CLO Asset Manager Handbook. April 2017 Sixth Edition

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1 CLO Asset Manager Handbook April 2017 Sixth Edition

2 Key Contacts Structured Credit Russ Thomas Director Andrew Worthington Director a n d r e w.w o r t h i n g t o fi t c h r a t i n g s.c o m Derek Miller Managing Director Kevin Kendra Managing Director Matthias Neugebauer Managing Director Leveraged Finance Michael Simonton Managing Director Michael Paladino Managing Director Sharon Bonelli Senior Director Business and Relationship Management Jill Zelter Managing Director Winnie Fong, CFA Managing Director David Kreidler Senior Director

3 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 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 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 CLO Asset Manager Handbook i

4 Manager Profiles Advisors, Inc... 1 Allianz Global Investors... 5 American Money Management Corporation... 9 Anchorage Capital Group, L.L.C Angelo, Gordon & Co Apex Credit Partners LLC Apollo Global Management, LLC Ares Management LLC AXA Investment Managers S.A Bain Capital Credit, LP Ballyrock Investment Advisors LLC Barings LLC BlackRock, Inc BlueMountain Capital Management, LLC BNP Paribas Investment Partners Cairn Loan Investments LLP Carlyle Group, The Chenavari Investment Partners Chicago Fundamental Investment Partners, LLC CIFC Asset Management LLC Columbia Management Investment Advisers, LLC Commerzbank Debt Fund Management Credit Suisse Asset Management Crescent Capital Group LP Crestline Denali Capital, L.P CVC Credit Partners, LP DFG Investment Advisers, Inc Fortress Investment Group LLC GC Advisors LLC (Golub Capital) GLG Partners LP GoldenTree Asset Management, LP GSO / Blackstone Debt Funds Management LLC Guggenheim Investments Halcyon Loan Management LLC HPS Investment Partners, LLC Insight Investment Intermediate Capital Group Invesco Senior Secured Management, Inc KKR Credit Advisors (US) LLC Kramer Van Kirk Credit Strategies LP LCM Asset Management LLC Marathon Asset Management, LP Continued on next page. CLO Asset Manager Handbook ii

5 Manager Profiles (Continued) Marble Point Credit Management LLC MidOcean Credit Fund Management LP Monroe Capital, LLC Napier Park Global Capital (US) LP Neuberger Berman Group LLC Newfleet Asset Management, LLC NewStar Financial, Inc NXT Capital Investment Advisers, LLC NYL Investors LLC Oak Hill Advisors, L.P Oaktree Capital Management, L.P Och-Ziff Capital Management Group LLC Octagon Credit Investors, LLC Palmer Square Capital Management LLC PineBridge Investments LLC Prudential Fixed Income Redding Ridge Asset Management LLC Rothschild Group Seix Investment Advisors LLC Shenkman Capital Management, Inc Sound Point Capital Management, LP Steele Creek Investment Management TCI Capital Management LLC Telos Asset Management LLC THL Credit Advisors LLC Trinitas Capital Management, LLC Triumph Capital Advisors, LLC Valcour Capital Management LLC Voya Investment Management Co. LLC Wellfleet Credit Partners, LLC York CLO Managed Holdings, LLC ZAIS Group, LLC CLO Asset Manager Handbook iii

6 40 86 Advisors, Inc. Founded in 1981, Advisors, Inc. (40 86) is a wholly owned subsidiary of CNO Financial Group, Inc. (CNO). As of Dec. 31, 2016, 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 mainly serves insurance companies; it also manages six CLOs that invest in broadly syndicated loans. Firm Profile Region(s) of Operation Address Firm Type Year Established Assets Under Management 535 N. College Drive Carmel, IN Multistrategy asset management 1996 (CLO operations) USD25.69 Bil. Total Employees/Investment Professionals 72/38 Active 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-MOA Bankers Life and Casualty Company, Washington National Insurance Company, Colonial Penn Life Insurance Company Other affiliates Loan Management Profile Region(s) Leveraged Loan AUM USD1.86 Bil. Loans Managed via CLOs 93% CLO Team Leader(s) Eddy Piedra CLO 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) 31 Approximate No. of Invested Credits 311 Loan Assets Under Management (USD Bil.) Advisors, Inc. 1

7 Total AUM By Asset Type High Yield Bonds 3.9% Broadly Syndicated Loans 7.2% Total AUM By Investor Type Other 15.0% CLO Investors 7.0% Other 64.0% Structured Credit 23.9% CLOs 0.9% Insurance 78.0% Loan AUM By Region Loan AUM By Product Type Europe 5.5% Other 4.4% Managed Accounts 7.0% 90.1% CLOs 93.0% Credit Committee Experience (Years) Name Title Role Firm Industry Eddy Piedra Vice President Bank Loans and CLOs 9 20 Matt Hall Senior Vice President Head of Credit Research 9 18 Bryan Higgins Associate Vice President Bank Loan Trader CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Sugar Creek 4/12 Amortizing Y N Cedar Creek 2/13 Reinvestment Y N Silver Creek 6/14 Reinvestment Y N Clear Creek 2/15 Reinvestment Y N Originator C-MOA Bean Creek 12/15 Reinvestment Y N Originator C-MOA Mill Creek II 3/16 Reinvestment Y N Originator C-MOA Total 1,976 1,875 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention Advisors, Inc. 2

8 Organizational Structure CNO Financial Group Advisors CreekSource Washington National Bankers Life and Casualty Company Colonial Penn Life Insurance Company Advisors, Inc. 3

9 The Fitch View Key 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 Committee process is ad hoc rather than formalized. However, investment approval typically requires unanimous consent from team members. Company 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, 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 acts as a sub-adviser to the collateral manager. Senior members of the bank loan team average 19 years of industry experience. CLO platform head Eduardo Piedra has 12 years of direct CLO management experience, in addition to broader bank loan experience. The CLO platform is a cooperative effort primarily involving the bank loan group, credit research, 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 Controls Strong oversight provided by parent CNO, including annual internal audits and risk assessments of all essential investment management functions has been an SEC-registered investment adviser since An SEC review was conducted in February 2012; no material findings were reported. CreekSource is a relying adviser. The firm monitors indenture compliance daily to review any issues from the previous day 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 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 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 Advisors, Inc. 4

10 Allianz Global Investors Allianz 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 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 Firm Profile Region(s) of Operation Global Address 1633 Broadway, New York, NY 10019/ 600 W. Broadway, San Diego, CA Firm Type Multistrategy asset management Year Established 1895 Assets Under Management USD506 Bil. Total Employees/Investment Professionals 2,880/611 Active CLOs Under Management 4 Current/Planned Risk Retention Structure Not Reported Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Allianz SE Parent Loan Management Profile Region(s) Leveraged Loan AUM USD1.79 Bil. Loans Managed via CLOs 97% CLO Team Leader(s) William (Brit) L. Stickney CLO Portfolio Managers (PMs)/Avg. Experience 4/24 Years Credit Analysts, Non-PMs/Avg. Experience 7/14 Years Loan Team Credits Per Analyst (including PMs) 40 Approximate No. of Invested Credits 120 Loan Assets Under Management (USD Bil.) Allianz Global Investors 5

11 Total AUM By Asset Type Total AUM By Investor Type High Yield Bonds 3.1% Insurance 34.4% Other a 96.9% a Includes CLOs (0.3%). Loan AUM By Region Other a 65.6% a Includes CLO investors (0.3%), endowment (0.3%), pension/retirement (2.5%) and bank (0.8%). Loan AUM By Product Type 100% Managed Funds 50.1% Other a 49.9% a Includes CLOs (0.3%). Credit Committee Experience (Years) Name Title Role Firm Industry William (Brit) L. Stickney Managing Partner Lead Portfolio Manager Douglas G. Forsyth Managing Director CIO Justin M. Kass Managing Director Portfolio Manager Michael E. Yee Managing Director Portfolio Manager CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR NACM CLO I 6/06 Called N N NACM CLO II 9/06 Called N N West CLO /12 Reinvesting Y N West CLO /13 Reinvesting Y N West CLO /14 Reinvesting Y N West CLO /15 Reinvesting Y N Total 2,248 1,731 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Allianz Global Investors 6

12 Organizational Structure Allianz SE Allianz Asset Management AG Allianz Asset Management of America LP a Allianz Global Investors GmbH Allianz Global Investors Holdings LLC a Allianz 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. Allianz Global Investors 7

13 The Fitch View Key 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 a diversified asset and investor base. The company employs best-in-class risk management and compliance oversight, coupled with proprietary systems that integrate portfolio management tools, compliance and administrative functions. Maintaining consistent CLO AUM given runoff of legacy CLOs and challenging market conditions that affect new CLO issuance will be an ongoing challenge. Company The income and growth strategies team, responsible for overseeing CLOs, manages diversified strategies, including high yield, convertibles, CDOs (it has issued six CLOs since 2000) and traditional income and growth. Low senior management turnover, as evidenced by portfolio managers (PMs) on the team with 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 research analysts. 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 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 and leverage ratios. Portfolios are constructed to consist of equally weighted positions, demonstrating equal conviction 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 a large global insurer. The company has a deep risk management team, with more than 70 dedicated specialists globally who average more than 10 years of risk management experience. In addition to the presence of two compliance officers onsite who review all trades, an independent 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 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 systems such as WSO. The business continuity plan is appropriate and tested. Multiple redundancies in the Dallas offices, Citrix, remote access and cloud servers have performed in disaster scenarios. Allianz Global Investors 8

14 American Money Management Corporation American 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 Profile Region(s) of Operation Address Firm Type Year Established 1973 Assets Under Management USD4.5 Bil. Total Employees/Investment Professionals 38/21 Active CLOs Under Management 11 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Loan Management Profile Region(s) 301 East Fourth Street Cincinnati, OH Wholly owned subsidiary of American Financial Group, Inc. Majority-owned affiliate (MOA) Not Reported Great American Insurance Company; Great American Life Insurance Company Leveraged Loan AUM USD4.5 Bil. Loans Managed via CLOs 100% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Chester Eng, Dave Meyer 2/25+ Years Credit Analysts, Non-PMs/Avg. Experience 14/20+ Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 615 Loan Assets Under Management (USD Bil.) American Money Management Corporation 9

15 Total AUM By Asset Type Total AUM By Investor Type Broadly Syndicated Loans 100.0% Banks 75.0% Endowments 5.0% Pension/ Retirement 5.0% CLO Investors 5.0% Other 5.0% Insurance 5.0% Loan AUM By Region Europe 10.0% Loan AUM By Product Type CLOs 100.0% / Canada 90.0% Credit Committee Experience (Years) Name Title Role Firm Industry Chester Eng Senior Vice President Portfolio Manager Dave Meyer Senior Vice President Portfolio Manager CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR AMMC CLO IX 11/11 Reinvesting Y N AMMC CLO X 2/12 Amortizing Y N AMMC CLO XI 9/12 Reinvesting Y N AMMC CLO XII 3/13 Reinvesting Y N AMMC CLO XIII 11/13 Reinvesting Y N AMMC CLO XIV 6/14 Reinvesting Y N AMMC CLO 15 11/14 Reinvesting Y N AMMC CLO 16 4/15 Reinvesting Y N AMMC CLO 17 11/15 Reinvesting Y N AMMC CLO 18 4/16 Reinvesting Y N AMMC CLO 19 10/16 Reinvesting Y N Total 4,787 4,545 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. American Money Management Corporation 10

16 Organizational Structure American Financial Group, Inc. 100% American Money Management Corporation American Money Management Corporation 11

17 The Fitch View Key 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-proven functionality of the system and the experience and stability of the compliance staff in maintaining 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 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 senior managers Chester Eng and Dave Meyer. AMMC or affiliates typically retain significant portions of equity in their CLOs, ranging between 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-andhold 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 When compared to S&P s LCD LoanStats, the CLO loan portfolio has outperformed the market in terms of defaults on an annualized basis since The CLO team uses proprietary cash flow models and Excel-based models for compliance and 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 portfolio developments, 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. American Money Management Corporation 12

18 Anchorage Capital Group, L.L.C. Anchorage Capital Group, L.L.C. (Anchorage) is a New York-based investment adviser founded in 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 Profile Region(s) of Operation Address Firm Type 610 Broadway, 6th Floor New York, NY Hedge fund sponsored credit manager Year Established 2003 Assets Under Management a,b USD16.4 Bil. Total Employees/Investment Professionals 149/49 (); 26/15 (Europe); 5/4 (Australia) Active CLOs Under Management 13 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Independent a Includes all pooled investment funds and single-investor funds managed by Anchorage (collectively, the Anchorage Funds) as of Dec. 31, 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. b CLO 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, For the avoidance of doubt, the market value of any direct investments in the Anchorage CLOs that are held by the Anchorage Funds is also included in the firm s AUM figure. Loan Management Profile Region(s) Leveraged Loan AUM a USD5.4 Bil. Loans Managed via CLOs b 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 44 Loan Team Credits Per Analyst (including PMs) Not Reported Approximate No. of Invested Credits c 185 a Represents the traded notional amount of 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. b Represents the outstanding traded notional amount of 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 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, 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. c As of Jan. 31, Anchorage Capital Group, L.L.C. 13

19 Loan Assets Under Management a (USD Bil.) a See Loan Management Profile section on previous page for more information about loan AUM. Total AUM By Product Type Managed Funds a 71.6% CLOs b 28.4% a See Firm Profile section on previous page for more information about AUM. b See Firm Profile section on previous page for more information about CLO AUM. Credit Committee Experience (Years) Name Title Role Firm Industry Dan Allen President and Senior Portfolio Manager ICM 8 24 Yale Baron Portfolio Manager, Head of Structured Credit and Co-Head of CLO ICM 8 19 Soo Kim Portfolio Manager and Co-Head of CLO ICM 7 13 Michael Aglialoro Managing Director ICM Paul Gordon Managing Director and Head of Portfolio Group ICM 5 20 ICM Investment committee member. Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Anchorage Capital /12 Reinvesting Y N Anchorage Capital /13 Reinvesting Y N Anchorage Capital 3 2/14 Reinvesting Y N Anchorage Capital 4 5/14 Reinvesting Y N Anchorage Capital 5 10/14 Reinvesting Y N Anchorage Capital 6 3/15 Reinvesting Y N Anchorage Credit Funding 1 5/15 Reinvesting N N Anchorage Capital 7 8/15 Reinvesting Y N Anchorage Credit Funding 2 12/15 Reinvesting N N Anchorage Capital 8 6/16 Reinvesting Y N Anchorage Credit Funding 3 7/16 Reinvesting N N Anchorage Capital 9 11/16 Reinvesting Y N Anchorage Credit Funding 4 11/16 Reinvesting N N Total 6,644 6,460 a See Firm Profile section on previous page for more information about CLO AUM. VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Anchorage Capital Group, L.L.C. 14

20 The Fitch View Key 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, organizational stability 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 responsible for making investment recommendations based on credit risk. Credit selection criteria include emphasis on loan to value, downside protection and capital structure 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%) or overweight (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 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. Anchorage Capital Group, L.L.C. 15

21 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 Profile Region(s) of Operation Address Firm Type 245 Park Avenue, 26th Floor New York, NY Multistrategy asset management Year Established 1988 Assets Under Management USD27 Bil. Total Employees/Investment Professionals 416/164 Active CLOs Under Management 5 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Angelo, Gordon & Co. Loan Management Profile Region(s) Leveraged Loan AUM USD4.7 Bil. Loans Managed via CLOs 57% CLO Team Leader(s) Maureen D Alleva CLO Portfolio Managers (PMs)/Avg. Experience 1/29 Years Credit Analysts, Non-PMs/Avg. Experience 7/16 Years Loan Team Credits Per Analyst (including PMs) 30 or less Approximate No. of Invested Credits 225 Loan Assets Under Management (USD Bil.) Angelo, Gordon & Co. 16

22 Total AUM By Asset Type Other 75.3% Loan AUM By Region CLOs 9.8% Broadly Syndicated Loans 6.6% Middle Market Loans 8.3% Europe 1.3% Total AUM By Investor Type CLO Investors 59.9% a Other includes endowment (0.4%). Insurance 6.8% Other a 7.6% Loan AUM By Product Type Managed Accounts 25.3% Pension/ Retirement 25.7% CLOs 59.9% 98.7% Managed Funds 14.8% CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Northwoods Capital 3/99 Called N N Northwoods Capital II 3/00 Called N N Northwoods Capital III 4/01 Called N N Northwoods Capital IV 5/04 Called N N Northwoods Capital V 12/05 Called N N Northwoods Capital VI 3/06 Called N N Northwoods Capital VII 9/06 Called N N Northwoods Capital VIII 6/07 Called N N Northwoods Capital IX 12/12 Amortizing Y N Northwoods X 9/13 Reinvesting N N Northwoods XI 4/14 Reinvesting Y N Northwoods XII 9/14 Reinvesting Y N Northwoods XIV 12/14 Reinvesting Y N Northwoods XV 2Q17 Ramp Up Y N MOA Horizontal Total 6,601 2,654 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Angelo, Gordon & Co. 17

23 Organizational Structure Angelo, Gordon & Co., LP SEC Registered Investment Advisory Firm 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 Angelo, Gordon Asia Limited Affiliated Hong Kong Office Angelo, Gordon & Co. 18

24 Apex Credit Partners LLC Apex 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 Profile Region(s) of Operation Address Firm Type Year Established Assets Under Management 520 Madison Ave, 18th Floor New York, NY Commercial finance co. affiliated CLO manager 2004 (including predecessor) USD5.3 Bil. Total Employees/Investment Professionals 15/13 Active CLOs Under Management 13 Current/Planned Risk Retention Structure Firm-provided capital Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Jefferies Finance LLC, Jefferies Group LLC, Massachusetts Mutual Life Insurance Company Loan Management Profile Region(s) Leveraged Loan AUM USD5.3 Bil. Loans Managed via CLOs 88% CLO Team Leader(s) David Wells, Steve Goetschius, Andrew Stern CLO Portfolio Managers (PMs)/Avg. Experience 3/25 Years Credit Analysts, Non-PMs/Avg. Experience 10/9 Years Loan Team Credits Per Analyst (including PMs) 45 Approximate No. of Invested Credits 450 Loan Assets Under Management (USD Bil.) Note: Includes sub-advised AUM. Apex Credit Partners LLC 19

25 Total AUM By Asset Type Total AUM By Investor Type Middle Market Loans 11.9% Bank 29.2% Broadly Syndicated Loans 88.1% Loan AUM By Region Loan AUM By Product Type CLO Investors 70.8% 100.0% Other 12.3% CLOs 87.7% Credit Committee Experience (Years) Name Title Role Firm Industry David Wells Chief Investment Officer CIO Steve Goetschius Managing Director PM Andrew Stern Managing Director PM 4 18 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR JFIN CLO 2007 LTD I 6/07 Amortizing N N Horizontal JFIN CLO 2012 LTD 7/12 Amortizing Y N Horizontal JFIN CLO 2013 LTD 3/13 Reinvesting Y N Horizontal JFIN Revolver CLO 10/13 Amortizing Y Y Originator Horizontal JFIN CLO 2014 LTD 3/14 Reinvesting Y N Horizontal JFIN MM CLO 2014 LTD 3/14 Reinvesting Y Y Originator Horizontal JFIN CLO 2014-II LTD 6/14 Reinvesting Y N Horizontal JFIN Revolver CLO /14 Amortizing Y Y Originator Horizontal JFIN CLO 2015 LTD 3/15 Reinvesting Y Y Originator Horizontal JFIN Revolver CLO /15 Amortizing Y Y Originator Horizontal JFIN Revolver CLO 2015-II 4/15 Amortizing Y Y Originator Horizontal JFIN CLO 2015-II 9/15 Reinvesting Y Y Originator Horizontal JFIN CLO 2016 LTD 7/16 Reinvesting Y Y Originator Horizontal Total 5,362 4,707 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Apex Credit Partners LLC 20

26 Apex Credit Partners LLC 21

27 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 as rules 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 is owned by Leucadia National Corporation [Leucadia]) and 50% owned by MassMutual. Jefferies is a global investment banking firm. Leucadia, which merged with Jefferies in March 2013, 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 of Dec. 31, Credit research has been bolstered by 10 analysts responsible for covering approximately 45 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 loans or 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 the firm s portfolio. Apex performs formal quarterly portfolio reviews, with results reported to the board of directors 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 from Moody s, S&P and Markit. Business continuity plan is adequate and tested, with daily data backup and multiple systems redundancies leveraging off of JFIN. Apex Credit Partners LLC 22

28 Apollo Global Management, LLC Apollo Global Management, LLC (together with its subsidiaries, Apollo) is a global alternative investment management company founded in 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 Profile Region(s) of Operation Address Firm Type Global 9 West 57 th Street New York, NY Global multistrategy asset management Year Established 1990 Assets Under Management USD191.7 Bil. Total Employees/Investment Professionals 986/376 (Globally) Active CLOs Under Management 15 ()/4 (Europe) Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV) ()/Sponsor (Europe) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Not Reported Loan Management Profile Region(s) Leveraged Loan AUM Loans Managed via CLOs CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Credit Analysts, Non-PMs/Avg. Experience Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Global USD26.1 Bil. 86% (); 14% (Europe) Joseph Moroney 6/18 Years (); 1/18 Years (Europe) 16/7 Years (); 4/7 Years (Europe) 30 (); 25 (Europe) 700 Globally Note: Information provided reflects all performing credit, not just leveraged loans. Total Performing Credit Assets Under Management (USD Bil.) Apollo Global Management, LLC 23

29 Performing Credit AUM By Product Type CLOs 45.0% Managed Accounts 21.0% Credit Committee Other 34.0% a Includes commingled, at 30%, and retail, at 4%. Experience (Years) Name Title Role Firm Industry Joseph Moroney Partner Senior Portfolio Manager, Performing Credit Group Co-Head 8 23 Dana Carey Partner Senior Portfolio Manager, Performing Credit Group Co-Head 5 18 James Zelter Senior Partner, CEO Managing Partner and Chief Investment Officer Anthony Civale Senior Partner Lead Partner and Chief Operating Officer Gregg Stover Portfolio Manager Portfolio Manager, Performing Credit 5 30 David Saitowitz Portfolio Manager Portfolio Manager, Performing Credit 5 17 James Vanek Managing Director Portfolio Manager, Performing Credit 9 16 European Credit Committee Experience (Years) Name Title Role Firm Industry Joseph Moroney Partner Senior Portfolio Manager, Performing Credit Group Co-Head 8 23 Dana Carey Partner Senior Portfolio Manager, Performing Credit Group Co-Head 5 18 James Zelter Senior Partner, CEO Managing Partner and Chief Investment Officer Dan Robinson Managing Director Portfolio Manager, Performing Credit 2 18 Jeppe Gregersen Managing Director Portfolio Manager, European Credit 6 16 CLOs Under Management a Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Gulf Stream-Compass CLO 2002-I 12/02 Called N N Gulf Stream-Compass CLO 2003-I 8/03 Called N N Gulf Stream-Compass CLO /04 Called N N Stone Tower CLO II 8/04 Called N N Gulf Stream-Compass CLO /05 Called N N Stone Tower CLO III 5/05 Called N N Granite Ventures II 12/05 Called N N Gulf Stream-Compass CLO 2005-II 1/06 Called N N Stone Tower CLO IV 3/06 Called N N VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Continued on next page. Apollo Global Management, LLC 24

30 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Granite Ventures III 5/06 Called N N Gulf Stream-Sextant CLO /06 Called N N Stone Tower CLO V 8/06 Called N N Gulf Stream-Rashinban CLO 2006-I 11/06 Called N N Rampart CLO 2006-I 12/06 Called N N Stone Tower CLO VI 3/07 Amortizing 1, N N Gulf Stream-Sextant CLO /07 Called N N Cornerstone CLO 7/07 Called N N Gulf Stream-Compass CLO /07 Called N N Stone Tower CLO VII 8/07 Called N N Rampart CLO /07 Called N N Neptune Finance CCS 3/08 Called N N ALM Loan Funding /10 Called Y N ALM Loan Funding /10 Called Y N ALM IV 6/11 Called Y N ALM V 8/15 a Reinvesting Y N ALM VI 6/12 Reinvesting Y N ALM VII 10/16 a Reinvesting Y N ALM VII(R) 12/16 a Reinvesting Y N ALM VII(R)-2 12/16 a Reinvesting Y N ALM VIII 10/16 a Reinvesting Y N ALM X 1/14 Reinvesting Y N ALM XIV 7/14 Reinvesting 1,542 1,496 Y N ALM XI 9/14 Reinvesting Y N ALM XII N.A. Reinvesting Y N ALM XVI 7/15 Reinvesting 1,112 1,106 Y N ALM XVII 12/15 Reinvesting Y N ALM XVIII 6/16 Reinvesting Y N ALM XIX 5/16 Reinvesting Y N Total 21,613 9,888 a Date of refinancing. VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR ALME Loan Funding /13 Called N N Sponsor Vertical ALME Loan Funding II D.A.C. 12/16 a Reinvesting N Y Sponsor Vertical ALME Loan Funding III, Ltd. 12/14 Reinvesting N Y Sponsor Vertical ALME Loan Funding IV B.V. 11/15 Reinvesting N Y Sponsor Vertical ALME Loan Funding V B.V. 5/16 Reinvesting N Y Sponsor Vertical Total 1,943 1,577 a Date of refinancing. VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Apollo Global Management, LLC 25

31 The Fitch View Key Considerations An integrated global research platform, with both dedicated European and 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 20 and European CLOs (two of which are past their reinvestment period), which makes Apollo one of the largest CLO managers by AUM. Communication between private equity and credit research teams allows for added industry insight. Apollo established its capitalized manager vehicle (CMV), Redding Ridge Asset Management LLC, in late 2016 for the purpose of risk retention compliance. Apollo expects to issue and European compliant CLOs through the CMV and provide it with shared resources. 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 Bank). A specific team at Bank is dedicated to the Apollo account. Portfolio managers receive monthly reconciliations with trustee reports for review. Operational procedures are sound, supported by a well-resourced fund administration team and 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-standard systems 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. Apollo Global Management, LLC 26

32 Ares Management LLC Ares Management LLC (Ares) is a wholly owned subsidiary of Ares Management, L.P., a publicly traded global asset manager with approximately USD99 billion a of pro forma assets under management (AUM) and approximately 925 employees in over 15 principal and originating offices across the, Europe, Asia and Australia as of Dec. 31, 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. a As of Dec. 31, 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, Firm Profile Region(s) of Operation Europe Address 2000 Avenue of the Stars, 12 th Floor Los Angeles, CA New Burlington Street, 6 th Floor London, W1S 3BE, U.K. Firm Type Global alternative investment manager Year Established Assets Under Management USD68.4 Bil. EUR14.9 Bil. Total Employees/Investment Professionals 767/ /76 Active CLOs Under Management a 60 Globally Current/Planned Risk Retention Structure Varying on a deal by deal basis ( and Europe) Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) Not Reported b a Includes 55+ broadly syndicated CLOs, three market value CDOs and two synthetic CDOs. b See Section 7 of Ares Management LLC s SEC Form ADV Part 1. Loan Management Profile Region(s) Europe Leveraged 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, Ujjaval Desai, Fancois Gauvin, Gregory Margolies, David Sachs 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 Years Loan Team Credits Per Analyst (including PMs) 40 globally Approximate No. of Invested Credits Direct investments: 700+; Maintain research coverage:1,100+ Loan Assets Under Management (USD Bil.) Ares Management LLC 27

33 European Loan Assets Under Management (EUR Bil.) Total AUM By Asset Type a Other 48.0% High Yield Bonds 5.2% Middle Market Loans 28.9% CLOs 17.9% a Includes broadly syndicated loans, private equity, real estate, and other Ares Credit Group strategies. Total AUM By Investor Type Bank 7.2% Other 26.7% Sovereign WealthFunds a CLO Investors 17.9% Insurance 9.7% Pension/ Retirement 10.4% 28.1% a Includes investment managers, consultants, fund of funds, and capital from funds where the end investor is indeterminable. Loan AUM By Region Other 1.2% a Europe 13.9% Loan AUM By Product Type Managed Accounts 15.3% Other 4.3% a 84.9% a Includes countries across Asia, North America (excluding ) and the Middle East. CLOs 80.4% a Includes managed funds, at 4.3%. Credit Committee Experience (Years) Name Title Role Firm Industry Seth Brufsky Partner; Co-Head and PM of Liquid Credit Portfolio Manager BSL CLOs Daniel Hayward Managing Director; Co-PM of Liquid Credit Portfolio Manager BSL CLOs 4 9 John Leupp Partner; Co-Head and PM of Liquid Credit Portfolio Manager High Yield Gregory Margolies Partner; Head of Markets Investment Committee Member 8 29 David Sachs Partner Investment Committee Member Americo Cascella Partner Investment Committee Member Ares Management LLC 28

34 European Credit Committee Experience (Years) Name Title Role Firm Industry Ujjaval Desai Partner PM Europe BSL CLOs 5 21 Fancois Gauvin Partner PM Europe BSL CLOs 5 26 Gregory Margolies Partner; Head of Markets Investment Committee Member 8 29 David Sachs Partner Investment Committee Member Middle Market Credit Committee Experience (Years) Name Title Role Firm Industry Kevin Braddish Partner; President and Head of PM Ivy Hill Asset Management Ivy Hill Asset Management 6 33 Ryan Cascade Partner; Head of Investment Committee Member Ares Commercial Finance 7 20 Steven Alexander Managing Director, Investment Committee Member Ivy Hill Asset Management 6 21 Shelly Cleary Managing Director, Investment Committee Member Ivy Hill Asset Management 7 14 Stephanie Setyadi Managing Director, Investment Committee Member Ivy Hill Asset Management 7 14 Mitch Goldstein Partner; Co-Head of the Investment Committee Member Ares Credit Group David Sachs Partner Investment Committee Member Michael Smith Partner Investment Committee Member CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Ares III CLO 12/99 Called Ares IV CLO 11/00 Called Ares V CLO 11/01 Called Ares VI CLO 7/02 Called Ares VII CLO 5/03 Called Ares VIII CLO 3/04 Called Ares XVIII CLO a 8/04 Called Ares Enhanced Loan Investment Strategy 11/04 Called Ares XIX CLO b 1/05 Called Ares IX CLO 5/05 Called Ares X CLO 9/05 Called Ares II-R CLO 10/05 Called Ares XX CLO c 12/05 Called Ares Enhanced Loan Investment Strategy II 1/06 Called Ares VR CLO 3/06 Called Ares VIR CLO 3/06 Called Ares NF CLO XIII b 5/06 Called VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Continued on next page. Ares Management LLC 29

35 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Ares XXI CLO d 12/06 Called Ares IIIR/IVR CLO 3/07 Amortizing Y N Ares NF CLO XIV b 4/07 Called Ares XI CLO 8/07 Called Ares XV CLO f 8/07 Called Ares XXII CLO d 8/07 Called Ares XII CLO 10/07 Called Ares Enhanced Loan Investment Strategy III 3/08 Called 1,000 0 Global Loan Opportunity Fund B.V /08 Called Ares Enhanced Loan Investment Strategy I-R 9/08 Called Global Loan Opportunity Fund B.V /08 Called Ares XVI CLO 3/11 Called Ares XXIII CLO 3/12 Amortizing Y Ares XXIV CLO 9/12 Amortizing Y N Ares XXV CLO 1/13 Reinvesting Y N Ares XXVI CLO 3/13 Reinvesting Y N Ares Enhanced Loan Investment Strategy IR 7/13 Reinvesting Y N Ares XXVII CLO 7/13 Reinvesting Y N Ivy Hill Middle Market Credit Fund VII e 10/13 Reinvesting Y N Ares XXVIII CLO 11/13 Reinvesting Y N Ares XXIX CLO 4/14 Reinvesting Y N Ares XXX CLO 6/14 Amortizing Y N Ares XXXI CLO 8/14 Reinvesting 1,261 1,261 Y N Ivy Hill Middle Market Credit Fund IX e 10/14 Reinvesting Y Y Originator Other Horizontal Ares XXXII CLO 12/14 Reinvesting Y N Ares XXXIII CLO 2/15 Reinvesting Y N Ivy Hill Middle Market Credit Fund X e 7/15 Reinvesting Y Y Originator Other Horizontal Ares XXXIV CLO 9/15 Reinvesting Y N Other Vertical Ares XXXV CLO 9/15 Reinvesting Y N Ares XXXVII CLO 10/15 Reinvesting Y N Other f Other f Ares XXXVIII CLO 12/15 Reinvesting Y N Other f Other f Ares XXXIX CLO 7/16 Reinvesting Y N Other f Other f Ares XL CLO 10/16 Reinvesting Y N Other f Other f Ares XLI CLO 12/16 Reinvesting Y N Other Vertical Total 26,685 12,698 a Acquired from Nomura Corporate Research and Asset Management in August b Acquired from Navigare Partners, LLC in July c Acquired from Nomura Corporate Research and Asset Management in April d Acquired from Nomura Corporate Research and Asset Management in September e Managed by Ivy Hill Asset Management, L.P., a wholly owned portfolio company of Ares Capital Corporation. f Structured 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, Excludes refinancings and/or repricings that do not involve an extension of the original deal's respective reinvestment period. Ares Management LLC 30

36 European CLOs Under Management Portfolio Balance Compliance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Ares European CLO IV BV a 1/07 Amortizing N Y Ares European CLO I BV 4/07 Amortizing N Y Ares European CLO V BV a 6/07 Amortizing N Y Ares European CLO III BV b 7/07 Amortizing N Y Ares European CLO II BV 12/07 Amortizing N N Ares European CLO VI BV 9/13 Reinvesting N Y Sponsor Ares European CLO VII BV 9/14 Reinvesting N Y Sponsor Ares European CLO VIII BV 12/16 Reinvesting N Y Sponsor Total 3,142 2,075 a Acquired via acquisition of Indicus Advisors in August b Acquired from Octagon Credit Investors Europe in April VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Ares Management LLC 31

37 The Fitch View Key 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 European CLO 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 a macroeconomic overlay. Ares has a long history of managing CLOs (since 1999) and has been managing European CLOs since 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 on the specific needs of each portfolio. Analysts are organized by sector. Senior analysts are paired with junior analysts to ensure dual coverage of sectors, which differentiates Ares from peers. All analysts cover credits across 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 model is 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 an exception, 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 meetings are supplemented by formal monthly reviews. Ares and GlobeOp s systems allow straight-through processing with the trustee, enabling automated daily cash and position reconciliations. Ares has a dedicated loan settlement team. Weekly pending trade reports are reviewed by the 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 investment research along with the necessary financial metrics for each credit. Ares Management LLC 32

38 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 Profile Region(s) of Operation Europe Address Firm Type 100 West Putnam Avenue Tour Majunga 6, place de la Pyramide Greenwich, CT Paris, La Défense cedex, France Multistrategy asset management Year Established Assets Under Management USD51.3 Bil. EUR576.0 Bil. Total Employees/Investment Professionals 171/73 2,083/664 Active CLOs Under Management 4 4 Current/Planned Risk Retention Structure Balance Sheet Originator Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) AXA Group Parent Loan Management Profile Region(s) Europe Leveraged Loan AUM USD4.8 Bil. EUR4.9 Bil. Loans Managed via CLOs a 16.7% 14.4% CLO Team Leader(s) Jean-Philippe Levilain Yannick Le Serviget, Xavier Boucher CLO Portfolio Managers (PMs)/Avg. Experience 1/18 Years 2/15 Years Credit Analysts, Non-PMs/Avg. Experience 8/11 Years 10/10 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits a As a percentage of leveraged loan team AUM of EUR9.4 billion. Loan Assets Under Management (USD Bil.) AXA Investment Managers S.A. 33

39 European Loan Assets Under Management (EUR Bil.) Total AUM By Asset Type Total AUM By Investor Type Other 19.0% Broadly Syndicated Loans 26.0% Other 12.0% Insurance 57.0% CLOs 34.0% Structured Credit 21.0% CLO Investors 31.0% Loan AUM By Region Loan AUM By Product Type CLO 31.0% 49.6% Europe 50.4% Managed Accounts 58.0% Managed Funds 11.0% AXA Investment Managers S.A. 34

40 Credit Committee Experience (Years) Name Title Role Firm Industry Joel Serebransky N.A. Senior Credit Analyst 5 26 Vera Fernholz N.A. Senior Credit Analyst 4 20 Yumiko Licznerski N.A. Senior Credit Analyst 4 15 Mounia Maliki N.A. Senior Credit Analyst 8 8 Jay Chandiramani N.A. Senior Credit Analyst 1 10 Michael J. Sorna N.A. Junior Credit Analyst 2 5 Deniz Esmen N.A. Junior Credit Analyst 2 3 David Saad N.A. Junior Credit Analyst 1 2 Jean-Philippe Levilain N.A. Senior Portfolio Manager N.A. Not applicable. European Credit Committee Experience (Years) Name Title Role Firm Industry Oliver Testard N.A. Senior Credit Analyst Cyrille Mace N.A. Senior Credit Analyst Isabelle Landes N.A. Senior Credit Analyst 4 21 Audrey Marc N.A. Senior Credit Analyst 3 9 Emmanuelle Noirclerc N.A. Senior Credit Analyst 1 9 Deepah Colombel N.A. Senior Credit Analyst 2 6 Meiying Li N.A. Junior Credit Analyst 1 2 Guillaume Burg N.A. Junior Credit Analyst 1 2 Alexandre Von Rakowski N.A. Junior Credit Analyst 1 2 Hugo Salvadori N.A. Junior Credit Analyst 1 2 Yannick Le Serviget N.A. Senior Portfolio Manager Xavier Boucher N.A. Senior Portfolio Manager 5 12 N.A. Not applicable. CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Allegro CLO I 12/13 Reinvesting Y N Allegro CLO II 12/14 Reinvesting Y N Allegro CLO III 4/15 Reinvesting Y Y Originator Vertical Allegro CLO IV 11/16 Reinvesting Y Y Originator Vertical Total 1,600 1,606 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Portfolio Balance Compliance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Adagio CLO I 9/04 Called N N Oryx CLO I 9/05 Called N N Adagio CLO II 11/05 Amortizing N N Adagio CLO III 7/06 Amortizing N N Adagio CLO IV 9/15 Reinvesting Y Y Originator Vertical Adagio CLO V 7/16 Reinvesting Y Y Originator Vertical Total 2,245 1,337 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. AXA Investment Managers S.A. 35

41 Organizational Structure AXA Investment Managers S.A. AXA Investment Managers Paris (France) AXA Investment Managers Deutschland (Germany) AXA Investment Managers Italia Sim (Italy) AXA IM Benelux (Belgium) AXA IM Benelux Netherlands (Netherlands Branch) AXA Investment Managers Schweiz AG (Switzerland) AXA Investment Managers UK Ltd. (U.K.) AXA Investment Managers GS Ltd (U.K.) AXA Investment Managers Inc. () a AXA Rosenberg Investment Management LLC () a AXA Real Estate Investment Managers b AXA Investment Managers Mexico, S.A. de C.V. (Mexico) AXA Investment Managers Asia Ltd. (Hong Kong) AXA Investment Managers Japan Ltd. (Japan) AXA Investment Managers Asia (Singapore) Ltd. (Singapore) AXA Funds Management S.A. (Luxembourg) AXA Investment Managers Madrid (Spain) AXA Investment Managers LLC (Qatar) a Indirect subsidiaries of AXA IM. b Holding company of entities performing real assets activities. Note: As of Dec. 31, Excludes the joint ventures in which AXA IM is shareholder and the holding companies not performing asset management activities. AXA Investment Managers S.A. 36

42 Fitch View Key Considerations The loan and private debt team has a long and successful track record managing European and leveraged loans through open-ended funds and mandates since 2001 and through CLOs since 2004 in Paris (France) and Greenwich, CT (). Large and diversified loan management business resulting in limited pressure to issue additional CLOs. Depth of resources devoted to loan research and management, CLO structuring and 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 approximately EUR35.4 billion in AUM as of Dec. 30, The loan and private debt team comprises three portfolio managers (PMs), 18 dedicated credit research analysts, a loan trader and a European loan trader. Average experience is 12 years. The team also benefits from dedicated support staff (for loan settlement, transaction support and CLOs and loan funds structuring) and wide access to AXA IM s shared resources. Investments The 18 research analysts (eight, 10 European) are allocated by sector, covering roughly 250 names and 125 European names as of Dec. 31, 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 on senior-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 market actors 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 multicurrency portfolios and complex structures). A central database supports integration of WSO and Maia. Use of Markit analytics and pricing data, feeding WSO and Maia via AXA IM s central repository. AXA Investment Managers S.A. 37

43 Bain Capital Credit, LP Bain Capital Credit, LP is a leading global credit specialist with approximately USD33.5 billion in assets under management (AUM) as of Jan. 1, The firm invests across the full spectrum of credit strategies, including leveraged loans, high-yield bonds, distressed debt, private lending, structured products, nonperforming loans and equities. Firm Profile Region(s) of Operation Address Firm Type 200 Clarendon Street Boston, MA Multistrategy asset management Year Established 1998 Assets Under Management USD33.5 Bil. Total Employees/Investment Professionals 237/111 Active CLOs Under Management 16 ()/3 (Europe) Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) ()/ Sponsor (Europe) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Bain Capital, LP (Parent) Loan Management Profile Region(s) Leveraged Loan AUM USD17.5 Bil. Loans Managed via CLOs 49% CLO Team Leader(s) John Wright, Stephanie Walsh, Gauthier Reymondier CLO Portfolio Managers (PMs)/Avg. Experience 3/15 Years Credit Analysts, Non-PMs/Avg. Experience 32/15 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 750 leveraged loans/450 issuers Total Assets Under Management (USD Bil.) Bain Capital Credit, LP 38

44 Total AUM By Asset Type Other 39.4% Broadly Syndicated Loans 21.1% Total AUM By Investor Type Other 25.4% CLO Investors 24.3% CLOs 24.3% Middle Market Loans 15.1% Pension/ Retirement 37.3% Insurance 4.7% Endowments 8.3% Loan AUM By Region Loan AUM By Product Type Other 25.0% Managed Accounts 40.5% CLOs 24.3% 49.0% Europe 26.0% Managed Funds 35.2% and European Credit Committee Experience (Years) Name Title Role Firm Industry Jonathan Lavine Managing Director Managing Partner, Chief Investment Officer Jonathan DeSimone Managing Director Chief Investment Officer: Performing Credit Tim Barns Managing Director Chief Credit Officer Alon Avner Managing Director Head of Europe Michael Ewald Managing Director CIO: Private Credit Christopher Linneman Managing Director Head of New York 2 32 Jeff Robinson Managing Director CIO: Distressed and Special Situations Viva Hyatt Managing Director Head of Industry Research CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Race Point VI 4/12 Amortizing Y N Race Point VII 10/12 Amortizing N N Race Point VIII 2/13 Reinvesting Y N Cavalry II 2/13 Reinvesting Y N Avery Point II 6/13 Reinvesting Y N Avery Point III 11/13 Reinvesting N N Cavalry III 12/13 Reinvesting Y N Avery Point IV 3/14 Reinvesting Y N Avery Point V 6/14 Reinvesting Y N Cavalry IV 9/14 Reinvesting Y N VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Continued on next page. Bain Capital Credit, LP 39

45 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Cavalry V 12/14 Amortizing Y N Race Point IX 2/15 Reinvesting Y N Avery Point VI 5/15 Reinvesting Y N Avery Point VII 11/15 Reinvesting Y N Bain Capital Credit CLO /15 Reinvesting Y Y Vertical Race Point X 4/16 Reinvesting Y N Vertical Total 7,725 7,432 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Newhaven 9/14 Reinvesting N Y Horizontal Rye Harbour 12/14 Reinvesting N Y Horizontal New Haven II 12/15 Reinvesting N Y Vertical Total 1,142 1,105 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Bain Capital, LP Bain Capital Credit, LP Bain Capital Public Equity, LP Bain Capital Private Equity, LP Bain Capital Ventures, LP Note: The image shown represents the main registered investment advisers and does not include all corporate and advisory entities. Bain Capital Credit, LP 40

46 The Fitch View Key Considerations Experienced CLO manager, having overseen 35 CLOs since 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/private placements, structured products, credit-based equities, credit default swaps and special situations investments. Investment staff has extensive experience in structuring and negotiating complex transactions involving high-yield assets. A dedicated distressed/workout team, including the in-house counsel, manages the workout process 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 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 of senior management as necessary. Bain Capital Credit has a thorough investment monitoring process under which each analytical team provides regular updates on credits. Detailed performance summaries are provided 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 model CLO structures and cash flow waterfalls. There is a daily reconciliation of cash and weekly reconciliation of securities with custodians and administrators. An automated system is in place that reconciles daily all activities and cash balances against Bain Capital Credit s internal Wall Street Office database. Investor reporting is available via password-protected website and includes quarterly commentary, account-specific information, capital account balances and fund performance. Bain Capital Credit also has a dedicated, 14-person investor relations team to handle all investor requests. While third-party providers are used for banking/cash management, custody, prime brokerage and certain valuations, no core functions are outsourced. All back-office, finance and 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 and shadow the CDO trustee s accounting. The company has devoted significant resources over the past several years to develop resilient business systems and IT infrastructure that support the overall structured product platform. A comprehensive disaster recovery plan is in place and regularly tested for robustness. Bain Capital Credit, LP 41

47 Ballyrock Investment Advisors LLC Ballyrock 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 Profile Region(s) of Operation Address Firm Type Year Established 2002 Assets Under Management USD16.4 Bil. Total Employees/Investment Professionals 50/45 Active CLOs Under Management 3 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Loan Management Profile Region(s) 245 Summer Street Boston, MA Independent CLO-focused manager Not Reported Not Reported Fidelity Investments Parent Leveraged Loan AUM USD16.4 Bil. Loans Managed via CLOs 6.7% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Credit Analysts, Non-PMs/Avg. Experience 25 Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Not Reported Loan Assets Under Management (USD Bil.) Tom Hense: Group Chief Investment Officer 3/19 Years Ballyrock Investment Advisors LLC 42

48 Total AUM By Asset Type Total AUM By Investor Type Other 32.1% Broadly Syndicated Loans 13.8% Other 95.8% CLO Investors 0.8% Insurance 2.0% High Yield Bonds 54.1% Pension/ Retirement 1.4% Loan AUM By Region Loan AUM By Product Type 81.6% Europe 4.9% Other 13.1% Managed Funds 95.8% Managed Accounts 3.4% CLOs 0.8% Credit Committee Experience (Years) Name Title Role Firm Industry Eric Mollenhauer Vice President Portfolio Manager Michael Weaver Vice President Portfolio Manager CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Ballyrock CLO /13 Reinvesting Y Y Horizontal Ballyrock CLO /14 Reinvesting Y Y Horizontal Ballyrock CLO /16 Reinvesting Y Y Horizontal Total 1,117 1,130 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Ballyrock Investment Advisors LLC 43

49 Organizational Structure FMR LLC Fidelity Management & Research Company (FMR) Sub-Advisory Agreement FMR High Income Division Sub-Advisory Agreement Ballyrock Investment Advisors LLC Ballyrock Investment Advisors LLC 44

50 The Fitch View Key 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 fundamental trajectory, placing weight on positive fundamentals, collateral value, valuation and credit support. Research analysts are independent, focusing only on credit, and are responsible for covering names each, analyzing transactions across the capital structure. While there is no formal credit committee, the investment process is collaborative, and every idea is presented by the analyst to each portfolio manager charged with each specific 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 Ballyrock investment 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 functions allowing 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 Bank National Association, as trustee. Ballyrock has a strong relationship and constant dialogue with the trustee. All portfolio management and credit analysis functions are conducted internally, with models run 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 Office and Administrator. Business continuity plan is appropriate and tested multiple times a year, with redundancies in numerous locations and resources and support provided through FMR. Ballyrock Investment Advisors LLC 45

51 Barings LLC Barings 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 Profile Region(s) of Operation Europe Address Firm Type 1500 Main Street P.O. Box Springfield, MA Multistrategy asset management Year Established Assets Under Management USD Bil. Total Employees/Investment Professionals 1,724/659 Active CLOs Under Management Aldwych London WC2B 4AE, U.K. Current/Planned Risk Retention Structure Not Reported Not Reported Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) MassMutual Financial Group Parent Loan Management Profile Region(s) Europe Leveraged Loan AUM USD20.6 Bil. EUR11.0 Bil. Loans Managed via CLOs 28% 28% CLO Team Leader(s) Mike Freno Adrienne Butler Arthur McMahon Martin Horne Rob Faulkner CLO Portfolio Managers (PMs)/Avg. Experience 11/23 Years 4/19 Years Credit Analysts, Non-PMs/Avg. Experience 28/10 Years 13/8 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan Assets Under Management (USD Bil.) Barings LLC 46

52 European Loan Assets Under Management (EUR Bil.) Total AUM By Asset Type Broadly Syndicated Loans a Other 8.0% 87.0% Structured Credit 5.0% a Includes high yield bonds, at 4.0%, middle market loans, at 1.0%, and CLOs, at 3.0%. Loan AUM By Region Total AUM By Investor Type Bank 16.7% Other 20.7% a Includes endowment, at 1.1%. a Pension/Retirement 22.9% Loan AUM By Product Type CLO Investors 22.3% Insurance 17.4% 65.0% Europe 35.0% Managed Funds 45.0% Managed Accounts 27.0% CLOs 28.0% Barings LLC 47

53 Credit Committee Experience (Years) Name Title Role Firm Industry Mike Freno Managing Director Head of Global and High Yield Investments Group Adrienne Butler Managing Director Head of Managed CLOs Sean Feeley Managing Director High Yield Investment Committee Member Art McMahon Managing Director Portfolio Manager Ken Gacevich Managing Director Portfolio Manager Tom McDonnell Managing Director Portfolio Manager David Mihalick Managing Director Head of High Yield Credit Research 9 12 Scott Roth Managing Director Portfolio Manager Mark Senkpiel Managing Director Portfolio Manager 7 43 European Credit Committee Experience (Years) Name Title Role Firm Industry Martin Horne Managing Director Head of European High Yield Investments Group Rob Faulkner Managing Director Head of European Managed CLOs Tom Kilpatrick Managing Director Research Analyst Stuart Mathieson Managing Director Portfolio Manager Chris Sawyer Managing Director Portfolio Manager Craig Abouchar Managing Director Portfolio Manager CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Babson 2003-I 10/03 Called N N Babson 2004-I 5/04 Called N N Babson 2004-II 9/04 Called N N Babson 2005-I 2/05 Called N N Babson 2005-II 6/05 Called N N Babson 2005-III 10/05 Called N N Babson 2006-I 4/06 Called N N Babson 2006-II 9/06 Called N N Babson 2007-I 2/07 Called N N Babson 2007-II 3/07 Called N N Babson 2008-I 5/08 Called N N Babson 2008-II 5/08 Called N N Babson 2011-I 7/11 Called N N Babson 2012-I 5/12 Called N N Babson 2012-II 5/13 Amortizing Y N Babson 2013-I 5/13 Reinvesting N N Babson 2013-II 11/13 Reinvesting N N Babson 2014-I 5/14 Reinvesting Y N Babson 2014-II 8/14 Reinvesting Y N Babson 2014-III 10/14 Reinvesting Y N Babson 2015-I 4/15 Reinvesting Y N Babson 2015-II 7/15 Reinvesting Y N Babson 2016-I 2/16 Reinvesting Y N CMV Horizontal Babson 2016-II 8/16 Reinvesting Y Y Originator Vertical Barings 2016-III 12/16 Reinvesting Y N CMV Vertical Total 12,975 5,496 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Barings LLC 48

54 European CLOs Under Management Portfolio Balance Compliance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Duchess I 5/01 Called N N Duchess II 5/01 Called N N Duchess III 6/04 Called N N Duchess IV 4/05 Called N N Duchess V 11/05 Called N N Duchess VI 7/06 Amortizing N N Duchess VII 11/06 Amortizing N N Malin 4/07 Amortizing N N Babson /14 Reinvesting Y Y Sponsor Horizontal Babson /14 Reinvesting Y Y Sponsor Horizontal Babson /15 Reinvesting Y Y Sponsor Horizontal Babson /16 Reinvesting Y Y Sponsor Horizontal Total 6,595 2,496 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure MassMutual Financial Group Barings LLC Global fixed income, equity, real estate, and alternative assets: USD271 billion AUM OppenheimerFunds, Inc. Global equity and fixed income: USD222 billion AUM Barings LLC 49

55 The Fitch View Key Considerations Strong, diversified business lines. One of the largest and European loan managers in terms of size and scale, which gives Barings LLC s CLO platform (formerly Babson Capital Management LLC) industry-leading access to markets and management of many product styles and provides diversified revenue streams. Proprietary and highly scalable systems combining portfolio management tools and compliance and administrative functions. CLO AUM has started to grow again with 1.0 CLOs assets largely wound down and regular issuance 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 Estate Advisers LLC) and Wood Creek Capital Management, LLC (which merged with and into Barings LLC in September 2016), and Baring Asset Management Limited (BAML) announced their intention to combine under the Barings brand. The integration was concluded in September Barings LLC and its subsidiaries remain indirect, wholly owned subsidiaries of MassMutual. The global high-yield investments group has significant resources, with approximately 69 investment professionals and additional resources for support functions. There are 48 investment professionals, primarily based in Charlotte, NC, including 11 PMs, 28 research analysts, 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 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 approved list. 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 risk assessment, 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 a dedicated compliance group and supported by a comprehensive suite of compliance policies and 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 and position 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. Barings LLC 50

56 BlackRock, Inc. BlackRock Financial Management, Inc. (BFM) and BlackRock Investment Management UK 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, BFM s primary focus is the management of institutional fixed-income securities, multi-asset and quantitative equity separate accounts, private investment funds and registered investment companies. BlackRock has been managing CLOs since 2002 and currently has USD5.4 billion in AUM via CLO structures. Firm Profile Region(s) of Operation Europe Address 55 East 52nd Street New York, NY Throgmorton Avenue London, EC2N 2DL U.K. Firm Type Multistrategy asset management Year Established 1998 Assets Under Management USD5.15 Tril. Total Employees/Investment Professionals 12,000/1,800 Active CLOs Under Management 10 2 Current/Planned Risk Retention Structure Balance Sheet Vertical Slice Originator and Sponsor Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) BlackRock Financial Management, Inc. Affiliate () BlackRock Investment Management UK Affiliate (Europe) BlackRock, Inc. Parent PNC Financial Services Group, Inc. Affiliate a a As 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 and was engaged 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 Profile Region(s) Europe Leveraged Loan AUM USD16.3 Bil. EUR1.5 Bil. Loans Managed via CLOs 33% 66% CLO Team Leader(s) Adrian Marshall, Scott Snell Aly Hirji CLO Portfolio Managers (PMs)/Avg. Experience 8/13 Years 2/15 Years Credit Analysts, Non-PMs/Avg. Experience 14/10 Years 8/9 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan Assets Under Management (USD Bil.) BlackRock, Inc. 51

57 European Loan Assets Under Management (EUR Bil.) Total AUM By Asset Type Structured Credit 16.0% Broadly Syndicated Loans 15.0% CLOs 7.0% High Yield Bonds 62.0% Loan AUM By Region 91.6% Europe 8.4% Loan AUM By Product Type Managed Accounts 29.0% CLOs 33.0% Managed Funds 38.0% European Credit Committee Experience (Years) Name Title Role Firm Industry Aly Hirji Director CLO Portfolio Manager 3 18 Jose Aguilar Managing Director High Yield Portfolio Manager Michael Phelps Managing Director Head of Fundamental Credit Team BlackRock, Inc. 52

58 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Magnetite IV 7/02 Called N N Magnetite V 9/03 Called N N Black Rock SR Income Series 10/04 Called N N Black Rock SR Income Series II 6/05 Called N N Black Rock SR Income Series IV 1/07 Called N N Black Rock SR Income Series V 7/07 Called N N BMI CLO I 6/11 Called N N Magnetite VI 9/12 Called Y N Magnetite VII 12/12 Reinvesting Y N Magnetite VIII 5/14 Reinvesting Y N Magnetite IX 7/14 Reinvesting Y N Magnetite XI 12/14 Reinvesting Y N Magnetite XII 3/15 Reinvesting Y N Magnetite XIV 6/15 Reinvesting Y N Magnetite XV 11/15 Reinvesting Y N Magnetite XVI 1215 Reinvesting Y N Vertical Magnetite XVII 3/16 Reinvesting Y N Vertical Magnetite XVIII 11/16 Reinvesting Y N Vertical Total 8,966 5,308 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Portfolio Balance (EUR Mil.) Name Pricing Status Original Current VR Compliance EU RR CRR Method Form of RR BR European CLO I 2/16 Reinvesting Y Y Sponsor Vertical BR European CLO II 10/16 Reinvesting Y Y Originator Vertical Total VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. BlackRock, Inc. 53

59 Organizational Structure Americas, Europe / Middle East / Africa, Asia Pacific Regional Client Businesses & Marketing US Wealth Advisory Canada LatAm / Iberia US DC EMEA Retail APAC Retail Product Marketing Global Client Businesses 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 BlackRock, Inc. 54

60 The Fitch View Key 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 be ongoing 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 distribution channel). Leveraged finance AUM (including bank loan funds and separate accounts, CLOs and high-yield funds and separate accounts) was USD62.1 billion as of Dec. 31, 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 finance team is led by 20 portfolio managers (PMs). Members of the team average 13 years of investment 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 for covering between 25 and 50 credits each. The investment philosophy focuses on fundamental analysis. Quantitative assessment of capital structures is paired with qualitative perspective of management and industry positioning. Diversified portfolios are valued, with names generally approved for a 1% position size for each portfolio. 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 the investment 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 other industry-standard systems. Aladdin Research is used to support the collection and dissemination of credit underwriting 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. BlackRock, Inc. 55

61 BlueMountain Capital Management, LLC BlueMountain Capital Management, LLC (BlueMountain), founded in 2003, is registered as an investment adviser in both the 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 Profile Region(s) of Operation Address Firm Type Year Established 2003 Assets Under Management USD23.0 Bil. Total Employees/Investment Professionals 231/74 Active CLOs Under Management 20 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Loan Management Profile Region(s) Leveraged Loan AUM Loans Managed via CLOs CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience 280 Park Avenue,12th Floor New York, NY Multistrategy asset manager Capitalized manager vehicle (CMV) Not Reported Not Reported USD8.7 Bil. Not reported Charles Kobayashi 4/Not Reported Credit Analysts, Non-PMs/Avg. Experience 26/Not Reported Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 489 Loan Assets Under Management (USD Bil.) BlueMountain Capital Management, LLC 56

62 Total AUM By Asset Type High Yield Bonds 50.0% Other 11.7% a Comprises investment-grade bonds. Firm AUM By Product Type Broadly Syndicated Loans 16.4% Structured Credit 9.9% CLOs 11.9% a Total AUM By Investor Type a Other 22.2% Pension/ Retirement 33.5% CLO Investors 37.8% Insurance 6.5% a Includes endowment, at 2.5%, and bank, at 0.3%. CLOs 37.8% Managed Funds 62.2% Credit Committee This section does not apply to BlueMountain s CLO business CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR BlueMountain I 10/05 Called N N BlueMountain II 6/06 Amortizing N N BlueMountain III 2/07 Amortizing N N BlueMountain Financing 7/11 Amortizing N N BlueMountain Financing 5/12 Amortizing N N BlueMountain Financing 10/12 Reinvesting Y N BlueMountain /13 Reinvesting Y N BlueMountain /13 Reinvesting N N BlueMountain /13 Reinvesting Y N BlueMountain /13 Reinvesting Y N BlueMountain /14 Reinvesting Y N BlueMountain /14 Reinvesting Y N BlueMountain /14 Reinvesting Y N BlueMountain /14 Reinvesting Y N BlueMountain /15 Reinvesting Y N BlueMountain /15 Reinvesting Y N BlueMountain /15 Reinvesting Y N BlueMountain /15 Reinvesting Y N BlueMountain /16 Reinvesting Y N BlueMountain /16 Reinvesting Y N BlueMountain /16 Ramp Up Y N Total 10,056 8,690 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. BlueMountain Capital Management, LLC 57

63 Organizational Structure Affiliated Managers Group 21 Active Partners Actively involved in the management of the firm 10 Retired Partners Not actively involved in the management of the firm 2 External Partners Not actively involved in the management of the firm BlueMountain Capital Management, LLC BlueMountain Capital Management, LLC 58

64 BNP Paribas Investment Partners BNP 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 Profile Region(s) of Operation Global Address Firm Type 14 Rue Bergère Paris, France Multistrategy asset management Year Established Assets Under Management 1964 EUR560 Bil. Total Employees/Investment Professionals Active CLOs Under Management 3,000/700 2 ()/3 (Europe) Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Not Reported ()/Originator (Europe) Not Reported BNP Paribas S.A. (Parent); BNP Paribas Asset Management S.A.S.; THEAM; FFTW Loan Management Profile Region(s) Global Leveraged Loan AUM Loans Managed via CLOs EUR4.7 Bil. 21.2% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Vanessa Ritter 1/24 Years (); 4/16 Years (Europe) Credit Analysts, Non-PMs/Avg. Experience Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 5/16 Years (); 7/14 Years (Europe) 45 ()/28 (Europe) 227 ()/196 (Europe) Loan Assets Under Management (EUR Bil.) BNP Paribas Investment Partners PRINT B.indd /5/2017 4:32:32 PM

65 Total AUM By Asset Type Total AUM By Investor Type Other a 15.0% Insurance 66.5% Pension/ Retirement 8.6% Other a 3.7% Broadly Syndicated Loans 85.0% CLO Investors 21.2% a Comprises Euro PPs. Loan AUM By Region 33.4% a Includes bank investments, at 1.5%. Loan AUM By Product Type Other 38.5% a Europe 66.6% Managed Funds 40.5% CLOs 21.0% a Comprises dedicated mandates. Credit Committee Experience (Years) Name Title Role Firm Industry Vanessa Ritter N.R. Head of Global Loans 9 24 Allan Roopan N.R. Head of Credit Structuring and Origination N.R. Not reported. European Credit Committee Experience (Years) Name Title Role Firm Industry Vanessa Ritter N.R. Head of Global Loans 9 24 Javier Peres Diaz N.R. Head of European Loans 7 17 Vincent Brousseau N.R. Senior Portfolio Manager Ludovic Bonneau N.R. Portfolio Manager 8 19 N.R. Not reported. BNP Paribas Investment Partners 60

66 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Nantucket 1 11/06 Called N N BNPP IP /14 Reinvesting Y N BNPP IP 2014-II 10/14 Reinvesting Y N Total 1, VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Portfolio Balance Compliance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Leveraged Finance Europe Capital I BV 11/01 Called N N Leveraged Finance Europe Capital II BV 8/03 Called N N Leveraged Finance Europe Capital III BV 10/04 Amortizing N N Leveraged Finance Europe Capital IV BV 10/06 Called N N Versailles CLO Plc 11/06 Called N N Kintyre CLO Plc 3/07 Called N N Gillespie CLO Plc 8/07 Called N N Neptuno I BV 5/07 Amortizing N N BNPP IP EURO CLO /15 Reinvesting Y Y Originator Vertical Total 2, VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. BNP Paribas Investment Partners 61

67 The Fitch View Key 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 It is now part of the asset manager s global loans team of 20, which had EUR5 billion in AUM at year-end Acquisition and successful turnaround of third-party CLOs since 2009; first new 2.0 CLO in PMs are supported by 12 dedicated loan analysts covering the and European markets, allowing good access to cross-border opportunities. Trade execution in the secondary market is centralized with one of the analysts. The team also benefits from dedicated support staff for loan settlement and transaction support and good access to BNPP IP s wider resources (public research, controls, operations, sales, legal and 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 legal documentation review. Investment committee decides on all new investment opportunities sourced from the primary or secondary market, on major credit events/restructuring, and on reinvestments in illiquid assets or those on the watchlist. Strong selectivity demonstrated by growing rejection rate. All deal analysis, recommendations and committee conclusions are well documented and adequately 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 and waterfall, among others) on top of those separately conducted by the trustee. BNPP IP s compliance, permanent control and risk departments provide strong coverage of risk areas. The independent internal audit function conducts periodic controls; the most recent audit was in the first quarter of Investment compliance and trade monitoring are handled through Markit Wall Street Office (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. BNP Paribas Investment Partners 62

68 Cairn Loan Investments LLP Cairn 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 Profile Region(s) of Operation Europe Address 27 Knightsbridge London, SW1X 7LY, U.K. Firm Type Independent CLO focused manager Year Established 2014 Assets Under Management GBP1.3 Bil. Total Employees/Investment Professionals 2/2 Active CLOs Under Management 5 Current/Planned Risk Retention Structure Originator Dedicated Capital to Fund Risk Retention EUR88 Mil. Key Affiliates (Global) N.A. N.A. Not applicable. Loan Management Profile Region(s) Europe Leveraged Loan AUM GBP1.3 Bil. Loans Managed via CLOs 100% CLO Team Leader(s) Andrew Burke CLO Portfolio Managers (PMs)/Avg. Experience 1/25 Years Credit Analysts, Non-PMs/Avg. Experience a 3/14 Loan Team Credits Per Analyst (including PMs) 35 Approximate No. of Invested Credits 120 a Credit 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. Loan Assets Under Management (GBP Bil.) Cairn Loan Investments LLP 63

69 Total AUM By Asset Type Broadly Syndicated Loans 100.0% Total AUM By Investor Type Bank 17.0% Other 1.1% Endowment 30.8% Pension/ Retirement 51.1% Loan AUM By Region Loan AUM By Product Type Europe 100.0% CLOs 100.0% European Credit Committee Experience (Years) Name Title Role Firm Industry Andrew Burke CLI Senior Portfolio Manager Permanent Andrew Jackson Cairn Capital Chief Investment Officer Permanent Graham Murphy Cairn Capital Chief Risk Officer Permanent 6 20 John Murphy CLI Portfolio Manager Alternative Paul Campbell Cairn Capital Chief Executive Officer Alternative European CLOs Under Management Portfolio Balance Compliance (EUR Mil) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Cairn CLO III B.V. 3/13 Reinvesting Y Y Originator Vertical Cairn CLO IV B.V. 12/14 Reinvesting Y Y Originator Vertical Cairn CLO V B.V. 7/15 Reinvesting Y Y Originator Vertical Cairn CLO VI B.V. 7/16 Reinvesting Y Y Originator Vertical Cairn CLO VII B.V. 2/17 Ramp-up Y Y Originator Vertical Total 1,649 1,607 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Cairn Loan Investments LLP 64

70 Cairn Loan Investments LLP 65

71 The Fitch View Key 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 arrangements brought to market by CLI. As of Feb. 23, 2017, CLI was managing five European CLOs with total AUM of EUR1.6 billion. Supporting functions, including credit research, IT, legal and compliance, operations, finance and risk management, have been outsourced to Cairn Capital. Cairn Capital operates an outsourced credit research team in Mumbai feeding into a limited number of senior London-based credit analysts. This structure differentiates Cairn Capital from 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 the decision-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 industry systems such as CDO Sentry. Detailed business continuity and disaster recovery plans are in place and tested, with offsite server storage and backups. Cairn Loan Investments LLP 66

72 The Carlyle Group The Carlyle Group is a global alternative asset manager that was founded in 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 Profile Region(s) of Operation Europe Address Firm Type 520 Madison Avenue New York, NY Private equity sponsored credit manager 57 Berkeley Square London W1J 6ER, U.K. Year Established Assets Under Management a USD12.9 Bil. EUR5.8 Bil. Total Employees/Investment Professionals 1,650+ employees worldwide Active CLOs Under Management Current/Planned Risk Retention Structure Not Reported Not Reported Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) N.A. a Structured credit group. N.A. Not applicable. Loan Management Profile Region(s) Europe Leveraged Loan AUM USD12.9 Bil. EUR5.8 Bil. Loans Managed via CLOs 100% 100% CLO Team Leader(s) Linda Pace Colin Atkins CLO Portfolio Managers (PMs)/Avg. Experience 2/27 Years 1/26 Years Credit Analysts, Non-PMs/Avg. Experience 16/17 Years 7/10 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan AUM By Region Loan AUM By Product Type Europe 26.4% Managed Accounts 0.2% 73.6% CLOs 99.8% The Carlyle Group 67

73 Credit Committee Experience (Years) Name Title Role Firm Industry Linda Pace Managing Director Global Head of Loans and Structured Credit Glori Graziano Managing Director Head of Workouts Michael Hadley Principal Credit Committee Chair 9 18 Justin Plouffe Managing Director Chief Operating Officer Adam Moss Managing Director Head of Research 7 25 William Lee Managing Director Portfolio Manager Jennifer Haaz Principal Credit Analyst European Credit Committee Experience (Years) Name Title Role Firm Industry Colin Atkins Managing Partner Co-Head of CLO Business Stuart MacKenzie Managing Director Portfolio Management and Trading Martin Glavin Director Credit Analyst Louis Reynolds Director Credit Analyst Szymon Jaroszewski Director Credit Analyst CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Stanfield CLO 6/99 Called N N CHYP 2 12/99 Called N N Stanfield RMF Transatlantic 5/00 Called N N CHYP 3 5/01 Called N N CHYP 4 4/02 Called N N Carrera 12/02 Called N N CLOF 9/03 Called N N MCAP 3 5/04 Called N N CHYP 6 7/04 Called N N Modena 9/04 Called N N Vantage 3/05 Called N N CHYP 7 9/05 Called N N Bristol 10/05 Called N N MCAP 4 12/05 Called N Y Azure 3/06 Called N Y CHYP 8 5/06 Called N Y Veyron 6/06 Called N Y MCAP 5 6/06 Called N Y CHYP 9 9/06 Amortizing N Y Daytona 2/07 Amortizing N Y Foothill CLO I 2/07 Called N Y MCAP 6 3/07 Amortizing N Y CHYP 10 4/07 Amortizing N Y McLaren 7/07 Amortizing N Y Arnage 12/07 Called N Y CCP Financing I 4/08 Called N Y CHYP /08 Called N Y CGMS /11 Called Y Y VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Continued on next page. The Carlyle Group 68

74 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR CGMS /12 Called Y Y CGMS /12 Amortizing Y Y CGMS /12 Reinvesting Y Y CGMS /12 Reinvesting Y Y CGMS /13 Reinvesting Y Y CGMS /13 Reinvesting Y Y CGMS /13 Reinvesting N Y CGMS /13 Reinvesting Y Y CGMS /14 Reinvesting Y Y CGMS /14 Reinvesting Y Y CGMS /14 Reinvesting Y Y CGMS /14 Reinvesting Y Y CGMS /14 Reinvesting Y Y CGMS /15 Reinvesting Y Y CGMS /15 Reinvesting Y Y CGMS /15 Reinvesting Y Y CGMS /15 Reinvesting Y Y CGMS /15 Reinvesting Y Y CGMS /16 Reinvesting Y Y Other Vertical CGMS /16 Reinvesting Y Y Other Horizontal CGMS /16 Reinvesting Y Y Carlyle /16 Reinvesting Y Y Other Vertical Total 25,624 12,488 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR CELF I 4/05 Called a 450 CELF II 11/05 Amortizing 16 HIGHLANDER I 8/06 Amortizing CELF III 10/06 Amortizing HIGHLANDER II 12/06 Amortizing CELL 1/07 Amortizing HIGHLANDER III 4/07 Amortizing CELF IV 5/07 Amortizing HIGHLANDER IV 6/08 Called 443 CELF V 6/08 Called 401 CELF /08 Called 556 CGMSE /13 Reinvesting Y Y Sponsor Horizontal CGMSE /13 Reinvesting Y Y Sponsor Vertical CGMSE /14 Reinvesting Y Y Sponsor Vertical CGMSE /14 Reinvesting Y Y Sponsor Vertical CGMSE /14 Reinvesting Y Y Sponsor Vertical CGMSE /15 Reinvesting Y Y Sponsor Horizontal CGMSE /15 Reinvesting Y Y Sponsor Vertical CGMSE /15 Reinvesting Y Y Sponsor Horizontal CGMSE /15 Reinvesting Y Y Sponsor Horizontal CGMSE /15 Reinvesting Y Y Originator Horizontal Total 9,547 5,698 a CELF I was called in January VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. The Carlyle Group 69

75 Organizational Structure Carlyle Global Credit Loans and Structured Credit Private Credit Energy Credit Distressed Credit Syndicated Loans First Lien Loans European Syndicated Loans Second Lien Loans Unitranche Loans Debt and Equity Debt and Equity CLO Investment Mezzanine USD19.3 Billion USD1.9 Billion a USD4.7 Billion USD3.4 Billion a Refers 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. The Carlyle Group 70

76 The Fitch View Key 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 structured credit group engages in active portfolio management through opportunistic trading, with a relative-value focus and an emphasis on bottom-up fundamental credit selection. Carlyle Global Credit leverages the entire CIM global network through intergroup knowledge sharing to broadly access the market, resulting in favorable primary market allocations. Ten credit research analysts, allocated by sector, with primary/secondary system per name and sector. Coverage per analyst (40 50 names) is higher relative to peers but consistent with credit team s depth of experience. The committee process results in the assignment of a risk rating (1 10 scale) and a value rating (1 5 scale) to each loan in the portfolio. CIM employees typically invest in the equity in CLO transactions to align interest with 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 bespoke system, 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 Everest and Cortland. External data feeds for pricing (Markit for loans, IPD for bonds) are integrated with Polaris and Everest. The Carlyle Group 71

77 Chenavari Investment Partners Chenavari Investment Managers (Chenavari; trading name of Chenavari Credit Partners LLP) was founded in May 2008 by Loic Fery (CEO and co-cio) together with Frederic Couderc (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 42 investment specialists. It had approximately EUR5.5 billion in assets under management as of the beginning of March Firm Profile Region(s) of Operation Europe Address Firm Type 80 Victoria Street London, SW1E 5JL, U.K. Multistrategy asset management Year Established Assets Under Management 2008 EUR5.5 Bil. Total Employees/Investment Professionals Active CLOs Under Management 99/42 5 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Originator EUR150 Mil. Chenavari Investment Managers Holdings Loan Management Profile Region(s) Europe Leveraged Loan AUMa Loans Managed via CLOs EUR1.2 Bil. 90% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Mick Vasilache 2/15 Years Credit Analysts, Non-PMs/Avg. Experience Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 10/10 Years aeur1.6 billion as of March 31, Loan Assets Under Management (EUR Bil.) Chenavari Investment Partners PRINT C.indd /7/ :28:17 PM

78 Total AUM By Asset Type Structured Credit 38.4% CLOs 37.8% Loan AUM By Region Middle Market Loans 5.6% Other 4.1% High Yield Bonds 14.1% Total AUM By Investor Type Other a 52.4% CLO Investors 23.9% Loan AUM By Product Type Pension/ Retirement 14.7% Family Office/ High Net Worth 9.0% a Includes insurance (1.3%), endowment (1.2%), sovereign wealth funds (0.5%) and bank (0.2%). Europe 100% Managed Funds 10.0% CLOs 90.0% European Credit Committee Experience (Years) Name Title Role Firm Industry Loic Fery Managing Partner CEO, Co-CIO 9 23 Frederic Couderc Partner Co-CIO 9 21 Mick Vasilache Partner Senior Portfolio Manager 8 22 Edward Smalley Head of Market Risk Head of Market Risk 3 13 European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Alpstar CLO 1 4/06 Amortizing N N Alpstar CLO 2 11/06 Amortizing N N Toro European 1 8/14 Reinvesting Y Y Originator Vertical Toro European 2 8/16 Reinvesting N Y Originator Horizontal Toro European 3 3/17 Reinvesting N Y Originator Horizontal Total 1,930 1,403 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Chenavari Investment Partners 73

79 Organizational Structure Chenavari Investment Managers Holdings (Cayman Islands) Alpstar Management Jersey Limited (Jersey) Chenavari Investment Managers Luxembourg Sarl (Luxembourg AIFM) Chenavari Financial Group Ltd Service Company (U.K.) Alpstar CLO 1 plc (Ireland) Alpstar CLO 2 plc (Ireland) Toro European CLO 1 (Ireland) Chenavari Credit Partners LLP (U.K.) Regulated by FCA/CFTC/SEC Toro European CLO 2 (Ireland) Toro European CLO 3 (Ireland) Chenavari Investment Partners 74

80 The Fitch View Key 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 lacks the financial resources of other bank- or private equity-backed CLO managers. It actively seeds 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 Its flagship structured finance fund (Toro) has been investing in CLO mezzanine and equity paper since the firm s inception in 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 portfolio management responsibility), who average approximately eight years of experience. The credit 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 precommittee, with the result that turndowns by the investment committee itself are limited. Overall Chenavari 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, a proprietary 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 the wider 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 behavior and overlap analysis across CLOs, among other functions. Solvas is used for operational and compliance purposes for the CLO and leveraged loan platforms. Detailed business continuity and disaster recovery plans are in place and tested, with offsite server storage and backup. Chenavari Investment Partners 75

81 Chicago Fundamental Investment Partners, LLC Chicago 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 Profile Region(s) of Operation Address One South Wacker Drive, Suite 3200 Chicago, IL Firm Type Independent CLO-focused manager Year Established 2005 Assets Under Management USD826 Mil. Total Employees/Investment Professionals 11/8 Active CLOs Under Management 2 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Loan Management Profile Region(s) Firm capital to be provided USD160 Mil. Not applicable Independent Leveraged Loan AUM USD826 Mil. Loans Managed via CLOs 100% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Credit Analysts, Non-PMs/Avg. Experience 4/7.4 Years Loan Team Credits Per Analyst (including PMs) 31 Approximate No. of Invested Credits 125 Bradford B. Couri, Levoyd E. Robinson 5/22.5 Years Loan Assets Under Management a (USD Bil.) a Represents year end market value. Chicago Fundamental Investment Partners, LLC 76

82 Total AUM By Asset Type Total AUM By Investor Type Middle Market Loans 100.0% CLO Investors 100.0% Loan AUM By Region Loan AUM By Product Type 100.0% CLOs 100.0% Credit Committee Experience (Years) Name Title Role Firm Industry Bradford B. Couri Managing Principal Portfolio Manager Levoyd E. Robinson Managing Principal Portfolio Manager Eric S. Baer Principal Portfolio Manager Dave Dieffenbacher Principal Portfolio Manager Sean Haas Principal Portfolio Manager CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR CHGO 9/08 Called N N CFIP CLO /13 Reinvesting Y N CFIP CLO /14 Reinvesting Y N Total 1, VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure CFI, LLC a The Academy Group, Inc. b CLOs SMAs a CFI is majority owned and operated by five principals. b The 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. Chicago Fundamental Investment Partners, LLC 77

83 CIFC Asset Management LLC CIFC Asset Management LLC (CIFC), founded in 2005, is a private debt manager specializing in corporate and structured credit strategies with USD13.7 billion of assets under management (AUM) as of Dec. 31, 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 Profile Region(s) of Operation Address Firm Type 250 Park Avenue, Fourth Floor New York, NY Multistrategy asset management Year Established 2005 Assets Under Management USD13.7 Bil. Total Employees/Investment Professionals 76/31 Active CLOs Under Management 27 Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Supreme Universal Holdings Ltd. Loan Management Profile Region(s) Leveraged Loan AUM USD13.7 Bil. Loans Managed via CLOs 82% 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) 30 Approximate No. of Invested Credits 450 Loan Assets Under Management (USD Bil.) CIFC Asset Management LLC 78

84 Total AUM By Asset Type Total AUM By Investor Type CLOs 82.0% Other 4.0% Structured Credit 5.0% Broadly Syndicated Loans 9.0% CLO Investors 82.0% Managed Accounts 12.0% Pension/ Retirement 1.0% Other 4.0% Bank 1.0% Loan AUM By Region Loan AUM By Product Type 100.0% Managed Funds 6.5% CLOs 82.0% Managed Accounts 11.5% Credit Committee Experience (Years) Name Title Role Firm Industry Steve Vaccaro Co-Chief Executive Officer Chief Investment Officer Oliver Wriedt Co-Chief Executive Officer Co-Chief Executive Officer 5 24 Elizabeth Chow Managing Director Head of Investment Research Robert Ranocchia Managing Director Head of Special Situations Stan Sokolowski Managing Director Head of Corporate Credit Funds 4 26 Ira Ginsburg Managing Director Head of CLOs 5 26 Claudette Kraus Managing Director Head of Originations Damien Mount Managing Director Senior Portfolio Manager 6 13 Robert Steelman Managing Director Senior Investment Analyst Tracey Ewing Executive Director Senior Investment Analyst Brian Pilko Managing Director Senior Investment Analyst CIFC Asset Management LLC 79

85 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Bridgeport CLO 6/06 Amortizing N N CIFC Funding 2006-II 12/06 Called N N CIFC Funding 2007-I 2/07 Called N N CIFC Funding 2007-II 3/07 Amortizing N N Schiller Park CLO 5/07 Amortizing N N Bridgeport CLO II 6/07 Amortizing N N Primus CLO II 7/07 Amortizing N N CIFC Funding 2007-III 7/07 Amortizing N N CIFC Funding 2011-I 1/12 Called N N CIFC Funding 2012-I 7/12 Amortizing Y N CIFC Funding 2012-II 11/12 Amortizing Y N CIFC Funding 2012-III 1/13 Amortizing Y N CIFC Funding 2013-I 3/13 Reinvesting N N CIFC Funding 2013-II 6/13 Reinvesting Y N CIFC Funding 2013-III 9/13 Reinvesting N N CIFC Funding 2013-IV 11/13 Reinvesting N N CIFC Funding /14 Reinvesting Y N CIFC Funding 2014-II 5/14 Reinvesting Y N CIFC Funding 2014-III 7/14 Reinvesting Y N CIFC Funding 2014-IV 9/14 Reinvesting Y N CIFC Funding 2014-V 12/14 Reinvesting Y N CIFC Funding 2015-I 2/15 Reinvesting Y N CIFC Funding 2015-II 4/15 Reinvesting Y N CIFC Funding 2015-III 6/15 Reinvesting Y N CIFC Funding 2015-IV 8/15 Reinvesting Y N CIFC Funding 2015-V 10/15 Reinvesting Y N CIFC Funding 2016-I 12/16 Reinvesting Y N Total 14,608 11,255 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Institutions and Individual Investors (Including Management) F.A.B. Holdings I LP (Delaware) CIFC LLC (Delaware) CIFC Asset Management LLC (Delaware) Note: This chart represents a simplified structure; certain wholly owned entities have been omitted. CIFC Asset Management LLC 80

86 The Fitch View Key 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 some challenges as CIFC settles into its new role within a larger organization. However, these challenges 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, 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 credit analysts average 18 years of relevant experience. CIFC has brought over 25 CLOs to market; in addition, it manages four CLOs that it acquired from 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 attractive performance and is augmented by daily portfolio reassessment and relative-value rebalancing. Sixteen research analysts cover approximately 30 credits each, are organized by industry and are grouped together, led by a senior analyst. All analysts participate in the investment committee, which meets at least on a daily basis and is attended by the chief investment officer, portfolio managers (PMs) and traders. Highly customized and robust credit research platform, which facilitates underwriting committees and 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 as three industry reviews per year. Robust reporting, including a key management report containing cash balances, overcollateralization and interest coverage tests and cushions for all transactions, is populated on a daily basis. It is reviewed internally by and distributed to the PMs on a daily 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 performing credit analysis. Daily reconciliation of cash and securities with Bank, as trustee. Additionally, there is a monthly 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 Mountain Everest, 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. CIFC Asset Management LLC 81

87 Columbia Management Investment Advisers, LLC Columbia 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 Profile Region(s) of Operation Address 100 North Sepulveda Boulevard El Segundo, CA Firm Type Multistrategy asset management Year Established 2000 (Leveraged debt group) Assets Under Management USD333.4 Bil. Total Employees/Investment Professionals 13,000 (Parent)/497 (Columbia Threadneedle) Active CLOs Under Management 13 Current/Planned Risk Retention Structure a Not Reported Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Ameriprise Financial, Inc. (Parent); Threadneedle Investments a Manager notes that multiple approaches are being pursued. Loan Management Profile Region(s) Leveraged Loan AUM USD8.4 Bil. Loans Managed via CLOs 79% CLO Team Leader(s) Lynn Hopton, Yvonne Stevens CLO Portfolio Managers (PMs)/Avg. Experience 4/26.5 Years Credit Analysts, Non-PMs/Avg. Experience 7/21 Years Loan Team Credits Per Analyst (including PMs) 50 Approximate No. of Invested Credits 400 Loan Assets Under Management (USD Bil.) Columbia Management Investment Advisers, LLC 82

88 Total AUM By Asset Type Loan AUM By Product Type Broadly Syndicated Loans 98.2% Other 1.8% a CLOs 79.0% Managed Funds 15.0% Managed Accounts 6.0% a Includes high yield bonds, at 1.8%. Investment Committee Experience (Years) Name Title Role Firm Industry Lynn Hopton Senior Managing Director and Co-Head Leveraged Debt Group Senior Portfolio Manager Steve Staver Managing Director Portfolio Manager Jerry Howard Managing Director Portfolio Manager CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Centurion CDO II 11/00 Called Sequils-Centurion V 4/01 Matured Centurion CDO VI 8/02 Called Centurion CDO VII 5/04 Called 1,100 0 Centurion CDO 8 1/05 Called Centurion CDO 9 6/05 Called Cent CDO 10 11/05 Called Cent CDO XI 3/06 Called Cent CDO 12 12/06 Amortizing N N Cent CDO 14 3/07 Amortizing N N Cent CDO 15 7/07 Amortizing N N Cent CLO 16 9/12 Amortizing Y N Cent CLO 17 2/13 Reinvesting N N Cent CLO 18 6/13 Reinvesting Y N Cent CLO 19 10/13 Reinvesting N N Cent CLO 20 1/14 Reinvesting Y N Cent CLO 21 6/14 Reinvesting Y N Cent CLO 22 10/14 Reinvesting Y N Cent CLO 23 4/15 Reinvesting Y N Cent CLO 24 9/15 Reinvesting Y N TCI-Cent a 12/16 Reinvesting Y N Other Horizontal Total 11,978 6,634 a TCI-Cent 2016 is managed in a sub-advisory role. VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Columbia Management Investment Advisers, LLC 83

89 Organizational Structure Asset Management Businesses Columbia Threadneedle Investments Ameriprise Financial, Inc. Financial Advisory Business Ameriprise Financial Insurance and Annuities Businesses Riversource Ameriprise Trust Company Ameriprise Auto & Home Insurance Columbia Management Investment Advisers, LLC 84

90 The Fitch View Key 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 11 performance 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 from 5% 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, fundamental credit 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 ideas on 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 management and trade order management, among other business processes. Compliance is supplemented by corporate oversight in the form of internal operational reviews and compliance checks. Currently, the specific procedures for the leveraged debt group 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 structural considerations. Operations Scalability of processes is demonstrated through successful integration of subsequently issued and managed CLOs since 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 of servers and data. Wall Street Office (WSO) Administrator is used for cash position reporting and position reporting by industry, analyst and global exposure. In addition, WSO Compliance is used for collateral testing/monitoring, coverage/quality tests and concentration limits. Columbia Management Investment Advisers, LLC 85

91 Commerzbank Debt Fund Management Commerzbank 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 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, Firm Profile Region(s) of Operation Address Firm Type Europe Year Established 2007 Assets Under Management EUR780 Mil. Total Employees/Investment Professionals 6/5 Active CLOs Under Management 2 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) N.A. Not applicable. Loan Management Profile Region(s) 30 Gresham Street London, EC2V 7PG, U.K. Bank 7PG, U.K. affiliated CLO manager Originator Not Reported N.A. Europe Leveraged Loan AUM EUR780 Mil. Loans Managed via CLOs 53% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Guy Beeston 1/22 Years Credit Analysts, Non-PMs/Avg. Experience 4/9 Years Loan Team Credits Per Analyst (including PMs) 17 Approximate No. of Invested Credits 80 Loan Assets Under Management (EUR Mil.) Commerzbank Debt Fund Management 86

92 Total AUM By Asset Type High Yield Bonds 10.0% Total AUM By Investor Type Managed Accounts 2.0% Broadly Syndicated Loans 90.0% Bank 42.0% CLO Investors 56.0% Loan AUM By Region 15.0% Loan AUM By Product Type Other 44.0% CLOs 54.0% Europe 85.0% Managed Funds 2.0% European Credit Committee Experience (Years) Name Title Role Firm Industry Guy Beeston Managing Director Head of Debt Fund Management 9 23 Chris Day Managing Director Head of Leveraged Finance Chris Allflatt Director Risk Officer 9 28 European CLOs Under Management Portfolio Balance Compliance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Bosphorus CLO I 2/15 Called Y Y Originator Horizontal Bosphorus II 3/16 Reinvesting Y Y Originator Horizontal Total VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Commerzbank Debt Fund Management 87

93 Commerzbank Debt Fund Management 88

94 The Fitch View Key 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 ratio of 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 a segregated entity. The bank has been originating and investing in leveraged loans since 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 plans to 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 in the 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 and in portfolio construction. DFM uses the bank s internal rating model to generate ratings on invested issuers. Credit research is documented in detailed memos of good quality based on a standardized template, with clear credit recommendations. Continuous portfolio monitoring via weekly portfolio discussions, monthly analyst updates on issuer financials and full portfolio review, and annual updates of the bank s rating model and the credit analysis. DFM maintains a watchlist of weaker/underperforming issuers and will typically sell early rather than wait for material underperformance to emerge. Binary decision on issuer eligibility based solely on credit. Investment committee decisions are 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-ofinterest 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 assets under 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 by the industry. Detailed business continuity and disaster recovery plans are in place and tested and include offsite server storage and backups. Commerzbank Debt Fund Management 89

95 Credit Suisse Asset Management Credit 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 Profile Region(s) of Operation Europe Address One Madison Avenue, New York, NY One Cabot Square, Canary Wharf, London, E14 4QJ, U.K. Firm Type Bank-affiliated CLO manager Year Established Assets Under Management USD36.7 Bil. USD5.4 Bil. Total Employees/Investment Professionals 44/29 7/7 Active 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 Reported Key Affiliates (Global) Credit Suisse Group AG (Parent); Credit Suisse Asset Management Limited (U.K. Manager); Credit Suisse Asset Management, LLC ( Manager) Loan Management Profile Region(s) Europe 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 CLO Portfolio Managers (PMs)/Avg. Experience 4/23 Years 1/26 Years Credit Analysts, Non-PMs/Avg. Experience 15/13 Years 5/12 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Leverage Loan Assets Under Management (USD Bil.) Credit Suisse Asset Management 90

96 European Leverage Loan Assets Under Management (USD Bil.) Total AUM By Asset Type High Yield Bonds 8.5% Structured Credit 1.2% Total AUM By Investor Type CLO Investors 43.7% Loan AUM By Region Europe 12.9% Broadly Syndicated Loans 90.3% Other 56.3% Loan AUM By Product Type Managed Funds 33.5% Managed Accounts 22.1% 87.1% CLOs 44.4% and European Credit Committee Experience (Years) Name Title Role Firm Industry John G. Popp Managing Director Global Head and Chief Investment Officer Andrew H. Marshak Managing Director Head of Europe Thomas J. Flannery Managing Director Senior Portfolio Manager Louis I. Farano Managing Director Portfolio Manager Wing Chan Managing Director Portfolio Manager 8 18 Credit Suisse Asset Management 91

97 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR First Dominion Funding I 6/98 Called N N First Dominion Funding II 4/99 Called N N First Dominion Funding III 12/99 Matured N N CSAM Funding I 3/01 Called N N CSAM Funding II 5/02 Called N N Atrium CDO 6/02 Called N N CSAM Funding III 7/03 Called N N Atrium II 12/03 Called N N CSAM Funding IV 6/04 Called N N Atrium III 10/04 Called N N Madison Park Funding I 4/05 Called N N Atrium IV 5/05 Called N N Castle Garden 10/05 Called N N Madison Park Funding II 2/06 Called N N Atrium V 6/06 Called N N Madison Park Funding III 8/06 Called N N Madison Park Funding IV 2/07 Amortizing N N Madison Park Funding V 4/07 Amortizing N N Atrium VI/Integral Funding 9/07 Called N.A. 0 N N Madison Park Funding VI 9/07 Amortizing Y N Madison Park Funding VII 5/11 Called N N Atrium VII 11/11 Called Y N Madison Park Funding VIII 4/12 Amortizing N N Madison Park Funding IX 7/12 Amortizing Y N Atrium VIII 10/12 Reinvesting Y N Madison Park Funding X 12/12 Reinvesting Y N Atrium IX 2/13 Reinvesting N N Atrium X 6/13 Reinvesting N N Madison Park Funding XI 9/13 Reinvesting N N Madison Park Funding XIII 2/14 Reinvesting Y N Madison Park Funding XII 5/14 Reinvesting 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 Y N Madison Park Funding XVI 3/15 Reinvesting Y N Madison Park Funding XVII 5/15 Reinvesting Y N MOA Vertical Madison Park Funding XVIII 9/15 Reinvesting Y N MOA Vertical Atrium XII 10/15 Reinvesting Y N MOA Vertical Madison Park Funding XIX 12/15 Reinvesting Y N MOA Vertical Madison Park Funding XX 2/16 Reinvesting Y Y Sponsor MOA Vertical Madison Park Funding XXI 2/16 Reinvesting Y N MOA Vertical Madison Park Funding XXII 9/16 Reinvesting Y N MOA Vertical Madison Park Funding XXIV 11/16 Reinvesting Y N MOA Vertical Total 27,199 16,137 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. N.A. Not available. Credit Suisse Asset Management 92

98 European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Cadogan Square I 12/05 Amortizing N N Cadogan Square II 6/06 Amortizing N N Cadogan Square III 12/06 Amortizing N N Cadogan Square IV 5/07 Amortizing N N Cadogan Square V 8/13 Revolving Y Y Sponsor Vertical Cadogan Square VI 6/15 Revolving Y Y Sponsor Vertical Cadogan Square VII 4/16 Revolving Y Y Sponsor Vertical Cadogan Square VIII 11/16 Revolving Y Y Sponsor Vertical Total 3,424 2,285 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Credit Suisse Group AG (Publicly Listed Company) 100% 43% Credit Suisse AG (Regulated Swiss Bank) 57% Credit Suisse Holdings (USA), Inc. 100% Credit Suisse (USA), Inc. 100% CSAM Americas Holding Corp. 100% Credit Suisse Asset Management, LLC (Registered Investment Adviser) Credit Suisse Asset Management 93

99 The Fitch View Key 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 portfolio management functions. Concentration of AUM in institutional investors and CLOs. However, there has been greater diversification as separate accounts and commingled funds increase in size. Company CSAM has been a large manager of bank loans since it was established in 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 years of experience. Very low senior management turnover, with managing partners having worked together for more than 20 years. Staffing includes 36 investment professionals and 15 other employees. The large credit research team has 20 analysts, who are each assigned to cover one or two sectors. Collaboration and partnership across private bank, investment bank and asset management provide 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 sell recommendation that must be updated at least quarterly. Analysts can rely on an in-house workout specialist and PMs to assist with bankruptcy and distressed credits. Daily, quarterly and ad hoc meetings to analyze new transactions, monitor existing holdings and 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 and European CLOs, respectively. Operations Daily reconciliation of cash and securities with the trustee. Strong relationship and constant dialogue with the trustees (Wells Fargo, BNY Mellon and 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, NJ and outside London to serve as disaster recovery sites. Credit Suisse Asset Management 94

100 Crescent Capital Group LP Crescent Capital Group LP (Crescent) was organized as an employee-owned asset management firm in It had originally been formed as Crescent Capital Corporation in 1991, subsequently becoming the leveraged finance arm of The TCW Group, Inc. (TCW) in 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 Profile Region(s) of Operation Address Santa Monica Boulevard, Suite 2000 Los Angeles, CA Firm Type Multistrategy asset manage Year Established 2011 (Crescent Capital Group LP) 1991 (Crescent Capital Corporation) Assets Under Management USD25 Bil. Total Employees/Investment Professionals a 154/81 Active CLOs Under Management 7 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) N.A. a 141, 13 Europe/71, 10 Europe. N.A. Not applicable. Loan Management Profile Region(s) Leveraged Loan AUM USD4.5 Bil. Loans Managed via CLOs 67% CLO Team Leader(s) Mathew Miller, Jonathan Insull CLO Portfolio Managers (PMs)/Avg. Experience 4/24 Years Credit Analysts, Non-PMs/Avg. Experience 14/16 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 275 Loan Assets Under Management (USD Bil.) Crescent Capital Group LP 95

101 Total AUM By Asset Type Total AUM By Investor Type Broadly Syndicated Loans 33.0% Insurance 9.9% Pension/ Retirement 6.9% CLOs 67.0% CLO Investors 74.3% Other 8.9% Loan AUM By Region Other 4.0% Loan AUM By Product Type Managed Funds 16.2% Managed Accounts 16.5% 96.0% CLOs 67.0% Other 0.3% 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. CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CR Method Method of RR VITESSE CLO 5/06 Called N N SHINNECOCK CLO /06 Called N N MAC CAPITAL 5/07 Called N N MOMENTUM CAPITAL FUND 9/07 Called N N ATLAS SENIOR LOAN FUND 6/12 Amortizing Y N ATLAS SENIOR OAN FUND II, LTD. 11/12 Amortizing Y N ATLAS SENIOR LOAN FUND III 7/13 Reinvesting Y N ATLAS SENIOR LOAN FUND IV 1/14 Reinvesting Y N ATLAS SENIOR LOAN FUND V 6/14 Reinvesting Y N ATLAS SENIOR LOAN FUND VI 9/14 Reinvesting Y N ATLAS SENIOR LOAN FUND VII 10/16 Ramp-Up Y N Total 4,912 3,119 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Crescent Capital Group LP 96

102 Organizational Structure Founders and Managing Partners: Jean-Marc Chapus and Mark Attanasio Crescent Capital Group LP Independent and Employee Owned Minority Ownership Interest Allied World Assurance Company Crescent Capital Group LP 97

103 The Fitch View Key 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 revenue growth. Not dependent on CLO growth for viability; growth in other investment platforms strengthens support for CLO issuance. Good staff retention leading to experienced portfolio management and credit underwriting teams. Co-founders are still actively managing the business. Maintain loan asset growth targets (issuance of two CLOs a year) given market conditions. Somewhat mitigated by recent loan investment vehicles started an open end co-mingled fund. Company The firm specializes in below-investment-grade credit and is organized across six main business strategies: mezzanine, direct lending, EU specialty lending, special situations, 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 these investment 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 s ability to make quick allocation changes (by rating or industry) to take advantage of shifts in the market. Diversification is a key investment philosophy, and generally obligors are kept below 1% of the portfolio. A full review of all ratings and companies is performed quarterly, including sector trends and company 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 for underlying shifts in investment thesis. Well established internal guidelines on issuer, portfolio and market risks facilitate risk management by the credit and portfolio management teams. CLO portfolios are compared to peers by certain market data by vintage, and key CLO metrics 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 perform trustee reconciliations. On a daily basis, all trading activity is monitored in house to CLO indenture requirements, all cash is reconciled, and CLO reporting is sent to portfolio managers and trading team. All loan settlement is conducted in-house with faster settlement times than industry 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 and reporting structure. Business continuation and emergency planning systems and technology are tested and appropriate. Crescent Capital Group LP 98

104 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 Profile Region(s) of Operation Address Firm Type 2001 Spring Road, Suite 220 Oak Brook, IL Independent CLO-focused manager Year Established Assets Under Management 2001 USD1.89 Bil. Total Employees/Investment Professionals Active CLOs Under Management 25/15 8 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Capital to be provided directly from manager Not Reported DC Funding Partners LLC Affiliate Loan Management Profile Region(s) Leveraged Loan AUM Loans Managed via CLOs USD1.89 Bil. 100% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience David Killion, John Thacker, Greg Cooper 3/31 Years Credit Analysts, Non-PMs/Avg. Experience Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 13/8 Years Loan Assets Under Management (USD Bil.) Crestline Denali Capital, L.P. PRINT C.indd /7/ :28:22 PM

105 Total AUM By Asset Type Total AUM By Investor Type Broadly Syndicated Loans 100% Bank 63.0% Other 14.0% Insurance 21.0% Family Office/ High Net Worth Pension/ 1.0% Retirement 1.0% Loan AUM By Region Loan AUM By Product Type Other 2.2% CLOs 100.0% Europe 2.2% 95.6% Credit Committee Experience (Years) Name Title Role Firm Industry David Killion Chief Executive Officer Investment Committee Member John Thacker Senior Managing Director/ Chief Operating Officer Investment Committee Member Kelli Marti Managing Director Investment Committee Member CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Denali Capital I 9/01 Called N N Denali Capital II 6/02 Called N N Denali Capital III 6/03 Called N N Denali Capital IV 7/01 Called N N Denali Capital V 7/05 Amortizing N N Denali Capital VI 2/06 Amortizing N N Denali Capital VII 4/07 Amortizing N N Spring Road /07 Amortizing N N Denali Capital X 3/13 Reinvesting N N Denali Capital XI 2/15 Reinvesting Y N Denali Capital XII 2/16 Reinvesting Y Y Originator Horizontal Crestline Denali XIV 9/16 Reinvesting Y Y Originator Horizontal Total 5,289 2,032 VR Volcker Rule. CCR European Capital Requirements Regulation. RR Risk retention. Crestline Denali Capital, L.P. 100

106 Organizational Structure Crestline Investors, Inc. General Partner Crestline Management, L.P. Crestline Denali (GP), L.P. Denali Principals Limited Partner General Partner Limited Partners Crestline Denali Capital, L.P. Crestline Denali Capital, L.P. 101

107 The Fitch View Key Considerations Senior executives have all worked together since 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 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 15 years and has 23 years of investment experience, has been a member of the firm s investment 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 and procedures. Portfolio information is stored securely in the cloud allowing for accessibility from anywhere and interaction with the firm s loan administration software. The firm has had an investment approval rate of 30% since inception, including an approval rate of 24% since Controls The firm has been a registered investment adviser since 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 and support its technology needs. The support includes retention, server monitoring, 24-hour technical support 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 SunGard Availability 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. Crestline Denali Capital, L.P. 102

108 CVC Credit Partners, LP CVC Credit Partners, LP is the credit management business of CVC Capital Partners; it includes both and European subsidiaries (together, CVC Credit Partners). CVC Credit Partners invests across the capital structure, including in senior-secured, seniorunsecured 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 Profile Region(s) of Operation Europe Address 712 Fifth Avenue, 42nd Floor New York, NY Strand, London, WC2R 0AG, U.K. Firm Type Global private equity-sponsored credit manager Year Established Assets Under Management USD15.8 Bil. globally Total Employees/Investment Professionals 46/33 36/19 Active CLOs Under Management 20 8 Current/Planned Risk Retention Structure Capitalized manager vehicle (CMV) Originator Dedicated 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.) a As of first close on Dec. 15, Loan Management Profile Region(s) Europe Leveraged Loan AUM USD9.0 Bil. EUR3.6 Bil. Loans Managed via CLOs 95% 75% 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) Approximate No. of Invested Credits 600 Globally Loan Assets Under Management (USD Bil.) CVC Credit Partners, LP 103

109 Total AUM By Asset Type Broadly Syndicated Loans 85.2% a Includes CLOs, at 0.7%. Loan AUM By Region Middle Market Loans 5.3% High Yield Bonds 7.7% Europe 29.0% a Other 1.8% Total AUM By Investor Type Bank 51.6% a Includes endowment, at 0.5%. Other 12.9% Loan AUM By Product Type a CLO Investors 8.4% Insurance 15.4% Pension/ Retirement 11.7% Managed Funds 17.1% 71.0% CLOs 71.4% Managed Accounts 11.5% Credit Committee Experience (Years) Name Title Role Firm Industry Gretchen Bergstresser Partner, Head of Performing Credit Senior Portfolio Manager Stephen Hickey Managing Partner Chief Investment Officer 5 29 Jonathan Bowers Partner, Head of European Performing Credit Senior Portfolio Manager Philip Raciti Senior Managing Director Portfolio Manager Kevin O Meara Managing Director Portfolio Manager Justin Sughrue Managing Director Assistant Portfolio Manager LynnAnn Loufik Director Assistant Portfolio Manager 5 11 European Credit Committee Experience (Years) Name Title Role Firm Industry Jonathan Bowers Partner, Head of European Performing Credit Senior Portfolio Manager Stephen Hickey Managing Partner Chief Investment Officer 5 29 Gretchen Bergstresser Partner, Head of Performing Credit Senior Portfolio Manager Brandon Bradkin Partner Chief Operating Officer 4 24 Mark 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 32 Andrew Davies Senior Managing Director Portfolio Manager 7 15 Guillaume Tarneaud Managing Director Portfolio Manager CVC Credit Partners, LP 104

110 CLOs Under Management Name Olympic CLO I Whitney CLO I Apidos CDO I ACA CLO Apidos CDO II Apidos CDO III ACA CLO 2006-I Apidos CDO IV Apidos Quattro CDO Sierra CLO II ACA CLO Shasta CLO I Apidos CDO V Apidos Cinco CDO ACA CLO San Gabriel CLO I Apidos CLO VIII Apidos CLO IX Apidos CLO X Apidos CLO XI Apidos CLO XII Apidos CLO XIV Apidos CLO XV Apidos CLO XVI Apidos CLO XVII Apidos CLO XVIII Apidos CLO XIX Apidos CLO XX Apidos CLO XXI Apidos CLO XXII Apidos CLO XXIII Apidos CLO XXIV Apidos CLO XXV Total Pricing 3/04 12/04 8/05 8/05 12/05 5/06 7/06 9/06 10/06 11/06 12/06 1/07 3/07 5/07 6/07 7/07 10/11 7/12 11/12 1/13 4/13 7/13 9/13 1/14 5/14 7/14 11/14 2/15 6/15 11/15 1/16 7/16 10/16 Status Called Called Called Called Called Called Called Called Called Called Called Called Called Called Called Called Called Amortizing Amortizing Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting Portfolio Balance (USD Mil.) Original Current ,617 8,346 Compliance VR N N N N N N N N N N N N N N N N N Y N Y N N Y Y Y Y Y Y Y Y Y Y Y CRR N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N EU RR Method RR Method CMV CMV CMV Form of RR Vertical Vertical Vertical VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Portfolio Balance (EUR Mil.) Name Cordatus Loan Fund I Cordatus Loan Fund II Cordatus Recovery Partners I CVC Cordatus Loan Fund III CVC Cordatus Loan Fund IV CVC Cordatus Loan Fund V CVC Cordatus Loan Fund VI CVC Cordatus Loan VII CVC Cordatus Loan Fund VIIIa Total Pricing Status 1/07 Amortizing 7/07 Amortizing 9/08 5/14 12/14 5/15 3/16 7/16 Original Current Compliance EU RR Form VR N N CRR Method N N of RR Called Reinvesting Reinvesting Reinvesting Reinvesting Reinvesting N Y Y Y Y Y N Y Y Y Y Y Originator Originator Originator Originator Originator Vertical Vertical Vertical Vertical Vertical 2/17 Reinvesting 416 3, ,102 Y Y Sponsor Vertical a CVC Cordatus Loan Fund VIII closed on March 30, VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. CVC Credit Partners, LP PRINT C.indd /7/ :28:23 PM

111 CVC Credit Partners, LP 106

112 The Fitch View Key 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. CVC conducts a regular review of trading and compliance policies, which are also reviewed externally by consultants and third party auditors. Company CVC Credit Partners is the credit management business of CVC Capital Partners. Its and European businesses were established in 2005 and 2006, respectively, via predecessor entities. CVC Credit Partners had AUM of USD15.8 billion globally across 49 investment vehicles as of Dec. 31, 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 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 and loan 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 leverage broader 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 and exposure 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. CVC Credit Partners, LP 107

113 DFG Investment Advisers, Inc. DFG Investment Advisers, Inc. (DFG) 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 acquired a minority stake in VCP in 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 Profile Region(s) of Operation Address Firm Type 655 Third Avenue, 23rd Floor New York, NY Multistrategy asset management Year Established 2006 Assets Under Management USD2.9 Bil. Total Employees/Investment Professionals 22/10 Active CLOs Under Management 5 Current/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 Loan Management Profile Region(s) Leveraged Loan AUM USD1.9 Bil. Loans Managed via CLOs 100% CLO Team Leader(s) Roberta Goss, Timothy Milton CLO Portfolio Managers (PMs)/Avg. Experience 1/30 Years Credit Analysts, Non-PMs/Avg. Experience 5/9 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 265 Leveraged Loan Assets Under Management (USD Bil.) DFG Investment Advisers, Inc. 108

114 Total AUM By Asset Type Broadly Syndicated Loans 66.7% Total AUM By Investor Type CLO Investors 28.5% Insurance 10.0% CLOs 33.3% Other 37.4% Bank 24.0% Loan AUM By Region Loan AUM By Product Type 100.0% CLOs 100.0% Credit Committee Experience (Years) Name Title Role Firm Industry Roberta Goss Managing Director Portfolio Manager 2 30 Timothy Milton Managing Director Head Trader 2 17 Jeremy Hyatt Director Senior Credit Analyst 4 11 Volkan Kurtas Managing Partner Chief Investment Officer Moritz Hilf Managing Partner Chief Risk Officer CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Vibrant CLO 12/12 Amortizing Y N Vibrant CLO II 8/13 Reinvesting Y N Vibrant CLO III 2/15 Reinvesting Y N Vibrant CLO IV 5/16 Reinvesting Y N Vibrant CLO V 12/16 Ramp-Up Y N Total 1,905 1,927 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. DFG Investment Advisers, Inc. 109

115 DFG Investment Advisers, Inc. 110

116 The Fitch View Key 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 is partly 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 AIMCo manages more than CAD90 billion AUM. The loan management platform is led by Roberta Goss (former co-head of high-yield and bank loans at Goldman Sachs Asset Management, with 30 years' experience) and Timothy Milton (former par and distressed bank loan trader at Goldman Sachs, with over 17 years' experience). Philip Darivoff, a retired former partner from Goldman Sachs and the former head of the firm's corporate bonds and capital markets unit, joined DFG as chairman of the board in 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 and structural composition of the issue. DFG's turndown rate during 2016 was 62%, based on the number of deals (48%, based on notional). DFG's average position size is 0.5%, with exposure to approximately 175 issuers in 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 for a 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-party administration and data systems, including CDO Suite, Bloomberg, and Wells Fargo data. The business continuity plan is appropriate and has been tested. The company has offsite data centers, daily backup of all data and remote access available for employees (remote access to terminals at DFG s offices as well as a disaster recovery site if needed). DFG Investment Advisers, Inc. 111

117 Fortress Investment Group LLC Fortress 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 clients worldwide. 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 Firm Profile Region(s) of Operation Address Firm Type Global 1345 Avenue of the Americas, 46th Floor New York, NY Multistrategy asset management Year Established 1998 Assets Under Management USD69.6 Bil. a,b Total Employees/Investment Professionals 1,078/271 Active CLOs Under Management 20 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) ()/Originator (Europe) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Upon closing of the merger, SoftBank a Includes USD1.7 billion of AUM related to co-managed funds as of 4Q b Includes USD4.4 billion of AUM related to the affiliated manager 4Q Loan Management Profile Region(s) Global Leveraged Loan AUM USD8.7 Bil. Loans Managed via CLOs a 100% CLO Team Leader(s) Pete Briger, Dean Dakolias CLO Portfolio Managers (PMs)/Avg. Experience 8/20 Years Credit Analysts, Non-PMs/Avg. Experience 18/14.5 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 300 a CLOs managed by the Fortress Credit Funds team. Total AUM By Investor Type a Other 39.1% Insurance 3.8% Endowment 9.7% Bank 6.8% Pension/ Retirement 40.6% a Represents total firm AUM by investor type. Fortress Investment Group LLC 112

118 Credit Committee Experience (Years) Name Title Role Firm Industry Pete Briger Principal and Co-Chairman of the Board of Directors of Fortress and Co-CIO of Credit Funds Investment Committee Dean Dakolias Co-CIO of Credit Funds Investment Committee Marc Furstein President and COO of Credit Funds Investment Committee Leslee Cowen Managing Director Investment Committee Joel Holsinger Managing Director Investment Committee 8 20 Drew McKnight Managing Director Investment Committee Josh Pack Managing Director Investment Committee Ken Sands Managing Director Investment Committee CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Fortress Credit Opportunities I LP 7/04 Amortizing 4,250 1,809 N N Fortress Credit Opportunities II LP 7/04 Called 450 Bernard National a 3/05 Called 1,559 Bernard Global a 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 Ltd a 8/06 Amortizing N N Sargas CLO II Ltd a 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 LTD. a 8/07 Amortizing N N Fortress Credit Funding V LP 8/12 Amortizing Y N Fortress Credit Funding VI LP 8/12 Amortizing Y N Fortress Credit BSL Limited 3/13 Reinvesting Y Y Originator Fortress Credit BSL II Limited 11/13 Reinvesting Y Y Originator HILDENE CLO I LTD. a 1/14 Reinvesting Y N Fortress Credit Opportunities III CLO LP 4/14 Reinvesting Y Y Originator HILDENE CLO II LTD. a 6/14 Reinvesting Y N Fortress Credit Opportunities V CLO Limited 10/14 Reinvesting Y Y Originator HILDENE CLO III LTD. a 12/14 Reinvesting Y N a Management contracts for Hildene CLO I IV LTD. were acquired in March Management contracts for Bernard National and Bernard Global were acquired in June Management contracts for Pangaea CLO LTD., Sargas CLO I Ltd and Sargas CLO II Ltd were acquired in December Management contract for DFR Middle Market CLO Ltd. was acquired in February VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Continued on next page. Fortress Investment Group LLC 113

119 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Fortress Credit Opportunities VI CLO Limited 3/15 Reinvesting Y Y Originator Fortress Credit Investments IV Limited 6/15 Amortizing Y N HILDENE CLO IV LTD. a 8/15 Reinvesting Y N Fortress Credit BSL III Limited 10/15 Reinvesting Y N FDF I Limited 11/15 Reinvesting N N FDF II Limited 5/16 Reinvesting N N FORT CRE LLC 8/16 Amortizing Y N Fortress Credit Opportunities VII CLO Limited 12/16 Reinvesting Y Y Originator Total 21,610 9,315 a Management contracts for Hildene CLO I IV LTD. were acquired in March Management contracts for Bernard National and Bernard Global were acquired in June Management contracts for Pangaea CLO LTD., Sargas CLO I Ltd and Sargas CLO II Ltd were acquired in December Management contract for DFR Middle Market CLO Ltd. was acquired in February VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Fortress Investment Group USD69.6 Billion a,b Credit Funds AUM USD18.1 Billion a Private Equity AUM USD13.5 Billion Liquid Markets AUM USD4.6 Billion b Logan Circle Partners AUM USD33.4 Billion CLO/CBO Business c a Includes USD1.7 billion of AUM related to co-managed funds as of 4Q b Includes USD4.4 billion of AUM related to an affiliated manager as of 4Q c CLOs 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, nonmark-to-market CLO and CBO securitizations. Fee-paying AUM as of Dec. 31, Fee-paying AUM is defined as: (i) capital commitments or invested capital (or NAV, if lower) for the private equity funds, private permanent capital vehicle 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 hedge funds and the NAV or fair value for related managed accounts (including Logan Circle Partners), and (iv) AUM related to affiliated managers and co-managed funds. Fortress Investment Group LLC 114

120 The Fitch View Key Considerations Fortress global AUM has steadily increased, rising from USD8.7 billion at year-end 2004 to USD69.6 billion as of Dec. 31, 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 CLOs since Highly centralized approval process, in which the Credit Funds co-cios maintain ultimate authority 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 CLOs since The team is well staffed at all levels and consists of approximately 460 professionals, of which approximately 140 were investment professionals as of Dec. 31, The team is led by co-cios Pete Briger and Dean Dakolias. The team has wide access to support and control functions, leveraging the Fortress global presence and asset size (that is, middle office and legal). Staff turnover has remained low, indicative of the team s long-term commitment and the adequacy 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 of the Securities Exchange Act of Overall, the FCF team operates under a sound control environment, with close oversight by Fortress senior management. The FCF business has an internal CLO compliance team that works in conjunction with the allocation personnel to monitor CLO compliance both pre- and post-trade. Fortress has a sound IT and operational infrastructure, with both proprietary and third-party systems 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 portfolio management function. Fortress Investment Group LLC 115

121 GC Advisors LLC (Golub Capital) GC Advisors LLC (collectively with affiliates, Golub) is a -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 Firm Profile Region(s) of Operation Address Firm Type 150 South Wacker Drive, 5 th Floor Chicago, IL Credit asset manager Year Established 1994 Assets Under Management USD22.1 Bil. Total Employees/Investment Professionals 300+/100+ Active CLOs Under Management 21 Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) GC Investment Management LLC (Relying adviser) Loan Management Profile Region(s) 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) (BSL) Approximate No. of Invested Credits 220 Capital Under Management (USD Bil.) GC Advisors LLC (Golub Capital) 116

122 Total AUM By Asset Type Total AUM By Investor Type Middle Market Loans 83.4% Other 1.4% a Broadly Syndicated Loans 15.2% Pension/ Retirement 15.3% Endowment 11.5% Other 36.8% Insurance 36.3% a Includes CLOs, at 0.8%. Loan AUM By Region Note: Based on investor commitments to all active, non-traded Golub Capital funds. Loan AUM By Product Type Other 5.8% Europe 2.7% Managed Accounts 9.8% 91.5% Managed Funds 90.2% Note: Certain investment vehicles obtain exposure to MM loans and some BSL on an indirect leveraged basis. BSL Investment Committee Experience (Years) Name Title Role Firm Industry Lawrence Golub Chief Executive Officer Chief Executive Officer David Golub President President Christina Jamieson Head of BSL Head of BSL 7 24 Direct Lending Investment Committee Experience (Years) Name Title Role Firm Industry Lawrence Golub Chief Executive Officer Chief Executive Officer David Golub President President Andrew Steuerman Head of MM Lending Head of MM Lending Gregory Cashman Senior Managing Director Senior Managing Director GC Advisors LLC (Golub Capital) 117

123 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Golub Capital Loan Trust /05 Called N N Golub Capital International Loan Ltd I 8/06 Called N N Golub Capital Partners /07 Called N N Golub Capital Partners /07 Called N N Golub Capital Senior Loan Opportunity Fund 12/07 Called N N Golub Capital Funding CLO-8(H) 5/08 Called N N Golub Capital BDC /10 Reinvesting N N Golub Capital Partners CLO 10 9/11 Called N N Golub Capital Partners CLO 12 1/12 Called Y N Golub Capital Partners CLO 11 5/12 Amortizing N N Golub Capital Partners CLO 14 11/12 Reinvesting Y N Golub Capital Partners CLO 15 2/13 Reinvesting Y N Golub Capital Partners CLO 16 8/13 Amortizing Y N Golub Capital Partners CLO 17 11/13 Reinvesting Y N Golub Capital Partners CLO 18(M) 3/14 Reinvesting Y N Golub Capital Partners CLO 19(B) 4/14 Reinvesting Y N Golub Capital BDC CLO /14 Reinvesting Y Y Originator Horizontal Golub Capital Partners CLO 21(M) 11/14 Reinvesting Y Y Originator Horizontal Golub Capital Partners CLO 22(B) 3/15 Reinvesting Y Y Originator Horizontal Golub Capital Partners CLO 24(M) 4/15 Reinvesting Y Y Originator Horizontal Golub Capital Partners CLO 23(B) 5/15 Reinvesting Y N Golub Capital Partners CLO 25(M) 8/15 Reinvesting Y Y Originator Horizontal Golub Capital Partners CLO 26(B) 11/15 Reinvesting Y N Golub Capital Partners CLO 28(M) 12/15 Reinvesting Y Y Originator Horizontal Golub Capital Partners CLO 30(M) 3/16 Reinvesting Y Y Originator Horizontal Golub Capital Partners CLO 31(M) 5/16 Reinvesting Y Y Originator Horizontal Golub Capital Investment Corp CLO 2016(M) 8/16 Reinvesting Y Y Originator Horizontal Golub Capital Partners CLO 33(M) 11/16 Ramp-up Y Y Originator Horizontal Golub Capital Partners CLO 34(M) 3/17 Ramp-up Y Y Originator C-MOA Horizontal Total 12,534 9,521 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. GC Advisors LLC (Golub Capital) 118

124 Organizational Structure Golub Capital Credit Platform Founded in 1994 Over 300 employees with more than 100 investment professionals Over USD20 billion a under management Broadly Syndicated Loans First lien loans Second lien loans CLO liabilities Over USD3 billion a,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 billion a,b,c under management a As of Jan. 1, b Investments are indirectly held through holding companies, financing securitizations (CLOs) or bank credit facilities. c Includes 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. GC Advisors LLC (Golub Capital) 119

125 The Fitch View Key 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 a dedicated loan trader. Company Golub is a -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 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 investment professionals 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 and other indicators. Formal investment committee of the nondiscretionary sub-advisor comprises three individuals, including the CEO, president and the senior portfolio manager. Efficient monitoring of portfolio risk with a focus on portfolio diversification by industry and credit 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 an adequate control framework within the business. The governance structure in place is considered appropriate, with clear separation of duties and lines of escalation. Compliance function has broad coverage and capitalizes on the numerous and proficient IT systems in place to conduct its controls. Operational risk management is very professional, integrated and applies enterprise perspective 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, middleoffice/back-office systems, risk management, operations). Implemented BlackMountain Everest platform in June 2011 as a proprietary portfolio and monitoring work flow automation tool. GC Advisors LLC (Golub Capital) 120

126 GLG Partners LP GLG 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 The firm acquired Silvermine Capital Management in 2015, a -based manager of leveraged loans and CLOs. Firm Profile Region(s) of Operation Address Firm Type Global Year Established 1995 Assets Under Management USD26.7 Bil. Total Employees/Investment Professionals 155/127 Active CLOs Under Management a 6 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) a Excludes deals managed by Silvermine Capital Management. One Curzon Street London, W1J 5HB, U.K. Multistrategy asset management Originator Not Reported Man Group PLC Parent Loan Management Profile Region(s) Europe Leveraged Loan AUM EUR1.0 Bil. Loans Managed via CLOs 100% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Credit Analysts, Non-PMs/Avg. Experience 7/14 Years Loan Team Credits Per Analyst (including PMs) 20 Approximate No. of Invested Credits 100 Francoise Devenoges, Marek Kuzdra and Steve Roth 3/21 Years Loan Assets Under Management (EUR Bil.) GLG Partners LP 121

127 Total AUM By Asset Type Other 82.8% Loan AUM By Region CLOs 17.2% Europe 24.0% Total AUM By Investor Type Other a 53.1% CLO Investors 15.8% Loan AUM By Product Type Pension/ Retirement 10.3% Sovereign Wealth Funds Bank 10.2% 10.6% a Includes retail distribution (36.3%), endowment (2.0%) and family office/high net worth (2.3%). CLOs 100.0% 76.0% European Credit Committee Experience (Years) Name Title Role Firm Industry Francoise Devenoges Portfolio Manager CLO Portfolio Manager Marek Kuzdra Portfolio Manager CLO Portfolio Manager Steve Roth Head of Man GLG Credit and Convertible Platform Committee Member European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR RMF Euro 10/02 Called N N RMF Euro II 12/04 Called N N RMF Euro III 8/05 Amortizing N N RMF Euro IV 5/06 Amortizing N N RMF Euro V 4/07 Amortizing N N Clavos Euro 12/07 Amortizing N N GLG Euro I 4/15 Reinvesting Y Y Originator Vertical GLG Euro II 12/16 Reinvesting Y Y Originator Vertical Total 3, VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Man Group PLC GLG Partners LP (indirect 100% ownership) GLG Partners LP 122

128 The Fitch View Key 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 an originator 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 diligence step once credit approval has been granted. The process begins with a screening stage that seeks to filter out transactions that would be unlikely 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 in the production of a standardized, succinct credit memo that is presented to the CLO investment committee. CLO investment committee approvals are recorded in a central spreadsheet. Operational risk associated with the update of the spreadsheet is mitigated by close management oversight and the fact that a unanimous investment committee vote is required to add an issuer. The rejection rate was approximately 45% overall as of December 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 the monitoring 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 tools are Excel based. Detailed business continuity and disaster recovery plans are in place and tested, and include offsite server storage and backups. GLG Partners LP 123

129 GoldenTree Asset Management, LP GoldenTree 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-only strategies 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 Profile Region(s) of Operation Address Firm Type Year Established Assets Under Management Total Employees/Investment Professionals Active CLOs Under Management Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Global 300 Park Avenue, 21st Floor New York, NY Global credit asset manager 2002 (); 2007 (Europe) USD24.5 Bil. 198/37 (); 29/13 (Europe); 4/0 (Singapore) 9 ()/2 (Europe) Capitalized manager vehicle (CMV) USD600 Mil. GoldenTree Asset Management UK, LLP and GoldenTree Loan Management, LP Loan Management Profile Region(s) Europe 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 Kruter CLO Portfolio Managers (PMs)/Avg. Experience 14/22 Years 3/17 Years Credit Analysts, Non-PMs/Avg. Experience 9/13 Years 6/9 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 15 (per analyst) 10 (per analyst) Global Loan Assets Under Management (USD Bil.) GoldenTree Asset Management, LP 124

130 Total AUM By Asset Type CLOs 9.8% Broadly Syndicated Loans 36.8% Other a 22.5% Loan AUM By Region High Yield Bonds 30.9% a Includes structured credit (4.7%) and middle market (2.5%). Other 2.1% Total AUM By Investor Type Other a 16.0% Family Office/High Net Worth 6.3% Pension/ Retirement 42.4% Loan AUM By Product Type Managed Accounts 25.0% CLO Investors 20.4% Insurance 8.6% Endowment 6.3% a Includes sovereign wealth funds (4.7%) and bank (3.2%). 85.0% Europe 12.9% Managed Funds 22.0% CLOs 53.0% Executive Committee Experience (Years) Name Title Role Firm Industry Steven A. Tananbaum Founding Partner Chief Investment Officer Steven Shapiro Partner Executive Committee Member Robert Matza Partner President Joseph Naggar Partner Senior Portfolio Manager 9 22 Lee Kruter Partner Senior Portfolio Manager 9 16 Frederick S. Haddad Partner Senior Portfolio Manager Kathy Sutherland Partner Head of Business Development 8 20 Pierre de Chillaz Partner Senior Portfolio Manager 9 12 Ted Lodge Partner Global Head of Restructuring and Turnarounds 9 33 GoldenTree Asset Management, LP 125

131 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR GoldenTree Loan Opportunities I 6/02 Called N N GoldenTree Loan Opportunities II 7/03 Called N N GoldenTree Capital Opportunities 2/06 Called N N GoldenTree Loan Opportunities III 3/07 Amortizing N N GoldenTree Loan Opportunities IV 6/07 Amortizing N N GoldenTree Loan Opportunities V 9/07 Called N N GoldenTree Loan Opportunities VI 4/12 Called N N GoldenTree Loan Opportunities VII 3/13 Reinvesting N N GT Loan Financing I 8/13 Reinvesting N N GoldenTree Loan Opportunities VIII 3/14 Reinvesting Y N GoldenTree Loan Opportunities IX 10/14 Reinvesting Y N GoldenTree Loan Opportunities XI 2/15 Reinvesting Y N GoldenTree Loan Opportunities X 6/15 Reinvesting Y N GoldenTree Loan Opportunities XII 6/16 Reinvesting Y N Total 8,011 4,280 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Laurelin II B.V. 6/07 Amortizing N N Laurelin /16 Reinvesting Y Y Horizontal Originator Total VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Senior Managing Member Steven A. Tananbaum 27 Other Partners GoldenTree Asset Management LLC General Partner 28 Limited Partners GoldenTree Asset Management, LP GoldenTree Asset Management, LP 126

132 The Fitch View Key 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 a path to partnership. The GoldenTree brand may be exposed to key man risk tied to Steve Tananbaum, the firm s managing partner and chief investment officer; this risk is largely mitigated by GoldenTree s highly experienced staff reporting to Tananbaum, including Lee Kruter and others directly involved 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 billion across 11 CLOs (including two European CLOs). The firm has a seasoned investment team with an average of 17 years of industry experience, including seven years spent working together. The firm s significant market presence in the European Union facilitates additional diligence in regional credit markets. Historically, GoldenTree managed CLOs. Going forward, GoldenTree Loan Management (GLM) will manage CLOs compliant with and European risk retention regulations. GLM was established in June 2016 and is an SEC-registered investment adviser. GLM and GoldenTree are affiliated entities. GLM will benefit from GoldenTree s research, trading and operational 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 more ownership of investment decisions. Analysts are allocated by sector. In addition, nine investment professionals are responsible for the firm s distressed and structured products investments. The credit selection criteria require a minimum margin of safety for all investments, typically at 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 industry systems such as Wall Street Office, Electra Reconciliations, Charles River and VPM. GoldenTree Asset Management, LP 127

133 GSO / Blackstone Debt Funds Management LLC GSO / 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 CCS and certain credit-oriented affiliates had USD33.6 billion in assets under management (AUM) as of Dec. 31, Firm Profile Region(s) of Operation Europe Address Firm Type 345 Park Avenue, 30th Floor New York, NY Multistrategy asset management 30 Herbert Street, 2nd Floor Dublin 2, Ireland Year Established Assets Under Management 1998 USD23.7 Bil USD9.9 Bil. Total Employees/Investment Professionals 42/35 Active CLOs Under Management 28 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) 19/18 20 Majority-owned affiliate (MOA) Originator Not Reported Not Reported 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) Loan Management Profile Region(s) Europe Leveraged Loan AUM Loans Managed via CLOs USD22.6 Bil. 56% USD7.0 Bil. 70% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Dan Smith, Robert Zable, Jane Lee, Graham Jones 1/19 Years Alan Kerr, Alex Leonard, David Cunningham, Killian Maher 3/15 Years Credit Analysts, Non-PMs/Avg. Experience Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 20/12 Years /9 Years Loan Assets Under Management (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, GSO / Blackstone Debt Funds Management LLC PRINT G.indd /7/ :40:54 PM

134 European Loan Assets Under Management (USD Bil.) a a dollar to Euro: EUR (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). Total AUM By Asset Type Broadly Syndicated Loans 88.5% a Includes CLOs, at 4.9%. Loan AUM By Region Other 5.0% Europe 23.7% a High Yield Bonds 6.5% Total AUM By Investor Type a Other 24.1% Bank 5.9% Loan AUM By Product Type Managed Funds 9.6% CLO Investors 62.3% Managed Accounts 7.7% a Includes insurance, at 2.9%, endowment, at 0.3%, and pension/retirement, at 2.1%. 76.3% CLOs 60.0% a Comprises listed funds. Other 11.5% Managed Accounts 18.9% a Credit Committee Experience (Years) Name Title Role Firm Industry Daniel Smith Senior Managing Director Global Head of CCS Robert Zable Senior Managing Director Senior Portfolio Manager of CLOs Colleen Longobardi Managing Director Research Analyst Daniel McMullen Managing Director Senior Portfolio Manager Alexander Zarzhevsky Managing Director Research Analyst Note: Firm experience includes time that certain senior members have been working together since 1998 while at other institutions. GSO / Blackstone Debt Funds Management LLC 129

135 European Credit Committee Experience (Years) Name Title Role Firm Industry Alan Kerr a Senior Managing Director European Head; Senior Portfolio Manager Alex Leonard Managing Director Senior Portfolio Manager Fiona O Connor Managing Director Head of European Credit Research a On 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 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 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 a managing 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. CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing a Status Original Current VR CRR Method Method of RR Smoky River CDO, L.P. 5/98 Defaulted 1,300 0 N N Callidus Debt Partners CDO Fund I b 12/01 Called N N SEQUILS/MINCS-Glace Bay, Ltd. 8/02 Called N N Hanover Square CLO 11/02 Called N N Callidus Debt Partners CDO Fund II b 6/03 Called N N Union Square CDO Ltd. 9/03 Called N N Foxe Basin CLO /03 Defaulted N N Monument Park CDO 1/04 Matured 1,023 0 N N Hudson Straits CLO /04 Called N N Essex Park CDO c 9/04 Called N N Callidus Debt Partners CDO Fund III, Ltd. b 12/04 Called N N FM Private Capital Fund I d 12/04 Called N N Bryant Park CDO 1/05 Called N N Lafayette Square CDO 11/05 Called N N Gale Force 1 CLO 11/05 Called N N MAPS CLO Fund I, LLC b 12/05 Called N N FM Leveraged Capital Fund I d 12/05 Called N N Callidus Debt Partners IV b 4/06 Called N N Prospect Park CDO 6/06 Amortizing N N Gale Force 2 CLO 6/06 Called N N FM Leveraged II d 11/06 Called N N Callidus Debt Partners CLO Fund V, Ltd. b 12/06 Called N N Inwood Park CDO 1/07 Amortizing 1, N N Gale Force 3 CLO 3/07 Amortizing N N a Represents pricing dates for CLO 2.0s but closing dates for CLO 1.0s. b Originated by Callidus; acquired by GSO in April c Originated as Katonah VI, Ltd.; acquired by Blackstone Debt Advisors in April d Originated by FriedbergMilstein; acquired by GSO in January e Originated in 2008; refinanced in Values reflect refinanced deal. f Originated in 2012; refinanced in 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. GSO / Blackstone Debt Funds Management LLC 130

136 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing a Status Original Current VR CRR Method Method of RR MAPS CLO Fund II b 6/07 Amortizing N N Gale Force 8/07 Called N N Callidus Debt Partners VI b 9/07 Amortizing N N Callidus Debt Partners VII b 11/07 Called N N Columbus Park 4/08 Called N N Riverside Park e 4/08 Called N N Tribeca Park CLO 5/08 Called N N Chelsea Park CLO 7/08 Called N N Jackson Square 3/09 Called N N Morningside Park 12/10 Called N N Central Park CLO 6/11 Called N N Gramercy Park CLO f 7/12 Called Y N Marine Park CLO 9/12 Amortizing Y N Finn Square CLO 12/12 Amortizing Y N Sheridan Square 2/13 Reinvesting Y N Adirondack Park 3/13 Reinvesting N N Tryon Park CLO 5/13 Reinvesting Y N Emerson Park CLO 7/13 Reinvesting Y N Keuka Park CLO 11/13 Reinvesting Y N Pinnacle Park CLO 4/14 Reinvesting Y N Seneca Park CLO 5/14 Reinvesting Y N Birchwood Park CLO 7/14 Reinvesting Y N Thacher Park CLO 9/14 Reinvesting Y N Bowman Park CLO 12/14 Reinvesting Y N Dorchester Park 1/15 Reinvesting Y N Originator Horizontal Treman Park CLO 3/15 Reinvesting Y N Stewart Park CLO 4/15 Reinvesting Y N Cumberland Park 7/15 Reinvesting Y N Cole Park CLO 10/15 Reinvesting Y N Webster Park CLO 12/15 Reinvesting Y N Westcott Park CLO 6/16 Reinvesting Y N Jay Park CLO 8/16 Reinvesting Y N Burnham Park CLO 10/16 Reinvesting Y N Bristol Park 11/16 Reinvesting Y N Taconic Park CLO 12/16 Reinvesting Y N Total 31,456 13,948 a Represents pricing dates for CLO 2.0s but closing dates for CLO 1.0s. b Originated by Callidus; acquired by GSO in April c Originated as Katonah VI, Ltd.; acquired by Blackstone Debt Advisors in April d Originated by FriedbergMilstein; acquired by GSO in January e Originated in 2008; refinanced in Values reflect refinanced deal. f Originated in 2012; refinanced in 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. GSO / Blackstone Debt Funds Management LLC 131

137 European CLOs Under Management Portfolio Balance Compliance (EUR Mil.) EU RR Form Name Pricing a Status Original Current VR CRR Method of RR Tara Hill B.V. b 1/01 Called N.P. N.P. Harbourmaster CLO 1 Ltd. 3/01 Called N.P. N.P. Harbourmaster CLO 2 Ltd. 11/01 Called N.P. N.P. Clare Island B.V. b 3/02 Amortizing N.P. N.P. Harbourmaster CLO 3 Ltd. 8/02 Matured N.P. N.P. Harbourmaster CLO 4 B.V. 10/04 Amortizing N.P. N.P. Harbourmaster CLO 5 B.V. 7/05 Called N.P. N.P. Harbourmaster CLO 6 B.V. 11/05 Amortizing N.P. N.P. Boyne Valley B.V. b 12/05 Called N.P. N.P. Hyde Park CDO B.V. 2/06 Called N.P. N.P. Harbourmaster CLO 1 B.V. 5/06 Called N.P. N.P. Harbourmaster CLO 2 B.V. 8/06 Amortizing N.P. N.P. Regent s Park 10/06 Amortizing N.P. N.P. Harbourmaster CLO 7 B.V. 11/06 Called N.P. N.P. Skellig Rock e 11/06 Called N.P. N.P. Harbourmaster CLO 8 B.V. 12/06 Called N.P. N.P. Green Park 12/06 Amortizing N.P. N.P. Harbourmaster CLO 9 B.V. 5/07 Amortizing N.P. N.P. Harbourmaster CLO 3 B.V. 7/07 Amortizing N.P. N.P. Global Senior Loan Index Fund 1 B.V. 12/07 Called N.P. N.P. St. James s Park CDO B.V. 12/07 Called N.P. N.P. Harbourmaster CLO 10 B.V. 12/07 Called N.P. N.P. Harbourmaster CLO 11 B.V. 5/08 Called N.P. N.P. Grand Harbour I B.V. 5/13 Called N.P. N.P. Herbert Park B.V. 9/13 Reinvesting N.P. N.P. Sponsor Vertical Richmond Park CLO DAC 1/14 Reinvesting N.P. N.P. Sponsor Vertical Holland Park CLO DAC 4/14 Reinvesting N.P. N.P. Sponsor Vertical Phoenix Park CLO DAC 6/14 Reinvesting N.P. c N.P. Originator Horizontal Sorrento Park CLO DAC 9/14 Reinvesting N.P. c N.P. Originator Horizontal Castle Park CLO DAC 11/14 Reinvesting N.P. c N.P. Originator Horizontal Dartry Park CLO DAC 2/15 Reinvesting N.P. c N.P. Originator Horizontal Orwell Park CLO DAC 5/15 Reinvesting N.P. c N.P. Originator Horizontal Tymon Park 12/15 Reinvesting N.P. c N.P. Originator Horizontal Elm Park CLO DAC 4/16 Reinvesting N.P. c N.P. Originator Horizontal Griffith Park CLO DAC 7/16 Reinvesting N.P. c N.P. Originator Horizontal Clarinda Park CLO DAC 9/16 Reinvesting N.P. c N.P. Originator Horizontal Total 18,894 7,058 a Represents pricing dates for CLO 2.0s but closing dates for CLO 1.0s. b Originated by Allied Irish Bank; acquired by GSO in March c These 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. GSO / Blackstone Debt Funds Management LLC 132

138 Organizational Structure The Blackstone Group L.P. Private Equity Real Estate Credit (GSO) Hedge Fund Solutions Alternative Investments Funds Customized Credit Strategies Long Only (CCS) GSO / Blackstone Debt Funds Management LLC 133

139 The Fitch View Key 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 and research analysts averaged 18 years and 13 years of experience, respectively. The investment team has been generally stable, with a presence in New York, Dublin and London. GSO is the largest CLO manager globally, and since the acquisition of Harbourmaster in 2012, 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 and by the head of credit research in Europe. Average of names per analyst. In addition, four structured credit analysts cover 33 issuers on average. Core credits are unanimously approved by the relevant investment committee, which meets at least daily and comprises senior credit analysts and PMs. Any investment that passes the investment committee is formally assigned a risk rating on a 1 7 scale (1 being the best; 5 and above on the watchlist) that is monitored and formally reviewed 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 investment portfolio. 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 thirdparty 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 or integrated with existing systems. GSO / Blackstone Debt Funds Management LLC 134

140 Guggenheim Investments Guggenheim 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 Firm Profile Region(s) of Operation Address Firm Type Global 330 Madison Avenue New York, NY Multistrategy asset management Year Established 1999 Assets Under Management USD209 Bil. a Total Employees/Investment Professionals 1,045/253 Active CLOs Under Management 10 ()/1 (Europe) Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) ()/Originator (Europe) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Guggenheim Capital, LLC a Total asset figure as of Dec. 31, 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. Loan Management Profile Region(s) Global 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 (); 1/29 Years (Europe) Credit Analysts, Non-PMs/Avg. Experience Not Reported Loan Team Credits Per Analyst (including PMs) Nine Approximate No. of Invested Credits 507 Loan Assets Under Management (USD Bil.) Guggenheim Investments 135

141 Total AUM By Asset Type a Other 58.0% Loan AUM By Region Broadly Syndicated Loans 10.4% High Yield Bonds 5.6% CLOs 3.5% Structured Credit 22.5% a Includes investment-grade bonds, at 17.2%, and other structured products, at 22.5%. Total AUM By Investor Type Other 47.5% Insurance 7.8% Loan AUM By Product Type CLO Investors 28.8% Pension 16.0% Europe 9.1% Other 2.6% Managed Accounts 57.9% CLOs 3.5% 88.3% Managed Funds 38.6% Credit Committee Experience (Years) Name Title Role Firm Industry Jeffrey Abrams Senior Managing Director PM Kevin Gundersen, CFA Senior Managing Director PM Zachary Warren Senior Managing Director PM Thomas Hauser Managing Director PM Matthew Bloom Managing Director Head of Research European Credit Committee Experience (Years) Name Title Role Firm Industry Adrian Duffy Senior Managing Director Head of European Credit Jeffrey Abrams Senior Managing Director PM Kevin Gundersen, CFA Senior Managing Director PM Zachary Warren Senior Managing Director PM Thomas Hauser Managing Director PM Matthew Bloom Managing Director Head of Research Guggenheim Investments 136

142 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR 1888 Fund Ltd 12/02 Called N N Green Lane CLO Ltd 12/04 Called N N Kennecott Funding 1/06 Called N N Sands Point Funding 7/06 Called N N Copper River 1/07 Called N N NZCG Funding 12/10 Called 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 Y N Ziggurat CLO Ltd 12/14 Reinvesting Y N NZCG Funding Ltd 2/15 Reinvesting Y N Kitty Hawk /15 Reinvesting Y N NZCG Funding 2 4/15 Reinvesting Y N CLO LP 11/15 Reinvesting 995 1,008 Y N 1828 CLO Ltd. 6/16 Reinvesting Y N Seven Sticks 6/16 Reinvesting Y N Salem Fields 11/17 Reinvesting Y N Total 10,998 6,827 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Name Pricing Status Portfolio Balance (EUR Mil.) Compliance EU RR Form Original Current VR CRR Method of RR Iron Hill 3/08 Called N N Cork Street CLO DAC 11/15 Reinvesting Y Y Sponsor Vertical Total VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Guggenheim Capital, LLC 100.0% Guggenheim Partners, LLC 99.5% Guggenheim Partners Investment Management Holdings, LLC 99.9% 100.0% Guggenheim Partners Investment Management, LLC Guggenheim Partners Europe Limited 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 Investments 137

143 The Fitch View Key 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 diversified revenue streams. Effective management related to the allocation and prioritization of resources dedicated to performing CLOs, versus distressed legacy CDOs taken over by Guggenheim as replacement 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 the investments arm. Guggenheim has issued a total of 16 CLOs (including one refinanced CLO) and two European CLOs. Strong company culture of growth from within results in a core senior team that has remained intact since inception and low firmwide turnover. Guggenheim s corporate credit committee has an average of 20 years of industry experience and a strong track record in the high-yield loan market. Committee meets daily and requires unanimous 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 attribution analysis as well as strategy review. History of all securities purchased as well as those turned down is maintained in proprietary database 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 structure evaluation and to assess cash flow, liquidation preference and rules. Multiple levels of internal controls, including detailed reviews of all relevant credit and operating 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 and remote access available through Citrix. Additionally, a support team performs both nightly and full weekly backups, with backup stored offsite in New Jersey. Guggenheim Investments 138

144 Halcyon Loan Management LLC Halcyon 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, HLM was founded in 2006 and currently manages USD6.8 billion, mainly through 10 CLOs and six European CLOs. Firm Profile Region(s) of Operation Europe Address 477 Madison Avenue, 8th Floor New York, NY Firm Type Global asset manager Year Established 1981 Assets Under Management USD9.2 Bil. Total Employees/Investment Professionals 115/41 Active CLOs Under Management 10 6 Current/Planned Risk Retention Structure Capitalized majority-owned Sponsor/Originator affiliate (C-MOA)/Capitalized manager vehicle (CMV) Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) Halcyon Capital Management LP Parent Loan Management Profile Region(s) Europe Leveraged Loan AUM USD5.6 Bil. USD1.2 Bil. Loans Managed via CLOs 69% 20% CLO Team Leader(s) Jason Dillow Ross Smead Brian Yorke David Snyder Brian McHugh CLO Portfolio Managers (PMs)/Avg. Experience 4/20 Years 4/24 Years Credit Analysts, Non-PMs/Avg. Experience 7/13 Years 19/13 Years Loan Team Credits Per Analyst (including PMs) 35 Approximate No. of Invested Credits 500 Total AUM By Asset Type Loan AUM By Product Type High Yield Bonds 5.0% Managed Accounts 10.9% Managed Funds 2.2% Broadly Syndicated Loans 95.0% CLOs 86.9% Halcyon Loan Management LLC 139

145 Credit Committee Experience (Years) Name Title Role Firm Industry Ross Smead Vice Chairman and Portfolio Manager Portfolio Manager Brian Yorke Portfolio Manager and Head Trader Portfolio Manager and Head Trader David Snyder Managing Principal Portfolio Manager 8 30 James Holley Head of Research Head of Research Brian McHugh Portfolio Manager Portfolio Manager Colby Wheeler Principal Research European Credit Committee Experience (Years) Name Title Role Firm Industry Ross Smead Vice Chairman and Portfolio Manager Portfolio Manager Brian Yorke Portfolio Manager and Head Trader Portfolio Manager and Head Trader David Snyder Managing Principal Portfolio Manager 8 30 James Holley Head of Research Head of Research Colby Wheeler Principal Research Benoit Charles Head of European Research Head of European Research CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR HSAM CLO I 5/06 Called N N HSAM L/S /06 Called N N Halcyon Loan Investors 1 10/06 Called N N Bacchus () /06 Called N N Halcyon Loan Investors 2 4/07 Called N N HSAM L/S /07 Called N N HSAM L/S /07 Called N N HSAM L/S /07 Called N N Halcyon Loan Advisors Funding /12 Amortizing Y N Halcyon Loan Advisors Funding /12 Amortizing Y N Halcyon Loan Advisors Funding /13 Reinvesting Y N Halcyon Loan Advisors Funding /13 Reinvesting Y N Halcyon Loan Advisors Funding /14 Reinvesting Y N Halcyon Loan Advisors Funding /14 Reinvesting Y N Halcyon Loan Advisors Funding /14 Reinvesting Y N Halcyon Loan Advisors Funding /15 Reinvesting Y N Halcyon Loan Advisors Funding /15 Reinvesting Y N Halcyon Loan Advisors Funding /15 Reinvesting Y N Total 8,420 5,160 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Halcyon Loan Management LLC 140

146 European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR HSAM 2006-I 6/06 Called N N HSAM 2006-II 1/07 Amortizing N N Bacchus Plc 4/07 Amortizing N N HSAM 2007-I 5/07 Amortizing N N Neptuno II 12/07 Amortizing N N HSAM L/S 2008-I 5/08 Called N N HSAM 2008-II 8/08 Called N N Halcyon Loan Advisors European Funding 2014 B.V. 11/14 Reinvesting Y Y Sponsor Halcyon Loan Advisors European Funding 2016 DAC 11/16 Ramp-Up Y Y Originator Total 3,716 1,092 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Halcyon Capital Management LP Halcyon Loan Management LLC Halcyon Long Duration Recoveries Management LP Halcyon Asset-Backed Advisors LP Halcyon Event-Driven Management LP Halcyon Arbitrage Management LP Halcyon Special Situations Management LP Halcyon Credit Management LP Halcyon Loan Management LLC 141

147 The Fitch View Key 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 relativevalue 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 CLO information through the trustee website and through deal summary packages from the 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) and proprietary systems. Redundancies in place at two offsite hotspots include full data and systems backup multiple times per day. All functions are fully tested annually for immediate recovery needs. Halcyon Loan Management LLC 142

148 HPS Investment Partners, LLC HPS 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 Profile Region(s) of Operation Europe Address 40 West 57th Street, 33rd Floor New York, NY Devonshire House, 4th Floor 1 Mayfair Place, London, W1J 8AJ U.K. Firm Type Multistrategy asset management Year Established Assets Under Management USD36.6 Bil. USD0.9 Bil. Total Employees/Investment Professionals 191/70 42/28 Active CLOs Under Management 10 Current/Planned Risk Retention Structure Capitalized majority-owned affiliate Originator (C-MOA) Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) Independent Loan Management Profile Region(s) Europe 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 CLO Portfolio Managers (PMs)/Avg. Experience 2/24 Years 2/18 Years Credit Analysts, Non-PMs/Avg. Experience 17/13 Years 2/8 Years Loan Team Credits Per Analyst (including PMs) 35 globally Approximate No. of Invested Credits 314 globally Loan Assets Under Management (USD Bil.) HPS Investment Partners, LLC 143

149 Total AUM By Asset Type Other 34.4% Broadly Syndicated Loans 18.1% High Yield Bonds 0.2% Structured Credit 1.5% Total AUM By Investor Type High Net Worth 12.8% Other 7.5% CLO Investors 11.4% Managed Accounts 23.8% CLOs 11.3% Loan AUM By Region Middle Market Loans 34.5% Pension/ Retirement 20.4% Insurance 24.1% Loan AUM By Product Type Europe 0.9% Managed Accounts 48.0% 99.1% Managed Funds 10.8% CLOs 41.2% CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR HLM /12 Amortizing Y N HLM /13 Reinvesting Y N HLM /13 Reinvesting Y N HLM /14 Reinvesting Y N HLM /14 Reinvesting Y N HLM /15 Reinvesting Y N HLM /15 Reinvesting Y N HLM /16 Reinvesting Y N HSPLM /16 Reinvesting Y N HSPLM /16 Reinvesting Y N Total 4,452 4,339 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. HPS Investment Partners, LLC 144

150 Organizational Structure HPS Principals Partners Group (Delaware LP) 100% Voting Holding Company I (Delaware LP) Holding Company II (Delaware LLC) HPS Investment Partners, LLC (Delaware LLC) HPS Investment Partners, LLC 145

151 The Fitch View Key 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 of Dec. 31, Founded in 2007 and headquartered in New York, with investment offices in Houston, Chicago, Los Angeles, Miami, Dallas, London, Luxembourg (office of affiliates of HPS Managed Funds), Hong Kong and Sydney. HPS manages both private and public credit strategies, with the ability to invest across the capital 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 into workout, 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 separate New Jersey location. HPS Investment Partners, LLC 146

152 Insight Investment Insight 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 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 -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 Profile Region(s) of Operation Address Firm Type (CLOs) 200 Park Avenue New York, NY Multistrategy asset management Year Established 2002 Assets Under Management USD646.3 Bil. Total Employees/Investment Professionals 691/206 Active CLOs Under Management 3 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) The Bank of New York Mellon Corporation Loan Management Profile Region(s), U.K., Europe Leveraged Loan AUM USD1.66 Bil. Loans Managed via CLOs 75% CLO Team Leader(s) Joe Nelson CLO 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 Provided Approximate No. of Invested Credits Not Provided Loan Assets Under Management (USD Bil.) Insight Investment 147

153 Total AUM By Asset Type Total AUM By Investor Type CLOs 1.1% High Yield Bonds 2.8% Banks 1.5% Other 9.9% Other 94.9% Broadly Syndicated Loans 1.2% Pensions 88.6% Loan AUM By Region Loan AUM By Product Type Europe 24.9% Managed Accounts 24.9% 75.1% CLOs 75.1% Credit Committee Experience (Years) Name Title Role Firm Industry Alex Veroude Head of Credit Senior Management 9 23 Cliff Corso Insight N. America CEO N. America CEO Joe Nelson Head of Loans Group Head of Loan Portfolio Management 4 19 Ranbir Lakhpuri Portfolio Manager PM Shaheer Guirguis Head of Secured Finance Head of Secured Finance Jason Cameron Senior Portfolio Manager Structured Finance Portfolio Manager David Averre Head of Credit Analysis Head of Credit Research Andrew Stalker Head of Investment Risk Risk Management John Bluemke Senior Credit Analyst Loan Portfolio Management 4 16 Lorraine Specketer Portfolio Analyst Loan Portfolio Management CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Cutwater 2014-I 7/14 Reinvest Y N Cutwater 2014-II 12/14 Reinvest Y N Cutwater 2015-I 5/15 Reinvest Y N Total 1,250 1,259 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Insight Investment 148

154 Insight Investment 149

155 The Fitch View Key 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 or enterprise value over loan balance. Daily credit committee to screen and vet new opportunities and approve changes to credit allocations as well as discuss market events. A team-and-consensus approach is employed, wherein input from all analysts, portfolio managers 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 thirdparty administration systems, including widely accepted industry systems such as Sentry and Cortland. In the, 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 staff have their own dedicated suite with 30 seats. All technology is managed from the U.K., and the recovery site is for loss of premises only. Insight Investment 150

156 Intermediate Capital Group Intermediate Capital Group (ICG) is a global investment firm that specializes in mezzanine finance, minority equity, leveraged senior loans and high-yield bonds. ICG manages thirdparty 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 Profile Region(s) of Operation Europe Address Juxon House, 100 St Paul's Churchyard London, EC4M 8BU, U.K. 600 Lexington Avenue, 24th Floor New York, NY Firm Type Global multistrategy asset management Year Established 1989 Assets Under Management EUR22.6 Bil. Total Employees/Investment Professionals 185/83 36/26 Active CLOs Under Management 10 6 Current/Planned Risk Retention Structure Originator Capitalized manager vehicle (CMV) Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) Intermediate Capital Group plc Loan Management Profile Region(s) Europe Leveraged Loan AUM EUR2.9 Bil. USD2.4 Bil. Loans Managed via CLOs 86% 100% CLO Team Leader(s) Zak Summerscale, Benjamin Edgar, Seth Katzenstein Michael Curtis CLO Portfolio Managers (PMs)/Avg. Experience 3/19 Years 1/20 Years Credit Analysts, Non-PMs/Avg. Experience 10/15 Years 7/12 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan Assets Under Management (EUR Bil.) Intermediate Capital Group 151

157 Total AUM By Asset Type Total AUM By Investor Type Middle Market Loans 53.1% Other a 24.9% Other 35.3% CLO Investors 22.0% Loan AUM By Region CLOs 22.0% a Includes high-yield bonds, syndicated loans, structured credit, private equity and real estate. Pension/ Retirement 32.3% Loan AUM By Product Type Insurance 10.5% Europe 56.2% 42.7% Other 1.1% CLOs 90.0% Managed Funds 4.0% Managed Accounts 6.0% European Credit Committee Experience (Years) Name Title Role Firm Industry Zak Summerscale Partner Head of and CIO for Credit Fund Management (Europe and Asia) <1 23 Michelle De Angelis Managing Director Head of Credit Research (Europe) 6 19 Michael Curtis Managing Director Portfolio Manager 1 17 Benjamin Edgar Managing Director Portfolio Manager 1 17 Harry Sugiarto Managing Director Portfolio Manager Kam Tugnait Managing Director Portfolio Manager <1 28 Credit Committee Experience (Years) Name Title Role Firm Industry Christophe Evain Chief Executive Officer CEO of ICG plc Salvatore Gentile Partner Head of North American Debt Operations 4 27 Seth Katzenstein Managing Director Portfolio Manager 3 20 Michelle De Angelis Managing Director Head of Credit Research (Europe) 6 19 Intermediate Capital Group 152

158 European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Eurocredit I 8/99 Called N N Eurocredit II 7/00 Called N N Eurocredit III 8/03 Called N N Eurocredit IV 10/04 Called N N Eurocredit V 8/06 Amortizing N N Eurocredit VI 12/06 Amortizing N N Eurocredit VII 3/07 Amortizing N N St Paul's I 5/07 Amortizing N N Eurocredit VIII 11/07 Amortizing N N St Paul's II 7/13 Reinvesting Y Y Originator Horizontal St Paul's III 12/13 Reinvesting Y Y Originator Horizontal St Paul's IV 3/14 Reinvesting Y Y Originator Vertical St Paul's V 8/14 Reinvesting Y Y Originator Vertical St Paul's VI 5/16 Reinvesting Y Y Originator Horizontal Total 6,152 2,660 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR ICG US CLO /14 Reinvesting Y N ICG US CLO /14 Reinvesting Y Y Sponsor Horizontal ICG US CLO /14 Reinvesting Y Y Sponsor Horizontal ICG US CLO /15 Reinvesting Y N ICG US CLO /15 Reinvesting Y Y Sponsor Horizontal ICG US CLO /16 Reinvesting Y Y Originator Horizontal Total 2,427 2,362 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Intermediate Capital Group plc ICG FMC Ltd Intermediate Capital Managers Limited European collateral manager (advises European CLOs) Intermediate Capital Group, Inc. ICG Debt Advisors LLC collateral manager (advises CLOs) Note: Summary organizational chart relating to CLOs. Intermediate Capital Group 153

159 The Fitch View Key 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 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-party money through closed- and open-end funds, separate mandates and CLOs. ICG was founded in 1989 and listed on the London Stock Exchange in It has been managing European CLOs since Its CLO management experience is newer, dating to Global presence with offices throughout Europe, Asia-Pacific and the The credit fund management (CFM) team comprises experienced investment professionals. There are 18 credit analysts and eight portfolio managers (PMs) in total (including four specialist leveraged loan PMs). PMs average 20 years of industry experience, and credit analysts 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 sustainable free cash flow and are well collateralized. CFM benefits from the group s mezzanine investment team and analytical resources (more than 40 investment professionals) for sourcing, credit analysis and local insights. Credit analysts are organized by sector. Surveillance is formalized in daily meetings, monthly reviews and quarterly portfolio reviews supported 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 constraints or 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. Intermediate Capital Group 154

160 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, 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 Profile Region(s) of Operation Europe Address Firm Type 1555 Peachtree Street NE Suite 1800 Atlanta, GA Multistrategy asset manager Year Established 1935 globally Assets Under Management USD716.4 Bil. EUR91.5 Bil. Total Employees/Investment Professionals 4,523/ /331 Active CLOs Under Management 15 2 Current/Planned Risk Retention Structure Capitalized majority-owned Not Reported affiliate (C-MOA) Dedicated Capital to Fund Risk Retention USD100 Mil. EUR100 Mil. Key Affiliates (Global) Refer to Organizational Structure diagram Loan Management Profile Region(s) Europe Leveraged Loan AUM USD33.7 Bil. EUR4.2 Bil. Loans Managed via CLOs 20% 0.5% CLO Team Leader(s) Joseph Rotondo Michael Craig CLO Portfolio Managers (PMs)/Avg. Experience 4/26 Years 1/18 Years Credit Analysts, Non-PMs/Avg. Experience 24/18 Years 5/14 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 750 globally Loan Assets Under Management (USD Bil.) Invesco Perpetual Portman Square House First Floor Portman Square London W1H 6LY U.K Invesco Senior Secured Management, Inc. 155

161 Total AUM By Asset Type Other a 2.0% CLOs 18.0% Total AUM By Investor Type Other 100.0% a Includes structured credit (2.0%). Loan AUM By Region Broadly Syndicated Loans 80.0% Europe 11.0% Loan AUM By Product Type Managed Accounts 23.0% 89.0% Managed Funds 57.0% Other 2.0% CLOs 18.0% Credit Committee Experience (Years) Name Title Role Firm Industry Scott Baskind Head of Global Senior Loans CIO Kevin Egan Portfolio Manager Portfolio Manager Tom Ewald Portfolio Manager Portfolio Manager Joe Rotondo Portfolio Manager Portfolio Manager Michael Craig Portfolio Manager Portfolio Manager European Credit Committee Experience (Years) Name Title Role Firm Industry Scott Baskind Investment Officer CIO Kevin Egan Portfolio Manager Portfolio Manager Tom Ewald Portfolio Manager Portfolio Manager Joe Rotondo Portfolio Manager Portfolio Manager Michael Craig Portfolio Manager Portfolio Manager Invesco Senior Secured Management, Inc. 156

162 CLOs Under Management Portfolio Balance European CLOs Under Management Portfolio Balance Compliance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Moselle 10/05 Called N N Theseus 8/06 Amortizing N N Total VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Avalon 2 5/00 Called N N Saratoga 9/02 Called N N Sagamore 10/03 Called N N Avalon 3 2/05 Called N N Belhurst 3/06 Called N N Nautique 4/06 Called N N Wasatch 11/06 Amortizing N N Limerock 4/07 Called N N Avalon 4 3/12 Called N N Marea 9/12 Amortizing Y N Nomad 3/13 Amortizing Y N North End 8/13 Reinvesting Y N Blue Hill 12/13 Reinvesting N N Limerock II 3/14 Reinvesting Y N A Voce 7/14 Reinvesting Y N Limerock III 11/14 Reinvesting Y N Betony 3/15 Reinvesting Y N Recette 9/15 Reinvesting Y N C-MOA Horizontal Upland 5/16 Reinvesting Y N C-MOA Horizontal Annisa 8/16 Reinvesting Y Y Originator C-MOA Horizontal Riserva 12/16 Reinvesting Y Y Originator C-MOA Horizontal Total 10,392 6,390 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Invesco Senior Secured Management, Inc. 157

163 Organizational Structure Invesco Ltd. Invesco Holding Company Limited Invesco Holding Company (US), Inc. Invesco Group Services, Inc. IVZ UK Limited Invesco Management Group Inc. Invesco North America Holdings Inc. Invesco Advisers, Inc. Invesco Senior Secured Management, Inc. Invesco Senior Secured Management, Inc. 158

164 The Fitch View Key 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 favorable trade execution. Diversified asset management platform not significantly dependent on future CLO issuance to remain viable. Strong commitment to business and alignment of interest with ISSM platform, as evidenced by 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, 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, retail funds and an ETF. ISSM, an affiliate of IVZ, managed USD6.9 billion of CLOs, inclusive of CLOs, three 1.0 CLOs and two 1.0 European CLOs, as of Dec. 31, Led by Scott Baskind, head of global senior loans and chief investment officer, ISSM has a dedicated team of 29 investment professionals globally. Team members average 17 years of industry 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 are shared during daily meetings involving portfolio managers, analysts and team leaders. Credit selection committee process entails analysts and their team leaders making buy/sell and allocation recommendations. The investment committee outcome consists of an internal rating based on probability of default and expected recovery, with a qualitative overlay. Formalized ongoing surveillance process utilizes in-house and third-party systems to track portfolios 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 risk ratings 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 memorandum and 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-inclass industry systems, including WSO (both Administrator and Compliance modules), Black Mountain Everest and Intex for loan and CLO information. Business continuity plan is appropriate and has been tested. Infrastructure includes toll-free disaster recovery hotline, business recovery website, nightly data backup, automated alert telecasting and a teleconferencing facility. Invesco Senior Secured Management, Inc. 159

165 KKR Credit Advisors (US) LLC KKR 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, 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 Profile Region(s) of Operation Europe Address 555 California Street, 50th Floor San Francisco, CA St. Stephen's Green Dublin 2, Ireland Firm Type Global multistrategy asset management Year Established Assets Under Management USD35.7 Bil. globally Total Employees/Investment Professionals 220/17 220/13 Active CLOs Under Management Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Sponsor Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) KKR & Co. L.P. Loan Management Profile Region(s) Europe Leveraged Loan AUM USD8.6 Bil. EUR6.0 Bil. Loans Managed via CLOs 39% 60% CLO Team Leader(s) Chris Sheldon Alan Burke, Eddie O Neill CLO Portfolio Managers (PMs)/Avg. Experience 3/13 Years 2/20 Years Credit Analysts, Non-PMs/Avg. Experience 13/6 Years 9/7 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan Assets Under Management (USD Bil.) European Loan Assets Under Management (EUR Bil.) KKR Credit Advisors (US) LLC 160

166 Total AUM By Asset Type Total AUM By Investor Type High Yield Bonds 17.7% Pensions 32.1% Other 5.1% Broadly Syndicated Loans 80.0% Structured Insurance Credit 13.1% 2.3% CLO Investors 49.7% Loan AUM By Region Loan AUM By Product Type Europe 42.0% CLOs 59.3% Managed Funds 1.3% 58.0% Managed Accounts 39.4% Credit Committee Experience (Years) Name Title Role Firm Industry Chris Sheldon Member Head of Leveraged Credit John Reed Member Head Trader 8 19 Jeremiah Lane Director Portfolio Manager Sharath Reddy Director Portfolio Manager 2 10 European Credit Committee Experience (Years) Name Title Role Firm Industry Alan Burke Member Co-Head of KKR Credit Eddie O Neill Director Head of European Leveraged Credit Ali Allahbachani Director Portfolio Manager KKR Credit Advisors (US) LLC 161

167 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR KKR Financial /05 Called 1, Y N KKR Financial /05 Called 1, Y N KKR Financial /06 Called 1, Y N KKR Financial /07 Called 3, Y N KKR Financial 2007-A 10/07 Called 1, Y N KKR Financial /12 Reinvesting Y N KKR Financial /13 Reinvesting Y N KKR Financial /14 Reinvesting Y N KKR CLO 9 9/14 Reinvesting Y N KKR CLO 10 12/14 Reinvesting Y N KKR CLO 11 5/15 Reinvesting Y N KKR CLO 12 8/15 Reinvesting Y Y Sponsor KKR CLO 13 12/15 Reinvesting Y N KKR CLO 14 6/16 Reinvesting Y Y Sponsor KKR CLO 15 7/16 Reinvesting Y N KKR CLO 16 11/16 Reinvesting Y N Total 13,119 5,290 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Avoca I 12/03 Called N N Avoca II 11/04 Called N N Avoca III 8/05 Amortizing N N Avoca IV 6/06 Amortizing N N Avoca V 8/06 Amortizing N N Avoca VI 11/06 Amortizing N N Avoca VII 2/07 Amortizing N N Avoca VIII 8/07 Amortizing N N Avoca IX 6/08 Called N N Avoca X 11/13 Reinvesting Y Y Sponsor Horizontal Avoca XI 5/14 Reinvesting Y Y Sponsor Horizontal Avoca XII 8/14 Reinvesting Y Y Sponsor Horizontal Avoca XIII 11/14 Reinvesting Y Y Sponsor Horizontal Avoca XIV 6/15 Reinvesting Y Y Sponsor Horizontal Avoca XV 11/15 Reinvesting Y Y Sponsor Horizontal Avoca XVI 6/16 Reinvesting Y Y Sponsor Horizontal Avoca XVII 10/16 Reinvesting Y Y Sponsor Horizontal Total 7,535 4,358 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. KKR Credit Advisors (US) LLC 162

168 Organizational Structure Public Unitholders KKR Management LLC KKR Holdings L.P. LP GP Majority Independent Directors Certain KKR Employees and Others KKR & Co. L.P. (NYSE: KKR) 100% KKR Management Holdings Corp. KKR Group Finance Co. LLC KKR Group Finance Co. II LLC KKR Group Finance Co. III LLC GP KKR Management Holdings L.P. LP GP KKR Fund Holdings L.P. LP GP KKR International Holdings L.P. LP Management Companies, Capital Markets, General Partners of Credit and Certain Other Vehicles Principal Assets General Partners of Private Equity, Real Assets and Other Vehicles and Management Company KFN Group Partnerships KKR Credit Advisors (US) LLC 163

169 Fitch View Key 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 and European CLO investment resources and experienced staff. Overall CLO platform capabilities have expanded due to Avoca Capital (Avoca) acquisition in Managing potential conflicts of interest by maintaining the company s effective wall of separation 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-yield bonds, CLOs, directly originated senior-secure lending, mezzanine debt and special situations/distressed investments. Avoca was formed in 2002 and launched its first European CLO in 2003; a series of subsequent CLOs followed thereafter. It began managing mutual funds and mandates in Upon its acquisition, Avoca brought approximately EUR6.2 billion in AUM to KKR and lifted the number of industry analysts on KKR Credit s global leveraged credit team to 27 (16 analysts and 11 European analysts). The investment team now consists of 30 individuals (17 and 13 Europe). KKR Credit has been managing broadly syndicated loan CLOs since KKR is a majority owner of the equity tranches in all of KKR Credit s CLOs as a result of the April 2014 acquisition 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 credit analysis on those issuers for which an investment is more probable. The process concludes at the credit committee, which makes credit and investment decisions. Daily credit meetings provide a forum for discussion among the portfolio managers, credit analysts and traders. All credits are monitored in real time, with news and analyst updates disseminated firmwide through 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 rule limiting debt funds to a maximum holding of 19.9% of any debt class issued by a portfolio company, absent explicit approval from the conflicts committee. All procedures are well documented, including those governing the management of public and 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 and surveillance functions. Systems and technology platform are scalable and were developed to handle 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. KKR Credit Advisors (US) LLC 164

170 Kramer Van Kirk Credit Strategies LP Kramer 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 Profile Region(s) of Operation Address 200 W. Monroe Street, Suite 1330 Chicago, IL Firm Type Independent CLO-focused manager Year Established 2011 Assets Under Management USD4.26 Bil. Total Employees/Investment Professionals 25/19 Active CLOs Under Management 9 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention USD27 Mil. Key Affiliates (Global) KVK Global Strategies Subsidiary Loan Management Profile Region(s) Leveraged Loan AUM USD4.2 Bil. Loans Managed via CLOs 100% CLO Team Leader(s) Thomas A. Kramer, Timothy S. Van Kirk CLO Portfolio Managers (PMs)/Avg. Experience 2/32 Years Credit Analysts, Non-PMs/Avg. Experience 19/15 Years Loan Team Credits Per Analyst (including PMs) 30 Approximate No. of Invested Credits 374 Loan Assets Under Management (USD Bil.) Kramer Van Kirk Credit Strategies LP 165

171 Total AUM By Asset Type Broadly Syndicated Loans 100.0% Total AUM By Investor Type Other 13.0% CLO Investors 87.0% Loan AUM By Region Loan AUM By Product Type 100.0% CLOs 100.0% Credit Committee Experience (Years) Name Title Role Firm Industry Thomas A. Kramer Senior Managing Director Senior Portfolio Manager 3 34 Timothy S. Van Kirk Senior Managing Director Chief Risk Officer 3 29 Michael J. McKay Managing Director Head of Credit Research 3 25 Kristi R. Broderick Senior Vice President Credit Research Team Leader 3 19 Matt A. Persohn Senior Vice President Credit Research Team Leader 3 17 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR KVK CLO /12 Reinvesting Y N KVK CLO /12 Reinvesting Y N KVK CLO /13 Reinvesting Y N KVK CLO /13 Reinvesting N N KVK CLO /13 Reinvesting Y N KVK CLO /14 Reinvesting Y N KVK CLO /14 Reinvesting Y N KVK CLO /15 Reinvesting Y N KVK CLO /16 Reinvesting Y N Total 4,315 4,150 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Kramer Van Kirk Credit Strategies LP 166

172 The Fitch View Key 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 thirdparty 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 have ownership 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 a multi-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 portfolio management to monitor compliance with specific benchmarks and investment criteria. Surveillance processes are in place, with the original lead analyst retaining ongoing surveillance. Alert functions in KVK s proprietary credit platform are used to identify deteriorating credits at an early stage. KVK maintains active portfolio monitoring processes, with daily position risk monitoring and monthly 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 payment waterfall projections. Senior management also reviews fund performance and portfolio composition on a regular basis to monitor compliance with governing documents. In addition to trustee reports, KVK supplements investor reporting with details on trading activity 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, as well as internal data from credit research and trading. Mariana Systems supports credit analytics, portfolio construction and portfolio management operations and provides real-time functionality, credit process efficiency and investorenabled reporting transparency. Kramer Van Kirk Credit Strategies LP 167

173 LCM Asset Management LLC LCM 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 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 Profile Region(s) of Operation Address Firm Type Year Established 2001 Assets Under Management USD6.6 Bil. 399 Park Avenue, 22nd Floor New York, NY % indirect subsidiary of Tetragon Financial Group Limited Total Employees/Investment Professionals 15/15 Active CLOs Under Management 15 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA)/ Capitalized majority-owned affiliate (C-MOA) a Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Tetragon Financial Group Limited (Parent) a Either Tetragon Financial Group Master Fund Limited or Tetragon Credit Income II L.P. (TCI II) may be the risk retention holder for LCM CLOs. Loan Management Profile Region(s) Leveraged Loan AUM USD6.6 Bil. Loans Managed via CLOs 100% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Credit Analysts, Non-PMs/Avg. Experience 9/15 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan Assets Under Management Farboud Tavangar and Marc Schluraff, CFA 2/31 Years (USD Bil.) LCM Asset Management LLC 168

174 Total AUM By Asset Type Loan AUM By Region Broadly Syndicated Loans 100% 100% Loan AUM By Product Type CLOs. 100% Credit Committee Experience (Years) Name Title Role Firm Industry Farboud Tavangar N.A. Senior Portfolio Manager Marc Schluraff, CFA N.A. Senior Portfolio Manager Alexander Kenna N.A. N.A Sophie-Aurore Venon N.A. N.A N.A. Not applicable. CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Indosuez Capital Funding III 12/96 Matured Indosuez Capital Funding IIA a 6/98 Matured Porticoes Funding b 12/98 Matured Indosuez Capital Funding VI 9/00 Matured LCM I 6/03 Matured LCM II 11/04 Matured LCM III 4/05 Matured LCM IV 8/05 Matured Hewett s Island CLO IV c 5/06 Matured a LCM assumed management responsibilities from CypressTree Investment Management Company, Inc. in October b LCM assumed management responsibilities from Indosuez Capital in April c Reset in December 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 and LCM VII were market value CLOs previously managed by LCM. LCM VII was liquidated commencing in Continued on next page. LCM Asset Management LLC 169

175 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR LCM V 3/07 Matured LCM VI 5/07 Matured LCM VIII 11/10 Called LCM IX 6/11 Amortizing LCM X 2/12 Amortizing Y LCM XI 5/12 Amortizing LCM XII 10/12 Amortizing Y LCM XIII c 2/13 Reinvesting Y LCM XIV 7/13 Reinvesting LCM XV 2/14 Reinvesting Y LCM XVI 6/14 Reinvesting Y LCM XVII 10/14 Reinvesting Y LCM XVIII 3/15 Reinvesting Y LCM XIX 7/15 Reinvesting Y LCM XX 11/15 Reinvesting Y LCM XXI 3/16 Reinvesting Y LCM XXII 9/16 Reinvesting Y LCM XXIII 11/16 Reinvesting Y Total 13,876 6,593 a LCM assumed management responsibilities from CypressTree Investment Management Company, Inc. in October b LCM assumed management responsibilities from Indosuez Capital in April c Reset in December 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 and LCM VII were market value CLOs previously managed by LCM. LCM VII was liquidated commencing in Organizational Structure Tetragon Financial Group Limited (Listed on Euronext Amsterdam N.V.) 100% Indirect Subsidiary LCM Asset Management LLC LCM Asset Management LLC 170

176 The Fitch View Key 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 closedend 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, capital structure 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 financials and industry data on a real-time basis. The investment process is focused on fundamental analysis, with analysts using proprietary analytical tools that include a standardized credit database covering a substantial portion of the 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 Street Office (WSO). Integrated and flexible platform based on a combination of proprietary analytics and thirdparty administration systems. Appropriate use of widely accepted industry systems such as CDO Suite and WSO for portfolio management and administration. LCM uses a proprietary system, CAPM, to integrate credit analysis, portfolio management, trade processing, loan servicing and trustee and investor reporting. LCM Asset Management LLC 171

177 Marathon Asset Management, LP Marathon 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 CLOs. As of Sept. 30, 2016, assets under management (AUM) totaled approximately USD13.2 billion. Firm Profile Region(s) of Operation Address Firm Type One Bryant Park, 38th Floor New York, NY Hedge fund sponsored CLO manager Year Established 1998 Assets Under Management USD13.2 Bil. Total Employees/Investment Professionals 150/80 Active CLOs Under Management 5 Current/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 Loan Management Profile Region(s) Europe Leveraged Loan AUM USD3.1 Bil. Loans Managed via CLOs 2.3% CLO Team Leader(s) Andrew Brady, Jason Friedman CLO Portfolio Managers (PMs)/Avg. Experience 2/22 Years Credit Analysts, Non-PMs/Avg. Experience 15/13 Years 2/10 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 325 Global Assets Under Management (USD Bil.) Marathon Asset Management, LP 172

178 Total AUM By Asset Type Other 57.0% Global AUM By Region Broadly Syndicated Loans 6.0% CLOs 17.0% Structured Credit 20.0% Total AUM By Investor Type Other a 95.0% a Other includes bank (2.0%). Global AUM By Product Type Family Office/ High Net Worth 5.0% Other 2.6% Europe 17.5% Managed Funds 46.4% Managed Accounts 28.7% 79.9% CLOs 24.9% Credit Committee Experience (Years) Name Title Role Firm Industry Louis Hanover Partner, CIO Oversight Committee Member Andrew Brady Managing Director, Executive Committee Member Co-Head of CLOs and Leveraged Loans Jason Friedman Managing Director, Executive Committee Member Co-Head of CLOs and Leveraged Loans Jamie Raboy Partner, Chief Risk Officer Oversight Committee Member Vijay Srinivasan Managing Director, Executive Committee Member Oversight Committee Member CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR MCLO 1 4/05 Called N N MCLO II 12/05 Called N N Marathon Financing I BV 12/06 Called 1,100 0 N N MCLO IV 4/12 Amortizing N N MCLO V 1/13 Reinvesting N N MCLO VI 4/14 Reinvesting Y N MCLO VII 11/14 Reinvesting Y N MCLO VIII 7/15 Reinvesting Y N Total 4,223 2,266 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Marathon Asset Management, LP 173

179 Organizational Structure Marathon Asset Management, LP 100% 100% MCAP Global Finance (UK) LLP Marathon Asset Management Singapore Pte. Ltd. Marathon Asset Management, LP 174

180 The Fitch View Key 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 base shown through repeat investing with the firm. Resources to the CLO platform are strong. The CLOs are supported by an experienced operations staff and sophisticated technology platforms. The risk management function is especially 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 team members have worked together for 19 years and have 26 years of industry experience on average. Marathon has issued eight CLOs with a total notional value of USD4.2 billion. Three of these CLOs were issued before the financial crisis. CLO issuance is contingent on the conviction that market conditions for both loan and CLO liabilities are beneficial for investors. Marathon was one of nine managers selected by the Federal Reserve to manage PPIP 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 downside protection 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 a primary focus, which may mean the company is comfortable working through restructuring or investing in names the broader market may be selling due to credit concerns. Marathon typically finds investment opportunities among smaller issuers, especially in current loan market conditions, with larger, more liquid names trading at high levels. Significant experience at the senior level. The 15-member executive committee averages 26 years of industry experience. The executive committee meets weekly and identifies market themes, 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 generates a 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. Marathon Asset Management, LP 175

181 Marble Point Credit Management LLC Marble 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 Profile Region(s) of Operation Address Firm Type Year Established 2016 Assets Under Management USD3.5 Bil. Total Employees/Investment Professionals 14/7 Active CLOs Under Management 7 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Loan Management Profile Region(s) 20 Horseneck Lane Greenwich, CT Independent CLO-focused manager Capitalized majority-owned affiliate (C-MOA) ()/ Originator (Europe) Not Reported Eagle Point Credit Management LLC Leveraged Loan AUM USD3.5 Bil. Loans Managed via CLOs 97% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Thomas Shandell 1/32 Years Credit Analysts, Non-PMs/Avg. Experience 6/18 Years Loan Team Credits Per Analyst (including PMs) 53 Approximate No. of Invested Credits 320 Loan AUM By Region Loan AUM By Product Type Other 3.8% Europe 5.4% Other a 3.0% 90.8% CLOs 97.0% a Comprises managed funds. Marble Point Credit Management LLC 176

182 Credit Committee Experience (Years) Name Title Role Firm Industry Thomas Shandell Chief Executive Officer and Chief Investment Officer of Marble Point N.R Thomas Majewski Managing Partner of Eagle Point N.R Daniel Spinner Principal at Eagle Point N.R N.R. Not reported. CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR MP CLO II 9/12 Called Y Y Originator Horizontal MP CLO III 3/13 Reinvesting N Y Originator Horizontal MP CLO IV 9/13 Reinvesting Y N MP CLO V 7/14 Reinvesting Y Y Originator Horizontal MP CLO VI 11/14 Reinvesting Y Y Originator Horizontal MP CLO VII 7/15 Reinvesting Y Y Originator Horizontal MP CLO VIII 8/15 Reinvesting Y Y Originator Horizontal MP CLO IX 7/15 Amortizing Y N Total 3,688 3,535 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Marble Point Credit Management Ownership Group Marble Point Management Team Eagle Point Credit Management LLC Marble Point Credit Management Sumitomo Mitsui Trust Bank Greens Ledge Consortium of Institutional Investors Marble Point Credit Management LLC 177

183 The Fitch View Key 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 significant experience of the senior investment team and strategic relationships with sizable market 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 and Eagle 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 strategic partners 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 Marble Point 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 structures to comply with those standards and other GIPS-compliant standards. Marble Point has adopted a formal code of ethics and policies and procedures to mitigate potential 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 level on a daily basis. The firm monitors indenture compliance daily to review any issues from the current and/or previous 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 regularly tested and include regular data backups throughout the day. Marble Point Credit Management LLC 178

184 MidOcean Credit Fund Management LP MidOcean 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 CLOs. Firm Profile Region(s) of Operation Address 320 Park Avenue, Suite 1600 New York, NY Firm Type Limited Partnership (LP) Year Established 2009 Assets Under Management USD4.8 Bil. Total Employees/Investment Professionals 27/19 Active CLOs Under Management 6 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention Not Reported a Key Affiliates (Global) a Employee capital to be provided. Loan Management Profile Region(s) Leveraged Loan AUM USD3.0 Bil. Loans Managed via CLOs 83% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Jim Wiant 1/18 Years Credit Analysts, Non-PMs/Avg. Experience 10/13 Years Loan Team Credits Per Analyst (including PMs) 30 Approximate No. of Invested Credits 365 Loan Assets Under Management (USD Bil.) MidOcean Credit Fund Management LP 179

185 Total AUM By Asset Type Other 2.0% High Yield Bonds 33.0% Loan AUM By Region 100% CLOs 52.0% Broadly Syndicated Loans 13.0% Loan AUM By Product Type Other 32.0% CLOs 52.0% Managed Accounts 16.0% Credit Committee Experience (Years) Name Title Role Firm Industry Robert S. (Steve) Miller Chairman 8 48 J. Edward (Ted) Virtue Chief Executive Officer 8 34 Steve Shenfeld Managing Director President 8 32 Michael Apfel Managing Director Portfolio Manager 8 25 Bryan Dunn Managing Director Portfolio Manager 7 23 Jim Wiant Managing Director Portfolio Manager 8 18 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR MidOcean CLO l a 12/12 Reinvesting Y N MidOcean CLO ll 12/13 Reinvesting Y N MidOcean CLO lll 6/14 Reinvesting Y N MidOcean CLO IV 2/15 Reinvesting Y N MidOcean CLO V 5/16 Reinvesting Y N MidOcean CLO VI 11/16 Reinvesting Y N Total 2,500 2,432 a Refinanced November VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. MidOcean Credit Fund Management LP 180

186 Organizational Structure Ultramar Capital Ltd. MidOcean Credit Fund Management LP (Investment Adviser) Ultramar Credit Holdings Ltd. (Owner of GPs of Funds) MidOcean Credit Opportunity Master Fund L.P. MidOcean Absolute Return Credit Master Fund Ltd. MidOcean Absolute Target Return Fund I L.P. Midocean Credit CLO I-VI MidOcean Credit Focus Fund I L.P. MidOcean Credit Opportunity IDF L.P. MidOcean Tactical Credit Fund, LP MidOcean Credit Fund Management LP 181

187 Monroe Capital, LLC Monroe Capital, LLC (Monroe) is a Chicago-based lender that was founded in 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 Profile Region(s) of Operation Address 311 South Wacker Drive, Suite 6400 Chicago, IL Firm Type 100% employee owned Year Established 2004 Assets Under Management USD4.0 Bil. Total Employees/Investment Professionals 74/43 Active CLOs Under Management 3 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) N.A. Not applicable. Loan Management Profile Region(s) Capitalized manager vehicle (CMV) Not Reported N.A. Leveraged Loan AUM USD4.0 Bil. Loans Managed via CLOs 24.2% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Jeremy VanDerMeid 3/21 Years Credit Analysts, Non-PMs/Avg. Experience 20/11 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 425 Loan Assets Under Management (USD Bil.) Monroe Capital, LLC 182

188 Total AUM By Asset Type Total AUM By Investor Type Other a 27.0% Middle Market Loans 90.0% Broadly Syndicated Loans 10.0% Pension/ Retirement 67.0% Endowment 6.0% a Includes insurance (4.0%) and bank (2.0%). Loan AUM By Region Loan AUM By Product Type 98.0% Other 1.0% Europe 1.0% Managed Accounts 45.2% Other 10.5% Managed Funds 20.1% CLOs 24.2% Credit Committee Experience (Years) Name Title Role Firm Industry Theodore Koenig Chief Executive Officer and Chief Executive Officer and President President Michael Egan Chief Credit Officer Chief Credit Officer Thomas Aronson Managing Director Head of Originations Zia Uddin Managing Director Portfolio Manager 9 23 Aaron Peck Managing Director Portfolio Manager 4 23 Jeremy VanDerMeid Managing Director Portfolio Manager Alex Franky Managing Director Head of Underwriting Carey Davidson Managing Director Head of Capital Markets 2 17 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Monroe Capital CLO /14 Reinvesting Y Y Originator Horizontal Monroe Capital BSL CLO /15 Reinvesting Y Y Originator CMV Horizontal Monroe Capital MML CLO /16 Reinvesting Y Y Originator CMV Horizontal Total 1,075 1,053 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Monroe Capital, LLC 183

189 Organizational Structure Monroe Capital Senior Management Monroe Capital Management Advisors, LLC (Registered Investment Adviser) Monroe Capital Management LLC Collateral Management Agreements Monroe Capital CLO , LTD. Monroe Capital BSL CLO , LTD. Monroe Capital MML CLO , LTD. Monroe Capital, LLC 184

190 The Fitch View Key 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 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 loan market 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 to origination 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 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 and analysts to discuss the portfolio and individual credits. Ratings on a scale of 1 5 are continuously maintained 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 with agent 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. Monroe Capital, LLC 185

191 Napier Park Global Capital (US) LP Napier 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 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 Profile Region(s) of Operation Global Address Firm Type 280 Park Avenue, 3rd Floor New York, NY Independent asset manager Year Established Assets Under Management 2013 USD7.6 Bil.a Total Employees/Investment Professionals Active CLOs Under Management 85/38 7 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Capitalized manager vehicle (CMV) USD308 Mil. Napier Park Global Capital Parent Loan Management Profile Region(s) Leveraged Loan AUM Loans Managed via CLOs USD3.2 Bil.a 100% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Daniel Slotkin and Melanie Hanlon 1/26 Years Credit Analysts, Non-PMs/Avg. Experience Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Not Reported/13 Years Not Reported Not Reported a Data as of Dec. 31, 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. Total AUM By Asset Type Loan AUM By Product Type Broadly Syndicated Loans 100.0% Napier Park Global Capital (US) LP PRINT N.indd 203 CLOs 100.0% 186 4/7/ :52:26 PM

192 Investment Committee Experience (Years) Name Title Role Firm Industry Daniel Slotkin Managing Director Business Head 4 25 Melanie Hanlon Managing Director Head of Credit Research 4 24 Robert O Brien Managing Director Head Trader 4 20 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Duane Street I 10/05 Matured N N Duane Street II 7/06 Matured N N Duane Street III 12/06 Matured N N Regatta I 3/07 Matured N N Duane Street IV 8/07 Amortizing N N Regatta II 2/13 Reinvesting N N Regatta III 3/14 Reinvesting N N Regatta IV 6/14 Reinvesting N N Regatta V 11/14 Reinvesting N N Regatta VI a 5/16 Reinvesting Y N Originator CMV Horizontal Regatta VII a 10/16 Reinvesting Y N Originator CMV Horizontal Total 5,247 2,988 a Managed by Regatta Loan Management LLC. VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Napier Park Global Capital (US) LP 187

193 The Fitch View Key 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 for over 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 to RLM-managed CLOs. RLM was established by Napier Park in response to risk retention regulations. RLM s primary business consists of acting as collateral manager for CLO transactions and related warehouse facilities and as a holder of CLO retention interests in both the and Europe. Napier Park managed USD3.2 billion in CLO vehicles and another USD8.0 billion in different leveraged loan vehicles as of Dec. 31, In August 2011, Napier Park assumed the management contracts of four Duane Street CLOs from DiMaio Ahmad Capital LLC. Senior portfolio managers have an average of 23 years corporate loan experience and have worked together for over 15 years. In addition to portfolio managers, the CLOs are supported by seven credit analysts with an average 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 CDO Suite, ALPS and Virtus. Front to middle office position monitoring and order management systems are efficient and robust. The business continuity plan is appropriate and tested annually. Napier Park Global Capital (US) LP 188

194 Neuberger Berman Group LLC Founded in 1939, Neuberger Berman Group LLC (Neuberger Berman) is active across a wide 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 in assets under management (AUM). Firm Profile Region(s) of Operation Address Firm Type /Europe 1290 Avenue of the Americas New York, NY Multistrategy asset management Year Established 1939 Assets Under Management USD225 Bil. Total Employees/Investment Professionals 1,573/432 (); 161/56 (Europe) Active CLOs Under Management 13 (); 1 (Europe) Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) (); Originator (Europe) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Neuberger Berman Investment Advisers LLC (NBIA); Neuberger Berman BD LLC (NB BD LLC); Neuberger Berman Loan Advisers LLC (NBLA) Loan Management Profile Region(s) Leveraged Loan AUM Loans Managed via CLOs CLO Team Leader(s) /Europe USD11.5 Bil. Not Reported Stephen Casey, Joseph Lynch, Pim van Schie (); Martin Rotheram (Europe) 4/22 Years (); 1/16 Years (Europe) CLO Portfolio Managers (PMs)/Avg. Experience Credit Analysts, Non-PMs/Avg. Experience 19 (U.S); 5 (Europe)/11 Years globally Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan Assets Under Management (USD Bil.) Neuberger Berman Group LLC 189

195 Total AUM By Asset Type Other a 89.5% Loan AUM By Region Other 9.2% High Yield Bonds 10.5% a Includes investment-grade bonds (20.5%), other structured products (2.9%), broadly syndicated loans (2.3%) and CLOs (2.2%). Total AUM By Investor Type Other a 26.6% Pension/ Retirement 25.0% a Includes insurance (3.0%). Loan AUM By Product Type Other a 2.2% CLO Investors 48.3% 74.6% Europe 16.2% Managed Accounts 72.8% Managed Funds 25.0% a Includes CLOs (2.2%). and European Credit Committee Experience (Years) Name Title Role Firm Industry Stephen Casey Managing Director Loans Senior Portfolio Manager Joseph Lynch Managing Director Loans Senior Portfolio Manager Tom O Reilly Managing Director Head of Global Non-Investment Grade Credit Team and Senior Portfolio Manager Dan Doyle Managing Director High Yield/Loan Senior Portfolio Manager 4 32 Russ Covode Managing Director High Yield Senior Portfolio Manager Patrick Flynn Managing Director High Yield Senior Portfolio Manager Andrew Wilmont Managing Director European High Yield Portfolio Manager 2 19 Martin Rotheram Managing Director Loan Portfolio Manager Vivek Bommi Managing Director High Yield Senior Portfolio Manager 9 18 Christopher Kocinski Managing Director Director of Global Non-Investment Grade Credit Research Steven Ruh Senior Vice President High Yield Senior Research Analyst 9 11 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR LightPoint CLO /04 Called N N Premium Loan Trust I 11/04 Called N N LightPoint CLO III 6/05 Called N N LightPoint CLO IV 4/06 Called N N Airlie CLO /06 Called N N VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Continued on next page. Neuberger Berman Group LLC 190

196 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR LightPoint CLO V 8/06 Called N N LightPoint CLO VII 5/07 Amortizing N N LightPoint CLO VIII 7/07 Called N N Neuberger Berman CLO XII 8/12 Amortizing Y N Neuberger Berman CLO XIII 12/12 Reinvesting N N Neuberger Berman CLO XIV 5/13 Reinvesting N N Neuberger Berman CLO XV 10/13 Reinvesting Y N Neuberger Berman CLO XVI 2/14 Reinvesting Y N Neuberger Berman CLO XVII 6/14 Reinvesting Y N Neuberger Berman CLO XVIII 11/14 Reinvesting Y N Neuberger Berman CLO XIX 6/15 Reinvesting Y N Neuberger Berman CLO XX 10/15 Reinvesting Y N Neuberger Berman CLO XXI 3/16 Reinvesting Y N Neuberger Berman CLO XXII 9/16 Reinvesting Y N Neuberger Berman CLO XXIII 11/16 Reinvesting Y N Total 8,732 5,352 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR c Form Name Pricing Status Original Current VR CRR Method of RR Marquette US/ European CLO PLC 7/06 Called N N LightPoint Pan-European CLO 20 (PE 2006) 1/07 Called N N LightPoint Pan-European CLO 20 (PE 2007) 11/07 Reinvesting N N Total VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Neuberger Berman Group LLC 191

197 Organizational Structure NBSH ACQUISITION, LLC 100% Employee Owned Neuberger Berman Group LLC Neuberger Berman LLC (Equity Investment Adviser and Broker Dealer) Neuberger Berman Europe Limited (European Distribution and Investment Adviser) Neuberger Berman Singapore Pte. Limited (Singapore Distribution and Investment Adviser) NB Alternative Investment Management LLC (Hedge Fund Solutions Investment Adviser) Neuberger Berman Fixed Income LLC (Fixed Income Investment Adviser) Neuberger Berman Asia Limited (Asian Distribution and Investment Adviser) Neuberger Berman Taiwan Limited (Taiwan Distribution) NB Alternatives Advisers LLC (Private Equity Investment Adviser) Neuberger Berman Management LLC (Mutual Funds Investment Adviser and Limited Purpose Broker Dealer) Neuberger Berman East Asia Limited (Japan and South Korea Distribution and Investment Adviser) Neuberger Berman Australia Pty. Limited (Australia Distribution) Neuberger Berman Trust Companies a (Investment, Fiduciary and Trust Services) a Neuberger Berman Trust Company N.A. and Neuberger Berman Trust Company of Delaware N.A. Neuberger Berman Group LLC 192

198 The Fitch View Key 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, 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 retention regulations. NBLA qualifies as a MOA of NBIA, which is the collateral manager of existing CLOs. 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 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, review portfolio 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 dollar- and euro-denominated credits. The database provides extensive financial and capital structure information on each issuer. Neuberger Berman Group LLC 193

199 Newfleet Asset Management, LLC Newfleet 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, multiemployer 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. Firm Profile Region(s) of Operation Address 100 Pearl Street, 7th Floor Hartford, CT Firm Type Multistrategy asset management Year Established 1989 Assets Under Management USD11.8 Bil. Total Employees/Investment Professionals 40/40 Active CLOs Under Management 1 Current/Planned Risk Retention Structure Capital to be provided directly by sponsor Virtus Investment Partners Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Virtus Investment Partners Loan Management Profile Region(s) 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, CFA CLO Portfolio Managers (PMs)/Avg. Experience 3/21 Years Credit Analysts, Non-PMs/Avg. Experience 7/8 Years Loan Team Credits Per Analyst (including PMs) 60 Approximate No. of Invested Credits 40 Loan Assets Under Management (USD Bil.) Newfleet Asset Management, LLC 194

200 Total AUM By Asset Type Other 27.6% CLOs 3.0% Structured Credit 35.5% Loan AUM By Region Broadly Syndicated Loans 20.3% High Yield Bonds 13.6% Total AUM By Investor Type Other 92.5% Loan AUM By Product Type Insurance 1.4% Pension 1.4% Family Office 1.7% CLO Investors 3.0% Other 4.4% Europe 2.8% Managed Funds 85.3% 92.8% CLOs 14.8% Credit Committee Experience (Years) Name Title Role Firm Industry Kyle Jennings Senior Managing Director Portfolio Manager Frank Ossino Senior Managing Director Portfolio Manager 4 21 Jonathan Stanley Managing Director Portfolio Manager CLOs Under Management Compliance Portfolio Balance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Newfleet CLO /16 Reinvesting Y Total VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Newfleet Asset Management, LLC 195

201 Organizational Structure Virtus Investment Partners, Inc. (NASDAQ: VRTS) (Delaware, ) Virtus Partners, Inc. (Delaware, ) (Holding Company) Newfleet Asset Management, LLC a (Delaware, ) (Registered Investment Adviser) a Newfleet is one of 11 Virtus Investment Partners. Newfleet Asset Management, LLC 196

202 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 Profile Region(s) of Operation Address 500 Boylston Street, Suite 1250 Boston, MA Firm Type Multistrategy asset management Year Established 2004 Assets Under Management USD6.7 Bil. Total Employees/Investment Professionals 69/40 Active CLOs Under Management 15 Current/Planned Risk Retention Structure Flexible Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Loan Management Profile Region(s) Leveraged Loan AUM USD6.7 Bil. Loans Managed via CLOs >75% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Credit Analysts, Non-PMs/Avg. Experience 17 Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 450 (BSL)/240 (MM) Loan Assets Under Management (USD Bil.) Scott D'Orsi, CFA (BSL), Mike Eisenstein, CFA (MM) 8/22 Years NewStar Financial, Inc. 197

203 Total AUM By Asset Type Loan AUM By Region Other 1.5% Other 1% Middle Market Loans 65.7% Broadly Syndicated Loans 32.8% 99% Credit Committee Experience (Years) Name Title Role Firm Industry Tim Conway Chief Executive Officer Dan McCready Chief Investment Officer 4 31 Scott D Orsi Head of Liquid Credit Strategies 2 25 Mike Eisenstein Treasurer Note: Each PM that is assigned a loan is a member of the committee for that loan. CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR NewStar Trust /05 Called Avery Street CLO 3/06 Called NewStar Trust /06 Called NewStar Trust /07 Called Emerson Place CLO 7/07 Amortizing Lime Street CLO 8/07 Amortizing NewStar Credit Opportunities Funding II Ltd. 12/07 Called NewStar Trust /10 Called NewStar Commercial Loan Funding /12 Amortizing Y Y Horizontal Longfellow Place CLO 2/13 Amortizing Y NewStar Commercial Loan Funding /13 Amortizing Y Y Horizontal NewStar Commercial Loan Funding /14 Reinvest Y Y Horizontal Staniford Street CLO 4/14 Reinvest Y NewStar Arlington Senior Loan Program 6/14 Reinvest Y Hull Street CLO 11/14 Reinvest Y NewStar Clarendon Fund CLO LLC 1/15 Reinvest Y Y Vertical NewStar Commercial Loan Funding /15 Reinvest Y Y Horizontal NewStar Commercial Loan Funding /15 Reinvest Y Y Horizontal NewStar Commercial Loan Funding /16 Reinvest Y Y Horizontal Arch Street CLO 9/16 Reinvest Y Y Horizontal NewStar Berkeley Fund CLO LLC 11/16 Reinvest Y Y Vertical Total 8,838 5,768 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. NewStar Financial, Inc. 198

204 Organizational Structure NewStar Financial, Inc. Delaware Corp Nasdaq: NEWS Registered Investment Advisor (RIA) Various Funds (2) and CLOs (6) managed by NewStar Capital LLC NewStar Capital LLC (RIA) Asset Management Operating Subsidiary NewStar Asset Management LLC Asset Management Operating Subsidiary Financing Subsidiaries (11) Managed CLOs (3) NewStar Financial, Inc. 199

205 The Fitch View Key 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 and asset 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, 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 helped expand NewStar s MM lending and asset management activities. In October 2015, NewStar acquired Feingold O Keeffe Capital (FOC), a Boston-based alternative investment manager focused on broadly syndicated liquid loans with USD2.3 billion of AUM through CLOs, credit hedge funds and customized accounts. FOC currently operates as NewStar Capital LLC, a wholly owned subsidiary a NewStar Financial, Inc. The investment team and support staffs have been retained from FOC. In 2016, NewStar divested both the Business Credit and Equipment Finance business to shift focus to MM lending activities. Both businesses were sold at a premium to book value and added to the liquidity position of the company. NewStar also sold nearly all of its Commercial 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 and sustainable competitive advantage. The hold-to-maturity strategy employed by the MM team results in strong credit discipline and minimal portfolio trading. However, it also results in greater participation in the resourceintensive workout process. CreditWizard, NewStar s proprietary rating system used for its MM platform, assigns ratings on 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 of maintaining acceptable levels of credit risk. CLO management practices include continuous portfolio 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 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 qualitative scorecard system to determine obligor risk ratings and loss given default). Everest and Wall Street Office are used by both the MM and BSL teams. NewStar Financial, Inc. 200

206 NXT Capital Investment Advisers, LLC NXT 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. Firm Profile Region(s) of Operation Address Firm Type Year Established 2011 Assets Under Management USD3.7 Bil. Total Employees/Investment Professionals 116/50 Active CLOs Under Management 4 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Loan Management Profile Region(s) 191 North Wacker Drive, 30th Floor Chicago, IL 60606, Multistrategy asset management Majority-owned affiliate (MOA) Not Reported NXT Capital, LLC Leveraged Loan AUM USD3.7 Bil. Loans Managed via CLOs 34% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience John Finnerty 3/25 Years Credit Analysts, Non-PMs/Avg. Experience 36/10 Years Loan Team Credits Per Analyst (including PMs) 8 Approximate Number of Invested Credits 161 Loan Assets Under Management (USD Bil.) NXT Capital Investment Advisers, LLC 201

207 Total AUM By Asset Type Total AUM By Investor Type Middle Market Loans 100.0% CLO Investors 34.0% Other 66.0% Loan AUM By Region Loan AUM By Product Type 100.0% Managed Funds 49.0% Managed Accounts 17.0% CLOs 34.0% Credit Committee Experience (Years) Name Title Role Firm Industry Robert E. Radway Chairman CEO 7 29 John A. Finnerty Senior Managing Director PM 7 29 Joseph N. Lazewski Managing Director PM 7 19 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR NXT Capital CLO /12 Amortizing Y Y Originator Horizontal NXT Capital CLO /13 Amortizing Y Y Originator Horizontal NXT Capital CLO /14 Reinvesting Y Y Originator Horizontal NXT Capital CLO /15 Reinvesting Y Y Originator Horizontal Total 1,400 1,269 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. NXT Capital Investment Advisers, LLC 203

208 Organizational Structure NXT Capital, Inc. NXT Capital, LLC NXT Capital Investment Advisers, LLC NXT Capital Senior Loan Fund II GP, LLC NXT Capital Senior Loan Fund III GP, LLC NXT Capital Senior Loan Fund IV GP, LLC NXT Capital Investment Advisers, LLC 204

209 The Fitch View Key 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 of Merrill Lynch Capital and Heller Financial. NXT Advisers is headquartered in Chicago with seven offices located in major markets across the The firm has two origination business lines, corporate finance and real estate finance, and a growing asset management business that invests in loans originated by the corporate finance team. CLOs provide a source of balance sheet financing for NXT Advisers and are not issued for 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 and management and maintaining and monitoring compliance with internal policies and procedures. All risk ratings on individual loans are updated monthly or quarterly. Risk ratings are initially determined 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 effective oversight 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 have been found in these audits. Formal business continuity plan is in place to ensure access to critical data and systems in the event of an emergency, including limited or no access to NXT Advisers physical office locations. NXT Capital Investment Advisers, LLC 205

210 NYL Investors LLC NYL 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 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 by the high-yield credit group. Firm Profile Region(s) of Operation Address 51 Madison Avenue New York, NY Multistrategy asset management Firm Type Year Established Assets Under Managementa 2013 (NYL Investors LLC) 2000 (New York Life Investment Management LLC) 1845 (New York Life Insurance Company) USD13.5 Bil. Total Employees/Investment Professionals Active CLOs Under Management 400/80 8 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Majority-owned affiliate (MOA)/Other Not Reported New York Life Insurance Company, New York Life Investment Management LLC ahigh-yield credit group. Loan Management Profile Region(s) Leveraged Loan AUM Loans Managed via CLOs USD6.1 Bil. 40% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Robert Dial/Mark Campellone 4/26 Years Credit Analysts, Non-PMs/Avg. Experience Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 10/ High-Yield Credit Group Assets Under Management (USD Bil.) Note: Includes loans and high-yield bonds. NYL Investors LLC PRINT N.indd /7/ :52:30 PM

211 Total AUM By Asset Type Total AUM By Investor Type Broadly Syndicated Loans 45.2% CLO Investors 18.0% Other 15.0% High Yield Bonds 54.8% Insurance 67.0% Loan AUM By Product Type Managed Funds 64.0% Managed Accounts 18.0% CLOs 18.0% Credit Committee Experience (Years) Name Title Role Firm Industry Robert Dial Managing Director Head of High Yield/Portfolio Manager Mark Campellone Managing Director Portfolio Manager/Head of Loan Trading Arthur Torrey Managing Director Portfolio Manager Loans Paul Yee Managing Director Portfolio Manager/Head of HY Trading Elizabeth Standbridge Managing Director Portfolio Manager Loans David Melka Senior Director Co-Head of Credit Research Jeanne M. Cruz Senior Director Co-Head of Credit Research CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Enhanced Loan Facility III 10/01 Called N N NYLIM Flatiron /03 Called N N NYLIM Flatiron /04 Called N N NYLIM Flatiron /05 Called N N NYLIM Flatiron /06 Called N N Silverado 2006-II 10/06 Amortizing N N Flatiron CLO /07 Amortizing N N Flatiron CLO /11 Amortizing N N Flatiron CLO /12 Amortizing N N Flatiron CLO /13 Reinvesting N N Flatiron CLO /14 Reinvesting Y N Other Horizontal Flatiron CLO /15 Reinvesting Y Y Originator Other Horizontal TCI-Flatiron CLO (Sub-Adviser) 6/16 Reinvesting Y Y Originator MOA Horizontal Total 5,154 2,507 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. NYL Investors LLC 207

212 The Fitch View Key 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, 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 CLO transactions 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 determination of an internal credit rating. Credit selection process includes determination of portfolio suitability, which reflects a more individualized, portfolio-by-portfolio approach to investments. Credit analysts are generalists, covering on average three sectors and actively monitoring approximately 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, relative value, financial statement analysis and new deals. The team focuses on credit work prior to purchase and monitoring for significant deviations in 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 thirdparty administration systems, including industry-standard systems such as BlackRock s Aladdin platform, Wall Street Office and Thomson Reuters LPC, among others. The business continuity plan is appropriate and regularly tested and includes nightly data backup to a remote secure location. NYL Investors LLC 208

213 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 Profile Region(s) of Operation Europe Address Firm Type 1114 Avenue of the Americas, 27th Floor 45 Pall Mall, 4th Floor New York, NY London, U.K. SW1Y 5JG Multistrategy asset management Year Established Assets Under Management a USD30.6 Bil. globally Total Employees/Investment Professionals 245/63 25/15 Active CLOs Under Management a 13 5 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Undetermined Dedicated Capital to Fund Risk Retention Undetermined Undetermined Key Affiliates (Global) Oak Hill Advisors (Europe), LLP Affiliate a 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 dollar exchange rates as of month-end for any non- 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 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, Loan Management Profile Region(s) Europe Leveraged Loan AUM a USD10.3 Bil. EUR1.7 Bil. Loans Managed via CLOs 68% 90% CLO Team Leader(s) Thomas Wong, Doug Henderson T.K. Narayan, Lucy Panter CLO Portfolio Managers (PMs)/Avg. 1/18 Years 2/25 Years Experience Credit Analysts, Non-PMs/Avg. Experience 33/9 Years 11/10 Years Loan Team Credits Per Analyst (including PMs) b Approximate No. of Invested Credits 270 globally a 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 dollar exchange rates as of month-end for any non- 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. b Each 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. Oak Hill Advisors, L.P. 209

214 Total Assets Under Management (USD Bil.) Total AUM By Asset Type Structured Credit b 6.6% Other c 22.8% CLOs 28.4% High Yield Bonds 31.4% Broadly Syndicated Loans a 12.1% a Includes all leveraged loans excluding CLOs. b Includes third-party CLOs. c Includes 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 dollar exchange rates as of month-end for any non- 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. Total AUM By Investor Type Family Office, Endowments & Foundations, Other 13.0% Pension Plans 44.2% Sovereign Funds 12.3% CLO Investors 27.6% Insurance & Financial Institutions 2.9% 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. Oak Hill Advisors, L.P. 210

215 Total AUM By Region Total AUM By Product Type 37.0% Managed Funds 30.4% Managed Accounts 41.2% Europe 40.0% Other 23.0% 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. CLOs 28.4% 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 dollar exchange rates as of monthend for any non- 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. Credit Committee OHA does not have a formal credit committee. CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Oak Hill Credit Partners I 10/01 Called N N Oak Hill Credit Partners II 2/03 Called N N Oak Hill Credit Partners III 12/03 Called N N Oak Hill Credit Partners IV 7/05 Called N N OHA Park Avenue CLO I 3/07 Called N N Oak Hill Credit Partners V 9/07 Called N N OHA Intrepid Leveraged Loan Fund 3/11 Called N N Oak Hill Credit Partners VI 5/12 Called Y N Oak Hill Credit Partners VIII 5/13 Reinvesting N N OHA Loan Funding /13 Reinvesting Y N OHA Loan Funding /13 Reinvesting N N Oak Hill Credit Partners IX 10/13 Reinvesting N N Oak Hill Credit Partners X 6/14 Reinvesting Y N OHA Loan Funding /14 Reinvesting Y N OHACP XI 11/15 Reinvesting Y N OHACP XII 1/16 Reinvesting Y N OHA Loan Funding Reset 11/16 Reinvesting Y N OHALF Reset 12/16 Reinvesting Y N OHALF /16 Reinvesting Y N Oak Hill Credit Partners VII Reset 12/16 Reinvesting Y N OHALF /16 Reinvesting Y N OHACP XIII 12/16 Reinvesting Y N Total 12,203 7,572 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Oak Hill Advisors, L.P. 211

216 European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR OHECP I 7/06 Amortizing N N OHECP II 6/07 Amortizing N N OHECP III 6/15 Reinvesting N Y Sponsor Vertical OHECP IV 12/15 Reinvesting N Y Sponsor Vertical OHECP V 1/17 Reinvesting N Y Originator Vertical Total 2,214 1,679 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure 13 Employee Partners New York, NY London, U.K. Los Angeles, CA Sydney, Australia Hong Kong, SAR Fort Worth, TX Oak Hill Advisors, L.P. 212

217 The Fitch View Key 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 throughout multiple cycles. Performance of managed CLOs credited to focused credit research team having a smaller actively managed credit list than industry averages, resulting in high conviction credit selection and a focus on downside protection. Challenges include maintaining CLO AUM in the face of challenging market conditions for loan 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 each and 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-focused investment professionals to maintain overall comfort with the investment. Credit risk monitoring processes include various daily, weekly, monthly and quarterly meetings used to aid in the analysis of underlying credit liquidity, financial standing and industry trends, and processes are supported by the appropriate portfolio management 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 to closing loans. Dedicated CLO accounting/administration team provides independent trustee reconciliation and 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 through password-protected website. Technology Integrated and flexible platform based on a combination of proprietary analytics and thirdparty administration systems, including widely accepted industry systems such as Black Mountain Everest and Wall Street Office. Business continuity and disaster recovery are in place and periodically tested. Oak Hill Advisors, L.P. 213

218 Oaktree Capital Management, L.P. Oaktree Capital Management, L.P. (Oaktree) is a global investment manager that was founded in 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 CLOs and warehouses and EUR1.6 billion managed via European CLOs. Firm Profile Region(s) of Operation Europe Address 333 South Grand Avenue, 28th Floor Los Angeles, CA Bressenden Pl, Westminster London SW1E, U.K. Firm Type Global multistrategy asset manager Year Established 1995 globally Assets Under Management USD67.3 Bil. EUR14 Bil. Total Employees/Investment Professionals 719/ /84 Active CLOs Under Management 9 4 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Sponsor Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) Five main Oaktree operating entities (see Organizational Struc. Chart) Loan Management Profile Region(s) Europe Leveraged Loan AUM USD7.7 Bil. USD3.0 Bil. Loans Managed via CLOs 79% 53% CLO Team Leader(s) Armen Panossian Madelaine Jones, James Turner CLO Portfolio Managers (PMs)/Avg. Experience 1/15 Years 2/19 Years Credit Analysts, Non-PMs/Avg. Experience 9/12 Years 7/11 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan Assets Under Management (USD Bil.) Oaktree Capital Management, L.P. 214

219 European Loan Assets Under Management (USD Bil.) Total AUM By Asset Type Other 60.6% Loan AUM By Region High Yield Bonds 24.1% Broadly Syndicated Loans 6.5% Middle Market Loans CLOs 1.0% 7.7% Europe 28.0% Total AUM By Investor Type Sovereign Wealth Funds 8.0% Family Office/ High Net Worth 5.0% Other 27.0% Loan AUM By Product Type CLO Investors 6.0% Insurance 9.0% Endowment 6.0% Pension/ Retirement 39.0% Managed Funds 15.0% 72.0% CLOs 71.0% Managed Accounts 14.0% Credit Committee Experience (Years) Name Title Role Firm Industry Armen Panossian Managing Director and Portfolio Manager Portfolio Manager Note: Oaktree does not utilize a credit committee for its senior loan strategies. Investment decisions are made by portfolio manager Armen Panossian. European Credit Committee Experience (Years) Name Title Role Firm Industry Madelaine Jones Managing Director and Portfolio Manager Portfolio Manager James Turner Managing Director and Portfolio Manager Portfolio Manager Note: Oaktree does not utilize a credit committee for its European senior loan strategies. Investment decisions are made by portfolio managers. Oaktree Capital Management, L.P. 215

220 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Oaktree EIF Series I 10/12 Called Y N Oaktree EIF Series II 3/13 Called Y N Oaktree EIF Series III 6/13 Called Y N Oaktree EIF II Series A1 8/14 Reinvesting Y N Oaktree EIF II Series A2 12/14 Reinvesting Y N Oaktree EIF II Series B1 3/15 Reinvesting Y N Oaktree CLO /14 Reinvesting Y N Oaktree CLO /14 Reinvesting Y N Oaktree CLO /15 Reinvesting Y N Oaktree EIF I Series A1 1/16 Reinvesting Y N Oaktree EIF I Series A 3/16 Reinvesting Y N Oaktree EIF III Series I 12/16 Reinvesting Y N MOA Horizontal Total 6,606 4,808 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Portfolio Balance Compliance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Arbour DAC 6/14 Reinvesting Y Y Sponsor Horizontal Arbour II DAC 1/15 Reinvesting Y Y Sponsor Horizontal Arbour III DAC 2/16 Reinvesting Y Y Sponsor Horizontal Arbour IV DAC 11/16 Reinvesting Y Y Sponsor Horizontal Total 1,578 1,578 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Oaktree Capital Management, L.P. 216

221 Oaktree Capital Management, L.P. 217

222 The Fitch View Key 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 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 senior loans strategy began in 2007 and the European senior loans strategy started in The European strategy manages loans as portions of pooled vehicles, within a SICAV structure and as separate managed accounts. The 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 senior loan portfolio manager has 15 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 incorporated into 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 process from the peer norm. Each credit s scoring matrix is updated at the time of any news flow or company announcement. Ten senior analysts on the and European teams are organized by sector, with six junior analysts acting as generalists. The investment universe consists of approximately 480 names across active and European CLOs. Each analyst actively monitors about credits. Position sizing and portfolio diversification are at the discretion of the PMs. Sell decisions are based purely 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 (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 is developing HTML solutions to enable this automation. Oaktree Capital Management, L.P. 218

223 Och-Ziff Capital Management Group LLC Och-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 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 Profile Region(s) of Operation Europe Address Firm Type 9 West 57th Street, 39th Floor New York, NY Multistrategy asset management Year Established Assets Under Management USD37.9 Bil. globally Total Employees/Investment Professionals 524/154 globally Active CLOs Under Management Argyll Street London, W1F 7EB, U.K. Current/Planned Risk Retention Structure Capitalized majority-owned Originator/Sponsor affiliate (C-MOA) Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) Och-Ziff Capital Management Group LLC Parent Loan Management Profile Region(s) Europe Leveraged Loan AUM USD7.6 Bil. EUR413 Mil. Loans Managed via CLOs 99.5% 100% CLO Team Leader(s) Brett Klein Adeel Shafiqullah CLO Portfolio Managers (PMs)/Avg. Experience 1/17 Years 1/18 Years Credit Analysts, Non-PMs/Avg. Experience 14/8 Years 6/7 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Leveraged Loan Assets Under Management (USD Bil.) Och-Ziff Capital Management Group LLC 219

224 European Leveraged Loan Assets Under Management (EUR Mil.) Loan AUM By Region Loan AUM By Product Type Europe 5.3% Managed Funds 0.5% 94.7% CLOs 99.5% Credit Committee Experience (Years) Name Title Role Firm Industry David Windreich Executive Managing Director Co-Chief Investment Officer Harold Kelly Executive Managing Director Head of Global Convertible and Derivative Arbitrage and Risk Management Brett Klein Executive Managing Director Head of Corporate Credit European Credit Committee Experience (Years) Name Title Role Firm Industry Brett Klein Executive Managing Director Head of Corporate Credit Adeel Shafiqullah Managing Director Senior Portfolio Manager, Institutional Credit Strategies Europe 1 18 Mathieu Clavel Managing Director Head of European Corporate Credit 7 15 Taj Sidhu Managing Director Head of European Private Investments Och-Ziff Capital Management Group LLC 220

225 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR OZLM Funding 7/12 Reinvesting Y N OZLM Funding II 10/12 Reinvesting Y N OZLM Funding III 1/13 Reinvesting Y N OZLM Funding IV 6/13 Reinvesting Y N OZLM Funding V 11/13 Reinvesting Y N OZLM Funding VI 3/14 Reinvesting Y N OZLM Funding VII 6/14 Reinvesting Y N OZLM Funding VIII 8/14 Reinvesting Y N OZLM Funding IX 11/14 Reinvesting Y N OZLM Funding XI 2/15 Reinvesting Y N OZLM XII 4/15 Reinvesting Y N OZLM XIII 7/15 Reinvesting Y N OZLM XIV 12/15 Reinvesting Y N OZLM XV 11/16 Reinvesting Y N Total 7,909 7,909 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR OZLME B.V. 11/16 Reinvesting Y Y Originator Vertical Total VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Och-Ziff Capital Management Group LLC Sole Shareholder Och-Ziff Holding Corp. GP OZ Management, LP European Investment Manager Och-Ziff Europe Loan Management Limited Investment Manager Och-Ziff Loan Management LLC LP Och-Ziff Loan Management LLC GP Note: As of Dec. 31, This structure chart reflects the summary ownership of Och-Ziff Europe Loan Management Limited and Och-Ziff Loan Management LP and is not a complete structure chart of Och-Ziff Capital Management Group and its group companies and affiliates. This document should be read in conjunction with the Form 10-K filed by Och-Ziff Capital Management Group LLC on March 1, Och-Ziff Capital Management Group LLC 221

226 The Fitch View Key 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 out sophisticated 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 institutional credit strategies. In 2016, Och-Ziff settled with the SEC in connection with accusations of misconduct by former employees and private investments in Africa. The settlement includes a USD412 million fine and deferred prosecution agreement for Och-Ziff and a guilty plea by one of its subsidiaries, OZ Africa Management GP, LLC. Fitch confirmed with members of the 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 portfolio management 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 the widely accepted Virtus, ClearPar and Geneva. Business continuity plan is appropriate and has been tested. Third-party data and work area recovery centers are currently located in New Jersey and North Carolina. Och-Ziff Capital Management Group LLC 222

227 Octagon Credit Investors, LLC Octagon Credit Investors, LLC (Octagon) is an investment adviser that focuses on the management of below-investment-grade corporate debt, primarily leveraged loans, highyield 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 investment management firm, acquired 82.1% of Octagon. Octagon employees continue to own 17.9% of the firm. Firm Profile Region(s) of Operation Address Firm Type 250 Park Avenue, 15th Floor New York, NY Investment manager Year Established 1994 Assets Under Management USD14.6 Bil. Total Employees/Investment Professionals 54/26 Active CLOs Under Management 21 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Conning & Company Parent company, Octagon employees Loan Management Profile Region(s) Leveraged Loan AUM USD13.63 Bil. Loans Managed via CLOs 73.7% CLO Team Leader(s) Michael Nechamkin, Lauren Basmadjian, Gretchen Lam CLO Portfolio Managers (PMs)/Avg. Experience 3/20 Years Credit Analysts, Non-PMs/Avg. Experience 19/7 Years Loan Team Credits Per Analyst (including PMs) 50 Approximate No. of Invested Credits 500 Loan Assets Under Management (USD Bil.) Octagon Credit Investors, LLC 223

228 Total AUM By Asset Type Total AUM By Investor Type Other a 6.5% Insurance 9.1% Bank 10.6% Broadly Syndicated Loans 93.5% a Includes high-yield bonds (0.8%) and structured credit (3.2%). Loan AUM By Region CLO Investors 73.3% Loan AUM By Product Type Other a 7.0% a Includes managed accounts (3.7%), pension/ retirement (0.6%) and family office/high net worth (2.1%) % CLOs 73.4% Managed Funds 8.5% Managed Accounts 18.1% Credit Committee Experience (Years) Name Title Role Firm Industry Andrew Gordon CEO and Chief Investment Officer Investment Committee Member Michael Nechamkin Co-CIO and Senior Portfolio Manager Investment Committee Member Lauren Basmadjian Portfolio Manager Investment Committee Member Gretchen Lam Portfolio Manager Investment Committee Member CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Octagon II 5/99 Called 1,000 0 N N Octagon III 12/99 Called 1,000 0 N N Octagon IV 5/01 Called N N Octagon V 1/03 Called N N Octagon VI 11/03 Called N N Octagon VII 9/04 Called N N Octagon VIII 8/05 Called N N Octagon IX 5/06 Called N N Octagon X 9/06 Amortizing N N Hamlet II 11/06 Amortizing N N Octagon XI 7/07 Amortizing N N Octagon XII 2/12 Amortizing N N VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Continued on next page. Octagon Credit Investors, LLC 224

229 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Octagon XIV 12/12 Amortizing N N Octagon XVI 6/13 Reinvesting N N Octagon XVII 8/13 Reinvesting N N Octagon XVIII 12/13 Reinvesting N N Octagon XIX 4/14 Reinvesting Y N Octagon XX 8/14 Reinvesting Y N Octagon Loan Funding 9/14 Reinvesting Y N Octagon XXI 10/14 Reinvesting Y N Octagon XXII 11/14 Reinvesting Y N Octagon 24 5/15 Reinvesting Y N Octagon XXIII 7/15 Reinvesting Y N Octagon 25 10/15 Reinvesting Y N Octagon XV 2/16 Reinvesting N N Octagon 26 4/16 Reinvesting Y N Octagon 27 6/16 Reinvesting Y N Octagon 28 10/16 Reinvesting Y N Octagon 29 12/16 Reinvesting Y N Total 16,538 11,011 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Conning & Company 82% Octagon Employees 18% Octagon Credit Investors, LLC Octagon Credit Investors, LLC 225

230 The Fitch View Key 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 strong organizational 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 JPMorgan Chase & Co. Octagon was incorporated in December 1998 and separated from The Chase Manhattan Corporation in 1999 at the time, it had approximately USD2.1 billion in assets under management 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% of the firm. From July 2008 until February 2016, Octagon was majority owned by an affiliate of CCMP 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 with company management. Octagon focuses on industry dynamics and competitive environments, performance history and prospects, investment sponsors and management, projected cash flow generation, quality and value of underlying collateral, downside protection and relative-value opportunities within an issuer s capital structure. Investment decisions may also take into account the macroeconomic backdrop, technical supply 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 individual fund 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 related issues 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 regular portfolio 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 the respective fund s operational risk framework. The firm s internal accounting team generally reconciles each fund s cash position on a daily basis. Senior management reviews all fund performance and portfolio composition on a regular basis 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-class third-party systems, including Wall Street Office and Everest. Octagon maintains a documented business continuity and disaster recovery plan that includes hourly backup of database servers and daily backup of application and file servers. Octagon Credit Investors, LLC 226

231 Palmer Square Capital Management LLC Palmer 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 Profile Region(s) of Operation Address 2000 Shawnee Mission Parkway, Suite 300 Mission Woods, KS Firm Type Multistrategy asset manager Year Established 2009 Assets Under Management USD3.9 Bil. Total Employees/Investment Professionals 20/15 Active CLOs Under Management 8 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Loan Management Profile Region(s) Majority-owned affiliate (MOA) Not Reported Montage Investments Parent Leveraged Loan AUM USD2.9 Bil. Loans Managed via CLOs 95% CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Credit Analysts, Non-PMs/Avg. Experience Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Christopher D. Long, Angie K. Long, Matt Bloomfield, Jeff Fox 4/15 Years 11/10 Years Not Reported Not Reported Loan Assets Under Management (USD Bil.) Palmer Square Capital Management LLC 227

232 Loan AUM By Region Loan AUM By Product Type 100.0% Managed Funds 30.2% CLOs 65.2% Other a 4.6% a Includes managed accounts. Credit Committee Experience (Years) Name Title Role Firm Industry Christopher Long President Portfolio Manager 8 19 Angie Long Chief Investment Officer Portfolio Manager 6 19 Matt Bloomfield Managing Director Portfolio Manager 3 14 Jeffrey Fox Managing Director Structure/Compliance 4 17 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Palmer Square CLO /13 Reinvesting Y Palmer Square CLO /13 Reinvesting Y Palmer Square CLO /14 Reinvesting Y MOA Vertical Palmer Square CLO /15 Reinvesting Y Palmer Square CLO /15 Reinvesting Y Palmer Square Loan Funding /15 Amortizing Y Palmer Square Loan Funding /16 Amortizing Y Palmer Square Loan Funding /16 Amortizing Y Total 2,738 2,677 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Mariner Holdings Palmer Square Capital Management Palmer Square Capital Management LLC 228

233 PineBridge Investments LLC PineBridge 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 Profile Region(s) of Operation Europe Address 399 Park Avenue, 4th Floor New York, NY Exchequer Court, 6th Floor 33 St Mary Axe London EC3A 8AA U.K. Firm Type Multistrategy asset management Year Established Assets Under Management USD82.7 Bil. Included in Total Employees/Investment Professionals 666/200 Included in Active CLOs Under Management 9 4 Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) Originator Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) Pacific Century Group Parent Loan Management Profile Region(s) Europe Leveraged Loan AUM USD7.3 Bil. EUR1.3 Bil. Loans Managed via CLOs 59% 97% CLO Team Leader(s) John Lapham Evangeline Lim CLO Portfolio Managers (PMs)/Avg. Experience 3/28 Years 1/21 Years Credit Analysts, Non-PMs/Avg. Experience 12/22 Years 4/10 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits 511 Included in Loan Assets Under Management (USD Bil.) PineBridge Investments LLC 229

234 European Loan Assets Under Management (EUR Bil.) Total AUM By Asset Type Total AUM By Investor Type Broadly Syndicated Loans 10.4% Other a 40.5% CLO Investors 6.7% Other a 89.6% Pension/ Retirement 19.5% Insurance 33.2% a Includes high yield bonds (3.1%). a Includes endowment (0.2%), family office/ high net worth (0.3%), sovereign wealth funds (0.1%) and bank (0.6%). Loan AUM By Region Loan AUM By Product Type Europe 15.0% Managed Funds 7.0% 85.0% CLOs 65.0% Managed Accounts 28.0% PineBridge Investments LLC 230

235 Credit Committee Experience (Years) Name Title Role Firm Industry Steven Oh Managing Director, Global Head of Credit and Fixed Income Portfolio Manager John Lapham Managing Director, Co-Head of Leveraged Finance Portfolio Manager Julie Bothamley Managing Director Portfolio Manager Jeff Baxter Managing Director Director of Research Kyle Chung Managing Director Portfolio Manager European Credit Committee Experience (Years) Name Title Role Firm Industry Steven Oh Managing Director, Global Head of Credit and Fixed Income Portfolio Manager John Lapham Managing Director, Co-Head of Leveraged Finance Portfolio Manager Julie Bothamley Managing Director Portfolio Manager Jeff Baxter Managing Director Director of Research Evangeline Lim Senior Vice President Portfolio Manager CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Galaxy /99 Called 1,000 0 N N Galaxy /04 Called N N Galaxy III 8/04 Called N N Galaxy IV 3/05 Called N N Galaxy V 9/05 Called N N Galaxy VI 5/06 Called N N Galaxy VII 9/06 Called N N Galaxy VIII 3/07 Called N N Saturn 5/07 Called N N Galaxy X 2/08 Called N N Plymouth Rock 12/10 Called N N Galaxy XI 8/11 Called N N Galaxy XII 4/12 Called N N Galaxy XIV 11/12 Reinvesting N N Galaxy XV 3/13 Reinvesting N N Galaxy XVI 11/13 Reinvesting N N Galaxy XVII 6/14 Reinvesting Y N Galaxy XVIII 8/14 Reinvesting Y N Galaxy XIX 2/15 Reinvesting Y N Galaxy XX 6/15 Reinvesting Y N Galaxy XXI 12/15 Reinvesting Y N Galaxy XXII 7/16 Reinvesting Y Y Originator Horizontal Total 10,494 4,054 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. PineBridge Investments LLC 231

236 European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Euro-Galaxy 9/06 Called N N Euro-Galaxy II 8/07 Amortizing N N Euro-Galaxy III 11/13 Reinvesting N Y Originator Horizontal Euro-Galaxy IV 6/15 Reinvesting N Y Originator Horizontal Euro-Galaxy V 11/16 Reinvesting N Y Originator Vertical Total 1,874 1,073 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Pacific Century Group and Management PineBridge Investments, L.P. (Cayman Islands) PineBridge Investments LLC PineBridge Investments LLC 232

237 The Fitch View Key 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-Pacific region, including Singapore, Hong Kong and Japan. Founded in 1993, Pacific Century Group is controlled by Richard Li. PineBridge has been managing CLOs since 1999 and European CLOs since Its focus is global. CLOs represent a core element of its corporate strategy and a key component 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 with respect to the investment thesis. All new investments are subject to a formalized committee process, which is made up of the presenting analyst and five senior managers. Proprietary scoring model for all preapproved and monitored credits. Result is three distinct scoring designations for every credit, incorporating both fundamentals and relativevalue 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 clearly defined policies. A cleansing process exists to control when public/private status changes. A separate compliance department is responsible for developing, maintaining and upgrading policies 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. PineBridge Investments LLC 233

238 Prudential Fixed Income Prudential 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 Profile Region(s) of Operation Address Firm Type Global 655 Broad Street Newark, NJ Global multistrategy asset management Year Established 1875 Assets Under Management USD637 Bil. Total Employees/Investment Professionals 582/209 (); 58/28 (Europe) Active CLOs Under Management 16 (); 7 (Europe) Current/Planned Risk Retention Structure Firm capital Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Prudential Financial (Parent) Loan Management Profile Region(s) Leveraged Loan AUM Loans Managed via CLOs CLO Team Leader(s) CLO Portfolio Managers (PMs)/Avg. Experience Credit Analysts, Non-PMs/Avg. Experience Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Global USD13 Bil. 85% (); 15% (Europe) Brian Juliano, Bent Hoyer (); Jonathan Butler (Europe) 6/15 Years (); 1/12 Years (Europe) 8/17 Years (); 6/15 Years (Europe) 25 (); 30 (Europe) 750 (); 250 (Europe) Loan Assets Under Management (USD Bil.) Prudential Fixed Income 234

239 Total AUM By Asset Type Loan AUM By Region Other a 46.0% High Yield Bonds 6.9% Other 3.3% Loan AUM By Product Type Structured Credit 47.1% a Includes broadly syndicated loans (2.1%) and CLOs (2.7%). Other a 2.7% 80.8% Europe 15.9% Managed Accounts 74.9% Managed Funds 22.4% a Includes CLOs (2.7%). 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. CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Dryden XI 5/06 Called N Dryden XVI 12/06 Called N Dryden XVIII 10/07 Called N Gateway CLO a 10/07 Called N Dryden XXII 12/11 Called N Dryden XXIII 7/12 Called Y Dryden XXIV 10/12 Amortizing Y Dryden XXV 12/12 Reinvesting Y Dryden XXVI 3/13 Reinvesting N Dryden XXVIII 7/13 Reinvesting N Dryden 30 10/13 Reinvesting N Dryden 31 3/14 Reinvesting Y Dryden 33 5/14 Reinvesting 812 1,015 Y Dryden 34 8/14 Reinvesting Y Dryden 36 12/14 Reinvesting Y a Acquired from Duane Street in October VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Continued on next page. Prudential Fixed Income 235

240 CLOs Under Management (Continued) Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Dryden 37 3/15 Reinvesting Y Dryden 38 5/15 Reinvesting Y Dryden 40 7/15 Reinvesting Y Y Other Other Vertical Dryden 41 10/15 Reinvesting Y Dryden 42 5/16 Reinvesting Y Y Dryden 43 8/16 Reinvesting Y Y Dryden 45 9/16 Reinvesting Y Y Total 11,927 9,161 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Compliance Portfolio Balance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Gateway IV Euro CLO a 5/07 Called N Dryden XXVII 5/13 Amortizing N Y Other Vertical Dryden 29 12/13 Reinvesting N Y Other Vertical Dryden 32 7/14 Reinvesting N Y Other Vertical Dryden 35 3/15 Reinvesting N Y Other Vertical Dryden 39 9/15 Reinvesting N Y Other Vertical Dryden 44 6/16 Reinvesting N Y Other Vertical Dryden 46 10/16 Ramp-Up N Y Other Vertical Total 3,490 3,001 a Acquired from GSC in April VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Organizational Structure Prudential Financial PGIM Fundamental Equity Equity Units Quantitative Equity Prudential Fixed Income Real Estate Debt Private Fixed Income Units Private Placements Real Estate Equity Unit Real Estate Equity PGIM Fixed Income (London) PIMJ (Japan) PGIM Fixed Income (Singapore) Prudential Fixed Income 236

241 The Fitch View Key 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 CLOs since 2002 and European CLOs since It has demonstrated its commitment to the CLO market through continued additions of CLO management mandates and acquisition of CLO management mandates as replacement manager. PGIM s investor base is highly diversified by region and sector, with no notable client concentrations. The European leveraged finance research team comprised seven analysts as of December 2016 plus the head of European credit research, part of a considerably larger global credit research 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 according to schedule or market events. Credit research covers the majority of the European leveraged issuer market. Credit research analysts are organized by sector. Credit committee with representatives from credit and portfolio management teams responsible 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 of December 2016). PGIM is either public or private on all issuers, with the result that it has no conflicts of interest. 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 credit research module, Galileo. Wall Street Office is used for CLO management and Intex for portfolio modeling and stress testing. A robust business continuity and disaster recovery plan is in place and regularly tested. Prudential Fixed Income 237

242 Redding Ridge Asset Management LLC Redding 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 Profile Region(s) of Operation Address Firm Type Year Established 2016 Assets Under Management N.A. Total Employees/Investment Professionals Active CLOs Under Management Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) Managing Directors Primary Contact and Europe 126 East 56th Street, 25th Floor New York, NY Independent CLO-focused manager 11/7 (); 5/4 (Europe) a None : Capitalized manager vehicle (CMV); Europe: Sponsor Not Reported Redding Ridge Holdings (Parent) Bret Leas; Joseph Moroney Priya Kothary, Head of Business Development a Includes both dedicated and shared employees of Redding Ridge Asset Management. N.A. Not applicable. Loan Management Profile Region(s) and Europe Leveraged Loan AUM N.A. Loans Managed via CLOs N.A. CLO Team Leader(s) Steve Riddell CLO Portfolio Managers (PMs)/Avg. Experience 1/21 Years Credit Analysts, Non-PMs/Avg. Experience 16/7 Years (); 4/7 Years (Europe) a Loan Team Credits Per Analyst (including PMs) 30 (); 25 (Europe) a Approximate No. of Invested Credits N.A. a As per the credit research agreement with Apollo Global Management. N.A. Not applicable. Investment Committee Experience (Years) Name Title Role Firm Industry Stephen Riddell Chief Investment Officer Chief Investment Officer 1 21 Albert Huntington Head of Capital Markets and Banking 1 11 European Investment Committee Experience (Years) Name Title Role Firm Industry Dan Robinson RR U.K. Management Committee Member 1 17 Alan Kelly RR U.K. Management Committee Member 1 22 Redding Ridge Asset Management LLC 238

243 Rothschild Group The 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-investmentgrade credit across European and CLOs, credit funds and managed accounts. The CLOs are managed by a wholly owned MiFiD subsidiary, Five Arrows Managers LLP. Firm Profile Region(s) of Operation Europe Address 633 West 5th Street, Suite 6700 Los Angeles, CA New Court, St. Swithin s Lane London, EC4N 8AL Firm Type Multistrategy asset management Year Established Assets Under Management EUR1.5 Bil. EUR1.7 Bil. Total Employees/Investment Professionals 31/22 a N.A. Active CLOs Under Management 5 2 Current/Planned Risk Retention Structure Majority-owned affiliate (MOA) Sponsor/Originator Dedicated Capital to Fund Risk Retention Not Reported Not Reported Key Affiliates (Global) Paris Orleans Parent a London employees counted among N.A. Not applicable. Loan Management Profile Region(s) Europe Leveraged Loan AUM USD1.7 Bil. EUR1.5 Bil. Loans Managed via CLOs 65% 37% CLO Team Leader(s) Mike Hatley Paul Tapper CLO Portfolio Managers (PMs)/Avg. Experience 2/34 Years 3/27 Years Credit Analysts, Non-PMs/Avg. Experience 6/23 Years 5/7 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan Assets Under Management (USD Bil.) Rothschild Group 239

244 European Loan Assets Under Management (EUR Bil.) Total AUM By Asset Type Total AUM By Investor Type Other 4.5% Pension/ Retirement 8.2% Broadly Syndicated Loans 95.5% CLO Investors 82.0% a Includes insurance, at 3.5% Other 9.9% a Loan AuM By Region Loan AUM By Product Type Europe 50.6% Managed Funds 17.2% 49.4% CLOs 78.2% Other 4.6% Credit Committee Experience (Years) Name Title Role Firm Industry Mike Hatley Managing Director Chief Investment Officer Cheryl Wasilewski Director Credit Analyst Helen Rhee Director Credit Analyst Heidimarie Skor Director Credit Analyst Joy Jacob Director Credit Analyst 8 20 Bradley Bryan Director Credit Analyst 3 29 Todd Solomon Vice President Credit Analyst 1 12 Michael Clancy Managing Director Non-Voting a 4 29 Phil Yeates Managing Director Non-Voting a Tim Ayles a Director Non-Voting a a Hold a veto right for purposes of compliance with risk retention regulations. Rothschild Group 240

245 European Credit Committee Experience (Years) Name Title Role Firm Industry Marc-Olivier Laurent Managing Director Head of Merchant Banking Andrew Didham Managing Director Vice Chairman Phil Yeates Managing Director Co-Head Debt Fund Management Michael Clancy Managing Director Co-Head Debt Fund Management 4 29 John Sealy Managing Director Independent Committee Member Debra Lewis Consultant Independent Committee Member David Wilson Consultant Independent Committee Member 4 28 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR ING-Oryx CLO 12/01 Called N N Endurance CLO I 12/02 Called N N WG Horizons CLO I 5/06 Reinvesting N N Ocean Trails CLO I 11/06 Reinvesting N N Ocean Trails CLO II 6/07 Reinvesting N N Ocean Trails CLO IV 8/13 Reinvesting Y N Ocean Trails CLO V 11/14 Reinvesting Y N Ocean Trails CLO VI 4/16 Reinvesting Y N Sponsor Vertical Total 2,972 1,687 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. European CLOs Under Management Portfolio Balance Compliance (EUR Mil.) EU RR Form Name Pricing Status Original Current VR CRR Method of RR Dalradian European CLO I B.V. 12/05 Called N N Dalradian European CLO II B.V. 5/06 Called N N Dalradian European CLO III B.V. 10/06 Called N N Contego CLO I B.V. 1/07 Called N N Dalradian European CLO IV B.V. 2/07 Called N N Contego CLO II B.V. 10/14 Reinvesting Y Y Sponsor Vertical Contego CLO III B.V. 3/16 Reinvesting Y Y Sponsor Vertical Total 2, VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Rothschild Group 241

246 Organizational Structure Paris Orléans Rothschild Continuation Holdings AG Rothschild Bank AG (Switzerland) NM Rothschild & Sons Limited Rothschild & Cie Banque SCS (France) Rothschild Credit Management Limited Five Arrows LLP Rothschild Group 242

247 The Fitch View Key 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 and separate 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 It has actively managed CLOs since 2007 and acquired Elgin Capital in All of the ownership interests of CLO manager West Gate Horizons Advisors, LLC and the firm s five CLOs were acquired by Rothschild North America Holdings, Inc. in September The resulting CLO management entity in the became known as Rothschild Credit Management (North America). The European credit management team comprises 19 staff, based in London. The credit research 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 executive and non-executive members. Credit research documented in standardized memos of good quality, with clear credit recommendations. Rothschild Group benefits from its access to information via the advisory business (subject to strict compliance oversight). There are a total of five PMs, one of whom is responsible for European CLOs and one for 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 and other areas of the business (advisory and private equity). Furthermore, the CLO team is effectively 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 full cash and position reconciliation. Pricing feeds are from Markit and Bloomberg. Detailed business continuity and disaster recovery plans are in place and tested, with offsite server storage and backups. Rothschild Group 243

248 Seix Investment Advisors LLC Seix 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 Profile Region(s) of Operation Address One Maynard Drive, Suite 3200 Park Ridge, NJ Firm Type Multistrategy asset management Year Established 1992 Assets Under Management USD27.6 Bil. Total Employees/Investment Professionals 76/42 Active CLOs Under Management 8 Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) RidgeWorth Capital Management LLC, Ceredex Value Advisors, Silvant Capital Management, Zevenbergen Capital Investments Loan Management Profile Region(s) Leveraged Loan AUM USD8.5 Bil. Loans Managed via CLOs 31% CLO Team Leader(s) George Goudelias CLO Portfolio Managers (PMs)/Avg. Experience 2/30 Years Credit Analysts, Non-PMs/Avg. Experience 9/20 Years Loan Team Credits Per Analyst (including PMs) Approximate No. of Invested Credits Loan Assets Under Management (USD Bil.) Seix Investment Advisors LLC 244

249 Total AUM By Asset Type Other 51.0% Broadly Syndicated Loans 31.0% Total AUM By Investor Type Other 15.3% CLO Investors 9.6% High Yield Bonds 18.0% Pension/ Retirement 28.3% Managed Accounts 46.8% Loan AUM By Region Loan AUM By Product Type Europe 3.1% Other 6.5% Managed Funds 68.0% Managed Accounts 1.0% 90.4% CLOs 31.0% Credit Committee Experience (Years) Name Title Role Firm Industry George Goudelias Head of Leveraged Finance Portfolio Manager Vincent Flanagan Portfolio Manager Portfolio Manager Ray Kramer Head of Leveraged Finance Research Research Mike Kirkpatrick Senior Portfolio Manager Portfolio Manager James FitzPatrick Head of Leveraged Finance Trading Portfolio Manager CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Baker Street Funding /05 Called N N Mountain View Funding /06 Called N N Baker Street II 9/06 Amortizing N N Mountain View II 10/06 Amortizing N N Mountain View III 4/07 Amortizing N N Grand Horn 12/07 Called N N Mountain View /13 Reinvesting Y N Mountain View /14 Reinvesting Y N Mountain View IX Ltd. 5/15 Reinvesting Y N Mountain View X Ltd. 7/15 Reinvesting Y Y Originator Horizontal Mountain View /16 Reinvesting Y Y Originator C-MOA Horizontal Total 4,790 2,979 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Seix Investment Advisors LLC 245

250 Organizational Structure RidgeWorth Capital Management LLC a AUM USD39.0 Bil. RidgeWorth Investments AUM USD297.0 Mil. Ceredex Value Advisors AUM USD11.0 Bil. Seix Investment Advisors LLC AUM USD27.0 Bil. Silvant Capital Management AUM USD1.3 Bil. Capital Innovations b AUM USD7.0 Mil. WCM Investment Management b AUM USD69.0 Mil. Zevenbergen Capital Investments b AUM USD20.0 Mil. RidgeWorth International c Distribution Only No AUM a As of Jan. 31, Past performance is not indicative of future results. RidgeWorth Investments wholly owns Ceredex Value Advisors LLC, Seix Investment Advisors LLC and Silvant Capital Management LLC, and has a minority interest in Zevenbergen Capital Investments (ZCI). Capital Innovations and WCM Investment Management (WCM) are not affiliated with RidgeWorth Investments, RidgeWorth Funds nor RidgeWorth Distributors LLC. b Investment advisory services of Capital Innovations, WCM and ZCI are not available for promotion or sale by RidgeWorth International. c RidgeWorth International Ltd. is not an investment adviser and does not have any assets under management. It is a distribution channel for RidgeWorth Capital Management LLC and its wholly owned investment adviser subsidiaries. Seix Investment Advisors LLC 246

251 The Fitch View Key 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 and experience 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 financial services private equity firm. According to both the announcement press release and Fitch s communication with Seix, no material changes are expected for the CLO team as a result of this transaction. Completion of the sale is expected to occur in June Seix s investment affiliates include two boutiques, also wholly owned by RidgeWorth, and one minority-owned boutique, Zevenbergen Capital Management. Investment affiliates are Ceredex Value 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 the amount of experience the team has together, combined with a focus on collaboration and information sharing. Investment ideas typically are sourced from the industry analysts. The research team engages in bottom-up fundamental credit research to identify the strongest and most undervalued credits. Seix internally rates every investment. Ongoing surveillance of credits is performed at least quarterly. 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 credit research 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% relative to 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 a third reconciliation and for hypothetical trading scenarios. An internal team performs all loan settlements. The robust process has resulted in very good settlement 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. Seix Investment Advisors LLC 247

252 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 Profile Region(s) of Operation Address Firm Type 461 Fifth Avenue New York, NY Multistrategy asset management Year Established 1985 Assets Under Management USD30.8 Bil. Total Employees/Investment Professionals 127/49 Active CLOs Under Management 7 Current/Planned Risk Retention Structure Capitalized majority-owned affiliate (C-MOA) Dedicated Capital to Fund Risk Retention Not Reported Key Affiliates (Global) Independent Loan Management Profile Region(s) Leveraged Loan AUM USD6.5 Bil. Loans Managed via CLOs 47% CLO Team Leader(s) David Lerner, Jeffrey Gallo, Brian Goldberg CLO Portfolio Managers (PMs)/Avg. Experience 3/21 Years Credit Analysts, Non-PMs/Avg. Experience 22/10 Years Loan Team Credits Per Analyst (incl. PMs) 35 Approximate No. of Invested Credits 16 Loan Assets Under Management (USD Bil.) Shenkman Capital Management, Inc. 248

253 Total AUM By Asset Type CLOs 10.0% Structured Credit 2.0% Other 15.0% Broadly Syndicated Loans 11.0% Total AUM By Investor Type Other 53.0% CLO Investors 10.0% Insurance 14.0% High Yield Bonds 62.0% Pension/ Retirement 23.0% Loan AUM By Region Loan AUM By Product Type 100.0% Managed Accounts 49.0% CLOs 47.0% Managed Funds 4.0% CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Westbrook 12/06 Called N N Slater Mill 6/12 Amortizing N N Brookside Mill 5/13 Reinvesting N N Sudbury Mill 12/13 Reinvesting N N Washington Mill 5/14 Reinvesting N N Adams Mill 8/14 Reinvesting N N Jackson Mill 5/15 Reinvesting N N Jefferson Mill 7/15 Reinvesting N N Total 3,618 3,052 VR Volcker Rule. CCR European Capital Requirements Regulation. RR Risk retention. Shenkman Capital Management, Inc. 249

254 The Fitch View Key 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 are approved before investment decisions are made. Overall solid risk management framework and compliance functions. All critical operational functions are handled in-house with sufficient resources dedicated to these areas. Maintaining stability among key staff and preserving the talent pool amid increasing industry competition 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 and commingled funds. Segregated departments/teams with clear responsibilities for risk and control, investments and 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 of replication across all investment products. The credit research department is organized by industry specialty. From the initial coverage of a credit, all new investments are thoroughly researched, assigned an internal credit score and presented by the analyst to a formal credit committee. Proprietary C.Scope Score is used to assess an issuer s financial, structural and technical characteristics. Portfolio managers can only select investments from Shenkman s approved list and interact daily with the analysts and traders to monitor events and company-specific developments. Daily research and credit update meetings and modeling capabilities support the investment process 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, Markit ThinkFolio, Inforalgo Universal Viewer and Omgeo ALERT & OASYS. Shenkman Capital Management, Inc. 250

255 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 Profile Region(s) of Operation Address 375 Park Avenue, 33rd Floor New York, NY Firm Type 48 Dover Street, 1st Floor London, U.K. W1S 4FF Year Established 2008 Assets Under Management USD10.53 Bil. Total Employees/Investment Professionals a 54/28 Active CLOs Under Management a 14 Current/Planned Risk Retention Structure Dedicated Capital to Fund Risk Retention Key Affiliates (Global) a As of Jan. 31, Multistrategy asset management Majority-owned affiliate (MOA) Not Reported Stone Point Capital Affiliate Loan Management Profile Region(s) Leveraged Loan AUM Loans Managed via CLOs USD9.71 Bil. a 80% a CLO Team Leader(s) Rick Richert, Renée Gallizzo, Mort Haque CLO Portfolio Managers (PMs)/Avg. Experience 4/18 Years Credit Analysts, Non-PMs/Avg. Experience 11/11 Years Loan Team Credits Per Analyst (including PMs) 55 Approximate No. of Invested Credits b 550 a As of Jan. 31, b As of Feb. 28, Loan Assets Under Management (USD Bil.) Sound Point Capital Management, LP 251

256 Total AUM By Asset Type a Total AUM By Investor Type a Broadly Syndicated Loans 90.3% Other 4.2% b High Yield Bonds 5.6% CLO Investors 79.7% Pension/ Retirement 9.2% Otherb 11.2% a As of Jan. 31, b Includes structured credit, at 0.1%, and CLOs, at 2.4%. Loan AUM By Region a 100% a As of Jan. 31, b Includes endowment, at 3.7%. Loan AUM By Product Type a Managed Funds 11.8% CLOs 67.3% Managed Accounts 20.9% a As of Jan. 31, a As of Jan. 31, Credit Committee Experience (Years) Name Title Role Firm Industry Stephen Ketchum Managing Partner CIO 8 25 Rick Richert Portfolio Manager PM 6 22 Murtaza Haque Portfolio Manager/Senior Credit Analyst PM 5 17 CLOs Under Management Portfolio Balance Compliance (USD Mil.) EU RR RR Form Name Pricing Status Original Current VR CRR Method Method of RR Sound Point CLO I 9/12 Amortizing Y N Sound Point CLO II 3/13 Reinvest Y N Sound Point CLO III 6/13 Reinvest Y N Sound Point CLO IV 11/13 Reinvest Y N Sound Point CLO V 3/14 Reinvest Y N Sound Point CLO VI 7/14 Reinvest Y N Sound Point CLO VII 11/14 Reinvest Y N Sound Point CLO VIII 3/15 Reinvest Y N Sound Point CLO IX 5/15 Reinvest Y N Sound Point CLO X 12/15 Reinvest Y N Sound Point CLO XI 5/16 Reinvest Y N MOA Horizontal Sound Point CLO XII 8/16 Reinvest Y N Sound Point CLO XIV 11/16 Reinvest Y N MOA Horizontal Sound Point CLO XV 2/17 Ramp Up Y N MOA Horizontal Total 7,645 7,498 VR Volcker Rule. CRR European Capital Requirements Regulation. RR Risk retention. Sound Point Capital Management, LP 252

257 Sound Point Capital Management, LP 253

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