Fitch CLO Manager Handbook-2016 PDF

CLO Asset Manager Handbook
April 2016 | Fifth Edition

Key Contacts
Fund and Asset Manager Ratings
Alastair Sewell Russ Thomas

Senior Director Director
+44 20 3530-1147 +1 312 368-3189
alastair.sewell@fitchratings.com russ.thomas@fitchratings.com
Structured Credit
Kevin Kendra Matthias Neugebauer Derek Miller

Managing Director Managing Director Managing Director
+1 212 908-0760 +44 20 3530-1099 +1 312 368-2076
kevin.kendra@fitchratings.com matthias.neugebauer@fitchratings.com derek.miller@fitchratings.com
Leveraged Finance
Michael Simonton Michael Paladino Sharon Bonelli
Managing Director Managing Director Senior Director
+1 312 368-3138 +1 212-908-9113 +1 212 908-0581
michael.simonton@fitchratings.com michael.paladino@fitchratings.com sharon.bonelli@fitchratings.com
Business and Relationship Management
Jill Zelter Andrew Cormack Winnie Fong, CFA

Managing Director Senior Director Senior Director
+1 212 908-0774 +44 20 3530-1320 +1 212 908-9139
jill.zelter@fitchratings.com andrew.cormack@fitchratings.com winnie.fong@fitchratings.com
Greg Hiltebrand
Director
+1 312 368-5448
greg.hiltebrand@fitchratings.com
Welcome to the fifth edition of Fitch Ratings’ CLO Asset Manager Handbook. This edition
includes profile reports for 69 CLO managers, with all data and information presented in
a standardized format as of YE15. Managers included in the Handbook provide their data
in recognition of the importance of increasing transparency and comparability in the CLO
market.
Through a combination of key manager facts and attributes — including corporate structure,
key personnel, assets under management and CLOs under management — our profile
reports provide investors with a consistent framework for evaluating and benchmarking
managers against each other. New in this current edition, we present U.S. managers’
self-described risk retention strategies. Additionally, the customary CLOs Under
Management tables now also display CLOs’ anticipated compliance with U.S. risk retention
along with Volcker and CRR compliance status.
In the case of 61 managers, our Fund and Asset Manager Ratings and Structured Credit
teams conducted operational risk assessments and reviewed the managers’ investment
processes. The profile reports for those managers include The Fitch View, which
represents our summary assessment of the managers’ qualifications, strengths, potential
areas of concern and any mitigating factors.
The next edition of the Handbook will be published in 1H17, based on data as of YE16.
If you have any suggestions or comments — or if you are a manager that would like to
participate in the next edition — please email clo.research@fitchratings.com.
Note: CLO managers provided the information contained in their respective profile reports.
All data are as of Dec. 31, 2015 unless otherwise specified. CLOs priced after Dec. 31,
2015 are not listed. Numbers may not add due to rounding.
CLO Asset Manager Handbook i

ii CLO Asset Manager Handbook
Manager Profile
3i Debt Management Group......................................................................................................................................... 5
40|86 Advisors, Inc..................................................................................................................................................... 11
Alcentra...................................................................................................................................................................... 15
Allianz Global Investors.............................................................................................................................................. 21
American Money Management Corporation............................................................................................................... 27
Anchorage Capital Group, L.L.C................................................................................................................................ 31
Apex Credit Partners LLC.......................................................................................................................................... 35
Apollo Global Management, LLC............................................................................................................................... 39
Ares Management LLC.............................................................................................................................................. 45
Arrowpoint Asset Management, LLC.......................................................................................................................... 53
AXA Investment Managers S.A.................................................................................................................................. 57
Babson Capital Management LLC............................................................................................................................. 63
Bain Capital Credit, LP............................................................................................................................................... 69
Ballyrock Investment Advisors LLC............................................................................................................................ 75
BlackRock, Inc............................................................................................................................................................ 79
BlueMountain Capital Management, LLC................................................................................................................... 83
BNP Paribas Investment Partners.............................................................................................................................. 87
Cairn Loan Investments LLP...................................................................................................................................... 91
Carlyle Group, The..................................................................................................................................................... 97
Chenavari Investment Managers............................................................................................................................. 105
CIFC Asset Management LLC.................................................................................................................................. 109
Commerzbank Debt Fund Management ................................................................................................................. 115
CQS Investment Management Limited.................................................................................................................... 119
Credit Suisse Asset Management, LLC.................................................................................................................... 123
Crescent Capital Group LP....................................................................................................................................... 129
Crestline Denali Capital, L.P..................................................................................................................................... 133
CVC Credit Partners, LP.......................................................................................................................................... 137
Fortress Investment Group LLC............................................................................................................................... 143
GLG Partners LP ..................................................................................................................................................... 147
GoldenTree Asset Management, LP........................................................................................................................ 151
GSO / Blackstone Debt Funds Management LLC.................................................................................................... 157
Guggenheim Investments........................................................................................................................................ 165
Halcyon Loan Management LLC.............................................................................................................................. 171
HarbourView Asset Management Corporation......................................................................................................... 175
Highbridge Principal Strategies, LLC....................................................................................................................... 179
Highland Capital Management, L.P.......................................................................................................................... 183
Insight Investment.................................................................................................................................................... 187
Intermediate Capital Group...................................................................................................................................... 191
KKR Credit Advisors (US) LLC................................................................................................................................. 197
Kramer Van Kirk Credit Strategies LP...................................................................................................................... 203
LCM Asset Management LLC.................................................................................................................................. 207
Loomis, Sayles & Company, L.P............................................................................................................................... 213
Marathon Asset Management, LP............................................................................................................................ 217
MidOcean Credit Fund Management LP.................................................................................................................. 221
Monroe Capital, LLC................................................................................................................................................ 225
Neuberger Berman Group LLC................................................................................................................................ 231
NewStar Financial, Inc............................................................................................................................................. 237
NXT Capital Investment Advisers, LLC.................................................................................................................... 243
NYL Investors LLC................................................................................................................................................... 247
Oak Hill Advisors, L.P............................................................................................................................................... 251
Oaktree Capital Management, L.P............................................................................................................................ 257
Och-Ziff Loan Management LP................................................................................................................................ 263
Octagon Credit Investors, LLC................................................................................................................................. 269
Palmer Square Capital Management LLC................................................................................................................ 275
PineBridge Investments LLC.................................................................................................................................... 279
Prudential Fixed Income........................................................................................................................................... 285
Rothschild Group...................................................................................................................................................... 291
Seix Investment Advisors LLC.................................................................................................................................. 297
Silvermine Capital Management LLC....................................................................................................................... 303
Sound Harbor Partners LLC..................................................................................................................................... 309
Sound Point Capital Management, LP..................................................................................................................... 315
Steele Creek Investment Management.................................................................................................................... 321
Symphony Asset Management LLC......................................................................................................................... 325
THL Credit Senior Loan Strategies LLC................................................................................................................... 329
Tikehau Capital Europe Limited............................................................................................................................... 335
Triumph Capital Advisors, LLC................................................................................................................................. 341
Valcour Capital Management LLC............................................................................................................................ 345
Voya Investment Management Co. LLC................................................................................................................... 349
ZAIS Group, LLC...................................................................................................................................................... 355
CLO Asset Manager Handbook iii

iv CLO Asset Manager Handbook
3i Debt Management Group 3
3i Group plc consists of three business lines: private equity, infrastructure and debt management. 3i
Debt Management Group (3iDM) was established in February 2011 following the acquisition of the
Mizuho Investment Management European debt platform; 3iDM’s U.S. operations were established in
August 2012 following a strategic transaction with WCAS Fraser Sullivan. As of Dec. 31, 2015, 3iDM’s
U.S. and European entities had a combined $11.5 billion in global assets under management (AUM).
Manager Profile
Address 16 Palace Street, London, SW1E 5JD, U.K.
60 E. 42nd Street, 41st Floor, New York, NY 10165, U.S.
Website www.3i.com
Year Founded Europe: 2011 (predecessor firm founded 2004)
U.S.: 2012 (predecessor firm founded 2005)
Ownership Structure Multistrategy asset management firm
Parent(s) 3i Group plc
Key Affiliate(s) N.A.
Investment Profile
Global Firm
No. of Employees 46 (29 Europe/17 U.S.)
No. of Portfolio Managers Seven (Three Europe/Four U.S.)
AUM $11.5 Bil.
Leveraged Loans Only

No. of Employees 46 (29 Europe/17 U.S.)
No. of Portfolio Managers Seven (Three Europe/Four U.S.)
AUM $10.5 Bil.
No. of Invested Credits Approximately 550 (220 Europe/330 U.S.)
Credits per Analyst 37
U.S. CLOs (No./AUM) 12/$5.2 Bil.
European CLOs (No./AUM) 17/€4.6 Bil.
U.S. Loans Managed via CLOs 94%
European Loans Managed via CLOs 89%
N.A. – Not applicable.
U.S. CLO Risk Retention Strategy
Preferred Form of Interest Varying on a deal-by-deal basis

Preferred Structure Varying on a deal-by-deal basis
Overall Self-Described Risk Retention Strategy 3iDM is part of the 3i Group plc. The 3i Group is
committed to ensuring that its CLO issuance activity can
continue under current and soon-to-be-implemented
regulatory requirements. 3i Group companies have been
purchasing sufficient equity in 3iDM’s European CLOs to
comply with European risk retention regulations since the
implementation of such regulations in 2013. Starting in
2015, 3i Group companies have begun investing sufficient
capital in 3iDM’s U.S. entity to demonstrate the ability to
comply with U.S. risk retention regulations when they
become effective in December 2016. Although the 3i Group
has been lending risk retention investments in this way,
the debt management team is working with several third-
party investors to establish a risk retention platform that
would combine 3iDM and third-party capital to support risk
retention compliant 3iDM-managed CLO issuance for the
foreseeable future.

3 Global Assets Under Management (As of Dec. 31, 2015)
Global Assets Under Management
($ Bil.)
12
10
8
6
4
2
0
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Breakdown by Asset Type Breakdown by Region

CLOs
Other
1.0%
4.0%
High Yield Bonds
4.1%
U.S.
Europe
48.2%
51.8%
Syndicated
Loans
90.9%
Breakdown by Product Type Breakdown by Investor Type

Managed Other Other
Accounts 4.0% 9.8%
0.2%
Managed
Funds
5.6%
CLO
CLOs
Investors
90.2%
90.2%
Source: 3i Debt Management Group.
6 3i Debt Management Group

U.S. Credit Committee 3
Experience (Years)
Name Title Role Company Industry
John Fraser Managing Partner CIO 11 25
David Endler Portfolio Manager Portfolio Manager 11 19
David Nadeau Portfolio Manager Portfolio Manager 11 24
Matthew Sosland Portfolio Manager Portfolio Manager 11 18
European Credit Committee

Experience (Years)
Jeremy Ghose Managing Partner CEO 10 30
Peter Goody COO COO 8 21
Neil Rickard Head of Credit/Portfolio Head of Credit/Portfolio Manager 10 18
Manager
David Stanbrook Senior Credit Analyst Credit Analyst 5 24
U.S. CLOs Under Management

Portfolio Issue
Balance ($ Mil.) Size ($ Mil.) Compliance
Name Pricing Status Target Current Original Current Volcker CRR U.S. RRa
Fraser Sullivan CLO I 3/06 Called 500 0 500 0 No No No
Fraser Sullivan CLO II 12/06 Amortizing 500 115 500 138 No No No
COA Caerus CLO 12/07 Amortizing 240 163 240 141 No No No
COA CLO Financing 1/09 Called 322 0 262 0 No No No
COA Tempus CLO 4/10 Called 525 0 513 0 No No No
Fraser Sullivan CLO V 2/11 Called 400 0 401 0 No No No
Fraser Sullivan CLO VI 11/11 Called 400 0 409 0 No No No
Fraser Sullivan CLO VII 4/12 Amortizing 450 406 459 380 Yes No No
Jamestown I CLO 11/12 Revolving 450 444 461 461 Yes No No
Jamestown II CLO 2/13 Revolving 500 496 510 510 Yes No No
Jamestown III CLO 12/13 Revolving 501 494 516 516 No No No
COA Summit CLO 3/14 Amortizing 400 337 334 334 Yes No No
Jamestown IV CLO 6/14 Revolving 600 585 618 618 Yes No No
Jamestown V CLO 12/14 Revolving 400 392 411 411 Yes No No
Jamestown VI CLO 2/15 Revolving 750 749 760 760 Yes No No
Jamestown VII CLO 8/15 Revolving 500 501 511 511 Yes No Yes
Jamestown VIII CLO 12/15 Revolving 505 504 504 504 Yes No Yes
Total 7,943 5,186 7,991 5,284
a
Anticipated U.S. Risk Retention compliant. Note: Numbers may not add due to rounding.

3 European CLOs Under Management
Portfolio Issue
Balance (€ Mil.) Size (€ Mil.) Compliance
Name Pricing Status Target Current Original Current Volcker CRR
Harvest I 4/04 Amortizing 500 8 514 60 No No
Petrusse 6/04 Amortizing 292 3 295 27 No No
Alzette 12/04 Called 360 0 362 0 No No
Harvest II 4/05 Amortizing 540 42 540 91 No No
Harvest III 4/06 Amortizing 650 157 650 209 No No
Harvest IV 6/06 Amortizing 750 323 750 355 No No
Garda 1/07 Amortizing 350 126 358 144 No No
Coniston 2/07 Amortizing 400 182 409 198 No No
Harvest V 4/07 Amortizing 632 415 632 451 No No
Axius 10/07 Amortizing 347 162 350 181 No No
Windmill 10/07 Amortizing 500 350 500 368 No No
Harvest VII 9/13 Revolving 300 302 310 310 No Yes
Harvest VIII 2/14 Revolving 412 414 425 425 No Yes
Harvest IX 7/14 Revolving 508 509 525 525 Yes Yes
Harvest X 11/14 Revolving 450 452 467 467 Yes Yes
Harvest XI 3/15 Revolving 400 401 415 415 Yes Yes
Harvest XII 8/15 Revolving 400 401 413 413 Yes Yes
Harvest XIV 11/15 Revolving 400 402 414 414 Yes Yes
Total 8,191 4,647 8,328 5,053
Note: Numbers may not add due to rounding.
Organizational Structure
3i Group plc
100% 100%
Intermediate 3i Debt
3i Subsidiaries Management Ltd
100% 100%
3i Debt 3i Debt
Management US Management
LLC Investments Ltd
3iDM US 3iDM Europe

The Fitch View 3
Key Considerations
●● Established and institutionalized leveraged loan management platform with long track record.
Benefits from the substantial scale and resources of its strong and stable parent, 3i Group plc.
●● Experienced team with a long track record of successful CLO issuance and administration. Senior
management averages 20 years of relevant investment experience and has worked together for
almost a decade.
●● A continuing challenge for 3iDM will be to manage potential conflicts of interest by maintaining
the company’s effective wall of separation between the CLO platform and 3i Group plc’s private
equity business.
Company
●● 3iDM in its current form results mainly from the acquisition of the Mizuho Investment Management
European debt platform in 2011, the acquisition of five European CLOs from Invesco in 2012 and
a strategic U.S.-based transaction with WCAS Fraser Sullivan in 2012.
●● 3iDM (and its predecessors) has been managing European CLOs since 2004 and U.S. CLOs
since 2006. New CLO issuance represents an important part of 3i Group plc’s corporate strategy
to grow third-party income along with loan funds.
●● 3i Group plc has a global presence with three distinct investment businesses: private equity;
infrastructure focused on utilities, transportation and social infrastructure; and debt management.
●● All portfolio management, credit analysis and loan operations functions are conducted
in-house, with non-investment-related functions like human resources, information technology and
back-office operations handled by 3i Group plc.
Investments
●● Focus is on broadly syndicated loans, specifically companies with EBITDA of greater than
$50 million and facilities greater than $300 million, with strong management teams. Predominantly
senior debt.
●● Formalized investment process based on bottom-up fundamental credit selection conducted by
an analyst team organized by sector and geography. Credit analysis formalized in internal ratings
and short memos of sufficient quality.
●● Credit buy and sell decision (and material waivers) approved by investment committee of four.
Minutes of credit committee decision documented.
●● Strong market access capacity via 3iDM’s established position in leveraged loans.
Controls
●● Risk oversight effected via 3i Group plc’s compliance, internal audit and committee structures
(group risk committee, conflict committee and audit and compliance committee).
●● Strong focus on compliance from being publicly listed and registered; Global Investment
Performance Standards compliant.
●● 3iDM has various compliance and governance processes in place to support accuracy of trading,
portfolio management and administration functions.
Operations
●● Operational procedures are sound, supported by fund administration team of four and
industry-standard tools such as Wall Street Office (WSO) for loan/CLO administration.
●● Scalability of processes demonstrated through integration of previously acquired CLOs and new
mandates to 3iDM’s platform.
●● Daily cash and weekly position reconciliations with the trustee.
Technology
●● Appropriate blend of third-party and proprietary systems used, including WSO and Everest,
integrated via a proprietary data warehouse.
●● Technology and systems support is managed and maintained by parent company, which also
provides appropriate disaster recovery services.
●● External data feeds for pricing (Markit and Bloomberg) integrated to WSO and Everest.

3

40|86 Advisors, Inc.
Founded in 1981, 40|86 Advisors, Inc. (40|86) is a wholly owned subsidiary of CNO
Financial Group, Inc. (CNO). As of Dec. 31, 2015, 40|86 had approximately $25.5 billion
4
in assets under management (AUM) across a wide range of fixed-income securities,
including structured finance bonds, investment-grade and high-yield corporate bonds,
bank loans, commercial mortgage loans and government securities. 40|86 mainly serves
insurance companies; it also manages six CLOs that invest in broadly syndicated loans.
Manager Profile
Address 535 N. College Drive, Carmel, IN 46032, U.S.
Website www.4086.com
Year Founded 1981
Parent(s) CNO Financial Group, Inc. (NYSE: CNO)
Key Affiliate(s) CreekSource, LLC
Investment Profile
Global Firm
No. of Employees 75
No. of Portfolio Managers Three
AUM $25.5 Bil.

No. of Employees Five
No. of Portfolio Managers One
AUM $1.9 Bil.
No. of Invested Credits 172a
Credits per Analyst 23a
U.S. CLOs (No./AUM) Six/$1.9 Bil.
European CLOs (No./AUM) Zero/€0
European Loans Managed via CLOs N.A.
a
Leveraged loans only, across all vehicles. N.A. – Not applicable.
Preferred Form of Interest Horizontal interests

Preferred Structure Majority-owned affiliate of manager
Overall Self-Described Risk Retention Strategy 40|86 Advisors’ affiliate, CreekSource, is a capitalized
manager and serves as:
Collateral Manager: anagement fees from collateral
management agreement used to pay sub-advisory fees
and company-related expenses Trade decisions executed
based on information provided by the sub-advisor.
Retention Holder: Minimum equity investment of 5% of
total issuance.
Loan Origination: Maintain 5% minimum of CLO portfolio
sourced from CreekSource. Loans are seasoned for 10
business days and sold at the offer price, with CreekSource
taking price and credit risk origination fee paid by CLO
used to cover trading expenses.
40|86 Advisors, Inc. 11

Global Assets Under Management (As of Dec. 31, 2015)
4 Global Assets Under Management
($ Bil.)
35
30
25
20
15
10
5
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

High
Other
Middle Market Yield
26.8% Other
Loans Bonds
14.4%
6.5% 2.6%
CLOs Europe
0.7% 5.9%
Investment
Syndicated Grade
Loans Bonds
6.7% 40.2%
Structured
Products U.S.
16.5% 79.7%
Note: Other includes municipal bonds, commercial mortgage,
emerging markets, equities, alternatives and cash.

FHLB CNO
CLOs Program HoldCo
7.3% 5.5% 1.3%
CLO
Investors
6.3%
Managed Insurance
Accounts 85.9%
92.7% FHLB – Federal Home Loan Banks.
Source: 40|86 Advisors, Inc.
12 40|86 Advisors, Inc.

U.S. Credit Committee
4
Experience (Years)
Eduardo Piedra Vice President Bank Loans and CLOs 8 19
Matt Hall Senior Vice President Head of Credit Research 9 18
Bryan Higgins Associate Vice President Bank Loan Trader 17 17

Portfolio Issue
SERVES 1999-4 8/99 Matured 600 0 600 0 No No N.A.
SERVES 2001-3 6/01 Matured 300 0 300 0 No No N.A.
Fall Creek CLO, Ltd. 9/05 Called 500 0 500 0 No No N.A.
Eagle Creek CLO, Ltd. 2/06 Amortizing 288 58 300 75 No No N.A.
Mill Creek CLO, Ltd. 12/11 Amortizing 270 268 275 275 Yes No N.A.
Sugar Creek CLO, Ltd. 5/12 Revolving 276 276 284 284 Yes No N.A.
Cedar Creek CLO, Ltd. 3/13 Revolving 400 400 413 413 Yes No N.A.
Silver Creek CLO, Ltd. 7/14 Revolving 350 350 363 363 Yes No N.A.
Bean Creek CLO, Ltd 12/15 Revolving 300 201 306 306 Yes No N.A.
Total 3,284 1,552 3,341 1,715
a
CNO Financial Group
40|86 Advisors CreekSource
Washington Bankers Life and Colonial Penn Life

National Casualty Company Insurance Company
40|86 Advisors, Inc. 13

The Fitch View
4 Key Considerations
●● Benefits from support and resources of its parent company, CNO.
●● Robust oversight and control environment.
●● Experienced structured vehicle issuer, having managed 16 CDOs/CLOs since 1996.
●● Committee process is ad hoc rather than formalized. However, investment approval typically
requires unanimous consent from team members.
Company
●● 40|86 is the investment arm and wholly owned subsidiary of CNO, a publicly traded insurance
company with approximately $25.5 billion in AUM as of Dec. 31, 2015.
●● In anticipation of upcoming CLO risk retention rules, CNO has formed CreekSource, LLC, a
majority-owned affiliate, alongside 40|86, to hold the retention interest (CLO equity) and related
payments on future CLOs. CreekSource, LLC is wholly owned by affiliates of CNO.
●● Senior members of the bank loan team average 17 years of industry experience. CLO platform
head Eduardo Piedra has eight years of direct CLO management experience, in addition to
broader bank loan experience.
●● The CLO platform is a cooperative effort primarily involving the bank loan group, credit research,
operations and IT resources.
Investments
●● The bank loan team has four members dedicated to bank loan trading and management of the
CLO portfolios.
●● Credit research has 10 members covering an average of 28 high-yield credits and 51
investment-grade credits.
●● Prescreened investments undergo a three-stage analytical process consisting of industry,
company and capital structure analyses, followed by an ad hoc committee process.
●● Portfolio credit scoring model is based on a three-tier system designed to capture obligor
performance volatility.
●● The team has four specialists dedicated to working out distressed credits.
●● The loan portfolio has experienced an annualized default rate of 2.0% since 2008.
Controls
●● Strong oversight provided by parent CNO, including annual internal audits and risk assessments
of all essential investment management functions.
●● 40|86 has been an SEC-registered investment adviser since 1982. An SEC review was conducted
in February 2012; no material findings were reported.
●● The firm monitors indenture compliance daily to review any issues from the previous day’s trading.
Operations
●● Procedures for trade settlement and cash flow and holdings reconciliation with CLO trustees are
comprehensive and conducted by a dedicated operations team.
●● Portfolios are priced daily through Markit Loan Pricing, and Intex is used to model and project
cash flows.
●● Timely trade settlement is a high priority for the operations team. 40|86 currently averages between
four and 15 business days to settlement for par loans.
Technology
●● Disaster recovery and business continuity plans are well documented and tested quarterly.
●● The IT platform is fully integrated through central databases where portfolio records, analytics and
live market data are stored.
●● 40|86 has access to multiple third-party analytical tools, including Intex, Yield Book, IDC, Markit
and rating agency data feeds and research subscriptions.
14 40|86 Advisors, Inc.

Alcentra
Alcentra NY, LLC and Alcentra Ltd. (together, Alcentra) are wholly owned subsidiaries
of The Bank of New York Mellon Corporation (BNY). Alcentra is a specialist manager
of sub-investment-grade debt; it manages strategies across senior-secured loans,
high-yield bonds, structured credit, direct lending, special situations and multistrategy
A
credit. As of Dec. 31, 2015, Alcentra had approximately $27.8 billion in assets under
management (AUM), including approximately $11.8 billion in CLO assets.
Manager Profile
Address 10 Gresham Street, London EC2V 7JD, U.K.
200 Park Avenue, New York, NY 10166, U.S.
Website www.alcentra.com
Year Founded 2006 (Alcentra NY, LLC – U.S. operations)
2002 (Alcentra Ltd. – European operations)
Parent(s) The Bank of New York Mellon Corporation
Investment Profile
Global Firm
No. of Employees 128
No. of Portfolio Managers Nine
AUM $27.8 Bil.

No. of Portfolio Managers Two
AUM $19.9 Bil.
No. of Invested Credits 523
Credits per Analyst Approximately 25
Preferred Form of Interest Vertical interests

Overall Self-Described Risk Retention Strategy With the introduction of risk retention rules in Europe in 2013,
Alcentra NY’s affiliate, Alcentra Ltd., has taken 5% vertical
strips in its five European CLOs. These interests will be held
for the life of the deal. When risk retention becomes required
in the U.S., Alcentra fully expects to achieve compliance
under a similar approach. Ultimately, Alcentra may choose
to finance a portion of the risk retention capital; however, it
is unlikely to be the first to test financing strategies and will
likely wait for confirmation of acceptance of these structures
in both the marketplace and with regulators. Risk retention
compliance is not expected to materially change Alcentra’s
business model or investment strategy.
Alcentra 15

A ($ Bil.)
30
25
20
15
10
5
0
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Special
Situations Multistrategy
CLOs 0.8% 2.8%
13.8%
High Yield U.S.

Bonds Syndicated 47.8% Europe
11.1% Loans 52.2%
58.5%
Middle Market
Loans
12.9%

Managed Other
Accounts 11.2% Endowment
14.9% Insurance 0.3%
4.0%
CLOs
42.4% CLO
Pension/
Investors
Retirement
42.4%
23.3%
Managed
Funds Banks
42.7% 18.7%
Source: Alcentra.

Experience (Years)
Paul Hatfield Global Chief Investment Officer Global Chief Investment Officer 13 30
William Lemberg Managing Director Head of U.S. Loans 8 29
Kevin Cronk Managing Director Head of U.S. Research 3 20
Frank Longobardi Managing Director Deputy Total Return Portfolio Manager 13 19
Edward Vietor Senior Vice President Deputy CLO Portfolio Manager 8 17
16 Alcentra
Experience (Years)
David Forbes-Nixon CEO/Chairman CEO/Chairman 13 29 A
Paul Hatfield Global Chief Investment Officer Global Chief Investment Officer 13 30
Graham Rainbow Managing Director Senior Loan Portfolio Manager 7 23
Kevin Lennon Managing Director Head of European Research 13 26
Joanna Layton Executive Director Deputy Head of European 11 16
Research
Russell Holliday Executive Director Deputy Loan Portfolio Manager 2 15

Portfolio Issue
Pacifica CDO II 7/03 Matured 297 0 302 0 N.P. N.P. N.P.
Pacifica CDO III 5/04 Matured 367 0 375 0 N.P. N.P. N.P.
Veritas CLO Ib 8/04 Called 300 0 308 0 N.P. N.P. N.P.
Pacifica CDO IV 12/04 Called 300 0 310 0 N.P. N.P. N.P.
Prospero CLO Ib 4/05 Amortizing 298 1 306 0 N.P. N.P. N.P.
One Wall Street CLO Ic 11/05 Amortizing 295 1 305 0 N.P. N.P. N.P.
Westwood CDO I 1/06 Amortizing 450 327 463 301 N.P. N.P. N.P.
Pacifica CDO V 1/06 Matured 484 0 500 0 N.P. N.P. N.P.
Veritas CLO IIb 6/06 Amortizing 325 105 334 112 N.P. N.P. N.P.
Pacifica CDO VI 8/06 Amortizing 485 362 500 313 N.P. N.P. N.P.
Prospero CLO IIb 10/06 Amortizing 389 132 402 138 N.P. N.P. N.P.
One Wall Street CLO IIc
3/07 Amortizing 389 104 400 105 N.P. N.P. N.P.
Archstone II 3/07 Called N.P. 0 174 0 N.P. N.P. N.P.
Westwood CDO II 4/07 Amortizing 339 227 350 216 N.P. N.P. N.P.
Shackleton CLO I 9/12 Revolving 391 393 404 400 N.P. N.P. N.P.
Shackleton CLO II 11/12 Revolving 391 393 406 401 Yes N.P. N.P.
Shackleton CLO III 3/13 Revolving 500 503 521 520 Yes N.P. N.P.
Shackleton CLO IV 12/13 Revolving 423 426 439 439 Yes N.P. N.P.
Shackleton CLO V 5/14 Revolving 600 602 627 623 Yes N.P. N.P.
Shackleton CLO VI 7/14 Revolving 500 501 518 518 Yes N.P. N.P.
Shackleton CLO VII 3/15 Revolving 500 501 508 508 Yes N.P. N.P.
Shackleton CLO VIII 8/15 Revolving 430 443 443 443 Yes N.P. N.P.
Total 8,453 5,000 8,895 5,036
Anticipated U.S. Risk Retention compliant. bLegacy Rabobank transaction; acquired by Alcentra in 2009. cLegacy
a
Hamilton Loan Asset Management transaction; acquired by Alcentra in 2008. N.P. – Not provided. Note: Numbers
may not add due to rounding.
Alcentra 17
European CLOs Under Management
Portfolio Issue
A Name Pricing Status Target Current Original Current Volcker CRR
Jubilee CDO I 3/02 Called 540 0 540 0 N.P. N.P.
Jubilee CDO II 6/02 Matured 471 0 471 0 N.P. N.P.
Jubilee CDO III 12/03 Matured 350 0 350 0 N.P. N.P.
Hamlet 3/05 Called 300 0 300 0 N.P. N.P.
Jubilee CDO V 5/05 Amortizing 550 250 550 250 N.P. N.P.
Jubilee CDO IV 7/05 Amortizing 410 93 410 93 N.P. N.P.
Wood Street CLO I 9/05 Amortizing 460 185 460 185 N.P. N.P.
Wood Street CLO II 2/06 Amortizing 400 161 400 161 N.P. N.P.
Wood Street CLO III 5/06 Amortizing 550 316 550 316 N.P. N.P.
Jubilee CDO VI 7/06 Amortizing 400 233 400 233 N.P. N.P.
Jubilee CDO VII 10/06 Amortizing 500 194 500 194 N.P. N.P.
Wood Street CLO IV 12/06 Amortizing 550 306 550 306 N.P. N.P.
Jubilee CDO I-R 3/07 Amortizing 900 768 900 768 N.P. N.P.
Wood Street CLO V 5/07 Amortizing 500 456 500 456 N.P. N.P.
Wood Street CLO VI 8/07 Amortizing 326 282 326 282 N.P. N.P.
Jubilee CDO VIII 12/07 Amortizing 360 306 360 306 N.P. N.P.
ECF Financing CLO B.V. 3/08 Called 380 0 380 0 N.P. N.P.
Jubilee CDO IX a
6/08 Called 372 0 372 0 N.P. N.P.
Silver Birch CLO B.V.b 6/08 Matured 300 0 300 0 N.P. N.P.
Jubilee CLO 2013-X B.V. 7/13 Revolving 400 392 400 392 N.P. Yes
Jubilee CLO XI 1/14 Revolving 413 403 413 403 N.P. Yes
Jubilee CLO XII 7/14 Revolving 513 502 513 502 N.P. Yes
Jubilee CLO XIV 9/14 Revolving 567 550 567 550 N.P. Yes
Jubilee XV 4/15 Revolving 451 450 438 450 N.P. Yes
Jubilee XVI 11/15 Revolving 413 400 413 400 N.P. Yes
Total 11,376 6,247 11,363 6,247
a
Merged into Jubilee CLO 2013-X B.V. bOriginated by West LB; acquired by Alcentra in June 2010. N.P. – Not
provided. Note: Numbers may not add due to rounding.
18
A
The Bank of New York
Mellon Corporation
100%
BNY Alcentra
Group Holdings, Inc.
(Delaware)
100% 100% 100%
Alcentra Asset
Alcentra NY, LLC Alcentra Investments Limited
Management Limited
U.S. Investment Activities Bermuda Investment Activities
European Investment Activities
100%
Alcentra Limited
(U.K. and Wales)
Fund Management Activities
Alcentra 19
The Fitch View
Key Considerations
●● Specialized global credit asset manager with long track record, substantial CLO AUM and
A beneficial support of owner, BNY.
●● Tenured and experienced professional team at all levels, demonstrating stability over time.
●● Retaining sufficient depth of credit resources given the increased workload as Alcentra expands
further into direct lending, which is more credit research intensive, especially during the initial
ramp-up phase of funds.
●● Willingness to continue diversifying Alcentra’s asset base away from CLOs, raising additional
assets and developing new product lines in uncertain market conditions.
Company
●● Established in 2002 via BNY Alcentra Group Holdings, Inc., Alcentra is a specialist sub-investment-
grade asset manager, 100% owned by its parent, BNY.
●● Well capitalized, exhibiting robust financial performance with stable, term-financed asset base.
●● Investment staff averages approximately 14 years of experience, with senior portfolio managers
(PMs) possessing on average over 23 years’ experience.
●● Diversified investor base (across investor types and regions), with good access to loan markets
due to size, track record and experience within the industry.
Investments
●● Two-step credit selection process consisting of a prescreening phase and a full due diligence
phase. Credits are then presented to a credit committee.
●● Credit analysts allocated by sector, region and specialization. All analysts cover across the capital
structure, meaning each analyst covers both high yield and loans.
●● Presence of a dedicated workout specialist and a dedicated in-house lawyer, complemented by
knowledge and experience of senior management and analysts.
●● Relative value assessed through price feeds and judgments, formalized at the credit committee.
●● Position sizing and portfolio diversification are at the discretion of the PM. Sell decisions are
based purely on analysis of the underlying credit and recovery potential.
Controls
●● Monthly credit risk monitoring formalized via credit, liquidity and recovery internal ratings, the
maintenance of a watchlist and quarterly full portfolio reviews.
●● An independent monthly risk committee formalizes the risk management process. The risk
committee discusses all risk and control issues facing the company, projects and funds, and can
escalate issues to the Alcentra Ltd. board.
●● Disciplined committee-based credit process, with PMs taking final investment responsibility.
●● Public/private data issues managed in accordance with defined policies and compliance oversight.
●● Oversight is provided by a team of nine risk and compliance professionals, including a dedicated
risk manager and a chief compliance officer at Alcentra. Alcentra is audited by BNY’s internal audit
function biennially.
Operations
●● Administration based on Wall Street Office (WSO), which benefits from two-way flows to the
front-office system, Everest.
●● Scalability of processes demonstrated through integration of previously acquired CLOs and new
mandates to Alcentra’s platform.
●● Loans are traded by the PM and an experienced trader. Trades have to be reviewed by the
operations team before execution. Aged loan settlements are reviewed and monitored on a
regular basis, with defined escalation procedures.
Technology
●● Everest, the front-office system, integrates the front-to-back-office trading and portfolio
management systems.
●● WSO, the back-office system, is used as a data repository. Intex is used to provide analysis on the
entire European CLO universe.
●● External data feeds for pricing (Markit, IDC) integrated to WSO (via WSO Fax) and Everest.
20 Alcentra
Allianz Global Investors
Allianz Global Investors (AllianzGI) forms part of the broader Allianz Group, which also
includes the PIMCO investment management business. As of Dec. 31, 2015, AllianzGI
had approximately $480 billion in global assets under management (AUM), with a high
A
diversity in both strategies and investor base. The income and growth team is responsible
for overseeing CLOs, in addition to investments in high-yield bonds, fixed income and
equity. The team has issued six CLOs since 2000.
Manager Profile
Address 1633 Broadway, New York, NY 10019, U.S.a
Website www.allianzgi.com
Year Founded 1895 (Allianz SE)
2012 (Allianz Global Investors)

Parent(s) Allianz SE (ultimate parent)
Key Affiliate(s) Refer to Organizational Structure diagram
Investment Profile
Global Firm
No. of Portfolio Managers 51
AUM $480 Bil.

No. of Employees 15
No. of Portfolio Managers Four
AUM $1.6 Bil.
No. of Invested Credits N.P.
Credits per Analyst N.P.
U.S. CLOs (No./AUM) Four/$1.6 Bil.
a
U.S. headquarters. N.P. – Not provided. N.A. – Not applicable.
Preferred Form of Interest Not provided

Preferred Structure Not provided
Overall Self-Described Risk Retention Strategy As with all applicable regulations, AllianzGI intends to fully
comply with all aspects of the final Risk Retention Rule
upon its implementation.
Allianz Global Investors 21


A ($ Bil.)
500
400
300
200
100
0
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

High Yield CLOs Other Other
Bonds 0.3% Structured 6.7%
2.4% Products U.S.
Other 0.8%
2.6% 17.1%
Balanced
Equity 25.0%
34.5%
Fixed
Income Europe
34.3% 76.2%
CLOs
0.3% Insurance
Other 36.7%
51.2%
Other
Managed
46.5%
Funds
53.1%
Pension/
Retirement
CLO Banks 10.7%
Investors 1.0%
0.3%
Note: Other asset type includes infrastructure investments, money market and other alternative. Fixed income
asset type excludes syndicated loans, middle market loans, high yield bonds, investment grade bonds and CLOs.
Source: Allianz Global Investors.
22 Allianz Global Investors

Experience (Years)
William (Brit) L. Stickney Managing Director Lead Portfolio Manager – CLOs 16 26 A
Douglas G. Forsyth Managing Director Portfolio Manager, CIO Fixed Income 21 23
Justin M. Kass Managing Director Portfolio Manager 15 17
Michael E. Yee Managing Director Portfolio Manager 20 21
Note: AllianzGI does not have a regular credit committee. The investment team operates in an open environment,
which results in real-time discussion of credits on a daily basis. All credit decisions are made by the investment
team, and final investment decisions are made by William (Brit) L. Stickney, managing director, portfolio manager.

Portfolio Issue
NACM CLO I 6/06 Called N.P. 0 300 0 No N.P. No
NACM CLO II 9/07 Called N.P. 0 198 0 No N.P. No
West CLO 2012-1 11/12 Revolving 450 408 450 408 Yes N.P. Yes
Total 1,750 1,616 2,248 1,616
a
Anticipated U.S. Risk Retention compliant. N.P. – Not provided. Note: Numbers may not add due to rounding.

A Allianz Group
Allianz Asset Management
PIMCO Allianz Global Investors

Europe Holdings Allianz Global Investors
─ Asia-Pacific Holdings
U.S. Holdings
Locations: France, Frankfurt, ─
─
Munich, Stuttgart, Ireland, Italy, Locations: Australia, China,
Locations: Dallas, New York,
Luxembourg, Netherlands, Hong Kong, Japan, Korea,
San Diego, San Francisco
Portugal, Spain, Sweden, Singapore, Taiwan
Switzerland, U.K.
Allianz Global Allianz Global Allianz Global Investors

Investors U.S. LLC Investors Distributors LLC Fund Management LLC
NFJ Investment
Group LLC

The Fitch View
Key Considerations
●● The company benefits from the substantial scale and resources of its strong and stable parent,
Allianz Group: $1.91 trillion in AUM (including PIMCO and AllianzGI), with a very diversified asset
and investor base.
A
●● The company employs best-in-class risk management and compliance oversight, coupled with
proprietary systems that integrate portfolio management tools, compliance and administrative
functions.
●● Maintaining consistent CLO AUM given runoff of legacy CLOs and challenging market conditions
that affect new CLO issuance will be an ongoing challenge.
Company
●● AllianzGI is a diversified asset manager with a strong global parent.
●● Portfolio managers (PMs) average more than 10 years of experience with the company.
●● The income and growth team, responsible for overseeing CLOs, manages diversified strategies,
including high yield, convertibles, CDOs (it has issued six CLOs since 2000) and traditional
income and growth.
●● Low senior management turnover, as evidenced by PMs on the team with an average of more
than 22 years of industry experience and more than 15 years’ experience working together at
AllianzGI. Four PMs supported by seven generalist research analysts.
●● AllianzGI has a diversified global investor base consisting of both institutional and retail investors.
Investments
●● Buy-and-hold portfolio management strategy, with an underlying investment philosophy based on
fundamental bottom-up research with a focus on minimizing credit risk.
●● The team builds portfolios with a target of holding 100 names, all of equal weighting, focusing on
credit selection in areas it views as having the best earnings visibility.
●● Maintains internal ratings on all credits, based on eight factors: liquidity, capital structure,
percentage of capitalization, asset utilization, coverage ratios, margins, cash flow and leverage
ratios.
●● Portfolios are constructed to consist of equally weighted positions, demonstrating equal conviction
across names.
Controls
●● AllianzGI holds multiple risk monitoring reviews to ensure rule adherence. The culture is strongly
focused on risk management due to the nature of the parent company’s status as a large global
insurer.
●● The company has a deep risk management team, with more than 70 dedicated specialists globally
who average more than 10 years of risk management experience.
●● In addition to the presence of two compliance officers onsite who review all trades, an independent
business risk group focuses on macro-level issues.
●● The company employs additional risk oversight based on the underlying collateral being Global
Investment Performance Standards compliant.
Operations
●● Three-way daily reconciliations are performed to tie out cash and positions among AllianzGI, Wall
Street Office (WSO) and U.S. Bank, as trustee.
●● Quarterly investor reporting includes the trustee report and a quarterly letter featuring market
insight and commentary as well as deal-specific information.
●● Administrative capabilities reflect the highly qualified and experienced staff interacting with
appropriate systems and processes.
Technology
●● The integrated and flexible platform is based on a combination of proprietary Excel-based analytics
and third-party administration systems, including widely accepted industry systems such as WSO.
●● The business continuity plan is appropriate and tested. Multiple redundancies in the Dallas offices,
Citrix, remote access and cloud servers have performed in disaster scenarios.

A

American Money Management Corporation
American Money Management Corporation (AMMC) is a wholly owned subsidiary of
American Financial Group, Inc. (AFG), an insurance holding company based in Cincinnati.
AMMC was established in 1973 to provide investment management services to AFG and A
its subsidiaries as well as third-party pooled investment vehicles. As of Dec. 31, 2015, it
managed approximately $3.8 billion of broadly syndicated loans across nine CLOs.
Manager Profile
Address 301 East Fourth Street, Cincinnati, OH 45202, U.S.
Website N.A.
Year Founded 1973
Ownership Structure Wholly owned subsidiary of American Financial Group, Inc.
Parent(s) American Financial Group, Inc.
Key Affiliate(s) Great American Insurance Company
Great American Life Insurance Company
Investment Profile
Global Firm
No. of Employees 38
AUM $3.8 Bil.

No. of Employees 38
AUM $3.8 Bil.
U.S. CLOs (No./AUM) Nine/$3.8 Bil.
a

Overall Self-Described Risk Retention Strategy Since 2011, AMMC’s insurance affiliates have purchased
debt and equity tranches in AMMC-managed CLOs, with
a typical investment being in excess of 5.0% of each CLO’s
capital structure. While these investments were not specifically
designed to be compliant with the risk retention requirements,
the purchases are similar in type and size to the economic
interest required to be retained under the rules. AMMC and its
affiliates intend to be opportunistic in their retention strategy
based on market conditions and continue to review alternatives
as additional guidance on the rules is issued.
American Money Management Corporation 27

A Global Assets Under Management

($ Bil.)
4
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Breakdown by Asset Type Breakdown by Product Type
Syndicated CLOs
Loans 100.0%
100.0%
Source: American Money Management Corporation.

Experience (Years)
Chester Eng Senior Vice President Portfolio Manager 28 31
Dave Meyer Senior Vice President Portfolio Manager 26 26
28 American Money Management Corporation

Portfolio Issue
Name Pricing Status Target Current Original Current Volcker CRR U.S. RRa A
AMMC CLO IX, Limited 11/11 Amortizing 428 423 450 450 Yes No Yes
AMMC CLO X, Limited 2/12 Revolving 401 399 410 410 Yes No No
AMMC CLO XI, Limited 9/12 Revolving 436 437 450 450 Yes No No
AMMC CLO XII, Limited 3/13 Revolving 400 403 417 417 Yes No No
AMMC CLO XIII, Limited 11/13 Revolving 400 400 411 411 Yes No No
AMMC CLO XIV, Limited 6/14 Revolving 400 400 410 410 Yes No No
AMMC CLO 15, Limited 11/14 Revolving 500 501 501 501 Yes No No
AMMC CLO 16, Limited 4/15 Revolving 500 500 505 505 Yes No Yes
AMMC CLO 17, Limited 11/15 Revolving 352 352 358 358 Yes No Yes
Total 3,814 3,815 3,913 3,893
a
American Financial Group, Inc.
100%
American Money Management Corporation
American Money Management Corporation 29

The Fitch View
Key Considerations
●● Extensive experience and depth of staff at both management and research levels.
A ●● Experienced CLO issuer showing stable performance.
●● Strong commitment to CLO platform from AFG.
●● The CLO compliance system is heavily reliant on manually maintained Excel spreadsheets rather
than more industry-standard web applications. This is mitigated by the long-proven functionality
of the system and the experience and stability of the compliance staff in maintaining and regularly
enhancing it.
Company
●● As of Dec. 31, 2015, AMMC managed approximately $3.8 billion of senior loans across nine
CLOs. It has issued 17 CLOs since 1999.
●● The CLO platform is well staffed at all levels, and the investment team averages 20-plus years
of industry experience. The credit research team has 15 members, including senior managers
Chester Eng and Dave Meyer.
●● AMMC or affiliates typically retain significant portions of equity in their CLOs, ranging between
30% and 51% per deal for more recent transactions.
Investments
●● AMMC’s investment philosophy is value oriented, with a strong emphasis on fundamentals and
experienced sector views.
●● The team focuses primarily on first-lien senior-secured loans and tends to take a buy-and-hold
approach to investments.
●● Analysts are given a great deal of responsibility, forming sector weightings in addition to buy/sell/
hold recommendations.
●● A team-and-consensus approach is employed, wherein input from all analysts, portfolio managers
and traders is considered.
Controls
●● As a wholly owned subsidiary of publicly traded AFG, AMMC is subject to strong internal and
external oversight.
●● AMMC recently completed its SEC investment adviser registration process and will be subject to
periodic reviews.
●● Overall, AMMC operates under a sound control environment, with close oversight by AMMC and
AFG senior management.
Operations
●● AMMC exhibits strong overall CLO administration capabilities, exemplified by the issuance of
17 transactions since 1999. When compared to S&P’s LCD LoanStats, the CLO loan portfolio has
outperformed the market in terms of defaults on an annualized basis since 2000.
●● The CLO team uses proprietary cash flow models and Excel-based models for compliance and
trustee cash/position reconciliation.
●● AMMC provides commentary to its CLO investors on a quarterly basis via its investor letters, in
addition to the monthly trustee reports. Commentary typically outlines portfolio developments, the
current state of the market and ongoing management strategy.
Technology
●● AMMC shares IT resources with AFG.
●● Portfolio management has access to third-party pricing services in addition to Bloomberg and
several industry-level research publication subscriptions.
●● Disaster recovery and business continuity plans are tested frequently, and remote access
capabilities for all employees have been implemented within the past year.
30 American Money Management Corporation

Anchorage Capital Group, L.L.C.
Anchorage Capital Group, L.L.C. (Anchorage) is a New York-based investment advisor
founded in 2003. Its investments include a wide range of both liquid and illiquid assets
across companies’ capital structures. As of Dec. 31, 2015, Anchorage had assets under A
management (AUM) of $15.4 billion in funds and $4.6 billion in CLOs.
Manager Profile
Address 610 Broadway, 6th Floor, New York, NY 10012, U.S.
Website www.anchoragecap.com
Year Founded 2003
Ownership Structure Hedge fund-sponsored credit manager
Parent(s) N.A.
Investment Profile
Global Firm
No. of Portfolio Managers Twoa
AUM $15.4 Bil.b
CLOs Only
No. of Portfolio Managers Twoa
AUM $4.6 Bil.c
U.S. CLOs (No./AUM) Nine/$4.6 Bil.c
U.S. Loans Managed via CLOs N.P.
a
Senior portfolio managers only. bFund AUM includes all pooled investment funds and single-investor funds,
including the market value of direct investments in Anchorage-managed CLOs and CDOs held by such funds. The
market value of any direct investments in CLOs and CDOs managed by Anchorage that are held by Anchorage
funds is included in fund AUM. However, the total AUM of Anchorage CLOs and CDOs is not included in this figure.
c
CLO AUM reflects the notional value of the assets, plus cash, held by Anchorage CLOs and CDOs. Certain notes
issued by Anchorage-managed CLOs and CDOs are owned by Anchorage-managed funds. N.A. – Not applicable.
N.P. – Not provided.

Overall Self-Described Risk Retention Strategy Anchorage is actively exploring different strategies to
address the risk retention rules when they go into effect at
the end of 2016. At this point in time, Anchorage has not
reached any conclusions, but it is evaluating a number of
potential approaches with its legal counsel, accountants
and advisors.
Anchorage Capital Group, L.L.C. 31


A ($ Bil.) Fund AUM CLO AUM
16
14
12
10
8
6
4
2
0
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Anchorage
Commingled Employees
CLOs Fund of 2.3% Insurance
23.4% Funds & Other
9.6% 2.9%
Foundation/
Endowment Pensions
13.6% 40.0%
Managed Institutional
Funds High Net Worth/ Fund of Funds
76.6% Family Office 17.8%
13.9%
Note: Fund AUM includes all pooled investment funds and single-investor funds, including the market value of
direct investments in Anchorage-managed CLOs and CDOs held by such funds. CLO AUM reflects the notional
value of the assets, plus cash, held by Anchorage CLOs and CDOs. Certain notes issued by Anchorage-managed
CLOs and CDOs are owned by Anchorage-managed funds. The market value of any direct investments in CLOs
and CDOs managed by Anchorage that are held by Anchorage funds is included in fund AUM. However, the total
AUM of Anchorage CLOs and CDOs is not included in fund AUM. Breakdown by investor type reflects the investor
composition of all funds managed by Anchorage as of Jan. 1, 2016. It does not reflect the past or current ownership
of Anchorage CLOs and CDOs.
Source: Anchorage Capital Group, L.L.C.
32 Anchorage Capital Group, L.L.C.

CLO Investment Committee
Experience (Years)
Dan Allen President and Investment Committee Member 7 23 A
Senior Portfolio Manager
Michael Aglialoro Senior Loan Trader and Investment Committee Member 11 24
CLO Product Manager
Yale Baron Portfolio Manager, Head of Structured Investment Committee Member 7 18
Credit and Co-Head of CLO
Scott Goodwin Head of Trading and Portfolio Investment Committee Member 5 13
Manager – Performing Credit
Paul Gordon Managing Director Investment Committee Member 4 19
Soo Kim Portfolio Manager – U.S. Real Estate Investment Committee Member 6 12
and Co-Head of CLO

Portfolio Issue
Anchorage Capital 12/12 Revolving 500 502 517 517 Yes No N.P.
CLO 2012-1, Ltd.
CLO 2013-1, Ltd.
CLO 3, Ltd.
CLO 4, Ltd.
CLO 5, Ltd.
CLO 6, Ltd.
CLO 7, Ltd.
Anchorage Credit 5/15 Revolving 525 548 540 540 No No N.P.
Funding 1, Ltd.
Anchorage Credit 12/15 Ramp-up 413 434 418 418 No No N.P.
Funding 2, Ltd.
Total 4,588 4,635 4,734 4,734
a
Fitch Ratings was not provided with an organizational structure diagram.
Anchorage Capital Group, L.L.C. 33

The Fitch View
Key Considerations
●● Strong historical AUM growth and focus on loan asset class across products ensure strong
A resources devoted to CLO platform.
●● Given the size and focus of its flagship credit opportunities fund, not significantly dependent on
future CLO issuance to drive profitability.
●● Compensation structure facilitates communication and sharing of resources across the firm.
●● Further growth of CLO business could be pressured given loan market supply/demand dynamics.
Company
●● Established in 2003, Anchorage manages private investment funds across various markets
globally using both short and long strategies, with a focus on defaulted and leveraged issuers.
●● Headquartered in New York, with additional affiliate offices in London, Sydney and Luxembourg,
Anchorage has 165 employees, 67 of whom are dedicated investment professionals.
●● Anchorage maintains a majority of the equity in all of its CLOs. Compensation is tied to
performance of company as a whole, which fosters a team-oriented approach, organizational
stability and investment decisions geared to long-term performance.
Investments
●● Focus on total return through bottom-up fundamental value investing and opportunistic yet active
portfolio management.
●● The CLO investment committee is chaired by a senior portfolio manager; its six members average
18 years’ experience.
●● Thirty-eight research analysts provide support for all Anchorage funds specifically covering a total
of approximately 150 issuers for the CLOs. Analysts are allocated by sector and are responsible
for making investment recommendations based on credit risk.
●● Credit selection criteria include emphasis on loan to value, downside protection and capital
structure analysis. Anchorage is selective with investments, with a 70% turndown rate.
●● Portfolios typically are more concentrated than industry averages. Credits may be approved on an
equal weight (1.0%), underweight (approximately 0.5%) or overweight (up to 2.5%) basis.
Controls
●● Pre- and post-trade relative-value analysis at trade and portfolio level.
●● Various daily, weekly, monthly and quarterly risk management reporting and oversight functions.
●● Anchorage has compliance and governance processes and policies in place to support accuracy
of trading, portfolio management and administration functions.
●● Compliance team and reporting tools provide good support for risk and control data collection as
well as Anchorage’s reporting capabilities.
Operations
●● Strong and ongoing communication between operations team and trustee.
●● Administrative capabilities reflect highly qualified staff interacting with appropriate systems and
processes.
●● Automated and integrated daily reconciliation of cash and securities with Bank of New York and
U.S. Bank, the trustees, as well as through Front Arena, Wall Street Office (WSO) and CDOnet.
●● Good standard of internal daily, weekly, monthly and quarterly reporting, integrated into work flow
to provide holistic approach to administration.
●● CLO information is accessed by investors through the trustee website.
Technology
●● Dedicated infrastructure team of 68 professionals and an HR, administrative and corporate
accounting team of 30 professionals.
●● Centralized and integrated platform for trading and settlement, portfolio and risk management.
●● Third-party administration systems, including widely accepted industry systems such as Markit
WSO, Intex, Front Arena and Moody’s CDOnet, are employed in addition to proprietary tools.
●● Business continuity plan is appropriate and tested. Data protection platform in Secaucus, NJ.
34 Anchorage Capital Group, L.L.C.

Apex Credit Partners LLC
Apex Credit Partners LLC (Apex) is the successor organization to Jefferies Finance
Asset Management (JFAM). It is wholly owned by Jefferies Finance LLC (JFIN), which, in
turn, is 50% owned by Jefferies Group LLC (Jefferies), a global securities and investment A
banking firm, and 50% owned by Massachusetts Mutual Life Insurance Company
(MassMutual). As of Dec. 31, 2015, Apex had assets under management (AUM) of
$5.0 billion among 12 managed and/or serviced CLOs.
Manager Profile
Address 520 Madison Avenue, 18th Floor, New York, NY 10022, U.S.
Website www.apexcreditpartners.com
Year Founded 2004
Ownership Structure Owned by Jefferies Finance LLC (commercial finance company)
Parent(s) Jefferies Finance LLC

Key Affiliate(s) Jefferies Group LLC
Massachusetts Mutual Life Insurance Company
Investment Profile
Global Firm
No. of Employees 15
AUM $5.0 Bil. (managed and/or serviced)

No. of Employees 15
AUM $5.0 Bil. (managed and/or serviced)
U.S. CLOs (No./AUM) 12/$5.0 Bil. (managed and/or serviced)

Preferred Structure Existing manager as sponsor
Overall Self-Described Risk Retention Strategy JFIN and Apex have historically held a majority of the
subordinated notes.
Apex Credit Partners LLC 35

A 6
($ Bil.)
5
4
3
2
1
0
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Note: Figures prior to 2013 reflect predecessor entity.

Middle
Market Other
Loans 7.6%
13.8%
Syndicated CLOs
Loans 92.4%
86.2%
Source: Apex Credit Partners LLC.

Experience (Years)
David Wells Chief Investment Officer Chief Investment Officer 11 26
Steve Goetschius Managing Director Portfolio Manager 9 31
Andrew Stern Managing Director Portfolio Manager and Head of 3 17
Research
36 Apex Credit Partners LLC

Portfolio Issue
Name Pricing Status

Target Current Original Current Volcker CRR U.S. RRa
A
JFIN CLO 2007 LTD 6/07 Amortizing 400 260 407 256 No No Yes
JFIN CLO 2012 LTD 7/12 Amortizing 300 296 314 308 Yes No Yes
JFIN CLO 2013 LTD 3/13 Revolving 450 451 462 462 Yes No Yes
JFIN Revolver CLO (1) 11/13 Amortizing 390 335 424 370 Yes Yes Yes
JFIN CLO 2014 LTD 3/14 Revolving 510 515 522 522 Yes No Yes
JFIN MM CLO 2014 LTD 3/14 Revolving 300 310 309 309 Yes Yes Yes
JFIN CLO 2014-II LTD 6/14 Revolving 550 553 563 563 Yes No Yes
JFIN Revolver CLO 2014 (1) 7/14 Amortizing 450 451 498 501 Yes Yes Yes
JFIN Revolver CLO 2015 (1) 3/15 Amortizing 400 402 422 423 Yes Yes Yes
JFIN CLO 2015 LTD 3/15 Revolving 500 504 513 513 Yes Yes Yes
JFIN Revolver CLO 2015-II (1) 4/15 Amortizing 150 150 164 164 Yes Yes Yes
JFIN CLO 2015-II LTD 9/15 Revolving 400 403 410 410 Yes Yes Yes
Total 4,800 4,629 5,006 4,799
a
Leucadia National Corporation
100%
Massachusetts Mutual Life Insurance

Jefferies Group LLC
Company
50% 50%
Jefferies Finance LLC
100%
Apex Credit Partners LLC
Apex Credit Partners LLC 37

The Fitch View
Key Considerations
●● Demonstrated individual track records managing CLOs, combined with tenured and experienced
A professional team at all levels.
●● Apex benefits from strong support of its parent company, JFIN, which has a diverse revenue
stream from both underwriting and portfolio management.
●● Protocols are in place to avoid potential of conflicts of interest by maintaining the company’s
effective wall of separation between the asset management group and JFIN’s underwriting and
origination business, as well as rules governing participation in JFIN-underwritten loans.
Company
●● Apex, a registered investment advisor, is the successor organization to JFAM and is wholly
owned by JFIN. JFIN is 50% owned by Jefferies (which itself is owned by Leucadia National
Corporation [Leucadia]) and 50% owned by MassMutual.
●● Jefferies is a global securities and investment banking firm. Leucadia, which merged with Jefferies
in March 2013, is a diversified holding company with investments in a variety of businesses.
●● Apex is the asset management business of JFIN and includes CLO management efforts, with
AUM of $5.0 billion as of Dec. 31, 2015.
●● Credit research has been bolstered by analysts responsible for covering approximately 45 credits
each, based on industry.
Investments
●● The team takes a fundamental, bottom-up, credit-driven approach and typically employs
a buy-and-hold strategy.
●● Fundamental credit view results in strong conviction and a more buy-and-hold investment
strategy.
●● Credit views are supplemented by industry and competitor analysis from Apex’s underwriting and
pricing and relative-value analyses.
●● Surveillance is ongoing and includes daily and weekly reviews of market events, industry updates
and credit events. There are additional monthly reviews of watchlist holdings and formal quarterly
portfolio reviews.
●● Apex and JFIN own a majority of the equity of the CLOs.
Controls
●● Apex’s use of Black Mountain Systems’ Everest platform is supplemented by proprietary systems
to provide credit risk, loan monitoring and pricing services for the firm’s portfolio.
●● Apex performs formal quarterly portfolio reviews, with results reported to the chief risk officer and
board of directors at JFIN.
●● Additional independent oversight and diligence performed by JFIN and its outside auditor
(Deloitte).
Operations
●● Apex has in place daily reconciliation of cash and loans with State Street and US Bank, as
trustee.
●● All portfolio management and credit analysis functions are performed by either Apex or the
trustee. Models are run daily to ensure compliance with CLO tests.
●● Daily internal reconciliation of cash and positions and weekly reconciliation of securities with
custodians and administrators.
Technology
●● Multiple systems used, including Everest, which is customized by Black Mountain Systems for
portfolio management, credit monitoring and trading, with direct feeds from Moody’s, S&P and
Markit.
●● Business continuity plan is adequate and tested, with daily data backup and multiple systems
redundancies leveraging off of JFIN.
38 Apex Credit Partners LLC

Apollo Global Management, LLC
Apollo Global Management, LLC (together with its subsidiaries, Apollo) is a global alternative
investment management company founded in 1990. As of Dec. 31, 2015, the company
had $170 billion in assets under management (AUM), 945 employees and 10 offices A
globally. Apollo’s business is separated into three segments: private equity, real estate and
credit. The U.S. performing credit and European credit groups account for approximately
16% and 3% of total firm AUM, respectively.
Manager Profile
Address 9 West 57th Street, New York, NY 10019, U.S.
Website www.agm.com
Year Founded 1990
Parent(s) N.A.
Investment Profile
Global Firm
AUM $170 Bil.

No. of Employees 30a,b
No. of Portfolio Managers Sevenb
AUM $27 Bil. (global performing credit)
No. of Invested Credits Approximately 600
European CLOs (No./AUM) Three/€1.2 Bil.
a
Investment professionals including portfolio managers. bReflects the number of investment professionals for
performing credit. Non-investment professionals work across the platform. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy Not provided
Apollo Global Management, LLC 39


A ($ Bil.)
180
150
120
90
60
30
0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Breakdown by Product Type
CLOs
Managed 7.9%
Accounts
14.8%
Managed
Funds
46.6%
Other
30.7%
Source: Apollo Global Management, LLC.
U.S. Performing Credit Investment Committee

Experience (Years)
Joseph Moroney Partner Senior Portfolio Manager, Performing 7 22
Credit Group Co-Head
Dana Carey Partner Senior Portfolio Manager, Performing 4 17
James Zelter Senior Partner, CEO Managing Partner and CIO, Credit 10 29
Michael Levitt Senior Partner Vice Chairman, Credit 4 32
Anthony Civale Senior Partner Lead Partner and COO, Credit 17 20
Gregg Stover Portfolio Manager Portfolio Manager, Performing Credit 4 29
David Saitowitz Portfolio Manager Portfolio Manager, Performing Credit 4 16
James Vanek Managing Director Portfolio Manager, Performing Credit 8 15
40 Apollo Global Management, LLC

European Performing Credit Investment Committee
Experience (Years)
Joseph Moroney Partner Senior Portfolio Manager, Performing
7 22 A
Dana Carey Partner Senior Portfolio Manager, Performing 4 17
James Zelter Senior Partner, CEO Managing Partner and CIO, Credit 10 29
Michael Levitt Senior Partner Vice Chairman, Credit 4 32
Anthony Civale Senior Partner Lead Partner and COO, Credit 17 20
Dan Robinson Managing Director Portfolio Manager, Performing Credit 1 17
Jeppe Gregersen Managing Director Portfolio Manager, European Credit 6 16

Portfolio Issue
Gulf Stream-Compass CLO 12/02 Called 295 0 300 0 No No No
2002-I, Ltd.
2003-I, Ltd.
2004-1, Ltd.
Stone Tower CLO II Ltd. 8/04 Called 295 0 300 0 No No No
2005-1, Ltd.
Stone Tower CLO III Ltd. 5/05 Called 684 0 700 0 No No No
Granite Ventures II Ltd. 12/05 Called 350 0 361 0 No No No
2005-II, Ltd.
Stone Tower CLO IV Ltd. 3/06 Called 733 0 750 0 No No No
Granite Ventures III Ltd. 5/06 Called 400 0 412 0 No No No
Gulf Stream-Sextant CLO 8/06 Amortizing 386 0 375 0 No No No
2006-1, Ltd.
Stone Tower CLO V Ltd. 8/06 Amortizing 782 286 800 319 No No No
Gulf Stream-Rashinban 11/06 Amortizing 387 113 400 126 No No No
CLO 2006-I, Ltd.
Rampart CLO 2006-I Ltd. 12/06 Amortizing 600 0 613 0 No No No
Stone Tower CLO VI Ltd. 3/07 Amortizing 976 487 1,000 515 No No No
Gulf Stream-Sextant CLO 5/07 Amortizing 485 256 500 238 No No No
2007-1, Ltd.
Cornerstone CLO Ltd. 7/07 Amortizing 662 349 680 382 No No No
Gulf Stream-Compass CLO 8/07 Amortizing 297 127 300 132 No No No
2007, Ltd.
Stone Tower CLO VII Ltd. 8/07 Amortizing 587 330 600 314 No No No
Rampart CLO 2007 Ltd. 10/07 Amortizing 498 288 507 305 No No No

U.S. CLOs Under Management (continued)
Portfolio Issue
A Name
Neptune Finance CCS, Ltd.
Pricing Status
3/08 Called
Target Current Original Current Volcker CRR U.S. RRa
273 0 263 0 No No No
ALM Loan Funding 2010-1, Ltd. 6/10 Called 325 0 323 0 No No No
ALM Loan Funding 2010-3, Ltd. 12/10 Called 400 0 405 0 No No No
ALM IV, Ltd. 6/11 Called 450 0 461 0 No No No
ALM V, Ltd. 2/12 Revolving 425 0 437 0 N.A. No No
ALM VI, Ltd. 6/12 Revolving 476 481 486 486 N.A. No No
ALM VII, Ltd. 11/12 Revolving 500 507 514 514 N.A. No No
ALM VII(R), Ltd. 9/13 Revolving 700 708 722 719 N.A. No No
ALM VII(R)-2, Ltd. 9/13 Revolving 833 832 857 857 N.A. No No
ALM VIII, Ltd. 12/13 Revolving 907 906 932 932 N.A. No No
ALM X, Ltd. 1/14 Revolving 600 598 609 609 N.A. No No
ALM XIV, Ltd. 7/14 Revolving 700 701 711 711 N.A. No No
ALM XI, Ltd. 9/14 Revolving 1,500 1,506 1,542 1,542 N.A. No No
ALM XII, Ltd. N.A. Revolving 550 551 563 563 N.A. No No
ALM XVI, Ltd. 7/15 Revolving 770 775 786 780 N.A. No No
ALM XVII, Ltd. 12/15 Ramp-up 1,100 1,105 1,112 1,112 N.A. No No
Total 21,169 11,475 21,555 11,760
a
Anticipated U.S. Risk Retention compliant. N.A. – Not available. Note: Numbers may not add due to rounding.

Portfolio Issue
ALME Loan Funding 2013-1, Ltd. 5/13 Called 325 0 334 0 No No
ALME Loan Funding II, Ltd. 7/14 Revolving 374 374 382 382 No Yes
ALME Loan Funding III, Ltd. 12/14 Revolving 400 401 411 411 No Yes
ALME Loan Funding IV B.V. 11/15 Ramp-up 450 422 459 459 No Yes
Total 1,549 1,198 1,586 1,252

Managing 100% of A
Partners LP Units
Class A BRH
Shareholders Holdings, L.P.
GP
BRH Holdings 89.00% of Contributing

GP, Ltd. LP Units Partners
60.92% of 11.00% of
Voting Power GP LP Units
AGM AP Professional
Management, LLC Holdings, L.P.
54.07% of LP Units of
54.07% of LP Units Each Apollo Operating
of Apollo Operating Group Entity
39.08% of Group Units
Voting Power
Apollo Global Management, LLC
45.93% of Apollo Operating Group Units

Intermediate Holding Companies
100% 100% 100% 100% 100%

APO Asset Co., APO UK (FC), APO (FC II),
APO (FC), LLC APO Corp.
LLC LLC LLC
45.93%a 45.93%a 45.93%a 45.93%a 45.93%a
Apollo Operating Group
a
Of the LP units of certain Apollo Operating Group Entities.

The Fitch View
Key Considerations
●● An integrated global research platform, with both dedicated European and U.S. analyst pools,
A gives CLO managers access to industry insights.
●● The formalized investment process ensures a standardized approach to credit selection and
investment, permitting investment through market cycles and across the capital structure.
●● Apollo has a demonstrated track record managing CLOs, as evidenced by continued strong
performance of the ALM CLOs and the acquired Gulf Stream and Stone Tower CLOs.
●● Retention of key staff and ability to preserve the talent pool amid increasing industry competition.
●● Maintaining consistent CLO AUM given evolving market conditions affecting new CLO issuance,
coupled with runoff of legacy CLOs.
Company
●● Established in 1990, Apollo is a publicly listed company with headquarters in New York and
additional offices in Los Angeles, Bethesda, Houston, Chicago, Toronto, London, Singapore,
Shanghai, Frankfurt, Luxembourg, Madrid, Hong Kong, Mumbai and Delhi.
●● The performing credit group manages $27.3 billion across various products, including 22 U.S. and
European CLOs (eight of which are past their reinvestment period), which makes Apollo one of the
largest CLO managers by AUM.
●● Communication between private equity and credit research teams allows for added industry
insight.
●● Apollo has a separate structured credit team that is responsible for the structuring of each CLO.
Investments
●● Apollo engages in active portfolio management with a relative-value focus, based on idea
generation and knowledge sharing across business segments.
●● Apollo has a rigorous credit selection process focused on non-investment-grade credits and uses
a formalized, bottom-up fundamental approach conducted by sector-focused analysts.
●● Apollo typically holds at least 51% equity in CLO transactions (except for acquired deals) to be the
controlling class and to control transaction performance.
●● Credit views are supplemented by extensive industry and competitor analysis from the private
equity group and pricing and relative-value analysis.
Controls
●● Conflicts of interest are minimized by global policy of not investing in the debt of Apollo’s portfolio
companies — that is, companies owned by Apollo’s private equity arm.
●● Apollo has a centralized operations and risk management team, which includes 59 employees
globally.
●● The company utilizes pre- and post-trade relative-value analysis at the trade and portfolio level.
●● There are no walls of separation between Apollo’s investment teams. As a result, Apollo is either
public or private on a name firmwide, which minimizes conflict-of-interest risk.
Operations
●● Apollo has in place daily reconciliation of cash and securities with the trustee. The company has a
strong relationship and constant dialogue with the trustee (primarily U.S. Bank). A specific team at
U.S. Bank is dedicated to the Apollo account. Portfolio managers receive monthly reconciliations
with trustee reports for review.
●● Operational procedures are sound, supported by a well-resourced fund administration team and
industry-standard tools such as Wall Street Office (WSO) for loan/CLO administration.
Technology
●● Apollo has in place a fully integrated and flexible platform based on a combination of proprietary
analytics and third-party administration systems, including industry-standard systems such as
Black Mountain Everest, WSO, SunGard VPM (for portfolio accounting) and Markit (for loan
pricing information). Apollo’s business continuity plan is appropriate and tested annually.

Ares Management LLC
Ares Management LLC (Ares) is a wholly owned subsidiary of Ares Management, L.P.,
a publicly traded global asset manager with approximately $94 billion in assets under
management (AUM) and approximately 870 employees in over 15 principal and originating A
offices across the U.S., Europe, Asia and Australia as of Dec. 31, 2015. Ares operates
three distinct but complementary investment groups that invest in the credit, real estate
and private equity markets. Ares’ credit group accounted for $62 billion of AUM; over
$16 billion related to CLOs.
Manager Profile
Address 2000 Avenue of the Stars, 12th Floor, Los Angeles, CA
90067, U.S.
Website www.aresmgmt.com
Year Founded 1997
Ownership Structure Global alternative investment manager
Parent(s) Ares Management, L.P.
Investment Profile
Global Firm
No. of Employees Approximately 870
No. of Portfolio Managers N.A.
AUM $93.6 Bil.
Ares Credit Group Only

No. of Employees 60a
AUM $62.2 Bil.
No. of Invested Credits 600 issuers
Credits per Analyst Approximately 40 credits across two to five industries
U.S. CLOs (No./AUM) 25/$14.4 Bil.b
European CLOs (No./AUM) Seven/€2.1 Bil.
a
Liquid credit investment professionals. bCLO AUM includes private cash flow funds managed by Ivy Hill Asset
Management, L.P., a wholly owned portfolio company of Ares Capital Corporation, a publicly traded closed-end,
non-diversified specialty finance company that is regulated as a business development company, or BDC, under the
Investment Company Act of 1940. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy In the U.S., Ares CLO XXXIV closed in September
2015, wherein a 5% vertical strip was retained by Ares.
Subsequently, Ares has closed a short duration deal
and two regular way transactions, Ares CLO XXXVII and
Ares CLO XXXVIII, which are structured with dynamic
management fee schedules that align its interests with
noteholders to seek risk retention compliance upon a
refinancing/repricing. Ares notes that it does have the
ability to deploy sufficient capital to issue compliant deals
subject to market conditions and contingent on the optimal
solution that is ultimately determined.
Ares Management LLC 45

Credit Group Assets Under Management (As of Dec. 31, 2015)
Credit Group Assets Under Management
A ($ Bil.)
70
60
50
40
30
20
10
0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Other Other Syndicated
Structured 9.1% Loans Other
Products 6.2% 13.9%
4.9%
CLOs
26.5% Europe
17.8%
Middle
High Market
Yield Loans U.S.
Bonds 48.0% 68.3%
5.3%
Note: Other includes Ares Credit Opportunities and Special Note: Other includes countries across Asia, North America (non-
Situations Strategies. U.S.) and the Middle East.

Other CLO
Managed 41.8% Investors
Accounts CLOs 26.5%
26.4% 26.5%
Banks
Endowments 9.3%
1.1% Pension/
Insurance Retirement
7.8% 13.5%
Note: Other includes family office, high net worth, investment
manager, retail, sovereign wealth fund, sub-advisory and trust
Managed investors. Additionally includes capital from institutional
Funds intermediated funds and public and affiliated funds where the end
47.2% investor is indeterminable.
Source: Ares Management LLC.
46 Ares Management LLC

Experience (Years)
Seth Brufsky Partner Portfolio Manager 18 25 A
Daniel Hayward Vice President Portfolio Manager 3 7
John Leupp Partner N.A. 12 26
Gregory Margolies Partner; Co-Head of N.A. 7 27
Credit Group
David Sachs Partner N.A. 18 34
Ivy Hill Asset Management Credit Committeea

Experience (Years)
Kevin Braddish Partner President of Ivy Hill 5 32
Mitch Goldstein Partner Co-President of Ares Capital 10 21
Michael Smith Partner Co-President of Ares Capital 11 20
Ryan Cascade Partner Head of Ares Commercial Finance 5 19
Steven Alexander Managing Director N.A. 5 20
Shelly Cleary Managing Director N.A. 5 13
Stephanie Setyadi Managing Director N.A. 5 13
a
Ivy Hill Asset Management, L.P. is a wholly owned portfolio company of Ares Capital Corporation and a registered
investment adviser. N.A. – Not applicable.

Experience (Years)
Ujjaval Desai Partner Portfolio Manager 4 20
Francois Gauvin Partner Portfolio Manager 4 24
John Kissick Director, Co-Founder and Partner N.A. 18 40

Gregory Margolies Partner; Co-Head of Credit Group N.A. 7 27

Portfolio Issue
A Name Pricing Status Target Current Original Current Volcker CRR U.S. RRa
Ares III CLO Ltd 12/99 Called N.A. N.A. 410 0 N.A. N.A. No
Ares IV CLO Ltd 11/00 Called N.A. N.A. 530 0 N.A. N.A. No
Ares V CLO Ltd 11/01 Called N.A. N.A. 400 0 N.A. N.A. No
Ares VI CLO Ltd 7/02 Called N.A. N.A. 400 0 N.A. N.A. No
Ares VII CLO Ltd 5/03 Called N.A. N.A. 408 0 N.A. N.A. No
Ares VIII CLO Ltd 3/04 Called N.A. N.A. 550 0 N.A. N.A. No
Ares XVIII CLO Ltd b
8/04 Called N.A. N.A. 350 0 N.A. N.A. No
Ares Enhanced Loan 11/04 Called N.A. N.A. 650 0 N.A. N.A. No
Investment Strategy Ltd
Ares XIX CLO Ltdc 1/05 Called N.A. N.A. 300 0 N.A. N.A. No
Ares IX CLO Ltd 5/05 Called N.A. N.A. 600 0 N.A. N.A. No
Ares X CLO Ltd 9/05 Called N.A. N.A. 500 0 N.A. N.A. No
Ares II-R CLO Ltd 10/05 Called N.A. N.A. 250 0 N.A. N.A. No
Ares XX CLO Ltdc 12/05 Called N.A. N.A. 500 0 N.A. N.A. No
Investment Strategy II, Ltd
Ares VR CLO Ltd 3/06 Called N.A. N.A. 625 0 N.A. N.A. No
Ares VIR CLO Ltd 3/06 Called N.A. N.A. 625 0 N.A. N.A. No
Ares NF CLO XIII Ltd d
5/06 Called N.A. N.A. 300 0 N.A. N.A. No
Ares XXI CLO Ltde 12/06 Amortizing N.A. N.A. 450 174 No No No
Ares IIIR/IVR CLO Ltd 3/07 Amortizing N.A. N.A. 700 468 No No No
Ares NF CLO XIV Ltdd 4/07 Amortizing N.A. N.A. 309 133 No No No
Ares XI CLO Ltd. 8/07 Amortizing N.A. N.A. 819 804 No No No
Ares XV CLO Ltdd 8/07 Amortizing N.A. N.A. 399 149 Yes No No
Ares XXII CLO Ltdb 8/07 Amortizing N.A. N.A. 350 207 No No No
Ares XII CLO Ltd 10/07 Amortizing N.A. N.A. 700 389 No No No
Ares Enhanced Loan 3/08 Called N.A. N.A. 1,000 0 N.A. N.A. No
Investment Strategy III Ltd
Global Loan Opportunity 8/08 Called N.A. N.A. 400 0 N.A. N.A. No
Fund B.V. 2008-1
Investment Strategy I-R, Ltd
Global Loan Opportunity 9/08 Called N.A. N.A. 200 0 N.A. N.A. No
Fund B.V. 2008-2
Ares XVI CLO Ltd 3/11 Called N.A. N.A. 410 0 N.A. N.A. No
Ares XXIII CLO Ltd 3/12 Called N.A. N.A. 430 0 N.A. N.A. No
Ares XXIV CLO Ltd 9/12 Revolving N.A. N.A. 719 719 Yes No No
Ares XXV CLO Ltd 1/13 Revolving N.A. N.A. 568 568 No No No
Ares XXVI CLO Ltd 3/13 Revolving N.A. N.A. 940 940 Yes No No
Ares Enhanced Loan
7/13 Revolving N.A. N.A. 542 542 Yes No No
Investment Strategy IR Ltd
Ares XXVII CLO Ltd 7/13 Revolving N.A. N.A. 413 413 Yes No No

Portfolio Issue
A
Ivy Hill Middle Market 10/13 Revolving N.A. N.A. 360 353 Yes No No
Credit Fund VII, L.P.f
Ares XXVIII CLO Ltd 11/13 Revolving N.A. N.A. 519 519 Yes No No
Ares XXIX CLO Ltd 4/14 Revolving N.A. N.A. 514 514 Yes No No
Ares XXX CLO Ltd 6/14 Amortizing N.A. N.A. 361 311 Yes No No
Ares XXXI CLO Ltd 8/14 Revolving N.A. N.A. 1,261 1,261 Yes No No
Ares XXIIIR CLO Ltd 10/14 Amortizing N.A. N.A. 430 430 Yes No No
Ivy Hill Middle Market 10/14 Revolving N.A. N.A. 334 327 Yes Yes Yes
Credit Fund IX, L.P.f
Ares XXXII CLO Ltd 12/14 Revolving N.A. N.A. 511 511 Yes No No
Ares XXXIII CLO Ltd 2/15 Revolving N.A. N.A. 613 613 Yes No No
Ivy Hill Middle Market 7/15 Revolving N.A. N.A. 375 375 Yes Yes Yes
Credit Fund X, L.P.f
Ares XXXIV CLO Ltd 9/15 Revolving N.A. N.A. 814 814 Yes No Yes
Ares XXXV CLO Ltd 9/15 Revolving N.A. N.A. 406 406 Yes No No
Ares XXXVII CLO Ltd 10/15 Revolving N.A. N.A. 707 707 Yes No No
Ares XXXVIII CLO Ltd 12/15 Revolving N.A. N.A. 409 409 Yes No No
Total N.A. N.A. 25,281 13,056
a
Anticipated U.S. Risk Retention compliant. bAcquired from Nomura Corporate Research and Asset Management
in August 2011. Acquired from Nomura Corporate Research and Asset Management in April 2012. dAcquired from
c
Navigare Partners, LLC in July 2010. eAcquired from Nomura Corporate Research and Asset Management in
September 2011. fManaged by Ivy Hill Asset Management, L.P., a wholly owned portfolio company of Ares Capital
Corporation. N.A. – Not available. Note: Numbers may not add due to rounding.
Portfolio Issue
Ares European CLO IV BVa 1/07 Amortizing N.A. N.A. 500 263 No Yes
Ares European CLO I BV 4/07 Amortizing N.A. N.A. 356 195 No Yes
Ares European CLO V BVa 6/07 Amortizing N.A. N.A. 450 239 No Yes
Ares European CLO III BVb 7/07 Amortizing N.A. N.A. 357 230 No Yes
Ares European CLO II BV 12/07 Amortizing N.A. N.A. 400 330 No No
Ares European CLO VI BV 9/13 Revolving N.A. N.A. 311 311 No Yes
Ares European CLO VII BV 9/14 Revolving N.A. N.A. 352 352 No Yes
Total N.A. N.A. 2,725 1,920
a
Acquired via acquisition of Indicus Advisors in August 2011. bAcquired from Octagon Credit Investors Europe in April
2011. N.A. – Not available. Note: Numbers may not add due to rounding.

A Ares
Private Equity Real Estate

Credit
─ ─
─
$21.1 Bil. AUM $10.3 Bil. AUM
$62.2 Bil. AUM
─ ─
─
Corporate Private Equity Real Estate Debt
Liquid Credit
Power and Energy Real Estate Private
Illiquid Credit
Assets Equity
Note: As of Dec. 31, 2015, AUM amounts included capital available to vehicles managed or co-managed by Ares,
including funds managed by Ivy Hill Asset Management, L.P., a wholly owned portfolio company of Ares Capital
Corporation and a registered investment adviser.

The Fitch View
Key Considerations
●● Ares has a long history, a strong brand name and an exclusive focus on and extensive track record
in asset management, especially in credit markets.
●● A collaborative culture results in cross-sector idea generation and credit research, while the credit
A
team is experienced and has demonstrated stability over time.
●● Significant exposure to institutional investors, albeit diversified by relationship. The challenge is to
continue to diversify investor base by increasing retail AUM.
●● Managing portfolio ramp-up/rebalancing in the context of low supply and increasing demand for
U.S. leveraged loans.
●● Compliance and operational resources in Europe are currently sufficient given the number of
CLOs managed, but challenges may arise if Ares significantly expands its European CLO count.
Company
●● Founded in 1997, Ares is a global alternative asset manager and SEC-registered investment
adviser with $94 billion in AUM and approximately 870 employees.
●● Three distinct platforms: credit, private equity and real estate.
●● Active management investment philosophy focuses on optimizing risk-adjusted return opportunities
through the utilization of fundamental bottom-up analysis with a macroeconomic overlay.
●● Ares has a long history of managing U.S. CLOs (since 1999) and has been managing European
CLOs since 2007.
Investments
●● Credit selection process focuses on bottom-up fundamental research and relative-value
determinations, requiring unanimous approval from portfolio managers (PMs) for inclusion in a
portfolio. Position sizing, allocations and top-down inputs are determined by PMs and given based
on the specific needs of each portfolio.
●● Analysts are organized by sector. Senior analysts are paired with junior analysts to ensure dual
coverage of sectors, which differentiates Ares from peers. All analysts cover credits across the
capital structure. A separate direct lending team analyzes these investments.
●● Each investment has a standardized investment guideline checklist (based on ratio analysis, credit
quality and earnings predictability, among other things). A proprietary financial model is produced
for every credit, with various scenario-based forecasts used.
Controls
●● Risk management team front-ends its analysis of credit through use of pretrade compliance testing
in Black Mountain’s Everest platform and meets with investment teams regularly. CDO Suite is
used to test for CLO compliance in Ares’ existing CLOs.
●● Ares’ primary position is to be public on a particular credit across the firm. In the case of an
exception, compliance must provide signoff before any private information is received.
Operations
●● Middle-office operations are performed in-house. Back-office operations are outsourced to
GlobeOp, guided by a service-level agreement and regular reviews. Weekly team meetings are
supplemented by formal monthly reviews.
●● Ares and GlobeOp’s systems allow straight-through processing with the trustee, enabling
automated daily cash and position reconciliations.
●● Ares has a dedicated loan settlement team. Weekly pending trade reports are reviewed by the
team and the PM, with defined escalation procedures in place.
Technology
●● Integrated, automated and flexible platform based on a combination of proprietary and widely
accepted industry systems, including the best-in-class Black Mountain Everest. Additionally, Wall
Street Office, Bloomberg and Geneva are utilized.
●● Ares has developed a proprietary credit dashboard to store investment research alongside the
necessary financial metrics for each credit.

A

Arrowpoint Asset Management, LLC
Arrowpoint Asset Management, LLC (Arrowpoint) is a Denver-based investment adviser
that was founded in 2007. The company’s assets under management (AUM) are allocated
across fairly diverse equity and fixed-income product offerings, including hedge funds, A
separate accounts, mutual funds and CLOs. As of Dec. 31, 2015, Arrowpoint had
$7.7 billion in AUM, including $1.7 billion via five CLOs.
Manager Profile
Address 100 Fillmore Street, Suite 325, Denver, CO 80206, U.S.
Website www.ap-am.com
Year Founded 2007
Ownership Structure N.P.
Parent(s) N.A.
Investment Profile
Global Firm
No. of Employees 53
AUM $7.7 Bil.

No. of Employees N.P.
No. of Portfolio Managers N.P.
AUM $1.7 Bil.
U.S. CLOs (No./AUM) Five/$1.7 Bil.
N.A. – Not applicable. N.P. – Not provided.

Preferred Structure New manager as sponsor
Arrowpoint Asset Management, LLC 53

A 8
($ Bil.)
0
2009 2010 2011 2012 2013 2014 2015

Syndicated
Loans
19.8%
Other
Structured
Products
Other 20.2%
54.2% Middle
Market Loans U.S.
High 2.6% 100.0%
CLOs
Yield Bonds 2.2%
0.9%
CLOs Managed CLO Investors

21.8% Funds 21.8%
27.9%
Other
75.9% Endowments
2.3%
Managed
Accounts
50.3%
Source: Arrowpoint Asset Management, LLC.

Experience (Years)
David Corkins Partner Portfolio Manager 8 29
Karen Reidy Partner Portfolio Manager 8 24
Minyoung Sohn Partner Portfolio Manager 7 17
Lee Shaiman CIO Debt Funds Portfolio Manager <1 33
Sanjai Bhonsle Partner Portfolio Manager 3 20
54 Arrowpoint Asset Management, LLC

Portfolio Issue
A
Arrowpoint CLO 2013-1, Ltd. 4/13 Revolving 300 300 310 310 Yes No No
Peaks CLO I, Ltd. 7/14 Revolving 142 142 150 150 Yes No No
Arrowpoint CLO 2015-4 4/15 Revolving 400 400 408 408 Yes No No
Total 1,682 1,682 1,743 1,743
a
Arrowpoint Asset Management, LLC is 100% partner owned.
Arrowpoint Asset Management, LLC 55

The Fitch View
Key Considerations
●● Diversified product line lessens dependence on CLO issuance for stable revenues.
A ●● Senior CLO leadership has extensive experience structuring and managing broadly syndicated
deals.
●● Exposure to operational risk, as front-office portfolio management system and credit scoring
model are highly dependent on manual inputs; this is mitigated by the firm’s currently manageable
bank loan book of approximately 300 names.
Company
●● Arrowpoint was founded in 2007 and as of Dec. 31, 2015 had AUM of $7.7 billion. AUM is allocated
across fairly diverse equity and fixed-income product offerings, including hedge funds, separate
accounts, mutual funds and CLOs.
●● The CLO platform is led by Sanjai Bhonsle and Lee Shaiman, who are supported by a 10-member,
industry-based research team that averages over 13 years of experience.
●● Arrowpoint has historically retained a sizable portion of equity in its CLOs, in addition to occasional
smaller investments in the mezzanine tranches.
Investments
●● Arrowpoint has established a clearly defined investment process, which begins with the investment
opportunity screening process overseen by Bhonsle, Shaiman and respective industry analysts.
●● Arrowpoint claims to cover the entire new issuance bank loan market and has an acceptance rate
ranging from 30%–40% for all new investments.
●● Formal investment decisions are made by unanimous vote, and the committee meets at least
twice weekly.
●● Internal risk ratings for each potential investment are generated by the model and are strictly
adhered to. All investments meeting acceptable risk rating requirements are then written up in a
thorough and comprehensive credit memo and subject to investment committee approval.
Controls
●● Arrowpoint exhibits an adequate control environment. The firm has six separate oversight
committees that meet at least quarterly and are responsible for reviewing and updating procedures
in their respective critical areas.
●● Augmenting internal compliance oversight, Arrowpoint has retained the services of third-party
consultant ACA Compliance to test and perform mock regulatory reviews.
●● Watchlist early warning system is based on a three-tiered ranking system, with respective analysts
and portfolio managers (PMs) reviewing all credits on the list at least quarterly.
Operations
●● Arrowpoint outsources the bulk of its CLO administration duties to Cortland Capital Market
Services (Cortland), a well-recognized and experienced firm in this area.
●● Cortland performs all the industry-standard CLO administrative duties, including daily reconciliation
of cash positions and monthly portfolio asset tie-outs with the CLO trustees.
●● Arrowpoint’s operations team and PMs are provided with daily reports from Cortland, including
real-time reports of CLO covenants that are used for pre-trade compliance.
Technology
●● Rather than build out an internal IT department, Arrowpoint has outsourced many of its technological
functions to third-party service providers in an effort to allocate more capital to the firm’s research
capabilities.
●● Arrowpoint has licenses for CDO Sentry, which it uses for certain administrative functions as well
as portfolio management functions not performed by Cortland.
●● Eze Castle has been retained to provide an order management system and applications for
pre- and post-trade compliance and modeling.
56 Arrowpoint Asset Management, LLC

AXA Investment Managers S.A.
AXA Investment Managers S.A. (AXA IM) is a European-based asset manager that
forms part of the AXA Group. AXA IM’s investment strategies span various asset classes,
including fixed income, equity and real estate. As of Dec. 31, 2015, AXA IM had assets under
A
management (AUM) of €669 billion; of this total, €6.1 billion related to leveraged loans.
Manager Profile
Address 100, Esplanade du Général de Gaulle Coeur Defense Tour
B, La Defense 4, 92932 Paris La Defense Cedex, France
Website www.axa-im.structuredfinance.com
Year Founded 1995
Parent(s) AXA Group
Investment Profile
Global Firm
No. of Employees 2,351
AUM €669 Bil.

AUM €6.1 Bil.
Credits per Analyst Approximately 40 U.S./25 Europe
U.S. CLOs (No./AUM) Three/€1.1 Bil.
a
Investment professionals.

Overall Self-Described Risk Retention Strategy So far, AXA IM is acting as retention holder on one U.S. CLO
(Allegro CLO III closed in May 2015) and one European CLO
(Adagio CLO IV Limited closed in September 2015). On both
CLOs, the manager undertakes to subscribe for and hold, on
an ongoing basis for as long as any class of notes remains
outstanding, not less than 5% of the aggregate outstanding
amount of each class of notes then outstanding.
Retention was set up with the view to comply with the
European risk retention rules through a manager/originator
scheme.
AXA Investment Managers S.A. 57

Structured Finance Assets Under Management (As of Dec. 31, 2015)
Structured Finance Assets Under Management
A 40
(€ Bil.)
30
20
10
0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

High Managed
Investment Yield Funds
Grade Bonds Bonds 9.0%
8.2% 1.1%
Middle CLOs
Market Managed
34.3% Accounts
Loans Syndicated
15.3% 56.7%
Loans
75.3%
Breakdown by Investor Type

Pension/
Retirement
4.1% Endowments
0.1%
Banks
20.2%
Insurance
60.4%
Other
15.2%
Source: AXA Investment Managers S.A.
58 AXA Investment Managers S.A.

Experience (Years)
Jean-Philippe Levilain Global Head of AXA IM
Leveraged Loan Team
Senior Portfolio Manager 11 18
A
Joel Serebransky N.A. Senior Portfolio Manager 4 26
Vera Fernholz N.A. Senior Credit Analyst 3 20
Michael J. Sorna N.A. Junior Credit Analyst 1 4
Peter Johnson N.A. Credit Analyst 2 6
Deniz Esmen N.A. Junior Credit Analyst 1 3
David Saada N.A. Junior Credit Analyst 1 4
Yumiko Licznerski N.A. Senior Credit Analyst 1 15
a
As of March 31, 2016. N.A. – Not applicable.

Experience (Years)
Yannick Le Serviget N.A. Senior Portfolio Manager 13 17
Xavier Boucher N.A. Senior Portfolio Managera 4 11
Olivier Testard N.A. Senior Corporate Credit Analyst 14 22
Cyril Macé N.A. Senior Corporate Credit Analyst 15 17
Isa Schulz N.A. Senior Corporate Credit Analyst 4 15
Hortense de Lamaze N.A. Senior Corporate Credit Analyst 8 11
Mounia Maliki N.A. Junior Corporate Credit Analyst 8 6
Nicolas Noel N.A. Junior Corporate Credit Analyst 2 2
Deepah Colombel N.A. Junior Corporate Credit Analyst 1 3
a
As of March 31, 2016. N.A. – Not applicable.

Portfolio Issue
A Name
Allegro I
Pricing
12/13
Status
Revolving
Target
350
Current Original Current Volcker CRR
352 369 369 Yes No
U.S. RRa
No
Allegro II 12/14 Revolving 400 402 411 411 Yes No No
Allegro II 4/15 Revolving 400 401 414 414 Yes Yes Yes
Total 1,150 1,155 1,194 1,194
a

Portfolio Issue
Adagio CLO I B.V. 9/04 Matured 300 0 309 0 No No
Oryx European CLO I B.V. 9/05 Called 396 0 410 0 No No
Adagio CLO II PLC 11/05 Amortizing 350 214 355 234 No No
Adagio CLO III PLC 7/06 Amortizing 499 437 515 469 No No
Adagio CLO IV Limited 9/15 Revolving 350 351 362 362 Yes Yes
Total 1,895 1,003 1,951 1,064
AXA Investment Managers S.A.
AXA Investment AXA Investment AXA Investment

Managers Paris Managers UK Ltd. Managers Asia Ltd.
France – 100% U.K. – 100% Hong Kong – 100%
AXA Investment Managers AXA Investment AXA Investment

Deutschland GmbH Managers GS Ltd Managers Japan Ltd.
Germany – 92.5% U.K. – 100% Japan – 100%
AXA Investment Managers Italia AXA Investment AXA Investment Managers Asia
Sim S.p.A. Managers Inc. (Singapore) Ltd.
Italy – 99.9% U.S. – 100% Singapore – 100%
AXA Rosenberg Investment

AXA IM Benelux AXA Funds Management S.A.
Management LLC
Belgium – 99.9% Luxembourg – 100%
U.S. – 100%
AXA Real Estate AXA Investment

AXA IM Benelux Netherlands
Investment Managers Managers Madrid
Netherlands – Branch
100% Spain – Branch
AXA Investment AXA Investment

Managers Schweiz AG Managers LLC
Switzerland – 100% Qatar – 100%
Note: As of Jan. 31, 2016. Includes indirect subsidiaries of AXA Investment Managers S.A. Excludes joint ventures
not related to asset management activities.

The Fitch View
Key Considerations
●● Long and successful track record managing leveraged loans since 2001 and CLOs since 2004,
both in the U.S. and Europe. Strong and committed parent.
●● Diversified, large loan management business resulting in limited pressure to issue additional
A
CLOs.
●● Depth of resources devoted to loan research and management, CLO structuring and administration.
Tenured and experienced structured finance staff.
Company
●● The global loan and private debt team of 31 is part of AXA Structured Finance, which had 77
professionals and approximately €21 billion in AUM as of end of December 2015.
●● The platform comprises three portfolio managers (PMs), 13 dedicated credit research analysts
and one U.S. loan trader (PMs execute trades in Europe). Average experience is 13 years.
●● The team also benefits from dedicated support staff (for loan settlement and transaction support)
and wide access to AXA IM’s shared resources.
Investments
●● Investment approach is a robust blend of bottom-up fundamental and tactical credit selection and
strategic top-down inputs.
●● The 13 research analysts (six U.S., seven European) are allocated by sector, covering roughly 250
U.S. names and 200 European names as of March 31, 2016.
●● Preliminary assessments and full credit analysis are documented in comprehensive memos. The
analysis includes financial modeling and stress tests. The primary focus is on senior-secured
loans (90% of investments made). Output of analysis is a grade.
●● AXA IM has good access to management and deal flow, a function of scale (tickets can be up to
€100 million) and established relations with banks and private equity firms.
●● Credit approval is formalized in ad hoc credit committees, meeting strict governance requirements.
Decisions to invest in committee-approved credit are made solely by PMs.
●● AXA IM has demonstrated an active involvement in workout, a result of scale and experience.
Controls
●● AXA IM has a strong governance structure and multilayer risk control framework. One (independent)
risk manager is dedicated to the loan/CLO business.
●● Pretrade compliance is system-based. Post-trade, second level of controls is the responsibility of
two portfolio controllers reporting to operations and dedicated to loan platform.
●● Policies govern the management of public and private information. Protective barriers between
the high-yield and leveraged loan teams include segregated system views and separate locations,
and are overseen by compliance, with strict control on the flow of information. It is very rare for AXA
IM to simultaneously own bonds (public) and loans (private) of the same issuer.
Operations
●● Daily cash/interest reconciliation and monthly position reconciliation between AXA IM and trustees.
●● Middle-office function is outsourced to State Street Bank, with AXA IM maintaining oversight and
controls in-house.
●● AXA IM uses two main trustees: Bank of New York and BNP Paribas Securities Services.
●● AXA IM produces monthly supplemental investment commentary and various additional
customized reports.
Technology
●● Use of proprietary application (Maia) and third-party systems (Wall Street Office [WSO], among
others) adequately meets the specific needs of business (including multicurrency portfolios and
complex structures).
●● A central database supports integration of WSO and Maia.
●● Use of Markit analytics and pricing data, feeding WSO and Maia via AXA IM’s central repository.

A

Babson Capital Management LLC
Babson Capital Management LLC (Babson Capital) is a global investment manager that
was founded in 1940. Its European subsidiary, Babson Capital Management (UK) Limited
(Babson Capital Europe), was established in 2000. Babson Capital forms part of the
MassMutual Financial Group (MassMutual); as of Dec. 31, 2015, it had over $222 billion in
assets under management (AUM), of which approximately $40 billion was managed by the
global high-yield investments group.
B
Manager Profile
Address 1500 Main Street, P.O. Box 15189, Springfield, MA 01115, U.S.
550 South Tryon Street, Suite 3300, Charlotte, NC 28202, U.S.
61 Aldwych, London, UK WC2B 4AE, U.K.
Website www.babsoncapital.com
www.babsoncapitaleurope.com
Year Founded 1940 (U.S.; predecessor entities)
2000 (Europe; predecessor entitiesa)
Parent(s) MassMutual Financial Group
Investment Profile
Global Firm
AUM Over $222 Bil.

No. of Employees 68
AUM $40.2 Bil.
No. of Invested Credits 469 issuersb
Credits per Analyst One to three industries; 35–45 credits
European CLOs (No./AUM) Six/€2.1 Bil.
European Loans Managed via CLOs N.P.
Previously known as Duke Street Capital Debt Management Limited. bU.S. CLOs only. N.P. – Not provided. N.A. –
a
Not applicable.
Overall Self-Described Risk Retention Strategy Babson’s parent company, MassMutual, has made a sufficient
capital commitment to solve for Risk Retention and allow
Babson to issue two to three CLOs per year, which, based
on normal market conditions, is the firm’s expected issuance
volume. Historically, MassMutual has participated in the equity
tranche of every Babson-issued CLO, and it is also a natural
buyer of CLO debt tranches. Additionally, Babson has already
solved for risk retention rules with its European CLO platform
and its 2015 issued CLOs.
Babson Capital Management LLC 63

Global High-Yield Assets Under Management (As of Dec. 31, 2015)
Global High-Yield Assets Under Management

($ Bil.)
B 50
40
30
20
10
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Other
CLOs 0.5% Other
22.3% 22.7%
U.S.
35.2%
Syndicated
Loans
52.1%
High
Yield
Bonds Europe
25.1% 42.2%

CLO
Other Investors
Managed 19.6% 22.3%
Accounts
Managed
34.5% Endowments
Funds
1.1%
43.2%
Insurance Banks
17.4% 16.7%
CLOs Pension/
22.3% Retirement
22.9%
Source: Babson Capital Management LLC.
64 Babson Capital Management LLC

U.S. High-Yield Investment Committee
Experience (Years)
Mike Freno Managing Director Head of Global and U.S. High-Yield Investments 10 16
Group, Chairman of U.S. High-Yield Investment
Committee, Head of the Global High-Yield
Committee, Head of Global Strategy Committee,
B
Head of Global Distressed Committee
Adrienne Butler Managing Director Head of U.S. Managed CLOs, U.S. High-Yield 16 26
Investment Committee Member
Sean Feeley, CFA Managing Director U.S. High-Yield Investment Committee Member, 13 26
Global High-Yield Committee Member, Global
Strategy Committee Member
Art McMahon Managing Director Portfolio Manager, U.S. High-Yield Investment 12 21
Committee Member
Ken Gacevich, CFA Managing Director Portfolio Manager, U.S. High-Yield Investment 10 23
Committee Member
Tom McDonnell Managing Director Portfolio Manager, U.S. High-Yield Investment 11 20
Committee Member
David Mihalick Managing Director Head of U.S. High-Yield Credit Research, U.S. 8 11
High-Yield Investment Committee Member
Scott Roth, CFA Managing Director Portfolio Manager, U.S. High-Yield Investment 13 23
Committee Member
Mark Senkpiel, CFA Managing Director Portfolio Manager, U.S. High-Yield Investment 6 42
Committee Member
European High-Yield Investment Committee
Experience (Years)
Martin Horne Managing Director Head of European High-Yield Investments 14 19
Group, Head of European High-Yield Investment
Committee, Global High-Yield Committee
Member, Global Strategy Committee Member
Rob Faulkner Managing Director Head of European Managed CLOs, European 14 14
High-Yield Investment Committee Member
Tom Kilpatrick Managing Director Research Analyst, European High-Yield 9 12
Stuart Mathieson Managing Director Portfolio Manager, European High-Yield 14 17
Chris Sawyer Managing Director Trader, European High-Yield Investment 10 10
Committee Member

Portfolio Issue
Sapphire Valley CDO, Ltd. 12/06 Amortizing 450 315 462 300 No No No
B Babson CLO 2007-I 3/07 Amortizing 750 423 768 425 No No No
JFIN CLO 2007 Ltd. 7/07 Amortizing 400 260 407 256 No No No
Clear Lake CLO LTDb 9/09 Amortizing 450 194 464 215 No No No
St James River CLO LTDb 9/09 Amortizing 401 172 413 176 No No No
Babson CLO Ltd. 2011-I 8/11 Amortizing 500 334 509 342 No No No
Babson CLO Ltd. 2012-I 4/12 Amortizing 350 294 361 304 No No No
Babson CLO Ltd. 2012-II 5/12 Revolving 400 403 407 407 Yes No No
Babson CLO Ltd. 2013-I 6/13 Revolving 475 483 491 491 No No No
Babson CLO 2013-II 12/13 Revolving 675 682 698 698 No No No
Babson CLO Ltd. 2014-I 6/14 Revolving 500 505 514 514 Yes No No
Babson CLO 2014-II 8/14 Revolving 550 555 566 566 Yes No No
Babson CLO Ltd. 2014-III 9/14 Revolving 700 708 720 720 Yes No No
Babson CLO Ltd. 2015-I 4/15 Revolving 500 504 512 512 Yes No No
Babson CLO Ltd. 2015-II 7/15 Revolving 500 507 512 512 Yes No Yes
Total 7,601 6,339 7,804 6,438
a
Anticipated U.S. Risk Retention compliant. bCDO takeover; transferred from Jefferies Capital Management, Inc. in
September 2009. Note: Numbers may not add due to rounding.

Portfolio Issue

Duchess VI CLO B.V. 8/06 Amortizing 490 230 500 230 No No
Duchess VII CLO B.V. 12/06 Amortizing 490 255 500 277 No No
Malin CLO B.V. 5/07 Amortizing 485 298 500 324 No No
Babson Euro CLO 2014-1 B.V. 4/14 Revolving 400 406 413 413 No No
Total 2,815 2,147 2,894 2,225

MassMutual
Financial Group
B
Babson Capital Baring Asset Management OppenheimerFunds, Inc.
Global fixed income, real estate Global equity, fixed Global equity and fixed income
and private credit and equity income and multi-asset
─ ─ ─
$222.9 Bil. AUM $35.2 Bil. AUM $216.8 Bil. AUM
Note: In March 2016, Babson Capital Management, its subsidiaries Cornerstone Real Estate Advisers and Wood
Creek Capital Management, and Baring Asset Management announced their intention to combine and use the
Baring brand. The combination creates a leading global, multi-asset investment management firm with over $260
billion of assets under management, offices in 20 countries, and over 1,700 professionals. The firm will be led by
Tom Finke, current chairman and CEO of Babson, and will be headquartered in Charlotte, NC. David Brennan,
chairman and CEO of Baring, will retire as planned during the summer of 2016. All four firms are affiliates of
Massachusetts Mutual Life Insurance Company. The initial phase of the integration is expected to close during the
fourth quarter of 2016, subject to required regulatory approval.

The Fitch View
Key Considerations
●● Strong, diversified business lines. One of the largest U.S. and European loan managers in terms of
size and scale, which gives Babson Capital industry-leading access to markets and management
of many product styles and provides diversified revenue streams.
B ●● Proprietary and highly scalable systems combining portfolio management tools and compliance
and administrative functions.
●● Maintaining consistent CLO AUM given challenging market conditions remains an ongoing
challenge.
Company
●● The global high-yield investments group has significant resources, with approximately 68
investment professionals and additional resources for support functions. There are 50 U.S.
investment professionals, primarily based in Charlotte, including 11 portfolio managers (PMs), 27
research analysts, four dedicated traders and six product managers.
●● There are 20 European investment professionals, all based in London, including three PMs, 13
research analysts, two dedicated traders and two product managers.
●● Senior managers have extensive experience with CLOs, worked together prior to Babson Capital
and were involved in issuing very early CLOs.
Investments
●● Process-oriented, fundamental bottom-up approach to analysis that seeks to identify relative
value throughout the capital structure and across industries.
●● Idea generation primarily falls to analysts to regularly push ideas to PMs.
●● Analysts monitor both approved and non-approved names, with an average of 35–45 names per
analyst.
●● Team-based approach to credit decision-making process that culminates in daily voting
committees, in which a majority is needed to approve credits to be added to the approve list.
Strong ability to leverage scale to access a broad selection of investment opportunities.
●● Sell discipline and decisions are based on analyst and PM recommendation as well as risk
assessment, market prices and relative value.
Controls
●● Additional independent oversight and diligence performed by Babson Capital’s parent company,
MassMutual. MassMutual invests in the equity of each new issue CLO.
●● In most cases, Babson Capital will elect to be public on any issue unless there is an exceptionally
strong reason for going private. This approach mitigates conflicts of interest. Where it goes private,
walls of separation are established, overseen by compliance.
●● Controls are implemented through multiple layers of governance committees, overseen by a
dedicated compliance group and supported by a comprehensive suite of compliance policies and
manuals.
Operations
●● Dedicated CLO administration resources provide independent trustee reconciliation and indenture
compliance monitoring.
●● All portfolio management and credit analysis functions are conducted in-house. Models are run
daily to ensure compliance with CLO tests. CDO Suite for CLO compliance testing.
●● High degree of integration with trustee (via State Street, which uses Wall Street Office for loan
management) based on automated data feeds. This results in automated daily cash and position
reconciliation.
Technology
●● Robust, flexible, automated and integrated platform based on a combination of proprietary and
third-party systems, namely Black Mountain Everest, which incorporates portfolio, compliance
and risk management functions as well as trade and research capabilities.
●● External data feeds for pricing from Markit (loans) and IDC (bonds) feed into Black Mountain
Everest.

Bain Capital Credit, LP
Bain Capital Credit, LP (formerly operating as Sankaty Advisors, LP) is a leading global credit
specialist with approximately $30.1 billion in assets under management (AUM) as of Jan. 1, 2016.
The firm invests across the full spectrum of credit strategies, including leveraged loans, high-yield
bonds, distressed debt, private lending, structured products, nonperforming loans and equities. Bain
Capital Credit’s parent, Bain Capital, LP, announced a rebranding of its Sankaty Advisors, LP credit B
affiliate in early April 2016. The new name is the most significant change in the rebranding as all of
the operational and CLO administrative capabilities remain unchanged.
Manager Profile
Address 200 Clarendon Street, Boston, MA 02116, U.S.
Website www.baincapitalcredit.com
Year Founded 1998
Parent(s) Bain Capital, LP
Investment Profile
Global Firm
AUM $30.1 Bil.

AUM $10.7 Bil.
No. of Invested Credits Approximately 750 leveraged loans/450 issuers
Credits per Analyst 25–40

Overall Self-Described Risk Retention Strategy Bain Capital Credit typically invests in CLOs it manages,
and it has met retention requirements on its post-crisis
European CLOs. In the U.S., Bain Capital Credit expects
to meet retention with sponsor investments (potentially
through an affiliate) holding vertical strips of securities, or
with horizontal investments.
Bain Capital Credit, LP 69

($ Bil.)
35
B 30
25
20
15
10
5
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Middle Market Bank Loan & Asia Other
Direct Lending Multisector Pacific 0.3%
15.3% Credit 19.4%
34.4%
Distressed
& Special
Situations Europe
North
18.1% 18.0%
America
62.2%
Structured
Credit
24.6%

Intermediary
Family Office
4.1% Insurance
& HNW
CLOs 4.1%
4.8%
27.2% Managed
Endowment & Coinvest
Funds 2.0%
38.4% Foundation
5.1%
Corporate
Public Pension Pension
9.9% 29.3%
Sovereign CLO
Managed Wealth Fund Investors
Accounts 13.6% 27.2%
34.4% HNW – High net worth.
Source: Bain Capital Credit, LP.
70 Bain Capital Credit, LP

Global Credit Committee
Experience (Years)
Jonathan Lavine Managing Director Managing Partner, Chief Investment Officer 23 26
Stuart Davies Managing Director CIO: Opportunistic Credit

Jonathan DeSimone Managing Director CIO: Performing Credit
17
13
22
22
B
Tim Barns Managing Director Chief Credit Officer 15 37
Alon Avner Managing Director Head of Europe, Adjunct Committee Member 10 22
Michael Ewald Managing Director Head of Middle Market, Adjunct Committee 15 20
Member
Chris Linneman Managing Director Head of New York, Adjunct Committee Member 1 31
Jeff Robinson Managing Director Portfolio Manager: Opportunistic Credit, 13 23
Adjunct Committee Member

Portfolio Issue
Race Point III 4/06b Called 0 0 611 0 No No No
Race Point IV 8/07 b
Amortizing 0 0 550 0 No No No
Race Point V 11/11 Revolving 346 342 405 351 No No No
Race Point VI 4/12 Revolving 400 399 412 412 Yes No No
Race Point VII 10/12 Revolving 600 599 620 620 No No No
Race Point VIII 2/13 Revolving 500 503 518 518 No No No
Race Point IX 2/15 Revolving 500 501 507 507 Yes No No
Avery Point II 6/13 Revolving 500 494 517 517 Yes No No
Avery Point III 11/13 Revolving 500 496 511 511 No No No
Avery Point IV 3/14 Revolving 700 698 724 724 Yes No No
Avery Point V 6/14 Revolving 400 399 413 413 Yes No No
Avery Point VI 5/15 Ramp-up 500 500 513 513 Yes No No
Avery Point VII 11/15 Revolving 400 400 408 408 Yes No No
Cavalry II 2/13b Revolving 440 441 455 455 Yes No No
Cavalry III 12/13b Revolving 400 392 411 411 Yes No No
Cavalry IV 9/14 b
Revolving 400 395 408 408 Yes No No
Cavalry V 12/14b Called 360 361 368 368 Yes No No
Total 6,945 6,920 8,351 7,136
a
Anticipated U.S. Risk Retention compliant. bClosing date. Note: Cavalry CLOs transferred to Bain Capital Credit
from Regiment Capital Management on Dec. 15, 2015. Note: Numbers may not add due to rounding.

Portfolio Issue
B Nash Point 7/06a Amortizing 0 0 600 0 No No

Newhaven 9/14 Revolving 350 351 361 361 No Yes
Rye Harbour 12/14 Revolving 350 351 364 364 No Yes
Newhaven II 12/15 Ramp-up 400 400 417 417 No Yes
Total 1,100 1,102 1,742 1,142
a
Closing date. Note: Numbers may not add due to rounding.
Bain Capital, LP
Bain Capital Bain Capital Bain Capital Bain Capital

Credit, LP Public Equity, LP Private Equity, LP Ventures, LP

The Fitch View
Key Considerations
●● Experienced CLO manager, having overseen 25 CLOs since 1999.
●● Extensive experience of key personnel within the leveraged loan asset class.
●● Robust investment, oversight and credit monitoring policies.
●● Stability among key staff/preserving the talent pool amid increasing industry competition is an
ongoing challenge. B
Company
●● Bain Capital Credit invests across the credit universe, including performing and distressed bank
loans and high-yield bonds, debtor-in-possession loans, mezzanine/private placements, structured
products, credit-based equities, credit default swaps and special situations investments. Bain
Capital Credit typically retains large percentages of equity classes in the CLOs it manages.
●● Investment staff has extensive experience in structuring and negotiating complex transactions
involving high-yield assets.
●● A dedicated distressed/workout team, including the in-house counsel, manages the workout
process for distressed investments.
Investments
●● Bain Capital Credit utilizes a classic buy-and-hold strategy based on fundamental credit analysis
and disciplined portfolio monitoring.
●● The investment strategy relies on fundamental business, industry and competitive analysis.
●● All approvals are made by a committee consisting of Bain Capital Credit managing directors and
the industry analysts who follow the credit.
●● Bain Capital Credit’s research function is overseen by a 31-member industry research team; each
industry team covers approximately 25−40 credits.
Controls
●● Bain Capital Credit has a sound oversight function; all potential issues found by its compliance
department are followed up with senior management as necessary, and all internal audit reports
are reviewed by Bain’s senior management, the chief credit officer and a compliance oversight
committee.
●● Bain Capital Credit has a thorough investment monitoring process under which each analytical
team provides regular updates on credits. Detailed performance summaries are provided for most
credits on a quarterly basis.
Operations
●● Dedicated CLO administration resources provide independent trustee reconciliation and indenture
compliance monitoring. Proprietary models and Intex software are used to model CLO structures
and cash flow waterfalls.
●● There is a daily reconciliation of cash and weekly reconciliation of securities with custodians
and administrators. An automated system is in place that reconciles daily all activities and cash
balances against Bain Capital Credit’s internal Wall Street Office database.
●● Investor reporting is available via password-protected website and includes quarterly commentary,
account-specific information, capital account balances and fund performance. Bain Capital Credit
also has a dedicated, 13-person investor relations team, headed by the chief operating officer, to
handle all investor requests.
●● While third-party providers are used for banking/cash management, custody, prime brokerage
and certain valuations, no core functions are outsourced. All back-office, finance and operational
activities are conducted in-house.
Technology
●● CDO-specific tools/systems enable Bain Capital Credit to analyze trades on a pro forma basis,
manage CDO compliance, provide enhanced management/investor reporting and shadow the
CDO trustee’s accounting.
●● The company has devoted significant resources over the past several years to develop resilient
business systems and IT infrastructure that support the overall structured product platform.
●● A comprehensive disaster recovery plan is in place and regularly tested for robustness.

B

Ballyrock Investment Advisors LLC
Ballyrock Investment Advisors LLC (Ballyrock) is a wholly owned subsidiary of
FMR LLC. Ballyrock was established in 2002 and provides investment advisory services to
various types of structured credit vehicles, including CLOs and CDOs, which have focused
on investments in various types of debt securities, including bank loans, bonds and
asset-backed securities. Ballyrock’s affiliate, Fidelity Management & Research Company B
(FMR), serves as sub-adviser to each CLO that Ballyrock manages pursuant to
sub-advisory agreements. As of Dec. 31, 2015, Ballyrock managed approximately
$0.8 billion of broadly syndicated loans across two CLOs.
Manager Profile
Address 245 Summer Street, Boston, MA 02109, U.S.
Website N.P.
Year Founded 2002
Ownership Structure Independent CLO-focused manager
Parent(s) Fidelity Investments
Investment Profile
Global Firm
No. of Employees 54
AUM $109 Bil.

No. of Employees 36
AUM $15 Bil.
U.S. CLOs (No./AUM) Two/$0.8 Bil.
U.S. Loans Managed via CLOs 5.49%

Ballyrock Investment Advisors LLC 75


($ Bil.)
140
B 120
100
80
60
40
20
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Syndicated Loans Other

13.8% 13.6%
Other Europe
32.1% 4.9%
High
Yield U.S.
Bonds 81.6%
54.1%

Managed Insurance Pension/
CLOs Retirement
Accounts 2.0%
0.8% 1.4%
3.4%
CLO
Investors
0.8%
Other
Managed 95.9%
Funds
95.9%
Source: Ballyrock Investment Advisors LLC.
76 Ballyrock Investment Advisors LLC

Experience (Years)
Harley Lank Vice President Portfolio Manager 19 23
Eric Mollenhauer Vice President Portfolio Manager 20 20
Michael Weaver Vice President Portfolio Manager 10 17 B

Portfolio Issue
Ballyrock CLO 2013-1 4/13 Revolving N.P. 387 414 414 Yes Yes Yes
Ballyrock CLO 2014-1 10/14 Revolving N.P. 394 409 409 Yes Yes Yes
Total 781 823 823
a
FMR LLC
Sub-Advisory
Fidelity Management & Agreement Ballyrock Investment
Research Company
Advisors LLC
(FMR)
Sub-Advisory
Agreement
FMR High Income

Division
Ballyrock Investment Advisors LLC 77

The Fitch View
Key Considerations
●● Significant credit resources including a large credit research group with significant experience and
longevity as a team.
●● Best-in-class technology and trading platforms based on a combination of proprietary analytics
B and administration systems, all of which are well integrated.
●● Deep resources and strong brand name support business franchise, with strong alignment of
interests from affiliates of Ballyrock investing in the equity of the existing CLOs.
●● Growing or maintaining assets under management (AUM) as CLOs mature by developing and
rolling out new product offerings is an ongoing challenge for the firm.
Company
●● FMR serves as sub-adviser to each CLO that Ballyrock manages pursuant to sub-advisory
agreements providing Ballyrock access to all the employees and resources of FMR.
●● FMR’s high-income division has been managing non-investment-grade portfolios since 1977, and
has over $100 billion in AUM and over 60 investment professionals.
●● Ballyrock has sponsored seven CLOs to date.
●● Ballyrock’s research team consists of 24 experienced sector-focused professionals, including two
dedicated loan analysts.
●● Experienced portfolio management team averaging over 20 years of investment experience.
Investments
●● Ballyrock’s investment philosophy focuses on understanding fundamental bottom-up analysis and
valuations across the capital structure. Emphasis is on a credit’s fundamental trajectory, placing
weight on positive fundamentals, collateral value, valuation and credit support.
●● Research analysts are independent, focusing only on credit, and are responsible for covering
30–50 names each, analyzing transactions across the capital structure.
●● While there is no formal credit committee, the investment process is collaborative and every idea
is presented by the analyst to each portfolio manager charged with each specific strategy.
●● Dedicated special situations team to handle distressed credits and workouts.
Controls
●● Dedicated compliance team ensures systematic risk reviews that are integrated with both portfolio
management as well as the trading desk.
●● Strong governance structure and risk monitoring, including both pre- and post-trade compliance
testing at both the trade and portfolio levels to support Ballyrock investment independence.
●● Various daily, weekly, monthly and quarterly risk management reports are in place to ensure
appropriate oversight.
●● Ballyrock has compliance and governance processes in place to support accuracy of trading,
●● Independent and multilayer compliance oversight from FMR, with risk and control functions
allowing good coverage of risk areas across investment disciplines.
Operations
●● Dedicated trader with over 20 years’ experience as well as four dedicated loan closers, providing
for efficient execution and settlement.
●● Daily reconciliation of cash and positions and monthly reconciliation of securities with U.S. Bank
National Association, as trustee. Ballyrock has a strong relationship and constant dialogue with
the trustee.
●● All portfolio management and credit analysis functions are conducted internally, with models run
daily to ensure compliance with CLO tests.
Technology
●● Ballyrock has in place an integrated and flexible platform based on a combination of both proprietary
analytics and widely accepted industry systems, including Wall Street Office and Administrator.
●● Business continuity plan is appropriate and tested multiple times a year, with redundancies in
numerous locations and resources and support provided through FMR.
78 Ballyrock Investment Advisors LLC

BlackRock, Inc.
BlackRock Financial Management, Inc. (BFM) is a wholly owned subsidiary of BlackRock,
Inc. (NYSE: BLK), a global asset management company with $4.6 trillion in assets under
management (AUM) as of Dec. 31, 2015. BFM’s primary focus is the management of
institutional fixed-income securities, multi-asset and quantitative equity separate accounts,
private investment funds and U.S. registered investment companies. BlackRock has been B
managing CLOs since 2002 and currently has $4.9 billion in AUM via CLO structures.
Manager Profile
Address 55 East 52nd Street, New York, NY 10055, U.S.
Website www.blackrock.com
Year Founded 1988
Parent(s) N.A.
Investment Profile
Global Firm
No. of Portfolio Managers 1,050
AUM $4.6 Tril.
Leveraged Finance Platform Only

No. of Portfolio Managers 20a
AUM $54.7 Bil.b
No. of Invested Credits 600–700
a
High-yield and bank loans. bDedicated high-yield and bank loan assets only. The leveraged finance team oversees
additional high-yield and bank loan assets across multisector fixed-income portfolios, multi-asset strategies and
other alternatives. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy BlackRock has committed to providing ongoing support
for its CLO business and intends to provide the necessary
capital to support Risk Retention compliant CLOs in the
future. BlackRock’s current intention is that the firm’s risk
retention investment will be in the form of a 5% vertical
strip held unlevered directly on the firm’s balance sheet.
BlackRock retained the 5% vertical slice in its most recent
two U.S. cash-flow CLOs (Magnetite XVI and XVII).
BlackRock, Inc. 79
Leveraged Finance Platform Assets Under Management (As of Dec. 31, 2015)
Leveraged Finance Platform Assets Under Management

($ Bil.)
B
60
50
40
30
20
10
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

CLOs Managed
Syndicated 5.6% Funds
Loans
17.5%
11.0%
Other (CLOs - Managed

Liabilities) Accounts
42.5% 16.8%
High Investment
Yield Grade Bonds
31.6% 51.8% CLOs
23.3%

Insurance Endowments
8.3% 0.2% Banks
0.4%
Pension/
Retirement
2.0%
CLO Investors
9.0%
Other
80.1%
Note: The leveraged finance team oversees additional high-yield and bank loan assets across multisector
fixed-income portfolios, multi-asset strategies and other alternatives. AUM distributions for the leveraged finance
platform exclude third-party CLOs ($9.0 billion).
Source: BlackRock, Inc.

BlackRock does not have a formal credit committee. Rather, BlackRock’s leveraged finance group uses a
team-based approach to managing portfolios. The group holds or participates in several meetings that are essential
to the bank loan portfolio management process, including a daily meeting across leveraged finance, a daily global
meeting across BlackRock, a weekly risk meeting on loan accounts, a weekly portfolio management meeting on all
accounts and a weekly sector review meeting to delve deeper into specific sectors/individual names. BlackRock
uses each of these meetings to constantly revisit portfolio-level risk and to review sectors and individual names. The
meetings are attended by a broad representation of professionals across leveraged finance, risk and quantitative
analysis, and global capital markets to foster communication, idea generation and accountability for performance.
80 BlackRock, Inc.
Portfolio Issue
Magnetite IV
Magnetite V
7/02
9/03
Called
Called
325
339
N.A.
N.A.
336
350
N.A.
N.A.
No
No
N.P.
N.P.
N.P.
N.P.
B
Black Rock SR Income 10/04 Called 390 N.A. 400 N.A. No N.P. N.P.
Series
Series II
Black Rock SR Income 1/07 Amortizing 492 150 500 168 No N.P. No
Series IV
Series V
BMI CLO I 6/11 Called 400 N.A. 408 N.A. No N.P. N.P.
Magnetite VI 9/12 Revolving 400 400 416 414 Yes N.P. No
Magnetite VII 12/12 Revolving 600 598 612 612 Yes N.P. No
Magnetite VIII 5/14 Revolving 600 596 612 612 Yes N.P. No
Magnetite IX 7/14 Revolving 400 397 409 409 Yes N.P. No
Magnetite XI 12/14 Revolving 550 548 561 561 Yes N.P. No
Magnetite XII 3/15 Revolving 600 597 609 609 Yes N.P. No
Magnetite XIV 6/15 Revolving 525 525 535 535 Yes N.P. No
Magnetite XV 11/15 Revolving 606 607 620 620 Yes N.P. No
Magnetite XVI 12/15 Ramp-up 500 501 507 507 Yes N.P. Yes
Total 7,768 4,919 7,932 5,047
a
Anticipated U.S. Risk Retention compliant. N.A. – Not applicable. N.P. – Not provided. Note: Numbers may not add
due to rounding.
Regions
Client BlackRock
Retail iShares Institutional
Businesses Solutions
Strategic
Americas, EMEA, APAC
BlackRock Investment
Product Product Management Corporate Governance
Institute
Management
Investment Trading &

Alpha Beta Multi-Asset Alternatives
Strategy Groups Liquidity
BlackRock Platform & Business Risk & Quantitative

Technology Aladdin
Integration Operations Analysis
Human Strategy & Legal & Marketing & Gov’t

Finance Internal Audit
Resources Planning Compliance Comms Relations
BlackRock, Inc. 81
The Fitch View
Key Considerations
●● Long history and strong brand name bolster business franchise.
●● High levels of communication across a network of experienced investment and credit professionals
facilitate investment management through changing market conditions.
B ●● Best-in-class technology and trading platforms based on a combination of proprietary analytics

and administration systems, all of which are well integrated.
●● Maintaining staffing levels and focusing on the CLO business following significant growth in
loan AUM from other products, driven by both retail and institutional demand, will be ongoing
challenges.
Company
●● BlackRock employs a staff of approximately 12,000, including more than 2,000 investment
professionals, and has global offices with 28 investment centers worldwide.
●● Global presence with a diversified book of business (by geography, asset class and distribution
channel). Leveraged finance AUM was $54.7 billion as of Dec. 31, 2015.
●● Leveraged finance group is also diversified by product type, with assets split among CLOs,
third-party CLOs, managed accounts and managed funds.
●● Increased credit research staffing levels in response to product demand. The leveraged finance
team is led by 20 portfolio managers (PMs). Members of the team average 14 years of investment
experience.
Investments
●● Investment decisions are driven by cross-discipline groups consisting of a lead PM,
sector-focused PMs, credit analysts and distressed/legal analysts. Analysts are responsible for
covering between 25 and 50 credits each.
●● The investment philosophy focuses on fundamental analysis. Quantitative assessment of capital
structures is paired with qualitative perspective of management and industry positioning.
●● Diversified portfolios are valued, with names generally approved for a 1% position size for each
portfolio. However, each portfolio and strategy may have different needs that affect allocations.
●● Daily and weekly credit and risk meetings are held to review macro positioning to support the
investment process and discipline of focusing on credit and relative value.
Controls
●● Strong governance structure and risk functions, featuring independence and a focus on specific
risk types.
●● BlackRock has compliance and governance processes in place to support accuracy of trading,
●● The company has an efficient administration supported by robust systems and procedures.
●● The company employs daily reconciliation of cash and positions and weekly reconciliation of
securities with custodians and administrators.
●● BlackRock has in place independent and multilayer compliance, and its risk and control functions
allow for good coverage of risk areas across investment disciplines.
Operations
●● Dedicated CDO administration resources provide independent trustee reconciliation and
indenture compliance monitoring.
●● Trustees are engaged on a rotational basis based on quarterly performance review performed
by BlackRock.
●● Established valuation and pricing framework is governed by a dedicated committee and supported
by advanced internal pricing capacity.
Technology
●● Industry-leading investment, portfolio and risk management systems include Aladdin, BlackRock’s
proprietary system, as well as AnSer, Wall Street Office and other industry-standard systems.
●● Aladdin Research is used to support the collection and dissemination of credit underwriting
information.
●● A robust and fully integrated IT platform provides a very good fit to business requirements.
●● The business continuity plan is appropriate and tested, with redundancies in multiple locations.
82 BlackRock, Inc.
BlueMountain Capital Management, LLC
BlueMountain Capital Management, LLC (BlueMountain), founded in 2003, is registered
as an investment advisor in both the U.S. and U.K. The company is a diversified alternative
asset management firm with investment expertise across markets, investable securities
and industries. The firm manages absolute return funds, private capital funds, customized
single-investor funds and CLOs on behalf of sophisticated institutions and individual
B
investors worldwide. As of Dec. 31, 2015, BlueMountain had assets under management
(AUM) of $21.5 billion, of which $7.5 billion related to CLOs.
Manager Profile
Address 280 Park Avenue, 12th Floor, New York, NY 10017, U.S.
Website www.bluemountaincapital.com
Year Founded 2003
Parent(s) N.A.
Investment Profile
Global Firm
AUM $21.5 Bil.

No. of Employees 38
AUM N.P.

Overall Self-Described Risk Retention Strategy BlueMountain has created a new management company
to comply with risk retention rules in both the U.S. and
Europe. The new management company will serve as
manager for new-issue CLOs and hold the applicable risk
retention interests.
BlueMountain Capital Management, LLC 83

B
($ Bil.)
25
20
15
10
5
0
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Foundation/
Principal
Endowment SWF
2.7%
2.8% 3.7%
CLOs HNW/Family Office Bank
34.5% 3.5% 0.6%
Retail Platform
4.3% Pension
35.3%
Managed Fund of Funds
Funds 5.1%
CLO
65.5% Insurance Investors
7.5% 34.5%
HNW – High net worth. SWF – Sovereign wealth fund.
Source: BlueMountain Capital Management, LLC.

This section does not apply to BlueMountain’s CLO business.
84 BlueMountain Capital Management, LLC

Portfolio Issue
BlueMountain CLO I
BlueMountain CLO II
10/05 Amortizing
6/06 Amortizing
496
390 216
2 512
400
40
229
No
No
No
No
No
No
B
BlueMountain CLO III 2/07 Amortizing 445 236 450 269 No No No
BlueMountain CLO 2011-1 7/11 Amortizing 350 296 370 309 No No No
BlueMountain CLO 2012-1 5/12 Revolving 399 409 410 410 No No No
BlueMountain CLO 2012-2 10/12 Revolving 599 611 617 617 Yes No No
BlueMountain CLO 2013-2 6/13 Revolving 417 425 429 429 No No No
BlueMountain CLO 2015-4 12/15 Ramp-up 500 414 506 506 Yes No No
Total 8,484 7,527 8,695 7,810
a
Affiliated
William H.
Managers
Reeves
Group
22 Active Partners Seven Retired Partners Two External Partners
Actively involved in the Not actively involved in the Not actively involved in the
management of the firm management of the firm management of the firm
BlueMountain Capital Management, LLC
BlueMountain Capital Management, LLC 85

B
86 BlueMountain Capital Management, LLC

BNP Paribas Investment Partners
BNP Paribas Investment Partners (BNPP IP) is the global asset management arm of BNP
Paribas. As of Dec. 31, 2015, it had €530 billion in assets under management (AUM) through
a diversified product mix spanning equity, fixed income, multi-asset, structured, indexed
and alternative investments across developed and emerging markets. Approximately
€5 billion was in loan strategies, including nine CLOs.
B
Manager Profile
Address 14 Rue Bergère, 75009 Paris, France
Website www.bnpparibas-ip.com
Year Founded 1964
Parent(s) BNP Paribas S.A.
Key Affiliate(s) BNP Paribas Asset Management S.A.S.
Investment Profile
Global Firm
AUM €530 Bil. in assets under management and advisory

No. of Employees 21
No. of Portfolio Managers Five
AUM €5 Bil.
Credits per Analyst 45 (U.S.)/27 (Europe)
U.S. CLOs (No./AUM) Three/€0.74 Bil.
N.A. – Not available.
Group Assets Under Management

(€ Bil.)
5
4
3
2
1
0
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Note: Loan strategies only.

Source: BNP Paribas Investment Partners.
BNP Paribas Investment Partners 87


Cash/Commitment
Direct Not Called
B Lending
13.1%
13.1%
U.S.
32.3%
High Yield
Bonds
0.3%
CLOs Syndicated
0.3% Middle Loans Europe
Market 70.1% 67.7%
Loans
3.0%

Managed Endowments
CLO
Accounts Other 0.2%
Investors
13.3% 0.4% 22.9%
CLOs
30.6%
Insurance Banks
58.5% 7.7%
Managed
Funds Pension/
56.1% Retirement
10.1%
Note: Loan strategies only.

Source: BNP Paribas Investment Partners.
U.S. CLO Credit Committee

Experience (Years)
Vanessa Ritter Head of Global Loans N.A. 8 23
Allan Roopan Head of Credit Structuring and N.A. 9 19

Origination
Senior Credit Analysts Senior Credit Analysts N.A. — 15a
Average. N.A. – Not applicable.
a
European CLO Credit Committee

Experience (Years)
Vanessa Ritter Head of Global Loans N.A. 8 23
Philippe de Nercy COO – Head of Risk N.A. 29 29
Vincent Brousseau Senior Portfolio Manager N.A. 16 16
Ludovic Bonneau Portfolio Manager N.A. 7 17
88 BNP Paribas Investment Partners

Portfolio Issue
Nantucket CLO 1 Ltd. 11/06 Amortizing N.A. 94 300 107 No No Yes
BNPP IP CLO 2014-1, Ltd. 4/14 Revolving 385 383 401 401 Yes No Yes B
BNPP IP CLO 2014-II, Ltd. 10/14 Revolving 350 349 361 361 Yes No Yes
Total 735 826 1,062 869
a

Portfolio Issue
Name Pricing Status Target Current OriginalCurrent Volcker CRR
Leveraged Finance Europe Capital I BV 11/01 Called 300 0 315 0 N.A. N.A.
Leveraged Finance Europe Capital II BV 8/03 Called 178 32 187 47 N.A. N.A.
Leveraged Finance Europe Capital III BV 10/04 Amortizing 299 21 307 49 N.A. N.A.
Leveraged Finance Europe Capital IV BV 10/06 Amortizing 301 53 307 68 N.A. N.A.
Versailles CLO Plc 11/06 Called 330 34 338 53 N.A. N.A.
Kintyre CLO Plc 3/07 Called 338 0 350 0 N.A. N.A.
Gillespie CLO Plc 8/07 Called 300 0 309 0 N.A. N.A.
Neptuno I BV 5/07 Amortizing 485 323 500 352 N.A. N.A.
BNPP IP EURO CLO 2015-1 4/15 Revolving 300 301 309 309 Yes Yes
Total 2,831 763 2,921 877
N.A. – Not applicable. Note: Numbers may not add due to rounding.
BNP Paribas S.A.
BNP Paribas
Investment Partners
THEAM (Capital
BNP Paribas Asset FFTW (U.S. and Protection, Indexing Other Affiliates and
Management Global Fixed Income) and Model-Driven Emerging Market JV
Investments)
BNP Paribas Investment Partners 89

The Fitch View
Key Considerations
●● Financially strong institutional parent and diversified business from a product and client mix
perspective.
●● Seasoned senior management team with longstanding shared experience in managing CLOs.
B ●● Strong CLO investment services and monitoring ability.
●● Growth of loan investment activities with good momentum on unlevered funds and mandates.
Company
●● Established in 2001 as part of BNP Paribas CIB, the CLO team joined BNPP IP in 2014. It is now
part of the asset manager’s global loans team of 21, which had €5 billion in AUM at year-end 2015.
●● CLO team’s move to BNPP IP has strengthened its independence and autonomy relative to the
bank’s leveraged loan activities.
●● Acquisition and successful turnaround of third-party CLOs since 2009; first new 2.0 CLO in 2015.
●● Portfolio managers (PMs) are supported by 12 dedicated loan analysts covering the U.S. and
European markets, allowing good access to cross-border opportunities. Trades execution in the
secondary market is centralized on one of the analysts.
●● The team also benefits from dedicated support staff for loan settlement and transaction support
and good access to BNPP IP’s wider resources (public research, controls, operations, sales, legal
and compliance).
Investments
●● Investment approach driven by bottom-up credit fundamentals and complemented by a top-down
approach to portfolio diversification. It focuses on loans, primarily senior secured.
●● Two-step credit selection process, a pre-screening phase and a detailed credit analysis phase,
including full due diligence, financial projections, relative-value and liquidity analysis, and legal
documentation review.
●● Investment committee decides on all new investment opportunities sourced from the primary or
secondary market, on major credit events/restructuring, and on reinvestments in illiquid assets or
those on the watchlist. Strong selectivity demonstrated by growing rejection rate.
●● All deal analysis, recommendations and committee conclusions are well documented and
adequately logged. Good portfolio and credit monitoring ability through a robust proprietary tool.
●● Track record in restructuring situations; workout experience among senior team members.
Controls
●● PMs, the investment services team and regular monitoring committees ensure a first level of
control. The investment services team performs comprehensive controls (collateral, O/C test and
waterfall, among others) on top of those separately conducted by the trustee.
●● CLO investment risks are regularly and formally reviewed during monitoring committees.
●● BNPP IP’s compliance, permanent control and risk departments provide strong coverage of risk
areas. The independent internal audit function conducts periodic controls; the most recent audit
was in the first quarter of 2016.
●● Trade control procedures are in place, with adequate pre-allocation of transactions to each fund.
Primary trades are allocated on a pro rata basis, depending on initial commitment.
●● Investment compliance and trade monitoring are handled through Markit Wall Street Office (WSO).
Operations
●● Daily valuation based on several pricing sources (brokers, Bloomberg, Markit). Investor reporting
includes monthly valuation and detailed quarterly reports.
●● Efficient cash management with dedicated tools allowing good identification of refinancing needs.
●● Appropriate operational procedures are in place. Settlement is managed through Markit ClearPar.
●● Weekly reconciliations are conducted with trustees for principal (monthly for interest).
Technology
●● The recent migration to WSO provides a robust, efficient and integrated environment for the CLO
team.
●● The team has a dedicated intranet tool for credit monitoring. It efficiently supports data gathering
and the monitoring process on loans and portfolios.
●● The CLO team benefits from BNPP IP’s IT security and backup resources and procedures.
90 BNP Paribas Investment Partners

Cairn Loan Investments LLP
Cairn Loan Investments LLP (CLI) is an independent U.K. limited liability partnership established
by Cairn Capital Limited (Cairn Capital) in 2014 to build on its CLO management business.
Cairn Capital is a specialist credit asset manager and advisory firm focusing on Europe.
Founded in 2004, it has been managing CLOs since 2006. It manages various investment
funds and segregated mandates in addition to its structured credit products. Cairn Capital was
the first entrant to the European CLO 2.0 market in 2013. As of Dec. 31, 2015, it had total assets
under management and advice (AUM) of $14.8 billion, including €1.1 billion in European CLOs
(including CLI). C
Manager Profile
Address 27 Knightsbridge, London SW1X 7LY, U.K.
Website www.cairncapital.com/cairn-loan-investments-llp
Year Founded 2014 (Cairn Loan Investments LLP)
2004 (Cairn Capital Limited)
Parent(s) N.A.
Investment Profile
Global Firm
No. of Employees 59
AUM $14.8 Bil.

No. of Employees 23
AUM $1.2 Bil.
Credits per Analyst 20–50a
U.S. CLOs (No./AUM) Zero/$0
European CLOs (No./AUM) Fourb/€1.2 Bil.
U.S. Loans Managed via CLOs N.A.
a
Junior analysts typically cover between 20 and 25 credits, and senior analysts between 10 and 50, depending on
the sector. bOne managed by Cairn Capital, three by CLI, and one CLO warehouse managed by CLI. CLI is not
an affiliate of Cairn Capital, but it was established by Cairn Capital to manage all future CLO issuance, and Cairn
Capital provides support services to CLI. N.A. – Not applicable.

($ Bil.) Advice Legacy Managed Discretionary
30
25
20
15
10
5
0
2009 2010 2011 2012 2013 2014 2015
Note: All classes include Cairn Capital AUM.
Source: Cairn Capital.
Cairn Loan Investments LLP 91


European Other
ABS 0.6% Managed
Special
Accounts
Opportunities 10.4%
C 9.8%
Loans
38.5%
Corporate CLOs
59.9%
Credit 56.8%
8.3% Managed
Funds
Financials 4.7%
11.0%
Note: Only includes discretionary AUM. All classes include Cairn Note: Only includes discretionary AUM. All classes include Cairn
Capital managed AUM. Capital managed AUM.

Endowment &
Other Foundation
1.7% 1.6%
Pension CLO Investors

Funds 56.8%
39.8%
Note: Other includes multifamily/family office/high net worth/bank.

Only includes discretionary AUM. All classes include Cairn Capital
managed AUM.
Source: Cairn Capital.
92 Cairn Loan Investments LLP

Experience (Years)
Andrew Burke Senior Portfolio Manager (CLI) Permanent 10 33
Andrew Jackson Chief Investment Officer (Cairn Capital) Permanent 11 21
Graham Murphy Chief Risk Officer (Cairn Capital) Permanent 5 19
John Murphy
Paul Campbell
Portfolio Manager (CLI)
Chief Executive Officer (Cairn Capital)
Alternative to Andrew Burke
Alternative to Andrew Jackson or
9
12
15
28
C
Graham Murphy

Portfolio Issue
Cairn CLO II B.V.a 8/07 Amortizing 391 183 393 201 No No
Cairn CLO III B.V. 3/13 Revolving 300 294 306 306 Yes Yes
Cairn CLO IV B.V. 12/14 Revolving 300 301 309 309 Yes Yes
Cairn CLO V B.V. 5/15 Revolving 300 303 309 309 Yes Yes
Total 1,291 1,081 1,317 1,125
Launched by Cairn Capital. Cairn Capital is not an affiliate of CLI, but Cairn Capital established CLI and Cairn
a
Capital provides support services to it. CLI has been set up by Cairn Capital to manage all future CLO issuance.

Cairn Capital Third-Party

Members
C
Group Limited
Member Capital
(loans and capital contributions)
Collateral Cairn Capital

Outsourced
Cairn CLO III Management Limited
Cairn Loan Investments LLP Services
Services
Remainder Agreement
Cairn CLO IV U.K. limited
of liabilities U.K. limited liability partnership
company
placed in FCA authorized and regulated as
FCA authorized
market Cairn CLO V a MiFID investment firm
and regulated
under AIFMD
Etc.
Investment in 5% of each Cairn CLO in

Subordinated Notes

The Fitch View
Key Considerations
●● Independent asset manager with a diversified business benefiting from both a depth of experience
in CLO and loan management and a stable and experienced senior management.
●● Robust risk management structure with risk managers structurally embedded in the credit
decision-making process by virtue of being represented on the credit committee.
●● Outsourced credit research staff forming the majority of the analyst pool. The outsourced analysts
feed into Cairn Capital’s experienced London-based senior credit analysts. C
Company
●● Cairn Capital is owned by the directors and staff, with one strategic external institutional investor.
Its relatively high level of employee ownership aligns staff with the success of the business.
●● Cairn Capital is a multistrategy platform; strategies include long/short structured credit, multi-asset
credit and CLOs.
●● Cairn Capital’s investor base is diversified by type and geography.
●● Cairn Capital operates an outsourced credit research team in Mumbai feeding into a limited
number of senior London-based credit analysts. This structure differentiates Cairn Capital from
peers, which typically rely on in-house research teams.
●● Regarding risk retention strategy, CLI is a MiFID investment firm authorized by the FCA acting in
the capacity of CLO sponsor. It invests in Cairn Capital junior CLO notes and provides capital to
Cairn Capital CLO warehouses.
Investments
●● The investment process is multistage, based on bottom-up fundamental credit analysis.
●● An initial filtering step eliminates opportunities that would not be suitable for any portfolio or would
be unlikely to pass the full credit analysis.
●● The full credit analysis is detailed, including top-down and bottom-up elements and finally a
relative-value assessment.
●● Position sizing is driven by portfolio manager (PM) conviction, subject to a trading limit approved
by the investment committee.
●● The CLO investment team comprises two PMs, four London-based senior credit analysts and five
outsourced credit analysts based in Mumbai.
●● Cairn Capital’s decline rate was 63% in 2015, occurring primarily at the filtering stage.
Controls
●● Public/private data are managed in accordance with defined policies and compliance oversight.
●● Pre- and post-trade compliance testing is effected via CDO Sentry.
●● Cairn Capital is differentiated from other CLO managers by having risk management permanently
represented on the investment committee, thus bringing structural independence to the decision-
making process.
Operations
●● Additional employees in legal (three) and operations/treasury (eight). Loan settlements are
outsourced to Courtland.
●● Dedicated CLO administrative staff in the operations and treasury team provides independent
trustee reconciliation and indenture compliance monitoring.
●● Cash is reconciled daily and on trading; positions are reconciled monthly.
●● Cairn Capital does not provide supplemental CLO investor reporting.
Technology
●● Integrated and flexible platform based on a combination of proprietary systems (Nexus) and third-
party administration systems, including widely accepted industry systems such as CDO Sentry.
●● Detailed business continuity and disaster recovery plans are in place and tested, with offsite
server storage and backups.

C

The Carlyle Group
The Carlyle Group (TCG) is a global alternative asset manager that was founded in 1987.
Its activities are split into four business segments: corporate private equity, real assets,
global market strategies (GMS) and investment solutions. As of Dec. 31, 2015, TCG had
assets under management (AUM) of $183 billion. Of this total, $19.5 billion related to the
structured credit group, which is part of GMS.
C
Manager Profile
Address 520 Madison Avenue, New York, NY 10022, U.S.
Website www.carlyle.com
Year Founded 1987
Ownership Structure Private equity-sponsored credit manager
Parent(s) N.A.
Investment Profile
Global Firm
No. of Employees Approximately 1,700
AUM $183 Bil.
Structured Credit Only

No. of Employees 23
AUM $19.5 Bil.
No. of Invested Credits 1,035
Credits per Analyst Approximately 40–50

Overall Self-Described Risk Retention Strategy The Carlyle Group and its affiliates expect to fund their
own risk retention.
The Carlyle Group 97

Structured Credit Assets Under Management (As of Dec. 31, 2015)
Structured Credit Assets Under Management

($ Bil.)
20
C
15
10
0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Breakdown by Region Breakdown by Product Type

Managed
Europe Accounts
26.4% 0.2%
U.S.
73.6% CLOs
99.8%
Source: The Carlyle Group.
98 The Carlyle Group

Experience (Years)
Mitch Petrick Managing Director Head of Carlyle Global Market Strategies 6 29
Linda Pace Managing Director Head of U.S. Structured Credit 17 31
Glori Graziano Managing Director Credit Committee Chair 15 37
Justin Plouffe
Michael Hadley
Managing Director
Principal
Structuring and Portfolio Analytics
Credit Analyst
9
8
15
18
C
William Lee Principal Credit Analyst 11 21
Adam Moss Principal Credit Analyst 6 24

Experience (Years)
Colin Atkins Managing Director Head of European Structured Credit 11 26
Stuart MacKenzie Director Portfolio Management and Trading 11 15
Martin Glavin Director Credit Analyst 10 14
Louis Reynolds Director Credit Analyst 11 16
Szymon Jaroszewski Associate Director Credit Analyst 9 14

Portfolio Issue
Stanfield CLO 6/99 Matured 773 0 800 0 No No N.P.
CHYP 2 12/99 Matured 550 0 550 0 No No N.P.
C Stanfield RMF Transatlantic 5/00 Amortizing 750 5 750 60 No No N.P.
Carrera 12/02 Matured 294 0 300 0 No No N.P.
CLOF 9/03 Matured 300 0 300 0 No No N.P.
MCAP 3 5/04 Matured 332 0 332 0 No No N.P.
Modena 9/04 Matured 382 0 400 0 No No N.P.
Vantage 3/05 Matured 480 0 500 0 No No N.P.
Bristol 10/05 Matured 486 0 500 0 No No N.P.
MCAP 4 12/05 Matured 300 0 307 0 No No N.P.
Azure 3/06 Matured 500 0 515 0 No No N.P.
CHYP 8 5/06 Amortizing 510 285 525 297 No No N.P.
Veyron 6/06 Matured 482 0 500 0 No No N.P.
MCAP 5 6/06 Amortizing 300 0 309 1 No No N.P.
Daytona 2/07 Amortizing 550 264 567 239 No No N.P.
Foothill CLO I 2/07 Amortizing 492 183 500 180 No No N.P.
MCAP 6 3/07 Amortizing 391 132 400 119 No No N.P.
McLaren 7/07 Amortizing 530 286 544 273 No No N.P.
Arnage 12/07 Matured 600 0 605 0 No No N.P.
CCP Financing I 4/08 Matured 450 0 450 0 No No N.P.
CHYP 2008-1 5/08 Matured 511 0 500 0 No No N.P.
CGMS 2011-1 7/11 Called 500 0 507 0 Yes No N.P.
CGMS 2012-1 3/12 Revolving 494 499 510 510 Yes No N.P.
CGMS 2013-3 6/13 Revolving 500 502 517 517 No No N.P.

Portfolio Issue
CGMS 2014-3
CGMS 2014-4
8/14
9/14
Revolving
Revolving
800
557
802
558
816
571
816 Yes
571 Yes
No
No
N.P.
N.P.
C
CGMS 2015-4 11/15 Ramp-up 500 N.P. 509 509 Yes No N.P.
CGMS 2015-5 12/15 Ramp-up 400 N.P. 407 407 Yes No N.P.
Total 23,249 11,168 23,708 12,241
a

Portfolio Issue
CELF I 4/05 Amortizing 439 101 450 147 No No
CELF II 11/05 Amortizing 462 131 475 174 No No
HIGHLANDER I 8/06 Amortizing 487 118 500 174 No No
CELF III 10/06 Amortizing 500 254 508 289 No No
HIGHLANDER II 12/06 Amortizing 686 402 700 444 No No
CELL 1/07 Amortizing 350 207 380 212 No No
HIGHLANDER III 4/07 Amortizing 784 497 800 535 No No
CELF IV 5/07 Amortizing 583 353 600 392 No No
CELF V 6/08 Called 400 0 401 0 No No
HIGHLANDER IV 6/08 Called 433 0 443 0 No No
CELF 2008-2 11/08 Called 539 0 556 0 No No
CGMS EUR CLO 2013-1 6/13 Revolving 344 345 350 350 No Yes
CGMS EUR CLO 2015-3 12/15 Ramp-up 500 N.P. 517 517 No Yes
Total 7,524 4,812 9,158 5,712
N.P. – Not provided. Note: Numbers may not add due to rounding.

Global Market Strategies
Middle-
Closed-End Funds Open-End Funds Market
Platform
C
Asia Claren ESG Carlyle
Structured Strategic Energy Vermillion Quantitative
Structured Road Long/ Emerging GMS
Credit Partners Mezzanine Commodities Strategies
Credit Short Credit Markets Finance

The Fitch View
Key Considerations
●● A strong focus on primary market allocations is supported by Carlyle Investment Management’s
(CIM) market position and more active trading strategy.
●● Avoidance of potential conflicts of interest by maintaining the company’s newly implemented wall of
separation between the CLO platform and CIM’s private equity business is an ongoing challenge.
Company
●● Communication across various business segments encourages knowledge sharing and allows for C
added industry insight.
●● On average, analysts have 15 years’ experience and are responsible for covering between 40 and
50 credits, based on industry and experience.
●● The investment team, consisting of 23 individuals, is responsible for U.S. CLO management. The
team has had very low turnover and exhibits strong preference for growth from within.
●● Strategically focused on European CLO market, having launched six European CLOs since the
beginning of 2014 and delivering on its strategy of repeat issuance.
●● Highly profitable business, with fee-based revenues. More than adequate regulatory capital.
Investments
●● Carlyle’s U.S. structured credit group engages in active portfolio management through opportunistic
trading, with a relative-value focus and an emphasis on bottom-up fundamental credit selection.
●● GMS leverages the entire CIM global network through inter-group knowledge sharing to broadly
access the market results in favorable primary market allocations.
●● Ten analysts, allocated by sector, with primary/secondary system per name and sector.
●● Coverage per analyst (40–50 names) is higher relative to peers but consistent with credit team’s
depth of experience.
●● The committee process results in the assignment of a risk rating (1–10 scale) and a value rating
(1–5 scale) to each loan in the portfolio.
●● CIM employees typically hold between 10% and 20% of the equity in CLO transactions to align
interest with investors.
Controls
●● Detailed policies covering order allocation, inter-fund trading, personal dealing and pricing are
overseen by compliance.
●● CIM has various daily, weekly, monthly and quarterly risk management reporting and oversight
functions in place.
●● Potential conflicts of interest managed through formal information barrier overseen by compliance.
●● Public or private only at strategy level on all names, thus precluding conflicts of interest. Cleansing
period overseen by compliance when status (public versus private) changes.
Operations
●● GMS has a dedicated internal trading and operational support team that provides independent
trustee reconciliation and indenture compliance monitoring.
●● GMS has an additional, outsourced team at State Street to provide middle- and back-office
support. Daily reconciliation with trustee is automated via bespoke system, Polaris.
●● Trade settlements are outsourced to Courtland Capital. Daily reporting is overseen by COO.
●● Investor reporting is available via a password-protected website and includes offering documents,
investor letters, performance reports and manager updates.
Technology
●● GMS has an integrated and flexible platform based on a combination of both proprietary analytics
and best-in-class third-party systems such as Black Mountain Everest and Cortland.
●● External data feeds for pricing (Markit for loans, IPD for bonds) are integrated with Polaris and
Everest.

C

Chenavari Investment Managers
Chenavari Investment Managers (Chenavari) is an independent asset manager focused on
credit and is active in Europe and Asia. Founded in 2008, it is privately held by its partners.
As of Dec. 31, 2015, Chenavari had assets under management (AUM) of approximately
$5.3 billion, of which €0.8 billion was held in CLOs. The company has been managing
CLOs since 2012, when it acquired two from Alpstar; it subsequently launched its first
European CLO in August 2014.
C
Manager Profile
Address 1 Grosvenor Place, London SW1X 7JH, U.K.
Website www.chenavari.com
Year Founded 2008
Ownership Structure Partner-owned credit asset manager
Parent(s) N.A.
Investment Profile
Global Firm
AUM $5.3 Bil.

No. of Employees Six
AUM €0.8 Bil.

($ Bil.)
6
5
4
3
2
1
0
2008 2009 2010 2011 2012 2013 2014 2015
Source: Chenavari Investment Managers.
Chenavari Investment Managers 105

Other
CLOs 6.6%
16.2%
C U.S.
49.4%
Europe
44.0 %
Other
83.8%
CLOs Asset Manager Banks

9.3% 2.3%
14.2% Managed Funds Institutional
37.8% 31.3%
HNW/Family Office
Other
12.7%
14.2%
Funds of Funds
Managed Accounts 44.4%
33.8%
HNW – High net worth.
Source: Chenavari Investment Managers.
European Leveraged Credit Investment Committee

Experience (Years)
Loic Fery Managing Partner CEO and Co-CIO 9 19
Frederic Couderc Partner Co-CIO 9 20
Mick Vasilache Partner Portfolio Manager 8 20
Edward Smalley Deputy CRO Deputy CRO 2 10
Benoit Pellegrini Partner Portfolio Manager 8 13
106 Chenavari Investment Managers

Portfolio Issue
Alpstar CLO 1 p.l.c. 4/06a Amortizing 323 108 330 323 Yes N.P.
Alpstar CLO 2 p.l.c. 4/07a Amortizing 585 377 600 585 No N.P.
Toro European CLO 1 Ltd 8/14 Ramp-up 300 303 308 300 Yes Yes C
Total 1,208 788 1,238 1,208
a
Closing date. N.P. – Not provided. Note: Numbers may not add due to rounding.
Chenavari Investment
Managers Holdings
(Cayman Islands)
Alpstar Management Chenavari Investment Managers Chenavari Financial Group Ltd

Jersey Limited Luxembourg Sarl Service Company
(Jersey) (Luxembourg AIFM) (U.K.)
Alpstar CLO 1 plc Toro European CLO 1

(Ireland) (Ireland)
Chenavari Credit Partners LLP

(U.K.)
Regulated by FCA/CFTC/SEC
Alpstar CLO 2 plc
(Ireland)
Chenavari Investment Managers 107

The Fitch View
Key Considerations
●● Independent asset manager and experienced senior team.
●● Strong proprietary technology, notably its look-through CLO analysis system, Toy Box.
●● Limited CLO AUM to date, resulting from two acquired CLOs and one new CLO.
Company
●● Chenavari is an independent asset manager founded in 2008 and focused on niche credit:
C structured finance, credit and illiquid credit opportunities. As an independent entity it lacks the
financial resources of other bank- or private equity-backed CLO managers. It actively seeds new
activities with its own capital.
●● Chenavari is privately held by the nine partners in the business. It is controlled by Loic Fery.
●● Chenavari has been managing two CLOs as replacement CLO manager since 2012 and has
managed one new CLO since 2014. Its flagship structured finance fund (Toro) has been investing
in CLO mezzanine and equity paper since the firm’s inception in 2008.
●● The CLO management team consists of three with an average of 15 years’ experience. The
research team consists of 10 staff (two staff members also have CLO portfolio management
responsibility) who average approximately eight years of experience. The credit research team is
shared across the business.
Investments
●● The investment process relies on fundamental credit analysis incorporating bottom-up issuer
analysis and top-down themes, based on standardized accounting data.
●● The analyst team is organized by sector and shared, with the result that analysts will cover both
loan and bond issuers.
●● Research outputs are broadly standardized in succinct memos highlighting the key features of the
investment and providing an investment rationale.
●● A filtering process effected by the CLO portfolio management team weeds out weaker issuers pre-
committee, with the result that turndowns by the investment committee itself are limited. Overall
Chenavari estimates a 50% turndown rate on average. Committee decisions are minuted.
●● Position sizing and portfolio diversification are at the discretion of the portfolio manager.
●● Monitoring is ongoing, effected by the analyst team. Issuers are monitored continuously based
on news flow, company presentations and monthly account/budget data via Hunter, a proprietary
database.
Controls
●● Overall control is effected via the management committee, consisting of the CEO, COO and CRO,
with responsibility delegated by the partners.
●● An independent risk management function is responsible for second-level risk management.
●● Public/private data are managed in accordance with defined policies and compliance oversight. If
a conflict exists, the analysts will be public only in the majority of cases.
●● Pre- and post-trade compliance testing is effected via Toy Box, a proprietary system.
Operations
●● CLO administration is conducted in-house by one dedicated staff member, supported by a member
of the portfolio management team and the wider operations staff of 24.
●● Chenavari has developed a semi-automated position and principal balance reconciliation tool.
●● Loan settlement is conducted by the dedicated CLO operations staff member.
●● Chenavari does not provide supplemental investor reporting.
Technology
●● Toy Box is a proprietary CLO administration tool that is integrated to Intex for CLO analysis. The
system provides a comprehensive overview of the entire European CLO universe, looking through
to underlying holdings. It enables monitoring of manager trading behavior and overlap analysis
across CLOs, among other functions.
●● Hunter is a proprietary credit monitoring database for accounts and budget data. It allows credit
monitoring, peer review, ratio analysis and stress testing.
108 Chenavari Investment Managers

CIFC Asset Management LLC
CIFC Asset Management LLC and its affiliated investment advisers, Deerfield Capital
Management LLC, Columbus Nova Credit Investments Management, LLC and CypressTree
Investment Management, LLC, are indirect, wholly owned subsidiaries of CIFC LLC
(collectively, CIFC). These entities form the CIFC family of investment advisers that
share all investment management functions. CIFC is a private debt manager specializing
in secured U.S. corporate loan strategies. As of Dec. 31, 2015, CIFC had assets under
management (AUM) of approximately $14.1 billion. C
Manager Profile
Address 250 Park Avenue, Fourth Floor, New York, NY 10177, U.S.
Website www.cifc.com
Year Founded 2005
Parent(s) CIFC LLC (Nasdaq: CIFC)
Key Affiliate(s) Deerfield Capital Management LLC

Columbus Nova Credit Investments Management, LLC
CypressTree Investment Management, LLC
Investment Profile
Global Firm
No. of Employees 81
No. of Portfolio Managers Six
AUM $14.1 Bil.

No. of Employees 81
AUM $13.5 Bil.

Overall Self-Described Risk Retention Strategy CIFC is committed to continuing to issue CLOs following
the effective date of the risk retention regulations. As
of Dec. 31, 2015, CIFC had $210.4 million of cash and
investments on its balance sheet, most of which will be
available for risk retention compliance over the next three
years. CIFC expects to employ different structures, as
determined generally on a deal-by-deal basis, to make its
CLOs risk retention compliant.
CIFC Asset Management LLC 109

($ Bil.)
15
12
C
9
6
3
0
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Managed
Managed Funds
Accounts 4.6%
7.0%
Syndicated CLOs
Loans 88.4%
100.0%
Source: CIFC Asset Management LLC.

Experience (Years)
Stephen Vaccaro Co-President Chief Investment Officer 10 38
Oliver Wriedt Co-President N.P. 4 23

Elizabeth Chow Managing Director Head of Investment Research 10 25
Robert Ranocchia Managing Director Head of Special Situations 10 28
Stan Sokolowski Managing Director Head of Portfolio Management and Trading 3 25
Ira Ginsburg Managing Director Portfolio Manager 4 23
Claudette Kraus Managing Director Head of Originations 10 27
Robert Steelman Managing Director Senior Investment Analyst 10 20
Tracey Ewing Executive Director Senior Investment Analyst 9 27
Brian Pilko Managing Director Senior Investment Analyst 9 14
110 CIFC Asset Management LLC

Portfolio Issue
Navigator CDO 2005 6/06 Amortizing 500 254 514 275 No No No
Bridgeport CLO 8/06 Called 389 0 401 113 No No No
CIFC Funding 2006-I
ColumbusNova CLO 2006-I
12/06
12/06
Amortizing
Amortizing
300
625
177
172
300
637
172 No
145 No
No
No
No
No
C
Navigator CDO 2006 2/07 Amortizing 400 189 409 201 No No No
CIFC Funding 2006-I B 3/07 Amortizing 600 335 614 360 No No No
Hewett’s Island CLO V 5/07 Amortizing 384 261 400 255 No No No
Burr Ridge CLO Plus 6/07 Amortizing 500 361 516 380 No No No
CIFC Funding 2006-II 7/07 Amortizing 388 233 400 257 No No No
ColumbusNova CLO 2006-II 7/07 Amortizing 440 270 450 285 No No No
CIFC Funding 2007-I 11/07 Amortizing 445 305 450 308 No No No
ColumbusNova CLO 2007-I 1/12 Amortizing 400 260 415 275 No No No
CIFC Funding 2007-II 7/12 Revolving 450 453 464 464 Yes No No
Schiller Park CLO 11/12 Revolving 725 733 748 748 Yes No No
Hewett’s Island CLO VI 1/13 Revolving 500 504 516 516 Yes No No
Bridgeport CLO II 3/13 Revolving 499 504 517 517 No No No
Primus CLO II 6/13 Revolving 625 626 647 647 Yes No No
CIFC Funding 2007-III 9/13 Revolving 400 401 418 418 No No No
ColumbusNova CLO IV 11/13 Revolving 500 505 521 521 No No No
Ltd. 2007-II
CIFC Funding 2011-I 3/14 Revolving 600 603 623 623 Yes No No
CIFC Funding 2012-III 9/14 Revolving 600 602 624 624 Yes No No
CIFC Funding 2013-III 4/15 Revolving 500 501 513 513 Yes No No
CIFC Funding 2013-IV 6/15 Revolving 500 501 516 516 Yes No No
CIFC Funding 2014 8/15 Revolving 500 501 513 513 Yes No No
CIFC Funding 2014-III 6/06 Amortizing 500 254 514 275 No No No
CIFC Funding 2014-IV 8/06 Called 389 0 401 113 No No No
CIFC Funding 2014-V 12/06 Amortizing 300 177 300 172 No No No
Total 14,920 12,420 15,361 12,881
a

Institutions and Individual
C
DFR Holdings, LLC
Investors
(Columbus Nova/Bounty)
(including management)
CIFC LLC
(Nasdaq: CIFC)
Columbus Nova Credit

CIFC Asset CypressTree Investment Deerfield Capital
Investments
Management LLC Management, LLC Management LLC
Management LLC

The Fitch View
Key Considerations
●● Stable management team combined with experienced senior portfolio management.
●● Well-established CLO platform and demonstrated track record managing CLOs. Strong access to
new CLO issuance and the loan market across different environments.
●● Key man risk tied to Steve Vaccaro, CIFC’s co-president and chief investment officer.
Company
●● Founded in 2005, CIFC is a fundamentals-based, relative-value loan specialist manager with
$14.1 billion in AUM as of Dec. 31, 2015.
C
●● Ownership includes Columbus Nova Credit Investments Management (CNCIM), public
shareholders and CIFC management.
●● CIFC’s investment team is led by Co-President Vaccaro, who has 38 years of industry credit
experience and has been with CIFC since its inception. CIFC’s top three senior credit analysts
average 18 years of relevant experience.
●● CIFC has brought over 20 CLOs to market; in addition, it manages 13 CLOs that it acquired from
four fund complexes (CypressTree, Deerfield, CNCIM and GE Navigator).
Investments
●● The investment process is based on CIFC’s disciplined assessment of the fundamental value
cushion underpinning each investment, which contributes to differentiated portfolios with attractive
performance and is augmented by daily portfolio reassessment and relative-value rebalancing.
●● Thirteen research analysts cover approximately 30 credits each, are organized by industry and
are grouped together, led by a senior analyst.
●● All analysts participate in the investment committee, which meets at least on a daily basis and is
attended by the chief investment officer, portfolio managers (PMs) and traders.
●● CIFC analysts assign independent internal risk ratings to each issue; these ratings are maintained
on an ongoing basis and are based on a 1–10 scale.
●● Highly customized and robust credit research platform, which facilitates underwriting committees
and ongoing reviews. The system also ensures active communication.
Controls
●● Given its status as a listed company, CIFC has compliance and internal controls mandated by
Sarbanes-Oxley, providing additional scrutiny and reporting.
●● Formalized surveillance process includes daily investment team meetings (to discuss industry
trends, regulatory changes, valuation multiples and performance trends) as well as three industry
reviews per year.
●● Robust reporting, including a key management report containing cash balances,
overcollateralization and interest coverage tests and cushions for all transactions, is populated
on a daily basis. It is reviewed internally by and distributed to the PMs on a daily basis.
●● Internal audit committee consists of three independent directors and meets at least quarterly.
Operations
●● CIFC has dedicated legal, finance, compliance, operations, portfolio control, risk management,
internal audit and support teams; combined, they comprise over 40 professionals.
●● CIFC utilizes a variety of systems for portfolio management and administration, including Wall
Street Office (WSO) for compliance and operations and Black Mountain Everest for performing
credit analysis.
●● Daily reconciliation of cash and securities with U.S. Bank, as trustee. Additionally, there is a
monthly reconciliation with the trustee report for review.
●● Additional transparency is provided by parallel books and records maintained by the administrator.
Technology
●● Integrated and flexible platform is based on a combination of proprietary analytics and third-
party customized vendor systems, including such industry-standard systems as Black Mountain
Everest, WSO (compliance, administrator and reporting) and Investran (fund accounting).
●● Business continuity plan is appropriate, has been tested and includes a hot site in New Jersey,
daily data backup and use of Citrix for remote accessibility.
C

Commerzbank Debt Fund Management
Commerzbank Debt Fund Management (DFM) is a functionally independent and
segregated division of Commerzbank AG. The bank has been active in leveraged loan
origination and management on balance sheet since 1998; its DFM activities commenced
in 2007, with loan funds managed since 2009. As of Dec. 31, 2015, it managed two loan
vehicles (Bosphorous Capital Limited [BCL] and Bosphorous Investments Limited [BIL])
and one static CLO (Bosphorous CLO I Ltd). BCL is funded by the bank and effectively
acts as a CLO warehouse facility; BIL is subscribed by a limited number of third-party C
investors.
Manager Profile
Address 30 Gresham Street, London EC2V 7PG, U.K.
Website www.commerzbank.com
Year Founded 2009
Ownership Structure Bank
Parent(s) Commerzbank AG
Investment Profile
Global Firm
AUM N.A.

AUM €797 Mil.
European CLOs (No./AUM) One/€186 Mil.

(€ Mil.)
900
800
700
600
500
400
300
200
100
0
2009 2010 2011 2012 2013 2014 2015
Source: Commerzbank Debt Fund Management.

Commerzbank Debt Fund Management 115

High
Yield
Bonds
12.4%
Syndicated
Loans
Europe
87.6%
100.0%

CLOs
21.7%
Managed
Accounts
78.3%
Source: Commerzbank Debt Fund Management.

Experience (Years)
Guy Beeston Managing Director Head of Debt Fund Management 7 21
Christopher Day Managing Director Head of Leveraged Finance 7 27
Chris Allflatt Director Risk Officer 7 26

Portfolio Issue
Bosphorous CLO I B.V. 2/15 Static 230 186 233 189 Yes Yes
Total 230 186 233 189
116 Commerzbank Debt Fund Management

Commerzbank
Private Corporates and Central Eastern

Customers
Mittelstandsbank
Markets Europe
Others Noncore Assets
C
Corporates and Markets
Fixed Income Fixed Income

Equity Client Credit
and and Corporate
Markets and Relationship Research Portfolio
Currencies Currencies Finance
Commodities Management Management
Trading Sales
Debt Fund
Management
Commerzbank Debt Fund Management 117

The Fitch View
Key Considerations
●● Investment-grade-rated and well-resourced parent.
●● Pragmatic approach to business development by launching progressively more managed CLOs
until it reaches the status of a fully active CLO manager.
●● Increasing number of loan investment vehicles and invested issuers, which brings the challenge
of maintaining quality of analytical work, credit selectivity and the current low ratio of invested
C issuers to credit analysts.
Company
●● DFM, a division of Commerzbank AG, is dedicated to European leveraged loan investment and
management. It benefits from the wider resources of the bank while functioning as a segregated
entity.
●● The bank has been originating and investing in leveraged loans since 1998.
●● DFM comprises five staff (and one open position) with an average of approximately nine years’
experience. DFM staff performs both analytical and operational activities, although DFM plans to
add additional staff and to separate functions as the business grows.
●● DFM uses an originator structure for its risk retention strategy. CLO assets are purchased in the
open market and warehoused in BCL, a special purpose vehicle owned by the bank.
Investments
●● The investment process involves three steps, starting with a portfolio manager review, followed
by detailed analytical work and finally presentation to the investment committee.
●● The credit selection process is based on fundamental, bottom-up financial analysis. The portfolio
manager is responsible for incorporating top-down views into the analysis and in portfolio
construction. DFM uses the bank’s internal rating model to generate ratings on invested issuers.
●● Credit research is documented in detailed memos of good quality based on a standardized
template, with clear credit recommendations.
●● Continuous portfolio monitoring via weekly portfolio discussions, monthly analyst updates on
issuer financials and full portfolio review, and annual updates of the bank’s rating model and the
credit analysis. DFM maintains a watchlist of weaker/underperforming issuers and will typically
sell early rather than wait for material underperformance to emerge.
●● Binary decision on issuer eligibility, based solely on credit. Investment committee decisions are
documented and require a unanimous vote. Turndown rate of approximately 72% on average.
Controls
●● DFM is physically separated from the rest of the bank and operates on a separated file structure,
thus providing effective control over information flows and mitigating conflict-of-interest risk.
●● The bank’s leveraged finance risk officer is a permanent member of the credit committee,
structurally embedding risk in the investment process.
●● Commerzbank-originated loans make up a minimal portion of DFM’s assets under management.
●● DFM is effectively public or private only on any name, which mitigates information risk.
●● Pre- and post-trade CLO compliance testing is effected via Wall Street Office (WSO).
Operations
●● CLO administration is conducted by the DFM team directly.
●● Loan settlement is conducted by a dedicated loan settlement team of seven staff based in
Luxembourg, based on standard processes and templates.
●● Cash is reconciled daily and on trading; positions monthly.
●● DFM does not provide supplemental CLO investor reporting.
Technology
●● DFM benefits from the substantial IT resources of the bank and uses the bank’s proprietary loan
rating model. The main CLO management system is WSO, which is widely accepted by the
industry.
●● Detailed business continuity and disaster recovery plans are in place and tested, and include
offsite server storage and backups.
118 Commerzbank Debt Fund Management

CQS Investment Management Limited
CQS Investment Management Limited (CQS) is a global multistrategy asset management
firm. CQS was founded in 1999, and since launching its first strategy in March 2000, it
has expanded to manage alternative, long-only and bespoke mandates for institutional
investors in the areas of multistrategy, convertibles, asset-backed securities, credit,
loans and equities. The firm’s track record is underpinned by fundamental research and
quantitative analysis, with robust institutional operational and risk management platforms.
It has been managing CLOs since 2006 and manages loans through CLOs, funds and
bespoke mandates. As of Dec. 31, 2015, CQS had approximately $12.3 billion in assets C
under management (AUM), with $2.6 billion in senior-secured loan AUM.
Manager Profile
Address 5th Floor, 33 Grosvenor Place, London, SW1X 7HY, U.K.
Website www.cqscapital.com
Year Founded 1999
Ownership Structure Global multistrategy asset management firm
Parent(s) N.A.
Investment Profile
Global Firm
AUM $12.3 Bil.

No. of Employees Nine
AUM $2.6 Bil.
European CLOs (No./AUM) Three/$1 Bil.
a
Coverage support provided by the public side research team. N.A. – Not applicable.

($ Bil.)
15
12
9
6
3
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Source: CQS Investment Management Limited.
CQS Investment Management Limited 119


Asia
Middle Structured
Pacific
East CLOs Products
6.0%
6.0% 7.7% 2.9%
Long Only
North
C America
20.0%
U.K.
Closed End
Funds
Hedge
50.0% 3.6%
Funds
Long Only 54.0%
Open End
Continental Funds
Europe 31.8%
18.0%

SWF/
Government Other
Agencies 9.0%
3.0%
Private Pension
Bank/Wealth 46.0%
12.0%
HNW/Family
Office
8.0% Fund of
Insurance Funds
12.0% 10.0%
HNW – High net worth. SWF – Sovereign wealth fund. Note: Other
includes CQS staff, endowments/foundations and banks.
Source: CQS Investment Management Limited.
Loans Investment Committee

The committee comprises the senior portfolio manager of the loans team, the European loans portfolio manager and
the U.S. loans portfolio manager. It meets on an ad hoc basis in response to primary loan investment opportunities.
120 CQS Investment Management Limited

Portfolio Issue
Grosvenor Place CLO I B.V. 6/06 Called 394 0 393 0 No No
Grosvenor Place CLO II B.V. 1/07 Called 409 0 421 0 No No
Grosvenor Place CLO III B.V.
Grosvenor Place CLO 2013-1 B.V.
7/07
12/13
Amortizing
Revolving
437
350
173
354
460
362
193
362
No
No
No
Yes
C
Grosvenor Place CLO 2015-1 B.V. 4/15 Revolving 350 351 362 362 Yes Yes
Total 1,940 878 1,998 917
CQS Investment Management Limited 121

The Fitch View
Key Considerations
●● Active trading style with a particular focus on relative value.
●● Legacy of higher conviction — and consequentially less diversified — portfolios than some peers.
●● Relatively low CLO and loan AUM compared with peers, mitigated by the firm’s wider activities.
●● Multiple different trading strategies across the firm necessitating effective information barriers and
compliance oversight, notably relating to the management of public and private data.
C Company
●● CQS was established in 1999, primarily as a hedge fund manager focusing initially on convertible
arbitrage, but subsequently diversifying into other strategies, both long-only and long-short.
●● CQS is a single-owner privately held company, but it benefits from the presence and oversight of
a supervisory board of both executive and non-executive directors. A succession plan is in place
that involves both the supervisory board and the firm’s governing committees (strategy board and
executive committee), of which the full biographies can be requested.
●● The secured loan investment team has grown over time to three portfolio managers (PMs) and six
analysts. It draws on CQS’s broader (public) research group of 16 analysts.
●● Regarding risk retention strategy, CQS Investment Management Limited is a MiFID investment
firm authorized by the Financial Conduct Authority acting in the capacity of CLO sponsor. It invests
via vertical strips.
Investments
●● The investment process is formalized into four stages, based on bottom-up fundamental credit
selection. Decline rate of around 60% overall in 2014 and 2015.
●● The credit research is documented in standardized memos of sufficient quality, with clear
recommendations.
●● The investment committee determines issuer eligibility, while the PMs determine position sizing.
●● CQS conducts monthly full portfolio monitoring, summarized in email updates on performance
against budget and base case alongside relevant key performance indicators. There is increased
monitoring of weaker names on an enhanced coverage list, while names on a formal watchlist are
considered for sale only.
Controls
●● CQS can and will invest both in private and public debt, rigorously overseen by a global compliance
function of seven staff.
●● Private data are managed through a combination of physical separation and compliance
initiatives. Private data are maintained in segregated folders accessible only with permission from
compliance, and there is a separate area for private data analysis, along with other controls.
Compliance conducts specialist training on managing public/private data issues. It has a suite
of reports to track data access and evidence of trade rationale for potentially conflicted issuers.
European PMs are FCA approved persons.
●● Compliance policies are documented in detailed manuals.
Operations
●● High degree of integration with trustee using a web-based reconciliation platform provided by
Indus Valley Partners, resulting in automated daily position, cash and test reconciliation.
●● Industry-standard CLO/loan administrative tool: Wall Street Office (WSO).
●● Forty-three-person administration team globally, with three loan specialists.
●● Proprietary tools for automated error checking of monthly trustee reports.
●● CQS provides supplemental investor information, on an ad hoc basis if requested, and portfolio/
market commentary monthly with each trustee report.
Technology
●● Integrated and flexible platform based on a combination of proprietary systems (Levfin) and
third-party administration systems, including widely accepted industry systems such as WSO.
●● Detailed business continuity and disaster recovery plans are in place and tested, with offsite server
storage and backups.
122 CQS Investment Management Limited

Credit Suisse Asset Management, LLC
Credit Suisse Asset Management, LLC (CSAM) is a wholly owned subsidiary of Credit
Suisse Group AG (Credit Suisse). CSAM’s credit investments group has been a large
manager of bank loans since its inception in 1997; as of Dec. 31, 2015, it had $37.7 billion
in global assets under management (AUM), most of it invested in syndicated loans, with a
smaller proportion in high-yield bonds and CLOs.
Manager Profile C
Address One Madison Avenue, New York, NY 10010, U.S.
One Cabot Square, London E14 4QJ, U.K.
Website www.credit-suisse.com
Year Founded 1997a
Parent(s) Credit Suisse Group AG
Key Affiliate(s) Credit Suisse Group AG
Credit Suisse Securities
Credit Suisse International
Credit Suisse Asset Management Limited
Credit Suisse Alternative Capital
Investment Profile
Global Firm
No. of Employees 45
AUM $37.7 Bil.

No. of Employees 32
AUM $33.3 Bil.
No. of Invested Credits 700 (U.S. and Europe)
a
Credit investments group.

Overall Self-Described Risk Retention Strategy CSAM has purchased 5% vertical strips using the sponsor
route in its two most recent European CLOs to comply
with EU Risk Retention and 5% vertical strips using a
majority-owned affiliate in five U.S. CLOs since early 2015
in anticipation of complying with U.S. Risk Retention. One
U.S. CLO intends to be dual-compliant.
Credit Suisse Asset Management, LLC 123

($ Bil.)
40
30
C 20
10
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

High
Yield CLOs Europe
Bonds 1.8% 9.2%
10.0%
Syndicated U.S.
Loans 90.8%
88.2%
Managed
Accounts
24.1%
CLOs
44.1%
Managed
Funds
31.8%
Source: Credit Suisse Asset Management, LLC.

Experience (Years)
John G. Popp Managing Director Global Head and CIO 18 31
Andrew H. Marshak Managing Director Head of Europe 18 25
Thomas J. Flannery Managing Director Senior Portfolio Manager 17 19
Linda R. Karn Managing Director Head of Research 17 21
Louis I. Farano Managing Director Portfolio Manager 10 22
Wing Chan Managing Director Portfolio Manager 7 17
124 Credit Suisse Asset Management, LLC

Portfolio Issue
Name Closing Status Target Current Original Current Volcker CRR U.S. RRa
First Dominion Funding I 6/98 Called 975 0 1,000 0 No No No
First Dominion Funding II 4/99 Called 731 0 750 0 No No No
First Dominion Funding III
CSAM Funding I
12/99 Matured
3/01 Called
735
738
0
0
750
750
0
0
No
No
No
No
No
No
C
CSAM Funding II 5/02 Called 443 0 450 0 No No No
Atrium CDO 6/02 Called 309 0 314 0 No No No
CSAM Funding III 7/03 Called 395 0 400 0 No No No
Atrium II 12/03 Called 246 0 250 0 No No No
CSAM Funding IV 6/04 Called 587 0 600 0 No No No
Atrium III 10/04 Called 488 0 500 0 No No No
Madison Park Funding I 4/05 Called 600 0 613 0 No No No
Atrium IV 5/05 Called 635 0 650 0 No No No
Castle Garden 10/05 Called 831 0 850 0 No No No
Madison Park Funding II 2/06 Amortizing 800 344 821 336 No No No
Atrium V 6/06 Amortizing 879 455 900 434 No No No
Madison Park Funding III 8/06 Amortizing 650 380 666 374 No No No
Madison Park Funding IV 2/07 Amortizing 484 488 500 478 No No No
Madison Park Funding V 4/07 Amortizing 650 606 666 593 No No No
Atrium VI/Integral Funding 9/07 Called N.A. 0 448 0 No No No
Madison Park Funding VI 9/07 Amortizing 500 508 514 487 No No No
Madison Park Funding VII 5/11 Amortizing 400 364 410 374 No No No
Atrium VII 11/11 Amortizing 400 364 407 362 Yes No No
Madison Park Funding VIII 4/12 Amortizing 400 403 413 404 No No No
Madison Park Funding IX 7/12 Revolving 500 511 523 523 Yes No No
Atrium VIII 10/12 Revolving 500 513 516 516 No No No
Madison Park Funding X 12/12 Revolving 770 797 798 798 No No No
Atrium IX 2/13 Revolving 810 825 832 832 No No No
Atrium X 6/13 Revolving 650 663 664 664 No No No
Madison Park Funding XI 9/13 Revolving 500 511 522 522 No No No
Madison Park Funding XIII 2/14 Revolving 719 732 743 743 Yes No No
Madison Park Funding XII 5/14 Revolving 800 808 818 818 Yes No No
Madison Park Funding XIV 8/14 Revolving 1,000 1,018 1,031 1,031 Yes No No
Atrium XI 10/14 Revolving 1,000 1,014 1,022 1,022 Yes No No
Madison Park Funding XV 12/14 Revolving 675 685 686 686 Yes No No
Madison Park Funding XVI 3/15 Revolving 600 604 615 615 Yes No No

Portfolio Issue
Madison Park Funding XVII 5/15 Revolving 800 806 814 814 Yes No Yes
Madison Park Funding XVIII 9/15 Revolving 750 753 770 770 Yes No Yes
C Atrium XII 10/15 Revolving 800 811 820 820 Yes No Yes
Madison Park Funding XIX 12/15 Revolving 600 600 610 610 Yes No Yes
Total 24,349 15,564 25,403 15,625
a

Portfolio Issue
Name Closing Status Target Current Original Current Volcker CRR
Cadogan Square I 12/05 Amortizing 440 165 450 185 No No
Cadogan Square II 6/06 Amortizing 450 186 460 205 No No
Cadogan Square III 12/06 Amortizing 486 241 500 264 No No
Cadogan Square IV 5/07 Amortizing 487 290 500 310 No No
Cadogan Square V 8/13 Revolving 300 312 311 313 No Yes
Cadogan Square VI 6/15 Revolving 400 402 413 413 No Yes
Total 2,564 1,597 2,636 1,688

Credit Suisse Group AG

(Publicly Listed Company)
C
100%
Credit Suisse AG
43%
(Regulated Swiss Bank)
57%
Credit Suisse Holdings (USA), Inc.
100%
Credit Suisse (USA), Inc.
100%
CSAM Americas Holding Corp.
100%
Credit Suisse Asset Management, LLC

(Registered Investment Advisor)

The Fitch View
Key Considerations
●● Cohesiveness of the team and the experience of senior portfolio managers (PMs), who average
22 years’ relevant investment experience.
●● Strong market presence enables good allocations to new issue market. Resources and support
from Credit Suisse give the management team ability to focus on portfolio management functions.
●● Concentration of AUM in institutional investors and CLOs. However, there has been greater
C diversification as separate accounts and commingled funds increase in size.
Company
●● CSAM has been a large manager of bank loans since it was established in 1997.
●● The credit team is led by John Popp, who has 31 years of investment experience in leveraged
finance. Other senior managers making up the credit committee average 22 years of experience.
●● Very low senior management turnover, with managing partners having worked together for more
than 20 years.
●● Staffing includes 32 investment professionals and 13 other employees. The large credit research
team has 18 analysts, who are each assigned to cover one or two sectors.
●● Collaboration and partnership across private bank, investment bank and asset management
provide intelligence and sourcing, as well as global consistency.
Investments
●● Four PMs and the head of research make up the credit investment committee; investment
decisions require consensus.
●● Rigorous credit selection process focuses on credits using fundamental bottom-up approach.
CSAM is selective with investments, with a 60% turndown rate.
●● All new investments are thoroughly researched and formally presented by the lead credit analyst
to a formal credit committee. Credit analysts must formulate a buy, hold or sell recommendation
that must be updated at least quarterly.
●● Analysts can rely on an in-house workout specialist and PMs to assist with bankruptcy and
distressed credits.
●● Daily, quarterly and ad hoc meetings to analyze new transactions, monitor existing holdings and
revisit portfolio strategy and themes.
Controls
●● Independent, well-resourced risk management framework tightly linked to Credit Suisse’s global
risk framework and methodology.
●● Separate risk group produces reports providing a detailed and comprehensive image of portfolio
compositions, including complete performance attribution analysis.
●● Independent control functions throughout, including numerous committees supporting the team.
●● Portfolios typically are more diverse than industry averages, with the investment process resulting
in average weightings of 0.6% and 0.8% for U.S. and European CLOs, respectively.
Operations
●● Daily reconciliation of cash and securities with the trustee. Strong relationship and constant
dialogue with the trustees (Wells Fargo, BNY Mellon and U.S. Bank).
●● Strong middle-office resources ensure efficient and adequate management of CLOs and
industry-standard controls.
●● No outsourcing of portfolio management functions. Services shared with Credit Suisse include IT,
human resources, compliance and legal.
Technology
●● CSAM uses both industry-standard systems and proprietary systems for portfolio management
and administration, including but not limited to Virtus, Black Mountain Everest, Bloomberg and
CDO Suite.
●● Business continuity plan is appropriate and tested. Additional office space in Princeton, NJ and
outside London to serve as disaster recovery sites.

Crescent Capital Group LP
Crescent Capital Group LP (Crescent) was organized as an employee-owned asset
management firm in 2010. It had originally been formed as Crescent Capital Corporation
in 1991, subsequently becoming the leveraged finance arm of The TCW Group, Inc. (TCW)
in 1995. Following the most recent reorganization, Crescent has continued to manage
certain assets on behalf of TCW and its subsidiaries. As of Dec. 31, 2015, Crescent had
approximately $18 billion in assets under management (AUM).
Manager Profile C
Address 11100 Santa Monica Boulevard, Suite 2000, Los Angeles,
CA 90025, U.S.
Website www.crescentcap.com
Year Founded 2010 (Crescent Capital Group LP)
1991 (Crescent Capital Corporation)
Parent(s) N.A.
Investment Profile
Global Firm
AUM $18 Bil.

No. of Portfolio Managers Fourb
AUM $4.5 Bil.
No. of Invested Credits Approximately 298c
a
Two are analysts covering bonds. bTwo are focused on CLOs. ᶜIncludes CLOs, SMAs and commingled fund. N.A.
– Not applicable.

Overall Self-Described Risk Retention Strategy In 2015 Crescent approved a risk retention strategy that
comprised a majority-owned affiliate invested in a vertical
financed strip. This strategy was still dependent on the
availability of third-party CLO equity for the portion of the
equity tranche not held as part of the vertical strip. In light
of recent market conditions where the availability of such
third-party equity has been greatly reduced, Crescent has
recently come to believe that its 2015 risk retention strategy
could potentially only support a business plan of one CLO
per year. In 2016 Crescent is revisiting its strategy and
may determine that it would like to be able to execute on
a business plan that contemplates something closer to
two to three CLOs per year. If Crescent does make this
determination, then it would most likely proceed with
identification of a strategic partner(s) and the establishment
of a capitalized manager vehicle.
Crescent Capital Group LP 129

($ Bil.)
18
15
12
9
C 6
3
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Note: 2015 AUM is preliminary and subject to change.

Other Europe
Direct Lending 6.7% 4.0%
8.2%
CLOs Mezzanine
9.3% 37.1%
High Yield Syndicated

Bonds Loans
14.2% 24.6% U.S.
Note: Other includes alternative credit, European specialty lending 96.0%
and special situations.

Endowments/
Other Foundation
CLOs 4.0%
0.7% Other
15.8%
17.6%
Pension/
Retirement
Banks 27.3%
Managed 3.4%
Managed Funds
Accounts 55.7% CLO
27.8% Investors
Insurance
16.5%
31.3%
Note: Other includes Crescent affiliates, sovereign wealth funds
and high net worth investors.
Source: Crescent Capital Group LP.
130 Crescent Capital Group LP

Crescent does not utilize a formal investment committee. Twice a week there are formal credit research meetings
attended by the credit analysts and portfolio managers. Portfolio managers have ultimate decision-making authority
in the investment process. While they collaborate with Crescent’s research analysts and traders, the portfolio
managers are responsible for making security selection and portfolio construction decisions, managing risk and
adhering to client investment guidelines.
U.S. CLOs Under Management C

Portfolio Issue
VITESSE CLO LTD. 5/06 Called 600 0 621 56 No No No
SHINNECOCK CLO 9/06 Amortizing 294 152 237 161 No No No
2006-1, LTD.
MAC CAPITAL, LTD. 5/07 Called 450 32 481 91 No No No
MOMENTUM CAPITAL 9/07 Amortizing 340 111 350 132 No No No
FUND, LTD.
ATLAS SENIOR LOAN 6/12 Revolving 300 303 308 308 Yes No No
FUND, LTD.
FUND II, LTD.
FUND III, LTD.
FUND IV, LTD.
FUND V, LTD.
FUND VI, LTD.
Total 4,334 2,949 4,417 3,167
a
Founders and Managing Partners:

Jean-Marc Chapus and Mark Attanasio
Crescent Capital Group LP
Minority Ownership
Interest –
Independent and Employee Owned
Allied World Assurance
Company
Crescent Capital Group LP 131

C
132 Crescent Capital Group LP

Crestline Denali Capital, L.P.
Crestline Denali Capital, L.P. (Crestline Denali) was established on Oct. 10, 2014 as a strategic
partnership between Denali Capital LLC (Denali Capital) and Crestline Management, L.P.
(Crestline). As part of the partnership, Denali Capital’s principals continue to manage and
control DC Funding Partners LLC, with operational and support services from Crestline
Denali. As of Dec. 31, 2015, Crestline Denali had assets under management (AUM) of
approximately $1.5 billion across six CLOs and one warehouse facility.
C
Manager Profile
Address 2001 Spring Road, Suite 220, Oak Brook, IL 60523, U.S.
Website www.denalicap.com
Year Founded 2001
Parent(s) Crestline Investors, Inc.
Key Affiliate(s) DC Funding Partners LLC
Investment Profile
Global Firm
No. of Employees 24
AUM $1.53 Bil.

No. of Employees 24
AUM $1.53 Bil.
U.S. CLOs (No./AUM) Closed: Six/$1.4 Bil.
Warehouse: One/$0.13 Bil.


Overall Self-Described Risk Retention Strategy Crestline Denali will provide sufficient funds to act as
both first loss capital provider for pre-pricing warehouses
and majority equity investor and risk retention party in its
sponsored CLOs. Crestline Denali CLOs are intended to
be structured so that they will be risk retention compliant
for U.S., or U.S. and European, regulatory purposes.
Risk retention compliant structures other than horizontal
interests will be evaluated over time.
Crestline Denali Capital, L.P. 133


($ Bil.)
4
C 2
0
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Europe Other
1.1% 0.8%
Syndicated U.S.
Loans 98.1%
100.0%

CLO Endowments/
Investors Foundations
0.5% 0.5%
Pension/
Retirement
2.4%
Hedge Funds & Banks
Other Asset 71.0%
Management Firms
CLOs
14.3%
100.0% Insurance
11.3%
Source: Crestline Denali Capital, L.P.
134 Crestline Denali Capital, L.P.

Experience (Years)
David Killion Chief Executive Officer N.A. 15 39
John Thacker Senior Managing Director Chief Credit Officer 15 30
Kelli Marti Managing Director N.A. 14 22
C
Portfolio Issue
Denali Capital CLO I, Ltd. 10/01 Called 391 0 400 0 N.A. N.A. N.A.
Denali Capital CLO II, Ltd. 7/02 Called 360 0 367 0 N.A. N.A. N.A.
Denali Capital CLO III, Ltd. 7/03 Called 425 0 434 0 N.A. N.A. N.A.
Denali Capital CLO IV, Ltd. 8/04 Matured 392 0 400 0 N.A. N.A. N.A.
Denali Capital CLO V, Ltd. 9/05 Amortizing 402 1 410 23 No No No
Denali Capital CLO VI, Ltd. 3/06 Amortizing 491 37 501 67 No No No

Denali Capital CLO VII, Ltd. 5/07 Amortizing 801 520 813 548 No No No
Spring Road CLO 2001-1, Ltd. 7/07 Amortizing 405 40 413 58 No No No
Denali Capital CLO X, Ltd. 3/13 Revolving 400 403 417 417 No No No
Denali Capital CLO XI, Ltd. 3/15 Revolving 400 400 414 414 Yes No No
Denali Capital CLO XII, Ltd. 3/16 Ramp-up 350 126 359 359 Yes Yes Yes
Total (Excluding Warehouse) 4,468 1,401 4,569 1,527
Total (Including Warehouse) 4,818 1,527 4,928 1,886
a
Anticipated U.S. Risk Retention compliant. N.A. – Not applicable. Note: Numbers may not add due to rounding.
Crestline Investors, Inc.
General
Partner
Crestline Management, L.P. Crestline Denali (GP), L.P. Denali Principals
Limited Partner General Partner Limited Partners
Crestline Denali Capital, L.P.
Crestline Denali Capital, L.P. 135

The Fitch View
Key Considerations
●● Senior executives have all worked together since 1998.
●● Seasoned investment team consisting of 14 professionals with experience ranging up to 39 years.
●● Experienced CLO issuer, having managed 10 CLO transactions and one credit opportunity fund
since 2001.
●● Reversing the declining AUM trend following the financial crisis through renewed CLO issuance
C
remains a key challenge.
Company
●● On Oct. 10, 2014, Denali Capital and Crestline formed a new strategic partnership under which
Denali Capital became Crestline Denali.
●● Senior executives have an average of 33 years of loan investment experience, and senior
administration staff average 25 years of experience.
●● Crestline Denali continues to be led by its three founding principals: David Killion, Gregory Cooper
and John Thacker. Kelli Marti, who has been with the company for 14 years and has 22 years
of investment experience, is a member of the firm’s investment committee along with Killion and
Thacker.
Investments
●● Credit analysts have on average nine years of experience and are each responsible for on
average 26 active corporate credits.
●● Formal investment committee process, wherein all recommendations require a unanimous vote
for investment approval.
●● Robust internally developed reports and analytical tools are used to monitor credit performance
pursuant to formally documented credit policies and procedures. Portfolio information is stored
in a Microsoft Access database that interacts with the firm’s loan administration and reporting
software.
●● The firm has had an investment approval rate of 31% since inception, including an approval rate
of 24% since 2007.
Controls
●● The firm has been a registered investment adviser since 2004.
●● Well-documented procedures covering core investment and operational processes are in place.
●● Integrated, detailed reporting of deal pipeline, cash availability and CLO compliance-related tests
is performed weekly.
●● Comprehensive reconciliation process with trustees of all compliance-related tests and payment
date calculations.
Operations
●● Experienced CLO, loan administration, accounting and reporting support staff whose senior
managers have up to 25 years of experience.
●● Crestline Denali performs all daily loan administration in-house. The firm currently employs two
loan administrators who on average administer 175 issuers and are each primarily responsible for
daily cash and par reconciliation and transaction settlements.
●● The firm uses Deloitte’s Solvas loan administration and reporting software and proprietary models
for collateral management, hypothetical trading analysis and compliance monitoring.
Technology
●● The firm has contracted with D+H USA Corporation to host its email and support its technology
needs. The support includes access to an onsite specialist eight hours per month and 24-hour
technical support.
●● A business continuity plan is in place that is reviewed every six months. In the event of a disaster,
within 24 hours of notice two servers and 15 workstations are available at SunGard Availability
Services, located approximately 10 miles from Crestline Denali’s main office.
●● Encrypted local and cloud-based backups are utilized to minimize loss-of-data risk.
136 Crestline Denali Capital, L.P.

CVC Credit Partners, LP
CVC Credit Partners, LP is the credit management business of CVC Capital Partners;
it includes both U.S. and European subsidiaries (together, CVC Credit Partners). CVC
Credit Partners invests across the capital structure, including in senior-secured,
senior-unsecured and second-lien senior-secured loans. As of Dec. 31, 2015, CVC Credit
Partners had $14.4 billion in global assets under management (AUM).
Manager Profile C
Address 712 Fifth Avenue, 42nd Floor, New York, NY 10019, U.S.
111 Strand, London, WC2R 0AG, U.K.
3rd Floor, Sir Walter Raleigh House, 48-50 The
Esplanade, St. Helier, Jersey JE2 3QB, Channel Islands
Website www.cvc.com/credit-partners.htmx
Year Founded 2005 (U.S.)
2006 (Europe)
Parent(s) CVC Credit Partners Holdings Ltd. (U.K.)
Resource Financial Fund Management Inc. (U.S.)
Investment Profile
Global Firm
No. of Employees 64
AUM $14.4 Bil.

No. of Employees 16
AUM $11.5 Bil.
No. of Invested Credits 550b
U.S. CLOs (No./AUM) 22/$8.4 Bil.ᶜ
European CLOs (No./AUM) Six/$2.5 Bil.
a
Includes two U.S.-based assistant portfolio managers and one Europe-based assistant portfolio manager.
b
Invested with over 550 issuers (approximately 2,500 credits monitored). cExcludes acquired CLOs: ACA and RCAM
CLOs. N.A. – Not applicable.

Preferred Structure Currently using a manager-owned affiliate structure; in the
process of setting up a capitalized manager vehicle
Overall Self-Described Risk Retention Strategy CVC Credit Partners will retain either a 5% interest in a
vertical slice of the securitization or an eligible horizontal
residual interest equal to 5% of the fair value of the
securities issued by the CLO.
CVC Credit Partners, LP 137

($ Bil.)
15
12
9
C 6
3
0
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Corporate
Bonds Other
9.0% 0.9% Europe
Middle Market
Loans 32.9%
3.0% Syndicated
Loans
87.1%
U.S.
67.1%
Note: Other includes other structured credit products,

equities and derivatives. Corporate bonds includes
high yield and investment grade bonds.

Managed Pension/
Funds Endowments Retirement
12.6% 18.6% 12.0%
Managed Insurance
Accounts 10.7%
Other
12.3%
5.2%
CLO
Investors
14.0%
CLOs Banks
75.1% 39.6%
Source: CVC Credit Partners, LP.
138 CVC Credit Partners, LP

Experience (Years)
Gretchen Bergstresser Partner Head of U.S. Performing Credit, Senior 12 28
Portfolio Manager, Committee Chair
Stephen Hickey Managing Partner Chief Investment Officer 4 28
C
Jonathan Bowers Partner Head of European Performing Credit, 10 23
Philip Raciti Senior Managing Director Portfolio Manager 11 15
Kevin O’Meara Managing Director Portfolio Manager 9 14
Justin Sughrue Managing Director Assistant Portfolio Manager 11 13
Lynn Ann Loufik Director Assistant Portfolio Manager 4 10

D Experience (Years)
Jonathan Bowers Partner Head of European Performing Credit, Senior 10 23
Portfolio Manager, Committee Chair
Mark DeNatale Partner Global Head of Special Situations, Senior 3 22
Portfolio Manager, Committee Vice Chair
Stephen Hickey Managing Partner Chief Investment Officer 4 28
Gretchen Bergstresser Partner Head of U.S. Performing Credit, 12 28
Brandon Bradkin Partner Chief Operating Officer 3 24
Tom Newberry Partner Head of Private Funds 4 31
Andrew Davies Senior Managing Portfolio Manager 6 14
Director
Guillaume Tarneaud Managing Director Portfolio Manager 9 12

Portfolio Issue
Olympic CLO I 3/04 Called 303 0 303 0 No No No
Whitney CLO I 12/04 Called 461 0 461 0 No No No
C
Apidos CDO I 8/05 Called 350 0 350 0 No No No
ACA CLO 2005-1 8/05 Called 302 0 302 0 No No No
Apidos CDO II 12/05 Called 400 0 400 0 No No No
Apidos CDO III 5/06 Called 286 0 286 0 No No No
ACA CLO 2006-I 7/06 Called 350 0 350 0 No No No
Apidos CDO IV 9/06 Called 350 81 350 81 No No No
Apidos Quattro CDO 10/06 Called 351 83 351 83 No No No
Sierra CLO II 11/06 Called 430 118 430 118 No No No
ACA CLO 2006-2 12/06 Called 308 0 308 0 No No No
Shasta CLO I 1/07 Called 484 193 484 193 No No No
Apidos CDO V 3/07 Revolving 400 193 400 193 No No No
Apidos Cinco CDO 5/07 Revolving 350 160 350 160 No No No
ACA CLO 2007-1 6/07 Revolving 350 195 350 195 No No No
San Gabriel CLO I 7/07 Revolving 431 160 431 160 No No No
Apidos CLO VIII 10/11 Called 350 0 350 0 No No No
Apidos CLO IX 7/12 Revolving 400 403 400 403 Yes No No
Apidos CLO X 11/12 Revolving 450 452 450 452 No No No
Apidos CLO XI 1/13 Revolving 400 401 400 401 No No No
Apidos CLO XII 4/13 Revolving 500 503 500 503 No No No
Apidos CLO XIV 7/13 Revolving 600 601 600 601 No No No
Apidos CLO XV 9/13 Revolving 500 500 500 500 Yes No No
Apidos CLO XVI 1/14 Revolving 600 600 600 600 Yes No No
Apidos CLO XVII 5/14 Revolving 500 500 500 500 Yes No No
Apidos CLO XVIII 7/14 Revolving 714 714 714 714 Yes No No
Apidos CLO XIX 11/14 Revolving 500 500 500 500 Yes No No
Apidos CLO XX 2/15 Revolving 500 500 500 500 Yes No No
Apidos CLO XXI 6/15 Revolving 500 501 500 501 Yes No No
Apidos CLO XXII 11/15 Revolving 500 500 500 500 Yes No No
Apidos CLO XXIII 1/16 Revolving 500 500 500 500 Yes No Yes
Total 13,420 8,356 13,420 8,356
a

Portfolio Issue
Cordatus Loan Fund I 1/07 Amortizing 450 362 450 362 No No
Cordatus Loan Fund II 7/07 Amortizing 450 440 450 440 No No
Cordatus Recovery Partners I
CVC Cordatus Loan Fund III
9/08
5/14
Called
Revolving
436
450 439
0 436
450
0 No
439 Yes
No
Yes
C
Limited
CVC Cordatus Loan Fund IV 12/14 Revolving 400 391 400 391 Yes Yes
Limited
CVC Cordatus Loan Fund V 5/15 Revolving 463 451 463 451 Yes Yes
Limited
CVC Cordatus Loan Fund VI 3/16 Ramp-up 200 175 200 175 Yes Yes
Limited
Total 2,849 2,258 2,849 2,258
CVC Credit Partners Resource

Holdings Ltd Financial Fund
(U.K.) Management Inc (U.S.)
CVC Credit Partners

General Partner Ltd
(Jersey)
CVC Credit
Partners LP
(Cayman Islands)
CVC Credit Partners CVC Credit

Group Ltd Partners LLC
(Jersey) (Delaware) (SEC)
CVC Credit Partners

Investment
Management Ltd
(U.K.) (FCA)

The Fitch View
Key Considerations
●● Resources available to CLO platform are strong given historical AUM growth and product
diversification. Not significantly dependent on future CLO issuance to drive profitability.
●● Ownership structure and committed parent support staff stability and preservation of talent amid
increasing industry competition and market volatility.
●● Developing internal audit function, through emphasis on compliance and legal hires. This is
mitigated by the ongoing involvement of the compliance officers in trading and review of compliance
C policies, as well as by independent compliance monitoring by CVC Capital Partners and external
consultants.
Company
●● CVC Credit Partners is the credit management business of CVC Capital Partners. Its U.S. and
European businesses were established in 2005 and 2006, respectively, via predecessor entities.
●● AUM of $14.4 billion globally across 44 investment vehicles as of Dec. 31, 2015. Product line
includes global opportunities and special situations ($2.5 billion), performing credit ($11.5 billion)
and private debt ($431 million).
●● Senior management is made up of six dedicated partners, one managing partner and one non-
executive chairman; combined, they total more than 200 years of industry experience.
●● CVC Credit Partners benefits from stability across the management team and from access to the
resources of CVC affiliates worldwide.
Investments
●● Active portfolio management with a focus on deep fundamental research and top-down industry
analysis in an effort to minimize losses.
●● Thirteen senior managing directors/managing directors have an average of 13 years’ industry
experience and are supported by 26 investment professionals with extensive credit backgrounds.
●● Proprietary credit database includes historical information and data on over 2,500 individual
credits. CVC Credit Partners has investments with approximately 550 issuers.
●● Analytical approach is focused on business risk (management and market position), financial risk
(margins, cash flow, capital structure and valuation), structural risk (recovery rates and loan terms)
and eligibility requirements (ratings, concentration and spread).
Controls
●● Daily and month-end relative-value and benchmarking analysis at trade and portfolio level.
●● Daily and weekly monitoring of portfolios and managed accounts through position exposure
reports and detailed attribution analysis.
●● Compliance policies and governance processes in place to support accuracy of trading, portfolio
management and administration functions.
●● Network of compliance and control coordinated by dedicated teams; reporting tools provide
support for risk/control data collection and reporting capabilities.
Operations
●● Operations and other support functions include 16 CVC Credit Partners employees dedicated to
back-office operations. CVC Credit Partners also has the ability to leverage broader resources of
the CVC Capital Partners group.
●● Daily reconciliation of cash and securities with the trustee.
●● Compliance officers, portfolio managers (PMs) and assistant PMs receive CLO compliance
reports nightly. Reports are also run ad hoc and are used to perform risk/return scenarios, value
and exposure analyses and hypothetical trades.
●● Added efficiency and accuracy due to presence of an employee dedicated to loan settlement.
Technology
●● Proprietary credit database, warehouse models and risk reports provide access to various
research sources and facilitate information sharing across the platform.
●● In-house risk management system to monitor the broader platform and/or individual vehicles.
●● External administrator provides real-time and operational support to CLO platform.

Fortress Investment Group LLC
Fortress Investment Group LLC (Fortress; NYSE: FIG), founded in 1998, is a highly
diversified global investment management firm. Fortress specializes in a range of
investment strategies, including private equity, credit, liquid markets and traditional asset
management on behalf of over 1,700 institutional and private clients worldwide. As of
Dec. 31, 2015, it had $70.5 billion in global fee paying assets under management (AUM).
Manager Profile
Address 1345 Avenue of the Americas, 46th Floor, New York, NY
10105, U.S.
Website www.fortress.com
Year Founded 1998
Ownership Structure Publicly traded company (NYSE: FIG) F
Parent(s) N.A.
Investment Profile
Global Firm
AUM $70.5 Bil.

No. of Portfolio Managers Eight
AUM Approximately $9.4 Bil. in CLOs
a
Investment professionals. N.A. – Not applicable.

Preferred Structure New manager as sponsor (U.S. CLOs only)
Overall Self-Described Risk Retention Strategy To date, Fortress’ risk retention strategy has reflected the
company’s capitalization, ability to raise capital, and that
its managed funds invested 100% of the equity capital in
the CLOs it originates. Together with its outside counsel
and other advisors, Fortress has been evaluating various
retention strategies for the future. Given its capitalization,
ability to raise capital, infrastructure and expertise, Fortress
believes it has several options to ensure compliance with
the new U.S. and evolving EU requirements.
Fortress Investment Group LLC 143


($ Bil.)
80
Thousands
70
60
50
40
30
20
10
0
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
F Breakdown by Region Breakdown by Investor Type

Sovereign
Europe Asia Other RIA Wealth Bank &
4.2% 6.4% 2.5% 4.4% 4.6% Platform
Insurance 5.8%
U.K. Corporate
5.0% 5.0%
Pension
20.1%
North America Fund of Funds
81.9% 23.4% Public
Pension
Family Office/ 19.1%
Individual Endowments/
8.0% Foundation
Note: Europe excludes U.K. 9.6%
Source: Fortress Investment Group LLC.

Experience (Years)
Pete Briger Principal and Co-Chairman of the Investment Committee Member 14 28
Board of Directors of Fortress and
Co-CIO of Credit Funds
Dean Dakolias Co-CIO of Credit Funds Investment Committee Member 14 25
Marc Furstein President and COO of Credit Funds Investment Committee Member 14 23
Leslee Cowen Managing Director Investment Committee Member 13 21
Joel Holsinger Managing Director Investment Committee Member 7 19
Drew McKnight Managing Director Investment Committee Member 11 16
Josh Pack Managing Director Investment Committee Member 13 18
Ken Sands Managing Director Investment Committee Member 13 32
144 Fortress Investment Group LLC

Portfolio Issue
Fortress Credit Opportunities I LP 7/04 Amortizing N.A. 3,191 4,250 2,865 No No N.P.
Fortress Credit Opportunities II LP 7/04 Called N.A. N.A. 450 0 N.A. N.A. N.P.
Fortress Credit Funding I LP 9/05 Called N.A. N.A. 840 0 N.A. N.A. N.P.
Fortress Credit Funding II LP 9/05 Called N.A. N.A. 210 0 N.A. N.A. N.P.
Fortress Credit Funding III LP 8/06 Called N.A. N.A. 840 0 N.A. N.A. N.P.
Fortress Credit Funding IV LP 8/06 Called N.A. N.A. 210 0 N.A. N.A. N.P.
Fortress Credit Investments I LTD 4/06 Called N.A. N.A. 1,741 0 N.A. N.A. N.P.
Fortress Credit Investments II LTD 4/06 Called N.A. N.A. 435 0 N.A. N.A. N.P.
F
Fortress Credit Funding V LP 8/12 Revolving 400 409 409 409 Yes No N.P.
Fortress Credit Funding VI LP 8/12 Revolving 170 173 174 174 Yes No N.P.
Fortress Credit BSL Limited 3/13 Revolving 400 403 412 412 Yes Yes N.P.
Fortress Credit BSL II Limited 11/13 Revolving 400 386 412 412 Yes Yes N.P.
Fortress Credit Opportunities III LP 4/14 Revolving 778 788 800 800 Yes Yes N.P.
Fortress Credit Opportunities V LP 10/14 Revolving 697 700 713 713 Yes Yes N.P.
Fortress Credit Opportunities VI 3/15 Revolving 343 345 350 350 Yes Yes N.P.
CLO Limited
Fortress Credit Investments IV 6/15 Amortizing 400 396 408 402 Yes No N.P.
Limited
Fortress Credit BSL III Limited 10/15 Revolving 416 422 425 425 Yes No N.P.
FDF I 11/15 Revolving 600 605 599 599 No No N.P.
HILDENE CLO I LTDb N.P. Revolving 300 304 310 310 Yes No N.P.
HILDENE CLO II LTDb N.P. Revolving 400 403 414 414 Yes No N.P.
HILDENE CLO III LTDb N.P. Revolving 350 352 361 361 Yes No N.P.
HILDENE CLO IV LTDb N.P. Revolving 350 351 358 358 Yes No N.P.
Bernard Nationalc N.P. Called N.A. N.A. 1,559 0 N.A. N.A. N.P.
Bernard Globalc N.P. Called N.A. N.A. 1,781 0 N.A. N.A. N.P.
Pangaead N.P. Amortizing N.A. 139 308 157 No No N.P.
Sargas Ie N.P. Amortizing N.A. 10 325 31 No No N.P.
Sargas IIf
N.P. Called N.A. N.A. 410 0 N.A. N.A. N.P.
Deerfieldg N.P. Called N.A. N.A. 300 0 N.A. N.A. N.P.
Total N.A. 9,377 19,804 9,192
a
Anticipated U.S. Risk Retention compliant. bAcquired from Hildene Leveraged Credit on March 18, 2016. cAcquired
from Bernard Capital. dAcquired from Pangaea Asset Management LLC. eAcquired from CapitalSource Advisors
LLC. fAcquired from De Meer Asset Management. gAcquired from Deerfield Capital Management LLC. N.A. – Not
applicable. N.P. – Not provided. Note: Numbers may not add due to rounding.
Fortress Investment Group LLC 145

Fortress Investment Group

($70.5 Bil.)a
Logan Circle
Credit Funds Private Equity Liquid Markets
Partners
AUM ($18.1 Bil.)b AUM ($15.8 Bil.) AUM ($5.4 Bil.)c
AUM ($31.2 Bil.)
CLO/CBO
Businessd
F a
Fee paying AUM as of Dec. 31, 2015. Fee paying AUM is defined as: (i) capital commitments or invested capital
(or NAV, if lower) for the private equity funds, private permanent capital vehicle through May 2015, credit PE funds
and related managed accounts, which in connection with private equity funds raised after March 2006 includes the
mark-to-market value on public securities held within the fund, (ii) contributed capital or book equity for our publicly
traded permanent capital vehicles, (iii) the NAV for hedge funds and the NAV or fair value for related managed
accounts (including Logan Circle Partners), and (iv) AUM related to affiliated managers and co-managed funds.
b
Includes $2.9 billion of AUM related to funds co-managed with Mount Kellett Capital Management LP. cIncludes $4.5
billion of AUM related to funds/accounts managed by Graticule Asset Management Asia, L.P., an autonomous asset
management company on Fortress’ affiliated manager platform in which Fortress has a minority interest. dCLOs and
CBOs that were managed by the Credit Funds at the inception of such securitizations have issued over $15 billion of
capital, including approximately $13.7 billion of CLO capital. As of Dec. 31, 2015, the Credit Funds team managed
approximately $9.4 billion in nonrecourse, long-term, non-mark-to-market CLO and CBO securitizations.
146 Fortress Investment Group LLC

GLG Partners LP
GLG Partners LP is an indirect but fully owned subsidiary of Man Group plc (Man), one
of the world’s largest publicly listed alternative investment providers. As of Dec. 31, 2015,
Man had assets under management (AUM) of approximately $78.7 billion, of which
GLG Partners managed $30.5 billion. GLG Partners and affiliated entities have been
managing European CLOs since 2002.
Manager Profile
Address One Curzon Street, London, W1J 5HB, U.K.
Website www.glgpartners.com
Year Founded 1995 (GLG Partners)
1783 (Man Group plc)
Parent(s) Man Group plc
Key Affiliate(s) Man GLG
Man
G
AHL
Man FRM
Man Numeric
Investment Profile
Global Firm
AUM $78.7 Bil.

No. of Employees Seven
AUM $0.9 Bil.
European CLOs (No./AUM) Five/$0.9 Bil.

($ Bil.)
80
70
60
50
40
30
20
10
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Source: GLG Partners LP.
GLG Partners LP 147

Guaranteed Asia
Americas
1.7% Alternative 19.3%
23.6%
56.7%
Long Only
41.7%
EMEA
57.1%
G
CLOs
1.1%
Managed Managed
Accounts Funds
48.9% 50.0%
Source: GLG Partners LP.

Experience (Years)
Francoise Devenoges Portfolio Manager CLO Portfolio Manager 16 19
Marek Kuzdra Portfolio Manager CLO Portfolio Manager 10 20

Steve Roth Head of Man GLG Credit and Head of Man GLG Credit and 11 24
Convertibles Platform Convertibles Platform
148 GLG Partners LP

Portfolio Issue
RMF Euro CDO S.A. 10/02 Matured 300 0 300 0 No No
RMF Euro CDO II S.A. 6/04 Called 291 0 301 0 No No
RMF Euro CDO III PLC 8/05 Amortizing 350 12 357 28 No No
RMF Euro CDO IV PLC 5/06 Amortizing 437 111 444 126 No No
RMF Euro CDO V PLC 4/07 Amortizing 550 179 559 209 No No
Clavos Euro CDO Limited 12/07 Amortizing 400 69 409 89 No No
GLG Euro CLO I Limited 4/15 Revolving 300 301 309 309 Yes Yes
Total 2,628 672 2,678 761
G
Man Group plc
GLG Partners LP
(indirect 100% ownership)
GLG Partners LP 149

The Fitch View
Key Considerations
●● Long track record in European loan and CLO management, including demonstrated experience of
realizing a CLO from inception to call.
●● Robust control structure.
●● Re-entrant to the European CLO market with an existing base of static, amortizing CLOs.
●● Partial use of an outsourced credit research team.
Company
●● GLG Partners has been managing CLOs and loans since 2002 (originally as RMF Investments
and later as Pemba Credit Advisers AG).
●● GLG Partners is a multistrategy platform with strategies across all major asset classes.
●● GLG Partners’ investor base is diversified by type and geography.
●● The credit team is supported by an outsourced credit analysis function provided by Copal Amba,
with three analysts and one team leader dedicated to the CLO management team (plus other
G analysts dedicated to the broader credit team).
●● Regarding its risk retention strategy, GLG Partners is authorized under MiFID and operates an
originator structure in terms of the CRD IV/CLO risk retention requirements.
Investments
●● The investment process comprises initial screening and full (credit) due diligence stages, based
on bottom-up fundamental credit analysis. It also incorporates a legal due diligence step once
credit approval has been granted.
●● The process begins with a screening stage that seeks to filter out transactions that would be
unlikely to pass the full credit analysis.
●● The second stage is a full credit due diligence, factoring in fundamental credit analysis (notably
financial modeling), macro views and technical analysis. This process results in the production of
a standardized, succinct credit memo that is presented to the CLO investment committee.
●● CLO investment committee approvals are recorded in a central spreadsheet. Operational risk
associated with the update of the spreadsheet is mitigated by close management oversight and
the fact that a unanimous investment committee vote is required to add an issuer.
●● The rejection rate was approximately 45% overall as of February 2015.
●● GLG Credit tends to favor more diversified portfolios than some peers.
Controls
●● Public/private data are managed in accordance with defined policies and compliance oversight.
●● Pre- and post-trade compliance testing is effected via CDO Suite.
●● The overall risk governance framework is robust. It clearly identifies the risks to which Man is
exposed, its risk appetite and risk management responsibility and details the monitoring of risk
indicators and controls. Risk and compliance functions are well staffed.
Operations
●● CLO and loan administration is conducted by a dedicated team of three.
●● Cash is reconciled daily and on trading; positions are reconciled weekly.
●● GLG Credit provides supplemental CLO investor reporting.
Technology
●● GLG Credit’s IT platform integrates several third-party systems, notably SharePoint and CDO
Suite, via a central data warehouse. Front-office portfolio management and analysis tools are
Excel based.
●● Detailed business continuity and disaster recovery plans are in place and tested, and include
offsite server storage and backups.
150 GLG Partners LP

GoldenTree Asset Management, LP
GoldenTree Asset Management, LP (GoldenTree) is an independent asset manager that
focuses on the credit markets. It was founded in 2000 by Steven Tananbaum and remains
100% employee owned. GoldenTree manages a variety of absolute return and long-only
strategies for institutional clients, high-net-worth individuals and private investment funds.
As of Dec. 31, 2015, the company had $24.4 billion in global assets under management
(AUM), including $6.6 billion in CLOs managed for third-party equity investors.
Manager Profile
Address 300 Park Avenue, 21st Floor, New York, NY 10022, U.S.
Website www.goldentree.com
Year Founded 2000
G
Parent(s) N.A.
Investment Profile
Global Firm
AUM $24.4 Bil.

No. of Employees N.A.
AUM $8.9 Bil.
European CLOs (No./AUM) One/€0.3 Bil.

Preferred Structure New manager as sponsor (U.S. and European CLOs)
Overall Self-Described Risk Retention Strategy GoldenTree is working to form a new management
company to allow it to issue and manage CLOs that
are compliant with U.S. and European risk retention
regulations.
GoldenTree Asset Management, LP 151


($ Bil.)
25
20
15
10
5
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

G Other
13.3% Other
Middle Market Syndicated 13.3%
Loans Loans
1.5% 45.9%
Other Structured
Products U.S.
5.4% CLOs High Yield Europe 53.2%
8.1% Bonds 33.5%
25.7%
Note: Excludes cash holdings. Other includes equity, private equity,

real estate and market value of hedges.

Other
Endowments 13.6%
CLOs 1.5% Pension/
27.1% Fund of Funds Retirement
Managed 4.5%
Funds 36.8%
40.6% Banks
3.5%
Foundation
4.5% CLO
Insurance Investors
8.4% 27.1%
Managed
Accounts Note: Other includes family office, sovereign wealth fund, individual,
32.4% GoldenTree, asset manager, sovereign nation, financial advisor
and outsourced CIO/treasury.
Source: GoldenTree Asset Management, LP.
152 GoldenTree Asset Management, LP

Executive Committee
Experience (Years)
Steven A. Tananbaum Managing Partner Chief Investment Officer 15 28
Steven Shapiro Founding Partner Senior Portfolio Manager 15 23
Robert Matza Partner President 9 37
Joseph Naggar Partner Senior Portfolio Manager and 8 21
Risk Committee Member
Lee Kruter Partner Senior Portfolio Manager and 8 15
Risk Committee Member
Frederick S. Haddad Partner Senior Portfolio Manager 15 40
Kathy Sutherland Partner Head of Business 7 19
Development

G
Portfolio Issue
GoldenTree High 10/00 Called N.A. 0 750 0 No No No
Yield Opportunities Ib
GoldenTree High 9/01 Called N.A. 0 700 0 No No No
Yield Opportunities IIb
GoldenTree Loan 6/02 Called N.A. 0 700 0 No No No
Opportunities I
GoldenTree Loan 7/03 Called N.A. 0 400 0 No No No
Opportunities II
GoldenTree Capital 2/06 Called N.A. 0 365 0 No No No
Opportunitiesc
GoldenTree Loan 3/07 Amortizing 732 586 750 588 No No No
Opportunities III
Opportunities IV
Opportunities V
Opportunities VI
GoldenTree Loan 5/13 Revolving 650 658 669 669 No No No
Opportunities VII
GT Loan Financing I 9/13 Revolving 190 191 195 195 No No No
GoldenTree Loan 4/14 Revolving 600 601 614 614 Yes No No
Opportunities VIII
Opportunities IX
Opportunities XI
Opportunities X
Total 5,980 5,500 9,042 5,574
Anticipated U.S. Risk Retention compliant. Middle-market CBOs. Middle-market CLOs. N.A. – Not available.
a b c

Portfolio Issue
Laurelin II 7/07 Amortizing 438 301 450 301 No No
Total 438 301 450 301
G
Steven A. 25 Other
Tananbaum Partners
Senior Managing
Member
General Partner:
26 Limited Partners
GoldenTree Asset Management LLC
GoldenTree Asset Management, LP

The Fitch View
Key Considerations
●● Resources to the CLO platform are strong, given historical growth of AUM and product
diversification. The firm is not significantly dependent on future CLO issuance to drive profitability.
●● The employee ownership structure leads to stability among staff and retention of talent amid
increasing industry competition.
●● The GoldenTree brand may be exposed to key man risk tied to Steve Tananbaum, the firm’s
managing partner and chief investment officer, and Frederick Haddad, a senior portfolio manager
(PM) and executive committee member.
Company
●● Product lines include both absolute return and long-only strategies. Bank loans under management
amounted to $8.9 billion, with $5.9 billion across 11 CLOs (including one European CLO).
●● GoldenTree is 100% employee owned, and compensation is tied to performance of the company
as a whole, which has led to organizational stability.
●● The firm has a seasoned investment team with an average of 17 years of industry experience,
including seven years spent working together. G
●● The firm’s significant market presence in the European Union facilitates additional diligence in
regional credit markets.
Investments
●● The firm actively manages its portfolio with a focus on total returns through bottom-up fundamental
value investing. The flat organizational structure results in analysts having more ownership of
investment decisions, fluid communication across the investment team and a more informal
approach to decision making. All analysts have sell authority.
●● Nineteen analysts are allocated by sector. In addition, 11 investment professionals are responsible
for the firm’s distressed and structured products investments.
●● The credit selection criteria mandate a strong enterprise value and, on average, a minimum margin
of safety for all investments of at least 2.0x minimum asset coverage.
●● All credits are ranked for relative value against existing loan holdings through a proprietary system
(Prism). Views on relative value are updated on a daily basis, and formal credit reviews occur as
companies report earnings.
Controls
●● The risk management team is responsible for stress testing the portfolio and overseeing
maintenance of cushions against CLO-specific limits. Controls are embedded in key systems.
●● Pre- and post-trade relative-value analysis is performed at both the trade and portfolio level.
●● Risk management reporting and oversight functions are executed at various times (daily, weekly,
monthly and quarterly).
●● GoldenTree has compliance and governance processes and policies in place to support accuracy
Operations
●● Twenty-one dedicated fund accounting employees assist with CLO management. Administrative
capabilities reflect highly qualified staff interacting with appropriate systems and processes.
●● Investor reporting includes monthly reports featuring information about particular products. CLO
information is accessed through the trustee.
Technology
●● The firm has 27 dedicated technology employees.
●● Portfolio management and credit analysis are conducted in-house, facilitated through the use of
a proprietary tool called Gweb, which is used by analysts to submit orders, review portfolios and
view historical analysis. Models are run daily to ensure compliance with CLO tests.
●● The firm employs an integrated and flexible platform based on a combination of proprietary
analytics and third-party administration systems, including widely accepted industry systems such
as Wall Street Office, STaARS (reconciliation system), Charles River and VPM.

G

GSO / Blackstone Debt Funds Management LLC
GSO / Blackstone Debt Funds Management LLC (GSO / Blackstone), which is a part of the
customized credit strategies (CCS) business unit within GSO Capital Partners LP (GSO),
is responsible for managing, advising or sub-advising long-only credit strategies, including
investments in U.S. and European senior-secured loans, high-yield bonds and structured
credit investments. GSO is the credit-focused business unit of The Blackstone Group L.P.
(Blackstone), a publicly traded alternative asset management firm. GSO was founded in
2005 and subsequently acquired by Blackstone in 2008. CCS and certain credit-oriented
affiliates had $42.3 billion in assets under management (AUM) as of Dec. 31, 2015.
Manager Profile
Address 345 Park Avenue, 30th Floor, New York, NY 10154, U.S
30 Herbert Street, 2nd Floor, Dublin 2, Ireland
Website www.blackstone.com
Year Founded 2005 (GSO Capital Partners LP)
2007 (GSO / Blackstone Debt Funds Management LLCa)
G
Parent(s) GSO Capital Partners LP
The Blackstone Group L.P. (NYSE: BX)
Key Affiliate(s) Blackstone / GSO Debt Funds Management Europe Limited
GSO Capital Partners International LLP
Investment Profile
Global Firm
No. of Employees 62
AUM $42.3 Bil.

No. of Employees 62
AUM $35.9 Bil.
a
Originally formed as GSO Debt Funds Management LLC.

Overall Self-Described Risk Retention Strategy GSO, through its advised listed fund Blackstone / GSO Loan
Financing Limited (LSE: BGLF LN), currently complies with
European risk retention regulations through the originator
approach, and intends to comply with the U.S. risk retention
regulations through a majority-owned affiliate. GSO has also
used the sponsor approach for compliance.
GSO / Blackstone Debt Funds Management LLC 157

($ Bil.)
50
40
30
20
10
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

G CLOs/
Second CDOs
Lien Equity
U.S./
Europe
4.4% 1.6%
Loans Europe 1.4%
6.9% 20.4%
Bonds
9.2%
First Lien
Loans
77.8% U.S.
78.2%
Note: 21% of bond AUM consists of floating rate notes.

Listed
Commingled Funds
Funds 7.6% Institutional
6.6% 20.7%
Separately
Managed CLOs Structured
Accounts 44.7% Credit
12.3% 44.7%
Small Cap
Direct Lending Retail
28.7% 34.6%
Note: AUM after 2008 is represented by the combined entity of GSO / Blackstone, Blackstone Debt Advisors
L.P. and certain other affiliates of GSO / Blackstone. AUM after 2012 includes Blackstone / GSO Debt Funds
Management Europe Limited (fka Harbourmaster Capital Management Limited).
Source: GSO / Blackstone Debt Funds Management LLC.
158 GSO / Blackstone Debt Funds Management LLC

U.S. Syndicated Credit Investment Committee
Experience (Years)
Name Title Role Companya Industry
Dan Smith Senior Managing Director Global Unit Head 18 29
Brad Marshall Senior Managing Director Senior Portfolio Manager of Business 13 21
Development Companies
Robert Zable Senior Managing Director Senior Portfolio Manager of U.S. CLOs, 9 18
High-Yield Separately Managed Accounts
and Closed End Funds
Daniel McMullen Managing Director Senior Portfolio Manager of Loan 14 22
Separately Managed Accounts,
Commingled Funds and
Exchange-Traded Funds
Includes time that certain senior members have been working together since 1998 while at other institutions.
a
Note: Titles effective Jan. 1, 2016.
European Syndicated Credit Investment Committee

Experience (Years)
G
Name Title Role Company a
Industry
Alan Kerr Senior Managing Director European Head, Senior Portfolio Manager of 16 22
European CLOs and Commingled Funds
Alex Leonard Managing Director European Loan Trading, Senior Portfolio 10 22
Manager of European CLOs
Fiona O’Connor Managing Director Head of European Credit Research 9 26
Michael Ryan Managing Director Origination 11 17
David Barry Principal Credit Analyst 9 17
Includes time that certain senior members have been working together since 2000 while at other institutions.
a
Note: Titles effective Jan. 1, 2016.

Portfolio Issue
Smoky River CDO, L.P. 5/98 Defaulted 1,300 0 1,300 0 No No N.P.
Callidus Debt Partners CDO
12/01 Called 390 0 401 0 No No N.P.
Fund I, Ltd.b
SEQUILS/MINCS-Glace Bay, Ltd. 8/02 Called 300 0 339 0 No No N.P.
Hanover Square CLO Ltd. 11/02 Called 587 0 600 0 No No N.P.
6/03 Called 245 0 300 0 No No N.P.
Fund II, Ltd.b
Union Square CDO Ltd. 9/03 Called 392 0 400 0 No No N.P.
Foxe Basin CLO 2003, Ltd. 12/03 Defaulted 400 0 412 0 No No N.P.
Monument Park CDO Ltd. 1/04 Matured 999 0 1,023 0 No No N.P.
Hudson Straits CLO 2004, Ltd. 7/04 Called 435 0 449 0 No No N.P.
Essex Park CDO Ltd.c 9/04 Matured 375 0 380 0 No No N.P.
12/04 Called 388 0 400 0 No No N.P.
Fund III, Ltd.b
FM Private Capital Fund Id 12/04 Called 564 0 584 0 No No N.P.
Bryant Park CDO Ltd. 1/05 Called 550 0 561 0 No No N.P.
Lafayette Square CDO Ltd. 11/05 Called 595 0 617 0 No No N.P.
Gale Force 1 CLO, Ltd. 11/05 Matured 400 0 413 0 No No N.P.

Portfolio Issue
MAPS CLO Fund I, LLCb 12/05 Called 399 0 408 0 No No N.P.
FM Leveraged Capital Fund I d
12/05 Matured 372 0 382 0 No No N.P.
Callidus Debt Partners CLO Fund
4/06 Called 500 0 515 0 No No N.P.
IV, Ltd.b
Prospect Park CDO Ltd. 6/06 Amortizing 483 187 500 216 No No N.P.
Gale Force 2 CLO, Ltd. 6/06 Called 500 0 513 0 No No N.P.
FM Leveraged Capital Fund IId 11/06 Matured 400 0 411 0 No No N.P.
Callidus Debt Partners CLO
12/06 Called 400 0 410 0 No No N.P.
Fund V, Ltd.b
G Inwood Park CDO Ltd.

Gale Force 3 CLO, Ltd.
1/07 Amortizing 1,213
3/07 Amortizing 600
634
327
1,250
617
693 No
359 No
No
No
N.P.
N.P.
MAPS CLO Fund II, LTDb 6/07 Amortizing 388 304 400 319 No No N.P.
Gale Force 4 CLO, Ltd. 8/07 Amortizing 450 264 462 284 No No N.P.
9/07 Amortizing 400 309 404 316 No No N.P.
Fund VI, Ltd.b
11/07 Called 584 0 600 0 No No N.P.
Fund VII, Ltd.b
Columbus Park CDO Ltd. 4/08 Called 400 0 400 0 No No N.P.
Riverside Park CLO, Ltd.e 4/08 Called 400 0 477 0 No No N.P.
Tribeca Park CLO Ltd. 5/08 Called 400 0 381 0 No No N.P.
Chelsea Park CLO Ltd. 7/08 Called 467 0 450 0 No No N.P.
Jackson Square CLO Ltd. 3/09 Called 284 0 239 0 No No N.P.
Morningside Park CLO Ltd. 12/10 Called 399 0 400 0 No No N.P.
Central Park CLO Ltd. 7/11 Called 675 0 690 0 No No N.P.
Gramercy Park CLO Ltd.f 8/12 Revolving 500 505 514 514 Yes No N.P.
Marine Park CLO Ltd. 9/12 Revolving 550 554 564 564 Yes No N.P.
Finn Square CLO Ltd. 12/12 Revolving 499 505 515 515 Yes No N.P.
Sheridan Square CLO Ltd. 3/13 Revolving 700 706 727 725 No No N.P.
Adirondack Park CLO Ltd. 3/13 Revolving 500 502 516 516 No No N.P.
Tryon Park CLO, Ltd. 6/13 Revolving 500 502 516 516 Yes No N.P.
Emerson Park CLO, Ltd. 8/13 Revolving 500 503 519 519 Yes No N.P.
Keuka Park CLO, Ltd. 11/13 Revolving 400 402 413 413 Yes No N.P.
Pinnacle Park CLO, Ltd. 4/14 Revolving 500 502 510 510 Yes No N.P.
Seneca Park CLO, Ltd. 5/14 Revolving 700 702 717 717 Yes No N.P.
Birchwood Park CLO, Ltd. 7/14 Revolving 600 601 616 616 Yes No N.P.
Thacher Park CLO, Ltd. 9/14 Revolving 550 551 564 564 Yes No N.P.
Bowman Park CLO, Ltd. 12/14 Revolving 500 501 510 510 Yes No N.P.
Dorchester Park CLO, Ltd. 1/15 Revolving 500 501 509 509 Yes N.P. N.P.
Treman Park CLO, Ltd. 3/15 Revolving 600 601 617 617 Yes No N.P.
Stewart Park CLO, Ltd. 4/15 Revolving 650 650 661 661 Yes No N.P.

Portfolio Issue
Cumberland Park CLO, Ltd. 7/15 Revolving 600 602 618 618 Yes No N.P.
Cole Park CLO, Ltd. 10/15 Revolving 425 425 436 436 Yes No N.P.
Webster Park CLO, Ltd.g 12/15 Ramp-up 500 500 507 507 Yes No N.P.
Total 27,908 12,336 28,636 12,734
a
Anticipated U.S. Risk Retention compliant. bOriginated by Callidus, acquired by GSO in April 2010. cOriginated as
Katonah VI, Ltd., acquired by Blackstone Debt Advisors in April 2007. dOriginated by FriedbergMilstein, acquired by
GSO in January 2007. eOriginated in 2008, refinanced in 2011. Values displayed reflect refinanced deal. fOriginated in
2012; refinanced in 2014. Values reflect refinanced deal. gRevolving as of February 2016. N.P. – Not provided. Note:
Numbers may not add due to rounding.

Portfolio Issue G
Tara Hill B.V.a 1/01 Matured 350 0 364 0 N.P. N.P.
Harbourmaster CLO 1 Ltd. 3/01 Called 501 0 503 0 N.P. N.P.
Harbourmaster CLO 2 Ltd. 11/01 Called 701 0 704 0 N.P. N.P.
Clare Island B.V.a 3/02 Amortizing 425 3 446 45 N.P. N.P.
Harbourmaster CLO 3 Ltd. 8/02 Matured 430 0 438 0 N.P. N.P.
Harbourmaster CLO 4 B.V. 10/04 Amortizing 500 7 510 48 N.P. N.P.
Boyne Valley B.V.a 12/05 Amortizing 404 103 415 125 N.P. N.P.
Hyde Park CDO B.V. 2/06 Amortizing 487 4 500 38 N.P. N.P.
Harbourmaster Pro-Rata
5/06 Called 850 0 871 0 N.P. N.P.
CLO 1 B.V.
8/06 Amortizing 588 344 602 370 N.P. N.P.
CLO 2 B.V.
Regent’s Park CDO B.V. 10/06 Amortizing 585 345 600 372 N.P. N.P.
Skellig Rock B.V.a 11/06 Amortizing 412 122 391 137 N.P. N.P.
Green Park CDO B.V. 12/06 Amortizing 452 192 463 211 N.P. N.P.
7/07 Amortizing 600 509 612 516 N.P. N.P.
CLO 3 B.V.
Global Senior Loan Index
12/07 Called 641 0 652 0 N.P. N.P.
Fund 1 B.V.
St. James’s Park CDO B.V. 12/07 Called 395 0 400 0 N.P. N.P.
Harbourmaster CLO 11 B.V. 5/08 Matured 500 0 485 0 N.P. N.P.
Grand Harbour I B.V. 5/13 Called 400 0 403 0 N.P. N.P.
Herbert Park B.V. 9/13 Revolving 400 406 413 413 N.P. N.P.

European CLOs Under Management (continued)
Portfolio Issue
Richmond Park CLO DAC 1/14 Revolving 595 596 616 616 N.P. N.P.
Holland Park CLO DAC 4/14 Revolving 500 501 514 514 N.P. N.P.
Phoenix Park CLO DAC 6/14 Revolving 400 402 413 413 N.P.c N.P.
Sorrento Park CLO DAC 9/14 Revolving 500 502 517 517 N.P.c N.P.
Castle Park CLO DAC 11/14 Revolving 400 401 415 415 N.P.c N.P.
Dartry Park CLO DAC 2/15 Revolving 400 401 411 411 N.P. c
N.P.
Orwell Park CLO DAC 5/15 Revolving 400 401 415 415 N.P.c N.P.
Tymon Park CLOb 12/15 Ramp-up 400 400 414 414 N.P.c N.P.
G Total 17,116 6,678 17,465 7,196
a
Originated by Allied Irish Bank; acquired by GSO in March 2011. bRevolving as of February 2016. cThese CLOs
have voting and non-voting classes in each tranche that may satisfy Volcker compliance. N.P. – Not provided. Note:
Numbers may not add due to rounding.
The Blackstone Group L.P.
Private Equity Real Estate Credit (GSO) Hedge Fund
Customized Credit
Alternative Investments
Strategies – Long Only
Funds
(CCS)

The Fitch View
Key Considerations
●● Highly diversified credit asset management business with access to retail and institutional
investors across many market segments.
●● One of the industry’s largest secured loan managers by AUM, which provides dealer coverage,
strong new issue allocations and good execution.
●● Maintaining stability among key staff and preserving talent pool amid increasing industry
competition will be ongoing challenges.
Company
●● GSO acquired Harbourmaster in 2012. Harbourmaster was one of the first entrants to the
European CLO management industry.
●● CLOs are core to CCS’s loan management strategy.
●● GSO had over 300 employees as of Dec. 31, 2015, of which 138 were investment professionals.
The global CCS team comprised 62 professionals. Globally, CCS portfolio managers (PMs) and
research analysts averaged 17 years and 12 years of experience, respectively.
●● The investment team has been generally stable, with a presence in New York, Dublin and London. G
Investments
●● The investment process is based on a bottom-up fundamental approach, with a focus on credit
research and technical inputs.
●● Twenty-seven syndicated credit research analysts cover credits by industry and are grouped
together into teams headed by team leaders in the U.S. and by the head of credit research in
Europe. Average of 25–40 names per analyst. In addition, four structured credit analysts cover
24 issuers on average.
●● Credits are approved by the relevant investment committee, which meets daily and comprises
senior credit analysts and PMs.
●● Any investment that passes the investment committee is formally assigned a risk rating on a 1–7
scale (1 being the best; 5 and above on the watchlist) that is monitored and formally reviewed at
least once per quarter.
●● Clear, well-defined roles and responsibilities, along with access to a wide range of resources,
allow for efficient decision making.
Controls
●● Separation walls between GSO and Blackstone are overseen by compliance, with strict control on
the flow of information between the private equity and credit businesses. Blackstone-sponsored
deals make up a relatively low share of GSO’s overall investment portfolio.
●● A cleansing process for public/private name exposure is in place, overseen by compliance.
●● Compliance maintains a restricted list and monitors public/private information through a proprietary
GSO system used for compliance monitoring, current and historical trading, holdings information
and profit and loss activity.
Operations
●● GSO utilizes a variety of systems for portfolio management and administration, including Wall
Street Office (WSO) and Black Mountain Everest for performing credit analysis.
●● Dedicated CLO compliance team that populates and distributes numerous weekly reports,
including compliance tests and asset rating changes.
●● Investor reporting includes quarterly commentary as well as monthly trustee reports, all available
on the trustee website.
Technology
●● Integrated and flexible platform based on a combination of proprietary analytics (nVision) and
third-party customized vendor systems, including such industry standards as Bloomberg, Black
Mountain Everest, Clear Par and WSO.
●● External data feeds for pricing data (Markit) are integrated with WSO and Black Mountain Everest
platforms. Data are also received from Debtwire and LCD, although receipt is not automated or
integrated with existing systems.

G

Guggenheim Investments
Guggenheim Investments (Guggenheim) represents the investment management
businesses of Guggenheim Partners, LLC, which, in turn, is the principal subsidiary of
Guggenheim Capital, LLC. Through its subsidiaries, Guggenheim Capital, LLC provides asset
management, investment banking, capital markets and insurance services. As of Dec. 31,
2015, Guggenheim had $199 billion in assets under management (AUM). The Guggenheim
entity responsible for managing CLOs, Guggenheim Partners Investment Management,
LLC, has been an active CLO issuer since 2002 and currently oversees approximately
$6.3 billion in U.S. and European CLO assets.
Manager Profile
Website www.guggenheiminvestments.com
Year Founded 1999
Parent(s)
Key Affiliate(s)
Guggenheim Partners, LLC
N.A.
G
Investment Profile
Global Firm
AUM $199 Bil.

No. of Portfolio Managers Nine
AUM $14.4 Bil.
Credits per Analyst Nine
European CLOs (No./AUM) Two/€0.5 Bil.
a
Corporate credit group. N.A. – Not applicable.
Overall Self-Described Risk Retention Strategy Guggenheim has been working on putting in place an
integrated platform to address both European and U.S. risk
retention requirements. This platform will have permanent
institutional capital to fund the acquisition of assets for CLOs
as well as risk retention securities. It is expected to have an
aggregate capacity to enable Guggenheim to do four to five
U.S./European CLOs per year, which is its annual quota.
The loan acquisition and financing entity will be domiciled
in Europe and be the primary vehicle for satisfying the risk
retention capital requirements. A majority-owned subsidiary
will be established in the U.S. to satisfy the U.S. risk
retention requirements. Given its permanent capital base,
the European entity will be able to provide financing to the
U.S. entity for acquisition of risk retention securities as well
as other types of assets with recourse provided by the U.S.
to such borrowings. It is expected that a component of a U.S.
affiliate to the European entity will raise rated capital that will
constitute a portion of the permanent capital raised.
Guggenheim Investments 165

($ Bil.)
200
150
100
50
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Note: 2014 and 2015 AUM includes leverage ($12 billion) and assets for which administrative services are provided ($0.5 billion).

G High Yield
CLOs
Other
3.2% Europe
Bonds Other 4.5%
5.1% 4.1%
45.8%
Bank Loans
7.2% Other
Investment Structured
Grade Products
Bonds 19.9%
18.8%
U.S.
Note: Other includes equities, municipals, mortgage loans, 91.5%
RMBS, real estate, private equity, government, cash and other.

CLO
CLOs Investors
3.2% Pension/ Endowments
3.2%
Retirement 0.4%
Managed 4.0%
Funds
37.5%
Insurance
Other 53.2%
Managed 39.2%
Accounts
59.4%
Source: Guggenheim Investments.

Experience (Years)
Jeffrey Abrams Senior Managing Director Portfolio Manager 14 16
Kevin Gundersen, CFA Senior Managing Director Portfolio Manager 13 13
Zachary Warren Senior Managing Director Portfolio Manager 12 21
Thomas Hauser Managing Director Portfolio Manager 14 14
Matthew Bloom Managing Director Head of Research 10 13
166 Guggenheim Investments

Experience (Years)
Adrian Duffy Senior Managing Director Head of European Credit 14 28
Jeffrey Abrams Senior Managing Director Portfolio Manager 14 16
Kevin Gundersen, CFA Senior Managing Director Portfolio Manager 13 13
Zachary Warren Senior Managing Director Portfolio Manager 12 21
Thomas Hauser Managing Director Portfolio Manager 14 14
Matthew Bloom Managing Director Head of Research 10 13

Portfolio
Balance ($ Mil.)
Issue
Size ($ Mil.) Compliance
G
Name Closing Status Target Current OriginalCurrent Volcker CRR U.S. RRa
Fortwirth CDO Ltd.b 2/02c Defaulted 236 0 374 76 No No N.P.
Magma CDO Ltd.b 2/02c Defaulted 308 4 353 34 No No N.P.
Bingham CDO LP b
2/02 Defaulted
c
314 3 414 60 No No N.P.
Adams St CBO 1998b 9/02c Defaulted 177 0 326 60 No No N.P.
1888 Fund Ltd 12/02 Called 400 0 448 0 No No N.P.
Stellar Funding, Ltd. b
12/02 Defaulted
c
134 15 312 43 No No N.P.
Green Lane CLO Ltd 12/04 Called 450 0 507 0 No No N.P.
Kennecott Funding Ltd. 1/06 Amortizing 500 13 513 52 No No N.P.
Sands Point Funding Ltd. 7/06 Amortizing 450 145 459 144 No No N.P.
Copper River CLO Ltd. 1/07 Amortizing 700 20 717 61 No No N.P.
NZCG Funding Ltdd 12/10 Called 600 0 598 0 No No N.P.
5180 CLO LP 11/11 Called 1,044 11 1,013 121 No No N.P.
Mercer Field CLO LP 12/12 Revolving 1,050 1,043 1,054 1,054 Yes No N.P.
Hempstead CLO LP 12/13 Revolving 650 642 659 659 Yes No N.P.
Ziggurat CLO Ltd 12/14 Revolving 500 482 513 513 Yes No N.P.
NZCG Funding Ltd d
2/15 Revolving 845 825 846 846 Yes No N.P.
Kitty Hawk CLO 2015-1 4/15 Revolving 550 537 559 559 Yes No N.P.
LLC
NZCG Funding 2 Limited 4/15 Revolving 850 833 857 857 Yes No N.P.
5180-2 CLO LP 11/15 Revolving 992 976 995 995 Yes No N.P.
Total 10,750 5,550 11,515 6,133
a
Anticipated U.S. Risk Retention compliant. bTransition manager. cTransition date. dNZCG Funding Ltd. was
originally issued in December 2010, but recently refinanced in February 2015. Both the original and refinanced
transactions are shown in the table above. N.P. – Not provided. Note: Numbers may not add due to rounding.

Portfolio Issue
Iron Hill CLO Ltd 3/08 Amortizing 300 56 296 26 No No
Cork Street CLO DAC 11/15 Ramp-up 400 398 407 407 Yes Yes
Total 700 454 703 432
G
Guggenheim Capital, LLC
Guggenheim Partners, LLC
Guggenheim Investments Asset

Management
Guggenheim Partners
Guggenheim Partners Transparent Value
Security Investors, LLC Investment
Europe Limited Advisors, LLC
Management, LLC
Note: Guggenheim Investments Asset Management is a global investment management group providing
fixed-income, equity and alternative investment services primarily to institutional investors and comprises the following
affiliated entities of Guggenheim Partners, LLC: Guggenheim Partners Investment Management, LLC, Guggenheim
Partners Europe Limited, Transparent Value Advisors, LLC and Security Investors, LLC.

The Fitch View
Key Considerations
●● Deep resources and strong brand name support business franchise, with strong alignment of
interests and available resources from parent company, Guggenheim Partners, LLC.
●● Strong, diversified business lines providing Guggenheim with size and scale that give it industry
access to markets and management of many product styles, resulting in diversified revenue
streams.
●● Effective management related to the allocation and prioritization of resources dedicated to
performing CLOs, versus distressed legacy CDOs taken over by Guggenheim as replacement
manager, will be an ongoing challenge for Guggenheim.
Company
●● Guggenheim has three main business lines: investments, securities and insurance services.
CLO management is handled out of the corporate credit group, which resides in the investments
arm. Guggenheim has issued a total of 14 U.S. CLOs (including one refinanced CLO) and two
European CLOs.
●● Strong company culture of growth from within results in a core senior team that has remained
intact since inception and low firmwide turnover. G
●● Guggenheim’s corporate credit committee has an average of 20 years of industry experience
and a strong track record in the high-yield loan market. Committee meets daily and requires
unanimous agreement to approve a name.
Investments
●● Philosophy based on fundamental bottom-up credit analysis as supported by the robust research
team, which is organized by industry and focus across the entire capital structure.
●● The investment committee is involved throughout the underwriting process and is integral in credit
approval and position sizing.
●● Well-embedded processes include formal weekly credit committees, weekly watchlist meetings,
monthly review of each portfolio and quarterly performance and attribution analysis as well as
strategy review.
●● History of all securities purchased as well as those turned down is maintained in proprietary
database that serves as corporate memory.
●● Generally, approved names are given a 1% position size for each portfolio. However, each
portfolio and strategy may have different needs that affect allocations.
Controls
●● Daily monitoring of positions is conducted in addition to daily and weekly team meetings to discuss
broader market conditions and news surrounding individual investments.
●● Stress testing is conducted at the individual security level through proprietary models that analysts
use to perform collateral reviews, structural assessments and capital structure evaluation and to
assess cash flow, liquidation preference and rules.
●● Multiple levels of internal controls, including detailed reviews of all relevant credit and operating
documentation conducted by the in-house legal team where appropriate.
Operations
●● Trade settlement process includes confirmation of all trades with executing broker prior to entering
trades in Guggenheim’s portfolio management system.
●● Daily reconciliation of cash and positions and monthly reconciliation of securities with trustee.
Guggenheim is in close communication with the trustee.
●● All portfolio management and credit analysis functions are conducted independently yet internally.
Models are run on a daily basis to ensure compliance with CLO tests.
Technology
●● Guggenheim has in place an integrated and flexible platform based on a combination of both
proprietary analytics and widely accepted industry systems, including Aladdin (BlackRock
Solutions), Charles River, Markit Wall Street Office and ePAM (for accounting).
●● Business continuity plan is appropriate and tested, with redundancies in Connecticut location and
remote access available through Citrix. Additionally, a support team performs both nightly and full
weekly backups, with backup stored offsite in New Jersey.

G

Halcyon Loan Management LLC
Halcyon Loan Management LLC (together with its subsidiaries, HLM) is an affiliate of
Halcyon Capital Management LP (HCM), a global investment firm with $9.9 billion in assets
under management (AUM) as of Dec. 31, 2015. HLM was founded in 2006 and currently
manages $7.3 billion, mainly through 12 U.S. CLOs and five European CLOs.
Manager Profile
Address 477 Madison Avenue, 8th Floor, New York, NY 10022, U.S.
Website www.halcyonllc.com
Year Founded 2006
Parent(s) Halcyon Capital Management LP
Investment Profile H
Global Firm
AUM $9.9 Bil.

No. of Employees 24
AUM $7.3 Bil.
European CLOs (No./AUM) Five/€1.3 Bil.

Halcyon Loan Management LLC 171

($ Bil.)
15
12
9
6
3
0
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

High CLOs Managed
Yield 0.3% Managed Funds
H Bonds
1.5%
Accounts
10.4%
2.2%
Syndicated CLOs
Loans 87.4%
98.2%
Source: Halcyon Loan Management LLC.

Experience (Years)
Ross Smead Managing Principal Chief Investment Officer 9 31
Brian Yorke Managing Principal Portfolio Manager 9 18
David Snyder Managing Principal Portfolio Manager 6 29
172 Halcyon Loan Management LLC

Portfolio Issue
HSAM CLO I 5/06 Called 456 0 460 0 No No N.A.
HSAM L/S 2006-1 10/06 Called 395 0 400 0 No No N.A.
Halcyon Loan Investors 1 10/06 Amortizing 400 140 412 156 No No N.A.
Bacchus (U.S.) 2006-1b 12/06 Called 343 0 354 0 No No N.A.
Halcyon Loan Investors 2 4/07 Amortizing 400 221 411 229 No No N.A.
Halcyon Loan Advisors
8/12 Revolving 350 354 359 359 Yes No N.A.
Funding 2012-1
Funding 2012-2
H
Funding 2013-1
Funding 2013-2
Funding 2014-1
Funding 2014-2
Funding 2014-3
Funding 2015-1
Funding 2015-2
Funding 2015-3
Total 8,196 5,159 8,417 5,299
a
Anticipated U.S. Risk Retention compliant. bBecame successor manager on March 31, 2010. N.A. – Not available.

Portfolio Issue
HSAM 2006-I 6/06 Amortizing 385 54 400 76 No No
HSAM 2006-II 1/07 Amortizing 400 186 408 206 No No
HSAM 2007-I 5/07 Amortizing 586 331 600 357 No No
Neptuno IIa 12/07 Amortizing 438 175 450 220 No No
HSAM L/S 2008-1 5/08 Called 392 0 404 0 No No
HSAM 2008-II 8/08 Called 450 0 444 0 No No
Halcyon Loan Advisors 11/14 Revolving 300 300 310 310 Yes Yes
European Funding 2014 B.V.
Total 2,951 1,050 3,016 1,168
a
Became successor manager on Nov. 20, 2012. Note: Numbers may not add due to rounding.
Halcyon Loan Management LLC 173

The Fitch View
Key Considerations
●● Highest standards for risk management and internal compliance and controls.
●● Highly experienced investment professionals combined with ownership structure that ensures
direct personal investments by senior management in CLOs.
Company
●● HLM, an affiliate of HCM, was founded in 2006 and manages funds/separately managed accounts
through various subsidiaries in addition to its CLOs.
●● Senior management team at HLM averages approximately 22 years of industry experience. Very
low senior management turnover.
●● Extensive industry experience of senior investment professionals, who have previously worked at
firms such as Prudential Investment Management, IKB Capital Corporation, Citi Capital Advisors,
Merrill Lynch, Credit Suisse and Morgan Stanley.
●● Neuberger Berman has a passive interest in HCM and affiliates of approximately 20%.
Investments
●● Robust and formalized committee process in place. The investment committee consists of all
H investment professionals, with two senior investment members as voting members.
●● Credit selection is determined through downside scenario analysis and stress testing overlaid with
transaction-specific structural review.
●● Daily portfolio meetings cover recent developments and earnings, global events, investment
suitability, analyst recommendations and exposure updates for holdings.
●● Credit analysts are sector experts. In total they actively monitor approximately 500 companies and
have investments in 350.
●● All credits reviewed formally at least monthly during a comprehensive sector review. On a quarterly
basis, covered issuers are ranked in their sectors through a proprietary relative-value model.
Controls
●● Portfolios are managed on a daily basis with respect to all risks, including default, liquidity,
investment suitability and ratings migration.
●● Robust policies and procedures evidenced by the third-party valuation process and appropriate
reconciliation and settlement process.
●● Ongoing surveillance remains the responsibility of the analyst who originally assessed the asset.
●● Multiple lines of independent controls, including staff solely dedicated to forensic testing as well as
an external consultant who reviews the compliance program on an annual basis.
●● Daily three-way reconciliation among HLM, administrator and counterparties, ensuring adherence
to compliance requirements.
Operations
●● Strong and ongoing communication between portfolio management and operations professionals
who interact with appropriate systems and processes.
●● Strong relationship and communication with trustee.
●● Investor reporting is accommodative to investor needs and includes monthly newsletter and deal
summary as well as information about particular products. Investors access CLO information
through the trustee website.
Technology
●● Appropriate decision-making tools for risk analysis and investment allocation. For portfolio
management and administration, HLM uses both widely accepted third-party systems (including
Virtus, CDO Suite, Geneva, Charles River, Bloomberg and recently implemented Black Mountain)
and proprietary systems.
●● Redundancies in place at two offsite hotspots include full data and systems backup multiple times
per day. All functions are fully tested annually for immediate recovery needs.
174 Halcyon Loan Management LLC

HarbourView Asset Management Corporation
HarbourView Asset Management Corporation (HarbourView) is an indirect, wholly owned
subsidiary of OppenheimerFunds, Inc. (Oppenheimer) and part of the MassMutual
Financial Group. HarbourView provides advisory services focused on leveraged loans for
structured products; its high-yield corporate debt team (HYCDT) also provides advisory
services to mutual funds and other products. As of Dec. 31, 2015, HYCDT had assets
under management (AUM) of $17.5 billion.
Manager Profile
Address 225 Liberty Street, New York, NY 10281, U.S.
Website www.ofiglobal.com
Year Founded 1986
Parent(s) OFI Global Institutional, Inc.
H
OppenheimerFunds, Inc.
Key Affiliate(s) MassMutual Financial Group
Investment Profile
Global Firma
AUM $232 Bil.
High-Yield Corporate Debt Products Only

No. of Employees 24b
AUM $17.5 Bil.
U.S. CLOs (No./AUM) Two/$0.6 Bil.
a
OppenheimerFunds, Inc. Includes 14 investment professionals and 10 support staff. N.A. – Not applicable.
b

HarbourView Asset Management Corporation 175

High-Yield Corporate Debt Assets Under Management

($ Bil.)
25
20
15
10
5
0
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Institutional
High Yield
Leveraged CLOs
Bonds
Loan Products 3.3%
H 14.8%
7.0%
High Yield Bond

Mutual Funds
14.8%
Leveraged
Loans Leveraged Loan
85.2% Mutual Funds
74.9%
Source: HarbourView Asset Management Corporation.
U.S. Executive Committee

Experience (Years)
Joseph Welsh, CFA Senior Vice President, Team High-Yield Corporate Debt 20 24
Leader and Portfolio Manager Team Leader
David Lukkes, CFA Vice President and Senior Leveraged Loan Portfolio 12 14
Portfolio Manager Manager
Anthony Arnese, CFA Vice President and Senior CLO Portfolio Manager 6 22
Portfolio Manager
176 HarbourView Asset Management Corporation

Portfolio Issue
Name Pricing Status Target Current OriginalCurrent Volcker CRR U.S. RRa
HarbourView CLO IV, Limited 1/02 Called 300 0 306 0 No No No
HarbourView CLO V, Limited 2/03 Called 300 0 300 0 No No No
HarbourView CLO 2006-1 11/06 Amortizing 439 172 450 169 No No No
HarbourView CLO VII, Ltd. 11/14 Revolving 404 405 414 414 Yes No No
Total 1,443 577 1,470 583
a
H
MassMutual Financial Group
Oppenheimer Acquisition Corp.

(Holding Company)
OppenheimerFunds, Inc.
(Investment Adviser)
OFI Global Asset OFI Private

OFI Global OFI SteelPath, Inc.
Management, Inc. Investments Inc.
Institutional, Inc. (MLP Investment
(Retail Mutual Fund (529 Program Manager
(Investment Adviser) Adviser)
Investment Adviser) and Investment Adviser)
HarbourView Asset
Management Corporation
(CLO and CDO
Investment Adviser)
HarbourView Asset Management Corporation 177

The Fitch View
Key Considerations
●● Strong institutional parent company. Access to Oppenheimer’s resources, including research,
legal and global trade support teams.
●● Senior portfolio management team averages 20 years of industry experience and 13 years of
company tenure.
●● Lack of an integrated front-end portfolio management system to store credit opinions, financial
statistics and news.
Company
●● HarbourView is an indirect, wholly owned subsidiary of Oppenheimer and part of the MassMutual
Financial Group.
●● HYCDT provides advisory services for leveraged loans for HarbourView and other Oppenheimer
advisory subsidiaries.
●● HYCDT has been the sole collateral manager on three CLOs since 2003. The team is led by
Joseph Welsh, CFA and supported by 14 investment professionals.
●● The CLO platform team averages 14 years’ experience in leveraged finance markets and
H 13 years at the organization.
Investments
●● HarbourView uses a bottom-up investment approach with a goal of identifying undervalued
securities in the senior loan market.
●● The firm’s credit-centric, fundamental research process seeks to mitigate credit risk. A primary
focus is placed on finding senior loans that are generally tradable in the secondary market.
●● Overall investment process and strategy are driven by the portfolio managers (PMs).
While analysts are encouraged to actively generate buy/sell ideas, the PMs have ultimate
decision-making authority.
●● Credit analysts average 14 years of experience, and responsibilities include monitoring their
credits and related secondary trading activity.
●● Weekly meetings are held with the analyst team and PMs. A watchlist is maintained by analysts
in partnership with PMs.
●● Formal team meetings are held every six to eight weeks to review all target industry weightings.
Controls
●● Oppenheimer and its affiliates provide legal, operational, risk and compliance resources for
HarbourView.
●● Independent risk, compliance and legal teams augment investment and operations processes.
●● HarbourView is an SEC-registered investment adviser.
Operations
●● HarbourView has engaged Markit for its CLO administration functions (back office and compliance).
●● In addition, HarbourView has a dedicated CLO operations staff providing third-party oversight and
operational support to the portfolio management team.
●● Cash management and trustee reconciliation are carried out on a daily and monthly basis,
respectively, by the operations team.
●● Hypothetical-trade scenarios are assessed through in-house Excel models.
Technology
●● CLO technology and systems support is managed and maintained by a third-party vendor.
Oppenheimer provides broad IT support as well.
●● Markit is used for CLO compliance.
●● Charles River is used for trade execution, and executed trades are fed directly to Wall Street
Office.
178 HarbourView Asset Management Corporation

Highbridge Principal Strategies, LLC
Highbridge Principal Strategies, LLC (HPS) is a New York-based investment management
firm with offices in Houston, Chicago, London and Sydney. As of Dec. 31, 2015, HPS had
Manager Profile
Address 40 W. 57th Street, 33rd Floor, New York, NY 10019, U.S.
Website www.highbridge.com
Year Founded 2007
Parent(s) N.A.
Investment Profile H
Global Firm
AUM $24 Bil.

No. of Employees 28
AUM $9 Bil.
U.S. CLOs (No./AUM) Seven/$3.1 Bil.
a
Includes CLOs and large-cap loan team. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy HPS is expected to form a majority-owned affiliate that will
conduct its CLO business and retain vertical strips in the
company’s CLOs.
Highbridge Principal Strategies, LLC 179

($ Bil.)
25
20
15
10
5
0
2008 2009 2010 2011 2012 2013 2014 2015

Other
Other Other Syndicated
15.7%
H Structured 1.2% Loans
Products 28.9%
4.4%
Europe U.S.
Mezzanine 57.5%
26.8%
Debt
24.2% Middle
Market Loans
41.2%
CLOs Banks Endowments Other

10.0% 6.3% Pension/
12.8% 0.8% Retirement
Corporate 26.7%
Balance Sheet
Managed 4.4%
Accounts
48.2% High Net
CLO Worth
Managed Investors
Funds 13.2%
12.8%
39.0% Insurance
25.9%
Note: Other includes fund of funds, family office, employee/internal,
sovereign wealth fund and superannuation.
Source: Highbridge Principal Strategies, LLC.
180 Highbridge Principal Strategies, LLC

Fitch Ratings was not provided with credit committee membership information.
Portfolio Issue
Highbridge Loan 8/12 Revolving 300 301 313 313 Yes No No
Management 2012-1 CLO
H
Management 6-2015
Highbridge Loan 10/15 Ramp-up 440 440 452 452 Yes No No
Management 7-2015
Total 3,040 3,045 3,136 3,132
a
U.S. Risk Retention compliant status. Note: Numbers may not add due to rounding.
Highbridge Principal Strategies, LLC is predominantly owned by senior partners.
Highbridge Principal Strategies, LLC 181

The Fitch View
Key Considerations
●● Experience and stability of senior management team that averages more than 20 years of industry
experience, strong retention of staff and deep credit research experience.
●● Diversified asset management platform with revenue not dependent on future CLO issuance to
remain viable.
Company
●● HPS is a global alternative credit manager with approximately $24 billion of capital under
management as of Dec. 31, 2015.
●● Founded in 2007 and headquartered in New York, with investment offices in London, Houston,
Chicago and Sydney.
●● HPS manages both private and public credit strategies, with the ability to invest across the capital
structure.
Investments
●● HPS seeks to maintain actively managed diversified portfolios, with typical position sizes between
0.5% and 1.0%.
H ●● Nine research analysts are organized by industry and cover approximately 35 names each,
across the capital structure.
●● Investment analysis is focused around enterprise and asset value while minimizing potential
downside severity.
●● While their natural strategy is to sell out of a position, most analysts have workout experience.
There is no specific distressed group, so should a credit go into workout, general counsel would
assist in the process.
Controls
●● Conflicts of interest are minimized by robust policies and procedures regarding information
sharing.
●● Credit monitoring process supported by robust proprietary credit risk modelling and analytics with
a focus on principal preservation.
●● Formalized surveillance process includes ongoing portfolio optimization to ensure key tenets of
investment thesis remain valid.
Operations
●● Independent operations team proactively ensures compliance with investment guidelines and
conducts both pre- and post-trade compliance.
●● Strong administrative systems and procedures are utilized by experienced and stable staffing.
●● In addition to daily cash reconciliation, positions are reconciled weekly, and HPC maintains
parallel Wall Street Office (WSO) system to ensure accuracy.
Technology
●● HPS utilizes both proprietary and industry-standard systems, including WSO and the
soon-to-be-implemented Black Mountain Everest.
●● Business continuity plan is appropriate and tested. Disaster recovery includes offsite backup,
remote access and complete redundancies in separate New Jersey location.
182 Highbridge Principal Strategies, LLC

Highland Capital Management, L.P.
Highland Capital Management, L.P. (Highland) is a global investment manager that
specializes in credit strategies. Founded as an independent, employee-owned partnership
in 1993, the company is headquartered in Dallas, with additional offices in New York,
London, Singapore and Seoul. As of Dec. 31, 2015, Highland, together with its affiliates,
had approximately $18.3 billion in assets under management (AUM) across CLOs, various
hedge funds, long-only commingled funds, separate accounts and private equity funds.
Manager Profile
Address 300 Crescent Court, Suite 700, Dallas, TX 75201, U.S.
Website www.highlandcapital.com
Year Founded 1993
Parent(s) N.A.
Key Affiliate(s) Acis Capital Management, L.P. H
Investment Profile
Global Firm
AUM $18.3 Bil.

No. of Employees 15
AUM $11.6 Bil.

Overall Self-Described Risk Retention Strategy In August 2015, Highland developed a risk retention
solution that will involve a majority-owned affiliate.
Highland Capital Management, L.P. 183

High Yield Bonds Europe

CLOs 3.8% 2.7%
10.9%
Equity
21.9%
Syndicated
Loans
63.4%
U.S.
97.3%

H Mutual
Funds
23.5%
Separate CLOs
Accounts 56.8%
7.1%
Hedge
Funds
6.6% Other
6.0%
Note: Other includes private equity funds and sub-advised
accounts.
Source: Highland Capital Management, L.P.

Experience (Years)
Mark Okada Co-Founder and CIO N.P. 24 33
Josh Terry Partner Head of Structured 11 13
Products and Trading
Trey Parker Partner Head of Credit Research 9 17
184 Highland Capital Management, L.P.

Portfolio Issue
Pamco Cayman Ltd. 8/97 Amortizing 1,000 N.P. 1,000 112 No N.P. N.P.
Pam Capital Funding, L.P. 5/98 Matured 1,500 N.P. 1,500 0 No N.P. N.P.
Highland Legacy Ltd. 8/99 Matured 750 N.P. 750 0 No N.P. N.P.
Highland Loan Funding V Ltd. 8/01 Amortizing 503 25 503 89 No N.P. N.P.
Bristol Bay Funding, Ltd. 3/04 Amortizing 555 40 555 73 No N.P. N.P.
Valhalla CLO, Ltd. 8/04 Amortizing 913 64 914 77 No N.P. N.P.
Southfork CLO, Ltd. 3/05 Amortizing 685 81 685 80 No N.P. N.P.
Jasper CLO, Ltd. 6/05 Amortizing 700 143 700 167 No N.P. N.P.
Gleneagles CLO, Ltd. 10/05 Amortizing 900 179 900 212 No N.P. N.P.
Liberty CLO, Ltd. 12/05 Amortizing 921 191 921 238 No N.P. N.P.
Rockwall CDO Ltd. 5/06 Amortizing 850 309 870 309 Yes N.P. N.P. H
Red River CLO, Ltd. 8/06 Amortizing 900 313 900 324 Yes N.P. N.P.
Grayson CLO, Ltd. 11/06 Amortizing 1,500 925 1,500 965 Yes N.P. N.P.
Highland Park CDO I Ltd. 12/06 Amortizing 600 197 600 271 Yes N.P. N.P.
Brentwood CLO, Ltd. 12/06 Amortizing 700 424 700 444 Yes N.P. N.P.
Eastland CLO, Ltd. 3/07 Amortizing 1,500 986 1,532 1,026 Yes N.P. N.P.
Rockwall II CDO Ltd. 5/07 Amortizing 1,000 748 1,022 753 Yes N.P. N.P.
Westchester CLO, Ltd. 5/07 Amortizing 1,000 704 1,000 707 Yes N.P. N.P.
Stratford CLO, Ltd. 10/07 Amortizing 700 521 700 524 Yes N.P. N.P.
Hewett’s Island CLO I-R, Ltd. 11/07 Amortizing 235 97 262 108 No N.P. N.P.
Greenbriar CLO, Ltd. 12/07 Amortizing 1,000 720 1,000 733 Yes N.P. N.P.
Aberdeen Loan Funding, Ltd. 3/08 Amortizing 500 263 515 275 Yes N.P. N.P.
Acis CLO 2013-1, Ltd. 3/13 Revolving 500 504 526 522 Yes N.P. N.P.
Acis CLO 2013-2, Ltd. 10/13 Amortizing 620 527 650 553 No N.P. N.P.
Acis CLO 2015-6 4/15 Revolving 564 567 578 578 Yes N.P. N.P.
Total 21,981 9,917 22,215 10,761
a
Highland Capital Management, L.P. 185

Shared Services Agreement

Acis Capital Management, L.P. Highland Capital Management, L.P.
(a Delaware limited partnership) (a Delaware limited partnership)
(Investment Manager) (Sub-Advisor)
Sub-Advisory Agreement
Investment
Management
Agreement
CLOs and Advised Accounts
H
Note: Acis Capital Management, L.P. and Highland Capital Management, L.P. are under the common control of
James Dondero, who is the president of both entities.
186 Highland Capital Management, L.P.

Insight Investment
Insight Investment (Insight) is a global investment management firm specializing in
liability-driven investment, fixed-income, absolute return and specialist investment
strategies. Insight was founded in London in 2002. In 2009, The Bank of New York Mellon
(BNY Mellon) acquired Insight from Lloyds Banking Group, which had formally acquired
HBOS earlier that year. In 2013, Insight merged with Pareto Investment Management,
a currency risk manager. In early 2015, BNY Mellon acquired U.S.-based fixed-income
and solutions specialist Cutwater Asset Management, which is now operated by Insight.
Insight is headquartered in London and has offices in New York, Sydney and Tokyo. As of
Dec. 31, 2015, it had $603 billion in global assets under management (AUM).
Manager Profile
Address 200 Park Avenue, New York, NY 10166, U.S.
Website www.insightinvestment.com
Year Founded 2002
Ownership Structure Multistrategy asset management firma
Parent(s) The Bank of New York Mellon Corporation
Investment Profile I
Global Firm
AUM $603 Bil.

No. of Employees 11
AUM $1.7 Bil.
No. of Invested Credits 250–300b
Credits per Analyst 35b
U.S. CLOs (No./AUM) Three/$1.25 Bil.
a
Insight is the corporate brand for the group of companies managed or administered by Insight Investment
Management Limited. Insight includes, among others, Insight Investment Management (Global) Limited, Pareto
Investment Management Limited, Cutwater Asset Management Corp. and Cutwater Investor Services Corp., each
of which provides asset management services. bLeveraged loans only, across all vehicles. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy Current intention is to establish a majority-owned affiliate
that will invest in vertical strips.
Insight Investment 187

($ Bil.)
700
Thousands
600
500
400
300
200
100
0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Syndicated
CLOs Loans Asia Pacific Other U.S. &
1.8% 3.3% 5.3% 1.4% Canada
High Yield 5.4%
Bonds Europe
I 6.8% 6.4%
Investment Grade
U.K.
Bonds
81.6%
88.1%
Note: Europe excludes U.K. Asia Pacific excludes Japan.

Managed Wholesale
Other 1.6% Other Managed
Funds Funds
2.9% 5.0%
1.8% Corporate
11.6%
3.2% Individual
Insurance 6.3%
4.1%
Managed Accounts
95.3%
Pension
68.2%
Note: Above figures include CLOs.
Note: AUM is represented by the value of cash securities and other economic exposure managed for clients. Reflects
the AUM of Insight, which includes Insight Investment Management (Global) Limited, Pareto Investment Management
Limited, Insight Investment Funds Management Limited, Cutwater Investor Services Corp. (CISC) and Cutwater Asset
Management Corp. (CAMC). CISC and CAMC are owned by BNY Mellon and operated by Insight. Excludes previous
parent introduced assets prior to 2009.
Source: Insight Investment.
188 Insight Investment

Experience (Years)
Alex Veroude Head of Credit Senior Management 8 22
Alex Jackson Head of Bank Loan Portfolio Head of Bank Loan Portfolio Management 3 26
Management
Cliff Corso Insight U.S. CEO U.S. CEO 22 31
Joe Nelson Senior Portfolio Manager Deputy Group Head 3 20
Ranbir Lakhpuri Portfolio Manager Portfolio Manager, Europe 9 15
Shaheer Guiguis Head of Secured Finance Head of Secured Finance 9 15
Jason Cameron Senior Portfolio Manager Portfolio Manager, U.S. Structured 18 20
Finance
David Averre Head of Credit Analysis Head of Credit Research 11 28
Andrew Stalker Head of Investment Risk Risk Management 15 19

I
Portfolio Issue
Cutwater 2014-I 7/14 Revolving 400 405 415 415 Yes No No
Cutwater 2014-II 12/14 Revolving 400 403 412 412 Yes No No
Cutwater 2015-I 5/15 Revolving 450 457 462 462 Yes No No
Total 1,250 1,265 1,289 1,289
a
Insight Investment 189

The Bank of New York Mellon Corporation
Insight Investment Management Limited Mellon Global

The Bank of New York Mellon
Investing Corp.
Framework
Agreement
Insight Investment Insight Investment Cutwater Holdings Pareto New York
Pareto Investment LLC LLC
Management Funds Management
Management Limited
(Global) Limited Limited
Cutwater Investor
Services Corp.
Cutwater Asset
Management Corp.
I
Note: Relevant to Insight only and is not a full representation of The Bank of New York Mellon Group. In addition to
the above, Insight Investment Management Limited has a 40% interest in Valletta Fund Management Limited. The
other 60% is owned by Bank of Valletta.
190 Insight Investment

Intermediate Capital Group
Intermediate Capital Group (ICG) is a global investment firm that specializes in mezzanine
finance, minority equity, leveraged senior loans and high-yield bonds. ICG manages
third-party money through closed- and open-end funds, separate mandates and CLOs.
As of Dec. 31, 2015, it had €21.2 billion in assets under management (AUM), including
$2.0 billion via five U.S. CLOs and €2.4 billion via 11 European CLOs.
Manager Profile
Address Juxon House, 100 St Paul’s Churchyard, London,
EC4M 8BU, U.K.
Website www.icgplc.com
Year Founded 1989
Ownership Structure Multistrategy asset management firm; publicly listed
company
Parent(s) Intermediate Capital Group plc

Key Affiliate(s) Intermediate Capital Managers Limited
ICG Debt Advisors LLC
I
Investment Profile
Global Firm
AUM €21.2 Bil.

No. of Employees 20
AUM €9.7 Bil.

Overall Self-Described Risk Retention Strategy ICG Debt Advisors acts an investment manager to the U.S.
CLOs; however, Intermediate Capital Managers Limited,
a MiFID licensed sister firm, acts as sub-investment
manager and risk retention holder under 122a. To comply
with Article 122a of the capital requirements directive
(CRD), ICG plc holds, at a minimum, a 5% exposure in
each CLO, either as a vertical slice of the liabilities or as
5% of the deal’s notional in the equity.
Intermediate Capital Group 191

(€ Bil.)
24
21
18
15
12
9
6
3
0
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Note: 2001–2014 figures as of fiscal year end (March 31). 2015 figures as of Dec. 31.

Senior
Direct Other Leveraged Other
Lending 1.2% Loans/ U.S. 5.8%
21.9% High Yield 11.1%
3.4%
I CLOs
20.5%
Mezzanine
37.2% Real Estate Europe
Debt Funds 83.1%
15.8%

ICG
Managed Other Insurance Balance
Accounts 0.7% 11.6% Sheet
19.8% Sovereign 10.8%
Wealth
Funds
10.1% Pension/
Managed Retirement
CLOs Funds CLO 33.7%
20.5% 59.0% Investors
20.5%
Banks Other
1.2% 12.2%
Note: Other includes AUM from fund of funds, asset managers and
consultants, among others.
Source: Intermediate Capital Group.
192 Intermediate Capital Group

Experience (Years)
Christophe Evain CEO Chief Investment Officer 22 29
Sal Gentile Managing Director and Head of North American 4 27

Partner Debt Operations
Seth Katzenstein Managing Director Portfolio Manager 3 19
Michelle De Angelis Director Head of Credit Research 5 19
– Europe and Asia-Pacific

Experience (Years)
Christophe Evain CEO Chief Investment Officer 22 29
Dagmar Kent Kershaw a
Partner Head of Credit Fund Management – 8 23
Europe and Asia-Pacific
David Ford
Max Mitchell
Director
Director
Head of European Direct Lending
11
14
20
19
I
Michelle De Angelis Director Head of Credit Research – Europe and 5 19
Asia-Pacific
Dagmar Kent Kershaw resigned from ICG in March 2016. She will continue in her current role until June 2016, at
a
which time Zak Summerscale will join ICG as head of credit fund management in Europe and Asia-Pacific.

Portfolio Issue
ICG US CLO 2014-1 1/14 Revolving 350 352 371 371 Yes No No
ICG US CLO 2014-2 7/14 Revolving 400 403 417 414 Yes Yes Yes
ICG US CLO 2014-3 6/15 Revolving 400 403 411 411 Yes No No
Total 1,950 1,965 2,021 2,018
a

Portfolio Issue
Eurocredit I 8/99 Matured 398 0 417 0 No No
Eurocredit II 7/00 Matured 350 0 369 0 No No
Eurocredit III 8/03 Amortizing 250 13 260 39 No No
Eurocredit IV 10/04 Amortizing 350 31 356 64 No No
Eurocredit V 8/06 Amortizing 582 122 600 180 No No
Eurocredit VI 12/06 Amortizing 485 125 500 174 No No
Eurocredit VII 3/07 Amortizing 504 132 520 179 No No
St Paul’s I 5/07a
Amortizing 292 211 300 231 No No
Eurocredit VIII 11/07 Amortizing 628 78 636 130 No No
St Paul’s II 7/13 Revolving 400 400 400 400 Yes Yes
St Paul’s III 12/13 Revolving 549 532 557 557 Yes Yes
St Paul’s IV 3/14 Revolving 425 426 435 435 Yes Yes
I St Paul’s V 8/14 Revolving 350 351 361 361 Yes Yes
Total 5,562 2,420 5,709 3,749
a
Closing date. Note: Numbers may not add due to rounding.
Intermediate Capital Group plc
ICG FMC Ltd
Intermediate Capital Managers Limited Intermediate Capital Group, Inc.
European collateral manager

(advises European CLOs)
ICG Debt Advisors LLC
U.S. collateral manager

(advises U.S. CLOs)
Note: Summary organizational chart relating to CLOs.

The Fitch View
Key Considerations
●● Benefits from resources of global enterprise with substantial scale. ICG is the longest established
European CLO manager, and one of the largest.
●● Advanced, proprietary integrated technology platform.
●● Challenge remains to successfully grow and maintain U.S. presence via strategic development of
business through funds, mandates and CLOs.
Company
●● A global investment firm, ICG specializes in mezzanine finance, minority equity, leveraged senior
loans and high-yield bonds and has recently launched a direct lending offering. It manages third-
party money through closed- and open-end funds, separate mandates and CLOs.
●● ICG was founded in 1989 and listed on the London Stock Exchange in 1994. It has been managing
European CLOs since 1999, making it the longest established CLO manager in Europe. Its U.S.
CLO management experience is newer, dating to 2014.
●● Global presence with offices in London, Singapore and, more recently (in 2007), the U.S.
●● The senior staff comprises experienced investment professionals. There are 18 credit analysts
and seven portfolio managers (PMs) in total (including four specialist leveraged loan PMs). PMs
average 17 years of industry experience, and credit analysts 14 years.
Investments
●● Bottom-up fundamental credit research and formal committee-based approval of credit limits, with
I
a bias toward investments that are senior in the capital structure, generate sustainable free cash
flow and are well collateralized.
●● Credit fund management (CFM) benefits from the group’s mezzanine investment team and
analytical resources (more than 40 investment professionals) for sourcing, credit analysis and
local insights. Credit analysts are organized by sector.
●● Surveillance is formalized in daily meetings, monthly reviews and quarterly portfolio reviews
supported by strong risk reporting systems.
●● Workouts are handled by CFM analysts directly and separately from mezzanine analysts. Senior
analysts give input on the workout process in terms of individual portfolio constraints or features.
Controls
●● Risk management is a function of oversight committees and compliance in the absence of a
dedicated audit or risk function.
●● Team of seven risk, compliance, internal audit and legal professionals with an average of 16 years’
experience, supported by external advisors such as the independent, New York-based Duff &
Phelps.
Operations
●● Efficient administration supported by robust systems and procedures.
●● ICG reconciles cash daily with trustees and positions weekly. Information flows with the trustees
are well established and tested.
●● Dedicated loan administration (including loan settlement), IT, compliance and finance teams, with
over 50 professionals globally. Seven employees dedicated to CLO administration.
Technology
●● Integrated global IT platform based on a combination of proprietary analytics and third-party
administration systems is well tailored to business requirements.
●● Wall Street Office is ICG’s core loan and CLO administration system. ICG also uses other industry-
standard third-party systems such as Black Mountain Everest and Virtus.
●● CreditLab is ICG’s flexible, web-based, integrated proprietary credit and portfolio monitoring
system.

I

KKR Credit Advisors (US) LLC
KKR Credit Advisors (US) LLC (KKR Credit), formerly known as KKR Asset Management
(KAM), is a wholly owned subsidiary of KKR & Co. L.P. (KKR), a global investment firm
with approximately $94.3 billion in assets under management (AUM) as of Dec. 31, 2015.
Of this total, KKR Credit managed $33.8 billion in global investments ($19.8 billion in U.S.
assets). KKR Credit’s investments encompass leveraged credit and alternative credit
(including special situations, direct lending and mezzanine investments).
Manager Profile
Address 555 California Street, 50th Floor, San Francisco, CA
94104, U.S.
Website www.kkr.com
Year Founded 1976
Parent(s) KKR & Co. L.P.
Key Affiliate(s) KKR Credit (Ireland)
KKR Credit Advisors (UK) LLP
Investment Profile
Global Firm
No. of Employees
No. of Portfolio Managers
218
13
K
AUM $33.8 Bil.

No. of Employees Variesa
AUM N.P.
No. of Invested Credits 240 U.S./157 Europe
Credits per Analyst 18 U.S./14 Europe
Analysts may work on a combination of leveraged loans, high-yield bonds and special situations/mezzanine deals.
a

Overall Self-Described Risk Retention Strategy Where risk retention has been mandatory, KKR has to date
acted as sponsor for its CLO 2.0 issues and has taken a
horizontal interest in its deals. KKR is currently exploring
other options regarding risk retention and remains open to
issuing new deals.
KKR Credit Advisors (US) LLC 197

($ Bil.)
35
30
25
20
15
10
5
0
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Europe
Private Other 21.4%
Distressed 2.5%
Credit
19.5%
Mezzanine
6.0% Syndicated
Credit
52.7% U.S.
Middle 78.6%
K Market
Loans
19.3%

Banks
Other 2.1% Insurance
Sovereign 4.2%
6.8% CLOs
Direct 26.7% Wealth Fund CLO Investors
Lending 3.9% 28.8%
19.3% U.S.
Leveraged General Partners
Mezzanine Credit 23.2%
6.0% 16.8%
Special European
Situations Leveraged Credit High Net Worth Pension/Retirement
19.5% 4.9% 15.5% 22.2%
Note: Excludes CLOs where KKR owns 100% of the equity.
Source: KKR Credit Advisors (US) LLC.
198 KKR Credit Advisors (US) LLC

U.S. Leveraged Credit Investment Committee
Experience (Years)
Chris Sheldon Member Head of U.S. Leveraged Credit 10 16
Erik Falk Member Head of U.S. Private Credit 6 22

John Reed Member Head of Credit Trading 6 17
Jeremiah Lane Director Co-Head of U.S. Credit Research 10 13
Sharath Reddy Director Co-Head of U.S. Credit Research 2 11
European Leveraged Credit Investment Committee

Experience (Years)
Alan Burke Member Co-Head of Global Credit 13 18
Eddie O’Neill Director Senior Portfolio Manager 13 17

Portfolio Issue
KKR Financial CLO 2005-1 3/05 Called 1,000 47 1,007 86 Yes No N.P.
KKR Financial CLO 2007-1 4/07 Amortizing 3,500 2,039 3,530 2,068 Yes No N.P.
KKR Financial CLO 2007-A 10/07 Called 1,500 55 1,468 41 Yes No N.P.
KKR Financial CLO 2012-1 12/12 Revolving 400 400 412 412 Yes No N.P.
KKR Financial CLO 2013-1 6/13 Revolving 500 503 519 519 Yes Yes N.P.
KKR Financial CLO 2013-2 12/13 Revolving 369 371 384 384 Yes No N.P.
KKR CLO 9 8/14 Revolving 500 502 518 518 Yes No N.P.
KKR CLO 12 8/15 Revolving 400 402 412 412 Yes Yes N.P.
Total 11,519 5,817 11,675 5,977
a
K
Portfolio Issue
Avoca CLO II 11/04 Amortizing 360 27 368 65 No No
Avoca CLO III 8/05 Amortizing 400 82 408 120 No No
Avoca CLO V 6/06 Amortizing 500 82 506 142 No No
Avoca CLO IV 8/06 Amortizing 450 122 458 114 No No
Avoca CLO VI 11/06 Amortizing 500 223 508 210 No No
Lombard 12/06 Amortizing 341 152 349 134 No No
Avoca CLO VII 2/07 Amortizing 700 260 711 294 No No
ACA 6/07 Amortizing 389 102 400 129 No No
Avoca CLO VIII 8/07 Amortizing 500 420 508 446 No No
Avoca CLO IX 6/08 Called 325 0 300 0 No No
Avoca CLO X 11/13 Revolving 300 300 311 311 No Yes
Avoca CLO XI 5/14 Revolving 500 501 519 519 Yes Yes
Avoca CLO XII 8/14 Revolving 400 401 415 415 Yes Yes
Avoca CLO XIII 11/14 Revolving 400 401 414 414 Yes Yes
Avoca CLO XIV 6/15 Revolving 500 501 516 516 Yes Yes
Avoca CLO XV 11/15 Revolving 500 500 517 517 Yes Yes
Total 7,065 4,074 7,208 4,347

KKR Management LLC
Majority
Independent
Directors
Public Unitholders GP KKR Holdings L.P.
Certain KKR
LP
KKR & Co. L.P. Employees
(NYSE: KKR) and Others
100%
KKR Management
Holdings Corp.
KKR Group Finance Co. LLC

KKR Group Finance Co. II LLC
KKR Group Finance Co. III LLC
GP LP GP LP GP LP
Group KKR Management KKR Fund KKR International
Partnerships Holdings L.P. Holdings L.P. Holdings L.P.
K
Management General Partners of

Companies, Capital Private Equity, Real
Principal
Markets, General Assets and Other KFN
Assets
Partners of Credit and Vehicles and
Certain Other Vehicles Management Company

The Fitch View
Key Considerations
●● Strong institutional parent in KKR. Diversified business and product lines furnish the ability to
leverage scale across a broad selection of investment opportunities and companies.
●● Considerable U.S. and European CLO investment resources and experienced staff. Overall CLO
platform capabilities have expanded due to Avoca Capital (Avoca) acquisition in 2014.
●● Managing potential conflicts of interest by maintaining the company’s effective wall of separation
between the CLO platform and KKR’s private equity business.
●● Considerations to effectively leverage newer resources in Europe.
Company
●● In 2004, KKR began pursuing debt investments and, among other activities, formed KAM, its
marketable securities and alternative investment division. In 2014, KAM became KKR Credit,
which manages across various credit market segments, including bank loans, high-yield bonds,
CLOs, directly originated senior-secure lending, mezzanine debt and special situations/distressed
investments.
●● Avoca was formed in 2002 and launched its first European CLO in 2003; a series of subsequent
CLOs followed thereafter. It began managing mutual funds and mandates in 2009. Upon its
acquisition, Avoca brought approximately €6.2 billion in AUM to KKR and lifted the number of
industry analysts on KKR Credit’s global leveraged credit team to 27 (16 U.S. analysts and 11
European analysts).
●● KKR Credit has been managing broadly syndicated loan CLOs since 2005. KKR is a majority owner
of the equity tranches in all of KKR Credit’s U.S. CLOs as a result of the April 2014 acquisition of
KKR Financial Holdings LLC.
Investments
●● KKR Credit’s investment philosophy is value oriented, with a focus on fundamentals, strong credit
K selection and avoiding mistakes.
●● Clearly articulated investment process that is strictly adhered to, beginning with a prescreening
phase, which filters out the majority of issuers and focuses the detailed credit analysis on those
issuers for which an investment is more probable. The process concludes at the credit committee,
which makes credit and investment decisions.
●● Daily credit meetings provide a forum for discussion among the portfolio managers, credit analysts
and traders.
●● All credits are monitored in real time, with news and analyst updates disseminated firmwide
through Black Mountain Everest systems.
Controls
●● Potential conflicts of interest are managed through a global conflicts committee. Specific rules
govern how debt funds can invest in KKR-originated transactions, notably a rule limiting debt funds
to a maximum holding of 19.9% of any debt class issued by a portfolio company, absent explicit
approval from the conflicts committee.
●● All procedures are well documented, including those governing the management of public and
private data.
Operations
●● A CLO-dedicated operations staff performs a three-way daily cash and position reconciliation with
both the Wall Street Office compliance module and CLO indenture trustees.
●● High degree of integration with the trustee resulting from the advanced technology in place.
●● Prior to execution, KKR Credit runs all prospective trades through a robust pretrade compliance
process to determine CLO suitability.
Technology
●● KKR Credit’s CLO platform has built on its parent’s significant investment in technology to create
proprietary models and fundamental tools that help automate research and surveillance functions.
Systems and technology platform are scalable and were developed to handle growth in CLO
issuance.
●● A variety of technology solutions are utilized, including Black Mountain Everest systems. Third-
party feeds are incorporated to support day-to-day management of the CLOs.

Kramer Van Kirk Credit Strategies LP
Kramer Van Kirk Credit Strategies LP (KVK) is an independent investment adviser that
manages leveraged loan investments. KVK was founded in 2011 by two investment
professionals, Thomas A. Kramer and Timothy S. Van Kirk, who collectively have more
than 50 years’ experience in loan investing and CLO structuring and management. The two
founders, along with several other staff members, previously worked together at LightPoint
Capital and Neuberger Berman. As of Dec. 31, 2015, KVK managed eight CLOs totaling
$4.0 billion in issuance.
Manager Profile
Address 200 W. Monroe Street, Suite 1330, Chicago, IL 60606, U.S.
Website www.kvkcs.com
Year Founded 2011
Parent(s) N.A.
Key Affiliate(s) KVK Services LLC
Investment Profile
Global Firm
No. of Employees 25 K
AUM $4.0 Bil.

No. of Employees 25
AUM $4.0 Bil.
U.S. CLOs (No./AUM) Eight/$4.0 Bil.

Overall Self-Described Risk Retention Strategy KVK raised additional capital via a minority share sale
in May 2015 that will allow the firm to meet risk retention
requirements.
Kramer Van Kirk Credit Strategies LP 203

($ Bil.)
4
0
2012 2013 2014 2015
CLOs
K Syndicated
Loans
100.0%
100.0%
Source: Kramer Van Kirk Credit Strategies LP.

Experience (Years)
Thomas A. Kramer Senior Managing Director Senior Portfolio Manager 4 33
Timothy S. Van Kirk Senior Managing Director Chief Risk Officer 4 29

Michael J. McKay Managing Director Head of Credit Research 4 22
Kristi R. Broderick Senior Vice President Credit Research Team Leader 4 18
Matt A. Persohn Senior Vice President Credit Research Team Leader 4 16
204 Kramer Van Kirk Credit Strategies LP

Portfolio Issue
KVK CLO 2012-1 6/12 Amortizing 350 350 350 350 No No N.A.
KVK CLO 2012-2 12/12 Revolving 400 400 400 400 Yes No N.A.
KVK CLO 2013-2 11/13 Revolving 400 400 400 400 No No N.A.
Total 3,965 3,965 3,965 3,965
a
Kramer Van Kirk Credit Strategies LP 205

The Fitch View
Key Considerations
●● Depth and breadth of partners’ experience. The average is 31 years in the industry.
●● Demonstrated track record in credit risk management and loss mitigation, as evidenced by a low
historical default rate on managed CLOs.
●● Small size and short history could create challenges in terms of asset purchase allocations, but
are largely offset by senior management’s experience and profile in the sector.
Company
●● KVK Services LLC is the general partner of KVK. Its members include Kramer and Van Kirk, who
founded KVK in 2011 and serve as managing directors, as well as a third-party investor. KVK is
the collateral manager to eight CLOs.
●● The staff of 25 investment professionals includes senior members with workout experience, as
well as individuals with extensive industry backgrounds. All original employees have ownership in
the firm. Eleven employees worked together previously at LightPoint Capital, Neuberger Berman
and/or ABN AMRO Bank.
●● Senior management averages 31 years’ experience in the leveraged loan asset class, including
origination, structuring, portfolio management, distribution and workouts.
●● Senior management oversaw 11 CLOs ($4.3 billion) at LightPoint Capital Management, which
was also co-founded by Kramer and Van Kirk. The performance on those deals has been stable
to date. Senior management also managed a multi-billion-dollar balance sheet portfolio while at
ABN AMRO.
Investments
●● KVK has an adequate credit approval process supported by structured and well-documented
K credit research processes.
●● KVK uses an effective screening process, based on portfolio manager judgment, to filter out
unsuitable assets at an early stage. Turndown rate is 45%.
●● Using a proprietary technology platform, KVK’s investment professionals will analyze, select and
manage investment positions using current issuer and market information.
●● The investment process is centered on a focused and disciplined credit analysis framework that
evaluates material aspects of a potential asset.
Controls
●● KVK manages its investment risk by structuring portfolios that are highly diversified by industry
and issuer. KVK employs a robust and highly disciplined approach to portfolio management to
monitor compliance with specific benchmarks and investment criteria.
●● Surveillance processes are in place, with the original lead analyst retaining ongoing surveillance.
Alert functions in KVK’s proprietary credit platform are used to identify deteriorating credits at an
early stage.
●● KVK maintains active portfolio monitoring processes, with daily position risk monitoring and
monthly meetings held for special discussions regarding hot topics and watchlist items.
Operations
●● Comprehensive transaction modeling in CDO Sentry facilitates day-to-day administration of cash
and holdings, indenture compliance modeling, and reporting and payment waterfall projections.
●● Senior management also reviews fund performance and portfolio composition on a regular basis
to monitor compliance with governing documents.
●● In addition to trustee reports, KVK supplements investor reporting with details on trading activity
and any credit commentary, if applicable.
Technology
●● KVK’s central technology platform, D²CPA, collects cross-market information from various data
providers such as Loan Performance, Markit, CDO Sentry and Bloomberg, as well as internal data
from credit research and trading.
●● D²CPA supports credit analytics, portfolio construction and portfolio management operations
and provides real-time functionality, credit process efficiency and investor-enabled reporting
transparency.
206 Kramer Van Kirk Credit Strategies LP
LCM Asset Management LLC
LCM Asset Management LLC (LCM) is a New York-based loan asset manager. It was
formed in 2001 as a third-party money management business with a dedicated focus on
U.S. leveraged loans. Prior to parent company Tetragon Financial Group Limited’s (TFG)
ownership, LCM was a wholly owned asset management subsidiary of Crédit Agricole
S.A. As of Dec. 31, 2015, LCM had approximately $6.1 billion in assets under management
(AUM) across 14 CLOs.
Manager Profile
Address 399 Park Avenue, 22nd Floor, New York, NY 10022, U.S.
Website www.lcmam.com
Year Founded 2001
Ownership Structure 100% indirect subsidiary of Tetragon Financial Group
Limited
Parent(s) Tetragon Financial Group Limited

Investment Profile
Global Firm
No. of Employees 14
L
AUM $6.1 Bil.

No. of Employees 14
AUM $6.1 Bil.

Overall Self-Described Risk Retention Strategy LCM expects to benefit from TFG’s efforts to implement
strategies related to applicable risk retention rules.
LCM Asset Management LLC 207


($ Bil.)
7
6
5
4
3
2
1
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Syndicated U.S.
Loans 100.0%
L 100.0%
CLOs
100.0%
Source: LCM Asset Management LLC.
208 LCM Asset Management LLC

Experience (Years)
Farboud Tavangar N.A. Senior Portfolio Manager 15 29
Marc Schluraff, CFA N.A. Senior Portfolio Manager 11 31
Alexander Kenna N.A. N.A. 11 23
Sophie-Aurore Venon N.A. N.A. 12 16

Portfolio Issue
Indosuez Capital Funding III, 12/96 Matured N.A. 0 460 0 N.A. N.A N.A.
Limitedb
Indosuez Capital Funding IIA, 6/98 Matured N.A. 0 825 0 N.A. N.A N.A.
Limitedb
Porticoes Funding Corp.b 12/98 Matured N.A. 0 400 0 N.A. N.A N.A.
Indosuez Capital Funding VI, Ltd.b 9/00 Matured N.A. 0 482 0 N.A. N.A N.A.
Serves 2001-1 LTD b
3/01 Matured N.A. 0 400 0 N.A. N.A N.A.
LCM I Limited Partnership 6/03 Matured N.A. 0 325 0 N.A. N.A N.A.
LCM II Limited Partnership 11/04 Matured N.A. 0 360 0 N.A. N.A N.A.
L
LCM III LTD 4/05 Matured N.A. 0 350 97 N.A. N.A N.A.
LCM IV LTD 8/05 Matured N.A. 0 307 79 N.A. N.A N.A.
Hewett’s Island CLO IV, Ltd.c 5/06 Amortizing 400 5 412 33 N.A. N.A N.A.
LCM V LTD 3/07 Amortizing 583 7 600 328 N.A. N.A N.A.
LCM VI LTD 5/07 Amortizing 486 8 500 350 N.A. N.A N.A.
LCM VII LTD d
8/07 Defaulted N.A. 0 404 0 N.A. N.A N.A.
LCM VIII Limited Partnership 11/10 Called N.A. 0 300 0 N.A. N.A N.A.
LCM IX Limited Partnership 6/11 Amortizing 650 445 666 461 N.A. N.A N.A.
LCM X Limited Partnership 2/12 Revolving 400 369 410 380 N.A. N.A N.A.
LCM XI Limited Partnership 5/12 Revolving 470 471 482 482 N.A. N.A N.A.
LCM XII Limited Partnership 10/12 Revolving 500 500 514 514 N.A. N.A N.A.
LCM XIII Limited Partnership 2/13 Revolving 500 500 516 516 N.A. N.A N.A.
LCM XIV Limited Partnership 7/13 Revolving 400 400 413 413 N.A. N.A N.A.
LCM XV Limited Partnership 2/14 Revolving 600 598 620 620 N.A. N.A N.A.
LCM XVI Limited Partnership 6/14 Revolving 700 700 726 726 N.A. N.A N.A.
LCM XVII Limited Partnership 10/14 Revolving 400 400 411 411 N.A. N.A N.A.
LCM XVIII Limited Partnership 3/15 Revolving 600 599 610 610 N.A. N.A N.A.
LCM XIX Limited Partnership 7/15 Revolving 600 600 618 618 N.A. N.A. N.A.
LCM XX Limited Partnership 11/15 Revolving 500 500 509 509 N.A. N.A N.A.
Total 7,789 6,101 12,620 6,379
a
Anticipated U.S. Risk Retention compliant. bLCM took over management responsibilities from Indosuez Capital in
April 2004. cLCM took over management responsibilities from CypressTree Investment Management Company, Inc.
in October 2010. dMarket value CLO. N.A. – Not available. Note: Numbers may not add due to rounding.

Tetragon Financial Group Limited

(Listed on Euronext Amsterdam N.V.)
100%
indirect
subsidiary
LCM Asset Management LLC

The Fitch View
Key Considerations
●● Well-established CLO platform and performance record supported by larger global asset manager.
●● Stable management team combined with senior portfolio management averaging over 20 years’
experience managing CLOs.
●● The future financial performance of LCM’s parent company, TFG, has exposure to the performance
of the overall corporate loan market and CLOs, specifically.
Company
●● In 2010, TFG purchased a majority stake in LCM. LCM benefits from the additional administrative
support and resources of TFG.
●● LCM’s product platform includes CLOs, separately managed accounts and closed-end funds.
●● Staffing of 14 investment professionals includes analysts with workout experience and individuals
with extensive industry backgrounds.
●● Senior portfolio managers (PMs) have an average of 20 years’ corporate loan experience.
Investments
●● A buy-and-hold manager, LCM’s investment philosophy is based on fundamental analysis focused
on industry prospects, position, operating performance and growth strategy.
●● Investment decisions are made through the monitoring of credits by proprietary rating. The rating
is driven by assessing companies by free cash flow, capital structure and loan collateral values.
●● The investment committee consists of four senior managing directors and one PM. The committee
requires a consensus decision and examines information such as financials and industry data on
a real-time basis.
●● The investment process is focused on quantitative analytics, with analysts overlaying qualitative
considerations. As such, the number of active credits per analyst is higher than the industry
average.
Controls
L
●● Formalized surveillance process in daily meetings covering all aspects of portfolio analysis,
including performance against benchmark, as well as credit-specific events.
●● LCM has compliance and governance processes in place to support accuracy of trading, portfolio
management and administration functions.
●● Extensive internal controls and review procedures to ensure the accuracy, reliability and timeliness
of analytical inputs.
●● Real-time credit-risk monitoring process supported by appropriate proprietary credit-risk modeling
and analytics.
Operations
●● LCM has a strong focus on efficiency and uses robust proprietary systems and quantitative
analysis to lead credit surveillance and monitoring efforts.
●● Regular interaction and communication, as evidenced through daily reconciliation with the trustee
for all CLO transactions.
●● Systems and servicer interactions allow for continuous asset monitoring and daily cash flow
reconciliation to determine the impact of actions on portfolios.
Technology
●● Portfolio management and credit analysis are done fully in-house, supplemented by the use of
third-party analytical resources such as Bloomberg, CDO Suite and Wall Street Office (WSO).
●● Integrated and flexible platform based on a combination of proprietary analytics and third-party
administration systems.
●● Appropriate use of widely accepted industry systems such as CDO Suite and WSO for portfolio
management and administration.
●● LCM uses a proprietary system, CAPM, to integrate credit analysis, portfolio management, trade
processing, loan servicing and trustee and investor reporting.

L

Loomis, Sayles & Company, L.P.
Loomis, Sayles & Company, L.P. (Loomis) is a wholly owned subsidiary of Natixis
Global Asset Management, L.P. (NGAM), the U.S.-based subsidiary of Natixis. As of
Dec. 31, 2015, it managed approximately $400 million of broadly syndicated loans in one
CLO.
Manager Profile
Address One Financial Center, Boston, MA 02111, U.S.
Website www.loomissayles.com
Year Founded 1926
Parent(s) Natixis Global Asset Management
Investment Profile
Global Firm
AUM $229.1 Bil.

No. of Employees 10 L
AUM $5.7 Bil.
U.S. CLOs (No./AUM) One/$403 Mil.

Overall Self-Described Risk Retention Strategy Create a structure funded by related entities to capitalize
the upper tranches of a vertical strip.
Loomis, Sayles & Company, L.P. 213


($ Bil.)
250
200
150
100
50
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Syndicated Other
Loans High 16.9%
2.3% Yield
Bonds Europe
15.2% 8.9%
Other
44.3%
Investment Grade U.S.

Bonds 74.1%
38.0%
CLOs
L 0.2%

CLOs Banks
Other 0.2% 2.6%
Insurance
23.4%
2.5%
Managed Other
Accounts 73.9% Endowments
44.8% 3.1%
Pension/
Managed Retirement
CLO 17.8%
Funds Investors
31.6% 0.2%
Note: Other includes corporates, Taft-Hartley, high net worth,
wrap and subadvised accounts.
Source: Loomis, Sayles & Company, L.P.
214 Loomis, Sayles & Company, L.P.

Fitch Ratings was not provided with credit committee membership information.

Portfolio Issue
Loomis Sayles CLO II 8/15 Revolving 400 403 413 413 Yes No No
Total 400 403 413 413
a
Anticipated U.S. Risk Retention compliant.
50% 50%
Banque Populaire Caisse d’Epargne
BPCE S.A.
L
71%
29%
NATIXIS
Public float
100%
Investment Solutions
Corporate and Investment (Natixis Global Asset Specialized Financial
Banking (CIB) Management/Loomis Services
Sayles & Co., L.P.)
Loomis, Sayles & Company, L.P. 215

The Fitch View
Key Considerations
●● Significant credit resources, including a large credit research group with significant experience
and longevity as a team.
●● Benefits from resources of strong and stable parent, Natixis, with substantial scale and diversity
of revenues.
●● Growing CLO AUM in slowing market conditions is an ongoing challenge. While Loomis views
CLOs as a strategic area to grow assets, further growth is not needed to sustain the manager.
Company
●● Loomis, an SEC-registered investment advisor, is a wholly owned subsidiary of NGAM, the U.S.-
based subsidiary of Natixis.
●● With headquarters in Boston and 11 offices globally, Loomis employees 688 people, over 70% of
whom are investment professionals.
●● Flat organizational structure with shared resources allows for flow of information and ideas
between credit analysts and portfolio managers (PMs), resulting in efficient execution.
●● Loomis currently manages one CLO.
Investments
●● Loomis has a disciplined investment approach, striving to adhere to a buy-and-hold philosophy
to maintain and improve par.
●● Research analysts are a shared resource across different products, focusing only on credit,
analyzing transactions across the capital structure.
●● While there is no formal credit committee, the investment process is collaborative and every
credit is presented by the analyst to the PMs, who in turn make the final investment decision.
●● Portfolios typically are more diverse than industry averages. Rarely does Loomis go overweight.
L Typically, the investment process results in weightings of 0.5%.
●● In addition to all credits being reviewed on a daily basis, there is a formal quarterly review and the
bottom 10% of credits held are subject to heightened monitoring.
●● Distressed credits are handled by the distressed group, with feedback from analyst and counsel.
Controls
●● Automated, integrated and robust proprietary compliance system managed by legal/compliance
group, consisting of 40 employees.
●● Strong focus on accountability and oversight due to the nature of the parent company being a
market leader and having global presence.
●● All holdings subject to both pre- and post-trade compliance testing.
●● Various daily, weekly, monthly and quarterly risk management reports are in place to ensure
appropriate oversight.
Operations
●● Thirty members in operations team. Two dedicated bank loan traders, as well as four dedicated
loan closers, providing for efficient execution and settlement.
●● Daily reconciliation of cash and positions and monthly reconciliation of securities with Bank of
New York, as trustee. Loomis has a strong relationship and constant dialogue with the trustee.
●● All portfolio management and credit analysis functions are conducted internally, running models
Technology
●● Loomis has in place an integrated and flexible platform based on a combination of both proprietary
analytics and widely accepted industry systems, including Charles River, Wall Street Office,
CDONet and DST International’s GPS System for accounting.
●● Business continuity plan is appropriate and tested semiannually. Full recovery worksite as well
as redundant data center available. All employees have the ability to work remotely and are
supported with Citrix systems.
216 Loomis, Sayles & Company, L.P.

Marathon Asset Management, LP
Marathon Asset Management, LP (Marathon) is a global credit and fixed-income manager.
The company invests in a combination of securities, loans and structured products across
the capital structure. Marathon has been an active CLO issuer since 2005; it currently
manages approximately $2.3 billion through eight U.S. CLOs. As of Dec. 31, 2015, assets
under management (AUM) totaled approximately $12.8 billion.
Manager Profile
Address One Bryant Park, 38th Floor, New York, NY 10036, U.S.
Website www.marathonfund.com
Year Founded 1998
Parent(s) N.A.
Key Affiliate(s) MCAP Global Finance (UK) LLP
Marathon Asset Management Singapore Pte. Ltd.
Investment Profile
Global Firm
AUM $12.8 Bil.

No. of Employees 28 M
AUM $2.9 Bil.a
a
Long only; excludes distressed and opportunistic fund trades in loans. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy Marathon has a controlling financial interest in a majority-
owned affiliate of the manager, with substantial committed
capital to fund, at a minimum, the next five years of planned
CLO issuance by the manager. The planned ownership
stake in Marathon CLOs will be purchased through
horizontal interest ownership in Marathon-managed CLOs.
Marathon Asset Management, LP 217


($ Bil.)
14
12
10
8
6
4
2
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Other CLOs/
Europe 1.7%
16.1% CDOs
25.7%
Managed
Funds
45.7%
U.S. Managed
82.3% Accounts
28.6%
M Breakdown by Investor Type

Private
Marathon Banks
7.0% 2.0%
Family
Offices
5.0%
Fund of
Funds
12.0%
Institutions
74.0%
Source: Marathon Asset Management, LP.
218 Marathon Asset Management, LP

Experience (Years)
Louis Hanover Partner, CIO Co-Portfolio Manager, Oversight 18 30
Committee Member
Richard Ronzetti Partner, Global Headof Research Oversight Committee Member 18 34
Andrew Brady Managing Director, Executive Co-Portfolio Manager,Co-Head of 12 21
Committee Member CLOs and Leveraged Loans
Jason Friedman Managing Director, Executive Co-Head of CLOs and Leveraged 9 22
Committee Member Loans
Vijay Srinivasan Managing Director, Executive Oversight Committee Member 9 19
Committee Member
Portfolio Issue
Marathon CLO I 4/05 Called 325 3 330 0 No No No
Marathon CLO II 12/05 Called 405 4 411 0 No No No
Marathon Financing I 12/06 Matured 1,072 4 1,100 0 No No No
Marathon CLO IV 5/12 Amortizing 347 321 356 327 No No No
Marathon CLO V 2/13 Revolving 599 609 614 614 No No No
Marathon CLO VI
Marathon CLO VII
5/14
11/14
Revolving
Revolving
475
450
474
448
490
461
490 Yes
461 Yes
No
No
No
No
M
Marathon CLO VIII 7/15 Revolving 450 453 461 461 Yes No No
Total 4,122 2,315 4,223 2,353
a
Marathon Asset Management, LP
100% 100%
MCAP Global Marathon Asset Management

Finance (UK) LLP Singapore Pte. Ltd.
Marathon Asset Management, LP 219

The Fitch View
Key Considerations
●● Diversified credit platform by asset class and investment vehicle, so no overreliance on increasing
AUM by issuing additional CLOs. Diversified and well-established investor base shown through
repeat investing with the firm.
●● Resources to the CLO platform are strong. The CLOs are supported by an experienced operations
staff and sophisticated technology platforms. The risk management function is especially strong
relative to peers.
●● Marathon’s CLO platform is adequately staffed for the current AUM; however, anticipated growth
will result in additional staffing requirements. This is mitigated by planned hiring to meet growing
needs.
Company
●● Established in 1998, the firm consists of about 150 employees, including over 76 investment
professionals and more than 60 members in operations. Marathon has offices in New York,
London and Singapore.
●● Bruce Richards and Louis Hanover are Marathon’s managing partners. The senior team members
have worked together for 19 years and have 26 years of industry experience on average.
●● Marathon has issued eight CLOs with a total notional value of $4.2 billion. Three of these CLOs
were issued before the financial crisis. CLO issuance is contingent on the conviction that market
conditions for both loan and CLO liabilities are beneficial for investors.
●● Marathon was one of nine managers selected by the Federal Reserve to manage PPIP funds.
Investments
●● The firm actively manages CLO portfolios through bottom-up, fundamental credit research. The
investment process centers on strong-conviction investing with a focus on downside protection
analysis and a review of the full capital structure of companies.
●● The investment strategy is to find the best performing credits, with recovery given default a primary
focus, which may mean the company is comfortable working through restructuring or investing in
names the broader market may be selling due to credit concerns.
M ●● Marathon typically finds investment opportunities among smaller issuers, especially in current
loan market conditions, with larger, more liquid names trading at high levels.
●● Significant experience at the senior level. The 15-member executive committee averages 25 years
of industry experience. The executive committee meets weekly and identifies market themes,
trends and risks. Marathon has 19 portfolio managers/traders.
Controls
●● Marathon is registered with the SEC in the U.S. and the Financial Conduct Authority in the U.K.
●● In-house workout team includes legal and restructuring professionals.
●● The firm conducts potential downside analysis and stress testing for all credits. Rebalancing is
based on credit evolution and relative value.
●● Marathon has compliance and governance processes and policies in place to support the accuracy
Operations
●● The leveraged loan team has a three-person, dedicated CLO operations unit, in addition to a
three-member risk management team.
●● Cash balances, positions, trades, settlements and financings are verified daily and confirmed with
prime brokers and trustees.
●● Marathon uses Wall Street Office to run daily CLO compliance testing and pro forma trades.
Technology
●● Marathon has established a robust proprietary asset management system for managing loans
and CLO portfolios. Additionally, the system incorporates real-time data and generates a variety
of reports that provide portfolio, pricing and position data.
●● Data subscriptions include Markit Group Limited for loan pricing.
●● All company systems are backed up daily.
220 Marathon Asset Management, LP

MidOcean Credit Fund Management LP
MidOcean Credit Fund Management LP (MidOcean) is a New York-based investment
manager that specializes in bank loans, high-yield bonds, credit derivatives and equities.
MidOcean was formed in 2009; as of Dec. 31, 2015, it had $3.2 billion in assets under
management (AUM) and managed four U.S. CLOs.
Manager Profile
Address 320 Park Avenue, Suite 1600, New York, NY 10022, U.S.
Website www.midoceanpartners.com
Year Founded 2009
Ownership Structure Limited partnership
Parent(s) N.A.
Investment Profile
Global Firm
No. of Employees 24
AUM $3.2 Bil.

No. of Employees
12
Two
M
AUM $2.2 Bil.

MidOcean Credit Fund Management LP 221

($ Bil.)
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
2009 2010 2011 2012 2013 2014 2015
Other High
1.6% Yield
Bonds
30.0%
Syndicated
Loans
68.3%
U.S.
100.0%
M Breakdown by Product Type Breakdown by Investor Type
Insurance
Pension/Retirement
4.4%
8.9% Endowments
2.3%
Other
47.2% CLOs Other
52.8% 31.6%
CLO
Investors
52.8%
Source: MidOcean Credit Fund Management LP.

Experience (Years)
Steve Shenfeld Managing Director President and Chief Investment 7 30
Officer
Michael Apfel Managing Director Co-Portfolio Manager and Head of 7 25
Research
James Wiant Managing Director Co-Portfolio Manager 7 18
Bryan Dunn Managing Director Portfolio Manager 5 23
222 MidOcean Credit Fund Management LP

Portfolio Issue
MidOcean CLO l 12/12 Amortizing 400 390 400 400 Yes No N.P.
MidOcean CLO ll 12/13 Revolving 400 415 400 400 Yes No N.P.
MidOcean CLO lll 6/14 Revolving 500 501 500 500 Yes No N.P.
MidOcean CLO IV 1/15 Revolving 400 221 400 400 Yes No N.P.
Total 1,700 1,714 1,700 1,700
a
Ultramar Capital Ltd.
MidOcean Credit Fund

Management LP
M
Ultramar Credit Holdings
Ltd.
MidOcean Credit MidOcean Credit

Opportunity Opportunity
Fund GP L.P. Fund GP L.P.
MidOcean Credit MidOcean Absolute

Opportunity Offshore Credit Offshore
Opportunity Fund L.P. Return Credit Fund L.P.
Fund Ltd. Fund Ltd.

MidOcean Credit
Opportunity Master Fund Return Credit Master
Focus Fund I L.P.
L.P. Fund Ltd.
MidOcean Credit Fund Management LP 223

M
224 MidOcean Credit Fund Management LP

Monroe Capital, LLC
Monroe Capital, LLC (Monroe) is a Chicago-based lender that was founded in 2004.
Monroe is an established investment management and origination platform that manages
both middle-market and broadly syndicated loans. As of Dec. 31, 2015, it had assets under
management (AUM) of $3.1 billion, including three CLOs, a public BDC and multiple private
funds and managed accounts.
Manager Profile
Address 311 S. Wacker Drive, Suite 6400, Chicago, IL 60606, U.S.
Website www.monroecap.com
Year Founded 2004
Ownership Structure 100% employee owned
Parent(s) N.A.
Investment Profile
Global Firm
No. of Employees 62
AUM $3.1 Bil.
M
No. of Employees 62
AUM $3.1 Bil.

Overall Self-Described Risk Retention Strategy A wholly owned subsidiary of Monroe, Monroe Capital
Management, LLC (MCM) has been in existence since
2006 and acts as manager for each Monroe CLO. For each
of its last two CLOs, Monroe has achieved European risk
retention compliance and is prepared to comply with U.S.
risk retention rules. Monroe has executed one CLO with a
third party acting as originator and another CLO with MCM
acting as originator. For Monroe’s most recent CLO, MCM
serves as the direct retention holder through a horizontal
investment in the CLO’s subordinated notes.
Monroe Capital, LLC 225

($ Bil.)
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Syndicated Europe Other

Loans 1.0% 1.0%
12.8%
Middle
Market U.S.
Loans 98.0%
87.2%
M Breakdown by Product Type Breakdown by Investor Type

Other (BDC) HNW
11.1% 10.0% Healthcare
CLOs
27.0% Endowments/ 11.0%
Foundations
9.0% Corporate
14.0%
Managed Managed
Funds Accounts Public
47.3% 14.6% Pension
56.0%
HNW – High net worth.
Source: Monroe Capital, LLC.
226 Monroe Capital, LLC

Experience (Years)
Theodore Koenig CEO and President CEO and President 11 32
Michael Egan Chief Credit Officer Chief Credit Officer 11 31
Thomas Aronson Managing Director Head of Originations 11 29
Zia Uddin Managing Director Portfolio Manager 9 23
Aaron Peck Managing Director Portfolio Manager 3 21
Jeremy VanDerMeid Managing Director Portfolio Manager 9 17
Alex Franky Managing Director Head of Underwriting 10 24

Portfolio Issue
Balance ($ Mil.) Size ($ Mil.)a Compliance
Name Pricing Status Target Current Original Current Volcker CRR U.S. RRb
MC Funding Ltd. 12/06 Amortizing 400 96 366 71 Yes No No
MC Capital CLO 9/14 Revolving 350 353 308 308 Yes Yes Yes
2014-1, Ltd.
Monroe Capital BSL 5/15 Revolving 400 401 375 375 Yes Yes Yes
CLO 2015-1
Total 1,150 850 1,049 754
a
Figures include only the note tranches senior to the subordinated notes/equity. Anticipated U.S. Risk Retention
b
compliant. Note: Numbers may not add due to rounding. M

Monroe Capital Senior Management
Monroe Capital Management Advisors, LLC

Monroe Capital Management LLC
Collateral Management Agreements
MC Funding LTD
Monroe Capital CLO 2014-1, LTD
Monroe Capital BSL CLO 2015-1, LTD
Monroe Capital MML CLO 2016-1, Ltd. (warehouse)
M

The Fitch View
Key Considerations
●● Senior portfolio management staff with depth and experience in loan investing.
●● Steady and focused hiring in all areas, including underwriting and operations.
●● Strong operations, compliance and CLO administration platform.
●● As a smaller CLO issuer, establishing additional performance track record and organizational
history is key; however, this is mitigated by Monroe’s senior management’s extensive experience
and the stable performance of the firm’s existing CLOs.
Company
●● Monroe was established in 2004, has eight offices located across the U.S. and is 100% owned by
its senior management team.
●● Senior management team averages 25-plus years’ industry experience.
●● In addition to its three outstanding CLOs with approximately $850 million in loan assets, Monroe
oversees roughly $1.9 billion in directly originated loans through private capital vehicles. An
affiliate, Monroe Capital BDC Advisors, LLC, also operates a business development company
(NASDAQ: MRCC) with assets at approximately $347 million.
●● Monroe believes its participation across both the middle market and broadly syndicated loan
market is a competitive advantage.
●● Monroe typically participates in the equity shares of each of its CLO transactions.
Investments
●● The investment team has approximately 30 professionals with an average of more than 16 years
of credit, private equity and investment experience.
●● Monroe relies on fundamental analysis supplemented by quantitative analytics and portfolio
management techniques.
●● Seven-member formal investment committee, with unanimous approval required.
●● Healthy deal flow of over 2,000 transactions annually, of which only 150–200 transactions will
ultimately receive investment committee approval.
●● Underwriters typically cover between 15 and 20 companies depending on type (directly originated
versus broadly syndicated); Monroe has also added junior analysts to support senior underwriters.
●● Monroe utilizes an internal rating system to identify credits in need of heightened attention. Monthly
M
and quarterly meetings are held with investment committee, portfolio managers and analysts to
discuss the portfolio and individual credits. Ratings from 1–5 are continuously maintained and
determine if corrective action will be necessary.
Controls
●● Risk management is managed by the chief compliance officer as well as the managing director of
operations and compliance.
●● Daily portfolio compliance is conducted by both the portfolio management team and Monroe’s
compliance group.
●● Monroe has engaged a third-party SEC compliance consultant, Blue River, to assist with
maintaining strict adherence to various regulations.
●● Monroe maintains appropriate separation of publicly and privately available information when
making investment decisions.
Operations
●● Monroe has a dedicated 14-member compliance/operations/finance team led by a managing
director with over 23 years of credit/compliance/finance experience.
●● Operations staff performs daily reconciliation of CLO cash and positions through CDO Sentry and
the trustee. CDO Sentry is used to feed monthly management reporting. Operations staff is also
responsible for daily cash management and interaction with agent banks.
●● Overall operations platform appears to be highly scalable for a growing CLO portfolio.
Technology
●● Ongoing maintenance and support of IT systems and network are provided by Netrix LLC.
●● CDO Sentry support is provided by ClearStructure.
●● Remote access to the Monroe network is provided for employees.

M

Neuberger Berman Group LLC
Neuberger Berman Group LLC (Neuberger Berman) is a global asset management firm
with more than 2,000 employees across 18 countries. Founded in 1939, the company is
majority owned by its employees. Neuberger Berman’s activities cover a wide range of
investment types, including equities, fixed income, hedge funds and private equity. As of
Dec. 31, 2015, Neuberger Berman and its subsidiaries had $240 billion in assets under
management (AUM).
Manager Profile
Address 605 Third Avenue, New York, NY 10158, U.S.
Website www.nb.com
Year Founded 1939
Parent(s) N.A.
Key Affiliate(s) Neuberger Berman Fixed Income LLC (NBFI)a
Investment Profile
Global Firm
No. of Employees 519b (Neuberger Berman)
No. of Portfolio Managers 189 (Neuberger Berman)
55 (NBFI)
AUM $240 Bil.

No. of Employees 30c
AUM $9.6 Bil.
No. of Invested Credits
Credits per Analyst
150–225
20–30
N
a
Effective Jan. 1, 2016, NBFI changed its name to Neuberger Berman Investment Advisers LLC (NBIA). bTotal
investment professionals including portfolio managers, research analysts, trading and trade execution, portfolio
specialists and emerging markets debt team dedicated economist/strategist. cCLOs. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy NBFI has spent a significant amount of time exploring
multiple solutions to satisfy the upcoming risk retention
requirements. NBFI has engaged a leading law firm
to help it set up a new collateralized majority-owned
affiliate (C-MOA) and is in active dialogue with a number
of investors to partner with them in its solution. NBFI
anticipates the C-MOA retaining the risk retention holdings
in the CLOs it will manage in the form of CLO equity (that is,
a horizontal slice). NBFI is targeting capitalizing the C-MOA
with approximately $250 million of combined capital from
Neuberger Berman and third-party investors, which NBFI
expects to be sufficient to fund the risk retention holdings
in eight to 10 CLOs managed by the C-MOA.
Neuberger Berman Group LLC 231

($ Bil.)
300
250
200
150
100
50
0
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Alternatives Syndicated
Loans Global
4.7%
2.1% CLOs 10.5%
Other Structured 1.9% International
Products 1.0%
4.3%
Private Equity Equity
11.4% 40.0%
High Yield
Bonds
10.2% U.S.
Investment Grade 88.4%
Bonds
25.3% Note: Based on strategy domicile focus.

N CLOs Insurance CLOs
1.9% 3.4% 1.9% Other
Endowments 9.4%
Managed 3.6%
Pooled
Funds Subadvised Funds
36.2% 5.2% 25.9%
Managed Corporate
Accounts Nonpension Individual
61.8% 9.2% 18.3%
Public/ Pension/
Government Retirement
10.9% 12.3%
Source: Neuberger Berman Group LLC.
232 Neuberger Berman Group LLC

Experience (Years)
Stephen Casey Managing Director Portfolio Manager 13 20
Joseph Lynch Managing Director Portfolio Manager 13 19

Tom O’Reilly Managing Director Head of Non-Investment-Grade Credit 18 26
Dan Doyle Managing Director High-Yield/Loan Portfolio Manager 3 31
Russ Covode Managing Director High-Yield Portfolio Manager 11 27
Patrick Flynn Managing Director High-Yield Portfolio Manager 9 23
Andrew Wilmont Managing Director European High-Yield Portfolio Manager 1 18
Martin Rotherham Managing Director Loan Portfolio Manager 9 14
Vivek Bommi Managing Director Co-Director of Non-Investment-Grade 8 17
Credit Research
Christopher Kocinski Senior Vice President Co-Director of Non-Investment-Grade 9 10
Credit Research
a
Based on the year of joining Neuberger Berman (or a subsidiary) or the year of joining a company that was
subsequently acquired by Neuberger Berman or its predecessor.

Portfolio Issue
LightPoint CLO 2004-1, Ltd. 1/04 Matured 301 0 306 0 No No N.P.
Premium Loan Trust I Ltd. 11/04 Matured 254 0 259 0 No No N.P.
LightPoint CLO III, Ltd. 6/05 Matured 448 0 499 0 No No N.P.
LightPoint CLO IV Ltd. 4/06 Called 350 0 363 0 No No N.P. N
Airlie CLO 2006-I Ltd. 4/06 Matured 388 0 400 0 No No N.P.
LightPoint CLO V Ltd. 8/06 Called 589 0 588 0 No No N.P.
LightPoint CLO VII Ltd. 5/07 Amortizing 441 265 450 290 No No N.P.
LightPoint CLO VIII, Ltd. 7/07 Matured 485 0 500 0 No No N.P.
Neuberger Berman CLO XII Ltd. 8/12 Revolving 385 387 400 398 Yes No N.P.
Neuberger Berman CLO XIII Ltd. 12/12 Revolving 394 396 415 415 No No N.P.
Neuberger Berman CLO XIV Ltd. 5/13 Revolving 400 400 412 412 No No N.P.
Neuberger Berman CLO XV Ltd. 10/13 Revolving 400 400 411 411 No No N.P.
Neuberger Berman CLO XVI Ltd. 2/14 Revolving 550 550 572 568 Yes No N.P.
Neuberger Berman CLO XVII Ltd. 6/14 Revolving 550 550 566 566 Yes No N.P.
Neuberger Berman CLO XVIII Ltd. 11/14 Revolving 500 500 513 513 Yes No N.P.
Neuberger Berman CLO XIX, Ltd. 6/15 Revolving 400 402 410 410 Yes No N.P.
Neuberger Berman CLO XX, Ltd. 10/15 Revolving 500 501 508 511 Yes No N.P.
Total 7,334 4,353 7,571 4,494
a

Portfolio Issue
Marquette US/European 7/06 Called 238 0 245 0 No No
CLO PLCa
LightPoint Pan-European 1/07 Amortizing 316 85 325 109 No No
CLO 20 (PE 2006)b
LightPoint Pan-European 11/07 Amortizing 341 189 352 205 No No
CLO 20 (PE 2007)b
Total 896 273 922 313
a
Dual-currency vehicle. bNeuberger Berman acquired LightPoint Capital Management LLC, a leveraged loan
investment manager, in July 2007. Note: Numbers may not add due to rounding.

The Fitch View
Key Considerations
●● Well-capitalized multistrategy asset management firm.
●● Depth of experience of senior managers providing effective leadership.
●● Well adhered to and consistent global investment philosophy and process.
●● Maintaining consistent CLO AUM given runoff of legacy CLOs continues to be a challenge in
slowing market conditions that affect new CLO issuance.
Company
●● NBIA’s principal office is located in Chicago and is directly owned by Neuberger Berman Fixed
Income Holdings LLC and Neuberger Berman AA LLC, which are subsidiaries of Neuberger
Berman.
●● In 2009, Neuberger Berman became an independent, employee majority-controlled asset
management firm resulting from a management buyout from Lehman Brothers Holdings Inc.
●● NBIA’s non-investment-grade credit team has over 30 investment professionals managing
approximately $38.4 billion as of March 31, 2015.
Investments
●● Focuses on companies with historically stable cash flows, liquidity and access to capital for its
loan investments.
●● Seeks to eliminate less liquid issuers (EBITDA less than $100 million); most defaulted and
distressed securities; outliers and high default potential issuers.
●● The overall investment process is driven by longstanding credit best practices checklist.
●● Desired loan portfolio characteristics include average issuer size of 1%; maximum per issuer of
5%; and an average of 125–175 issuers.
Controls
●● Neuberger Berman has approximately 80 legal and compliance professionals globally.
●● Oversight is provided by independent Neuberger Berman risk management committee.
●● Neuberger Berman has a valuation committee comprising members from operations, risk
management, compliance, mutual fund accounting, trading and investment management.
Committee meets monthly to review all fair valuations, daily as needed for fund valuations.
●● To address conflicts of interest, NBIA has adopted a compliance manual and the Neuberger
N
Berman code of ethics and code of conduct.
●● Holds weekly morning meetings to review major credit events of the past week, review portfolio
positioning and review expected returns and credit portfolio risk versus benchmarks.
Operations
●● Operations support for the CLO platform includes a team of nine professionals working on trade
settlement, portfolio reconciliation, and principal and interest reporting.
●● Primary CLO administration and compliance module used is Wall Street Office (WSO).
●● Daily CLO cash and position reconciliation with trustee; settled position reconciliation with agent;
system-to-system internal reconciliation.
●● Accurate information on ownership position for each asset held in its portfolios via direct link to
WSO.
Technology
●● BlackRock’s Aladdin OMS system is used for pre-trade compliance and allocations.
●● Portfolio accounting systems include WSO and Portia.
●● Cortland Capital Management is used for bank loan settlements and private amendments.
●● NBIA developed a customized database containing detailed information on over 2,000 U.S.
dollar- and euro-denominated credits. The database provides extensive financial and capital
structure information on each issuer.

N

NewStar Financial, Inc.
NewStar Financial, Inc. (NewStar) is a specialized commercial finance company
focused on middle-market corporate credit. Founded in 2004, it provides a range of
senior-secured debt financing options to fund working capital, growth strategies,
acquisitions and equipment purchases for midsized businesses. As of Dec. 31, 2015,
NewStar had approximately $6.9 billion in assets under management (AUM).
Manager Profile
Address 500 Boylston Street, Suite 1250, Boston, MA 02116, U.S.
Website www.newstarfin.com
Year Founded 2004
Parent(s) N.A.
Investment Profile
Global Firm
AUM $6.9 Bil.
N
AUM $2.3 Bil.
a
Credits per portfolio manager. N.P. – Not provided. N.A. – Not applicable.

NewStar Financial, Inc. 237


($ Bil.)
8
0
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Broadly Other
Syndicated 25.0%
Loans Managed
33.0%
Accounts
3.6%
CLOs
Equipment Finance 31.8%
2.5%
Leveraged
CRE Finance Managed
1.4% Business 58.1% Funds
Credit 39.6%
4.9%
Note: Other includes asset based lending, commercial real estate,
CRE – Commercial real estate. equipment finance, cash and short term investments.
N
Source: NewStar Financial, Inc.
238 NewStar Financial, Inc.

Experience (Years)
Tim Conway CEO N.A. 14 31
Peter Schmidt-Fellner CIO N.A. 12 33

John Frishkopf Head of Asset Management and Treasury N.A. 13 28
Dan McCready CCO – Leveraged Finance N.A. 3 31
Deal Team Portfolio Manager Portfolio Manager – Leveraged Finance N.A. Various Various
Portfolio Issue
Avery Street b
3/06 Amortizing 125 125 300 136 No No No
Emerson Placeb 12/06 Amortizing 164 164 350 177 No No No
NS 2007-1 6/07 Amortizing 218 218 600 213 No No No
Lime Streetb 8/07 Amortizing 252 252 400 265 No No No
NS 2012-2 12/12 Revolving 326 329 326 326 Yes Yes Yes
Longfellow Place b
2/13 Revolving 500 503 515 515 Yes No No
Staniford Street b
4/14 Revolving 400 402 414 414 Yes No No N
Arlington Senior Loan 6/14 Revolving 400 402 409 409 Yes No No
Program
Hull Streetb 11/14 Revolving 500 501 515 515 Yes No No
NS Clarendon Fund 1/15 Revolving 400 401 407 407 Yes Yes Yes
CLO
Total 4,934 4,958 5,885 5,026
Total NewStar Issued 2,993 3,011 3,391 3,004
a
Anticipated U.S. Risk Retention compliant. Acquired CLOs. Note: Numbers may not add due to rounding.
b

N
240
Delaware Corp. | Nasdaq: NEWS
Registered Investment Advisor
Various Funds Various CLOs (2)

(2) and CLOs NewStar Asset NewStar NewStar and Fund (1)
NewStar
(6) managed by Management Equipment Business Credit managed by
Capital LLC
NewStar LLC Finance I LLC LLC NewStar
Capital LLC Financial, Inc.
Financing Financing Financing

Subsidiaries (2) Subsidiaries (2) Subsidiaries (12)

The Fitch View
Key Considerations
●● Experienced credit team focused on a small number of credits. Diversified portfolio in terms of
sector and obligor concentration, with an emphasis on first-lien senior-secured loans.
●● Recent formation of venture with other large managers to expand middle-market lending and
asset management activities.
●● Continued growth of CLO business could be pressured given middle-market loan supply/demand
dynamics.
Company
●● Established in 2004, and with approximately $6.9 billion in AUM as of Dec. 31, 2015, NewStar is
a publicly held C corporation (NASDAQ: NEWS) that focuses on middle-market leveraged loans.
●● Venture formed in late 2014 with GSO Capital Partners (the credit division of Blackstone) and
Franklin Square Capital Partners, via an investment of long-term capital, has helped expand
NewStar’s middle-market lending and asset management activities.
●● In October 2015, NewStar acquired Feingold O’Keeffe Capital, a Boston-based alternative
investment manager focused on broadly syndicated liquid loans with $2.3 billion of AUM through
CLOs, credit hedge funds and customized accounts.
Investments
●● Disciplined and well-documented credit process that includes a prescreen to identify all areas of
weakness, an underwriting committee to conduct more in-depth analysis and assign an internal
rating, and an investment committee to manage the final approval process.
●● Investment objective is focused on target markets with defensive industry orientation, consistent
and predictable cash flows and businesses with strong and sustainable competitive advantage.
●● CreditWizard, NewStar’s proprietary rating system, assigns ratings on a 1–12 scale and combines
a quantitative rating platform with a qualitative scorecard.
●● The hold-to-maturity strategy results in strong credit discipline and minimal portfolio trading.
However, it also results in greater participation in the resource-intensive workout process.
Controls
●● Strong focus on compliance from being publicly listed and registered. N
●● Adequate back- and middle-office resources ensure efficient and adequate management of CLOs
and industry-standard controls.
●● Formalized, heightened monthly review and surveillance for potential problem credits, which are
assigned a monitored, watchlist or high-attention credit designation.
●● Third-party vendor performs complete internal audit of all functions, providing additional oversight.
Operations
●● NewStar has 16 employees focusing on its compliance function; six of them are dedicated
specifically to loan administration.
●● Daily reconciliation of cash and securities with trustee. Strong relationship and constant
communication with U.S. Bank, as trustee. Portfolio managers receive monthly reconciliation with
trustee report for review.
●● Administrative capabilities reflect the highly qualified and experienced staff interacting with
appropriate systems and processes.
Technology
●● NewStar utilizes both proprietary and best-in-class systems, including CreditWizard (an internal
rating system that combines a quantitative rating platform with a qualitative scorecard system to
determine obligor risk ratings and loss given default), Everest and Wall Street Office.
●● Robust business continuity plan includes hourly backup that is rotated among various servers
located across the country. Additionally, hard copies are stored with Iron Mountain on a daily
basis, and all systems are accessible remotely.

N
242 NewStar Financial, Inc.

NXT Capital Investment Advisers, LLC
NXT Capital Investment Advisers, LLC (NXT Advisers) is a wholly owned subsidiary of
NXT Capital, LLC, a middle-market commercial finance company that was founded by
former employees of Merrill Lynch Capital and Heller Financial. NXT Advisers was formed
in 2011; as of Dec. 31, 2015, it had assets under management (AUM) of $3.3 billion, all of
which was invested in middle-market loans.
Manager Profile
Address 191 North Wacker Drive, 30th Floor, Chicago, IL 60606, U.S.
Website N.A.
Year Founded 2011
Parent(s) NXT Capital, LLC
Investment Profile
Global Firm
AUM $3.3 Bil.

No. of Employees 50
AUM
No. of Invested Credits
$3.3 Bil.
140
N
Credits per Analyst Eight to 12

Overall Self-Described Risk Retention Strategy NXT Advisers utilizes CLOs as balance sheet financing for
its middle-market loan origination business. It has retained
100% of the equity in all four CLOs issued to date and
expects to retain 100% of the equity in future CLOs.
NXT Capital Investment Advisers, LLC 243

($ Bil.)
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
2012 2013 2014 2015
Middle Market Loans U.S.

100.0% 100.0%
N
CLOs
41.2%
Managed
Funds
58.8%
Source: NXT Capital Investment Advisers, LLC.
244 NXT Capital Investment Advisers, LLC

Experience (Years)
Robert E. Radway Chairman and CEO Member of Investment Committee 6 28
John A. Finnerty Senior Managing Director Member of Investment Committee 6 28

Joseph N. Lazewski Managing Director Member of Investment Committee 6 18
Portfolio Issue
NXT Capital CLO 2012-1 4/12 Amortizing 300 262 257 215 Yes Yes Yes
NXT Capital CLO 2013-1 3/13 Revolving 350 354 307 307 Yes Yes Yes
Total 1,400 1,371 1,220 1,177
a
N
NXT Capital, Inc.
NXT Capital, LLC
NXT Capital NXT Capital Senior NXT Capital Senior NXT Capital Senior
Investment Loan Fund II GP, Loan Fund III GP, Loan Fund IV GP,
Advisers, LLC LLC LLC LLC
NXT Capital Investment Advisers, LLC 245

N
246 NXT Capital Investment Advisers, LLC

NYL Investors LLC
NYL Investors LLC (NYL Investors) is an affiliate of New York Life Investment Management
LLC (NYLIM) and an indirect, wholly owned subsidiary of New York Life Insurance Company
(New York Life), the largest mutual life insurance company in the U.S. Founded in 2013,
NYL Investors provides institutional asset management, retail investment and retirement
solutions services. As of Dec. 31, 2015, the high-yield credit group had assets under
management (AUM) of $14.6 billion.
Manager Profile
Website www.nylinvestments.com/nylinvestors
Year Founded 2013 (NYL Investors LLC)
2000 (New York Life Investment Management LLC)
1845 (New York Life Insurance Company)

Parent(s) New York Life Insurance Company
Key Affiliate(s) New York Life Investment Management LLC
Investment Profile
Global Firma
AUM $224 Bil.
High-Yield Credit Group Only

No. of Employees 18 N
AUM $14.6 Bil.
a
NYL Investors LLC. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy Affiliation with Tetragon Credit Income II Fund.
Capital allocation within New York Life enterprise.
NYL Investors LLC 247

High-Yield Credit Group Assets Under Management (As of Dec. 31, 2015)
High-Yield Credit Group Assets Under Management

($ Bil.)
15
12
9
6
3
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Managed
Funds
15.1%
Syndicated
Loans High
45.9% Yield
Bonds CLOs
54.1% 17.8%
Managed
Accounts
67.1%
N Breakdown by Investor Type

Other
15.1%
CLO
Investors
17.8%
Insurance
67.1%
Source: NYL Investors LLC.
248 NYL Investors LLC

Experience (Years)
Robert Dial Managing Director Head of High Yield; Portfolio Manager 14 25
Mark Campellone Managing Director Portfolio Manager; Head of Loan Trading 13 32
Joseph Hynes Managing Director Head of High-Yield Research 15 a
38
Arthur Torrey Managing Director Portfolio Manager – Loans 10 23
Paul Yee Managing Director Portfolio Manager; Head of High-Yield 15a 26
Trading
Elizabeth Standbridge Managing Director Portfolio Manager – Loans 12 20
a
Prior to the formation of NYL Investors and NYLIM, Joseph Hynes and Paul Yee had been working for New York
Life Insurance Company in a similar capacity since 1989 and 1991, respectively.

Portfolio Issue
Enhanced Loan Facility III 10/01 Called N.A. 0 330 0 N.A. N.A. N.P.
NYLIM Flatiron 2003-1 7/03 Called N.A. 0 350 0 N.A. N.A. N.P.
NYLIM Flatiron 2006-1 6/06 Amortizing N.A. 370 618 395 N.A. N.A. N.P.
Silverado CLO 2006-IIb 10/06 Amortizing N.A. 296 350 308 N.A. N.A. N.P.
Flatiron CLO 2007-1 7/07 Amortizing N.A. 339 350 350 N.A. N.A. N.P.
Flatiron CLO 2011-1 12/11 Amortizing 350 352 354 354 N.A. N.A. N.P. N
Flatiron CLO 2012-1 9/12 Revolving 400 403 409 409 N.A. N.A. N.P.
Flatiron CLO 2013-1 11/13 Revolving 400 402 410 410 N.A. N.A. N.P.
Flatiron CLO 2014-1 6/14 Revolving 400 400 413 413 Yes N.A. N.P.
Flatiron CLO 2015-1 2/15 Revolving 400 400 412 412 Yes Yes N.P.
Total 1,950 2,656 4,746 2,754
a
Anticipated U.S. Risk Retention compliant. bNYLIM replaced Wells Capital Management Inc. as collateral manager
in November 2007. N.A. – Not applicable. N.P. – Not provided. Note: Numbers may not add due to rounding.
NYL Investors LLC 249

The Fitch View
Key Considerations
●● Resources and support from New York Life are substantial and give the management team
added flexibility, especially in terms of executing portfolio ramp-up.
●● Cohesiveness of the loan team and the experience of senior portfolio managers (PMs) and
credit analysts.
●● Smaller new CLO issuance compared with other large institutional managers.
Company
●● NYL Investors is an affiliate of NYLIM, one of the largest asset management firms in the U.S.,
and is a wholly owned subsidiary of New York Life.
●● The high-yield credit group averages 21 years of experience through various credit cycles.
●● NYL Investors has the ability to leverage research, analytical and trading resources from
its parent, New York Life, as well as financial resources in the form of investments in CLO
transactions and credit lines for portfolio ramp-up.
●● NYL Investors and its affiliates hold either an equity or debt interest in all of its transactions.
Investments
●● The focus is on the higher credit quality portion of the loan market — generation of income and
avoidance of losses through credit selection.
●● The credit committee consists of five PMs and the director of research.
●● The focus of attention is on bottom-up analysis. Significant time is spent on discussions with
management and macro-level issues.
●● Credit approval is performed through a disciplined committee-based process in which an
analyst presents to the credit committee, which consists of senior members of the team. The
committee package contents are driven by perceived risk and the team’s determination of an
internal credit rating.
●● Credit selection process includes determination of portfolio suitability, indicative of a more
individualized, portfolio-by-portfolio approach to investments.
●● Credit analysts are generalists, covering on average three sectors and actively monitoring
approximately 50 credits.
Controls
N ●● Portfolio management takes place through daily monitoring as well as weekly, monthly and
quarterly in-depth reviews covering various aspects of the portfolio, including CDS, trends,
relative value, financial statement analysis and new deals.
●● The team focuses on credit work prior to purchase and monitoring for significant deviations in
performance. They are not active traders based on perceived changes to relative value.
●● Clearly articulated and balanced investment process is consistently adhered to.
●● Very high standards for risk management and control oversight structure.
●● NYL Investors has compliance and governance processes in place to support accuracy of
trading, portfolio management and administration functions.
Operations
●● The high-yield credit group is supported by eight dedicated operations professionals and two
legal professionals. The overall operations group consists of 70 individuals.
●● Enterprise-level legal and compliance resources are provided to NYL Investors, demonstrating
commitment to best practices across the entities.
●● In-depth investor reporting includes a password-protected website that houses a manager
letter, monthly reports, information on quarterly payments, pricing information and commentary.
●● Administration is supported by well-documented procedures and active compliance oversight
functions.
Technology
administration systems, including industry-standard systems such as BlackRock’s Aladdin
platform, Wall Street Office and Thomson Reuters LPC, among others.
●● The business continuity plan is appropriate and regularly tested and includes nightly data
backup to a remote secure location.
250 NYL Investors LLC

Oak Hill Advisors, L.P.
Oak Hill Advisors, L.P. (including its affiliated investment advisors and predecessor
firms, OHA) was founded in 1991 and has 268 employees across key offices in six
global locations. OHA invests in leveraged loans, high-yield bonds, structured products
and distressed securities through managed accounts, managed funds and CLOs. As
of Dec. 31, 2015, OHA had global assets under management (AUM) of approximately
$26.7 billion.
Manager Profile
Address 1114 Avenue of the Americas, 27th Floor, New York, NY
10036, U.S.
Website www.oakhilladvisors.com
Year Founded 1991
Parent(s) N.A.
Key Affiliate(s) Oak Hill Advisors (Europe) L.L.P.
Investment Profile
Global Firm
AUM $26.7 Bil.

O
AUM $11.1 Bil.
Credits per Analyst Two to four industry sectors; approximately 100 companiesb
European CLOs (No./AUM) Four/€1.4 Bil.
a
Represents all corporate credit research analysts. Approximately 25 names with buy/sell recommendations and
b
a relationship with management; approximately 75 names used for comparative analysis, competitor and valuation
purposes. N.A. – Not applicable. N.P. – Not provided.

Overall Self-Described Risk Retention Strategy Not applicable
Oak Hill Advisors, L.P. 251


($ Bil.)
30
25
20
15
10
5
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

CLOs
Other 7.0%
Structured U.S.
Products 38.0% Europe
11.3% Syndicated 42.0%
Loans
Distressed 41.5%
Investments
9.6%
Other
High Yield 20.0%
Bonds
30.6%

Managed Insurance
Endowments
Funds & Institutions
& Family Office
O 24.4% 9.0%
8.0%
Managed
Accounts Sovereign
Wealth Funds Pension/
42.9% Retirement
11.0%
41.0%
CLO
CLOs Investors
32.7% 31.0%
Note: The breakdown by region excludes CLO investors. The breakdown by investor type does not include investors
in Oak Hill Special Opportunities Fund.
Source: Oak Hill Advisors, L.P.
U.S./European Credit Committee

OHA does not have a formal credit committee.
252 Oak Hill Advisors, L.P.

Portfolio Issue
Oak Hill Credit Partners I 10/01 Called N.P. 0 614 0 No No N.P.
Oak Hill Credit Partners II 2/03 Called N.P. 0 504 0 No No N.P.
Oak Hill Credit Partners III 12/03 Called N.P. 0 505 0 No No N.P.
Oak Hill Credit Partners IV 7/05 Called N.P. 0 658 0 No No N.P.
OHA Park Avenue CLO I 3/07 Amortizing N.P. 223 563 234 No No N.P.
Oak Hill Credit Partners V 9/07 Amortizing N.P. 386 550 375 No No N.P.
OHA Intrepid Leveraged 3/11 Called N.P. 2 413 0 No No N.P.
Loan Fund
Oak Hill Credit Partners VI 5/12 Amortizing N.P. 650 674 666 Yes No N.P.
Oak Hill Credit Partners VII 11/12 Revolving N.P. 755 770 766 Yes No N.P.
OHA Loan Funding 2012-1 1/13 Revolving N.P. 363 373 371 Yes No N.P.
Oak Hill Credit Partners VIII 5/13 Revolving N.P. 401 415 415 No No N.P.
OHA Loan Funding 2013-2 8/13 Revolving N.P. 196 200 200 No No N.P.
Oak Hill Credit Partners IX 10/13 Revolving N.P. 502 519 515 No No N.P.
Oak Hill Credit Partners X 6/14 Revolving N.P. 752 777 773 Yes No N.P.
Oak Hill Credit Partners XIb 11/15 Revolving 400 400 408 408 Yes No N.P.
Oak Hill Credit Partners XIIb 1/16 Revolving 600 600 606 606 Yes No N.P.
Total N.A. 7,241 10,575 7,356
Anticipated U.S. Risk Retention compliant. The current portfolio balance for Oak Hill Credit Partners XI and Oak Hill
a b
Credit Partners XII is estimated to be equal to the target par balance, as the transactions have not yet gone effective.
O
N.P. – Not provided. N.A. – Not applicable. Note: Numbers may not add due to rounding.

Portfolio Issue
Oak Hill European Credit Partners I 7/06 Amortizing N.P. 275 446 289 No No
Oak Hill European Credit Partners II 6/07 Amortizing N.P. 290 456 305 No No
Oak Hill European Credit Partners III 6/15 Revolving N.P. 403 417 417 No Yes
Oak Hill European Credit Partners IVa 12/15 Revolving 400 400 416 416 No Yes
Total N.A. 1,368 1,735 1,426
a
Anticipated current portfolio balance for Oak Hill European Credit Partners IV is estimated to be equal to the
target par balance, as the transaction has not yet gone effective. N.P. – Not provided. N.A. – Not applicable.

14 Employee Partners
New York, London, Los Angeles, Sydney, Hong Kong, Fort Worth,
NY, U.S. U.K. CA, U.S. Australia SAR TX, U.S.

The Fitch View
Key Considerations
●● OHA’s 47 partners/managing directors average 22 years of industry experience. There is low
senior management turnover, with continuity in the senior management team through multiple
cycles.
●● Performance of managed CLOs credited to focused credit research team having a smaller
actively managed credit list than industry averages, resulting in high conviction credit selection
and a focus on downside protection.
●● Maintaining CLO AUM in the face of challenging market conditions for loan assets and as early
CLOs are called.
Company
●● OHA is majority owned by its 14 employee partners.
●● OHA is a multistrategy platform; strategies include high-yield bonds, leveraged loans, distressed
assets, structured products and mortgage strategies.
●● OHA has a diversified global institutional investor base by both type (pension plans, sovereign
funds, family offices and insurance and financial institutions) and geography (Europe, Middle
East, North America, Asia and Australia).
Investments
●● Expertise in examining credits across the capital structure. Focuses on fundamental credit
analysis and risk aversion.
●● Active portfolio management style, focusing on more liquid assets and names with large
capitalization.
●● Top-down portfolio management process with bottom-up credit process is supported by 15
portfolio managers (PMs) along with 40 sector-focused corporate credit analysts.
●● OHA is comfortable with slightly more concentrated portfolios than those of other asset managers
(position sizes up to 2.5%), with analysts covering approximately 25 names each and monitoring
another 75.
Controls
●● OHA has a separate team focused on distressed credit. While OHA does not maintain a formal
watchlist, distressed securities are re-underwritten by the distressed-focused investment
professional to maintain overall comfort with the investment. O
●● Credit risk monitoring processes include various daily, weekly, monthly and quarterly meetings
used to aid in the analysis of underlying credit liquidity, financial standing and industry trends and
supported by appropriate portfolio management framework.
●● Selective underwriting process results in high turndown rates for new loan issuance.
Operations
●● Additional employees in compliance/legal (15), accounting/operations (86) and CLO accounting/
administration (13). The CLO platform has four employees dedicated to closing loans.
●● Dedicated CLO accounting/administration team provides independent trustee reconciliation and
indenture compliance monitoring.
●● Daily reconciliations are performed to tie out cash and positions with the trustee.
●● Quarterly investor reporting includes a trustee report and newsletter featuring market insight
and commentary, as well as information about particular products; all are accessible through
password-protected website.
Technology
administration systems, including widely accepted industry systems such as Black Mountain
Everest and Wall Street Office.
●● Business continuity and disaster recovery are in place and periodically tested.

O

Oaktree Capital Management, L.P.
Oaktree Capital Management, L.P. (Oaktree) is a global investment manager that was
founded in 1995. The company manages approximately $97 billion across six strategies:
corporate debt, convertible securities, distressed debt, control investing, real estate
and listed equities. Senior loans account for approximately $19 billion in assets under
management (AUM), with $3.7 billion managed via U.S. CLOs and warehouses and
€0.7 billion managed via European CLOs.
Manager Profile
Address 333 South Grand Avenue, 28th Floor, Los Angeles, CA
90071, U.S.
Website www.oaktreecapital.com
Year Founded 1995
Parent(s) N.A.
Key Affiliate(s) 12 main Oaktree operating entities
Investment Profile
Global Firm
AUM $97 Bil.

No. of Employees 34
AUM
Three
$19 Bil.
O
U.S. CLOs (No./AUM) Seven/$3.7 Bil.a
a
Includes seven active CLOs. One of the seven CLOs includes Enhanced Income Fund assets. N.A.
– Not applicable.

Overall Self-Described Risk Retention Strategy Oaktree had not implemented a U.S. CLO Risk Retention
strategy for the active CLOs as of Dec. 31, 2015; however,
it is in the process of implementing the MOA structure for
future CLOs.
Oaktree Capital Management, L.P. 257

($ Bil.)
50
40
30
20
10
0
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Merger
Asia &
Corporate Arbitrage Private Other
Credit 12.0% Investments
11.0%
6.0% 1.0%
Convertible
& Derivative
Arbitrage Europe
9.0% 15.0%
North America
Structured Long/Short Equity 74.0%
Credit Special Situations
10.0% 62.0%
Note: Reflects investment strategies of OZ Master Fund, Ltd.

Real Private Others
Other
Estate 5.4% 6.8%
2.9%
O
Funds CLO Investors
4.6% 7.2%
Endowments Pension/
6.6% Retirement
Credit 41.7%
27.7% Multistrategy SWF
Funds 8.5%
64.8% Insurance
Corporate Subadvisory
8.5%
8.4% 6.9%
SWF – Sovereign wealth fund.
Source: Oaktree Capital Management, L.P.
258 Oaktree Capital Management, L.P.

Experience (Years)
Armen Panossian Managing Director and Co-Portfolio Manager 9 14
Co-Portfolio Manager
Desmund Shirazi Managing Director and Co-Portfolio Manager 21 29
Co-Portfolio Manager
Note: Oaktree does not utilize a credit committee for its U.S. senior loan strategies. Investment decisions are made
by co-portfolio managers Armen Panossian and Desmund Shirazi.

Experience (Years)
Shannon Ward Managing Director and Portfolio Manager 10 24
Portfolio Manager
Note: Oaktree does not utilize a credit committee for its European senior loan strategies. Investment decisions are
made by portfolio manager Shannon Ward.

Portfolio Issue
Name Pricing Status Target Current Original Current Volckera CRR U.S. RRb
Oaktree Enhanced Income 10/12 Called 374 0 380 0 N.P. N.P. N.P.
Funding Series I, Ltd.
Funding Series II, LTD
Funding Series III, LTD
Oaktree CLO 2014-1 LTD 1/14 Revolving 500 501 517 517 Yes N.P. N.P.
Oaktree EIF II Series A1 8/14 Revolving 700 697 708 708 Yes N.P. N.P.
Oaktree EIF II Series A2 12/14 Revolving 550 555 553 553 Yes N.P. N.P.
Oaktree EIF II Series B1 2/15 Revolving 500 501 500 500 Yes N.P. N.P.
Oaktree EIF I Series A1, 12/15 Revolving 430 433 435 435 Yes N.P. N.P.
LTD
Total 5,454 3,690 5,531 3,734
Oaktree does not hold bonds in its U.S. CLOs. ᵇAnticipated U.S. Risk Retention compliant. N.P. – Not provided.
a
Portfolio Issue
O Name Pricing Status Target Current OriginalCurrent Volcker CRR

ARBOUR CLO LIMITED 5/14 Revolving 365 368 375 375 No Yes
ARBOUR CLO II LIMITED 12/14 Revolving 365 367 375 375 Yes Yes
Total 731 734 750 750

Oaktree Capital
Group Holdings GP, LLC
Oaktree Capital
Group Holdings, L.P.
Oaktree Capital Group, LLC
Oaktree Holdings, LLC Oaktree Holdings, Inc. Oaktree Holdings, Ltd.
Oaktree Capital Oaktree Capital

Oaktree Capital I, L.P.
Management, L.P. Management (Cayman), L.P.
Oaktree International Holdings,

OCM Investments, LLC
LLC
Pangaea Capital Oaktree Oaktree Oaktree

Oaktree
Management, L.P. Capital Capital Capital
France
Management (Hong Kong) Management
S.A.S.
(UK) LLP Limited Pte. Ltd.
Oaktree Capital
(Seoul) Limited Oaktree
O
Capital Oaktree Oaktree
(Beijing) GmbH Japan, GK
Ltd.

Fitch View
Key Considerations
●● Global sub-investment-grade specialist manager with strong firmwide resources.
●● Experienced investment staff utilizing a flexible and robust investment process.
●● Demonstrating that relevant systems and processes are sufficiently robust to meet the specific
operational and compliance requirements of managing European CLOs remains an ongoing
challenge.
Company
●● Oaktree manages European senior loans and high-yield bonds via Oaktree Capital
Management (UK) LLP. Most of Oaktree’s income has been derived from realized and
unrealized gains on investments.
●● The company has been managing European senior loans since 2009 as portions of pooled
vehicles, within a SICAV structure and as separate managed accounts.
●● The U.S. and European CLO teams employ 34 investment professionals. Twenty-eight are
research analysts, three are traders and three are portfolio managers (PMs) who have no
research responsibilities.
●● The team averages 15 years’ investment experience. The U.S. senior loan co-PMs have
14 and 29 years’ investment experience, respectively; the European senior loan PM has 24
years’ investment experience.
Investments
●● The investment process is rigorously focused on a company’s financial position and industry
market position. Top-down inputs will be incorporated into the modeling of key performance
indicators, although no attempt is made to time markets.
●● The use of a formalized credit scoring matrix differentiates Oaktree’s credit process from the
peer norm. Each credit’s scoring matrix is updated at the time of any news flow or company
announcement.
●● Twenty-four senior analysts on the U.S. and European teams are organized by sector, with
four junior analysts acting as generalists. The investment universe consists of 540 names
across active U.S. and European CLOs. Each analyst actively monitors about 40–50 credits.
●● Position sizing and portfolio diversification are at the discretion of the PMs. Sell decisions
are based purely on analysis of the underlying credit and recovery potential, rather than
predefined sell triggers.
Controls
O ●● Overall risk oversight is effected through Oaktree’s compliance, legal, valuation and internal
audit teams.
●● Oaktree prefers to be either public or private across the whole business. Appropriate controls
are in place in the case of exceptions.
●● Firm-level governance framework is overseen by the board of directors.
●● Oaktree is subject to regular external audits in addition to internal audits. No material findings
have been noted.
Operations
●● Oaktree’s systems do not have straight-through processing with the trustee. Instead, files are
sent via FTP to the trustee daily to reconcile cash and holdings automatically using SunGard
IntelliMatch.
●● Loan settlement is conducted by Oaktree’s trade support teams in the U.S. (24 professionals)
and Europe (five professionals).
●● CLO compliance testing is effected through CDO Suite. Supplemental reporting for Oaktree
products is available in the form of periodic investment commentary.
Technology
●● Main system used is THS, a proprietary trade order management and compliance system,
with Geneva, a third-party application, used as the main accounting system.
●● Feeds to some third-party systems (such as the BNY Mellon trustee system) are not fully
automated. The data feed between THS and CDO Suite is not automated either. Oaktree is
developing HTML solutions to enable this.

Och-Ziff Loan Management LP
Och-Ziff Loan Management LP is a registered investment adviser that is indirectly owned
by Och-Ziff Capital Management Group LLC (Och-Ziff), a global institutional asset
management firm founded in 1994. Och-Ziff is active across a wide range of products,
including multistrategy funds, credit funds, CLOs and real estate funds. Its diverse investor
base includes pensions, fund of funds, foundations and endowments. As of Dec. 31, 2015,
Och-Ziff’s assets under management (AUM) totaled approximately $45.5 billion.
Manager Profile
Address 9 West 57th Street, 39th Floor, New York, NY 10019, U.S.
Website www.ozcap.com
Year Founded 1994
Parent(s) Och-Ziff Capital Management Group LLC
Key Affiliate(s) NAP
Investment Profile
Global Firm
No. of Portfolio Managers 181 investment professionals
AUM $45.5 Bil.

No. of Portfolio Managers Onea
AUM $6.8 Bil.b
No. of Invested Credits Approximately 300 issuers
Credits per Analyst Approximately 14 issuers
O
European Loans Managed via CLOs NAP
Supported by approximately 35 investment professionals. bInstitutional credit strategies. N.A. – Not available.
a
NAP – Not applicable.

Overall Self-Described Risk Retention Strategy Och-Ziff expects to comply by the second half of 2016 and
is currently evaluating different options for Risk Retention.
The firm anticipates it will fund its European CLO interest
directly from the manager. With respect to its U.S. CLOs,
the firm is evaluating third-party options for 2016. The most
likely outcomes are the direct manager investment and
majority-owned affiliate options. If one of these options is
elected, Och-Ziff would expect the funding structure to be
as follows:
Direct Manager Investment: 100% manager’s cash.
Direct Manager Investment: 25% manager’s cash;
75% third-party financing.
Majority-Owned Affiliate: 10%–20% manager’s cash;
80%–90% third-party financing.
.
Och-Ziff Loan Management LP 263
($ Bil.)
50
40
30
20
10
0
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Merger
Asia &
Corporate Arbitrage Private Other
Credit 12.0% Investments
11.0%
6.0% 1.0%
Convertible
& Derivative
Arbitrage Europe
9.0% 15.0%
North America
Structured Long/Short Equity 74.0%
Credit Special Situations
10.0% 62.0%
Note: Reflects investment strategies of OZ Master Fund, Ltd.

Real Family Offices
Other Foundations
Estate & Individuals
2.9% & Endowments Related
Funds 6.0%
12.0% Parties
4.6%
O Fund of
Funds
7.0%
Credit 12.0%
27.7% Multistrategy Pensions
Funds Corporate, 33.0%
64.8% Institutional
& Other
Private
13.0%
Banks
Note: Excludes CLO investors. 17.0%
Source: Och-Ziff Loan Management LP.
264 Och-Ziff Loan Management LP

U.S. ICS Investment Committee
Experience (Years)
David Windreich Executive Managing Director Head of U.S. and European Investing 21 32
Harold Kelly Executive Managing Director Head of Global Convertible and 20 26
Derivative Arbitrage and Risk
Management
Brett Klein Executive Managing Director Head of U.S. Corporate Credit 13 16
ICS – Institutional credit strategies.
European ICS Investment Committee

Experience (Years)
Brett Klein Executive Managing Director Head of U.S. Corporate Credit 13 16
Adeel Shafiqullah Managing Director Senior Portfolio Manager, Institutional <1 18
Credit Strategies – Europe
Mathieu Clavel Managing Director Head of European Corporate Credit 6 14
Tajinder Sidhu Managing Director Head of European Private Investments 11 16
ICS – Institutional credit strategies.

Portfolio Issue
Name Pricing Status Target Currenta Original Current Volcker CRR U.S. RRb
OZLM Funding, Ltd. 6/12 Revolving 499 499 511 511 Yes No No
OZLM Funding II, Ltd. 9/12 Revolving 541 546 560 560 Yes No No O
OZLM Funding III, Ltd. 1/13 Revolving 631 635 653 653 Yes No No
OZLM Funding IV, Ltd. 6/13 Revolving 576 575 600 600 Yes No No
OZLM Funding V, Ltd. 11/13 Revolving 483 483 501 501 Yes No No
OZLM VI, Ltd. 3/14 Revolving 600 598 621 621 Yes No No
OZLM VII, Ltd. 6/14 Revolving 800 797 825 825 Yes No No
OZLM VIII, Ltd. 8/14 Revolving 600 596 622 622 Yes No No
OZLM IX, Ltd. 11/14 Revolving 500 498 510 510 Yes No No
OZLM XI, Ltd. 2/15 Revolving 500 500 511 511 Yes No No
OZLM XII, Ltd. 4/15 Revolving 550 551 566 566 Yes No No
OZLM XIII, Ltd. 6/15 Revolving 500 501 512 512 Yes No No
OZLM XIV, Ltd. 12/15 Ramp-up N.A. N.A. 507 507 Yes No No
Total 6,780 6,781 7,499 7,499
Includes nondefaulted assets and principal cash. bAnticipated U.S. Rick Retention compliant. N.A. – Not applicable.
a

Och-Ziff Capital Management Group LLC

(NYSE: OZM)
Sole Shareholder
Och-Ziff Holding Corp.
GP
OZ Management LP Investment Manager
LP Och-Ziff Loan Management LLC
Och-Ziff Loan Management LP GP

The Fitch View
Key Considerations
●● Diversified asset management platform not significantly dependent on future CLO issuance to
remain viable.
●● Incentives (including compensation) and culture facilitate knowledge sharing and collaboration
across all business lines.
●● Significant investments were made by the firm to establish CLO business, including hiring
investment professionals with well-established CLO track records and building out sophisticated
proprietary credit research and administration systems.
●● Must manage potential conflicts of interest by maintaining the company’s effective policies for
dealing with public/private information across credit and equity investment strategies.
●● Growing CLO AUM in the face of greater competition, especially from managers with more
established platforms and track records.
Company
●● Founded in 1994 by Daniel Och, Och-Ziff is a publicly held firm (NYSE: OZM) focusing on an
institutional multistrategy investment approach.
●● Headquartered in New York with additional offices in London, Hong Kong, Mumbai, Beijing,
Shanghai, Dubai and Houston.
●● Strong employee retention, with senior investment managers having worked together for over
17 years at Och-Ziff.
●● Och-Ziff credit strategies manages assets across the corporate, structured and private credit
markets within opportunistic credit and the performing credit markets within institutional credit
strategies.
Investments
●● Portfolios are actively managed, driven by fundamental bottom-up credit analysis and augmented
by relative-value and industry assessments.
●● Investment ideas, market trends and portfolio allocation ideas are shared during daily meetings
between portfolio managers (PMs) and analysts.
●● Credit selection process is dynamic and specific to each investment idea, with analysts responsible
for tailoring analysis and models to each individual situation.
●● Loan management team leverages expertise of other groups at Och-Ziff, such as the equity group
for sector/competitor analysis and distressed credit group for workout guidance.
●● Formalized ongoing surveillance process utilizes in-house and third-party systems to track
positions and monitor compliance. Parallel checks of all requirements are performed. O
Controls
●● Various portfolio and risk management reporting performed by a group separate from PMs.
●● Weekly risk management meetings focus analysis on various forms of risk, including financial,
operational, counterparty, alpha generation and CLO exposure.
●● Daily credit risk monitoring process includes analysis of underlying credit liquidity, portfolio
cyclicality, currency risk and geographic risk and is supported by appropriate portfolio management
framework.
Operations
●● Investor reporting includes pre-effective date monthly portfolio updates, transaction documents
and quarterly commentary, all of which are available on a password-protected website.
●● Allocation of investments is based on the specific needs of each portfolio and facilitated through
automated systems to prevent error.
●● All portfolio management and credit analysis functions are conducted in-house. Models are run
Technology
●● Integrated and flexible platform based on a combination of proprietary analytics, including the
CLO loan asset management system, and third-party administration systems such as the widely
accepted Clear Park, Geneva and Wall Street Office.
●● Business continuity plan is appropriate and has been tested. Third-party data and work area
recovery centers are currently located in New Jersey and North Carolina.

O

Octagon Credit Investors, LLC
Octagon Credit Investors, LLC (Octagon) was founded in 1994 and has been
independently managed by its employee shareholders since 1999. Octagon is a
below-investment-grade corporate credit manager focused on leveraged loans,
high-yield bonds and structured credit (CLO debt and equity). As of Dec. 31, 2015, it had
$12.6 billion in assets under management (AUM).
Manager Profile
Website www.octagoncredit.com
Year Founded 1994
Ownership Structure Limited liability company
Parent(s) Conning & Company
Key Affiliate(s) Conning Investment Products, Inc.
Conning, Inc.
Investment Profile
Global Firm
No. of Employees 49
AUM $12.6 Bil.

AUM $12.3 Bil.
U.S. CLOs (No./AUM) 17/$9.3 Bil. O
a
Investment professionals only. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy In February 2016, Conning & Company (Conning), a
Hartford, CT-based investment management firm, acquired
82% of Octagon. Per the terms of the Conning transaction,
Conning has included a certain capital commitment to help
meet future risk retention requirements (as they relate to
CLO funds). At present, Octagon anticipates complying via
the purchase of a vertical strip, in which Octagon would
fund 1% of the 5% total retention amount with cash and
finance the remaining 4% with debt financing. While the
CLO market will undoubtedly change in the coming years
and views will likely evolve with respect to risk retention
solutions, the capital commitment from Conning should
give investors comfort that Octagon can appropriately
meet the requirements for some time into the future.
Octagon Credit Investors, LLC 269


($ Bil.)
14
12
10
8
6
4
2
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

High Yield CLOs Other
Bonds 2.2% Europe 0.6%
1.7% 3.2%
Syndicated U.S.
Loans 96.2%
96.1%
Note: Represents par amount of assets in all Octagon funds,
exclusive of cash.

Managed
Funds Other
8.4% Insurance 6.9%
O Managed
Accounts
7.1%
17.8% Banks
12.6%
CLO
Investors
73.4%
CLOs
73.8%
Note: Managed funds represents Octagon's commingled funds, Note: Represents NAV for CLOs and managed accounts;
exclusive of leverage. contributed capital for commingled funds.
Source: Octagon Credit Investors, LLC.
270 Octagon Credit Investors, LLC

Experience (Years)
Andrew Gordon CEO and CIO Investment Committee Member 21 31
Michael Nechamkin Senior Portfolio Manager Investment Committee Member, 17 25

Portfolio Manager
Lauren Basmadjian Portfolio Manager Investment Committee Member, 15 15
Portfolio Manager
Gretchen Lam Portfolio Manager Investment Committee Member, 17 17
Portfolio Manager

Portfolio Issue
Octagon Investment Partners III 12/99 Called N.P. 0 1,000 0 No No No
Octagon Investment Partners IV 5/01 Called N.P. 0 377 0 No No No
Octagon Investment Partners V 1/03 Called N.P. 0 300 0 No No No
Octagon Investment Partners VI 11/03 Called N.P. 0 306 0 No No No
Octagon Investment Partners VII 9/04 Called N.P. 0 408 0 No No No
Octagon Investment Partners VIII 8/05 Called N.P. 0 459 0 No No No
Octagon Investment Partners IX 5/06 Called N.P. 0 400 0 No No No
Octagon Investment Partners X 9/06 Amortizing N.P. 157 465 180 No No No
Hamlet II 11/06 Amortizing N.P. 528 507 412 No No No
Octagon Investment Partners XI 7/07 Amortizing N.P. 293 512 311 No No No
Octagon Investment Partners XII 3/12 Amortizing N.P. 335 358 340 No No No
Octagon Investment Partners XIV 12/12 Revolving N.P. 605 626 626 No No No O
Octagon Investment Partners XV 2/13 Revolving N.P. 506 516 516 No No No
Octagon Investment Partners XVI 6/13 Revolving N.P. 501 518 518 No No No
Octagon Investment Partners XVII 8/13 Revolving N.P. 401 414 414 No No No
Octagon Investment Partners XVIII 12/13 Revolving N.P. 699 713 713 No No No
Octagon Investment Partners XIX 4/14 Revolving N.P. 548 567 567 Yes No No
Octagon Investment Partners XX 8/14 Revolving N.P. 746 770 770 Yes No No
Octagon Loan Funding 9/14 Revolving N.P. 401 411 411 Yes No No
Octagon Investment Partners XXI 10/14 Revolving N.P. 751 763 763 Yes No No
Octagon Investment Partners XXII 11/14 Revolving N.P. 699 718 718 Yes No No
Octagon Investment Partners 24 5/15 Revolving N.P. 751 759 759 Yes No No
Octagon Investment Partners XXIII 7/15 Revolving N.P. 602 609 609 Yes No No
Octagon Investment Partners 25b 9/15 Revolving N.P. 806 817 817 Yes No No
Total N.P. 9,330 13,292 9,441
a
Anticipated U.S. Risk Retention compliant. bPortfolio balance as of the effective date Jan. 21, 2016. N.P. – Not
provided. Note: Numbers may not add due to rounding.

Octagon
Conning & Company
Employees
82% 18%
Octagon Credit
Investors, LLC

The Fitch View
Key Considerations
●● As a midsized manager, Octagon benefits from good dealer coverage, allocations and execution
while remaining selective on credit and nimble to changes in the market.
●● Significant credit resources and experience, with senior management team averaging over 20
years of industry experience and over 10 years’ tenure with Octagon.
●● A formalized and disciplined investment process. Octagon has a strong brand name and significant
resources. Benefits include diversified revenues, long-term stability and strong organizational
support for its robust CLO platform.
Company
●● A registered investment advisor, Octagon was founded in 1994 to manage the in-house,
buy-side leveraged loan and high-yield bond business of Chemical Bank, a predecessor of
JPMorgan Chase & Co. Octagon was incorporated in December 1998 and separated from The
Chase Manhattan Corporation in 1999 — at the time, it had approximately $2.1 billion in AUM —
and has since been independently managed by its employee shareholders.
●● Octagon specializes in below-investment-grade leveraged loans and high-yield bonds.
●● In February 2016, Conning, a Hartford, CT-based investment management firm, acquired 82%
of Octagon. Octagon employees continue to own approximately 18% of the firm. From July 2008
until February 2016, Octagon was majority owned by an affiliate of CCMP Capital Advisors, LLC.
Investments
●● Team takes a fundamental credit-driven approach and typically employs an active trading strategy.
●● Analysts identify investment opportunities in both the primary and secondary markets through
industry and company analysis supplemented by information from issuers, underwriters, agents,
and sales and trading desks as well as discussions with company management.
●● Octagon focuses on industry dynamics and competitive environments, performance history and
prospects, investment sponsors and management, projected cash flow generation, quality and
value of underlying collateral, downside protection and relative-value opportunities within an
issuer’s capital structure.
●● Investment decisions may also take into account the macroeconomic backdrop, technical supply
and demand, liquidity, and political and regulatory influences.
●● Analysts continuously refresh internal ratings and price targets for respective credits. Portfolio
managers adjust positions to optimize relative value in consideration of individual fund objectives.
O
Controls
●● Octagon’s operating committee provides oversight over all trading for the performing loan
business, including best execution, trade errors, valuation, allocation and aggregation, adherence
to investment guidelines and related issues.
●● Ongoing surveillance includes daily investment committees, weekly relative-value discussions
and watchlist monitoring and monthly and quarterly portfolio reviews.
Operations
●● Octagon’s internal accounting team regularly interfaces with each fund’s trustee/administrator to
ensure accuracy and compliance with both Octagon’s and the respective fund’s operational risk
framework. The firm’s internal accounting team reconciles each fund’s cash position on a daily
basis.
●● Senior management reviews all fund performance and portfolio composition on a regular basis to
monitor compliance with governing documents.
Technology
●● Octagon has in place an integrated and flexible platform based on a combination of both
proprietary analytics (internal credit rating and portfolio weighting system) and best-in-class
third-party systems, including Wall Street Office and Everest.
●● Octagon maintains a documented business continuity and disaster recovery plan that includes
replication of database servers every hour, application servers daily and file servers in real time.

O

Palmer Square Capital Management LLC
Palmer Square Capital Management LLC is a Kansas-based investment management
firm that specializes in credit and alternative investments. It was founded in 2009, and
as of Dec. 31, 2015, it had $3.8 billion in assets under management (AUM), including
$2.3 billion via six CLOs.
Manager Profile
Address 2000 Shawnee Mission Parkway, Suite 300, Mission
Woods, KS 66205, U.S.
Website www.palmersquarecap.com
Year Founded 2009
Parent(s) Montage Investments
Investment Profile
Global Firm
No. of Employees 23
AUM $3.8 Bil.

AUM $2.4 Bil.
U.S. CLOs (No./AUM) Six/$2.3 Bil. P

Overall Self-Described Risk Retention Strategy The majority-owned affiliate was originally established
in 2014. Palmer Square believes this entity can satisfy
U.S. risk retention requirements through ownership of a
horizontal or vertical strip of each CLO on a case-by-case
basis.
Palmer Square Capital Management LLC 275

($ Bil.)
5
4
3
2
1
0
2009 2010 2011 2012 2013 2014 2015
Managed
Funds
35.4%
CLOs
59.9%
Managed
U.S. Accounts
100.0% 4.7%
Source: Palmer Square Capital Management LLC.

Experience (Years)
Christopher D. Long President Portfolio Manager 7 18
Angie K. Long Chief Investment Officer Portfolio Manager 5 18
P Matt Bloomfield Executive Director Portfolio Manager 2 13
Jeffrey Fox Managing Director Structure/Compliance 3 16

Portfolio Issue
Palmer Square CLO 2013-1 5/13 Revolving 350 350 362 362 Yes Yes Yes
Palmer Square CLO 2013-2 9/13 Revolving 450 450 464 464 Yes No Yes
Palmer Square CLO 2014-1 4/14 Amortizing 450 450 457 457 Yes No No
Palmer Square Loan Funding 12/15 Ramp-up 200 200 200 200 Yes No Yes
2016-1
Total 2,275 2,277 2,328 2,331
a
276 Palmer Square Capital Management LLC

Mariner Holdings
Montage Investments
Palmer Square Capital Management
Palmer Square Capital Management LLC 277

P
278 Palmer Square Capital Management LLC

PineBridge Investments LLC
PineBridge Investments LLC (PineBridge) is a global asset manager that was originally
formed in 1996 with the consolidation of AIG’s various investment entities into a single
platform. Since 2010, it has been majority owned by a subsidiary of Pacific Century
Group, an Asia-based private investment group. As of Dec. 31, 2015, PineBridge had
$84.5 billion in global assets under management (AUM), $8.4 billion of which related to its
global leveraged loan operations.
Manager Profile
Website www.pinebridge.com
Year Founded 1996
Ownership Structure Majority owned by Pacific Century Group, a private
investment group
Parent(s) Pacific Century Group

Key Affiliate(s) Various PineBridge entities
Investment Profile
Global Firm
AUM $84.5 Bil.

No. of Employees 31
No. of Portfolio Managers Seven
AUM $8.4 Bil.
No. of Invested Credits 630 (includes European issuers)
P
European CLOs (No./AUM) Four/€1.1 Bil.

Overall Self-Described Risk Retention Strategy PineBridge is very committed to the CLO business, and
has allocated significant capital in support of the business.
It has already issued Risk Retention compliant CLOs in
both the U.S. and Europe. Generally, PineBridge has
satisfied Risk Retention by purchasing a majority of the
equity.
PineBridge Investments LLC 279

($ Bil.)
100
80
60
40
20
0
2010 2011 2012 2013 2014 2015
Note: Excludes AUM prior to PineBridge's sale to Pacific Century Group in March 2010.

CLO Investors
6.3% Banks
CLOs 0.5% Endowments
6.7% Pension/ 0.1%
Retirement
14.9%
Other
Managed
45.2%
Accounts
Managed 47.3%
Funds Insurance
46.0% 33.0%
Other includes corporates, family office, high net worth investors,
healthcare, joint venture funds, public/government, sovereign and
supranational organizations.
Source: PineBridge Investments LLC.
P
Experience (Years)
Steven Oh Managing Director Global Head of Credit and Fixed 16 26
Income/Co-Head of Leveraged
Finance
John Lapham Managing Director Co-Head of Leveraged Finance 20 35
Jeff Baxter Managing Director Director of Research 18 32

Julie Bothamley Managing Director Portfolio Manager 16 26
Kyle Chung Managing Director Portfolio Manager 13 19
280 PineBridge Investments LLC

Experience (Years)
Steven Oh Managing Director Global Head of Credit and Fixed Income/ 16 26
Co-Head of Leveraged Finance
John Lapham Managing Director Co-Head of Leveraged Finance 20 35
Jeff Baxter Managing Director Director of Research 18 32
Julie Bothamley Managing Director Portfolio Manager 16 26
Evangeline Lim Senior Vice President Portfolio Manager 9 20

Portfolio Issue
Galaxy 1999-1 6/99 Matured N.A. 0 1,000 0 No No No
Galaxy 2003-1 1/04 Matured N.A. 0 300 0 No No No
Galaxy III CLO 8/04 Matured N.A. 0 350 0 No No No
Galaxy IV CLO 3/05 Matured 391 0 400 0 No No No
Galaxy V CLO 9/05 Matured 500 0 509 0 No No No
Galaxy VI CLO 5/06 Matured 487 0 500 0 No No No
Galaxy VII CLO 9/06 Matured 445 0 453 0 No No No
Galaxy VIII CLO 3/07 Matured 490 0 500 0 No No No
Saturn CLO 5/07 Amortizing 485 240 500 264 No No No
Galaxy X CLO 2/08 Matured 357 0 350 0 No No No
Plymouth Rock CLO 12/10 Amortizing 470 15 473 29 No No No
Galaxy XI CLO 8/11 Revolving 400 399 403 385 No No No
Galaxy XII CLO 4/12 Matured 400 0 412 0 No No No
Galaxy XIV CLO 11/12 Revolving 500 510 520 520 No No No P
Galaxy XV CLO 3/13 Revolving 575 587 598 598 No No No
Galaxy XVI CLO 11/13 Revolving 400 405 414 414 No No No
Galaxy XVII CLO 6/14 Revolving 450 456 465 465 Yes No No
Galaxy XVIII CLO 8/14 Revolving 450 456 466 466 Yes No No
Galaxy XIX CLO 2/15 Revolving 500 506 510 510 Yes No No
Galaxy XX CLO 6/15 Revolving 550 562 556 556 Yes No Yes
Galaxy XXI CLO 12/15 Ramp-up 400 401 411 411 Yes No Yes
Total 8,250 4,535 10,090 4,618
a

Portfolio Issue
Euro Galaxy 9/06 Amortizing 375 194 383 212 No No
Euro Galaxy II 8/07 Amortizing 400 393 410 402 No No
Euro Galaxy III 11/13 Revolving 328 319 335 327 No Yes
Euro Galaxy IV 6/15 Revolving 320 323 335 335 No Yes
Total 1,423 1,077 1,463 1,115
Pacific Century Group

and
Management
PineBridge Investments, L.P.

(Cayman Islands)
PineBridge Investments LLC

P

The Fitch View
Key Considerations
●● Stable and experienced senior management and investment teams.
●● Investment process differentiated by an internal rating scale incorporating both fundamental and
relative-value considerations and the clear definition of rating review triggers.
●● Good market access, a function of established and strong relationships with private equity
sponsors.
●● Reliance on CLOs as primary loan management vehicle. Mitigated by recent growth in separate
account business.
●● Ultimately a privately held business, albeit with deep financial resources.
●● Higher ratio of names covered per analyst than the peer average, mitigated by expansion plans
and depth of analyst experience.
Company
●● PineBridge is an independent, diversified, global asset manager that invests across all major
asset classes and geographies.
●● PineBridge is a subsidiary of Pacific Century Group, an Asia-based private investment group
with interests in infrastructure, property and other investments mainly in the Asia-Pacific region,
including Singapore, Hong Kong and Japan. Founded in 1993, Pacific Century Group is controlled
by Richard Li.
●● PineBridge has been managing U.S. CLOs since 1999 and European CLOs since 2006. Its focus
is global. CLOs represent a core element of its corporate strategy and a key component in the
development of its loan business, along with offshore funds.
●● Governance is via the executive committee, which is closely involved in the business.
Investments
●● Clearly defined investment process based on six steps, from deal launch to ongoing monitoring
of the investment.
●● Bottom-up credit analysis, combined with top-down views. The process is differentiated by its
focus on developing triggers for each investment to understand its performance with respect to
the investment thesis.
●● All new investments are subject to a formalized committee process, which is made up of the
presenting analyst and five senior managers.
●● Proprietary scoring model for all preapproved and monitored credits. Result is three distinct scoring
designations for every credit, incorporating both fundamentals and relative-value considerations.
Controls
P
●● The overall risk control framework is sound, overseen by a head of risk. Risk committee tasked
with operational risk management.
●● PineBridge is either public or private on all issuers. Physical and informational barriers that
separate public and private interaction are overseen by compliance and based on clearly defined
policies. A cleansing process exists to control when public/private status changes.
●● A separate compliance department is responsible for developing, maintaining and upgrading
policies and procedures manuals for all departments.
Operations
●● Operational procedures are sound, employing industry-standard tools such as Sentry PM for loan/
CLO administration.
●● PineBridge produces supplemental investor reporting with issuer-specific commentary (where
public) and market overview.
Technology
●● PineBridge has a dedicated IT team that manages its bank loan-related systems and Sentry PM
applications.
●● CAP, a proprietary tool, is used for issuer monitoring and sharing rating changes/analyst
recommendations.
●● LoanX is used for pricing data.

P

Prudential Fixed Income
Prudential Fixed Income (PFI) is a wholly owned subsidiary of Prudential Global Investment
Management (PGIM), which in turn is owned by Prudential Financial, based in Newark,
NJ. PFI has a diversified global investor base consisting of institutional, retail, pension
funds and sovereign wealth/central banks/government entities. As of Dec. 31, 2015, it had
Manager Profile
Address 655 Broad Street, Newark, NJ 07102, U.S.
Website www3.prudential.com/fi
Year Founded 1875
Parent(s) Prudential Financial
Investment Profile
Global Firm
AUM $575 Bil.

No. of Employees N.A.b
No. of Portfolio Managers N.A.c
AUM $11.5 Bil.
No. of Invested Credits 750d
Credits per Analyst 25d
U.S. CLOs (No./AUM) 19/$8.6 Bil. P
European CLOs (No./AUM) Six/$2.3 Bil.
U.S. Loans Managed via CLOs 82.7%e
European Loans Managed via CLOs 89.1%e

a
Includes executive chairman, head of fixed income/chief investment officer, chief investment strategist,
economists, senior investment officers and product managers. bThere are no dedicated leveraged loans only
employees. cThere are 17 portfolio managers for all of leveraged finance. dLeveraged loans only, across all
vehicles. eLeveraged loans managed in CLOs/leveraged loans managed in all vehicles. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy If the CLO is a U.S. deal issued prior to December 2016,
PGIM will agree to purchase the vertical slice (or portions
thereof), if and when the CLO is refinanced or subject to
a management fee reduction. Starting in 2017, PGIM’s
intention is to take 5% vertical slices from the outset.
Prudential Fixed Income 285

($ Bil.)
600
500
400
300
200
100
0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Money Breakdown by Region
Markets
Other 9.7%
24.0% Other
30.9%
Investment
Grade
Bonds
Government 39.0% U.S.
Europe
21.0% 63.7%
5.4%
High Yield
Bonds
6.3%

CLOs Other
Managed 2.2% 25.4%
Funds CLO
22.0% Investors
P
Insurance
1.9% 46.9%
Pension/
Retirement
Managed Accounts 20.9%
75.8% Endowments Banks
0.5% 4.4%
Source: Prudential Fixed Income.
286 Prudential Fixed Income

Credit Committee
PGIM does not have a formal credit committee. Signoff is required from the head of credit research, the covering
analyst and the lead portfolio manager for a name to be added as an approved credit.

Portfolio Issue
Dryden XI 5/06 Amortizing 750 288 767 314 No N.A. N.A.
Dryden XVI 12/06 Amortizing 490 159 500 175 No N.A. N.A.
Dryden XVIII 10/07 Amortizing 425 173 427 183 No N.A. N.A.
Gateway CLOb 10/07 Amortizing 500 170 501 185 No N.A. N.A.
Dryden XXII 12/11 Amortizing 300 291 305 296 No N.A. N.A.
Dryden XXIII 7/12 Revolving 400 401 411 411 Yes N.A. N.A.
Dryden XXIV 10/12 Revolving 500 502 520 520 Yes N.A. N.A.
Dryden XXV 12/12 Revolving 600 602 624 624 Yes N.A. N.A.
Dryden XXVI 3/13 Revolving 400 401 417 417 No N.A. N.A.
Dryden XXVIII 7/13 Revolving 400 401 413 413 No N.A. N.A.
Dryden 30 10/13 Revolving 500 500 516 516 No N.A. N.A.
Dryden 31 3/14 Revolving 600 600 621 621 Yes N.A. N.A.
Dryden 40 7/15 Revolving 600 601 612 612 Yes Yes N.P.
Dryden 41 10/15 Revolving 500 500 512 512 Yes N.P. Yes
Total 10,015 8,646 10,253 8,907 P
Anticipated U.S. Risk Retention compliant. Acquired from Duane Street in October 2009. N.A. – Not applicable.
a b
N.P. – Not provided. Note: Numbers may not add due to rounding.

Portfolio Issue
Gateway IV Euro CLOa 5/07 Amortizing 392 113 414 148 No Yes
Dryden XXVII 5/13 Revolving 486 486 502 502 No Yes
Dryden 29 12/13 Revolving 400 401 415 415 No Yes
Dryden 39 9/15 Ramp-up 400 402 415 415 No Yes
Total 2,505 2,231 2,605 2,339
a
Acquired from GSC in April 2010. Note: Numbers may not add due to rounding.
Prudential Financial
PGIM
Private Fixed Real Estate

Equity Units Equity Unit
Income Units
P Prudential Fixed
Income
Fundamental Quantitative Real Estate Private Real Estate

Equity Equity Debt Placements Equity
PGIM Fixed Income PGIM Fixed Income

PIMJ (Japan)
(London) (Singapore)

The Fitch View
Key Considerations
●● Benefits of scale as part of a major global asset manager with large global fixed-income and CLO
AUM.
●● Stable, experienced and tenured portfolio management and credit teams.
●● Long global track record and established procedures for CLO management and administration.
●● Ongoing challenges will be maintaining credit selectivity and efficiently allocating credit research
resources as coverage grows.
Company
●● PGIM has been managing U.S. CLOs since 2002 and European CLOs since 2006. It has
demonstrated its commitment to the CLO market through continued additions of CLO management
mandates and acquisition of CLO management mandates as replacement manager.
●● PGIM’s investor base is highly diversified by region and sector, with no notable client concentrations.
●● Stable senior management and credit and portfolio management teams; majority of key staff with
long tenures.
●● The European leveraged finance research team comprised seven analysts as of December 2015
plus the head of European credit research, part of a considerably larger global credit research
function. Team members average 12 years’ experience.
Investments
●● Formalized credit research process incorporating top-down and bottom-up elements.
●● Top-down provided by in-house macro-economic research unit of five experienced global
economists complemented by two highly experienced global fixed-income strategists.
●● Bottom-up industry and fundamental issuer research covering asset quality, capital structure
and covenants results in scoring of trends and internal ratings, which are updated according to
schedule or market events.
●● Credit research covers the majority of the European leveraged issuer market. Credit research
analysts are organized by sector.
●● Credit committee with representatives from credit and portfolio management teams responsible
for credit approval. The credit research function retains veto over all issuers.
●● PGIM turns down approximately two-thirds of new issues.
●● Portfolio construction driven by relative-value rankings determined by portfolio managers within
eligible investment universe determined by credit process and structural constraints.
Controls P
●● Overall risk control framework based on independent risk management and quantitative research
function (58 analysts) and group compliance resources (43 staff as of December 2015).
●● PGIM is either public or private on all issuers, with the result that it has no conflicts of interest.
Credit and compliance oversee the cleansing process where an issuer goes public.
●● Pre- and post-trade CLO compliance testing is effected via Moody’s Wall Street Analytics.
Operations
●● All trades are reconciled with the trustee; daily cash reconciliation and monthly position
reconciliation. Straight-through processing to trustee.
●● Dedicated settlements team based in London (four loans, two bonds) with wider global resources.
●● Well-resourced global operational team of 186 staff as of December 2015 supporting the credit
and portfolio management functions.
Technology
●● PGIM uses Aladdin (BlackRock) for all fixed-income instruments. Aladdin is fed by various
third-party systems (such as Markit Partners and others for pricing) and an internal credit research
module, Galileo. WSO is used for CLO management and Intex for portfolio modeling and stress
testing.
●● A robust business continuity and disaster recovery plan is in place and regularly tested.

P

Rothschild Group
The Rothschild Group is a family-controlled and independent global financial advisory
group. The firm’s credit platform, a part of its merchant banking division, had assets under
management (AUM) of €2.8 billion as of Dec. 31, 2015, including sub-investment-grade
credit across European and U.S. CLOs, credit funds and managed accounts. The CLOs
are managed by a wholly owned MiFiD subsidiary, Five Arrows Managers LLP.
Manager Profile
Address New Court, St Swithin’s Lane, London, EC4N 8AL, U.K.
Website www.rothschild.com/debt_fund_management
Year Founded 1809
Ownership Structure Family-controlled, independent global financial advisory
group
Parent(s) Paris Orléans

Investment Profile
Global Firm
AUM €2.8 Bil.

No. of Employees 30
AUM €2.7 Bil.
European Loans Managed via CLOs 57% R

Overall Self-Described Risk Retention Strategy The Rothschild Group purchases a vertical strip in
each transaction it manages and holds it via its U.K.
MiFID-regulated management company called Five
Arrows Managers LLP.
Rothschild Group 291

(€ Bil.)
3.0
2.5
2.0
1.5
1.0
0.5
0.0
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

High
Yield
Bonds
4.5%
U.S. Europe
49.4% 50.6%
Syndicated
Loans
95.5%

Managed Endowments
Accounts Other
4.6%
4.6% 6.1%
Managed Insurance
Funds 3.3%
17.2%
Pension/
Retirement
CLOs 7.8%
78.2%
CLO
Investors
78.2%
R
Note: CLOs includes existing CLOs plus $359 million warehouse for Contego CLO III B.V., which priced in March
2016, plus $120 million related to a U.S. warehouse.
Source: Rothschild Group.
292 Rothschild Group

Experience (Years)
Mike Hatley Managing Director Chief Investment Officer 20 35
Cheryl Wasilewski Director Credit Analyst 14 32

Helen Rhee Director Credit Analyst 18 28
Heidimarie Skor Director Credit Analyst 15 30
Joy Jacob Director Credit Analyst 8 20
Bradley Bryan Director Credit Analyst 3 29
Todd Solomon Vice President Credit Analyst <1 12
Mike Clancy Managing Director Non-Voting 4 29
Phil Yeates Managing Director Non-Voting 21 26
John Sealy Managing Director Non-Voting 12 22

Experience (Years)
Marc-Olivier Laurent Managing Director Head of Merchant Banking 22 37
Andrew Didham Managing Director Vice Chairman 18 36
Phil Yeates Managing Director Co-Head Debt Fund Management 21 26
Mike Clancy Managing Director Co-Head Debt Fund Management 4 29
John Sealy Managing Director Head of Credit 12 22
Debra Lewis Consultant Independent Committee Member 24 24
David Wilson Consultant Independent Committee Member 4 28

Portfolio Issue
ING-Oryx CLO 12/01 Matured 400 0 409 0 No No No
Endurance CLO I 2/02 Matured 290 0 299 0 No No No
WG Horizons CLO I 5/06 Amortizing 391 133 400 140 No No No
Ocean Trails CLO I 11/06 Amortizing 341 163 350 178 No No No
Ocean Trails CLO II 6/07 Amortizing 391 291 400 304 No No No
Ocean Trails CLO IV 8/13 Revolving 390 394 400 401 Yes No No
Ocean Trails CLO V 11/14 Revolving 400 400 408 411 Yes No No
Total 2,603 1,381 2,666 1,434
a

Portfolio Issue
Dalradian European CLO I B.V. 12/05 Matured 343 0 350 0 No No
Dalradian European CLO II B.V. 5/06 Matured 389 0 400 0 No No
Dalradian European CLO III B.V. 10/06 Matured 442 0 450 0 No No
Contego CLO I B.V. 1/07 Matured 293 0 300 0 No No
Dalradian European CLO IV B.V. 2/07 Amortizing 388 110 400 135 No No
Contego CLO II B.V. 10/14 Revolving 350 350 359 359 Yes Yes
Total 2,205 460 2,259 494

Paris Orléans
Rothschild Continuation Holdings

AG
Rothschild Bank AG Rothschild & Cie Banque SCS

NM Rothschild & Sons Limited
(Switzerland) (France)
Rothschild Credit
Management Limited
Five Arrows Managers LLP

The Fitch View
Key Considerations
●● Well-resourced and financially robust parent with a long history of investing in European secured
loans, albeit with relatively low loan and CLO AUM.
●● Strong control environment, reflecting the family-owned ethos of the business.
●● Good access to information resulting from the (well-controlled) interaction with Rothschild Group’s
strong advisory franchise.
Company
●● Rothschild Group conducts its CLO management activities through a dedicated subsidiary under
its merchant banking division. It also manages unlevered funds and separate accounts.
●● Rothschild Group has been investing in European LBO debt since 1989 on balance sheet, although
it largely ceased balance sheet loan investment activities in 2010. It has actively managed CLOs
since 2007 and acquired Elgin Capital in 2011.
●● All of the ownership interests of U.S. CLO manager West Gate Horizons Advisors, LLC and the
firm’s five CLOs were acquired by Rothschild North America Holdings, Inc. in September 2015.
The resulting CLO management entity in the U.S. will be known as Rothschild Credit Management
(North America).
●● The European credit management team comprises 19 staff, based in London. The credit research
team consists of seven staff, and there are two dedicated loan traders.
Investments
●● The investment process is continuous, based on fundamental bottom-up credit analysis that
is formalized in a weekly credit forum and an investment committee comprising executive and
non-executive members.
●● Credit research documented in standardized memos of good quality, with clear credit
recommendations. Rothschild Group benefits from its access to information via the advisory
business (subject to strict compliance oversight).
●● There are a total of five portfolio managers (PMs), one of whom is responsible for European CLOs
and one for U.S. CLOs. Some of the PMs also have credit monitoring responsibilities.
●● Turndown rate of approximately 75% on average.
●● PMs are responsible for position sizing, taking into consideration relative value and diversification.
Sales are at the discretion of the PMs.
Controls
●● Governance is strong, effected through multiple committees and an advisory board. Rothschild
Group is regulated by the relevant French and U.K. authorities.
●● Rothschild Group’s overall risk control framework is robust, reflecting the group structure and
ultimate ownership by the Rothschild family.
R ●● Compliance actively and carefully manages advisory relationships via a “grey list” and compliance
oversight/chaperoning of meetings between the CLO management team and other areas of the
business (advisory and private equity). Furthermore, the CLO team is effectively public or private
only on any name, which mitigates information risk.
●● Pre- and post-trade controls are effected via Nexus (see below).
Operations
●● Dedicated operations staff of three covering CLO and loan administration.
●● Cash is reconciled daily and positions monthly.
●● Rothschild Group does not provide supplemental investor reporting for CLOs.
Technology
●● Nexus, provided by Virtus, is the key portfolio and CLO management solution, combined with
Excel portfolio monitoring tools. Nexus provides hypothetical-trade functionality and full cash and
position reconciliation. Pricing feeds are from Markit and Bloomberg.

Seix Investment Advisors LLC
Seix Investment Advisors LLC (Seix) is a New Jersey-based fixed-income manager whose
primary focus is on institutional investors. Seix is a wholly owned subsidiary of RidgeWorth
Capital Management LLC (RidgeWorth). RidgeWorth is an independent investment firm
with approximately $36 billion in assets under management (AUM) as of Dec. 31, 2015.
As of the same date, Seix had AUM of $26 billion, with investments spanning syndicated
loans, high-yield bonds and investment-grade bonds.
Manager Profile
Address One Maynard Drive, Suite 3200, Park Ridge, NJ 07656, U.S.
Website www.seixadvisors.com
Year Founded 1992
Parent(s) RidgeWorth Capital Management LLC

Investment Profile
Global Firm
No. of Employees 77
AUM $26 Bil.

No. of Employees 39
AUM $8.7 Bil.
N.A. – Not applicable. S


Overall Self-Described Risk Retention Strategy Seix intends to meet risk retention requirements through
capital raised at its parent company, RidgeWorth, which
will in turn be downstreamed to Seix, and then remain at
the collateral manager level. Risk retention may be met
either through a vertical or horizontal slice of the deal.
Seix Investment Advisors LLC 297

($ Bil.)
35
30
25
20
15
10
5
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

High
Yield Other
Europe 4.9%
Bonds 4.3%
16.4%
Investment
Grade
Bonds
49.8%
Syndicated
Loans
33.8% U.S.
90.8%

Wrap
Accounts Public Other Mutual
7.1% 6.0% 17.7% Fund
CLOs 39.8%
11.7% Taft-Hartley
Managed 7.2%
Funds
Pension/
43.3%
Retirement
7.2%
Commingled Subadvisory
Managed 12.4% 9.8%
Accounts Note: Other includes endowments, foundations, individuals,
37.8% insurance, corporations, family trusts, healthcare, religious
S
organizations and foreign governments.
Source: Seix Investment Advisors LLC.
298 Seix Investment Advisors LLC

Experience (Years)
George Goudelias Head of Leveraged Finance, Senior Senior Portfolio Manager, 15 29
Portfolio Manager Head of CLOs
Vincent Flanagan, CFA Portfolio Manager, Senior Leveraged Portfolio Manager 10 19

Finance Research Analyst
Mike Kirkpatrick Senior Portfolio Manager Portfolio Manager 14 25
James FitzPatrick, CFA Head of Leveraged Finance Trading, Portfolio Manager, Trading 19 20
Portfolio Manager
Raymond Kramer Head of Leveraged Finance Research 14 34
Research
Note: To vote on an instrument for portfolio inclusion, a quorum of two portfolio managers and the sponsoring analyst
must be met. Instrument for inclusion must receive unanimous approval. George Goudelias has the final say as to
whether an asset is added to the portfolio.

Portfolio Issue
Baker Street Funding CLO 12/05 Amortizing 350 136 359 148 No No N.A.
2005-1 Ltd.b
Mountain View Funding CLO 4/06 Amortizing 450 226 463 240 No No N.A.
2006-1 Ltd.
Baker Street CLO II Ltd.b 9/06 Amortizing 390 219 400 232 No No N.A.
Mountain View CLO II Ltd. 10/06 Amortizing 450 370 463 382 No No N.A.
Mountain View CLO III Ltd. 4/07 Amortizing 500 357 508 371 No No N.A.
Grand Horn CLO Ltd. 12/07 Called 500 0 500 0 No No N.A.
Mountain View CLO 2013-1 Ltd. 4/13 Revolving 400 405 421 417 Yes No N.A.
Mountain View CLO 2014-1 Ltd. 8/14 Revolving 500 502 519 516 Yes No N.A.
Mountain View CLO IX Ltd. 5/15 Revolving 550 551 566 566 Yes No N.A.
Mountain View CLO X Ltd. 7/15 Revolving 400 402 416 416 Yes Yes Yes
Total 4,490 3,167 4,613 3,288
a
Anticipated U.S. Risk Retention compliant. bTransitioned from SunTrust Banks Inc. in December 2007. N.A. – Not
applicable. Note: Numbers may not add due to rounding. S

RidgeWorth Capital Management LLCa

AUM $36.0 Bil.
RidgeWorth Investmentsb
AUM $309.0 Mil.
Ceredex Value Advisors

AUM $9.5 Bil.
Seix Investment Advisors LLC

AUM $24.8 Bil.
Silvant Capital Management

AUM $1.3 Bil.
Capital Innovations
AUM $3.1 Mil.
WCM Investment Management

AUM $33.3 Mil.
Zevenbergen Capital Investments

AUM $24.0 Mil.
S
RidgeWorth Internationalc
Distribution only – No AUM
a
As of Feb. 29, 2016. bRidgeWorth Investments wholly owns Ceredex Value Advisors LLC, Seix Investment
Advisors LLC and Silvant Capital Management LLC, and has a minority interest in Zevenbergen Capital Investments.
Capital Innovations and WCM are not affiliated with RidgeWorth Investments, RidgeWorth Funds or RidgeWorth
Distributors LLC. cRidgeWorth International Ltd. is not an investment adviser and does not have any assets under
management. It is a distribution channel for RidgeWorth Capital Management LLC and its wholly owned investment adviser
subsidiaries.

The Fitch View
Key Considerations
●● Investment team, consisting of portfolio managers and credit research analysts, has considerable
experience in the loan market, and has had significant stability.
●● The current ownership structure and resources of owners set the stage for risk retention compliant
CLO issuance in the future.
●● Seix has issued new CLOs in 2013–2015. The latest deal, Mountain View CLO X Ltd., was risk
retention compliant.
Company
●● Headquartered in Park Ridge, NJ, with other office locations in Atlanta, GA and Orlando, FL.
●● Seix is a wholly owned subsidiary of RidgeWorth. On May 30, 2014, certain employees of
RidgeWorth and its wholly owned subsidiaries, including Seix, alongside investment funds
advised by an affiliate of Lightyear Capital, a financial services private equity firm, and outside
investors acquired RidgeWorth from SunTrust Banks, Inc.
●● Seix’s investment affiliates include two boutiques, also wholly owned by RidgeWorth, and one
minority-owned boutique, Zevengbergen Capital Management. Investment affiliates are Ceredex
Value Investors, Silvant Capital Management and Zevenbergen Capital Management.
●● The leveraged finance team at Seix has 22 investment professionals across credit research,
product specialists, quantitative research and trading.
Investments
●● Seix’s main investment philosophy is to have a transparent, repeatable investment process
based on fundamental, bottom-up research. Performance is primarily attributed to the amount
of experience the team has together, combined with a focus on collaboration and information
sharing.
●● Investment ideas typically are sourced from the industry analysts. The research team engages
in bottom-up fundamental credit research to identify the strongest and most undervalued credits.
●● Seix internally rates every investment. Ongoing surveillance of credits is performed at least
quarterly. Weekly sector meetings help facilitate the sharing of trends and credit events. A
formal watchlist is maintained and monitored. The research team uses Tamale, a credit research
repository, to house all memos, notes and credit model outputs.
●● Seix will implement an automatic formal credit review for an issue if its price falls 5% relative to
its peers.
Controls
●● The firm conducts an annual review of its policies and procedures that includes a risk assessment
to identify and prioritize areas of risk, conflict and other firm operations.
●● A weekly conference call with the chief administrative officer and interim chief compliance officer
of RidgeWorth is conducted.
●● Ashland is retained for GIPS verification; it also conducts an annual SSAE 16 examination of
internal controls of the organization.
●● Personal trading activity for all staff is monitored through SunGard Protegent PTA, which receives
broker feeds nightly. The firm has formalized rules for public/private investing.
Operations
●● Wall Street Office is used to administer loan assets and to perform daily cash reconciliations
S
between the CLOs and the trustee. An internal Excel-based model is also maintained as a third
reconciliation and for hypothetical trading scenarios.
●● An internal team performs all loan settlements. The robust process has resulted in very good
settlement times versus industry averages.
●● Appropriate investor reporting is available via the trustee.
Technology
●● Bloomberg AIM is used for trade processing, including pre- and post-trade compliance.
●● Markit Partners supplies loan market pricing.
●● Tamale is used to store all credit write-ups, memos and research.

S

Silvermine Capital Management LLC
Silvermine Capital Management LLC (Silvermine) is an asset management firm
headquartered in Stamford, CT. The company was founded in 2005 and acquired by a
wholly owned subsidiary of Man Group plc in January 2015. Silvermine’s activities are
focused on the management of 10 CLOs, all primarily secured by broadly syndicated loans;
as of Dec. 31, 2015, the company had $4.2 billion in assets under management (AUM).
Manager Profile
Address 281 Tresser Boulevard, 11th Floor, Stamford, CT 06901, U.S.
Website www.glgpartners.com/res/silvermine
Year Founded 2005
Parent(s) Man Group plc
Key Affiliate(s) GLG Partners LP
Investment Profile
Global Firm
No. of Employees 16
AUM $4.2 Bil.

No. of Employees 16
AUM $4.2 Bil.

S

Preferred Structure New manager as sponsor/originator (U.S. and European
CLOs)
Overall Self-Described Risk Retention Strategy In March 2015, Man Group, the parent of Silvermine,
closed a European CLO that was CRD IV compliant. In
that transaction, Man Group satisfied its risk retention
through a vertical strip, which Silvermine expects to use as
its risk retention strategy.
Silvermine Capital Management LLC 303

($ Bil.)
5
4
3
2
1
0
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

CLOs Other
Europe 7.1%
0.5%
2.4%
Syndicated
Loans U.S.
99.5% 90.5%

Other
1.5%
Insurance
20.3%
CLO
Investors
45.8%
CLOs
100.0% Banks
32.4%
S
Source: Silvermine Capital Management LLC.
304 Silvermine Capital Management LLC

Experience (Years)
G. Steven Kalin Co-Head of Leveraged Credit Portfolio Manager 11 24
Richard Kurth Co-Head of Leveraged Credit Portfolio Manager 11 31

Portfolio Issue
Endeavor Funding Ltd. 9/05 Called 550 0 565 0 No No No
Comstock Funding Ltd. 6/06 Called 450 0 467 0 Yes No No
Cannington Funding Ltd. 11/06 Amortizing 450 N.A. 466 200 Yes No No
Greens Creek Funding Ltd. 5/07 Amortizing 450 0 462 268 Yes No No
Silvercrest 8/07 Defaulted 500 0 500 0 No No No
ECP CLO 2008-1, Ltd. 2/08 Transferred 750 0 744 0 Yes No No
ECP CLO 2012-3, Ltd. 6/12 Amortizing 450 N.A. 462 390 Yes No No
ECP CLO 2012-4, Ltd. 6/12 Revolving 300 N.A. 311 311 Yes No No
Silvermore CLO, Ltd. 5/14 Revolving 500 N.A. 518 518 Yes No No
Silver Spring CLO, Ltd. 9/14 Revolving 400 N.A. 413 413 Yes No No
GLG Ore Hill CLO 2013-1 Ltd 9/13 Revolving 400 N.A. 426 421 Yes No No
Total 6,950 N.A. 7,141 4,329
a

Man Group plc
100% Indirect Ownership
Silvermine Capital Management LLC

The Fitch View
Key Considerations
●● The core team’s long-time collaboration, coupled with strong parent company culture and global
organizational structure, facilitates knowledge sharing and collaboration.
●● Benefits from the substantial scale and operational resources of its strong and stable parent, Man
Group plc.
●● Maintaining and growing CLO AUM in the face of greater competition and/or challenging market
conditions for loan assets continues to be major focus.
Company
●● Founded in 2005, Silvermine is an SEC-registered investment advisor with approximately
$4.2 billion in AUM focused on high-yield credit.
●● Silvermine was acquired by a wholly owned subsidiary of Man Group plc in January 2015.
●● Headquartered in London with offices in every major region, Man Group plc is an alternative
investment management business with $78.7 billion in AUM.
●● Founding partners worked together at TCW Advisors, Inc. before establishing Silvermine.
Investments
●● Investment thesis is driven by fundamental credit analysis and risk aversion through careful
portfolio construction. Silvermine is focused on investments in large, liquid names with over
$100 million in EBITDA.
●● Silvermine actively manages its portfolios using a team-based approach, with ultimate
decision-making power held by its credit committee. The committee is led by the co-heads of
leveraged credit, who sign off on all credits approved for investment.
●● Ten analysts are responsible for tracking approximately 231 credits, which averages out to
approximately 23 credits per analyst. Credits are classified by industry.
●● The investment committee is composed of all analysts and portfolio managers (PMs) in the firm.
If a credit is approved, the committee also determines the portfolio weighting.
Controls
●● Each approved security is assigned specific monitoring triggers that are coded into the portfolio
management system to proactively identify issues.
●● Formal group consisting of PMs and analysts meets weekly to discuss market trends and review
watchlist.
●● Strong focus on compliance from being SEC registered and having a publicly listed parent and
independent trustees.
●● Silvermine has various compliance and governance processes in place to support accuracy of
Operations
●● Silvermine engages U.S. Bank to provide back- and middle-office operations as well as CLO
administration support. S
●● Silvermine provides investors quarterly portfolio updates, which include information regarding the
firm’s progress, market conditions, color on all transactions and data pertaining to all watchlist
credits.
●● Administrative capabilities reflect the highly qualified staff interacting with appropriate systems
and processes.
Technology
●● Integrated and flexible proprietary analytics, portfolio management and compliance system
provides all credit details, including fundamental research, exposure, trade history and credit
committee data. The system serves as Silvermine’s corporate memory.
●● Technology and systems support is managed and maintained by Man Group plc, which also
provides appropriate disaster recovery services.

S

Sound Harbor Partners LLC
Sound Harbor Partners LLC (Sound Harbor) is a boutique, privately owned investment
advisor led by Mike Zupon and Dean Criares, who previously founded the debt
management businesses of The Carlyle Group and The Blackstone Group, respectively.
As of Dec. 31, 2015, it had $1.1 billion in assets under management (AUM), mainly
through CLOs acquired from Aladdin Capital Holdings LLC. Sound Harbor issued its first
CLO 2.0 in 2014.
Manager Profile
Address 12 East 49th Street, 36th Floor, New York, NY 10017, U.S.
Website www.soundharbor.com
Year Founded 2009
Ownership Structure Private credit asset manager
Parent(s) N.A.
Investment Profile
Global Firm
No. of Employees 14
AUM $1.1 Bil.

No. of Employees 11
AUM $1.1 Bil.
S

Sound Harbor Partners LLC 309

($ Bil.)
1.5
1.2
0.9
0.6
0.3
0.0
2012 2013 2014 2015
Other
High 13.5%
Yield
Bonds
0.2%
U.S.
Syndicated 100.0%
Loans
86.3%
Other Other
9.6% 9.6%
Insurance
Managed 3.6%
Accounts
3.6%
CLO Investors
86.9%
CLOs
86.9%
Source: Sound Harbor Partners LLC.
310 Sound Harbor Partners LLC

Experience (Years)
William Lutkins Managing Director Senior Portfolio Manager 3a 22
Ned Bancroft Managing Director Portfolio Manager 3a 26
Jamie Walker Principal Portfolio Manager 5 14
a
Eight years managing existing Sound Harbor CLOs.
Portfolio Issue
Name Closing Status Target Current OriginalCurrent Volcker CRR U.S. RRa
Landmark CDO Ltd.b 7/01 Matured 400 0 400 0 No No N.P
Landmark III CDO Ltd. c
12/03 Matured 312 1 320 0 No No N.P.
Landmark IV CDO Ltd.c 10/04 Called 300 1 302 0 No No N.P.
Landmark V CDO Ltd.b 3/05 Called 350 6 357 0 No No N.P
Greyrock CDO Ltd. c
9/05 Called 330 2 335 0 No No N.P.
Landmark VI CDO Ltd.c 1/06 Amortizing 300 6 310 0 No No N.P.
Landmark VII CDO Ltd.c 4/06 Amortizing 325 10 331 0 No No N.P
Landmark VIII CLO Ltd. c
10/06 Amortizing 500 291 516 304 No No N.P.
Landmark IX CDO Ltd.b 4/07 Amortizing 464 219 475 244 No No N.P.
SHLF 2014-1 Ltd. 10/14 Revolving 450 450 457 457 Yes No N.P
Total 3,731 986 3,802 1,005
a
Anticipated U.S. Risk Retention compliant. bTransferred from Aladdin Capital Holdings LLC in February 2013.
c
Transferred from Aladdin Capital Holdings LLC in December 2012. N.P. – Not provided. Note: Numbers may not
add due to rounding.

Sound Harbor Loan Fund 2014-

Sound Harbor Partners LLC
1 Ltd.
Landmark Funds LLC
Landmark CDO Ltd. Landmark IV CDO Ltd. 12/12

Landmark III CDO Ltd. 12/12
2/13
Landmark V CDO Ltd. Greyrock CDO Ltd.

Landmark VI CDO Ltd. 12/12
2/13 12/12
Landmark VII CDO Ltd. 12/12 Landmark VIII CLO Ltd. 12/12 Landmark IX CDO Ltd. 2/13
Note: Dates refer to timing of transfer from Aladdin Capital Holdings LLC.

The Fitch View
Key Considerations
●● Experience and knowledge of senior management. Led by industry veterans Zupon and Criares,
who have deep industry relationships and extensive track records that include the founding of
CLO platforms at previous organizations.
●● Strong credit selection and analytics supported by operating advisory board.
●● Competition with larger loan managers for investment allocations for loans, partly due to current
market constraints.
Company
●● Founded in 2009 by Zupon and Criares, Sound Harbor is a boutique, privately owned, SEC-
registered investment advisor.
●● Zupon and Criares previously founded the debt management businesses of Carlyle and
Blackstone, respectively, and have managed more than 30 CLOs. They average 26 years of
industry experience and bring significant industry relationships to Sound Harbor.
●● Sound Harbor has two platforms: Capital Solutions Fund (middle-market fund with a private equity
approach) and Loan Funds (separately managed accounts and CLOs totaling over $1 billion).
●● Sound Harbor’s acquisition of the Aladdin CLO platform consisted of $1.3 billion in CLO contracts
in 2012 and $650 million in CLOs in 2013.
Investments
●● Six credit analysts cover approximately 45 names each for a total of about 270 credits.
●● A key to the credit process is actively seeking information about a company prior to investment,
including using external resources stemming from senior management’s industry connections and
the senior advisory board.
●● The investment committee, which meets at least weekly, is overseen by Zupon and Criares.
Decisions must be unanimous.
●● Investments are evaluated and reviewed using a proprietary rating system, TracePoint Risk
Rating System. Analysts assign a risk rating, recovery rating and value rating to every credit.
●● The TracePoint risk ratings are reviewed on at least a quarterly basis, with rotating industry
reviews done on a weekly basis. The goal is for ratings to be dynamic and actively changing as
more information becomes available.
Controls
●● Ongoing monitoring includes weekly review of secondary price movements and weekly
modifications to ratings output from TracePoint Risk Rating System.
●● Regularly scheduled meetings include weekly watchlist review, weekly industry review (rotating),
monthly executive committee meetings that focus on how much risk is being taken and quarterly
senior operating advisory board meetings in which independent advisors meet to discuss the
business.
●● Proprietary and transparent investment process utilizing TracePoint risk ratings, which are
regularly updated to reflect changing market conditions.
Operations
●● In addition to 10 individuals at U.S. Bank providing middle-office functions, there are three
dedicated operations professionals at Sound Harbor. S
●● While U.S. Bank serves as trustee, a separate arm of U.S. Bank provides middle-office support
and acts as shadow trustee, furnishing additional oversight.
●● Quarterly investor reporting is reviewed by all analytical employees at Sound Harbor, including
trustee report and high-level commentary as well as watchlist names and top 10 industries and
names held in the portfolio.
Technology
●● Integrated and flexible platform based on a combination of proprietary analytics (including
TracePoint Risk Rating System) and third-party administration systems such as the widely
accepted Black Mountain Everest and CDO Suite.
●● Business continuity plan is appropriate and tested. Backup services in place for Greenwich, CT
office; remote access and cloud servers in place to serve in disaster scenario.

S

Sound Point Capital Management, LP
Sound Point Capital Management, LP (Sound Point) is a New York-based investment
advisory firm. Founded in 2008, the company focuses on the corporate credit market and
manages investments through CLOs, managed accounts and managed funds. As of
Dec. 31, 2015, Sound Point had approximately $7.7 billion in assets under management (AUM).
Manager Profile
Website www.soundpointcap.com
Year Founded 2008
Parent(s) N.A.
Key Affiliate(s) Stone Point Capital
Investment Profile
Global Firm
No. of Employees 43
AUM $7.7 Bil.

AUM $6.7 Bil.
a
Investment professionals. N.A. – Not applicable.

Preferred Structure Majority-owned affiliate of manager S
Overall Self-Described Risk Retention Strategy Sound Point launched the Sound Point CLO Fund, a
majority-owned affiliate (MOA), on June 1, 2015 with
the intention of meeting U.S. Risk Retention regulations.
Sound Point itself will own, at all times, at least the
required amount to be deemed an MOA. The MOA will
retain 5% of Sound Point CLOs either horizontally or
vertically. Sound Point and affiliates (including affiliates of
Stone Point Capital) initially contributed approximately $50
million of current Sound Point CLO equity holdings (and/
or cash) into the fund. The MOA will predominantly invest
in Sound Point CLO equity and warehouse facilities, and
(to a lesser extent) debt issued by Sound Point CLOs,
third-party CLOs and/or individual loans or bonds.
Sound Point Capital Management, LP 315

($ Bil.)
8
0
2009 2010 2011 2012 2013 2014 2015

Bonds & Managed
Equity Accounts
13% 14.7%
Managed
Funds
16.2%
CLOs
Syndicated 69.1%
Loans
87%
Note: Figures are approximate.

Seed Single
Investor Family Office
2.3% 1.5%
Foundation/ High Net Worth
Endowment Individual
3.7% 2.2%
Institutional
8.4%
Wealth
CLO
Management
Investors
5.9%
Fund of 69.1%
Hedge Fund
6.9%
S
Source: Sound Point Capital Management, LP.
316 Sound Point Capital Management, LP

Experience (Years)
Stephen Ketchum Managing Partner and Managing Partner and 7 25
Chief Investment Officer Chief Investment Officer
Rick Richert Portfolio Manager Portfolio Manager 5 22
Murtaza Haque Portfolio Manager/ Portfolio Manager/ 4 17
Senior Credit Analyst Senior Credit Analyst

Portfolio Issue
Sound Point CLO I, Ltd. 9/12 Amortizing 385 373 397 383 Yes No No
Sound Point CLO II, Ltd. 3/13 Revolving 379 381 400 400 Yes No No
Sound Point CLO III, Ltd. 7/13 Revolving 481 482 501 501 Yes No No
Sound Point CLO IV, Ltd. 11/13 Revolving 600 602 630 630 Yes No No
Sound Point CLO V, Ltd. 3/14 Revolving 600 599 624 624 Yes No No
Sound Point CLO VI, Ltd. 7/14 Revolving 600 604 628 628 Yes No No
Sound Point CLO VII, Ltd. 11/14 Revolving 500 500 519 519 Yes No No
Sound Point CLO VIII, Ltd. 3/15 Revolving 600 597 621 621 Yes No No
Sound Point CLO IX, Ltd. 5/15 Revolving 500 501 516 516 Yes No No
Sound Point CLO X, Ltd. 12/15 Revolving 450 451 460 460 Yes No No
Total 5,095 5,089 5,296 5,282
a

Five Senior Principals of

Stephen Ketchum
Stone Point Capital
Sound Point Capital Management, LP
Sound Point CLO I Sound Point Sound Point

Sound Point CLO II Sound Point Senior Credit Sound Point Managed
Sound Point CLO III CLO Fund Floating Rate Opportunities Beacon Fund Accounts
Sound Point CLO IV Fund Fund
Sound Point CLO V
Sound Point CLO VI
Sound Point CLO VII
Sound Point CLO VIII
Sound Point CLO IX
Sound Point CLO X
Onshore Offshore Onshore Offshore Onshore Offshore
Feeder Feeder Feeder Feeder Feeder Feeder
Commingled Investors

The Fitch View
Key Considerations
●● Highly experienced investment professionals and senior management. The average is 17 years’
industry experience.
●● Overall solid risk management framework and compliance functions. All critical operational
functions are handled in-house with sufficient dedicated resources.
●● Key man risk tied to chief principal Steve Ketchum, although it is largely mitigated by the ownership
structure.
Company
●● Established in 2008, Sound Point has 43 employees and offices in New York and London.
●● Founded by Ketchum, who has 25 years of investment experience. Senior management team
averages approximately 20 years of industry experience. No senior management turnover since
inception.
●● Extensive industry experience wielded by senior investment professionals, who previously worked
at and/or led loan and credit management firms such as Apollo Management, MetLife, UBS and
American Capital Management.
●● Sound Point is majority owned by Ketchum and minority owned by principals of Stone Point
Capital, a private equity firm with $13 billion in AUM.
Investments
●● Investment strategy involves a focus on comprehensive bottom-up credit research, with a bent
against participating in overcrowded trades.
●● Formalized committee-based decision-making process in place. A commitment, if approved, is
approved across all products. Proprietary tools are utilized to facilitate research, communication
and investment decisions.
●● Investment committee consists of all investment professionals, with three senior investment
members as voting members. Internal ratings determined in committee process, with decisions
formed through a consensus-driven approach.
●● Covering approximately 40–50 credits each, 10 research analysts formally review all credits at
least quarterly as part of a comprehensive portfolio review.
Controls
●● Robust policies and procedures evidenced by the third-party valuation process and appropriate
reconciliation and settlement process.
●● Continuous and open communication with the trustee, which also acts as administrator and
custodian on other Sound Point funds.
●● Ongoing surveillance remains the responsibility of the analyst who originally assessed the asset.
All issuers are reviewed at least on a quarterly basis.
●● The investment process allows replication across all products and provides clear rules for
allocation.
Operations
●● Sixteen-member operations team.
●● Administrative capabilities reflect the highly qualified staff interacting with appropriate systems
and processes.
S
●● Well-defined and thorough operational procedures, including internal risk controls.
●● Automated and integrated daily reconciliation of cash and securities with various trustees, as well
as through appropriate third-party and proprietary systems.
●● CLO information is accessed by investors through the trustee website.
Technology
●● Appropriate decision-making tools for risk analysis and investment allocation. Sound Point uses
both widely accepted industry systems and proprietary systems for portfolio management and
administration, including Wall Street Office Web, Markit, Advent Geneva, Bloomberg and Black
Mountain Everest.
●● Redundancies housed in both a remote site in Arizona as well as Stone Point Capital offices
in Greenwich, CT include full data and systems backup. All functions are tested annually for
immediate recovery needs.
S

Steele Creek Investment Management
Steele Creek Investment Management (Steele Creek) is a Charlotte, NC-based CLO
manager that was established in 2013 by Glenn Duffy, the co-founder and former CIO
of Columbus Nova’s CLO business, and Matt Stouffer, previously managing director at
Deerfield Capital Management. The firm is wholly owned by Moelis Asset Management
LP (MAM), a global independent asset management firm that was founded in 2007. As of
Dec. 31, 2015, Steele Creek had $800 million in assets under management (AUM),
including $750 million in two U.S. CLOs and $50 million in a warehouse facility.
Manager Profile
Address 201 S. College Street, Suite 1690, Charlotte, NC 28244, U.S.
Website www.steelecreek.com
Year Founded 2013
Parent(s) Moelis Asset Management LP
Key Affiliate(s) Moelis & Co.
Investment Profile
Global Firm
No. of Employees Eight
AUM $800 Mil.

AUM $800 Mil.
U.S. CLOs (No./AUM) Two/$750 Mil.
U.S. Loans Managed via CLOs 100%a S
a
$50 million of total firm AUM is in a CLO warehouse facility. N.A. – Not applicable.

Steele Creek Investment Management 321

($ Mil.)
800
600
400
200
0
2014 2015
Syndicated U.S.
Loans 100.0%
100.0%
Warehouse
Facility
6.3%
CLOs
93.8%
CLO
Investors
100.0%
S
Source: Steele Creek Investment Management.
322 Steele Creek Investment Management

Experience (Years)
Glenn Duffy Managing Director Chief Investment Officer 3 26
Matt Stouffer Managing Director Head of Portfolio Management 3 28

Chris Ryan Managing Director Head of Moelis Asset Management 3 31

Portfolio Issue
Steele Creek CLO 2014-1 7/14 Revolving 400 402 400 402 Yes No N.P.
Steele Creek CLO 2015-1 4/15 Revolving 350 351 350 351 Yes No N.P.
Total 750 750 750 753
a
Moelis Asset Management
Moelis Capital Partners Collegium Global Partners Gracie Asset Management
Freeport Steele Creek Chamonix Partners Capital

Financial Investment Management Management LLC
Steele Creek Investment Management 323

The Fitch View
Key Considerations
●● Experience of senior portfolio managers (PMs) Duffy and Stouffer, who together average more
than 25 years’ industry experience in the loan market and have both had extensive experience
managing CLOs.
●● Benefits from resources and commitment of parent with substantial scale (MAM).
●● Key man risk tied to Duffy and Stouffer in terms of maintaining growth and execution of the CLO
business.
Company
●● Steele Creek is led by Duffy (26 years’ industry experience, including 16 years’ CLO experience),
who was formerly head of research and trading at Columbus Nova, and Stouffer (28 years’
industry experience, including 13 years’ CLO experience).
●● MAM has made both resource and financial commitments to Steele Creek. The resource
commitment involves the provision of certain types of services, such as finance, accounting,
legal, compliance, operations and information technology support, and the financial commitment
consists of both CLO equity co-investment and working capital.
●● In addition to PMs, the CLOs are supported by five credit analysts with industry experience
ranging from seven to 22 years, including buy-side, CLO-specific experience ranging from six to
eight years.
●● In response to risk retention, MAM and Steele Creek raised Moelis Steele Creek Opportunity
Fund to invest in Steele Creek CLOs and warehouses.
Investments
●● As a buy-and-hold manager, Steele Creek constructs portfolios based on bottom-up fundamental
analysis and selectively choosing the top performers on a relative basis across all sectors.
●● Industry factors are considered in both underwriting and portfolio construction, and are used to
determine the relative weighting of positions in CLOs. A 0.50%–0.75% exposure per issuer is
typically targeted.
●● As part of the investment committee process, Steele Creek utilizes a proprietary credit rating
system that independently assesses and quantifies each issue.
●● The investment committee consists of three senior investment professionals who together
average 27 years of investment experience.
Controls
●● Daily credit risk monitoring process supported by appropriate portfolio management framework.
●● Multiple levels of review and oversight, including review of risk rules by compliance team, trustee
review, rating agency reviews and weekly portfolio reviews.
●● Portfolio management and credit analysis are conducted in-house, supplemented by the use of
third-party analytical resources, including Wall Street Office (WSO).
Operations
●● Investor reporting is available on a password-protected website and is transparent, providing
pertinent deal documents, trustee reports, commentary, waterfall history and various portfolio
statistics.
S ●● Strong compliance program and culture in place, including formal front-to-back-office work flows
that are integrated into the proprietary Compass system.
●● Steele Creek performs both pre- and post-trade compliance testing on all investments.
●● Adequate back- and middle-office resources ensure efficient and appropriate management of
CLOs and industry-standard controls.
Technology
●● Flexible platform based on a combination of proprietary analytics and third-party administration
systems, including widely accepted industry systems such as Bloomberg and WSO.
●● Proprietary front-end portfolio management system, Compass, is tailored to CLO management. It
provides positions in real time, as well as portfolio attribution analysis, and acts as the trade order
management system.
●● Business continuity plan is appropriate and tested annually as necessary.
324 Steele Creek Investment Management

Symphony Asset Management LLC
Symphony Asset Management LLC (Symphony) is a San Francisco-based alternative
asset manager. Symphony was founded in 1994 as a joint venture with Barra Inc. and
executives from Wells Fargo Nikko (now GBI); it was subsequently acquired by Nuveen
Investments, Inc. (Nuveen) in 2001. As of Dec. 31, 2015, Symphony had assets under
management (AUM) of $16.6 billion, approximately a third of which related to its CLO
vehicles.
Manager Profile
Address 555 California Street, Suite 3100, San Francisco, CA
94104, U.S.
Website www.symphonyasset.com
Year Founded 1994
Ownership Structure Indirect subsidiary of Nuveen Investments, Inc.
Direct Parent(s) Nuveen Investments, Inc.
Investment Profile
Global Firm
No. of Employees 86
AUM $16.6 Bil.

No. of Employees 22
AUM $13.3 Bil.
European Loans Managed via CLOs N.A. S

Overall Self-Described Risk Retention Strategy Not applicable
Symphony Asset Management LLC 325


($ Bil.)
20
15
10
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Convertible
Bonds & Equity CLOs Asia Other
7.0% 0.4% Europe 3.8% 1.3%
High 6.2%
Yield
Bonds
12.3%
Syndicated
Loans
80.2%
U.S.
Note: High yield bond bucket may include some investment grade 88.7%
bonds.

Managed
Supranational/ Other
Accounts
SWF 7.7%
4.5%
3.5%
Insurance
8.8%
CLOs
37.0% Pension/ Subadvised
Managed
Retirement 38.9%
Funds
14.5%
58.5%
Banks
26.5%
S SWF – Sovereign wealth fund.
Source: Symphony Asset Management LLC.
U.S. CLO Credit Committee

Experience (Years)
Gunther Stein CIO and CEO CIO and CEO 16 31

Himani Trivedi Co-Portfolio Manager Lead CLO Portfolio Manager 11 18
326 Symphony Asset Management LLC

Portfolio Issue
Symphony CLO I, Ltd. 11/05 Called 400 0 413 0 No No N.P.
Symphony CLO II, Ltd. 11/06 Amortizing 400 326 413 327 No No N.P.
Symphony CLO III, Ltd. 3/07 Amortizing 400 295 410 295 No No N.P.
Symphony CLO IV, Ltd. 8/07 Amortizing 401 268 413 268 No No N.P.
Symphony CLO V, Ltd. 12/07 Revolving 409 403 408 397 No No N.P.
Symphony CLO VI, Ltd. 8/08 Called 400 0 385 0 No No N.P.
Symphony CLO VII, Ltd. 6/11 Amortizing 550 333 553 336 No No N.P.
Symphony CLO VIII, LP 1/12 Revolving 375 376 389 383 Yes No N.P.
Symphony CLO IX, LP 5/12 Revolving 600 600 618 614 No No N.P.
Symphony CLO X, Ltd. 8/12 Revolving 400 407 418 415 Yes No N.P.
Symphony CLO XI, LP 2/13 Revolving 800 812 828 828 No No N.P.
Symphony CLO XII, Ltd. 10/13 Revolving 800 805 833 833 No No N.P.
Symphony CLO XIV, Ltd. 5/14 Revolving 800 798 838 833 Yes No N.P.
Symphony CLO XV, Ltd. 11/14 Revolving 600 600 623 623 Yes No N.P.
Symphony CLO XVI, Ltd. 7/15 Revolving 400 400 411 411 Yes No N.P.
Total 7,735 6,423 7,951 6,561
a
Nuveen
Investments
Nuveen Affiliates
Santa Barbara
Nuveen Asset
Asset Winslow Capital
Management
Management
S
Symphony Tradewinds
NWQ Gresham
Asset Management Global Investors
Symphony Asset Management LLC 327

The Fitch View
Key Considerations
●● Extensive experience of investment teams and continuity of processes in CLO management.
●● Affiliation with Nuveen affords Symphony support in terms of resources and reputation.
●● Maintaining stability among key staff and preserving talent pool amid increasing industry
competition are ongoing challenges.
Company
●● Symphony is an active trader in the CLO industry, having successfully brought 18 CLOs to market
since 2005.
●● Senior members of Symphony’s credit team have worked together for more than a decade and
average 18 years of experience.
●● Symphony employs 86 professionals, including a loan team of 22 individuals and a senior
management team led by Gunther Stein, CEO and CIO, and Anne Popkin, president.
●● Sound governance and control structure, with additional compliance oversight by parent company.
Investments
●● Daily investment committee process to prescreen potential credit opportunities and discuss
changes in existing investments.
●● Well-defined, consistently implemented investment philosophy supported by research, analysis
and structured investment selection processes.
●● Two-step credit selection process comprising a prescreening phase and a formal credit committee
phase. Process ensures full due diligence and in-depth credit risk review.
●● Disciplined, committee-based process, with portfolio managers (PMs) taking final investment
responsibility.
Controls
●● Underwriting includes a macroeconomic view as well as a fundamental bottom-up investment and
valuation analysis, with emphasis on liquidity, asset coverage and the minimization of downside
risk.
●● Active communication between analysts and portfolio management through daily team meetings
covering market trends, earnings reports, headline news, trading ideas and rating changes for
individual investments.
●● Clearly articulated and balanced investment process, which increases accountability of PMs and
designated asset class experts.
●● Stable portfolio management process, coupled with an independent risk monitoring committee.
●● Presence of a workout specialist, complemented by knowledge and experience of senior
management and analysts.
Operations
●● Proficient administration supported by robust systems and procedures.
●● Symphony is an active trader, resulting in efficient trade settlement, which reduces negative carry
S and allows for rapid cash balance reconciliation.
●● Symphony fully manages the investment process, ensuring tight oversight and coordination of
third-party relationships, including with Nuveen.
●● Proprietary system ensuring accurate weekly cash reconciliation of securities trustee and
third-party data sources.
Technology
●● Symphony’s proprietary CDO-specific tools/systems enable it to efficiently model indenture
requirements, analyze trades, manage CDO compliance, provide enhanced management/investor
reporting and reconcile trustee’s accounting.
●● Investor reporting is accessible through a password-protected website (www.symphonyasset.
com) and includes monthly trustee reports, deal documents and surveillance reports.
●● Vast centralization of portfolio and third-party data in proprietary data warehouse.
●● Blend of third-party and proprietary systems used, including Wall Street Office and Advent/Geneva.
328 Symphony Asset Management LLC

THL Credit Senior Loan Strategies LLC
THL Credit Senior Loan Strategies LLC (THL Credit SLS) invests in the non-investment-
grade credit market — particularly in syndicated bank loans and high-yield bonds — via
CLOs, separate accounts and commingled funds. THL Credit SLS, which is part of THL
Credit Advisors LLC, was previously a wholly owned subsidiary of McDonnell Investment
Management, LLC, where, as the alternative credit strategies group, it provided investment
management services. As of Dec. 31, 2015, THL Credit SLS had approximately $5.6 billion
in assets under management (AUM).
Manager Profile
Address 227 West Monroe Street, Suite 3200, Chicago, IL 60606, U.S.
Website www.thlcredit.com
Year Founded 2012
Parent(s) THL Credit Advisors LLC
Thomas H. Lee Partners L.P.
Investment Profile
Global Firm
No. of Employees 60
AUM $5.6 Bil.a
Tradable Credit Platform Only

No. of Employees 30
AUM N.P.
a
THL Credit SLS only. N.A. – Not applicable. N.P. – Not provided. T

THL Credit Senior Loan Strategies LLC 329

Tradable Credit Platform Assets Under Management (As of Dec. 31, 2015)
Tradable Credit Platform Assets Under Management

($ Bil.)
6
5
4
3
2
1
0
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Managed
Funds
6.6%
Managed
Accounts
21.2%
U.S.
CLOs
100.0%
72.2%
Source: THL Credit Senior Loan Strategies LLC.
330 THL Credit Senior Loan Strategies LLC

Experience (Years)
Jim Fellows Managing Director Co-Head/Senior Portfolio Manager 12 (9) 28
Brian Good Managing Director Co-Head/Senior Portfolio Manager 12 (9) 28

Robert Hickey Managing Director Senior Portfolio Manager 12 (9) 29
Brian Murphy Managing Director Senior Portfolio Manager 12 (9) 25
Steve Krull Managing Director Senior Portfolio Manager/Head Trader 12 (9) 18
Michael Herzig Managing Director Head of Business Development 8 (5) 26
a
Number in parentheses represents years of company experience at McDonnell Investment Management, LLC.
Portfolio Issue
Wind River I 12/04 Matured N.A. 1 512 512 No No No
Wind River II 9/05 Matured N.A. 1 559 559 No No No
Gannet Peak CLO 10/06 Matured N.A. 2 618 618 No No No
Wind River 2012-I 12/12 Revolving N.A. 506 514 514 No No No
Wind River 2013-I 4/13 Revolving N.A. 452 467 467 No No No
Wind River 2013-II 11/13 Revolving N.A. 433 447 447 No No No
Wind River 2014-I 5/14 Revolving N.A. 602 620 620 Yes No No
Wind River 2014-II 8/14 Revolving N.A. 621 643 643 Yes No Yes
Wind River 2014-III 12/14 Revolving N.A. 401 409 409 Yes No Yes
Wind River 2015-I 6/15 Revolving N.A. 605 617 617 Yes No Yes
Wind River 2015-II 9/15 Revolving N.A. 437 448 448 Yes No Yes
Total N.A. 4,061 5,853 5,853
a

THL Credit Advisors LLC
Direct Lending Senior Loan Strategies

Middle-market sponsored/unsponsored Senior loans and other high-yielding
non-investment-grade debt credit products
NASDAQ: TCRD
Business Development Company CLO Management
April 2010 IPO
Institutional Investor Institutional Funds/

Vehicles/Separate Accounts Separate Accounts
NYSE: TSLF
Closed-End Fund
Note: THL Credit Advisors LLC is the subadvisor of THL Credit Senior Loan Fund (NYSE: TSLF), which launched in
September 2013.

The Fitch View
Key Considerations
●● Highly experienced senior team that has been managing CLOs for over 14 years.
●● Strong performance track record in long-only bank loans and CLOs. None of the firm’s issued
CLO debt or equity tranches has experienced periodic payment disruption.
●● Initiatives designed to automate and streamline the data gathering, reconciliation and reporting
processes will be necessary for the technology platform to remain competitive.
Company
●● THL Credit Advisors LLC manages public and private vehicles, with approximately $5.6 billion in
AUM through its two primary business lines: direct middle-market lending and broadly syndicated
bank loans.
●● The CLO platform, referred to as tradable credit, currently manages eight CLOs. The core senior
management team in place has issued nine CLOs in total while at THL Credit SLS and previous
organizations.
●● Companywide, senior managers have solid backgrounds, averaging 25 years of industry
experience in bank loan investing and risk management.
●● Low staff turnover; core senior management team has worked together for over 15 years.
Investments
●● Good access to collateral facilitated by THL Credit SLS’s wider distribution networks with arranging
banks and senior managers’ long-standing relationships with key industry players.
●● Investment thesis is to invest in businesses at attractive valuations in various market environments.
Value-oriented credit research with proactive approach to trading.
●● Loan analysis includes a review of the overall business, focusing on market sector, management
team, financials and the transaction structure.
●● A six-member investment committee meets daily, and more detailed portfolio reviews are held
weekly.
●● Experienced portfolio managers (PMs) with solid level of support, including 12 dedicated credit
analysts, organized by industry, and 11 members in operations and support roles. High level of
workout and restructuring experience within THL Credit SLS.
Controls
●● THL Credit SLS has an adequate and well-defined control structure commensurate with the size
of its operations.
●● Two staff members dedicated to general compliance for legal/regulatory portfolio guidelines,
plus two additional staff members dedicated to monitoring daily compliance with CLO investment
parameters.
●● Rigidly followed sell rules in place and continuously monitored for possible portfolio action.
Proactive credit and portfolio management style.
●● Policies and procedures in place to address any potential conflicts and regulatory, legal and
contractual requirements across the company’s various business lines.
Operations
●● Straight-through processing for most portfolios/instruments, with daily reconciliation.
●● Wall Street Office (WSO) used as the core CLO administration system, facilitating collateral
administration and compliance monitoring.
●● Standard trustee reporting, in addition to manager market commentary, is provided to investors.
T
PMs are available to discuss queries with investors.
●● Established relationships with the various administrators and trustees utilized.
Technology
●● A third party, Eze Castle, is used for IT support and maintenance. In addition, there is one in-
house IT staff member for programming needs for third-party systems such as WSO, Intex and
various data feeds.
●● Proprietary scoring model integrated with Bloomberg Analytics provides team with comprehensive
database capable of performing multivariate simulations of events that negatively affect a business
or industry.

T

Tikehau Capital Europe Limited
Tikehau Capital Europe Limited (TCEL) is a 100% owned subsidiary of Tikehau Capital Advisors,
the holding company of the Tikehau Group (Tikehau), and is responsible for Tikehau’s CLO
management activities. Established in 2004, Tikehau is an independent principal investment and
asset management firm, 84% owned by the partners and staff with strategic, minority investments
by UniCredit S.p.A., Amundi Group and Crédit Mutuel Arkéa at holding and/or operating company
levels. Tikehau had total assets under management (AUM) of approximately €7.4 billion as of
Dec. 31, 2015, invested in private equity, fixed income (including secured loans, direct lending, and
high-yield and investment-grade bonds), public equities and real estate. Tikehau has been managing
credit, including senior-secured loans, since 2007 through the various funds of its subsidiary, Tikehau
Investment Management.
Manager Profile
Address 111 Old Broad Street, London EC2N 1AP, U.K.
Website www.tikehaucapital.com
Year Founded 2014
Tikehau Capital Advisors
Parent(s) Tikehau Capital Partners
Tikehau Investment Management
Key Affiliate(s) Tikehau Investment Limited
Investment Profile
Global Firm
AUM €7.4 Bil.

No. of Employees Nine
AUM €1.1 Bil.
European CLOs (No./AUM) One/€0.4 Bil
a

(€ Bil.)
T
8
7
6
5
4
3
2
1
0
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Source: Tikehau Capital Europe Limited.
Tikehau Capital Europe Limited 335

Real Estate
(Equity) U.S. Other
Equities & 9.3% 2.4% 1.1%
Private Debt
Private Equity 24.2%
11.2%
Broadly
Syndicated Principal
Loans Investments
13.4% 16.6%
Investment Grade
High Yield Europe
Bonds
Bonds 96.5%
12.1%
13.2%

Managed Accounts
Private
CLOs 8.5%
Investors
4.8% 30.8%
Other Institutional
25.0% Investors
69.2%
Managed Funds
61.7%
Note: Private investors includes family office, Group
Tikehau, distributors and private banks.
Source: Tikehau Capital Europe Limited.
336 Tikehau Capital Europe Limited

Experience (Years)
Debra Anderson Head of CLO Business Senior Portfolio Manager 2 29
Mathieu Chabran CIO/Co-Founder Chairman of Investment Committee 12 18
Jean Pierre Mustier Senior Partner Senior Partner 1 30
Rodolfo Caceres Head of Credit Research Chairman of Credit Committee 8 16
Alison Goold Fund Manager Portfolio Manager 1 25
Portfolio Issue
Tikehau CLO B.V. 7/15 Revolving 340 340 354 354 Yes Yes
Total 340 340 354 354

Amundi Asset Founders and

Crédit Mutuel Arkéa UniCredit
Management Management
Tikehau Capital Advisors
Tikehau Capital Partners
Tikehau Investment
Salvepar
Management
Tikehau Investment
Tikehau Capital Europe
Management Asia

The Fitch View
Key Considerations
●● Strategic partnerships with and investment by large financial services groups.
●● First CLO launched in 2015, but depth of CLO management experience of lead CLO portfolio
manager (PM).
●● Principal investment capability with sufficient capital to support the issuance of multiple CLOs.
●● Maintaining market access/allocations is a challenge, mitigated by the presence of dedicated deal
origination staff and Tikehau’s activities in other sectors.
●● Potential reliance on the lead PM and credit research analysts focused on loans, mitigated by a
second CLO PM recruited in July 2015 and support from the broader network of analysts around
the group.
Company
●● CLOs are an important part of the group’s strategy, notably in terms of further expanding Tikehau’s
coverage of the credit space and further diversifying its investor base. The group has allocated
sufficient capital to the CLO business to support large risk retention stakes and the issuance of
multiple CLOs.
●● The CLO PM is Debra Anderson, who has 28 years’ experience, most recently at GSO/Blackstone.
●● Tikehau has set a maximum of 20–25 loans per analyst, or 40–45 high-yield bond issuers.
Investments
●● The investment process involves two stages, an initial screening phase followed by detailed due
diligence. The approach emphasizes fundamental, bottom-up credit analysis.
●● The process begins with a screening stage, which aims to filter out unsuitable transactions and is
documented in a one-page memo.
●● The second-stage credit committee memo is standardized, typically 10–15 pages long with
summary details, financials, key credit highlights and risks and a clear recommendation. The
memo also provides additional supporting materials along with model analysis (base, flat and
stress cases).
●● Investment approvals at committees are unanimous, with the credit committee resulting in a binary
decision (buy/do not buy) and the investment committee determining maximum investment size.
●● Monitoring is ongoing, effected by the credit analyst based on a monthly/quarterly review of issuer
data and the use of simple internal ratings.
●● Tikehau will determine its involvement in workouts on a case-by-case basis.
Controls
●● Tikehau is regulated by multiple entities, notably the AMF and FCA, among others.
●● An independent risk management function reports to the board.
●● Tikehau maintains walls of separation between its private debt investment business and other
parts of the firm. Public/private status and the management of related information are overseen
by compliance. Tikehau is public only if it invests in a public security, such as high-yield bonds.
●● Tikehau has a compliance function comprising three dedicated staff members in France. TCEL has
a dedicated compliance officer who is supported by an external compliance consultant.
Operations
●● CLO administration and loan administration are based on Wall Street Office (WSO). The function
T
is outsourced to Markit Partners under a service-level agreement. TCEL maintains in-house
oversight and controls.
●● Cash and positions are reconciled daily. CLO compliance testing effected via WSO. Trading is
effected by the PMs.
Technology
●● Tikehau’s IT environment is scalable and well integrated, comprising multiple third-party tools.
●● The main CLO management system is WSO.
●● Loan price data are sourced from Markit and Thomson Reuters.
●● A robust business continuity and disaster recovery plan is in place and regularly tested.

T

Triumph Capital Advisors, LLC
Triumph Capital Advisors, LLC (TCA) is a Dallas-based investment management firm that
was established in 2013. The firm focuses on credit investments, with an emphasis on
senior-secured bank loans. As of Dec. 31, 2015, Triumph had $2.2 billion in assets under
management (AUM), approximately 84% of which was managed through five CLOs.
Manager Profile
Address 12700 Park Central Drive, Suite 1700, Dallas, TX 75206, U.S.
Website www.triumphbancorp.com/capital-advisors/
Year Founded 2013
Ownership Structure CLO-focused subsidiary of bank holding company
Parent(s) Triumph Bancorp, Inc.
Investment Profile
Global Firm
No. of Employees 15
AUM $2.2 Bil.

No. of Employees 15
AUM $2.2 Bil.
Preferred Form of Interest Horizontal interests T

Preferred Structure New manager as sponsor (U.S. CLOs only)
Overall Self-Described Risk Retention Strategy Capitalized manager vehicle (CMV)
Triumph Capital Advisors, LLC 341


($ Bil.)
2.5
2.0
1.5
1.0
0.5
0.0
2013 2014 2015
U.S.
Syndicated
100.0%
Loans
100.0%
Other Other
15.9% 15.9%
CLOs CLO
84.1% Investors
84.1%
T
Source: Triumph Capital Advisors, LLC.
342 Triumph Capital Advisors, LLC

Experience (Years)
Gibran Mahmud Senior Managing Director Chief Investment Officer 3 18
Davis Deadman Senior Managing Director Credit Committee Member 3 22
Kurt Plumer Managing Director Credit Committee Member 3 24

Portfolio Issue
Doral CLO II Ltd. b
3/12 Amortizing N.P. 330 416 344 Yes No No
Doral CLO III Ltd.b 12/12 Amortizing N.P. 302 311 311 No No No
Trinitas CLO I, Ltd. 3/14 Revolving 391 390 395 395 Yes No No
Trinitas CLO II, Ltd. 6/14 Revolving 400 397 413 413 Yes No No
Trinitas CLO III, Ltd. 5/15 Revolving 400 400 405 405 Yes No No
Total 1,191 1,820 1,940 1,868
a
Anticipated U.S. Risk Retention compliant. bDoral CLO II Ltd. and Doral CLO III Ltd. were acquired from Doral Money
Inc. in March 2015. N.P. – Not provided. Note: Numbers may not add due to rounding.
Triumph
Bancorp
Triumph Triumph
TBK Bank
Capital Advisors CRA Holdings
Triumph
Commercial Finance
T
Triumph
Business Capital
Triumph Capital Advisors, LLC 343

The Fitch View
Key Considerations
●● Support from large well-capitalized parent company, Triumph Bancorp, providing significant
operational and financial support.
●● Senior managers of CLO team have deep experience together managing CLOs prior to the
formation of TCA.
●● Key man risk remains an ongoing challenge given the responsibilities of three leading members
of the CLO team.
Company
●● Senior leadership has extensive experience managing broadly syndicated loans and CLOs and
has longevity as a team that pre-dates TCA, having worked together since 1999. Prior CLO
experience includes structuring and managing over 30 CLOs (more than $28 billion in assets).
●● The CLO team comprises eight investment/credit professionals with operational and compliance
and legal oversight personnel. Overall, the credit research team has long-term credit experience.
●● TCA benefits from shared resources of the parent company such as compliance, IT, HR and
accounting.
●● TCA is run as an independent asset manager, formulating and executing all investment strategies
with minimal oversight from the parent company.
Investments
●● The investment style is to focus on broadly syndicated senior-secured bank loans through bottom-
up fundamental credit analysis. Active management of the portfolio is expected during loan pricing
volatility. Overall, the investment strategy is conservative credit selection focusing on scenario
analysis of default probabilities and losses given default.
●● The credit research team is divided into sector specialization, with each analyst actively covering
approximately 25–30 credits.
●● The investment team conducts formal daily credit and trading meetings.
●● Monthly watchlist meetings are held to review market trend information and relative value of
holdings compared with the market as an overlay to the fundamental credit work.
Controls
●● Each CLO indenture is analyzed to create a customized compliance module facilitating all relevant
tests. All portfolio information is stored centrally, and portfolio analytics are performed through a
web-based tool.
●● Hypothetical trades are performed in-house to view the effects of buy or sell recommendations
on indenture tests.
●● The investment team maintains internal, formalized concentration limits for obligor, industry and
asset class.
●● Each investment goes through a document review by the chief investment officer and head of
operations.
Operations
●● The operations team is responsible for hypothetical testing, reconciliation of internal accounting to
the trustee daily and monitoring of CLO performance.
T ●● Markit Wall Street Office (WSO) is used to monitor collateral quality, concentration limits and other
indenture tests. The trustee utilizes CDO Suite to monitor indenture compliance.
●● TCA is building out a proprietary order management system that will assist with loan trades and
portfolio surveillance.
●● Some middle-office functions are outsourced, including loan administration and settlement
(handled by Markit).
Technology
●● TCA utilizes best-in-class systems, including WSO Web and CDO Suite.
●● Business continuity plan is appropriate and tested. All employees have the ability to work remotely,
and the firm also has physical backup office space. Nightly server backups and cloud-based
access ensure continuation during disaster scenario.
344 Triumph Capital Advisors, LLC

Valcour Capital Management LLC
Valcour Capital Management LLC (Valcour) is a Stamford, CT-based specialist credit
manager that was founded in 2009. The co-founders and senior portfolio managers (PMs)
all previously worked together at Aladdin Capital Management. As of Dec. 31, 2015, Valcour
had assets under management (AUM) of $953 million, approximately 95% of which was
invested in syndicated loans.
Manager Profile
Address 201 Broad Street, 8th Floor, Stamford, CT 06901, U.S.
Website www.valcourcapital.com
Year Founded 2009
Parent(s) Valcour Capital Holdings LLC
Investment Profile
Global Firm
No. of Employees 11
AUM $953 Mil.

AUM $905 Mil.
U.S. CLOs (No./AUM) Three/$863 Mil.
N.P. – Not provided. N.A. – Not applicable.

Overall Self-Described Risk Retention Strategy Valcour currently has a majority-controlled affiliate with
capital sufficient to fund significant future growth and meet
V
risk retention requirements for that growth.
Valcour Capital Management LLC 345


($ Bil.)
1.0
0.8
0.6
0.4
0.2
0.0
2010 2011 2012 2013 2014 2015

Other
Structured
Products
5.1%
Syndicated U.S.
Loans 100.0%
94.9%

Managed
Funds
6.4%
Managed
Accounts
3.1%
CLOs
90.5%
Source: Valcour Capital Management LLC.
346 Valcour Capital Management LLC

Experience (Years)
George Marshman Managing Partner Portfolio Manager 7 26
Joseph Schlim Managing Partner Portfolio Manager 7 22
John J. D’Angelo Partner Senior Portfolio Manager 4 26
Paul Arzouian Senior Credit Analyst Credit Analyst 3 28
Alyse Kelly Senior Credit Analyst Credit Analyst 4 18
Todd Murray Senior Credit Analyst Credit Analyst 4 18
William Streeter Senior Credit Analyst Credit Analyst 2 16
Brandon Warner Senior Credit Analyst Credit Analyst 5 9
Portfolio Issue
Crown Point CLO 10/12 Amortizing 250 212 250 205 No No No
Crown Point CLO II 11/13 Revolving 260 251 260 260 No Yes Yes
Crown Point CLO III 3/15 Revolving 400 400 416 416 Yes Yes Yes
Total 1,025 1,038 1,053 1,053
a
Valcour Capital Holdings LLC
100%
Valcour Capital Management LLC

Valcour Capital Management LLC 347

The Fitch View
Key Considerations
●● Senior PMs’ depth and breadth of experience managing bank loans and CLOs. They average
20 years’ relevant investment experience, and most recently all core members were at Aladdin
Capital Management.
●● Solid financial condition and profitability with one credit opportunities fund and three existing
CLOs. Firm’s legal structure and existing capital lend themselves well to issuing risk
retention-compliant CLOs.
●● Key man risk exposure to managing partners and credit research team, although compensation
structure is geared for retention of key personnel. This challenge is partly mitigated due to
significant personal capital and/or equity investments in the business and CLOs.
Company
●● With 11 employees, Stamford-based Valcour has been a registered investment advisor and a
specialist in the leveraged loan market since it was established in 2009.
●● Valcour is 90% employee-owned with the remaining 10% held by a long-term strategic investor.
●● Valcour currently manages three CLOs and a credit opportunity fund.
●● Four dedicated credit analysts are sector generalists and focus on idea generation and credit and
economic research.
●● Flat organizational structure allows for flow of information and ideas between credit analysts and
PMs, resulting in efficient execution.
●● Valcour owns all of the equity in its CLOs.
Investments
●● Portfolios are managed with a “buy-and-hold” philosophy driven by bottom-up credit analysis and
augmented by relative value and market trend considerations.
●● Credit selection process is focused on issuers with substantial asset values, operating in
businesses with high barriers to entry and sustainable competitive advantages.
●● Credit approval is performed through a disciplined committee-based process in which an analyst
presents to the credit committee. The committee focuses solely on credit through formal credit
write-ups. Key credit considerations are business plan, capital structure and legal framework.
●● Formalized ongoing surveillance process includes maintaining contact with borrowers, updating
sector and industry analysis and comparing actual results with business plans.
Controls
●● Non-alpha-generating operations, including HR, IT and legal, are outsourced to third-party
vendors, including a compliance consulting vendor, Mission Critical.
●● U.S. Bank as shadow trustee provides an additional level of oversight to support accuracy of
●● Valcour has compliance and governance processes in place to support accuracy of trading,
Operations
●● Shadow trustee structure facilitates accurate daily reconciliation of cash and securities.
●● Flexible web- and Excel-based reporting and monitoring from a proprietary monitoring database,
fully integrated to CDO Suite as administration system and Sentry PM compliance.
●● Efficient and scalable trade processing platform.
●● Strong administrative systems are utilized by experienced and stable staff.
Technology
●● Integrated and flexible platform that is based on a combination of proprietary analytics and
V third-party administration systems including widely accepted industry systems such as CDO Suite
and Sentry PM.
●● Business continuity plan is appropriate and tested.
●● Numerous redundancies including Internet, phone system and computer servers.
348 Valcour Capital Management LLC

Voya Investment Management Co. LLC
Voya Investment Management Co. LLC (Voya IM) is a wholly owned (100%) subsidiary of
Voya Financial, Inc. (NYSE: VOYA), a Fortune 500 company. As of Dec. 31, 2015, Voya IM
had assets under management (AUM) of approximately $209 billion; its senior loan group
represented $19.8 billion of that total.
Manager Profile
Address 7337 East Doubletree Ranch Road, Scottsdale, AZ
85258, U.S.
Website www.investments.voya.com
Year Founded 1995 (predecessor entity)
Parent(s) Voya Financial, Inc.
Investment Profile
Global Firm
AUM $209 Bil.

No. of Employees 56
AUM $19.8 Bil.

Overall Self-Described Risk Retention Strategy Voya IM is committed to remaining a top-tier issuer of
CLOs both before and after the implementation of the risk
retention rules. Voya Financial, Inc. (NYSE: VOYA), Voya
IM’s parent company, is a premier retirement, investment
and insurance company serving the financial needs
of approximately 13 million individual and institutional
customers in the U.S. A Fortune 500 company, Voya
Financial had $11 billion in revenue in 2014. The company
had $450 billion in total assets under management and
administration as of Sept. 30, 2015. Voya Financial invests
in CLO securities directly and through its subsidiaries.
Voya Financial has sufficient capacity and approvals to
support its CLO business by making risk retention required
investments for Voya IM’s CLO new issue program on
V
an ongoing basis. Based on current regulation, Voya
Financial intends to provide for risk retention for Voya
IM’s program by affiliate investments utilizing the majority-
owned affiliate provisions of the regulations. Approvals for
investments in either horizontal or vertical strips in Voya
IM-managed CLOs will be determined by Voya IM on a
deal-by-deal basis based on market conditions.
Voya Investment Management Co. LLC 349

Senior Loan Group Assets Under Management (As of Dec. 31, 2015)
Senior Loan Group Assets Under Management
($ Bil.)
20
15
10
0
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Other
2.4%
Europe
24.2%
Syndicated U.S.
Loans 73.5%
100.0%

Other
Managed 7.3% CLO
Accounts Investors
10.2% Managed 43.2%
Funds
39.2%
Other
43.5% Insurance
2.2%
CLOs
43.2% Pension/
Retirement
11.1%
Source: Voya Investment Management Co. LLC.

V
350 Voya Investment Management Co. LLC

Experience (Years)
Daniel A. Norman Managing Director Group Head 24 31
Jeffrey A. Bakalar Managing Director Group Head 18 30

Ralph Bucher Senior Vice President Senior Credit Officer 15 31

Portfolio Issue
Voya CLO I, Ltd. 11/05 Called 384 0 400 0 No No No
Voya CLO II, Ltd. 8/06 Amortizing 481 213 500 215 No No No
Phoenix CLO I, Ltd.b 10/06 Called 393 0 404 0 No No No
Voya CLO III, Ltd. 12/06 Amortizing 489 153 500 173 No No No
Phoenix CLO II, Ltd.c 3/07 Amortizing 650 299 669 315 No No No
Phoenix CLO III, Ltd.d 5/07 Amortizing 490 166 500 182 No No No
Voya CLO IV, Ltd. 6/07 Amortizing 489 350 500 361 No No No
Voya CLO V, Ltd. 8/07 Amortizing 488 340 500 355 No No No
Voya CLO 2011-1, Ltd. 6/11 Called 400 0 410 0 No No No
Voya CLO 2012-1, Ltd. 3/12 Amortizing 350 280 362 290 Yes No No
Voya CLO 2012-2, Ltd. 8/12 Revolving 350 352 362 362 Yes No No
Voya CLO 2013-2, Ltd. 4/13 Revolving 450 451 470 470 No No No
Voya CLO 2013-3, Ltd. 12/13 Revolving 500 502 518 518 No No No
Total 11,309 8,516 11,635 8,781
a
Anticipated U.S. Risk Retention compliant. bFormerly Avenue CLO IV, Ltd. cFormerly Avenue CLO V, Ltd. dFormerly
Avenue CLO VI, Ltd. Note: Numbers may not add due to rounding.
V

Voya Financial, Inc.
Lion CT Holdings
Voya Investment
Management Co. LLC
Voya Investment Management

Alternative Assets LLC
Voya Alternative
Asset Management LLC

The Fitch View
Key Considerations
●● Voya IM has a strong business franchise, a high level of focus on leveraged loans and an
experienced and stable management team.
●● Depth of experience of senior managers providing effective leadership. Stability of management
team, with senior staff having worked together for over 15 years.
●● Voya continues to develop enhanced portfolio management tools to address the more detailed
analysis required for bank loan investments.
Company
●● Voya IM is a leading U.S.-based active asset management firm with over 40 years of experience in
investment management. Voya IM manages CLOs through Voya Alternative Asset Management
LLC, an indirect, wholly owned subsidiary of Voya Financial, Inc.
●● The senior loan group’s investments are focused on the syndicated loan market; the group has
been an active CLO issuer since 2005.
●● Senior management team at the senior loan group averages approximately 28 years of industry
experience and 18 years of working together.
●● During the first quarter of 2010, the senior loan group assumed management of three CLOs
originally managed by Avenue Capital.
Investments
●● The senior loan group’s investment objective is total return oriented with a high-quality bias.
●● The senior loan group follows a robust, seven-stage investment process that targets higher quality
non-investment-grade loans that exhibit attractive relative value within the asset class.
●● More actively traded loans are also targeted to allow for better trade execution in times of stress.
Fundamental credit analysis is relied on to identify value opportunities.
●● Credit analysts are responsible for ongoing surveillance. At the time of initial approval, risk
parameters and surveillance criteria are set for each credit. All credits are reviewed quarterly or
monthly if applicable, and exposure is pared down in the event that there is heightened concern
over a specific credit.
Controls
●● Voya IM provides strong corporate governance oversight. As a subsidiary of Voya Financial, Voya
IM is subject to external audits as applicable to its parent.
●● The senior loan group has a four-member investment compliance team that reports to its head of
treasury and operations. Separately, three members from Voya IM’s compliance department are
assigned to oversee compliance of the senior loan group with all applicable rules, regulations and
investment restrictions, such as prospectuses and indentures.
●● Control objectives are demonstrated by redundancies in the trustee interface reconciliation
process and quarterly checks of all transactions by an external auditor.
Operations
●● The senior loan group is supported by a 22-person operations team focused on trustee, custodian
and analyst support, treasury and settlements, and CLO and fund compliance reporting, among
other areas.
●● CLO cash flows are managed through Wall Street Office (WSO).
●● Standard trustee reporting is provided to investors, and portfolio managers are available for
investor inquiries.
Technology
●● The senior loan group has established a robust proprietary asset management system, Research
Delivery System, for managing loans and CLO portfolios
V
●● Appropriate decision-making tools for risk analysis and investment allocation. Voya IM uses
both widely accepted industry systems and proprietary systems for portfolio management and
administration, including WSO, Markit Loans, Inc./Loan Pricing Corporation, Thomson Financial/
Reuters/Dow Jones Wire, Bloomberg/FactSet and rating agency data feeds and research.
●● Voya IM maintains a working disaster recovery and business continuity plan that includes offsite
working capabilities and definitive time schedules for recovering critical systems.

V

ZAIS Group, LLC
ZAIS Group, LLC (ZAIS) was established in 1997 by Christian Zugel. As of Dec. 31, 2015,
it had approximately $4.157 billion in assets under management (AUM) globally across
corporate credit and mortgage-related specialized credit strategies. ZAIS currently
manages three U.S. CLOs and is warehousing a fourth and fifth.
Manager Profile
Address Two Bridge Avenue, Suite 322, Red Bank, NJ 07701, U.S.
Website www.zaisgroup.com
Year Founded 1997
Parent(s) N.A.
Investment Profile
Global Firm
No. of Employees 95
AUM $4.157 Bil.

No. of Employees 10
No. of Portfolio Managers Onea
AUM $1.0 Bil.
a
Vincent Ingato serves as portfolio manager and managing director for ZAIS’s leveraged finance team. N.A. – Not
applicable.

Overall Self-Described Risk Retention Strategy ZAIS has partnered with a long-term investor in a majority-
owned affiliate structure with capital commitments of
$100 million to issue future risk retention compliant CLOs
beginning with ZAIS CLO 5, Limited.
ZAIS Group, LLC 355 Z

($ Bil.)
6
5
4
3
2
1
0
2013 2014 2015
Note: For holdings from Jan. 1, 2014 forward, ZAIS has revised its methodology for calculating AUM. Management
believes the new methodology, which now includes assets in the warehouse phase for new structured vehicles
and does not treat leverage and other operating liabilities as a reduction of AUM, more clearly reflects the total
assets actively managed by ZAIS. In the above chart, AUM for 2013 is presented on a pro forma basis consistent
with the revised methodology and AUM for 2014 is presented per the revised methodology. Further to the change
in calculation methodology effective Jan. 1, 2014, ZAIS has clarified the AUM calculation for issued structured
vehicles to exclude interest payable to investors, which cannot be managed by ZAIS.
Breakdown by Strategy Type Breakdown by Product Type

Publicly
Structured
Traded Other Managed
Products
REIT 0.2% Account/
7.1%
Predominantly 18.6% Fund of
Mortgage Ones
Strategies 32.1%
Multistrategy 33.4% Master
17.4% Funds
13.9%
Predominantly
Corporate Structured
Strategies Vehicles
42.0% 35.2%

Family
Office
Endowment/ Other
3.2%
Foundation 3.7%
2.9%
Corporate
Public Pension
Pension 46.1%
25.7%
Insurance
Company
18.4%
Note: Certain entities’ values are set as of the last determination date specified in the applicable vehicles’ operative
documents, which date was prior to the year end for which AUM is otherwise reported. Breakdown by investor type
excludes non-fee payer investments, investments in ZAIS Financial Corp. and some structured vehicles where the
investor breakdown is unknown.
Source: ZAIS Group, LLC.
Z 356 ZAIS Group, LLC

Experience (Years)
Leveraged Loan Investment Committee
Vincent Ingato Portfolio Manager Leveraged Finance 3 33
John Doyle Director Leveraged Finance 3 29
Brian O’Leary Director Leveraged Finance 2 33

Portfolio Issue
ZAIS CLO 1, Limited 2/14 Revolving 300 305 310 310 No No No
Total 1,025 1,038 1,053 1,053
a
ZAIS Group Parent, LLC

100%
ZAIS Group, LLC
Other
GP/LP Entities of Managed Vehicles Operating Subsidiaries Other Advisory Entities
Subsidiaries
ZAIS Alternative
ZAIS Value ZAIS Leveraged ZAIS Leveraged
Credit ZAIS ZAIS Group UK ZAIS Conduit,
Added Real Loan Manager, Loan Manager 3,
Management, Solutions, LLC Ltd. LLC
Estate GP, LLC LLC LLC
LLC
SerVertis GP, ZAIS Solutions

ZAIS Leveraged ZAIS Leveraged
ZAIS Atlas LLC 50% owned Shanghai Co.
Loan Manager 2, Loan Manager 2,
GP, LLC by ZAIS Group, Ltd.
LLC LLC
LLC 100% owned by
ZAIS Solutions,
LLC
ZAIS Leveraged ZAIS REIT
ZAIS Atlas Management,
Loan Master
SPV, LLC LLC
Manager, LLC
(managing
member with
controlling
interest)
ZAIS Group, LLC 357 Z

The Fitch View
Key Considerations
●● Not significantly dependent on future CLO issuance to drive profitability at the corporate level,
given ZAIS’s diversified product lineup.
●● Depth and breadth of experience among senior portfolio managers, who average more than 20
years’ relevant investment experience, including CLO team’s strong management history.
●● Key man risk tied to Vincent Ingato for growth and stability of CLO platform and loan AUM.
Company
●● ZAIS has 95 professionals and over 35 investment professionals and is headquartered in Red
Bank, NJ, with an additional office in London.
●● ZAIS products are largely held by institutional investors.
●● ZAIS has a diversified investment platform; strategies include mortgage, corporate and
multistrategy.
●● The leveraged finance team is led by Ingato, a seasoned professional who previously established
the CLO businesses at ACA Capital and Mountain Capital Advisors/Mizuho Bank.
Investments
●● Active portfolio management, with a focus on strong businesses with significant cash flow
generation and sustainable capital structures. Fundamental credit research used to maintain core
objective of principal preservation and prevention of downside scenarios.
●● Potential investments are initially screened to comply with overarching strategy, after which
analysts are assigned to perform an in-depth analysis on each credit.
●● The core of the leveraged loan investment committee, whose function it is to oversee credit
selection, approval and construction, consists of three senior individuals with an average of 30
years’ industry experience.
●● Proprietary credit selection tools assist analysts in generating an internal credit rating. Criteria
include analysis of business risk (industry fundamentals, management track record), financial
structure (leverage, capital structure, ratios and historical performance) and loan structure
(collateral terms, covenants, recovery analysis and intercreditor issues).
Controls
●● Robust internal controls to support compliance and risk management, including various standing
committees (valuation, investment and disclosure).
●● Quarterly portfolio reviews in which analysts produce written reports to substantiate their
investment thesis for each of the credits for which they are responsible.
●● ZAIS has policies and processes in place to support the accuracy of trading, portfolio management
and administration functions.
Operations
●● Administrative capabilities reflect qualified staff interacting with appropriate systems and
processes.
●● Trade settlement and loan processing performed by Wall Street Office (WSO), providing additional
independent oversight.
●● Investor reporting includes an external website that houses historical deal information, transaction
documents and quarterly investor newsletters, as well as collateral market value analysis and
customizable scenario analysis.
Technology
●● Proprietary integrated analytics platform that includes a private database of corporate CDO and
RMBS structures.
●● ZAIS uses both industry-standard third-party systems, including, but not limited to, Black Mountain,
Bloomberg and WSO, and proprietary systems for portfolio management.
Z 358 ZAIS Group, LLC

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CLO Asset Manager Handbook

April 2016 | Fifth Edition

Fund and Asset Manager Ratings

Alastair Sewell Russ Thomas

Kevin Kendra Matthias Neugebauer Derek Miller

Business and Relationship Management

Jill Zelter Andrew Cormack Winnie Fong, CFA

CLO Asset Manager Handbook i

CLO Asset Manager Handbook iii

Leveraged Loans Only

U.S. CLO Risk Retention Strategy

Preferred Form of Interest Varying on a deal-by-deal basis

3i Debt Management Group 5

Breakdown by Asset Type Breakdown by Region

Breakdown by Product Type Breakdown by Investor Type

Source: 3i Debt Management Group.

6 3i Debt Management Group

European Credit Committee

U.S. CLOs Under Management

3i Debt Management Group 7

3iDM US 3iDM Europe

8 3i Debt Management Group

3i Debt Management Group 9

10 3i Debt Management Group

Leveraged Loans Only

Preferred Form of Interest Horizontal interests

40|86 Advisors, Inc. 11

Breakdown by Asset Type Breakdown by Region

Breakdown by Product Type Breakdown by Investor Type

Source: 40|86 Advisors, Inc.

12 40|86 Advisors, Inc.

U.S. CLOs Under Management

CNO Financial Group

40|86 Advisors CreekSource

Washington Bankers Life and Colonial Penn Life

40|86 Advisors, Inc. 13

14 40|86 Advisors, Inc.

Leveraged Loans Only

Preferred Form of Interest Vertical interests

Global Assets Under Management

Breakdown by Asset Type Breakdown by Region

High Yield U.S.

Breakdown by Product Type Breakdown by Investor Type

U.S. Credit Committee

U.S. CLOs Under Management

100% 100% 100%

Ownership Structure Multistrategy asset management firm

Leveraged Loans Only

U.S. CLO Risk Retention Strategy

Preferred Form of Interest Not provided

Allianz Global Investors 21

Global Assets Under Management

Breakdown by Asset Type Breakdown by Region

Breakdown by Product Type Breakdown by Investor Type

Source: Allianz Global Investors.

22 Allianz Global Investors

U.S. CLOs Under Management

Allianz Global Investors 23