contego clo ii b.v. as of: 03-aug-17 current payment: 15 ... · par value tests detail 9 ......

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Contego CLO II B.V. As Of:Current Payment:

03-Aug-1715-Aug-1715-May-17

Payment Date Report

Prior Payment:Next Payment: 15-Nov-17

CDO Trust Serviceswww.usbank.com/cdo

Nilesh Halaria+44(0) 207 330 [email protected]

Electronic Reports

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

Payment Data File Name:

CONT1401

Account SummaryCONT1401_20170803_D_1.CSV

Transaction DetailCONT1401_20170803_D_2.CSV

Test HistoryCONT1401_20170803_D_3.CSV

Asset DetailCONT1401_20170803_D_4.CSV

SIFMACONT1401_20170803_SIFMA.XML

Relevant Dates

Issue Date: 05-Nov-14

Effective Date: 04-Mar-15

First Payment Date: 15-May-15

Reinvestment Period End Date: 15-Nov-18

Maturity Date: 16-Nov-26

Compliance Information Pages

Summary 2

Account Summary 3

Distribution Summary 4

Distribution Detail - Post Acceleration 5 - 6

Portfolio Profile Tests Summary 7

Coverage and Collateral Quality Tests Summary 8

Par Value Tests Detail 9

Interest Coverage Tests Detail 10

Coverage Tests History - Part I 11

Coverage Tests History - Part II 12

Coverage Tests History - Part III 13

Coverage Tests History - Part IV 14

Collateral Quality Tests History - Part I 15

Collateral Quality Tests History - Part II 16

Collateral Quality Tests History - Part III 17

New Notes Issuance 18

Asset Detail Information Pages

Assets Purchased 19

Assets Sold 20

Current Asset Characteristics - Part I 21 - 23

Current Asset Characteristics - Part II 24 - 26

Current Asset Characteristics - Part III 27 - 29

Fitch CCC Obligations 30

Moody's Caa Obligations 31

Defaulted Obligations and Deferring Securities 32

Discount and Swapped Non-Discount Obligations 33

Collateral Enhancement Obligations and Exchanged Equity Securities

34

Participation Information 35

Restructured Obligations - Additions 36

Restructured Obligations - Removals 37

Rating Detail 38 - 39

Rating Change History 40

Rating Change History - Shadow/Private 41

Currency Hedge Transactions 42

Hedge Counterparty Ratings 43

Statistical Information Pages

Stratifications - Countries and Obligors 44

Stratifications - Industries 45

Frequency Switch Event 46

Risk Retention 47

Disclaimer 48

Information is available from the following sources

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

Contact Information

Issuer: Contego CLO II B.V.

Collateral Manager: Five Arrows Managers LLP

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

Payment Date Report - 8/11/2017 7:06:37AM © 2011 U.S. Bancorp

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03-Aug-1715-Aug-17

Summary


Note Information

NoteOriginal

Original CurrentInterest

Moody's Fitch

CouponBalance Balance

(EUR) * CouponIndex Orig OrigCurr Curr

Expected

(EUR)(EUR)

Class A Notes 1.49700% 209,500,000.00 209,500,000.00 519,862.61 -0.32900% 0.97100% Aaa Aaa AAA AAA

Class B Notes 2.29700% 37,600,000.00 37,600,000.00 170,173.42 -0.32900% 1.77100% Aa2 Aa2 AA+ AA+

Class C Notes 2.79700% 24,250,000.00 24,250,000.00 140,738.92 -0.32900% 2.27100% A2 A2 A A

Class D Notes 3.84700% 16,250,000.00 16,250,000.00 137,913.75 -0.32900% 3.32100% Baa2 Baa2 BBB BBB

Class E Notes 5.34700% 23,400,000.00 23,400,000.00 288,295.80 -0.32900% 4.82100% Ba2 Ba2 BB BB

Class F Notes 6.19700% 10,800,000.00 10,800,000.00 156,519.60 -0.32900% 5.67100% B2 B2 B- B-

Subordinated Notes N/A 37,500,000.00 37,500,000.00 N/A N/A N/A NR NR NR NR

Totals: 1,413,504.10 359,300,000.00 359,300,000.00

Asset Positions

Current(EUR)

Prior (EUR)Position Facilities

Curr No. ofFacilities

Prior No. of

90 332,300,840.85 90 333,795,384.29 Secured Senior Loan

- - - - Unsecured Senior Obligation

2 1,398,100.00 2 1,379,400.00 Second Lien Loan

- - - - Mezzanine Obligation

- - - - Warrants

- - - - Common Stock

335,174,784.29 92 333,698,940.85 92Totals:

Test Summary

Test Type Pass Fail N/A

Coverage 10 0 0

Quality 6 2 0

Portfolio Profile 31 0 0

Totals: 47 2 0

Account Balances and Eligible Investments

Current(EUR)

Prior (EUR)Account

13,943,254.65 12,363,918.24 Contego CLO II BV EUR Principal

- - Contego CLO II BV EUR Unused Proceeds AC

12,363,918.24 13,943,254.65 Totals:

* Distributions are currently made on a quarterly basis


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03-Aug-1715-Aug-17

Account Summary


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

EndingBalanceWithdrawlsDeposits

BeginningBalanceAccount

EUR Interest Account 1,829,616.98 966,587.04 86,222.68 2,709,981.34

Counterparty Downgrade Collateral Account 0.00 0.00 0.00 0.00

EUR Principal Account 11,795,559.38 13,513,028.56 17,900,129.30 7,408,458.64

Expense Reserve Account 0.00 0.00 0.00 0.00

First Period Reserve Account 0.00 0.00 0.00 0.00

GBP Interest Account 0.00 58,444.67 58,444.67 0.00

GBP Principal Account 0.00 2,940,000.00 2,940,000.00 0.00

Hedge Termination Account 0.00 0.00 0.00 0.00

Interest Smoothing Account 0.00 0.00 0.00 0.00

Payment Account 0.00 0.00 0.00 0.00

Supplemental Reserve Account 0.00 0.00 0.00 0.00

Unfunded Revolver Reserve Account 0.00 0.00 0.00 0.00

Unused Proceeds Account 0.00 0.00 0.00 0.00

USD Interest Account 53,945.34 35,807.81 89,753.15 0.00

USD Principal Account 2,879,097.95 501,562.50 512,500.00 2,868,160.45


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Distribution Summary


03-Aug-1715-Aug-17


NoteISIN

OriginalFace ValuePer €1000

Opening

% of Orig BalPer €1000

BalancePaymentPer €1000

PrincipalAdj. or Loss

Per €1000

ClosingBalance

Per €1000

AccruedInterest

Per €1000

Principal% of Orig Bal Due

Repaymentof Deferred

Per €1000

Interest

TotalInterest

Per €1000

Payment RateInterest

Curr/Next

-0.329000%

0.000000 %

Current Euribor:

Next Euribor:

Class A Notes 209,500,000.00 209,500,000.00

- 100.00%

209,500,000.00

-

-

-

-

- - %

519,862.61

-

-

-

519,862.61

-

0.9710000000%

- %

Class B Notes 37,600,000.00 37,600,000.00

- 100.00%

37,600,000.00

-

-

-

-

- - %

170,173.42

-

-

-

170,173.42

-

1.7710000000%

- %

Class C Notes 24,250,000.00 24,250,000.00

- 100.00%

24,250,000.00

-

-

-

-

- - %

140,738.92

-

-

-

140,738.92

-

2.2710000000%

- %

Class D Notes 16,250,000.00 16,250,000.00

- 100.00%

16,250,000.00

-

-

-

-

- - %

137,913.75

-

-

-

137,913.75

-

3.3210000000%

- %

Class E Notes 23,400,000.00 23,400,000.00

- 100.00%

23,400,000.00

-

-

-

-

- - %

288,295.80

-

-

-

288,295.80

-

4.8210000000%

- %

Class F Notes 10,800,000.00 10,800,000.00

- 100.00%

10,800,000.00

-

-

-

-

- - %

156,519.60

-

-

-

156,519.60

-

5.6710000000%

- %

Subordinated Notes 37,500,000.00 37,500,000.00

- 100.00%

-

-

-

-

37,500,000.00

- 100.00%

-

-

-

-

254,902.89

-

- %

- %

Totals: 359,300,000.00 359,300,000.00 321,800,000.00 0.00 37,500,000.00 1,413,504.10 0.00 1,668,406.99


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Priority Name Amount


03-Aug-1715-Aug-17

Distribution Detail - Post Acceleration


Available Proceeds: 324,509,981.34

(A)(i) Payment of taxes owing by the Issuer 64,643.00

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

(B) Payment of accrued and unpaid Trustee Fees and Expenses, up to an amount equal to the Senior Expenses Cap 17,404.98

(C) Payment of Administrative Expenses, up to an amount equal to the Senior Expenses Cap less any amounts paid in (B) 75,455.40

(D)(1)(a) Payment of the Senior Management Fee due and payable on the current Payment Date 133,884.43

(D)(2)(a) Payment of any Senior Management Fee previously due and not paid (other than Deferred Senior Collateral Management Amounts) -

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

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

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

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

(F) Interest Amounts due and payable on the Class A Notes 519,862.61

(G) Redemption of Class A Notes 209,500,000.00

(H) Interest Amounts due and payable on the Class B Notes 170,173.42

(I) Redemption of Class B Notes 37,600,000.00

(J) Interest Amounts due and payable on the Class C Notes (including any interest on Deferred Interest) 140,738.92

(K) Deferred Interest on the Class C Notes -

(L) Redemption of Class C Notes 24,250,000.00

(M) Interest Amounts due and payable on the Class D Notes (including any interest on Deferred Interest) 137,913.75

(N) Deferred Interest on the Class D Notes -

(O) Redemption of Class D Notes 16,250,000.00

(P) Interest Amounts due and payable on the Class E Notes (including any interest on Deferred Interest) 288,295.80

(Q) Deferred Interest on the Class E Notes -

(R) Redemption of Class E Notes 23,400,000.00

(S) Interest Amounts due and payable on the Class F Notes (including any interest on Deferred Interest) 156,519.60

(T) Deferred Interest on the Class F Notes -

The distributed amount above excludes the Refinancing Date Retained Amount


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Priority Name Amount


03-Aug-1715-Aug-17

Distribution Detail - Post Acceleration


(U) Redemption of Class F Notes 10,800,000.00

(V)(1)(a) Payment of the Subordinated Management Fee due and payable on the current Payment Date 312,397.01

(V)(1)(b) Payment of value added tax in respect of the amount in (V)(1)(a) -

(V)(1)(c) Payment to the Principal Account of any amount otherwise payable in (V)(1)(a) which the Collateral Manager has designated for reinvestment -

(V)(2)(a) Payment of any Subordinated Management Fee previously due and unpaid (other than Deferred Subordinated Collateral Management Amounts) -

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

(V)(3) Payment of any Deferred Senior Collateral Management Amounts and Deferred Subordinated Collateral Management Amounts -

(V)(4) Repayment of any Collateral Manager Advances (including any interest thereon) -

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

(W)(b) Payment of Administrative Expenses (if any) not paid by reason of the Senior Expenses Cap 437,789.53

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

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

(Y) Once the IRR Threshold has been reached, 20 per cent. of any remaining Interest Proceeds to the payment of the Incentive Collateral Management Fee -

(Z) Payment of value added tax in respect of the amount in (Y)(i) -

(AA) Any remaining Interest Proceeds to the payment of interest on the Subordinated Notes 254,902.89

324,509,981.34 Total:

Balance in the Interest Account after the Payment Date: -

The distributed amount above excludes the Refinancing Date Retained Amount


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Effective Date

Test Number Description Prior Current Trigger Max / Min Result


03-Aug-1715-Aug-17

Portfolio Profile Tests Summary


1 (a) Secured Senior Loans/Bonds 100.00% 99.61% 99.60% PassMinimum90.00%

2 (b) Unsecured Senior Obligations, Second Lien Loans, Mezzanine Obligations and High Yield Bonds - 0.39% 0.40% PassMaximum10.00%

3 (c)(i) Single Obligor Concentration of all Collateral Obligations 2.86% 2.58% 2.58% PassMaximum3.00%

4 (c)(ii)(A) Single Obligor Concentration of Secured Senior Loans (Largest Obligor) 2.86% 2.58% 2.58% PassMaximum3.00%

5 (c)(ii)(B) Single Obligor Concentration of Secured Senior Loans (Fourth Largest Obligor) 2.36% 2.13% 2.13% PassMaximum2.50%

6 (c)(iii) Single Obligor Concentration of Collateral Obligations which are not Secured Senior Loans/Bonds - 0.27% 0.27% PassMaximum1.50%

7 (d) Non-Euro Obligations - 3.70% 3.70% PassMaximum20.00%

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

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

10 (g) Revolving Obligations and Delayed Drawdown Collateral Obligations - - - PassMaximum5.00%

11 (h) Fitch CCC Obligations - - - PassMaximum7.50%

12 (i) Moody's Caa Obligations - 0.39% 0.40% PassMaximum7.50%

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

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

15 (l) Fixed Rate Collateral Obligations - - - PassMaximum2.50%

16 (m)(i) Fitch Industry Concentration (Largest Industry) 12.74% 9.98% 9.98% PassMaximum17.50%

17 (m)(ii) Fitch Industry Concentration (Three Largest Industries) 32.82% 27.39% 27.39% PassMaximum40.00%

18 (n)(i) Moody's Industry Concentration (Largest Industry) 14.91% 10.82% 10.81% PassMaximum15.00%

19 (n)(ii) Moody's Industry Concentration (Second Largest Industry) 10.88% 10.13% 10.55% PassMaximum12.00%

20 (n)(iii) Moody's Industry Concentration (Fourth Largest Industry) 9.14% 9.84% 9.83% PassMaximum10.00%

21 (o) Obligors who are Domiciled in countries or jurisdictions rated below "A-" by Fitch 3.66% 3.12% 3.12% PassMaximum10.00%

22 (p)(i) Obligors who are Domiciled in countries or jurisdictions with a Moody's foreign currency government bond rating below "A3" 7.07% 3.12% 3.12% PassMaximum10.00%

23 (p)(ii) Obligors who are Domiciled in countries or jurisdictions with a Moody's foreign currency government bond rating below "Baa3" - - - PassMaximum5.00%

24 (q)(i) Cov-Lite Loans/FRNs - 13.67% 13.65% PassMaximum35.00%

25 (q)(ii) Cov-Lite Loans which have a Fitch Rating below "BB-" and a Moody's Rating below "Ba3" - 10.92% 10.91% PassMaximum17.50%

26 (q)(iii) Cov-Lite Loans which have a Fitch Rating below "B" and a Moody's Rating below "B2" - - - PassMaximum0.00%

27 (r) Collateral Obligations whose Moody's Rating is derived from an S&P Rating 1.73% - - PassMaximum10.00%

28 (s) Collateral Obligations issued by Obligors in respect of which the total current indebtedness is less than EUR 200,000,000 - - - PassMaximum5.00%

29 (t) PIK Obligations - - - PassMaximum5.00%

30 (u)(i) Individual Third Party Credit Exposure to a Selling Institution rated "A3" or below by Moody's or "A-" or below by Fitch - - - PassMaximum0.00%

31 (u)(ii) Aggregate Third Party Credit Exposure to Selling Institutions rated "A3" or below by Moody's or "A-" or below by Fitch - - - PassMaximum0.00%


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03-Aug-1715-Aug-17

Coverage and Collateral Quality Tests Summary


Effective

Date

Test

Number Description Prior Current Trigger Max / Min

Coverage Tests

Result

141.4%141.7% 1 Class A/B Par Value Test 141.4% PassMinimum131.6%

128.7%129.0% 2 Class C Par Value Test 128.8% PassMinimum120.5%

121.5%121.7% 3 Class D Par Value Test 121.5% PassMinimum114.7%

112.3%112.6% 4 Class E Par Value Test 112.4% PassMinimum107.0%

108.6%108.8% 5 Class F Par Value Test 108.6% PassMinimum104.3%

108.6%108.8% 6 Reinvestment Par Value Test 108.6% PassMinimum105.3%

351.6%224.6% 7 Class A/B Interest Coverage Test 350.5% PassMinimum120.0%

292.0%192.0% 8 Class C Interest Coverage Test 291.1% PassMinimum110.0%

250.4%169.4% 9 Class D Interest Coverage Test 249.7% PassMinimum105.0%

193.0%137.1% 10 Class E Interest Coverage Test 192.4% PassMinimum101.0%

Effective

Date

Test


Collateral Quality Tests

Result

3934 1 Moody's Minimum Diversity Test 39 PassMinimum30

47.4%48.4% 2 Moody's Minimum Weighted Average Recovery Rate Test 47.5% PassMinimum41.2%

2,5102,596 3 Moody's Maximum Weighted Average Rating Factor Test 2,539 PassMaximum3,015

31.5532.95 4 Fitch Maximum Weighted Average Rating Factor Test 31.59 PassMaximum34.00

67.5%71.8% 5 Fitch Minimum Weighted Average Recovery Rate Test 67.5% FailMinimum68.2%

3.92%4.14% 6 Minimum Weighted Average Spread Test 3.89% PassMinimum3.80%

-- 7 Minimum Weighted Average Fixed Coupon Test - PassMinimumN/A

5.565.54 8 Weighted Average Life Test 5.55 FailMaximum5.29

Effective

Date

Test


Additional Information

Result

3.92%4.14% 1 Weighted Average Spread 3.89% N/AN/AN/A

-- 2 Weighted Average Fixed Coupon - N/AN/AN/A

Interest Coverage Tests are required to be satisfied on and after the Determination Date immediately preceding the second Payment Date in August 2015


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03-Aug-1715-Aug-17

Par Value Tests Detail


Calculation ResultRatio Minimum

141.4% 131.6% PassA / (B+C)Class A/B Par Value Test128.8% 120.5% PassA / (B+C+D)Class C Par Value Test121.5% 114.7% PassA / (B+C+D+E)Class D Par Value Test112.4% 107.0% PassA / (B+C+D+E+F)Class E Par Value Test108.6% 104.3% PassA / (B+C+D+E+F+G)Class F Par Value Test108.6% 105.3% PassA / (B+C+D+E+F+G)Reinvestment Par Value Test

Collateral:

Aggregate Principal Balance of Collateral Obligations 335,498,940.85

335,498,940.85

Minus:

Principal Balance of Defaulted Obligations 0.00

Principal Balance of Deferring Obligations 0.00

Principal Balance of Discount Obligations 0.00

0.00

Plus:

Calculation Amount of Defaulted Obligations 0.00

Calculation Amount of Deferring Obligations 0.00

Calculation Amount of Discount Obligations 0.00

0.00

Plus:

Balance standing to the credit of the Principal Account 13,943,254.65

Balance standing to the credit of the Unused Proceeds Account 0.00

Unpaid accrued interest purchased with Principal Proceeds 0.00

13,943,254.65

Minus:

Excess CCC/Caa Adjustment Amount 0.00

0.00

349,442,195.50 (A)Adjusted Collateral Principal Amount:

Notes:

Principal Amount Outstanding of the Class A Notes 209,500,000.00 (B)

Principal Amount Outstanding of the Class B Notes 37,600,000.00 (C)

Principal Amount Outstanding of the Class C Notes 24,250,000.00 (D)

Principal Amount Outstanding of the Class D Notes 16,250,000.00 (E)

Principal Amount Outstanding of the Class E Notes 23,400,000.00 (F)

Principal Amount Outstanding of the Class F Notes 10,800,000.00 (G)


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03-Aug-1715-Aug-17

Interest Coverage Tests Detail


Calculation ResultMinimumRatio

350.5% 120.0% PassA / (B+C)Class A/B Interest Coverage Test291.1% 110.0% PassA / (B+C+D)Class C Interest Coverage Test249.7% 105.0% PassA / (B+C+D+E)Class D Interest Coverage Test192.4% 101.0% PassA / (B+C+D+E+F)Class E Interest Coverage Test

Received:

Balance standing to the credit of the Interest Account 2,709,981.34

2,709,981.34

Projected:

Scheduled Interest Payments 0.00

Scheduled Commitment Fees 0.00

Projected Reinvestment Income on Collateral Obligations 0.00

Projected Reinvestment Income on Cash Accounts 0.00

0.00

Minus:

(A) Any taxes owed, and the Issuer Profit Amount 64,643.00

(B) Accrued and unpaid Trustee Fees and Expenses 17,404.98

(C) Accrued and unpaid Administrative Expenses 75,455.40

(D) Payment into the Expense Reserve Account 0.00

(E)(1) Senior Management Fees 133,884.43

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

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

291,387.81

Minus:

Amounts payable into the Interest Smoothing Account 0.00

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

0.00

Plus:

Amounts payable from the Expense Reserve, Interest Smoothing, and Currency Account 0.00

Scheduled Periodic Hedge Counterparty Payments 0.00

0.00

2,418,593.53 (A)Interest Coverage Amount:

Notes:

Interest payment due on the Class A Notes 519,862.61 (B)

Interest payment due on the Class B Notes 170,173.42 (C)

Interest payment due on the Class C Notes 140,738.92 (D)

Interest payment due on the Class D Notes 137,913.75 (E)

Interest payment due on the Class E Notes 288,295.80 (F)

Accrued Incentive Collateral Management Fee: 0.00


of 48


03-Aug-1715-Aug-17

Coverage Tests History - Part I


Period Actual Spread Result

Class C Par Value Test

Minimum

8.3% Pass120.5%03-Aug-17 128.8%

8.2% Pass120.5%30-Jun-17 128.7%

8.2% Pass120.5%31-May-17 128.7%

8.2% Pass120.5%03-May-17 128.7%

8.2% Pass120.5%31-Mar-17 128.7%

8.2% Pass120.5%28-Feb-17 128.7%

8.3% Pass120.5%03-Feb-17 128.8%

8.2% Pass120.5%30-Dec-16 128.7%

8.2% Pass120.5%30-Nov-16 128.7%

8.2% Pass120.5%03-Nov-16 128.7%

80%

90%

100%

110%

120%

130%

140%

150%

160%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

MinimumActual


Class A/B Par Value Test

Minimum

9.8% Pass131.6%03-Aug-17 141.4%

9.8% Pass131.6%30-Jun-17 141.4%

9.8% Pass131.6%31-May-17 141.4%

9.7% Pass131.6%03-May-17 141.3%

9.8% Pass131.6%31-Mar-17 141.4%

9.8% Pass131.6%28-Feb-17 141.4%

9.8% Pass131.6%03-Feb-17 141.4%

9.8% Pass131.6%30-Dec-16 141.4%

9.7% Pass131.6%30-Nov-16 141.3%

9.8% Pass131.6%03-Nov-16 141.4%

80%

90%

100%

110%

120%

130%

140%

150%

160%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

Actual Minimum


Class D Par Value Test

Minimum

6.8% Pass114.7%03-Aug-17 121.5%

6.8% Pass114.7%30-Jun-17 121.5%

6.7% Pass114.7%31-May-17 121.4%

6.7% Pass114.7%03-May-17 121.4%

6.8% Pass114.7%31-Mar-17 121.5%

6.8% Pass114.7%28-Feb-17 121.5%

6.8% Pass114.7%03-Feb-17 121.5%

6.8% Pass114.7%30-Dec-16 121.5%

6.7% Pass114.7%30-Nov-16 121.4%

6.8% Pass114.7%03-Nov-16 121.5%

80%

90%

100%

110%

120%

130%

140%

150%

160%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

Actual Minimum


of 48


03-Aug-1715-Aug-17

Coverage Tests History - Part II



Class E Par Value Test

Minimum

5.4% Pass107.0%03-Aug-17 112.4%

5.3% Pass107.0%30-Jun-17 112.3%

5.3% Pass107.0%31-May-17 112.3%

5.3% Pass107.0%03-May-17 112.3%

5.3% Pass107.0%31-Mar-17 112.3%

5.3% Pass107.0%28-Feb-17 112.3%

5.3% Pass107.0%03-Feb-17 112.3%

5.3% Pass107.0%30-Dec-16 112.3%

5.3% Pass107.0%30-Nov-16 112.3%

5.3% Pass107.0%03-Nov-16 112.3%

80%

90%

100%

110%

120%

130%

140%

150%

160%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

Actual Minimum


Class F Par Value Test

Minimum

4.3% Pass104.3%03-Aug-17 108.6%

4.3% Pass104.3%30-Jun-17 108.6%

4.2% Pass104.3%31-May-17 108.5%

4.2% Pass104.3%03-May-17 108.5%

4.2% Pass104.3%31-Mar-17 108.5%

4.2% Pass104.3%28-Feb-17 108.5%

4.3% Pass104.3%03-Feb-17 108.6%

4.3% Pass104.3%30-Dec-16 108.6%

4.2% Pass104.3%30-Nov-16 108.5%

4.3% Pass104.3%03-Nov-16 108.6%

80%

90%

100%

110%

120%

130%

140%

150%

160%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

Actual Minimum


Reinvestment Par Value Test

Minimum

3.3% Pass105.3%03-Aug-17 108.6%

3.3% Pass105.3%30-Jun-17 108.6%

3.2% Pass105.3%31-May-17 108.5%

3.2% Pass105.3%03-May-17 108.5%

3.2% Pass105.3%31-Mar-17 108.5%

3.2% Pass105.3%28-Feb-17 108.5%

3.3% Pass105.3%03-Feb-17 108.6%

3.3% Pass105.3%30-Dec-16 108.6%

3.2% Pass105.3%30-Nov-16 108.5%

3.3% Pass105.3%03-Nov-16 108.6%

80%

90%

100%

110%

120%

130%

140%

150%

160%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

MinimumActual


of 48


03-Aug-1715-Aug-17

Coverage Tests History - Part III



Class C Interest Coverage Test

Minimum

181.1% Pass110.0%03-Aug-17 291.1%

182.0% Pass110.0%30-Jun-17 292.0%

173.9% Pass110.0%31-May-17 283.9%

292.5% Pass110.0%03-May-17 402.5%

282.1% Pass110.0%31-Mar-17 392.1%

309.9% Pass110.0%28-Feb-17 419.9%

277.1% Pass110.0%03-Feb-17 387.1%

279.0% Pass110.0%30-Dec-16 389.0%

266.5% Pass110.0%30-Nov-16 376.5%

378.0% Pass110.0%03-Nov-16 488.0%

0%

55%

110%

165%

220%

275%

330%

385%

440%

495%

550%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

Actual Minimum


Class A/B Interest Coverage Test

Minimum

230.5% Pass120.0%03-Aug-17 350.5%

231.6% Pass120.0%30-Jun-17 351.6%

221.8% Pass120.0%31-May-17 341.8%

364.6% Pass120.0%03-May-17 484.6%

352.0% Pass120.0%31-Mar-17 472.0%

385.6% Pass120.0%28-Feb-17 505.6%

345.5% Pass120.0%03-Feb-17 465.5%

347.7% Pass120.0%30-Dec-16 467.7%

332.7% Pass120.0%30-Nov-16 452.7%

466.2% Pass120.0%03-Nov-16 586.2%

100%

155%

210%

265%

320%

375%

430%

485%

540%

595%

650%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

MinimumActual



of 48


03-Aug-1715-Aug-17

Coverage Tests History - Part IV



Class E Interest Coverage Test

Minimum

91.4% Pass101.0%03-Aug-17 192.4%

92.0% Pass101.0%30-Jun-17 193.0%

86.6% Pass101.0%31-May-17 187.6%

165.0% Pass101.0%03-May-17 266.0%

158.1% Pass101.0%31-Mar-17 259.1%

176.5% Pass101.0%28-Feb-17 277.5%

155.7% Pass101.0%03-Feb-17 256.7%

157.0% Pass101.0%30-Dec-16 258.0%

148.7% Pass101.0%30-Nov-16 249.7%

223.5% Pass101.0%03-Nov-16 324.5%

100%

150%

200%

250%

300%

350%

400%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

Actual Minimum


Class D Interest Coverage Test

Minimum

144.7% Pass105.0%03-Aug-17 249.7%

145.4% Pass105.0%30-Jun-17 250.4%

138.5% Pass105.0%31-May-17 243.5%

240.2% Pass105.0%03-May-17 345.2%

231.2% Pass105.0%31-Mar-17 336.2%

255.1% Pass105.0%28-Feb-17 360.1%

227.5% Pass105.0%03-Feb-17 332.5%

229.1% Pass105.0%30-Dec-16 334.1%

218.3% Pass105.0%30-Nov-16 323.3%

314.5% Pass105.0%03-Nov-16 419.5%

100%

150%

200%

250%

300%

350%

400%

450%

500%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

MinimumActual



of 48


03-Aug-1715-Aug-17

Collateral Quality Tests History - Part I



Moody's Minimum Weighted Average Recovery Rate Test

Minimum

6.3% Pass41.2%03-Aug-17 47.5%

6.6% Pass40.8%30-Jun-17 47.4%

6.8% Pass40.6%31-May-17 47.4%

6.9% Pass40.6%03-May-17 47.5%

6.9% Pass40.8%31-Mar-17 47.7%

7.0% Pass40.9%28-Feb-17 47.9%

7.1% Pass40.8%03-Feb-17 47.9%

7.1% Pass40.7%30-Dec-16 47.8%

7.1% Pass40.8%30-Nov-16 47.9%

6.9% Pass41.0%03-Nov-16 47.9%

38%

40%

42%

44%

46%

48%

50%

52%

54%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

Actual Minimum


Moody's Maximum Weighted Average Rating Factor Test

Maximum

476 Pass3,01503-Aug-17 2,539

498 Pass3,00830-Jun-17 2,510

507 Pass3,00831-May-17 2,501

514 Pass3,01503-May-17 2,501

516 Pass3,03031-Mar-17 2,514

527 Pass3,04528-Feb-17 2,518

536 Pass3,04503-Feb-17 2,509

535 Pass3,03830-Dec-16 2,503

535 Pass3,04530-Nov-16 2,510

518 Pass3,04503-Nov-16 2,527

2,400

2,500

2,600

2,700

2,800

2,900

3,000

3,100

3,200

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

Actual Maximum


Moody's Minimum Diversity Test

Minimum

9 Pass3003-Aug-17 39

9 Pass3030-Jun-17 39

9 Pass3031-May-17 39

9 Pass3003-May-17 39

9 Pass3031-Mar-17 39

7 Pass3028-Feb-17 37

5 Pass3003-Feb-17 35

6 Pass3030-Dec-16 36

6 Pass3030-Nov-16 36

6 Pass3003-Nov-16 36

26

28

30

31

33

35

37

39

40

42

44

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

Actual Minimum


of 48


03-Aug-1715-Aug-17

Collateral Quality Tests History - Part II



Fitch Minimum Weighted Average Recovery Rate Test

Minimum

(0.7)% Fail68.2%03-Aug-17 67.5%

(0.7)% Fail68.2%30-Jun-17 67.5%

(0.6)% Fail68.2%31-May-17 67.6%

(0.2)% Fail68.2%03-May-17 68.0%

0.6% Pass68.2%31-Mar-17 68.8%

1.9% Pass68.2%28-Feb-17 70.1%

2.0% Pass68.2%03-Feb-17 70.2%

2.2% Pass68.2%30-Dec-16 70.4%

3.2% Pass68.2%30-Nov-16 71.4%

4.5% Pass68.2%03-Nov-16 72.7%

60%

62%

64%

66%

68%

70%

72%

74%

76%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

MinimumActual


Fitch Maximum Weighted Average Rating Factor Test

Maximum

2.41 Pass34.0003-Aug-17 31.59

2.45 Pass34.0030-Jun-17 31.55

2.52 Pass34.0031-May-17 31.48

2.03 Pass34.0003-May-17 31.97

2.31 Pass34.0031-Mar-17 31.69

2.43 Pass34.0028-Feb-17 31.57

2.32 Pass34.0003-Feb-17 31.68

2.43 Pass34.0030-Dec-16 31.57

2.61 Pass34.0030-Nov-16 31.39

2.14 Pass34.0003-Nov-16 31.86

26

28

30

31

33

35

37

38

40

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

MaximumActual


of 48


03-Aug-1715-Aug-17

Collateral Quality Tests History - Part III



Weighted Average Life Test

Maximum

(0.26) Fail5.2903-Aug-17 5.55

(0.18) Fail5.3830-Jun-17 5.56

(0.11) Fail5.4631-May-17 5.57

(0.02) Fail5.5403-May-17 5.56

0.20 Pass5.6331-Mar-17 5.43

0.45 Pass5.7228-Feb-17 5.27

0.48 Pass5.7803-Feb-17 5.30

0.58 Pass5.8830-Dec-16 5.30

0.80 Pass5.9630-Nov-16 5.16

0.89 Pass6.0403-Nov-16 5.15

4.00

4.50

5.00

5.50

6.00

6.50

7.00

7.50

8.00

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

MaximumActual


Minimum Weighted Average Fixed Coupon Test

Minimum

- Pass-03-Aug-17 -

- Pass-30-Jun-17 -

- Pass-31-May-17 -

- Pass-03-May-17 -

- Pass-31-Mar-17 -

- Pass-28-Feb-17 -

- Pass-03-Feb-17 -

- Pass-30-Dec-16 -

- Pass-30-Nov-16 -

- Pass-03-Nov-16 -

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%

12.00%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

MinimumActual


Minimum Weighted Average Spread Test

Minimum

0.09% Pass3.80%03-Aug-17 3.89%

0.12% Pass3.80%30-Jun-17 3.92%

0.16% Pass3.80%31-May-17 3.96%

0.22% Pass3.80%03-May-17 4.02%

0.24% Pass3.80%31-Mar-17 4.04%

0.48% Pass3.80%28-Feb-17 4.28%

0.53% Pass3.80%03-Feb-17 4.33%

0.49% Pass3.80%30-Dec-16 4.29%

0.55% Pass3.80%30-Nov-16 4.35%

0.58% Pass3.80%03-Nov-16 4.38%

3.60%

3.80%

4.00%

4.20%

4.40%

4.60%

4.80%

5.00%

5.20%

03-Nov-16

30-Nov-16

30-Dec-16

03-Feb-17

28-Feb-17

31-Mar-17

03-May-17

31-May-17

30-Jun-17

03-Aug-17

MinimumActual


of 48

New Notes Issuance


03-Aug-1715-Aug-17


NoteCUSIP

OriginalFace Value

Opening

% of Orig BalBalance

PaymentPrincipal

Adj. or Loss

ClosingBalance

AccruedInterestPrincipal

% of Orig Bal Due

Repaymentof Deferred

Interest

TotalInterest

PaymentRate

Interest

Curr/Next

0.000000 %

-0.329000%

Current Euribor:

Next Euribor:

- Class A-R Senior Secured Note 209,500,000.00 209,500,000.00 100.00%

- - 209,500,000.00 100.00%

- - % 0.5810000000%

-

- Class B-R Senior Secured Note 37,600,000.00 37,600,000.00 100.00%

- - 37,600,000.00 100.00%

- - % 1.1210000000%

-

- Class C-R Senior Secured Note 24,250,000.00 24,250,000.00 100.00%

- - 24,250,000.00 100.00%

- - % 1.6710000000%

-

- Class D-R Senior Secured Note 16,250,000.00 16,250,000.00 100.00%

- - 16,250,000.00 100.00%

- - % 2.4210000000%

-

- Class E-R Senior Secured Note 23,400,000.00 23,400,000.00 100.00%

- - 23,400,000.00 100.00%

- - % 4.8710000000%

-

- Class F-R Senior Secured Note 10,800,000.00 10,800,000.00 100.00%

- - 10,800,000.00 100.00%

- - % 6.5710000000%

-

Totals: 321,800,000.00 321,800,000.00 0.00 0.00 321,800,000.00 0.00 0.00 0.00

Note Valuation Report - 8/11/2017 7:06:17AM © 2011 U.S. Bancorp

of 48


03-Aug-1715-Aug-17

Assets Purchased


Security I.D. Security NameTransactionMotivation

Trade Date Par Amount Price

PrincipalProceeds

AccruedInterest

TotalAmount

AffiliatedSeller

BL0473720 Safety Kleen T/L B1 Addl. Collateral Security 07-Jul-17 2,406,137.18 100.000 2,406,137.18 - 2,406,137.18

BL0475501 Socotec Term Loan New Addl. Collateral Security 21-Jul-17 2,140,000.00 100.000 2,140,000.00 - 2,140,000.00

Totals: 4,546,137.18 4,546,137.18 - 4,546,137.18 2


of 48


03-Aug-1715-Aug-17

Assets Sold


Security I.D. Security NameTransactionMotivation

Trade Date Par Amount Price

PrincipalProceeds

AccruedInterest

TotalAmount % of ACPA

AffiliatedPurchaser

- - - - -

Total: 0


of 48

Market Value

Fitch Recovery

Rate

Moody's Recovery

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


03-Aug-1715-Aug-17

Current Asset Characteristics - Part I


101.26 62.00 45.00 3.50% 3.50% 9,019,230.77 25-Feb-22 0.00% Secured Senior LoanAction Holding Term B - Add onBL0421026 LX150838

100.94 52.00 45.00 4.00% 4.00% 3,222,222.22 22-Apr-24 0.00% Secured Senior LoanAlbea Beauty Term LoanBL0464711 LX162335

100.20 66.00 50.00 3.53% 3.53% 5,042,180.00 30-Jun-21 1.00% Secured Senior LoanAll 3 Media New Facility BBL0377103 LX137655

100.38 66.00 45.00 3.25% 3.25% 6,557,447.50 13-Sep-23 0.00% Secured Senior LoanAllnex T/L B1 (EUR) NewBL0460396 LX152755

102.53 40.00 15.00 5.82% 6.20% 456,300.00 16-Jun-25 1.00% Second Lien LoanAlmonde (Misys) 2nd Lien T/LBL0467573 LX163231

101.09 69.00 45.00 3.50% 3.50% 1,040,000.00 09-Jun-24 0.00% Secured Senior LoanAmeos Term LoanBL0469165 LX164184

100.68 58.00 50.00 3.50% 3.50% 6,883,192.78 28-Feb-23 0.00% Secured Senior LoanArmacell EUR T/L B3BL0459802 LX161096

100.10 77.00 50.00 4.25% 3.25% 4,302,997.96 02-Feb-22 1.00% Secured Senior LoanAruba T/L B-1 (EUR)BL0403503 LX145177

100.96 51.00 45.00 3.50% 3.50% 5,612,024.22 29-Sep-23 0.00% Secured Senior LoanAvast Software New T/L B EURBL0460727 LX161611

100.98 100.00 60.00 3.00% 2.25% 2,871,013.61 01-Feb-23 0.75% Secured Senior LoanAxalta Coating System T/L B EURBL0449902 LX134952

100.42 63.00 50.00 3.75% 3.75% 5,543,358.88 13-Aug-22 0.00% Secured Senior LoanBeauty Holding T/L B18 (formerly B11)BL0436537 LX160536

100.42 63.00 50.00 3.75% 3.75% 1,231,857.52 13-Aug-22 0.00% Secured Senior LoanBeauty Holding T/L B19(formerly B12)BL0436545 LX160537

101.27 53.00 45.00 4.50% 4.50% 1,000,000.00 31-Aug-23 0.00% Secured Senior LoanBilfinger T/L B3 (Apleona)BL0467029 LX163280

101.13 53.00 45.00 3.91% 4.28% 3,322,200.00 01-Sep-23 - Secured Senior LoanBilfinger Term Loan B4 (Triangle FM Services Holding GmbH(Apleona))

BL0468407 LX163281

100.68 54.00 45.00 3.50% 3.50% 2,500,000.00 14-Jun-24 0.00% Secured Senior LoanBIO Group Term LoanBL0469439 LX164386

100.50 58.00 50.00 3.25% 3.25% 1,000,000.00 30-Jul-24 0.00% Secured Senior LoanCaldic (Pertus Bidco B.V) New T/LBL0473043 LX165609

100.41 50.00 45.00 3.75% 3.75% 2,943,396.23 31-Dec-23 0.00% Secured Senior LoanCampbell T/L Add On BBL0449027 LX157881

101.03 100.00 50.00 3.50% 2.50% 3,919,312.38 20-May-21 1.00% Secured Senior LoanCatalent Pharma T/L B EURBL0373078 LX137091

100.33 60.00 45.00 3.00% 3.00% 2,250,000.00 30-Jun-21 0.00% Secured Senior LoanCeva Sante Animale T/L BBL0369332 LX135736

101.25 95.00 45.00 3.00% 2.25% 1,137,771.19 07-Nov-23 0.75% Secured Senior LoanCoherent Holding T/L BBL0435521 LX153899

100.79 52.00 45.00 3.25% 3.25% 1,000,000.00 07-Mar-24 0.00% Secured Senior LoanConcardis Term Loan EurBL0459299 LX161040

100.06 43.00 45.00 4.00% 3.00% 3,480,438.19 29-Apr-22 1.00% Secured Senior LoanConstantia Term loan B1BL0393688 LX143296

100.06 43.00 45.00 4.00% 3.00% 519,561.81 29-Apr-22 1.00% Secured Senior LoanConstantia Term loan B2BL0397762 LX143893

101.05 65.00 50.00 3.50% 3.50% 4,171,252.82 30-Jan-23 0.00% Secured Senior LoanCooper Pharma T/L B1 NewBL0455396 LX159934

101.05 65.00 50.00 3.50% 3.50% 1,788,747.18 30-Jan-23 0.00% Secured Senior LoanCoopers term loan B2 NewBL0457103 LX160654

100.74 56.00 50.00 3.75% 3.75% 1,500,000.00 29-Mar-24 0.00% Secured Senior LoanCorialis T/L BBL0453656 LX159920

101.09 95.00 45.00 2.75% 2.75% 4,056,622.82 27-Oct-22 0.00% Secured Senior LoanCoty T/L B2BL0446965 LX156194

101.09 95.00 45.00 2.75% 2.75% 3,068,831.31 27-Oct-22 0.00% Secured Senior LoanCoty Term Loan B1BL0447161 LX155917

100.43 55.00 45.00 4.00% 3.00% 5,245,000.00 03-Dec-20 1.00% Secured Senior LoanCPA Global T/L BBL0356719 LX133726

100.85 74.00 45.00 2.75% 2.00% 2,340,557.43 01-Jul-22 0.75% Secured Senior LoanDE Master Blenders T/L B NewBL0467060 LX163472

101.14 59.00 45.00 3.75% 3.75% 2,415,054.16 28-Oct-21 0.00% Secured Senior LoanDelachaux T/L B1 AmendmentBL0387433 LX141055

99.68 52.00 50.00 3.25% 3.25% 3,000,000.00 04-Jul-24 0.00% Secured Senior LoanDiaverum Term Loan BBL0469140 LX164119

100.33 60.00 45.00 3.25% 3.25% 4,490,000.00 19-Apr-24 0.00% Secured Senior LoanEircom Holdings (NEW)BL0459745 LX161434

101.25 66.00 45.00 3.50% 3.50% 1,000,000.00 21-Jul-23 0.00% Secured Senior LoanEthypharm New T/LBL0458838 LX160780


of 48

Market Value

Fitch Recovery

Rate

Moody's Recovery



03-Aug-1715-Aug-17



100.68 51.00 45.00 4.00% 4.00% 7,500,000.00 31-Jan-23 0.00% Secured Senior LoanEuro Garages new T/L D2BL0467037 LX163533

101.13 79.00 45.00 3.75% 3.75% 4,500,000.00 25-Nov-22 0.00% Secured Senior LoanEuskaltel T/L B3BL0414096 LX148798

100.81 65.00 45.00 4.13% 4.50% 2,198,396.20 30-Sep-20 - Secured Senior LoanFinanciere CEP B4BL0419897 LX150431

100.81 65.00 45.00 4.13% 4.50% 1,954,129.96 30-Sep-20 - Secured Senior LoanFinanciere Holding Term Loan B3BL0414864 LX149025

100.18 57.00 45.00 3.75% 3.00% 5,834,999.89 07-Sep-21 0.75% Secured Senior LoanFlint Group TL 1LBL0372997 LX136879

100.52 42.00 45.00 3.50% 3.50% 6,176,864.24 07-Sep-23 0.00% Secured Senior LoanFoncia Term Loan B NewBL0435729 LX153737

100.70 67.00 50.00 3.50% 3.50% 5,885,613.59 31-Mar-24 0.00% Secured Senior LoanGates Global New Term LoanBL0462806 LX161939

101.19 70.00 45.00 4.25% 3.25% 6,798,095.24 12-Dec-22 1.00% Secured Senior LoanGlobal Blue T/L DBL0458093 LX160394

100.40 70.00 50.00 3.25% 2.50% 4,278,500.00 01-Apr-24 0.75% Secured Senior LoanIneos New T/L 2024BL0456121 LX160134

100.56 53.00 45.00 3.75% 3.75% 3,478,260.87 03-May-24 0.00% Secured Senior LoanInfinitas New Term Loan B3BL0463069 LX162255

100.33 95.00 60.00 3.75% 2.75% 3,578,057.64 01-Feb-22 1.00% Secured Senior LoanInfor (Lawson) T/L B1BL0455230 LX159914

101.04 64.00 45.00 3.75% 3.00% 3,400,000.00 15-May-24 0.75% Secured Senior LoanInovyn Finance 2024 Tranche B EUR T/LBL0464414 LX162963

100.94 64.00 45.00 3.75% 3.75% 1,750,000.00 06-Nov-23 0.00% Secured Senior LoanInteroute TL BBL0446841 LX156376

100.91 55.00 45.00 3.75% 2.75% 4,326,915.90 11-Aug-23 1.00% Secured Senior LoanION Trading B-1 Euro T/L (NEW)BL0437212 LX147780

101.00 100.00 50.00 4.00% 3.00% 1,000,000.00 26-Jan-24 1.00% Secured Senior LoanKinetic Concepts (Acelity) T/L BBL0454340 LX159775

99.63 - 15.00 7.80% 7.80% 941,800.00 20-Jan-25 1.00% Second Lien LoanLANDesk 2nd Lien T/LBL0454571 LX159001

100.92 58.00 50.00 3.75% 3.75% 4,000,000.00 08-Mar-23 0.00% Secured Senior LoanLGC Science EUR T/L B4BL0453987 LX159294

100.93 45.00 50.00 3.75% 3.75% 3,920,000.00 14-Oct-22 0.00% Secured Senior LoanLully Finance (FCI Microconnections) 1st Lien T/LBL0449035 LX157357

100.70 56.00 30.00 3.25% 3.25% 1,800,000.00 01-Feb-23 0.00% Secured Senior BondMATTER Float 02/01/23AM7964225 XS1580388384

100.63 95.00 45.00 3.00% 3.00% 2,033,898.31 21-Jun-24 0.00% Secured Senior LoanMicro Focus T/L B3BL0465502 LX162912

101.23 100.00 50.00 4.25% 3.25% 2,065,600.00 13-Jun-24 1.00% Secured Senior LoanMisys Term B Eur LoanBL0467474 LX163229

100.48 63.00 45.00 3.00% 3.00% 2,100,000.00 14-Dec-23 0.00% Secured Senior LoanMRH EUR T/L B4BL0472177 LX165654

100.50 81.00 50.00 5.50% 5.50% 3,000,000.00 06-Jan-24 0.00% Secured Senior LoanMSX International T/L BBL0449050 LX157358

100.41 100.00 60.00 2.10% 2.50% 4,711,842.03 15-Apr-21 - Secured Senior LoanNielsen Finance T/L B2 (VNU) EURBL0370520 LX136616

100.39 72.00 50.00 3.25% 3.25% 3,780,000.00 26-Jun-24 0.00% Secured Senior LoanNord Anglia Term LoanBL0472342 LX165624

99.23 64.00 45.00 3.75% 3.75% 1,722,021.66 15-Dec-23 0.00% Secured Senior LoanOberthur T/L B1BL0449472 LX157594

99.23 64.00 45.00 3.75% 3.75% 2,777,978.34 15-Dec-23 0.00% Secured Senior LoanOberthur TL B2BL0451262 LX158095

101.34 55.00 45.00 3.75% 3.75% 7,453,158.41 11-Apr-23 0.00% Secured Senior LoanOGF T/L B (03/17)BL0462343 LX161834

100.42 56.00 45.00 3.50% 3.50% 1,440,000.00 10-Nov-23 0.00% Secured Senior LoanP&I AG T/L B1BL0470049 LX164121

100.25 56.00 45.00 3.50% 3.50% 2,050,000.00 13-Mar-24 0.00% Secured Senior LoanParex T/L BBL0459463 LX161205

100.44 100.00 45.00 3.50% 2.50% 2,578,676.28 13-Jun-24 1.00% Secured Senior LoanPenn Engineering Cov Lite T/LBL0471922 LX165415

100.48 51.00 45.00 4.00% 4.00% 6,428,571.43 30-Apr-24 0.00% Secured Senior LoanProsol T/L BBL0464851 LX162576

100.73 100.00 50.00 2.75% 2.00% 7,779,163.96 07-Mar-24 0.75% Secured Senior LoanQuintiles IMS T/L B-1 (EUR)BL0459026 LX160895

101.15 80.00 45.00 3.00% 3.00% 1,000,000.00 29-Sep-23 0.00% Secured Senior LoanR&R Ice Cream T/L BBL0441479 LX154933

100.38 55.00 45.00 3.50% 3.50% 6,000,000.00 09-Apr-21 0.00% Secured Senior LoanRaet Term LoanBL0405011 LX145274


of 48

Market Value

Fitch Recovery

Rate

Moody's Recovery



03-Aug-1715-Aug-17



100.25 40.00 45.00 4.85% 4.85% 3,152,609.93 01-Jun-23 1.00% Secured Senior LoanRussell Investments T/L BBL0427262 LX152375

100.71 57.00 50.00 3.25% 3.25% 2,406,137.18 31-Jul-24 0.00% Secured Senior LoanSafety Kleen T/L B1BL0473720 LX166008

100.94 60.00 50.00 3.50% 3.50% 5,821,505.44 17-Dec-21 0.00% Secured Senior LoanSebia T/L B3A NewBL0463481 LX139399

100.94 60.00 50.00 3.50% 3.50% 1,602,803.55 17-Dec-21 0.00% Secured Senior LoanSebia T/L B3BBL0452971 LX142742

101.15 69.00 50.00 3.50% 3.50% 4,887,783.56 17-Jan-22 0.00% Secured Senior LoanSiemens T/L B6BL0459455 LX160224

101.54 61.00 50.00 3.75% 3.75% 5,620,625.00 13-Mar-22 0.00% Secured Senior LoanSIG Combibloc T/LBL0392680 LX143111

96.69 53.00 45.00 4.25% 4.25% 4,100,000.00 03-Jan-24 0.00% Secured Senior LoanSLV New T/LBL0449811 LX157317

100.75 52.00 45.00 3.75% 3.75% 2,140,000.00 31-Jul-24 0.00% Secured Senior LoanSocotec Term Loan NewBL0475501 LX166814

101.20 100.00 60.00 3.75% 3.00% 5,925,000.00 28-Feb-23 0.75% Secured Senior LoanSolera Finance T/L BBL0422347 LX151195

100.13 72.00 45.00 3.75% 3.25% 6,703,774.78 14-Aug-20 0.50% Secured Senior LoanSpringer Science T/L B11BL0462137 LX161998

100.53 67.00 45.00 4.00% 4.00% 3,350,000.00 02-Aug-24 0.00% Secured Senior LoanStage entertainment T/L BBL0473712 LX165734

99.43 47.00 45.00 3.50% 3.50% 1,000,000.00 08-Aug-22 0.00% Secured Senior LoanTackle Sarl Facility BBL0461642 LX161574

99.91 90.00 45.00 3.50% 3.50% 3,520,000.00 06-Dec-23 0.00% Secured Senior LoanTechnicolor T/L B NewBL0449365 LX157075

100.66 80.00 45.00 3.00% 3.00% 5,425,000.00 31-Mar-26 0.00% Secured Senior LoanTelenet T/L AHBL0463911 LX162328

100.59 87.00 60.00 3.75% 3.00% 5,312,924.44 30-Jun-22 0.75% Secured Senior LoanTI Automotive Initial Term LoanBL0403883 LX145316

100.32 51.00 45.00 3.25% 3.25% 6,402,378.21 12-Apr-24 0.00% Secured Senior LoanTinagen T/L NEW B2BL0462285 LX161739

100.77 61.00 45.00 3.50% 3.50% 2,000,000.00 13-Oct-23 0.00% Secured Senior LoanTMF T/L BBL0464919 LX162575

99.04 57.00 50.00 3.00% 3.00% 1,000,000.00 19-Apr-24 0.00% Secured Senior LoanUnilabs Diagnostics T/L B2BL0461063 LX161584

100.28 76.00 50.00 4.00% 4.00% 3,850,000.00 06-May-22 0.00% Secured Senior LoanValeo T/L BBL0401267 LX144621

100.90 53.00 45.00 3.75% 3.75% 2,250,000.00 31-Oct-22 0.00% Secured Senior LoanVedici T/L B (12/16)BL0451254 LX158179

100.01 64.00 50.00 3.00% 3.00% 7,000,000.00 21-Oct-22 0.00% Secured Senior LoanVerisure T/L B1-EBL0469421 LX164262

100.04 100.00 50.00 3.00% 3.00% 3,083,589.63 18-Jan-22 0.00% Secured Senior LoanVWR T/L B2BL0449100 LX157040

100.65 95.00 45.00 2.75% 2.00% 3,960,100.00 29-Apr-23 0.75% Secured Senior LoanWestern Digital Technologies Inc T/L B2 (NEW)BL0460412 LX161282

100.46 95.00 45.00 3.00% 3.00% 6,811,594.20 15-Apr-25 0.00% Secured Senior LoanZiggo T/L F (EUR)BL0454134 LX159376

Totals: 93 335,498,940.85


of 48

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


03-Aug-1715-Aug-17

Current Asset Characteristics - Part II


General RetailRetailNetherlandsPeer Holding B.VAction Holding Term B - Add onBL0421026 LX150838Packaging and ContainersContainers, Packaging & GlassLuxembourgTwist Beauty International Holding S.A.Albea Beauty Term LoanBL0464711 LX162335Broadcasting and MediaMedia: Broadcasting & SubscriptionUnited KingdomAll3Media Intermediate LimitedAll 3 Media New Facility BBL0377103 LX137655ChemicalsChemicals, Plastics, & RubberLuxembourgAllnex SARLAllnex T/L B1 (EUR) NewBL0460396 LX152755Computer and ElectronicsHigh Tech IndustriesLuxembourgMisys Newco 2 S.a r.l.Almonde (Misys) 2nd Lien T/LBL0467573 LX163231HealthcareHealthcare & PharmaceuticalsSwitzerlandAmeos Gruppe AGAmeos Term LoanBL0469165 LX164184Buildings and MaterialsWholesaleGermanyArmacell Iberia S.L. aka Foam Inv IIArmacell EUR T/L B3BL0459802 LX161096ChemicalsChemicals, Plastics, & RubberUnited StatesAruba Investment HoldingsAruba T/L B-1 (EUR)BL0403503 LX145177Computer and ElectronicsServices: ConsumerNetherlandsAvast Holding BVAvast Software New T/L B EURBL0460727 LX161611ChemicalsChemicals, Plastics, & RubberUnited KingdomAxalta Coating Systems Dutch Holding B B.V.Axalta Coating System T/L B EURBL0449902 LX134952General RetailRetailGermanyKirk Beauty One GMBHBeauty Holding T/L B18 (formerly B11)BL0436537 LX160536General RetailRetailGermanyKirk Beauty One GMBHBeauty Holding T/L B19(formerly B12)BL0436545 LX160537Real EstateServices: ConsumerGermanyTriangle FM Services TOPCO GMBHBilfinger T/L B3 (Apleona)BL0467029 LX163280Real EstateServices: ConsumerGermanyTriangle FM Services TOPCO GMBHBilfinger Term Loan B4 (Triangle FM

Services Holding GmbH(Apleona))BL0468407 LX163281

HealthcareServices: BusinessFranceBio GroupBIO Group Term LoanBL0469439 LX164386ChemicalsChemicals, Plastics, & RubberNetherlandsCaldicCaldic (Pertus Bidco B.V) New T/LBL0473043 LX165609Food, Beverage and TobaccoBeverage, Food & TobaccoLuxembourgSoppa Holdings SarlCampbell T/L Add On BBL0449027 LX157881PharmaceuticalsHealthcare & PharmaceuticalsUnited StatesCatalent Pharma Solutions IncCatalent Pharma T/L B EURBL0373078 LX137091PharmaceuticalsWholesaleFranceCeva Sante AnimaleCeva Sante Animale T/L BBL0369332 LX135736Industrial/ManufacturingCapital EquipmentGermanyCoherent Holding GmbHCoherent Holding T/L BBL0435521 LX153899Banking and FinanceServices: BusinessGermanyConcardisConcardis Term Loan EurBL0459299 LX161040Packaging and ContainersContainers, Packaging & GlassGermanyConstantia Flexibles Group GmbHConstantia Term loan B1BL0393688 LX143296Packaging and ContainersContainers, Packaging & GlassGermanyConstantia Flexibles Group GmbHConstantia Term loan B2BL0397762 LX143893PharmaceuticalsRetailFranceAlpha BidCo SASCooper Pharma T/L B1 NewBL0455396 LX159934PharmaceuticalsRetailFranceAlpha BidCo SASCoopers term loan B2 NewBL0457103 LX160654Buildings and MaterialsConstruction & BuildingUnited KingdomCorialis Group LimitedCorialis T/L BBL0453656 LX159920Consumer ProductsConsumer goods: Non-durableUnited StatesBeauty Business NewCoCoty T/L B2BL0446965 LX156194Consumer ProductsConsumer goods: Non-durableUnited StatesBeauty Business NewCoCoty Term Loan B1BL0447161 LX155917Business ServicesServices: BusinessUnited KingdomRedtop Midco LimitedCPA Global T/L BBL0356719 LX133726Food, Beverage and TobaccoBeverage, Food & TobaccoNetherlandsOak Leaf B.V.DE Master Blenders T/L B NewBL0467060 LX163472Industrial/ManufacturingCapital EquipmentFranceDelachaux S.A.Delachaux T/L B1 AmendmentBL0387433 LX141055HealthcareHealthcare & PharmaceuticalsLuxembourgDiaverum Holding SARLDiaverum Term Loan BBL0469140 LX164119TelecommunicationsTelecommunicationsIrelandEircom Holdings (Ireland) LtdEircom Holdings (NEW)BL0459745 LX161434PharmaceuticalsHealthcare & PharmaceuticalsFranceEthypharmEthypharm New T/LBL0458838 LX160780General RetailRetailUnited KingdomIntervias Finco LimitedEuro Garages new T/L D2BL0467037 LX163533CableTelecommunicationsSpainEuskaltelEuskaltel T/L B3BL0414096 LX148798Banking and FinanceServices: BusinessFranceFINANCIERE HOLDING CEPFinanciere CEP B4BL0419897 LX150431Banking and FinanceServices: BusinessFranceFINANCIERE HOLDING CEPFinanciere Holding Term Loan B3BL0414864 LX149025ChemicalsChemicals, Plastics, & RubberGermanyColouroz MidcoFlint Group TL 1LBL0372997 LX136879Real EstateServices: ConsumerFranceFoncia GroupeFoncia Term Loan B NewBL0435729 LX153737AutomobilesAutomotiveUnited StatesGates Global LLCGates Global New Term LoanBL0462806 LX161939Banking and FinanceServices: BusinessNetherlandsGlobal Blue Finance S.A R.LGlobal Blue T/L DBL0458093 LX160394ChemicalsChemicals, Plastics, & RubberUnited KingdomIneos Group Holdings PLCIneos New T/L 2024BL0456121 LX160134


of 48



03-Aug-1715-Aug-17



Broadcasting and MediaMedia: Broadcasting & SubscriptionNetherlandsInfinitas Learning Holdings B.V.Infinitas New Term Loan B3BL0463069 LX162255Computer and ElectronicsHigh Tech IndustriesUnited StatesGGC Software Holdings, IncInfor (Lawson) T/L B1BL0455230 LX159914ChemicalsChemicals, Plastics, & RubberUnited KingdomInovyn Finance PLCInovyn Finance 2024 Tranche B EUR T/LBL0464414 LX162963TelecommunicationsTelecommunicationsUnited KingdomInteroute FincoInteroute TL BBL0446841 LX156376Banking and FinanceBanking, Finance, Insurance & Real

EstateIrelandION Trading Technologies LimitedION Trading B-1 Euro T/L (NEW)BL0437212 LX147780

HealthcareHealthcare & PharmaceuticalsUnited StatesKinetic Concepts Inc.Kinetic Concepts (Acelity) T/L BBL0454340 LX159775Computer and ElectronicsHigh Tech IndustriesUnited StatesLANDesk Group, Inc.LANDesk 2nd Lien T/LBL0454571 LX159001HealthcareChemicals, Plastics, & RubberUnited KingdomLGC Science Holdings LimitedLGC Science EUR T/L B4BL0453987 LX159294Industrial/ManufacturingHigh Tech IndustriesFranceLully Finance S.A.R.L.Lully Finance (FCI Microconnections) 1st

Lien T/LBL0449035 LX157357

TelecommunicationsTelecommunicationsSwitzerlandMatterhorn Telecom SAMATTER Float 02/01/23AM7964225 XS1580388384Computer and ElectronicsHigh Tech IndustriesUnited KingdomMicroFocusMicro Focus T/L B3BL0465502 LX162912Computer and ElectronicsHigh Tech IndustriesLuxembourgMagic Newco 5 S.a.r.lMisys Term B Eur LoanBL0467474 LX163229General RetailRetailUnited KingdomMRHMRH EUR T/L B4BL0472177 LX165654Business ServicesAutomotiveUnited KingdomMSX International, Inc.MSX International T/L BBL0449050 LX157358Broadcasting and MediaMedia: Advertising, Printing &

PublishingUnited StatesNielsen Holdings N.V.Nielsen Finance T/L B2 (VNU) EURBL0370520 LX136616

Consumer ProductsServices: ConsumerNetherlandsNord Anglia Education Finance LLCNord Anglia Term LoanBL0472342 LX165624Computer and ElectronicsHigh Tech IndustriesFranceOberthur Technologies Holdings SASOberthur T/L B1BL0449472 LX157594Computer and ElectronicsHigh Tech IndustriesFranceOberthur Technologies Holdings SASOberthur TL B2BL0451262 LX158095Environmental ServicesServices: ConsumerFrancePHM France Holdco 19 SASOGF T/L B (03/17)BL0462343 LX161834Business ServicesServices: BusinessGermanyP&I AGP&I AG T/L B1BL0470049 LX164121Buildings and MaterialsConstruction & BuildingFranceParexParex T/L BBL0459463 LX161205Industrial/ManufacturingCapital EquipmentGermanyPenn Engineering & Manufacturing Corp.Penn Engineering Cov Lite T/LBL0471922 LX165415Food and Drug RetailRetailFranceProsol groupProsol T/L BBL0464851 LX162576HealthcareHealthcare & PharmaceuticalsUnited StatesQuintiles IMS IncorporatedQuintiles IMS T/L B-1 (EUR)BL0459026 LX160895Food, Beverage and TobaccoBeverage, Food & TobaccoUnited KingdomFroneriR&R Ice Cream T/L BBL0441479 LX154933Business ServicesHigh Tech IndustriesFranceRaet BVRaet Term LoanBL0405011 LX145274Banking and FinanceServices: BusinessUnited StatesRussell Investments US Institutional Holdco,

Inc.Russell Investments T/L BBL0427262 LX152375

Environmental ServicesEnvironmental IndustriesUnited KingdomSafety KleenSafety Kleen T/L B1BL0473720 LX166008HealthcareHealthcare & PharmaceuticalsFranceDiacine France SASSebia T/L B3A NewBL0463481 LX139399HealthcareHealthcare & PharmaceuticalsFranceDiacine France SASSebia T/L B3BBL0452971 LX142742HealthcareHealthcare & PharmaceuticalsLuxembourgSiemens AudiologySiemens T/L B6BL0459455 LX160224Packaging and ContainersContainers, Packaging & GlassLuxembourgSig Combibloc Holdings SCASIG Combibloc T/LBL0392680 LX143111Consumer ProductsConstruction & BuildingGermanyHELIOVEN FRANCE S.A.SSLV New T/LBL0449811 LX157317Business ServicesServices: BusinessFranceSOCO 2Socotec Term Loan NewBL0475501 LX166814Computer and ElectronicsServices: BusinessUnited StatesSolera Holdings IncSolera Finance T/L BBL0422347 LX151195Broadcasting and MediaMedia: Advertising, Printing &

PublishingGermanySpringer SBM One GmbHSpringer Science T/L B11BL0462137 LX161998

Gaming, Leisure and EntertainmentHotel, Gaming & LeisureNetherlandsStage EntertainmentStage entertainment T/L BBL0473712 LX165734Gaming, Leisure and EntertainmentHotel, Gaming & LeisureLuxembourgTipicoTackle Sarl Facility BBL0461642 LX161574Computer and ElectronicsServices: BusinessFranceTech Finance & CO S.C.ATechnicolor T/L B NewBL0449365 LX157075


of 48



03-Aug-1715-Aug-17



TelecommunicationsMedia: Broadcasting & SubscriptionBelgiumLiberty Global plcTelenet T/L AHBL0463911 LX162328AutomobilesAutomotiveUnited StatesTI Fluid Systems LimitedTI Automotive Initial Term LoanBL0403883 LX145316Broadcasting and MediaHotel, Gaming & LeisureSpainDorna Sports S.L.Tinagen T/L NEW B2BL0462285 LX161739Banking and FinanceBanking, Finance, Insurance & Real

EstateNetherlandsTMF Group Holding B.V.TMF T/L BBL0464919 LX162575

HealthcareServices: BusinessSwedenUnilabs Subholding ABUnilabs Diagnostics T/L B2BL0461063 LX161584Food, Beverage and TobaccoBeverage, Food & TobaccoIrelandValeo FoodValeo T/L BBL0401267 LX144621HealthcareHealthcare & PharmaceuticalsFranceVedici GroupeVedici T/L B (12/16)BL0451254 LX158179Consumer ProductsServices: ConsumerSwedenVerisure Holding ABVerisure T/L B1-EBL0469421 LX164262PharmaceuticalsHealthcare & PharmaceuticalsUnited StatesVWR Funding, Inc.VWR T/L B2BL0449100 LX157040Computer and ElectronicsHigh Tech IndustriesUnited StatesWestern Digital Technologies, IncWestern Digital Technologies Inc T/L B2

(NEW)BL0460412 LX161282

CableTelecommunicationsNetherlandsZiggo BVZiggo T/L F (EUR)BL0454134 LX159376

Totals: 93


of 48

Delayed Drawdown Collateral Obligation

Revolving Obligation

Current Pay Obligation

Cov-Lite Loan

Corporate Rescue LoanBridge Loan

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

Market Value Determined

by CM


03-Aug-1715-Aug-17

Current Asset Characteristics - Part III


-------Action Holding Term B - Add onLX150838BL0421026 --------YesAlbea Beauty Term LoanLX162335BL0464711 --------YesAll 3 Media New Facility BLX137655BL0377103 ---------Allnex T/L B1 (EUR) NewLX152755BL0460396 ---------Almonde (Misys) 2nd Lien T/LLX163231BL0467573 ---------Ameos Term LoanLX164184BL0469165 --------YesArmacell EUR T/L B3LX161096BL0459802 ---------Aruba T/L B-1 (EUR)LX145177BL0403503 ---------Avast Software New T/L B EURLX161611BL0460727 ---------Axalta Coating System T/L B EURLX134952BL0449902 ---------Beauty Holding T/L B18 (formerly B11)LX160536BL0436537 ---------Beauty Holding T/L B19(formerly B12)LX160537BL0436545 -----Yes---Bilfinger T/L B3 (Apleona)LX163280BL0467029 -----Yes---Bilfinger Term Loan B4 (Triangle FM Services

Holding GmbH(Apleona))LX163281BL0468407 --

---Yes--YesBIO Group Term LoanLX164386BL0469439 ---------Caldic (Pertus Bidco B.V) New T/LLX165609BL0473043 ---------Campbell T/L Add On BLX157881BL0449027 ---------Catalent Pharma T/L B EURLX137091BL0373078 ---------Ceva Sante Animale T/L BLX135736BL0369332 ---------Coherent Holding T/L BLX153899BL0435521 ---------Concardis Term Loan EurLX161040BL0459299 ---------Constantia Term loan B1LX143296BL0393688 ---------Constantia Term loan B2LX143893BL0397762 -----Yes---Cooper Pharma T/L B1 NewLX159934BL0455396 -----Yes---Coopers term loan B2 NewLX160654BL0457103 --------YesCorialis T/L BLX159920BL0453656 ---------Coty T/L B2LX156194BL0446965 ---------Coty Term Loan B1LX155917BL0447161 ---------CPA Global T/L BLX133726BL0356719 ---------DE Master Blenders T/L B NewLX163472BL0467060 ---------Delachaux T/L B1 AmendmentLX141055BL0387433 ---------Diaverum Term Loan BLX164119BL0469140 ---------Eircom Holdings (NEW)LX161434BL0459745 ---------Ethypharm New T/LLX160780BL0458838 ---------Euro Garages new T/L D2LX163533BL0467037 ---------Euskaltel T/L B3LX148798BL0414096 ---------Financiere CEP B4LX150431BL0419897 ---------Financiere Holding Term Loan B3LX149025BL0414864 ---------Flint Group TL 1LLX136879BL0372997 ---------Foncia Term Loan B NewLX153737BL0435729 ---------Gates Global New Term LoanLX161939BL0462806 ---------Global Blue T/L DLX160394BL0458093 -----Yes---Ineos New T/L 2024LX160134BL0456121 -----Yes---Infinitas New Term Loan B3LX162255BL0463069 --

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


of 48




Cov-Lite Loan




by CM


03-Aug-1715-Aug-17



-------Infor (Lawson) T/L B1LX159914BL0455230 -----Yes---Inovyn Finance 2024 Tranche B EUR T/LLX162963BL0464414 --------YesInteroute TL BLX156376BL0446841 ---------ION Trading B-1 Euro T/L (NEW)LX147780BL0437212 ---------Kinetic Concepts (Acelity) T/L BLX159775BL0454340 ---------LANDesk 2nd Lien T/LLX159001BL0454571 ---------LGC Science EUR T/L B4LX159294BL0453987 ---------Lully Finance (FCI Microconnections) 1st Lien T/LLX157357BL0449035 ---------MATTER Float 02/01/23XS1580388384AM7964225 ---------Micro Focus T/L B3LX162912BL0465502 ---------Misys Term B Eur LoanLX163229BL0467474 ---------MRH EUR T/L B4LX165654BL0472177 ---------MSX International T/L BLX157358BL0449050 ---------Nielsen Finance T/L B2 (VNU) EURLX136616BL0370520 ---------Nord Anglia Term LoanLX165624BL0472342 -----Yes---Oberthur T/L B1LX157594BL0449472 ---------Oberthur TL B2LX158095BL0451262 --------YesOGF T/L B (03/17)LX161834BL0462343 ---------P&I AG T/L B1LX164121BL0470049 -----Yes---Parex T/L BLX161205BL0459463 -----Yes---Penn Engineering Cov Lite T/LLX165415BL0471922 ---------Prosol T/L BLX162576BL0464851 ---------Quintiles IMS T/L B-1 (EUR)LX160895BL0459026 ---------R&R Ice Cream T/L BLX154933BL0441479 ---------Raet Term LoanLX145274BL0405011 ---------Russell Investments T/L BLX152375BL0427262 ---------Safety Kleen T/L B1LX166008BL0473720 ---------Sebia T/L B3A NewLX139399BL0463481 ---------Sebia T/L B3BLX142742BL0452971 ---------Siemens T/L B6LX160224BL0459455 ---------SIG Combibloc T/LLX143111BL0392680 -----Yes---SLV New T/LLX157317BL0449811 ---------Socotec Term Loan NewLX166814BL0475501 ---------Solera Finance T/L BLX151195BL0422347 ---------Springer Science T/L B11LX161998BL0462137 ---------Stage entertainment T/L BLX165734BL0473712 ---------Tackle Sarl Facility BLX161574BL0461642 -----Yes---Technicolor T/L B NewLX157075BL0449365 ---------Telenet T/L AHLX162328BL0463911 ---------TI Automotive Initial Term LoanLX145316BL0403883 --------YesTinagen T/L NEW B2LX161739BL0462285 --------YesTMF T/L BLX162575BL0464919 -----Yes--YesUnilabs Diagnostics T/L B2LX161584BL0461063 ---------Valeo T/L BLX144621BL0401267 ---------Vedici T/L B (12/16)LX158179BL0451254 --



of 48




Cov-Lite Loan




by CM


03-Aug-1715-Aug-17



---Yes---Verisure T/L B1-ELX164262BL0469421 ---------VWR T/L B2LX157040BL0449100 ---------Western Digital Technologies Inc T/L B2 (NEW)LX161282BL0460412 --------YesZiggo T/L F (EUR)LX159376BL0454134 --

Totals: 93



of 48

% of CPAMarket ValuePrincipal Balance

Fitch RatingSecurity NameSecurity I.D.


03-Aug-1715-Aug-17

Fitch CCC Obligations


Totals: 0 - - %


of 48

% of CPAMarket ValuePrincipal Balance

Moody's RatingSecurity NameSecurity I.D.


03-Aug-1715-Aug-17

Moody's Caa Obligations


0.13% 102.5250 456,300.00Almonde (Misys) 2nd Lien T/LBL0467573 Caa2 0.27% 99.6250 941,800.00LANDesk 2nd Lien T/LBL0454571 Caa2

Totals: 2 1,398,100.00 0.40%


of 48

Calculation Amount

Fitch Collateral

Value

Moody's Collateral

ValueMarket Value

Fitch Recovery

Rate

Moody's Recovery

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


03-Aug-1715-Aug-17

Defaulted Obligations and Deferring Securities


Totals: 0 0.00 0.00


of 48

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


03-Aug-1715-Aug-17

Discount and Swapped Non-Discount Obligations


Totals: 0 0.00 0.00 0.00 %


of 48

Principal BalanceNumber of UnitsAsset TypeSecurity NameSecurity I.D.


03-Aug-1715-Aug-17

Collateral Enhancement Obligations and Exchanged Equity Securities


Totals: 0


of 48

Principal BalanceFitchMoody'sSelling InstitutionSecurity NameSecurity I.D.

Counterparty Ratings


03-Aug-1715-Aug-17

Participation Information


Totals: 0 -


of 48

Maturity Date


03-Aug-1715-Aug-17

Restructured Obligations - Additions


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

BL0469140 Diaverum Term Loan B Diaverum Holding SARL Secured Senior Loan04-Jul-17 221,756.33 04-Jul-24

BL0469140 Diaverum Term Loan B Diaverum Holding SARL Secured Senior Loan04-Jul-17 2,778,243.67 04-Jul-24

Totals: 3,000,000.00 2


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03-Aug-1715-Aug-17

Restructured Obligations - Removals


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

2,778,243.67 01-Apr-2204-Jul-17 Secured Senior LoanDiaverum Lux T.L C ConsentingBL0423592

221,756.33 01-Apr-2204-Jul-17 Secured Senior LoanDiaverum 4/14 France Consenting Term Loan CBL0426991

Total: 2 3,000,000.00


of 48

Security Name

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

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


03-Aug-1715-Aug-17

Rating Detail


Albea Beauty Term LoanBL0464711 B2 B2 B2 B2 - - PB2 B2 -

All 3 Media New Facility BBL0377103 B3 B3 B2 B2 - - PB3 B2 -

Allnex T/L B1 (EUR) NewBL0460396 B1 B1 B1 B1 - - PB1 B1 -

Almonde (Misys) 2nd Lien T/LBL0467573 B3 B3 Caa2 Caa2 - - PB3 Caa2 -

Armacell EUR T/L B3BL0459802 B3 B3 B2 B2 - - PB3 B2 -

Avast Software New T/L B EURBL0460727 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -

Axalta Coating System T/L B EURBL0449902 Ba3 Ba3 Ba1 Ba1 - - PBa3 Ba1 -

Beauty Holding T/L B18 (formerly B11)BL0436537 B2 B2 B1 B1 - - PB2 B1 -

Beauty Holding T/L B19(formerly B12)BL0436545 B2 B2 B1 B1 - - PB2 B1 -

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

Coherent Holding T/L BBL0435521 Ba2 Ba1 Ba2 Ba1 - - PBa2 Ba2 -

Constantia Term loan B1BL0393688 B1 B1 B1 B1 - - PB1 B1 -

Constantia Term loan B2BL0397762 B1 B1 B1 B1 - - PB1 B1 -

Corialis T/L BBL0453656 B2 B2 B1 B1 - - PB2 B1 -

Coty T/L B2BL0446965 Ba1 Ba1 Ba1 Ba1 - - PBa1 Ba1 -

Coty Term Loan B1BL0447161 Ba1 Ba1 Ba1 Ba1 - - PBa1 Ba1 -

CPA Global T/L BBL0356719 B1 B1 B1 B1 - - PB1 B1 -

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

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

Euro Garages new T/L D2BL0467037 B2 B2 B2 B2 - - PB2 B2 -

Euskaltel T/L B3BL0414096 B1 B1 B1 B1 - - PB1 B1 -

Flint Group TL 1LBL0372997 B2 B2 B2 B2 - - PB2 B2 -

Gates Global New Term LoanBL0462806 B3 B3 B2 B2 - - PB3 B2 -

Global Blue T/L DBL0458093 B1 B1 B1 B1 - - PB1 B1 -

Ineos New T/L 2024BL0456121 Ba3 Ba3 Ba2 Ba2 - - PBa3 Ba2 -

Infor (Lawson) T/L B1BL0455230 B3 B3 B1 B1 - - PB3 B1 -

Inovyn Finance 2024 Tranche B EUR T/LBL0464414 B2 B2 B2 B2 - - PB2 B2 -

Interoute TL BBL0446841 B1 B1 B1 B1 - - PB1 B1 -

ION Trading B-1 Euro T/L (NEW)BL0437212 B2 B2 B2 B2 - - PB2 B2 -

Kinetic Concepts (Acelity) T/L BBL0454340 B2 B2 B1 B1 - - PB2 B1 -

LANDesk 2nd Lien T/LBL0454571 B3 B3 Caa2 Caa2 - - PB3 Caa2 -

Lully Finance (FCI Microconnections) 1st Lien T/LBL0449035 B2 B2 B1 B1 - - PB2 B1 -

MATTER Float 02/01/23AM7964225 B2 B2 B2 B2 - - PB2 B2 -

Misys Term B Eur LoanBL0467474 B3 B3 B2 B2 - - PB3 B2 -

MRH EUR T/L B4BL0472177 B1 B1 B1 B1 - - PB1 B1 -

Nord Anglia Term LoanBL0472342 - - S - - S B - P- - B

Oberthur T/L B1BL0449472 B2 B2 B2 B2 B BB2 B2 B

Oberthur TL B2BL0451262 B2 B2 B2 B2 B BB2 B2 B

OGF T/L B (03/17)BL0462343 B2 B2 B2 B2 - - PB2 B2 -

Quintiles IMS T/L B-1 (EUR)BL0459026 Ba2 Ba2 Ba1 Ba1 - - PBa2 Ba1 -

Asset Status Legend: NPS DEF

CW+CW-- Notched / Implied Rating

- Private Rating- Shadow Rating

- Credit Watch with positive implications- In Default

- Credit Watch with negative implications


of 48

Security Name

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

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


03-Aug-1715-Aug-17

Rating Detail


R&R Ice Cream T/L BBL0441479 Ba2 Ba2 Ba2 Ba2 - - PBa2 Ba2 -

Russell Investments T/L BBL0427262 Ba2 Ba2 Ba2 Ba2 BB BBBa2 Ba2 BB

Siemens T/L B6BL0459455 B2 B2 B1 B1 - - PB2 B1 -

Solera Finance T/L BBL0422347 B2 B2 Ba3 Ba3 - - PB2 Ba3 -

Springer Science T/L B11BL0462137 B2 B2 B2 B2 - - PB2 B2 -

Telenet T/L AHBL0463911 Ba3 Ba3 Ba3 Ba3 BB- BB-Ba3 Ba3 BB-

TI Automotive Initial Term LoanBL0403883 B2 B2 Ba3 Ba3 - - PB2 Ba3 -

TMF T/L BBL0464919 B2 B2 B2 B2 - - PB2 B2 -

Unilabs Diagnostics T/L B2BL0461063 B3 B3 B2 B2 - - PB3 B2 -

VWR T/L B2BL0449100 B1 B2 CW- Ba3 B1 CW- - - PB2 B1 -

Western Digital Technologies Inc T/L B2 (NEW)BL0460412 Ba1 Ba1 Ba1 Ba1 BB+ BB+Ba1 Ba1 BB+

Ziggo T/L F (EUR)BL0454134 Ba3 Ba3 Ba3 Ba3 - - PBa3 Ba3 -

Totals: 52

Asset Status Legend: NPS DEF

CW+CW-- Notched / Implied Rating

- Private Rating- Shadow Rating

- Credit Watch with positive implications- In Default

- Credit Watch with negative implications


of 48

Security Name

Moody's Fitch

Security ID


03-Aug-1715-Aug-17

Rating Change History


Action DateCurrPrior Action DateCurrPrior

Coherent Holding T/L BBL0435521 Ba2 Ba1 31-Jul-17 UPG

1Totals:


of 48

Security Name

Moody's Fitch

Security ID Prior Prior Date Curr Curr Date Prior Prior Date Curr Curr Date


03-Aug-1715-Aug-17

Rating Change History - Shadow/Private


Ceva Sante Animale T/L BBL0369332 Private Private+109-Sep-14 12-Jul-17

Totals: 1


of 48

Notional Amount (EUR)

Notional Amount (CCY)

FX RateCurrencyCounterpartyIssuer / Obligor


03-Aug-1715-Aug-17

Currency Hedge Transactions


2,345,200.00 2,000,000.00 1.17260GBPAll3Media Intermediate Limited JP Morgan AG 2,696,980.00 2,300,000.00 1.17260GBPAll3Media Intermediate Limited JP Morgan AG

941,800.00 1,000,000.00 0.94180USDLANDesk Group, Inc. JP Morgan AG 456,300.00 500,000.00 0.91260USDMisys Newco 2 S.a r.l. JP Morgan AG

2,407,972.21 2,548,118.74 0.94500USDRussell Investments US Institutional Holdco, Inc. JP Morgan AG 744,637.72 787,976.42 0.94500USDRussell Investments US Institutional Holdco, Inc. JP Morgan AG

3,322,200.00 2,940,000.00 1.13000GBPTriangle FM Services TOPCO GMBH JP Morgan AG

Totals: 7 12,915,089.93


of 48

Nbr Counterparty Short-term Min Result Long-term Min Result

Moody's

Short-term Min Result Long-term Min Result

Fitch


03-Aug-1715-Aug-17

Hedge Counterparty Ratings


Counterparty Role

Elavon Financial Services DAC -F1+A1P-1 1 Agent Bank

Elavon Financial Services DAC -F1+A1P-1 2 Custodian

Elavon Financial Services DAC -F1+A1P-1 3 Paying Agent

JP Morgan AG AA-F1+Aa3P-1 4

4Totals:


of 48


03-Aug-1715-Aug-17

Stratifications - Countries and Obligors


Distribution of Countries

CountryPrincipalBalance

# ofAssets

% of Collateral Principal Amount

20.07 %France 21 70,140,483.39

17.36 %U.S. 15 60,678,465.69

13.20 %United Kingdom 14 46,126,729.10

12.81 %Germany 14 44,775,831.32

12.65 %Netherlands 10 44,189,762.73

8.51 %Luxembourg 9 29,753,374.51

3.62 %Ireland 3 12,666,915.90

3.12 %Spain 2 10,902,378.21

2.29 %Sweden 2 8,000,000.00

1.55 %Belgium 1 5,425,000.00

0.81 %Switzerland 2 2,840,000.00

96.01 %Total 93 335,498,940.85

Distribution of Obligors (10 Largest)

ObligorPrincipalBalance

# ofAssets

% of Collateral Principal Amount

Peer Holding B.V 9,019,230.77 2.58 % 1

Quintiles IMS Incorporated 1 7,779,163.96 2.23 %

Intervias Finco Limited 7,500,000.00 2.15 % 1

PHM France Holdco 19 SAS 1 7,453,158.41 2.13 %

Diacine France SAS 7,424,308.99 2.12 % 2

Beauty Business NewCo 2 7,125,454.13 2.04 %

Verisure Holding AB 7,000,000.00 2.00 % 1

Armacell Iberia S.L. aka Foam Inv II 1 6,883,192.78 1.97 %

Ziggo BV 6,811,594.20 1.95 % 1

Global Blue Finance S.A R.L 1 6,798,095.24 1.95 %

21.12 %Total 12 73,794,198.48


of 48


03-Aug-1715-Aug-17

Stratifications - Industries


Distribution of Moody's Industry Classifications

IndustryPrincipalBalance

# ofAssets

% of CPA

4.06 %Automotive 3 14,198,538.03

1.81 %Banking, Finance, Insurance & Real Estate 2 6,326,915.90

2.90 %Beverage, Food & Tobacco 4 10,133,953.66

1.75 %Capital Equipment 3 6,131,501.63

9.23 %Chemicals, Plastics, & Rubber 8 32,244,958.96

2.19 %Construction & Building 3 7,650,000.00

2.04 %Consumer goods: Non-durable 2 7,125,454.13

3.68 %Containers, Packaging & Glass 4 12,842,847.22

0.69 %Environmental Industries 1 2,406,137.18

10.13 %Healthcare & Pharmaceuticals 11 35,384,158.52

7.86 %High Tech Industries 10 27,455,755.95

3.08 %Hotel, Gaming & Leisure 3 10,752,378.21

3.27 %Media: Advertising, Printing & Publishing 2 11,415,616.81

3.99 %Media: Broadcasting & Subscription 3 13,945,440.87

10.81 %Retail 8 37,783,018.60

10.55 %Services: Business 12 36,873,231.33

9.83 %Services: Consumer 7 34,344,246.87

5.54 %Telecommunications 5 19,351,594.20

2.61 %Wholesale 2 9,133,192.78

96.01 %Total 93 335,498,940.85

Distribution of Fitch Industry Classifications

IndustryPrincipalBalance

# ofAssets

% of CPA

3.20 %Automobiles 2 11,198,538.03

6.13 %Banking and Finance 7 21,430,147.23

7.54 %Broadcasting and Media 5 26,338,435.89

2.99 %Buildings and Materials 3 10,433,192.78

5.10 %Business Services 5 17,825,000.00

3.24 %Cable 2 11,311,594.20

8.08 %Chemicals 7 28,244,958.96

9.33 %Computer and Electronics 11 32,592,780.17

6.30 %Consumer Products 5 22,005,454.13

2.82 %Environmental Services 2 9,859,295.59

1.84 %Food and Drug Retail 1 6,428,571.43

2.90 %Food, Beverage and Tobacco 4 10,133,953.66

1.24 %Gaming, Leisure and Entertainment 2 4,350,000.00

7.27 %General Retail 5 25,394,447.17

9.98 %Healthcare 11 34,881,256.51

2.88 %Industrial/Manufacturing 4 10,051,501.63

3.68 %Packaging and Containers 4 12,842,847.22

4.64 %Pharmaceuticals 6 16,212,902.01

3.00 %Real Estate 3 10,499,064.24

3.85 %Telecommunications 4 13,465,000.00

96.01 %Total 93 335,498,940.85

of 48


03-Aug-1715-Aug-17

Frequency Switch Event


(a) Calculations Detail

Aggregate Principal Balance of Frequency Switch Obligations 44,564,725.82(i)

Collateral Principal Amount as of the Frequency Switch Measurement Date 349,442,195.50

Aggregate Principal Balance of Frequency Switch Obligations (as a percentage of the Collateral Principal Amount) 12.8%

Trigger 20.0%

Interest Coverage Amount (provided that paragraph (b) of the definition thereof shall be deemed to be equal to zero) 2,418,593.53(ii)

Interest payment due on the Class A Notes and the Class B Notes 690,036.03

Class A/B Interest Coverage Ratio 350.5%

Trigger 100.0%

(b) Collateral Manager's Discretion

The Collateral Manager declares in its sole discretion that a Frequency Switch Event has occurred No

A Frequency Switch Event may only occur on a Determination Date from (and including) the Determination Date immediately preceding the second Payment Date in August 2015


of 48


03-Aug-1715-Aug-17

Risk Retention


The Collateral Administrator has received written confirmation from the Retention Holder that:

it continues to hold an initial principal amount representing not less than 5 per cent. of each Class of Notes; and

(a)

it has not sold, hedged or otherwise mitigated its credit risk under or associated with the Retention Notes or the underlying portfolio of Collateral Obligations, except to the extent permitted in accordance with the Retention Requirements.

(b)


of 48


03-Aug-1715-Aug-17

Disclaimer


This report is for the purposes of information only. Certain information included in this report is estimated, approximated or projected and it is provided without any representations or warranties as to its accuracy or completeness and none of the Collateral Administrator, the Trustee, the Issuer or the Collateral Manager will have any liability for estimates, approximations or projections contained herein.

U.S. Bank Global Corporate Trust Services is a trading name of Elavon Financial Services DAC (a U.S. Bancorp group company), registered in Ireland with the Companies Registration Office, Reg. No. 418442.

The liability of the member is limited. United Kingdom branch registered in England and Wales under the number BR009373. Authorised by the Central Bank of Ireland.

Address: U.S. Bank Global Corporate Trust Services, 125 Old Broad Street, Fifth Floor, London EC2N 1AR


contego clo ii b.v. as of: 03-aug-17 current payment: 15 ... · par value tests detail 9 ......

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