TCREUR_Public/170710.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, July 10, 2017, Vol. 18, No. 135



TELEKOM AUSTRIA: Moody's Affirms Ba1 Jr Debt Rating, Outlook Pos.


AGROKOR DD: Completes Loan Deal, To Focus on Profitability
ZAGREBACKI HOLDING: Moody's Assigns Ba2 LT Rating, Outlook Stable


AVERYS SAS: Moody's Assigns B2 CFR, Outlook Stable
ELSAN SAS: S&P Raises CCR to B+, Outlook Stable
TECHNICOLOR SA: S&P Affirms BB-/B CCRs, Revised Outlook to Neg.
TEREOS FINANCE: S&P Assigns 'B' Issue Rating to New Hybrid Notes
TEREOS FINANCE: Fitch Rates Proposed US$ Securities 'B+)(EXP)'


JACK WOLFSKIN: Kirkland & Ellis Advises Lenders on Restructuring


GREECE: Corporate Bankruptcies Up 500% in 10 Years


AQUEDUCT EUROPEAN: S&P Assigns B- Rating to EUR11MM Class F Notes
CONTEGO CLO IV: Moody's Assigns B2(sf) Rating to Cl. F Notes
CONTEGO CLO IV: S&P Assigns 'B-' Rating to Class F Notes
CVC CORDATUS V: S&P Gives Prelim. B- Rating to Class F-R Notes
ZOO ABS 4: S&P Raises Ratings on Two Note Classes to BB+


BREEZE FINANCE: S&P Affirms B- Rating on Class A Notes
CRC BREEZE: S&P Affirms B- Rating on Class A Notes


JUBILEE CLO 2017-XVIII: Fitch Rates EUR12MM Class F Notes 'B-'
E-MAC PROGRAM NL 2006-III: S&P Raises Cl. D Notes Rating to BB+


TAURON POLSKA: Fitch Assigns BB+ Rating to Hybrid Bonds


LEGION JSCB: Put on Provisional Administration, License Revoked
GAZPROMBANK JSC: S&P Affirms BB+/B Counterparty Credit Rating


BANKIA SA: Moody's Affirms Ba1 Debt Rating, Outlook Developing
PYMES SANTANDER 6: S&P Affirms D Rating on Class C Notes
UNICAJA BANCO: Moody's Ups LT Deposit Rating to Ba2, Outlook Pos.


ARCHROMA HOLDINGS: S&P Assigns Prelim. B CCR, Outlook Stable


ENDEMOL: Turkish Unit Files for Bankruptcy in Istanbul

U N I T E D   K I N G D O M

CO-OPERATIVE BANK: Moody's Puts 'ca' BCA on Review for Upgrade
GARAGE SHOES: Staff in Process of Claiming Back Wages
HANDMADE BURGER: Enters Administration, Closes 9 Restaurants
MERGERMARKET MIDCO: Moody's Affirms B3 CFR, Outlook Stable
NEWDAY FUNDING 2017-1: Fitch Assigns B Rating to GBP16.5MM Notes

NMG BIDCO: Moody's Assigns B2 Corp. Family Rating, Outlook Stable
NMG HOLDCO: S&P Assigns Preliminary B CCR, Outlook Stable
WISE 2006-1 PLC: S&P Lowers Rating on Class A Notes to BB-(sf)


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



TELEKOM AUSTRIA: Moody's Affirms Ba1 Jr Debt Rating, Outlook Pos.
Moody's Investors Service has changed to positive from stable the
outlook on the ratings of Telekom Austria AG, the leading
integrated telecommunications provider in Austria, and its
guaranteed finance subsidiary Telekom Finanzmanagement GmbH.
Concurrently, Moody's has affirmed the company's Baa2 long-term
issuer rating, Baa2 senior unsecured ratings, (P)Baa2 medium term
notes (MTN) programme ratings, Ba1 junior subordinate instrument
ratings, and Prime-2 (P-2) short-term ratings.

"The change in outlook to positive mainly reflects Moody's
expectation that Telekom Austria's leverage and cash flow metrics
will remain strong for the current rating underpinned by a stable
operating performance and a reduction in event risk. It also
factors in the company's strengthened position in what is a very
competitive telecoms market as well as the broadly stable revenue
growth and EBITDA margin from its geographically diversified
operations," says Carlos Winzer, a Moody's Senior Vice President
and lead analyst for Telekom Austria.


Telekom Austria's Baa2 rating is supported by (1) the group's
moderate scale; (2) its position as a strong integrated player in
its highly competitive domestic telecommunications market; (3)
its geographical diversification in a number of Eastern European
countries, mitigated by the fact that these countries are exposed
to higher macroeconomic and foreign currency risks than its core
domestic operations; (4) its strong cash flow generation; and (5)
the improving credit metrics since 2013.

The rating also factors in management's willingness to preserve
the group's financial strength and public commitment to an
investment grade rating. In addition, Moody's also considers the
benefits resulting from America Movil, S.A.B. de C.V. 's (America
Movil, A3 stable) shareholding in Telekom Austria.

Telekom Austria is a government-related issuer (GRI) and its Baa2
rating currently benefits from one notch of uplift as a result of
(1) the group being 28.42% government-owned; (2) its moderate
level of default dependence; and (3) Moody's moderate government
support assumptions for the group. Telekom Austria's baseline
credit assessment (BCA), a measure of its standalone credit
quality, is baa3.

Moody's expects that Telekom Austria will retain its strong
market position in Austria and continued operating performance
weathering competitive pressures in the markets where it
operates. At the same time, Moody's expects that management will
preserve the group's financial strength, managing its strategic
investments, as well as shareholder remuneration in line with its
stated commitment to an investment grade rating.

The rating agency expects that competitive challenges in Austria
will remain and will continue to put pressure on revenues, which
will grow marginally at around 1% per year through 2019. In fact,
Moody's expects that most of the future revenue growth will come
from international subsidiaries.

The company will continue to make substantial investments in its
domestic network in order to accelerate broadband capacity to
better differentiate from its competitors. This will be the
principal use of its cash flow generation capacity, given the
expected moderate dividend policy and lack of sizable M&A
opportunities. However, uncertainty remains in relation to future
spectrum auction payments for the 2,100 MHz frequency expected in
2019 and the 700 MHz frequency in 2020.


The change in outlook to positive reflects the expectation that
the company will sustain its improved financial metrics and
business positioning in Austria and throughout its international
footprint. As a result, Moody's expects that Telekom Austria's
leverage ratio, measured by gross debt/EBITDA, will be sustained
below 2.5x and retained cash flow/debt above 30%.

The positive rating outlook also reflects Moody's expectation
that Telekom Austria will at least sustain a stable operating
performance in a highly competitive market in which the company
will continue to benefit from past investments to improve the
quality of the network.


Moody's could consider upgrading Telekom Austria's rating if the
group's debt protection ratios were to strengthen as a result of
improvements in its operational cash flows, assuming no change in
the sovereign rating or the levels of government support and
default dependence. This would be reflected by an adjusted
RCF/gross adjusted debt ratio trending towards 30% and a gross
adjusted debt/EBITDA ratio that is lower than 2.8x on a
sustainable basis.

The ratings could come under downward pressure if (1) Telekom
Austria's underlying operating performance were to weaken as a
result of more adverse macroeconomic, regulatory or competitive
developments; (2) the group's liquidity profile deteriorated; or
(3) the group were to make additional material debt-financed
acquisitions and/or increase shareholder remuneration, such that
its credit metrics were to deteriorate (reflected in adjusted
RCF/adjusted gross debt sustainably below 20% and adjusted gross
debt/EBITDA sustainably above 3.3x).

In addition, Moody's would most likely no longer apply its GRI
methodology to Telekom Austria or incorporate uplift in its final
rating if (1) the government were to reduce its stake in the
group to below 20%; or (2) the rating agency were to lower its
support assumptions for the group. While either one of these
factors would likely result in a one-notch downgrade, there is
currently no indication that either will occur.



Issuer: Telekom Austria AG

-- LT Issuer Rating, Affirmed Baa2

-- ST Issuer Rating, Affirmed P-2

-- Junior Subordinated Regular Bond/Debenture, Affirmed Ba1

-- Senior Unsecured Medium-Term Note Program, Affirmed (P)Baa2

-- Other Short Term, Affirmed (P)P-2

Issuer: Telekom Finanzmanagement GmbH

-- Backed Senior Unsecured Medium-Term Note Program, Affirmed

-- Backed Other Short Term, Affirmed (P)P-2

-- Backed Senior Unsecured Regular Bond/Debenture, Affirmed Baa2

Outlook Actions:

Issuer: Telekom Austria AG

-- Outlook, Changed To Positive From Stable

Issuer: Telekom Finanzmanagement GmbH

-- Outlook, Changed To Positive From Stable


The methodologies used in these ratings were Telecommunications
Service Providers published in January 2017, and Government-
Related Issuers published in October 2014.

Headquartered in Vienna, Austria, Telekom Austria is the leading
integrated telecommunications provider in Austria, providing 2.2
million fixed access lines, almost 1.5 million broadband
connections and serving 5.4 million mobile customers (as of 30
March 2017). The group has a nationwide presence, delivering a
full range of services and products, including telephony, data
exchange, interactive contents, TV and information and
communications technology (ICT) solutions. The group has also
expanded its mobile operations outside Austria, where its
customer base accounts for more than 15.2 million subscribers.
Telekom Austria is one of the leading mobile operators in
Bulgaria (through its subsidiary Mobiltel), Belarus (Velcom) and
Croatia (Vipnet), and is also present in Slovenia (Simobil),
Macedonia (One Vip), Serbia (Vip Mobile) and Liechtenstein
(Telecom Lichtenstein). Telekom Austria's main shareholders are
America Movil (A3 stable), with a 51% holding (fully
consolidating Telekom Austria) and the Austrian government, with
a 28.42% holding. Group revenues amounted to EUR4.2 billion and
company reported EBITDA to EUR1.3 billion as of December 2016.


AGROKOR DD: Completes Loan Deal, To Focus on Profitability
Reuters reports that Agrokor's crisis manager Ante Ramljak said
on July 5 the indebted Croatian food group has completed a loan
deal agreed last month and will now turn to improving
profitability for the benefit of creditors.

"With this day we're out of the survival period.  We have saved
the company and there will be no bankruptcy.  Now we are entering
the next phase which will focus on restructuring and an effort to
improve profitability.  This second phase will last until final
settlement among creditors," Reuters quotes Mr. Ramljak as

According to Reuters, he said that some 20 local and foreign
banks and other financial institutions participated in the loan
worth EUR480 million (US$544 million), giving a boost to
Mr. Ramljak's bid to stabilize the Balkans' biggest private
sector employer.

Agrokor earlier said the 15-month loan had an interest rate of 4%
annually and could be extended to 24 months, and was agreed under
a so-called "roll-up" arrangement, meaning that on maturity,
Agrokor will settle some of its other debts with the lenders at
the same time as repaying the loan, Reuters relays.

Agrokor, which has around 60,000 employees, was put under state
management in early April after it built up debts that amounted
to at least HRK40.4 billion (US$6.2 billion) at the end of March,
Reuters recounts.  The company racked up debts during a rapid
expansion, notably in Croatia, Slovenia, Bosnia and Serbia,
Reuters notes.

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

                            *   *   *

The Troubled Company Reporter-Europe reported on June 7, 2017,
that Moody's Investors Service downgraded Croatian retailer and
food manufacturer Agrokor D.D.'s corporate family rating (CFR) to
Ca from Caa2 and the probability of default rating (PDR) to D-PD
from Ca-PD. The outlook on the company's ratings remains
negative.  Moody's also downgraded the senior unsecured rating
assigned to the notes issued by Agrokor due in 2019 and 2020 to C
from Caa2.  The rating actions reflect Agrokor's decision not to
pay the coupon scheduled on May 1, 2017 on its EUR300 million
notes due May 2019 at the end of the 30 day grace period. It also
factors in Moody's understanding that the company is not paying
interest on any of the debt in place prior to Agrokor's decision
in April 2017 to file for restructuring under Croatia's law for
the Extraordinary Administration for Companies with Systemic

The TCR-Europe on April 17, 2017, reported that Moody's Investors
Service 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. "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."

ZAGREBACKI HOLDING: Moody's Assigns Ba2 LT Rating, Outlook Stable
Moody's Public Sector Europe has assigned a Ba2 long-term issuer
rating to Zagrebacki Holding D.O.O. (the Holding), a 100%-owned
utility company of the City of Zagreb. The rating outlook is

The Holding's Ba2 rating on the senior unsecured bond maturing in
July 2017 is unaffected by this rating action.


The issuer rating of Zagrebacki Holding D.O.O. reflects Moody's
opinion that its credit quality is closely linked to the credit
quality of the City of Zagreb (Ba2, stable).

The Holding benefits from its strong institutional and financial
linkages with the City of Zagreb as its sole owner, either in the
form of subsidies or regulated tariffs in most businesses. The
rating also incorporates the strong oversight exercised by the
City of Zagreb as well as the Holding's monopolistic status and
strategic role for the city's utilities sector. As a result,
Moody's believes that Zagrebacki Holding D.O.O.'s credit quality
ultimately aligns with the City of Zagreb's credit rating.

The Holding's rating remains underpinned by the company's
stabilized financial performance, improved debt maturity profile
and boosted liquidity position. While the Holding's debt-to-
operating revenue ratio remains high, it decreased to 109% in
2016 from 114% in 2013 and Moody's expects further debt reduction
below 100% by 2019.

The stable outlook mirrors the stable outlook of the City of
Zagreb. Moody's expects that the institutional and financial
framework under which the Holding operates will not change in the


An upgrade of Zagrebacki Holding D.O.O.'s rating would result
from a similar action on the City of Zagreb's rating, given their
close financial and operational linkages.

A downgrade of the Holding's rating would result from a downgrade
of the City of Zagreb's rating. In addition, negative changes in
the institutional and financial framework under which the Holding
operates could also exert downward pressure on the company's

The principal methodology used in these ratings was Government-
Related Issuers published in October 2014.


AVERYS SAS: Moody's Assigns B2 CFR, Outlook Stable
Moody's Investors Service assigned a B2 Corporate Family Rating
(CFR) and a B2-PD Probability of Default Rating (PDR) to
Financiere Efel SAS, the ultimate holding company of Averys SAS.
Concurrently, Moody's assigned a B2 rating to the company's
EUR240 million senior secured facilities agreement, split into a
EUR230 million term loan B with 7 years tenor and a EUR10 million
revolving credit facility with 6 years tenor. The outlook on the
ratings is stable.

This is the first time that Moody's has rated Averys.


The B2 CFR is supported by Averys' (1) market leading position in
Europe allowing the group to capture market growth; (2) solid
manufacturing and distribution footprint enabling customer
proximity and limited freight costs which are key elements to
ensure competitiveness in the fragmented and competitive racking
market where products are largely undifferentiated; (3) good
profitability with a Moody's adjusted EBITA margin around 10% and
(4) an asset-light business model with 80% of the cost base
considered variable and low capex requirements helping to
maintain the stability of the margins and to support very good
cash flow generation.

At the same time, the CFR is constrained by (1) the group's small
size (EUR425 million sales in 2016) and limited product
diversification; (2) some geographic and customer concentration
with 40% of the sales realised in France and 30% in the
neighboring Germany, Belgium and Netherlands and one key customer
representing approximately 10% of the sales; (3) exposure to the
more volatile investment cycle of its customers and (4) a
shareholder oriented financial policy with some risk for debt
funded acquisitions.


The EUR230 million term loan B and the EUR10 million revolving
credit facility are rated in line with the CFR at B2. The
instruments are senior secured and guaranteed by group companies
representing at least 80% of EBITDA. Borrowers of the SFA are
Financiere Efel SAS, Financiere Storage SAS and Averys SAS. As
Moody's views the coverage of the assets pledged as security
(shares, bank accounts, intra-group receivables) to be limited
Moody's has assumed the facilities to be akin to be unsecured in
Moody's waterfall analysis.

The term loan and the RCF share the same security package, rank
pari-passu and are subject to a total net leverage covenant that
will be tested quarterly from March 2018 onwards.


Averys' liquidity profile will be just adequate at closing due to
a relatively low cash position of EUR7 million pro-forma of the
refinancing and access to a small revolver of only EUR10 million.
The liquidity position of the group should improve over time
supported by the group's strong funds from operations expected to
be around EUR30 million for the next twelve months. Moody's
believes that these sources should cover the seasonality of the
working capital with Averys typically building working capital
during the first half of the year and releasing in the second
half with intra-year swings around EUR10 million. There are no
major debt maturities until 2024, when the new EUR230 million
term loan matures.


The stable outlook reflects Moody's expectations that in the next
12-18 months, Averys will maintain a healthy profitability of
around 10% Moody's adjusted EBITA margin and a leverage in a
range between 4.5x and 5.0x Moody's adjusted debt/EBITDA.


Upward pressure on the ratings could develop if Averys is able to
generate a Moody's adjusted EBITA margin well above 10% through
the cycle, maintain its strong free cash flow generation
indicated by free cash flow coverage of debt at high single
digits supporting a sustainable leverage reduction well below
4.5x debt/EBITDA.

Downward pressure on the ratings could be exerted in case of a
deterioration of its operating performance resulting in EBITA
margin consistently falling below 8%, leverage exceeding 5.0x or
in case of negative free cash flow generation. Likewise, an
erosion of its liquidity profile would be a negative

The principal methodology used in these ratings was Global
Manufacturing Companies published in June 2017.

Financiere Efel SAS is the ultimate holding company of Averys SAS
(Averys). Averys, headquartered in Paris, France, is the 2nd
largest manufacturer of storage systems in Europe. The company
manufactures heavy duty shelving (81% of 2016 sales), medium to
light duty shelving (12%) and metal furniture (7%). Averys
distributes its products mainly in Europe (with core countries
being France, Belgium, Germany and Netherlands) to customers
present mainly in the industry but also in other sectors (third-
party logistics, retail and tertiary sector). In 2016, Averys
reported EUR425 million of sales and EUR51 million EBITDA as
adjusted by Moody's. Since 2015, the company is owned by private
equity funds managed by Equistone.

ELSAN SAS: S&P Raises CCR to B+, Outlook Stable
S&P Global Ratings raised its long-term corporate credit rating
on No. 2 ranked French private hospital operator ELSAN SAS to
'B+' from 'B'. The outlook is stable.

At the same time, S&P said, "we raised the issue rating on
ELSAN's EUR1.3 billion term loan B to 'B+' from 'B' in line with
the corporate credit rating. Our recovery rating of '3' reflects
our expectation of meaningful recovery (50%-70%; rounded estimate
60%) in the event of payment default.

"We removed the ratings from CreditWatch with positive
implications where they were placed on Dec. 5, 2016 (see "French
Private Hospital ELSAN Rated 'B'; On CreditWatch Positive On
Proposed Merger With Holding Medi-Partenaires," published on

"We also withdrew our 'B' long-term corporate credit and issue
ratings on No. 3 ranked French private hospital operator Holding
Medi-Partenaires SAS (HMP) upon the redemption of all outstanding
rated debt."

The upgrade follows ELSAN's acquisition of HMP. ELSAN has
effectively repaid all the outstanding debt and acquired all the
shares of HMP, funded partially with incremental debt and cash,
combined with an equity injection of 35%.

ELSAN became the second-largest private hospital operator in
France when it integrated Vitalia in late 2015. With the
integration of the No. 3 player, HMP, ELSAN will operate 123
facilities and this ensures wide coverage of the national
territory with 23,000 employees and about 6,500 doctors.

By combining both entities, S&P said, "we expect ELSAN to reach a
revenue base of EUR2 billion, on par with Ramsay Generale de
Sante. However, we understand ELSAN is now the largest private
hospital operator in France in terms of geographic coverage and
number of facilities, with market share in medicine, surgery, and
obstetrics (MSO) of approximately 20%.

"We view positively the increased scale of the combined entity,
as it is crucial for health care service providers to improve
institutional visibility vis-Ö-vis all stakeholders in the
sector. In addition, the combination makes sense given that the
two entities strongly complement each other geographically. We
expect the combined entity to provide full coverage of the French
territory, while Ramsay tends to focus more on large cities.

"We note, however, that ELSAN remains mainly focused on France
and, as such, continues to rely on the French government as the
main payer. We also expect ELSAN will be able to reap material
synergies, mainly from procurement, allowing the absorption of
the integration and HMP's restructuring costs. We view as
positive the successful execution of costs savings that ELSAN and
HMP showed during the Vitalia and Medipole Sud integrations."
This track record should support stable to improving
profitability at ELSAN, with an EBITDAR margin of close to 20% in
2017, despite pressure on tariffs.

In terms of volumes, the operating environment offers good
visibility of demand, thanks to an aging population and an
increasing number of medical interventions per patient. About 80%
of ELSAN's revenues come directly from the national social
security system, thereby limiting exposure to bad debts. ELSAN is
also progressively diversifying its revenue sources outside MSO
activities. We also expect non-MSO activities to benefit from
stronger volume growth.

S&P said, "We expect France to keep up with incremental economic
reforms in the medium term, including a focus on health care
costs. In this context, we project pressure on ELSAN's tariffs
will continue over the next two years, although with a reduced
magnitude. The government lowered tariffs by 0.9% in 2017
following cuts of 1.65% in 2016, 2.15% in 2015, and 0.24% in 2014
(excluding the prudential ratio)."

ELSAN has a good track record of retaining and recruiting new
doctors as it recognizes that this recruitment drives half of its
organic volume growth. Most practitioners are exclusive to ELSAN,
which S&P assesses as an important competitive advantage. HMP
brings its focus on specialties and complex procedures, with
commensurately higher tariffs that have enabled it to maintain
solid profitability in an adverse regulatory environment.

S&P said, "ELSAN operates mostly under a leasehold model, which
we view negatively because health care services providers are
price-takers and rents represent additional fixed costs, which
are already high. In our view, this could put further pressure on
profitability on top of the low value growth prospects for the

"We expect the group to continue acquiring clinics to further
consolidate the private hospitals market, as well as developing
alternative potential growth initiatives abroad. These could take
the form of greenfield projects with bid processes, to be
financed jointly with public and private partners, where ELSAN
would provide hospital management services.

"We consider ELSAN's financial risk profile to be highly
leveraged, reflecting its financial sponsor ownership by CVC and
our estimate that the company's S&P Global Ratings-adjusted debt
to EBITDA will remain above 5.0x over the next three years (at
around 6.1x in 2017 and 6.0x in 2018). After the acquisition of
HMP, our debt calculation includes about EUR1.4 billion of
financial debt, adjusted by EUR35 million pension liabilities and
EUR975 million of operating leases. The acquisition of HMP shares
and the repayment of its gross debt have been partly financed
with the issuance of EUR730 million incremental debt. The
remaining portion has been financed with an equity injection by
CVC and Thetys Investment, an entry shareholder with a rather
long-term commitment as per our understanding.

"We forecast adjusted fixed-charge coverage of about 1.9x as a
result of the significant annual rental payments. As such, we
anticipate that ELSAN will be able to comfortably service its
financial debt obligations. However, given the high proportion of
fixed costs, including rent payments, we consider that any
structural operational issues could hinder ELSAN's ability to
cover its fixed costs."

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

-- French GDP growth of 1.6% in 2017 and 1.7% in 2018. S&P said,
    "We use GDP as an indication of the state's willingness to
    pay for health care because of the nondiscretionary nature of
    health care. We expect the French government to continue its
    efforts to curb health care expenditures, in accordance with
    deficit-cutting measures. However, pressure on tariffs should
    be more subdued than in the past two years."
-- ELSAN's organic revenues will rise by 1%-3%, which would
    slightly improve through acquisitions and expansion capital
    expenditures (capex). The 2017 organic growth should arise
    from procedure mix and volume growth, helped by recruitment
    of new practitioners, and should more than offset tariff
-- Improving EBITDAR margins to 19%-20% over the next three
    years, helped by synergies and cost efficiencies.
-- Capex of 4%-5% of revenues per year reflecting ELSAN's
    constant investments in its operating base, being medical
    equipment or process improvement tools.
-- Bolt-on acquisitions as part of the consolidation process in
    French health care.

Based on these assumptions, S&P arrives at the following credit

-- Adjusted debt to EBITDA of about 6.0x, on average, over the
    next two years, pro forma the HMP acquisition.
-- A fixed-charge cover ratio of 1.9x on average over the next
    two years, pro forma the HMP acquisition.

S&P said, "The stable outlook reflects our view that ELSAN's
solid position in the French private hospital markets will enable
the group to sustain broadly positive underlying revenue growth
over the next 12-18 months, and improve its operating performance
thanks to the integration of HMP and the subsequent economies of
scale achieved. We believe that ELSAN will be able to comfortably
service its debt and operating lease obligations as well as
maintain fixed-charge coverage of about 1.9x over the next three

"We could consider lowering the ratings if the group's operating
performance weakens. The most likely cause of such a
deterioration would be if the reimbursement of ELSAN's costs
through the French social security system does not keep up with
inflationary pressure on the group's cost base, resulting in
pressure on the group's profitability.

"We could also lower the ratings if the group's free cash flow
generation were hampered by substantial working capital outflows
or higher than forecasted capex, and if it fails to maintain
adequate headroom under its RCF springing covenant, or liquidity
weakens. This would most likely translate in the failure to
maintain a fixed charge coverage ratio above 1.5x.

"We could raise the ratings if the group revised its financial
policy and was committed to a sustainable leverage below 5.0x. We
view an upgrade as remote in the next 12 months in the context of
the current capital structure."

TECHNICOLOR SA: S&P Affirms BB-/B CCRs, Revised Outlook to Neg.
S&P Global Ratings revised to negative from stable its outlook on
France-based technology company Technicolor S.A. S&P affirmed its
'BB-' long-term and 'B' short-term corporate credit ratings on
the company.

S&P said, "The affirmation reflects our forecast that
Technicolor's operations and credit metrics will rebound in 2018
from a trough in 2017, but to a lower extent than initially
expected, given that the profitability of the Connected Home
division is hindered by more expensive memory chips. We thus
expect that credit metrics in 2018 will be close to their limits
for the current rating. We also factor in continued uncertainty
on the evolution of memory chip prices over the coming months."

Connected Home's profitability is currently affected by the
strong increase of memory chip prices, which is weighing on
Technicolor's operations and credit metrics more than initially
expected, given that contracts signed with customers do not
include any pass-through mechanism, in line with the rest of the
industry. However, S&P said, "we believe that the Connected Home
business still has the ability to recover in 2018, leveraging its
No. 2 position worldwide, and benefiting from its main customers'
dual vendor approach, as well as from the record number of new
contract wins in 2016, which will start to contribute to revenues
from the beginning of 2018. Since these new contracts will still
be negatively affected by recent memory chip price inflation, and
Technicolor will only be able to factor higher prices into
contracts that are currently being signed, we have lowered our
2018 EBITDA forecast.

"At the same time, we continue to believe that the Technology
segment will start growing again in 2018, benefiting from a ramp-
up in licensing agreements based on the group's strong patent
portfolio. The sound performance of the group's visual effect and
post-production activities, combined with a better product mix
coming from a higher contribution of Blu-ray and gaming, will
improve the Entertainment Service segment's profitability and
offset the gradual and structural decline of the DVD business.
Finally, we believe that Technicolor's assets acquired in 2015
have enabled the group to rebalance its activities following the
planned phase-out of the MPEG-LA licensing pool, given that the
group has been able to derive synergies in line with our

"We expect Technicolor's 2017 credit metrics will temporarily
exceed the thresholds for the current rating, with adjusted debt
to EBITDA of more than 3x and a drop in free operating cash flow
(FOCF) to debt to about 11% from 22% in 2016. This deterioration
will partly be due to a one-off EUR82 million cash payment
related to the final settlement of the cathode-ray-tube cartel
case. In 2018, we expect both metrics to bounce back, with
adjusted debt to EBITDA improving to about 3.0x and FOCF to debt
rising to about 15%-20%. However, this improvement is hindered by
the price of memory chips, so credit metrics for 2018 will be
close to their limits for the current rating.

"The negative outlook reflects that we could downgrade
Technicolor by one notch in the next 12 months if we forecast
further EBITDA deterioration from our current base case as a
consequence of additional increases of memory chip prices, order
cancellation in the Connected Home segment, or weaker demand for
the other segments. EBITDA deterioration could also result from
materially lower cost synergies and higher-than-expected
restructuring costs.

"We could lower the rating if we anticipated revenue decline as a
consequence of weaker demand or further pressure on the EBITDA
margin, such that we expect adjusted debt to EBITDA and FOCF to
debt will remain consistently above 3x and below 15%,

"We could revise our outlook to stable if adjusted debt to EBITDA
was in the 2x-3x range and FOCF to debt was sustainably above
15%, while the liquidity position remained at least adequate.
This could occur if memory chip prices stabilized and Technicolor
was able to sign contracts with its customers based on revised
prices, somewhat mitigating the increase in costs."

TEREOS FINANCE: S&P Assigns 'B' Issue Rating to New Hybrid Notes
S&P Global Ratings assigned its 'B' issue rating to the proposed
perpetual, optionally deferrable, and subordinated hybrid notes
to be issued by Tereos Finance Group. The issue is guaranteed by
Tereos UCA (BB/Stable).

Tereos will use the cash proceeds of the notes for general
corporate purposes, including the refinancing of bank debt. The
completion and size of the transaction will be subject to market
conditions, but we understand that the issuance should be up to
$300 million. This is within the 15% adjusted capitalization
ratio threshold under our criteria.

S&P said, "We classify the proposed notes as having intermediate
equity content until their first call date in 2023 because they
meet our criteria in terms of their subordination, permanence,
and optional deferability during this period (see "Hybrid Capital
Handbook: September 2008 Edition," published on Sept. 15, 2008,
on RatingsDirect).

"Consequently, in our calculation of Tereos' credit ratios, we
will treat 50% of the principal outstanding and accrued interest
under the hybrids as equity rather than debt. We will also treat
50% of the related payments on these notes as equivalent to a
common dividend. Both treatments are in line with our hybrid
capital criteria.

"We arrive at our 'B' issue rating on the proposed notes by
deducting three notches from our 'BB' issuer credit rating (ICR)
on Tereos. We determine the rating differential according to our
methodology, under which:

-- We deduct two notches for the subordination of the proposed
    notes, because the ICR on Tereos is speculative grade (that
    is, 'BB+' or below); and
-- We deduct an additional notch for payment flexibility to
    reflect that the deferral of interest is optional.

"The latter is only one notch because we consider that there is a
relatively low likelihood that Tereos will defer interest
payments. Should our view on this likelihood change, we may
significantly increase the number of downward notches that we
apply to the issue ratings."

The interest to be paid on the proposed notes will increase by 25
basis points (bps) in 2023 (year six) and by a further 175 bps in
2038 (year 21).

S&P said, "We consider the cumulative 200 bps for the notes as a
material step-up, which is currently unmitigated by any
commitment to replace the respective instruments at that time.
This provides an incentive for Tereos to redeem the instruments
on the 2038 call date.

"Consequently, we will no longer recognize the instrument as
having intermediate equity content after the first call date
(2023), because the remaining period until economic maturity
would be less than 15 years.

"Up to the first call date, we classify the instrument's equity
content as intermediate as long as we think that a change in that
classification would not cause Tereos to call the instrument.
Tereos's willingness to maintain or replace the instrument in the
event that the equity content is reclassified as minimal is
underpinned by its statement of intent."


Although the proposed notes have no final maturity date, the
issuer may redeem them for cash on the first call date in 2023,
and at each interest payment date thereafter. In addition, the
notes may be purchased at any time in the open market. The issuer
intends, but is not obliged, to redeem or repurchase the notes
only to the extent that they are replaced with instruments with
equivalent equity content. In addition, the notes may be called
at any time for tax, rating, and accounting events, or if 80% or
more of the notes have already been redeemed.


S&P said, "In our view, Tereos' option to defer payment on the
proposed notes is discretionary. This means that the issuer may
elect not to pay accrued interest on an interest payment date.
Tereos retains the option to defer interest throughout the life
of the notes. However, any outstanding deferred interest is
cumulative, and will ultimately be settled in cash--if, for
example, the issuer paid interest on the next interest payment
date, or Tereos declared a dividend. We see this as a negative
factor, but this condition remains acceptable under our
methodology as the issuer can still choose to defer on the next
interest payment date after settling a previously deferred


The proposed notes (and coupons) would constitute unsecured and
subordinated obligations of the issuer, supported by an
irrevocable subordinated guarantee of Tereos UCA. The notes rank
senior only to the issuer's ordinary shares.

TEREOS FINANCE: Fitch Rates Proposed US$ Securities 'B+)(EXP)'
Fitch has assigned an expected rating of 'B+(EXP)' to Tereos
Finance Groupe 1's proposed US dollar deeply subordinated fixed-
rate resettable securities, guaranteed on a subordinated basis by
Tereos Union de Cooperatives a Capital Variable (Tereos). The
proposed securities qualify for 50% equity credit. The final
rating and equity credit of the securities are contingent on the
receipt of final documents conforming to the information already
received by Fitch.

Fitch currently expect most of the issuance proceeds to be used
for debt refinancing. However Fitch factor in that part of the
proceeds may not be applied to refinance debt. Fitch calculates,
based on the assigned expected equity credit, that any resulting
increase in total debt should not meaningfully hamper Tereos'
projected deleveraging capacity over the next few years. Tereos'
RMI-adjusted FFO gross leverage decreased to an estimated 4.9x in
the financial year ended March 2017 (FY17) from 6.1x in FY16. It
should fall to below 4.5x thereafter, ie below the level that
Fitch considers as the maximum level consistent with a 'BB'
rating. As a result, Fitch expects to affirm Tereos' IDR and
senior unsecured notes rating upon completion of the transaction.



Rating Reflects Deep Subordination: The proposed securities are
rated two notches below Tereos' Long-Term Issuer Default Rating
(IDR; BB/Stable) given their deep subordination and consequently,
the lower recovery prospects in a liquidation or bankruptcy
scenario relative to the senior obligations. The notes are
subordinated to all senior debt.

Equity Treatment Given Equity-like Features: The proposed
securities qualify for 50% equity credit as they meet Fitch's
criteria with regards to deep subordination, with a remaining
effective maturity of more than five years, full discretion to
defer coupons for at least five years, the absence of enforcement
rights, events of default or cross-default clause (other than
liquidation or insolvency), and permanence (underpinned by
intention-based replacement language included in the prospectus).
These are key equity-like characteristics, affording Tereos
greater financial flexibility. Equity credit is limited to 50%
given the cumulative interest coupon, a feature considered more

Effective Maturity Date: The proposed notes are perpetual, with a
coupon step-up of 25bp after year six and an incremental 175bp in
year 21 (assuming the issuer is not upgraded to investment grade
by then). As a result, the Fitch effective maturity date is in
year 21, when the cumulative step-ups exceed 100bp. Fitch removes
equity credit five years before the effective maturity date, in
this case year 16 (2033). If over time the issuer becomes
investment grade (unlikely over current rating horizon), Fitch
would consider revising the effective maturity date to reflect
the possibility of the second step-up date being postponed by
five years, in line with documentation provisions.


Strong Business Profile: The IDR is underpinned by Tereos's
strong business profile for the 'BB' category, both in its
operational scope and its position in commodity markets with
potential for long-term growth. Geographic and product
diversification, with an important portion of sales and profits
being generated outside the company's historical French sugar
beet operations, as well as efforts to increase operating
efficiency also support Tereos's business risk profile.

Exposure to European Sugar Price Adjustment: Fitch expects
European prices to decrease from current their level as they
converge with lower international prices, along with the removal
of the quota regime in September 2017. They had recovered in FY17
due to lower production, which led to a rapid drop in stock-to-
use ratios. Like other European sugar processors, Tereos's
European sugar beet business has suffered a sharp contraction in
profitability over the past few years, following a steep decline
in EU quota sugar prices largely linked to the intervention of
the European Commission in 2013.

Profit Rebound: After a strong rebound in FY17, Fitch expects
profits to increase further in FY18, although at a slower pace.
The rating and Stable outlook assumes that any drop in European
sugar prices would be more than offset by higher sugar beet
volumes and greater efficiency. Fitch also expects the starch and
sweeteners business to contribute more to profits, due to an
improved product mix, larger capacity and better efficiency.

Fitch therefore consider the FY16 results as Tereos' lowest
EBITDA point in the current cycle. In FY17 Tereos strongly
boosted EBITDA by 34% due to higher sugar prices but also product
mix optimisation, lower energy costs and benefits from the
performance plans initiated in previous years.

Higher European Sugar Volume Upside: Fitch expects the group to
benefit from a post-2017 deregulated European sweeteners market
due to strong market share and competitiveness. The EU sugar
reform will lift constraints on production and exports from
Europe. Tereos has contracted with member farmers in France to
increase production of sugar beet so that increased volumes can
more than compensate for lower selling prices. Fitch therefore
projects that EBITDA from Tereos's European sugar beet operations
will keep growing in FY18.

Improvement of Credit Metrics: in FY17 Readily Marketable
Inventories (RMI)-adjusted FFO gross leverage decreased to around
4.9x (based on Fitch preliminary estimates regarding RMI value)
after having peaked at 6.1x in FY16. Fitch expects it to further
decrease in FY18 and remain below 4.5x over the next four years.
Similarly, Tereos' RMI-adjusted FFO fixed charge cover recovered
to around 4.5x in FY17. Fitch forecasts RMI-adjusted FFO fixed-
charge cover to have reached its low point (3.0x) in FY16 and
that it will remain above 4.0x after FY17. This improvement in
financial metrics will be supported by higher FFO and a higher
RMI value.

These levels are comfortable for the ratings. Tereos reported
slightly negative free cash flow for FY17 and Fitch expects a
similar level for FY18 due to working-capital absorption in FY18.
In addition, Fitch projects capex to remain high at an average
EUR400 million annually.

Adequate Financial Flexibility: Tereos's credit metrics remain
weak for its rating but they are partially mitigated by adequate
financial flexibility. The latter is supported by strict
financial discipline in shareholder distributions and M&A
spending, adequate liquidity management and healthy RMI-adjusted
FFO fixed-charge cover throughout the commodity down-cycle. In
the low sugar price environment, cooperative owners have shown
their support to Tereos by accepting a sharp reduction in "price
complements", which Fitch considers akin to dividend

There has been a modest increase in distributions in FY17, but
Fitch assumes these will remain low so long as the profitability
of Tereos's European sugar business remains low.

Parent-Subsidiary Linkage: Tereos France's (TF) and Tereos's
influential control as well as their legal and strategic ties
with TI are very strong. These compensate for limited, although
growing, operational, financial integration and ownership - and
make the parent and its subsidiary intrinsically linked. Fitch
also expects a degree of convergence in the financial profiles of
both TI and its French holding.


Tereos's IDR of 'BB' is positioned in between the credit quality
of larger and significantly more diversified commodity trader and
processor Bunge Limited (BBB/Stable) and the 'B' category rated
Kernel Holding S.A. (B+/Stable) and Biosev S.A. (B+/Negative),
whose ratings discount a heavy concentration on one country where
they originate the commodities they process and sell. Tereos
enjoys a moderate degree of geographic diversification with
material sourced mainly in western Europe and Brazil but also in
The Indian Ocean and Asia as well as combining the production of
beet sugar, cane sugar, sweeteners, ethanol and starches.


Fitch's key assumptions within Fitch ratings case for the issuer
- strong growth (mid- to high single digits) in FY18, resulting
   from higher volumes more than compensating the lower prices
   that will result from the EU sugar reform from the second half
   of FY18 and adverse FX effects in Brazil;
- broadly stable revenues from FY19;
- consolidated EBITDA margin at around 13% over FY18-FY21 (FY17:
   12.7%) as a result of better product mix and/or benefits from
   efficiency programme offsetting likely lower sugar prices;
- significant working -capital absorption in FY18 as a result of
   strong growth in volume;
- capex around EUR450 million in FY18 and FY19 as Tereos
   continues to invest in higher efficiency and increases
   capacity, and slightly lower thereafter;
- EUR40 million per annum bolt-on M&A.


Future Developments That May, Individually or Collectively, Lead
to Positive Rating Action
- Strengthening of profitability (excluding price fluctuations),
   as measured by RMI-adjusted EBITDAR/gross profit, reflecting
   reasonable capacity utilisation rates in the sugar beet
   business and overall increased efficiency
- At least neutral FCF while maintaining strict financial
- FFO gross leverage (RMI-adjusted) consistently below 3.5x at
   Tereos group level

Future Developments That May, Individually or Collectively, Lead
to Negative Rating Action
- Inability to sustainably maintain cost savings derived from
   efficiency programmes or excessive idle capacity in different
   market segments, leading to RMI-adjusted EBITDAR/gross profit
   remaining weak (FY17: estimated at 31.5%).
- Inability to return consolidated FFO to approximately USD500
   million (FY17: USD554) million and to improve profitability
   and cash flow generation
- Reduced financial flexibility as reflected in FFO fixed-charge
   cover (RMI-adjusted) falling below 3.0x.
- FFO gross leverage (RMI-adjusted) above 4.5x at Tereos group
   level on a sustained basis.


Adequate Liquidity: Fitch estimates Tereos's internal liquidity
score, defined as unrestricted cash plus RMI plus accounts
receivables divided by total current liabilities, was at 0.8x in
FY17 (FY16: 0.6x).This is weak for a 'BB' rating, but is
mitigated by Tereos' comfortable access to diversified sources of
external funding. Such access has been demonstrated by the issue
of seven-year bonds in June and October 2016, the full
refinancing of the debt within its sweeteners business in Europe
in December 2016 and the refinancing of Tereos Sugar France's
revolving credit facility in May 2017.


JACK WOLFSKIN: Kirkland & Ellis Advises Lenders on Restructuring
Kirkland & Ellis advised the coordinating committee of first lien
lenders of Jack Wolfskin GmbH & Co. KGaA on the financial
restructuring of the outdoor brand's EUR365 million debt.  The
coordinating committee consisted of Bain Capital Credit, HIG /
Bayside Capital and CQS.

In the course of the restructuring, a new holding company held by
the first lien lenders will take over the Jack Wolfskin Group and
the Group's liabilities will be restructured.  The consensual
restructuring was approved by all parties involved.

Advisors for the Coordinating Committee:

Kirkland & Ellis, Munich: Leo Plank, Wolfram Prusko (both
Restructuring, both lead), Bernd Meyer-Lîwy, Sacha LÅrken (both
Restructuring), Wolfgang Nardi, Christine Kaniak (both Debt
Finance), Oded Schein (Tax), Associates: Sebastian Egger,
Maximilian Heufelder, Josef Parzinger, Marlene Ruf, Ksenia
Shubina, (all Restructuring), Alexander LÑngsfeld (Debt Finance),
Daniel Hiemer (Tax)

Kirkland & Ellis, London: Partha Kar (Restructuring), Carl
Bradshaw, David Eich (both Corporate), Paula Riedel (Antitrust);
Associates: Kai Zeng (Restructuring), Annette Baillie, Cillian
Moynihan (both Corporate), James Parkinson (Antitrust)

Kirkland & Ellis, Hong Kong: Neil McDonald (Restructuring)

                       About Kirkland & Ellis

Kirkland & Ellis LLP -- is a 1,900-
attorney law firm representing global clients in private equity,
M&A and other complex corporate transactions, restructuring and
tax, litigation and dispute resolution/arbitration, and
intellectual property and technology matters.  The Firm has
offices in Munich, Boston, Chicago, Beijing, Hong Kong, Houston,
London, Los Angeles, New York, Palo Alto, San Francisco, Shanghai
and Washington, D.C.  In Germany, Kirkland regularly advises
renowned private equity investors, their portfolio companies and

                      About Jack Wolfskin

Jack Wolfskin is a major German producer of outdoor wear and
equipment headquartered in Idstein.


GREECE: Corporate Bankruptcies Up 500% in 10 Years
The National Herald reports that showing the depth of Greece's
crushing seven-year-long economic crisis, corporate bankruptcies
jumped 500% in a decade, going back to before the country's
financial woes began.

There's only been a 2% increase this year, according to
international credit insurance company Atradius, underscoring how
devastating the effect was in previous years as successive
governments sought what turned into three bailouts of EUR326
billion (US$371.69 billion) that came with harsh austerity
measures attached, closing scores of thousands of businesses, The
National Herald discloses.

The 2% decline is the smallest drop recorded among eurozone
member-states, while Greece remains on top of the 22 countries
Atradius monitors in Europe and beyond in terms of bankruptcies,
The National Herald notes.

According to The National Herald, the survey showed the business
sectors of food and electronics are expected to see a slowing in
bankruptcies, unlike construction and machinery.


AQUEDUCT EUROPEAN: S&P Assigns B- Rating to EUR11MM Class F Notes
S&P Global Ratings assigned its credit ratings to Aqueduct
European CLO 1-2017 DAC (Aqueduct 1-2017)'s class A, B, C, D, E,
and F notes.

The ratings assigned to Aqueduct 1-2017's notes reflect S&P's
assessment of:

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

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

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

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

-- The transaction's counterparty risks.

S&P said, "We consider that the transaction's documented
counterparty replacement and remedy mechanisms adequately
mitigate its exposure to counterparty risk under our current
counterparty criteria (see "Counterparty Risk Framework
Methodology And Assumptions," published on June 25, 2013)."

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

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

S&P said, "Following our analysis of the credit, cash flow,
counterparty, operational, and legal risks, we believe our
ratings are commensurate with the available credit enhancement
for each class of notes."

Aqueduct 1-2017 is a broadly syndicated collateralized loan
obligation (CLO) transaction managed by HPS Investment Partners
CLO (UK), LLP, which is a wholly owned subsidiary of HPS
Investment Partners LLC.


Ratings Assigned

Aqueduct European CLO 1-2017 DAC
EUR411.0 Million Floating-Rate Notes (Including EUR40.7 Million
Unrated Notes)

Class                     Rating          Amount
                                        (mil. EUR)
A                         AAA (sf)        234.00
B                         AA (sf)          54.00
C                         A (sf)           27.00
D                         BBB (sf)         20.00
E                         BB (sf)          24.00
F                         B- (sf)          11.30
Subordinated notes        NR               40.70

NR--Not rated.

CONTEGO CLO IV: 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 Contego CLO IV
Designated Activity Company:

-- EUR 211,800,000 Class A Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aaa (sf)

-- EUR 31,600,000 Class B-1 Senior Secured Floating Rate Notes
    due 2030, Definitive Rating Assigned Aa2 (sf)

-- EUR 10,000,000 Class B-2 Senior Secured Fixed Rate Notes due
    2030, Definitive Rating Assigned Aa2 (sf)

-- EUR 21,000,000 Class C Senior Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned A2 (sf)

-- EUR 16,200,000 Class D Senior Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned Baa2 (sf)

-- EUR 22,400,000 Class E Senior Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned Ba2 (sf)

-- EUR 11,400,000 Class F Senior Secured Deferrable Floating
    Rate Notes due 2030, Definitive Rating Assigned B2 (sf)

Moody's had assigned provisional ratings to the notes in this
transaction on May 24, 2017.


Moody's definitive ratings of the rated notes address the
expected loss posed to noteholders by 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, 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 six months 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

In addition to the seven classes of notes rated by Moody's, the
Issuer will issue EUR 37,500,000 of subordinated notes. Moody's
will not assign rating 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

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: EUR 350,000,000

Diversity Score: 36

Weighted Average Rating Factor (WARF): 2725

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 Notes.

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 3134 from 2725)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: 0

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

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

Class C Senior Secured Deferrable Floating Rate Notes: -2

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 3543 from 2725)

Ratings Impact in Rating Notches:

Class A Senior Secured Floating Rate Notes: -1

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

Class B-2 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:

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

CONTEGO CLO IV: S&P Assigns 'B-' Rating to Class F Notes
S&P Global Ratings assigned its credit ratings to Contego CLO IV
DAC's class A, B-1, B-2, C, D, E, and F notes. At closing, the
issuer also issued unrated subordinated notes.

Contego CLO IV is a European cash flow collateralized loan
obligation (CLO), securitizing a portfolio of primarily senior
secured leveraged loans and bonds. The transaction is managed by
Five Arrows Managers LLP, a Rothschild group company.

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
-- The credit enhancement provided through the subordination of
    cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect
    the performance of the rated notes through collateral
    selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is bankruptcy

Under the transaction documents, the rated notes pay quarterly
interest unless there is a frequency switch event. Following
this, the notes permanently switch to semiannual payment. The
portfolio's reinvestment period ends approximately four years
after closing.

S&P said, "Our ratings reflect our assessment of the collateral
portfolio's credit quality, which has a weighted average 'B'
rating. We consider that the portfolio at the effective date will
be well-diversified, primarily comprising broadly syndicated
speculative-grade senior secured term loans and senior secured
bonds. Therefore, we have conducted our credit and cash flow
analysis by applying our criteria for corporate cash flow
collateralized debt obligations (see "Global Methodologies And
Assumptions For Corporate Cash Flow And Synthetic CDOs,"
published on Aug. 8, 2016).

"In our cash flow analysis, we used the EUR350 million target par
amount, the covenanted weighted-average spread (3.70%), the
covenanted weighted-average coupon (4.00%), the covenanted
weighted-average recovery rate at the 'AAA' rating level, and the
target weighted-average recovery rates at each rating level below
'AAA' as provided by the manager. We applied various cash flow
stress scenarios, using four different default patterns, in
conjunction with different interest rate stress scenarios for
each liability rating category."

Elavon Financial Services DAC is the bank account provider and
custodian. The documented downgrade remedies are in line with our
current counterparty criteria (see "Counterparty Risk Framework
Methodology And Assumptions," published on June 25, 2013).

Under S&P's structured finance ratings above the sovereign
criteria, the transaction's exposure to country risk is
sufficiently mitigated at the assigned assigned rating levels
(see "Ratings Above The Sovereign - Structured Finance:
Methodology And Assumptions," published on Aug. 8, 2016).

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


Ratings Assigned

  Contego CLO IV DAC
  EUR361.9 Million Senior Secured Fixed- And Floating-Rate Notes
  (Including EUR37.5 Million Unrated Subordinate Notes)

  Class          Rating             Amount
                                  (mil. EUR)
  A              AAA (sf)           211.80
  B-1            AA (sf)             31.60
  B-2            AA (sf)             10.00
  C              A (sf)              21.00
  D              BBB (sf)            16.20
  E              BB (sf)             22.40
  F              B- (sf)             11.40
  Sub.           NR                  37.50

  NR--Not rated.

CVC CORDATUS V: S&P Gives Prelim. B- Rating to Class F-R Notes
S&P Global Ratings assigned its preliminary credit ratings to CVC
Cordatus Loan Fund V DAC (CVC V)'s class X-R, A-R, B-1-R, B-2-R,
C-R, D-R, E-R, and F-R notes. The unrated subordinated
notes initially issued will not be redeemed and will remain
outstanding with an extended maturity to match the newly issued

The ratings assigned to CVC V's notes reflect S&P's assessment

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

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

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

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

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

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

S&P said, "We consider that the transaction's legal structure
will be bankruptcy remote, in line with our legal criteria.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our preliminary ratings
are commensurate with the available credit enhancement for each
class of notes."

CVC V is a European cash flow corporate loan collateralized loan
obligation (CLO) securitization of a revolving pool, comprising
euro-denominated senior secured loans and bonds issued mainly by
European borrowers. CVC Credit Partners Group Ltd. is the
collateral manager. The transaction is a reset of an existing
transaction, which closed in 2015. S&P did not rate the original


Preliminary Ratings Assigned

CVC Cordatus Loan Fund V DAC
EUR468.8 Million Fixed- And Floating-Rate Notes (Including
EUR47.8 Million Subordinated Notes)

Class                   Prelim.         Prelim.
                        rating           amount
                                       (mil. EUR)

X-R                     AAA (sf)           2.00
A-R                     AAA (sf)         263.00
B-1-R                   AA (sf)           32.00
B-2-R                   AA (sf)           30.00
C-R                     A (sf)            30.00
D-R                     BBB (sf)          23.00
E-R                     BB (sf)           28.00
F-R                     B- (sf)           13.00
Subordinated            NR                47.80

NR--Not rated.

ZOO ABS 4: S&P Raises Ratings on Two Note Classes to BB+
S&P Global Ratings raised its credit ratings on ZOO ABS 4 PLC's
class A-1A, A-1B, A-1R, A-2, B, C, D, and E notes.

The upgrades follow S&P's analysis of the transaction's recent
performance and the application of its relevant criteria.

                    Notional               Par
                    as of                  coverage
         Current    March      Current     as of
         notional   2015       par         March   Int.
Class   (mm. EUR)   (mm. EUR)  coverage(%) 2015(%) (%)      Def.
A-1R     24.53       85.77     71           33     6mE+0.21  N
A-1A     14.28      128.65     71           33     6mE+0.21  N
A-1B     16.35      74.91      71           33     6mE+0.24  N
A-2      21.72      23.16      59           27     6mE+0.34  N
B        24.13      25.73      47           21     6mE+0.45  N
C        28.15      30.02      32           14     6mE+0.70  Y
D        22.52      24.01      20            8     6mE+1.85  Y
E        3.66        5.39      18            7     6mE+4.50  Y
Sub.     20.00      20.00      7             2     N/A       Y

6mE--Six-month EURIBOR (Euro Interbank Offered Rate)

S&P said, "Since our previous review on March 20, 2015, the rated
notes have continued to amortize (see "Various Rating Actions
Taken In Cash Flow CDO Transaction ZOO ABS 4 Following Review").
The notes last amortized on a pro rata basis on the November 2015
payment date. The redemption has since moved to a sequential
basis as the size of the portfolio went below 75% of the target
par amount. Since the end of the reinvestment period in May 2012,
20% of the interest proceeds remaining after the payment of class
E notes' interest on each payment date is applied to amortize the
class E notes.

"The average rating of the portfolio remained stable at about
'BBB-'. In line with our criteria for collateralized debt
obligations (CDOs) of pooled structured finance assets, we have
used the security specific issue ratings (see "Global CDOs Of
Pooled Structured Finance Assets: Methodology And Assumptions,"
published on Feb. 12, 2012). For assets that we do not rate, but
are rated by other ratings agencies, we have extrapolated ratings
from the other ratings agencies to infer our rating input for the
purpose of our analysis.

"Following the application of our criteria, we believe that the
credit enhancement available to the rated notes is now
commensurate with higher ratings. We have therefore raised our
ratings on the class A-1A, A-1B, A-1R, A-2, B, C, D, and E

ZOO ABS 4 is a cash flow CDO transaction securitizing a portfolio
of mezzanine tranches of European structured finance deals
managed by P&G SGR SpA. The transaction closed in April 2007.


EUR514.2 mil floating-rate notes
Class            Identifier        To           From
A-1R                               A (sf)       BBB+ (sf)
A-1A             XS0298493072      A (sf)       BBB+ (sf)
A-1B             XS0298495523      A (sf)       BBB+ (sf)
A-2              XS0298496505      A (sf)       BBB (sf)
B                XS0298496927      A- (sf)      BB+ (sf)
C                XS0298497495      BBB- (sf)    BB (sf)
D                XS0298498386      BB+ (sf)     B+ (sf)
E                XS0298498972      BB+ (sf)     B+ (sf)


BREEZE FINANCE: S&P Affirms B- Rating on Class A Notes
S&P Global Ratings affirmed its 'B-' issue rating on the class A
notes issued by Breeze Finance S.A. (Breeze Three). The outlook
is stable. The recovery rating remains unchanged at '3',
reflecting S&P's expectations of meaningful (50%-70%; rounded
estimate 50%) recovery prospects in the event of a payment

S&P said, "We also affirmed our 'D' issue rating on Breeze
Three's class B notes, which are subordinated to the class A
notes. The '6' recovery rating on the notes indicates our
expectation of negligible (0%) recovery prospects."

Breeze Three is highly exposed to wind resource risk. Since the
beginning of operations, the project has underperformed the
initial forecasts considered when the project financing was put
in place. Although wind condition volatility was initially
considered temporary, the historical data has shown that this
factor, related to the location of the projects, is a structural
weakness of the transaction, in S&P's view.

Generation output at Breeze Three's locations during the winter
of 2016-2017 was significantly low, prompting the project to
withdraw EUR1 million from its class A debt service reserve
account (DSRA) to pay its class A debt service. As such, S&P
said, "we have negatively reassessed our view on the risk wind
volatility poses to this transaction. Although our reassessment
does not affect our view of the project's creditworthiness, we
now see additional constraints on the already minimal likelihood
of an upgrade in the future.

"Without fully depleting its existing reserves, as we assume
under our base case, Breeze Three will rely on its DSRA to meet
ongoing debt service in the future. Under our downside scenario,
factoring in continued low wind generation output, Breeze Three
would quickly consume its reserves and default in less than two

The project had EUR11.5 million in the class A DSRA after the
debt service payment in April 2017. The current balance is below
the target. S&P consequently assesses liquidity as less than

Breeze Three has withdrawn funds from the DSRA on three
occasions: EUR1.0 million in April 2017; EUR0.6 million in
October 2016; and EUR1.0 million in October 2014.

S&P said, "The stable outlook on the class A notes reflects that
we do not currently foresee a default under our base case,
although we consider that a further deterioration of the class A
notes' DSRA is likely in the future. Under our base case, we
anticipate that the project's annual debt service coverage ratio
will fall below 1x. However, we expect the project will have
sufficient liquidity to service the debt at that point.

"We could lower the rating if we consider that Breeze Three is
dependent upon favorable business, financial, and economic
conditions to meet its financial commitments. This could take
place if the project's operating performance or liquidity
deteriorates, increasing Breeze Three's reliance on its class A
notes' DSRA more than we currently anticipate."

S&P views a positive rating action as unlikely because of:

-- The project's weak transaction structure assessment;
-- The project's likely reliance on the senior DSRA to meet its
    scheduled senior debt service payment in October; and
-- Fluctuations in wind, which may lead it to revise its

CRC BREEZE: S&P Affirms B- Rating on Class A Notes
S&P Global Ratings affirmed its 'B-' issue rating on the class A
notes issued by CRC Breeze Finance S.A. (Breeze Two), Luxembourg-
based special-purpose entity. The outlook is stable. The recovery
rating remains at '4', reflecting S&P's expectation of average
recovery (30%-50%; rounded estimate: 40%) prospects in the event
of a payment default.

Breeze Two is highly exposed to wind resource risk. Since the
beginning of operations, the project has underperformed the
initial forecasts taken into account when the project financing
was put in place. Although wind condition volatility was
initially considered temporary, in S&P's view the historical data
has shown that this factor, related to the location of the
projects, is a structural weakness of the transaction.

Generation output at Breeze Two's locations during the 2016-2017
was significantly low, prompting the project to withdraw EUR1.1
million in April 2017 and EUR1.9 million in November 2016 from
its class A debt service reserve account (DSRA) to pay its class
A debt service. As such, S&P said, "we have negatively reassessed
our view on the risk wind volatility poses to this transaction.
Although our reassessment does not affect our view of the
project's creditworthiness, we now see additional constraints on
the already minimal likelihood of an upgrade in the future.

"Under our base case, we expect that Breeze Two will likely face
additional cash shortfalls due to the unstable wind resource and
consequently use most of its existing reserves to meet its future
debt service. Under our downside scenario, factoring in continued
low wind generation output, Breeze Two would quickly consume its
reserves and default in one year. Our downside scenario has a
neutral impact on our overall rating assessment.

"We believe Breeze Two's liquidity is less than adequate. The
project had EUR7.9 million in the class A DSRA and EUR0.4 million
in the repair reserve accounts as of May 2017. Breeze Two has
made withdrawals from the Class A DSRA for two consecutive
payment dates, and the account balance fell to EUR7.9 million in
May 2017 from EUR10.9 million in August 2016. In November 2009,
Breeze Two withdrew EUR2.2 million to fully fund the scheduled
class A debt service."

According to the transaction documentation, the class A DSRA is
replenished after payments due on the class B notes, including
deferred amounts. S&P said, "Based on these terms, under our base
case, we estimate that the class A DSRA is unlikely to receive
any funds and will gradually be depleted. The class B DSRA is
already fully depleted.

"The stable outlook on the class A notes indicates that we
currently do not foresee a default under our base case, although
we consider the payment of the class A notes will rely
significantly of the use of reserves. While reserves have
weakened, we expect that they will be sufficient to address our
projected cash shortfalls, leaving approximately EUR2 million in
the reserve account at maturity.

"We could lower the rating if Breeze Two withdraws more than
EUR1.5 million-EUR2.0 million from the class A DSRA during the
next two years. We could also lower the rating if we consider
that Breeze Two is dependent upon favorable business, financial,
and economic conditions to meet its financial commitments. This
could occur if the project's operating performance or liquidity
deteriorates, resulting in a larger withdrawal from the class A
notes' DSRA than we currently anticipate."

S&P views a positive rating action as unlikely because of:

-- The project's weak transaction structure;
-- The project's likely reliance on the senior DSRA to meet its
-- November-scheduled senior debt service payment; and
-- Unusual fluctuations in wind due to the suboptimal location
    of the windfarms.


JUBILEE CLO 2017-XVIII: Fitch Rates EUR12MM Class F Notes 'B-'
Fitch Ratings has assigned Jubilee CLO 2017-XVIII B.V. final
ratings as follows:

EUR240 million Class A senior secured floating rate notes due
2030: 'AAAsf'; Outlook Stable

EUR50million Class B senior secured floating rate notes due 2030:
'AAsf'; Outlook Stable

EUR22 million Class C deferrable mezzanine floating rate notes
due 2030: 'Asf'; Outlook Stable

EUR21.5 million Class D deferrable mezzanine floating rate notes
due 2030: 'BBBsf'; Outlook Stable

EUR24.5 million Class E deferrable junior floating rate notes due
2030: 'BBsf'; Outlook Stable

EUR12 million Class F deferrable junior floating rate notes due
2030: 'B-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 were used
to purchase a portfolio of EUR400 million of mostly European
leveraged loans and bonds. The portfolio is actively managed by
Alcentra Limited.

'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 final 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 all the assets in
the identified portfolio. The Fitch weighted average recovery
rate of the identified portfolio is 66.2%, above the minimum
covenant for assigning final ratings of 61.4%.

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 final 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.

E-MAC PROGRAM NL 2006-III: S&P Raises Cl. D Notes Rating to BB+
S&P Global Ratings raised its credit ratings on E-MAC Program
B.V. Compartment NL 2006-III's class B, C, and D notes. At the
same time, S&P has affirmed ITS ratings on the class A2 and E

S&P said, "Today's rating actions follow our credit and cash flow
analysis of the transaction and the application of our European
residential loans criteria and our current counterparty criteria
(see "Methodology And Assumptions: Assessing Pools Of European
Residential Loans," published on Dec. 23, 2016, and "Counterparty
Risk Framework Methodology And Assumptions," published on June
25, 2013).

"The portfolio's collateral performance has been stable and in
line with our expectations since our previous review (see
"Various Rating Actions Taken In Dutch RMBS Transaction E-MAC NL
2006-III Following Application Of Updated Criteria," published on
March 30, 2016). Total arrears in the pool have increased
marginally to 2.13% from 1.84% at our previous review and are
above our Dutch residential mortgage-backed securities (RMBS)
index level of 0.90% (see "Dutch RMBS Index Report Q1 2017,"
published on June 1, 2017).

"After applying our European residential loans criteria to this
transaction, our credit analysis results show that due to a
slight increase in the seasoning in the pool, the weighted-
average foreclosure frequency (WAFF) has marginally decreased at
all rating levels since our previous review. Over the same
period, the weighted-average loss severity (WALS) has decreased
for each rating level due to a fall in the current loan-to-value
(LTV) ratio."

  Rating     WAFF      WALS
  level       (%)       (%)
  AAA       17.35     38.54
  AA        12.05     35.06
  A          9.11     28.49
  BBB        6.17     25.05
  BB         3.48     22.62
  B          2.61     20.36

The overall effect is a decrease in the required credit coverage
for all rating levels.

"Due to an error, in our previous review we incorrectly applied
commingling stress as a loss in our cash model instead of
applying it as a liquidity stress. As a result of the application
of higher losses in the model, our ratings on the class C and D
notes were lower than they would have been had we applied correct

"Under our revised credit and cash flow stresses, including the
applicable commingling liquidity stress, the class C and D notes
are able to support ratings higher than those currently assigned.
We have therefore raised to 'BBB+ (sf)' from 'BB- (sf)' our
rating on the class C notes and to 'BB+ (sf)' from 'B- (sf)' our
rating on the class D notes.

"In our view, the available credit enhancement for the class A2
notes is sufficient to withstand the expected loss at higher
rating levels than the currently assigned rating. However, under
our current counterparty criteria, our rating on the class A2
notes is constrained by our long-term issuer credit ratings
(ICRs) on Cooperatieve Rabobank U.A. (A+/stable/A-1) and Credit
Suisse International (A/Stable/A-1), who are the guaranteed
investment contract (GIC) account provider and swap provider,
respectively. Due to noncompliance with our current counterparty
criteria, the maximum rating achievable for the class A2 notes is
our long-term ICR on Cooperatieve Rabobank, or our long-term ICR
plus one notch on Credit Suisse International, i.e., 'A+ (sf)'.
We have therefore affirmed our 'A+ (sf)' rating on the class A2

"The available credit enhancement for the class B notes mitigates
higher expected losses than those at the currently assigned
rating level, in our view. We have therefore raised to 'A+ (sf)'
from 'A (sf)' our rating on the class B notes."

The class E notes are not supported by any subordination or the
reserve fund. The full redemption of the class E notes relies on
the full release of the original reserve fund at the end of the
transaction's life, which will follow the full redemption of the
class A2 to D notes. S&P said, "We previously reported that we
consider that there is a one-in-two chance of a default on the
class E notes in seven of the E-MAC NL transactions (see "Ratings
Lowered To 'CCC (sf)' On Class E Notes In Seven E-MAC NL Dutch
RMBS Transactions," published on July 12, 2012). Our view on this
is unchanged and we have therefore affirmed our 'CCC (sf)' rating
on the class E notes.

In EMAC NL 2006-III, it was recently identified that the
estimation of prepayment rates used as a calculation input in the
hedging agreement was not compliant with the transaction
documents. Subsequently, the issuer has instructed the issuer
administrator (CMIS Nederland B.V.) to manage the hedging
agreement in accordance with the relevant documented
stipulations. These instructions have resulted in the relevant
swap notional schedules for current and future quarterly periods
being materially adjusted. As a consequence, significant notional
adjustment fees have become due to the swap counterparty from the
issuer. As per the latest investor report, dated April 2017, this
amount is EUR9,085,131.82.

These notional adjustment fees due to the swap counterparty are
payable by the issuer to the swap counterparty at a ranking in
the priority of payments after the replenishment of the reserve
fund. As these amounts are paid junior in the priority of
payments, they do not affect S&P's analysis.

E-MAC NL 2006-III is a Dutch RMBS transaction, which closed in
November 2006 and securitizes first-ranking mortgage loans
originated by CMIS Nederland (previously GMAC-RFC Nederland).


  Class            Rating
            To                From

  E-MAC Program B.V. Compartment NL 2006-III
  EUR803.2 Million Residential Mortgage-Backed Floating-Rate

  Ratings Affirmed

  A2        A+ (sf)
  E         CCC (sf)

  Ratings Raised

  B         A+ (sf)           A (sf)
  C         BBB+ (sf)         BB- (sf)
  D         BB+ (sf)          B- (sf)


TAURON POLSKA: Fitch Assigns BB+ Rating to Hybrid Bonds
Fitch Ratings has assigned TAURON Polska Energia S.A.'s (Tauron;
BBB/Stable) EUR500 million 10-year Eurobonds a final foreign-
currency senior unsecured rating of 'BBB'. The bonds are rated in
line with Tauron's Long-Term Issuer Default Rating of 'BBB'. They
represent unconditional, senior, unsecured obligations of the


High Share of Regulated Business: The ratings reflect the high
share of regulated and fairly stable distribution business in
Tauron's EBITDA (72% in 2016). This contributes to cash flow
predictability at a time when conventional power generation, a
key segment, is under pressure from a challenging operating
environment and limited fuel mix diversification with a high
reliance on coal. Fitch expects the share of distribution at
about 65% of EBITDA in 2017-2018, and to slightly decrease in
2019 when the Jaworzno III 910 MW coal-fired power plant comes on
stream to boost the performance of the weak generation segment.

Distribution Dominates Capex: Despite allocating fairly high
capex for conventional power generation by 2020, distribution
continues to dominate Tauron's capex plan (53% of 2016-2020
capex), followed by generation (37%) and coal mining (7%).

Strategy Drives Slower Leverage Increase: One of the key elements
of Tauron's strategy update in September 2016 is the support of
the financial profile through capex reduction by 11% to about
PLN18 billion between 2016 and 2020 (including the cancellation
of the PLN1.5 billion gas-fired power plant project in Lagisza),
cost reductions and asset optimisation.

A key objective is to maintain leverage below the net debt/EBITDA
covenant of 3.5x. Management said that the forecasts prepared for
the strategy update indicate that no dividends will be paid until
2019. There were no dividend payments in 2016, compared with a
PLN263 million dividend paid in 2015. Fitch assumes no dividends
until 2019.

Limited Headroom: Fitch views the capex programme as still
significant despite the reduction in the strategy update. Fitch
projects funds from operations (FFO)-adjusted net leverage to
increase to about 3.4x in 2017-2018 from 3.1x in 2016, close to
the maximum 3.5x for the ratings. As a result, Tauron has limited
room for underperformance or additional capex or acquisitions.

Financial Flexibility: In Fitch views, Tauron retains some
flexibility to reduce capex or implement other measures should
cash flows be below expectations. For instance, it plans to sell
to an external investor up to a 50% stake in the Jaworzno III
project and has recently signed the memorandum of understanding
with two funds managed by Polish Development Fund PFR regarding a
PLN880 million investment in the project. Capex in the
distribution segment could also be deferred.

Rated on a Standalone Basis: Tauron is 30.06% owned and
effectively controlled by the Polish state (A-/Stable). However,
Fitch rates it on a standalone basis because Fitch assess legal,
operational and strategic links with the state as moderate based
on Fitch Parent and Subsidiary Rating Linkage criteria. In Fitch
views, the links have had an incrementally stronger impact on the
company under the new government since November 2015. Examples
include the plan for no dividends until 2019.

Capacity Market Beneficial: In Fitch views, the Polish
government's plans to introduce a capacity market are crucial in
allowing coal power plants under construction, such as the
Jaworzno III plant, to be profitable in the long term. Fitch does
not includes any cash inflows related to the contemplated
capacity market in Fitch ratings case forecast until 2020.


Tauron's and Energa S.A.'s (BBB/Stable) business profiles benefit
from the large share of regulated distribution in EBITDA, which
provides good cash flow visibility at times when another key
segment, conventional power generation, is under pressure. Two
other Polish utilities, PGE Polska Grupa Energetyczna S.A.
(BBB+/Stable), and ENEA S.A. (BBB/Stable) have a lower share of
regulated distribution than Tauron and Energa.
All four Polish integrated utilities have limited headroom under
their negative rating guidelines due to a projected increase in
leverage in 2017-2019 driven by large capex.


Fitch's key assumptions within Fitch ratings case for the issuer
- Weighted average cost of capital in the distribution segment
   reduced to 5.7% in 2016 from 7.2% in 2015 (and 6.8% when
   applying the one-off haircut applied by the regulator), before
   gradually increasing to around 6% in 2020;
- 5% haircut reducing return on the distribution's regulated
   asset base incorporated from 2018;
- Wholesale baseload power prices falling to about PLN155 per
   MWh by 2020;
- Commencement of Jaworzno hard coal power block (0.9GW) and
   Stalowa Wola CCGT (50% of 0.4GW) in 2019-2020;
- Capex of PLN18 billion for 2016-2020;
- No dividends until 2019.


Rating upside for Tauron is limited due to the company's business
profile and projected increase in leverage due to capex. However,
Developments That May, Individually or Collectively, Lead to
Positive Rating Action:
- Continued focus on the distribution business in capex and
   overall strategy, together with FFO-adjusted net leverage
   below 2.5x on a sustained basis, supported by management's
   more conservative leverage target.
- A more diversified fuel generation mix and lower CO2 emissions
   per MWh, which together with continued efficiency
   improvements, would result in a stronger business profile.

Developments That May, Individually or Collectively, Lead to
Negative Rating Action:
- FFO-adjusted net leverage above 3.5x and FFO fixed-charge
   cover below 5x on a sustained basis, for example, due to full
   implementation of capex and weaker-than-expected operating
   cash flows;
- Acquisitions of stakes in coal mines or other form of support
   for state-owned mining companies under financial pressure
   leading to net leverage above 3.5x or substantially worsening
   Tauron's business profile;
- Failure to maintain adequate liquidity;
- A substantial tax payment arising from an increase in the
   nominal value of Tauron's shares. This is a cash flow and
   operating environment risk for Tauron and other Polish state-
   controlled utilities as the government contemplates an
   increase of the nominal value of their shares. Such an
   increase would be subject to approval at the shareholders
   meeting. This tax payment is not included in Fitch assumptions
   for the rating case. Fitch treats this as event risk and a
   potential corporate governance issue.


Sufficient Liquidity: At end-March 2017 Tauron had PLN88 million
of readily available cash and PLN3.4 billion of undrawn committed
funding against short-term debt of PLN648 million and Fitch-
expected negative free cash flow for 2017 of about PLN2 billion.
The EUR500 million (PLN2.1 billion) 10-year Eurobonds issue has
boosted the company's liquidity and improved debt maturity


Fitch rates Tauron as follows:
-- Long-Term Foreign and Local Currency IDRs at 'BBB'; Outlook
-- Short-Term Foreign and Local Currency IDRs at 'F3';
-- Hybrid bonds at 'BB+'.
-- National Long-Term Rating at 'A+(pol)'; Outlook Stable;
-- National senior unsecured rating at 'A+(pol)'.

Fitch has assigned the following rating:
--Final foreign currency senior unsecured rating of 'BBB' to
   EUR500 million Eurobonds.


LEGION JSCB: Put on Provisional Administration, License Revoked
The Bank of Russia, by its Order No. OD-1891, dated July 7, 2017,
revoked the banking license of Moscow-based credit institution
Joint-stock Commercial Bank Legion (Joint-stock Company) or
Legion JSCB (registration No. 3117) from July 7, 2017, according
to the press service of the Central Bank of Russia.  According to
the financial statements, as of July 7, 2017, the credit
institution ranked 157th by assets in the Russian banking system.

The key area of activity pursued by Legion JSCB was financing of
investment projects implemented by persons connected with the
bank for the benefit of shareholders.  The credit institution
took measures to avoid the compliance with the supervisor's
requirements calling for the appropriate assessment of credit
risks assumed.  Creation of required loss provisions for certain
low-quality assets revealed a full loss of capital by Legion
JSCB. Additionally, the credit institution's financial standing
has deteriorated considerably as a result of missing valuables
(in large amount) from the bank's till.

The Bank of Russia has repeatedly applied supervisory measures to
Legion JSCB, including restrictions and prohibition on household
deposit taking.

The management and owners of the bank failed to take effective
measures to normalise its activities.  Under these circumstances,
the Bank of Russia performed its duty on the revocation of the
banking licence from Legion JSCB in accordance with Article 20 of
the Federal Law "On Banks and Banking Activities".

The Bank of Russia took such an extreme measure because of the
credit institution's failure to comply with federal banking laws
and Bank of Russia regulations, equity capital adequacy ratios
below two per cent, decrease in bank equity capital below the
minimum value of the authorised capital established as of the
date of the state registration of the credit institution, and
given the repeated application within a year of measures
envisaged by the Federal Law "On the Central Bank of the Russian
Federation (Bank of Russia)".

The Bank of Russia, by its Order No. OD-1892, dated July 7, 2017,
appointed a provisional administration to Legion JSCB for the
period until the appointment of a receiver pursuant to the
Federal Law "On the Insolvency (Bankruptcy)" or a liquidator
under Article 23.1 of the Federal Law "On Banks and Banking
Activities".  In accordance with federal laws, the powers of the
credit institution's executive bodies have been suspended.

Legion JSCB is a member of the deposit insurance system.  The
revocation of the banking licence is an insured event as
stipulated by Federal Law No. 177-FZ "On the Insurance of
Household Deposits with Russian Banks" in respect of the bank's
retail deposit obligations, as defined by law.  The said Federal
Law provides for the payment of indemnities to the bank's
depositors, including individual entrepreneurs, in the amount of
100% of the balance of funds but no more than a total of RUR1.4
million per one depositor.

GAZPROMBANK JSC: S&P Affirms BB+/B Counterparty Credit Rating
S&P Global Ratings said it has revised its outlook on Russia-
based Gazprombank JSC and its core subsidiaries, Gazprombank
(Switzerland) Ltd. and Luxembourg-based Bank GPB International
S.A., to stable from negative.

At the same time, S&P affirmed its 'BB+/B' long- and short-term
counterparty credit ratings on all three entities.

S&P said, "The outlook revision reflects our view that
Gazprombank's loss-absorption capacity is stabilizing, benefiting
from Gazprom's support alongside a recovery in its own earnings
capacity. In our opinion, the bank demonstrates a significant
strengthening of its capital combined with recovery of

"We affirmed the ratings because we consider that Gazprombank
will be able to cushion the impact of still-challenging economic
conditions and tightening competition on its credit standing, at
least over our two-year outlook horizon, supported by easing
economic conditions in Russia (see "Banking
Industry Country Risk Assessment: Russia," published June 22,
2017, on RatingsDirect). In the third quarter of 2017, we
anticipate tier 1 capital injections from Gazprom totaling
Russian ruble (RUB) 60 billion." After Gazprombank's losses of
Russian ruble (RUB) 48 billion (about $0.8 billion)
for 2015, its financial performance improved, and it reported net
profit of RUB29 billion for 2016, including RUB28.4 billion in
losses from consolidated noncore media business Gazprom Media.
For the first quarter of 2017, the bank reported net profit of
RUB7.4 billion. The bank's credit costs decreased to 0.06% for
2016 and to an annualized 0.5% for the first quarter of 2017.
Since the bank has a moderate risk appetite for growth in the
coming years, and good provisioning coverage, we anticipate
credit costs could stabilize at 0.5% of the bank's average gross
loan book.

S&P said, "Although, it's likely that our assessment of
Gazprombank's capital and earnings position will remain weak
according to our terminology, and a negative rating factor, we
believe the bank's risk-adjusted capital (RAC) ratio will stay in
the 4.0%-4.3% range over the next 12-18 months, improved from
3.4% at year-end 2015."

Gazprombank's nonperforming loans (more than 90 days overdue)
stabilized at 2.9% of gross loans as of March 31, 2017, with the
provision coverage ratio at 2.5x. At the same time, S&P said, "we
believe that distressed restructuring could make up an additional
10%-12% of the bank's loans, which is in line with our
expectations for the Russian banking sector.

"We recognize the strong demonstration of support toward the bank
from the Russian government and the bank's direct shareholders,
and we expect the government will directly or indirectly support
capital building at Gazprombank to ensure that the bank is on
adequate competitive footing in the market.

"Although the government does not own Gazprombank, and therefore
does not control the bank directly, we consider Gazprombank to be
a government-related entity (GRE) with a high likelihood of
receiving timely and sufficient extraordinary government support
if needed." S&P bases this view on its assessment of

-- Very important role for the Russian government, since it has
    high systemic importance, playing a significant role in the
    government's support initiatives for the domestic banking
    sector and economy, especially in servicing the needs of
    large Russian companies and participating in a number of
    large government-related projects, in addition to its ongoing
    role in servicing Gazprom's operations; and
-- Strong link with Russia through ownership by Gazprom and
    other related entities, as demonstrated by a consistent track
    record of government support.

S&P said, "According to our criteria, we base our ratings on
Gazprombank on our opinion of the bank's status as a GRE. We
therefore incorporate two notches of uplift into our long-term
rating on Gazprombank to reflect the high likelihood of
government support.

"Because we classify Gazprombank (Switzerland) Ltd. and Bank GPB
International S.A. as core subsidiaries of Gazprombank, we
equalize our ratings on these entities with those on their
parent. The core status reflects the subsidiaries' close
integration with Gazprombank (including full ownership) and the
parent's commitment to providing ongoing and extraordinary
support if needed.

"The stable outlook reflects our view that Gazprombank's
financial profile, and especially its loss-absorption capacity
and asset quality, would not deteriorate materially in the next
12-18 months, supported by anticipated capital injections and
stable operating conditions.

"We would consider lowering the ratings if we observed that the
bank's asset quality and earnings generation had worsened more
than we expect for the banking sector as a whole, resulting in
our RAC ratio falling below 3%.

"A positive rating action is likely to be remote during our
outlook horizon, unless the bank demonstrates stronger asset
quality metrics than peers', or substantial further improvement
in its capital buffer alongside strengthening of the sovereign's
creditworthiness in local currency."

The stable outlooks on Gazprombank's core subsidiaries,
Gazprombank (Switzerland) and Bank GPB International mirror that
on Gazprombank and are likely to move in tandem with that on the

Fitch Ratings has assigned LLC Svyazinvestneftekhim-Finance's
(SINEK-Finance) 8.9% RUB20 billion domestic bond due in 2022 a
final senior unsecured 'BB+' rating. The bond is part of SINEK-
Finance's RUB30 billion bond programme with a maturity up to 10
years. SINEK-Finance is a financial vehicle established by AO
Svyazinvestneftekhim (SINEK, BB+/Stable) for the sole purpose of
debt issuance. The proceeds of the bond will be used in the
ordinary course of SINEK's business.


The bond rating is in line with SINEK's Long-Term Local-Currency
Issuer Default Rating (IDR). This reflects Fitch's expectation
that the bond will benefit from the unconditional, unsubordinated
and irrevocable buy back guarantee provided by SINEK to

According to the deed of guarantee, SINEK guarantees the
bondholders that it will buy back the bonds in full if SINEK-
Finance fails to pay coupon or principal in a timely manner as
well as in case of delisting the bonds from stock exchange.
Bondholders can enforce their claims directly against SINEK
without being required to initiate lawsuits.

SINEK is the Republic of Tatarstan's (BBB-/Stable) government-
owned investment holding company. It acts as Tatarstan's policy
arm in the republic's shareholdings management and local economic
development. SINEK also acts as the republic's vehicle for
raising funds in financial markets and contributes to the
stability and development of the regional financial sector.

SINEK holds stakes in the largest corporations in Tatarstan, and
Fitch views its strategic importance, control and oversight by
the government as strong. However, the entity's legal status and
midrange integration with the public finances, particularly the
lack of guarantees on the company's liabilities, leads to a one-
notch differential between SINEK's and Tatarstan's IDRs.

Historically, SINEK has never received direct financial aid from
Tatarstan, but dividends from the republic's portfolio companies,
including dividends from investment-grade-rated PAO Tatneft (BBB-
/Stable) are retained within SINEK.


Any rating action on SINEK's IDR would result in similar rating
action on SINEK-Finance's bonds.


BANKIA SA: Moody's Affirms Ba1 Debt Rating, Outlook Developing
Moody's Investors Service has affirmed Spain-based Bankia, S.A.'s
(Bankia) Baa3 long-term deposit and Ba1 senior debt ratings as
well as the bank's Baseline Credit Assessment (BCA) and adjusted
BCA at ba2, its short-term deposit ratings at Prime-3 and its Not
Prime short-term senior programme ratings. The bank's
Counterparty Risk Assessment (CRA) was also affirmed at
Baa2(cr)/Prime-2(cr). At the same time, the rating agency changed
the outlook on the Baa3 long-term deposit and Ba1 senior debt
ratings to developing from stable.

The rating actions were triggered by (1) Bankia's announcement on
June 27, 2017 that it had decided to enter into a business
integration agreement with Banco Mare Nostrum (unrated, BMN)
under which Bankia will carry out a merger by absorption of BMN;
and (2) its announced plan to issue Additional Tier 1 (AT1)

The affirmation of the ratings takes into account Bankia's
overall credit profile, its track record of de-risking as well as
Moody's expectation that its merger with BMN will not
significantly lessen the bank's solvency provided that the bank
enhances its capitalisation over the outlook period. The
developing outlook on the bank's long-term debt and deposit
ratings reflects the adverse effect that a merger with a weaker
domestic peer may have on Bankia's creditworthiness, particularly
its capital levels, but also the positive impact on the bank's
debt and deposit ratings from the forthcoming AT1 issuance.

The transaction is expected to close at the end of this year once
all approvals have been obtained.



Moody's affirmation of Bankia's BCA, reflects the bank's overall
credit profile together with BMN's increased coverage of
problematic assets ahead of the merger. The affirmation also
takes into account Bankia's successful de-risking track record as
well as Moody's views that a merger with BMN will not
significantly lessen the bank's solvency provided that the bank
enhances its capitalisation over the outlook period.

The merger with BMN will have a negative impact on Bankia's asset
risk metrics, with the proforma ratio of non-performing loans
(NPLs) to total loans increasing to 9.7% for the combined entity
from 9.4% for Bankia at end-March 2017. At the same time, the
level of real estate assets will increase to 4.2% of gross loans
and real estate assets from 3.2%. However, Moody's views
positively an increase of related provisions ahead of the merger
of EUR500 million (against NPLs) and EUR200 million (against real
estate), mitigating the risk of BMN's weaker asset quality.

The transaction will also adversely affect Bankia's
capitalisation, bringing down its Common Equity Tier 1 (CET1)
ratio (on a fully loaded basis) by close to 200 basis points from
13.4% at end-March 2017, with a similar impact on Moody's key
capital metric, tangible common equity (TCE) to risk-weighted
assets. BMN's TCE / RWAs ratio stood at just 4.7% at end-2016,
significantly weaker than Bankia's ratio of 9.3% in the same
period. Under Moody's assessment, BMN's capitalisation is
burdened by (1) sizeable deferred tax assets, mostly excluded
from TCE, stemming from losses incurred during the financial
crisis, (2) weak profit generation; and (3) significant holdings
of sovereign debt. Moreover Moody's applies a more conservative
risk weighting to banks' sovereign exposure.

As a mitigating factor, Moody's notes Bankia's successful de-
risking strategy as reflected in the sustained improvement in its
asset quality due not only to recoveries but also by an active
asset disposal strategy. Since December 2013, the bank has
reduced its stock of NPLs by 46%, compared to a 43% reduction for
the Spanish banking system. Moreover, the bank has been able to
reduce its stock of real estate assets (calculated according to
the rating agency's criteria) by 35% in the same period versus an
increase of 1% for the system.

In addition Bankia's experience in integrating banks (itself the
result of the merger of seven savings banks) significantly
reduces execution risks, in the ratings agency's views. Bankia
estimates merger-related restructuring charges of EUR334 million
and EUR155 million of annual pre-tax efficiency gains the third
year of the merger, which represents 40% of BMN's cost base at

With this merger, Bankia will significantly increase its
footprint in Granada, Murcia and the Balearic Islands where BMN
has leading market shares, and will benefit from a more stable
funding source. Bankia's gross loans will increase by 20% and its
deposit base by 28% following the merger with BMN.


The affirmation of Bankia's deposit ratings at Baa3/Prime-3 and
its senior debt ratings at Ba1 reflects (1) the affirmation of
the bank's BCA and adjusted BCA at ba2; (2) the rating agency's
LGF analysis, resulting in one and zero notches of uplift from
the adjusted BCA respectively; and (3) Moody's assessment of a
moderate probability of government support for Bankia, giving
rise to a further one notch of uplift for both the deposit and
senior debt ratings.

The developing outlook on Bankia's long-term deposits and senior
debt ratings reflect two opposing considerations. On the one
hand, the agency anticipates some downward pressure on the bank's
BCA and adjusted BCA arising from weaker capital levels resulting
from the merger. On the other hand, the forthcoming AT1 issuance
would provide an additional buffer against loss for the bank's
senior unsecured debt and deposits. Under the rating agency's LGF
analysis, this may lead to a one notch increase in the long-term
ratings of these instruments.


Moody's has also affirmed Bankia's long- and short-term CRAs of
Baa2(cr)/Prime-2(cr), three notches above the adjusted BCA of
ba2. The CRA is driven by the banks' adjusted BCA, the cushion
against default provided to senior operating obligations by
subordinated instruments, amounting to about 15.8% of tangible
banking assets, and a moderate likelihood of government support.


The bank's BCA could be upgraded as a result of (1) stronger
capitalisation; (2) a further improvement in asset risk
indicators, notably a material reduction in the stock of
problematic assets; (3) a sustained recovery in recurrent
profitability; and/or (4) a further reduction in the bank's
reliance on market funding.

Bankia's deposit and senior debt ratings could also be upgraded
as a result of reduced loss-given-failure faced by these
securities provided by the forthcoming AT1 issuance provided the
bank's BCA remains unchanged.


The bank's BCA could be downgraded as a result of (1) a failure
to restore the bank's TCE / RWAs ratio; (2) a reversal in current
asset risk trends, with an increase in the stock of NPLs and/or
other problematic exposures; and/or (3) a significant
deterioration in profitability, which would constrain Bankia's
internal capital generation and risk-absorption capacity.

A downward movement in Bankia's BCA would likely result in
downgrades of all other rating classes.


Issuer: Bankia, S.A.


-- Long-term Counterparty Risk Assessment, affirmed Baa2(cr)

-- Short-term Counterparty Risk Assessment, affirmed P-2(cr)

-- Long-term Bank Deposits, affirmed Baa3, outlook changed to
    Developing from Stable

-- Short-term Bank Deposits, affirmed P-3

-- Senior Unsecured Regular Bond/Debenture (Local Currency),
    affirmed Ba1, outlook changed to Developing from Stable

-- Senior Unsecured Medium-Term Note Program, affirmed (P)Ba1

-- Commercial Paper, affirmed NP

-- Adjusted Baseline Credit Assessment, affirmed ba2

-- Baseline Credit Assessment, affirmed ba2

Outlook Action:

-- Outlook changed to Developing from Stable

Issuer: Bancaja Emisiones, S.A. Unipersonal


-- Backed Senior Unsecured Regular Bond/Debenture, affirmed Ba1,
    outlook changed to Developing from Stable

Outlook Action:

-- Outlook changed to Developing from Stable

Issuer: Caymadrid International Ltd.


-- Backed Senior Unsecured Regular Bond/Debenture, affirmed Ba1,
    outlook changed to Developing from Stable

-- Backed Senior Unsecured Medium-Term Note Program, affirmed

Outlook Action:

-- Outlook changed to Developing from Stable


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

PYMES SANTANDER 6: S&P Affirms D Rating on Class C Notes
S&P Global Ratings affirmed its its 'A (sf)' and 'D (sf)' credit
ratings on Fondo de Titulizacion de Activos PYMES SANTANDER 6's
class B and C notes, respectively.

PYMES SANTANDER 6 is a securitization of a static portfolio of
secured and unsecured receivables granted to the Spanish self-
employed and small and midsize enterprises (SMEs) that Banco
Santander S.A. originated. The transaction closed in November


S&P said, "We have used our European SME collateralized loan
obligation (CLO) criteria to assess the portfolio's average
credit quality. In our opinion, the credit quality of the
portfolio is 'ccc', based on the following factors:

- Our qualitative originator assessment on Banco Santander is

- Spain's banking industry country risk assessment (BICRA) is 5
   (see "Banking Industry Country Risk Assessment Update: June
   2017," published on June 2, 2017).

- We have not received any internal scoring data on the
   securitized portfolio or the originator's loan book.

- We used our 'ccc' average credit quality assessment of the
   portfolio to generate our 'AAA' scenario default rate (SDR) of

- We have calculated the 'B' SDR, based primarily on our
   analysis of historical SME performance data and our
   projections of the transaction's future performance. We have
   reviewed the portfolio's historical default data, and assessed
   market developments, macroeconomic factors, changes in country
   risk, and the way these factors are likely to affect the loan
   portfolio's creditworthiness. As a result of this analysis,
   our 'B' SDR is 15.25%.

- We interpolated the SDRs for rating levels between 'B' and
   'AAA' in accordance with our European SME CLO criteria."


S&P said, "We subjected the capital structure to various cash
flow stress scenarios, incorporating different default patterns
and interest rate curves, to determine the rating level, based on
the available credit enhancement for the rated notes under our
European SME CLO criteria.

"We addressed the basis risk related to the lack of hedging by
decreasing the average margin received from the loans.

"At each liability rating level, we assumed a weighted-average
recovery rate (WARR) by taking into consideration the asset type
(secured/unsecured) and the country recovery grouping (see table
7 in our European SME CLO criteria) and observed historical
recoveries. As a result of this analysis, our WARR assumption in
a 'A' rating scenario is 18%."


S&P's long-term foreign currency sovereign rating on Spain is

S&P said, "In our opinion, the class B notes have sufficient
credit enhancement to withstand the severe stresses that we apply
under our sovereign default stress test.  Additionally, under our
structured finance ratings above the sovereign (RAS) criteria,
SMEs have a moderate sensitivity to country risk. Therefore, the
class B notes can be rated up to four notches above the rating on
the sovereign."


S&P related, "We consider the transaction's documented
replacement mechanisms to adequately mitigate its exposure to
counterparty risk under our current counterparty criteria (see
"Counterparty Risk Framework Methodology And Assumptions,"
published on June 25, 2013). The minimum rating required for the
bank account provider to be considered eligible under the
transaction documents is 'BBB'.

"Since the transaction's exposure to counterparty risk is
considered to be limited under our current counterparty criteria,
the maximum potential rating on the notes is 'A (sf)'.

"Following the results of our analysis, we believe the available
credit enhancement for the class B notes is still commensurate
with the currently assigned rating. We have therefore affirmed
our 'A (sf)' rating on the class B notes.

"We have affirmed our 'D (sf)' rating on the class C notes due to
a missed timely payment of interest, in line with our criteria
(see "Timeliness Of Payments: Grace Periods, Guarantees, And Use
Of 'D' And 'SD' Ratings," published on Oct. 24, 2013)."


Class       Rating

Fondo de Titulizacion de Activos PYMES SANTANDER 6
EUR408 Million Asset-Backed Floating-Rate Note

Ratings Affirmed

B           A (sf)
C           D (sf)

UNICAJA BANCO: Moody's Ups LT Deposit Rating to Ba2, Outlook Pos.
Moody's Investors Service has upgraded the following ratings and
assessments of Unicaja Banco: (1) the bank's long-term deposit
ratings to Ba2 from Ba3; (2) the bank's baseline credit
assessment (BCA) and adjusted BCA to ba3 from b1; and (3) the
bank's Counterparty Risk (CR) Assessment to Baa3(cr)/Prime-3(cr)
from Ba1(cr)/Not Prime(cr). The outlook on the long-term deposit
ratings is positive.

At the same time, the bank's short-term deposit ratings were
affirmed at Not Prime.

The rating action was triggered by Unicaja's EUR688 million
capital increase that was completed on June 30, 2017. In Moody's
opinion, this transaction has significantly strengthened the
bank's loss absorption capacity, with the rating agency's key
capital metric -- the tangible common equity (TCE) to risk-
weighted assets ratio -- increasing by more than 260 basis
points. The upgrade also takes into consideration Unicaja's
gradually improving profitability from weak levels, underpinned
by the ongoing decline in the cost of credit risk. It also takes
into account the rating agency's expectation of a progressive
recovery of Unicaja's subsidiary Espana Duero (unrated), which to
date has weighed negatively on Unicaja's profits.

The positive outlook reflects the upward pressure that could
develop on Unicaja's long-term deposit ratings if the bank's
credit fundamentals -- namely its capital position -- continue to
improve over the next 12-18 months. The positive outlook also
reflects Moody's view that upward pressure could arise on the
bank's long-term deposit ratings based on the expected evolution
of Unicaja's balance sheet in the near term.

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



The upgrade of Unicaja's BCA to ba3 from b1 primarily reflects
Unicaja's significantly improved capital position after the
EUR688 million capital increase that followed its listing on June
30, 2017. As a result, Moody's key capital metric -- the TCE
ratio -- increased to a pro-forma 7.6% at end-March 2017 (most
recent available data) from 5.0% at end-December 2016.

Unicaja's regulatory capital ratios will remain, however, broadly
unchanged as the bulk of the capital increase will be earmarked
to reimburse the FROB (Spain's government recapitalization fund)
the EUR604 million of contingent capital securities that were
injected into Espana Duero in 2013 as part of the broad public-
sector support delivered to the bank. At end-March 2017,
Unicaja's fully loaded Common Equity Tier 1 ratio stood at 12.0%.

Moody's notes that Unicaja's capital assessment is adversely
affected by the bank's low leverage ratio (measured as TCE over
tangible assets), which stands at around 4.3% after the capital
increase and is based on end-March 2017 data.

In upgrading the bank's BCA to ba3, Moody's also incorporates its
expectation of a gradual recovery in Unicaja's recurring earnings
on the back of lower funding costs and the positive impact
derived from the repayment of the CoCos to the FROB, which carry
a high interest cost of EUR60 million per year. Furthermore, the
rating agency expects additional cost savings and synergies from
the planned integration of Espana Duero into Unicaja.

Moody's expects a further improvement in Unicaja's asset risk,
which should positively impact the group's bottom-line
profitability and result in lower provisioning costs. At end-
March 2017, Unicaja's stock of problematic assets (measured as
NPLs + real estate assets) declined to 17.3% compared to 18.6% at
end-December 2015. Despite this positive trend, Moody's
acknowledges that Unicaja still displays a high level of
problematic assets when compared to the estimated system's
average of 15% at end-December 2016 (latest data available). More
positively, Moody's notes that the bank's coverage by provisions
of problematic assets reached 56% at end-March 2017, which
compares favorably to the 51% average of rated domestic peers at
end-December 2016 (latest data available).

Unicaja's BCA is also underpinned by the bank's sound liquidity
position, with a large and stable deposit base (representing 76%
of total funding at end-March 2017) and sizeable liquid assets.


The one-notch upgrade of Unicaja's long-term deposit ratings to
Ba2 from Ba3 reflects: (1) the upgrade of the bank's adjusted BCA
to ba3 from b1; (2) the result from the rating agency's updated
Advanced Loss Given Failure (LGF) analysis, which indicates a low
loss-given-failure for deposits and translates into one notch of
uplift; and (3) Moody's assessment of a low probability of
government support, which results in no uplift.


As part of rating action, Moody's has also upgraded by one notch
the CR Assessment of Unicaja to Baa3(cr)/Prime-3(cr) from
Ba1(cr)/Not Prime(cr), three notches above the adjusted BCA of
ba3 and reflecting the cushion provided by the volume of bail-in-
able debt and deposits (15% of tangible banking assets at end-
December 2016), which would likely support operating obligations
in the event of a resolution.


The positive outlook reflects the upward pressure that could
develop on Unicaja's long-term deposit ratings if the bank's
credit fundamentals improve further, notably in terms of capital.
In particular, a stronger assessment of Unicaja's credit profile
could materialize if Moody's TCE ratio exceeds 8%, while the
bank's net income remains persistently at/or above 0.2% of
tangible assets and the stock of problematic assets maintains the
currently-observed declining trend.

The positive outlook on Unicaja's long-term deposit ratings also
reflects Moody's view that upward pressure could arise on the
bank's long-term deposit ratings based on the expected evolution
of Unicaja's balance sheet in the near term.


Upward pressure on Unicaja's standalone BCA could be driven by
stronger TCE levels. Upward rating pressure could also develop if
the bank achieves a sustainable recovery in its recurring
earnings, with improved profitability metrics, as well as
materially improving its asset risk with a reduction across all
problematic assets classes.

Unicaja's deposit ratings could also change as a result of the
issuance of subordinated instruments, which would indicate lower
loss-given failure faced by the deposits.

Given the positive outlook, a downgrade of Unicaja's deposit
ratings is currently unlikely. Downward pressure on the bank's
standalone BCA could result from: (1) a reversal of the currently
improving asset risk trends; and/or (2) a weakening of Unicaja's
internal capital generation.

As the bank's deposit ratings are linked to the standalone BCA,
any change to the BCA would likely also affect these ratings.


Issuer: Unicaja Banco


-- Long-term Counterparty Risk Assessment, upgraded to Baa3(cr)
    from Ba1(cr)

-- Short-term Counterparty Risk Assessment, upgraded to P-3(cr)
    from NP(cr)

-- Long-term Bank Deposits, upgraded to Ba2 from Ba3, outlook
    remains Positive

-- Adjusted Baseline Credit Assessment, upgraded to ba3 from b1

-- Baseline Credit Assessment, upgraded to ba3 from b1


-- Short-term Bank Deposits, affirmed NP

Outlook Action:

-- Outlook remains Positive


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


ARCHROMA HOLDINGS: S&P Assigns Prelim. B CCR, Outlook Stable
S&P Global Ratings assigned its 'B' preliminary long-term
corporate credit rating to Archroma Holdings S.a r.l., a holding
company created by funds advised by SK Capital Partners, for
the sole purpose of acquiring all operating entities of S.K.
Spice Holding S.a r.l. The outlook is stable.

S&P said, "At the same time, we assigned our preliminary 'B'
issue rating to Archroma's senior secured term loan B facilities,
issued by Archroma's financing subsidiary Archroma Finance S.a
r.l. The recovery rating is '3', indicating our expectations for
meaningful (50%-70%, rounded estimate 55%) recovery prospects in
the event of a payment default.

"The final ratings will depend on our receipt and satisfactory
review of all final transaction documentation. Accordingly, the
preliminary ratings should not be construed as evidence of final
ratings. If S&P Global Ratings does not receive the final
documentation within a reasonable time frame, or if the final
documentation departs from the materials we have already
reviewed, we reserve the right to withdraw or revise our ratings.
Potential changes include, but are not limited to, utilization of
loan proceeds; the maturity, size, and conditions of the loan;
financial and other covenants; and security and ranking.

"We intend to withdraw our corporate credit rating on SK Spice
Holding S.a.r.l. and our issue ratings on its senior secured
facilities after the transaction closes and the issues are

The rating action follows Archroma Holding's incorporation by
funds advised by private equity firm SK Capital Partners to
acquire S.K. Spice Holding S.a r.l. and its wholly owned
subsidiaries, operating under the trading name Archroma. The
target company is a leading specialty chemicals producer in the
textile, paper, and packaging, coatings and adhesive sectors,
with approximately $1.3 billion in sales in 2016.

S&P said, "We understand that Archroma intends to finance the
acquisition and repay all of S.K. Spice Holding's legacy debt via
the issuance of $1,030 million in senior secured, and second-lien
facilities. The proposed capital structure includes senior
secured debt consisting of $680 million term loan B due 2024 (to
be denominated in U.S. dollars and euros), $75 million revolving
credit facility (RCF) due 2023, and $75 million capital
expenditure (capex) facility due 2023, as well as a subordinated
$200 million second-lien loan due 2025. We understand the capex
and RCFs will be undrawn at the close of the transaction.

"Our ratios exclude approximately $202 million of non-common
equity injections--in the form of shareholder loans and
preference equity shares issued by the financial sponsor and a
management controlled entity--because we consider their
characteristics to be sufficiently equity-like, under our

"Our assessment of Archroma's business risk profile reflects its
exposure to highly competitive and oversupplied end-markets with
below-average growth prospects, such as the textile and paper
industries. This is indicated by Archroma's modest capacity
utilization rates and its below-average
profitability compared with the wider specialty chemicals
industry. In addition, we view a high risk of substitution in
some of Archroma's products, in particular in the textile
chemicals market, as well as its moderate size as other
constraining factors."

That said, Archroma's 2015 acquisition of BASF's textile product
lines has materially boosted its offering, market share, and
capacity utilization. S&P said, "We note that the improvement in
capacity utilization, in addition to Archroma's ongoing
restructuring project and lower raw material costs, has improved
profitability. We anticipate adjusted EBITDA margins of about
11%-12% over the next few years but we still assess this as below
average for the specialty chemicals industry. Further, the
acquisition boosted Archroma's comprehensive range of chemicals,
especially in the faster expanding textile and paper segments
where Archroma enjoys some niche-market leadership positions.

"We recognize that the company's application know-how and
customer specification should help protect its position in the
value chain. The group has a good reputation despite its short
history; Archroma began operations as a stand-alone entity after
acquiring assets from Clariant in October 2013.

"Despite the high risk of substitution in some of its products,
its exposure to the cyclical emulsions market, and the declining
paper market, we acknowledge Archroma's good geographic and end-
customer diversity. We also note its strong footprint in the
higher-growth Asian markets and improving supplier

"Our view of Archroma's financial risk profile combines its high
leverage with our forecast of the group's adjusted debt of
approximately $960 million in financial 2017. Our estimate of
gross debt constitutes approximately $880 million in proposed
facilities (excluding undrawn RCFs), approximately $8.0 million
in operating lease liabilities, and approximately $50 million in
pension and other post-retirement obligations."

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

-- One-off 7% revenue growth in the BPT segment following the
    full consolidation of the M Dohman business.
-- Low-single-digit revenue growth, incorporating our view of
    below-average growth prospects for textile and paper
    chemicals as well as the weak Brazilian economy, which is an
    important market for the company's emulsions business.
-- Increasing profitability with adjusted EBITDA margins of up
    to 11%-12%, as the company improves its capacity utilization,
    following the acquisition of the BASF Textile Chemicals
    business and various efficiency programs.
-- Capex of $30 million-$40 million per year, including
    approximately $15 million in maintenance costs.
-- Research and development expenditure of approximately 2% of
-- No material acquisitions.
-- $20 million non-operating expense associated with the

Based on these assumptions, S&P arrives at the following credit

-- Adjusted debt to EBITDA of about 6.2x in fiscal 2017,
    strengthening to about 5.6x-5.8x in fiscal 2018.
-- Adjusted funds from operations to debt of approximately 10%
    in fiscal 2017 and 2018.
-- Positive free operating cash flow (FOCF) of about $50
    million-$55 million per year from 2017 to 2018, including
    maintenance capex of approximately $15 million.
-- EBITDA interest coverage of about 3.0x in the coming years.

S&P said, "The stable outlook reflects that we expect Archroma to
reduce leverage such that its adjusted debt to EBITDA falls below
6.0x in 2018 and the adjusted EBITDA cash interest coverage ratio
remains at least 2.5x. The outlook further incorporates our
projection that the company will generate FOCF of over $55
million per year, and will continue to benefit from scheduled
debt amortization. We could lower the rating if adjusted debt to
EBITDA did not fall to below 6x by December 2018, which could
result from unexpected debt-financed acquisitions, shareholder
distributions, or a worsening of operating performance.

"While we view an upgrade as unlikely at this time, we could
raise the rating if we saw a commitment from the company and the
sponsor to a financial policy that maintains leverage below 5x.
Additionally, we consider that if Archroma maintained EBITDA
generation above $170 million per year, this could be positive
for the rating level."


ENDEMOL: Turkish Unit Files for Bankruptcy in Istanbul
Benjamin Harvey at Bloomberg News reports that the Turkish unit
of the world's largest independent content production company
Endemol filed for bankruptcy at the Istanbul court on July 4.

The unit said in statement on its website that its losses are
irretrievable and that it stayed viable in recent months due only
to support from Endemol Shine Group, Bloomberg relates.  It said
bankruptcy was determined to be the only option, Bloomberg notes.

Endemol Shine is jointly owned by Twenty-First Century Fox
and Apollo Global Management.

U N I T E D   K I N G D O M

CO-OPERATIVE BANK: Moody's Puts 'ca' BCA on Review for Upgrade
Moody's Investors Service has placed on review direction
uncertain the Baa3 rating of the mortgage covered bonds issued by
Co-Operative Bank Plc (Co-Op; Caa1(cr) on review direction
uncertain, standalone baseline credit assessment ca on review for
upgrade). The covered bonds are issued under Co-Op's Moorland
Covered Bond Programme and Co-Op is the underlying institution
supporting these covered bonds.


The action follows Moody's review of Co-Op's Caa1(cr)
counterparty risk (CR) assessment.

Moody's had on June 30, 2017 placed on review direction uncertain
Co-Op's CR assessment Caa1(cr) prompted by the bank's
announcement on June 28, 2017 that it plans to raise
approximately GBP700m of additional capital through conversion of
subordinated debt to equity and further issuance of new equity.
For further information please refer to "Moody's reviews Co-
Operative Bank ratings " published on June 30, 2017.


Moody's determines covered bond rating using a two-step process:
an expected loss analysis and a TPI framework analysis.

EXPECTED LOSS: Moody's uses its Covered Bond Model (COBOL) to
determine a rating based on the expected loss on the bond. COBOL
determines expected loss as (1) a function of the probability
that the issuer will cease making payments under the covered
bonds (a CB anchor event); and (2) the stressed losses on the
cover pool assets following a CB anchor event.

The CB anchor for each of these programmes is the CR assessment
plus 1 notch. The CR assessment reflects an issuer's ability to
avoid defaulting on certain senior bank operating obligations and
contractual commitments, including covered bonds. Moody's may use
a CB anchor of CR assessment plus one notch in the European
Economic Area or otherwise where an operational resolution regime
is particularly likely to ensure continuity of covered bond

The cover pool losses are an estimate of the losses Moody's
currently models following a CB anchor event. Moody's splits
cover pool losses between market risk and collateral risk. Market
risk measures losses stemming from refinancing risk and risks
related to interest-rate and currency mismatches (these losses
may also include certain legal risks). Collateral risk is derived
from the collateral score, which measures losses resulting
directly from the cover pool assets' credit quality.

The cover pool losses for this programme are 16.0%. This is an
estimate of the losses Moody's currently models if Co-Op
defaults. Moody's splits cover pool losses between market risk of
12.6% and collateral risk of 3.3%. Market risk measures losses as
a result of refinancing risk and risks related to interest-rate
and currency mismatches (these losses may also include certain
legal risks). Collateral risk measures losses resulting directly
from the credit quality of the assets in the cover pool.
Collateral risk is derived from the collateral score which for
this programme is 5.0%.

The OC in the cover pool is 101.4%, of which Co-Op provides 29.0%
on a "committed" basis. The minimum OC level that is consistent
with the Baa3 rating target is 1.0%. These numbers show that
Moody's is not relying on "uncommitted" OC in its expected loss

For further details on cover pool losses, collateral risk, market
risk, collateral score and TPI Leeway across covered bond
programmes rated by Moody's please refer to "Moody's EMEA Covered
Bonds Monitoring Overview", published quarterly. All numbers in
this section are based on data provided by the issuer as of 31
December 2016).

TPI FRAMEWORK: Moody's assigns a "timely payment indicator"
(TPI), which measures the likelihood of timely payments to
covered bondholders following a CB anchor event. The TPI
framework limits the covered bond rating to a certain number of
notches above the CB anchor.

When assessing TPIs for sub-investment-grade-rated issuers
Moody's place more focus on factors that may impact the current
credit position of the covered bonds. In the case of Moorland,
these factors included (1) credit strength indicated by Moody's
expected loss analysis (2) the current level of OC, and (3) the
time to the next principal payment.

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

The CB anchor is the main determinant of a covered bond
programme's rating robustness. A change in the level of the CB
anchor could lead to a downgrade of the covered bonds. The TPI
Leeway measures the number of notches by which Moody's might
lower the CB anchor before the rating agency downgrades the
covered bonds because of TPI framework constraints.

The TPI assigned to this programme is "Probable-High." The TPI
leeway for Moorland's mortgage covered bonds is limited, and thus
any downgrade of the issuer ratings may lead to a downgrade of
the covered bond ratings.

A multiple-notch downgrade of the covered bonds might occur in
certain circumstances, such as (1) a country ceiling or sovereign
downgrade capping a covered bond rating or negatively affecting
the CB Anchor and the TPI; (2) a multiple-notch downgrade of the
CB Anchor; or (3) a material reduction of the value of the cover


The principal methodology used in this rating was "Moody's
Approach to Rating Covered Bonds" published in December 2016.

GARAGE SHOES: Staff in Process of Claiming Back Wages
Evening Telegraph reports that staff at a Dundee city centre shoe
shop which closed its doors suddenly have claimed they're still
in the process of claiming back wages.

Garage Shoes, which had traded in the Overgate centre for more
than 15 years, shut after the company went into administration,
Evening Telegraph relates.

It comes after recent announcements about the pending closures of
the Disney, Burton and Dorothy Perkins stores in the city centre,
Evening Telegraph notes.

According to Evening Telegraph, six members of staff were left
without jobs when the shoe chain, which also had shops in Glasgow
and Stirling, closed down.  Other Garage stores remain open in
England, but are under different ownership, Evening Telegraph

The Dundee store has been taken on by administrators Clark
Business Recovery, Evening Telegraph discloses.

HANDMADE BURGER: Enters Administration, Closes 9 Restaurants
The Scotsman reports that the future of Handmade Burger Co could
be in doubt after the chain entered administration.

According to The Scotsman, administrators from Leonard Curtis
Recovery told The Times newspaper that nine of the 29 restaurants
had closed but the remaining outlets would continue to trade as
normal in the hopes of reaching a "solution which will enable as
many jobs as possible to preserved".

A Handmade Burger Co representative said that approval was being
sought from creditors to pursue a company voluntary arrangement
(CVA) which was considered the "best outcome for all creditors",
The Scotsman relates.  Failing that, the chain is likely to seek
a buyer, The Scotsman notes.

Leonard Curtis Recovery have been contacted to confirm the status
of Handmade Burger Co's Scottish branches, The Scotsman

Handmade Burger Co, which has six branches in Scotland including
one at Ocean Terminal, offers more than 40 burgers made from
scratch at its restaurants.  The Midlands-based business employs
close to 900 employees.

MERGERMARKET MIDCO: Moody's Affirms B3 CFR, Outlook Stable
Moody's Investors Service has affirmed Mergermarket Midco 2
Limited's B3 corporate family rating (CFR) and B3-PD probability
of default rating (PDR). Concurrently, Moody's has assigned
provisional (P)B2 ratings to the new GBP430 million equivalent
first lien credit facilities due 2024 and a provisional (P)Caa2
rating to the new GBP70 million equivalent second lien term loan
due 2025, all at Mergermarket Bidco Limited. The first lien
credit facilities comprise a GBP275 million term loan B1, a
GBP105 million equivalent term loan B2, and a GBP50 million
revolving credit facility (RCF). The outlook on all ratings is

The net proceeds from the new term loans will be used to fully
repay the existing debt capital structure and fund a distribution
to shareholders of approximately GBP119 million. At the closing
of the transaction the company is expected to have GBP10 million
of cash on balance sheet and full access to the new GBP50 million
RCF. The ratings on the outstanding debt will be withdrawn upon
completion of the transaction.

Moody's issues provisional ratings in advance of the final sale
of securities and these ratings reflect Moody's preliminary
credit opinion regarding the transaction only. Upon a conclusive
review of the final documentation, as well as the final terms of
the transaction, Moody's will endeavour to assign definitive
ratings to the new debt instruments. A definitive rating may
differ from a provisional rating.

The rating outlook change to stable from positive reflects the
increase in the Moody's-adjusted debt / EBITDA to 7.2x from 6.0x
following the refinancing transaction and distribution to
shareholders. Moody's views the B3 CFR as weakly positioned but
expects further EBITDA growth to support deleveraging below 7.0x
in the next 12 months.


Following the refinancing transaction, Moody's adjusted
Debt/EBITDA will increase to 7.2x from 6.0x pre-refinancing as of
March 2017 (7.4x if all potential earn-out payments are
included). Moody's notes that the company is weakly positioned at
the B3 CFR despite solid revenue visibility and cash flow
generative nature of the business. Failure to achieve a rapid and
sustainable deleveraging in the next 12 months will likely put
pressure on the rating positioning.

The rating incorporates Moody's assumption that the company will
be able to deliver on its business plan which is expected to
drive fast deleveraging to the end of 2017. Moody's expects
leverage to trend below 7.0x in the next 12 months. The pace of
deleveraging will be mostly reliant on continued EBITDA growth
driven by the consolidation of acquired businesses and
optimization of its product offering.

Moody's notes that Singapore's sovereign wealth fund GIC will
acquire an approximately 30% stake in Mergermarket from BC
Partners, which remains the majority shareholder. The rating
agency does not expect this to result in a change in the
company's strategy or financial policy.

Mergermarket's B3 rating also reflects the company's (1) leading
market position in niche segments, with an international
presence; (2) long-standing commercial relationships with top-
tier players in each business segment served; (3) strong track
record of growth in its largely subscription-based revenues (more
than 90% of revenues); and (4) high annual renewal rate (91.5% in

The B3 CFR also reflects (1) the company's very high financial
leverage; (2) the company's relatively small scale; (3) revenue
concentrated on two core products and within the financial
services industry; and (4) the execution risks as the company
continues to engage in M&A activities in order to reach
meaningful scale and broaden its product offerings.


Mergermarket's liquidity profile is good for its near-term needs,
with sufficient internal resources to service its debt. Moody's
expects the cash balance to stand at approximately GBP10 million
at closing as well as positive free cash flow generation in the
next 12 to 18 months. Mergermarket's liquidity profile also
benefits from the new undrawn GBP50 million revolver maturing in
2024. Moody's also expects that the company will continue to
access the RCF to part fund small acquisitions. The RCF has a
springing net leverage covenant of 10.1x starting June 2018 and
when used by more than 35%.


The first lien credit facilities and second lien term loan all
benefit from the same security package, including guarantees from
material operating subsidiaries and security over material assets
of the guarantors. The (P)B2 ratings on the first lien term loans
and the pari passu RCF reflect their ranking ahead of the second
lien term loan, which is consequently rated (P)Caa2.


The stable outlook reflects Moody's expectation that the
company's leverage will trend below 7.0x in the next 12 months
while remaining visibly free cash flow generative. The outlook
also incorporates Moody's expectation that the company will not
embark on any debt-funded transforming acquisitions or make
further debt-funded shareholder distributions.


Given rating action, positive pressure on the rating is unlikely
in near term but could materialise over time if (1) the Moody's-
adjusted free cash flow to debt approaches 10%; (2) the Moody's-
adjusted EBITDA margin is sustained at around 30%; and (3) the
Moody's-adjusted debt/EBITDA ratio falls sustainably below 6.0x.


Conversely, negative pressure could be exerted on the rating if
the company fails to maintain the current momentum in its
operational performance, leading to a deterioration in renewal
rate such that a weakening of its operational performance results
in (1) the Moody's adjusted debt/EBITDA ratio remaining
sustainably above 7.0x; (2) materially lower cash generation; or
(3) weakening liquidity profile.

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

NEWDAY FUNDING 2017-1: Fitch Assigns B Rating to GBP16.5MM Notes
Fitch Ratings has assigned NewDay Funding's series 2017-1 notes
final ratings as follows:

GBP125 million Series 2017-1 A: 'AAAsf'; Outlook Stable
GBP19.3 million Series 2017-1 B: 'AAsf'; Outlook Stable
GBP28.3 million Series 2017-1 C: 'Asf'; Outlook Stable
GBP35.5 million Series 2017-1 D: 'BBBsf'; Outlook Stable
GBP19.8 million Series 2017-1 E: 'BBsf'; Outlook Stable
GBP16.5 million Series 2017-1 F: 'Bsf'; Outlook Stable

Fitch has simultaneously affirmed the existing tranches:

GBP147.3 million Series 2015-1 A: 'AAAsf'; Outlook Stable
GBP21.6 million Series 2015-1 B: 'AAsf'; Outlook Stable
GBP31.8 million Series 2015-1 C: 'Asf'; Outlook Stable
GBP44.1 million Series 2015-1 D: 'BBBsf'; Outlook Stable
GBP22.8 million Series 2015-1 E: 'BBsf'; Outlook Stable
GBP15.3 million Series 2015-1 F: 'B+sf'; Outlook Stable
GBP300 million Series 2015-VFN: 'BBBsf'; Outlook Stable

GBP146.7 million Series 2015-2 A: 'AAAsf'; Outlook Stable
GBP21.3 million Series 2015-2 B: 'AAsf'; Outlook Stable
GBP31.5 million Series 2015-2 C: 'Asf'; Outlook Stable
GBP44.1 million Series 2015-2 D: 'BBBsf'; Outlook Stable
GBP22.8 million Series 2015-2 E: 'BBsf'; Outlook Stable
GBP15.6 million Series 2015-2 F: 'B+sf'; Outlook Stable

GBP129.3 million Series 2016-1 A: 'AAAsf'; Outlook Stable
GBP18.8 million Series 2016-1 B: 'AAsf'; Outlook Stable
GBP27.8 million Series 2016-1 C: 'Asf'; Outlook Stable
GBP37.9 million Series 2016-1 D: 'BBBsf'; Outlook Stable
GBP20.1 million Series 2016-1 E: 'BBsf'; Outlook Stable
GBP13.8 million Series 2016-1 F: 'B+sf'; Outlook Stable

The notes are collateralised by a pool of non-prime UK credit
card receivables originated by NewDay Ltd. The securitised pool
is beneficially held by NewDay Funding Receivables Trustee Ltd.


Non-Prime Asset Pool
The charge-off and payment rate performance of the portfolio
differs from that of other rated UK credit card trusts due to the
non-prime nature of the underlying assets. Fitch assumes a steady
state charge-off rate of 18%, with a stress on the lower end of
the spectrum (3.5x for AAAsf), considering the high absolute
level of the steady state assumption and low historical
volatility in charge-offs. Fitch applied a payment rate steady
state assumption of 10%, with a median level of stress (45% at

Changing Pool Composition
The portfolio consists of an open book and a closed book, which
have displayed different historical performance trends. Overall
pool performance is expected to migrate towards the performance
of the open book as the closed book amortises. This has been
incorporated into Fitch's steady state asset assumptions.

Variable Funding Notes Add Flexibility
In addition to Series 2015-VFN providing the funding flexibility
that is typical and necessary for credit card trusts, the
structure employs a separate Originator VFN, purchased and held
by NewDay Funding Transferor Ltd. It provides credit enhancement
to the rated notes, adds protection against dilution and meets
risk retention requirements.

Key Counterparties Unrated
The NewDay group acts in a number of capacities through its
various entities, most prominently as originator, servicer and
cash manager to the securitisation. In most other UK trusts,
these roles are fulfilled by large institutions with strong
credit profiles. The degree of reliance is mitigated in this
transaction by the transferability of operations, agreements with
established card service providers, a back-up cash management
agreement and a series-specific liquidity reserve.

Stable Asset Outlook
Fitch expects increases in unemployment and negative real wage
growth to reduce the repayment ability of borrowers over the
coming years. This will have a negative impact on trust
performance, as upticks in charge-offs and reduced payment rates
are likely. Fitch maintains its stable outlook on the sector, as
performance deterioration implied by slightly softening macro
expectations remains fully consistent with the steady-state
assumptions for UK credit card trusts (see Credit Card Index - UK


Rating sensitivity to increased charge-off rate
Increase base case by 25% / 50% / 75%
Series 2017-1 A: 'AAsf' / 'AAsf' / 'A+sf'
Series 2017-1 B: 'A+sf' / 'A sf' / 'A-sf'
Series 2017-1 C: 'BBB+sf' / 'BBBsf' / 'BBB-sf'
Series 2017-1 D: 'BB+sf' / 'BBsf' / 'BB-sf'
Series 2017-1 E: 'B+sf' / 'Bsf' / NA
Series 2017-1 F: NA / NA / NA

Rating sensitivity to reduced MPR
Reduce base case by 15% / 25% / 35%
Series 2017-1 A: 'AAsf' / 'AA-sf' / 'Asf'
Series 2017-1 B: 'A+sf' / 'Asf' / 'A-sf'
Series 2017-1 C: 'BBB+sf' / 'BBBsf' / 'BBB-sf'
Series 2017-1 D: 'BBB-sf' / 'BB+sf' / 'BBsf'
Series 2017-1 E: 'BB-sf' / 'B+sf' / 'B+sf'
Series 2017-1 F: NA / NA / NA

Rating sensitivity to reduced purchase rate (ie aggregate new
purchases divided by aggregate principal repayments in a given
Reduce base case by 50% / 75% / 100%
Series 2017-1 D: 'BBB-sf' / 'BBB-sf' / 'BBB-sf'
Series 2017-1 E: 'BB-sf' / 'BB-sf' / 'BB-sf'
Series 2017-1 F: NA / NA / NA

No rating sensitivities to a reduced purchase rate are shown for
the class A to C notes, as Fitch is already assuming a 100%
purchase rate stress in these rating scenarios.

NMG BIDCO: Moody's Assigns B2 Corp. Family Rating, Outlook Stable
Moody's Investors Service has assigned a B2 corporate family
rating (CFR) and B2-PD probability of default rating (PDR) to NMG
Bidco Ltd (McLaren), a UK-domiciled manufacturer of luxury cars
and an automotive racing company. Concurrently, Moody's has
assigned a provisional (P)B2 rating to the planned GBP 525
million equivalent of senior secured notes intended to be issued
by NMG Finco plc, a guaranteed subsidiary of McLaren, with a GBP
and USD tranche. The outlook on the ratings is stable.

Moody's issues provisional ratings in advance of the final sale
of securities and these reflect Moody's credit opinion regarding
the transaction only. Upon closing of the transaction and a
conclusive review of the final documentation, Moody's will
endeavour to assign definitive ratings to the proposed
facilities. A definitive rating may differ from a provisional


"The B2 ratings reflect the strength of the McLaren brand which
underpins the group's long-term growth and profitability
ambitions in the luxury automotive industry," says Falk Frey, a
Moody's Senior Vice President and Lead Analyst for McLaren.
"Nevertheless, the ratings are constrained by expectations for
high leverage and weak cash flow until the group reaches its full
production potential in 2019," added Mr. Frey.

The B2 corporate family rating assigned to McLaren reflects as
positives the company's: (1) leading position as a designer and
manufacturer of luxury cars across multiple price points; (2)
strong brand recognition underpinned by the group's historical
racing prowess and more recently through the success of its
performance car model launches; (3) high pricing power reflecting
the demand for its vehicles that comfortably exceeds anticipated
production; (4) clear focus on innovation and leading
technological capabilities that are leveraged across the group;
(5) customer diversification across multiple geographies; (6)
moderate revenue visibility reflecting the order backlog for its
car series and through Formula 1 sponsorship arrangements; and
(7) supportive shareholder base.

Nevertheless, the rating reflects as negatives the company's: (1)
limited track record of producing road cars albeit mitigated by
the success of its launches to date; (2) current underperformance
in Formula 1 which, if sustained, could negatively affect the
financial strength of the group; (3) a degree of execution risk
of ramping up automotive production to 5,000 cars per year; (4)
requirement to invest heavily in research & development (R&D)
activities to maintain its position as a technological leader;
and (6) weak credit metrics with EBITDA expected to be negative
in 2017 and minimally positive in 2018 resulting in minimal free
cash flow (FCF) until at least 2019.


The stable outlook assigned to McLaren reflects Moody's
expectations that the company will be successful in gradually
increasing automotive production and profitability such that by
2019 debt / EBITDA (as adjusted by Moody's) will be comfortably
below 6x and FCF / debt in excess of 5%.


Moody's could upgrade the ratings of McLaren if its financial
forecasts anticipate leverage trending below 4x debt / EBITDA (as
adjusted by Moody's) with sustainably positive FCF generation. In
contrast, Moody's could lower the ratings of McLaren should
external events negatively impact the McLaren brand in a way that
would materially lower future profitability. This could result in
debt / EBITDA staying above 6x with negative FCF and a
deterioration of liquidity.


In Moody's Loss Given Default (LGD) analysis, the agency
differentiates between three layers of debt within the capital
structure of McLaren. Moody's ranks the group's GBP 90 million
super senior RCF (unrated) in the highest position reflecting its
preferential ranking relative to other liabilities. In the second
position, the agency models the GBP 525 million equivalent of
senior secured notes (expected to have a maturity of 2022 and to
be split across sterling and US-dollar) and the group's trade
payables. Finally, the group's operating lease claims are
modelled as unsecured and therefore last in the waterfall. The
group does not have any material defined benefit pension
obligations. Given that the senior secured notes represent by far
the largest proportion of the total debt structure, the (P)B2
rating assigned to them is at the same level as the CFR.


The principal methodology used in these ratings was Automobile
Manufacturer Industry published in June 2017.

NMG Bidco Ltd is a holding company whose subsidiaries
collectively form the McLaren Group, a UK-based manufacturer of
luxury cars and an active participant in high-performance racing
including Formula 1 and the Indy 500. Additionally, the group
leverages its technologies to industrial customers through its
McLaren Applied Technologies segment. McLaren is a private
company albeit with a diversified shareholder base that includes
Mumtalakat (the Sovereign Wealth Fund of Bahrain, with a
shareholding of 63%), Mr. Mansour Ojjeh represents the interests
of TAG Group with a shareholding of 16% and a number of private
individuals (with a combined shareholding of 21%). In 2016, pro-
forma revenue for the McLaren Group amounted to GBP 900 million.

NMG HOLDCO: S&P Assigns Preliminary B CCR, Outlook Stable
S&P Global Ratings assigned its preliminary 'B' long-term
corporate credit ratings to NMG Holdco Ltd. (McLaren). The
outlook is stable.

At the same time, S&P said, "we assigned our preliminary 'B'
issue rating and '3' recovery rating to the proposed GBP525
million senior secured notes, to be issued by NMG Finco PLC. This
reflects our expectation of meaningful recovery prospects (50%-
70%; rounded estimate 60%) in the event of a payment default.

"We also assigned our preliminary 'BB-' issue rating and '1'
recovery rating to a proposed GBP90 million super senior
revolving credit facility (RCF), with NMG Bidco Ltd. and NMG
Finco PLC as borrowers. This reflects our expectation of very
high recovery prospects (90%-100%; rounded estimate 95%) in the
event of a payment default.

"Final ratings will depend on our receipt and satisfactory review
of final transaction documentation, and successful execution of
the financing. If we do not receive the final documentation
within a reasonable time frame, or if the final documentation
departs from materials we have reviewed, we reserve the right to
withdraw or revise our ratings. Potential changes include, but
are not limited to, the use of proceeds, interest rate, maturity,
size, financial and other covenants, and the security and ranking
of the bonds and RCF.

"Our ratings on McLaren are supported by the company's business
position as an automotive manufacturer of high-performance sports
cars, coupled with a leading Formula One (F1) racing team and an
applied technologies business. In 2016, McLaren sold 3,286 cars
in the "Sports Series" and "Super Series" model ranges, with more
than 10,000 cars in total sold since 2011. In F1, the
company has a history of success. Its heritage as a leading
racing constructor has been integral to the company's
development, reputation, and strong brand recognition.

"That said, the need for heavy spending on new model development
significantly depresses profitability (on an S&P Global Ratings-
adjusted basis), as we expense all research and development costs
while the company largely capitalizes them. Other constraining
factors include McLaren Automotive Ltd.'s (MAL's) small scale,
limited product range in the super-premium segment, and
concentrated operating diversity with a single production site in
the U.K. In addition, the on-track performance of the F1 racing
team of McLaren Racing Group Ltd (MTG), is currently weak, and
will remain so until it can be more competitive.

"Nevertheless, we forecast continued volume growth from new car
models, as well as much higher adjusted EBITDA, funds from
operations (FFO), and cash flow generation, will help improve
leverage and coverage metrics. Given the need to constantly re-
invest in the development and launch of new products, we
anticipate negative free operating cash flow (FOCF) in 2017,
becoming positive from 2018."

MAL is the car manufacturing business and accounted for 73% of
the GBP898 million combined revenues in 2016, with McLaren
Technology Group Ltd. (MTG) encompassing the racing (about 22%)
and applied technologies business activities (about 5%). As part
of the proposed financing, a new parent holding company -- NMG
Holdco Ltd. -- has been established, which will bring all
McLaren's business activities under a single ownership structure.

MAL is undertaking a multi-year program, since 2015, of
significant product development and investment to release 15 all-
new cars or derivatives, and gradually increase its annual
production up to its current capacity of 5,000 cars per year by
2022. S&P believes that the strong McLaren brand name, its
established technological expertise and innovation, and its
modular production platform will help execute this strategy
supported by strong customer demand. MAL has a good track-record
of new model development, which is already bearing fruit: car
volumes doubled in 2016 compared to 2015. Volume growth -- albeit
not at the same pace -- will need to continue, to strengthen
rofitability and generate positive free cash flows to finance
future spending on new models.

S&P views MTG's position as a racing car constructor in F1 --
which has historically been strong -- as supportive of McLaren's
technological development, visibility, and branding. However, in
recent years MTG's F1 racing performance on the track has been
weak, hampered by underperforming engines currently supplied
exclusively by Honda until 2019. In the current championship
season, after eight races McLaren is last in the constructor
standings with only two points. Its key strategy is to improve
this but it will remain a challenge until it can regain its
competitiveness on the track, possibly not until after 2019,
against other leading constructors, notably Mercedes and Ferrari
who manufacture their own engines and have substantially larger

F1 revenues come from prize money, sponsorship, and merchandise.
Levels vary over time depending on the success of the F1 team,
but are also largely contracted. Should on-track performance not
improve revenues will further decline, potentially compromising
the brand and affecting the pricing power and demand for
McLaren's high performance cars. The racing business also has
high costs and weak profitability, reporting losses in some
years. MTG has a small applied technologies business, which
transfers automotive-related innovation into wider markets such
as transportation and health care.

McLaren's financial risk profile is constrained by its very
highly leveraged capital structure. The GBP525 million senior-
secured bond due 2022 is expected to repay all McLaren's GBP238
million of existing bank debt and pay GBP200 million to buy-out
shares currently held by Ron Dennis. The remaining amount will
cover expected transaction costs of GBP35 million and about GBP52
million of cash on the balance sheet. The shares acquisition is
expected to be completed in July 2017. A further GBP75 million
will be paid as a deferred consideration to the former
shareholder, with GBP37.5 million each in December 2017 and
August 2019. The group will put in place the GBP90 million RCF to
support liquidity, which we expect to be undrawn at the closing
of the transaction.

On a combined basis in 2016, group revenues were GBP898 million
and reported EBITDA was GBP148 million. On an S&P Global Ratings-
adjusted basis EBITDA was near zero however (mainly after
deducting GBP112 million of capitalized development costs, and
our estimate of foreign-exchange losses), FFO was negative at
about GBP15 million, and FOCF was negative at about GBP35

The bond issue will more than double financial debt to GBP525
million. At closing, pro forma, S&P expects adjusted debt of
about GBP630 million including the GBP75 million of deferred
consideration, and about GBP27 million of shareholder loans that
it considers debt for the purpose of its credit-ratio

S&P base-case assumes:

-- Continued volume growth in the luxury auto segment ahead of
    the 2%-3% we expect for the global auto market.
-- MAL: Increasing production volumes towards 5,000 per year
    from 3,286 in 2016. This is based on continued successful
    model roll-out, strong market demand, and brand reputation.
    Margin expansion is supported by much lower development costs
    per car on the back of volume growth.
-- MTG: Decreasing revenues from F1 racing because on-track
    improvement is unlikely in 2017 or 2018, which limits scope
    for positive EBITDA. The applied technology business
    continues to grow but will remain limited in scale.
-- Steady group level capital expenditure (capex; including
    capitalized R&D) at around GBP140 million.
-- No dividends or other shareholder remuneration. No

This leads S&P to the following credit ratios:

-- Debt/EBITDA of over 15x for 2017 and around 8x in 2018.
-- Around zero FFO/debt for 2017 and up to 5% for 2018.
-- Negative FOCF/debt in 2017 becoming positive from 2018.
-- FFO cash interest coverage of less than 2x in 2017 and 2018.

On completion of the transaction, McLaren will have a single
ownership structure, with NMG Holdco Ltd. as the new parent
holding company of MAL and MTG. The majority shareholder will be
Bahrain Mumtalakat Holding Co. (Mumtalakat), which will own 62.5%
and which has a group credit profile of 'bb-'. Mumtalakat is the
investment company for the Kingdom of Bahrain's strategic assets
in sectors other than oil and gas. Mumtalakat is wholly owned by
Bahrain and as of June 1, 2017, Mumtalakat held stakes in over 55
commercial enterprises that represented a portfolio of
approximately Bahraini dinar (BHD) 2.8 billion (US$7.5 billion).
S&P said, "We regard Mumtalakat as a government-related entity
(GRE) of Bahrain. We do not regard McLaren as a GRE, as we do not
expect government support or negative intervention from Bahrain
would extend to McLaren. We see Mumtalakat as a strategic
investor (not a financial sponsor) in McLaren. While Mumtalakat
has demonstrated financial support to McLaren in previous years,
we do not factor in future extraordinary group support toward
McLaren, which we regard as a non-strategic entity of Mumtalakat.
The ratings on McLaren therefore reflect its stand-alone credit

"The stable outlook reflects our view that a rating change is
unlikely during the next year. We factor in McLaren continuing to
successfully deliver on its business strategy of investing in new
car models and increasing car sales volumes, and much higher
adjusted EBITDA, FFO, and cash flow generation, but is initially
constrained by low profit margins and negative or limited free
cash flow generation due to high investments and very high

"We could lower the ratings if McLaren experienced delays or
production problems in the car manufacturing operations, or if it
was unable to reach our expectations for profitability or cash
flow generation. A ratio of FFO to debt below 5% in 2018 would be
negative for the rating. Other risks to the rating could be
additional costs incurred by the F1 team as it strives for
stronger on-track results, or a notable weakening of the McLaren
brand name and demand for its high performance cars.

"We could raise the ratings if McLaren outperforms our base case,
leading to adjusted credit metrics of debt to EBITDA below 5x and
FFO to debt above 12%. This could materialize for example if car
production was higher than expected or of there was an uptick in
the F1 team's performance, leading to higher revenues and
improving profitability and positive FOCF."

WISE 2006-1 PLC: S&P Lowers Rating on Class A Notes to BB-(sf)
S&P Global Ratings lowered to 'BB- (sf)' from 'BB+ (sf)' and to
'B- (sf)' from 'B+ (sf)' its credit ratings on WISE 2006-1 PLC's
class A and B notes, respectively. At the same times, S&P has
affirmed its 'CCC (sf)' rating on the class C notes.

S&P said, "We have reviewed the transaction using the performance
report from April 2017 and by applying our corporate
collateralized loan obligation (CLO) criteria and our project
finance criteria."

Since its previous review in February 2015, S&P has observed the
following changes:

- The available credit enhancement has marginally increased for
   the class A and B notes. The class C notes (the most junior
   class of notes) continue to have zero credit enhancement.

- The portfolio is now more concentrated, with fewer than 30
   assets left in the portfolio. This has resulted in a lower
   ratings cap under S&P's application of the largest obligor
   default test.

- There were no credit events tracked in the first quarter of

- The weighted-average rating on the portfolio continues to be

- The weighted-average recovery rate (WARR) calculated on the
    portfolio has also marginally increased to 49% from 46%.

S&P said, "From the trustee report, we note that the SROC
(synthetic rated overcollateralization) levels for the class A
and B notes are below 100%. An SROC level of 100% indicates that
there is exactly sufficient credit enhancement to maintain the
rating on the tranche. If SROC falls below 100%, then the tranche
can no longer support the rating.

"We determined the scenario default rates (SDRs) by running the
April 2017 portfolio data through our CDO Evaluator model, which
is an integral part of our methodology for rating and monitoring
CLO transactions. Through a Monte Carlo simulation, the CDO
Evaluator assesses a portfolio's credit quality, taking into
consideration each asset's credit rating, size, and maturity, the
estimated correlation between each pair of assets, and any
bivariate emerging market risk. The portfolio's credit quality is
presented in terms of a probability distribution for potential
portfolio default rates. From this probability distribution, the
CDO Evaluator derives a set of SDRs, each of which identifies the
minimum level of portfolio defaults each CLO tranche is
expected to be able to withstand to support a specific rating

"We then applied the calculated WARR on the SDRs to determine the
scenario loss rates (SLRs) to observe if the class A, B, and C
notes can maintain their current rating levels. We perform our
SLR analysis on a synthetic collateralized bond obligation (CBO)
to model the range of possible losses in the reference portfolio.
We then compared the SLRs with the available credit enhancement
to determine if there is sufficient credit enhancement available
to sustain the current ratings on the notes.

"We determined that all classes of notes now pass at lower rating
levels. We have therefore lowered our ratings on the class A and
the B notes and affirmedour 'CCC' rating on the class C notes.

"We also applied supplemental tests outlined in our corporate CLO
criteria (the largest obligor default test, among others). These
supplemental tests are additional quantitative elements in our
analysis that are separate and distinct from the Monte Carlo
default simulations we run in the CDO Evaluator and the cash flow
analysis generated for each transaction. We consider that adding
these tests to our simulation model enhances our overall analysis
because the tests are intended to address both event and model
risks that may be present in rated transactions. Our ratings on
the class A and B notes are constrained by the application of the
largest obligor default test.

"The par losses, from a largest obligor default perspective, have
been detrimental to all classes of notes. We have therefore
lowered our ratings on the class A and B notes by two notches and
affirmed our rating on class C notes. With no credit enhancement
available for the class C notes, it does not pass our SLR and
supplemental test analysis at the current rating level.

"Overall, the assets' performance been positive, with no
defaults, although the expected losses in the pool have increased
in the credit model due to the increased pool concentration."

WISE 2006-1 is a synthetic CBO transaction backed by a pool of
project finance bonds and utility bonds. The purpose of the
transaction, which is structured as a partially funded synthetic
CBO transaction, is to transfer the credit risk associated with a
pool of GBP1.5 billion wrapped infrastructure bonds (the
reference portfolio).


WISE 2006-1 PLC
GBP63.75 mil floating-rate credit-linked notes
Class            Identifier              To          From
A                XS0278568455            BB- (sf)    BB+ (sf)
B                XS0278569693            B- (sf)     B+ (sf)
C                XS0278570949            CCC (sf)    CCC (sf)


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

Issuer                      Coupon     Maturity  Currency Price
------                      ------     --------  -------- -----
Air Berlin PLC             6.75    5/9/2019      EUR     57.71
Rickmers Holding AG        8.88    6/11/2018     EUR     3.33
New Look Senior Issuer PLC 8.00    7/1/2023      GBP     59.88
Air Berlin PLC             5.63    5/9/2019      CHF     55.68
Agrokor dd                 9.13    2/1/2020      EUR     14.74
Intelsat Luxembourg SA     7.75    6/1/2021      USD     54.65
Ensco PLC                  4.50    10/1/2024     USD     74.52
Holdikks SAS               6.75    7/15/2021     EUR     55.76
Agrokor dd                 8.88    2/1/2020      USD     17.00
CGG SA                     5.88    5/15/2020     EUR     41.49
New Look Secured Issuer PLC4.50    7/1/2022      EUR     71.48
Intelsat Luxembourg SA     8.13    6/1/2023      USD     51.39
Ensco PLC                  5.75    10/1/2044     USD     63.33
Oi Brasil Holdings Cooperat5.75    2/10/2022     USD     35.02
Banca Popolare di Vicenza  2.82    12/20/2017    EUR     1.13
Brighthouse Group PLC      7.88    5/15/2018     GBP     66.54
Norske Skog Holding AS     8.00    2/24/2021     EUR     15.01
Veneto Banca SpA           9.50    12/1/2025     EUR     1.25
Offshore Drilling Holding S8.38    9/20/2020     USD     34.50
Casino Guichard Perrachon S1.68                  EUR     72.07
Portugal Telecom Internatio4.63    5/8/2020      EUR     33.49
Banca Popolare di Vicenza  9.50    9/29/2025     EUR     3.99
Aegon NV                   0.53                  EUR     71.74
CGG SA                     6.50    6/1/2021      USD     40.33
Ageasfinlux SA             1.02                  EUR     59.15
Far East Capital Ltd SA    8.00    5/2/2018      USD     73.00
Frigoglass Finance BV      8.25    5/15/2018     EUR     55.00
CGG SA                     1.75    1/1/2020      EUR     1.43
Portugal Telecom Internatio4.38    3/24/2017     EUR     33.25
Bibby Offshore Services PLC7.50    6/15/2021     GBP     39.00
VistaJet Malta Finance PLC 7.75    6/1/2020      USD     73.23
Alitalia-Societa' Aerea Ita5.25    7/30/2020     EUR     15.07
QGOG Constellation SA      6.25    11/9/2019     USD     69.88
Banca Monte dei Paschi di S5.00    4/21/2020     EUR     30.88
Mitsubishi UFJ Investor Ser4.17    12/15/2050    EUR     54.63
TES Finance PLC            6.75    7/15/2020     GBP     72.22
Co-Operative Bank PLC      11.00   12/20/2023    GBP     36.38
Banca Carige SpA           7.32    12/20/2020    EUR     49.50
Avangardco Investments Publ10.00   10/29/2018    USD     22.00
OAS Investments GmbH       8.25    10/19/2019    USD     3.50
Portugal Telecom Internatio5.00    11/4/2019     EUR     33.54
Banco Espirito Santo SA    2.63    5/8/2017      EUR     28.50
Santander International Pre2.00                  USD     67.00
International Bank of Azerb6.17    5/10/2017     USD     99.78
Bremer Landesbank Kreditans8.50                  EUR     72.51
Air France-KLM             2.03    2/15/2023     EUR     12.74
CGG SA                     6.88    1/15/2022     USD     44.46
Oi Brasil Holdings Cooperat5.63    6/22/2021     EUR     35.03
UkrLandFarming PLC         10.88   3/26/2018     USD     23.63
Portugal Telecom Internatio4.50    6/16/2025     EUR     33.71
Immigon Portfolioabbau AG  10.00                 EUR     15.25
Neopost SA                 3.38                  EUR     60.34
Portugal Telecom Internatio5.88    4/17/2018     EUR     34.38
Banca Monte dei Paschi di S0.67    11/30/2017    EUR     32.08
Alno AG                    8.50    5/14/2018     EUR     46.00
Pierre & Vacances SA       3.50    10/1/2019     EUR     47.96
Banca Monte dei Paschi di S2.25    5/15/2018     EUR     27.39
Banca Monte dei Paschi di S5.60    9/9/2020      EUR     29.48
Banca Carige SpA           8.34                  EUR     24.25
ADLER Real Estate AG       2.50    7/19/2021     EUR     16.13
HSH Nordbank AG/Luxembourg 2.10                  EUR     18.33
Portugal Telecom Internatio6.25    7/26/2016     EUR     32.65
Algeco Scotsman Global Fina10.75   10/15/2019    USD     74.09
SOITEC                     6.75    9/18/2018     EUR     3.82
HSH Nordbank AG            7.25                  USD     26.26
Allied Irish Banks PLC     12.50   6/25/2035     GBP     69.75
Bremer Landesbank Kreditans9.50                  EUR     73.91
CGG SA                     1.25    1/1/2019      EUR     21.56
BIM SAS                    2.50    11/13/2020    EUR     28.50
Mitsubishi UFJ Investor Ser3.92    12/30/2099    EUR     3.76
Co-Operative Bank PLC      8.50    7/1/2025      GBP     31.50
KTG Agrar SE               7.13    6/6/2017      EUR     1.61
Sanha GmbH & Co KG         7.75    6/4/2018      EUR     65.75
Banco Espirito Santo SA    4.00    1/21/2019     EUR     28.75
Rothschilds Continuation Fi1.69                  USD     67.63
Pacific Drilling SA        5.38    6/1/2020      USD     43.00
WPE International Cooperati10.38   9/30/2020     USD     17.00
IMMOFINANZ AG              4.25    3/8/2018      EUR     4.47
Privatbank CJSC Via UK SPV 10.25   1/23/2018     USD     20.42
Novo Banco SA              3.50    1/2/2043      EUR     61.96
Bilt Paper BV              9.64                  USD     29.52
Mriya Agro Holding PLC     9.45    4/19/2018     USD     5.44
Scholz Holding Gmbh        8.50    12/31/2019    EUR     2.00
Aligera Holding AB publ    5.00    5/7/2019      SEK     51.25
Banco Pastor SAU           2.07                  EUR     1.85
Nexity SA                  0.13    1/1/2023      EUR     70.00
Paragon Offshore PLC       6.75    7/15/2022     USD     23.00
Johnston Press Bond Plc    8.63    6/1/2019      GBP     63.88
BNP Paribas SA             1.15                  EUR     72.01
Far East Capital Ltd SA    8.75    5/2/2020      USD     69.00
Banco Espirito Santo SA    7.13    11/28/2023    EUR     0.71
Agrokor dd Via Aquarius + I4.92    8/8/2017      EUR     18.75
Banco Espirito Santo SA    4.75    1/15/2018     EUR     28.63
Sydbank A/S                1.01                  EUR     73.83
Waste Italia SpA           10.50   11/15/2019    EUR     15.00
Norske Skogindustrier ASA  7.13    10/15/2033    USD     7.72
Lambay Capital Securities P6.25                  GBP     1.27
Norske Skog Holding AS     8.00    2/24/2023     USD     17.67
Virgolino de Oliveira Finan10.50   1/28/2018     USD     7.04
Popular Capital SA         4.00                  EUR     2.76
OGX Austria GmbH           8.50    6/1/2018      USD     0.03
Aralco Finance SA          10.13   5/7/2020      USD     2.90
Privatbank CJSC Via UK SPV 11.00   2/9/2021      USD     6.75
Tonon Luxembourg SA        10.50   5/14/2024     USD     42.70
Norske Skogindustrier ASA  2.00    12/30/2115    EUR     4.56
Banca Monte dei Paschi di S7.00    3/4/2019      EUR     30.88
Elli Investments Ltd       12.25   6/15/2020     GBP     70.00
IKB Deutsche Industriebank 5.63    8/1/2017      EUR     34.00
Yuksel Insaat AS           9.50    11/10/2015    USD     20.00
Banca Popolare di Vicenza  4.60    12/15/2017    EUR     14.35
Klarna AB                  5.25                  SEK     70.69
Pescanova SA               5.13    4/20/2017     EUR     3.27
ATF Capital BV             8.77                  USD     73.00
TES Finance PLC            5.29    7/15/2020     GBP     69.17
Beate Uhse AG              7.75    7/9/2019      EUR     24.00
Credit Lyonnais SACA       0.44                  EUR     68.35
Banca Carige SpA           2.77    6/19/2018     EUR     36.61
Greene King Finance PLC    2.37    3/15/2036     GBP     74.34
Eramet                     4.00                  EUR     48.71
Capital Raising GmbH       7.50                  EUR     27.38
New Look Secured Issuer PLC6.50    7/1/2022      GBP     74.95
Norske Skog Holding AS     8.00    2/24/2021     EUR     14.75
OSX 3 Leasing BV           13.00   3/20/2015     USD     35.00
Agrokor dd                 8.88    2/1/2020      USD     40.25
Pescanova SA               8.75    2/17/2019     EUR     3.04
Hybrid Raising GmbH        6.63                  EUR     23.25
Veneto Banca SpA           6.95    2/25/2025     EUR     4.86
Banco Pinto & Sotto Mayor  0.64                  EUR     40.00
Deutsche Bank AG/London    2.46    6/30/2034     USD     57.77
Lloyds Bank PLC            0.41    1/31/2033     USD     61.50
Paragon Offshore PLC       7.25    8/15/2024     USD     23.25
New Look Senior Issuer PLC 8.00    7/1/2023      GBP     60.78
Lloyds Bank PLC            0.43    2/22/2033     USD     57.66
New World Resources NV     8.00    4/7/2020      EUR     5.13
PNE Wind AG                3.75    10/10/2019    EUR     3.40
Alno AG                    8.00    3/21/2019     EUR     37.00
Belfius Bank SA/NV         4.61                  EUR     59.77
Banca Monte dei Paschi di S0.67    1/15/2018     EUR     31.35
Novo Banco SA              3.50    1/23/2043     EUR     62.16
Intelsat Luxembourg SA     12.50   11/15/2024    USD     68.47
Norske Skogindustrier ASA  7.13    10/15/2033    USD     14.57
Barclays Bank PLC          1.94    9/30/2031     USD     68.50
Tonon Luxembourg SA        9.25    1/24/2020     USD     11.13
3W Power SA                8.00    8/29/2019     EUR     40.00
Barclays Bank PLC          1.70    11/29/2030    USD     65.25
Novo Banco SA              3.50    2/19/2043     EUR     62.19
Lloyds Bank PLC            2.75    12/27/2028    USD     76.00
Novo Banco SA              5.00    2/24/2022     EUR     74.65
Smart Solutions GmbH       8.00    12/3/2018     EUR     38.63
Banco Espirito Santo SA    2.32                  EUR     0.26
Banca Monte dei Paschi di S2.79    10/31/2018    EUR     31.05
NIBC Bank NV               0.91                  EUR     70.13
Privatbank CJSC Via UK SPV 10.88   2/28/2018     USD     20.42
Dexia Credit Local SA      1.40                  EUR     7.81
Cooperatieve Rabobank UA   0.50    11/26/2021    ZAR     69.59
OP Corporate Bank plc      0.84                  EUR     73.18
Espirito Santo Financial Gr6.88    10/21/2019    EUR     0.08
Province of Milan Italy    0.03    12/22/2033    EUR     69.63
Ideal Standard Internationa11.75   5/1/2018      EUR     4.86
Dexia Kommunalbank Deutschl5.63    12/31/2017    EUR     63.54
Banca Popolare di Vicenza  8.50    12/28/2018    EUR
German Pellets GmbH        7.25    11/27/2019    EUR     0.81
City of Kiev Ukraine Via CS8.00    11/6/2015     USD     62.38
Afren PLC                  11.50   2/1/2016      USD     0.15
Barclays Bank PLC          0.66    3/21/2033     USD     59.50
Stichting Afwikkeling Onder6.25    10/26/2020    EUR     4.13
Scandinavian Airlines Syste0.63                  CHF     24.32
Lehman Brothers UK Capital 5.13                  EUR     0.28
GEWA 5 to 1 GmbH & Co KG   6.50    3/24/2018     EUR     31.38
World Wide Supply AS       7.75    5/26/2017     USD     15.75
Sidetur Finance BV         10.00   4/20/2016     USD     3.85
Orient Express Bank PJSC vi12.00   5/29/2019     USD     55.38
Banca Carige SpA           1.67    12/29/2018    EUR     40.60
VistaJet Malta Finance PLC 7.75    6/1/2020      USD     73.90
Alpine Holding GmbH        6.00    5/22/2017     EUR     0.40
Agrokor dd                 9.88    5/1/2019      EUR     15.26
NTRP Via Interpipe Ltd     10.25   8/2/2017      USD     25.17
Decipher Production Ltd    12.50   9/27/2018     USD     1.20
Novo Banco SA              3.50    3/18/2043     EUR     62.14
Barclays Bank PLC          2.94    8/28/2029     USD     78.00
Bank Nadra via NDR Finance 8.25    7/31/2018     USD     0.31
Brighthouse Group PLC      7.88    5/15/2018     GBP     66.38
New World Resources NV     4.00    10/7/2020     EUR     0.09
TradeDoubler AB            6.75    12/20/2018    SEK     70.00
Action SA                  3.21    7/4/2017      PLN     89.12
Air Berlin Finance BV      1.50    4/11/2027     EUR     50.00
Touax SA                   6.00    7/10/2020     EUR     16.91
KTG Energie AG             7.25    9/28/2018     EUR     1.41
Wild Bunch AG              8.00    3/23/2019     EUR     50.00
Tikehau Capital SCA        1.63    1/1/2022      EUR     64.70
Mriya Agro Holding PLC     10.95   3/30/2016     USD     6.31
Oceanteam ASA              12.40   10/24/2017    USD     40.00
SeaBird Exploration Finance6.00    3/3/2018      USD     22.63
Phones4u Finance PLC       9.50    4/1/2018      GBP     73.13
UniCredit Bank Austria AG  0.17    12/31/2031    EUR     66.98
Novo Banco SA              3.00    6/21/2022     USD     70.81
Dexia SA                   1.45                  EUR     7.88
Royal Bank of Scotland PLC/1.85    11/16/2030    USD     69.98
Oi Brasil Holdings Cooperat5.75    2/10/2022     USD     32.38
ESFIL-Espirito Santo Financ5.25    6/12/2015     EUR     0.31
Lloyds Bank PLC            0.24    4/26/2033     USD     56.30
More & More AG             8.13    6/11/2018     EUR     39.25
Sequa Petroleum NV         5.00    4/29/2020     USD     68.25
Manchester Building Society6.75                  GBP     17.50
Novo Banco SA              5.00    3/15/2022     EUR     74.57
Fred Olsen Energy ASA      3.89    2/28/2019     NOK     51.00
GNB - Cia de Seguros de Vid3.17                  EUR     42.88
GNB - Cia de Seguros de Vid1.87    12/19/2022    EUR     55.00
Norske Skog Holding AS     8.00    2/24/2023     USD     21.75
Espirito Santo Financial Gr3.13    12/2/2018     EUR     0.31
Deutsche Bank AG/London    0.34    3/15/2033     USD     59.25
Lloyds Bank PLC            2.45    11/27/2033    USD     70.38
Bank Nederlandse Gemeenten 0.50    6/7/2022      ZAR     65.78
Havila Shipping ASA        4.82    11/7/2020     NOK     47.38
Phosphorus Holdco PLC      10.00   4/1/2019      GBP     1.28
Praktiker AG               5.88    2/10/2016     EUR     0.20
Pescanova SA               6.75    3/5/2015      EUR     3.52
OGX Austria GmbH           8.38    4/1/2022      USD     0.00
Mobylife Holding A/S       7.25    5/23/2020     SEK     53.00
New Look Secured Issuer PLC4.50    7/1/2022      EUR     71.68
Barclays Bank PLC          2.72    7/28/2031     USD     67.74
Pacific Drilling SA        5.38    6/1/2020      USD     47.50
Virgolino de Oliveira Finan11.75   2/9/2022      USD     7.04
Hellas Telecommunications L8.50    10/15/2013    EUR     0.77
Enterprise Holdings LTD    7.00    3/30/2020     EUR     2.70
Steilmann SE               7.00    9/23/2018     EUR     2.35
UniCredit Bank Austria AG  0.19    8/20/2033     EUR     64.64
Orco Property Group SA     7.00    11/7/2019     EUR     66.75
Sairgroup Finance BV       4.38    6/8/2006      EUR     11.50
CGG SA                     6.50    6/1/2021      USD     48.31
Kaupthing ehf              7.63    2/28/2015     USD     17.63
Espirito Santo Financial Gr9.75    12/19/2025    EUR     1.22
Cirio Holding Luxembourg SA6.25    2/16/2004     EUR     1.44
Etablissements Maurel et Pr1.63    7/1/2019      EUR     16.55
Banco Espirito Santo SA    6.88    7/15/2016     EUR     28.88
CBo Territoria             6.00    1/1/2020      EUR     4.06
Offshore Drilling Holding S8.38    9/20/2020     USD     43.25
Koninklijke Luchtvaart Maat0.75                  CHF     38.10
Mox Telecom AG             7.25    11/2/2017     EUR     3.29
Frey                       6.00    11/15/2022    EUR     23.50
Barclays Bank PLC          1.94    9/30/2031     USD     68.60
Corporate Commercial Bank A8.25    8/8/2014      USD     0.94
Havila Shipping ASA        5.43    11/7/2020     NOK     69.50
Vseukrainsky Aktsinerny Ban10.90   6/14/2019     USD     0.73
LBI HF                     6.10    8/25/2011     USD     8.50
Royal Bank of Scotland PLC/1.94    12/30/2030    USD     71.75
KTG Agrar SE               7.25    10/15/2019    EUR     2.21
Assystem                   4.50                  EUR     34.26
German Pellets GmbH        7.25    7/9/2018      EUR     1.34
KPNQwest NV                10.00   3/15/2012     EUR     0.48
Vneshprombank Ltd via VPB F9.00    11/14/2016    USD     0.49
ADLER Real Estate AG       6.00    6/30/2017     EUR     9.00
BOA Offshore AS            7.64    12/18/2018    NOK     25.13
HSBC France SA             1.03                  EUR     69.00
Hellenic Republic Governmen2.09    7/25/2057     EUR     40.13
Afren PLC                  6.63    12/9/2020     USD     0.00
Barclays Bank PLC          2.59    2/28/2034     USD     70.10
Golden Energy Offshore Serv5.00    12/31/2017    NOK     40.25
3W Power SA                5.50    11/11/2020    EUR     30.00
Barclays Bank PLC          2.76    7/31/2034     USD     73.00
Agrokor dd                 9.13    2/1/2020      EUR     14.63
EDOB Abwicklungs AG        7.50    4/1/2012      EUR     0.56
Paragon Offshore PLC       7.25    8/15/2024     USD     20.75
Barclays Bank PLC          2.85    1/27/2031     USD     67.38
Lloyds Bank PLC            1.84    7/29/2033     USD     70.00
IT Holding Finance SA      9.88    11/15/2012    EUR     1.63
Petrol AD                  5.50    1/26/2022     EUR     28.63
BNP Paribas SA             0.38    4/30/2033     USD     56.85
Lehman Brothers UK Capital 6.90                  USD     0.97
Barclays Bank PLC          3.87    4/16/2029     USD     66.88
Sazka AS                   9.00    7/12/2021     EUR     0.26
JZ Capital Partners Ltd    6.00    7/30/2021     GBP     11.30
Belfius Bank SA/NV         1.62                  FRF     69.75
Barclays Bank PLC          1.33    6/17/2033     USD     67.65
Lehman Brothers Treasury Co6.00    2/15/2035     EUR     8.75
Barclays Bank PLC          1.81    7/28/2034     USD     65.65
Cirio Finanziaria SpA      8.00    12/21/2005    EUR     0.41
Portugal Telecom Internatio5.24    11/6/2017     EUR     33.88
Banca Popolare di Vicenza  9.50    10/2/2025     EUR     3.96
Cirio Finance Luxembourg SA7.50    11/3/2002     EUR     4.49
Stichting Afwikkeling Onder11.25                 EUR     0.54
Cirio Del Monte NV         7.75    3/14/2005     EUR     1.94
Teksid Aluminum Luxembourg 11.38   7/15/2011     EUR     0.40
Belfius Bank SA/NV         5.35                  EUR     64.89
Veneto Banca SpA           6.94    5/15/2025     EUR     1.25
CGG SA                     6.88    1/15/2022     USD     42.13
Far Eastern Shipping Co PLC12.25   11/28/2017    RUB     60.00
Barclays Bank PLC          2.96    9/29/2034     USD     73.90
International Industrial Ba11.00   2/19/2013     USD     0.33
Kommunalbanken AS          0.50    5/27/2022     ZAR     67.18
OGX Austria GmbH           8.50    6/1/2018      USD     0.03 AG             7.75    10/2/2017     EUR     0.05
Finmek International SA    7.00    12/3/2004     EUR     5.25
Santander Finance Capital S2.00                  EUR     60.11
UniCredit Bank Austria AG  0.15    12/27/2031    EUR     66.76
Waste Italia SpA           10.50   11/15/2019    EUR     15.00
Abanka Vipa DD Via Afinance1.57                  EUR     1.57
Tonon Luxembourg SA        10.50   5/14/2024     USD     40.00
AXA Bank Europe SA         4.60                  EUR     73.29
Windreich GmbH             6.50    3/1/2015      EUR     11.00
Windreich GmbH             6.50    7/15/2016     EUR     11.00
Breeze Finance SA          6.71    4/19/2027     EUR     29.05
Eniro AB                   6.00    4/14/2020     SEK     13.80
Etablissements Maurel et Pr2.75    7/1/2021      EUR     10.72
Barclays Bank PLC          2.31    12/23/2033    USD     71.75
CGG SA                     5.88    5/15/2020     EUR     40.25
Grupo Isolux Corsan SA     0.25    12/30/2018    EUR     4.29
SAG Solarstrom AG          6.25    12/14/2015    EUR     33.63
Rena GmbH                  8.25    7/11/2018     EUR     9.38
QGOG Constellation SA      6.25    11/9/2019     USD     70.11
Uppfinnaren 1 AB           10.00                 SEK     63.63
Laurel GmbH                7.13    11/16/2017    EUR     4.77
Lehman Brothers Treasury Co6.00    11/2/2035     EUR     8.75
Far East Capital Ltd SA    8.00    5/2/2018      USD     70.77
KPNQwest NV                7.13    6/1/2009      EUR     0.53
Rudolf Woehrl AG           6.50    2/12/2018     EUR     15.10
German Pellets GmbH        7.25    4/1/2016      EUR     1.03
Banco Espirito Santo SA    6.90    6/28/2024     EUR     27.75
Cooperatieve Rabobank UA   0.50    7/30/2043     MXN     12.62
Del Monte Finance Luxembour6.63    5/24/2006     EUR     5.25
A-TEC Industries AG        8.75    10/27/2014    EUR     2.00
EFG International AG       0.97                  EUR     68.00
OAS Investments GmbH       8.25    10/19/2019    USD     3.94
RENE LEZARD Mode GmbH      7.25    11/25/2017    EUR     8.25
Bulgaria Steel Finance BV  12.00   5/4/2013      EUR     2.46
Geotech Seismic Services PJ12.75   10/16/2019    RUB     69.30
Manchester Building Society8.00                  GBP     25.25
Steilmann SE               6.75    6/27/2017     EUR     4.72
International Finance Facil0.50    6/24/2024     ZAR     53.63
Gebr Sanders GmbH & Co KG  8.75    10/22/2018    EUR     27.88
Lehman Brothers Treasury Co7.25    10/5/2035     EUR     9.63
Barclays Bank PLC          2.42    2/25/2031     USD     67.75
Oceanic Champion AS        8.00    2/20/2020     USD     70.76
Veneto Banca SpA           1.67    5/15/2019     EUR     36.38
Region of Abruzzo Italy    0.13    11/7/2036     EUR     61.29
PA Resources AB            3.00    12/27/2017    NOK     0.10
Barclays Bank PLC          2.28    8/31/2031     USD     65.94
Deutsche Bank AG/London    3.19    10/31/2034    USD     67.50
DOF ASA                    7.85    9/12/2019     NOK     40.00
A-TEC Industries AG        2.75    5/10/2014     EUR     2.00
Barclays Bank PLC          2.62    12/30/2030    USD     64.00
Algeco Scotsman Global Fina10.75   10/15/2019    USD     74.64
Banca Popolare di Vicenza  5.20    3/28/2024     EUR     70.78
Banco Comercial Portugues S5.00                  EUR     60.00
Intelsat Luxembourg SA     12.50   11/15/2024    USD     68.47
CRC Breeze Finance SA      6.11    5/8/2026      EUR     55.13
Barclays Bank PLC          2.57    3/21/2031     USD     70.13
Barclays Bank PLC          0.40    5/31/2033     USD     54.50
Societe Generale SA        0.57    2/28/2033     USD     69.42
IKB Deutsche Industriebank 4.70    8/1/2017      EUR     32.00
Golden Gate AG             6.50    10/11/2014    EUR     46.10
Lehman Brothers Treasury Co5.10    5/8/2017      HKD     9.63
PA Resources AB            13.50   3/3/2016      SEK     0.10
Royal Bank of Scotland PLC/1.50    12/13/2028    USD     72.31
KPNQwest NV                8.13    6/1/2009      USD     0.50
Afren PLC                  10.25   4/8/2019      USD     0.01
Barclays Bank PLC          2.62    12/30/2030    USD     67.00
Lloyds Bank PLC            2.70    10/25/2033    USD     72.50
Electromagnetic Geoservices6.86    6/27/2019     NOK     70.33
Finance and Credit Bank JSC9.25    1/25/2019     USD     0.55
Municipality Finance PLC   0.50    5/8/2029      AUD     62.09
KPNQwest NV                8.88    2/1/2008      EUR     0.61
Tonon Luxembourg SA        9.25    1/24/2020     USD     11.13
Depfa Funding IV LP        1.54                  EUR     57.33
Virgolino de Oliveira Finan10.88   1/13/2020     USD     28.50
OGX Austria GmbH           8.38    4/1/2022      USD     0.03
Bibby Offshore Services PLC7.50    6/15/2021     GBP     39.00
Banca Meridiana            1.25    11/12/2017    EUR     21.00
SAir Group                 0.13    7/7/2005      CHF     13.13
Karlie Group GmbH          5.00    6/25/2021     EUR     3.20
Sairgroup Finance BV       6.63    10/6/2010     EUR     10.75
Barclays Bank PLC          1.70    4/25/2034     USD     71.49
Northland Resources AB     4.00    10/15/2020    USD     0.19
Nationwide Building Society0.82                  GBP     72.00
Russian Railways JSC       8.70    5/18/2032     RUB     61.21
Alpha Bank AE              2.50    6/20/2022     EUR     37.73
Governo Portugues Consolida3.00                  EUR     71.40
CNP Assurances             2.00                  EUR     74.49
Banca Carige SpA           5.70    9/17/2020     EUR     50.02
Holdikks SAS               6.75    7/15/2021     EUR     56.31
Lloyds Bank PLC            2.39    7/5/2033      USD     72.26
Alpine Holding GmbH        5.25    6/10/2016     EUR     0.31
Barclays Bank PLC          1.84    11/1/2031     USD     68.00
Cooperatieve Rabobank UA   0.50    10/30/2043    MXN     12.39
Afren PLC                  11.50   2/1/2016      USD     0.17
Espirito Santo Financial Po5.13    5/30/2016     EUR     0.90
Talvivaara Mining Co PLC   9.75    4/4/2017      EUR     0.97
Svensk Exportkredit AB     0.50    4/24/2029     AUD     62.65
Societe Generale SA        11.50   10/3/2017     USD     48.10
Lehman Brothers Treasury Co5.00    9/22/2014     EUR     8.75
A-TEC Industries AG        5.75    11/2/2010     EUR     2.00
Enterprise Holdings LTD    7.00    9/26/2017     EUR     2.46
Rosneft Oil Co PJSC        10.65   12/3/2020     RUB     74.21
Deutsche Bank AG/London    0.18    1/31/2033     USD     55.35
Stichting Afwikkeling Onder2.42                  EUR     0.54
Solon SE                   1.38    12/6/2012     EUR     0.33
Lehman Brothers Treasury Co8.25    3/16/2035     EUR     8.75
Autonomous Community of Cat1.06    9/8/2024      EUR     74.07
Espirito Santo Financial Gr5.05    11/15/2025    EUR     0.71
Kaupthing ehf              5.75    10/4/2011     USD     17.63
Dannemora Mineral AB       11.75   3/22/2016     USD     0.40
Santander Finance Capital S2.00                  EUR     62.93
Svensk Exportkredit AB     0.50    8/29/2029     AUD     63.73
Bank Nederlandse Gemeenten 0.50    7/12/2022     ZAR     65.38
Orient Express Bank PJSC Vi8.17    6/27/2017     USD     50.00
Mifa Mitteldeutsche Fahrrad7.50    8/12/2018     EUR     2.82
Banco Espirito Santo SA    10.00   12/6/2021     EUR     0.73
Heta Asset Resolution AG   0.43    12/31/2023    EUR     39.88
Russian Railways JSC       8.20    3/21/2028     RUB     63.87
Svensk Exportkredit AB     0.50    6/29/2029     AUD     62.24
Rosneft Oil Co PJSC        11.40   12/3/2020     RUB     63.87
Hypo Tirol Bank AG         0.12    7/23/2026     EUR     64.21
Anglian Water Services Fina0.87    1/26/2057     GBP     72.72
Rosbank PJSC               9.80    12/20/2026    RUB     62.63
Tatfondbank OAO via TFB Fin8.50    11/12/2019    USD     0.18
Rosneft Oil Co PJSC        10.90   11/28/2024    RUB     64.03
Cooperatieve Rabobank UA   0.50    12/29/2027    MXN     43.36
Northland Resources AB     4.00    10/15/2020    NOK     0.23
APP International Finance C11.75   10/1/2005     USD     0.56
Gazprombank JSC            9.87    2/19/2021     RUB     63.87
IVG Immobilien AG          5.50                  EUR     1.08
BLT Finance BV             12.00   2/10/2015     USD     10.50
UBS AG/London              16.00   1/19/2018     USD     58.50
Banca Popolare di Vicenza  4.97    4/20/2027     EUR     61.13
wige MEDIA AG              6.00    3/17/2019     EUR     3.10
Hamburgische Landesbank-Gir0.05    1/22/2041     EUR     62.37
Rem Offshore ASA           5.00    12/8/2024     NOK     34.36
SAG Solarstrom AG          7.50    7/10/2017     EUR     33.63
Novo Banco SA              3.00    12/16/2021    EUR     64.46
DEMIRE Real Estate AG      6.00    12/30/2018    EUR     3.70
SiC Processing GmbH        7.13    3/1/2016      EUR     2.84
WPE International Cooperati10.38   9/30/2020     USD     15.88
Municipality Finance PLC   0.50    4/26/2022     ZAR     66.44
Steilmann SE               7.00    3/9/2017      EUR     2.35
Autonomous Community of Cat2.97    9/8/2039      JPY     64.40
Sberbank of Russia PJSC    0.01    4/26/2019     RUB     93.50
Alpine Holding GmbH        5.25    7/1/2015      EUR     0.31
Societe Generale SA        0.30    6/28/2033     USD     67.64
Minaya Capital AG          7.00    8/1/2018      EUR     65.00
Governo Portugues Consolida2.75                  EUR     63.20
Svensk Exportkredit AB     0.50    6/28/2022     ZAR     65.69
Virgolino de Oliveira Finan10.50   1/28/2018     USD     7.25
Accentro Real Estate AG    6.25    3/27/2019     EUR     10.00
Svensk Exportkredit AB     0.50    1/31/2022     ZAR     68.76
Santander Finance Capital S2.00                  USD     56.39
Hamburgische Landesbank-Gir0.05    10/30/2040    EUR     64.42
Eirles Two DAC             1.69    9/30/2046     USD     11.88
Lehman Brothers Treasury Co5.00    2/16/2015     EUR     8.75
Barclays Bank PLC          3.18    3/27/2029     USD     69.50
Paragon Offshore PLC       6.75    7/15/2022     USD     23.00
Lehman Brothers Treasury Co2.88    3/14/2013     CHF     8.75
Talvivaara Mining Co PLC   4.00    12/16/2015    EUR     0.27
SAir Group                 5.50    7/23/2003     CHF     13.99
Minicentrales Dos SA       6.45    4/14/2028     EUR     67.25
SAir Group                 4.25    2/2/2007      CHF     14.00
TES Finance PLC            6.75    7/15/2020     GBP     72.41
La Veggia Finance SPA      7.13    11/14/2004    EUR     0.39
Gazprom PJSC               5.10    10/21/2043    RUB     60.06
International Finance Facil0.50    6/29/2027     ZAR     39.10
Aralco Finance SA          10.13   5/7/2020      USD     2.10
MS Deutschland Beteiligungs6.88    12/18/2017    EUR     5.81
Stroika Finance Ltd Via Eme9.90    6/25/2019     RUB     12.00
Barclays Bank PLC          3.84    1/31/2029     USD     67.15
Oi Brasil Holdings Cooperat5.63    6/22/2021     EUR     35.75
Landesbank Hessen-Thueringe0.08    5/3/2041      EUR     71.62
ML 33 Invest AS            7.50                  NOK     68.91
Veneto Banca SpA           2.40    4/7/2020      EUR     75.85
Municipality Finance PLC   0.50    6/19/2024     ZAR     54.91
Elli Investments Ltd       12.25   6/15/2020     GBP     70.00
New World Resources NV     8.00    4/7/2020      EUR     5.13
Heta Asset Resolution AG   0.24    12/31/2023    EUR     39.88
UniCredit Bank Austria AG  0.02    1/25/2031     EUR     69.58
Rusfinans Bank OOO         10.10   6/30/2020     RUB     60.17
HSBC Bank PLC              0.50    6/23/2027     MXN     44.27
Rosbank PJSC               7.50    10/7/2024     RUB     60.13
Lehman Brothers Treasury Co6.65    8/24/2011     AUD     9.63
Montepio Holding SGPS SA   5.00                  EUR     50.20
Marfin Investment Group Hol7.00    7/29/2019     EUR     1.01
AKB Peresvet ZAO           13.50   10/16/2020    RUB     13.00
Petromena ASA              10.85   11/19/2017    USD     0.53
Lehman Brothers Treasury Co4.00    2/16/2017     EUR     8.75
Lloyds Bank PLC            2.70    4/25/2034     USD     67.50
Agroton Public Ltd         6.00    7/14/2019     USD     14.00
Santander Finance Capital S2.00                  USD     56.39
Northland Resources AB     15.00   7/15/2019     USD     0.41
Vorarlberger Landes- und Hy5.87                  EUR     51.28
Kaupthing ehf              6.13    10/4/2016     USD     17.63
New World Resources NV     4.00    10/7/2020     EUR     0.09
Portigon AG                7.46    12/31/2019    EUR     25.00
UkrLandFarming PLC         10.88   3/26/2018     USD     23.75
Banco BPI SA               1.78                  EUR     58.03
Marfin Investment Group Hol6.30    7/29/2020     EUR     1.01
Barclays Bank PLC          4.33    9/27/2028     USD     66.00
Fonciere Volta SA          4.50    7/30/2020     EUR     2.59
Far East Capital Ltd SA    8.75    5/2/2020      USD     71.60
Barclays Bank PLC          1.88    8/15/2033     USD     63.20
Rusfinans Bank OOO         8.90    4/24/2018     RUB     65.07
Rosbank PJSC               9.35    9/29/2025     RUB     60.16
Cooperatieve Rabobank UA   0.50    1/31/2033     MXN     27.07
Espirito Santo Financial Gr5.05    11/15/2025    EUR     0.74
Artea                      6.00    8/4/2019      EUR     15.00
Privatbank CJSC Via UK SPV 10.88   2/28/2018     USD     20.63
UBS AG                     24.10   9/28/2017     EUR     66.50
Veneto Banca SpA           5.41    5/25/2023     EUR     69.26
Agentstvo po Ipotechnomu Zh10.90   11/1/2022     RUB     102.00
Oberbank Hybrid 1 GmbH     0.87                  EUR     47.49
Depfa Funding II LP        6.50                  EUR     57.25
Kaupthing ehf              5.75    10/4/2011     USD     17.63
Landesbank Hessen-Thueringe0.09    4/23/2041     EUR     71.19
ADLER Real Estate AG       6.00    12/27/2018    EUR     13.75
Deutsche Bank AG/London    1.85    8/28/2034     USD     59.17
Virgolino de Oliveira Finan11.75   2/9/2022      USD     7.25
Virgolino de Oliveira Finan10.88   1/13/2020     USD     25.63
Barclays Bank PLC          0.48    4/19/2033     USD     56.00
MegaFon PJSC               9.90    5/29/2026     RUB     62.06
UBS AG                     5.60    3/4/2019      EUR     59.78
Oberoesterreichische Landes0.32    11/6/2030     EUR     69.77
UBS AG/London              1.29    5/29/2020     USD     9.75
Mriya Agro Holding PLC     9.45    4/19/2018     USD     4.00
Lehman Brothers Treasury Co7.00    6/6/2017      EUR     2.85
Societe Generale SA        0.28    6/28/2033     USD     74.13
Stichting Afwikkeling Onder6.63    5/14/2018     EUR     2.95
City of Moscow Russia      7.50    5/18/2021     RUB     60.01
Moscow United Electric Grid11.00   9/12/2024     RUB     62.00
International Industrial Ba9.00    7/6/2011      EUR     0.59
Lehman Brothers Treasury Co7.00    5/17/2035     EUR     8.75
Alpha Bank AE              2.50    6/20/2022     EUR     37.74
Rosneft Oil Co PJSC        14.90   12/3/2020     RUB     65.01
Kaupthing ehf              6.13    10/4/2016     USD     17.63
TES Finance PLC            5.29    7/15/2020     GBP     68.92
Norske Skogindustrier ASA  2.00    12/30/2115    EUR     4.56
Kaupthing ehf              5.25    7/18/2017     BGN     17.63
UniCredit Bank Austria AG  0.06    1/24/2031     EUR     67.49
Afren PLC                  10.25   4/8/2019      USD     0.01
United Engine Corp JSC     10.75   6/10/2026     RUB     110.00
Lloyds Bank PLC            2.52    7/26/2033     USD     67.38
BLT Finance BV             7.50    5/15/2014     USD     2.31
Rosneft Oil Co PJSC        9.85    1/18/2021     RUB     63.90
Vnesheconombank            9.76    12/17/2021    RUB     73.86
Kaupthing ehf              9.00                  USD     0.12
SAir Group                 6.25    4/12/2005     CHF     14.00
Veneto Banca SpA           5.15    1/25/2023     EUR     69.46
ENEL RUSSIA PJSC           12.10   5/22/2025     RUB     62.34
Vimpel-Communications PJSC 11.90   10/3/2025     RUB     63.06
WGF Westfaelische Grundbesi6.35    8/1/2017      EUR     0.51
Afren PLC                  6.63    12/9/2020     USD     0.05
United Aircraft Corp PJSC  8.00    3/17/2020     RUB     60.06
Veneto Banca SpA           2.40    3/31/2020     EUR     75.99
ING Bank Eurasia JSC       10.45   3/30/2021     RUB     101.32
Activa Resources AG        8.00    11/15/2017    EUR     17.90
Leonteq Securities AG      15.60   12/19/2017    CHF     65.90
Orient Express Bank PJSC   13.60   8/9/2018      RUB     65.00
Johnston Press Bond Plc    8.63    6/1/2019      GBP     63.88
Kreditanstalt fuer Wiederau0.25    10/6/2036     CAD     40.87
Lehman Brothers Treasury Co5.55    3/12/2015     EUR     2.85
Veneto Banca SpA           2.40    4/2/2020      EUR     75.95
Marine Subsea AS           9.00    12/16/2019    USD     0.44
German Pellets GmbH        8.00                  EUR     0.13
Lehman Brothers Treasury Co4.20    12/3/2008     HKD     9.63
Rena GmbH                  7.00    12/15/2015    EUR     9.38
SUEK Finance               12.50   8/19/2025     RUB     100.00
Kommunekredit              0.50    7/30/2027     TRY     34.46
Cattles Ltd                7.13    7/5/2017      GBP     0.27
City of Kiev Ukraine Via CS8.00    11/6/2015     USD     62.38
Moscow United Electric Grid10.00   5/26/2026     RUB     62.00
Synergy PJSC               9.75    5/28/2020     RUB     61.01
Atomenergoprom JSC         11.10   12/12/2025    RUB     70.01
Pierer Industrie AG        5.75                  EUR     63.71
Lehman Brothers Treasury Co5.00    2/27/2014     EUR     8.75
Rosneft Oil Co PJSC        10.40   12/3/2020     RUB     63.87
Veneto Banca SpA           2.40    4/1/2020      EUR     75.97
Agentstvo po Ipotechnomu Zh10.30   7/15/2023     RUB     73.86
Phones4u Finance PLC       9.50    4/1/2018      GBP     73.13
Muehl Product & Service AG 6.75    3/10/2005     DEM     2.35
Lehman Brothers Treasury Co3.50    6/20/2011     EUR     2.85
Lehman Brothers Treasury Co3.40    9/21/2009     HKD     2.85
SAir Group                 5.13    3/1/2003      CHF     15.00
Polski Bank Spoldzielczy w 4.81    6/22/2021     PLN     54.00
Sibur Holding PAO          9.65    9/16/2026     RUB     60.06
Bank Nederlandse Gemeenten 0.50    8/15/2022     ZAR     64.52
Banco Espirito Santo SA    1.22    5/27/2018     EUR     0.73
BKS Hybrid alpha GmbH      7.35                  EUR     60.82
Lehman Brothers Treasury Co7.00    11/26/2013    EUR     8.75
Svensk Exportkredit AB     0.50    3/15/2022     ZAR     67.16
Rossiysky Capital OJSC     10.50   1/20/2020     RUB     98.00
Bank Intesa AO             8.25    6/10/2018     RUB     60.17
Bilt Paper BV              9.64                  USD     30.75
Salvator Grundbesitz-AG    9.50    12/31/2021    EUR     9.80
Lenenergo PJSC             9.80    7/9/2025      RUB     60.01
EFG International Finance G2.10    3/23/2018     EUR     26.59
Bulgaria Steel Finance BV  12.00   5/4/2013      EUR     2.46
Lehman Brothers Treasury Co6.00    9/20/2011     EUR     2.85
Northland Resources AB     12.25   3/26/2016     USD     0.41
UmweltBank AG              2.85                  EUR     61.76
SAir Group                 2.13    11/4/2004     CHF     14.00
Lehman Brothers Treasury Co1.46    2/19/2012     JPY     8.75
Minicentrales Dos SA       4.81    11/29/2034    EUR     60.25
Nutritek International Corp8.75    12/11/2008    USD     2.00
Vnesheconombank            8.35    11/24/2020    RUB     73.86
EFG International Finance G6.00    11/30/2017    EUR     12.21
Municipality Finance PLC   0.50    7/30/2029     AUD     70.86
Russian Post FGUP          5.07    11/17/2023    RUB     70.01
Northland Resources AB     15.00   7/15/2019     USD     0.41
Delta Credit Bank JSC      9.65    10/1/2024     RUB     102.90
Delta Credit Bank JSC      10.55   6/5/2024      RUB     60.07
Main Road OJSC             4.10    11/22/2028    RUB     73.06
Rossiysky Capital OJSC     13.00   11/22/2019    RUB     70.01
Metalloinvest Holding Co OA0.01    3/7/2022      RUB     50.02
UniCredit Bank Austria AG  0.16    10/31/2031    EUR     67.31
Evrofinansy-Nedvizhimost OO11.00   10/23/2020    RUB     100.00
EFG International Finance G8.99    9/4/2017      EUR     2.15
Lehman Brothers Treasury Co5.00    5/2/2022      EUR     2.85
Svensk Exportkredit AB     0.50    3/28/2029     AUD     71.21
AKB Peresvet ZAO           13.25   4/25/2018     RUB     23.49
LBI HF                     7.43                  USD     0.00
Heliocentris Energy Solutio4.00    1/16/2019     EUR     18.13
Credit Suisse AG/London    8.00    11/29/2019    USD     6.05
HSBC Bank PLC              0.50    12/29/2026    AUD     68.20
BNP Paribas SA             0.50    5/6/2021      MXN     73.42
Bank Nederlandse Gemeenten 0.50    5/12/2021     ZAR     73.22
Svensk Exportkredit AB     0.50    6/20/2029     AUD     70.65
Lehman Brothers Treasury Co4.00    4/13/2011     CHF     2.85
Lehman Brothers Treasury Co4.60    10/11/2017    ILS     8.75
Lehman Brothers Treasury Co1.28    11/6/2010     JPY     8.75
SpareBank 1 SR-Bank ASA    4.00    12/21/2030    EUR     75.36
Finans-Avia OOO            0.01    7/31/2027     RUB     21.30
Ideal Standard Internationa11.75   5/1/2018      EUR     4.86
Russian Post FGUP          2.75    12/6/2023     RUB     60.06
Lehman Brothers Treasury Co6.00    3/14/2011     EUR     8.75
EFG International Finance G7.20    2/25/2019     EUR     12.88
BLT Finance BV             7.50    5/15/2014     USD     2.31
Lehman Brothers Treasury Co1.68    3/5/2015      EUR     2.85
SAir Group                 6.25    10/27/2002    CHF     14.00
Banca del Monte di Lucca-Sp2.48    6/29/2020     EUR     42.02
Rusfinans Bank OOO         10.90   10/2/2018     RUB     60.56
Lehman Brothers Treasury Co9.25    6/20/2012     USD     2.85
Lehman Brothers Treasury Co3.86    9/21/2011     SGD     9.63
Region of Molise Italy     0.13    12/15/2033    EUR     66.57
HPI AG                     3.50                  EUR     6.00
Royal Bank of Scotland PLC/1.84    8/26/2031     USD     65.60
Societe Generale SA        0.50    5/30/2023     MXN     62.85
Podkarpacki Bank Spoldzielc5.81    7/2/2020      PLN     70.04
SAir Group                 2.75    7/30/2004     CHF     13.88
Delta Credit Bank JSC      12.40   10/20/2025    RUB     63.77
Loan Portfolio Securitizati8.50    12/14/2018    USD     11.97
BELLAGIO Holding GmbH      2.18                  EUR     47.58
Lehman Brothers Treasury Co7.00    9/20/2011     USD     2.85
Kommunekredit              0.50    5/11/2029     CAD     75.06
Lehman Brothers Treasury Co5.00    5/12/2011     CHF     2.85
Oberoesterreichische Landes0.30    4/25/2042     EUR     54.76
BNP Paribas SA             0.50    9/29/2029     AUD     62.36
Leonteq Securities AG/Guern29.61   10/26/2017    EUR     29.86
Bank Nederlandse Gemeenten 0.50    9/20/2022     ZAR     63.87
BNP Paribas SA             0.50    7/20/2021     BRL     65.96
Atari SA                   7.50    2/17/2020     EUR     0.41
Transneft PJSC             0.01    10/9/2024     RUB     60.06
Polski Bank Spoldzielczy w 4.81    6/18/2020     PLN     51.00
Transneft PJSC             8.00    7/3/2025      RUB     62.00
Lehman Brothers Treasury Co11.00   12/20/2017    AUD     2.85
Barclays Bank PLC          0.55    3/28/2033     USD     59.70
Bank Nederlandse Gemeenten 0.50    6/22/2021     ZAR     71.48
HSBC Bank PLC              0.50    1/29/2027     NZD     69.11
UVS-Finance OOO            14.50   9/10/2019     RUB     63.91
Bank Nederlandse Gemeenten 0.50    9/20/2022     MXN     68.47
Atari SA                   0.10    4/1/2020      EUR     5.01
VEB-Leasing OAO            12.50   9/1/2025      RUB     62.00
Bank Nederlandse Gemeenten 0.50    8/9/2022      MXN     69.09
KPNQwest NV                8.88    2/1/2008      EUR     0.61
Rosintrud OOO              10.50   2/5/2021      RUB     60.00
Agentstvo po Ipotechnomu Zh9.80    7/15/2024     RUB     60.00
Freight One JSC            12.00   10/15/2025    RUB     100.00
Deutsche Bank AG/London    0.50    10/5/2021     IDR     67.68
Lehman Brothers Treasury Co5.00    8/16/2017     EUR     8.75
Solarwatt GmbH             7.00    11/1/2015     EUR     14.50
ECM Real Estate Investments5.00    10/9/2011     EUR     10.38
Kaupthing ehf              7.50    2/1/2045      USD     0.33
Hellas Telecommunications L8.50    10/15/2013    EUR     0.77
Barclays Bank PLC          7.12    10/4/2017     USD     37.01
Barclays Bank PLC          0.61    4/9/2028      USD     67.10
Raiffeisen Versicherung AG 2.02                  EUR     31.84
Sidetur Finance BV         10.00   4/20/2016     USD     3.85
Credit Suisse AG           0.50    12/16/2025    BRL     49.18
Societe Generale SA        1.60    1/9/2020      GBP     1.11
Lehman Brothers Treasury Co7.00    2/15/2010     CHF     2.85
Vegarshei Sparebank        4.99                  NOK     61.50
Barclays Bank PLC          0.50    4/24/2023     MXN     60.71
Lehman Brothers Treasury Co10.00   5/22/2009     USD     2.85
Podkarpacki Bank Spoldzielc5.01    10/6/2021     PLN     69.00
Rosselkhozbank JSC         12.87   12/21/2021    RUB     60.06
Agentstvo po Ipotechnomu Zh11.50   9/25/2018     RUB     70.00
Bank ZENIT PJSC            8.50    6/14/2024     RUB     60.07
LBI HF                     2.25    2/14/2011     CHF     7.13
Lehman Brothers Treasury Co8.00    3/19/2012     USD     2.85
LBI HF                     6.10    8/25/2011     USD     8.50
Municipiul Timisoara       0.80    5/15/2026     RON     68.00
Rinol AG                   5.50    10/15/2006    DEM     0.00
HSBC Bank PLC              0.50    6/10/2021     BRL     68.32
Freight One JSC            11.80   10/23/2025    RUB     65.11
Astana Finance BV          9.00    11/16/2011    USD     16.88
Lehman Brothers Treasury Co5.00    3/18/2015     EUR     8.75
Credit Agricole Corporate &0.50    3/6/2023      RUB     65.12
National Capital JSC       9.50    7/25/2018     RUB     60.06
Lehman Brothers Treasury Co4.00    7/27/2011     EUR     2.85
Er-Telekom Holding ZAO     10.85   12/1/2021     RUB     60.06
Kaupthing ehf              7.63    2/28/2015     USD     17.63
Russkiy Mezhdunarodnyi Bank12.00   11/14/2021    RUB     65.00
Polski Bank Spoldzielczy w 5.31    9/14/2027     PLN     50.00
Rosneft Oil Co PJSC        9.10    1/18/2021     RUB     63.87
Rostelecom PJSC            8.40    5/20/2025     RUB     60.06
Rossiysky Capital OJSC     10.50   1/16/2020     RUB     70.01
Nuova Banca delle Marche Sp7.75    6/30/2018     EUR     1.24
AKB Peresvet ZAO           13.00   10/7/2017     RUB     22.50
Espirito Santo Financial Po5.63    7/28/2017     EUR     1.04
Rosneft Oil Co PJSC        9.85    1/18/2021     RUB     63.87
Barclays Bank PLC          4.13    10/10/2029    USD     74.57
VEB-Leasing OAO            12.50   8/18/2025     RUB     62.00
Lehman Brothers Treasury Co6.00    10/24/2008    EUR     2.85
Lehman Brothers Treasury Co8.25    12/3/2015     EUR     8.75
Lehman Brothers Treasury Co8.00    2/16/2016     EUR     2.85
Landes-Hypothekenbank Steie0.06    3/7/2043      EUR     52.81
Metalloinvest Holding Co OA0.01    3/10/2022     RUB     60.02
BNP Paribas SA             0.50    11/16/2032    MXN     32.43
Rosneft Oil Co PJSC        9.85    1/18/2021     RUB     63.87
Raiffeisen Schweiz Genossen8.99    7/22/2019     EUR     27.98
Noyabrskaya Pge OOO        8.50    11/10/2020    RUB     60.00
SpareBank 1 Nordvest       3.66    3/11/2099     NOK     61.70
Lehman Brothers Treasury Co7.60    1/31/2013     AUD     2.85
Lehman Brothers Treasury Co10.00   6/17/2009     USD     2.85
Lehman Brothers Treasury Co6.00    3/18/2015     USD     8.75
Agrokompleks OOO           0.10    7/29/2019     RUB     4.65
Municipality Finance PLC   0.50    5/31/2022     ZAR     65.73
IDGC of the North Caucasus 13.00   4/22/2021     RUB     60.00
UniCredit Bank AO          12.00   11/20/2019    RUB     90.00
SG Issuer SA               5.50    4/10/2021     EUR     66.90
Leonteq Securities AG      5.20    8/14/2018     CHF     72.94
Salvator Grundbesitz-AG    9.50                  EUR     19.15
Pongs & Zahn AG            8.50                  EUR     0.11
Penell GmbH Elektrogroshand7.75    6/10/2019     EUR     5.00
AKB Peresvet ZAO           13.50   6/23/2021     RUB     12.49
Eiendomskreditt AS         4.15                  NOK     54.65
Barclays Bank PLC          0.50    1/28/2033     MXN     26.49
Lehman Brothers Treasury Co11.00   6/29/2009     EUR     2.85
Agentstvo po Ipotechnomu Zh15.30   11/1/2029     RUB     115.00
OOO SPV Structural Investme0.01    9/1/2023      RUB     65.24
Barclays Bank PLC          1.00    5/10/2019     JPY     59.42
Fininvest OOO              13.00   11/9/2018     RUB     1.56
UBS AG/London              3.81    10/28/2017    USD     69.05
Podkarpacki Bank Spoldzielc5.81    2/23/2025     PLN     60.00
Vnesheconombank            9.75    8/16/2029     RUB     60.00
Russian Railways JSC       13.90   5/30/2040     RUB
EFG International Finance G7.19    5/6/2019      EUR     13.66
Lehman Brothers Treasury Co0.50    12/20/2017    AUD     2.85
Phosphorus Holdco PLC      10.00   4/1/2019      GBP     1.28
Lloyds Bank PLC            0.50    7/26/2021     BRL     68.19
Lehman Brothers Treasury Co7.59    11/22/2009    MXN     8.75
Mriya Agro Holding PLC     10.95   3/30/2016     USD     6.38
Lehman Brothers Treasury Co4.50    12/30/2010    USD     2.85
Ekotechnika AG             9.75    5/10/2018     EUR     9.50
Araratbank OJSC            7.00    12/2/2017     USD     25.40
AKB Peresvet ZAO           12.75   7/24/2018     RUB     19.74
Lehman Brothers Treasury Co0.50    12/20/2017    AUD     2.85
Banca delle Marche SpA     6.00    5/8/2018      EUR     2.00
Lehman Brothers Treasury Co5.00    10/24/2008    CHF     2.85
Lehman Brothers Treasury Co4.25    3/13/2021     EUR     2.85
Lehman Brothers Treasury Co8.00    5/22/2009     USD     2.85
Agentstvo po Ipotechnomu Zh9.25    10/15/2030    RUB     100.00
MIK OAO                    15.00   2/19/2020     RUB     3.33
Araratbank OJSC            7.25    6/27/2018     USD     26.10
Societe Generale SA        7.00    10/20/2020    USD
COFIDUR SA                 0.10    12/31/2024    EUR     24.25
SUEK Finance               12.50   8/19/2025     RUB     100.00
Rusfinans Bank OOO         10.05   6/10/2019     RUB     61.07
DekaBank Deutsche Girozentr0.01    6/29/2046     EUR     54.79
Lehman Brothers Treasury Co13.50   11/28/2008    USD     2.85
Lehman Brothers Treasury Co14.90   9/15/2008     EUR     2.85
EDOB Abwicklungs AG        7.50    4/1/2012      EUR     0.56
BAWAG PSK Versicherungs AG 1.06                  EUR     54.32
Lehman Brothers Treasury Co7.60    5/21/2013     USD     2.85
AKB Peresvet ZAO           12.50   9/6/2017      RUB     21.55
Svensk Exportkredit AB     0.50    2/22/2022     ZAR     67.48
Leonteq Securities AG      17.00   8/17/2017     CHF     75.50
Rosneft Oil Co PJSC        9.85    1/18/2021     RUB     63.91
Union Technologies Informat0.10    1/1/2020      EUR     4.95
Atomenergoprom JSC         9.33    11/2/2026     RUB     63.87
Podkarpacki Bank Spoldzielc5.11    5/28/2023     PLN     56.00
EFG International Finance G6.48    5/29/2018     EUR     5.94
Societe Generale SA        0.50    7/6/2021      BRL     68.50
HSBC Bank PLC              0.50    4/11/2023     MXN     63.60
Lehman Brothers Treasury Co4.05    9/16/2008     EUR     2.85
Svensk Exportkredit AB     0.50    8/28/2020     TRY     69.92
Lehman Brothers Treasury Co10.00   1/3/2012      BRL     2.85
UniCredit Bank AG          0.37    11/19/2029    EUR     62.57
Lehman Brothers Treasury Co6.00    12/6/2016     USD     2.85
Lehman Brothers Treasury Co5.00    12/6/2011     EUR     2.85
Rusfinans Bank OOO         9.95    8/22/2019     RUB     100.50
Agrokor dd                 9.88    5/1/2019      EUR     15.11
Windreich GmbH             6.25    3/1/2015      EUR     11.00
Communaute Francaise de Bel0.50    6/27/2046     EUR     68.14
HSBC Bank PLC              0.50    4/27/2027     NZD     68.54
HSBC Bank PLC              0.50    2/24/2027     NZD     69.13
City of Siret Romania      2.32    3/1/2028      RON     50.00
Municipiul Timisoara       0.80    5/15/2026     RON     75.00
TGC-1 PJSC                 5.60    2/14/2022     RUB     60.07
ECA                        2.50    1/1/2018      EUR
Exane Finance SA           5.00    12/20/2019    SEK
Credit Suisse AG/London    10.00   6/28/2017     USD     61.35
Landesbank Baden-Wuerttembe4.00    8/25/2017     EUR     64.69
Lehman Brothers Treasury Co1.75    2/7/2010      EUR     2.85
EFG International Finance G12.86   10/30/2017    EUR     2.32
Leonteq Securities AG/Guern5.00    12/27/2019    EUR     69.02
UBS AG                     5.75    12/22/2017    EUR     57.67
Societe Generale SA        8.00    2/14/2022     USD     9.00
Societe Generale SA        0.50    8/4/2021      BRL     68.06
Lehman Brothers Treasury Co7.50    6/15/2017     USD     2.85
Municipality Finance PLC   0.25    6/28/2040     CAD     31.59
Lehman Brothers Treasury Co4.35    8/8/2016      SGD     9.63
Atomenergoprom JSC         9.33    12/3/2026     RUB     63.87
Lehman Brothers Treasury Co4.87    10/8/2013     USD     2.85
Lehman Brothers Treasury Co3.60    3/19/2018     JPY     2.85
Kommunalbanken AS          0.50    12/16/2020    TRY     72.54
HSBC Bank PLC              0.50    12/8/2026     AUD     72.59
Credit Suisse AG/Nassau    7.13    6/26/2017     CHF     66.24
HSBC Trinkaus & Burkhardt A6.50    1/29/2018     EUR     53.41
Eurocent SA                8.50    9/15/2018     PLN     24.01
Center for Cargo Container 9.40    9/16/2021     RUB     74.27
Lehman Brothers Treasury Co11.00   12/19/2011    USD     2.85
Lehman Brothers Treasury Co6.00    2/19/2023     USD     2.85
Lehman Brothers Treasury Co0.50    12/20/2017    AUD     9.63
Lehman Brothers Treasury Co7.00    10/22/2010    EUR     2.85
Lehman Brothers Treasury Co7.06    12/29/2008    EUR     2.85
Credit Suisse AG/London    0.50    1/8/2026      BRL     48.21
ENEL RUSSIA PJSC           12.10   9/28/2018     RUB     70.01
SAir Group                 2.75    7/30/2004     CHF     14.00
Rusfinans Bank OOO         8.75    9/29/2020     RUB     60.16
Raiffeisen Switzerland BV  3.50    8/25/2017     CHF     65.91
Societe Generale SA        1.00    12/22/2017    GBP     0.98
Orient Express Bank PJSC   11.70   7/17/2018     RUB     60.00
Lehman Brothers Treasury Co4.10    6/10/2014     SGD     9.63
Lehman Brothers Treasury Co13.43   1/8/2009      ILS     2.85
Lehman Brothers Treasury Co4.60    11/9/2011     EUR     8.75
Lehman Brothers Treasury Co8.25    2/3/2016      EUR     2.85
Lehman Brothers Treasury Co11.75   3/1/2010      EUR     2.85
IT Holding Finance SA      9.88    11/15/2012    EUR     1.63
Lehman Brothers Treasury Co4.95    10/25/2036    EUR     2.85
Windreich GmbH             6.75    3/1/2015      EUR     11.00
Driver & Bengsch AG        8.50    12/31/2027    EUR     0.00
ENEL RUSSIA PJSC           12.10   5/22/2025     RUB     60.06
Bayerische Landesbank      2.70    6/22/2018     EUR     73.13
Araratbank OJSC            8.00    6/10/2018     USD     25.88
Rosselkhozbank JSC         10.60   7/14/2025     RUB     62.01
Erste Group Bank AG        9.25    6/29/2017     EUR     53.55
Bayerische Landesbank      2.70    7/6/2018      EUR     67.59
Landesbank Baden-Wuerttembe3.40    11/24/2017    EUR     68.34
Western High-Speed Diameter10.44   5/13/2031     RUB     73.87
Lehman Brothers Treasury Co0.25    10/19/2012    CHF     2.85
Lehman Brothers Treasury Co11.00   12/20/2017    AUD     2.85
Lehman Brothers Treasury Co4.05    9/16/2008     EUR     2.85
IKB Deutsche Industriebank 0.66    5/25/2031     EUR     63.19
Agentstvo po Ipotechnomu Zh10.83   2/1/2034      RUB     100.00
UBS AG/London              5.00    8/14/2017     CHF     52.00
VEB-Leasing OAO            8.65    1/16/2024     RUB     62.00
Societe Generale SA        0.50    4/3/2023      RUB     64.96
Cerruti Finance SA         6.50    7/26/2004     EUR     1.10
Lehman Brothers Treasury Co7.50    10/24/2008    USD     2.85
Lehman Brothers Treasury Co5.10    6/22/2046     EUR     2.85
Lehman Brothers Treasury Co7.75    1/3/2012      AUD     2.85
Barclays Bank PLC          1.99    12/1/2040     USD     74.21
Barclays Bank PLC          4.70    3/27/2029     USD     74.25
Russian Railways JSC       5.10    5/20/2044     RUB
TGC-1 PJSC                 5.60    12/14/2021    RUB     60.07
HSBC Bank PLC              0.50    11/25/2025    BRL     45.34
Kerdos Group SA            8.00    12/15/2017    PLN
Polski Bank Spoldzielczy w 4.81    11/26/2024    PLN     45.00
Leonteq Securities AG      15.20   10/11/2017    CHF     67.47
Landesbank Baden-Wuerttembe3.55    8/25/2017     EUR     66.96
Province of Brescia Italy  0.11    12/22/2036    EUR     63.41
Lehman Brothers Treasury Co2.50    11/9/2011     CHF     2.85
Kaupthing ehf              5.00    1/4/2027      SKK     17.63
UniCredit Bank AG          4.60    6/30/2017     EUR     51.50
Russian Railways JSC       9.85    4/26/2041     RUB     106.84
Expobank LLC               12.50   7/12/2019     RUB     60.05
Upravlenie Otkhodami ZAO   4.00    4/29/2027     RUB     67.58
UBS AG                     4.50    12/22/2017    EUR     56.89
AKB Peresvet ZAO           2.54    9/2/2020      RUB     11.34
Leonteq Securities AG      11.00   4/20/2018     USD     67.98
Lehman Brothers Treasury Co4.50    5/2/2017      EUR     8.75
UniCredit Bank Austria AG  0.15    1/22/2031     EUR     71.73
Kaupthing ehf              3.75    2/15/2024     ISK     17.63
Lehman Brothers Treasury Co0.50    6/2/2020      EUR     2.85
Lehman Brothers Treasury Co1.50    10/25/2011    EUR     2.85
Lehman Brothers Treasury Co4.00    10/24/2012    EUR     2.85
Lehman Brothers Treasury Co4.50    3/6/2013      CHF     2.85
Lehman Brothers Treasury Co5.25    5/26/2026     EUR     2.85
Lehman Brothers Treasury Co6.50    7/24/2026     EUR     2.85
Lehman Brothers Treasury Co4.60    7/6/2016      EUR     0.14
Lehman Brothers Treasury Co11.00   7/4/2011      CHF     2.85
Lehman Brothers Treasury Co0.50    7/2/2020      EUR     2.85
Lehman Brothers Treasury Co4.00    12/2/2012     EUR     2.85
Lehman Brothers Treasury Co10.44   11/22/2008    CHF     2.85
Kaupthing ehf              9.75    9/10/2015     USD     17.63
Lehman Brothers Treasury Co3.03    1/31/2015     EUR     2.85
Lehman Brothers Treasury Co0.50    8/1/2020      EUR     2.85
Lehman Brothers Treasury Co5.50    4/23/2014     EUR     2.85
Lehman Brothers Treasury Co2.00    6/28/2011     EUR     2.85
Lehman Brothers Treasury Co1.00    5/9/2012      EUR     2.85
HSBC Bank PLC              0.50    6/9/2023      MXN     62.73
Credit Suisse AG/London    3.00    11/15/2025    ZAR     67.49
Main Road OJSC             4.10    10/30/2029    RUB     73.87
Admiral Boats SA           8.50    9/18/2017     PLN     25.01
Commerzbank AG             30.00   6/30/2020     USD     3.64
Bayerische Landesbank      2.60    10/19/2018    EUR     65.24
Bayerische Landesbank      2.70    7/27/2018     EUR     72.73
Bayerische Landesbank      2.70    7/13/2018     EUR     71.55
Raiffeisen Switzerland BV  9.00    4/1/2019      EUR     19.39
Landesbank Baden-Wuerttembe3.75    9/22/2017     EUR     65.93
Landesbank Baden-Wuerttembe3.90    9/22/2017     EUR     63.81
LBI HF                     7.43                  USD     0.00
HSBC Bank PLC              0.50    10/30/2026    NZD     70.01
DekaBank Deutsche Girozentr2.75    2/2/2018      EUR     72.76
Credit Suisse AG/Nassau    5.25    5/14/2018     CHF     71.42
DekaBank Deutsche Girozentr3.40    4/9/2018      EUR     57.94
Barclays Bank PLC          0.50    3/13/2023     RUB     65.20
Kommunekredit              0.50    12/14/2020    ZAR     74.69
Lehman Brothers Treasury Co4.00    3/10/2011     EUR     2.85
Lehman Brothers Treasury Co10.60   4/22/2014     MXN     2.85
HSBC Bank PLC              0.50    12/22/2025    BRL     45.03
Cooperatieve Rabobank UA   0.50    11/30/2027    MXN     43.17
Cooperatieve Rabobank UA   0.50    10/29/2027    MXN     44.71
BNP Paribas Emissions- und 24.00   12/21/2017    EUR     66.01
Royal Bank of Scotland PLC/6.20    9/7/2018      GBP     1.07
Lehman Brothers Treasury Co6.30    12/21/2018    USD     2.85
Bashneft PJSC              12.00   5/19/2025     RUB     60.00
Agentstvo po Ipotechnomu Zh9.50    1/15/2029     RUB     100.00
Leonteq Securities AG      3.00    9/19/2019     CHF     52.19
Barclays Bank PLC          0.50    3/19/2021     MXN     73.04
Barclays Bank PLC          0.50    3/26/2021     MXN     72.37
Cooperatieve Rabobank UA   0.50    8/21/2028     MXN     40.86
Lehman Brothers Treasury Co4.00    7/20/2012     EUR     2.85
LBI HF                     8.65    5/1/2011      ISK     7.13
Lehman Brothers Treasury Co13.50   6/2/2009      USD     2.85
DZ Bank AG Deutsche Zentral8.20    3/23/2018     EUR     66.31
DZ Bank AG Deutsche Zentral7.40    12/22/2017    EUR     66.08
DZ Bank AG Deutsche Zentral7.40    3/23/2018     EUR     67.70
World of Building Technolog9.90    6/25/2019     RUB     0.44
HSBC Trinkaus & Burkhardt A13.80   12/22/2017    EUR     62.18
HSBC Trinkaus & Burkhardt A10.80   8/25/2017     EUR     63.92
HSBC Trinkaus & Burkhardt A10.10   11/24/2017    EUR     66.34
BNP Paribas Emissions- und 16.00   12/21/2017    EUR     59.06
BNP Paribas Emissions- und 8.00    6/21/2018     EUR     70.65
BNP Paribas Emissions- und 15.00   11/23/2017    EUR     60.09
BNP Paribas Emissions- und 8.00    12/21/2017    EUR     67.65
BNP Paribas Emissions- und 13.00   12/21/2017    EUR     63.20
BNP Paribas Emissions- und 15.00   12/21/2017    EUR     61.50
BNP Paribas Emissions- und 9.00    6/21/2018     EUR     68.21
BNP Paribas Emissions- und 12.00   6/21/2018     EUR     65.23
BNP Paribas Emissions- und 13.00   6/21/2018     EUR     63.64
BNP Paribas Emissions- und 13.00   11/23/2017    EUR     62.25
Leonteq Securities AG/Guern8.00    6/28/2018     CHF     0.40
Commerzbank AG             15.50   9/20/2017     EUR     56.06
Commerzbank AG             13.50   12/20/2017    EUR     58.96
Ashinskiy metallurgical wor5.60    6/17/2024     RUB     65.01
Commerzbank AG             14.00   1/24/2018     EUR     60.52
EFG International Finance G14.00   3/8/2018      CHF     66.08
UBS AG/London              12.50   9/22/2017     EUR     61.98
Vontobel Financial Products13.00   12/22/2017    EUR     60.47
Vontobel Financial Products13.50   9/22/2017     EUR     60.24
BNP Paribas Emissions- und 12.00   10/26/2017    EUR     64.30
BNP Paribas Emissions- und 19.00   9/21/2017     EUR     55.78
BNP Paribas Emissions- und 10.00   10/26/2017    EUR     67.37
BNP Paribas Emissions- und 13.00   10/26/2017    EUR     61.62
BNP Paribas Emissions- und 15.00   10/26/2017    EUR     58.97
BNP Paribas Emissions- und 19.00   10/26/2017    EUR     57.89
BNP Paribas Emissions- und 10.00   9/21/2017     EUR     66.82
BNP Paribas Emissions- und 12.00   9/21/2017     EUR     63.52
Vontobel Financial Products8.50    9/22/2017     EUR     66.19
Vontobel Financial Products7.50    12/22/2017    EUR     67.84
Vontobel Financial Products11.00   12/22/2017    EUR     62.41
Leonteq Securities AG/Guern9.00    6/29/2018     CHF     0.38
Kubanenergo PJSC           12.63   11/11/2025    RUB     60.01
Eiendomskreditt AS         5.10                  NOK     65.36
YamalStroiInvest           14.25   4/24/2021     RUB     65.70
Promcapital                7.00    7/30/2019     RUB     93.10
National Capital JSC       9.25    4/22/2019     RUB     60.06
Sankt-Peterburg Telecom OAO10.70   1/31/2022     RUB     62.63
Center-Invest Commercial Ba8.70    11/13/2018    RUB     59.00
HSBC Bank PLC              0.50    7/21/2021     BRL     68.80
Lehman Brothers Treasury Co1.60    6/21/2010     JPY     2.85
Lehman Brothers Treasury Co2.40    6/20/2011     JPY     2.85
Societe Generale SA        0.50    6/12/2023     RUB     63.84
National Capital JSC       9.25    4/22/2019     RUB     60.06
Lloyds Bank PLC            0.50    7/26/2028     MXN     46.22
Commerzbank AG             1.00    2/19/2020     USD     27.62
Raiffeisen Schweiz Genossen5.00    6/6/2018      CHF     73.15
Raiffeisen Schweiz Genossen6.50    7/2/2018      USD     52.44
BNP Paribas Emissions- und 15.00   12/21/2017    EUR     69.49
BNP Paribas Emissions- und 16.00   12/21/2017    EUR     65.88
BNP Paribas Emissions- und 18.00   12/21/2017    EUR     63.45
BNP Paribas Emissions- und 9.00    9/21/2017     EUR     56.48
BNP Paribas Emissions- und 10.00   9/21/2017     EUR     54.01
Bank VTB 24 JSC            9.00    9/15/2044     RUB
Vesta ZAO                  12.50   12/4/2026     RUB     99.40
Bank VTB 24 JSC            9.00    9/1/2044      RUB
Agrokompleks OOO           0.10    12/8/2022     RUB     4.60
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     51.89
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     75.14
BNP Paribas Emissions- und 26.00   12/21/2017    EUR     65.71
BNP Paribas Emissions- und 26.00   12/21/2017    EUR     64.82
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     53.38
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     66.88
BNP Paribas Emissions- und 15.00   12/21/2017    EUR     72.34
BNP Paribas Emissions- und 26.00   12/21/2017    EUR     61.91
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     70.75
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     65.68
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     70.82
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     65.49
BNP Paribas Emissions- und 26.00   12/21/2017    EUR     62.79
BNP Paribas Emissions- und 29.00   12/21/2017    EUR     58.13
BNP Paribas Emissions- und 23.00   12/21/2017    EUR     55.14
BNP Paribas Emissions- und 29.00   12/21/2017    EUR     72.21
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     65.11
BNP Paribas Emissions- und 22.00   12/21/2017    EUR     59.00
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     52.63
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     61.32
BNP Paribas Emissions- und 22.00   12/21/2017    EUR     67.22
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     71.60
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     64.79
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     59.65
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     71.34
BNP Paribas Emissions- und 29.00   12/21/2017    EUR     64.13
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     71.43
BNP Paribas Emissions- und 22.00   12/21/2017    EUR     71.73
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     62.25
BNP Paribas Emissions- und 26.00   12/21/2017    EUR     73.91
BNP Paribas Emissions- und 19.00   12/21/2017    EUR     73.91
BNP Paribas Emissions- und 26.00   12/21/2017    EUR     69.72
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     66.22
BNP Paribas Emissions- und 6.00    12/21/2017    EUR     45.77
BNP Paribas Emissions- und 10.00   12/21/2017    EUR     39.16
BNP Paribas Emissions- und 13.00   12/21/2017    EUR     35.71
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     29.26
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     63.79
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     62.39
BNP Paribas Emissions- und 13.00   12/21/2017    EUR     73.88
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     55.83
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     53.47
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     73.51
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     72.48
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     72.24
BNP Paribas Emissions- und 15.00   12/21/2017    EUR     61.78
BNP Paribas Emissions- und 19.00   12/21/2017    EUR     53.04
BNP Paribas Emissions- und 22.00   12/21/2017    EUR     48.26
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     45.03
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     42.82
BNP Paribas Emissions- und 13.00   12/21/2017    EUR     70.97
BNP Paribas Emissions- und 19.00   12/21/2017    EUR     60.78
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     50.39
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     45.16
BNP Paribas Emissions- und 19.00   12/21/2017    EUR     68.92
BNP Paribas Emissions- und 22.00   12/21/2017    EUR     63.73
BNP Paribas Emissions- und 25.00   12/21/2017    EUR     59.87
BNP Paribas Emissions- und 27.00   12/21/2017    EUR     56.49
BNP Paribas Emissions- und 28.00   12/21/2017    EUR     72.18
Credit Suisse AG/London    9.20    10/28/2019    USD     9.82
UBS AG                     11.41   4/26/2019     USD     9.86
UBS AG                     12.10   4/26/2019     USD     9.02
Commerzbank AG             15.50   8/23/2017     EUR     55.86
Vontobel Financial Products5.00    9/22/2017     EUR     69.63
Vontobel Financial Products9.05    9/22/2017     EUR     62.55
Vontobel Financial Products13.50   9/22/2017     EUR     57.24
Vontobel Financial Products16.05   9/22/2017     EUR     55.13
Vontobel Financial Products4.50    12/22/2017    EUR     70.54
Vontobel Financial Products7.00    12/22/2017    EUR     63.87
Vontobel Financial Products12.00   12/22/2017    EUR     57.27
Vontobel Financial Products16.00   12/22/2017    EUR     54.55
Vontobel Financial Products20.00   12/22/2017    EUR     50.89
HSBC Trinkaus & Burkhardt A8.70    9/22/2017     EUR     66.32
HSBC Trinkaus & Burkhardt A14.20   12/22/2017    EUR     60.92
HSBC Trinkaus & Burkhardt A11.20   8/25/2017     EUR     62.35
HSBC Trinkaus & Burkhardt A10.50   11/24/2017    EUR     64.68
UBS AG/London              7.10    9/29/2017     EUR     66.30
BNP Paribas Emissions- und 19.00   12/21/2017    EUR     61.76
BNP Paribas Emissions- und 12.00   12/21/2017    EUR     52.54
BNP Paribas Emissions- und 12.00   9/21/2017     EUR     49.80
BNP Paribas Emissions- und 16.00   9/21/2017     EUR     44.92
BNP Paribas Emissions- und 9.00    12/21/2017    EUR     58.36
BNP Paribas Emissions- und 10.00   12/21/2017    EUR     56.19
SG Issuer SA               0.80    11/30/2020    SEK     63.22
Raiffeisen Schweiz Genossen6.50    7/11/2017     CHF     67.86
Raiffeisen Schweiz Genossen6.00    7/11/2017     CHF     67.95
EFG International Finance G7.35    12/28/2017    CHF     69.79
Credit Suisse AG/Nassau    7.25    7/13/2017     CHF     65.37
PA Urals Optical & Mechanic14.25   12/25/2018    RUB     70.01
Vontobel Financial Products4.00    11/9/2017     EUR     67.57
Kubanenergo PJSC           10.44   11/21/2025    RUB     60.01
Goldman Sachs & Co Wertpapi13.00   12/20/2017    EUR     71.56
Goldman Sachs & Co Wertpapi10.00   12/20/2017    EUR     66.79
Goldman Sachs & Co Wertpapi11.00   12/20/2017    EUR     63.05
Goldman Sachs & Co Wertpapi11.00   12/20/2017    EUR     65.09
HSBC Trinkaus & Burkhardt A13.40   9/22/2017     EUR     55.92
HSBC Trinkaus & Burkhardt A12.10   3/23/2018     EUR     60.16
HSBC Trinkaus & Burkhardt A11.30   3/23/2018     EUR     60.88
HSBC Trinkaus & Burkhardt A8.30    3/23/2018     EUR     64.63
HSBC Trinkaus & Burkhardt A5.80    3/23/2018     EUR     70.14
HSBC Trinkaus & Burkhardt A11.00   8/25/2017     EUR     57.41
HSBC Trinkaus & Burkhardt A10.40   11/24/2017    EUR     59.75
Deutsche Bank AG           5.20    7/26/2017     EUR     72.00
Deutsche Bank AG           7.20    7/26/2017     EUR     72.20
Deutsche Bank AG           9.20    7/26/2017     EUR     72.30
Zurcher Kantonalbank Financ4.75    12/11/2017    CHF     69.76
Goldman Sachs & Co Wertpapi15.00   9/20/2017     EUR     73.09
Goldman Sachs & Co Wertpapi14.00   9/20/2017     EUR     71.18
DekaBank Deutsche Girozentr3.50    10/28/2019    EUR     67.84
Bank Julius Baer & Co Ltd/G5.50    11/6/2017     CHF     59.25
SG Issuer SA               0.82    8/2/2021      SEK     68.71
EFG International Finance G17.00   8/3/2018      USD     69.54
Leonteq Securities AG      7.00    11/6/2017     CHF     45.74
BNP Paribas Emissions- und 8.00    9/21/2017     EUR     66.36
Vontobel Financial Products7.00    12/22/2017    EUR     65.62
Vontobel Financial Products5.50    12/22/2017    EUR     68.82
Vontobel Financial Products13.00   12/22/2017    EUR     59.03
Vontobel Financial Products11.00   12/22/2017    EUR     60.89
Vontobel Financial Products10.00   12/22/2017    EUR     61.94
Vontobel Financial Products9.00    12/22/2017    EUR     63.08
Vontobel Financial Products6.50    12/22/2017    EUR     67.29
Vontobel Financial Products14.00   12/22/2017    EUR     58.20
Vontobel Financial Products12.00   12/22/2017    EUR     59.92
Vontobel Financial Products8.00    12/22/2017    EUR     64.30
UBS AG/London              6.50    1/25/2018     CHF     74.05
BNP Paribas Emissions- und 13.00   9/21/2017     EUR     60.40
BNP Paribas Emissions- und 10.00   6/21/2018     EUR     66.62
HSBC Trinkaus & Burkhardt A10.10   2/23/2018     EUR     65.21
HSBC Trinkaus & Burkhardt A11.60   3/23/2018     EUR     63.93
HSBC Trinkaus & Burkhardt A8.40    3/23/2018     EUR     68.18
Commerzbank AG             9.25    1/25/2018     EUR     70.67
Commerzbank AG             12.75   1/25/2018     EUR     65.56
Commerzbank AG             16.50   1/25/2018     EUR     61.98
Bank Julius Baer & Co Ltd/G6.00    7/24/2017     CHF     74.10
Commerzbank AG             8.50    12/21/2017    EUR     67.79
Commerzbank AG             12.25   12/21/2017    EUR     62.58
Commerzbank AG             16.25   12/21/2017    EUR     58.88
UBS AG/London              7.40    9/22/2017     EUR     59.12
UBS AG/London              9.40    6/22/2018     EUR     60.84
Corner Banca SA            20.00   7/10/2018     CHF     70.66
DZ Bank AG Deutsche Zentral7.10    9/22/2017     EUR     60.12
DZ Bank AG Deutsche Zentral7.10    12/22/2017    EUR     61.86
Polbrand sp zoo            9.00    10/2/2017     PLN     50.00
Commerzbank AG             11.50   7/26/2017     EUR     43.05
Barclays Bank PLC          10.00   9/15/2017     USD
UBS AG/London              6.40    12/8/2017     EUR     49.81
UBS AG/London              9.60    12/8/2017     EUR     45.72
BNP Paribas Emissions- und 16.00   9/21/2017     EUR     43.33
BNP Paribas Emissions- und 5.00    10/26/2017    EUR     56.01
BNP Paribas Emissions- und 6.00    10/26/2017    EUR     53.43
BNP Paribas Emissions- und 9.00    10/26/2017    EUR     49.96
BNP Paribas Emissions- und 13.00   10/26/2017    EUR     45.46
BNP Paribas Emissions- und 5.00    12/21/2017    EUR     56.42
BNP Paribas Emissions- und 6.00    12/21/2017    EUR     54.25
BNP Paribas Emissions- und 9.00    12/21/2017    EUR     51.09
BNP Paribas Emissions- und 13.00   12/21/2017    EUR     45.87
BNP Paribas Emissions- und 5.00    9/21/2017     EUR     55.34
BNP Paribas Emissions- und 6.00    9/21/2017     EUR     52.87
BNP Paribas Emissions- und 9.00    9/21/2017     EUR     48.90
BNP Paribas Emissions- und 13.00   9/21/2017     EUR     44.42
BNP Paribas Emissions- und 13.00   10/26/2017    EUR     71.87
BNP Paribas Emissions- und 13.00   12/21/2017    EUR     73.83
BNP Paribas Emissions- und 13.00   9/21/2017     EUR     70.34
BNP Paribas Emissions- und 13.00   10/26/2017    EUR     71.39
City of Predeal Romania    1.50    5/15/2026     RON     60.00
Landesbank Baden-Wuerttembe2.90    7/27/2018     EUR     69.47
Raiffeisen Centrobank AG   13.01   12/20/2017    EUR     57.24
Raiffeisen Centrobank AG   7.54    12/28/2018    EUR     57.93
HSBC Trinkaus & Burkhardt A7.50    9/22/2017     EUR     64.09
HSBC Trinkaus & Burkhardt A9.30    4/27/2018     EUR     66.21
Credit Suisse AG/London    8.50    3/13/2018     USD     72.79
HSBC Trinkaus & Burkhardt A8.40    9/22/2017     EUR     46.52
HSBC Trinkaus & Burkhardt A4.80    9/22/2017     EUR     52.56
HSBC Trinkaus & Burkhardt A3.00    9/22/2017     EUR     57.83
Credit Suisse AG/London    8.00    9/28/2021     USD     9.94
UBS AG/London              6.00    10/5/2017     CHF     53.05
Araratbank OJSC            7.00    6/18/2019     USD     25.98
UBS AG/London              6.90    6/22/2018     EUR     63.84
UBS AG/London              8.20    6/22/2018     EUR     62.27
UBS AG/London              9.90    9/22/2017     EUR     56.72
Commerzbank AG             4.00    7/19/2017     EUR     52.95
Bank Julius Baer & Co Ltd/G7.85    7/28/2017     USD     49.00
UBS AG/London              14.50   7/20/2017     USD     49.70
Leonteq Securities AG      20.00   10/25/2017    CHF     60.57
Commerzbank AG             7.25    10/26/2017    EUR     57.17
Commerzbank AG             10.50   10/26/2017    EUR     52.22
Commerzbank AG             14.25   10/26/2017    EUR     48.59
UBS AG/London              11.60   12/29/2017    EUR     47.41
UBS AG/London              5.30    12/29/2017    EUR     54.37
UBS AG/London              7.00    9/22/2017     EUR     53.29
UBS AG/London              13.00   9/27/2017     EUR     44.69
Royal Bank of Scotland PLC/1.33    10/26/2018    GBP     1.06
UniCredit Bank AG          4.60    7/2/2018      EUR     59.21
Commerzbank AG             5.80    10/8/2017     EUR     72.63
DZ Bank AG Deutsche Zentral5.60    9/8/2017      EUR     73.34
Raiffeisen Schweiz Genossen4.50    3/27/2018     EUR     57.66
DekaBank Deutsche Girozentr2.70    3/16/2018     EUR     70.82
Leonteq Securities AG      7.00    9/20/2017     CHF     73.00
Leonteq Securities AG      3.50    4/10/2018     EUR     57.37
Leonteq Securities AG      7.00    10/19/2017    CHF     72.75
Norddeutsche Landesbank Gir3.00    10/30/2018    EUR     62.20
Landesbank Baden-Wuerttembe3.25    8/25/2017     EUR     65.67
Bayerische Landesbank      3.20    7/27/2018     EUR     69.68
Landesbank Baden-Wuerttembe3.00    6/28/2019     EUR     72.38
Commerzbank AG             4.40    4/29/2019     EUR     72.72
DekaBank Deutsche Girozentr3.25    4/20/2018     EUR     58.27
Landesbank Hessen-Thueringe4.00    6/5/2019      EUR     70.86
Raiffeisen Schweiz Genossen4.00    5/8/2018      CHF     61.37
DekaBank Deutsche Girozentr2.75    10/29/2018    EUR     59.36
DekaBank Deutsche Girozentr3.00    4/30/2019     EUR     69.77
UniCredit Bank AG          5.00    7/30/2018     EUR     71.25
Landesbank Baden-Wuerttembe3.55    8/25/2017     EUR     73.40
Landesbank Baden-Wuerttembe4.00    6/22/2018     EUR     67.44
Landesbank Baden-Wuerttembe3.60    6/22/2018     EUR     64.01
UBS AG                     7.40    5/17/2021     CHF     46.79
Raiffeisen Schweiz Genossen4.20    5/22/2019     CHF     74.42
Landesbank Baden-Wuerttembe3.00    7/26/2019     EUR     73.46
DekaBank Deutsche Girozentr2.80    5/13/2019     EUR     64.40
Bayerische Landesbank      2.90    6/22/2018     EUR     72.45
Bank Julius Baer & Co Ltd/G23.00   8/4/2017      USD     69.50
Commerzbank AG             7.00    7/27/2017     EUR     50.53
Commerzbank AG             10.25   7/27/2017     EUR     45.25
Commerzbank AG             14.25   7/27/2017     EUR     41.14
Vontobel Financial Products4.65    7/24/2017     EUR     66.90
Raiffeisen Schweiz Genossen6.70    7/24/2017     EUR     69.17
DZ Bank AG Deutsche Zentral8.70    12/22/2017    EUR     59.58
Credit Suisse AG/London    11.70   4/20/2018     USD     10.21
Gold-Zack AG               7.00    12/14/2005    EUR     12.58
UBS AG/London              7.00    7/17/2017     CHF     53.80
HSBC Trinkaus & Burkhardt A4.30    9/22/2017     EUR     71.89
HSBC Trinkaus & Burkhardt A13.40   12/22/2017    EUR     59.15
HSBC Trinkaus & Burkhardt A7.80    12/22/2017    EUR     65.94
HSBC Trinkaus & Burkhardt A10.40   8/25/2017     EUR     60.49
HSBC Trinkaus & Burkhardt A9.70    11/24/2017    EUR     62.63
HSBC Trinkaus & Burkhardt A3.90    9/22/2017     EUR     67.24
HSBC Trinkaus & Burkhardt A10.70   8/25/2017     EUR     55.90
HSBC Trinkaus & Burkhardt A8.84    12/22/2017    EUR     68.38
HSBC Trinkaus & Burkhardt A13.80   12/22/2017    EUR     55.59
HSBC Trinkaus & Burkhardt A11.90   12/22/2017    EUR     57.10
HSBC Trinkaus & Burkhardt A10.20   11/24/2017    EUR     58.22
HSBC Trinkaus & Burkhardt A4.60    12/22/2017    EUR     68.35
Podkarpacki Bank Spoldzielc5.81    3/31/2025     PLN     68.10
DekaBank Deutsche Girozentr0.12    6/23/2034     EUR     71.88
Promnefteservis OOO        10.50   11/21/2019    RUB     1.15
Transgazservice LLP        10.50   11/8/2019     RUB     0.07
Podkarpacki Bank Spoldzielc5.81    10/24/2024    PLN     66.00
Landesbank Baden-Wuerttembe3.40    9/28/2018     EUR     73.23
UBS AG/London              9.25    6/26/2017     CHF     67.20
UBS AG/London              7.00    6/26/2017     EUR     63.00
Landesbank Baden-Wuerttembe3.70    7/27/2018     EUR     71.76
UBS AG/London              9.40    6/30/2017     EUR     48.15
EFG International Finance G7.20    6/26/2017     GBP     1.79
Zurcher Kantonalbank Financ8.50    7/17/2017     CHF     58.49
Zurcher Kantonalbank Financ9.00    7/17/2017     EUR     71.00
UBS AG/London              7.50    7/3/2017      EUR     60.75
Banque Cantonale Vaudoise  7.25    7/3/2017      CHF     55.65
Landesbank Baden-Wuerttembe2.60    8/23/2019     EUR     69.21
Landesbank Baden-Wuerttembe4.50    8/25/2017     EUR     73.65
Landesbank Baden-Wuerttembe5.00    8/25/2017     EUR     58.13
UBS AG/London              8.00    7/31/2017     CHF     70.70
Landesbank Baden-Wuerttembe3.00    8/25/2017     EUR     65.89
Landesbank Baden-Wuerttembe4.00    8/25/2017     EUR     61.53
Landesbank Baden-Wuerttembe4.00    8/25/2017     EUR     75.89
EFG International Finance G7.20    7/29/2020     EUR     27.67
Credit Suisse AG/Nassau    5.50    8/3/2017      EUR     71.65
BNP Paribas Emissions- und 3.25    11/24/2017    EUR     73.07
Landesbank Baden-Wuerttembe3.50    7/27/2018     EUR     67.97
Landesbank Baden-Wuerttembe3.40    7/27/2018     EUR     67.73
UniCredit Bank AG          3.80    7/23/2020     EUR     68.26
UniCredit Bank AG          4.40    7/13/2018     EUR     66.75
Bayerische Landesbank      2.40    7/20/2018     EUR     74.29
Raiffeisen Schweiz Genossen6.50    6/26/2017     EUR     65.59
Norddeutsche Landesbank Gir3.00    7/16/2018     EUR     71.94
Landesbank Hessen-Thueringe4.00    4/30/2019     EUR     69.38
DekaBank Deutsche Girozentr3.25    5/18/2018     EUR     74.06
Raiffeisen Schweiz Genossen4.20    4/10/2018     EUR     59.44
Bayerische Landesbank      2.70    7/6/2018      EUR     67.70
EFG International Finance G6.40    4/9/2020      EUR     73.22
Zurcher Kantonalbank Financ6.50    4/10/2018     CHF     60.85
Landesbank Baden-Wuerttembe3.00    10/27/2017    EUR     71.34
Landesbank Baden-Wuerttembe5.00    10/27/2017    EUR     65.17
Landesbank Baden-Wuerttembe5.00    10/27/2017    EUR     62.43
Landesbank Baden-Wuerttembe4.00    10/27/2017    EUR     66.85
Landesbank Baden-Wuerttembe3.60    9/22/2017     EUR     70.37
Landesbank Baden-Wuerttembe3.25    7/28/2017     EUR     73.56
Landesbank Baden-Wuerttembe3.00    7/28/2017     EUR     74.46
Landesbank Baden-Wuerttembe3.25    7/28/2017     EUR     69.62
Landesbank Baden-Wuerttembe3.70    8/25/2017     EUR     72.25
Landesbank Baden-Wuerttembe3.70    9/22/2017     EUR     65.42
Landesbank Baden-Wuerttembe3.20    9/22/2017     EUR     62.61
Landesbank Baden-Wuerttembe3.00    6/28/2019     EUR     66.79
Landesbank Baden-Wuerttembe2.50    6/28/2019     EUR     68.67
Landesbank Baden-Wuerttembe3.00    6/28/2019     EUR     71.48
Landesbank Baden-Wuerttembe3.50    6/22/2018     EUR     63.31
UBS AG/London              8.25    8/7/2017      EUR     70.75
Lehman Brothers Treasury Co3.50    10/31/2011    USD     2.85
Lehman Brothers Treasury Co5.00    2/28/2032     EUR     2.85
Lehman Brothers Treasury Co3.50    10/24/2011    USD     2.85
Lehman Brothers Treasury Co6.00    2/14/2012     EUR     2.85
Lehman Brothers Treasury Co15.00   3/30/2011     EUR     2.85
Lehman Brothers Treasury Co10.00   2/16/2009     CHF     2.85
Kaupthing ehf              7.50    12/5/2014     ISK     17.63
Lehman Brothers Treasury Co6.25    11/30/2012    EUR     2.85
Lehman Brothers Treasury Co1.00    2/26/2010     USD     2.85
Lehman Brothers Treasury Co2.37    7/15/2013     USD     2.85
Lehman Brothers Treasury Co2.30    6/27/2013     USD     2.85
Lehman Brothers Treasury Co5.38    2/4/2014      USD     2.85
Kaupthing ehf              6.50    10/8/2010     ISK     17.63
Lehman Brothers Treasury Co13.00   2/16/2009     CHF     2.85
Lehman Brothers Treasury Co11.00   2/16/2009     CHF     2.85
Lehman Brothers Treasury Co0.50    12/20/2017    USD     2.85
Lehman Brothers Treasury Co0.50    12/20/2017    USD     2.85
Lehman Brothers Treasury Co8.80    12/27/2009    EUR     2.85
Lehman Brothers Treasury Co11.00   12/20/2017    AUD     2.85
Lehman Brothers Treasury Co4.00    1/4/2011      USD     2.85
Lehman Brothers Treasury Co0.50    12/20/2017    USD     2.85
Lehman Brothers Treasury Co0.50    12/20/2017    AUD     2.85
Lehman Brothers Treasury Co9.30    12/21/2010    EUR     2.85
Lehman Brothers Treasury Co0.50    12/20/2017    AUD     2.85
Lehman Brothers Treasury Co14.90   11/16/2010    EUR     2.85
Lehman Brothers Treasury Co6.00    10/30/2012    USD     2.85
Lehman Brothers Treasury Co5.50    11/30/2012    CZK     2.85
Lehman Brothers Treasury Co6.00    10/30/2012    EUR     2.85
LBI HF                     5.08    3/1/2013      ISK     7.13
Lehman Brothers Treasury Co2.00    6/21/2011     EUR     2.85
Lehman Brothers Treasury Co5.00    3/13/2009     EUR     2.85
Lehman Brothers Treasury Co3.00    12/3/2012     EUR     2.85
KPNQwest NV                8.88    2/1/2008      EUR     0.61
Lehman Brothers Treasury Co3.00    8/13/2011     EUR     2.85
Lehman Brothers Treasury Co8.05    12/20/2010    HKD     2.85
Lehman Brothers Treasury Co8.00    10/23/2008    USD     2.85
Lehman Brothers Treasury Co12.22   11/21/2017    USD     2.85
Lehman Brothers Treasury Co4.80    11/16/2012    HKD     2.85
Lehman Brothers Treasury Co16.00   10/8/2008     CHF     2.85
Lehman Brothers Treasury Co6.72    12/29/2008    EUR     2.85
Lehman Brothers Treasury Co6.60    2/9/2009      EUR     2.85
Lehman Brothers Treasury Co18.25   10/2/2008     USD     2.85
Lehman Brothers Treasury Co5.12    4/30/2027     EUR     2.85
Lehman Brothers Treasury Co7.75    2/21/2016     EUR     2.85
Lehman Brothers Treasury Co8.00    12/27/2032    JPY     2.85
RGS Nedvizhimost OOO       12.50   7/22/2021     RUB     60.10
RGS Nedvizhimost OOO       12.50   1/19/2021     RUB     99.80
TransFin-M PAO             12.50   8/11/2025     RUB     100.00
UniCredit Bank AG          4.50    9/19/2017     EUR     54.25
Landesbank Hessen-Thueringe5.00    10/17/2017    EUR     64.04
Landesbank Hessen-Thueringe4.50    11/28/2017    EUR     66.60
UniCredit Bank AG          4.00    6/26/2018     EUR     63.54
Reso-Leasing OOO           13.25   10/30/2025    RUB     61.00
Societe Generale SA        0.50    5/22/2024     MXN     57.75
Svensk Exportkredit AB     0.50    8/25/2021     ZAR     70.06
Leonteq Securities AG      5.00    9/4/2018      CHF     58.65
Leonteq Securities AG      5.60    9/4/2017      CHF     67.00
Leonteq Securities AG      5.60    9/11/2017     CHF     56.40
DekaBank Deutsche Girozentr2.80    7/22/2019     EUR     73.89
Leonteq Securities AG      6.77    8/17/2017     CHF     56.43
Ekspatel OOO               18.00   8/22/2018     RUB     66.01
Leonteq Securities AG      5.40    8/28/2017     CHF     55.89
Raiffeisen Centrobank AG   9.85    12/20/2017    EUR     59.30
Raiffeisen Centrobank AG   6.23    12/28/2018    EUR     62.04
Commerzbank AG             8.50    2/22/2018     EUR     70.76
Commerzbank AG             12.00   2/22/2018     EUR     66.01
Commerzbank AG             15.75   2/22/2018     EUR     62.71
Raiffeisen Switzerland BV  22.20   9/1/2017      USD     63.31
DZ Bank AG Deutsche Zentral8.30    9/22/2017     EUR     46.05
HSBC Trinkaus & Burkhardt A1.75    8/25/2017     EUR     57.31
Deutsche Bank AG           6.20    9/19/2017     EUR     73.80
Leonteq Securities AG/Guern16.20   11/30/2017    USD     24.87
HSBC Trinkaus & Burkhardt A8.95    12/22/2017    EUR     61.03
HSBC Trinkaus & Burkhardt A11.90   8/25/2017     EUR     66.24
HSBC Trinkaus & Burkhardt A9.50    9/22/2017     EUR     70.78
HSBC Trinkaus & Burkhardt A13.70   12/22/2017    EUR     65.29
HSBC Trinkaus & Burkhardt A12.70   12/22/2017    EUR     66.52
DZ Bank AG Deutsche Zentral9.75    12/22/2017    EUR     66.22
HSBC Trinkaus & Burkhardt A14.10   9/22/2017     EUR     63.84
HSBC Trinkaus & Burkhardt A11.00   11/24/2017    EUR     68.64
Barclays Bank PLC          1.85    7/24/2028     USD     71.50
TransFin-M PAO             13.00   9/3/2025      RUB     63.87
National Capital JSC       10.50   9/15/2020     RUB     60.06
Commerzbank AG             20.00   5/28/2018     SEK     46.20
Landesbank Baden-Wuerttembe3.85    8/25/2017     EUR     64.61
Societe Generale Effekten G4.00    6/26/2017     EUR     51.01
Landesbank Baden-Wuerttembe3.25    12/22/2017    EUR     69.34
Landesbank Baden-Wuerttembe3.25    1/26/2018     EUR     64.36
Landesbank Hessen-Thueringe4.00    1/16/2018     EUR     59.26
Landesbank Baden-Wuerttembe3.00    2/23/2018     EUR     64.47
Credit Suisse AG/London    2.75    1/29/2019     SEK     73.17
Landesbank Baden-Wuerttembe3.15    6/22/2018     EUR     66.21
UniCredit Bank AG          4.40    9/19/2018     EUR     71.77
UBS AG                     9.50    12/22/2017    EUR     67.42
UBS AG                     5.25    12/22/2017    EUR     61.04
UBS AG                     8.25    12/22/2017    EUR     70.47
UBS AG                     11.75   12/22/2017    EUR     52.43
UBS AG                     7.75    12/22/2017    EUR     64.75
UBS AG                     10.25   12/22/2017    EUR     53.87
UBS AG                     10.25   12/22/2017    EUR     41.74
UBS AG                     5.00    12/22/2017    EUR     65.08
UBS AG                     8.50    12/22/2017    EUR     46.05
UBS AG                     11.75   12/22/2017    EUR     37.86
UBS AG                     8.75    12/22/2017    EUR     70.88
UBS AG                     4.00    12/22/2017    EUR     71.96
UBS AG                     10.25   12/22/2017    EUR     64.36
UBS AG                     11.75   12/22/2017    EUR     59.25
UBS AG                     7.50    12/22/2017    EUR     49.94
UBS AG                     13.00   12/22/2017    EUR     67.32
UBS AG                     6.75    12/22/2017    EUR     53.50
UBS AG                     9.50    12/22/2017    EUR     62.87
UBS AG                     7.75    12/22/2017    EUR     67.75
UBS AG                     8.25    12/22/2017    EUR     48.01
UBS AG                     10.50   12/22/2017    EUR     56.95
UBS AG                     6.25    12/22/2017    EUR     53.11
UBS AG                     11.25   12/22/2017    EUR     70.80
UBS AG                     8.25    12/22/2017    EUR     58.80
UBS AG                     4.50    12/22/2017    EUR     65.78
UBS AG                     10.50   12/22/2017    EUR     58.54
UBS AG                     9.50    12/22/2017    EUR     57.77
UBS AG                     6.50    12/22/2017    EUR     53.24
EFG International Finance G10.15   8/2/2017      CHF     69.46
Leonteq Securities AG      10.20   10/24/2018    EUR     68.03
HSBC Trinkaus & Burkhardt A2.50    9/22/2017     EUR     56.17
Vontobel Financial Products4.80    5/14/2018     EUR     73.05
Landesbank Hessen-Thueringe4.00    5/16/2018     EUR     66.51
HSBC Trinkaus & Burkhardt A10.90   10/27/2017    EUR     62.33
HSBC Trinkaus & Burkhardt A10.10   1/26/2018     EUR     64.46
Vontobel Financial Products16.00   12/22/2017    EUR     57.92
Vontobel Financial Products5.00    3/23/2018     EUR     71.70
Vontobel Financial Products6.00    3/23/2018     EUR     68.43
Vontobel Financial Products7.50    3/23/2018     EUR     65.97
Vontobel Financial Products9.00    3/23/2018     EUR     63.83
Vontobel Financial Products10.50   3/23/2018     EUR     62.00
Vontobel Financial Products12.50   3/23/2018     EUR     60.81
Vontobel Financial Products14.50   3/23/2018     EUR     59.86
DZ Bank AG Deutsche Zentral5.00    2/6/2018      EUR     69.61
UniCredit Bank AG          3.75    9/7/2020      EUR     70.15
UBS AG/London              9.30    9/29/2017     EUR     63.06
UBS AG/London              5.30    6/30/2017     EUR     73.04
UBS AG/London              5.20    9/29/2017     EUR     69.99
UBS AG/London              7.70    6/30/2017     EUR     68.55
UBS AG/London              14.00   6/30/2017     EUR     61.11
UBS AG/London              10.60   12/29/2017    EUR     62.72
UBS AG/London              10.60   6/30/2017     EUR     64.60
UBS AG/London              7.00    12/29/2017    EUR     67.82
UBS AG/London              8.80    12/29/2017    EUR     65.09
UBS AG/London              11.70   9/29/2017     EUR     60.48
UBS AG/London              12.60   12/29/2017    EUR     60.77
UBS AG/London              5.40    12/29/2017    EUR     71.29
UBS AG/London              17.90   6/30/2017     EUR     58.01
UBS AG/London              14.30   9/29/2017     EUR     58.10
Commerzbank AG             12.75   11/23/2017    EUR     66.25
Commerzbank AG             16.75   11/23/2017    EUR     61.81
HSBC Trinkaus & Burkhardt A2.80    9/22/2017     EUR     59.41
First Collection Bureau OJS15.00   10/15/2021    RUB     100.00
UniCredit Bank AG          5.00    6/25/2019     EUR     60.96
Landesbank Hessen-Thueringe5.00    3/27/2019     EUR     68.62
Bayerische Landesbank      2.60    3/29/2018     EUR     70.60
UniCredit Bank AG          3.75    10/2/2020     EUR     67.18
Landesbank Hessen-Thueringe4.00    4/8/2019      EUR     62.49
UBS AG/London              7.00    12/22/2017    EUR     63.24
UBS AG/London              12.50   12/22/2017    EUR     74.33
UBS AG/London              9.50    12/22/2017    EUR     73.51
UBS AG/London              7.75    12/22/2017    EUR     60.28
Leonteq Securities AG/Guern4.40    8/28/2017     CHF     62.61
Raiffeisen Schweiz Genossen5.04    8/28/2017     CHF     64.64
Leonteq Securities AG/Guern4.68    8/29/2017     CHF     66.63
UBS AG/London              9.00    12/22/2017    EUR     56.80
UBS AG/London              5.75    12/22/2017    EUR     69.58
UBS AG/London              6.25    12/22/2017    EUR     67.41
UBS AG/London              14.50   12/22/2017    EUR     70.81
Raiffeisen Schweiz Genossen5.00    8/29/2018     CHF     74.60
Raiffeisen Schweiz Genossen5.00    6/13/2018     CHF     72.61
UBS AG                     9.00    7/3/2017      CHF     67.65
Bank Julius Baer & Co Ltd/G5.20    9/25/2017     EUR     69.65
DekaBank Deutsche Girozentr7.15    10/27/2017    EUR     71.50
EFG International Finance G7.00    11/27/2019    EUR     17.64
Goldman Sachs International1.00    12/5/2017     SEK     22.22
UniCredit Bank AG          4.30    10/17/2018    EUR     70.83
Landesbank Baden-Wuerttembe3.30    6/22/2018     EUR     67.81
UniCredit Bank AG          4.30    12/22/2017    EUR     67.77
DekaBank Deutsche Girozentr3.30    2/26/2018     EUR     52.96
Landesbank Baden-Wuerttembe3.00    5/25/2018     EUR     71.50
UBS AG                     5.00    12/22/2017    EUR     64.90
Landesbank Baden-Wuerttembe3.05    6/22/2018     EUR     73.04
Raiffeisen Schweiz Genossen4.50    5/23/2018     CHF     73.21
Raiffeisen Schweiz Genossen3.00    9/22/2020     CHF     63.47
DZ Bank AG Deutsche Zentral3.45    8/25/2017     EUR     70.28
DekaBank Deutsche Girozentr2.75    6/24/2019     EUR     70.36
Vontobel Financial Products8.00    9/29/2017     EUR     68.98
Landesbank Baden-Wuerttembe6.00    9/22/2017     EUR     71.81
Landesbank Baden-Wuerttembe3.00    9/22/2017     EUR     71.08
Leonteq Securities AG      6.00    10/12/2017    CHF     62.79
Goldman Sachs & Co Wertpapi9.00    9/20/2017     EUR     66.27
BNP Paribas Emissions- und 3.00    10/12/2018    EUR     71.42
Goldman Sachs & Co Wertpapi12.00   9/20/2017     EUR     60.44
Goldman Sachs & Co Wertpapi12.00   9/20/2017     EUR     58.51
UBS AG/London              9.50    9/4/2017      CHF     26.45
Deutsche Bank AG           3.20    11/22/2017    EUR     70.80
Deutsche Bank AG           4.20    11/22/2017    EUR     74.20
Deutsche Bank AG           3.20    11/22/2017    EUR     72.60
DekaBank Deutsche Girozentr3.10    8/4/2017      EUR     52.33
HSBC Trinkaus & Burkhardt A3.00    6/22/2018     EUR     66.44
HSBC Trinkaus & Burkhardt A7.90    9/22/2017     EUR     50.85
HSBC Trinkaus & Burkhardt A5.40    9/22/2017     EUR     55.40
HSBC Trinkaus & Burkhardt A2.90    9/22/2017     EUR     62.99
DZ Bank AG Deutsche Zentral9.25    7/28/2017     EUR     63.26
UBS AG/London              9.50    9/22/2017     EUR     48.13
UBS AG/London              12.50   9/22/2017     EUR     44.33
DZ Bank AG Deutsche Zentral8.70    12/22/2017    EUR     49.36
DZ Bank AG Deutsche Zentral10.10   12/22/2017    EUR     46.96
HSBC Trinkaus & Burkhardt A12.70   9/22/2017     EUR     45.89
HSBC Trinkaus & Burkhardt A10.30   9/22/2017     EUR     49.20
HSBC Trinkaus & Burkhardt A7.50    9/22/2017     EUR     54.52
Credit Suisse AG/London    8.50    9/18/2017     USD     64.41
Deutsche Bank AG           6.20    9/19/2017     EUR     74.80
UBS AG/London              6.30    12/29/2017    EUR     52.35
Raiffeisen Schweiz Genossen15.00   12/27/2017    CHF     59.81
Leonteq Securities AG      10.00   4/20/2018     CHF     67.95
Leonteq Securities AG      17.60   12/19/2017    USD     66.25
Vontobel Financial Products18.40   9/11/2017     EUR     62.15
Nuova Banca delle Marche Sp7.20    6/30/2018     EUR     1.24
Nuova Banca delle Marche Sp8.00    6/30/2018     EUR     1.24
Societe Generale SA        0.50    4/30/2023     RUB     64.41
Lillestroem Sparebank      4.44                  NOK     56.32
Nota-Bank OJSC             13.50   4/1/2016      RUB     31.50
Univer Capital LLC         12.00   3/6/2019      RUB     97.07
Indre Sogn Sparebank       5.84                  NOK     55.77
Societe Generale SA        0.50    4/4/2024      MXN     58.43
Lehman Brothers Treasury Co8.28    3/26/2009     USD     2.85
Lehman Brothers Treasury Co7.55    12/29/2008    USD     2.85
Lehman Brothers Treasury Co6.85    12/22/2008    EUR     2.85
Lehman Brothers Treasury Co7.60    3/26/2009     EUR     2.85
Banca delle Marche SpA     6.00    6/12/2018     EUR     2.00
Lehman Brothers Treasury Co5.25    11/21/2009    USD     2.85
Lehman Brothers Treasury Co4.10    8/23/2010     USD     2.85
Lehman Brothers Treasury Co1.50    2/8/2012      CHF     2.85
Lehman Brothers Treasury Co0.01    9/20/2011     USD     2.85
Lehman Brothers Treasury Co4.69    2/19/2017     EUR     2.85
Lehman Brothers Treasury Co6.00    5/12/2017     EUR     2.85
Lehman Brothers Treasury Co7.00    2/15/2012     EUR     2.85
KPNQwest NV                7.13    6/1/2009      EUR     0.53
Lehman Brothers Treasury Co7.39    5/4/2017      USD     2.85
KPNQwest NV                7.13    6/1/2009      EUR     0.53
Lehman Brothers Treasury Co3.35    10/13/2016    EUR     2.85
Lehman Brothers Treasury Co0.80    12/30/2016    EUR     2.85
Lehman Brothers Treasury Co6.75    4/5/2012      EUR     2.85
Lehman Brothers Treasury Co4.25    5/15/2010     EUR     2.85
Lehman Brothers Treasury Co5.00    4/24/2017     EUR     2.85
Lehman Brothers Treasury Co13.00   7/25/2012     EUR     2.85
Lehman Brothers Treasury Co10.00   8/2/2037      JPY     2.85
Lehman Brothers Treasury Co2.25    5/12/2009     USD     2.85
Lehman Brothers Treasury Co4.00    5/30/2010     USD     2.85
Astana Finance BV          7.88    6/8/2010      EUR     16.88
Lehman Brothers Treasury Co6.00    5/23/2018     CZK     2.85
Lehman Brothers Treasury Co12.00   7/13/2037     JPY     2.85
Lehman Brothers Treasury Co10.00   6/11/2038     JPY     2.85
Lehman Brothers Treasury Co9.00    5/15/2022     USD     2.85
Lehman Brothers Treasury Co5.20    3/19/2018     EUR     2.85
Lehman Brothers Treasury Co7.50    5/2/2017      EUR     2.85
Lehman Brothers Treasury Co6.60    2/22/2012     EUR     2.85
Lehman Brothers Treasury Co4.10    2/19/2010     EUR     2.85
Lehman Brothers Treasury Co2.48    5/12/2009     USD     2.85
Lehman Brothers Treasury Co4.00    5/17/2010     USD     2.85
Lehman Brothers Treasury Co6.00    12/30/2017    EUR     2.85
Lehman Brothers Treasury Co7.63    7/22/2011     HKD     2.85
Lehman Brothers Treasury Co1.50    10/12/2010    EUR     2.85
ECM Real Estate Investments5.00    10/9/2011     EUR     10.38
Lehman Brothers Treasury Co2.50    12/15/2011    GBP     2.85
Lehman Brothers Treasury Co7.25    6/20/2010     USD     2.85
Lehman Brothers Treasury Co4.00    11/24/2016    EUR     2.85
Province of Brescia Italy  0.14    6/30/2036     EUR     64.07
Lehman Brothers Treasury Co4.82    12/18/2036    EUR     2.85
Lehman Brothers Treasury Co4.50    3/7/2015      EUR     2.85
Lehman Brothers Treasury Co0.75    3/29/2012     EUR     2.85
Municipality Finance PLC   0.50    11/25/2020    ZAR     74.97
Lehman Brothers Treasury Co6.00    7/28/2010     EUR     2.85
Lehman Brothers Treasury Co12.00   7/4/2011      EUR     2.85
Lehman Brothers Treasury Co3.50    12/20/2027    USD     2.85
Kaupthing ehf              7.00    7/24/2009     ISK     17.63
Lehman Brothers Treasury Co0.25    7/21/2014     EUR     2.85
Lehman Brothers Treasury Co5.50    6/15/2009     CHF     2.85
Lehman Brothers Treasury Co7.25    10/6/2008     EUR     2.85
Lehman Brothers Treasury Co10.50   8/9/2010      EUR     2.85
Lehman Brothers Treasury Co5.75    6/15/2009     CHF     2.85
Lehman Brothers Treasury Co4.50    7/24/2014     EUR     2.85
Lehman Brothers Treasury Co10.00   3/27/2009     USD     2.85
Lehman Brothers Treasury Co7.00    4/14/2009     EUR     2.85
Lehman Brothers Treasury Co7.75    1/30/2009     EUR     2.85
Lehman Brothers Treasury Co8.00    8/3/2009      USD     2.85
Lehman Brothers Treasury Co9.00    6/13/2009     USD     2.85
Lehman Brothers Treasury Co2.50    8/23/2012     GBP     2.85
Lehman Brothers Treasury Co7.50    9/13/2009     CHF     2.85
Lehman Brothers Treasury Co8.50    7/6/2009      CHF     2.85
Lehman Brothers Treasury Co5.25    4/1/2023      EUR     2.85
Lehman Brothers Treasury Co4.00    4/24/2009     USD     2.85
Lehman Brothers Treasury Co4.50    8/2/2009      USD     2.85
Lehman Brothers Treasury Co7.00    11/28/2008    CHF     2.85
Lehman Brothers Treasury Co8.00    5/22/2009     USD     2.85
Lehman Brothers Treasury Co3.00    9/13/2010     JPY     8.75
Lehman Brothers Treasury Co9.00    3/17/2009     GBP     2.85
Lehman Brothers Treasury Co3.85    4/24/2009     USD     2.85
Lehman Brothers Treasury Co7.38    9/20/2008     EUR     2.85
Lehman Brothers Treasury Co2.00    11/16/2009    EUR     2.85
Lehman Brothers Treasury Co3.70    6/6/2009      EUR     2.85
Lehman Brothers Treasury Co13.00   12/14/2012    USD     2.85
Petromena ASA              9.75    5/24/2016     NOK     0.53
Lehman Brothers Treasury Co4.68    12/12/2045    EUR     2.85
Lehman Brothers Treasury Co6.70    4/21/2011     USD     2.85
Lehman Brothers Treasury Co3.00    9/12/2036     JPY     8.75
Lehman Brothers Treasury Co6.00    6/21/2011     EUR     2.85
Lehman Brothers Treasury Co4.00    10/12/2010    USD     2.85
Lehman Brothers Treasury Co8.88    1/28/2011     HKD     9.63
Lehman Brothers Treasury Co7.00    7/11/2010     EUR     2.85
Lehman Brothers Treasury Co6.00    7/28/2010     EUR     2.85
HSBC Bank PLC              0.50    12/8/2020     BRL     72.96
Lehman Brothers Treasury Co11.00   7/4/2011      USD     2.85
Lehman Brothers Treasury Co7.50    8/1/2035      EUR     2.85
Lehman Brothers Treasury Co16.00   12/26/2008    USD     2.85
Lehman Brothers Treasury Co8.60    7/31/2013     GBP     2.85
Lehman Brothers Treasury Co4.15    8/25/2020     EUR     2.85
Lehman Brothers Treasury Co5.50    7/8/2013      EUR     2.85
Lehman Brothers Treasury Co7.50    7/31/2013     GBP     2.85
Lehman Brothers Treasury Co7.32    7/31/2013     GBP     2.85
Lehman Brothers Treasury Co8.28    7/31/2013     GBP     2.85
Lehman Brothers Treasury Co5.00    8/1/2025      EUR     2.85
Lehman Brothers Treasury Co4.90    7/28/2020     EUR     2.85
Lehman Brothers Treasury Co3.10    6/4/2010      USD     2.85
Lehman Brothers Treasury Co8.00    4/20/2009     EUR     2.85
Lehman Brothers Treasury Co4.70    3/23/2016     EUR     2.85
Lehman Brothers Treasury Co6.00    3/17/2011     EUR     2.85
Lehman Brothers Treasury Co4.70    3/23/2016     EUR     2.85
Lehman Brothers Treasury Co7.60    3/4/2010      NZD     2.85
Lehman Brothers Treasury Co15.00   6/4/2009      CHF     2.85
Lehman Brothers Treasury Co17.00   6/2/2009      USD     2.85
Lehman Brothers Treasury Co5.00    11/22/2012    EUR     2.85
Lehman Brothers Treasury Co4.00    8/11/2010     USD     8.75
Lehman Brothers Treasury Co4.30    6/4/2012      USD     2.85
Lehman Brothers Treasury Co0.50    2/16/2009     EUR     2.85
Oberbank AG                7.40                  EUR     67.39
Province of Rovigo Italy   0.06    12/28/2035    EUR     65.08
Lehman Brothers Treasury Co10.00   1/4/2010      USD     2.85
Lehman Brothers Treasury Co6.00    8/7/2013      EUR     2.85
Lehman Brothers Treasury Co6.50    5/16/2015     EUR     2.85
Lehman Brothers Treasury Co2.50    8/15/2012     CHF     2.85
Lehman Brothers Treasury Co3.50    9/29/2017     EUR     2.85
Lehman Brothers Treasury Co3.00    8/8/2017      EUR     2.85
Lehman Brothers Treasury Co5.00    9/1/2011      EUR     2.85
Lehman Brothers Treasury Co5.25    7/8/2014      EUR     2.85
Lehman Brothers Treasury Co2.30    6/6/2013      USD     2.85
Lehman Brothers Treasury Co11.00   5/9/2020      USD     2.85
Lehman Brothers Treasury Co4.00    6/5/2011      USD     2.85
Lehman Brothers Treasury Co6.25    9/5/2011      EUR     2.85
Lehman Brothers Treasury Co3.50    9/19/2017     EUR     2.85
Lehman Brothers Treasury Co16.80   8/21/2009     USD     2.85
Lehman Brothers Treasury Co3.00    8/15/2017     EUR     2.85
Lehman Brothers Treasury Co13.15   10/30/2008    USD     2.85
Lehman Brothers Treasury Co7.80    3/31/2018     USD     2.85
Lehman Brothers Treasury Co5.22    3/1/2024      EUR     2.85
Lehman Brothers Treasury Co9.50    4/1/2018      USD     2.85
Lehman Brothers Treasury Co8.00    10/17/2014    EUR     2.85
Lehman Brothers Treasury Co7.05    4/8/2015      USD     2.85
Lehman Brothers Treasury Co6.00    3/4/2015      USD     2.85
Lehman Brothers Treasury Co7.15    3/21/2013     USD     2.85
Lehman Brothers Treasury Co2.00    5/17/2010     EUR     2.85
Lehman Brothers Treasury Co2.30    4/28/2014     JPY     2.85
Lehman Brothers Treasury Co7.50    2/14/2010     AUD     2.85
Lehman Brothers Treasury Co4.00    2/28/2010     EUR     2.85
Lehman Brothers Treasury Co4.10    5/20/2009     USD     2.85
Lehman Brothers Treasury Co4.60    8/1/2013      EUR     2.85
Lehman Brothers Treasury Co9.75    6/22/2018     USD     2.85
Lehman Brothers Treasury Co8.00    3/21/2018     USD     2.85
Lehman Brothers Treasury Co10.00   10/22/2008    USD     2.85
Lehman Brothers Treasury Co6.45    2/20/2010     AUD     2.85
Lehman Brothers Treasury Co3.82    10/20/2009    USD     2.85
Lehman Brothers Treasury Co10.00   10/23/2008    USD     2.85
Lehman Brothers Treasury Co6.60    5/23/2012     AUD     2.85
Lehman Brothers Treasury Co3.45    5/23/2013     USD     2.85
Lehman Brothers Treasury Co16.00   10/28/2008    USD     2.85
Lehman Brothers Treasury Co5.00    2/15/2018     EUR     2.85
Lehman Brothers Treasury Co2.75    10/28/2009    EUR     2.85
Lehman Brothers Treasury Co9.00    5/6/2011      CHF     2.85
Lehman Brothers Treasury Co5.50    6/22/2010     USD     8.75
Lehman Brothers Treasury Co0.50    12/20/2017    USD     2.85
Lehman Brothers Treasury Co8.00    12/31/2010    USD     2.85
Lehman Brothers Treasury Co1.95    11/4/2013     EUR     2.85
Lehman Brothers Treasury Co3.63    3/2/2012      EUR     2.85
Lehman Brothers Treasury Co3.00    6/3/2010      EUR     2.85
Lehman Brothers Treasury Co12.40   6/12/2009     USD     2.85
Lehman Brothers Treasury Co16.00   11/9/2008     USD     2.85
Lehman Brothers Treasury Co16.20   5/14/2009     USD     2.85
Lehman Brothers Treasury Co23.30   9/16/2008     USD     2.85
Lehman Brothers Treasury Co14.10   11/12/2008    USD     2.85
Lehman Brothers Treasury Co7.50    5/30/2010     AUD     2.85
Lehman Brothers Treasury Co3.00    6/23/2009     EUR     8.75


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

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