CLO Asset Manager Handbook - Fitch Home · Welcome to the sixth edition of Fitch Ratings’ CLO Asset Manager Handbook. This edition includes profile reports for 74 CLO managers,

CLO Asset Manager Handbook

April 2017 | Sixth Edition

Key Contacts

Structured Credit

Russ ThomasDirector+1 312 [email protected]

Andrew Worthington Director+1 646 582-4882 [email protected]

Derek MillerManaging Director +1 312 [email protected]

Kevin KendraManaging Director+1 212 [email protected]

Matthias NeugebauerManaging Director +44 20 [email protected]

Leveraged Finance

Michael SimontonManaging Director+1 312 [email protected]

Michael PaladinoManaging Director+1 [email protected]

Sharon BonelliSenior Director+1 212 [email protected]

Business and Relationship Management

Jill ZelterManaging Director+1 212 [email protected]

Winnie Fong, CFA Managing Director+1 212 [email protected]

David KreidlerSenior Director+1 646 [email protected]

i

Welcome to the sixth edition of Fitch Ratings’ CLO Asset Manager Handbook. This edition includes profile reports for 74 CLO managers, with all data and information presented in a standardized format as of YE16. Managers included in the Handbook provide their data in recognition of the importance of increasing transparency and comparability in the CLO market.

Through a combination of key manager facts and attributes — including corporate structure, key personnel, assets under management and CLOs under management — our profile reports provide investors with a consistent framework for evaluating and benchmarking managers against each other. New in this current edition, we present managers’ U.S. and European current or planned risk retention structures, where applicable, in the summary profiles. Additionally, the customary CLOs Under Management tables now also display individual CLOs’ U.S. and European risk retention structure type and form of investment (for example, vertical slice, horizontal and so on), where reported, in addition to Volcker and CRR compliance status.

In the case of 64 managers, we conducted operational risk assessments and reviewed the managers’ investment processes. The profile reports for those managers include The Fitch View, which represents our summary assessment of the managers’ qualifications, strengths, potential areas of concern and any mitigating factors.

The next edition of the Handbook will be published in 1H18, based on data as of YE17. If you have any suggestions or comments — or if you are a manager that would like to participate in the next edition — please email [email protected].

CLO Asset Manager Handbook

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mmckay

Text Box

Note: CLO managers provided the information contained in their respective profile reports. All data are as of Dec. 31, 2016 unless otherwise specified. CLOs priced after Dec. 31, 2016 are not listed. Numbers may not add due to rounding.

iiCLO Asset Manager Handbook

Manager Profiles40|86 Advisors, Inc............................................................................................................ 1Allianz Global Investors..................................................................................................... 5American Money Management Corporation...................................................................... 9Anchorage Capital Group, L.L.C. .................................................................................... 13Angelo, Gordon & Co. ..................................................................................................... 16Apex Credit Partners LLC ............................................................................................... 19Apollo Global Management, LLC .................................................................................... 23Ares Management LLC ................................................................................................... 27AXA Investment Managers S.A....................................................................................... 33Bain Capital Credit, LP.................................................................................................... 38Ballyrock Investment Advisors LLC................................................................................. 42Barings LLC .................................................................................................................... 46BlackRock, Inc. ............................................................................................................... 51BlueMountain Capital Management, LLC........................................................................ 56BNP Paribas Investment Partners................................................................................... 59Cairn Loan Investments LLP........................................................................................... 63Carlyle Group, The.......................................................................................................... 67Chenavari Investment Partners....................................................................................... 72Chicago Fundamental Investment Partners, LLC............................................................ 76CIFC Asset Management LLC ........................................................................................ 78Columbia Management Investment Advisers, LLC ......................................................... 82Commerzbank Debt Fund Management ......................................................................... 86Credit Suisse Asset Management ................................................................................... 90Crescent Capital Group LP ............................................................................................. 95Crestline Denali Capital, L.P. .......................................................................................... 99CVC Credit Partners, LP ............................................................................................... 103DFG Investment Advisers, Inc....................................................................................... 108Fortress Investment Group LLC.................................................................................... 112GC Advisors LLC (Golub Capital) ................................................................................. 116GLG Partners LP........................................................................................................... 121GoldenTree Asset Management, LP............................................................................. 124GSO / Blackstone Debt Funds Management LLC......................................................... 128Guggenheim Investments ............................................................................................. 135Halcyon Loan Management LLC................................................................................... 139HPS Investment Partners, LLC ..................................................................................... 143Insight Investment ......................................................................................................... 147Intermediate Capital Group ........................................................................................... 151Invesco Senior Secured Management, Inc. .................................................................. 155KKR Credit Advisors (US) LLC...................................................................................... 160Kramer Van Kirk Credit Strategies LP........................................................................... 165LCM Asset Management LLC ....................................................................................... 168Marathon Asset Management, LP................................................................................. 172

Continued on next page.


CLO Asset Manager Handbook iii

Manager Profiles (Continued)Marble Point Credit Management LLC.......................................................................... 176MidOcean Credit Fund Management LP....................................................................... 179Monroe Capital, LLC ..................................................................................................... 182Napier Park Global Capital (US) LP.............................................................................. 186Neuberger Berman Group LLC ..................................................................................... 189Newfleet Asset Management, LLC................................................................................ 194NewStar Financial, Inc. ................................................................................................. 197NXT Capital Investment Advisers, LLC......................................................................... 201NYL Investors LLC........................................................................................................ 206Oak Hill Advisors, L.P. .................................................................................................. 209Oaktree Capital Management, L.P. ............................................................................... 214Och-Ziff Capital Management Group LLC..................................................................... 219Octagon Credit Investors, LLC...................................................................................... 223Palmer Square Capital Management LLC..................................................................... 227PineBridge Investments LLC......................................................................................... 229Prudential Fixed Income ............................................................................................... 234Redding Ridge Asset Management LLC....................................................................... 238Rothschild Group .......................................................................................................... 239Seix Investment Advisors LLC ...................................................................................... 244Shenkman Capital Management, Inc. ........................................................................... 248Sound Point Capital Management, LP .......................................................................... 251Steele Creek Investment Management ......................................................................... 255TCI Capital Management LLC....................................................................................... 259Telos Asset Management LLC...................................................................................... 262THL Credit Advisors LLC .............................................................................................. 265Trinitas Capital Management, LLC................................................................................ 269Triumph Capital Advisors, LLC...................................................................................... 271Valcour Capital Management LLC ................................................................................ 275Voya Investment Management Co. LLC ....................................................................... 279Wellfleet Credit Partners, LLC....................................................................................... 283York CLO Managed Holdings, LLC............................................................................... 287ZAIS Group, LLC........................................................................................................... 290


140|86 Advisors, Inc.

40|86 Advisors, Inc.Founded in 1981, 40|86 Advisors, Inc. (40|86) is a wholly owned subsidiary of CNO Financial Group, Inc. (CNO). As of Dec. 31, 2016, 40|86 had approximately USD25.7 billion in assets under management (AUM) across a wide range of fixed-income securities, including structured finance bonds, investment-grade and high-yield corporate bonds, bank loans, commercial mortgage loans and government securities. 40|86 mainly serves insurance companies; it also manages six CLOs that invest in broadlysyndicated loans.

Firm ProfileRegion(s) of Operation U.S.

Address 535 N. College Drive Carmel, IN 46032

Firm Type Multistrategy asset management

Year Established 1996 (CLO operations)Assets Under Management USD25.69 Bil.

Total Employees/Investment Professionals 72/38Active CLOs Under Management 6

Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) Dedicated Capital to Fund Risk Retention USD207 Mil.Key Affiliates (Global) CNO Financial Group, Inc. — Parent

CreekSource, LLC — C-MOABankers Life and Casualty Company, Washington National Insurance Company, Colonial Penn Life Insurance Company — Other affiliates

Loan Management ProfileRegion(s) U.S.

Leveraged Loan AUM USD1.86 Bil.Loans Managed via CLOs 93%

CLO Team Leader(s) Eddy PiedraCLO Portfolio Managers (PMs)/Avg. Experience 2/19 Years

Credit Analysts, Non-PMs/Avg. Experience 10/6.1 Years Loan Team Credits Per Analyst (including PMs) 31Approximate No. of Invested Credits 311

0.00.20.40.60.81.01.21.41.61.82.0

2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

Loan Assets Under Management

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40|86 Advisors, Inc. 2

U.S. Credit Committee Experience (Years)

Name Title Role Firm IndustryEddy Piedra Vice President Bank Loans and CLOs 9 20Matt Hall Senior Vice President Head of Credit Research 9 18Bryan Higgins Associate Vice President Bank Loan Trader 18 18

U.S. CLOs Under ManagementPortfolio Balance Compliance

(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRSugar Creek 4/12 Amortizing 284 183 Y N — — —Cedar Creek 2/13 Reinvestment 413 413 Y N — — —Silver Creek 6/14 Reinvestment 363 363 Y N — — —Clear Creek 2/15 Reinvestment 307 307 Y N Originator — C-MOABean Creek 12/15 Reinvestment 306 306 Y N Originator — C-MOAMill Creek II 3/16 Reinvestment 303 303 Y N Originator — C-MOATotal 1,976 1,875

VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

CLOs0.9%

Other64.0%

Total AUM By Asset Type

Syndicated Loans7.2%

High Yield Bonds3.9%

Structured Credit23.9%

CLO Investors

7.0%Other15.0%

Total AUM By Investor Type

Insurance78.0%

Europe5.5%

Other4.4%

U.S.90.1%

Loan AUM By Region

CLOs93.0%

Managed Accounts

7.0%

Loan AUM By Product Type

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Broadly

3 40|86 Advisors, Inc.

CNO Financial Group

40|86 Advisors

Colonial Penn LifeInsurance CompanyWashington National Bankers Life and

Casualty Company

CreekSource

Organizational Structure

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40|86 Advisors, Inc. 4

The Fitch ViewKey Considerations• Benefits from support and resources of its parent company, CNO.• Robust oversight and control environment.• Experienced structured vehicle issuer, having managed 19 CDOs/CLOs since 1996.• Committee process is ad hoc rather than formalized. However, investment approval typically

requires unanimous consent from team members.Company• 40|86 is the investment arm and wholly owned subsidiary of CNO, a publicly traded

insurance company, with approximately USD26 billion in AUM as of Dec. 31, 2016.• In response to EU risk retention rules, CreekSource, LLC, a wholly owned subsidiary of

CNO, was formed as a Capitalized Majority-Owned Affiliate to hold the retention interest(CLO equity) and also serve as the collateral manager. 40|86 acts as a sub-adviser to thecollateral manager.

• Senior members of the bank loan team average 19 years of industry experience. CLOplatform head Eduardo Piedra has 12 years of direct CLO management experience, inaddition to broader bank loan experience.

• The CLO platform is a cooperative effort primarily involving the bank loan group, creditresearch, operations and IT resources.

Investments• The bank loan team has five members dedicated to bank loan trading and management of

the CLO portfolios.• Credit research has 10 members covering an average of 49 high-yield credits and

50 investment-grade credits.• Prescreened investments undergo a three-stage analytical process consisting of industry,

company and capital structure analyses, followed by an ad hoc committee process.• Portfolio credit scoring model is based on credit risk, industry risk and relative value.• The team has three specialists dedicated to working out distressed credits.• The loan portfolio has experienced an annualized default rate of 0.53% since 2008.Controls• Strong oversight provided by parent CNO, including annual internal audits and risk

assessments of all essential investment management functions.• 40|86 has been an SEC-registered investment adviser since 1982. An SEC review

was conducted in February 2012; no material findings were reported. CreekSource is arelying adviser.

• The firm monitors indenture compliance daily to review any issues from the previousday’s trading.

Operations• Procedures for trade settlement and cash flow and holdings reconciliation with CLO trustees

are comprehensive and conducted by a dedicated operations team.• Portfolios are priced daily through Markit Loan Pricing, and Intex is used to model and

project cash flows.• Timely trade settlement is a high priority for the operations team. 40|86 currently averages

between four and 15 business days to settlement for par loans.Technology• Wall Street Office is being installed for a more efficient management of the portfolio from

trading to tracking through compliance reporting.• The IT platform is fully integrated through central databases where portfolio records,

analytics and live market data are stored.• 40|86 has access to multiple third-party analytical tools, including Intex, Yield Book, IDC,

Markit, rating agency data feeds and research subscriptions.• Disaster recovery and business continuity plans are well documented and tested quarterly.

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5Allianz Global Investors

Allianz Global InvestorsAllianz Global Investors (AllianzGI) forms part of the broader Allianz Group, which also includes the PIMCO investment management business. As of Dec. 31, 2016, AllianzGI had approximately USD506 billion in global assets under management (AUM), with a high diversity in both strategies and investor base. The U.S. income and growth strategies team is responsible for overseeing CLOs, in addition to investments in high-yield bonds, fixed income and equity. The team has issued six CLOs since 2000.

Firm ProfileRegion(s) of Operation GlobalAddress 1633 Broadway, New York, NY 10019/

600 W. Broadway, San Diego, CA 92101Firm Type Multistrategy asset managementYear Established 1895 Assets Under Management USD506 Bil.Total Employees/Investment Professionals 2,880/611Active CLOs Under Management 4Current/Planned Risk Retention Structure Not ReportedDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Allianz SE — Parent



CLO Team Leader(s) William (Brit) L. StickneyCLO Portfolio Managers (PMs)/Avg. Experience 4/24 Years

Credit Analysts, Non-PMs/Avg. Experience 7/14 YearsLoan Team Credits Per Analyst (including PMs) 40Approximate No. of Invested Credits 120

0.0

0.5

1.0

1.5

2.0

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Allianz Global Investors 6

U.S. 100%

Loan AUM By Region


Name Title Role Firm IndustryWilliam (Brit) L. Stickney Managing Partner Lead Portfolio Manager 17 28Douglas G. Forsyth Managing Director CIO 22 25Justin M. Kass Managing Director Portfolio Manager 16 20Michael E. Yee Managing Director Portfolio Manager 22 24


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRNACM CLO I 6/06 Called 300 0 N N — — —NACM CLO II 9/06 Called 198 0 N N — — —West CLO 2012-1 11/12 Reinvesting 450 436 Y N — — —West CLO 2013-1 11/13 Reinvesting 450 442 Y N — — —West CLO 2014-1 7/14 Reinvesting 450 449 Y N — — —West CLO 2014-1 1/15 Reinvesting 400 404 Y N — — —Total 2,248 1,731



aIncludes CLOs (0.3%).


Othera

96.9%

Othera

65.6%


aIncludes CLO investors (0.3%), endowment (0.3%), pension/retirement (2.5%) and bank (0.8%).

Insurance34.4%

Managed Funds50.1%

Othera

49.9%



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7Allianz Global Investors

Allianz Asset Management AG

Allianz Asset Management of America LPa

Allianz SE

Allianz Global Investors GmbH

Allianz Global Investors U.S. Holdings LLC

aAllianz Asset Management AG owns both a direct 0.1% non-managing interest and an indirect 0.1% managing (controlling) interest, and Allianz of America holds a direct 99.8% non-managing interest.


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Allianz Global Investors 8

The Fitch ViewKey Considerations• The company benefits from the substantial scale and resources of its strong and stable

parent, Allianz Group: USD1.9 trillion in AUM (including PIMCO and AllianzGI), with adiversified asset and investor base.

• The company employs best-in-class risk management and compliance oversight, coupledwith proprietary systems that integrate portfolio management tools, compliance andadministrative functions.

• Maintaining consistent CLO AUM given runoff of legacy CLOs and challenging marketconditions that affect new CLO issuance will be an ongoing challenge.

Company• The U.S. income and growth strategies team, responsible for overseeing CLOs, manages

diversified strategies, including high yield, convertibles, CDOs (it has issued six CLOs since2000) and traditional income and growth.

• Low senior management turnover, as evidenced by portfolio managers (PMs) on the teamwith an average of more than 24 years of industry experience and more than 16 years’experience working together at AllianzGI. Four PMs supported by seven generalist researchanalysts.

• PMs average more than 19 years of experience with the company.• AllianzGI has a diversified global investor base consisting of both institutional and

retail investors.• AllianzGI announced in December 2016 its agreement to acquire experienced CLO manager

Sound Harbor Partners. The transaction is expected to close in the first quarter of 2017.

Investments• Buy-and-hold portfolio management strategy, with an underlying investment philosophy

based on fundamental bottom-up research with a focus on minimizing credit risk.• The team builds portfolios with a target of holding 120 names, all of equal weighting,

focusing on credit selection in areas it views as having the best earnings visibility.• Maintains internal ratings on all credits, based on eight factors: liquidity, capital structure,

percentage of capitalization, asset utilization, coverage ratios, margins, cash flow andleverage ratios.

• Portfolios are constructed to consist of equally weighted positions, demonstrating equalconviction across names.

Controls• AllianzGI holds multiple risk monitoring reviews to ensure rule adherence. The culture is

strongly focused on risk management due to the nature of the parent company’s status as alarge global insurer.

• The company has a deep risk management team, with more than 70 dedicated specialistsglobally who average more than 10 years of risk management experience.

• In addition to the presence of two compliance officers onsite who review all trades, anindependent business risk group focuses on macro-level issues.

Operations• Three-way daily reconciliations are performed to tie out cash and positions among AllianzGI,

Wall Street Office (WSO) and U.S. Bank, as trustee.• Quarterly investor reporting includes the trustee report and a quarterly letter featuring market

insight and commentary as well as deal-specific information.• Administrative capabilities reflect the highly qualified and experienced staff interacting with

appropriate systems and processes.

Technology• The integrated and flexible platform is based on a combination of proprietary Excel-based

analytics and third-party administration systems, including widely accepted industry systemssuch as WSO.

• The business continuity plan is appropriate and tested. Multiple redundancies in theDallas offices, Citrix, remote access and cloud servers have performed in disaster scenarios.

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9 American Money Management Corporation

American Money Management CorporationAmerican Money Management Corporation (AMMC) is a wholly owned subsidiary of American Financial Group, Inc. (AFG), an insurance holding company based in Cincinnati. AMMC was established in 1973 to provide investment management services to AFG and its subsidiaries as well as third-party pooled investment vehicles. As of Dec. 31, 2016, it managed approximately USD4.5 billion of broadly syndicated loans across 11 CLOs.

Firm ProfileRegion(s) of Operation U.S.Address 301 East Fourth Street

Cincinnati, OH 45202Firm Type Wholly owned subsidiary of American Financial Group, Inc.Year Established 1973Assets Under Management USD4.5 Bil.Total Employees/Investment Professionals 38/21Active CLOs Under Management 11Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Great American Insurance Company;

Great American Life Insurance Company


Leveraged Loan AUM USD4.5 Bil. Loans Managed via CLOs 100%

CLO Team Leader(s) Chester Eng, Dave MeyerCLO Portfolio Managers (PMs)/Avg. Experience 2/25+ Years

Credit Analysts, Non-PMs/Avg. Experience 14/20+ YearsLoan Team Credits Per Analyst (including PMs) 30–35 Approximate No. of Invested Credits 615

0

1

2

3

4

5

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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American Money Management Corporation 10

CLOs100.0%



Name Title Role Firm IndustryChester Eng Senior Vice President Portfolio Manager 28 31Dave Meyer Senior Vice President Portfolio Manager 26 26


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRAMMC CLO IX 11/11 Reinvesting 450 426 Y N — — —AMMC CLO X 2/12 Amortizing 410 280 Y N — — —AMMC CLO XI 9/12 Reinvesting 450 436 Y N — — —AMMC CLO XII 3/13 Reinvesting 417 402 Y N — — —AMMC CLO XIII 11/13 Reinvesting 411 399 Y N — — —AMMC CLO XIV 6/14 Reinvesting 410 400 Y N — — —AMMC CLO 15 11/14 Reinvesting 505 497 Y N — — —AMMC CLO 16 4/15 Reinvesting 510 498 Y N — — —AMMC CLO 17 11/15 Reinvesting 358 354 Y N — — —AMMC CLO 18 4/16 Reinvesting 406 402 Y N — — —AMMC CLO 19 10/16 Reinvesting 460 451 Y N — — —Total 4,787 4,545VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

Europe10.0%

U.S./Canada90.0%

Loan AUM By Region


SyndicatedLoans

100.0%

Banks75.0% Other

5.0%


Insurance5.0%

Endowments5.0%

Pension/Retirement

5.0%CLO Investors

5.0%

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Broadly

11 American Money Management Corporation

American Financial Group, Inc.

American Money Management Corporation

100%


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American Money Management Corporation 12

The Fitch ViewKey Considerations• Extensive experience and depth of staff at both management and research levels.• Experienced CLO issuer showing stable performance.• Strong commitment to CLO platform from AFG.• The CLO compliance system is heavily reliant on manually maintained Excel spreadsheets

rather than more industry-standard web applications. This is mitigated by the long-provenfunctionality of the system and the experience and stability of the compliance staff inmaintaining and regularly enhancing it.

Company• As of Dec. 31, 2016, AMMC managed approximately USD4.5 billion of senior loans across

nine CLOs. It has issued 19 CLOs since 1999.• The CLO platform is well staffed at all levels, and the investment team averages 20-plus

years of industry experience. The credit research team has 16 members, including seniormanagers Chester Eng and Dave Meyer.

• AMMC or affiliates typically retain significant portions of equity in their CLOs, rangingbetween 30% and 51% per deal for more recent transactions.

Investments• AMMC’s investment philosophy is value oriented, with a strong emphasis on fundamentals

and experienced sector views.• The team focuses primarily on first-lien senior-secured loans and tends to take a buy-and-

hold approach to investments.• Analysts are given a great deal of responsibility, including forming sector weightings in

addition to buy/sell/hold recommendations.• A team-and-consensus approach is employed, wherein input from all analysts, portfolio

managers and traders is considered.Controls• As a wholly owned subsidiary of publicly traded AFG, AMMC is subject to strong internal and

external oversight.• AMMC completed its SEC investment adviser registration process in 2012 and is subject to

periodic reviews.• Overall, AMMC operates under a sound control environment, with close oversight by AMMC

and AFG senior management.Operations• AMMC exhibits strong overall CLO administration capabilities, exemplified by the issuance of

19 transactions since 1999. When compared to S&P’s LCD LoanStats, the CLO loanportfolio has outperformed the market in terms of defaults on an annualized basis since2000.

• The CLO team uses proprietary cash flow models and Excel-based models for complianceand trustee cash/position reconciliation.

• AMMC provides commentary to its CLO investors on a quarterly basis via its investor letters,in addition to the monthly trustee reports. Commentary typically outlines portfoliodevelopments, the current state of the market and ongoing management strategy.

Technology• AMMC shares IT resources with AFG.• Portfolio management has access to third-party pricing services in addition to Bloomberg

and several industry-level research publication subscriptions.• Disaster recovery and business continuity plans are tested frequently, and remote access

capabilities for all employees have been implemented within the past year.

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13 Anchorage Capital Group, L.L.C.

Anchorage Capital Group, L.L.C.Anchorage Capital Group, L.L.C. (Anchorage) is a New York-based investment adviserfounded in 2003. Its investments include a wide range of both liquid and illiquid assets across companies’ capital structures. As of Dec. 31, 2016, Anchorage had assets under management (AUM) of USD16.4 billion in funds and USD4.7 billion in bank loans. As of Jan. 31, 2017, Anchorage managed USD6.5 billion in CLOs and CDOs.

Firm ProfileRegion(s) of Operation U.S.Address 610 Broadway, 6th Floor

New York, NY 10012Firm Type Hedge fund sponsored credit managerYear Established 2003Assets Under Managementa,b USD16.4 Bil.Total Employees/Investment Professionals 149/49 (U.S.); 26/15 (Europe); 5/4 (Australia)Active CLOs Under Management 13Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) IndependentaIncludes all pooled investment funds and single-investor funds managed by Anchorage (collectively, the Anchorage Funds) as of Dec. 31, 2016. The market value of any direct investments in the CLOs and CDOs managed by Anchorage (the Anchorage CLOs) that are held by the Anchorage Funds is included in firm AUM. However, the total AUM of such Anchorage CLOs is not included in this figure. bCLO AUM (USD6.5 billion) reflects the notional value of the assets, plus cash, held by Anchorage CLOs. Certain notes issued by Anchorage CLOs are owned by Anchorage Funds. Includes CLOs and CDOs that are closed as of Jan. 31, 2017. For the avoidance of doubt, the market valueof any direct investments in the Anchorage CLOs that are held by the Anchorage Funds is also included in the firm’s AUM figure.


Leveraged Loan AUMa USD5.4 Bil.Loans Managed via CLOsb 89%

CLO Team Leader(s) Yale Baron and Soo Kim CLO Portfolio Managers (PMs)/Avg. Experience 2/16 Years

Credit Analysts, Non-PMs/Avg. Experience 44Loan Team Credits Per Analyst (including PMs) Not ReportedApproximate No. of Invested Creditsc 185aRepresents the traded notional amount of U.S. dollar-denominated leveraged loans that were at any time traded on par documents held by all Anchorage Funds and Anchorage CLOs. It is the outstanding notional exposure as of Dec.31, 2016 (or as of year-end 2006 through 2016 in the bar chart on the following page). The information contained herein is estimated based on unaudited data and subject to rounding. Additional information on calculation methodology is available upon request from Anchorage. bRepresents the outstanding traded notional amount of U.S.dollar-denominated leveraged loans that were at any time traded on par documents held by all Anchorage CLOs divided by the outstanding traded notional amount of U.S. dollar-denominated leveraged loans that were at any time traded on par documents held by all Anchorage Funds and Anchorage CLOs as of Dec. 31, 2016. The information contained herein is estimated based on unaudited data and subject to rounding. Additional information on calculation methodology is available upon request from Anchorage. cAs of Jan. 31, 2017.

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Anchorage Capital Group, L.L.C. 14


Name Title Role Firm IndustryDan Allen President and Senior Portfolio Manager ICM 8 24Yale Baron Portfolio Manager, Head of Structured Credit and Co-Head of CLO ICM 8 19Soo Kim Portfolio Manager and Co-Head of CLO ICM 7 13Michael Aglialoro Managing Director ICM 12 25Paul Gordon Managing Director and Head of U.S. Portfolio Group ICM 5 20

ICM – Investment committee member.

U.S. CLOs Under Managementa

Portfolio Balance Compliance(USD Mil.) EU RR U.S. RR Form

Name Pricing Status Original Current VR CRR Method Method of RRAnchorage Capital 2012-1 12/12 Reinvesting 517 498 Y N — — —Anchorage Capital 2013-1 6/13 Reinvesting 515 496 Y N — — —Anchorage Capital 3 2/14 Reinvesting 518 497 Y N — — —Anchorage Capital 4 5/14 Reinvesting 622 596 Y N — — —Anchorage Capital 5 10/14 Reinvesting 521 498 Y N — — —Anchorage Capital 6 3/15 Reinvesting 570 549 Y N — — —Anchorage Credit Funding 1 5/15 Reinvesting 540 530 N N — — —Anchorage Capital 7 8/15 Reinvesting 516 503 Y N — — —Anchorage Credit Funding 2 12/15 Reinvesting 418 415 N N — — —Anchorage Capital 8 6/16 Reinvesting 410 401 Y N — — —Anchorage Credit Funding 3 7/16 Reinvesting 433 431 N N — — —Anchorage Capital 9 11/16 Reinvesting 564 551 Y N — — —Anchorage Credit Funding 4 11/16 Reinvesting 504 495 N N — — —Total 6,644 6,460aSee Firm Profile section on previous page for more information about CLO AUM. VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

0

1

2

3

4

5

6

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

Loan Assets Under Managementa

aSee Loan Management Profile section on previous page for more information about loan AUM.

Total AUM By Product Type

aSee Firm Profile section on previous page for more information about AUM. bSee Firm Profile section on previous page for more information about CLO AUM.

Managed Fundsa

71.6%

CLOsb

28.4%

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15 Anchorage Capital Group, L.L.C.

The Fitch ViewKey Considerations• Strong historical AUM growth and focus on loan asset class across products ensure strong

resources devoted to CLO platform. • Given the size and focus of its flagship credit opportunities fund, not significantly dependent on

future CLO issuance to drive profitability. • Compensation structure facilitates communication and sharing of resources across the firm.• Further growth of CLO business could be pressured given loan market supply/demand dynamics.Company• Established in 2003, Anchorage manages private investment funds across various markets

globally using both short and long strategies, with a focus on defaulted and leveraged issuers. • Headquartered in New York, with additional affiliate offices in London, Sydney and Luxembourg,

Anchorage has 180 employees, 68 of whom are dedicated investment professionals.• Anchorage maintains a majority of the equity in all of its CLOs. Compensation is tied to

performance of company as a whole, which fosters a team-oriented approach, organizationalstability and investment decisions geared to long-term performance.

Investments• Focus on total return through bottom-up fundamental value investing and opportunistic yet active

portfolio management. • The CLO investment committee is chaired by a senior portfolio manager; its five members

average 19 years’ experience.• Forty-four research analysts provide support for all Anchorage funds, specifically covering a total

of approximately 185 issuers for the CLOs. Analysts are allocated by sector and are responsiblefor making investment recommendations based on credit risk.

• Credit selection criteria include emphasis on loan to value, downside protection and capitalstructure analysis. Anchorage is selective with investments, with a 70% turndown rate.

• Credits may be approved on an equal weight (1.0%), underweight (approximately 0.5%) oroverweight (2.0%, with some exceptions up to 2.5%) basis.

Controls• Pre- and post-trade relative-value analysis at trade and portfolio level.• Various daily, weekly, monthly and quarterly risk management reporting and oversight functions. • Anchorage has compliance and governance processes and policies in place to support accuracy

of trading, portfolio management and administration functions. • Compliance team and reporting tools provide good support for risk and control data collection as

well as Anchorage’s reporting capabilities.Operations• Strong and ongoing communication between operations team and trustee. • Administrative capabilities reflect highly qualified staff interacting with appropriate systems

and processes. • Automated and integrated daily reconciliation of cash and securities with Bank of New York and

U.S. Bank, the trustees, as well as through Front Arena, Wall Street Office (WSO) and CDOnet.• High standard of internal daily, weekly, monthly and quarterly reporting, integrated into work flow

to provide holistic approach to administration. • CLO information is accessed by investors through the trustee website.Technology• Dedicated infrastructure team of 85 professionals and an administrative team of 27 professionals.• Centralized and integrated platform for trading and settlement, portfolio and risk management.• Third-party administration systems, including widely accepted industry systems such as Markit

WSO, Intex, Front Arena and Moody’s CDOnet, are employed in addition to proprietary tools.

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16 Angelo, Gordon & Co.

Angelo, Gordon & Co.Angelo, Gordon & Co., L.P. (Angelo, Gordon), founded in 1988, is a privately held firm specializing in alternative investments. The firm’s business comprises five principal lines: distressed debt and leveraged loans, real estate debt and equity, residential and commercial mortgage-backed and asset-backed securities, private equity and special situations, and multistrategy. As of Dec. 31, 2016, Angelo, Gordon had approximately USD27 billion of assets under management (AUM), including USD4.7 billion in leveraged loans.

Firm ProfileRegion(s) of Operation U.S.Address 245 Park Avenue, 26th Floor

New York, NY 10167Firm Type Multistrategy asset management Year Established 1988Assets Under Management USD27 Bil.Total Employees/Investment Professionals 416/164Active CLOs Under Management 5Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Angelo, Gordon & Co.



CLO Team Leader(s) Maureen D’AllevaCLO Portfolio Managers (PMs)/Avg. Experience 1/29 Years

Credit Analysts, Non-PMs/Avg. Experience 7/16 YearsLoan Team Credits Per Analyst (including PMs) 30 or lessApproximate No. of Invested Credits 225

0.01.02.03.04.05.06.07.0

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Angelo, Gordon & Co. 17

CLOs9.8%

Middle Market

8.3%

Other75.3%


Broadly Syndicated

Loans6.6%

CLO Investors

59.9%

Othera7.6%


aOther includes endowment (0.4%).

Insurance6.8%

Pension/ Retirement

25.7%

Europe1.3%

U.S.98.7%

Loan AUM By Region

CLOs59.9%

Managed Funds14.8%

Managed Accounts

25.3%



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRNorthwoods Capital 3/99 Called 500 0 N N — — —Northwoods Capital II 3/00 Called 465 0 N N — — —Northwoods Capital III 4/01 Called 430 0 N N — — —Northwoods Capital IV 5/04 Called 500 0 N N — — —Northwoods Capital V 12/05 Called 493 0 N N — — —

N — — —Northwoods Capital VI 3/06 Called 586 0 NN — — —Northwoods Capital VII 9/06 Called 490 0 NN — — —Northwoods Capital VIII 6/07 Called 487 0 NN — — —Northwoods Capital IX 12/12 Amortizing 600 609 YN — — —Northwoods X 9/13 Reinvesting 350 350 NN — — —Northwoods XI 4/14 Reinvesting 600 597 YN — — —Northwoods XII 9/14 Reinvesting 600 599 YN — — —Northwoods XIV 12/14 Reinvesting 500 499 YN —Northwoods XV 2Q17 Ramp Up Y MOA Horizontal

Total 6,601 2,654

VR − Volcker Rule. CRR −European Capital Requirements Regulation. RR – Risk retention.

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Loans

18 Angelo, Gordon & Co.

Angelo, Gordon & Co., LPU.S. SEC Registered Investment Advisory Firm

Angelo, Gordon Asia LimitedAffiliated Hong

Kong Office

Angelo, Gordon International LLC

Affiliated Tokyo Office

Angelo, Gordon Asia Limited

Affiliated Seoul Office

Angelo, Gordon Europe LLP

FSA Registered Advisory Firm &

Affiliated London Office

Angelo, Gordon Netherlands B.V.

Affiliated Amsterdam Office

Angelo, Gordon Germany GmbH

Affiliated Frankfurt Office


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19 Apex Credit Partners LLC

Apex Credit Partners LLCApex Credit Partners LLC (Apex) is the successor organization to the asset management group of Jefferies Finance LLC (JFIN). It is wholly owned by JFIN, which, in turn, is 50% owned by Jefferies Group LLC (Jefferies), a global investment banking firm, and 50% owned by Massachusetts Mutual Life Insurance Company (MassMutual). As of Dec. 31, 2016, Apex had assets under management (AUM) or sub-advised AUM of USD5.3 billion among 13 CLOs and two warehouse facilities.

Firm ProfileRegion(s) of Operation U.S.Address 520 Madison Ave, 18th Floor

New York, NY 10022Firm Type Commercial finance co. affiliated CLO managerYear Established 2004 (including predecessor)

USD5.3 Bil.Assets Under Management Total Employees/Investment Professionals 15/13Active CLOs Under Management 13Current/Planned Risk Retention Structure Firm-provided capitalDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Jefferies Finance LLC, Jefferies Group LLC,

Massachusetts Mutual Life Insurance Company



CLO Team Leader(s) David Wells, Steve Goetschius, Andrew SternCLO Portfolio Managers (PMs)/Avg. Experience 3/25 Years

Credit Analysts, Non-PMs/Avg. Experience 10/9 YearsLoan Team Credits Per Analyst (including PMs) 45 Approximate No. of Invested Credits 450

0.01.02.03.04.05.06.0

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016


Note: Includes sub-advised AUM.

(USD Bil.)

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Apex Credit Partners LLC 20


Name Title Role Firm IndustryDavid Wells Chief Investment Officer CIO 12 27Steve Goetschius Managing Director PM 10 32Andrew Stern Managing Director PM 4 18


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRJFIN CLO 2007 LTD I 6/07 Amortizing 407 162 N N — — HorizontalJFIN CLO 2012 LTD 7/12 Amortizing 314 221 Y N — — HorizontalJFIN CLO 2013 LTD 3/13 Reinvesting 462 462 Y N — — HorizontalJFIN Revolver CLO 10/13 Amortizing 424 289 Y Y Originator — HorizontalJFIN CLO 2014 LTD 3/14 Reinvesting 522 522 Y N — — HorizontalJFIN MM CLO 2014 LTD 3/14 Reinvesting 309 309 Y Y Originator — HorizontalJFIN CLO 2014-II LTD 6/14 Reinvesting 563 563 Y N — — HorizontalJFIN Revolver CLO 2014 7/14 Amortizing 498 438 Y Y Originator — HorizontalJFIN CLO 2015 LTD 3/15 Reinvesting 513 513 Y Y Originator — HorizontalJFIN Revolver CLO 2015 3/15 Amortizing 422 327 Y Y Originator — HorizontalJFIN Revolver CLO 2015-II 4/15 Amortizing 164 137 Y Y Originator — HorizontalJFIN CLO 2015-II 9/15 Reinvesting 410 410 Y Y Originator — HorizontalJFIN CLO 2016 LTD 7/16 Reinvesting 354 354 Y Y Originator — HorizontalTotal 5,362 4,707VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.


SyndicatedLoans88.1%

Middle Market Loans 11.9%

CLO Investors

70.8%

Bank29.2%


U.S.100.0%

Loan AUM By Region

CLOs87.7%

Other12.3%


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Broadly

21 Apex Credit Partners LLC

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Apex Credit Partners LLC 22

The Fitch View

Key Considerations• Demonstrated individual track record managing CLOs, combined with tenured and

experienced professional team at all levels.• Apex benefits from strong support of its parent company, JFIN, which has a diverse revenue

stream from both underwriting and portfolio management.• Protocols are in place to avoid potential conflict of interest by maintaining an effective wall of

separation between Apex’s and JFIN’s underwriting and origination business, as well asrules governing participation in JFIN-underwritten loans.

Company• Apex, a registered investment adviser, is the successor organization to JFIN Asset

Management and is wholly owned by JFIN. JFIN is 50% owned by Jefferies (which itself isowned by Leucadia National Corporation [Leucadia]) and 50% owned by MassMutual.

• Jefferies is a global investment banking firm. Leucadia, which merged with Jefferies in March2013, is a diversified holding company with investments in a variety of businesses.

• Apex is the CLO asset management business of JFIN with AUM of USD5.3 billion as ofDec. 31, 2016.

• Credit research has been bolstered by 10 analysts responsible for covering approximately45 credits each, based on industry.

Investments• The team takes a fundamental, bottom-up credit-driven approach and typically employs a

buy-and-hold strategy.• Fundamental credit view results in strong conviction and a more buy-and-hold

investment strategy.• Credit views are supplemented by industry and competitor analysis from Apex’s underwriting

and pricing and relative-value analyses.• Surveillance is ongoing and includes daily reviews of market events, industry updates and

credit events. There are additional quarterly portfolio reviews of watchlist and classified loansor on an ad hoc basis as needed.

• Apex and JFIN own a majority of the equity of the CLOs.Controls• Apex’s use of Black Mountain Systems’ Everest platform is supplemented by proprietary

systems to provide credit risk, loan monitoring, compliance, and pricing services for thefirm’s portfolio.

• Apex performs formal quarterly portfolio reviews, with results reported to the board ofdirectors at JFIN.

• Additional independent oversight and diligence performed by JFIN and its outside auditor(Deloitte & Touche LLP).

Operations• Apex has in place daily reconciliation of cash and loans with State Street and US Bank,

as trustees.• All portfolio management and credit analysis functions are performed by either Apex or the

trustee. Models are run daily to ensure compliance with CLO tests.• Daily internal reconciliation of cash and positions and weekly reconciliation of securities with

custodians and administrators.Technology• Multiple systems used, including Everest, which is customized by Black Mountain Systems

for portfolio management, credit monitoring, compliance and trading, with direct feeds fromMoody’s, S&P and Markit.

• Business continuity plan is adequate and tested, with daily data backup and multiplesystems redundancies leveraging off of JFIN.

The Fitch View

























The Fitch View

























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23 Apollo Global Management, LLC

Apollo Global Management, LLCApollo Global Management, LLC (together with its subsidiaries, Apollo) is a global alternative investment management company founded in 1990. As of Dec. 31, 2016, the company had USD191.7 billion in assets under management (AUM), 986 employees and 15 offices globally. Apollo’s business is separated into three segments: private equity, real estate and credit. Globally, performing credit accounts for approximately 14% of total firm AUM.

Firm ProfileRegion(s) of Operation GlobalAddress 9 West 57th Street

New York, NY 10019Firm Type Global multistrategy asset managementYear Established 1990

USD191.7 Bil.Assets Under Management Total Employees/Investment Professionals 986/376 (Globally)Active CLOs Under Management 15 (U.S.)/4 (Europe)Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV) (U.S.)/Sponsor (Europe)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Not Reported

Loan Management ProfileRegion(s) Global

Leveraged Loan AUM USD26.1 Bil.Loans Managed via CLOs 86% (U.S.); 14% (Europe)

CLO Team Leader(s) Joseph MoroneyCLO Portfolio Managers (PMs)/Avg. Experience 6/18 Years (U.S.); 1/18 Years (Europe)

Credit Analysts, Non-PMs/Avg. Experience 16/7 Years (U.S.); 4/7 Years (Europe)Loan Team Credits Per Analyst (including PMs) 30 (U.S.); 25 (Europe) Approximate No. of Invested Credits 700 Globally

Note: Information provided reflects all performing credit, not just leveraged loans.

0

5

10

15

20

25

30

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

Total Performing Credit Assets Under Management

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Apollo Global Management, LLC 24


Name Title Role Firm IndustryJoseph Moroney Partner Senior Portfolio Manager,

Performing Credit Group Co-Head 8 23Dana Carey Partner Senior Portfolio Manager,

Performing Credit Group Co-Head 5 18James Zelter Senior Partner, CEO Managing Partner and Chief Investment Officer 11 30Anthony Civale Senior Partner Lead Partner and Chief Operating Officer 18 21Gregg Stover Portfolio Manager Portfolio Manager, Performing Credit 5 30David Saitowitz Portfolio Manager Portfolio Manager, Performing Credit 5 17James Vanek Managing Director Portfolio Manager, Performing Credit 9 16

European Credit Committee Experience (Years)

Name Title Role Firm IndustryJoseph Moroney Partner Senior Portfolio Manager,

Performing Credit Group Co-Head 8 23Dana Carey Partner Senior Portfolio Manager,

Performing Credit Group Co-Head 5 18James Zelter Senior Partner, CEO Managing Partner and Chief Investment Officer 11 30Dan Robinson Managing Director Portfolio Manager, Performing Credit 2 18Jeppe Gregersen Managing Director Portfolio Manager, European Credit 6 16


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRGulf Stream-Compass CLO 2002-I 12/02 Called 300 0 N N — — —Gulf Stream-Compass CLO 2003-I 8/03 Called 300 0 N N — — —Gulf Stream-Compass CLO 2004-1 8/04 Called 400 0 N N — — —Stone Tower CLO II 8/04 Called 300 0 N N — — —Gulf Stream-Compass CLO 2005-1 5/05 Called 465 0 N N — — —Stone Tower CLO III 5/05 Called 700 0 N N — — —Granite Ventures II 12/05 Called 361 0 N N — — —Gulf Stream-Compass CLO 2005-II 1/06 Called 465 0 N N — — —Stone Tower CLO IV 3/06 Called 750 0 N N — — —

VR − Volcker Rule. CRR −European Capital Requirements Regulation. RR – Risk retention.Continued on next page.

CLOs45.0%

Managed Accounts

21.0%

Other34.0%

Performing Credit AUM By Product Type

aIncludes commingled, at 30%, and retail, at 4%.

a

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25Apollo Global Management, LLC

U.S. CLOs Under Management (Continued)Portfolio Balance Compliance

(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRGranite Ventures III 5/06 Called 412 0 N N — — —Gulf Stream-Sextant CLO 2006-1 8/06 Called 375 0 N N — — —Stone Tower CLO V 8/06 Called 800 0 N N — — —Gulf Stream-Rashinban CLO 2006-I 11/06 Called 400 0 N N — — —Rampart CLO 2006-I 12/06 Called 613 0 N N — — —Stone Tower CLO VI 3/07 Amortizing 1,000 160 N N — — —Gulf Stream-Sextant CLO 2007-1 5/07 Called 500 0 N N — — —Cornerstone CLO 7/07 Called 680 0 N N — — —Gulf Stream-Compass CLO 2007 8/07 Called 300 0 N N — — —Stone Tower CLO VII 8/07 Called 600 0 N N — — —Rampart CLO 2007 10/07 Called 507 0 N N — — —Neptune Finance CCS 3/08 Called 263 0 N N — — —ALM Loan Funding 2010-1 6/10 Called 323 0 Y N — — —ALM Loan Funding 2010-3 12/10 Called 405 0 Y N — — —ALM IV 6/11 Called 461 0 Y N — — —ALM V 8/15a Reinvesting 486 478 Y N — — —ALM VI 6/12 Reinvesting 514 504 Y N — — —ALM VII 10/16a Reinvesting 729 702 Y N — — —ALM VII(R) 12/16a Reinvesting 409 401 Y N — — —ALM VII(R)-2 12/16a Reinvesting 944 901 Y N — — —ALM VIII 10/16a Reinvesting 609 595 Y N — — —ALM X 1/14 Reinvesting 711 695 Y N — — —ALM XIV 7/14 Reinvesting 1,542 1,496 Y N — — —ALM XI 9/14 Reinvesting 563 546 Y N — — —ALM XII N.A. Reinvesting 786 773 Y N — — —ALM XVI 7/15 Reinvesting 1,112 1,106 Y N — — —ALM XVII 12/15 Reinvesting 605 603 Y N — — —ALM XVIII 6/16 Reinvesting 450 452 Y N — — —ALM XIX 5/16 Reinvesting 473 476 Y N — — —Total 21,613 9,888aDate of refinancing. VR − Volcker Rule. CRR −European Capital Requirements Regulation. RR – Risk retention.

European CLOs Under ManagementCompliance

Portfolio Balance(EUR Mil.) EU RR Form

Name Pricing Status Original Current VR CRR Method of RRALME Loan Funding 2013-1 5/13 Called 334 0 N N Sponsor Vertical ALME Loan Funding II D.A.C. 12/16a Reinvesting 382 375 N Y Sponsor Vertical ALME Loan Funding III, Ltd. 12/14 Reinvesting 411 401 N Y Sponsor Vertical ALME Loan Funding IV B.V. 11/15 Reinvesting 459 451 N Y Sponsor Vertical ALME Loan Funding V B.V. 5/16 Reinvesting 357 350 N Y Sponsor Vertical Total 1,943 1,577aDate of refinancing. VR − Volcker Rule. CRR −European Capital Requirements Regulation. RR – Risk retention.

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Apollo Global Management, LLC 26

The Fitch ViewKey Considerations• An integrated global research platform, with both dedicated European and U.S. analyst

pools, gives CLO managers access to industry insights.• The formalized investment process ensures a standardized approach to credit selection and

investment, permitting investment through market cycles and across the capital structure.• Apollo has a demonstrated track record managing CLOs, as evidenced by continued strong

performance of the ALM CLOs and the acquired Gulf Stream and Stone Tower CLOs.• Retention of key staff and ability to preserve the talent pool amid increasing industry

competition.Company• Established in 1990, Apollo is a publicly listed company with headquarters in New York and

additional offices in Los Angeles, Bethesda, MD, Houston, Chicago, Toronto, London,Singapore, Shanghai, Frankfurt, Luxembourg, Madrid, Hong Kong, Mumbai and Delhi.

• The performing credit group manages USD26.1 billion across various products, including 20U.S. and European CLOs (two of which are past their reinvestment period), which makesApollo one of the largest CLO managers by AUM.

• Communication between private equity and credit research teams allows for added industryinsight.

• Apollo established its capitalized manager vehicle (CMV), Redding Ridge AssetManagement LLC, in late 2016 for the purpose of risk retention compliance. Apollo expectsto issue U.S. and European compliant CLOs through the CMV and provide it with sharedresources.

Investments• Apollo engages in active portfolio management with a relative-value focus, based on idea

generation and knowledge sharing across business segments.• Apollo has a rigorous credit selection process focused on non-investment-grade credits and

uses a formalized, bottom-up fundamental approach conducted by sector-focused analysts.• Apollo typically holds at least 51% equity in CLO transactions (except for acquired deals) to

be the controlling class and to control transaction performance.• Credit views are supplemented by extensive industry and competitor analysis from the

private equity group and pricing and relative-value analysis.Controls• Conflicts of interest are minimized by global policy of not investing in the debt of Apollo’s

portfolio companies — that is, companies owned by Apollo’s private equity arm.• Apollo has a centralized operations and risk management team, which includes 59

employees globally.• The company utilizes pre- and post-trade relative-value analysis at the trade and portfolio

level.• There are no walls of separation between Apollo’s investment teams. As a result, Apollo is

either public or private on a name firmwide, which minimizes conflict-of-interest risk.Operations• Apollo has in place daily reconciliation of cash and securities with the trustee. The company

has a strong relationship and constant dialogue with the trustee (primarily U.S. Bank).A specific team at U.S. Bank is dedicated to the Apollo account. Portfolio managers receivemonthly reconciliations with trustee reports for review.

• Operational procedures are sound, supported by a well-resourced fund administration teamand industry-standard tools such as Wall Street Office (WSO) for loan/CLO administration.

Technology• Apollo has in place a fully integrated and flexible platform based on a combination of

proprietary analytics and third-party administration systems, including industry-standardsystems such as Black Mountain Everest, WSO, SunGard VPM (for portfolio accounting)and Markit (for loan pricing information).

• Apollo’s business continuity plan is appropriate and tested annually.

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27Ares Management LLC

Ares Management LLCAres Management LLC (Ares) is a wholly owned subsidiary of Ares Management, L.P., a publicly traded global asset manager with approximately USD99 billiona of pro formaassets under management (AUM) and approximately 925 employees in over 15 principal and originating offices across the U.S., Europe, Asia and Australia as of Dec. 31, 2016.Ares operates three distinct but complementary investment groups that invest in the credit, real estate and private equity markets. Ares’ credit group accounted for USD64.1 billion of pro forma AUM, with approximately USD17 billion relating to CLOs.aAs of Dec. 31, 2016. AUM amounts include funds managed by Ivy Hill Asset Management, L.P., a wholly owned portfolio company of Ares Capital Corporation and a registered investment adviser. Pro forma AUM amounts are unaudited and reflect AUM as of Dec. 31, 2016, pro forma for Ares Capital Corporation’s acquisition of American Capital, Ltd., which closed on Jan. 3, 2017.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 2000 Avenue of the Stars, 12th Floor

Los Angeles, CA 9006710 New Burlington Street, 6th FloorLondon, W1S 3BE, U.K.

Firm Type Global alternative investment managerYear Established 1999 2007 Assets Under Management USD68.4 Bil. EUR14.9 Bil.Total Employees/Investment Professionals 767/280 134/76Active CLOs Under Management a 60 Globally Current/Planned Risk Retention Structure Varying on a deal by deal basis (U.S. and Europe) Dedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) Not Reportedb

aIncludes 55+ broadly syndicated CLOs, three market value CDOs and two synthetic CDOs. bSee Section 7 of Ares Management LLC’s SEC Form ADV Part 1.

Loan Management ProfileRegion(s) U.S. EuropeLeveraged Loan AUM USD14.7 Bil. EUR2.4 Bil.Loans Managed via CLOs 68.0% 12.5%CLO Team Leader(s) Seth Brufsky,

Daniel Hayward, John Leupp, Americo Cascella,Gregory Margolies, David Sachs

Ujjaval Desai, Fancois Gauvin, Gregory Margolies, David Sachs

CLO Portfolio Managers (PMs)/Avg. Experience 2/18.5 Years 2/23.2 Years Credit Analysts, Non-PMs/Avg. Experience 34/9 Years 7/12 YearsLoan Team Credits Per Analyst (including PMs) 40 globallyApproximate No. of Invested Credits Direct investments: 700+; Maintain research coverage:1,100+

02468

10121416

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

U.S. Loan Assets Under Management

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Ares Management LLC 28

0.01.02.03.04.05.06.07.0

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(EUR Bil.)

European Loan Assets Under Management


Name Title Role Firm IndustrySeth Brufsky Partner; Co-Head and PM of

U.S. Liquid CreditPortfolio Manager —U.S. BSL CLOs 19 27

Daniel Hayward Managing Director; Co-PM of U.S. Liquid Credit

Portfolio Manager —U.S. BSL CLOs 4 9

John Leupp Partner; Co-Head and PM of U.S. Liquid Credit

Portfolio Manager —U.S. High Yield 13 28

Gregory Margolies Partner; Head of Markets Investment Committee Member 8 29David Sachs Partner Investment Committee Member 19 36Americo Cascella Partner Investment Committee Member 18 22

CLOs80.4%

Managed Accounts

15.3%

Other4.3%


aIncludes managed funds, at 4.3%.

a

Middle Market

28.9%Other48.0%


CLOs17.9%

aIncludes broadly syndicated loans, private equity, real estate, and other Ares Credit Group strategies.


a

CLO Investors

17.9%

Bank7.2%

Other26.7%


aIncludes investment managers, consultants, fund of funds, and capital from funds where the end investor is indeterminable.

Sovereign WealthFunds

10.4%

Pension/Retirement

28.1%

Insurance9.7%

a

Europe13.9%

U.S.84.9%

Other1.2%

Loan AUM By Region

aIncludes countries across Asia, North America(excluding U.S.) and the Middle East.

a

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Loans

29 Ares Management LLC


Name Title Role Firm IndustryUjjaval Desai Partner PM − Europe BSL CLOs 5 21Fancois Gauvin Partner PM − Europe BSL CLOs 5 26Gregory Margolies Partner; Head of Markets Investment Committee Member 8 29David Sachs Partner Investment Committee Member 19 36

Middle Market Credit CommitteeExperience (Years)

Name Title Role Firm IndustryKevin Braddish Partner; President and Head of

Ivy Hill Asset ManagementPM − Ivy Hill Asset Management

6 33Ryan Cascade Partner; Head of

Ares Commercial FinanceInvestment Committee Member

7 20Steven Alexander Managing Director,

Ivy Hill Asset ManagementInvestment Committee Member

6 21Shelly Cleary Managing Director,


7 14Stephanie Setyadi Managing Director,


7 14Mitch Goldstein Partner; Co-Head of the

Ares Credit GroupInvestment Committee Member

12 23David Sachs Partner Investment Committee Member 19 36Michael Smith Partner Investment Committee Member 13 24


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRAres III CLO 12/99 Called 410 0 — — — — —Ares IV CLO 11/00 Called 530 0 — — — — —Ares V CLO 11/01 Called 400 0 — — — — —Ares VI CLO 7/02 Called 400 0 — — — — —Ares VII CLO 5/03 Called 408 0 — — — — —Ares VIII CLO 3/04 Called 550 0 — — — — —Ares XVIII CLOa 8/04 Called 350 0 — — — — —Ares Enhanced Loan Investment Strategy 11/04 Called 650 0 — — — — —Ares XIX CLOb 1/05 Called 300 0 — — — — —Ares IX CLO 5/05 Called 600 0 — — — — —Ares X CLO 9/05 Called 500 0 — — — — —Ares II-R CLO 10/05 Called 250 0 — — — — —Ares XX CLOc 12/05 Called 500 0 — — — — —Ares Enhanced Loan Investment Strategy II 1/06 Called 420 0 — — — — —Ares VR CLO 3/06 Called 625 0 — — — — —Ares VIR CLO 3/06 Called 625 0 — — — — —Ares NF CLO XIIIb 5/06 Called 300 0 — — — — —

VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.Continued on next page.

PRINT A.indd 31 4/5/2017 3:54:02 PM



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRAres XXI CLOd 12/06 Called 450 0 — — — — —Ares IIIR/IVR CLO 3/07 Amortizing 700 306 Y N — — —Ares NF CLO XIVb 4/07 Called 309 0 — — — — —Ares XI CLO 8/07 Called 819 0 — — — — —Ares XV CLOf 8/07 Called 399 0 — — — — —Ares XXII CLOd 8/07 Called 350 0 — — — — —Ares XII CLO 10/07 Called 700 0 — — — — —Ares Enhanced Loan Investment Strategy III 3/08 Called 1,000 0 — — — — —Global Loan Opportunity Fund B.V. 2008-1 8/08 Called 400 0 — — — — —Ares Enhanced Loan Investment Strategy I-R 9/08 Called 500 0 — — — — —Global Loan Opportunity Fund B.V. 2008-2 9/08 Called 200 0 — — — — —Ares XVI CLO 3/11 Called 410 0 — — — — —Ares XXIII CLO 3/12 Amortizing 430 378 Y — — — —Ares XXIV CLO 9/12 Amortizing 719 719 Y N — — —Ares XXV CLO 1/13 Reinvesting 568 568 Y N — — —Ares XXVI CLO 3/13 Reinvesting 940 940 Y N — — —Ares Enhanced Loan Investment Strategy IR 7/13 Reinvesting 542 542 Y N — — —Ares XXVII CLO 7/13 Reinvesting 413 413 Y N — — —Ivy Hill Middle Market Credit Fund VIIe 10/13 Reinvesting 360 330 Y N — — —Ares XXVIII CLO 11/13 Reinvesting 519 519 Y N — — —Ares XXIX CLO 4/14 Reinvesting 514 514 Y N — — —Ares XXX CLO 6/14 Amortizing 361 253 Y N — — —Ares XXXI CLO 8/14 Reinvesting 1,261 1,261 Y N — — —Ivy Hill Middle Market Credit Fund IXe 10/14 Reinvesting 334 312 Y Y Originator Other HorizontalAres XXXII CLO 12/14 Reinvesting 511 511 Y N — — —Ares XXXIII CLO 2/15 Reinvesting 613 613 Y N — — —Ivy Hill Middle Market Credit Fund Xe 7/15 Reinvesting 385 359 Y Y Originator Other HorizontalAres XXXIV CLO 9/15 Reinvesting 814 814 Y N — Other VerticalAres XXXV CLO 9/15 Reinvesting 406 406 Y N — — —Ares XXXVII CLO 10/15 Reinvesting 707 707 Y N — Otherf Otherf

Ares XXXVIII CLO 12/15 Reinvesting 409 409 Y N — Otherf Otherf

Ares XXXIX CLO 7/16 Reinvesting 510 510 Y N — Otherf Otherf

Ares XL CLO 10/16 Reinvesting 700 700 Y N — Otherf Otherf

Ares XLI CLO 12/16 Reinvesting 614 614 Y N — Other VerticalTotal 26,685 12,698aAcquired from Nomura Corporate Research and Asset Management in August 2011. bAcquired from Navigare Partners, LLC in July 2010. cAcquired from Nomura Corporate Research and Asset Management in April 2012.dAcquired from Nomura Corporate Research and Asset Management in September 2011. eManaged by Ivy Hill Asset Management, L.P., a wholly owned portfolio company of Ares Capital Corporation. fStructured with a dynamic management fee schedule that aligns Ares’ interests with noteholders to seek risk retention compliance upon a refinancing/repricing. VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.Notes: Reflects deal balance based on the latest trustee report as of Dec. 31, 2016. Excludes refinancings and/or repricings that do not involve an extension of the original deal's respective reinvestment period.

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31 Ares Management LLC

European CLOs Under ManagementPortfolio Balance Compliance

(EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRAres European CLO IV BVa 1/07 Amortizing 500 208 N Y — —Ares European CLO I BV 4/07 Amortizing 356 181 N Y — —Ares European CLO V BVa 6/07 Amortizing 450 204 N Y — —Ares European CLO III BVb 7/07 Amortizing 357 165 N Y — —Ares European CLO II BV 12/07 Amortizing 400 238 N N — —Ares European CLO VI BV 9/13 Reinvesting 311 311 N Y Sponsor —Ares European CLO VII BV 9/14 Reinvesting 352 352 N Y Sponsor —Ares European CLO VIII BV 12/16 Reinvesting 417 417 N Y Sponsor —Total 3,142 2,075aAcquired via acquisition of Indicus Advisors in August 2011. bAcquired from Octagon Credit Investors Europe in April 2011. VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.

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The Fitch ViewKey Considerations• Ares has a long history, a strong brand name and an exclusive focus on and extensive track

record in asset management, especially in credit markets.• A collaborative culture results in cross-sector idea generation and credit research, while the

credit team is experienced and has demonstrated stability over time.• Significant exposure to institutional investors, albeit diversified by relationship. The challenge

is to continue to diversify investor base by increasing retail AUM.• Compliance and operational resources in Europe are currently sufficient given the number of

CLOs managed, but challenges may arise if Ares significantly expands its EuropeanCLO count.

Company• Founded in 1997, Ares is a global alternative asset manager and SEC-registered investment

adviser with three distinct platforms: credit, private equity and real estate.• Active management investment philosophy focuses on optimizing risk-adjusted return

opportunities through the utilization of fundamental bottom-up analysis with amacroeconomic overlay.

• Ares has a long history of managing U.S. CLOs (since 1999) and has been managingEuropean CLOs since 2007.

Investments• Credit selection process focuses on bottom-up fundamental research and relative-value

determinations, requiring a majority vote of approval from PMs for inclusion in a portfolio.Position sizing, allocations and top-down inputs are determined by PMs and given based onthe specific needs of each portfolio.

• Analysts are organized by sector. Senior analysts are paired with junior analysts to ensuredual coverage of sectors, which differentiates Ares from peers. All analysts cover creditsacross the capital structure.

• Each investment has a standardized investment guideline checklist (based on ratio analysis,credit quality and earnings predictability, among other factors). A proprietary financial modelis produced for every credit, with various scenario-based forecasts used.

Controls• Risk management team front-ends its analysis of credit through use of pretrade compliance

testing in Black Mountain’s Everest platform and meets with investment teams regularly.CDO Suite is used to test for CLO compliance in Ares’ existing CLOs.

• Ares’ primary position is to be public on a particular credit across the firm. In the case of anexception, compliance must provide signoff before any private information is received.

Operations• Middle-office operations are performed in-house. Back-office operations are outsourced to

GlobeOp, guided by a service-level agreement and regular reviews. Weekly team meetingsare supplemented by formal monthly reviews.

• Ares and GlobeOp’s systems allow straight-through processing with the trustee, enablingautomated daily cash and position reconciliations.

• Ares has a dedicated loan settlement team. Weekly pending trade reports are reviewed bythe team and the PM, with defined escalation procedures in place.

Technology• Integrated, automated and flexible platform based on a combination of proprietary and

widely accepted industry systems, including the best-in-class Black Mountain Everest.Additionally, Wall Street Office, Bloomberg and Geneva are utilized.

• Ares has developed a proprietary credit research management system to store investmentresearch along with the necessary financial metrics for each credit.

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33 AXA Investment Managers S.A.

AXA Investment Managers S.A.AXA Investment Managers S.A. (AXA IM) is an active, long-term, global multi-asset manager that forms part of the AXA Group. As of Dec. 31, 2016, the AXA Group had approximately EUR717.0 billion in assets under management (AUM). The AXA IM leveraged loan team had EUR9.4 billion of AUM, including all CLOs, as of Dec. 31, 2016; it is part of the AXA IM structured finance team, which managed EUR35.4 billion as of the same date.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 100 West Putnam Avenue

Greenwich, CT 06830Tour Majunga 6, place de la Pyramide92908 Paris, La Défense cedex, France

Firm Type Multistrategy asset managementYear Established 2001 1995Assets Under Management USD51.3 Bil. EUR576.0 Bil.Total Employees/Investment Professionals 171/73 2,083/664Active CLOs Under Management 4 4Current/Planned Risk Retention Structure Balance Sheet OriginatorDedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) AXA Group — Parent

Loan Management ProfileRegion(s) U.S. Europe

Leveraged Loan AUM USD4.8 Bil. EUR4.9 Bil.Loans Managed via CLOsa 16.7% 14.4%CLO Team Leader(s) Jean-Philippe Levilain Yannick Le Serviget,

Xavier BoucherCLO Portfolio Managers (PMs)/Avg. Experience 1/18 Years 2/15 Years

Credit Analysts, Non-PMs/Avg. Experience 8/11 Years 10/10 YearsLoan Team Credits Per Analyst (including PMs) 60 15Approximate No. of Invested Credits 250 125aAs a percentage of leveraged loan team AUM of EUR9.4 billion.

0

1

2

3

4

5

6

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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AXA Investment Managers S.A. 34

CLOs34.0%

Other19.0%

Total AUM By Asset TypeBroadly


StructuredCredit21.0%

Other12.0%


CLOInvestors

31.0%

Insurance57.0%

Loan AUM By Region

Europe50.4%

U.S.49.6%


CLO31.0%

ManagedAccounts

58.0%Managed

Funds11.0%

0

1

2

3

4

5

6

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(EUR Bil.)


PRINT A.indd 36 4/5/2017 3:54:03 PM


U.S. Credit CommitteeExperience (Years)

Name Title Role Firm IndustryJoel Serebransky N.A. Senior Credit Analyst 5 26Vera Fernholz N.A. Senior Credit Analyst 4 20Yumiko Licznerski N.A. Senior Credit Analyst 4 15Mounia Maliki N.A. Senior Credit Analyst 8 8Jay Chandiramani N.A. Senior Credit Analyst 1 10Michael J. Sorna N.A. Junior Credit Analyst 2 5Deniz Esmen N.A. Junior Credit Analyst 2 3David Saad N.A. Junior Credit Analyst 1 2Jean-Philippe Levilain N.A. Senior Portfolio Manager 12 18

N.A. – Not applicable.

European Credit CommitteeExperience (Years)

Name Title Role Firm IndustryOliver Testard N.A. Senior Credit Analyst 15 22Cyrille Mace N.A. Senior Credit Analyst 16 17Isabelle Landes N.A. Senior Credit Analyst 4 21Audrey Marc N.A. Senior Credit Analyst 3 9Emmanuelle Noirclerc N.A. Senior Credit Analyst 1 9Deepah Colombel N.A. Senior Credit Analyst 2 6Meiying Li N.A. Junior Credit Analyst 1 2Guillaume Burg N.A. Junior Credit Analyst 1 2Alexandre Von Rakowski N.A. Junior Credit Analyst 1 2Hugo Salvadori N.A. Junior Credit Analyst 1 2Yannick Le Serviget N.A. Senior Portfolio Manager 14 17

N.A. Senior Portfolio Manager 5 12Xavier Boucher



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRAllegro CLO I 12/13 Reinvesting 350 352 Y N — — —Allegro CLO II 12/14 Reinvesting 400 402 Y N — — —Allegro CLO III 4/15 Reinvesting 400 402 Y Y Originator — VerticalAllegro CLO IV 11/16 Reinvesting 450 450 Y Y Originator — VerticalTotal 1,600 1,606



(EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRAdagio CLO I 9/04 Called 300 0 N N — —Oryx CLO I 9/05 Called 396 0 N N — —Adagio CLO II 11/05 Amortizing 350 203 N N — —Adagio CLO III 7/06 Amortizing 499 432 N N — —Adagio CLO IV 9/15 Reinvesting 350 352 Y Y Originator VerticalAdagio CLO V 7/16 Reinvesting 350 350 Y Y Originator VerticalTotal 2,245 1,337


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AXA Investment Managers S.A. 36

aIndirect subsidiaries of AXA IM. bHolding company of entities performing real assets activities. Note: As of Dec. 31, 2016. Excludes the joint ventures in which AXA IM is shareholder and the holding companies not performing asset management activities.

AXA Investment Managers S.A.

AXA InvestmentManagers Schweiz AG

(Switzerland)

AXA Real EstateInvestment Managersb

AXA InvestmentManagers Paris

(France)

AXA Investment Managers Deutschland

(Germany)

AXA Investment Managers Italia Sim

(Italy)

AXA IM Benelux(Belgium)

AXA InvestmentManagers UK Ltd.

(U.K.)

AXA InvestmentManagers GS Ltd

(U.K.)

AXA InvestmentManagers Inc.

(U.S.)a

AXA Rosenberg Investment Management LLC

(U.S.)a

AXA IM Benelux Netherlands(Netherlands — Branch)

AXA InvestmentManagers Asia Ltd.

(Hong Kong)

AXA InvestmentManagers Japan Ltd.

(Japan)

AXA Investment Managers Asia (Singapore) Ltd.

(Singapore)

AXA Funds Management S.A.(Luxembourg)

AXA InvestmentManagers Madrid

(Spain)

AXA InvestmentManagers LLC

(Qatar)

AXA Investment Managers Mexico, S.A. de C.V.

(Mexico)


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Fitch ViewKey Considerations• The loan and private debt team has a long and successful track record managing European

and U.S. leveraged loans through open-ended funds and mandates since 2001 and throughCLOs since 2004 in Paris (France) and Greenwich, CT (U.S.).

• Large and diversified loan management business resulting in limited pressure to issueadditional CLOs.

• Depth of resources devoted to loan research and management, CLO structuringand administration.

• Strong and committed parent company.Company• The loan and private debt team has 37 professionals and EUR9.4 billion in AUM and is part

of the AXA IM structured finance team, which had 98 professionals and approximatelyEUR35.4 billion in AUM as of Dec. 30, 2016.

• The loan and private debt team comprises three portfolio managers (PMs), 18 dedicatedcredit research analysts, a U.S. loan trader and a European loan trader. Average experienceis 12 years.

• The team also benefits from dedicated support staff (for loan settlement, transaction supportand CLOs and loan funds structuring) and wide access to AXA IM’s shared resources.

Investments• The 18 research analysts (eight U.S., 10 European) are allocated by sector, covering roughly

250 U.S. names and 125 European names as of Dec. 31, 2016.• Investment approach is a robust and disciplined blend of bottom-up fundamental credit

selection and strategic top-down allocation.• Preliminary assessments and full credit analysis are documented in comprehensive memos.

The analysis includes proprietary financial modeling and stress tests. The primary focus is onsenior-secured loans (90% of investments made). Output of the analysis is an internal grade.

• Sourcing is facilitated by strong links the team has developed with a large variety of marketactors such as large banks, private equity firms and debt consultants.

• Credit approval is formalized in credit committees, meeting strict governance requirements.Decisions to invest in credit-committee-approved issuances are made solely by PMs.

• AXA IM has demonstrated an active involvement in workout, a result of scale and experience.Controls• AXA IM has a strong governance structure and multilayer risk control framework.

One independent risk manager is dedicated to the loan/CLO business.• Pretrade compliance is system-based. Post-trade, second level of controls is the responsibility of

three portfolio controllers reporting to operations and dedicated to loan platform.• Policies govern the management of public and private information. Protective barriers between the

high-yield and leveraged loan teams include segregated system views and separate locations, and are overseen by compliance, with strict control on the flow of information.

Operations• Daily cash/interest reconciliation and monthly position reconciliation between AXA IM and

collateral administrators.• Middle-office function is outsourced to State Street Bank, with AXA IM maintaining oversight

and controls in-house.• AXA IM produces monthly supplemental investment commentary and various additional

customized reports.Technology• Use of proprietary application (Maia) and third-party systems (Wall Street Office [WSO],

among others) adequately meets the specific needs of business (including multicurrencyportfolios and complex structures).

• A central database supports integration of WSO and Maia. Use of Markit analytics andpricing data, feeding WSO and Maia via AXA IM’s central repository.

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38Bain Capital Credit, LP

Bain Capital Credit, LPBain Capital Credit, LP is a leading global credit specialist with approximately USD33.5 billion in assets under management (AUM) as of Jan. 1, 2017. The firm investsacross the full spectrum of credit strategies, including leveraged loans, high-yield bonds, distressed debt, private lending, structured products, nonperforming loans and equities.

Firm ProfileRegion(s) of Operation U.S.Address 200 Clarendon Street

Boston, MA 02116Firm Type Multistrategy asset managementYear Established 1998Assets Under Management USD33.5 Bil.Total Employees/Investment Professionals 237/111Active CLOs Under Management 16 (U.S.)/3 (Europe)Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) (U.S.)/

Sponsor (Europe)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Bain Capital, LP (Parent)



CLO Team Leader(s) John Wright, Stephanie Walsh, Gauthier ReymondierCLO Portfolio Managers (PMs)/Avg. Experience 3/15 Years

Credit Analysts, Non-PMs/Avg. Experience 32/15 YearsLoan Team Credits Per Analyst (including PMs) 25–40Approximate No. of Invested Credits 750 leveraged loans/450 issuers

05

101520253035

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

Total Assets Under Management

PRINT B.indd 41 4/10/2017 2:42:15 PM

Bain Capital Credit, LP 39

CLOs24.3%

Other39.4%



Middle MarketLoans 15.1%

CLO Investors

24.3%

Other25.4%


Pension/Retirement

37.3%

Endowments8.3%

Insurance4.7%

Other25.0%

Europe26.0%

U.S.49.0%

Loan AUM By Region

CLOs24.3%

Managed Funds35.2%

Managed Accounts

40.5%


U.S. and European Credit Committee Experience (Years)

Name Title Role Firm IndustryJonathan Lavine Managing Director Managing Partner, Chief Investment Officer 24 27Jonathan DeSimone Managing Director Chief Investment Officer: Performing Credit 14 23Tim Barns Managing Director Chief Credit Officer 16 38Alon Avner Managing Director Head of Europe 11 23Michael Ewald Managing Director CIO: Private Credit 16 21Christopher Linneman Managing Director Head of New York 2 32Jeff Robinson Managing Director CIO: Distressed and Special Situations 14 24Viva Hyatt Managing Director Head of U.S. Industry Research 14 20


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRRace Point VI 4/12 Amortizing 412 324 Y N — — —Race Point VII 10/12 Amortizing 620 594 N N — — —Race Point VIII 2/13 Reinvesting 518 700 Y N — — —Cavalry II 2/13 Reinvesting 455 435 Y N — — —Avery Point II 6/13 Reinvesting 517 491 Y N — — —Avery Point III 11/13 Reinvesting 511 493 N N — — —Cavalry III 12/13 Reinvesting 411 387 Y N — — —Avery Point IV 3/14 Reinvesting 724 690 Y N — — —Avery Point V 6/14 Reinvesting 413 392 Y N — — —Cavalry IV 9/14 Reinvesting 408 394 Y N — — —VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention. Continued on next page.

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Broadly

40 Bain Capital Credit, LP


Portfolio Balance (EUR Mil.) FormName Pricing Status Original Current VR CRR Method of RRNewhaven 9/14 Reinvesting 361 353 N Y — HorizontalRye Harbour 12/14 Reinvesting 364 351 N Y — HorizontalNew Haven II 12/15 Reinvesting 417 401 N Y — VerticalTotal 1,142 1,105


Bain Capital, LP

Bain Capital Credit, LP

Bain Capital Public Equity, LP

Bain CapitalPrivate Equity, LP

Bain CapitalVentures, LP

Note: The image shown represents the main U.S. registered investment advisers and does not include all corporate and advisory entities.



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRCavalry V 12/14 Amortizing 368 213 Y N — — —Race Point IX 2/15 Reinvesting 507 495 Y N — — —Avery Point VI 5/15 Reinvesting 513 498 Y N — — —Avery Point VII 11/15 Reinvesting 408 400 Y N — — —Bain Capital Credit CLO 2016-2 11/15 Reinvesting 538 525 Y Y — — VerticalRace Point X 4/16 Reinvesting 402 401 Y N — — VerticalTotal 7,725 7,432VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

PRINT B.indd 43 4/10/2017 2:42:15 PM

EU RR

Bain Capital Credit, LP 41

The Fitch ViewKey Considerations• Experienced CLO manager, having overseen 35 CLOs since 1999.• Extensive experience of key personnel within the leveraged loan asset class.• Robust investment, oversight and credit monitoring policies.• Maintaining stability among key staff and preserving the talent pool amid increasing industry

competition are ongoing challenges.Company• Bain Capital Credit invests across the credit universe, including performing and distressed

bank loans and high-yield bonds, debtor-in-possession loans, mezzanine/privateplacements, structured products, credit-based equities, credit default swaps and specialsituations investments.

• Investment staff has extensive experience in structuring and negotiating complextransactions involving high-yield assets.

• A dedicated distressed/workout team, including the in-house counsel, manages the workoutprocess for distressed investments.

Investments• Bain Capital Credit utilizes an actively managed strategy based on fundamental credit

analysis and disciplined portfolio monitoring.• The investment strategy relies on fundamental business, industry and competitive analysis.• All approvals are made by a committee consisting of Bain Capital Credit managing directors

and the industry analysts who follow the credit.• Bain Capital Credit’s research function is overseen by a 32-member industry research team;

each industry team covers approximately 25−40 credits.Controls• Bain Capital Credit has a sound oversight function led by the risk and oversight committee;

all potential issues found by the compliance department are followed up with members ofsenior management as necessary.

• Bain Capital Credit has a thorough investment monitoring process under which eachanalytical team provides regular updates on credits. Detailed performance summaries areprovided for most credits on a quarterly basis.

Operations• Dedicated CLO administration resources provide independent trustee reconciliation and

indenture compliance monitoring. Proprietary models and Intex software are used to modelCLO structures and cash flow waterfalls.

• There is a daily reconciliation of cash and weekly reconciliation of securities with custodiansand administrators. An automated system is in place that reconciles daily all activities andcash balances against Bain Capital Credit’s internal Wall Street Office database.

• Investor reporting is available via password-protected website and includes quarterlycommentary, account-specific information, capital account balances and fund performance.Bain Capital Credit also has a dedicated, 14-person investor relations team to handle allinvestor requests.

• While third-party providers are used for banking/cash management, custody, primebrokerage and certain valuations, no core functions are outsourced. All back-office, financeand operational activities are conducted in-house.

Technology• CDO-specific tools/systems enable Bain Capital Credit to analyze trades on a pro forma

basis, manage CDO compliance, provide enhanced management/investor reporting andshadow the CDO trustee’s accounting.

• The company has devoted significant resources over the past several years to developresilient business systems and IT infrastructure that support the overall structuredproduct platform.

• A comprehensive disaster recovery plan is in place and regularly tested for robustness.

PRINT B.indd 44 4/10/2017 2:42:15 PM

42 Ballyrock Investment Advisors LLC

Ballyrock Investment Advisors LLCBallyrock Investments Advisors LLC (Ballyrock) is a wholly owned subsidiary of FMR LLC. Established in 2002, Ballyrock provides investment advisory services to various structured credit vehicles, including CLOs and CDOs, which have focused on investments in various types of debt securities, including bank loans, bonds and asset-backed securities. Ballyrock affiliate Fidelity Management & Research Company (FMR) serves as sub-adviser to each CLO that Ballyrock manages pursuant to sub-advisory agreements. As of Dec. 31, 2016, Ballyrock managed three CLOs with approximately USD1.1 billion of broadly syndicated loan assets.

Firm ProfileRegion(s) of Operation U.S.Address 245 Summer Street

Boston, MA 02109Firm Type Independent CLO-focused managerYear Established 2002

USD16.4 Bil.Assets Under Management Total Employees/Investment Professionals 50/45Active CLOs Under Management 3Current/Planned Risk Retention Structure Not ReportedDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Fidelity Investments — Parent


Leveraged Loan AUM USD16.4 Bil. Loans Managed via CLOs 6.7%

CLO Team Leader(s) Tom Hense: Group Chief Investment OfficerCLO Portfolio Managers (PMs)/Avg. Experience 3/19 Years

Credit Analysts, Non-PMs/Avg. Experience 25Loan Team Credits Per Analyst (including PMs) 30–50Approximate No. of Invested Credits Not Reported

0

5

10

15

20

25

2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


PRINT B.indd 45 4/5/2017 4:32:29 PM

Ballyrock Investment Advisors LLC 43

CLO Investors

0.8%Other95.8%


Insurance2.0%

Pension/ Retirement

1.4%

Europe4.9%

Other13.1%

U.S.81.6%

Loan AUM By Region

CLOs0.8%

Managed Funds95.8%

Managed Accounts

3.4%



Name Title Role Firm IndustryEric Mollenhauer Vice President Portfolio Manager 20 20Michael Weaver Vice President Portfolio Manager 10 17


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRBallyrock CLO 2013-1 4/13 Reinvesting 414 387 Y Y — — HorizontalBallyrock CLO 2014-1 10/14 Reinvesting 409 394 Y Y — — HorizontalBallyrock CLO 2016-1 8/16 Reinvesting 354 349 Y Y — — HorizontalTotal 1,117 1,130VR −Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.

Other32.1%




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Broadly

44 Ballyrock Investment Advisors LLC

FMR LLC

Ballyrock Investment Advisors LLCFidelity Management & Research Company (FMR)

FMR High Income Division

Sub-Advisory Agreement

Sub-AdvisoryAgreement


PRINT B.indd 47 4/5/2017 4:32:29 PM

Ballyrock Investment Advisors LLC 45

The Fitch ViewKey Considerations• Significant credit resources, including a large credit research group with significant

experience and longevity as a team.• Best-in-class technology and trading platforms based on a combination of proprietary

analytics and administration systems, all of which are well integrated.• Deep resources and strong brand name support business franchise, with strong alignment of

interests from affiliates of Ballyrock investing in the equity of the existing CLOs.• Growing or maintaining assets under management (AUM) as CLOs mature by developing

and rolling out new product offerings is an ongoing challenge for the firm.Company• FMR serves as sub-adviser to each CLO that Ballyrock manages pursuant to sub-advisory

agreements providing Ballyrock access to all the employees and resources of FMR.• FMR’s high-income division has been managing non-investment-grade portfolios since 1977

and has over USD100 billion in AUM and over 60 investment professionals.• Ballyrock has sponsored eight CLOs to date.• Ballyrock’s research team consists of 25 experienced sector-focused professionals,

including two dedicated loan analysts.• Experienced portfolio management team averaging over 20 years of investment experience.Investments• Ballyrock’s investment philosophy focuses on understanding fundamental bottom-up

analysis and valuations across the capital structure. Emphasis is on a credit’s fundamentaltrajectory, placing weight on positive fundamentals, collateral value, valuation andcredit support.

• Research analysts are independent, focusing only on credit, and are responsible forcovering 30–50 names each, analyzing transactions across the capital structure.

• While there is no formal credit committee, the investment process is collaborative, and everyidea is presented by the analyst to each portfolio manager charged with eachspecific strategy.

• Dedicated special situations team to handle distressed credits and workouts.Controls• Dedicated compliance team ensures systematic risk reviews that are integrated with both

portfolio management as well as the trading desk.• Strong governance structure and risk monitoring, including both pre- and post-trade

compliance testing at both the trade and portfolio levels to support Ballyrockinvestment independence.

• Ballyrock has compliance and governance processes in place to support accuracy of trading,portfolio management and administration functions.

• Independent and multilayer compliance oversight from FMR, with risk and control functionsallowing good coverage of risk areas across investment disciplines.

Operations• Dedicated trader with over 20 years’ experience as well as four dedicated loan closers,

providing for efficient execution and settlement.• Daily reconciliation of cash and positions and monthly reconciliation of securities with U.S.

Bank National Association, as trustee. Ballyrock has a strong relationship and constantdialogue with the trustee.

• All portfolio management and credit analysis functions are conducted internally, with modelsrun daily to ensure compliance with CLO tests.

Technology• Ballyrock has in place an integrated and flexible platform based on a combination of both

proprietary analytics and widely accepted industry systems, including Wall Street Officeand Administrator.

• Business continuity plan is appropriate and tested multiple times a year, with redundanciesin numerous locations and resources and support provided through FMR.

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46 Barings LLC

Barings LLCBarings LLC (formerly known as Babson Capital Management LLC) is a wholly owned indirect subsidiary of Massachusetts Mutual Life Insurance Company (MassMutual) and a member of the MassMutual Financial Group. Barings, a global asset management firm with USD271 billion in assets under management (AUM), was created in September 2016 through the combination of Babson Capital Management LLC and its subsidiaries, Cornerstone Real Estate Advisers LLC and Woodcreek Capital Management LLC, with Barings Asset Management LLC.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 1500 Main Street

P.O. Box 15189 Springfield, MA 01115

61 AldwychLondon WC2B 4AE, U.K.

Firm Type Multistrategy asset managementYear Established 1998 2000

USD 271.5 Bil.Assets Under ManagementTotal Employees/Investment Professionals 1,724/659Active CLOs Under Management 11 7Current/Planned Risk Retention Structure Not Reported Not ReportedDedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) MassMutual Financial Group — Parent


Leveraged Loan AUM USD20.6 Bil. EUR11.0 Bil.Loans Managed via CLOs 28% 28%CLO Team Leader(s) Mike Freno

Adrienne ButlerArthur McMahon

Martin HorneRob Faulkner

CLO Portfolio Managers (PMs)/Avg. Experience 11/23 Years 4/19 Years

Credit Analysts, Non-PMs/Avg. Experience 28/10 Years 13/8 YearsLoan Team Credits Per Analyst (including PMs) 35–45 35–45Approximate No. of Invested Credits 500 200

0

5

10

15

20

25

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


PRINT B.indd 49 4/5/2017 4:32:30 PM

Barings LLC 47

Loan AUM By Region

U.S.65.0%

Europe35.0%


ManagedFunds45.0%

ManagedAccounts

27.0%

CLOs28.0%

0

2

4

6

8

10

12

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(EUR Bil.)


CLO Investors

22.3%

Bank16.7%

Other20.7%


aIncludes endowment, at 1.1%.

Pension/Retirement22.9%

Insurance17.4%

a


aIncludes high yield bonds, at 4.0%, middle market loans, at 1.0%, and CLOs, at 3.0%.

Other87.0% Structured

Credit5.0%

BroadlySyndicated

Loans8.0%a

PRINT B.indd 50 4/5/2017 4:32:30 PM

48 Barings LLC


Name Title Role Firm IndustryMike Freno Managing Director Head of Global and U.S. High Yield Investments Group 11 17Adrienne Butler Managing Director Head of U.S. Managed CLOs 17 27Sean Feeley Managing Director U.S. High Yield Investment Committee Member 14 27Art McMahon Managing Director Portfolio Manager 13 22Ken Gacevich Managing Director Portfolio Manager 11 24Tom McDonnell Managing Director Portfolio Manager 12 21David Mihalick Managing Director Head of U.S. High Yield Credit Research 9 12Scott Roth Managing Director Portfolio Manager 14 24Mark Senkpiel Managing Director Portfolio Manager 7 43


Name Title Role Firm IndustryMartin Horne Managing Director Head of European High Yield Investments Group 15 20Rob Faulkner Managing Director Head of European Managed CLOs 15 15Tom Kilpatrick Managing Director Research Analyst 10 13Stuart Mathieson Managing Director Portfolio Manager 15 18Chris Sawyer Managing Director Portfolio Manager 11 11Craig Abouchar Managing Director Portfolio Manager 11 24


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRBabson 2003-I 10/03 Called 356 0 N N — — —Babson 2004-I 5/04 Called 450 0 N N — — —Babson 2004-II 9/04 Called 450 0 N N — — —Babson 2005-I 2/05 Called 871 0 N N — — —Babson 2005-II 6/05 Called 515 0 N N — — —Babson 2005-III 10/05 Called 550 0 N N — — —Babson 2006-I 4/06 Called 575 0 N N — — —Babson 2006-II 9/06 Called 564 0 N N — — —Babson 2007-I 2/07 Called 768 0 N N — — —Babson 2007-II 3/07 Called 409 0 N N — — —Babson 2008-I 5/08 Called 442 0 N N — — —Babson 2008-II 5/08 Called 400 0 N N — — —Babson 2011-I 7/11 Called 514 0 N N — — —Babson 2012-I 5/12 Called 361 0 N N — — —Babson 2012-II 5/13 Amortizing 407 252 Y N — — —Babson 2013-I 5/13 Reinvesting 491 482 N N — — —Babson 2013-II 11/13 Reinvesting 698 681 N N — — —Babson 2014-I 5/14 Reinvesting 514 507 Y N — — —Babson 2014-II 8/14 Reinvesting 566 552 Y N — — —Babson 2014-III 10/14 Reinvesting 720 705 Y N — — —Babson 2015-I 4/15 Reinvesting 512 502 Y N — — —Babson 2015-II 7/15 Reinvesting 512 504 Y N — — —Babson 2016-I 2/16 Reinvesting 407 401 Y N — CMV HorizontalBabson 2016-II 8/16 Reinvesting 411 403 Y Y Originator — VerticalBarings 2016-III 12/16 Reinvesting 512 507 Y N — CMV VerticalTotal 12,975 5,496

VR −Volcker Rule. CRR −European Capital Requirements Regulation. RR – Risk retention.

PRINT B.indd 51 4/5/2017 4:32:30 PM

Barings LLC 49


(EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRDuchess I 5/01 Called 825 0 N N — —Duchess II 5/01 Called 990 0 N N — —Duchess III 6/04 Called 450 0 N N — —Duchess IV 4/05 Called 525 0 N N — —Duchess V 11/05 Called 500 0 N N — —Duchess VI 7/06 Amortizing 500 222 N N — —Duchess VII 11/06 Amortizing 500 232 N N — —Malin 4/07 Amortizing 500 265 N N — —Babson 2014-1 3/14 Reinvesting 413 409 Y Y Sponsor HorizontalBabson 2014-2 10/14 Reinvesting 566 560 Y Y Sponsor HorizontalBabson 2015-1 7/15 Reinvesting 416 405 Y Y Sponsor HorizontalBabson 2016-1 6/16 Reinvesting 410 403 Y Y Sponsor HorizontalTotal 6,595 2,496

VR −Volcker Rule. CRR −European Capital Requirements Regulation. RR – Risk retention.

MassMutualFinancial Group

Barings LLC OppenheimerFunds, Inc.

Global fixed income, equity, real estate, and alternative assets:

USD271 billion AUM

Global equity and fixed income:USD222 billion AUM


PRINT B.indd 52 4/5/2017 4:32:30 PM

50 Barings LLC

The Fitch ViewKey Considerations• Strong, diversified business lines. One of the largest U.S. and European loan managers in

terms of size and scale, which gives Barings LLC’s CLO platform (formerly Babson CapitalManagement LLC) industry-leading access to markets and management of many productstyles and provides diversified revenue streams.

• Proprietary and highly scalable systems combining portfolio management tools andcompliance and administrative functions.

• CLO AUM has started to grow again with 1.0 CLOs assets largely wound down and regularissuance of 2.0 CLOs.

Company• In March 2016, Barings LLC (formerly known as Babson Capital Management LLC), its

subsidiaries, Barings Real Estate Advisers LLC (formerly known as Cornerstone Real EstateAdvisers LLC) and Wood Creek Capital Management, LLC (which merged with and into BaringsLLC in September 2016), and Baring Asset Management Limited (BAML) announced theirintention to combine under the Barings brand. The integration was concluded in September 2016.Barings LLC and its subsidiaries remain indirect, wholly owned subsidiaries of MassMutual.

• The global high-yield investments group has significant resources, with approximately 69investment professionals and additional resources for support functions. There are 48 U.S.investment professionals, primarily based in Charlotte, NC, including 11 PMs, 28 researchanalysts, four dedicated traders and five product managers.

• There are 21 European investment professionals, all based in London, including four PMs,13 research analysts, two dedicated traders and two product managers.

• Senior managers have extensive experience with CLOs, worked together prior to Barings(and predecessor entities) and were involved in issuing very early CLOs.

Investments• Process-oriented, fundamental bottom-up approach to analysis that seeks to identify relative

value throughout the capital structure and across industries.• Ideas sourced through large research staff and dedicated traders, both of whom are regularly

in communication with portfolio managers through various communication channels.• Analysts monitor both approved and non-approved names, with an average of 35–45 names

per analyst.• Team-based approach to credit decision-making process that culminates in daily voting

committees, in which a majority is needed to approve credits to be added to the approvedlist. Strong ability to leverage scale to access a broad selection of investment opportunities.

• Sell discipline and decisions are based on analyst and PM recommendation as well as riskassessment, market prices and relative value.

Controls• Additional independent oversight and diligence performed by Barings LLC’s parent company,

MassMutual. MassMutual regularly invests in the equity of new issue CLOs.• In most cases, Barings LLC will elect to be public on any issue unless there is an

exceptionally strong reason for going private. This approach mitigates conflicts of interest.Where it goes private, walls of separation are established, overseen by compliance.

• Controls are implemented through multiple layers of governance committees, overseen by adedicated compliance group and supported by a comprehensive suite of compliance policiesand manuals.

Operations• Dedicated CLO administration resources provide independent trustee reconciliation and

indenture compliance monitoring.• All portfolio management and credit analysis functions are conducted in-house. Models are

run daily to ensure compliance with CLO tests. CDO Suite for CLO compliance testing.• High degree of integration with trustee (via State Street, which uses Wall Street Office for

loan management) based on automated data feeds. This results in automated daily cash andposition reconciliation.

Technology• Robust, flexible, automated and integrated platform based on a combination of proprietary

and third-party systems, namely Black Mountain Everest, which incorporates portfolio,compliance and risk management functions as well as trade and research capabilities.

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51BlackRock, Inc.

BlackRock, Inc.BlackRock Financial Management, Inc. (BFM) and BlackRock Investment ManagementUK are wholly owned subsidiaries of BlackRock, Inc. (NYSE: BLK), a global asset management company with USD5.15 trillion in assets under management (AUM) as of Dec. 31, 2016. BFM’s primary focus is the management of institutional fixed-income securities, multi-asset and quantitative equity separate accounts, private investment funds and U.S. registered investment companies. BlackRock has been managing CLOs since 2002 and currently has USD5.4 billion in AUM via CLO structures.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 55 East 52nd Street

New York, NY 1005512 Throgmorton Avenue London, EC2N 2DL U.K.

Firm Type Multistrategy asset management Year Established 1998Assets Under Management USD5.15 Tril.Total Employees/Investment Professionals 12,000/1,800Active CLOs Under Management 10 2Current/Planned Risk Retention Structure Balance Sheet — Vertical Slice Originator and SponsorDedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) BlackRock Financial Management, Inc. — Affiliate (U.S.)

BlackRock Investment Management UK — Affiliate (Europe)BlackRock, Inc. — ParentPNC Financial Services Group, Inc. — Affiliatea

aAs of Dec. 31, 2016, the PNC Financial Services Group, Inc. (PNC), which owned approximately 22.0% of BlackRock’s capital stock, was one of the largest diversified financial services companies in the U.S. and wasengaged in retail and commercial banking, asset management and brokerage. Due to this ownership structure, PNC is an affiliate of BlackRock for purposes of the Investment Company Act of 1940, as amended.

Loan Management ProfileRegion(s) U.S. EuropeLeveraged Loan AUM USD16.3 Bil. EUR1.5 Bil.Loans Managed via CLOs 33% 66%CLO Team Leader(s) Adrian Marshall, Scott Snell Aly HirjiCLO Portfolio Managers (PMs)/Avg. Experience 8/13 Years 2/15 YearsCredit Analysts, Non-PMs/Avg. Experience 14/10 Years 8/9 YearsLoan Team Credits Per Analyst (including PMs) 25–50 35Approximate No. of Invested Credits 350 110

0

5

10

15

20

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


PRINT B.indd 55 4/5/2017 4:32:31 PM

BlackRock, Inc. 52

High Yield

Bonds62.0%

CLOs7.0%


StructuredCredit16.0%

Broadly Syndicated

Loans15.0%

Europe8.4%

Loan AUM By Region

U.S.91.6%

CLOs33.0%


ManagedFunds38.0%

ManagedAccounts

29.0%


Name Title Role Firm IndustryAly Hirji Director CLO Portfolio Manager 3 18Jose Aguilar Managing Director High Yield Portfolio Manager 12 15Michael Phelps Managing Director Head of Fundamental Credit Team 12 21

0.0

0.5

1.0

1.5

2.0

2015 2016

(EUR Bil.)


PRINT B.indd 56 4/5/2017 4:32:31 PM

53 BlackRock, Inc.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRMagnetite IV 7/02 Called 336 0 N N — — —Magnetite V 9/03 Called 350 0 N N — — —Black Rock SR Income Series 10/04 Called 400 0 N N — — —Black Rock SR Income Series II 6/05 Called 557 0 N N — — —Black Rock SR Income Series IV 1/07 Called 500 0 N N — — —Black Rock SR Income Series V 7/07 Called 500 0 N N — — —BMI CLO I 6/11 Called 408 0 N N — — —Magnetite VI 9/12 Called 416 0 Y N — — —Magnetite VII 12/12 Reinvesting 612 604 Y N — — —Magnetite VIII 5/14 Reinvesting 612 594 Y N — — —Magnetite IX 7/14 Reinvesting 409 396 Y N — — —Magnetite XI 12/14 Reinvesting 561 551 Y N — — —Magnetite XII 3/15 Reinvesting 609 501 Y N — — —Magnetite XIV 6/15 Reinvesting 535 524 Y N — — —Magnetite XV 11/15 Reinvesting 620 606 Y N — — —Magnetite XVI 1215 Reinvesting 506 501 Y N — — VerticalMagnetite XVII 3/16 Reinvesting 499 501 Y N — — VerticalMagnetite XVIII 11/16 Reinvesting 536 530 Y N — — VerticalTotal 8,966 5,308



(EUR Mil.)Name Pricing Status Original Current VR

EU RR Form CRR Method of RR

BR European CLO I 2/16 Reinvesting 410 403 Y Y Sponsor VerticalBR European CLO II 10/16 Reinvesting 415 401 Y Y Originator VerticalTotal 825 804


PRINT B.indd 57 4/5/2017 4:32:31 PM

BlackRock, Inc. 54

Americas, Europe / Middle East / Africa, Asia Pacific

Regional Client

Businesses & Marketing

Global Client

Businesses

US WealthAdvisory Canada LatAm /

Iberia US DC EMEA Retail

APAC Retail

Product Marketing

ETF & Index Institutional BlackRock Solutions®

Investments Fixed Income Active Equity ETF & Index Multi-Asset Alternatives

Trading Liquidity &

Investments Platform

Strategic Product Management Investment Stewardship BlackRock Investment Institute

Technology & Business Operations BPI Aladdin® Risk & Quantitative

Analysis

Finance Human Resources

Corporate Strategy

Legal & Compliance

Global Marketing

Corp Comms

Gov’t Relations

Internal Audit


PRINT B.indd 58 4/5/2017 4:32:31 PM

55BlackRock, Inc.

The Fitch ViewKey Considerations• Long history and strong brand name bolster business franchise.• High levels of communication across a network of experienced investment and credit

professionals facilitate investment management through changing market conditions.• Best-in-class technology and trading platforms based on a combination of proprietary analytics

and administration systems, all of which are well integrated.• Maintaining staffing levels and focusing on the CLO business following significant growth in

loan AUM from other products, driven by both retail and institutional demand, will beongoing challenges.

Company• BlackRock employs a staff of approximately 12,000, including more than 2,000 investment

professionals, and operates in more than 30 countries and 70 cities across the Americas,Europe, Asia-Pacific, the Middle East and Africa.

• Global presence with a diversified book of business (by geography, asset class and distributionchannel). Leveraged finance AUM (including bank loan funds and separate accounts, CLOs andhigh-yield funds and separate accounts) was USD62.1 billion as of Dec. 31, 2016.

• Leveraged finance group is also diversified by product type, with assets split among CLOs,third-party CLOs, managed accounts and managed funds.

• Increased credit research staffing levels in response to product demand. The leveraged financeteam is led by 20 portfolio managers (PMs). Members of the team average 13 years ofinvestment experience.

Investments• Investment decisions are driven by cross-discipline groups consisting of a lead PM,

sector-focused PMs, credit analysts and distressed/legal analysts. Analysts are responsible forcovering between 25 and 50 credits each.

• The investment philosophy focuses on fundamental analysis. Quantitative assessment of capitalstructures is paired with qualitative perspective of management and industry positioning.

• Diversified portfolios are valued, with names generally approved for a 1% position size for eachportfolio. However, each portfolio and strategy may have different needs that affect allocations.

• Daily and weekly credit and risk meetings are held to review macro positioning to support theinvestment process and discipline of focusing on credit and relative value.

Controls• Strong governance structure and risk functions, featuring independence and a focus on specific

risk types.• BlackRock has compliance and governance processes in place to support accuracy of trading,

portfolio management and administration functions.• The company has an efficient administration supported by robust systems and procedures.• The company employs daily reconciliation of cash and positions and weekly reconciliation of

securities with custodians and administrators.• BlackRock has in place independent and multilayer compliance, and its risk and control functions

allow for good coverage of risk areas across investment disciplines.Operations• Dedicated CDO administration resources provide independent trustee reconciliation and

indenture compliance monitoring.• Trustees are engaged on a rotational basis based on quarterly performance review performed

by BlackRock.• Established valuation and pricing framework is governed by a dedicated committee and

supported by advanced internal pricing capacity.Technology• Industry-leading investment, portfolio and risk management systems include Aladdin,

BlackRock’s proprietary system, as well as AnSer, Wall Street Office and otherindustry-standard systems.

• Aladdin Research is used to support the collection and dissemination of creditunderwriting information.

• A robust and fully integrated IT platform provides a very good fit to business requirements.• The business continuity plan is appropriate and tested, with redundancies in multiple locations.

PRINT B.indd 59 4/5/2017 4:32:31 PM

56BlueMountain Capital Management, LLC

BlueMountain Capital Management, LLCBlueMountain Capital Management, LLC (BlueMountain), founded in 2003, is registered as an investment adviser in both the U.S. and U.K. The company manages credit products, including credit derivatives, corporate bonds, convertible bonds, loans, CDOs and other asset-backed structures, as well as equities and equity derivatives. As of Dec. 31, 2016, BlueMountain had assets under management (AUM) totaling USD23.0 billion, of which USD8.7 billion was related to CLOs.

Firm ProfileRegion(s) of Operation U.S.Address 280 Park Avenue,12th Floor

New York, NY 10017Firm Type Multistrategy asset managerYear Established 2003

USD23.0 Bil.Assets Under Management Total Employees/Investment Professionals 231/74Active CLOs Under Management 20Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Not Reported


Leveraged Loan AUM USD8.7 Bil.Loans Managed via CLOs Not reported

CLO Team Leader(s) Charles KobayashiCLO Portfolio Managers (PMs)/Avg. Experience 4/Not Reported

Credit Analysts, Non-PMs/Avg. Experience 26/Not Reported Loan Team Credits Per Analyst (including PMs) 25–30Approximate No. of Invested Credits 489

0

2

4

6

8

10

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


PRINT B.indd 61 4/5/2017 4:32:32 PM

BlueMountain Capital Management, LLC 57

CLOs37.8%

Managed Funds62.2%

Firm AUM By Product Type

U.S. Credit Committee This section does not apply to BlueMountain’s CLO business


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRBlueMountain I 10/05 Called 512 0 N N — — —BlueMountain II 6/06 Amortizing 400 119 N N — — —BlueMountain III 2/07 Amortizing 450 122 N N — — —BlueMountain 2011-1 Financing 7/11 Amortizing 370 187 N N — — —BlueMountain 2012-1 Financing 5/12 Amortizing 410 374 N N — — —BlueMountain 2012-2 Financing 10/12 Reinvesting 617 613 Y N — — —BlueMountain 2013-1 4/13 Reinvesting 514 510 Y N — — —BlueMountain 2013-2 6/13 Reinvesting 429 428 N N — — —BlueMountain 2013-3 10/13 Reinvesting 413 408 Y N — — —BlueMountain 2013-4 12/13 Reinvesting 411 405 Y N — — —BlueMountain 2014-1 513 505 Y N — — —BlueMountain 2014-2 6/14 Reinvesting 555 545 Y N — — —BlueMountain 2014-3 8/14 Reinvesting 600 604 Y N — — —BlueMountain 2014-4 12/14 Reinvesting 500 502 Y N — — —BlueMountain 2015-1 3/15 Reinvesting 500 503 Y N — — —BlueMountain 2015-2 5/15 Reinvesting 500 504 Y N — — —BlueMountain 2015-3 8/15 Reinvesting 457 452 Y N — — —BlueMountain 2015-4 12/15 Reinvesting 506 503 Y N — — —BlueMountain 2016-1 4/16 Reinvesting 424 426 Y N — — —BlueMountain 2016-2 7/16 Reinvesting 500 502 Y N — — —BlueMountain 2016-3 10/16 Ramp Up 475 478 Y N — — —Total 10,056 8,690VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.

CLO Investors

37.8%

Other22.2%


aIncludes endowment, at 2.5%, and bank, at 0.3%.

Insurance6.5%

Pension/ Retirement

33.5%

a

High Yield

Bonds50.0%

CLOs11.9%

Other11.7%


aComprises investment-grade bonds.

Broadly Syndicated

Loans16.4%


a

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3/14 Reinvesting

58 BlueMountain Capital Management, LLC

BlueMountain Capital Management, LLC

Affiliated Managers Group

21 Active Partners

Actively involved in the management of the firm

2 External Partners

Not actively involved in the management of the firm

10 Retired Partners

Not actively involved in the management of the firm


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59 BNP Paribas Investment Partners

BNP Paribas Investment PartnersBNP Paribas Investment Partners (BNPP IP) is the global asset management arm of BNP Paribas. As of Dec. 31, 2016, it had EUR560 billion in assets under management (AUM) through a diversified product mix spanning equity, fixed income, multi-asset, structured, indexed and alternative investments across developed and emerging markets. Approximately EUR4.7 billion was in loan strategies, including five CLOs, three of which are CLO 2.0s.

Firm ProfileRegion(s) of Operation GlobalAddress 14 Rue Bergère

75009 Paris, FranceFirm Type Multistrategy asset managementYear Established 1964

EUR560 Bil.Assets Under Management Total Employees/Investment Professionals 3,000/700Active CLOs Under Management 2 (U.S.)/3 (Europe)Current/Planned Risk Retention Structure Not Reported (U.S.)/Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) BNP Paribas S.A. (Parent); BNP Paribas Asset

Management S.A.S.; THEAM; FFTW


Leveraged Loan AUM EUR4.7 Bil.Loans Managed via CLOs 21.2%

CLO Team Leader(s) Vanessa RitterCLO Portfolio Managers (PMs)/Avg. Experience 1/24 Years (U.S.); 4/16 Years (Europe)

Credit Analysts, Non-PMs/Avg. Experience 5/16 Years (U.S.); 7/14 Years (Europe)Loan Team Credits Per Analyst (including PMs) 45 (U.S.)/28 (Europe)Approximate No. of Invested Credits 227 (U.S.)/196 (Europe)

0.0

1.0

2.0

3.0

4.0

5.0

2009 2010 2011 2012 2013 2014 2015 2016

(EUR Bil.)


PRINT B.indd 65 4/5/2017 4:32:32 PM

Originator (Europe)

BNP Paribas Investment Partners 60

Europe66.6%

U.S.33.4%

Loan AUM By Region


Name Title Role Firm IndustryVanessa Ritter N.R. Head of Global Loans 9 24Allan Roopan N.R. Head of Credit Structuring and Origination 10 20

N.R. – Not reported.


Name Title Role Firm IndustryVanessa Ritter N.R. Head of Global Loans 9 24Javier Peres Diaz N.R. Head of European Loans 7 17Vincent Brousseau N.R. Senior Portfolio Manager 17 17Ludovic Bonneau N.R. Portfolio Manager 8 19


Other15.0%


aComprises Euro PPs.

Broadly Syndicated

Loans85.0%

a

CLO Investors

21.2%

Other3.7%


aIncludes bank investments, at 1.5%.

Insurance66.5%

Pension/ Retirement

8.6%a

CLOs21.0%

Managed Funds40.5%

Other38.5%


aComprises dedicated mandates.

a

PRINT B.indd 66 4/5/2017 4:32:32 PM

61 BNP Paribas Investment Partners


(EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRLeveraged Finance Europe Capital I BV 11/01 Called 300 0 N N — —Leveraged Finance Europe Capital II BV 8/03 Called 178 0 N N — —Leveraged Finance Europe Capital III BV 10/04 Amortizing 299 15 N N — —Leveraged Finance Europe Capital IV BV 10/06 Called 301 0 N N — —Versailles CLO Plc 11/06 Called 330 0 N N — —Kintyre CLO Plc 3/07 Called 338 0 N N — —Gillespie CLO Plc 8/07 Called 300 0 N N — —Neptuno I BV 5/07 Amortizing 485 200 N N — —BNPP IP EURO CLO 2015-1 4/15 Reinvesting 300 301 Y Y Originator VerticalTotal 2,831 516

VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRNantucket 1 11/06 Called 300 0 N N — — —BNPP IP 2014-1 4/14 Reinvesting 401 379 Y N — — —BNPP IP 2014-II 10/14 Reinvesting 361 350 Y N — — —Total 1,062 729


PRINT B.indd 67 4/5/2017 4:32:32 PM

BNP Paribas Investment Partners 62

The Fitch ViewKey Considerations• Financially strong institutional parent and diversified business from a product and client

mix perspective.• Seasoned senior management team with long-standing shared experience in managing CLOs. • Strong CLO investment services and monitoring ability.• Growth of loan investment activities with good momentum on unlevered funds and mandates.Company• Established in 2001 as part of BNP Paribas CIB, the CLO team joined BNPP IP in 2014. It is

now part of the asset manager’s global loans team of 20, which had EUR5 billion in AUM atyear-end 2016.

• Acquisition and successful turnaround of third-party CLOs since 2009; first new 2.0 CLO in 2015.• PMs are supported by 12 dedicated loan analysts covering the U.S. and European markets,

allowing good access to cross-border opportunities. Trade execution in the secondary market iscentralized with one of the analysts.

• The team also benefits from dedicated support staff for loan settlement and transaction supportand good access to BNPP IP’s wider resources (public research, controls, operations, sales, legaland compliance).

Investments• Investment approach driven by bottom-up credit fundamentals and complemented by a top-down

approach to portfolio diversification. It focuses on loans, primarily senior secured.• Two-step credit selection process, a pre-screening phase and a detailed credit analysis phase,

including full due diligence, financial projections, relative-value and liquidity analysis, and legaldocumentation review.

• Investment committee decides on all new investment opportunities sourced from the primary orsecondary market, on major credit events/restructuring, and on reinvestments in illiquid assets orthose on the watchlist. Strong selectivity demonstrated by growing rejection rate.

• All deal analysis, recommendations and committee conclusions are well documented andadequately logged. Good portfolio and credit monitoring ability through a robust proprietary tool.

• Track record in restructuring situations; workout experience among senior team members. Controls• PMs, the investment services team and regular monitoring committees ensure a first level of

control. The investment services team performs comprehensive controls (collateral, OC test andwaterfall, among others) on top of those separately conducted by the trustee.

• BNPP IP’s compliance, permanent control and risk departments provide strong coverage of riskareas. The independent internal audit function conducts periodic controls; the most recent auditwas in the first quarter of 2016.

• Investment compliance and trade monitoring are handled through Markit Wall StreetOffice (WSO).

Operations• Daily valuation based on several pricing sources (brokers, Bloomberg, Markit). Investor reporting

includes monthly valuation and detailed quarterly reports.• Efficient cash management with dedicated tools allowing good identification of refinancing needs. • Appropriate operational procedures are in place. Settlement is managed through Markit ClearPar.• Weekly reconciliations are conducted with trustees for principal (monthly for interest).Technology• The recent migration to WSO provides a robust, efficient and integrated environment for the

CLO team.• The team has a dedicated intranet tool for credit monitoring. It efficiently supports data gathering

and the monitoring process on loans and portfolios.• The CLO team benefits from BNPP IP’s IT security and backup resources and procedures.

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63Cairn Loan Investments LLP

Cairn Loan Investments LLPCairn Loan Investments LLP (CLI) is an independent U.K. limited liability partnership established by Cairn Capital Limited (Cairn Capital) in 2014 to build on its CLO management business. CLI is authorized by the Financial Conduct Authority (FCA) as a MiFID investment firm, which, in its capacity as "sponsor," is the collateral manager for all European CLOs and supporting warehouse arrangements brought to market by CLI. As of Dec. 31, 2016, CLI was managing four European CLOs with total AUM of GBP1.3 billion.

Firm ProfileRegion(s) of Operation Europe

Address 27 KnightsbridgeLondon, SW1X 7LY, U.K.

Firm Type Independent CLO focused manager

Year Established 2014GBP1.3 Bil.Assets Under Management


Current/Planned Risk Retention Structure OriginatorDedicated Capital to Fund Risk Retention EUR88 Mil.Key Affiliates (Global) N.A.


Loan Management ProfileRegion(s) Europe

Leveraged Loan AUM GBP1.3 Bil.Loans Managed via CLOs 100%

CLO Team Leader(s) Andrew BurkeCLO Portfolio Managers (PMs)/Avg. Experience 1/25 Years

Credit Analysts, Non-PMs/Avg. Experiencea 3/14Loan Team Credits Per Analyst (including PMs) 35Approximate No. of Invested Credits 120aCredit analysts are outsourced to Cairn Capital under a services agreement. CLI also utilizes four additional analysts based in Mumbai who are not employed by Cairn Capital but are dedicated to Cairn Capital in support of its loan business.

0.02014 2015 2016

Loan Assets Under Management(GBP Bil.)1.41.21.00.80.60.40.2

PRINT C.indd 69 4/7/2017 12:28:15 PM

Cairn Loan Investments LLP 64


Name Title Role Firm IndustryAndrew Burke CLI Senior Portfolio Manager Permanent 11 34Andrew Jackson Cairn Capital Chief Investment Officer Permanent 12 22Graham Murphy Cairn Capital Chief Risk Officer Permanent 6 20John Murphy CLI Portfolio Manager Alternative 10 16Paul Campbell Cairn Capital Chief Executive Officer Alternative 13 29


(EUR Mil) EU RR FormName Pricing Status Original Current VR CRR Method of RRCairn CLO III B.V. 3/13 Reinvesting 306 302 Y Y Originator VerticalCairn CLO IV B.V. 12/14 Reinvesting 309 302 Y Y Originator VerticalCairn CLO V B.V. 7/15 Reinvesting 309 302 Y Y Originator VerticalCairn CLO VI B.V. 7/16 Reinvesting 362 350 Y Y Originator VerticalCairn CLO VII B.V. 2/17 Ramp-up 363 351 Y Y Originator VerticalTotal 1,649 1,607


Europe100.0%

Loan AUM By Region

CLOs100.0%


Bank17.0%

Other1.1%


Endowment30.8%

Pension/Retirement

51.1%


Broadly Syndicated

Loans 100.0%

PRINT C.indd 70 4/14/2017 10:48:48 AM

65 Cairn Loan Investments LLP

PRINT C.indd 71 4/7/2017 12:28:16 PM

Cairn Loan Investments LLP 66

The Fitch ViewKey Considerations• CLI is an independent U.K. limited liability partnership established by Cairn Capital in 2014

to build on its CLO management business.• CLI has a robust risk management structure, with risk managers structurally embedded in

the credit decision-making process through representation on the credit committee.• Cairn Capital’s CLO portfolio management team has been seconded to CLI and is

responsible for portfolio management and credit decisions.Company• CLI is authorized by the FCA as a MiFID investment firm, which, in its capacity as sponsor,

is the collateral manager for all European CLOs and supporting warehouse arrangementsbrought to market by CLI.

• As of Feb. 23, 2017, CLI was managing five European CLOs with total AUMof EUR1.6 billion.

• Supporting functions, including credit research, IT, legal and compliance, operations, financeand risk management, have been outsourced to Cairn Capital.

• Cairn Capital operates an outsourced credit research team in Mumbai feeding into a limitednumber of senior London-based credit analysts. This structure differentiates Cairn Capitalfrom peers, which typically rely on in-house research teams.

Investments• The investment process is multistage, based on bottom-up fundamental credit analysis.• An initial filtering step eliminates opportunities that would not be suitable for any portfolio or

would be unlikely to pass the full credit analysis.• The full credit analysis is detailed, including top-down and bottom-up elements and finally a

relative-value assessment.• Position sizing is driven by PM conviction, subject to a trading limit approved by the

investment committee.• The CLO investment team comprises two PMs, three London-based senior credit analysts

and five outsourced credit analysts based in Mumbai.Controls• Public/private data are managed in accordance with defined policies and compliance

oversight.• Pre- and post-trade compliance testing is effected via CDO Sentry.• CLI is differentiated from other CLO managers by having risk management permanently

represented on the investment committee, thus bringing structural independence to thedecision-making process.

Operations• Additional resources in legal (four) and operations/treasury (three). Loan settlements are

outsourced to Cortland Financial Services Limited.• Dedicated CLO administrative staff in the operations and treasury team provides

independent trustee reconciliation and indenture compliance monitoring.• Cash is reconciled daily and on trading; positions are reconciled monthly.• CLI does not provide supplemental CLO investor reporting.Technology• Integrated and flexible platform based on a combination of Cairn Capital’s proprietary

systems (Nexus) and third-party administration systems, including widely accepted industrysystems such as CDO Sentry.

• Detailed business continuity and disaster recovery plans are in place and tested, with offsiteserver storage and backups.

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67The Carlyle Group

The Carlyle GroupThe Carlyle Group is a global alternative asset manager that was founded in 1987. Its activities are split into four business segments: Corporate Private Equity, Real Assets, Carlyle Global Credit and Investment Solutions. As of Dec. 31, 2016, The Carlyle Group Credit had assets under management (AUM) of USD158 billion. Of this total, USD19.3 billion related to the structured credit group, which is part of Carlyle Global Credit.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 520 Madison Avenue

New York, NY 1002257 Berkeley SquareLondon W1J 6ER, U.K.

Firm Type Private equity sponsored credit manager Year Established 1987 1987 Assets Under Managementa USD12.9 Bil. EUR5.8 Bil.Total Employees/Investment Professionals 1,650+ employees worldwideActive CLOs Under Management 26 17Current/Planned Risk Retention Structure Not Reported Not ReportedDedicated Capital to Fund Risk Retention Not Reported Not Reported

N.A.Key Affiliates (Global) aStructured credit group. N.A. – Not applicable.


Leveraged Loan AUM USD12.9 Bil. EUR5.8 Bil.Loans Managed via CLOs 100% 100%

CLO Team Leader(s) Linda Pace Colin AtkinsCLO Portfolio Managers (PMs)/Avg. Experience 2/27 Years 1/26 Years


Europe26.4%

U.S.73.6%

Loan AUM By Region

CLOs99.8%

Managed Accounts

0.2%


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The Carlyle Group 68


Name Title Role Firm IndustryLinda Pace Managing Director Global Head of Loans and Structured Credit 18 32Glori Graziano Managing Director Head of Workouts 16 38Michael Hadley Principal Credit Committee Chair 9 18Justin Plouffe Managing Director Chief Operating Officer 10 16Adam Moss Managing Director Head of U.S. Research 7 25William Lee Managing Director Portfolio Manager 12 22Jennifer Haaz Principal Credit Analyst 12 20


Name Title Role Firm IndustryColin Atkins Managing Partner Co-Head of CLO Business 12 26Stuart MacKenzie Managing Director Portfolio Management and Trading 12 15Martin Glavin Director Credit Analyst 11 14Louis Reynolds Director Credit Analyst 11 16Szymon Jaroszewski Director Credit Analyst 10 15


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRStanfield CLO 6/99 Called 800 0 N N — — —CHYP 2 12/99 Called 550 0 N N — — —Stanfield RMF Transatlantic 5/00 Called 750 5 N N — — —CHYP 3 5/01 Called 450 0 N N — — —CHYP 4 4/02 Called 450 0 N N — — —Carrera 12/02 Called 300 0 N N — — —CLOF 9/03 Called 300 0 N N — — —MCAP 3 5/04 Called 332 0 N N — — —CHYP 6 7/04 Called 400 0 N N — — —Modena 9/04 Called 400 0 N N — — —Vantage 3/05 Called 500 0 N N — — —CHYP 7 9/05 Called 400 0 N N — — —Bristol 10/05 Called 500 0 N N — — —MCAP 4 12/05 Called 307 0 N Y — — —Azure 3/06 Called 515 0 N Y — — —CHYP 8 5/06 Called 525 0 N Y — — —Veyron 6/06 Called 500 0 N Y — — —MCAP 5 6/06 Called 309 0 N Y — — —CHYP 9 9/06 Amortizing 500 223 N Y — — —Daytona 2/07 Amortizing 567 115 N Y — — —Foothill CLO I 2/07 Called 500 0 N Y — — —MCAP 6 3/07 Amortizing 400 56 N Y — — —CHYP 10 4/07 Amortizing 400 226 N Y — — —McLaren 7/07 Amortizing 544 158 N Y — — —Arnage 12/07 Called 605 0 N Y — — —CCP Financing I 4/08 Called 450 0 N Y — — —CHYP 2008-1 5/08 Called 500 0 N Y — — —CGMS 2011-1 7/11 Called 507 0 Y Y — — —

VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.Continued on next page.

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69The Carlyle Group


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRCGMS 2012-1 3/12 Called 510 0 Y Y — — —CGMS 2012-2 6/12 Amortizing 510 389 Y Y — — —CGMS 2012-3 9/12 Reinvesting 616 616 Y Y — — —CGMS 2012-4 12/12 Reinvesting 620 620 Y Y — — —CGMS 2013-1 2/13 Reinvesting 605 605 Y Y — — —CGMS 2013-2 3/13 Reinvesting 624 619 Y Y — — —CGMS 2013-3 6/13 Reinvesting 517 517 N Y — — —CGMS 2013-4 11/13 Reinvesting 414 414 Y Y — — —CGMS 2014-1 3/14 Reinvesting 725 722 Y Y — — —CGMS 2014-2 6/14 Reinvesting 618 618 Y Y — — —CGMS 2014-3 8/14 Reinvesting 816 816 Y Y — — —CGMS 2014-4 9/14 Reinvesting 571 571 Y Y — — —CGMS 2014-5 12/14 Reinvesting 512 512 Y Y — — —CGMS 2015-1 2/15 Reinvesting 674 667 Y Y — — —CGMS 2015-2 6/15 Reinvesting 610 610 Y Y — — —CGMS 2015-3 6/15 Reinvesting 590 590 Y Y — — —CGMS 2015-4 11/15 Reinvesting 509 503 Y Y — — —CGMS 2015-5 12/15 Reinvesting 407 401 Y Y — — —CGMS 2016-1 4/16 Reinvesting 403 403 Y Y — Other VerticalCGMS 2016-2 6/16 Reinvesting 499 499 Y Y — Other HorizontalCGMS 2016-3 9/16 Reinvesting 505 505 Y Y — — —Carlyle 2016-4 12/16 Reinvesting 508 508 Y Y — Other VerticalTotal 25,624 12,488



Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRCELF I 4/05 Calleda 450 — — — — —CELF II 11/05 Amortizing — 16 — — — —HIGHLANDER I 8/06 Amortizing 500 114 — — — —CELF III 10/06 Amortizing 508 225 — — — —HIGHLANDER II 12/06 Amortizing 700 324 — — — —CELL 1/07 Amortizing 355 155 — — — —HIGHLANDER III 4/07 Amortizing 800 390 — — — —CELF IV 5/07 Amortizing 600 240 — — — —HIGHLANDER IV 6/08 Called 443 — — — — —CELF V 6/08 Called 401 — — — — —CELF 2008-2 11/08 Called 556 — — — — —CGMSE 2013-1 6/13 Reinvesting 415 415 Y Y Sponsor HorizontalCGMSE 2013-2 9/13 Reinvesting 336 336 Y Y Sponsor VerticalCGMSE 2014-1 3/14 Reinvesting 375 375 Y Y Sponsor VerticalCGMSE 2014-2 6/14 Reinvesting 402 402 Y Y Sponsor VerticalCGMSE 2014-3 10/14 Reinvesting 450 450 Y Y Sponsor VerticalCGMSE 2015-1 3/15 Reinvesting 500 500 Y Y Sponsor HorizontalCGMSE 2015-2 8/15 Reinvesting 414 414 Y Y Sponsor VerticalCGMSE 2015-3 12/15 Reinvesting 517 517 Y Y Sponsor HorizontalCGMSE 2016-1 12/15 Reinvesting 410 410 Y Y Sponsor HorizontalCGMSE 2016-2 12/15 Reinvesting 415 415 Y Y Originator HorizontalTotal 9,547 5,698aCELF I was called in January 2017. VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

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The Carlyle Group 70

Carlyle Global Credit

Loans and Structured Credit Private Credit Energy Credit Distressed Credit

U.S. Syndicated Loans

European Syndicated Loans

First Lien Loans

Second Lien Loans

Unitranche Loans

Mezzanine

Debt and Equity Debt and Equity

USD19.3 Billion USD1.9 Billiona USD4.7 Billion USD3.4 Billion

aRefers to Carlyle GMS Finance, Inc., a business development company (CGMSF), and NF Investment Corp (together with CGMSF, the BDCs) committed equity, Carlyle Mezzanine Partners invested capital, third-party capital that has been committed to the Carlyle Unitranche Program (CUP), and the third-party capital that has been committed to Middle Market Credit Fund, LLC (MMCF) plus the committed financing facilities; excludes Churchill CLO.

CLO Investment


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71The Carlyle Group

The Fitch ViewKey Considerations• A strong focus on primary market allocations is supported by Carlyle Investment

Management’s (CIM) market position and more active trading strategy.• Avoidance of potential conflicts of interest is achieved by maintaining the company’s

information barrier between the CLO platform and CIM’s private equity business.Company• Communication across various business segments encourages knowledge sharing and

allows for added industry insight.• On average, analysts have over 15 years of experience and are responsible for covering

between 40 and 50 credits, based on industry and experience.• The investment team, consisting of 26 individuals, is responsible for CLO management.

The team has had very low turnover and exhibits strong preference for growth from within.• Strategically focused on European CLO market, having launched eight European CLOs

since the beginning of 2014 and delivering on its strategy of repeat issuance.• Highly profitable business, with fee-based revenues. More than adequate regulatory capital.Investments• Carlyle’s U.S. structured credit group engages in active portfolio management through

opportunistic trading, with a relative-value focus and an emphasis on bottom-up fundamentalcredit selection.

• Carlyle Global Credit leverages the entire CIM global network through intergroup knowledgesharing to broadly access the market, resulting in favorable primary market allocations.

• Ten U.S. credit research analysts, allocated by sector, with primary/secondary system pername and sector.

• Coverage per analyst (40–50 names) is higher relative to peers but consistent with creditteam’s depth of experience.

• The committee process results in the assignment of a risk rating (1–10 scale) and a valuerating (1–5 scale) to each loan in the portfolio.

• CIM employees typically invest in the equity in CLO transactions to align interestwith investors.

Controls• Detailed policies covering order allocation, interfund trading, personal dealing and pricing are

overseen by compliance.• CIM has various daily, weekly, monthly and quarterly risk management reporting and

oversight functions in place.• Potential conflicts of interest managed through formal information barrier overseen

by compliance.• Public or private only at strategy level on all names, thus precluding conflicts of interest.

Cleansing period overseen by compliance when status (public versus private) changes.Operations• Carlyle Global Credit has a dedicated internal trading and operational support team that

provides independent trustee reconciliation and indenture compliance monitoring.• Carlyle Global Credit has an additional, outsourced team at State Street to provide

middle- and back-office support. Daily reconciliation with trustee is automated via bespokesystem, Polaris.

• Trade settlements are outsourced to Courtland Capital. Daily reporting is overseen by COO.• Investor reporting is available via a password-protected website and includes offering

documents, investor letters, performance reports and manager updates.Technology• Carlyle Global Credit has an integrated and flexible platform based on a combination of both

proprietary analytics and best-in-class third-party systems such as Black Mountain Everestand Cortland.

• External data feeds for pricing (Markit for loans, IPD for bonds) are integrated with Polarisand Everest.

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72Chenavari Investment Partners

Chenavari Investment PartnersChenavari Investment Managers (Chenavari; trading name of Chenavari Credit Partners LLP) was founded in May 2008 by Loic Fery (CEO and co-CIO) together with FredericCouderc (co-CIO) and is a well-established alternative investment manager targeting investment strategies across tradable credit (long/short corporate credit and European financials, multistrategy credit including ABS, credit and real estate debt), structured finance (CLOs) and private credit (bank deleveraging opportunities, real estate debt,opportunistic private debt and specialty finance). Chenavari has offices in London, Luxembourg, Hong Kong and New York, with 99 partners and employees including 42investment specialists. It had approximately EUR5.5 billion in assets under management as of the beginning of March 2017.

Firm ProfileRegion(s) of Operation EuropeAddress 80 Victoria Street

London, SW1E 5JL, U.K.Firm Type Multistrategy asset managementYear Established 2008Assets Under Management EUR5.5 Bil.Total Employees/Investment Professionals 99/42Active CLOs Under Management 5Current/Planned Risk Retention Structure Originator Dedicated Capital to Fund Risk Retention EUR150 Mil.Key Affiliates (Global) Chenavari Investment Managers Holdings

Loan Management ProfileRegion(s) EuropeLeveraged Loan AUMa EUR1.2 Bil.Loans Managed via CLOs 90%CLO Team Leader(s) Mick VasilacheCLO Portfolio Managers (PMs)/Avg. Experience 2/15 YearsCredit Analysts, Non-PMs/Avg. Experience 10/10 Years

25130

0.00.20.40.60.81.01.21.4

2012 2013 2014 2015 2016

(EUR Bil.)


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Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits aEUR1.6 billion as of March 31, 2017.

Chenavari Investment Partners 73

High Yield

Bonds 14.1%CLOs

37.8%

Middle Market Loans

5.6%Other 4.1%


Structured Credit 38.4%

Europe100%

Loan AUM By Region

CLOs90.0%

Managed Funds10.0%



Name Title Role Firm IndustryLoic Fery Managing Partner CEO, Co-CIO 9 23Frederic Couderc Partner Co-CIO 9 21Mick Vasilache Partner Senior Portfolio Manager 8 22Edward Smalley Head of Market Risk Head of Market Risk 3 13


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRAlpstar CLO 1 4/06 Amortizing 330 81 N N — —Alpstar CLO 2 11/06 Amortizing 600 319 N N — —Toro European 1 8/14 Reinvesting 300 303 Y Y Originator VerticalToro European 2 8/16 Reinvesting 350 350 N Y Originator HorizontalToro European 3 3/17 Reinvesting 350 350 N Y Originator HorizontalTotal 1,930 1,403


Othera

52.4%


aIncludes insurance (1.3%), endowment (1.2%), sovereign wealth funds (0.5%) and bank (0.2%).

Pension/Retirement

14.7%

Family Office/ High Net Worth

9.0%

CLO Investors23.9%

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74Chenavari Investment Partners

Alpstar Management Jersey Limited (Jersey)

Chenavari Financial Group LtdService Company

(U.K.)

Alpstar CLO 1 plc (Ireland)

Toro European CLO 1(Ireland)

Chenavari Investment Managers Luxembourg Sarl

(Luxembourg AIFM)

Chenavari Credit Partners LLP(U.K.)

Regulated by FCA/CFTC/SEC

Alpstar CLO 2 plc (Ireland)

Chenavari Investment Managers Holdings (Cayman Islands)




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Chenavari Investment Partners 75

The Fitch ViewKey Considerations• Independent asset manager and experienced senior team.• Strong proprietary technology, notably its look-through CLO analysis system, Toy Box.• EUR1.4 billion CLO AUM to date, resulting from two acquired CLOs and three new CLOs

(including Toro European 3, which priced in March 2017).Company• Chenavari is an independent asset manager founded in 2008 and focused on niche credit:

structured finance, credit and illiquid credit opportunities. As an independent entity it lacksthe financial resources of other bank- or private equity-backed CLO managers. It activelyseeds new activities with its own capital.

• Chenavari is privately held by the nine partners in the business. It is controlled by Loic Fery.• Chenavari has been managing two CLOs as replacement CLO manager since 2012 and has

managed three new CLOs issued in 2014, 2016 and 2017. Its flagship structured finance fund(Toro) has been investing in CLO mezzanine and equity paper since the firm’s inception in 2008.

• The CLO management team consists of six with an average of 11 years’ experience.The research team consists of 10 staff (four staff members also have CLO portfoliomanagement responsibility), who average approximately eight years of experience. Thecredit research team is shared across the business.

Investments• The investment process relies on fundamental credit analysis incorporating bottom-up issuer

analysis and top-down themes, based on standardized accounting data.• The analyst team is organized by sector and shared, with the result that analysts will cover

both loan and bond issuers.• Research outputs are broadly standardized in succinct memos highlighting the key features

of the investment and providing an investment rationale.• A filtering process effected by the CLO portfolio management team weeds out weaker issuers pre-

committee, with the result that turndowns by the investment committee itself are limited. OverallChenavari estimates a 50% turndown rate on average. Committee decisions are minuted.

• Position sizing and portfolio diversification are at the discretion of the portfolio manager.• Monitoring is ongoing, effected by the analyst team. Issuers are monitored continuously

based on news flow, company presentations and monthly account/budget data via Hunter, aproprietary database.

Controls• Overall control is effected via the management committee, consisting of the CEO, COO and

CRO, with responsibility delegated by the partners.• An independent risk management function is responsible for second-level risk management.• Public/private data are managed in accordance with defined policies and compliance

oversight. If a conflict exists, the analysts will be public only in the majority of cases.• Pre- and post-trade compliance testing is effected via Solvas.Operations• CLO administration is conducted in-house by two dedicated staff members; additional

support and oversight are provided by a member of the portfolio management team and thewider operations staff of 24.

• Chenavari has developed a semi-automated position and principal balance reconciliation tool.• Loan settlement is conducted by the dedicated CLO operations staff.• Chenavari does not provide supplemental investor reporting.Technology• Toy Box is a proprietary CLO administration tool that is integrated to Intex for CLO analysis.

The system provides a comprehensive overview of the entire European CLO universe,looking through to underlying holdings. It enables monitoring of manager trading behaviorand overlap analysis across CLOs, among other functions.

• Solvas is used for operational and compliance purposes for the CLO and leveragedloan platforms.

• Detailed business continuity and disaster recovery plans are in place and tested, with offsiteserver storage and backup.

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76Chicago Fundamental Investment Partners, LLC

Chicago Fundamental Investment Partners, LLCChicago Fundamental Investment Partners, LLC (CFI) was formed on Nov. 7, 2005 by Brad Couri and Levoyd Robinson, who had worked together at Citadel Investment Group structuring its fundamental credit business. On Oct. 13, 2016, CFI management agreed to sell a minority interest in the firm to The Academy Group, Inc., a Chicago-based philanthropic entity, to satisfy CLO risk retention requirements. As of Dec. 31, 2016, CFI managed approximately USD826 million in assets across its two active CLOs.

Firm ProfileRegion(s) of Operation U.S.Address One South Wacker Drive, Suite 3200

Chicago, IL 60606Firm Type Independent CLO-focused managerYear Established 2005Assets Under Management USD826 Mil.Total Employees/Investment Professionals 11/8Active CLOs Under Management 2Current/Planned Risk Retention Structure Firm capital to be providedDedicated Capital to Fund Risk Retention USD160 Mil.Key Affiliates (Global) Not applicable — Independent


Leveraged Loan AUM USD826 Mil.Loans Managed via CLOs 100%

CLO Team Leader(s) Bradford B. Couri, Levoyd E. RobinsonCLO Portfolio Managers (PMs)/Avg. Experience 5/22.5 Years

Credit Analysts, Non-PMs/Avg. Experience 4/7.4 Years Loan Team Credits Per Analyst (including PMs) 31Approximate No. of Invested Credits 125

0.0

0.2

0.4

0.6

0.8

1.0

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Loan Assets Under Managementa

(USD Bil.)

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aRepresents year end market value.

Chicago Fundamental Investment Partners, LLC 77


Middle Market Loans

100.0%

CLO Investors100.0%


U.S.100.0%

Loan AUM By Region

CLOs100.0%



Name Title Role Firm IndustryBradford B. Couri Managing Principal Portfolio Manager 12 27Levoyd E. Robinson Managing Principal Portfolio Manager 12 27Eric S. Baer Principal Portfolio Manager 12 20Dave Dieffenbacher Principal Portfolio Manager 12 20Sean Haas Principal Portfolio Manager 12 20


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRCHGO 9/08 Called 500 0 N N — — —CFIP CLO 2013-1 2/13 Reinvesting 413 413 Y N — — —CFIP CLO 2014-1 3/14 Reinvesting 413 413 Y N — — —Total 1,326 826


CFI, LLCa The Academy Group, Inc.b

CLOs SMAs

aCFI is majority owned and operated by five principals. bThe Academy Group is a 501(c)3 charity funded and formed by business leader and philanthropist Mark Walter and a group of other entrepreneurs and executives. The Academy Group owns a minority stake in CFI and generally does not participate in the daily management of the firm.


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78CIFC Asset Management LLC

CIFC Asset Management LLCCIFC Asset Management LLC (CIFC), founded in 2005, is a private debt manager specializing in U.S. corporate and structured credit strategies with USD13.7 billion of assets under management (AUM) as of Dec. 31, 2016. CIFC was acquired in November 2016 by an affiliate of F.A.B. Partners. F.A.B. Partners is a Jersey-based investment platform backed by a select group of sophisticated, global and long-term-oriented investors. Headquartered in New York, CIFC is an SEC-registered investment adviser.

Firm ProfileRegion(s) of Operation U.S.Address 250 Park Avenue, Fourth Floor

New York, NY 10177Firm Type Multistrategy asset managementYear Established 2005Assets Under Management USD13.7 Bil.Total Employees/Investment Professionals 76/31Active CLOs Under Management 27Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Supreme Universal Holdings Ltd.



CLO Team Leader(s) Steve Vaccaro, Ira Ginsburg, Damien Mount CLO Portfolio Managers (PMs)/Avg. Experience 2/19.5 Years

Credit Analysts, Non-PMs/Avg. Experience 16/11 Years Loan Team Credits Per Analyst (including PMs) 30Approximate No. of Invested Credits 450

02468

10121416

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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CIFC Asset Management LLC 79

Other4.0%


SyndicatedLoans9.0%

CLOs82.0%


CLO Investors

82.0%

Managed Accounts

12.0%

Bank1.0%

Other4.0%


Pension/Retirement

1.0%

U.S.100.0%

Loan AUM By Region

CLOs82.0%

Managed Funds6.5%

Managed Accounts

11.5%



Name Title Role Firm IndustrySteve Vaccaro Co-Chief Executive Officer Chief Investment Officer 11 39Oliver Wriedt Co-Chief Executive Officer Co-Chief Executive Officer 5 24Elizabeth Chow Managing Director Head of Investment Research 11 27Robert Ranocchia Managing Director Head of Special Situations 11 29Stan Sokolowski Managing Director Head of Corporate Credit Funds 4 26Ira Ginsburg Managing Director Head of CLOs 5 26Claudette Kraus Managing Director Head of Originations 11 28Damien Mount Managing Director Senior Portfolio Manager 6 13Robert Steelman Managing Director Senior Investment Analyst 11 21Tracey Ewing Executive Director Senior Investment Analyst 10 30Brian Pilko Managing Director Senior Investment Analyst 10 15

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Broadly

80CIFC Asset Management LLC


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRBridgeport CLO 6/06 Amortizing 401 128 N N — — —CIFC Funding 2006-II 12/06 Called 637 77 N N — — —CIFC Funding 2007-I 2/07 Called 409 104 N N — — —CIFC Funding 2007-II 3/07 Amortizing 614 172 N N — — —Schiller Park CLO 5/07 Amortizing 400 146 N N — — —Bridgeport CLO II 6/07 Amortizing 516 228 N N — — —Primus CLO II 7/07 Amortizing 400 141 N N — — —CIFC Funding 2007-III 7/07 Amortizing 450 160 N N — — —CIFC Funding 2011-I 1/12 Called 415 0 N N — — —CIFC Funding 2012-I 7/12 Amortizing 464 442 Y N — — —CIFC Funding 2012-II 11/12 Amortizing 748 733 Y N — — —CIFC Funding 2012-III 1/13 Amortizing 516 504 Y N — — —CIFC Funding 2013-I 3/13 Reinvesting 517 505 N N — — —CIFC Funding 2013-II 6/13 Reinvesting 647 627 Y N — — —CIFC Funding 2013-III 9/13 Reinvesting 418 402 N N — — —CIFC Funding 2013-IV 11/13 Reinvesting 521 506 N N — — —CIFC Funding 2014 3/14 Reinvesting 623 604 Y N — — —CIFC Funding 2014-II 5/14 Reinvesting 829 808 Y N — — —CIFC Funding 2014-III 7/14 Reinvesting 723 704 Y N — — —CIFC Funding 2014-IV 9/14 Reinvesting 624 603 Y N — — —CIFC Funding 2014-V 12/14 Reinvesting 560 554 Y N — — —CIFC Funding 2015-I 2/15 Reinvesting 614 602 Y N — — —CIFC Funding 2015-II 4/15 Reinvesting 513 502 Y N — — —CIFC Funding 2015-III 6/15 Reinvesting 516 502 Y N — — —CIFC Funding 2015-IV 8/15 Reinvesting 513 502 Y N — — —CIFC Funding 2015-V 10/15 Reinvesting 511 502 Y N — — —CIFC Funding 2016-I 12/16 Reinvesting 509 497 Y N — — —Total 14,608 11,255VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

F.A.B. Holdings I LP(Delaware)

Institutions and Individual Investors(Including Management)

CIFC LLC(Delaware)

CIFC Asset Management LLC(Delaware)

Note: This chart represents a simplified structure; certain wholly owned entities have been omitted.


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CIFC Asset Management LLC 81

The Fitch ViewKey Considerations• Stable management team combined with experienced senior portfolio management.• Well-established CLO platform and demonstrated track record managing CLOs.

Strong access to new CLO issuance and the loan market across different environments.• CIFC was acquired in November 2016 by F.A.B. Partners, a newly formed alternative

investment platform backed by the Qatari royal family. The transition will likely create somechallenges as CIFC settles into its new role within a larger organization. However, thesechallenges will mostly be offset by CIFC’s stability and large presence in the CLO market.

Company• Founded in 2005, CIFC is a fundamentals-based, relative-value loan specialist manager with

USD13.7 billion in AUM as of Dec. 31, 2016.• CIFC’s investment team is led by Co-President Steve Vaccaro, who has 39 years of industry

credit experience and has been with CIFC since its inception. CIFC’s top three senior creditanalysts average 18 years of relevant experience.

• CIFC has brought over 25 CLOs to market; in addition, it manages four CLOs that it acquiredfrom four fund complexes (CypressTree, Deerfield, CNCIM and GE Navigator).

Investments• The investment process is based on CIFC’s disciplined assessment of the fundamental value

cushion underpinning each investment, which contributes to differentiated portfolios with attractiveperformance and is augmented by daily portfolio reassessment and relative-value rebalancing.

• Sixteen research analysts cover approximately 30 credits each, are organized by industry and aregrouped together, led by a senior analyst.

• All analysts participate in the investment committee, which meets at least on a daily basis and isattended by the chief investment officer, portfolio managers (PMs) and traders.

• Highly customized and robust credit research platform, which facilitates underwriting committeesand ongoing reviews. The system also ensures active communication.

Controls• Formalized surveillance process includes daily investment team meetings (to discuss

industry trends, regulatory changes, valuation multiples and performance trends) as well asthree industry reviews per year.

• Robust reporting, including a key management report containing cash balances,overcollateralization and interest coverage tests and cushions for all transactions, ispopulated on a daily basis. It is reviewed internally by and distributed to the PMs on adaily basis.

• Internal audit committee consists of three independent directors and meets at least quarterly.Operations• CIFC has dedicated legal, finance, compliance, operations, portfolio control, risk management,

internal audit and support teams; combined, they comprise over 40 professionals. • CIFC utilizes a variety of systems for portfolio management and administration, including Wall

Street Office (WSO) for compliance and operations and Black Mountain Everest for performingcredit analysis.

• Daily reconciliation of cash and securities with U.S. Bank, as trustee. Additionally, there is amonthly reconciliation with the trustee report for review.

Technology• Integrated and flexible platform is based on a combination of proprietary analytics and third-party

customized vendor systems, including such industry-standard systems as Black MountainEverest, WSO (compliance, administrator and reporting) and Investran (fund accounting).

• Business continuity plan is appropriate, has been tested and includes a hot site in New Jersey,daily data backup and use of Citrix for remote accessibility.

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82Columbia Management Investment Advisers, LLC

Columbia Management Investment Advisers, LLCColumbia Management Investment Advisers, LLC (Columbia) is a subsidiary of Ameriprise Financial, Inc. (Ameriprise). Columbia’s core CLO team, the leveraged debt group, was formed in 2000 and is based in Los Angeles. As of Dec. 31, 2016, the leveraged debt group managed USD8.4 billion through a combination of retail and institutional products.

Firm ProfileRegion(s) of Operation U.S.Address 100 North Sepulveda Boulevard

El Segundo, CA 90245Firm Type Multistrategy asset managementYear Established 2000 (Leveraged debt group)

USD333.4 Bil.Assets Under Management Total Employees/Investment Professionals 13,000 (Parent)/497 (Columbia Threadneedle)Active CLOs Under Management 13Current/Planned Risk Retention Structurea Not ReportedDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Ameriprise Financial, Inc. (Parent); Threadneedle InvestmentsaManager notes that multiple approaches are being pursued.



CLO Team Leader(s) Lynn Hopton, Yvonne StevensCLO Portfolio Managers (PMs)/Avg. Experience 4/26.5 Years


0

2

4

6

8

10

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Columbia Management Investment Advisers, LLC 83


Managed Accounts

6.0%

Managed Funds15.0%CLOs

79.0%

U.S. Investment CommitteeExperience (Years)

Name Title Role Firm IndustryLynn Hopton Senior Managing Director and

Co-Head Leveraged Debt Group Senior Portfolio Manager 17 31Steve Staver Managing Director Portfolio Manager 17 24Jerry Howard Managing Director Portfolio Manager 15 22


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRCenturion CDO II 11/00 Called 500 0 — — — — —Sequils-Centurion V 4/01 Matured 438 0 — — — — —Centurion CDO VI 8/02 Called 400 0 — — — — —Centurion CDO VII 5/04 Called 1,100 0 — — — — —Centurion CDO 8 1/05 Called 600 0 — — — — —Centurion CDO 9 6/05 Called 828 0 — — — — —Cent CDO 10 11/05 Called 400 0 — — — — —Cent CDO XI 3/06 Called 726 0 — — — — —Cent CDO 12 12/06 Amortizing 618 502 N N — — —Cent CDO 14 3/07 Amortizing 500 446 N N — — —Cent CDO 15 7/07 Amortizing 617 553 N N — — —Cent CLO 16 9/12 Amortizing 413 399 Y N — — —Cent CLO 17 2/13 Reinvesting 415 405 N N — — —Cent CLO 18 6/13 Reinvesting 519 504 Y N — — —Cent CLO 19 10/13 Reinvesting 411 404 N N — — —Cent CLO 20 1/14 Reinvesting 460 448 Y N — — —Cent CLO 21 6/14 Reinvesting 622 602 Y N — — —Cent CLO 22 10/14 Reinvesting 616 604 Y N — — —Cent CLO 23 4/15 Reinvesting 578 567 Y N — — —Cent CLO 24 9/15 Reinvesting 709 703 Y N — — —TCI-Cent 2016-1a 12/16 Reinvesting 510 499 Y N — Other HorizontalTotal 11,978 6,634aTCI-Cent 2016 is managed in a sub-advisory role. VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.

Other1.8%


aIncludes high yield bonds, at 1.8%.

BroadlySyndicated

Loans98.2%

a

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84Columbia Management Investment Advisers, LLC

Ameriprise Financial, Inc.


Asset Management Businesses

Financial Advisory Business

Insurance and Annuities Businesses

Columbia ThreadneedleInvestments Ameriprise Financial Riversource

Ameriprise Trust Company

Ameriprise Auto & Home Insurance

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Columbia Management Investment Advisers, LLC 85

The Fitch ViewKey Considerations• Strong operations and CLO administration procedures.• Established, favorable performance track record in CLOs.• Columbia does not portray a unique analytical edge but adds value based on its

extensive market experience.• Keeping turnover low in key staffing areas.Company• Ameriprise purchased Columbia in May 2010 and merged it with Ameriprise’s RiverSource

Investments unit. The leveraged debt group has remained intact following the acquisition, and the group continues to be run out of its Los Angeles office.

• The Los Angeles office is composed of 22 individuals: four PMs, seven industry analysts and 11performance analytics, operations, administration and IT support staff. The seven analysts average more than 20 years of industry experience and 14 years with the group.

• The team is co-headed by Lynn Hopton and Yvonne Stevens. Both joined the leveraged debt group in 2000, having previously worked for several years at SunAmerica Inc., where they managed leveraged loans and gained structured vehicle experience.

• The company typically participates in the equity of its managed CLOs, in amounts ranging from5%−15% of the equity tranche.

Investments• Columbia maintains a bottom-up investment and valuation analysis, with emphasis on capital

preservation and the minimization of downside risk.• Clearly articulated investment processes are based on a blend of quantitative and qualitative analysis.

Credit underwriting focuses on a four-step process: defining the investment universe, fundamentalcredit research, formal investment committee and ongoing research and communication.

• The investment committee is composed of two PMs and the recommending analyst. Buy decisions require unanimous approval of the committee.

• No investment decisions are made unilaterally. Analysts and PMs contribute opinions and ideason all names, and consensus drives the decision-making process.

Controls• Written policies and procedures outline investment objectives and the operational means for

administering risk management, asset allocation, investment analysis, portfolio managementand trade order management, among other business processes.

• Compliance is supplemented by corporate oversight in the form of internal operationalreviews and compliance checks. Currently, the specific procedures for the leveraged debtgroup are documented, and the team follows formal guidelines for trading procedures,allocations of trades and internal risk ratings.

• Portfolios are continuously monitored from a quantitative and fundamental perspective.Substitution decisions are a function of fundamental, quantitative and structuralconsiderations.

Operations• Scalability of processes is demonstrated through successful integration of subsequently

issued and managed CLOs since 2000.• CLOs are closely administered to help ensure proper management of related accounts,

monitoring of structural compliance and processing of communications with the trustee.• Third-party custodian/administrators provide information such as monthly trustee reports to

investors through a password-protected website.Technology• The Los Angeles office is supported by larger corporate technology infrastructure, including

a formalized business continuation plan as well as technology upgrades and duplication ofservers and data.

• Wall Street Office (WSO) Administrator is used for cash position reporting and positionreporting by industry, analyst and global exposure. In addition, WSO Compliance is used forcollateral testing/monitoring, coverage/quality tests and concentration limits.

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86Commerzbank Debt Fund Management

Commerzbank Debt Fund ManagementCommerzbank Debt Fund Management (DFM) is a functionally independent and segregated division of Commerzbank AG. Its DFM activities commenced in 2007, with loan funds managed since 2009. As of Dec. 31, 2016, it managed two loan vehicles (Bosphorus Capital DAC and Bosphorus Investments DAC, one static CLO (Bosphorus CLO I DAC) and one short duration CLO (Bosphorus CLO II DAC). Global assets under management (AUM) totaled EUR780 million as of Dec. 31, 2016.

Firm ProfileRegion(s) of Operation Europe

Address 30 Gresham StreetLondon, EC2V 7PG, U.K.7PG, U.K.Firm Type Bank affiliated CLO manager

Year Established 2007EUR780 Mil.Assets Under Management


Current/Planned Risk Retention Structure Originator Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) N.A.



Leveraged Loan AUM EUR780 Mil.Loans Managed via CLOs 53%

CLO Team Leader(s) Guy BeestonCLO Portfolio Managers (PMs)/Avg. Experience 1/22 Years


0100200300400500600700800900

2009 2010 2011 2012 2013 2014 2015 2016

(EUR Mil.)


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Commerzbank Debt Fund Management 87


Name Title Role Firm IndustryGuy Beeston Managing Director Head of Debt Fund Management 9 23Chris Day Managing Director Head of Leveraged Finance 19 29Chris Allflatt Director Risk Officer 9 28


(EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRBosphorus CLO I 2/15 Called 232 141 Y Y Originator HorizontalBosphorus II 3/16 Reinvesting 278 278 Y Y Originator HorizontalTotal 510 419


Europe85.0%

U.S.15.0%

Loan AUM By Region




CLO Investors

56.0%

Bank42.0%

Managed Accounts

2.0%


CLOs54.0%

Managed Funds2.0%

Other44.0%


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Broadly

88 Commerzbank Debt Fund Management

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Commerzbank Debt Fund Management 89

The Fitch ViewKey Considerations• Investment-grade-rated and well-resourced parent.• Pragmatic approach to business development by launching progressively more managed

CLOs until it reaches the status of a fully active CLO manager.• Increasing number of loan investment vehicles and invested issuers, which brings the

challenge of maintaining quality of analytical work, credit selectivity and the current low ratioof invested issuers to credit analysts.

Company• DFM, a division of Commerzbank AG, is dedicated to European leveraged loan investment

and management. It benefits from the wider resources of the bank while functioning as asegregated entity.

• The bank has been originating and investing in leveraged loans since 1998.• DFM comprises five staff (and one open position) with an average of approximately nine years’

experience. DFM staff performs both analytical and operational activities, although DFM plansto add additional staff and to separate functions as the business grows.

• DFM uses an originator structure for its risk retention strategy. CLO assets are purchased inthe open market and warehoused in a special purpose vehicle owned by the bank.

Investments• The investment process involves three steps, starting with a portfolio manager review,

followed by detailed analytical work and finally presentation to the investment committee.• The credit selection process is based on fundamental, bottom-up financial analysis.

The portfolio manager is responsible for incorporating top-down views into the analysis andin portfolio construction. DFM uses the bank’s internal rating model to generate ratings oninvested issuers.

• Credit research is documented in detailed memos of good quality based on a standardizedtemplate, with clear credit recommendations.

• Continuous portfolio monitoring via weekly portfolio discussions, monthly analyst updates onissuer financials and full portfolio review, and annual updates of the bank’s rating model andthe credit analysis. DFM maintains a watchlist of weaker/underperforming issuers and willtypically sell early rather than wait for material underperformance to emerge.

• Binary decision on issuer eligibility based solely on credit. Investment committee decisionsare documented and require a unanimous vote. Turndown rate of approximately 72%on average.

Controls• DFM is physically separated from the rest of the bank and operates on a separated file

structure, thus providing effective control over information flows and mitigating conflict-of-interest risk.

• The bank’s leveraged finance risk officer is a permanent member of the credit committee,structurally embedding risk in the investment process.

• Commerzbank-originated loans make up a minimal portion of DFM’s assetsunder management.

• DFM is effectively public or private only on any name, which mitigates information risk.• Pre- and post-trade CLO compliance testing is effected via Wall Street Office (WSO).Operations• CLO administration is conducted by the DFM team directly.• Loan settlement is outsourced to Bank of New York Mellon.• Cash is reconciled daily and on trading; positions reconciled monthly.• DFM does not provide supplemental CLO investor reporting.Technology• DFM benefits from the substantial IT resources of the bank and uses the bank’s proprietary

loan rating model. The main CLO management system is WSO, which is widely accepted bythe industry.

• Detailed business continuity and disaster recovery plans are in place and tested and includeoffsite server storage and backups.

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90Credit Suisse Asset Management

Credit Suisse Asset ManagementCredit Suisse Asset Management, LLC and Credit Suisse Asset Management Limited(together, CSAM), are wholly owned subsidiaries of Credit Suisse Group AG (Credit Suisse). CSAM’s credit investments group has been a large manager of bank loans since its inception in 1997; as of Dec. 31, 2016, it had USD42.1 billion in global assets under management (AUM), most of it invested in syndicated loans, with a smaller proportion in high-yield bonds and structured products.

Firm ProfileRegion(s) of Operation U.S. Europe

Address One Madison Avenue,New York, NY 10010

One Cabot Square, Canary Wharf, London, E14 4QJ, U.K.

Firm Type Bank-affiliated CLO manager

Year Established 1997 2005 Assets Under Management USD36.7 Bil. USD5.4 Bil.

Total Employees/Investment Professionals 44/29 7/7Active CLOs Under Management 24 8

Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Sponsor/Originator Dedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) Credit Suisse Group AG (Parent); Credit Suisse Asset

Management Limited (U.K. Manager); Credit Suisse Asset Management, LLC (U.S. Manager)


Leveraged Loan AUM USD34.4 Bil. USD3.9 Bil.Loans Managed via CLOs 43% 44%

CLO Team Leader(s) John G. Popp, Andrew H. Marshak, Thomas J. Flannery, Louis I. Farano, Wing Chan


Credit Analysts, Non-PMs/Avg. Experience 15/13 Years 5/12 YearsLoan Team Credits Per Analyst (including PMs) 50 50Approximate No. of Invested Credits 32 39

05

10152025303540

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

U.S. Leverage Loan Assets Under Management

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Credit Suisse Asset Management 91

U.S. and European Credit CommitteeExperience (Years)

Name Title Role Firm IndustryJohn G. Popp Managing Director Global Head and Chief Investment Officer 19 32Andrew H. Marshak Managing Director Head of Europe 19 26Thomas J. Flannery Managing Director Senior Portfolio Manager 18 20Louis I. Farano Managing Director Portfolio Manager 11 23Wing Chan Managing Director Portfolio Manager 8 18

0.00.51.01.52.02.53.03.54.04.5

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

European Leverage Loan Assets Under Management

Europe12.9%

U.S.87.1%

Loan AUM By Region

CLOs44.4%

Managed Funds33.5%

Managed Accounts

22.1%






CLO Investors

43.7%

Other56.3%


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Broadly

92Credit Suisse Asset Management


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRFirst Dominion Funding I 6/98 Called 975 0 N N — — —First Dominion Funding II 4/99 Called 731 0 N N — — —First Dominion Funding III 12/99 Matured 735 0 N N — — —CSAM Funding I 3/01 Called 738 0 N N — — —CSAM Funding II 5/02 Called 443 0 N N — — —Atrium CDO 6/02 Called 309 0 N N — — —CSAM Funding III 7/03 Called 395 0 N N — — —Atrium II 12/03 Called 246 0 N N — — —CSAM Funding IV 6/04 Called 587 0 N N — — —Atrium III 10/04 Called 488 0 N N — — —Madison Park Funding I 4/05 Called 600 0 N N — — —Atrium IV 5/05 Called 635 0 N N — — —Castle Garden 10/05 Called 831 0 N N — — —Madison Park Funding II 2/06 Called 800 0 N N — — —Atrium V 6/06 Called 879 0 N N — — —Madison Park Funding III 8/06 Called 650 0 N N — — —Madison Park Funding IV 2/07 Amortizing 484 443 N N — — —Madison Park Funding V 4/07 Amortizing 650 467 N N — — —Atrium VI/Integral Funding 9/07 Called N.A. 0 N N — — —Madison Park Funding VI 9/07 Amortizing 500 417 Y N — — —Madison Park Funding VII 5/11 Called 400 0 N N — — —Atrium VII 11/11 Called 400 0 Y N — — —Madison Park Funding VIII 4/12 Amortizing 400 337 N N — — —Madison Park Funding IX 7/12 Amortizing 500 473 Y N — — —Atrium VIII 10/12 Reinvesting 500 506 Y N — — —Madison Park Funding X 12/12 Reinvesting 770 794 Y N — — —Atrium IX 2/13 Reinvesting 810 824 N N — — —Atrium X 6/13 Reinvesting 650 663 N N — — —Madison Park Funding XI 9/13 Reinvesting 500 508 N N — — —Madison Park Funding XIII 2/14 Reinvesting 719 733 Y N — — —Madison Park Funding XII 5/14 Reinvesting 800 805 Y N — — —Madison Park Funding XIV 8/14 Reinvesting 1,000 1,016 Y N — — —Atrium XI 10/14 Reinvesting 1,000 1,014 Y N — — —Madison Park Funding XV 12/14 Reinvesting 675 687 Y N — — —Madison Park Funding XVI 3/15 Reinvesting 600 605 Y N — — —Madison Park Funding XVII 5/15 Reinvesting 800 808 Y N — MOA VerticalMadison Park Funding XVIII 9/15 Reinvesting 750 755 Y N — MOA VerticalAtrium XII 10/15 Reinvesting 800 810 Y N — MOA VerticalMadison Park Funding XIX 12/15 Reinvesting 600 609 Y N — MOA VerticalMadison Park Funding XX 2/16 Reinvesting 500 503 Y Y Sponsor MOA VerticalMadison Park Funding XXI 2/16 Reinvesting 800 805 Y N — MOA VerticalMadison Park Funding XXII 9/16 Reinvesting 800 803 Y N — MOA VerticalMadison Park Funding XXIV 11/16 Reinvesting 750 755 Y N — MOA VerticalTotal 27,199 16,137

VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention. N.A. – Not available.

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Credit Suisse Asset Management 93


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRCadogan Square I 12/05 Amortizing 440 135 N N — —Cadogan Square II 6/06 Amortizing 450 148 N N — —Cadogan Square III 12/06 Amortizing 486 189 N N — —Cadogan Square IV 5/07 Amortizing 487 220 N N — —Cadogan Square V 8/13 Revolving 300 312 Y Y Sponsor VerticalCadogan Square VI 6/15 Revolving 400 418 Y Y Sponsor VerticalCadogan Square VII 4/16 Revolving 400 403 Y Y Sponsor VerticalCadogan Square VIII 11/16 Revolving 460 460 Y Y Sponsor VerticalTotal 3,424 2,285


Credit Suisse Group AG(Publicly Listed Company)

Credit Suisse AG(Regulated Swiss Bank)

CSAM Americas Holding Corp.

Credit Suisse Holdings (USA), Inc.

Credit Suisse (USA), Inc.

100%

100%

57%

100%

43%

Credit Suisse Asset Management, LLC(Registered Investment Adviser)


100%

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94 Credit Suisse Asset Management

The Fitch ViewKey Considerations• Cohesiveness of the team and the experience of senior portfolio managers (PMs), who

average 22 years’ relevant investment experience.• Strong market presence enables good allocations to new issue market. Resources

and support from Credit Suisse enable the management team to focus on portfoliomanagement functions.

• Concentration of AUM in institutional investors and CLOs. However, there has been greaterdiversification as separate accounts and commingled funds increase in size.

Company• CSAM has been a large manager of bank loans since it was established in 1997.• The credit team is led by John Popp, who has 32 years of investment experience in

leveraged finance. Other senior managers making up the credit committee average 22 yearsof experience.

• Very low senior management turnover, with managing partners having worked together formore than 20 years.

• Staffing includes 36 investment professionals and 15 other employees. The large creditresearch team has 20 analysts, who are each assigned to cover one or two sectors.

• Collaboration and partnership across private bank, investment bank and asset managementprovide intelligence and sourcing, as well as global consistency.

Investments• Five PMs make up the credit investment committee; investment decisions require consensus.• Rigorous credit selection process focuses on credits using fundamental bottom-up approach.

CSAM is selective with investments, with a 60%–70% turndown rate.• All new investments are thoroughly researched and formally presented by the lead credit

analyst to a formal credit committee. Credit analysts must formulate a buy, hold or sellrecommendation that must be updated at least quarterly.

• Analysts can rely on an in-house workout specialist and PMs to assist with bankruptcy anddistressed credits.

• Daily, quarterly and ad hoc meetings to analyze new transactions, monitor existing holdingsand revisit portfolio strategy and themes.

Controls• Independent, well-resourced risk management framework tightly linked to Credit Suisse’s

global risk framework and methodology.• Separate risk group produces reports providing a detailed and comprehensive image of

portfolio compositions, including complete performance attribution analysis.• Independent control functions throughout, including numerous committees supporting

the team.• Portfolios typically are more diverse than industry averages, with the investment process

resulting in average weightings of 0.6% and 0.8% for U.S. and EuropeanCLOs, respectively.

Operations• Daily reconciliation of cash and securities with the trustee. Strong relationship and constant

dialogue with the trustees (Wells Fargo, BNY Mellon and U.S. Bank).• Strong middle-office resources ensure efficient and adequate management of CLOs and

industry-standard controls.• Some CLO operations functions outsourced to SS&C Technologies with close oversight by

CSAM in-house settlements team and portfolio administrators from the middle-office team.Technology• CSAM uses both industry-standard systems and proprietary systems for portfolio

management and administration, including but not limited to Virtus, Black Mountain Everest,Bloomberg and CDO Suite.

• Business continuity plan is appropriate and tested. Additional office space in Princeton, NJand outside London to serve as disaster recovery sites.

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95 Crescent Capital Group LP

Crescent Capital Group LPCrescent Capital Group LP (Crescent) was organized as an employee-owned asset management firm in 2010. It had originally been formed as Crescent Capital Corporation in 1991, subsequently becoming the leveraged finance arm of The TCW Group, Inc. (TCW) in 1995. Following the most recent reorganization, Crescent has continued to manage certain assets on behalf of TCW and its subsidiaries. As of Dec. 31, 2016, Crescent had approximately USD25 billion in assets under management (AUM).

Firm ProfileRegion(s) of Operation U.S.Address 11100 Santa Monica Boulevard, Suite 2000

Los Angeles, CA 90025Firm Type Multistrategy asset managementYear Established 2011 (Crescent Capital Group LP)

1991 (Crescent Capital Corporation)USD25 Bil.Assets Under Management

Total Employees/Investment Professionalsa 154/81 Active CLOs Under Management 7Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) N.A. a141 U.S., 13 Europe/71 U.S., 10 Europe. N.A. – Not applicable.



CLO Team Leader(s) Mathew Miller, Jonathan InsullCLO Portfolio Managers (PMs)/Avg. Experience 4/24 Years

Credit Analysts, Non-PMs/Avg. Experience 14/16 YearsLoan Team Credits Per Analyst (including PMs) 35–40Approximate No. of Invested Credits 275

0.0

1.0

2.0

3.0

4.0

5.0

6.0

2011 2012 2013 2014 2015 2016

(USD Bil.)


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Crescent Capital Group LP 96

CLOs67.0%


Broadly Syndicated

Loans33.0%

CLO Investors

74.3%

Other8.9%


Insurance9.9%

Pension/Retirement

6.9%

U.S.96.0%

Other4.0%

Loan AUM By Region

CLOs67.0%

Managed Funds16.2%

Managed Accounts

16.5%

Other0.3%


U.S. Credit Committee Crescent does not utilize a formal investment committee. Biweekly, formal credit research meetings are attended by the credit analysts and portfolio managers. Portfolio managers have ultimate decision-making authority in the investment process. While they collaborate with Crescent’s research analysts and traders, the portfolio managers are responsible for making security selection and portfolio construction decisions, managing risk and adhering to client investment guidelines.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CR Method Method of RRVITESSE CLO 5/06 Called 621 0 N N — — —SHINNECOCK CLO 2006-1 9/06 Called 300 0 N N — — —MAC CAPITAL 5/07 Called 502 0 N N — — —MOMENTUM CAPITAL FUND 9/07 Called 350 0 N N — — —ATLAS SENIOR LOAN FUND 6/12 Amortizing 308 288 Y N — — —ATLAS SENIOR OAN FUND II, LTD. 11/12 Amortizing 414 414 Y N — — —ATLAS SENIOR LOAN FUND III 7/13 Reinvesting 413 413 Y N — — —ATLAS SENIOR LOAN FUND IV 1/14 Reinvesting 518 518 Y N — — —ATLAS SENIOR LOAN FUND V 6/14 Reinvesting 511 511 Y N — — —ATLAS SENIOR LOAN FUND VI 9/14 Reinvesting 564 564 Y N — — —ATLAS SENIOR LOAN FUND VII 10/16 Ramp-Up 411 411 Y N — — —Total 4,912 3,119


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97Crescent Capital Group LP

Crescent Capital Group LP

Founders and Managing Partners:Jean-Marc Chapus and Mark Attanasio

Independent and Employee Owned Minority Ownership Interest –Allied World Assurance Company


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Crescent Capital Group LP 98

The Fitch ViewKey Considerations• Strong company financial performance and AUM growth. Since becoming an independent

company (spun out from TCW) in 2011, very strong growth in credit platform and revenuegrowth. Not dependent on CLO growth for viability; growth in other investment platformsstrengthens support for CLO issuance.

• Good staff retention leading to experienced portfolio management and credit underwritingteams. Co-founders are still actively managing the business.

• Maintain loan asset growth targets (issuance of two CLOs a year) given marketconditions. Somewhat mitigated by recent loan investment vehicles started an open endco-mingled fund.

Company• The firm specializes in below-investment-grade credit and is organized across six main

business strategies: mezzanine, U.S. direct lending, EU specialty lending, U.S. specialsituations, capital markets and Crescent BDC, Inc.

• Senior management has over 20 years on average experience in leverage credit investing.• Staff consists of over 80 investment professionals and an operations team of over 60 across

investor relations, finance and accounting, legal risk and compliance, and HR.• Crescent manages USD4.5 billion in bank loans through separate accounts, commingled

investments and CLOs. Long history of investment experience in loans across theseinvestment categories.

• Most employees have equity in the firm, which has led to strong retention rates.Investments• Investment strategy involves a focus on comprehensive, bottom-up credit research.

The focus is on higher credit quality names; however, investment style is built on Crescent’sability to make quick allocation changes (by rating or industry) to take advantage of shifts inthe market.

• Diversification is a key investment philosophy, and generally obligors are kept below 1% ofthe portfolio.

• A full review of all ratings and companies is performed quarterly, including sector trends andcompany financial performance. The full portfolio is re-underwritten and positions re-sized.

Controls• Investments are monitored through a formal review process, with the goal of keeping internal

assigned credit ratings accurate and reflecting issuer and sector changes and- searching forunderlying shifts in investment thesis.

• Well established internal guidelines on issuer, portfolio and market risks facilitate riskmanagement by the credit and portfolio management teams.

• CLO portfolios are compared to peers by certain market data by vintage, and key CLOmetrics and trends are monitored.

Operations• Middle- and back-office functions are supported by industry leading platforms.

Crescent utilizes Black Mountain for monitoring loan positions and Virtus to performtrustee reconciliations.

• On a daily basis, all trading activity is monitored in house to CLO indenture requirements, allcash is reconciled, and CLO reporting is sent to portfolio managers and trading team.

• All loan settlement is conducted in-house with faster settlement times thanindustry averages.

Technology• Efficient and robust order management system and reporting capabilities.• The CLO admin team utilizes CDO Suite and proprietary tools to perform CLO indenture

testing. Crescent has industry standard CLO oversight and testing procedures andreporting structure.

• Business continuation and emergency planning systems and technology are testedand appropriate.

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99Crestline Denali Capital, L.P.

Crestline Denali Capital, L.P.Crestline Denali Capital, L.P. (Crestline Denali) was established on Oct. 10, 2014 as a strategic partnership between Denali Capital LLC (Denali Capital) and Crestline Management, L.P. (Crestline). As part of the partnership, Denali Capital's principals continue to manage and control DC Funding Partners LLC, with operational and support services from Crestline Denali. As of Dec. 31, 2016, Crestline Denali had assets under management (AUM) of approximately USD1.9 billion across eight CLOs and one warehouse facility.

Firm ProfileRegion(s) of Operation U.S.Address 2001 Spring Road, Suite 220

Oak Brook, IL 60523Firm Type Independent CLO-focused manager

Year Established 2001USD1.89 Bil.Assets Under Management


Current/Planned Risk Retention Structure Capital to be provided directly from managerDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) DC Funding Partners LLC — Affiliate



CLO Team Leader(s) David Killion, John Thacker, Greg Cooper CLO Portfolio Managers (PMs)/Avg. Experience 3/31 Years

Credit Analysts, Non-PMs/Avg. Experience 13/8 Years Loan Team Credits Per Analyst (including PMs) 26 Approximate No. of Invested Credits 337

0.00.51.01.52.02.53.03.5

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Crestline Denali Capital, L.P. 100


Name Title Role Firm IndustryDavid Killion Chief Executive Officer Investment Committee Member 16 40John Thacker Senior Managing Director/

Chief Operating Officer Investment Committee Member 16 31Kelli Marti Managing Director Investment Committee Member 15 23


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRDenali Capital I 9/01 Called 400 0 N N — — —Denali Capital II 6/02 Called 367 0 N N — — —Denali Capital III 6/03 Called 434 0 N N — — —Denali Capital IV 7/01 Called 400 0 N N — — —Denali Capital V 7/05 Amortizing 410 23 N N — — —Denali Capital VI 2/06 Amortizing 501 37 N N — — —Denali Capital VII 4/07 Amortizing 813 390 N N — — —Spring Road 2007-1 6/07 Amortizing 413 31 N N — — —Denali Capital X 3/13 Reinvesting 417 417 N N — — —Denali Capital XI 2/15 Reinvesting 414 414 Y N — — —Denali Capital XII 2/16 Reinvesting 359 359 Y Y Originator — HorizontalCrestline Denali XIV 9/16 Reinvesting 361 361 Y Y Originator — HorizontalTotal 5,289 2,032

VR – Volcker Rule. CCR – European Capital Requirements Regulation. RR – Risk retention.

Europe2.2%

U.S.95.6%

Other2.2%

Loan AUM By Region

CLOs100.0%


Other14.0%

Bank63.0%


Family Office/

High Net Worth1.0%Pension/

Retirement1.0%

Insurance21.0%


Broadly Syndicated

Loans100%

PRINT C.indd 108 4/7/2017 12:28:22 PM

101Crestline Denali Capital, L.P.

Crestline Investors, Inc.

Crestline Denali Capital, L.P.

General Partner

Crestline Management, L.P. Crestline Denali (GP), L.P. Denali Principals

General Partner Limited PartnersLimited Partner


PRINT C.indd 109 4/7/2017 12:28:22 PM

Crestline Denali Capital, L.P. 102

The Fitch ViewKey Considerations• Senior executives have all worked together since 1998.• Seasoned investment team consisting of 15 professionals with experience ranging up to

31 years.• Experienced CLO issuer, having managed 12 CLO transactions and one credit opportunity

fund since 2001.• After completing four CLO issuances since 2013, continuing AUM growth while applying its

same selective and conservative approach is a key challenge.Company• On Oct. 10, 2014, Denali Capital and Crestline formed a new strategic partnership under

which Denali Capital became Crestline Denali.• Senior executives have an average of 34 years of loan investment experience, and senior

administration staff average 25 years of experience.• Crestline Denali continues to be led by its three founding principals: David Killion, Gregory

Cooper and John Thacker. Since 2011, Kelli Marti, who has been with the company for 15years and has 23 years of investment experience, has been a member of the firm’sinvestment committee along with Killion and Thacker.

Investments• Credit analysts have on average eight years of experience, and each is responsible for on

average 26 active corporate credits.• Formal investment committee process, wherein all recommendations require a unanimous

vote for investment approval.• Robust reports and analytical tools within Mariana Systems LLC’s SaaS software are used

to monitor credit performance pursuant to formally documented internal credit policies andprocedures. Portfolio information is stored securely in the cloud allowing for accessibilityfrom anywhere and interaction with the firm’s loan administration software.

• The firm has had an investment approval rate of 30% since inception, including an approvalrate of 24% since 2007.

Controls• The firm has been a registered investment adviser since 2004.• Well-documented procedures covering core investment and operational processes are

in place.• Integrated, detailed reporting of deal pipeline, cash availability and CLO compliance-related

tests is performed weekly.• Comprehensive reconciliation process with trustees of all compliance-related tests and

payment date calculations.Operations• Experienced CLO, loan administration, accounting and reporting support staff whose senior

managers have up to 25 years of experience.• Daily cash and par reconciliation, transaction settlements, and trustee report reconciliation

are all performed internally.• The firm uses Deloitte’s Solvas loan administration and reporting software and proprietary

models for collateral management, hypothetical trading analysis and compliance monitoring.Technology• The firm has contracted with D+H USA Corporation to host its email and support its

technology needs. The support includes email retention, server monitoring, 24-hour technicalsupport and access to an onsite specialist.

• A business continuity plan in place is reviewed every six months. In the event of a disaster,within 24 hours of notice, one server and 15 workstations are available at SunGardAvailability Services, located approximately 10 miles from Crestline Denali’s main office.

• Encrypted local and cloud-based backups are utilized to minimize loss-of-data risk.

PRINT C.indd 110 4/7/2017 12:28:22 PM

103CVC Credit Partners, LP

CVC Credit Partners, LPCVC Credit Partners, LP is the credit management business of CVC Capital Partners; it includes both U.S. and European subsidiaries (together, CVC Credit Partners). CVC Credit Partners invests across the capital structure, including in senior-secured, senior-unsecured and second-lien senior-secured loans. As of Dec. 31, 2016, CVC Credit Partners had USD15.8 billion in global assets under management (AUM).

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 712 Fifth Avenue, 42nd Floor

New York, NY 10019111 Strand,London, WC2R 0AG, U.K.

Firm Type Global private equity-sponsored credit managerYear Established 2005 2006

USD15.8 Bil. globallyAssets Under Management Total Employees/Investment Professionals 46/33 36/19Active CLOs Under Management 20 8Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV) OriginatorDedicated Capital to Fund Risk Retention USD285 Mil.a

Key Affiliates (Global) Parent: CVC Group Holding L.P. and C-III Capital Partners (recently acquired Resource Financial Fund Management Inc.)

aAs of first close on Dec. 15, 2016.



CLO Team Leader(s) Gretchen Bergstresser Jonathan Bowers CLO Portfolio Managers (PMs)/Avg. Experience 5/10 Years 5/10 Years

Credit Analysts, Non-PMs/Avg. Experience 8/11 Years 5/6 Years Loan Team Credits Per Analyst (including PMs) 35 15Approximate No. of Invested Credits 600 Globally

02468

101214

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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CVC Credit Partners, LP 104

Europe29.0%

U.S.71.0%

Loan AUM By Region

CLOs71.4%

Managed Funds17.1%

Managed Accounts

11.5%



Name Title Role Firm IndustryGretchen Bergstresser Partner, Head of

U.S. Performing Credit Senior Portfolio Manager 13 29Stephen Hickey Managing Partner Chief Investment Officer 5 29Jonathan Bowers Partner, Head of European

Performing Credit Senior Portfolio Manager 11 24Philip Raciti Senior Managing Director Portfolio Manager 12 16Kevin O’Meara Managing Director Portfolio Manager 10 15Justin Sughrue Managing Director Assistant Portfolio Manager 12 14LynnAnn Loufik Director Assistant Portfolio Manager 5 11


Name Title Role Firm IndustryJonathan Bowers Partner, Head of

European Performing Credit Senior Portfolio Manager 11 24Stephen Hickey Managing Partner Chief Investment Officer 5 29Gretchen Bergstresser Partner, Head of

U.S. Performing Credit Senior Portfolio Manager 13 29Brandon Bradkin Partner Chief Operating Officer 4 24Mark DeNatale Partner, Head of Credit

Opportunities and Special Situations Senior Portfolio Manager 5 23

Tom Newberry Partner, Head of Private Funds Senior Portfolio Manager 5 32Andrew Davies Senior Managing Director Portfolio Manager 7 15Guillaume Tarneaud Managing Director Portfolio Manager 10 13

High Yield

Bonds7.7%

Middle Market Loans

5.3%

Other1.8%


aIncludes CLOs, at 0.7%.

Broadly Syndicated

Loans85.2%

aCLO

Investors8.4%

Bank51.6%

Other12.9%


aIncludes endowment, at 0.5%.

Insurance15.4%

Pension/ Retirement

11.7%

a

PRINT C.indd 112 4/7/2017 12:28:23 PM

105


(EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRCordatus Loan Fund I 1/07 Amortizing 450 239 N N — —Cordatus Loan Fund II 7/07 Amortizing 450 324 N N — —Cordatus Recovery Partners I 9/08 Called 436 0 N N — —CVC Cordatus Loan Fund III 5/14 Reinvesting 450 439 Y Y Originator VerticalCVC Cordatus Loan Fund IV 12/14 Reinvesting 400 393 Y Y Originator VerticalCVC Cordatus Loan Fund V 5/15 Reinvesting 463 452 Y Y Originator VerticalCVC Cordatus Loan Fund VI 3/16 Reinvesting 200 400 Y Y Originator VerticalCVC Cordatus Loan VII 7/16 Reinvesting 440 439 Y Y Originator VerticalCVC Cordatus Loan Fund VIIIa 2/17 Reinvesting 416 416 Y Y Sponsor VerticalTotal 3,705 3,102aCVC Cordatus Loan Fund VIII closed on March 30, 2017. VR − Volcker Rule. Regulation. RR – Risk retention.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RROlympic CLO I 3/04 Called 303 0 N N — — —Whitney CLO I 12/04 Called 461 0 N N — — —Apidos CDO I 8/05 Called 350 0 N N — — —ACA CLO 2005-1 8/05 Called 302 0 N N — — —Apidos CDO II 12/05 Called 400 0 N N — — —Apidos CDO III 5/06 Called 286 0 N N — — —ACA CLO 2006-I 7/06 Called 350 0 N N — — —Apidos CDO IV 9/06 Called 350 0 N N — — —Apidos Quattro CDO 10/06 Called 351 0 N N — — —Sierra CLO II 11/06 Called 430 5 N N — — —ACA CLO 2006-2 12/06 Called 308 0 N N — — —Shasta CLO I 1/07 Called 484 5 N N — — —Apidos CDO V 3/07 Called 400 12 N N — — —Apidos Cinco CDO 5/07 Called 350 12 N N — — —ACA CLO 2007-1 6/07 Called 350 6 N N — — —San Gabriel CLO I 7/07 Called 431 73 N N — — —Apidos CLO VIII 10/11 Called 350 0 N N — — —Apidos CLO IX 7/12 Amortizing 410 382 Y N — — —Apidos CLO X 11/12 Amortizing 450 449 N N — — —Apidos CLO XI 1/13 Reinvesting 400 394 Y N — — —Apidos CLO XII 4/13 Reinvesting 523 498 N N — — —Apidos CLO XIV 7/13 Reinvesting 617 597 N N — — —Apidos CLO XV 9/13 Reinvesting 500 496 Y N — — —Apidos CLO XVI 1/14 Reinvesting 600 592 Y N — — —Apidos CLO XVII 5/14 Reinvesting 519 494 Y N — — —Apidos CLO XVIII 7/14 Reinvesting 734 705 Y N — — —Apidos CLO XIX 11/14 Reinvesting 513 495 Y N — — —Apidos CLO XX 2/15 Reinvesting 500 502 Y N — — —Apidos CLO XXI 6/15 Reinvesting 498 503 Y N — — —Apidos CLO XXII 11/15 Reinvesting 500 504 Y N — — —Apidos CLO XXIII 1/16 Reinvesting 500 506 Y N — CMV VerticalApidos CLO XXIV 7/16 Reinvesting 398 401 Y N — CMV VerticalApidos CLO XXV 10/16 Reinvesting 700 717 Y N — CMV VerticalTotal 14,617 8,346


PRINT C.indd 113 4/7/2017 12:28:23 PM

CRR − European Capital Requirements

CVC Credit Partners, LP

CVC Credit Partners, LP 106

PRINT C.indd 114 4/7/2017 12:28:23 PM

107CVC Credit Partners, LP

The Fitch ViewKey Considerations• Resources available to CLO platform are strong given historical AUM growth and product

diversification. Not significantly dependent on future CLO issuance to drive profitability.• Ownership structure and committed parent support staff stability and preservation of talent

amid increasing industry competition and market volatility.• Portfolio monitoring and risk management oversight supported by a dedicated team of

portfolio managers, operations professionals, and legal and compliance professionals. CVCconducts a regular review of trading and compliance policies, which are also reviewedexternally by consultants and third party auditors.

Company• CVC Credit Partners is the credit management business of CVC Capital Partners. Its

U.S. and European businesses were established in 2005 and 2006, respectively, viapredecessor entities.

• CVC Credit Partners had AUM of USD15.8 billion globally across 49 investment vehiclesas of Dec. 31, 2016. Product line includes global performing credit (USD12.2 billion),global credit opportunities and special situations (USD2.7 billion), and private debt(USD900 million).

• Investment team is made up of 52 professionals with extensive credit backgrounds.• CVC Credit Partners benefits from stability across the management team and from access to

the resources of CVC affiliates worldwide.Investments• Active portfolio management with a focus on deep fundamental research and top-down

industry analysis in an effort to minimize losses.• Concentrated coverage of portfolio via low credit per analyst ratio (approximately 35 credits

per analyst in the U.S. and 15 credits per analyst in Europe).• Proprietary credit database includes historical information and data on over 3,000 individual

credits. CVC Credit Partners has investments with approximately 600 issuers.• Analytical approach is focused on business risk (management and market position), financial

risk (margins, cash flow, capital structure and valuation), structural risk (recovery rates andloan terms) and eligibility requirements (ratings, concentration and spread).

Controls• Daily and month-end relative-value and benchmarking analysis at trade and portfolio level.• Daily and weekly monitoring of portfolios and managed accounts through position exposure

reports and detailed attribution analysis.• Compliance policies and governance processes in place to support accuracy of trading,

portfolio management and administration functions.• Network of compliance and control coordinated by dedicated teams; reporting tools provide

support for risk/control data collection and reporting capabilities.Operations• Operations and other support functions include 22 CVC Credit Partners employees

dedicated to back-office operations. CVC Credit Partners also has the ability to leveragebroader resources of the CVC Capital Partners group.

• Daily reconciliation of cash and securities with the trustee.• Compliance officers, PMs and assistant PMs receive CLO compliance reports nightly.

Reports are also run ad hoc and are used to perform risk/return scenarios, value andexposure analyses and hypothetical trades.

• Added efficiency and accuracy due to presence of an employee dedicated to loan settlement.Technology• Proprietary credit database, warehouse models and risk reports provide access to various

research sources and facilitate information sharing across the platform.• In-house risk management system to monitor the broader platform and/or individual vehicles.• External administrator provides real-time and operational support to CLO platform.

PRINT C.indd 115 4/7/2017 12:28:23 PM

108DFG Investment Advisers, Inc.

DFG Investment Advisers, Inc.DFG Investment Advisers, Inc. (DFG) is an SEC-registered investment adviserspecializing in alternative credit products. DFG is wholly owned by Vibrant Capital Partners (VCP). VCP is majority-owned by DFG officers and employees. Alberta Investment Management Corporation acquired a minority stake in VCP in 2015. As of Dec. 31, 2016, DFG managed USD2.9 billion in corporate and structured credit assets via commingled funds, separate accounts and CLO vehicles.

Firm ProfileRegion(s) of Operation U.S.Address 655 Third Avenue, 23rd Floor

New York, NY 10017Firm Type Multistrategy asset managementYear Established 2006

USD2.9 Bil.Assets Under Management Total Employees/Investment Professionals 22/10Active CLOs Under Management 5Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) Dedicated Capital to Fund Risk Retention USD100 Mil.Key Affiliates (Global) Vibrant Capital Partners, LLC (Parent);

Alberta Investment Management Corporation



CLO Team Leader(s) Roberta Goss, Timothy MiltonCLO Portfolio Managers (PMs)/Avg. Experience 1/30 Years

Credit Analysts, Non-PMs/Avg. Experience 5/9 Years Loan Team Credits Per Analyst (including PMs) 40–45Approximate No. of Invested Credits 265

0.0

0.5

1.0

1.5

2.0

2.5

2012 2013 2014 2015 2016

(USD Bil.)

U.S. Leveraged Loan Assets Under Management

PRINT D.indd 117 4/7/2017 12:33:00 PM

DFG Investment Advisers, Inc. 109

CLOs33.3%


Broadly Syndicated

Loans66.7%

CLO Investors

28.5%

Bank24.0%

Other37.4%


Insurance10.0%

U.S.100.0%

Loan AUM By Region

CLOs100.0%



Name Title Role Firm IndustryRoberta Goss Managing Director Portfolio Manager 2 30Timothy Milton Managing Director Head Trader 2 17Jeremy Hyatt Director Senior Credit Analyst 4 11Volkan Kurtas Managing Partner Chief Investment Officer 10 14Moritz Hilf Managing Partner Chief Risk Officer 10 16


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRVibrant CLO 12/12 Amortizing 305 298 Y N — — —Vibrant CLO II 8/13 Reinvesting 350 360 Y N — — —Vibrant CLO III 2/15 Reinvesting 400 412 Y N — — —Vibrant CLO IV 5/16 Reinvesting 400 406 Y N — — —Vibrant CLO V 12/16 Ramp-Up 450 452 Y N — — —Total 1,905 1,927


PRINT D.indd 118 4/7/2017 12:33:00 PM

110DFG Investment Advisers, Inc.

PRINT D.indd 119 4/7/2017 12:33:00 PM

DFG Investment Advisers, Inc. 111

The Fitch ViewKey Considerations• Thorough, well-defined credit process focusing on bottom-up analysis to preserve capital

and minimize losses combined with active trading to create capital appreciation.• Stable management team, along with a CLO portfolio manager with 30 years' experience in

leveraged finance, including extensive history managing loan portfolios via CLO structures,mutual funds, closed-end funds, and managed accounts.

• DFG faces key man risk with reliance on senior management for growth and stability. This ispartly mitigated by significant personal capital and/or equity investments in the business.

Company• Established in 2006 by Volkan Kurtas, Moritz Hilf and Kimito Iwamoto, DFG is based in New

York and is an SEC-registered investment adviser specializing in alternative credit products.• DFG is wholly owned by Vibrant Capital Partners (VCP). VCP is majority owned by

DFG officers and employees. Alberta Investment Management Corporation (AIMCo),a long-time client, acquired a large minority stake in 2015. AIMCo manages more thanCAD90 billion AUM.

• The loan management platform is led by Roberta Goss (former co-head of high-yield andbank loans at Goldman Sachs Asset Management, with 30 years' experience) andTimothy Milton (former par and distressed bank loan trader at Goldman Sachs, with over17 years' experience).

• Philip Darivoff, a retired former partner from Goldman Sachs and the former head of thefirm's corporate bonds and capital markets unit, joined DFG as chairman of the boardin 2013.

Investments• DFG's investment philosophy takes a conservative, fundamentals-based approach combined

with active trading to optimize relative value.• Investment focus is on the most liquid loans of large-capitalization companies in the most

stable and resilient industries.• Six credit analysts organized by industry monitor roughly 265 credits, each of which is

assigned an internal rating that considers leverage, competitive position in the industry andstructural composition of the issue.

• DFG's turndown rate during 2016 was 62%, based on the number of deals (48%, based onnotional). DFG's average position size is 0.5%, with exposure to approximately 175 issuersin each of its current CLOs.

Controls• DFG has a deep credit-risk monitoring process supported by robust proprietary credit-risk

modeling and analytics.• DFG actively monitors and rebalances credits to optimize risk and return.• The company focuses on transparent proprietary risk management, as evidenced by a good

standard of internal weekly, monthly and quarterly reporting integrated into the work flow fora holistic approach to administration.

Operations• Non-alpha-generating operations, such as HR, IT help desk and legal, are outsourced to

third-party vendors, including compliance consulting vendor Duff & Phelps.• DFG has a strong focus on efficiency, as evidenced by low loan settlement times, all of

which are conducted in-house.• Investor reporting is transparent, providing trustee reports and offering regular updates via

conference calls and meetings for investors across the capital structure.Technology• DFG has in place an integrated and flexible platform based on a combination of proprietary

portfolio management analytics (DFG Risk, Client and Market Portals) and third-partyadministration and data systems, including CDO Suite, Bloomberg, and Wells Fargo data.

• The business continuity plan is appropriate and has been tested. The company has offsitedata centers, daily backup of all data and remote access available for employees (remoteaccess to terminals at DFG’s offices as well as a disaster recovery site if needed).

PRINT D.indd 120 4/7/2017 12:33:00 PM

112Fortress Investment Group LLC

Fortress Investment Group LLCFortress Investment Group LLC (together with its affiliates, Fortress; NYSE: FIG), founded in 1998, is a highly diversified global investment management firm. Fortress specializes in a range of investment strategies, including private equity, credit, liquid markets and traditional asset management on behalf of over 1,700 institutional and private clientsworldwide. As of Dec. 31, 2016, it had USD69.6 billion in global fee-paying assets under management (AUM). In February 2017, Fortress and SoftBank Group Corp. (SoftBank) announced that they had entered into a definitive merger agreement under which SoftBank will acquire Fortress. The transaction is subject to approval by Fortress shareholders, certain regulatory approvals and other customary closing conditions, and is expected to close in the second half of 2017.

Firm ProfileRegion(s) of Operation GlobalAddress 1345 Avenue of the Americas, 46th Floor

New York, NY 10105Firm Type Multistrategy asset managementYear Established 1998Assets Under Management USD69.6 Bil.a,b

Total Employees/Investment Professionals 1,078/271Active CLOs Under Management 20Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) (U.S.)/Originator (Europe)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Upon closing of the merger, SoftBankaIncludes USD1.7 billion of AUM related to co-managed funds as of 4Q 2016. bIncludes USD4.4 billion of AUM related to the affiliated manager 4Q 2016.

Loan Management ProfileRegion(s) Global Leveraged Loan AUM USD8.7 Bil.Loans Managed via CLOsa 100%CLO Team Leader(s) Pete Briger, Dean DakoliasCLO Portfolio Managers (PMs)/Avg. Experience 8/20 YearsCredit Analysts, Non-PMs/Avg. Experience 18/14.5 YearsLoan Team Credits Per Analyst (including PMs) 15–25Approximate No. of Invested Credits 300 aCLOs managed by the Fortress Credit Funds team.

Bank6.8%

Other39.1%

Total AUM By Investor Typea

aRepresents total firm AUM by investor type.

Pension/Retirement

40.6%

Insurance3.8%

Endowment9.7%

PRINT F.indd 121 4/7/2017 12:36:13 PM

Fortress Investment Group LLC 113


Name Title Role Firm IndustryPete Briger Principal and Co-Chairman of the Board of

Directors of Fortress and Co-CIO of Credit Funds Investment Committee 15 29Dean Dakolias Co-CIO of Credit Funds Investment Committee 15 26Marc Furstein President and COO of Credit Funds Investment Committee 15 24Leslee Cowen Managing Director Investment Committee 14 22Joel Holsinger Managing Director Investment Committee 8 20Drew McKnight Managing Director Investment Committee 12 17Josh Pack Managing Director Investment Committee 14 19Ken Sands Managing Director Investment Committee 14 33


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRFortress Credit Opportunities I LP 7/04 Amortizing 4,250 1,809 N N — — —Fortress Credit Opportunities II LP 7/04 Called 450 — — — — — —Bernard Nationala 3/05 Called 1,559 — — — — — —Bernard Globala 3/05 Called 1,781 — — — — — —Fortress Credit Funding I LP 9/05 Called 840 — — — — — —Fortress Credit Funding II LP 9/05 Called 210 — — — — — —Fortress Credit Investments I LTD 4/06 Called 1,741 — — — — — —Fortress Credit Investments II LTD 4/06 Called 435 — — — — — —Sargas CLO I Ltda 8/06 Amortizing 325 1 N N — — —Sargas CLO II Ltda 8/06 Called 410 — — — — — —Fortress Credit Funding III LP 8/06 Called 840 — — — — — —Fortress Credit Funding IV LP 8/06 Called 210 — — — — — —DFR Middle Market CLO Ltd.a 7/07 Called 300 — — — — — —Pangaea CLO 2007-1 LTD.a 8/07 Amortizing 308 7 N N — — —Fortress Credit Funding V LP 8/12 Amortizing 409 321 Y N — — —Fortress Credit Funding VI LP 8/12 Amortizing 174 140 Y N — — —Fortress Credit BSL Limited 3/13 Reinvesting 412 401 Y Y Originator — —Fortress Credit BSL II Limited 11/13 Reinvesting 412 388 Y Y Originator — —HILDENE CLO I LTD.a 1/14 Reinvesting 310 301 Y N — — —Fortress Credit Opportunities III CLO LP 4/14 Reinvesting 800 776 Y Y Originator — —HILDENE CLO II LTD.a 6/14 Reinvesting 414 397 Y N — — —Fortress Credit Opportunities V CLO Limited 10/14 Reinvesting 713 702 Y Y Originator — —HILDENE CLO III LTD.a 12/14 Reinvesting 361 348 Y N — — —aManagement contracts for Hildene CLO I–IV LTD. were acquired in March 2016. Management contracts for Bernard National and Bernard Global were acquired in June 2009. Management contracts for Pangaea CLO 2007-1 LTD., Sargas CLO I Ltd and Sargas CLO II Ltd were acquired in December 2010. Management contract for DFR Middle Market CLO Ltd. was acquired in February 2012. VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention. Continued on next page.

PRINT F.indd 122 4/7/2017 12:36:13 PM

114 Fortress Investment Group LLC


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRFortress Credit Opportunities VI CLO Limited 3/15 Reinvesting 350 339 Y Y Originator — —Fortress Credit Investments IV Limited 6/15 Amortizing 408 313 Y N — — —HILDENE CLO IV LTD.a 8/15 Reinvesting 358 350 Y N — — —Fortress Credit BSL III Limited 10/15 Reinvesting 425 423 Y N — — —FDF I Limited 11/15 Reinvesting 599 603 N N — — —FDF II Limited 5/16 Reinvesting 634 633 N N — — —FORT CRE 2016-1 LLC 8/16 Amortizing 472 466 Y N — — —Fortress Credit Opportunities VII CLO Limited 12/16 Reinvesting 700 597 Y Y Originator — —Total 21,610 9,315aManagement contracts for Hildene CLO I–IV LTD. were acquired in March 2016. Management contracts for Bernard National and Bernard Global were acquired in June 2009. Management contracts for Pangaea CLO 2007-1 LTD., Sargas CLO I Ltd and Sargas CLO II Ltd were acquired in December 2010. Management contract for DFR Middle Market CLO Ltd. was acquired in February 2012. VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

Fortress Investment GroupUSD69.6 Billiona,b

Credit FundsAUM USD18.1 Billiona

Private EquityAUM USD13.5 Billion

Liquid MarketsAUM USD4.6 Billionb

Logan Circle PartnersAUM USD33.4 Billion

CLO/CBO Businessc

aIncludes USD1.7 billion of AUM related to co-managed funds as of 4Q 2016. bIncludes USD4.4 billion of AUM related to an affiliated manager as of 4Q 2016. cCLOs and CBOs that were managed by the Credit Funds at the inception of such securitizations have issued over USD16.8 billion of capital, including approximately USD15.5 billion of CLO capital. As of Dec. 31, 2016, the Credit Funds team managed over USD9 billion in non-recourse, long-term, non-mark-to-market CLO and CBO securitizations. Fee-paying AUM as of Dec. 31, 2016. Fee-paying AUM is defined as: (i) capital commitments or invested capital (or NAV, if lower) for the private equity funds, private permanent capitalvehicle through May 2015, credit PE funds and related managed accounts, which in connection with private equity funds raised after March 2006 includes the mark-to-market value on public securities held within the fund, (ii)contributed capital or book equity for the firm’s publicly traded permanent capital vehicles, (iii) the NAV for hedgefunds and the NAV or fair value for related managed accounts (including Logan Circle Partners), and (iv) AUM relatedto affiliated managers and co-managed funds.


PRINT F.indd 123 4/7/2017 12:36:14 PM

Fortress Investment Group LLC 115

The Fitch ViewKey Considerations• Fortress’ global AUM has steadily increased, rising from USD8.7 billion at year-end 2004 to

USD69.6 billion as of Dec. 31, 2016.• Fortress’ Credit Funds (FCF) team shows extensive experience and depth of staff at both

management and research levels. The Credit Funds team has been managing CLOssince 2004.

• Highly centralized approval process, in which the Credit Funds co-CIOs maintain ultimateauthority on all CLO investment decisions.

Company• As of Dec. 31, 2016, FCF managed approximately USD8.2 billion of senior loans across

18 CLOs. It has issued 21 CLOs and has taken over the management of 10 CLOssince 2004.

• The team is well staffed at all levels and consists of approximately 460 professionals, ofwhich approximately 140 were investment professionals as of Dec. 31, 2016. The team isled by co-CIOs Pete Briger and Dean Dakolias.

• The team has wide access to support and control functions, leveraging the Fortress globalpresence and asset size (that is, middle office and legal).

• Staff turnover has remained low, indicative of the team’s long-term commitment and theadequacy of compensation and retention structures.

Investments• FCF affiliates typically own 100% of the equity in CLOs originated by FCF. FCF-originated

CLOs do not currently pay any collateral management fees.• Investment philosophy places a strong emphasis on fundamental approach complemented

by rigorous quantitative modeling using both proprietary and third-party analytics.• Systematic credit risk monitoring of portfolios is based on early warning signals of changes

in credit quality.• Robust in-house credit research capabilities offering global coverage of credit and

supporting a research-driven investment process.• Credit analysis and investment decisions supported by comprehensive independent

research and continuous asset- and portfolio-level monitoring.Controls• As a publicly traded entity on the NYSE, Fortress is subject to a number of reporting and

regulatory regimes, including the Sarbanes-Oxley Act of 2002 and the reporting provisions ofthe Securities Exchange Act of 1934.

• Overall, the FCF team operates under a sound control environment, with close oversight byFortress senior management.

• The FCF business has an internal CLO compliance team that works in conjunction with theallocation personnel to monitor CLO compliance both pre- and post-trade.

• Fortress has a sound IT and operational infrastructure, with both proprietary and third-partysystems supporting the various business segments.

Operations• Fortress outsources the bulk of its CLO administration duties to Cortland Capital Market

Services (Cortland), a well-recognized and experienced firm in this area.• Cortland performs all the industry-standard CLO administrative duties, including daily

reconciliation of cash positions and monthly portfolio asset tie-outs with the CLO trustees.• Fortress’ operations team and portfolio managers are provided with daily reports from

Cortland, including real-time reports of CLO covenants that are used for compliance.Technology• The FCF team has access to a team of 40 professionals devoted to the development and

implementation of proprietary and third-party vendor technology that supports its portfoliomanagement function.

PRINT F.indd 124 4/10/2017 12:44:42 PM

116GC Advisors LLC (Golub Capital)

GC Advisors LLC (Golub Capital)GC Advisors LLC (collectively with affiliates, Golub) is a U.S.-based firm founded in 1994 with principal offices in New York and Chicago. Golub had USD22.1 billion of capital under management as of Dec. 31, 2016 and has primary business lines in middle market (MM) lending, late stage lending and broadly syndicated loans (BSL). Golub’s BSL platform has issued over USD4.6 billion across 11 CLOs since 2007.

Firm ProfileRegion(s) of Operation U.S.Address 150 South Wacker Drive, 5th Floor

Chicago, IL 60606Firm Type Credit asset managerYear Established 1994

USD22.1 Bil.Assets Under Management Total Employees/Investment Professionals 300+/100+Active CLOs Under Management 21Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) GC Investment Management LLC (Relying adviser)


Leveraged Loan AUM USD3.0 Bil. (BSL)Loans Managed via CLOs 100% (BSL CLOs)

CLO Team Leader(s) Christina D. Jamieson (BSL)CLO Portfolio Managers (PMs)/Avg. Experience 3/25 Years (BSL)

Credit Analysts, Non-PMs/Avg. Experience 6/16 Years Loan Team Credits Per Analyst (including PMs) 25–35 (BSL) Approximate No. of Invested Credits 220

0

5

10

15

20

25

2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

Capital Under Management

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GC Advisors LLC (Golub Capital) 117

Other36.8%


Note: Based on investor commitments to all active, non-traded Golub Capital funds.

Insurance36.3%

Endowment11.5%

Pension/ Retirement

15.3%

Managed Funds90.2%

Managed Accounts

9.8%


Note: Certain investment vehicles obtain exposure to MM loans and some BSL on an indirect leveraged basis.

U.S. BSL Investment Committee Experience (Years)

Name Title Role Firm IndustryLawrence Golub Chief Executive Officer Chief Executive Officer 23 32David Golub President President 14 29Christina Jamieson Head of BSL Head of BSL 7 24

U.S. Direct Lending Investment Committee Experience (Years)

Name Title Role Firm IndustryLawrence Golub Chief Executive Officer Chief Executive Officer 23 32David Golub President President 14 29Andrew Steuerman Head of MM Lending Head of MM Lending 13 27Gregory Cashman Senior Managing Director Senior Managing Director 20 25

Middle Market Loans

83.4%

Other1.4%



Broadly Syndicated

Loans15.2%

a

Europe2.7%

U.S.91.5%

Other5.8%

Loan AUM By Region

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118GC Advisors LLC (Golub Capital)


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRGolub Capital Loan Trust 2005-1 10/05 Called 300 0 N N — — —Golub Capital International Loan Ltd I 8/06 Called 533 0 N N — — —Golub Capital Partners2007-1 3/07 Called 400 0 N N — — —Golub Capital Partners 2007-1 7/07 Called 500 0 N N — — —Golub Capital Senior Loan Opportunity Fund 12/07 Called 299 0 N N — — —Golub Capital Funding CLO-8(H) 5/08 Called 295 0 N N — — —Golub Capital BDC 2010-1 7/10 Reinvesting 350 356 N N — — —Golub Capital Partners CLO 10 9/11 Called 306 0 N N — — —Golub Capital Partners CLO 12 1/12 Called 250 0 Y N — — —Golub Capital Partners CLO 11 5/12 Amortizing 411 235 N N — — —Golub Capital Partners CLO 14 11/12 Reinvesting 514 514 Y N — — —Golub Capital Partners CLO 15 2/13 Reinvesting 513 513 Y N — — —Golub Capital Partners CLO 16 8/13 Amortizing 500 467 Y N — — —Golub Capital Partners CLO 17 11/13 Reinvesting 550 562 Y N — — —Golub Capital Partners CLO 18(M) 3/14 Reinvesting 450 459 Y N — — —Golub Capital Partners CLO 19(B) 4/14 Reinvesting 411 411 Y N — — —Golub Capital BDC CLO 2014 5/14 Reinvesting 400 407 Y Y Originator — HorizontalGolub Capital Partners CLO 21(M) 11/14 Reinvesting 350 356 Y Y Originator — HorizontalGolub Capital Partners CLO 22(B) 3/15 Reinvesting 505 505 Y Y Originator — HorizontalGolub Capital Partners CLO 24(M) 4/15 Reinvesting 700 710 Y Y Originator — HorizontalGolub Capital Partners CLO 23(B) 5/15 Reinvesting 458 458 Y N — — —Golub Capital Partners CLO 25(M) 8/15 Reinvesting 550 557 Y Y Originator HorizontalGolub Capital Partners CLO 26(B) 11/15 Reinvesting 408 408 Y N — — —Golub Capital Partners CLO 28(M) 12/15 Reinvesting 544 549 Y Y Originator — HorizontalGolub Capital Partners CLO 30(M) 3/16 Reinvesting 473 476 Y Y Originator — HorizontalGolub Capital Partners CLO 31(M) 5/16 Reinvesting 350 353 Y Y Originator — HorizontalGolub Capital Investment Corp CLO 2016(M) 8/16 Reinvesting 400 402 Y Y Originator — HorizontalGolub Capital Partners CLO 33(M) 11/16 Ramp-up 407 408 Y Y Originator — HorizontalGolub Capital Partners CLO 34(M) 3/17 Ramp-up 407 407 Y Y Originator C-MOA HorizontalTotal 12,534 9,521


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GC Advisors LLC (Golub Capital) 119

Golub Capital Credit Platform• Founded in 1994• Over 300 employees with more than 100 investment professionals• Over USD20 billiona under management

aAs of Jan. 1, 2017. bInvestments are indirectly held through holding companies, financing securitizations (CLOs) or bank credit facilities. cIncludes MM lending and late stage lending. Note: Capital under management is defined as invested and available capital for fixed income and related assets. This is a measure of gross assets, which includes leverage.


Broadly Syndicated Loans• First lien loans• Second lien loans• CLO liabilities• Over USD3 billiona,b under management

Direct Lending• First lien loans• One-stop loans• Flexible debt for high growth companies• Junior debt and equity co-investments• Capital markets capabilities• Over USD14 billiona,b,c under management

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120 GC Advisors LLC (Golub Capital)

The Fitch ViewKey Considerations• Well-articulated investment strategy, sound fundamental credit research practices and deep

front-office resources.• Extensive relationship network in direct MM lending business.• Reasonable match between resources and CLOs outstanding.• Maintaining appropriate staffing levels as BSL CLO business grows. Current team is

adequate but relatively small with seven analysts, a senior portfolio manager and adedicated loan trader.

Company• Golub is a U.S.-based firm founded in 1994 with principal offices in New York and Chicago.• As of Dec. 31, 2016, Golub's BSL platform issued over USD4.6 billion across 11 CLOs since

2007. The BSL platform has eight dedicated industry analysts, a senior portfolio manager and a dedicated loan trader.

• BSL group has access to other units such as the MM lending with over 60 investmentprofessionals and portfolio monitoring with six professionals.

• The team averages over 21 years of industry experience.• Seven-member treasury team includes CLO compliance.Investments• Formalized investment philosophy is highly research driven and applied through a rather

active approach.• Extensive resources in quantitative research are well balanced with fundamental bottom-up

research conducted by seven dedicated industry analysts.• Fundamental analysis is complemented by a quantitative analysis of the relative risk-return

characteristics of investments and a comparison of yields between asset classes andother indicators.

• Formal investment committee of the nondiscretionary sub-advisor comprises threeindividuals, including the CEO, president and the senior portfolio manager.

• Efficient monitoring of portfolio risk with a focus on portfolio diversification by industry andcredit buckets relative to target ratios and ensuring compliance with investment constraints.

Controls• Well-documented procedures covering investment analysis and decision-making procedures

as well as CLO portfolio administration tasks, which support the implementation of anadequate control framework within the business.

• The governance structure in place is considered appropriate, with clear separation of dutiesand lines of escalation.

• Compliance function has broad coverage and capitalizes on the numerous and proficient ITsystems in place to conduct its controls.

• Operational risk management is very professional, integrated and applies enterpriseperspective with large coverage and efficient systems.

Operations• Work flows and reconciliation with the trustee and counterparties are well defined,

comprehensively documented and supported by robust proprietary applications.• All of the CLOs are modeled and administered in Wall Street Office, allowing administration of

all loans with strong operational efficiency.• Dedicated Investors Services group delivers investor communication and reporting to existing

investors, manages and tracks investor data and reporting work flow, and provides client services.

Technology• IT teams and resources are large and efficiently organized by function (investments, middle-

office/back-office systems, risk management, operations).• Implemented BlackMountain Everest platform in June 2011 as a proprietary portfolio and

monitoring work flow automation tool.

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121GLG Partners LP

GLG Partners LPGLG Partners LP (Man GLG) is a fully owned subsidiary of Man Group PLC (Man), one of the world’s largest publicly listed alternative investment providers. As of Dec. 31, 2016,Man had assets under management (AUM) of approximately USD80.9 billion, of which Man GLG managed USD26.7 billion. Man GLG launched its first European CLO in 2002.The firm acquired Silvermine Capital Management in 2015, a U.S.-based manager of leveraged loans and CLOs.

Firm ProfileRegion(s) of Operation Global Address One Curzon Street

London, W1J 5HB, U.K.Firm Type Multistrategy asset managementYear Established 1995Assets Under Management USD26.7 Bil.Total Employees/Investment Professionals 155/127Active CLOs Under Managementa 6Current/Planned Risk Retention Structure OriginatorDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Man Group PLC — ParentaExcludes deals managed by Silvermine Capital Management.


Leveraged Loan AUM EUR1.0 Bil.Loans Managed via CLOs 100%

CLO Team Leader(s) Francoise Devenoges, Marek Kuzdra and Steve RothCLO Portfolio Managers (PMs)/Avg. Experience 3/21 Years


0

1

2

3

2011 2012 2013 2014 2015 2016

Loan Assets Under Management(EUR Bil.)

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GLG Partners LP 122

CLOs17.2%

Other82.8%


Europe24.0%

U.S.76.0%

Loan AUM By Region

CLOs100.0%



Name Title Role Firm IndustryFrancoise Devenoges Portfolio Manager CLO Portfolio Manager 17 20Marek Kuzdra Portfolio Manager CLO Portfolio Manager 11 21Steve Roth Head of Man GLG Credit and

Convertible Platform Committee Member 12 25


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRRMF Euro 10/02 Called 300 0 N N — —RMF Euro II 12/04 Called 300 0 N N — —RMF Euro III 8/05 Amortizing 357 5 N N — —RMF Euro IV 5/06 Amortizing 444 62 N N — —RMF Euro V 4/07 Amortizing 559 132 N N — —Clavos Euro 12/07 Amortizing 409 8 N N — —GLG Euro I 4/15 Reinvesting 309 309 Y Y Originator VerticalGLG Euro II 12/16 Reinvesting 364 364 Y Y Originator VerticalTotal 3,042 880


CLO Investors

15.8%

Bank10.6%

Othera

53.1%


aIncludes retail distribution (36.3%), endowment (2.0%) and family office/high net worth (2.3%).

Pension/Retirement

10.3%Sovereign

Wealth Funds10.2%

GLG Partners LP(indirect 100% ownership)

Man Group PLC


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123GLG Partners LP

The Fitch ViewKey Considerations• Long track record in European loan and CLO management, including demonstrated

experience of realizing a CLO from inception to call.• Robust control structure.• Use of a partially outsourced credit research team.Company• Man GLG has been managing CLOs and loans since 2002 (originally as RMF Investments

and later as Pemba Credit Advisers AG).• Man GLG is a multistrategy platform with strategies across all major asset classes.• Man GLG’s investor base is diversified by type and geography.• The credit team is supported by an outsourced credit analysis function provided by Moody’s

Analytics, with four analysts and one team leader dedicated to the CLO management team(plus other analysts dedicated to the broader credit team).

• Regarding its risk retention strategy, Man GLG is authorized under MiFID and operates anoriginator structure in terms of the CRD IV/CLO risk retention requirements.

Investments• The investment process comprises initial screening and full (credit) due diligence stages,

based on bottom-up fundamental credit analysis. It also incorporates a legal due diligencestep once credit approval has been granted.

• The process begins with a screening stage that seeks to filter out transactions that would beunlikely to pass the full credit analysis.

• The second stage is a full credit due diligence, factoring in fundamental credit analysis(notably financial modeling), macro views and technical analysis. This process results inthe production of a standardized, succinct credit memo that is presented to the CLOinvestment committee.

• CLO investment committee approvals are recorded in a central spreadsheet.Operational risk associated with the update of the spreadsheet is mitigated by closemanagement oversight and the fact that a unanimous investment committee vote is requiredto add an issuer.

• The rejection rate was approximately 45% overall as of December 2016.• The firm tends to favor more diversified portfolios than some peers.Controls• Public/private data are managed in accordance with defined policies and compliance oversight.• Pre- and post-trade compliance testing is effected via CDO Suite.• The overall risk governance framework is robust. It clearly identifies the risks to which the

firm is exposed, its risk appetite and risk management responsibility and details themonitoring of risk indicators and controls. Risk and compliance functions are well staffed.

Operations• CLO and loan administration is conducted by a dedicated team of three.• Cash is reconciled daily and on trading; positions are reconciled weekly.• The firm provides supplemental CLO investor reporting.Technology• The firm’s IT platform integrates several third-party systems, notably SharePoint and CDO

Suite, via a central data warehouse. Front-office portfolio management and analysis toolsare Excel based.

• Detailed business continuity and disaster recovery plans are in place and tested, and includeoffsite server storage and backups.

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124GoldenTree Asset Management, LP

GoldenTree Asset Management, LPGoldenTree Asset Management, LP (GoldenTree) is an independent employee-owned asset manager that focuses on global credit markets. GoldenTree’s CLO operations began in 2002, and the firm manages a variety of alternative return and long-onlystrategies for primarily institutional investors. As of Dec. 31, 2016, the company had USD24.5 billion in assets under management (AUM), including USD5 billion in CLOs managed for third-party equity investors.

Firm ProfileRegion(s) of Operation GlobalAddress 300 Park Avenue, 21st Floor

New York, NY 10022Firm Type Global credit asset managerYear Established 2002 (U.S.); 2007 (Europe)Assets Under Management USD24.5 Bil.Total Employees/Investment Professionals 198/37 (U.S.); 29/13 (Europe); 4/0 (Singapore)Active CLOs Under Management 9 (U.S.)/2 (Europe)Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV) Dedicated Capital to Fund Risk Retention USD600 Mil.Key Affiliates (Global) GoldenTree Asset Management UK, LLP and

GoldenTree Loan Management, LP


Leveraged Loan AUM USD6.8 Bil. EUR1.0 Bil.Loans Managed via CLOs 91.6% 8.4%

CLO Team Leader(s) Steve Tananbaum and Lee KruterCLO Portfolio Managers (PMs)/Avg. Experience 14/22 Years 3/17 Years

Credit Analysts, Non-PMs/Avg. Experience 9/13 Years 6/9 YearsLoan Team Credits Per Analyst (including PMs) 20 20Approximate No. of Invested Credits 15 (per analyst) 10 (per analyst)

0

2

4

6

8

10

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

Global Loan Assets Under Management

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GoldenTree Asset Management, LP 125

Executive CommitteeExperience (Years)

Name Title Role Firm IndustrySteven A. Tananbaum Founding Partner Chief Investment Officer 16 29Steven Shapiro Partner Executive Committee Member 16 24Robert Matza Partner President 10 38Joseph Naggar Partner Senior Portfolio Manager 9 22Lee Kruter Partner Senior Portfolio Manager 9 16Frederick S. Haddad Partner Senior Portfolio Manager 16 42Kathy Sutherland Partner Head of Business Development 8 20Pierre de Chillaz Partner Senior Portfolio Manager 9 12Ted Lodge Partner Global Head of Restructuring and Turnarounds 9 33

Europe12.9%

U.S.85.0%

Other2.1%

Loan AUM By Region

CLOs53.0%

Managed Funds22.0%

Managed Accounts

25.0%


High Yield

Bonds30.9%

CLOs9.8%

Othera

22.5%


aIncludes structured credit (4.7%) and middle market (2.5%).

Broadly Syndicated

Loans36.8%

CLO Investors

20.4%

Othera

16.0%


aIncludes sovereign wealth funds (4.7%) and bank (3.2%).

Insurance8.6%

Endowment6.3%

Pension/ Retirement

42.4%

Family Office/High Net Worth

6.3%

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126GoldenTree Asset Management, LP


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRLaurelin II B.V. 6/07 Amortizing 450 129 N N — —Laurelin 2016-1 6/16 Reinvesting 407 407 Y Y Horizontal OriginatorTotal 857 536



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRGoldenTree Loan Opportunities I 6/02 Called 700 0 N N — — —GoldenTree Loan Opportunities II 7/03 Called 400 0 N N — — —GoldenTree Capital Opportunities 2/06 Called 365 0 N N — — —GoldenTree Loan Opportunities III 3/07 Amortizing 750 183 N N — — —GoldenTree Loan Opportunities IV 6/07 Amortizing 700 276 N N — — —GoldenTree Loan Opportunities V 9/07 Called 750 0 N N — — —GoldenTree Loan Opportunities VI 4/12 Called 524 0 N N — — —GoldenTree Loan Opportunities VII 3/13 Reinvesting 669 669 N N — — —GT Loan Financing I 8/13 Reinvesting 195 195 N N — — —GoldenTree Loan Opportunities VIII 3/14 Reinvesting 614 614 Y N — — —GoldenTree Loan Opportunities IX 10/14 Reinvesting 668 668 Y N — — —GoldenTree Loan Opportunities XI 2/15 Reinvesting 551 551 Y N — — —GoldenTree Loan Opportunities X 6/15 Reinvesting 716 716 Y N — — —GoldenTree LoanOpportunities XII 6/16 Reinvesting 409 409 Y N — — —Total 8,011 4,280


GoldenTree Asset Management, LP

Steven A. Tananbaum

27 OtherPartners

28 Limited PartnersGoldenTree Asset Management LLCGeneral Partner

Senior Managing Member


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GoldenTree Asset Management, LP 127

The Fitch ViewKey Considerations• Resources to the CLO platform are strong, given significant AUM and product diversification.

The firm is not significantly dependent on future CLO issuance to drive profitability.• The employee ownership structure leads to stability among staff and retention of talent amid

increasing industry competition. GoldenTree is owned by its employees and offers them apath to partnership.

• The GoldenTree brand may be exposed to key man risk tied to Steve Tananbaum, the firm’smanaging partner and chief investment officer; this risk is largely mitigated by GoldenTree’shighly experienced staff reporting to Tananbaum, including Lee Kruter and others directlyinvolved in the day-to-day management of the CLOs.

Company• Product lines include both alternative and long-only strategies. Bank loans under

management amounted to approximately USD8 billion, with approximately USD5 billionacross 11 CLOs (including two European CLOs).

• The firm has a seasoned investment team with an average of 17 years of industryexperience, including seven years spent working together.

• The firm’s significant market presence in the European Union facilitates additional diligencein regional credit markets.

• Historically, GoldenTree managed CLOs. Going forward, GoldenTree Loan Management(GLM) will manage CLOs compliant with U.S. and European risk retention regulations.

• GLM was established in June 2016 and is an SEC-registered investment adviser. GLM andGoldenTree are affiliated entities. GLM will benefit from GoldenTree’s research, trading andoperational support pursuant to a service agreement.

Investments• The firm actively manages its portfolios with a focus on total returns through disciplined

fundamental value investing. The flat organizational structure results in analysts having moreownership of investment decisions. Analysts are allocated by sector. In addition, nine investmentprofessionals are responsible for the firm’s distressed and structured products investments.

• The credit selection criteria require a minimum margin of safety for all investments, typicallyat least 2.0x minimum asset coverage, target return and catalysts to drive total return.

Controls• Portfolio managers stress test the portfolio and continually monitor and oversee maintenance of

cushions against CLO-specific limits. Controls are embedded in key systems.• Pre- and post-trade relative-value analysis is performed at both the trade and portfolio level.• GoldenTree has compliance and governance processes and policies in place to support

accuracy of trading, portfolio management and administration functions.

Operations• Over 20 dedicated fund accounting employees assist with CLO management. Administrative

capabilities reflect highly qualified staff interacting with appropriate systems and processes.• Investor reporting includes monthly reports featuring information about particular products.

CLO information is accessed through the trustee.

Technology• The firm has over 30 dedicated technology employees.• Portfolio management and credit analysis are conducted in-house, facilitated through the

use of proprietary tools.• The firm employs an integrated, scalable and flexible platform based on a combination of

proprietary analytics and third-party administration systems, including widely accepted industrysystems such as Wall Street Office, Electra Reconciliations, Charles River and VPM.

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128 GSO / Blackstone Debt Funds Management LLC

GSO / Blackstone Debt Funds Management LLCGSO / Blackstone Debt Funds Management LLC (GSO / Blackstone) is part of the Customized Credit Strategies (CCS) business unit within GSO Capital Partners LP (GSO). GSO is the credit-focused business unit of The Blackstone Group L.P. (Blackstone), a publicly traded alternative asset management firm. GSO was founded in 2005 and subsequently acquired by Blackstone in 2008. CCS and certain credit-oriented affiliates had USD33.6 billion in assets under management (AUM) as of Dec. 31, 2016.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 345 Park Avenue, 30th Floor

New York, NY 1015430 Herbert Street, 2nd FloorDublin 2, Ireland

Firm Type Multistrategy asset managementYear Established 1998 2001 Assets Under Management USD23.7 Bil. USD9.9 Bil.Total Employees/Investment Professionals 42/35 19/18Active CLOs Under Management 28 20Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) OriginatorDedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) The Blackstone Group L.P. (Parent)

GSO Capital Partners LP (Parent) Blackstone / GSO Debt Funds Management Europe Limited (Affiliate) GSO Capital Partners International LLP (Affiliate)Blackstone / GSO Debt Funds Management Europe II Limited (Affiliate)


Leveraged Loan AUM USD22.6 Bil. USD7.0 Bil.Loans Managed via CLOs 56% 70%CLO Team Leader(s) Dan Smith, Robert Zable,

Jane Lee, Graham JonesAlan Kerr, Alex Leonard, David Cunningham, Killian Maher



05

101520253035

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


Note: As part of an internal reorganization of GSO’s business lines, certain business development companies sub-advised by GSO were re-allocated from CCS to GSO’s performing credit team effective Jan. 1, 2016.

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GSO / Blackstone Debt Funds Management LLC 129


Name Title Role Firm IndustryDaniel Smith Senior Managing Director Global Head of CCS 19 30Robert Zable Senior Managing Director Senior Portfolio Manager of U.S. CLOs 10 19Colleen Longobardi Managing Director Research Analyst 15 24Daniel McMullen Managing Director Senior Portfolio Manager 15 23Alexander Zarzhevsky Managing Director Research Analyst 13 20

Note: Firm experience includes time that certain senior members have been working together since 1998 while at other institutions.

High Yield

Bonds6.5%

Other5.0%



BroadlySyndicated

Loans88.5%

a

CLOs60.0%


aComprises listed funds.

ManagedFunds 9.6%

Other11.5%

ManagedAccounts

18.9%

a

Europe23.7%

Loan AUM By Region

U.S.76.3%

CLO Investors

62.3%Bank5.9%

Other24.1%


ManagedAccounts

7.7%aIncludes insurance, at 2.9%, endowment, at 0.3%, and pension/retirement, at 2.1%.

a

0

4

8

12

16

2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)a


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aU.S. dollar to Euro: EUR1.05475 (as of Dec. 30, 2016). Note: AUM after 2008 is represented by the combined entity of GSO / Blackstone, Blackstone Debt Advisors L.P. and certain other affiliates of GSO / Blackstone. AUM after 2012 includes Blackstone / GSO Debt Funds Management Europe Limited (fka Harbormaster Capital Management Limited).

130GSO / Blackstone Debt Funds Management LLC


Name Title Role Firm IndustryAlan Kerra Senior Managing Director European Head; Senior Portfolio Manager 17 23Alex Leonard Managing Director Senior Portfolio Manager 11 23Fiona O’Connor Managing Director Head of European Credit Research 10 27aOn Feb. 15, 2017, GSO announced that Senior Managing Director and Head of GSO’s European CCS business Alan Kerr has decided to leave the firm in 2017. Kerr will be transitioning his management responsibilities to Alex Leonard and Fiona O’Connor, who will report to Dan Smith, Global Head of CCS. This transition period will likely run until May 2017. Following the transition of his responsibilities, Kerr will remain with the firm as senior adviser to Blackstone. Leonard is currently a managing director and senior portfolio manager and O’Connor is currently amanaging director and head of European credit research for CCS. Leonard and O’Connor joined GSO at the time of Blackstone’s acquisition of Harbourmaster in 2012 and have been with the business for 11 and 10 years, respectively. Note: Firm experience includes time that certain senior members have been working together since 2000 while at other institutions.


(USD Mil.) EU RR U.S. RR FormName Pricinga Status Original Current VR CRR Method Method of RRSmoky River CDO, L.P. 5/98 Defaulted 1,300 0 N N — — —Callidus Debt Partners CDO Fund Ib 12/01 Called 401 0 N N — — —SEQUILS/MINCS-Glace Bay, Ltd. 8/02 Called 339 0 N N — — —Hanover Square CLO 11/02 Called 600 0 N N — — —Callidus Debt Partners CDO Fund IIb 6/03 Called 300 0 N N — — —Union Square CDO Ltd. 9/03 Called 400 0 N N — — —Foxe Basin CLO 2003 12/03 Defaulted 412 0 N N — — —Monument Park CDO 1/04 Matured 1,023 0 N N — — —Hudson Straits CLO 2004 7/04 Called 449 0 N N — — —Essex Park CDOc 9/04 Called 380 0 N N — — —Callidus Debt Partners CDO Fund III, Ltd.b 12/04 Called 400 0 N N — — —FM Private Capital Fund Id 12/04 Called 584 0 N N — — —Bryant Park CDO 1/05 Called 561 0 N N — — —Lafayette Square CDO 11/05 Called 617 0 N N — — —Gale Force 1 CLO 11/05 Called 413 0 N N — — —MAPS CLO Fund I, LLCb 12/05 Called 408 0 N N — — —FM Leveraged Capital Fund Id 12/05 Called 382 0 N N — — —Callidus Debt Partners IVb 4/06 Called 515 0 N N — — —Prospect Park CDO 6/06 Amortizing 500 99 N N — — —Gale Force 2 CLO 6/06 Called 513 0 N N — — —FM Leveraged IId 11/06 Called 411 0 N N — — —Callidus Debt Partners CLO Fund V, Ltd.b 12/06 Called 410 0 N N — — —Inwood Park CDO 1/07 Amortizing 1,250 386 N N — — —Gale Force 3 CLO 3/07 Amortizing 617 217 N N — — —aRepresents pricing dates for CLO 2.0s but closing dates for CLO 1.0s. bOriginated by Callidus; acquired by GSO in April 2010. cOriginated as Katonah VI, Ltd.; acquired by Blackstone Debt Advisors in April 2007. dOriginated by FriedbergMilstein; acquired by GSO in January 2007. eOriginated in 2008; refinanced in 2011. Values reflect refinanced deal. fOriginated in 2012; refinanced in 2014. Values reflect refinanced deal. VR − Volcker Rule.CRR −European Capital Requirements Regulation. RR – Risk retention. Note: GSO is unable to affirmatively determine whether a CLO is CRR compliant; investors should carefully read the fund's governing documents to determine compliance. Continued on next page.

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(USD Mil.) EU RR U.S. RR FormName Pricinga Status Original Current VR CRR Method Method of RRMAPS CLO Fund IIb 6/07 Amortizing 400 179 N N — — —Gale Force 8/07 Called 462 0 N N — — —Callidus Debt Partners VIb 9/07 Amortizing 404 218 N N — — —Callidus Debt Partners VIIb 11/07 Called 600 0 N N — — —Columbus Park 4/08 Called 400 0 N N — — —Riverside Parke 4/08 Called 477 0 N N — — —Tribeca Park CLO 5/08 Called 381 0 N N — — —Chelsea Park CLO 7/08 Called 450 0 N N — — —Jackson Square 3/09 Called 239 0 N N — — —Morningside Park 12/10 Called 400 0 N N — — —Central Park CLO 6/11 Called 690 0 N N — — —Gramercy Park CLOf 7/12 Called 514 0 Y N — — —Marine Park CLO 9/12 Amortizing 564 564 Y N — — —Finn Square CLO 12/12 Amortizing 541 541 Y N — — —Sheridan Square 2/13 Reinvesting 727 725 Y N — — —Adirondack Park 3/13 Reinvesting 520 517 N N — — —Tryon Park CLO 5/13 Reinvesting 516 516 Y N — — —Emerson Park CLO 7/13 Reinvesting 519 519 Y N — — —Keuka Park CLO 11/13 Reinvesting 413 413 Y N — — —Pinnacle Park CLO 4/14 Reinvesting 510 510 Y N — — —Seneca Park CLO 5/14 Reinvesting 717 717 Y N — — —Birchwood Park CLO 7/14 Reinvesting 616 616 Y N — — —Thacher Park CLO 9/14 Reinvesting 564 564 Y N — — —Bowman Park CLO 510 510 Y N — — —Dorchester Park 1/15 Reinvesting 509 509 Y N Originator — HorizontalTreman Park CLO 3/15 Reinvesting 617 617 Y N — — —Stewart Park CLO 4/15 Reinvesting 661 661 Y N — — —Cumberland Park 7/15 Reinvesting 618 618 Y N — — —Cole Park CLO 10/15 Reinvesting 436 436 Y N — — —Webster Park CLO 12/15 Reinvesting 507 507 Y N — — —Westcott Park CLO 6/16 Reinvesting 650 650 Y N — — —Jay Park CLO 8/16 Reinvesting 509 509 Y N — — —Burnham Park CLO 10/16 Reinvesting 558 558 Y N — — —Bristol Park 11/16 Reinvesting 562 562 Y N — — —Taconic Park CLO 12/16 Reinvesting 510 510 Y N — — —Total 31,456 13,948aRepresents pricing dates for CLO 2.0s but closing dates for CLO 1.0s. bOriginated by Callidus; acquired by GSO in April 2010. cOriginated as Katonah VI, Ltd.; acquired by Blackstone Debt Advisors in April 2007. dOriginated by FriedbergMilstein; acquired by GSO in January 2007. eOriginated in 2008; refinanced in 2011. Values reflect refinanced deal. fOriginated in 2012; refinanced in 2014. Values reflect refinanced deal. VR − Volcker Rule.CRR −European Capital Requirements Regulation. RR – Risk retention. Note: GSO is unable to affirmatively determine whether a CLO is CRR compliant; investors should carefully read the fund's governing documents to determine compliance.

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12/14 Reinvesting

132GSO / Blackstone Debt Funds Management LLC


(EUR Mil.) EU RR FormName Pricinga Status Original Current VR CRR Method of RRTara Hill B.V.b 1/01 Called 364 0 N.P. N.P. — —Harbourmaster CLO 1 Ltd. 3/01 Called 503 0 N.P. N.P. — —Harbourmaster CLO 2 Ltd. 11/01 Called 704 0 N.P. N.P. — —Clare Island B.V.b 3/02 Amortizing 446 3 N.P. N.P. — —Harbourmaster CLO 3 Ltd. 8/02 Matured 438 0 N.P. N.P. — —Harbourmaster CLO 4 B.V. 10/04 Amortizing 510 7 N.P. N.P. — —Harbourmaster CLO 5 B.V. 7/05 Called 765 0 N.P. N.P. — —Harbourmaster CLO 6 B.V. 11/05 Amortizing 511 80 N.P. N.P. — —Boyne Valley B.V.b 12/05 Called 415 0 N.P. N.P. — —Hyde Park CDO B.V. 2/06 Called 500 0 N.P. N.P. — —Harbourmaster CLO 1 B.V. 5/06 Called 871 0 N.P. N.P. — —Harbourmaster CLO 2 B.V. 8/06 Amortizing 602 244 N.P. N.P. — —Regent’s Park 10/06 Amortizing 600 302 N.P. N.P. — —Harbourmaster CLO 7 B.V. 11/06 Called 925 0 N.P. N.P. — —Skellig Rocke 11/06 Called 391 0 N.P. N.P. — —Harbourmaster CLO 8 B.V. 12/06 Called 513 0 N.P. N.P. — —Green Park 12/06 Amortizing 463 159 N.P. N.P. — —Harbourmaster CLO 9 B.V. 5/07 Amortizing 770 352 N.P. N.P. — —Harbourmaster CLO 3 B.V. 7/07 Amortizing 612 356 N.P. N.P. — —Global Senior Loan IndexFund 1 B.V. 12/07 Called 652 0 N.P. N.P. — —St. James’s Park CDO B.V. 12/07 Called 400 0 N.P. N.P. — —Harbourmaster CLO 10 B.V. 12/07 Called 496 0 N.P. N.P. — —Harbourmaster CLO 11 B.V. 5/08 Called 485 0 N.P. N.P. — —Grand Harbour I B.V. 5/13 Called 403 0 N.P. N.P. — —Herbert Park B.V. 9/13 Reinvesting 413 413 N.P. N.P. Sponsor VerticalRichmond Park CLO DAC 1/14 Reinvesting 616 616 N.P. N.P. Sponsor VerticalHolland Park CLO DAC 4/14 Reinvesting 514 514 N.P. N.P. Sponsor VerticalPhoenix Park CLO DAC 6/14 Reinvesting 413 413 N.P.c N.P. Originator HorizontalSorrento Park CLO DAC 9/14 Reinvesting 517 517 N.P.c N.P. Originator HorizontalCastle Park CLO DAC 11/14 Reinvesting 415 415 N.P.c N.P. Originator HorizontalDartry Park CLO DAC 2/15 Reinvesting 411 411 N.P.c N.P. Originator HorizontalOrwell Park CLO DAC 5/15 Reinvesting 415 415 N.P.c N.P. Originator HorizontalTymon Park 12/15 Reinvesting 414 414 N.P.c N.P. Originator HorizontalElm Park CLO DAC 4/16 Reinvesting 558 558 N.P.c N.P. Originator HorizontalGriffith Park CLO DAC 7/16 Reinvesting 454 454 N.P.c N.P. Originator HorizontalClarinda Park CLO DAC 9/16 Reinvesting 415 415 N.P.c N.P. Originator HorizontalTotal 18,894 7,058aRepresents pricing dates for CLO 2.0s but closing dates for CLO 1.0s. bOriginated by Allied Irish Bank; acquired by GSO in March 2011. cThese CLOs have voting and non-voting classes in each tranche that may satisfy Volcker compliance. VR − Volcker Rule. CRR −European Capital Requirements Regulation. RR – Risk retention. N.P. – Not provided. Note: GSO is unable to affirmatively determine whether a CLO is CRR compliant; investors should carefully read the fund's governing documents to determine compliance.

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The Blackstone Group L.P.

Private Equity Real Estate Credit (GSO) Hedge FundSolutions

Alternative Investments

Funds

Customized Credit Strategies —

Long Only (CCS)


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134 GSO / Blackstone Debt Funds Management LLC

The Fitch ViewKey Considerations• Highly diversified credit asset management business with access to retail and institutional

investors across many market segments.• One of the industry’s largest secured loan managers by AUM, which provides GSO with

dealer coverage, strong new issue allocations and good execution.Company• CLOs are core to CCS’s loan management strategy.• GSO had approximately 345 employees as of Dec. 31, 2016, of whom 156 were investment

professionals. The global CCS team comprised 61 professionals. Globally, CCS PMs andresearch analysts averaged 18 years and 13 years of experience, respectively.

• The investment team has been generally stable, with a presence in New York, Dublinand London.

• GSO is the largest CLO manager globally, and since the acquisition of Harbourmaster in2012, GSO is one of the largest non-bank lenders in Europe.

Investments• The investment process is based on a bottom-up fundamental approach, with a focus on

credit research and technical inputs.• 30 syndicated credit research analysts cover credits by industry and are grouped together

into teams headed by team leaders in the U.S. and by the head of credit research in Europe.Average of 25–40 names per analyst. In addition, four structured credit analysts cover33 issuers on average.

• Core credits are unanimously approved by the relevant investment committee, which meetsat least daily and comprises senior credit analysts and PMs.

• Any investment that passes the investment committee is formally assigned a risk rating on a1–7 scale (1 being the best; 5 and above on the watchlist) that is monitored and formallyreviewed at least once per quarter.

• Clear, well-defined roles and responsibilities, along with access to a wide range of resources,allow for efficient decision making.

Controls• Separation walls between GSO and Blackstone are overseen by compliance, with strict

control on the flow of information between the private equity and credit businesses.Blackstone-sponsored deals make up a relatively low share of GSO’s overall investmentportfolio.

• A cleansing process for public/private name exposure is in place, overseen by compliance.• Compliance maintains a restricted list and monitors public/private information through a

proprietary GSO system used for compliance monitoring, current and historical trading,holdings information and profit and loss activity.

Operations• GSO utilizes a variety of systems for portfolio management and administration, including Wall

Street Office (WSO) and Black Mountain Everest (Everest) for performing credit analysis.• GSO’s dedicated CLO compliance team populates and distributes numerous weekly reports,

including compliance tests and asset rating changes.• Investor reporting includes quarterly commentary as well as monthly trustee reports, all

available on the trustee website.Technology• Integrated and flexible platform based on a combination of proprietary analytics and third-

party customized vendor systems, including such industry standards as Bloomberg, Everest,Clear Par and WSO.

• External data feeds for pricing data (Markit) are integrated with WSO and Everest platforms.Data are also received from Debtwire and LCD, although receipt is not automated orintegrated with existing systems.

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135Guggenheim Investments

Guggenheim InvestmentsGuggenheim Investments (Guggenheim) is the global asset management and investment advisory division of Guggenheim Partners, LLC (Guggenheim Partners). Guggenheim Partners is the principal subsidiary of Guggenheim Capital, LLC (Guggenheim Capital). As of Dec. 31, 2016, Guggenheim had USD209 billion in assets under management (AUM). The Guggenheim entity responsible for managing CLOs, Guggenheim Partners Investment Management, LLC, has been an active CLO issuer since 2002.

Firm ProfileRegion(s) of Operation GlobalAddress 330 Madison Avenue


USD209 Bil.aAssets Under Management Total Employees/Investment Professionals 1,045/253Active CLOs Under Management 10 (U.S.)/1 (Europe)Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) (U.S.)/Originator (Europe)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Guggenheim Capital, LLCaTotal asset figure as of Dec. 31, 2016. The assets include leverage of USD12.3 billion for AUM and USD0.4 billion for assets for which Guggenheim provides administrative services. Guggenheim represents the following affiliated investment management businesses: Guggenheim Partners Investment Management, LLC, Security Investors, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Funds Distributors, LLC, Guggenheim Real Estate, LLC, GS GAMMA Advisors, LLC, Guggenheim Partners Europe Limited, and Guggenheim Partners India Management.


Leveraged Loan AUM USD21.7 Bil.Loans Managed via CLOs 34.7%

CLO Team Leader(s) Not Reported CLO Portfolio Managers (PMs)/Avg. Experience 9/16 Years (U.S.); 1/29 Years (Europe)

Credit Analysts, Non-PMs/Avg. Experience Not ReportedLoan Team Credits Per Analyst (including PMs) Nine Approximate No. of Invested Credits 507

0

5

10

15

20

25

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016


(USD Bil.)

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Guggenheim Investments 136

Europe9.1%

Other2.6%

U.S.88.3%

Loan AUM By RegionCLOs3.5%

Managed Funds38.6%

Managed Accounts

57.9%



Name Title Role Firm IndustryJeffrey Abrams Senior Managing Director PM 14 17Kevin Gundersen, CFA Senior Managing Director PM 14 14Zachary Warren Senior Managing Director PM 12 21Thomas Hauser Managing Director PM 14 14Matthew Bloom Managing Director Head of Research 11 14


Name Title Role Firm IndustryAdrian Duffy Senior Managing Director Head of European Credit 15 29Jeffrey Abrams Senior Managing Director PM 14 17Kevin Gundersen, CFA Senior Managing Director PM 14 14Zachary Warren Senior Managing Director PM 12 21Thomas Hauser Managing Director PM 14 14Matthew Bloom Managing Director Head of Research 11 14

CLO Investors

28.8%

Pension16.0%

Other47.5%


Insurance7.8%

Other58.0%


Loans10.4%


aIncludes investment-grade bonds, at 17.2%, and other structured products, at 22.5%.


CLOs3.5%

a

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Syndicated

137 Guggenheim Investments


EU RR FormName Pricing Status

Portfolio Balance (EUR Mil.) Original Current VR CRR Method of RR

Iron Hill 3/08 Called 296 7 N N — —Cork Street CLO DAC 11/15 Reinvesting 407 405 Y Y Sponsor VerticalTotal 703 412

VR −Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RR1888 Fund Ltd 12/02 Called 448 0 N N — — —Green Lane CLO Ltd 12/04 Called 507 0 N N — — —Kennecott Funding 1/06 Called 513 10 N N — — —Sands Point Funding 7/06 Called 459 8 N N — — —Copper River 1/07 Called 717 12 N N — — —NZCG Funding 12/10 Called 598 0 N N — — —5180 CLO LP 11/11 Called 1,013 7 N N — — —Mercer Field LP 12/12 Amortizing 1,054 1,074 Y N — — —Hempstead CLO LP 12/13 Reinvesting 659 662 Y N — — —Ziggurat CLO Ltd 12/14 Reinvesting 513 500 Y N — — —NZCG Funding Ltd 2/15 Reinvesting 846 853 Y N — — —Kitty Hawk 2015-1 4/15 Reinvesting 559 556 Y N — — —NZCG Funding 2 4/15 Reinvesting 857 862 Y N — — —5180-2 CLO LP 11/15 Reinvesting 995 1,008 Y N — — —1828 CLO Ltd. 6/16 Reinvesting 410 413 Y N — — —Seven Sticks 6/16 Reinvesting 401 411 Y N — — —Salem Fields 11/17 Reinvesting 449 451 Y N — — —Total 10,998 6,827VR −Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.

Note: Omits two wholly owned subsidiaries positioned between Guggenheim Partners, LLC and Guggenheim Partners Investment Management Holdings, LLC; the remaining 0.5% is owned by GMI GPIMH, LLC. The remaining 0.1% of Guggenheim Partners Investment Management, LLC is owned by GMI GPIM, LLC.

Guggenheim Capital, LLC

Guggenheim Partners, LLC

Guggenheim Partners Investment Management Holdings, LLC

Guggenheim Partners Investment Management, LLC Guggenheim Partners Europe Limited

100.0%

99.5%

99.9% 100.0%


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Guggenheim Investments 138

The Fitch ViewKey Considerations• Deep resources and strong brand name support business franchise, with strong alignment of

interests and available resources from parent company, Guggenheim Partners.• Strong, diversified business lines providing Guggenheim with size and scale that give it

industry access to markets and management of many product styles, resulting in diversifiedrevenue streams.

• Effective management related to the allocation and prioritization of resources dedicated toperforming CLOs, versus distressed legacy CDOs taken over by Guggenheim asreplacement manager, will be an ongoing challenge for Guggenheim.

Company• Guggenheim has three main business lines: investments, securities and insurance services.

CLO management is handled out of the corporate credit group, which resides in theinvestments arm. Guggenheim has issued a total of 16 U.S. CLOs (including one refinancedCLO) and two European CLOs.

• Strong company culture of growth from within results in a core senior team that hasremained intact since inception and low firmwide turnover.

• Guggenheim’s corporate credit committee has an average of 20 years of industry experienceand a strong track record in the high-yield loan market. Committee meets daily and requiresunanimous agreement to approve a name.

Investments• Philosophy based on fundamental bottom-up credit analysis as supported by the robust

research team, which is organized by industry and focus across the entire capital structure.• The investment committee is involved throughout the underwriting process and is integral in

credit approval and position sizing.• Well-embedded processes include formal weekly credit committees, weekly watchlist

meetings, monthly review of each portfolio and quarterly performance and attributionanalysis as well as strategy review.

• History of all securities purchased as well as those turned down is maintained in proprietarydatabase that serves as corporate memory.

• Generally, approved names are given a 1% position size for each portfolio.However, each portfolio and strategy may have different needs that affect allocations.

Controls• Daily monitoring of positions is conducted in addition to daily and weekly team meetings to

discuss broader market conditions and news surrounding individual investments.• Stress testing is conducted at the individual security level through proprietary models that

analysts use to perform collateral reviews, structural assessments and capital structureevaluation and to assess cash flow, liquidation preference and rules.

• Multiple levels of internal controls, including detailed reviews of all relevant credit andoperating documentation conducted by the in-house legal team where appropriate.

Operations• Trade settlement process includes confirmation of all trades with executing broker prior to

entering trades in Guggenheim’s portfolio management system.• Daily reconciliation of cash and positions and monthly reconciliation of securities with

trustee. Guggenheim is in close communication with the trustee.• All portfolio management and credit analysis functions are conducted independently yet

internally. Models are run on a daily basis to ensure compliance with CLO tests.Technology• Guggenheim has in place an integrated and flexible platform based on a combination of both

proprietary analytics and widely accepted industry systems, including BlackRock Solutions®Wall Street Office, Bond Edge®, Bloomberg, YieldBook®, Remittance reports, Trepp®,Intex®™, RealPoint and FactSet® and ePAM (for accounting).

• Business continuity plan is appropriate and tested, with redundancies in Connecticut location andremote access available through Citrix. Additionally, a support team performs both nightly and full weekly backups, with backup stored offsite in New Jersey.

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139Halcyon Loan Management LLC

Halcyon Loan Management LLCHalcyon Loan Management LLC (together with its subsidiaries, HLM) is an affiliate of Halcyon Capital Management LP (HCM), a global investment firm with USD9.2 billion in assets under management (AUM) as of Dec. 31, 2016. HLM was founded in 2006 and currently manages USD6.8 billion, mainly through 10 U.S. CLOs and six European CLOs.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 477 Madison Avenue, 8th Floor

New York, NY 10022Firm Type Global asset managerYear Established 1981Assets Under Management USD9.2 Bil.Total Employees/Investment Professionals 115/41Active CLOs Under Management 10 6Current/Planned Risk Retention Structure Capitalized majority-owned

affiliate (C-MOA)/Capitalized manager vehicle (CMV)

Sponsor/Originator

Dedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) Halcyon Capital Management LP — Parent



CLO Team Leader(s) Jason DillowRoss SmeadBrian YorkeDavid SnyderBrian McHugh


Credit Analysts, Non-PMs/Avg. Experience 7/13 Years 19/13 Years Loan Team Credits Per Analyst (including PMs) 35Approximate No. of Invested Credits 500

High Yield

Bonds5.0%


Broadly Syndicated

Loans95.0%

CLOs86.9%

Managed Accounts

10.9%Managed

Funds2.2%


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Halcyon Loan Management LLC 140


Name Title Role Firm IndustryRoss Smead Vice Chairman and Portfolio Manager Portfolio Manager 10 31Brian Yorke Portfolio Manager and Head Trader Portfolio Manager and Head Trader 10 19David Snyder Managing Principal Portfolio Manager 8 30James Holley Head of Research Head of Research 10 14Brian McHugh Portfolio Manager Portfolio Manager 10 13Colby Wheeler Principal Research 10 17


Name Title Role Firm IndustryRoss Smead Vice Chairman and Portfolio Manager Portfolio Manager 10 31Brian Yorke Portfolio Manager and Head Trader Portfolio Manager and

Head Trader 10 19David Snyder Managing Principal Portfolio Manager 8 30James Holley Head of Research Head of Research 10 14Colby Wheeler Principal Research 10 17Benoit Charles Head of European Research Head of European Research 10 17


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRHSAM CLO I 5/06 Called 460 0 N N — — —HSAM L/S 2006-1 10/06 Called 400 0 N N — — —Halcyon Loan Investors 1 10/06 Called 412 140 N N — — —Bacchus (U.S.) 2006-1 12/06 Called 354 0 N N — — —Halcyon Loan Investors 2 4/07 Called 411 221 N N — — —HSAM L/S 2007-1 7/07 Called 500 0 N N — — —HSAM L/S 2007-2 8/07 Called 518 0 N N — — —HSAM L/S 2007-3 11/07 Called 450 0 N N — — —Halcyon Loan Advisors Funding 2012-1 8/12 Amortizing 359 354 Y N — — —Halcyon Loan Advisors Funding 2012-2 11/12 Amortizing 437 430 Y N — — —Halcyon Loan Advisors Funding 2013-1 3/13 Reinvesting 514 505 Y N — — —Halcyon Loan Advisors Funding 2013-2 7/13 Reinvesting 463 451 Y N — — —Halcyon Loan Advisors Funding 2014-1 2/14 Reinvesting 415 401 Y N — — —Halcyon Loan Advisors Funding 2014-2 4/14 Reinvesting 570 552 Y N — — —Halcyon Loan Advisors Funding 2014-3 9/14 Reinvesting 621 601 Y N — — —Halcyon Loan Advisors Funding 2015-1 4/15 Reinvesting 514 501 Y N — — —Halcyon Loan Advisors Funding 2015-2 6/15 Reinvesting 512 503 Y N — — —Halcyon Loan Advisors Funding 2015-3 9/15 Reinvesting 510 501 Y N — — —Total 8,420 5,160


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141Halcyon Loan Management LLC


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRHSAM 2006-I 6/06 Called 400 0 N N — —HSAM 2006-II 1/07 Amortizing 408 113 N N — —Bacchus 2007-1 Plc 4/07 Amortizing 362 59 N N — —HSAM 2007-I 5/07 Amortizing 600 192 N N — —Neptuno II 12/07 Amortizing 450 99 N N — —HSAM L/S 2008-I 5/08 Called 404 0 N N — —HSAM 2008-II 8/08 Called 444 0 N N — —Halcyon Loan Advisors European Funding 2014 B.V. 11/14 Reinvesting 310 304 Y Y Sponsor —Halcyon Loan Advisors European Funding 2016 DAC 11/16 Ramp-Up 338 325 Y Y Originator —Total 3,716 1,092


Halcyon Capital Management LP

Halcyon Arbitrage Management LP

Halcyon Loan Management LLC

Halcyon Long Duration Recoveries Management LP

Halcyon Asset-BackedAdvisors LP

Halcyon Event-Driven Management LP

Halcyon Special Situations Management LP

Halcyon Credit Management LP


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Halcyon Loan Management LLC 142

The Fitch ViewKey Considerations• Highest standards for risk management and internal compliance and controls.• Highly experienced investment professionals combined with ownership structure that

ensures direct personal investments by senior management in CLOs.Company• HLM, an affiliate of HCM, was founded in 2006 and manages funds/separately managed

accounts through various subsidiaries in addition to its CLOs.• Senior management team at HLM averages approximately 22 years of industry experience.

Very low senior management turnover.• Extensive industry experience of senior investment professionals, who have previously

worked at firms such as Prudential Investment Management, IKB Capital Corporation,Citi Capital Advisors, Merrill Lynch, Credit Suisse and Morgan Stanley.

• Neuberger Berman has a passive interest in HCM and affiliates of approximately 20%.Investments• Robust and formalized committee process in place. The investment committee consists of all

investment professionals, with two senior investment members as voting members.• Credit selection is determined through downside scenario analysis and stress testing

overlaid with transaction-specific structural review.• Daily portfolio meetings cover recent developments and earnings, global events, investment

suitability, analyst recommendations and exposure updates for holdings.• Credit analysts are sector experts. In total they actively monitor approximately 500

companies and have investments in 350.• All credits reviewed formally at least monthly during a comprehensive sector review. On a

quarterly basis, covered issuers are ranked in their sectors through a proprietary relative-value model.

Controls• Portfolios are managed on a daily basis with respect to all risks, including default, liquidity,

investment suitability and ratings migration.• Robust policies and procedures evidenced by the third-party valuation process and

appropriate reconciliation and settlement process.• Ongoing surveillance remains the responsibility of the analyst who originally assessed

the asset.• Multiple lines of independent controls, including staff solely dedicated to forensic testing as

well as an external consultant who reviews the compliance program on an annual basis.• Daily three-way reconciliation among HLM, administrator and counterparties, ensuring

adherence to compliance requirements.Operations• Strong and ongoing communication between portfolio management and operations

professionals, who interact with appropriate systems and processes.• Strong relationship and communication with trustee.• Investor reporting is accommodative to investor needs and includes monthly newsletter and

deal summary as well as information about particular products. Investors access CLOinformation through the trustee website and through deal summary packages fromthe manager.

Technology• Appropriate decision-making tools for risk analysis and investment allocation. For portfolio

management and administration, HLM uses both widely accepted third-party systems(including Virtus, CDO Suite, Geneva, Charles River, Bloomberg, Black Mountain) andproprietary systems.

• Redundancies in place at two offsite hotspots include full data and systems backup multipletimes per day. All functions are fully tested annually for immediate recovery needs.

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143HPS Investment Partners, LLC

HPS Investment Partners, LLCHPS Investment Partners, LLC (HPS), formerly known as Highbridge Principal Strategies, LLC, is a New York-based investment management firm. On March 31, 2016, the senior executives of HPS acquired HPS and its subsidiaries from JPMorgan Asset Management Holdings Inc. (JPMAM) and Highbridge Capital Management, LLC (HCM). As of Dec. 31, 2016, HPS had approximately USD37.5 billion in assets under management (AUM).

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 40 West 57th Street, 33rd Floor

New York, NY 10019Devonshire House, 4th Floor 1Mayfair Place, London, W1J 8AJ U.K.

Firm Type Multistrategy asset managementYear Established 2012 2016Assets Under Management USD36.6 Bil. USD0.9 Bil.Total Employees/Investment Professionals 191/70 42/28Active CLOs Under Management 10 —Current/Planned Risk Retention Structure Capitalized majority-owned affiliate

(C-MOA)Originator

Dedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) Independent


Leveraged Loan AUM USD11.6 Bil. USD0.1 Bil.Loans Managed via CLOs 40% —

CLO Team Leader(s) David Frey, Jonathan Rabinowitz, Edward Dale

Simon Peatfield, Nick Strong


Credit Analysts, Non-PMs/Avg. Experience 17/13 Years 2/8 YearsLoan Team Credits Per Analyst (including PMs) 35 globallyApproximate No. of Invested Credits 314 globally

0

2

4

6

8

10

12

2008 2009 2010 2011 2012 2013 2014 2015 2016

Loan Assets Under Management(USD Bil.)

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HPS Investment Partners, LLC 144

CLO Investors

11.4%

Managed Accounts

23.8%

Other7.5%


High Net Worth12.8%

Pension/Retirement

20.4% Insurance24.1%

Europe0.9%

U.S.99.1%

Loan AUM By Region

CLOs41.2%

Managed Funds10.8%

Managed Accounts

48.0%



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRHLM 2012-1 8/12 Amortizing 313 200 Y N — — —HLM 2013-2 8/13 Reinvesting 414 414 Y N — — —HLM 2014-3 12/13 Reinvesting 410 410 Y N — — —HLM 2014-4 7/14 Reinvesting 514 514 Y N — — —HLM 2015-5 12/14 Reinvesting 516 516 Y N — — —HLM 2015-6 3/15 Reinvesting 516 516 Y N — — —HLM 2015-7 10/15 Reinvesting 452 452 Y N — — —HLM 2016-8 3/16 Reinvesting 404 404 Y N — — —HSPLM 2016-9 4/16 Reinvesting 503 503 Y N — — —HSPLM 2016-10 12/16 Reinvesting 410 410 Y N — — —Total 4,452 4,339VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

CLOs11.3%

Other34.4%

Total AUM By Asset TypeBroadly Syndicated

Loans18.1%



Middle Market Loans34.5%

PRINT H.indd 156 4/7/2017 12:43:34 PM

145HPS Investment Partners, LLC

Partners Group(Delaware LP)

HPS Investment Partners, LLC(Delaware LLC)

Holding Company I(Delaware LP)

Holding Company II(Delaware LLC)

HPS Principals

100% Voting


PRINT H.indd 157 4/7/2017 12:43:34 PM

HPS Investment Partners, LLC 146

The Fitch ViewKey Considerations• Experience and stability of senior management team that averages more than 22 years of

industry experience, strong retention of staff and deep credit research experience.• Diversified asset management platform with revenue not dependent on future CLO issuance

to remain viable.Company• HPS (formerly known as Highbridge Principal Strategies, LLC) is a global alternative

credit manager with approximately USD37.5 billion of capital under management as ofDec. 31, 2016.

• Founded in 2007 and headquartered in New York, with investment offices in Houston,Chicago, Los Angeles, Miami, Dallas, London, Luxembourg (office of affiliates of HPSManaged Funds), Hong Kong and Sydney.

• HPS manages both private and public credit strategies, with the ability to invest across thecapital structure.

Investments• HPS seeks to maintain actively managed diversified portfolios, with typical position sizes

between 0.5% and 1.0% of the respective portfolios.• Research analysts are organized by industry and cover approximately 35 names each,

across the capital structure.• Actively managed investment process driven by fundamental company analytics combined

with industry outlook and sector allocation.• Investment analysis is focused around enterprise and asset value while minimizing potential

downside severity.• While their natural strategy is to sell out of a position, most analysts have workout

experience. HPS does not have a specific distressed credit group; if a credit should go intoworkout, outside counsel would assist in the process.

Controls• Conflicts of interest are minimized by robust policies and procedures regarding information

sharing.• Credit monitoring process supported by robust proprietary credit risk modeling and analytics

with a focus on principal preservation.• Formalized surveillance process includes ongoing portfolio optimization to ensure key tenets

of investment thesis remain valid.Operations• Independent operations team proactively seeks to ensure compliance with investment

guidelines and conducts both pre- and post-trade compliance checks.• Strong administrative systems and procedures are utilized by experienced and

stable staffing.• In addition to daily cash reconciliation, positions are reconciled weekly, and HPS maintains

parallel Wall Street Office (WSO) system to ensure accuracy.Technology• HPS utilizes both proprietary and industry-standard systems, including WSO and

Black Mountain Everest.• The business continuity plan is appropriate and tested. The disaster recovery plan

includes offsite backup, remote access and complete redundancies in a separateNew Jersey location.

PRINT H.indd 158 4/7/2017 12:43:34 PM

147Insight Investment

Insight InvestmentInsight Investment (Insight) is a global investment management firm specializing in liability-driven investment, fixed-income, absolute return and specialist investment strategies. Insight was founded in London in 2002. In 2009, The Bank of New York Mellon (BNY Mellon) acquired Insight from Lloyds Banking Group, which had formally acquired HBOS earlier that year. In 2013, Insight merged with Pareto Investment Management, a currency risk manager. In early 2015, BNY Mellon acquired U.S.-based fixed-income and solutions specialist Cutwater Asset Management, which is now operated by Insight. Insight is headquartered in London and has offices in New York, Sydney and Tokyo. As of Dec. 31, 2016, it had USD646 billion in global assets under management (AUM).

Firm ProfileRegion(s) of Operation U.S. (CLOs)Address 200 Park Avenue


USD646.3 Bil.Assets Under Management Total Employees/Investment Professionals 691/206Active CLOs Under Management 3Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) The Bank of New York Mellon Corporation

Loan Management ProfileRegion(s) U.S., U.K., Europe


CLO Team Leader(s) Joe NelsonCLO Portfolio Managers (PMs)/Avg. Experience 1/19 Years

Credit Analysts, Non-PMs/Avg. Experience 13/11 Years Loan Team Credits Per Analyst (including PMs) Not ProvidedApproximate No. of Invested Credits Not Provided

0.00.20.40.60.81.01.21.41.61.8

2013 2014 2015 2016


PRINT I.indd 159 4/7/2017 12:47:06 PM

Insight Investment 148

Europe24.9%

U.S.75.1%

Loan AUM By Region

CLOs75.1%

Managed Accounts

24.9%



Name Title Role Firm IndustryAlex Veroude Head of Credit Senior Management 9 23Cliff Corso Insight N. America CEO N. America CEO 23 32Joe Nelson Head of Loans Group Head of Loan Portfolio Management 4 19Ranbir Lakhpuri Portfolio Manager PM 10 16Shaheer Guirguis Head of Secured Finance Head of Secured Finance 10 16Jason Cameron Senior Portfolio Manager Structured Finance Portfolio Manager 19 21David Averre Head of Credit Analysis Head of Credit Research 12 29Andrew Stalker Head of Investment Risk Risk Management 16 20John Bluemke Senior Credit Analyst Loan Portfolio Management 4 16Lorraine Specketer Portfolio Analyst Loan Portfolio Management 14 14


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRCutwater 2014-I 7/14 Reinvest. 400 404 Y N — — —Cutwater 2014-II 12/14 Reinvest. 400 402 Y N — — —Cutwater 2015-I 5/15 Reinvest. 450 453 Y N — — —Total 1,250 1,259


Pensions88.6%

Banks1.5%

Other9.9%


CLOs1.1%

Other94.9%


Broadly

Loans1.2%

High YieldBonds2.8%

PRINT I.indd 160 4/7/2017 12:47:06 PM

Syndicated

149Insight Investment

PRINT I.indd 161 4/7/2017 12:47:06 PM

Insight Investment 150

The Fitch ViewKey Considerations• Experience and stability of senior management team that averages more than 20 years of

industry experience, strong retention of staff and deep credit research experience.• Diversified asset management platform; revenue does not depend on future CLO issuance

to remain viable.Company• As of Dec. 31, 2016, Insight managed three CLOs with an approximately USD1.25 billion

AUM portfolio.• Joe Nelson is the head of the global loans team, with 19 years of industry experience, 11 of

which are with bank loans.• Brian Carlson managed two long/short loan and LCDS portfolios at Silvermine

Capital Management.Investments• Insight takes a long-term fundamental view on the names in its investment universe.

Credits are purchased with the expectation that they will be held to maturity.• Investments are evaluated and reviewed with a focus on business model risks, relative value

considerations and a sufficient margin of safety as measured by excess collateral orenterprise value over loan balance.

• Daily credit committee to screen and vet new opportunities and approve changes to creditallocations as well as discuss market events.

• A team-and-consensus approach is employed, wherein input from all analysts, portfoliomanagers and traders is considered.

Controls• The global loans credit committee is subject to oversight by a higher level investment

committee at Insight that meets on a quarterly basis.• Higher risk credits are reviewed monthly, and watchlist credits are reviewed weekly.• Risk limits are set for firmwide exposure in total dollars and for specific funds as a

percentage of notional asset values.Operations• Waterfall hypothetical testing as well as stress tests performed by Intex and Sentry.• Use of appropriate third-party vendors, including Sentry for the loan administration function

and Cortland for some back-office administration functions.• Web-based proprietary database being created to serve as corporate memory to house all

credits viewed and researched.• Daily reconciliations are performed to tie out cash and positions with trustee.• Adequate back- and middle-office resources ensure efficient and appropriate management

of CLOs and industry-standard controls.• Administrative capabilities reflect the highly qualified and experienced staff interacting with

appropriate systems and processes.Technology• Integrated and flexible platform based on a combination of proprietary analytics and third-

party administration systems, including widely accepted industry systems such as Sentryand Cortland.

• In the U.S., Insight has a recovery site in Pleasantville, NY, just outside of New York City.This is a BNY Mellon-owned and managed facility, and Insight’s U.S. staff have their owndedicated suite with 30 seats. All technology is managed from the U.K., and the recoverysite is for loss of premises only.

PRINT I.indd 162 4/7/2017 12:47:07 PM

151 Intermediate Capital Group

Intermediate Capital GroupIntermediate Capital Group (ICG) is a global investment firm that specializes in mezzanine finance, minority equity, leveraged senior loans and high-yield bonds. ICG manages third-party money through closed- and open-end funds, separate mandates and CLOs. As of Dec. 31, 2016, it had EUR22.6 billion in assets under management (AUM).

Firm ProfileRegion(s) of Operation Europe U.S. Address Juxon House, 100 St Paul's Churchyard

London, EC4M 8BU, U.K.600 Lexington Avenue, 24th FloorNew York, NY 10022

Firm Type Global multistrategy asset managementYear Established 1989Assets Under Management EUR22.6 Bil.Total Employees/Investment Professionals 185/83 36/26Active CLOs Under Management 10 6Current/Planned RiskRetention Structure Originator Capitalized manager vehicle (CMV)Dedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) Intermediate Capital Group plc

Loan Management ProfileRegion(s) Europe U.S.

Leveraged Loan AUM EUR2.9 Bil. USD2.4 Bil.Loans Managed via CLOs 86% 100%

CLO Team Leader(s) Zak Summerscale, Benjamin Edgar, Michael Curtis

Seth Katzenstein



0.0

1.0

2.0

3.0

4.0

5.0

6.0

2012 2013 2014 2015 2016

(EUR Bil.)


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Intermediate Capital Group 152

CLO Investors

22.0%

Other35.3%


Insurance10.5%

Pension/ Retirement

32.3%

CLOs90.0%

Managed Funds4.0%Managed Accounts

6.0%


Europe 56.2%

U.S. 42.7%

Other 1.1%

Loan AUM By Region


Name Title Role Firm IndustryZak Summerscale Partner Head of and CIO for Credit Fund

Management (Europe and Asia) <1 23Michelle De Angelis Managing Director Head of Credit Research (Europe) 6 19Michael Curtis Managing Director Portfolio Manager 1 17Benjamin Edgar Managing Director Portfolio Manager 1 17Harry Sugiarto Managing Director Portfolio Manager 11 14Kam Tugnait Managing Director Portfolio Manager <1 28


Name Title Role Firm IndustryChristophe Evain Chief Executive Officer CEO of ICG plc 22 29Salvatore Gentile Partner Head of North American Debt Operations 4 27Seth Katzenstein Managing Director Portfolio Manager 3 20Michelle De Angelis Managing Director Head of Credit Research (Europe) 6 19

CLOs22.0%

Middle Market Loans

53.1%

Othera

24.9%


aIncludes high-yield bonds, syndicated loans, structured credit, private equity and real estate.


aIncludes high-yield bonds, syndicated loans, structured credit, private equity and real estate.

PRINT I.indd 164 4/7/2017 12:47:07 PM

153 Intermediate Capital Group


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RREurocredit I 8/99 Called 417 0 N N — —Eurocredit II 7/00 Called 369 0 N N — —Eurocredit III 8/03 Called 260 0 N N — —Eurocredit IV 10/04 Called 356 0 N N — —Eurocredit V 8/06 Amortizing 600 102 N N — —Eurocredit VI 12/06 Amortizing 500 99 N N — —Eurocredit VII 3/07 Amortizing 520 115 N N — —St Paul's I 5/07 Amortizing 300 191 N N — —Eurocredit VIII 11/07 Amortizing 636 29 N N — —St Paul's II 7/13 Reinvesting 430 402 Y Y Originator HorizontalSt Paul's III 12/13 Reinvesting 557 543 Y Y Originator HorizontalSt Paul's IV 3/14 Reinvesting 435 427 Y Y Originator VerticalSt Paul's V 8/14 Reinvesting 361 352 Y Y Originator VerticalSt Paul's VI 5/16 Reinvesting 413 400 Y Y Originator HorizontalTotal 6,152 2,660



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRICG US CLO 2014-1 1/14 Reinvesting 371 349 Y N — — —ICG US CLO 2014-2 7/14 Reinvesting 417 399 Y Y Sponsor — HorizontalICG US CLO 2014-3 12/14 Reinvesting 411 402 Y Y Sponsor — HorizontalICG US CLO 2015-1 6/15 Reinvesting 411 405 Y N — — —ICG US CLO 2015-2 10/15 Reinvesting 411 406 Y Y Sponsor — HorizontalICG US CLO 2016-1 7/16 Reinvesting 406 401 Y Y Originator — HorizontalTotal 2,427 2,362


Note: Summary organizational chart relating to CLOs.

Intermediate Capital Group plc

ICG FMC Ltd

Intermediate Capital Managers LimitedEuropean collateral manager

(advises European CLOs)

Intermediate Capital Group, Inc.

ICG Debt Advisors LLCU.S. collateral manager

(advises U.S. CLOs)


PRINT I.indd 165 4/7/2017 12:47:07 PM

Intermediate Capital Group 154

The Fitch ViewKey Considerations• Benefits from resources of global enterprise with substantial scale. ICG is an established

European CLO manager with a long track record.• Advanced, proprietary integrated technology platform.• Challenge remains to successfully grow and maintain U.S. presence via strategic

development of business through funds, mandates and CLOs.Company• A global investment firm, ICG specializes in mezzanine finance, minority equity, leveraged

senior loans, high-yield bonds, direct lending and private equity. It manages third-partymoney through closed- and open-end funds, separate mandates and CLOs.

• ICG was founded in 1989 and listed on the London Stock Exchange in 1994. It has beenmanaging European CLOs since 1999. Its U.S. CLO management experience is newer,dating to 2014.

• Global presence with offices throughout Europe, Asia-Pacific and the U.S.• The credit fund management (CFM) team comprises experienced investment professionals.

There are 18 credit analysts and eight portfolio managers (PMs) in total (including fourspecialist leveraged loan PMs). PMs average 20 years of industry experience, and creditanalysts 14 years.

Investments• Bottom-up fundamental credit research and formal committee-based approval of credit limits,

with a bias toward investments that are senior in the capital structure, generate sustainablefree cash flow and are well collateralized.

• CFM benefits from the group’s mezzanine investment team and analytical resources (morethan 40 investment professionals) for sourcing, credit analysis and local insights. Creditanalysts are organized by sector.

• Surveillance is formalized in daily meetings, monthly reviews and quarterly portfolio reviewssupported by strong risk reporting systems.

• Workouts are handled by CFM analysts directly and separately from mezzanine analysts.Senior analysts give input on the workout process in terms of individual portfolio constraintsor features.

Controls• Risk management is a function of oversight committees and compliance in the absence of a

dedicated audit or risk function.• Team of eight risk management, compliance, internal audit and legal professionals with an

average of 16 years’ experience, supported by external advisors such as the independent,New York-based Duff & Phelps.

Operations• Efficient administration supported by robust systems and procedures.• ICG reconciles cash daily with trustees and positions weekly. Information flows with the

trustees are well established and tested.• Dedicated loan administration (including loan settlement), IT, compliance and finance teams,

with 35 professionals globally. Five employees dedicated to CLO administration.Technology• Integrated global IT platform based on a combination of proprietary analytics and third-party

administration systems is well tailored to business requirements.• Wall Street Office is ICG’s core loan and CLO administration system. ICG also uses other

industry-standard third-party systems such as Black Mountain Everest and Virtus.• CreditLab is ICG’s flexible, web-based, integrated proprietary credit and portfolio

monitoring system.

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155Invesco Senior Secured Management, Inc.

Invesco Senior Secured Management, Inc.Invesco Senior Secured Management, Inc. (ISSM) is an institutional manager of senior-secured loans. Its ultimate parent company is Invesco Ltd., a global asset management company that had approximately USD812.9 billion in assets under management (AUM) as of Dec. 31, 2016. Of this total, USD37.9 billion related to ISSM’s leveraged loan investments, managed via commingled and separately managed institutional accounts, retail mutual funds, CLOs and an ETF.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 1555 Peachtree Street NE

Suite 1800Atlanta, GA 30309

Invesco Perpetual Portman Square House First Floor43-45 Portman Square London W1H 6LY U.K.

Firm Type Multistrategy asset managerYear Established 1935 globallyAssets Under Management USD716.4 Bil. EUR91.5 Bil.Total Employees/Investment Professionals 4,523/974 935/331Active CLOs Under Management 15 2Current/Planned Risk Retention Structure Capitalized majority-owned

affiliate (C-MOA) Not Reported

Dedicated Capital to Fund Risk Retention USD100 Mil. EUR100 Mil.Key Affiliates (Global) Refer to Organizational Structure diagram


Leveraged Loan AUM USD33.7 Bil. EUR4.2 Bil.Loans Managed via CLOs 20% 0.5%

CLO Team Leader(s) Joseph Rotondo Michael CraigCLO Portfolio Managers (PMs)/Avg. Experience 4/26 Years 1/18 Years

Credit Analysts, Non-PMs/Avg. Experience 24/18 Years 5/14 YearsLoan Team Credits Per Analyst (including PMs) 30 30Approximate No. of Invested Credits 750 globally

05

101520253035

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


PRINT I.indd 167 4/7/2017 12:47:08 PM

Invesco Senior Secured Management, Inc. 156

Other100.0%


CLOs18.0%

Managed Funds57.0%

Managed Accounts

23.0%

Other2.0%


Europe11.0%

U.S.89.0%

Loan AUM By Region


Name Title Role Firm IndustryScott Baskind Head of Global Senior Loans CIO 18 21Kevin Egan Portfolio Manager Portfolio Manager 19 31Tom Ewald Portfolio Manager Portfolio Manager 17 30Joe Rotondo Portfolio Manager Portfolio Manager 19 27Michael Craig Portfolio Manager Portfolio Manager 11 19


Name Title Role Firm IndustryScott Baskind Investment Officer CIO 18 21Kevin Egan Portfolio Manager Portfolio Manager 19 31Tom Ewald Portfolio Manager Portfolio Manager 17 30Joe Rotondo Portfolio Manager Portfolio Manager 19 27Michael Craig Portfolio Manager Portfolio Manager 11 19

CLOs18.0%

Othera

2.0%


aIncludes structured credit (2.0%).

Broadly Syndicated

Loans80.0%

PRINT I.indd 168 4/7/2017 12:47:08 PM



(EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRMoselle 10/05 Called 345 0 N N — —Theseus 8/06 Amortizing 325 85 N N — —Total 670 85



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRAvalon 2 5/00 Called 650 0 N N — — —Saratoga 9/02 Called 300 0 N N — — —Sagamore 10/03 Called 302 0 N N — — —Avalon 3 2/05 Called 600 0 N N — — —Belhurst 3/06 Called 500 0 N N — — —Nautique 4/06 Called 550 0 N N — — —Wasatch 11/06 Amortizing 650 502 N N — — —Limerock 4/07 Called 500 0 N N — — —Avalon 4 3/12 Called 340 0 N N — — —Marea 9/12 Amortizing 450 385 Y N — — —Nomad 3/13 Amortizing 400 395 Y N — — —North End 8/13 Reinvesting 400 396 Y N — — —Blue Hill 12/13 Reinvesting 500 491 N N — — —Limerock II 3/14 Reinvesting 650 640 Y N — — —A Voce 7/14 Reinvesting 600 592 Y N — — —Limerock III 11/14 Reinvesting 500 493 Y N — — —Betony 3/15 Reinvesting 600 593 Y N — — —Recette 9/15 Reinvesting 500 502 Y N — C-MOA HorizontalUpland 5/16 Reinvesting 400 401 Y N — C-MOA HorizontalAnnisa 8/16 Reinvesting 400 400 Y Y Originator C-MOA HorizontalRiserva 12/16 Reinvesting 600 600 Y Y Originator C-MOA HorizontalTotal 10,392 6,390


PRINT I.indd 169 4/7/2017 12:47:08 PM

Invesco Senior Secured Management, Inc. 158

Invesco Ltd.

Invesco Holding Company Limited

Invesco Group Services, Inc.

IVZ UK Limited

Invesco Management Group Inc.

Invesco Holding Company (US), Inc.

Invesco North America Holdings Inc.

Invesco Advisers, Inc.

Invesco Senior Secured Management, Inc.


PRINT I.indd 170 4/7/2017 12:47:08 PM


The Fitch ViewKey Considerations• Rank as one of the largest global asset managers and considerable growth in leverage loan

assets lead to preferred market access for allocations and garner favorabletrade execution.

• Diversified asset management platform not significantly dependent on future CLO issuanceto remain viable.

• Strong commitment to business and alignment of interest with ISSM platform, as evidencedby parent’s investments in the equity of all CLOs.

Company• Invesco Ltd. is a publicly held firm (NYSE: IVZ), with approximately USD812.9 billion in AUM

as of Dec. 31, 2016.• As of Dec. 31, 2016, ISSM had USD37.9 billion in senior loans under management across

the various strategies, including CLOs, separate accounts, commingled accounts, retailfunds and an ETF.

• ISSM, an affiliate of IVZ, managed USD6.9 billion of CLOs, inclusive of 12 U.S. 2.0 CLOs,three U.S. 1.0 CLOs and two 1.0 European CLOs, as of Dec. 31, 2016.

• Led by Scott Baskind, head of global senior loans and chief investment officer, ISSM has adedicated team of 29 investment professionals globally. Team members average 17 years ofindustry experience.

Investments• Analytical approach is centered on a fundamental bottom-up risk assessment coupled with

top-down macro risk positioning based on broad economic trends. Investment ideas areshared during daily meetings involving portfolio managers, analysts and team leaders.

• Credit selection committee process entails analysts and their team leaders making buy/selland allocation recommendations. The investment committee outcome consists of an internalrating based on probability of default and expected recovery, with a qualitative overlay.

• Formalized ongoing surveillance process utilizes in-house and third-party systems to trackportfolios and monitor compliance. Parallel checks of all requirements are performed.

Controls• Risk management reporting and oversight functions are executed daily, weekly, monthly and

quarterly and are performed in conjunction with various third parties, including State Street,as trustee.

• Various portfolio and risk management reporting includes continuous updates of internal riskratings tied to each security and its collateral protection.

• Industry-standard CLO administration platform driven by Wall Street Office (WSO)Compliance allows for both ad hoc and regularly scheduled report generation.

Operations• Investor reporting includes fund-specific, password-protected websites that house

commentary, transaction documents (including but not limited to the offering memorandumand amendments), trustee reports and a monthly mark-to-market report.

• Daily reconciliations are performed to tie out cash and positions with Citi/Virtus, as trustee.• Strong back-office and middle-office resources ensure efficient and adequate management

of CLOs and industry-standard controls.Technology• Integrated and flexible platform based on a combination of proprietary analytics and best-in-

class industry systems, including WSO (both Administrator and Compliance modules), BlackMountain Everest and Intex for loan and CLO information.

• Business continuity plan is appropriate and has been tested. Infrastructure includes toll-freedisaster recovery hotline, business recovery website, nightly data backup, automated alerttelecasting and a teleconferencing facility.

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160KKR Credit Advisors (US) LLC

KKR Credit Advisors (US) LLCKKR Credit Advisors (US) LLC (KKR Credit), formerly known as KKR Asset Management (KAM), is a wholly owned subsidiary of KKR & Co. L.P. (KKR), a global investment firm with approximately USD129.6 billion in assets under management (AUM) as of Dec. 31, 2016. Of this total, KKR Credit managed USD35.7 billion in global investments. KKR Credit's investments encompass leveraged credit (USD18.8 billion) and alternative credit (including special situations [USD8.0 billion] and private credit [USD8.9 billion]).

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 555 California Street, 50th Floor

San Francisco, CA 9410475 St. Stephen's GreenDublin 2, Ireland

Firm Type Global multistrategy asset managementYear Established 2004 2002Assets Under Management USD35.7 Bil. globallyTotal Employees/Investment Professionals 220/17 220/13Active CLOs Under Management 16 17Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) SponsorDedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) KKR & Co. L.P.

Loan Management ProfileRegion(s) U.S. EuropeLeveraged Loan AUM USD8.6 Bil. EUR6.0 Bil.Loans Managed via CLOs 39% 60%CLO Team Leader(s) Chris Sheldon Alan Burke, Eddie O’NeillCLO Portfolio Managers (PMs)/Avg. Experience 3/13 Years 2/20 YearsCredit Analysts, Non-PMs/Avg. Experience 13/6 Years 9/7 YearsLoan Team Credits Per Analyst (including PMs) 28 19Approximate No. of Invested Credits 21 16

0

2

4

6

8

10

12

2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


01234567

2010 2011 2012 2013 2014 2015 2016

(EUR Bil.)


PRINT K.indd 173 4/10/2017 11:08:40 AM

KKR Credit Advisors (US) LLC 161

CLOs59.3%

Managed Funds1.3%

Managed Accounts

39.4%



Name Title Role Firm IndustryChris Sheldon Member Head of U.S. Leveraged Credit 12 16John Reed Member Head Trader 8 19Jeremiah Lane Director Portfolio Manager 11 12Sharath Reddy Director Portfolio Manager 2 10


Name Title Role Firm IndustryAlan Burke Member Co-Head of KKR Credit 15 22Eddie O’Neill Director Head of European Leveraged Credit 15 21Ali Allahbachani Director Portfolio Manager 12 20




Structured Credit 2.3% CLO

Investors49.7%

Pensions32.1%

Other5.1%


Insurance13.1%

Europe42.0%

U.S.58.0%

Loan AUM By Region

PRINT K.indd 174 4/7/2017 12:48:21 PM

Broadly

162 KKR Credit Advisors (US) LLC


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRAvoca I 12/03 Called 300 0 N N — —Avoca II 11/04 Called 360 24 N N — —Avoca III 8/05 Amortizing 400 50 N N — —Avoca IV 6/06 Amortizing 450 47 N N — —Avoca V 8/06 Amortizing 500 83 N N — —Avoca VI 11/06 Amortizing 500 156 N N — —Avoca VII 2/07 Amortizing 700 198 N N — —Avoca VIII 8/07 Amortizing 500 295 N N — —Avoca IX 6/08 Called 325 0 N N — —Avoca X 11/13 Reinvesting 300 301 Y Y Sponsor HorizontalAvoca XI 5/14 Reinvesting 500 501 Y Y Sponsor HorizontalAvoca XII 8/14 Reinvesting 400 400 Y Y Sponsor HorizontalAvoca XIII 11/14 Reinvesting 400 401 Y Y Sponsor HorizontalAvoca XIV 6/15 Reinvesting 500 501 Y Y Sponsor HorizontalAvoca XV 11/15 Reinvesting 500 501 Y Y Sponsor HorizontalAvoca XVI 6/16 Reinvesting 450 450 Y Y Sponsor HorizontalAvoca XVII 10/16 Reinvesting 450 450 Y Y Sponsor HorizontalTotal 7,535 4,358



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRKKR Financial 2005-1 3/05 Called 1,000 26 Y N — — —KKR Financial 2005-2 11/05 Called 1,000 20 Y N — — —KKR Financial 2006-1 9/06 Called 1,000 17 Y N — — —KKR Financial 2007-1 5/07 Called 3,500 73 Y N — — —KKR Financial 2007-A 10/07 Called 1,500 16 Y N — — —KKR Financial 2012-1 10/12 Reinvesting 400 401 Y N — — —KKR Financial 2013-1 6/13 Reinvesting 500 502 Y N — — —KKR Financial 2013-2 1/14 Reinvesting 369 371 Y N — — —KKR CLO 9 9/14 Reinvesting 500 503 Y N — — —KKR CLO 10 12/14 Reinvesting 400 401 Y N — — —KKR CLO 11 5/15 Reinvesting 550 552 Y N — — —KKR CLO 12 8/15 Reinvesting 400 404 Y Y Sponsor — —KKR CLO 13 12/15 Reinvesting 400 402 Y N — — —KKR CLO 14 6/16 Reinvesting 500 501 Y Y Sponsor — —KKR CLO 15 7/16 Reinvesting 400 401 Y N — — —KKR CLO 16 11/16 Reinvesting 700 700 Y N — — —Total 13,119 5,290


PRINT K.indd 175 4/7/2017 12:48:22 PM

KKR Credit Advisors (US) LLC 163

Group Partnerships

Management Companies, Capital

Markets, General Partners of Credit and Certain Other Vehicles

KFN

General Partners of Private Equity, Real Assets and Other

Vehicles and Management Company

PrincipalAssets

Public Unitholders KKR Management LLC KKR Holdings L.P.

KKR & Co. L.P.(NYSE: KKR)

KKR InternationalHoldings L.P.

KKR FundHoldings L.P.

KKR ManagementHoldings L.P.

KKR ManagementHoldings Corp.

KKR Group Finance Co. LLCKKR Group Finance Co. II LLCKKR Group Finance Co. III LLC

GP

LP

GP

LP

GP

LP

LP

100%

GP Majority Independent Directors

Certain KKR Employees and Others


PRINT K.indd 176 4/7/2017 12:48:22 PM

164KKR Credit Advisors (US) LLC

Fitch ViewKey Considerations• Strong institutional parent in KKR. Diversified business and product lines furnish the ability to

leverage scale across a broad selection of investment opportunities and companies.• Considerable U.S. and European CLO investment resources and experienced staff.

Overall CLO platform capabilities have expanded due to Avoca Capital (Avoca) acquisitionin 2014.

• Managing potential conflicts of interest by maintaining the company’s effective wall ofseparation between the CLO platform and KKR’s private equity business is a challenge.

Company• In 2004, KKR began pursuing debt investments and, among other activities, formed KAM, its

marketable securities and alternative investment division. In 2014, KAM became KKR Credit,which manages across various credit market segments, including bank loans, high-yieldbonds, CLOs, directly originated senior-secure lending, mezzanine debt and specialsituations/distressed investments.

• Avoca was formed in 2002 and launched its first European CLO in 2003; a series ofsubsequent CLOs followed thereafter. It began managing mutual funds and mandates in2009. Upon its acquisition, Avoca brought approximately EUR6.2 billion in AUM to KKR andlifted the number of industry analysts on KKR Credit’s global leveraged credit team to 27 (16U.S. analysts and 11 European analysts). The investment team now consists of 30individuals (17 U.S. and 13 Europe).

• KKR Credit has been managing broadly syndicated loan CLOs since 2005. KKR is a majorityowner of the equity tranches in all of KKR Credit’s U.S. CLOs as a result of the April 2014acquisition of KKR Financial Holdings LLC.

Investments• KKR Credit’s investment philosophy is value oriented, with a focus on fundamentals,

strong credit selection and avoiding mistakes.• Clearly articulated investment process that is strictly adhered to, beginning with a

prescreening phase, which filters out the majority of issuers and focuses the detailed creditanalysis on those issuers for which an investment is more probable. The process concludesat the credit committee, which makes credit and investment decisions.

• Daily credit meetings provide a forum for discussion among the portfolio managers, creditanalysts and traders.

• All credits are monitored in real time, with news and analyst updates disseminated firmwidethrough Black Mountain Everest systems.

Controls• Potential conflicts of interest are managed through a global conflicts committee. Specific

rules govern how debt funds can invest in KKR-originated transactions, notably a rulelimiting debt funds to a maximum holding of 19.9% of any debt class issued by a portfoliocompany, absent explicit approval from the conflicts committee.

• All procedures are well documented, including those governing the management of publicand private data.

Operations• A CLO-dedicated operations staff performs a three-way daily cash and position reconciliation

with both the Black Mountain Everest compliance module and CLO indenture trustees.• High degree of integration with the trustee resulting from the advanced technology in place.• Prior to execution, KKR Credit runs all prospective trades through a robust pretrade

compliance process to determine CLO suitability.Technology• KKR Credit’s CLO platform has built on its parent’s significant investment in technology to

create proprietary models and fundamental tools that help automate research andsurveillance functions. Systems and technology platform are scalable and were developed tohandle growth in CLO issuance.

• A variety of technology solutions are utilized, including Black Mountain Everest systems.Third-party feeds are incorporated to support day-to-day management of the CLOs.

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165Kramer Van Kirk Credit Strategies LP

Kramer Van Kirk Credit Strategies LPKramer Van Kirk Credit Strategies LP (KVK) is an independent investment adviser that manages leveraged loan investments. KVK was founded in 2011 by two investment professionals, Thomas A. Kramer and Timothy S. Van Kirk, who collectively have more than 50 years’ experience in loan investing and CLO structuring and management. The two founders, along with several other staff members, previously worked together at LightPoint Capital and Neuberger Berman. As of Dec. 31, 2016, KVK managed nine CLOs totaling USD4.2 billion in issuance.

Firm ProfileRegion(s) of Operation U.S.Address 200 W. Monroe Street, Suite 1330

Chicago, IL 60606Firm Type Independent CLO-focused managerYear Established 2011Assets Under Management USD4.26 Bil.Total Employees/Investment Professionals 25/19Active CLOs Under Management 9Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention USD27 Mil.Key Affiliates (Global) KVK Global Strategies — Subsidiary



CLO Team Leader(s) Thomas A. Kramer, Timothy S. Van KirkCLO Portfolio Managers (PMs)/Avg. Experience 2/32 Years


0.00.51.01.52.02.53.03.54.04.5

2012 2013 2014 2015 2016

(USD Bil.)


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Kramer Van Kirk Credit Strategies LP 166

CLOs100.0%



Name Title Role Firm IndustryThomas A. Kramer Senior Managing Director Senior Portfolio Manager 3 34Timothy S. Van Kirk Senior Managing Director Chief Risk Officer 3 29Michael J. McKay Managing Director Head of Credit Research 3 25Kristi R. Broderick Senior Vice President Credit Research Team Leader 3 19Matt A. Persohn Senior Vice President Credit Research Team Leader 3 17


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRKVK CLO 2012-1 5/12 Reinvesting 350 215 Y N — — —KVK CLO 2012-2 11/12 Reinvesting 400 370 Y N — — —KVK CLO 2012-1 1/13 Reinvesting 550 550 Y N — — —KVK CLO 2013-2 10/13 Reinvesting 400 400 N N — — —KVK CLO 2014-1 12/13 Reinvesting 565 565 Y N — — —KVK CLO 2014-2 6/14 Reinvesting 600 600 Y N — — —KVK CLO 2014-3 8/14 Reinvesting 500 500 Y N — — —KVK CLO 2015-1 4/15 Reinvesting 600 600 Y N — — —KVK CLO 2016-1 12/16 Reinvesting 350 350 Y N — — —Total 4,315 4,150VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.


SyndicatedLoans

100.0%

CLO Investors

87.0%

Total AUM By Investor TypeOther13.0%

U.S.100.0%

Loan AUM By Region

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Broadly

167 Kramer Van Kirk Credit Strategies LP

The Fitch ViewKey Considerations• Depth and breadth of partners’ experience. The average is 32 years in the industry.• Demonstrated track record in credit risk management and loss mitigation, as evidenced by a

low historical default rate on managed CLOs.• Small size and short history could create challenges in terms of asset purchase allocations,

but are largely offset by senior management’s experience and profile in the sector.Company• KVK Services LLC is the general partner of KVK. Its members include Kramer and

Van Kirk, who founded KVK in 2011 and serve as managing directors, as well as a third-party investor. KVK is the collateral manager to nine CLOs.

• The staff of 19 investment professionals includes senior members with workout experience,as well as individuals with extensive industry backgrounds. All original employees haveownership in the firm. Eleven employees worked together previously at LightPoint Capital,Neuberger Berman and/or ABN AMRO Bank.

• Senior management averages 32 years’ experience in the leveraged loan asset class,including origination, structuring, portfolio management, distribution and workouts.

• Senior management oversaw 11 CLOs (USD4.3 billion) at LightPoint Capital Management,which was also co-founded by Kramer and Van Kirk. Senior management also managed amulti-billion-dollar balance sheet portfolio while at ABN AMRO.

Investments• KVK has an adequate credit approval process supported by structured and

well-documented credit research processes.• KVK uses an effective screening process, based on portfolio manager judgment, to filter out

unsuitable assets at an early stage. Turndown rate is 45%.• Using a proprietary technology platform, KVK’s investment professionals will analyze, select

and manage investment positions using current issuer and market information.• The investment process is centered on a focused and disciplined credit analysis framework

that evaluates material aspects of a potential asset.Controls• KVK manages its investment risk by structuring portfolios that are highly diversified by

industry and issuer. It employs a robust and highly disciplined approach to portfoliomanagement to monitor compliance with specific benchmarks and investment criteria.

• Surveillance processes are in place, with the original lead analyst retaining ongoingsurveillance. Alert functions in KVK’s proprietary credit platform are used to identifydeteriorating credits at an early stage.

• KVK maintains active portfolio monitoring processes, with daily position risk monitoring andmonthly meetings held for special discussions regarding hot topics and watchlist items.

Operations• Comprehensive transaction modeling in CDO Sentry facilitates day-to-day administration

of cash and holdings, indenture compliance modeling, and reporting and paymentwaterfall projections.

• Senior management also reviews fund performance and portfolio composition on a regularbasis to monitor compliance with governing documents.

• In addition to trustee reports, KVK supplements investor reporting with details on tradingactivity and any credit commentary, if applicable.

Technology• KVK’s central technology platform, Mariana Systems, collects cross-market information from

various data providers such as Loan Performance, Markit, CDO Sentry and Bloomberg, aswell as internal data from credit research and trading.

• Mariana Systems supports credit analytics, portfolio construction and portfolio managementoperations and provides real-time functionality, credit process efficiency and investor-enabled reporting transparency.

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168LCM Asset Management LLC

LCM Asset Management LLCLCM Asset Management LLC (LCM) is a New York-based loan asset manager. It was formed in 2001 as a third-party money management business with a dedicated focus on U.S. leveraged loans. Prior to parent company Tetragon Financial Group Limited’s (TFG) ownership, LCM was a wholly owned asset management subsidiary of Crédit Agricole S.A. As of Dec. 31, 2016, LCM had approximately USD6.6 billion in assets under management (AUM) across 15 CLOs.

Firm ProfileRegion(s) of Operation U.S.Address 399 Park Avenue, 22nd Floor

New York, NY 10022Firm Type 100% indirect subsidiary of Tetragon Financial Group LimitedYear Established 2001

USD6.6 Bil.Assets Under ManagementTotal Employees/Investment Professionals 15/15Active CLOs Under Management 15Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)/

Capitalized majority-owned affiliate (C-MOA)a

Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Tetragon Financial Group Limited (Parent)aEither Tetragon Financial Group Master Fund Limited or Tetragon Credit Income II L.P. (TCI II) may be the risk retention holder for LCM CLOs.



CLO Team Leader(s) Farboud Tavangar and Marc Schluraff, CFACLO Portfolio Managers (PMs)/Avg. Experience 2/31 Years

Credit Analysts, Non-PMs/Avg. Experience 9/15 YearsLoan Team Credits Per Analyst (including PMs) 40–45Approximate No. of Invested Credits 375–380

0.01.02.03.04.05.06.07.0

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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LCM Asset Management LLC 169


Name Title Role Firm IndustryFarboud Tavangar N.A. Senior Portfolio Manager 16 31Marc Schluraff, CFA N.A. Senior Portfolio Manager 12 32Alexander Kenna N.A. N.A. 12 25Sophie-Aurore Venon N.A. N.A. 14 18



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRIndosuez Capital Funding III 12/96 Matured 460 0 — — — — —Indosuez Capital Funding IIAa 6/98 Matured 825 0 — — — — —Porticoes Fundingb 12/98 Matured 400 0 — — — — —Indosuez Capital Funding VI 9/00 Matured 482 0 — — — — —LCM I 6/03 Matured 325 0 — — — — —LCM II 11/04 Matured 360 0 — — — — —LCM III 4/05 Matured 350 0 — — — — —LCM IV 8/05 Matured 307 0 — — — — —Hewett’s Island CLO IVc 5/06 Matured 412 4 — — — — —aLCM assumed management responsibilities from CypressTree Investment Management Company, Inc. in October 2010. bLCM assumed management responsibilities from Indosuez Capital in April 2004. cReset in December 2016. Notes: Table represents cash flow CLOs only. Numbers may not add due to rounding. VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention. Notes: Table represents cash flow CLOs only. Serves 2001-1 and LCM VII were market value CLOs previously managed by LCM. LCM VII was liquidated commencing in 2008. Continued on next page.


SyndicatedLoans100%

Loan AUM By RegionU.S.

100%


CLOs.100%

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Broadly

170LCM Asset Management LLC


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRLCM V 3/07 Matured 600 0 — — — — —LCM VI 5/07 Matured 500 0 — — — — —LCM VIII 11/10 Called 300 0 — — — — —LCM IX 6/11 Amortizing 666 3 — — — — —LCM X 2/12 Amortizing 410 235 Y — — — —LCM XI 5/12 Amortizing 485 341 — — — — —LCM XII 10/12 Amortizing 518 499 Y — — — —LCM XIIIc 2/13 Reinvesting 518 501 Y — — — —LCM XIV 7/13 Reinvesting 418 400 — — — — —LCM XV 2/14 Reinvesting 624 596 Y — — — —LCM XVI 6/14 Reinvesting 726 696 Y — — — —LCM XVII 10/14 Reinvesting 411 400 Y — — — —LCM XVIII 3/15 Reinvesting 610 597 Y — — — —LCM XIX 7/15 Reinvesting 618 599 Y — — — —LCM XX 11/15 Reinvesting 509 502 Y — — — —LCM XXI 3/16 Reinvesting 381 379 Y — — — —LCM XXII 9/16 Reinvesting 449 441 Y — — — —LCM XXIII 11/16 Reinvesting 408 400 Y — — — —Total 13,876 6,593aLCM assumed management responsibilities from CypressTree Investment Management Company, Inc. in October 2010. bLCM assumed management responsibilities from Indosuez Capital in April 2004. cReset in December 2016. Notes: Table represents cash flow CLOs only. Numbers may not add due to rounding. VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention. Notes: Table represents cash flow CLOs only. Serves 2001-1 and LCM VII were market value CLOs previously managed by LCM. LCM VII was liquidated commencing in 2008.

100% Indirect Subsidiary

Tetragon Financial Group Limited(Listed on Euronext Amsterdam N.V.)

LCM Asset Management LLC


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LCM Asset Management LLC 171

The Fitch ViewKey Considerations• Well-established CLO platform and performance record supported by larger global

asset manager.• Stable management team combined with senior portfolio management averaging over

20 years’ experience managing CLOs.• The future financial performance of LCM’s parent company, TFG, has exposure to the

performance of the overall corporate loan market and CLOs, specifically.Company• In 2010, TFG purchased a majority stake in LCM. LCM benefits from the additional

administrative support and resources of TFG.• LCM’s product platform offering includes CLOs, separately managed accounts and closed-

end funds.• Staffing of 15 investment professionals includes analysts with workout experience and

individuals with extensive industry backgrounds.• Senior PMs have an average of 20 years’ corporate loan experience.Investments• LCM’s investment philosophy is based on fundamental analysis focused on industry

prospects, position, operating performance and growth strategy.• Investment decisions are made through the monitoring of credits by proprietary rating.

The rating is driven by, among other things, assessing companies by free cash flow, capitalstructure and loan collateral values.

• The investment committee consists of four senior managing directors and one PM.The committee requires a consensus decision and examines information such as financialsand industry data on a real-time basis.

• The investment process is focused on fundamental analysis, with analysts using proprietaryanalytical tools that include a standardized credit database covering a substantial portion ofthe leveraged loan market.

Controls• Formalized surveillance process in daily meetings covering all aspects of portfolio analysis,

including performance against benchmark, as well as credit-specific events.• LCM has compliance and governance processes in place to support accuracy of trading,

portfolio management and administration functions.• Extensive internal controls and review procedures to ensure the accuracy, reliability and

timeliness of analytical inputs.• Real-time credit-risk monitoring process supported by appropriate proprietary credit-risk

modeling and analytics.Operations• LCM has a strong focus on efficiency and uses robust proprietary systems and quantitative

analysis to assist in credit surveillance and monitoring efforts.• Regular interaction and communication, as evidenced through daily reconciliation with the

trustee for all CLO transactions.• Systems and servicer interactions allow for continuous asset monitoring and daily cash flow

reconciliation to determine the impact of actions on portfolios.Technology• Portfolio management and credit analysis are done fully in-house, supplemented by the use

of third-party analytical resources such as Bloomberg, CDO Suite and Wall StreetOffice (WSO).

• Integrated and flexible platform based on a combination of proprietary analytics and third-party administration systems.

• Appropriate use of widely accepted industry systems such as CDO Suite and WSO forportfolio management and administration.

• LCM uses a proprietary system, CAPM, to integrate credit analysis, portfolio management,trade processing, loan servicing and trustee and investor reporting.

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172Marathon Asset Management, LP

Marathon Asset Management, LPMarathon Asset Management, LP (Marathon) is a global credit and fixed-income manager. The company invests in a combination of securities, loans and structured products across the capital structure. Marathon has been an active CLO issuer since 2005; it currently manages approximately USD2.0 billion through eight U.S. CLOs. As of Sept. 30, 2016, assets under management (AUM) totaled approximately USD13.2 billion.

Firm ProfileRegion(s) of Operation U.S.Address One Bryant Park, 38th Floor

New York, NY 10036Firm Type Hedge fund sponsored CLO managerYear Established 1998Assets Under Management USD13.2 Bil.Total Employees/Investment Professionals 150/80Active CLOs Under Management 5Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention USD300 Mil.Key Affiliates (Global) MCAP Global Finance (UK) LLP — Subsidiary

Marathon Asset Management Singapore Pte. Ltd. — Subsidiary Marathon Risk Retention GP, LLC — Subsidiary



CLO Team Leader(s) Andrew Brady, Jason FriedmanCLO Portfolio Managers (PMs)/Avg. Experience 2/22 Years

Credit Analysts, Non-PMs/Avg. Experience 15/13 Years 2/10 YearsLoan Team Credits Per Analyst (including PMs) 25 25Approximate No. of Invested Credits 325

02468

101214

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

Global Assets Under Management

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Marathon Asset Management, LP 173

Europe17.5%

U.S.79.9%

Other2.6%

Global AUM By Region

CLOs24.9%

Managed Funds46.4%

Managed Accounts

28.7%

Global AUM By Product Type


Name Title Role Firm IndustryLouis Hanover Partner, CIO Oversight Committee Member 19 31Andrew Brady Managing Director,

Executive Committee MemberCo-Head of CLOs and Leveraged Loans 13 22

Jason Friedman Managing Director, Executive Committee Member

Co-Head of CLOs and Leveraged Loans 10 23

Jamie Raboy Partner, Chief Risk Officer Oversight Committee Member 19 26Vijay Srinivasan Managing Director,

Executive Committee Member Oversight Committee Member 10 20


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRMCLO 1 4/05 Called 330 0 N N — — —MCLO II 12/05 Called 411 0 N N — — —Marathon Financing I BV 12/06 Called 1,100 0 N N — — —MCLO IV 4/12 Amortizing 356 240 N N — — —MCLO V 1/13 Reinvesting 614 614 N N — — —MCLO VI 4/14 Reinvesting 490 490 Y N — — —MCLO VII 11/14 Reinvesting 461 461 Y N — — —MCLO VIII 7/15 Reinvesting 461 461 Y N — — —Total 4,223 2,266


CLOs17.0%

Other57.0%




Othera

95.0%


aOther includes bank (2.0%).

Family Office/High

Net Worth5.0%

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174 Marathon Asset Management, LP

Marathon Asset Management, LP

MCAP Global Finance (UK) LLP Marathon Asset ManagementSingapore Pte. Ltd.

100% 100%


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Marathon Asset Management, LP 175

The Fitch ViewKey Considerations• Diversified credit platform by asset class and investment vehicle, so no overreliance on

increasing AUM by issuing additional CLOs. Diversified and well-established investor baseshown through repeat investing with the firm.

• Resources to the CLO platform are strong. The CLOs are supported by an experiencedoperations staff and sophisticated technology platforms. The risk management function isespecially strong relative to peers.

Company• Established in 1998, the firm consists of about 150 employees, including 83 investment

professionals and more than 65 members in operations. Marathon has offices in New York,London and Singapore.

• Bruce Richards and Louis Hanover are Marathon’s managing partners. The senior teammembers have worked together for 19 years and have 26 years of industry experienceon average.

• Marathon has issued eight CLOs with a total notional value of USD4.2 billion. Three of theseCLOs were issued before the financial crisis. CLO issuance is contingent on the convictionthat market conditions for both loan and CLO liabilities are beneficial for investors.

• Marathon was one of nine managers selected by the Federal Reserve to managePPIP funds.

Investments• The firm actively manages CLO portfolios through bottom-up, fundamental credit research.

The investment process centers on strong-conviction investing with a focus on downsideprotection analysis and a review of the full capital structure of companies.

• The investment strategy is to find the best performing credits, with recovery given default aprimary focus, which may mean the company is comfortable working through restructuring orinvesting in names the broader market may be selling due to credit concerns.

• Marathon typically finds investment opportunities among smaller issuers, especially incurrent loan market conditions, with larger, more liquid names trading at high levels.

• Significant experience at the senior level. The 15-member executive committee averages 26years of industry experience. The executive committee meets weekly and identifies marketthemes, trends and risks. Marathon has 19 portfolio managers/traders.

Controls• Marathon is an investment adviser registered with the SEC. MCAP Global Finance (UK)

LLP, its affiliate, is registered with the U.K. Financial Conduct Authority.• In-house workout team includes legal and restructuring professionals.• The firm conducts potential downside analysis and stress testing for all credits. Rebalancing

is based on credit evolution and relative value.• Marathon has compliance and governance processes and policies in place to support the

accuracy of trading, portfolio management and administration functions.Operations• The leveraged loan team has a three-person, dedicated CLO operations unit, in addition to a

four-member risk management team.• Cash balances, positions, trades, settlements and financings are verified daily and confirmed

with prime brokers and trustees.• Marathon uses Wall Street Office to run daily CLO compliance testing and pro forma trades.Technology• Marathon has established a robust proprietary asset management system for managing

loans and CLO portfolios. Additionally, the system incorporates real-time data and generatesa variety of reports that provide portfolio, pricing and position data.

• Data subscriptions include Markit Group Limited for loan pricing.• All company systems are backed up daily.

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176 Marble Point Credit Management LLC

Marble Point Credit Management LLCMarble Point Credit Management LLC (Marble Point) is a specialist asset manager that focuses exclusively on senior secured loans. The firm was founded by Thomas Shandell in partnership with Eagle Point Credit Management LLC (Eagle Point). In addition, Sumitomo Mitsui Trust Bank, Limited and GreensLedge Holdings are strategic partners. In December 2016, Marble Point acquired the CLO management contracts of eight CLOs with majority equity positions in seven of those CLOs from American Capital CLO Management, LLC (ACCLOM). As of Dec. 31, 2016, Marble Point had USD3.5 billion in AUM.

Firm ProfileRegion(s) of Operation U.S.Address 20 Horseneck Lane

Greenwich, CT 06830Firm Type Independent CLO-focused managerYear Established 2016

USD3.5 Bil.Assets Under Management Total Employees/Investment Professionals 14/7Active CLOs Under Management 7Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) (U.S.)/

Originator (Europe)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Eagle Point Credit Management LLC



CLO Team Leader(s) Thomas ShandellCLO Portfolio Managers (PMs)/Avg. Experience 1/32 Years


Europe5.4%

U.S.90.8%

Other3.8%

Loan AUM By Region

CLOs97.0%

Othera

3.0%


aComprises managed funds.

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Marble Point Credit Management LLC 177


Name Title Role Firm IndustryThomas Shandell Chief Executive Officer and

Chief Investment Officer of Marble Point N.R. 1 32Thomas Majewski Managing Partner of Eagle Point N.R. 1 21Daniel Spinner Principal at Eagle Point N.R. 1 20



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRMP CLO II 9/12 Called 362 240 Y Y Originator — HorizontalMP CLO III 3/13 Reinvesting 414 414 N Y Originator — HorizontalMP CLO IV 9/13 Reinvesting 414 414 Y N — — —MP CLO V 7/14 Reinvesting 619 619 Y Y Originator — HorizontalMP CLO VI 11/14 Reinvesting 411 411 Y Y Originator — HorizontalMP CLO VII 7/15 Reinvesting 552 552 Y Y Originator — HorizontalMP CLO VIII 8/15 Reinvesting 510 510 Y Y Originator — HorizontalMP CLO IX 7/15 Amortizing 405 374 Y N — — —Total 3,688 3,535


Marble Point Credit Management Ownership Group

Marble Point Management Team

Sumitomo Mitsui Trust Bank

Consortium of Institutional Investors

Marble Point Credit Management

Eagle Point Credit Management LLC

Greens | Ledge


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178 Marble Point Credit Management LLC

The Fitch ViewKey Considerations• Marble Point acquired the CLO management platform from ACCLOM at the end of 2016 and

hired several of its key employees to aid in the transition.• Marble Point has a shared services agreement with Eagle Point, which manages publicly

listed and registered vehicles.• Rapid growth due to the ACCLOM acquisition could potentially create challenges in the

administration of the current and new CLOs. However, this is mitigated by the significantexperience of the senior investment team and strategic relationships with sizablemarket participants.

Company• Marble Point is a specialist asset manager that focuses exclusively on secured loans.

The company was formed in 2016 by GoldenTree loan management veteran Shandell andEagle Point.

• In December 2016, Marble Point acquired the CLO management contracts of eight CLOs,with majority equity positions in seven of those CLOs from ACCLOM.

• Eagle Point, Sumitomo Mitsui Trust Bank, Limited and GreensLedge Holdings are strategicpartners of Marble Point.

Investments• Planned CLO management style is active trader seeking to improve portfolios through

relative-value trades intended to build par, optimize portfolio yield or reduce risk.• Marble Point employs a fundamentally driven, bottom-up investment philosophy anchored by

relative-value analysis.• Marble Point has a seven-member credit investment team with an average of 18 years

of experience.• Credit decision process relies heavily on model-driven analysis incorporating quarterly

historical and projected financial performance that highlights earnings, profit margins,leverage and free cash flow, among other metrics.

• Formal investment committee comprises a subset of Marble Point’s board of managers.The committee delegated certain of its investment authority to senior members of MarblePoint’s investment team.

Controls• Marble Point’s shared services provider, Eagle Point, currently manages an NYSE-listed

registered investment company and thus has robust compliance and back-office structuresto comply with those standards and other GIPS-compliant standards.

• Marble Point has adopted a formal code of ethics and policies and procedures to mitigatepotential conflicts of interests created by its relationship with Eagle Point or other affiliates.

• Pre- and post-trade relative-value analysis is performed at both the trade and portfolio levelon a daily basis.

• The firm monitors indenture compliance daily to review any issues from the current and/orprevious day’s trading.

Operations• Operational procedures are supported by a finance and operational administration team and

industry-standard tools such as Wall Street Office (WSO) for loan/CLO administration.• Standard trustee reporting is provided to investors, and portfolio managers are available for

investor inquiries.Technology• Marble Point uses both widely accepted industry systems and proprietary systems for

portfolio management and administration, including WSO, Markit Loans, Inc.,BlackMountain, Bloomberg and rating agency data feeds and research.

• Business continuity services and appropriate disaster recovery processes are regularlytested and include regular data backups throughout the day.

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179 MidOcean Credit Fund Management LP

MidOcean Credit Fund Management LPMidOcean Credit Fund Management LP (MidOcean) is a New York-based investment manager that specializes in bank loans, high-yield bonds, credit derivatives and equities. MidOcean was formed in 2009; as of Dec. 31, 2016, it had USD4.8 billion in assets under management (AUM) and managed six U.S. CLOs.

Firm ProfileRegion(s) of Operation U.S.Address 320 Park Avenue, Suite 1600

New York, NY 10022Firm Type Limited Partnership (LP)Year Established 2009Assets Under Management USD4.8 Bil.Total Employees/Investment Professionals 27/19Active CLOs Under Management 6Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not Reporteda

Key Affiliates (Global) —aEmployee capital to be provided.



CLO Team Leader(s) Jim Wiant CLO Portfolio Managers (PMs)/Avg. Experience 1/18 Years


0.0

1.0

2.0

3.0

4.0

5.0

2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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MidOcean Credit Fund Management LP 180

High Yield

Bonds33.0%

CLOs52.0%

Other2.0%


Broadly Syndicated

Loans13.0%

CLOs52.0%

Managed Accounts

16.0%

Other32.0%



Name Title Role Firm IndustryRobert S. (Steve) Miller Chairman — 8 48J. Edward (Ted) Virtue Chief Executive Officer — 8 34Steve Shenfeld Managing Director President 8 32Michael Apfel Managing Director Portfolio Manager 8 25Bryan Dunn Managing Director Portfolio Manager 7 23Jim Wiant Managing Director Portfolio Manager 8 18


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRMidOcean CLO la 12/12 Reinvesting 400 325 Y N — — —MidOcean CLO ll 12/13 Reinvesting 400 403 Y N — — —MidOcean CLO lll 6/14 Reinvesting 500 501 Y N — — —MidOcean CLO IV 2/15 Reinvesting 400 401 Y N — — —MidOcean CLO V 5/16 Reinvesting 400 401 Y N — — —MidOcean CLO VI 11/16 Reinvesting 400 401 Y N — — —Total 2,500 2,432aRefinanced November 2016. VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

U.S. 100%

Loan AUM By Region

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181MidOcean Credit Fund Management LP

MidOcean CreditFocus Fund I L.P.

MidOcean CreditOpportunity IDF L.P.

MidOcean Tactical Credit Fund, LP

Midocean Credit CLO I-VI

MidOcean Absolute Target Return

Fund I L.P.

MidOcean Absolute Return Credit Master

Fund Ltd.

MidOcean Credit Opportunity

Master Fund L.P.

MidOcean Credit Fund Management LP

(Investment Adviser)

Ultramar Credit Holdings Ltd.(Owner of GPs of Funds)

Ultramar Capital Ltd.


PRINT M.indd 197 4/7/2017 12:50:52 PM

182Monroe Capital, LLC

Monroe Capital, LLCMonroe Capital, LLC (Monroe) is a Chicago-based lender that was founded in 2004. An established investment management and origination platform that manages both middle-market and broadly syndicated loans, Monroe had assets under management (AUM) of USD4.0 billion as of Dec. 31, 2016, including three CLOs, a public business development company (BDC) and multiple private funds and managed accounts.

Firm ProfileRegion(s) of Operation U.S.Address 311 South Wacker Drive, Suite 6400

Chicago, IL 60606Firm Type 100% employee ownedYear Established 2004Assets Under Management USD4.0 Bil.Total Employees/Investment Professionals 74/43Active CLOs Under Management 3Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) N.A.




CLO Team Leader(s) Jeremy VanDerMeidCLO Portfolio Managers (PMs)/Avg. Experience 3/21 Years


0.0

1.0

2.0

3.0

4.0

5.0

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


PRINT M.indd 199 4/7/2017 12:50:53 PM

Monroe Capital, LLC 183

Middle Market Loans

90.0%


BroadlySyndicated

Loans10.0%

Loan AUM By Region

Europe1.0%

U.S.98.0%

Other1.0%


CLOs24.2%

Managed Accounts

45.2% Other10.5%

Managed Funds20.1%


Name Title Role Firm IndustryTheodore Koenig Chief Executive Officer and

PresidentChief Executive Officer and President 12 32

Michael Egan Chief Credit Officer Chief Credit Officer 12 32Thomas Aronson Managing Director Head of Originations 12 32Zia Uddin Managing Director Portfolio Manager 9 23Aaron Peck Managing Director Portfolio Manager 4 23Jeremy VanDerMeid Managing Director Portfolio Manager 10 18Alex Franky Managing Director Head of Underwriting 11 24Carey Davidson Managing Director Head of Capital Markets 2 17


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRMonroe Capital CLO 2014-1 9/14 Reinvesting 358 351 Y Y Originator — HorizontalMonroe Capital BSL CLO 2015-1 5/15 Reinvesting 412 402 Y Y Originator CMV HorizontalMonroe Capital MML CLO 2016-1 7/16 Reinvesting 305 300 Y Y Originator CMV HorizontalTotal 1,075 1,053


Othera

27.0%


Endowment6.0%

Pension/Retirement

67.0%

aIncludes insurance (4.0%) and bank (2.0%).

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184Monroe Capital, LLC

Monroe Capital Senior Management

Monroe Capital Management Advisors, LLC(Registered Investment Adviser)

Monroe Capital Management LLC

Collateral Management Agreements

Monroe Capital CLO 2014-1, LTD.Monroe Capital BSL CLO 2015-1, LTD.Monroe Capital MML CLO 2016-1, LTD.


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Monroe Capital, LLC 185

The Fitch ViewKey Considerations• Senior portfolio management staff with depth and experience in loan investing.• Steady and focused hiring in all areas, including underwriting and operations.• Strong operations, compliance and CLO administration platform.Company• Established in 2004, Monroe has eight offices located throughout the U.S. and Canada and

is 100% owned by its senior management team.• Senior management team averages 25-plus years’ industry experience.• Monroe’s origination team is focused on all industry segments, with dedicated professionals in the

healthcare, technology, media, retail and consumer products, and specialty finance verticals.• In addition to its three outstanding CLOs with approximately USD1.0 billion in loan assets,

Monroe oversees roughly USD2.5 billion in assets through private capital vehicles.An affiliate, Monroe Capital BDC Advisors, LLC, also operates a BDC (NASDAQ: MRCC)with assets at approximately USD419 million.

• Monroe believes its participation across both the middle market and broadly syndicated loanmarket is a competitive advantage.

• Monroe typically participates in the equity shares of its CLO transactions.Investments• The investment team has 43 professionals with an average of more than 16 years of credit,

private equity and investment experience. Seventeen of those professionals are dedicated toorigination of new deals.

• USD2.5 billion of Monroe’s managed loans are originated and agented by Monroe.• Monroe relies on fundamental analysis supplemented by quantitative analytics and portfolio

management techniques.• Eight-member formal investment committee, with unanimous approval required.• Healthy deal flow of over 2,000 transactions annually, of which only 150–200 will ultimately

receive investment committee approval. • Monroe has a strong and experienced team of 20 underwriters, who typically manage between 15

and 25 loans depending on type (directly originated versus broadly syndicated).• Monroe utilizes an internal grading system to identify credits in need of heightened attention.

Monthly and quarterly meetings are held with investment committee, portfolio managers andanalysts to discuss the portfolio and individual credits. Ratings on a scale of 1–5 are continuouslymaintained and determine if corrective action will be necessary.

Controls• Risk management is managed by the chief compliance officer as well as the managing

director of operations and compliance.• Daily portfolio compliance is conducted by both the portfolio management team and

Monroe’s compliance group.• Monroe has engaged a third-party SEC compliance consultant to assist with maintaining

strict adherence to various regulations.• Monroe maintains appropriate separation of publicly and privately available information when

making investment decisions.Operations• Monroe has a dedicated 19-member compliance/operations/finance/legal team led by a

managing director with over 23 years of credit/compliance/finance experience.• Operations staff performs daily reconciliation of CLO cash and positions through CDO

Sentry and the trustee. CDO Sentry is used to feed monthly management reporting.Operations staff is also responsible for daily cash management and interaction withagent banks.

• Overall operations platform is highly scalable for a growing CLO portfolio.Technology• Ongoing maintenance and support of IT systems and network are provided by mindSHIFT

Technologies, Inc.• CDO Sentry support is provided by ClearStructure.• Remote access to the Monroe network is provided for employees.

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186Napier Park Global Capital (US) LP

Napier Park Global Capital (US) LPNapier Park Global Capital (US) LP (Napier Park) is an independent alternative asset management firm focused on investment opportunities in specialized credit. As of Dec. 31, 2016, Napier Park had assets under management of USD7.6 billion, of which USD3.2 billion related to CLO Management. Napier Park established Regatta Loan Management LLC (RLM) in 2015 as an independent risk retention compliant (in U.S. and Europe) capitalized manager vehicle. RLM was created to manage future CLO transactions with Napier Park as structuring adviser and staff and services provider.

Firm ProfileRegion(s) of Operation GlobalAddress 280 Park Avenue, 3rd Floor

New York, NY 10017Firm Type Independent asset managerYear Established 2013

USD7.6 Bil.aAssets Under Management Total Employees/Investment Professionals 85/38 Active CLOs Under Management 7Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV)Dedicated Capital to Fund Risk Retention USD308 Mil.Key Affiliates (Global) Napier Park Global Capital — Parent


Leveraged Loan AUM USD3.2 Bil.a

Loans Managed via CLOs 100%

CLO Team Leader(s) Daniel Slotkin and Melanie HanlonCLO Portfolio Managers (PMs)/Avg. Experience 1/26 Years

Credit Analysts, Non-PMs/Avg. Experience Not Reported/13 YearsLoan Team Credits Per Analyst (including PMs) Not Reported Approximate No. of Invested Credits Not ReportedaData as of Dec. 31, 2016. Napier Park assets are inclusive of undrawn commitments as well as CLOs managed by Regatta Loan Management LLC, with which Napier Park has entered into a staff and services agreement and a structuring and advisory services agreement.

CLOs100.0%

Loan AUM By Product TypeTotal AUM By Asset TypeBroadly

SyndicatedLoans

100.0%

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Napier Park Global Capital (US) LP 187

U.S. Investment CommitteeExperience (Years)

Name Title Role Firm IndustryDaniel Slotkin Managing Director Business Head 4 25Melanie Hanlon Managing Director Head of Credit Research 4 24Robert O’Brien Managing Director Head Trader 4 20


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRDuane Street I 10/05 Matured 342 0 N N — — —Duane Street II 7/06 Matured 416 0 N N — — —Duane Street III 12/06 Matured 539 0 N N — — —Regatta I 3/07 Matured 750 0 N N — — —Duane Street IV 8/07 Amortizing 425 211 N N — — —Regatta II 2/13 Reinvesting 400 407 N N — — —Regatta III 3/14 Reinvesting 475 472 N N — — —Regatta IV 6/14 Reinvesting 600 597 N N — — —Regatta V 11/14 Reinvesting 500 500 N N — — —Regatta VIa 5/16 Reinvesting 400 401 Y N Originator CMV HorizontalRegatta VIIa 10/16 Reinvesting 400 400 Y N Originator CMV HorizontalTotal 5,247 2,988aManaged by Regatta Loan Management LLC. VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.

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188Napier Park Global Capital (US) LP

The Fitch ViewKey Considerations• Napier Park has entered into a staff and services agreement and a structuring and advisory

services agreement with RLM, the retention holder for the purposes of risk retention requirements.• Napier Park has stability in terms of senior portfolio management. These managers average

more than 22 years’ experience in the loan market and have worked together as a team forover 15 years.

Company• Through the staff and services agreement, Napier Park provides credit research, risk

management services, a legal and compliance team, a finance team, technology, reporting,loan execution and certain other middle- and back-office support on an exclusive basis toRLM-managed CLOs.

• RLM was established by Napier Park in response to risk retention regulations. RLM’s primarybusiness consists of acting as collateral manager for CLO transactions and relatedwarehouse facilities and as a holder of CLO retention interests in both the U.S. and Europe.

• Napier Park managed USD3.2 billion in CLO vehicles and another USD8.0 billion in differentleveraged loan vehicles as of Dec. 31, 2016. In August 2011, Napier Park assumed themanagement contracts of four Duane Street CLOs from DiMaio Ahmad Capital LLC.

• Senior portfolio managers have an average of 23 years’ corporate loan experience and haveworked together for over 15 years.

• In addition to portfolio managers, the CLOs are supported by seven credit analysts with anaverage of 13 years’ experience.

Investments• Napier Park has an active portfolio management strategy focusing on principal preservation,

supplemented by continuous evaluation of relative value and market standards.• The investment committee consists of three senior managing directors. Portfolio reviews and

investment decisions are driven from bottom-up credit analysis supported by proprietary research.• Watch list analysis includes perception of risk and potential for loss with a focus on financial

performance, liquidity, industry deterioration and management dynamics.• There is a formalized ongoing surveillance through daily review of relevant news related to

names in the portfolio, the general economic and loan environment, price movements,relative value, industry developments and cash positions.

Controls• Automated daily credit-risk monitoring process to track portfolio positions and key risks.• The company has multiple levels of review and oversight to support accuracy of trading,

portfolio management and administration functions.• Investment risk and CLO performance are monitored through daily reports received by Virtus.• Risk, valuation, fiduciary, new product and technology steering committees provide

comprehensive oversight and governance.Operations• Portfolio management and credit analysis are conducted fully in-house, supplemented by the

use of third-party analytical resources, including Bloomberg, CDO Suite, ALPS and Geneva.• Reporting services to investors are transparent, investor-centric and well aligned to

underlying asset classes, providing historical data as well as risk analytics.• There is an established relationship with Virtus and the trustee for a seamless loan

processing platform.Technology• An integrated and flexible platform is based on a combination of proprietary analytics and

third-party administration systems, including widely accepted industry systems such as CDOSuite, ALPS and Virtus.

• Front‐ to middle‐office position monitoring and order management systems are efficientand robust.

• The business continuity plan is appropriate and tested annually.

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189Neuberger Berman Group LLC

Neuberger Berman Group LLCFounded in 1939, Neuberger Berman Group LLC (Neuberger Berman) is active across awide range of investment types, including equities, fixed income, hedge funds and private equity. As of Dec. 31, 2016, Neuberger Berman and its subsidiaries had USD225 billion inassets under management (AUM).

Firm ProfileRegion(s) of Operation U.S./EuropeAddress 1290 Avenue of the Americas

New York, NY 10104Firm Type Multistrategy asset management Year Established 1939Assets Under Management USD225 Bil.Total Employees/Investment Professionals 1,573/432 (U.S.); 161/56 (Europe)Active CLOs Under Management 13 (U.S.); 1 (Europe)Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) (U.S.);

Originator (Europe)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Neuberger Berman Investment Advisers LLC (NBIA);

Neuberger Berman BD LLC (NB BD LLC);Neuberger Berman Loan Advisers LLC (NBLA)

Loan Management ProfileRegion(s) U.S./Europe

Leveraged Loan AUM USD11.5 Bil.Loans Managed via CLOs Not Reported

CLO Team Leader(s) Stephen Casey, Joseph Lynch, Pim van Schie (U.S.); Martin Rotheram (Europe)

CLO Portfolio Managers (PMs)/Avg. Experience 4/22 Years (U.S.); 1/16 Years (Europe)

Credit Analysts, Non-PMs/Avg. Experience 19 (U.S); 5 (Europe)/11 Years globallyLoan Team Credits Per Analyst (including PMs) 20–30Approximate No. of Invested Credits 150–225

02468

101214

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Neuberger Berman Group LLC 190

Europe16.2%

U.S.74.6%

Other9.2%

Loan AUM By Region

U.S. and European Credit Committee Experience (Years)

Name Title Role Firm IndustryStephen Casey Managing Director Loans Senior Portfolio Manager 13 20Joseph Lynch Managing Director Loans Senior Portfolio Manager 13 19Tom O’Reilly Managing Director Head of Global Non-Investment Grade

Credit Team and Senior Portfolio Manager 19 27Dan Doyle Managing Director High Yield/Loan Senior Portfolio Manager 4 32Russ Covode Managing Director High Yield Senior Portfolio Manager 12 28Patrick Flynn Managing Director High Yield Senior Portfolio Manager 10 24Andrew Wilmont Managing Director European High Yield Portfolio Manager 2 19Martin Rotheram Managing Director Loan Portfolio Manager 10 15Vivek Bommi Managing Director High Yield Senior Portfolio Manager 9 18Christopher Kocinski Managing Director Director of Global Non-Investment Grade

Credit Research 10 11Steven Ruh Senior Vice President High Yield Senior Research Analyst 9 11


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRLightPoint CLO 2004-1 1/04 Called 306 0 N N — — —Premium Loan Trust I 11/04 Called 259 0 N N — — —LightPoint CLO III 6/05 Called 499 0 N N — — —LightPoint CLO IV 4/06 Called 363 0 N N — — —Airlie CLO 2006-1 4/06 Called 400 0 N N — — —

VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention. Continued on next page.

High Yield

Bonds10.5%

Othera

89.5%


aIncludes investment-grade bonds (20.5%), other structured products (2.9%), broadly syndicated loans (2.3%) and CLOs (2.2%).

CLO Investors

48.3%

Othera

26.6%


aIncludes insurance (3.0%).

Pension/Retirement

25.0%

Managed Funds25.0%Managed

Accounts72.8%

Othera

2.2%



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191 Neuberger Berman Group LLC


Name Pricing Status(USD Mil.) EU RR U.S. RR Form

Original Current VR CRR Method Method of RRLightPoint CLO V 8/06 Called 588 0 N N — — —LightPoint CLO VII 5/07 Amortizing 450 122 N N — — —LightPoint CLO VIII 7/07 Called 500 0 N N — — —Neuberger Berman CLO XII 8/12 Amortizing 400 371 Y N — — —Neuberger Berman CLO XIII 12/12 Reinvesting 415 396 N N — — —Neuberger Berman CLO XIV 5/13 Reinvesting 412 400 N N — — —Neuberger Berman CLO XV 10/13 Reinvesting 411 400 Y N — — —Neuberger Berman CLO XVI 2/14 Reinvesting 572 550 Y N — — —Neuberger Berman CLO XVII 6/14 Reinvesting 566 550 Y N — — —Neuberger Berman CLO XVIII 11/14 Reinvesting 513 500 Y N — — —Neuberger Berman CLO XIX 6/15 Reinvesting 410 402 Y N — — —Neuberger Berman CLO XX 10/15 Reinvesting 508 501 Y N — — —Neuberger Berman CLO XXI 3/16 Reinvesting 360 360 Y N — — —Neuberger Berman CLO XXII 9/16 Reinvesting 400 400 Y N — — —Neuberger Berman CLO XXIII 11/16 Reinvesting 400 400 Y N — — —Total 8,732 5,352



Portfolio Balance (EUR Mil.) EU RRc FormName Pricing Status Original Current VR CRR Method of RRMarquette US/European CLO PLC 7/06 Called 245 0 N N — —LightPoint Pan-European CLO 20 (PE 2006) 1/07 Called 325 0 N N — —LightPoint Pan-European CLO 20 (PE 2007) 11/07 Reinvesting 352 111 N N — —Total 922 111


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Neuberger Berman Group LLC 192

Neuberger Berman Group LLC

NBSH ACQUISITION, LLC100% Employee Owned

Neuberger Berman LLC(Equity Investment Adviser

and Broker Dealer)

Neuberger BermanFixed Income LLC

(Fixed IncomeInvestment Adviser)

Neuberger BermanManagement LLC

(Mutual Funds InvestmentAdviser and Limited

Purpose Broker Dealer)

Neuberger BermanEurope Limited

(European Distribution and Investment Adviser)

Neuberger BermanAsia Limited

(Asian Distribution and Investment Adviser)

Neuberger BermanEast Asia Limited

(Japan and South Korea Distribution and

Investment Adviser)

aNeuberger Berman Trust Company N.A. and Neuberger Berman Trust Company of Delaware N.A.

Neuberger BermanSingapore Pte. Limited(Singapore Distribution

and Investment Adviser)

Neuberger BermanTaiwan Limited

(Taiwan Distribution)

Neuberger BermanAustralia Pty. Limited(Australia Distribution)

NB AlternativeInvestment

Management LLC(Hedge Fund Solutions

Investment Adviser)

NB AlternativesAdvisers LLC(Private Equity

Investment Adviser)

Neuberger BermanTrust Companiesa

(Investment, Fiduciary and Trust Services)


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193Neuberger Berman Group LLC

The Fitch ViewKey Considerations• Well-capitalized multistrategy asset management firm.• Depth of experience of senior managers providing effective leadership.• Well adhered to and consistent global investment philosophy and process.• Maintaining consistent CLO AUM given runoff of legacy CLOs continues to be a challenge in

slowing market conditions that affect new CLO issuance.Company• In 2009, Neuberger Berman became an independent, employee majority-controlled asset

management firm resulting from a management buyout from Lehman Brothers Holdings Inc.• CLOs are managed out of Neuberger Berman subsidiary Neuberger Berman Investment

Advisers LLC (NBIA). NBIA’s principal office is located in New York.• NBIA’s global non-investment-grade credit team had over 45 investment professionals

managing approximately USD39.2 billion as of Dec. 31, 2016.• NBIA has set up has set up a new capitalized majority-owned affiliate (C-MOA) named

Neuberger Berman Loan Advisers LLC (NBLA) to assist in compliance with risk retentionregulations. NBLA qualifies as a MOA of NBIA, which is the collateral manager of existingCLOs.

Investments• Focuses on companies with historically stable cash flows, liquidity and access to capital for

its loan investments.• Seeks to eliminate less liquid issuers (EBITDA less than USD100 million); most defaulted

and distressed securities; outliers and high default potential issuers.• The overall investment process is driven by long-standing credit best practices checklist.• Desired loan portfolio characteristics include average issuer size of 1%; maximum per issuer

of 5%; and an average of 125–175 issuers.Controls• Neuberger Berman has approximately 80 legal and compliance professionals globally.• Oversight is provided by independent Neuberger Berman risk management committee.• Neuberger Berman has a valuation committee comprising members from operations, risk

management, compliance, mutual fund accounting, trading and investment management.Committee meets monthly to review all fair valuations, daily as needed for fund valuations.

• Holds weekly morning meetings to review major credit events of the past week, reviewportfolio positioning and review expected returns and credit portfolio risk versus benchmarks.

Operations• Operations support for the CLO platform includes a team of nine professionals working on

trade settlement, portfolio reconciliation, and principal and interest reporting.• Primary CLO administration and compliance module used is Wall Street Office (WSO).• Daily CLO cash and position reconciliation with trustee; settled position reconciliation with

agent; system-to-system internal reconciliation.• Accurate information on ownership position for each asset held in its portfolios via direct link

to WSO.Technology• BlackRock’s Aladdin OMS system is used for pre-trade compliance and allocations.• Portfolio accounting systems include WSO and Portia.• Cortland Capital Management is used for bank loan settlements and private amendments.• The firm has developed a customized database containing detailed information on over

2,000 U.S. dollar- and euro-denominated credits. The database provides extensive financialand capital structure information on each issuer.

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194Newfleet Asset Management, LLC

Newfleet Asset Management, LLCNewfleet Asset Management, LLC’s (Newfleet) only line of business is investment management.Newfleet receives 100% of its revenue from managing fixed-income products. It provides investment management services to foundations, endowments, corporations, public funds, multi-employer plans and mutual funds. It has USD11.8 billion in assets under management (AUM), a majority of which is represented by mutual funds. Newfleet manages a variable insurance trust, four closed-end funds, three exchange-traded funds and an offshore fund. Newfleet's business also includes USD1.2 billion of institutional AUM, which consists of pension/E&F separate accounts, structured product (CLO/CDO) and sub-advisory.


Address 100 Pearl Street, 7th FloorHartford, CT 06103


Year Established 1989Assets Under Management USD11.8 Bil.

Total Employees/Investment Professionals 40/40Active CLOs Under Management 1Current/Planned Risk Retention Structure Capital to be provided directly by sponsor

Virtus Investment PartnersDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Virtus Investment Partners


Leveraged Loan AUM USD2.39 Bil. Loans Managed via CLOs 14.75%CLO Team Leader(s) David Albrycht, CFA, Kyle Jennings, CFA, Frank Ossino,

Jonathan Stanley, CFACLO Portfolio Managers (PMs)/Avg. Experience 3/21 Years


0.0

0.5

1.0

1.5

2.0

2.5

3.0

2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Newfleet Asset Management, LLC 195


Name Title Role Firm IndustryKyle Jennings Senior Managing Director Portfolio Manager 18 24Frank Ossino Senior Managing Director Portfolio Manager 4 21Jonathan Stanley Managing Director Portfolio Manager 15 19

U.S. CLOs Under ManagementCompliance

Portfolio Balance (USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRNewfleet CLO 2016-1 6/16 Reinvesting 356 355 Y — — — —Total 356 355


Europe2.8%

U.S.92.8%

Other4.4%

Loan AUM By Region

CLOs14.8%

Managed Funds85.3%


CLOs3.0%

Other27.6%





CLO Investors

3.0%

Other92.5%

Pension1.4%

Total AUM By Investor TypeInsurance

1.4%Insurance

1.4%

Family Office1.7%

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Broadly

196 Newfleet Asset Management, LLC

Virtus Investment Partners, Inc. (NASDAQ: VRTS)(Delaware, U.S.)

Virtus Partners, Inc.(Delaware, U.S.)

(Holding Company)

Newfleet Asset Management, LLCa

(Delaware, U.S.)(Registered Investment Adviser)

aNewfleet is one of 11 Virtus Investment Partners.


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197NewStar Financial, Inc.

NewStar Financial, Inc.NewStar Financial, Inc. (NewStar) is a credit asset manager focused on middle-market (MM) corporate credit and liquid credit strategies (broadly syndicated loans [BSL]). Founded in 2004, it provides a range of senior-secured debt financing options to fund working capital, growth strategies, acquisitions and equipment purchases for midsized businesses. As of Dec. 31, 2016, NewStar had approximately USD6.7 billion in assets under management (AUM).

Firm ProfileRegion(s) of Operation U.S.Address 500 Boylston Street, Suite 1250

Boston, MA 02116Firm Type Multistrategy asset managementYear Established 2004

USD6.7 Bil.Assets Under Management Total Employees/Investment Professionals 69/40Active CLOs Under Management 15Current/Planned Risk Retention Structure Flexible Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) —


Leveraged Loan AUM USD6.7 Bil.Loans Managed via CLOs >75%

CLO Team Leader(s) Scott D'Orsi, CFA (BSL), Mike Eisenstein, CFA (MM)CLO Portfolio Managers (PMs)/Avg. Experience 8/22 Years

Credit Analysts, Non-PMs/Avg. Experience 17Loan Team Credits Per Analyst (including PMs) 15–20Approximate No. of Invested Credits 450 (BSL)/240 (MM)

0.01.02.03.04.05.06.07.08.0

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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NewStar Financial, Inc. 198

Middle Market Loans

65.7%

Other1.5%


Broadly Syndicated

Loans32.8%

U.S. 99%

Other 1%

Loan AUM By Region


Name Title Firm IndustryTim Conway Chief Executive Officer 14 31Dan McCready Chief Investment Officer 4 31Scott D’Orsi Head of Liquid Credit Strategies 2 25Mike Eisenstein Treasurer 12 17

Note: Each PM that is assigned a loan is a member of the committee for that loan.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRNewStar Trust 2005-1 8/05 Called 375 0 — — — — —Avery Street CLO 3/06 Called 300 0 — — — — —NewStar Trust 2006-1 6/06 Called 500 0 — — — — —NewStar Trust 2007-1 6/07 Called 600 0 — — — — —Emerson Place CLO 7/07 Amortizing 350 120 — — — — —Lime Street CLO 8/07 Amortizing 400 236 — — — — —NewStar Credit Opportunities Funding II Ltd. 12/07 Called 560 0 — — — — —NewStar Trust 2009-1 1/10 Called 278 0 — — — — —NewStar Commercial Loan Funding 2012-2 12/12 Amortizing 325 279 Y Y Horizontal — —Longfellow Place CLO 2/13 Amortizing 515 515 Y — — — —NewStar Commercial Loan Funding 2013-1 9/13 Amortizing 400 383 Y Y Horizontal — —NewStar Commercial Loan Funding 2014-1 4/14 Reinvest. 348 348 Y Y Horizontal — —Staniford Street CLO 4/14 Reinvest. 414 414 Y — — — —NewStar Arlington Senior Loan Program 6/14 Reinvest. 400 400 Y — — — —Hull Street CLO 11/14 Reinvest. 515 515 Y — — — —NewStar Clarendon Fund CLO LLC 1/15 Reinvest. 400 400 Y Y Vertical — —NewStar Commercial Loan Funding 2015-1 3/15 Reinvest. 496 496 Y Y Horizontal — —NewStar Commercial Loan Funding 2015-2 9/15 Reinvest. 398 398 Y Y Horizontal — —NewStar Commercial Loan Funding 2016-1 3/16 Reinvest. 348 348 Y Y Horizontal — —Arch Street CLO 9/16 Reinvest. 410 410 Y Y Horizontal — —NewStar Berkeley Fund CLO LLC 11/16 Reinvest. 506 506 Y Y Vertical — —Total 8,838 5,768


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————

Role

199NewStar Financial, Inc.

NewStar Financial, Inc.Delaware Corp | Nasdaq: NEWS

Registered Investment Advisor (RIA)

NewStar Capital LLC (RIA)

Asset Management Operating Subsidiary

NewStar Asset Management LLCAsset Management

Operating Subsidiary

Various Funds (2) and CLOs (6) managed by NewStar Capital LLC

Financing Subsidiaries (11)

Managed CLOs (3)


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NewStar Financial, Inc. 200

The Fitch ViewKey Considerations• Experienced credit team with a history of proven credit performance. Diversified portfolio in terms

of sector and obligor concentration, with an emphasis on first-lien senior-secured loans.• Recent formation of venture with GSO Capital Partners (the credit division of Blackstone)

and FS Investments (formally Franklin Square Capital Partners) to expand MM lending andasset management activities.

• Continued growth of CLO business could be pressured given MM loan supply/demand dynamics.Company• Established in 2004, NewStar is a publicly held C corporation (NASDAQ: NEWS) that focuses on

MM leveraged loans; it had approximately USD6.7 billion in AUM as of Dec. 31, 2016.• Venture, formed in late 2014 with GSO Capital Partners (the credit division of Blackstone)

and Franklin Square Capital Partners via an investment of long-term capital, has helpedexpand NewStar’s MM lending and asset management activities.

• In October 2015, NewStar acquired Feingold O’Keeffe Capital (FOC), a Boston-basedalternative investment manager focused on broadly syndicated liquid loans withUSD2.3 billion of AUM through CLOs, credit hedge funds and customized accounts.

• FOC currently operates as NewStar Capital LLC, a wholly owned subsidiary a NewStarFinancial, Inc. The investment team and support staffs have been retained from FOC.

• In 2016, NewStar divested both the Business Credit and Equipment Finance business toshift focus to MM lending activities. Both businesses were sold at a premium to book valueand added to the liquidity position of the company. NewStar also sold nearly all of itsCommercial Real Estate assets.

Investments• NewStar’s firmwide investment objective is focused on target markets with defensive

industry orientation, consistent and predictable cash flows and businesses with strong andsustainable competitive advantage.

• The hold-to-maturity strategy employed by the MM team results in strong credit disciplineand minimal portfolio trading. However, it also results in greater participation in the resource-intensive workout process.

• CreditWizard, NewStar’s proprietary rating system used for its MM platform, assigns ratingson a 1–12 scale and combines a quantitative rating platform with a qualitative scorecard.

• The NewStar Capital BSL team adheres to a more active trading philosophy with the goal ofmaintaining acceptable levels of credit risk. CLO management practices include continuousportfolio optimization and early identification of heightened risk.

Controls• Strong focus on compliance from being publicly listed and having two registered investment

advisers (RIA).• Adequate back- and middle-office resources ensure efficient and adequate management of

CLOs and industry-standard controls.• Formalized, heightened monthly review and surveillance for potential problem credits, which

are assigned a monitored, watch list or high-attention credit designation.• Third-party vendor performs complete internal audit of all functions, providing additional oversight.Operations• NewStar’s CLO compliance group is independent of the Treasury team, resulting in clear

segregation of duties.• Daily reconciliation of cash and securities with trustee. Strong relationship and constant

communication with U.S. Bank, as trustee.• Administrative capabilities reflect a highly qualified and experienced staff interacting with

appropriate systems and processes.Technology• NewStar utilizes both proprietary and best-in-class systems, including CreditWizard (an

internal rating system that combines a quantitative rating platform with a qualitativescorecard system to determine obligor risk ratings and loss given default). Everest and WallStreet Office are used by both the MM and BSL teams.

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201NXT Capital Investment Advisers, LLC

NXT Capital Investment Advisers, LLCNXT Capital Investment Advisers, LLC (NXT Advisers) is a wholly owned subsidiary of NXT Capital, LLC, a middle-market commercial finance company that was founded by former employees of Merrill Lynch Capital and Heller Financial. NXT Advisers was formed in 2011; as of Dec. 31, 2016, it had assets under management (AUM) totaling USD3.7 billion, all invested in middle-market loans.


Address 191 North Wacker Drive, 30th FloorChicago, IL 60606, U.S.


Year Established 2011USD3.7 Bil.Assets Under Management


Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) NXT Capital, LLC



CLO Team Leader(s) John FinnertyCLO Portfolio Managers (PMs)/Avg. Experience 3/25 Years

Credit Analysts, Non-PMs/Avg. Experience 36/10 Years Loan Team Credits Per Analyst (including PMs) 8Approximate Number of Invested Credits 161

0.00.51.01.52.02.53.03.54.0

2012 2013 2014 2015 2016


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NXT Capital Investment Advisers, LLC 203

CLOs34.0%

Managed Funds49.0%

Managed Accounts

17.0%



Name Title Role Firm IndustryRobert E. Radway Chairman CEO 7 29John A. Finnerty Senior Managing Director PM 7 29Joseph N. Lazewski Managing Director PM 7 19


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRNXT Capital CLO 2012-1 4/12 Amortizing 300 204 Y Y Originator — HorizontalNXT Capital CLO 2013-1 3/13 Amortizing 350 308 Y Y Originator — HorizontalNXT Capital CLO 2014-1 4/14 Reinvesting 350 354 Y Y Originator — HorizontalNXT Capital CLO 2015-1 4/15 Reinvesting 400 403 Y Y Originator — HorizontalTotal 1,400 1,269VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

Middle Market Loans

100.0%


U.S.100.0%

Loan AUM By Region

CLO Investors

34.0%

Other66.0%


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204NXT Capital Investment Advisers, LLC

NXT Capital, Inc.

NXT Capital, LLC

NXT Capital SeniorLoan Fund II GP, LLC

NXT CapitalInvestment

Advisers, LLC

NXT Capital SeniorLoan Fund IV GP, LLC

NXT Capital SeniorLoan Fund III GP, LLC


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NXT Capital Investment Advisers, LLC 205

The Fitch ViewKey Considerations• Highly experienced senior team with long history of working together.• NXT Advisers holds 100% of the equity in its CLOs creating strong alignment with investors.• Employs a hybrid business model combining balance sheet lending and asset management.• NXT Advisers does not issue CLOs for arbitrage plays.Company• NXT Advisers, the CLO collateral manager, is a wholly owned subsidiary of NXT Capital, LLC, a

middle-market commercial finance company. The firm was formed in 2010 by former employees ofMerrill Lynch Capital and Heller Financial.

• NXT Advisers is headquartered in Chicago with seven offices located in major markets acrossthe U.S.

• The firm has two origination business lines, corporate finance and real estate finance, anda growing asset management business that invests in loans originated by the corporatefinance team.

• CLOs provide a source of balance sheet financing for NXT Advisers and are not issuedfor arbitrage.

Investments• NTX Advisers’ portfolio management thesis centers on building granular, highly diversified, low

beta portfolios with strong recovery levels in distressed situations.• Typical hold sizes are less than USD20 million for NXT Advisers.• Adheres to clearly defined “credit boxes” as part of its loan underwriting process. The credit boxes

have been refined over the last 25 years to consistently build and maintain diversified portfolios.• NXT Advisers has a 36-member credit and risk management team with senior analysts averaging

13 years of leveraged lending experience.• A dedicated workout team is in place, with the rest of the team having workout experience as well.Controls• Proactive risk management culture, with activities including individual loan reviews, operational risk

management, risk rating implementation and monitoring, data governance, portfolio reporting andmanagement and maintaining and monitoring compliance with internal policies and procedures.

• All risk ratings on individual loans are updated monthly or quarterly. Risk ratings are initiallydetermined based on quantitative factors such as fixed charge coverage and loan to value.

• NXT Advisers’ internal loan review group monitors the accuracy and timeliness of loan risk ratings.• NXT Advisers utilizes a proprietary data warehouse that provides management dashboard and

portfoliowide exception reporting to ensure adherence to policies and procedures and effectiveoversight of its portfolios.

Operations• Loan servicing and CLO administration, including compliance monitoring, trustee tie out, and loan

settlements, are conducted in-house by a 25-member shared services team.• NXT Advisers uses CDO Sentry from ClearStructure as its front-end CLO portfolio management system.• Hypothetical (Hypo) trades based on deal team-provided information are run prior to all deal closings.Technology• NXT Advisers has a scalable technology platform that adequately supports the current needs of its

business, including applications, network and data storage.• Formal third-party audits provided by KPMG are conducted annually on NXT Advisers’ internal

technology controls as part of the company’s overall financial audit. No material weaknesses havebeen found in these audits.

• Formal business continuity plan is in place to ensure access to critical data and systems in theevent of an emergency, including limited or no access to NXT Advisers’ physical office locations.

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206NYL Investors LLC

NYL Investors LLCNYL Investors LLC (NYL Investors) is an affiliate of New York Life Investment Management LLC (NYLIM) and an indirect, wholly owned subsidiary of New York Life Insurance Company (New York Life), the largest mutual life insurance company in the U.S. Founded in 2013, NYL Investors provides institutional asset management, retail investment and retirement solutions services. As of Dec. 31, 2016, it had assets under management (AUM) totaling USD235 billion, of which USD13.5 billion was managed bythe high-yield credit group.

Firm ProfileRegion(s) of Operation U.S.Address 51 Madison Avenue

New York, NY 10010Firm Type Multistrategy asset managementYear Established 2013 (NYL Investors LLC)

2000 (New York Life Investment Management LLC)1845 (New York Life Insurance Company)USD13.5 Bil.Assets Under Managementa

Total Employees/Investment Professionals 400/80Active CLOs Under Management 8 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)/OtherDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) New York Life Insurance Company,

New York Life Investment Management LLC



CLO Team Leader(s) Robert Dial/Mark CampelloneCLO Portfolio Managers (PMs)/Avg. Experience 4/26 Years

Credit Analysts, Non-PMs/Avg. Experience 10/19Loan Team Credits Per Analyst (including PMs) 50Approximate No. of Invested Credits 500

02468

10121416

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)

High-Yield Credit Group Assets Under Management

Note: Includes loans and high-yield bonds.

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aHigh-yield credit group.

NYL Investors LLC 207

CLOs18.0%

Managed Funds64.0%

Managed Accounts

18.0%



Name Title Role Firm IndustryRobert Dial Managing Director Head of High Yield/Portfolio Manager 15 26Mark Campellone Managing Director Portfolio Manager/Head of Loan Trading 14 33Arthur Torrey Managing Director Portfolio Manager − Loans 11 24Paul Yee Managing Director Portfolio Manager/Head of HY Trading 16 27Elizabeth Standbridge Managing Director Portfolio Manager − Loans 13 21David Melka Senior Director Co-Head of Credit Research 19 28Jeanne M. Cruz Senior Director Co-Head of Credit Research 17 28


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RREnhanced Loan Facility III 10/01 Called 330 0 N N — — —NYLIM Flatiron 2003-1 7/03 Called 350 0 N N — — —NYLIM Flatiron 2004-1 10/04 Called 350 0 N N — — —NYLIM Flatiron 2005-1 8/05 Called 400 0 N N — — —NYLIM Flatiron 2006-1 6/06 Called 618 0 N N — — —Silverado 2006-II 10/06 Amortizing 350 106 N N — — —Flatiron CLO 2007-1 7/07 Amortizing 350 154 N N — — —Flatiron CLO 2011-1 12/11 Amortizing 354 195 N N — — —Flatiron CLO 2012-1 9/12 Amortizing 409 409 N N — — —Flatiron CLO 2013-1 11/13 Reinvesting 410 410 N N — — —Flatiron CLO 2014-1 6/14 Reinvesting 413 413 Y N — Other HorizontalFlatiron CLO 2015-1 2/15 Reinvesting 412 412 Y Y Originator Other HorizontalTCI-Flatiron CLO 2016-1(Sub-Adviser) 6/16 Reinvesting 408 408 Y Y Originator MOA HorizontalTotal 5,154 2,507VR − Volcker Rule. CRR − European Capital Requirements Regulation. RR – Risk retention.




CLO Investors

18.0%

Other15.0%


Insurance67.0%

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Broadly

208NYL Investors LLC

The Fitch ViewKey Considerations• Resources and support from New York Life are substantial and give the management team

added flexibility, especially in terms of executing portfolio ramp-up.• Cohesiveness of the loan team and experience of senior PMs and credit analysts.• Smaller new CLO issuance compared with other large institutional managers.Company• NYL Investors is an affiliate of NYLIM, one of the largest asset management firms in the

U.S., and is a wholly owned subsidiary of New York Life.• The high-yield credit group averages 20 years of experience through various credit cycles.• NYL Investors has the ability to leverage research, analytical and trading resources from its

parent, New York Life, as well as financial resources in the form of investments in CLOtransactions and credit lines for portfolio ramp-up.

• NYL Investors and its affiliates hold either an equity or debt interest in all of its transactions.Investments• The focus is on the higher credit quality portion of the loan market — generation of income

and avoidance of losses through credit selection.• The credit committee consists of five PMs and two co-heads of research.• Focus is on bottom-up analysis. Significant time is spent on discussions with management

and macro-level issues.• Credit approval is performed through a disciplined committee-based process in which an

analyst presents to the credit committee, which consists of senior members of the team.The committee package contents are driven by perceived risk and the team’s determinationof an internal credit rating.

• Credit selection process includes determination of portfolio suitability, which reflects a moreindividualized, portfolio-by-portfolio approach to investments.

• Credit analysts are generalists, covering on average three sectors and actively monitoringapproximately 50 credits.

Controls• Portfolio management takes place through daily monitoring as well as weekly, monthly and

quarterly in-depth reviews covering various aspects of the portfolio, including trends, relativevalue, financial statement analysis and new deals.

• The team focuses on credit work prior to purchase and monitoring for significant deviationsin performance.

• Consistent adherence to clearly articulated and balanced investment process.• Very high standards for risk management and control oversight structure.• NYL Investors has compliance and governance processes in place to support accuracy of

trading, portfolio management and administration functions.Operations• The high-yield credit group is supported by eight dedicated operations professionals and two

legal professionals. The overall operations group consists of 70 individuals.• Enterprise-level legal and compliance resources are provided to NYL Investors,

demonstrating commitment to best practices across the entities.• In-depth investor reporting includes a password-protected website that houses a manager

letter, monthly reports, information on quarterly payments, pricing information and commentary.• Administration is supported by well-documented procedures and active compliance

oversight functions.Technology• Integrated and flexible platform based on a combination of proprietary analytics and third-

party administration systems, including industry-standard systems such as BlackRock’sAladdin platform, Wall Street Office and Thomson Reuters LPC, among others.

• The business continuity plan is appropriate and regularly tested and includes nightly databackup to a remote secure location.

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209Oak Hill Advisors, L.P.

Oak Hill Advisors, L.P.Oak Hill Advisors, L.P. (including its affiliated investment advisers and predecessor firms, OHA) was founded in 1991 and has 273 employees across offices in six global locations. OHA invests in leveraged loans, high-yield bonds, structured products and distressed securities through managed accounts, managed funds and CLOs. As of Jan. 31, 2017,OHA had global assets under management (AUM) of approximately USD30.6 billion.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 1114 Avenue of the Americas, 27th Floor

New York, NY 1003645 Pall Mall, 4th FloorLondon, U.K. SW1Y 5JG

Firm Type Multistrategy asset managementYear Established 2001 2006 Assets Under Managementa USD30.6 Bil. globallyTotal Employees/Investment Professionals 245/63 25/15Active CLOs Under Managementa 13 5Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) UndeterminedDedicated Capital to Fund Risk Retention Undetermined UndeterminedKey Affiliates (Global) Oak Hill Advisors (Europe), LLP — AffiliateaAll AUM figures estimated as of Jan. 1, 2017, pro forma for capital flows during the month of January. Includes net asset value, portfolio value and/or unfunded capital. Uses respective U.S. dollar exchange rates as of month-end for any non-U.S. dollar assets. All uninvested capital (including cash) is allocated pro rata among applicable asset classes based on recent portfolio composition. Additional information on calculation methodology is available upon request. Note: All employee figures are as of March 2017. OHA has issued two risk retention-compliant CLOs in Europe, both of which rely on OHA Europe acting as the sponsor and retaining a vertical strip — that is, 5% of each tranche of offered debt and equity. OHA decided to act as an originator/manager for ECLO V, which closed on Jan. 25, 2017.


Leveraged Loan AUMa USD10.3 Bil. EUR1.7 Bil.Loans Managed via CLOs 68% 90%CLO Team Leader(s) Thomas Wong, Doug Henderson T.K. Narayan, Lucy PanterCLO Portfolio Managers (PMs)/Avg. Experience

1/18 Years 2/25 Years

Credit Analysts, Non-PMs/Avg. Experience 33/9 Years 11/10 YearsLoan Team Credits Per Analyst (includingPMs)b 100 100 Approximate No. of Invested Credits 270 globally

aAll AUM figures estimated as of Jan. 1, 2017, pro forma for capital flows during the month of January. Includes net asset value, portfolio value and/or unfunded capital. Uses respective U.S. dollar exchange rates as of month-end for any non-U.S. dollar assets. All uninvested capital (including cash) is allocated pro rata among applicable asset classes based on recent portfolio composition. Additional information on calculation methodology is available upon request. bEach corporate credit analyst typically covers between two and three industry sectors, with each senior analyst covering sectors jointly with a junior analyst. Each analyst is familiar, in total, with approximately 100 companies. Of the 100, approximately 30 credits are actively covered, and, in these cases, an analyst will have a model with a buy/hold/sell recommendation, actively monitor the company and maintain an ongoing relationship with management. The remaining approximately 70 companies constitute familiar names in the industry and are used for comparative analysis, as well as for competitor and valuation purposes.

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Oak Hill Advisors, L.P. 210

05

101520253035

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Total Assets Under Management(USD Bil.)

Otherc

22.8%

CLOs28.4%


BroadlySyndicated

Loansa

12.1%


aIncludes all leveraged loans excluding CLOs. bIncludes third-party CLOs. cIncludes distressed, RMBS assets and whole loans. Note: All AUM figures estimated as of Jan. 1, 2017, pro forma for capital flows during the month of January. Includes net asset value, portfolio value and/or unfunded capital. Uses respective U.S. dollar exchange rates as of month-end for any non-U.S. dollar assets. All uninvested capital (including cash) is allocated pro rata among applicable asset classes based on recent portfolio composition. Additional information on calculation methodology is available upon request.

Structured Creditb6.6%

CLO Investors

27.6%

PensionPlans44.2%


Note: Estimated as of Sept. 30, 2016 on a capital basis. Excludes the Oak Hill Special Opportunities Fund, a joint venture with Oak Hill Capital Partners and OHA Investment Corporation. CLO investor amount estimated based on the percentage of CLO capital under management. All other categories adjusted accordingly. Includes net asset value and/or unfunded capital. Additional information on calculation methodology is available upon request.

Insurance & FinancialInstitutions

2.9%

Family Office, Endowments & Foundations,

Other13.0%

SovereignFunds12.3%

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211Oak Hill Advisors, L.P.

U.S. Credit Committee OHA does not have a formal credit committee.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RROak Hill Credit Partners I 10/01 Called 614 0 N N — — —Oak Hill Credit Partners II 2/03 Called 504 0 N N — — —Oak Hill Credit Partners III 12/03 Called 505 0 N N — — —Oak Hill Credit Partners IV 7/05 Called 658 0 N N — — —OHA Park Avenue CLO I 3/07 Called 563 0 N N — — —Oak Hill Credit Partners V 9/07 Called 550 0 N N — — —OHA Intrepid Leveraged Loan Fund 3/11 Called 413 0 N N — — —Oak Hill Credit Partners VI 5/12 Called 674 6.4 Y N — — —Oak Hill Credit Partners VIII 5/13 Reinvesting 415 400 N N — — —OHA Loan Funding 2013-1 7/13 Reinvesting 511 503 Y N — — —OHA Loan Funding 2013-2 8/13 Reinvesting 200 196 N N — — —Oak Hill Credit Partners IX 10/13 Reinvesting 519 500 N N — — —Oak Hill Credit Partners X 6/14 Reinvesting 777 749 Y N — — —OHA Loan Funding 2014-1 12/14 Reinvesting 862 850 Y N — — —OHACP XI 11/15 Reinvesting 408 402 Y N — — —OHACP XII 1/16 Reinvesting 606 601 Y N — — —OHA Loan Funding 2012-1 Reset 11/16 Reinvesting 371 361 Y N — — —OHALF 2015-1 Reset 12/16 Reinvesting 658 652 Y N — — —OHALF 2016-1 12/16 Reinvesting 609 600 Y N — — —Oak Hill Credit Partners VII Reset 12/16 Reinvesting 766 752 Y N — — —OHALF 2016-1 12/16 Reinvesting 609 600 Y N — — —OHACP XIII 12/16 Reinvesting 411 400 Y N — — —Total 12,203 7,572


CLOs28.4%

Managed Funds30.4%

Managed Accounts

41.2%


Note: Percentages and AUM are at the firm level. All AUM figures estimated as of Jan. 1, 2017, pro forma for capital flows during the month of January. Includes net asset value, portfolio value and/or unfunded capital. Uses respective U.S. dollar exchange rates as of month-end for any non-U.S. dollar assets. All uninvested capital (including cash) is allocated pro rata among applicable asset classes based on recent portfolio composition. Additional information on calculation methodology is available upon request.

Europe40.0%

Other23.0%

U.S.37.0%

Total AUM By Region

Note: Regions depicted represenative of broader actual range. AUM is at the firm level. Estimated as of Sept. 30, 2016 on a capital basis. Excludes investors in CLOs, the Oak Hill Special Opportunities Fund, a joint venture with Oak Hill Capital Partners and OHA Investment Corporation. Includes net asset value and/or unfunded capital. Additional information on calculation methodology is available upon request.

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Oak Hill Advisors, L.P. 212


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RROHECP I 7/06 Amortizing 446 181 N N — —OHECP II 6/07 Amortizing 456 196 N N — —OHECP III 6/15 Reinvesting 417 405 N Y Sponsor VerticalOHECP IV 12/15 Reinvesting 416 402 N Y Sponsor VerticalOHECP V 1/17 Reinvesting 479 495 N Y Originator VerticalTotal 2,214 1,679


13 Employee Partners

New York, NYU.S.

London, U.K.

Los Angeles, CAU.S.

Sydney, Australia

Fort Worth, TXU.S.

Hong Kong, SAR


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213 Oak Hill Advisors, L.P.

The Fitch ViewKey Considerations• OHA’s 49 partners/managing directors average 22 years of industry experience. There is low

senior management turnover, with continuity in the senior management team throughoutmultiple cycles.

• Performance of managed CLOs credited to focused credit research team having a smalleractively managed credit list than industry averages, resulting in high conviction creditselection and a focus on downside protection.

• Challenges include maintaining CLO AUM in the face of challenging market conditions forloan assets and as early CLOs are called.

Company• OHA is majority owned by its 13 employee partners.• OHA is a multistrategy platform; strategies include high-yield bonds, leveraged loans,

distressed assets, structured products and mortgage strategies.• OHA has a diversified global institutional investor base by both type (pension plans,

sovereign funds, family offices, and insurance and financial institutions) and geography(Europe, Middle East, North America, Asia and Australia).

Investments• Expertise in examining credits across the capital structure. Focuses on fundamental credit

analysis and downside protection.• Active portfolio management style, focusing on more liquid assets and names with

large capitalization.• Top-down portfolio management process with bottom-up credit process is supported by 44

sector-focused corporate credit analysts.• OHA is comfortable with slightly more concentrated portfolios than those of other asset

managers (position sizes up to 2.5%), with analysts covering approximately 25 names eachand monitoring another 75.

Controls• OHA has a separate team focused on distressed credit. While OHA does not maintain a

formal watchlist, distressed securities are re-underwritten by the distressed-focusedinvestment professionals to maintain overall comfort with the investment.

• Credit risk monitoring processes include various daily, weekly, monthly and quarterlymeetings used to aid in the analysis of underlying credit liquidity, financial standingand industry trends, and processes are supported by the appropriate portfoliomanagement framework.

• Selective underwriting process results in high turndown rates for new loan issuance.Operations• Additional employees in compliance/legal (12), accounting/operations (114) and

CLO accounting/administration (14). The CLO platform has four employees dedicated toclosing loans.

• Dedicated CLO accounting/administration team provides independent trustee reconciliationand indenture compliance monitoring.

• Daily reconciliations are performed to tie out cash and positions with the trustee.• Quarterly investor reporting includes a trustee report and newsletter featuring market insight

and commentary, as well as information about particular products; all are accessible throughpassword-protected website.

Technology• Integrated and flexible platform based on a combination of proprietary analytics and third-

party administration systems, including widely accepted industry systems such asBlack Mountain Everest and Wall Street Office.

• Business continuity and disaster recovery are in place and periodically tested.

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214 Oaktree Capital Management, L.P.

Oaktree Capital Management, L.P.Oaktree Capital Management, L.P. (Oaktree) is a global investment manager that was founded in 1995. The company manages approximately USD100 billion across six strategies: corporate debt, convertible securities, distressed debt, control investing, real estate and listed equities. Senior loans account for approximately USD11 billion in assets under management (AUM), with USD6.1 billion managed via U.S. CLOs and warehouses and EUR1.6 billion managed via European CLOs.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 333 South Grand Avenue, 28th Floor

Los Angeles, CA 9007110 Bressenden Pl, WestminsterLondon SW1E, U.K.

Firm Type Global multistrategy asset managerYear Established 1995 globallyAssets Under Management USD67.3 Bil. EUR14 Bil.Total Employees/Investment Professionals 719/191 189/84Active CLOs Under Management 9 4Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) SponsorDedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) Five main Oaktree operating entities (see Organizational Struc. Chart)



CLO Team Leader(s) Armen Panossian Madelaine Jones, James TurnerCLO Portfolio Managers (PMs)/Avg. Experience 1/15 Years 2/19 Years


0.01.02.03.04.05.06.07.08.09.0

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

U.S. Loan Assets Under Management(USD Bil.)

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Oaktree Capital Management, L.P. 215

0.00.51.01.52.02.53.03.5

2009 2010 2011 2012 2013 2014 2015 2016

European Loan Assets Under Management(USD Bil.)

Other27.0%


Insurance9.0%

Endowment6.0%

Pension/Retirement

39.0%

Family Office/High Net Worth

5.0%

Sovereign Wealth Funds

8.0%

CLO Investors6.0%

Europe28.0%

U.S.72.0%

Loan AUM By Region

CLOs71.0%

Managed Funds15.0%

Managed Accounts

14.0%



Name Title Role Firm IndustryArmen Panossian Managing Director and Portfolio Manager Portfolio Manager 10 15

Note: Oaktree does not utilize a credit committee for its U.S. senior loan strategies. Investment decisions are made by portfolio manager Armen Panossian.


Name Title Role Firm IndustryMadelaine Jones Managing Director and Portfolio Manager Portfolio Manager 14 19James Turner Managing Director and Portfolio Manager Portfolio Manager 16 20

Note: Oaktree does not utilize a credit committee for its European senior loan strategies. Investment decisions are made by portfolio managers.

CLOs7.7%

Other60.6%

Total AUM By Asset TypeHigh Yield

Bonds24.1%

Broadly Syndicated

Loans6.5%

Middle Market Loans

1.0%

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216 Oaktree Capital Management, L.P.


(EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRArbour DAC 6/14 Reinvesting 375 375 Y Y Sponsor HorizontalArbour II DAC 1/15 Reinvesting 375 375 Y Y Sponsor HorizontalArbour III DAC 2/16 Reinvesting 414 414 Y Y Sponsor HorizontalArbour IV DAC 11/16 Reinvesting 414 414 Y Y Sponsor HorizontalTotal 1,578 1,578



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RROaktree EIF Series I 10/12 Called 380 0 Y N — — —Oaktree EIF Series II 3/13 Called 762 0 Y N — — —Oaktree EIF Series III 6/13 Called 656 0 Y N — — —Oaktree EIF II Series A1 8/14 Reinvesting 708 708 Y N — — —Oaktree EIF II Series A2 12/14 Reinvesting 553 553 Y N — — —Oaktree EIF II Series B1 3/15 Reinvesting 500 500 Y N — — —Oaktree CLO 2014-1 2/14 Reinvesting 517 517 Y N — — —Oaktree CLO 2014-2 11/14 Reinvesting 511 511 Y N — — —Oaktree CLO 2015-1 9/15 Reinvesting 512 512 Y N — — —Oaktree EIF I Series A1 1/16 Reinvesting 435 435 Y N — — —Oaktree EIF I Series A 3/16 Reinvesting 470 470 Y N — — —Oaktree EIF III Series I 12/16 Reinvesting 602 602 Y N — MOA HorizontalTotal 6,606 4,808


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Oaktree Capital Management, L.P. 217

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218Oaktree Capital Management, L.P.

The Fitch ViewKey Considerations• Global investment manager specializing in sub-investment-grade credit.• Significant, firmwide resources and an experienced investment staff utilizing a flexible and robust

investment process.• Demonstrated robust systems and processes that successfully meet the specific operational and

compliance requirements of managing both U.S. and European CLOs.Company• Oaktree Capital Management, L.P. is a global alternative investment management firm with a focus

on credit strategies. Today, the firm employs over 900 professionals in 18 cities and 13 countries.• Most of Oaktree’s income has been derived from realized and unrealized gains on investments.• Oaktree’s U.S. senior loans strategy began in 2007 and the European senior loans strategy started

in 2009. The European strategy manages loans as portions of pooled vehicles, within a SICAVstructure and as separate managed accounts.

• The U.S. and European CLO teams employ 26 dedicated professionals, including 16 research analysts,three traders, four CLO support staff and three PMs who have no research responsibilities.

• The team averages 13 years’ investment experience. The U.S. senior loan portfolio manager has15 years’ investment experience, while the European senior loan co-PMs have 20 and 19 years’investment experience, respectively.

Investments• The investment process centers around a fundamental, bottom-up analysis focused on a

company’s financial condition and industry market position. Top-down inputs will be incorporatedinto the modeling of key performance indicators, although no attempt is made to time markets.

• The use of a formalized proprietary credit scoring matrix differentiates Oaktree’s credit processfrom the peer norm. Each credit’s scoring matrix is updated at the time of any news flow orcompany announcement.

• Ten senior analysts on the U.S. and European teams are organized by sector, with six junioranalysts acting as generalists. The investment universe consists of approximately 480 namesacross active U.S. and European CLOs. Each analyst actively monitors about 40–50 credits.

• Position sizing and portfolio diversification are at the discretion of the PMs. Sell decisions are basedpurely on analysis of the underlying credit and recovery potential, rather than predefined sell triggers.

Controls• Overall risk oversight is effected through Oaktree’s risk monitoring team led by its investment risk

officer, along with compliance, legal, valuation and internal audit teams.• Oaktree prefers to be either public or private across the whole business. Appropriate controls are in

place in the case of exceptions.• Firm-level governance framework is overseen by the board of directors.• Oaktree is subject to regular external audits in addition to internal audits. No material findings have

been noted.Operations• Oaktree’s systems do not have straight-through processing with the trustee. Instead, files are sent via

FTP to the trustee daily to reconcile cash and holdings automatically using SunGard IntelliMatch. • Loan settlement is conducted by Oaktree’s trade support teams in the U.S. (25 professionals) and

Europe (five professionals).• CLO compliance testing is effected through CDO Suite. Supplemental reporting for Oaktree

products is available in the form of periodic investment commentary.Technology• Historically, Oaktree utilized THS, a proprietary trade order management and compliance system.• The firm expects to fully transition to a new system, Everest by Black Mountain Systems, and replace

THS by the end of the year. Geneva, an SS&C product, is used as the main accounting system. • Feeds to some third-party systems (such as the BNY Mellon trustee system) are not fully

automated. Also, the data feed between THS and CDO Suite is not automated. Oaktree isdeveloping HTML solutions to enable this automation.

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219Och-Ziff Capital Management Group LLC

Och-Ziff Capital Management Group LLCOch-Ziff Loan Management LP and Och-Ziff Europe Loan Management Limited are each registered investment advisers indirectly owned by Och-Ziff Capital Management Group LLC (Och-Ziff), a global institutional asset management firm founded in 1994. Och-Ziff is active across a wide range of products, including multistrategy funds, credit funds, CLOs, real estate and energy funds. Its diverse investor base includes pensions, fund of funds, foundations and endowments. As of Dec. 31, 2016, Och-Ziff’s assets under management (AUM) totaled approximately USD37.9 billion.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 9 West 57th Street, 39th Floor

New York, NY 1001940 Argyll StreetLondon, W1F 7EB, U.K.

Firm Type Multistrategy asset managementYear Established 2012 2016Assets Under Management USD37.9 Bil. globallyTotal Employees/Investment Professionals 524/154 globallyActive CLOs Under Management 14 1Current/Planned Risk Retention Structure Capitalized majority-owned

affiliate (C-MOA)Originator/Sponsor

Dedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) Och-Ziff Capital Management Group LLC — Parent


Leveraged Loan AUM USD7.6 Bil. EUR413 Mil. Loans Managed via CLOs 99.5% 100%

CLO Team Leader(s) Brett Klein Adeel ShafiqullahCLO Portfolio Managers (PMs)/Avg. Experience 1/17 Years 1/18 Years


012345678

2012 2013 2014 2015 2016

U.S. Leveraged Loan Assets Under Management

(USD Bil.)

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Och-Ziff Capital Management Group LLC 220

0

100

200

300

400

500

2016

European Leveraged Loan Assets Under Management(EUR Mil.)

Europe5.3%

U.S.94.7%

Loan AUM By Region

CLOs99.5%

Managed Funds0.5%



Name Title Role Firm IndustryDavid Windreich Executive Managing Director Co-Chief Investment Officer 22 33Harold Kelly Executive Managing Director Head of Global Convertible and

Derivative Arbitrage and Risk Management 21 27Brett Klein Executive Managing Director Head of U.S. Corporate Credit 14 17


Name Title Role Firm IndustryBrett Klein Executive Managing Director Head of U.S. Corporate Credit 14 17Adeel Shafiqullah Managing Director Senior Portfolio Manager, Institutional

Credit Strategies Europe 1 18Mathieu Clavel Managing Director Head of European Corporate Credit 7 15Taj Sidhu Managing Director Head of European Private Investments 12 17

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221Och-Ziff Capital Management Group LLC


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RROZLME B.V. 11/16 Reinvesting 413 413 Y Y Originator VerticalTotal 413 413



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RROZLM Funding 7/12 Reinvesting 511 511 Y N — — —OZLM Funding II 10/12 Reinvesting 560 560 Y N — — —OZLM Funding III 1/13 Reinvesting 653 653 Y N — — —OZLM Funding IV 6/13 Reinvesting 600 600 Y N — — —OZLM Funding V 11/13 Reinvesting 501 501 Y N — — —OZLM Funding VI 3/14 Reinvesting 621 621 Y N — — —OZLM Funding VII 6/14 Reinvesting 825 825 Y N — — —OZLM Funding VIII 8/14 Reinvesting 622 622 Y N — — —OZLM Funding IX 11/14 Reinvesting 510 510 Y N — — —OZLM Funding XI 2/15 Reinvesting 511 511 Y N — — —OZLM XII 4/15 Reinvesting 566 566 Y N — — —OZLM XIII 7/15 Reinvesting 512 512 Y N — — —OZLM XIV 12/15 Reinvesting 507 507 Y N — — —OZLM XV 11/16 Reinvesting 409 409 Y N — — —Total 7,909 7,909


Sole Shareholder

GP

InvestmentManager

GP

LP

European Investment

Manager

Note: As of Dec. 31, 2016. This structure chart reflects the summary ownership of Och-Ziff Europe LoanManagement Limited and Och-Ziff Loan Management LP and is not a complete structure chart of Och-Ziff CapitalManagement Group and its group companies and affiliates. This document should be read in conjunction with theForm 10-K filed by Och-Ziff Capital Management Group LLC on March 1, 2017.


Och-Ziff Capital Management Group LLC

Och-Ziff Holding Corp.

OZ Management, LP

Och-Ziff Europe Loan Management Limited Och-Ziff Loan Management LLC

Och-Ziff Loan Management LLC

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Och-Ziff Capital Management Group LLC 222

The Fitch ViewKey Considerations• Diversified asset management platform not significantly dependent on future CLO issuance

to remain viable.• Incentives (including compensation) and culture facilitate knowledge sharing and

collaboration across all business lines.• Significant investments were made by the firm to establish CLO business, including hiring

investment professionals with well-established CLO track records and building outsophisticated proprietary credit research and administration systems.

• Reputational risk in connection with the recent SEC actions involving an Och-Ziff subsidiary,OZ Africa; mitigated largely by the CLO platform’s non-involvement in the affair.

Company• Founded in 1994 by Daniel Och, Och-Ziff is a publicly held firm (NYSE: OZM) with product

offerings across multistrategy, credit, real estate and energy.• Strong employee retention, with senior investment managers having worked together for

over 18 years at Och-Ziff.• Och-Ziff credit strategies manages assets across the corporate, structured and private credit

markets within opportunistic credit and the performing credit markets within institutionalcredit strategies.

• In 2016, Och-Ziff settled with the SEC in connection with accusations of misconduct byformer employees and private investments in Africa. The settlement includes aUSD412 million fine and deferred prosecution agreement for Och-Ziff and a guilty plea byone of its subsidiaries, OZ Africa Management GP, LLC. Fitch confirmed with members ofthe CLO team that the allegations were limited to non-CLO personnel and operations.

Investments• Portfolios are actively managed, driven by fundamental bottom-up credit analysis and

augmented by relative-value and industry assessments.• Investment ideas, market trends and portfolio allocation ideas are shared during daily

meetings between portfolio managers (PMs) and analysts.• Loan management team leverages expertise of other groups at Och-Ziff, such as the equity

group for sector/competitor analysis and distressed credit group for workout guidance.• Formalized ongoing surveillance process utilizes in-house and third-party systems to track

positions and monitor compliance. Parallel checks of all requirements are performed.Controls• Various portfolio and risk management reporting performed by a group separate from PMs.• Weekly risk management meetings focus analysis on various forms of risk, including

financial, operational, counterparty, alpha generation and CLO exposure.• Daily credit risk monitoring process includes analysis of underlying credit liquidity, portfolio

cyclicality, currency risk and geographic risk and is supported by appropriate portfoliomanagement framework.

Operations• Investor reporting includes pre-effective date monthly portfolio updates, transaction documents

and quarterly commentary, all of which are available on a password-protected website. • Allocation of investments is based on the specific needs of each portfolio and facilitated

through automated systems to prevent error.• All portfolio management and credit analysis functions are conducted in-house. Models are

run daily to ensure compliance with CLO tests.Technology• Integrated and flexible platform based on a combination of proprietary analytics, including

the CLO loan asset management system, and third-party administration systems such as thewidely accepted Virtus, ClearPar and Geneva.

• Business continuity plan is appropriate and has been tested. Third-party data and work arearecovery centers are currently located in New Jersey and North Carolina.

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223 Octagon Credit Investors, LLC

Octagon Credit Investors, LLCOctagon Credit Investors, LLC (Octagon) is an investment adviser that focuses on the management of below-investment-grade corporate debt, primarily leveraged loans, high-yield bonds and structured credit. Octagon was founded in 1994 as a business unit of Chemical Bank (a predecessor of JPMorgan Chase & Co.) to create an asset management capability for below-investment-grade corporate debt investments. In February 2016, Conning & Company (Conning), a Hartford, CT-based investmentmanagement firm, acquired 82.1% of Octagon. Octagon employees continue to own 17.9% of the firm.

Firm ProfileRegion(s) of Operation U.S.Address 250 Park Avenue, 15th Floor

New York, NY 10177Firm Type Investment managerYear Established 1994Assets Under Management USD14.6 Bil.Total Employees/Investment Professionals 54/26Active CLOs Under Management 21Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Conning & Company — Parent company, Octagon employees



CLO Team Leader(s) Michael Nechamkin, Lauren Basmadjian, Gretchen LamCLO Portfolio Managers (PMs)/Avg. Experience 3/20 Years


02468

10121416

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016


(USD Bil.)

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Octagon Credit Investors, LLC 224

U.S.100.0%

Loan AUM By Region

CLOs73.4%

Managed Funds8.5%

Managed Accounts

18.1%



Name Title Role Firm IndustryAndrew Gordon CEO and Chief Investment Officer Investment Committee Member 23 33Michael Nechamkin Co-CIO and Senior Portfolio Manager Investment Committee Member 18 26Lauren Basmadjian Portfolio Manager Investment Committee Member 16 16Gretchen Lam Portfolio Manager Investment Committee Member 18 18


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RROctagon II 5/99 Called 1,000 0 N N — — —Octagon III 12/99 Called 1,000 0 N N — — —Octagon IV 5/01 Called 377 0 N N — — —Octagon V 1/03 Called 300 0 N N — — —Octagon VI 11/03 Called 306 0 N N — — —Octagon VII 9/04 Called 408 0 N N — — —Octagon VIII 8/05 Called 459 0 N N — — —Octagon IX 5/06 Called 400 0 N N — — —Octagon X 9/06 Amortizing 465 84 N N — — —Hamlet II 11/06 Amortizing 507 81 N N — — —Octagon XI 7/07 Amortizing 513 157 N N — — —Octagon XII 2/12 Amortizing 358 244 N N — — —

VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention. Continued on next page.

Othera

6.5%


aIncludes high-yield bonds (0.8%) and structured credit (3.2%).

Broadly Syndicated

Loans93.5%

CLO Investors

73.3%

Bank10.6%

Othera

7.0%


aIncludes managed accounts (3.7%), pension/retirement (0.6%) and family office/high net worth (2.1%).

Insurance9.1%

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225Octagon Credit Investors, LLC


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RROctagon XIV 12/12 Amortizing 626 626 N N — — —Octagon XVI 6/13 Reinvesting 518 518 N N — — —Octagon XVII 8/13 Reinvesting 414 414 N N — — —Octagon XVIII 12/13 Reinvesting 713 713 N N — — —Octagon XIX 4/14 Reinvesting 567 567 Y N — — —Octagon XX 8/14 Reinvesting 770 770 Y N — — —Octagon Loan Funding 9/14 Reinvesting 413 413 Y N — — —Octagon XXI 10/14 Reinvesting 763 763 Y N — — —Octagon XXII 11/14 Reinvesting 722 722 Y N — — —Octagon 24 5/15 Reinvesting 759 759 Y N — — —Octagon XXIII 7/15 Reinvesting 609 609 Y N — — —Octagon 25 10/15 Reinvesting 820 820 Y N — — —Octagon XV 2/16 Reinvesting 516 516 N N — — —Octagon 26 4/16 Reinvesting 509 509 Y N — — —Octagon 27 6/16 Reinvesting 510 510 Y N — — —Octagon 28 10/16 Reinvesting 706 706 Y N — — —Octagon 29 12/16 Reinvesting 511 511 Y N — — —Total 16,538 11,011


Octagon Credit Investors, LLC

Conning & Company Octagon Employees

18%82%


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Octagon Credit Investors, LLC 226

The Fitch ViewKey Considerations• As a midsized manager, Octagon benefits from good dealer coverage, allocations and

execution while remaining selective on credit and nimble to changes in the market.• Significant credit resources and experience, with senior management team averaging over

20 years of industry experience and over 15 years’ tenure with Octagon.• A formalized and disciplined investment process. Octagon has a strong brand name and

significant resources. Benefits include diversified revenues, long-term stability and strongorganizational support for its robust CLO platform.

Company• A registered investment adviser, Octagon was founded in 1994 to manage the in-house, buy-side

leveraged loan and high-yield bond business of Chemical Bank, a predecessor of JPMorganChase & Co. Octagon was incorporated in December 1998 and separated from The ChaseManhattan Corporation in 1999 — at the time, it had approximately USD2.1 billion in assets undermanagement — and has since been independently managed by its employee shareholders.

• Octagon specializes in below-investment-grade leveraged loans and high-yield bonds.• In February 2016, Conning, a Hartford-based investment management firm, acquired

approximately 82% of Octagon. Octagon employees continue to own approximately 18% ofthe firm. From July 2008 until February 2016, Octagon was majority owned by an affiliate ofCCMP Capital Advisors, LLC.

Investments• Team takes a fundamental credit-driven approach and typically employs an active

trading strategy.• Analysts identify investment opportunities in both the primary and secondary markets

through industry and company analysis supplemented by information from issuers,underwriters, agents, and sales and trading desks as well as discussions withcompany management.

• Octagon focuses on industry dynamics and competitive environments, performance historyand prospects, investment sponsors and management, projected cash flow generation,quality and value of underlying collateral, downside protection and relative-valueopportunities within an issuer’s capital structure.

• Investment decisions may also take into account the macroeconomic backdrop, technicalsupply and demand, liquidity, and political and regulatory influences.

• Analysts continuously refresh internal ratings and price targets for respective credits.Portfolio managers adjust positions to optimize relative value in consideration of individualfund objectives.

Controls• Octagon’s compliance committee provides trade oversight of areas such as best execution,

trade errors, allocation and aggregation, adherence to investment guidelines and relatedissues for all applicable accounts, including the performing loan business.

• Ongoing surveillance includes daily investment committee meetings/office hours as needed,weekly relative-value discussions and watchlist monitoring and monthly and regularportfolio reviews.

Operations• Octagon’s internal accounting team regularly interfaces with each fund’s

trustee/administrator to confirm accuracy and compliance with both Octagon’s and therespective fund’s operational risk framework. The firm’s internal accounting team generallyreconciles each fund’s cash position on a daily basis.

• Senior management reviews all fund performance and portfolio composition on a regularbasis to monitor compliance with governing documents.

Technology• Octagon has in place an integrated and flexible platform based on a combination of both

proprietary analytics (internal credit rating and portfolio weighting system) and best-in-classthird-party systems, including Wall Street Office and Everest.

• Octagon maintains a documented business continuity and disaster recovery plan thatincludes hourly backup of database servers and daily backup of application andfile servers.

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227Palmer Square Capital Management LLC

Palmer Square Capital Management LLCPalmer Square Capital Management LLC is a Kansas-based investment management firm that specializes in credit and alternative investments. It was founded in 2009, and as of Dec. 31, 2016, it had USD3.9 billion in assets under management (AUM), including USD2.7 billion via eight CLOs.

Firm ProfileRegion(s) of Operation U.S.Address 2000 Shawnee Mission Parkway, Suite 300

Mission Woods, KS 66205Firm Type Multistrategy asset managerYear Established 2009Assets Under Management USD3.9 Bil.Total Employees/Investment Professionals 20/15Active CLOs Under Management 8Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Montage Investments — Parent



CLO Team Leader(s) Christopher D. Long, Angie K. Long, Matt Bloomfield, Jeff FoxCLO Portfolio Managers (PMs)/Avg. Experience 4/15 Years

Credit Analysts, Non-PMs/Avg. Experience 11/10 Years Loan Team Credits Per Analyst (including PMs) Not ReportedApproximate No. of Invested Credits Not Reported

0.0

1.0

2.0

3.0

2013 2014 2015 2016

(USD Bil.)


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Palmer Square Capital Management LLC 228

U.S.100.0%

Loan AUM By Region


Name Title Role Firm IndustryChristopher Long President Portfolio Manager 8 19Angie Long Chief Investment Officer Portfolio Manager 6 19Matt Bloomfield Managing Director Portfolio Manager 3 14Jeffrey Fox Managing Director Structure/Compliance 4 17


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRPalmer Square CLO 2013-1 5/13 Reinvesting 362 350 Y — — — —Palmer Square CLO 2013-2 9/13 Reinvesting 464 450 Y — — — —Palmer Square CLO 2014-1 4/14 Reinvesting 418 400 Y — — MOA VerticalPalmer Square CLO 2015-1 4/15 Reinvesting 436 426 Y — — — —Palmer Square CLO 2015-2 6/15 Reinvesting 408 401 Y — — — —Palmer Square Loan Funding 2016-1 12/15 Amortizing 200 200 Y — — — —Palmer Square Loan Funding 2016-2 4/16 Amortizing 200 200 Y — — — —Palmer Square Loan Funding 2016-3 11/16 Amortizing 250 250 Y — — — —Total 2,738 2,677


Palmer Square Capital Management

Mariner Holdings


CLOs65.2%

Managed Funds30.2%

Othera

4.6%


aIncludes managed accounts.

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229PineBridge Investments LLC

PineBridge Investments LLCPineBridge Investments LLC (PineBridge) is a global asset manager that was originally formed in 1996 with the consolidation of AIG's various investment entities into a single platform. Since 2010, it has been majority owned by a subsidiary of Pacific Century Group, an Asia-based private investment group. As of Dec. 31, 2016, PineBridge had USD82.7 billion in global assets under management (AUM), USD8.6 billion of which related to its global leveraged loan operations.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 399 Park Avenue, 4th Floor

New York, NY 10022Exchequer Court, 6th Floor33 St Mary AxeLondon EC3A 8AA U.K.

Firm Type Multistrategy asset management Year Established 1999 2006 Assets Under Management USD82.7 Bil. Included in U.S.Total Employees/Investment Professionals 666/200 Included in U.S.Active CLOs Under Management 4Current/Planned Risk Retention Structure

9Capitalized majority-owned affiliate (C-MOA) Originator

Dedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) Pacific Century Group — Parent



CLO Team Leader(s) John Lapham Evangeline LimCLO Portfolio Managers (PMs)/Avg. Experience 3/28 Years 1/21 Years

Credit Analysts, Non-PMs/Avg. Experience 12/22 Years 4/10 YearsLoan Team Credits Per Analyst (including PMs) 45 45 Approximate No. of Invested Credits 511 Included in U.S.

012345678

2011 2012 2013 2014 2015 2016

(USD Bil.)


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PineBridge Investments LLC 230

Europe15.0%

U.S.85.0%

Loan AUM By Region

CLOs65.0%

Managed Funds7.0%

Managed Accounts

28.0%


Othera

89.6%


aIncludes high yield bonds (3.1%).

Broadly Syndicated

Loans10.4%

CLO Investors

6.7%

Othera

40.5%


aIncludes endowment (0.2%), family office/high net worth (0.3%), sovereign wealth funds (0.1%) and bank (0.6%).

Pension/Retirement

19.5%Insurance

33.2%

0.0

0.5

1.0

1.5

2011 2012 2013 2014 2015 2016

(EUR Bil.)


PRINT P.indd 252 4/7/2017 12:55:52 PM

231 PineBridge Investments LLC


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRGalaxy 1999-1 6/99 Called 1,000 0 N N — — —Galaxy 2003-1 1/04 Called 300 0 N N — — —Galaxy III 8/04 Called 350 0 N N — — —Galaxy IV 3/05 Called 400 0 N N — — —Galaxy V 9/05 Called 509 0 N N — — —Galaxy VI 5/06 Called 500 0 N N — — —Galaxy VII 9/06 Called 453 0 N N — — —Galaxy VIII 3/07 Called 500 0 N N — — —Saturn 5/07 Called 500 0 N N — — —Galaxy X 2/08 Called 350 0 N N — — —Plymouth Rock 12/10 Called 473 0 N N — — —Galaxy XI 8/11 Called 403 0 N N — — —Galaxy XII 4/12 Called 412 0 N N — — —Galaxy XIV 11/12 Reinvesting 520 466 N N — — —Galaxy XV 3/13 Reinvesting 598 555 N N — — —Galaxy XVI 11/13 Reinvesting 414 378 N N — — —Galaxy XVII 6/14 Reinvesting 465 436 Y N — — —Galaxy XVIII 8/14 Reinvesting 466 434 Y N — — —Galaxy XIX 2/15 Reinvesting 510 483 Y N — — —Galaxy XX 6/15 Reinvesting 556 528 Y N — — —Galaxy XXI 12/15 Reinvesting 411 391 Y N — — —Galaxy XXII 7/16 Reinvesting 404 383 Y Y Originator — HorizontalTotal 10,494 4,054



Name Title Role Firm IndustrySteven Oh Managing Director, Global Head of Credit and

Fixed Income Portfolio Manager 17 27

John Lapham Managing Director, Co-Head of Leveraged Finance Portfolio Manager 22 36Julie Bothamley Managing Director Portfolio Manager 17 27Jeff Baxter Managing Director Director of Research 19 33Kyle Chung Managing Director Portfolio Manager 14 20


Name Title Role Firm IndustrySteven Oh Managing Director, Global Head of Credit and

Fixed Income Portfolio Manager 17 27

John Lapham Managing Director, Co-Head of Leveraged Finance Portfolio Manager 22 36Julie Bothamley Managing Director Portfolio Manager 17 27Jeff Baxter Managing Director Director of Research 19 33Evangeline Lim Senior Vice President Portfolio Manager 10 21

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PineBridge Investments LLC 232


Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RREuro-Galaxy 9/06 Called 383 0 N N — —Euro-Galaxy II 8/07 Amortizing 410 169 N N — —Euro-Galaxy III 11/13 Reinvesting 335 321 N Y Originator HorizontalEuro-Galaxy IV 6/15 Reinvesting 335 326 N Y Originator HorizontalEuro-Galaxy V 11/16 Reinvesting 411 257 N Y Originator VerticalTotal 1,874 1,073


PineBridge Investments, L.P.(Cayman Islands)

Pacific Century Group and Management


PineBridge Investments LLC

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233PineBridge Investments LLC

The Fitch ViewKey Considerations• Stable and experienced senior management and investment teams.• Investment process differentiated by an internal rating scale incorporating both fundamental

and relative-value considerations and the clear definition of rating review triggers.• Good market access, a function of established and strong relationships with private

equity sponsors.Company• PineBridge is an independent, diversified, global asset manager that invests across all major

asset classes and geographies.• PineBridge is a subsidiary of Pacific Century Group, an Asia-based private investment group

with interests in infrastructure, property and other investments mainly in the Asia-Pacificregion, including Singapore, Hong Kong and Japan. Founded in 1993, Pacific Century Groupis controlled by Richard Li.

• PineBridge has been managing U.S. CLOs since 1999 and European CLOs since 2006. Itsfocus is global. CLOs represent a core element of its corporate strategy and a keycomponent in the development of its loan business, along with offshore funds.

• Governance is via the executive committee, which is closely involved in the business.Investments• Clearly defined investment process based on six steps, from deal launch to ongoing

monitoring of the investment.• Bottom-up credit analysis, combined with top-down views. The process is differentiated by

its focus on developing triggers for each investment to understand its performance withrespect to the investment thesis.

• All new investments are subject to a formalized committee process, which is made up of thepresenting analyst and five senior managers.

• Proprietary scoring model for all preapproved and monitored credits. Result is threedistinct scoring designations for every credit, incorporating both fundamentals and relative-value considerations.

Controls• The overall risk control framework is sound, overseen by a head of risk. Risk committee

tasked with operational risk management.• PineBridge is either public or private on all issuers. Physical and informational barriers that

separate public and private interaction are overseen by compliance and based on clearlydefined policies. A cleansing process exists to control when public/private status changes.

• A separate compliance department is responsible for developing, maintaining and upgradingpolicies and procedures manuals for all departments.

Operations• Operational procedures are sound, employing industry-standard tools such as Sentry PM for

loan/CLO administration.• PineBridge produces supplemental investor reporting with issuer-specific commentary

(where public) and market overview.Technology• PineBridge has a dedicated IT team that manages its bank loan-related systems and

Sentry PM applications.• CAP, a proprietary tool, is used for issuer monitoring and sharing rating changes/analyst

recommendations.• LoanX is used for pricing data.

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234 Prudential Fixed Income

Prudential Fixed IncomePrudential Fixed Income (PFI) is a wholly owned subsidiary of Prudential Global Investment Management (PGIM), which in turn is owned by Prudential Financial, based in Newark, NJ. PFI has a diversified global investor base consisting of institutional, retail, pension funds and sovereign wealth/central banks/government entities. As of Dec. 31, 2016, it had approximately USD637 billion in assets under management (AUM).

Firm ProfileRegion(s) of Operation GlobalAddress 655 Broad Street

Newark, NJ 07102Firm Type Global multistrategy asset managementYear Established 1875Assets Under Management USD637 Bil.Total Employees/Investment Professionals 582/209 (U.S.); 58/28 (Europe)Active CLOs Under Management 16 (U.S.); 7 (Europe)Current/Planned Risk Retention Structure Firm capital Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Prudential Financial (Parent)


Leveraged Loan AUM USD13 Bil.Loans Managed via CLOs 85% (U.S.); 15% (Europe)

CLO Team Leader(s) Brian Juliano, Bent Hoyer (U.S.); Jonathan Butler (Europe)CLO Portfolio Managers (PMs)/Avg. Experience 6/15 Years (U.S.); 1/12 Years (Europe)

Credit Analysts, Non-PMs/Avg. Experience 8/17 Years (U.S.); 6/15 Years (Europe) Loan Team Credits Per Analyst (including PMs) 25 (U.S.); 30 (Europe)Approximate No. of Invested Credits 750 (U.S.); 250 (Europe)

02468

101214

2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Prudential Fixed Income 235

Europe15.9%

U.S.80.8%

Other3.3%

Loan AUM By Region

U.S. Credit Committee PGIM does not have a formal credit committee. Signoff is required from the head of credit research, the covering analyst and the lead portfolio manager for a name to be added as an approved credit.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRDryden XI 5/06 Called 767 0 N — — — —Dryden XVI 12/06 Called 500 0 N — — — —Dryden XVIII 10/07 Called 427 0 N — — — —Gateway CLOa 10/07 Called 501 0 N — — — —Dryden XXII 12/11 Called 305 0 N — — — —Dryden XXIII 7/12 Called 411 0 Y — — — —Dryden XXIV 10/12 Amortizing 520 502 Y — — — —Dryden XXV 12/12 Reinvesting 624 602 Y — — — —Dryden XXVI 3/13 Reinvesting 417 401 N — — — —Dryden XXVIII 7/13 Reinvesting 413 401 N — — — —Dryden 30 10/13 Reinvesting 516 500 N — — — —Dryden 31 3/14 Reinvesting 621 600 Y — — — —Dryden 33 5/14 Reinvesting 812 1,015 Y — — — —Dryden 34 8/14 Reinvesting 667 650 Y — — — —Dryden 36 12/14 Reinvesting 609 714 Y — — — —aAcquired from Duane Street in October 2009. VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention. Continued on next page.

Managed Funds22.4%Managed

Accounts74.9%

Othera

2.7%



High Yield

Bonds6.9%

Othera

46.0%


aIncludes broadly syndicated loans (2.1%) and CLOs (2.7%).


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236 Prudential Fixed Income


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRDryden 37 3/15 Reinvesting 509 501 Y — — — —Dryden 38 5/15 Reinvesting 511 501 Y — — — —Dryden 40 7/15 Reinvesting 612 601 Y Y Other Other VerticalDryden 41 10/15 Reinvesting 512 500 Y — — — —Dryden 42 5/16 Reinvesting 402 402 Y Y — — —Dryden 43 8/16 Reinvesting 612 612 Y Y — — —Dryden 45 9/16 Reinvesting 659 659 Y Y — — —Total 11,927 9,161



Portfolio Balance (EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRGateway IV Euro CLOa 5/07 Called 414 0 N — — —Dryden XXVII 5/13 Amortizing 502 486 N Y Other VerticalDryden 29 12/13 Reinvesting 415 401 N Y Other VerticalDryden 32 7/14 Reinvesting 417 402 N Y Other VerticalDryden 35 3/15 Reinvesting 443 426 N Y Other VerticalDryden 39 9/15 Reinvesting 415 402 N Y Other VerticalDryden 44 6/16 Reinvesting 413 413 N Y Other VerticalDryden 46 10/16 Ramp-Up 471 471 N Y Other VerticalTotal 3,490 3,001aAcquired from GSC in April 2010. VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

PGIM

Prudential Fixed Income

Prudential Financial

Private Fixed Income Units

Real Estate Equity UnitEquity Units

Private Placements

Real Estate Debt

Real Estate Equity

Fundamental Equity

QuantitativeEquity

PGIM Fixed Income (Singapore)

PGIM Fixed Income (London)

PIMJ(Japan)


PRINT P.indd 259 4/7/2017 12:55:53 PM

Prudential Fixed Income 237

The Fitch ViewKey Considerations• Benefits of scale as part of a major global asset manager with large global fixed-income and

CLO AUM.• Stable, experienced and tenured portfolio management and credit teams; majority of key

staff with long tenures.• Long global track record and established procedures for CLO management

and administration.• Ongoing challenges will be maintaining credit selectivity and efficiently allocating credit

research resources as coverage grows.Company• PGIM has been managing U.S. CLOs since 2002 and European CLOs since 2006. It has

demonstrated its commitment to the CLO market through continued additions ofCLO management mandates and acquisition of CLO management mandates asreplacement manager.

• PGIM’s investor base is highly diversified by region and sector, with no notableclient concentrations.

• The European leveraged finance research team comprised seven analysts as of December2016 plus the head of European credit research, part of a considerably larger global creditresearch function. Team members average 12 years’ experience.

Investments• Formalized credit research process incorporating top-down and bottom-up elements.• Top-down provided by in-house macroeconomic research unit of five experienced global

economists complemented by two highly experienced global fixed-income strategists.• Bottom-up industry and fundamental issuer research covering asset quality, capital structure

and covenants results in scoring of trends and internal ratings, which are updated accordingto schedule or market events.

• Credit research covers the majority of the European leveraged issuer market. Creditresearch analysts are organized by sector.

• Credit committee with representatives from credit and portfolio management teamsresponsible for credit approval. The credit research function retains veto over all issuers.

• CLO team turns down approximately two-thirds of new issues.• Portfolio construction driven by relative-value rankings determined by portfolio managers

within eligible investment universe determined by credit process and structural constraints.Controls• Overall risk control framework based on independent risk management and

quantitative research function (58 analysts) and group compliance resources (43 staff as ofDecember 2016).

• PGIM is either public or private on all issuers, with the result that it has no conflicts ofinterest. Credit and compliance oversee the cleansing process where an issuer goes public.

• Pre- and post-trade CLO compliance testing is effected via Moody’s Wall Street Analytics.Operations• All trades are reconciled with the trustee; daily cash reconciliation and monthly position

reconciliation. Straight-through processing to trustee.• Dedicated settlements team based in London (four loans, two bonds) with wider

global resources.• Well-resourced global operational team of 186 staff as of December 2016 supporting the

credit and portfolio management functions.Technology• PGIM uses Aladdin (BlackRock) for all fixed-income instruments. Aladdin is fed by various

third-party systems (such as Markit Partners and others for pricing) and an internal creditresearch module, Galileo. Wall Street Office is used for CLO management and Intex forportfolio modeling and stress testing.

• A robust business continuity and disaster recovery plan is in place and regularly tested.

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238Redding Ridge Asset Management LLC

Redding Ridge Asset Management LLCRedding Ridge Asset Management LLC (Redding Ridge) is an SEC-registered investment adviser specializing in leveraged loans and global CLO management. Redding Ridge was established and seeded by Apollo Global Management in 2016 in response to risk retention regulations.

Firm ProfileRegion(s) of Operation U.S. and EuropeAddress 126 East 56th Street, 25th Floor

New York, NY 10022Firm Type Independent CLO-focused managerYear Established 2016Assets Under Management N.A.Total Employees/Investment Professionals 11/7 (U.S.); 5/4 (Europe)a

Active CLOs Under Management NoneCurrent/Planned Risk Retention Structure U.S.: Capitalized manager vehicle (CMV); Europe: SponsorDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Redding Ridge Holdings (Parent)Managing Directors Bret Leas; Joseph MoroneyPrimary Contact Priya Kothary, Head of Business Development

[email protected] both dedicated and shared employees of Redding Ridge Asset Management. N.A. – Not applicable.

Loan Management ProfileRegion(s) U.S. and Europe

Leveraged Loan AUM N.A.Loans Managed via CLOs N.A.

CLO Team Leader(s) Steve RiddellCLO Portfolio Managers (PMs)/Avg. Experience 1/21 Years

Credit Analysts, Non-PMs/Avg. Experience 16/7 Years (U.S.); 4/7 Years (Europe)a

Loan Team Credits Per Analyst (including PMs) 30 (U.S.); 25 (Europe)a

Approximate No. of Invested Credits N.A.aAs per the credit research agreement with Apollo Global Management. N.A. – Not applicable.

U.S. Investment Committee Experience (Years)

Name Title Role Firm IndustryStephen Riddell Chief Investment Officer Chief Investment Officer 1 21Albert Huntington Head of Capital Markets and Banking — 1 11

European Investment Committee Experience (Years)

Name Title Role Firm IndustryDan Robinson — RR U.K. Management Committee Member 1 17Alan Kelly — RR U.K. Management Committee Member 1 22

PRINT R.indd 261 4/7/2017 1:06:05 PM

239 Rothschild Group

Rothschild GroupThe Rothschild Group is a family-controlled and independent global financial advisory group. The firm’s credit platform, a part of its merchant banking division, had assets under management (AUM) of EUR3.1 billion as of Dec. 31, 2016, including sub-investment-grade credit across European and U.S. CLOs, credit funds and managed accounts. The CLOs are managed by a wholly owned MiFiD subsidiary, Five Arrows Managers LLP.

Firm ProfileRegion(s) of Operation U.S. EuropeAddress 633 West 5th Street, Suite 6700

Los Angeles, CA 90071New Court, St. Swithin’s LaneLondon, EC4N 8AL

Firm Type Multistrategy asset managementYear Established 2007 2007

EUR1.5 Bil. EUR1.7 Bil.Assets Under Management Total Employees/Investment Professionals 31/22a N.A.Active CLOs Under Management 5 2Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Sponsor/Originator Dedicated Capital to Fund Risk Retention Not Reported Not ReportedKey Affiliates (Global) Paris Orleans — ParentaLondon employees counted among U.S. N.A. − Not applicable.



CLO Team Leader(s) Mike Hatley Paul TapperCLO Portfolio Managers (PMs)/Avg. Experience 2/34 Years 3/27 Years


0.0

0.5

1.0

1.5

2.0

2016

(USD Bil.)


PRINT R.indd 263 4/14/2017 1:12:58 PM

240

0.0

0.5

1.0

1.5

2016

European Loan Assets Under Management(EUR Bil.)


Broadly Syndicated

Loans95.5%

Other4.5%

Europe50.6%

U.S.49.4%

Loan AuM By Region

CLOs78.2%

Managed Funds17.2%


Other4.6%


Name Title Role Firm IndustryMike Hatley Managing Director Chief Investment Officer 20 35Cheryl Wasilewski Director Credit Analyst 14 32Helen Rhee Director Credit Analyst 18 28Heidimarie Skor Director Credit Analyst 15 30Joy Jacob Director Credit Analyst 8 20Bradley Bryan Director Credit Analyst 3 29Todd Solomon Vice President Credit Analyst 1 12Michael Clancy Managing Director Non-Votinga 4 29Phil Yeates Managing Director Non-Votinga 21 26

11 11Tim Aylesa Director Non-Votinga

aHold a veto right for purposes of compliance with risk retention regulations.

Rothschild Group

CLO Investors

82.0%

Other9.9%


aIncludes insurance, at 3.5%

Pension/ Retirement

8.2%

a

PRINT R.indd 264 4/7/2017 1:06:06 PM

241 Rothschild Group


Name Title Role Firm IndustryMarc-Olivier Laurent Managing Director Head of Merchant Banking 22 37Andrew Didham Managing Director Vice Chairman 18 36Phil Yeates Managing Director Co-Head Debt Fund Management 21 26Michael Clancy Managing Director Co-Head Debt Fund Management 4 29John Sealy Managing Director Independent Committee Member 12 22Debra Lewis Consultant Independent Committee Member 24 24David Wilson Consultant Independent Committee Member 4 28


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRING-Oryx CLO 409 0 N N — — —Endurance CLO I 299 0 N N — — —WG Horizons CLO I 5/06 Reinvesting 400 133 N N — — —Ocean Trails CLO I 11/06 Reinvesting 350 163 N N — — —Ocean Trails CLO II 6/07 Reinvesting 400 291 N N — — —Ocean Trails CLO IV 8/13 Reinvesting 400 394 Y N — — —Ocean Trails CLO V 11/14 Reinvesting 408 400 Y N — — —Ocean Trails CLO VI 4/16 Reinvesting 306 306 Y N Sponsor — VerticalTotal 2,972 1,687



(EUR Mil.) EU RR FormName Pricing Status Original Current VR CRR Method of RRDalradian European CLO I B.V. 12/05 Called 350 0 N N — —Dalradian European CLO II B.V. 5/06 Called 400 0 N N — —Dalradian European CLO III B.V. 10/06 Called 450 0 N N — —Contego CLO I B.V. 1/07 Called 300 0 N N — —Dalradian European CLO IV B.V. 2/07 Called 400 0 N N — —Contego CLO II B.V. 10/14 Reinvesting 359 350 Y Y Sponsor VerticalContego CLO III B.V. 3/16 Reinvesting 307 307 Y Y Sponsor VerticalTotal 2,566 657


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12/01 Called 12/02 Called

Rothschild Group 242

Paris Orléans

Rothschild Continuation Holdings AG

NM Rothschild & Sons LimitedRothschild Bank AG(Switzerland)

Rothschild & Cie Banque SCS(France)

Rothschild Credit Management Limited

Five Arrows LLP


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243Rothschild Group

The Fitch ViewKey Considerations• Well-resourced and financially robust parent with a long history of investing in European

secured loans, albeit with relatively low loan and CLO AUM.• Strong control environment, reflecting the family-owned ethos of the business.• Good access to information resulting from the (well-controlled) interaction with Rothschild

Group’s strong advisory franchise.Company• Rothschild Group conducts its CLO management activities through a dedicated

subsidiary under its merchant banking division. It also manages unlevered funds andseparate accounts.

• Rothschild Group has been investing in European LBO debt since 1989 on balance sheet,although it largely ceased balance sheet loan investment activities in 2010. It has activelymanaged CLOs since 2007 and acquired Elgin Capital in 2011.

• All of the ownership interests of U.S. CLO manager West Gate Horizons Advisors, LLC andthe firm’s five CLOs were acquired by Rothschild North America Holdings, Inc. in September2015. The resulting CLO management entity in the U.S. became known as Rothschild CreditManagement (North America).

• The European credit management team comprises 19 staff, based in London. The creditresearch team consists of seven staff, and there are two dedicated loan traders.

Investments• The investment process is continuous, based on fundamental bottom-up credit analysis that

is formalized in a weekly credit forum and an investment committee comprising executiveand non-executive members.

• Credit research documented in standardized memos of good quality, with clear creditrecommendations. Rothschild Group benefits from its access to information via the advisorybusiness (subject to strict compliance oversight).

• There are a total of five PMs, one of whom is responsible for European CLOs and one forU.S. CLOs. Some of the PMs also have credit monitoring responsibilities.

• Turndown rate of approximately 75% on average.• PMs are responsible for position sizing, taking into consideration relative value and

diversification. Sales are at the discretion of the PMs.Controls• Governance is strong, effected through multiple committees and an advisory board.

Rothschild Group is regulated by the relevant French and U.K. authorities.• Rothschild Group’s overall risk control framework is robust, reflecting the group structure and

ultimate ownership by the Rothschild family.• Compliance actively and carefully manages advisory relationships via a “grey list” and

compliance oversight/chaperoning of meetings between the CLO management team andother areas of the business (advisory and private equity). Furthermore, the CLO team iseffectively public or private only on any name, which mitigates information risk.

• Pre- and post-trade controls are effected via Nexus (see below).Operations• Dedicated operations staff of three covering CLO and loan administration.• Cash is reconciled daily and positions monthly.• Rothschild Group does not provide supplemental investor reporting for CLOs.Technology• Nexus, provided by Virtus, is the key portfolio and CLO management solution, combined

with Excel portfolio monitoring tools. Nexus provides hypothetical-trade functionality and fullcash and position reconciliation. Pricing feeds are from Markit and Bloomberg.

• Detailed business continuity and disaster recovery plans are in place and tested, with offsiteserver storage and backups.

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244Seix Investment Advisors LLC

Seix Investment Advisors LLCSeix Investment Advisors LLC (Seix) is a New Jersey-based fixed-income manager whose primary focus is on institutional investors. On Dec. 16, 2016, Virtus Investment Partners, Inc. (Virtus) (NASDAQ: VRTS) announced that it had entered into an agreement to acquire RidgeWorth Capital Management LLC (RidgeWorth), the parent company of Seix.Upon close of this transaction, anticipated to occur in mid-2017, Seix will become a boutique subsidiary of Virtus, operating independently. As of Dec. 31, 2016, Seix had assets under management (AUM) of USD28 billion, with investments spanning syndicated loans, high-yield bonds and investment-grade bonds.

Firm ProfileRegion(s) of Operation U.S.Address One Maynard Drive, Suite 3200

Park Ridge, NJ 07656Firm Type Multistrategy asset managementYear Established 1992Assets Under Management USD27.6 Bil.Total Employees/Investment Professionals 76/42Active CLOs Under Management 8Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) RidgeWorth Capital Management LLC,

Ceredex Value Advisors,Silvant Capital Management,Zevenbergen Capital Investments



CLO Team Leader(s) George GoudeliasCLO Portfolio Managers (PMs)/Avg. Experience 2/30 Years

Credit Analysts, Non-PMs/Avg. Experience 9/20 Years Loan Team Credits Per Analyst (including PMs) 40–60Approximate No. of Invested Credits 30–40

02468

101214

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Seix Investment Advisors LLC 245

CLO Investors

9.6%

Managed Accounts

46.8%

Other15.3%


Pension/Retirement

28.3%

Europe3.1%

Other6.5%

U.S.90.4%

Loan AUM By Region

CLOs31.0%

Managed Funds68.0%

Managed Accounts

1.0%



Name Title Role Firm IndustryGeorge Goudelias Head of Leveraged Finance Portfolio Manager 16 30Vincent Flanagan Portfolio Manager Portfolio Manager 11 20Ray Kramer Head of Leveraged Finance Research Research 15 35Mike Kirkpatrick Senior Portfolio Manager Portfolio Manager 15 26James FitzPatrick Head of Leveraged Finance Trading Portfolio Manager 20 21


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRBaker Street Funding 2005-1 12/05 Called 350 0 N N — — —Mountain View Funding 2006-1 4/06 Called 450 0 N N — — —Baker Street II 9/06 Amortizing 390 88 N N — — —Mountain View II 10/06 Amortizing 450 198 N N — — —Mountain View III 4/07 Amortizing 500 145 N N — — —Grand Horn 12/07 Called 500 400 N N — — —Mountain View 2013-1 4/13 Reinvesting 400 398 Y N — — —Mountain View 2014-1 8/14 Reinvesting 500 492 Y N — — —Mountain View IX Ltd. 5/15 Reinvesting 550 553 Y N — — —Mountain View X Ltd. 7/15 Reinvesting 400 404 Y Y Originator — HorizontalMountain View 2016-1 12/16 Reinvesting 300 301 Y Y Originator C-MOA HorizontalTotal 4,790 2,979VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

Other51.0%




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Broadly

246 Seix Investment Advisors LLC

RidgeWorth Capital Management LLCa

AUM USD39.0 Bil.

RidgeWorth InvestmentsAUM USD297.0 Mil.

Zevenbergen Capital Investmentsb

AUM USD20.0 Mil.

WCM Investment Managementb

AUM USD69.0 Mil.

Ceredex Value AdvisorsAUM USD11.0 Bil.

Seix Investment Advisors LLCAUM USD27.0 Bil.

Silvant Capital ManagementAUM USD1.3 Bil.

Capital Innovationsb

AUM USD7.0 Mil.

RidgeWorth InternationalcDistribution Only – No AUM

aAs of Jan. 31, 2017. Past performance is not indicative of future results. RidgeWorth Investments wholly ownsCeredex Value Advisors LLC, Seix Investment Advisors LLC and Silvant Capital Management LLC, and has a minorityinterest in Zevenbergen Capital Investments (ZCI). Capital Innovations and WCM Investment Management (WCM)are not affiliated with RidgeWorth Investments, RidgeWorth Funds nor RidgeWorth Distributors LLC. bInvestmentadvisory services of Capital Innovations, WCM and ZCI are not available for promotion or sale by RidgeWorthInternational. cRidgeWorth International Ltd. is not an investment adviser and does not have any assets undermanagement. It is a distribution channel for RidgeWorth Capital Management LLC and its wholly owned investmentadviser subsidiaries.


PRINT S.indd 271 4/7/2017 1:24:20 PM

Seix Investment Advisors LLC 247

The Fitch ViewKey Considerations• Investment team, consisting of portfolio managers and credit research analysts, has

considerable experience in the loan market, and has had significant stability.• Bound to a conservative investment philosophy and standardized underwriting process,

Seix has built a solid CLO management track record.• Transitioning to a new owner will likely create upcoming challenges for Seix as it settles into

its new role within a larger organization; this is mitigated mostly by team’s stability andexperience in CLO management.

Company• Headquartered in Park Ridge, NJ, with other office locations in Atlanta, GA and Orlando, FL.• Seix is a wholly owned subsidiary of RidgeWorth Investments. On Dec. 16, 2016, Virtus

announced an agreement to purchase RidgeWorth from Lightyear Capital, a financialservices private equity firm. According to both the announcement press release and Fitch’scommunication with Seix, no material changes are expected for the CLO team as a result ofthis transaction. Completion of the sale is expected to occur in June 2017.

• Seix’s investment affiliates include two boutiques, also wholly owned by RidgeWorth, and oneminority-owned boutique, Zevenbergen Capital Management. Investment affiliates are CeredexValue Investors, Silvant Capital Management and Zevenbergen Capital Management.

• The leveraged finance team at Seix has 42 investment professionals across credit research,product specialists, quantitative research and trading.

Investments• Seix’s main investment philosophy is to have a transparent, repeatable investment process

based on fundamental, bottom-up research. Performance is primarily attributed to theamount of experience the team has together, combined with a focus on collaboration andinformation sharing.

• Investment ideas typically are sourced from the industry analysts. The research teamengages in bottom-up fundamental credit research to identify the strongest and mostundervalued credits.

• Seix internally rates every investment. Ongoing surveillance of credits is performed at leastquarterly. Weekly sector meetings help facilitate the sharing of trends and credit events.A formal watchlist is maintained and monitored. The research team uses Tamale, a creditresearch repository, to house all memos, notes and credit model outputs.

• Seix will implement an automatic formal credit review for an issue if its price falls 5% relativeto its peers.

Controls• The firm conducts an annual review of its policies and procedures that includes a risk

assessment to identify and prioritize areas of risk, conflict and other firm operations.• Ashland is retained for GIPS verification; it also conducts an annual SSAE 16 examination of

internal controls of the organization.• Personal trading activity for all staff is monitored through SunGard Protegent PTA, which

receives broker feeds nightly. The firm has formalized rules for public/private investing.Operations• Wall Street Office is used to administer loan assets and to perform daily cash reconciliations

between the CLOs and the trustee. An internal Excel-based model is also maintained as athird reconciliation and for hypothetical trading scenarios.

• An internal team performs all loan settlements. The robust process has resulted in very goodsettlement times versus industry averages.

• Appropriate investor reporting is available via the trustee.Technology• Bloomberg AIM is used for trade processing, including pre- and post-trade compliance.• Markit Partners supplies loan market pricing.• Tamale is used to store all credit write-ups, memos and research.

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248 Shenkman Capital Management, Inc.

Shenkman Capital Management, Inc.Shenkman Capital Management, Inc. (Shenkman) provides investment management services to institutional and individual investors with an investment focus on highly leveraged companies in the following asset classes: high yield bonds, senior secured loans, convertible bonds, opportunistic credit, short duration high yield, multi-asset credit, European/global high yield, and structured credit. Founded in 1985, Shenkman currently has USD30.8 billion in total assets under management (AUM), including seven CLOs with loan assets of approximately USD3.0 billion.

Firm ProfileRegion(s) of Operation U.S.Address 461 Fifth Avenue


USD30.8 Bil.Assets Under Management Total Employees/Investment Professionals 127/49Active CLOs Under Management 7Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Independent



CLO Team Leader(s) David Lerner, Jeffrey Gallo, Brian GoldbergCLO Portfolio Managers (PMs)/Avg. Experience 3/21 Years

Credit Analysts, Non-PMs/Avg. Experience 22/10 Years Loan Team Credits Per Analyst (incl. PMs) 35Approximate No. of Invested Credits 16

0.01.02.03.04.05.06.07.0

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Shenkman Capital Management, Inc. 249

CLOs10.0%

Other15.0%





CLO Investors

10.0%

Other53.0%


Pension/ Retirement

23.0%

Insurance14.0%

U.S.100.0%

Loan AUM By Region

CLOs47.0%

Managed Funds4.0%

Managed Accounts

49.0%



(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRWestbrook 12/06 Called 400 0 N N — — —Slater Mill 6/12 Amortizing 312 243 N N — — —Brookside Mill 5/13 Reinvesting 471 438 N N — — —Sudbury Mill 12/13 Reinvesting 419 394 N N — — —Washington Mill 5/14 Reinvesting 521 495 N N — — —Adams Mill 8/14 Reinvesting 522 526 N N — — —Jackson Mill 5/15 Reinvesting 560 556 N N — — —Jefferson Mill 7/15 Reinvesting 413 401 N N — — —Total 3,618 3,052

VR − Volcker Rule. CCR − European Capital Requirements Regulation. RR – Risk retention.

PRINT S.indd 274 4/7/2017 1:24:20 PM

Broadly

250 Shenkman Capital Management, Inc.

The Fitch ViewKey Considerations• Highly experienced investment professionals and senior management averaging over

20 years of industry experience.• Thorough, well-defined credit process focusing on bottom-up analysis to avoid defaults and

preserve capital. Well-defined investment discipline ensures all bank loan investments areapproved before investment decisions are made.

• Overall solid risk management framework and compliance functions. All critical operationalfunctions are handled in-house with sufficient resources dedicated to these areas.

• Maintaining stability among key staff and preserving the talent pool amid increasing industrycompetition remains an ongoing challenge.

Company• Founded in 1985, Shenkman employs a total staff of 127, including 49 investment

professionals, and has offices in New York, Stamford, CT and London.• Portfolio management team averages approximately 23 years of industry experience.

Low senior management turnover.• Invests across the credit universe, from senior secured bank loans, high-yield bonds,

convertible securities and stressed/distressed securities to separate accounts andcommingled funds.

• Segregated departments/teams with clear responsibilities for risk and control, investmentsand operations.

Investments• Investment strategy involves a focus on comprehensive, bottom-up credit research.

The credit research process is highly structured and disciplined, allowing for ease ofreplication across all investment products.

• The credit research department is organized by industry specialty. From the initial coverageof a credit, all new investments are thoroughly researched, assigned an internal credit scoreand presented by the analyst to a formal credit committee.

• Proprietary C.Scope© Score is used to assess an issuer’s financial, structural andtechnical characteristics.

• Portfolio managers can only select investments from Shenkman’s approved list and interactdaily with the analysts and traders to monitor events and company-specific developments.

• Daily research and credit update meetings and modeling capabilities support the investmentprocess and discipline of focusing on credit.

Controls• Robust and deep governance and control structure, with experienced and stable support and

operation teams.• Ongoing surveillance remains the responsibility of the analyst who originally assessed the

asset. All issuers are reviewed at least on a quarterly basis.• Formal risk monitoring through portfolio attribution meetings focusing on recent portfolio

construction and how risk characteristics have changed.Operations• No outsourcing of critical functions. In-house accounting, administrative back office and legal

teams with experience in leveraged finance, including bankruptcy and workouts.• Administrative capabilities reflect the highly qualified staff interacting with appropriate

systems and processes.• High-yield, bank loan and convertible investment products undergo an annual GIPS examination.• Firm undergoes annual SSAE 16 Type II audit.Technology• Efficient and robust order management system and reporting capabilities.• Use of both widely accepted industry systems and proprietary systems for portfolio management

and administration, including Advent Geneva, Wall Street Office, Electra OpenStaARS, MarkitThinkFolio, Inforalgo Universal Viewer and Omgeo ALERT & OASYS.

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251Sound Point Capital Management, LP

Sound Point Capital Management, LP Sound Point Capital Management, LP (Sound Point) is a New York-based investment advisory firm. Founded in 2008, the company focuses on the corporate credit market and manages investments through CLOs, managed accounts and managed funds. As of Dec. 31, 2016, Sound Point had approximately USD10.53 billion in assets under management (AUM).

Firm ProfileRegion(s) of Operation U.S.Address 375 Park Avenue, 33rd Floor

New York, NY 10152

48 Dover Street, 1st Floor London, U.K. W1S 4FF

Firm Type Multistrategy asset managementYear Established 2008

USD10.53 Bil.Assets Under Management Total Employees/Investment Professionalsa 54/28Active CLOs Under Managementa 14Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Stone Point Capital — AffiliateaAs of Jan. 31, 2017.


Leveraged Loan AUM USD9.71 Bil.a

Loans Managed via CLOs 80%a

CLO Team Leader(s) Rick Richert, Renée Gallizzo, Mort HaqueCLO Portfolio Managers (PMs)/Avg. Experience 4/18 Years

Credit Analysts, Non-PMs/Avg. Experience 11/11 YearsLoan Team Credits Per Analyst (including PMs) 55Approximate No. of Invested Creditsb 550 aAs of Jan. 31, 2017. bAs of Feb. 28, 2017.

0.0

2.0

4.0

6.0

8.0

10.0

2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


PRINT S.indd 277 4/7/2017 1:24:21 PM

Sound Point Capital Management, LP 252


Name Title Role Firm IndustryStephen Ketchum Managing Partner CIO 8 25Rick Richert Portfolio Manager PM 6 22Murtaza Haque Portfolio Manager/Senior Credit Analyst PM 5 17


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRSound Point CLO I 9/12 Amortizing 385 210 Y N — — —Sound Point CLO II 3/13 Reinvest. 379 382 Y N — — —Sound Point CLO III 6/13 Reinvest. 481 484 Y N — — —Sound Point CLO IV 11/13 Reinvest. 600 604 Y N — — —Sound Point CLO V 3/14 Reinvest. 600 600 Y N — — —Sound Point CLO VI 7/14 Reinvest. 600 606 Y N — — —Sound Point CLO VII 11/14 Reinvest. 500 502 Y N — — —Sound Point CLO VIII 3/15 Reinvest. 600 599 Y N — — —Sound Point CLO IX 5/15 Reinvest. 500 503 Y N — — —Sound Point CLO X 12/15 Reinvest. 450 454 Y N — — —Sound Point CLO XI 5/16 Reinvest. 500 503 Y N — MOA HorizontalSound Point CLO XII 8/16 Reinvest. 700 701 Y N — — —Sound Point CLO XIV 11/16 Reinvest. 700 701 Y N — MOA HorizontalSound Point CLO XV 2/17 Ramp Up 650 650 Y N — MOA HorizontalTotal 7,645 7,498


CLOs67.3%

Managed Funds11.8%

Managed Accounts

20.9%

Loan AUM By Product Typea

aAs of Jan. 31, 2017.

U.S. 100%

Loan AUM By Regiona

aAs of Jan. 31, 2017.

Other11.2%

Total AUM By Investor Typea

aAs of Jan. 31, 2017. bIncludes endowment, at 3.7%.

CLOInvestors

79.7%

Pension/ Retirement

9.2%

b

Total AUM By Asset Typea

aAs of Jan. 31, 2017. bIncludes structured credit, at 0.1%, and CLOs, at 2.4%.

Broadly Syndicated

Loans90.3%

Other4.2%


b

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253 Sound Point Capital Management, LP

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Sound Point Capital Management, LP 254

The Fitch ViewKey Considerations• Highly experienced investment professionals and senior management. The average is

18 years’ industry experience.• Overall solid risk management framework and compliance functions. All critical operational

functions are handled in-house with sufficient dedicated resources.• Key man risk tied to chief principal Steve Ketchum, although it is largely mitigated by the

ownership structure.Company• Established in 2008, Sound Point has 54 employees and offices in New York and London.• Founded by Stephen Ketchum, who has 25 years of investment experience.

Senior management team averages approximately 18 years of industry experience. Therehas only been one senior management departure since inception.

• Extensive industry experience wielded by senior investment professionals, who previouslyworked at and/or led loan and credit management firms such as Apollo Management,MetLife and American Capital Management.

• Sound Point is majority owned by Ketchum and minority owned by certain senior principalsof Stone Point Capital.

Investments• Investment strategy involves a focus on comprehensive bottom-up credit research and

avoiding overcrowded trades.• Formalized committee-based decision-making process in place. A commitment, if approved,

is approved across all products. Proprietary tools are utilized to facilitate research,communication and investment decisions.

• Investment committee consists of all investment professionals, with three senior investmentmembers as voting members. Internal ratings determined in committee process, withdecisions formed through a consensus-driven approach.

• Covering approximately 55 credits each, 11 research analysts formally review all credits atleast quarterly as part of a comprehensive portfolio review.

Controls• Robust policies and procedures evidenced by the third-party valuation process and

appropriate reconciliation and settlement process.• Continuous and open communication with the trustee, which also acts as administrator and

custodian on other Sound Point funds.• Ongoing surveillance remains the responsibility of the analyst who originally assessed the

asset. All issuers are reviewed at least quarterly.• The investment process allows replication across all products and provides clear rules

for allocation.Operations• Nineteen-member operations team.• Administrative capabilities reflect the highly qualified staff interacting with appropriate

systems and processes.• Well-defined and thorough operational procedures, including internal risk controls.• Automated and integrated daily reconciliation of cash and securities with various trustees, as

well as through appropriate third-party and proprietary systems.• CLO information is accessed by investors through the trustee website.Technology• Appropriate decision-making tools for risk analysis and investment allocation. Sound Point

uses both widely accepted industry systems and proprietary systems for portfoliomanagement and administration, including Wall Street Office Web, Markit, Advent Geneva,Bloomberg and Black Mountain Everest.

• Redundancies housed in both a remote site in Arizona as well as Stone Point Capital officesin Greenwich, CT, including full data and systems backup. All functions are tested annuallyfor immediate recovery needs.

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255Steele Creek Investment Management

Steele Creek Investment ManagementSteele Creek Investment Management (Steele Creek) is a Charlotte, NC-based CLO manager that was established in 2013 by Glenn Duffy, the co-founder and former CIO of Columbus Nova’s CLO business, and Matt Stouffer, previously managing director at Deerfield Capital Management. The firm is wholly owned by Moelis Asset Management LP (MAM), a global independent asset management firm that was founded in 2007. As of Dec. 31, 2016, Steele Creek had USD1.1 billion in assets under management (AUM).

Firm ProfileU.S.201 South College Street, Suite 1690Charlotte, NC 28244

Firm Type Independent CLO-focused managerYear Established 2013Assets Under Management USD1.1 Bil.Total Employees/Investment Professionals 8/8Active CLOs Under Management 3Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Moelis Asset Management LP — Parent



CLO Team Leader(s) Glenn DuffyCLO Portfolio Managers (PMs)/Avg. Experience 2/28 Years


0.0

0.2

0.4

0.6

0.8

1.0

1.2

2014 2015 2016

(USD Bil.)


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Region(s) of OperationAddress

Steele Creek Investment Management 256


Name Title Role Firm IndustryGlenn Duffy Managing Director Chief Investment Officer 3 27Matt Stouffer Managing Director Head of Portfolio Management 3 29Chris Ryan Managing Director Head of Moelis Asset Management 3 32


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRSteele Creek 2014-1 7/14 Reinvesting 400 402 Y N — — —Steele Creek 2015-1 4/15 Reinvesting 350 353 Y N — — —Steele Creek 2016-1 5/16 Reinvesting 300 302 Y N — — —Total 1,050 1,057



SyndicatedLoans

100.0%


CLOInvestors100.0%

Loan AUM By Region

U.S.100.0%


CLOs100.0%

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257 Steele Creek Investment Management

Moelis Asset Management

Moelis Capital Partners Gracie Asset Management

FreeportFinancial Partners

Steele CreekInvestment Management

Chamonix Partners Capital Management LLC

Collegium Global Partners

Archean Capital Partners


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Steele Creek Investment Management 258

The Fitch ViewKey Considerations• Experience of senior portfolio managers (PMs) Duffy and Stouffer, who together average

more than 25 years’ industry experience in the loan market and have both had extensiveexperience managing CLOs.

• Benefits from resources and commitment of parent with substantial scale (MAM).• Key man risk tied to Duffy and Stouffer in terms of maintaining growth and execution of the

CLO business.Company• Steele Creek is led by Duffy (27 years’ industry experience, including 17 years’ CLO

experience), who was formerly head of research and trading at Columbus Nova, andStouffer (29 years’ industry experience, including 14 years’ CLO experience).

• MAM has made both resource and financial commitments to Steele Creek. The resourcecommitment involves the provision of certain types of services, such as finance, accounting,legal, compliance and information technology support, and the financial commitment consistsof both CLO equity co-investment and working capital.

• In addition to PMs, the CLOs are supported by five credit analysts with industry experienceranging from seven to 22 years, including buy-side, CLO-specific experience ranging fromsix to eight years.

• In response to risk retention, MAM and Steele Creek raised Moelis Steele Creek OpportunityFund to invest in Steele Creek CLOs and warehouses.

Investments• As a buy-and-hold manager, Steele Creek constructs portfolios based on bottom-up

fundamental analysis and selectively choosing the top performers on a relative basis acrossall sectors.

• Industry factors are considered in both underwriting and portfolio construction, and are usedto determine the relative weighting of positions in CLOs. A 0.50%–0.75% exposure perissuer is typically targeted.

• As part of the investment committee process, Steele Creek utilizes a proprietary credit ratingsystem that independently assesses and quantifies each issue.

• The investment committee consists of three senior investment professionals, who togetheraverage 27 years of investment experience.

Controls• Daily credit risk monitoring process supported by appropriate portfolio

management framework.• Multiple levels of review and oversight, including review of risk rules by compliance team,

trustee review, rating agency reviews and weekly portfolio reviews.• Portfolio management and credit analysis are conducted in-house, supplemented by the use

of third-party analytical resources, including Wall Street Office (WSO).Operations• Strong compliance program and culture in place, including formal front-to-back-office work

flows that are integrated into the proprietary Compass system.• Steele Creek performs both pre- and post-trade compliance testing on all investments.• Adequate back- and middle-office resources ensure efficient and appropriate management

of CLOs and industry-standard controls.Technology• Flexible platform based on a combination of proprietary analytics and third-party

administration systems, including widely accepted industry systems such as Bloombergand WSO.

• Proprietary front-end portfolio management system, Compass, is tailored to CLOmanagement. It provides positions in real time, as well as portfolio attribution analysis, andacts as the trade order management system.

• Business continuity plan is appropriate and tested annually as necessary.

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259TCI Capital Management LLC

TCI Capital Management LLCTCI Capital Management LLC (TCICM) is a collateral manager and sponsor of CLOs. As of Dec. 31, 2016, TCICM managed three CLOs and had approximately USD1.4 billion in assets under management (AUM). TCICM manages loan assets exclusively through CLOs. TCICM utilizes, and expects to continue to utilize, the investment expertise of certain third-party sub-advisers to assist in the management of its CLOs.

Firm ProfileRegion(s) of Operation U.S.Address 399 Park Ave, 22nd Floor

New York, NY 10022Firm Type Independent CLO-focused managerYear Established 2016Assets Under Management USD1.4 Bil.Total Employees/Investment Professionals 18Active CLOs Under Management 3Current/Planned Risk Retention Structure Manager-owned affiliate (MOA)/

Capitalized manager-owned affiliate (C-MOA)Dedicated Capital to Fund Risk Retention USD300.4 Mil.Key Affiliates (Global) Tetragon Financial Group Limited, LCM Asset Management LLC,

TFG Asset Management L.P.



CLO Team Leader(s) See U.S. Key Personnel sectionCLO Portfolio Managers (PMs)/Avg. Experience

4/23 Yearsa

Credit Analysts, Non-PMs/Avg. Experience 9/15 Yearsa

Loan Team Credits Per Analyst (includingPMs)

45–50

Approximate No. of Invested Credits Over 400aTCI Capital Management relies on the services (including, without limitation, investment management services) ofcertain affiliated service providers, including LCM Asset Management LLC and TFG Asset Management L.P.

0.0

0.5

1.0

1.5

2.0

2016

(USD Bil.)


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TCI Capital Management LLC 260


Syndicated Loans

100.0%


CLOInvestors100.0%

Loan AUM By Region

U.S.100.0%


CLOs100.0%

U.S. Key PersonnelExperience (Years)a

Name Title Role Firm IndustryMike Adams — COO/Legal 11 14Dagmara Michalczuk — Board of Managers 11 13Michael Pang — Board of Managers 11 14Farboud Tavangar — Board of Managers 16 31aTCI Capital Management relies on the services (including, without limitation, investment management services) ofcertain affiliated service providers, including LCM Asset Management LLC and TFG Asset Management L.P.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRTCI-Flatiron CLO 2016 Ltd 6/16 Reinvesting 400 400 Y N — MOA/C-MOA HorizontalTCI-Symphony CLO 2016-1 Ltd 9/16 Reinvesting 502 502 Y N — MOA/C-MOA HorizontalTCI-Cent CLO 2016-1 Ltd 12/16 Reinvesting 500 500 Y N — MOA/C-MOA HorizontalTotal 1,402 1,402


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261TCI Capital Management LLC

Tetragon Financial Group LimitedPermanent capital company listed on Euronext Amsterdam N.V. and the Specialist Fund Market of the London

Stock Exchange

Tetragon Financial Group Master Fund Limited

Tetragon Credit Income II L.P.(Risk Retention Party)

Cayman Islands Limited Partner

Risk Retention CLO equity investment in CLOs managed by TCICM

TCI Capital Management LLC(TCICM)Delaware

Limited Partner Min 20%

Collateral Manager/SponsorRisk Retention Investment


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262Telos Asset Management LLC

Telos Asset Management LLCTelos Asset Management LLC (Telos), a subsidiary of Tiptree Inc., is a New York-based investment manager that focuses on corporate credit either through managed accounts or CLOs. As of Dec. 31, 2016, Telos managed seven CLOs and had USD1.9 billion in global assets under management (AUM).

Firm ProfileRegion(s) of Operation U.S.Address 780 Third Avenue, Floor 22

New York, NY 10017Firm Type Multistrategy asset managementYear Established 2006Assets Under Management USD1.9 Bil.a

Total Employees/Investment Professionals 9/9Active CLOs Under Management 7Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Tiptree Asset Management Company — Parent

Tiptree Inc. — ParentaUSD1.8 billion of fee-earning AUM.



CLO Team Leader(s) John J. McCormick IIICLO Portfolio Managers (PMs)/Avg. Experience 1/29 Years


0.0

0.5

1.0

1.5

2.0

2.5

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Telos Asset Management LLC 263

Middle Market Loans

20.0%


Broadly Syndicated

Loans80.0%

CLOs90.0%

Managed Funds10.0%


U.S.100.0%

Loan AUM By Region

CLO Investors

25.0%

Bank50.0%


Pension/Retirement

10.0%

Insurance15.0%


Name Title Role Firm IndustryJohn J. McCormick III President and Chief Investment Officer Portfolio Manager 10 29Jonathan Ilany CEO-Tiptree CEO 3 35Ro Toyoshima Managing Director Underwriter 10 28Jonathan Tepper Managing Director Underwriter/Trader 10 19Elie Doft Vice President Underwriter 10 17Adam Jakimo Vice President Underwriter/Trader 6 11Paresh Shah Vice President Underwriter 5 24Azher Raza Vice President Underwriter 4 14Gia Small Assistant Vice President Analyst 4 14


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRTelos 2006-1, Ltd. 11/06 Amortizing 411 34 N N — — —Telos 2007-2, Ltd. 6/07 Calleda 413 130 N N — — —Telos 2013-3, Ltd. 2/13 Amortizing 361 361 Y N — — —Telos 2013-4, Ltd. 4/13 Reinvesting 365 365 Y N — — —Telos 2014-5, Ltd. 5/14 Reinvesting 413 413 Y N — — —Telos 2014-6, Ltd. 12/14 Reinvesting 360 360 Y N — — —Telos 2016-7, Ltd. 4/16 Amortizing 252 230 Y N — — —Total 2,575 1,893aDeal called on March 10, 2017 and will pay off on April 17, 2017. VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

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264 Telos Asset Management LLC

Tiptree Inc.

Michael BarnesExecutive Chairman

Jonathan IlanyChief Executive Officer

Fortegra Financial

Corporation

John McCormickPresident and CIO

Other Tiptree Businesses

Care Investment Trust LLC

Specialty Finance

Telos Asset Management


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265 THL Credit Advisors LLC

THL Credit Advisors LLCTHL Credit Advisors LLC and its wholly owned subsidiary THL Credit Senior Loan Strategies LLC (collectively, THL Credit) manage public and private vehicles through its two primary business platforms: Direct Lending and Tradable Credit. The Tradable Credit team mainly invests in syndicated bank loans and high-yield bonds — via CLOs, separate accounts and commingled funds. THL Credit Senior Loan Services LLC was previously a wholly owned subsidiary of McDonnell Investment Management, LLC, where, as the alternative credit strategies group, it provided investment management services. As of Dec. 31, 2016, THL Credit had approximately USD8.5 billion in assets under management (AUM).

Firm ProfileRegion(s) of Operation U.S.Address 227 West Monroe Street, Suite 3200

Chicago, IL 60606Firm Type Multistrategy asset managerYear Established 2012Assets Under Management USD8.5 Bil.Total Employees /Investment Professionals 72/Not ReportedActive CLOs Under Management 10Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) THL Credit Advisors LLC,

Thomas H. Lee Partners L.P.



CLO Team Leader(s) James Fellows, Brian GoodCLO Portfolio Managers (PMs)/Avg. Experience 5/28 Years


0.01.02.03.04.05.06.07.08.0

2008 2009 2010 2011 2012 2013 2014 2015 2016


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THL Credit Advisors LLC 266

CLOs74.0%

Managed Funds4.3%

Managed Accounts

21.7%



Name Title Role Firm IndustryJames Fellows Managing Director PM 13 29Brian Good Managing Director PM 13 29Robert Hickey Managing Director PM 13 30Brian Murphy Managing Director PM 13 26Steve Krull Managing Director PM 13 19Michael Herzig Managing Director Head of Business Development 9 27


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRWind River I 12/04 Called 512 1 N N — — —Wind River II 9/05 Called 559 1 N N — — —Gannet Peak CLO 10/06 Called 618 2 N N — — —Wind River 2012-I 12/12 Reinvesting 514 502 Y N — — —Wind River 2013-I 4/13 Reinvesting 467 454 Y N — — —Wind River 2013-II 11/13 Reinvesting 447 436 Y N — — —Wind River 2014-I 5/14 Reinvesting 620 602 Y N — — —Wind River 2014-II 8/14 Reinvesting 643 619 Y N — — —Wind River 2014-III 12/14 Reinvesting 409 402 Y N — MOA VerticalWind River 2015-I 6/15 Reinvesting 617 607 Y N — MOA VerticalWind River 2015-II 9/15 Reinvesting 448 437 Y N — MOA VerticalWind River 2016-I 5/16 Reinvesting 608 601 Y N — MOA VerticalWind River 2016-II 9/16 Reinvesting 656 652 Y N — MOA VerticalTotal 7,118 5,316VR – Volcker Rule. CRR – European Capital Requirements Regulation. RR – Risk retention.

U.S.100.0%

Loan AUM By Region

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267THL Credit Advisors LLC

Institutional Funds/Separate Accounts

NASDAQ: TCRDBusiness Development Company April 2010 IPO

THL Credit Advisors LLC

CLO Management

Institutional InvestorVehicles/Separate Accounts/Private Funds

Direct LendingMiddle-market sponsored/unsponsored

non-investment-grade debt

Tradable CreditSenior loans and other high-yielding

credit products

Note: THL Credit Advisors LLC is the subadvisor of THL Credit Senior Loan Fund (NYSE: TSLF), which launched in September 2013.

NYSE: TSLFClosed-End Fund


THL Credit Advisors LLC 268

The Fitch ViewKey Considerations• Highly experienced senior team that has been managing CLOs for over 17 years.• Strong performance track record in long-only bank loans and CLOs. None of the firm’s

issued CLO debt or equity tranches has experienced periodic payment disruption.• Initiatives designed to automate and streamline the data gathering, reconciliation and

reporting processes will be necessary for the technology platform to remain competitive.Company• THL Credit manages public and private vehicles, with approximately USD8.5 billion in AUM

through its two primary business platforms: direct middle-market lending and broadlysyndicated bank loans.

• The Tradable Credit platform currently manages 10 CLOs. The core senior managementteam in place has issued 13 CLOs in total while at THL Credit and previous organizations.

• Tradable Credit senior managers have solid backgrounds, averaging 28 years of industryexperience in bank loan investing and risk management.

• Tradable Credit’s low staff turnover; its core senior management team has worked togetherfor over 18 years.

Investments• Good access to collateral facilitated by THL Credit’s wider distribution networks with

arranging banks and senior managers’ long-standing relationships with key industry players.• Investment thesis is to invest in businesses at attractive valuations in various market

environments. Value-oriented credit research with proactive approach to trading.• Loan analysis includes a review of the overall business, focusing on market sector,

management team, financials and the transaction structure.• A six-member investment committee meets daily, and more detailed portfolio reviews are

held weekly.• Experienced PMs with solid level of support, including 12 dedicated credit analysts,

organized by industry, and 13 members in operations and support roles. High level ofworkout and restructuring experience within THL Credit.

Controls• THL Credit has an adequate and well-defined control structure commensurate with the size

of its operations.• Three staff members dedicated to general compliance for legal/regulatory portfolio

guidelines, plus three additional staff members dedicated to monitoring daily compliance withCLO investment parameters.

• Rigidly followed sell rules in place that are continuously monitored for possible portfolioaction. Proactive credit and portfolio management style.

• Policies and procedures in place to address any potential conflicts and regulatory, legal andcontractual requirements across the company’s various business lines.

Operations• Straight-through processing for most portfolios/instruments, with daily reconciliation.• Wall Street Office (WSO) used as the core CLO administration system, facilitating collateral

administration and compliance monitoring.• Standard trustee reporting, in addition to manager market commentary, is provided to

investors. PMs are available to discuss queries with investors.• Established relationships with the various administrators and trustees utilized.Technology• Three in-house IT staff member handle programming needs for third-party systems such as

WSO, Intex and various data feeds. THL Credit utilizes a third party, Eze Castle, foradditional IT support and maintenance.

• Proprietary scoring model integrated with Bloomberg Analytics provides team with acomprehensive database capable of performing multivariate simulations of events thatnegatively affect a business or industry.

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269Trinitas Capital Management, LLC

Trinitas Capital Management, LLCTrinitas Capital Management, LLC (Trinitas) is a Dallas-based CLO management firm that was established in 2015. As of Dec. 31, 2016, Trinitas had USD0.98 billion in assets under management (AUM) through two CLOs.

Firm ProfileRegion(s) of Operation U.S.Address 8117 Preston Road, Suite 300

Dallas, TX 75225Firm Type Independent CLO-focused managerYear Established 2015

USD0.98 Bil.Assets Under Management Total Employees/Investment Professionals 7/5Active CLOs Under Management 2Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV)/OriginatorDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Not Reported



CLO Team Leader(s) Gibran MahmudCLO Portfolio Managers (PMs)/Avg. Experience 4/15 Years


0.0

0.3

0.5

0.8

1.0

2016

(USD Bil.)


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Trinitas Capital Management, LLC 270


Broadly Syndicated

Loans100.0%

CLO Investors100.0%


U.S.100.0%

Loan AUM By Region

CLOs100.0%



Name Title Role Firm IndustryGibran Mahmud Senior Managing Director CEO 4 19Nathan Hall Investment Committee Member Investment Committee Member 2 13Brandon Davis Investment Committee Member Investment Committee Member 2 12


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRTrinitas CLO IV 5/16 Reinvesting 407 407 Y Y Originator CMV HorizontalTrinitas CLO V 8/16 Reinvesting 409 409 Y Y Originator CMV HorizontalTotal 816 816


Trinitas Capital Management. LLCIndependent Asset Management

TriumphCapital Advisors, LLCStaff and Services Provider


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271Triumph Capital Advisors, LLC

Triumph Capital Advisors, LLCTriumph Capital Advisors, LLC (Triumph) is a Dallas-based investment management firm. Established in 2013, the firm focuses on credit investments, with an emphasis on senior-secured bank loans. As of Dec. 31, 2016, Triumph had USD1.5 billion in assets under management (AUM) via five CLOs. On March 31, 2017, Triumph announced they were acquired by investment firm Pine Brook Partners.

Firm ProfileRegion(s) of Operation U.S.Address 12700 Park Central Drive, Suite 1700

Dallas, TX 75206Firm Type CLO-focused subsidiary of a bank holding companyYear Established 2013Assets Under Management USD1.5 Bil.Total Employees/Investment Professionals 16/12Active CLOs Under Management 4Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV)/OriginatorDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Triumph Bancorp, Inc. — Parent



CLO Team Leader(s) Gibran MahmudCLO Portfolio Managers (PMs)/Avg. Experience 4/16 Years


0

1

2

3

2014 2015 2016

(USD Bil.)


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Triumph Capital Advisors, LLC 272


Syndicated Loans

100.0%


CLOInvestors100.0%

Loan AUM By Region

U.S.100.0%


CLOs100.0%


Name Title Role Firm IndustryGibran Mahmud Senior Managing Director CIO 3 18Davis Deadman Senior Managing Director Credit Committee Member 3 22Kurt Plumer Managing Director Credit Committee Member 3 24


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRDoral CLO II 3/12 Called 417 0 N N — — —Doral CLO III 11/12 Amortizing 311 262 N N — — —Trinitas CLO I 3/14 Reinvesting 400 396 Y N — — —Trinitas CLO II 6/14 Reinvesting 416 414 Y N — — —Trinitas CLO III 5/15 Reinvesting 409 408 Y N — — —Total 1,953 1,480


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273 Triumph Capital Advisors, LLC

Triumph Bancorp, Inc.

Triumph Capital Advisors, LLC TBK Bank, SSB

Triumph Insurance Group, Inc.Triumph Business Capital


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Triumph Capital Advisors, LLC 274

The Fitch ViewKey Considerations• Support from large, well-capitalized parent company, Triumph Bancorp, providing operational

and financial support as needed.• Senior managers of CLO team have deep experience together managing CLOs prior to the

formation of Triumph.• Key man risk remains an ongoing challenge given the responsibilities of three leading

members of the CLO team.Company• Senior leadership has extensive experience managing broadly syndicated loans and CLOs

and has longevity as a team that pre-dates Triumph, having worked together since 1999.Prior CLO experience includes structuring and managing over 30 CLOs (more thanUSD28 billion in assets).

• The CLO team comprises 12 investment/credit professionals with operational andcompliance and legal oversight personnel. Overall, the credit research team has long-termcredit experience.

• Triumph benefits from shared resources of the parent company such as compliance, IT,HR and accounting.

• Triumph established a relationship with a capitalized manager vehicle (CMV), Trinitas CapitalManagement, LLC, in late 2015 for the purpose of risk retention compliance. Triumphexpects to generate fee income from U.S. and European risk retention-compliant CLOsmanaged by the CMV, where Triumph provides staff and services support.

Investments• The investment style is to focus on broadly syndicated senior-secured bank loans through

bottom-up fundamental credit analysis. Active management of the portfolio is expectedduring loan pricing volatility.

• The credit research team is divided into sector specialization, with each analyst activelycovering approximately 25–30 credits.

• The investment team conducts formal daily credit and trading meetings.• Monthly watchlist meetings are held to review market trend information and relative value of

holdings compared with the market as an overlay to the fundamental credit work.Controls• Each CLO indenture is analyzed to create a customized compliance module facilitating all

relevant tests. All portfolio information is stored centrally, and portfolio analytics areperformed through a web-based tool.

• Hypothetical trades are performed in-house to view the effects of buy or sellrecommendations on indenture tests.

• The investment team maintains internal, formalized concentration limits for obligor, industryand asset class.

• Each investment undergoes a document review by the chief investment officer and the headof operations.

Operations• The operations team is responsible for hypothetical testing, reconciliation of internal

accounting to the trustee daily and monitoring of CLO performance.• Markit Wall Street Office (WSO) is used to monitor collateral quality, concentration limits and

other indenture tests. The trustee utilizes CDO Suite to monitor indenture compliance.• Triumph has implemented an order management system developed by Black Mountain

Systems. The platform assists with loan trading and portfolio management.• Some middle-office functions are outsourced, including loan administration and settlement

(handled by Markit).Technology• Triumph utilizes best-in-class systems, including WSO Web, CDO Suite and Black

Mountain Systems.• Business continuity plan is appropriate and tested. All employees have the ability to work

remotely, and the firm also has physical backup office space. Nightly server backups andcloud-based access ensure continuation during disaster scenario.

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275Valcour Capital Management LLC

Valcour Capital Management LLCValcour Capital Management LLC (Valcour) is a Stamford, CT-based specialist credit manager that was founded in 2009. The co-founders and senior portfolio managers (PMs) all previously worked together at Aladdin Capital Management. As of Dec. 31, 2016,Valcour had assets under management (AUM) of USD953 million, approximately 95% of which was invested in syndicated loans.


Address 201 Broad Street, 8th Floor Stamford, CT 06901

Firm Type Independent CLO-focused manager

Year Established 2009Assets Under Management USD953 Mil.


Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention Over USD100 Mil.Key Affiliates (Global) Valcour Capital Holdings LLC



CLO Team Leader(s) George Marshman, John D’AngeloCLO Portfolio Managers (PMs)/Avg. Experience 3/25 Years


0.0

0.2

0.4

0.6

0.8

1.0

1.2

2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Valcour Capital Management LLC 276


Name Title Role Firm IndustryGeorge Marshman Managing Partner Portfolio Manager 7 27Joseph Schlim Managing Partner Portfolio Manager 7 22John D’Angelo Partner Portfolio Manager 5 26Paul Arzouian Senior Credit Analyst Credit Analyst 4 28Alyse Kelly Senior Credit Analyst Credit Analyst 5 18Todd Murray Senior Credit Analyst Credit Analyst 5 18Wim Streeter Senior Credit Analyst Credit Analyst 3 17Brandon Warner Credit Analyst Credit Analyst 6 10


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRCrown Point CLO 9/12 Amortizing 250 142 N N — MOA HorizontalCrown Point II CLO 10/13 Amortizing 250 250 N N — MOA HorizontalCrown Point III CLO 4/15 Reinvesting 400 402 Y Y Originator MOA HorizontalTotal 900 794


CLOs91.0%

Managed Funds5.0%

Managed Accounts

4.0%


CLOs10.0%



U.S.100.0%

Loan AUM By Region

Bank25.0%

Pension15.0%

Other45.0%


Insurance15.0%

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Broadly

277 Valcour Capital Management LLC

Valcour Capital Holdings LLC

Valcour Capital Management LLC(Registered Investment Adviser)

100%


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Valcour Capital Management LLC 278

The Fitch ViewKey Considerations• Senior PMs’ depth and breadth of experience managing bank loans and CLOs.

They average 20 years’ relevant investment experience, and most recently all core memberswere at Aladdin Capital Management.

• Solid financial condition and profitability with one credit opportunities fund and three existingCLOs. Firm’s legal structure and existing capital lend themselves well to issuing riskretention-compliant CLOs.

• Key man risk exposure to managing partners and credit research team, althoughcompensation structure is geared toward retention of key personnel. This challenge is partlymitigated by significant personal capital and/or equity investments in the businessand CLOs.

Company• With 11 employees, Stamford-based Valcour has been a registered investment adviser and

a specialist in the leveraged loan market since it was established in 2009.• Valcour is 90% employee-owned with the remaining 10% held by a long-term

strategic investor.• Valcour currently manages three CLOs and a credit opportunity fund• Four dedicated credit analysts are sector generalists and focus on idea generation and credit

and economic research.• Flat organizational structure allows for flow of information and ideas between credit analysts

and PMs, resulting in efficient execution.• Valcour owns all of the equity in its CLOs.Investments• Portfolios are managed with a “buy-and-hold” philosophy driven by bottom-up credit analysis

and augmented by relative value and market trend considerations.• Credit selection process is focused on issuers with substantial asset values, operating in

businesses with high barriers to entry and sustainable competitive advantages.• Credit approval is performed through a disciplined committee-based process in which an

analyst presents to the credit committee. The committee focuses solely on credit throughformal credit write-ups. Key credit considerations are business plan, capital structure andlegal framework.

• Formalized ongoing surveillance process includes maintaining contact with borrowers,updating sector and industry analysis and comparing actual results with business plans.

Controls• Non-alpha-generating operations, including HR, IT and legal, are outsourced to

third-party vendors, including a compliance consulting vendor, Mission Critical.• U.S. Bank as shadow trustee provides an additional level of oversight to support accuracy of

trading, portfolio management and administration functions.• Valcour has compliance and governance processes in place to support accuracy of trading,

portfolio management and administration functions.Operations• Shadow trustee structure facilitates accurate daily reconciliation of cash and securities.• Flexible web- and Excel-based reporting and monitoring from a proprietary monitoring

database, fully integrated to CDO Suite as administration system and SentryPM compliance.

• Efficient and scalable trade processing platform.• Strong administrative systems are utilized by experienced and stable staff.Technology• Integrated and flexible platform that is based on a combination of proprietary analytics and

third-party administration systems including widely accepted industry systems such as CDOSuite and Sentry PM.

• Business continuity plan is appropriate and tested.• Numerous redundancies including internet, phone system and computer servers.

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279Voya Investment Management Co. LLC

Voya Investment Management Co. LLCVoya Investment Management Co. LLC (Voya IM) is a wholly owned (100%) subsidiary of Voya Financial, Inc. (NYSE: VOYA), a Fortune 500 company. As of Dec. 31, 2016, Voya IM had assets under management (AUM) totaling approximately USD217 billion, of whichits senior loan group represented USD22 billion.

Firm ProfileRegion(s) of Operation U.S.Address 230 Park Avenue


USD217 Bil.Assets Under Management Total Employees/Investment Professionals 930/255Active CLOs Under Management 19Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention USD500 Mil.Key Affiliates (Global) Voya Alternative Asset Management LLC (General Partner);

Voya Financial (Parent)


Leveraged Loan AUM USD22 Bil.Loans Managed via CLOs 43%

CLO Team Leader(s) Mohamed Basma, CFACLO Portfolio Managers (PMs)/Avg. Experience 2/17 Years

Credit Analysts, Non-PMs/Avg. Experience 14/12 Years (U.S.); 3/13 Years (Europe) Loan Team Credits Per Analyst (including PMs) 29 (U.S.); 6 (Europe)Approximate No. of Invested Credits 409 (U.S.); 18 (Europe)

0

5

10

15

20

25

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

(USD Bil.)


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Voya Investment Management Co. LLC 280


BroadlySyndicated

Loans100%

CLOs43.0%

Managed Funds41.2%

Managed Accounts

8.2%

Other7.7%



Name Title Role Firm IndustryDan Norman Managing Director Group Head 25 32Jeff Bakalar Managing Director Group Head and Chief Investment Officer 19 31Ralph Bucher Senior Vice President Chief Credit Officer 16 32Mohamed Basma, CFA Senior Vice President Portfolio Manager 17 20Mark Haak, CFA Senior Vice President Portfolio Manager 18 23Chuck LeMieux, CFA Senior Vice President Portfolio Manager 19 30Michel Prince Senior Vice President Portfolio Manager 19 30Robert Wilson Senior Vice President Portfolio Manager 19 30

CLO Investors

43.0%

Other47.7%


aIncludes managed accounts, at 3.2%, and insurance, 2.4%

Pension/Retirement

9.3%

a

U.S.94.4%

Other5.6%

Loan AUM By Region

aIncludes Canada (1.99%), Luxembourg (1.43%), and the Netherlands (1.02%)

a

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281Voya Investment Management Co. LLC


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRVoya CLO I 11/05 Called 400 0 N N — — —Voya CLO II 8/06 Called 500 0 N N — — —Phoenix CLO I 10/06 Called 404 404 N N — — —Voya CLO III 12/06 Amortizing 500 84 N N — — —Phoenix CLO II 3/07 Called 669 0 N N — — —Phoenix CLO III 5/07 Called 500 0 N N — — —Voya CLO IV 6/07 Amortizing 500 186 N N — — —Voya CLO V 8/07 Called 500 0 N N — — —Voya CLO 2011-1 6/11 Called 410 0 N N — — —Voya CLO 2012-1 3/12 Called 362 0 Y N — — —Voya CLO 2012-2 8/12 Amortizing 362 352 Y N — — —Voya CLO 2012-3 10/12 Amortizing 466 459 Y N — — —Voya CLO 2012-4 11/12 Reinvesting 414 414 Y N — — —Voya CLO 2013-1 3/13 Reinvesting 618 618 Y N — — —Voya CLO 2013-2 4/13 Reinvesting 470 470 N N — — —Voya CLO 2013-3 12/13 Reinvesting 518 518 N N — — —Voya CLO 2014-1 3/14 Reinvesting 413 413 Y N — — —Voya CLO 2014-2 6/14 Reinvesting 516 516 Y N — — —Voya CLO 2014-3 7/14 Reinvesting 518 518 Y N — — —Voya CLO 2014-4 11/14 Reinvesting 607 607 Y N — — —Voya CLO 2015-1 4/15 Reinvesting 613 613 Y N — — —Voya CLO 2015-2 7/15 Reinvesting 569 569 Y N — — —Voya CLO 2015-3 9/15 Reinvesting 809 809 Y N — — —Voya CLO 2016-1 2/16 Reinvesting 417 417 Y N — — —Voya CLO 2016-2 7/16 Reinvesting 407 407 Y N — MOA VerticalVoya CLO 2016-3 10/16 Reinvesting 608 608 Y N — MOA VerticalVoya CLO 2016-4 12/16 Reinvesting 707 707 Y N — MOA VerticalTotal 13,779 9,692


Voya Financial, Inc.

Lion CT Holdings

Voya Investment Management Co. LLC

Voya Investment Management Alternative Assets LLC

Voya Alternative Asset Management LLC


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Voya Investment Management Co. LLC 282

The Fitch ViewKey Considerations• Voya IM has a strong business franchise, a high level of focus on leveraged loans and an

experienced and stable management team.• Depth of experience of senior managers providing effective leadership. Stability of

management team, with senior staff having worked together for over 15 years.• Voya continues to develop enhanced portfolio management tools to address the more

detailed analysis required for bank loan investments.Company• Voya IM is a leading U.S.-based active asset management firm with over 40 years of

experience in investment management. Voya IM manages CLOs through Voya AlternativeAsset Management LLC, an indirect, wholly owned subsidiary of Voya Financial, Inc.

• The senior loan group’s investments are focused on the syndicated loan market; the grouphas been an active CLO issuer since 2005.

• Senior management team at the senior loan group averages approximately 28 years ofindustry experience and 18 years of working together.

• During the first quarter of 2010, the senior loan group assumed management of three CLOsoriginally managed by Avenue Capital.

Investments• The senior loan group’s investment objective is total return oriented with a high-quality bias.• The senior loan group follows a robust, seven-stage investment process that targets higher

quality non-investment-grade loans that exhibit attractive relative value within theasset class.

• More actively traded loans are also targeted to allow for better trade execution in times ofstress. Fundamental credit analysis is relied on to identify value opportunities.

• Credit analysts are responsible for ongoing surveillance. At the time of initial approval, riskparameters and surveillance criteria are set for each credit. All credits are reviewed quarterlyor monthly if applicable, and exposure is reduced if there is heightened concern over aspecific credit.

Controls• Voya IM provides strong corporate governance oversight. As a subsidiary of Voya Financial,

Voya IM is subject to external audits as applicable to its parent.• The senior loan group has a four-member investment compliance team that reports to its

head of treasury and operations. Separately, three members from Voya IM’s compliancedepartment are assigned to oversee compliance of the senior loan group with all applicablerules, regulations and investment restrictions, such as prospectuses and indentures.

• Control objectives are demonstrated by redundancies in the trustee interface reconciliationprocess and quarterly checks of all transactions by an external auditor.

Operations• The senior loan group is supported by a 27-person operations team focused on trustee,

custodian and analyst support, treasury and settlements, and CLO and fund compliancereporting, among other areas.

• CLO cash flows are managed through Wall Street Office (WSO).• Standard trustee reporting is provided to investors, and portfolio managers are available for

investor inquiries.Technology• The senior loan group has established a robust proprietary asset management system,

Research Delivery System, for managing loans and CLO portfolios• Appropriate decision-making tools for risk analysis and investment allocation. Voya IM uses

both widely accepted industry systems and proprietary systems for portfolio managementand administration, including WSO, Markit Loans, Inc./Loan Pricing Corporation, ThomsonFinancial/Reuters/Dow Jones Wire, Bloomberg/FactSet and rating agency data feedsand research.

• Voya IM maintains a working disaster recovery and business continuity plan that includesoffsite working capabilities and definitive time schedules for recovering critical systems.

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283Wellfleet Credit Partners, LLC

Wellfleet Credit Partners, LLCWellfleet Credit Partners, LLC is the performing credit platform for Littlejohn & Co, LLC.Littlejohn & Co, LLC was established in 1996 and is an equity and credit investor focused on middle market private equity, distressed and stressed securities, and broadly syndicated loans. Wellfleet Credit Partners, LLC’s CLO management platform launched its first CLO transaction in September 2015. As of Dec. 31, 2016, the firm was managingthree CLOs and had USD1.1 billion in global assets under management (AUM).

Firm ProfileRegion(s) of Operation U.S.Address 8 Sound Shore Drive

Greenwich, CT 06830Firm Type Multistrategy asset managementYear Established 2015

USD1.1 Bil.Assets Under Management Total Employees/Investment Professionals 8/7Active CLOs Under Management 3Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) Littlejohn & Co, LLC — Parent



CLO Team Leader(s) Scott McKay, Dennis TalleyCLO Portfolio Managers (PMs)/Avg. Experience 2/16.5 Years


0.0

0.5

1.0

1.5

2015 2016

(USD Bil.)


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Wellfleet Credit Partners, LLC 284

CLO Investors100.0%


U.S. 95%

Other 5%

Loan AUM By Region

CLOs100.0%



Name Title Role Firma IndustryScott McKay Managing Director PM 2 11Dennis Talley Managing Director PM 2 22Robert Davis Managing Director/Partner PM 12 29Richard Maybaum Managing Director/Partner PM 12 27aDuration of employment with Littlejohn & Co.


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRWellfleet CLO 2015-1 Ltd. 8/15 Reinvesting 360 356 Y N — — —Wellfleet CLO 2016-1 3/16 Reinvesting 359 350 Y N — MOA HorizontalWellfleet CLO 2016-2 11/16 Reinvesting 406 400 Y N — MOA HorizontalTotal 1,125 1,106



Broadly Syndicated

Loans99.0%

Middle Market Loans

1.0%

PRINT W.indd 312 4/7/2017 2:09:25 PM

285Wellfleet Credit Partners, LLC

Littlejohn & Co, LLC

Cetus Capital, LLCPrivate Equity

Littlejohn Private Equity Funds (Fund V)

Wellfleet Credit Partners, LLC

CLOs

Opportunities Funds

Separately Managed Accounts


Separately Managed Accounts

PRINT W.indd 313 4/7/2017 2:09:26 PM

286

The Fitch ViewKey Considerations• Benefits from resources and commitment of parent, Littlejohn & Co, LLC (Littlejohn), a firm

with a track record in private equity and distressed credit investments and ability to providecapital to grow Wellfleet Credit Partners, LLC (WCP).

• Thorough, well-defined credit process focusing on bottom-up fundamental analysis andinvestment style dedicates strong conviction by selectively choosing core investments andnot over-diversifying portfolios.

• Key man risk tied to portfolio managers Scott McKay and Dennis Talley in terms ofmaintaining growth and execution of the CLO business.

Company• WCP is the performing credit investment platform of Littlejohn and is the group responsible

for managing the CLO business. Littlejohn is the named registered investment adviser, withWCP a wholly owned subsidiary.

• Littlejohn was established in 1996 and has a focus on middle market private equity,distressed credit and broadly syndicated leveraged loans.

• WCP is led by portfolio managers Scott McKay and Dennis Talley; together, they have morethan 30 years of experience in leverage finance and previously managed USD1.5billion ofCLO AUM at another firm.

• WCP is further supported by five investment professionals (average of 10 years’ experience)with approximately 40 credits per analyst.

Investments• Investment style focuses on loss avoidance through establishing core portfolio positions and

focused research on these anchor investments. A goal of this focused investment strategy iscapital preservation by identifying credits that should be exited before they have drifted fromoriginal underwriting thesis.

• Industry factors are considered in both the underwriting and portfolio construction with afocus on traditional leverage finance sectors and underweighting sectors such as energy,financial services and gaming (investment restrictions).

• Credit underwriting is focused on valuation, historical and projected financials, and quality ofmanagement, industry trends and structure, and competitive advantages, among other factors.

• The investment process is formalized with each credit requiring full credit underwriting andunanimous approval of the investment committee. The investment committee comprisesportfolio managers of WCP and senior credit members from Littlejohn.

Controls• Formalized ongoing surveillance process involves daily meetings covering market trends and loan

performance as well as CLO portfolio compliance. Quarterly portfolio reviews are conducted with formal updates to projections and performance trends provided to the entire team.

• Broad market trends are discussed to ensure appropriate risk management oversight ofLittlejohn’s separate business units. Strategic business decisions are discussed, and amanagement committee ensures sharing of information across strategies.

• Internal compliance function well established with Littlejohn CFO acting as complianceofficer. Involvement of external compliance firm to help establish and review policies andprocedures and conduct mock audits.

Operations• Strong compliance program in place with front-end portfolio management reporting,

order management system, cash settlement and CLO compliance run in house that meetsindustry standards.

• Adequate back- and middle-office resources ensure efficient and appropriate managementof CLOs and industry-standard controls.

• Middle-office functions are outsourced to Virtus Partners.Technology• Flexible platform based on a combination of proprietary analytics and third-party

administration systems, including widely accepted industry systems such as Bloomberg andCapital IQ.

• Front-end portfolio management system is tailored to CLO management. Proprietaryportfolio compliance monitoring allows for real time feedback to portfolio managers.

• Business continuity plan is appropriate and tested as necessary.Wellfleet Credit Partners, LLC

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287York CLO Managed Holdings, LLC

York CLO Managed Holdings, LLCYork CLO Managed Holdings, LLC is the CLO management arm of York Capital Management Global Advisors, LLC (York), which was founded in 1991 and oversees USD16.2 billion in global assets under management (AUM). York’s credit business invests across special situations, arbitrage and distressed strategies. As of Dec. 31, 2016, York CLO Managed Holdings, LLC managed four CLOs with USD1.7 billion in AUM.

Firm ProfileRegion(s) of Operation U.S.Address 767 Fifth Avenue, 17th Floor

New York, NY 10153Firm Type Multistrategy asset managementYear Established 1991Assets Under Management USD16.2 Bil.Total Employees/Investment Professionals 153/40 (U.S.); 26/16 (Europe); 14/7 (Asia)Active CLOs Under Management 4Current/Planned Risk Retention Structure Not ReportedDedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) York Capital Management Global Advisors LLC — Parent


Leveraged Loan AUM USD3.01 Bil. Loans Managed via CLOs 56.5%CLO Team Leader(s) Rizwan AkhterCLO Portfolio Managers (PMs)/Avg. Experience 1/22 Years Credit Analysts, Non-PMs/Avg. Experience 17/9 YearsLoan Team Credits Per Analyst (including PMs) Not ReportedApproximate No. of Invested Credits Not Reported

CLOs9.1%

Other85.5%


Broadly Syndicated

Loans5.4%

CLO Investors

10.0%

Bank17.0%

Other38.0%


Endowment11.0%

Pension/ Retirement

24.0%

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York CLO Managed Holdings, LLC 288

Europe11.4%

U.S.76.4%

Other12.2%

Loan AUM By Region

CLOs56.5%

Managed Funds43.5%



Name Title Role Firm IndustryRizwan Akhter Managing Director Portfolio Manager 2 22William C. Vrattos Partner Head of Global Credit 14 24Jeanne L. Manischewitz Partner Co-Head of North America Credit 11 20


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRYork CLO-1, Ltd. 12/14 Reinvesting 400 401 Y N — — —York CLO-2, Ltd. 9/15 Reinvesting 500 501 Y N — — —York CLO-3, Ltd. 5/16 Reinvesting 400 401 Y N — — —York CLO-4, Ltd. 11/16 Reinvesting 400 400 Y N — — —Total 1,700 1,703


York Capital Management Global

Advisors, LLCGeneral Partners/

Investment Managers

Funds

Investment Advice

York Capital Management (US)

Advisors, L.P.Administrative Entity

Subsidiaries

York Capital Management Europe (UK) Advisors, L.L.P.

York Capital Management Asia (HK) Advisors Ltd.

CLOsInvestment

AdviceManagement Fee


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289York CLO Managed Holdings, LLC

The Fitch ViewKey Considerations• Strong credit resources stemming from large research team with significant experience

across credit asset classes.• Diversified asset management platform; revenue not dependent on future CLO issuance to

remain viable.• Significant employee capital invested in the firm’s funds and institutional structure support

future risk retention compliance.• Ability to scale broadly syndicated loan platform while maintaining competitive advantages

with allocations remains an ongoing challenge.Company• Founded in 1991, York manages USD16.2 billion in assets. The firm’s credit business

focuses on distressed credit investing, high yield and European distressed investing.• The collateral manager for the CLOs is York CLO Managed Holdings, LLC, a wholly owned

subsidiary of York.• In total York has significant resources with 193 employees. The global credit investment

team comprises 27 investment professionals with average experience of approximately 13years.

• The CLO platform also benefits from dedicated operations personnel and systems, but isable to leverage off York’s larger infrastructure including 63 investment and 130 non-investment professionals.

Investments• Investment objective is focused on using the knowledge and experience of investment

professionals across asset classes, industries and geographies to apply a fundamental,research-driven approach. Investment style seeks to limit losses due to idiosyncratic risksand downside credit risk protection.

• York implements this investment style for its CLOs through maintenance of a diverseportfolio with a focus on liquid loans. For investments in less liquid loans, conviction must bevery high with favorable risk/return profile.

• The CLO credit underwriting process is formalized and every credit goes through an initialscreening process, followed by a detailed fundamental credit analysis, culminating in aformal, written credit report.

• Dedicated traders maintain street relationships and execute trades. Trading takes intoaccount market technical analysis and discussions between portfolio manager and traders.

Controls• Ongoing risk management is performed through formal portfolio reviews and is dependent

on credit surveillance by sector and obligor and macro market views. Active portfoliorebalancing as a result of risk management to reflect changes in credit or broadmarket movements.

• Risk management of CLOs supported by robust integration of Wall Street Office (WSO) Webfor portfolio reporting and WSO Compliance for indenture test reporting requirements.

• Independent operations team proactively ensures compliance with investment guidelinesand conducts both pre- and post-trade compliance.

Operations• Strong administrative systems and procedures are utilized by experienced and

stable staffing.• In addition to daily cash and position reconciliation, York maintains parallel WSO system to

ensure trustee reporting accuracy.• CLO platform benefits from support from broader York operations staff including

HR, marketing and legal.Technology• The CLO platform benefits from technology resources of York.• Business continuity plan is appropriate and tested.• Disaster recovery includes offsite backup, remote access and complete data and

network redundancies.

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290ZAIS Group, LLC

ZAIS Group, LLCZAIS Group, LLC (ZAIS) was established in 1997 by Christian Zugel. As of Dec. 31, 2016, it had approximately USD3.4 billion in assets under management (AUM) globally across three main investment strategies: mortgages (primarily RMBS/residential whole loans), corporate strategies and structured products. ZAIS currently manages five U.S. CLOs.

Firm ProfileRegion(s) of Operation U.S.Address Two Bridge Avenue, Suite 322

Red Bank, NJ 07701Firm Type Multistrategy asset managerYear Established 1997

USD3.4 Bil.Assets Under Management Total Employees/Investment Professionals 60/24Active CLOs Under Management 5Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)Dedicated Capital to Fund Risk Retention Not ReportedKey Affiliates (Global) ZAIS Group Holdings — Parent



CLO Team Leader(s) Vincent IngatoCLO Portfolio Managers (PMs)/Avg. Experience 2/30 Years


0.0

0.5

1.0

1.5

2.0

2013 2014 2015 2016

(USD Bil.)


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ZAIS Group, LLC 291


Managed Fundsa

37.7%

Otherb

51.7%

Managed Accounts

10.6%

aThis is a combined representation of ZAIS Group Master Fund and Fund of Ones. bThis is a combined representation of ZAIS Group Structured Vehiclesand Other.

U.S.100.0%

Loan AUM By Region


Name Title Role Firm IndustryVincent Ingato Portfolio Manager, Managing Director Leveraged Finance 3 34John Doyle Director Leveraged Finance 3 30Brian O’Leary Director Leveraged Finance 2 34John Veidis Director Leveraged Finance 3 26


(USD Mil.) EU RR U.S. RR FormName Pricing Status Original Current VR CRR Method Method of RRZAIS CLO 1 2/14 Reinvesting 310 305 Y N — — —ZAIS CLO 2 9/14 Reinvesting 334 330 Y N — — —ZAIS CLO 3 4/15 Reinvesting 409 403 Y N — — —ZAIS CLO 4 4/16 Amortizing 281 276 Y N — — —ZAIS CLO 5 9/16 Reinvesting 409 401 Y N — — —Total 1,743 1,715


Bank42.0%

Other44.0%

Loan AUM By Investor Type

aIncludes asset manager, at 38%, and hedge fund, at 2%.

Insurance9.0% Pension/

Retirement5.0%

a

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292 ZAIS Group, LLC

ZAIS Group, LLC

ZAIS Group Parent, LLCa

100%

ZAIS Alternative Credit Management, LLC

ZAIS Value Added Real Estate GP, LLC

ZAIS Atlas GP, LLC

ZAIS Atlas SPV, LLC

ZAISSolutions, LLC

ZAIS Group UK Ltd.

ZAIS Solutions Shanghai Co. Ltd.b

100% owned by ZAIS Solutions, LLC

ZAIS Leveraged Loan Manager, LLC

ZAIS Leveraged Loan Manager 3, LLC


GP/LP Entities of Managed Vehicles Operating Subsidiaries Other Advisory

Entities

ZAIS Leveraged Loan Master Manager , LLC

ZAIS REIT Management, LLC

(managing member with controlling interest)


aZAIS Group Holdings, Inc. is the managing member of ZAIS Group Parent, LLC. bOn March 20, 2015, the board of Directors of ZAIS Group Holdings, Inc. unanimously approved the termination of ZAIS’s operations in Shanghai.Note: Entities listed above are 100% owned by ZAIS Group, LLC unless otherwise noted.


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ZAIS Group, LLC 293

The Fitch ViewKey Considerations• Not significantly dependent on future CLO issuance to drive profitability at the corporate

level, given ZAIS’s diversified product lineup.• Depth and breadth of experience among senior portfolio managers, who average more than

20 years’ relevant investment experience, including CLO team’s strong management history.• Key man risk tied to Vincent Ingato for growth and stability of CLO platform and loan AUM.Company• ZAIS has 60 professionals and 24 investment professionals and is headquartered in

Red Bank, NJ, with an additional office in London.• ZAIS products are largely held by institutional investors.• ZAIS has a diversified investment platform; strategies include mortgage, corporate

and multistrategy.• The leveraged finance team is led by Ingato, a seasoned professional who previously

established the CLO businesses at ACA Capital and Mountain Capital Advisors/Mizuho Bank.

Investments• Active portfolio management, with a focus on strong businesses with significant cash flow

generation and sustainable capital structures. Fundamental credit research used to maintaincore objective of principal preservation and prevention of downside scenarios.

• Potential investments are initially screened to comply with overarching strategy, after whichanalysts are assigned to perform an in-depth analysis on each credit.

• The core of the leveraged loan investment committee, whose function it is to oversee creditselection, approval and construction, consists of four senior individuals with an average of30 years’ industry experience.

• Proprietary credit selection tools assist analysts in generating an internal credit rating.Criteria include analysis of business risk (industry fundamentals, management track record),financial structure (leverage, capital structure, ratios and historical performance) and loanstructure (collateral terms, covenants, recovery analysis and intercreditor issues).

Controls• Robust internal controls to support compliance and risk management, including

various standing committees (valuation, investment, commitments, and conflicts and crosstrades) disclosure).

• Quarterly portfolio reviews in which analysts produce written reports to substantiate theirinvestment thesis for each credit they cover.

• ZAIS has policies and processes in place to support the accuracy of trading, portfoliomanagement and administration functions.

Operations• Administrative capabilities reflect qualified staff interacting with appropriate systems and

processes.• Trade settlement and loan processing performed by Wall Street Office (WSO), providing

additional independent oversight.Technology• Proprietary integrated analytics platform that includes a private database of corporate CDO

and RMBS structures.• ZAIS uses industry-standard third-party systems, including, but not limited to, Black

Mountain, Bloomberg and WSO, and proprietary systems for portfolio management.

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Documents

CLO Asset Manager Handbook - Fitch Home · Welcome to the sixth edition of Fitch Ratings’ CLO Asset Manager Handbook. This edition includes profile reports for 74 CLO managers,