'A+sf'; Outlook Stable
Class C (ES0323976029); affirmed at 'BBB-sf'; Outlook Stable

The transactions comprise residential mortgage loans originated
and serviced by multiple rural saving banks in Spain. The
transactions are part of the Rural Hipotecario RMBS series and
closed between 2008 and 2009, with weighted average seasoning of
approximately 10 years.


Error Correction
The downgrade of the class A notes follows the correction of an
error that occurred during the last annual surveillance review on
June 17, 2016. In accordance with Fitch's counterparty criteria,
the notes' ratings should have remained capped at 'A+sf', the
highest achievable rating for the transactions considering the
account bank replacement trigger defined within the transaction
documents at 'BBB+'/'F2'.

Credit Enhancement (CE) Trends
The sequential pay down of the notes and the non-amortising
reserve funds are allowing CE to increase in most cases, which is
reflected in the upgrade of class C notes of Rural Hipotecario XI.
The transactions allow pro-rata amortisation of the notes as long
as delinquencies remain below certain triggers and tranche
thickness levels are maintained. Currently, only Rural Hipotecario
XI is amortising class A and B notes on a pro-rata basis. However,
it is likely that conditions for pro rata payment will be
fulfilled for Rural Hipotecario X over the next payment dates.

Stable Asset Performance
The securitised mortgage portfolios have built some substantial
seasoning of approximately 10 years. As such, the weighted average
current loan-to-value (LTV) ratios have dropped below 50%,
compared with the weighted average original LTV of just below 70%.

Three-month plus arrears (excluding defaults) as a percentage of
the current pool balance are in the range of 0.9% and 1.2% for the
transactions, broadly in line with Fitch's index of three-months-
plus arrears of 0.9%. Gross cumulative defaults remain below the
average observed for Spain of 5.6% for the three transactions with
3.5%, 3.3% and 0.3% for Rural Hipotecario X, XI and XII

Portfolio Risky Attributes
Fitch has applied a 15% increase to the base foreclosure frequency
assumption for loans located in regions that represent each more
than 35% of the portfolio balance, such as Castilla La Mancha with
a 36% exposure in Rural Hipotecario XII. Additionally, the
portfolios include between 20-25% of loans to self-employed
borrowers, which are considered risky borrowers and are subject to
an increased foreclosure frequency of 60%.

Restructured Loan Exposure
Fitch has received additional data on modification of the
underlying portfolios and has found that all three transactions
have been subject to maturity extensions of between 1.5% (Rural
Hipotecario X) and 2.4% (Rural Hipotecario XII) of the outstanding
balance. In the absence of sufficient payment history data for
such loans, Fitch has added their balance to the three months plus
arrears bucket, in line with Fitch Spanish criteria addendum.


The class A notes' ratings in these transactions could be upgraded
to the maximum achievable rating for Spanish structured finance
transactions of 'AA+sf' if the account bank replacement triggers
were defined at the 'A-' or 'F1' level as specified in Fitch's
counterparty criteria, all else being equal.

A worsening of the Spanish macroeconomic environment, especially
employment conditions or an abrupt shift of interest rates could
jeopardise the underlying borrowers' affordability. This could
have negative rating implications, especially for junior tranches
that are less protected by structural CE.


CLARIANT AG: Moody's Affirms Ba1 CFR, Outlook Developing
Moody's Investors Service changed to developing from negative the
outlook on all ratings of Clariant AG (Clariant) following the
announcement that Clariant and Huntsman Corporation (Ba3 review
for upgrade) reached a definitive agreement to combine in a merger
of equals through an all-stock transaction. Concurrently, Moody's
affirmed the company's Ba1 corporate family rating (CFR), Ba1-PD
probability of default rating (PDR) and the Ba1 ratings assigned
to its various senior unsecured debt instruments.


The revision of the rating outlook to developing from negative
reflects Moody's belief that an all stock merger with Huntsman
would enhance Clariant's credit profile by creating a large
chemical group benefiting from greater scale and a more
diversified business portfolio in terms of products, geographies
and end-markets. Based on year-end 2016 financials, the two
companies had combined sales of CHF15.4 billion and generated
EBITDA of CHF1.86 billion (as adjusted by Moody's). In addition, a
successful IPO of Huntsman's pigments and additives businesses
(Venator) that is expected to take place in summer 2017, could
raise sizeable cash proceeds and allow the combined group to
significantly reduce financial leverage post merger.

However, Moody's also notes that both the merger and Venator IPO
give rise to some execution risk. This may constrain the operating
profitability and cash flow generation of the combined company
post merger, and prevent the necessary strengthening in financial
profile that would create some positive momentum on Clariant's Ba1

At year-end 2016, the combined company had balance sheet debt of
CHF7.14 billion and cash of CHF1.74 billion, leaving adjusted pro
forma Moody's adjusted total debt to EBITDA at 4.9x (after giving
effect to Clariant's 2017 bond redemptions) and net debt to EBITDA
at 4.3x. While the Venator IPO could potentially generate $2
billion of proceeds, which could be used for de-leveraging, the
valuation that will be achieved for the business remains
uncertain. Also, the combined company expects to generate over
$400 million in synergies (mainly through savings in procurement
and fixed costs) within three years of closing at a total cost of
over $500 million, mostly in 2017 and 2018. While this is
equivalent to a relatively modest 2.5% of combined sales, Clariant
and Huntsman have limited overlap in raw materials and end
markets, which may render the target challenging to attain.

Moody's acknowledges that management of both Clariant and Huntsman
have expressed their commitment to attaining investment grade
ratings. The use of all proceeds from the Venator IPO for
deleveraging would result in the combined company's leverage (as
adjusted by Moody's) falling well below 3.0x by the end of 2018.
However, in order to satisfy itself that the merged company could
sustain an investment grade status, Moody's will, over the next
few months, assess the company's plans for dividend growth,
capital spending, shareholder remuneration, as well as
management's longer term targets for financial metrics, along with
the potential size and scope of future acquisitions.

The principal methodology used in these ratings was Global
Chemical Industry Rating Methodology published in December 2013.

Headquartered in Muttenz, Switzerland, Clariant AG is a leading
international specialty chemicals group with four main businesses:
Care Chemicals, Catalysis, Natural Resources and Plastics &
Coatings. In 2016, Clariant reported revenues of approximately
CHF5.8 billion (approximately $5.9 billion) from continuing

Huntsman Corporation (Huntsman) is a global manufacturer of
differentiated and commodity chemical products. Huntsman's
products are used in a wide range of applications, including
adhesives, aerospace composites, automotive & construction
products, durable and non-durable consumer products, electronics,
medical, packaging, paints and coatings, refining and synthetic
fibers. Huntsman has revenues of almost $10 billion. Huntsman
International LLC (HI) is the primary issuer of debt.


ZIRAAT KATILIM: Fitch Assigns BB+ Long-Term Issuer Default Rating
Fitch Ratings has assigned Turkey's Ziraat Katilim Bankasi A.S. a
Long-Term Foreign-Currency Issuer Default Rating (IDR) of 'BB+'
and Long-Term Local-Currency IDR of 'BBB-'. The Outlook is Stable.


Ziraat Katilim's ratings are driven by potential support from its
parent, T.C. Ziraat Bankasi A.S. (Ziraat; BB+/Stable). Its ratings
are equalised with those of Ziraat (100% ownership) reflecting
Fitch's view that Ziraat would have a high propensity to provide
support to Ziraat Katilim, should this be required. Ziraat
Katilim's board members, risk systems and branding are drawn from
its parent. Fitch has not assigned a Viability Rating to Ziraat
Katilim given that the bank is in high cooperation with and
receiving support from Ziraat and has a limited track record.

Ziraat Katilim is small relative to Ziraat, representing about 2%
of consolidated assets at end-2016. Nevertheless, Fitch believes
Ziraat Katilim is a core subsidiary of Ziraat, considering its
important role in offering Islamic banking services and the
government's focus on development of this sector. The Stable
Outlook on Ziraat Katilim's Long-Term ratings mirrors that on
Ziraat's ratings.

In Fitch's view, the Turkish authorities would be likely to
provide support to Ziraat (fully state-owned) to downstream to
Ziraat Katilim, should this be required.

Ziraat Katilim controlled a low 0.3% of total Turkish banking
sector assets, while its share in Turkey's Islamic banking assets
was a higher 6% at end-2016. Ziraat Katilim has ambitious growth
plans and aims to increase its market share in the Turkish Islamic
banking sector (to 13%-14%) by 2019. Ziraat Katilim's performance
metrics should improve as the bank scales up.

The bank was set up with USD300 million capital in 2015
(equivalent to TRY675 million at May-2015) and capital increased
by TRY72 million in 2016. The bank expects a TRY500 million
capital increase in 2017, to support growth. Fitch does not
expects any dividend payments are expected in this period. The
bank's total regulatory capital ratio (12.5% at end-2016) was
close to the regulatory recommended level of 12% but should be
supported by the planned capital increase. Capital comprised
almost all Tier 1 capital.

The bank has a short track record of performance and therefore
asset quality is not fully comparable with Turkish peers. Fitch
expects loan losses to increase as the loan book seasons after
rapid growth. In addition, the loans portfolio is concentrated
given the bank's small size and focus on the corporate segment.
The bank will be targeting the SME segment, which should decrease
concentration risk as the customer base broadens.

Ziraat Katilim is mainly funded through customer funds (89% of
total funding at end-2016) and the bank also has murabaha
syndication from international market and sukuk issuances in the
local market. The bank aims to tap international sukuk markets to
diversify and lengthen the maturity of funding.


Ziraat Katilim's ratings are sensitive to a change in Ziraat's
ratings or to a reduction in the parent's ability or propensity to
provide support, for instance due to a change of strategy in
respect to Islamic banking.

The rating actions are:

Long-Term Foreign-Currency IDR assigned at 'BB+'; Outlook Stable
Long-Term Local-Currency IDR assigned at 'BBB-'; Outlook Stable
Short-Term Foreign-Currency IDR assigned at 'B'
Short-Term Local-Currency IDR assigned at 'F3'
Support Rating assigned at '3'
National Long-Term Rating assigned at 'AAA(tur)'; Outlook Stable


MYKHAILIVSKY BANK: Kyiv Court Cancels Liquidation
UNIAN, citing FinClub, reports that Kyiv's District Administrative
Court on May 15, on the suit by Ecosipan company, the sole owner
of the Mykhailivsky Bank, canceled the decision of the National
Bank of Ukraine (NBU) on the insolvency of the Mykhailivsky Bank,
the decision of the Deposit Guarantee Fund to introduce an interim
administration in the financial institution, and their joint
decision to liquidate it.

According to UNIAN, FinClub relates the court stated that the
transfer of UAH1.507 billion from the account of Investment and
Settlement Center to the accounts of individuals, although
increasing the liabilities of the Deposit Guarantee Fund, was not
in fact a "banking operation", because Mykhailivsky Bank was not a
party to the loan agreements, only executing the client orders.

Given this, the court decided that Mykhailivsky Bank had not
conducted transactions, as a result of which its obligations to
individuals within the guaranteed amount increased due to the
reduction of liabilities to legal entities, UNIAN notes.  So, the
court stated there were no reasons for insolvency, UNIAN relays.
At the same time, the court refused to "oblige the NBU to take all
necessary steps to restore the functioning of the Mykhailivsky
Bank as a financial institution", UNIAN discloses.

The National Bank is preparing an appeal, UNIAN states.

"The National Bank does not agree with the decision of Kyiv's
District Administrative Court, which on May 15, 2017, issued a
resolution partially satisfying the lawsuit lodged by Ecosipan and
canceling the decision of the NBU to classify Mykhailivsky Bank as
insolvent and liquidate it, as well as both decisions of the
Deposit Guarantee Fund," UNIAN quotes the NBU as saying.

The NBU on May 23, 2016 declared Mykhailivsky bank insolvent due
to the bank's suspicious transactions with deposits of
individuals, UNIAN recounts.

UKRAINE: Russian Government Seeks Interim Payment of Debt
Kit Chellel and Daryna Krasnolutska at Bloomberg News report
that Russia wants Ukraine to set aside US$325 million in exchange
for delaying enforcement of a U.K. court ruling to repay a US$3
billion Eurobond that's been in default for more than two years.

At a hearing on May 26 in London, the bond's trustee, acting on
behalf of Russia, said Ukraine should make an interim payment to
the court, or the trustee, until the legal dispute is resolved,
Bloomberg relates.  With Ukraine poised to appeal against
aninitial verdict against it over the bond from March, Russia
accepts the need for a delay, Bloomberg discloses.

Ukraine, Bloomberg says, is resisting the request.

According to Bloomberg, Ukraine lawyer Bankim Thanki, told the
judge "The motivation behind this is to put obstacles in the way
of an appeal."

Mr. Thanki, as cited by Bloomberg, said making any significant
payment would be "potentially catastrophic" for Ukraine because of
its "very precarious" financial position.

The bond dates back to 2013, when Ukraine was ruled by Russian-
backed President Viktor Yanukovych, who was ousted just months
later, prompting Russia's annexation of Crimea, Bloomberg
recounts.  The revolution and a subsequent Kremlin-backed
insurgency pushed Ukraine to the brink of bankruptcy before a 2015
debt restructuring, Bloomberg notes.  Russia refused to join that
deal and filed a lawsuit to force Ukraine to repay the full
amount, plus interest, according to Bloomberg.

At the end of the hearing, the judge retired to consider a verdict
and said he would deliver a judgment at a later date, Bloomberg

According to Bloomberg, Ukraine said on May 26 that its weak
economic position means it can't pay out any significant sum.
Repayment would also jeopardize existing restructuring agreements
with creditors and a US$17.5 billion bailout from
the International Monetary Fund.

Ukraine plans to submit an appeal to the initial ruling on
June 23, Bloomberg discloses.

Russia alleges that Ukraine will use every available method to
avoid the debt, Bloomberg relays, citing court documents from the
hearing on May 26.

Ukraine's lawyer Thanki said it is "impossible" for the country to
make such promises, because any repayment would require new
legislation, Bloomberg notes.

U N I T E D   K I N G D O M

GEMGARTO 2015-1: Moody's Assigns B2(sf) Rating to Cl. X1 Notes
Moody's Investors Service has upgraded the rating of one note in
Gemgarto 2015-1 Plc, a UK RMBS deal. At the same time, four notes
have been affirmed. The upgrade reflects the increased levels of
credit enhancement and better than expected collateral
performance. Moody's affirmed the ratings of the notes that had
sufficient credit enhancement to maintain the current ratings on
the affected notes.


The rating action on class C was prompted by the deals
deleveraging which results in an increased credit enhancement for
the affected tranche. The credit enhancement for class C increased
from 6.52% to 20.78% since closing.

Moody's affirmed the ratings of the remaining tranches that had
sufficient credit enhancement to maintain the current rating on
the affected notes.

Moody's has also assessed loan-by-loan information as a part of
its detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future
losses and maintained the MILAN at 10%. As a part of the review
Moody's reassessed the transaction's lifetime loss expectation,
based on the collateral performance to date, Moody's reduced the
Expected Loss in this deal to 1.1% from 1.8%.

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
these ratings for RMBS securities may focus on aspects that become
less relevant or typically remain unchanged during the
surveillance stage.

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

Factors or circumstances that could lead to an upgrade of the
ratings include (1) performance of the underlying collateral that
is better than Moody's expected, (2) deleveraging of the capital
structure and (3) improvements in the credit quality of the
transaction counterparties.

Factors or circumstances that could lead to a downgrade of the
ratings include (1) an increase in sovereign risk, (2) performance
of the underlying collateral that is worse than Moody's expected,
(3) deterioration in the notes' available credit enhancement and
(4) deterioration in the credit quality of the transaction


Issuer: Gemgarto 2015-1 Plc

-- GBP423M Class A Note, Affirmed Aaa (sf); previously on Jun 9,
    2015 Definitive Rating Assigned Aaa (sf)

-- GBP19.3M Class B Note, Affirmed Aaa (sf); previously on Jun
    9, 2015 Definitive Rating Assigned Aaa (sf)

-- GBP19.3M Class C Note, Upgraded to Aaa (sf); previously on
    Jun 9, 2015 Definitive Rating Assigned Aa1 (sf)

-- GBP21.8M Class D Note, Affirmed A2 (sf); previously on Jun 9,
    2015 Definitive Rating Assigned A2 (sf)

-- GBP14.5M Class X1 Note, Affirmed B2 (sf); previously on Jun
    9, 2015 Definitive Rating Assigned B2 (sf)

HEATHROW FINANCE: Fitch Rates GBP250MM HY Notes Issuance BB+(EXP)
Fitch Ratings has assigned Heathrow Finance plc's planned issuance
of around GBP250 million of high yield (HY) notes a 'BB+(EXP)'
rating. The Outlook is Stable. Heathrow Finance plc's existing HY
notes rated 'BB+' with Stable Outlook, Heathrow Funding Limited's
existing class A notes rated 'A-' and B notes both rated 'BBB'
with Positive Outlooks are unaffected.

The final ratings are subject to the receipt of final documents
conforming to information already received.

The issuance of the HY notes will not change the credit risk
profile of the existing notes. Since 2014, Fitch has expected
their issuance and included them in Fitch cash flow analysis at
Fitch last annual review in October 2016 albeit at a later date in
2019. In Fitch ratings action commentary dated October 16, 2014,
Fitch reviewed the option available to management to gradually
increase the debt to regulatory asset base (RAB) ratio of the HY
notes in the medium term to 87.5% from 85.0% which allowed a
gradual push down to Heathrow Finance of all the debt at the
holding company ADI Finance 2 Limited (ADIF2).

In light of the favourable debt market conditions, management
brought forward the issuance of these HY notes to refinance around
GBP250 million of the remaining GBP310 million of ADIF2 debt. As a
result, the debt to RAB will increase to 87.3% from 85.5%. For the
next two years, only around 2.5pp of headroom will remain.
However, from September 2019, headroom will mechanically increase
back to 5pp as per management's historical guidance when the HY
notes (GBP263 million outstanding) containing the debt to RAB
covenant level of 90.0% matures. The remaining HY notes issued
since 2014 have a net debt to RAB covenant of 92.5%.

Fitch expects to affirm the existing notes at funding of the new
HY notes. This reflects Heathrow's continued solid operational
performance together with the favourable terms of the new debt
issued since Fitch's last annual review. Passenger traffic of 75.7
million in 2016 was marginally ahead of Fitch's base case by 0.4%.
Management also secured over GBP500 million of cheaper senior debt
than forecast saving between GPB20 million-GBP25 million per year.
Similarly, the refinancing of the ADIF2 debt will be brought
forward at a significantly lower cost than Fitch assumed.

Heathrow's strong credit metrics, which on their own could warrant
an upgrade, underpin the Positive Outlook on the class A and B
bonds. However, the uncertainties around the new regulatory regime
'H7', with the current 'Q6' ending in 2019, and the full impact of
Brexit prevent immediate rating action. The deeply structural and
contractual subordinated nature of the HY bonds prevents any
foreseeable upgrades.


Large Hub With Resilient Traffic: Volume Risk - Stronger
LHR is a large hub/gateway airport serving a strong origin and
destination market. LHR benefits from resilient traffic
performance with a maximum peak-trough fall in annual traffic of
just 4.4% through the last major economic crisis in 2008, one of
the lowest declines in the industry, due to a combination of
factors. This includes the attractiveness of London as a world
business centre; the role of LHR as a hub offering strong yield
for its resident airlines; the location and connectivity of LHR
with the well-off western and central districts of the city; and
unsatisfied demand as underlined by the capacity constraint at

Regulated and Inflation-Linked: Price Risk - Midrange
LHR is subject to economic regulation, with a price cap calculated
under a single till methodology based on RPI+X, currently set by
the Civil Aviation Authority (CAA) at RPI-1.5% for the current
regulatory period 'Q6' extended by one year to December 2019. Part
of the CAA's duties is to ensure that airport operations and
investments remain financeable, but the price cap is highly
sensitive to assumptions on cost of capital, traffic and
operational efficiency. For example, the traffic forecast for Q5
calculated before the 2007-2008 crisis proved overly optimistic.
However, this was partly offset by higher than planned inflation.

Well Maintained but Capacity Constrained: Infrastructure
Development/Renewal - Stronger
LHR agrees a detailed capital investment plan with the regulator.
Fitch believes that LHR will be able to deliver the GBP3.5 billion
'Q6' capital plan based on its track record to date such as the
successful delivery of the brand new terminal T2 in 2014. The
regulated asset base approach allows for the self-financing of the
investments through tariffs.

Refinancing Risk Mitigated: Debt Structure - Midrange (Class A);
Midrange (Class B); Weaker (HY)
The issuer's strong capital market access, due to an established
multi-currency debt platform and the use of diverse maturities
mitigates the hedging and refinancing risk. Class A debt benefits
from its seniority, security, and protective debt structure with
covenants ring-fencing of all cash flows from LHR and limiting
leverage. The class B bonds benefit from many of the strong
structural features of the class A bonds apart from seniority. The
HY bonds have a weaker debt structure due to their deep structural
and contractual subordination.


Heathrow is one of the most robust assets in the global sector. It
has higher leverage than its European peers (Aeroports de Paris at
'A+'), albeit with a better debt structure for senior debt.
Compared with Gatwick (BBB+), Heathrow's class A and B bonds
benefit from a stronger revenue risk profile.


Future developments that may, individually or collectively, lead
to positive rating action include:

Class A bonds: net debt to EBITDA below 7x and average PMICR
above 1.8x.

Class B bonds: net debt to EBITDA below 8x and average PMICR
above 1.5x.

HY bonds: An upgrade is unlikely given LHR's management of its
capital structure and subsequent targeting of HY investors.

Future developments that may, individually or collectively, lead
to negative rating action include:

Class A bonds: net debt to EBITDA consistently above 8x and
average PMICR below 1.6x.

Class B bonds: net debt to EBITDA consistently above 9x and
average PMICR below 1.3x.

HY notes: net debt to EBITDA above 10x, PMICR below 1.15x and
dividend cover below 3.0x.

Exposure to Aviation Downturn

The Positive Outlook reflects the expectation that LHR will
continue to post a stable performance, despite economic prospects.
A marked and durable degradation of the British economy as a
result of uncertainties Brexit negotiations, among others, could
derail LHR's resilience. Evidence of recessionary prospects over a
two-year horizon could prompt a revision of the Outlook to Stable
or Negative.


Performance Update

LHR's strong operational and financial performance is in line with
Fitch's base case. Traffic is improving again strongly this year,
rising by 2.2% year-on-year in 1Q17. This follows positive growth
rates of 1.0% in 2016, 2.2% in 2015, 1.1% in 2014 and 3.4% in

The decision on the potential third runway at Heathrow has been
taken by the prime minister. However, many legal hurdles remain
and Fitch understands that the planning process could take another
four years before any works can begin. In the short to medium
term, Fitch does not expect any impacts on the notes' ratings but
will closely monitor any developments.

Fitch Cases

Fitch's rating case (FRC) between 2015 and 2020 reflects the
traffic five-year CAGR of 0.6%, which occurred through the last
economic cycle between 2006 and 2011. Fitch assumed fewer
efficiency savings in addition to increasing the cost of new debt
by 200bp in 2019 to reflect adverse financing conditions. Heathrow
outperformed the CAA's 'Q6' final decision for traffic, which
assumed potential traffic shocks. Under the FRC, Fitch expects
EBITDA to reach GBP1,735 million in 2019 from GBP1,682 million in
2016, representing a CAGR of 1.0%.

The five-year average PMICR under the FRC remains unchanged at
2.0x for the class A bonds, 1.6x for the class B bonds and 1.4x
for the HY debt. Average five-year net debt to EBITDA also remains
unchanged except for the HY notes, which marginally increases to
8.0x from 7.8x due to the advancement of the debt issuance. The
class A notes leverage remains 6.3x and the class B notes 7.2x.
The dividend/interest cover ratio at Heathrow Finance level also
far exceeds the 3.0x typically observed for 'BB+' utilities holdco
debt rating.

Asset Description

Heathrow is a major global hub airport with significant origin and
destination traffic and resilience due to its status as the
preferred London airport and capacity constraints. Peers include
Aeroports de Paris in terms of size and Gatwick in terms of
location and debt structure.

Revenues are regulated and subject to an inflation price cap on a
single till basis. Fitch views the structured, secured and
covenanted senior debt as offsetting some of the higher expected
five-year average leverage under Fitch's rating case for the class
A and B bonds compared to peers. The HY bonds are, by nature,
structurally subordinated.

PERFORM GROUP: S&P Lowers CCR to 'CCC+', Outlook Stable
S&P Global Ratings lowered its long-term corporate credit rating
on U.K.-based multimedia sports content provider Perform Group
Ltd. to CCC+' from 'B-'.  The outlook is stable.

S&P also lowered its issue rating on Perform's GBP175 million
senior secured notes to 'CCC+' from 'B-', and S&P's issue rating
on the group's GBP50 million super senior revolving credit
facility (RCF) to 'B' from 'B+'.  The recovery ratings are
unchanged at '4' and '1', respectively.  These indicate S&P's
expectation of average recovery (30%-50%; rounded estimate 40%)
for the notes and very high recovery (90%-100%; rounded estimate
95%) for the RCF in the event of a payment default.

The downgrade reflects S&P's view that Perform Group's credit
metrics will weaken, both at the restricted group level (that is,
excluding its start-up video-on-demand service, OTT) and at the
consolidated level (including OTT) in the next 12 months.  S&P
anticipates that OTT-related cash outflows will continue to erode
the group's consolidated results, although OTT is not part of the
restricted group that guarantees the GBP175 million notes.

The restricted part of the group has also experienced pressure
from its U.S. media business, which is due to be closed in 2017.
The restructuring costs associated with this closure are likely to
weigh on EBITDA in the restricted group.  Thus, S&P expects
Perform's credit metrics to remain weak in 2017 and 2018, on both
a restricted and a consolidated basis.

At the same time, the restricted group has benefitted from the
strong demand for its betting and data products that underpinned
the 27.5% year-over-year revenue growth in the content segment.
The restricted group revenues reached almost GBP290 million in
2016, representing growth of 12% compared with 2015.

In August 2016, Perform Group launched its OTT start-up business,
releasing the website in Japan, Germany, Austria, and
Switzerland.  On this website, users can watch sports
championships live and on demand, using any device (computers,
laptops, tablets, or smartphones).  Currently, OTT has the right
to show games from the NFL, NBA, Premier League, La Liga, and
League 1 championships.

The launch of the OTT platform resulted in negative EBITDA
generation on a consolidated basis.  S&P estimates that its
adjusted EBITDA was about -GBP39 million in 2016 on a fully
consolidated basis, but that EBITDA was positive at GBP33 million
excluding the OTT business.

In addition, the OTT business has secured several sport rights,
and has committed up to GBP1.8 billion over the next 10 years (as
of Dec. 31, 2016).  It has already started to make the first
payments for these rights, leading to strongly negative cash
outflows, with free operating cash flow (FOCF) of -GBP122 million
(including investment in OTT) corresponding to a GBP2.1 million
inflow for the restricted group (excluding the OTT business).  To
fund the purchase of sports rights, the OTT business received
GBP250 million in shareholder loans (convertible into equity at
the shareholder's option), maturing in August 2019.

Given that Perform's consolidated FOCF and EBITDA are negative,
the ratios given below refer only to the restricted group, whose
debt-to-EBITDA ratio was about 7x and EBITDA-to-interest cover
ratio was 1.6x.  When calculating adjusted EBITDA, S&P deducts
product development costs of about GBP22 million (GBP13 million
excluding OTT).

S&P anticipates that Perform's credit metrics will remain weak in
2017-2018 as the company continues to invest in its OTT business.
At the same time, S&P estimates that the restricted group's
leverage will remain high in 2017 because restructuring costs will
cause EBITDA to fall compared with 2016.  Most of the
restructuring costs relate to the closure of the U.S. media
business.  S&P expects leverage to start to decline when Perform
starts to deliver on its larger-scale contracts with the Women's
Tennis Association (WTA) and International Basketball Federation

S&P's base-case assumes:

   -- Growth in the U.K. economy of 1.7% in 2017 and 1.2% in
      2018.  S&P forecasts 1.5%-1.6% growth in the eurozone over
      the same period.  This will support consumers' disposable
      income, driving demand in the gaming markets.  The media
      segment will benefit from the digital advertising segment
      growing faster than GDP, but will be tempered by fierce

   -- Accelerating revenue growth in 2017 and beyond on the back
      of the group starting to deliver on its WTA and FIBA
      contracts and bundling products, and extending its existing
      platforms across multiple devices.

   -- Continued investment in the OTT business will affect both
      EBITDA and cash flow generation, leading to negative EBITDA
      and FOCF of more than GBP400 million in 2017, on a
      consolidated basis.

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

   -- Adjusted debt to EBITDA of about 8.5x-9.0x in 2017 and
      5.5x-6.0x in 2018 (excluding OTT).

   -- Adjusted EBITDA to interest coverage of about 1.5x in 2017
      and 2.4x in 2018 (excluding OTT).

The stable outlook signifies that S&P do not expect any liquidity
issues for Perform Group over the next 12 months, despite S&P's
view that the group's capital structure is unsustainable in the
long term.  In S&P's view, the company is currently vulnerable and
is dependent upon favorable business, financial, and economic
conditions to meet its long-term financial commitments.  S&P
expects that the investment in the OTT business will take
significantly longer than S&P previously anticipated and that the
low level of earnings compared to working capital outflows with
regards to funding of sport rights purchases will weigh on
consolidated cash flows of the group.

S&P could lower the ratings if the company is unable to generate
enough earnings to cover its working capital and capital
expenditure needs or if its liquidity weakens, as a result of
deterioration in the restricted group's operations.  In addition,
S&P could lower the ratings if S&P sees evidence of the restricted
group providing financial support to its start-up OTT business, or
if S&P predicted that the shareholders might raise further debt
against the assets or cash flows of the restricted group to
partially reimburse the shareholder loans in the OTT business
coming due in 2019.

S&P considers an upgrade unlikely at present, as it already
incorporates an assumption of material growth in Perform's
earnings into S&P's forecasts.  Given the highly leveraged capital
structure, an upgrade will hinge on earnings and credit metrics
improving sustainably.

VOYAGE CARE: Fitch Assigns BB- Rating to GBP215MM Secured Notes
Fitch Ratings has assigned Voyage Care Bondco PLC's GBP215 million
senior secured notes an instrument rating of 'BB-' with a Recovery
Rating of 'RR1' (100% recovery rate in the event of default) and
GBP35 million second lien notes an instrument rating of 'B-' with
a Recovery Rating of 'RR4' (33% recovery rate). Fitch has also
affirmed the 'B-'Long-Term Issuer Default Rating (IDR) for Voyage
Bidco Ltd. (Voyage) with Stable Outlook.

The new notes were used to refinance Voyage's existing GBP222
million senior notes maturing in August 2018 and GBP50 million
second lien notes maturing in February 2019. These notes were
redeemed on 13 May 2017. In addition, the refinancing saw an
equity contribution of GBP28 million into the business and
provided a GBP45 million revolving credit facility (RCF),
resulting in slightly better rating headroom.

The transaction has addressed Voyage's short-dated capital
structure and improved the company's liquidity profile over the
medium term. The modest equity injection as well as the lower
senior and second lien debt amounts, have been reflected in Fitch
updated Recovery Ratings. Fitch bases Fitch recovery analysis on a
liquidation approach given Voyage's significant owned real estate


Significant Asset Base: The instrument ratings and recovery
prospects of Voyage are underpinned by its ownership of 90% of its
registered properties. Valued at GBP360 million in November 2016
(freehold and long leasehold assets), Voyage's strong portfolio of
freehold assets properties gives the company greater operating
flexibility due to lower rental costs. This underpins Fitch
superior recovery expectations for the secured notes, which are
reflected in the instrument rating being three notches above the
IDR. Fitch bases its recovery analysis on the company's underlying
asset values, by applying a liquidation approach.

Average Recovery Prospects for Second Lien Notes: Based on Fitch
recovery assumptions, the second lien notes carry moderate
recovery prospects in a default scenario given their subordination
to the super senior RCF and senior secured notes in the debt
waterfall. This is reflected in the instrument rating of 'B-'

Pressure on Credit Metrics: Fitch conservatively expects funds
from operations (FFO) adjusted net leverage to peak at above 7.5x
in financial year ending March 2018 (FY18), with only gradual and
modest deleveraging thereafter. The anticipated increase in
leverage and weak free cash flow (FCF) generation, together with
FFO fixed charge cover of just above 1.5x, underpin the IDR of 'B-
'. However, Fitch expects slightly better financial flexibility by
way of lower interest costs leading to improved free cash flow
(FCF) generation and FFO fixed charge cover trending towards 2.0x
by FY19.

Diversified Services Support Credit Profile: Voyage's business
risk profile is supported by a diversified service offering
covering the full spectrum of social care needs for people with
learning disabilities in either a registered care home, a
supported living setting or as outreach services. Voyage's service
line diversification provides resilience to the tightening in
registered care homes eligibility criteria set by local
authorities as they move towards less costly options such as
supported living and domiciliary care.

Meaningful Execution Risk: Voyage's strategy is to expand
substantially its community-based care services business, which
bears some execution risks in Fitch views. However, Fitch sees
Voyage's ability to offer the full service spectrum to local
authorities as a key competitive advantage compared with smaller,
less diversified players.

Dependence on Local-Authority Funding: Voyage's ratings are
constrained by a high dependence on local government, which
accounts for around 90% of the company's funding. Due to the
current reduction in UK local-authority budgets, Fitch expects the
average level of fees paid by them to remain under pressure. The
implementation of the council tax precept (an option to increase
council tax with revenues ring-fenced for social care) by the
majority of local authorities has resulted in an increase in
average fees, although not sufficient to compensate fully the
existing underfunding of care, which has been exacerbated by the
introduction of the National Living Wage. As a result, Fitch
expects Voyage EBITDA margin to remain under pressure.

Volatile Outlook for UK Social Care: The UK social care market
will remain difficult, entering a period of short-term volatility,
characterised by continued growth in demand, further expected wage
inflation and potentially widening labour shortage as a result of
the focus on limiting immigration.

Fitch is sceptical about the current political will and ability to
address the long-term funding issues given the current political
priorities relating to Brexit and the uncertainty it presents to
the long-term planning of public finances. In Fitch's opinion,
this will remove some of the visibility for the sector and
increase short-term volatility, which could delay any further
consolidation in the short term. The subject has, however, gained
greater prominence in the political debate and is emerging as a
central topic in the run-up to the general election in June 2017.


Fitch has observed significantly pressures on ratings in the UK
leveraged care home sector that has been affected by a reduction
of local authorities' fee rates in real terms, with pressures on
profitability exacerbated by increasing costs as a result of the
increase in the National Living Wage from April 2016.

This has led to impaired profitability across the sector as cost
inflation could not be passed on to payers, increasingly
threatening the underlying business model of operators and making
leveraged capital structures increasingly unsustainable.

However, immediate funding pressures have eased as local
authorities are now able to raise the social care council tax
precept, which - as it is applied cumulatively over years - has
alleviated imminent funding shortages. During late 2016 the sector
saw for the first time funding increases, predominantly in areas
of most critical needs such as elderly services.


Fitch's key assumptions within Fitch ratings case for the issuer

- Increase in sales by 3% in FY17, 6% in FY18 and around 12%
thereafter, mainly driven by a significant growth of community-
based care services through tender wins, together with an average
2%-3% increase in local-authority average weekly fee funding the
registered care division;

- EBITDA margins declining to 14.1% in 2020 from 20.3% in 2016
mainly due to a shift in Voyage's business mix with an expansion
of the community base care services division which is expected to
represent 45% of Voyage Care revenue in 2020 compared with 25% in
2016. In addition, payroll costs will rise due to the introduction
of the National Living Wage in April 2016, which is not adequately
compensated by the local authorities' increase in fees, especially
for the Community Base Care Services division.

- Capex at around 6% of sales up to FY18, 4% of sales thereafter.
Capex is essentially maintenance capex, which is compulsory for
the reputation and the occupancy rate of the business.

- FCF generation flat during FY17 and FY18, followed by around 3%
of sales on average.

- No dividends paid.


Future Developments That May, Individually or Collectively, Lead
to Positive Rating Action

- Improving medium-term visibility around the sustainability of
the UK social care business model, resulting in greater scale
(EBITDA above GBP50 million) and/or improving profitability and
cash generation along with:

- FFO adjusted net leverage of 6.5x or below on a sustained

- FFO fixed charge coverage above 2.0x;

- Sustained FCF generation translating into FCF margin of at
least low -single digits as a percentage of sales.

Future Developments That May, Individually or Collectively, Lead
to Negative Rating Action

- Further pressure on the UK social care business model,
including Voyage's inability to reposition the business model
towards the growth of the assisted living sector, leading to:

- FFO adjusted net leverage trending above 8.5x on a sustained

- FFO fixed charge coverage sustainably below 1.5x;

- Sustained negative FCF generation leading to weak liquidity


Fitch considers Voyage's liquidity is satisfactory with cash on
balance sheet of GBP28 million post-refinancing, together with
committed undrawn RCF of GBP38 million.

Voyage does not have meaningful debt maturities in the near-term
as the group's newly issued GBP215 million senior secured notes
and GBP35 million second lien mature in 2023.


* BOND PRICING: For the Week May 22 to May 26, 2017

Issuer                      Coupon     Maturity  Currency Price
------                      ------     --------  -------- -----
Agrokor dd                    9.88     5/1/2019    EUR    34.31
Banco Popular Espanol SA      8.25                 EUR    61.18
Eldorado Intl. Finance Gmb    8.63    6/16/2021    USD    78.12
Rickmers Holding AG           8.88    6/11/2018    EUR     6.50
CGG SA                        5.88    5/15/2020    EUR    41.00
CSN Resources SA              6.50    7/21/2020    USD    73.57
Agrokor dd                    9.13     2/1/2020    EUR    33.32
Intelsat Luxembourg SA        7.75     6/1/2021    USD    59.00
Aegon NV                      0.53                 EUR    70.49
Alitalia-Societa' Aerea It    5.25    7/30/2020    EUR    19.00
Frigoglass Finance BV         8.25    5/15/2018    EUR    57.00
Agrokor dd                    8.88     2/1/2020    USD    35.25
Banca Popolare di Vicenza     2.75    3/20/2020    EUR    75.47
Holdikks SAS                  6.75    7/15/2021    EUR    59.33
International Bank of Azer    6.17    5/10/2017    USD    99.78
TES Finance PLC               6.75    7/15/2020    GBP    65.83
VistaJet Malta Finance PLC    7.75     6/1/2020    USD    74.53
Offshore Drilling Holding     8.38    9/20/2020    USD    37.67
Casino Guichard Perrachon     1.68                 EUR    69.19
CGG SA                        1.75     1/1/2020    EUR     1.53
Veneto Banca SpA              0.72    6/21/2017    EUR    43.75
Intelsat Luxembourg SA        8.13     6/1/2023    USD    56.28
Mitsubishi UFJ Investor Se    4.17   12/15/2050    EUR    55.72
QGOG Constellation SA         6.25    11/9/2019    USD    71.77
Ensco PLC                     5.75    10/1/2044    USD    71.76
Portugal Telecom Internati    4.63     5/8/2020    EUR    28.98
CGG SA                        6.50     6/1/2021    USD    42.28
Oi Brasil Holdings Coopera    5.75    2/10/2022    USD    30.50
Air Berlin PLC                5.63     5/9/2019    CHF    72.50
Banco Espirito Santo SA       2.63     5/8/2017    EUR    28.52
Co-Operative Bank PLC        11.00   12/20/2023    GBP    34.75
Ageasfinlux SA                1.02                 EUR    57.15
Avangardco Investments Pub   10.00   10/29/2018    USD    22.75
Air France-KLM                2.03    2/15/2023    EUR    12.29
Neopost SA                    3.38                 EUR    60.23
Credit Mutuel Arkea SA        0.79                 EUR    75.00
Portugal Telecom Internati    5.00    11/4/2019    EUR    30.54
CGG SA                        6.88    1/15/2022    USD    42.18
Portugal Telecom Internati    5.88    4/17/2018    EUR    30.50
Far East Capital Ltd SA       8.00     5/2/2018    USD    69.67
Immigon Portfolioabbau AG    10.00                 EUR    15.15
UkrLandFarming PLC           10.88    3/26/2018    USD    20.00
Portugal Telecom Internati    4.38    3/24/2017    EUR    29.90
Norske Skog Holding AS        8.00    2/24/2021    EUR    27.63
Banca Carige SpA              7.32   12/20/2020    EUR    68.11
Banca Carige SpA              8.34                 EUR    25.00
Banca Popolare di Vicenza     9.50    9/29/2025    EUR    13.50
Portugal Telecom Internati    4.50    6/16/2025    EUR    30.13
Santander International Pr    2.00                 USD    65.90
New Look Senior Issuer PLC    8.00     7/1/2023    GBP    74.70
OAS Investments GmbH          8.25   10/19/2019    USD     3.00
Privatbank CJSC Via UK SPV   10.25    1/23/2018    USD    24.04
Alno AG                       8.50    5/14/2018    EUR    55.75
Banca Popolare di Vicenza     2.82   12/20/2017    EUR    12.33
Aegon NV                      1.51                 NLG    73.40
Veneto Banca SpA              9.50    12/1/2025    EUR    14.13
BNP Paribas SA                1.15                 EUR    69.21
Bourbon Corp                  4.70                 EUR
Mitsubishi UFJ Investor Se    3.92   12/30/2099    EUR     3.98
Oi Brasil Holdings Coopera    5.63    6/22/2021    EUR    30.49
Sanha GmbH & Co KG            7.75     6/4/2018    EUR    74.63
ADLER Real Estate AG          2.50    7/19/2021    EUR    15.72
HSH Nordbank AG/Luxembourg    2.10                 EUR    19.32
SOITEC                        6.75    9/18/2018    EUR     3.23
Pierre & Vacances SA          3.50    10/1/2019    EUR    47.42
Co-Operative Bank PLC         8.50     7/1/2025    GBP    30.63
CGG SA                        1.25     1/1/2019    EUR    24.08
HSH Nordbank AG               7.25                 USD    26.98
WPE International Cooperat   10.38    9/30/2020    USD    17.00
Paragon Offshore PLC          6.75    7/15/2022    USD    22.38
Agrokor dd Via Aquarius +     4.92     8/8/2017    EUR    29.13
IMMOFINANZ AG                 4.25     3/8/2018    EUR     4.39
Jyske Bank A/S                0.84                 EUR    74.33
Jyske Bank A/S                1.05                 EUR    74.50
Privatbank CJSC Via UK SPV   11.00     2/9/2021    USD     5.01
Portugal Telecom Internati    6.25    7/26/2016    EUR    30.08
Banca Monte dei Paschi di     0.67   11/30/2017    EUR    38.75
Rothschilds Continuation F    1.69                 USD    67.59
Banco Espirito Santo SA       4.00    1/21/2019    EUR    28.06
Bilt Paper BV                 9.64                 USD    29.52
Banca Monte dei Paschi di     5.00    4/21/2020    EUR    37.52
Novo Banco SA                 3.50     1/2/2043    EUR    62.25
Elli Investments Ltd         12.25    6/15/2020    GBP    68.00
Pacific Drilling SA           5.38     6/1/2020    USD    46.00
Eramet                        4.00                 EUR    48.45
Scholz Holding Gmbh           8.50   12/31/2019    EUR     2.08
Banca Monte dei Paschi di     2.25    5/15/2018    EUR    35.67
Far East Capital Ltd SA       8.75     5/2/2020    USD    69.67
Nexity SA                     0.13     1/1/2023    EUR    68.97
Banca Monte dei Paschi di     5.60     9/9/2020    EUR    37.44
Fuerstenberg Capital Erste    1.45                 EUR    73.00
Johnston Press Bond Plc       8.63     6/1/2019    GBP    61.00
Sydbank A/S                   1.01                 EUR    73.67
VistaJet Malta Finance PLC    7.75     6/1/2020    USD    75.88
TES Finance PLC               5.34    7/15/2020    GBP    68.17
Waste Italia SpA             10.50   11/15/2019    EUR    16.13
Lambay Capital Securities     6.25                 GBP     1.36
Banco Espirito Santo SA       4.75    1/15/2018    EUR    27.88
NIBC Bank NV                  0.91                 EUR    70.06
ATF Capital BV                8.77                 USD    73.00
Sapinda Invest SARL           5.00    6/30/2019    EUR    50.00
Banco Espirito Santo SA       7.13   11/28/2023    EUR     0.71
Decipher Production Ltd      12.50    9/27/2018    USD     1.16
Alno AG                       8.00    3/21/2019    EUR    42.00
Privatbank CJSC Via UK SPV   10.88    2/28/2018    USD    20.33
BIM SAS                       2.50   11/13/2020    EUR    28.23
Mriya Agro Holding PLC        9.45    4/19/2018    USD     4.00
Aligera Holding AB publ       5.00     5/7/2019    SEK    66.03
KTG Agrar SE                  7.13     6/6/2017    EUR     2.36
Banca Carige SpA              2.77    6/19/2018    EUR    64.33
Yuksel Insaat AS              9.50   11/10/2015    USD    20.63
Allied Irish Banks PLC       12.50    6/25/2035    GBP    70.00
OGX Austria GmbH              8.50     6/1/2018    USD     0.03
Manchester Building Societ    6.75                 GBP    17.50
Bibby Offshore Services PL    7.50    6/15/2021    GBP    55.50
Popular Capital SA            0.93                 EUR    50.00
Norske Skogindustrier ASA     7.13   10/15/2033    USD    23.86
Norske Skogindustrier ASA     2.00   12/30/2115    EUR     8.25
Ichor Coal NV                 8.00     6/7/2017    EUR    42.50
Eldorado Intl. Finance Gmb    8.63    6/16/2021    USD    78.28
Phones4u Finance PLC          9.50     4/1/2018    GBP    72.88
OSX 3 Leasing BV             13.00    3/20/2015    USD    35.00
Paragon Offshore PLC          7.25    8/15/2024    USD    22.50
Scandinavian Airlines Syst    0.63                 CHF    24.38
Virgolino de Oliveira Fina   10.50    1/28/2018    USD     7.04
Belfius Bank SA/NV            5.35                 EUR    65.36
Pastor Participaciones Pre    1.84                 EUR    75.49
Novo Banco SA                 3.00    6/21/2022    USD    72.39
Hybrid Raising GmbH           6.63                 EUR    24.25
3W Power SA                   8.00    8/29/2019    EUR    40.63
Intesa Sanpaolo SpA           5.63    3/18/2024    GBP    68.60
Dexia Credit Local SA         1.40                 EUR     6.28
Espirito Santo Financial G    6.88   10/21/2019    EUR     0.08
Lloyds Bank PLC               0.43    2/22/2033    USD    56.50
Credit Lyonnais SACA          0.44                 EUR    68.00
Oceanteam ASA                12.40   10/24/2017    USD    45.00
New World Resources NV        8.00     4/7/2020    EUR     4.86
Agrokor dd                    8.88     2/1/2020    USD    34.64
Klarna AB                     5.25                 SEK    70.72
Alpine Holding GmbH           6.00    5/22/2017    EUR     0.40
Dexia SA                      1.45                 EUR     5.25
Dexia Kommunalbank Deutsch    4.88     6/1/2017    EUR    46.10
Havila Shipping ASA           5.43    11/7/2020    NOK    70.00
OP Corporate Bank plc         0.84                 EUR    71.97
IKB Deutsche Industriebank    5.63     8/1/2017    EUR    33.13
EFG International AG          0.97                 EUR    68.00
Novo Banco SA                 3.50    2/19/2043    EUR    62.25
Deutsche Bank AG/London       1.90   12/23/2035    USD    62.13
Tonon Luxembourg SA          10.50    5/14/2024    USD    42.70
Lehman Brothers UK Capital    5.13                 EUR     0.26
Banca delle Marche SpA        0.62     6/1/2017    EUR     0.99
Capital Raising GmbH          7.50                 EUR    23.74
ESFIL-Espirito Santo Finan    5.25    6/12/2015    EUR     0.29
Afren PLC                    11.50     2/1/2016    USD     0.15
Beate Uhse AG                 7.75     7/9/2019    EUR    27.63
Petrol AD                     5.50    1/26/2022    EUR    25.63
Eirles Two DAC                1.69    9/30/2046    USD    11.88
Vseukrainsky Aktsinerny Ba   10.90    6/14/2019    USD     1.24
Banca Popolare di Vicenza     4.60   12/15/2017    EUR    42.41
Smart Solutions GmbH          8.00    12/3/2018    EUR    47.88
Fred Olsen Energy ASA         3.89    2/28/2019    NOK    54.50
Lloyds Bank PLC               2.45   11/27/2033    USD    68.00
Pescanova SA                  5.13    4/20/2017    EUR     3.39
Innogy SE                     3.80     4/5/2033    USD    73.94
Barclays Bank PLC             0.66    3/21/2033    USD    56.15
More & More AG                8.13    6/11/2018    EUR    33.13
Sequa Petroleum NV            5.00    4/29/2020    USD    69.13
Ideal Standard Internation   11.75     5/1/2018    EUR     4.78
City of Kiev Ukraine Via C    8.00    11/6/2015    USD    64.88
Cooperatieve Rabobank UA      0.50   11/26/2021    ZAR    68.87
NTRP Via Interpipe Ltd       10.25     8/2/2017    USD    25.25
GEWA 5 to 1 GmbH & Co KG      6.50    3/24/2018    EUR    31.38
Intelsat Luxembourg SA       12.50   11/15/2024    USD    68.47
Novo Banco SA                 3.50    1/23/2043    EUR    62.33
Novo Banco SA                 3.50    3/18/2043    EUR    62.25
Royal Bank of Scotland PLC    1.94   12/30/2030    USD    70.88
Orco Property Group SA        7.00    11/7/2019    EUR    65.00
Touax SA                      6.00    7/10/2020    EUR    16.46
Agrokor dd                    9.88     5/1/2019    EUR    34.75
Greene King Finance PLC       2.42    3/15/2036    GBP    74.33
Aralco Finance SA            10.13     5/7/2020    USD     1.77
Wild Bunch AG                 8.00    3/23/2019    EUR    50.00
Frey                          6.00   11/15/2022    EUR    22.55
Norske Skogindustrier ASA     7.13   10/15/2033    USD    24.86
CSN Resources SA              6.50    7/21/2020    USD    74.44
Tonon Luxembourg SA           9.25    1/24/2020    USD    10.75
CGG SA                        5.88    5/15/2020    EUR    41.50
Norske Skog Holding AS        8.00    2/24/2023    USD    26.00
Espirito Santo Financial G    3.13    12/2/2018    EUR     0.31
Deutsche Bank AG/London       3.19   10/31/2034    USD    70.25
New World Resources NV        4.00    10/7/2020    EUR     0.24
Orient Express Bank PJSC v   12.00    5/29/2019    USD    53.38
CBo Territoria                6.00     1/1/2020    EUR     4.07
Belfius Bank SA/NV            1.62                 FRF    70.13
Santander Finance Capital     2.00                 EUR    56.27
Action SA                     3.21     7/4/2017    PLN    71.48
GNB - Cia de Seguros de Vi    3.17                 EUR    49.00
Societe Generale SA           0.81                 EUR    69.12
Phosphorus Holdco PLC        10.00     4/1/2019    GBP     2.10
Bank Nadra via NDR Finance    8.25    7/31/2018    USD     0.32
Praktiker AG                  5.88    2/10/2016    EUR     0.25
APP International Finance    11.75    10/1/2005    USD     0.56
Banca Carige SpA              1.67   12/29/2018    EUR    49.88
Banco Espirito Santo SA       2.32                 EUR     0.27
Stichting Afwikkeling Onde    6.25   10/26/2020    EUR     4.01
German Pellets GmbH           7.25   11/27/2019    EUR     0.83
Banca Monte dei Paschi di     7.00     3/4/2019    EUR    37.77
Lehman Brothers UK Capital    6.90                 USD     0.77
Lloyds Bank PLC               0.41    1/31/2033    USD    58.00
Belfius Bank SA/NV            4.61                 EUR    60.13
Lehman Brothers Treasury C    6.00    2/15/2035    EUR     9.13
Banco Pastor SAU              2.07                 EUR    54.62
Banca Monte dei Paschi di     0.67    1/15/2018    EUR    39.33
Pescanova SA                  8.75    2/17/2019    EUR     3.11
Koninklijke Luchtvaart Maa    0.75                 CHF    36.50
Offshore Drilling Holding     8.38    9/20/2020    USD    43.25
Havila Shipping ASA           4.82    11/7/2020    NOK    42.63
Lloyds Bank PLC               2.78   12/27/2028    USD    76.00
QGOG Constellation SA         6.25    11/9/2019    USD    71.52
CGG SA                        6.50     6/1/2021    USD    48.31
LBI HF                        6.10    8/25/2011    USD     8.75
Banca Popolare di Vicenza     8.50   12/28/2018    EUR    31.15
Cirio Holding Luxembourg S    6.25    2/16/2004    EUR     0.91
Corporate Commercial Bank     8.25     8/8/2014    USD     0.99
Barclays Bank PLC             2.12    3/28/2034    USD    70.05
Agrokor dd                    9.13     2/1/2020    EUR    34.18
Rudolf Woehrl AG              6.50    2/12/2018    EUR    16.00
Lloyds Bank PLC               0.24    4/26/2033    USD    56.00
Deutsche Bank AG/London       1.44    3/27/2035    USD    66.88
CNP Assurances                2.00                 EUR    73.50
Cooperatieve Rabobank UA      0.50   11/30/2027    MXN    43.21
Kaupthing ehf                 7.63    2/28/2015    USD    17.63
Virgolino de Oliveira Fina   11.75     2/9/2022    USD     7.04
Hellenic Republic Governme    2.09    7/25/2057    EUR    40.13
Electromagnetic Geoservice    6.96    6/27/2019    NOK    70.00
Tikehau Capital SCA           1.63     1/1/2022    EUR    61.70
Dexia Kommunalbank Deutsch    5.63   12/31/2017    EUR    13.13
Volstad Shipping AS           6.89    4/15/2019    NOK    25.00
Barclays Bank PLC             2.85    1/27/2031    USD    66.13
PNE Wind AG                   3.75   10/10/2019    EUR     3.32
Teksid Aluminum Luxembourg   11.38    7/15/2011    EUR     0.39
Barclays Bank PLC             2.76    7/31/2034    USD    73.00
Mox Telecom AG                7.25    11/2/2017    EUR     3.30
Paragon Offshore PLC          7.25    8/15/2024    USD    20.75
Eniro AB                      6.00    4/14/2020    SEK    13.69
3W Power SA                   5.50   11/11/2020    EUR    40.00
Mriya Agro Holding PLC       10.95    3/30/2016    USD     5.75
Sazka AS                      9.00    7/12/2021    EUR     0.29
KTG Energie AG                7.25    9/28/2018    EUR     2.36
Vneshprombank Ltd via VPB     9.00   11/14/2016    USD     0.53
Barclays Bank PLC             1.81    7/28/2034    USD    66.35
German Pellets GmbH           7.25     7/9/2018    EUR     1.34
Oi Brasil Holdings Coopera    5.75    2/10/2022    USD    32.38
Cirio Finance Luxembourg S    7.50    11/3/2002    EUR     4.62
Air Berlin Finance BV         1.50    4/11/2027    EUR    50.00
Manchester Building Societ    8.00                 GBP    25.25
Cooperatieve Rabobank UA      0.50   10/29/2027    MXN    42.91
OGX Austria GmbH              8.38     4/1/2022    USD     0.00
Royal Bank of Scotland PLC    1.85   11/16/2030    USD    67.50
GNB - Cia de Seguros de Vi    1.87   12/19/2022    EUR    60.00
Cirio Finanziaria SpA         8.00   12/21/2005    EUR     0.40
CRC Breeze Finance SA         6.11     5/8/2026    EUR    55.63
Espirito Santo Financial G    9.75   12/19/2025    EUR     1.41
KTG Agrar SE                  7.25   10/15/2019    EUR     2.40
Etablissements Maurel et P    1.63     7/1/2019    EUR    16.21
Banca Monte dei Paschi di     2.79   10/31/2018    EUR    39.00
Bank Nederlandse Gemeenten    0.50     6/7/2022    ZAR    65.12
Windreich GmbH                6.50    7/15/2016    EUR    10.50
IKB Deutsche Industriebank    4.70     8/1/2017    EUR    32.00
Barclays Bank PLC             2.72    7/28/2031    USD    59.04
Barclays Bank PLC             2.59    2/28/2034    USD    70.10
Banco Espirito Santo SA       6.88    7/15/2016    EUR    27.88
Golden Gate AG                6.50   10/11/2014    EUR    45.40
Abanka Vipa DD Via Afinanc    1.57                 EUR     1.50
CGG SA                        6.88    1/15/2022    USD    42.13
Far Eastern Shipping Co PL   13.00   11/28/2017    RUB    50.02
Sairgroup Finance BV          4.38     6/8/2006    EUR    11.38
Laurel GmbH                   7.13   11/16/2017    EUR     8.00
Barclays Bank PLC             1.23    6/17/2033    USD    61.00
Mobylife Holding A/S          7.25    5/23/2020    SEK    53.00
Tatfondbank OAO via TFB Fi    8.50   11/12/2019    USD     0.17
Lloyds Bank PLC               2.52    7/26/2033    USD    67.13
Waste Italia SpA             10.50   11/15/2019    EUR    16.13
Finmek International SA       7.00    12/3/2004    EUR     6.50
Stichting Afwikkeling Onde   11.25                 EUR     1.05
Portugal Telecom Internati    5.24    11/6/2017    EUR    30.25
Breeze Finance SA             6.71    4/19/2027    EUR    29.05
Rena GmbH                     8.25    7/11/2018    EUR     9.38
JZ Capital Partners Ltd       6.00    7/30/2021    GBP    11.30
Afren PLC                     6.63    12/9/2020    USD     0.00
Barclays Bank PLC             0.40    5/31/2033    USD    53.00
Alpine Holding GmbH           5.25    6/10/2016    EUR     0.31
PA Resources AB              13.50     3/3/2016    SEK     0.23
Etablissements Maurel et P    2.75     7/1/2021    EUR    10.70
Geotech Seismic Services P   12.75   10/16/2019    RUB    70.01
International Industrial B   11.00    2/19/2013    USD     0.34
World Wide Supply AS          7.75    5/26/2017    USD    16.13
Paragon Offshore PLC          6.75    7/15/2022    USD    21.25
Deutsche Bank AG/London       0.36    3/15/2033    USD    59.25
Tonon Luxembourg SA          10.50    5/14/2024    USD    42.63
Barclays Bank PLC             2.62   12/30/2030    USD    67.01
Steilmann SE                  7.00    9/23/2018    EUR     2.74
Norske Skog Holding AS        8.00    2/24/2021    EUR    27.63
Pacific Drilling SA           5.38     6/1/2020    USD    47.50
German Pellets GmbH           7.25     4/1/2016    EUR     1.03
Norske Skog Holding AS        8.00    2/24/2023    USD    21.75
RENE LEZARD Mode GmbH         7.25   11/25/2017    EUR    10.50
Lehman Brothers Treasury C    5.10     5/8/2017    HKD     9.63
Windreich GmbH                6.50     3/1/2015    EUR    10.50
Hamburgische Landesbank-Gi    0.05   10/30/2040    EUR    64.42
Landes-Hypothekenbank Stei    0.06     3/7/2043    EUR    72.28
Veneto Banca SpA              6.94    5/15/2025    EUR    12.88
Barclays Bank PLC             3.22    3/27/2029    USD    68.00
UniCredit Bank Austria AG     0.15   12/27/2031    EUR    74.38 AG                7.75    10/2/2017    EUR     0.05
OGX Austria GmbH              8.50     6/1/2018    USD     0.03
Orient Express Bank PJSC V    8.17    6/27/2017    USD    50.00
HSBC France SA                1.03                 EUR    70.00
TES Finance PLC               6.75    7/15/2020    GBP    65.96
Lloyds Bank PLC               2.39     7/5/2033    USD    68.25
Hellas Telecommunications     8.50   10/15/2013    EUR     0.37
Banco Comercial Portugues     5.00                 EUR    60.00
Barclays Bank PLC             2.62   12/30/2030    USD    66.25
Santander Finance Capital     2.00                 EUR    56.19
Sidetur Finance BV           10.00    4/20/2016    USD     3.54
Assystem                      4.50                 EUR    38.03
Deutsche Bank AG/London       1.85    8/28/2034    USD    61.88
TradeDoubler AB               6.75   12/20/2018    SEK    58.67
Farstad Shipping ASA          5.09    7/30/2017    NOK    27.25
Deutsche Bank AG/London       2.46    6/30/2034    USD    51.50
Grupo Isolux Corsan SA        0.25   12/30/2018    EUR     4.29
OGX Austria GmbH              8.38     4/1/2022    USD     0.01
BNP Paribas SA                0.38    4/30/2033    USD    57.25
Rena GmbH                     7.00   12/15/2015    EUR     9.38
EDOB Abwicklungs AG           7.50     4/1/2012    EUR     0.60
Banco Pinto & Sotto Mayor     0.68                 EUR    34.00
Finance and Credit Bank JS    9.25    1/25/2019    USD     0.58
Holdikks SAS                  6.75    7/15/2021    EUR    59.65
Bank Nederlandse Gemeenten    0.50    7/12/2022    ZAR    64.71
Banca Carige SpA              5.70    9/17/2020    EUR    62.02
Pescanova SA                  6.75     3/5/2015    EUR     3.61
Barclays Bank PLC             1.70   11/29/2030    USD    65.25
Enterprise Holdings LTD       7.00    9/26/2017    EUR     2.69
Barclays Bank PLC             3.84    1/31/2029    USD    67.15
Lehman Brothers Treasury C    7.00    5/17/2035    EUR     9.13
KPNQwest NV                  10.00    3/15/2012    EUR     0.48
Virgolino de Oliveira Fina   10.88    1/13/2020    USD    28.50
PA Resources AB               3.00   12/27/2017    NOK     0.11
BOA Offshore AS               7.69   12/18/2018    NOK    25.00
Societe Generale SA           0.12    5/31/2033    USD    65.00
Steilmann SE                  7.00     3/9/2017    EUR     2.74
Del Monte Finance Luxembou    6.63    5/24/2006    EUR     5.44
Talvivaara Mining Co PLC      4.00   12/16/2015    EUR     0.27
Enterprise Holdings LTD       7.00    3/30/2020    EUR     2.69
SAG Solarstrom AG             6.25   12/14/2015    EUR    33.63
SiC Processing GmbH           7.13     3/1/2016    EUR     3.23
Royal Bank of Scotland PLC    1.84    8/26/2031    USD    66.13
KPNQwest NV                   8.88     2/1/2008    EUR     0.65
Lehman Brothers Treasury C    6.00    11/2/2035    EUR     9.13
Veneto Banca SpA              6.95    2/25/2025    EUR    11.63
IT Holding Finance SA         9.88   11/15/2012    EUR     1.63
Cooperatieve Rabobank UA      0.50    7/30/2043    MXN    12.26
Governo Portugues Consolid    3.00                 EUR    75.00
IVG Immobilien AG             5.50                 EUR     0.65
Barclays Bank PLC             1.94    9/30/2031    USD    69.10
Barclays Bank PLC             2.42    2/25/2031    USD    65.01
Banca Carige SpA              5.70    6/30/2017    EUR    72.94
Espirito Santo Financial P    5.13    5/30/2016    EUR     0.93
Steilmann SE                  6.75    6/27/2017    EUR     4.94
Banca Nuova SpA               6.06    5/23/2028    EUR    65.68
Banco Espirito Santo SA       6.90    6/28/2024    EUR    25.50
Deutsche Bank AG/London       0.18    1/31/2033    USD    55.35
Lehman Brothers Treasury C    4.00    2/16/2017    EUR     9.13
New World Resources NV        4.00    10/7/2020    EUR     0.24
Gebr Sanders GmbH & Co KG     8.75   10/22/2018    EUR    29.63
SeaBird Exploration Financ    6.00     3/3/2018    USD    16.00
Banca Popolare di Vicenza     5.00    6/30/2021    EUR    64.47
Landesbank Hessen-Thuering    0.08     5/3/2041    EUR    71.46
Kommunalbanken AS             0.50    5/27/2022    ZAR    66.50
Barclays Bank PLC             0.06   12/28/2040    EUR    74.57
Lloyds Bank PLC               1.84    7/29/2033    USD    66.80
Privatbank CJSC Via UK SPV   10.88    2/28/2018    USD    21.00
Depfa Funding II LP           6.50                 EUR    57.25
Mobile TeleSystems PJSC       8.85    3/25/2021    RUB   101.25
Barclays Bank PLC             4.13   10/10/2029    USD    74.57
Farstad Shipping ASA          4.29    5/29/2018    NOK    26.00
Frigoglass Finance BV         8.25    5/15/2018    EUR    56.88
Stichting Afwikkeling Onde    2.42                 EUR     1.05
Afren PLC                    10.25     4/8/2019    USD     0.01
Portigon AG                   7.46   12/31/2019    EUR    25.50
Region of Abruzzo Italy       0.13    11/7/2036    EUR    61.20
Russian Post FGUP             8.55    5/11/2027    RUB    99.00
ADLER Real Estate AG          6.00    6/30/2017    EUR    14.50
New World Resources NV        8.00     4/7/2020    EUR     4.86
Tonon Luxembourg SA           9.25    1/24/2020    USD    10.75
TES Finance PLC               5.34    7/15/2020    GBP    67.51
MS Deutschland Beteiligung    6.88   12/18/2017    EUR     5.88
A-TEC Industries AG           2.75    5/10/2014    EUR     2.00
Montepio Holding SGPS SA      5.00                 EUR    50.10
Golden Energy Offshore Ser    5.00   12/31/2017    NOK    40.00
Barclays Bank PLC             0.55    3/28/2033    USD    59.70
Barclays Bank PLC             1.84    11/1/2031    USD    64.50
Alpine Holding GmbH           5.25     7/1/2015    EUR     0.31
Bulgaria Steel Finance BV    12.00     5/4/2013    EUR     2.46
Acron PJSC                    9.55    9/24/2026    RUB   101.01
Hypo Tirol Bank AG            0.12    7/23/2026    EUR    64.72
Lehman Brothers Treasury C    7.25    10/5/2035    EUR     9.63
A-TEC Industries AG           8.75   10/27/2014    EUR     2.00
Nationwide Building Societ    0.82                 GBP    72.00
Banca Popolare di Vicenza     9.50    10/2/2025    EUR    15.50
Solon SE                      1.38    12/6/2012    EUR     0.33
Gazprombank JSC               9.95    12/2/2019    RUB    70.05
Marfin Investment Group Ho    7.00    7/29/2019    EUR     0.40
Kaupthing ehf                 5.75    10/4/2011    USD    17.63
Moscow United Electric Gri    8.55     5/6/2027    RUB    60.10
Virgolino de Oliveira Fina   10.50    1/28/2018    USD     7.13
Agroton Public Ltd            6.00    7/14/2019    USD    14.13
Lehman Brothers Treasury C    5.00    2/16/2015    EUR     9.13
Santander Finance Capital     2.00                 USD    56.16
SAG Solarstrom AG             7.50    7/10/2017    EUR    33.63
KPNQwest NV                   8.88     2/1/2008    EUR     0.65
Rosneft Oil Co PJSC          10.65    12/3/2020    RUB    62.00
Hamburgische Landesbank-Gi    0.05    1/22/2041    EUR    62.29
AKB Peresvet ZAO             13.50   10/16/2020    RUB    13.00
Afren PLC                    11.50     2/1/2016    USD     0.17
Barclays Bank PLC             2.36   12/23/2033    USD    66.20
Barclays Bank PLC             0.61     4/9/2028    USD    67.10
Intelsat Luxembourg SA       12.50   11/15/2024    USD    68.47
New Look Senior Issuer PLC    8.00     7/1/2023    GBP    74.87
La Veggia Finance SPA         7.13   11/14/2004    EUR     1.92
Depfa Funding IV LP           1.54                 EUR    57.13
Autonomous Community of Ca    2.97     9/8/2039    JPY    64.30
Lehman Brothers Treasury C    5.00    9/22/2014    EUR     9.13
Far East Capital Ltd SA       8.00     5/2/2018    USD    70.01
Veneto Banca SpA              1.67    5/15/2019    EUR    43.75
Rosbank PJSC                 10.40    5/27/2026    RUB    61.77
Lloyds Bank PLC               2.70   10/25/2033    USD    73.13
ADLER Real Estate AG          6.00   12/27/2018    EUR    14.50
Cirio Del Monte NV            7.75    3/14/2005    EUR     1.88
Rem Offshore ASA              5.00    12/8/2024    NOK    32.51
BLT Finance BV               12.00    2/10/2015    USD    10.50
Barclays Bank PLC             3.87    4/16/2029    USD    67.25
Deutsche Bank AG/London       2.94    9/30/2029    USD    67.00
Banco Espirito Santo SA      10.00    12/6/2021    EUR     0.74
OAS Investments GmbH          8.25   10/19/2019    USD     3.75
Oceanic Champion AS           8.00    2/20/2020    USD    71.33
Svensk Exportkredit AB        0.50    6/28/2022    ZAR    64.66
Admiral Boats SA              8.50    9/18/2017    PLN    20.00
Northland Resources AB       15.00    7/15/2019    USD     0.41
Vorarlberger Landes- und H    5.87                 EUR    51.98
Talvivaara Mining Co PLC      9.75     4/4/2017    EUR     1.03
UniCredit Bank AG             5.00   12/21/2029    EUR    73.52
Mriya Agro Holding PLC        9.45    4/19/2018    USD     4.00
Svensk Exportkredit AB        0.50    4/24/2029    AUD    62.79
Cooperatieve Rabobank UA      0.50    1/31/2033    MXN    24.87
DEMIRE Real Estate AG         6.00   12/30/2018    EUR     3.69
Northland Resources AB        4.00   10/15/2020    USD     0.21
Bank Julius Baer & Co Ltd/    6.70     6/2/2017    USD    55.05
Barclays Bank PLC             1.88    8/15/2033    USD    61.00
Karlie Group GmbH             5.00    6/25/2021    EUR     3.70
Autonomous Community of Ca    1.06     9/8/2024    EUR    73.01
Landesbank Hessen-Thuering    0.09    4/23/2041    EUR    70.93
Accentro Real Estate AG       6.25    3/27/2019    EUR    10.50
Minicentrales Dos SA          6.45    4/14/2028    EUR    67.13
Stroika Finance Ltd Via Em    9.90    6/25/2019    RUB    12.00
MegaFon PJSC                  9.90    5/29/2026    RUB   102.36
Novo Banco SA                 3.00   12/16/2021    EUR    69.86
Dannemora Mineral AB         11.75    3/22/2016    USD     0.42
Artea                         6.00     8/4/2019    EUR    14.43
Lehman Brothers Treasury C    2.88    3/14/2013    CHF     9.13
Municipality Finance PLC      0.50    4/26/2022    ZAR    65.75
Stichting Afwikkeling Onde    6.63    5/14/2018    EUR     3.02
A-TEC Industries AG           5.75    11/2/2010    EUR     2.00
Barclays Bank PLC             0.48    4/19/2033    USD    56.00
Rosbank PJSC                  9.80   12/20/2026    RUB    61.66
Lehman Brothers Treasury C    8.25    3/16/2035    EUR     9.13
Kaupthing ehf                 9.00                 USD     0.13
BNP Paribas SA                0.50    9/29/2029    AUD    61.85
Rosbank PJSC                  7.50    10/7/2024    RUB    98.00
wige MEDIA AG                 6.00    3/17/2019    EUR     2.90
Activa Resources AG           8.00   11/15/2017    EUR    17.80
Bibby Offshore Services PL    7.50    6/15/2021    GBP    55.50
Svensk Exportkredit AB        0.50    8/29/2029    AUD    62.78
Banca Popolare di Vicenza     5.00    3/31/2021    EUR    66.24
Vnesheconombank               9.76   12/17/2021    RUB    60.06
Svensk Exportkredit AB        0.50    6/29/2029    AUD    63.12
AKB Peresvet ZAO             13.25    4/25/2018    RUB    23.49
Mifa Mitteldeutsche Fahrra    7.50    8/12/2018    EUR     2.95
KPNQwest NV                   7.13     6/1/2009    EUR     0.51
Uppfinnaren 1 AB             10.00                 SEK    63.55
Gazprombank JSC               9.87    2/19/2021    RUB    60.00
Orient Express Bank PJSC     13.60     8/9/2018    RUB    62.00
Banca Popolare di Vicenza     5.00    5/30/2021    EUR    65.16
UniCredit Bank Austria AG     0.02    1/25/2031    EUR    69.39
Lehman Brothers Treasury C    6.65    8/24/2011    AUD     9.63
Phones4u Finance PLC          9.50     4/1/2018    GBP    72.88
Ideal Standard Internation   11.75     5/1/2018    EUR     4.78
Kamaz PJSC                   11.24    7/18/2030    RUB    62.00
Minaya Capital AG             7.00     8/1/2018    EUR    69.55
Russian Railways JSC         10.30    3/25/2026    RUB    63.00
Podkarpacki Bank Spoldziel    5.81     7/2/2020    PLN    67.10
Deutsche Bank AG              0.35    6/28/2033    USD    57.50
Virgolino de Oliveira Fina   11.75     2/9/2022    USD     7.38
Cooperatieve Rabobank UA      0.50   10/30/2043    MXN    12.49
DOF ASA                       7.89    9/12/2019    NOK    40.00
Rosneft Oil Co PJSC           9.85    1/18/2021    RUB    60.00
Barclays Bank PLC             2.96    9/29/2034    USD    71.85
Oi Brasil Holdings Coopera    5.63    6/22/2021    EUR    31.00
Alpha Bank AE                 2.50    6/20/2022    EUR    74.06
O1 Properties Finance ZAO    13.00    10/2/2020    RUB   107.00
Banco BPI SA                  1.78                 EUR    58.02
KPNQwest NV                   8.13     6/1/2009    USD     0.49
Banca Popolare di Vicenza     5.00   11/22/2020    EUR    68.17
Banca Popolare di Vicenza     5.00    3/25/2021    EUR    66.32
Rinol AG                      5.50   10/15/2006    DEM     0.00
Johnston Press Bond Plc       8.63     6/1/2019    GBP    61.00
WPE International Cooperat   10.38    9/30/2020    USD    16.50
Governo Portugues Consolid    2.75                 EUR    68.75
Vnesheconombank              11.60    2/17/2025    RUB   100.00
Heta Asset Resolution AG      0.43   12/31/2023    EUR    39.75
Solarwatt GmbH                7.00    11/1/2015    EUR    14.50
Royal Bank of Scotland PLC    2.42   12/13/2028    USD    72.31
SAir Group                    0.13     7/7/2005    CHF    13.63
BNP Paribas SA                0.50    7/20/2021    BRL    64.60
Barclays Bank PLC             5.29    3/27/2029    USD    74.25
Lehman Brothers Treasury C    7.00   11/26/2013    EUR     9.13
Sairgroup Finance BV          6.63    10/6/2010    EUR     9.88
Barclays Bank PLC             1.70    4/25/2034    USD    68.50
Sberbank of Russia PJSC      10.00    6/20/2019    RUB    81.00
Rosneft Oil Co PJSC          11.40    12/3/2020    RUB    62.00
Sankt-Peterburg Telecom OA   10.70    1/31/2022    RUB    62.63
Banca Meridiana               1.25   11/12/2017    EUR    21.00
ING Bank Eurasia JSC          9.70    5/27/2020    RUB    61.30
Heta Asset Resolution AG      0.24   12/31/2023    EUR    39.75
Raiffeisen Versicherung AG    2.02                 EUR    31.28
Kaupthing ehf                 5.75    10/4/2011    USD    17.63
Veneto Banca SpA              5.41    5/25/2023    EUR    61.28
Royal Bank of Scotland PLC    1.72    2/25/2031    USD    63.60
Mechel PJSC                   8.00     2/9/2021    RUB    71.28
Atari SA                      7.50    2/17/2020    EUR     0.37
UkrLandFarming PLC           10.88    3/26/2018    USD    21.63
Lehman Brothers Treasury C    7.00     6/6/2017    EUR     0.26
EFG International Finance    10.15     8/2/2017    CHF    70.06
Atomenergoprom JSC           11.10   12/12/2025    RUB    63.66
Espirito Santo Financial G    5.05   11/15/2025    EUR     0.86
Republic of Italy Governme    0.19    7/31/2045    EUR    74.10
Norske Skogindustrier ASA     2.00   12/30/2115    EUR     8.25
Afren PLC                    10.25     4/8/2019    USD     0.01
WGF Westfaelische Grundbes    6.35     8/1/2017    EUR     3.50
Minicentrales Dos SA          4.81   11/29/2034    EUR    60.13
Bilt Paper BV                 9.64                 USD    29.88
Atari SA                      0.10     4/1/2020    EUR     4.26
Far East Capital Ltd SA       8.75     5/2/2020    USD    70.67
United Engine Corp JSC       10.75    6/10/2026    RUB    66.11
Cattles Ltd                   7.13     7/5/2017    GBP     0.28
Afren PLC                     6.63    12/9/2020    USD     0.06
Cie de Financement Foncier    0.98    8/11/2046    EUR    73.00
Gazprom PJSC                  5.10   10/21/2043    RUB    60.01
ML 33 Invest AS               7.50                 NOK    68.86
Lehman Brothers Treasury C    5.55    3/12/2015    EUR     0.26
Lehman Brothers Treasury C    6.00    3/14/2011    EUR     9.13
Cerruti Finance SA            6.50    7/26/2004    EUR     1.30
Lehman Brothers Treasury C    5.00    2/27/2014    EUR     9.13
Lloyds Bank PLC               2.70    4/25/2034    USD    67.50
International Industrial B    9.00     7/6/2011    EUR     0.70
Virgolino de Oliveira Fina   10.88    1/13/2020    USD    28.38
Elli Investments Ltd         12.25    6/15/2020    GBP    68.00
Municipiul Timisoara          0.80    5/15/2026    RON    70.00
AKB Peresvet ZAO             13.25    6/22/2017    RUB    22.63
Banca Popolare di Vicenza     4.97    4/20/2027    EUR    41.28
Pierer Industrie AG           5.75                 EUR    62.69
Municipality Finance PLC      0.50   11/17/2020    BRL    74.10
BLT Finance BV                7.50    5/15/2014    USD     2.18
Anglian Water Services Fin    0.87    1/26/2057    GBP    74.50
City of Moscow Russia         7.50    5/18/2021    RUB    60.01
Kaupthing ehf                 5.25    7/18/2017    BGN    17.63
Banca Monte dei Paschi di     4.36    3/14/2024    EUR    13.78
State Transport Leasing Co   14.30   12/10/2024    RUB    60.00
Pongs & Zahn AG               8.50                 EUR     0.15
Astana Finance BV             9.00   11/16/2011    USD    16.88
UniCredit Bank AG             0.37   11/19/2029    EUR    62.43
Muehl Product & Service AG    6.75    3/10/2005    DEM     2.33
Marfin Investment Group Ho    6.30    7/29/2020    EUR     0.40
Marine Subsea AS              9.00   12/16/2019    USD     0.44
Deutsche Bank AG/London       2.84   11/26/2034    USD    67.25
UniCredit Bank Austria AG     0.16   10/31/2031    EUR    67.28
City of Predeal Romania       1.50    5/15/2026    RON    60.00
Societe Generale SA           1.60     1/9/2020    GBP     1.12
JP Morgan Structured Produ    4.00     6/2/2017    USD    54.96
SUEK Finance                 12.50    8/19/2025    RUB    60.07
Svensk Exportkredit AB        0.50    1/31/2022    ZAR    67.84
Municipality Finance PLC      0.50    6/19/2024    ZAR    54.26
Astana Finance BV             7.88     6/8/2010    EUR    16.88
Lehman Brothers Treasury C    6.00    3/18/2015    USD     9.13
Lehman Brothers Treasury C    8.25    12/3/2015    EUR     9.13
Province of Milan Italy       0.03   12/22/2033    EUR    69.21
Region of Molise Italy        0.18   12/15/2033    EUR    66.37
Municipality Finance PLC      0.50   11/25/2020    ZAR    74.21
Metalloinvest Holding Co O    0.01    3/10/2022    RUB    60.00
Credit Suisse AG/London       0.50     1/8/2026    BRL    44.00
HSH Nordbank AG               2.30     2/1/2036    EUR    74.37
Rosneft Oil Co PJSC          14.90    12/3/2020    RUB    62.00
Rosneft Oil Co PJSC           9.85    1/18/2021    RUB    60.00
Windreich GmbH                6.25     3/1/2015    EUR    10.50
KTM Industries AG             5.00                 EUR    74.57
Fonciere Volta SA             4.50    7/30/2020    EUR     2.59
Societe Generale SA           8.88     6/1/2017    USD    34.01
Russian Post FGUP             9.35    9/10/2026    RUB    60.55
Zapsibcombank PAO             5.00     9/4/2017    RUB    61.00
Kaupthing ehf                 6.13    10/4/2016    USD    17.63
EFG International Finance     6.00   11/30/2017    EUR     8.96
Alpha Bank AE                 2.50    6/20/2022    EUR    74.08
Rossiysky Capital OJSC       13.00   11/22/2019    RUB    80.01
EFG International Finance     2.10    3/23/2018    EUR    20.37
City of Kiev Ukraine Via C    8.00    11/6/2015    USD    64.88
HPI AG                        3.50                 EUR     6.00
Commerzbank AG               30.00    6/30/2020    USD     6.07
Lehman Brothers Treasury C    4.00    7/20/2012    EUR     0.26
Nuova Banca delle Marche S    7.20    6/30/2018    EUR     1.24
Rosintrud OOO                10.50     2/5/2021    RUB    60.00
Northland Resources AB        4.00   10/15/2020    NOK     0.25
Lehman Brothers Treasury C    5.00    3/18/2015    EUR     9.13
Oberbank Hybrid 1 GmbH        0.87                 EUR    47.96
Petromena ASA                10.85   11/19/2017    USD     0.52
ENEL RUSSIA PJSC             12.10    5/22/2025    RUB   102.73
OT-Optima Telekom DD          5.25    5/30/2022    HRK
VEB-Leasing OAO              12.50     9/1/2025    RUB
Barclays Bank PLC             2.28    8/31/2031    USD    67.50
Agentstvo po Ipotechnomu Z    9.50   11/15/2024    RUB    61.00
SAir Group                    6.25    4/12/2005    CHF    13.63
SG Issuer SA                  5.50    4/10/2021    EUR    65.97
Salvator Grundbesitz-AG       9.50                 EUR    19.15
ROSSETI PJSC                 11.25   11/14/2025    RUB    80.00
Kommunekredit                 0.50    7/30/2027    TRY    33.67
Societe Generale SA           0.53    6/28/2033    USD    73.75
Lehman Brothers Treasury C    5.00     5/2/2022    EUR     0.26
Lehman Brothers Treasury C    1.46    2/19/2012    JPY     9.13
Municipiul Timisoara          0.80    5/15/2026    RON    68.00
Aralco Finance SA            10.13     5/7/2020    USD     1.77
Metalloinvest Holding Co O    0.01     3/7/2022    RUB    50.01
Credit Agricole Corporate     0.50     3/6/2023    RUB    64.64
Er-Telekom Holding ZAO       10.85    12/1/2021    RUB    60.06
Barclays Bank PLC             2.57    3/21/2031    USD    70.13
United Aircraft Corp PJSC     8.00    3/17/2020    RUB    60.00
Podkarpacki Bank Spoldziel    5.81    3/31/2025    PLN    50.00
Lloyds Bank PLC               0.50    7/26/2021    BRL    67.35
Banco Espirito Santo SA       1.22    5/27/2018    EUR     0.74
AKB Peresvet ZAO             13.00    10/7/2017    RUB    22.50
Santander Finance Capital     2.00                 USD    56.16
Moscow United Electric Gri   11.00    9/12/2024    RUB    62.00
Finans-Avia OOO               0.01    7/31/2027    RUB    20.65
Credit Suisse AG/London       9.20   10/28/2019    USD     9.82
Synergy PJSC                 14.50    5/28/2020    RUB    61.07
Banca Popolare di Vicenza     1.60    2/20/2020    EUR    67.35
Municipality Finance PLC      0.50    7/30/2029    AUD    70.31
Bank Nederlandse Gemeenten    0.50    6/22/2021    ZAR    70.80
UBS AG                        5.60     3/4/2019    EUR    72.17
Lehman Brothers Treasury C    5.25   11/21/2009    USD     0.26
Ekotechnika AG                9.75    5/10/2018    EUR     9.50
Province of Brescia Italy     0.14    6/30/2036    EUR    63.40
Lehman Brothers Treasury C    4.50     5/2/2017    EUR     9.13
Penell GmbH Elektrogroshan    7.75    6/10/2019    EUR     5.07
ROSSETI PJSC                 11.90     6/9/2025    RUB    60.07
Lillestroem Sparebank         4.44                 NOK    62.30
BNP Paribas SA                0.50     5/6/2021    MXN    71.35
Kaupthing ehf                 7.50     2/1/2045    USD     0.27
Lehman Brothers Treasury C    8.00    2/16/2016    EUR     0.26
Bank Nederlandse Gemeenten    0.50    8/15/2022    ZAR    63.83
Lehman Brothers Treasury C    1.28    11/6/2010    JPY     9.13
Rossiysky Capital OJSC       10.50    1/16/2020    RUB    70.01
DekaBank Deutsche Girozent    0.01    6/29/2046    EUR    53.58
Dummy Set-up for ticker DU    9.55   12/28/2046    RUB     4.40
ECA                           2.50     1/1/2018    EUR
Bank Nederlandse Gemeenten    0.50    5/12/2021    ZAR    71.55
EDOB Abwicklungs AG           7.50     4/1/2012    EUR     0.60
ECM Real Estate Investment    5.00    10/9/2011    EUR    10.38
Societe Generale SA           1.00   12/22/2017    GBP     0.98
Rosneft Oil Co PJSC           9.35    1/18/2021    RUB    60.00
RGS Nedvizhimost OOO         12.50     6/2/2017    RUB    74.03
Agentstvo po Ipotechnomu Z    8.05   11/15/2018    RUB    70.00
Reso-Leasing OOO             10.50    9/21/2023    RUB   100.25
BAWAG PSK Versicherungs AG    1.06                 EUR    53.75
Sibur Holding PAO             9.65    9/16/2026    RUB    60.06
Cooperatieve Rabobank UA      0.50   12/29/2027    MXN    41.91
Phosphorus Holdco PLC        10.00     4/1/2019    GBP     2.10
LBI HF                        7.43                 USD     0.00
Credit Suisse AG/London      11.70    4/20/2018    USD    10.21
Rosselkhozbank JSC           12.87   12/21/2021    RUB    60.06
Bayerische Landesbank         2.70     7/6/2018    EUR    69.88
Rosneft Oil Co PJSC          10.65    12/3/2020    RUB    62.00
SG Issuer SA                  0.82     8/2/2021    SEK    69.30
Societe Generale SA           0.57    2/28/2033    USD    63.40
Svensk Exportkredit AB        0.50    2/22/2022    ZAR    66.52
Lehman Brothers Treasury C    7.00    4/14/2009    EUR     0.26
Transcapitalbank JSC         15.00    2/14/2022    RUB   102.01
Banca Popolare di Vicenza     2.50   11/22/2019    EUR    71.07
Banca Popolare di Vicenza     2.50    7/11/2019    EUR    74.69
SG Issuer SA                  6.65   10/10/2021    EUR    73.84
Vnesheconombank               9.75    8/16/2029    RUB    60.00
Podkarpacki Bank Spoldziel    5.11    5/28/2023    PLN    60.20
German Pellets GmbH           8.00                 EUR     0.12
Gazprom PJSC                  5.10   10/21/2043    RUB    60.00
COFIDUR SA                    0.10   12/31/2024    EUR    22.45
Voss Veksel OG Landmands B    8.15                 NOK    73.71
HSBC Bank PLC                 0.50   10/30/2026    NZD    70.14
Lehman Brothers Treasury C    1.75     2/7/2010    EUR     0.26
Lehman Brothers Treasury C    8.25     2/3/2016    EUR     0.26
Lehman Brothers Treasury C   11.00   12/20/2017    AUD     0.26
AKB Peresvet ZAO             12.50     9/6/2017    RUB    21.55
Windreich GmbH                6.75     3/1/2015    EUR    10.50
Rusfinans Bank OOO            9.90    7/18/2018    RUB    60.78
Russian Railways JSC         13.90    5/30/2040    RUB
Promnefteservis OOO          10.50   11/21/2019    RUB     3.40
Dummy Set-up for ticker DU    8.50    7/15/2041    RUB
LBI HF                        2.25    2/14/2011    CHF     7.13
Banca Popolare di Vicenza     2.00    11/7/2019    EUR    70.53
Agentstvo po Ipotechnomu Z   10.90    11/1/2022    RUB    60.72
UmweltBank AG                 2.85                 EUR    70.10
Vimpel-Communications PJSC   11.90    10/3/2025    RUB    62.00
Rosneft Oil Co PJSC           9.85    1/18/2021    RUB    60.00
Lehman Brothers Treasury C   23.30    9/16/2008    USD     0.26
Lehman Brothers Treasury C    0.01    9/20/2011    USD     0.26
Rostelecom PJSC              11.70    5/20/2025    RUB    60.07
Svensk Exportkredit AB        0.50    3/28/2029    AUD    70.60
Orient Express Bank PJSC     11.70    7/17/2018    RUB    59.40
Agentstvo po Ipotechnomu Z   11.50    9/25/2018    RUB    70.00
Veneto Banca SpA              2.40    3/31/2020    EUR    71.46
Banca delle Marche SpA        6.00     5/8/2018    EUR     1.22
Lehman Brothers Treasury C    7.50    6/15/2017    USD     0.26
Lehman Brothers Treasury C    5.00    8/16/2017    EUR     9.13
EFG International Finance     7.20    2/25/2019    EUR    12.41
DekaBank Deutsche Girozent    0.12    6/23/2034    EUR    70.81
Lehman Brothers Treasury C    6.70    4/21/2011    USD     0.26
Lehman Brothers Treasury C    4.87    10/8/2013    USD     0.26
UniCredit Bank AO            12.35    9/16/2020    RUB    63.00
Salvator Grundbesitz-AG       9.50   12/31/2021    EUR    10.20
Soyuz AKB OAO                13.00   11/22/2019    RUB    95.00
Bank Nederlandse Gemeenten    0.50     8/9/2022    MXN    66.41
Lehman Brothers Treasury C    7.39     5/4/2017    USD     0.26
Lehman Brothers Treasury C    3.00    12/3/2012    EUR     0.26
Credit Suisse AG/Nassau       7.13    6/26/2017    CHF    66.88
Gold-Zack AG                  7.00   12/14/2005    EUR    12.58
Lehman Brothers Treasury C    3.03    1/31/2015    EUR     0.26
Rosselkhozbank JSC           14.50                 RUB    64.52
Rosselkhozbank JSC           14.50                 RUB    64.89
Rusfinans Bank OOO            8.90    4/24/2018    RUB    60.07
Deutsche Bank AG/London       0.50    10/5/2021    IDR    66.29
Barclays Bank PLC             7.12    10/4/2017    USD    37.01
Lehman Brothers Treasury C    4.70    3/23/2016    EUR     0.26
Lehman Brothers Treasury C    5.00    5/12/2011    CHF     0.26
State of Saxony-Anhalt        0.30     7/3/2028    EUR    24.00
Municipality Finance PLC      0.50    5/31/2022    ZAR    65.04
Rusfinans Bank OOO           10.00    7/31/2026    RUB    61.17
Rusfinans Bank OOO            9.65    2/26/2021    RUB    60.23
Agentstvo po Ipotechnomu Z   10.30    7/15/2023    RUB    61.00
Municipality Finance PLC      0.50     5/8/2029    AUD    60.81
Barclays Bank PLC             0.50    3/26/2021    MXN    70.47
SAir Group                    5.50    7/23/2003    CHF    13.57
Societe Generale SA           8.00    2/14/2022    USD     9.00
Lehman Brothers Treasury C    4.60   10/11/2017    ILS     9.13
AKB Peresvet ZAO              2.45     9/2/2020    RUB    11.34
Bank Julius Baer & Co Ltd/   15.40    6/16/2017    USD    56.20
Lehman Brothers Treasury C    7.60    5/21/2013    USD     0.26
Lehman Brothers Treasury C    5.00   11/22/2012    EUR     0.26
Lehman Brothers Treasury C    2.00    6/28/2011    EUR     0.26
City of Siret Romania         2.32     3/1/2028    RON    50.00
HSBC Bank PLC                 0.50   12/29/2026    AUD    67.53
Freight One JSC              12.00   10/15/2025    RUB    63.06
Cooperatieve Rabobank UA      0.50    8/21/2028    MXN    39.51
Svensk Exportkredit AB        0.50    6/20/2029    AUD    70.02
Vnesheconombank               8.35   11/24/2020    RUB    60.06
BELLAGIO Holding GmbH         2.18                 EUR    48.20
Lehman Brothers Treasury C    2.00   11/16/2009    EUR     0.26
LBI HF                        6.10    8/25/2011    USD     8.75
Lehman Brothers Treasury C    4.00    4/13/2011    CHF     0.26
Mriya Agro Holding PLC       10.95    3/30/2016    USD     6.75
Lehman Brothers Treasury C    4.60     7/6/2016    EUR     0.26
Lehman Brothers Treasury C    0.50   12/20/2017    AUD     9.63
Lehman Brothers Treasury C    4.60    11/9/2011    EUR     9.13
Lehman Brothers Treasury C    4.00    7/27/2011    EUR     0.26
Corner Banca SA              20.00    7/10/2018    CHF    71.51
EFG International Finance    14.00     3/8/2018    CHF    62.69
ROSSETI PJSC                 10.29   10/31/2045    RUB    60.07
Lehman Brothers Treasury C    5.12    4/30/2027    EUR     0.26
Lehman Brothers Treasury C    5.50    6/22/2010    USD     9.13
UVS-Finance OOO              14.50    9/10/2019    RUB    99.97
Podkarpacki Bank Spoldziel    5.01    10/6/2021    PLN    70.60
Bank Nederlandse Gemeenten    0.50    9/20/2022    ZAR    63.18
Sidetur Finance BV           10.00    4/20/2016    USD     3.54
ENEL RUSSIA PJSC             12.10    5/22/2025    RUB    60.06
Banca delle Marche SpA        6.00    6/12/2018    EUR     1.52
AKB Peresvet ZAO             12.75    7/24/2018    RUB    19.74
Lehman Brothers Treasury C   11.00    6/29/2009    EUR     0.26
Kommunekredit                 0.50    5/11/2029    CAD    74.42
Banca Popolare di Vicenza     5.20    3/28/2024    EUR    51.57
Lehman Brothers Treasury C    6.00    9/20/2011    EUR     0.26
Credit Suisse AG/London       8.00   11/29/2019    USD     7.50
KPNQwest NV                   7.13     6/1/2009    EUR     0.51
Lehman Brothers Treasury C    8.00    3/19/2012    USD     0.26
Rosneft Oil Co PJSC           9.85    1/18/2021    RUB    60.00
Kamaz PJSC                   10.39    12/5/2030    RUB    62.00
Lehman Brothers Treasury C    7.60    1/31/2013    AUD     0.26
Societe Generale SA           7.00   10/20/2020    USD
Russian Bank for Small and    9.25    3/17/2022    RUB    60.31
RusHydro PJSC                11.85     7/4/2018    RUB    86.00
Svensk Exportkredit AB        0.10   11/20/2019    TRY    73.85
Agrokompleks OOO              0.10    7/29/2019    RUB     5.00
Espirito Santo Financial G    5.05   11/15/2025    EUR     0.71
National Capital JSC          9.25    4/22/2019    RUB    99.98
Kaupthing ehf                 7.63    2/28/2015    USD    17.63
Lehman Brothers Treasury C   14.90   11/16/2010    EUR     0.26
Kubanenergo PJSC             10.44   11/21/2025    RUB    60.00
PA Urals Optical & Mechani   14.25   12/25/2018    RUB    95.75
Lehman Brothers Treasury C    8.00    5/22/2009    USD     0.26
Lehman Brothers Treasury C   10.00    6/11/2038    JPY     0.26
Lehman Brothers Treasury C   12.00    7/13/2037    JPY     0.26
Lehman Brothers Treasury C    4.68   12/12/2045    EUR     0.26
Kamaz PJSC                    9.63    12/2/2031    RUB    62.00
Rusfinans Bank OOO           10.10    6/30/2020    RUB    60.14
BLT Finance BV                7.50    5/15/2014    USD     2.18
Transneft PJSC                8.00     7/3/2025    RUB    62.00
Lehman Brothers Treasury C    7.50     5/2/2017    EUR     0.26
Lehman Brothers Treasury C   11.00   12/19/2011    USD     0.26
Leonteq Securities AG/Guer   29.61   10/26/2017    EUR    37.89
Kommunekredit                 0.50   12/14/2020    ZAR    74.02
Ladya-Finans LLC             12.00   10/29/2021    RUB    61.00
ROSSETI PJSC                  9.15    8/18/2026    RUB    60.06
Barclays Bank PLC             0.50    1/28/2033    MXN    23.90
Barclays Bank PLC             1.00    5/10/2019    JPY    56.59
HSBC Bank PLC                 0.50    6/10/2021    BRL    67.25
SAir Group                    6.25   10/27/2002    CHF    13.58
Ashinskiy metallurgical wo    5.60    6/17/2024    RUB    62.00
Lehman Brothers Treasury C    0.50   12/20/2017    AUD     0.26
Bayerische Landesbank         2.60   10/19/2018    EUR    67.42
SAir Group                    4.25     2/2/2007    CHF    13.63
Union Technologies Informa    0.10     1/1/2020    EUR     5.40
TGC-1 PJSC                    5.60    2/14/2022    RUB    60.01
Commerzbank AG                8.00    7/14/2021    USD
National Capital JSC          9.50    7/25/2018    RUB   100.00
Bank Julius Baer & Co Ltd/    6.00    7/24/2017    CHF    74.80
Lehman Brothers Treasury C    4.50     3/6/2013    CHF     0.26
Northland Resources AB       15.00    7/15/2019    USD     0.41
ROSSETI PJSC                  9.15    8/18/2026    RUB    60.06
Veneto Banca SpA              5.15    1/25/2023    EUR    61.81
Oberoesterreichische Lande    0.30    4/25/2042    EUR    26.76
EFG International Finance     7.00   11/27/2019    EUR    17.22
EFG International Finance     8.99     9/4/2017    EUR     2.94
AKB Peresvet ZAO             13.50    6/23/2021    RUB    12.49
Polbrand sp zoo               9.00    10/2/2017    PLN    50.00
Lehman Brothers Treasury C    0.50     7/2/2020    EUR     0.26
Lehman Brothers Treasury C    7.00    9/20/2011    USD     0.26
Russian Railways JSC          6.80    5/20/2044    RUB
Communaute Francaise de Be    0.50    6/27/2046    EUR    68.19
Locko-Bank AO                12.55    7/11/2023    RUB    60.31
Espirito Santo Financial P    5.63    7/28/2017    EUR     1.04
Lehman Brothers Treasury C   13.50   11/28/2008    USD     0.26
EFG International Finance    12.86   10/30/2017    EUR     1.96
Societe Generale SA           0.50     8/4/2021    BRL    67.40
Polski Bank Spoldzielczy w    4.81    6/18/2020    PLN    50.00
Lehman Brothers Treasury C    0.50   12/20/2017    AUD     0.26
Lehman Brothers Treasury C    0.50   12/20/2017    AUD     0.26
Rosselkhozbank JSC           10.85    7/14/2025    RUB    60.27
Lehman Brothers Treasury C    5.00    12/6/2011    EUR     0.26
Kamaz PJSC                    9.92   11/24/2031    RUB    62.00
Podkarpacki Bank Spoldziel    5.81   10/24/2024    PLN    55.20
Bank VTB 24 JSC               9.00     9/1/2044    RUB
Escher Marwick PLC            3.50   10/14/2031    USD    74.57
Dummy Set-up for ticker DU    3.00   12/28/2046    RUB    33.41
Europlan Leasing Co          12.50    9/25/2019    RUB    94.13
Agrokompleks OOO              0.10    12/8/2022    RUB     3.91
Lehman Brothers Treasury C    7.59   11/22/2009    MXN     9.13
VEB-Leasing OAO               8.65    1/16/2024    RUB    62.00
Svensk Exportkredit AB        0.50    3/15/2022    ZAR    66.47
Barclays Bank PLC             0.50    4/24/2023    MXN    57.90
T Plus PJSC                   9.50    8/24/2017    RUB    97.51
Lenenergo PJSC                9.80     7/9/2025    RUB    60.00
Rusfinans Bank OOO            8.75    9/29/2020    RUB    60.16
Heliocentris Energy Soluti    4.00    1/16/2019    EUR    21.93
VEB-Leasing OAO              12.50    8/18/2025    RUB    62.00
Bayerische Landesbank         2.70    7/13/2018    EUR    73.83
Nuova Banca delle Marche S    7.75    6/30/2018    EUR     1.24
Lehman Brothers Treasury C    4.30     6/4/2012    USD     0.26
Lehman Brothers Treasury C   15.00     6/4/2009    CHF     0.26
Lehman Brothers Treasury C   10.00    6/17/2009    USD     0.26
HSBC Bank PLC                 0.50    7/21/2021    BRL    66.39
BKS Hybrid alpha GmbH         7.35                 EUR    60.45
Delta Credit Bank JSC         9.65    10/1/2024    RUB    61.60
IDGC of the North Caucasus   13.00    4/22/2021    RUB    61.00
Societe Generale SA           0.50    5/22/2024    MXN    55.67
SUEK Finance                 12.50    8/19/2025    RUB    60.07
Lehman Brothers Treasury C    4.35     8/8/2016    SGD     9.63
Lehman Brothers Treasury C    7.25    10/6/2008    EUR     0.26
Lehman Brothers Treasury C    6.00   10/24/2008    EUR     0.26
Lehman Brothers Treasury C    6.85   12/22/2008    EUR     0.26
Bulgaria Steel Finance BV    12.00     5/4/2013    EUR     2.46
Main Road OJSC                4.10   10/30/2028    RUB    60.00
UBS AG/London                 5.00    8/14/2017    CHF    53.80
ECM Real Estate Investment    5.00    10/9/2011    EUR    10.38
Lehman Brothers Treasury C    0.50   12/20/2017    AUD     0.26
LBI HF                        7.43                 USD     0.00
LZMO SA                       8.50    6/30/2017    PLN    63.64
BNP Paribas Emissions- und    9.00    6/22/2017    EUR    47.16
IDGC of the South PJSC       13.50     6/8/2020    RUB    60.00
Kerdos Group SA               8.00   12/15/2017    PLN
Russian Post FGUP             2.75    12/6/2023    RUB    71.82
MIK OAO                      15.00    2/19/2020    RUB     5.55
GlobexBank AO                11.00   12/25/2021    RUB    96.25
Freight One JSC              11.80   10/23/2025    RUB    65.11
Lehman Brothers Treasury C    5.10    6/22/2046    EUR     0.26
Societe Generale Effekten     4.00    6/26/2017    EUR    50.93
BNP Paribas SA                0.50   11/16/2032    MXN    29.10
Hellas Telecommunications     8.50   10/15/2013    EUR     0.37
Societe Generale SA           0.50    5/30/2023    MXN    60.75
Bank Nederlandse Gemeenten    0.50    9/20/2022    MXN    65.77
Barclays Bank PLC             0.50    3/13/2023    RUB    64.56
Leonteq Securities AG         3.00    2/21/2018    CHF
EFG International Finance     6.48    5/29/2018    EUR     5.92
Lehman Brothers Treasury C    6.00   10/30/2012    USD     0.26
Lehman Brothers Treasury C   11.00   12/20/2017    AUD     0.26
Bayerische Landesbank         2.70     7/6/2018    EUR    73.31
Lehman Brothers Treasury C    0.50     8/1/2020    EUR     0.26
Lehman Brothers Treasury C   16.20    5/14/2009    USD     0.26
Landesbank Baden-Wuerttemb    6.00    6/23/2017    EUR    61.41
LBI HF                        8.65     5/1/2011    ISK     7.13
Barclays Bank PLC             1.85    7/24/2028    USD    71.50
World of Building Technolo    9.90    6/25/2019    RUB     0.45
Bank Julius Baer & Co Ltd/   23.00     8/4/2017    USD    59.25
Indre Sogn Sparebank          5.84                 NOK    54.82
Fininvest OOO                13.00    11/9/2018    RUB     5.05
Banca Popolare di Vicenza     1.60    3/20/2020    EUR    66.56
Municipality Finance PLC      0.25    6/28/2040    CAD    31.37
Atomenergoprom JSC            9.33    12/3/2026    RUB    60.00
Driver & Bengsch AG           8.50   12/31/2027    EUR     0.00
Lehman Brothers Treasury C    4.25    5/15/2010    EUR     0.26
Lehman Brothers Treasury C   11.75     3/1/2010    EUR     0.26
DekaBank Deutsche Girozent    3.40     4/9/2018    EUR    65.58
Lehman Brothers Treasury C   11.00   12/20/2017    AUD     0.26
Lehman Brothers Treasury C   16.00   10/28/2008    USD     0.26
Lehman Brothers Treasury C    5.50    4/23/2014    EUR     0.26
Lehman Brothers Treasury C    5.50     7/8/2013    EUR     0.26
Lehman Brothers Treasury C    7.63    7/22/2011    HKD     0.26
LBI HF                        5.08     3/1/2013    ISK     7.13
Lehman Brothers Treasury C    7.50     8/1/2035    EUR     0.26
Banca Popolare di Vicenza     2.25    8/22/2019    EUR    73.08
Svensk Exportkredit AB        0.50    8/28/2020    TRY    68.62
National Capital JSC         10.50    9/15/2020    RUB   100.00
Province of Brescia Italy     0.11   12/22/2036    EUR    62.69
Petromena ASA                 9.75    5/24/2016    NOK     0.52
Societe Generale SA          11/28/2029    USD    70.77
Lehman Brothers Treasury C   14.90    9/15/2008    EUR     0.26
Kaupthing ehf                 6.13    10/4/2016    USD    17.63
Lehman Brothers Treasury C    5.00   10/24/2008    CHF     0.26
SAir Group                    2.75    7/30/2004    CHF    13.63
UniCredit Bank AG             4.50    9/19/2017    EUR    69.91
Lehman Brothers Treasury C   10.00     1/3/2012    BRL     0.26
Lehman Brothers Treasury C    6.00    5/23/2018    CZK     0.26
Nutritek International Cor    8.75   12/11/2008    USD     2.00
Raiffeisen Schweiz Genosse    6.50     7/2/2018    USD    56.41
Lehman Brothers Treasury C    4.80   11/16/2012    HKD     0.26
Lehman Brothers Treasury C    2.50    8/23/2012    GBP     0.26
HSBC Trinkaus & Burkhardt     9.60    6/23/2017    EUR    52.78
KPNQwest NV                   7.13     6/1/2009    EUR     0.51
Lehman Brothers Treasury C   14.10   11/12/2008    USD     0.26
Lehman Brothers Treasury C    7.60     3/4/2010    NZD     0.26
SAir Group                    5.13     3/1/2003    CHF    14.00
Lehman Brothers Treasury C    9.50     4/1/2018    USD     0.26
Lehman Brothers Treasury C    3.00    6/23/2009    EUR     9.13
Lehman Brothers Treasury C    2.30    4/28/2014    JPY     0.26
Agentstvo po Ipotechnomu Z    9.80    7/15/2024    RUB    60.00
IFK Soyuz OAO                14.00    7/18/2028    RUB    60.00
IFK Soyuz OAO                12.00    12/9/2027    RUB    59.70
Nota-Bank OJSC               13.50     4/1/2016    RUB    31.50
UBS AG                        7.40    5/17/2021    CHF    59.55
Leonteq Securities AG         7.20    5/29/2018    USD
Municipality Finance PLC      0.50   12/15/2020    BRL    73.58
HSBC Bank PLC                 0.50   11/25/2025    BRL    42.94
Credit Suisse AG/London       3.00   11/15/2025    ZAR    64.90
Kubanenergo PJSC             12.63   11/11/2025    RUB    60.00
Upravlenie Otkhodami ZAO      4.00    4/29/2027    RUB    69.17
Moscow United Electric Gri   10.00    5/26/2026    RUB    62.00
Banca Popolare di Vicenza     1.60    5/29/2020    EUR    65.02
Societe Generale SA           0.50     4/3/2023    RUB    64.32
Noyabrskaya Pge OOO           8.50   11/10/2020    RUB    60.00
Kaupthing ehf                 5.00     1/4/2027    SKK    17.63
Lehman Brothers Treasury C    1.50   10/25/2011    EUR     0.26
Province of Rovigo Italy      0.06   12/28/2035    EUR    64.42
Barclays Bank PLC             0.50    3/19/2021    MXN    71.16
IT Holding Finance SA         9.88   11/15/2012    EUR     1.63
Kreditanstalt fuer Wiedera    0.25    10/6/2036    CAD    40.88
KPNQwest NV                   8.88     2/1/2008    EUR     0.65
Lehman Brothers Treasury C    3.60    3/19/2018    JPY     0.26
Lehman Brothers Treasury C    8.00    3/21/2018    USD     0.26
Lehman Brothers Treasury C    4.00    3/10/2011    EUR     0.26
Leonteq Securities AG         5.00   11/21/2018    CHF
Leonteq Securities AG         3.50    4/10/2018    EUR    58.83
EFG International Finance     7.19     5/6/2019    EUR    14.19
UBS AG/London                 9.40    6/30/2017    EUR    51.25
Nuova Banca delle Marche S    8.00    6/30/2018    EUR     1.24
Lehman Brothers Treasury C    6.45    2/20/2010    AUD     0.26
Lehman Brothers Treasury C   17.00     6/2/2009    USD     0.26
Lehman Brothers Treasury C   16.00    11/9/2008    USD     0.26
Lehman Brothers Treasury C   12.00     7/4/2011    EUR     0.26
Uginvestgerion OOO           12.10     4/1/2020    RUB     0.04
Kaupthing ehf                 3.75    2/15/2024    ISK    17.63
Lehman Brothers Treasury C    3.82   10/20/2009    USD     0.26
Lehman Brothers Treasury C    3.00    8/15/2017    EUR     0.26
Podkarpacki Bank Spoldziel    5.81    2/23/2025    PLN    60.10
Northland Resources AB       12.25    3/26/2016    USD     0.41
HSBC Bank PLC                 0.50    4/11/2023    MXN    61.36
Oberbank AG                   7.40                 EUR    68.04
Jyske Bank A/S                0.74    2/13/2023    EUR    68.10
HSBC Bank PLC                 0.50    1/29/2027    NZD    69.32
Societe Generale SA           0.50    6/12/2023    RUB    63.14
Rusfinans Bank OOO           11.00    10/2/2019    RUB    61.12
Svensk Exportkredit AB        0.50    8/25/2021    ZAR    69.37
Raiffeisen Schweiz Genosse    8.99    7/22/2019    EUR    29.36
Transgazservice LLP          10.50    11/8/2019    RUB     0.25
Delta-Finance OOO            10.00   12/17/2020    RUB     0.04
Lehman Brothers Treasury C    3.86    9/21/2011    SGD     9.63
RGS Nedvizhimost OOO         12.50    7/22/2021    RUB    60.10
Lehman Brothers Treasury C    6.75     4/5/2012    EUR     0.26
Lehman Brothers Treasury C    3.40    9/21/2009    HKD     0.26
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    63.70
Commerzbank AG               10.50   10/26/2017    EUR    66.12
OBRAZOVANIE AKIB AO          11.00    5/31/2018    RUB    30.00
UBS AG                        8.75   12/22/2017    EUR    62.58
Lehman Brothers Treasury C    6.72   12/29/2008    EUR     0.26
Lehman Brothers Treasury C    6.00    7/28/2010    EUR     0.26
HSBC Trinkaus & Burkhardt    18.60    6/23/2017    EUR    67.82
HSBC Bank PLC                 0.50    12/8/2020    BRL    71.15
Bank VTB 24 JSC               9.00    9/15/2044    RUB
DekaBank Deutsche Girozent    2.60    6/23/2017    EUR    65.12
Goldman Sachs & Co Wertpap    9.00    6/21/2017    EUR    72.79
Goldman Sachs & Co Wertpap   13.00    6/21/2017    EUR    62.70
UBS AG/London                 8.25     8/7/2017    EUR    73.25
Leonteq Securities AG         3.80    2/21/2018    EUR
Leonteq Securities AG         4.40    2/21/2018    USD
Leonteq Securities AG         6.00    8/21/2017    CHF     0.08
Leonteq Securities AG         6.00    8/21/2017    EUR     0.01
Leonteq Securities AG         6.77    8/17/2017    CHF    57.68
Leonteq Securities AG         5.40    8/28/2017    CHF    57.26
Commerzbank AG               13.50   12/20/2017    EUR    73.93
Lehman Brothers Treasury C    9.25    6/20/2012    USD     0.26
Lehman Brothers Treasury C    3.00    9/13/2010    JPY     9.13
Leonteq Securities AG         5.00     9/4/2018    CHF    60.81
Leonteq Securities AG         5.60     9/4/2017    CHF    71.79
Leonteq Securities AG         5.60    9/11/2017    CHF    59.19
DekaBank Deutsche Girozent    2.75    6/24/2019    EUR    71.95
SAir Group                    2.75    7/30/2004    CHF    13.63
Lehman Brothers Treasury C    3.35   10/13/2016    EUR     0.26
Lehman Brothers Treasury C    4.00    5/30/2010    USD     0.26
Lehman Brothers Treasury C    2.48    5/12/2009    USD     0.26
Lehman Brothers Treasury C    2.25    5/12/2009    USD     0.26
Lehman Brothers Treasury C    4.10    6/10/2014    SGD     9.63
UniCredit Bank AG             4.00    6/26/2018    EUR    72.47
UniCredit Bank AG             4.60    6/30/2017    EUR    56.74
Landesbank Baden-Wuerttemb    3.25    1/26/2018    EUR    71.13
Landesbank Hessen-Thuering    4.00    1/16/2018    EUR    71.23
Leonteq Securities AG/Guer    5.00   12/27/2019    EUR    69.04
Landesbank Baden-Wuerttemb    3.00    2/23/2018    EUR    71.15
Landesbank Baden-Wuerttemb    3.15    6/22/2018    EUR    72.66
UBS AG                        9.50   12/22/2017    EUR    59.66
UBS AG                        5.25   12/22/2017    EUR    67.58
UBS AG                        8.25   12/22/2017    EUR    71.73
UBS AG                       11.75   12/22/2017    EUR    53.83
UBS AG                        7.75   12/22/2017    EUR    67.22
UBS AG                        7.00   12/22/2017    EUR    69.67
UBS AG                       10.25   12/22/2017    EUR    56.17
UBS AG                       10.25   12/22/2017    EUR    46.42
UBS AG                        5.00   12/22/2017    EUR    71.95
UBS AG                        8.50   12/22/2017    EUR    51.14
UBS AG                       11.75   12/22/2017    EUR    42.17
UBS AG                        8.00   12/22/2017    EUR    65.94
UBS AG                       11.75   12/22/2017    EUR    52.90
UBS AG                        7.50   12/22/2017    EUR    55.41
UBS AG                        9.50   12/22/2017    EUR    64.21
UBS AG                        5.75   12/22/2017    EUR    63.90
UBS AG                        8.25   12/22/2017    EUR    53.30
UBS AG                        8.25   12/22/2017    EUR    54.82
UBS AG                        4.50   12/22/2017    EUR    72.67
UBS AG                        9.50   12/22/2017    EUR    59.05
UBS AG                        6.50   12/22/2017    EUR    59.04
Lehman Brothers Treasury C    5.00    4/24/2017    EUR     0.26
Lehman Brothers Treasury C    0.80   12/30/2016    EUR     0.26
Lehman Brothers Treasury C    4.00    5/17/2010    USD     0.26
Lehman Brothers Treasury C    6.00   12/30/2017    EUR     0.26
Lehman Brothers Treasury C    6.00    2/19/2023    USD     0.26
Lehman Brothers Treasury C    1.00    2/26/2010    USD     0.26
Deutsche Bank AG              3.20   11/22/2017    EUR    73.50
Vontobel Financial Product    8.00    9/29/2017    EUR    73.32
Landesbank Baden-Wuerttemb    3.00    9/22/2017    EUR    72.10
Leonteq Securities AG         6.00   10/12/2017    CHF    64.21
UniCredit Bank AG             5.40    6/30/2017    EUR    68.97
Lehman Brothers Treasury C    6.25   11/30/2012    EUR     0.26
DekaBank Deutsche Girozent    3.10     8/4/2017    EUR    57.89
Lehman Brothers Treasury C    8.00   10/17/2014    EUR     0.26
Lehman Brothers Treasury C    0.50   12/20/2017    USD     0.26
Lehman Brothers Treasury C    0.50   12/20/2017    USD     0.26
Lehman Brothers Treasury C    0.50   12/20/2017    USD     0.26
Lehman Brothers Treasury C    0.50   12/20/2017    USD     0.26
Commerzbank AG                1.00    2/19/2020    USD    27.60
Leonteq Securities AG        10.00    4/20/2018    CHF    70.30
Leonteq Securities AG        11.00    4/20/2018    USD    69.65
Lehman Brothers Treasury C    8.60    7/31/2013    GBP     0.26
Lehman Brothers Treasury C    8.28    7/31/2013    GBP     0.26
Lehman Brothers Treasury C    7.50    7/31/2013    GBP     0.26
Lehman Brothers Treasury C    7.32    7/31/2013    GBP     0.26
Lehman Brothers Treasury C    4.00    12/2/2012    EUR     0.26
Lehman Brothers Treasury C    6.00    6/21/2011    EUR     0.26
Lehman Brothers Treasury C    2.00    6/21/2011    EUR     0.26
DekaBank Deutsche Girozent    3.15    5/18/2018    EUR    71.46
UBS AG                        9.00     7/3/2017    CHF    70.55
UBS AG                        4.50   12/22/2017    EUR    63.01
UBS AG                        5.00   12/22/2017    EUR    71.75
Credit Suisse AG/Nassau       5.25    5/14/2018    CHF    73.59
UniCredit Bank AG             4.10    9/28/2018    EUR    72.99
UBS AG/London                 9.00   12/22/2017    EUR    63.03
UBS AG/London                 7.75   12/22/2017    EUR    56.12
UniCredit Bank AG             4.25    9/12/2017    EUR    69.83
Leonteq Securities AG/Guer    4.68    8/29/2017    CHF    70.84
UBS AG/London                 7.00   12/22/2017    EUR    70.04
UBS AG/London                12.50   12/22/2017    EUR    74.54
UBS AG/London                 5.00   12/22/2017    EUR    70.85
UBS AG/London                14.50   12/22/2017    EUR    70.28
Leonteq Securities AG/Guer    4.40    8/28/2017    CHF    65.01
Raiffeisen Schweiz Genosse    5.04    8/28/2017    CHF    69.38
DekaBank Deutsche Girozent    3.30    2/26/2018    EUR    59.95
DekaBank Deutsche Girozent    3.45     6/1/2018    EUR    71.58
UniCredit Bank AG             4.00   10/14/2019    EUR    72.14
Leonteq Securities AG/Guer   16.20   11/30/2017    USD    41.71
Goldman Sachs & Co Wertpap   10.00    6/21/2017    EUR    71.69
Lehman Brothers Treasury C    7.00   10/22/2010    EUR     0.26
Lehman Brothers Treasury C   16.00    10/8/2008    CHF     0.26
Lehman Brothers Treasury C    4.00     1/4/2011    USD     0.26
Lehman Brothers Treasury C   10.00    2/16/2009    CHF     0.26
Lehman Brothers Treasury C    1.50   10/12/2010    EUR     0.26
Lehman Brothers Treasury C    2.50    11/9/2011    CHF     0.26
Lehman Brothers Treasury C    8.80   12/27/2009    EUR     0.26
Lehman Brothers Treasury C   18.25    10/2/2008    USD     0.26
UBS AG/London                 9.50     9/4/2017    CHF    24.15
Lehman Brothers Treasury C    3.00    8/13/2011    EUR     0.26
Lehman Brothers Treasury C    5.50   11/30/2012    CZK     0.26
Lehman Brothers Treasury C    9.30   12/21/2010    EUR     0.26
Lehman Brothers Treasury C    8.00   12/31/2010    USD     0.26
Lehman Brothers Treasury C    6.30   12/21/2018    USD     0.26
Lehman Brothers Treasury C   13.00    7/25/2012    EUR     0.26
Goldman Sachs & Co Wertpap   12.00    9/20/2017    EUR    67.53
Lehman Brothers Treasury C    8.00   10/23/2008    USD     0.26
Lehman Brothers Treasury C   12.22   11/21/2017    USD     0.26
Lehman Brothers Treasury C    3.50   12/20/2027    USD     0.26
Lehman Brothers Treasury C    6.00   10/30/2012    EUR     0.26
Lehman Brothers Treasury C   10.00     8/2/2037    JPY     0.26
Lehman Brothers Treasury C    4.00   10/12/2010    USD     0.26
Goldman Sachs & Co Wertpap   12.00    9/20/2017    EUR    65.40
Raiffeisen Centrobank AG      6.23   12/28/2018    EUR    74.64
Raiffeisen Centrobank AG      9.85   12/20/2017    EUR    72.93
Raiffeisen Centrobank AG     13.01   12/20/2017    EUR    69.71
Raiffeisen Centrobank AG      7.54   12/28/2018    EUR    69.43
UBS AG/London                17.90    6/30/2017    EUR    70.19
UBS AG/London                14.00    6/30/2017    EUR    73.55
UBS AG/London                14.30    9/29/2017    EUR    73.45
Raiffeisen Schweiz Genosse    3.00    9/22/2020    CHF    68.51
DekaBank Deutsche Girozent    3.00   12/17/2018    EUR    71.18
DZ Bank AG Deutsche Zentra    5.00     2/6/2018    EUR    71.94
Goldman Sachs Internationa    1.00    12/5/2017    SEK    20.68
HSBC Trinkaus & Burkhardt    11.00    8/25/2017    EUR    72.95
HSBC Trinkaus & Burkhardt    13.40    9/22/2017    EUR    70.88
HSBC Trinkaus & Burkhardt    12.10    3/23/2018    EUR    74.50
Leonteq Securities AG         3.00    9/19/2019    CHF    55.01
UniCredit Bank AG             5.00    6/25/2019    EUR    67.65
UniCredit Bank AG             3.75    10/2/2020    EUR    73.35
Landesbank Hessen-Thuering    4.00     4/8/2019    EUR    64.73
UniCredit Bank AG             4.60     7/2/2018    EUR    67.23
Leonteq Securities AG         7.00    9/20/2017    CHF    71.43
Landesbank Hessen-Thuering    5.00    3/27/2019    EUR    72.03
DekaBank Deutsche Girozent    7.15   10/27/2017    EUR    66.26
Vontobel Financial Product   14.00   12/22/2017    EUR    72.94
Vontobel Financial Product   13.00   12/22/2017    EUR    74.01
Commerzbank AG               15.50    8/23/2017    EUR    71.40
Vontobel Financial Product   13.50    9/22/2017    EUR    72.67
Vontobel Financial Product   16.05    9/22/2017    EUR    70.13
Vontobel Financial Product   12.00   12/22/2017    EUR    71.89
Vontobel Financial Product   16.00   12/22/2017    EUR    68.30
Vontobel Financial Product   20.00   12/22/2017    EUR    63.53
HSBC Trinkaus & Burkhardt    15.40    6/23/2017    EUR    73.48
UBS AG/London                 9.50    9/22/2017    EUR    60.96
UBS AG/London                12.50    9/22/2017    EUR    56.17
HSBC Trinkaus & Burkhardt    17.10    6/23/2017    EUR    51.32
HSBC Trinkaus & Burkhardt    12.70    9/22/2017    EUR    58.18
HSBC Trinkaus & Burkhardt    10.30    9/22/2017    EUR    62.34
HSBC Trinkaus & Burkhardt     7.50    9/22/2017    EUR    69.02
Goldman Sachs & Co Wertpap   14.00    9/20/2017    EUR    72.29
Societe Generale Effekten     9.62    6/23/2017    EUR    65.00
Societe Generale Effekten    11.68    6/23/2017    EUR    60.97
Goldman Sachs & Co Wertpap   11.00   12/20/2017    EUR    70.01
Goldman Sachs & Co Wertpap   11.00   12/20/2017    EUR    72.24
Goldman Sachs & Co Wertpap   16.00    6/21/2017    EUR    73.87
HSBC Trinkaus & Burkhardt     4.00    6/16/2017    EUR    66.28
Vontobel Financial Product    4.00    11/9/2017    EUR    68.66
Goldman Sachs & Co Wertpap   13.00   12/20/2017    EUR    72.62
Leonteq Securities AG         8.80    6/21/2017    CHF    71.67
Notenstein La Roche Privat    9.68    6/15/2017    CHF    71.08
SG Issuer SA                  0.80   11/30/2020    SEK    63.74
EFG International Finance     7.35   12/28/2017    CHF    73.73
Credit Suisse AG/Nassau       7.25    7/13/2017    CHF    67.52
DekaBank Deutsche Girozent    3.50   10/28/2019    EUR    73.83
Bank Julius Baer & Co Ltd/    5.50    11/6/2017    CHF    60.40
Commerzbank AG                5.80    10/8/2017    EUR    73.19
Raiffeisen Schweiz Genosse    4.50    3/27/2018    EUR    59.04
DekaBank Deutsche Girozent    3.25    5/18/2018    EUR    73.87
EFG International Finance     6.40     4/9/2020    EUR    74.43
Zurcher Kantonalbank Finan    6.50    4/10/2018    CHF    62.41
Landesbank Baden-Wuerttemb    4.20    6/23/2017    EUR    62.87
Landesbank Baden-Wuerttemb    3.00   10/27/2017    EUR    73.65
Landesbank Baden-Wuerttemb    5.00   10/27/2017    EUR    71.87
Landesbank Baden-Wuerttemb    5.00   10/27/2017    EUR    64.63
Landesbank Baden-Wuerttemb    4.00   10/27/2017    EUR    69.12
Landesbank Baden-Wuerttemb    4.60    6/23/2017    EUR    71.35
Landesbank Baden-Wuerttemb    3.25    7/28/2017    EUR    74.03
Landesbank Baden-Wuerttemb    3.90    7/28/2017    EUR    70.48
Landesbank Baden-Wuerttemb    3.25    7/28/2017    EUR    72.03
Landesbank Baden-Wuerttemb    3.55    8/25/2017    EUR    61.74
Landesbank Baden-Wuerttemb    3.75    9/22/2017    EUR    60.45
Landesbank Baden-Wuerttemb    3.90    9/22/2017    EUR    58.73
Landesbank Baden-Wuerttemb    3.20    9/22/2017    EUR    69.10
Landesbank Baden-Wuerttemb    3.85   10/27/2017    EUR    67.46
Landesbank Baden-Wuerttemb    3.40   11/24/2017    EUR    63.06
Landesbank Baden-Wuerttemb    3.00    6/28/2019    EUR    72.59
Landesbank Baden-Wuerttemb    2.50    6/28/2019    EUR    70.03
Landesbank Baden-Wuerttemb    3.00    6/28/2019    EUR    72.85
Landesbank Baden-Wuerttemb    3.50    6/22/2018    EUR    66.24
Landesbank Baden-Wuerttemb    4.00    8/25/2017    EUR    59.42
Landesbank Baden-Wuerttemb    3.00    9/28/2018    EUR    67.83
Landesbank Baden-Wuerttemb    3.75   10/27/2017    EUR    69.64
Landesbank Baden-Wuerttemb    3.25    8/25/2017    EUR    72.53
Landesbank Baden-Wuerttemb    3.00    6/28/2019    EUR    73.70
DekaBank Deutsche Girozent    3.25    4/20/2018    EUR    65.21
Raiffeisen Schweiz Genosse    4.00     5/8/2018    CHF    62.76
DekaBank Deutsche Girozent    2.75   10/29/2018    EUR    65.77
DekaBank Deutsche Girozent    3.00    4/30/2019    EUR    71.31
Landesbank Baden-Wuerttemb    3.55    8/25/2017    EUR    73.89
Landesbank Baden-Wuerttemb    3.60    6/22/2018    EUR    66.95
Raiffeisen Schweiz Genosse   15.00   12/27/2017    CHF    67.06
Credit Suisse AG/London       8.50    9/18/2017    USD    56.39
HSBC Trinkaus & Burkhardt     2.50    9/22/2017    EUR    71.02
Leonteq Securities AG        10.20   10/24/2018    EUR    64.85
Landesbank Baden-Wuerttemb    4.00    6/23/2017    EUR    68.13
Credit Suisse AG/Nassau       6.38    6/12/2017    EUR    62.91
Raiffeisen Schweiz Genosse    6.50    6/26/2017    EUR    68.42
Landesbank Baden-Wuerttemb    3.00    8/25/2017    EUR    72.75
Landesbank Baden-Wuerttemb    5.00    8/25/2017    EUR    64.37
EFG International Finance     7.20    7/29/2020    EUR    28.91
Goldman Sachs & Co Wertpap   12.00    6/21/2017    EUR    52.08
Landesbank Baden-Wuerttemb    4.00    8/25/2017    EUR    68.02
Credit Suisse AG/Nassau       5.50     8/3/2017    EUR    74.13
Commerzbank AG               11.50    7/26/2017    EUR    55.24
Goldman Sachs & Co Wertpap   12.00    6/21/2017    EUR    72.99
UBS AG/London                 7.00    6/26/2017    EUR    65.30
Landesbank Baden-Wuerttemb    3.70    7/27/2018    EUR    74.29
Zurcher Kantonalbank Finan    9.00    7/17/2017    EUR    73.02
UBS AG/London                 7.50     7/3/2017    EUR    62.15
Goldman Sachs & Co Wertpap   14.00    6/21/2017    EUR    73.50
Goldman Sachs & Co Wertpap   13.00    6/21/2017    EUR    70.52
Goldman Sachs & Co Wertpap    7.00    6/21/2017    EUR    71.51
Goldman Sachs & Co Wertpap   10.00    6/21/2017    EUR    62.22
Goldman Sachs & Co Wertpap   13.00    6/21/2017    EUR    58.46
Goldman Sachs & Co Wertpap   13.00    6/21/2017    EUR    71.53
UBS AG/London                 9.25    6/26/2017    CHF    65.05
EFG International Finance     7.20    6/26/2017    GBP     2.90
Zurcher Kantonalbank Finan    8.50    7/17/2017    CHF    59.93
Banque Cantonale Vaudoise     7.25     7/3/2017    CHF    56.78
SAir Group                    2.13    11/4/2004    CHF    13.63
Goldman Sachs & Co Wertpap   11.00    6/21/2017    EUR    73.69
UBS AG/London                 6.40    12/8/2017    EUR    62.59
UBS AG/London                 9.60    12/8/2017    EUR    57.29
Credit Suisse AG/Nassau       7.25    6/14/2017    CHF    64.91
HSBC Trinkaus & Burkhardt     6.50    1/29/2018    EUR    66.95
HSBC Trinkaus & Burkhardt     8.40    9/22/2017    EUR    59.18
HSBC Trinkaus & Burkhardt     4.80    9/22/2017    EUR    66.51
HSBC Trinkaus & Burkhardt     3.00    9/22/2017    EUR    73.11
UBS AG                       24.10    9/28/2017    EUR    68.70
UBS AG/London                 6.00    10/5/2017    CHF    50.65
EFG International Finance    17.00     8/3/2018    USD    72.06
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    54.18
BNP Paribas Emissions- und   26.00   12/21/2017    EUR    67.25
BNP Paribas Emissions- und   24.00    6/22/2017    EUR    71.64
BNP Paribas Emissions- und   26.00   12/21/2017    EUR    67.22
BNP Paribas Emissions- und   29.00    6/22/2017    EUR    68.41
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    56.88
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    68.03
BNP Paribas Emissions- und   19.00    6/22/2017    EUR    68.90
BNP Paribas Emissions- und   28.00    6/22/2017    EUR    55.88
BNP Paribas Emissions- und   26.00   12/21/2017    EUR    64.43
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    71.95
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    67.20
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    71.88
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    66.88
BNP Paribas Emissions- und   24.00   12/21/2017    EUR    67.89
BNP Paribas Emissions- und   26.00   12/21/2017    EUR    64.82
BNP Paribas Emissions- und   29.00   12/21/2017    EUR    60.39
BNP Paribas Emissions- und   23.00   12/21/2017    EUR    61.55
BNP Paribas Emissions- und   29.00    6/22/2017    EUR    72.47
BNP Paribas Emissions- und   29.00   12/21/2017    EUR    69.48
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    69.38
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    68.89
BNP Paribas Emissions- und   22.00   12/21/2017    EUR    61.37
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    55.26
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    66.01
BNP Paribas Emissions- und   16.00    6/22/2017    EUR    74.60
BNP Paribas Emissions- und   28.00    6/22/2017    EUR    56.91
BNP Paribas Emissions- und   22.00   12/21/2017    EUR    66.17
BNP Paribas Emissions- und   25.00    6/22/2017    EUR    72.32
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    72.22
BNP Paribas Emissions- und   28.00    6/22/2017    EUR    63.35
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    66.85
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    61.93
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    70.45
BNP Paribas Emissions- und   29.00   12/21/2017    EUR    63.98
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    72.80
BNP Paribas Emissions- und   24.00    6/22/2017    EUR    73.78
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    66.16
BNP Paribas Emissions- und   26.00   12/21/2017    EUR    73.58
BNP Paribas Emissions- und   27.00    6/22/2017    EUR    74.12
BNP Paribas Emissions- und   26.00   12/21/2017    EUR    72.38
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    70.26
BNP Paribas Emissions- und    6.00    6/22/2017    EUR    54.74
BNP Paribas Emissions- und   18.00    6/22/2017    EUR    35.44
BNP Paribas Emissions- und   21.00    6/22/2017    EUR    32.35
BNP Paribas Emissions- und    6.00   12/21/2017    EUR    57.46
BNP Paribas Emissions- und   10.00   12/21/2017    EUR    48.90
BNP Paribas Emissions- und   13.00   12/21/2017    EUR    44.40
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    35.66
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    67.59
BNP Paribas Emissions- und   28.00    6/22/2017    EUR    70.73
BNP Paribas Emissions- und   24.00    6/22/2017    EUR    69.24
BNP Paribas Emissions- und   27.00    6/22/2017    EUR    64.40
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    65.16
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    58.71
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    56.42
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    74.54
BNP Paribas Emissions- und   13.00    6/22/2017    EUR    61.48
BNP Paribas Emissions- und   25.00    6/22/2017    EUR    39.06
BNP Paribas Emissions- und   15.00   12/21/2017    EUR    58.40
BNP Paribas Emissions- und   19.00   12/21/2017    EUR    50.85
BNP Paribas Emissions- und   22.00   12/21/2017    EUR    46.82
BNP Paribas Emissions- und   25.00   12/21/2017    EUR    44.21
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    42.41
BNP Paribas Emissions- und   25.00    6/22/2017    EUR    73.04
BNP Paribas Emissions- und   27.00    6/22/2017    EUR    69.41
BNP Paribas Emissions- und   25.00    6/22/2017    EUR    55.06
BNP Paribas Emissions- und   13.00   12/21/2017    EUR    74.44
BNP Paribas Emissions- und   19.00   12/21/2017    EUR    64.24
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    53.96
BNP Paribas Emissions- und   16.00    6/22/2017    EUR    67.91
BNP Paribas Emissions- und   13.00    6/22/2017    EUR    67.11
BNP Paribas Emissions- und   19.00    6/22/2017    EUR    56.42
BNP Paribas Emissions- und   28.00   12/21/2017    EUR    48.86
BNP Paribas Emissions- und   25.00    6/22/2017    EUR    63.58
BNP Paribas Emissions- und   27.00    6/22/2017    EUR    60.05
BNP Paribas Emissions- und   19.00   12/21/2017    EUR    72.76
BNP Paribas Emissions- und   22.00   12/21/2017    EUR    67.54
BNP Paribas Emissions- und   27.00   12/21/2017    EUR    60.30
Lloyds Bank PLC               0.50    7/26/2028    MXN    43.41
HSBC Bank PLC                 0.50     6/9/2023    MXN    60.49
Polski Bank Spoldzielczy w    4.81   11/26/2024    PLN    45.00
DZ Bank AG Deutsche Zentra   11.50    6/23/2017    EUR    55.16
Commerzbank AG                3.51    5/31/2019    EUR     3.50
HSBC Trinkaus & Burkhardt    11.70    6/23/2017    EUR    60.08
HSBC Trinkaus & Burkhardt     8.70    6/23/2017    EUR    67.47
Polski Bank Spoldzielczy w    4.81    6/22/2021    PLN    55.00
Lehman Brothers Treasury C    7.05     4/8/2015    USD     0.26
Lehman Brothers Treasury C    7.80    3/31/2018    USD     0.26
Lehman Brothers Treasury C   10.00   10/23/2008    USD     0.26
Lehman Brothers Treasury C   10.00   10/22/2008    USD     0.26
Lehman Brothers Treasury C    3.45    5/23/2013    USD     0.26
Lehman Brothers Treasury C   13.15   10/30/2008    USD     0.26
Lehman Brothers Treasury C    7.50    5/30/2010    AUD     0.26
Lehman Brothers Treasury C   11.00     5/9/2020    USD     0.26
Lehman Brothers Treasury C    4.00     6/5/2011    USD     0.26
Lehman Brothers Treasury C    5.00    2/15/2018    EUR     0.26
Lehman Brothers Treasury C    9.00     5/6/2011    CHF     0.26
Lehman Brothers Treasury C   10.60    4/22/2014    MXN     0.26
Lehman Brothers Treasury C    9.75    6/22/2018    USD     0.26
Lehman Brothers Treasury C    4.60     8/1/2013    EUR     0.26
Lehman Brothers Treasury C   10.44   11/22/2008    CHF     0.26
Lehman Brothers Treasury C    3.00     6/3/2010    EUR     0.26
Lehman Brothers Treasury C   12.40    6/12/2009    USD     0.26
Lehman Brothers Treasury C   13.43     1/8/2009    ILS     0.26
Lehman Brothers Treasury C    7.75     1/3/2012    AUD     0.26
Lehman Brothers Treasury C    3.10     6/4/2010    USD     0.26
Lehman Brothers Treasury C    2.50    8/15/2012    CHF     0.26
Lehman Brothers Treasury C    6.00     8/7/2013    EUR     0.26
Lehman Brothers Treasury C    6.25     9/5/2011    EUR     0.26
Lehman Brothers Treasury C   16.80    8/21/2009    USD     0.26
Lehman Brothers Treasury C    5.25     7/8/2014    EUR     0.26
Lehman Brothers Treasury C    4.00    8/11/2010    USD     9.13
Lehman Brothers Treasury C    2.30     6/6/2013    USD     0.26
Lehman Brothers Treasury C    1.00     5/9/2012    EUR     0.26
Lehman Brothers Treasury C   10.00    5/22/2009    USD     0.26
Lehman Brothers Treasury C   13.50     6/2/2009    USD     0.26
Lehman Brothers Treasury C    0.50     6/2/2020    EUR     0.26
Lehman Brothers Treasury C   11.00     7/4/2011    USD     0.26
Lehman Brothers Treasury C   11.00     7/4/2011    CHF     0.26
Lehman Brothers Treasury C   16.00   12/26/2008    USD     0.26
Raiffeisen Switzerland BV     3.50    8/25/2017    CHF    67.62
Commerzbank AG                7.25   10/26/2017    EUR    72.31
Commerzbank AG               14.25   10/26/2017    EUR    61.47
Vontobel Financial Product    3.00    6/13/2017    EUR    57.88
Lehman Brothers Treasury C    1.50     2/8/2012    CHF     0.26
HSBC Trinkaus & Burkhardt     4.30    6/23/2017    EUR    68.94
HSBC Trinkaus & Burkhardt     9.60    6/23/2017    EUR    54.81
Kaupthing ehf                 9.75    9/10/2015    USD    17.63
Lehman Brothers Treasury C    4.10    8/23/2010    USD     0.26
Lehman Brothers Treasury C    7.75    2/21/2016    EUR     0.26
Lehman Brothers Treasury C    8.00   12/27/2032    JPY     0.26
Goldman Sachs & Co Wertpap   10.00    6/21/2017    EUR    73.53
Goldman Sachs & Co Wertpap   11.00    6/21/2017    EUR    73.68
Lehman Brothers Treasury C    7.25    6/20/2010    USD     0.26
Erste Group Bank AG           9.25    6/29/2017    EUR    51.20
Credit Suisse AG/London       8.95     6/6/2017    USD    53.97
Lehman Brothers Treasury C    6.00     3/4/2015    USD     0.26
Lehman Brothers Treasury C    7.15    3/21/2013    USD     0.26
Lehman Brothers Treasury C    7.50    2/14/2010    AUD     0.26
Lehman Brothers Treasury C    6.60    5/23/2012    AUD     0.26
Lehman Brothers Treasury C    3.00    9/12/2036    JPY     9.13
Lehman Brothers Treasury C    4.82   12/18/2036    EUR     0.26
Lehman Brothers Treasury C    5.25     4/1/2023    EUR     0.26
Lehman Brothers Treasury C   13.00   12/14/2012    USD     0.26
UBS AG/London                 6.30   12/29/2017    EUR    65.69
UBS AG                       10.25   12/22/2017    EUR    57.11
UBS AG                       13.00   12/22/2017    EUR    67.66
UBS AG                        6.75   12/22/2017    EUR    59.33
UBS AG                        7.75   12/22/2017    EUR    62.97
UBS AG                       10.50   12/22/2017    EUR    58.30
UBS AG                        6.25   12/22/2017    EUR    58.89
Vontobel Financial Product   18.40    9/11/2017    EUR    66.00
Deutsche Bank AG              6.20    6/20/2017    EUR    75.10
Deutsche Bank AG              6.20    6/20/2017    EUR    74.00
Raiffeisen Schweiz Genosse    4.20    4/10/2018    EUR    60.70
Raiffeisen Switzerland BV     9.00     4/1/2019    EUR    21.43
DZ Bank AG Deutsche Zentra    9.00    6/23/2017    EUR    58.08
DZ Bank AG Deutsche Zentra    8.70   12/22/2017    EUR    62.37
DZ Bank AG Deutsche Zentra   10.10   12/22/2017    EUR    59.28
DZ Bank AG Deutsche Zentra    9.25    7/28/2017    EUR    58.33
UBS AG/London                10.00    6/23/2017    EUR    58.68
UBS AG/London                13.50    6/23/2017    EUR    53.16
Landesbank Baden-Wuerttemb    3.40    7/27/2018    EUR    70.47
Landesbank Baden-Wuerttemb    5.50    6/23/2017    EUR    67.37
Landesbank Baden-Wuerttemb    4.50    6/23/2017    EUR    71.63
Landesbank Baden-Wuerttemb    3.00    6/23/2017    EUR    72.53
Landesbank Baden-Wuerttemb    5.00    6/23/2017    EUR    64.39
Norddeutsche Landesbank Gi    3.00    7/16/2018    EUR    74.24
Lehman Brothers Treasury C   11.00    2/16/2009    CHF     0.26
Lehman Brothers Treasury C   13.00    2/16/2009    CHF     0.26
Lehman Brothers Treasury C    7.00    2/15/2010    CHF     0.26
UBS AG                       11.25   12/22/2017    EUR    71.79
UBS AG                       10.50   12/22/2017    EUR    52.09
Lehman Brothers Treasury C    7.06   12/29/2008    EUR     0.26
Lehman Brothers Treasury C    6.60     2/9/2009    EUR     0.26
Lehman Brothers Treasury C    8.88    1/28/2011    HKD     9.63
Kaupthing ehf                 7.00    7/24/2009    ISK    17.63
Lehman Brothers Treasury C    4.05    9/16/2008    EUR     0.26
Lehman Brothers Treasury C    5.00    3/13/2009    EUR     0.26
Lehman Brothers Treasury C    4.25    3/13/2021    EUR     0.26
AKB Derzhava OJSC            11.25    7/10/2023    RUB    90.06
HSBC Trinkaus & Burkhardt     5.40    9/22/2017    EUR    70.10
Lehman Brothers Treasury C    8.05   12/20/2010    HKD     0.26
Royal Bank of Scotland PLC    6.20     9/7/2018    GBP     1.07
Royal Bank of Scotland PLC    1.33   10/26/2018    GBP     1.06
Kaupthing ehf                 6.50    10/8/2010    ISK    17.63
Kaupthing ehf                 7.50    12/5/2014    ISK    17.63
Lehman Brothers Treasury C    2.30    6/27/2013    USD     0.26
Lehman Brothers Treasury C    2.37    7/15/2013    USD     0.26
Lehman Brothers Treasury C    1.95    11/4/2013    EUR     0.26
Lehman Brothers Treasury C    5.22     3/1/2024    EUR     0.26
Lehman Brothers Treasury C    4.00    2/28/2010    EUR     0.26
Lehman Brothers Treasury C    4.10    5/20/2009    USD     0.26
Lehman Brothers Treasury C    2.00    5/17/2010    EUR     0.26
Lehman Brothers Treasury C    2.75   10/28/2009    EUR     0.26
Lehman Brothers Treasury C    4.50   12/30/2010    USD     0.26
Lehman Brothers Treasury C    7.00    7/11/2010    EUR     0.26
Lehman Brothers Treasury C    5.00     8/1/2025    EUR     0.26
Lehman Brothers Treasury C    4.90    7/28/2020    EUR     0.26
Lehman Brothers Treasury C    4.15    8/25/2020    EUR     0.26
Lehman Brothers Treasury C    6.00    12/6/2016    USD     0.26
Lehman Brothers Treasury C    6.50    5/16/2015    EUR     0.26
Lehman Brothers Treasury C    3.00     8/8/2017    EUR     0.26
Lehman Brothers Treasury C    5.00     9/1/2011    EUR     0.26
Lehman Brothers Treasury C    3.50    9/19/2017    EUR     0.26
Lehman Brothers Treasury C    6.00    7/28/2010    EUR     0.26
Lehman Brothers Treasury C    3.50    9/29/2017    EUR     0.26
Lehman Brothers Treasury C    2.40    6/20/2011    JPY     0.26
Lehman Brothers Treasury C    1.60    6/21/2010    JPY     0.26
OOO SPV Structural Investm    0.01     9/1/2023    RUB    64.96
HSBC Trinkaus & Burkhardt    18.40    6/23/2017    EUR    63.34
HSBC Trinkaus & Burkhardt    13.80   12/22/2017    EUR    69.55
HSBC Trinkaus & Burkhardt    11.90   12/22/2017    EUR    71.54
HSBC Trinkaus & Burkhardt    10.70    8/25/2017    EUR    71.04
HSBC Trinkaus & Burkhardt    10.20   11/24/2017    EUR    73.22
DZ Bank AG Deutsche Zentra    9.20    6/23/2017    EUR    71.09
HSBC Trinkaus & Burkhardt    19.00    6/23/2017    EUR    71.76
BNP Paribas Emissions- und   16.00   12/21/2017    EUR    73.76
BNP Paribas Emissions- und   16.00    6/22/2017    EUR    73.62
BNP Paribas Emissions- und   15.00   10/26/2017    EUR    74.21
BNP Paribas Emissions- und   19.00   10/26/2017    EUR    72.84
BNP Paribas Emissions- und   21.00    6/22/2017    EUR    69.80
BNP Paribas Emissions- und   25.00    6/22/2017    EUR    66.60
BNP Paribas Emissions- und   19.00    9/21/2017    EUR    70.73
BNP Paribas Emissions- und   16.00   12/21/2017    EUR    62.31
BNP Paribas Emissions- und   18.00   12/21/2017    EUR    60.30
BNP Paribas Emissions- und    9.00    6/22/2017    EUR    69.20
BNP Paribas Emissions- und    9.00    9/21/2017    EUR    71.38
BNP Paribas Emissions- und   10.00    9/21/2017    EUR    68.31
BNP Paribas Emissions- und   12.00    9/21/2017    EUR    63.07
BNP Paribas Emissions- und   10.00   12/21/2017    EUR    70.42
Commerzbank AG               16.25   12/21/2017    EUR    73.79
UBS AG/London                 9.90    9/22/2017    EUR    71.71
HSBC Trinkaus & Burkhardt    13.40   12/22/2017    EUR    74.03
BNP Paribas Emissions- und   15.00   12/21/2017    EUR    65.55
BNP Paribas Emissions- und   19.00   12/21/2017    EUR    58.86
BNP Paribas Emissions- und   16.00    6/22/2017    EUR    55.52
BNP Paribas Emissions- und   12.00   12/21/2017    EUR    65.71
BNP Paribas Emissions- und   16.00    9/21/2017    EUR    57.02
BNP Paribas Emissions- und    9.00   12/21/2017    EUR    73.18
Commerzbank AG               15.50    9/20/2017    EUR    71.28
Raiffeisen Schweiz Genosse    6.50    7/11/2017    CHF    71.22
Raiffeisen Schweiz Genosse    6.00    7/11/2017    CHF    69.42
Bank Julius Baer & Co Ltd/    7.85    7/28/2017    USD    46.30
UBS AG/London                14.50    7/20/2017    USD    55.50
HSBC Trinkaus & Burkhardt     9.50    6/23/2017    EUR    57.36
HSBC Trinkaus & Burkhardt     5.50    6/23/2017    EUR    65.59
Commerzbank AG                4.00    7/19/2017    EUR    59.37
Leonteq Securities AG        20.00   10/25/2017    CHF    65.18
Vontobel Financial Product   11.75     6/9/2017    EUR    71.40
Commerzbank AG                7.00    7/27/2017    EUR    64.49
Commerzbank AG               10.25    7/27/2017    EUR    57.97
Commerzbank AG               14.25    7/27/2017    EUR    52.97
Vontobel Financial Product   16.00   12/22/2017    EUR    72.51
Vontobel Financial Product   14.50    3/23/2018    EUR    73.97
Deutsche Bank AG              5.20    7/26/2017    EUR    73.10
Deutsche Bank AG              7.20    7/26/2017    EUR    73.40
Deutsche Bank AG              9.20    7/26/2017    EUR    73.80
Zurcher Kantonalbank Finan    4.75   12/11/2017    CHF    72.85
Commerzbank AG               15.50    6/22/2017    EUR    53.23
Commerzbank AG                8.25    6/22/2017    EUR    65.84
Commerzbank AG               11.50    6/22/2017    EUR    58.77
Norddeutsche Landesbank Gi    3.00   10/30/2018    EUR    70.13
UBS AG/London                 3.81   10/28/2017    USD    67.75
Leonteq Securities AG         7.00    11/6/2017    CHF    42.97
Goldman Sachs & Co Wertpap   16.00    6/21/2017    EUR    68.76
Leonteq Securities AG         5.20    8/14/2018    CHF    73.98
Leonteq Securities AG         6.00    5/22/2018    EUR
DekaBank Deutsche Girozent    2.80    5/13/2019    EUR    66.39
Leonteq Securities AG         6.00   11/21/2017    CHF
Leonteq Securities AG         9.92    5/29/2017    EUR    64.28
HSBC Bank PLC                 0.50    2/24/2027    NZD    69.37
Credit Suisse AG              0.50   12/16/2025    BRL    45.11
Kommunalbanken AS             0.50   12/16/2020    TRY    69.67
Eiendomskreditt               4.26                 NOK    54.82
HSBC Bank PLC                 0.50   12/22/2025    BRL    42.63
Barclays Bank PLC             1.99    12/1/2040    USD    72.95
HSBC Bank PLC                 0.50    12/8/2026    AUD    71.74
T-Generation CJSC            12.00    6/14/2019    RUB    99.20
Univer Capital LLC           12.00     3/6/2019    RUB    59.00
Banca Popolare di Vicenza     1.60    1/16/2020    EUR    68.26
National Capital JSC          9.25    4/22/2019    RUB   100.00
Vegarshei Sparebank           4.99                 NOK    71.81
Banca Popolare di Vicenza     1.60     1/9/2020    EUR    68.07
Vontobel Financial Product    4.65    7/24/2017    EUR    69.20
UBS AG/London                 7.00    7/17/2017    CHF    55.70
Raiffeisen Schweiz Genosse    6.70    7/24/2017    EUR    71.16
Exane Finance SA              5.00   12/20/2019    SEK
Main Road OJSC                4.10   10/30/2029    RUB    84.84
Polski Bank Spoldzielczy w    5.31    9/14/2027    PLN    55.01
Lehman Brothers Treasury C    3.63     3/2/2012    EUR     0.26
Lehman Brothers Treasury C    0.75    3/29/2012    EUR     0.26
Lehman Brothers Treasury C    6.00    3/17/2011    EUR     0.26
Lehman Brothers Treasury C    4.70    3/23/2016    EUR     0.26
Lehman Brothers Treasury C    8.00    4/20/2009    EUR     0.26
Lehman Brothers Treasury C    5.25    5/26/2026    EUR     0.26
Lehman Brothers Treasury C    3.70     6/6/2009    EUR     0.26
Lehman Brothers Treasury C    4.50     8/2/2009    USD     0.26
Lehman Brothers Treasury C    6.00    2/14/2012    EUR     0.26
Lehman Brothers Treasury C    7.00    2/15/2012    EUR     0.26
Lehman Brothers Treasury C   15.00    3/30/2011    EUR     0.26
Lehman Brothers Treasury C    4.69    2/19/2017    EUR     0.26
Lehman Brothers Treasury C    4.10    2/19/2010    EUR     0.26
Lehman Brothers Treasury C    5.20    3/19/2018    EUR     0.26
Lehman Brothers Treasury C    3.50   10/31/2011    USD     0.26
Lehman Brothers Treasury C    3.50   10/24/2011    USD     0.26
Lehman Brothers Treasury C    0.25   10/19/2012    CHF     0.26
Lehman Brothers Treasury C    1.68     3/5/2015    EUR     0.26
Lehman Brothers Treasury C    9.00    5/15/2022    USD     0.26
Lehman Brothers Treasury C    6.00    5/12/2017    EUR     0.26
Lehman Brothers Treasury C    6.60    2/22/2012    EUR     0.26
Lehman Brothers Treasury C    5.00    2/28/2032    EUR     0.26
Lehman Brothers Treasury C    3.85    4/24/2009    USD     0.26
Lehman Brothers Treasury C   10.50     8/9/2010    EUR     0.26
Lehman Brothers Treasury C    0.25    7/21/2014    EUR     0.26
Lehman Brothers Treasury C    4.95   10/25/2036    EUR     0.26
Lehman Brothers Treasury C    4.00   11/24/2016    EUR     0.26
Lehman Brothers Treasury C    4.00    4/24/2009    USD     0.26
Lehman Brothers Treasury C    9.00    6/13/2009    USD     0.26
Lehman Brothers Treasury C    9.00    3/17/2009    GBP     0.26
Lehman Brothers Treasury C    7.00   11/28/2008    CHF     0.26
Lehman Brothers Treasury C    7.38    9/20/2008    EUR     0.26
Lehman Brothers Treasury C    8.00    5/22/2009    USD     0.26
Lehman Brothers Treasury C    4.50    7/24/2014    EUR     0.26
Lehman Brothers Treasury C    5.75    6/15/2009    CHF     0.26
Lehman Brothers Treasury C    7.50   10/24/2008    USD     0.26
Lehman Brothers Treasury C   10.00    3/27/2009    USD     0.26
Lehman Brothers Treasury C    7.75    1/30/2009    EUR     0.26
Lehman Brothers Treasury C    8.00     8/3/2009    USD     0.26
Lehman Brothers Treasury C    5.50    6/15/2009    CHF     0.26
Lehman Brothers Treasury C    4.00   10/24/2012    EUR     0.26
Lehman Brothers Treasury C    2.50   12/15/2011    GBP     0.26
Lehman Brothers Treasury C    8.50     7/6/2009    CHF     0.26
Lehman Brothers Treasury C    7.50    9/13/2009    CHF     0.26
Lehman Brothers Treasury C    6.50    7/24/2026    EUR     0.26
Lehman Brothers Treasury C    4.05    9/16/2008    EUR     0.26
Lehman Brothers Treasury C    8.28    3/26/2009    USD     0.26
DZ Bank AG Deutsche Zentra    8.30    9/22/2017    EUR    58.80
HSBC Trinkaus & Burkhardt     1.75    8/25/2017    EUR    68.05
HSBC Trinkaus & Burkhardt     7.90    9/22/2017    EUR    64.40
Raiffeisen Switzerland BV    22.20     9/1/2017    USD    69.25
Landesbank Baden-Wuerttemb    3.85    8/25/2017    EUR    71.69
Commerzbank AG               20.00    5/28/2018    SEK    52.71
BNP Paribas Emissions- und    6.00   10/26/2017    EUR    67.34
BNP Paribas Emissions- und   13.00   10/26/2017    EUR    57.29
BNP Paribas Emissions- und    6.00   12/21/2017    EUR    68.18
BNP Paribas Emissions- und   13.00   12/21/2017    EUR    57.22
BNP Paribas Emissions- und    8.00    6/22/2017    EUR    65.61
BNP Paribas Emissions- und   16.00    6/22/2017    EUR    53.35
BNP Paribas Emissions- und   13.00   10/26/2017    EUR    74.72
BNP Paribas Emissions- und   16.00    6/22/2017    EUR    68.45
BNP Paribas Emissions- und   13.00    9/21/2017    EUR    71.50
BNP Paribas Emissions- und   13.00   10/26/2017    EUR    72.53
BNP Paribas Emissions- und   16.00    9/21/2017    EUR    55.02
BNP Paribas Emissions- und    5.00   10/26/2017    EUR    70.55
BNP Paribas Emissions- und    5.00   12/21/2017    EUR    70.95
BNP Paribas Emissions- und   19.00    6/22/2017    EUR    51.22
BNP Paribas Emissions- und    6.00    9/21/2017    EUR    66.83
BNP Paribas Emissions- und   12.00    6/22/2017    EUR    72.10
BNP Paribas Emissions- und    9.00   10/26/2017    EUR    62.94
BNP Paribas Emissions- und    9.00   12/21/2017    EUR    64.03
BNP Paribas Emissions- und    5.00    9/21/2017    EUR    69.87
BNP Paribas Emissions- und    9.00    9/21/2017    EUR    61.91
BNP Paribas Emissions- und   13.00    9/21/2017    EUR    56.30
BNP Paribas Emissions- und   22.00    6/22/2017    EUR    70.86
Lehman Brothers Treasury C   10.00     1/4/2010    USD     0.26
Lehman Brothers Treasury C    0.50    2/16/2009    EUR     0.26
Lehman Brothers Treasury C    7.60    3/26/2009    EUR     0.26
Lehman Brothers Treasury C    7.55   12/29/2008    USD     0.26
UBS AG/London                 7.00    9/22/2017    EUR    67.34
UBS AG/London                11.60   12/29/2017    EUR    59.06
UBS AG/London                13.00    9/27/2017    EUR    56.51
UBS AG/London                 5.30   12/29/2017    EUR    68.13
Lehman Brothers Treasury C    5.38     2/4/2014    USD     0.26
Lehman Brothers Treasury C    3.50    6/20/2011    EUR     0.26
Lehman Brothers Treasury C    4.20    12/3/2008    HKD     9.63
Societe Generale SA           0.50     4/4/2024    MXN    56.34
YamalStroiInvest             14.25    4/24/2021    RUB    65.70
Societe Generale SA           0.50    4/30/2023    RUB    63.74
Veneto Banca SpA              2.40     4/7/2020    EUR    71.30
Veneto Banca SpA              2.40     4/1/2020    EUR    71.44
Veneto Banca SpA              2.40     4/2/2020    EUR    71.42
Barclays Bank PLC             1.64     6/3/2041    USD    74.01
Societe Generale SA           0.50     7/6/2021    BRL    67.89
HSBC Bank PLC                 0.50    4/27/2027    NZD    68.85
Banca Nazionale del Lavoro    1.68    6/15/2037    EUR    75.15
Eiendomskreditt               5.21                 NOK    65.50
Lehman Brothers Treasury C    4.50     3/7/2015    EUR     0.26


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  Go to order any title today.


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 Joseph Cardillo at

                 * * * End of Transmission * * *