babson euro clo 2014-1 b.v. manager’s report · into deals which satisfied the various tests....

For investment professionals only

31 DEC 2014

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

May 2018

This report comments on the performance of Babson Euro CLO 2014-1 B.V. (the "Fund") for the period ending 31st May 2018.

CLO MANAGEMENT

The majority of the Collateral Quality Tests were relatively stable during the period, with a number of repayments and sales proceeds reinvestedinto deals which satisfied the various tests. Despite this, the Fitch Weighted Average Recovery rate test was failing as at the end of May as we havereceived notification of repayments which are imminent on some assets which had higher than average recovery rates associated with them. Whilstthis is a ‘maintain or improve’ test, trading activity (at least from a relative value perspective) is likely to be subdued until after such time thecurrent deal is amended to allow greater flexibility than currently structured.

Given the Fund has now passed the end of its reinvestment period and the various constraints it now faces (including, but not limited to, theWeighted Average Life Test), we are exploring options regarding possible amendments to the existing deal structure/documentation, as per thenotice issued through the Irish Stock Exchange early May 2018.

MARKET UPDATE

In May, the low correlation of the European loan market compared to other asset classes saw a slightly positive return generated, despite thebroader market volatility and weakness across Europe driven by political events in Italy and the resulting spikes in BTP (Italian Government)yields.

From a primary market perspective, May saw c.€9bn of institutional new issuance, with 79% of the institutional loan supply being from acquisition-related volume. Such volume contains some sizeable debt raises, such as the €2 billion loan backing the take-private of TDC, the €1.55 billion first-and second-lien loan financing for the LBO of Zentiva, and the €1.2 billion-equivalent euro and sterling financing for the LBO of ZPG. Looking atthe first five months of the year, the primary market activity in buyout and M&A deals is ahead of last year whilst refinancing and dividend recapsare running behind last year; with the overall primary issuance volume roughly in line with the same period in 2017. The average market pricedecreased slightly over the month, finishing at 99.07 with a 22bps decrease in May. Spreads meanwhile widened by 4bps, finishing at 390bps atmonth-end. Even when putting in the context of the sharp falls in broader European credit, any minor declines in European loans proved to bemore opportunistic (and largely temporary) given the ongoing technical bid provided by stable CLO investors and their current rampingwarehouses. Euro CLO issuance in May consisted of six CLOs pricing, totalling €2.7bn (with this number including two refi/reset deals totalling€0.9bn).

IMPORTANT NOTICE

Barings (U.K.) Limited (“Barings”) does not act for you and is not responsible for providing you with the protections afforded to its clients. Inparticular, Barings will not provide you with any investment advice. No director or employee of Barings is permitted to lead you to believeotherwise. You should take your own independent legal, tax and financial advice.

Barings (U.K.) Limited (3005774) is registered in England and Wales and is authorised and regulated by the Financial Conduct Authority.

This report is prepared by Barings (U.K.) Limited for information purposes only. Certain information included in this report is estimated,approximated or projected. This report is provided without any representations or warranties as to the completeness or accuracy. None of Barings(U.K.) Limited or Babson Euro CLO 2014-1 B.V. will have any liability for such estimates, approximations or projections.

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

31-May-1816-Jul-1816-Apr-18

Monthly Report

Prior Payment:Next Payment: 15-Oct-18

CDO Trust Serviceswww.usbank.com/cdo

Neil Lewis+44(0) 207 330 [email protected]

Electronic Reports

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

Payment Data File Name:

BABS1401

Account SummaryBABS1401_20180531_D_1.CSV

Transaction DetailBABS1401_20180531_D_2.CSV

Test HistoryBABS1401_20180531_D_3.CSV

Asset DetailBABS1401_20180531_D_4.CSV

SIFMABABS1401_20180531_SIFMA.XML

Relevant Dates

Issue Date: 15-Apr-14

Effective Date: 21-Aug-14

First Payment Date: 15-Jan-15

Reinvestment Period End Date: 04-Apr-18

Compliance Information Pages

Summary 2

Account Summary 3

Portfolio Profile Tests Summary 4 - 5

Coverage and Collateral Quality Tests Summary 6

Par Value Tests Detail 7

Interest Coverage Tests Detail 8

Coverage Tests History - Part I 9

Coverage Tests History - Part II 10

Coverage Tests History - Part III 11

Coverage Tests History - Part IV 12

Collateral Quality Tests History - Part I 13

Collateral Quality Tests History - Part II 14

Collateral Quality Tests History - Part III 15

Collateral Quality Tests History - Part IV 16

Asset Detail Information Pages

Assets Purchased 17

Assets Sold 18

Principal Repayments 19

Current Asset Characteristics - Part I 20 - 25

Current Asset Characteristics - Part II 26 - 31

Current Asset Characteristics - Part III 32 - 36

Moody's Caa Obligations and Fitch CCC Obligations 37

Defaulted Obligations and Deferring Securities 38

Discount and Swapped Non-Discount Obligations 39

Collateral Enhancement Obligations and Exchanged Equity Securities

40

Participation Information 41

Restructured Obligations - Additions 42

Restructured Obligations - Removals 43

Rating Detail 44 - 48

Rating Change History 49

Rating Change History - Shadow/Private 50

Counterparty Ratings 51

Hedge Transactions Detail 52

Statistical Information Pages

Stratifications - Countries and Obligors 53

Stratifications - Industries 54

Risk Retention 55

Disclaimer 56

Information is available from the following sources

Target Par Amount: 400,000,000.00

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

Contact Information

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

Collateral Manager: Barings (U.K.) Limited

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

Monthly Report - 6/11/201811:55:22AM © 2011 U.S. Bancorp

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

31-May-1816-Jul-1816-Apr-18

Summary


Note Information

NoteOriginal Original Current Interest

Moody's Fitch

Coupon Balance Balance Payment CouponIndex Orig OrigCurr Curr

Expected

Class A-1R Notes 0.77300% 201,250,000.00 201,250,000.00 392,219.48 -0.32900% 0.77100% Aaa Aaa AAA AAA

Class A-2R Notes 1.30000% 30,000,000.00 30,000,000.00 97,500.00 N/A 1.30000% Aaa Aaa AAA AAA

Class B-1R Notes 1.40300% 20,500,000.00 20,500,000.00 72,599.04 -0.32900% 1.40100% Aa2 Aa2 AA AA

Class B-2R Notes 2.35000% 30,000,000.00 30,000,000.00 176,250.00 N/A 2.35000% Aa2 Aa2 AA AA

Class C Notes 3.16100% 22,500,000.00 22,500,000.00 132,006.88 -0.32900% 2.32100% A2 A2 A A

Class D Notes 3.91100% 19,000,000.00 19,000,000.00 147,493.31 -0.32900% 3.07100% Baa2 Baa2 BBB BBB

Class E Notes 5.11100% 31,000,000.00 31,000,000.00 334,680.31 -0.32900% 4.27100% Ba2 Ba2 BB BB

Class F Notes 6.11100% 14,500,000.00 14,500,000.00 193,196.79 -0.32900% 5.27100% B2 B2 B- B-

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

Totals: 1,545,945.81 412,500,000.00 412,500,000.00

Asset Positions

Current PriorPosition CountCurr

CountPrior

142 308,473,947.08 143 311,440,857.24 Secured Senior Loan

42 78,351,500.00 39 74,651,500.00 Secured Senior Note

9 19,100,000.00 10 19,600,000.00 Unsecured Senior Obligation

3 4,887,730.40 3 4,887,730.40 Second Lien Loan

- - - - Mezzanine Obligation

- - - - High Yield Bond

- - - - Warrants

- - - - Common Stock

410,580,087.64 195 410,813,177.48 196Totals:

Test Summary

Test Type Pass Fail N/A

Coverage 9 0 0

Quality 9 1 0

Portfolio Profile 31 0 0

Totals: 49 1 0

Account Balances and Eligible Investments

Current PriorAccount

552,638.94 717,753.73 EUR Principal Account

- - Unused Proceeds Account

717,753.73 552,638.94 Totals:

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


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31-May-1816-Jul-1816-Apr-18

Account Summary


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

EndingBalanceWithdrawlsDeposits

BeginningBalanceAccount

Babson Counterparty Downgrade Collateral Account

0.00 0.00 0.00 0.00

Babson EUR Interest Account 4,924,034.72 1,926,386.30 4,417,430.09 2,432,990.93

Babson EUR Payment Account 0.00 4,386,376.88 4,386,376.88 0.00

Babson EUR Principal Account 8,368,481.60 16,866,433.76 24,721,566.57 513,348.79

Babson Expense Reserve Account 34,992.07 0.00 15,000.00 19,992.07

Babson Hedge Termination Account 0.00 0.00 0.00 0.00

Babson Interest Smoothing Account 0.00 0.00 0.00 0.00

Babson Supplemental Reserve Account 0.00 0.00 0.00 0.00

Babson Unfunded Revolver Reserve Account 3,173,570.71 0.00 55,344.15 3,118,226.56

Babson Unused Proceeds Account 0.00 0.00 0.00 0.00

GBP Interest Account 0.00 0.00 0.00 0.00

GBP Principal Account 0.00 0.00 0.00 0.00

USD Interest Account 8,208.81 0.00 0.00 8,208.81

USD Principal Account 0.00 0.00 0.00 0.00


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Effective Date

Test Number Description Prior Current Trigger Max / Min Result


31-May-1816-Jul-1816-Apr-18

Portfolio Profile Tests Summary


1 (a) Secured Senior Obligations 94.36% 94.05% 94.17% PassMinimum90.00%

2 (b) Secured Senior Notes 20.52% 18.15% 19.05% PassMaximum50.00%

3 (c) Unsecured Senior Obligations, Second Lien Loans, Mezzanine Obligations and High Yield Bonds 5.64% 5.95% 5.83% PassMaximum10.00%

4 (d)(i)(A) Single Obligor Concentration of Secured Senior Obligations (Largest Obligor) 2.97% 2.57% 2.57% PassMaximum3.00%

5 (d)(i)(B) Single Obligor Concentration of Secured Senior Obligations (Fourth Largest Obligor) 1.98% 1.93% 1.93% PassMaximum2.50%

6 (d)(ii) Single Obligor Concentration of Collateral Obligations which are not Secured Senior Obligations 1.48% 1.46% 1.46% PassMaximum1.50%

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

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

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

10 (h) Revolving Obligations or Delayed Drawdown Collateral Obligations 1.40% 1.07% 1.07% PassMaximum5.00%

11 (i) Fitch CCC Obligations 2.84% 4.70% 4.70% PassMaximum7.50%

12 (j) Moody's Caa Obligations 4.15% 4.69% 6.15% PassMaximum7.50%

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

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

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

16 (n) Fixed Rate Collateral Obligations 10.25% 14.42% 14.36% PassMax/Min20.00% / 10.00%

17 (o)(i) Moody's Industry Concentration (Largest Industry) 14.17% 13.37% 13.07% PassMaximum15.00%

18 (o)(ii) Moody's Industry Concentration (Second Largest Industry) 10.07% 11.92% 11.53% PassMaximum12.00%

19 (o)(iii) Moody's Industry Concentration (Sixth Largest Industry) 5.41% 7.36% 7.28% PassMaximum10.00%

20 (p) Obligors who are Domiciled in countries or jurisdictions rated below "A-" by Fitch 5.27% 1.52% 2.38% PassMaximum10.00%

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

5.27% 0.33% 0.33% PassMaximum10.00%

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

- - - PassMaximum5.00%

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


24 (r)(i) Cov-Lite Loans 8.81% 4.99% 4.99% PassMaximum35.00%

25 (r)(ii) Cov-Lite Loans issued by Obligors in respect of which the total potential indebtedness is less than EUR 250,000,000


26 (s) Collateral Obligations whose Moody's Rating is derived from an S&P Rating 1.79% 0.19% 0.19% PassMaximum10.00%

27 (t) Collateral Obligations issued by Obligors in respect of which the total potential indebtedness is less than EUR 100,000,000


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


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



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Effective Date

Test Number Description Prior Current Trigger Max / Min Result


31-May-1816-Jul-1816-Apr-18

Portfolio Profile Tests Summary


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


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



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31-May-1816-Jul-1816-Apr-18

Coverage and Collateral Quality Tests Summary


Effective

Date

Test

Number Description Prior Current Trigger Max / Min

Coverage Tests

Result

145.99%143.63% 1 Class A/B Par Value Test 146.01% PassMinimum132.97%

135.19%133.01% 2 Class C Par Value Test 135.21% PassMinimum124.97%

127.25%125.19% 3 Class D Par Value Test 127.26% PassMinimum118.74%

116.11%114.23% 4 Class E Par Value Test 116.12% PassMinimum108.91%

111.54%109.74% 5 Reinvestment Par Value Test 111.56% PassMinimum104.97%

557.42%184.52% 6 Class A/B Interest Coverage Test 529.09% PassMinimum120.00%

473.19%165.02% 7 Class C Interest Coverage Test 448.86% PassMinimum110.00%

404.84%148.62% 8 Class D Interest Coverage Test 383.84% PassMinimum105.00%

304.91%122.63% 9 Class E Interest Coverage Test 288.87% PassMinimum101.00%

Effective

Date

Test


Collateral Quality Tests

Result

53.9543.79 1 Moody's Minimum Diversity Test 55.14 PassMinimum42.00

43.90%44.60% 2 Moody's Minimum Weighted Average Recovery Rate Test 43.80% PassMinimum39.75%

3,0472,808 3 Moody's Maximum Weighted Average Rating Factor Test 3,059 PassMaximum3,209

4.40%4.55% 4 Moody's Minimum Weighted Average Floating Spread Test 4.45% PassMinimum4.00%

7.67%10.30% 5 Moody's Minimum Weighted Average Coupon Test 8.05% PassMinimum5.50%

33.9434.23 6 Fitch Maximum Weighted Average Rating Factor Test 33.99 PassMaximum35.00

63.4%65.3% 7 Fitch Minimum Weighted Average Recovery Rate Test 63.1% FailMinimum63.3%

4.40%4.50% 8 Fitch Minimum Weighted Average Spread Test 4.45% PassMinimum4.20%

6.48%8.11% 9 Fitch Minimum Weighted Average Fixed Coupon Test 6.86% PassMinimum6.00%

4.995.96 10 Weighted Average Life Test 4.88 PassMaximum4.94

Effective

Date

Test


Additional Information

Result

4.39%4.50% 1 Weighted Average Floating Spread 4.45% N/AN/AN/A

5.33%5.96% 2 Weighted Average Coupon 5.34% N/AN/AN/A


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31-May-1816-Jul-1816-Apr-18

Par Value Tests Detail


Calculation ResultRatio Minimum

146.01% 132.97% PassA / (B+C)Class A/B Par Value Test135.21% 124.97% PassA / (B+C+D)Class C Par Value Test127.26% 118.74% PassA / (B+C+D+E)Class D Par Value Test116.12% 108.91% PassA / (B+C+D+E+F)Class E Par Value Test111.56% 104.97% PassA / (B+C+D+E+F+G)Reinvestment Par Value Test

Collateral:

Aggregate Principal Balance of Collateral Obligations 410,813,177.48

410,813,177.48

Minus:

Principal Balance of Defaulted Obligations 0.00

Principal Balance of Deferring Securities 0.00

Principal Balance of Discount Obligations 0.00

0.00

Plus:

Calculation Amount of Defaulted Obligations 0.00

Calculation Amount of Deferring Securities 0.00

Calculation Amount of Discount Obligations 0.00

0.00

Plus:

Balance standing to the credit of the Principal Account 552,638.94

Balance standing to the credit of the Unused Proceeds Account 0.00

Unpaid accrued interest purchased with Principal Proceeds 4,509.38

557,148.32

Minus:

Excess CCC/Caa Adjustment Amount 0.00

0.00

411,370,325.80 (A)Adjusted Collateral Principal Amount:

Notes:

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

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

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

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

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

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


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31-May-1816-Jul-1816-Apr-18

Interest Coverage Tests Detail


Calculation ResultMinimumRatio

529.09% 120.00% PassA / (B+C)Class A/B Interest Coverage Test448.86% 110.00% PassA / (B+C+D)Class C Interest Coverage Test383.84% 105.00% PassA / (B+C+D+E)Class D Interest Coverage Test288.87% 101.00% PassA / (B+C+D+E+F)Class E Interest Coverage Test

Received:

Balance standing to the credit of the Interest Account 2,439,424.96

2,439,424.96

Projected:

Scheduled Interest Payments 2,076,356.77

Scheduled Commitment Fees 0.00

Projected Reinvestment Income on Collateral Obligations 0.00

Projected Reinvestment Income on Cash Accounts 0.00

2,076,356.77

Minus:

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

(B) Accrued and unpaid Trustee Fees and Expenses 25,991.74

(C) Accrued and unpaid Administrative Expenses 0.00

(D) Payment into the Expense Reserve Account 0.00

(E)(1) Senior Management Fees 155,958.83

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

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

181,950.57

Minus:

Amounts payable into the Interest Smoothing Account 452,059.04

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

452,059.04

Plus:

Amounts payable from the Expense Reserve, Interest Smoothing, and Currency Account 25,931.96

Scheduled Periodic Hedge Counterparty Payments 0.00

25,931.96

3,907,704.08 (A)Interest Coverage Amount:

Notes:

Interest payment due on the Class A Notes 489,719.48 (B)

Interest payment due on the Class B Notes 248,849.04 (C)

Interest payment due on the Class C Notes 132,006.88 (D)

Interest payment due on the Class D Notes 147,493.31 (E)

Interest payment due on the Class E Notes 334,680.31 (F)

Accrued Incentive Collateral Management Fee: 0.00


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31-May-1816-Jul-1816-Apr-18

Coverage Tests History - Part I


Period Actual Spread Result

Class C Par Value Test

Minimum

10.24% Pass124.97%31-May-18 135.21%

10.22% Pass124.97%04-Apr-18 135.19%

10.22% Pass124.97%29-Mar-18 135.19%

10.25% Pass124.97%28-Feb-18 135.22%

10.10% Pass124.97%03-Jan-18 135.07%

10.10% Pass124.97%29-Dec-17 135.07%

10.00% Pass124.97%30-Nov-17 134.97%

9.91% Pass124.97%04-Oct-17 134.88%

9.91% Pass124.97%29-Sep-17 134.88%

9.83% Pass124.97%31-Aug-17 134.80%

80%

90%

100%

110%

120%

130%

140%

150%

160%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

MinimumActual


Class A/B Par Value Test

Minimum

13.04% Pass132.97%31-May-18 146.01%

13.02% Pass132.97%04-Apr-18 145.99%

13.02% Pass132.97%29-Mar-18 145.99%

13.05% Pass132.97%28-Feb-18 146.02%

12.89% Pass132.97%03-Jan-18 145.86%

12.89% Pass132.97%29-Dec-17 145.86%

12.77% Pass132.97%30-Nov-17 145.74%

12.69% Pass132.97%04-Oct-17 145.66%

12.68% Pass132.97%29-Sep-17 145.65%

12.59% Pass132.97%31-Aug-17 145.56%

80%

90%

100%

110%

120%

130%

140%

150%

160%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


Class D Par Value Test

Minimum

8.52% Pass118.74%31-May-18 127.26%

8.51% Pass118.74%04-Apr-18 127.25%

8.50% Pass118.74%29-Mar-18 127.24%

8.53% Pass118.74%28-Feb-18 127.27%

8.39% Pass118.74%03-Jan-18 127.13%

8.39% Pass118.74%29-Dec-17 127.13%

8.29% Pass118.74%30-Nov-17 127.03%

8.22% Pass118.74%04-Oct-17 126.96%

8.21% Pass118.74%29-Sep-17 126.95%

8.13% Pass118.74%31-Aug-17 126.87%

80%

90%

100%

110%

120%

130%

140%

150%

160%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


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31-May-1816-Jul-1816-Apr-18

Coverage Tests History - Part II



Class E Par Value Test

Minimum

7.21% Pass108.91%31-May-18 116.12%

7.20% Pass108.91%04-Apr-18 116.11%

7.20% Pass108.91%29-Mar-18 116.11%

7.22% Pass108.91%28-Feb-18 116.13%

7.09% Pass108.91%03-Jan-18 116.00%

7.09% Pass108.91%29-Dec-17 116.00%

7.01% Pass108.91%30-Nov-17 115.92%

6.94% Pass108.91%04-Oct-17 115.85%

6.93% Pass108.91%29-Sep-17 115.84%

6.86% Pass108.91%31-Aug-17 115.77%

80%

90%

100%

110%

120%

130%

140%

150%

160%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


Reinvestment Par Value Test

Minimum

6.59% Pass104.97%31-May-18 111.56%

6.57% Pass104.97%04-Apr-18 111.54%

6.57% Pass104.97%29-Mar-18 111.54%

6.60% Pass104.97%28-Feb-18 111.57%

6.47% Pass104.97%03-Jan-18 111.44%

6.47% Pass104.97%29-Dec-17 111.44%

6.39% Pass104.97%30-Nov-17 111.36%

6.32% Pass104.97%04-Oct-17 111.29%

6.32% Pass104.97%29-Sep-17 111.29%

6.25% Pass104.97%31-Aug-17 111.22%

80%

90%

100%

110%

120%

130%

140%

150%

160%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


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31-May-1816-Jul-1816-Apr-18

Coverage Tests History - Part III



Class C Interest Coverage Test

Minimum

338.86% Pass110.00%31-May-18 448.86%

363.19% Pass110.00%04-Apr-18 473.19%

374.85% Pass110.00%29-Mar-18 484.85%

369.59% Pass110.00%28-Feb-18 479.59%

380.87% Pass110.00%03-Jan-18 490.87%

388.80% Pass110.00%29-Dec-17 498.80%

357.01% Pass110.00%30-Nov-17 467.01%

411.39% Pass110.00%04-Oct-17 521.39%

412.18% Pass110.00%29-Sep-17 522.18%

404.31% Pass110.00%31-Aug-17 514.31%

0%

100%

200%

300%

400%

500%

600%

700%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


Class A/B Interest Coverage Test

Minimum

409.09% Pass120.00%31-May-18 529.09%

437.42% Pass120.00%04-Apr-18 557.42%

451.15% Pass120.00%29-Mar-18 571.15%

444.96% Pass120.00%28-Feb-18 564.96%

458.97% Pass120.00%03-Jan-18 578.97%

468.32% Pass120.00%29-Dec-17 588.32%

430.83% Pass120.00%30-Nov-17 550.83%

495.02% Pass120.00%04-Oct-17 615.02%

495.96% Pass120.00%29-Sep-17 615.96%

486.67% Pass120.00%31-Aug-17 606.67%

0%

100%

200%

300%

400%

500%

600%

700%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

MinimumActual


of 56


31-May-1816-Jul-1816-Apr-18

Coverage Tests History - Part IV



Class E Interest Coverage Test

Minimum

187.87% Pass101.00%31-May-18 288.87%

203.91% Pass101.00%04-Apr-18 304.91%

211.41% Pass101.00%29-Mar-18 312.41%

208.03% Pass101.00%28-Feb-18 309.03%

214.51% Pass101.00%03-Jan-18 315.51%

219.60% Pass101.00%29-Dec-17 320.60%

199.18% Pass101.00%30-Nov-17 300.18%

234.02% Pass101.00%04-Oct-17 335.02%

234.52% Pass101.00%29-Sep-17 335.52%

229.47% Pass101.00%31-Aug-17 330.47%

0%

100%

200%

300%

400%

500%

600%

700%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


Class D Interest Coverage Test

Minimum

278.84% Pass105.00%31-May-18 383.84%

299.84% Pass105.00%04-Apr-18 404.84%

309.81% Pass105.00%29-Mar-18 414.81%

305.32% Pass105.00%28-Feb-18 410.32%

314.54% Pass105.00%03-Jan-18 419.54%

321.32% Pass105.00%29-Dec-17 426.32%

294.15% Pass105.00%30-Nov-17 399.15%

340.57% Pass105.00%04-Oct-17 445.57%

341.25% Pass105.00%29-Sep-17 446.25%

334.52% Pass105.00%31-Aug-17 439.52%

0%

100%

200%

300%

400%

500%

600%

700%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

MinimumActual


of 56


31-May-1816-Jul-1816-Apr-18

Collateral Quality Tests History - Part I



Moody's Minimum Weighted Average Recovery Rate Test

Minimum

4.05% Pass39.75%31-May-18 43.80%

4.15% Pass39.75%04-Apr-18 43.90%

4.25% Pass39.75%29-Mar-18 44.00%

4.75% Pass39.75%28-Feb-18 44.50%

5.05% Pass39.75%03-Jan-18 44.80%

5.05% Pass39.75%29-Dec-17 44.80%

4.95% Pass39.75%30-Nov-17 44.70%

5.35% Pass39.75%04-Oct-17 45.10%

5.35% Pass39.75%29-Sep-17 45.10%

5.05% Pass39.75%31-Aug-17 44.80%

34.0%

36.0%

38.0%

40.0%

42.0%

44.0%

46.0%

48.0%

50.0%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


Moody's Maximum Weighted Average Rating Factor Test

Maximum

150 Pass3,20931-May-18 3,059

170 Pass3,21704-Apr-18 3,047

175 Pass3,22529-Mar-18 3,050

188 Pass3,26528-Feb-18 3,077

151 Pass3,28903-Jan-18 3,138

151 Pass3,28929-Dec-17 3,138

253 Pass3,28130-Nov-17 3,028

323 Pass3,31304-Oct-17 2,990

315 Pass3,31329-Sep-17 2,998

309 Pass3,28931-Aug-17 2,980

2,600

2,700

2,800

2,900

3,000

3,100

3,200

3,300

3,400

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Maximum


Moody's Minimum Diversity Test

Minimum

13.14 Pass42.0031-May-18 55.14

11.95 Pass42.0004-Apr-18 53.95

11.92 Pass42.0029-Mar-18 53.92

11.69 Pass42.0028-Feb-18 53.69

11.04 Pass42.0003-Jan-18 53.04

11.04 Pass42.0029-Dec-17 53.04

12.14 Pass42.0030-Nov-17 54.14

9.98 Pass42.0004-Oct-17 51.98

9.88 Pass42.0029-Sep-17 51.88

8.93 Pass42.0031-Aug-17 50.93

40

42

44

47

49

51

53

55

58

60

62

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


of 56


31-May-1816-Jul-1816-Apr-18

Collateral Quality Tests History - Part II



Weighted Average Life Test

Maximum

0.06 Pass4.9431-May-18 4.88

0.11 Pass5.1004-Apr-18 4.99

0.13 Pass5.1229-Mar-18 4.99

0.20 Pass5.2028-Feb-18 5.00

0.31 Pass5.3603-Jan-18 5.05

0.30 Pass5.3729-Dec-17 5.07

0.37 Pass5.4530-Nov-17 5.08

0.60 Pass5.6104-Oct-17 5.01

0.60 Pass5.6229-Sep-17 5.02

0.77 Pass5.7031-Aug-17 4.93

4.00

4.50

5.00

5.50

6.00

6.50

7.00

7.50

8.00

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Maximum


Moody's Minimum Weighted Average Coupon Test

Minimum

2.55% Pass5.50%31-May-18 8.05%

2.17% Pass5.50%04-Apr-18 7.67%

1.98% Pass5.50%29-Mar-18 7.48%

2.44% Pass5.50%28-Feb-18 7.94%

2.07% Pass5.50%03-Jan-18 7.57%

2.14% Pass5.50%29-Dec-17 7.64%

2.15% Pass5.50%30-Nov-17 7.65%

3.23% Pass5.50%04-Oct-17 8.73%

3.09% Pass5.50%29-Sep-17 8.59%

3.81% Pass5.50%31-Aug-17 9.31%

0.00%

2.50%

5.00%

7.50%

10.00%

12.50%

15.00%

17.50%

20.00%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


Moody's Minimum Weighted Average Floating Spread Test

Minimum

0.45% Pass4.00%31-May-18 4.45%

0.40% Pass4.00%04-Apr-18 4.40%

0.37% Pass4.00%29-Mar-18 4.37%

0.42% Pass4.00%28-Feb-18 4.42%

0.40% Pass4.00%03-Jan-18 4.40%

0.42% Pass4.00%29-Dec-17 4.42%

0.44% Pass4.00%30-Nov-17 4.44%

0.52% Pass4.00%04-Oct-17 4.52%

0.50% Pass4.00%29-Sep-17 4.50%

0.57% Pass4.00%31-Aug-17 4.57%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

5.50%

6.00%

6.50%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


of 56


31-May-1816-Jul-1816-Apr-18

Collateral Quality Tests History - Part III



Fitch Maximum Weighted Average Rating Factor Test

Maximum

1.01 Pass35.0031-May-18 33.99

1.06 Pass35.0004-Apr-18 33.94

1.10 Pass35.0029-Mar-18 33.90

0.46 Pass35.0028-Feb-18 34.54

0.35 Pass35.0003-Jan-18 34.65

0.35 Pass35.0029-Dec-17 34.65

0.63 Pass35.0030-Nov-17 34.37

0.77 Pass35.0004-Oct-17 34.23

0.75 Pass35.0029-Sep-17 34.25

0.62 Pass35.0031-Aug-17 34.38

26

28

30

31

33

35

37

38

40

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

MaximumActual


Fitch Minimum Weighted Average Recovery Rate Test

Minimum

(0.2)% Fail63.3%31-May-18 63.1%

0.1% Pass63.3%04-Apr-18 63.4%

0.2% Pass63.3%29-Mar-18 63.5%

(0.3)% Fail63.3%28-Feb-18 63.0%

0.1% Pass63.3%03-Jan-18 63.4%

0.1% Pass63.3%29-Dec-17 63.4%

(0.6)% Fail63.3%30-Nov-17 62.7%

0.9% Pass62.8%04-Oct-17 63.7%

0.8% Pass62.8%29-Sep-17 63.6%

1.2% Pass62.8%31-Aug-17 64.0%

60%

62%

64%

66%

68%

70%

72%

74%

76%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

Actual Minimum


of 56


31-May-1816-Jul-1816-Apr-18

Collateral Quality Tests History - Part IV



Fitch Minimum Weighted Average Fixed Coupon Test

Minimum

0.86% Pass6.00%31-May-18 6.86%

0.48% Pass6.00%04-Apr-18 6.48%

0.31% Pass6.00%29-Mar-18 6.31%

0.71% Pass6.00%28-Feb-18 6.71%

0.47% Pass6.00%03-Jan-18 6.47%

0.54% Pass6.00%29-Dec-17 6.54%

0.60% Pass6.00%30-Nov-17 6.60%

1.17% Pass6.00%04-Oct-17 7.17%

1.04% Pass6.00%29-Sep-17 7.04%

1.65% Pass6.00%31-Aug-17 7.65%

0.00%

2.50%

5.00%

7.50%

10.00%

12.50%

15.00%

17.50%

20.00%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

MinimumActual


Fitch Minimum Weighted Average Spread Test

Minimum

0.25% Pass4.20%31-May-18 4.45%

0.20% Pass4.20%04-Apr-18 4.40%

0.17% Pass4.20%29-Mar-18 4.37%

0.22% Pass4.20%28-Feb-18 4.42%

0.20% Pass4.20%03-Jan-18 4.40%

0.22% Pass4.20%29-Dec-17 4.42%

0.24% Pass4.20%30-Nov-17 4.44%

0.26% Pass4.25%04-Oct-17 4.51%

0.24% Pass4.25%29-Sep-17 4.49%

0.29% Pass4.25%31-Aug-17 4.54%

3.60%

3.82%

4.04%

4.25%

4.47%

4.69%

4.91%

5.13%

5.35%

5.56%

5.78%

6.00%

31-Aug-17

29-Sep-17

04-Oct-17

30-Nov-17

29-Dec-17

03-Jan-18

28-Feb-18

29-Mar-18

04-Apr-18

31-May-18

MinimumActual


of 56


31-May-1816-Jul-1816-Apr-18

Assets Purchased


Security I.D. Security NameTransactionMotivation

Trade Date

Par Amount(EUR) Price

PrincipalProceeds

TotalAmount

AffiliatedSeller

AS1215506 CGGFP 7 7/8 05/01/23 13-Apr-18 150,000.00 100.00 150,000.00 150,000.00

AS1592433 EAGRUY 5 3/8 05/01/23 CORP 20-Apr-18 100,000.00 100.00 100,000.00 100,000.00

BL0509895 Compass IV T/L B1 (Wyndham) (EUR) 30-Apr-18 3,100,000.00 99.00 3,069,000.00 3,069,000.00

BL0489585 Gates Global B2 T/L 01-May-18 3,000,000.00 100.13 3,003,750.00 3,003,750.00

AS4429807 NEXICP Float 05/01/23 Corp 04-May-18 3,550,000.00 100.00 3,550,000.00 3,550,000.00

BL0489585 Gates Global B2 T/L 08-May-18 1,600,000.00 100.25 1,604,000.00 1,604,000.00

BL0514606 Imagina T/L B 31-May-18 2,000,000.00 97.00 1,940,000.00 1,940,000.00

Totals: 13,500,000.00 13,416,750.00 13,416,750.00 7


of 56


31-May-1816-Jul-1816-Apr-18

Assets Sold


Security I.D. Security NameTransactionMotivation

Trade Date

Par Amount(EUR) Price

PrincipalProceeds

TotalAmount % of ACPA

AffiliatedPurchaser

95,000.00 95,000.00 95.00 100,000.00 01-May-18Credit Risk SecurityAAFFP Float 10/01/23 CorpAP4112110

497,500.00 497,500.00 99.50 500,000.00 31-May-18Credit Improved SecurityCSTM 4 1/4 02/15/26 CORPAP8048815

1,492,500.00 1,492,500.00 99.50 1,500,000.00 31-May-18Credit Risk LoanAction Holding Term BBL0500688

Total: 3 2,100,000.00 2,085,000.00 2,085,000.00 - %


of 56


31-May-1816-Jul-1816-Apr-18

Principal Repayments


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

Coty Term Loan B1Loan - Principal Repayment05-Apr-18 BL0447161 784,000.00 784,000.00

Coty T/L B2Loan - Principal Repayment05-Apr-18 BL0446965 1,670,250.00 1,670,250.00

Nielsen Finance T/L B2 (VNU) EURLoan - Principal Repayment09-Apr-18 BL0370520 5,357.14 5,357.14

Sunrise - Cidron Ollopa Holding BVLoan - Principal Repayment16-Apr-18 BL0405342 1,312,420.15 1,312,420.15

Sunrise Medical holdings GMBHLoan - Principal Repayment16-Apr-18 BL0405342 237,221.91 237,221.91

Sunrise Medical GMBH & Co. KGLoan - Principal Repayment16-Apr-18 BL0405342 116,013.22 116,013.22

Sunrise Medical (Netherlands) BVLoan - Principal Repayment16-Apr-18 BL0405342 41,430.38 41,430.38

Sunrise Medical T/L B2Loan - Principal Repayment16-Apr-18 BL0406035 242,539.68 242,539.68

Altran T/L (EUR)Loan - Principal Repayment18-Apr-18 BL0496259 611,702.13 611,702.13

Ferro Corporation T/LLoan - Principal Repayment25-Apr-18 BL0455636 1,584,000.00 1,584,000.00

Micro Focus T/L B3Loan - Principal Repayment30-Apr-18 BL0465502 2,500.00 2,500.00

TMF T/L BLoan - Principal Repayment04-May-18 BL0464919 1,650,000.00 1,650,000.00

Tele Columbus T/L ALoan - Principal Repayment04-May-18 BL0409583 1,717,061.18 1,717,061.18

Swissport T/L B (New)Loan - Principal Repayment14-May-18 BL0476707 403,262.61 403,262.61

Amedes TL BLoan - Principal Repayment21-May-18 BL0407819 4,470.15 4,470.15

Springer Science T/L B12 - VerlagLoan - Principal Repayment23-May-18 BL0478133 19,489.61 19,489.61

Springer Science T/L B12 Media DLoan - Principal Repayment23-May-18 BL0478133 26,490.88 26,490.88

Springer Science T/L B12 - VerlagLoan - Principal Repayment23-May-18 BL0478133 15,644.14 15,644.14

Springer Science T/L B12 Media FLoan - Principal Repayment23-May-18 BL0478133 10,572.98 10,572.98

Hes Beheer T/L BLoan - Principal Repayment29-May-18 BL0379679 72,650.20 72,650.20

I-Logic Technologies (Dealogic) EUR T/LLoan - Principal Repayment31-May-18 BL0494403 21,600.00 21,600.00

Misys Term B Eur LoanLoan - Principal Repayment31-May-18 BL0467474 9,768.84 9,768.84

Totals: - 10,558,445.20 10,558,445.20

Received a redemption notice. Cash yet to be received.

In addition to the above, €4,710,625.25 Amaya 3/18 (EUR) Cov-Lite, €839,849.56 Cooper Pharma T/L B1 New and €360,150.44 Coopers term loan B2 New have been treated as repaid.


of 56

Market Value

Fitch Recovery

Rate

Moody's Recovery

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


31-May-1816-Jul-1816-Apr-18

Current Asset Characteristics - Part I


100.25 80.00 45.00 3.75% 3.75% 1,800,000.00 31-Jan-25 - Secured Senior LoanA&O Hotels T/L B (12/17) (Alpha Group)BL0494205 LX170100

90.77 60.00 35.00 4.00% - 2,200,000.00 01-Oct-23 N/A Secured Senior NoteAAFFP 4 10/01/23 CorpAP4112011 XS1577949149

90.75 60.00 35.00 4.13% 4.13% 150,000.00 01-Oct-23 0.00% Secured Senior NoteAAFFP Float 10/01/23 CorpAP4112110 XS1577948687

99.47 40.00 45.00 3.50% 3.50% 2,100,000.00 08-Mar-25 - Secured Senior LoanAction Holding Term BBL0500688 LX171259

100.18 57.00 50.00 3.50% 3.50% 600,000.00 03-Oct-24 - Secured Senior LoanADB Safegate T/L BBL0482788 LX168861

97.14 43.00 50.00 5.00% 4.00% 1,647,058.82 29-Sep-20 1.00% Secured Senior LoanAenova - TemmlerBL0388134 LX142052

97.14 43.00 50.00 5.00% 4.00% 2,352,941.18 29-Sep-20 1.00% Secured Senior LoanAenova Term LoanBL0380917 LX139191

102.50 60.00 35.00 6.50% - 1,600,000.00 15-Feb-23 N/A Secured Senior NoteALGSCO 6 1/2 02/15/23AQ9276686 XS1767052050

100.77 60.00 35.00 5.92% 6.25% 1,200,000.00 15-Feb-23 - Secured Senior NoteALGSCO Float 02/15/23AQ9276082 XS1767053884

100.13 - 15.00 8.25% 7.25% 3,300,000.00 30-Jun-22 1.00% Second Lien LoanALL 3 Media Second LienBL0375586 LX137656

99.95 66.00 45.00 3.25% 3.25% 6,206,487.45 13-Sep-23 - Secured Senior LoanAllnex T/L B1 (EUR) NewBL0460396 LX152755

99.84 57.00 50.00 3.50% 3.50% 1,300,000.00 26-Feb-25 - Secured Senior LoanAlloheim T/L BBL0498156 LX171119

99.59 37.00 45.00 5.50% 4.50% 5,197,562.10 30-Aug-21 1.00% Secured Senior LoanAlstom (Arvos) T/L B2BL0466179 LX137858

103.13 73.00 35.00 5.25% - 1,350,000.00 15-Feb-23 N/A Secured Senior NoteALTICE 5 1/4 02/15/23EK7170955 XS1181246775

100.28 40.00 45.00 3.25% 3.25% 1,688,297.87 21-Mar-25 - Secured Senior LoanAltran T/L (EUR)BL0496259 LX170900

99.42 61.00 45.00 4.75% 4.75% 1,792,895.75 19-Aug-22 - Secured Senior LoanAmedes TL BBL0407819 LX146944

100.39 60.00 45.00 3.75% 3.75% 2,150,000.00 20-Mar-24 - Secured Senior LoanApcoa Term Loan BBL0459729 LX160841

99.25 56.00 50.00 4.00% 4.00% 1,200,000.00 12-Aug-24 - Secured Senior LoanArchroma New T/L B1BL0473399 LX166298

98.00 80.00 35.00 3.75% 3.75% 1,900,000.00 01-Mar-26 0.00% Secured Senior NoteARWLN Float 03/01/26AR5972492 XS1713473350

98.35 52.00 45.00 5.00% 5.00% 3,500,000.00 14-Apr-22 - Secured Senior LoanAS Adventure EUR TLBL0397051 LX143652

100.53 41.00 35.00 4.38% 4.38% 3,000,000.00 01-May-22 0.00% Secured Senior NoteAUTODI Float 05/01/22AL0700735 XS1517169972

100.50 95.00 50.00 4.25% 4.25% 2,593,500.00 21-Nov-24 - Secured Senior LoanAvantor Performance Materials EUR T/LBL0482481 LX168604

99.75 71.00 45.00 3.50% 3.50% 900,000.00 25-Jul-24 - Secured Senior LoanAverys T/L B (04/18)BL0507519 LX172916

99.93 49.00 50.00 3.50% 3.50% 1,711,153.74 17-Dec-22 - Secured Senior LoanAzelis Finance NEW T/L (EUR)BL0487472 LX169500

99.86 81.00 45.00 3.25% 3.25% 2,440,677.96 14-Mar-23 - Secured Senior LoanB&B Hotels First Lien TL BBL0487936 LX169489

104.66 45.00 35.00 7.75% - 202,500.00 15-Sep-22 N/A Secured Senior NoteBALTAL 7 3/4 09/15/22UV3539714 XS1265917481

92.21 59.00 50.00 3.50% 3.50% 1,429,698.58 12-Aug-22 - Secured Senior LoanBeauty Holding New T/L B1 (formerly B15)BL0475881 LX159199

92.21 59.00 50.00 3.50% 3.50% 497,955.38 12-Aug-22 - Secured Senior LoanBeauty Holding New T/L B2 (formerly B16)BL0475899 LX160534







of 56

Market Value

Fitch Recovery

Rate

Moody's Recovery



31-May-1816-Jul-1816-Apr-18




100.38 74.00 45.00 2.75% 2.75% 600,000.00 07-Nov-24 - Secured Senior LoanBelron T/L BBL0485260 LX169050

100.50 77.00 45.00 3.50% 3.50% 1,200,000.00 09-Jun-24 - Secured Senior LoanBepime - Ameos Term LoanBL0469165 LX164184

92.73 56.00 30.00 4.38% - 6,000,000.00 15-Jul-21 N/A Unsecured Senior ObligationBOPRLN 4 3/8 07/15/21 CORPEK3486827 XS1082473395

100.10 55.00 45.00 3.50% 3.50% 600,000.00 10-Jul-24 - Secured Senior LoanBreitling T/LBL0474751 LX166427

99.65 51.00 45.00 5.25% - 5,850,000.00 15-Jun-21 N/A Secured Senior NoteCABBCO 5 1/4 06/15/21EK2997865 XS1074935229

90.90 - 25.00 6.88% - 550,000.00 15-Jun-22 N/A Unsecured Senior ObligationCABBCO 6 7/8 06/15/22EK2998228 XS1074935492

100.11 52.00 45.00 4.00% 4.00% 722,864.61 31-Dec-23 - Secured Senior LoanCampbell Soup T/L B1BL0501645 LX157881




98.08 61.00 35.00 4.75% 4.75% 4,350,000.00 15-Jun-23 0.00% Secured Senior NoteCARLTV Float 06/15/23AL5725323 XS1535991498

100.50 100.00 50.00 2.75% 1.75% 2,331,917.52 20-May-24 1.00% Secured Senior LoanCatalent Pharma T/L B EURBL0373078 LX137091

85.73 61.00 35.00 5.13% - 450,000.00 01-Oct-22 N/A Secured Senior NoteCBRFHG 5 1/8 10/01/22 CorpAP7256179 XS1709347923

99.83 60.00 50.00 3.75% 3.75% 900,000.00 10-Jan-25 - Secured Senior LoanCCP Lux Holding T/LBL0499444 LX171092

98.94 70.00 45.00 3.75% 3.75% 1,600,000.00 31-Dec-24 - Secured Senior LoanCDS Holdco M7 Facility FBL0494411 LX170211

104.50 80.00 45.00 7.88% - 150,000.00 01-May-23 N/A Secured Senior NoteCGGFP 7 7/8 05/01/23AS1215506 XS1713465760

100.54 95.00 60.00 2.50% 2.00% 1,339,307.63 03-Apr-25 0.50% Secured Senior LoanChemours Company T/L B1BL0462673 LX172376

100.36 95.00 45.00 2.75% 2.00% 923,384.33 07-Nov-23 0.75% Secured Senior LoanCoherent Holding T/L BBL0435521 LX153899

100.13 52.00 45.00 3.25% 3.25% 600,000.00 20-Jun-24 - Secured Senior LoanColisee Term LoanBL0472268 LX165174

99.54 80.00 50.00 4.50% 4.50% 3,100,000.00 30-Apr-25 - Secured Senior LoanCompass IV T/L B1 (Wyndham) (EUR)BL0509895 LX173200

94.06 45.00 45.00 4.25% 4.25% 487,754.43 19-Nov-20 - Secured Senior LoanCool International Holding B1BL0382822 LX140097

99.84 80.00 50.00 2.50% 2.50% 2,000,000.00 04-Apr-25 - Secured Senior LoanCoty T/L B (EUR)BL0504805 LX172439

99.35 68.00 60.00 3.25% 3.25% 500,000.00 01-Nov-24 - Secured Senior LoanCPA Global T/L B1BL0482861 LX168740

100.13 95.00 60.00 2.38% 2.38% 1,000,000.00 03-Apr-25 - Secured Senior LoanCrown Holding T/LBL0496069 LX170856

100.75 40.00 30.00 4.63% - 1,000,000.00 15-May-21 N/A Unsecured Senior ObligationCSTM 4 5/8 05/15/21EK2376680 XS1064882316

99.74 60.00 50.00 3.00% 3.00% 900,000.00 07-Mar-25 - Secured Senior LoanCTC AcquiCo (CeramTec) T/L B1BL0490229 LX169716

100.13 71.00 45.00 2.25% 2.25% 1,535,000.00 02-Nov-21 - Secured Senior LoanDe Master Blenders T/L A3 (Jacobs Douwe Egberts)

BL0446643 LX155879

100.13 71.00 45.00 2.25% 2.25% 1,500,000.00 02-Nov-21 - Secured Senior LoanDe Master Blenders T/L A4BL0447138 LX157694

100.57 71.00 45.00 2.75% 2.00% 2,449,713.21 01-Jul-22 0.75% Secured Senior LoanDE Master Blenders T/L B NewBL0467060 LX163472

35.75 - 15.00 7.75% 6.75% 1,000,000.00 13-Jun-22 1.00% Second Lien LoanDeoleo 2nd LienBL0375016 LX137334

69.58 31.00 45.00 4.50% 3.50% 4,000,000.00 11-Jun-21 1.00% Secured Senior LoanDeoleo Term LoanBL0375008 LX137333

99.71 63.00 50.00 3.75% 3.75% 1,296,245.11 24-Jul-24 - Secured Senior LoanDexko 1/18 New T/L B1BL0495988 LX170821


of 56

Market Value

Fitch Recovery

Rate

Moody's Recovery



31-May-1816-Jul-1816-Apr-18



99.71 100.00 50.00 3.75% 3.75% 518,498.04 24-Jul-24 - Secured Senior LoanDexko 1/18 New T/L B2BL0496358 LX171014

100.00 63.00 50.00 3.75% 3.75% 124,241.91 24-Jul-24 - Secured Senior LoanDexko T/L Additional B-1BL0496440 LX171015

100.00 100.00 50.00 3.75% 3.75% 49,696.77 24-Jul-24 - Secured Senior LoanDexko T/L Additional B-2BL0496457 LX171016

99.64 78.00 45.00 3.00% 3.00% 1,920,847.53 06-Nov-23 - Secured Senior LoanDiebold Nixdorf T/LBL0467557 LX162900

99.84 67.00 40.00 3.25% 3.25% 2,500,000.00 31-Oct-24 - Secured Senior LoanDomusVI (HomeVI) Term Loan BBL0483760 LX168858

100.50 40.00 35.00 5.38% - 100,000.00 01-May-23 N/A Secured Senior NoteEAGRUY 5 3/8 05/01/23 CORPAS1592433 XS1713464953

101.50 47.00 35.00 5.88% 5.88% 2,596,000.00 15-Nov-21 0.00% Secured Senior NoteECPG Float 11/15/21QJ5428983 XS1117279619

102.02 60.00 35.00 4.50% - 1,650,000.00 31-May-22 N/A Secured Senior NoteEIRCMF 4 1/2 05/31/22LW3429476 XS1432395785

99.99 60.00 45.00 3.25% 3.25% 1,950,000.00 19-Apr-24 - Secured Senior LoanEircom Holdings (NEW)BL0459745 LX161434

100.19 76.00 50.00 3.25% 3.25% 900,000.00 28-Jun-24 - Secured Senior LoanElement Materials Technology Term LoanBL0469132 LX164898

100.10 56.00 50.00 7.00% 6.00% 7,346,572.16 13-Aug-21 1.00% Secured Senior LoanEndemol Euro T/L (1st Lien)BL0380925 LX139557

100.00 61.00 50.00 5.00% 4.00% 7,933,032.04 14-May-21 1.00% Secured Senior LoanERM T/L B2BL0373383 LX137157

100.18 68.00 45.00 3.50% 3.50% 1,749,999.99 21-Jul-23 - Secured Senior LoanEthypharm New T/LBL0458838 LX160780

99.46 48.00 45.00 4.00% 4.00% 1,592,660.55 07-Feb-25 - Secured Senior LoanEuro Garages T/L B1BL0497141 LX171054

99.50 48.00 45.00 - 4.00% 807,339.45 07-Feb-25 - Secured Senior LoanEuro Garages T/L B3BL0498636 LX171115

100.16 60.00 45.00 3.75% 3.75% 1,300,000.00 12-Dec-24 - Secured Senior LoanExact Term Loan BBL0491391 LX169938

100.13 86.00 50.00 3.50% 3.50% 498,750.00 02-Dec-24 - Secured Senior LoanExcelitas New T/LBL0487944 LX169511

99.83 70.00 45.00 6.50% 5.50% 7,541,620.77 29-Jun-22 1.00% Secured Senior LoanExopack (Coveris) EUR Term LoanBL0436677 LX166356

96.31 50.00 45.00 3.75% 3.00% 4,884,292.17 07-Sep-21 0.75% Secured Senior LoanFlint Group TL 1LBL0372997 LX136879

82.50 - 15.00 8.25% 7.25% 587,730.40 06-Sep-22 1.00% Second Lien LoanFlint Group TL 2LBL0373086 LX136884

96.31 50.00 45.00 3.75% 3.00% 66,047.83 07-Sep-21 0.75% Secured Senior LoanFlint Incremental T/L B6BL0461659 LX161209

96.31 50.00 45.00 3.75% 3.00% 159,606.57 07-Sep-21 0.75% Secured Senior LoanFlint Incremental Term Loan B7BL0461667 LX161418

96.31 50.00 45.00 3.75% 3.00% 74,474.36 07-Sep-21 0.75% Secured Senior LoanFlint T/L B-3BL0401051 LX144751

96.31 50.00 45.00 3.75% 3.00% 4,079,798.01 07-Sep-21 0.75% Secured Senior LoanFlint Term Loan B4BL0417594 LX149864

96.31 50.00 45.00 3.75% 3.00% 1,306,250.98 07-Sep-21 0.75% Secured Senior LoanFlint Term Loan B5BL0455925 LX159976

92.97 50.00 45.00 5.38% - 1,528,000.00 15-Jun-21 N/A Secured Senior NoteGALAPG 5 3/8 06/15/21EK2868413 XS1071419524

93.35 50.00 45.00 4.42% 4.75% 3,472,000.00 15-Jun-21 - Secured Senior NoteGALAPG Float 06/15/21EK2868538 XS1071411547

99.84 95.00 50.00 3.00% 3.00% 4,600,000.00 31-Mar-24 - Secured Senior LoanGates Global B2 T/LBL0489585 LX169690

99.50 55.00 35.00 4.75% 4.75% 550,000.00 15-Nov-21 0.00% Secured Senior NoteGCLIM Float 11/15/21AL0882525 XS1516322465

101.34 60.00 35.00 7.50% - 1,000,000.00 01-Aug-22 N/A Secured Senior NoteGFKLDE 7 1/2 08/01/22AF2808703 XS1263891910

93.52 60.00 35.00 4.50% 4.50% 7,100,000.00 01-Sep-23 0.00% Secured Senior NoteGFKLDE Float 09/01/23AQ7881479 XS1756364805

98.16 58.00 45.00 4.00% 3.00% 2,200,000.00 27-Aug-21 1.00% Secured Senior LoanGHD Term LoanBL0379745 LX139056

100.22 70.00 45.00 3.50% 3.50% 500,000.00 12-Dec-22 - Secured Senior LoanGlobal Blue T/L B (New)BL0484024 LX168990


of 56

Market Value

Fitch Recovery

Rate

Moody's Recovery



31-May-1816-Jul-1816-Apr-18



99.66 60.00 45.00 2.75% 2.75% 2,900,000.00 29-Mar-24 - Secured Senior LoanGVC Holdings 3/18 (Eur) TLBBL0503138 LX172214

100.04 87.00 40.00 4.00% 4.00% 5,218,465.80 27-Sep-21 - Secured Senior LoanHes Beheer T/L BBL0379679 LX139672

99.22 77.00 45.00 4.50% 4.50% 2,300,000.00 20-Nov-24 - Secured Senior LoanHilding Anders AB 11/17 (Eur) TLBBL0488033 LX169486

99.56 65.00 45.00 3.25% 3.25% 600,000.00 12-Sep-23 - Secured Senior LoanHotelbeds T/L B ZurichBL0469777 LX164357

99.64 65.00 45.00 3.25% 3.25% 3,106,204.08 12-Sep-23 - Secured Senior LoanHotelbeds TL BBL0430316 LX152965

98.45 61.00 45.00 3.50% 3.50% 3,000,000.00 19-Sep-24 - Secured Senior LoanHRA Term LoanBL0476806 LX167460

100.28 72.00 45.00 3.50% 3.50% 1,348,231.23 31-Mar-22 - Secured Senior LoanHSE 24 T/L CBL0444291 LX155957

98.62 80.00 25.00 5.50% - 1,550,000.00 30-Mar-23 N/A Unsecured Senior ObligationHTZ 5 1/2 03/30/23AR6029524 XS1790929217

100.38 74.00 45.00 5.00% 4.00% 876,150.00 20-Dec-24 1.00% Secured Senior LoanI-Logic Technologies (Dealogic) EUR T/LBL0494403 LX170142

99.71 49.00 45.00 3.50% 3.50% 2,900,000.00 30-Jul-24 - Secured Senior LoanIFS T/L NewBL0474819 LX167063

97.00 60.00 50.00 4.50% 4.50% 2,000,000.00 30-Jun-25 - Secured Senior LoanImagina T/L BBL0514606 LX172316

99.38 80.00 45.00 4.50% 4.50% 2,793,000.00 18-Dec-22 - Secured Senior LoanIndivior T/L B EURBL0493116 LX170169

100.38 70.00 45.00 2.50% 2.00% 4,209,019.03 29-Mar-24 0.50% Secured Senior LoanIneos Styrolution TL B New 11/17BL0487464 LX169498

99.68 70.00 50.00 2.50% 2.00% 1,995,000.00 01-Apr-24 0.50% Secured Senior LoanIneos T/L B 2024BL0485732 LX169196

100.04 95.00 60.00 3.25% 2.25% 2,779,035.00 01-Feb-22 1.00% Secured Senior LoanInfor (Lawson) T/L B2BL0489593 LX169633

100.21 65.00 50.00 3.50% 3.50% 3,637,131.99 05-Aug-22 - Secured Senior LoanInformatica New TLBL0496077 LX170850

99.69 60.00 45.00 3.75% 2.75% 2,294,250.00 21-Nov-24 1.00% Secured Senior LoanIon Trading Euro T/L BBL0487969 LX169484

99.07 56.00 45.00 5.25% 4.25% 500,000.00 31-Oct-23 1.00% Secured Senior LoanKeter Group TL BBL0441503 LX155222

99.07 56.00 45.00 5.25% 4.25% 3,600,000.00 31-Oct-23 1.00% Secured Senior LoanKeter T/L B3 NewBL0501900 LX160294

100.40 93.00 50.00 4.00% 3.00% 1,191,000.00 02-Feb-24 1.00% Secured Senior LoanKinetic Concepts (Acelity) T/L BBL0454340 LX159775

100.18 53.00 45.00 4.25% 4.25% 3,200,000.00 23-May-23 - Secured Senior LoanLabeyrie Fine FoodsBL0465569 LX162594

102.88 60.00 35.00 6.25% - 350,000.00 01-Jul-22 N/A Secured Senior NoteLABFP 6 1/4 07/01/22 CorpEK9755621 XS1117292984

99.69 56.00 50.00 3.25% 3.25% 1,000,000.00 08-Mar-23 - Secured Senior LoanLGC Science EUR T/L B4BL0453987 LX159294

103.08 40.00 30.00 3.50% - 450,000.00 15-Apr-22 N/A Secured Senior NoteLOXAM 3 1/2 04/15/22AN0218338 XS1591779399

105.10 40.00 30.00 4.25% - 350,000.00 15-Apr-24 N/A Secured Senior NoteLOXAM 4 1/4 04/15/24AN0756907 XS1590066624

100.23 99.00 45.00 3.50% 2.75% 3,463,845.46 07-Jun-23 0.75% Secured Senior LoanMacDermid T/L C5BL0466245 LX162203

100.31 99.00 45.00 3.25% 2.50% 1,619,599.32 07-Jun-20 0.75% Secured Senior LoanMacdermid T/L C6BL0482572 LX168776

92.05 62.00 35.00 6.13% - 2,013,000.00 15-Jul-22 N/A Secured Senior NoteMAXDIY 6 1/8 07/15/22AO2985171 XS1648303813

99.11 55.00 35.00 4.13% 4.13% 700,000.00 15-Feb-23 0.00% Secured Senior NoteMCLIM Float 02/15/23AM3527430 XS1562036704

99.06 41.00 45.00 4.50% 4.50% 1,592,080.87 28-Feb-22 - Secured Senior LoanMediq T/L B1BL0447914 LX156994

99.60 95.00 45.00 3.00% 3.00% 997,500.00 21-Jun-24 - Secured Senior LoanMicro Focus T/L B3BL0465502 LX162912

99.42 95.00 50.00 4.25% 3.25% 3,878,231.16 13-Jun-24 1.00% Secured Senior LoanMisys Term B Eur LoanBL0467474 LX163229

99.90 70.00 45.00 3.00% 3.00% 800,000.00 14-Dec-23 - Secured Senior LoanMRH EUR T/L B4BL0472177 LX165654


of 56

Market Value

Fitch Recovery

Rate

Moody's Recovery



31-May-1816-Jul-1816-Apr-18



100.25 77.00 50.00 4.75% 4.75% 600,000.00 06-Jan-24 - Secured Senior LoanMSX International New EUR TLBL0496606 LX171163

99.12 58.00 35.00 4.25% 4.25% 1,900,000.00 15-Nov-24 0.00% Secured Senior NoteNavira Float 11/15/24 CorpAP9769369 XS1717590563

99.71 80.00 50.00 3.25% 3.25% 2,822,221.08 06-Feb-25 - Secured Senior LoanNets TL B1EBL0489726 LX169648

98.02 57.00 35.00 3.63% 3.63% 3,550,000.00 01-May-23 - Secured Senior NoteNEXICP Float 05/01/23 CorpAS4429807 XS1819645455

103.83 80.00 45.00 3.75% - 450,000.00 01-Oct-23 N/A Secured Senior NoteNH Hotels 10/1/2023QZ6609874 XS1497527736

100.08 95.00 60.00 2.10% 2.50% 2,110,714.14 15-Apr-21 - Secured Senior LoanNielsen Finance T/L B2 (VNU) EURBL0370520 LX136616

100.23 55.00 45.00 3.75% 3.75% 1,000,000.00 11-Apr-23 - Secured Senior LoanOGF T/L B (03/17)BL0462343 LX161834

100.05 64.00 45.00 2.50% 2.50% 2,829,371.14 25-Jul-24 - Secured Senior LoanOrion Engineered New T/L 10/17BL0467078 LX169230

99.15 74.00 45.00 3.25% 3.25% 1,899,999.99 03-Jan-25 - Secured Senior LoanPaysafe TL B2 (PI UK HoldCo II)BL0487845 LX169668

100.31 67.00 45.00 4.00% 3.25% 2,500,000.00 01-Aug-24 0.75% Secured Senior LoanPfleiderer T/L B (PCF GmbH)BL0462954 LX161954

99.43 55.00 45.00 3.50% 3.50% 1,200,000.00 13-Jun-24 - Secured Senior LoanPortAventura T/L BBL0471468 LX164876

100.13 95.00 50.00 2.75% 2.00% 2,123,125.00 07-Mar-24 0.75% Secured Senior LoanQuintiles IMS T/L B-1 (EUR)BL0459026 LX160895

100.02 80.00 45.00 2.63% 2.63% 1,800,000.00 31-Jan-25 - Secured Senior LoanR&R Ice Cream Froneri 1/18 (EUR) Cov-LiteBL0498529 LX170852

100.04 88.00 50.00 4.25% 3.25% 1,061,665.00 01-Oct-21 1.00% Secured Senior LoanRanpak Tranche B1BL0401184 LX144512

99.96 60.00 50.00 3.25% 3.25% 4,000,000.00 28-Mar-25 - Secured Senior LoanRefresco T/L BBL0493082 LX170103

99.25 66.00 35.00 3.38% - 300,000.00 15-Oct-24 N/A Secured Senior NoteRESIDO 3 3/8 10/15/24 CorpAP4178046 XS1698063739

99.00 55.00 45.00 5.50% 5.50% 3,250,000.00 29-Jun-23 - Secured Senior LoanRiemser Pharma T/L BBL0435257 LX153882

96.50 68.00 50.00 5.25% 5.25% 2,000,000.00 30-Jun-21 - Secured Senior LoanRodenstock German Eyewear B2BL0515819 LX173796

99.53 58.00 50.00 3.50% 3.50% 1,600,000.00 23-Aug-24 - Secured Senior LoanRoy Bidco T/L B1 (Faerch Plast)BL0475576 LX167672

99.55 57.00 50.00 3.25% 3.25% 600,000.00 12-Jul-24 - Secured Senior LoanSafety Kleen T/L B1BL0473720 LX166008

94.31 61.00 45.00 4.00% 4.00% 1,200,000.00 18-Jul-24 - Secured Senior LoanSGB SMIT T/L BBL0472466 LX163467

100.06 68.00 50.00 3.25% 3.25% 2,941,718.41 11-Mar-22 - Secured Senior LoanSIG Combibloc T/L NewBL0483604 LX168891

100.00 77.00 50.00 5.00% 4.00% 1,965,000.00 31-Jul-21 1.00% Secured Senior LoanSolenis Add-on T/LBL0426223 LX152444

100.08 77.00 50.00 4.50% 3.50% 3,332,429.81 31-Jul-21 1.00% Secured Senior LoanSolenis Term LoanBL0377871 LX138124

100.50 45.00 45.00 3.75% 3.75% 1,500,000.00 19-Dec-22 - Secured Senior LoanSolina T/L B2BL0415283 LX149311

99.86 71.00 40.00 3.75% 3.25% 9,770,511.07 15-Aug-22 0.50% Secured Senior LoanSpringer Science T/L B12BL0478133 LX169368

99.95 68.00 45.00 3.50% 3.50% 1,187,867.90 21-Aug-24 - Secured Senior LoanStada/Nidda T/L B1BL0481293 LX168674

99.95 68.00 45.00 3.50% 3.50% 688,214.29 21-Aug-24 - Secured Senior LoanStada/Nidda T/L B2BL0482440 LX168991

99.95 68.00 45.00 - 3.50% 2,223,917.81 21-Aug-24 - Secured Senior LoanStada/Nidda T/L CBL0511230 LX173581

97.00 68.00 35.00 3.50% - 350,000.00 30-Sep-24 N/A Secured Senior NoteSTADAH 3 1/2 09/30/24AP1725724 XS1690644668

98.95 66.00 50.00 4.75% 4.75% 3,396,737.39 09-Feb-22 - Secured Senior LoanSwissport T/L B (New)BL0476707 LX167747

103.70 66.00 45.00 6.75% - 2,350,000.00 15-Dec-21 N/A Secured Senior NoteSWPORT 6 3/4 12/15/21AO7070870 XS1644604792

99.60 47.00 45.00 3.25% 3.25% 7,600,000.00 08-Aug-22 - Secured Senior LoanTackle Sarl Facility BBL0461642 LX161574


of 56

Market Value

Fitch Recovery

Rate

Moody's Recovery



31-May-1816-Jul-1816-Apr-18



93.68 35.00 35.00 5.38% - 1,600,000.00 15-Nov-23 N/A Secured Senior NoteTAKKO 5 3/8 11/15/23 CorpAP7037959 XS1710653137

94.77 35.00 35.00 5.38% 5.38% 500,000.00 15-Nov-23 0.00% Secured Senior NoteTAKKO Float 11/15/23 CorpAP7037587 XS1710653483

102.10 60.00 30.00 3.88% - 1,600,000.00 15-Jul-23 N/A Unsecured Senior ObligationTCGLN 3 7/8 07/15/23AQ2344770 XS1733231663

106.40 60.00 30.00 6.25% - 1,400,000.00 15-Jun-22 N/A Unsecured Senior ObligationTCGLN 6 1/4 06/15/22AL4586353 XS1531306717

95.63 73.00 45.00 3.50% 3.50% 5,955,000.00 06-Dec-23 - Secured Senior LoanTechnicolor T/L B NewBL0449365 LX157075

99.75 73.00 50.00 3.50% 3.50% 498,750.00 17-Oct-24 - Secured Senior LoanTekni Plex T/LBL0483703 LX168809

99.33 80.00 45.00 3.00% 3.00% 3,281,273.92 15-Oct-24 - Secured Senior LoanTele Columbus T/L ABL0409583 LX162004

99.91 59.00 45.00 3.50% 3.50% 1,600,000.00 27-Jan-23 - Secured Senior LoanTen Cate EUR T/L BBL0413429 LX147761

99.75 70.00 45.00 4.50% 4.50% 1,700,000.00 30-Jun-22 - Secured Senior LoanTerreal Term Loan BBL0432593 LX153379

102.60 40.00 30.00 4.50% - 1,150,000.00 01-Mar-25 N/A Unsecured Senior ObligationTEVA 4 1/2 03/01/25 CorpAS3234836 XS1813724603

100.05 62.00 45.00 4.50% 4.50% 4,500,000.00 07-Aug-24 - Secured Senior LoanThom Europe T/L BBL0475014 LX166774

98.63 60.00 35.00 4.00% 4.00% 1,650,000.00 15-Apr-23 0.00% Secured Senior NoteTITANL Float 04/15/23AR8132318 XS1799537904

99.14 53.00 35.00 8.00% - 2,000,000.00 15-May-22 N/A Secured Senior NoteTRVLEX 8 05/15/22 CORPAN3183315 XS1577963306

100.33 76.00 45.00 3.75% 3.75% 1,687,250.00 04-Apr-24 - Secured Senior LoanUnifrax Term Loan B newBL0402638 LX161986

99.89 58.00 45.00 4.00% 4.00% 4,250,000.00 17-Mar-21 - Secured Senior LoanUnit 4 T/L B1BL0360596 LX141580

100.25 55.00 50.00 3.75% 3.75% 2,000,000.00 27-Aug-24 - Secured Senior LoanValeo New EUR T/LBL0477812 LX167793

99.28 48.00 45.00 2.75% 2.75% 1,569,999.99 31-Oct-22 - Secured Senior LoanVerallia T/L B4BL0470056 LX164316

98.46 - 15.00 5.75% - 1,500,000.00 01-Dec-23 N/A Unsecured Senior ObligationVERISR 5 3/4 12/01/23AP9711718 XS1720016531

99.11 61.00 50.00 3.00% 3.00% 6,550,000.00 21-Oct-22 - Secured Senior LoanVerisure T/L B1-EBL0469421 LX164262

97.47 72.00 50.00 5.50% 4.50% 5,717,732.56 27-Jan-23 1.00% Secured Senior LoanVeritas New T/L B1BL0472474 LX165579

99.75 72.00 45.00 7.50% - 1,900,000.00 01-Feb-23 N/A Secured Senior NoteVERITS 7 1/2 02/01/23JV8940480 XS1357678322

93.58 60.00 35.00 4.00% - 4,030,000.00 15-Sep-25 N/A Secured Senior NoteVRDLN 4 09/15/25AP1066459 XS1684813493

94.52 38.00 25.00 4.50% - 4,350,000.00 15-May-23 N/A Unsecured Senior ObligationVRXCN 4 1/2 05/15/23 CorpEK7990790 XS1205619288

100.25 53.00 35.00 4.92% 5.25% 3,760,000.00 15-Jul-20 - Secured Senior NoteVUECIN Float 07/15/20EJ7472784 XS0953085627

100.46 95.00 45.00 4.75% - 5,350,000.00 01-Oct-24 N/A Secured Senior NoteVWR 4 3/4 10/01/24AP2848038 XS1687277985

100.22 81.00 45.00 4.00% 3.00% 1,396,500.00 21-Nov-24 1.00% Secured Senior LoanWall Street Systems T/L New BBL0487514 LX169481

104.73 61.00 35.00 9.50% - 2,000,000.00 15-Jul-22 N/A Secured Senior NoteWFSGLB 9 1/2 07/15/2022 CORPEK9787152 XS1252776759

84.25 80.00 35.00 2.75% 2.75% 2,000,000.00 20-Jan-24 0.00% Secured Senior NoteWINTRE Float 01/20/24 CorpAP6379337 XS1708450215

104.03 96.00 45.00 4.13% - 400,000.00 01-Nov-24 N/A Secured Senior NoteWMG 4 1/8 11/01/24QZ8434958 XS1505573995

99.69 42.00 45.00 3.50% 3.50% 4,532,355.32 11-Apr-24 - Secured Senior LoanXella T/L BBL0454613 LX159274

99.79 42.00 45.00 3.50% 3.50% 900,000.00 11-Apr-24 - Secured Senior LoanXella TL B2BL0481814 LX168886

Totals: 196 410,813,177.48


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


31-May-1816-Jul-1816-Apr-18

Current Asset Characteristics - Part II


Lodging and RestaurantsHotel, Gaming & LeisureGermanyA&O Hotels and Hostels Holding AGA&O Hotels T/L B (12/17) (Alpha Group)BL0494205 LX170100

General RetailRetailFranceThreeab Optique DVAAFFP 4 10/01/23 CorpAP4112011 XS1577949149

General RetailRetailFranceThreeab Optique DVAAFFP Float 10/01/23 CorpAP4112110 XS1577948687

General RetailRetailNetherlandsPeer Holding B.VAction Holding Term BBL0500688 LX171259

Industrial/ManufacturingAerospace & DefenseBelgiumADB SafegateADB Safegate T/L BBL0482788 LX168861

PharmaceuticalsHealthcare & PharmaceuticalsGermanyAenova Holding GMBHAenova - TemmlerBL0388134 LX142052

PharmaceuticalsHealthcare & PharmaceuticalsGermanyAenova Holding GMBHAenova Term LoanBL0380917 LX139191

Business ServicesServices: BusinessFranceAlgeco S.A.ALGSCO 6 1/2 02/15/23AQ9276686 XS1767052050

Business ServicesServices: BusinessFranceAlgeco S.A.ALGSCO Float 02/15/23AQ9276082 XS1767053884

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

ChemicalsChemicals, Plastics, & RubberLuxembourgAllnex SARLAllnex T/L B1 (EUR) NewBL0460396 LX152755

HealthcareHealthcare & PharmaceuticalsGermanyAlloheim Senioren-Residenzen SEAlloheim T/L BBL0498156 LX171119

Industrial/ManufacturingConstruction & BuildingGermanyAlison Bidco S.A.R.L.Alstom (Arvos) T/L B2BL0466179 LX137858

TelecommunicationsTelecommunicationsPortugalAltice International S.a.r.lALTICE 5 1/4 02/15/23EK7170955 XS1181246775

Business ServicesServices: BusinessFranceAltran Technologies S.A.Altran T/L (EUR)BL0496259 LX170900

HealthcareHealthcare & PharmaceuticalsGermanyAmedesAmedes TL BBL0407819 LX146944

Transportation and DistributionEnvironmental IndustriesGermanyApcoa Parking Holdings GMBHApcoa Term Loan BBL0459729 LX160841

ChemicalsChemicals, Plastics, & RubberSwitzerlandSK SPICE S.A. R.L. (AKA Clariant Corporation)

Archroma New T/L B1BL0473399 LX166298

Banking and FinanceBanking, Finance, Insurance & Real Estate

United KingdomArrow Global Finance PlcARWLN Float 03/01/26AR5972492 XS1713473350

General RetailRetailUnited KingdomAS AdventureAS Adventure EUR TLBL0397051 LX143652

AutomobilesAutomotiveFranceAutodis SAAUTODI Float 05/01/22AL0700735 XS1517169972

HealthcareHealthcare & PharmaceuticalsUnited StatesAvantor, Inc.Avantor Performance Materials EUR T/LBL0482481 LX168604

Industrial/ManufacturingCapital EquipmentFranceAverysAverys T/L B (04/18)BL0507519 LX172916

ChemicalsChemicals, Plastics, & RubberGermanyAzelis Finance S.A.Azelis Finance NEW T/L (EUR)BL0487472 LX169500

Lodging and RestaurantsHotel, Gaming & LeisureFranceBuild SASB&B Hotels First Lien TL BBL0487936 LX169489

Textiles and FurnitureConsumer goods: DurableBelgiumBalta Finance SARLBALTAL 7 3/4 09/15/22UV3539714 XS1265917481

General RetailRetailGermanyKirk Beauty One GMBHBeauty Holding New T/L B1 (formerly B15)BL0475881 LX159199








AutomobilesAutomotiveUnited KingdomBelron Finance US LLCBelron T/L BBL0485260 LX169050

HealthcareHealthcare & PharmaceuticalsGermanyBepime - Ameos EurBepime - Ameos Term LoanBL0469165 LX164184

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


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31-May-1816-Jul-1816-Apr-18



Consumer ProductsConsumer goods: DurableSwitzerlandBreitling GroupBreitling T/LBL0474751 LX166427

ChemicalsChemicals, Plastics, & RubberGermanyMonitchem Holdco 2 S.A.CABBCO 5 1/4 06/15/21EK2997865 XS1074935229

ChemicalsChemicals, Plastics, & RubberGermanyMonitchem Holdco 2 S.A.CABBCO 6 7/8 06/15/22EK2998228 XS1074935492

Food, Beverage and TobaccoBeverage, Food & TobaccoBelgiumSoppa Holdings SarlCampbell Soup T/L B1BL0501645 LX157881




Gaming, Leisure and EntertainmentServices: BusinessUnited StatesCarlson Travel Inc.CARLTV Float 06/15/23AL5725323 XS1535991498

PharmaceuticalsHealthcare & PharmaceuticalsUnited StatesCatalent Pharma Solutions IncCatalent Pharma T/L B EURBL0373078 LX137091

General RetailRetailGermanyCBR - Textile GmbHCBRFHG 5 1/8 10/01/22 CorpAP7256179 XS1709347923

Packaging and ContainersContainers, Packaging & GlassFranceCCP Lux Holding S.a.r.l.CCP Lux Holding T/LBL0499444 LX171092

Broadcasting and MediaMedia: Broadcasting & SubscriptionNetherlandsCDS Holdco III B.V.CDS Holdco M7 Facility FBL0494411 LX170211

Energy (Oil and Gas)Energy: Oil & GasFranceCGG Holding (U.S.) Inc.CGGFP 7 7/8 05/01/23AS1215506 XS1713465760

ChemicalsChemicals, Plastics, & RubberUnited StatesChemours Company, TheChemours Company T/L B1BL0462673 LX172376

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

HealthcareHealthcare & PharmaceuticalsFranceColiseeColisee Term LoanBL0472268 LX165174

Lodging and RestaurantsHotel, Gaming & LeisureUnited KingdomCompass IV LimitedCompass IV T/L B1 (Wyndham) (EUR)BL0509895 LX173200

Industrial/ManufacturingConsumer goods: DurableAustriaEuropean Cooling 2 SarlCool International Holding B1BL0382822 LX140097

Consumer ProductsConsumer goods: Non-durableUnited StatesBeauty Business NewCoCoty T/L B (EUR)BL0504805 LX172439

Business ServicesServices: BusinessUnited KingdomRedtop Acquisitions LimitedCPA Global T/L B1BL0482861 LX168740

Packaging and ContainersForest Products & PaperUnited StatesCrown Holdings Inc.Crown Holding T/LBL0496069 LX170856

Industrial/ManufacturingMetals & MiningUnited StatesConstellium NVCSTM 4 5/8 05/15/21EK2376680 XS1064882316

HealthcareHealthcare & PharmaceuticalsGermanyCTC BondCo GmbHCTC AcquiCo (CeramTec) T/L B1BL0490229 LX169716

Food, Beverage and TobaccoBeverage, Food & TobaccoNetherlandsOak Leaf B.V.De Master Blenders T/L A3 (Jacobs Douwe Egberts)

BL0446643 LX155879

Food, Beverage and TobaccoBeverage, Food & TobaccoNetherlandsOak Leaf B.V.De Master Blenders T/L A4BL0447138 LX157694

Food, Beverage and TobaccoBeverage, Food & TobaccoNetherlandsOak Leaf B.V.DE Master Blenders T/L B NewBL0467060 LX163472

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

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

Industrial/ManufacturingAutomotiveUnited StatesDexKo Global Inc.Dexko 1/18 New T/L B1BL0495988 LX170821

Industrial/ManufacturingAutomotiveUnited StatesDexKo Global Inc.Dexko 1/18 New T/L B2BL0496358 LX171014

Industrial/ManufacturingAutomotiveUnited StatesDexKo Global Inc.Dexko T/L Additional B-1BL0496440 LX171015

Industrial/ManufacturingAutomotiveUnited StatesDexKo Global Inc.Dexko T/L Additional B-2BL0496457 LX171016

Computer and ElectronicsCapital EquipmentUnited StatesDiebold Nixdorf, Incorporated.Diebold Nixdorf T/LBL0467557 LX162900

HealthcareHealthcare & PharmaceuticalsFranceHOMEVIDomusVI (HomeVI) Term Loan BBL0483760 LX168858

Textiles and FurnitureConsumer goods: DurableNetherlandsEagle Group International LLCEAGRUY 5 3/8 05/01/23 CORPAS1592433 XS1713464953


United KingdomCabottECPG Float 11/15/21QJ5428983 XS1117279619

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


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31-May-1816-Jul-1816-Apr-18



TelecommunicationsTelecommunicationsIrelandEircom Holdings (Ireland) LtdEircom Holdings (NEW)BL0459745 LX161434

Business ServicesHigh Tech IndustriesUnited StatesElement Materials Technology Group Holdings CC2 LTD

Element Materials Technology Term LoanBL0469132 LX164898

Broadcasting and MediaMedia: Diversified & ProductionNetherlandsMediArena Acquisition B.V.Endemol Euro T/L (1st Lien)BL0380925 LX139557

Environmental ServicesEnvironmental IndustriesUnited StatesEmerald 2 Ltd. (Eagle US / Emerald Newco / ERM Canada / ERM

ERM T/L B2BL0373383 LX137157

PharmaceuticalsHealthcare & PharmaceuticalsFranceEthypharmEthypharm New T/LBL0458838 LX160780

General RetailRetailUnited KingdomEG Group LimitedEuro Garages T/L B1BL0497141 LX171054

General RetailRetailUnited KingdomEG Group LimitedEuro Garages T/L B3BL0498636 LX171115

Business ServicesServices: BusinessNetherlandsEiger Acquisition B.V.Exact Term Loan BBL0491391 LX169938

Computer and ElectronicsHigh Tech IndustriesUnited StatesExcelitas Technologies Corp.Excelitas New T/LBL0487944 LX169511

Packaging and ContainersContainers, Packaging & GlassUnited StatesExopack Holdings S.A.Exopack (Coveris) EUR Term LoanBL0436677 LX166356

ChemicalsChemicals, Plastics, & RubberGermanyColouroz MidcoFlint Group TL 1LBL0372997 LX136879

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

ChemicalsChemicals, Plastics, & RubberGermanyColouroz MidcoFlint Incremental T/L B6BL0461659 LX161209

ChemicalsChemicals, Plastics, & RubberGermanyColouroz MidcoFlint Incremental Term Loan B7BL0461667 LX161418

ChemicalsChemicals, Plastics, & RubberGermanyColouroz MidcoFlint T/L B-3BL0401051 LX144751

ChemicalsChemicals, Plastics, & RubberGermanyColouroz MidcoFlint Term Loan B4BL0417594 LX149864

ChemicalsChemicals, Plastics, & RubberGermanyColouroz MidcoFlint Term Loan B5BL0455925 LX159976

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

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

AutomobilesAutomotiveUnited StatesGates Global LLCGates Global B2 T/LBL0489585 LX169690

Packaging and ContainersContainers, Packaging & GlassItalyGuala Closures SpAGCLIM Float 11/15/21AL0882525 XS1516322465

Banking and FinanceServices: BusinessUnited KingdomGarfunkelux Holdco 2 S.A.GFKLDE 7 1/2 08/01/22AF2808703 XS1263891910

Banking and FinanceServices: BusinessUnited KingdomGarfunkelux Holdco 2 S.A.GFKLDE Float 09/01/23AQ7881479 XS1756364805

HealthcareHealthcare & PharmaceuticalsGermanyGHD GesundHeits GmbH DeutschlandGHD Term LoanBL0379745 LX139056

Banking and FinanceRetailNetherlandsGlobal Blue Finance S.A R.LGlobal Blue T/L B (New)BL0484024 LX168990

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureUnited KingdomGVC Holdings PLCGVC Holdings 3/18 (Eur) TLBBL0503138 LX172214

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

Textiles and FurnitureConsumer goods: DurableSwedenHilding AndersHilding Anders AB 11/17 (Eur) TLBBL0488033 LX169486

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureSpainHotelbedsHotelbeds T/L B ZurichBL0469777 LX164357

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

PharmaceuticalsHealthcare & PharmaceuticalsFranceHRAHRA Term LoanBL0476806 LX167460

General RetailRetailGermanyHSE 24 Trading GMBHHSE 24 T/L CBL0444291 LX155957

Transportation and DistributionTransportation: ConsumerUnited StatesHertz Holdings Netherlands BVHTZ 5 1/2 03/30/23AR6029524 XS1790929217

Business ServicesHigh Tech IndustriesUnited StatesI-Logic Technologies Bidco LtdI-Logic Technologies (Dealogic) EUR T/LBL0494403 LX170142

Computer and ElectronicsServices: BusinessSwedenIFS GroupIFS T/L NewBL0474819 LX167063

Broadcasting and MediaMedia: Diversified & ProductionSpainJoye Media S.LImagina T/L BBL0514606 LX172316

PharmaceuticalsHealthcare & PharmaceuticalsUnited StatesIndivior Finance S.a.r.l.Indivior T/L B EURBL0493116 LX170169


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31-May-1816-Jul-1816-Apr-18



ChemicalsChemicals, Plastics, & RubberGermanyIneos Styrolution Group GmbHIneos Styrolution TL B New 11/17BL0487464 LX169498

ChemicalsChemicals, Plastics, & RubberUnited KingdomIneos Group Holdings SAIneos T/L B 2024BL0485732 LX169196

Computer and ElectronicsHigh Tech IndustriesUnited StatesGGC Software Holdings, IncInfor (Lawson) T/L B2BL0489593 LX169633

Computer and ElectronicsHigh Tech IndustriesUnited StatesInformatica LLCInformatica New TLBL0496077 LX170850

Computer and ElectronicsHigh Tech IndustriesUnited StatesION Trading Technologies LimitedIon Trading Euro T/L BBL0487969 LX169484

Consumer ProductsConsumer goods: DurableNetherlandsKeter GroupKeter Group TL BBL0441503 LX155222

Consumer ProductsConsumer goods: DurableNetherlandsKeter GroupKeter T/L B3 NewBL0501900 LX160294

HealthcareHealthcare & PharmaceuticalsUnited StatesKinetic Concepts Inc.Kinetic Concepts (Acelity) T/L BBL0454340 LX159775

Food, Beverage and TobaccoBeverage, Food & TobaccoFranceLabeyrie Fine Foods SASLabeyrie Fine FoodsBL0465569 LX162594

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

HealthcareHealthcare & PharmaceuticalsUnited KingdomLGC Science Holdings LimitedLGC Science EUR T/L B4BL0453987 LX159294

Buildings and MaterialsConsumer goods: Non-durableFranceLoxamLOXAM 3 1/2 04/15/22AN0218338 XS1591779399

Buildings and MaterialsConsumer goods: Non-durableFranceLoxamLOXAM 4 1/4 04/15/24AN0756907 XS1590066624

ChemicalsChemicals, Plastics, & RubberUnited StatesPlatform Specialty Products CorporationMacDermid T/L C5BL0466245 LX162203

ChemicalsChemicals, Plastics, & RubberUnited StatesPlatform Specialty Products CorporationMacdermid T/L C6BL0482572 LX168776

General RetailRetailNetherlandsMaxeda DIY B.V.MAXDIY 6 1/8 07/15/22AO2985171 XS1648303813

Consumer ProductsRetailItalyMarcolin SPAMCLIM Float 02/15/23AM3527430 XS1562036704

HealthcareHealthcare & PharmaceuticalsNetherlandsAI Garden B.VMediq T/L B1BL0447914 LX156994

Computer and ElectronicsServices: BusinessUnited StatesMicroFocusMicro Focus T/L B3BL0465502 LX162912

Business ServicesServices: BusinessUnited KingdomMagic Newco 5 S.a.r.lMisys Term B Eur LoanBL0467474 LX163229

General RetailRetailUnited KingdomMRHMRH EUR T/L B4BL0472177 LX165654

AutomobilesAutomotiveUnited StatesMSX International, Inc.MSX International New EUR TLBL0496606 LX171163

Transportation and DistributionTransportation: ConsumerSpainNaviera Armas SANavira Float 11/15/24 CorpAP9769369 XS1717590563


DenmarkNetsNets TL B1EBL0489726 LX169648


ItalyNexi Capital SPANEXICP Float 05/01/23 CorpAS4429807 XS1819645455

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

Broadcasting and MediaServices: BusinessUnited StatesNielsen Holdings N.V.Nielsen Finance T/L B2 (VNU) EURBL0370520 LX136616

Environmental ServicesEnvironmental IndustriesFrancePHM France Holdco 19 SASOGF T/L B (03/17)BL0462343 LX161834

ChemicalsChemicals, Plastics, & RubberGermanyOrion Engineered Carbons S.a r.l.Orion Engineered New T/L 10/17BL0467078 LX169230

Business ServicesBanking, Finance, Insurance & Real Estate

United StatesPI LUXPaysafe TL B2 (PI UK HoldCo II)BL0487845 LX169668

Paper and Forest ProductsForest Products & PaperGermanyPfleiderer AGPfleiderer T/L B (PCF GmbH)BL0462954 LX161954

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureSpainPortAventura Entertainment Barcelona BV

PortAventura T/L BBL0471468 LX164876

HealthcareHealthcare & PharmaceuticalsUnited StatesQuintiles IMS IncorporatedQuintiles IMS T/L B-1 (EUR)BL0459026 LX160895

Food, Beverage and TobaccoBeverage, Food & TobaccoUnited KingdomFroneri International plcR&R Ice Cream Froneri 1/18 (EUR) Cov-LiteBL0498529 LX170852

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

Food, Beverage and TobaccoBeverage, Food & TobaccoNetherlandsSunshine Mid B.V.Refresco T/L BBL0493082 LX170103


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31-May-1816-Jul-1816-Apr-18



Real EstateConstruction & BuildingCzech RepublicResidomoRESIDO 3 3/8 10/15/24 CorpAP4178046 XS1698063739

HealthcareHealthcare & PharmaceuticalsGermanyRiemserRiemser Pharma T/L BBL0435257 LX153882

HealthcareHealthcare & PharmaceuticalsGermanyRodenstockRodenstock German Eyewear B2BL0515819 LX173796

Packaging and ContainersContainers, Packaging & GlassUnited KingdomFaerch PlastRoy Bidco T/L B1 (Faerch Plast)BL0475576 LX167672

Environmental ServicesEnvironmental IndustriesUnited KingdomSafety KleenSafety Kleen T/L B1BL0473720 LX166008

Industrial/ManufacturingCapital EquipmentGermanySGB-SMIT Management GmbHSGB SMIT T/L BBL0472466 LX163467

Packaging and ContainersContainers, Packaging & GlassSwitzerlandSig Combibloc Holdings SCASIG Combibloc T/L NewBL0483604 LX168891

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

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

Food, Beverage and TobaccoBeverage, Food & TobaccoFranceSolina Group SASSolina T/L B2BL0415283 LX149311

Broadcasting and MediaMedia: Advertising, Printing & Publishing

GermanySpringer SBM One GmbHSpringer Science T/L B12BL0478133 LX169368

PharmaceuticalsHealthcare & PharmaceuticalsGermanyNidda Bondco GMBHStada/Nidda T/L B1BL0481293 LX168674

PharmaceuticalsHealthcare & PharmaceuticalsGermanyNidda Bondco GMBHStada/Nidda T/L B2BL0482440 LX168991

PharmaceuticalsHealthcare & PharmaceuticalsGermanyNidda Bondco GMBHStada/Nidda T/L CBL0511230 LX173581

PharmaceuticalsHealthcare & PharmaceuticalsGermanyNidda Bondco GMBHSTADAH 3 1/2 09/30/24AP1725724 XS1690644668

Transportation and DistributionAerospace & DefenseSwitzerlandSwissport InvestmentsSwissport T/L B (New)BL0476707 LX167747

Transportation and DistributionAerospace & DefenseSwitzerlandSwissport InvestmentsSWPORT 6 3/4 12/15/21AO7070870 XS1644604792

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureGermanyTipicoTackle Sarl Facility BBL0461642 LX161574

General RetailRetailGermanyTakko Luxembourg 2 S.C.ATAKKO 5 3/8 11/15/23 CorpAP7037959 XS1710653137

General RetailRetailGermanyTakko Luxembourg 2 S.C.ATAKKO Float 11/15/23 CorpAP7037587 XS1710653483

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureUnited KingdomThomas CookTCGLN 3 7/8 07/15/23AQ2344770 XS1733231663

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureUnited KingdomThomas CookTCGLN 6 1/4 06/15/22AL4586353 XS1531306717

Computer and ElectronicsServices: BusinessFranceTech Finance & CO S.C.ATechnicolor T/L B NewBL0449365 LX157075

Packaging and ContainersContainers, Packaging & GlassUnited StatesTrident Merger Sub IncTekni Plex T/LBL0483703 LX168809

CableMedia: Broadcasting & SubscriptionGermanyTele Columbus GmbHTele Columbus T/L ABL0409583 LX162004

Industrial/ManufacturingAerospace & DefenseNetherlandsTen CateTen Cate EUR T/L BBL0413429 LX147761

Buildings and MaterialsConstruction & BuildingFranceTerreal Holdings SASTerreal Term Loan BBL0432593 LX153379

PharmaceuticalsHealthcare & PharmaceuticalsUnited StatesTeva Pharmaceutical Finance Netherlands II BV

TEVA 4 1/2 03/01/25 CorpAS3234836 XS1813724603

General RetailRetailFranceThom EuropeThom Europe T/L BBL0475014 LX166774

Business ServicesHigh Tech IndustriesItalyTeamSystem Holding SpATITANL Float 04/15/23AR8132318 XS1799537904

Banking and FinanceServices: ConsumerUnited KingdomTravelex FinancingTRVLEX 8 05/15/22 CORPAN3183315 XS1577963306

ChemicalsCapital EquipmentUnited StatesUnifrax Holding CoUnifrax Term Loan B newBL0402638 LX161986

Computer and ElectronicsUtilities: ElectricNetherlandsAI Avocado Holding B.VUnit 4 T/L B1BL0360596 LX141580

Food, Beverage and TobaccoBeverage, Food & TobaccoIrelandValeo FoodValeo New EUR T/LBL0477812 LX167793

Packaging and ContainersContainers, Packaging & GlassFranceVerallia GroupVerallia T/L B4BL0470056 LX164316

Consumer ProductsServices: BusinessSwedenVerisure Holding ABVERISR 5 3/4 12/01/23AP9711718 XS1720016531

Consumer ProductsServices: BusinessSwedenVerisure Holding ABVerisure T/L B1-EBL0469421 LX164262


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31-May-1816-Jul-1816-Apr-18



Computer and ElectronicsHigh Tech IndustriesUnited StatesVeritas US Inc.Veritas New T/L B1BL0472474 LX165579

Computer and ElectronicsHigh Tech IndustriesUnited StatesVeritas US Inc.VERITS 7 1/2 02/01/23JV8940480 XS1357678322

Utilities (Power)Energy: ElectricityIrelandViridianVRDLN 4 09/15/25AP1066459 XS1684813493

PharmaceuticalsHealthcare & PharmaceuticalsUnited StatesValeant Pharmaceuticals International, Inc.

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

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureUnited KingdomVue Entertainment Holdings UK Ltd.VUECIN Float 07/15/20EJ7472784 XS0953085627

HealthcareHealthcare & PharmaceuticalsUnited StatesAvantor, Inc.VWR 4 3/4 10/01/24AP2848038 XS1687277985

Business ServicesHigh Tech IndustriesUnited StatesWall Street Systems Delaware, Inc.Wall Street Systems T/L New BBL0487514 LX169481

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

TelecommunicationsTelecommunicationsItalyWind TRE SPAWINTRE Float 01/20/24 CorpAP6379337 XS1708450215

Broadcasting and MediaMedia: Diversified & ProductionUnited StatesWMG Acquisition CorpWMG 4 1/8 11/01/24QZ8434958 XS1505573995

Buildings and MaterialsConstruction & BuildingGermanyXella International SAXella T/L BBL0454613 LX159274

Buildings and MaterialsConstruction & BuildingGermanyXella International SAXella TL B2BL0481814 LX168886

Totals: 196


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Delayed Drawdown Collateral

Revolving Obligation

Current Pay Obligation

Cov-Lite Loan

Corporate Rescue LoanBridge Loan

Semi-Annual ObligationISIN/LoanX ID Issuer/FacilitySecurity I.D. PIK Security

Market Value Determined

by CM


31-May-1816-Jul-1816-Apr-18

Current Asset Characteristics - Part III


---No*---A&O Hotels T/L B (12/17) (Alpha Group)LX170100BL0494205 --------YesAAFFP 4 10/01/23 CorpXS1577949149AP4112011 ---------AAFFP Float 10/01/23 CorpXS1577948687AP4112110 -----No*---Action Holding Term BLX171259BL0500688 -----No*---ADB Safegate T/L BLX168861BL0482788 -----No*---Aenova - TemmlerLX142052BL0388134 -----No*---Aenova Term LoanLX139191BL0380917 --------YesALGSCO 6 1/2 02/15/23XS1767052050AQ9276686 ---------ALGSCO Float 02/15/23XS1767053884AQ9276082 -----Yes--YesALL 3 Media Second LienLX137656BL0375586 -----No*---Allnex T/L B1 (EUR) NewLX152755BL0460396 -----No*--YesAlloheim T/L BLX171119BL0498156 -----No*---Alstom (Arvos) T/L B2LX137858BL0466179 --------YesALTICE 5 1/4 02/15/23XS1181246775EK7170955 -----No*---Altran T/L (EUR)LX170900BL0496259 --------YesAmedes TL BLX146944BL0407819 ---------Apcoa Term Loan BLX160841BL0459729 -----No*---Archroma New T/L B1LX166298BL0473399 ---------ARWLN Float 03/01/26XS1713473350AR5972492 ---------AS Adventure EUR TLLX143652BL0397051 ---------AUTODI Float 05/01/22XS1517169972AL0700735 -----No*---Avantor Performance Materials EUR T/LLX168604BL0482481 ---------Averys T/L B (04/18)LX172916BL0507519 -----No*---Azelis Finance NEW T/L (EUR)LX169500BL0487472 -----No*---B&B Hotels First Lien TL BLX169489BL0487936 --------YesBALTAL 7 3/4 09/15/22XS1265917481UV3539714 -----No*---Beauty Holding New T/L B1 (formerly B15)LX159199BL0475881 -----No*---Beauty Holding New T/L B2 (formerly B16)LX160534BL0475899 -----No*---Beauty Holding New T/L B3 (formerly B17)LX160535BL0475840 -----No*---Beauty Holding New T/L B4 (formerly B18)LX160536BL0475865 -----No*---Beauty Holding New T/L B5 (formerly B19)LX160537BL0475832 -----No*---Beauty Holding New T/L B6 (formerly B20)LX160538BL0475857 -----No*---Beauty Holding New T/L B7 (formerly B21)LX160539BL0475873 -----No*---Beauty Holding New T/L B8 (formerly B22)LX165187BL0454142 -----No*---Belron T/L BLX169050BL0485260 -----No*---Bepime - Ameos Term LoanLX164184BL0469165 --------YesBOPRLN 4 3/8 07/15/21 CORPXS1082473395EK3486827 -----No*---Breitling T/LLX166427BL0474751 --------YesCABBCO 5 1/4 06/15/21XS1074935229EK2997865 --------YesCABBCO 6 7/8 06/15/22XS1074935492EK2998228 -----No*---Campbell Soup T/L B1LX157881BL0501645 -----No*---Campbell Soup T/L B2LX159205BL0476061 --

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


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31-May-1816-Jul-1816-Apr-18



---No*---Campbell Soup T/L B3LX159206BL0501652 -----No*---Campbell Soup T/L B4LX159207BL0501660 ---------CARLTV Float 06/15/23XS1535991498AL5725323 -----No*---Catalent Pharma T/L B EURLX137091BL0373078 --------YesCBRFHG 5 1/8 10/01/22 CorpXS1709347923AP7256179 -----No*---CCP Lux Holding T/LLX171092BL0499444 -----No*---CDS Holdco M7 Facility FLX170211BL0494411 --------YesCGGFP 7 7/8 05/01/23XS1713465760AS1215506 -----No*---Chemours Company T/L B1LX172376BL0462673 -----No*---Coherent Holding T/L BLX153899BL0435521 ---------Colisee Term LoanLX165174BL0472268 -----No*---Compass IV T/L B1 (Wyndham) (EUR)LX173200BL0509895 ---------Cool International Holding B1LX140097BL0382822 -----No*---Coty T/L B (EUR)LX172439BL0504805 -----No*---CPA Global T/L B1LX168740BL0482861 -----No*---Crown Holding T/LLX170856BL0496069 --------YesCSTM 4 5/8 05/15/21XS1064882316EK2376680 -----No*---CTC AcquiCo (CeramTec) T/L B1LX169716BL0490229 ---------De Master Blenders T/L A3 (Jacobs Douwe Egberts)LX155879BL0446643 ---------De Master Blenders T/L A4LX157694BL0447138 -----No*---DE Master Blenders T/L B NewLX163472BL0467060 -----Yes---Deoleo 2nd LienLX137334BL0375016 -----No*---Deoleo Term LoanLX137333BL0375008 -----No*---Dexko 1/18 New T/L B1LX170821BL0495988 -----No*---Dexko 1/18 New T/L B2LX171014BL0496358 --

Yes--No*---Dexko T/L Additional B-1LX171015BL0496440 --Yes--No*---Dexko T/L Additional B-2LX171016BL0496457 --

---No*---Diebold Nixdorf T/LLX162900BL0467557 -----No*---DomusVI (HomeVI) Term Loan BLX168858BL0483760 --------YesEAGRUY 5 3/8 05/01/23 CORPXS1713464953AS1592433 ---------ECPG Float 11/15/21XS1117279619QJ5428983 --------YesEIRCMF 4 1/2 05/31/22XS1432395785LW3429476 -----No*---Eircom Holdings (NEW)LX161434BL0459745 -----No*---Element Materials Technology Term LoanLX164898BL0469132 -----No*---Endemol Euro T/L (1st Lien)LX139557BL0380925 -----No*---ERM T/L B2LX137157BL0373383 -----No*---Ethypharm New T/LLX160780BL0458838 -----No*---Euro Garages T/L B1LX171054BL0497141 --

Yes--No*---Euro Garages T/L B3LX171115BL0498636 -----No*---Exact Term Loan BLX169938BL0491391 -----No*--YesExcelitas New T/LLX169511BL0487944 -----Yes---Exopack (Coveris) EUR Term LoanLX166356BL0436677 --



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by CM


31-May-1816-Jul-1816-Apr-18



---No*---Flint Group TL 1LLX136879BL0372997 -----Yes---Flint Group TL 2LLX136884BL0373086 -----No*---Flint Incremental T/L B6LX161209BL0461659 -----No*---Flint Incremental Term Loan B7LX161418BL0461667 -----No*---Flint T/L B-3LX144751BL0401051 -----No*---Flint Term Loan B4LX149864BL0417594 -----No*---Flint Term Loan B5LX159976BL0455925 --------YesGALAPG 5 3/8 06/15/21XS1071419524EK2868413 ---------GALAPG Float 06/15/21XS1071411547EK2868538 -----No*---Gates Global B2 T/LLX169690BL0489585 ---------GCLIM Float 11/15/21XS1516322465AL0882525 --------YesGFKLDE 7 1/2 08/01/22XS1263891910AF2808703 ---------GFKLDE Float 09/01/23XS1756364805AQ7881479 -----No*---GHD Term LoanLX139056BL0379745 ---------Global Blue T/L B (New)LX168990BL0484024 -----No*--YesGVC Holdings 3/18 (Eur) TLBLX172214BL0503138 ---------Hes Beheer T/L BLX139672BL0379679 ---------Hilding Anders AB 11/17 (Eur) TLBLX169486BL0488033 -----No*--YesHotelbeds T/L B ZurichLX164357BL0469777 -----No*--YesHotelbeds TL BLX152965BL0430316 -----No*---HRA Term LoanLX167460BL0476806 ---------HSE 24 T/L CLX155957BL0444291 --------YesHTZ 5 1/2 03/30/23XS1790929217AR6029524 -----No*---I-Logic Technologies (Dealogic) EUR T/LLX170142BL0494403 -----No*---IFS T/L NewLX167063BL0474819 ---------Imagina T/L BLX172316BL0514606 ---------Indivior T/L B EURLX170169BL0493116 -----Yes---Ineos Styrolution TL B New 11/17LX169498BL0487464 -----No*---Ineos T/L B 2024LX169196BL0485732 -----No*---Infor (Lawson) T/L B2LX169633BL0489593 -----No*---Informatica New TLLX170850BL0496077 -----No*---Ion Trading Euro T/L BLX169484BL0487969 -----No*---Keter Group TL BLX155222BL0441503 -----No*---Keter T/L B3 NewLX160294BL0501900 -----No*---Kinetic Concepts (Acelity) T/L BLX159775BL0454340 -----No*---Labeyrie Fine FoodsLX162594BL0465569 --------YesLABFP 6 1/4 07/01/22 CorpXS1117292984EK9755621 -----No*---LGC Science EUR T/L B4LX159294BL0453987 --------YesLOXAM 3 1/2 04/15/22XS1591779399AN0218338 --------YesLOXAM 4 1/4 04/15/24XS1590066624AN0756907 -----No*---MacDermid T/L C5LX162203BL0466245 -----No*---Macdermid T/L C6LX168776BL0482572 --



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31-May-1816-Jul-1816-Apr-18



------YesMAXDIY 6 1/8 07/15/22XS1648303813AO2985171 ---------MCLIM Float 02/15/23XS1562036704AM3527430 --------YesMediq T/L B1LX156994BL0447914 -----No*---Micro Focus T/L B3LX162912BL0465502 -----Yes---Misys Term B Eur LoanLX163229BL0467474 ---------MRH EUR T/L B4LX165654BL0472177 -----No*---MSX International New EUR TLLX171163BL0496606 ---------Navira Float 11/15/24 CorpXS1717590563AP9769369 -----No*---Nets TL B1ELX169648BL0489726 ---------NEXICP Float 05/01/23 CorpXS1819645455AS4429807 --------YesNH Hotels 10/1/2023XS1497527736QZ6609874 -----No*---Nielsen Finance T/L B2 (VNU) EURLX136616BL0370520 -----No*--YesOGF T/L B (03/17)LX161834BL0462343 -----No*---Orion Engineered New T/L 10/17LX169230BL0467078 -----No*---Paysafe TL B2 (PI UK HoldCo II)LX169668BL0487845 -----No*---Pfleiderer T/L B (PCF GmbH)LX161954BL0462954 -----No*--YesPortAventura T/L BLX164876BL0471468 ---------Quintiles IMS T/L B-1 (EUR)LX160895BL0459026 -----No*---R&R Ice Cream Froneri 1/18 (EUR) Cov-LiteLX170852BL0498529 -----No*---Ranpak Tranche B1LX144512BL0401184 -----No*---Refresco T/L BLX170103BL0493082 --------YesRESIDO 3 3/8 10/15/24 CorpXS1698063739AP4178046 ---------Riemser Pharma T/L BLX153882BL0435257 ---------Rodenstock German Eyewear B2LX173796BL0515819 -----No*---Roy Bidco T/L B1 (Faerch Plast)LX167672BL0475576 -----No*---Safety Kleen T/L B1LX166008BL0473720 --------YesSGB SMIT T/L BLX163467BL0472466 -----No*---SIG Combibloc T/L NewLX168891BL0483604 -----No*---Solenis Add-on T/LLX152444BL0426223 -----No*---Solenis Term LoanLX138124BL0377871 -----No*--YesSolina T/L B2LX149311BL0415283 -----No*---Springer Science T/L B12LX169368BL0478133 --

Yes--No*---Stada/Nidda T/L B1LX168674BL0481293 -----No*--YesStada/Nidda T/L B2LX168991BL0482440 --

Yes--No*---Stada/Nidda T/L CLX173581BL0511230 --------YesSTADAH 3 1/2 09/30/24XS1690644668AP1725724 -----No*---Swissport T/L B (New)LX167747BL0476707 --------YesSWPORT 6 3/4 12/15/21XS1644604792AO7070870 -----No*---Tackle Sarl Facility BLX161574BL0461642 --------YesTAKKO 5 3/8 11/15/23 CorpXS1710653137AP7037959 ---------TAKKO Float 11/15/23 CorpXS1710653483AP7037587 --------YesTCGLN 3 7/8 07/15/23XS1733231663AQ2344770 --



of 56




Cov-Lite Loan




by CM


31-May-1816-Jul-1816-Apr-18



------YesTCGLN 6 1/4 06/15/22XS1531306717AL4586353 -----No*---Technicolor T/L B NewLX157075BL0449365 -----No*---Tekni Plex T/LLX168809BL0483703 -----No*--YesTele Columbus T/L ALX162004BL0409583 ---------Ten Cate EUR T/L BLX147761BL0413429 --------YesTerreal Term Loan BLX153379BL0432593 --------YesTEVA 4 1/2 03/01/25 CorpXS1813724603AS3234836 -----No*---Thom Europe T/L BLX166774BL0475014 ---------TITANL Float 04/15/23XS1799537904AR8132318 --------YesTRVLEX 8 05/15/22 CORPXS1577963306AN3183315 -----No*---Unifrax Term Loan B newLX161986BL0402638 ---------Unit 4 T/L B1LX141580BL0360596 -----No*---Valeo New EUR T/LLX167793BL0477812 -----No*--YesVerallia T/L B4LX164316BL0470056 --------YesVERISR 5 3/4 12/01/23XS1720016531AP9711718 -----No*---Verisure T/L B1-ELX164262BL0469421 -----No*---Veritas New T/L B1LX165579BL0472474 --------YesVERITS 7 1/2 02/01/23XS1357678322JV8940480 --------YesVRDLN 4 09/15/25XS1684813493AP1066459 --------YesVRXCN 4 1/2 05/15/23 CorpXS1205619288EK7990790 ---------VUECIN Float 07/15/20XS0953085627EJ7472784 --------YesVWR 4 3/4 10/01/24XS1687277985AP2848038 -----No*---Wall Street Systems T/L New BLX169481BL0487514 --------YesWFSGLB 9 1/2 07/15/2022 CORPXS1252776759EK9787152 ---------WINTRE Float 01/20/24 CorpXS1708450215AP6379337 --------YesWMG 4 1/8 11/01/24XS1505573995QZ8434958 -----No*---Xella T/L BLX159274BL0454613 -----No*---Xella TL B2LX168886BL0481814 --

Totals: 196



of 56

Market ValuePrincipal Balance

Fitch Rating

Moody's RatingSecurity NameSecurity I.D.


31-May-1816-Jul-1816-Apr-18

Moody's Caa Obligations and Fitch CCC Obligations


97.1350 1,647,058.82 PrivateAenova - TemmlerBL0388134 Caa1 97.1350 2,352,941.18 PrivateAenova Term LoanBL0380917 Caa1

100.1250 3,300,000.00 PrivateALL 3 Media Second LienBL0375586 Caa2 92.7280 6,000,000.00 PrivateBOPRLN 4 3/8 07/15/21 CORPEK3486827 Caa1 90.9020 550,000.00 PrivateCABBCO 6 7/8 06/15/22EK2998228 Caa1 35.7500 1,000,000.00 PrivateDeoleo 2nd LienBL0375016 Caa3 69.5830 4,000,000.00 PrivateDeoleo Term LoanBL0375008 Caa1

100.1000 7,346,572.16 PrivateEndemol Euro T/L (1st Lien)BL0380925 B3 82.5000 587,730.40 PrivateFlint Group TL 2LBL0373086 Caa2 92.9690 1,528,000.00 PrivateGALAPG 5 3/8 06/15/21EK2868413 B3 93.3500 3,472,000.00 PrivateGALAPG Float 06/15/21EK2868538 B3 99.1420 2,000,000.00 PrivateTRVLEX 8 05/15/22 CORPAN3183315 B3 98.4640 1,500,000.00 PrivateVERISR 5 3/4 12/01/23AP9711718 Caa1 94.5240 4,350,000.00 B-VRXCN 4 1/2 05/15/23 CorpEK7990790 Caa1

Excess CCC/Caa Adjustment AmountPercentAmountDescription

CCC/Caa Excess

Collateral Principal Amount 411,365,816.42

CCC/Caa Threshold 30,852,436.23 7.50%

Fitch CCC Obligations(a) 19,346,572.16 4.70%

Moody's Caa Obligations(b) 25,287,730.40 6.15%

CCC/Caa Excess 0.00 0.00%

Excess CCC/Caa Adjustment Amount

CCC/Caa Excess(a) 0.00

CCC/Caa Market Value(b) 0.00

Excess CCC/Caa Adjustment Amount 0.00


of 56

Calculation Amount

Fitch Collateral

Value

Moody's Collateral

ValueMarket Value

Fitch Recovery

Rate

Moody's Recovery

RatePrincipal BalanceNo. of DaysDate of EventSecurity NameSecurity I.D.


31-May-1816-Jul-1816-Apr-18

Defaulted Obligations and Deferring Securities


Totals: 0 0.00 0.00


of 56

% of CPACalculation AmountPurchase PricePrincipal BalancePurchase DateSecurity NameSecurity I.D.


31-May-1816-Jul-1816-Apr-18

Discount and Swapped Non-Discount Obligations


Totals: 0 0.00 0.00 0.00 %


of 56

Principal BalanceNumber of UnitsAsset TypeSecurity NameSecurity I.D.


31-May-1816-Jul-1816-Apr-18

Collateral Enhancement Obligations and Exchanged Equity Securities


Totals: 0


of 56

Principal BalanceFitchMoody'sSelling InstitutionSecurity NameSecurity I.D.

Counterparty Ratings


31-May-1816-Jul-1816-Apr-18

Participation Information


Totals: 0 -


of 56

Maturity Date


31-May-1816-Jul-1816-Apr-18

Restructured Obligations - Additions


Security I.D. Security Name Obligor Name Restructuring Date Par AmountAsset Type

BL0505992 Amaya 3/18 (EUR) Cov-Lite Secured Senior Loan06-Apr-18 888,578.70 07-Apr-25

BL0505992 Amaya 3/18 (EUR) Cov-Lite Secured Senior Loan06-Apr-18 1,264,249.96 07-Apr-25

BL0505992 Amaya 3/18 (EUR) Cov-Lite Secured Senior Loan06-Apr-18 2,557,796.59 07-Apr-25

BL0497141 Euro Garages T/L B1 EG Group Limited Secured Senior Loan10-Apr-18 366,972.48 07-Feb-25

BL0507519 Averys T/L B (04/18) Averys Secured Senior Loan25-Apr-18 900,000.00 25-Jul-24

BL0515819 Rodenstock German Eyewear B2 Rodenstock Secured Senior Loan15-May-18 2,000,000.00 30-Jun-21

BL0511230 Stada/Nidda T/L C Nidda Bondco GMBH Secured Senior Loan29-May-18 2,223,917.81 21-Aug-24

AS3234836 TEVA 4 1/2 03/01/25 Corp Teva Pharmaceutical Finance Netherlands II BV Unsecured Senior Obligation30-May-18 1,150,000.00 01-Mar-25

Totals: 11,351,515.54 8


of 56


31-May-1816-Jul-1816-Apr-18

Restructured Obligations - Removals


Security I.D. Maturity DateSecurity Name Obligor Name Restructuring Date Par AmountAsset Type

888,578.70 01-Aug-2106-Apr-18 Secured Senior LoanAMAYA GAMING GROUP INC.Amaya Initial 2017 Euro Term Loan (NEW)BL0459448 1,264,249.96 01-Aug-2106-Apr-18 Secured Senior LoanAMAYA GAMING GROUP INC.Amaya Initial 2017 Euro Term Loan (NEW)BL0459448 2,557,796.59 01-Aug-2106-Apr-18 Secured Senior LoanAMAYA GAMING GROUP INC.Amaya Initial 2017 Euro Term Loan (NEW)BL0459448

366,972.48 07-Feb-2510-Apr-18 Secured Senior LoanEG Group LimitedEuro Garages T/L B2BL0498628 900,000.00 25-Jul-2425-Apr-18 Secured Senior LoanAverysAverys T/L B NewBL0474835

2,000,000.00 30-Jun-2115-May-18 Secured Senior LoanRodenstockRodenstock T/L B extBL0374290 2,223,917.81 21-Aug-2429-May-18 Secured Senior LoanNidda Bondco GMBHStada/Nidda T/L B1BL0481293 1,150,000.00 01-Mar-2530-May-18 Unsecured Senior ObligationTEVA 4 1/2 03/01/25 CorpAR5377015

Total: 8 11,351,515.54


of 56

Security Name

Moody's Default Probability Rating Moody's Rating Fitch Rating

Security I.D. Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status


31-May-1816-Jul-1816-Apr-18

Rating Detail


A&O Hotels T/L B (12/17) (Alpha Group)BL0494205 B2 B2 B2 B2 B BB2 B2 B

AAFFP 4 10/01/23 CorpAP4112011 B3 B3 B3 B3 B BB3 B3 B

AAFFP Float 10/01/23 CorpAP4112110 B3 B3 B3 B3 B BB3 B3 B

Action Holding Term BBL0500688 B1 B1 B1 B1 B+ B+B1 B1 B+

Aenova - TemmlerBL0388134 B3 Caa2 B2 Caa1 - - PCaa2 Caa1 -

Aenova Term LoanBL0380917 B3 Caa2 B2 Caa1 - - PCaa2 Caa1 -

ALGSCO 6 1/2 02/15/23AQ9276686 B2 B2 B2 B2 B BB2 B2 B

ALGSCO Float 02/15/23AQ9276082 B2 B2 B2 B2 B BB2 B2 B

ALL 3 Media Second LienBL0375586 B3 B3 Caa2 Caa2 - - PB3 Caa2 -

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

Alstom (Arvos) T/L B2BL0466179 B3 B3 B2 B3 - - PB3 B3 -

ALTICE 5 1/4 02/15/23EK7170955 B1 B1 B1 B1 - - PB1 B1 -

Altran T/L (EUR)BL0496259 Ba2 Ba2 Ba2 Ba2 BB BBBa2 Ba2 BB

Apcoa Term Loan BBL0459729 B1 B1 B1 B1 B B+B1 B1 B+

Archroma New T/L B1BL0473399 B2 B2 B1 B1 - - PB2 B1 -

ARWLN Float 03/01/26AR5972492 Ba3 Ba3 Ba2 Ba3 BB- - PBa3 Ba3 BB-

AUTODI Float 05/01/22AL0700735 B2 B2 B2 B2 - - PB2 B2 -

Avantor Performance Materials EUR T/LBL0482481 B3 B3 B2 B2 B BB3 B2 B

Averys T/L B (04/18)BL0507519 B2 B2 B2 B2 - - P-

Azelis Finance NEW T/L (EUR)BL0487472 B3 B3 B2 B2 - - PB3 B2 -

BALTAL 7 3/4 09/15/22UV3539714 Caa3 B1 Caa3 B1 - - PB1 B1 -

Beauty Holding New T/L B1 (formerly B15)BL0475881 B2 B2 B1 B1 - - PB2 B1 -








Belron T/L BBL0485260 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -

BOPRLN 4 3/8 07/15/21 CORPEK3486827 B2 Caa1 B2 Caa1 - - PB3 B3 -

CABBCO 5 1/4 06/15/21EK2997865 B3 B3 B2 B2 - - PB3 B2 -

CABBCO 6 7/8 06/15/22EK2998228 B3 B3 Caa1 Caa1 - - PB3 Caa1 -

CARLTV Float 06/15/23AL5725323 B2 B2 B2 B2 - - PB2 B2 -

Catalent Pharma T/L B EURBL0373078 B2 B1 Ba3 Ba3 - - PB1 Ba3 -

CBRFHG 5 1/8 10/01/22 CorpAP7256179 B2 B2 B2 B2 - - PB2 B2 -

CCP Lux Holding T/LBL0499444 B3 B3 B2 B2 B- - P

CDS Holdco M7 Facility FBL0494411 B2 B2 B2 B2 - - PB2 B2 -

CGGFP 7 7/8 05/01/23AS1215506 Caa3 B3 Caa3 B2 B- B-Chemours Company T/L B1BL0462673 Ba3 Ba2 Ba1 Baa3 - - PBa2 Ba1 -

Asset Status Legend: NPS DEF

CW+CW-- Notched / Implied Rating

- Private Rating- Shadow Rating

- Credit Watch with positive implications- In Default

- Credit Watch with negative implications


of 56

Security Name




31-May-1816-Jul-1816-Apr-18

Rating Detail


Coherent Holding T/L BBL0435521 Ba2 Ba1 Ba2 Ba1 - - PBa1 Ba1 -

Compass IV T/L B1 (Wyndham) (EUR)BL0509895 B3 B3 B2 B2 B- - P

Coty T/L B (EUR)BL0504805 Ba3 Ba3 Ba2 Ba2 BB+ BB-CPA Global T/L B1BL0482861 B3 B3 B1 B1 - - PB3 B1 -

Crown Holding T/LBL0496069 Ba2 Ba2 Baa2 Baa2 - - P-

CSTM 4 5/8 05/15/21EK2376680 B3 B3 Caa1 B3 - - PB3 B3 -

CTC AcquiCo (CeramTec) T/L B1BL0490229 B3 B3 B2 B2 B BB3 B2 B

De Master Blenders T/L A3 (Jacobs Douwe Egberts)BL0446643 Ba2 Ba2 Ba2 Ba2 - - PBa2 Ba2 -

De Master Blenders T/L A4BL0447138 Ba2 Ba2 Ba2 Ba2 - - PBa2 Ba2 -

DE Master Blenders T/L B NewBL0467060 Ba2 Ba2 Ba2 Ba2 - - PBa2 Ba2 -

Deoleo 2nd LienBL0375016 B2 Caa1 B3 Caa3 - - PCaa1 Caa3 -

Deoleo Term LoanBL0375008 B2 Caa1 B2 Caa1 - - PCaa1 Caa1 -

Dexko 1/18 New T/L B1BL0495988 B2 B2 B1 B1 - - PB2 B1 -

Dexko 1/18 New T/L B2BL0496358 B2 B2 B1 B1 - - PB2 B1 -

Dexko T/L Additional B-1BL0496440 B2 B2 B1 B1 - - P-

Dexko T/L Additional B-2BL0496457 B2 B2 B1 B1 - - P-

Diebold Nixdorf T/LBL0467557 Ba3 B1 Ba2 B1 - - PB1 B1 -

DomusVI (HomeVI) Term Loan BBL0483760 B1 B1 B2 B2 - - PB1 B2 -

EAGRUY 5 3/8 05/01/23 CORPAS1592433 Caa3 B1 Caa3 B1 B- BECPG Float 11/15/21QJ5428983 B2 B2 B2 B2 - - PB2 B2 -

EIRCMF 4 1/2 05/31/22LW3429476 B2 B1 B2 B1 B B+B1 B1 B+

Eircom Holdings (NEW)BL0459745 B1 B1 B1 B1 B+ B+B1 B1 B+

Element Materials Technology Term LoanBL0469132 B2 B2 B1 B1 - - PB2 B1 -

Endemol Euro T/L (1st Lien)BL0380925 Caa1 Caa1 B3 B3 - - PCaa1 B3 -

ERM T/L B2BL0373383 B2 B3 B1 B2 - - PB3 B2 -

Euro Garages T/L B1BL0497141 B2 B2 B2 B2 B- BB2 B2 B

Euro Garages T/L B3BL0498636 B2 B2 B2 B2 B BB2 B2 B

Exact Term Loan BBL0491391 B2 B2 B2 B2 B BB2 B2 B

Excelitas New T/LBL0487944 B3 B3 B2 B2 - - PB3 B2 -

Exopack (Coveris) EUR Term LoanBL0436677 B3 B3 B2 B3 - - PB3 B3 -

Flint Group TL 1LBL0372997 B2 B3 B2 B3 - - P-

Flint Group TL 2LBL0373086 B2 B3 Caa1 Caa2 - - PB2 Caa1 -

Flint Incremental T/L B6BL0461659 B3 B3 B3 B3 - - P-

Flint Incremental Term Loan B7BL0461667 B2 B3 B2 B3 - - PB2 B2 -

Flint T/L B-3BL0401051 B2 B3 B2 B3 - - P-

Flint Term Loan B4BL0417594 B2 B3 B2 B3 - - P-

Flint Term Loan B5BL0455925 B2 B3 B2 B3 - - P-

GALAPG 5 3/8 06/15/21EK2868413 B2 Caa1 B1 B3 - - PCaa1 B3 -

GALAPG Float 06/15/21EK2868538 B2 Caa1 B1 B3 - - PCaa1 B3 -

Gates Global B2 T/LBL0489585 B2 B2 B1 B1 - - P-







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Security Name




31-May-1816-Jul-1816-Apr-18

Rating Detail


GCLIM Float 11/15/21AL0882525 B2 B2 B2 B2 - - PB2 B2 -

GFKLDE 7 1/2 08/01/22AF2808703 B2 B2 B2 B2 B BB2 B2 B

GFKLDE Float 09/01/23AQ7881479 B2 B2 B2 B2 B BB2 B2 B

GHD Term LoanBL0379745 B2 B2 B2 B2 - - PB2 B2 -

Global Blue T/L B (New)BL0484024 B1 B1 B1 B1 - - PB1 B1 -

GVC Holdings 3/18 (Eur) TLBBL0503138 Ba2 Ba2 Ba2 Ba2 BB+ BB+HTZ 5 1/2 03/30/23AR6029524 B2 B2 B3 B3 B - PB2 B3 B

I-Logic Technologies (Dealogic) EUR T/LBL0494403 B3 B3 B3 B3 - - PB3 B3 -

Imagina T/L BBL0514606 B1 B1 Ba3 Ba3 BB- BB-Indivior T/L B EURBL0493116 B3 B3 B3 B3 B- - PB3 B3 B-

Ineos Styrolution TL B New 11/17BL0487464 Ba2 Ba2 Ba2 Ba2 - - PBa2 Ba2 -

Ineos T/L B 2024BL0485732 Ba2 Ba2 Ba1 Ba1 BB+ BB+Ba2 Ba1 BB+

Infor (Lawson) T/L B2BL0489593 B3 B3 B1 B1 B BB3 B1 B

Informatica New TLBL0496077 B3 B2 B2 B1 - - PB3 B2 -

Ion Trading Euro T/L BBL0487969 B2 B2 B2 B2 B BB2 B2 B

Keter Group TL BBL0441503 B2 B2 B2 B2 - - PB2 B2 -

Keter T/L B3 NewBL0501900 B2 B2 B2 B2 - - PB2 B2 -

Kinetic Concepts (Acelity) T/L BBL0454340 B2 B2 B1 B1 - - PB2 B1 -

LABFP 6 1/4 07/01/22 CorpEK9755621 Caa3 B2 Caa3 B2 B- BB2 B2 B

LOXAM 3 1/2 04/15/22AN0218338 B2 B2 B2 B2 - - PB2 B2 -

LOXAM 4 1/4 04/15/24AN0756907 B2 B2 B2 B2 - - PB2 B2 -

MacDermid T/L C5BL0466245 B2 B2 B2 B2 - - PB2 B2 -

Macdermid T/L C6BL0482572 B2 B2 B2 B2 - - PB2 B2 -

MAXDIY 6 1/8 07/15/22AO2985171 B2 B2 B2 B2 - - PB2 B2 -

MCLIM Float 02/15/23AM3527430 B2 B2 B2 B2 - - PB2 B2 -

Micro Focus T/L B3BL0465502 B1 B1 B1 B1 - - PB1 B1 -

Misys Term B Eur LoanBL0467474 B3 B3 B2 B2 BB- BB-B3 B2 BB-

MRH EUR T/L B4BL0472177 B1 B1 B1 B1 - - PB1 B1 -

Navira Float 11/15/24 CorpAP9769369 B1 B1 B1 B1 - - PB1 B1 -

Nets TL B1EBL0489726 B2 B2 B1 B1 B+ B+B2 B1 B+

NEXICP Float 05/01/23 CorpAS4429807 B1 B1 B1 B1 B+ B+NH Hotels 10/1/2023QZ6609874 B2 B1 Ba3 Ba3 B B+B2 Ba3 B+

Nielsen Finance T/L B2 (VNU) EURBL0370520 Ba3 Ba3 Ba2 Ba1 - - PBa3 Ba1 -

OGF T/L B (03/17)BL0462343 B2 B2 B2 B2 - - PB2 B2 -

Orion Engineered New T/L 10/17BL0467078 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -

Paysafe TL B2 (PI UK HoldCo II)BL0487845 B2 B2 B1 B2 - - PB2 B1 -

Pfleiderer T/L B (PCF GmbH)BL0462954 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -

PortAventura T/L BBL0471468 B2 B2 B2 B2 - - PB2 B2 -

Quintiles IMS T/L B-1 (EUR)BL0459026 Ba2 Ba2 Ba1 Ba1 - - PBa2 Ba1 -

R&R Ice Cream Froneri 1/18 (EUR) Cov-LiteBL0498529 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -







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Security Name




31-May-1816-Jul-1816-Apr-18

Rating Detail


Refresco T/L BBL0493082 B2 B2 B1 B1 B BB2 B1 B

RESIDO 3 3/8 10/15/24 CorpAP4178046 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -

Roy Bidco T/L B1 (Faerch Plast)BL0475576 B3 B3 B2 B2 - - PB3 B2 -

SIG Combibloc T/L NewBL0483604 B2 B2 B1 B1 - - PB2 B1 -

Solenis Add-on T/LBL0426223 B3 B3 B2 B2 - - P-

Solenis Term LoanBL0377871 B3 B3 B2 B2 - - P-

Springer Science T/L B12BL0478133 B2 B1 CW+ B2 B2 CW+ - - PB2 B2 -

Stada/Nidda T/L B1BL0481293 B2 B2 B2 B2 B+ B+Stada/Nidda T/L B2BL0482440 B2 B2 B2 B2 B+ B+B2 B2 B+

Stada/Nidda T/L CBL0511230 B2 B2 B2 B2 B+ B+STADAH 3 1/2 09/30/24AP1725724 B2 B2 B2 B2 B+ B+B2 B2 B+

Swissport T/L B (New)BL0476707 B3 B3 B1 B2 - - PB3 B2 -

SWPORT 6 3/4 12/15/21AO7070870 B3 B3 B1 B2 - - PB3 B2 -

TAKKO 5 3/8 11/15/23 CorpAP7037959 B2 B2 B2 B2 - - PB2 B2 -

TAKKO Float 11/15/23 CorpAP7037587 B2 B2 B2 B2 - - PB2 B2 -

TCGLN 3 7/8 07/15/23AQ2344770 B1 B1 B1 B1 B+ B+B1 B1 B+

TCGLN 6 1/4 06/15/22AL4586353 B1 B1 B1 B1 B B+B1 B1 B+

Technicolor T/L B NewBL0449365 Ba3 B1 Ba3 B1 - - PB1 B1 -

Tekni Plex T/LBL0483703 B3 B3 B2 B2 B - PB3 B2 B

Tele Columbus T/L ABL0409583 B2 B2 B2 B2 AAA BB2 B2 B

TEVA 4 1/2 03/01/25 CorpAS3234836 Ba2 Ba2 Ba2 Ba2 BB BBThom Europe T/L BBL0475014 B2 B2 B2 B2 - - PB2 B2 -

TITANL Float 04/15/23AR8132318 B3 B3 Caa3 B3 B- BB3 B3 B

TRVLEX 8 05/15/22 CORPAN3183315 Caa3 B3 Caa3 B3 - - PB3 B3 -

Unifrax Term Loan B newBL0402638 B2 B2 B2 B2 - - PB2 B2 -

Unit 4 T/L B1BL0360596 B2 B2 B1 B2 - - PB2 B2 -

Verallia T/L B4BL0470056 B1 B1 B1 B1 - - PB1 B1 -

VERISR 5 3/4 12/01/23AP9711718 B2 B2 Caa1 Caa1 - - PB2 Caa1 -

Verisure T/L B1-EBL0469421 B2 B2 B1 B1 - - PB2 B1 -

Veritas New T/L B1BL0472474 B3 B3 B2 B2 - - PB3 B2 -

VERITS 7 1/2 02/01/23JV8940480 B2 B3 B1 B2 - - PB3 B2 -

VRDLN 4 09/15/25AP1066459 B1 B1 B1 B1 B+ B+B1 B1 B+

VRXCN 4 1/2 05/15/23 CorpEK7990790 Ba3 B3 B1 Caa1 BB- B-B3 Caa1 B-

VUECIN Float 07/15/20EJ7472784 B2 B2 B2 B2 - - PB2 B2 -

VWR 4 3/4 10/01/24AP2848038 B3 B3 B2 B2 B BB3 B2 B

Wall Street Systems T/L New BBL0487514 B2 B2 B2 B2 - - PB2 B2 -

WFSGLB 9 1/2 07/15/2022 CORPEK9787152 Caa3 B3 Caa3 B3 - - PB3 B3 -

WINTRE Float 01/20/24 CorpAP6379337 B1 B1 B1 B1 B+ B+B1 B1 B+

WMG 4 1/8 11/01/24QZ8434958 B1 B1 Ba3 Ba3 - - PB1 Ba3 -

Xella T/L BBL0454613 B2 B2 B2 B2 - - PB2 B2 -







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Security Name




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Rating Detail


Xella TL B2BL0481814 B2 B2 B2 B2 - - PB2 B2 -

Totals: 161







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Security Name

Moody's Fitch

Security ID


31-May-1816-Jul-1816-Apr-18

Rating Change History


Action DateCurrPrior Action DateCurrPrior

Flint Group TL 1LBL0372997 B2 B3 09-May-18 DNG

Flint Group TL 2LBL0373086 B2 B3 09-May-18 DNG

Flint T/L B-3BL0401051 B2 B3 09-May-18 DNG

Flint Term Loan B4BL0417594 B2 B3 09-May-18 DNG

Flint Term Loan B5BL0455925 B2 B3 09-May-18 DNG

Flint Incremental T/L B6BL0461659 B2 B3 09-May-18 DNG

Flint Incremental Term Loan B7BL0461667 B2 B3 09-May-18 DNG

Springer Science T/L B12BL0478133 B2 B2 27-Apr-18 CW+

Informatica New TLBL0496077 B3 B2 29-May-18 UPG

BOPRLN 4 3/8 07/15/21 CORPEK3486827 B3 Caa1 18-Apr-18 DNG

NH Hotels 10/1/2023QZ6609874 B2 B1 11-May-18 UPG

11Totals:


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Security Name

Moody's Fitch

Security ID Prior Prior Date Curr Curr Date Prior Prior Date Curr Curr Date


31-May-1816-Jul-1816-Apr-18

Rating Change History - Shadow/Private


Diebold Nixdorf T/LBL0467557 Private Private-104-Apr-16 05-Apr-18

Endemol Euro T/L (1st Lien)BL0380925 Private Private+116-May-17 09-May-18

LOXAM 3 1/2 04/15/22AN0218338 Private Private+120-Mar-17 18-Apr-18

LOXAM 4 1/4 04/15/24AN0756907 Private Private+120-Mar-17 18-Apr-18

Totals: 4


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Nbr Counterparty Short-term Min Result Long-term Min Result

Moody's

Short-term Min Result Long-term Min Result

Fitch


31-May-1816-Jul-1816-Apr-18

Counterparty Ratings


Counterparty Role

Elavon Financial Services DAC AA-F1+A1P-1 1 F1 APASS PASSNP A3N/A PASSAccount Bank

Elavon Financial Services DAC AA-F1+A1P-1 2 F1 APASS PASSNP A3N/A PASSCustodian

2Totals:


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NbrPrimaryType Counterparty

TradeDate

EffectiveDate

TerminationDate

HedgeCharacteristics


31-May-1816-Jul-1816-Apr-18

Hedge Transactions Detail


To From

0Totals:


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31-May-1816-Jul-1816-Apr-18

Stratifications - Countries and Obligors


(Excluding Cash & Eligible Investments)

Distribution of Countries

CountryPrincipalBalance

# ofAssets

% of AggregatePrincipal Balance

25.06 %Germany 50 102,965,795.72

23.77 %U.S. 44 97,665,719.92

13.47 %United Kingdom 24 55,329,231.16

10.78 %France 24 44,303,975.81

10.03 %Netherlands 17 41,204,832.04

3.47 %Spain 8 14,256,204.08

3.23 %Sweden 4 13,250,000.00

2.55 %Switzerland 5 10,488,455.80

2.34 %Ireland 4 9,630,000.00

2.06 %Italy 5 8,450,000.00

1.51 %Luxembourg 1 6,206,487.45

0.69 %Denmark 1 2,822,221.08

0.51 %Belgium 6 2,102,499.99

0.33 %Portugal 1 1,350,000.00

0.12 %Austria 1 487,754.43

0.07 %Czech Republic 1 300,000.00

100.00 %Total 196 410,813,177.48

Distribution of Obligors (10 Largest)

ObligorPrincipalBalance

# ofAssets

% of AggregatePrincipal Balance

Colouroz Midco 11,158,200.32 2.72 % 7

Springer SBM One GmbH 1 9,770,511.07 2.38 %

Garfunkelux Holdco 2 S.A. 8,100,000.00 1.97 % 2

Verisure Holding AB 2 8,050,000.00 1.96 %

Avantor, Inc. 7,943,500.00 1.93 % 2

Emerald 2 Ltd. (Eagle US / Emerald Newco / ERM Canada / ERM 1 7,933,032.04 1.93 %

Veritas US Inc. 7,617,732.56 1.85 % 2

Tipico 1 7,600,000.00 1.85 %

Exopack Holdings S.A. 7,541,620.77 1.84 % 1

Kirk Beauty One GMBH 8 7,385,222.10 1.80 %

20.23 %Total 27 83,099,818.86


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31-May-1816-Jul-1816-Apr-18

Stratifications - Industries


(Excluding Cash & Eligible Investments)

Distribution of Moody's Industry Classifications

IndustryPrincipalBalance

# ofAssets

% of Agg. Prin. Bal.

1.93 %Aerospace & Defense 4 7,946,737.39

2.63 %Automotive 8 10,788,681.83

3.11 %Banking, Finance, Insurance & Real Estate 5 12,768,221.07

7.37 %Beverage, Food & Tobacco 15 30,284,713.20

2.83 %Capital Equipment 7 11,631,481.86

11.55 %Chemicals, Plastics, & Rubber 20 47,429,413.90

3.07 %Construction & Building 5 12,629,917.42

1.90 %Consumer goods: Durable 7 7,790,254.43

0.68 %Consumer goods: Non-durable 3 2,800,000.00

4.06 %Containers, Packaging & Glass 8 16,663,754.17

0.98 %Energy: Electricity 1 4,030,000.00

0.04 %Energy: Oil & Gas 1 150,000.00

2.84 %Environmental Industries 4 11,683,032.04

0.85 %Forest Products & Paper 2 3,500,000.00

13.09 %Healthcare & Pharmaceuticals 28 53,767,519.13

5.27 %High Tech Industries 10 21,649,549.55

7.29 %Hotel, Gaming & Leisure 12 29,956,882.04

2.38 %Media: Advertising, Printing & Publishing 1 9,770,511.07

1.19 %Media: Broadcasting & Subscription 2 4,881,273.92

3.18 %Media: Diversified & Production 4 13,046,572.16

0.24 %Metals & Mining 1 1,000,000.00

7.34 %Retail 23 30,146,453.33

10.38 %Services: Business 15 42,629,743.17

0.49 %Services: Consumer 1 2,000,000.00

1.69 %Telecommunications 4 6,950,000.00

1.76 %Transportation: Cargo 2 7,218,465.80

0.84 %Transportation: Consumer 2 3,450,000.00

1.03 %Utilities: Electric 1 4,250,000.00

100.00 %Total 196 410,813,177.48

Distribution of Fitch Industry Classifications

IndustryPrincipalBalance

# ofAssets

% of Agg. Prin. Bal.

2.14 %Automobiles 4 8,800,000.00

5.23 %Banking and Finance 8 21,468,221.08

6.46 %Broadcasting and Media 7 26,527,797.37

1.93 %Buildings and Materials 5 7,932,355.32

4.11 %Business Services 11 16,889,179.02

0.80 %Cable 1 3,281,273.92

11.96 %Chemicals 21 49,116,663.90

8.00 %Computer and Electronics 11 32,850,247.08

3.76 %Consumer Products 7 15,450,000.00

0.04 %Energy (Oil and Gas) 1 150,000.00

2.32 %Environmental Services 3 9,533,032.04

7.37 %Food, Beverage and Tobacco 15 30,284,713.20

6.56 %Gaming, Leisure and Entertainment 10 26,966,204.08

7.05 %General Retail 21 28,946,453.33

7.29 %Healthcare 16 29,942,601.62

4.60 %Industrial/Manufacturing 14 18,897,382.69

1.79 %Lodging and Restaurants 3 7,340,677.96

4.30 %Packaging and Containers 9 17,663,754.17

0.61 %Paper and Forest Products 1 2,500,000.00

5.80 %Pharmaceuticals 12 23,824,917.51

0.07 %Real Estate 1 300,000.00

1.69 %Telecommunications 4 6,950,000.00

0.63 %Textiles and Furniture 3 2,602,500.00

4.52 %Transportation and Distribution 7 18,565,203.19

0.98 %Utilities (Power) 1 4,030,000.00

100.00 %Total 196 410,813,177.48

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31-May-1816-Jul-1816-Apr-18

Risk Retention


The Collateral Administrator has received written confirmation from the Collateral Manager that:

it continues to hold an initial principal amount representing not less than 5 per cent. of each Class of Notes; and

(i)

it has not sold, hedged or otherwise mitigated its credit risk under or associated with the Retention Notes or the underlying portfolio of Collateral Obligations, except to the extent permitted in accordance with the Retention Requirements.

(ii)


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31-May-1816-Jul-1816-Apr-18

Disclaimer


This report is for the purposes of information only. Certain information included in this report is estimated, approximated or projected and it is provided without any representations or warranties as to its accuracy or completeness and none of the Collateral Administrator, the Trustee, the Issuer or the Collateral Manager will have any liability for estimates, approximations or projections contained herein.

U.S. Bank Global Corporate Trust Services is a trading name of Elavon Financial Services DAC (a U.S. Bancorp group company), registered in Ireland with the Companies Registration Office, Reg. No. 418442.

The liability of the member is limited. United Kingdom branch registered in England and Wales under the number BR009373. Authorised by the Central Bank of Ireland.

Address: U.S. Bank Global Corporate Trust Services, 125 Old Broad Street, Fifth Floor, London EC2N 1AR


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