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• The "Distressed Bonds" section only includes bonds issued by the Group that are trading over 15% YTM.

• The "All Bonds" section includes all the bonds issued by an issuing entity of the Group whose bonds include distressed bonds ( YTM over 15%) regardless of whether the bonds are distressed or not.

• The historical movement in the weighted average "WA" price for the "All Bonds" section is reported because it's an indicator of changes in the risk profile of the distressed group.

• The historical movement in the weighted average "WA" price for the "Distressed Bonds" section is not reported because it wouldn't be meaningful because individual bonds within a Group frequently move in and out of the category.

• In some cases, historical prices are not available for all the bonds in the "All Bonds" section. In those cases, the WA historical price movements are only reported where the price movements are meaningful and comparable and represent a fair indication of the overall change in Group risk.

• One reason for NA in the "All Bonds" price field is where a current price is not available. These bonds are usually in default or delisted but they may still be traded OTC.  In these cases, the prices in the "Distressed Bond" section may be less reliable.

• A second reason for NA in the "All Bonds" price field is where the historical price movement isn't comparable and does not represent a fair indication of the overall change in Group risk.

• The assets and operations of the groups highlighted in grey in the "Location of Business" column are largely or wholly based outside Western Europe, but the issuer / bond will be domiciled / issued in Western Europe

• The % price change cells are highlighted where the % change exceeds: 5% one week. 10% between one and  three months, 25% six months or more

• The "Distressed Bond" section reports BID price. The "All Bond" section reports MID price. This explains small differences in price between the sections even where all the bonds are the same.

• The above list does not necessarily report all group debt at risk given it does not include loans and it does not include bonds issued by a group entity with no distressed bonds outstanding.