ALME Loan Funding III Limited As Of: 04-Apr-17 Next ... · Page 3 of 66 Distribution Summary ALME...

ALME Loan Funding III Limited As Of:Next Payment:

04-Apr-1718-Apr-1717-Jan-17

Payment Date Report

Prior Payment:CDO Trust Serviceswww.usbank.com/cdo

George Spafford0207 330 2176george.spafford@usbank.com

Electronic Reports

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

Payment Data File Name:

ALME1402

Account SummaryALME1402_20170404_D_1.CSV

Transaction DetailALME1402_20170404_D_2.CSV

Test HistoryALME1402_20170404_D_3.CSV

Asset DetailALME1402_20170404_D_4.CSV

SIFMAALME1402_20170404_SIFMA.XML

Relevant Dates

Issue Date: 11-Dec-14

First Payment Date: 15-Jul-15

Effective Date: 22-Apr-15

Reinvestment Period End Date: 15-Jan-19

Compliance Information Pages

Summary 2

Distribution Summary 3

Distribution Detail - Interest Proceeds 4 - 5

Distribution Detail - Principal Proceeds 6 - 8

Administrative Expenses Detail 9

Proceeds Account Summary 10

Coverage and Collateral Quality Tests Summary 11

Interest Coverage Tests Detail 12

Par Value Tests Detail 13

Caa Obligations 14

CCC Obligations 15

Coverage Tests History - Part I 16

Coverage Tests History - Part II 17

Coverage Tests History - Part III 18

Coverage Tests History - Part IV 19

Collateral Quality Tests History - Part I 20

Collateral Quality Tests History - Part II 21

Collateral Quality Tests History - Part III 22

Collateral Principal Amount for Portfolio Profile Tests 23

Portfolio Profile Tests Summary 24 - 25

Eligible Investments 26

Asset Detail Information Pages

Assets Purchased 27

Assets Sold 28

Current Asset Characteristics - Part I 29 - 32

Current Asset Characteristics - Part II 33 - 36

Current Asset Characteristics - Part III 37 - 40

Defaulted Obligations and Deferring Securities 41

Discount Obligations and Swapped Non-Discount

Obligations

Collateral Enhancement Obligations and Exchanged

Equity Securities

Participation Information 44

Restructured Obligations - Additions 45

Restructured Obligations - Removals 46

Rating Detail - Public 47 - 50

Rating Change History - Public 51

Rating Change History - Shadow/Private 52

Hedge Transactions Detail (Purchase Lots) 53

Hedge Counterparty Ratings 54

Intra-Period Collection Account Detail 55 - 60

Statistical Information Pages

Stratifications - Countries 61

Stratifications - Obligors (10 Largest) 62

Stratifications - Industries 63

Risk Retention 64

Additional Notices 65

Disclaimer 66

Information is available from the following sources

www.usbank.com/cdoU.S. Bank Web Site

Contact Information

Issuer: ALME Loan Funding III DAC

Collateral Manager: Apollo Management International LLP

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

ALME Loan Funding III Limited As Of:Current Payment:

04-Apr-1718-Apr-17

Summary

CDO Trust Serviceswww.usbank.com/cdo

Note Information

Original Original Current InterestFitch

Coupon Balance Balance Payment CouponIndex Orig Curr

ExpectedMoody's

CurrOrig

Class A-1 Notes 1.43472% 233,700,000.00 233,700,000.00 532,836.00 -0.32700% 0.90300% Aaa Aaa AAA AAA

Class A-2 Notes 1.71100% 5,300,000.00 5,300,000.00 22,949.00 N/A 1.71100% Aaa Aaa AAA AAA

Class B-1 Notes 2.20472% 26,400,000.00 26,400,000.00 111,672.00 -0.32700% 1.67300% Aa2 Aa2 AA+ AA+

Class B-2 Notes 2.65400% 17,100,000.00 17,100,000.00 114,741.00 N/A 2.65400% Aa2 Aa2 AA+ AA+

Class C Notes 2.85472% 24,000,000.00 24,000,000.00 140,880.00 -0.32700% 2.32300% A2 A2 A+ A+

Class D Notes 3.65472% 23,000,000.00 23,000,000.00 181,470.00 -0.32700% 3.12300% Baa3 Baa3 BBB+ BBB+

Class E Notes 5.65472% 27,750,000.00 27,750,000.00 359,362.50 -0.32700% 5.12300% Ba2 Ba2 BB BB

Class F Notes 6.75472% 11,000,000.00 11,000,000.00 173,030.00 -0.32700% 6.22300% B2 B2 B- B-

Class PTC Notes N/A 42,850,000.00 42,850,000.00 N/A N/A N/A NR NR NR NR

Totals: 1,636,940.50 411,100,000.00 411,100,000.00

Asset Positions

Current PriorPosition (1) Count

136 400,276,597.89 134 397,381,083.17 Senior Secured Loan

- - - - Mezzanine Obligation

- - - - Senior Unsecured Loan

- - - - Second Lien Loan

1 1,134,000.00 - - High Yield Bond

- - - - Senior Secured Note

- - - - Warrants

- - - - Common Stock

- (3,886,915.10) - (163,275.98)Balance in PRINCIPAL ACCOUNT

- 3,741,629.57 - 3,741,629.57 Unfunded Commitments

400,959,436.76 134 401,265,312.36 137Totals:

Test Summary

Test Type Pass Fail N/A

Coverage 10 0 0

Quality 7 0 0

Portfolio Profile 32 0 0

Totals: 49 0 0

Distribution Summary

04-Apr-1718-Apr-17

Original

Face Value

Opening

% of Orig Bal

Balance

Payment

PrincipalAdj. or Loss

Closing

Balance

Accrued

InterestPrincipal

% of Orig Bal Due

Repayment

of Deferred

Interest

PaymentRate

Interest

Curr/Next

-0.327000%

0.000000 %

Current Euribor:

Next Euribor:

Class A-1 NotesXS1121966763 / 112196676

233,700,000.00 233,700,000.00 -

100.00%

233,700,000.00 -

100.00%

532,836.00 -

0.9030000000%

1.2300000000%

Class A-2 Notes NXS1130654277 / 113065427

5,300,000.00 5,300,000.00 -

100.00%

5,300,000.00 -

100.00%

22,949.00 -

1.7110000000%

Class B-1 Notes NXS1121969866 / 112196986

26,400,000.00 26,400,000.00 -

100.00%

26,400,000.00 -

100.00%

111,672.00 -

1.6730000000%

2.0000000000%

Class B-2 Notes NXS1130664409 / 113066440

17,100,000.00 17,100,000.00 -

100.00%

17,100,000.00 -

100.00%

114,741.00 -

2.6540000000%

Class C Notes NXS1121972498 / 112197249

24,000,000.00 24,000,000.00 -

100.00%

24,000,000.00 -

100.00%

140,880.00 -

2.3230000000%

2.6500000000%

Class D Notes NXS1121976648 / 112197664

23,000,000.00 23,000,000.00 -

100.00%

23,000,000.00 -

100.00%

181,470.00 -

3.1230000000%

3.4500000000%

Class E Notes NXS1121980087 / 112198008

27,750,000.00 27,750,000.00 -

100.00%

27,750,000.00 -

100.00%

359,362.50 -

5.1230000000%

5.4500000000%

Class F Notes NXS1121984154 / 112198415

11,000,000.00 11,000,000.00 -

100.00%

11,000,000.00 -

100.00%

173,030.00 -

6.2230000000%

6.5500000000%

Class PTC Notes112198416 / 112198416

42,850,000.00 42,850,000.00 -

100.00%

42,850,000.00 -

100.00%

2,063,271.10 -

Totals: 411,100,000.00 411,100,000.00 0.00 0.00 411,100,000.00 1,636,940.50 0.00 3,700,211.60

Priority Name Amount

04-Apr-1718-Apr-17

Distribution Detail - Interest Proceeds

Available Interest Proceeds: 4,251,831.65

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

(A)(ii) Payment of the Issuer Profit Amount to be retained by the Issuer 250.00

(B) Payment of accrued and unpaid Trustee Fees and Expenses, up to an amount equal to the Senior Expenses Cap 50,166.60

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

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

(E)(1) Payment of the Senior Investment Management Fee due and payable on the current Payment Date 150,361.03

(E)(2) Payment of any Senior Investment Management Fee previously due and not paid on any prior Payment Date -

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

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

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

(G)(i) Interest Amounts due and payable on the Class A-1 Notes 532,836.00

(G)(ii) Interest Amounts due and payable on the Class A-2 Notes 22,949.00

(H)(i) Interest Amounts due and payable on the Class B-1 Notes 111,672.00

(H)(ii) Interest Amounts due and payable on the Class B-2 Notes 114,741.00

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

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

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

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

(J) Interest Amounts due and payable on the Class C Notes (including any interest on Deferred Interest) 140,880.00

(K) Deferred Interest on the Class C Notes -

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

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

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

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

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

(M) Interest Amounts due and payable on the Class D Notes (including any interest on Deferred Interest) 181,470.00

(N) Deferred Interest on the Class D Notes -

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

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

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

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

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

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

(P) Interest Amounts due and payable on the Class E Notes (including any interest on Deferred Interest) 359,362.50

(Q) Deferred Interest on the Class E Notes -

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

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

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

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

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

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

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

(S) Interest Amounts due and payable on the Class F Notes (including any interest on Deferred Interest) 173,030.00

(T) Deferred Interest on the Class F Notes -

04-Apr-1718-Apr-17

Distribution Detail - Interest Proceeds

(U)(i) Redemption of Class A-1 Notes due to a Class F Par Value Test breach -

(U)(ii) Redemption of Class A-2 Notes due to a Class F Par Value Test breach -

(U)(iii) Redemption of Class B-1 Notes due to a Class F Par Value Test breach -

(U)(iv) Redemption of Class B-2 Notes due to a Class F Par Value Test breach -

(U)(v) Redemption of Class C Notes due to a Class F Par Value Test breach -

(U)(vi) Redemption of Class D Notes due to a Class F Par Value Test breach -

(U)(vii) Redemption of Class E Notes due to a Class F Par Value Test breach -

(U)(viii) Redemption of Class F Notes due to a Class F Par Value Test breach -

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

(V)(ii) Redemption of Class A-2 Notes due to an Effective Date Rating Event -

(V)(iii) Redemption of Class B-1 Notes due to an Effective Date Rating Event -

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

(V)(v) Redemption of Class C Notes due to an Effective Date Rating Event -

(V)(vi) Redemption of Class D Notes due to an Effective Date Rating Event -

(V)(vii) Redemption of Class E Notes due to an Effective Date Rating Event -

(V)(viii) Redemption of Class F Notes due to an Effective Date Rating Event -

(W) To the Principal Account due to a Reinvestment Overcollateralisation Test breach -

(X)(i) Payment of the Subordinated Investment Management Fee due and payable on the current Payment Date 350,842.42

(X)(ii) Payment of any Subordinated Investment Management Fee previously due and not paid on any prior Payment Date -

(X)(iii) Payment of any Deferred Senior Investment Management Amounts and Deferred Subordinated Investment Management Amounts -

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

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

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

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

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

(CC)(1) Until the IRR Threshold is reached, any remaining Interest Proceeds to the payment of interest on the PTC Notes 2,063,271.10

(CC)(2)(a) Once the IRR Threshold is reached, 20 per cent. of any remaining Interest Proceeds, to the payment of the Incentive Investment Management Fee -

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

(CC)(2)(c) Once the IRR Threshold is reached, any remaining Interest Proceeds to the payment of interest on the PTC Notes -

4,251,831.65 Total:

Balance in the Interest Account after the Payment Date: -

04-Apr-1718-Apr-17

Distribution Detail - Principal Proceeds

Available Principal Proceeds: 32,531,265.98

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

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

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

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

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

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

(A)(E)(2) Payment of any Senior Investment Management Fee previously due and not paid on any prior Payment Date -

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

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

(A)(F)(iii) Payment on a pro rata basis of any amounts due on termination of a Securities Lending Agreement, if no event of default has occurred -

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

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

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

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

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

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

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

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

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

(D)(K) Deferred Interest on the Class C Notes -

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

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

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

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

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

(F)(M) Interest Amounts due and payable on the Class D Notes (including any interest on Deferred Interest) -

(G)(N) Deferred Interest on the Class D Notes -

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

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

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

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

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

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

(I)(P) Interest Amounts due and payable on the Class E Notes (including any interest on Deferred Interest) -

(J)(Q) Deferred Interest on the Class E Notes -

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

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

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

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

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

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

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

(L)(S) Interest Amounts due and payable on the Class F Notes (including any interest on Deferred Interest) -

(M)(T) Deferred Interest on the Class F Notes -

04-Apr-1718-Apr-17

(N)(U)(i) Redemption of Class A-1 Notes due to a Class F Par Value Test breach -

(N)(U)(ii) Redemption of Class A-2 Notes due to a Class F Par Value Test breach -

(N)(U)(iii) Redemption of Class B-1 Notes due to a Class F Par Value Test breach -

(N)(U)(iv) Redemption of Class B-2 Notes due to a Class F Par Value Test breach -

(N)(U)(v) Redemption of Class C Notes due to a Class F Par Value Test breach -

(N)(U)(vi) Redemption of Class D Notes due to a Class F Par Value Test breach -

(N)(U)(vii) Redemption of Class E Notes due to a Class F Par Value Test breach -

(N)(U)(viii) Redemption of Class F Notes due to a Class F Par Value Test breach -

(O)(V)(i) Redemption of Class A-1 Notes due to an Effective Date Rating Event -

(O)(V)(ii) Redemption of Class A-2 Notes due to an Effective Date Rating Event -

(O)(V)(iii) Redemption of Class B-1 Notes due to an Effective Date Rating Event -

(O)(V)(iv) Redemption of Class B-2 Notes due to an Effective Date Rating Event -

(O)(V)(v) Redemption of Class C Notes due to an Effective Date Rating Event -

(O)(V)(vi) Redemption of Class D Notes due to an Effective Date Rating Event -

(O)(V)(vii) Redemption of Class E Notes due to an Effective Date Rating Event -

(O)(V)(viii) Redemption of Class F Notes due to an Effective Date Rating Event -

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

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

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

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

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

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

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

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

(Q)(1)(i) During the Reinvestment Period, at the discretion of the Collateral Manager, to the purchase of Substitute Collateral Debt Obligations 32,531,265.98

(Q)(1)(ii) During the Reinvestment Period, at the discretion of the Collateral Manager, to the Principal Account -

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

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

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

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

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

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

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

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

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

(S)(X)(i) Payment of the Subordinated Investment Management Fee due and payable on the current Payment Date -

(S)(X)(ii) Payment of any Subordinated Investment Management Fee previously due and not paid on any prior Payment Date -

(S)(X)(iii) Payment of any Deferred Senior Investment Management Amounts and Deferred Subordinated Investment Management Amounts -

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

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

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

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

(T) To any Reinvesting Holder, any Reinvestment Amounts contributed and not previously paid -

(U)(1) Until the IRR Threshold is reached, any remaining Principal Proceeds to redeem the PTC Notes on a pro rata basis -

(U)(2)(a) Once the IRR Threshold is reached, 20 per cent. of any remaining Principal Proceeds, to the payment of the Incentive Investment Management Fee -

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

(U)(2)(c) Once the IRR Threshold is reached, any remaining Principal Proceeds to redeem the PTC Notes on a pro rata basis -

04-Apr-1718-Apr-17

32,531,265.98 Total:

Balance in the Principal Account after the Payment Date: -

Current Itemized Administrative Expenses

Name Amount Paid

04-Apr-1718-Apr-17

Administrative Expenses Detail

Amount DueDescription

Total: -

04-Apr-1718-Apr-17

Proceeds Account Summary

AccountOpening

Balance Deposits WithdrawalsEnding

Balance

Accounts Summary

Balance

ALME III CTPY DOWNGRADE ACCOUNT - - - - -

ALME III EXPENSE RESERVE ACCOUNT - - - - -

ALME III FIRST PERIOD RESERVE ACCOUN - - - - -

ALME III HEDGE ACCOUNT - - - - -

ALME III INTEREST ACCOUNT 2,215,310.80 2,070,500.10 33,979.25 4,251,831.65 4,251,831.65

ALME III INTEREST SMOOTHING ACCOUNT - - - - -

ALME III PAYMENT ACCOUNT 0.03 - - 0.03 0.03

ALME III PRINCIPAL ACCOUNT 23,018,547.46 23,750,119.84 14,237,401.32 32,531,265.98 32,531,265.98

ALME III SUPP RESERVE ACCOUNT - - - - -

ALME III UNFUNDED REVOLVER RES ACC - - - - -

ALME III UNUSED PROCEEDS ACCOUNT - - - - -

Totals: 25,233,858.29 25,820,619.94 14,271,380.57 36,783,097.66 36,783,097.66

ALME III GBP CURRENCY ACCOUNT 93,399.22 1,472,904.17 1,501,432.34 64,871.05 77,293.86

Totals: 93,399.22 1,472,904.17 1,501,432.34 64,871.05 77,293.86

ALME III USD CURRENCY ACCOUNT 32,858.21 172,942.58 172,121.99 33,678.80 30,189.68

Totals: 32,858.21 172,942.58 172,121.99 33,678.80 30,189.68

Please Note: All balances are as of the cash settled date.

04-Apr-1718-Apr-17

Coverage and Collateral Quality Tests Summary

Effective

Number Description Prior Current Trigger Max / Min

Coverage Tests

Result

141.93%142.04% 1 Class A/B Par Value Test 142.04% PassMinimum132.59%

130.82%130.92% 2 Class C Par Value Test 130.92% PassMinimum123.51%

121.69%121.78% 3 Class D Par Value Test 121.78% PassMinimum115.40%

112.23%112.32% 4 Class E Par Value Test 112.32% PassMinimum106.97%

108.88%108.96% 5 Class F Par Value Test 108.97% PassMinimum104.62%

108.88%108.96% 6 Reinvestment Overcollateralisation Test 108.97% PassMinimum104.62%

500.69%350.75% 7 Class A/B Interest Coverage Test 517.91% PassMinimum120.00%

424.28%304.18% 8 Class C Interest Coverage Test 438.86% PassMinimum110.00%

354.57%261.57% 9 Class D Interest Coverage Test 366.76% PassMinimum105.00%

267.53%207.35% 10 Class E Interest Coverage Test 276.73% PassMinimum101.00%

Effective

Collateral Quality Tests

Result

4.43%4.47% 1 Minimum Weighted Average Floating Spread Test 4.30% PassMinimum4.25%

32.1732.97 2 Fitch Maximum Weighted Average Rating Factor Test 32.24 PassMaximum33.50

66.00%67.60% 3 Fitch Minimum Weighted Average Recovery Rate Test 66.40% PassMinimum65.26%

42.2239.50 4 Moody's Minimum Diversity Test 42.75 PassMinimum34.00

2,6802,695 5 Moody's Maximum Weighted Average Rating Factor Test 2,659 PassMaximum3,226

45.40%46.60% 6 Moody's Minimum Weighted Average Recovery Rate Test 45.70% PassMinimum42.00%

5.255.59 7 Weighted Average Life Test 5.33 PassMaximum5.69

Effective

Additional Information

Result

8.29%0.22% 1 Discretionary Sales Test 8.08% PassMaximum25.00%

04-Apr-1718-Apr-17

Interest Coverage Tests Detail

Calculation ResultMinimumRatio

517.9% 120.0% PassA / (B+C)Class A/B Interest Coverage Test

438.9% 110.0% PassA / (B+C+D)Class C Interest Coverage Test

366.8% 105.0% PassA / (B+C+D+E)Class D Interest Coverage Test

276.7% 101.0% PassA / (B+C+D+E+F)Class E Interest Coverage Test

Received:

Balance standing to the credit of the Interest Account 4,251,831.65

4,251,831.65

Projected:

Scheduled Interest Payments 0.00

Scheduled Commitment Fees 0.00

Projected Reinvestment Income on Collateral Debt Obligations 0.00

Projected Reinvestment Income on Cash Accounts 0.00

Minus:

(A) Issuer Profit Amount and any taxes owed to be retained by the Issuer for Irish tax purposes 250.00

(B) Accrued and unpaid Trustee Fees and Expenses 50,166.60

(C) Accrued and unpaid Administrative Expenses 0.00

(D) Expense Reserve Amounts 0.00

(E) Senior Investment Management Fee 150,361.03

(F)(i) Scheduled Periodic Hedge Issuer Payments 0.00

(F)(ii) Any Currency Hedge Issuer Termination Payments 0.00

200,777.63

Scheduled Periodic Hedge Counterparty Payments 0.00

Amounts payable from the Expenses Reserve Account/First Period Reserve Account 0.00

Minus:

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

4,051,054.02 (A)Interest Coverage Amount:

Notes:

Interest payment due on the Class A Notes 555,785.00 (B)

Interest payment due on the Class B Notes 226,413.00 (C)

Interest payment due on the Class C Notes 140,880.00 (D)

Interest payment due on the Class D Notes 181,470.00 (E)

Interest payment due on the Class E Notes 359,362.50 (F)

04-Apr-1718-Apr-17

Par Value Tests Detail

Calculation ResultRatio Minimum

142.04% 132.59% PassA / (B+C)Class A/B Par Value Test

130.92% 123.51% PassA / (B+C+D)Class C Par Value Test

121.78% 115.40% PassA / (B+C+D+E)Class D Par Value Test

112.32% 106.97% PassA / (B+C+D+E+F)Class E Par Value Test

108.97% 104.62% PassA / (B+C+D+E+F+G)Class F Par Value Test

108.97% 104.62% PassA / (B+C+D+E+F+G)Reinvestment Overcollateralisation Test

Collateral:

Aggregate Principal Balance of Collateral Debt Obligations 405,152,227.46

405,152,227.46

Minus:

Principal Balance of Defaulted Obligations 0.00

Principal Balance of Deferring Securities 0.00

Principal Balance of Discount Obligations 0.00

Calculation Amount of Defaulted Obligations 0.00

Calculation Amount of Deferring Securities 0.00

Calculation Amount of Discount Obligations 0.00

Balance standing to the credit of the Principal Account (3,886,915.10)

Balance standing to the credit of the Unused Proceeds Account 0.00

(3,886,915.10)

Minus:

Excess CCC/Caa Adjustment Amount 0.00

401,265,312.36 (A)Adjusted Collateral Principal Amount:

Notes:

Principal Amount Outstanding of the Class A Notes 239,000,000.00 (B)

Principal Amount Outstanding of the Class B Notes 43,500,000.00 (C)

Principal Amount Outstanding of the Class C Notes 24,000,000.00 (D)

Principal Amount Outstanding of the Class D Notes 23,000,000.00 (E)

Principal Amount Outstanding of the Class E Notes 27,750,000.00 (F)

Principal Amount Outstanding of the Class F Notes 11,000,000.00 (G)

Market ValuePrincipal BalanceSecurity DescriptionIssue/Facility NameSecurity I.D.

04-Apr-1718-Apr-17

Caa Obligations

Moody's Rating

5,400,163.00 Senior Secured LoanCAREUK Float 07/15/19EK3632040 Caa1

1,134,000.00 High Yield BondCERBA 5 3/8 15/04/2025AM9252025 Caa1

1,682,352.94 Senior Secured LoanDeoleo Term LoanBL0375008 Caa1

Caa Haircut SummaryItem ValueDescription

Collateral Principal Amount(a) 401,265,312.36

Excess Limit(b) 7.50%

Excess Threshold (a) x (b)(c) 30,094,898.43

Aggregate Principal Balance of Caa Obligations(d) 8,216,515.94

Total Caa Excess above Threshold(e) 0.00

Totals: 3

Market ValuePrincipal BalanceSecurity DescriptionIssue/Facility NameSecurity I.D.

04-Apr-1718-Apr-17

CCC Obligations

Fitch Rating

1,682,352.94 Senior Secured LoanDeoleo Term LoanBL0375008 Private

CCC Haircut SummaryItem ValueDescription

Collateral Principal Amount(a) 401,265,312.36

Excess Limit(b) 7.50%

Excess Threshold (a) x (b)(c) 30,094,898.43

Aggregate Principal Balance of CCC Obligations(d) 1,682,352.94

Total CCC Excess above Threshold(e) 0.00

Totals: 1

04-Apr-1718-Apr-17

Coverage Tests History - Part I

Period Actual Spread Result

Class C Par Value Test

Minimum

7.41% Pass123.51%04-Apr-17 130.92%

7.31% Pass123.51%03-Mar-17 130.82%

7.31% Pass123.51%03-Feb-17 130.82%

7.31% Pass123.51%04-Jan-17 130.82%

7.26% Pass123.51%05-Dec-16 130.77%

7.24% Pass123.51%02-Nov-16 130.75%

7.28% Pass123.51%04-Oct-16 130.79%

7.27% Pass123.51%02-Sep-16 130.78%

7.28% Pass123.51%03-Aug-16 130.79%

7.27% Pass123.51%05-Jul-16 130.78%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

MinimumActual

Class A/B Par Value Test

Minimum

9.45% Pass132.59%04-Apr-17 142.04%

9.34% Pass132.59%03-Mar-17 141.93%

9.34% Pass132.59%03-Feb-17 141.93%

9.34% Pass132.59%04-Jan-17 141.93%

9.29% Pass132.59%05-Dec-16 141.88%

9.26% Pass132.59%02-Nov-16 141.85%

9.31% Pass132.59%04-Oct-16 141.90%

9.30% Pass132.59%02-Sep-16 141.89%

9.31% Pass132.59%03-Aug-16 141.90%

9.30% Pass132.59%05-Jul-16 141.89%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Minimum

Class D Par Value Test

Minimum

6.38% Pass115.40%04-Apr-17 121.78%

6.29% Pass115.40%03-Mar-17 121.69%

6.29% Pass115.40%03-Feb-17 121.69%

6.29% Pass115.40%04-Jan-17 121.69%

6.25% Pass115.40%05-Dec-16 121.65%

6.22% Pass115.40%02-Nov-16 121.62%

6.26% Pass115.40%04-Oct-16 121.66%

6.25% Pass115.40%02-Sep-16 121.65%

6.26% Pass115.40%03-Aug-16 121.66%

6.25% Pass115.40%05-Jul-16 121.65%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Minimum

04-Apr-1718-Apr-17

Coverage Tests History - Part II

Class F Par Value Test

Minimum

4.35% Pass104.62%04-Apr-17 108.97%

4.26% Pass104.62%03-Mar-17 108.88%

4.26% Pass104.62%03-Feb-17 108.88%

4.26% Pass104.62%04-Jan-17 108.88%

4.22% Pass104.62%05-Dec-16 108.84%

4.20% Pass104.62%02-Nov-16 108.82%

4.24% Pass104.62%04-Oct-16 108.86%

4.23% Pass104.62%02-Sep-16 108.85%

4.24% Pass104.62%03-Aug-16 108.86%

4.23% Pass104.62%05-Jul-16 108.85%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Minimum

Class E Par Value Test

Minimum

5.35% Pass106.97%04-Apr-17 112.32%

5.26% Pass106.97%03-Mar-17 112.23%

5.26% Pass106.97%03-Feb-17 112.23%

5.27% Pass106.97%04-Jan-17 112.24%

5.23% Pass106.97%05-Dec-16 112.20%

5.20% Pass106.97%02-Nov-16 112.17%

5.24% Pass106.97%04-Oct-16 112.21%

5.23% Pass106.97%02-Sep-16 112.20%

5.24% Pass106.97%03-Aug-16 112.21%

5.23% Pass106.97%05-Jul-16 112.20%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

MinimumActual

Reinvestment Overcollateralisation Test

Minimum

4.35% Pass104.62%04-Apr-17 108.97%

4.26% Pass104.62%03-Mar-17 108.88%

4.26% Pass104.62%03-Feb-17 108.88%

4.26% Pass104.62%04-Jan-17 108.88%

4.22% Pass104.62%05-Dec-16 108.84%

4.20% Pass104.62%02-Nov-16 108.82%

4.24% Pass104.62%04-Oct-16 108.86%

4.23% Pass104.62%02-Sep-16 108.85%

4.24% Pass104.62%03-Aug-16 108.86%

4.23% Pass104.62%05-Jul-16 108.85%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

MinimumActual

04-Apr-1718-Apr-17

Coverage Tests History - Part III

Class C Interest Coverage Test

Minimum

328.86% Pass110.00%04-Apr-17 438.86%

314.28% Pass110.00%03-Mar-17 424.28%

314.35% Pass110.00%03-Feb-17 424.35%

295.45% Pass110.00%04-Jan-17 405.45%

323.47% Pass110.00%05-Dec-16 433.47%

318.31% Pass110.00%02-Nov-16 428.31%

336.20% Pass110.00%04-Oct-16 446.20%

322.72% Pass110.00%02-Sep-16 432.72%

319.05% Pass110.00%03-Aug-16 429.05%

332.55% Pass110.00%05-Jul-16 442.55%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Minimum

Class A/B Interest Coverage Test

Minimum

397.91% Pass120.00%04-Apr-17 517.91%

380.69% Pass120.00%03-Mar-17 500.69%

380.78% Pass120.00%03-Feb-17 500.78%

358.23% Pass120.00%04-Jan-17 478.23%

391.29% Pass120.00%05-Dec-16 511.29%

385.20% Pass120.00%02-Nov-16 505.20%

405.86% Pass120.00%04-Oct-16 525.86%

389.97% Pass120.00%02-Sep-16 509.97%

385.65% Pass120.00%03-Aug-16 505.65%

399.96% Pass120.00%05-Jul-16 519.96%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

MinimumActual

04-Apr-1718-Apr-17

Coverage Tests History - Part IV

Class D Interest Coverage Test

Minimum

261.76% Pass105.00%04-Apr-17 366.76%

249.57% Pass105.00%03-Mar-17 354.57%

249.63% Pass105.00%03-Feb-17 354.63%

234.11% Pass105.00%04-Jan-17 339.11%

257.55% Pass105.00%05-Dec-16 362.55%

253.23% Pass105.00%02-Nov-16 358.23%

268.55% Pass105.00%04-Oct-16 373.55%

257.26% Pass105.00%02-Sep-16 362.26%

254.19% Pass105.00%03-Aug-16 359.19%

266.83% Pass105.00%05-Jul-16 371.83%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Minimum

Class E Interest Coverage Test

Minimum

175.73% Pass101.00%04-Apr-17 276.73%

166.53% Pass101.00%03-Mar-17 267.53%

166.58% Pass101.00%03-Feb-17 267.58%

155.29% Pass101.00%04-Jan-17 256.29%

173.00% Pass101.00%05-Dec-16 274.00%

169.74% Pass101.00%02-Nov-16 270.74%

181.80% Pass101.00%04-Oct-16 282.80%

173.25% Pass101.00%02-Sep-16 274.25%

170.93% Pass101.00%03-Aug-16 271.93%

182.12% Pass101.00%05-Jul-16 283.12%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Minimum

04-Apr-1718-Apr-17

Collateral Quality Tests History - Part I

Moody's Minimum Weighted Average Recovery Rate Test

Minimum

3.70% Pass42.00%04-Apr-17 45.70%

3.40% Pass42.00%03-Mar-17 45.40%

3.50% Pass42.00%03-Feb-17 45.50%

3.50% Pass42.00%04-Jan-17 45.50%

3.60% Pass42.00%05-Dec-16 45.60%

3.40% Pass42.00%02-Nov-16 45.40%

3.60% Pass42.00%04-Oct-16 45.60%

3.50% Pass42.00%02-Sep-16 45.50%

3.60% Pass42.00%03-Aug-16 45.60%

3.70% Pass42.00%05-Jul-16 45.70%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Minimum

Moody's Maximum Weighted Average Rating Factor Test

Maximum

567 Pass3,22604-Apr-17 2,659

522 Pass3,20203-Mar-17 2,680

499 Pass3,21003-Feb-17 2,711

564 Pass3,21004-Jan-17 2,646

588 Pass3,21805-Dec-16 2,630

574 Pass3,20202-Nov-16 2,628

613 Pass3,21804-Oct-16 2,605

580 Pass3,21002-Sep-16 2,630

560 Pass3,21803-Aug-16 2,658

554 Pass3,22605-Jul-16 2,672

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Maximum

Moody's Minimum Diversity Test

Minimum

8.75 Pass34.0004-Apr-17 42.75

8.22 Pass34.0003-Mar-17 42.22

7.98 Pass34.0003-Feb-17 41.98

8.13 Pass34.0004-Jan-17 42.13

8.91 Pass34.0005-Dec-16 42.91

8.48 Pass34.0002-Nov-16 42.48

9.20 Pass34.0004-Oct-16 43.20

9.63 Pass34.0002-Sep-16 43.63

9.78 Pass34.0003-Aug-16 43.78

9.85 Pass34.0005-Jul-16 43.85

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Minimum

04-Apr-1718-Apr-17

Collateral Quality Tests History - Part II

Fitch Minimum Weighted Average Recovery Rate Test

Minimum

1.14% Pass65.26%04-Apr-17 66.40%

0.74% Pass65.26%03-Mar-17 66.00%

0.54% Pass65.26%03-Feb-17 65.80%

0.44% Pass65.26%04-Jan-17 65.70%

0.65% Pass66.15%05-Dec-16 66.80%

0.85% Pass66.15%02-Nov-16 67.00%

1.15% Pass66.15%04-Oct-16 67.30%

1.25% Pass66.15%02-Sep-16 67.40%

1.95% Pass66.15%03-Aug-16 68.10%

2.05% Pass66.15%05-Jul-16 68.20%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Minimum

Fitch Maximum Weighted Average Rating Factor Test

Maximum

1.26 Pass33.5004-Apr-17 32.24

1.33 Pass33.5003-Mar-17 32.17

1.15 Pass33.5003-Feb-17 32.35

1.23 Pass33.5004-Jan-17 32.27

1.97 Pass34.0005-Dec-16 32.03

1.51 Pass34.0002-Nov-16 32.49

1.74 Pass34.0004-Oct-16 32.26

1.87 Pass34.0002-Sep-16 32.13

1.91 Pass34.0003-Aug-16 32.09

1.54 Pass34.0005-Jul-16 32.46

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

Actual Maximum

04-Apr-1718-Apr-17

Collateral Quality Tests History - Part III

Weighted Average Life Test

Maximum

0.36 Pass5.6904-Apr-17 5.33

0.53 Pass5.7803-Mar-17 5.25

0.57 Pass5.8503-Feb-17 5.28

0.67 Pass5.9404-Jan-17 5.27

0.86 Pass6.0205-Dec-16 5.16

0.94 Pass6.1102-Nov-16 5.17

1.08 Pass6.1904-Oct-16 5.11

1.21 Pass6.2802-Sep-16 5.07

1.24 Pass6.3603-Aug-16 5.12

1.30 Pass6.4405-Jul-16 5.14

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

MaximumActual

Minimum Weighted Average Coupon Test

Minimum

0.27% Pass6.00%04-Apr-17 6.27%

0.54% Pass6.00%03-Mar-17 6.54%

0.54% Pass6.00%03-Feb-17 6.54%

0.54% Pass6.00%04-Jan-17 6.54%

0.73% Pass6.00%05-Dec-16 6.73%

0.73% Pass6.00%02-Nov-16 6.73%

0.48% Pass6.00%04-Oct-16 6.48%

0.60% Pass6.00%02-Sep-16 6.60%

0.60% Pass6.00%03-Aug-16 6.60%

0.88% Pass6.00%05-Jul-16 6.88%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

MinimumActual

Minimum Weighted Average Floating Spread Test

Minimum

0.05% Pass4.25%04-Apr-17 4.30%

0.18% Pass4.25%03-Mar-17 4.43%

0.24% Pass4.25%03-Feb-17 4.49%

0.30% Pass4.25%04-Jan-17 4.55%

0.29% Pass4.25%05-Dec-16 4.54%

0.36% Pass4.25%02-Nov-16 4.61%

0.36% Pass4.25%04-Oct-16 4.61%

0.43% Pass4.25%02-Sep-16 4.68%

0.46% Pass4.25%03-Aug-16 4.71%

0.43% Pass4.25%05-Jul-16 4.68%

05-Jul-16

03-Aug-16

02-Sep-16

04-Oct-16

02-Nov-16

05-Dec-16

04-Jan-17

03-Feb-17

03-Mar-17

04-Apr-17

MinimumActual

04-Apr-1718-Apr-17

Collateral Principal Amount for Portfolio Profile Tests

Aggregate Principal Balance of Collateral Debt Obligations (Excluding Defaulted Obligations) 405,152,227.46(a)

Balances standing to the credit of Principal Account (3,886,915.10)(b)

Balances standing to the credit of Unused Proceeds Account 0.00(c)

Eligible Investments representing Principal Proceeds 0.00(d)

401,265,312.36Collateral Principal Amount

Effective

Number Description Prior Current Trigger Max / Min Result

04-Apr-1718-Apr-17

Portfolio Profile Tests Summary

1 (a) Secured Senior Loans and Secured Senior Bonds 100.00% 100.00% 99.72% PassMinimum90.00%

2 (b) Unsecured Senior Loans, Second Lien Loans, Mezzanine Obligations and High Yield Bonds - - 0.28% PassMaximum10.00%

3 (c) Single Obligor Concentration of Non Secured Senior Loans and Secured Senior Bonds (Largest

Obligor)

- - 0.28% PassMaximum1.50%

4 (d)(i) Single Obligor Concentration of Secured Senior Loans and Secured Senior Bonds (Largest Obligor) 2.49% 2.77% 2.45% PassMaximum3.00%

5 (d)(ii) Single Obligor Concentration of Secured Senior Loans and Secured Senior Bonds (Fourth Largest

Obligor)

2.28% 1.98% 1.96% PassMaximum2.50%

6 (e) Single Obligor Concentration of Collateral Obligations (Largest Obligor) 2.49% 2.77% 2.45% PassMaximum3.00%

7 (f) Non-Euro Obligations 3.01% 2.67% 2.16% PassMaximum30.00%

8 (g) Participations - - - PassMaximum10.00%

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

10 (i) Revolving Obligations or Delayed Drawdown Obligations 1.25% 0.93% 0.93% PassMaximum5.00%

11 (j) Caa Obligations 1.74% 1.77% 2.05% PassMaximum7.50%

12 (k) CCC Obligations - 0.42% 0.42% PassMaximum7.50%

13 (l) Bridge Loans - - - PassMaximum3.00%

14 (m)(i) Corporate Rescue Loans - - - PassMaximum5.00%

15 (m)(ii) Single Obligor Concentration of Corporate Rescue Loans (Largest Obligor) - - - PassMaximum1.50%

16 (n) PIK Securities - 1.14% 1.14% PassMaximum5.00%

17 (o) Cov-Lite loans 3.11% 2.06% 2.65% PassMaximum20.00%

18 (p) Fixed Rate Collateral Debt Obligations - 1.13% 1.33% PassMaximum7.00%

19 (q) Annual Obligations - 0.74% 0.74% PassMaximum5.00%

20 (r)(i) Fitch Industry Concentration (Largest Industry) 11.82% 12.88% 15.06% PassMaximum17.50%

21 (r)(ii) Fitcth Industry Concentration (Aggregate of 3 Largest Industries) 31.34% 34.63% 35.02% PassMaximum40.00%

22 (s) Collateral Debt Obligations whose Moody's Rating is derived from an S&P Rating 4.49% 0.97% 0.97% PassMaximum10.00%

23 (t)(i) Obligors who are Domiciled in countries or jurisdiction rated at or below "A1" and no lower than "Baa3"

by Moody's

- 0.51% 0.51% PassMaximum10.00%

24 (t)(ii) Obligors who are Domiciled in countries or jurisdiction rated at or below "Baa1" and no lower than

"Baa3" by Moody's

- - - PassMaximum5.00%

25 (u) Obligors who are Domiciled in countries or jurisdiction rated below "AAA" by Fitch 8.77% 6.30% 6.30% PassMaximum10.00%

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

above by Fitch

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

or below by Fitch

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

"AAA" or below by Fitch

29 (v)(iv) Aggregate Third Party Credit Exposure to Selling Institutions rated "A1" or below by Moody's - - - PassMaximum10.00%

Effective

Number Description Prior Current Trigger Max / Min Result

04-Apr-1718-Apr-17

Portfolio Profile Tests Summary

30 (v)(v) Aggregate Third Party Credit Exposure to Selling Institutions rated "A+" or below by Fitch - - - PassMaximum5.00%

31 (v)(vi) Aggregate Third Party Credit Exposure to Selling Institutions rated "A2" or below by Moody's or "A"

or below by Fitch

32 (v)(vii) Aggregate Third Party Credit Exposure to Selling Institutions rated "A3" or below by Moody's or "A-"

or below by Fitch

Principal BalanceAnnual Interest Rate Maturity DateIssue/Facility NameSecurity ID

04-Apr-1718-Apr-17

Eligible Investments

Totals: 0

04-Apr-1718-Apr-17

Assets Purchased

Security I.D. Issue/Facility Name

Date Par Amount Price

Principal

Proceeds

Accrued

Interest

Amount

Affiliated

Seller

BL0460396 Allnex T/L B1 (EUR) New 10-Mar-17 1,058,394.20 100.00 1,058,394.20 - 1,058,394.20

BL0459802 Armacell EUR T/L B3 08-Mar-17 1,037,732.25 100.00 1,037,732.25 - 1,037,732.25

AM9239667 ARWLN Float 04/01/25 Corp 21-Mar-17 1,405,000.00 100.00 1,405,000.00 - 1,405,000.00

AM9252025 CERBA 5 3/8 15/04/2025 21-Mar-17 1,134,000.00 100.00 1,134,000.00 - 1,134,000.00

BL0460420 Cerba T/L 21-Mar-17 7,607,707.20 100.00 7,607,707.20 - 7,607,707.20

BL0462673 Chemours Company Term Loan 30-Mar-17 3,618,494.88 100.00 3,618,494.88 - 3,618,494.88

BL0459745 Eircom Holdings (NEW) 10-Mar-17 5,707,715.49 100.00 5,707,715.49 - 5,707,715.49

AN0756907 LOXAM 4 1/4 04/15/24 30-Mar-17 372,000.00 100.00 372,000.00 - 372,000.00

BL0460693 LSF9 Balta T/L B (MRH T/L B New) 10-Mar-17 2,539,683.00 99.00 2,514,286.17 - 2,514,286.17

BL0462343 OGF T/L B (03/17) 17-Mar-17 881,131.86 100.00 881,131.86 - 881,131.86

BL0459463 Parex T/L B 07-Mar-17 3,154,401.52 100.00 3,154,401.52 - 3,154,401.52

AM8376783 PROGRP Float 03/31/24 13-Mar-17 1,789,000.00 100.00 1,789,000.00 - 1,789,000.00

BL0463911 Telenet T/L New 04-Apr-17 7,000,000.00 99.75 6,982,500.00 - 6,982,500.00

BL0461642 Tipico T/L B 16-Mar-17 2,695,178.76 100.00 2,695,178.76 - 2,695,178.76

BL0461063 Unilabs Diagnostics T/L B2 22-Mar-17 1,406,144.00 100.00 1,406,144.00 - 1,406,144.00

BL0460537 Verisure T/L B1-D 08-Mar-17 2,430,704.25 100.00 2,430,704.25 - 2,430,704.25

Totals: 43,837,287.41 43,794,390.58 - 43,794,390.58 16

04-Apr-1718-Apr-17

Assets Sold

Security I.D. Issue/Facility Name Transaction Motivation

DatePar Amount Price

Principal

Proceeds

Accrued

Interest

Amount

Affiliated

Purchaser

1,424,847.78 - 1,439,096.26 101.00 1,424,847.78 07-Mar-17Credit Improved LoanParex T/L BBL0459463

1,729,553.74 - 1,749,011.22 101.13 1,729,553.74 07-Mar-17Credit Improved LoanParex T/L BBL0459463

1,037,732.25 - 1,050,703.90 101.25 1,037,732.25 08-Mar-17Credit Improved LoanArmacell EUR T/L B3BL0459802

2,311,333.33 - 2,322,890.00 100.50 2,311,333.33 15-Mar-17Credit Improved LoanDSM Polymers T/L B EURBL0400269

864,673.48 - 871,158.53 100.75 864,673.48 23-Mar-17Credit Improved LoanWestern Digital Technologies Inc T/L B2 (NEW)BL0460412 EUR

1,448,695.12 17,695.12 1,431,000.00 100.00 1,431,000.00 07-Mar-17Credit Improved SecurityPFDLN 0 03/15/20EK1148676

348,889.84 9,083.59 339,806.25 107.88 315,000.00 14-Mar-17Credit Improved SecurityLINCFI 6 7/8 04/15/21JK3965130 EUR

257,778.25 1,528.25 256,250.00 102.50 250,000.00 22-Mar-17Credit Improved SecurityAUTODIS SA FRN 03/05/2022AL0700735 EUR

257,868.15 1,618.15 256,250.00 102.50 250,000.00 23-Mar-17Credit Improved SecurityAUTODIS SA FRN 03/05/2022AL0700735 EUR

490,073.16 - 490,073.16 101.25 484,022.87 24-Mar-17Credit Improved LoanEURO Garages Incremental - C2BL0444911 EUR

770,103.15 - 770,103.15 101.25 760,595.70 22-Mar-17Credit Improved LoanEURO Garages Incremental - C2BL0444911 EUR

100,875.00 - 100,875.00 100.88 100,000.00 30-Mar-17DiscretionaryLOXAM 4 1/4 04/15/24AN0756907

Total: 14 11,230,759.15 11,351,178.21 29,925.11 11,316,383.99

PIK Rate

Market

Recovery

Moody's

Recovery

RateCouponSpreadFloorPrincipal Balance Maturity DateAsset TypeISIN/LoanX ID Issue/Facility NameSecurity I.D.

04-Apr-1718-Apr-17

Current Asset Characteristics - Part I

BL0421026 - - 54.00 45.00 4.25 4.25 6,551,282.05 25-Feb-22 - Senior Secured LoanAction Holding Term B - Add onLX150838

BL0460396 - - 79.00 45.00 3.25 3.25 1,058,394.20 13-Sep-23 - Senior Secured LoanAllnex T/L B1 (EUR) NewLX152755

BL0376345 - - 49.00 50.00 5.25 4.25 887,626.59 30-Aug-21 1.00 Senior Secured LoanAlstom Term Loan B1LX137858

BL0384117 - - 49.00 50.00 5.25 4.25 1,062,373.29 30-Aug-21 1.00 Senior Secured LoanAlstom Term Loan B2LX139119

BL0431272 - - 79.00 45.00 4.00 3.00 1,792,903.22 24-Jul-23 1.00 Senior Secured LoanAltice T/L B (EUR) NewLX153089

BL0403891 - - 60.00 45.00 6.00 5.00 2,801,840.53 01-Jul-22 1.00 Senior Secured LoanArchroma T/L BLX145174

BL0403503 - - 76.00 50.00 4.25 3.25 4,421,250.00 02-Feb-22 1.00 Senior Secured LoanAruba T/L B-1 (EUR)LX145177

AM9239667 - - 32.00 35.00 2.88 2.88 1,405,000.00 01-Apr-25 0.00 Senior Secured LoanARWLN Float 04/01/25 CorpXS1533918824

JK7883313 - - 32.00 35.00 4.75 4.75 3,295,000.00 01-May-23 0.00 Senior Secured LoanARWLN Float 05/01/23XS1396892751

AL0700735 - - 44.00 35.00 4.38 4.38 500,000.00 01-May-22 0.00 Senior Secured LoanAUTODIS SA FRN 03/05/2022XS1517169972

BL0449902 - - 100.00 60.00 3.00 2.25 3,783,384.40 01-Feb-23 0.75 Senior Secured LoanAxalta Coating System T/L B EURLX134952

BL0422180 - - 65.00 45.00 4.25 4.25 2,031,746.03 14-Mar-23 - Senior Secured LoanB&B T/LLX160115

BL0436289 - - 64.00 50.00 3.75 3.75 944,354.97 13-Aug-22 - Senior Secured LoanBeauty Holding T/L B15(formerly B8)LX159199

BL0436503 - - 64.00 50.00 3.75 3.75 575,437.41 13-Aug-22 - Senior Secured LoanBeauty Holding T/L B16 (formerly B9)LX160534

BL0436529 - - 64.00 50.00 3.75 3.75 986,582.93 13-Aug-22 - Senior Secured LoanBeauty Holding T/L B17(Formerly B10)LX160535

BL0436537 - - 64.00 50.00 3.75 3.75 1,464,238.84 13-Aug-22 - Senior Secured LoanBeauty Holding T/L B18 (formerly B11)LX160536

BL0436958 - - 53.00 45.00 5.25 5.25 1,794,402.66 01-Sep-23 - Senior Secured LoanBilfinger Term Loan B1 (Triangle FM

Services Holding GmbH)

LX154393

BL0437808 - - 53.00 45.00 5.25 5.25 717,761.06 01-Sep-23 - Senior Secured LoanBilfinger Term Loan B2 (Silenus)LX154417

EK2997626 - - 53.00 45.00 4.42 4.75 2,853,000.00 15-Jun-21 - Senior Secured LoanCABBCO Float 06/15/21XS1074935062

BL0449027 - - 50.00 45.00 3.75 3.75 3,797,430.09 31-Dec-23 - Senior Secured LoanCampbell T/L Add On BLX157881

BL0379836 - - 100.00 50.00 3.75 2.75 4,607,189.54 31-Jul-21 1.00 Senior Secured LoanCapsugel Euro Term LoanLX139256

EK3632040 - - 61.00 35.00 5.36 5.00 5,400,163.00 15-Jul-19 - Senior Secured LoanCAREUK Float 07/15/19XS1084818464

AL5725323 - - 62.00 35.00 4.75 4.75 4,955,000.00 15-Jun-23 0.00 Senior Secured LoanCARLTV Float 06/15/23XS1535991498

BL0373078 - - 100.00 50.00 3.50 2.50 4,874,757.50 20-May-21 1.00 Senior Secured LoanCatalent Pharma T/L B EURLX137091

AM9252025 - - 5.00 30.00 5.38 - 1,134,000.00 15-Apr-25 N/A High Yield BondCERBA 5 3/8 15/04/2025XS1584024837

BL0460420 - - 55.00 50.00 3.00 3.00 7,607,707.20 31-Mar-24 - Senior Secured LoanCerba T/LLX161320

BL0369332 - - 53.00 45.00 3.75 3.00 8,177,416.74 30-Jun-21 0.75 Senior Secured LoanCeva Sante Animale T/L BLX135736

BL0462673 - - 95.00 60.00 3.00 2.25 3,618,494.88 15-May-22 0.75 Senior Secured LoanChemours Company Term LoanLX161997

BL0435521 - - 95.00 45.00 4.25 3.50 3,211,617.28 07-Nov-23 0.75 Senior Secured LoanCoherent Holding T/L BLX153899

BL0393688 - - 43.00 45.00 4.00 3.00 6,090,766.82 29-Apr-22 1.00 Senior Secured LoanConstantia Term loan B1LX143296

BL0397762 - - 43.00 45.00 4.00 3.00 909,233.18 29-Apr-22 1.00 Senior Secured LoanConstantia Term loan B2LX143893

BL0455396 - - 77.00 45.00 3.50 3.50 2,099,623.90 30-Jan-23 - Senior Secured LoanCooper Pharma T/L B1 NewLX159934

BL0457103 - - 77.00 45.00 3.50 3.50 900,376.10 30-Jan-23 - Senior Secured LoanCoopers term loan B2 NewLX160654

BL0453656 - - 56.00 50.00 3.75 3.75 3,588,390.50 02-Feb-24 - Senior Secured LoanCorialis T/L BLX159920

BL0447161 - - 100.00 45.00 2.75 2.75 3,751,136.70 27-Oct-22 - Senior Secured LoanCoty Term Loan B1LX155917

BL0356719 - - 55.00 45.00 4.00 3.00 1,000,000.00 03-Dec-20 1.00 Senior Secured LoanCPA Global T/L BLX133726

BL0447013 - - 72.00 45.00 3.00 2.25 121,324.10 01-Jul-22 0.75 Senior Secured LoanDe Master Blenders T/L B3LX138200

BL0387433 - - 59.00 45.00 4.00 4.00 3,890,966.34 28-Oct-21 - Senior Secured LoanDelachaux T/L B1 AmendmentLX141055

BL0375008 - - 41.00 45.00 4.50 3.50 1,682,352.94 11-Jun-21 1.00 Senior Secured LoanDeoleo Term LoanLX137333

AL0227606 - - 53.00 25.00 4.25 4.25 951,000.00 15-Nov-21 0.00 Senior Secured LoanDMVIFR Float 11/15/21XS1513079571

BL0459745 - - 60.00 45.00 3.25 3.25 5,707,715.49 15-Mar-24 - Senior Secured LoanEircom Holdings (NEW)LX161434

PIK Rate

Market

Recovery

Moody's

Recovery

04-Apr-1718-Apr-17

BL0373383 - - 90.00 50.00 5.00 4.00 2,411,764.70 14-May-21 1.00 Senior Secured LoanERM T/L B2LX137157

BL0458838 - - 57.00 45.00 3.50 3.50 3,770,297.03 21-Jul-23 - Senior Secured LoanEthypharm New T/LLX160780

BL0444911 - - 51.00 45.00 5.00 5.00 9,357,775.39 31-Jan-23 - Senior Secured LoanEURO Garages Incremental - C2LX155859

BL0420259 - - 51.00 45.00 5.00 5.00 492,063.49 30-Jan-23 - Senior Secured LoanEuro Garages T/L B2LX149829

BL0414096 - - 79.00 45.00 3.75 3.75 2,292,689.00 25-Nov-22 - Senior Secured LoanEuskaltel T/L B3LX148798

BL0455636 - - 100.00 45.00 2.75 2.75 2,793,650.79 14-Feb-24 - Senior Secured LoanFerro Corporation T/LLX159762

BL0449795 - - 95.00 50.00 2.85 3.25 6,677,184.06 10-Jul-22 - Senior Secured LoanFirst Data 2022C New Term LoanLX157235

BL0372997 - - 57.00 45.00 3.75 3.00 319,933.85 07-Sep-21 0.75 Senior Secured LoanFlint Group TL 1LLX136879

BL0417594 - - 57.00 45.00 3.75 3.00 2,358,208.95 07-Sep-21 0.75 Senior Secured LoanFlint Term Loan B4LX149864

BL0460701 - - 42.00 45.00 3.50 3.50 4,046,963.00 07-Sep-23 - Senior Secured LoanFoncia T/L B NewLX161338

LW9190619 - - 66.00 30.00 6.00 - 647,000.00 15-Aug-21 N/A Senior Secured LoanGamenet SSN 21/Jul/21XS1458462428

BL0346918 - - 63.00 50.00 4.75 3.75 4,746,826.64 30-Jul-20 1.00 Senior Secured LoanGardner Denver T/L (EUR) (Renaissance

Acquisition)

LX128916

BL0375990 - - 63.00 50.00 4.25 3.25 2,382,537.27 06-Jul-21 1.00 Senior Secured LoanGates Global Euro Term LoanLX137852

AL0882525 - - 47.00 35.00 4.75 4.75 2,961,000.00 15-Nov-21 0.00 Senior Secured LoanGCLIM Float 15/11/21 CorpXS1516322465

BL0379984 - - 69.00 45.00 3.17 3.50 2,820,000.00 01-Oct-20 - Senior Secured LoanGenerale de Sante B1ALX139313

BL0314601 - - 74.00 50.00 4.75 3.75 4,423,851.35 20-Dec-19 1.00 Senior Secured LoanHoughton Dutch Term LoanLX127383

BL0444291 - - 63.00 45.00 4.50 4.50 3,296,234.03 31-Mar-22 - Senior Secured LoanHSE 24 T/L CLX155957

QJ7076673 - - 24.00 5.00 8.00 8.00 4,569,000.00 30-May-21 0.00 Senior Secured LoanICBPI FLoat 05/30/21 CorpXS1318393839

BL0456402 - - 70.00 50.00 3.25 2.50 3,552,426.82 31-Mar-22 0.75 Senior Secured LoanIneos Finance T/L 2022 NewLX160309

BL0456121 - - 70.00 50.00 3.25 2.50 1,506,261.35 01-Apr-24 0.75 Senior Secured LoanIneos New T/L 2024LX160134

BL0455230 - - 93.00 60.00 3.75 2.75 7,842,967.79 01-Feb-22 1.00 Senior Secured LoanInfor (Lawson) T/L B1LX159914

BL0401838 - - 76.00 50.00 4.50 3.50 3,598,293.55 05-Aug-22 1.00 Senior Secured LoanInformatica T/LLX144873

BL0413064 - - 36.00 45.00 4.75 4.75 3,555,918.37 22-Nov-22 - Senior Secured LoanInnovation Group EUR Term LoanLX148737

BL0397788 - - 100.00 50.00 7.50 6.50 3,252,976.36 08-Apr-22 1.00 Senior Secured LoanIntertain Group T/L BLX143634

BL0437212 - - 55.00 45.00 4.00 3.00 5,711,335.87 11-Aug-23 1.00 Senior Secured LoanION Trading B-1 Euro T/L (NEW)LX147780

BL0445744 - - 50.00 50.00 4.00 3.00 807,269.65 28-Apr-20 1.00 Senior Secured LoanKlockner Pentaplast Replacement

GMBHJ Euro T/L

LX155813

BL0444200 - - 50.00 50.00 4.00 3.00 912,214.70 28-Apr-20 1.00 Senior Secured LoanKlockner Pentaplast T/L (Replacement

ERSTE Euro)

LX155685

AL1055311 - - 60.00 35.00 3.50 3.50 7,854,000.00 01-Jul-22 0.00 Senior Secured LoanLABFP Float 07/01/22XS1516322200

BL0453987 - - 58.00 50.00 3.75 3.75 3,856,041.13 27-Jan-24 - Senior Secured LoanLGC Science EUR T/L B4LX159294

JK3965130 - - 60.00 30.00 6.88 - 2,024,000.00 15-Apr-21 N/A Senior Secured LoanLINCFI 6 7/8 04/15/21XS1319818057

EK4113867 - - 40.00 35.00 5.50 5.50 2,075,000.00 15-Aug-20 0.00 Senior Secured LoanLINDOR Float 08/15/20XS1094672273

BL0433302 - - 53.00 45.00 4.00 4.00 2,026,758.40 28-Jun-23 - Senior Secured LoanLogoplaste Term LoanLX153526

BL0460693 - - 55.00 45.00 5.00 5.00 2,539,683.00 15-Mar-22 - Senior Secured LoanLSF9 Balta T/L B (MRH T/L B New)LX161774

BL0444929 - - 100.00 45.00 4.75 3.75 1,714,629.44 07-Jun-23 1.00 Senior Secured LoanMacDermid T/L C3LX155518

BL0448235 - - 100.00 45.00 4.25 3.25 740,890.71 07-Jun-20 1.00 Senior Secured LoanMacDermid T/L C4LX157015

BL0380768 - - 58.00 45.00 4.75 4.75 3,000,000.00 13-Aug-21 - Senior Secured LoanMateris Paints T/L BLX140038

BL0447914 - - 39.00 45.00 4.50 4.50 6,669,456.36 28-Feb-22 - Senior Secured LoanMediq T/L B1LX156994

BL0393811 - - 39.00 45.00 4.50 4.50 657,716.94 28-Feb-22 - Senior Secured LoanMediq T/L B2LX127506

BL0399404 - - 100.00 50.00 3.75 2.75 2,360,954.88 20-Oct-21 1.00 Senior Secured LoanMPG Holdco T/L B2 (Metaldyne)LX144528

BL0449522 - - 63.00 45.00 4.00 4.00 1,904,761.91 14-Dec-23 - Senior Secured LoanMRH T/L B2 (LSF9 Robin Investments

LX157179

EK9646549 - - 60.00 45.00 4.50 4.50 1,614,000.00 01-Jul-22 0.00 Senior Secured LoanNEWLOK Float 07/01/22 CorpXS1248517341

PIK Rate

Market

Recovery

Moody's

Recovery

04-Apr-1718-Apr-17

BL0427296 - - 38.00 45.00 4.25 4.25 4,139,831.00 22-Jun-23 - Senior Secured LoanNovacap T/L BLX152525

BL0453490 - - 79.00 45.00 3.75 3.00 1,038,095.13 14-Jan-25 0.75 Senior Secured LoanNumericable Incremental T/L B10 (10/16)LX157661

BL0444937 - - 79.00 45.00 3.75 3.00 4,958,889.80 14-Jan-25 0.75 Senior Secured LoanNumericable Refinancing T/L B10LX155720

BL0449472 - - 60.00 45.00 3.75 3.75 2,319,372.71 15-Dec-23 - Senior Secured LoanOberthur T/L B1LX157594

BL0451262 - - 60.00 45.00 - 3.75 3,741,629.57 15-Dec-23 - Senior Secured LoanOberthur TL B2LX158095

BL0462343 - - 55.00 45.00 3.75 3.75 881,131.86 17-Mar-23 - Senior Secured LoanOGF T/L B (03/17)LX161834

BL0381279 - - 68.00 45.00 3.75 3.00 3,338,596.49 23-Jul-21 0.75 Senior Secured LoanOrion Engineered Term LoanLX139695

BL0383762 - - 100.00 50.00 4.50 3.50 5,879,093.20 11-Mar-21 1.00 Senior Secured LoanPatheon 2015 Incremental Euro T/LLX141220

BL0402653 - - 100.00 45.00 4.00 3.00 1,363,701.90 30-Aug-21 1.00 Senior Secured LoanPenn Engineering T/L C IncrementalLX144818

EJ9801923 - - 60.00 35.00 5.30 5.63 800,000.00 01-Dec-19 - Senior Secured LoanPORTAV 0 12/01/19XS0982712019

BL0426678 - - 100.00 50.00 5.00 4.00 2,107,376.88 04-Nov-22 1.00 Senior Secured LoanPQ Corp T/LLX156639

AM8376783 - - 71.00 45.00 2.50 2.50 1,789,000.00 31-Mar-24 0.00 Senior Secured LoanPROGRP Float 03/31/24DE000A2E4YY0

EK8804131 - - 71.00 45.00 4.17 4.50 1,500,000.13 01-May-22 - Senior Secured LoanPROGRP Float 05/01/22 CorpDE000A161GE9

BL0441479 - - 80.00 45.00 3.00 3.00 2,703,184.66 29-Sep-23 - Senior Secured LoanR&R Ice Cream T/L BLX154933

BL0401184 - - 82.00 50.00 4.25 3.25 1,950,200.00 01-Oct-21 1.00 Senior Secured LoanRanpak Tranche B1LX144512

LW8188093 - - 67.00 35.00 6.63 6.63 593,000.00 31-Jul-22 0.00 Senior Secured LoanSCHMAN Float 07/31/22 CorpXS1454976801

AL5702256 - - 60.00 30.00 6.25 - 1,531,000.00 15-Dec-23 N/A Senior Secured LoanSCHUBR 6 1/4 12/15/23XS1533933039

BL0463481 - - 60.00 45.00 3.50 3.50 5,433,319.70 17-Dec-21 - Senior Secured LoanSebia T/L B3A New

BL0452971 - - 60.00 45.00 3.50 3.50 1,221,702.17 17-Dec-21 - Senior Secured LoanSebia T/L B3BLX142742

BL0459455 - - 69.00 50.00 3.50 3.50 4,359,088.07 17-Jan-22 - Senior Secured LoanSiemens T/L B6LX160224

BL0392680 - - 61.00 50.00 3.75 3.75 7,013,484.09 13-Mar-22 - Senior Secured LoanSIG Combibloc T/LLX143111

BL0450421 - - 62.00 50.00 4.00 3.00 2,919,912.88 01-May-21 1.00 Senior Secured LoanSignode Industrial T/L B2LX158054

BL0449811 - - 53.00 45.00 4.25 4.25 5,534,332.96 03-Jan-24 - Senior Secured LoanSLV New T/LLX157317

QZ9789210 - - 53.00 35.00 6.00 6.00 2,205,000.00 07-Nov-21 0.00 Senior Secured LoanSNAIM Float 07/11/21 CorpXS1513692357

BL0422347 - - 100.00 60.00 3.75 3.00 4,837,945.98 28-Feb-23 0.75 Senior Secured LoanSolera Finance T/L BLX151195

BL0402554 - - 95.00 60.00 3.50 2.75 717,523.00 23-Jun-22 0.75 Senior Secured LoanSpectrum Brands T/L (EUR)LX144957

BL0395576 - - 70.00 45.00 4.50 3.50 1,497,414.77 14-Aug-20 1.00 Senior Secured LoanSpringer Science T/L B8LX143524

BL0460529 - - 95.00 40.00 3.25 2.50 846,727.09 08-Mar-24 0.75 Senior Secured LoanStyrolution (Ineos) T/L B (03/17)LX161339

BL0426280 - - 50.00 45.00 4.50 4.50 1,603,745.85 10-May-23 - Senior Secured LoanTaghleef T/L B1LX152515

BL0444218 - - 71.00 45.00 4.00 4.00 1,982,222.22 02-Jan-23 - Senior Secured LoanTele Columbus T/L New facility ALX141605

BL0463911 - - 80.00 45.00 3.00 3.00 7,000,000.00 15-Apr-26 - Senior Secured LoanTelenet T/L NewLX162328

BL0461642 - - 75.00 45.00 4.39 3.50 2,695,178.76 08-Aug-22 - Senior Secured LoanTipico T/L BLX161574

BL0441750 - - 61.00 45.00 4.00 4.00 1,054,373.53 16-Oct-23 - Senior Secured LoanTMF T/L B1LX155136

BL0446387 - - 61.00 45.00 4.00 4.00 468,534.47 13-Oct-23 - Senior Secured LoanTMF T/L B2LX156203

BL0444515 - - 62.00 45.00 4.38 4.38 3,440,000.00 28-Jun-21 - Senior Secured LoanUfinet Telecom Holdings T/LLX139895

BL0461063 - - 57.00 50.00 3.00 3.00 1,406,144.00 21-Mar-24 - Senior Secured LoanUnilabs Diagnostics T/L B2LX161584

BL0441537 - - 57.00 50.00 4.25 4.25 4,002,808.00 11-Oct-21 - Senior Secured LoanUnilabs Diagnostics TL B1LX155194

BL0403636 - - 81.00 45.00 3.75 3.75 634,397.45 19-Nov-21 - Senior Secured LoanUnited Biscuits Term Loan B2LX142370

BL0403875 - - 83.00 45.00 4.25 3.25 245,553.75 01-Jul-22 1.00 Senior Secured LoanUnivar T/LLX145475

BL0448375 - - 70.00 45.00 3.00 3.00 1,965,654.77 15-Jan-26 - Senior Secured LoanUPC T/L BLX157074

BL0456915 - - 53.00 45.00 3.75 3.75 4,401,827.27 30-Oct-22 - Senior Secured LoanVedici T/L B2LX146849

BL0449530 - - 62.00 50.00 3.75 3.25 4,542,438.60 21-Oct-22 0.50 Senior Secured LoanVerisure Holdings T/L B1-CLX157494

BL0460537 - - 62.00 50.00 3.00 3.00 2,430,704.25 21-Oct-22 - Senior Secured LoanVerisure T/L B1-DLX161341

EJ7472784 - - 57.00 35.00 4.92 5.25 5,000,000.00 15-Jul-20 - Senior Secured LoanVUECIN 0 07/15/20XS0953085627

EK5851887 - - 57.00 35.00 4.92 5.25 1,000,000.00 15-Jul-20 - Senior Secured LoanVUECIN FLT 7/15/20XS1135437280

PIK Rate

Market

Recovery

Moody's

Recovery

04-Apr-1718-Apr-17

BL0449100 - - 100.00 50.00 3.00 3.00 4,037,690.60 18-Jan-22 - Senior Secured LoanVWR T/L B2LX157040

BL0453755 - - 49.00 45.00 4.25 4.25 2,139,319.20 16-Mar-23 - Senior Secured LoanWebhelp T/L B2LX159174

BL0460412 - - 95.00 45.00 2.75 2.00 2,127,377.43 29-Apr-23 0.75 Senior Secured LoanWestern Digital Technologies Inc T/L B2

LX161282

BL0396103 - - 80.00 60.00 4.25 4.25 4,237,426.97 26-Nov-19 - Senior Secured LoanWind T/L NewLX143627

EK8047053 - - 80.00 55.00 4.13 4.13 623,000.00 15-Jul-20 0.00 Senior Secured LoanWINDIM Float 07/15/2020 CorpXS1204622960

BL0454613 - - 52.00 45.00 4.00 4.00 7,308,034.68 03-Feb-24 - Senior Secured LoanXella T/L BLX159274

BL0458747 - - 59.00 45.00 3.50 3.50 7,000,000.00 23-Sep-21 - Senior Secured LoanYellow Maple T/L 5LX160219

BL0454134 - - 92.00 45.00 3.00 3.00 7,944,757.12 15-Apr-25 - Senior Secured LoanZiggo T/L F (EUR)LX159376

Totals: 138 405,152,227.46

Fitch Industry ClassificationMoody's Industry ClassificationCountryIssue/Facility NameISIN/LoanX ID ObligorSecurity I.D.

04-Apr-1718-Apr-17

Current Asset Characteristics - Part II

Food, Beverage and TobaccoBeverage, Food & TobaccoNetherlandsDe Master Blenders T/L B3Acorn B.V.BL0447013 LX138200

HealthcareHealthcare & PharmaceuticalsNetherlandsMediq T/L B1AI Garden B.VBL0447914 LX156994

HealthcareHealthcare & PharmaceuticalsNetherlandsMediq T/L B2AI Garden B.VBL0393811 LX127506

Industrial/ManufacturingCapital EquipmentGermanyAlstom Term Loan B2Alison Bidco S.A.R.L.BL0384117 LX139119

Industrial/ManufacturingCapital EquipmentGermanyAlstom Term Loan B1Alison Bidco S.A.R.L.BL0376345 LX137858

ChemicalsChemicals, Plastics, & RubberLuxembourgAllnex T/L B1 (EUR) NewAllnex SARLBL0460396 LX152755

HealthcareHealthcare & PharmaceuticalsFranceCooper Pharma T/L B1 NewAlpha BidCo SASBL0455396 LX159934

HealthcareHealthcare & PharmaceuticalsFranceCoopers term loan B2 NewAlpha BidCo SASBL0457103 LX160654

TelecommunicationsMedia: Broadcasting & SubscriptionFranceAltice T/L B (EUR) NewAltice Financing SABL0431272 LX153089

Buildings and MaterialsConstruction & BuildingBelgiumCorialis T/L BALU Holdco 1 LimitedBL0453656 LX159920

Banking and FinanceBanking, Finance, Insurance & Real EstateUnited KingdomARWLN Float 05/01/23Arrow Global Finance PlcJK7883313 XS1396892751

Banking and FinanceBanking, Finance, Insurance & Real EstateUnited KingdomARWLN Float 04/01/25 CorpArrow Global Finance PlcAM9239667 XS1533918824

ChemicalsChemicals, Plastics, & RubberUnited StatesAruba T/L B-1 (EUR)Aruba Investment HoldingsBL0403503 LX145177

AutomobilesAutomotiveFranceAUTODIS SA FRN 03/05/2022Autodis SAAL0700735 XS1517169972

ChemicalsChemicals, Plastics, & RubberUnited StatesAxalta Coating System T/L B EURAxalta Coating Systems Dutch Holding B

BL0449902 LX134952

Consumer ProductsConsumer goods: Non-durableUnited StatesCoty Term Loan B1Beauty Business NewCoBL0447161 LX155917

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureFranceB&B T/LBuild SASBL0422180 LX160115

PharmaceuticalsHealthcare & PharmaceuticalsUnited StatesCapsugel Euro Term LoanCapsugel SABL0379836 LX139256

HealthcareHealthcare & PharmaceuticalsUnited KingdomCAREUK Float 07/15/19Care UK HealthEK3632040 XS1084818464

Transportation and DistributionTransportation: ConsumerUnited StatesCARLTV Float 06/15/23Carlson Travel Inc.AL5725323 XS1535991498

PharmaceuticalsServices: BusinessUnited StatesCatalent Pharma T/L B EURCatalent Pharma Solutions, Inc.BL0373078 LX137091

HealthcareHealthcare & PharmaceuticalsFranceCERBA 5 3/8 15/04/2025Cerba European LabAM9252025 XS1584024837

HealthcareHealthcare & PharmaceuticalsFranceCerba T/LCerba European LabBL0460420 LX161320

PharmaceuticalsHealthcare & PharmaceuticalsFranceCeva Sante Animale T/L BCeva Sante AnimaleBL0369332 LX135736

Business ServicesServices: BusinessFranceWebhelp T/L B2Cezanne Participations VI SASBL0453755 LX159174

ChemicalsChemicals, Plastics, & RubberUnited StatesChemours Company Term LoanChemours Company, TheBL0462673 LX161997

Industrial/ManufacturingHigh Tech IndustriesGermanyCoherent Holding T/L BCoherent Holding GmbHBL0435521 LX153899

ChemicalsChemicals, Plastics, & RubberGermanyFlint Term Loan B4Colouroz MidcoBL0417594 LX149864

ChemicalsChemicals, Plastics, & RubberGermanyFlint Group TL 1LColouroz MidcoBL0372997 LX136879

Packaging and ContainersContainers, Packaging & GlassAustriaConstantia Term loan B1Constantia Flexibles Group GmbHBL0393688 LX143296

Packaging and ContainersContainers, Packaging & GlassAustriaConstantia Term loan B2Constantia Flexibles Group GmbHBL0397762 LX143893

Industrial/ManufacturingMetals & MiningFranceDelachaux T/L B1 AmendmentDelachaux S.A.BL0387433 LX141055

Food, Beverage and TobaccoBeverage, Food & TobaccoSpainDeoleo Term LoanDeoleo S.A.BL0375008 LX137333

HealthcareHealthcare & PharmaceuticalsFranceSebia T/L B3A NewDiacine France SASBL0463481

HealthcareHealthcare & PharmaceuticalsFranceSebia T/L B3BDiacine France SASBL0452971 LX142742

PharmaceuticalsHealthcare & PharmaceuticalsNetherlandsPatheon 2015 Incremental Euro T/LDPX Holdings B.VBL0383762 LX141220

TelecommunicationsTelecommunicationsLuxembourgEircom Holdings (NEW)Eircom Holdings (Ireland) LtdBL0459745 LX161434

Environmental ServicesEnvironmental IndustriesUnited KingdomERM T/L B2Emerald 2 Ltd. (Eagle US / Emerald

Newco / ERM Canada / ERM

BL0373383 LX137157

PharmaceuticalsHealthcare & PharmaceuticalsFranceEthypharm New T/LEthypharmBL0458838 LX160780

CableTelecommunicationsSpainEuskaltel T/L B3EuskaltelBL0414096 LX148798

ChemicalsChemicals, Plastics, & RubberUnited StatesFerro Corporation T/LFerro CorpBL0455636 LX159762

Business ServicesBanking, Finance, Insurance & Real EstateUnited StatesFirst Data 2022C New Term LoanFirst Data CorporationBL0449795 LX157235

Real EstateBanking, Finance, Insurance & Real EstateFranceFoncia T/L B NewFoncia GroupeBL0460701 LX161338

04-Apr-1718-Apr-17

Food, Beverage and TobaccoBeverage, Food & TobaccoUnited KingdomR&R Ice Cream T/L BFroneriBL0441479 LX154933

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureItalyGamenet SSN 21/Jul/21GamenetLW9190619 XS1458462428

Industrial/ManufacturingCapital EquipmentUnited StatesGardner Denver T/L (EUR)

(Renaissance Acquisition)

Gardner Denver, Inc.BL0346918 LX128916

AutomobilesAutomotiveUnited StatesGates Global Euro Term LoanGates Global LLCBL0375990 LX137852

HealthcareHealthcare & PharmaceuticalsFranceGenerale de Sante B1AGenerale De SanteBL0379984 LX139313

Computer and ElectronicsHigh Tech IndustriesUnited StatesInfor (Lawson) T/L B1GGC Software Holdings, IncBL0455230 LX159914

ChemicalsChemicals, Plastics, & RubberUnited StatesHoughton Dutch Term LoanGH Holding, Inc.BL0314601 LX127383

Packaging and ContainersContainers, Packaging & GlassItalyGCLIM Float 15/11/21 CorpGuala Closures SpAAL0882525 XS1516322465

Buildings and MaterialsConstruction & BuildingGermanySLV New T/LHELIOVEN FRANCE S.A.SBL0449811 LX157317

Business ServicesServices: BusinessNetherlandsYellow Maple T/L 5Hellios BVBL0458747 LX160219

HealthcareHealthcare & PharmaceuticalsFranceDMVIFR Float 11/15/21HOMEVIAL0227606 XS1513079571

General RetailRetailGermanyHSE 24 T/L CHSE 24 Trading GMBHBL0444291 LX155957

ChemicalsChemicals, Plastics, & RubberUnited KingdomIneos New T/L 2024Ineos Group Holdings PLCBL0456121 LX160134

ChemicalsChemicals, Plastics, & RubberUnited KingdomIneos Finance T/L 2022 NewIneos Group Holdings PLCBL0456402 LX160309

Computer and ElectronicsHigh Tech IndustriesUnited StatesInformatica T/LInformatica CorporationBL0401838 LX144873

Banking and FinanceServices: BusinessUnited KingdomInnovation Group EUR Term LoanInnovation GroupBL0413064 LX148737

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureCanadaIntertain Group T/L BIntertain Group Limited, TheBL0397788 LX143634

General RetailRetailUnited KingdomEuro Garages T/L B2Intervias Finco LimitedBL0420259 LX149829

General RetailRetailUnited KingdomEURO Garages Incremental - C2Intervias Finco LimitedBL0444911 LX155859

Computer and ElectronicsHigh Tech IndustriesLuxembourgION Trading B-1 Euro T/L (NEW)ION Trading Technologies LimitedBL0437212 LX147780

Packaging and ContainersForest Products & PaperGermanyPROGRP Float 05/01/22 CorpJH-Holding GMBHEK8804131 DE000A161GE9

Packaging and ContainersForest Products & PaperGermanyPROGRP Float 03/31/24JH-Holding GMBHAM8376783 DE000A2E4YY0

General RetailRetailGermanyBeauty Holding T/L B15(formerly B8)Kirk Beauty One GMBHBL0436289 LX159199

General RetailRetailGermanyBeauty Holding T/L B16 (formerly B9)Kirk Beauty One GMBHBL0436503 LX160534

General RetailRetailGermanyBeauty Holding T/L B17(Formerly B10)Kirk Beauty One GMBHBL0436529 LX160535

General RetailRetailGermanyBeauty Holding T/L B18 (formerly B11)Kirk Beauty One GMBHBL0436537 LX160536

Packaging and ContainersContainers, Packaging & GlassGermanyKlockner Pentaplast Replacement

GMBHJ Euro T/L

Kleopatra Holding 2 S.C.ABL0445744 LX155813

Packaging and ContainersContainers, Packaging & GlassGermanyKlockner Pentaplast T/L (Replacement

ERSTE Euro)

Kleopatra Holding 2 S.C.ABL0444200 LX155685

HealthcareHealthcare & PharmaceuticalsUnited KingdomLGC Science EUR T/L B4LGC Science Holdings LimitedBL0453987 LX159294

CableMedia: Broadcasting & SubscriptionUnited StatesUPC T/L BLiberty Global, Inc.BL0448375 LX157074

Banking and FinanceBanking, Finance, Insurance & Real EstateNetherlandsLINCFI 6 7/8 04/15/21Lincoln Finance LTDJK3965130 XS1319818057

Banking and FinanceBanking, Finance, Insurance & Real EstateNorwayLINDOR Float 08/15/20Lock ASEK4113867 XS1094672273

Packaging and ContainersContainers, Packaging & GlassPortugalLogoplaste Term LoanLogoplasteBL0433302 LX153526

Buildings and MaterialsConstruction & BuildingLuxembourgLSF9 Balta T/L B (MRH T/L B New)LSF9 Balta Issuer S.A.BL0460693 LX161774

ChemicalsChemicals, Plastics, & RubberFranceMateris Paints T/L BMateris PaintsBL0380768 LX140038

Banking and FinanceBanking, Finance, Insurance & Real EstateItalyICBPI FLoat 05/30/21 CorpMercury BondcoQJ7076673 XS1318393839

ChemicalsChemicals, Plastics, & RubberLuxembourgCABBCO Float 06/15/21Monitchem Holdco 2 S.A.EK2997626 XS1074935062

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

04-Apr-1718-Apr-17

General RetailRetailUnited KingdomMRH T/L B2 (LSF9 Robin Investments

MRHBL0449522 LX157179

General RetailRetailUnited KingdomNEWLOK Float 07/01/22 CorpNew Look Group PLCEK9646549 XS1248517341

ChemicalsChemicals, Plastics, & RubberFranceNovacap T/L BNovacap International SASBL0427296 LX152525

TelecommunicationsHigh Tech IndustriesFranceOberthur T/L B1Oberthur Technologies Holdings SASBL0449472 LX157594

TelecommunicationsHigh Tech IndustriesFranceOberthur TL B2Oberthur Technologies Holdings SASBL0451262 LX158095

ChemicalsChemicals, Plastics, & RubberLuxembourgOrion Engineered Term LoanOrion Engineered Carbons S.a r.l.BL0381279 LX139695

General RetailRetailNetherlandsAction Holding Term B - Add onPeer Holding B.VBL0421026 LX150838

Industrial/ManufacturingCapital EquipmentUnited StatesPenn Engineering T/L C IncrementalPenn Engineering & Manufacturing Corp.BL0402653 LX144818

TelecommunicationsTelecommunicationsSpainUfinet Telecom Holdings T/LPertento S.A.R.LBL0444515 LX139895

Environmental ServicesServices: ConsumerFranceOGF T/L B (03/17)PHM France Holdco 19 SASBL0462343 LX161834

ChemicalsChemicals, Plastics, & RubberNetherlandsMacDermid T/L C3Platform Specialty ProductsBL0444929 LX155518

ChemicalsChemicals, Plastics, & RubberNetherlandsMacDermid T/L C4Platform Specialty ProductsBL0448235 LX157015

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureNetherlandsPORTAV 0 12/01/19PortAventura Entertainment Barcelona BVEJ9801923 XS0982712019

ChemicalsChemicals, Plastics, & RubberUnited StatesPQ Corp T/LPQ CorporationBL0426678 LX156639

General RetailRetailGermanySCHUBR 6 1/4 12/15/23Prestige BidCo GmbHAL5702256 XS1533933039

Packaging and ContainersContainers, Packaging & GlassUnited StatesRanpak Tranche B1Ranpak Corp.BL0401184 LX144512

Business ServicesServices: BusinessUnited KingdomCPA Global T/L BRedtop Midco LimitedBL0356719 LX133726

TelecommunicationsMedia: Broadcasting & SubscriptionFranceNumericable Refinancing T/L B10SFR Group S.A.BL0444937 LX155720

TelecommunicationsMedia: Broadcasting & SubscriptionFranceNumericable Incremental T/L B10

(10/16)

SFR Group S.A.BL0453490 LX157661

HealthcareHealthcare & PharmaceuticalsGermanySiemens T/L B6Siemens AudiologyBL0459455 LX160224

Packaging and ContainersChemicals, Plastics, & RubberSwitzerlandSIG Combibloc T/LSig Combibloc Holdings SCABL0392680 LX143111

Packaging and ContainersContainers, Packaging & GlassUnited StatesSignode Industrial T/L B2Signode Industrial Group Holdings US IncBL0450421 LX158054

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureItalySCHMAN Float 07/31/22 CorpSISAL HOLDING FINANZIARIA S.P.A.LW8188093 XS1454976801

ChemicalsChemicals, Plastics, & RubberLuxembourgArchroma T/L BSK SPICE S.A. R.L. (AKA Clariant

Corporation)

BL0403891 LX145174

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureItalySNAIM Float 07/11/21 CorpSNAI S.P.A.QZ9789210 XS1513692357

Business ServicesServices: BusinessUnited StatesSolera Finance T/L BSolera Holdings IncBL0422347 LX151195

Food, Beverage and TobaccoBeverage, Food & TobaccoLuxembourgCampbell T/L Add On BSoppa Holdings SarlBL0449027 LX157881

Consumer ProductsConsumer goods: Non-durableUnited StatesSpectrum Brands T/L (EUR)Spectrum Brands IncBL0402554 LX144957

Broadcasting and MediaMedia: Advertising, Printing & PublishingGermanySpringer Science T/L B8Springer SBM One GmbHBL0395576 LX143524

ChemicalsChemicals, Plastics, & RubberGermanyStyrolution (Ineos) T/L B (03/17)Styrolution Group GmbHBL0460529 LX161339

HealthcareServices: BusinessUnited KingdomLABFP Float 07/01/22Synlab Bondco PLCAL1055311 XS1516322200

Packaging and ContainersContainers, Packaging & GlassNetherlandsTaghleef T/L B1Taghleef IndustriesBL0426280 LX152515

CableMedia: Broadcasting & SubscriptionGermanyTele Columbus T/L New facility ATele Columbus GmbHBL0444218 LX141605

CableMedia: Broadcasting & SubscriptionLuxembourgTelenet T/L NewTelenet Group Holding NVBL0463911 LX162328

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureGermanyTipico T/L BTipicoBL0461642 LX161574

Banking and FinanceServices: BusinessNetherlandsTMF T/L B1TMF Group Holding B.V.BL0441750 LX155136

Banking and FinanceServices: BusinessNetherlandsTMF T/L B2TMF Group Holding B.V.BL0446387 LX156203

Business ServicesServices: BusinessGermanyBilfinger Term Loan B2 (Silenus)Triangle FM Services TOPCO GMBHBL0437808 LX154417

Business ServicesServices: BusinessGermanyBilfinger Term Loan B1 (Triangle FM

Triangle FM Services TOPCO GMBHBL0436958 LX154393

HealthcareHealthcare & PharmaceuticalsSwedenUnilabs Diagnostics TL B1Unilabs Diagnostics ABBL0441537 LX155194

HealthcareHealthcare & PharmaceuticalsSwedenUnilabs Diagnostics T/L B2Unilabs Diagnostics ABBL0461063 LX161584

04-Apr-1718-Apr-17

Food, Beverage and TobaccoBeverage, Food & TobaccoUnited KingdomUnited Biscuits Term Loan B2United Biscuits Holdco LimitedBL0403636 LX142370

ChemicalsChemicals, Plastics, & RubberUnited StatesUnivar T/LUnivar Inc.BL0403875 LX145475

Banking and FinanceBanking, Finance, Insurance & Real EstateFranceVedici T/L B2Vedici GroupeBL0456915 LX146849

Consumer ProductsServices: BusinessSwedenVerisure T/L B1-DVerisure Holding ABBL0460537 LX161341

Consumer ProductsServices: BusinessSwedenVerisure Holdings T/L B1-CVerisure Holding ABBL0449530 LX157494

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureUnited KingdomVUECIN FLT 7/15/20Vougeot Bidco PLCEK5851887 XS1135437280

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureUnited KingdomVUECIN 0 07/15/20Vue Entertainment Holdings UK Ltd.EJ7472784 XS0953085627

HealthcareServices: BusinessUnited StatesVWR T/L B2VWR Funding, Inc.BL0449100 LX157040

Computer and ElectronicsHigh Tech IndustriesUnited StatesWestern Digital Technologies Inc T/L

B2 (NEW)

Western Digital Technologies, IncBL0460412 LX161282

TelecommunicationsTelecommunicationsItalyWINDIM Float 07/15/2020 CorpWind Acquisition Finance S.p.A.EK8047053 XS1204622960

TelecommunicationsTelecommunicationsItalyWind T/L NewWind Acquisition Finance S.p.A.BL0396103 LX143627

Buildings and MaterialsConstruction & BuildingGermanyXella T/L BXella International SABL0454613 LX159274

CableMedia: Broadcasting & SubscriptionNetherlandsZiggo T/L F (EUR)Ziggo BVBL0454134 LX159376

Totals: 138

Delayed

Drawdown

Obligation

Revolving

Obligation

Current Pay

ObligationDIP LoanBridge Loan

Fixed Rate

Obligation

Annual

ObligationISIN/LoanX ID Issue/Facility NameSecurity I.D.

04-Apr-1718-Apr-17

Current Asset Characteristics - Part III

PIK Security

Market Value

Determined

-------Action Holding Term B - Add onBL0421026 LX150838 - -

-------Allnex T/L B1 (EUR) NewBL0460396 LX152755 - -

-------Alstom Term Loan B1BL0376345 LX137858 - -

-------Alstom Term Loan B2BL0384117 LX139119 - -

-------Altice T/L B (EUR) NewBL0431272 LX153089 - -

-------Archroma T/L BBL0403891 LX145174 - -

-------Aruba T/L B-1 (EUR)BL0403503 LX145177 - -

-------ARWLN Float 04/01/25 CorpAM9239667 XS1533918824 - -

-------ARWLN Float 05/01/23JK7883313 XS1396892751 - -

-------AUTODIS SA FRN 03/05/2022AL0700735 XS1517169972 - -

-------Axalta Coating System T/L B EURBL0449902 LX134952 - -

-------B&B T/LBL0422180 LX160115 - -

-------Beauty Holding T/L B15(formerly B8)BL0436289 LX159199 - -

-------Beauty Holding T/L B16 (formerly B9)BL0436503 LX160534 - -

-------Beauty Holding T/L B17(Formerly B10)BL0436529 LX160535 - -

-------Beauty Holding T/L B18 (formerly B11)BL0436537 LX160536 - -

-------Bilfinger Term Loan B1 (Triangle FM

BL0436958 LX154393 - -

-------Bilfinger Term Loan B2 (Silenus)BL0437808 LX154417 - -

-------CABBCO Float 06/15/21EK2997626 XS1074935062 - -

-------Campbell T/L Add On BBL0449027 LX157881 - -

-------Capsugel Euro Term LoanBL0379836 LX139256 - -

-------CAREUK Float 07/15/19EK3632040 XS1084818464 - -

-------CARLTV Float 06/15/23AL5725323 XS1535991498 - -

-------Catalent Pharma T/L B EURBL0373078 LX137091 - -

-----Yes-CERBA 5 3/8 15/04/2025AM9252025 XS1584024837 - -

-------Cerba T/LBL0460420 LX161320 - -

-------Ceva Sante Animale T/L BBL0369332 LX135736 - -

-------Chemours Company Term LoanBL0462673 LX161997 - -

-------Coherent Holding T/L BBL0435521 LX153899 - -

-------Constantia Term loan B1BL0393688 LX143296 - -

-------Constantia Term loan B2BL0397762 LX143893 - -

-------Cooper Pharma T/L B1 NewBL0455396 LX159934 - -

-------Coopers term loan B2 NewBL0457103 LX160654 - -

-------Corialis T/L BBL0453656 LX159920 - -

-------Coty Term Loan B1BL0447161 LX155917 - -

-------CPA Global T/L BBL0356719 LX133726 - -

-------De Master Blenders T/L B3BL0447013 LX138200 - -

-------Delachaux T/L B1 AmendmentBL0387433 LX141055 - -

-------Deoleo Term LoanBL0375008 LX137333 - -

-------DMVIFR Float 11/15/21AL0227606 XS1513079571 - -

-------Eircom Holdings (NEW)BL0459745 LX161434 - -

Delayed

Drawdown

Obligation

Revolving

Obligation

Current Pay

Fixed Rate

Obligation

Annual

04-Apr-1718-Apr-17

PIK Security

Market Value

Determined

-------ERM T/L B2BL0373383 LX137157 - -

-------Ethypharm New T/LBL0458838 LX160780 - -

-------EURO Garages Incremental - C2BL0444911 LX155859 - -

-------Euro Garages T/L B2BL0420259 LX149829 - -

-------Euskaltel T/L B3BL0414096 LX148798 - -

-------Ferro Corporation T/LBL0455636 LX159762 - -

-------First Data 2022C New Term LoanBL0449795 LX157235 - -

-------Flint Group TL 1LBL0372997 LX136879 - -

-------Flint Term Loan B4BL0417594 LX149864 - -

-------Foncia T/L B NewBL0460701 LX161338 - -

-----Yes-Gamenet SSN 21/Jul/21LW9190619 XS1458462428 - -

-------Gardner Denver T/L (EUR) (Renaissance

Acquisition)

BL0346918 LX128916 - -

-------Gates Global Euro Term LoanBL0375990 LX137852 - -

-------GCLIM Float 15/11/21 CorpAL0882525 XS1516322465 - -

-------Generale de Sante B1ABL0379984 LX139313 - -

-------Houghton Dutch Term LoanBL0314601 LX127383 - -

-------HSE 24 T/L CBL0444291 LX155957 - -

-------ICBPI FLoat 05/30/21 CorpQJ7076673 XS1318393839 Yes -

-------Ineos Finance T/L 2022 NewBL0456402 LX160309 - -

-------Ineos New T/L 2024BL0456121 LX160134 - -

-------Infor (Lawson) T/L B1BL0455230 LX159914 - -

-------Informatica T/LBL0401838 LX144873 - -

-------Innovation Group EUR Term LoanBL0413064 LX148737 - -

-------Intertain Group T/L BBL0397788 LX143634 - -

-------ION Trading B-1 Euro T/L (NEW)BL0437212 LX147780 - -

-------Klockner Pentaplast Replacement

GMBHJ Euro T/L

BL0445744 LX155813 - -

-------Klockner Pentaplast T/L (Replacement

ERSTE Euro)

BL0444200 LX155685 - -

-------LABFP Float 07/01/22AL1055311 XS1516322200 - -

-------LGC Science EUR T/L B4BL0453987 LX159294 - -

-----Yes-LINCFI 6 7/8 04/15/21JK3965130 XS1319818057 - -

-------LINDOR Float 08/15/20EK4113867 XS1094672273 - -

-------Logoplaste Term LoanBL0433302 LX153526 - -

-------LSF9 Balta T/L B (MRH T/L B New)BL0460693 LX161774 - -

-------MacDermid T/L C3BL0444929 LX155518 - -

-------MacDermid T/L C4BL0448235 LX157015 - -

-------Materis Paints T/L BBL0380768 LX140038 - -

-------Mediq T/L B1BL0447914 LX156994 - -

-------Mediq T/L B2BL0393811 LX127506 - -

-------MPG Holdco T/L B2 (Metaldyne)BL0399404 LX144528 - -

-------MRH T/L B2 (LSF9 Robin Investments

BL0449522 LX157179 - -

-------NEWLOK Float 07/01/22 CorpEK9646549 XS1248517341 - -

Delayed

Drawdown

Obligation

Revolving

Obligation

Current Pay

Fixed Rate

Obligation

Annual

04-Apr-1718-Apr-17

PIK Security

Market Value

Determined

-------Novacap T/L BBL0427296 LX152525 - -

-------Numericable Incremental T/L B10 (10/16)BL0453490 LX157661 - -

-------Numericable Refinancing T/L B10BL0444937 LX155720 - -

-------Oberthur T/L B1BL0449472 LX157594 - -

Yes------Oberthur TL B2BL0451262 LX158095 - -

-------OGF T/L B (03/17)BL0462343 LX161834 - -

-------Orion Engineered Term LoanBL0381279 LX139695 - -

-------Patheon 2015 Incremental Euro T/LBL0383762 LX141220 - -

-------Penn Engineering T/L C IncrementalBL0402653 LX144818 - -

-------PORTAV 0 12/01/19EJ9801923 XS0982712019 - -

-------PQ Corp T/LBL0426678 LX156639 - -

-------PROGRP Float 03/31/24AM8376783 DE000A2E4YY0 - -

-------PROGRP Float 05/01/22 CorpEK8804131 DE000A161GE9 - -

-------R&R Ice Cream T/L BBL0441479 LX154933 - -

-------Ranpak Tranche B1BL0401184 LX144512 - -

-------SCHMAN Float 07/31/22 CorpLW8188093 XS1454976801 - -

-----Yes-SCHUBR 6 1/4 12/15/23AL5702256 XS1533933039 - -

-------Sebia T/L B3A NewBL0463481 - -

-------Sebia T/L B3BBL0452971 LX142742 - -

-------Siemens T/L B6BL0459455 LX160224 - -

-------SIG Combibloc T/LBL0392680 LX143111 - -

-------Signode Industrial T/L B2BL0450421 LX158054 - -

-------SLV New T/LBL0449811 LX157317 - -

-------SNAIM Float 07/11/21 CorpQZ9789210 XS1513692357 - -

-------Solera Finance T/L BBL0422347 LX151195 - -

-------Spectrum Brands T/L (EUR)BL0402554 LX144957 - -

-------Springer Science T/L B8BL0395576 LX143524 - -

-------Styrolution (Ineos) T/L B (03/17)BL0460529 LX161339 - -

-------Taghleef T/L B1BL0426280 LX152515 - -

-------Tele Columbus T/L New facility ABL0444218 LX141605 - -

-------Telenet T/L NewBL0463911 LX162328 - -

-------Tipico T/L BBL0461642 LX161574 - -

-------TMF T/L B1BL0441750 LX155136 - -

-------TMF T/L B2BL0446387 LX156203 - -

-------Ufinet Telecom Holdings T/LBL0444515 LX139895 - -

-------Unilabs Diagnostics T/L B2BL0461063 LX161584 - -

-------Unilabs Diagnostics TL B1BL0441537 LX155194 - -

-------United Biscuits Term Loan B2BL0403636 LX142370 - -

-------Univar T/LBL0403875 LX145475 - -

-------UPC T/L BBL0448375 LX157074 - -

-------Vedici T/L B2BL0456915 LX146849 - -

-------Verisure Holdings T/L B1-CBL0449530 LX157494 - -

-------Verisure T/L B1-DBL0460537 LX161341 - -

-------VUECIN 0 07/15/20EJ7472784 XS0953085627 - -

-------VUECIN FLT 7/15/20EK5851887 XS1135437280 - -

Delayed

Drawdown

Obligation

Revolving

Obligation

Current Pay

Fixed Rate

Obligation

Annual

04-Apr-1718-Apr-17

PIK Security

Market Value

Determined

-------VWR T/L B2BL0449100 LX157040 - -

-------Webhelp T/L B2BL0453755 LX159174 - -

-------Western Digital Technologies Inc T/L B2

BL0460412 LX161282 - -

-------Wind T/L NewBL0396103 LX143627 - -

-------WINDIM Float 07/15/2020 CorpEK8047053 XS1204622960 - -

-------Xella T/L BBL0454613 LX159274 - -

-------Yellow Maple T/L 5BL0458747 LX160219 - -

-------Ziggo T/L F (EUR)BL0454134 LX159376 - -

Totals: 138

Calculation Amount

Collateral

Moody's

Collateral

Market

Recovery

Moody's

Recovery

RatePrincipal BalanceNo. of DaysDate of EventIssue/Facility NameSecurity I.D.

04-Apr-1718-Apr-17

Defaulted Obligations and Deferring Securities

Sub Total: 0

Totals: 0 0.00 0.00

% of ACBCalculation AmountPurchase PricePrincipal BalancePurchase DateIssue/Facility NameSecurity I.D.

04-Apr-1718-Apr-17

Discount Obligations and Swapped Non-Discount Obligations

Sub Total: 0

Totals: 0 0.00 0.00 0.00 %

Principal BalanceNumber of UnitsAsset TypeIssue/Facility NameSecurity I.D.

04-Apr-1718-Apr-17

Collateral Enhancement Obligations and Exchanged Equity Securities

Totals: 0

Principal BalanceFitchMoody'sSelling InstitutionIssue/Facility NameSecurity I.D.

Counterparty Ratings

04-Apr-1718-Apr-17

Participation Information

Totals: 0 -

Maturity Date

04-Apr-1718-Apr-17

Restructured Obligations - Additions

Security I.D. Issue/Facility NameObligor Name Restructuring Date Par AmountAsset Type

BL0455396 Cooper Pharma T/L B1 NewAlpha BidCo SAS Senior Secured Loan 14-Mar-17 2,000,000.00 30-Jan-23

BL0458838 Ethypharm New T/LEthypharm Senior Secured Loan 31-Mar-17 2,517,103.39 21-Jul-23

BL0460701 Foncia T/L B NewFoncia Groupe Senior Secured Loan 16-Mar-17 4,046,963.00 07-Sep-23

BL0463481 Sebia T/L B3A NewDiacine France SAS Senior Secured Loan 31-Mar-17 996,003.73 17-Dec-21

BL0463481 Sebia T/L B3A NewDiacine France SAS Senior Secured Loan 31-Mar-17 4,437,315.97 17-Dec-21

BL0460529 Styrolution (Ineos) T/L B (03/17)Styrolution Group GmbH Senior Secured Loan 30-Mar-17 846,727.09 08-Mar-24

BL0460412 Western Digital Technologies Inc T/L B2

Western Digital Technologies,

Senior Secured Loan 23-Mar-17 2,999,549.78 29-Apr-23

Totals: 17,843,662.96 7

04-Apr-1718-Apr-17

Restructured Obligations - Removals

Security I.D. Maturity DateIssue/Facility NameObligor Name Restructuring Date Par AmountAsset Type

2,000,000.00 30-Jan-2314-Mar-17Senior Secured LoanAlpha BidCo SAS Cooper Pharma T/L BBL0415978

2,517,103.39 21-Jul-2331-Mar-17Senior Secured LoanEthypharm T/L BBL0431520

4,046,963.00 07-Sep-2316-Mar-17Senior Secured LoanFoncia Groupe Foncia Term Loan B NewBL0435729

996,003.73 17-Dec-2131-Mar-17Senior Secured LoanDiacine France SAS Sebia B5 T/L 1st LienBL0449076

4,437,315.97 17-Dec-2131-Mar-17Senior Secured LoanDiacine France SAS Sebia T/L B3ABL0452989

846,727.09 30-Sep-2130-Mar-17Senior Secured LoanStyrolution Group GmbH Styrolution (Ineos) T/L B (09/16)BL0441180

2,999,549.78 29-Apr-2323-Mar-17Senior Secured LoanWestern Digital Technologies,

Western Digital T/L B1 (NEW) (EUR)BL0441719

Total: 7 17,843,662.96

Issue/Facility Name

Moody's Default Probability Rating Moody's Rating Fitch Rating

Security I.D. Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status

04-Apr-1718-Apr-17

Rating Detail - Public

Action Holding Term B - Add onBL0421026 B1 B1 B1 B1 - - PB1 B1 -

Allnex T/L B1 (EUR) NewBL0460396 B1 B1 B1 B1 - B+-

Alstom Term Loan B1BL0376345 B3 B3 B2 B2 - - PB3 B2 -

Alstom Term Loan B2BL0384117 B3 B3 B2 B2 - - PB3 B2 -

Altice T/L B (EUR) NewBL0431272 B1 B1 B1 B1 - - PB1 B1 -

Archroma T/L BBL0403891 B2 B2 B2 B2 - B-B2 B2 -

Aruba T/L B-1 (EUR)BL0403503 B2 B2 B1 B1 - - PB2 B1 -

ARWLN Float 04/01/25 CorpAM9239667 Ba3 Ba3 Ba3 Ba3 - - P-

ARWLN Float 05/01/23JK7883313 B1 Ba3 B1 Ba3 - - PBa3 Ba3 -

AUTODIS SA FRN 03/05/2022AL0700735 B2 B2 B2 B2 - BB2 B2 -

Axalta Coating System T/L B EURBL0449902 - Ba3 - Ba1 - BB- Ba1 -

Beauty Holding T/L B15(formerly B8)BL0436289 B2 B2 B1 B1 - - PB2 B1 -

Beauty Holding T/L B16 (formerly B9)BL0436503 B2 B2 B2 B1 - - PB2 B1 -

Beauty Holding T/L B17(Formerly B10)BL0436529 B2 B2 B2 B1 - - PB2 B1 -

Beauty Holding T/L B18 (formerly B11)BL0436537 B2 B2 B2 B1 - - PB2 B1 -

Bilfinger Term Loan B1 (Triangle FM Services

Holding GmbH)

BL0436958 - B2 - B2 - B- B2 -

Bilfinger Term Loan B2 (Silenus)BL0437808 - B2 - B2 - B- B2 -

CABBCO Float 06/15/21EK2997626 B3 B3 B2 B2 - B-B3 B2 -

Campbell T/L Add On BBL0449027 - B2 - B2 - B-- B2 -

Capsugel Euro Term LoanBL0379836 B2 B2 CW+ B1 B1 CW+ - - PB2 B1 -

CAREUK Float 07/15/19EK3632040 B3 Caa1 B3 Caa1 - - PCaa1 Caa1 -

CARLTV Float 06/15/23AL5725323 B2 B2 B2 B2 - BB2 B2 -

Catalent Pharma T/L B EURBL0373078 B1 B1 B1 Ba3 - - PB1 Ba3 -

CERBA 5 3/8 15/04/2025AM9252025 B2 Caa1 Caa1 Caa1 - B-

Cerba T/LBL0460420 B2 B2 B1 B1 - B-

Chemours Company Term LoanBL0462673 Ba3 Ba3 Ba1 Ba1 BB- BB-

Coherent Holding T/L BBL0435521 Ba2 Ba2 Ba2 Ba2 - BB-Ba2 Ba2 -

Constantia Term loan B1BL0393688 B1 B1 B1 B1 - - PB1 B1 -

Constantia Term loan B2BL0397762 B1 B1 B1 B1 - - PB1 B1 -

Cooper Pharma T/L B1 NewBL0455396 - B2 - B2 - B-- B2 -

Coopers term loan B2 NewBL0457103 - B2 - B2 - B-- B2 -

Corialis T/L BBL0453656 B2 B2 B1 B1 - B--

Coty Term Loan B1BL0447161 Ba1 Ba1 Ba1 Ba1 - - PBa1 Ba1 -

CPA Global T/L BBL0356719 B1 B1 B1 B1 - BB1 B1 -

De Master Blenders T/L B3BL0447013 Ba3 Ba2 Ba3 Ba2 - - PBa3 Ba3 -

Asset Status Legend: N

CW-- Notched / Implied Rating

- Private Rating

- Shadow Rating

- Credit Watch with positive implications

- In Default

- Credit Watch with negative implications

* Ratings are presented having taken the Credit Watch notching implications, identified above, into account.

Issue/Facility Name

04-Apr-1718-Apr-17

Deoleo Term LoanBL0375008 B2 Caa1 B2 Caa1 - - PCaa1 Caa1 -

DMVIFR Float 11/15/21AL0227606 B1 B1 B2 B2 - B-B1 B2 -

Eircom Holdings (NEW)BL0459745 B1 B1 B1 B1 B+ B+

ERM T/L B2BL0373383 B2 B3 B1 B2 - - PB3 B2 -

EURO Garages Incremental - C2BL0444911 B2 B2 B2 B2 - BB2 B2 -

Euro Garages T/L B2BL0420259 B2 B2 B2 B2 - - PB2 B2 -

Euskaltel T/L B3BL0414096 B1 B1 B1 B1 - - PB1 B1 -

Ferro Corporation T/LBL0455636 Ba3 Ba3 Ba3 Ba3 - BB-Ba3 Ba3 -

First Data 2022C New Term LoanBL0449795 B1 B1 Ba3 Ba3 B B+B1 Ba3 B+

Flint Group TL 1LBL0372997 B2 B2 B1 B2 - - PB2 B1 -

Foncia T/L B NewBL0460701 B2 B2 B2 B2 - B--

Gamenet SSN 21/Jul/21LW9190619 B2 B1 B2 B1 - BB1 B1 -

Gardner Denver T/L (EUR) (Renaissance

Acquisition)

BL0346918 B2 B3 B1 B2 - - PB3 B2 -

Gates Global Euro Term LoanBL0375990 B3 B3 B2 B2 - - PB3 B2 -

GCLIM Float 15/11/21 CorpAL0882525 B2 B2 B2 B2 - B-B2 B2 -

Generale de Sante B1ABL0379984 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -

Houghton Dutch Term LoanBL0314601 B2 B2 B1 B1 - - PB2 B1 -

HSE 24 T/L CBL0444291 - B2 - B2 - B- B2 -

ICBPI FLoat 05/30/21 CorpQJ7076673 Ba2 Ba2 B3 B3 - - PBa2 B3 -

Ineos Finance T/L 2022 NewBL0456402 Ba2 Ba3 Ba2 Ba2 - B+Ba3 Ba2 -

Ineos New T/L 2024BL0456121 Ba3 Ba3 Ba2 Ba2 - B+Ba3 Ba2 -

Infor (Lawson) T/L B1BL0455230 B3 B3 B1 B1 - - PB3 B1 -

Informatica T/LBL0401838 B3 B3 - B2 - - PB3 - -

Intertain Group T/L BBL0397788 B2 B2 B2 B1 - BB2 B1 -

ION Trading B-1 Euro T/L (NEW)BL0437212 B2 B2 B2 B2 - - PB2 B2 -

Klockner Pentaplast Replacement GMBHJ Euro

BL0445744 B2 B2 B2 B1 - - PB2 B1 -

Klockner Pentaplast T/L (Replacement ERSTE

BL0444200 B2 B2 B1 B1 - - PB2 B1 -

LABFP Float 07/01/22AL1055311 B2 B2 B2 B2 B+ BB2 B2 -

LINCFI 6 7/8 04/15/21JK3965130 B1 B1 B1 B1 BB- BB-B1 B1 -

LINDOR Float 08/15/20EK4113867 B2 B2 CW+ B2 B2 CW+ - B+B2 B2 -

Logoplaste Term LoanBL0433302 - B2 - B2 - B-- B2 -

LSF9 Balta T/L B (MRH T/L B New)BL0460693 - B2 - B2 B B-

MacDermid T/L C3BL0444929 B2 B2 B2 B2 - B+B2 B2 -

MacDermid T/L C4BL0448235 B2 B2 B2 B2 - B+B2 B2 -

Mediq T/L B1BL0447914 - B2 - B2 - B+- B2 -

MPG Holdco T/L B2 (Metaldyne)BL0399404 B1 B1 Ba3 Ba3 - - PB1 Ba3 -

- Private Rating

- Shadow Rating

- In Default

Issue/Facility Name

04-Apr-1718-Apr-17

MRH T/L B2 (LSF9 Robin Investments Ltd)BL0449522 B1 B1 B1 B1 - B-B1 B1 -

NEWLOK Float 07/01/22 CorpEK9646549 B2 B3 B1 B2 B- B-B3 B2 -

Novacap T/L BBL0427296 B1 B1 B1 B1 - B-B1 B1 -

Numericable Incremental T/L B10 (10/16)BL0453490 B1 B1 B1 B1 - BB-B1 B1 -

Numericable Refinancing T/L B10BL0444937 B1 B1 B1 B1 - - PB1 B1 -

Oberthur T/L B1BL0449472 B2 B2 B2 B2 B BB2 B2 B

Oberthur TL B2BL0451262 B2 B2 BB2 B2 B

OGF T/L B (03/17)BL0462343 B2 B2 B2 B2 - B-

Orion Engineered Term LoanBL0381279 B1 Ba3 B1 Ba3 - - PBa3 Ba3 -

Patheon 2015 Incremental Euro T/LBL0383762 B3 B3 B2 B2 - - PB3 B2 -

Penn Engineering T/L C IncrementalBL0402653 B1 B1 B1 B1 - - PB1 B1 -

PORTAV 0 12/01/19EJ9801923 B3 B3 B3 B3 - - PB3 B3 -

PQ Corp T/LBL0426678 B3 B3 B2 B2 - BB3 B2 -

PROGRP Float 03/31/24AM8376783 Ba3 Ba3 - Ba2 - B-

PROGRP Float 05/01/22 CorpEK8804131 B2 Ba3 B1 Ba2 - - PBa3 Ba2 -

R&R Ice Cream T/L BBL0441479 Ba2 Ba2 Ba2 Ba2 - BB-Ba2 Ba2 -

SCHMAN Float 07/31/22 CorpLW8188093 B2 B1 B2 B1 - BB1 B1 -

SCHUBR 6 1/4 12/15/23AL5702256 Caa1 B2 Caa1 B2 - B-B2 B2 -

Sebia T/L B3A NewBL0463481 - B2 - B2 - B- -

Sebia T/L B3BBL0452971 - B2 - B2 - B- B2 -

Siemens T/L B6BL0459455 B1 B2 B1 B1 - - PB2 B1 -

SIG Combibloc T/LBL0392680 B2 B2 B1 B1 - - PB2 B1 -

Signode Industrial T/L B2BL0450421 B3 B2 B3 B1 - BB2 B1 -

SLV New T/LBL0449811 - B2 - B2 - B- B2 -

SNAIM Float 07/11/21 CorpQZ9789210 B3 B2 B3 B2 - BB2 B2 -

Solera Finance T/L BBL0422347 B2 B2 Ba3 Ba3 - BB2 Ba3 -

Spectrum Brands T/L (EUR)BL0402554 B1 B1 Ba1 Ba1 BB BB

Springer Science T/L B8BL0395576 B3 B2 B3 B2 - - PB2 B2 -

Styrolution (Ineos) T/L B (03/17)BL0460529 Ba3 Ba3 - B1 - - P-

Taghleef T/L B1BL0426280 Ba3 Ba3 Ba3 Ba3 - BBa3 Ba3 -

Tele Columbus T/L New facility ABL0444218 B2 B2 B2 B2 - - PB2 B2 -

Telenet T/L NewBL0463911 Ba3 Ba3 Ba3 Ba3 BB- BB-

Tipico T/L BBL0461642 B1 B1 B1 B1 B B

TMF T/L B1BL0441750 B2 B2 B2 B2 B BB2 B2 B

TMF T/L B2BL0446387 B2 B2 B2 B2 - BB2 B2 -

Ufinet Telecom Holdings T/LBL0444515 B2 B2 B2 B2 - - PB2 B2 -

Unilabs Diagnostics T/L B2BL0461063 B3 B3 B2 B2 - B--

Unilabs Diagnostics TL B1BL0441537 - B3 - B2 - B-- B2 -

United Biscuits Term Loan B2BL0403636 Ba3 B1 Ba3 B1 - - PB1 B1 -

- Private Rating

- Shadow Rating

- In Default

Issue/Facility Name

04-Apr-1718-Apr-17

Univar T/LBL0403875 B2 B2 B2 B2 - - PB2 B2 -

Verisure Holdings T/L B1-CBL0449530 B2 B2 B2 B1 - BB2 B1 -

Verisure T/L B1-DBL0460537 - B2 - B1 - B- -

VUECIN 0 07/15/20EJ7472784 B2 B2 B2 B2 - - PB2 B2 -

VUECIN FLT 7/15/20EK5851887 B2 B2 B2 B2 - - PB2 B2 -

VWR T/L B2BL0449100 B1 B1 Ba3 Ba3 - - PB1 Ba3 -

Webhelp T/L B2BL0453755 - B2 - B2 - B- B2 -

Western Digital Technologies Inc T/L B2 (NEW)BL0460412 Ba1 Ba1 Ba1 Ba1 BB+ BB+

Wind T/L NewBL0396103 B2 B2 Ba3 Ba3 B+ B+B2 Ba3 B+

WINDIM Float 07/15/2020 CorpEK8047053 B2 B2 Ba3 Ba3 B+ B+B2 Ba3 -

Xella T/L BBL0454613 - B2 - B2 - B+- -

Ziggo T/L F (EUR)BL0454134 Ba3 Ba3 Ba3 Ba3 - BB-Ba3 Ba3 -

Totals: 125

- Private Rating

- Shadow Rating

- In Default

Issue/Facility Name

Moody's Fitch

Security ID

04-Apr-1718-Apr-17

Rating Change History - Public

Action DateCurrPrior Action DateCurrPrior

De Master Blenders T/L B3BL0447013 Ba3 Ba2 31-Mar-17 UPG

Corialis T/L BBL0453656 B1 B2 04-Apr-17 DNG

Corialis T/L BBL0453656 B1 B2 04-Apr-17 OFF(CW-)

Styrolution (Ineos) T/L B (03/17)BL0460529 B1 Ba3 06-Mar-17 UPG

Telenet T/L NewBL0463911 B1 Ba3 27-Mar-17 UPG

5Totals:

Issue/Facility Name

Moody's Fitch

Security ID Prior Prior Date Curr Curr Date Prior Prior Date Curr Curr Date

04-Apr-1718-Apr-17

Rating Change History - Shadow/Private

Totals:

From CounterpartyExchange RateCounterparty CurrencyIssue/Facility NameSecurity I.D.

04-Apr-1718-Apr-17

Hedge Transactions Detail (Purchase Lots)

To Counterparty

712,425.00 1.35700JP Morgan Securities Ltd GBPCAREUK Float 07/15/19EK3632040 525,000.00

1,516,901.00 1.42700JP Morgan Securities Ltd GBPCAREUK Float 07/15/19EK3632040 1,063,000.00

3,252,976.36 0.94950JP Morgan Securities Ltd USDIntertain Group T/L BBL0397788 3,425,988.79

Totals: 10

Nbr Counterparty Short-term Min Result Long-term Min Result

Moody's

Short-term Min Result Long-term Min Result

04-Apr-1718-Apr-17

Hedge Counterparty Ratings

Counterparty Role

Elavon Financial Services DAC -F1+A1P-1 1 NR NRN/A N/AP-3 Baa3PASS PASSPaying Agent

Elavon Financial Services DAC AAF1+A1P-1 2 F1 APASS PASSP-1 A2PASS PASSAccount Bank

Elavon Financial Services DAC AAF1+A1P-1 3 F1 APASS PASSP-1 A2PASS PASSCustodian

JP Morgan Securities Ltd AA-F1+Aa3P-1 4 F1 APASS PASSP-1 A2PASS PASSAsset Swap Counterparty

4Totals:

Interest Principal

Balance

Current

Amounts

Received

Ending

Balance

Balance Total

Collected

Ending

Balance

Current

Amounts

Received

04-Apr-1718-Apr-17

Intra-Period Collection Account Detail

Issue/Facility NameSecurity I.D.

BL0421026 Action Holding Term B - Add on 70,380.79 70,380.79 - - - - 70,380.79

BL0428682 Allnex T/L B (EUR) 5.56 13,334.63 - - - 13,329.07 13,334.63

BL0460396 Allnex T/L B1 (EUR) New - - - - - - -

BL0376345 Alstom Term Loan - 11,939.53 2,275.97 - 2,275.97 11,939.53 14,215.50

BL0384117 Alstom Term Loan B2 - 14,290.06 2,724.03 - 2,724.03 14,290.06 17,014.09

BL0431272 Altice T/L B (EUR) New - 18,173.91 4,516.13 - 4,516.13 18,173.91 22,690.04

BL0403891 Archroma T/L B - 28,952.35 - - - 28,952.35 28,952.35

BL0403503 Aruba T/L B-1 (EUR) 47,618.59 47,618.59 - 11,250.00 11,250.00 - 58,868.59

AM9239667 ARWLN Float 04/01/25 Corp - - - - - - -

JK7883313 ARWLN Float 05/01/23 - 39,128.13 - - - 39,128.13 39,128.13

EK5705562 ARWLN Float 11/01/21 11,892.41 48,912.41 - - - 37,020.00 48,912.41

AL0700735 AUTODIS SA FRN 03/05/2022 - 9,469.18 - - - 9,469.18 9,469.18

BL0449902 Axalta Coating System T/L B EUR 20,698.82 20,698.82 - 9,482.17 9,482.17 - 30,180.99

BL0422180 B&B Hotels GmBH - - - - - - -

BL0436529 Beauty Holding T/L B10 4,316.30 10,694.83 - - - 6,378.53 10,694.83

BL0436503 Beauty Holding T/L B9- Kirk Beauty

Netherlands B.V

2,517.54 6,237.90 - - - 3,720.36 6,237.90

BL0436958 Bilfinger Term Loan B1 (Triangle FM

Services Holdi

- 23,551.53 - - - 23,551.53 23,551.53

BL0437808 Bilfinger Term Loan B2 (Silenus) - 9,420.61 - - - 9,420.61 9,420.61

BL0400848 BSN T/L C 13,932.78 40,450.00 - 4,045,000.00 4,045,000.00 26,517.22 4,085,450.00

EK2997626 CABBCO Float 06/15/21 31,625.51 31,625.51 - - - - 31,625.51

BL0449027 Campbell First Lien B trance 1 Belgium

26,502.89 38,360.26 - - - 11,857.37 38,360.26

BL0381105 Capio Sanidad 2nd Lien - 7,069.81 964,064.50 - 964,064.50 7,069.81 971,134.31

BL0420127 Capio Term Loan B (Desarrollos) - 20,400.00 5,400,000.00 - 5,400,000.00 20,400.00 5,420,400.00

BL0379836 Capsugel Euro Term Loan - 43,192.40 - - - 43,192.40 43,192.40

AL5725323 CARLTV Float 06/15/23 58,186.84 58,186.84 - - - - 58,186.84

Interest Principal

Balance

Current

Amounts

Received

Ending

Balance

Balance Total

Collected

Ending

Balance

Current

Amounts

Received

04-Apr-1718-Apr-17

BL0373078 Catalent Pharma T/L B EUR 14,729.72 43,238.87 - 12,524.25 12,524.25 28,509.15 55,763.12

AM9252025 CERBA 5 3/8 15/04/2025 - - - - - - -

BL0460420 Cerba T/L - - - - - - -

BL0369332 Ceva Financiere Mendal 76,960.51 76,960.51 - - - - 76,960.51

BL0462673 Chemours Company Term Loan - - - - - - -

BL0435521 Coherent Holding T/L B 20,696.67 45,742.56 - 159,786.35 159,786.35 25,045.89 205,528.91

BL0393688 Constantia Term loan B 61,584.42 61,584.42 - - - - 61,584.42

BL0397762 Constantia Term loan B2 9,193.36 9,193.36 - - - - 9,193.36

BL0415978 Cooper Pharma T/L B 3,694.44 35,361.11 - - - 31,666.67 35,361.11

BL0455396 Cooper Pharma T/L B1 New 3,470.21 3,470.21 - - - - 3,470.21

BL0457103 Coopers term loan B2 New 1,488.12 1,488.12 - - - - 1,488.12

BL0453656 Corialis T/L B - - - - - - -

BL0447161 Coty Term Loan B1 8,903.16 25,852.02 - 9,472.57 9,472.57 16,948.86 35,324.59

BL0356719 CPA Global T/L B - 11,284.72 - - - 11,284.72 11,284.72

BL0447013 De Master Blenders T/L B3 909.93 909.93 - - - - 909.93

BL0387433 Delachaux - Delachaux S.A. 39,341.99 39,341.99 - - - - 39,341.99

BL0375008 Deoleo Term Loan 18,926.47 18,926.47 - - - - 18,926.47

AL0227606 DMVIFR Float 11/15/21 - 11,002.54 - - - 11,002.54 11,002.54

BL0400269 DSM Polymers T/L B EUR - 39,514.85 - - - 39,514.85 39,514.85

BL0459745 Eircom Holdings (NEW) - - - - - - -

BL0444002 Eircom Holdings T/L B5 - 53,028.83 - - - 53,028.83 53,028.83

BL0373383 ERM T/L B2 33,178.12 33,178.12 - - - - 33,178.12

BL0431520 Ethypharm Holdings UK LTD 31,813.39 31,813.39 - - - - 31,813.39

BL0458838 Ethypharm New T/L - - - - - - -

BL0444911 EURO Garages Incremental - C2 138,435.94 130,887.07 - - - -7,548.87 130,887.07

BL0420259 Euro Garages T/L B2 6,219.14 6,219.14 - - - - 6,219.14

BL0414096 Euskaltel T/L B3 - 22,449.25 - - - 22,449.25 22,449.25

BL0455636 Ferro Corporation T/L - - - - - - -

BL0449795 First Data 2022C New Term Loan 14,818.76 45,676.87 - - - 30,858.11 45,676.87

BL0372997 Flint Group TL 1L 5.88 8,894.12 - 820.34 820.34 8,888.24 9,714.46

BL0417594 Flint Term Loan B4 42.83 26,278.65 - 5,970.15 5,970.15 26,235.82 32,248.80

BL0460701 Foncia T/L B New - - - - - - -

BL0435729 Foncia Term Loan B New 42,998.98 42,998.98 - - - - 42,998.98

Interest Principal

Balance

Current

Amounts

Received

Ending

Balance

Balance Total

Collected

Ending

Balance

Current

Amounts

Received

04-Apr-1718-Apr-17

LW9190619 Gamenet SSN 21/Jul/21 - 21,135.33 - - - 21,135.33 21,135.33

BL0346918 Gardner Denver T/L (EUR) (Renaissance

Acquisition)

19,466.14 57,142.54 - 12,297.48 12,297.48 37,676.40 69,440.02

BL0375990 Gate Global Euro Term Loan 25,662.27 25,662.27 - 6,193.87 6,193.87 - 31,856.14

AL0882525 GCLIM Float 15/11/21 Corp - 37,506.00 - - - 37,506.00 37,506.00

BL0379984 Generale de Sante B1A - 22,718.00 - - - 22,718.00 22,718.00

BL0383648 Hellios T/L B - 40,833.34 - - - 40,833.34 40,833.34

BL0314601 Houghton Inc Facility B 53,116.94 53,116.94 - - - - 53,116.94

BL0444291 HSE 24 T/L New 12,772.91 37,494.67 - - - 24,721.76 37,494.67

QJ7076673 ICBPI FLoat 05/30/21 Corp - 80,657.54 - - - 80,657.54 80,657.54

BL0456402 Ineos Finance T/L 2022 New 9,966.78 9,966.78 - 8,903.33 8,903.33 - 18,870.11

BL0394934 Ineos New B - 7,054.95 - - - 7,054.95 7,054.95

BL0456121 Ineos New T/L 2024 1,226.90 1,226.90 - 3,775.09 3,775.09 - 5,001.99

BL0401572 Ineos Term Loan - 17,102.25 - - - 17,102.25 17,102.25

BL0455230 Infor (Lawson) T/L B1 5,296.07 5,296.07 - - - - 5,296.07

BL0341901 Infor (Lawson) Term Loan B - 6,448.55 - - - 6,448.55 6,448.55

BL0401838 Informatica T/L 41,035.21 41,035.21 - 9,197.17 9,197.17 - 50,232.38

BL0413064 Innovation Group EUR Term Loan 13,752.79 60,936.96 - - - 47,184.17 60,936.96

BL0437212 ION Trading B-1 Euro T/L (NEW) 19,085.50 60,318.12 - 14,314.13 14,314.13 41,232.62 74,632.25

BL0441503 Keter Group TL B - 9,005.02 - - - 9,005.02 9,005.02

BL0445744 Klockner Pentaplast Replacement

GMBHJ Euro T/L

8,182.90 8,182.90 - 2,028.32 2,028.32 - 10,211.22

BL0444200 Klockner Pentaplast T/L (Replacement

ERSTE Euro)

9,246.68 9,246.68 - 2,292.00 2,292.00 - 11,538.68

AL1055311 LABFP Float 07/01/22 103,847.33 103,847.33 - - - - 103,847.33

BL0420366 LGC Science EUR T/L B2 - 14,245.93 - - - 14,245.93 14,245.93

BL0453987 LGC Science EUR T/L B4 12,451.80 25,305.27 - - - 12,853.47 25,305.27

JK3965130 LINCFI 6 7/8 04/15/21 - - - - - - -

EK4113867 LINDOR Float 08/15/20 - 29,165.28 - - - 29,165.28 29,165.28

BL0433302 Logoplaste B France CA4INFRA 5 SAS 21,928.40 21,928.40 - - - - 21,928.40

AN0756907 LOXAM 4 1/4 04/15/24 - - - - - - -

BL0460693 LSF9 Balta T/L B (MRH T/L B New) - - - - - - -

BL0449522 LSF9 Robin Investments Ltd T/L B 6,349.21 6,349.21 - - - - 6,349.21

BL0444929 MacDermid T/L C3 7,030.93 20,639.19 - 4,308.11 4,308.11 13,608.26 24,947.30

Interest Principal

Balance

Current

Amounts

Received

Ending

Balance

Balance Total

Collected

Ending

Balance

Current

Amounts

Received

04-Apr-1718-Apr-17

BL0448235 MacDermid T/L C4 2,718.27 5,787.28 - 1,861.53 1,861.53 3,069.01 7,648.81

BL0380768 Materis Paints T/L B 12,270.83 36,020.83 - - - 23,750.00 36,020.83

EK8559206 Matter Float 05/01/22 Corp 13,437.50 42,187.50 - 3,000,000.00 3,000,000.00 28,750.00 3,042,187.50

BL0447914 Mediq T/L B1 - 75,865.07 - - - 75,865.07 75,865.07

BL0393811 Mediq T/L B2 - 7,481.53 - - - 7,481.53 7,481.53

BL0399404 MPG Holdco T/L B2 (Metaldyne) 22,204.67 22,204.67 - 6,007.52 6,007.52 - 28,212.19

EK9646549 NEWLOK Float 07/01/22 Corp 18,157.50 18,157.50 - - - - 18,157.50

BL0427296 Novacap T/L B 44,071.95 44,071.95 - - - - 44,071.95

BL0453490 Numericable Incremental T/L B10 (10/16) - 7,371.60 2,601.74 - 2,601.74 7,371.60 9,973.34

BL0444937 Numericable Refinancing T/L B10 - 35,213.50 12,428.30 - 12,428.30 35,213.50 47,641.80

BL0425183 Numericable-SFR New T/L B7 - 28,816.77 6,295.99 - 6,295.99 28,816.77 35,112.76

BL0352957 Oberthur New - 7,086.16 4,882,333.58 - 4,882,333.58 7,086.16 4,889,419.74

BL0449472 Oberthur Technologies 17,395.30 17,395.30 - - - - 17,395.30

BL0462343 OGF T/L B (03/17) - - - - - - -

BL0402646 Optimal Payments Term Loan B 26,458.33 26,458.33 - - - - 26,458.33

BL0381279 Orion Engineered Term Loan 31,741.90 32,017.59 110,275.69 10,000.00 120,275.69 275.69 152,293.28

BL0383762 Patheon T/L ADD-ON 67,046.60 67,046.60 - 15,113.35 15,113.35 - 82,159.95

BL0402653 Penn Engineering T/L C Incremental 1,741.09 17,283.35 172,195.72 156,736.29 328,932.01 15,542.26 346,215.36

BL0384224 PLU (Aliplast) T/L B 24,194.55 74,252.25 - 6,323,076.93 6,323,076.93 50,057.70 6,397,329.18

EJ9801923 PORTAV 0 12/01/19 - 10,622.00 - - - 10,622.00 10,622.00

BL0426678 PQ Corp T/L 43.39 9,433.04 - 5,294.92 5,294.92 9,389.65 14,727.96

AM8376783 PROGRP Float 03/31/24 - - - - - - -

EK8804131 PROGRP Float 05/01/22 Corp - 15,658.23 - - - 15,658.23 15,658.23

BL0441479 R&R Ice Cream T/L B 6,983.23 20,499.15 - - - 13,515.92 20,499.15

BL0401184 Ranpak Tranche B1 7,155.40 21,004.56 - 4,975.00 4,975.00 13,849.16 25,979.56

LW8188093 SCHMAN Float 07/31/22 Corp - 10,039.82 - - - 10,039.82 10,039.82

AL5702256 SCHUBR 6 1/4 12/15/23 - - - - - - -

BL0449076 Sebia B5 T/L 1st Lien 8,811.87 8,811.87 - - - - 8,811.87

BL0452989 Sebia T/L B3A 41,329.58 41,329.58 - 234,159.15 234,159.15 - 275,488.73

BL0463481 Sebia T/L B3A New - - - - - - -

BL0452971 Sebia T/L B3B 11,379.05 11,379.05 - 64,469.77 64,469.77 - 75,848.82

BL0406167 Siemens T/L B3 27,374.59 27,374.59 - - - - 27,374.59

BL0420655 Siemens T/L B5 3,064.83 3,064.83 - - - - 3,064.83

Interest Principal

Balance

Current

Amounts

Received

Ending

Balance

Balance Total

Collected

Ending

Balance

Current

Amounts

Received

04-Apr-1718-Apr-17

BL0459455 Siemens T/L B6 13,596.07 13,596.07 - 11,076.86 11,076.86 - 24,672.93

BL0392680 SIG Combibloc Term Loan 22,705.48 66,651.58 - 17,891.54 17,891.54 43,946.10 84,543.12

BL0450421 Signode Industrial T/L B2 29,599.46 29,599.46 - 7,506.20 7,506.20 - 37,105.66

BL0449811 SLV - Big White Acq 18,294.05 47,695.19 - - - 29,401.14 47,695.19

QZ9789210 SNAIM Float 07/11/21 Corp - 33,810.00 - - - 33,810.00 33,810.00

BL0422347 Solera Finance T/L B 63,759.43 63,759.43 - 12,217.04 12,217.04 - 75,976.47

BL0402554 Spectrum Brands T/L (EUR) 1,877.59 8,279.98 - 1,825.76 1,825.76 6,402.39 10,105.74

BL0395576 Springer Science & Business Media D 17,118.25 17,118.25 - 3,819.94 3,819.94 - 20,938.19

BL0460529 Styrolution (Ineos) T/L B (03/17) - - - - - - -

BL0441180 Styrolution (Ineos) T/L B (09/16) 10,054.88 10,054.88 - - - - 10,054.88

BL0426280 Taghleef T/L B1 - - - - - - -

BL0346512 Technicolor T/L B 8,623.64 29,606.56 231,000.85 - 231,000.85 20,982.92 260,607.41

BL0392565 Tele Columbus T/L A - 23,291.11 - - - 23,291.11 23,291.11

BL0444218 Tele Columbus T/L New - 22,520.25 - - - 22,520.25 22,520.25

BL0446429 Telenet T/L AE - 49,291.67 - - - 49,291.67 49,291.67

BL0463911 Telenet T/L New - - - - - - -

BL0401846 Terex T/L (Euro) New - 15,762.79 3,609,106.04 - 3,609,106.04 15,762.79 3,624,868.83

BL0461642 Tipico T/L B - - - - - - -

BL0441750 TMF T/L B1 10,660.89 10,660.89 - - - - 10,660.89

BL0446387 TMF T/L B2 4,737.40 4,737.40 - - - - 4,737.40

BL0444515 Ufinet Telecom Holdings T/L - 37,625.00 - - - 37,625.00 37,625.00

BL0461063 Unilabs Diagnostics T/L B (03/17) - - - - - - -

BL0441537 Unilabs Diagnostics TL B - - - - - - -

BL0403636 United Biscuits Term Loan B 1,850.33 11,018.96 126,173.98 - 126,173.98 9,168.63 137,192.94

BL0403875 Univar T/L 2,658.07 3,816.75 490,733.75 1,868.75 492,602.50 1,158.68 496,419.25

BL0448375 UPC T/L B - 1,965.65 - - - 1,965.65 1,965.65

BL0456915 Vedici T/L B2 - - - - - - -

BL0449530 Verisure Holdings B1-C - 28,390.24 - - - 28,390.24 28,390.24

BL0413395 Verisure Holdings T/L B1 - 70,407.80 - - - 70,407.80 70,407.80

BL0460537 Verisure T/L B1-D - - - - - - -

EJ7472784 VUECIN 0 07/15/20 - 62,244.93 - - - 62,244.93 62,244.93

EK5851887 VUECIN FLT 7/15/20 - 12,448.99 - - - 12,448.99 12,448.99

BL0449100 VWR T/L B2 30,696.09 30,696.09 - 10,144.95 10,144.95 - 40,841.04

Interest Principal

Balance

Current

Amounts

Received

Ending

Balance

Balance Total

Collected

Ending

Balance

Current

Amounts

Received

04-Apr-1718-Apr-17

BL0453755 Webhelp T/L B2 - Capucine SAS - 1,792.21 - - - 1,792.21 1,792.21

BL0420648 Webhelp Term Loan B - 10,340.93 - - - 10,340.93 10,340.93

BL0441719 Western Digital T/L B1 (NEW) (EUR) 8,998.65 27,662.51 - - - 18,663.86 27,662.51

BL0460412 Western Digital Technologies Inc T/L B2

1,833.06 1,833.06 - 7,498.87 7,498.87 - 9,331.93

BL0396103 Wind T/L New 91,045.83 91,045.83 - - - - 91,045.83

EK8047053 WINDIM Float 07/15/2020 Corp - 6,567.46 - - - 6,567.46 6,567.46

BL0454613 Xella T/L B - - - - - - -

BL0458747 Yellow Maple T/L 5 19,055.56 23,138.89 - - - 4,083.33 23,138.89

BL0437691 Ziggo T/L C (EUR) - 114,534.17 8,563,422.45 - 8,563,422.45 114,534.17 8,677,956.62

BL0454134 Ziggo T/L F (EUR) - - - - - - -

EUR Total: 2,091,820.31 1,947,322.18 4,039,142.49 24,580,148.72 14,213,159.70 38,793,308.42 42,832,450.91 170

EK3632040 CAREUK Float 07/15/19 - - - - - - -

GBP Total: - - - - - - - 1

BL0397788 Intertain Group T/L B - - - - - - -

USD Total: - - - - - - - 1

Totals: 172

04-Apr-1718-Apr-17

Stratifications - Countries

Country

Principal

Balance

Assets

% of Aggr.

Prin. Bal.

21.50 %U.S. 25 87,110,416.54

18.02 %France 24 72,998,117.97

13.96 %United Kingdom 18 56,542,758.27

12.31 %Germany 27 49,873,962.13

10.67 %Netherlands 14 43,229,803.77

8.59 %Luxembourg 9 34,807,995.67

3.91 %Italy 7 15,835,426.97

3.06 %Sweden 4 12,382,094.85

1.83 %Spain 3 7,415,041.94

1.73 %Switzerland 1 7,013,484.09

1.73 %Austria 2 7,000,000.00

0.89 %Belgium 1 3,588,390.50

0.80 %Canada 1 3,252,976.36

0.51 %Norway 1 2,075,000.00

0.50 %Portugal 1 2,026,758.40

100.00 %Total 138 405,152,227.46

04-Apr-1718-Apr-17

Stratifications - Obligors (10 Largest)

Obligor

Assets

% of Coll.

Prin. Amt.

Principal

Balance

2 9,849,838.88 Intervias Finco Limited 2.45 %

2 8,741,707.20 Cerba European Lab 2.18 %

1 8,177,416.74 Ceva Sante Animale 2.04 %

1 7,944,757.12 Ziggo BV 1.98 %

1 7,854,000.00 Synlab Bondco PLC 1.96 %

1 7,842,967.79 GGC Software Holdings, Inc 1.95 %

2 7,327,173.30 AI Garden B.V 1.83 %

1 7,308,034.68 Xella International SA 1.82 %

1 7,013,484.09 Sig Combibloc Holdings SCA 1.75 %

2 7,000,000.00 Constantia Flexibles Group GmbH 1.74 %

Totals: 79,059,379.80 14 19.70%

04-Apr-1718-Apr-17

Stratifications - Industries

Distribution of Moody's Industry Classification

IndustryPrincipal

Balance

Assets

% of Aggr.

Prin. Bal.

1.29 %Automotive 3 5,243,492.15

7.03 %Banking, Finance, Insurance & Real Estate 8 28,493,974.33

2.21 %Beverage, Food & Tobacco 5 8,938,689.24

1.99 %Capital Equipment 4 8,060,528.42

13.98 %Chemicals, Plastics, & Rubber 21 56,637,786.57

4.68 %Construction & Building 4 18,970,441.14

1.10 %Consumer goods: Non-durable 2 4,468,659.70

4.98 %Containers, Packaging & Glass 9 20,181,101.48

0.60 %Environmental Industries 1 2,411,764.70

0.81 %Forest Products & Paper 2 3,289,000.13

17.51 %Healthcare & Pharmaceuticals 19 70,953,143.08

7.05 %High Tech Industries 7 28,552,594.20

4.50 %Hotel, Gaming & Leisure 9 18,224,901.15

0.37 %Media: Advertising, Printing & Publishing 1 1,497,414.77

6.59 %Media: Broadcasting & Subscription 7 26,682,522.26

0.96 %Metals & Mining 1 3,890,966.34

7.46 %Retail 14 30,210,438.26

11.43 %Services: Business 14 46,307,846.22

0.22 %Services: Consumer 1 881,131.86

4.02 %Telecommunications 5 16,300,831.46

1.22 %Transportation: Consumer 1 4,955,000.00

100.00 %Total 138 405,152,227.46

Distribution of Fitch Industry Classification

IndustryPrincipal

Balance

Assets

% of Aggr.

Prin. Bal.

1.29 %Automobiles 3 5,243,492.15

5.64 %Banking and Finance 9 22,848,653.64

0.37 %Broadcasting and Media 1 1,497,414.77

4.68 %Buildings and Materials 4 18,970,441.14

5.96 %Business Services 7 24,166,612.96

5.23 %Cable 5 21,185,323.11

12.25 %Chemicals 20 49,624,302.48

4.76 %Computer and Electronics 4 19,279,974.64

2.82 %Consumer Products 4 11,441,802.55

0.81 %Environmental Services 2 3,292,896.56

2.21 %Food, Beverage and Tobacco 5 8,938,689.24

4.50 %Gaming, Leisure and Entertainment 9 18,224,901.15

7.46 %General Retail 14 30,210,438.26

14.91 %Healthcare 17 60,410,837.17

3.74 %Industrial/Manufacturing 6 15,163,112.04

7.52 %Packaging and Containers 12 30,483,585.70

6.74 %Pharmaceuticals 5 27,308,754.01

1.00 %Real Estate 1 4,046,963.00

6.88 %Telecommunications 9 27,859,032.89

1.22 %Transportation and Distribution 1 4,955,000.00

100.00 %Total 138 405,152,227.46

04-Apr-1718-Apr-17

Risk Retention

Confirmation

The Collateral Administrator confirms it has received written confirmation from the Retention Holder that:

it continues to hold not less than five per cent. of the nominal value of each Class of Securities; and(i)

it has not sold, hedged or otherwise mitigated its credit risk (including in relation to any financial

arrangements it has entered into) under or associated with the Retention Securities or the underlying

portfolio of Collateral Obligations, except to the extent permitted in accordance with the Retention

Requirements; and

04-Apr-1718-Apr-17

Additional Notices

04-Apr-1718-Apr-17

Disclaimer

This report is for informational purposes only, that certain information included in the report is estimated,

approximated or projected and that the report is provided without any representations or warranties as to accuracy or

completeness and that none of the Portfolio Manager, the Issuer, the Trustee or the Collateral Administrator will have

any liability for such estimates, approximations or projections.

U.S. Bank Global Corporate Trust Services is a trading name of Elavon Financial Services DAC (a U.S. Bancorp

group company), registered in Ireland with the Companies Registration Office, Reg. No. 418442.

The liability of the member is limited. United Kingdom branch registered in England and Wales under the number

BR009373. Authorised by the Central Bank of Ireland.

Address: U.S. Bank Global Corporate Trust Services, 125 Old Broad Street, Fifth Floor, London EC2N 1AR

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