Closing Date 15-May-2014 Investor Report 19-Sep-2017 · Closing Date 15-May-2014 Oaktree Capital Management (UK) LLP 27 Knightsbridge London SW1X 7LY ... Foncia Senior Facility B

Monthly Report

Investor ReportClient Services Manager

Jubilee CLO 2014-XII BV

19-Sep-2017

Closing Date 15-May-2014

Oaktree Capital Management (UK) LLP

27 Knightsbridge

London

SW1X 7LY

United Kingdom

[email protected]

Collateral Manager

This report is for informational purposes only, certain information included in the report is estimated, approximated or projected and the report is provided without any representations or warranties as to accuracy or completeness and that none of the Collateral Manager, the Issuer,

the Trustee or the Collateral Administrator will have any liability for such estimates , approximations or projections.

(This document contains information that is confidential and is the property of BNY Mellon . It may not be copied, published or used, in whole orin part, for any purpose other than as expressly authorised by BNY Mellon.)

Gavin Keogh

Hanover Building

Windmill Lane

Dublin D2

Ireland

+353 1 900 7943

[email protected]

Jubilee CLO 2014-XII B.V.

Investment Adviser’s Report

1

29th September 2017

Alcentra

Market Commentary The European loan market saw the pre-summer pipeline wrapped up over early August, ahead of the traditional summer lull, with the recent supply seeing a little weakness in secondary and the Credit Suisse Western European Leveraged Loan Index (“CS WELLI”) (hedged to EUR) posting a -0.02% return. This took the CS WELLI return for the year to date to +2.53% . Following the strong new issue supply over June and July the secondary market saw more activity than is typical in August, as investors rebalanced portfolios following primary allocations. This supply was comfortably absorbed by the market though, and so while some names showed a little weakness compared to the high trading levels seen earlier in the year the market continued to feel robust. Year-to-date loan volume stood at €73.0 billion at month-end, 80% up on 2016. While a significant proportion of this volume has been refinancing rather than new financings, we continue to see increased new money issuance with sponsor M&A activity picking up and providing new opportunities for the market. Since the summer large deals have launched for Stada, Avavtor/VWR, Sebia and Refresco/Cott, as well as smaller transactions for Synlab, Xella, Clarion, Esmaglass, Pronovias and Praesidiad. Demand for the asset class remains strong, with inflows from a broad range of institutional clients and the level of CLO issuance continuing to be robust. The balance between this supply and demand will ultimately drive new issue margins, with the potential for new issue returns to increase slightly and secondary to show a little weakness, should we see further issuance come to market together with the transactions already launched. However, overall we expect inflows to continue to balance this supply and any moves to remain modest. Please do not hesitate to contact any of us should you have any further questions. Graham Rainbow Portfolio Manager +44 207 367 5267 [email protected] Russell Holliday Portfolio Manager +44 207 367 5006 [email protected]

mailto:[email protected]



2

29th September 2017

Alcentra

Weighted Average Spread

Weighted Average Rating Factor

Moody’s Ratings

3.00%3.25%3.50%3.75%4.00%4.25%4.50%4.75%5.00%5.25%5.50%

240025002600270028002900300031003200

B1 23.9%

B2 45.9%

B3 4.6%

Ba1 4.8%

Ba2 8.1%

Ba3 11.1% Caa1

1.1%

Caa3 0.6%



3

29th September 2017

Alcentra

Fitch Ratings

Industry & Country information can be found on the collateral administrator’s report that follows this commentary. Disclaimer: This Investment Adviser’s Report has been prepared by Alcentra Limited for general information and discussion purposes only. It is not, and may not be relied on as investment advice or as an offer to sell or a solicitation of an offer to buy any security or investment referred to above or any interest in the fund. The information in this Report, including any expression of opinion, has been obtained from or is based upon sources believed by Alcentra Limited to be reliable but is not guaranteed as to its accuracy or completeness and no representation or warranty, expressed or implied is otherwise made with respect to any information contained herein. Any views reflected in this Report are those of Alcentra Limited alone and are subject to change without notice. Except where otherwise indicated herein, the information provided herein is based on matters as they exist as of the date of preparation and will not be updated or otherwise revised to reflect information that subsequently becomes available, or circumstances existing or changes occurring after the date hereof. Recipients should note that an investment in the fund is suitable for qualified professional investors and may only be made pursuant to the latest versions of the offering documents issued by the fund and related legal documentation, which include more detailed disclosure regarding the fund and its related risks that must be reviewed by investors prior to investing. The value of an investment in the fund may go down as well as up. There is no guarantee of trading performance and past performance is not necessarily a guide to future results. Any performance or other financial data included herein is unaudited unless otherwise indicated. The Report includes forward-looking statements. These involve risks and uncertainties that may cause actual results, performance, returns or industry results to be materially different from those expressed or implied by such statements, and are based on numerous assumptions regarding each of the fund’s present and future business strategies and the environment in which it operates. The future performance of the fund depends on numerous factors which are subject to uncertainty. The information contained herein must be kept strictly confidential and may only be reproduced or redistributed with the consent of Alcentra Limited.

B 38.6%

B- 27.7%

B+ 14.7%

BB 4.4%

BB- 12.0%

BB+ 0.2%

BBB 0.6%

CC 0.6%

CCC 1.2%

Asset ID Issuer Name Asset Name Par Settled Mark PriceLX150838 Action Holdings B.V. Facility B 2,000,000.00€ 101.063LX142050 Aenova Facility B (Dragenopharm) 7,500,000.00€ 92.500XS1028956909 Afflelou ABOPTD 5.625 04/15/19 CORP FIXED REGS 1,348,000.00€ 100.254LX140097 AHT Cooling Facility B1 3,902,035.50€ 100.667LX152755 Allnex Tranche B-1 Term Loan 5,458,750.00€ 100.183

21448 Amplitude 2 Unitranche 1,180,000.00€ 100.000LX145177 Angus Chemical Euro Term B-1 Loan 2,450,000.00€ 100.229LX160841 APCOA Term Loan B 2,000,000.00€ 101.068LX143652 AS Adventure Facility B 4,500,000.00€ 98.431LX165484 Avaloq Term Loan B 2,000,000.00€ 99.833XS1082473395 Boparan Finance Plc BOPRLN 4.375 07/15/21 CORP FIXED REGS 3,767,000.00€ 99.500XS1117279619 Cabot Financial Lux SA ECPG FLOAT 11/15/21 Corp 797,000.00€ 104.500LX165609 Caldic Term Loan 4,000,000.00€ 100.813LX137083 Car Trawler Facility B 4,539,117.81€ 99.000LX137091 Catalent Pharma Solutions Inc (FKA Cardinal Health) Euro Term Loan 4,476,994.59€ 101.097LX161320 Cerba Facility B 2,000,000.00€ 99.674LX135736 Ceva Sante Animale Facility B2 4,000,000.00€ 100.266LX161997 Chemours Tranche B-1 Euro Term Loan 4,488,750.00€ 100.641LX153899 Coherent Euro Term Loan 7,484,757.46€ 100.984LX143893 Constantia Flexibles Facility B2A (EUR) 259,780.91€ 100.250LX143296 Constantia Flexibles Facility B1A (EUR) 1,740,219.09€ 100.250LX160654 Cooper Facility B2 300,125.37€ 100.732LX159934 Cooper Facility B1 699,874.63€ 100.732LX133726 CPA (aka Redtop) Initial Euro Term Loan (First Lien) 3,000,000.00€ 100.000LX141055 Delachaux 2014 Facility B1 7,781,932.68€ 101.021LX137333 Deoleo S.A. Initial Term Loan (First Lien) 5,000,000.00€ 70.031LX164120 Diaverum Holding S.ar.l. (fka Velox Bidco SARL) 2nd Lien 1,500,000.00€ 98.250LX164119 Diaverum Holding S.ar.l. (fka Velox Bidco SARL) Term Loan 4,000,000.00€ 99.683LX161739 Dorna Sports, S.L. Term Loan (Euro) 9,431,615.10€ 100.188LX160537 Douglas Holding AG Facility B19 74,716.14€ 100.500LX160534 Douglas Holding AG Facility B16 175,766.42€ 100.500LX160539 Douglas Holding AG Facility B21 190,178.33€ 100.500LX160538 Douglas Holding AG Facility B20 283,558.56€ 100.500LX160536 Douglas Holding AG Facility B18 336,222.63€ 100.500LX160535 Douglas Holding AG Facility B17 432,128.13€ 100.500LX159199 Douglas Holding AG Facility B15 507,429.79€ 100.500LX164355 Dummen Orange Term Loan B 4,500,000.00€ 99.750LX161434 Eircom Finco S.a r.l. Term Loan 4,500,000.00€ 100.508LX146849 Elsan (fka Vedici) Facility B 6,000,000.00€ 100.881LX168018 Equinix Term B-2 Loan (2017) 6,982,500.00€ 100.281LX137157 ERM Facility B2 (EUR) 4,000,000.00€ 97.750LX160780 Ethypharm Facility B 1,500,000.00€ 100.667LX163533 Euro Garage Limited Term Facility D2 (EUR) 9,000,000.00€ 100.682XS1587905727 Federal Mogul FDML 4 7/8 04/15/22 1,400,000.00€ 101.980LX136879 FLINT(fka BASF) (aka ColourOz) Initial Euro Term Loan (First Lien) 9,891,079.37€ 98.341LX153737 Foncia Senior Facility B 4,941,491.39€ 100.488XS1071411547 GALAPAGOS SA GALAPG FLOAT 06/15/21 CORP REGS 1,888,000.00€ 98.500XS1492372088 Garfunkelux Holdco 3 SA GFKLDE 0 10/01/21 6,500,000.00€ 101.000LX166222 Genesys (Greeneden) Euro Term Loan 6,467,500.00€ 100.714LX139056 Gesundheits GmbH Initial Term Loan 4,000,000.00€ 98.250XS1516322465 Guala Closures SPA GCLIM +4.75 11/15/21 2,250,000.00€ 100.750LX161094 GVC Term Loan B 1,000,000.00€ 100.333LX152965 Hotelbeds Group Facility B 2,954,693.88€ 100.986LX160309 Ineos PLC New 2022 Euro Term Loan 14,152,417.76€ 100.583LX162255 Infinitas Facility B3 6,000,000.00€ 99.375LX159914 INFOR (FKA LAWSON) Euro Tranche B-1 Term Loan 3,690,750.00€ 100.375LX162963 INOVYN Term Loan B 1,488,768.75€ 100.850LX156376 Interoute Finco PLC Facility B 2,000,000.00€ 100.357LX147780 ION Trading Technologies Tranche B-1 Euro Term Loan (First Lien) 8,063,797.81€ 100.833LX144052 Ista International Facility B1B3 16,538.39€ 99.938LX144054 Ista International Facility B1E3 31,652.59€ 99.938LX143932 Ista International Facility B1C3 114,841.90€ 99.938LX143931 Ista International Facility B1A3 13,836,967.12€ 99.938LX163472 Jacobs Douwe Egberts Term Loan B5 1,927,987.69€ 100.896LX165634 Klockner Pentaplast Euro Term Loan 8,000,000.00€ 98.450LX167833 Kraton Polymers LLC Term Loan 2,500,000.00€ 100.813LX163674 Labeyrie Term Loan B2 313,186.81€ 100.946LX162594 Labeyrie Term Loan 1,186,813.19€ 100.946

Lumenis Unitranche (JPM USD Swap) 3,532,800.00€ 97.000LX145356 M7 Group S.A. Facility B (D) 7,200,101.73€ 100.715XS1496169001 MCS Groupe MCSGRP 5.75 09/30/21 1,200,000.00€ 106.125LX137058 Memora TLB Facility 6,459,589.56€ 101.208LX163229 Misys Newco (aka Magic Newco) Euro Term Loan 2,000,000.00€ 101.047LX145135 Motor Fuel Group Term B (GBP JPM Swap 1) 2,848,250.00€ 101.268LX165654 MRH (GB) Limited Facility B4 3,500,000.00€ 100.263LX157878 NEP Europe Finco B.V. Euro Term Loan (First Lien) 1,492,500.00€ 100.750XS1248517341 New Look Secured Issuer PLC NEWLOK +4.5% Float 07/01/22 750,000.00€ 62.851LX152525 Novacap Facility B 2,000,000.00€ 100.768XS1634447988 NUOVO TRASPORTO VIAGGIATORI SPA NTV 0 06/01/23 2,000,000.00€ 101.980LX157594 Oberthur Technologies Facility B1 (EUR) 3,444,043.32€ 98.196

Jubilee XII Market Value Positions as at 19/09/2017

LX158095 Oberthur Technologies (EUR) COV-Lite TLB2 5,555,956.68€ 98.196LX161834 OGF Term Loan B 1,500,000.00€ 100.819LX145020 Optimal Payments Facility B 3,000,000.00€ 100.031LX139695 ORION ENGINEERED CARBONS Initial Euro Term Loan 7,476,765.54€ 101.042LX161205 Parex Term Loan B 4,000,000.00€ 100.438LX157015 Platform Specialty (aka MacDermid) Euro Tranche C-4 Term Loan 3,463,825.00€ 100.139LX162203 Platform Specialty (aka MacDermid) Term Loan C5 6,436,242.81€ 100.431LX164876 Portaventura Term Loan B 2,500,000.00€ 100.050LX167801 PQ Corporation Second Amendment Tranche B-2 Term Loan 990,018.75€ 101.000LX166130 Premier Lotteries Cov-Lite TLB 750,000.00€ 100.375LX162576 Prosol Term Loan B 1,750,000.00€ 100.625LX133835 Santander Asset Management Term Loan EUR 4,842,660.51€ 100.458LX142742 Sebia S.A. Facility B3B 2,023,911.93€ 100.275LX139399 Sebia S.A. Facility B3A 7,378,223.23€ 100.275LX162008 SFR (Numericable) (EUR) B11 TLB 3,990,000.00€ 99.625LX147340 Siblu Acquisition 1 687,500.00€ 100.000

29202 Siblu Acquisition 2 1,375,000.00€ 98.000LX147339 Siblu Unitranche 4,812,500.00€ 100.000LX160224 Siemens Audiology Solutions Incremental Facility B6 1,955,113.43€ 100.984LX157317 SLV Facility B 2,000,000.00€ 95.458XS1405782662 SMCP SMCPFP Float 05/01/22 Corp 1,000,000.00€ 102.400XS1684385161 SOFTBANK CORP SOFTBK 3 1/8 09/19/25 2,600,000.00€ 99.850LX151195 Solera Euro Term Loan 1,975,000.00€ 101.013LX161998 Springer Science & Business Media New Initial B11 Term Loan 14,191,764.04€ 100.260LX168343 Stiga Facility B 6,000,000.00€ 99.250XS1087775240_J STRETFORD SEVENTY NINE ICELTD FLOAT 07/15/20 CORP_J12_SWAP 1,562,900.13€ 99.750LX161339 Styrolution Group GMBH Euro Term Loan 5,586,462.59€ 101.102LX146812 Sunrise Medical Facility B2 (First Lien) 606,349.21€ 99.950LX145738 Sunrise Medical Facility B1 (First Lien) 4,393,650.79€ 99.950LX152515 Taghleef Industries Facility B (EUR) 1,500,000.00€ 100.729LX162153 Technicolor First Incremental Euro Term Loan 2,500,000.00€ 99.563LX157075 Technicolor Euro Term Loan 3,500,000.00€ 99.781LX162004 Tele Columbus Facility A (New) 5,500,000.00€ 100.636LX161574 Tipico Term B Loan 5,500,000.00€ 99.325LX162575 TMF Group Holdco B.V. Term Loan B 3,500,000.00€ 100.569LX161584 Unilabs Term Loan B 9,500,000.00€ 99.250LX141580 Unit4 Facility B1 (EUR) 7,000,000.00€ 100.167XS1647814968 United Group (Adria Bidco BV) ADRBID 4 3/8 07/01/22 5,500,000.00€ 102.239LX145475 Univar Inc Initial Euro Term Loan 978,000.00€ 100.700XS1117297603 UPCB Finance IV Ltd UPCB 4 01/15/27 3,000,000.00€ 105.246LX164316 Verallia Facility B4 7,500,000.00€ 100.125XS1179900102 Viridian VRDLN 7.5 03/01/20 CORP FIXED REGS 1,575,000.00€ 103.730LX139578 Vivarte Super Senior Term Loan 3,052,004.20€ 85.600LX136616 VNU Class B-2 Euro Term Loan 3,120,359.84€ 100.225LX159174 Webhelp Facility B2 3,000,000.00€ 100.698XS1204622960 Wind WINDIM 0 07/15/20 1,000,000.00€ 100.159XS1082635712 Wind WINDIM FLOAT 07/15/20 CORP REGS 2,215,000.00€ 100.150XS1505573995 WMG Acquisition Corp WMG 4.125% - 01/11/2024 Corp 1,500,000.00€ 106.000LX159274 Xella International S.A. Term Loan B 3,500,000.00€ 100.198LX159376 Ziggo (Casema, Amsterdamse Beheer) Term Loan F 12,000,000.00€ 100.733

471,976,433.08

Disclaimer This Investment Adviser’s Report has been prepared by Alcentra Limited for general information and discussion purposes only. It is not, and may not be relied on as investment advice or as an offer to sell or a solicitation of an offer to buy any security or investment referred to above or any interest in the fund. The information in this Report, including any expression of opinion, has been obtained from or is based upon sources believed by Alcentra Limited to be reliable but is not guaranteed as to its accuracy or completeness and no representation or warranty, expressed or implied is otherwise made with respect to any information contained herein. Any views reflected in this Report are those of Alcentra Limited alone and are subject to change without notice. Except where otherwise indicated herein, the information provided herein is based on matters as they exist as of the date of preparation and will not be updated or otherwise revised to reflect information that subsequently becomes available, or circumstances existing or changes occurring after the date hereof.

Recipients should note that an investment in the fund is suitable for qualified professional investors and may only be made pursuant to the latest versions of the offering documents issued by the fund and related legal documentation, which include more detailed disclosure regarding the fund and its related risks that must be reviewed by investors prior to investing. The value of an investment in the fund may go down as well as up. There is no guarantee of trading performance and past performance is not necessarily a guide to future results. Any performance or other financial data included herein is unaudited unless otherwise indicated.

The Report includes forward-looking statements. These involve risks and uncertainties that may cause actual results, performance, returns or industry results to be materially different from those expressed or implied by such statements, and are based on numerous assumptions regarding each of the fund’s present and future business strategies and the environment in which it operates. The future performance of the fund depends on numerous factors which are subject to uncertainty. The information contained herein must be kept strictly confidential and may only be reproduced or redistributed with the consent of Alcentra Limited.

Table of Contents

Jubilee CLO 2014-XII BV 19-Sep-2017 12:00:00AM

PageReport

2Account Balances

4Compliance Tests

7Industry Stratification

8Asset Information I

13Asset Information II

18Asset Information III

23Interest Coverage Tests

24Interest Coverage Tests - Statistical Highlights

25Notes and Asset Information

26Par Value Tests

27Par Value Tests - Statistical Highlights

28Portfolio Assets - Affiliated Issuers with Investment Manager

29Portfolio Assets - Asset Swap Transactions

30Portfolio Assets - Collateral Debt Obligations that pay interest semi-annually

31Portfolio Assets - Collateral Enhancement Obligations

32Portfolio Assets - Committed Trades

33Portfolio Assets - Cov-Lite Loans

34Portfolio Assets - Current Pay Excess

35Portfolio Assets - Current Pay Obligations

36Portfolio Assets - Defaulted Obligations

37Portfolio Assets - Deferring Obligations

38Portfolio Assets - Discount Obligations

39Portfolio Assets - Discretionary Reason for Sale

40Portfolio Assets - Exchanged Securities

41Portfolio Assets - Interest Rate Hedge Transactions

42Portfolio Assets - Market Value determined by Investment Manager

43Portfolio Assets - Moodys Ratings Derived Pursuant to Clause (e)

44Portfolio Assets - Obligations forming CCC/Caa Excess

45Portfolio Assets - Participations with no Lender of Record

46Portfolio Assets - Ratings Change Report

47Portfolio Assets - Securities Sold Detail

50Portfolio Assets - Substitute Collateral Debt Obligations

51Portfolio Assets - Swapped Non-Discount Obligations

52Purchase and Sale Activity

53Purchased/Sold Accrued Interest

54Ratings Stratification

55Restructured Obligations

58Risk Retention Confirmation

59Securities that have been Upgraded or Downgraded

www.bnyinvestorreporting.com@Copyright 2007, The Bank of New York. All Rights Reserved. contents

Jubilee CLO 2014-XII BV 19-Sep-2017

Account Summary

Account Name Closing

Traded

Balance

Account

Number

Closing

Settled

Balance

Opening

Traded

Balance

Opening

Settled

Balance

General

Jubilee CLO 2014-XII BV Asset Swap Ac-GBP 5584188261 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Asset Swap acc -EUR 5584189781 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Asset Swap acc -USD 5584188401 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Collateral Enhancement Ac-GBP 5584188262 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Collateral Enhancement acc -EUR 5584189782 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Collateral Enhancement acc -USD 5584188402 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Contribution Ac -EUR 5584199787 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Contribution Ac -USD 5584198407 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Contribution Ac-GBP 5584198267 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Counterparty Downgrade Coll Ac-GBP 5584188263 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Counterparty Downgrade Coll acc -EUR 5584189783 930,000.00 930,000.00 930,000.00 930,000.00

Jubilee CLO 2014-XII BV Counterparty Downgrade Coll acc -USD 5584188403 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Expense Reserve Ac -USD 5584198405 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Expense Reserve Ac-GBP 5584198265 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV First Perid Res Ac -EUR 5584199786 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV First Perid Res Ac -USD 5584198406 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV First Perid Res Ac-GBP 5584198266 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV General Ac - USD 5584198400 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV General Ac -EUR 5584199780 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV General Ac -GBP 5584198260 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Hedge Termination Ac-GBP 5584188260 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Hedge Termination acc -EUR 5584189780 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Hedge Termination acc -USD 5584188400 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Payment Ac -EUR 5584199784 0.12 0.12 0.12 0.12

Jubilee CLO 2014-XII BV Payment Ac -USD 5584198404 0.01 0.01 0.01 0.01

Jubilee CLO 2014-XII BV Payment Ac-GBP 5584198264 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Unfund Revo Res Ac -EUR 5584199788 1,375,000.00 1,375,000.00 1,375,000.00 1,375,000.00

Jubilee CLO 2014-XII BV Unfund Revo Res Ac -USD 5584198408 0.01 0.01 0.01 0.01

Jubilee CLO 2014-XII BV Unfund Revo Res Ac-GBP 5584198268 0.00 0.00 0.00 0.00

Interest

Jubilee CLO 2014-XII BV Interest Ac - USD 5584198402 146,960.36 146,960.36 2.03 2.03

Jubilee CLO 2014-XII BV Interest Ac -EUR 5584199782 2,410,906.14 2,410,906.14 1,718,974.90 1,718,974.90

© Copyright 2014, BNY Mellon. All Rights Reserved. 2 Account Summary


Account Summary

Account Name Closing

Traded

Balance

Account

Number

Closing

Settled

Balance

Opening

Traded

Balance

Opening

Settled

Balance

Jubilee CLO 2014-XII BV Interest Ac-GBP 5584198262 75,548.57 75,548.57 53,883.22 53,883.22

Principal

Jubilee CLO 2014-XII BV Principal Ac -EUR 5584199781 28,899,169.68 28,899,169.68 29,850,285.18 29,850,285.18

Jubilee CLO 2014-XII BV Principal Ac -USD 5584198401 0.01 0.01 0.01 0.01

Jubilee CLO 2014-XII BV Principal Ac-GBP 5584198261 0.01 0.01 0.02 0.02

Jubilee CLO 2014-XII BV Unused Proceeds Ac -EUR 5584199783 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Unused Proceeds Ac -USD 5584198403 0.00 0.00 0.00 0.00

Jubilee CLO 2014-XII BV Unused Proceeds Ac-GBP 5584198263 0.00 0.00 0.00 0.00

Reserve

Jubilee CLO 2014-XII BV Expense Reserve Ac -EUR 5584199785 0.00 0.00 0.00 0.00

© Copyright 2014, BNY Mellon. All Rights Reserved. 3 Account Summary


Compliance Tests

Maximum/Minimum ActualNumerator Target ResultTest Name

Collateral Quality

Fitch Maximum Weighted Average Rating Factor Test 32.72 <= 33 PASSMaximum

Fitch Minimum Weighted Average Recovery Rate Test 65.0% >= 64.8% PASSMinimum

Maximum Moody's Weighted Average Rating Factor 2,688 <= 3,095 PASSMaximum

Maximum Weighted Average Life Test 5.04 <= 4.65 FAILMaximum

Minimum Weighted Average Fixed Coupon Test 8.752% >= 6.20% PASSMinimum

Moody's Minimum Diversity Test 45 >= 40 PASSMinimum

Moody's Minimum Weighted Average Recovery Rate Test 46.2% >= 42.0% PASSMinimum

Weighted Average Spread Test 3.995% >= 3.80% PASSMinimum

Coverage Tests

Class A/B Interest Coverage Test 483.45% >= 120.00% PASSMinimum

Class A/B Par Value Test 139.91% >= 129.66% PASSMinimum

Class C Interest Coverage Test 406.16% >= 110.00% PASSMinimum

Class C Par Value Test 130.27% >= 121.54% PASSMinimum

Class D Interest Coverage Test 337.08% >= 105.00% PASSMinimum

Class D Par Value Test 122.34% >= 115.13% PASSMinimum

Class E Interest Coverage Test 245.94% >= 101.00% PASSMinimum

Class E Par Value Test 112.23% >= 106.53% PASSMinimum

Class F Par Value Test 107.65% >= 102.96% PASSMinimum

Reinvestment Overcollateralisation Test 107.65% >= 103.46% PASSMinimum

Portfolio Profile Test

(a) Senior Secured Loans & Bonds 98.9% >= 90.0% PASSMinimum

(b) Senior Secured Loans 85.9% >= 60.0% PASSMinimum

(c) Unsecured Senior Obligations, Mezzanine Obligations, Second Lien Loans and High Yield Bonds 1.1% <= 10.0% PASSMaximum

(d-i) Highest Single Obligor of Secured Senior Loans and Bonds 2.8% <= 3.0% PASSMaximum

(d-ii) 6th Highest Single Obligor of Secured Senior Loans and Bonds 2.0% <= 2.5% PASSMaximum

(e) Highest Single Obligor - Unsecured Senior Obligations, Mezzanine Obligations, Second Lien Loans and High Yield Bonds 0.8% <= 1.5% PASSMaximum

(f) Participations 0.0% <= 5.0% PASSMaximum

(g) CCC Obligations - Fitch 1.8% <= 7.5% PASSMaximum

(h) Caa Obligations - Moody 1.6% <= 7.5% PASSMaximum

(i) Fixed Rate Collateral Debt Obligations 4.1% <= 10.0% PASSMaximum

(j) Current Pay Obligations 0.0% <= 2.5% PASSMaximum

(k) Revolving Obligations and/or Delayed Drawdown Collateral Obligations 0.3% <= 5.0% PASSMaximum

© Copyright 2014, BNY Mellon. All Rights Reserved. 4 Compliance Tests


Compliance Tests


(l-i) Corporate Rescue Loans 0.0% <= 5.0% PASSMaximum

(l-ii) Highest Single Obligor of Corporate Rescue Loans 0.0% <= 2.0% PASSMaximum

(m-i) PIK Securities that are Restructured 0.0% <= 5.0% PASSMaximum

(m-ii) PIK Securities that are not Restructured 0.0% <= 0.0% PASSMaximum

(n) Cov-Lite Loans 5.8% <= 20.0% PASSMaximum

(o) Loans originated by the Investment Manager 0.0% <= 20.0% PASSMaximum

(p-i) Obligors - Domiciled in country rated below Aa3 By Moody 0.5% <= 10.0% PASSMaximum

(p-ii) Obligors - Domiciled in country rated below A3 By Moody 0.0% <= 5.0% PASSMaximum

(p-iii) Obligors - Domiciled in country rated below Baa3 By Moody 0.0% <= 0.0% PASSMaximum

(q) Obligors - Domiciled in country rated below A- By Fitch 7.4% <= 10.0% PASSMaximum

(r-i) Top Fitch Industry Classification 14.2% <= 17.5% PASSMaximum

(r-ii) Top 3 Fitch Industry Classifications 32.3% <= 40.0% PASSMaximum

(s)(ii)(vi) Moody Individual Third Party Credit Exposure rated A2/P1 0% <= 5% PASSMaximum

(s)(ii)(vii) Moody Aggregate Third Party Credit Exposure rated A2 and not short term rating of P-1 or lower 0% <= 5% PASSMaximum

(s)(ii)(vii) Moody Individual Third Party Credit Exposure rated A2 and not short term rating of P-1 or lower 0% <= 5% PASSMaximum

(t) Moody's Rating derived from S&P's Ratings 0.0% <= 10.0% PASSMaximum

(u) Non-Euro Obligations 1.6% <= 30.0% PASSMaximum

(v-i) Highest Single Obligor 2.8% <= 3.0% PASSMaximum

(v-ii) 6th Highest Single Obligor 2.0% <= 2.5% PASSMaximum

Portfolio Profile: Bivariate

(s)(i) Fitch Individual Third Party Credit Exposure Rated AAA 0.0% <= 20.0% PASSMaximum

(s)(i)(i) Fitch Aggregate Third Party Credit Exposure Rated AAA or Lower 0.0% <= 20.0% PASSMaximum

(s)(i)(ii) Fitch Aggregate Third Party Credit Exposure Rated AA+ or Lower 0.0% <= 20.0% PASSMaximum

(s)(i)(ii) Fitch Individual Third Party Credit Exposure Rated AA+ 0.0% <= 10.0% PASSMaximum

(s)(i)(iii) Fitch Aggregate Third Party Credit Exposure Rated AA or Lower 0.0% <= 20.0% PASSMaximum

(s)(i)(iii) Fitch Individual Third Party Credit Exposure Rated AA 0.0% <= 10.0% PASSMaximum

(s)(i)(iv) Fitch Aggregate Third Party Credit Exposure Rated AA- or Lower 0.0% <= 15.0% PASSMaximum

(s)(i)(iv) Fitch Individual Third Party Credit Exposure Rated AA- 0.0% <= 10.0% PASSMaximum

(s)(i)(v) Fitch Aggregate Third Party Credit Exposure Rated A+ or Lower 0.0% <= 10.0% PASSMaximum

(s)(i)(v) Fitch Individual Third Party Credit Exposure Rated A+ 0.0% <= 5.0% PASSMaximum

(s)(i)(vi) Fitch Aggregate Third Party Credit Exposure Rated A or Lower 0.0% <= 5.0% PASSMaximum

(s)(i)(vi) Fitch Individual Third Party Credit Exposure Rated A 0.0% <= 5.0% PASSMaximum

(s)(i)(vii) Fitch Aggregate Third Party Credit Exposure Rated A- or Lower 0.0% = 0.0% PASSEquivalent



Compliance Tests


(s)(i)(vii) Fitch Individual Third Party Credit Exposure Rated A- 0.0% = 0.0% PASSEquivalent

(s)(ii)(i) Moody Individual Third Party Credit Exposure Rated Aaa 0.0% <= 20.0% PASSMaximum

(s)(ii)(i) Moody's Aggregate Third Party Credit Exposure Rated Aaa or Lower 0.0% <= 20.0% PASSMaximum

(s)(ii)(ii) Moody Aggregate Third Party Credit Exposure Rated Aa1 or Lower 0.0% <= 20.0% PASSMaximum

(s)(ii)(ii) Moody Individual Third Party Credit Exposure Rated Aa1 0.0% <= 10.0% PASSMaximum

(s)(ii)(iii) Moody Aggregate Third Party Credit Exposure Rated Aa2 or Lower 0.0% <= 20.0% PASSMaximum

(s)(ii)(iii) Moody Individual Third Party Credit Exposure Rated Aa2 0.0% <= 10.0% PASSMaximum

(s)(ii)(iv) Moody Aggregate Third Party Credit Exposure Rated Aa3 or Lower 0.0% <= 15.0% PASSMaximum

(s)(ii)(iv) Moody Individual Third Party Credit Exposure Rated Aa3 0.0% <= 10.0% PASSMaximum

(s)(ii)(v) Moody Aggregate Third Party Credit Exposure Rated A1 or Lower 0.0% <= 10.0% PASSMaximum

(s)(ii)(v) Moody Individual Third Party Credit Exposure Rated A1 0.0% <= 5.0% PASSMaximum

(s)(ii)(vi) Moody Aggregate Third Party Credit Exposure Rated A2 or Lower 0.0% <= 5.0% PASSMaximum

(s)(ii)(vi) Moody Aggregate Third Party Credit Exposure rated A2/P1 0% <= 5% PASSMaximum

(so)(ii)(vi) Moody Individual Third Party Credit Exposure Rated A2 0.0% <= 5.0% PASSMaximum



Industry Stratification - Fitch and Moody's

0

2

4

6

8

10

12

14

16

Che

micals & p

lastics

Hea

lth car

e

Rad

io &

Telev

ision

Leisu

re

good

s/ac

tivities

/mov

ies

Electro

nics

/electric

al

Cab

le &

sat

ellite

tele

visio

n

Ret

ailers

(exc

ept f

ood

&

drug

)

Dru

gs

Con

tainer

s & g

lass

prod

ucts

Indu

stria

l equ

ipm

ent

Telec

omm

unicat

ions

Finan

cial int

erm

ediarie

s

Busin

ess eq

uipm

ent &

serv

ices

Utilitie

s

Building

& Dev

elop

men

t

Ecolo

gica

l ser

vices

&

equipm

ent

Food

prod

ucts

Food/

drug

reta

ilers

Farm

ing/

agric

ultu

re

Bever

age

& Tob

acco

Autom

otive

Rai

l indu

strie

s

Oil & g

as

Enviro

nmen

tal s

ervice

s

Food

serv

ice

Clo

thing/

textile

s

P

% o

f A

PB

Fitch Industry Breakdown

0

2

4

6

8

10

12

14

16

Hea

lthca

re, E

duca

tion

and

Chi

ldca

re

Che

micals, P

lastics

and

Rub

ber

Broad

casting

and

Enter

tainm

ent

Electro

nics

Printin

g an

d Pub

lishing

Ret

ail S

tore

Telec

omm

unicat

ions

Finan

ce

Con

tainer

s, P

acka

ging

and

Gla

ss

Leisu

re, A

mus

emen

t, M

otion

Pictu

res, E

nter

tainm

ent

Diver

sified/

Con

glom

erat

e

Servic

e

Buildings

and

Rea

l Estat

e

Utilitie

s

Hot

els, M

otels, In

ns a

nd G

aming

Bever

age,

Foo

d an

d Tob

acco

Ecolo

gica

l

Diver

sified/

Con

glom

erat

e

Man

ufac

turin

g

Hom

e an

d O

ffice

Fur

nish

ings

,

Hou

sewar

es a

nd D

urab

le

Con

sum

er P

rodu

cts

Farm

ing

and

Agricu

lture

Autom

obile

Banking

Perso

nal T

rans

porta

tion

Mac

hine

ry (N

on-A

gricultu

re,

Non

-Con

stru

ction

and

Non

-Ele

ctro

nic)

Gro

cery

P

% o

f A

PB

Moody's Industry Breakdown

© Copyright 2014, BNY Mellon. All Rights Reserved. 7 Industry Stratification - Fitch and Moody's


Asset Information I

Euribor

Floor

Principal

Balance

Net

Spread

LXID / ISINIssuer Name Asset Seniority Currency Asset

Type

Country of

Domicile

Rate

Option

Payment

Frequency

Maturity

Date

Aenova Holding GmbH Facility B (Aenova Holding) LX142050 Senior Secured 4.00% 3,914,737.00 1.00% EUR Loan GermanyFloat Monthly 29-Sep-2020

Aenova Holding GmbH - Dragenopharm

Apotheker Pueschl GmbH

Facility B LX142050 Senior Secured 4.00% 1,936,613.00 1.00% EUR Loan GermanyFloat Quarterly 29-Sep-2020

Aenova Holding GmbH - SwissCaps

Holding (Luxembourg) Sarl

Facility B LX142050 Senior Secured 4.00% 1,179,812.00 1.00% EUR Loan LuxembourgFloat Monthly 29-Sep-2020

Aenova Holding GMBH - Temmler Pharma

GMBH & Co. KG

Facility B (Temmler) LX142050 Senior Secured 4.00% 468,837.90 1.00% EUR Loan GermanyFloat Monthly 29-Sep-2020

Allnex SARL Tranche B-1 Term Loan LX152755 Senior Secured 3.25% 5,458,750.00 0.00% EUR Loan LuxembourgFloat Quarterly 13-Sep-2023

Alpha Bidco SAS Facility B1 LX159934 Senior Secured 0.00% 699,874.60 0.00% EUR Loan FranceFloat Quarterly 07-Mar-2024

Alpha BidCo SAS - Dutch Topco Facility B2 LX160654 Senior Secured 3.50% 300,125.40 0.00% EUR Loan FranceFloat Quarterly 07-Mar-2024

Amplitude Float - 08/2021 (Private Placement) 21448 Senior Secured 5.00% 1,180,000.00 0.00% EUR Loan FranceFloat Semi-Annual 20-Aug-2021

APCOA Parking Holdings Gmbh Term Loan B LX160841 Senior Secured 4.25% 2,000,000.00 0.00% EUR Loan GermanyFloat Quarterly 20-Mar-2024

Aruba Investments Inc Euro Term B-1 Loan LX145177 Senior Secured 3.25% 2,450,000.00 1.00% EUR Loan United StatesFloat Quarterly 02-Feb-2022

AS Adventure BV Facility B LX143652 Senior Secured 5.00% 4,500,000.00 0.00% EUR Loan United KingdomFloat Quarterly 14-Apr-2022

Auris Luxembourg III SARL Facility B6 LX160224 Senior Secured 3.50% 1,955,113.00 0.00% EUR Loan GermanyFloat Quarterly 17-Jan-2022

Big White Acquico Gmbh Facility B LX157317 Senior Secured 4.25% 2,000,000.00 0.00% EUR Loan GermanyFloat Monthly 03-Jan-2024

BISOHO SAS Float - 05/2022 XS1405782662 Senior Secured 6.00% 1,000,000.00 0.00% EUR Bond FranceFloat Quarterly 01-Nov-2022

Boparan Finance Plc 4.375% - 07/2021 XS1082473395 Senior Unsecured 0.00% 3,767,000.00 N/A EUR Loan United KingdomFixed Semi-Annual 15-Jul-2021

Cabot Finacial Luxembou ECPG Float - 11/15/2021 XS1117279619 Senior Secured 5.88% 797,000.00 0.00% EUR Bond United StatesFloat Quarterly 15-Nov-2021

Catalent Pharma Solutions Inc 1st Lien EUR Term Loan LX137091 Senior Secured 2.50% 4,476,995.00 1.00% EUR Loan United StatesFloat Monthly 20-May-2021

CDS Holdco III BV Facility B Commitment LX145356 Senior Secured 3.25% 7,200,102.00 0.00% EUR Loan LuxembourgFloat Monthly 30-Jun-2021

Ceva Sante Animale Facility B2 LX135736 Senior Secured 3.00% 4,000,000.00 0.00% EUR Loan FranceFloat Quarterly 30-Jun-2021

Chemours Company (The) Tranche B1 Euro Term Loan LX161997 Senior Secured 2.25% 4,488,750.00 0.75% EUR Loan United StatesFloat Quarterly 12-May-2022

Cidron Gloria Group Services Gmbh Initial Term Loan LX139056 Senior Secured 3.00% 4,000,000.00 1.00% EUR Loan GermanyFloat Quarterly 30-Aug-2021

Cidron Ollopa BV Facility B1 (First Lien) LX145738 Senior Secured 3.50% 4,393,651.00 1.00% EUR Loan NetherlandsFloat Quarterly 29-Jul-2022

Cidron Ollopa BV Facility B2 (First Lien) LX146812 Senior Secured 3.50% 606,349.20 1.00% EUR Loan NetherlandsFloat Quarterly 30-Sep-2022

Coherent Holding Gmbh Euro Term Loan LX153899 Senior Secured 2.25% 7,484,758.00 0.75% EUR Loan GermanyFloat Quarterly 07-Nov-2023

Colouroz Investment 1 GMBH New First Lien Initial Term Loan LX136879 Senior Secured 3.00% 9,891,079.00 0.75% EUR Loan GermanyFloat Quarterly 07-Sep-2021

Constantia Flexibles Gmbh Facility B1A (EUR) LX143296 Senior Secured 3.00% 1,740,219.00 1.00% EUR Loan AustriaFloat Quarterly 30-Apr-2022

Constantia Flexibles Gmbh Facility B2A (EUR) LX143893 Senior Secured 3.00% 259,780.90 1.00% EUR Loan AustriaFloat Quarterly 30-Apr-2022

Cool International Holding GMBH Facility B1 LX140097 Senior Secured 4.25% 3,902,036.00 0.00% EUR Loan AustriaFloat Quarterly 19-Nov-2020

Delachaux S.A. - Railtech International

S.A.

Facility B1 LX141055 Senior Secured 3.75% 7,781,933.00 0.00% EUR Loan FranceFloat Quarterly 28-Oct-2021

Deoleo S.A. Initial Term Loan (First Lien) LX137333 Senior Secured 3.50% 5,000,000.00 1.00% EUR Loan SpainFloat Quarterly 11-Jun-2021

Diaverum Holding SARL Second Lien Term Loan LX164120 Senior Unsecured 8.23% 1,500,000.00 0.00% EUR Loan LuxembourgFloat Quarterly 04-Jul-2025

Diaverum Sarl Facility B LX164119 Senior Secured 3.25% 4,000,000.00 0.00% EUR Loan LuxembourgFloat Bi-monthly 10-Jun-2024

Dorna Sports SL B2 Euro Term Loan LX161739 Senior Secured 3.25% 9,431,615.00 0.00% EUR Loan SpainFloat Semi-Annual 31-Dec-2023

© Copyright 2014, BNY Mellon. All Rights Reserved. 8 Asset Information I


Asset Information I

Euribor

Floor

Principal

Balance

Net

Spread


Type

Country of

Domicile

Rate

Option

Payment

Frequency

Maturity

Date

Eircom Finco S.a.r.l 2017 Term Loan B LX161434 Senior Secured 3.48% 4,500,000.00 0.00% EUR Loan IrelandFloat Monthly 19-Apr-2024

Elsan SAS Facility B2 LX146849 Senior Secured 3.75% 6,000,000.00 0.00% EUR Loan FranceFloat Monthly 31-Oct-2022

Emerald 2 Limited - Eagle US Inc Facility B2 LX137157 Senior Secured 4.00% 4,000,000.00 1.00% EUR Loan United KingdomFloat Quarterly 17-May-2021

Equinix Inc Term B-2 Commitment LX168018 Senior Secured 2.50% 6,982,500.00 0.00% EUR Loan United StatesFloat Quarterly 05-Jan-2024

Federal Mogul Holding C 4.875% - 04/2022 XS1587905727 Senior Secured 0.00% 1,400,000.00 N/A EUR Bond United StatesFixed Semi-Annual 15-Apr-2022

Financiere Dry Mix Solutions SAS Facility B LX161205 Senior Secured 3.50% 4,000,000.00 0.00% EUR Loan FranceFloat Quarterly 13-Mar-2024

Financiere Labeyrie Fine Foods Term Loan B2 LX163674 Senior Secured 4.25% 313,186.80 0.00% EUR Loan FranceFloat Quarterly 23-May-2023

Financiere Verdi I SAS New Facility B LX160780 Senior Secured 3.50% 1,500,000.00 0.00% EUR Loan FranceFloat Quarterly 21-Jul-2023

Flamingo LUX II Senior Facility B LX153737 Senior Secured 3.50% 4,941,492.00 0.00% EUR Loan FranceFloat Quarterly 07-Sep-2023

GALAPAGOS SA Floating - 06/2021 XS1071411547 Senior Secured 4.75% 1,888,000.00 N/A EUR Bond GermanyFloat Quarterly 15-Jun-2021

GARFUNKELUX HOLDCO 3 SA Float - 10/2021 XS1492372088 Senior Secured 5.50% 6,500,000.00 0.00% EUR Bond LuxembourgFloat Quarterly 01-Oct-2021

Greeneden U.S. Holdings I, LLC Tranche B-2 Euro Term Loan LX166222 Senior Secured 3.75% 6,467,500.00 0.00% EUR Loan United StatesFloat Quarterly 01-Dec-2023

Guala Closures SPA Float - 11/2021 XS1516322465 Senior Secured 4.75% 2,250,000.00 0.00% EUR Bond ItalyFloat Quarterly 15-Nov-2021

GVC Holdings Plc Facility B LX161094 Senior Secured 3.25% 1,000,000.00 0.00% EUR Loan United KingdomFloat Semi-Annual 02-Mar-2023

HNVR Holdco Limited Facility B LX152965 Senior Secured 5.00% 2,954,694.00 0.00% EUR Loan SpainFloat Quarterly 12-Sep-2023

Horizon Holdings II SAS Facility B4 LX164316 Senior Secured 2.75% 7,500,000.00 0.00% EUR Loan FranceFloat Semi-Annual 28-Oct-2022

Ineos Finance PLC New 2022 Euro Term Loan LX160309 Senior Secured 2.50% 14,152,420.00 0.75% EUR Loan United KingdomFloat Bi-monthly 31-Mar-2022

Ineos Styrolution Group GmbH 2024 Euro Tranche 1 Term Loan LX161339 Senior Secured 2.50% 5,586,463.00 0.75% EUR Loan GermanyFloat Quarterly 29-Mar-2024

Infinitas Learning Holding B.V - Infinitas

Learning Netherlands BV

Facility B3 LX162255 Senior Secured 3.75% 6,000,000.00 0.00% EUR Loan NetherlandsFloat Quarterly 03-May-2024

Infor (US) Inc Euro Tranche B-1 Term Loan LX159914 Senior Secured 2.75% 3,690,750.00 1.00% EUR Loan United StatesFloat Quarterly 01-Feb-2022

Inovyn Finance PLC 2024 Tranche B Euro Term Loan LX162963 Senior Secured 3.00% 1,488,769.00 0.75% EUR Loan United KingdomFloat Quarterly 10-May-2024

International Park Holdings B.V. Facility B LX164876 Senior Secured 3.50% 2,500,000.00 0.00% EUR Loan NetherlandsFloat Semi-Annual 13-Jun-2024

Interoute Communications Limited Facility B LX156376 Senior Secured 3.75% 2,000,000.00 0.00% EUR Loan United KingdomFloat Quarterly 03-Nov-2023

Intervias Finco Ltd Facility D2 LX163533 Senior Secured 4.00% 9,000,000.00 0.00% EUR Loan United KingdomFloat Quarterly 30-Jan-2023

Ion Trading Finance Limited Tranche B-1 Euro Loan LX147780 Senior Secured 2.75% 8,063,798.00 1.00% EUR Loan IrelandFloat Quarterly 11-Aug-2023

Jacobs Douwe Egberts Holdings BV Term Loan B - EUR LX163472 Senior Secured 2.00% 1,927,988.00 0.75% EUR Loan NetherlandsFloat Quarterly 02-Jul-2022

Kirk Beauty One Gmbh - Douglas Gmbh Facility B1 LX159199 Senior Secured 3.50% 507,429.70 0.00% EUR Loan GermanyFloat Quarterly 12-Aug-2022







Klockner Pentaplast of America Inc Euro Term Loan LX165634 Senior Secured 4.75% 8,000,000.00 0.00% EUR Loan GermanyFloat Quarterly 29-Jun-2022



Asset Information I

Euribor

Floor

Principal

Balance

Net

Spread


Type

Country of

Domicile

Rate

Option

Payment

Frequency

Maturity

Date

Kraton Polymers Holdings BV Initial Euro Term Loan LX167833 Senior Secured 2.50% 2,500,000.00 0.75% EUR Loan United StatesFloat Quarterly 06-Jan-2022

Labeyrie Fine Foods Term B-1 Loan LX162594 Senior Secured 4.25% 1,186,813.00 0.00% EUR Loan FranceFloat Quarterly 23-May-2023

LSF10 XL BIdco SCA Facility B LX159274 Senior Secured 4.00% 3,500,000.00 0.00% EUR Loan LuxembourgFloat Bi-monthly 11-Apr-2024

LSF9 Robin Investments Limited Facility B4 LX165654 Senior Secured 3.00% 3,500,000.00 0.00% EUR Loan United KingdomFloat Quarterly 14-Dec-2023

Lumenis EUR/SWAP 2 Senior Secured 3.90% 3,532,800.00 N/A EUR Loan NetherlandsFloat Quarterly 29-Aug-2023

MacDermid Agricultural Solutions Holdings

BV

Euro Tranche C-5 Term Loan LX162203 Senior Secured 2.75% 6,436,243.00 0.75% EUR Loan United StatesFloat Monthly 07-Jun-2023

Macdermid Funding LLC Euro Tranche C-4 Term Loan LX157015 Senior Secured 3.25% 3,463,825.00 1.00% EUR Loan United StatesFloat Monthly 07-Jun-2020

Memora Servicios Funeraios, SLU Term Loan B LX137058 Senior Secured 3.75% 6,459,590.00 N/A EUR Loan SpainFloat Quarterly 28-May-2021

Misys Limited First Lien Euro Term Loan LX163229 Senior Secured 3.25% 2,000,000.00 1.00% EUR Loan LuxembourgFloat Quarterly 13-Jun-2024

Motor Fuel Group Term Loan Eur/ Swap Senior Secured 3.83% 2,848,250.00 N/A EUR Loan United KingdomFloat Quarterly 18-Jul-2022

Mustang Bidco Limited Facility B LX137083 Senior Secured 3.75% 4,539,118.00 0.00% EUR Loan United KingdomFloat Monthly 29-Apr-2021

NEP Europe Finco BV Euro Term Loan (First Lien) LX157878 Senior Secured 3.00% 1,492,500.00 0.75% EUR Loan United StatesFloat Quarterly 03-Jan-2024

NetInvest Limited Facility B LX145020 Senior Secured 3.75% 3,000,000.00 0.00% EUR Loan United KingdomFloat Quarterly 10-Aug-2022

New Look Secured Issuer Float - 07/2022 XS1248517341 Senior Secured 4.50% 750,000.00 0.00% EUR Bond United KingdomFloat Quarterly 01-Jul-2022

NewCo Sab Bidco Facility B LX161320 Senior Secured 3.00% 2,000,000.00 0.00% EUR Loan FranceFloat Quarterly 22-Apr-2024

Nielsen Finance LLC (VNU) Class B-2 Euro Term Loan LX136616 Senior Secured 2.50% 3,120,360.00 N/A EUR Loan NetherlandsFloat Monthly 15-Apr-2021

Novacap Group Bidco Retired Facility B LX166914 Senior Secured 4.25% 2,000,000.00 0.00% EUR Loan FranceFloat Quarterly 22-Jun-2023

NUOVO TRASPORTO VIAGGIAT Float - 06/2023 XS1634447988 Senior Secured 0.00% 2,000,000.00 0.00% EUR Bond ItalyFloat Quarterly 01-Jun-2023

Oberthur Technologies SA Facility B1 - Euro LX157594 Senior Secured 3.75% 3,444,043.00 0.00% EUR Loan FranceFloat Quarterly 10-Jan-2024

Oberthur Technologies SA Facility B2 - Euro LX158095 Senior Secured 3.75% 5,555,957.00 0.00% EUR Loan FranceFloat Quarterly 10-Jan-2024

Obol France 3 SAS Facility B LX161834 Senior Secured 3.75% 1,500,000.00 0.00% EUR Loan FranceFloat Semi-Annual 11-Apr-2023

Orion Engineered Carbons GmbH Initial Euro Term Loan LX139695 Senior Secured 2.75% 7,476,766.00 1.00% EUR Loan GermanyFloat Quarterly 25-Jul-2021

Peer Holdings BV Facility B LX150838 Senior Secured 3.25% 2,000,000.00 0.00% EUR Loan NetherlandsFloat Quarterly 25-Feb-2022

Petrus Bidco BV Facility B LX165609 Senior Secured 3.25% 4,000,000.00 0.00% EUR Loan NetherlandsFloat Quarterly 18-Jul-2024

PQ Corporation Second Amendment Tranche B-2 Term

Loans

LX167801 Senior Secured 3.25% 990,018.80 0.75% EUR Loan United StatesFloat Quarterly 04-Nov-2022

Premier Lotteries Ireland DAC Term Loan B LX166130 Senior Secured 3.50% 750,000.00 0.00% EUR Loan IrelandFloat Quarterly 12-Jun-2024

Promontoria Mcs SAS Float - 09/2021 XS1496169001 Senior Secured 5.75% 1,200,000.00 0.00% EUR Bond FranceFloat Quarterly 30-Sep-2021

Redtop Acquisitions Limited Initial Euro Term Loan (First Lien) LX133726 Senior Secured 3.00% 3,000,000.00 1.00% EUR Loan United KingdomFloat Quarterly 03-Dec-2020

Sam Bidco Facility B3B LX142742 Senior Secured 3.50% 2,023,912.00 0.00% EUR Loan FranceFloat Quarterly 17-Dec-2021

Sam Bidco New Facility B3A LX139399 Senior Secured 3.50% 7,378,223.00 0.00% EUR Loan FranceFloat Quarterly 17-Dec-2021

SAM Finance Lux S.A R.L Euro Term Loan LX133835 Senior Secured 3.50% 4,842,661.00 1.00% EUR Loan United KingdomFloat Quarterly 17-Dec-2020

SFR Group SA Refinancing Term Loan B11 LX162008 Senior Secured 3.00% 3,990,000.00 0.00% EUR Loan FranceFloat Quarterly 31-Jul-2025

Softbank Group Corp 3.125% - 09/2025 XS1684385161 Senior Secured 0.00% 2,600,000.00 N/A EUR Bond JapanFixed Semi-Annual 19-Sep-2025

Solera LLC Euro Term Loan LX151195 Senior Secured 3.00% 1,975,000.00 0.75% EUR Loan United StatesFloat Quarterly 03-Mar-2023



Asset Information I

Euribor

Floor

Principal

Balance

Net

Spread


Type

Country of

Domicile

Rate

Option

Payment

Frequency

Maturity

Date

Springer Science & Business Media

Deutschland GMBH

Initial B11 Term Loan LX161998 Senior Secured 3.25% 14,191,760.00 0.50% EUR Loan GermanyFloat Quarterly 14-Aug-2020

SSCP Eleanor Finance S.A.R.L Acquisition Facility 2 Senior Secured 0.00% 1,375,000.00 N/A EUR Loan United KingdomFloat Quarterly 07-Aug-2024

SSCP Eleanor Finance S.A.R.L Acqusition Term Loan LX147340 Senior Secured 6.25% 687,500.00 0.50% EUR Loan United KingdomFloat Quarterly 07-Aug-2024

SSCP Eleanor Finance S.A.R.L Unitranche LX147339 Senior Secured 6.25% 4,812,500.00 0.50% EUR Loan United KingdomFloat Quarterly 07-Aug-2024

Stiga SPA Facility B LX168343 Senior Secured 4.25% 6,000,000.00 N/A EUR Loan ItalyFloat Quarterly 26-Aug-2024

Stretford Seventy Nine Float - 07/2020- EUROSWAP XS1087775240 Senior Secured 0.00% 1,562,900.00 N/A EUR Loan United KingdomFloat Semi-Annual 15-Jul-2020

Tackle Sarl New Facility B LX161574 Senior Secured 3.50% 5,500,000.00 0.00% EUR Loan LuxembourgFloat Quarterly 28-Mar-2023

Taghleef Industries Holdco Limited Facility B (EUR) LX152515 Senior Secured 3.50% 1,500,000.00 0.00% EUR Loan United StatesFloat Semi-Annual 10-May-2023

Technicolor S.A. First Incremental Euro Term Loan LX162153 Senior Secured 3.00% 2,500,000.00 0.00% EUR Loan FranceFloat Bi-monthly 06-Dec-2023

Technicolor S.A. Term Loan LX157075 Senior Secured 3.50% 3,500,000.00 0.00% EUR Loan FranceFloat Quarterly 06-Dec-2023

Tele Columbus AG 2017 New Facility A LX162004 Senior Secured 3.25% 5,500,000.00 0.00% EUR Loan GermanyFloat Semi-Annual 15-Oct-2024

THREEAB OPITIQUE DV 5.625% - 04/2019 XS1028956909 Senior Secured 0.00% 1,348,000.00 N/A EUR Bond FranceFixed Semi-Annual 15-Apr-2019

TMF Group Holding BV Facility B LX162575 Senior Secured 3.50% 3,500,000.00 0.00% EUR Loan NetherlandsFloat Semi-Annual 13-Oct-2023

Trionista Holdco GMBH - Ista Holding

Netherlands BV

Facility B1B3 LX144052 Senior Secured 3.00% 16,538.00 0.00% EUR Loan GermanyFloat Quarterly 30-Apr-2020

Trionista Holdco GMBH - Ista International

GMBH

Facility B1A3 LX143931 Senior Secured 3.00% 13,836,970.00 0.00% EUR Loan GermanyFloat Quarterly 30-Apr-2020

Trionista Holdco GMBH - Meter Acquisition

SAS

Facility B1C3 LX143932 Senior Secured 3.00% 114,841.80 0.00% EUR Loan GermanyFloat Quarterly 30-Apr-2020

Trionista Holdco GMBH - VES HOLDING

APS

Facility B1E3 LX144054 Senior Secured 3.00% 31,652.50 0.00% EUR Loan GermanyFloat Quarterly 30-Apr-2020

Unilabs Diagnostics AB New Euro Term Loan B2 LX161584 Senior Secured 3.00% 9,500,000.00 0.00% EUR Loan SwedenFloat Semi-Annual 19-Apr-2024

Unit 4 Sweden Holding AB Facility B1 (EUR) LX141580 Senior Secured 4.25% 7,000,000.00 0.00% EUR Loan NetherlandsFloat Monthly 17-Mar-2021

United Group BV Fixed 4.375% - 07/2022 XS1647814968 Senior Secured 0.00% 5,500,000.00 N/A EUR Bond NetherlandsFixed Semi-Annual 01-Jul-2022

Univar USA Inc Initial Euro Term Loan LX145475 Senior Secured 3.25% 978,000.00 1.00% EUR Loan United StatesFloat Quarterly 01-Jul-2022

UPCB Finance IV LTD 4% - 01/2027 XS1117297603 Senior Secured 0.00% 3,000,000.00 N/A EUR Bond GermanyFixed Semi-Annual 15-Jan-2027

Viridian Group Fundco II 7.5% - 03/2020 XS1179900102 Senior Secured 0.00% 1,575,000.00 N/A EUR Bond United KingdomFixed Semi-Annual 01-Mar-2020

Vivarte New Money A Preference Share Senior Secured 0.00% 583.00 N/A EUR Equity France

Vivarte New Money B Preference Shares Senior Secured 0.00% 583.00 N/A EUR Equity France

Vivarte S.A. Preferred New Money Shares Senior Secured 0.00% 1,916.00 N/A EUR Equity France

Vivarte S.A. Super Senior Facility LX139578 Senior Secured 4.00% 3,052,004.00 0.00% EUR Loan FranceFloat Quarterly 29-Oct-2019

Watson Bidco BV Facility B LX164355 Senior Secured 3.50% 4,500,000.00 0.00% EUR Loan NetherlandsFloat Quarterly 20-May-2024

Wind Acquisition Fin SA Float 4.125%- 07/2020 XS1204622960 Senior Secured 4.13% 1,000,000.00 0.00% EUR Bond ItalyFloat Quarterly 15-Jul-2020

Wind Acquisition Holdings Finance SA Floating - 07/2020 XS1082635712 Senior Secured 4.00% 2,215,000.00 N/A EUR Bond ItalyFloat Quarterly 15-Jul-2020

WMG Acquisition Corp 4.125% - 11/2024 XS1505573995 Senior Secured 0.00% 1,500,000.00 N/A EUR Bond United StatesFixed Semi-Annual 01-Nov-2024

WowMidco SAS Facility B2 LX159174 Senior Secured 4.25% 3,000,000.00 0.00% EUR Loan FranceFloat Semi-Annual 16-Mar-2023

WP/AV CH Holdings III BV Facility B Loan LX165484 Senior Secured 4.25% 2,000,000.00 0.00% EUR Loan NetherlandsFloat Quarterly 12-Jun-2024



Asset Information I

Euribor

Floor

Principal

Balance

Net

Spread


Type

Country of

Domicile

Rate

Option

Payment

Frequency

Maturity

Date

ZF Bidco Senior Facility B LX162576 Senior Secured 4.00% 1,750,000.00 0.00% EUR Loan FranceFloat Quarterly 26-Apr-2024

Ziggo Secured Finance Partnership Term Loan F LX159376 Senior Secured 3.00% 12,000,000.00 0.00% EUR Loan NetherlandsFloat Semi-Annual 15-Apr-2025

471,979,518.70 Total Balance:



Asset Information II

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LXID / ISINIssuer Name Facility

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BISOHO SAS Float - 05/2022 XS1405782662 -- 1,000,000.00 -- - - -- - - --

Cabot Finacial Luxembou ECPG Float - 11/15/2021 XS1117279619 -- 797,000.00 -- - - -- - - --

Federal Mogul Holding C 4.875% - 04/2022 XS1587905727 -- 1,400,000.00 -- - - -- - - --

GALAPAGOS SA Floating - 06/2021 XS1071411547 -- 1,888,000.00 -- - - -- - - --

GARFUNKELUX HOLDCO 3 SA Float - 10/2021 XS1492372088 -- 6,500,000.00 -- - - -- - - --

Guala Closures SPA Float - 11/2021 XS1516322465 -- 2,250,000.00 -- - - -- - - --

New Look Secured Issuer Float - 07/2022 XS1248517341 -- 750,000.00 -- - - -- - - --

NUOVO TRASPORTO VIAGGIAT Float - 06/2023 XS1634447988 -- 2,000,000.00 -- - - -- - - --

Promontoria Mcs SAS Float - 09/2021 XS1496169001 -- 1,200,000.00 -- - - -- - - --

Softbank Group Corp 3.125% - 09/2025 XS1684385161 -- 2,600,000.00 -- - - -- - - --

THREEAB OPITIQUE DV 5.625% - 04/2019 XS1028956909 -- 1,348,000.00 -- - - -- - - --

United Group BV Fixed 4.375% - 07/2022 XS1647814968 -- 5,500,000.00 -- - - -- - - --

UPCB Finance IV LTD 4% - 01/2027 XS1117297603 -- 3,000,000.00 -- - - -- - - --

Viridian Group Fundco II 7.5% - 03/2020 XS1179900102 -- 1,575,000.00 -- - - -- - - --

Wind Acquisition Fin SA Float 4.125%- 07/2020 XS1204622960 -- 1,000,000.00 -- - - -- - - --

Wind Acquisition Holdings Finance SA Floating - 07/2020 XS1082635712 -- 2,215,000.00 -- - - -- - - --

WMG Acquisition Corp 4.125% - 11/2024 XS1505573995 -- 1,500,000.00 -- - - -- - - --

Vivarte New Money A Preference Share -- 583.00 -- - - -- - - --

Vivarte New Money B Preference Shares -- 583.00 -- - - -- - - --

Vivarte S.A. Preferred New Money Shares -- 1,916.00 -- - - -- - - --

Aenova Holding GmbH Facility B (Aenova Holding) LX142050 -- 3,914,737.00 -- - - -- - - -Yes

Aenova Holding GmbH - Dragenopharm

Apotheker Pueschl GmbH

Facility B DE009A2NPB16 -- 1,936,613.00 -- - - -- - - -Yes

Aenova Holding GmbH - SwissCaps

Holding (Luxembourg) Sarl

Facility B LU009A2NPBV9 -- 1,179,812.00 -- - - -- - - --

Aenova Holding GMBH - Temmler Pharma

GMBH & Co. KG

Facility B (Temmler) DE009A2NPFL2 -- 468,837.90 -- - - -- - - -Yes

Allnex SARL Tranche B-1 Term Loan LX152755 -- 5,458,750.00 -- - - -- - - -Yes

Alpha Bidco SAS Facility B1 LX159934 -- 699,874.60 -- - - -- - - -Yes

Alpha BidCo SAS - Dutch Topco Facility B2 LX160654 -- 300,125.40 -- - - -- - - -Yes

Amplitude Float - 08/2021 (Private Placement) 21448 -- 1,180,000.00 -- - - -- - - --

APCOA Parking Holdings Gmbh Term Loan B LX160841 -- 2,000,000.00 -- - - -- - - --

Aruba Investments Inc Euro Term B-1 Loan US04317MAF86 -- 2,450,000.00 -- - - -- - - --

AS Adventure BV Facility B LX143652 -- 4,500,000.00 -- - - -- - - --

Auris Luxembourg III SARL Facility B6 LX160224 -- 1,955,113.00 -- - - -- - - -Yes

Big White Acquico Gmbh Facility B LX157317 -- 2,000,000.00 -- - - -- - - --

Boparan Finance Plc 4.375% - 07/2021 XS1082473395 -- 3,767,000.00 -- - - -- - - --

© Copyright 2014, BNY Mellon. All Rights Reserved. 13 Asset Information II



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Catalent Pharma Solutions Inc 1st Lien EUR Term Loan LX137091 -- 4,476,995.00 -- - - -- - - --

CDS Holdco III BV Facility B Commitment LX145356 -- 7,200,102.00 -- - - -- - - --

Ceva Sante Animale Facility B2 LX135736 -- 4,000,000.00 -- - - -- - - -Yes

Chemours Company (The) Tranche B1 Euro Term Loan LX161997 -- 4,488,750.00 -- - - -- - - --

Cidron Gloria Group Services Gmbh Initial Term Loan LX139056 -- 4,000,000.00 -- - - -- - - --

Cidron Ollopa BV Facility B1 (First Lien) LX145738 -- 4,393,651.00 -- - - -- - - --

Cidron Ollopa BV Facility B2 (First Lien) LX146812 -- 606,349.20 -- - - -- - - --

Coherent Holding Gmbh Euro Term Loan XAD2000EAC57 -- 7,484,758.00 -- - - -- - - --

Colouroz Investment 1 GMBH New First Lien Initial Term Loan LX136879 -- 9,891,079.00 -- - - -- - - --

Constantia Flexibles Gmbh Facility B1A (EUR) LX143296 -- 1,740,219.00 -- - - -- - - -Yes

Constantia Flexibles Gmbh Facility B2A (EUR) LX143893 -- 259,780.90 -- - - -- - - -Yes

Cool International Holding GMBH Facility B1 LX140097 -- 3,902,036.00 -- - - -- - - -Yes

Delachaux S.A. - Railtech International

S.A.

Facility B1 LX141055 -- 7,781,933.00 -- - - -Yes - - -Yes

Deoleo S.A. Initial Term Loan (First Lien) XAE3640KAB61 -- 5,000,000.00 -- - - -- - - --

Diaverum Holding SARL Second Lien Term Loan LX164120 -- 1,500,000.00 -- - - -- - - --

Diaverum Sarl Facility B LX164119 -- 4,000,000.00 -- - - -- - - -Yes

Dorna Sports SL B2 Euro Term Loan LX161739 -- 9,431,615.00 -- - - -- - - -Yes

Eircom Finco S.a.r.l 2017 Term Loan B LX161434 -- 4,500,000.00 -- - - -- - - -Yes

Elsan SAS Facility B2 LX146849 -- 6,000,000.00 -- - - -- - - -Yes

Emerald 2 Limited - Eagle US Inc Facility B2 LX137157 -- 4,000,000.00 -- - - -- - - --

Equinix Inc Term B-2 Commitment LX168018 -- 6,982,500.00 -- - - -- - - -Yes

Financiere Dry Mix Solutions SAS Facility B LX161205 -- 4,000,000.00 -- - - -- - - --

Financiere Labeyrie Fine Foods Term Loan B2 LX163674 -- 313,186.80 -- - - -- - - --

Financiere Verdi I SAS New Facility B LX160780 -- 1,500,000.00 -- - - -- - - -Yes

Flamingo LUX II Senior Facility B LX153737 -- 4,941,492.00 -- - - -- - - --

Greeneden U.S. Holdings I, LLC Tranche B-2 Euro Term Loan US39479UAH68 -- 6,467,500.00 -- - - -- - - -Yes

GVC Holdings Plc Facility B LX161094 -- 1,000,000.00 -- - - -- - - --

HNVR Holdco Limited Facility B LX152965 -- 2,954,694.00 -- - - -- - - --

Horizon Holdings II SAS Facility B4 LX164316 -- 7,500,000.00 -- - - -- - - -Yes

Ineos Finance PLC New 2022 Euro Term Loan LX160309 -- 14,152,420.00 -- - - -Yes - - -Yes

Ineos Styrolution Group GmbH 2024 Euro Tranche 1 Term Loan LX161339 -- 5,586,463.00 -- - - -Yes - - -Yes

Infinitas Learning Holding B.V - Infinitas

Learning Netherlands BV

Facility B3 LX162255 -- 6,000,000.00 -- - - -- - - -Yes

Infor (US) Inc Euro Tranche B-1 Term Loan LX159914 -- 3,690,750.00 -- - - -- - - --

Inovyn Finance PLC 2024 Tranche B Euro Term Loan LX162963 -- 1,488,769.00 -- - - -- - - -Yes




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International Park Holdings B.V. Facility B LX164876 -- 2,500,000.00 -- - - -- - - --

Interoute Communications Limited Facility B LX156376 -- 2,000,000.00 -- - - -- - - --

Intervias Finco Ltd Facility D2 LX163533 -- 9,000,000.00 -- - - -- - - -Yes

Ion Trading Finance Limited Tranche B-1 Euro Loan LX147780 -- 8,063,798.00 -- - - -- - - -Yes

Jacobs Douwe Egberts Holdings BV Term Loan B - EUR LX163472 -- 1,927,988.00 -- - - -- - - --

Kirk Beauty One Gmbh - Douglas Gmbh Facility B1 LX159199 -- 507,429.70 -- - - -- - - -Yes







Klockner Pentaplast of America Inc Euro Term Loan US49865NAP50 -- 8,000,000.00 -- - - -- - - -Yes

Kraton Polymers Holdings BV Initial Euro Term Loan LX167833 -- 2,500,000.00 -- - - -- - - --

Labeyrie Fine Foods Term B-1 Loan LX162594 -- 1,186,813.00 -- - - -- - - --

LSF10 XL BIdco SCA Facility B LX159274 -- 3,500,000.00 -- - - -- - - --

LSF9 Robin Investments Limited Facility B4 LX165654 -- 3,500,000.00 -- - - -- - - -Yes

Lumenis EUR/SWAP 2 -- 3,532,800.00 -- - - -- - - --

MacDermid Agricultural Solutions Holdings

BV

Euro Tranche C-5 Term Loan LX162203 -- 6,436,243.00 -- - - -- - - --

Macdermid Funding LLC Euro Tranche C-4 Term Loan LX157015 -- 3,463,825.00 -- - - -- - - -Yes

Memora Servicios Funeraios, SLU Term Loan B LX137058 -- 6,459,590.00 -- - - -- - - --

Misys Limited First Lien Euro Term Loan LX163229 -- 2,000,000.00 -- - - -- - - --

Motor Fuel Group Term Loan Eur/ Swap -- 2,848,250.00 -- - - -- - - --

Mustang Bidco Limited Facility B LX137083 -- 4,539,118.00 -- - - -- - - --

NEP Europe Finco BV Euro Term Loan (First Lien) US62908UAH95 -- 1,492,500.00 -- - - -- - - --

NetInvest Limited Facility B LX145020 -- 3,000,000.00 -- - - -- - - --

NewCo Sab Bidco Facility B LX161320 -- 2,000,000.00 -- - - -- - - --

Nielsen Finance LLC (VNU) Class B-2 Euro Term Loan LX136616 -- 3,120,360.00 -- - - -- - - -Yes

Novacap Group Bidco Retired Facility B LX166914 -- 2,000,000.00 -- - - -- - - -Yes

Oberthur Technologies SA Facility B1 - Euro LX157594 -- 3,444,043.00 -- - - -- - - --

Oberthur Technologies SA Facility B2 - Euro LX158095 -- 5,555,957.00 -- - - -- - - --

Obol France 3 SAS Facility B LX161834 -- 1,500,000.00 -- - - -- - - -Yes

Orion Engineered Carbons GmbH Initial Euro Term Loan XAD5929GAC15 -- 7,476,766.00 -- - - -- - - --

Peer Holdings BV Facility B LX150838 -- 2,000,000.00 -- - - -- - - -Yes




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Petrus Bidco BV Facility B LX165609 -- 4,000,000.00 -- - - -- - - --

PQ Corporation Second Amendment Tranche B-2 Term

Loans

LX167801 -- 990,018.80 -- - - -- - - -Yes

Premier Lotteries Ireland DAC Term Loan B LX166130 -- 750,000.00 -- - - -- - - --

Redtop Acquisitions Limited Initial Euro Term Loan (First Lien) LX133726 -- 3,000,000.00 -- - - -- - - --

Sam Bidco Facility B3B LX142742 -- 2,023,912.00 -- - - -- - - -Yes

Sam Bidco New Facility B3A LX139399 -- 7,378,223.00 -- - - -- - - -Yes

SAM Finance Lux S.A R.L Euro Term Loan XAL6239UAC44 -- 4,842,661.00 -- - - -- - - --

SFR Group SA Refinancing Term Loan B11 LX162008 -- 3,990,000.00 -- - - -- - - --

Solera LLC Euro Term Loan LX151195 -- 1,975,000.00 -- - - -- - - -Yes

Springer Science & Business Media

Deutschland GMBH

Initial B11 Term Loan LX161998 -- 14,191,760.00 -- - - -- - - --

SSCP Eleanor Finance S.A.R.L Acquisition Facility 2 -- 1,375,000.00 -- - - Yes- - - --

SSCP Eleanor Finance S.A.R.L Acqusition Term Loan LX147340 -- 687,500.00 -- - - -- - - -Yes

SSCP Eleanor Finance S.A.R.L Unitranche LX147339 -- 4,812,500.00 -- - - -- - - -Yes

Stiga SPA Facility B LX168343 -- 6,000,000.00 -- - - -- - - --

Stretford Seventy Nine Float - 07/2020- EUROSWAP XS1087775240 -- 1,562,900.00 -- - - -Yes - - --

Tackle Sarl New Facility B LX161574 -- 5,500,000.00 -- - - -- - - -Yes

Taghleef Industries Holdco Limited Facility B (EUR) LX152515 -- 1,500,000.00 -- - - -- - - --

Technicolor S.A. First Incremental Euro Term Loan LX162153 -- 2,500,000.00 -- - - -- - - --

Technicolor S.A. Term Loan LX157075 -- 3,500,000.00 -- - - -- - - --

Tele Columbus AG 2017 New Facility A LX162004 -- 5,500,000.00 -- - - -- - - -Yes

TMF Group Holding BV Facility B LX162575 -- 3,500,000.00 -- - - -- - - -Yes

Trionista Holdco GMBH - Ista Holding

Netherlands BV

Facility B1B3 LX144052 -- 16,538.00 -- - - -- - - -Yes

Trionista Holdco GMBH - Ista International

GMBH

Facility B1A3 LX143931 -- 13,836,970.00 -- - - -- - - -Yes

Trionista Holdco GMBH - Meter Acquisition

SAS

Facility B1C3 LX143932 -- 114,841.80 -- - - -- - - -Yes

Trionista Holdco GMBH - VES HOLDING

APS

Facility B1E3 LX144054 -- 31,652.50 -- - - -- - - -Yes

Unilabs Diagnostics AB New Euro Term Loan B2 LX161584 -- 9,500,000.00 -- - - -- - - -Yes

Unit 4 Sweden Holding AB Facility B1 (EUR) LX141580 -- 7,000,000.00 -- - - -- - - -Yes

Univar USA Inc Initial Euro Term Loan LX145475 -- 978,000.00 -- - - -- - - --

Vivarte S.A. Super Senior Facility LX139578 -- 3,052,004.00 -- - - -- - - --

Watson Bidco BV Facility B XAN9435HAB95 -- 4,500,000.00 -- - - -- - - --

WowMidco SAS Facility B2 LX159174 -- 3,000,000.00 -- - - -- - - -Yes

WP/AV CH Holdings III BV Facility B Loan LX165484 -- 2,000,000.00 -- - - -- - - --

ZF Bidco Senior Facility B LX162576 -- 1,750,000.00 -- - - -- - - --




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Ziggo Secured Finance Partnership Term Loan F LX159376 -- 12,000,000.00 -- - - -- - - --




Asset Information III

Moody's Industry

Name

Fitch

Rating

Security IDSecurity Principal

Balance

Fitch Industry Name Fitch

Recovery

Rate

Moody's

Recovery

Rate

Maturity

Date

Moody's

Rating

Moody's

DPR

Long

Dated

Aenova Holding GmbH - Dragenopharm Apotheker Pueschl

GmbH Term Loan

LX142050 1,936,613.30Drugs ***50%29-Sep-2020 B3 Caa1 *** Healthcare, Education and

Childcare

No

Aenova Holding GmbH - SwissCaps Holding (Luxembourg)

Sarl Term Loan

LX142050 1,179,812.24Drugs ***50%29-Sep-2020 B3 Caa1 *** Healthcare, Education and

Childcare

No

Aenova Holding GMBH - Temmler Pharma GMBH & Co. KG

Term Loan

LX142050 468,837.90Drugs ***50%29-Sep-2020 B3 Caa1 *** Healthcare, Education and

Childcare

No

Aenova Holding GmbH Term Loan LX142050 3,914,736.56Drugs ***50%29-Sep-2020 B3 Caa1 *** Healthcare, Education and

Childcare

No

Allnex SARL Term Loan LX152755 5,458,750.00Chemicals & plastics ***45%13-Sep-2023 B1 B1 *** Chemicals, Plastics and

Rubber

No

Alpha BidCo SAS - Dutch Topco Term Loan LX160654 300,125.37Drugs ******07-Mar-2024 *** *** *** Healthcare, Education and

Childcare

No

Alpha Bidco SAS Term Loan LX159934 699,874.63Drugs ******07-Mar-2024 *** *** *** Healthcare, Education and

Childcare

No

Amplitude 21448 1,180,000.00Health care ******20-Aug-2021 *** *** *** Healthcare, Education and

Childcare

No

APCOA Parking Holdings Gmbh Term Loan LX160841 2,000,000.00Automotive ***45%20-Mar-2024 B1 B1 *** AutomobileNo

Aruba Investments Inc Term Loan LX145177 2,450,000.00Chemicals & plastics ***50%02-Feb-2022 B1 B2 *** Chemicals, Plastics and

Rubber

No

AS Adventure BV Term Loan LX143652 4,500,000.00Food/drug retailers ******14-Apr-2022 *** *** *** Retail StoreNo

Auris Luxembourg III SARL Term Loan LX160224 1,955,113.43Health care ***50%17-Jan-2022 B1 B2 *** Healthcare, Education and

Childcare

No

Big White Acquico Gmbh Term Loan LX157317 2,000,000.00Electronics/electrical ******03-Jan-2024 *** *** *** ElectronicsNo

BISOHO SAS XS1405782662 1,000,000.00Clothing/textiles ***35%01-Nov-2022 B1 B1 *** Retail StoreNo

Boparan Finance Plc XS1082473395 3,767,000.00Food products ***30%15-Jul-2021 B2 B2 *** Beverage, Food and

Tobacco

No

Cabot Finacial Luxembou XS1117279619 797,000.00Financial intermediaries ***35%15-Nov-2021 B2 B2 *** FinanceNo

Catalent Pharma Solutions Inc Term Loan LX137091 4,476,994.59Drugs ***50%20-May-2021 Ba3 B1 *** Healthcare, Education and

Childcare

No

CDS Holdco III BV Term Loan LX145356 7,200,101.79Radio & Television ******30-Jun-2021 *** *** *** Broadcasting and

Entertainment

No

Ceva Sante Animale Term Loan LX135736 4,000,000.00Drugs ***45%30-Jun-2021 B1 B1 *** Healthcare, Education and

Childcare

No

Chemours Company (The) Term Loan LX161997 4,488,750.00Chemicals & plastics ***60%12-May-2022 Ba1 Ba3 *** Chemicals, Plastics and

Rubber

No

Cidron Gloria Group Services Gmbh Term Loan LX139056 4,000,000.00Drugs ***45%30-Aug-2021 B2 B2 *** Healthcare, Education and

Childcare

No

Cidron Ollopa BV Term Loan LX145738 4,393,650.79Health care ******29-Jul-2022 *** *** *** Healthcare, Education and

Childcare

No

Cidron Ollopa BV Term Loan LX146812 606,349.21Health care ******30-Sep-2022 *** *** *** Healthcare, Education and

Childcare

No

Coherent Holding Gmbh Term Loan LX153899 7,484,757.47Industrial equipment ***45%07-Nov-2023 Ba1 Ba1 *** ElectronicsNo

Colouroz Investment 1 GMBH Term Loan LX136879 9,891,079.06Chemicals & plastics ***45%07-Sep-2021 B2 B2 *** Printing and PublishingNo

Constantia Flexibles Gmbh Term Loan LX143296 1,740,219.00Containers & glass

products

***45%30-Apr-2022 B1 B1 *** Containers, Packaging and

Glass

No

Constantia Flexibles Gmbh Term Loan LX143893 259,780.90Containers & glass

products

***45%30-Apr-2022 B1 B1 *** Containers, Packaging and

Glass

No

Cool International Holding GMBH Term Loan LX140097 3,902,035.50Industrial equipment ******19-Nov-2020 *** *** *** Buildings and Real EstateNo

© Copyright 2014, BNY Mellon. All Rights Reserved. 18 Asset Information III



Moody's Industry

Name

Fitch

Rating


Balance


Recovery

Rate

Moody's

Recovery

Rate

Maturity

Date

Moody's

Rating

Moody's

DPR

Long

Dated

Delachaux S.A. - Railtech International S.A. Term Loan LX141055 7,781,932.68Industrial equipment ******28-Oct-2021 *** *** *** Diversified/Conglomerate

Manufacturing

No

Deoleo S.A. Term Loan LX137333 5,000,000.00Food products ***45%11-Jun-2021 Caa1 Caa1 *** Beverage, Food and

Tobacco

No

Diaverum Holding SARL Term Loan LX164120 1,500,000.00Health care ******04-Jul-2025 *** *** *** Healthcare, Education and

Childcare

No

Diaverum Sarl Term Loan LX164119 4,000,000.00Health care ******10-Jun-2024 *** *** *** Healthcare, Education and

Childcare

No

Dorna Sports SL Term Loan LX161739 9,431,615.10Leisure

goods/activities/movies

******31-Dec-2023 *** *** *** Leisure, Amusement,

Motion Pictures,

Entertainment

No

Eircom Finco S.a.r.l Term Loan LX161434 4,500,000.00Telecommunications 60%45%19-Apr-2024 B1 B1 B+ TelecommunicationsNo

Elsan SAS Term Loan LX146849 6,000,000.00Health care ******31-Oct-2022 *** *** *** Healthcare, Education and

Childcare

No

Emerald 2 Limited - Eagle US Inc Term Loan LX137157 4,000,000.00Ecological services &

equipment

***50%17-May-2021 B2 B3 *** EcologicalNo

Equinix Inc Term Loan LX168018 6,982,500.01Telecommunications 95%50%05-Jan-2024 Ba2 Ba3 BB TelecommunicationsNo

Federal Mogul Holding C XS1587905727 1,400,000.00Automotive ***45%15-Apr-2022 B1 B2 *** AutomobileNo

Financiere Dry Mix Solutions SAS Term Loan LX161205 4,000,000.00Building & Development ***45%13-Mar-2024 B2 B2 *** Buildings and Real EstateNo

Financiere Labeyrie Fine Foods Term Loan LX163674 313,186.81Beverage & Tobacco ******23-May-2023 *** *** *** Beverage, Food and

Tobacco

No

Financiere Verdi I SAS Term Loan LX160780 1,500,000.00Drugs ******21-Jul-2023 *** *** *** Healthcare, Education and

Childcare

No

Flamingo LUX II Term Loan LX153737 4,941,491.39Building & Development ***45%07-Sep-2023 B2 B2 *** Buildings and Real EstateNo

GALAPAGOS SA XS1071411547 1,888,000.00Industrial equipment ***45%15-Jun-2021 B2 B3 *** Machinery

(Non-Agriculture,

Non-Construction and

Non-Electronic)

No

GARFUNKELUX HOLDCO 3 SA XS1492372088 6,500,000.00Financial intermediaries ***35%01-Oct-2021 B2 B2 *** FinanceNo

Greeneden U.S. Holdings I, LLC Term Loan LX166222 6,467,500.00Electronics/electrical ***50%01-Dec-2023 B2 B3 *** ElectronicsNo

Guala Closures SPA XS1516322465 2,250,000.00Containers & glass

products

***35%15-Nov-2021 B2 B2 *** Containers, Packaging and

Glass

No

GVC Holdings Plc Term Loan LX161094 1,000,000.00Leisure


******02-Mar-2023 *** *** *** Leisure, Amusement,

Motion Pictures,

Entertainment

No

HNVR Holdco Limited Term Loan LX152965 2,954,693.88Leisure


******12-Sep-2023 *** *** *** Hotels, Motels, Inns and

Gaming

No

Horizon Holdings II SAS Term Loan LX164316 7,499,999.70Containers & glass

products

***45%28-Oct-2022 B1 B1 *** Containers, Packaging and

Glass

No

Ineos Finance PLC Term Loan LX160309 14,152,417.79Chemicals & plastics ***50%31-Mar-2022 Ba2 Ba3 *** Chemicals, Plastics and

Rubber

No

Ineos Styrolution Group GmbH Term Loan LX161339 5,586,462.61Chemicals & plastics ***45%29-Mar-2024 Ba3 Ba3 *** Chemicals, Plastics and

Rubber

No

Infinitas Learning Holding B.V - Infinitas Learning

Netherlands BV Term Loan

LX162255 6,000,000.00Radio & Television ***45%03-May-2024 B2 B2 *** Printing and PublishingNo

Infor (US) Inc Term Loan LX159914 3,690,750.00Business equipment &

services

***60%01-Feb-2022 B1 B3 *** Diversified/Conglomerate

Service

No

Inovyn Finance PLC Term Loan LX162963 1,488,768.75Chemicals & plastics 64%45%10-May-2024 B2 B2 B+ Chemicals, Plastics and

Rubber

No




Moody's Industry

Name

Fitch

Rating


Balance


Recovery

Rate

Moody's

Recovery

Rate

Maturity

Date

Moody's

Rating

Moody's

DPR

Long

Dated

International Park Holdings B.V. Term Loan LX164876 2,500,000.00Leisure


***45%13-Jun-2024 B2 B2 *** Leisure, Amusement,

Motion Pictures,

Entertainment

No

Interoute Communications Limited Term Loan LX156376 2,000,000.00Telecommunications ***45%03-Nov-2023 B1 B1 *** TelecommunicationsNo

Intervias Finco Ltd Term Loan LX163533 9,000,000.00Retailers (except food &

drug)

***45%30-Jan-2023 B2 B2 *** Retail StoreNo

Ion Trading Finance Limited Term Loan LX147780 8,063,797.81Electronics/electrical ***45%11-Aug-2023 B2 B2 *** FinanceNo

Jacobs Douwe Egberts Holdings BV Term Loan LX163472 1,927,987.76Beverage & Tobacco ***45%02-Jul-2022 Ba2 Ba2 *** Beverage, Food and

Tobacco

No

Kirk Beauty One Gmbh - Douglas Gmbh Term Loan LX159199 507,429.70Retailers (except food &

drug)

***50%12-Aug-2022 B1 B2 *** Retail StoreNo


drug)



drug)



drug)



drug)



drug)



drug)


Klockner Pentaplast of America Inc Term Loan LX165634 8,000,000.00Containers & glass

products

***45%29-Jun-2022 B3 B3 *** Containers, Packaging and

Glass

No

Kraton Polymers Holdings BV Term Loan LX167833 2,500,000.00Chemicals & plastics ***50%06-Jan-2022 Ba3 B1 *** Chemicals, Plastics and

Rubber

No

Labeyrie Fine Foods Term Loan LX162594 1,186,813.19Food service ******23-May-2023 *** *** *** Beverage, Food and

Tobacco

No

LSF10 XL BIdco SCA Term Loan LX159274 3,500,000.00Building & Development 52%45%11-Apr-2024 B2 B2 B Buildings and Real EstateNo

LSF9 Robin Investments Limited Term Loan LX165654 3,500,000.00Retailers (except food &

drug)

63%45%14-Dec-2023 B1 B1 B- Retail StoreNo

Lumenis Term Loan 3,532,800.00Health care ******29-Aug-2023 *** *** *** Healthcare, Education and

Childcare

No

MacDermid Agricultural Solutions Holdings BV Term Loan LX162203 6,436,242.81Chemicals & plastics ***45%07-Jun-2023 B2 B2 *** Chemicals, Plastics and

Rubber

No

Macdermid Funding LLC Term Loan LX157015 3,463,825.00Chemicals & plastics ***45%07-Jun-2020 B2 B2 *** Chemicals, Plastics and

Rubber

No

Memora Servicios Funeraios, SLU Term Loan LX137058 6,459,589.55Ecological services &

equipment

******28-May-2021 *** *** *** EcologicalNo

Misys Limited Term Loan LX163229 2,000,000.00Electronics/electrical 100%50%13-Jun-2024 B2 B3 BB- ElectronicsNo

Motor Fuel Group Term Loan 2,848,250.00Retailers (except food &

drug)

******18-Jul-2022 *** *** *** Retail StoreNo

Mustang Bidco Limited Term Loan LX137083 4,539,117.81Leisure


******29-Apr-2021 *** *** *** Leisure, Amusement,

Motion Pictures,

Entertainment

No

NEP Europe Finco BV Term Loan LX157878 1,492,500.00Radio & Television ***50%03-Jan-2024 B1 B2 *** Broadcasting and

Entertainment

No

NetInvest Limited Term Loan LX145020 3,000,000.00Business equipment &

services

***45%10-Aug-2022 Ba2 Ba2 *** Diversified/Conglomerate

Service

No

New Look Secured Issuer XS1248517341 750,000.00Retailers (except food &

drug)

***45%01-Jul-2022 B3 Caa1 *** Retail StoreNo




Moody's Industry

Name

Fitch

Rating


Balance


Recovery

Rate

Moody's

Recovery

Rate

Maturity

Date

Moody's

Rating

Moody's

DPR

Long

Dated

NewCo Sab Bidco Term Loan LX161320 2,000,000.00Health care ***50%22-Apr-2024 B1 B2 *** Healthcare, Education and

Childcare

No

Nielsen Finance LLC (VNU) Term Loan LX136616 3,120,359.84Radio & Television ***60%15-Apr-2021 Ba1 Ba3 *** Diversified/Conglomerate

Service

No

Novacap Group Bidco Term Loan LX166914 1,999,999.99Chemicals & plastics ***45%22-Jun-2023 B1 B1 *** Chemicals, Plastics and

Rubber

No

NUOVO TRASPORTO VIAGGIAT XS1634447988 2,000,000.00Rail industries 80%35%01-Jun-2023 B1 B1 BB- Personal TransportationNo

Oberthur Technologies SA Term Loan LX157594 3,444,043.32Electronics/electrical ***45%10-Jan-2024 B2 B2 *** ElectronicsNo

Oberthur Technologies SA Term Loan LX158095 5,555,956.68Electronics/electrical 64%45%10-Jan-2024 B2 B2 B ElectronicsNo

Obol France 3 SAS Term Loan LX161834 1,500,000.00Environmental services ******11-Apr-2023 *** *** *** Healthcare, Education and

Childcare

No

Orion Engineered Carbons GmbH Term Loan LX139695 7,476,765.54Chemicals & plastics ***45%25-Jul-2021 Ba3 Ba3 *** Chemicals, Plastics and

Rubber

No

Peer Holdings BV Term Loan LX150838 2,000,000.00Retailers (except food &

drug)

***45%25-Feb-2022 B1 B1 *** Retail StoreNo

Petrus Bidco BV Term Loan LX165609 4,000,000.00Chemicals & plastics ***50%18-Jul-2024 B1 B2 *** Chemicals, Plastics and

Rubber

No

PQ Corporation Term Loan LX167801 990,018.75Chemicals & plastics ***50%04-Nov-2022 B2 B3 *** Chemicals, Plastics and

Rubber

No

Premier Lotteries Ireland DAC Term Loan LX166130 750,000.00Leisure


******12-Jun-2024 *** *** *** Leisure, Amusement,

Motion Pictures,

Entertainment

No

Promontoria Mcs SAS XS1496169001 1,200,000.00Financial intermediaries ***35%30-Sep-2021 B2 B2 *** FinanceNo

Redtop Acquisitions Limited Term Loan LX133726 3,000,000.00Business equipment &

services

***45%03-Dec-2020 B1 B1 *** Diversified/Conglomerate

Service

No

Sam Bidco Term Loan LX139399 7,378,223.20Health care ******17-Dec-2021 *** *** *** Healthcare, Education and

Childcare

No

Sam Bidco Term Loan LX142742 2,023,911.99Health care ******17-Dec-2021 *** *** *** Healthcare, Education and

Childcare

No

SAM Finance Lux S.A R.L Term Loan LX133835 4,842,660.52Financial intermediaries ***45%17-Dec-2020 Ba1 Ba1 *** FinanceNo

SFR Group SA Term Loan LX162008 3,990,000.00Cable & satellite television ***45%31-Jul-2025 B1 B1 *** Broadcasting and

Entertainment

No

Softbank Group Corp XS1684385161 2,600,000.00Telecommunications ***35%19-Sep-2025 Ba1 Ba1 *** TelecommunicationsNo

Solera LLC Term Loan LX151195 1,975,000.00Business equipment &

services

***60%03-Mar-2023 Ba3 B2 *** Diversified/Conglomerate

Service

No

Springer Science & Business Media Deutschland GMBH

Term Loan

LX161998 14,191,764.05Radio & Television ***45%14-Aug-2020 B2 B2 *** Printing and PublishingNo

SSCP Eleanor Finance S.A.R.L Delayed Drawdown 1,375,000.00Leisure


***50%07-Aug-2024 B2 B3 *** Hotels, Motels, Inns and

Gaming

No

SSCP Eleanor Finance S.A.R.L Term Loan LX147339 4,812,500.00Leisure



Gaming

No

SSCP Eleanor Finance S.A.R.L Term Loan LX147340 687,500.00Leisure



Gaming

No

Stiga SPA Term Loan LX168343 6,000,000.00Leisure


***50%26-Aug-2024 B1 B2 *** Home and Office

Furnishings, Housewares

and Durable Consumer

Products

No

Stretford Seventy Nine XS1087775240 1,562,900.13Food/drug retailers ***45%15-Jul-2020 B2 B2 *** GroceryNo

Tackle Sarl Term Loan LX161574 5,500,000.00Leisure


******28-Mar-2023 *** *** *** Hotels, Motels, Inns and

Gaming

No




Moody's Industry

Name

Fitch

Rating


Balance


Recovery

Rate

Moody's

Recovery

Rate

Maturity

Date

Moody's

Rating

Moody's

DPR

Long

Dated

Taghleef Industries Holdco Limited Term Loan LX152515 1,500,000.00Containers & glass

products

***45%10-May-2023 Ba3 Ba3 *** Containers, Packaging and

Glass

No

Technicolor S.A. Term Loan LX157075 3,500,000.00Radio & Television ***45%06-Dec-2023 Ba3 Ba3 *** Broadcasting and

Entertainment

No

Technicolor S.A. Term Loan LX162153 2,500,000.00Radio & Television ***45%06-Dec-2023 Ba3 Ba3 *** Broadcasting and

Entertainment

No

Tele Columbus AG Term Loan LX162004 5,500,000.00Cable & satellite television ***45%15-Oct-2024 B2 B2 *** TelecommunicationsNo

THREEAB OPITIQUE DV XS1028956909 1,348,000.00Health care ***45%15-Apr-2019 B2 B3 *** Healthcare, Education and

Childcare

No

TMF Group Holding BV Term Loan LX162575 3,500,000.00Financial intermediaries ***45%13-Oct-2023 B2 B2 *** FinanceNo

Trionista Holdco GMBH - Ista Holding Netherlands BV Term

Loan

LX144052 16,538.00Utilities ***50%30-Apr-2020 Ba3 B1 *** UtilitiesNo

Trionista Holdco GMBH - Ista International GMBH Term

Loan

LX143931 13,836,967.00Utilities ***50%30-Apr-2020 Ba3 B1 *** UtilitiesNo

Trionista Holdco GMBH - Meter Acquisition SAS Term Loan LX143932 114,841.82Utilities ***50%30-Apr-2020 Ba3 B1 *** UtilitiesNo

Trionista Holdco GMBH - VES HOLDING APS Term Loan LX144054 31,652.50Utilities ***50%30-Apr-2020 Ba3 B1 *** UtilitiesNo

Unilabs Diagnostics AB Term Loan LX161584 9,500,000.00Health care ***50%19-Apr-2024 B2 B3 *** Healthcare, Education and

Childcare

No

Unit 4 Sweden Holding AB Term Loan LX141580 7,000,000.00Electronics/electrical ***45%17-Mar-2021 B2 B2 *** ElectronicsNo

United Group BV XS1647814968 5,500,000.00Radio & Television ***35%01-Jul-2022 B2 B2 *** Broadcasting and

Entertainment

No

Univar USA Inc Term Loan LX145475 978,000.00Chemicals & plastics ***45%01-Jul-2022 B2 B2 *** Chemicals, Plastics and

Rubber

No

UPCB Finance IV LTD XS1117297603 3,000,000.00Cable & satellite television ***35%15-Jan-2027 Ba3 Ba3 *** TelecommunicationsNo

Viridian Group Fundco II XS1179900102 1,575,000.00Oil & gas ***25%01-Mar-2020 B2 B1 *** UtilitiesNo

Vivarte S.A. Term Loan LX139578 3,052,004.20Retailers (except food &

drug)

***45%29-Oct-2019 Caa3 Caa3 *** Retail StoreNo

Watson Bidco BV Term Loan LX164355 4,500,000.00Farming/agriculture ******20-May-2024 *** *** *** Farming and AgricultureNo

Wind Acquisition Fin SA XS1204622960 1,000,000.00Telecommunications ***45%15-Jul-2020 Ba3 B1 *** TelecommunicationsNo

Wind Acquisition Holdings Finance SA XS1082635712 2,215,000.00Telecommunications 80%45%15-Jul-2020 Ba3 B1 B+ TelecommunicationsNo

WMG Acquisition Corp XS1505573995 1,500,000.00Radio & Television ***45%01-Nov-2024 Ba3 B1 *** Broadcasting and

Entertainment

No

WowMidco SAS Term Loan LX159174 3,000,000.00Business equipment &

services

***45%16-Mar-2023 B2 B2 *** Diversified/Conglomerate

Service

No

WP/AV CH Holdings III BV Term Loan LX165484 2,000,000.00Electronics/electrical ***45%12-Jun-2024 B2 B2 *** BankingNo

ZF Bidco Term Loan LX162576 1,750,000.00Beverage & Tobacco ******26-Apr-2024 *** *** *** Beverage, Food and

Tobacco

No

Ziggo Secured Finance Partnership Term Loan LX159376 12,000,000.00Cable & satellite television ***45%15-Apr-2025 Ba3 Ba3 *** Broadcasting and

Entertainment

No

471,976,430.73Grand Total:



Interest Coverage Tests

Test Denominator ActualNumerator Headroom ResultTargetFormula

Class A/B Interest Coverage Test 1,632,917.31 EUR7,894,414.75 EUR >= 120.00%483.45% PASS 363.45%[A]/([B]+[C]+[D])

Class C Interest Coverage Test 1,943,689.43 EUR7,894,414.75 EUR >= 110.00%406.16% PASS 296.16%[A]/([B]+[C]+[D]+[E])

Class D Interest Coverage Test 2,342,020.96 EUR7,894,414.75 EUR >= 105.00%337.08% PASS 232.08%[A]/([B]+[C]+[D]+[E]+[F])

Class E Interest Coverage Test 3,209,930.48 EUR7,894,414.75 EUR >= 101.00%245.94% PASS 144.94%[A]/([B]+[C]+[D]+[E]+[F]+[G])

Interest Coverage Test Numerator Detail

Interest Accounts Balance 2,633,415.08 EUR

Miscellaneous Interest Proceeds 0.00 EUR

Subtotal: 2,633,415.08 EUR

Projected:

Scheduled Interest on Collateral Debt Obligations (excl PIK interest and Defaults) 6,066,202.21 EUR

Reinvest. Income from Sched. Int. Pymnts 0.00 EUR

Interest on Account Balances 0.00 EUR

Scheduled Periodic Hedge Counterparty Payments (226,920.51 EUR)

Accrued Collateral Debt Obligation Interest 0.00 EUR

Subtotal: 5,839,281.70 EUR

Less:

Purchased Accrued Interest 0.00 EUR

Interest Priority of Payments paras (A) to (F) 578,282.03 EUR

Subtotal: 578,282.03 EUR

Interest Coverage Numerator: 7,894,414.75 EUR

Interest Coverage Denominator: 3,209,930.48 EUR

Interest Coverage Test Denominators

Class A Senior Secured Floating Rate Notes 1,192,824.50 EUR [B]

Class B1 Senior Secured Floating Rate Notes 382,912.25 EUR [C]

Class B2 Senior Secured Fixed Rate Notes 57,180.56 EUR [D]

Class C Senior Secured Deferrable Floating Rate Notes 310,772.13 EUR [E]

Class D Senior Secured Deferrable Floating Rate Notes 398,331.53 EUR [F]

Class E Senior Secured Deferrable Floating Rate Notes 867,909.53 EUR [G]

Class F Senior Secured Deferrable Floating Rate Notes 524,157.75 EUR [H]

Subordinated Notes

© Copyright 2014, BNY Mellon. All Rights Reserved. 23 Interest Coverage Tests


Statistical Highlights - Interest Coverage Tests

0

100

200

300

400

500

600

18-A

pr-2

017

18-M

ay-2

017

20-J

un-2

017

05-J

ul-2

017

18-A

ug-2

017

19-S

ep-2

017

120.00 120.00 120.00 120.00 120.00 120.00

408.23 407.07448.03

415.90

343.33 363.45

Period

Ac

tua

l (%

)

Class A/B Interest Coverage Test

Threshold

>= 120.00%

0

100

200

300

400

500

18-A

pr-2

017

18-M

ay-2

017

20-J

un-2

017

05-J

ul-2

017

18-A

ug-2

017

19-S

ep-2

017

110.00 110.00 110.00 110.00 110.00 110.00

335.59 334.61369.16

342.05

279.25 296.16

Period

Ac

tua

l (%

)

Class C Interest Coverage Test

Threshold

>= 110.00%

0

50

100

150

200

250

300

350

400

18-A

pr-2

017

18-M

ay-2

017

20-J

un-2

017

05-J

ul-2

017

18-A

ug-2

017

19-S

ep-2

017

105.00 105.00 105.00 105.00 105.00 105.00

266.43 265.62294.41

271.82

218.05 232.08

Period

Ac

tua

l (%

)

Class D Interest Coverage Test

Threshold

>= 105.00%

0

40

80

120

160

200

240

280

320

18-A

pr-2

017

18-M

ay-2

017

20-J

un-2

017

05-J

ul-2

017

18-A

ug-2

017

19-S

ep-2

017

101.00 101.00 101.00 101.00 101.00 101.00

171.87 171.27192.43

175.83

134.70 144.94

Period

Ac

tua

l (%

)

Class E Interest Coverage Test

Threshold

>= 101.00%

© Copyright 2017, BNY Mellon. All Rights Reserved. 24 Statistical Highlights - Interest Coverage Tests


Notes and Asset Summary Information

Class All-In RateBalance (EUR) Interest (EUR)Spread Fitch Rating Moody's Rating

Original OriginalCurrent Current

Class A Senior Secured Floating Rate Notes 302,000,000.00 0.7770% 1,192,824.50 1.0500% AAA Aaa

Class B1 Senior Secured Floating Rate Notes 51,000,000.00 1.4770% 382,912.25 1.7500% AA+ Aa2

Class B2 Senior Secured Fixed Rate Notes 5,000,000.00 2.3000% 57,180.56 2.3000% AA+ Aa2

Class C Senior Secured Deferrable Floating Rate Notes 26,500,000.00 2.3070% 310,772.13 2.5800% A+ A2

Class D Senior Secured Deferrable Floating Rate Notes 24,900,000.00 3.1470% 398,331.53 3.4200% BBB+ Baa2

Class E Senior Secured Deferrable Floating Rate Notes 36,900,000.00 4.6270% 867,909.53 4.9000% BB+ Ba2

Class F Senior Secured Deferrable Floating Rate Notes 19,000,000.00 5.4270% 524,157.75 5.7000% B B2

Subordinated Notes 47,800,000.00 N/A Residual N/A

513,100,000.00

Assets Summary

Senior Secured Loans 430,186,430.73

Senior Unsecured Loans 5,267,000.00

Senior Secured Bonds 36,523,000.00

Senior Unsecured Bonds 0.00

Subordinated Obligations 0.00

Collateral Value of Defaulted Obligations 0.00

Total CDO Par Amount 471,976,430.73

Total Cash 28,899,169.70

TOTAL : 500,875,600.43

Test Results Summary

Test Type Pass Fail

7 1 Collateral Quality

10 0 Coverage Tests

31 0 Portfolio Profile Test

27 0 Portfolio Profile: Bivariate

© Copyright 2014, BNY Mellon. All Rights Reserved. 25 Notes and Asset Summary Information


Par Value Tests

Test Description Denominator ActualNumerator Headroom ResultTargetFormula

Class A/B Par Value Test 358,000,000.00 EUR500,875,600.43 EUR >= 129.66%139.91% PASS 10.25%[A]/([B]+[C]+[D])

Class C Par Value Test 384,500,000.00 EUR500,875,600.43 EUR >= 121.54%130.27% PASS 8.73%[A]/([B]+[C]+[D]+[E])

Class D Par Value Test 409,400,000.00 EUR500,875,600.43 EUR >= 115.13%122.34% PASS 7.21%[A]/([B]+[C]+[D]+[E]+[F])

Class E Par Value Test 446,300,000.00 EUR500,875,600.43 EUR >= 106.53%112.23% PASS 5.70%[A]/([B]+[C]+[D]+[E]+[F]+[G])

Class F Par Value Test 465,300,000.00 EUR500,875,600.43 EUR >= 102.96%107.65% PASS 4.69%[A]/([B]+[C]+[D]+[E]+[F]+[G]+[H])

Reinvestment Overcollateralisation Test 465,300,000.00 EUR500,875,600.43 EUR >= 103.46%107.65% PASS 4.19%[A]/([B]+[C]+[D]+[E]+[F]+[G]+[H])

Par Value Test Numerator Detail

Aggregate Principal Balance of CDO's (excl Defaulted, Discount, Deferring) 471,976,430.73 EUR

Principal and Unused Proceeds Account 28,899,169.70 EUR

Plus:

Deferring and Defaulted Securities 0.00 EUR

Discount Obligations 0.00 EUR

Less:

Excess CCC Adjustment Amount 0.00 EUR

Adjusted Collateral Principal Amount: 500,875,600.43 EUR [A]

Tranche Principal Amount Outstanding

Class A Senior Secured Floating Rate Notes 302,000,000.00 EUR [B]

Class B1 Senior Secured Floating Rate Notes 51,000,000.00 EUR [C]

Class B2 Senior Secured Fixed Rate Notes 5,000,000.00 EUR [D]

Class C Senior Secured Deferrable Floating Rate Notes 26,500,000.00 EUR [E]

Class D Senior Secured Deferrable Floating Rate Notes 24,900,000.00 EUR [F]

Class E Senior Secured Deferrable Floating Rate Notes 36,900,000.00 EUR [G]

Class F Senior Secured Deferrable Floating Rate Notes 19,000,000.00 EUR [H]

Par Value Test Denominator Detail

© Copyright 2014, BNY Mellon. All Rights Reserved. 26 Par Value Tests


Statistical Highlights - Par Value Tests

0

20

40

60

80

100

120

140

18-A

pr-2

017

18-M

ay-2

017

20-J

un-2

017

05-J

ul-2

017

18-A

ug-2

017

19-S

ep-2

017

129.66 129.66 129.66 129.66 129.66 129.66

10.29 10.26 10.25 10.24 10.24 10.25

Period

Ac

tua

l (%

)

Class A/B Par Value Test

Threshold

>= 129.66%

0

20

40

60

80

100

120

140

18-A

pr-2

017

18-M

ay-2

017

20-J

un-2

017

05-J

ul-2

017

18-A

ug-2

017

19-S

ep-2

017

121.54 121.54 121.54 121.54 121.54 121.54

8.76 8.73 8.73 8.72 8.72 8.73

Period

Ac

tua

l (%

)

Class C Par Value Test

Threshold

>= 121.54%

0

20

40

60

80

100

120

140

18-A

pr-2

017

18-M

ay-2

017

20-J

un-2

017

05-J

ul-2

017

18-A

ug-2

017

19-S

ep-2

017

115.13 115.13 115.13 115.13 115.13 115.13

7.25 7.22 7.22 7.21 7.21 7.21

Period

Ac

tua

l (%

)

Class D Par Value Test

Threshold

>= 115.13%

0

20

40

60

80

100

120

18-A

pr-2

017

18-M

ay-2

017

20-J

un-2

017

05-J

ul-2

017

18-A

ug-2

017

19-S

ep-2

017

106.53 106.53 106.53 106.53 106.53 106.53

5.73 5.70 5.70 5.69 5.69 5.70

Period

Ac

tua

l (%

)

Class E Par Value Test

Threshold

>= 106.53%

© Copyright 2017, BNY Mellon. All Rights Reserved. 27 Statistical Highlights - Par Value Tests


Affiliated Issuers with Investment Manager

Security Security ID Security

Type

Principal

Balance

There are no Affiliated Issuers with Investment Manager to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 28 Affiliated Issuers with Investment Manager


Asset Swap Transactions

Applicable

Exchange RateAsset Swap

Counterparty Fitch

Rating

Description Asset Swap

Counterparty

Moody's Rating

Initial

Exchange

Date

Currency

of Asset

Final Exchange

Date / Maturity

Date

Principal Balance

Credit Suisse International

Stretford Seventy Nine - Float - 07/2020- EUROSWAP GBP15-Jul-2020 1,562,900.13 0.00

1,562,900.13 Credit Suisse International subtotal:

JP Morgan Securities

Motor Fuel Group - Term Loan Eur/ Swap GBP18-Jul-2022 2,848,250.00 0.00

2,848,250.00 JP Morgan Securities subtotal:

JPMorgan Chase Bank, N.A.

Lumenis - EUR/SWAP 2 USD29-Aug-2023 3,532,800.00 0.00

3,532,800.00 JPMorgan Chase Bank, N.A. subtotal:

7,943,950.13 Grand Total:

© Copyright 2014, BNY Mellon. All Rights Reserved. 29 Asset Swap Transactions


Collateral Debt Obligations that Pay Interest Semi-Annually

FrequencySecurity Security ID Coupon

Type

Principal

Balance

Amplitude - Float - 08/2021 (Private Placement) Amplitude_EUR Semi-Annual 1,180,000.00 Float

BOPARANFINANCEPLC - 4.375% - 07/2021 XS1082473395 Semi-Annual 3,767,000.00 Fixed

Diaverum Holding SARL - Second Lien Term Loan DIAVERUM_SLTL Semi-Annual 1,500,000.00 Float

Dorna Sports SL - B2 Euro Term Loan DORNASPOR_ETL Semi-Annual 9,431,615.10 Float

fmh - 4.875% - 04/2022 XS1587905727 Semi-Annual 1,400,000.00 Fixed

HNVR Holdco Limited - Facility B HNVRHOL_FLTLB Semi-Annual 2,954,693.88 Float

Horizon Holdings II SAS - Facility B4 HORIZONHII_B4 Semi-Annual 7,499,999.70 Float

Infinitas - Facility B3 INFINITANED_B Semi-Annual 697,674.42 Float

Infinitas - Facility B3 INFINITANED_B Semi-Annual 901,395.35 Float

Infinitas - Facility B3 INFINITANED_B Semi-Annual 4,400,930.23 Float

INTERPARKHOLDI - Facility B IPHLDBVFL_TLB Semi-Annual 2,500,000.00 Float

Lumenis - EUR/SWAP 2 EUR_SWAP2 Semi-Annual 3,532,800.00 Float

Motor Fuel Group - Term Loan Eur/ Swap MOTOR_EURSWAP Semi-Annual 2,848,250.00 Float

Obol France 3 SAS - Facility B OBOLFRAN3_FAB Semi-Annual 1,500,000.00 Float

SOFTBANKGROUPCORP - 3.125% - 09/2025 XS1684385161 Semi-Annual 2,600,000.00 Fixed

Stretford Seventy Nine - Float - 07/2020- EUROSWAP STRE_Euro Semi-Annual 1,562,900.13 Float

Taghleef Industries Holdco Limited - Facility B (EUR) TAGHLEEF_ EUR Semi-Annual 1,500,000.00 Float

Tele Columbus AG - 2017 New Facility A TELECOLUMBUSA Semi-Annual 5,500,000.00 Float

THREEAB OPITIQUE DV - 5.625% - 04/2019 XS1028956909 Semi-Annual 1,348,000.00 Fixed

UF IV - 4% - 01/2027 XS1117297603 Semi-Annual 3,000,000.00 Fixed

UNIBTDBV - Fixed 4.375% - 07/2022 XS1647814968 Semi-Annual 5,500,000.00 Fixed

Unilabs Diagnostics AB - New Euro Term Loan B2 UNILABSDIA_FTB Semi-Annual 9,500,000.00 Float

ViridGrpFundII - 7.5% - 03/2020 XS1179900102 Semi-Annual 1,575,000.00 Fixed

Vivarte S.A. - Super Senior Facility Vivarte_TL Semi-Annual 3,052,004.20 Float

WMG Acquisition Corp - 4.125% - 11/2024 XS1505573995 Semi-Annual 1,500,000.00 Fixed

Ziggo Secured Finance Partnership - Term Loan F ZIGGO_SECURF Semi-Annual 12,000,000.00 Float


© Copyright 2014, BNY Mellon. All Rights Reserved. 30 Collateral Debt Obligations that pay Interest Semi-Annually


Collateral Enhancement Obligations

Principal

Balance

IssuerSecurity Security ID Country Moody's Industry Group Fitch Industry Group

There are no Collateral Enhancement Obligations to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 31 Collateral Enhancement Obligations


Committed Trades

Par Amount Reason for TradePrincipalSecurity Security IDLX ID PriceClient ID Settle DateTrade Date Interest Total

Proceeds

There are no Committed Trades to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 32 Committed Trades


Cov-Lite Loans

Security Security ID Principal

Balance

Discount

Recovery

Asset Type Cov-Lite? Cov-Lite with

Proviso?

Dela - Facility B1 Delax_Rail B1 7,781,932.68Loan No No

Ineos Styrolution Group GmbH - 2024 Euro Tranche 1 Term Loan STRYMBHGR_ETL 5,586,462.61Loan No No

INEOSFINANCEPLC - New 2022 Euro Term Loan INEOSFNC_EUTB 14,152,417.79Loan No No

Stretford Seventy Nine - Float - 07/2020- EUROSWAP STRE_Euro 1,562,900.13Loan No No

29,083,713.21

© Copyright 2014, BNY Mellon. All Rights Reserved. 33 Cov-Lite Loans


Current Pay Excess

500,875,600.43 EURAggregate Collateral Balance

25,043,780.02 EUR5% of ACB

0.00 EURCurrent Pay Obligations

<= 25,043,780 EURThreshold

0.00 EURExcess constituting Defaulted Obligation

Security Security ID Principal BalanceÌs Current Pay

Obligation?

Fitch Rating Moody's

Rating

Current Pay

Excess

Is

Defaulted?

Market

Price

© Copyright 2014, BNY Mellon. All Rights Reserved. 34 Current Pay Excess


Current Pay Obligations

Current Pay

Obligation?

Security Security ID Market

Price

Principal

Balance

Fitch

Rating

Moody's

Rating

Current Pay

Excess

Is Defaulted?

There are no Current Pay Obligations to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 35 Current Pay Obligations


Defaulted Obligations

Principal Balance Par Value Test

Determination

Default

Date

Security Security ID Market Price Fitch

Recovery

Rate

Moody's

Recovery

Rate

Recovery

Amount

There are no Defaulted Obligations to report on.

© Copyright 2017, BNY Mellon. All Rights Reserved. 36 Defaulted Obligations


Deferring Obligations

Principal

Balance

Haircut Type Deferring

Date

Security Security ID Market Price Fitch

Recovery Rate

Moody's

Recovery

Rate

Recovery Amount

There are no Deferring Obligations to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 37 Deferring Obligations


Discounted Obligations


Balance

Discount

Recovery

Trade Date Price Moody's

Rating at

Purchase

Fitch

Rating at

Purchase

There are no Discounted Obligations to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 38 Discounted Obligations


Discretionary Reason for Sale

ACB at start of the year Result Requirement

0.00 EUR 0.00% <= 25.00% PASS

Reason for Sale Sale Date Trade AmountSecurity

There are no Sales to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 39 Discretionary Reason for Sale


Exchanged Securities

IssuerSecurity Security ID Country Principal BalanceMoody's Industry

Group

Fitch Industry Group

There are no Exchanged Securities to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 40 Exchanged Securities


Interest Rate Hedge Transactions

Fitch LT

RatingNet Hedge

Payment

Hedge Counterparty Notional Amount Euribor Moody's ST

Rating

Spread Moody's LT

Rating

Fitch ST

Rating

There are no Interest Rate Hedge Transactions to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 41 Interest Rate Hedge Transactions


Market Value determined by Investment Manager

Market Valuie determined by Investment ManagerSecurity Security ID Latest Market

Value

There are no Securities which have their Market Value determined by the Investment Manager to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 42 Market Value determined by Investment Manager


Moody's Ratings derived pursuant to clause (e)

TypeSecurity Security ID Moody's

Rating

Principal

Balance

There are no Securities which derive their Moody's Ratings pursuant to clause (e) to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 43 Moody's Ratings derived pursuant to clause (e)


Obligations forming CCC/Caa Excess

Aggregate Collateral Balance: 500,875,600.43 EUR

7.5% of Aggregate Collateral Balance 37,565,670.03 EUR

Principal Balance of All CCC Obligations in Excess 0.00 EUR

Market Value of All CCC Obligations in Excess 0.00 EUR

Excess CCC Adjusted Amount 0.00 EUR

Principal

Balance (EUR)

OC Haircut TypeRating

Moody's/Fitch

Used

Security Security ID Market Price Is

Original

CCC?

Market Value

(EUR)

CCC Excess

(EUR)

Market Value

Excess (EUR)

There are no Obligations forming CCC/Caa Excess to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 44 Obligations forming CCC/Caa Excess


Participations with no Lender of Record

Counterparty Fitch

Rating

Counter Institution Principal Balance Not Lender of

Record

Counterparty

Moody's Rating

Description

© Copyright 2014, BNY Mellon. All Rights Reserved. 45 Participations with no Lender of Record


Ratings Change Report

Previous Effective

Rating

Description Loan X ID Current Effective

Rating

Notional Amount (%)Change

There are no Ratings Changes to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 46 Ratings Change Report


Securities Sold Detail

APB as of 12 months ago Result Requirement

499,822,930.77 EUR 38.78% >= 0.00% PASS

Sale Date Original Purchase Price Sale Price Trade AmountSecurity

Aenova Holding GmbH Facility B (Aenova Holding) 28-Nov-2014 99.50 0.00 105,713.36

Aenova Holding GmbH Facility B (Aenova Holding) 28-Nov-2014 99.50 0.00 1,936,613.30


Aenova Holding GmbH Facility B (Aenova Holding) 28-Nov-2014 99.50 0.00 363,124.54


Capio AB - IDC Salud SLU Retired - Tranche C 03-Jul-2014 0.00 100.38 4,000,000.00

Capio Sanidad SL Facility B1 03-Jul-2014 0.00 100.23 2,160,378.46

Catalent Pharma Solution Term Loan B2 25-Jul-2014 0.00 99.50 2,999,999.84

Colouroz Investment 1 GMBH First Lien Initial Euro Term Loan 03-Dec-2014 100.11 100.39 2,993,816.70

Colouroz Midco - ANI Printing Inks BV First Lien Initial Euro Term Loan 03-Dec-2014 0.00 100.39 1,993,683.30

Dell International LLC Retired - Euro Term Loan 15-May-2014 100.15 100.16 997,500.00

Dell International LLC Retired - Euro Term Loan 16-May-2014 69.46 100.15 8,000,000.00

Dell International LLC Retired - Euro Term Loan 25-Nov-2014 88.37 100.71 1,000,000.00

Diaverum Holding S.ar.l. (fka Velox Bidco SARL) Capex/Acquisition Facility 1X 23-Jun-2014 0.00 99.50 5,000,000.00

Diaverum Holding S.ar.l. (fka Velox Bidco SARL) Facility B (Lux) Retired 07/04/2017 23-Jun-2014 100.10 100.10 1,000,000.00

Dorna Sports SL Retired- B Euro Term Loan 15-May-2014 0.00 0.00 6,300,000.00

Douglas Holdings Facility B 27-Jun-2014 0.00 101.25 2,000,000.00

DRY MIX SOLUTIONS INVEST Floating - 06/2021 12-Dec-2014 100.00 97.50 5,000,000.00

Eircom Finco S.a.r.l Extended Term Loan 04-Jun-2014 0.00 96.25 8,000,000.00

Emerald 2 Limited - Eagle US Inc Facility B2 16-Dec-2014 99.50 100.50 4,000,000.00

ERM Holdings Euro Term Loan 17-Jun-2014 0.00 99.50 8,000,000.00

Etrawler Term Loan B 21-May-2014 0.00 99.75 11,000,000.00

First Atlas (IX) Lux SA - Capucine SAS Facility B 22-Jul-2014 0.00 0.00 690,836.26

First Atlas (IX) Lux SA - Webhelp SAS Facility B 22-Jul-2014 0.00 0.00 106,214.60

First Atlas (IX) Lux SA - Webhelp UK Trading Ltd Facility B 16-Jun-2014 0.00 100.84 1,000,000.00

First Atlas (IX) Lux SA - Webhelp UK Trading Ltd Facility B 22-Jul-2014 0.00 0.00 202,949.13

Flint Group Holdings SARL - Aster Zweite Beteiligungs Gmbh Mezzanine Term A1 05-Sep-2014 0.00 100.25 5,073,823.18

GALAPAGOS SA Floating - 06/2021 12-Dec-2014 100.00 98.63 5,000,000.00

IDC Salud SLU Second Lien Term Loan 11-Dec-2014 0.00 98.88 1,000,000.00

IDC Salud SLU Second Lien Term Loan 03-Dec-2014 0.00 98.88 5,000,000.00

Iglo Foods Midco Limited Retired - Facility F 28-Nov-2014 0.00 0.00 2,000,000.00

Iglo Foods Midco Limited Retired Facility B1 (Euro) 10-Dec-2014 78.18 98.13 2,900,000.00

© Copyright 2014, BNY Mellon. All Rights Reserved. 47 Securities Sold Detail




499,822,930.77 EUR 38.78% >= 0.00% PASS


LGC Science Investments Limited Facility B (EUR) 16-Dec-2014 0.00 100.08 5,000,000.00

Lion Seneca France 2 SAS Facility B 30-May-2014 0.00 100.50 2,000,000.00

LOCK AS Float - 08/2020 14-Nov-2014 0.00 0.00 800,000.00

Mustang Bidco Limited Facility B 30-Sep-2014 99.75 100.38 6,000,000.00

Nassa Midco AS Facility B (EUR) 15-Dec-2014 99.50 98.75 2,000,000.00

Nassa Midco AS Facility B (EUR) 12-Dec-2014 99.50 98.75 2,000,000.00

Novafives SAS Floating - 06/2020 25-Nov-2014 0.00 99.50 1,000,000.00

Novafives SAS Floating - 06/2020 26-Nov-2014 0.00 99.50 2,000,000.00

Orion Engineered Carbons GmbH Initial Euro Term Loan 02-Dec-2014 99.73 100.60 5,000,000.00

Parque de Atracciones Madrid SAU Facility B3A (Euro) Retired 05/03/2016 16-Aug-2014 100.19 100.42 2,250,000.00

Parque de Atracciones Madrid SAU Facility C3A (EURO) Retired 05/03/2016 16-Aug-2014 0.00 100.42 2,250,000.00

Refresco Group BV Euribor+4.00% - 05/2018 25-Nov-2014 0.00 100.00 8,000,000.00

Spectrum Brands Europe GMBH Term Loan (Euro) 04-Jun-2014 0.00 101.38 1,000,000.00

Springer Science & Business Media Deutschland GMBH Retired - Initial Term B-1 Loan 15-Aug-2014 0.00 0.00 353,542.06

Springer-Verlag GmbH Retired - Initial Term B-1 Loan 15-Aug-2014 0.00 0.00 3,611,483.00

Tech Finance & Co SCA Euro Term Loan 30-Sep-2014 100.17 100.56 5,317,812.50

Telenet International Finance S.A. Term Loan Y Facility Retired 11/10/2016 18-Dec-2014 66.79 99.75 1,000,000.00

Telenet International Finance S.A. Term Loan Y Facility Retired 11/10/2016 18-Dec-2014 66.79 99.75 1,000,000.00

Tyrol Acquisition 2 SAS Extended Facility A-2 Term Loan 02-Jun-2014 0.00 95.99 4,285,714.29

Tyrol Acquisition 2 SAS Extended Facility A-2 Term Loan - PIK 02-Dec-2014 0.00 99.00 144,238.28

Tyrol Acquisition 2 SAS Extended Facility A-2 Term Loan Non-PIK 02-Dec-2014 0.00 99.00 4,689,997.84

Tyrol Acquisition 2 SAS Extended Facility B2 02-Jun-2014 96.67 95.99 5,714,285.71

Tyrol Acquisition 2 SAS Extended Facility B2 02-Dec-2014 95.70 99.00 2,525,347.21

Tyrol Acquisition 2 SAS Extended Facility B2 Non-PIK 02-Dec-2014 0.00 99.00 1,000,000.00

Tyrol Acquisition 2 SAS Extended Facility B2 Non-PIK 06-Nov-2014 0.00 98.99 1,000,000.00

Tyrol Acquisition 2 SAS Extended Facility B2 Non-PIK 02-Dec-2014 0.00 99.00 3,599,997.42

Tyrol Acquisition 2 SAS Extended Facility B2 PIK 02-Dec-2014 63.70 99.00 172,224.73

Tyrol Acquisition 2 SAS Facility CA1 Tranche 2 Loan PIK 02-Dec-2014 97.21 99.00 2,449,998.87

Tyrol Acquisition 2 SAS Facility CA1 Tranche 2 Loan PIK 02-Dec-2014 97.21 99.00 75,348.35

Wind Telecommunicazioni S.P.A Retired - B-1 Term Loan 15-May-2014 0.00 100.25 5,000,000.00

Yellow Maple Holding BV Retired Facility B1 12-Dec-2014 99.75 100.25 2,000,000.00

YPSO Holding Sarl - NC Numericable SAS Term B1 I Recap NC Num 13-Jun-2014 0.00 99.50 2,000,000.00





499,822,930.77 EUR 38.78% >= 0.00% PASS


Ziggo B.V. Term Loan B4 - Euro 23-Dec-2014 0.00 0.00 2,604,000.00



Substitute Collateral Debt Obligations

IssuerSecurity Security ID Country Principal BalanceMoody's Industry

Group

Fitch Industry Group

There are no Substitute Collateral Debt Obligations to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 50 Substitute Collateral Debt Obligations


Swapped Non-Discount Obligations

471,976,430.73 EURAggregate Principal Balance

23,598,821.54 EUR5% of APB

498,750,000.00 EURTarget Par Amount

49,875,000.00 EUR10% of TPA

0.00 EURSwapped Non-Discount Obligations

<= 23,598,822 EURThreshold

0.00 EURExcess constituting Discount Obligation


Balance

Ìs Swapped

Non-Discount?

Is Discount? Discount Portion Excess

© Copyright 2014, BNY Mellon. All Rights Reserved. 51 Swapped Non-Discount Obligations


Purchase and Sale Activity

PricePar Amount (EUR)Security LXID/ISIN Principal (EUR)Trade Date

Purchases

INTERPARKHOLDI - Facility B IPHLDBVFL_TLB 2,500,000.00 100.00% (2,500,000.00)19-Sep-2017

Kraton Polymers Holdings BV - Initial Eu KRATON_POLYHO 2,500,000.00 100.00% (2,500,000.00)29-Aug-2017

SOFTBANKGROUPCORP - 3.125% - 09/2025 XS1684385161 2,600,000.00 100.00% (2,600,000.00)12-Sep-2017

Stiga SPA - Facility B GLOBAL_STIGA 6,000,000.00 99.50% (5,970,000.00)30-Aug-2017

13,600,000.00 (13,570,000.00)Purchases Subtotal:

Redemption

Stretford Seventy Nine - Float - 07/2020 STRE_Euro (3,771,025.22) 0.00% 3,771,025.22 14-Sep-2017

ViridGrpFundII - 7.5% - 03/2020 XS1179900102 (175,000.00) 0.00% 175,000.00 29-Aug-2017

(3,946,025.22) 3,946,025.22 Redemption Subtotal:

Unscheduled Paydown

UMV Global Foods Company Ltd. - Facility UMVGLBLFD_FB2 (8,667,609.28) 0.00% 8,667,609.28 04-Sep-2017

(8,667,609.28) 8,667,609.28 Unscheduled Paydown Subtotal:

986,365.50 (956,365.50)Grand Total:

© Copyright 2014, BNY Mellon. All Rights Reserved. 52 Purchase and Sale Activity


Purchased/Sold Accrued Interest

Receive Date Amount Price Amount Native

Currency

Security Currency

Viridian Group Fundco II 7.5% - 03/2020 01-Sep-2017 45,572.92 100.00 45,572.92EUR

© Copyright 2014, BNY Mellon. All Rights Reserved. 53 Purchased/Sold Accrued Interest


15. Ratings Stratification

Moody's Rating Principal Balance (EUR) % of APB

B2 217,581,519.41 46.10%

B1 111,730,451.66 23.67%

Ba3 63,230,222.07 13.40%

Ba2 27,062,905.56 5.73%

Ba1 22,536,527.83 4.77%

B3 21,782,800.00 4.62%

Caa1 5,000,000.00 1.06%

Caa3 3,052,004.20 0.65%

471,976,430.73

Fitch Rating Principal Balance (EUR) % of APB

B 182,381,030.80 38.64%

B- 130,855,551.91 27.73%

B+ 69,261,947.81 14.67%

BB- 56,488,278.68 11.97%

BB 20,587,617.32 4.36%

CCC 5,750,000.00 1.22%

CC 3,052,004.20 0.65%

BBB 2,600,000.00 0.55%

BB+ 1,000,000.00 0.21%

471,976,430.73

0M

40M

80M

120M

160M

200M

240M

Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa3

Moody's Rating

Pri

ncip

al B

ala

nce (

EU

R)

0M

40M

80M

120M

160M

200M

BBB BB+ BB BB- B+ B B- CCC Others

Fitch Rating

Pri

ncip

al B

ala

nce (

EU

R)

© Copyright 2014, BNY Mellon. All Rights Reserved. 54 Ratings Stratification


Restructures

Security CUSIP/ISIN Principal Balance Restructured

Date

Affiliate IDSecurity

Type

Native

Currency

Aenova Holding GmbH Facility B (Aenova Holding) 3,914,736.56 LoanEUR

Aenova Holding GmbH - Dragenopharm Apotheker Pueschl GmbH

Facility B

DE009A2NPB16 1,936,613.30 Aenova Holding GmbHLoanEUR

Aenova Holding GMBH - Temmler Pharma GMBH & Co. KG Facility B

(Temmler)

DE009A2NPFL2 105,713.36 Aenova Holding GmbHLoanEUR

Aenova Holding GMBH - Temmler Pharma GMBH & Co. KG Facility B

(Temmler)

DE009A2NPFL2 363,124.54 Aenova Holding GmbHLoanEUR

Allnex SARL Tranche B-1 Term Loan 13,750.00 LoanEUR

Allnex SARL Tranche B-1 Term Loan 5,445,000.00 LoanEUR

Alpha Bidco SAS Facility B1 699,874.63 LoanEUR

Alpha BidCo SAS - Dutch Topco Facility B2 300,125.37 Alpha Bidco SASLoanEUR

Auris Luxembourg III SARL Facility B6 L0421UAE1 1,955,113.43 LoanEUR

Ceva Sante Animale Facility B2 EF9255359 1,697,572.76 LoanEUR

Ceva Sante Animale Facility B2 EF9255359 2,302,427.24 LoanEUR

Constantia Flexibles Gmbh Facility B1A (EUR) 1,740,218.91 LoanEUR

Constantia Flexibles Gmbh Facility B2A (EUR) 259,780.89 LoanEUR

Cool International Holding GMBH Facility B1 474,205.71 AHT Holding GMBHLoanEUR

Cool International Holding GMBH Facility B1 1,463,263.33 AHT Holding GMBHLoanEUR

Cool International Holding GMBH Facility B1 1,964,566.50 AHT Holding GMBHLoanEUR

Delachaux S.A. - Railtech International S.A. Facility B1 1,949.84 LoanEUR

Delachaux S.A. - Railtech International S.A. Facility B1 425,214.00 LoanEUR

Delachaux S.A. - Railtech International S.A. Facility B1 3,449,623.67 LoanEUR

Delachaux S.A. - Railtech International S.A. Facility B1 3,905,145.17 LoanEUR

Diaverum Sarl Facility B 525,417.18 LoanEUR

Diaverum Sarl Facility B 3,474,582.82 LoanEUR

Dorna Sports SL B2 Euro Term Loan 9,431,615.10 LoanEUR

Eircom Finco S.a.r.l 2017 Term Loan B 4,500,000.00 LoanEUR

Elsan SAS Facility B2 68,965.53 LoanEUR



Elsan SAS Facility B2 1,957,305.63 LoanEUR

Elsan SAS Facility B2 2,342,758.62 LoanEUR

Equinix Inc Term B-2 Commitment 29446BAV8 6,982,500.01 LoanEUR

Financiere Verdi I SAS New Facility B 303,181.39 LoanEUR



Greeneden U.S. Holdings I, LLC Tranche B-2 Euro Term Loan US39479UAH68 6,467,500.00 LoanEUR

© Copyright 2014, BNY Mellon. All Rights Reserved. 55 Restructures


Restructures


Date


Type

Native

Currency

Horizon Holdings II SAS Facility B4 7,499,999.70 LoanEUR

Ineos Finance PLC New 2022 Euro Term Loan G4768PAE1 14,152,417.79 LoanEUR

Ineos Styrolution Group GmbH 2024 Euro Tranche 1 Term Loan D3542BAD2 5,586,462.61 LoanEUR

Infinitas Learning Holding B.V - Infinitas Learning Netherlands BV Facility

B3

N4473EAC8 697,674.42 Infinitas Learning Holding BVLoanEUR


B3

N4473EAC8 901,395.35 Infinitas Learning Holding BVLoanEUR


B3

N4473EAC8 4,400,930.23 Infinitas Learning Holding BVLoanEUR

Inovyn Finance PLC 2024 Tranche B Euro Term Loan G4818YAE2 1,488,768.75 LoanEUR

Intervias Finco Ltd Facility D2 9,000,000.00 LoanEUR

Ion Trading Finance Limited Tranche B-1 Euro Loan L5582BAN7 8,063,797.81 LoanEUR

Kirk Beauty One Gmbh - Douglas Gmbh Facility B1 507,429.70 LoanEUR







Klockner Pentaplast of America Inc Euro Term Loan US49865NAP50 8,000,000.00 LoanEUR

LSF9 Robin Investments Limited Facility B4 3,500,000.00 LoanEUR

Macdermid Funding LLC Euro Tranche C-4 Term Loan 554276AT2 3,463,825.00 MacdermidLoanEUR

Nielsen Finance LLC (VNU) Class B-2 Euro Term Loan 65409YBA2 3,120,359.84 Nielsen Finance Llc / Nielsen Finance CompanyLoanEUR

Novacap Group Bidco Retired Facility B 1,999,999.99 LoanEUR

Obol France 3 SAS Facility B 1,500,000.00 LoanEUR

Peer Holdings BV Facility B EN9024030 2,000,000.00 LoanEUR

PQ Corporation Second Amendment Tranche B-2 Term Loans 69353FAW4 990,018.75 LoanEUR

Sam Bidco Facility B3B 2,023,911.99 LoanEUR

Sam Bidco New Facility B3A 7,378,223.20 LoanEUR

Solera LLC Euro Term Loan 83421MAC2 1,975,000.00 LoanEUR

SSCP Eleanor Finance S.A.R.L Acqusition Term Loan 68,750.00 LoanEUR





SSCP Eleanor Finance S.A.R.L Unitranche 4,812,500.00 LoanEUR

Tackle Sarl New Facility B 5,500,000.00 LoanEUR



Restructures


Date


Type

Native

Currency

Tele Columbus AG 2017 New Facility A 5,500,000.00 LoanEUR

TMF Group Holding BV Facility B 3,500,000.00 LoanEUR

Trionista Holdco GMBH - Ista Holding Netherlands BV Facility B1B3 16,537.61 Trionista Holdco GMBH - Ista International GMBHLoanEUR

Trionista Holdco GMBH - Ista International GMBH Facility B1A3 13,836,966.88 LoanEUR

Trionista Holdco GMBH - Meter Acquisition SAS Facility B1C3 1,118.88 Trionista Holdco GMBH - Ista International GMBHLoanEUR

Trionista Holdco GMBH - Meter Acquisition SAS Facility B1C3 113,722.94 Trionista Holdco GMBH - Ista International GMBHLoanEUR

Trionista Holdco GMBH - VES HOLDING APS Facility B1E3 31,652.41 Trionista Holdco GMBH - Ista International GMBHLoanEUR

Unilabs Diagnostics AB New Euro Term Loan B2 W9800LAD3 9,500,000.00 LoanEUR

Unit 4 Sweden Holding AB Facility B1 (EUR) EN9020681 1,909,090.91 LoanEUR

Unit 4 Sweden Holding AB Facility B1 (EUR) EN9020681 5,090,909.09 LoanEUR

WowMidco SAS Facility B2 25,346.15 LoanEUR







Risk Retention Confirmation

We have received written confirmation from the Retention Holder that:

(a) it continues to hold, not less than 5 per cent. of the outstanding nominal valueof each Class of Notes (the 'Retention'); and

(b) neither it nor its Affiliates have transferred the Retention Notes nor has it sold , hedged or otherwise mitigated its credit risk under or associated with

the Retention Notes or the underlying portfolio of Collateral Debt Obligations,

except to the extent permitted in accordance with the Risk Retention Letter.

© Copyright 2014, BNY Mellon. All Rights Reserved. 58 Risk Retention Confirmation


Securities which have been Upgraded or Downgraded

Asset TypeSecurity Security ID Rating

Changed

Principal

Balance

There are no Securities which have been Upgraded or Downgraded to report on.

© Copyright 2014, BNY Mellon. All Rights Reserved. 59 Securities which have been Upgraded or Downgraded

Documents

Closing Date 15-May-2014 Investor Report 19-Sep-2017 · Closing Date 15-May-2014 Oaktree Capital Management (UK) LLP 27 Knightsbridge London SW1X 7LY ... Foncia Senior Facility B