Babson E uro CLO 2014-1 B.V. Manager’s Report · Babson E uro CLO 2014-1 B.V. Manager’s Report ... once again showed its lack of correlation to other risk assets with both European

For investment professionals only

31 DEC 2014

Babson Euro CLO 2014-1 B.V. Manager’s Report

Oct ober 2016

This report comments on the performance of Babson Euro CLO 2014-1 B.V. (the "Fund") for the period leading u p to and inclu ding the eighth Determination Date (5th October 2016) and associated Interest Payment Date (17 th October 2016).

CLO MANAGEMENT

With only 3 business days having elapsed from the prior month end to the Determination Date, movement within the portfolio was l imited to ju st one new deal allocating, namely Misys, which priced its post-IPO facilities. The Fund sold two small bond positions in order to raise cash against th is, locking in a smal l profi t in the process.

QUARTERLY PAYMENT DATE

The Fu nd is making a distribution to equ ity note holders of €2.88m, equ ating to an annualised return of 25.86% (based on the equ ity at issue price of 97.50). This brings the cumulative amount distributed to equity note holders since inception to €20.0m, or 45.7% of the original par equ ity contribu tion (or 46.9% when taking into accou nt the initial equ ity issu e price).

MARKET UPDATE

The Credit Suisse Institutional Western European Leveraged Loan Index (the “Index”) returned +0.57% in September as the European loan market once again showed its lack of correlation to other risk assets with both European high yield bonds and equ ities (Eu ro Stoxx 50) posting negative retu rns of -0.42% and -0.56% respectively during the month. Given the uncertainty in the immediate aftermath of the Brexit vote in late Ju ne, the +2.31% third qu arter return for the European loan market was encouraging, bringing year-to-date returns for the benchmark to +4.42% compared to -4.74% for Eu ropean equ ities. Eu ropean institutional loan volume in September was €7.6bn in one of the busiest months on record. The majority of deals over the month were opportu nistic re-financings, re-pricings, amendments and dividend recaps from issuers looking to take advantage of the continued strong investor demand for European senior secured loans. The strength of demand in the market is such that certain opportunistic deals, inclu ding from TMF Grou p and Armacell, have been able to improve terms (in favour of the borrower) during the syndication process. Year-to-date insti tu tional new issue volume now stands at €38.5bn, more than €9bn ahead of 2015’s equ ivalent period. Ramping CLOs continue to provide a source of consistent demand in the European loan market. CLO issuance picked up in September with fou r CLOs pricing total l ing €1.71bn; year-to-date new CLO issu ance now stands at €11.83bn from 29 deals, arou nd €1.5bn ahead of 2015’s equ ivalent period. A dditional market h ighl ights as at the end of September inclu de the fol lowing:

• The average market price of the Index ended at 98.49, u p +21bps from the end of A u gu st and u p +143bps over the th ird qu arter • The 3-year discou nt margin tightened -7bps from the end of A u gu st, finish ing at 485bps

Looking ahead, we anticipate that the technical environment for European loans will remain accommodating over the fourth qu arter, underpinned by continuing central bank stimulus and the ongoing demand from ramping CLOs and insti tu tional investors in search of y ield. With in the Eu ropean loan market, overall high yield corporate fundamentals remain stable, default levels remain below historical averages, and exposu re to energy or commodity related names within the sub-investment grade credit market remains low. Strong demand combined with stable credit fu ndamentals shou ld be su pportive for Eu ropean loan market performance heading into year-end.

IMPORTANT NOTICE

Barings (U.K.) Limited (“Barings”) does not act for you and is not responsible for providing you with the protections afforded to i ts cl ients. In particular, Barings will not provide you with any investment advice. N o director or employee of Barings is permitted to lead you to bel ieve otherwise. Y ou shou ld take you r own independent legal , tax and financial advice.

Barings (U.K.) Limited (3005774) is registered in England and Wales and is au thorised and regu lated by the Financial Condu ct A u thority .

This report is prepared by Barings (U.K.) Limited for information pu rposes only . Certain information inclu ded in th is report is estimated, approximated or projected. This report is provided without any representations or warranties as to the completeness or accuracy. None of Barings (U.K.) Limited or Babson Eu ro CLO 2014-1 B.V . wi l l have any l iabi l i ty for su ch estimates, approximations or projections.

Page 1 of 59

Babson Euro CLO 2014-1 B.V. As Of:Current Payment:

05-Oct-1617-Oct-1615-Jul-16

Payment Date Report

Prior Payment:Next Payment: 16-Jan-17

CDO Trust Serviceswww.usbank.com/cdo

Bashar Rassam+44(0) 207 330 [email protected]

Electronic Reports

Issue ID: ...............................................

Payment Data File Name:

BABS1401

Account SummaryBABS1401_20161005_D_1.CSV

Transaction DetailBABS1401_20161005_D_2.CSV

Test HistoryBABS1401_20161005_D_3.CSV

Asset DetailBABS1401_20161005_D_4.CSV

SIFMABABS1401_20161005_SIFMA.XML

Relevant Dates

Issue Date: 15-Apr-14

Effective Date: 21-Aug-14

First Payment Date: 15-Jan-15

Reinvestment Period End Date: 04-Apr-18

Compliance Information Pages

Summary 2

Account Summary 3

Distribution Summary 4

Distribution Detail - Interest Proceeds 5 - 6

Distribution Detail - Principal Proceeds 7 - 9

Administrative Expenses Detail 10

Portfolio Profile Tests Summary 11 - 12

Coverage and Collateral Quality Tests Summary 13

Par Value Tests Detail 14

Interest Coverage Tests Detail 15

Coverage Tests History - Part I 16

Coverage Tests History - Part II 17

Coverage Tests History - Part III 18

Coverage Tests History - Part IV 19

Collateral Quality Tests History - Part I 20

Collateral Quality Tests History - Part II 21

Collateral Quality Tests History - Part III 22

Collateral Quality Tests History - Part IV 23

Asset Detail Information Pages

Assets Purchased 24

Assets Sold 25

Principal Repayments 26

Current Asset Characteristics - Part I 27 - 31

Current Asset Characteristics - Part II 32 - 36

Current Asset Characteristics - Part III 37 - 40

Moody's Caa Obligations and Fitch CCC Obligations 41

Defaulted Obligations and Deferring Securities 42

Discount and Swapped Non-Discount Obligations 43

Collateral Enhancement Obligations and Exchanged

Equity Securities

44

Participation Information 45

Restructured Obligations - Additions 46

Restructured Obligations - Removals 47

Rating Detail 48 - 51

Rating Change History 52

Rating Change History - Shadow/Private 53

Counterparty Ratings 54

Hedge Transactions Detail 55

Statistical Information Pages

Stratifications - Countries and Obligors 56

Stratifications - Industries 57

Risk Retention 58

Disclaimer 59

Information is available from the following sources

Target Par Amount: 400,000,000.00

U.S. Bank Web Site: www.usbank.com/cdo

Contact Information

Issuer: Babson Euro CLO 2014-1 B.V.

Collateral Manager: Barings (U.K.) Ltd.

Rated By: Moody's Investors Service/Fitch Ratings Limited

Payment Date Report - 10/13/201611:39:02AM © 2011 U.S. Bancorp

Page 2 of 59


05-Oct-1617-Oct-16

Summary


Note Information

Note

Original Original Current InterestMoody's Fitch

Coupon Balance Balance Payment CouponIndex Orig OrigCurr Curr

Expected

Class A-1 Notes 1.91100% 201,250,000.00 201,250,000.00 580,662.15 -0.29500% 1.10500% Aaa Aaa AAA AAA

Class A-2 Notes 2.41000% 30,000,000.00 30,000,000.00 184,766.67 N/A 2.41000% Aaa Aaa AAA AAA

Class B-1 Notes 2.51100% 20,500,000.00 20,500,000.00 91,264.86 -0.29500% 1.70500% Aa2 Aa2 AA AA

Class B-2 Notes 3.23000% 30,000,000.00 30,000,000.00 247,633.33 N/A 3.23000% Aa2 Aa2 AA AA

Class C Notes 3.16100% 22,500,000.00 22,500,000.00 138,356.25 -0.29500% 2.35500% A2 A2 A A

Class D Notes 3.91100% 19,000,000.00 19,000,000.00 154,042.50 -0.29500% 3.10500% Baa2 Baa2 BBB BBB

Class E Notes 5.11100% 31,000,000.00 31,000,000.00 348,465.83 -0.29500% 4.30500% Ba2 Ba2 BB BB

Class F Notes 6.11100% 14,500,000.00 14,500,000.00 200,853.19 -0.29500% 5.30500% B2 B2 B- B-

Subordinated Notes N/A 43,750,000.00 43,750,000.00 N/A N/A N/A NR NR NR NR

Totals: 1,946,044.78 412,500,000.00 412,500,000.00

Asset Positions

Current PriorPosition Count

Curr

Count

Prior

120 305,690,911.27 121 309,377,888.97 Secured Senior Loan

36 71,759,940.95 37 72,809,940.95 Secured Senior Note

9 16,575,000.00 9 16,975,000.00 Unsecured Senior Obligation

3 7,292,832.00 3 7,292,832.00 Second Lien Loan

- - - - Mezzanine Obligation

1 1,000,000.00 1 1,000,000.00 High Yield Bond

- - - - Warrants

- - - - Common Stock

407,455,661.92 171 402,318,684.22 169Totals:

Test Summary

Test Type Pass Fail N/A

Coverage 9 0 0

Quality 10 0 0

Portfolio Profile 31 0 0

Totals: 50 0 0

Account Balances and Eligible Investments

Current PriorAccount

6,350,760.50 1,181,445.30 EUR Principal Account

- - UNUSED PROCEEDS ACCOUNT

1,181,445.30 6,350,760.50 Totals:

Note: Balances on this page are shown on a Trade Date Basis


Page 3 of 59


05-Oct-1617-Oct-16

Account Summary


Note: Balances on this page are shown on a Settlement Date Basis

Ending

BalanceWithdrawlsDeposits

Beginning

BalanceAccount

Babson Counterparty Downgrade Collateral

Account

0.00 0.00 0.00 0.00

Babson EUR Interest Account 5,701,453.92 317,224.46 0.00 6,018,678.38

Babson EUR Payment Account 0.00 0.00 0.00 0.00

Babson EUR Principal Account 4,112,576.83 1,895,269.17 5,489,004.17 518,841.83

Babson Expense Reserve Account 28,961.48 0.00 0.00 28,961.48

Babson Hedge Termination Account 0.00 0.00 0.00 0.00

Babson Interest Smoothing Account 0.00 0.00 0.00 0.00

Babson Supplemental Reserve Account 0.00 0.00 0.00 0.00

Babson Unfunded Revolver Reserve Account 0.00 0.00 0.00 0.00

Babson Unused Proceeds Account 0.00 0.00 0.00 0.00


Page 4 of 59

Distribution Summary


05-Oct-1617-Oct-16


Note

ISIN

Original

Face Value

Opening

% of Orig Bal

Balance

Payment

Principal

Adj. or Loss

ClosingBalance

AccruedInterestPrincipal

% of Orig Bal Due

Repaymentof Deferred

Interest

TotalInterest

Payment

RateInterest

Curr/Next

-0.295000%

-0.311000%

Current Euribor:

Next Euribor:

Class A-1 NotesXS1043497657 / BCC26N512

201,250,000.00 201,250,000.00 100.00%

- - 201,250,000.00 100.00%

580,662.15 - 580,662.15 1.1050000000% 1.0890000000%

Class A-2 NotesXS1043499604 / BCC26N520

30,000,000.00 30,000,000.00 100.00%

- - 30,000,000.00 100.00%

184,766.67 - 184,766.67 2.4100000000% 2.4100000000%

Class B-1 NotesXS1043500039 / BCC26N538

20,500,000.00 20,500,000.00 100.00%

- - 20,500,000.00 100.00%

91,264.86 - 91,264.86 1.7050000000% 1.6890000000%

Class B-2 NotesXS1043501607 / BCC26N546

30,000,000.00 30,000,000.00 100.00%

- - 30,000,000.00 100.00%

247,633.33 - 247,633.33 3.2300000000% 3.2300000000%

Class C NotesXS1043502167 / BCC26N553

22,500,000.00 22,500,000.00 100.00%

- - 22,500,000.00 100.00%

138,356.25 - 138,356.25 2.3550000000% 2.3390000000%

Class D NotesXS1043503215 / BCC26N561

19,000,000.00 19,000,000.00 100.00%

- - 19,000,000.00 100.00%

154,042.50 - 154,042.50 3.1050000000% 3.0890000000%

Class E NotesXS1043504023 / BCC26N579

31,000,000.00 31,000,000.00 100.00%

- - 31,000,000.00 100.00%

348,465.83 - 348,465.83 4.3050000000% 4.2890000000%

Class F NotesXS1043504700 / BCC26N587

14,500,000.00 14,500,000.00 100.00%

- - 14,500,000.00 100.00%

200,853.19 - 200,853.19 5.3050000000% 5.2890000000%

Subordinated NotesXS1043505269 / BCC26N595

43,750,000.00 43,750,000.00 100.00%

- - 43,750,000.00 100.00%

- - 2,880,026.79 - % - %

Totals: 412,500,000.00 412,500,000.00 0.00 0.00 412,500,000.00 1,946,044.78 0.00 4,826,071.57


Page 5 of 59

Priority Name Amount


05-Oct-1617-Oct-16

Distribution Detail - Interest Proceeds


Available Interest Proceeds: 5,445,282.46

(A)(i) Payment of taxes owing by the Issuer -

(A)(ii) Payment of the Issuer Profit Amount to be retained by the Issuer -

(B) Payment of accrued and unpaid Trustee Fees and Expenses, up to an amount equal to the Senior Expenses Cap 26,050.05

(C) Payment of Administrative Expenses, up to an amount equal to the Senior Expenses Cap less any amounts paid in (B) 25,831.43

(D) Payment of an amount, at the Collateral Manager’s discretion, to the Expense Reserve Account 46,325.35

(E)(1)(a) Payment of the Senior Management Fee due and payable on the current Payment Date 156,301.22

(E)(1)(b) Payment of value added tax in respect of the amount in (E)(1)(a) -

(E)(1)(c) Payment to the Principal Account of any amount otherwise payable in (E)(1)(a) which the Collateral Manager has designated for reinvestment -

(E)(2)(a) Payment of any Senior Management Fee previously due and not paid (other than Deferred Senior Collateral Management Amounts) -

(E)(2)(b) Payment of value added tax in respect of the amount in (E)(2)(a) -

(F)(i) Payment on a pro rata basis of any Scheduled Periodic Hedge Issuer Payments -

(F)(ii) Payment on a pro rata basis of any Currency Hedge Issuer Termination Payments -

(F)(iii) Payment on a pro rata basis of any Interest Rate Hedge Issuer Termination Payments -

(G)(i) Interest Amounts due and payable on the Class A-1 Notes 580,662.15

(G)(ii) Interest Amounts due and payable on the Class A-2 Notes 184,766.67

(H)(i) Interest Amounts due and payable on the Class B-1 Notes 91,264.86

(H)(ii) Interest Amounts due and payable on the Class B-2 Notes 247,633.33

(I)(1)(a) Redemption of Class A-1 Notes due to a Class A/B Coverage Tests breach -

(I)(1)(b) Redemption of Class A-2 Notes due to a Class A/B Coverage Tests breach -

(I)(2)(a) Redemption of Class B-1 Notes due to a Class A/B Coverage Tests breach -

(I)(2)(b) Redemption of Class B-2 Notes due to a Class A/B Coverage Tests breach -

(J) Interest Amounts due and payable on the Class C Notes (including any interest on Deferred Interest) 138,356.25

(K) Deferred Interest on the Class C Notes -

(L)(1)(a) Redemption of Class A-1 Notes due to a Class C Coverage Tests breach -

(L)(1)(b) Redemption of Class A-2 Notes due to a Class C Coverage Tests breach -

(L)(2)(a) Redemption of Class B-1 Notes due to a Class C Coverage Tests breach -

(L)(2)(b) Redemption of Class B-2 Notes due to a Class C Coverage Tests breach -

(L)(3) Redemption of Class C Notes due to a Class C Coverage Tests breach -

(M) Interest Amounts due and payable on the Class D Notes (including any interest on Deferred Interest) 154,042.50

(N) Deferred Interest on the Class D Notes -

(O)(1)(a) Redemption of Class A-1 Notes due to a Class D Coverage Tests breach -

(O)(1)(b) Redemption of Class A-2 Notes due to a Class D Coverage Tests breach -

(O)(2)(a) Redemption of Class B-1 Notes due to a Class D Coverage Tests breach -

(O)(2)(b) Redemption of Class B-2 Notes due to a Class D Coverage Tests breach -

(O)(3) Redemption of Class C Notes due to a Class D Coverage Tests breach -

(O)(4) Redemption of Class D Notes due to a Class D Coverage Tests breach -

(P) Interest Amounts due and payable on the Class E Notes (including any interest on Deferred Interest) 348,465.83

(Q) Deferred Interest on the Class E Notes -

(R)(1)(a) Redemption of Class A-1 Notes due to a Class E Coverage Tests breach -

(R)(1)(b) Redemption of Class A-2 Notes due to a Class E Coverage Tests breach -

(R)(2)(a) Redemption of Class B-1 Notes due to a Class E Coverage Tests breach -

(R)(2)(b) Redemption of Class B-2 Notes due to a Class E Coverage Tests breach -

(R)(3) Redemption of Class C Notes due to a Class E Coverage Tests breach -

(R)(4) Redemption of Class D Notes due to a Class E Coverage Tests breach -


Page 6 of 59



05-Oct-1617-Oct-16

Distribution Detail - Interest Proceeds


(R)(5) Redemption of Class E Notes due to a Class E Coverage Tests breach -

(S) Interest Amounts due and payable on the Class F Notes (including any interest on Deferred Interest) 200,853.19

(T) Deferred Interest on the Class F Notes -

(U)(1)(a) Redemption of Class A-1 Notes due to an Effective Date Rating Event -

(U)(1)(b) Redemption of Class A-2 Notes due to an Effective Date Rating Event -

(U)(2)(a) Redemption of Class B-1 Notes due to an Effective Date Rating Event -

(U)(2)(b) Redemption of Class B-2 Notes due to an Effective Date Rating Event -

(U)(3) Redemption of Class C Notes due to an Effective Date Rating Event -

(U)(4) Redemption of Class D Notes due to an Effective Date Rating Event -

(U)(5) Redemption of Class E Notes due to an Effective Date Rating Event -

(U)(6) Redemption of Class F Notes due to an Effective Date Rating Event -

(V) Payment to the Principal Account due to a Reinvestment Par Value Test breach -

(W)(1)(a) Payment of the Subordinated Management Fee due and payable on the current Payment Date 364,702.84

(W)(1)(b) Payment of value added tax in respect of the amount in (W)(1)(a) -

(W)(1)(c) Payment to the Principal Account of any amount otherwise payable in (W)(1)(a) which the Collateral Manager has designated for reinvestment -

(W)(2)(a) Payment of any Subordinated Management Fee previously due and not paid (other than Deferred Subordinated Collateral Management Amounts) -

(W)(2)(b) Payment of value added tax in respect of the amount in (W)(2)(a) -

(W)(3) Payment of any previously Deferred Senior Collateral Management Amounts and Deferred Subordinated Collateral Management Amounts -

(X) Payment of Trustee Fees and Expenses (if any) not paid by reason of the Senior Expenses Cap -

(Y) Payment of Administrative Expenses (if any) not paid by reason of the Senior Expenses Cap -

(Z)(i) Payment on a pro rata basis of any Defaulted Currency Hedge Termination Payments -

(Z)(ii) Payment on a pro rata basis of any Defaulted Interest Rate Hedge Termination Payments -

(AA) During the Reinvestment Period, transfer of any Supplemental Reserve Amount to the Supplemental Reserve Account -

(BB)(i) Until the IRR Threshold is reached, any remaining Interest Proceeds to the payment of interest on the Subordinated Notes 2,880,026.79

(BB)(ii) Once the IRR Threshold is reached, 20 per cent. of any remaining Interest Proceeds to the payment of the Incentive Collateral Management Fee -

(BB)(iii) Payment to the Principal Account of any amount otherwise payable in (BB)(ii) which the Collateral Manager has designated for reinvestment -

(CC) Once the IRR Threshold is reached, 80 per cent. of any remaining Interest Proceeds to the payment of interest on the Subordinated Notes -

5,445,282.46 Total:

Balance in the Interest Account after the Payment Date: -


Page 7 of 59



05-Oct-1617-Oct-16

Distribution Detail - Principal Proceeds


Available Principal Proceeds: 6,350,760.50

(A)(A)(i) Payment of taxes owing by the Issuer -

(A)(A)(ii) Payment of the Issuer Profit Amount to be retained by the Issuer -

(A)(B) Payment of accrued and unpaid Trustee Fees and Expenses, up to an amount equal to the Senior Expenses Cap -

(A)(C) Payment of Administrative Expenses, up to an amount equal to the Senior Expenses Cap less any amounts paid in (B) -

(A)(D) Payment of an amount, at the Collateral Manager’s discretion, to the Expense Reserve Account -

(A)(E)(1)(a) Payment of the Senior Management Fee due and payable on the current Payment Date -

(A)(E)(1)(b) Payment of value added tax in respect of the amount in (E)(1)(a) -

(A)(E)(1)(c) Payment to the Principal Account of any amount otherwise payable in (E)(1)(a) which the Collateral Manager has designated for reinvestment -

(A)(E)(2)(a) Payment of any Senior Management Fee previously due and not paid (other than Deferred Senior Collateral Management Amounts) -

(A)(E)(2)(b) Payment of value added tax in respect of the amount in (E)(2)(a) -

(A)(F)(i) Payment on a pro rata basis of any Scheduled Periodic Hedge Issuer Payments -

(A)(F)(ii) Payment on a pro rata basis of any Currency Hedge Issuer Termination Payments -

(A)(F)(iii) Payment on a pro rata basis of any Interest Rate Hedge Issuer Termination Payments -

(A)(G)(i) Interest Amounts due and payable on the Class A-1 Notes -

(A)(G)(ii) Interest Amounts due and payable on the Class A-2 Notes -

(A)(H)(i) Interest Amounts due and payable on the Class B-1 Notes -

(A)(H)(ii) Interest Amounts due and payable on the Class B-2 Notes -

(B)(1)(a) Redemption of Class A-1 Notes due to a Class A/B Coverage Tests breach -

(B)(1)(b) Redemption of Class A-2 Notes due to a Class A/B Coverage Tests breach -

(B)(2)(a) Redemption of Class B-1 Notes due to a Class A/B Coverage Tests breach -

(B)(2)(b) Redemption of Class B-2 Notes due to a Class A/B Coverage Tests breach -

(C) Interest Amounts due and payable on the Class C Notes (including any interest on Deferred Interest), if the Class C Notes are the Controlling Class -

(D) Deferred Interest on the Class C Notes, if the Class C Notes are the Controlling Class -

(E)(1)(a) Redemption of Class A-1 Notes due to a Class C Coverage Tests breach -

(E)(1)(b) Redemption of Class A-2 Notes due to a Class C Coverage Tests breach -

(E)(2)(a) Redemption of Class B-1 Notes due to a Class C Coverage Tests breach -

(E)(2)(b) Redemption of Class B-2 Notes due to a Class C Coverage Tests breach -

(E)(3) Redemption of Class C Notes due to a Class C Coverage Tests breach -

(F) Interest Amounts due and payable on the Class D Notes (including any interest on Deferred Interest), if the Class D Notes are the Controlling Class -

(G) Deferred Interest on the Class D Notes, if the Class D Notes are the Controlling Class -

(H)(1)(a) Redemption of Class A-1 Notes due to a Class D Coverage Tests breach -

(H)(1)(b) Redemption of Class A-2 Notes due to a Class D Coverage Tests breach -

(H)(2)(a) Redemption of Class B-1 Notes due to a Class D Coverage Tests breach -

(H)(2)(b) Redemption of Class B-2 Notes due to a Class D Coverage Tests breach -

(H)(3) Redemption of Class C Notes due to a Class D Coverage Tests breach -

(H)(4) Redemption of Class D Notes due to a Class D Coverage Tests breach -

(I) Interest Amounts due and payable on the Class E Notes (including any interest on Deferred Interest), if the Class E Notes are the Controlling Class -

(J) Deferred Interest on the Class E Notes, if the Class E Notes are the Controlling Class -

(K)(1)(a) Redemption of Class A-1 Notes due to a Class E Coverage Tests breach -

(K)(1)(b) Redemption of Class A-2 Notes due to a Class E Coverage Tests breach -

(K)(2)(a) Redemption of Class B-1 Notes due to a Class E Coverage Tests breach -

(K)(2)(b) Redemption of Class B-2 Notes due to a Class E Coverage Tests breach -

(K)(3) Redemption of Class C Notes due to a Class E Coverage Tests breach -

(K)(4) Redemption of Class D Notes due to a Class E Coverage Tests breach -


Page 8 of 59



05-Oct-1617-Oct-16



(K)(5) Redemption of Class E Notes due to a Class E Coverage Tests breach -

(L) Interest Amounts due and payable on the Class F Notes (including any interest on Deferred Interest), if the Class F Notes are the Controlling Class -

(M) Deferred Interest on the Class F Notes, if the Class F Notes are the Controlling Class -

(N)(1)(a) Redemption of Class A-1 Notes due to an Effective Date Rating Event -

(N)(1)(b) Redemption of Class A-2 Notes due to an Effective Date Rating Event -

(N)(2)(a) Redemption of Class B-1 Notes due to an Effective Date Rating Event -

(N)(2)(b) Redemption of Class B-2 Notes due to an Effective Date Rating Event -

(N)(3) Redemption of Class C Notes due to an Effective Date Rating Event -

(N)(4) Redemption of Class D Notes due to an Effective Date Rating Event -

(N)(5) Redemption of Class E Notes due to an Effective Date Rating Event -

(N)(6) Redemption of Class F Notes due to an Effective Date Rating Event -

(O)(1)(a) Redemption of Class A-1 Notes on a Redemption Date in respect of which the Notes are being redeemed in full -

(O)(1)(b) Redemption of Class A-2 Notes on a Redemption Date in respect of which the Notes are being redeemed in full -

(O)(2)(a) Redemption of Class B-1 Notes on a Redemption Date in respect of which the Notes are being redeemed in full -

(O)(2)(b) Redemption of Class B-2 Notes on a Redemption Date in respect of which the Notes are being redeemed in full -

(O)(3) Redemption of Class C Notes on a Redemption Date in respect of which the Notes are being redeemed in full -

(O)(4) Redemption of Class D Notes on a Redemption Date in respect of which the Notes are being redeemed in full -

(O)(5) Redemption of Class E Notes on a Redemption Date in respect of which the Notes are being redeemed in full -

(O)(6) Redemption of Class F Notes on a Redemption Date in respect of which the Notes are being redeemed in full -

(P)(1)(a) Redemption of Class A-1 Notes up to the Special Redemption Amount (if any) -

(P)(1)(b) Redemption of Class A-2 Notes up to the Special Redemption Amount (if any) -

(P)(2)(a) Redemption of Class B-1 Notes up to the Special Redemption Amount (if any) -

(P)(2)(b) Redemption of Class B-2 Notes up to the Special Redemption Amount (if any) -

(P)(3) Redemption of Class C Notes up to the Special Redemption Amount (if any) -

(P)(4) Redemption of Class D Notes up to the Special Redemption Amount (if any) -

(P)(5) Redemption of Class E Notes up to the Special Redemption Amount (if any) -

(P)(6) Redemption of Class F Notes up to the Special Redemption Amount (if any) -

(Q)(1) During the Reinvestment Period, to the purchase of Substitute Collateral Obligations or to the Principal Account 6,350,760.50

(Q)(2) After the Reinvestment Period, Unscheduled Principal Proceeds to the purchase of Substitute Collateral Obligations or to the Principal Account -

(R)(1)(a) After the Reinvestment Period, redemption of Class A-1 Notes -

(R)(1)(b) After the Reinvestment Period, redemption of Class A-2 Notes -

(R)(2)(a) After the Reinvestment Period, redemption of Class B-1 Notes -

(R)(2)(b) After the Reinvestment Period, redemption of Class B-2 Notes -

(R)(3) After the Reinvestment Period, redemption of Class C Notes -

(R)(4) After the Reinvestment Period, redemption of Class D Notes -

(R)(5) After the Reinvestment Period, redemption of Class E Notes -

(R)(6) After the Reinvestment Period, redemption of Class F Notes -

(S)(W)(1)(a) Payment of the Subordinated Management Fee due and payable on the current Payment Date -

(S)(W)(1)(b) Payment of value added tax in respect of the amount in (W)(1)(a) -

(S)(W)(1)(c) Payment to the Principal Account of any amount otherwise payable in (W)(1)(a) which the Collateral Manager has designated for reinvestment -

(S)(W)(2)(a) Payment of any Subordinated Management Fee previously due and not paid (other than Deferred Subordinated Collateral Management Amounts) -

(S)(W)(2)(b) Payment of value added tax in respect of the amount in (W)(2)(a) -

(S)(W)(3) Payment of any previously Deferred Senior Collateral Management Amounts and Deferred Subordinated Collateral Management Amounts -

(S)(X) Payment of Trustee Fees and Expenses (if any) not paid by reason of the Senior Expenses Cap -

(S)(Y) Payment of Administrative Expenses (if any) not paid by reason of the Senior Expenses Cap -

(S)(Z)(i) Payment on a pro rata basis of any Defaulted Currency Hedge Termination Payments -

(S)(Z)(ii) Payment on a pro rata basis of any Defaulted Interest Rate Hedge Termination Payments -

(T)(i) Until the IRR Threshold is reached, any remaining Principal Proceeds to redeem the Subordinated Notes -


Page 9 of 59



05-Oct-1617-Oct-16



(T)(ii) Once the IRR Threshold is reached, 20 per cent. of any remaining Principal Proceeds to the payment of the Incentive Collateral Management Fee -

(T)(iii) Payment to the Principal Account of any amount otherwise payable in (T)(ii) which the Collateral Manager has designated for reinvestment -

(U) Once the IRR Threshold is reached, 80 per cent. of any remaining Principal Proceeds to redeem the Subordinated Notes -

6,350,760.50 Total:

Balance in the Principal Account after the Payment Date: -


Page 10 of 59

Name Amount Paid


05-Oct-1617-Oct-16

Administrative Expenses Detail


Description

TMF - Reporting Services Apr 16 to Jun 16 5,033.60

TMF Dutch VAT 1,338.80

US Bank Collateral Administrator Fee 22,550.05

US Bank Negative Accrual Charge 19,459.03

US Bank Registrar Fee and Transfer Agent Fee 1,000.00

US Bank Trustee Fee 2,500.00

Total: 51,881.48


Page 11 of 59

Effective

Date

Test

Number Description Prior Current Trigger Max / Min Result


05-Oct-1617-Oct-16

Portfolio Profile Tests Summary


1 (a) Secured Senior Obligations 94.36% 93.82% 93.91% PassMinimum90.00%

2 (b) Secured Senior Notes 20.52% 17.82% 17.56% PassMaximum50.00%

3 (c) Unsecured Senior Obligations, Second Lien Loans, Mezzanine Obligations and High Yield Bonds 5.64% 6.18% 6.09% PassMaximum10.00%

4 (d)(i)(A) Single Obligor Concentration of Secured Senior Obligations (Largest Obligor) 2.97% 2.45% 2.45% PassMaximum3.00%

5 (d)(i)(B) Single Obligor Concentration of Secured Senior Obligations (Fourth Largest Obligor) 1.98% 1.88% 1.88% PassMaximum2.50%

6 (d)(ii) Single Obligor Concentration of Collateral Obligations which are not Secured Senior Obligations 1.48% 0.98% 0.88% PassMaximum1.50%

7 (e) Non-Euro Obligations - - - PassMaximum20.00%

8 (f) Participations - - - PassMaximum5.00%

9 (g) Current Pay Obligations - - - PassMaximum5.00%

10 (h) Revolving Obligations or Delayed Drawdown Collateral Obligations 1.40% - - PassMaximum5.00%

11 (i) Fitch CCC Obligations 2.84% 3.33% 3.32% PassMaximum7.50%

12 (j) Moody's Caa Obligations 4.15% 2.43% 2.43% PassMaximum7.50%

13 (k) Bridge Loans - - - PassMaximum5.00%

14 (l) Corporate Rescue Loans - - - PassMaximum5.00%

15 (m) PIK Securities - - - PassMaximum5.00%

16 (n) Fixed Rate Collateral Obligations 10.25% 15.20% 14.84% PassMax/Min20.00% / 10.00%

17 (o)(i) Moody's Industry Concentration (Largest Industry) 14.17% 13.92% 13.82% PassMaximum15.00%

18 (o)(ii) Moody's Industry Concentration (Second Largest Industry) 10.07% 9.12% 9.12% PassMaximum12.00%

19 (o)(iii) Moody's Industry Concentration (Sixth Largest Industry) 5.41% 6.04% 5.14% PassMaximum10.00%

20 (p) Obligors who are Domiciled in countries or jurisdictions rated below "A-" by Fitch 5.27% 6.06% 5.80% PassMaximum10.00%

21 (q)(i) Obligors who are Domiciled in countries with a Moody's Local-Currency Country Ceiling below "Aa3" by

Moody's

5.27% 0.89% 0.89% PassMaximum10.00%

22 (q)(ii) Obligors who are Domiciled in countries with a Moody's Local-Currency Country Ceiling below "A3" by

Moody's

- - - PassMaximum5.00%

23 (q)(iii) Obligors who are Domiciled in countries with a Moody's Local-Currency Country Ceiling below "Baa3"

by Moody's


24 (r)(i) Cov-Lite Loans 8.81% 8.69% 8.69% PassMaximum35.00%

25 (r)(ii) Cov-Lite Loans issued by Obligors in respect of which the total potential indebtedness is less than

EUR 250,000,000


26 (s) Collateral Obligations whose Moody's Rating is derived from an S&P Rating 1.79% - - PassMaximum10.00%

27 (t) Collateral Obligations issued by Obligors in respect of which the total potential indebtedness is less than

EUR 100,000,000


28 (u)(i) Individual Third Party Credit Exposure to a Selling Institution rated "A2" or above by Moody's or "A" or

above by Fitch


29 (u)(ii) Individual Third Party Credit Exposure to a Selling Institution rated "A3" or below by Moody's or "A-" or

below by Fitch



Page 12 of 59

Effective

Date

Test

Number Description Prior Current Trigger Max / Min Result


05-Oct-1617-Oct-16

Portfolio Profile Tests Summary


30 (u)(iii) Aggregate Third Party Credit Exposure to Selling Institutions rated "Aaa" or below by Moody's or

"AAA" or below by Fitch


31 (u)(iv) Aggregate Third Party Credit Exposure to Selling Institutions rated "A3" or below by Moody's or "A-" or

below by Fitch



Page 13 of 59


05-Oct-1617-Oct-16

Coverage and Collateral Quality Tests Summary


Effective

Date

Test

Number Description Prior Current Trigger Max / Min

Coverage Tests

Result

145.01%143.63% 1 Class A/B Par Value Test 145.04% PassMinimum132.97%

134.29%133.01% 2 Class C Par Value Test 134.31% PassMinimum124.97%

126.40%125.19% 3 Class D Par Value Test 126.42% PassMinimum118.74%

115.34%114.23% 4 Class E Par Value Test 115.36% PassMinimum108.91%

110.80%109.74% 5 Reinvestment Par Value Test 110.82% PassMinimum104.97%

476.14%184.52% 6 Class A/B Interest Coverage Test 472.78% PassMinimum120.00%

423.13%165.02% 7 Class C Interest Coverage Test 420.14% PassMinimum110.00%

376.47%148.62% 8 Class D Interest Coverage Test 373.80% PassMinimum105.00%

301.30%122.63% 9 Class E Interest Coverage Test 299.16% PassMinimum101.00%

Effective

Date

Test


Collateral Quality Tests

Result

51.3443.79 1 Moody's Minimum Diversity Test 51.09 PassMinimum42.00

44.40%44.60% 2 Moody's Minimum Weighted Average Recovery Rate Test 44.30% PassMinimum39.75%

2,8332,808 3 Moody's Maximum Weighted Average Rating Factor Test 2,835 PassMaximum3,249

5.37%4.55% 4 Moody's Minimum Weighted Average Floating Spread Test 5.26% PassMinimum4.00%

13.12%10.30% 5 Moody's Minimum Weighted Average Coupon Test 12.59% PassMinimum5.50%

33.3634.23 6 Fitch Maximum Weighted Average Rating Factor Test 33.29 PassMaximum36.00

64.7%65.3% 7 Fitch Minimum Weighted Average Recovery Rate Test 64.6% PassMinimum62.8%

5.35%4.50% 8 Fitch Minimum Weighted Average Spread Test 5.24% PassMinimum4.50%

10.34%8.11% 9 Fitch Minimum Weighted Average Fixed Coupon Test 9.78% PassMinimum6.50%

5.305.96 10 Weighted Average Life Test 5.34 PassMaximum5.53

Effective

Date

Test


Additional Information

Result

5.35%4.50% 1 Weighted Average Floating Spread 5.24% N/AN/AN/A

5.59%5.96% 2 Weighted Average Coupon 5.63% N/AN/AN/A

Note: Interest Coverage Tests are required to be satisfied on or after the Determination Date immediately preceding the second Payment Date in April 2015


Page 14 of 59


05-Oct-1617-Oct-16

Par Value Tests Detail


Calculation ResultRatio Minimum

145.04% 132.97% PassA / (B+C)Class A/B Par Value Test

134.31% 124.97% PassA / (B+C+D)Class C Par Value Test

126.42% 118.74% PassA / (B+C+D+E)Class D Par Value Test

115.36% 108.91% PassA / (B+C+D+E+F)Class E Par Value Test

110.82% 104.97% PassA / (B+C+D+E+F+G)Reinvestment Par Value Test

Collateral:

Aggregate Principal Balance of Collateral Obligations 402,318,684.22

402,318,684.22

Minus:

Principal Balance of Defaulted Obligations 0.00

Principal Balance of Deferring Securities 0.00

Principal Balance of Discount Obligations (300,000.00)

(300,000.00)

Plus:

Calculation Amount of Defaulted Obligations 0.00

Calculation Amount of Deferring Securities 0.00

Calculation Amount of Discount Obligations 192,250.00

192,250.00

Plus:

Balance standing to the credit of the Principal Account 6,350,760.50

Balance standing to the credit of the Unused Proceeds Account 0.00

Unpaid accrued interest purchased with Principal Proceeds 85,727.88

6,436,488.38

Minus:

Excess CCC/Caa Adjustment Amount 0.00

0.00

408,647,422.60 (A)Adjusted Collateral Principal Amount:

Notes:

Principal Amount Outstanding of the Class A Notes 231,250,000.00 (B)

Principal Amount Outstanding of the Class B Notes 50,500,000.00 (C)

Principal Amount Outstanding of the Class C Notes 22,500,000.00 (D)

Principal Amount Outstanding of the Class D Notes 19,000,000.00 (E)

Principal Amount Outstanding of the Class E Notes 31,000,000.00 (F)

Principal Amount Outstanding of the Class F Notes 14,500,000.00 (G)


Page 15 of 59


05-Oct-1617-Oct-16

Interest Coverage Tests Detail


Calculation ResultMinimumRatio

472.78% 120.00% PassA / (B+C)Class A/B Interest Coverage Test

420.14% 110.00% PassA / (B+C+D)Class C Interest Coverage Test

373.80% 105.00% PassA / (B+C+D+E)Class D Interest Coverage Test

299.16% 101.00% PassA / (B+C+D+E+F)Class E Interest Coverage Test

Received:

Balance standing to the credit of the Interest Account 6,018,678.38

6,018,678.38

Projected:

Scheduled Interest Payments 0.00

Scheduled Commitment Fees 0.00

Projected Reinvestment Income on Collateral Obligations 0.00

Projected Reinvestment Income on Cash Accounts 0.00

0.00

Minus:

(A) Any taxes owed, and the Issuer Profit Amount 0.00

(B) Accrued and unpaid Trustee Fees and Expenses 26,050.05

(C) Accrued and unpaid Administrative Expenses 25,831.43

(D) Payment into the Expense Reserve Account 46,325.35

(E)(1) Senior Management Fees 156,301.22

(E)(2) Previously due and unpaid Senior Management Fees 0.00

(F) Scheduled Periodic Hedge Issuer Payments and Hedge Issuer Termination Payments 0.00

254,508.05

Minus:

Amounts payable into the Interest Smoothing Account 573,395.92

Interest in respect of a PIK Security that has been deferred 0.00

573,395.92

Plus:

Amounts payable from the Expense Reserve, Interest Smoothing, and Currency Account 30,227.78

Scheduled Periodic Hedge Counterparty Payments 0.00

30,227.78

5,221,002.19 (A)Interest Coverage Amount:

Notes:

Interest payment due on the Class A Notes 765,428.82 (B)

Interest payment due on the Class B Notes 338,898.19 (C)

Interest payment due on the Class C Notes 138,356.25 (D)

Interest payment due on the Class D Notes 154,042.50 (E)

Interest payment due on the Class E Notes 348,465.83 (F)

Accrued Incentive Collateral Management Fee: 0.00


Page 16 of 59


05-Oct-1617-Oct-16

Coverage Tests History - Part I


Period Actual Spread Result

Class C Par Value Test

Minimum

9.34% Pass124.97%05-Oct-16 134.31%

9.32% Pass124.97%30-Sep-16 134.29%

9.31% Pass124.97%31-Aug-16 134.28%

9.05% Pass124.97%05-Jul-16 134.02%

9.05% Pass124.97%30-Jun-16 134.02%

8.91% Pass124.97%31-May-16 133.88%

8.82% Pass124.97%05-Apr-16 133.79%

8.82% Pass124.97%31-Mar-16 133.79%

8.75% Pass124.97%29-Feb-16 133.72%

8.35% Pass124.97%05-Jan-16 133.32%

80%

90%

100%

110%

120%

130%

140%

150%

160%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

MinimumActual


Class A/B Par Value Test

Minimum

12.07% Pass132.97%05-Oct-16 145.04%

12.04% Pass132.97%30-Sep-16 145.01%

12.03% Pass132.97%31-Aug-16 145.00%

11.75% Pass132.97%05-Jul-16 144.72%

11.75% Pass132.97%30-Jun-16 144.72%

11.60% Pass132.97%31-May-16 144.57%

11.51% Pass132.97%05-Apr-16 144.48%

11.51% Pass132.97%31-Mar-16 144.48%

11.43% Pass132.97%29-Feb-16 144.40%

11.00% Pass132.97%05-Jan-16 143.97%

80%

90%

100%

110%

120%

130%

140%

150%

160%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Class D Par Value Test

Minimum

7.68% Pass118.74%05-Oct-16 126.42%

7.66% Pass118.74%30-Sep-16 126.40%

7.65% Pass118.74%31-Aug-16 126.39%

7.40% Pass118.74%05-Jul-16 126.14%

7.40% Pass118.74%30-Jun-16 126.14%

7.27% Pass118.74%31-May-16 126.01%

7.19% Pass118.74%05-Apr-16 125.93%

7.19% Pass118.74%31-Mar-16 125.93%

7.12% Pass118.74%29-Feb-16 125.86%

6.74% Pass118.74%05-Jan-16 125.48%

80%

90%

100%

110%

120%

130%

140%

150%

160%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Page 17 of 59


05-Oct-1617-Oct-16

Coverage Tests History - Part II



Class E Par Value Test

Minimum

6.45% Pass108.91%05-Oct-16 115.36%

6.43% Pass108.91%30-Sep-16 115.34%

6.42% Pass108.91%31-Aug-16 115.33%

6.19% Pass108.91%05-Jul-16 115.10%

6.19% Pass108.91%30-Jun-16 115.10%

6.07% Pass108.91%31-May-16 114.98%

6.00% Pass108.91%05-Apr-16 114.91%

6.00% Pass108.91%31-Mar-16 114.91%

5.93% Pass108.91%29-Feb-16 114.84%

5.59% Pass108.91%05-Jan-16 114.50%

80%

90%

100%

110%

120%

130%

140%

150%

160%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Reinvestment Par Value Test

Minimum

5.85% Pass104.97%05-Oct-16 110.82%

5.83% Pass104.97%30-Sep-16 110.80%

5.82% Pass104.97%31-Aug-16 110.79%

5.60% Pass104.97%05-Jul-16 110.57%

5.60% Pass104.97%30-Jun-16 110.57%

5.49% Pass104.97%31-May-16 110.46%

5.42% Pass104.97%05-Apr-16 110.39%

5.42% Pass104.97%31-Mar-16 110.39%

5.36% Pass104.97%29-Feb-16 110.33%

5.03% Pass104.97%05-Jan-16 110.00%

80%

90%

100%

110%

120%

130%

140%

150%

160%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Page 18 of 59


05-Oct-1617-Oct-16

Coverage Tests History - Part III



Class C Interest Coverage Test

Minimum

310.14% Pass110.00%05-Oct-16 420.14%

313.13% Pass110.00%30-Sep-16 423.13%

292.94% Pass110.00%31-Aug-16 402.94%

319.01% Pass110.00%05-Jul-16 429.01%

324.16% Pass110.00%30-Jun-16 434.16%

324.00% Pass110.00%31-May-16 434.00%

253.84% Pass110.00%05-Apr-16 363.84%

262.07% Pass110.00%31-Mar-16 372.07%

236.43% Pass110.00%29-Feb-16 346.43%

225.76% Pass110.00%05-Jan-16 335.76%

100%

150%

200%

250%

300%

350%

400%

450%

500%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Class A/B Interest Coverage Test

Minimum

352.78% Pass120.00%05-Oct-16 472.78%

356.14% Pass120.00%30-Sep-16 476.14%

333.42% Pass120.00%31-Aug-16 453.42%

362.30% Pass120.00%05-Jul-16 482.30%

368.10% Pass120.00%30-Jun-16 488.10%

367.91% Pass120.00%31-May-16 487.91%

288.61% Pass120.00%05-Apr-16 408.61%

297.86% Pass120.00%31-Mar-16 417.86%

269.06% Pass120.00%29-Feb-16 389.06%

256.92% Pass120.00%05-Jan-16 376.92%

100%

150%

200%

250%

300%

350%

400%

450%

500%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

MinimumActual


Page 19 of 59


05-Oct-1617-Oct-16

Coverage Tests History - Part IV



Class E Interest Coverage Test

Minimum

198.16% Pass101.00%05-Oct-16 299.16%

200.30% Pass101.00%30-Sep-16 301.30%

185.92% Pass101.00%31-Aug-16 286.92%

205.80% Pass101.00%05-Jul-16 306.80%

209.48% Pass101.00%30-Jun-16 310.48%

209.37% Pass101.00%31-May-16 310.37%

161.00% Pass101.00%05-Apr-16 262.00%

166.93% Pass101.00%31-Mar-16 267.93%

148.46% Pass101.00%29-Feb-16 249.46%

141.95% Pass101.00%05-Jan-16 242.95%

100%

150%

200%

250%

300%

350%

400%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Class D Interest Coverage Test

Minimum

268.80% Pass105.00%05-Oct-16 373.80%

271.47% Pass105.00%30-Sep-16 376.47%

253.50% Pass105.00%31-Aug-16 358.50%

277.21% Pass105.00%05-Jul-16 382.21%

281.80% Pass105.00%30-Jun-16 386.80%

281.65% Pass105.00%31-May-16 386.65%

219.79% Pass105.00%05-Apr-16 324.79%

227.14% Pass105.00%31-Mar-16 332.14%

204.25% Pass105.00%29-Feb-16 309.25%

195.11% Pass105.00%05-Jan-16 300.11%

100%

150%

200%

250%

300%

350%

400%

450%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

MinimumActual


Page 20 of 59


05-Oct-1617-Oct-16

Collateral Quality Tests History - Part I



Moody's Minimum Weighted Average Recovery Rate Test

Minimum

4.55% Pass39.75%05-Oct-16 44.30%

4.65% Pass39.75%30-Sep-16 44.40%

5.25% Pass39.75%31-Aug-16 45.00%

5.45% Pass39.75%05-Jul-16 45.20%

5.45% Pass39.75%30-Jun-16 45.20%

5.55% Pass39.75%31-May-16 45.30%

5.25% Pass39.75%05-Apr-16 45.00%

5.25% Pass39.75%31-Mar-16 45.00%

4.95% Pass39.75%29-Feb-16 44.70%

4.75% Pass39.75%05-Jan-16 44.50%

34.0%

36.0%

38.0%

40.0%

42.0%

44.0%

46.0%

48.0%

50.0%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Moody's Maximum Weighted Average Rating Factor Test

Maximum

414 Pass3,24905-Oct-16 2,835

424 Pass3,25730-Sep-16 2,833

446 Pass3,30531-Aug-16 2,859

489 Pass3,32105-Jul-16 2,832

489 Pass3,32130-Jun-16 2,832

524 Pass3,32931-May-16 2,805

566 Pass3,30505-Apr-16 2,739

567 Pass3,30531-Mar-16 2,738

529 Pass3,28129-Feb-16 2,752

514 Pass3,26505-Jan-16 2,751

2,600

2,700

2,800

2,900

3,000

3,100

3,200

3,300

3,400

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Maximum


Moody's Minimum Diversity Test

Minimum

9.09 Pass42.0005-Oct-16 51.09

9.34 Pass42.0030-Sep-16 51.34

9.46 Pass42.0031-Aug-16 51.46

9.94 Pass42.0005-Jul-16 51.94

9.94 Pass42.0030-Jun-16 51.94

9.98 Pass42.0031-May-16 51.98

8.22 Pass42.0005-Apr-16 50.22

8.22 Pass42.0031-Mar-16 50.22

8.86 Pass42.0029-Feb-16 50.86

8.76 Pass42.0005-Jan-16 50.76

43

44

45

46

47

48

49

50

51

52

53

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Page 21 of 59


05-Oct-1617-Oct-16

Collateral Quality Tests History - Part II



Weighted Average Life Test

Maximum

0.19 Pass5.5305-Oct-16 5.34

0.24 Pass5.5430-Sep-16 5.30

0.44 Pass5.6231-Aug-16 5.18

0.46 Pass5.7805-Jul-16 5.32

0.45 Pass5.7930-Jun-16 5.34

0.53 Pass5.8831-May-16 5.35

0.68 Pass6.0305-Apr-16 5.35

0.67 Pass6.0431-Mar-16 5.37

0.69 Pass6.1329-Feb-16 5.44

0.79 Pass6.2805-Jan-16 5.49

4.00

4.50

5.00

5.50

6.00

6.50

7.00

7.50

8.00

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Maximum


Moody's Minimum Weighted Average Coupon Test

Minimum

7.09% Pass5.50%05-Oct-16 12.59%

7.62% Pass5.50%30-Sep-16 13.12%

9.72% Pass5.50%31-Aug-16 15.22%

8.39% Pass5.50%05-Jul-16 13.89%

8.37% Pass5.50%30-Jun-16 13.87%

8.00% Pass5.50%31-May-16 13.50%

7.54% Pass5.50%05-Apr-16 13.04%

7.52% Pass5.50%31-Mar-16 13.02%

6.28% Pass5.50%29-Feb-16 11.78%

5.54% Pass5.50%05-Jan-16 11.04%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

20.00%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Moody's Minimum Weighted Average Floating Spread Test

Minimum

1.26% Pass4.00%05-Oct-16 5.26%

1.37% Pass4.00%30-Sep-16 5.37%

1.41% Pass4.00%31-Aug-16 5.41%

1.39% Pass4.00%05-Jul-16 5.39%

1.39% Pass4.00%30-Jun-16 5.39%

1.35% Pass4.00%31-May-16 5.35%

1.22% Pass4.00%05-Apr-16 5.22%

1.21% Pass4.00%31-Mar-16 5.21%

1.20% Pass4.00%29-Feb-16 5.20%

0.99% Pass4.00%05-Jan-16 4.99%

3.60%

3.80%

4.00%

4.20%

4.40%

4.60%

4.80%

5.00%

5.20%

5.40%

5.60%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Page 22 of 59


05-Oct-1617-Oct-16

Collateral Quality Tests History - Part III



Fitch Maximum Weighted Average Rating Factor Test

Maximum

2.71 Pass36.0005-Oct-16 33.29

2.64 Pass36.0030-Sep-16 33.36

2.58 Pass36.0031-Aug-16 33.42

2.70 Pass36.0005-Jul-16 33.30

2.70 Pass36.0030-Jun-16 33.30

2.67 Pass36.0031-May-16 33.33

2.86 Pass36.0005-Apr-16 33.14

2.90 Pass36.0031-Mar-16 33.10

2.56 Pass36.0029-Feb-16 33.44

2.12 Pass36.0005-Jan-16 33.88

26

28

30

31

33

35

37

38

40

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

MaximumActual


Fitch Minimum Weighted Average Recovery Rate Test

Minimum

1.8% Pass62.8%05-Oct-16 64.6%

1.9% Pass62.8%30-Sep-16 64.7%

2.8% Pass62.8%31-Aug-16 65.6%

3.2% Pass62.8%05-Jul-16 66.0%

3.1% Pass62.8%30-Jun-16 65.9%

3.6% Pass62.8%31-May-16 66.4%

3.3% Pass62.8%05-Apr-16 66.1%

3.3% Pass62.8%31-Mar-16 66.1%

1.9% Pass62.8%29-Feb-16 64.7%

2.3% Pass62.8%05-Jan-16 65.1%

60%

62%

64%

66%

68%

70%

72%

74%

76%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

Actual Minimum


Page 23 of 59


05-Oct-1617-Oct-16

Collateral Quality Tests History - Part IV



Fitch Minimum Weighted Average Fixed Coupon Test

Minimum

3.28% Pass6.50%05-Oct-16 9.78%

3.84% Pass6.50%30-Sep-16 10.34%

5.26% Pass6.50%31-Aug-16 11.76%

4.36% Pass6.50%05-Jul-16 10.86%

4.35% Pass6.50%30-Jun-16 10.85%

4.02% Pass6.50%31-May-16 10.52%

3.44% Pass6.50%05-Apr-16 9.94%

3.42% Pass6.50%31-Mar-16 9.92%

2.67% Pass6.50%29-Feb-16 9.17%

1.75% Pass6.50%05-Jan-16 8.25%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%

12.00%

13.00%

14.00%

15.00%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

MinimumActual


Fitch Minimum Weighted Average Spread Test

Minimum

0.74% Pass4.50%05-Oct-16 5.24%

0.85% Pass4.50%30-Sep-16 5.35%

0.88% Pass4.50%31-Aug-16 5.38%

0.89% Pass4.50%05-Jul-16 5.39%

0.89% Pass4.50%30-Jun-16 5.39%

0.85% Pass4.50%31-May-16 5.35%

0.70% Pass4.50%05-Apr-16 5.20%

0.70% Pass4.50%31-Mar-16 5.20%

0.69% Pass4.50%29-Feb-16 5.19%

0.47% Pass4.50%05-Jan-16 4.97%

4.00%

4.20%

4.40%

4.60%

4.80%

5.00%

5.20%

5.40%

5.60%

05-Jan-16

29-Feb-16

31-Mar-16

05-Apr-16

31-May-16

30-Jun-16

05-Jul-16

31-Aug-16

30-Sep-16

05-Oct-16

MinimumActual


Page 24 of 59


05-Oct-1617-Oct-16

Assets Purchased


Security I.D. Security Name

Transaction

Motivation

Trade

Date

Par Amount

(EUR) Price

Principal

Proceeds

Total

Amount

Affiliated

Seller

BL0441859 Misys New T/L B 04-Oct-16 1,150,000.00 100.00 1,150,000.00 1,150,000.00

Totals: 1,150,000.00 1,150,000.00 1,150,000.00 1


Page 25 of 59


05-Oct-1617-Oct-16

Assets Sold


Security I.D. Security Name

Transaction

Motivation

Trade

Date

Par Amount

(EUR) Price

Principal

Proceeds

Total

Amount % of ACPA

Affiliated

Purchaser

1,066,275.00 1,066,275.00 101.55 1,050,000.00 03-Oct-16Credit Improved SecurityWINDIM 4 07/15/20 CORPEK3488500

412,000.00 412,000.00 103.00 400,000.00 03-Oct-16Credit Improved SecurityAXTA 4 1/4 08/15/24 CORPQZ0952759

Total: 2 1,450,000.00 1,478,275.00 1,478,275.00 - %


Page 26 of 59


05-Oct-1617-Oct-16

Principal Repayments


Issue NameTransaction DescriptionTrade Date Security I.D. Debits Credits Total

Oxea T/L BLoan - Principal Repayment05-Oct-16 BL0342859 7,556.67 7,556.67

Totals: - 7,556.67 7,556.67

the €4,829,421.03 Misys EUR T/L facility are being treated as repaid. Received a redemption notice. Cash yet to be received.

In addition to the above, the €300,000 TMFG 0 12/01/18, €1,000,000 UNILAB 0 07/15/18, €1,100,000 UNILAB 8 1/2 07/15/18 securities and


Page 27 of 59

Market

Value

Fitch

Recovery

Rate

Moody's

Recovery

RateCouponSpreadFloorPrincipal Balance Maturity DateAsset TypeISIN/LoanX ID Issuer/FacilitySecurity I.D.


05-Oct-1617-Oct-16

Current Asset Characteristics - Part I


99.50 100.00 50.00 4.00% 3.25% 39,879.31 01-Jun-22 0.75% Secured Senior LoanA Schulman T/L B EURBL0400251 LX144408

97.55 43.00 50.00 5.00% 4.00% 1,647,058.82 29-Sep-20 1.00% Secured Senior LoanAenova - TemmlerBL0388134 LX142052

97.55 43.00 50.00 5.00% 4.00% 2,352,941.18 29-Sep-20 1.00% Secured Senior LoanAenova Term LoanBL0380917 LX139191

100.39 52.00 45.00 3.75% 3.75% 500,000.00 31-May-21 - Secured Senior LoanAhlsell T/L B1BL0374761 LX123439

95.00 - 15.00 8.25% 7.25% 3,300,000.00 30-Jun-22 1.00% Second Lien LoanALL 3 Media Second LienBL0375586 LX137656

101.47 79.00 45.00 5.00% 4.25% 5,900,000.00 13-Sep-23 0.75% Secured Senior LoanAllnex T/L B1 (EUR)BL0428682 LX152755

99.78 47.00 50.00 5.25% 4.25% 2,408,882.16 30-Aug-21 1.00% Secured Senior LoanAlstom Term Loan B1BL0376345 LX137858

99.78 47.00 50.00 5.25% 4.25% 2,883,117.55 30-Aug-21 1.00% Secured Senior LoanAlstom Term Loan B2BL0384117 LX139119

103.24 79.00 35.00 5.25% - 1,350,000.00 15-Feb-23 N/A Secured Senior NoteALTICE 02/15/23EK7170955 XS1181246775

101.08 79.00 45.00 4.00% 3.00% 2,282,778.75 24-Jul-23 1.00% Secured Senior LoanAltice T/L B (EUR) NewBL0431272 LX153089

99.50 100.00 50.00 5.25% 4.25% 3,880,998.45 01-Aug-21 1.00% Secured Senior LoanAmaya Initial Euro Term LoanBL0408338 LX139772

96.82 66.00 40.00 4.75% 4.75% 1,800,000.00 19-Aug-22 - Secured Senior LoanAmedes TL BBL0407819 LX146944

100.38 100.00 50.00 3.50% 2.75% 3,890,250.31 24-Feb-21 0.75% Secured Senior LoanAramark Irish T/L CBL0370462 LX135682

100.83 63.00 50.00 4.50% 4.50% 3,250,000.00 01-Mar-23 - Secured Senior LoanArmacell EUR TL B2BL0394181 LX154932

102.37 32.00 35.00 4.95% 5.25% 2,550,000.00 01-Nov-21 - Secured Senior NoteARRGL 0 11/01/21EK5705562 XS1132462786

101.00 32.00 35.00 4.75% 4.75% 600,000.00 01-May-23 0.00% Secured Senior NoteARRGL 4 3/4 01/05/23JK7883313 XS1396892751

94.50 50.00 45.00 5.00% 5.00% 3,500,000.00 14-Apr-22 - Secured Senior LoanAS Adventure EUR TLBL0397051 LX143652

99.50 99.00 50.00 4.50% 3.50% 3,424,746.94 12-Feb-21 1.00% Secured Senior LoanAtrium Term LoanBL0362428 LX135022

98.84 20.00 25.00 3.75% - 2,800,000.00 15-Jan-25 N/A Unsecured Senior ObligationAXTA 3 3/4 01/15/25 CorpQZ5439364 XS1492656787

102.88 20.00 25.00 4.25% - 800,000.00 15-Aug-24 N/A Unsecured Senior ObligationAXTA 4 1/4 08/15/24 CORPQZ0952759 XS1468538035

100.48 62.00 50.00 6.50% 5.50% 1,737,123.74 16-Dec-22 1.00% Secured Senior LoanAzelis Finance T/L (EUR)BL0415754 LX149550

100.00 69.00 45.00 6.00% 5.00% 3,600,000.00 14-Mar-23 1.00% Secured Senior LoanB&B T/L B1BL0422057 LX150758

107.00 36.00 35.00 7.75% - 250,000.00 15-Sep-22 N/A Secured Senior NoteBaltal 7 3/4 15/9/2022 corpUV3539714 XS1265917481

101.11 64.00 50.00 4.75% 3.75% 1,291,760.05 13-Aug-22 1.00% Secured Senior LoanBeauty Holding T/L B10BL0436529 LX154114


101.11 64.00 50.00 4.75% 3.75% 239,179.43 13-Aug-22 1.00% Secured Senior LoanBeauty Holding T/L B12BL0436545 LX154116





100.56 100.00 45.00 4.00% 3.00% 2,145,000.00 21-Mar-21 1.00% Secured Senior LoanBelmond T/L Euro (Orient-Express

Hotels)

BL0368706 LX135877

101.16 53.00 45.00 5.25% 5.25% 2,357,142.86 01-Sep-23 - Secured Senior LoanBilfinger Term Loan B1 (Triangle FM

Services Holding GmbH)

BL0436958 LX154393

101.16 53.00 45.00 5.25% 5.25% 942,857.14 01-Sep-23 - Secured Senior LoanBilfinger Term Loan B2 (Silenus)BL0437808 LX154417

99.25 72.00 60.00 5.50% 4.50% 1,345,000.00 10-Sep-20 1.00% Secured Senior LoanBMC Software T/L (EUR)BL0348401 LX131858


Page 28 of 59

Market

Value

Fitch

Recovery

Rate

Moody's

Recovery



05-Oct-1617-Oct-16



94.00 44.00 35.00 6.63% - 5,000,000.00 15-Jul-19 N/A Secured Senior NoteBOIGRP6 5/8 07/15/19EK3608396 XS1028951009

92.73 52.00 30.00 4.38% - 2,000,000.00 15-Jul-21 N/A Unsecured Senior ObligationBOPRLN 4 3/8 07/15/21 CORPEK3486827 XS1082473395

100.50 53.00 45.00 5.25% - 7,800,000.00 15-Jun-21 N/A Secured Senior NoteCABB €235m 5.25% FXD notes due 2021

(REGS)

EK2997865 XS1074935229

100.43 100.00 45.00 4.25% 3.25% 4,887,556.48 20-May-21 1.00% Secured Senior LoanCatalent Pharma T/L B EURBL0373078 LX137091

103.44 60.00 35.00 7.00% - 2,650,000.00 01-Feb-20 N/A Secured Senior NoteCERBA 7 02/01/20EJ5150770 XS0877607076

80.00 42.00 60.00 6.50% 5.50% 5,362,500.00 31-Mar-21 1.00% Secured Senior LoanCeva Term Loan BBL0368375 LX136100

101.19 95.00 45.00 4.25% 3.50% 1,650,000.00 01-Aug-23 0.75% Secured Senior LoanCoherent Holding T/L BBL0435521 LX153899

98.53 56.00 50.00 4.25% 4.25% 487,754.43 19-Nov-20 - Secured Senior LoanCool International Holding B1BL0382822 LX140097

101.02 72.00 45.00 4.75% 4.75% 1,200,000.00 30-Jan-23 - Secured Senior LoanCooper Pharma T/L BBL0415978 LX149230

101.04 100.00 45.00 3.50% 2.75% 1,695,750.00 27-Oct-22 0.75% Secured Senior LoanCoty Inc T/L B IncrementalBL0415341 LX152293

101.04 100.00 45.00 3.50% 2.75% 796,000.00 27-Oct-22 0.75% Secured Senior LoanCoty T/L BBL0411472 LX148102

101.13 76.00 45.00 4.75% 3.75% 1,000,000.00 03-Dec-20 1.00% Secured Senior LoanCPA Global T/L BBL0356719 LX133726

96.98 12.00 25.00 7.00% - 1,225,000.00 15-Jan-23 N/A Unsecured Senior ObligationCSTM 7 01/15/23 CorpEK6427018 XS1151723282

102.63 40.00 25.00 4.75% - 3,100,000.00 30-May-22 N/A Unsecured Senior ObligationDAR 4 3/4 05/30/22 CorpEK9373995 XS1240984754

100.29 64.00 45.00 4.25% 3.50% 3,596,359.37 01-Jul-22 0.75% Secured Senior LoanDE Master Blenders T/L BBL0409286 LX138200

52.25 - 15.00 7.75% 6.75% 1,000,000.00 13-Jun-22 1.00% Second Lien LoanDeoleo 2nd LienBL0375016 LX137334

86.40 41.00 45.00 4.50% 3.50% 6,000,000.00 11-Jun-21 1.00% Secured Senior LoanDeoleo Term LoanBL0375008 LX137333

101.33 100.00 50.00 5.00% 4.25% 1,950,000.00 06-Nov-23 0.75% Secured Senior LoanDiebold T/L B (EUR)BL0423915 LX151921

93.25 46.00 45.00 5.50% 4.50% 3,600,000.00 31-Jul-22 1.00% Secured Senior LoanDSM Polymers T/L B EURBL0400269 LX144215

99.13 65.00 45.00 5.00% 5.00% 2,550,000.00 05-Dec-22 - Secured Senior LoanDummen Orange T/L BBL0415903 LX149620

101.49 60.00 35.00 4.50% - 1,150,000.00 31-May-22 N/A Secured Senior NoteEIRCMF 4 1/2 05/31/22LW3429476 XS1432395785

100.27 60.00 45.00 4.50% 4.50% 3,668,250.50 31-May-22 - Secured Senior LoanEircom Holdings T/L B-4BL0438467 LX154492

92.25 59.00 50.00 7.00% 6.00% 7,460,767.58 13-Aug-21 1.00% Secured Senior LoanEndemol Euro T/L (1st Lien)BL0380925 LX139557

90.00 90.00 50.00 5.00% 4.00% 8,000,000.01 16-May-21 1.00% Secured Senior LoanERM T/L B2BL0373383 LX137157

101.09 57.00 45.00 5.00% 5.00% 1,500,000.00 21-Jul-23 - Secured Senior LoanEthypharm T/L BBL0431520 LX152975

100.83 61.00 50.00 4.50% 3.50% 1,396,410.26 08-May-19 1.00% Secured Senior LoanExopack T/L B-1BL0400277 LX133459

96.25 - 15.00 8.25% 7.25% 2,992,832.00 06-Sep-22 1.00% Second Lien LoanFlint Group TL 2LBL0373086 LX136884

100.50 60.00 50.00 4.25% 3.25% 2,520,900.13 07-Sep-21 1.00% Secured Senior LoanFlint Term Loan B4BL0417594 LX149864

100.85 42.00 45.00 4.25% 4.25% 1,379,020.86 07-Sep-23 - Secured Senior LoanFoncia Term Loan B NewBL0435729 LX153737

97.50 55.00 45.00 4.45% 4.75% 750,000.00 15-Jun-21 - Secured Senior NoteGALAPG 0 06/15/21EK2868538 XS1071411547

93.50 55.00 45.00 5.38% - 1,520,000.00 15-Jun-21 N/A Secured Senior NoteGALAPG 5 3/8 06/15/21EK2868413 XS1071419524

97.43 63.00 50.00 4.75% 3.75% 7,098,746.86 30-Jul-20 1.00% Secured Senior LoanGardner Denver T/L (EUR) (Renaissance

Acquisition)

BL0346918 LX128916

102.25 15.00 30.00 7.50% - 1,000,000.00 01-Aug-22 N/A High Yield Bondgarfun 7 1/2 01/08/2022 CorpAF2808703 XS1263891910

99.59 63.00 50.00 4.25% 3.25% 1,931,633.65 06-Jul-21 1.00% Secured Senior LoanGates Global Euro Term LoanBL0375990 LX137852


Page 29 of 59

Market

Value

Fitch

Recovery

Rate

Moody's

Recovery



05-Oct-1617-Oct-16



100.18 83.00 45.00 5.08% 5.38% 650,000.00 15-Nov-19 - Secured Senior NoteGCLIM 0 11/15/19EJ4346262 XS0852482941

100.56 60.00 45.00 5.20% 5.50% 2,763,097.36 28-Apr-22 - Secured Senior LoanGenco T/L B (EUR)BL0397572 LX143961

100.64 15.00 35.00 5.50% 5.50% 1,450,000.00 01-Oct-21 - Secured Senior NoteGFKLDE Float 10/01/21 CorpQZ5252304 XS1492372088

100.75 64.00 45.00 4.75% 3.75% 2,200,000.00 27-Aug-21 1.00% Secured Senior LoanGHD Term LoanBL0379745 LX139056

104.00 62.00 50.00 5.50% 5.50% 550,000.00 31-Dec-20 1.00% Secured Senior LoanGlobal Garden Products Tranche BBL0436131 LX153881

99.13 73.00 40.00 4.00% 4.00% 3,291,116.00 27-Sep-21 - Secured Senior LoanHes Beheer T/L BBL0379679 LX139672

105.50 55.00 25.00 6.88% - 1,825,000.00 15-Aug-21 N/A Secured Senior NoteHOMEVI 08/04/2021EK4104502 XS1093814116

98.45 43.00 45.00 6.25% 6.25% 2,900,000.00 12-Sep-23 - Secured Senior LoanHotelbeds TL BBL0430316 LX152965

97.50 20.00 25.00 4.25% - 2,000,000.00 01-Apr-25 N/A Unsecured Senior ObligationHUN 41/4 04/01/25 CORPJK4045932 XS1395182683

100.60 70.00 45.00 4.00% - 1,300,000.00 01-May-23 N/A Secured Senior NoteINEGRP 4 05/01/23 CorpEK8758220 XS1117296209

100.53 70.00 50.00 4.00% 3.00% 1,402,486.00 15-Dec-20 1.00% Secured Senior LoanIneos Term Loan 2020BL0401572 LX144980

99.90 76.00 50.00 4.50% 3.50% 1,683,000.00 05-Aug-22 1.00% Secured Senior LoanInformatica T/LBL0401838 LX144873

99.88 53.00 25.00 4.70% 5.00% 6,165,850.04 31-Mar-20 - Secured Senior NoteINNOGB 0 03/31/20EK0675638 XS1032974609

100.72 55.00 45.00 4.25% 3.25% 2,371,777.78 11-Aug-23 1.00% Secured Senior LoanION Trading B-1 Euro T/L (NEW)BL0437212 LX147780

99.53 69.00 35.00 4.45% 4.75% 500,000.00 01-Mar-21 - Secured Senior NoteKERNOS 0 03/01/21EK0958133 XS1040429455

101.51 100.00 45.00 5.00% 4.25% 5,087,250.00 03-Mar-23 0.75% Secured Senior LoanKeurig Green Mountain (Maple Holdings)

T/L B (EUR)

BL0420465 LX150734

100.98 67.00 50.00 5.00% 4.00% 340,525.23 28-Apr-20 1.00% Secured Senior LoanKlockner Pentaplast Initial Erste T/LBL0398117 LX144028

100.98 67.00 50.00 5.00% 4.00% 301,349.77 28-Apr-20 1.00% Secured Senior LoanKlockner Pentaplast Initial GmbH T/LBL0400053 LX144434

98.42 54.00 45.00 6.50% 5.50% 4,550,000.00 19-May-23 1.00% Secured Senior LoanKuoni T/L BBL0427304 LX152521

105.92 60.00 35.00 6.25% - 350,000.00 01-Jul-22 N/A Secured Senior NoteLABFP 6 1/4 07/01/22 CorpEK9755621 XS1117292984

104.05 40.00 35.00 7.00% - 2,150,000.00 15-Aug-21 N/A Secured Senior NoteLINDOR 7 08/15/21EK4113766 XS1094612378

100.00 40.00 35.00 5.50% 5.50% 4,000,000.00 15-Aug-20 0.00% Secured Senior NoteLINDOR Float 08/15/20EK4113867 XS1094672273

100.55 63.00 45.00 4.25% 4.25% 2,580,725.01 30-Jun-21 - Secured Senior LoanM7 Facility B (D)BL0403362 LX145356

100.50 98.00 45.00 5.50% 4.50% 841,500.00 07-Jun-20 1.00% Secured Senior LoanMacDermid European T/L C2BL0414914 LX148874

101.00 98.00 45.00 5.50% 4.50% 3,774,719.31 07-Jun-20 1.00% Secured Senior LoanMacDermid Term LoanBL0380560 LX137218

100.47 54.00 50.00 4.25% 3.25% 5,709,500.00 31-Jul-21 1.00% Secured Senior LoanMauser T/L DBL0444358 LX155286

90.05 67.00 45.00 7.00% 6.00% 851,446.51 28-Jun-19 1.00% Secured Senior LoanMaxeda Facility E1BL0407181 LX147068

90.05 67.00 45.00 7.00% 6.00% 1,148,553.49 28-Jun-19 1.00% Secured Senior LoanMaxeda Facility E2BL0407199 LX147069

100.63 39.00 45.00 4.50% 4.50% 2,000,000.00 28-Feb-22 - Secured Senior LoanMediq Add on T/L B3BL0436966 LX154103

99.25 90.00 50.00 3.70% 4.00% 1,849,623.61 28-May-21 - Secured Senior LoanMemora T/L BBL0374456 LX137058

101.44 78.00 50.00 3.25% 3.25% 1,150,000.00 04-Oct-23 - Secured Senior LoanMisys New T/L BBL0441859 LX155220

100.33 100.00 50.00 3.75% 2.75% 493,750.00 20-Oct-21 1.00% Secured Senior LoanMPG Holdco T/L B2 (Metaldyne)BL0399404 LX144528

101.11 80.00 55.00 3.75% - 450,000.00 01-Oct-23 N/A Secured Senior NoteNH Hotels 10/1/2023QZ6609874 XS1497527736

98.00 59.00 50.00 6.50% 5.50% 3,900,000.00 23-Mar-22 1.00% Secured Senior LoanNorthgate New EUR T/LBL0418022 LX149587


Page 30 of 59

Market

Value

Fitch

Recovery

Rate

Moody's

Recovery



05-Oct-1617-Oct-16



101.10 38.00 45.00 5.00% 5.00% 2,250,000.00 22-Jun-23 - Secured Senior LoanNovacap T/L BBL0427296 LX152525

104.00 79.00 35.00 5.38% - 2,000,000.00 15-May-22 N/A Secured Senior NoteNUMFP 5 3/8 05/15/22EK1798025 XS1028956222

103.84 79.00 35.00 5.63% - 5,000,000.00 15-May-24 N/A Secured Senior NoteNUMFP 5 5/8 05/15/24EK1798207 XS1028956149

100.63 87.00 45.00 3.75% 3.75% 2,250,000.00 10-Aug-22 - Secured Senior LoanOptimal Payments Term Loan BBL0402646 LX145020

101.16 68.00 45.00 3.75% 3.00% 3,165,345.87 23-Jul-21 0.75% Secured Senior LoanOrion Engineered Term LoanBL0381279 LX139695

96.22 58.00 45.00 4.50% 3.50% 2,931,989.90 15-Jan-20 1.00% Secured Senior LoanOxea T/L B-1BL0342859 LX129945

97.15 41.00 35.00 4.95% 5.25% 4,600,000.00 15-May-20 - Secured Senior NotePAROCG 0 05/15/20EK2554468 XS1028955174

101.78 41.00 35.00 6.25% - 1,400,000.00 15-May-20 N/A Secured Senior NotePAROCG 6 1/4 05/15/20EK2554286 XS1028955505

100.60 71.00 45.00 4.20% 4.50% 400,000.00 01-May-22 - Secured Senior NotePROGRP Float 05/01/22 CorpEK8804131 DE000A161GE9

80.50 58.00 35.00 4.46% 4.75% 4,909,090.91 15-Apr-19 - Secured Senior NoteQUIBB 0 04/15/19EK1647990 XS1054086928

101.43 80.00 45.00 3.00% 3.00% 2,000,000.00 30-Sep-23 - Secured Senior LoanR&R Ice Cream T/L BBL0441479 LX154933

100.38 82.00 50.00 4.25% 3.25% 1,078,082.50 01-Oct-21 1.00% Secured Senior LoanRanpak Tranche B1BL0401184 LX144512

98.50 56.00 45.00 5.50% 5.50% 3,250,000.00 29-Jun-23 - Secured Senior LoanRiemser Pharma T/L BBL0435257 LX153882

96.00 68.00 50.00 4.13% 4.50% 2,000,000.00 30-May-19 - Secured Senior LoanRodenstock T/L B extBL0374290 LX137408

99.50 100.00 50.00 4.63% 5.00% 1,800,000.00 31-Dec-18 - Secured Senior LoanSafety Kleen New Facility B2BL0360042 LX134793

99.50 100.00 50.00 4.63% 5.00% 1,800,000.00 31-Dec-18 - Secured Senior LoanSafety Kleen New Facility C2BL0360059 LX134794

100.49 40.00 45.00 4.50% 3.50% 3,909,870.84 17-Dec-20 1.00% Secured Senior LoanSAM Finance Term LoanBL0357048 LX133835

99.83 67.00 45.00 6.25% 5.50% 3,500,000.00 13-May-22 0.75% Secured Senior LoanSchenck T/L B (New)BL0425977 LX152255

100.40 55.00 50.00 3.75% 3.75% 550,000.00 11-Mar-22 - Secured Senior LoanSIG Combibloc EUR T/LBL0442162 LX143111

100.40 55.00 50.00 3.75% 3.75% 2,438,601.32 13-Mar-22 - Secured Senior LoanSIG Combibloc T/LBL0392680 LX143111

100.44 65.00 50.00 4.00% 3.00% 3,128,000.00 01-May-21 1.00% Secured Senior LoanSignode Industrial T/L EURBL0370249 LX136339

106.07 74.00 35.00 5.88% - 200,000.00 01-May-23 N/A Secured Senior NoteSMCPFP 5 7/8 01/15/23LW0594595 XS1405782316

100.58 77.00 50.00 5.00% 4.00% 498,750.00 31-Jul-21 1.00% Secured Senior LoanSolenis Add-on T/LBL0426223 LX152444

100.59 77.00 50.00 4.50% 3.50% 2,491,316.22 31-Jul-21 1.00% Secured Senior LoanSolenis Term LoanBL0377871 LX138124

101.00 100.00 60.00 5.75% 4.75% 6,666,500.00 28-Feb-23 1.00% Secured Senior LoanSolera Finance T/L BBL0422347 LX151195

100.25 48.00 45.00 4.75% 4.75% 1,500,000.00 16-Dec-22 - Secured Senior LoanSolina T/L BBL0415283 LX149311

101.87 40.00 25.00 4.00% - 2,050,000.00 01-Oct-26 N/A Unsecured Senior ObligationSpectrum 4 10/01/2026QZ5422972 XS1493296500

100.63 95.00 60.00 3.50% 2.75% 182,952.78 23-Jun-22 0.75% Secured Senior LoanSpectrum Brands T/L (EUR)BL0402554 LX144957

99.84 78.00 45.00 4.75% 3.75% 4,992,472.50 14-Aug-20 1.00% Secured Senior LoanSpringer Science T/L B8BL0395576 LX143524

99.94 78.00 45.00 4.75% 3.75% 5,000,000.00 14-Aug-20 1.00% Secured Senior LoanSpringer Senior T/L B10BL0431223 LX153230

101.44 94.00 45.00 4.75% 3.75% 4,251,400.31 30-Sep-21 1.00% Secured Senior LoanStyrolution (Ineos) T/L B (09/16)BL0441180 LX155052

100.00 70.00 50.00 5.00% 4.00% 242,539.68 29-Jul-22 1.00% Secured Senior LoanSunrise Medical T/L B2BL0406035 LX146812

99.83 70.00 50.00 5.00% 4.00% 1,757,460.32 29-Jul-22 1.00% Secured Senior LoanSunrise Medical Term Loan B1BL0405342 LX145738

103.50 60.00 55.00 6.75% - 1,250,000.00 15-Dec-21 N/A Secured Senior NoteSwissport 6 3/4 12/15/21QJ9775363 XS1331156684

100.58 60.00 60.00 6.25% 5.25% 6,300,000.00 09-Feb-22 1.00% Secured Senior LoanSwissport Investments T/L BBL0415457 LX149082


Page 31 of 59

Market

Value

Fitch

Recovery

Rate

Moody's

Recovery



05-Oct-1617-Oct-16



55.50 23.00 35.00 6.71% 7.00% 100,000.00 15-Apr-19 - Secured Senior NoteTAKKO 0 04/15/19EJ5964667 XS0908516320

63.90 23.00 35.00 9.88% - 1,330,000.00 15-Apr-19 N/A Secured Senior NoteTAKKO 9 7/8 04/15/19EJ5964568 XS0908516080

100.88 90.00 45.00 5.00% 4.00% 2,868,992.68 10-Jul-20 1.00% Secured Senior LoanTechnicolor T/L B EURBL0346512 LX130702

100.47 71.00 45.00 4.50% 4.50% 2,600,000.00 04-Jan-21 - Secured Senior LoanTele Columbus Incremental T/L CBL0416471 LX148796

100.25 71.00 45.00 4.50% 4.50% 1,150,000.00 02-Jan-21 - Secured Senior LoanTele Columbus T/L CBL0407686 LX146895

100.29 80.00 45.00 3.50% 3.50% 2,100,000.00 30-Jun-23 - Secured Senior LoanTelenet T/L AABL0399479 LX144238

100.35 80.00 45.00 3.50% 3.50% 3,600,000.00 30-Jun-23 - Secured Senior LoanTelenet T/L YBL0369456 LX136361

100.38 55.00 50.00 5.25% 4.25% 3,450,000.00 27-Jan-23 1.00% Secured Senior LoanTen Cate EUR T/L BBL0413429 LX147761

99.63 100.00 60.00 3.50% 2.75% 1,832,914.94 13-Aug-21 0.75% Secured Senior LoanTerex T/L (Euro) NewBL0401846 LX144962

99.31 70.00 45.00 5.75% 5.75% 1,700,000.00 30-Jun-22 - Secured Senior LoanTerreal Term Loan BBL0432593 LX153379

100.89 51.00 45.00 6.50% 5.50% 2,700,000.00 08-Aug-22 1.00% Secured Senior LoanTipico EUR T/LBL0429540 LX152547

101.41 61.00 45.00 4.00% 4.00% 1,650,000.00 30-Sep-23 - Secured Senior LoanTMF T/L BBL0441750 LX155136

101.20 58.00 50.00 4.25% 4.25% 2,250,000.00 30-Sep-21 - Secured Senior LoanUnilabs Diagnostics TL BBL0441537 LX155194

100.22 57.00 45.00 4.25% 4.25% 1,000,000.00 17-Mar-21 - Secured Senior LoanUnit 4 T/L B1BL0360596 LX141580

100.33 83.00 45.00 4.25% 3.25% 1,188,000.00 01-Jul-22 1.00% Secured Senior LoanUnivar T/LBL0403875 LX145475

99.20 70.00 35.00 4.00% - 1,000,000.00 15-Jan-27 N/A Secured Senior NoteUPCB 4 01/15/27 CorpEK8372022 XS1117297603

99.57 74.00 50.00 4.00% 4.00% 2,200,000.00 06-May-22 - Secured Senior LoanValeo T/L BBL0401267 LX144621

100.63 41.00 45.00 4.50% 3.50% 3,850,000.00 31-Oct-22 1.00% Secured Senior LoanVerallia T/L B2BL0432031 LX153197

101.24 62.00 50.00 4.50% 3.50% 6,050,000.00 21-Oct-22 1.00% Secured Senior LoanVerisure Holdings T/L B1-ABL0413395 LX152986

95.50 78.00 45.00 7.50% - 1,700,000.00 01-Feb-23 N/A Secured Senior NoteVeritas 7.5% 01/02/2023JV8940480 XS1357678322

94.00 78.00 50.00 6.63% 5.63% 2,189,000.00 27-Jan-23 1.00% Secured Senior LoanVeritas Term LoanBL0414872 LX151041

79.20 43.00 25.00 4.50% - 2,000,000.00 15-May-23 N/A Unsecured Senior ObligationVRXCN 4 1/2 05/15/23 CorpEK7990790 XS1205619288

100.66 57.00 35.00 4.96% 5.25% 2,000,000.00 15-Jul-20 - Secured Senior NoteVUECIN 0 07/15/20EJ7472784 XS0953085627

100.80 100.00 50.00 4.00% 3.25% 893,250.00 15-Jan-22 0.75% Secured Senior LoanVWR New TL B (EUR)BL0410094 LX147837

102.05 50.00 15.00 4.63% - 600,000.00 15-Apr-22 N/A Unsecured Senior ObligationVWRINT 4 5/8 04/15/22 CorpEK8124134 XS1207387801

99.81 100.00 50.00 3.00% 2.25% 1,054,151.90 03-Feb-21 0.75% Secured Senior LoanW.R. Grace T/L (EUR)BL0362188 LX135122

100.75 62.00 45.00 4.75% 3.75% 1,600,000.00 28-Aug-23 1.00% Secured Senior LoanWall Street Systems EUR Term LoansBL0439010 LX154739

101.16 95.00 45.00 4.00% 3.25% 6,284,250.00 29-Apr-23 0.75% Secured Senior LoanWestern Digital T/L B1 (NEW)BL0441719 LX155051

99.02 44.00 35.00 9.50% - 900,000.00 15-Jul-22 N/A Secured Senior NoteWFSGLB 9 1/2 07/15/2022 CORPEK9787152 XS1252776759

102.60 93.00 45.00 6.25% - 810,000.00 15-Jan-21 N/A Secured Senior NoteWMG 6 1/4 01/15/21EJ4198358 XS0849907521

99.55 92.00 35.00 4.25% - 1,700,000.00 15-Jan-27 N/A Secured Senior NoteZiggo B.V. 15/01/2027QZ5802454 XS1493836461

100.16 92.00 45.00 3.75% 3.75% 6,000,000.00 30-Aug-24 - Secured Senior LoanZiggo T/L C (EUR)BL0437691 LX154363

Totals: 169 402,318,684.22


Page 32 of 59

Fitch Industry ClassificationMoody's Industry ClassificationCountryObligorISIN/LoanX ID Issuer/FacilitySecurity I.D.


05-Oct-1617-Oct-16

Current Asset Characteristics - Part II


ChemicalsChemicals, Plastics, & RubberUnited StatesA. Schulman, Inc.A Schulman T/L B EURBL0400251 LX144408

PharmaceuticalsHealthcare & PharmaceuticalsGermanyAenova Holding GMBHAenova - TemmlerBL0388134 LX142052

PharmaceuticalsHealthcare & PharmaceuticalsGermanyAenova Holding GMBHAenova Term LoanBL0380917 LX139191

Buildings and MaterialsServices: BusinessSwedenAhlshell ABAhlsell T/L B1BL0374761 LX123439

Broadcasting and MediaMedia: Diversified & ProductionUnited KingdomAll3Media Intermediate LimitedALL 3 Media Second LienBL0375586 LX137656

ChemicalsChemicals, Plastics, & RubberLuxembourgAllnex SARLAllnex T/L B1 (EUR)BL0428682 LX152755

Industrial/ManufacturingConstruction & BuildingGermanyAlison Bidco S.A.R.L.Alstom Term Loan B1BL0376345 LX137858

Industrial/ManufacturingConstruction & BuildingGermanyAlison Bidco S.A.R.L.Alstom Term Loan B2BL0384117 LX139119

TelecommunicationsTelecommunicationsPortugalAltice NVALTICE 02/15/23EK7170955 XS1181246775

TelecommunicationsTelecommunicationsPortugalAltice NVAltice T/L B (EUR) NewBL0431272 LX153089

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureNetherlandsAMAYA GAMING GROUP INC.Amaya Initial Euro Term LoanBL0408338 LX139772

HealthcareHealthcare & PharmaceuticalsGermanyAmedesAmedes TL BBL0407819 LX146944

Business ServicesServices: BusinessUnited StatesAramark Holdings CorporationAramark Irish T/L CBL0370462 LX135682

Buildings and MaterialsConstruction & BuildingGermanyArmacell Iberia S.L. aka Foam Inv IIArmacell EUR TL B2BL0394181 LX154932

Banking and FinanceBanking, Finance, Insurance & Real

Estate

United KingdomArrow Global Finance PlcARRGL 0 11/01/21EK5705562 XS1132462786


Estate

United KingdomArrow Global Finance PlcARRGL 4 3/4 01/05/23JK7883313 XS1396892751

General RetailRetailUnited KingdomAS AdventureAS Adventure EUR TLBL0397051 LX143652

Food, Beverage and TobaccoBeverage, Food & TobaccoUnited StatesAtrium Innovations, Inc.Atrium Term LoanBL0362428 LX135022

ChemicalsChemicals, Plastics, & RubberUnited StatesAxalta Coating Systems Dutch Holding

B B.V.

AXTA 3 3/4 01/15/25 CorpQZ5439364 XS1492656787

ChemicalsChemicals, Plastics, & RubberUnited StatesAxalta Coating Systems Dutch Holding

B B.V.

AXTA 4 1/4 08/15/24 CORPQZ0952759 XS1468538035

Transportation and DistributionChemicals, Plastics, & RubberGermanyAzelis Finance S.A.Azelis Finance T/L (EUR)BL0415754 LX149550

Lodging and RestaurantsHotel, Gaming & LeisureFranceBuild SASB&B T/L B1BL0422057 LX150758

Textiles and FurnitureConsumer goods: DurableBelgiumBalta Finance SARLBaltal 7 3/4 15/9/2022 corpUV3539714 XS1265917481

General RetailRetailGermanyKirk Beauty One GMBHBeauty Holding T/L B10BL0436529 LX154114







Lodging and RestaurantsHotel, Gaming & LeisureUnited StatesBelmond Interfin Ltd.Belmond T/L Euro (Orient-Express Hotels)BL0368706 LX135877

Industrial/ManufacturingServices: BusinessGermanyTriangle FM Services TOPCO GMBHBilfinger Term Loan B1 (Triangle FM

Services Holding GmbH)

BL0436958 LX154393

Industrial/ManufacturingServices: BusinessGermanyTriangle FM Services TOPCO GMBHBilfinger Term Loan B2 (Silenus)BL0437808 LX154417

Computer and ElectronicsHigh Tech IndustriesUnited StatesBMC U.S. CoBMC Software T/L (EUR)BL0348401 LX131858

General RetailRetailUnited KingdomBOING GROUP FINANCINGBOIGRP6 5/8 07/15/19EK3608396 XS1028951009

Food, Beverage and TobaccoBeverage, Food & TobaccoUnited KingdomBoparan Holdings LtdBOPRLN 4 3/8 07/15/21 CORPEK3486827 XS1082473395

ChemicalsChemicals, Plastics, & RubberGermanyMonitchem Holdco 2 S.A.CABB €235m 5.25% FXD notes due 2021

(REGS)

EK2997865 XS1074935229

PharmaceuticalsHealthcare & PharmaceuticalsUnited StatesCatalent Pharma Solutions, Inc.Catalent Pharma T/L B EURBL0373078 LX137091


Page 33 of 59



05-Oct-1617-Oct-16



HealthcareHealthcare & PharmaceuticalsFranceCerba European LabCERBA 7 02/01/20EJ5150770 XS0877607076

Transportation and DistributionTransportation: CargoNetherlandsCeva Group PLCCeva Term Loan BBL0368375 LX136100

Industrial/ManufacturingCapital EquipmentUnited StatesCoherent Holding GmbHCoherent Holding T/L BBL0435521 LX153899

Industrial/ManufacturingBeverage, Food & TobaccoAustriaEuropean Cooling 2 SarlCool International Holding B1BL0382822 LX140097

PharmaceuticalsHealthcare & PharmaceuticalsFranceCooper PharmaCooper Pharma T/L BBL0415978 LX149230

Consumer ProductsConsumer goods: Non-durableUnited StatesBeauty Business NewCoCoty Inc T/L B IncrementalBL0415341 LX152293

Consumer ProductsConsumer goods: Non-durableUnited StatesBeauty Business NewCoCoty T/L BBL0411472 LX148102

Business ServicesServices: BusinessUnited KingdomRedtop Midco LimitedCPA Global T/L BBL0356719 LX133726

Industrial/ManufacturingMetals & MiningFranceConstellium NVCSTM 7 01/15/23 CorpEK6427018 XS1151723282

Food, Beverage and TobaccoEnvironmental IndustriesUnited StatesDarling International Inc.DAR 4 3/4 05/30/22 CorpEK9373995 XS1240984754

Food, Beverage and TobaccoConsumer goods: DurableNetherlandsAcorn B.V.DE Master Blenders T/L BBL0409286 LX138200

Food, Beverage and TobaccoBeverage, Food & TobaccoSpainDeoleo S.A.Deoleo 2nd LienBL0375016 LX137334

Food, Beverage and TobaccoBeverage, Food & TobaccoSpainDeoleo S.A.Deoleo Term LoanBL0375008 LX137333

Industrial/ManufacturingCapital EquipmentUnited StatesDiebold IncDiebold T/L B (EUR)BL0423915 LX151921

ChemicalsChemicals, Plastics, & RubberNetherlandsCheminvest Holdings S.A.R.L.DSM Polymers T/L B EURBL0400269 LX144215

Farming and Agricultural ServicesServices: BusinessNetherlandsDummen OrangeDummen Orange T/L BBL0415903 LX149620

TelecommunicationsTelecommunicationsIrelandEircom Holdings (Ireland) LtdEIRCMF 4 1/2 05/31/22LW3429476 XS1432395785

TelecommunicationsTelecommunicationsIrelandEircom Holdings (Ireland) LtdEircom Holdings T/L B-4BL0438467 LX154492

Broadcasting and MediaHotel, Gaming & LeisureNetherlandsMediArena Acquisition B.V.Endemol Euro T/L (1st Lien)BL0380925 LX139557

Environmental ServicesEnvironmental IndustriesUnited KingdomEmerald 2 Ltd. (Eagle US / Emerald

Newco / ERM Canada / ERM

ERM T/L B2BL0373383 LX137157

PharmaceuticalsHealthcare & PharmaceuticalsFranceEthypharmEthypharm T/L BBL0431520 LX152975

Packaging and ContainersContainers, Packaging & GlassUnited StatesExopack Holdings S.A.Exopack T/L B-1BL0400277 LX133459

ChemicalsChemicals, Plastics, & RubberGermanyColouroz MidcoFlint Group TL 2LBL0373086 LX136884

ChemicalsChemicals, Plastics, & RubberGermanyColouroz MidcoFlint Term Loan B4BL0417594 LX149864

Real EstateBanking, Finance, Insurance & Real

Estate

FranceFoncia GroupeFoncia Term Loan B NewBL0435729 LX153737

Industrial/ManufacturingCapital EquipmentGermanyGalapagos SAGALAPG 0 06/15/21EK2868538 XS1071411547

Industrial/ManufacturingCapital EquipmentGermanyGalapagos SAGALAPG 5 3/8 06/15/21EK2868413 XS1071419524

Industrial/ManufacturingCapital EquipmentUnited StatesGardner Denver, Inc.Gardner Denver T/L (EUR) (Renaissance

Acquisition)

BL0346918 LX128916

Banking and FinanceServices: BusinessGermanyGarfunkelux Holdco 2 S.A.garfun 7 1/2 01/08/2022 CorpAF2808703 XS1263891910

AutomobilesAutomotiveUnited StatesGates Global LLCGates Global Euro Term LoanBL0375990 LX137852

Packaging and ContainersContainers, Packaging & GlassItalyGuala Closures SpAGCLIM 0 11/15/19EJ4346262 XS0852482941

Utilities (Power)Utilities: ElectricSpainFresco Holding S.A.R.LGenco T/L B (EUR)BL0397572 LX143961

Banking and FinanceServices: BusinessGermanyGarfunkelux Holdco 2 S.A.GFKLDE Float 10/01/21 CorpQZ5252304 XS1492372088

HealthcareHealthcare & PharmaceuticalsGermanyGHD GesundHeits GmbH DeutschlandGHD Term LoanBL0379745 LX139056

Consumer ProductsHotel, Gaming & LeisureItalyGlobal Garden Products C S.ar.lGlobal Garden Products Tranche BBL0436131 LX153881

Transportation and DistributionTransportation: CargoNetherlands1908 Acquisitions B.V.Hes Beheer T/L BBL0379679 LX139672

HealthcareHealthcare & PharmaceuticalsFranceHOMEVIHOMEVI 08/04/2021EK4104502 XS1093814116

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureSpainHotelbedsHotelbeds TL BBL0430316 LX152965

ChemicalsChemicals, Plastics, & RubberUnited StatesHuntsman International LLCHUN 41/4 04/01/25 CORPJK4045932 XS1395182683

ChemicalsChemicals, Plastics, & RubberSwitzerlandIneos Group Holdings PLCINEGRP 4 05/01/23 CorpEK8758220 XS1117296209

ChemicalsChemicals, Plastics, & RubberSwitzerlandIneos Group Holdings PLCIneos Term Loan 2020BL0401572 LX144980


Page 34 of 59



05-Oct-1617-Oct-16



Computer and ElectronicsHigh Tech IndustriesUnited StatesInformatica CorporationInformatica T/LBL0401838 LX144873

Packaging and ContainersContainers, Packaging & GlassUnited KingdomInnovia Group Finance PlcINNOGB 0 03/31/20EK0675638 XS1032974609

Computer and ElectronicsTelecommunicationsUnited StatesION Trading Technologies LimitedION Trading B-1 Euro T/L (NEW)BL0437212 LX147780

Buildings and MaterialsChemicals, Plastics, & RubberFranceKerneos Tech Group SASKERNOS 0 03/01/21EK0958133 XS1040429455

Food, Beverage and TobaccoBeverage, Food & TobaccoUnited StatesKeurig Green Mountain, Inc.Keurig Green Mountain (Maple Holdings)

T/L B (EUR)

BL0420465 LX150734

Packaging and ContainersChemicals, Plastics, & RubberGermanyKleopatra Holding 2 S.C.AKlockner Pentaplast Initial Erste T/LBL0398117 LX144028

Packaging and ContainersChemicals, Plastics, & RubberGermanyKleopatra Holding 2 S.C.AKlockner Pentaplast Initial GmbH T/LBL0400053 LX144434

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureSwitzerlandKuoniKuoni T/L BBL0427304 LX152521

HealthcareHealthcare & PharmaceuticalsFranceSynlab Bondco PLCLABFP 6 1/4 07/01/22 CorpEK9755621 XS1117292984


Estate

NorwayLock ASLINDOR 7 08/15/21EK4113766 XS1094612378


Estate

NorwayLock ASLINDOR Float 08/15/20EK4113867 XS1094672273

Broadcasting and MediaMedia: Broadcasting & SubscriptionLuxembourgCDS Holdco III B.V.M7 Facility B (D)BL0403362 LX145356

ChemicalsChemicals, Plastics, & RubberUnited StatesMacdermid, IncorporatedMacDermid European T/L C2BL0414914 LX148874

ChemicalsChemicals, Plastics, & RubberUnited StatesMacdermid, IncorporatedMacDermid Term LoanBL0380560 LX137218

Packaging and ContainersContainers, Packaging & GlassGermanyCD&R Millennium Holdco 6 S.A.R.LMauser T/L DBL0444358 LX155286

General RetailRetailNetherlandsMaxeda DIY B.V.Maxeda Facility E1BL0407181 LX147068

General RetailRetailNetherlandsMaxeda DIY B.V.Maxeda Facility E2BL0407199 LX147069

HealthcareHealthcare & PharmaceuticalsNetherlandsAI Garden B.VMediq Add on T/L B3BL0436966 LX154103

Environmental ServicesHealthcare & PharmaceuticalsSpainMemoraMemora T/L BBL0374456 LX137058

Computer and ElectronicsHigh Tech IndustriesUnited KingdomMagic Newco 5 S.a.r.lMisys New T/L BBL0441859 LX155220

AutomobilesAutomotiveUnited StatesMPG Holdco I Inc.MPG Holdco T/L B2 (Metaldyne)BL0399404 LX144528

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureSpainNH Hoteles SANH Hotels 10/1/2023QZ6609874 XS1497527736

Business ServicesServices: BusinessUnited KingdomNorthgate Information Solutions LimitedNorthgate New EUR T/LBL0418022 LX149587

ChemicalsChemicals, Plastics, & RubberFranceNovacap International SASNovacap T/L BBL0427296 LX152525

TelecommunicationsTelecommunicationsFranceNumericable Group S.A.NUMFP 5 3/8 05/15/22EK1798025 XS1028956222

TelecommunicationsTelecommunicationsFranceNumericable Group S.A.NUMFP 5 5/8 05/15/24EK1798207 XS1028956149

Business ServicesBanking, Finance, Insurance & Real

Estate

United StatesOptimal Payments PlcOptimal Payments Term Loan BBL0402646 LX145020

ChemicalsChemicals, Plastics, & RubberGermanyOrion Engineered Carbons S.a r.l.Orion Engineered Term LoanBL0381279 LX139695

ChemicalsChemicals, Plastics, & RubberGermanyOXEA SARLOxea T/L B-1BL0342859 LX129945

Buildings and MaterialsConstruction & BuildingFinlandParoc Group Holding OYPAROCG 0 05/15/20EK2554468 XS1028955174

Buildings and MaterialsConstruction & BuildingFinlandParoc Group Holding OYPAROCG 6 1/4 05/15/20EK2554286 XS1028955505

Packaging and ContainersForest Products & PaperGermanyJH-Holding GMBHPROGRP Float 05/01/22 CorpEK8804131 DE000A161GE9

Lodging and RestaurantsBeverage, Food & TobaccoFranceFinanciere Quick SASQUIBB 0 04/15/19EK1647990 XS1054086928

Food, Beverage and TobaccoBeverage, Food & TobaccoUnited KingdomFroneriR&R Ice Cream T/L BBL0441479 LX154933

Packaging and ContainersContainers, Packaging & GlassUnited StatesRanpak Corp.Ranpak Tranche B1BL0401184 LX144512

HealthcareHealthcare & PharmaceuticalsGermanyRiemserRiemser Pharma T/L BBL0435257 LX153882

PharmaceuticalsHealthcare & PharmaceuticalsGermanyRodenstockRodenstock T/L B extBL0374290 LX137408

Environmental ServicesEnvironmental IndustriesUnited KingdomSafety KleenSafety Kleen New Facility B2BL0360042 LX134793

Environmental ServicesEnvironmental IndustriesUnited KingdomSafety KleenSafety Kleen New Facility C2BL0360059 LX134794


Page 35 of 59



05-Oct-1617-Oct-16




Estate

SpainSantander Asset ManagementSAM Finance Term LoanBL0357048 LX133835

Metals and MiningCapital EquipmentGermanySCHENCK PROCESS HOLDING

GMBH

Schenck T/L B (New)BL0425977 LX152255

Packaging and ContainersForest Products & PaperSwitzerlandSig Combibloc Holdings SCASIG Combibloc EUR T/LBL0442162 LX143111

Packaging and ContainersForest Products & PaperSwitzerlandSig Combibloc Holdings SCASIG Combibloc T/LBL0392680 LX143111

Packaging and ContainersForest Products & PaperUnited StatesSignode Industrial Group Holdings US

Inc

Signode Industrial T/L EURBL0370249 LX136339

General RetailRetailFranceBiSoho SASSMCPFP 5 7/8 01/15/23LW0594595 XS1405782316

ChemicalsChemicals, Plastics, & RubberUnited StatesSolenis International LPSolenis Add-on T/LBL0426223 LX152444

ChemicalsChemicals, Plastics, & RubberUnited StatesSolenis International LPSolenis Term LoanBL0377871 LX138124

Computer and ElectronicsHigh Tech IndustriesUnited StatesSolera Holdings IncSolera Finance T/L BBL0422347 LX151195

Food, Beverage and TobaccoBeverage, Food & TobaccoFranceSolina Group SASSolina T/L BBL0415283 LX149311

Consumer ProductsConsumer goods: Non-durableUnited StatesSpectrum Brands IncSpectrum 4 10/01/2026QZ5422972 XS1493296500

Consumer ProductsConsumer goods: Non-durableUnited StatesSpectrum Brands IncSpectrum Brands T/L (EUR)BL0402554 LX144957

Broadcasting and MediaMedia: Advertising, Printing &

Publishing

GermanySpringer SBM One GmbHSpringer Science T/L B8BL0395576 LX143524

Broadcasting and MediaMedia: Advertising, Printing &

Publishing

GermanySpringer SBM One GmbHSpringer Senior T/L B10BL0431223 LX153230

ChemicalsChemicals, Plastics, & RubberGermanyStyrolution Group GmbHStyrolution (Ineos) T/L B (09/16)BL0441180 LX155052

HealthcareHealthcare & PharmaceuticalsGermanyCidron Ollopa Holdings BVSunrise Medical T/L B2BL0406035 LX146812

HealthcareHealthcare & PharmaceuticalsGermanyCidron Ollopa Holdings BVSunrise Medical Term Loan B1BL0405342 LX145738

Transportation and DistributionAerospace & DefenseSwitzerlandSwissport InvestmentsSwissport 6 3/4 12/15/21QJ9775363 XS1331156684

Transportation and DistributionAerospace & DefenseSwitzerlandSwissport InvestmentsSwissport Investments T/L BBL0415457 LX149082

General RetailRetailGermanyTakko Luxembourg 2 S.C.ATAKKO 0 04/15/19EJ5964667 XS0908516320

General RetailRetailGermanyTakko Luxembourg 2 S.C.ATAKKO 9 7/8 04/15/19EJ5964568 XS0908516080

Computer and ElectronicsServices: BusinessFranceTech Finance & CO S.C.ATechnicolor T/L B EURBL0346512 LX130702

CableMedia: Broadcasting & SubscriptionGermanyTele Columbus GmbHTele Columbus Incremental T/L CBL0416471 LX148796

CableMedia: Broadcasting & SubscriptionGermanyTele Columbus GmbHTele Columbus T/L CBL0407686 LX146895

TelecommunicationsMedia: Broadcasting & SubscriptionBelgiumTelenet Financing USD LLCTelenet T/L AABL0399479 LX144238

TelecommunicationsMedia: Broadcasting & SubscriptionBelgiumTelenet Financing USD LLCTelenet T/L YBL0369456 LX136361

Textiles and FurnitureAerospace & DefenseNetherlandsTen CateTen Cate EUR T/L BBL0413429 LX147761

Industrial/ManufacturingCapital EquipmentUnited StatesTerex CorporationTerex T/L (Euro) NewBL0401846 LX144962

Buildings and MaterialsConstruction & BuildingFranceTerreal Holdings SASTerreal Term Loan BBL0432593 LX153379

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureGermanyTipicoTipico EUR T/LBL0429540 LX152547


Estate

NetherlandsTMF Group Holding B.V.TMF T/L BBL0441750 LX155136

HealthcareHealthcare & PharmaceuticalsSwedenUnilabs DiagnosticsUnilabs Diagnostics TL BBL0441537 LX155194

TelecommunicationsUtilities: ElectricNetherlandsAI Avocado Holding B.VUnit 4 T/L B1BL0360596 LX141580

ChemicalsChemicals, Plastics, & RubberUnited StatesUnivar Inc.Univar T/LBL0403875 LX145475

CableMedia: Broadcasting & SubscriptionSwitzerlandUPCB Finance IV LtdUPCB 4 01/15/27 CorpEK8372022 XS1117297603

Food, Beverage and TobaccoBeverage, Food & TobaccoIrelandValeo FoodValeo T/L BBL0401267 LX144621

Packaging and ContainersContainers, Packaging & GlassFranceVerallia GroupVerallia T/L B2BL0432031 LX153197

Consumer ProductsServices: BusinessSwedenVerisure Holding ABVerisure Holdings T/L B1-ABL0413395 LX152986


Page 36 of 59



05-Oct-1617-Oct-16



Business ServicesHigh Tech IndustriesUnited StatesVeritas US Inc.Veritas 7.5% 01/02/2023JV8940480 XS1357678322

Business ServicesHigh Tech IndustriesUnited StatesVeritas US Inc.Veritas Term LoanBL0414872 LX151041

PharmaceuticalsHealthcare & PharmaceuticalsUnited StatesValeant Pharmaceuticals International,

Inc.

VRXCN 4 1/2 05/15/23 CorpEK7990790 XS1205619288

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureUnited KingdomVougeot Bidco PLCVUECIN 0 07/15/20EJ7472784 XS0953085627

HealthcareHealthcare & PharmaceuticalsUnited StatesVWR Funding, Inc.VWR New TL B (EUR)BL0410094 LX147837

HealthcareHealthcare & PharmaceuticalsUnited StatesVWR Funding, Inc.VWRINT 4 5/8 04/15/22 CorpEK8124134 XS1207387801

ChemicalsChemicals, Plastics, & RubberUnited StatesW.R. Grace & Co.W.R. Grace T/L (EUR)BL0362188 LX135122


Estate

United StatesWall Street Systems Delaware, Inc.Wall Street Systems EUR Term LoansBL0439010 LX154739

Computer and ElectronicsHigh Tech IndustriesUnited StatesWestern Digital Technologies, IncWestern Digital T/L B1 (NEW)BL0441719 LX155051

Transportation and DistributionTransportation: CargoFranceWFS GlobalWFSGLB 9 1/2 07/15/2022 CORPEK9787152 XS1252776759

Broadcasting and MediaMedia: Diversified & ProductionUnited StatesWMG Acquisition CorpWMG 6 1/4 01/15/21EJ4198358 XS0849907521

CableMedia: Broadcasting & SubscriptionNetherlandsZiggo BVZiggo B.V. 15/01/2027QZ5802454 XS1493836461

CableMedia: Broadcasting & SubscriptionNetherlandsZiggo BVZiggo T/L C (EUR)BL0437691 LX154363

Totals: 169


Page 37 of 59

Delayed

Drawdown

Collateral

Revolving

Obligation

Current Pay

Obligation

Cov-Lite

Loan

Corporate

Rescue LoanBridge Loan

Semi-Annual

ObligationISIN/LoanX ID Issuer/FacilitySecurity I.D. PIK Security

Market Value

Determined

by CM


05-Oct-1617-Oct-16

Current Asset Characteristics - Part III


---No*---A Schulman T/L B EURLX144408BL0400251 --

---No*---Aenova - TemmlerLX142052BL0388134 --

---No*---Aenova Term LoanLX139191BL0380917 --

-------Ahlsell T/L B1LX123439BL0374761 --

---Yes--YesALL 3 Media Second LienLX137656BL0375586 --

---No*---Allnex T/L B1 (EUR)LX152755BL0428682 --

---Yes---Alstom Term Loan B1LX137858BL0376345 --

---Yes---Alstom Term Loan B2LX139119BL0384117 --

------YesALTICE 02/15/23XS1181246775EK7170955 --

---Yes---Altice T/L B (EUR) NewLX153089BL0431272 --

---No*---Amaya Initial Euro Term LoanLX139772BL0408338 --

-------Amedes TL BLX146944BL0407819 --

---No*---Aramark Irish T/L CLX135682BL0370462 --

---No*--YesArmacell EUR TL B2LX154932BL0394181 --

-------ARRGL 0 11/01/21XS1132462786EK5705562 --

-------ARRGL 4 3/4 01/05/23XS1396892751JK7883313 --

-------AS Adventure EUR TLLX143652BL0397051 --

---No*---Atrium Term LoanLX135022BL0362428 --

------YesAXTA 3 3/4 01/15/25 CorpXS1492656787QZ5439364 --

------YesAXTA 4 1/4 08/15/24 CORPXS1468538035QZ0952759 --

---Yes---Azelis Finance T/L (EUR)LX149550BL0415754 --

---No*---B&B T/L B1LX150758BL0422057 --

------YesBaltal 7 3/4 15/9/2022 corpXS1265917481UV3539714 --

---No*---Beauty Holding T/L B10LX154114BL0436529 --







---No*---Belmond T/L Euro (Orient-Express Hotels)LX135877BL0368706 --

-------Bilfinger Term Loan B1 (Triangle FM Services Holding GmbH)LX154393BL0436958 --

-------Bilfinger Term Loan B2 (Silenus)LX154417BL0437808 --

---No*---BMC Software T/L (EUR)LX131858BL0348401 --

------YesBOIGRP6 5/8 07/15/19XS1028951009EK3608396 --

------YesBOPRLN 4 3/8 07/15/21 CORPXS1082473395EK3486827 --

------YesCABB €235m 5.25% FXD notes due 2021 (REGS)XS1074935229EK2997865 --

---No*---Catalent Pharma T/L B EURLX137091BL0373078 --

------YesCERBA 7 02/01/20XS0877607076EJ5150770 --

---No*---Ceva Term Loan BLX136100BL0368375 --

---No*---Coherent Holding T/L BLX153899BL0435521 --

-------Cool International Holding B1LX140097BL0382822 --

---No*---Cooper Pharma T/L BLX149230BL0415978 --

---No*---Coty Inc T/L B IncrementalLX152293BL0415341 --

---No*---Coty T/L BLX148102BL0411472 --

---No*---CPA Global T/L BLX133726BL0356719 --

------YesCSTM 7 01/15/23 CorpXS1151723282EK6427018 --

* This Collateral Obligation would be treated as a Cov-Lite Loan if it was not for the proviso in the definition thereof


Page 38 of 59

Delayed

Drawdown

Collateral

Revolving

Obligation

Current Pay

Obligation

Cov-Lite

Loan

Corporate


Semi-Annual


Market Value

Determined

by CM


05-Oct-1617-Oct-16



------YesDAR 4 3/4 05/30/22 CorpXS1240984754EK9373995 --

-------DE Master Blenders T/L BLX138200BL0409286 --

---Yes---Deoleo 2nd LienLX137334BL0375016 --

---No*---Deoleo Term LoanLX137333BL0375008 --

---No*---Diebold T/L B (EUR)LX151921BL0423915 --

-------DSM Polymers T/L B EURLX144215BL0400269 --

------YesDummen Orange T/L BLX149620BL0415903 --

------YesEIRCMF 4 1/2 05/31/22XS1432395785LW3429476 --

-------Eircom Holdings T/L B-4LX154492BL0438467 --

---No*---Endemol Euro T/L (1st Lien)LX139557BL0380925 --

---No*---ERM T/L B2LX137157BL0373383 --

-------Ethypharm T/L BLX152975BL0431520 --

---No*---Exopack T/L B-1LX133459BL0400277 --

---Yes---Flint Group TL 2LLX136884BL0373086 --

---No*---Flint Term Loan B4LX149864BL0417594 --

---No*---Foncia Term Loan B NewLX153737BL0435729 --

-------GALAPG 0 06/15/21XS1071411547EK2868538 --

------YesGALAPG 5 3/8 06/15/21XS1071419524EK2868413 --

---No*---Gardner Denver T/L (EUR) (Renaissance Acquisition)LX128916BL0346918 --

------Yesgarfun 7 1/2 01/08/2022 CorpXS1263891910AF2808703 --

---No*---Gates Global Euro Term LoanLX137852BL0375990 --

-------GCLIM 0 11/15/19XS0852482941EJ4346262 --

-------Genco T/L B (EUR)LX143961BL0397572 --

-------GFKLDE Float 10/01/21 CorpXS1492372088QZ5252304 --

---No*---GHD Term LoanLX139056BL0379745 --

-------Global Garden Products Tranche BLX153881BL0436131 --

-------Hes Beheer T/L BLX139672BL0379679 --

------YesHOMEVI 08/04/2021XS1093814116EK4104502 --

---Yes---Hotelbeds TL BLX152965BL0430316 --

------YesHUN 41/4 04/01/25 CORPXS1395182683JK4045932 --

------YesINEGRP 4 05/01/23 CorpXS1117296209EK8758220 --

---Yes---Ineos Term Loan 2020LX144980BL0401572 --

---No*---Informatica T/LLX144873BL0401838 --

-------INNOGB 0 03/31/20XS1032974609EK0675638 --

---No*---ION Trading B-1 Euro T/L (NEW)LX147780BL0437212 --

-------KERNOS 0 03/01/21XS1040429455EK0958133 --

---No*---Keurig Green Mountain (Maple Holdings) T/L B (EUR)LX150734BL0420465 --

---No*---Klockner Pentaplast Initial Erste T/LLX144028BL0398117 --

---No*---Klockner Pentaplast Initial GmbH T/LLX144434BL0400053 --

---No*--YesKuoni T/L BLX152521BL0427304 --

------YesLABFP 6 1/4 07/01/22 CorpXS1117292984EK9755621 --

------YesLINDOR 7 08/15/21XS1094612378EK4113766 --

-------LINDOR Float 08/15/20XS1094672273EK4113867 --

-------M7 Facility B (D)LX145356BL0403362 --

---No*---MacDermid European T/L C2LX148874BL0414914 --

---No*---MacDermid Term LoanLX137218BL0380560 --

---No*---Mauser T/L DLX155286BL0444358 --



Page 39 of 59

Delayed

Drawdown

Collateral

Revolving

Obligation

Current Pay

Obligation

Cov-Lite

Loan

Corporate


Semi-Annual


Market Value

Determined

by CM


05-Oct-1617-Oct-16



-------Maxeda Facility E1LX147068BL0407181 --

------YesMaxeda Facility E2LX147069BL0407199 --

-------Mediq Add on T/L B3LX154103BL0436966 --

-------Memora T/L BLX137058BL0374456 --

---No*---Misys New T/L BLX155220BL0441859 --

---No*---MPG Holdco T/L B2 (Metaldyne)LX144528BL0399404 --

------YesNH Hotels 10/1/2023XS1497527736QZ6609874 --

------YesNorthgate New EUR T/LLX149587BL0418022 --

---Yes---Novacap T/L BLX152525BL0427296 --

------YesNUMFP 5 3/8 05/15/22XS1028956222EK1798025 --

------YesNUMFP 5 5/8 05/15/24XS1028956149EK1798207 --

------YesOptimal Payments Term Loan BLX145020BL0402646 --

---No*---Orion Engineered Term LoanLX139695BL0381279 --

---No*---Oxea T/L B-1LX129945BL0342859 --

-------PAROCG 0 05/15/20XS1028955174EK2554468 --

------YesPAROCG 6 1/4 05/15/20XS1028955505EK2554286 --

-------PROGRP Float 05/01/22 CorpDE000A161GE9EK8804131 --

-------QUIBB 0 04/15/19XS1054086928EK1647990 --

---No*---R&R Ice Cream T/L BLX154933BL0441479 --

---No*---Ranpak Tranche B1LX144512BL0401184 --

-------Riemser Pharma T/L BLX153882BL0435257 --

-------Rodenstock T/L B extLX137408BL0374290 --

-------Safety Kleen New Facility B2LX134793BL0360042 --

-------Safety Kleen New Facility C2LX134794BL0360059 --

---No*---SAM Finance Term LoanLX133835BL0357048 --

-------Schenck T/L B (New)LX152255BL0425977 --

---No*---SIG Combibloc EUR T/LLX143111BL0442162 --

---No*---SIG Combibloc T/LLX143111BL0392680 --

---No*---Signode Industrial T/L EURLX136339BL0370249 --

------YesSMCPFP 5 7/8 01/15/23XS1405782316LW0594595 --

---No*---Solenis Add-on T/LLX152444BL0426223 --

---No*---Solenis Term LoanLX138124BL0377871 --

---No*---Solera Finance T/L BLX151195BL0422347 --

------YesSolina T/L BLX149311BL0415283 --

------YesSpectrum 4 10/01/2026XS1493296500QZ5422972 --

---No*---Spectrum Brands T/L (EUR)LX144957BL0402554 --

---No*---Springer Science T/L B8LX143524BL0395576 --

---No*---Springer Senior T/L B10LX153230BL0431223 --

---No*---Styrolution (Ineos) T/L B (09/16)LX155052BL0441180 --

---No*---Sunrise Medical T/L B2LX146812BL0406035 --

---No*---Sunrise Medical Term Loan B1LX145738BL0405342 --

------YesSwissport 6 3/4 12/15/21XS1331156684QJ9775363 --

---Yes---Swissport Investments T/L BLX149082BL0415457 --

-------TAKKO 0 04/15/19XS0908516320EJ5964667 --

------YesTAKKO 9 7/8 04/15/19XS0908516080EJ5964568 --

-------Technicolor T/L B EURLX130702BL0346512 --

------YesTele Columbus Incremental T/L CLX148796BL0416471 --



Page 40 of 59

Delayed

Drawdown

Collateral

Revolving

Obligation

Current Pay

Obligation

Cov-Lite

Loan

Corporate


Semi-Annual


Market Value

Determined

by CM


05-Oct-1617-Oct-16



------YesTele Columbus T/L CLX146895BL0407686 --

-------Telenet T/L AALX144238BL0399479 --

-------Telenet T/L YLX136361BL0369456 --

-------Ten Cate EUR T/L BLX147761BL0413429 --

---No*---Terex T/L (Euro) NewLX144962BL0401846 --

------YesTerreal Term Loan BLX153379BL0432593 --

-------Tipico EUR T/LLX152547BL0429540 --

---No*---TMF T/L BLX155136BL0441750 --

---No*---Unilabs Diagnostics TL BLX155194BL0441537 --

-------Unit 4 T/L B1LX141580BL0360596 --

---No*---Univar T/LLX145475BL0403875 --

------YesUPCB 4 01/15/27 CorpXS1117297603EK8372022 --

-------Valeo T/L BLX144621BL0401267 --

---No*--YesVerallia T/L B2LX153197BL0432031 --

---Yes--YesVerisure Holdings T/L B1-ALX152986BL0413395 --

------YesVeritas 7.5% 01/02/2023XS1357678322JV8940480 --

---No*---Veritas Term LoanLX151041BL0414872 --

------YesVRXCN 4 1/2 05/15/23 CorpXS1205619288EK7990790 --

-------VUECIN 0 07/15/20XS0953085627EJ7472784 --

---No*---VWR New TL B (EUR)LX147837BL0410094 --

------YesVWRINT 4 5/8 04/15/22 CorpXS1207387801EK8124134 --

---No*---W.R. Grace T/L (EUR)LX135122BL0362188 --

---No*---Wall Street Systems EUR Term LoansLX154739BL0439010 --

---No*---Western Digital T/L B1 (NEW)LX155051BL0441719 --

------YesWFSGLB 9 1/2 07/15/2022 CORPXS1252776759EK9787152 --

------YesWMG 6 1/4 01/15/21XS0849907521EJ4198358 --

------YesZiggo B.V. 15/01/2027XS1493836461QZ5802454 --

-------Ziggo T/L C (EUR)LX154363BL0437691 --

Totals: 169



Page 41 of 59

% of CPA

Principal Balance

for CCC/Caa Excess

Market

ValuePrincipal Balance

Moody's

vs. Fitch

Fitch

Rating

Moody's

RatingSecurity NameSecurity I.D.


05-Oct-1617-Oct-16

Moody's Caa Obligations and Fitch CCC Obligations


- - 95.0000 3,300,000.00 FitchPrivateALL 3 Media Second LienBL0375586 Caa2

1.3122% 5,362,500.00 80.0000 5,362,500.00 FitchPrivateCeva Term Loan BBL0368375 B2

0.2998% 1,225,000.00 96.9820 1,225,000.00 FitchPrivateCSTM 7 01/15/23 CorpEK6427018 Caa1

0.2447% 1,000,000.00 52.2500 1,000,000.00 FitchPrivateDeoleo 2nd LienBL0375016 Caa2

1.4682% 6,000,000.00 86.4000 6,000,000.00 FitchPrivateDeoleo Term LoanBL0375008 B3

- - 96.2500 2,992,832.00 FitchPrivateFlint Group TL 2LBL0373086 Caa1

- - 55.5000 100,000.00 FitchPrivateTAKKO 0 04/15/19EJ5964667 Caa1

- - 63.9000 1,330,000.00 FitchPrivateTAKKO 9 7/8 04/15/19EJ5964568 Caa1

Totals: 8 21,310,332.00 13,587,500.00 3.3200%


Page 42 of 59

Calculation Amount

Fitch

Collateral

Value

Moody's

Collateral

Value

Market

Value

Fitch

Recovery

Rate

Moody's

Recovery

RatePrincipal BalanceNo. of DaysDate of EventSecurity NameSecurity I.D.


05-Oct-1617-Oct-16

Defaulted Obligations and Deferring Securities


Totals: 0 0.00 0.00


Page 43 of 59

% of CPACalculation AmountPurchase PricePrincipal BalancePurchase DateSecurity NameSecurity I.D.


05-Oct-1617-Oct-16

Discount and Swapped Non-Discount Obligations


Discount Obligation

57,500.00 57.50 100,000.0028-Sep-16TAKKO 0 04/15/19EJ5964667

134,750.00 67.38 200,000.0028-Sep-16TAKKO 9 7/8 04/15/19EJ5964568

300,000.00 2 192,250.00

Totals: 2 300,000.00 192,250.00 0.00 %


Page 44 of 59

Principal BalanceNumber of UnitsAsset TypeSecurity NameSecurity I.D.


05-Oct-1617-Oct-16

Collateral Enhancement Obligations and Exchanged Equity Securities


Totals: 0


Page 45 of 59

Principal BalanceFitchMoody'sSelling InstitutionSecurity NameSecurity I.D.

Counterparty Ratings


05-Oct-1617-Oct-16

Participation Information


Totals: 0 -


Page 46 of 59

Maturity Date


05-Oct-1617-Oct-16

Restructured Obligations - Additions


Security I.D. Security Name Obligor Name Restructuring Date Par AmountAsset Type

BL0444358 Mauser T/L D CD&R Millennium Holdco 6 S.A.R.L Secured Senior Loan05-Oct-16 4,018,000.00 31-Jul-21

BL0444358 Mauser T/L D CD&R Millennium Holdco 6 S.A.R.L Secured Senior Loan05-Oct-16 1,691,500.00 31-Jul-21

Totals: 5,709,500.00 2


Page 47 of 59


05-Oct-1617-Oct-16

Restructured Obligations - Removals


Security I.D. Maturity DateSecurity Name Obligor Name Restructuring Date Par AmountAsset Type

4,018,000.00 31-Jul-2105-Oct-16 Secured Senior LoanCD&R Millennium Holdco 6 S.A.R.LMauser Initial Euro Term LoanBL0377350

1,691,500.00 31-Jul-2105-Oct-16 Secured Senior LoanCD&R Millennium Holdco 6 S.A.R.LMauser Term Loan Add on Tranche CBL0422990

Total: 2 5,709,500.00


Page 48 of 59

Security Name

Moody's Default Probability Rating Moody's Rating Fitch Rating

Security I.D. Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status


05-Oct-1617-Oct-16

Rating Detail


A Schulman T/L B EURBL0400251 B1 B1 Ba3 Ba3 - - PB1 Ba3 -

Aenova - TemmlerBL0388134 B3 Caa1 B2 B3 - - PCaa1 B3 -

Aenova Term LoanBL0380917 B3 Caa1 B2 B3 - - PCaa1 B3 -

ALL 3 Media Second LienBL0375586 B3 B3 Caa2 Caa2 - - PB3 Caa2 -

Allnex T/L B1 (EUR)BL0428682 B1 B1 B1 B1 - - PB1 B1 -

Alstom Term Loan B1BL0376345 B3 B3 B2 B2 - - PB3 B2 -

Alstom Term Loan B2BL0384117 B3 B3 B2 B2 - - PB3 B2 -

ALTICE 02/15/23EK7170955 B1 B1 B1 B1 - - PB1 B1 -

Altice T/L B (EUR) NewBL0431272 B1 B1 B1 B1 - - PB1 B1 -

Amaya Initial Euro Term LoanBL0408338 B2 B2 B1 B1 - - PB2 B1 -

Aramark Irish T/L CBL0370462 Ba3 Ba3 Ba2 Ba2 - - PBa3 Ba2 -

Armacell EUR TL B2BL0394181 B3 B3 B2 B2 - - PB3 B2 -

ARRGL 0 11/01/21EK5705562 B1 B1 B1 B1 - - PB1 B1 -

ARRGL 4 3/4 01/05/23JK7883313 B1 B1 B1 B1 - - PB1 B1 -

Atrium Term LoanBL0362428 B3 B3 B2 B2 - - PB3 B2 -

AXTA 3 3/4 01/15/25 CorpQZ5439364 Ba3 Ba3 B1 B1 - - PBa3 B1 -

AXTA 4 1/4 08/15/24 CORPQZ0952759 B1 Ba3 B2 B1 - - PBa3 B1 -

Azelis Finance T/L (EUR)BL0415754 B3 B3 B2 B2 - - PB3 B2 -

Baltal 7 3/4 15/9/2022 corpUV3539714 Caa3 B2 Caa3 B2 - - PB2 B2 -

Beauty Holding T/L B10BL0436529 B2 B2 B1 B1 - - PB2 B1 -







Belmond T/L Euro (Orient-Express Hotels)BL0368706 B3 B3 B3 B3 - - PB3 B3 -

BMC Software T/L (EUR)BL0348401 B3 B3 Ba3 Ba3 - - PB3 Ba3 -

BOIGRP6 5/8 07/15/19EK3608396 B2 B2 B2 B2 - - PB2 B2 -

BOPRLN 4 3/8 07/15/21 CORPEK3486827 B2 B2 B2 B2 - - PB2 B2 -

CABB €235m 5.25% FXD notes due 2021

(REGS)

EK2997865 B3 B3 B2 B2 - - PB3 B2 -

Catalent Pharma T/L B EURBL0373078 B2 B1 Ba3 B1 - - PB1 B1 -

CERBA 7 02/01/20EJ5150770 B2 B2 B2 B2 B B+B2 B2 B+

Ceva Term Loan BBL0368375 Caa1 Caa1 B2 B2 - - PCaa1 B2 -

Coherent Holding T/L BBL0435521 Ba2 Ba2 Ba2 Ba2 - - PBa2 Ba2 -

Coty Inc T/L B IncrementalBL0415341 Ba1 Ba1 Ba1 Ba1 - - PBa1 Ba1 -

Coty T/L BBL0411472 Ba1 Ba1 Ba1 Ba1 - - PBa1 Ba1 -

CPA Global T/L BBL0356719 B1 B1 Ba3 B1 - - PB1 Ba3 -

Asset Status Legend: N

P

S DEF

CW+

CW-- Notched / Implied Rating

- Private Rating

- Shadow Rating

- Credit Watch with positive implications

- In Default

- Credit Watch with negative implications


Page 49 of 59

Security Name




05-Oct-1617-Oct-16

Rating Detail


CSTM 7 01/15/23 CorpEK6427018 B1 B3 B1 Caa1 - - PB3 Caa1 -

DAR 4 3/4 05/30/22 CorpEK9373995 Ba2 Ba2 B1 Ba3 - - PBa2 Ba3 -

DE Master Blenders T/L BBL0409286 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -

Deoleo 2nd LienBL0375016 B2 B3 B3 Caa2 - - PB3 Caa2 -

Deoleo Term LoanBL0375008 B2 B3 B2 B3 - - PB3 B3 -

Diebold T/L B (EUR)BL0423915 Ba3 Ba3 Ba2 Ba2 - - PBa3 Ba2 -

EIRCMF 4 1/2 05/31/22LW3429476 B2 B2 B2 B2 B BB2 B2 B

Eircom Holdings T/L B-4BL0438467 B2 B2 B1 B2 B BB2 B2 B

Endemol Euro T/L (1st Lien)BL0380925 B2 B3 B1 B2 - - PB3 B2 -

ERM T/L B2BL0373383 B2 B2 B1 B1 - - PB2 B1 -

Exopack T/L B-1BL0400277 B3 B3 B2 B2 - - PB3 B2 -

Flint Group TL 2LBL0373086 B2 B2 Caa1 Caa1 - - PB2 Caa1 -

Flint Term Loan B4BL0417594 B2 B2 B1 B1 - - PB2 B1 -

Foncia Term Loan B NewBL0435729 B2 B2 B2 B2 - - PB2 B2 -

GALAPG 0 06/15/21EK2868538 B2 B2 B1 B1 - - PB2 B1 -

GALAPG 5 3/8 06/15/21EK2868413 B2 B2 B1 B1 - - PB2 B1 -

Gardner Denver T/L (EUR) (Renaissance

Acquisition)

BL0346918 B2 B3 B1 B2 - - PB3 B2 -

garfun 7 1/2 01/08/2022 CorpAF2808703 B2 B2 B2 B2 - - PB2 B2 -

Gates Global Euro Term LoanBL0375990 B3 B3 B2 B2 - - PB3 B2 -

GCLIM 0 11/15/19EJ4346262 B2 B2 B1 B1 - - PB2 B1 -

Genco T/L B (EUR)BL0397572 B1 B1 B1 B1 BB- BB-B1 B1 BB-

GFKLDE Float 10/01/21 CorpQZ5252304 B2 B2 B2 B2 - - PB2 B2 -

GHD Term LoanBL0379745 B2 B2 B2 B2 - - PB2 B2 -

HOMEVI 08/04/2021EK4104502 B2 B1 B3 B2 - - PB1 B2 -

HUN 41/4 04/01/25 CORPJK4045932 Ba3 Ba3 B1 B1 - - PBa3 B1 -

INEGRP 4 05/01/23 CorpEK8758220 B1 B1 Ba3 Ba3 - - PB1 Ba3 -

Ineos Term Loan 2020BL0401572 B1 B1 Ba3 Ba3 - - PB1 Ba3 -

Informatica T/LBL0401838 B3 B3 B2 B2 - - PB3 B2 -

INNOGB 0 03/31/20EK0675638 B2 B1 B2 B2 - - PB1 B2 -

ION Trading B-1 Euro T/L (NEW)BL0437212 B2 B2 B2 B2 - - PB2 B2 -

KERNOS 0 03/01/21EK0958133 B2 B1 B2 B1 - - PB1 B1 -

Keurig Green Mountain (Maple Holdings) T/L B

(EUR)

BL0420465 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -

Klockner Pentaplast Initial Erste T/LBL0398117 B2 B2 B1 B1 - - PB2 B1 -

Klockner Pentaplast Initial GmbH T/LBL0400053 B2 B2 B1 B1 - - PB2 B1 -

LABFP 6 1/4 07/01/22 CorpEK9755621 Caa3 B2 Caa3 B2 B- BB2 B2 B

LINDOR 7 08/15/21EK4113766 B2 B2 B2 B2 - - PB2 B2 -

LINDOR Float 08/15/20EK4113867 B2 B2 B2 B2 - - PB2 B2 -


P

S DEF

CW+


- Private Rating

- Shadow Rating


- In Default



Page 50 of 59

Security Name




05-Oct-1617-Oct-16

Rating Detail


MacDermid European T/L C2BL0414914 B2 B2 B2 B2 - - PB2 B2 -

MacDermid Term LoanBL0380560 B2 B2 B2 B2 - - PB2 B2 -

Mauser T/L DBL0444358 B3 B3 B2 B2 - - P-

Maxeda Facility E1BL0407181 B2 B2 B2 B2 - - PB2 B2 -

Maxeda Facility E2BL0407199 B2 B2 B2 B2 - - PB2 B2 -

Misys New T/L BBL0441859 B2 B2 B1 B1 - - P-

MPG Holdco T/L B2 (Metaldyne)BL0399404 B1 B1 Ba3 Ba3 - - PB1 Ba3 -

NH Hotels 10/1/2023QZ6609874 B2 B2 Ba3 Ba3 B- BB2 Ba3 B

Novacap T/L BBL0427296 B1 B1 B1 B1 - - PB1 B1 -

NUMFP 5 3/8 05/15/22EK1798025 B1 B1 B1 B1 - - PB1 B1 -

NUMFP 5 5/8 05/15/24EK1798207 B1 B1 Ba3 B1 - - PB1 B1 -

Optimal Payments Term Loan BBL0402646 Ba2 Ba2 Ba2 Ba2 - - PBa2 Ba2 -

Orion Engineered Term LoanBL0381279 B1 Ba3 B1 Ba3 - - PBa3 Ba3 -

Oxea T/L B-1BL0342859 B3 B3 B2 B3 - - PB3 B3 -

PAROCG 0 05/15/20EK2554468 B2 B2 B2 B2 - - PB2 B2 -

PAROCG 6 1/4 05/15/20EK2554286 B2 B2 B2 B2 - - PB2 B2 -

PROGRP Float 05/01/22 CorpEK8804131 Caa3 Ba3 Caa3 Ba2 - - PBa3 Ba2 -

QUIBB 0 04/15/19EK1647990 B3 B3 B3 B3 - - PB3 B3 -

R&R Ice Cream T/L BBL0441479 Ba2 Ba2 Ba2 Ba2 - - PBa2 Ba2 -

SAM Finance Term LoanBL0357048 Ba2 Ba2 Ba2 Ba2 - - PBa2 Ba2 -

SIG Combibloc EUR T/LBL0442162 B2 B2 B1 B1 - - PB2 B1 -

SIG Combibloc T/LBL0392680 B2 B2 B1 B1 - - PB2 B1 -

Signode Industrial T/L EURBL0370249 B2 B2 B1 B1 - - PB2 B1 -

SMCPFP 5 7/8 01/15/23LW0594595 B2 B2 B2 B2 - - PB2 B2 -

Solenis Add-on T/LBL0426223 B3 B3 B2 B2 - - PB3 B2 -

Solenis Term LoanBL0377871 B3 B3 B2 B2 - - PB3 B2 -

Solera Finance T/L BBL0422347 B2 B2 Ba3 Ba3 - - PB2 Ba3 -

Spectrum 4 10/01/2026QZ5422972 B1 B1 B2 B2 BB BBB1 B2 BB

Spectrum Brands T/L (EUR)BL0402554 B1 B1 Ba1 Ba1 BB BBB1 Ba1 BB

Springer Science T/L B8BL0395576 B2 B2 B1 B2 - - PB2 B2 -

Springer Senior T/L B10BL0431223 B2 B2 B2 B2 - - PB2 B2 -

Styrolution (Ineos) T/L B (09/16)BL0441180 B1 B1 B1 B1 - - P-

Swissport 6 3/4 12/15/21QJ9775363 B3 B3 B1 B1 - - PB3 B1 -

Swissport Investments T/L BBL0415457 B3 B3 B1 B1 - - PB3 B1 -

TAKKO 0 04/15/19EJ5964667 Caa1 Caa1 Caa1 Caa1 - - PCaa1 Caa1 -

TAKKO 9 7/8 04/15/19EJ5964568 Caa1 Caa1 B3 Caa1 - - PCaa1 Caa1 -

Technicolor T/L B EURBL0346512 B1 Ba3 B1 Ba3 - - PBa3 Ba3 -

Tele Columbus Incremental T/L CBL0416471 B2 B2 B2 B2 - - PB2 B2 -

Tele Columbus T/L CBL0407686 B2 B2 B2 B2 - - PB2 B2 -


P

S DEF

CW+


- Private Rating

- Shadow Rating


- In Default



Page 51 of 59

Security Name




05-Oct-1617-Oct-16

Rating Detail


Telenet T/L AABL0399479 B1 B1 B1 B1 BB- BB-B1 B1 BB-

Telenet T/L YBL0369456 B1 B1 B1 B1 B+ BB-B1 B1 BB-

Terex T/L (Euro) NewBL0401846 B1 B1 Ba1 Ba1 - - PB1 Ba1 -

TMF T/L BBL0441750 B2 B2 B2 B2 - - PB2 B2 -

Unilabs Diagnostics TL BBL0441537 B3 B3 B3 B2 - - PB3 B2 -

Unit 4 T/L B1BL0360596 B2 B2 B1 B2 - - PB2 B2 -

Univar T/LBL0403875 B2 B2 B2 B2 - - PB2 B2 -

UPCB 4 01/15/27 CorpEK8372022 Caa3 Ba3 Caa3 Ba3 - - PBa3 Ba3 -

Verallia T/L B2BL0432031 B1 B1 B1 B1 - - PB1 B1 -

Verisure Holdings T/L B1-ABL0413395 B2 B2 B1 B1 - - PB2 B1 -

Veritas 7.5% 01/02/2023JV8940480 B2 B2 B1 B1 - - PB2 B1 -

Veritas Term LoanBL0414872 B2 B2 B1 B1 - - PB2 B1 -

VRXCN 4 1/2 05/15/23 CorpEK7990790 Ba3 B2 B1 B3 - - PB2 B3 -

VUECIN 0 07/15/20EJ7472784 B2 B2 B2 B2 - - PB2 B2 -

VWR New TL B (EUR)BL0410094 B1 B1 Ba3 Ba3 - - PB1 Ba3 -

VWRINT 4 5/8 04/15/22 CorpEK8124134 B2 B1 B3 B3 - - PB1 B3 -

W.R. Grace T/L (EUR)BL0362188 Ba2 Ba2 Ba2 Ba1 - - PBa2 Ba1 -

Wall Street Systems EUR Term LoansBL0439010 B2 B2 B2 B2 - - PB2 B2 -

Western Digital T/L B1 (NEW)BL0441719 Ba1 Ba1 Baa3 Ba1 BB+ BB+Ba1 Ba1 BB+

WFSGLB 9 1/2 07/15/2022 CORPEK9787152 Caa3 B3 Caa3 B3 - - PB3 B3 -

WMG 6 1/4 01/15/21EJ4198358 B2 B1 B1 Ba3 - - PB1 Ba3 -

Ziggo B.V. 15/01/2027QZ5802454 Ba3 Ba3 Ba2 Ba3 - - PBa3 Ba3 -

Ziggo T/L C (EUR)BL0437691 Ba3 Ba3 Ba2 Ba3 - - PBa3 Ba3 -

Totals: 137


P

S DEF

CW+


- Private Rating

- Shadow Rating


- In Default



Page 52 of 59

Security Name

Moody's Fitch

Security ID


05-Oct-1617-Oct-16

Rating Change History


Action DateCurrPrior Action DateCurrPrior

0Totals:


Page 53 of 59

Security Name

Moody's Fitch

Security ID Prior Prior Date Curr Curr Date Prior Prior Date Curr Curr Date


05-Oct-1617-Oct-16

Rating Change History - Shadow/Private


Misys New T/L BBL0441859 Private Private+204-Oct-16 05-Oct-16

Totals: 1


Page 54 of 59

Nbr Counterparty Short-term Min Result Long-term Min Result

Moody's

Short-term Min Result Long-term Min Result

Fitch


05-Oct-1617-Oct-16

Counterparty Ratings


Counterparty Role

Elavon Financial Services DAC AAF1+A1P-1 1 F1 APASS PASSNP A3N/A PASSAgent Bank

Elavon Financial Services DAC AAF1+A1P-1 2 F1 APASS PASSNP A3N/A PASSCustodian

2Totals:


Page 55 of 59

Nbr

Primary

Type CounterpartyTrade

Date

Effective

Date

Termination

Date

Hedge

Characteristics


05-Oct-1617-Oct-16

Hedge Transactions Detail


To From

0Totals:


Page 56 of 59


05-Oct-1617-Oct-16

Stratifications - Countries and Obligors


(Excluding Cash & Eligible Investments)

Distribution of Countries

Country

Principal

Balance

# of

Assets

% of Aggregate

Principal Balance

23.29 %U.S. 42 93,700,139.24

22.75 %Germany 43 91,520,661.26

11.82 %Netherlands 15 47,541,741.40

11.13 %United Kingdom 15 44,765,850.05

9.79 %France 19 39,407,104.45

4.69 %Spain 7 18,872,591.81

4.67 %Switzerland 8 18,791,087.32

2.19 %Sweden 3 8,800,000.00

2.11 %Luxembourg 2 8,480,725.01

1.74 %Ireland 3 7,018,250.50

1.53 %Norway 2 6,150,000.00

1.49 %Finland 2 6,000,000.00

1.48 %Belgium 3 5,950,000.00

0.90 %Portugal 2 3,632,778.75

0.30 %Italy 2 1,200,000.00

0.12 %Austria 1 487,754.43

100.00 %Total 169 402,318,684.22

Distribution of Obligors (10 Largest)

Obligor

Principal

Balance

# of

Assets

% of Aggregate

Principal Balance

Springer SBM One GmbH 9,992,472.50 2.48 % 2

Emerald 2 Ltd. (Eagle US / Emerald Newco / ERM Canada / ERM 1 8,000,000.01 1.99 %

Monitchem Holdco 2 S.A. 7,800,000.00 1.94 % 1

Ziggo BV 2 7,700,000.00 1.91 %

Swissport Investments 7,550,000.00 1.88 % 2

MediArena Acquisition B.V. 1 7,460,767.58 1.85 %

Gardner Denver, Inc. 7,098,746.86 1.76 % 1

Deoleo S.A. 2 7,000,000.00 1.74 %

Numericable Group S.A. 7,000,000.00 1.74 % 2

Solera Holdings Inc 1 6,666,500.00 1.66 %

18.96 %Total 15 76,268,486.95


Page 57 of 59


05-Oct-1617-Oct-16

Stratifications - Industries


(Excluding Cash & Eligible Investments)

Distribution of Moody's Industry Classifications

IndustryPrincipal

Balance

# of

Assets

% of Agg.

Prin. Bal.

2.73 %Aerospace & Defense 3 11,000,000.00

0.60 %Automotive 2 2,425,383.65

4.99 %Banking, Finance, Insurance & Real Estate 9 20,088,891.70

7.11 %Beverage, Food & Tobacco 10 28,608,842.28

4.55 %Capital Equipment 7 18,301,661.80

14.04 %Chemicals, Plastics, & Rubber 25 56,482,269.69

4.04 %Construction & Building 6 16,241,999.71

0.96 %Consumer goods: Durable 2 3,846,359.37

1.17 %Consumer goods: Non-durable 4 4,724,702.78

4.69 %Containers, Packaging & Glass 6 18,849,842.80

3.65 %Environmental Industries 4 14,700,000.01

1.62 %Forest Products & Paper 4 6,516,601.32

9.26 %Healthcare & Pharmaceuticals 20 37,255,430.09

5.22 %High Tech Industries 7 21,017,750.00

7.52 %Hotel, Gaming & Leisure 10 30,236,766.03

2.48 %Media: Advertising, Printing & Publishing 2 9,992,472.50

5.15 %Media: Broadcasting & Subscription 8 20,730,725.01

1.02 %Media: Diversified & Production 2 4,110,000.00

0.30 %Metals & Mining 1 1,225,000.00

4.55 %Retail 14 18,315,222.10

6.59 %Services: Business 11 26,509,242.99

4.43 %Telecommunications 7 17,822,807.03

2.37 %Transportation: Cargo 3 9,553,616.00

0.94 %Utilities: Electric 2 3,763,097.36

100.00 %Total 169 402,318,684.22

Distribution of Fitch Industry Classifications

IndustryPrincipal

Balance

# of

Assets

% of Agg.

Prin. Bal.

0.60 %Automobiles 2 2,425,383.65

4.70 %Banking and Finance 9 18,909,870.84

6.00 %Broadcasting and Media 6 24,143,965.09

2.97 %Buildings and Materials 6 11,950,000.00

3.71 %Business Services 6 14,929,250.31

3.09 %Cable 5 12,450,000.00

13.32 %Chemicals 21 53,603,270.95

5.56 %Computer and Electronics 7 22,369,520.46

2.81 %Consumer Products 6 11,324,702.78

3.34 %Environmental Services 4 13,449,623.62

0.63 %Farming and Agricultural Services 1 2,550,000.00

7.43 %Food, Beverage and Tobacco 10 29,908,356.31

4.10 %Gaming, Leisure and Entertainment 6 16,480,998.45

4.55 %General Retail 14 18,315,222.10

4.93 %Healthcare 12 19,818,250.00

6.24 %Industrial/Manufacturing 12 25,106,415.94

2.65 %Lodging and Restaurants 3 10,654,090.91

0.87 %Metals and Mining 1 3,500,000.00

6.46 %Packaging and Containers 12 26,008,319.12

3.87 %Pharmaceuticals 7 15,587,556.48

0.34 %Real Estate 1 1,379,020.86

5.51 %Telecommunications 9 22,151,029.25

0.92 %Textiles and Furniture 2 3,700,000.00

4.68 %Transportation and Distribution 6 18,840,739.74

0.69 %Utilities (Power) 1 2,763,097.36

100.00 %Total 169 402,318,684.22

Page 58 of 59


05-Oct-1617-Oct-16

Risk Retention


The Collateral Administrator has received written confirmation from the Collateral Manager that:

it continues to hold an initial principal amount representing not less than 5 per cent.

of each Class of Notes; and

(i)

it has not sold, hedged or otherwise mitigated its credit risk under or associated with

the Retention Notes or the underlying portfolio of Collateral Obligations, except to

the extent permitted in accordance with the Retention Requirements.

(ii)


Page 59 of 59


05-Oct-1617-Oct-16

Disclaimer


This report is for the purposes of information only. Certain information included in this report is estimated,

approximated or projected and it is provided without any representations or warranties as to its accuracy or

completeness and none of the Collateral Administrator, the Trustee, the Issuer or the Collateral Manager will have

any liability for estimates, approximations or projections contained herein.

U.S. Bank Global Corporate Trust Services is a trading name of Elavon Financial Services DAC (a U.S. Bancorp

group company), registered in Ireland with the Companies Registration Office, Reg. No. 418442.

The liability of the member is limited. United Kingdom branch registered in England and Wales under the number

BR009373. Authorised by the Central Bank of Ireland.

Address: U.S. Bank Global Corporate Trust Services, 125 Old Broad Street, Fifth Floor, London EC2N 1AR


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