Harvest CLO VIII DAC – Monthly Report

Harvest CLO VIII DAC – Monthly Report NOVEMBER 2016

HARVEST CLO VIII DAC NOVEMBER 2016

3i Debt Management Investments Ltd. Registered in England under company number 5655607

Registered Office: 16 Palace Street, London, SW1E 5JD. Authorised and Regulated by the UK FCA 2

Disclaimer

This communication is issued and approved by 3i Debt Management Investments Ltd (“3iDM”) which is authorised and regulated by the Financial Conduct Authority. This communication is not for distribution to the public or a large number of persons, but is personal to named recipients. All recipients are (a) persons who have professional experience in matters relating to investments falling within Article 19(1) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the "Order") or (b) high net worth entities, and other persons to whom it may otherwise lawfully be communicated, falling within Article 49(1) of the Order (all such persons together being referred to as "relevant persons"). This communication must not be acted on or relied on by persons who are not relevant persons. Any investment or investment activity to which this communication relates is only available to relevant persons and will be engaged in only with relevant persons.

The material in this communication is not investment research or a research recommendation as defined by the FCA rules and has accordingly not been prepared in accordance with any legal requirements designed to promote the independence of investment research nor is it subject to any dealing prohibition on dealing ahead of the dissemination of investment research. This material has been compiled by 3iDM personnel from various publicly available news sources. It is not intended to be a comprehensive summary of newsworthy business or economic events and it may not be relied upon as such. To the extent that the information in this communication reflects the views of 3iDM or its affiliates, this information and views expressed are subject to change without notice to you. Although the information set out in this communication is obtained from sources believed to be reliable, 3iDM does not guarantee its accuracy or completeness. The contents of this commentary are confidential and not for distribution other than to investors in the aforementioned funds.




Overview

A mixed month with HY credit flat to slightly negative and loans up as markets responded to Central

Bank

Credit underperformed equities in November with the surprise US election outcome resulting in a

rally for global stocks and sending US markets to new all-time highs. A widening in both US and

European rates, however, put pressure on HY bonds particularly at the long end.

News of Trump’s election win had seen initial weakness with credit and equities selling off heavily,

reminiscent of the post Brexit referendum reaction. Weakness, however, was short lived with the

majority of markets quickly recovering as Trump’s strong bias toward fiscal expansion and

inflationary policy was ultimately seen as a positive for the US economy causing the Dollar to

strengthen but rates to widen.

The expectation of increased financial stimulus in the form of tax cuts and changes to trade policy

intended to boost the US economy and stimulate GDP growth caused Treasury yields to spike and a

steepening of the interest rate curve in the expectation that the Fed will be forced to raise interest

rates more aggressively than previously anticipated. Expectation remains for a hike in December

and possibly two to three rate rises next year.

Oil also rallied after OPEC agreed to cut production by 1.2m barrels a day effective January, its first

supply cut in 8 years. Oil consequently ended the month back above $50$/bbl, after enjoying its

biggest weekly gain in 15 months. Spotlight now on Russia and other non-OPEC producers which are

due to meet in December to discuss cutting output.

In Europe, rates volatility caused by a combination of rising Eurozone inflation, uncertainty over the

future of the ECB’s QE programme / tapering fears, and as a ripple effect from the US election, saw

Bunds fall with the 10 year yield spiking to 0.31% from 0.16% at the end of October. This resulted in

a sell-off in longer duration bonds and BB rated names which enjoy less of a risk premium.

November also saw contrasting reactions from the high yield and leverage loan new issue markets as

November HY issuance fell to EUR 2.9bn, the smallest monthly volume since August, whilst loan

issuance totalled EUR 9.7bn of which EUR 8.8bn was institutional making it the best volume month

of the year.

HY performance was negative, the J.P. Morgan European Currency High Yield Index returning -0.38%

in November, taking the YTD return to 7.66%, as fund flows throughout the month were negative

with EUR 886m leaving the asset class. For the index as a whole, the yield to worst stood at 4.51% at

the end of November and the average spread at 475bp whilst the par weighted average price

dropped from 100.09 at the end of October to 99.16 at the end of November.

In loans, the majority of issuance was accounted for by re-pricings, recaps, and refinancing’s

although a number of new transactions emerged towards the end of the month, the majority set to

wrap up before year end. YTD primary leveraged issuance now EUR 67.2bn ahead of last year’s tally

to the end of November of EUR 62.6bn as well as full-year 2014 issuance, the previous post-crisis

annual record. The average discounted spread to maturity meanwhile tightened further standing at

357bp at the end of November, 123bp tighter than the start of the year.

As a result of the current wave of re-pricings and refinancing’s the secondary loan market

consequently saw some softness in prices despite institutional loan repayments dropping to EUR

3.8bn. Nevertheless, as at the end of November, the average bid for LCD’s European loan flow-name

composite stood at 100.68, up 11bp on the month and 163bp YTD as new issue mostly traded




up. Similarly, LCD’s broad secondary composite stood at 94.28, up 34bp on the month but down

29bp YTD. ELLI meanwhile returned 0.25% for the month taking the YTD total return to 5.35%.

Turning to the CLO market and November was the second highest issuance month year to date, with

EUR 2bn in new-issue volume across 6 deals Liability spreads tightened at the top of the stack, AAAs

printing at another new tight for CLO 2.0 vintages of 96bp, whilst BBB and BB spreads

widened. Europe also saw its first CLO reset. YTD CLO issuance to the end of November

EUR15.56bn from 38 deals v. EUR 12.44bn from 31 deals in the same period last year.

Looking ahead and the December ECB meeting will be a highlight after the Italian Referendum at the

start of the month whilst FOMC meeting expected to see the Fed raise rates. New issuance activity

expected to drop in the run up to year end although loan refinancing’s and re-pricings expected to

continue resulting in further spread tightening whilst the movement in rates could well see widening

in HY.

Portfolio Commentary

At the end of November the Par Coverage Numerator stands at €412.3m which is flat compared to

the previous report. The Par Coverage of €412.3m remains above the Target Par of €412.0m. The

Class E Par Value ratio now stands at 111.74% compared to a test ratio of 107.70%. All Portfolio

Profile tests are passing at the end of November, although with regards to the Collateral Quality

tests the Fitch Rating and Recovery tests are marginally failing due to repayment of higher rated

assets in the month.

During the month, the Portfolio Manager invested in a new primary transaction for HSE24, and a

number of incremental facilities and refinancings of existing portfolio assets as outlined in the

report. The Portfolio Manager has continued the strategy of building diversification in the fund,

which now includes 156 different obligors.

The Weighted Average Spread has fallen slightly in the month to 4.79% from 4.80% as a result of the

repricing activity in the market. As noted above, the Fitch WARF and Recovery Rating tests are

marginally failing. These are both ‘improvement tests’. The WAL test remains tight at 4.88 versus a

4.89 trigger.

The fund is well invested, with €0.3m of cash at the end of November which represents less than

0.1% of par.

There is no change to the CCC assets, which remain at €13m (3.1% of the portfolio).

The balance in the interest account at the end of November is €1.8m. Details of expected interest

collection for the remaining period up to the January Determination Date can be found in the

Interest Coverage Test section of the report.

Next Payment Date

The next Payment Date for Harvest VIII is 30 January 2017.




Business address:

3i Debt Management

16 Palace Street

London SW1E 5JD

We actively welcome feedback from investors and would encourage investors to contact the team should they have any questions or queries regarding any aspect of reporting or receipt of information. In order to ensure that the Portfolio Manager responds to all questions and queries in a timely manner please feel free to contact any of the individuals below by email or telephone. Alternatively please feel free to use the following dedicated email address:

[email protected]

Please refer to the official reports produced by the Trustee should any discrepancies exist between the information provided in this newsletter and the official reports produced by the Trustee.

Andrew Strong – Portfolio Management � [email protected] ℡ +44 20 7975 3255

Sean Ferris – Fund Investor Reporting � [email protected] ℡ +44 20 7975 3508

Key Portfolio Movements

Significant par value movements 20 October 2016 - 30 November 2015 Movement (EUR)

Trading Gains/Losses 14,945

Total 14,945

Par value haircuts 20 October 2016 30 November 2016

CCC haircut 0 0

Discounted Obligations haircut 0 0

Trustee

Closing Date

Effective Date

27-Mar-2014

20-Jun-2014

30-Jan-2017

3i Debt Management Investments Ltd

RBS Plc

Deutsche Trustee Company Limited Next Payment Date

Collateral Manager

Underwriter

30 November 2016

Harvest CLO VIII DAC

Monthly Report

This report is prepared by Deutsche Bank AG, London Branch for information purposes only. Certain information included in this report is estimated,

approximated or projected. The report is provided without any representations or warranties as to the completeness or accuracy. None of 3i Debt

Management Investments Ltd, Harvest CLO VIII DAC, Deutsche Bank AG, London Branch or Deutsche Trustee Company Limited will have any

liability for such estimates, approximations or projections.

Monthly Report Produced 16-Dec-2016Deutsche Bank - Trust & Agency Services

Harvest CLO VIII DACTable Of Contents

Report Name Report Section

Summary 1

Liability Details 2

Coverage Tests 3

Collateral Quality Tests 4

Portfolio Profile Tests 5

Par Coverage Test Detail 6

Interest Coverage Test Detail 7

Par Value Coverage Test History 8

Interest Coverage Test History 9

Collateral Quality Test History 10

Third Party Credit Exposure 11

Hedge Payments 12

Hedge Transactions 13

Defaulted Obligations 14

Loan Portfolio 15

Exchanged Equity Securities 16

Purchase and Sales 17

Unsettled Trades 18

Principal Repayments 19

Issuer Rating Changes 20

Interest Rate Hedges 21

Current Pay Obligations 22

CCC Obligations 23

Discount Obligations 24

Collateral Obligations Subject to Withholding Tax 25

Collateral Obligation Paying Interest Less Frequently Than Semi-Annually 26

Account Balances 27

Liquidity Facility 28

S&P CDO Monitor 29

Maturity Profile 30

Graph: By Fitch Rating 31

Graph: By S&P Rating 32

Graph: By Fitch Industry 33

Graph: By S&P Industry 34

Portfolio by Geographic Split 35

Cross Currency Options 36

Interest Rate Caps 37

Portfolio Composition - Asset Type 38

Risk Retention Letter 39

Deutsche Bank - Trust & Agency Services Monthly Report Produced 16-Dec-2016

Harvest CLO VIII DACSummary as of 30-Nov-2016

Expected Interest

(EUR)

Balance

(EUR)

Spread (bps)

Original Current

S&P Rating

Original Current

Summary

Liabilities

Fitch RatingAll in Rate %

HARVT 8X A 243,000,000.00 140.0 668,250.00 AAA AAA AAA AAA1.0880

HARVT 8X B 47,000,000.00 190.0 188,470.00 AA AA AA AA1.5880

HARVT 8X C 27,000,000.00 235.0 139,050.00 A A A A2.0380

HARVT 8X D 21,000,000.00 325.0 156,030.00 BBB BBB BBB BBB2.9380

HARVT 8X E 31,000,000.00 450.0 328,290.00 BB BB BB BB4.1880

HARVT 8X F 10,000,000.00 525.0 124,800.00 B B B B4.9380

HARVT 8X SUB 46,000,000.00 NR N/R NR N/R0.0000

425,000,000.00 1,604,890.00

Mezzanine Loans (Secured) 0.00

Senior Secured Loans 393,750,624.55

Subordinated 17,682,342.92

Current Pay Obligations 0.00

Defaulted Obligations Amount 585,000.00

Total Cash (Principal and Unused Proceeds) 303,415.81

Total: 412,321,383.28

Assets (EUR)

Pass Fail

Interest Coverage Tests 4 0

Principal Coverage Tests 4 0

Collateral Quality Tests 4 2

Portfolio Profile Tests 38 0

Total 50 2

Test Type

Test Results Summary

Monthly Report Produced 16-Dec-20161 - 1Deutsche Bank - Trust & Agency Services

Liability Details as of 30-Nov-2016


Factor Principal

Balance

(EUR)

Coupon

Amount

(CCY)

Principal

Balance

(CCY)

Issuer Maturity

Date

Frequency Fixed /

Floating

Interest

Rate %

CCYObligation S&P

Rating

Fitch

Rating

Coupon

Date

Spread

(bps)

1.088 EUR 243,000,000.00Harvest CLO VIII DAC 1.00 668,250.00HARVT 8X A 30-Apr-2026 AAA Floating3 Months 243,000,000.00AAA

30-Jan-17 140.0

1.588 EUR 47,000,000.00Harvest CLO VIII DAC 1.00 188,470.00HARVT 8X B 30-Apr-2026 AA Floating3 Months 47,000,000.00AA

30-Jan-17 190.0

2.038 EUR 27,000,000.00Harvest CLO VIII DAC 1.00 139,050.00HARVT 8X C 30-Apr-2026 A Floating3 Months 27,000,000.00A

30-Jan-17 235.0

2.938 EUR 21,000,000.00Harvest CLO VIII DAC 1.00 156,030.00HARVT 8X D 30-Apr-2026 BBB Floating3 Months 21,000,000.00BBB

30-Jan-17 325.0

4.188 EUR 31,000,000.00Harvest CLO VIII DAC 1.00 328,290.00HARVT 8X E 30-Apr-2026 BB Floating3 Months 31,000,000.00BB

30-Jan-17 450.0

4.938 EUR 10,000,000.00Harvest CLO VIII DAC 1.00 124,800.00HARVT 8X F 30-Apr-2026 B Floating3 Months 10,000,000.00B

30-Jan-17 525.0

0.000 EUR 46,000,000.00Harvest CLO VIII DAC 1.00 0.00HARVT 8X SUB 30-Apr-2026 NR Floating3 Months 46,000,000.00NR

30-Jan-17 0.0

425,000,000.00


Coverage Tests as of 30-Nov-2016


Test Description Trigger Current Result Prior Result Pass / Fail Comments

30-Nov-201630-Nov-2016

Class A/B Interest Coverage Test 531.34%>= 120.00% 531.34% Pass

Class C Interest Coverage Test 457.14%>= 115.00% 457.14% Pass

Class D Interest Coverage Test 395.22%>= 110.00% 395.22% Pass

Class E Interest Coverage Test 307.55%>= 105.00% 307.55% Pass

Class A/B Par Value Test 142.18%>= 132.10% 142.18% Pass

Class C Par Value Test 130.07%>= 123.00% 130.07% Pass

Class D Par Value Test 121.99%>= 115.90% 121.99% Pass

Class E Par Value Test 111.74%>= 107.70% 111.74% Pass


Collateral Quality Tests as of 30-Nov-2016


Test Description Trigger Current Result Prior Result Pass / Fail Comments

30-Nov-201630-Nov-2016

Minimum Weighted Average Fixed Coupon Test 6.000%>= 6.000% 6.000% Pass

Weighted Average Life Test 4.88<= 4.89 4.88 Pass

Minimum Weighted Average Spread Test 4.797%>= 4.460% 4.797% Pass

Class A S&P Minimum Weighted Average Recovery Rate Test 32.9%>= 32.2% 32.9% Pass

Fitch Maximum Weighted Average Rating Factor Test 33.64<= 33.50 33.64 Fail

Fitch Minimum Weighted Average Recovery Rate Test 63.6%>= 63.8% 63.6% Fail


Portfolio Profile Tests as of 30-Nov-2016


Description Trigger Current Result Pass / Fail Comments

30-Nov-201630-Nov-2016

(a) Not less than 90 per cent of Aggregate Collateral Balance shall consist of Senior

Secured Collateral Obligation

Pass95.71%>= 90.00% 95.71%

(b) Not more than 10 per cent. of the Aggregate Collateral Balance shall consist of

Unsecured Senior Obligations, Second Lien Loans, Mezzanine Obligations and/or High

Yield Bonds

Pass4.29%<= 10.00% 4.29%

(c) Not more than 2.5 per cent of Aggregate Collateral Balance shall be the Senior

obligation of any single obligor

Pass1.63%<= 2.50% 1.63%

(d) Not more than 1.5 per cent of Aggregate Collateral Balance shall be the Unsecured

Senior, Mezzanine obligations, High Yield Bonds or Second Lien Loans of any single

obligor

Pass0.81%<= 1.50% 0.81%

(e) Not more than 5 per cent. of the Aggregate Collateral Balance shall consist of

Participations

Pass0.00%<= 5.00% 0.00%

(f) Not more than 5 per cent. of the Aggregate Collateral Balance shall consist of

Current Pay Obligations

Pass0.00%<= 5.00% 0.00%

(g) Not more than 5 per cent of Aggregate Collateral Balance shall consist of Annual

Obligations unless Rating Agency Confirmation is obtained

Pass0.00%<= 5.00% 0.00%

(h) Not more than 5 per cent. of the Aggregate Collateral Balance shall consist of

obligations which are Revolving Collateral Obligations or Delayed Drawdown Collateral

Obligations

Pass0.00%<= 5.00% 0.00%

(i) Not more than 7.5 per cent. of the Aggregate Collateral Balance shall consist of

obligations which are S&P CCC Obligations

Pass1.68%<= 7.50% 1.68%

(j) Not more than 7.5 per cent. of the Aggregate Collateral Balance shall consist of

obligations which are Fitch CCC Obligations

Pass1.74%<= 7.50% 1.74%

(k) Not more than 10 per cent. of the Aggregate Collateral Balance shall consist of

obligations which are Unhedged Fixed Rate Collateral Debt Obligations

Pass3.76%<= 10.00% 3.76%

(l) Not more than 30 per cent. of the Aggregate Collateral Balance shall consist of

Non-Euro Obligations

Pass7.87%<= 30.00% 7.87%

(m) Not more than 2.5 per cent. of the Aggregate Collateral Balance shall consist of

Bridge Obligations

Pass0.00%<= 2.50% 0.00%

(n)(i) Not more than 5 per cent. of the Aggregate Collateral Balance shall consist of

Corporate Rescue Loans

Pass0.00%<= 5.00% 0.00%

(n)(ii) Not more than 2 per cent. of the Aggregate Collateral Balance shall consist of

Corporate Rescue Loans issued by a single Obligor

Pass0.00%<= 2.00% 0.00%

(o)(i) Not more than 30 per cent. of the Aggregate Collateral Balance shall consist of

Cov-Lite Loans

Pass4.30%<= 30.00% 4.30%

(o)(ii) Not more than 10 per cent. of the Aggregate Collateral Balance shall consist of

Cov-Lite Loans rated less than BB- by S&P and Fitch

Pass3.39%<= 10.00% 3.39%

(p) Not more than 5 per cent. of the Aggregate Collateral Balance shall consist of

obligations which are PIK Securities

Pass1.12%<= 5.00% 1.12%

(q)(i) One S&P industry classification may comprise up to 20 per cent. of the Aggregate

Collateral Balance

Pass12.02%<= 20.00% 12.02%

(q)(ii) Any two S&P industry classifications may comprise up to 12 per cent. of the

Aggregate Collateral Balance

Pass11.39%<= 12.00% 11.39%


Portfolio Profile Tests as of 30-Nov-2016


Description Trigger Current Result Pass / Fail Comments

30-Nov-201630-Nov-2016

(q)(iii) Not more than 10 per cent. of the Aggregate Collateral Balance shall consist of

obligations comprising any one S&P industry classification

Pass7.37%<= 10.00% 7.37%

(r) Not more than 10 per cent. of the Aggregate Collateral Balance shall consist of

obligations whose S&P Rating is derived from a Moody's Rating

Pass0.00%<= 10.00% 0.00%

(s) Not more than 10 per cent. of the Aggregate Collateral Balance shall consist of

Obligors who are Domiciled in countries or jurisdictions rated below "A-" by Fitch or

S&P

Pass8.09%<= 10.00% 8.09%

(t)(i) Selling Institution Bivariate Risk Limitations S&P/Fitch AAA - Aggregate Pass0.00%<= 20.00% 0.00%

(t)(i) Selling Institution Bivariate Risk Limitations S&P/Fitch AAA - Individual Pass0.00%<= 20.00% 0.00%

(t)(ii) Selling Institution Bivariate Risk Limitations S&P/Fitch AA+ - Aggregate Pass0.00%<= 10.00% 0.00%

(t)(ii) Selling Institution Bivariate Risk Limitations S&P/Fitch AA+ - Individual Pass0.00%<= 10.00% 0.00%

(t)(iii) Selling Institution Bivariate Risk Limitations S&P/Fitch AA - Aggregate Pass0.00%<= 10.00% 0.00%

(t)(iii) Selling Institution Bivariate Risk Limitations S&P/Fitch AA - Individual Pass0.00%<= 10.00% 0.00%

(t)(iv) Selling Institution Bivariate Risk Limitations S&P/Fitch AA- - Aggregate Pass0.00%<= 5.00% 0.00%

(t)(iv) Selling Institution Bivariate Risk Limitations S&P/Fitch AA- -Individual Pass0.00%<= 10.00% 0.00%

(t)(v) Selling Institution Bivariate Risk Limitations S&P/Fitch A+ - Aggregate Pass0.00%<= 5.00% 0.00%

(t)(v) Selling Institution Bivariate Risk Limitations S&P/Fitch A+ - Individual Pass0.00%<= 5.00% 0.00%

(t)(vi) Selling Institution Bivariate Risk Limitations S&P/Fitch A - Aggregate Pass0.00%<= 5.00% 0.00%

(t)(vi) Selling Institution Bivariate Risk Limitations S&P/Fitch A - Individual Pass0.00%<= 5.00% 0.00%

(t)(vii)Selling Institution Bivariate Risk Limitations S&P/Fitch A- - Aggregate Pass0.00%<= 0.00% 0.00%

(t)(vii)Selling Institution Bivariate Risk Limitations S&P/Fitch A- - Individual Pass0.00%<= 0.00% 0.00%

(u) Not more than 5 per cent of Aggregate Collateral Balance shall consist of obligations

issued by Obligors with total current indebtedness of less than 100,000,000 EUR

Pass0.00%<= 5.00% 0.00%


Par Coverage Test Detail as of 30-Nov-2016

Harvest CLO VIII DACMonthly Report

Test Description Numerator Denominator Trigger Current Result Pass/FailPrior Result

30-Nov-2016 30-Nov-2016

142.18% Pass>= 132.10%290,000,000.00412,321,383.28 142.18%Class A/B Par Value Test

130.07% Pass>= 123.00%317,000,000.00412,321,383.28 130.07%Class C Par Value Test

121.99% Pass>= 115.90%338,000,000.00412,321,383.28 121.99%Class D Par Value Test

111.74% Pass>= 107.70%369,000,000.00412,321,383.28 111.74%Class E Par Value Test

Denominator Details

EUR

Class A/B Par Value Test

Principal Balance of Notes 290,000,000.00

Class C Par Value Test


Class D Par Value Test


Class E Par Value Test


Numerator Details

EUR

411,432,967.47(a) CDO Aggregate Principal Balance

303,415.81(b) Account Balances (Principal and Unused Proceeds)

585,000.00(c) Defaulted Obligations or Special Situation Investment

Recovery Amount

0.00Current Pay Obligations

0.00(d) Minus Par Value Test Excess Adjustment Amount

(a) CCC Obligations Balance 12,969,541.84

(b) Haircut CCC Balance 0.00

(c) Discount Collateral Haircut 0.00

412,321,383.28Par Coverage Numerator (a+b+c-d)


Interest Coverage Test Detail as of 30-Nov-2016


Test Description Numerator Denominator Trigger Current Result Pass/FailPrior Result

30-Nov-201630-Nov-2016

Class A/B Interest Coverage Test 4,552,090.22 531.34%856,720.00 531.34% Pass>= 120.00%

Class C Interest Coverage Test 4,552,090.22 457.14%995,770.00 457.14% Pass>= 115.00%

Class D Interest Coverage Test 4,552,090.22 395.22%1,151,800.00 395.22% Pass>= 110.00%

Class E Interest Coverage Test 4,552,090.22 307.55%1,480,090.00 307.55% Pass>= 105.00%

EUR

Actual Interest Proceeds Collected 1,828,780.45

Projected Interest - Securities 2,946,448.88

Projected Interest - Eligible Investments 0.00

Projected Reinvestment Interest 0.00

Periodic Reserve Amount 0.00

Amounts payable pursuant to (A) - (F) -223,139.11

4,552,090.22

Denominator Details

EUR

Class A/B Interest Coverage Test

Actual Interest Payments on Notes 0.00

Projected Interest Payments on Notes 856,720.00

Class C Interest Coverage Test


Projected Interest Payments on Notes 995,770.00

Class D Interest Coverage Test


Projected Interest Payments on Notes 1,151,800.00

Class E Interest Coverage Test


Projected Interest Payments on Notes 1,480,090.00

Numerator Details


Par Value Coverage Test History as of 30-Nov-2016


Class C Par Value Test

ResultHeadroomTriggerActualDate

30-Nov-2016 123.00% 7.07%130.07% Pass

20-Oct-2016 123.00% 7.07%130.07% Pass

30-Sep-2016 123.00% 7.09%130.09% Pass

31-Aug-2016 123.00% 7.15%130.15% Pass

20-Jul-2016 123.00% 7.39%130.39% Pass

30-Jun-2016 123.00% 7.39%130.39% Pass

31-May-2016 123.00% 7.74%130.74% Pass

20-Apr-2016 123.00% 7.71%130.71% Pass

31-Mar-2016 123.00% 7.69%130.69% Pass

Class D Par Value Test


Pass30-Nov-2016 115.90%121.99% 6.09%

Pass20-Oct-2016 115.90%121.98% 6.08%

Pass30-Sep-2016 115.90%122.01% 6.11%

Pass31-Aug-2016 115.90%122.06% 6.16%

Pass20-Jul-2016 115.90%122.29% 6.39%

Pass30-Jun-2016 115.90%122.29% 6.39%

Pass31-May-2016 115.90%122.62% 6.72%

Pass20-Apr-2016 115.90%122.59% 6.69%

Pass31-Mar-2016 115.90%122.57% 6.67%

Class A/B Par Value Test

Date Actual Trigger Headroom Result

Pass30-Nov-2016 132.10%142.18% 10.08%

Pass20-Oct-2016 132.10%142.17% 10.07%

Pass30-Sep-2016 132.10%142.20% 10.10%

Pass31-Aug-2016 132.10%142.26% 10.16%

Pass20-Jul-2016 132.10%142.53% 10.43%

Pass30-Jun-2016 132.10%142.53% 10.43%

Pass31-May-2016 132.10%142.91% 10.81%

Pass20-Apr-2016 132.10%142.88% 10.78%

Pass31-Mar-2016 132.10%142.86% 10.76%

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20

-Ap

r-2

01

6

31

-Ma

y-2

01

6

30

-Ju

n-2

01

6

20

-Ju

l-2

01

6

31

-Au

g-2

01

6

30

-Se

p-2

01

6

20

-Oct-

20

16

30

-No

v-2

01

6

Headroom %


Par Value Coverage Test History as of 30-Nov-2016


Class E Par Value Test


Pass30-Nov-2016 107.70%111.74% 4.04%

Pass20-Oct-2016 107.70%111.74% 4.04%

Pass30-Sep-2016 107.70%111.76% 4.06%

Pass31-Aug-2016 107.70%111.81% 4.11%

Pass20-Jul-2016 107.70%112.01% 4.31%

Pass30-Jun-2016 107.70%112.02% 4.32%

Pass31-May-2016 107.70%112.32% 4.62%

Pass20-Apr-2016 107.70%112.29% 4.59%

Pass31-Mar-2016 107.70%112.27% 4.57%

Trends

0.00

1.00

2.00

3.00

4.00

5.00

31

-Ma

r-2

01

6

20

-Ap

r-2

01

6

31

-Ma

y-2

01

6

30

-Ju

n-2

01

6

20

-Ju

l-2

01

6

31

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g-2

01

6

30

-Se

p-2

01

6

20

-Oct-

20

16

30

-No

v-2

01

6

Headroom %


Interest Coverage Test History as of 30-Nov-2016


Class C Interest Coverage Test


Pass 342.14% 115.00% 457.14%30-Nov-2016

Pass 321.74% 115.00% 436.74%20-Oct-2016

Pass 328.35% 115.00% 443.35%30-Sep-2016

Pass 302.98% 115.00% 417.98%31-Aug-2016

Pass 339.85% 115.00% 454.85%20-Jul-2016

Pass 331.97% 115.00% 446.97%30-Jun-2016

Pass 332.70% 115.00% 447.70%31-May-2016

Pass 295.25% 115.00% 410.25%20-Apr-2016

Pass 276.32% 115.00% 391.32%31-Mar-2016

Class D Interest Coverage Test


Pass 285.22% 110.00% 395.22%30-Nov-2016

Pass 267.95% 110.00% 377.95%20-Oct-2016

Pass 273.68% 110.00% 383.68%30-Sep-2016

Pass 251.72% 110.00% 361.72%31-Aug-2016

Pass 284.68% 110.00% 394.68%20-Jul-2016

Pass 277.84% 110.00% 387.84%30-Jun-2016

Pass 278.47% 110.00% 388.47%31-May-2016

Pass 247.82% 110.00% 357.82%20-Apr-2016

Pass 231.31% 110.00% 341.31%31-Mar-2016

Class A/B Interest Coverage Test


30-Nov-2016 531.34% 120.00% 411.34% Pass

20-Oct-2016 507.25% 120.00% 387.25% Pass

30-Sep-2016 514.94% 120.00% 394.94% Pass

31-Aug-2016 485.46% 120.00% 365.46% Pass

20-Jul-2016 527.26% 120.00% 407.26% Pass

30-Jun-2016 518.12% 120.00% 398.12% Pass

31-May-2016 518.96% 120.00% 398.96% Pass

20-Apr-2016 473.53% 120.00% 353.53% Pass

31-Mar-2016 451.67% 120.00% 331.67% Pass

Trends

0.00

100.00

200.00

300.00

400.00

500.00

600.00

31-M

ar-

2016

20-A

pr-

2016

31-M

ay-2

016

30-J

un-2

016

20-J

ul-2016

31-A

ug-2

016

30-S

ep-2

016

20-O

ct-

2016

30-N

ov-2

016

Headroom %

Trends

0.00

100.00

200.00

300.00

400.00

500.00

600.00

31-M

ar-

2016

20-A

pr-

2016

31-M

ay-2

016

30-J

un-2

016

20-J

ul-2016

31-A

ug-2

016

30-S

ep-2

016

20-O

ct-

2016

30-N

ov-2

016

Headroom %

Trends

0.00

100.00

200.00

300.00

400.00

500.00

600.00

31-M

ar-

2016

20-A

pr-

2016

31-M

ay-2

016

30-J

un-2

016

20-J

ul-2016

31-A

ug-2

016

30-S

ep-2

016

20-O

ct-

2016

30-N

ov-2

016

Headroom %


Interest Coverage Test History as of 30-Nov-2016


Class E Interest Coverage Test


30-Nov-2016 307.55% 105.00% 202.55% Pass

20-Oct-2016 294.65% 105.00% 189.65% Pass

30-Sep-2016 299.12% 105.00% 194.12% Pass

31-Aug-2016 282.00% 105.00% 177.00% Pass

20-Jul-2016 309.14% 105.00% 204.14% Pass

30-Jun-2016 303.78% 105.00% 198.78% Pass

31-May-2016 304.28% 105.00% 199.28% Pass

20-Apr-2016 282.87% 105.00% 177.87% Pass

31-Mar-2016 269.82% 105.00% 164.82% Pass

Trends

0.00

100.00

200.00

300.00

400.00

500.00

600.00

31-M

ar-

2016

20-A

pr-

2016

31-M

ay-2

016

30-J

un-2

016

20-J

ul-2016

31-A

ug-2

016

30-S

ep-2

016

20-O

ct-

2016

30-N

ov-2

016

Headroom %


Collateral Quality Test History as of 30-Nov-2016


Weighted Average Life Test


30-Nov-2016 Pass4.88 4.89 0.01

20-Oct-2016 Pass4.97 5.00 0.03

30-Sep-2016 Pass5.03 5.06 0.03

31-Aug-2016 Pass5.04 5.14 0.10

20-Jul-2016 Pass5.07 5.25 0.18

30-Jun-2016 Pass5.12 5.31 0.19

31-May-2016 Pass5.15 5.39 0.24

20-Apr-2016 Pass5.22 5.50 0.28

31-Mar-2016 Pass5.25 5.56 0.31

Minimum Weighted Average Spread Test


30-Nov-2016 4.460% 0.336% Pass4.797%

20-Oct-2016 4.460% 0.338% Pass4.799%

30-Sep-2016 4.460% 0.387% Pass4.848%

31-Aug-2016 4.460% 0.371% Pass4.832%

20-Jul-2016 4.460% 0.352% Pass4.813%

30-Jun-2016 4.460% 0.384% Pass4.845%

31-May-2016 4.400% 0.424% Pass4.824%

20-Apr-2016 4.400% 0.397% Pass4.798%

31-Mar-2016 4.400% 0.380% Pass4.781%

Minimum Weighted Average Fixed Coupon Test


30-Nov-2016 6.000% Pass6.000% 0.000%

20-Oct-2016 6.000% Pass6.000% 0.000%

30-Sep-2016 6.000% Pass6.000% 0.000%

31-Aug-2016 6.000% Pass6.000% 0.000%

20-Jul-2016 6.000% Pass6.000% 0.000%

30-Jun-2016 6.000% Pass6.000% 0.000%

31-May-2016 6.000% Pass6.000% 0.000%

20-Apr-2016 6.000% Pass6.000% 0.000%

29-Feb-2016 6.000% Fail5.858% -0.143%

Trends

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

31

-Ma

r-2

01

6

20

-Ap

r-2

01

6

31

-Ma

y-2

01

6

30

-Ju

n-2

01

6

20

-Ju

l-2

01

6

31

-Au

g-2

01

6

30

-Se

p-2

01

6

20

-Oct-

20

16

30

-No

v-2

01

6Headroom %

Trends

-0.16

-0.14

-0.12

-0.10

-0.08

-0.06

-0.04

-0.02

0.00

29

-Fe

b-2

01

6

20

-Ap

r-2

01

6

31

-Ma

y-2

01

6

30

-Ju

n-2

01

6

20

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l-2

01

6

31

-Au

g-2

01

6

30

-Se

p-2

01

6

20

-Oct-

20

16

30

-No

v-2

01

6

Headroom %

Trends

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

0.45

31

-Ma

r-2

01

6

20

-Ap

r-2

01

6

31

-Ma

y-2

01

6

30

-Ju

n-2

01

6

20

-Ju

l-2

01

6

31

-Au

g-2

01

6

30

-Se

p-2

01

6

20

-Oct-

20

16

30

-No

v-2

01

6

Headroom %


Collateral Quality Test History as of 30-Nov-2016


Fitch Maximum Weighted Average Rating Factor Test


30-Nov-2016 Fail33.64 33.50 -0.14

20-Oct-2016 Pass33.50 33.50 0.00

30-Sep-2016 Pass33.44 33.50 0.06

31-Aug-2016 Pass33.29 33.50 0.21

20-Jul-2016 Pass32.87 33.50 0.63

30-Jun-2016 Pass33.05 33.50 0.45

31-May-2016 Pass33.31 33.50 0.19

20-Apr-2016 Pass33.17 33.50 0.33

31-Mar-2016 Pass33.15 33.50 0.35

Fitch Minimum Weighted Average Recovery Rate Test


30-Nov-2016 63.8% -0.2% Fail63.6%

20-Oct-2016 63.8% 0.1% Pass63.9%

30-Sep-2016 63.8% 0.4% Pass64.2%

31-Aug-2016 63.8% 1.2% Pass65.0%

20-Jul-2016 63.8% 1.5% Pass65.3%

30-Jun-2016 63.8% 1.1% Pass64.9%

31-May-2016 64.4% 1.3% Pass65.7%

20-Apr-2016 64.4% 1.3% Pass65.7%

31-Mar-2016 64.4% 1.4% Pass65.8%

Class A S&P Minimum Weighted Average Recovery Rate Test


30-Nov-2016 32.2% Pass32.9% 0.6%

20-Oct-2016 32.2% Pass32.9% 0.7%

30-Sep-2016 33.0% Pass33.3% 0.3%

31-Aug-2016 33.0% Pass33.6% 0.5%

20-Jul-2016 33.6% Pass33.7% 0.1%

30-Jun-2016 33.6% Pass33.8% 0.2%

31-May-2016 34.0% Pass34.2% 0.2%

20-Apr-2016 34.0% Pass34.4% 0.4%

31-Mar-2016 34.0% Pass34.5% 0.4%

Trends

-0.20

-0.10

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

31

-Ma

r-2

01

6

20

-Ap

r-2

01

6

31

-Ma

y-2

01

6

30

-Ju

n-2

01

6

20

-Ju

l-2

01

6

31

-Au

g-2

01

6

30

-Se

p-2

01

6

20

-Oct-

20

16

30

-No

v-2

01

6Headroom %

Trends

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

31

-Ma

r-2

01

6

20

-Ap

r-2

01

6

31

-Ma

y-2

01

6

30

-Ju

n-2

01

6

20

-Ju

l-2

01

6

31

-Au

g-2

01

6

30

-Se

p-2

01

6

20

-Oct-

20

16

30

-No

v-2

01

6

Headroom %

Trends

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

31

-Ma

r-2

01

6

20

-Ap

r-2

01

6

31

-Ma

y-2

01

6

30

-Ju

n-2

01

6

20

-Ju

l-2

01

6

31

-Au

g-2

01

6

30

-Se

p-2

01

6

20

-Oct-

20

16

30

-No

v-2

01

6

Headroom %


Third Party Credit Exposure as of 30-Nov-2016


Principal Balance

(EUR)

All In Interest

Rate (%)

Maturity Date Coupon

Margin

(bps)

ObligationCounterParty Name

Moody's

CounterParty Rating

S&P Fitch

Funded

Amount

**Nothing to report**



Hedge Payments as of 30-Nov-2016

Hedge Name

Payment Type

Termination Date

Due By Next

Payment DateOutstanding Notional Rate Spread Fixed/Floating Index Date CCY

Counterparty

Issue

Fx Rate

ALISON BIDCO SARL

(ALSTOM)

JP MORGAN 17-Jun-2022 0.7715 EUR = 1 USD

Receive 385,750.00 6.776 710.0 Floating 6,607.63 19-Jan-2017 EUR2ND LIEN TERM LOAN LIBOR (3 months)

Pay 500,000.00 9.381 850.0 Floating 11,856.82 19-Jan-2017 USDLIBOR (3 months)

ARGON NPS LIMITED JP MORGAN 10-Feb-2022 1.39 EUR = 1 GBP

Receive 2,780,000.00 4.526 485.0 Floating 31,808.23 19-Jan-2017 EURFACILITY B LIBOR (3 months)

Pay 2,000,000.00 6.152 575.0 Floating 30,675.73 19-Jan-2017 GBPLIBOR (3 months)

BESTWAY UK HOLDCO

LIMITED

JP MORGAN 01-Oct-2021 1.257 EUR = 1 GBP


Pay 938,452.46 5.152 475.0 Floating 12,054.15 19-Jan-2017 GBPLIBOR (3 months)

CONCORDIA HEALTHCARE

CORP

JP MORGAN 21-Oct-2021 1.362 EUR = 1 GBP

Receive 3,757,962.30 3.976 430.0 Floating 37,773.28 19-Jan-2017 EURTERM LOAN B LIBOR (3 months)


CROWN ACQUISITION MIDCO 2

LIMITED

JP MORGAN 26-Mar-2021 1.207 EUR = 1 GBP



CYAN BLUE HOLDCO 3 LIMITED JP MORGAN 09-Feb-2022 1.383 EUR = 1 GBP

Receive 3,457,500.00 4.296 462.0 Floating 37,549.90 19-Jan-2017 EURINITIAL TERM LOAN LIBOR (3 months)


EDDIE STOBART JP MORGAN 23-Apr-2021 1.2175 EUR = 1 GBP



EMERALD 3 LIMITED JP MORGAN 16-May-2021 0.727 EUR = 1 USD

Receive 1,454,000.00 5.576 590.0 Floating 20,495.55 19-Jan-2017 EURSECOND LIEN FACILITY LIBOR (3 months)

Pay 2,000,000.00 7.881 700.0 Floating 39,843.95 19-Jan-2017 USDLIBOR (3 months)

FAT FACE WORLD

BORROWINGS LIMITED

JP MORGAN 19-Nov-2021 1.2602 EUR = 1 GBP

Receive 1,134,180.00 4.226 455.0 Floating 12,116.98 19-Jan-2017 EURTERM B FACILITY LIBOR (3 months)

Pay 900,000.00 5.902 550.0 Floating 13,243.12 19-Jan-2017 GBPLIBOR (3 months)

GALAXY BIDCO LTD JP MORGAN 15-Nov-2019 1.207 EUR = 1 GBP

Receive 1,485,817.00 3.896 422.0 Floating 14,634.27 19-Jan-2017 EURDGGLN FLOAT LIBOR (3 months)



Hedge Payments as of 30-Nov-2016

Hedge Name

Payment Type

Termination Date

Due By Next

Payment DateOutstanding Notional Rate Spread Fixed/Floating Index Date CCY

Counterparty

Issue

Fx Rate

Pay 1,231,000.00 5.402 500.0 Floating 16,579.11 19-Jan-2017 GBPDGGLN FLOAT LIBOR (3 months)

INDIGO BIDCO LIMITED JP MORGAN 08-Jul-2021 1.26 EUR = 1 GBP



MEDIARENA ACQUISITION BV JP MORGAN 11-Aug-2021 1.2485 EUR = 1 GBP

Receive 1,839,976.88 5.326 565.0 Floating 24,773.51 19-Jan-2017 EURSTERLING TERM B LOAN LIBOR (3 months)


NBTY INC JP MORGAN 26-Apr-2023 1.285 EUR = 1 GBP

Receive 1,988,980.61 4.188 450.0 Floating 21,056.01 19-Jan-2017 EURSTERLING TERM B LOAN EURIBOR (3 months)


PAPA BIDCO LIMITED JP MORGAN 16-Dec-2021 1.35 EUR = 1 GBP



REGIT EINS GMBH (

TEAMVIEWER )

JP MORGAN 08-Jul-2021 0.749 EUR = 1 USD

Receive 1,498,000.00 6.926 725.0 Floating 26,227.70 19-Jan-2017 EURINITIAL LOAN (SECOND LIEN) LIBOR (3 months)


STRETFORD SEVENTY NINE JP MORGAN 15-Jul-2020 1 GBP = 0.79744817 EUR

Receive 2,507,999.99 3.288 360.0 Floating 20,844.82 19-Jan-2017 EURICELTD FLOAT EURIBOR (3 months)


TRINSEO MATERIALS OP SCA

(STYRON)

JP MORGAN 05-Nov-2021 0.889 EUR = 1 USD

Receive 924,089.02 2.176 250.0 Floating 5,083.90 19-Jan-2017 EURTERM LOAN B LIBOR (3 months)


351,531.65 Total Scheduled Amount Receivable By Next Payment Date(EUR):


Hedge Transactions as of 30-Nov-2016


Receive Current

Notional

Receive

Rate

Receive Fixed /

Floating

Receive

Index

Receive Amount

Scheduled on Next

Payment Date

Receive

DateLong Term

Rating

Short Term

Rating

FitchS&P FitchS&P

Counterparty Long Term Rating

Requirement

Short Term Rating

Requirement

S&P Fitch S&P Fitch

Pay Current

Notional

Pay Rate Pay Fixed /

Floating

Pay

Index

Payment

Date

Pay Amount

Scheduled on Next

Payment Date

Hedge Name

6.776 Floating LIBOR (3 months) 385,750.00A- A+ A-1 F1 6,680.24 JP MORGAN A- A- A-1 F-1

9.381 LIBOR (3 months) 500,000.00 Floating 11,987.11 ALISON BIDCO

SARL (ALSTOM)

4.526 Floating LIBOR (3 months) 2,780,000.00A- A+ A-1 F1 32,157.77 JP MORGAN A- A- A-1 F-1

6.152 LIBOR (3 months) 2,000,000.00 Floating 31,012.82 ARGON NPS

LIMITED


5.152 LIBOR (3 months) 938,452.46 Floating 12,186.62 BESTWAY UK

HOLDCO LIMITED


5.402 LIBOR (3 months) 2,759,150.00 Floating 37,568.59 CONCORDIA

HEALTHCARE

CORP


4.902 LIBOR (3 months) 1,748,284.75 Floating 21,601.33 CROWN

ACQUISITION

MIDCO 2 LIMITED


5.902 LIBOR (3 months) 2,500,000.00 Floating 37,190.68 CYAN BLUE

HOLDCO 3

LIMITED


5.402 LIBOR (3 months) 1,692,429.81 Floating 23,044.12 EDDIE STOBART


7.881 LIBOR (3 months) 2,000,000.00 Floating 40,099.78 EMERALD 3

LIMITED




Receive Current

Notional

Receive

Rate

Receive Fixed /

Floating

Receive

Index

Receive Amount

Scheduled on Next

Payment Date

Receive

DateLong Term

Rating

Short Term

Rating

FitchS&P FitchS&P


Requirement

Short Term Rating

Requirement

S&P Fitch S&P Fitch

Pay Current

Notional


Floating

Pay

Index

Payment

Date

Pay Amount

Scheduled on Next

Payment Date

Hedge Name


5.902 LIBOR (3 months) 900,000.00 Floating 13,388.65 FAT FACE

WORLD

BORROWINGS

LIMITED


5.402 LIBOR (3 months) 1,231,000.00 Floating 16,761.30 GALAXY BIDCO

LTD


5.652 LIBOR (3 months) 1,998,171.42 Floating 28,466.22 INDIGO BIDCO

LIMITED


7.152 LIBOR (3 months) 1,470,000.00 Floating 26,499.63 MEDIARENA

ACQUISITION BV

4.188 Floating EURIBOR (3 months) 1,988,980.61A- A+ A-1 F1 21,287.40 JP MORGAN A- A- A-1 F-1

5.652 LIBOR (3 months) 1,547,844.83 Floating 22,050.81 NBTY INC


6.402 LIBOR (3 months) 1,000,000.00 Floating 16,136.55 PAPA BIDCO

LIMITED


9.381 LIBOR (3 months) 2,000,000.00 Floating 47,948.46 REGIT EINS GMBH

( TEAMVIEWER )

3.288 Floating EURIBOR (3 months) 2,507,999.99A- A+ A-1 F1 21,073.89 JP MORGAN A- A- A-1 F-1

4.652 LIBOR (3 months) 2,000,000.00 Floating 23,451.18 STRETFORD

SEVENTY NINE

2.176 Floating LIBOR (3 months) 924,089.02A- A+ A-1 F1 5,139.77 JP MORGAN A- A- A-1 F-1

4.131 LIBOR (3 months) 1,039,474.10 Floating 10,974.31 TRINSEO

MATERIALS OP

SCA (STYRON)




Receive Current

Notional

Receive

Rate

Receive Fixed /

Floating

Receive

Index

Receive Amount

Scheduled on Next

Payment Date

Receive

DateLong Term

Rating

Short Term

Rating

FitchS&P FitchS&P


Requirement

Short Term Rating

Requirement

S&P Fitch S&P Fitch

Pay Current

Notional


Floating

Pay

Index

Payment

Date

Pay Amount

Scheduled on Next

Payment Date

Hedge Name

355,409.28 Total Scheduled Amount Receivable by Next Payment Date(EUR):


Defaulted Obligations as of 30-Nov-2016


Industry Class :

Issuer

Country

Tranche Margin

S&P Industry

Fitch Industry

Final

Maturity

Date

Base

Rate %

All In

Interest

Rate %

Market

Price

Fitch

Rating

S&P

Rating

Original

Currency

Current

Notional

Amount (EUR)

Default

Date

PIK

Rate %

Default

Recovery

Amount

(EUR)

FAMAR HOLDING S.A.R.L.

France

Healthcare

Drugs

EUR 80.000 6.0001-Sep-20FACILITY B HYPO 500.0 1.000 Shadow Shadow09-Aug-16 0.00 585,000.00 1,500,000.00

585,000.00


Loan Portfolio as of 30-Nov-2016


Industry Class : Final

Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

AI ALABAMA B.V. Industrial Equipment

Netherlands Industrial/Manufacturing

EUR 99.12506-Jul-22TERM FACILITY B Shadow Shadow 0.00 2,759,615.38 0.000 450.0 4.500 2,759,615.38 0.00

EUR 99.12506-Jul-22TERM FACILITY B Shadow Shadow 0.00 2,500,000.00 0.000 450.0 4.500 2,500,000.00 0.00

AI AVOCADO HOLDING B.V. Electronics/Electrical

Netherlands Computers and Electronics

EUR 98.50017-Mar-21FACILITY B1 Shadow B 0.00 3,000,000.00 0.000 425.0 4.250 3,000,000.00 0.00

EUR 98.50017-Sep-21FACILITY B2 Shadow B 0.00 2,285,714.29 0.000 450.0 4.500 2,285,714.29 0.00

AIRBUS DEFENSE

ELECTRONICS

Aerospace and Defense

Germany Aerospace & Defense

EUR 101.34401-May-23TERM LOAN B HYPO Shadow Shadow 0.00 1,295,454.55 0.000 500.0 5.000 1,295,454.55 0.00

ALISON BIDCO SARL

(ALSTOM)

Industrial Equipment

Germany Industrial/Manufacturing

USD 93.00029-Aug-222ND LIEN TERM LOAN Shadow Shadow 0.00 500,000.00 1.000 850.0 9.500 385,750.00Cov-Lite 0.00

ALLIANCE AUTOMOTIVE

FINANCE PLC

Automotive

France Automobiles

EUR 100.67501-Dec-21ALLGRP Shadow B+ 0.00 3,000,000.00 1.000 550.0 6.500 3,000,000.00 0.00

ALLNEX (LUXEMBOURG) &

CY S.C.A. (MONARCH)

Chemicals/Plastics

Belgium Chemicals

EUR 101.38813-Sep-23FACILITY B1 Shadow B+ 0.00 1,352,941.18 0.750 425.0 5.000 1,352,941.18 0.00

ALPHA BIDCO SAS Drugs

France Pharmaceuticals

EUR 101.14109-Dec-22FACILITY B Shadow Shadow 0.00 2,064,516.14 0.000 475.0 4.750 2,064,516.14 0.00

ALTICE FINANCING SA Telecommunications

Luxembourg Telecommunications

EUR 101.14324-Jul-23REFINANCING

FACILITY

Shadow Shadow 0.00 1,320,033.33 1.000 300.0 4.000 1,320,033.33Cov-Lite 0.00

ARAMARK CORP Food service

United States Food, Beverage, & Tobacco

EUR 100.22524-Feb-21IRISH TERM LOAN C Shadow Shadow 0.00 1,920,304.56 0.750 275.0 3.500 1,920,304.56Cov-Lite 0.00

Monthly Report Produced 16-Dec-2016

15 - 1Deutsche Bank - Trust & Agency Services




Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

ARGON NPS LIMITED Business equipment & services

United Kingdom Business Services

GBP 96.87519-Jan-22FACILITY B Shadow Shadow 0.00 2,000,000.00 1.000 575.0 6.750 2,780,000.00 0.00

ARUBA INVESTMENTS INC

(ANGUS CHEMICAL)

Chemicals/Plastics

United States Chemicals

EUR 99.75002-Feb-22EUR TLB 1 Shadow Shadow 0.00 900,000.00 1.000 325.0 4.250 900,000.00 0.00

EUR 99.75002-Feb-22EUR TLB 1 Shadow Shadow 0.00 1,634,583.33 1.000 325.0 4.250 1,634,583.33 0.00

ATRIUM INNOVATIONS INC Food Products

United States Consumer Products

EUR 98.75013-Feb-21INITIAL TRANCHE B2

TERM LOANS

Shadow Shadow 0.00 508,333.96 1.000 350.0 4.500 508,333.96 0.00

EUR 98.75013-Feb-21INITIAL TRANCHE B2

TERM LOANS

Shadow Shadow 0.00 2,555,469.39 1.000 350.0 4.500 2,555,469.39 0.00

AURIS LUXEMBOURG III SA Health Care

Luxembourg Healthcare

EUR 101.37517-Jan-22FACILITY B3 Shadow Shadow 0.00 2,037,995.72 1.000 325.0 4.250 2,037,995.72 0.00

EUR 101.37517-Jan-22INCREMENTAL

FACILITY B5

Shadow Shadow 0.00 752,931.04 1.000 325.0 4.250 752,931.04 0.00

AUTODIS SA Automobiles

France Automobiles

EUR 101.36001-May-22AUTODI CORP Shadow Shadow 0.00 357,000.00 0.000 0.0 4.375 357,000.00 0.00

EUR 101.48101-May-22AUTODIS FLOAT

CORP

Shadow Shadow 0.00 3,000,000.00 0.000 437.5 4.375 3,000,000.00 0.00

AVAST SOFTWARE B.V. Electronics/Electrical

United States Computers and Electronics

EUR 101.40930-Sep-22INITIAL EUR TERM

LOAN Hypo

Shadow Shadow 0.00 777,777.78 1.000 375.0 4.750 777,777.78 0.00

AXIOS BIDCO LIMITED Business equipment & services


EUR 96.75030-Nov-22TERM EUR Shadow Shadow 0.00 2,000,000.00 0.000 475.0 4.750 2,000,000.00 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

BARING PRIVATE EQUITY

ASIA VI HOLDING (1) LTD

Business equipment & services

Hong Kong Business Services

EUR 101.18826-Oct-22INITIAL EURO TERM

LOAN 1ST LIEN

Shadow Shadow 0.00 357,519.69 1.000 300.0 4.000 357,519.69 0.00

EUR 100.62526-Oct-23INITIAL EURO TERM

LOAN 2ND LIEN

Shadow Shadow 0.00 77,926.27 1.000 800.0 9.000 77,926.27 0.00

BESTWAY UK HOLDCO

LIMITED

Retailers (other than food/drug)

United Kingdom Retail (General)

GBP 100.00006-Oct-21FACILITY B Shadow B 0.00 931,837.41 0.261 450.0 4.761 1,171,319.62 0.00

BOPARAN FINANCE PLC Food Products

United Kingdom Food, Beverage, & Tobacco

EUR 95.52315-Jul-21BOPRLN 4 Shadow Shadow 0.00 875,000.00 0.000 0.0 4.375 875,000.00 0.00

EUR 95.52315-Jul-21BOPRLN 4 Shadow Shadow 0.00 500,000.00 0.000 0.0 4.375 500,000.00 0.00

BSN MEDICAL LUX Health Care

Germany Healthcare

EUR 100.27528-Aug-19FACILITY C Shadow Shadow 0.00 1,851,607.52 1.000 300.0 4.000 1,851,607.52 0.00

EUR 100.27528-Aug-19FACILITY C Shadow Shadow 0.00 2,000,000.00 1.000 300.0 4.000 2,000,000.00 0.00

CEP Financial intermediaries

France Banking & Finance

EUR 100.59430-Sep-20FACILITY B4 Shadow Shadow 0.00 1,117,514.26-0.374 500.0 4.626 1,117,514.26 0.00

CEVA SANTE ANIMALE Farming/Agriculture

France Farming & Agriculture Services

EUR 101.22930-Jun-21FINANCIERE CHOPIN Shadow Shadow 0.00 2,062,500.00 1.000 325.0 4.250 2,062,500.00 0.00

EUR 101.22930-Jun-21FINANCIERE CHOPIN Shadow Shadow 0.00 2,585,820.90 1.000 325.0 4.250 2,585,820.90 0.00

COLOUROZ MIDCO Chemicals/Plastics

Germany Chemicals

EUR 100.87507-Sep-21FLINT GROUP SWEDE

HOLDING AB

Shadow B+ 0.00 2,100,000.01 1.000 325.0 4.250 2,100,000.01 0.02

EUR 97.62506-Sep-22INITIAL EURO TERM

LOAN SECOND LIEN

Shadow B+ 0.00 1,999,999.99 1.000 725.0 8.250 1,999,999.99Cov-Lite 0.01






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

COMETE HOLDING Radio and Television

France Business Services

EUR 100.50029-Jul-22TERM LOAN B

FACILITY

Shadow Shadow 0.00 1,376,811.59 1.000 475.0 5.750 1,376,811.59 0.00

CONCORDIA HEALTHCARE

CORP

Drugs

United States Healthcare

GBP 83.50021-Oct-21TERM LOAN B Shadow Shadow 0.00 2,759,150.00 1.000 500.0 6.000 3,757,962.30 0.00

CONSTANTIA FLEXIBLES

HOLDING GMBH

(CONSTANTINOPLE ACQ

GMBH)

Containers and Glass Products

Austria Packaging & Containers

EUR 101.29229-Apr-22FACILITY B1 EUR Shadow Shadow 0.00 2,054,425.32 1.000 300.0 4.000 2,054,425.32 0.00

EUR 101.29229-Apr-22FACILITY B2 EUR Shadow Shadow 0.00 306,685.79 1.000 300.0 4.000 306,685.79 0.00

COTY INC Cosmetics/toiletries


EUR 100.45327-Oct-22EUR TERM LOAN B2 Shadow Shadow 0.00 1,360,227.27 0.000 275.0 2.750 1,360,227.27 0.00

CROWN ACQUISITION

MIDCO 2 LIMITED



GBP 99.08312-Feb-21FACILITY B Shadow Shadow 0.00 1,748,284.75 0.520 450.0 5.020 2,110,179.69 0.00

CYAN BLUE HOLDCO 3

LIMITED

Leisure goods/activities/movies

United Kingdom Gaming, Leisure & Entertainment

GBP 100.53119-Mar-22INITIAL TERM LOAN Shadow Shadow 0.00 2,500,000.00 1.000 525.0 6.250 3,457,500.00 0.00

DELACHAUX (SODELHO S.A.) Rail industries

France Industrial/Manufacturing

EUR 99.32128-Oct-21RAILTECH INTL SA Shadow Shadow 0.00 1,945,483.16 0.000 400.0 4.000 1,945,483.16 0.00

EUR 99.32128-Oct-21RAILTECH INTL SA Shadow Shadow 0.00 2,732,765.31 0.000 400.0 4.000 2,732,765.31 0.00

DEOLEO S.A. Food Products

Spain Food, Beverage, & Tobacco

EUR 61.00013-Jun-222ND LIEN Shadow Shadow 0.00 375,000.00 1.000 675.0 7.750 375,000.00Cov-Lite 0.00

EUR 85.45511-Jun-21FIRST LIEN Shadow Shadow 0.00 3,625,000.00 1.000 350.0 4.500 3,625,000.00 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

DESARROLLOS

EMPRESARIALES PIERA SL

Health Care

Spain Healthcare

EUR 100.04728-Nov-21INCREMENTAL

FACILITY II SFA

Shadow Shadow 0.00 3,000,000.00 0.000 450.0 4.500 3,000,000.00 0.00

EUR 100.10028-Nov-22SECOND LIEN

FACILITY

Shadow Shadow 0.00 1,000,000.00 1.000 725.0 8.250 1,000,000.00 0.00

DIAVERUM HOLDING S.A.R.L. Health Care

Sweden Healthcare

EUR 100.45801-Apr-22FACILITY C1B FRANCE Shadow Shadow 0.00 106,642.56 0.000 400.0 4.000 106,642.56 0.00

EUR 100.45801-Apr-22FACILITY C1B LUX Shadow Shadow 0.00 746,298.62 0.000 400.0 4.000 746,298.62 0.00

DIEBOLD, INC. Electronics/Electrical


EUR 101.43806-Nov-23EURO TERM B LOAN Shadow Shadow 0.00 1,076,923.07 0.750 425.0 5.000 1,076,923.07 0.00

DORNA SPORTS S.L. Leisure goods/activities/movies

Spain Gaming, Leisure & Entertainment

EUR 100.22230-Apr-21B TERM LOAN

FACILITY

Shadow Shadow 0.00 1,000,000.00 0.000 350.0 3.500 1,000,000.00 0.00

EUR 100.22230-Apr-21B TERM LOAN

FACILITY

Shadow Shadow 0.00 2,051,843.57 0.000 350.0 3.500 2,051,843.57 0.00

DOUGLAS GMBH Retailers (other than food/drug)

Germany Retail (General)

EUR 101.21613-Aug-22Douglas Finance B.V. Shadow Shadow 0.00 94,456.27 1.000 375.0 4.750 94,456.27 0.00

EUR 101.21613-Aug-22Douglas GmbH Shadow Shadow 0.00 214,453.01 1.000 375.0 4.750 214,453.01 0.00

EUR 101.21613-Aug-22Groupe Nocibe France

S.A.S.

Shadow Shadow 0.00 4,713,863.31 1.000 375.0 4.750 4,713,863.31 0.00

EUR 101.21613-Aug-22Kirk Beauty

Netherlands B.V.

Shadow Shadow 0.00 130,675.74 1.000 375.0 4.750 130,675.74 0.00

EUR 101.21613-Aug-22Nocibe France S.A.S. Shadow Shadow 0.00 1,047,525.17 1.000 375.0 4.750 1,047,525.17 0.00

EUR 101.21613-Aug-22Parfuemerie Douglas

GmbH

Shadow Shadow 0.00 170,629.92 1.000 375.0 4.750 170,629.92 0.00

EUR 101.21613-Aug-22Parfuemerie Douglas

International GmbH

Shadow Shadow 0.00 224,042.53 1.000 375.0 4.750 224,042.53 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

DPX HOLDINGS B.V.

(PATHEON/JLL/DELTA

DUTCH)

Drugs

Netherlands Healthcare

EUR 100.50011-Mar-21INITIAL EURO TERM

LOANS

Shadow B 0.00 1,625,448.05 1.000 350.0 4.500 1,625,448.05 0.00


LOANS

Shadow B 0.00 1,368,723.74 1.000 350.0 4.500 1,368,723.74 0.00


LOANS

Shadow B 0.00 1,365,058.07 1.000 350.0 4.500 1,365,058.07 0.00

DRY MIX SOLUTIONS

INVESTISSEMENTS SAS

Building & Development

France Building & Materials

EUR 101.64215-Jun-21DRYMIX FLOAT 21 Shadow Shadow 0.00 1,000,000.00-0.302 425.0 3.948 1,000,000.00 0.00



EUR 100.18215-Mar-23DRYMX FLOAT

03/15/23 CORP

Shadow Shadow 0.00 2,000,000.00 0.000 550.0 5.500 2,000,000.00 0.00

DUPONT U.S. COATINGS

ACQ INC (AXALTA COATING)

Chemicals/Plastics


EUR 100.43801-Feb-202014 REFINANCING

EURO TERM LOAN

Shadow BB 0.00 1,413,098.23 1.000 300.0 4.000 1,413,098.23 0.00

EDDIE STOBART Surface transport

United Kingdom Transportation

GBP 98.87509-Apr-21FACILITY B Shadow Shadow 0.00 1,692,429.81 0.401 475.0 5.151 2,060,533.29 0.00

EIRCOM FINCO S.A.R.L. Telecommunications

Ireland Telecommunications

EUR 100.70031-May-22FACILITY B5 Shadow B 0.00 3,469,747.66 0.000 400.0 4.000 3,469,747.66 0.00

ELEMENT MATERIALS

TECHNOLOGY


United Kingdom Aerospace & Defense

EUR 98.33322-Mar-23EMT 2 HOLDING LTD Shadow Shadow 0.00 4,000,000.00 1.000 475.0 5.750 4,000,000.00 0.00

EMERALD 2 LIMITED Business equipment & services


EUR 89.66716-May-21FACILITY B2 Shadow Shadow 0.00 800,000.00 1.000 400.0 5.000 800,000.00 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

EMERALD 3 LIMITED Business equipment & services


USD 88.25031-May-22SECOND LIEN

FACILITY

Shadow Shadow 0.00 2,000,000.00 1.000 700.0 8.000 1,454,000.00 0.00

EMIL HOLDING III S.P.A. Telecommunications

Italy Telecommunications

EUR 98.50001-Mar-23FACILITY B1 Shadow Shadow 0.00 704,022.99 0.000 500.0 5.000 704,022.99 0.00

EUR 98.50001-Mar-23FACILITY B2 Shadow Shadow 0.00 545,977.01 0.000 500.0 5.000 545,977.01 0.00

EUROPEAN CINEMA

HOLDINGS III AB


Sweden Gaming, Leisure & Entertainment

EUR 100.33311-Jul-22FACILITY B Shadow Shadow 0.00 1,463,414.63 0.000 350.0 3.500 1,463,414.63 0.00

FAT FACE WORLD

BORROWINGS LIMITED



GBP 79.37525-Sep-20TERM B FACILITY CCC+ CCC+ 0.00 900,000.00 0.385 550.0 5.885 1,134,180.00 0.00

FIGARO HOLDCO LIMITED Health Care

United Kingdom Healthcare

EUR 101.28608-Mar-23FACILITY B2 Shadow Shadow 0.00 1,195,810.49 0.000 475.0 4.750 1,195,810.49 0.00

FINANCIERE TRUCK

(INVESTISSEMENT) SA

Equipment leasing

France Transportation

EUR 93.00015-Mar-17TERM LOAN (EUR) Shadow Shadow 0.00 1,035,361.84 0.000 400.0 4.000 1,035,361.84 289,858.02

EUR 93.00015-Mar-17TERM LOAN (EUR) Shadow Shadow 0.00 1,000,000.00 0.000 400.0 4.000 1,000,000.00 289,858.02

FIRST DATA CORPORATION Financial intermediaries

United States Banking & Finance

EUR 100.35724-Mar-212021 NEW EURO TERM

LOAN

Shadow Shadow 0.00 2,000,000.00-0.381 300.0 2.619 2,000,000.00 0.00

EUR 100.21910-Jul-22NEW 2022 EURO TERM

LOANS

Shadow Shadow 0.00 2,000,000.00-0.381 375.0 3.369 2,000,000.00 0.00

GALAPAGOS HOLDINGS S.A. Industrial Equipment


EUR 74.69115-Jun-22GALAPG 7 Shadow B- 0.00 500,000.00 0.000 0.0 7.000 500,000.00High-Yield 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

GALAPAGOS SA Industrial Equipment


EUR 92.73315-Jun-21GALAPG FLOAT Shadow B- 0.00 860,000.00-0.302 475.0 4.448 860,000.00 0.00

GALAXY BIDCO LTD Financial intermediaries

United Kingdom Banking & Finance

GBP 99.93715-Nov-19DGGLN FLOAT Shadow Shadow 0.00 1,231,000.00 0.398 500.0 5.398 1,485,817.00 0.00

GALILEO GLOBAL

EDUCATION FINANCE

S.A.R.L.


France Consumer Products

EUR 99.29221-Oct-22FACILITY B1 Shadow Shadow 0.00 737,547.61 0.000 425.0 4.250 737,547.61 0.00


GARDNER DENVER INC Industrial Equipment

United States Industrial/Manufacturing

EUR 98.16730-Jul-20INITIAL EURO TERM

LOAN

Shadow B 0.00 1,979,899.48 1.000 375.0 4.750 1,979,899.48 0.00


LOAN

Shadow B 0.00 892,308.84 1.000 375.0 4.750 892,308.84 0.00


LOAN

Shadow B 0.00 1,974,937.35 1.000 375.0 4.750 1,974,937.35 0.00

GATES GLOBAL INC Automotive

United States Automobiles


LOANS

Shadow Shadow 0.00 2,826,780.98 1.000 325.0 4.250 2,826,780.98 0.00

GATES GLOBAL LLC Automotive


EUR 92.89415-Jul-22GATGLO 5 Shadow Shadow 0.00 950,000.00 0.000 0.0 5.750 950,000.00 0.00

EUR 92.89415-Jul-22GATGLO 5 Shadow Shadow 0.00 200,000.00 0.000 0.0 5.750 200,000.00 0.00

EUR 92.89415-Jul-22GATGLO 5 Shadow Shadow 0.00 1,000,000.00 0.000 0.0 5.750 1,000,000.00 0.00

EUR 92.89415-Jul-22GATGLO 5 Shadow Shadow 0.00 1,200,000.00 0.000 0.0 5.750 1,200,000.00 0.00

GENERALE DE SANTE Health Care

France Healthcare

EUR 100.62501-Oct-20FACILITY B1A Shadow Shadow 0.00 1,288,423.01-0.313 350.0 3.187 1,288,423.01 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

GUALA CLOSURES SPA Containers and Glass Products

Italy Packaging & Containers

EUR 101.87815-Nov-21GCLIM FLOAT CORP Shadow Shadow 0.00 1,750,000.00 0.000 475.0 4.750 1,750,000.00 0.00

HNVR HOLDCO LIMITED Leisure goods/activities/movies

Spain Gaming, Leisure & Entertainment

EUR 100.50012-Sep-23FACILITY B Shadow Shadow 0.00 2,256,410.26 0.000 625.0 6.250 2,256,410.26 0.00

HOMAIR VACANCES Leisure goods/activities/movies

France Lodging & Restaurants

EUR 99.00010-Sep-22FACILITY C B B+ 0.00 1,340,693.30 0.000 500.0 5.000 1,340,693.30 0.00

HORIZON BIDCO LIMITED Retailers (other than food/drug)

United Kingdom Consumer Products

EUR 97.00026-Jan-23TERM LOAN B2 Shadow Shadow 0.00 1,000,000.00 0.000 500.0 5.000 1,000,000.00 0.00

HSE24 FINANCE & SERVICE

GMBH


Germany Retail (General)

EUR 100.25031-Mar-22FACILITY C Shadow Shadow 0.00 1,650,000.00 0.000 450.0 4.500 1,650,000.00 0.00

IGLO FOODS MIDCO LIMITED Food Products


EUR 99.87530-Jun-20FACILITY C1 Shadow Shadow 0.00 2,968,527.68 0.000 350.0 3.500 2,968,527.68 0.00

INDIGO BIDCO LIMITED Business equipment & services


GBP 96.75008-Jul-21FACILITY B Shadow Shadow 0.00 1,998,171.42 0.261 475.0 5.011 2,517,695.99 0.00

INEOS FINANCE PLC Chemicals/Plastics

United Kingdom Chemicals

EUR 100.76615-Dec-202020 EURO TERM

LOAN

Shadow B+ 0.00 3,000,000.00 1.000 300.0 4.000 3,000,000.00Cov-Lite 0.00

EUR 100.94431-Mar-222022 EURO TERM

LOANS

Shadow B+ 0.00 1,840,480.58 1.000 325.0 4.250 1,840,480.58Cov-Lite 0.00

INEOS STYROLUTION

GROUP GMBH

Chemicals/Plastics

Germany Chemicals

EUR 101.60730-Sep-212021 EURO TERM

LOAN

Shadow Shadow 0.00 2,071,364.06 1.000 375.0 4.750 2,071,364.06Cov-Lite 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

INO DEBTCO SARL Drugs

Germany Pharmaceuticals

EUR 99.75030-Aug-23FACILITY B Shadow Shadow 0.00 2,149,253.73 0.000 525.0 5.250 2,149,253.73 0.00

INOVYN FINANCE PLC Chemicals/Plastics

United Kingdom Chemicals

EUR 101.14615-May-212021 TRANCHE B

EURO TERM LOAN

Shadow Shadow 0.00 1,366,438.35 1.000 350.0 4.500 1,366,438.35 0.00


EURO TERM LOAN

Shadow Shadow 0.00 1,995,000.00 1.000 350.0 4.500 1,995,000.00 0.00


EURO TERM LOAN

Shadow Shadow 0.00 555,555.56 1.000 350.0 4.500 555,555.56 0.00

EUR 104.79415-May-21KERLIN 6 05/15/21

CORP

Shadow Shadow 0.00 643,000.00 0.000 0.0 6.250 643,000.00 0.00

INTEROUTE

COMMUNICATIONS

HOLDINGS LTD.

Electronics/Electrical


EUR 106.97815-Oct-20INTERO 7 Shadow Shadow 0.00 333,000.00 0.000 0.0 7.375 333,000.00 0.00

EUR 106.97815-Oct-20INTERO 7 Shadow Shadow 0.00 1,000,000.00 0.000 0.0 7.375 1,000,000.00 0.00

ION TRADING

TECHNOLOGIES LTD


Ireland Computers and Electronics

EUR 100.62511-Aug-23TRANCHE B-1 EURO

TERM LOANS

Shadow B+ 0.00 3,123,809.52 1.000 325.0 4.250 3,123,809.52 0.00

JACOBS DOUWE EGBERTS

INTERNATIONAL B.V

Beverage and Tobacco

Netherlands Food, Beverage, & Tobacco

EUR 100.95801-Jul-22TERM LOAN B3 Shadow B+ 0.00 530,278.72 0.750 225.0 3.000 530,278.72 0.00

KERNEOS CORPORATE SAS Building & Development

France Building & Materials

EUR 99.92901-Mar-21KERNEOS FLOAT 21 Shadow Shadow 0.00 375,000.00-0.299 475.0 4.451 375,000.00 0.00

EUR 99.92901-Mar-21KERNEOS FLOAT 21 Shadow Shadow 0.00 1,250,000.00-0.299 475.0 4.451 1,250,000.00 0.00

KEURIG GREEN MOUNTAIN,

INC

Food Products

United States Food, Beverage, & Tobacco

EUR 101.43103-Mar-23TERM B EUR LOANS Shadow Shadow 0.00 1,264,658.55 0.750 425.0 5.000 1,264,658.55 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

KIWI HOLDING IV S.A.R.L Leisure goods/activities/movies

Switzerland Gaming, Leisure & Entertainment

EUR 97.66719-May-23FACILITY B Shadow Shadow 0.00 2,133,333.33 1.000 550.0 6.500 2,133,333.33 0.00

KLOCKNER PENTAPLAST OF

AMERICA, INC (KLEOPATRA

ACQ)


Germany Packaging & Containers

EUR 101.12528-Apr-20EUR GMBH TERM

LOAN

Shadow Shadow 0.00 545,429.46 1.000 300.0 4.000 545,429.46 0.00

EUR 101.12528-Apr-20EUR GMBH TERM

LOAN

Shadow Shadow 0.00 594,594.59 1.000 300.0 4.000 594,594.59 0.00

EUR 101.12528-Apr-20INITIAL ERSTE EURO

TERM LOANS

Shadow Shadow 0.00 616,335.28 1.000 400.0 5.000 616,335.28 0.00

LARY 4 AB Health Care

Sweden Healthcare

EUR 100.62501-Jun-23FACILITY B Shadow Shadow 0.00 2,133,333.33 0.000 500.0 5.000 2,133,333.33 0.00

LAWSON SOFTWARE (GGC)

(INFOR US)



EUR 100.39603-Jun-20EURO TRANCHE B

TERM LOAN

Shadow Shadow 0.00 4,644,679.15 1.000 300.0 4.000 4,644,679.15 0.00

LION SENECA FRANCE 2 SAS Retailers (other than food/drug)

France Retail (General)

EUR 98.50615-Apr-19AAFFP 7 Shadow B+ 0.00 1,000,000.00 0.000 0.0 7.875 1,000,000.00High-Yield 0.00

LULLY FINANCE S.A.R.L. Electronics/Electrical

France Computers and Electronics

EUR 100.68016-Oct-23INITIAL TERM B-2

LOAN

B B 0.00 666,666.66 1.000 825.0 9.250 666,666.66 0.00


LOAN FIRST LIEN

B B 0.00 1,168,831.17 0.000 425.0 4.250 1,168,831.17 0.00


LOAN FIRST LIEN

B B 0.00 814,814.81 0.000 425.0 4.250 814,814.81 0.00

LYNGEN BIDCO AS Business equipment & services

Norway Business Services

EUR 100.82513-Mar-22FACILITY B4 Shadow Shadow 0.00 3,000,000.00 0.000 400.0 4.000 3,000,000.00 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

MATERIS CHRYSO Chemicals/Plastics

France Chemicals

EUR 99.87513-Aug-21TERM LOAN Shadow Shadow 0.00 3,000,000.00 0.000 425.0 4.250 3,000,000.00 0.00

MATTERHORN TELECOM

HOLDING SA

Telecommunications

Switzerland Telecommunications

EUR 98.66101-May-23MATTER 4 Shadow Shadow 0.00 1,500,000.00 0.000 0.0 4.875 1,500,000.00 0.00

MAUSER HOLDING S.A .R.L Containers and Glass Products

Germany Packaging & Containers

EUR 101.32131-Jul-21TRANCHE D TERM

LOAN

B- B 0.00 494,788.90 1.000 325.0 4.250 494,788.90 0.00

MEDIARENA ACQUISITION

BV

Radio and Television

Netherlands Broadcasting & Media

EUR 93.33913-Aug-21EURO TERM B LOAN Shadow B- 0.00 3,920,000.00 1.000 600.0 7.000 3,920,000.00 0.00

GBP 88.62513-Aug-21STERLING TERM B

LOAN

Shadow B- 0.00 1,470,000.00 1.000 675.0 7.750 1,835,295.00 0.00

MEDIQ BV Health Care

Netherlands Healthcare

EUR 100.87513-Feb-202014 FACILITY B1 Shadow Shadow 0.00 5,294,000.00 0.000 450.0 4.500 5,294,000.00 0.00

MEGACO S.R.L. Industrial Equipment

Italy Industrial/Manufacturing

EUR 100.75030-Jun-21FACILITY B1 Shadow Shadow 0.00 1,686,685.17 0.000 425.0 4.250 1,686,685.17 0.00

EUR 100.75030-Jun-21FACILITY B2 Shadow Shadow 0.00 313,314.83 0.000 425.0 4.250 313,314.83 0.00

MERCURY BONDCO PLC Financial intermediaries

Italy Banking & Finance

EUR 103.04830-May-21ICBPI 8 1/4 Shadow Shadow 0.00 166,000.00 0.000 0.0 8.250 166,000.00PIK 0.00

EUR 103.04830-May-21ICBPI 8 1/4 Shadow Shadow 0.00 1,425,000.00 0.000 0.0 8.250 1,425,000.00PIK 0.00

EUR 101.15530-May-21ICBPI FLOAT Shadow Shadow 0.00 1,666,000.00 0.000 800.0 8.000 1,666,000.00PIK 0.00

EUR 101.15530-May-21ICBPI FLOAT Shadow Shadow 0.00 334,000.00 0.000 800.0 8.000 334,000.00PIK 0.00

EUR 101.15530-May-21ICBPI FLOAT Shadow Shadow 0.00 1,000,000.00 0.000 800.0 8.000 1,000,000.00PIK 0.00

MONITCHEM HOLDCO 3 S.A. Chemicals/Plastics

Germany Chemicals

EUR 99.61015-Jun-21CABBCO FLOAT Shadow Shadow 0.00 1,090,000.00-0.302 475.0 4.448 1,090,000.00 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

MPG HOLDCO I INC

(METALDYNE)

Automotive


EUR 100.57520-Oct-21TRANCHE B-2 TERM

LOANS

Shadow Shadow 0.00 1,536,111.11 1.000 275.0 3.750 1,536,111.11 0.00

MULTI PACKAGING

SOLUTIONS LIMITED


United Kingdom Packaging & Containers

EUR 101.06330-Sep-20EURO TERM C Shadow Shadow 0.00 764,462.58 1.000 325.0 4.250 764,462.58 0.00

EUR 101.06330-Sep-20EURO TERM C Shadow Shadow 0.00 1,146,693.88 1.000 325.0 4.250 1,146,693.88 0.00

MUSTANG INTERMEDIATECO

LIMITED

Surface transport

United Kingdom Transportation

EUR 99.00029-Apr-21TERM LOAN B Shadow Shadow 0.00 2,751,151.90 0.000 425.0 4.250 2,751,151.90 0.00

NBTY INC Food Products

United States Retail (General)

GBP 100.56305-May-23STERLING TERM B

LOAN

Shadow Shadow 0.00 1,547,844.83 1.000 525.0 6.250 1,988,980.61 0.00

NETINVEST LIMITED Financial intermediaries



NOVACAP GROUP BIDCO Chemicals/Plastics

France Chemicals

EUR 100.79722-Jun-23TRANCHE B Shadow B 0.00 1,500,000.00 0.000 500.0 5.000 1,500,000.00 0.00

OBERTHUR TECHNOLOGIES

HOLDING SAS


France Computers and Electronics


LOAN

Shadow Shadow 0.00 1,975,000.00 1.000 375.0 4.750 1,975,000.00 0.00


LOAN

Shadow Shadow 0.00 898,726.36 1.000 375.0 4.750 898,726.36 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

ONEX EAGLE ACQUISITION

COMPANY LIMITED


United Kingdom Aerospace & Defense

EUR 98.12512-Mar-22TERM LOAN B

TRANCHE 2 EUR

Shadow Shadow 0.00 1,000,000.00 0.000 425.0 4.250 1,000,000.00 0.00

EUR 98.12512-Mar-22TERM LOAN B

TRANCHE 2 EUR

Shadow Shadow 0.00 1,837,837.84 0.000 425.0 4.250 1,837,837.84 0.00

ONEX WIZARD ACQUISITION

COMPANY I SARL


Switzerland Packaging & Containers


LOAN

Shadow B+ 0.00 4,448,975.68 0.000 375.0 3.750 4,448,975.68 0.00

OPTIMA SUB FINCO LIMITED Retailers (other than food/drug)


EUR 99.39327-Jan-23TERM FACILITY B2 Shadow Shadow 0.00 1,032,258.06 0.000 500.0 5.000 1,032,258.06 0.00

ORION ENGINEERED

CARBONS

Chemicals/Plastics

Germany Chemicals

EUR 101.21425-Jul-21EURO TERM LOAN Shadow BB- 0.00 1,989,974.94 0.750 300.0 3.750 1,989,974.94 0.00

EUR 101.21425-Jul-21EURO TERM LOAN Shadow BB- 0.00 2,523,905.85 0.750 300.0 3.750 2,523,905.85 0.00

OXEA SARL Chemicals/Plastics

Germany Chemicals

EUR 96.70315-Jan-20TRANCHE B-1 TERM

LOAN

Shadow Shadow 0.00 1,849,331.35 1.000 350.0 4.500 1,849,331.35 0.00

EUR 96.70315-Jan-20TRANCHE B-1 TERM

LOAN

Shadow Shadow 0.00 1,862,094.00 1.000 350.0 4.500 1,862,094.00 0.00

PAPA BIDCO LIMITED Beverage and Tobacco


GBP 98.25024-Dec-21FACILITY B Shadow Shadow 0.00 1,000,000.00 0.402 575.0 6.152 1,350,000.00 0.00

PAROC GROUP OY AB Building & Development

Finland Building & Materials

EUR 98.95015-May-20PAROCG FLOAT Shadow Shadow 0.00 1,280,000.00-0.312 525.0 4.938 1,280,000.00 0.00

EUR 98.95015-May-20PAROCG FLOAT Shadow Shadow 0.00 500,000.00-0.312 525.0 4.938 500,000.00 0.00

EUR 98.95015-May-20PAROCG FLOAT Shadow Shadow 0.00 500,000.00-0.312 525.0 4.938 500,000.00 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

PATERNOSTER HOLDING IV

GMBH



EUR 99.14301-Apr-23FACILITY B Shadow Shadow 0.00 1,764,705.88 1.000 612.5 7.125 1,764,705.88 0.00

PENN ENGINEERING &

MANUFACTURING CORP.



EUR 100.65029-Aug-21INCREMENTAL

TRANCHE C TERM

LOAN

Shadow Shadow 0.00 1,643,462.79 1.000 300.0 4.000 1,643,462.79 0.00

PERTENTO S.A.R.L. Telecommunications

Spain Telecommunications



PHM FRANCE HOLDCO 19

SAS

Ecological services and equipment

France Environmental Services


PICARD GROUPE S.A.S. Food/drug retailers


EUR 100.73901-Aug-19PICSUR FLOAT-15 Shadow Shadow 0.00 1,690,510.95 0.000 425.0 4.250 1,690,510.95 0.00

EUR 100.73901-Aug-19PICSUR FLOAT-15 Shadow Shadow 0.00 422,627.74 0.000 425.0 4.250 422,627.74 0.00

PIGMENTS I B.V. Building & Development

Spain Chemicals

EUR 99.10004-Feb-22TERM LOAN B Shadow Shadow 0.00 2,296,747.97 0.000 525.0 5.250 2,296,747.97 0.00

PQ CORPORATION Chemicals/Plastics


EUR 100.81304-Nov-22TERM B-2 TERM LOAN Shadow Shadow 0.00 1,084,239.13 1.000 475.0 5.750 1,084,239.13Cov-Lite 0.00

PROJECT BREEZE Electronics/Electrical

Austria Industrial/Manufacturing

EUR 99.08319-Nov-20COOL INTERNATIONAL

HOLDING GMBH

Shadow Shadow 0.00 2,926,526.63 0.000 425.0 4.250 2,926,526.63 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

PROJECT GEYSER II Industrial Equipment

France Industrial/Manufacturing

EUR 99.25005-Jun-21SERMETA Shadow Shadow 0.00 4,614,933.71-0.299 400.0 3.701 4,614,933.71 0.00

QUINTILES IMS

INCORPORATED

Health Care

United States Healthcare

EUR 100.54717-Mar-21TERM B EURO LOAN Shadow BBB- 0.00 1,944,169.49 1.000 275.0 3.750 1,944,169.49 0.00

EUR 100.54717-Mar-21TERM B EURO LOAN Shadow BBB- 0.00 2,669,760.60 1.000 275.0 3.750 2,669,760.60 0.00

REDTOP ACQUISITIONS

LIMITED (CPA GLOBAL)



EUR 101.35403-Dec-20INITIAL EURO TERM

LOAN

Shadow Shadow 0.00 570,000.00 1.000 375.0 4.750 570,000.00 0.00

EUR 101.35403-Dec-20INITIAL EURO TERM

LOAN

Shadow Shadow 0.00 5,000,000.00 1.000 375.0 4.750 5,000,000.00 0.00

REGIT EINS GMBH (

TEAMVIEWER )


Germany Telecommunications

EUR 100.50008-Jan-21EURO TERM LOAN

(FIRST LIEN)

B- B 0.00 3,920,000.00 1.000 525.0 6.250 3,920,000.00 0.00

USD 97.00008-Jan-21INITIAL LOAN

(SECOND LIEN)

B- B 0.00 2,000,000.00 1.000 850.0 9.500 1,498,000.00 0.00

REMEDCO HOLDING B.V. Health Care

Germany Healthcare

EUR 100.83327-Oct-22TERM B1 Shadow Shadow 0.00 1,760,108.85 0.000 550.0 5.500 1,760,108.85 0.00

RODENSTOCK GMBH (BLITZ) Health Care

Germany Healthcare

EUR 95.25030-May-19FACILITY B Shadow Shadow 0.00 1,000,000.00-0.374 450.0 4.126 1,000,000.00 0.00

SAM BIDCO Health Care

France Healthcare

EUR 100.77117-Dec-21FACILITY B1A Shadow Shadow 0.00 3,353,879.57 1.000 325.0 4.250 3,353,879.57 0.00

EUR 100.77117-Dec-21FACILITY B1B Shadow Shadow 0.00 899,335.69 1.000 325.0 4.250 899,335.69 0.00

SAM FINANCE LUX S.A.R.L. Financial intermediaries


EUR 100.68817-Dec-20EURO TERM LOAN Shadow BB 0.00 6,696,062.50 1.000 350.0 4.500 6,696,062.50 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

SAVERGLASS Containers and Glass Products

France Packaging & Containers

EUR 99.84401-Feb-23TERM LOAN B Hypo Shadow Shadow 0.00 1,559,322.03 0.000 475.0 4.750 1,559,322.03 0.00

SCHENCK PROCESS

FINANCE GMBH



EUR 99.75013-May-22FACILITY B EUR Shadow Shadow 0.00 2,000,000.00 0.750 550.0 6.250 2,000,000.00 0.00

SCHUMANN SPA Leisure goods/activities/movies

Italy Gaming, Leisure & Entertainment

EUR 100.94231-Jul-22SCHMAN FLOAT CORP

FACILITY

Shadow B+ 0.00 800,000.00 0.000 662.5 6.625 800,000.00Cov-Lite 0.00

EUR 100.94231-Jul-22SCHMAN FLOAT CORP

FACILITY

Shadow B+ 0.00 1,000,000.00 0.000 662.5 6.625 1,000,000.00Cov-Lite 0.00

SIGNODE IND GR LUX S.A. Industrial Equipment

Luxembourg Industrial/Manufacturing

EUR 100.45801-May-21TERM LOAN B-EUR Shadow Shadow 0.00 4,783,863.07 1.000 300.0 4.000 4,783,863.07 0.00

SK SPICE (ARCHROMA) Chemicals/Plastics

Switzerland Chemicals

EUR 99.92501-Jul-21TERM LOAN B Shadow Shadow 0.00 3,478,260.87 1.000 500.0 6.000 3,478,260.87 0.00

EUR 99.92501-Jul-21TERM LOAN B Shadow Shadow 0.00 1,096,491.23 1.000 500.0 6.000 1,096,491.23 0.00

SOLENIS INTERNATIONAL,

L.P .

Chemicals/Plastics



LOAN

Shadow Shadow 0.00 3,307,500.00 1.000 350.0 4.500 3,307,500.00 0.00

EUR 100.62531-Jul-21TRANCHE C TERM

LOAN

Shadow Shadow 0.00 665,000.00 1.000 400.0 5.000 665,000.00 0.00

SOPPA HOLDINGS S.A.R.L. Food service

Luxembourg Food, Beverage, & Tobacco

EUR 100.31322-Nov-21FIRST LIEN TERM

LOAN

Shadow Shadow 0.00 1,096,559.68 0.000 375.0 3.750 1,096,559.68 0.00

SPECTRUM BRANDS INC. Conglomerates


EUR 100.46923-Jun-22EURO TERM LOAN BB Shadow 0.00 487,874.08 0.750 275.0 3.500 487,874.08Cov-Lite 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

SPRINGER SCIENCE (

SPRINGER SBM TWO GMBH)

Publishing

Germany Broadcasting & Media

EUR 100.37514-Aug-20SPRINGER VERLAG

GMBH

Shadow Shadow 0.00 1,950,312.36 1.000 375.0 4.750 1,950,312.36 0.00


GMBH

Shadow Shadow 0.00 1,081,813.89 1.000 375.0 4.750 1,081,813.89 0.00


GMBH

Shadow Shadow 0.00 1,618,214.29 1.000 375.0 4.750 1,618,214.29 0.00

STRETFORD SEVENTY NINE Food service


GBP 95.94815-Jul-20ICELTD FLOAT B B 0.00 2,000,000.00 0.401 425.0 4.651 2,507,999.98 0.00

SWISSPORT GROUP SARL Air Transport

United States Transportation

EUR 101.17009-Feb-22TERM LOAN B B- B 0.00 2,210,526.32 1.000 525.0 6.250 2,210,526.32 0.00

SYNLAB BONDCO PLC Health Care

France Healthcare

EUR 100.23001-Jul-22LABFP FLOAT CORP Shadow B+ 0.00 4,000,000.00 0.000 350.0 3.500 4,000,000.00 0.00

SYNLAB UNSECURED

BONDCO PLC.

Health Care

France Healthcare

EUR 107.30001-Jul-23LABFP 8 B B+ 0.00 500,000.00 0.000 0.0 8.250 500,000.00 0.00

TACKLE SARL Leisure goods/activities/movies

Germany Gaming, Leisure & Entertainment


TAGHLEEF INDUSTRIES

TOPCO LIMITED


United States Packaging & Containers

EUR 101.12510-May-23FACILITY B Shadow Shadow 0.00 1,066,666.67 0.000 450.0 4.500 1,066,666.67 0.00

TECHNICOLOR S.A. Leisure goods/activities/movies

France Gaming, Leisure & Entertainment

EUR 100.15011-Jul-20TERM LOAN EUR Shadow BB- 0.00 416,106.66 1.000 400.0 5.000 416,106.66 0.00

EUR 100.15011-Jul-20TERM LOAN EUR Shadow BB- 0.00 270,133.22 1.000 400.0 5.000 270,133.22 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

TEKNI-PLEX INC Containers and Glass Products


EUR 100.00001-Jun-22TRANCHE B-2 TERM

LOANS HYPO

Shadow Shadow 0.00 392,755.66 1.000 350.0 4.500 392,755.66 0.00

TELE COLUMBUS AG Cable and Satellite Television

Germany Telecommunications

EUR 100.92904-Jan-21FACILITY A Shadow Shadow 0.00 1,600,000.00 0.000 400.0 4.000 1,600,000.00 0.00

EUR 100.92904-Jan-21INCREMENTAL

FACILITY

Shadow Shadow 0.00 500,000.00 0.000 450.0 4.500 500,000.00 0.00

TELENET INTERNATIONAL

FINANCE S.A.R.L.

Cable and Satellite Television

Luxembourg Telecommunications

EUR 100.33831-Jan-25TERM LOAN FACILITY

AE

Shadow Shadow 0.00 5,056,451.61 0.000 325.0 3.250 5,056,451.61 0.00

TEREX CORP Industrial Equipment


EUR 99.65013-Aug-21INCREMENTAL EURO

TERM LOANS

Shadow BB- 0.00 1,680,000.03 0.750 275.0 3.500 1,680,000.03 0.00

TI GROUP AUTO SYSTEMS

LLC

Automotive

United Kingdom Automobiles

EUR 100.60030-Jun-22INITIAL EURO TERM

LOAN

Shadow Shadow 0.00 1,980,000.00 1.000 350.0 4.500 1,980,000.00 0.00

TMF GROUP HOLDING BV Business equipment & services

Netherlands Business Services

EUR 101.30214-Oct-23TERM B1 Shadow B 0.00 2,243,701.70 0.000 400.0 4.000 2,243,701.70 0.00

EUR 101.30214-Oct-23TERM B1 Shadow B 0.00 997,039.04 0.000 400.0 4.000 997,039.04 0.00

TRINSEO MATERIALS OP

SCA (STYRON)

Chemicals/Plastics


USD 100.56305-Nov-21TERM LOAN B Shadow Shadow 0.00 1,039,473.68 1.000 325.0 4.250 924,092.10 0.00

TUNSTALL HOLDINGS Health Care

United Kingdom Healthcare

EUR 88.83316-Oct-20FACILITY B2 Shadow Shadow 0.00 2,000,000.00 0.000 450.0 4.500 2,000,000.00 0.00

EUR 88.83316-Oct-20FACILITY B2 Shadow Shadow 0.00 3,800,000.00 0.000 450.0 4.500 3,800,000.00 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

TWIN SET Retailers (other than food/drug)

Italy Retail (General)

EUR 98.48315-Jul-19TWSSBS FLOAT Shadow Shadow 0.00 3,000,000.00-0.311 587.5 5.564 3,000,000.00 0.00

UNIFRAX I LLC Chemicals/Plastics


EUR 99.93828-Nov-18NEW EUR TL Shadow Shadow 0.00 1,411,602.01 1.000 350.0 4.500 1,411,602.01Cov-Lite 0.00

UNILABS DIAGNOSTICS AB Health Care

Switzerland Healthcare

EUR 101.12510-Oct-21FACILITY B Shadow B 0.00 2,564,102.56 0.000 425.0 4.250 2,564,102.56 0.00

UNIVEG Food Products


EUR 103.84115-Nov-20UNIVEG 7 Shadow B- 0.00 1,000,000.00 0.000 0.0 7.875 1,000,000.00 0.00

EUR 103.84115-Nov-20UNIVEG 7 Shadow B- 0.00 1,000,000.00 0.000 0.0 7.875 1,000,000.00 0.00

VALEO F1 COMPANY

LIMITED

Food Products

Ireland Food, Beverage, & Tobacco

EUR 99.78606-May-22TERM LOAN B1 Shadow Shadow 0.00 1,500,000.00 0.000 400.0 4.000 1,500,000.00 0.00

VEDICI Health Care

France Healthcare

EUR 100.89330-Oct-22FACILITY B Shadow Shadow 0.00 3,150,000.00 0.000 425.0 4.250 3,150,000.00 0.00

EUR 100.89330-Oct-22FACILITY B Shadow Shadow 0.00 450,000.00 0.000 425.0 4.250 450,000.00 0.00

VERALLIA PACKAGING SAS Containers and Glass Products

France Packaging & Containers

EUR 100.89829-Oct-22FACILITY B2 Shadow B 0.00 5,222,222.22 1.000 350.0 4.500 5,222,222.22 0.00

VERISURE HOLDING AB Business equipment & services

Sweden Consumer Products

EUR 101.20821-Oct-22EURO TERM LOAN B1 Shadow Shadow 0.00 5,813,953.49 1.000 350.0 4.500 5,813,953.49 0.00

VERITAS US INC Electronics/Electrical


EUR 94.65027-Jan-23INITIAL EURO TERM

B-1

Shadow Shadow 0.00 3,423,655.92 1.000 562.5 6.625 3,423,655.92 0.00

EUR 94.65001-Feb-23VERITS 7 02/01/23

CORP

Shadow Shadow 0.00 1,334,000.00 0.000 0.0 7.500 1,334,000.00 0.00






Maturity

Date

Base

Rate

(%)

Margin All In

Interest

Rate

(%)

Market

Price

S&P

Rating

Current

Notional

Amount

(CCY)

CCY Current

Notional

Amount

(EUR)

Tranche

Country

Issuer

Fitch Industry

S&P Industry

PIK

Rate

(%)

Asset

Type

PIK

Amount

Fitch

Rating

VISTRA GROUP HOLDINGS

(BVI) II LIMITED


Hong Kong Business Services

EUR 101.18826-Oct-22EUR TERM LOAN B Shadow Shadow 0.00 384,615.39 1.000 300.0 4.000 384,615.39 0.00

VUE INTERNATIONAL BIDCO Leisure goods/activities/movies

United Kingdom Gaming, Leisure & Entertainment

EUR 100.65015-Jul-20VEUCIN FLOAT Shadow Shadow 0.00 400,000.00-0.311 525.0 4.939 400,000.00 0.00

EUR 100.65015-Jul-20VEUCIN FLOAT Shadow Shadow 0.00 1,750,000.00-0.311 525.0 4.939 1,750,000.00 0.00

EUR 100.65015-Jul-20VEUCIN FLOAT Shadow Shadow 0.00 2,000,000.00-0.311 525.0 4.939 2,000,000.00 0.00

WESTERN DIGITAL CORP Electronics/Electrical


EUR 101.07128-Apr-23EUR TERM LOAN B-1 Shadow Shadow 0.00 1,385,416.67 0.750 325.0 4.000 1,385,416.67 0.00

WOWMIDCO SAS Business equipment & services

France Business Services

EUR 100.98416-Mar-23FACILITY B Shadow Shadow 0.00 3,264,705.88 0.000 550.0 5.500 3,264,705.88 0.00

XELLA INTERNATIONAL

GMBH


Germany Building & Materials

EUR 100.10729-Mar-19FACILITY G Shadow Shadow 0.00 1,475,409.84 0.000 325.0 3.250 1,475,409.84 0.00

YELLOW MAPLE HOLDING

B.V.


Netherlands Business Services

EUR 100.93823-Sep-21FACILITY B1 Shadow Shadow 0.00 3,423,243.92 0.000 375.0 3.750 3,423,243.92 0.00

ZIGGO SECURED FINANCE BV Cable and Satellite Television

Netherlands Cable

EUR 100.20530-Aug-24TERM LOAN FACILITY

C

BB- BB- 0.00 4,000,000.00 0.000 375.0 3.750 4,000,000.00 0.00

411,432,967.46



Exchanged Equity Securities as of 30-Nov-2016


Principal Balance

(CCY)

Currency Total Issuance Percentage Held (%)Issue NameIssuer Name



Purchase and Sales between 21-Oct-2016 and 30-Nov-2016


Settlement

Date

Net Amount

(CCY)

Trade

Quantity

(CCY)

Net

Amount

Trade

Quantity

(EUR)

Trade

Date

Issuer Loan Facility PriceCurrency Disposal

Reason

Purchase

24-Nov-2016 CEVA SANTE ANIMALE SENIOR FACILITY B EUR 2,585,820.90 2,585,820.90 100.00 2,585,820.90 2,585,820.90

24-Nov-2016 LULLY FINANCE S.A.R.L. INITIAL TERM B-2 LOAN FIRST

LIEN

EUR 814,814.81 814,814.81 100.00 814,814.81 814,814.81

07-Nov-2016 SK SPICE (ARCHROMA) TERM LOAN B EUR 1,093,750.00 1,096,491.23 99.75 1,093,750.00 1,096,491.23

01-Nov-2016 PICARD GROUPE S.A.S. PICSUR FLOAT-15 EUR 427,382.30 422,627.7403-Nov-2016 101.13 427,382.30 422,627.74

03-Nov-2016 VUE INTERNATIONAL BIDCO VEUCIN FLOAT EUR 406,500.00 400,000.0007-Nov-2016 101.63 406,500.00 400,000.00

04-Nov-2016 SYNLAB BONDCO PLC LABFP FLOAT CORP EUR 4,000,000.00 4,000,000.0008-Nov-2016 100.00 4,000,000.00 4,000,000.00

21-Oct-2016 INOVYN FINANCE PLC TERM LOAN B EUR EUR 555,555.56 555,555.5610-Nov-2016 100.00 555,555.56 555,555.56

03-Nov-2016 GUALA CLOSURES SPA GCLIM FLOAT CORP EUR 1,750,000.00 1,750,000.0011-Nov-2016 100.00 1,750,000.00 1,750,000.00

03-Nov-2016 AUTODIS SA AUTODI CORP EUR 357,000.00 357,000.0014-Nov-2016 100.00 357,000.00 357,000.00

03-Nov-2016 AUTODIS SA AUTODIS FLOAT CORP EUR 3,000,000.00 3,000,000.0014-Nov-2016 100.00 3,000,000.00 3,000,000.00

03-Nov-2016 TELENET INTERNATIONAL FINANCE

S.A.R.L.

TERM LOAN FACILITY AE EUR 5,056,451.61 5,056,451.6114-Nov-2016 100.00 5,056,451.61 5,056,451.61

24-Oct-2016 HSE24 FINANCE & SERVICE GMBH FACILITY C EUR 1,641,750.00 1,650,000.0016-Nov-2016 99.50 1,641,750.00 1,650,000.00

01-Nov-2016 VISTRA GROUP HOLDINGS (BVI) II

LIMITED

EUR TERM LOAN B EUR 384,615.39 384,615.3918-Nov-2016 100.00 384,615.39 384,615.39

21-Oct-2016 INOVYN FINANCE PLC 2021 TRANCHE B EURO TERM

LOAN

EUR 555,555.56 555,555.5621-Nov-2016 100.00 555,555.56 555,555.56

02-Nov-2016 MULTI PACKAGING SOLUTIONS

LIMITED

EURO TERM C EUR 1,167,047.70 1,146,693.8825-Nov-2016 101.78 1,167,047.70 1,146,693.88

04-Nov-2016 PHM FRANCE HOLDCO 19 SAS FACILITY B2 EUR 394,736.84 394,736.8429-Nov-2016 100.00 394,736.84 394,736.84

24,170,363.52 24,190,980.67

Sale

04-Nov-2016 SYNLAB BONDCO PLC LABFP FLOAT EUR 3,030,750.00 3,000,000.0008-Nov-2016 101.03 3,030,750.00 3,000,000.00

3,000,000.00 3,030,750.00


Unsettled Trades as of 30-Nov-2016


Loan Facility Net Amount (EUR)CurrencyTrade Date Issuer Disposal Reason

Purchase

01-Jun-2016 AIRBUS DEFENSE ELECTRONICS TERM LOAN B HYPO -1,288,977.28EUR

24-Nov-2016 CEVA SANTE ANIMALE CEVA SANTE ANIMALE -2,585,820.90EUR

12-Apr-2016 DELACHAUX (SODELHO S.A.) PANDROL INTERNATIONAL LTD -1,797,556.74EUR

21-Sep-2016 INOVYN FINANCE PLC 2021 TRANCHE B EURO TERM LOAN -2,029,912.50EUR

24-Nov-2016 LULLY FINANCE S.A.R.L. INITIAL TERM B-2 LOAN FIRST LIEN -814,814.81EUR

01-Aug-2016 ONEX EAGLE ACQUISITION COMPANY LIMITED TERM LOAN B TRANCHE 2 EUR -970,000.00EUR

06-Oct-2016 PERTENTO S.A.R.L. FACILITY B -1,547,777.78EUR

07-Nov-2016 SK SPICE (ARCHROMA) TERM LOAN B -1,093,750.00EUR

29-Sep-2016 TMF GROUP HOLDING BV TERM B1 -997,039.04EUR

-13,288,092.31

Sale

24-Feb-2016 BARING PRIVATE EQUITY ASIA VI HOLDING (1) LTD INITIAL EURO TERM LOAN 1ST LIEN Credit Improved Security 997,500.00EUR

997,500.00

-12,290,592.30Total Unsettled Transaction Amount


Principal Repayments between 21-Oct-2016 and 30-Nov-2016


Amortisation

Date

Issuer Facility CCY Amortisation Amount

(CCY)

Amortisation AmountSecurity ID

KEURIG GREEN MOUNTAIN, INC24-Oct-2016 231,591.45 231,591.45EURTERM B EUR LOANS

PENN ENGINEERING & MANUFACTURING

CORP.

25-Oct-2016 332,911.72 332,911.72EURINCREMENTAL TRANCHE C TERM LOAN

CONVATEC HEALTHCARE E S.A.31-Oct-2016 390,133.05 390,133.05EURNEW TERM LOAN 2015

CONVATEC HEALTHCARE E S.A.31-Oct-2016 591,702.04 591,702.04EURNEW TERM LOAN 2015

TECHNICOLOR S.A.31-Oct-2016 9,273.51 9,273.51EURTERM LOAN EUR

AHLSELL INVESTCO AB01-Nov-2016 202,204.53 202,204.53EURNEW FACILITY B1



JACOBS DOUWE EGBERTS

INTERNATIONAL B.V

02-Nov-2016 1,267,900.96 1,267,900.96EURFACILITY B

BARING PRIVATE EQUITY ASIA VI

HOLDING (1) LTD

08-Nov-2016 22,073.73 22,073.73EURINITIAL EURO TERM LOAN 2ND LIEN

TELENET BIDCO NV10-Nov-2016 5,501,466.28 5,501,466.28EURTERM LOAN Y

SCHULMAN INC21-Nov-2016 15,991.38 15,991.38EURINITIAL EURO TERM B LOANS

FINEDINING HOLDCO GMBH30-Nov-2016 2,949,677.42 2,949,677.42EURFACILITY B1

WMF GROUP GMBH30-Nov-2016 2,233,333.33 2,233,333.33EURFACILITY B3

BESTWAY UK HOLDCO LIMITED07-Nov-2016 8,315.12 6,615.05GBPFACILITY B

14,367,802.60


Issuer Rating Changes between 21-Oct-2016 and 30-Nov-2016


Obligation Rating

Agency

Prior

Rating

Prior Rating

Date

Current

Rating

Current

Rating Date

Upgrade

CYAN BLUE HOLDCO 3 LIMITED Shadow Shadow + 1 02-Nov-2016Fitch 01-Jan-2015

MUSTANG INTERMEDIATECO LIMITED Shadow Shadow + 1 11-Nov-2016S&P 01-Jan-2014

MUSTANG INTERMEDIATECO LIMITED Shadow Shadow + 1 14-Nov-2016Fitch 01-Jan-2014

QUINTILES IMS INCORPORATED Shadow Shadow + 1 01-Nov-2016Fitch 05-Aug-2014

TRINSEO MATERIALS OP SCA (STYRON) Shadow Shadow + 1 16-Nov-2016Fitch 01-Jan-2015

Downgrade

CONCORDIA HEALTHCARE CORP Shadow Shadow - 1 10-Nov-2016S&P 01-Jan-2015

CONCORDIA HEALTHCARE CORP B B- 10-Nov-2016S&P 30-Sep-2015

CONCORDIA HEALTHCARE CORP Shadow Shadow - 1 30-Nov-2016Fitch 01-Jan-2015

PHM FRANCE HOLDCO 19 SAS Shadow Shadow - 1 18-Nov-2016Fitch 01-Sep-2016

REMEDCO HOLDING B.V. Shadow Shadow - 1 16-Nov-2016Fitch 01-Jan-2015


Interest Rate Hedges as of 30-Nov-2016


Hedge Name Termination

Date

Receive Notional

Outstanding

Receive Rate Receive Fixed /

Floating

Receive Index Receive DateReceive Spread Receive

Currency

Scheduled Receivable Due By

Next Payment Date

Counterparty Pay Notional

Outstanding


Floating

Pay Index Payment DatePay Spread Pay

Currency

Scheduled Payable Due By

Next Payment Date

** Nothing to report **


Current Pay Obligations as of 30-Nov-2016


Industry Class :Issuer

Country

Tranche MarginFinal

Maturity

Date

Base

Rate

%

All In

Interest

Rate %

Market

Price

Fitch

Rating

S&P Original

Currency

Current

Notional

Amount

(EUR)

Security ID Current

Notional

Amount

(CCY)

S&P

Recovery

Rate

Moody's

Recovery

RateS&P Industry

Fitch Industry



CCC Obligations as of 30-Nov-2016



Country

Tranche Margin

Fitch Industry

Final

Maturity

Date

Base

Rate %

All In

Interest

Rate %

Fitch

Rating

S&P

Rating

Original

Currency

Current Notional

Amount (EUR)

ISIN / CUSIP Market

PriceS&P Industry

DEOLEO S.A.

Spain

Food, Beverage, & Tobacco

Food Products

EUR 7.75013-Jun-20222ND LIEN 675.0 1.000 61.000 375,000.00LX137334 Shadow Shadow

EUR 4.50011-Jun-2021FIRST LIEN 350.0 1.000 85.455 3,625,000.00LX137333 Shadow Shadow

FAT FACE WORLD BORROWINGS LIMITED

United Kingdom

Retail (General)


GBP 5.88525-Sep-2020TERM B FACILITY 550.0 0.385 79.375 1,134,180.00LX141132 CCC+ CCC+

FINANCIERE TRUCK (INVESTISSEMENT) SA

France

Transportation

Equipment leasing

EUR 4.00015-Mar-2017TERM LOAN (EUR) 400.0 0.000 93.000 150,606.54LX059053 Shadow Shadow

EUR 4.00015-Mar-2017TERM LOAN (EUR) 400.0 0.000 93.000 1,884,755.30LX059053 Shadow Shadow

TUNSTALL HOLDINGS

United Kingdom

Healthcare

Health Care

EUR 4.50016-Oct-2020FACILITY B2 450.0 0.000 88.833 5,800,000.00LX133020 Shadow Shadow

12,969,541.84


Discount Obligations as of 30-Nov-2016


Industry Class :

Country

Issuer Name Issue Name Maturity

Date

Fitch

Rating

S&P Rating CCY Principal

Balance (EUR)

Security ID Market

Price

(%)

Price

(%)S&P Industry

Fitch Industry



Collateral Obligations Subject to Withholding Tax as of 30-Nov-2016



Country

Tranche MarginFinal

Maturity

Date

Base

Rate

%

All In

Interest

Rate %

Market

Price

Fitch

Rating

S&P Original

Currency

Current

Notional

Amount

(EUR)

Security ID Current

Notional

Amount

(CCY)

S&P

Recovery

Rate

Moody's

Recovery

RateS&P Industry

Fitch Industry



Collateral Obligation Paying Interest Less Frequently Than Semi-Annually as of 30-Nov-2016



Country

Tranche MarginFinal

Maturity

Date

Base

Rate

%

All In

Interest

Rate %

Market

Price

Fitch

Rating

S&P Original

Currency

Current

Notional

Amount

(EUR)

Security ID Current

Notional

Amount

(CCY)

S&P

Recovery

Rate

Moody's

Recovery

RateS&P Industry

Fitch Industry



Account Balances as of 30-Nov-2016


CCY Account Name Starting Balance

(CCY)

Ending Balance

(CCY)

Starting Balance

(EUR)

Ending Balance

(EUR)

Interest

EUR Blackrock Interest Account - EUR 0.00 0.00 0.00 0.00

EUR EUR Interest Account 435,892.28 363,753.25 435,892.28 363,753.25

EUR EUR Interest Reserve Account 0.00 0.00 0.00 0.00

EUR HSBC Interest Account - EUR 0.00 824,614.71 0.00 824,614.71

EUR Interest Reserve Account - EUR 0.00 0.00 0.00 0.00

EUR Morgan Stanley Interest Account - EUR 1,224,862.09 3,501,088.66 1,224,862.09 3,501,088.66

GBP GBP Interest Account 111,339.23 51,044.77 131,133.89 57,196.22

USD USD Interest Account 8,404.77 675.27 7,923.05 618.04

4,747,270.88 1,799,811.31

Principal

EUR Blackrock Principal Account - EUR 2,460,601.42 6,497,128.08 2,460,601.42 6,497,128.08

EUR EUR Principal Account -7,058,718.45-14,727,931.84 -7,058,718.45-14,727,931.84

EUR EUR Unused Proceeds Account 0.00 0.00 0.00 0.00

EUR HSBC Principal Account - EUR 2,460,683.99 6,494,945.87 2,460,683.99 6,494,945.87

EUR Morgan Stanley Principal Account - EUR 2,440,848.85 5,178,423.69 2,440,848.85 5,178,423.69

GBP GBP Principal Account 0.00 0.00 0.00 0.00

USD USD Principal Account 0.00 0.00 0.00 0.00

3,442,565.80 303,415.81

Other

EUR Payment Account 78.54 78.54 78.54 78.54

78.54 78.54

Others

EUR Collateral Enhancement Account 0.00 0.00 0.00 0.00

EUR Default Cash Account 304.60-100.41 304.60-100.41

EUR Expense Reserve Account 28,969.14 750.00 28,969.14 750.00

649.59 29,273.74

8,190,564.81 2,132,579.40


Liquidity Facility as of 30-Nov-2016


Issuer Currency Standby Liquidity Account

Withdrawal

Liquidity Limit Liquidity Swap Transaction

Payment

Liquidity Swap Drawn

Amount

EURDeutsche Bank AG, London Branch 8,900,000.00 0.00


S&P CDO Monitor as of 30-Nov-2016


Rated Class Rated Par (EUR) Initial Rating Current

Breakeven Rate

(%)

Scenario

Default Rate

(%)

Rate

Differential

(%)

Result

243,000,000.00 AAA 66.36 63.48 PassA


Maturity Profile as of 30-Nov-2016


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Ja

n-2

01

7

Ap

r-2

01

7

Ju

l-2

01

7

Oct-

20

17

Ja

n-2

01

8

Ap

r-2

01

8

Ju

l-2

01

8

Oct-

20

18

Ja

n-2

01

9

Ap

r-2

01

9

Ju

l-2

01

9

Oct-

20

19

Ja

n-2

02

0

Ap

r-2

02

0

Ju

l-2

02

0

Oct-

20

20

Ja

n-2

02

1

Ap

r-2

02

1

Ju

l-2

02

1

Oct-

20

21

Ja

n-2

02

2

Ap

r-2

02

2

Ju

l-2

02

2

Oct-

20

22

Ja

n-2

02

3

Ap

r-2

02

3

Ju

l-2

02

3

Oct-

20

23

Ja

n-2

02

4

Ap

r-2

02

4

Ju

l-2

02

4

Oct-

20

24

Ja

n-2

02

5

Ap

r-2

02

5

% o

f P

ort

foli

o

Maturity Date

Cumulative Scheduled Repayment Percentage

Maturity Profile


Graph: By Fitch Rating as of 30-Nov-2016


0.0

20.0

40.0

60.0

80.0

100.0

120.0

140.0

160.0

180.0

200.0

220.0

240.0

4.7 6.5

26.432.4

220.5

113.8

1.16.0

0.6

AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- CC C D RD WD

Valu

e in

EU

R (

mm

's)


Graph: By S&P Rating as of 30-Nov-2016


0.0

20.0

40.0

60.0

80.0

100.0

120.0

140.0

160.0

180.0

200.0

220.0

240.0

4.62.7

14.9

21.4

93.5

228.2

39.2

1.15.8

0.6

AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- CC C D R SD

Valu

e in

EU

R (

mm

's)


Graph: By Fitch Industry as of 30-Nov-2016


0 2 4 6 8 10 12 14 16

Healthcare

Chemicals

Industrial/Manufacturing

Business Services

Computers and Electronics

Telecommunications

Packaging & Containers

Food, Beverage, & Tobacco

Gaming, Leisure & Entertainment

Banking & Finance

Retail (General)

Automobiles

Consumer Products

Broadcasting & Media

Building & Materials

Transportation

Aerospace & Defense

Farming & Agriculture Services

Pharmaceuticals

Cable

Lodging & Restaurants

Environmental Services

14.3

11.5

9.2

8.1

6.8

5.7

5.4

5.1

4.9

4.8

4.3

3.9

3.2

2.5

2.5

2.3

2.0

1.1

1.0

1.0

0.3

0.1

Value in Percentage


Graph: By S&P Industry as of 30-Nov-2016


0 2 4 6 8 10 12

Health Care


Chemicals/Plastics





Financial intermediaries

Food Products


Drugs

Automotive


Cable and Satellite Television

Telecommunications


Radio and Television

Food service

Surface transport

Rail industries

Publishing

Farming/Agriculture

Automobiles

Equipment leasing

Air Transport

Food/drug retailers

Beverage and Tobacco

Cosmetics/toiletries

Conglomerates

Ecological services and equipment

12.0

11.4

11.3

7.3

6.7

5.3

5.1

4.8

4.4

4.0

3.3

3.1

3.1

2.7

2.6

2.0

1.7

1.3

1.2

1.1

1.1

1.1

0.8

0.6

0.5

0.5

0.5

0.3

0.1

0.1

Value in Percentage


Portfolio by Geographic Split as of 30-Nov-2016


0

10

20

30

40

50

60

70

80

90

2.50

5.00

7.50

Nu

mb

er

Of

Ob

lig

ors

The values are grouped within their band floor amount (mm) as shown on the x-axis

EUR Value Bands (mm's)

Obligor Count Split in 2.5 million EUR Bands

Top 10 Obligors

Obligor PortfolioBalance (mm's)

(EUR)

6.7SAM FINANCE LUX S.A.R.L. 1.63%

6.6DOUGLAS GMBH 1.60%

5.8VERISURE HOLDING AB 1.41%

5.8TUNSTALL HOLDINGS 1.41%

5.8MEDIARENA ACQUISITION BV 1.40%

5.6REDTOP ACQUISITIONS LIMITED (CPA

GLOBAL)

1.35%

5.4REGIT EINS GMBH ( TEAMVIEWER ) 1.32%

5.3MEDIQ BV 1.28%

5.3AI AVOCADO HOLDING B.V. 1.28%

5.3AI ALABAMA B.V. 1.28%

Others Include

Ireland 1.96%

Austria 1.28%

Norway 0.73%

Finland 0.55%

Belgium 0.33%

Hong Kong 0.20%

10.01%Netherlands

4.59%Spain

3.69%Switzerland

3.65%Luxembourg

3.49%Italy

2.49%Sweden

5.06%Others

19.25%United Kingdom

17.67%France

16.34%United States

13.75%Germany

Geographical Split By Country

Deutsche Bank - Trust & Agency Services Monthly Report Produced 16-Dec-201635 - 1

Cross Currency Options as of 30-Nov-2016


Hedge Call CurrencyPut Currency Maturity DateCounterparty Put Amount

(Put CCY)

Strike Price Cap Rate



Interest Rate Caps as of 30-Nov-2016


Hedge Name Receive IndexEffective Date Termination DateCounterparty NotionalCap Rate CCY



Portfolio Composition - Asset Type as of 30-Nov-2016


Issuer Tranche Coupon TypeSecurity Level Specified

Type

Lien Type Facility Type CCY Notional

Amount

(EUR)

Notional

Amount (CCY)

5,259,615.38 TERM FACILITY BAI ALABAMA B.V. Floating EUR 5,259,615.38Senior Secured

3,000,000.00 FACILITY B1AI AVOCADO HOLDING B.V. Floating EUR 3,000,000.00Senior Secured

2,285,714.29 FACILITY B2AI AVOCADO HOLDING B.V. Floating EUR 2,285,714.29Senior Secured

1,295,454.55 TERM LOAN B HYPOAIRBUS DEFENSE ELECTRONICS Floating EUR 1,295,454.55Senior Secured

500,000.00 2ND LIEN TERM LOANALISON BIDCO SARL (ALSTOM) Floating Second Lien USD 385,750.00Senior Subordinate

3,000,000.00 ALLGRPALLIANCE AUTOMOTIVE FINANCE PLC Floating EUR 3,000,000.00Senior Secured

1,352,941.18 FACILITY B1ALLNEX (LUXEMBOURG) & CY S.C.A.

(MONARCH)

Floating EUR 1,352,941.18Senior Secured

2,064,516.14 FACILITY BALPHA BIDCO SAS Floating EUR 2,064,516.14Senior Secured

1,320,033.33 REFINANCING FACILITYALTICE FINANCING SA Floating EUR 1,320,033.33Senior Secured

1,920,304.56 IRISH TERM LOAN CARAMARK CORP Floating EUR 1,920,304.56Senior Secured

2,000,000.00 FACILITY BARGON NPS LIMITED Floating GBP 2,780,000.00Senior Secured

2,534,583.33 EUR TLB 1ARUBA INVESTMENTS INC (ANGUS

CHEMICAL)


3,063,803.35 INITIAL TRANCHE B2 TERM

LOANS

ATRIUM INNOVATIONS INC Floating EUR 3,063,803.35Senior Secured

2,037,995.72 FACILITY B3AURIS LUXEMBOURG III SA Floating EUR 2,037,995.72Senior Secured

752,931.04 INCREMENTAL FACILITY B5AURIS LUXEMBOURG III SA Floating EUR 752,931.04Senior Secured

3,000,000.00 AUTODIS FLOAT CORPAUTODIS SA Floating EUR 3,000,000.00Senior Secured

357,000.00 AUTODI CORPAUTODIS SA Fixed EUR 357,000.00Senior Secured

777,777.78 INITIAL EUR TERM LOAN HypoAVAST SOFTWARE B.V. Floating EUR 777,777.78Senior Secured

1,676,108.75 TERM EURAXIOS BIDCO LIMITED Floating EUR 1,676,108.75Senior Secured

323,891.25 TERM EURAXIOS BIDCO LIMITED Floating EUR 323,891.25Senior Secured

357,519.69 INITIAL EURO TERM LOAN 1ST

LIEN

BARING PRIVATE EQUITY ASIA VI HOLDING

(1) LTD

Floating EUR 357,519.69Senior Secured

77,926.27 INITIAL EURO TERM LOAN 2ND

LIEN

BARING PRIVATE EQUITY ASIA VI HOLDING

(1) LTD

Floating Second Lien EUR 77,926.27Senior Subordinate

931,837.41 FACILITY BBESTWAY UK HOLDCO LIMITED Floating GBP 1,171,319.62Senior Secured

1,375,000.00 BOPRLN 4BOPARAN FINANCE PLC Fixed EUR 1,375,000.00Senior Unsecured

3,851,607.52 FACILITY CBSN MEDICAL LUX Floating EUR 3,851,607.52Senior Secured

1,117,514.26 FACILITY B4CEP Floating EUR 1,117,514.26Senior Secured





Type


Amount

(EUR)

Notional

Amount (CCY)

4,648,320.90 FINANCIERE CHOPINCEVA SANTE ANIMALE Floating EUR 4,648,320.90Senior Secured

2,000,000.00 INITIAL EURO TERM LOAN

SECOND LIEN

COLOUROZ MIDCO Floating Second Lien EUR 2,000,000.00Senior Subordinate

2,094,642.87 FLINT GROUP GMBHCOLOUROZ MIDCO Floating EUR 2,094,642.87Senior Secured

5,357.14 FLINT GROUP GMBHCOLOUROZ MIDCO Floating EUR 5,357.14Senior Secured

1,376,811.59 TERM LOAN B FACILITYCOMETE HOLDING Floating EUR 1,376,811.59Senior Secured

2,759,150.00 TERM LOAN BCONCORDIA HEALTHCARE CORP Floating GBP 3,757,962.30Senior Secured

2,054,425.32 FACILITY B1 EURCONSTANTIA FLEXIBLES HOLDING GMBH

(CONSTANTINOPLE ACQ GMBH)


306,685.79 FACILITY B2 EURCONSTANTIA FLEXIBLES HOLDING GMBH

(CONSTANTINOPLE ACQ GMBH)


1,356,818.18 EUR TERM LOAN B2COTY INC Floating EUR 1,356,818.18Senior Secured

3,409.09 EUR TERM LOAN B2COTY INC Floating EUR 3,409.09Senior Secured

1,748,284.75 FACILITY BCROWN ACQUISITION MIDCO 2 LIMITED Floating GBP 2,110,179.69Senior Secured

2,500,000.00 INITIAL TERM LOANCYAN BLUE HOLDCO 3 LIMITED Floating GBP 3,457,500.00Senior Secured

4,678,248.47 DELACHAUX S.A.DELACHAUX (SODELHO S.A.) Floating EUR 4,678,248.47Senior Secured

3,625,000.00 FIRST LIENDEOLEO S.A. Floating EUR 3,625,000.00Senior Secured

375,000.00 2ND LIENDEOLEO S.A. Floating Second Lien EUR 375,000.00Senior Unsecured

1,000,000.00 SECOND LIEN FACILITYDESARROLLOS EMPRESARIALES PIERA SL Floating Second Lien EUR 1,000,000.00Senior Subordinate

3,000,000.00 INCREMENTAL FACILITY II SFADESARROLLOS EMPRESARIALES PIERA SL Floating EUR 3,000,000.00Senior Secured

106,642.56 FACILITY C1B FRANCEDIAVERUM HOLDING S.A.R.L. Floating EUR 106,642.56Senior Secured

746,298.62 FACILITY C1B LUXDIAVERUM HOLDING S.A.R.L. Floating EUR 746,298.62Senior Secured

1,076,923.07 EURO TERM B LOANDIEBOLD, INC. Floating EUR 1,076,923.07Senior Secured

3,051,843.57 B TERM LOAN FACILITYDORNA SPORTS S.L. Floating EUR 3,051,843.57Senior Secured

94,456.27 Douglas Finance B.V.DOUGLAS GMBH Floating EUR 94,456.27Senior Secured

130,675.74 Douglas GmbHDOUGLAS GMBH Floating EUR 130,675.74Senior Secured

4,713,863.31 Groupe Nocibe France S.A.S.DOUGLAS GMBH Floating EUR 4,713,863.31Senior Secured

224,042.53 Parfuemerie Douglas International

GmbH

DOUGLAS GMBH Floating EUR 224,042.53Senior Secured

1,047,525.17 Nocibe France S.A.S.DOUGLAS GMBH Floating EUR 1,047,525.17Senior Secured

170,629.92 Parfuemerie Douglas GmbHDOUGLAS GMBH Floating EUR 170,629.92Senior Secured





Type


Amount

(EUR)

Notional

Amount (CCY)

214,453.01 Douglas GmbHDOUGLAS GMBH Floating EUR 214,453.01Senior Secured

4,359,229.86 INITIAL EURO TERM LOANSDPX HOLDINGS B.V. (PATHEON/JLL/DELTA

DUTCH)


2,000,000.00 DRYMX FLOAT 03/15/23 CORPDRY MIX SOLUTIONS INVESTISSEMENTS

SAS


3,000,000.00 DRYMIX FLOAT 21DRY MIX SOLUTIONS INVESTISSEMENTS

SAS


1,413,098.23 2014 REFINANCING EURO TERM

LOAN

DUPONT U.S. COATINGS ACQ INC (AXALTA

COATING)


1,692,429.81 FACILITY BEDDIE STOBART Floating GBP 2,060,533.29Senior Secured

3,469,747.66 FACILITY B5EIRCOM FINCO S.A.R.L. Floating EUR 3,469,747.66Senior Secured

4,000,000.00 ELEMENT MATERIALS TECHELEMENT MATERIALS TECHNOLOGY Floating EUR 4,000,000.00Senior Secured

800,000.00 FACILITY B2EMERALD 2 LIMITED Floating EUR 800,000.00Senior Secured

2,000,000.00 SECOND LIEN FACILITYEMERALD 3 LIMITED Floating Second Lien USD 1,454,000.00Senior Subordinate

704,022.99 FACILITY B1EMIL HOLDING III S.P.A. Floating EUR 704,022.99Senior Secured

545,977.01 FACILITY B2EMIL HOLDING III S.P.A. Floating EUR 545,977.01Senior Secured

1,463,414.63 FACILITY BEUROPEAN CINEMA HOLDINGS III AB Floating EUR 1,463,414.63Senior Secured

900,000.00 TERM B FACILITYFAT FACE WORLD BORROWINGS LIMITED Floating GBP 1,134,180.00Senior Secured

1,195,810.49 FACILITY B2FIGARO HOLDCO LIMITED Floating EUR 1,195,810.49Senior Secured

2,035,361.84 TERM LOAN (EUR)FINANCIERE TRUCK (INVESTISSEMENT) SA Floating EUR 2,035,361.84Senior Secured

2,000,000.00 NEW 2022 EURO TERM LOANSFIRST DATA CORPORATION Floating EUR 2,000,000.00Senior Secured

2,000,000.00 2021 NEW EURO TERM LOANFIRST DATA CORPORATION Floating EUR 2,000,000.00Senior Secured

500,000.00 GALAPG 7GALAPAGOS HOLDINGS S.A. Fixed EUR 500,000.00High YieldSenior Unsecured

860,000.00 GALAPG FLOATGALAPAGOS SA Floating EUR 860,000.00Senior Secured

1,231,000.00 DGGLN FLOATGALAXY BIDCO LTD Floating GBP 1,485,817.00Senior Secured

737,547.61 FACILITY B1GALILEO GLOBAL EDUCATION FINANCE

S.A.R.L.


841,399.76 FACILITY B2GALILEO GLOBAL EDUCATION FINANCE

S.A.R.L.


4,847,145.67 INITIAL EURO TERM LOANGARDNER DENVER INC Floating EUR 4,847,145.67Senior Secured

2,826,780.98 INITIAL EURO TERM LOANSGATES GLOBAL INC Floating EUR 2,826,780.98Senior Secured

3,350,000.00 GATGLO 5GATES GLOBAL LLC Fixed EUR 3,350,000.00Senior Unsecured





Type


Amount

(EUR)

Notional

Amount (CCY)

1,288,423.01 FACILITY B1AGENERALE DE SANTE Floating EUR 1,288,423.01Senior Secured

1,750,000.00 GCLIM FLOAT CORPGUALA CLOSURES SPA Floating EUR 1,750,000.00Senior Secured

2,256,410.26 FACILITY BHNVR HOLDCO LIMITED Floating EUR 2,256,410.26Senior Secured

1,340,693.30 FACILITY CHOMAIR VACANCES Floating EUR 1,340,693.30Senior Secured

1,000,000.00 TERM LOAN B2HORIZON BIDCO LIMITED Floating EUR 1,000,000.00Senior Secured

1,650,000.00 FACILITY CHSE24 FINANCE & SERVICE GMBH Floating EUR 1,650,000.00Senior Secured

2,968,527.68 FACILITY C1IGLO FOODS MIDCO LIMITED Floating EUR 2,968,527.68Senior Secured

1,998,171.42 FACILITY BINDIGO BIDCO LIMITED Floating GBP 2,517,695.99Senior Secured

1,840,480.58 2022 EURO TERM LOANSINEOS FINANCE PLC Floating EUR 1,840,480.58Senior Secured

3,000,000.00 2020 EURO TERM LOANINEOS FINANCE PLC Floating EUR 3,000,000.00Senior Secured

2,071,364.06 2021 EURO TERM LOANINEOS STYROLUTION GROUP GMBH Floating EUR 2,071,364.06Senior Secured

2,149,253.73 FACILITY BINO DEBTCO SARL Floating EUR 2,149,253.73Senior Secured

3,916,993.91 2021 TRANCHE B EURO TERM

LOAN

INOVYN FINANCE PLC Floating EUR 3,916,993.91Senior Secured

643,000.00 KERLIN 6 05/15/21 CORPINOVYN FINANCE PLC Fixed EUR 643,000.00Senior Secured

1,333,000.00 INTERO 7INTEROUTE COMMUNICATIONS HOLDINGS

LTD.

Fixed EUR 1,333,000.00Senior Secured

3,123,809.52 TRANCHE B-1 EURO TERM

LOANS

ION TRADING TECHNOLOGIES LTD Floating EUR 3,123,809.52Senior Secured

530,278.72 TERM LOAN B3JACOBS DOUWE EGBERTS INTERNATIONAL

B.V


1,625,000.00 KERNEOS FLOAT 21KERNEOS CORPORATE SAS Floating EUR 1,625,000.00Senior Secured

730,216.75 TERM B EUR LOANSKEURIG GREEN MOUNTAIN, INC Floating EUR 730,216.75Senior Secured

534,441.80 TERM B EUR LOANSKEURIG GREEN MOUNTAIN, INC Floating EUR 534,441.80Senior Secured

2,133,333.33 FACILITY BKIWI HOLDING IV S.A.R.L Floating EUR 2,133,333.33Senior Secured

616,335.28 INITIAL ERSTE EURO TERM

LOANS

KLOCKNER PENTAPLAST OF AMERICA, INC

(KLEOPATRA ACQ)


1,140,024.05 EUR GMBH TERM LOANKLOCKNER PENTAPLAST OF AMERICA, INC

(KLEOPATRA ACQ)


2,133,333.33 FACILITY BLARY 4 AB Floating EUR 2,133,333.33Senior Secured

4,644,679.15 EURO TRANCHE B TERM LOANLAWSON SOFTWARE (GGC) (INFOR US) Floating EUR 4,644,679.15Senior Secured

1,000,000.00 AAFFP 7LION SENECA FRANCE 2 SAS Fixed EUR 1,000,000.00High YieldSenior Unsecured





Type


Amount

(EUR)

Notional

Amount (CCY)

666,666.66 INITIAL TERM B-2 LOANLULLY FINANCE S.A.R.L. Floating Second Lien EUR 666,666.66Senior Subordinate

1,983,645.98 INITIAL TERM B-2 LOAN FIRST

LIEN

LULLY FINANCE S.A.R.L. Floating EUR 1,983,645.98Senior Secured

3,000,000.00 FACILITY B4LYNGEN BIDCO AS Floating EUR 3,000,000.00Senior Secured

3,000,000.00 TERM LOANMATERIS CHRYSO Floating EUR 3,000,000.00Senior Secured

1,500,000.00 MATTER 4MATTERHORN TELECOM HOLDING SA Fixed EUR 1,500,000.00Senior Unsecured

494,788.90 TRANCHE D TERM LOANMAUSER HOLDING S.A .R.L Floating EUR 494,788.90Senior Secured

3,910,000.00 EURO TERM B LOANMEDIARENA ACQUISITION BV Floating EUR 3,910,000.00Senior Secured

10,000.00 EURO TERM B LOANMEDIARENA ACQUISITION BV Floating EUR 10,000.00Senior Secured

1,466,250.00 STERLING TERM B LOANMEDIARENA ACQUISITION BV Floating GBP 1,830,613.13Senior Secured

3,750.00 STERLING TERM B LOANMEDIARENA ACQUISITION BV Floating GBP 4,681.88Senior Secured

5,294,000.00 2014 FACILITY B1MEDIQ BV Floating EUR 5,294,000.00Senior Secured

1,686,685.17 FACILITY B1MEGACO S.R.L. Floating EUR 1,686,685.17Senior Secured

313,314.83 FACILITY B2MEGACO S.R.L. Floating EUR 313,314.83Senior Secured

3,000,000.00 ICBPI FLOATMERCURY BONDCO PLC Floating EUR 3,000,000.00Senior Secured

1,591,000.00 ICBPI 8 1/4MERCURY BONDCO PLC Fixed EUR 1,591,000.00Senior Secured

1,090,000.00 CABBCO FLOATMONITCHEM HOLDCO 3 S.A. Floating EUR 1,090,000.00Senior Secured

1,536,111.11 TRANCHE B-2 TERM LOANSMPG HOLDCO I INC (METALDYNE) Floating EUR 1,536,111.11Senior Secured

76,000.00 EURO TERM CMULTI PACKAGING SOLUTIONS LIMITED Floating EUR 76,000.00Senior Secured

1,835,156.46 EURO TERM CMULTI PACKAGING SOLUTIONS LIMITED Floating EUR 1,835,156.46Senior Secured

2,751,151.90 TERM LOAN BMUSTANG INTERMEDIATECO LIMITED Floating EUR 2,751,151.90Senior Secured

1,547,844.83 STERLING TERM B LOANNBTY INC Floating GBP 1,988,980.61Senior Secured

1,800,000.00 FACILITY BNETINVEST LIMITED Floating EUR 1,800,000.00Senior Secured

1,500,000.00 TRANCHE BNOVACAP GROUP BIDCO Floating EUR 1,500,000.00Senior Secured

2,873,726.36 TRANCHE B-1 TERM LOANOBERTHUR TECHNOLOGIES HOLDING SAS Floating EUR 2,873,726.36Senior Secured

2,837,837.84 TERM LOAN B TRANCHE 2 EURONEX EAGLE ACQUISITION COMPANY

LIMITED


4,448,975.68 INITIAL EURO TERM LOANONEX WIZARD ACQUISITION COMPANY I

SARL


1,032,258.06 TERM FACILITY B2OPTIMA SUB FINCO LIMITED Floating EUR 1,032,258.06Senior Secured





Type


Amount

(EUR)

Notional

Amount (CCY)

4,513,880.79 EURO TERM LOANORION ENGINEERED CARBONS Floating EUR 4,513,880.79Senior Secured

3,711,425.35 TRANCHE B-1 TERM LOANOXEA SARL Floating EUR 3,711,425.35Senior Secured

1,000,000.00 FACILITY BPAPA BIDCO LIMITED Floating GBP 1,350,000.00Senior Secured

2,280,000.00 PAROCG FLOATPAROC GROUP OY AB Floating EUR 2,280,000.00Senior Secured

1,764,705.88 FACILITY BPATERNOSTER HOLDING IV GMBH Floating EUR 1,764,705.88Senior Secured

1,469,756.93 INCREMENTAL TRANCHE C TERM

LOAN


CORP.


173,705.86 INCREMENTAL TRANCHE C TERM

LOAN


CORP.


3,320,261.44 FACILITY BPERTENTO S.A.R.L. Floating EUR 3,320,261.44Senior Secured

394,736.84 FACILITY B2PHM FRANCE HOLDCO 19 SAS Floating EUR 394,736.84Senior Secured

2,113,138.69 PICSUR FLOAT-15PICARD GROUPE S.A.S. Floating EUR 2,113,138.69Senior Secured

2,296,747.97 TERM LOAN BPIGMENTS I B.V. Floating EUR 2,296,747.97Senior Secured

1,084,239.13 TERM B-2 TERM LOANPQ CORPORATION Floating EUR 1,084,239.13Senior Secured

2,926,526.63 AHT HOLDING GMBHPROJECT BREEZE Floating EUR 2,926,526.63Senior Secured

4,614,933.71 SERMETAPROJECT GEYSER II Floating EUR 4,614,933.71Senior Secured

730,106.75 TERM B EURO LOANQUINTILES IMS INCORPORATED Floating EUR 730,106.75Senior Secured

2,413,926.09 TERM B EURO LOANQUINTILES IMS INCORPORATED Floating EUR 2,413,926.09Senior Secured

1,469,897.25 TERM B EURO LOANQUINTILES IMS INCORPORATED Floating EUR 1,469,897.25Senior Secured

5,570,000.00 INITIAL EURO TERM LOANREDTOP ACQUISITIONS LIMITED (CPA

GLOBAL)


3,920,000.00 EURO TERM LOAN (FIRST LIEN)REGIT EINS GMBH ( TEAMVIEWER ) Floating EUR 3,920,000.00Senior Secured

2,000,000.00 INITIAL LOAN (SECOND LIEN)REGIT EINS GMBH ( TEAMVIEWER ) Floating Second Lien USD 1,498,000.00Senior Unsecured

1,760,108.85 TERM B1REMEDCO HOLDING B.V. Floating EUR 1,760,108.85Senior Secured

1,000,000.00 FACILITY BRODENSTOCK GMBH (BLITZ) Floating EUR 1,000,000.00Senior Secured

899,335.69 FACILITY B1BSAM BIDCO Floating EUR 899,335.69Senior Secured

3,353,879.57 FACILITY B1ASAM BIDCO Floating EUR 3,353,879.57Senior Secured

6,696,062.50 EURO TERM LOANSAM FINANCE LUX S.A.R.L. Floating EUR 6,696,062.50Senior Secured

1,559,322.03 TERM LOAN B HypoSAVERGLASS Floating EUR 1,559,322.03Senior Secured

2,000,000.00 FACILITY B EURSCHENCK PROCESS FINANCE GMBH Floating EUR 2,000,000.00Senior Secured





Type


Amount

(EUR)

Notional

Amount (CCY)

1,800,000.00 SCHMAN FLOAT CORP FACILITYSCHUMANN SPA Floating EUR 1,800,000.00Senior Secured

4,783,863.07 TERM LOAN B-EURSIGNODE IND GR LUX S.A. Floating EUR 4,783,863.07Senior Secured

4,574,752.10 TERM LOAN BSK SPICE (ARCHROMA) Floating EUR 4,574,752.10Senior Secured

3,299,062.50 INITIAL EURO TERM LOANSOLENIS INTERNATIONAL, L.P . Floating EUR 3,299,062.50Senior Secured

8,437.50 INITIAL EURO TERM LOANSOLENIS INTERNATIONAL, L.P . Floating EUR 8,437.50Senior Secured

1,666.67 TRANCHE C TERM LOANSOLENIS INTERNATIONAL, L.P . Floating EUR 1,666.67Senior Secured

663,333.33 TRANCHE C TERM LOANSOLENIS INTERNATIONAL, L.P . Floating EUR 663,333.33Senior Secured

1,096,559.68 FIRST LIEN TERM LOANSOPPA HOLDINGS S.A.R.L. Floating EUR 1,096,559.68Senior Secured

265,431.54 EURO TERM LOANSPECTRUM BRANDS INC. Floating EUR 265,431.54Senior Secured



4,650,340.54 SPRINGER SCIENCE & BUSINESS

MEDIA FINANCE BV

SPRINGER SCIENCE ( SPRINGER SBM TWO

GMBH)


2,000,000.00 ICELTD FLOATSTRETFORD SEVENTY NINE Floating GBP 2,507,999.99Senior Secured

2,210,526.32 TERM LOAN BSWISSPORT GROUP SARL Floating EUR 2,210,526.32Senior Secured

4,000,000.00 LABFP FLOAT CORPSYNLAB BONDCO PLC Floating EUR 4,000,000.00Senior Secured

500,000.00 LABFP 8SYNLAB UNSECURED BONDCO PLC. Fixed EUR 500,000.00Senior Unsecured

1,440,000.00 FACILITY BTACKLE SARL Floating EUR 1,440,000.00Senior Secured

1,066,666.67 FACILITY BTAGHLEEF INDUSTRIES TOPCO LIMITED Floating EUR 1,066,666.67Senior Secured

686,239.88 TERM LOAN EURTECHNICOLOR S.A. Floating EUR 686,239.88Senior Secured

392,755.66 TRANCHE B-2 TERM LOANS

HYPO

TEKNI-PLEX INC Floating EUR 392,755.66Senior Secured

1,600,000.00 FACILITY ATELE COLUMBUS AG Floating EUR 1,600,000.00Senior Secured

500,000.00 INCREMENTAL FACILITYTELE COLUMBUS AG Floating EUR 500,000.00Senior Secured

5,056,451.61 TERM LOAN FACILITY AETELENET INTERNATIONAL FINANCE S.A.R.L. Floating EUR 5,056,451.61Senior Secured

1,680,000.03 INCREMENTAL EURO TERM

LOANS

TEREX CORP Floating EUR 1,680,000.03Senior Secured

1,980,000.00 INITIAL EURO TERM LOANTI GROUP AUTO SYSTEMS LLC Floating EUR 1,980,000.00Senior Secured

3,240,740.74 TERM B1TMF GROUP HOLDING BV Floating EUR 3,240,740.74Senior Secured

1,039,473.68 TERM LOAN BTRINSEO MATERIALS OP SCA (STYRON) Floating USD 924,092.10Senior Secured





Type


Amount

(EUR)

Notional

Amount (CCY)

5,800,000.00 FACILITY B2TUNSTALL HOLDINGS Floating EUR 5,800,000.00Senior Secured

3,000,000.00 TWSSBS FLOATTWIN SET Floating EUR 3,000,000.00Senior Secured

1,411,602.01 NEW EUR TLUNIFRAX I LLC Floating EUR 1,411,602.01Senior Secured

2,564,102.56 FACILITY BUNILABS DIAGNOSTICS AB Floating EUR 2,564,102.56Senior Secured

2,000,000.00 UNIVEG 7UNIVEG Fixed EUR 2,000,000.00Senior Unsecured

1,500,000.00 TERM LOAN B1VALEO F1 COMPANY LIMITED Floating EUR 1,500,000.00Senior Secured

3,600,000.00 FACILITY BVEDICI Floating EUR 3,600,000.00Senior Secured

1,627,660.66 FACILITY B2VERALLIA PACKAGING SAS Floating EUR 1,627,660.66Senior Secured

3,594,561.56 FACILITY B2VERALLIA PACKAGING SAS Floating EUR 3,594,561.56Senior Secured

5,813,953.49 EURO TERM LOAN B1VERISURE HOLDING AB Floating EUR 5,813,953.49Senior Secured

1,334,000.00 VERITS 7 02/01/23 CORPVERITAS US INC Fixed EUR 1,334,000.00Senior Secured

3,423,655.92 INITIAL EURO TERM B-1VERITAS US INC Floating EUR 3,423,655.92Senior Secured

384,615.39 EUR TERM LOAN BVISTRA GROUP HOLDINGS (BVI) II LIMITED Floating EUR 384,615.39Senior Secured

4,150,000.00 VEUCIN FLOATVUE INTERNATIONAL BIDCO Floating EUR 4,150,000.00Senior Secured

1,385,416.67 EUR TERM LOAN B-1WESTERN DIGITAL CORP Floating EUR 1,385,416.67Senior Secured

3,264,705.88 FACILITY BWOWMIDCO SAS Floating EUR 3,264,705.88Senior Secured

1,475,409.84 FACILITY GXELLA INTERNATIONAL GMBH Floating EUR 1,475,409.84Senior Secured

3,423,243.92 FACILITY B1YELLOW MAPLE HOLDING B.V. Floating EUR 3,423,243.92Senior Secured

2,973,880.15 TERM LOAN FACILITY CZIGGO SECURED FINANCE BV Floating EUR 2,973,880.15Senior Secured

1,026,119.85 TERM LOAN FACILITY CZIGGO SECURED FINANCE BV Floating EUR 1,026,119.85Senior Secured

411,432,967.48


Risk Retention Letter as of 30-Nov-2016


“The Retention Holder has confirmed, as of the date of this Monthly Report, its compliance with the covenants set out in paragraph (a) and (b) of the Risk Retention Letter, namely that it has retained a material net economic

interest in the transaction of not less than 5 % of the nominal value of each Class of Notes within the meaning of paragraph 1(a) of the CRD Retention Requirements and Art. 51(a) of the AIFMD Requirements and it agrees not

to sell, hedge or otherwise mitigate its credit risk under or associated with the Retention Notes or the underlying portfolio of Collateral Obligations, except to the extent required or permitted in accordance with the Retention

Requirements.”


Documents

Harvest CLO VIII DAC – Monthly Report