Market Conduct Acknowledgement and Confidentiality Undertaking

I hereby confirm that I am, or I am authorised on behalf of, one of the following: ● a holder of securities issued under this transaction; or ● a credit rating agency that is authorised to view the information published on this site in relation to the securities issued under this transaction; or ● a contractual counterparty in respect of the securities issued under this transaction who is authorised to view the information published on this site in relation to the relevant securities, and that I am accessing this site in such a capacity.

I hereby acknowledge that the information published on this site, including but without limitation in any document, report or notice available through this site, may constitute inside information, material non public information or their equivalent under the provisions of the applicable market abuse regulations and/ or insider dealing legislation. As a result, I may become an insider and/or be subject to restrictions on my behaviour under, or for the purposes of, market abuse regulations and/or insider dealing legislation, including that I may be unable to communicate this information to other parties and that I may be unable to trade the relevant securities until such time that I cease to be an insider. I hereby agree and confirm that I will seek my own legal advice in connection therewith. I hereby accept all and any consequences of my receipt of such information and further agree and confirm that U.S. Bank Global Corporate Trust Services has published the information on this site in performance of its duties under the relevant transaction documents and shall have no liability therefor.

I hereby also agree and confirm that I will keep confidential, and will not disclose to any person whatsoever, any information of a confidential nature that I am able to access by virtue of using this site, which may constitute inside information, material non public information or their equivalent under the provisions of the applicable market abuse regulations and/or insider dealing legislation. Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Current Payment: 22-Oct-18 CDO Trust Services Prior Payment: 20-Jul-18 www.usbank.com/cdo Next Payment: 21-Jan-19 Kwame Anno-Bempong +44 (0) 207 330 2206 [email protected] Monthly Report

Electronic Reports Relevant Dates Issue ID: ...... HCYN1602 Issue Date: 20-Dec-16 Payment Data File Name: Effective Date: 20-Jun-17 HCYN1602_20180808_D_1.CSV Account Summary First Payment Date: 20-Jul-17 HCYN1602_20180808_D_2.CSV Transaction Detail Reinvestment Period End Date: 20-Jan-21 HCYN1602_20180808_D_3.CSV Test History HCYN1602_20180808_D_4.CSV Asset Detail HCYN1602_20180808_SIFMA.XML SIFMA

Compliance Information Pages Asset Detail Information Pages Statistical Information Pages Summary 2 Current Asset Characteristics - Part I 31 - 36 Stratifications - Countries and Obligors 76 Account Summary 3 Current Asset Characteristics - Part II 37 - 42 Stratifications - Industries 77 - 78 Coverage and Collateral Quality Tests Summary 4 Current Asset Characteristics - Part III 43 - 47 Risk Retention 79 Portfolio Profile Tests Summary 5 - 6 Defaulted Obligations and Deferring Securities 48 Disclaimer 80 Par Value Tests Detail 7 Moody's Caa Obligations and S&P CCC Obligations 49 Interest Coverage Tests Detail 8 Unsecured Senior Loans, Second Lien Loans and 50 Coverage Tests History - Part I 9 Mezzanine Loans Coverage Tests History - Part II 10 Rating Detail 51 - 57 Collateral Quality Tests History - Part I 11 Recovery Rate Detail 58 - 64 Collateral Quality Tests History - Part II 12 Issuer Rating Change History 65 Collateral Quality Tests History - Part III 13 Rating Change History - Shadow/Private 66 Collateral Quality Tests History - Part IV 14 Assets Purchased 67 Moody's Diversity Score 15 - 19 Assets Sold 68 Weighted Average Spread 20 - 27 Discount and Swapped Non-Discount Obligations 69 Weighted Average Fixed Coupon 28 Collateral Enhancement Obligations and Exchanged 70 Minimum Weighted Average Spread Test 29 Equity Securities 71 S&P CDO Monitor 30 Participation Information Restructured Obligations - Additions 72 Restructured Obligations - Removals 73 Currency Hedge Transactions 74 Hedge Counterparty Ratings 75 Contact Information Issuer: Halcyon Loan Advisors European Funding 2016 Designated Activity Company Collateral Manager: Halcyon Structured Asset Management L.P. Rated By: Moody's Investors Service/Standard & Poor's Ratings Services

Information is available from the following sources U.S. Bank Web Site www.usbank.com/cdo

Monthly Report - 8/20/2018 4:00:09PM © 2011 U.S. Bancorp Page 1 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Summary

Note Information

Expected Moody's S&P Original Original Current Interest Note Coupon Balance Balance Payment Index Coupon Orig Curr Orig Curr Class A1 Snr Secured FRN 1.03000% 188,200,000.00 188,200,000.00 506,153.44 0.00% 1.03000% Aaa Aaa AAA AAA Class A2 Snr Secured Fixed 1.09000% 10,000,000.00 10,000,000.00 27,250.00 0.00% 1.09000% Aaa Aaa AAA AAA Class B Snr Secured FRN 1.70000% 39,000,000.00 39,000,000.00 173,116.67 0.00% 1.70000% Aa2 Aa2 AA AA Class C Snr Secured FRN 2.50000% 19,300,000.00 19,300,000.00 125,986.11 0.00% 2.50000% A2 A2 A A Class D Snr Secured FRN 3.60000% 15,500,000.00 15,500,000.00 145,700.00 0.00% 3.60000% Baa2 Baa2 BBB BBB Class E Snr Secured FRN 6.45000% 19,500,000.00 19,500,000.00 328,412.50 0.00% 6.45000% Ba2 Ba2 BB BB Class F Snr Secured FRN 7.50000% 10,000,000.00 10,000,000.00 195,833.33 0.00% 7.50000% B2 B2 B- B- Subordinated Notes N/A 36,500,000.00 36,500,000.00 N/A 0.00% N/A NR NR NR NR

Totals: 338,000,000.00 338,000,000.00 1,502,452.05

Asset Positions Test Summary Curr Prior Position Count Current Count Prior Test Type Pass Fail N/A Senior Secured Loan 141 300,722,716.90 136 291,552,874.29 Coverage 9 0 0 Senior Secured Bond 20 36,001,355.00 22 38,072,783.55 Quality 12 0 0 Unsecured Senior Obligation 1 500,000.00 1 500,000.00 Portfolio Profile 52 0 0 Second Lien Loan 6 8,380,400.00 6 8,380,400.00 Totals: 73 0 0 High Yield Bond 5 5,975,000.00 5 5,975,000.00 Mezzanine Obligation - - - - Totals: 173 351,579,471.90 170 344,481,057.84

Account Balances and Eligible Investments

Account Current Prior EUR PRINCIPAL AC (23,780,013.95) (16,988,184.17) UNUSED PROCEEDS AC - - Totals: (23,780,013.95) (16,988,184.17)

Monthly Report - 8/20/2018 3:59:28PM © 2011 U.S. Bancorp

Page 2 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Account Summary

Beginning Ending Account Balance Deposits Withdrawals Balance EUR Counterparty Downgrade Collateral Account 0.00 0.00 0.00 0.00 EUR Expense Reserve Account 0.00 0.00 0.00 0.00 EUR First Period Reserve Account 0.00 0.00 0.00 0.00 EUR Hedge Termination Account 0.00 0.00 0.00 0.00 EUR Interest Account 3,165,119.76 1,045,382.73 3,188,592.00 1,021,910.49 EUR Interest Smoothing Account 0.00 0.00 0.00 0.00 EUR Payment Account 250.00 3,165,145.30 3,164,895.29 500.01 EUR Principal Account 7,808,050.65 10,201,749.96 15,803,990.03 2,205,810.58 EUR Supplemental Reserve Account 0.00 0.00 0.00 0.00 EUR Unfunded Revolver Reserve Account 0.00 0.00 0.00 0.00 EUR Unused Proceeds Account 0.00 0.00 0.00 0.00 GBP Currency Account 4,706.68 16,862.31 500.00 21,068.99 HALCYON EUR 2016 CUSTODY ACC 0.00 0.00 0.00 0.00 USD Currency Account 601.18 99,669.39 0.00 100,270.57

*Note the above balances are shown on a Settlement Date Basis

Monthly Report - 8/20/2018 3:59:27PM © 2011 U.S. Bancorp Page 3 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Coverage and Collateral Quality Tests Summary Coverage Tests

Test Number Description Prior Current Trigger Max / Min Result 1 Class A/B Par Value Test 138.07% 138.20% 128.02% Minimum Pass 2 Class C Par Value Test 127.68% 127.80% 119.21% Minimum Pass 3 Class D Par Value Test 120.40% 120.52% 113.49% Minimum Pass 4 Class E Par Value Test 112.35% 112.45% 106.99% Minimum Pass 5 Class F Par Value Test 108.62% 108.72% 103.79% Minimum Pass 6 Reinvestment Par Value Test 108.62% 108.72% 104.29% Minimum Pass 7 Class A/B Interest Coverage Test 430.76% 501.27% 120.00% Minimum Pass 8 Class C Interest Coverage Test 365.65% 425.41% 110.00% Minimum Pass 9 Class D Interest Coverage Test 311.23% 362.05% 105.00% Minimum Pass

Collateral Quality Tests

Test Number Description Prior Current Trigger Max / Min Result 1 Moody's Minimum Weighted Average Recovery Rate Test 43.9% 44.1% 42.1% Minimum Pass 2 Minimum Weighted Average Spread Test 3.92% 3.94% 3.70% Minimum Pass 3 Moody's Maximum Weighted Average Rating Factor Test 2,783 2,740 2,878 Maximum Pass 4 S&P Minimum Weighted Average Recovery Rate Test - Class A Notes 36.5% 36.7% 35.0% Minimum Pass 5 S&P Minimum Weighted Average Recovery Rate Test - Class B Notes 45.8% 45.9% 35.0% Minimum Pass 6 S&P Minimum Weighted Average Recovery Rate Test - Class C Notes 51.7% 51.8% 35.0% Minimum Pass 7 S&P Minimum Weighted Average Recovery Rate Test - Class D Notes 57.8% 57.9% 35.0% Minimum Pass 8 S&P Minimum Weighted Average Recovery Rate Test - Class E Notes 62.4% 62.5% 35.0% Minimum Pass 9 S&P Minimum Weighted Average Recovery Rate Test - Class F Notes 63.4% 63.5% 35.0% Minimum Pass 10 Moody's Minimum Diversity Test 57.89 58.03 46.00 Minimum Pass 11 Weighted Average Life Test 5.60 5.59 6.46 Maximum Pass 12 S&P CDO Monitor Test - 64.7677% 66.8099% Maximum Pass

Monthly Report - 8/20/2018 3:59:23PM © 2011 U.S. Bancorp Page 4 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Portfolio Profile Tests Summary

Test Prior Current Number Description % / Agg. Prin. Balance % / Agg. Prin. Balance Trigger Max / Min Result 1 (a) Secured Senior Loans and Senior Secured Bonds 95.46% / 312,637,473.67 95.47% / 312,944,057.97 90.00% Minimum Pass 2 (b) Secured Senior Loans 83.84% / 274,564,690.12 84.49% / 276,942,702.97 70.00% Minimum Pass 3 (c) Unsecured Senior Obligations, Second Lien Loans, High Yield Bonds and Mezzanine Loans 4.54% / 14,855,400.00 4.53% / 14,855,400.00 10.00% Maximum Pass 4 (d) Single Obligor Concentration of all Collateral Obligations 2.37% / 7,746,975.68 2.36% / 7,746,975.68 3.00% Maximum Pass 5 (e)(i) Single Obligor Concentration of Secured Senior Loans and Senior Secured Bonds (Largest Obligor) 2.37% / 7,746,975.68 2.36% / 7,746,975.68 3.00% Maximum Pass 6 (e)(ii) Single Obligor Concentration of Secured Senior Loans and Senior Secured Bonds (4th Largest Obligor) 1.81% / 5,925,000.00 1.81% / 5,925,000.00 2.50% Maximum Pass 7 (f) Single Obligor Concentration of Collateral Obligations which are not Secured Senior Loans 0.70% / 2,300,000.00 0.70% / 2,300,000.00 1.50% Maximum Pass 8 (g) Non-Euro Obligations 2.91% / 9,538,132.61 2.91% / 9,538,132.61 20.00% Maximum Pass 9 (h) Participations - - 5.00% Maximum Pass 10 (i) Current Pay Obligations - - 2.50% Maximum Pass 11 (j) Annual Obligations - - 5.00% Maximum Pass 12 (k) Revolving Obligations and Delayed Drawdown Collateral Obligations - - 5.00% Maximum Pass 13 (l) S&P CCC Obligations - - 7.50% Maximum Pass 14 (m) Moody's Caa Obligations 6.03% / 19,759,365.19 4.50% / 14,753,968.13 7.50% Maximum Pass 15 (n) Bridge Loans - - 5.00% Maximum Pass 16 (o) Corporate Rescue Loans - - 5.00% Maximum Pass 17 (p) Fixed Rate Collateral Obligations 7.47% / 24,450,000.00 7.46% / 24,450,000.00 7.50% Maximum Pass 18 (q)(i) S&P Industry Concentration (Largest Industry) 8.73% / 28,588,072.99 8.72% / 28,588,072.99 17.50% Maximum Pass 19 (q)(ii) S&P Industry Concentration (Second Largest Industry) 7.99% / 26,159,211.30 7.68% / 25,159,211.30 15.00% Maximum Pass 20 (q)(iii) S&P Industry Concentration (Third Largest Industry) 6.37% / 20,854,713.74 6.65% / 21,798,509.70 12.00% Maximum Pass 21 (q)(iv) S&P Industry Concentration (Fourth Largest Industry) 5.35% / 17,510,402.63 5.36% / 17,564,545.72 10.00% Maximum Pass 22 (s)(iv) S&P Industry Concentration (3 Largest Industries) 23.09% / 75,601,998.03 23.05% / 75,545,793.99 40.00% Maximum Pass 23 (r)(i) Moody's Industry Concentration (Largest Industry) 10.57% / 34,613,812.56 11.70% / 38,363,812.57 17.50% Maximum Pass 24 (r)(ii) Moody's Industry Concentration (Second Largest Industry) 10.18% / 33,345,653.76 10.47% / 34,320,257.70 15.00% Maximum Pass 25 (r)(iii) Moody's Industry Concentration (Third Largest Industry) 9.03% / 29,566,558.28 9.78% / 32,066,557.28 12.00% Maximum Pass 26 (r)(iv) Moody's Industry Concentration (Fourth Largest Industry) 7.75% / 25,366,963.74 7.32% / 24,004,515.24 10.00% Maximum Pass 27 (r)(v) Moody's Industry Concentration (3 Largest Industries) 29.78% / 97,526,024.60 31.96% / 104,750,627.55 40.00% Maximum Pass 28 (s) Collateral Obligations whose S&P Rating is derived from a Moody's Rating - - 10.00% Maximum Pass 29 (t) Collateral Debt Obligations whose Moody's Rating is derived from an S&P Rating - - 10.00% Maximum Pass 30 (u) Obligors who are Domiciled in countries or jurisdictions rated below "A" by S&P 5.46% / 17,875,000.00 4.84% / 15,875,000.00 10.00% Maximum Pass

31 (v)(i) Obligors Domiciled in countries or jurisdictions with a Moody's local currency country risk bond ceiling - - 10.00% Maximum Pass equal to or below "A1"

Monthly Report - 8/20/2018 3:59:28PM © 2011 U.S. Bancorp Page 5 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Portfolio Profile Tests Summary

Test Prior Current Number Description % / Agg. Prin. Balance % / Agg. Prin. Balance Trigger Max / Min Result 32 (v)(ii) Obligors Domiciled in countries or jurisdictions with a Moody's local currency country risk bond ceiling - - 5.00% Maximum Pass equal to or below "Baa1" 33 (v)(iii) Obligors Domiciled in countries or jurisdictions with a Moody's local currency country risk bond ceiling - - 0.00% Maximum Pass below "Baa3" 34 (w) Cov-Lite Loans 15.13% / 49,552,729.53 16.02% / 52,511,127.11 30.00% Maximum Pass

35 (x)(i) Collateral Obligations issued by Obligors with total indebtedness of under EUR200m and above or equal - - 5.00% Maximum Pass to EUR150m 36 (x)(ii) Collateral Obligations issued by Obligors with total indebtedness of under EUR150m - - 0.00% Maximum Pass 37 (y) PIK Obligations - - 5.00% Maximum Pass 38 (z)(i) Individual Third Party Credit Exposure to a Selling Institution rated "Aaa" by Moody's or "AAA" by S&P - - 5.00% Maximum Pass 39 (z)(ii) Individual Third Party Credit Exposure to a Selling Institution rated "Aa1" by Moody's or "AA+" by S&P - - 5.00% Maximum Pass 40 (z)(iii) Individual Third Party Credit Exposure to a Selling Institution rated "Aa2" by Moody's or "AA" by S&P - - 5.00% Maximum Pass 41 (z)(iv) Individual Third Party Credit Exposure to a Selling Institution rated "Aa3" by Moody's or "AA-" by S&P - - 5.00% Maximum Pass 42 (z)(v) Individual Third Party Credit Exposure to a Selling Institution rated "A1" by Moody's or "A+" by S&P - - 5.00% Maximum Pass

43 (z)(vi) Individual Third Party Credit Exposure to a Selling Institution rated "A2" and "P-1" by Moody's or "A" and - - 5.00% Maximum Pass "A-1" by S&P 44 (z)(vii) Individual Third Party Credit Exposure to a Selling Institution rated "A3" or below by Moody's or "A-" or - - 0.00% Maximum Pass below by S&P 45 (z)(viii) Aggregate Third Party Credit Exposure to Selling Institutions rated "Aaa" or below by Moody's or "AAA" - - 5.00% Maximum Pass or below by S&P 46 (z)(ix) Aggregate Third Party Credit Exposure to Selling Institutions rated "Aa1" or below by Moody's or "AA+" - - 5.00% Maximum Pass or below by S&P 47 (z)(x) Aggregate Third Party Credit Exposure to Selling Institutions rated "Aa2" or below by Moody's or "AA" or - - 5.00% Maximum Pass below by S&P 48 (z)(xi) Aggregate Third Party Credit Exposure to Selling Institutions rated "Aa3" or below by Moody's or "AA-" - - 5.00% Maximum Pass or below by S&P 49 (z)(xii) Aggregate Third Party Credit Exposure to Selling Institutions rated "A1" or below by Moody's or "A+" or - - 5.00% Maximum Pass below by S&P 50 (z)(xiii) Aggregate Third Party Credit Exposure to Selling Institutions rated "A2" or below by Moody's or "A" or - - 5.00% Maximum Pass below by S&P 51 (z)(xiv) Aggregate Third Party Credit Exposure to Selling Institutions rated "A3" or below by Moody's or "A-" or - - 0.00% Maximum Pass below by S&P 52 Discretionary Sales Test 3.03% 2.85% 30.00% Maximum Pass

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Par Value Tests Detail

Calculation Ratio Minimum Result

Class A/B Par Value Test A / (B+C) 138.20% 128.02% Pass Class C Par Value Test A / (B+C+D) 127.80% 119.21% Pass Class D Par Value Test A / (B+C+D+E) 120.52% 113.49% Pass Class E Par Value Test A / (B+C+D+E+F) 112.45% 106.99% Pass Class F Par Value Test A / (B+C+D+E+F+G) 108.72% 103.79% Pass Reinvestment Par Value Test A / (B+C+D+E+F+G) 108.72% 104.29% Pass Collateral: Aggregate Principal Balance of Collateral Obligations 351,579,471.90 351,579,471.90 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 (23,780,013.95) Balance standing to the credit of the Unused Proceeds Account 0.00 Unpaid accrued interest purchased with Principal Proceeds 3,013.89 Unhedged Balance of the Currency Account converted at the Spot Rate 555.20 (23,776,444.86) Minus: Excess CCC/Caa Adjustment Amount 0.00 0.00 Adjusted Collateral Principal Amount: 327,803,027.04 (A) Notes: Principal Amount Outstanding of the Class A Notes 198,200,000.00 (B) Principal Amount Outstanding of the Class B Notes 39,000,000.00 (C) Principal Amount Outstanding of the Class C Notes 19,300,000.00 (D) Principal Amount Outstanding of the Class D Notes 15,500,000.00 (E) Principal Amount Outstanding of the Class E Notes 19,500,000.00 (F) Principal Amount Outstanding of the Class F Notes 10,000,000.00 (G)

Monthly Report - 8/20/2018 3:59:24PM © 2011 U.S. Bancorp Page 7 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Interest Coverage Tests Detail

Calculation Ratio Minimum Result

Class A/B Interest Coverage Test A / (B+C) 501.27% 120.00% Pass Class C Interest Coverage Test A / (B+C+D) 425.41% 110.00% Pass Class D Interest Coverage Test A / (B+C+D+E) 362.05% 105.00% Pass Received: Balance standing to the credit of the Interest Account 1,021,910.49 1,021,910.49 Projected: Scheduled Interest Payments 2,560,109.96 Scheduled Commitment Fees 0.00 Projected Reinvestment Income on Collateral Obligations 0.00 Projected Reinvestment Income on Cash Accounts 0.00 2,560,109.96 Minus: (A) Any taxes owed, and the Issuer Profit Amount 0.00 (B) Accrued and unpaid Trustee Fees and Expenses 21,193.82 (C) Accrued and unpaid Administrative Expenses 0.00 (D) Payment into the Expense Reserve Account 0.00 (E)(1) Senior Management Fees 125,538.93 (E)(2) Previously due and unpaid Senior Management Fees 0.00 (F) Scheduled Periodic Hedge Issuer Payments and Hedge Issuer Termination Payments 0.00 142,277.46 Minus: Amounts payable into the Interest Smoothing Account 0.00 Interest in respect of a PIK Obligation that has been deferred 0.00 Purchase Accrued Interest 3,013.89 3,013.89 Plus: Amounts payable from the Expense Reserve, Interest Smoothing, and Currency Account 109,293.10 Scheduled Periodic Hedge Counterparty Payments 0.00 109,293.10 Interest Coverage Amount: 3,541,566.90 (A) Notes: Interest payment due on the Class A Notes 533,403.44 (B) Interest payment due on the Class B Notes 173,116.67 (C) Interest payment due on the Class C Notes 125,986.11 (D) Interest payment due on the Class D Notes 145,700.00 (E)

Accrued Incentive Collateral Management Fee: 0.00 Monthly Report - 8/20/2018 3:59:28PM © 2011 U.S. Bancorp Page 8 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Coverage Tests History - Part I

Class A/B Par Value Test Class C Par Value Test Class D Par Value Test

Period Minimum Actual Spread Result Period Minimum Actual Spread Result Period Minimum Actual Spread Result 08-Aug-18 128.02% 138.20% 10.18% Pass 08-Aug-18 119.21% 127.80% 8.59% Pass 08-Aug-18 113.49% 120.52% 7.03% Pass 10-Jul-18 128.02% 138.07% 10.05% Pass 10-Jul-18 119.21% 127.68% 8.47% Pass 10-Jul-18 113.49% 120.40% 6.91% Pass 08-Jun-18 128.02% 137.97% 9.95% Pass 08-Jun-18 119.21% 127.59% 8.38% Pass 08-Jun-18 113.49% 120.32% 6.83% Pass 09-May-18 128.02% 137.95% 9.93% Pass 09-May-18 119.21% 127.57% 8.36% Pass 09-May-18 113.49% 120.30% 6.81% Pass 10-Apr-18 128.02% 137.91% 9.89% Pass 10-Apr-18 119.21% 127.53% 8.32% Pass 10-Apr-18 113.49% 120.26% 6.77% Pass 08-Mar-18 128.02% 137.85% 9.83% Pass 08-Mar-18 119.21% 127.48% 8.27% Pass 08-Mar-18 113.49% 120.22% 6.73% Pass 08-Feb-18 128.02% 137.84% 9.82% Pass 08-Feb-18 119.21% 127.46% 8.25% Pass 08-Feb-18 113.49% 120.20% 6.71% Pass 10-Jan-18 128.02% 137.77% 9.75% Pass 10-Jan-18 119.21% 127.40% 8.19% Pass 10-Jan-18 113.49% 120.14% 6.65% Pass 08-Dec-17 128.02% 137.74% 9.72% Pass 08-Dec-17 119.21% 127.38% 8.17% Pass 08-Dec-17 113.49% 120.12% 6.63% Pass 08-Nov-17 128.02% 137.69% 9.67% Pass 08-Nov-17 119.21% 127.33% 8.12% Pass 08-Nov-17 113.49% 120.08% 6.59% Pass

160% 160% 160%

150% 150% 150%

140% 140% 140%

130% 130% 130%

120% 120% 120%

110% 110% 110%

100% 100% 100%

90% 90% 90%

80% 80% 80% 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-1808-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-1808-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-1808-Aug-18

Actual Minimum Actual Minimum Actual Minimum

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Class E Par Value Test Class F Par Value Test Reinvestment Par Value Test

Period Minimum Actual Spread Result Period Minimum Actual Spread Result Period Minimum Actual Spread Result 08-Aug-18 106.99% 112.45% 5.46% Pass 08-Aug-18 103.79% 108.72% 4.93% Pass 08-Aug-18 104.29% 108.72% 4.43% Pass 10-Jul-18 106.99% 112.35% 5.36% Pass 10-Jul-18 103.79% 108.62% 4.83% Pass 10-Jul-18 104.29% 108.62% 4.33% Pass 08-Jun-18 106.99% 112.27% 5.28% Pass 08-Jun-18 103.79% 108.55% 4.76% Pass 08-Jun-18 104.29% 108.55% 4.26% Pass 09-May-18 106.99% 112.25% 5.26% Pass 09-May-18 103.79% 108.53% 4.74% Pass 09-May-18 104.29% 108.53% 4.24% Pass 10-Apr-18 106.99% 112.22% 5.23% Pass 10-Apr-18 103.79% 108.50% 4.71% Pass 10-Apr-18 104.29% 108.50% 4.21% Pass 08-Mar-18 106.99% 112.17% 5.18% Pass 08-Mar-18 103.79% 108.45% 4.66% Pass 08-Mar-18 104.29% 108.45% 4.16% Pass 08-Feb-18 106.99% 112.16% 5.17% Pass 08-Feb-18 103.79% 108.44% 4.65% Pass 08-Feb-18 104.29% 108.44% 4.15% Pass 10-Jan-18 106.99% 112.11% 5.12% Pass 10-Jan-18 103.79% 108.39% 4.60% Pass 10-Jan-18 104.29% 108.39% 4.10% Pass 08-Dec-17 106.99% 112.09% 5.10% Pass 08-Dec-17 103.79% 108.37% 4.58% Pass 08-Dec-17 104.29% 108.37% 4.08% Pass 08-Nov-17 106.99% 112.04% 5.05% Pass 08-Nov-17 103.79% 108.33% 4.54% Pass 08-Nov-17 104.29% 108.33% 4.04% Pass

160% 160% 160%

150% 150% 150%

140% 140% 140%

130% 130% 130%

120% 120% 120%

110% 110% 110%

100% 100% 100%

90% 90% 90%

80% 80% 80% 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-1808-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-1808-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-1808-Aug-18

Actual Minimum Actual Minimum Actual Minimum

Monthly Report - 8/20/2018 3:59:31PM © 2011 U.S. Bancorp Page 10 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Collateral Quality Tests History - Part I

Moody's Minimum Diversity Test Moody's Maximum Weighted Average Rating Factor Test Moody's Minimum Weighted Average Recovery Rate Test

Period Minimum Actual Spread Result Period Maximum Actual Spread Result Period Minimum Actual Spread Result 08-Aug-18 46.00 58.03 12.03 Pass 08-Aug-18 2,878 2,740 138 Pass 08-Aug-18 42.1% 44.1% 2.0% Pass 10-Jul-18 46.00 57.89 11.89 Pass 10-Jul-18 2,864 2,783 81 Pass 10-Jul-18 42.7% 43.9% 1.2% Pass 08-Jun-18 46.00 57.02 11.02 Pass 08-Jun-18 2,864 2,743 121 Pass 08-Jun-18 42.2% 43.9% 1.7% Pass 09-May-18 46.00 57.29 11.29 Pass 09-May-18 2,878 2,753 125 Pass 09-May-18 42.3% 44.1% 1.8% Pass 10-Apr-18 40.00 56.93 16.93 Pass 10-Apr-18 2,824 2,765 59 Pass 10-Apr-18 42.8% 44.5% 1.7% Pass 08-Mar-18 40.00 55.95 15.95 Pass 08-Mar-18 2,831 2,751 80 Pass 08-Mar-18 42.8% 44.6% 1.8% Pass 08-Feb-18 40.00 55.56 15.56 Pass 08-Feb-18 2,859 2,726 133 Pass 08-Feb-18 42.8% 45.0% 2.2% Pass 10-Jan-18 40.00 55.33 15.33 Pass 10-Jan-18 2,887 2,743 144 Pass 10-Jan-18 42.8% 45.4% 2.6% Pass 08-Dec-17 40.00 53.65 13.65 Pass 08-Dec-17 2,852 2,674 178 Pass 08-Dec-17 42.4% 44.9% 2.5% Pass 08-Nov-17 36.00 52.45 16.45 Pass 08-Nov-17 2,867 2,643 224 Pass 08-Nov-17 41.6% 44.8% 3.2% Pass

60 3,500 54% 55 3,400 51 52% 3,300 46 3,200 50% 42 3,100 37 48% 32 3,000 46% 28 2,900 23 2,800 44% 18 2,700 14 42% 2,600 9 2,500 40% 5 0 2,400 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18 38% 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18

Actual Minimum Actual Maximum Actual Minimum

Monthly Report - 8/20/2018 3:59:30PM © 2011 U.S. Bancorp Page 11 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Collateral Quality Tests History - Part II

Minimum Weighted Average Spread Test Weighted Average Life Test

Period Minimum Actual Spread Result Period Maximum Actual Spread Result 08-Aug-18 3.70% 3.94% 0.24% Pass 08-Aug-18 6.46 5.59 0.87 Pass 10-Jul-18 3.70% 3.92% 0.22% Pass 10-Jul-18 6.54 5.60 0.94 Pass 08-Jun-18 3.70% 3.90% 0.20% Pass 08-Jun-18 6.62 5.56 1.06 Pass 09-May-18 3.70% 3.92% 0.22% Pass 09-May-18 6.71 5.60 1.11 Pass 10-Apr-18 3.70% 3.88% 0.18% Pass 10-Apr-18 6.79 5.68 1.11 Pass 08-Mar-18 3.70% 3.86% 0.16% Pass 08-Mar-18 6.88 5.74 1.14 Pass 08-Feb-18 3.70% 3.84% 0.14% Pass 08-Feb-18 6.95 5.79 1.16 Pass 10-Jan-18 3.70% 3.85% 0.15% Pass 10-Jan-18 7.03 5.79 1.24 Pass 08-Dec-17 3.70% 3.88% 0.18% Pass 08-Dec-17 7.12 5.78 1.34 Pass 08-Nov-17 3.90% 3.92% 0.02% Pass 08-Nov-17 7.21 5.74 1.47 Pass

5.00% 8.00

4.75% 7.50

4.50% 7.00

4.25% 6.50

4.00% 6.00

3.75% 5.50

3.50% 5.00

3.25% 4.50

3.00% 4.00 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18

Actual Minimum Actual Maximum

Monthly Report - 8/20/2018 3:59:35PM © 2011 U.S. Bancorp Page 12 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Collateral Quality Tests History - Part III

S&P Minimum Weighted Average Recovery Rate Test - Class A Notes S&P Minimum Weighted Average Recovery Rate Test - Class B Notes S&P Minimum Weighted Average Recovery Rate Test - Class C Notes

Period Minimum Actual Spread Result Period Minimum Actual Spread Result Period Minimum Actual Spread Result 08-Aug-18 35.0% 36.7% 1.7% Pass 08-Aug-18 35.0% 45.9% 10.9% Pass 08-Aug-18 35.0% 51.8% 16.8% Pass 10-Jul-18 35.0% 36.5% 1.5% Pass 10-Jul-18 35.0% 45.8% 10.8% Pass 10-Jul-18 35.0% 51.7% 16.7% Pass 08-Jun-18 35.0% 36.4% 1.4% Pass 08-Jun-18 35.0% 45.6% 10.6% Pass 08-Jun-18 35.0% 51.5% 16.5% Pass 09-May-18 35.0% 36.5% 1.5% Pass 09-May-18 35.0% 45.7% 10.7% Pass 09-May-18 35.0% 51.5% 16.5% Pass 10-Apr-18 35.0% 35.2% 0.2% Pass 10-Apr-18 35.0% 44.2% 9.2% Pass 10-Apr-18 35.0% 50.1% 15.1% Pass 08-Mar-18 35.0% 35.5% 0.5% Pass 08-Mar-18 35.0% 44.7% 9.7% Pass 08-Mar-18 35.0% 50.6% 15.6% Pass 08-Feb-18 35.0% 35.7% 0.7% Pass 08-Feb-18 35.0% 44.9% 9.9% Pass 08-Feb-18 35.0% 50.9% 15.9% Pass 10-Jan-18 35.0% 36.0% 1.0% Pass 10-Jan-18 35.0% 45.1% 10.1% Pass 10-Jan-18 35.0% 51.0% 16.0% Pass 08-Dec-17 35.0% 35.1% 0.1% Pass 08-Dec-17 35.0% 44.2% 9.2% Pass 08-Dec-17 35.0% 50.1% 15.1% Pass 08-Nov-17 35.0% 35.1% 0.1% Pass 08-Nov-17 35.0% 44.3% 9.3% Pass 08-Nov-17 35.0% 50.2% 15.2% Pass

60% 60% 60%

55% 55% 55%

50% 50% 50%

45% 45% 45%

40% 40% 40%

35% 35% 35%

30% 30% 30%

25% 25% 25%

20% 20% 20% 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18

Actual Minimum Actual Minimum Actual Minimum

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 13 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Collateral Quality Tests History - Part IV

S&P Minimum Weighted Average Recovery Rate Test - Class D Notes S&P Minimum Weighted Average Recovery Rate Test - Class E Notes S&P Minimum Weighted Average Recovery Rate Test - Class F Notes

Period Minimum Actual Spread Result Period Minimum Actual Spread Result Period Minimum Actual Spread Result 08-Aug-18 35.0% 57.9% 22.9% Pass 08-Aug-18 35.0% 62.5% 27.5% Pass 08-Aug-18 35.0% 63.5% 28.5% Pass 10-Jul-18 35.0% 57.8% 22.8% Pass 10-Jul-18 35.0% 62.4% 27.4% Pass 10-Jul-18 35.0% 63.4% 28.4% Pass 08-Jun-18 35.0% 57.6% 22.6% Pass 08-Jun-18 35.0% 62.2% 27.2% Pass 08-Jun-18 35.0% 63.2% 28.2% Pass 09-May-18 35.0% 57.5% 22.5% Pass 09-May-18 35.0% 62.2% 27.2% Pass 09-May-18 35.0% 63.3% 28.3% Pass 10-Apr-18 35.0% 56.0% 21.0% Pass 10-Apr-18 35.0% 60.7% 25.7% Pass 10-Apr-18 35.0% 61.7% 26.7% Pass 08-Mar-18 35.0% 56.6% 21.6% Pass 08-Mar-18 35.0% 61.2% 26.2% Pass 08-Mar-18 35.0% 62.2% 27.2% Pass 08-Feb-18 35.0% 56.9% 21.9% Pass 08-Feb-18 35.0% 61.6% 26.6% Pass 08-Feb-18 35.0% 62.6% 27.6% Pass 10-Jan-18 35.0% 57.0% 22.0% Pass 10-Jan-18 35.0% 61.8% 26.8% Pass 10-Jan-18 35.0% 62.8% 27.8% Pass 08-Dec-17 35.0% 56.2% 21.2% Pass 08-Dec-17 35.0% 60.9% 25.9% Pass 08-Dec-17 35.0% 61.8% 26.8% Pass 08-Nov-17 35.0% 56.3% 21.3% Pass 08-Nov-17 35.0% 60.9% 25.9% Pass 08-Nov-17 35.0% 61.9% 26.9% Pass

70% 70% 70%

65% 65% 65%

60% 60% 60%

55% 55% 55%

50% 50% 50%

45% 45% 45%

40% 40% 40%

35% 35% 35%

30% 30% 30% 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18 08-Nov-1708-Dec-1710-Jan-1808-Feb-1808-Mar-1810-Apr-1809-May-1808-Jun-1810-Jul-18 08-Aug-18

Actual Minimum Actual Minimum Actual Minimum

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 14 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Moody's Diversity Score

Industry Industry Equivalent Equivalent Diversity Issuer / Obligor Moody's Industry Principal Balance Unit Score Unit Score Score

Hensoldt Holding GmbH Aerospace & Defense 3,000,000.00 1.0000 Survitec Aerospace & Defense 3,500,000.00 1.0000 Swissport Investments Aerospace & Defense 2,787,756.52 1.0000 Totals for Aerospace & Defense: 9,287,756.52 3.0000 3.0000 2.0000 Autodis SA Automotive 500,000.00 0.1877 TI Fluid Systems Limited Automotive 3,946,758.15 1.0000 Totals for Automotive: 4,446,758.15 1.1877 1.1877 1.1000 FINANCIERE HOLDING CEP Banking, Finance, Insurance & Real Estate 3,500,000.00 1.0000 Hyperion Insurance Group Limited Banking, Finance, Insurance & Real Estate 2,313,375.00 0.8686 Oberthur Technologies Holdings SAS Banking, Finance, Insurance & Real Estate 3,000,000.00 1.0000 TMF Group Holding B.V. Banking, Finance, Insurance & Real Estate 1,000,000.00 0.3754 Vistra Group Limited Banking, Finance, Insurance & Real Estate 2,440,696.76 0.9164 Totals for Banking, Finance, Insurance & Real Estate: 12,254,071.76 4.1604 4.1604 2.4000 Froneri International plc Beverage, Food & Tobacco 1,000,000.00 0.3754 Jade Germany GMBH Beverage, Food & Tobacco 1,980,000.00 0.7434 Prosol group Beverage, Food & Tobacco 1,500,000.00 0.5632 Sigma Holdco BV Beverage, Food & Tobacco 1,000,000.00 0.3754 Soppa Holdings Sarl Beverage, Food & Tobacco 5,000,000.01 1.0000 Sunshine Mid B.V. Beverage, Food & Tobacco 2,750,000.00 1.0000 Valeo Food Beverage, Food & Tobacco 2,000,000.00 0.7509 Totals for Beverage, Food & Tobacco: 15,230,000.01 4.8084 4.8084 2.6000 Ateliers LR Etanco SAS Capital Equipment 1,000,000.00 0.3754 Filtration Group Corporation Capital Equipment 1,997,500.00 0.7500 Gardner Denver, Inc. Capital Equipment 2,972,512.56 1.0000 Novafives SAS Capital Equipment 3,100,000.00 1.0000 Unifrax Holding Co Capital Equipment 3,265,051.20 1.0000 Totals for Capital Equipment: 12,335,063.76 4.1254 4.1254 2.3667 Cheminvest Holdings S.A.R.L. Chemicals, Plastics, & Rubber 2,500,000.00 0.9386 Chemours Company, The Chemicals, Plastics, & Rubber 375,000.00 0.1408 Eagle Group International LLC Chemicals, Plastics, & Rubber 375,000.00 0.1408 Ineos Group Holdings SA Chemicals, Plastics, & Rubber 5,490,000.00 1.0000 Ineos Styrolution Group GmbH Chemicals, Plastics, & Rubber 3,980,000.00 1.0000 Inovyn Finance PLC Chemicals, Plastics, & Rubber 1,481,324.91 0.5562 Platform Specialty Products Corporation Chemicals, Plastics, & Rubber 3,503,686.39 1.0000 SK SPICE S.A. R.L. (AKA Clariant Chemicals, Plastics, & Rubber 4,704,200.00 1.0000 Corporation) Totals for Chemicals, Plastics, & Rubber: 22,409,211.30 5.7764 5.7764 2.9333

Monthly Report - 8/20/2018 3:59:37PM © 2011 U.S. Bancorp Page 15 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Moody's Diversity Score

Industry Industry Equivalent Equivalent Diversity Issuer / Obligor Moody's Industry Principal Balance Unit Score Unit Score Score

Corialis Group Limited Construction & Building 2,000,000.00 0.7509 LSF10 Impala Investments Sarl Construction & Building 2,500,000.00 0.9386 LSF10 Wolverine Investments Construction & Building 1,000,000.00 0.3754 LSFX Flavum Bidco, S.L. Construction & Building 5,000,000.00 1.0000 Parex Construction & Building 1,000,000.00 0.3754 Pfleiderer AG Construction & Building 5,000,000.00 1.0000 Xella International SA Construction & Building 3,999,137.05 1.0000 Totals for Construction & Building: 20,499,137.05 5.4404 5.4404 2.8000 Global Garden Products C S.ar.l Consumer goods: Durable 5,000,000.00 1.0000 Hilding Anders Consumer goods: Durable 2,500,000.00 0.9386 Totals for Consumer goods: Durable: 7,500,000.00 1.9386 1.9386 1.4500 Artemis Midco (UK) Limited Consumer goods: Non-durable 1,000,000.00 0.3754 Beauty Business NewCo Consumer goods: Non-durable 2,000,000.00 0.7509 Totals for Consumer goods: Non-durable: 3,000,000.00 1.1263 1.1263 1.0500 Crown Holdings Inc. Containers, Packaging & Glass 1,500,000.00 0.5632 Kleopatra Holdings 1 S.C.A. Containers, Packaging & Glass 2,200,000.00 0.8260 Reynolds Group Holdings Inc. Containers, Packaging & Glass 872,706.86 0.3277 Verallia Group Containers, Packaging & Glass 3,709,090.91 1.0000 Weener Plastics Containers, Packaging & Glass 1,000,000.00 0.3754 Totals for Containers, Packaging & Glass: 9,281,797.77 3.0923 3.0923 2.0333 Dummen Orange Environmental Industries 2,000,000.00 0.7509 Pacific 2 Limited Environmental Industries 3,375,926.20 1.0000 Paprec Holding Environmental Industries 1,750,000.00 0.6570 PHM France Holdco 19 SAS Environmental Industries 2,500,000.00 0.9386 Totals for Environmental Industries: 9,625,926.20 3.3466 3.3466 2.1000 Nordic Pakaging & Container Holding Forest Products & Paper 4,000,000.00 1.0000 Totals for Forest Products & Paper: 4,000,000.00 1.0000 1.0000 1.0000

Monthly Report - 8/20/2018 3:59:37PM © 2011 U.S. Bancorp Page 16 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Moody's Diversity Score

Industry Industry Equivalent Equivalent Diversity Issuer / Obligor Moody's Industry Principal Balance Unit Score Unit Score Score

Aenova Holding GMBH Healthcare & Pharmaceuticals 1,142,856.16 0.4291 AI Garden B.V Healthcare & Pharmaceuticals 3,991,251.37 1.0000 Bio Group Healthcare & Pharmaceuticals 2,000,000.00 0.7509 Catalent Pharma Solutions Inc Healthcare & Pharmaceuticals 2,339,116.10 0.8782 Cheplapharm Arzneimittel GmbH Healthcare & Pharmaceuticals 2,000,000.00 0.7509 Diaverum Holding SARL Healthcare & Pharmaceuticals 1,500,000.00 0.5632 HRA Healthcare & Pharmaceuticals 1,333,333.67 0.5006 Indivior Finance S.a.r.l. Healthcare & Pharmaceuticals 3,980,000.00 1.0000 Kinetic Concepts Inc. Healthcare & Pharmaceuticals 1,980,000.00 0.7434 NewCO Sab Bidco SAS Healthcare & Pharmaceuticals 1,300,000.00 0.4881 Novacap Group Holding Healthcare & Pharmaceuticals 2,999,999.99 1.0000 Sivantos Healthcare & Pharmaceuticals 1,500,000.00 0.5632 Unilabs Subholding AB Healthcare & Pharmaceuticals 3,000,000.00 1.0000 Vedici Groupe Healthcare & Pharmaceuticals 2,999,999.99 1.0000 Totals for Healthcare & Pharmaceuticals: 32,066,557.28 10.6675 10.6675 4.0700 Infor, Inc. High Tech Industries 2,903,958.49 1.0000 ION Trading Technologies Limited High Tech Industries 3,987,500.00 1.0000 Magic Newco 5 S.a.r.l High Tech Industries 3,970,000.00 1.0000 McAfee, LLC High Tech Industries 1,985,000.00 0.7453 Veritas US Inc. High Tech Industries 7,491,801.21 1.0000 Wall Street Systems Delaware, Inc. High Tech Industries 2,487,500.00 0.9339 Totals for High Tech Industries: 22,825,759.70 5.6792 5.6792 2.9000 ETRAVELI GROUP HOLDING AB Hotel, Gaming & Leisure 1,000,000.00 0.3754 Gamenet Group SPA Hotel, Gaming & Leisure 375,000.00 0.1408 GVC Holdings PLC Hotel, Gaming & Leisure 2,000,000.00 0.7509 Hotelbeds Hotel, Gaming & Leisure 2,000,000.00 0.7509 LHMC Bidco S.L.U. Hotel, Gaming & Leisure 1,500,000.00 0.5632 PortAventura Entertainment Barcelona BV Hotel, Gaming & Leisure 3,500,000.00 1.0000 SISAL HOLDING FINANZIARIA S.P.A. Hotel, Gaming & Leisure 2,500,000.00 0.9386 SNAI S.P.A. Hotel, Gaming & Leisure 1,000,000.00 0.3754 Stars Group Holdings B.V. Hotel, Gaming & Leisure 1,000,000.00 0.3754 Totals for Hotel, Gaming & Leisure: 14,875,000.00 5.2707 5.2707 2.7667 Infinitas Learning Holdings B.V. Media: Advertising, Printing & Publishing 3,000,000.00 1.0000 Nielsen Holdings N.V. Media: Advertising, Printing & Publishing 3,470,000.00 1.0000 Solocal Group Media: Advertising, Printing & Publishing 1,576,355.00 0.5918 Springer SBM One GmbH Media: Advertising, Printing & Publishing 2,784,049.10 1.0000 Totals for Media: Advertising, Printing & Publishing: 10,830,404.10 3.5918 3.5918 2.2000

Monthly Report - 8/20/2018 3:59:37PM © 2011 U.S. Bancorp Page 17 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Moody's Diversity Score

Industry Industry Equivalent Equivalent Diversity Issuer / Obligor Moody's Industry Principal Balance Unit Score Unit Score Score

Altice International S.a.r.l Media: Broadcasting & Subscription 2,000,000.00 0.7509 CDS Holdco III B.V. Media: Broadcasting & Subscription 2,000,000.00 0.7509 NEP/NCP Holdco, Inc. Media: Broadcasting & Subscription 1,957,668.89 0.7350 SFR Group S.A. Media: Broadcasting & Subscription 5,374,343.70 1.0000 Tele Columbus GmbH Media: Broadcasting & Subscription 1,872,502.65 0.7030 Telenet Group Holding NV Media: Broadcasting & Subscription 3,500,000.00 1.0000 UPC Holding BV Media: Broadcasting & Subscription 4,300,000.00 1.0000 Ziggo BV Media: Broadcasting & Subscription 3,000,000.00 1.0000 Totals for Media: Broadcasting & Subscription: 24,004,515.24 6.9398 6.9398 3.2250 All3Media Intermediate Limited Media: Diversified & Production 2,000,000.00 0.7509 Dorna Sports S.L. Media: Diversified & Production 2,000,000.00 0.7509 Tech Finance & CO S.C.A Media: Diversified & Production 4,750,000.00 1.0000 Totals for Media: Diversified & Production: 8,750,000.00 2.5018 2.5018 1.7500 Rain Carbon Metals & Mining 2,750,000.00 1.0000 Totals for Metals & Mining: 2,750,000.00 1.0000 1.0000 1.0000 CD&R Firely Bidco Limited (Uk) Retail 1,000,000.00 0.3754 EG Group Limited Retail 5,064,545.72 1.0000 HEMA Holding B.V. Retail 1,825,000.00 0.6852 Holland and Barrett Retail 6,000,000.00 1.0000 Kirk Beauty One GMBH Retail 3,000,000.00 1.0000 Masaria Investments SAU Retail 3,000,000.00 1.0000 Maxeda DIY B.V. Retail 4,500,000.00 1.0000 Modacin France Retail 2,430,711.98 0.9126 Peer Holding B.V Retail 3,000,000.00 1.0000 Pronovias Retail 2,000,000.00 0.7509 Thom Europe Retail 2,500,000.00 0.9386 Totals for Retail: 34,320,257.70 9.6628 9.6628 3.9250 Apcoa Parking Holdings GMBH Services: Business 3,000,000.02 1.0000 Blitz F18-675 GmbH Services: Business 1,250,000.00 0.4693 BMC Software Finance, Inc. Services: Business 7,746,975.68 1.0000 Evergood 4 ApS Services: Business 4,145,832.26 1.0000 House of HR Services: Business 3,000,000.00 1.0000 I-Logic Technologies Bidco Ltd Services: Business 1,460,250.00 0.5482 IFS Group Services: Business 3,580,618.57 1.0000 KMD Services: Business 2,475,869.38 0.9296 Quintiles IMS Incorporated Services: Business 5,925,000.00 1.0000 SOCO 2 Services: Business 1,666,666.66 0.6257 Stage Entertainment Services: Business 2,500,000.00 0.9386 Syniverse Holdings, Inc. Services: Business 1,612,600.00 0.6054 Totals for Services: Business: 38,363,812.57 10.1169 10.1169 4.0100

Monthly Report - 8/20/2018 3:59:37PM © 2011 U.S. Bancorp Page 18 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Moody's Diversity Score

Industry Industry Equivalent Equivalent Diversity Issuer / Obligor Moody's Industry Principal Balance Unit Score Unit Score Score

Fintrax Services: Consumer 2,500,000.01 0.9386 Nord Anglia Education Finance LLC Services: Consumer 1,000,000.00 0.3754 Verisure Holding AB Services: Consumer 2,500,000.00 0.9386 Totals for Services: Consumer: 6,000,000.01 2.2527 2.2527 1.6500 DKT Finance APS Telecommunications 3,250,000.00 1.0000 Eircom Holdings (Ireland) Ltd Telecommunications 2,000,000.00 0.7509 Wind TRE SPA Telecommunications 2,000,000.00 0.7509 Totals for Telecommunications: 7,250,000.00 2.5018 2.5018 1.7500 1908 Acquisitions B.V. Transportation: Cargo 3,000,000.00 1.0000 Delachaux S.A. Transportation: Cargo 3,005,067.06 1.0000 YRC Worldwide, Inc. Transportation: Cargo 2,497,591.22 0.9377 Totals for Transportation: Cargo: 8,502,658.28 2.9377 2.9377 1.9500 Hurtigruten Transportation: Consumer 2,250,000.00 0.8448 Totals for Transportation: Consumer: 2,250,000.00 0.8448 0.8448 0.8000 Alison Bidco S.A.R.L. Utilities: Electric 3,920,784.53 1.0000 SGB-SMIT Management GmbH Utilities: Electric 999,999.99 0.3754 Totals for Utilities: Electric: 4,920,784.52 1.3754 1.3754 1.2000 CBR - Textile GmbH Wholesale 4,000,000.00 1.0000 Totals for Wholesale: 4,000,000.00 1.0000 1.0000 1.0000

Total: 132 351,579,471.92 105.3454 105.3454 58.0300

Monthly Report - 8/20/2018 3:59:37PM © 2011 U.S. Bancorp Page 19 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Weighted Average Spread

Principal Coupon Balance (Euro Index Current Current Current Effective Weighted ISIN/LoanX ID Issuer Facility CurrencyType Equivalent) Type Floor Spread Coupon Index Spread Factor LX139672 1908 Acquisitions B.V. Hes Beheer T/L B EUR Floating 3,000,000.00 3E 0.000% 4.000% 4.000% 0.000% 4.000% 120,000.00 LX142051 Aenova Holding GMBH Aenova - Swisscaps Holding (Luxemberg) EUR Floating 165,697.51 3E 1.000% 4.000% 5.000% 1.000% 5.000% 8,284.88 Sarl LX142052 Aenova Holding GMBH Aenova - Temmler EUR Floating 33,155.59 3E 1.000% 4.000% 5.000% 1.000% 5.000% 1,657.78 LX142052 Aenova Holding GMBH Aenova - Temmler EUR Floating 113,889.20 3E 1.000% 4.000% 5.000% 1.000% 5.000% 5,694.46 LX139191 Aenova Holding GMBH Aenova Term Loan EUR Floating 556,551.07 3E 1.000% 4.000% 5.000% 1.000% 5.000% 27,827.55 LX142050 Aenova Holding GMBH Aenova - Dragenopharm Apotheker EUR Floating 273,562.79 3E 1.000% 4.000% 5.000% 1.000% 5.000% 13,678.14 LX156994 AI Garden B.V Mediq T/L B1 EUR Floating 3,991,251.37 6E 0.000% 4.500% 4.500% 0.000% 4.500% 179,606.31 LX137858 Alison Bidco S.A.R.L. Alstom (Arvos) T/L B2 EUR Floating 3,920,784.53 3E 1.000% 4.500% 5.500% 1.000% 5.500% 215,643.15 LX137656 All3Media Intermediate Limited ALL 3 Media Second Lien EUR Floating 2,000,000.00 6E 1.000% 7.250% 8.250% 1.000% 8.250% 165,000.00 LX160841 Apcoa Parking Holdings GMBH Apcoa Term Loan B EUR Floating 386,052.64 3E 0.000% 3.750% 3.750% 0.000% 3.750% 14,476.97 LX160841 Apcoa Parking Holdings GMBH Apcoa Term Loan B EUR Floating 1,978,026.32 3E 0.000% 3.750% 3.750% 0.000% 3.750% 74,175.99 LX160841 Apcoa Parking Holdings GMBH Apcoa Term Loan B EUR Floating (0.02) 3E 0.000% 3.750% 3.750% 0.000% 3.750% - LX160841 Apcoa Parking Holdings GMBH Apcoa Term Loan B EUR Floating 307,894.74 3E 0.000% 3.750% 3.750% 0.000% 3.750% 11,546.05 LX160841 Apcoa Parking Holdings GMBH Apcoa Term Loan B EUR Floating 165,394.74 3E 0.000% 3.750% 3.750% 0.000% 3.750% 6,202.30 LX160841 Apcoa Parking Holdings GMBH Apcoa Term Loan B EUR Floating 162,631.58 3E 0.000% 3.750% 3.750% 0.000% 3.750% 6,098.68 LX174058 Artemis Midco (UK) Limited Artemis T/L (Partner in Pet Food) EUR Floating 1,000,000.00 3E 0.000% 4.000% 4.000% 0.000% 4.000% 40,000.00 LX121410 Ateliers LR Etanco SAS Groupe Etanco 10/11 TL B1 EUR Floating 710,492.54 3E 0.000% 3.500% 3.500% 0.000% 3.500% 24,867.24 LX170263 Ateliers LR Etanco SAS Groupe Etanco 10/11 TL B2 EUR Floating 289,507.46 3E 0.000% 3.500% 3.500% 0.000% 3.500% 10,132.76 XS1517169972 Autodis SA AUTODI Float 05/01/22 EUR Floating 500,000.00 3E 0.000% 4.375% 4.375% -0.319% 4.375% 21,875.00 LX160535 Beauty Holding 1 GMBH Beauty Holding New T/L B3 (formerly B17) EUR Floating 681,270.67 3E 0.000% 3.500% 3.500% 0.000% 3.500% 23,844.47 LX160538 Beauty Holding 1 GMBH Beauty Holding New T/L B6 (formerly B20) EUR Floating 312,270.60 3E 0.000% 3.500% 3.500% 0.000% 3.500% 10,929.47 LX160536 Beauty Holding 1 GMBH Beauty Holding New T/L B4 (formerly B18) EUR Floating 701,287.68 3E 0.000% 3.500% 3.500% 0.000% 3.500% 24,545.07 LX160537 Beauty Holding 1 GMBH Beauty Holding New T/L B5 (formerly B19) EUR Floating 160,633.82 3E 0.000% 3.500% 3.500% 0.000% 3.500% 5,622.18 LX160539 Beauty Holding 1 GMBH Beauty Holding New T/L B7 (formerly B21) EUR Floating 231,417.86 3E 0.000% 3.500% 3.500% 0.000% 3.500% 8,099.63 LX159199 Beauty Holding 1 GMBH Beauty Holding New T/L B1 (formerly B15) EUR Floating 760,817.32 3E 0.000% 3.500% 3.500% 0.000% 3.500% 26,628.61 LX160534 Beauty Holding 1 GMBH Beauty Holding New T/L B2 (formerly B16) EUR Floating 152,302.05 3E 0.000% 3.500% 3.500% 0.000% 3.500% 5,330.57 LX164386 Bio Group Bio Group Term Loan B EUR Floating 2,000,000.00 3E 0.000% 3.500% 3.500% 0.000% 3.500% 70,000.00 LX174950 Blitz F18-675 GmbH Techem T/L (7/18) Cov-Lite EUR Floating 946,142.03 1L 0.000% 3.750% 3.750% 0.000% 3.750% 35,480.33 LX174950 Blitz F18-675 GmbH Techem T/L (7/18) Cov-Lite EUR Floating 303,857.97 3L 0.000% 3.750% 3.750% 0.000% 3.750% 11,394.67

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 20 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Weighted Average Spread

Principal Coupon Balance (Euro Index Current Current Current Effective Weighted ISIN/LoanX ID Issuer Facility CurrencyType Equivalent) Type Floor Spread Coupon Index Spread Factor LX174342 BMC Foreign Holding Company BMC Foreign Holding T/L EUR Floating 2,000,000.00 3E 0.000% 4.750% 4.750% 0.000% 4.750% 95,000.00 LX169962 BMC Software Finance, Inc. BMC Software Term Loan B2 New EUR Floating 5,746,975.68 3E 0.000% 3.750% 3.750% 0.000% 3.750% 215,511.59 LX137091 Catalent Pharma Solutions Inc Catalent Pharma T/L B EUR EUR Floating 2,339,116.10 1E 1.000% 1.750% 2.750% 1.000% 2.750% 64,325.69 LX173383 CD&R Firely Bidco Limited (Uk) CD&R Firely Bidco T/L B2 (Motor Fuel EUR Floating 1,000,000.00 1E 0.000% 3.500% 3.500% 0.000% 3.500% 35,000.00 Group) LX170211 CDS Holdco III B.V. CDS Holdco M7 Facility F EUR Floating 2,000,000.00 1E 0.000% 3.750% 3.750% 0.000% 3.750% 75,000.00 LX169552 Cheminvest Holdings S.A.R.L. DSM Polymers TL New EUR Floating 2,500,000.00 1& 0.000% 4.250% 4.250% 0.000% 4.250% 106,250.00 LX174299 Cheplapharm Arzneimittel GmbH Cheplapharm T/L EUR Floating 2,000,000.00 1E 0.000% 4.500% 4.500% 0.000% 4.500% 90,000.00 LX159920 Corialis Group Limited Corialis T/L B EUR Floating 2,000,000.00 6E 0.000% 3.500% 3.500% 0.000% 3.500% 70,000.00 LX172439 Coty Inc. Coty T/L B (EUR) EUR Floating 2,000,000.00 1E 0.000% 2.500% 2.500% 0.000% 2.500% 50,000.00 LX170856 Crown Holdings Inc. Crown Holding T/L EUR Floating 1,500,000.00 1E 0.000% 2.375% 2.375% 0.000% 2.375% 35,625.00 LX141055 Delachaux S.A. Delachaux T/L B1 Amendment EUR Floating 1,469,187.35 3E 0.000% 3.750% 3.750% 0.000% 3.750% 55,094.53 LX141055 Delachaux S.A. Delachaux T/L B1 Amendment EUR Floating 128,702.50 3E 0.000% 3.750% 3.750% 0.000% 3.750% 4,826.34 LX141055 Delachaux S.A. Delachaux T/L B1 Amendment EUR Floating 485,599.28 3E 0.000% 3.750% 3.750% 0.000% 3.750% 18,209.97 LX141055 Delachaux S.A. Delachaux T/L B1 Amendment EUR Floating 921,577.93 3E 0.000% 3.750% 3.750% 0.000% 3.750% 34,559.17 LX164119 Diaverum Holding SARL Diaverum Term Loan B EUR Floating 197,031.45 6E 0.000% 3.250% 3.250% 0.000% 3.250% 6,403.52 LX164119 Diaverum Holding SARL Diaverum Term Loan B EUR Floating 1,302,968.55 6E 0.000% 3.250% 3.250% 0.000% 3.250% 42,346.48 LX161739 Dorna Sports S.L. Tinagen T/L NEW B2 EUR Floating 2,000,000.00 6E 0.000% 3.000% 3.000% 0.000% 3.000% 60,000.00 LX164355 Dummen Orange Dummen Orange T/L B New EUR Floating 2,000,000.00 3E 0.000% 3.500% 3.500% 0.000% 3.500% 70,000.00 LX172074 EG Finco Limited EG Finco (Euro Garages) 2nd Lien T/L EUR Floating 1,200,000.00 2E 1.000% 7.750% 8.750% 1.000% 8.750% 105,000.00 LX171054 EG Group Limited Euro Garages T/L B1 EUR Floating 2,346,150.27 3E 0.000% 4.000% 4.000% 0.000% 4.000% 93,846.01 LX171054 EG Group Limited Euro Garages T/L B1 EUR Floating 216,235.05 3E 0.000% 4.000% 4.000% 0.000% 4.000% 8,649.40 LX171115 EG Group Limited Euro Garages T/L B3 EUR 1,302,160.40 0.000% 4.000% - % - 4.000% 52,086.42 LX161434 Eircom Holdings (Ireland) Ltd Eircom Holdings (NEW) EUR Floating 2,000,000.00 1E 0.000% 3.250% 3.250% 0.000% 3.250% 65,000.00 LX169696 ETRAVELI GROUP HOLDING AB Etraveli Group Holding T/L B EUR Floating 1,000,000.00 3E 0.000% 4.750% 4.750% 0.000% 4.750% 47,500.00 LX174805 Evergood 4 ApS Evergood 4 T/L (Nets) EUR Floating 1,263,157.90 3E 0.000% 3.750% 3.750% 0.000% 3.750% 47,368.42 LX175202 Evergood 4 ApS Nets 7/18 Dotplay Term Loan B2 EUR Floating 236,842.10 3E 0.000% 3.750% 3.750% 0.000% 3.750% 8,881.58 LX172466 Filtration Group Corporation Filtration Group T/L (03/18) EUR Floating 1,997,500.00 3E 0.000% 3.500% 3.500% 0.000% 3.500% 69,912.50 LX170325 FINANCIERE HOLDING CEP Financiere CEP 12/17 Term Loan B EUR Floating 2,770,932.20 3E 0.000% 4.250% 4.250% 0.000% 4.250% 117,764.62 LX170325 FINANCIERE HOLDING CEP Financiere CEP 12/17 Term Loan B EUR Floating 729,067.80 3E 0.000% 4.250% 4.250% 0.000% 4.250% 30,985.38

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 21 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Weighted Average Spread

Principal Coupon Balance (Euro Index Current Current Current Effective Weighted ISIN/LoanX ID Issuer Facility CurrencyType Equivalent) Type Floor Spread Coupon Index Spread Factor LX171149 Fintrax Fintrax T/L B2 EUR Floating 47,323.95 3E 0.000% 4.000% 4.000% 0.000% 4.000% 1,892.96 LX169827 Fintrax Fintrax T/L B EUR Floating 1,150,446.34 3E 0.000% 4.000% 4.000% 0.000% 4.000% 46,017.85 LX169827 Fintrax Fintrax T/L B EUR Floating 45,157.71 3E 0.000% 4.000% 4.000% 0.000% 4.000% 1,806.31 LX171150 Fintrax Fintrax TL B3 EUR Floating 544,225.35 3E 0.000% 4.000% 4.000% 0.000% 4.000% 21,769.01 LX169827 Fintrax Fintrax T/L B EUR Floating 193,533.03 3E 0.000% 4.000% 4.000% 0.000% 4.000% 7,741.32 LX169827 Fintrax Fintrax T/L B EUR Floating 519,313.63 3E 0.000% 4.000% 4.000% 0.000% 4.000% 20,772.55 LX170852 Froneri International plc R&R Ice Cream Froneri 1/18 (EUR) EUR Floating 1,000,000.00 1E 0.000% 2.625% 2.625% 0.000% 2.625% 26,250.00 Cov-Lite XS1811351821 Gamenet Group SPA Gamenet Group Floating 4/27/23 EUR Floating 375,000.00 3E 0.000% 3.750% 3.750% -0.321% 3.750% 14,062.50 LX168068 Gardner Denver, Inc. Gardner Denver EUR TLB EUR Floating 2,972,512.56 3E 0.000% 3.000% 3.000% 0.000% 3.000% 89,175.38 LX168343 Global Garden Products C S.ar.l Global Garden Products New T/L EUR Floating 5,000,000.00 6E 0.000% 4.250% 4.250% 0.000% 4.250% 212,500.00 LX172214 GVC Holdings PLC GVC Holdings 3/18 (Eur) TLB EUR Floating 2,000,000.00 6E 0.000% 2.750% 2.750% 0.000% 2.750% 55,000.00 XS1647643110 HEMA BONDCO I BV HEMABV FLOAT 07/15/22 CORP EUR Floating 1,825,000.00 3E 0.000% 6.250% 6.250% -0.321% 6.250% 114,062.50 LX171534 Hensoldt Holding GmbH Airbus (Defence Electronics/Hensoldt) T/L EUR Floating 3,000,000.00 3E 0.000% 3.250% 3.250% 0.000% 3.250% 97,500.00 B3 LX169486 Hilding Anders Hilding Anders AB 11/17 (Eur) TLB EUR Floating 2,500,000.00 3E 0.000% 4.500% 4.500% 0.000% 4.500% 112,500.00 LX167539 Holland and Barrett Holland and Barrett (EUR) T/L B2 EUR Floating 6,000,000.00 3E 0.000% 4.250% 4.250% 0.000% 4.250% 255,000.00 LX152965 Hotelbeds Hotelbeds TL B EUR Floating 2,000,000.00 6E 0.000% 3.250% 3.250% 0.000% 3.250% 65,000.00 LX169710 House of HR House of HR T/L B (05/18) EUR Floating 3,000,000.00 3E 0.000% 4.250% 4.250% 0.000% 4.250% 127,500.00 LX167460 HRA HRA Term Loan EUR Floating 1,051,841.85 3E 0.000% 3.500% 3.500% 0.000% 3.500% 36,814.46 LX167460 HRA HRA Term Loan EUR Floating 281,491.82 3E 0.000% 3.500% 3.500% 0.000% 3.500% 9,852.21 LX171110 Hurtigruten Hurtigruten T/L B EUR Floating 2,250,000.00 6E 0.000% 4.000% 4.000% 0.000% 4.000% 90,000.00 LX170078 Hyperion Insurance Group Limited Hyperion Insurance Group T/L EUR Floating 464,767.03 1E 0.000% 3.500% 3.500% 0.000% 3.500% 16,266.85 LX170078 Hyperion Insurance Group Limited Hyperion Insurance Group T/L EUR Floating 1,848,607.97 1E 0.000% 3.500% 3.500% 0.000% 3.500% 64,701.28 LX170142 I-Logic Technologies Bidco Ltd I-Logic Technologies (Dealogic) EUR T/L EUR Floating 1,460,250.00 1E 1.000% 4.000% 5.000% 1.000% 5.000% 73,012.50 LX167063 IFS Group IFS T/L New EUR Floating 3,580,618.57 3E 0.000% 3.500% 3.500% 0.000% 3.500% 125,321.65 LX170169 Indivior Finance S.a.r.l. Indivior T/L B EUR EUR Floating 3,980,000.00 3E 0.000% 4.500% 4.500% 0.000% 4.500% 179,100.00 LX169196 Ineos Group Holdings PLC Ineos T/L B 2024 EUR Floating 1,990,000.00 2E 0.500% 2.000% 2.500% 0.500% 2.500% 49,750.00 LX169498 Ineos Styrolution Group GmbH Ineos Styrolution TL B New 11/17 EUR Floating 3,980,000.00 3E 0.500% 2.000% 2.500% 0.500% 2.500% 99,500.00 LX162255 Infinitas Learning Holdings B.V. Infinitas New Term Loan B3 EUR Floating 348,837.21 6E 0.000% 3.750% 3.750% 0.000% 3.750% 13,081.40 LX162255 Infinitas Learning Holdings B.V. Infinitas New Term Loan B3 EUR Floating 2,200,465.11 6E 0.000% 3.750% 3.750% 0.000% 3.750% 82,517.44

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 22 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Weighted Average Spread

Principal Coupon Balance (Euro Index Current Current Current Effective Weighted ISIN/LoanX ID Issuer Facility CurrencyType Equivalent) Type Floor Spread Coupon Index Spread Factor LX162255 Infinitas Learning Holdings B.V. Infinitas New Term Loan B3 EUR Floating 450,697.68 6E 0.000% 3.750% 3.750% 0.000% 3.750% 16,901.16 LX169633 Infor (US), Inc. Infor (Lawson) T/L B2 EUR Floating 2,903,958.49 3E 1.000% 2.250% 3.250% 1.000% 3.250% 94,378.65 LX169031 Inovyn Finance PLC Inovyn Finance 2024 Tranche B2 New EUR Floating 1,481,324.91 3E 0.750% 2.250% 3.000% 0.750% 3.000% 44,439.75 EUR T/L LX169484 ION Trading Technologies S.a.R.L Ion Trading Euro T/L B EUR Floating 3,987,500.00 2E 1.000% 2.750% 3.750% 1.000% 3.750% 149,531.25 LX173965 IQVIA Inc IQVIA T/L B-2 add-on (IMS Health) EUR Floating 1,000,000.00 3E 0.500% 2.000% 2.500% 0.500% 2.500% 25,000.00 LX162763 Jade Germany GMBH Rhodia Acetow Term Loan B EUR Floating 1,942,143.97 3E 1.000% 4.750% 5.750% 1.000% 5.750% 111,673.28 LX162763 Jade Germany GMBH Rhodia Acetow Term Loan B EUR Floating 37,856.03 3E 1.000% 4.750% 5.750% 1.000% 5.750% 2,176.72 LX159775 Kinetic Concepts Inc. Kinetic Concepts (Acelity) T/L B EUR Floating 1,980,000.00 3E 1.000% 3.000% 4.000% 1.000% 4.000% 79,200.00 LX165634 Klockner-Pentaplast of America, Inc. Klockner Pentaplast T/L B (6/17) EUR Floating 2,200,000.00 3E 0.000% 4.750% 4.750% 0.000% 4.750% 104,500.00 LX170730 KMD KMD T/L B4 EUR Floating 2,051,048.55 3E 0.000% 4.500% 4.500% 0.000% 4.500% 92,297.18 LX170730 KMD KMD T/L B4 EUR Floating 293,020.19 3E 0.000% 4.500% 4.500% 0.000% 4.500% 13,185.91 LX170730 KMD KMD T/L B4 EUR Floating 131,800.64 3E 0.000% 4.500% 4.500% 0.000% 4.500% 5,931.03 XS1849559205 LHMC Finco S.a.r.l LHMCFI (Circa) Floating 12/20/23 Corp EUR Floating 1,500,000.00 3E 0.000% 5.750% 5.750% 0.000% 5.750% 86,250.00 LX174740 LSF10 Impala Investments Sarl Impala Roofing/Impala TL B EUR Floating 2,500,000.00 3E 0.000% 4.750% 4.750% 0.000% 4.750% 118,750.00 XS1791484717 LSF10 Wolverine Investments STKGRP Float 03/15/24 EUR Floating 1,000,000.00 3E 0.000% 4.625% 4.625% -0.321% 4.625% 46,250.00 LX159274 LSF10 XL Bidco SCA Xella T/L B EUR Floating 465,517.24 1E 0.000% 3.500% 3.500% 0.000% 3.500% 16,293.10 LX159274 LSF10 XL Bidco SCA Xella T/L B EUR Floating 2,254,810.28 3E 0.000% 3.500% 3.500% 0.000% 3.500% 78,918.36 LX159274 LSF10 XL Bidco SCA Xella T/L B EUR Floating 96,920.01 3E 0.000% 3.500% 3.500% 0.000% 3.500% 3,392.20 LX159274 LSF10 XL Bidco SCA Xella T/L B EUR Floating 795,327.37 3E 0.000% 3.500% 3.500% 0.000% 3.500% 27,836.46 LX159274 LSF10 XL Bidco SCA Xella T/L B EUR Floating 386,562.15 3E 0.000% 3.500% 3.500% 0.000% 3.500% 13,529.68 LX168518 LSFX Flavum Bidco, S.L. LSFX Flavum Bidco SL T/L EUR Floating 5,000,000.00 3E 0.000% 4.500% 4.500% 0.000% 4.500% 225,000.00 LX162203 Macdermid, Inc. MacDermid T/L C5 EUR Floating 1,835,286.37 1E 0.750% 2.750% 3.500% 0.750% 3.500% 64,235.02 LX168776 Macdermid, Inc. Macdermid T/L C6 EUR Floating 1,668,400.02 1E 0.750% 2.500% 3.250% 0.750% 3.250% 54,223.00 LX163229 Magic Newco 5 S.a.r.l Misys Term B Eur Loan EUR Floating 3,970,000.00 3E 1.000% 3.250% 4.250% 1.000% 4.250% 168,725.00 XS1681774888 Masaria Investments SAU MASAIN FLOAT 09/15/24 CORP EUR Floating 2,500,000.00 3E 0.000% 5.250% 5.250% -0.320% 5.250% 131,250.00 LX168777 McAfee, LLC McAfee T/L B New EUR Floating 1,985,000.00 3E 0.000% 4.250% 4.250% 0.000% 4.250% 84,362.50 LX158905 Modacin France Modacin New B1 EUR Floating 674,523.68 6E 0.000% 4.500% 4.500% 0.000% 4.500% 30,353.57 LX158906 Modacin France Modacin New C1 EUR Floating 853,979.09 6E 0.000% 5.000% 5.000% 0.000% 5.000% 42,698.95 LX158903 Modacin France Modacin New Term Loan C3 EUR Floating 760,212.78 6E 0.000% 5.000% 5.000% 0.000% 5.000% 38,010.64

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 23 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Weighted Average Spread

Principal Coupon Balance (Euro Index Current Current Current Effective Weighted ISIN/LoanX ID Issuer Facility CurrencyType Equivalent) Type Floor Spread Coupon Index Spread Factor LX158901 Modacin France Modacin New Term B3 EUR Floating 141,996.43 6E 0.000% 4.500% 4.500% 0.000% 4.500% 6,389.84 LX157878 NEP Europe Finco B.V. NEP Europe Finco T/L New EUR Floating 1,486,036.15 3E 0.750% 3.000% 3.750% 0.750% 3.750% 55,726.36 LX157878 NEP Europe Finco B.V. NEP Europe Finco T/L New EUR Floating 314,421.84 3E 0.750% 3.000% 3.750% 0.750% 3.750% 11,790.82 LX157878 NEP Europe Finco B.V. NEP Europe Finco T/L New EUR Floating 157,210.90 3E 0.750% 3.000% 3.750% 0.750% 3.750% 5,895.41 LX169648 Nets Nets TL B1E EUR Floating 2,645,832.26 3E 0.000% 0.500% 3.250% 0.000% 3.250% 85,989.55 LX173154 NewCO Sab Bidco SAS Newco Sab Bidco T/L NEW (Cerba) EUR Floating 500,000.00 3E 0.000% 3.500% 3.500% 0.000% 3.500% 17,500.00 LX174594 Nielsen Finance LLC Nielsen T/L New B2 EUR Floating 3,470,000.00 1E 0.000% 2.500% 2.500% 0.000% 2.500% 86,750.00 LX165624 Nord Anglia Education Finance LLC Nord Anglia Term Loan EUR Floating 1,000,000.00 3E 0.000% 3.250% 3.250% 0.000% 3.250% 32,500.00 LX155855 Nordic Pakaging & Container Holding POWERFLUTE B1 EUR Floating 4,000,000.00 1E 0.000% 5.000% 5.000% 0.000% 5.000% 200,000.00 LX152525 Novacap International SAS Novacap T/L B EUR Floating 1,626,932.04 3E 0.000% 3.500% 3.500% 0.000% 3.500% 56,942.62 LX152525 Novacap International SAS Novacap T/L B EUR Floating 109,381.85 3E 0.000% 3.500% 3.500% 0.000% 3.500% 3,828.36 LX152525 Novacap International SAS Novacap T/L B EUR Floating 1,263,686.10 3E 0.000% 3.500% 3.500% 0.000% 3.500% 44,229.01 XS1713466149 Novafives SAS NVFVES Float 06/15/25 EUR Floating 1,500,000.00 3E 0.000% 4.500% 4.500% -0.321% 4.500% 67,500.00 LX168948 Oberthur Technologies Group S.A.S. Oberthur T/L New EUR Floating 2,562,011.13 3E 0.000% 3.750% 3.750% 0.000% 3.750% 96,075.42 LX168948 Oberthur Technologies Group S.A.S. Oberthur T/L New EUR Floating 437,988.87 3E 0.000% 3.750% 3.750% 0.000% 3.750% 16,424.58 LX158355 Pacific 2 Limited PHS Group T/L A2 EUR Floating 515,784.81 1E 1.000% 5.250% 6.250% 1.000% 6.250% 32,236.55 LX158354 Pacific 3 Limited PHS Group Limited A1 GBP Floating 2,860,141.39 1L 1.000% 4.450% 4.450% 0.000% 4.450% 127,276.29 XS1794213055 Paprec Holding PAPRC Float 031/03/2025 EUR Floating 1,750,000.00 3E 0.000% 3.500% 3.500% 0.000% 3.500% 61,250.00 LX161205 Parex Parex T/L B EUR Floating 566,473.99 3E 0.000% 3.500% 3.500% 0.000% 3.500% 19,826.59 LX161205 Parex Parex T/L B EUR Floating 231,213.87 3E 0.000% 3.500% 3.500% 0.000% 3.500% 8,092.49 LX161205 Parex Parex T/L B EUR Floating 202,312.14 3E 0.000% 3.500% 3.500% 0.000% 3.500% 7,080.92 LX171259 Peer Holding B.V Action Holding Term B EUR Floating 3,000,000.00 3E 0.000% 3.500% 3.500% 0.000% 3.500% 105,000.00 LX161954 Pfleiderer AG Pfleiderer T/L B (PCF GmbH) EUR Floating 2,000,000.00 2E 0.000% 5.000% 5.000% 0.000% 5.000% 100,000.00 LX175089 Pfleiderer AG Pfleiderer T/L B EUR Floating 3,000,000.00 1E 0.750% 3.250% 4.000% 0.750% 4.000% 120,000.00 LX161834 PHM France Holdco 19 SAS OGF T/L B (03/17) EUR Floating 2,500,000.00 6E 0.000% 3.250% 3.250% 0.000% 3.250% 81,250.00 LX164876 PortAventura Entertainment Barcelona PortAventura T/L B EUR Floating 3,500,000.00 6E 0.000% 3.500% 3.500% 0.000% 3.500% 122,500.00 BV LX167174 Pronovias Pronovias EUR T/L B1 EUR Floating 567,441.86 3E 0.000% 4.500% 4.500% 0.000% 4.500% 25,534.88 LX169138 Pronovias Pronovias EUR T/L B2 EUR Floating 1,311,627.91 3E 0.000% 4.500% 4.500% 0.000% 4.500% 59,023.26 LX171236 Pronovias Pronovias EUR T/L B3 EUR Floating 120,930.23 3E 0.000% 4.500% 4.500% 0.000% 4.500% 5,441.86

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 24 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Weighted Average Spread

Principal Coupon Balance (Euro Index Current Current Current Effective Weighted ISIN/LoanX ID Issuer Facility CurrencyType Equivalent) Type Floor Spread Coupon Index Spread Factor LX162576 Prosol group Prosol T/L B EUR Floating 1,350,007.97 3E 0.000% 4.000% 4.000% 0.000% 4.000% 54,000.32 LX162576 Prosol group Prosol T/L B EUR Floating 149,992.03 3E 0.000% 4.000% 4.000% 0.000% 4.000% 5,999.68 LX160895 Quintiles IMS Incorporated Quintiles IMS T/L B-1 (EUR) EUR Floating 4,925,000.00 3E 0.750% 2.000% 2.750% 0.750% 2.750% 135,437.50 LX169954 Rain Carbon Rain Carbon T/L B EUR Floating 2,750,000.00 3E 0.000% 3.000% 3.000% 0.000% 3.000% 82,500.00 LX159203 Reynolds Group Holdings Inc. Reynolds 2017 Incremental EUR T/L EUR Floating 872,706.86 1E 0.000% 3.250% 3.250% 0.000% 3.250% 28,362.97 LX169932 Sapphire Bidco B.V Sapphire 2nd Lien T/L (TMF Group) EUR Floating 1,000,000.00 1E 0.000% 6.875% 6.875% 0.000% 6.875% 68,750.00 XS1454976801 Schumann SpA SCHMAN Float 07/31/22 EUR Floating 2,500,000.00 3E 0.000% 6.625% 6.625% -0.320% 6.625% 165,625.00 LX169001 SFR Group S.A. SFR Group (Numericable / YPSO / Altice) EUR Floating 3,893,093.70 3E 0.000% 3.000% 3.000% 0.000% 3.000% 116,792.81 T/L B12 (EUR) LX162008 SFR Group S.A. SFR Group (Numericable / YPSO / Altice) EUR Floating 388,100.45 3E 0.000% 3.000% 3.000% 0.000% 3.000% 11,643.01 T/L B11 LX162008 SFR Group S.A. SFR Group (Numericable / YPSO / Altice) EUR Floating 1,093,149.55 3E 0.000% 3.000% 3.000% 0.000% 3.000% 32,794.49 T/L B11 LX163467 SGB-SMIT Management GmbH SGB SMIT T/L B EUR Floating 666,666.66 6E 0.000% 4.000% 4.000% 0.000% 4.000% 26,666.67 LX163467 SGB-SMIT Management GmbH SGB SMIT T/L B EUR Floating 333,333.33 6E 0.000% 4.000% 4.000% 0.000% 4.000% 13,333.33 LX171809 Sigma Holdco BV Sigma Holdco T/L B1 (Flora Food) EUR Floating 1,000,000.00 1& 0.000% 3.500% 3.500% 0.000% 3.500% 35,000.00 LX174821 Sivantos Sivantos T/L B (Auris Luxco ) EUR Floating 1,500,000.00 3E 0.000% 4.000% 4.000% 0.000% 4.000% 60,000.00 LX166298 SK SPICE S.A. R.L. (AKA Clariant Archroma New T/L B1 EUR Floating 3,000,000.00 3E 0.000% 4.000% 4.000% 0.000% 4.000% 120,000.00 Corporation) LX166299 SK SPICE S.A. R.L. (AKA Clariant Archroma 2nd Lien T/L (SK Spice) USD Floating 1,704,200.00 3L 0.000% 6.950% 6.950% 0.000% 6.950% 118,441.90 Corporation) XS1513692357 SNAI S.P.A. SNAIM Float 07/11/21 Corp EUR Floating 1,000,000.00 3E 0.000% 6.000% 6.000% -0.319% 6.000% 60,000.00 LX166814 SOCO 2 Socotec Term Loan New EUR Floating 1,666,666.66 3E 0.000% 3.250% 3.250% 0.000% 3.250% 54,166.67 FR0013237484 Solocal Group LOCLFP Float 03/15/22 Corp EUR Floating 1,576,355.00 3E 1.000% 7.000% 8.000% -0.321% 8.000% 126,108.40 LX157881 Soppa Holdings Sarl Campbell Soup T/L B1 EUR Floating 2,958,648.28 3E 0.000% 4.000% 4.000% 0.000% 4.000% 118,345.93 LX159207 Soppa Holdings Sarl Campbell Soup T/L B4 EUR Floating 108,081.40 3E 0.000% 4.000% 4.000% 0.000% 4.000% 4,323.26 LX159205 Soppa Holdings Sarl Campbell Soup T/L B2 EUR Floating 220,986.15 3E 0.000% 4.000% 4.000% 0.000% 4.000% 8,839.45 LX159205 Soppa Holdings Sarl Campbell Soup T/L B2 EUR Floating 211,583.08 3E 0.000% 4.000% 4.000% 0.000% 4.000% 8,463.32 LX159207 Soppa Holdings Sarl Campbell Soup T/L B4 EUR Floating 82,434.96 3E 0.000% 4.000% 4.000% 0.000% 4.000% 3,297.40 LX159207 Soppa Holdings Sarl Campbell Soup T/L B4 EUR Floating 771,224.92 3E 0.000% 4.000% 4.000% 0.000% 4.000% 30,849.00 LX157881 Soppa Holdings Sarl Campbell Soup T/L B1 EUR Floating 265,550.52 3E 0.000% 4.000% 4.000% 0.000% 4.000% 10,622.02 LX159206 Soppa Holdings Sarl Campbell Soup T/L B3 EUR Floating 381,490.70 3E 0.000% 4.000% 4.000% 0.000% 4.000% 15,259.63 LX169368 Springer Science & Business Media S.A. Springer Science T/L B12 EUR Floating 1,015,440.97 1E 0.500% 3.250% 3.750% 0.500% 3.750% 38,079.04

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 25 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Weighted Average Spread

Principal Coupon Balance (Euro Index Current Current Current Effective Weighted ISIN/LoanX ID Issuer Facility CurrencyType Equivalent) Type Floor Spread Coupon Index Spread Factor LX169368 Springer Science & Business Media S.A. Springer Science T/L B12 EUR Floating 1,021,528.47 1E 0.500% 3.250% 3.750% 0.500% 3.750% 38,307.32 LX169368 Springer Science & Business Media S.A. Springer Science T/L B12 EUR Floating 747,079.66 1E 0.500% 3.250% 3.750% 0.500% 3.750% 28,015.49 LX165734 Stage Entertainment Stage entertainment T/L B EUR Floating 2,500,000.00 3E 0.000% 4.000% 4.000% 0.000% 4.000% 100,000.00 LX174019 Stars Group Holdings B.V. Stars Group Holdings T/L (Amaya) (EUR) EUR Floating 1,000,000.00 3E 0.000% 3.750% 3.750% 0.000% 3.750% 37,500.00 LX170103 Sunshine Mid B.V. Refresco T/L B EUR Floating 2,750,000.00 3E 0.000% 3.250% 3.250% 0.000% 3.250% 89,375.00 LX143312 Survitec Survitec EUR Term Loan EUR Floating 3,500,000.00 6E 0.000% 4.750% 4.750% 0.000% 4.750% 166,250.00 LX172165 Swissport International AG Swissport 2018 Incremental EUR T/L EUR Floating 1,000,000.00 1E 0.000% 4.375% 4.375% 0.000% 4.375% 43,750.00 LX167747 Swissport Investments Swissport T/L B (New) EUR Floating 1,787,756.52 1E 0.000% 4.750% 4.750% 0.000% 4.750% 84,918.43 LX171442 Syniverse Holdings, Inc. Syniverse Holdings 2nd Lien T/L E USD Floating 1,612,600.00 1L 1.000% 7.680% 7.680% 0.000% 7.680% 123,847.68 LX173747 TDC A/S TDC T/L EUR Floating 3,250,000.00 3E 0.000% 3.500% 3.500% 0.000% 3.500% 113,750.00 LX157075 Tech Finance & CO S.C.A Technicolor T/L B New EUR Floating 4,750,000.00 3E 0.000% 3.500% 3.500% 0.000% 3.500% 166,250.00 LX174457 Tele Columbus GmbH Tele columbus T/L A2 EUR Floating 1,872,502.65 6E 0.000% 3.000% 3.000% 0.000% 3.000% 56,175.08 LX173750 Telenet International Finance S.A.R.L Telenet 5/18(EUR) AO EUR Floating 2,000,000.00 6E 0.000% 2.500% 2.500% 0.000% 2.500% 50,000.00 LX166774 Thom Europe Thom Europe T/L B EUR Floating 2,500,000.00 3E 0.000% 4.500% 4.500% 0.000% 4.500% 112,500.00 LX145316 TI Group Automotive Systems, L.L.C. TI Automotive Initial Term Loan EUR Floating 3,946,758.15 2E 0.750% 2.750% 3.500% 0.750% 3.500% 138,136.54 LX169457 Unifrax I LLC Unifrax 2nd Lien T/L USD Floating 863,600.00 3L 1.000% 6.350% 6.350% 0.000% 6.350% 54,838.60 LX161986 Unifrax I LLC Unifrax Term Loan B new EUR Floating 2,401,451.20 3E 0.000% 3.750% 3.750% 0.000% 3.750% 90,054.42 LX174390 Unilabs Diagnostics AB Unilabs Diagnostics AB T/L (6/18) EUR Floating 2,000,000.00 1E 0.000% 3.500% 3.500% 0.000% 3.500% 70,000.00 LX167793 Valeo Food Valeo New EUR T/L EUR Floating 2,000,000.00 3E 0.000% 3.750% 3.750% 0.000% 3.750% 75,000.00 LX146849 Vedici Groupe Vedici New T/L B2 EUR Floating 978,652.82 1E 0.000% 3.750% 3.750% 0.000% 3.750% 36,699.48 LX146849 Vedici Groupe Vedici New T/L B2 EUR Floating 472,298.85 1E 0.000% 3.750% 3.750% 0.000% 3.750% 17,711.21 LX146849 Vedici Groupe Vedici New T/L B2 EUR Floating 34,482.75 1E 0.000% 3.750% 3.750% 0.000% 3.750% 1,293.10 LX146849 Vedici Groupe Vedici New T/L B2 EUR Floating 1,171,379.31 1E 0.000% 3.750% 3.750% 0.000% 3.750% 43,926.72 LX146849 Vedici Groupe Vedici New T/L B2 EUR Floating 343,186.26 1E 0.000% 3.750% 3.750% 0.000% 3.750% 12,869.48 LX164316 Verallia Group Verallia T/L B4 EUR Floating 635,296.00 6E 0.000% 2.750% 2.750% 0.000% 2.750% 17,470.64 LX164316 Verallia Group Verallia T/L B4 EUR Floating 1,827,076.10 6E 0.000% 2.750% 2.750% 0.000% 2.750% 50,244.59 LX164316 Verallia Group Verallia T/L B4 EUR Floating 1,246,718.81 6E 0.000% 2.750% 2.750% 0.000% 2.750% 34,284.77 LX164262 Verisure Holding AB Verisure T/L B1-E EUR Floating 2,500,000.00 3E 0.000% 3.000% 3.000% 0.000% 3.000% 75,000.00 LX165579 Veritas US Inc. Veritas New T/L B1 EUR Floating 7,491,801.21 3E 1.000% 4.500% 5.500% 1.000% 5.500% 412,049.07

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 26 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Weighted Average Spread

Principal Coupon Balance (Euro Index Current Current Current Effective Weighted ISIN/LoanX ID Issuer Facility CurrencyType Equivalent) Type Floor Spread Coupon Index Spread Factor LX146618 Vistra Group Limited Vistra Group (Stiphout) T/L B EUR Floating 2,440,696.76 1E 0.000% 3.250% 3.250% 0.000% 3.250% 79,322.64 LX169481 Wall Street Systems Delaware, Inc. Wall Street Systems T/L New B EUR Floating 2,487,500.00 3E 1.000% 3.000% 4.000% 1.000% 4.000% 99,500.00 LX174175 Weener Plastics Weener Plastics T/L EUR Floating 1,000,000.00 1E 0.000% 3.750% 3.750% 0.000% 3.750% 37,500.00 XS1708450215 Wind TRE SPA WINTRE Float 01/20/24 Corp EUR Floating 2,000,000.00 3E 0.000% 2.750% 2.750% -0.321% 2.750% 55,000.00 LX167093 YRC Worldwide, Inc. YRC Worldwide T/L (07/17) USD Floating 2,497,591.22 1L 1.000% 7.150% 7.150% 0.000% 7.150% 178,577.77 LX159376 Ziggo BV Ziggo T/L F (EUR) EUR Floating 3,000,000.00 6E 0.000% 3.000% 3.000% 0.000% 3.000% 90,000.00

Totals: 208 327,129,471.90 3.99 13,117,425.11

Monthly Report - 8/20/2018 3:59:36PM © 2011 U.S. Bancorp Page 27 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Weighted Average Fixed Coupon

Principal Coupon Balance (Euro Current Weighted ISIN/LoanX ID Issuer Facility Currency Type Equivalent) Coupon Factor XS1577952440 Altice Financing S.A. Altice 4 3/4 01/15/28 EUR Fixed 2,000,000.00 4.75 95,000.00 XS1709347923 CBR - Textile GmbH CBRFHG 5 1/8 10/01/22 Corp EUR Fixed 4,000,000.00 5.13 205,000.00 XS1827600724 Chemours Company, The Chemours Co 4% 5/15/26 EUR Fixed 375,000.00 4.00 15,000.00 XS1713464953 Eagle Group International LLC EAGRUY 5 3/8 05/01/23 CORP EUR Fixed 375,000.00 5.38 20,156.25 XS1577947440 Ineos Group Holdings SA INEGRP 2 1/8 11/15/25 Corp EUR Fixed 3,500,000.00 2.13 74,375.00 XS1681770464 Masaria Investments SAU MASAIN 5 09/15/24 EUR Fixed 500,000.00 5.00 25,000.00 XS1648303813 Maxeda DIY B.V. MAXDIY 6 1/8 07/15/22 EUR Fixed 4,500,000.00 6.13 275,625.00 XS1822876014 NewCO Sab Bidco SAS Cerba 04/2025 EUR Fixed 500,000.00 5.38 26,875.00 XS1584024837 NewCO Sab Bidco SAS CERBA 5 3/8 04/15/25 EUR Fixed 300,000.00 5.38 16,125.00 XS1713466222 Novafives SAS NVFVES 5 06/15/25 EUR Fixed 1,600,000.00 5.00 80,000.00 BE6300371273 Telenet International Finance S.A.R.L TNETBB 3 1/2 03/01/28 EUR Fixed 1,500,000.00 3.50 52,500.00 XS1602515733 Unilabs Diagnostics AB Unilabs 30/4/25 EUR Fixed 1,000,000.00 5.75 57,500.00 XS1629969327 UPC Holding BV UPCB 3 7/8 06/15/29 EUR Fixed 2,300,000.00 3.88 89,125.00 XS1634252628 UPCB Finance VII Ltd UPCB 3 5/8 06/15/29 Corp EUR Fixed 2,000,000.00 3.63 72,500.00

Totals: 14 24,450,000.00 4.52

Monthly Report - 8/20/2018 3:59:35PM © 2011 U.S. Bancorp Page 28 of 80 U.S. Bank Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo

Minimum Weighted Average Spread

A APB of Collateral Debt Obligations (Excluding Defaults) 351,579,471.90 B APB of Fixed Rate Collateral Debt Obligations (Excluding Defaults) 24,450,000.00 C APB of Floating Rate Collateral Debt Obligations (Excluding Defaults) 327,129,471.92

Minimum Weighted Average Spread Test

D Weighted Average Spread 3.99% E Weighted Average Fixed Coupon 4.52% F Reference Weighted Average Fixed Coupon 5.25% G Weighted Average Coupon Adjustment Percentage (E-F)*(C/B) (0.05)% Minimum Weighted Average Spread Test Result (D+G) 3.94%

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Portfolio Statistics

Description Number

Expected Portfolio Default Rate (EPDR) 0.298970 Default Rate Deviation (DRD) 0.069980 Obligor Diversity Measure (ODM) 103.965261 Industry Diversity Measure (IDM) 26.132628 Regional Diversity Measure (RDM) 1.439609 Weighted Average Life (WAL) 5.541166

Test Result

Description Number

Monitor Threshold Value 66.809920 Monitor Test Value 64.767700 Monitor Cushion 2.042220 Test Result (1 = PASS, 0 = FAIL) 1

S&P CDO Monitor Test - will be satisfied on any Measurement Date after the Effective Date and until the end of the Reinvestment Period.

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All-in Principal Market Market Value Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Currency Maturity Date Rate Asset Type Balance Value Source BL0500688 LX171259 Peer Holding B.V Action Holding Term B EUR 08-Mar-25 3.50% Senior Secured Loan 3,000,000.00 97.65 Markit BL0388118 LX142050 Aenova Holding GMBH Aenova - Dragenopharm Apotheker EUR 29-Sep-20 5.00% Senior Secured Loan 273,562.79 96.90 Markit BL0388126 LX142051 Aenova Holding GMBH Aenova - Swisscaps Holding EUR 29-Sep-20 5.00% Senior Secured Loan 165,697.51 96.90 Markit (Luxemberg) Sarl BL0388134 LX142052 Aenova Holding GMBH Aenova - Temmler EUR 29-Sep-20 5.00% Senior Secured Loan 147,044.79 96.90 Markit BL0380917 LX139191 Aenova Holding GMBH Aenova Term Loan EUR 29-Sep-20 5.00% Senior Secured Loan 556,551.07 96.90 Markit BL0500696 LX171534 Hensoldt Holding GmbH Airbus (Defence Electronics/Hensoldt) EUR 28-Feb-24 3.25% Senior Secured Loan 3,000,000.00 99.13 Markit T/L B3 BL0375586 LX137656 All3Media Intermediate Limited ALL 3 Media Second Lien EUR 30-Jun-22 8.25% Second Lien Loan 2,000,000.00 100.21 Markit BL0466179 LX137858 Alison Bidco S.A.R.L. Alstom (Arvos) T/L B2 EUR 30-Aug-21 5.50% Senior Secured Loan 3,920,784.53 98.88 Markit AP4431445 XS1577952440 Altice International S.a.r.l Altice 4 3/4 01/15/28 EUR 15-Jan-28 4.75% High Yield Bond 2,000,000.00 83.65 Markit BL0459729 LX160841 Apcoa Parking Holdings GMBH Apcoa Term Loan B EUR 20-Mar-24 3.75% Senior Secured Loan 3,000,000.00 100.23 Markit BL0475303 LX166299 SK SPICE S.A. R.L. (AKA Clariant Archroma 2nd Lien T/L (SK Spice) USD 11-Jul-25 6.95% Second Lien Loan 1,704,200.00 97.75 Markit Corporation) BL0473399 LX166298 SK SPICE S.A. R.L. (AKA Clariant Archroma New T/L B1 EUR 12-Aug-24 4.00% Senior Secured Loan 3,000,000.00 99.50 Markit Corporation) BL0517641 LX174058 Artemis Midco (UK) Limited Artemis T/L (Partner in Pet Food) EUR 30-Jun-25 4.00% Senior Secured Loan 1,000,000.00 99.44 Markit AL0700735 XS1517169972 Autodis SA AUTODI Float 05/01/22 EUR 01-May-22 4.38% Senior Secured Bond 500,000.00 100.97 Markit BL0475881 LX159199 Kirk Beauty One GMBH Beauty Holding New T/L B1 (formerly EUR 12-Aug-22 3.50% Senior Secured Loan 760,817.32 86.04 Markit B15) BL0475899 LX160534 Kirk Beauty One GMBH Beauty Holding New T/L B2 (formerly EUR 12-Aug-22 3.50% Senior Secured Loan 152,302.05 86.04 Markit B16) BL0475840 LX160535 Kirk Beauty One GMBH Beauty Holding New T/L B3 (formerly EUR 12-Aug-22 3.50% Senior Secured Loan 681,270.67 86.04 Markit B17) BL0475865 LX160536 Kirk Beauty One GMBH Beauty Holding New T/L B4 (formerly EUR 12-Aug-22 3.50% Senior Secured Loan 701,287.68 86.04 Markit B18) BL0475832 LX160537 Kirk Beauty One GMBH Beauty Holding New T/L B5 (formerly EUR 12-Aug-22 3.50% Senior Secured Loan 160,633.82 86.04 Markit B19) BL0475857 LX160538 Kirk Beauty One GMBH Beauty Holding New T/L B6 (formerly EUR 12-Aug-22 3.50% Senior Secured Loan 312,270.60 86.04 Markit B20) BL0475873 LX160539 Kirk Beauty One GMBH Beauty Holding New T/L B7 (formerly EUR 12-Aug-22 3.50% Senior Secured Loan 231,417.86 86.04 Markit B21) BL0503690 LX164386 Bio Group Bio Group Term Loan B EUR 14-Jun-24 3.50% Senior Secured Loan 2,000,000.00 99.43 Markit BL0518854 LX174342 BMC Software Finance, Inc. BMC Foreign Holding T/L EUR 01-Sep-25 4.75% Senior Secured Loan 2,000,000.00 100.22 Markit BL0462780 LX169962 BMC Software Finance, Inc. BMC Software Term Loan B2 New EUR 10-Sep-22 3.75% Senior Secured Loan 5,746,975.68 100.13 Markit BL0501645 LX157881 Soppa Holdings Sarl Campbell Soup T/L B1 EUR 31-Dec-23 4.00% Senior Secured Loan 3,224,198.80 99.45 Markit BL0476061 LX159205 Soppa Holdings Sarl Campbell Soup T/L B2 EUR 31-Dec-23 4.00% Senior Secured Loan 432,569.23 99.45 Markit BL0501652 LX159206 Soppa Holdings Sarl Campbell Soup T/L B3 EUR 31-Dec-23 4.00% Senior Secured Loan 381,490.70 99.45 Markit BL0501660 LX159207 Soppa Holdings Sarl Campbell Soup T/L B4 EUR 31-Dec-23 4.00% Senior Secured Loan 961,741.28 99.45 Markit BL0373078 LX137091 Catalent Pharma Solutions Inc Catalent Pharma T/L B EUR EUR 20-May-24 2.75% Senior Secured Loan 2,339,116.10 100.38 Markit AP7256179 XS1709347923 CBR - Textile GmbH CBRFHG 5 1/8 10/01/22 Corp EUR 01-Oct-22 5.13% Senior Secured Bond 4,000,000.00 89.50 Markit

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All-in Principal Market Market Value Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Currency Maturity Date Rate Asset Type Balance Value Source BL0510224 LX173383 CD&R Firely Bidco Limited (Uk) CD&R Firely Bidco T/L B2 (Motor Fuel EUR 23-Jun-25 3.50% Senior Secured Loan 1,000,000.00 99.36 Markit Group) BL0494411 LX170211 CDS Holdco III B.V. CDS Holdco M7 Facility F EUR 31-Dec-24 3.75% Senior Secured Loan 2,000,000.00 99.50 Markit AS4019608 XS1822876014 NewCO Sab Bidco SAS Cerba 04/2025 EUR 15-Apr-25 5.38% Unsecured Senior Obligation 500,000.00 93.22 Markit AM9252025 XS1584024837 NewCO Sab Bidco SAS CERBA 5 3/8 04/15/25 EUR 15-Apr-25 5.38% High Yield Bond 300,000.00 99.11 Markit AS7476128 XS1827600724 Chemours Company, The Chemours Co 4% 5/15/26 EUR 15-May-26 4.00% High Yield Bond 375,000.00 101.38 Markit BL0519167 LX174299 Cheplapharm Arzneimittel GmbH Cheplapharm T/L EUR 02-Jul-25 4.50% Senior Secured Loan 2,000,000.00 99.75 Markit BL0453656 LX159920 Corialis Group Limited Corialis T/L B EUR 29-Mar-24 3.50% Senior Secured Loan 2,000,000.00 98.18 Markit BL0504805 LX172439 Beauty Business NewCo Coty T/L B (EUR) EUR 04-Apr-25 2.50% Senior Secured Loan 2,000,000.00 99.17 Markit BL0496069 LX170856 Crown Holdings Inc. Crown Holding T/L EUR 03-Apr-25 2.38% Senior Secured Loan 1,500,000.00 99.94 Markit BL0387433 LX141055 Delachaux S.A. Delachaux T/L B1 Amendment EUR 28-Oct-21 3.75% Senior Secured Loan 3,005,067.06 100.11 Markit BL0469140 LX164119 Diaverum Holding SARL Diaverum Term Loan B EUR 04-Jul-24 3.25% Senior Secured Loan 1,500,000.00 97.66 Markit BL0490054 LX169552 Cheminvest Holdings S.A.R.L. DSM Polymers TL New EUR 09-Dec-24 4.25% Senior Secured Loan 2,500,000.00 100.08 Markit BL0468779 LX164355 Dummen Orange Dummen Orange T/L B New EUR 20-May-24 3.50% Senior Secured Loan 2,000,000.00 86.00 Markit AS1592433 XS1713464953 Eagle Group International LLC EAGRUY 5 3/8 05/01/23 CORP EUR 01-May-23 5.38% Senior Secured Bond 375,000.00 100.07 Markit BL0504441 LX172074 EG Group Limited EG Finco (Euro Garages) 2nd Lien T/L EUR 23-Mar-26 8.75% Second Lien Loan 1,200,000.00 99.71 Markit BL0459745 LX161434 Eircom Holdings (Ireland) Ltd Eircom Holdings (NEW) EUR 19-Apr-24 3.25% Senior Secured Loan 2,000,000.00 99.38 Markit BL0490237 LX169696 ETRAVELI GROUP HOLDING AB Etraveli Group Holding T/L B EUR 02-Aug-24 4.75% Senior Secured Loan 1,000,000.00 99.67 Markit BL0497141 LX171054 EG Group Limited Euro Garages T/L B1 EUR 07-Feb-25 4.00% Senior Secured Loan 2,562,385.32 99.56 Markit BL0498636 LX171115 EG Group Limited Euro Garages T/L B3 EUR 07-Feb-25 4.00% Senior Secured Loan 1,302,160.40 99.63 Markit BL0521189 LX174805 Evergood 4 ApS Evergood 4 T/L (Nets) EUR 06-Feb-25 3.75% Senior Secured Loan 1,263,157.90 100.05 Markit BL0505265 LX172466 Filtration Group Corporation Filtration Group T/L (03/18) EUR 31-Mar-25 3.50% Senior Secured Loan 1,997,500.00 99.65 Markit BL0492720 LX170325 FINANCIERE HOLDING CEP Financiere CEP 12/17 Term Loan B EUR 16-Jan-25 4.25% Senior Secured Loan 3,500,000.00 97.93 Markit BL0492142 LX169827 Fintrax Fintrax T/L B EUR 11-Dec-24 4.00% Senior Secured Loan 1,908,450.71 99.93 Markit BL0498081 LX171149 Fintrax Fintrax T/L B2 EUR 11-Dec-24 4.00% Senior Secured Loan 47,323.95 99.93 Markit BL0498065 LX171150 Fintrax Fintrax TL B3 EUR 11-Dec-24 4.00% Senior Secured Loan 544,225.35 99.93 Markit AS2398665 XS1811351821 Gamenet Group SPA Gamenet Group Floating 4/27/23 EUR 27-Apr-23 3.75% Senior Secured Bond 375,000.00 97.08 Markit BL0478307 LX168068 Gardner Denver, Inc. Gardner Denver EUR TLB EUR 30-Jul-24 3.00% Senior Secured Loan 2,972,512.56 99.88 Markit BL0479834 LX168343 Global Garden Products C S.ar.l Global Garden Products New T/L EUR 30-Aug-24 4.25% Senior Secured Loan 5,000,000.00 99.08 Markit BL0494429 LX121410 Ateliers LR Etanco SAS Groupe Etanco 10/11 TL B1 EUR 19-Oct-20 3.50% Senior Secured Loan 710,492.54 100.25 Markit BL0508376 LX170263 Ateliers LR Etanco SAS Groupe Etanco 10/11 TL B2 EUR 19-Oct-20 3.50% Senior Secured Loan 289,507.46 100.25 Markit BL0503138 LX172214 GVC Holdings PLC GVC Holdings 3/18 (Eur) TLB EUR 29-Mar-24 2.75% Senior Secured Loan 2,000,000.00 99.38 Markit AO2968862 XS1647643110 HEMA Holding B.V. HEMABV FLOAT 07/15/22 CORP EUR 15-Jul-22 6.25% Senior Secured Bond 1,825,000.00 96.03 Markit BL0379679 LX139672 1908 Acquisitions B.V. Hes Beheer T/L B EUR 27-Sep-21 4.00% Senior Secured Loan 3,000,000.00 98.13 Markit BL0488033 LX169486 Hilding Anders Hilding Anders AB 11/17 (Eur) TLB EUR 20-Nov-24 4.50% Senior Secured Loan 2,500,000.00 98.13 Markit

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All-in Principal Market Market Value Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Currency Maturity Date Rate Asset Type Balance Value Source BL0476970 LX167539 Holland and Barrett Holland and Barrett (EUR) T/L B2 EUR 30-Aug-24 4.25% Senior Secured Loan 6,000,000.00 96.22 Markit BL0430316 LX152965 Hotelbeds Hotelbeds TL B EUR 12-Sep-23 3.25% Senior Secured Loan 2,000,000.00 98.98 Markit BL0513038 LX169710 House of HR House of HR T/L B (05/18) EUR 20-Dec-24 4.25% Senior Secured Loan 3,000,000.00 99.54 Markit BL0476806 LX167460 HRA HRA Term Loan EUR 19-Sep-24 3.50% Senior Secured Loan 1,333,333.67 98.45 Markit BL0498867 LX171110 Hurtigruten Hurtigruten T/L B EUR 24-Feb-25 4.00% Senior Secured Loan 2,250,000.00 99.08 Markit BL0493108 LX170078 Hyperion Insurance Group Limited Hyperion Insurance Group T/L EUR 20-Dec-24 3.50% Senior Secured Loan 2,313,375.00 99.25 Markit BL0494403 LX170142 I-Logic Technologies Bidco Ltd I-Logic Technologies (Dealogic) EUR EUR 20-Dec-24 5.00% Senior Secured Loan 1,460,250.00 100.44 Markit T/L BL0474819 LX167063 IFS Group IFS T/L New EUR 30-Jul-24 3.50% Senior Secured Loan 3,580,618.57 96.55 Markit BL0521767 LX174740 LSF10 Impala Investments Sarl Impala Roofing/Impala TL B EUR 01-Aug-25 4.75% Senior Secured Loan 2,500,000.00 99.54 Markit BL0493116 LX170169 Indivior Finance S.a.r.l. Indivior T/L B EUR EUR 18-Dec-22 4.50% Senior Secured Loan 3,980,000.00 98.67 Markit AP7276599 XS1577947440 Ineos Group Holdings SA INEGRP 2 1/8 11/15/25 Corp EUR 15-Nov-25 2.13% Senior Secured Bond 3,500,000.00 97.78 Markit BL0487464 LX169498 Ineos Styrolution Group GmbH Ineos Styrolution TL B New 11/17 EUR 29-Mar-24 2.50% Senior Secured Loan 3,980,000.00 99.94 Markit BL0485732 LX169196 Ineos Group Holdings SA Ineos T/L B 2024 EUR 01-Apr-24 2.50% Senior Secured Loan 1,990,000.00 99.35 Markit BL0463069 LX162255 Infinitas Learning Holdings B.V. Infinitas New Term Loan B3 EUR 03-May-24 3.75% Senior Secured Loan 3,000,000.00 99.77 Markit BL0489593 LX169633 Infor, Inc. Infor (Lawson) T/L B2 EUR 01-Feb-22 3.25% Senior Secured Loan 2,903,958.49 99.66 Markit BL0484602 LX169031 Inovyn Finance PLC Inovyn Finance 2024 Tranche B2 New EUR 10-May-24 3.00% Senior Secured Loan 1,481,324.91 99.70 Markit EUR T/L BL0487969 LX169484 ION Trading Technologies Limited Ion Trading Euro T/L B EUR 21-Nov-24 3.75% Senior Secured Loan 3,987,500.00 98.90 Markit BL0516452 LX173965 Quintiles IMS Incorporated IQVIA T/L B-2 add-on (IMS Health) EUR 09-Jun-25 2.50% Senior Secured Loan 1,000,000.00 99.56 Markit BL0454340 LX159775 Kinetic Concepts Inc. Kinetic Concepts (Acelity) T/L B EUR 02-Feb-24 4.00% Senior Secured Loan 1,980,000.00 100.25 Markit BL0473324 LX165634 Kleopatra Holdings 1 S.C.A. Klockner Pentaplast T/L B (6/17) EUR 30-Jun-22 4.75% Senior Secured Loan 2,200,000.00 92.52 Markit BL0494080 LX170730 KMD KMD T/L B4 EUR 03-Oct-20 4.50% Senior Secured Loan 2,475,869.38 97.00 Markit AT2689269 XS1849559205 LHMC Bidco S.L.U. LHMCFI (Circa) Floating 12/20/23 Corp EUR 20-Dec-23 5.75% Senior Secured Bond 1,500,000.00 98.37 Markit AM8177496 FR0013237484 Solocal Group LOCLFP Float 03/15/22 Corp EUR 15-Mar-22 8.00% Senior Secured Bond 1,576,355.00 101.14 Markit BL0480956 LX168518 LSFX Flavum Bidco, S.L. LSFX Flavum Bidco SL T/L EUR 03-Oct-24 4.50% Senior Secured Loan 5,000,000.00 98.19 Markit BL0466245 LX162203 Platform Specialty Products Corporation MacDermid T/L C5 EUR 07-Jun-23 3.50% Senior Secured Loan 1,835,286.37 99.87 Markit BL0482572 LX168776 Platform Specialty Products Corporation Macdermid T/L C6 EUR 07-Jun-20 3.25% Senior Secured Loan 1,668,400.02 99.79 Markit AO9891422 XS1681770464 Masaria Investments SAU MASAIN 5 09/15/24 EUR 15-Sep-24 5.00% Senior Secured Bond 500,000.00 96.47 Markit AO9889798 XS1681774888 Masaria Investments SAU MASAIN FLOAT 09/15/24 CORP EUR 15-Sep-24 5.25% Senior Secured Bond 2,500,000.00 96.24 Markit AO2985171 XS1648303813 Maxeda DIY B.V. MAXDIY 6 1/8 07/15/22 EUR 15-Jul-22 6.13% Senior Secured Bond 4,500,000.00 96.76 Markit BL0481319 LX168777 McAfee, LLC McAfee T/L B New EUR 27-Sep-24 4.25% Senior Secured Loan 1,985,000.00 100.35 Markit BL0447914 LX156994 AI Garden B.V Mediq T/L B1 EUR 28-Feb-22 4.50% Senior Secured Loan 3,991,251.37 99.72 Markit BL0467474 LX163229 Magic Newco 5 S.a.r.l Misys Term B Eur Loan EUR 13-Jun-24 4.25% Senior Secured Loan 3,970,000.00 99.95 Markit BL0453094 LX158905 Modacin France Modacin New B1 EUR 22-Nov-20 4.50% Senior Secured Loan 674,523.68 85.44 Markit BL0453102 LX158906 Modacin France Modacin New C1 EUR 22-Nov-21 5.00% Senior Secured Loan 853,979.09 85.58 Markit

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All-in Principal Market Market Value Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Currency Maturity Date Rate Asset Type Balance Value Source BL0485153 LX158901 Modacin France Modacin New Term B3 EUR 22-Nov-20 4.50% Senior Secured Loan 141,996.43 85.58 Markit BL0485161 LX158903 Modacin France Modacin New Term Loan C3 EUR 22-Nov-21 5.00% Senior Secured Loan 760,212.78 85.58 Markit BL0472920 LX157878 NEP/NCP Holdco, Inc. NEP Europe Finco T/L New EUR 03-Jan-24 3.75% Senior Secured Loan 1,957,668.89 100.21 Markit BL0522534 LX175202 Evergood 4 ApS Nets 7/18 Dotplay Term Loan B2 EUR 06-Feb-25 3.75% Senior Secured Loan 236,842.10 100.05 Markit BL0489726 LX169648 Evergood 4 ApS Nets TL B1E EUR 06-Feb-25 3.25% Senior Secured Loan 2,645,832.26 99.47 Markit BL0509028 LX173154 NewCO Sab Bidco SAS Newco Sab Bidco T/L NEW (Cerba) EUR 22-Apr-24 3.50% Senior Secured Loan 500,000.00 99.28 Markit BL0518813 LX174594 Nielsen Holdings N.V. Nielsen T/L New B2 EUR 04-Oct-23 2.50% Senior Secured Loan 3,470,000.00 99.75 Markit BL0472342 LX165624 Nord Anglia Education Finance LLC Nord Anglia Term Loan EUR 02-Sep-24 3.25% Senior Secured Loan 1,000,000.00 99.08 Markit BL0427296 LX152525 Novacap Group Holding Novacap T/L B EUR 22-Jun-23 3.50% Senior Secured Loan 2,999,999.99 98.75 Markit AS1418001 XS1713466222 Novafives SAS NVFVES 5 06/15/25 EUR 15-Jun-25 5.00% Senior Secured Bond 1,600,000.00 98.30 Markit AS1418787 XS1713466149 Novafives SAS NVFVES Float 06/15/25 EUR 15-Jun-25 4.50% Senior Secured Bond 1,500,000.00 98.89 Markit BL0483653 LX168948 Oberthur Technologies Holdings SAS Oberthur T/L New EUR 10-Jan-24 3.75% Senior Secured Loan 3,000,000.00 99.54 Markit BL0462343 LX161834 PHM France Holdco 19 SAS OGF T/L B (03/17) EUR 11-Apr-23 3.25% Senior Secured Loan 2,500,000.00 99.86 Markit AR7345614 XS1794213055 Paprec Holding PAPRC Float 031/03/2025 EUR 31-Mar-25 3.50% Senior Secured Bond 1,750,000.00 101.08 Markit BL0459463 LX161205 Parex Parex T/L B EUR 15-Mar-24 3.50% Senior Secured Loan 1,000,000.00 99.88 Markit BL0522088 LX161954 Pfleiderer AG Pfleiderer T/L B (PCF GmbH) EUR 01-Aug-24 5.00% Senior Secured Loan 2,000,000.00 99.75 Markit BL0462954 LX175089 Pfleiderer AG Pfleiderer T/L B EUR 01-Aug-24 4.00% Senior Secured Loan 3,000,000.00 99.75 Markit BL0451841 LX158354 Pacific 2 Limited PHS Group Limited A1 GBP 20-Dec-21 4.45% Senior Secured Loan 2,860,141.39 99.63 Markit BL0491334 LX158355 Pacific 2 Limited PHS Group T/L A2 EUR 20-Dec-21 6.25% Senior Secured Loan 515,784.81 99.63 Markit BL0471468 LX164876 PortAventura Entertainment Barcelona BV PortAventura T/L B EUR 13-Jun-24 3.50% Senior Secured Loan 3,500,000.00 99.66 Markit BL0479776 LX155855 Nordic Pakaging & Container Holding POWERFLUTE B1 EUR 16-Nov-23 5.00% Senior Secured Loan 4,000,000.00 99.53 Markit BL0491342 LX167174 Pronovias Pronovias EUR T/L B1 EUR 02-Oct-24 4.50% Senior Secured Loan 567,441.86 97.78 Markit BL0480964 LX169138 Pronovias Pronovias EUR T/L B2 EUR 02-Oct-24 4.50% Senior Secured Loan 1,311,627.91 97.78 Markit BL0498073 LX171236 Pronovias Pronovias EUR T/L B3 EUR 02-Oct-24 4.50% Senior Secured Loan 120,930.23 97.78 Markit BL0464851 LX162576 Prosol group Prosol T/L B EUR 30-Apr-24 4.00% Senior Secured Loan 1,500,000.00 97.80 Markit BL0459026 LX160895 Quintiles IMS Incorporated Quintiles IMS T/L B-1 (EUR) EUR 07-Mar-24 2.75% Senior Secured Loan 4,925,000.00 99.64 Markit BL0498529 LX170852 Froneri International plc R&R Ice Cream Froneri 1/18 (EUR) EUR 31-Jan-25 2.63% Senior Secured Loan 1,000,000.00 99.43 Markit Cov-Lite BL0491003 LX169954 Rain Carbon Rain Carbon T/L B EUR 16-Jan-25 3.00% Senior Secured Loan 2,750,000.00 99.22 Markit BL0493082 LX170103 Sunshine Mid B.V. Refresco T/L B EUR 28-Mar-25 3.25% Senior Secured Loan 2,750,000.00 99.42 Markit BL0454399 LX159203 Reynolds Group Holdings Inc. Reynolds 2017 Incremental EUR T/L EUR 06-Feb-23 3.25% Senior Secured Loan 872,706.86 99.91 Markit BL0466070 LX162763 Jade Germany GMBH Rhodia Acetow Term Loan B EUR 31-May-23 5.75% Senior Secured Loan 1,980,000.00 99.85 Markit BL0491532 LX169932 TMF Group Holding B.V. Sapphire 2nd Lien T/L (TMF Group) EUR 04-May-26 6.88% Second Lien Loan 1,000,000.00 99.88 Markit LW8188093 XS1454976801 SISAL HOLDING FINANZIARIA S.P.A. SCHMAN Float 07/31/22 EUR 31-Jul-22 6.63% Senior Secured Bond 2,500,000.00 100.45 Markit BL0462855 LX162008 SFR Group S.A. SFR Group (Numericable / YPSO / EUR 31-Jul-25 3.00% Senior Secured Loan 1,481,250.00 96.74 Markit Altice) T/L B11

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All-in Principal Market Market Value Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Currency Maturity Date Rate Asset Type Balance Value Source BL0484396 LX169001 SFR Group S.A. SFR Group (Numericable / YPSO / EUR 30-Jan-26 3.00% Senior Secured Loan 3,893,093.70 96.70 Markit Altice) T/L B12 (EUR) BL0472466 LX163467 SGB-SMIT Management GmbH SGB SMIT T/L B EUR 18-Jul-24 4.00% Senior Secured Loan 999,999.99 83.67 Markit BL0501108 LX171809 Sigma Holdco BV Sigma Holdco T/L B1 (Flora Food) EUR 02-Jul-25 3.50% Senior Secured Loan 1,000,000.00 98.93 Markit BL0521478 LX174821 Sivantos Sivantos T/L B (Auris Luxco ) EUR 24-Jul-25 4.00% Senior Secured Loan 1,500,000.00 100.36 Markit QZ9789210 XS1513692357 SNAI S.P.A. SNAIM Float 07/11/21 Corp EUR 07-Nov-21 6.00% Senior Secured Bond 1,000,000.00 101.00 Markit BL0475501 LX166814 SOCO 2 Socotec Term Loan New EUR 29-Jul-24 3.25% Senior Secured Loan 1,666,666.66 99.67 Markit BL0478133 LX169368 Springer SBM One GmbH Springer Science T/L B12 EUR 15-Aug-22 3.75% Senior Secured Loan 2,784,049.10 99.73 Markit BL0473712 LX165734 Stage Entertainment Stage entertainment T/L B EUR 02-Aug-24 4.00% Senior Secured Loan 2,500,000.00 100.03 Markit BL0518482 LX174019 Stars Group Holdings B.V. Stars Group Holdings T/L (Amaya) EUR 10-Jul-25 3.75% Senior Secured Loan 1,000,000.00 100.19 Markit (EUR) AR6596779 XS1791484717 LSF10 Wolverine Investments STKGRP Float 03/15/24 EUR 15-Mar-24 4.63% Senior Secured Bond 1,000,000.00 100.51 Markit BL0394496 LX143312 Survitec Survitec EUR Term Loan EUR 12-Mar-22 4.75% Senior Secured Loan 3,500,000.00 96.75 Markit BL0506008 LX172165 Swissport Investments Swissport 2018 Incremental EUR T/L EUR 08-Feb-22 4.38% Senior Secured Loan 1,000,000.00 99.88 Markit BL0476707 LX167747 Swissport Investments Swissport T/L B (New) EUR 09-Feb-22 4.75% Senior Secured Loan 1,787,756.52 99.75 Markit BL0499667 LX171442 Syniverse Holdings, Inc. Syniverse Holdings 2nd Lien T/L E USD 11-Mar-24 7.68% Second Lien Loan 1,612,600.00 98.93 Markit BL0514796 LX173747 DKT Finance APS TDC T/L EUR 04-Jun-25 3.50% Senior Secured Loan 3,250,000.00 99.82 Markit BL0522393 LX174950 Blitz F18-675 GmbH Techem T/L (7/18) Cov-Lite EUR 16-Jul-25 3.75% Senior Secured Loan 1,250,000.00 99.83 Markit BL0449365 LX157075 Tech Finance & CO S.C.A Technicolor T/L B New EUR 06-Dec-23 3.50% Senior Secured Loan 4,750,000.00 94.63 Markit BL0520264 LX174457 Tele Columbus GmbH Tele columbus T/L A2 EUR 15-Oct-24 3.00% Senior Secured Loan 1,872,502.65 98.00 Markit BL0446825 LX173750 Telenet Group Holding NV Telenet 5/18(EUR) AO EUR 15-Dec-27 2.50% Senior Secured Loan 2,000,000.00 98.66 Markit BL0475014 LX166774 Thom Europe Thom Europe T/L B EUR 07-Aug-24 4.50% Senior Secured Loan 2,500,000.00 98.55 Markit BL0403883 LX145316 TI Fluid Systems Limited TI Automotive Initial Term Loan EUR 30-Jun-22 3.50% Senior Secured Loan 3,946,758.15 99.79 Markit BL0462285 LX161739 Dorna Sports S.L. Tinagen T/L NEW B2 EUR 03-May-24 3.00% Senior Secured Loan 2,000,000.00 98.67 Markit AQ2322693 BE6300371273 Telenet Group Holding NV TNETBB 3 1/2 03/01/28 EUR 01-Mar-28 3.50% Senior Secured Bond 1,500,000.00 95.98 Markit BL0487332 LX169457 Unifrax Holding Co Unifrax 2nd Lien T/L USD 07-Nov-25 6.35% Second Lien Loan 863,600.00 100.96 Markit BL0402638 LX161986 Unifrax Holding Co Unifrax Term Loan B new EUR 04-Apr-24 3.75% Senior Secured Loan 2,401,451.20 99.79 Markit AN2740909 XS1602515733 Unilabs Subholding AB Unilabs 30/4/25 EUR 15-May-25 5.75% High Yield Bond 1,000,000.00 96.75 Markit BL0518011 LX174390 Unilabs Subholding AB Unilabs Diagnostics AB T/L (6/18) EUR 19-Apr-24 3.50% Senior Secured Loan 2,000,000.00 99.34 Markit AN9816256 XS1634252628 UPC Holding BV UPCB 3 5/8 06/15/29 Corp EUR 15-Jun-29 3.63% Senior Secured Bond 2,000,000.00 99.20 Markit AN8803446 XS1629969327 UPC Holding BV UPCB 3 7/8 06/15/29 EUR 15-Jun-29 3.88% High Yield Bond 2,300,000.00 95.13 Markit BL0477812 LX167793 Valeo Food Valeo New EUR T/L EUR 27-Aug-24 3.75% Senior Secured Loan 2,000,000.00 99.63 Markit BL0480766 LX146849 Vedici Groupe Vedici New T/L B2 EUR 31-Oct-22 3.75% Senior Secured Loan 2,999,999.99 100.00 Markit BL0470056 LX164316 Verallia Group Verallia T/L B4 EUR 31-Oct-22 2.75% Senior Secured Loan 3,709,090.91 99.07 Markit BL0469421 LX164262 Verisure Holding AB Verisure T/L B1-E EUR 21-Oct-22 3.00% Senior Secured Loan 2,500,000.00 99.00 Markit BL0472474 LX165579 Veritas US Inc. Veritas New T/L B1 EUR 27-Jan-23 5.50% Senior Secured Loan 7,491,801.21 92.46 Markit

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All-in Principal Market Market Value Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Currency Maturity Date Rate Asset Type Balance Value Source BL0446379 LX146618 Vistra Group Limited Vistra Group (Stiphout) T/L B EUR 26-Oct-22 3.25% Senior Secured Loan 2,440,696.76 99.53 Markit BL0487514 LX169481 Wall Street Systems Delaware, Inc. Wall Street Systems T/L New B EUR 21-Nov-24 4.00% Senior Secured Loan 2,487,500.00 100.14 Markit BL0517633 LX174175 Weener Plastics Weener Plastics T/L EUR 19-May-25 3.75% Senior Secured Loan 1,000,000.00 99.94 Markit AP6379337 XS1708450215 Wind TRE SPA WINTRE Float 01/20/24 Corp EUR 20-Jan-24 2.75% Senior Secured Bond 2,000,000.00 94.34 Markit BL0454613 LX159274 Xella International SA Xella T/L B EUR 11-Apr-24 3.50% Senior Secured Loan 3,999,137.05 99.31 Markit BL0476400 LX167093 YRC Worldwide, Inc. YRC Worldwide T/L (07/17) USD 26-Jul-22 6.83% Senior Secured Loan 2,497,591.22 101.54 Markit BL0454134 LX159376 Ziggo BV Ziggo T/L F (EUR) EUR 15-Apr-25 3.00% Senior Secured Loan 3,000,000.00 99.10 Markit

Totals: 173 351,579,471.90

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Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Country Moody's Industry Classification S&P Industry Classification BL0500688 LX171259 Peer Holding B.V Action Holding Term B Netherlands Retail Specialty Retail BL0388118 LX142050 Aenova Holding GMBH Aenova - Dragenopharm Apotheker Germany Healthcare & Pharmaceuticals Pharmaceuticals BL0388126 LX142051 Aenova Holding GMBH Aenova - Swisscaps Holding Germany Healthcare & Pharmaceuticals Pharmaceuticals (Luxemberg) Sarl BL0388134 LX142052 Aenova Holding GMBH Aenova - Temmler Germany Healthcare & Pharmaceuticals Pharmaceuticals BL0380917 LX139191 Aenova Holding GMBH Aenova Term Loan Germany Healthcare & Pharmaceuticals Pharmaceuticals BL0500696 LX171534 Hensoldt Holding GmbH Airbus (Defence Electronics/Hensoldt) Germany Aerospace & Defense Aerospace & Defense T/L B3 BL0375586 LX137656 All3Media Intermediate Limited ALL 3 Media Second Lien United Kingdom Media: Diversified & Production Media BL0466179 LX137858 Alison Bidco S.A.R.L. Alstom (Arvos) T/L B2 Luxembourg Utilities: Electric Machinery AP4431445 XS1577952440 Altice International S.a.r.l Altice 4 3/4 01/15/28 Luxembourg Media: Broadcasting & Subscription Media BL0459729 LX160841 Apcoa Parking Holdings GMBH Apcoa Term Loan B Germany Services: Business Professional Services BL0475303 LX166299 SK SPICE S.A. R.L. (AKA Archroma 2nd Lien T/L (SK Spice) Luxembourg Chemicals, Plastics, & Rubber Chemicals Clariant Corporation) BL0473399 LX166298 SK SPICE S.A. R.L. (AKA Archroma New T/L B1 Luxembourg Chemicals, Plastics, & Rubber Chemicals Clariant Corporation) BL0517641 LX174058 Artemis Midco (UK) Limited Artemis T/L (Partner in Pet Food) Netherlands Consumer goods: Non-durable Trading Companies & Distributors AL0700735 XS1517169972 Autodis SA AUTODI Float 05/01/22 France Automotive Automobiles BL0475881 LX159199 Kirk Beauty One GMBH Beauty Holding New T/L B1 (formerly Germany Retail Specialty Retail B15) BL0475899 LX160534 Kirk Beauty One GMBH Beauty Holding New T/L B2 (formerly Germany Retail Specialty Retail B16) BL0475840 LX160535 Kirk Beauty One GMBH Beauty Holding New T/L B3 (formerly Germany Retail Specialty Retail B17) BL0475865 LX160536 Kirk Beauty One GMBH Beauty Holding New T/L B4 (formerly Germany Retail Specialty Retail B18) BL0475832 LX160537 Kirk Beauty One GMBH Beauty Holding New T/L B5 (formerly Germany Retail Specialty Retail B19) BL0475857 LX160538 Kirk Beauty One GMBH Beauty Holding New T/L B6 (formerly Germany Retail Specialty Retail B20) BL0475873 LX160539 Kirk Beauty One GMBH Beauty Holding New T/L B7 (formerly Germany Retail Specialty Retail B21) BL0503690 LX164386 Bio Group Bio Group Term Loan B France Healthcare & Pharmaceuticals Health Care Providers & Services BL0518854 LX174342 BMC Software Finance, Inc. BMC Foreign Holding T/L United States Services: Business IT Services BL0462780 LX169962 BMC Software Finance, Inc. BMC Software Term Loan B2 New United States Services: Business IT Services BL0501645 LX157881 Soppa Holdings Sarl Campbell Soup T/L B1 Luxembourg Beverage, Food & Tobacco Food Products BL0476061 LX159205 Soppa Holdings Sarl Campbell Soup T/L B2 Luxembourg Beverage, Food & Tobacco Food Products BL0501652 LX159206 Soppa Holdings Sarl Campbell Soup T/L B3 Luxembourg Beverage, Food & Tobacco Food Products BL0501660 LX159207 Soppa Holdings Sarl Campbell Soup T/L B4 Luxembourg Beverage, Food & Tobacco Food Products

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Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Country Moody's Industry Classification S&P Industry Classification BL0373078 LX137091 Catalent Pharma Solutions Inc Catalent Pharma T/L B EUR United States Healthcare & Pharmaceuticals Life Sciences Tools & Services AP7256179 XS1709347923 CBR - Textile GmbH CBRFHG 5 1/8 10/01/22 Corp Netherlands Wholesale Textiles, Apparel & Luxury Goods BL0510224 LX173383 CD&R Firely Bidco Limited (Uk) CD&R Firely Bidco T/L B2 (Motor Fuel United Kingdom Retail Specialty Retail Group) BL0494411 LX170211 CDS Holdco III B.V. CDS Holdco M7 Facility F Netherlands Media: Broadcasting & Subscription Media AS4019608 XS1822876014 NewCO Sab Bidco SAS Cerba 04/2025 France Healthcare & Pharmaceuticals Health Care Providers & Services AM9252025 XS1584024837 NewCO Sab Bidco SAS CERBA 5 3/8 04/15/25 France Healthcare & Pharmaceuticals Health Care Providers & Services AS7476128 XS1827600724 Chemours Company, The Chemours Co 4% 5/15/26 United States Chemicals, Plastics, & Rubber Chemicals BL0519167 LX174299 Cheplapharm Arzneimittel GmbH Cheplapharm T/L Germany Healthcare & Pharmaceuticals Pharmaceuticals BL0453656 LX159920 Corialis Group Limited Corialis T/L B Belgium Construction & Building Building Products BL0504805 LX172439 Beauty Business NewCo Coty T/L B (EUR) United States Consumer goods: Non-durable Personal Products BL0496069 LX170856 Crown Holdings Inc. Crown Holding T/L France Containers, Packaging & Glass Containers & Packaging BL0387433 LX141055 Delachaux S.A. Delachaux T/L B1 Amendment France Transportation: Cargo Transportation Infrastructure BL0469140 LX164119 Diaverum Holding SARL Diaverum Term Loan B Sweden Healthcare & Pharmaceuticals Health Care Providers & Services BL0490054 LX169552 Cheminvest Holdings S.A.R.L. DSM Polymers TL New Luxembourg Chemicals, Plastics, & Rubber Chemicals BL0468779 LX164355 Dummen Orange Dummen Orange T/L B New Netherlands Environmental Industries Food Products AS1592433 XS1713464953 Eagle Group International LLC EAGRUY 5 3/8 05/01/23 CORP United States Chemicals, Plastics, & Rubber Chemicals BL0504441 LX172074 EG Group Limited EG Finco (Euro Garages) 2nd Lien T/L United Kingdom Retail Specialty Retail BL0459745 LX161434 Eircom Holdings (Ireland) Ltd Eircom Holdings (NEW) Luxembourg Telecommunications Diversified Telecommunication Services BL0490237 LX169696 ETRAVELI GROUP HOLDING Etraveli Group Holding T/L B Sweden Hotel, Gaming & Leisure Hotels, Restaurants & Leisure AB BL0497141 LX171054 EG Group Limited Euro Garages T/L B1 United Kingdom Retail Specialty Retail BL0498636 LX171115 EG Group Limited Euro Garages T/L B3 United Kingdom Retail Specialty Retail BL0521189 LX174805 Evergood 4 ApS Evergood 4 T/L (Nets) Denmark Services: Business Diversified Financial Services BL0505265 LX172466 Filtration Group Corporation Filtration Group T/L (03/18) United States Capital Equipment Machinery BL0492720 LX170325 FINANCIERE HOLDING CEP Financiere CEP 12/17 Term Loan B France Banking, Finance, Insurance & Real Insurance Estate BL0492142 LX169827 Fintrax Fintrax T/L B United Kingdom Services: Consumer Consumer Finance BL0498081 LX171149 Fintrax Fintrax T/L B2 United Kingdom Services: Consumer Consumer Finance BL0498065 LX171150 Fintrax Fintrax TL B3 United Kingdom Services: Consumer Consumer Finance AS2398665 XS1811351821 Gamenet Group SPA Gamenet Group Floating 4/27/23 Italy Hotel, Gaming & Leisure Hotels, Restaurants & Leisure BL0478307 LX168068 Gardner Denver, Inc. Gardner Denver EUR TLB United States Capital Equipment Machinery BL0479834 LX168343 Global Garden Products C S.ar.l Global Garden Products New T/L Luxembourg Consumer goods: Durable Household Durables BL0494429 LX121410 Ateliers LR Etanco SAS Groupe Etanco 10/11 TL B1 France Capital Equipment Machinery BL0508376 LX170263 Ateliers LR Etanco SAS Groupe Etanco 10/11 TL B2 France Capital Equipment Machinery

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Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Country Moody's Industry Classification S&P Industry Classification BL0503138 LX172214 GVC Holdings PLC GVC Holdings 3/18 (Eur) TLB United Kingdom Hotel, Gaming & Leisure Hotels, Restaurants & Leisure AO2968862 XS1647643110 HEMA Holding B.V. HEMABV FLOAT 07/15/22 CORP Netherlands Retail Multiline Retail BL0379679 LX139672 1908 Acquisitions B.V. Hes Beheer T/L B Netherlands Transportation: Cargo Transportation Infrastructure BL0488033 LX169486 Hilding Anders Hilding Anders AB 11/17 (Eur) TLB Sweden Consumer goods: Durable Household Durables BL0476970 LX167539 Holland and Barrett Holland and Barrett (EUR) T/L B2 United Kingdom Retail Food & Staples Retailing BL0430316 LX152965 Hotelbeds Hotelbeds TL B United Kingdom Hotel, Gaming & Leisure Hotels, Restaurants & Leisure BL0513038 LX169710 House of HR House of HR T/L B (05/18) Belgium Services: Business Professional Services BL0476806 LX167460 HRA HRA Term Loan France Healthcare & Pharmaceuticals Health Care Equipment & Supplies BL0498867 LX171110 Hurtigruten Hurtigruten T/L B Norway Transportation: Consumer Marine BL0493108 LX170078 Hyperion Insurance Group Hyperion Insurance Group T/L United Kingdom Banking, Finance, Insurance & Real Insurance Limited Estate BL0494403 LX170142 I-Logic Technologies Bidco Ltd I-Logic Technologies (Dealogic) EUR United Kingdom Services: Business Software T/L BL0474819 LX167063 IFS Group IFS T/L New Sweden Services: Business Professional Services BL0521767 LX174740 LSF10 Impala Investments Sarl Impala Roofing/Impala TL B Luxembourg Construction & Building Construction Materials BL0493116 LX170169 Indivior Finance S.a.r.l. Indivior T/L B EUR Luxembourg Healthcare & Pharmaceuticals Pharmaceuticals AP7276599 XS1577947440 Ineos Group Holdings SA INEGRP 2 1/8 11/15/25 Corp United Kingdom Chemicals, Plastics, & Rubber Chemicals BL0487464 LX169498 Ineos Styrolution Group GmbH Ineos Styrolution TL B New 11/17 Germany Chemicals, Plastics, & Rubber Chemicals BL0485732 LX169196 Ineos Group Holdings SA Ineos T/L B 2024 United Kingdom Chemicals, Plastics, & Rubber Chemicals BL0463069 LX162255 Infinitas Learning Holdings B.V. Infinitas New Term Loan B3 Netherlands Media: Advertising, Printing & Media Publishing BL0489593 LX169633 Infor, Inc. Infor (Lawson) T/L B2 United States High Tech Industries Software BL0484602 LX169031 Inovyn Finance PLC Inovyn Finance 2024 Tranche B2 New United Kingdom Chemicals, Plastics, & Rubber Chemicals EUR T/L BL0487969 LX169484 ION Trading Technologies Ion Trading Euro T/L B Ireland High Tech Industries Software Limited BL0516452 LX173965 Quintiles IMS Incorporated IQVIA T/L B-2 add-on (IMS Health) United States Services: Business Health Care Providers & Services BL0454340 LX159775 Kinetic Concepts Inc. Kinetic Concepts (Acelity) T/L B United States Healthcare & Pharmaceuticals Health Care Equipment & Supplies BL0473324 LX165634 Kleopatra Holdings 1 S.C.A. Klockner Pentaplast T/L B (6/17) Germany Containers, Packaging & Glass Containers & Packaging BL0494080 LX170730 KMD KMD T/L B4 Denmark Services: Business IT Services AT2689269 XS1849559205 LHMC Bidco S.L.U. LHMCFI (Circa) Floating 12/20/23 Corp Luxembourg Hotel, Gaming & Leisure Hotels, Restaurants & Leisure AM8177496 FR0013237484 Solocal Group LOCLFP Float 03/15/22 Corp France Media: Advertising, Printing & Media Publishing BL0480956 LX168518 LSFX Flavum Bidco, S.L. LSFX Flavum Bidco SL T/L Spain Construction & Building Construction Materials BL0466245 LX162203 Platform Specialty Products MacDermid T/L C5 Netherlands Chemicals, Plastics, & Rubber Chemicals Corporation BL0482572 LX168776 Platform Specialty Products Macdermid T/L C6 Netherlands Chemicals, Plastics, & Rubber Chemicals Corporation

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Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Country Moody's Industry Classification S&P Industry Classification AO9891422 XS1681770464 Masaria Investments SAU MASAIN 5 09/15/24 Spain Retail Specialty Retail AO9889798 XS1681774888 Masaria Investments SAU MASAIN FLOAT 09/15/24 CORP Spain Retail Specialty Retail AO2985171 XS1648303813 Maxeda DIY B.V. MAXDIY 6 1/8 07/15/22 Netherlands Retail Multiline Retail BL0481319 LX168777 McAfee, LLC McAfee T/L B New United States High Tech Industries Software BL0447914 LX156994 AI Garden B.V Mediq T/L B1 Netherlands Healthcare & Pharmaceuticals Health Care Equipment & Supplies BL0467474 LX163229 Magic Newco 5 S.a.r.l Misys Term B Eur Loan United States High Tech Industries Software BL0453094 LX158905 Modacin France Modacin New B1 France Retail Textiles, Apparel & Luxury Goods BL0453102 LX158906 Modacin France Modacin New C1 France Retail Textiles, Apparel & Luxury Goods BL0485153 LX158901 Modacin France Modacin New Term B3 France Retail Textiles, Apparel & Luxury Goods BL0485161 LX158903 Modacin France Modacin New Term Loan C3 France Retail Textiles, Apparel & Luxury Goods BL0472920 LX157878 NEP/NCP Holdco, Inc. NEP Europe Finco T/L New United States Media: Broadcasting & Subscription Media BL0522534 LX175202 Evergood 4 ApS Nets 7/18 Dotplay Term Loan B2 Denmark Services: Business Diversified Financial Services BL0489726 LX169648 Evergood 4 ApS Nets TL B1E Denmark Services: Business Diversified Financial Services BL0509028 LX173154 NewCO Sab Bidco SAS Newco Sab Bidco T/L NEW (Cerba) France Healthcare & Pharmaceuticals Health Care Providers & Services BL0518813 LX174594 Nielsen Holdings N.V. Nielsen T/L New B2 United States Media: Advertising, Printing & Media Publishing BL0472342 LX165624 Nord Anglia Education Finance Nord Anglia Term Loan Netherlands Services: Consumer Diversified Consumer Services LLC BL0427296 LX152525 Novacap Group Holding Novacap T/L B France Healthcare & Pharmaceuticals Pharmaceuticals AS1418001 XS1713466222 Novafives SAS NVFVES 5 06/15/25 France Capital Equipment Machinery AS1418787 XS1713466149 Novafives SAS NVFVES Float 06/15/25 France Capital Equipment Machinery BL0483653 LX168948 Oberthur Technologies Holdings Oberthur T/L New France Banking, Finance, Insurance & Real Technology Hardware, Storage & SAS Estate Peripherals BL0462343 LX161834 PHM France Holdco 19 SAS OGF T/L B (03/17) France Environmental Industries Health Care Providers & Services AR7345614 XS1794213055 Paprec Holding PAPRC Float 031/03/2025 France Environmental Industries Commercial Services & Supplies BL0459463 LX161205 Parex Parex T/L B France Construction & Building Construction Materials BL0522088 LX175089 Pfleiderer AG Pfleiderer T/L B Germany Construction & Building Construction Materials BL0462954 LX161954 Pfleiderer AG Pfleiderer T/L B (PCF GmbH) Germany Construction & Building Construction Materials BL0451841 LX158354 Pacific 2 Limited PHS Group Limited A1 United Kingdom Environmental Industries Commercial Services & Supplies BL0491334 LX158355 Pacific 2 Limited PHS Group T/L A2 United Kingdom Environmental Industries Commercial Services & Supplies BL0471468 LX164876 PortAventura Entertainment PortAventura T/L B Netherlands Hotel, Gaming & Leisure Hotels, Restaurants & Leisure Barcelona BV BL0479776 LX155855 Nordic Pakaging & Container POWERFLUTE B1 Finland Forest Products & Paper Paper & Forest Products Holding BL0491342 LX167174 Pronovias Pronovias EUR T/L B1 Luxembourg Retail Textiles, Apparel & Luxury Goods BL0480964 LX169138 Pronovias Pronovias EUR T/L B2 Luxembourg Retail Textiles, Apparel & Luxury Goods BL0498073 LX171236 Pronovias Pronovias EUR T/L B3 Luxembourg Retail Textiles, Apparel & Luxury Goods

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Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Country Moody's Industry Classification S&P Industry Classification BL0464851 LX162576 Prosol group Prosol T/L B France Beverage, Food & Tobacco Food & Staples Retailing BL0459026 LX160895 Quintiles IMS Incorporated Quintiles IMS T/L B-1 (EUR) United States Services: Business Health Care Providers & Services BL0498529 LX170852 Froneri International plc R&R Ice Cream Froneri 1/18 (EUR) United Kingdom Beverage, Food & Tobacco Food Products Cov-Lite BL0491003 LX169954 Rain Carbon Rain Carbon T/L B Germany Metals & Mining Chemicals BL0493082 LX170103 Sunshine Mid B.V. Refresco T/L B Netherlands Beverage, Food & Tobacco Beverages BL0454399 LX159203 Reynolds Group Holdings Inc. Reynolds 2017 Incremental EUR T/L United States Containers, Packaging & Glass Containers & Packaging BL0466070 LX162763 Jade Germany GMBH Rhodia Acetow Term Loan B Germany Beverage, Food & Tobacco Tobacco BL0491532 LX169932 TMF Group Holding B.V. Sapphire 2nd Lien T/L (TMF Group) Netherlands Banking, Finance, Insurance & Real Professional Services Estate LW8188093 XS1454976801 SISAL HOLDING FINANZIARIA SCHMAN Float 07/31/22 Italy Hotel, Gaming & Leisure Hotels, Restaurants & Leisure S.P.A. BL0462855 LX162008 SFR Group S.A. SFR Group (Numericable / YPSO / France Media: Broadcasting & Subscription Diversified Telecommunication Altice) T/L B11 Services BL0484396 LX169001 SFR Group S.A. SFR Group (Numericable / YPSO / France Media: Broadcasting & Subscription Diversified Telecommunication Altice) T/L B12 (EUR) Services BL0472466 LX163467 SGB-SMIT Management GmbH SGB SMIT T/L B Germany Utilities: Electric Energy Equipment & Services BL0501108 LX171809 Sigma Holdco BV Sigma Holdco T/L B1 (Flora Food) Netherlands Beverage, Food & Tobacco Food Products BL0521478 LX174821 Sivantos Sivantos T/L B (Auris Luxco ) Luxembourg Healthcare & Pharmaceuticals Health Care Equipment & Supplies QZ9789210 XS1513692357 SNAI S.P.A. SNAIM Float 07/11/21 Corp Italy Hotel, Gaming & Leisure Hotels, Restaurants & Leisure BL0475501 LX166814 SOCO 2 Socotec Term Loan New France Services: Business Professional Services BL0478133 LX169368 Springer SBM One GmbH Springer Science T/L B12 Germany Media: Advertising, Printing & Media Publishing BL0473712 LX165734 Stage Entertainment Stage entertainment T/L B Netherlands Services: Business Leisure Products BL0518482 LX174019 Stars Group Holdings B.V. Stars Group Holdings T/L (Amaya) Netherlands Hotel, Gaming & Leisure Hotels, Restaurants & Leisure (EUR) AR6596779 XS1791484717 LSF10 Wolverine Investments STKGRP Float 03/15/24 Luxembourg Construction & Building Building Products BL0394496 LX143312 Survitec Survitec EUR Term Loan United Kingdom Aerospace & Defense Aerospace & Defense BL0506008 LX172165 Swissport Investments Swissport 2018 Incremental EUR T/L Luxembourg Aerospace & Defense Air Freight & Logistics BL0476707 LX167747 Swissport Investments Swissport T/L B (New) Luxembourg Aerospace & Defense Air Freight & Logistics BL0499667 LX171442 Syniverse Holdings, Inc. Syniverse Holdings 2nd Lien T/L E United States Services: Business IT Services BL0514796 LX173747 DKT Finance APS TDC T/L Denmark Telecommunications Diversified Telecommunication Services BL0522393 LX174950 Blitz F18-675 GmbH Techem T/L (7/18) Cov-Lite Germany Services: Business Professional Services BL0449365 LX157075 Tech Finance & CO S.C.A Technicolor T/L B New France Media: Diversified & Production Electrical Equipment BL0520264 LX174457 Tele Columbus GmbH Tele columbus T/L A2 Germany Media: Broadcasting & Subscription Diversified Telecommunication Services BL0446825 LX173750 Telenet Group Holding NV Telenet 5/18(EUR) AO Luxembourg Media: Broadcasting & Subscription Media BL0475014 LX166774 Thom Europe Thom Europe T/L B France Retail Specialty Retail

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Security I.D. ISIN/LoanX ID Obligor Issuer/Facility Country Moody's Industry Classification S&P Industry Classification BL0403883 LX145316 TI Fluid Systems Limited TI Automotive Initial Term Loan United States Automotive Auto Components BL0462285 LX161739 Dorna Sports S.L. Tinagen T/L NEW B2 Spain Media: Diversified & Production Media AQ2322693 BE6300371273 Telenet Group Holding NV TNETBB 3 1/2 03/01/28 Luxembourg Media: Broadcasting & Subscription Media BL0487332 LX169457 Unifrax Holding Co Unifrax 2nd Lien T/L United States Capital Equipment Industrial Conglomerates BL0402638 LX161986 Unifrax Holding Co Unifrax Term Loan B new United States Capital Equipment Industrial Conglomerates AN2740909 XS1602515733 Unilabs Subholding AB Unilabs 30/4/25 Sweden Healthcare & Pharmaceuticals Life Sciences Tools & Services BL0518011 LX174390 Unilabs Subholding AB Unilabs Diagnostics AB T/L (6/18) Sweden Healthcare & Pharmaceuticals Life Sciences Tools & Services AN9816256 XS1634252628 UPC Holding BV UPCB 3 5/8 06/15/29 Corp Netherlands Media: Broadcasting & Subscription Media AN8803446 XS1629969327 UPC Holding BV UPCB 3 7/8 06/15/29 Netherlands Media: Broadcasting & Subscription Media BL0477812 LX167793 Valeo Food Valeo New EUR T/L Ireland Beverage, Food & Tobacco Food Products BL0480766 LX146849 Vedici Groupe Vedici New T/L B2 France Healthcare & Pharmaceuticals Health Care Providers & Services BL0470056 LX164316 Verallia Group Verallia T/L B4 France Containers, Packaging & Glass Containers & Packaging BL0469421 LX164262 Verisure Holding AB Verisure T/L B1-E Sweden Services: Consumer Commercial Services & Supplies BL0472474 LX165579 Veritas US Inc. Veritas New T/L B1 United States High Tech Industries Software BL0446379 LX146618 Vistra Group Limited Vistra Group (Stiphout) T/L B United States Banking, Finance, Insurance & Real Diversified Financial Services Estate BL0487514 LX169481 Wall Street Systems Delaware, Wall Street Systems T/L New B United States High Tech Industries Internet Software & Services Inc. BL0517633 LX174175 Weener Plastics Weener Plastics T/L Germany Containers, Packaging & Glass Containers & Packaging AP6379337 XS1708450215 Wind TRE SPA WINTRE Float 01/20/24 Corp Italy Telecommunications Diversified Telecommunication Services BL0454613 LX159274 Xella International SA Xella T/L B Germany Construction & Building Building Products BL0476400 LX167093 YRC Worldwide, Inc. YRC Worldwide T/L (07/17) United States Transportation: Cargo Road & Rail BL0454134 LX159376 Ziggo BV Ziggo T/L F (EUR) Netherlands Media: Broadcasting & Subscription Diversified Telecommunication Services

Totals: 173

Monthly Report - 8/20/2018 3:59:37PM © 2011 U.S. Bancorp Page 42 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Current Asset Characteristics - Part III Delayed Drawdown Annual Semi-Annual Bridge Corporate Cov-Lite Current Pay Revolving Collateral PIK Security I.D. ISIN/LoanX ID Issuer/Facility Obligations Obligation Loan Rescue Loan Loan Obligation Obligation Obligation Obligation BL0500688 LX171259 Action Holding Term B ------BL0388118 LX142050 Aenova - Dragenopharm Apotheker ------BL0388126 LX142051 Aenova - Swisscaps Holding (Luxemberg) Sarl ------BL0388134 LX142052 Aenova - Temmler ------BL0380917 LX139191 Aenova Term Loan ------BL0500696 LX171534 Airbus (Defence Electronics/Hensoldt) T/L B3 ------BL0375586 LX137656 ALL 3 Media Second Lien - Yes - - Yes - - - - BL0466179 LX137858 Alstom (Arvos) T/L B2 ------AP4431445 XS1577952440 Altice 4 3/4 01/15/28 - Yes ------BL0459729 LX160841 Apcoa Term Loan B ------BL0475303 LX166299 Archroma 2nd Lien T/L (SK Spice) - - - - Yes - - - - BL0473399 LX166298 Archroma New T/L B1 ------BL0517641 LX174058 Artemis T/L (Partner in Pet Food) ------AL0700735 XS1517169972 AUTODI Float 05/01/22 ------BL0475881 LX159199 Beauty Holding New T/L B1 (formerly B15) ------BL0475899 LX160534 Beauty Holding New T/L B2 (formerly B16) ------BL0475840 LX160535 Beauty Holding New T/L B3 (formerly B17) ------BL0475865 LX160536 Beauty Holding New T/L B4 (formerly B18) ------BL0475832 LX160537 Beauty Holding New T/L B5 (formerly B19) ------BL0475857 LX160538 Beauty Holding New T/L B6 (formerly B20) ------BL0475873 LX160539 Beauty Holding New T/L B7 (formerly B21) ------BL0503690 LX164386 Bio Group Term Loan B ------BL0518854 LX174342 BMC Foreign Holding T/L ------BL0462780 LX169962 BMC Software Term Loan B2 New ------BL0501645 LX157881 Campbell Soup T/L B1 ------BL0476061 LX159205 Campbell Soup T/L B2 ------BL0501652 LX159206 Campbell Soup T/L B3 ------BL0501660 LX159207 Campbell Soup T/L B4 ------BL0373078 LX137091 Catalent Pharma T/L B EUR ------AP7256179 XS1709347923 CBRFHG 5 1/8 10/01/22 Corp - Yes ------BL0510224 LX173383 CD&R Firely Bidco T/L B2 (Motor Fuel Group) ------BL0494411 LX170211 CDS Holdco M7 Facility F ------AS4019608 XS1822876014 Cerba 04/2025 ------AM9252025 XS1584024837 CERBA 5 3/8 04/15/25 - Yes ------AS7476128 XS1827600724 Chemours Co 4% 5/15/26 - Yes ------

* This Collateral Obligation would be treated as a Cov-Lite Loan if it was not for the proviso in the definition thereof Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 43 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Current Asset Characteristics - Part III Delayed Drawdown Annual Semi-Annual Bridge Corporate Cov-Lite Current Pay Revolving Collateral PIK Security I.D. ISIN/LoanX ID Issuer/Facility Obligations Obligation Loan Rescue Loan Loan Obligation Obligation Obligation Obligation BL0519167 LX174299 Cheplapharm T/L ------BL0453656 LX159920 Corialis T/L B - Yes ------BL0504805 LX172439 Coty T/L B (EUR) ------BL0496069 LX170856 Crown Holding T/L ------BL0387433 LX141055 Delachaux T/L B1 Amendment ------BL0469140 LX164119 Diaverum Term Loan B - Yes ------BL0490054 LX169552 DSM Polymers TL New ------BL0468779 LX164355 Dummen Orange T/L B New ------AS1592433 XS1713464953 EAGRUY 5 3/8 05/01/23 CORP - Yes ------BL0504441 LX172074 EG Finco (Euro Garages) 2nd Lien T/L - - - - Yes - - - - BL0459745 LX161434 Eircom Holdings (NEW) ------BL0490237 LX169696 Etraveli Group Holding T/L B ------BL0497141 LX171054 Euro Garages T/L B1 ------BL0498636 LX171115 Euro Garages T/L B3 ------BL0521189 LX174805 Evergood 4 T/L (Nets) - - - - Yes - - - - BL0505265 LX172466 Filtration Group T/L (03/18) ------BL0492720 LX170325 Financiere CEP 12/17 Term Loan B ------BL0492142 LX169827 Fintrax T/L B ------BL0498081 LX171149 Fintrax T/L B2 ------BL0498065 LX171150 Fintrax TL B3 ------AS2398665 XS1811351821 Gamenet Group Floating 4/27/23 ------BL0478307 LX168068 Gardner Denver EUR TLB ------BL0479834 LX168343 Global Garden Products New T/L - Yes ------BL0494429 LX121410 Groupe Etanco 10/11 TL B1 ------BL0508376 LX170263 Groupe Etanco 10/11 TL B2 ------BL0503138 LX172214 GVC Holdings 3/18 (Eur) TLB - Yes ------AO2968862 XS1647643110 HEMABV FLOAT 07/15/22 CORP ------BL0379679 LX139672 Hes Beheer T/L B ------BL0488033 LX169486 Hilding Anders AB 11/17 (Eur) TLB ------BL0476970 LX167539 Holland and Barrett (EUR) T/L B2 ------BL0430316 LX152965 Hotelbeds TL B - Yes ------BL0513038 LX169710 House of HR T/L B (05/18) ------BL0476806 LX167460 HRA Term Loan ------BL0498867 LX171110 Hurtigruten T/L B - Yes ------BL0493108 LX170078 Hyperion Insurance Group T/L ------

* This Collateral Obligation would be treated as a Cov-Lite Loan if it was not for the proviso in the definition thereof Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 44 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Current Asset Characteristics - Part III Delayed Drawdown Annual Semi-Annual Bridge Corporate Cov-Lite Current Pay Revolving Collateral PIK Security I.D. ISIN/LoanX ID Issuer/Facility Obligations Obligation Loan Rescue Loan Loan Obligation Obligation Obligation Obligation BL0494403 LX170142 I-Logic Technologies (Dealogic) EUR T/L ------BL0474819 LX167063 IFS T/L New ------BL0521767 LX174740 Impala Roofing/Impala TL B ------BL0493116 LX170169 Indivior T/L B EUR ------AP7276599 XS1577947440 INEGRP 2 1/8 11/15/25 Corp - Yes ------BL0487464 LX169498 Ineos Styrolution TL B New 11/17 - - - - Yes - - - - BL0485732 LX169196 Ineos T/L B 2024 - - - - Yes - - - - BL0463069 LX162255 Infinitas New Term Loan B3 - Yes ------BL0489593 LX169633 Infor (Lawson) T/L B2 - - - - Yes - - - - BL0484602 LX169031 Inovyn Finance 2024 Tranche B2 New EUR T/L - - - - Yes - - - - BL0487969 LX169484 Ion Trading Euro T/L B ------BL0516452 LX173965 IQVIA T/L B-2 add-on (IMS Health) ------BL0454340 LX159775 Kinetic Concepts (Acelity) T/L B ------BL0473324 LX165634 Klockner Pentaplast T/L B (6/17) - - - - Yes - - - - BL0494080 LX170730 KMD T/L B4 ------AT2689269 XS1849559205 LHMCFI (Circa) Floating 12/20/23 Corp ------AM8177496 FR0013237484 LOCLFP Float 03/15/22 Corp ------BL0480956 LX168518 LSFX Flavum Bidco SL T/L ------BL0466245 LX162203 MacDermid T/L C5 ------BL0482572 LX168776 Macdermid T/L C6 ------AO9891422 XS1681770464 MASAIN 5 09/15/24 - Yes ------AO9889798 XS1681774888 MASAIN FLOAT 09/15/24 CORP ------AO2985171 XS1648303813 MAXDIY 6 1/8 07/15/22 - Yes ------BL0481319 LX168777 McAfee T/L B New ------BL0447914 LX156994 Mediq T/L B1 - Yes ------BL0467474 LX163229 Misys Term B Eur Loan - - - - Yes - - - - BL0453094 LX158905 Modacin New B1 ------BL0453102 LX158906 Modacin New C1 - Yes ------BL0485153 LX158901 Modacin New Term B3 - Yes ------BL0485161 LX158903 Modacin New Term Loan C3 - Yes ------BL0472920 LX157878 NEP Europe Finco T/L New ------BL0522534 LX175202 Nets 7/18 Dotplay Term Loan B2 ------BL0489726 LX169648 Nets TL B1E ------BL0509028 LX173154 Newco Sab Bidco T/L NEW (Cerba) ------BL0518813 LX174594 Nielsen T/L New B2 - - - - Yes - - - -

* This Collateral Obligation would be treated as a Cov-Lite Loan if it was not for the proviso in the definition thereof Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 45 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Current Asset Characteristics - Part III Delayed Drawdown Annual Semi-Annual Bridge Corporate Cov-Lite Current Pay Revolving Collateral PIK Security I.D. ISIN/LoanX ID Issuer/Facility Obligations Obligation Loan Rescue Loan Loan Obligation Obligation Obligation Obligation BL0472342 LX165624 Nord Anglia Term Loan - - - - Yes - - - - BL0427296 LX152525 Novacap T/L B ------AS1418001 XS1713466222 NVFVES 5 06/15/25 - Yes ------AS1418787 XS1713466149 NVFVES Float 06/15/25 ------BL0483653 LX168948 Oberthur T/L New ------BL0462343 LX161834 OGF T/L B (03/17) - Yes ------AR7345614 XS1794213055 PAPRC Float 031/03/2025 ------BL0459463 LX161205 Parex T/L B ------BL0522088 LX175089 Pfleiderer T/L B ------BL0462954 LX161954 Pfleiderer T/L B (PCF GmbH) ------BL0451841 LX158354 PHS Group Limited A1 ------BL0491334 LX158355 PHS Group T/L A2 ------BL0471468 LX164876 PortAventura T/L B - Yes - - Yes - - - - BL0479776 LX155855 POWERFLUTE B1 ------BL0491342 LX167174 Pronovias EUR T/L B1 ------BL0480964 LX169138 Pronovias EUR T/L B2 ------BL0498073 LX171236 Pronovias EUR T/L B3 ------BL0464851 LX162576 Prosol T/L B ------BL0459026 LX160895 Quintiles IMS T/L B-1 (EUR) ------BL0498529 LX170852 R&R Ice Cream Froneri 1/18 (EUR) Cov-Lite ------BL0491003 LX169954 Rain Carbon T/L B ------BL0493082 LX170103 Refresco T/L B ------BL0454399 LX159203 Reynolds 2017 Incremental EUR T/L ------BL0466070 LX162763 Rhodia Acetow Term Loan B ------BL0491532 LX169932 Sapphire 2nd Lien T/L (TMF Group) - - - - Yes - - - - LW8188093 XS1454976801 SCHMAN Float 07/31/22 ------BL0462855 LX162008 SFR Group (Numericable / YPSO / Altice) T/L B11 - - - - Yes - - - - BL0484396 LX169001 SFR Group (Numericable / YPSO / Altice) T/L B12 (EUR) - - - - Yes - - - - BL0472466 LX163467 SGB SMIT T/L B - Yes ------BL0501108 LX171809 Sigma Holdco T/L B1 (Flora Food) - - - - Yes - - - - BL0521478 LX174821 Sivantos T/L B (Auris Luxco ) - - - - Yes - - - - QZ9789210 XS1513692357 SNAIM Float 07/11/21 Corp ------BL0475501 LX166814 Socotec Term Loan New ------BL0478133 LX169368 Springer Science T/L B12 ------BL0473712 LX165734 Stage entertainment T/L B ------

* This Collateral Obligation would be treated as a Cov-Lite Loan if it was not for the proviso in the definition thereof Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 46 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Current Asset Characteristics - Part III Delayed Drawdown Annual Semi-Annual Bridge Corporate Cov-Lite Current Pay Revolving Collateral PIK Security I.D. ISIN/LoanX ID Issuer/Facility Obligations Obligation Loan Rescue Loan Loan Obligation Obligation Obligation Obligation BL0518482 LX174019 Stars Group Holdings T/L (Amaya) (EUR) ------AR6596779 XS1791484717 STKGRP Float 03/15/24 ------BL0394496 LX143312 Survitec EUR Term Loan - Yes ------BL0506008 LX172165 Swissport 2018 Incremental EUR T/L ------BL0476707 LX167747 Swissport T/L B (New) ------BL0499667 LX171442 Syniverse Holdings 2nd Lien T/L E ------BL0514796 LX173747 TDC T/L ------BL0522393 LX174950 Techem T/L (7/18) Cov-Lite - - - - Yes - - - - BL0449365 LX157075 Technicolor T/L B New - - - - Yes - - - - BL0520264 LX174457 Tele columbus T/L A2 - Yes ------BL0446825 LX173750 Telenet 5/18(EUR) AO - Yes ------BL0475014 LX166774 Thom Europe T/L B ------BL0403883 LX145316 TI Automotive Initial Term Loan ------BL0462285 LX161739 Tinagen T/L NEW B2 - Yes ------AQ2322693 BE6300371273 TNETBB 3 1/2 03/01/28 - Yes ------BL0487332 LX169457 Unifrax 2nd Lien T/L - - - - Yes - - - - BL0402638 LX161986 Unifrax Term Loan B new - - - - Yes - - - - AN2740909 XS1602515733 Unilabs 30/4/25 - Yes ------BL0518011 LX174390 Unilabs Diagnostics AB T/L (6/18) ------AN9816256 XS1634252628 UPCB 3 5/8 06/15/29 Corp - Yes ------AN8803446 XS1629969327 UPCB 3 7/8 06/15/29 - Yes ------BL0477812 LX167793 Valeo New EUR T/L ------BL0480766 LX146849 Vedici New T/L B2 ------BL0470056 LX164316 Verallia T/L B4 - Yes - - Yes - - - - BL0469421 LX164262 Verisure T/L B1-E ------BL0472474 LX165579 Veritas New T/L B1 ------BL0446379 LX146618 Vistra Group (Stiphout) T/L B ------BL0487514 LX169481 Wall Street Systems T/L New B ------BL0517633 LX174175 Weener Plastics T/L ------AP6379337 XS1708450215 WINTRE Float 01/20/24 Corp ------BL0454613 LX159274 Xella T/L B ------BL0476400 LX167093 YRC Worldwide T/L (07/17) ------BL0454134 LX159376 Ziggo T/L F (EUR) - Yes ------

Totals: 173

* This Collateral Obligation would be treated as a Cov-Lite Loan if it was not for the proviso in the definition thereof Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 47 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Defaulted Obligations and Deferring Securities

Moody's S&P Moody's S&P Recovery Recovery Market Collateral Collateral Security I.D. Security Name Date of Event No. of Days Principal Balance Rate Rate Value Value Value Calculation Amount

Totals: 0 0.00 0.00

Monthly Report - 8/20/2018 3:59:48PM © 2011 U.S. Bancorp Page 48 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Moody's Caa Obligations and S&P CCC Obligations

Moody's S&P Market Security I.D. Security Name Rating Rating Principal Balance Value BL0388118 Aenova - Dragenopharm Apotheker Caa1 B- 273,562.79 96.9000 BL0388126 Aenova - Swisscaps Holding (Luxemberg) SarlCaa1 B- 165,697.51 96.9000 BL0388134 Aenova - Temmler Caa1 B- 147,044.79 96.9000 BL0380917 Aenova Term Loan Caa1 B- 556,551.07 96.9000 BL0375586 ALL 3 Media Second Lien Caa2 B 2,000,000.00 100.2080 BL0475303 Archroma 2nd Lien T/L (SK Spice) Caa1 B 1,704,200.00 97.7500 AS4019608 Cerba 04/2025 Caa1 B 500,000.00 93.2170 AM9252025 CERBA 5 3/8 04/15/25 Caa1 B 300,000.00 99.1140 BL0504441 EG Finco (Euro Garages) 2nd Lien T/L Caa1 B 1,200,000.00 99.7080 BL0453094 Modacin New B1 Shadow Private 674,523.68 85.4380 BL0453102 Modacin New C1 Shadow Private 853,979.09 85.5830 BL0485153 Modacin New Term B3 Shadow Private 141,996.43 85.5830 BL0485161 Modacin New Term Loan C3 Shadow Private 760,212.78 85.5830 BL0491532 Sapphire 2nd Lien T/L (TMF Group) Caa2 B 1,000,000.00 99.8750 BL0472466 SGB SMIT T/L B Shadow Private 999,999.99 83.6670 BL0499667 Syniverse Holdings 2nd Lien T/L E Caa2 B 1,612,600.00 98.9250 BL0487332 Unifrax 2nd Lien T/L Caa1 B 863,600.00 100.9580 AN2740909 Unilabs 30/4/25 Caa1 B 1,000,000.00 96.7540

Excess CCC/Caa Adjustment Amount Description Amount Percent CCC/Caa Excess Collateral Principal Amount 327,799,457.95 CCC/Caa Threshold 24,584,959.35 7.50% (a) Moody's Caa Obligations 14,753,968.13 4.50% (b) S&P CCC Obligations 0.00 0.00% CCC/Caa Excess 0.00 0.00% Excess CCC/Caa Adjustment Amount (a) CCC/Caa Excess 0.00 (b) CCC/Caa Market Value 0.00 Excess CCC/Caa Adjustment Amount 0.00

Monthly Report - 8/20/2018 3:59:51PM © 2011 U.S. Bancorp Page 49 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Unsecured Senior Loans, Second Lien Loans and Mezzanine Loans

Security I.D. Issuer/Facility Principal Balance % of CPA BL0375586 ALL 3 Media Second Lien 2,000,000.00 0.61% AP4431445 Altice 4 3/4 01/15/28 2,000,000.00 0.61% BL0475303 Archroma 2nd Lien T/L (SK Spice) 1,704,200.00 0.52% AS4019608 Cerba 04/2025 500,000.00 0.15% AM9252025 CERBA 5 3/8 04/15/25 300,000.00 0.09% AS7476128 Chemours Co 4% 5/15/26 375,000.00 0.11% BL0504441 EG Finco (Euro Garages) 2nd Lien T/L 1,200,000.00 0.37% BL0491532 Sapphire 2nd Lien T/L (TMF Group) 1,000,000.00 0.31% BL0499667 Syniverse Holdings 2nd Lien T/L E 1,612,600.00 0.49% BL0487332 Unifrax 2nd Lien T/L 863,600.00 0.26% AN2740909 Unilabs 30/4/25 1,000,000.00 0.31% AN8803446 UPCB 3 7/8 06/15/29 2,300,000.00 0.70%

Totals: 12 14,855,400.00 4.53%

Monthly Report - 8/20/2018 3:59:49PM © 2011 U.S. Bancorp Page 50 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Rating Detail

Moody's S&P Security I.D. Security Name Factor Type Status Default Prob Rating Type Status Rating LX171259 Action Holding Term B 2220 MSI B1 B1 SCC B+ LX142050 Aenova - Dragenopharm Apotheker 6500 MSI Caa2 Caa1 SCC B- LX142051 Aenova - Swisscaps Holding (Luxemberg) Sarl 6500 MSI Caa2 Caa1 SCC B- LX142052 Aenova - Temmler 6500 MSI Caa2 Caa1 SCC B- LX139191 Aenova Term Loan 6500 MSS Caa2 Caa1 SCC B- LX171534 Airbus (Defence Electronics/Hensoldt) T/L B3 - SH S - - PR P - LX137656 ALL 3 Media Second Lien 3490 MSI B3 Caa2 SCC B LX137858 Alstom (Arvos) T/L B2 3490 MSI B3 B3 SCC B AP4431445 Altice 4 3/4 01/15/28 2720 MSI B1 B3 SCC B LX160841 Apcoa Term Loan B 2720 MSI B1 B1 SCC B+ LX166299 Archroma 2nd Lien T/L (SK Spice) 2720 MSI B2 Caa1 SCC B LX166298 Archroma New T/L B1 2720 MSI B2 B1 SCC B LX174058 Artemis T/L (Partner in Pet Food) 2720 MSI B2 B2 PR P - AL0700735 AUTODI Float 05/01/22 2720 MSI B2 B2 SCC B LX159199 Beauty Holding New T/L B1 (formerly B15) 2720 MSI B2 B1 SCC B LX160534 Beauty Holding New T/L B2 (formerly B16) 2720 MSI B2 B1 SCC B LX160535 Beauty Holding New T/L B3 (formerly B17) 2720 MSI B2 B1 SCC B LX160536 Beauty Holding New T/L B4 (formerly B18) 2720 MSI B2 B1 SCC B LX160537 Beauty Holding New T/L B5 (formerly B19) 2720 MSI B2 B1 SCC B LX160538 Beauty Holding New T/L B6 (formerly B20) 2720 MSI B2 B1 SCC B LX160539 Beauty Holding New T/L B7 (formerly B21) 2720 MSI B2 B1 SCC B LX164386 Bio Group Term Loan B - PR P - - PR P - LX174342 BMC Foreign Holding T/L 3490 MSI B3 B2 SCC B 05578NAQ3 BMC Software Term Loan B2 New 3490 MSI B3 Ba3 SCC B LX157881 Campbell Soup T/L B1 - SH S - - SH S -

Watch Status / Rating Type Legend:

RE - Rating Estimate MSI - Moody's Senior Implied SCC - S&P Corporate Credit SSUS - S&P Senior Unsecured CW- - Credit Watch with negative implications SH - Shadow Rating MR - Moody's Rating SPR - S&P Rating FIXD - Fixed Rating CW+ - Credit Watch with positive implications PR - Private Rating MSUS - Moody's Senior Unsecured SSS - S&P Senior Secured NR - Not Rated

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Moody's S&P Security I.D. Security Name Factor Type Status Default Prob Rating Type Status Rating LX159205 Campbell Soup T/L B2 - SH S - - SH S - LX159206 Campbell Soup T/L B3 - SH S - - SH S - LX159207 Campbell Soup T/L B4 - SH S - - SH S - 14880BAF8 Catalent Pharma T/L B EUR 2220 MSI B1 Ba2 SCC BB- AP7256179 CBRFHG 5 1/8 10/01/22 Corp 2720 MSI B2 B2 SCC B LX173383 CD&R Firely Bidco T/L B2 (Motor Fuel Group) 2720 MSI B2 B1 SCC B LX170211 CDS Holdco M7 Facility F 3490 MSI B2 B2 SCC B+ AS4019608 Cerba 04/2025 2720 MR B2 Caa1 SPR B AM9252025 CERBA 5 3/8 04/15/25 2720 MSI B2 Caa1 SCC B AS7476128 Chemours Co 4% 5/15/26 1350 MR Ba2 Ba3 SPR BB LX174299 Cheplapharm T/L 2220 MSI B1 B1 SCC B LX159920 Corialis T/L B 2720 MSI B2 B1 SCC B LX172439 Coty T/L B (EUR) 1766 MSI Ba3 Ba2 SCC BB LX170856 Crown Holding T/L 1350 MSI Ba2 Baa2 SCC BB LX141055 Delachaux T/L B1 Amendment - SH S - - SCC B+ LX164119 Diaverum Term Loan B - SH S - - PR P - LX169552 DSM Polymers TL New - SH S - - PR P - LX164355 Dummen Orange T/L B New - SH S - - PR P - AS1592433 EAGRUY 5 3/8 05/01/23 CORP 2220 MR B1 B1 SPR B G2902UAB7 EG Finco (Euro Garages) 2nd Lien T/L 2720 MSI B2 Caa1 SCC B LX161434 Eircom Holdings (NEW) 2220 MSI B1 B1 SCC B+ LX169696 Etraveli Group Holding T/L B - SH S - - PR P - LX171054 Euro Garages T/L B1 2720 MSI B2 B2 SCC B LX171115 Euro Garages T/L B3 2720 MSI B2 B2 SCC B LX174805 Evergood 4 T/L (Nets) 3490 B2 B1 B

Watch Status / Rating Type Legend:

RE - Rating Estimate MSI - Moody's Senior Implied SCC - S&P Corporate Credit SSUS - S&P Senior Unsecured CW- - Credit Watch with negative implications SH - Shadow Rating MR - Moody's Rating SPR - S&P Rating FIXD - Fixed Rating CW+ - Credit Watch with positive implications PR - Private Rating MSUS - Moody's Senior Unsecured SSS - S&P Senior Secured NR - Not Rated

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Moody's S&P Security I.D. Security Name Factor Type Status Default Prob Rating Type Status Rating LX172466 Filtration Group T/L (03/18) 2720 MSI B2 B2 SCC B LX170325 Financiere CEP 12/17 Term Loan B 2720 MSI B1 B1 SCC B LX169827 Fintrax T/L B 2720 MSI B2 B2 SCC B LX171149 Fintrax T/L B2 2720 MSI B2 B2 SCC B LX171150 Fintrax TL B3 2720 MSI B2 B2 SCC B AS2398665 Gamenet Group Floating 4/27/23 2220 MR B1 B1 SPR B LX168068 Gardner Denver EUR TLB 2220 MSI B1 B1 SCC BB LX168343 Global Garden Products New T/L - SH S - - PR P - LX121410 Groupe Etanco 10/11 TL B1 - SH S - - PR P - LX170263 Groupe Etanco 10/11 TL B2 - PR P - - PR P - LX172214 GVC Holdings 3/18 (Eur) TLB 1350 MSI Ba2 Ba2 SCC BB AO2968862 HEMABV FLOAT 07/15/22 CORP 3490 MSI - B2 SCC B- LX139672 Hes Beheer T/L B - SH S - - PR P - LX169486 Hilding Anders AB 11/17 (Eur) TLB - SH S - - PR P - LX167539 Holland and Barrett (EUR) T/L B2 2720 MSI B2 B2 SCC B LX152965 Hotelbeds TL B - SH S - - PR P - LX169710 House of HR T/L B (05/18) 2220 MSI B1 B1 SCC B+ LX167460 HRA Term Loan - SH S - - PR P - LX171110 Hurtigruten T/L B 2720 MSI B2 B2 SCC B- LX170078 Hyperion Insurance Group T/L 2720 MSI B2 B2 SCC B LX170142 I-Logic Technologies (Dealogic) EUR T/L 3490 MSI B3 B3 SCC B LX167063 IFS T/L New - SH S - - PR P - LX174740 Impala Roofing/Impala TL B 2220 B1 B1 B LX170169 Indivior T/L B EUR 4770 MSI B3 B3 SCC B AP7276599 INEGRP 2 1/8 11/15/25 Corp 1350 MSI Ba2 Ba1 SCC BB

Watch Status / Rating Type Legend:

RE - Rating Estimate MSI - Moody's Senior Implied SCC - S&P Corporate Credit SSUS - S&P Senior Unsecured CW- - Credit Watch with negative implications SH - Shadow Rating MR - Moody's Rating SPR - S&P Rating FIXD - Fixed Rating CW+ - Credit Watch with positive implications PR - Private Rating MSUS - Moody's Senior Unsecured SSS - S&P Senior Secured NR - Not Rated

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Moody's S&P Security I.D. Security Name Factor Type Status Default Prob Rating Type Status Rating LX169498 Ineos Styrolution TL B New 11/17 1350 MSI Ba2 Ba2 SCC BB LX169196 Ineos T/L B 2024 1350 MSI Ba2 Ba1 SCC BB LX162255 Infinitas New Term Loan B3 - SH S - - PR P - LX169633 Infor (Lawson) T/L B2 3490 MSI B3 B1 SCC B- G4818YAF9 Inovyn Finance 2024 Tranche B2 New EUR T/L 1766 MSI Ba3 Ba3 SCC BB- L5582BAR8 Ion Trading Euro T/L B 3490 MSI B2 B2 SCC B LX173965 IQVIA T/L B-2 add-on (IMS Health) 1766 MSI Ba2 Ba1 SCC BB+ LX159775 Kinetic Concepts (Acelity) T/L B 2720 MSI B2 B1 SCC B 49865NAP5 Klockner Pentaplast T/L B (6/17) 3490 MSI B3 B3 SCC B LX170730 KMD T/L B4 - SH S - - PR P - AT2689269 LHMCFI (Circa) Floating 12/20/23 Corp 2220 MR B1 B2 SPR B+ AM8177496 LOCLFP Float 03/15/22 Corp 3490 MSI B3 B3 PR P - LX168518 LSFX Flavum Bidco SL T/L 2720 MSI B2 B2 SCC B N5409WAC4 MacDermid T/L C5 2220 MSI CW+ B2 B1 SCC BB- 554276AV7 Macdermid T/L C6 2220 MSI CW+ B2 B1 SCC BB- AO9891422 MASAIN 5 09/15/24 2720 MSI B2 B2 SCC B AO9889798 MASAIN FLOAT 09/15/24 CORP 2720 MSI B2 B2 SCC B AO2985171 MAXDIY 6 1/8 07/15/22 2720 MSI B2 B2 SCC B- LX168777 McAfee T/L B New 2720 MSI B2 B1 SCC B LX156994 Mediq T/L B1 - SH S - - PR P - LX163229 Misys Term B Eur Loan 3490 MSI B3 B2 SCC B- LX158905 Modacin New B1 - SH S - - PR P - LX158906 Modacin New C1 - SH S - - PR P - LX158901 Modacin New Term B3 - SH S - - PR P - LX158903 Modacin New Term Loan C3 - SH S - - PR P -

Watch Status / Rating Type Legend:

RE - Rating Estimate MSI - Moody's Senior Implied SCC - S&P Corporate Credit SSUS - S&P Senior Unsecured CW- - Credit Watch with negative implications SH - Shadow Rating MR - Moody's Rating SPR - S&P Rating FIXD - Fixed Rating CW+ - Credit Watch with positive implications PR - Private Rating MSUS - Moody's Senior Unsecured SSS - S&P Senior Secured NR - Not Rated

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Moody's S&P Security I.D. Security Name Factor Type Status Default Prob Rating Type Status Rating LX157878 NEP Europe Finco T/L New 3490 MSI B2 B2 SCC B LX175202 Nets 7/18 Dotplay Term Loan B2 3490 B2 B1 B LX169648 Nets TL B1E 3490 MSI B2 B1 SCC B LX173154 Newco Sab Bidco T/L NEW (Cerba) 2720 MSI B2 B1 SCC B LX174594 Nielsen T/L New B2 1766 MSI Ba3 Ba1 SCC BB+ LX165624 Nord Anglia Term Loan 2720 MSI B2 B1 SCC B LX152525 Novacap T/L B 2220 MSI B1 B1 SCC B AS1418001 NVFVES 5 06/15/25 2720 MR B2 B3 SPR B+ AS1418787 NVFVES Float 06/15/25 2720 MR B2 B3 SPR B+ LX168948 Oberthur T/L New 3490 MSI B2 B2 SCC B- LX161834 OGF T/L B (03/17) 2720 MSI B2 B2 SCC B+ AR7345614 PAPRC Float 031/03/2025 2220 MR B1 B1 SPR B+ LX161205 Parex T/L B 2720 MSI B2 B2 SCC B LX175089 Pfleiderer T/L B 2220 MSI B1 B1 SCC B+ LX161954 Pfleiderer T/L B (PCF GmbH) 2220 MSI B1 B1 SCC B+ LX158354 PHS Group Limited A1 - SH S - - PR P - LX158355 PHS Group T/L A2 - SH S - - PR P - LX164876 PortAventura T/L B 2720 MSI B2 B2 SCC B- LX155855 POWERFLUTE B1 2720 MSI B2 B2 SCC B LX167174 Pronovias EUR T/L B1 2720 MSI B2 B1 SCC B LX169138 Pronovias EUR T/L B2 2720 MSI B2 B1 SCC B LX171236 Pronovias EUR T/L B3 2720 MSI B2 B1 SCC B LX162576 Prosol T/L B - PR P - - PR P - 44969CBG4 Quintiles IMS T/L B-1 (EUR) 1766 MSI Ba2 Ba1 SCC BB+ LX170852 R&R Ice Cream Froneri 1/18 (EUR) Cov-Lite 1766 MSI Ba3 Ba3 SCC B+

Watch Status / Rating Type Legend:

RE - Rating Estimate MSI - Moody's Senior Implied SCC - S&P Corporate Credit SSUS - S&P Senior Unsecured CW- - Credit Watch with negative implications SH - Shadow Rating MR - Moody's Rating SPR - S&P Rating FIXD - Fixed Rating CW+ - Credit Watch with positive implications PR - Private Rating MSUS - Moody's Senior Unsecured SSS - S&P Senior Secured NR - Not Rated

Monthly Report - 8/20/2018 3:59:55PM © 2011 U.S. Bancorp

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Moody's S&P Security I.D. Security Name Factor Type Status Default Prob Rating Type Status Rating D6423VAB9 Rain Carbon T/L B 2220 MSI B1 Ba3 SCC B+ LX170103 Refresco T/L B 2720 MSI B2 B1 SCC B+ 76173FAV9 Reynolds 2017 Incremental EUR T/L 2720 MSI B2 B1 SCC B+ LX162763 Rhodia Acetow Term Loan B 2220 MSI B1 B1 SCC B+ LX169932 Sapphire 2nd Lien T/L (TMF Group) 3490 MSI B3 Caa2 SCC B LW8188093 SCHMAN Float 07/31/22 2220 MSI B1 B1 SCC B+ LX162008 SFR Group (Numericable / YPSO / Altice) T/L B11 2720 MSI B1 B1 SCC B LX169001 SFR Group (Numericable / YPSO / Altice) T/L B12 (EUR) 2720 MSI B1 B1 SCC B LX163467 SGB SMIT T/L B - SH S - - PR P - LX171809 Sigma Holdco T/L B1 (Flora Food) 2220 MSI B1 B1 SCC B+ LX174821 Sivantos T/L B (Auris Luxco ) 3490 B2 B2 B+ QZ9789210 SNAIM Float 07/11/21 Corp 2220 MSI CW+ B2 B1 SCC CW+ B+ LX166814 Socotec Term Loan New - SH S - - PR P - D1200YAM9 Springer Science T/L B12 2720 MSI B2 B2 SCC B LX165734 Stage entertainment T/L B - SH S - - PR P - LX174019 Stars Group Holdings T/L (Amaya) (EUR) 2720 MSI B2 B1 SCC B+ AR6596779 STKGRP Float 03/15/24 2720 MR B2 B2 SPR B LX143312 Survitec EUR Term Loan - SH S - - PR P - LX172165 Swissport 2018 Incremental EUR T/L 4770 MSI B3 B2 SCC B- LX167747 Swissport T/L B (New) 4770 MSI B3 B2 SCC B- 87164GAN3 Syniverse Holdings 2nd Lien T/L E 3490 MSI B3 Caa2 SCC B LX173747 TDC T/L 2220 MSI B1 Ba3 SCC B+ LX174950 Techem T/L (7/18) Cov-Lite 2720 B2 B1 B+ LX157075 Technicolor T/L B New 2720 MSI B1 B1 SCC B+ LX174457 Tele columbus T/L A2 2720 MSI B2 B2 SCC B

Watch Status / Rating Type Legend:

RE - Rating Estimate MSI - Moody's Senior Implied SCC - S&P Corporate Credit SSUS - S&P Senior Unsecured CW- - Credit Watch with negative implications SH - Shadow Rating MR - Moody's Rating SPR - S&P Rating FIXD - Fixed Rating CW+ - Credit Watch with positive implications PR - Private Rating MSUS - Moody's Senior Unsecured SSS - S&P Senior Secured NR - Not Rated

Monthly Report - 8/20/2018 3:59:55PM © 2011 U.S. Bancorp

Page 56 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Rating Detail

Moody's S&P Security I.D. Security Name Factor Type Status Default Prob Rating Type Status Rating LX173750 Telenet 5/18(EUR) AO 1766 MSI Ba3 Ba3 SCC BB- LX166774 Thom Europe T/L B 2720 MSI B2 B2 SCC B 87247EAR0 TI Automotive Initial Term Loan 2220 MSI B1 B1 SCC BB- LX161739 Tinagen T/L NEW B2 - SH S - - PR P - AQ2322693 TNETBB 3 1/2 03/01/28 1766 MSI Ba3 Ba3 SCC BB- 90472VAM3 Unifrax 2nd Lien T/L 2720 MSI B2 Caa1 SCC B 90472VAK7 Unifrax Term Loan B new 2720 MSI B2 B2 SCC B AN2740909 Unilabs 30/4/25 2720 MSI B2 Caa1 SCC B LX174390 Unilabs Diagnostics AB T/L (6/18) 2720 MSI B2 B1 SCC B AN9816256 UPCB 3 5/8 06/15/29 Corp 2220 MSI Ba3 Ba3 SCC BB- AN8803446 UPCB 3 7/8 06/15/29 2220 MSI Ba3 B2 SCC BB- LX167793 Valeo New EUR T/L - SH S - - PR P - LX146849 Vedici New T/L B2 2220 MSI B1 B1 SCC B+ LX164316 Verallia T/L B4 2220 MSI B1 B1 SCC B LX164262 Verisure T/L B1-E 2720 MSI B2 B1 SCC B G9341JAH3 Veritas New T/L B1 3490 MSI B3 B2 SCC B- LX146618 Vistra Group (Stiphout) T/L B 2720 MSI B2 B2 SCC B LX169481 Wall Street Systems T/L New B 3490 MSI B2 B2 SCC B LX174175 Weener Plastics T/L 2220 MSI B1 B1 SCC B AP6379337 WINTRE Float 01/20/24 Corp 2220 MSI B1 B1 SCC CW+ BB LX159274 Xella T/L B 3490 MSI B2 B2 SCC B+ 98425CAG9 YRC Worldwide T/L (07/17) 3490 MSI B3 Ba3 SCC B- N9833RAF6 Ziggo T/L F (EUR) 2220 MSI B1 B1 SCC BB-

Totals: 173

Watch Status / Rating Type Legend:

RE - Rating Estimate MSI - Moody's Senior Implied SCC - S&P Corporate Credit SSUS - S&P Senior Unsecured CW- - Credit Watch with negative implications SH - Shadow Rating MR - Moody's Rating SPR - S&P Rating FIXD - Fixed Rating CW+ - Credit Watch with positive implications PR - Private Rating MSUS - Moody's Senior Unsecured SSS - S&P Senior Secured NR - Not Rated

Monthly Report - 8/20/2018 3:59:55PM © 2011 U.S. Bancorp

Page 57 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Recovery Rate Detail

S&P Recovery Rate Moody's Recovery Rate LoanX ID ISIN Issue Name AAA AA A BBB BB LX171259 Action Holding Term B 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX142050 Aenova - Dragenopharm Apotheker 50.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX142051 Aenova - Swisscaps Holding (Luxemberg) Sarl 50.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX142052 Aenova - Temmler 50.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX139191 Aenova Term Loan 50.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX171534 Airbus (Defence Electronics/Hensoldt) T/L B3 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX137656 ALL 3 Media Second Lien 15.00% 2.00% 4.00% 6.00% 8.00% 9.00%

LX137858 Alstom (Arvos) T/L B2 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

XS1577952440 Altice 4 3/4 01/15/28 15.00% 2.00% 4.00% 6.00% 8.00% 9.00%

LX160841 Apcoa Term Loan B 45.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX166299 Archroma 2nd Lien T/L (SK Spice) 15.00% 18.00% 20.00% 23.00% 26.00% 29.00%

LX166298 Archroma New T/L B1 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX174058 Artemis T/L (Partner in Pet Food) 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

XS1517169972 AUTODI Float 05/01/22 30.00% 20.00% 26.00% 33.00% 39.00% 39.00%

LX159199 Beauty Holding New T/L B1 (formerly B15) 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX160534 Beauty Holding New T/L B2 (formerly B16) 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX160535 Beauty Holding New T/L B3 (formerly B17) 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX160536 Beauty Holding New T/L B4 (formerly B18) 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX160537 Beauty Holding New T/L B5 (formerly B19) 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX160538 Beauty Holding New T/L B6 (formerly B20) 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX160539 Beauty Holding New T/L B7 (formerly B21) 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX164386 Bio Group Term Loan B 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX174342 BMC Foreign Holding T/L 50.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX169962 BMC Software Term Loan B2 New 60.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX157881 Campbell Soup T/L B1 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX159205 Campbell Soup T/L B2 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX159206 Campbell Soup T/L B3 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 58 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Recovery Rate Detail

S&P Recovery Rate Moody's Recovery Rate LoanX ID ISIN Issue Name AAA AA A BBB BB LX159207 Campbell Soup T/L B4 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX137091 Catalent Pharma T/L B EUR 60.00% 62.50% 72.50% 77.50% 83.00% 88.00%

XS1709347923 CBRFHG 5 1/8 10/01/22 Corp 30.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX173383 CD&R Firely Bidco T/L B2 (Motor Fuel Group) 50.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX170211 CDS Holdco M7 Facility F 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

XS1822876014 Cerba 04/2025 15.00% 2.00% 4.00% 6.00% 8.00% 9.00%

XS1584024837 CERBA 5 3/8 04/15/25 15.00% 2.00% 4.00% 6.00% 8.00% 9.00%

XS1827600724 Chemours Co 4% 5/15/26 25.00% 17.50% 23.00% 28.50% 32.50% 33.50%

LX174299 Cheplapharm T/L 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX159920 Corialis T/L B 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX172439 Coty T/L B (EUR) 50.00% 55.00% 65.00% 70.50% 77.00% 82.50%

LX170856 Crown Holding T/L 60.00% 55.00% 65.00% 70.50% 77.00% 82.50%

LX141055 Delachaux T/L B1 Amendment 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX164119 Diaverum Term Loan B 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX169552 DSM Polymers TL New 50.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX164355 Dummen Orange T/L B New 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

XS1713464953 EAGRUY 5 3/8 05/01/23 CORP 30.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX172074 EG Finco (Euro Garages) 2nd Lien T/L 15.00% 2.00% 4.00% 6.00% 8.00% 9.00%

LX161434 Eircom Holdings (NEW) 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX169696 Etraveli Group Holding T/L B 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX171054 Euro Garages T/L B1 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX171115 Euro Garages T/L B3 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX174805 Evergood 4 T/L (Nets) 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX172466 Filtration Group T/L (03/18) 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX170325 Financiere CEP 12/17 Term Loan B 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX169827 Fintrax T/L B 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX171149 Fintrax T/L B2 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 59 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Recovery Rate Detail

S&P Recovery Rate Moody's Recovery Rate LoanX ID ISIN Issue Name AAA AA A BBB BB LX171150 Fintrax TL B3 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

XS1811351821 Gamenet Group Floating 4/27/23 30.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX168068 Gardner Denver EUR TLB 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX168343 Global Garden Products New T/L 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX121410 Groupe Etanco 10/11 TL B1 45.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX170263 Groupe Etanco 10/11 TL B2 45.00% 50.00% 55.00% 59.00% 63.00% 75.00%

LX172214 GVC Holdings 3/18 (Eur) TLB 45.00% 45.00% 55.00% 61.00% 68.00% 73.00%

XS1647643110 HEMABV FLOAT 07/15/22 CORP 35.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX139672 Hes Beheer T/L B 40.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX169486 Hilding Anders AB 11/17 (Eur) TLB 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX167539 Holland and Barrett (EUR) T/L B2 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX152965 Hotelbeds TL B 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX169710 House of HR T/L B (05/18) 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX167460 HRA Term Loan 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX171110 Hurtigruten T/L B 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX170078 Hyperion Insurance Group T/L 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX170142 I-Logic Technologies (Dealogic) EUR T/L 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX167063 IFS T/L New 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX174740 Impala Roofing/Impala TL B 45.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX170169 Indivior T/L B EUR 45.00% 60.00% 70.00% 75.00% 81.00% 86.00%

XS1577947440 INEGRP 2 1/8 11/15/25 Corp 35.00% 62.50% 72.50% 77.50% 83.00% 88.00%

LX169498 Ineos Styrolution TL B New 11/17 45.00% 70.00% 80.00% 84.00% 87.50% 91.00%

LX169196 Ineos T/L B 2024 50.00% 62.50% 72.50% 77.50% 83.00% 88.00%

LX162255 Infinitas New Term Loan B3 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX169633 Infor (Lawson) T/L B2 60.00% 55.00% 65.00% 70.50% 77.00% 82.50%

LX169031 Inovyn Finance 2024 Tranche B2 New EUR T/L 45.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX169484 Ion Trading Euro T/L B 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 60 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Recovery Rate Detail

S&P Recovery Rate Moody's Recovery Rate LoanX ID ISIN Issue Name AAA AA A BBB BB LX173965 IQVIA T/L B-2 add-on (IMS Health) 50.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX159775 Kinetic Concepts (Acelity) T/L B 50.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX165634 Klockner Pentaplast T/L B (6/17) 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX170730 KMD T/L B4 50.00% 50.00% 55.00% 59.00% 63.00% 75.00%

XS1849559205 LHMCFI (Circa) Floating 12/20/23 Corp 25.00% 35.00% 45.00% 51.00% 58.00% 63.00%

FR0013237484 LOCLFP Float 03/15/22 Corp 30.00% 41.00% 46.00% 49.00% 53.00% 63.00%

LX168518 LSFX Flavum Bidco SL T/L 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX162203 MacDermid T/L C5 45.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX168776 Macdermid T/L C6 45.00% 45.00% 55.00% 61.00% 68.00% 73.00%

XS1681770464 MASAIN 5 09/15/24 30.00% 28.50% 37.50% 44.00% 49.50% 53.50%

XS1681774888 MASAIN FLOAT 09/15/24 CORP 30.00% 28.50% 37.50% 44.00% 49.50% 53.50%

XS1648303813 MAXDIY 6 1/8 07/15/22 30.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX168777 McAfee T/L B New 50.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX156994 Mediq T/L B1 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX163229 Misys Term B Eur Loan 50.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX158905 Modacin New B1 45.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX158906 Modacin New C1 45.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX158901 Modacin New Term B3 45.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX158903 Modacin New Term Loan C3 45.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX157878 NEP Europe Finco T/L New 45.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX175202 Nets 7/18 Dotplay Term Loan B2 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX169648 Nets TL B1E 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX173154 Newco Sab Bidco T/L NEW (Cerba) 50.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX174594 Nielsen T/L New B2 60.00% 70.00% 80.00% 84.00% 87.50% 91.00%

LX165624 Nord Anglia Term Loan 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX152525 Novacap T/L B 45.00% 40.00% 50.00% 56.00% 63.00% 67.00%

XS1713466222 NVFVES 5 06/15/25 25.00% 23.50% 30.50% 37.50% 42.50% 43.50%

Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 61 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Recovery Rate Detail

S&P Recovery Rate Moody's Recovery Rate LoanX ID ISIN Issue Name AAA AA A BBB BB XS1713466149 NVFVES Float 06/15/25 25.00% 23.50% 30.50% 37.50% 42.50% 43.50%

LX168948 Oberthur T/L New 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX161834 OGF T/L B (03/17) 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

XS1794213055 PAPRC Float 031/03/2025 30.00% 23.50% 30.50% 37.50% 42.50% 43.50%

LX161205 Parex T/L B 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX175089 Pfleiderer T/L B 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX161954 Pfleiderer T/L B (PCF GmbH) 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX158354 PHS Group Limited A1 50.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX158355 PHS Group T/L A2 50.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX164876 PortAventura T/L B 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX155855 POWERFLUTE B1 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX167174 Pronovias EUR T/L B1 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX169138 Pronovias EUR T/L B2 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX171236 Pronovias EUR T/L B3 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX162576 Prosol T/L B 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX160895 Quintiles IMS T/L B-1 (EUR) 50.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX170852 R&R Ice Cream Froneri 1/18 (EUR) Cov-Lite 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX169954 Rain Carbon T/L B 50.00% 65.00% 75.00% 80.00% 85.00% 90.00%

LX170103 Refresco T/L B 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX159203 Reynolds 2017 Incremental EUR T/L 50.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX162763 Rhodia Acetow Term Loan B 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX169932 Sapphire 2nd Lien T/L (TMF Group) 15.00% 2.00% 4.00% 6.00% 8.00% 9.00%

XS1454976801 SCHMAN Float 07/31/22 30.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX162008 SFR Group (Numericable / YPSO / Altice) T/L B11 45.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX169001 SFR Group (Numericable / YPSO / Altice) T/L B12 (EUR) 45.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX163467 SGB SMIT T/L B 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX171809 Sigma Holdco T/L B1 (Flora Food) 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 62 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Recovery Rate Detail

S&P Recovery Rate Moody's Recovery Rate LoanX ID ISIN Issue Name AAA AA A BBB BB LX174821 Sivantos T/L B (Auris Luxco ) 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

XS1513692357 SNAIM Float 07/11/21 Corp 30.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX166814 Socotec Term Loan New 45.00% 27.00% 35.00% 42.00% 46.00% 48.00%

LX169368 Springer Science T/L B12 45.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX165734 Stage entertainment T/L B 45.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX174019 Stars Group Holdings T/L (Amaya) (EUR) 50.00% 45.00% 55.00% 61.00% 68.00% 73.00%

XS1791484717 STKGRP Float 03/15/24 30.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX143312 Survitec EUR Term Loan 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

LX172165 Swissport 2018 Incremental EUR T/L 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX167747 Swissport T/L B (New) 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX171442 Syniverse Holdings 2nd Lien T/L E 15.00% 2.00% 4.00% 6.00% 8.00% 9.00%

LX173747 TDC T/L 50.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX174950 Techem T/L (7/18) Cov-Lite 50.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX157075 Technicolor T/L B New 45.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX174457 Tele columbus T/L A2 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX173750 Telenet 5/18(EUR) AO 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX166774 Thom Europe T/L B 45.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX145316 TI Automotive Initial Term Loan 45.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX161739 Tinagen T/L NEW B2 45.00% 28.50% 37.50% 44.00% 49.50% 53.50%

BE6300371273 TNETBB 3 1/2 03/01/28 30.00% 35.00% 45.00% 51.00% 58.00% 63.00%

LX169457 Unifrax 2nd Lien T/L 15.00% 10.00% 15.00% 19.50% 22.50% 23.50%

LX161986 Unifrax Term Loan B new 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

XS1602515733 Unilabs 30/4/25 15.00% 2.00% 4.00% 6.00% 8.00% 9.00%

LX174390 Unilabs Diagnostics AB T/L (6/18) 50.00% 30.00% 40.00% 46.00% 53.00% 59.00%

XS1634252628 UPCB 3 5/8 06/15/29 Corp 30.00% 50.00% 60.00% 66.00% 73.00% 79.00%

XS1629969327 UPCB 3 7/8 06/15/29 15.00% 2.00% 4.00% 6.00% 8.00% 9.00%

LX167793 Valeo New EUR T/L 45.00% 40.00% 50.00% 56.00% 63.00% 67.00%

Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 63 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Recovery Rate Detail

S&P Recovery Rate Moody's Recovery Rate LoanX ID ISIN Issue Name AAA AA A BBB BB LX146849 Vedici New T/L B2 45.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX164316 Verallia T/L B4 45.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX164262 Verisure T/L B1-E 50.00% 40.00% 50.00% 56.00% 63.00% 67.00%

LX165579 Veritas New T/L B1 50.00% 50.00% 60.00% 66.00% 73.00% 79.00%

LX146618 Vistra Group (Stiphout) T/L B 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX169481 Wall Street Systems T/L New B 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX174175 Weener Plastics T/L 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

XS1708450215 WINTRE Float 01/20/24 Corp 30.00% 45.00% 55.00% 61.00% 68.00% 73.00%

LX159274 Xella T/L B 45.00% 30.00% 40.00% 46.00% 53.00% 59.00%

LX167093 YRC Worldwide T/L (07/17) 60.00% 60.00% 70.00% 75.00% 81.00% 86.00%

LX159376 Ziggo T/L F (EUR) 45.00% 40.00% 50.00% 56.00% 63.00% 67.00%

Totals: 173

Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 64 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Issuer Rating Change History

Moody's S & P Security ID Security Name Prior Curr Date Action Prior Curr Date Action BL0462954 Pfleiderer T/L B (PCF GmbH) Ba3 B1 13-Jul-18 DNG BL0466245 MacDermid T/L C5 B2 B2 24-Jul-18 CW+ BL0472474 Veritas New T/L B1 B B- 24-Jul-18 DNG BL0479776 POWERFLUTE B1 B1 B2 27-Jul-18 DNG BL0479776 POWERFLUTE B1 B1 B2 27-Jul-18 OFF(CW-) BL0482572 Macdermid T/L C6 B2 B2 24-Jul-18 CW+ BL0493116 Indivior T/L B EUR B3 B3 19-Jul-18 OFF(CW-) BL0522088 Pfleiderer T/L B Ba3 B1 13-Jul-18 DNG

Totals: 8

Monthly Report - 8/20/2018 3:59:49PM © 2011 U.S. Bancorp Page 65 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Rating Change History - Shadow/Private

Moody's S & P

Security ID Security Name Prior Prior Date Curr Curr Date Prior Prior Date Curr Curr Date BL0468779 Dummen Orange T/L B New Shadow 01-Jan-17 Shadow-1 01-Aug-18

Totals: 1

Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp

Page 66 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Assets Purchased

Trade Principal Accrued Total Affiliated Issuer/Borrower Name % of ACB Security I.D. Security Name Date Par Amount Price Proceeds Interest Amount Seller BL0475832 Beauty Holding New T/L B5 Beauty Holding 1 GMBH 12-Jul-18 38,661.00 85.750 33,151.81 - 33,151.81 0.0001% (formerly B19) BL0475840 Beauty Holding New T/L B3 Beauty Holding 1 GMBH 12-Jul-18 178,150.00 85.750 152,763.63 - 152,763.63 0.0005% (formerly B17) BL0475857 Beauty Holding New T/L B6 Beauty Holding 1 GMBH 12-Jul-18 207,683.00 85.750 178,088.17 - 178,088.17 0.0006% (formerly B20) BL0475865 Beauty Holding New T/L B4 Beauty Holding 1 GMBH 12-Jul-18 152,410.00 85.750 130,691.58 - 130,691.58 0.0005% (formerly B18) BL0475873 Beauty Holding New T/L B7 Beauty Holding 1 GMBH 12-Jul-18 47,021.00 85.750 40,320.51 - 40,320.51 0.0001% (formerly B21) BL0475881 Beauty Holding New T/L B1 Beauty Holding 1 GMBH 12-Jul-18 275,330.00 85.750 236,095.48 - 236,095.48 0.0008% (formerly B15) BL0475899 Beauty Holding New T/L B2 Beauty Holding 1 GMBH 12-Jul-18 100,745.00 85.750 86,388.84 - 86,388.84 0.0003% (formerly B16) BL0503690 Bio Group Term Loan B Bio Group 13-Jul-18 619,082.30 98.000 606,700.65 - 606,700.65 0.0019% BL0505265 Filtration Group T/L (03/18) Filtration Group Corporation 13-Jul-18 1,000,000.00 100.000 1,000,000.00 - 1,000,000.00 0.0031% BL0503690 Bio Group Term Loan B Bio Group 13-Jul-18 1,380,917.70 98.000 1,353,299.35 - 1,353,299.35 0.0042% BL0501645 Campbell Soup T/L B1 Soppa Holdings Sarl 17-Jul-18 1,000,000.00 99.875 998,750.00 - 998,750.00 0.0031% BL0521189 Evergood 4 T/L (Nets) Evergood 4 ApS 18-Jul-18 1,263,157.90 99.500 1,256,842.11 - 1,256,842.11 0.0039% BL0522534 Nets 7/18 Dotplay Term Loan B2 Evergood 4 ApS 18-Jul-18 236,842.10 99.500 235,657.89 - 235,657.89 0.0007% BL0521478 Sivantos T/L B (Auris Luxco ) Sivantos 24-Jul-18 1,500,000.00 100.000 1,500,000.00 - 1,500,000.00 0.0046% BL0494080 KMD T/L B4 KMD 25-Jul-18 1,000,000.00 92.000 920,000.00 - 920,000.00 0.0031% BL0522088 Pfleiderer T/L B (PCF GmbH) Pfleiderer AG 27-Jul-18 3,000,000.00 99.000 2,970,000.00 - 2,970,000.00 0.0092% BL0521767 Impala Roofing/Impala TL B LSF10 Impala Investments Sarl 02-Aug-18 2,500,000.00 99.000 2,475,000.00 - 2,475,000.00 0.0076% BL0522393 Techem T/L (7/18) Cov-Lite Blitz F18-675 GmbH 06-Aug-18 1,250,000.00 100.250 1,253,125.00 - 1,253,125.00 0.0038%

Totals: 18 15,750,000.00 15,426,875.02 - 15,426,875.02

Monthly Report - 8/20/2018 3:59:50PM © 2011 U.S. Bancorp Page 67 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Assets Sold

Trade Principal Accrued Total Affiliated Settlement Security I.D. Issue/Facility Name Transaction Motivation Date CurrencyPar Amount Price Proceeds Interest Amount Purchaser Date BL0388118 Aenova - Dragenopharm ApothekerCredit Improved Loan 30-Jul-18 EUR 239,368.00 97.75 233,982.22 - 233,982.22 BL0388126 Aenova - Swisscaps Holding (Luxemberg)Credit Improved Sarl Loan 30-Jul-18 EUR 144,985.00 97.75 141,722.84 - 141,722.84 BL0388134 Aenova - Temmler Credit Improved Loan 30-Jul-18 EUR 128,665.00 97.75 125,770.04 - 125,770.04 BL0380917 Aenova Term Loan Credit Improved Loan 30-Jul-18 EUR 486,983.00 97.75 476,025.88 - 476,025.88 BL0369332 Ceva Sante Animale T/L B Credit Improved Loan 31-Jul-18 EUR 2,000,000.00 99.50 1,990,000.00 - 1,990,000.00 BL0489593 Infor (Lawson) T/L B2 Credit Improved Loan 25-Jul-18 EUR 1,000,000.00 99.75 997,500.00 - 997,500.00 AM7964225 MATTER Float 02/01/23 Credit Risk Security 03-Aug-18 EUR 71,428.00 100.05 71,463.71 39.19 71,463.71 07-Aug-18

Total: 7 4,071,429.00 4,036,464.69 39.19 4,036,464.69 - %

Monthly Report - 8/20/2018 3:59:52PM © 2011 U.S. Bancorp Page 68 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Discount and Swapped Non-Discount Obligations

Security I.D. Security Name Purchase Date Principal Balance Purchase Price Calculation Amount % of CPA

Totals: 0 0.00 0.00 0.00 %

Monthly Report - 8/20/2018 3:59:59PM © 2011 U.S. Bancorp Page 69 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Collateral Enhancement Obligations and Exchanged Equity Securities

Security I.D. Security Name Asset Type Number of Units Principal Balance

Totals: 0

Monthly Report - 8/20/2018 3:59:59PM © 2011 U.S. Bancorp Page 70 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Participation Information

Counterparty Ratings Security I.D. Security Name Selling Institution Moody's S&P Principal Balance

Totals: 0 -

Monthly Report - 8/20/2018 3:59:59PM © 2011 U.S. Bancorp Page 71 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Restructured Obligations - Additions

Security I.D. Security Name Obligor Name Restructuring Date Asset Type Par Amount Maturity Date -

Totals: 0

Monthly Report - 8/20/2018 3:59:59PM © 2011 U.S. Bancorp Page 72 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Restructured Obligations - Removals

Security I.D. Security Name Obligor Name Restructuring Date Asset Type Par Amount Maturity Date -

Total: 0

Monthly Report - 8/20/2018 4:00:01PM © 2011 U.S. Bancorp Page 73 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Currency Hedge Transactions

FX Notional Amount Notional Amount Issuer / Obligor Counterparty Currency Rate (CCY) (EUR) Pacific 2 Limited JP Morgan Securities Ltd GBP 1.13620 2,517,286.91 2,860,141.39 SK SPICE S.A. R.L. (AKA Clariant Corporation) JP Morgan Securities Ltd USD 0.85210 2,000,000.00 1,704,200.00 Syniverse Holdings, Inc. JP Morgan Securities Ltd USD 0.80630 2,000,000.00 1,612,600.00 Unifrax Holding Co JP Morgan Securities Ltd USD 0.86360 1,000,000.00 863,600.00 YRC Worldwide, Inc. JP Morgan Securities Ltd USD 0.85210 2,931,101.07 2,497,591.22

Totals: 5 9,538,132.61

Monthly Report - 8/20/2018 3:59:59PM © 2011 U.S. Bancorp Page 74 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Hedge Counterparty Ratings

Moody's S&P Nbr Counterparty Counterparty Role Short-term Min Result Long-term Min Result Short-term Min Result Long-term Min Result

1 Elavon Financial Services DAC Custodian P-1 NP N/A A1 A3 PASS A-1+ A-1 PASS AA- A PASS 2 Elavon Financial Services DAC Account Bank P-1 NP N/A A1 A3 PASS A-1+ A-1 PASS AA- A+ PASS 3 Elavon Financial Services DAC Paying Agent P-1 NP N/A A1 Baa3 PASS A-1+ NR N/A AA- NR PASS 4 JP Morgan Securities Ltd P-1 N/A - N/A A-1 N/A - N/A

Totals: 4

Monthly Report - 8/20/2018 3:59:58PM © 2011 U.S. Bancorp Page 75 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Stratifications - Countries and Obligors

Distribution of Countries Distribution of Obligors (10 Largest) # of Principal % of Collateral # of Principal % of Collateral Country Assets Balance Principal Amount Obligor Assets Balance Principal Amount

U.S. 25 64,612,437.13 19.71 % BMC Software Finance, Inc. 2 7,746,975.68 2.36 % France 31 54,995,568.96 16.78 % Veritas US Inc. 1 7,491,801.21 2.29 % Netherlands 22 51,869,937.76 15.82 % Holland and Barrett 1 6,000,000.00 1.83 % Luxembourg 23 43,892,741.06 13.39 % Quintiles IMS Incorporated 2 5,925,000.00 1.81 % Germany 26 39,958,544.95 12.19 % Ineos Group Holdings SA 2 5,490,000.00 1.67 % United Kingdom 20 39,185,421.84 11.95 % SFR Group S.A. 2 5,374,343.70 1.64 % Sweden 7 14,080,618.57 4.30 % EG Group Limited 3 5,064,545.72 1.55 % Spain 4 10,000,000.00 3.05 % Soppa Holdings Sarl 4 5,000,000.01 1.53 % Denmark 5 9,871,701.64 3.01 % Global Garden Products C S.ar.l 1 5,000,000.00 1.53 % Ireland 2 5,987,500.00 1.83 % LSFX Flavum Bidco, S.L. 1 5,000,000.00 1.53 % Italy 4 5,875,000.00 1.79 % Total 19 58,092,666.32 17.72 % Belgium 2 5,000,000.00 1.53 % Finland 1 4,000,000.00 1.22 % Norway 1 2,250,000.00 0.69 % Total 173 351,579,471.90 107.25 %

Monthly Report - 8/20/2018 4:00:02PM © 2011 U.S. Bancorp Page 76 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Stratifications - Industries

Distribution of Moody's Industry Classifications Distribution of S&P Industry Classifications # of Principal % of # of Principal % of Industry Assets Balance CPA Industry Assets Balance CPA Aerospace & Defense 4 9,287,756.52 2.83 % Aerospace & Defense 2 6,500,000.00 1.98 % Automotive 2 4,446,758.15 1.36 % Air Freight & Logistics 2 2,787,756.52 0.85 % Banking, Finance, Insurance & Real Estate 5 12,254,071.76 3.74 % Auto Components 1 3,946,758.15 1.20 % Beverage, Food & Tobacco 10 15,230,000.01 4.65 % Automobiles 1 500,000.00 0.15 % Capital Equipment 8 12,335,063.76 3.76 % Beverages 1 2,750,000.00 0.84 % Chemicals, Plastics, & Rubber 11 22,409,211.30 6.84 % Building Products 3 6,999,137.05 2.14 % Construction & Building 8 20,499,137.05 6.25 % Chemicals 12 25,159,211.30 7.68 % Consumer goods: Durable 2 7,500,000.00 2.29 % Commercial Services & Supplies 4 7,625,926.20 2.33 % Consumer goods: Non-durable 2 3,000,000.00 0.92 % Construction Materials 5 13,500,000.00 4.12 % Containers, Packaging & Glass 5 9,281,797.77 2.83 % Consumer Finance 3 2,500,000.01 0.76 % Environmental Industries 5 9,625,926.20 2.94 % Containers & Packaging 5 9,281,797.77 2.83 % Forest Products & Paper 1 4,000,000.00 1.22 % Diversified Consumer Services 1 1,000,000.00 0.31 % Healthcare & Pharmaceuticals 20 32,066,557.28 9.78 % Diversified Financial Services 4 6,586,529.02 2.01 % High Tech Industries 6 22,825,759.70 6.96 % Diversified Telecommunication Services 7 17,496,846.35 5.34 % Hotel, Gaming & Leisure 9 14,875,000.00 4.54 % Electrical Equipment 1 4,750,000.00 1.45 % Media: Advertising, Printing & Publishing 4 10,830,404.10 3.30 % Energy Equipment & Services 1 999,999.99 0.31 % Media: Broadcasting & Subscription 11 24,004,515.24 7.32 % Food & Staples Retailing 2 7,500,000.00 2.29 % Media: Diversified & Production 3 8,750,000.00 2.67 % Food Products 8 11,000,000.01 3.36 % Metals & Mining 1 2,750,000.00 0.84 % Health Care Equipment & Supplies 4 8,804,585.04 2.69 % Retail 25 34,320,257.70 10.47 % Health Care Providers & Services 9 16,224,999.99 4.95 % Services: Business 16 38,363,812.55 11.70 % Hotels, Restaurants & Leisure 9 14,875,000.00 4.54 % Services: Consumer 5 6,000,000.01 1.83 % Household Durables 2 7,500,000.00 2.29 % Telecommunications 3 7,250,000.00 2.21 % Industrial Conglomerates 2 3,265,051.20 1.00 % Transportation: Cargo 3 8,502,658.28 2.59 % Insurance 2 5,813,375.00 1.77 % Transportation: Consumer 1 2,250,000.00 0.69 % Internet Software & Services 1 2,487,500.00 0.76 % Utilities: Electric 2 4,920,784.52 1.50 % IT Services 4 11,835,445.06 3.61 % Wholesale 1 4,000,000.00 1.22 % Leisure Products 1 2,500,000.00 0.76 % 3 5,339,116.10 1.63 % Total 173 351,579,471.90 107.25 % Life Sciences Tools & Services Machinery 7 12,990,797.09 3.96 %

Page 77 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Stratifications - Industries

Marine 1 2,250,000.00 0.69 % Media 13 28,588,072.99 8.72 % Multiline Retail 2 6,325,000.00 1.93 % Paper & Forest Products 1 4,000,000.00 1.22 % Personal Products 1 2,000,000.00 0.61 % Pharmaceuticals 7 10,122,856.15 3.09 % Professional Services 6 13,497,285.23 4.12 % Road & Rail 1 2,497,591.22 0.76 % Software 6 21,798,509.70 6.65 % Specialty Retail 15 17,564,545.72 5.36 % Technology Hardware, Storage & 1 3,000,000.00 0.92 % Peripherals Textiles, Apparel & Luxury Goods 8 8,430,711.98 2.57 % Tobacco 1 1,980,000.00 0.60 % Trading Companies & Distributors 1 1,000,000.00 0.31 % Transportation Infrastructure 2 6,005,067.06 1.83 %

Total 173 351,579,471.90 107.25 %

Page 78 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo Risk Retention

The Collateral Administrator has received written confirmation from the Retention Holder that: (a) it continues to hold an initial principal amount representing not less than 5 per cent. of each Class of Notes; and (b) 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.

Monthly Report - 8/20/2018 4:00:00PM © 2011 U.S. Bancorp Page 79 of 80 Halcyon Loan Advisors European Funding 2016 Designated Activity Company As Of: 08-Aug-18 Next Payment: 22-Oct-18 CDO Trust Services www.usbank.com/cdo 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

Monthly Report - 8/20/2018 4:00:05PM © 2011 U.S. Bancorp Page 80 of 80