CLO Asset Manager Handbook. April 2016 Fifth Edition

CLO Asset Manager Handbook April 2016 Fifth Edition

Key Contacts Fund and Asset Manager Ratings Alastair Sewell Senior Director +44 20 3530-1147 alastair.sewell@fitchratings.com Russ Thomas Director +1 312 368-3189 russ.thomas@fitchratings.com Structured Credit Kevin Kendra Managing Director +1 212 908-0760 kevin.kendra@fitchratings.com Matthias Neugebauer Managing Director +44 20 3530-1099 matthias.neugebauer@fitchratings.com Derek Miller Managing Director +1 312 368-2076 derek.miller@fitchratings.com Leveraged Finance Michael Simonton Managing Director +1 312 368-3138 michael.simonton@fitchratings.com Michael Paladino Managing Director +1 212-908-9113 michael.paladino@fitchratings.com Sharon Bonelli Senior Director +1 212 908-0581 sharon.bonelli@fitchratings.com Business and Relationship Management Jill Zelter Managing Director +1 212 908-0774 jill.zelter@fitchratings.com Andrew Cormack Senior Director +44 20 3530-1320 andrew.cormack@fitchratings.com Winnie Fong, CFA Senior Director +1 212 908-9139 winnie.fong@fitchratings.com Greg Hiltebrand Director +1 312 368-5448 greg.hiltebrand@fitchratings.com

Welcome to the fifth edition of Fitch Ratings CLO Asset Manager Handbook. This edition includes profile reports for 69 CLO managers, with all data and information presented in a standardized format as of YE15. 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 U.S. managers self-described risk retention strategies. Additionally, the customary CLOs Under Management tables now also display CLOs anticipated compliance with U.S. risk retention along with Volcker and CRR compliance status. In the case of 61 managers, our Fund and Asset Manager Ratings and Structured Credit teams 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 1H17, based on data as of YE16. If you have any suggestions or comments or if you are a manager that would like to participate in the next edition please email clo.research@fitchratings.com. Note: CLO managers provided the information contained in their respective profile reports. All data are as of Dec. 31, 2015 unless otherwise specified. CLOs priced after Dec. 31, 2015 are not listed. Numbers may not add due to rounding. CLO Asset Manager Handbook i

ii CLO Asset Manager Handbook

Manager Profile 3i Debt Management Group... 5 40 86 Advisors, Inc... 11 Alcentra... 15 Allianz Global Investors... 21 American Money Management Corporation... 27 Anchorage Capital Group, L.L.C... 31 Apex Credit Partners LLC... 35 Apollo Global Management, LLC... 39 Ares Management LLC... 45 Arrowpoint Asset Management, LLC... 53 AXA Investment Managers S.A... 57 Babson Capital Management LLC... 63 Bain Capital Credit, LP... 69 Ballyrock Investment Advisors LLC... 75 BlackRock, Inc... 79 BlueMountain Capital Management, LLC... 83 BNP Paribas Investment Partners... 87 Cairn Loan Investments LLP... 91 Carlyle Group, The... 97 Chenavari Investment Managers... 105 CIFC Asset Management LLC... 109 Commerzbank Debt Fund Management... 115 CQS Investment Management Limited... 119 Credit Suisse Asset Management, LLC... 123 Crescent Capital Group LP... 129 Crestline Denali Capital, L.P... 133 CVC Credit Partners, LP... 137 Fortress Investment Group LLC... 143 GLG Partners LP... 147 GoldenTree Asset Management, LP... 151 GSO / Blackstone Debt Funds Management LLC... 157 Guggenheim Investments... 165 Halcyon Loan Management LLC... 171 HarbourView Asset Management Corporation... 175 Highbridge Principal Strategies, LLC... 179 Highland Capital Management, L.P... 183 Insight Investment... 187 Intermediate Capital Group... 191 KKR Credit Advisors (US) LLC... 197 Kramer Van Kirk Credit Strategies LP... 203 LCM Asset Management LLC... 207 Loomis, Sayles & Company, L.P... 213 Marathon Asset Management, LP... 217 MidOcean Credit Fund Management LP... 221 Monroe Capital, LLC... 225 Neuberger Berman Group LLC... 231 NewStar Financial, Inc... 237 NXT Capital Investment Advisers, LLC... 243 NYL Investors LLC... 247 Oak Hill Advisors, L.P... 251 Oaktree Capital Management, L.P... 257 Och-Ziff Loan Management LP... 263 Octagon Credit Investors, LLC... 269 Palmer Square Capital Management LLC... 275 PineBridge Investments LLC... 279 Prudential Fixed Income... 285 Rothschild Group... 291 Seix Investment Advisors LLC... 297 Silvermine Capital Management LLC... 303 Sound Harbor Partners LLC... 309 Sound Point Capital Management, LP... 315 Steele Creek Investment Management... 321 Symphony Asset Management LLC... 325 THL Credit Senior Loan Strategies LLC... 329 Tikehau Capital Europe Limited... 335 Triumph Capital Advisors, LLC... 341 Valcour Capital Management LLC... 345 Voya Investment Management Co. LLC... 349 ZAIS Group, LLC... 355 CLO Asset Manager Handbook iii

iv CLO Asset Manager Handbook

3i Debt Management Group 3i Group plc consists of three business lines: private equity, infrastructure and debt management. 3i Debt Management Group (3iDM) was established in February 2011 following the acquisition of the Mizuho Investment Management European debt platform; 3iDM s U.S. operations were established in August 2012 following a strategic transaction with WCAS Fraser Sullivan. As of Dec. 31, 2015, 3iDM s U.S. and European entities had a combined $11.5 billion in global assets under management (AUM). 3 Manager Profile Address 16 Palace Street, London, SW1E 5JD, U.K. 60 E. 42nd Street, 41st Floor, New York, NY 10165, U.S. Website www.3i.com Year Founded Europe: 2011 (predecessor firm founded 2004) U.S.: 2012 (predecessor firm founded 2005) Ownership Structure Multistrategy asset management firm Parent(s) 3i Group plc Key Affiliate(s) N.A. Investment Profile Global Firm No. of Employees No. of Portfolio Managers AUM 46 (29 Europe/17 U.S.) Seven (Three Europe/Four U.S.) $11.5 Bil. Leveraged Loans Only No. of Employees 46 (29 Europe/17 U.S.) No. of Portfolio Managers Seven (Three Europe/Four U.S.) AUM $10.5 Bil. No. of Invested Credits Approximately 550 (220 Europe/330 U.S.) Credits per Analyst 37 U.S. CLOs (No./AUM) 12/$5.2 Bil. European CLOs (No./AUM) 17/ 4.6 Bil. U.S. Loans Managed via CLOs 94% European Loans Managed via CLOs 89% N.A. Not applicable. U.S. CLO Risk Retention Strategy Preferred Form of Interest Preferred Structure Overall Self-Described Risk Retention Strategy Varying on a deal-by-deal basis Varying on a deal-by-deal basis 3iDM is part of the 3i Group plc. The 3i Group is committed to ensuring that its CLO issuance activity can continue under current and soon-to-be-implemented regulatory requirements. 3i Group companies have been purchasing sufficient equity in 3iDM s European CLOs to comply with European risk retention regulations since the implementation of such regulations in 2013. Starting in 2015, 3i Group companies have begun investing sufficient capital in 3iDM s U.S. entity to demonstrate the ability to comply with U.S. risk retention regulations when they become effective in December 2016. Although the 3i Group has been lending risk retention investments in this way, the debt management team is working with several thirdparty investors to establish a risk retention platform that would combine 3iDM and third-party capital to support risk retention compliant 3iDM-managed CLO issuance for the foreseeable future. 3i Debt Management Group 5

3 Global Assets Under Management (As of Dec. 31, 2015) Global Assets Under Management 12 10 8 6 4 2 0 ($ Bil.) 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Breakdown by Asset Type Breakdown by Region High Yield Bonds 4.1% CLOs 1.0% Other 4.0% U.S. 48.2% Europe 51.8% Syndicated Loans 90.9% Breakdown by Product Type Breakdown by Investor Type Managed Funds 5.6% Managed Accounts 0.2% Other 4.0% Other 9.8% CLOs 90.2% CLO Investors 90.2% Source: 3i Debt Management Group. 6 3i Debt Management Group

U.S. Credit Committee Experience (Years) Name Title Role Company Industry John Fraser Managing Partner CIO 11 25 David Endler Portfolio Manager Portfolio Manager 11 19 David Nadeau Portfolio Manager Portfolio Manager 11 24 Matthew Sosland Portfolio Manager Portfolio Manager 11 18 3 European Credit Committee Experience (Years) Name Title Role Company Industry Jeremy Ghose Managing Partner CEO 10 30 Peter Goody COO COO 8 21 Neil Rickard Head of Credit/Portfolio Manager Head of Credit/Portfolio Manager 10 18 David Stanbrook Senior Credit Analyst Credit Analyst 5 24 U.S. CLOs Under Management Portfolio Balance ($ Mil.) Issue Size ($ Mil.) Compliance Name Pricing Status Target Current Original Current Volcker CRR U.S. RR a Fraser Sullivan CLO I 3/06 Called 500 0 500 0 No No No Fraser Sullivan CLO II 12/06 Amortizing 500 115 500 138 No No No COA Caerus CLO 12/07 Amortizing 240 163 240 141 No No No COA CLO Financing 1/09 Called 322 0 262 0 No No No COA Tempus CLO 4/10 Called 525 0 513 0 No No No Fraser Sullivan CLO V 2/11 Called 400 0 401 0 No No No Fraser Sullivan CLO VI 11/11 Called 400 0 409 0 No No No Fraser Sullivan CLO VII 4/12 Amortizing 450 406 459 380 Yes No No Jamestown I CLO 11/12 Revolving 450 444 461 461 Yes No No Jamestown II CLO 2/13 Revolving 500 496 510 510 Yes No No Jamestown III CLO 12/13 Revolving 501 494 516 516 No No No COA Summit CLO 3/14 Amortizing 400 337 334 334 Yes No No Jamestown IV CLO 6/14 Revolving 600 585 618 618 Yes No No Jamestown V CLO 12/14 Revolving 400 392 411 411 Yes No No Jamestown VI CLO 2/15 Revolving 750 749 760 760 Yes No No Jamestown VII CLO 8/15 Revolving 500 501 511 511 Yes No Yes Jamestown VIII CLO 12/15 Revolving 505 504 504 504 Yes No Yes Total 7,943 5,186 7,991 5,284 a Anticipated U.S. Risk Retention compliant. Note: Numbers may not add due to rounding. 3i Debt Management Group 7

3 European CLOs Under Management Portfolio Balance ( Mil.) Issue Size ( Mil.) Compliance Name Pricing Status Target Current Original Current Volcker CRR Harvest I 4/04 Amortizing 500 8 514 60 No No Petrusse 6/04 Amortizing 292 3 295 27 No No Alzette 12/04 Called 360 0 362 0 No No Harvest II 4/05 Amortizing 540 42 540 91 No No Harvest III 4/06 Amortizing 650 157 650 209 No No Harvest IV 6/06 Amortizing 750 323 750 355 No No Garda 1/07 Amortizing 350 126 358 144 No No Coniston 2/07 Amortizing 400 182 409 198 No No Harvest V 4/07 Amortizing 632 415 632 451 No No Axius 10/07 Amortizing 347 162 350 181 No No Windmill 10/07 Amortizing 500 350 500 368 No No Harvest VII 9/13 Revolving 300 302 310 310 No Yes Harvest VIII 2/14 Revolving 412 414 425 425 No Yes Harvest IX 7/14 Revolving 508 509 525 525 Yes Yes Harvest X 11/14 Revolving 450 452 467 467 Yes Yes Harvest XI 3/15 Revolving 400 401 415 415 Yes Yes Harvest XII 8/15 Revolving 400 401 413 413 Yes Yes Harvest XIV 11/15 Revolving 400 402 414 414 Yes Yes Total 8,191 4,647 8,328 5,053 Note: Numbers may not add due to rounding. Organizational Structure 3i Group plc 100% 100% Intermediate 3i Subsidiaries 3i Debt Management Ltd 100% 100% 3i Debt Management US LLC 3iDM US 3i Debt Management Investments Ltd 3iDM Europe 8 3i Debt Management Group

The Fitch View Key Considerations Established and institutionalized leveraged loan management platform with long track record. Benefits from the substantial scale and resources of its strong and stable parent, 3i Group plc. Experienced team with a long track record of successful CLO issuance and administration. Senior management averages 20 years of relevant investment experience and has worked together for almost a decade. A continuing challenge for 3iDM will be to manage potential conflicts of interest by maintaining the company s effective wall of separation between the CLO platform and 3i Group plc s private equity business. Company 3iDM in its current form results mainly from the acquisition of the Mizuho Investment Management European debt platform in 2011, the acquisition of five European CLOs from Invesco in 2012 and a strategic U.S.-based transaction with WCAS Fraser Sullivan in 2012. 3iDM (and its predecessors) has been managing European CLOs since 2004 and U.S. CLOs since 2006. New CLO issuance represents an important part of 3i Group plc s corporate strategy to grow third-party income along with loan funds. 3i Group plc has a global presence with three distinct investment businesses: private equity; infrastructure focused on utilities, transportation and social infrastructure; and debt management. All portfolio management, credit analysis and loan operations functions are conducted in-house, with non-investment-related functions like human resources, information technology and back-office operations handled by 3i Group plc. Investments Focus is on broadly syndicated loans, specifically companies with EBITDA of greater than $50 million and facilities greater than $300 million, with strong management teams. Predominantly senior debt. Formalized investment process based on bottom-up fundamental credit selection conducted by an analyst team organized by sector and geography. Credit analysis formalized in internal ratings and short memos of sufficient quality. Credit buy and sell decision (and material waivers) approved by investment committee of four. Minutes of credit committee decision documented. Strong market access capacity via 3iDM s established position in leveraged loans. Controls Risk oversight effected via 3i Group plc s compliance, internal audit and committee structures (group risk committee, conflict committee and audit and compliance committee). Strong focus on compliance from being publicly listed and registered; Global Investment Performance Standards compliant. 3iDM has various compliance and governance processes in place to support accuracy of trading, portfolio management and administration functions. Operations Operational procedures are sound, supported by fund administration team of four and industry-standard tools such as Wall Street Office (WSO) for loan/clo administration. Scalability of processes demonstrated through integration of previously acquired CLOs and new mandates to 3iDM s platform. Daily cash and weekly position reconciliations with the trustee. Technology Appropriate blend of third-party and proprietary systems used, including WSO and Everest, integrated via a proprietary data warehouse. Technology and systems support is managed and maintained by parent company, which also provides appropriate disaster recovery services. External data feeds for pricing (Markit and Bloomberg) integrated to WSO and Everest. 3 3i Debt Management Group 9

3 10 3i Debt Management Group

40 86 Advisors, Inc. Founded in 1981, 40 86 Advisors, Inc. (40 86) is a wholly owned subsidiary of CNO Financial Group, Inc. (CNO). As of Dec. 31, 2015, 40 86 had approximately $25.5 billion in assets under management (AUM) across a wide range of fixed-income securities, including structured finance bonds, investment-grade and high-yield corporate bonds, bank loans, commercial mortgage loans and government securities. 40 86 mainly serves insurance companies; it also manages six CLOs that invest in broadly syndicated loans. Manager Profile 4 Address Website 535 N. College Drive, Carmel, IN 46032, U.S. www.4086.com Year Founded 1981 Ownership Structure Parent(s) Key Affiliate(s) Multistrategy asset management firm CNO Financial Group, Inc. (NYSE: CNO) CreekSource, LLC Investment Profile Global Firm No. of Employees 75 No. of Portfolio Managers AUM Three $25.5 Bil. Leveraged Loans Only No. of Employees No. of Portfolio Managers AUM No. of Invested Credits Credits per Analyst U.S. CLOs (No./AUM) European CLOs (No./AUM) Five One $1.9 Bil. 172 a 23 a Six/$1.9 Bil. Zero/ 0 U.S. Loans Managed via CLOs 88% European Loans Managed via CLOs N.A. a Leveraged loans only, across all vehicles. N.A. Not applicable. U.S. CLO Risk Retention Strategy Preferred Form of Interest Preferred Structure Overall Self-Described Risk Retention Strategy Horizontal interests Majority-owned affiliate of manager 40 86 Advisors affiliate, CreekSource, is a capitalized manager and serves as: Collateral Manager: anagement fees from collateral management agreement used to pay sub-advisory fees and company-related expenses Trade decisions executed based on information provided by the sub-advisor. Retention Holder: Minimum equity investment of 5% of total issuance. Loan Origination: Maintain 5% minimum of CLO portfolio sourced from CreekSource. Loans are seasoned for 10 business days and sold at the offer price, with CreekSource taking price and credit risk origination fee paid by CLO used to cover trading expenses. 40 86 Advisors, Inc. 11

4 Global Assets Under Management (As of Dec. 31, 2015) Global Assets Under Management 35 30 25 20 15 10 5 0 ($ Bil.) 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Breakdown by Asset Type Middle Market Loans 6.5% CLOs 0.7% Syndicated Loans 6.7% Structured Products Other 26.8% High Yield Bonds 2.6% Investment Grade Bonds 40.2% 16.5% Note: Other includes municipal bonds, commercial mortgage, emerging markets, equities, alternatives and cash. Breakdown by Region Other 14.4% Europe 5.9% U.S. 79.7% Breakdown by Product Type CLOs 7.3% Breakdown by Investor Type CLO Investors 6.3% FHLB Program 5.5% CNO HoldCo 1.3% Managed Accounts 92.7% FHLB Federal Home Loan Banks. Insurance 85.9% Source: 40 86 Advisors, Inc. 12 40 86 Advisors, Inc.

U.S. Credit Committee Experience (Years) Name Title Role Company Industry Eduardo Piedra Vice President Bank Loans and CLOs 8 19 Matt Hall Senior Vice President Head of Credit Research 9 18 Bryan Higgins Associate Vice President Bank Loan Trader 17 17 4 U.S. CLOs Under Management Portfolio Balance ($ Mil.) Issue Size ($ Mil.) Compliance Name Pricing Status Target Current Original Current Volcker CRR U.S. RR a SERVES 1999-4 8/99 Matured 600 0 600 0 No No N.A. SERVES 2001-3 6/01 Matured 300 0 300 0 No No N.A. Fall Creek CLO, Ltd. 9/05 Called 500 0 500 0 No No N.A. Eagle Creek CLO, Ltd. 2/06 Amortizing 288 58 300 75 No No N.A. Mill Creek CLO, Ltd. 12/11 Amortizing 270 268 275 275 Yes No N.A. Sugar Creek CLO, Ltd. 5/12 Revolving 276 276 284 284 Yes No N.A. Cedar Creek CLO, Ltd. 3/13 Revolving 400 400 413 413 Yes No N.A. Silver Creek CLO, Ltd. 7/14 Revolving 350 350 363 363 Yes No N.A. Bean Creek CLO, Ltd 12/15 Revolving 300 201 306 306 Yes No N.A. Total 3,284 1,552 3,341 1,715 a Anticipated U.S. Risk Retention compliant. Note: Numbers may not add due to rounding. Organizational Structure CNO Financial Group 40 86 Advisors CreekSource Washington National Bankers Life and Casualty Company Colonial Penn Life Insurance Company 40 86 Advisors, Inc. 13

4 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 16 CDOs/CLOs since 1996. Committee process is ad hoc rather than formalized. However, investment approval typically requires unanimous consent from team members. Company 40 86 is the investment arm and wholly owned subsidiary of CNO, a publicly traded insurance company with approximately $25.5 billion in AUM as of Dec. 31, 2015. In anticipation of upcoming CLO risk retention rules, CNO has formed CreekSource, LLC, a majority-owned affiliate, alongside 40 86, to hold the retention interest (CLO equity) and related payments on future CLOs. CreekSource, LLC is wholly owned by affiliates of CNO. Senior members of the bank loan team average 17 years of industry experience. CLO platform head Eduardo Piedra has eight 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 four members dedicated to bank loan trading and management of the CLO portfolios. Credit research has 10 members covering an average of 28 high-yield credits and 51 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 a three-tier system designed to capture obligor performance volatility. The team has four specialists dedicated to working out distressed credits. The loan portfolio has experienced an annualized default rate of 2.0% since 2008. Controls Strong oversight provided by parent CNO, including annual internal audits and risk assessments of all essential investment management functions. 40 86 has been an SEC-registered investment adviser since 1982. An SEC review was conducted in February 2012; no material findings were reported. 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. 40 86 currently averages between four and 15 business days to settlement for par loans. Technology Disaster recovery and business continuity plans are well documented and tested quarterly. The IT platform is fully integrated through central databases where portfolio records, analytics and live market data are stored. 40 86 has access to multiple third-party analytical tools, including Intex, Yield Book, IDC, Markit and rating agency data feeds and research subscriptions. 14 40 86 Advisors, Inc.

Alcentra Alcentra NY, LLC and Alcentra Ltd. (together, Alcentra) are wholly owned subsidiaries of The Bank of New York Mellon Corporation (BNY). Alcentra is a specialist manager of sub-investment-grade debt; it manages strategies across senior-secured loans, high-yield bonds, structured credit, direct lending, special situations and multistrategy credit. As of Dec. 31, 2015, Alcentra had approximately $27.8 billion in assets under management (AUM), including approximately $11.8 billion in CLO assets. Manager Profile Address Website Year Founded Ownership Structure Parent(s) Key Affiliate(s) 10 Gresham Street, London EC2V 7JD, U.K. 200 Park Avenue, New York, NY 10166, U.S. www.alcentra.com 2006 (Alcentra NY, LLC U.S. operations) 2002 (Alcentra Ltd. European operations) Multistrategy asset management firm The Bank of New York Mellon Corporation N.A. A Investment Profile Global Firm No. of Employees 128 No. of Portfolio Managers Nine AUM $27.8 Bil. Leveraged Loans Only No. of Employees 113 No. of Portfolio Managers Two AUM $19.9 Bil. No. of Invested Credits 523 Credits per Analyst Approximately 25 U.S. CLOs (No./AUM) 16/$5.0 Bil. European CLOs (No./AUM) 18/ 6.2 Bil. U.S. Loans Managed via CLOs 69% European Loans Managed via CLOs 72% N.A. Not applicable. U.S. CLO Risk Retention Strategy Preferred Form of Interest Vertical interests Preferred Structure Majority-owned affiliate of manager Overall Self-Described Risk Retention Strategy With the introduction of risk retention rules in Europe in 2013, Alcentra NY s affiliate, Alcentra Ltd., has taken 5% vertical strips in its five European CLOs. These interests will be held for the life of the deal. When risk retention becomes required in the U.S., Alcentra fully expects to achieve compliance under a similar approach. Ultimately, Alcentra may choose to finance a portion of the risk retention capital; however, it is unlikely to be the first to test financing strategies and will likely wait for confirmation of acceptance of these structures in both the marketplace and with regulators. Risk retention compliance is not expected to materially change Alcentra s business model or investment strategy. Alcentra 15

Global Assets Under Management (As of Dec. 31, 2015) A Global Assets Under Management ($ Bil.) 30 25 20 15 10 5 0 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Breakdown by Asset Type CLOs 13.8% Special Situations 0.8% Multistrategy 2.8% Breakdown by Region High Yield Bonds 11.1% Middle Market Loans 12.9% Syndicated Loans 58.5% U.S. 47.8% Europe 52.2% Breakdown by Product Type Breakdown by Investor Type Managed Accounts 14.9% Insurance 4.0% Other 11.2% Endowment 0.3% CLOs 42.4% Pension/ Retirement 23.3% CLO Investors 42.4% Managed Funds 42.7% Banks 18.7% Source: Alcentra. U.S. Credit Committee Experience (Years) Name Title Role Company Industry Paul Hatfield Global Chief Investment Officer Global Chief Investment Officer 13 30 William Lemberg Managing Director Head of U.S. Loans 8 29 Kevin Cronk Managing Director Head of U.S. Research 3 20 Frank Longobardi Managing Director Deputy Total Return Portfolio Manager 13 19 Edward Vietor Senior Vice President Deputy CLO Portfolio Manager 8 17 16 Alcentra

European Credit Committee Experience (Years) Name Title Role Company Industry David Forbes-Nixon CEO/Chairman CEO/Chairman 13 29 Paul Hatfield Global Chief Investment Officer Global Chief Investment Officer 13 30 Graham Rainbow Managing Director Senior Loan Portfolio Manager 7 23 Kevin Lennon Managing Director Head of European Research 13 26 Joanna Layton Executive Director Deputy Head of European Research 11 16 Russell Holliday Executive Director Deputy Loan Portfolio Manager 2 15 A U.S. CLOs Under Management Portfolio Balance ($ Mil.) Issue Size ($ Mil.) Compliance Name Pricing Status Target Current Original Current Volcker CRR U.S. RR a Pacifica CDO II 7/03 Matured 297 0 302 0 N.P. N.P. N.P. Pacifica CDO III 5/04 Matured 367 0 375 0 N.P. N.P. N.P. Veritas CLO I b 8/04 Called 300 0 308 0 N.P. N.P. N.P. Pacifica CDO IV 12/04 Called 300 0 310 0 N.P. N.P. N.P. Prospero CLO I b 4/05 Amortizing 298 1 306 0 N.P. N.P. N.P. One Wall Street CLO I c 11/05 Amortizing 295 1 305 0 N.P. N.P. N.P. Westwood CDO I 1/06 Amortizing 450 327 463 301 N.P. N.P. N.P. Pacifica CDO V 1/06 Matured 484 0 500 0 N.P. N.P. N.P. Veritas CLO II b 6/06 Amortizing 325 105 334 112 N.P. N.P. N.P. Pacifica CDO VI 8/06 Amortizing 485 362 500 313 N.P. N.P. N.P. Prospero CLO II b 10/06 Amortizing 389 132 402 138 N.P. N.P. N.P. One Wall Street CLO II c 3/07 Amortizing 389 104 400 105 N.P. N.P. N.P. Archstone II 3/07 Called N.P. 0 174 0 N.P. N.P. N.P. Westwood CDO II 4/07 Amortizing 339 227 350 216 N.P. N.P. N.P. Shackleton CLO I 9/12 Revolving 391 393 404 400 N.P. N.P. N.P. Shackleton CLO II 11/12 Revolving 391 393 406 401 Yes N.P. N.P. Shackleton CLO III 3/13 Revolving 500 503 521 520 Yes N.P. N.P. Shackleton CLO IV 12/13 Revolving 423 426 439 439 Yes N.P. N.P. Shackleton CLO V 5/14 Revolving 600 602 627 623 Yes N.P. N.P. Shackleton CLO VI 7/14 Revolving 500 501 518 518 Yes N.P. N.P. Shackleton CLO VII 3/15 Revolving 500 501 508 508 Yes N.P. N.P. Shackleton CLO VIII 8/15 Revolving 430 443 443 443 Yes N.P. N.P. Total 8,453 5,000 8,895 5,036 a Anticipated U.S. Risk Retention compliant. b Legacy Rabobank transaction; acquired by Alcentra in 2009. c Legacy Hamilton Loan Asset Management transaction; acquired by Alcentra in 2008. N.P. Not provided. Note: Numbers may not add due to rounding. Alcentra 17

European CLOs Under Management A Portfolio Balance ( Mil.) Issue Size ( Mil.) Compliance Name Pricing Status Target Current Original Current Volcker CRR Jubilee CDO I 3/02 Called 540 0 540 0 N.P. N.P. Jubilee CDO II 6/02 Matured 471 0 471 0 N.P. N.P. Jubilee CDO III 12/03 Matured 350 0 350 0 N.P. N.P. Hamlet 3/05 Called 300 0 300 0 N.P. N.P. Jubilee CDO V 5/05 Amortizing 550 250 550 250 N.P. N.P. Jubilee CDO IV 7/05 Amortizing 410 93 410 93 N.P. N.P. Wood Street CLO I 9/05 Amortizing 460 185 460 185 N.P. N.P. Wood Street CLO II 2/06 Amortizing 400 161 400 161 N.P. N.P. Wood Street CLO III 5/06 Amortizing 550 316 550 316 N.P. N.P. Jubilee CDO VI 7/06 Amortizing 400 233 400 233 N.P. N.P. Jubilee CDO VII 10/06 Amortizing 500 194 500 194 N.P. N.P. Wood Street CLO IV 12/06 Amortizing 550 306 550 306 N.P. N.P. Jubilee CDO I-R 3/07 Amortizing 900 768 900 768 N.P. N.P. Wood Street CLO V 5/07 Amortizing 500 456 500 456 N.P. N.P. Wood Street CLO VI 8/07 Amortizing 326 282 326 282 N.P. N.P. Jubilee CDO VIII 12/07 Amortizing 360 306 360 306 N.P. N.P. ECF Financing CLO B.V. 3/08 Called 380 0 380 0 N.P. N.P. Jubilee CDO IX a 6/08 Called 372 0 372 0 N.P. N.P. Silver Birch CLO B.V. b 6/08 Matured 300 0 300 0 N.P. N.P. Jubilee CLO 2013-X B.V. 7/13 Revolving 400 392 400 392 N.P. Yes Jubilee CLO XI 1/14 Revolving 413 403 413 403 N.P. Yes Jubilee CLO XII 7/14 Revolving 513 502 513 502 N.P. Yes Jubilee CLO XIV 9/14 Revolving 567 550 567 550 N.P. Yes Jubilee XV 4/15 Revolving 451 450 438 450 N.P. Yes Jubilee XVI 11/15 Revolving 413 400 413 400 N.P. Yes Total 11,376 6,247 11,363 6,247 a Merged into Jubilee CLO 2013-X B.V. b Originated by West LB; acquired by Alcentra in June 2010. N.P. Not provided. Note: Numbers may not add due to rounding. 18 Alcentra

Organizational Structure The Bank of New York Mellon Corporation A 100% BNY Alcentra Group Holdings, Inc. (Delaware) 100% 100% 100% Alcentra Asset Management Limited European Investment Activities Alcentra NY, LLC U.S. Investment Activities Alcentra Investments Limited Bermuda Investment Activities 100% Alcentra Limited (U.K. and Wales) Fund Management Activities Alcentra 19

A The Fitch View Key Considerations Specialized global credit asset manager with long track record, substantial CLO AUM and beneficial support of owner, BNY. Tenured and experienced professional team at all levels, demonstrating stability over time. Retaining sufficient depth of credit resources given the increased workload as Alcentra expands further into direct lending, which is more credit research intensive, especially during the initial ramp-up phase of funds. Willingness to continue diversifying Alcentra s asset base away from CLOs, raising additional assets and developing new product lines in uncertain market conditions. Company Established in 2002 via BNY Alcentra Group Holdings, Inc., Alcentra is a specialist sub-investmentgrade asset manager, 100% owned by its parent, BNY. Well capitalized, exhibiting robust financial performance with stable, term-financed asset base. Investment staff averages approximately 14 years of experience, with senior portfolio managers (PMs) possessing on average over 23 years experience. Diversified investor base (across investor types and regions), with good access to loan markets due to size, track record and experience within the industry. Investments Two-step credit selection process consisting of a prescreening phase and a full due diligence phase. Credits are then presented to a credit committee. Credit analysts allocated by sector, region and specialization. All analysts cover across the capital structure, meaning each analyst covers both high yield and loans. Presence of a dedicated workout specialist and a dedicated in-house lawyer, complemented by knowledge and experience of senior management and analysts. Relative value assessed through price feeds and judgments, formalized at the credit committee. Position sizing and portfolio diversification are at the discretion of the PM. Sell decisions are based purely on analysis of the underlying credit and recovery potential. Controls Monthly credit risk monitoring formalized via credit, liquidity and recovery internal ratings, the maintenance of a watchlist and quarterly full portfolio reviews. An independent monthly risk committee formalizes the risk management process. The risk committee discusses all risk and control issues facing the company, projects and funds, and can escalate issues to the Alcentra Ltd. board. Disciplined committee-based credit process, with PMs taking final investment responsibility. Public/private data issues managed in accordance with defined policies and compliance oversight. Oversight is provided by a team of nine risk and compliance professionals, including a dedicated risk manager and a chief compliance officer at Alcentra. Alcentra is audited by BNY s internal audit function biennially. Operations Administration based on Wall Street Office (WSO), which benefits from two-way flows to the front-office system, Everest. Scalability of processes demonstrated through integration of previously acquired CLOs and new mandates to Alcentra s platform. Loans are traded by the PM and an experienced trader. Trades have to be reviewed by the operations team before execution. Aged loan settlements are reviewed and monitored on a regular basis, with defined escalation procedures. Technology Everest, the front-office system, integrates the front-to-back-office trading and portfolio management systems. WSO, the back-office system, is used as a data repository. Intex is used to provide analysis on the entire European CLO universe. External data feeds for pricing (Markit, IDC) integrated to WSO (via WSO Fax) and Everest. 20 Alcentra

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, 2015, AllianzGI had approximately $480 billion in global assets under management (AUM), with a high diversity in both strategies and investor base. The income and growth team is responsible for overseeing CLOs, in addition to investments in high-yield bonds, fixed income and equity. The team has issued six CLOs since 2000. A Manager Profile Address Website Year Founded Ownership Structure Parent(s) Key Affiliate(s) 1633 Broadway, New York, NY 10019, U.S. a www.allianzgi.com 1895 (Allianz SE) 2012 (Allianz Global Investors) Multistrategy asset management firm Allianz SE (ultimate parent) Refer to Organizational Structure diagram Investment Profile Global Firm No. of Employees 622 No. of Portfolio Managers 51 AUM $480 Bil. Leveraged Loans Only No. of Employees 15 No. of Portfolio Managers Four AUM $1.6 Bil. No. of Invested Credits N.P. Credits per Analyst N.P. U.S. CLOs (No./AUM) Four/$1.6 Bil. European CLOs (No./AUM) Zero/ 0 U.S. Loans Managed via CLOs 100% European Loans Managed via CLOs N.A. a U.S. headquarters. N.P. Not provided. N.A. Not applicable. U.S. CLO Risk Retention Strategy Preferred Form of Interest Preferred Structure Overall Self-Described Risk Retention Strategy Not provided Not provided As with all applicable regulations, AllianzGI intends to fully comply with all aspects of the final Risk Retention Rule upon its implementation. Allianz Global Investors 21

Global Assets Under Management (As of Dec. 31, 2015) A Global Assets Under Management ($ Bil.) 500 400 300 200 100 0 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Breakdown by Asset Type Breakdown by Region High Yield Bonds 2.4% Other 2.6% Equity 34.5% CLOs 0.3% Other Structured Products 0.8% Balanced 25.0% U.S. 17.1% Other 6.7% Fixed Income 34.3% Europe 76.2% Breakdown by Product Type Breakdown by Investor Type Other 46.5% CLOs 0.3% Managed Funds 53.1% Other 51.2% CLO Investors 0.3% Insurance 36.7% Pension/ Retirement Banks 10.7% 1.0% Note: Other asset type includes infrastructure investments, money market and other alternative. Fixed income asset type excludes syndicated loans, middle market loans, high yield bonds, investment grade bonds and CLOs. Source: Allianz Global Investors. 22 Allianz Global Investors

U.S. Credit Committee Experience (Years) Name Title Role Company Industry William (Brit) L. Stickney Managing Director Lead Portfolio Manager CLOs 16 26 Douglas G. Forsyth Managing Director Portfolio Manager, CIO Fixed Income 21 23 Justin M. Kass Managing Director Portfolio Manager 15 17 Michael E. Yee Managing Director Portfolio Manager 20 21 Note: AllianzGI does not have a regular credit committee. The investment team operates in an open environment, which results in real-time discussion of credits on a daily basis. All credit decisions are made by the investment team, and final investment decisions are made by William (Brit) L. Stickney, managing director, portfolio manager. A U.S. CLOs Under Management Portfolio Balance ($ Mil.) Issue Size ($ Mil.) Compliance Name Pricing Status Target Current Original Current Volcker CRR U.S. RR a NACM CLO I 6/06 Called N.P. 0 300 0 No N.P. No NACM CLO II 9/07 Called N.P. 0 198 0 No N.P. No West CLO 2012-1 11/12 Revolving 450 408 450 408 Yes N.P. Yes West CLO 2013-1 11/13 Revolving 450 404 450 404 Yes N.P. Yes West CLO 2014-1 7/14 Revolving 450 420 450 420 Yes N.P. Yes West CLO 2014-1 1/15 Revolving 400 384 400 384 Yes N.P. Yes Total 1,750 1,616 2,248 1,616 a Anticipated U.S. Risk Retention compliant. N.P. Not provided. Note: Numbers may not add due to rounding. Allianz Global Investors 23

Organizational Structure A Allianz Group Allianz Asset Management PIMCO Allianz Global Investors Allianz Global Investors Europe Holdings Locations: France, Frankfurt, Munich, Stuttgart, Ireland, Italy, Luxembourg, Netherlands, Portugal, Spain, Sweden, Switzerland, U.K. Allianz Global Investors Asia-Pacific Holdings Locations: Australia, China, Hong Kong, Japan, Korea, Singapore, Taiwan Allianz Global Investors U.S. Holdings Locations: Dallas, New York, San Diego, San Francisco Allianz Global Investors U.S. LLC Allianz Global Investors Distributors LLC Allianz Global Investors Fund Management LLC NFJ Investment Group LLC 24 Allianz Global Investors

The Fitch View Key Considerations The company benefits from the substantial scale and resources of its strong and stable parent, Allianz Group: $1.91 trillion in AUM (including PIMCO and AllianzGI), with a very 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 AllianzGI is a diversified asset manager with a strong global parent. Portfolio managers (PMs) average more than 10 years of experience with the company. The income and growth 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 PMs on the team with an average of more than 22 years of industry experience and more than 15 years experience working together at AllianzGI. Four PMs supported by seven generalist research analysts. AllianzGI has a diversified global investor base consisting of both institutional and retail investors. 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 100 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. The company employs additional risk oversight based on the underlying collateral being Global Investment Performance Standards compliant. Operations Three-way daily reconciliations are performed to tie out cash and positions among AllianzGI, Wall Street Office (WSO) and U.S. Bank, as trustee. Quarterly investor reporting includes the trustee report and a quarterly letter featuring market insight and commentary as well as deal-specific information. Administrative capabilities reflect the highly qualified and experienced staff interacting with appropriate systems and processes. Technology The integrated and flexible platform is based on a combination of proprietary Excel-based analytics and third-party administration systems, including widely accepted industry 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. A Allianz Global Investors 25

A 26 Allianz Global Investors

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, 2015, it managed approximately $3.8 billion of broadly syndicated loans across nine CLOs. A Manager Profile Address Website 301 East Fourth Street, Cincinnati, OH 45202, U.S. N.A. Year Founded 1973 Ownership Structure Parent(s) Key Affiliate(s) Investment Profile Global Firm No. of Employees 38 Wholly owned subsidiary of American Financial Group, Inc. American Financial Group, Inc. Great American Insurance Company Great American Life Insurance Company No. of Portfolio Managers AUM Two $3.8 Bil. Leveraged Loans Only No. of Employees 38 No. of Portfolio Managers Two AUM $3.8 Bil. No. of Invested Credits 448 a Credits per Analyst 32 U.S. CLOs (No./AUM) Nine/$3.8 Bil. European CLOs (No./AUM) Zero/ 0 U.S. Loans Managed via CLOs 100% European Loans Managed via CLOs N.A. a Leveraged loans only, across all vehicles. N.A. Not applicable. U.S. CLO Risk Retention Strategy Preferred Form of Interest Preferred Structure Overall Self-Described Risk Retention Strategy Vertical interests Majority-owned affiliate of manager Since 2011, AMMC s insurance affiliates have purchased debt and equity tranches in AMMC-managed CLOs, with a typical investment being in excess of 5.0% of each CLO s capital structure. While these investments were not specifically designed to be compliant with the risk retention requirements, the purchases are similar in type and size to the economic interest required to be retained under the rules. AMMC and its affiliates intend to be opportunistic in their retention strategy based on market conditions and continue to review alternatives as additional guidance on the rules is issued. American Money Management Corporation 27

Global Assets Under Management (As of Dec. 31, 2015) A Global Assets Under Management 4 ($ Bil.) 3 2 1 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Breakdown by Asset Type Breakdown by Product Type Syndicated Loans 100.0% CLOs 100.0% Source: American Money Management Corporation. U.S. Credit Committee Experience (Years) Name Title Role Company Industry Chester Eng Senior Vice President Portfolio Manager 28 31 Dave Meyer Senior Vice President Portfolio Manager 26 26 28 American Money Management Corporation

U.S. CLOs Under Management Portfolio Balance ($ Mil.) Issue Size ($ Mil.) Compliance Name Pricing Status Target Current Original Current Volcker CRR U.S. RR a AMMC CLO IX, Limited 11/11 Amortizing 428 423 450 450 Yes No Yes AMMC CLO X, Limited 2/12 Revolving 401 399 410 410 Yes No No AMMC CLO XI, Limited 9/12 Revolving 436 437 450 450 Yes No No AMMC CLO XII, Limited 3/13 Revolving 400 403 417 417 Yes No No AMMC CLO XIII, Limited 11/13 Revolving 400 400 411 411 Yes No No AMMC CLO XIV, Limited 6/14 Revolving 400 400 410 410 Yes No No AMMC CLO 15, Limited 11/14 Revolving 500 501 501 501 Yes No No AMMC CLO 16, Limited 4/15 Revolving 500 500 505 505 Yes No Yes AMMC CLO 17, Limited 11/15 Revolving 352 352 358 358 Yes No Yes Total 3,814 3,815 3,913 3,893 a Anticipated U.S. Risk Retention compliant. Note: Numbers may not add due to rounding. A Organizational Structure American Financial Group, Inc. 100% American Money Management Corporation American Money Management Corporation 29

The Fitch View Key Considerations A 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, 2015, AMMC managed approximately $3.8 billion of senior loans across nine CLOs. It has issued 17 CLOs since 1999. The CLO platform is well staffed at all levels, and the investment team averages 20-plus years of industry experience. The credit research team has 15 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-and-hold approach to investments. Analysts are given a great deal of responsibility, 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 recently completed its SEC investment adviser registration process and will be 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 17 transactions since 1999. 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 2000. 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. 30 American Money Management Corporation

Anchorage Capital Group, L.L.C. Anchorage Capital Group, L.L.C. (Anchorage) is a New York-based investment advisor founded in 2003. Its investments include a wide range of both liquid and illiquid assets across companies capital structures. As of Dec. 31, 2015, Anchorage had assets under management (AUM) of $15.4 billion in funds and $4.6 billion in CLOs. A Manager Profile Address 610 Broadway, 6th Floor, New York, NY 10012, U.S. Website www.anchoragecap.com Year Founded 2003 Ownership Structure Hedge fund-sponsored credit manager Parent(s) N.A. Key Affiliate(s) N.A. Investment Profile Global Firm No. of Employees 165 No. of Portfolio Managers Two a AUM $15.4 Bil. b CLOs Only No. of Employees 165 No. of Portfolio Managers Two a AUM $4.6 Bil. c No. of Invested Credits 150 Credits per Analyst N.P. U.S. CLOs (No./AUM) Nine/$4.6 Bil. c European CLOs (No./AUM) Zero/ 0 U.S. Loans Managed via CLOs N.P. European Loans Managed via CLOs N.A. a Senior portfolio managers only. b Fund AUM includes all pooled investment funds and single-investor funds, including the market value of direct investments in Anchorage-managed CLOs and CDOs held by such funds. The market value of any direct investments in CLOs and CDOs managed by Anchorage that are held by Anchorage funds is included in fund AUM. However, the total AUM of Anchorage CLOs and CDOs is not included in this figure. c CLO AUM reflects the notional value of the assets, plus cash, held by Anchorage CLOs and CDOs. Certain notes issued by Anchorage-managed CLOs and CDOs are owned by Anchorage-managed funds. N.A. Not applicable. N.P. Not provided. U.S. CLO Risk Retention Strategy Preferred Form of Interest Preferred Structure Overall Self-Described Risk Retention Strategy Not provided Not provided Anchorage is actively exploring different strategies to address the risk retention rules when they go into effect at the end of 2016. At this point in time, Anchorage has not reached any conclusions, but it is evaluating a number of potential approaches with its legal counsel, accountants and advisors. Anchorage Capital Group, L.L.C. 31