Dartry Park Clo Dac

DARTRY PARK CLO DAC

Monthly Report As of May 15, 2017

Global Corporate Trust Services www.usbank.com/cdo

Page 1 of 57 DARTRY PARK CLO DAC As Of: 15-May-17 Current Payment: 28-Jul-17 CDO Trust Services Prior Payment: 28-Apr-17 www.usbank.com/cdo Next Payment: 31-Oct-17 Nirav Patel

Monthly Report

Electronic Reports Relevant Dates

Issue ID: ...... DART1501 Issue Date: 16-Mar-15 Payment Data File Name: First Payment Date: 28-Oct-15 DART1501_20170515_D_1.CSV Account Summary Investment Period End Date: 20-May-15 DART1501_20170515_D_2.CSV Transaction Detail Reinvestment Period End Date: 28-Apr-19 DART1501_20170515_D_3.CSV Test History DART1501_20170515_D_4.CSV Asset Detail DART1501_20170515_SIFMA.XML SIFMA

Compliance Information Pages Asset Detail Information Pages Statistical Information Pages Summary 3 Eligible Investments (Assets) 15 Stratifications - Countries 51 Proceeds Account Summary 4 - 5 Assets Purchased 16 Stratifications - Obligors (10 Largest) 52 Coverage and Collateral Quality Tests Summary 6 Assets Sold 17 Stratifications - Industries 53 Interest Coverage Tests Detail 7 - 8 Current Asset Characteristics - Part I 18 - 22 Risk Retention 54 Par Value Tests Detail 9 Current Asset Characteristics - Part II 23 - 26 Originator Requirement 55 Fitch CCC Obligations 10 Current Asset Characteristics - Part III 27 - 30 Additional Notices 56 Moody's Caa Obligations 11 Defaulted Obligations and Deferring Securities 31 Disclaimer 57 Collateral Principal Amount for Portfolio Profile Tests 12 Discount Obligations and Swapped Non-Discount 32 Portfolio Profile Tests Summary 13 - 14 Obligations Collateral Enhancement Obligations and Exchanged 33 Equity Securities Participation Information 34 PIK Securities 35 Restructured Obligations - Additions 36 Restructured Obligations - Removals 37 Rating Detail - Public 38 - 40 Rating Change History - Public 41 Rating Change History - Shadow/Private 42 Hedge Counterparty Ratings 43 Hedge Transactions Detail (Purchase Lots) 44 Intra-Period Collection Account Detail 45 - 50

Contact Information Issuer: DARTRY PARK CLO DAC Investment Manager: Blackstone/GSO Debt Funds Management Europe Ltd Rated By: Fitch Ratings Ltd/Moody's Investors Service

Information is available from the following sources

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

Summary

Note Information

Expected Fitch Moody's Original Original Current Interest Note Coupon Balance Balance Payment Index Coupon Orig Curr Orig Curr Class A-1A 1.42015% 238,000,000.00 238,000,000.00 782,094.44 -0.32900% 1.30000% AAA AAA Aaa Aaa Class A-1B 1.58500% 5,000,000.00 5,000,000.00 19,812.50 N/A 1.58500% AAA AAA Aaa Aaa Class A-2A 2.22015% 30,000,000.00 30,000,000.00 159,250.00 -0.32900% 2.10000% AA+ AA+ Aa2 Aa2 Class A-2B 2.53100% 12,000,000.00 12,000,000.00 75,930.00 N/A 2.53100% AA+ AA+ Aa2 Aa2 Class B 3.02015% 24,000,000.00 24,000,000.00 175,933.33 -0.32900% 2.90000% A A A2 A2 Class C 3.87015% 21,500,000.00 21,500,000.00 203,802.08 -0.32900% 3.75000% BBB BBB Baa2 Baa2 Class D 5.77015% 24,500,000.00 24,500,000.00 349,907.64 -0.32900% 5.65000% BB BB Ba2 Ba2 Class E 7.12015% 11,500,000.00 11,500,000.00 203,486.11 -0.32800% 7.00000% B- B- B2 B2 Sub EUR N/A 44,600,000.00 44,600,000.00 N/A N/A N/A NR NR NR NR

Totals: 411,100,000.00 411,100,000.00 1,970,216.10

Asset Positions Test Summary Curr Prior Position (1) Count Current Count Prior Test Type Pass Fail N/A Secured Senior Loan 122 346,597,033.87 122 346,527,280.01 Eligibility Criteria 1 0 0 Mezzanine Obligation - - - - Coverage 9 0 1 Unsecured Senior Loan - - - - Quality 8 0 0 Second Lien Loan - - - - Portfolio Profile 66 0 0 High Yield Bond - - - - Totals: 84 0 1 Secured Senior Note 11 44,673,000.00 13 46,706,000.00 Warrants - - - - Common Stock - - - - First Lien Last Out Loan - - - - Balance in EUR Principal Account - 8,889,292.20 - 6,801,844.02 Balance in EUR Unused Proceeds - - - - Account Unfunded Commitments - - - - Totals: 133 400,159,326.07 135 400,035,124.03

Proceeds Account Summary

Accounts Summary

Opening Ending Balance Account Balance Deposits Withdrawals Balance (EUR)

EUR EUR BANA COUNTERPARTY DOWNGRADE - - - - - EUR BNPP COUNTERPARTY DOWNGRADE - - - - - EUR CUSTODY ACCOUNT - - - - - EUR EXPENSE RESERVE ACCOUNT 46,099.94 - 46,099.94 - - EUR FIRST PERIOD RESERVE ACCOUNT - - - - - EUR HEDGE TERMINATION ACCOUNT - - - - - EUR INTEREST ACCOUNT 4,235,104.34 887,886.06 4,258,171.63 864,818.77 864,818.77 EUR INTEREST SMOOTHING ACCOUNT - 4,319.60 4,319.60 - - EUR JPM CTPY DOWNGRADE AC - - - - - EUR PAYMENT ACCOUNT - 4,275,703.12 4,275,703.12 - - EUR PRINCIPAL ACCOUNT 53,811,263.26 27,654,116.88 23,050,635.33 58,414,744.81 58,414,744.81 EUR SUPPLEMENTAL RESERVE - - - - - EUR UNFUNDED REVOLVER ACCOUNT - - - - - EUR UNUSED PROCEEDS ACCOUNT 0.05 - - 0.05 0.05

Totals: 58,092,467.59 32,822,025.66 31,634,929.62 59,279,563.63 59,279,563.63

GBP GBP BANA COUNTERPARTY DOWNGRADE - - - - - GBP BNPP COUNTERPARTY DOWNGRADE - - - - - GBP CURRENCY ACCOUNT - 2,303,016.51 2,232,999.20 70,017.31 82,354.36 GBP JPM COUNTERPARTY DOWNGRADE - - - - -

Totals: - 2,303,016.51 2,232,999.20 70,017.31 82,354.36

Please Note: All balances are as of the cash settled date.

Proceeds Account Summary

Accounts Summary

Opening Ending Balance Account Balance Deposits Withdrawals Balance (EUR)

USD USD BANA COUNTERPARTY DOWNGRADE - - - - - USD BNPP COUNTERPARTY DOWNGRADE - - - - - USD CURRENCY ACCOUNT - 2,036,245.31 1,998,593.94 37,651.37 34,311.69 USD JPM COUNTERPARTY DOWNGRADE - - - - -

Totals: - 2,036,245.31 1,998,593.94 37,651.37 34,311.69

Please Note: All balances are as of the cash settled date.

Coverage and Collateral Quality Tests Summary Coverage Tests

Test Effective Number Description Date Prior Current Trigger Max / Min Result 1 Class A Par Value Test 140.84% 140.36% 140.41% 130.35% Minimum Pass 2 Class B Par Value Test 129.90% 129.46% 129.50% 120.95% Minimum Pass 3 Class C Par Value Test 121.45% 121.04% 121.08% 115.53% Minimum Pass 4 Class D Par Value Test 113.07% 112.69% 112.72% 107.93% Minimum Pass 5 Post-Reinvestment Par Value Test 113.07% 112.69% 112.72% 108.68% Minimum N/A 6 Reinvestment Par Value Test 113.07% 112.69% 112.72% 108.68% Minimum Pass 7 Class A Interest Coverage Test 248.01% 399.90% 378.88% 120.00% Minimum Pass 8 Class B Interest Coverage Test 213.08% 341.95% 323.93% 110.00% Minimum Pass 9 Class C Interest Coverage Test 183.43% 292.80% 277.33% 105.00% Minimum Pass 10 Class D Interest Coverage Test 148.35% 234.85% 222.41% 101.00% Minimum Pass

Collateral Quality Tests

Test Effective Number Description Date Prior Current Trigger Max / Min Result 1 Moody's Maximum Weighted Average Rating Factor Test 2,839 2,948 2,931 3,042 Maximum Pass 2 Moody's Minimum Weighted Average Recovery Rate Test 47.90% 47.10% 47.10% 41.50% Minimum Pass 3 Moody's Minimum Diversity Test 43.77 45.47 44.59 44.00 Minimum Pass 4 Moody's Minimum Weighted Average Floating Spread Test 4.62% 4.35% 4.40% 3.50% Minimum Pass 5 Fitch Minimum Weighted Average Spread Test 4.62% 4.35% 4.40% 4.10% Minimum Pass 6 Fitch Maximum Weighted Average Rating Factor Test 33.84 34.07 33.59 35.00 Maximum Pass 7 Fitch Minimum Weighted Average Recovery Rate Test 70.00% 67.00% 66.80% 65.80% Minimum Pass 8 Weighted Average Life Test 5.53 5.22 5.16 5.84 Maximum Pass

Additional Information

Test Effective Number Description Date Prior Current Trigger Max / Min Result 1 Swapped Non-Discount Obligations (TPA) - - - 10.00% Maximum Pass 2 Swapped Non-Discount Obligations (CPA) - - - 5.00% Maximum Pass

Interest Coverage Tests Detail

Calculation Ratio Minimum Result

Class A Interest Coverage Test A / (B) 378.88% 120.00% Pass Class B Interest Coverage Test A / (B+C) 323.93% 110.00% Pass Class C Interest Coverage Test A / (B+C+D) 277.33% 105.00% Pass Class D Interest Coverage Test A / (B+C+D+E) 222.41% 101.00% Pass Received: Balance standing to the credit of the Interest Account 981,484.82 981,484.82 Projected: Scheduled Interest Payments 3,221,986.11 Scheduled Commitment Fees 0.00 Projected Reinvestment Income on Collateral Debt Obligations 0.00 Projected Reinvestment Income on Cash Accounts 0.00 3,221,986.11 Minus: (A) Any taxes owed, and issuer profit amount to be retained in the Issuer Irish Account 0.00 (B) Accrued and unpaid Trustee Fees and Expenses (including Bond Custody Fee) 22,186.28 (C) Accrued and unpaid Administrative Expenses 100,280.00 (D) Expense Reserve Amounts 0.00 (E) Senior Investment Management Fee 151,679.98 (F)(i) Scheduled Periodic Hedge Issuer Payments 0.00 (F)(ii) Currency Hedge Termination Payments 0.00 (F)(iii) Interest Rate Hedge Termination Payments 0.00 274,146.26 Plus: Scheduled Periodic Hedge Counterparty Payments 0.00 0.00 Minus: Deferred Interest on PIK Securities 0.00 Amounts payable into Interest Smoothing Account 0.00 Purchased Accrued Interest 0.00 0.00 Plus: Amounts payable from the Expense Reserve/First Period Reserve/Interest Smoothing Accounts 0.00 0.00 Interest Coverage Amount: 3,929,324.67 (A)

Notes:

Interest Coverage Tests Detail

Interest payment due on the Class A Notes 1,037,086.94 (B) Interest payment due on the Class B Notes 175,933.33 (C) Interest payment due on the Class C Notes 203,802.08 (D) Interest payment due on the Class D Notes 349,907.64 (E)

Par Value Tests Detail

Calculation Ratio Minimum Result

Class A Par Value Test A / (B) 140.41% 130.35% Pass Class B Par Value Test A / (B+C) 129.50% 120.95% Pass Class C Par Value Test A / (B+C+D) 121.08% 115.53% Pass Class D Par Value Test A / (B+C+D+E) 112.72% 107.93% Pass Reinvestment Par Value Test A / (B+C+D+E) 112.72% 108.68% Pass Post-Reinvestment Par Value Test A / (B+C+D+E) 112.72% 108.68% N/A Collateral:

Aggregate Principal Balance of Collateral Debt Obligations 391,270,033.87 391,270,033.87 Minus:

Principal Balance of Defaulted Obligations 0.00 Principal Balance of Deferring Securities 0.00 Principal Balance of Discount Obligations 0.00 0.00 Plus:

Calculation Amount of Defaulted Obligations 0.00 Calculation Amount of Deferring Securities 0.00 Calculation Amount of Discount Obligations 0.00 0.00 Plus:

Balance standing to the credit of the Principal Account 8,889,292.20 Balance standing to the credit of the Unused Proceeds Account 0.00 Purchase Accrued Interest 0.00 8,889,292.20 Minus:

Excess Moody's Caa/Fitch CCC Adjustment Amount 0.00 0.00 Adjusted Collateral Principal Amount: 400,159,326.07 (A)

Notes:

Principal Amount Outstanding of the Class A Notes 285,000,000.00 (B) Principal Amount Outstanding of the Class B Notes 24,000,000.00 (C) Principal Amount Outstanding of the Class C Notes 21,500,000.00 (D) Principal Amount Outstanding of the Class D Notes 24,500,000.00 (E)

Fitch CCC Obligations

Security I.D. Issue/Facility Name Security Description Fitch Rating Principal Balance Market Value BL0398851 Autobar 10/14 Super Senior Secured Senior Loan CCC 2,997,276.69 100.50 BL0375008 Deoleo Term Loan Secured Senior Loan CCC 2,000,000.00 74.36 BL0462616 Famar T/L B New Secured Senior Loan CCC 5,263,380.23 75.00 BL0309080 Fraikin Secondopco Secured Senior Loan CCC 942,507.07 97.00 AL1214330 PERHOL FLOAT 06/30/21 Secured Senior Note CCC 4,750,000.00 103.53

Fitch CCC Haircut Summary Item Description Value (a) Collateral Principal Amount (excl. Defaulted Obligations) 400,159,326.07 (b) Excess Limit 7.50% (c) Excess Threshold (a) x (b) 30,011,949.46 (d) Aggregate Principal Balance of Fitch CCC Obligations 15,953,163.99

(e) Total Fitch CCC Excess above Threshold 0.00

Totals: 5

Moody's Caa Obligations

Security I.D. Issue/Facility Name Security Description Moody's Rating Principal Balance Market Value BL0375008 Deoleo Term Loan Secured Senior Loan Caa1 2,000,000.00 74.36 BL0462616 Famar T/L B New Secured Senior Loan Caa2 5,263,380.23 75.00

Moody's Caa Haircut Summary Item Description Value (a) Collateral Principal Amount (excl. Defaulted Obligations) 400,159,326.07 (b) Excess Limit 7.50% (c) Excess Threshold (a) x (b) 30,011,949.46 (d) Aggregate Principal Balance of Moody's Caa Obligations 7,263,291.93

(e) Total Moody's Caa Excess above Threshold 0.00

Totals: 2

Collateral Principal Amount for Portfolio Profile Tests

(a) Aggregate Principal Balance of Collateral Debt Obligations (Excluding Defaulted Obligations) 391,270,033.87

Plus (b) Balances standing to the credit of Principal Account 8,889,292.20 (c) Balances standing to the credit of Unused Proceeds Account 0.00 (d) Eligible Investments representing Principal Proceeds 0.00

Collateral Principal Amount 400,159,326.07

Portfolio Profile Tests Summary

Test Effective Number Description Date Prior Current Trigger Max / Min Result 1 (a) Secured Senior Loans and Secured Senior Notes 100.00% 100.00% 100.00% 90.00% Minimum Pass 2 (b) Unsecured Senior Loans, Second Lien Loans, Mezzanine Obligations, High Yield Bonds and First Lien - - - 10.00% Maximum Pass Last Out Loans 3 (c)(i) Single Obligor Concentration of Collateral Obligations (Largest Obligor) 2.24% 2.00% 1.87% 3.00% Maximum Pass 4 (c)(ii)(i) Single Obligor Concentration of Secured Senior Loans and Secured Senior Notes (Largest 2.24% 2.00% 1.87% 3.00% Maximum Pass Obligor) 5 (c)(ii)(ii) Single Obligor Concentration of Secured Senior Loans and Secured Senior Notes (Fourth Largest 1.86% 1.72% 1.70% 2.50% Maximum Pass Obligor) 6 (c)(iii) Single Obligor Concentration of Non Secured Senior Loans and Secured Senior Notes (Largest - - - 1.50% Maximum Pass Obligor) 7 (d) Single Obligor Concentration of Collateral Obligations (aggregate of 10 Largest Obligors) 17.94% 16.84% 16.46% 20.00% Maximum Pass 8 (e) Non-Euro Obligations 8.56% 9.64% 8.52% 20.00% Maximum Pass 9 (f) Participations - 0.69% 0.69% 5.00% Maximum Pass 10 (g) Current Pay Obligations - - - 5.00% Maximum Pass 11 (h) Revolving Obligations or Delayed Drawdown Obligations - - - 5.00% Maximum Pass 12 (i) Fitch CCC Obligations 1.69% 4.00% 3.99% 7.50% Maximum Pass 13 (j) Moody's Caa Obligations 1.00% 1.82% 1.82% 7.50% Maximum Pass 14 (k) Bridge Loans - - - 3.00% Maximum Pass 15 (l) Corporate Rescue Loans - - - 5.00% Maximum Pass 16 (m) PIK Securities - - - 5.00% Maximum Pass 17 (n) Fixed Rate Collateral Debt Obligations - 1.50% 1.12% 10.00% Maximum Pass 18 (o)(i) Fitch Industry Concentration (Largest Industry) 10.48% 10.50% 11.49% 17.50% Maximum Pass 19 (o)(ii) Fitcth Industry Concentration (Aggregate of 3 Largest Industries) 29.06% 28.93% 29.89% 40.00% Maximum Pass 20 (p) Obligors who are Domiciled in countries or jurisdictions with a country ceiling rating below "AAA" by 7.71% 7.30% 7.38% 10.00% Maximum Pass Fitch 21 (q) Obligors who are Domiciled in countries with a Moody's local currency country risk ceiling rating - - - 10.00% Maximum Pass between "A1" and "A3" 22 (r) Cov-Lite loans 4.83% 4.82% 5.19% 20.00% Maximum Pass 23 (s) Portfolio Companies - - - 20.00% Maximum Pass 24 (t) Collateral Debt Obligations whose Moody's Rating is derived from an S&P Rating - - - 10.00% Maximum Pass 25 (u)(i) Third Party Credit Exposure - Individual Moody's rated at or below Aaa - 0.69% 0.69% 5.00% Maximum Pass 26 (u)(ii) Third Party Credit Exposure - Aggregate Moody's rated at or below Aaa - 0.69% 0.69% 5.00% Maximum Pass 27 (u)(iii) Third Party Credit Exposure - Individual Moody's rated at or below Aa1 - 0.69% 0.69% 5.00% Maximum Pass 28 (u)(iv) Third Party Credit Exposure - Aggregate Moody's rated at or below Aa1 - 0.69% 0.69% 5.00% Maximum Pass 29 (u)(v) Third Party Credit Exposure - Individual Moody's rated at or below Aa2 - 0.69% 0.69% 5.00% Maximum Pass

Portfolio Profile Tests Summary

Test Effective Number Description Date Prior Current Trigger Max / Min Result 30 (u)(vi) Third Party Credit Exposure - Aggregate Moody's rated at or below Aa2 - 0.69% 0.69% 5.00% Maximum Pass 31 (u)(vii) Third Party Credit Exposure - Individual Moody's rated at or below Aa3 - 0.69% 0.69% 5.00% Maximum Pass 32 (u)(viii) Third Party Credit Exposure - Aggregate Moody's rated at or below Aa3 - 0.69% 0.69% 5.00% Maximum Pass 33 (u)(ix) Third Party Credit Exposure - Individual Moody's rated at or below A1 - 0.69% 0.69% 5.00% Maximum Pass 34 (u)(x) Third Party Credit Exposure - Aggregate Moody's rated at or below A1 - 0.69% 0.69% 5.00% Maximum Pass 35 (u)(xi) Third Party Credit Exposure - Individual Moody's rated at or below A2 and P1 - - - 5.00% Maximum Pass 36 (u)(xii) Third Party Credit Exposure - Aggregate Moody's rated at or below A2 and P-1 - - - 5.00% Maximum Pass 37 (u)(xiii) Third Party Credit Exposure - Individual Moody's rated A3 or below - - - 0.00% Maximum Pass 38 (u)(xiv) Third Party Credit Exposure - Aggregate Moody's rated A3 or below - - - 0.00% Maximum Pass 39 (u)(xv) Third Party Credit Exposure - Individual Fitch rated at or below AAA - 0.69% 0.69% 5.00% Maximum Pass 40 (u)(xvi) Third Party Credit Exposure - Aggregate Fitch rated at or below AAA - 0.69% 0.69% 5.00% Maximum Pass 41 (u)(xvii) Third Party Credit Exposure - Individual Fitch rated at or below AA+ - 0.69% 0.69% 5.00% Maximum Pass 42 (u)(xviii) Third Party Credit Exposure - Aggregate Fitch rated at or below AA+ - 0.69% 0.69% 5.00% Maximum Pass 43 (u)(xix) Third Party Credit Exposure - Individual Fitch rated at or below AA - 0.69% 0.69% 5.00% Maximum Pass 44 (u)(xx) Third Party Credit Exposure - Aggregate Fitch rated at or below AA - 0.69% 0.69% 5.00% Maximum Pass 45 (u)(xxi) Third Party Credit Exposure - Individual Fitch rated at or below AA- - 0.69% 0.69% 5.00% Maximum Pass 46 (u)(xxii) Third Party Credit Exposure - Aggregate Fitch rated at or below AA- - 0.69% 0.69% 5.00% Maximum Pass 47 (u)(xxiii) Third Party Credit Exposure - Individual Fitch rated at or below A+ - 0.69% 0.69% 5.00% Maximum Pass 48 (u)(xxiv) Third Party Credit Exposure - Aggregate Fitch rated at or below A+ - 0.69% 0.69% 5.00% Maximum Pass 49 (u)(xxv) Third Party Credit Exposure - Individual Fitch rated at or below A - - - 5.00% Maximum Pass 50 (u)(xxvi) Third Party Credit Exposure - Aggregate Fitch rated at or below A - - - 5.00% Maximum Pass 51 (u)(xxvii) Third Party Credit Exposure - Individual Fitch rated A- or below - - - 0.00% Maximum Pass 52 (u)(xxviii) Third Party Credit Exposure - Aggregate Fitch rated A- or below - - - 0.00% Maximum Pass

Eligible Investments (Assets)

Security ID Issue/Facility Name Annual Interest Rate Principal Balance Maturity Date

Totals: 0

Assets Purchased

Trade Principal Accrued Total Affiliated Settlement Security I.D. Issue/Facility Name Transaction Motivation Date Currency Par Amount Price Proceeds Interest Amount Seller Date BL0369068 Arena T/L B2A Addl. Collateral Security 08-May-17 EUR 1,832,822.83 98.00 1,796,166.37 - 1,796,166.37 BL0371411 Arena T/L B3A Addl. Collateral Security 08-May-17 EUR 159,349.95 98.00 156,162.95 - 156,162.95 BL0371429 Arena T/L B4A Addl. Collateral Security 08-May-17 EUR 812,863.78 98.00 796,606.50 - 796,606.50 AM9239667 ARWLN Float 04/01/25 Corp Addl. Collateral Security 26-Apr-17 EUR 2,000,000.00 100.13 2,002,500.00 4,791.67 2,007,291.67 28-Apr-17 BL0456402 Ineos Finance T/L 2022 New Addl. Collateral Security 08-May-17 EUR 1,500,000.00 100.88 1,513,125.00 - 1,513,125.00 BL0466260 Materis Chryso EUR T/L NEW Addl. Collateral Security 19-Apr-17 EUR 4,000,000.00 99.00 3,960,000.00 - 3,960,000.00 BL0466070 Rhodia Acetow Term Loan B Addl. Collateral Security 21-Apr-17 EUR 3,000,000.00 99.00 2,970,000.00 - 2,970,000.00 BL0460412 Western Digital Technologies Inc T/L Addl. Collateral Security 09-May-17 EUR 2,109,036.06 100.50 2,119,581.24 - 2,119,581.24 B2 (NEW)

Totals: 8 15,414,072.62 15,314,142.06 4,791.67 15,318,933.73

Assets Sold

Trade Principal Accrued Total Affiliated Settlement Security I.D. Issue/Facility Name Transaction Motivation Date Currency Par Amount Price Proceeds Interest Amount Purchaser Date EK8758220 INEGRP 4 05/01/23 Corp Discretionary 08-May-17 EUR 1,000,000.00 104.13 1,041,250.00 1,000.00 1,042,250.00 10-May-17

EK8758220 INEGRP 4 05/01/23 Corp Discretionary 08-May-17 EUR 500,000.00 104.13 520,625.00 500.00 521,125.00 10-May-17

BL0380818 Materis Chryso Discretionary 19-Apr-17 EUR 3,000,000.00 100.00 3,000,000.00 - 3,000,000.00

BL0462855 SFR Group (Numericable / YPSO) Credit Improved 10-May-17 EUR 1,500,000.00 100.50 1,507,500.00 - 1,500,000.00

Total: 4 6,000,000.00 6,069,375.00 1,500.00 6,063,375.00 - %

Current Asset Characteristics - Part I

Fitch Moody's Recovery Recovery Market Security I.D. ISIN/LoanX ID Issue/Facility Name Currency Principal Balance Floor Spread Coupon PIK Rate Asset Type Rate Rate Value Maturity Date BL0380917 LX139191 Aenova Term Loan EUR 5,000,000.00 1.00 4.00 5.00 - Secured Senior Loan 44.00 50.00 97.389 29-Sep-20 EK5894564 XS1137507239 Alize Finco PLC EUR 3,000,000.00 1.00 5.50 6.50 - Secured Senior Note 50.00 25.00 101.000 01-Dec-21 BL0459448 LX160897 Amaya Initial 2017 Euro Term Loan EUR 5,865,451.15 0.00 3.75 3.75 - Secured Senior Loan 100.00 50.00 100.531 01-Aug-21 (NEW) BL0407819 LX146944 Amedes TL B EUR 4,500,000.00 0.00 4.75 4.75 - Secured Senior Loan 66.00 45.00 99.775 19-Aug-22 BL0369068 LX136408 Arena T/L B2A EUR 1,832,822.83 0.00 5.75 5.75 - Secured Senior Loan 79.00 50.00 99.500 26-Feb-21 BL0371411 LX136410 Arena T/L B3A EUR 159,349.95 0.00 5.75 5.75 - Secured Senior Loan 79.00 50.00 99.500 26-Feb-21 BL0371429 LX136413 Arena T/L B4A EUR 812,863.78 0.00 5.75 5.75 - Secured Senior Loan 79.00 50.00 99.500 26-Feb-21 BL0459802 LX161096 Armacell EUR T/L B3 EUR 4,933,253.02 0.00 3.50 3.50 - Secured Senior Loan 63.00 50.00 100.521 28-Feb-23 AM9239667 XS1533918824 ARWLN Float 04/01/25 Corp EUR 4,500,000.00 0.00 2.88 2.88 - Secured Senior Note 40.00 35.00 100.000 01-Apr-25 BL0435307 LX154407 Atos Medical EUR 2,000,000.00 0.00 4.00 4.00 - Secured Senior Loan 64.00 50.00 100.250 20-Jul-23 BL0398851 LX141736 Autobar 10/14 Super Senior EUR 2,997,276.69 0.00 5.00 5.00 - Secured Senior Loan 100.00 60.00 100.500 31-Oct-19 BL0449902 LX134952 Axalta Coating System T/L B EUR EUR 2,361,170.88 0.75 2.25 3.00 - Secured Senior Loan 100.00 60.00 100.980 01-Feb-23 BL0422180 LX160115 B&B T/L EUR 3,083,333.00 0.00 4.25 4.25 - Secured Senior Loan 65.00 45.00 101.125 14-Mar-23 BL0436289 LX159199 Beauty Holding T/L B15(formerly B8) EUR 422,128.33 0.00 3.75 3.75 - Secured Senior Loan 64.00 50.00 100.990 13-Aug-22 BL0436503 LX160534 Beauty Holding T/L B16 (formerly B9) EUR 257,221.53 0.00 3.75 3.75 - Secured Senior Loan 64.00 50.00 100.990 13-Aug-22 BL0436529 LX160535 Beauty Holding T/L B17(Formerly EUR 441,004.31 0.00 3.75 3.75 - Secured Senior Loan 64.00 50.00 100.990 13-Aug-22 B10) BL0436537 LX160536 Beauty Holding T/L B18 (formerly EUR 292,787.48 0.00 3.75 3.75 - Secured Senior Loan 64.00 50.00 100.990 13-Aug-22 B11) BL0436545 LX160537 Beauty Holding T/L B19(formerly EUR 65,063.89 0.00 3.75 3.75 - Secured Senior Loan 64.00 50.00 100.990 13-Aug-22 B12) BL0436552 LX160538 Beauty Holding T/L B20(formerly EUR 335,867.16 0.00 3.75 3.75 - Secured Senior Loan 64.00 50.00 100.990 13-Aug-22 B13) BL0436560 LX160539 Beauty Holding T/L B21(formerly EUR 185,927.30 0.00 3.75 3.75 - Secured Senior Loan 64.00 50.00 100.990 13-Aug-22 B14) BL0437808 LX154417 Bilfinger Term Loan B2 (Silenus) EUR 571,428.57 0.00 5.25 5.25 - Secured Senior Loan 53.00 45.00 100.550 01-Sep-23 BL0464869 LX162466 BMC Software (4/17) (EUR) T/L EUR 2,395,916.68 0.00 4.50 4.50 - Secured Senior Loan 72.00 60.00 100.771 12-Sep-22 BL0399420 LX144153 Busy Bees Nurseries T/L B (GBP) GBP 3,539,500.00 - 4.06 4.06 - Secured Senior Loan 49.00 50.00 100.188 12-May-22 BL0379836 LX139256 Capsugel Euro Term Loan EUR 4,000,000.00 1.00 2.75 3.75 - Secured Senior Loan 100.00 60.00 100.141 31-Jul-21 BL0372237 LX137083 Car Trawler T/L B EUR 1,375,575.94 0.00 4.00 4.00 - Secured Senior Loan 57.00 50.00 99.000 29-Apr-21 BL0373078 LX137091 Catalent Pharma T/L B EUR EUR 2,917,542.30 1.00 2.50 3.50 - Secured Senior Loan 100.00 50.00 100.922 20-May-21 BL0369332 LX135736 Ceva Sante Animale T/L B EUR 4,500,000.00 0.75 3.00 3.75 - Secured Senior Loan 53.00 45.00 101.125 30-Jun-21 BL0462673 LX161997 Chemours Company T/L B1 EUR 1,958,541.07 0.75 2.25 3.00 - Secured Senior Loan 100.00 60.00 100.531 12-May-22 BL0399305 LX144636 Club Mediterranee 3/15 Holdco T/L B EUR 5,326,029.97 0.00 5.00 5.00 - Secured Senior Loan 73.00 45.00 99.375 18-Feb-22 BL0435521 LX153899 Coherent Holding T/L B EUR 1,900,447.76 0.75 2.25 3.00 - Secured Senior Loan 95.00 45.00 100.854 07-Nov-23 BL0413379 LX148270 Concordia Health T/L B USD 2,657,608.04 - 3.50 3.50 - Secured Senior Loan 73.00 60.00 69.813 21-Oct-21 BL0413296 LX148271 Concordia Healthcare T/L B GBP 2,676,783.75 - 4.36 4.36 - Secured Senior Loan 73.00 60.00 100.972 21-Oct-21

Current Asset Characteristics - Part I

Fitch Moody's Recovery Recovery Market Security I.D. ISIN/LoanX ID Issue/Facility Name Currency Principal Balance Floor Spread Coupon PIK Rate Asset Type Rate Rate Value Maturity Date BL0383457 LX140920 Cool International Holding B2 EUR 2,255,864.28 0.00 4.25 4.25 - Secured Senior Loan 56.00 50.00 100.643 19-Nov-20 BL0356719 LX133726 CPA Global T/L B EUR 3,400,000.00 1.00 3.00 4.00 - Secured Senior Loan 55.00 45.00 100.725 03-Dec-20 BL0418014 LX149492 David Lloyd T/L B2 EUR 2,000,000.00 1.00 5.00 6.00 - Secured Senior Loan 80.00 50.00 99.500 08-Dec-22 BL0446643 LX155879 De Master Blenders T/L A3 (Jacobs EUR 4,750,000.00 0.00 2.25 2.25 - Secured Senior Loan 74.00 45.00 100.153 02-Nov-21 Douwe Egberts) BL0467060 LX163472 DE Master Blenders T/L B New EUR 1,118,866.17 0.75 2.00 2.75 - Secured Senior Loan 74.00 45.00 100.153 01-Jul-22 BL0375008 LX137333 Deoleo Term Loan EUR 2,000,000.00 1.00 3.50 4.50 - Secured Senior Loan 46.00 45.00 74.361 11-Jun-21 BL0407926 LX136030 Diaverum Holding Facility B2 Lux EUR 2,447,784.98 0.00 3.50 3.50 - Secured Senior Loan 55.00 50.00 99.893 01-Apr-21 BL0407934 LX137002 Diaverum Holding France B2 France EUR 677,215.02 0.00 3.50 3.50 - Secured Senior Loan 55.00 50.00 99.893 01-Apr-21 BL0459745 LX161434 Eircom Holdings (NEW) EUR 5,000,000.00 0.00 3.25 3.25 - Secured Senior Loan 60.00 45.00 100.613 15-Mar-24 BL0449944 LX157816 Equinix T/L B EUR EUR 2,500,000.00 0.00 3.25 3.25 - Secured Senior Loan 95.00 50.00 100.911 05-Jan-24 BL0458838 LX160780 Ethypharm New T/L EUR 1,916,667.00 0.00 3.50 3.50 - Secured Senior Loan 66.00 45.00 100.875 21-Jul-23 BL0444911 LX155859 EURO Garages Incremental - C2 EUR 6,500,000.00 0.00 5.00 5.00 - Secured Senior Loan 51.00 45.00 100.333 31-Jan-23 BL0442428 LX155290 Evry T/L B4 EUR 2,500,000.00 0.00 4.00 4.00 - Secured Senior Loan 60.00 45.00 100.188 13-Mar-22 BL0400277 LX133459 Exopack T/L B-1 EUR 5,191,516.80 1.00 3.50 4.50 - Secured Senior Loan 61.00 50.00 75.000 08-May-19 BL0462616 Famar T/L B New EUR 5,263,380.23 0.00 2.00 5.00 - Secured Senior Loan 33.00 50.00 75.000 08-Mar-22 BL0445181 LX155530 First Data 2021 New Euro Term Loan EUR 1,187,251.16 - 3.00 2.60 - Secured Senior Loan 95.00 50.00 100.469 24-Mar-21 BL0442675 LX155393 Flakt Woods (new) EUR 3,000,000.00 0.00 5.00 5.00 - Secured Senior Loan 63.00 45.00 99.531 12-Oct-23 BL0401051 LX144751 Flint T/L B-3 EUR 1,372,000.00 0.75 3.00 3.75 - Secured Senior Loan 57.00 45.00 100.523 07-Sep-21 BL0309080 LX143866 Fraikin Secondopco EUR 942,507.07 0.00 5.00 4.73 - Secured Senior Loan 90.00 50.00 97.000 05-Sep-17 BL0379745 LX139056 GHD Term Loan EUR 3,500,000.00 1.00 3.00 4.00 - Secured Senior Loan 64.00 45.00 100.357 27-Aug-21 BL0376352 LX138158 Giannoni T/L B (Sermeta) T/L B EUR 2,688,700.35 - 3.75 3.42 - Secured Senior Loan 73.00 50.00 99.750 05-Jun-21 BL0458887 LX161094 GVC T/L EUR 2,159,090.91 0.00 3.25 3.25 - Secured Senior Loan 70.00 45.00 100.375 02-Mar-23 BL0430316 LX152965 Hotelbeds TL B EUR 2,800,000.00 0.00 6.25 6.25 - Secured Senior Loan 56.00 45.00 100.875 12-Sep-23 EK3729952 XS1087775240 ICELTD FLOAT 07/15/20 GBP 5,275,000.00 - 3.50 3.50 - Secured Senior Note 53.00 35.00 100.126 15-Jul-20 BL0381261 LX139251 ICS Term B GBP 3,626,755.91 - 4.11 4.11 - Secured Senior Loan 69.00 45.00 99.375 08-Jul-21 BL0456402 LX160309 Ineos Finance T/L 2022 New EUR 7,358,004.95 0.75 2.50 3.25 - Secured Senior Loan 70.00 50.00 100.681 31-Mar-22 BL0455230 LX159914 Infor (Lawson) T/L B1 EUR 3,000,000.00 1.00 2.75 3.75 - Secured Senior Loan 93.00 60.00 100.542 01-Feb-22 BL0464414 LX162963 Inovyn Finance 2024 Tranche B EUR EUR 1,985,025.00 0.75 3.00 3.75 - Secured Senior Loan 64.00 45.00 100.828 15-May-24 T/L BL0437212 LX147780 ION Trading B-1 Euro T/L (NEW) EUR 5,544,576.32 1.00 2.75 3.75 - Secured Senior Loan 56.00 45.00 100.813 11-Aug-23 BL0441503 LX155222 Keter Group TL B EUR 2,300,000.00 1.00 4.25 5.25 - Secured Senior Loan 56.00 45.00 100.600 31-Oct-23 AL1055311 XS1516322200 LABFP Float 07/01/22 EUR 4,500,000.00 0.00 3.50 3.50 - Secured Senior Note 60.00 35.00 101.550 01-Jul-22 EK4113867 XS1094672273 LINDOR Float 08/15/20 EUR 5,000,000.00 0.00 5.50 5.50 - Secured Senior Note 35.00 45.00 100.010 15-Aug-20 BL0448235 LX157015 MacDermid T/L C4 EUR 1,990,000.00 1.00 3.25 4.25 - Secured Senior Loan 100.00 45.00 100.518 07-Jun-20 BL0466245 LX162203 MacDermid T/L C5 EUR 2,419,048.90 0.75 2.75 3.50 - Secured Senior Loan 100.00 45.00 100.431 07-Jun-23

Current Asset Characteristics - Part I

Fitch Moody's Recovery Recovery Market Security I.D. ISIN/LoanX ID Issue/Facility Name Currency Principal Balance Floor Spread Coupon PIK Rate Asset Type Rate Rate Value Maturity Date BL0466260 LX162175 Materis Chryso EUR T/L NEW EUR 4,000,000.00 0.00 4.00 4.00 - Secured Senior Loan 57.00 45.00 100.250 21-Apr-24 BL0380768 LX140038 Materis Paints T/L B EUR 4,000,000.00 0.00 4.75 4.75 - Secured Senior Loan 58.00 45.00 100.250 13-Aug-21 AM7964225 XS1580388384 MATTER Float 02/01/23 EUR 1,333,000.00 0.00 3.25 3.25 - Secured Senior Note 56.00 35.00 100.125 01-Feb-23 BL0407181 LX147068 Maxeda Facility E1 EUR 1,250,000.00 1.00 6.00 7.00 - Secured Senior Loan 67.00 45.00 98.703 28-Jun-19 BL0407199 LX147069 Maxeda Facility E2 EUR 2,000,000.00 1.00 6.00 7.00 - Secured Senior Loan 67.00 45.00 98.703 28-Jun-19 BL0449332 LX157178 MRH T/L B1 GBP GBP 1,773,750.00 - 4.25 4.25 - Secured Senior Loan 63.00 45.00 101.167 14-Dec-23 BL0449522 LX157179 MRH T/L B2 (LSF9 Robin EUR 2,200,000.00 0.00 4.00 4.00 - Secured Senior Loan 63.00 45.00 101.167 14-Dec-23 Investments Ltd) BL0462681 LX161320 Newco Sab Bidco T/L B (Cerba) EUR 4,000,000.00 0.00 3.00 3.00 - Secured Senior Loan 52.00 50.00 99.750 21-Mar-24 EK9646549 XS1248517341 NEWLOK Float 07/01/22 Corp EUR 4,315,000.00 0.00 4.50 4.50 - Secured Senior Note 60.00 45.00 87.103 01-Jul-22 BL0392383 LX142996 Northgate B GBP GBP 6,250,000.50 - 4.98 4.98 - Secured Senior Loan 47.00 45.00 87.500 19-Jan-22 BL0453490 LX157661 Numericable Incremental T/L B10 EUR 344,474.66 0.75 3.00 3.75 - Secured Senior Loan 85.00 45.00 100.391 14-Jan-25 (10/16) BL0444937 LX155720 Numericable Refinancing T/L B10 EUR 1,645,525.34 0.75 3.00 3.75 - Secured Senior Loan 85.00 45.00 100.391 14-Jan-25 QZ7663763 XS1504057008 NWGLOV 7 15/10/2023 Corp EUR 4,500,000.00 - - 7.00 - Secured Senior Note 54.00 35.00 105.473 15-Oct-23 BL0449472 LX157594 Oberthur T/L B1 EUR 765,342.96 0.00 3.75 3.75 - Secured Senior Loan 75.00 45.00 101.272 15-Dec-23 BL0451262 LX158095 Oberthur TL B2 EUR 1,234,657.04 0.00 3.75 3.75 - Secured Senior Loan 75.00 45.00 100.528 15-Dec-23 BL0462343 LX161834 OGF T/L B (03/17) EUR 858,427.65 0.00 3.75 3.75 - Secured Senior Loan 55.00 45.00 101.141 11-Apr-23 BL0381279 LX139695 Orion Engineered Term Loan EUR 2,637,239.14 0.75 2.75 3.50 - Secured Senior Loan 64.00 45.00 100.589 23-Jul-21 BL0459463 LX161205 Parex T/L B EUR 4,000,000.00 0.00 3.50 3.50 - Secured Senior Loan 56.00 45.00 100.319 13-Mar-24 BL0462772 LX162254 Paroc Term Loan B1 EUR 2,643,678.16 0.00 4.25 4.25 - Secured Senior Loan 51.00 45.00 100.107 31-Mar-24 BL0463333 LX162261 Paroc Term Loan B2 EUR 2,356,321.84 0.00 4.25 4.25 - Secured Senior Loan 51.00 45.00 100.107 28-Mar-24 BL0463382 LX162395 Patheon T/L New EUR 6,819,764.45 1.00 3.00 4.00 - Secured Senior Loan 100.00 45.00 101.063 11-Apr-24 BL0402653 LX144818 Penn Engineering T/L C Incremental EUR 2,500,120.18 1.00 3.00 4.00 - Secured Senior Loan 100.00 45.00 101.208 30-Aug-21 AL1214330 XS1518689598 PERHOL FLOAT 06/30/21 EUR 4,750,000.00 0.00 7.63 7.63 - Secured Senior Note 64.00 45.00 103.532 30-Jun-21 BL0451841 LX158354 PHS Group Limited A1 GBP 1,407,541.37 - 4.61 4.61 - Secured Senior Loan 70.00 45.00 101.272 20-Dec-21 BL0374597 LX137634 Project Amaretto Term Loan EUR 4,521,739.14 0.00 5.50 5.50 - Secured Senior Loan 40.00 50.00 99.250 05-Jun-19 BL0459026 LX160895 Quintiles IMS T/L B-1 (EUR) EUR 2,912,274.26 0.75 2.00 2.75 - Secured Senior Loan 95.00 50.00 100.813 07-Mar-24 BL0401184 LX144512 Ranpak Tranche B1 EUR 1,539,631.74 1.00 3.25 4.25 - Secured Senior Loan 82.00 50.00 100.500 01-Oct-21 BL0466070 LX162763 Rhodia Acetow Term Loan B EUR 3,000,000.00 1.00 4.75 5.75 - Secured Senior Loan 43.00 45.00 101.000 21-Apr-23 BL0374290 LX137408 Rodenstock T/L B ext EUR 3,500,000.00 - 4.50 4.13 - Secured Senior Loan 68.00 50.00 96.000 30-May-19 BL0357048 LX133835 SAM Finance Term Loan EUR 2,000,000.00 1.00 3.50 4.50 - Secured Senior Loan 40.00 45.00 100.625 17-Dec-20 BL0420531 LX150738 Saverglass Term Loan EUR 2,000,000.00 0.00 3.50 3.50 - Secured Senior Loan 71.00 45.00 100.063 17-Mar-23 BL0463481 LX139399 Sebia T/L B3A New EUR 107,133.71 0.00 3.50 3.50 - Secured Senior Loan 60.00 50.00 99.750 17-Dec-21 BL0452971 LX142742 Sebia T/L B3B EUR 1,395,345.44 0.00 3.50 3.50 - Secured Senior Loan 60.00 50.00 99.750 17-Dec-21

Current Asset Characteristics - Part I

Fitch Moody's Recovery Recovery Market Security I.D. ISIN/LoanX ID Issue/Facility Name Currency Principal Balance Floor Spread Coupon PIK Rate Asset Type Rate Rate Value Maturity Date BL0462855 LX162008 SFR Group (Numericable / YPSO / EUR 4,500,000.00 0.00 3.00 3.00 - Secured Senior Loan 85.00 45.00 100.200 31-Jul-25 Altice) T/L B11 BL0459455 LX160224 Siemens T/L B6 EUR 1,210,271.97 0.00 3.50 3.50 - Secured Senior Loan 69.00 50.00 101.083 17-Jan-22 BL0392680 LX143111 SIG Combibloc T/L EUR 5,899,698.50 0.00 3.75 3.75 - Secured Senior Loan 61.00 50.00 100.925 13-Mar-22 BL0450421 LX158054 Signode Industrial T/L B2 EUR 2,056,069.87 1.00 3.00 4.00 - Secured Senior Loan 62.00 50.00 100.542 01-May-21 BL0456683 LX142977 Sky Bet T/L GBP 6,887,250.00 - 4.51 4.51 - Secured Senior Loan 76.00 45.00 100.972 25-Feb-22 BL0449811 LX157317 SLV New T/L EUR 3,000,000.00 0.00 4.25 4.25 - Secured Senior Loan 53.00 45.00 100.563 03-Jan-24 QZ9789210 XS1513692357 SNAIM Float 07/11/21 Corp EUR 2,500,000.00 0.00 6.00 6.00 - Secured Senior Note 53.00 35.00 103.500 07-Nov-21 BL0377871 LX138124 Solenis Term Loan EUR 4,143,750.00 1.00 3.50 4.50 - Secured Senior Loan 95.00 50.00 101.500 31-Jul-21 BL0422347 LX151195 Solera Finance T/L B EUR 4,987,125.00 0.75 3.00 3.75 - Secured Senior Loan 100.00 60.00 101.300 28-Feb-23 BL0415283 LX149311 Solina T/L B2 EUR 2,000,000.00 0.00 4.75 4.75 - Secured Senior Loan 47.00 45.00 100.417 16-Dec-22 BL0460529 LX161339 Styrolution (Ineos) T/L B (03/17) EUR 997,499.67 0.75 2.50 3.25 - Secured Senior Loan 95.00 45.00 100.847 08-Mar-24 BL0415457 LX149082 Swissport Investments T/L B EUR 5,500,000.00 1.00 5.25 6.25 - Secured Senior Loan 60.00 60.00 101.102 09-Feb-22 BL0461642 LX161574 Tackle Sarl Facility B EUR 5,000,000.00 0.00 3.50 3.50 - Secured Senior Loan 51.00 45.00 100.297 08-Aug-22 BL0457392 LX160114 Tekni-Plex T/L B-2 (2017 EUR 1,719,440.62 0.00 3.75 3.75 - Secured Senior Loan 73.00 45.00 100.594 01-Jun-22 Refinancing) BL0463911 LX162328 Telenet T/L AH EUR 5,000,000.00 0.00 3.00 3.00 - Secured Senior Loan 80.00 45.00 100.550 31-Mar-26 BL0413429 LX147761 Ten Cate EUR T/L B EUR 2,000,000.00 1.00 3.25 4.25 - Secured Senior Loan 70.00 50.00 100.333 27-Jan-23 BL0432593 LX153379 Terreal Term Loan B EUR 2,000,000.00 0.00 5.75 5.75 - Secured Senior Loan 70.00 50.00 100.000 30-Jun-22 BL0403883 LX145316 TI Automotive Initial Term Loan EUR 1,970,000.00 0.75 3.00 3.75 - Secured Senior Loan 76.00 60.00 100.475 30-Jun-22 BL0371353 LX136531 Tinagen T/L B EUR 4,236,867.93 0.00 3.50 3.50 - Secured Senior Loan 51.00 50.00 100.547 30-Apr-21 BL0468464 LX163280 Triangle T/L (4/17) EUR 1,428,571.43 0.00 4.50 4.50 - Secured Senior Loan 53.00 45.00 100.580 01-Sep-23 BL0402638 LX161986 Unifrax Term Loan B new EUR 3,000,000.00 0.00 4.00 4.00 - Secured Senior Loan 100.00 45.00 100.688 04-Apr-24 BL0461063 LX161584 Unilabs Diagnostics T/L B2 EUR 2,000,000.00 0.00 3.00 3.00 - Secured Senior Loan 57.00 50.00 99.443 21-Mar-24 BL0403636 LX142370 United Biscuits Term Loan B2 EUR 1,668,212.67 0.00 3.75 3.75 - Secured Senior Loan 81.00 45.00 100.386 19-Nov-21 BL0448375 LX157074 UPC T/L B EUR 4,000,000.00 0.00 3.00 3.00 - Secured Senior Loan 70.00 45.00 100.500 15-Jan-26 BL0401267 LX144621 Valeo T/L B EUR 4,000,000.00 0.00 4.00 4.00 - Secured Senior Loan 76.00 50.00 100.417 06-May-22 BL0456915 LX146849 Vedici T/L B2 EUR 1,500,000.00 0.00 3.75 3.75 - Secured Senior Loan 53.00 45.00 100.828 30-Oct-22 BL0452807 LX153197 Verallia T/L B3 EUR 5,000,000.00 0.00 3.75 3.75 - Secured Senior Loan 41.00 45.00 100.594 22-Dec-22 BL0422339 LX151049 Vermaat Groep T/L B EUR 2,000,000.00 0.00 4.50 4.50 - Secured Senior Loan 58.00 50.00 100.250 19-Dec-22 BL0439010 LX154739 Wall Street Systems EUR Term EUR 943,757.54 1.00 3.25 4.25 - Secured Senior Loan 62.00 45.00 100.500 28-Aug-23 Loans BL0460412 LX161282 Western Digital Technologies Inc T/L EUR 3,969,997.00 0.75 2.00 2.75 - Secured Senior Loan 95.00 45.00 100.500 29-Apr-23 B2 (NEW) BL0396103 LX143627 Wind T/L New EUR 1,150,154.40 0.00 4.25 4.25 - Secured Senior Loan 80.00 50.00 100.278 26-Nov-19 EK8047053 XS1204622960 WINDIM Float 07/15/2020 Corp EUR 5,000,000.00 0.00 4.13 4.13 - Secured Senior Note 80.00 45.00 100.450 15-Jul-20 BL0454613 LX159274 Xella T/L B EUR 7,500,000.00 0.00 4.00 4.00 - Secured Senior Loan 52.00 45.00 100.588 03-Feb-24

Current Asset Characteristics - Part I

Fitch Moody's Recovery Recovery Market Security I.D. ISIN/LoanX ID Issue/Facility Name Currency Principal Balance Floor Spread Coupon PIK Rate Asset Type Rate Rate Value Maturity Date BL0458747 LX160219 Yellow Maple T/L 5 EUR 2,906,249.26 0.00 3.50 3.50 - Secured Senior Loan 59.00 45.00 100.500 23-Sep-21 BL0454134 LX159376 Ziggo T/L F (EUR) EUR 6,000,000.00 0.00 3.00 3.00 - Secured Senior Loan 92.00 45.00 100.557 15-Apr-25

Totals: 134 391,270,033.87

Current Asset Characteristics - Part II

Security I.D. ISIN/LoanX ID Obligor Issue/Facility Name Country Fitch Industry Classification Moody's Industry Classification BL0446643 LX155879 Acorn B.V. De Master Blenders T/L A3 (Jacobs United States Food, Beverage and Tobacco Beverage, Food & Tobacco Douwe Egberts) BL0467060 LX163472 Acorn B.V. DE Master Blenders T/L B New United States Food, Beverage and Tobacco Beverage, Food & Tobacco BL0380917 LX139191 Aenova Holding GMBH Aenova Term Loan Germany Pharmaceuticals Healthcare & Pharmaceuticals EK5894564 XS1137507239 Alliance Automotive Group SAS Alize Finco PLC France Automobiles Automotive BL0459448 LX160897 AMAYA GAMING GROUP INC. Amaya Initial 2017 Euro Term Loan Netherlands Gaming, Leisure and Entertainment Hotel, Gaming & Leisure (NEW) BL0407819 LX146944 Amedes Amedes TL B Germany Healthcare Healthcare & Pharmaceuticals BL0392383 LX142996 Argon NPS (Holdings) Limited Northgate B GBP United Kingdom Business Services Services: Business BL0459802 LX161096 Armacell Iberia S.L. aka Foam Inv II Armacell EUR T/L B3 Germany Buildings and Materials Construction & Building AM9239667 XS1533918824 Arrow Global Finance Plc ARWLN Float 04/01/25 Corp United Kingdom Banking and Finance Banking, Finance, Insurance & Real Estate BL0435307 LX154407 Atos Medical Atos Medical Sweden Healthcare Healthcare & Pharmaceuticals BL0449902 LX134952 Axalta Coating Systems Dutch Holding B Axalta Coating System T/L B EUR United States Chemicals Chemicals, Plastics, & Rubber B.V. BL0464869 LX162466 BMC U.S. Co BMC Software (4/17) (EUR) T/L United States Computer and Electronics High Tech Industries BL0422180 LX160115 Build SAS B&B T/L France Lodging and Restaurants Hotel, Gaming & Leisure BL0399420 LX144153 Busy Bees Nurseries Limited Busy Bees Nurseries T/L B (GBP) United Kingdom Consumer Products Services: Consumer BL0379836 LX139256 Capsugel SA Capsugel Euro Term Loan Luxembourg Pharmaceuticals Healthcare & Pharmaceuticals BL0373078 LX137091 Catalent Pharma Solutions, Inc. Catalent Pharma T/L B EUR United States Pharmaceuticals Services: Business BL0369332 LX135736 Ceva Sante Animale Ceva Sante Animale T/L B France Pharmaceuticals Healthcare & Pharmaceuticals BL0462673 LX161997 Chemours Co/The Chemours Company T/L B1 United States Chemicals Chemicals, Plastics, & Rubber BL0466260 LX162175 Chryso Group Holding Materis Chryso EUR T/L NEW France Chemicals Construction & Building BL0435521 LX153899 Coherent Holding GmbH Coherent Holding T/L B United States Industrial/Manufacturing High Tech Industries BL0401051 LX144751 Colouroz Midco Flint T/L B-3 Luxembourg Chemicals Chemicals, Plastics, & Rubber BL0413296 LX148271 Concordia Healthcare Corp. Concordia Healthcare T/L B United States Pharmaceuticals Healthcare & Pharmaceuticals BL0413379 LX148270 Concordia Healthcare Corp. Concordia Health T/L B United States Pharmaceuticals Healthcare & Pharmaceuticals BL0456683 LX142977 Cyan Blue Holdco 3 Sky Bet T/L United Kingdom Gaming, Leisure and Entertainment Hotel, Gaming & Leisure BL0375008 LX137333 Deoleo S.A. Deoleo Term Loan Spain Food, Beverage and Tobacco Beverage, Food & Tobacco BL0418014 LX149492 DEUCE ACQUISITIONS LIMITED David Lloyd T/L B2 United Kingdom Gaming, Leisure and Entertainment Hotel, Gaming & Leisure BL0452971 LX142742 Diacine France SAS Sebia T/L B3B France Healthcare Healthcare & Pharmaceuticals BL0463481 LX139399 Diacine France SAS Sebia T/L B3A New France Healthcare Healthcare & Pharmaceuticals BL0407926 LX136030 Diaverum Holding SARL Diaverum Holding Facility B2 Lux Sweden Healthcare Healthcare & Pharmaceuticals BL0407934 LX137002 Diaverum Holding SARL Diaverum Holding France B2 France Sweden Healthcare Healthcare & Pharmaceuticals BL0371353 LX136531 Dorna Sports S.L. Tinagen T/L B Spain Broadcasting and Media Hotel, Gaming & Leisure BL0463382 LX162395 DPX Holdings B.V Patheon T/L New Netherlands Pharmaceuticals Healthcare & Pharmaceuticals BL0422339 LX151049 Dutch Delight B.V Vermaat Groep T/L B Netherlands Business Services Services: Business BL0459745 LX161434 Eircom Holdings (Ireland) Ltd Eircom Holdings (NEW) Ireland Telecommunications Telecommunications BL0449944 LX157816 Equinix Inc Equinix T/L B EUR United States Telecommunications Telecommunications BL0458838 LX160780 Ethypharm Ethypharm New T/L France Pharmaceuticals Healthcare & Pharmaceuticals BL0383457 LX140920 European Cooling 2 Sarl Cool International Holding B2 Austria Industrial/Manufacturing Capital Equipment BL0400277 LX133459 Exopack Holdings S.A. Exopack T/L B-1 Luxembourg Packaging and Containers Containers, Packaging & Glass BL0374597 LX137634 F.C. Internazionale Milano S.p.A Project Amaretto Term Loan Italy Gaming, Leisure and Entertainment Hotel, Gaming & Leisure BL0462616 LX141831 Famar S.A. Famar T/L B New France Pharmaceuticals Healthcare & Pharmaceuticals BL0445181 LX155530 First Data Corporation First Data 2021 New Euro Term Loan United States Banking and Finance Banking, Finance, Insurance & Real Estate BL0442675 LX155393 Flakt Woods SARL Flakt Woods (new) Luxembourg Industrial/Manufacturing Capital Equipment

Current Asset Characteristics - Part II

Security I.D. ISIN/LoanX ID Obligor Issue/Facility Name Country Fitch Industry Classification Moody's Industry Classification BL0309080 LX143866 Fraikin France Fraikin Secondopco France Automobiles Transportation: Cargo BL0455230 LX159914 GGC Software Holdings, Inc Infor (Lawson) T/L B1 United States Computer and Electronics High Tech Industries BL0379745 LX139056 GHD GesundHeits GmbH Deutschland GHD Term Loan Germany Healthcare Healthcare & Pharmaceuticals BL0458887 LX161094 GVC GVC T/L United Kingdom Gaming, Leisure and Entertainment Hotel, Gaming & Leisure BL0449811 LX157317 HELIOVEN FRANCE S.A.S SLV New T/L Germany Consumer Products Consumer goods: Durable BL0458747 LX160219 Hellios BV Yellow Maple T/L 5 Netherlands Business Services Media: Advertising, Printing & Publishing BL0399305 LX144636 Holding Gaillon II Club Mediterranee 3/15 Holdco T/L B France Lodging and Restaurants Hotel, Gaming & Leisure BL0430316 LX152965 Hotelbeds Hotelbeds TL B Spain Gaming, Leisure and Entertainment Hotel, Gaming & Leisure BL0381261 LX139251 Indigo Cleanco Limited ICS Term B United Kingdom Healthcare Healthcare & Pharmaceuticals BL0456402 LX160309 Ineos Group Holdings PLC Ineos Finance T/L 2022 New United Kingdom Chemicals Chemicals, Plastics, & Rubber BL0464414 LX162963 Inovyn Finance PLC Inovyn Finance 2024 Tranche B EUR United Kingdom Chemicals Chemicals, Plastics, & Rubber T/L BL0444911 LX155859 Intervias Finco Limited EURO Garages Incremental - C2 United Kingdom General Retail Retail BL0437212 LX147780 ION Trading Technologies Limited ION Trading B-1 Euro T/L (NEW) Luxembourg Computer and Electronics Banking, Finance, Insurance & Real Estate BL0441503 LX155222 Keter Group Keter Group TL B Netherlands Consumer Products Consumer goods: Durable BL0436289 LX159199 Kirk Beauty One GMBH Beauty Holding T/L B15(formerly B8) Germany General Retail Retail BL0436503 LX160534 Kirk Beauty One GMBH Beauty Holding T/L B16 (formerly B9) Germany General Retail Retail BL0436529 LX160535 Kirk Beauty One GMBH Beauty Holding T/L B17(Formerly B10) Germany General Retail Retail BL0436537 LX160536 Kirk Beauty One GMBH Beauty Holding T/L B18 (formerly B11) Germany General Retail Retail BL0436545 LX160537 Kirk Beauty One GMBH Beauty Holding T/L B19(formerly B12) Germany General Retail Retail BL0436552 LX160538 Kirk Beauty One GMBH Beauty Holding T/L B20(formerly B13) Germany General Retail Retail BL0436560 LX160539 Kirk Beauty One GMBH Beauty Holding T/L B21(formerly B14) Germany General Retail Retail BL0463911 LX162328 Liberty Global plc Telenet T/L AH Belgium Cable Media: Advertising, Printing & Publishing BL0448375 LX157074 Liberty Global, Inc. UPC T/L B Switzerland Cable Media: Broadcasting & Subscription EK4113867 XS1094672273 Lock AS LINDOR Float 08/15/20 Norway Banking and Finance Banking, Finance, Insurance & Real Estate BL0442428 LX155290 Lyngen Bidco AS Evry T/L B4 Norway Business Services Services: Business BL0380768 LX140038 Materis Paints Materis Paints T/L B France Chemicals Construction & Building AM7964225 XS1580388384 Matterhorn Telecom SA MATTER Float 02/01/23 Switzerland Telecommunications Telecommunications BL0407181 LX147068 Maxeda DIY B.V. Maxeda Facility E1 Netherlands Consumer Products Consumer goods: Durable BL0407199 LX147069 Maxeda DIY B.V. Maxeda Facility E2 Netherlands Consumer Products Consumer goods: Durable BL0398851 LX141736 Meldrew Participations B.V. Autobar 10/14 Super Senior Netherlands Food and Drug Retail Beverage, Food & Tobacco BL0449332 LX157178 MRH MRH T/L B1 GBP United Kingdom General Retail Retail BL0449522 LX157179 MRH MRH T/L B2 (LSF9 Robin Investments United Kingdom General Retail Retail Ltd) BL0372237 LX137083 Mustang Intermediateco Limited Car Trawler T/L B Ireland Gaming, Leisure and Entertainment Services: Business QZ7663763 XS1504057008 N&W Global Vending SPA NWGLOV 7 15/10/2023 Corp Italy Industrial/Manufacturing Consumer goods: Durable EK9646549 XS1248517341 New Look Group PLC NEWLOK Float 07/01/22 Corp United Kingdom General Retail Retail BL0462681 LX161320 NewCO Sab Bidco SAS Newco Sab Bidco T/L B (Cerba) France Healthcare Healthcare & Pharmaceuticals BL0449472 LX157594 Oberthur Technologies Holdings SAS Oberthur T/L B1 France Industrial/Manufacturing High Tech Industries BL0451262 LX158095 Oberthur Technologies Holdings SAS Oberthur TL B2 France Industrial/Manufacturing High Tech Industries BL0381279 LX139695 Orion Engineered Carbons S.a r.l. Orion Engineered Term Loan Germany Chemicals Chemicals, Plastics, & Rubber BL0451841 LX158354 Pacific 3 Limited PHS Group Limited A1 United Kingdom Business Services Services: Business BL0459463 LX161205 Parex Parex T/L B France Buildings and Materials Construction & Building BL0462772 LX162254 Paroc Group Holding OY Paroc Term Loan B1 Finland Buildings and Materials Construction & Building BL0463333 LX162261 Paroc Group Holding OY Paroc Term Loan B2 Finland Buildings and Materials Construction & Building

Current Asset Characteristics - Part II

Security I.D. ISIN/LoanX ID Obligor Issue/Facility Name Country Fitch Industry Classification Moody's Industry Classification BL0402653 LX144818 Penn Engineering & Manufacturing Corp. Penn Engineering T/L C Incremental United States Industrial/Manufacturing Capital Equipment AL1214330 XS1518689598 Perstorp Holding AB PERHOL FLOAT 06/30/21 Sweden Chemicals Capital Equipment BL0462343 LX161834 PHM France Holdco 19 SAS OGF T/L B (03/17) France Environmental Services Environmental Industries BL0448235 LX157015 Platform Specialty Products MacDermid T/L C4 Netherlands Chemicals Chemicals, Plastics, & Rubber BL0466245 LX162203 Platform Specialty Products MacDermid T/L C5 Netherlands Chemicals Chemicals, Plastics, & Rubber BL0369068 LX136408 Polyusus LUX III Sarl Arena T/L B2A Italy Textiles and Furniture Hotel, Gaming & Leisure BL0371411 LX136410 Polyusus LUX III Sarl Arena T/L B3A Italy Textiles and Furniture Hotel, Gaming & Leisure BL0371429 LX136413 Polyusus LUX III Sarl Arena T/L B4A Italy Textiles and Furniture Hotel, Gaming & Leisure BL0459026 LX160895 Quintiles IMS Incorporated Quintiles IMS T/L B-1 (EUR) United States Healthcare Healthcare & Pharmaceuticals BL0401184 LX144512 Ranpak Corp. Ranpak Tranche B1 United States Packaging and Containers Containers, Packaging & Glass BL0356719 LX133726 Redtop Midco Limited CPA Global T/L B Luxembourg Business Services Services: Business BL0466070 LX162763 Rhodia SA Rhodia Acetow Term Loan B Germany Chemicals Chemicals, Plastics, & Rubber BL0374290 LX137408 Rodenstock Rodenstock T/L B ext Germany Healthcare Healthcare & Pharmaceuticals BL0357048 LX133835 Santander Asset Management SAM Finance Term Loan Luxembourg Banking and Finance Banking, Finance, Insurance & Real Estate BL0420531 LX150738 Saverglass SAS Saverglass Term Loan France Packaging and Containers Containers, Packaging & Glass BL0376352 LX138158 Sermeta S.A. Giannoni T/L B (Sermeta) T/L B France Industrial/Manufacturing Capital Equipment BL0444937 LX155720 SFR Group S.A. Numericable Refinancing T/L B10 France Telecommunications Media: Broadcasting & Subscription BL0462855 LX162008 SFR Group S.A. SFR Group (Numericable / YPSO / France Telecommunications Media: Broadcasting & Subscription Altice) T/L B11 BL0453490 LX157661 SFR Group S.A. Numericable Incremental T/L B10 France Telecommunications Media: Broadcasting & Subscription (10/16) BL0459455 LX160224 Siemens Audiology Siemens T/L B6 Luxembourg Healthcare Consumer goods: Non-durable BL0392680 LX143111 Sig Combibloc Holdings SCA SIG Combibloc T/L Switzerland Packaging and Containers Containers, Packaging & Glass BL0450421 LX158054 Signode Industrial Group Holdings US Inc Signode Industrial T/L B2 United States Packaging and Containers Containers, Packaging & Glass QZ9789210 XS1513692357 SNAI S.P.A. SNAIM Float 07/11/21 Corp Italy Gaming, Leisure and Entertainment Hotel, Gaming & Leisure BL0377871 LX138124 Solenis International LP Solenis Term Loan United States Chemicals Chemicals, Plastics, & Rubber BL0422347 LX151195 Solera Holdings Inc Solera Finance T/L B United States Computer and Electronics Banking, Finance, Insurance & Real Estate BL0415283 LX149311 Solina Group SAS Solina T/L B2 France Food, Beverage and Tobacco Beverage, Food & Tobacco EK3729952 XS1087775240 STRETFORD SEVENTY NINE ICELTD FLOAT 07/15/20 United Kingdom Food and Drug Retail Retail BL0460529 LX161339 Styrolution Group GmbH Styrolution (Ineos) T/L B (03/17) Germany Chemicals Chemicals, Plastics, & Rubber BL0415457 LX149082 Swissport Investments Swissport Investments T/L B Switzerland Transportation and Distribution Services: Business AL1055311 XS1516322200 Synlab Bondco PLC LABFP Float 07/01/22 United Kingdom Healthcare Services: Business BL0457392 LX160114 Tekni-Plex, Inc. Tekni-Plex T/L B-2 (2017 Refinancing) United States Packaging and Containers Chemicals, Plastics, & Rubber BL0413429 LX147761 Ten Cate Ten Cate EUR T/L B Netherlands Textiles and Furniture Aerospace & Defense BL0432593 LX153379 Terreal Holdings SAS Terreal Term Loan B France Buildings and Materials Construction & Building BL0403883 LX145316 TI Fluid Systems Limited TI Automotive Initial Term Loan United States Automobiles Automotive BL0461642 LX161574 Tipico Tackle Sarl Facility B Germany Gaming, Leisure and Entertainment Hotel, Gaming & Leisure BL0468464 LX163280 Triangle FM Services TOPCO GMBH Triangle T/L (4/17) Germany Real Estate Services: Business BL0437808 LX154417 Triangle FM Services TOPCO GMBH Bilfinger Term Loan B2 (Silenus) Germany Real Estate Services: Business BL0402638 LX161986 Unifrax Holding Co Unifrax Term Loan B new United States Chemicals Capital Equipment BL0461063 LX161584 Unilabs Diagnostics AB Unilabs Diagnostics T/L B2 Switzerland Healthcare Healthcare & Pharmaceuticals BL0403636 LX142370 United Biscuits Holdco Limited United Biscuits Term Loan B2 United Kingdom Food, Beverage and Tobacco Beverage, Food & Tobacco BL0401267 LX144621 Valeo Food Valeo T/L B Ireland Food, Beverage and Tobacco Beverage, Food & Tobacco BL0456915 LX146849 Vedici Groupe Vedici T/L B2 France Healthcare Healthcare & Pharmaceuticals BL0452807 LX153197 Verallia Group Verallia T/L B3 France Packaging and Containers Containers, Packaging & Glass

Current Asset Characteristics - Part II

Security I.D. ISIN/LoanX ID Obligor Issue/Facility Name Country Fitch Industry Classification Moody's Industry Classification BL0439010 LX154739 Wall Street Systems Delaware, Inc. Wall Street Systems EUR Term Loans United States Business Services Banking, Finance, Insurance & Real Estate BL0460412 LX161282 Western Digital Technologies, Inc Western Digital Technologies Inc T/L United States Computer and Electronics High Tech Industries B2 (NEW) EK8047053 XS1204622960 Wind Acquisition Finance S.p.A. WINDIM Float 07/15/2020 Corp Italy Telecommunications Telecommunications BL0396103 LX143627 Wind Acquisition Finance S.p.A. Wind T/L New Italy Telecommunications Telecommunications BL0454613 LX159274 Xella International SA Xella T/L B Germany Buildings and Materials Construction & Building BL0454134 LX159376 Ziggo BV Ziggo T/L F (EUR) Netherlands Cable Media: Broadcasting & Subscription

Totals: 134

Current Asset Characteristics - Part III

Delayed Market Value Annual Fixed Rate Covenant Current Pay Revolving Drawdown Determined Security I.D. ISIN/LoanX ID Issue/Facility Name Obligation Obligation Bridge Loan Lite Loan Obligation Obligation Obligation PIK Security by IM BL0380917 LX139191 Aenova Term Loan ------EK5894564 XS1137507239 Alize Finco PLC ------BL0459448 LX160897 Amaya Initial 2017 Euro Term Loan ------(NEW) BL0407819 LX146944 Amedes TL B ------BL0369068 LX136408 Arena T/L B2A ------BL0371411 LX136410 Arena T/L B3A ------BL0371429 LX136413 Arena T/L B4A ------BL0459802 LX161096 Armacell EUR T/L B3 ------AM9239667 XS1533918824 ARWLN Float 04/01/25 Corp ------BL0435307 LX154407 Atos Medical ------BL0398851 LX141736 Autobar 10/14 Super Senior ------Yes - BL0449902 LX134952 Axalta Coating System T/L B EUR ------BL0422180 LX160115 B&B T/L ------BL0436289 LX159199 Beauty Holding T/L B15(formerly B8) ------BL0436503 LX160534 Beauty Holding T/L B16 (formerly B9) ------BL0436529 LX160535 Beauty Holding T/L B17(Formerly B10) ------BL0436537 LX160536 Beauty Holding T/L B18 (formerly B11) ------BL0436545 LX160537 Beauty Holding T/L B19(formerly B12) ------BL0436552 LX160538 Beauty Holding T/L B20(formerly B13) ------BL0436560 LX160539 Beauty Holding T/L B21(formerly B14) ------BL0437808 LX154417 Bilfinger Term Loan B2 (Silenus) ------BL0464869 LX162466 BMC Software (4/17) (EUR) T/L ------BL0399420 LX144153 Busy Bees Nurseries T/L B (GBP) ------BL0379836 LX139256 Capsugel Euro Term Loan ------BL0372237 LX137083 Car Trawler T/L B ------BL0373078 LX137091 Catalent Pharma T/L B EUR ------BL0369332 LX135736 Ceva Sante Animale T/L B ------BL0462673 LX161997 Chemours Company T/L B1 ------BL0399305 LX144636 Club Mediterranee 3/15 Holdco T/L B ------BL0435521 LX153899 Coherent Holding T/L B ------BL0413379 LX148270 Concordia Health T/L B ------BL0413296 LX148271 Concordia Healthcare T/L B ------BL0383457 LX140920 Cool International Holding B2 ------BL0356719 LX133726 CPA Global T/L B ------BL0418014 LX149492 David Lloyd T/L B2 ------BL0446643 LX155879 De Master Blenders T/L A3 (Jacobs ------Douwe Egberts) BL0467060 LX163472 DE Master Blenders T/L B New ------BL0375008 LX137333 Deoleo Term Loan ------BL0407926 LX136030 Diaverum Holding Facility B2 Lux ------BL0407934 LX137002 Diaverum Holding France B2 France ------BL0459745 LX161434 Eircom Holdings (NEW) ------BL0449944 LX157816 Equinix T/L B EUR ------BL0458838 LX160780 Ethypharm New T/L ------

Current Asset Characteristics - Part III

Delayed Market Value Annual Fixed Rate Covenant Current Pay Revolving Drawdown Determined Security I.D. ISIN/LoanX ID Issue/Facility Name Obligation Obligation Bridge Loan Lite Loan Obligation Obligation Obligation PIK Security by IM BL0444911 LX155859 EURO Garages Incremental - C2 ------BL0442428 LX155290 Evry T/L B4 ------BL0400277 LX133459 Exopack T/L B-1 - - - Yes - - - - - BL0462616 Famar T/L B New ------BL0445181 LX155530 First Data 2021 New Euro Term Loan ------BL0442675 LX155393 Flakt Woods (new) ------BL0401051 LX144751 Flint T/L B-3 ------BL0309080 LX143866 Fraikin Secondopco ------Yes - BL0379745 LX139056 GHD Term Loan ------BL0376352 LX138158 Giannoni T/L B (Sermeta) T/L B ------BL0458887 LX161094 GVC T/L ------BL0430316 LX152965 Hotelbeds TL B ------EK3729952 XS1087775240 ICELTD FLOAT 07/15/20 ------BL0381261 LX139251 ICS Term B ------BL0456402 LX160309 Ineos Finance T/L 2022 New - - - Yes - - - - - BL0455230 LX159914 Infor (Lawson) T/L B1 ------BL0464414 LX162963 Inovyn Finance 2024 Tranche B EUR T/L ------BL0437212 LX147780 ION Trading B-1 Euro T/L (NEW) ------BL0441503 LX155222 Keter Group TL B ------AL1055311 XS1516322200 LABFP Float 07/01/22 ------EK4113867 XS1094672273 LINDOR Float 08/15/20 ------BL0448235 LX157015 MacDermid T/L C4 ------BL0466245 LX162203 MacDermid T/L C5 ------BL0466260 LX162175 Materis Chryso EUR T/L NEW ------BL0380768 LX140038 Materis Paints T/L B ------AM7964225 XS1580388384 MATTER Float 02/01/23 ------BL0407181 LX147068 Maxeda Facility E1 ------BL0407199 LX147069 Maxeda Facility E2 ------BL0449332 LX157178 MRH T/L B1 GBP ------BL0449522 LX157179 MRH T/L B2 (LSF9 Robin Investments ------Ltd) BL0462681 LX161320 Newco Sab Bidco T/L B (Cerba) ------EK9646549 XS1248517341 NEWLOK Float 07/01/22 Corp ------BL0392383 LX142996 Northgate B GBP ------BL0453490 LX157661 Numericable Incremental T/L B10 (10/16) ------BL0444937 LX155720 Numericable Refinancing T/L B10 ------QZ7663763 XS1504057008 NWGLOV 7 15/10/2023 Corp - Yes ------BL0449472 LX157594 Oberthur T/L B1 ------BL0451262 LX158095 Oberthur TL B2 ------BL0462343 LX161834 OGF T/L B (03/17) ------BL0381279 LX139695 Orion Engineered Term Loan ------BL0459463 LX161205 Parex T/L B ------BL0462772 LX162254 Paroc Term Loan B1 ------BL0463333 LX162261 Paroc Term Loan B2 ------BL0463382 LX162395 Patheon T/L New ------

Current Asset Characteristics - Part III

Delayed Market Value Annual Fixed Rate Covenant Current Pay Revolving Drawdown Determined Security I.D. ISIN/LoanX ID Issue/Facility Name Obligation Obligation Bridge Loan Lite Loan Obligation Obligation Obligation PIK Security by IM BL0402653 LX144818 Penn Engineering T/L C Incremental - - - Yes - - - - - AL1214330 XS1518689598 PERHOL FLOAT 06/30/21 ------BL0451841 LX158354 PHS Group Limited A1 ------BL0374597 LX137634 Project Amaretto Term Loan ------BL0459026 LX160895 Quintiles IMS T/L B-1 (EUR) ------BL0401184 LX144512 Ranpak Tranche B1 ------BL0466070 LX162763 Rhodia Acetow Term Loan B ------BL0374290 LX137408 Rodenstock T/L B ext ------BL0357048 LX133835 SAM Finance Term Loan ------BL0420531 LX150738 Saverglass Term Loan ------BL0463481 LX139399 Sebia T/L B3A New ------BL0452971 LX142742 Sebia T/L B3B ------BL0462855 LX162008 SFR Group (Numericable / YPSO / Altice) ------T/L B11 BL0459455 LX160224 Siemens T/L B6 ------BL0392680 LX143111 SIG Combibloc T/L ------BL0450421 LX158054 Signode Industrial T/L B2 ------BL0456683 LX142977 Sky Bet T/L ------BL0449811 LX157317 SLV New T/L - - - Yes - - - - - QZ9789210 XS1513692357 SNAIM Float 07/11/21 Corp ------BL0377871 LX138124 Solenis Term Loan ------BL0422347 LX151195 Solera Finance T/L B ------BL0415283 LX149311 Solina T/L B2 ------BL0460529 LX161339 Styrolution (Ineos) T/L B (03/17) - - - Yes - - - - - BL0415457 LX149082 Swissport Investments T/L B ------BL0461642 LX161574 Tackle Sarl Facility B ------BL0457392 LX160114 Tekni-Plex T/L B-2 (2017 Refinancing) - - - Yes - - - - - BL0463911 LX162328 Telenet T/L AH ------BL0413429 LX147761 Ten Cate EUR T/L B ------BL0432593 LX153379 Terreal Term Loan B ------BL0403883 LX145316 TI Automotive Initial Term Loan ------BL0371353 LX136531 Tinagen T/L B ------BL0468464 LX163280 Triangle T/L (4/17) ------BL0402638 LX161986 Unifrax Term Loan B new ------BL0461063 LX161584 Unilabs Diagnostics T/L B2 ------BL0403636 LX142370 United Biscuits Term Loan B2 ------BL0448375 LX157074 UPC T/L B ------BL0401267 LX144621 Valeo T/L B ------BL0456915 LX146849 Vedici T/L B2 ------BL0452807 LX153197 Verallia T/L B3 ------BL0422339 LX151049 Vermaat Groep T/L B ------BL0439010 LX154739 Wall Street Systems EUR Term Loans ------BL0460412 LX161282 Western Digital Technologies Inc T/L B2 ------(NEW) BL0396103 LX143627 Wind T/L New ------

Current Asset Characteristics - Part III

Delayed Market Value Annual Fixed Rate Covenant Current Pay Revolving Drawdown Determined Security I.D. ISIN/LoanX ID Issue/Facility Name Obligation Obligation Bridge Loan Lite Loan Obligation Obligation Obligation PIK Security by IM EK8047053 XS1204622960 WINDIM Float 07/15/2020 Corp ------BL0454613 LX159274 Xella T/L B ------BL0458747 LX160219 Yellow Maple T/L 5 ------BL0454134 LX159376 Ziggo T/L F (EUR) ------

Totals: 134

Defaulted Obligations and Deferring Securities

Fitch Moody's Fich Moody's Recovery Recovery Market Collateral Collateral Security I.D. Issue/Facility Name Date of Event No. of Days Principal Balance Rate Rate Value Value Value Calculation Amount

Sub Total: 0

Totals: 0 0.00 0.00

Discount Obligations and Swapped Non-Discount Obligations

Security I.D. Issue/Facility Name Purchase Date Principal Balance Purchase Price Calculation Amount % of ACB

Sub Total: 0

Totals: 0 0.00 0.00 0.00 %

Collateral Enhancement Obligations and Exchanged Equity Securities

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

Totals: 0

Participation Information

Counterparty Ratings

Security I.D. Issue/Facility Name Selling Institution Fitch Moody's Principal Balance BL0446643 De Master Blenders T/L A3 (Jacobs Douwe Egberts)JP Morgan Securities Ltd AA- A1 2,750,000.00

Totals: 1 2,750,000.00

PIK Securities

Security I.D. Issue/Facility Name Asset Type Maturity Date Par Amount Principal Balance PIK to Date BL0398851 Autobar 10/14 Super Senior Secured Senior Loan 31-Oct-19 2,997,276.69 2,997,276.69 - BL0309080 Fraikin Secondopco Secured Senior Loan 05-Sep-17 942,507.07 942,507.07 -

Totals: 2 3,939,783.76 -

Restructured Obligations - Additions

Security I.D. Obligor Name Issue/Facility Name Asset Type Restructuring Date Par Amount Maturity Date BL0467060 Acorn B.V. DE Master Blenders T/L B New Secured Senior Loan 03-May-17 265,139.35 01-Jul-22 BL0467060 Acorn B.V. DE Master Blenders T/L B New Secured Senior Loan 03-May-17 397,709.04 01-Jul-22 BL0467060 Acorn B.V. DE Master Blenders T/L B New Secured Senior Loan 03-May-17 456,017.78 01-Jul-22 BL0464414 Inovyn Finance PLC Inovyn Finance 2024 Tranche B EUR T/L Secured Senior Loan 10-May-17 1,985,025.00 15-May-24 BL0463382 DPX Holdings B.V Patheon T/L New Secured Senior Loan 20-Apr-17 5,183,416.85 22-Apr-24 BL0463382 DPX Holdings B.V Patheon T/L New Secured Senior Loan 20-Apr-17 1,636,347.60 22-Apr-24 BL0468464 Triangle FM Services TOPCO Triangle T/L (4/17) Secured Senior Loan 08-May-17 1,428,571.43 01-Sep-23 GMBH

Totals: 7 11,352,227.05

Restructured Obligations - Removals

Security I.D. Security Name Obligor Name Restructuring Date Asset Type Par Amount Maturity Date BL0361941 Patheon Initial Term Loan 20-Apr-17 Secured Senior Loan 5,183,416.85 11-Mar-21 BL0383762 Patheon 2015 Incremental Euro T/L 20-Apr-17 Secured Senior Loan 1,636,347.60 11-Mar-21 BL0447013 De Master Blenders T/L B3 Acorn B.V. 03-May-17 Secured Senior Loan 265,139.35 01-Jul-22 BL0447013 De Master Blenders T/L B3 Acorn B.V. 03-May-17 Secured Senior Loan 397,709.04 01-Jul-22 BL0447013 De Master Blenders T/L B3 Acorn B.V. 03-May-17 Secured Senior Loan 456,017.78 01-Jul-22 BL0436958 Bilfinger Term Loan B1 (Triangle FM Services HoldingTriangle GmbH) FM Services TOPCO GMBH 08-May-17 Secured Senior Loan 1,428,571.43 01-Sep-23 BL0445553 Inovyn Finance 2021 Tranche B EUR T/L 10-May-17 Secured Senior Loan 1,985,025.00 14-May-21

Total: 7 11,352,227.05

Rating Detail - Public

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

Security I.D. Issue/Facility Name Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status BL0380917 Aenova Term Loan B3 Caa1 Caa1 B2 B3 B3 - - - P EK5894564 Alize Finco PLC B1 B1 B1 B2 B2 B2 - - - P BL0459448 Amaya Initial 2017 Euro Term Loan (NEW) B2 B2 B2 B1 B1 B1 - - - P BL0369068 Arena T/L B2A - - B2 - B1 - - - P BL0371411 Arena T/L B3A - - B2 - B1 - - - P BL0371429 Arena T/L B4A - - B2 - B1 - - - P BL0459802 Armacell EUR T/L B3 B3 B3 B3 B2 B2 B2 - - - P AM9239667 ARWLN Float 04/01/25 Corp Ba3 Ba3 Ba3 Ba2 Ba3 Ba3 - B+ B+ BL0449902 Axalta Coating System T/L B EUR Ba3 Ba3 Ba3 Ba3 Ba1 Ba1 - - - P BL0436289 Beauty Holding T/L B15(formerly B8) B2 B2 B2 B1 B1 B1 - - - P BL0436503 Beauty Holding T/L B16 (formerly B9) B2 B2 B2 B1 B1 B1 - - - P BL0436529 Beauty Holding T/L B17(Formerly B10) B2 B2 B2 B1 B1 B1 - - - P BL0436537 Beauty Holding T/L B18 (formerly B11) B2 B2 B2 B1 B1 B1 - - - P BL0436545 Beauty Holding T/L B19(formerly B12) B2 B2 B2 B1 B1 B1 - - - P BL0436552 Beauty Holding T/L B20(formerly B13) B2 B2 B2 B1 B1 B1 - - - P BL0436560 Beauty Holding T/L B21(formerly B14) B2 B2 B2 B1 B1 B1 - - - P BL0464869 BMC Software (4/17) (EUR) T/L B3 B3 B3 B1 B1 B1 - - - P BL0379836 Capsugel Euro Term Loan B2 B2 B2 CW+ Ba3 Ba3 Ba3 CW+ - - - P BL0373078 Catalent Pharma T/L B EUR B1 B1 B1 B1 Ba3 Ba3 - - - P BL0369332 Ceva Sante Animale T/L B B1 B1 B1 B1 B1 B1 - - - P BL0435521 Coherent Holding T/L B Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 - - - P BL0413379 Concordia Health T/L B B3 Caa1 Caa1 B1 B2 B2 - - - P BL0413296 Concordia Healthcare T/L B B3 Caa1 Caa1 B2 B2 B2 - - - P BL0356719 CPA Global T/L B B1 B1 B1 B1 B1 B1 - - - P BL0446643 De Master Blenders T/L A3 (Jacobs Douwe Ba3 Ba2 Ba2 Ba3 Ba2 Ba2 - - - P Egberts) BL0467060 DE Master Blenders T/L B New Ba2 Ba2 Ba2 Ba2 - - - P BL0375008 Deoleo Term Loan B2 Caa1 Caa1 B2 Caa1 Caa1 - - - P BL0459745 Eircom Holdings (NEW) B1 B1 B1 B1 B1 B1 B+ B+ B+ BL0449944 Equinix T/L B EUR Ba3 Ba3 Ba3 Ba2 Ba2 Ba2 - - - P BL0444911 EURO Garages Incremental - C2 B2 B2 B2 B2 B2 B2 - - - P BL0442428 Evry T/L B4 B1 B1 B1 B1 B1 B1 - - - P BL0400277 Exopack T/L B-1 B3 B3 B3 B1 B2 B2 - - - P BL0445181 First Data 2021 New Euro Term Loan B1 B1 B1 Ba3 Ba3 Ba3 B B+ B+ BL0401051 Flint T/L B-3 B2 B2 B2 B2 - - - P BL0379745 GHD Term Loan B2 B2 B2 B2 B2 B2 - - - P BL0376352 Giannoni T/L B (Sermeta) T/L B - - - S - - - S - - - P EK3729952 ICELTD FLOAT 07/15/20 Caa2 B2 B2 Caa2 B2 B2 - - - P BL0381261 ICS Term B B1 B1 B1 B1 B1 B1 - - - P

Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications P - Private Rating CW+ - Credit Watch with positive implications S - Shadow Rating DEF - In Default

* Ratings are presented having taken the Credit Watch notching implications, identified above, into account.

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Rating Detail - Public

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

Security I.D. Issue/Facility Name Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status BL0456402 Ineos Finance T/L 2022 New Ba3 Ba3 Ba3 Ba2 Ba2 Ba2 - - - P BL0455230 Infor (Lawson) T/L B1 B3 B3 B3 B1 B1 B1 B B B BL0464414 Inovyn Finance 2024 Tranche B EUR T/L B2 B2 B2 B2 - - - P BL0437212 ION Trading B-1 Euro T/L (NEW) B2 B2 B2 B2 B2 B2 - - - P BL0441503 Keter Group TL B B2 B2 B2 B2 B2 B2 - - - P AL1055311 LABFP Float 07/01/22 B2 B2 B2 B1 B2 B2 - - - P EK4113867 LINDOR Float 08/15/20 B2 B2 B2 CW+ B2 B1 B1 CW+ - - - P BL0448235 MacDermid T/L C4 - - B2 - B2 B2 - - - P BL0466245 MacDermid T/L C5 - - B2 - B2 B2 - - - P AM7964225 MATTER Float 02/01/23 B2 B2 B2 B2 B2 B2 - - - P BL0407181 Maxeda Facility E1 B2 B2 B2 B2 B2 B2 - - - P BL0407199 Maxeda Facility E2 B2 B2 B2 B2 B2 B2 - - - P EK9646549 NEWLOK Float 07/01/22 Corp B2 B3 B3 B1 B2 B2 B- B- B- BL0453490 Numericable Incremental T/L B10 (10/16) B1 B1 B1 B1 B1 B1 - - - P BL0444937 Numericable Refinancing T/L B10 B1 B1 B1 B1 B1 B1 - - - P QZ7663763 NWGLOV 7 15/10/2023 Corp - - B2 - B2 B2 - B- B- BL0381279 Orion Engineered Term Loan B1 Ba3 Ba3 B1 Ba3 Ba3 - - - P BL0459463 Parex T/L B B2 B2 B2 B2 B2 B2 - - - P BL0463333 Paroc Term Loan B2 B2 B2 B2 B2 - - - P BL0402653 Penn Engineering T/L C Incremental B1 B1 B1 B1 B1 B1 - - - P AL1214330 PERHOL FLOAT 06/30/21 Caa1 Caa1 Caa1 B3 B3 B3 - - - P BL0451841 PHS Group Limited A1 - - - S - - - S - - - P BL0459026 Quintiles IMS T/L B-1 (EUR) Ba2 Ba2 Ba2 Ba1 Ba1 Ba1 - - - P BL0357048 SAM Finance Term Loan Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 - - - P BL0462855 SFR Group (Numericable / YPSO / Altice) T/L B1 B1 B1 B1 - - - P B11 BL0459455 Siemens T/L B6 B2 B2 B2 B1 B1 B1 - - - P BL0392680 SIG Combibloc T/L B2 B2 B2 B1 B1 B1 - - - P BL0450421 Signode Industrial T/L B2 B2 B2 B2 B3 B1 B1 - - - P QZ9789210 SNAIM Float 07/11/21 Corp B3 B2 B2 B2 B2 B2 - B B BL0377871 Solenis Term Loan B3 B3 B3 B2 B2 B2 - - - P BL0422347 Solera Finance T/L B B2 B2 B2 Ba3 Ba3 Ba3 - - - P BL0460529 Styrolution (Ineos) T/L B (03/17) Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 - - - P BL0415457 Swissport Investments T/L B B3 B3 B3 B1 B1 B1 - - - P BL0457392 Tekni-Plex T/L B-2 (2017 Refinancing) B3 B3 B3 B2 B3 B3 - - - P BL0463911 Telenet T/L AH Ba3 Ba3 Ba3 Ba3 - - - P BL0403883 TI Automotive Initial Term Loan B2 B2 B2 Ba3 Ba3 Ba3 - - - P BL0468464 Triangle T/L (4/17) - - B2 - B2 - - - P BL0402638 Unifrax Term Loan B new B2 B2 B2 B2 B2 B2 - - - P

Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications P - Private Rating CW+ - Credit Watch with positive implications S - Shadow Rating DEF - In Default

* Ratings are presented having taken the Credit Watch notching implications, identified above, into account.

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Rating Detail - Public

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

Security I.D. Issue/Facility Name Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status BL0461063 Unilabs Diagnostics T/L B2 B3 B3 B3 B3 B2 B2 - - - P BL0403636 United Biscuits Term Loan B2 Ba3 B1 B1 Ba3 B1 B1 - - - P BL0448375 UPC T/L B Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 - - - P BL0452807 Verallia T/L B3 B1 B1 B1 B1 B1 B1 - - - P BL0439010 Wall Street Systems EUR Term Loans B2 B2 B2 B2 B2 B2 - - - P BL0460412 Western Digital Technologies Inc T/L B2 (NEW) Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 - - - P BL0396103 Wind T/L New B2 B2 B1 Ba3 Ba3 Ba3 B+ B+ B+ EK8047053 WINDIM Float 07/15/2020 Corp B2 B2 B1 Ba3 Ba3 Ba3 B+ B+ B+ BL0454613 Xella T/L B B2 B2 B2 B2 B2 B2 - - - S BL0454134 Ziggo T/L F (EUR) Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 - - - P

Totals: 86

Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications P - Private Rating CW+ - Credit Watch with positive implications S - Shadow Rating DEF - In Default

* Ratings are presented having taken the Credit Watch notching implications, identified above, into account.

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Rating Change History - Public

Moody's Fitch

Security ID Issue/Facility Name Prior Curr Date Action Prior Curr Date Action BL0396103 Wind T/L New B2 B1 01-May-17 UPG EK8047053 WINDIM Float 07/15/2020 Corp B2 B1 01-May-17 UPG

Totals: 2

Rating Change History - Shadow/Private

Moody's Fitch

Security ID Issue/Facility Name Prior Prior Date Curr Curr Date Prior Prior Date Curr Curr Date BL0462616 Famar T/L B New Private 15-Sep-16 Private+3 25-Apr-17 BL0456402 Ineos Finance T/L 2022 New Private 13-Feb-17 Private+1 11-May-17 BL0464414 Inovyn Finance 2024 Tranche B EUR T/L Private 01-Jan-17 Private+1 12-May-17

Totals: 3

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Hedge Counterparty Ratings

Fitch Moody's Nbr Counterparty Counterparty Role Short-term Min Result Long-term Min Result Short-term Min Result Long-term Min Result

1 Bank of America Merrill Lynch Asset Swap Counterparty F1 F1 PASS A+ A PASS P-1 P-1 PASS - A3 N/A International Limited 2 Elavon Financial Services DAC Agent Bank F1+ F1 PASS - A N/A P-1 NP N/A A1 A3 PASS 3 Elavon Financial Services DAC Custodian F1+ F1 PASS - A N/A P-1 NP N/A A1 A3 PASS 4 Elavon Financial Services DAC Paying Agent F1+ F1 PASS - A N/A P-1 NP N/A A1 A3 PASS 5 JP Morgan Securities Ltd Asset Swap Counterparty F1+ F1 PASS AA- A PASS P-1 P-1 PASS Aa3 A3 PASS

Totals: 5

Hedge Transactions Detail (Purchase Lots)

Security I.D. Issue/Facility Name Counterparty Currency Exchange Rate From Counterparty To Counterparty BL0399420 Busy Bees Nurseries T/L B (GBP) JP Morgan Securities Ltd GBP 1.41100 2,822,000.00 2,000,000.00 BL0399420 Busy Bees Nurseries T/L B (GBP) JP Morgan Securities Ltd GBP 1.00000 500,000.00 500,000.00 BL0413379 Concordia Health T/L B JP Morgan Securities Ltd USD 0.89600 2,657,608.04 2,966,080.40 BL0413296 Concordia Healthcare T/L B JP Morgan Securities Ltd GBP 1.36050 1,338,391.88 983,750.00 BL0413296 Concordia Healthcare T/L B JP Morgan Securities Ltd GBP 1.36050 1,338,391.88 983,750.00 EK3729952 ICELTD FLOAT 07/15/20 BNP Paribas GBP 1.35000 1,350,000.00 1,000,000.00 EK3729952 ICELTD FLOAT 07/15/20 BNP Paribas GBP 1.35000 1,350,000.00 1,000,000.00 EK3729952 ICELTD FLOAT 07/15/20 JP Morgan Securities Ltd GBP 1.28750 2,575,000.00 2,000,000.00 BL0381261 ICS Term B JP Morgan Securities Ltd GBP 1.37200 3,626,755.91 2,643,408.10 BL0449332 MRH T/L B1 GBP JP Morgan Securities Ltd GBP 1.18250 1,773,750.00 1,500,000.00 BL0392383 Northgate B GBP BNP Paribas GBP 1.38889 6,250,000.50 4,500,000.00 BL0451841 PHS Group Limited A1 JP Morgan Securities Ltd GBP 1.17610 1,407,541.37 1,196,787.15 BL0456683 Sky Bet T/L BNP Paribas GBP 1.38000 3,450,000.00 2,500,000.00 BL0456683 Sky Bet T/L Bank of America Merrill Lynch International GBP 1.37490 3,437,250.00 2,500,000.00 Limited

Totals: 14

Intra-Period Collection Account Detail

Interest Principal

Current Current Prior Amounts Ending Prior Amounts Ending Balance Balance Balance Balance Total Security I.D. Issue/Facility Name Received Received Collected

EUR BL0380917 Aenova - Aenova Holding GMBH - 60,416.67 60,416.67 - - - 60,416.67 EK5894564 Alize Finco PLC ------BL0459448 Amaya Initial 2017 Euro Term Loan ------(NEW) BL0407819 Amedes TL B ------BL0369068 Arena T/L B ------BL0371411 Arena T/L B3A ------BL0371429 Arena T/L B4A ------BL0459802 Armacell EUR T/L B3 ------AM9239667 ARWLN Float 04/01/25 Corp ------BL0435307 Atos Medical - 6,222.22 6,222.22 - - - 6,222.22 BL0398851 Autobar 10/14 Super Senior ------BL0449902 Axalta Coating System T/L B EUR ------BL0422180 B&B Hotels GmBH - 12,740.17 12,740.17 - - - 12,740.17 BL0436529 Beauty Holding T/L B10 ------BL0436537 Beauty Holding T/L B11 ------BL0436545 Beauty Holding T/L B12 ------BL0436552 Beauty Holding T/L B13 ------BL0436560 Beauty Holding T/L B14 ------BL0436289 Beauty Holding T/L B8 ------BL0436503 Beauty Holding T/L B9- Kirk Beauty ------Netherlands B.V BL0437808 Bilfinger Term Loan B2 (Silenus) ------BL0464869 BMC Software (4/17) (EUR) T/L ------BL0379836 Capsugel Euro Term Loan ------BL0372237 Car Trawler Term B - 4,547.04 4,547.04 - - - 4,547.04 BL0373078 Catalent Pharma T/L B EUR - 7,942.20 7,942.20 - - - 7,942.20 BL0369332 Ceva Financiere Mendal ------BL0462673 Chemours Company T/L B1 - 1,333.33 1,333.33 - 41,458.93 41,458.93 42,792.26 BL0432593 Clay tiles Europe SAS ------

Intra-Period Collection Account Detail

Interest Principal

Current Current Prior Amounts Ending Prior Amounts Ending Balance Balance Balance Balance Total Security I.D. Issue/Facility Name Received Received Collected

BL0399305 Club Mediterranee 3/15 Holdco T/L B ------BL0435521 Coherent Holding T/L B - 8,525.62 8,525.62 - - - 8,525.62 BL0383457 Cool International Holding B2 ------BL0356719 CPA Global T/L B - 32,866.67 32,866.67 - - - 32,866.67 BL0418014 David Lloyd T/L B ------BL0446643 De Master Blenders T/L A3 (Jacobs ------Douwe Egberts) BL0467060 DE Master Blenders T/L B New ------BL0447013 De Master Blenders T/L B3 - 2,797.17 2,797.17 - - - 2,797.17 BL0375008 Deoleo Term Loan ------BL0407926 Diaverum Holding Facility B2 Lux ------BL0407934 Diaverum Holding France B2 France ------BL0459745 Eircom Holdings (NEW) ------BL0444002 Eircom Holdings T/L B5 - 8,465.37 8,465.37 - 9,523,544.65 9,523,544.65 9,532,010.02 BL0449944 Equinix T/L B EUR ------BL0458838 Ethypharm New T/L ------BL0444911 EURO Garages Incremental - C2 - 25,277.78 25,277.78 - - - 25,277.78 BL0442428 Evry T/L B4 - 25,000.00 25,000.00 - - - 25,000.00 BL0400277 Exopack T/L B-1 ------BL0462616 Famar T/L B New ------BL0445181 First Data 2021 New Euro Term Loan - 2,660.31 2,660.31 - - - 2,660.31 BL0442675 Flakt Woods (new) ------BL0401051 Flint T/L B-3 - 13,272.19 13,272.19 - - - 13,272.19 BL0309080 Fraikin Secondopco ------BL0379745 GHD Term Loan ------BL0458887 GVC T/L - 1,317.46 1,317.46 - - - 1,317.46 BL0430316 Hotelbeds TL B ------BL0401978 Iglo C1 - 3,809.61 3,809.61 - 1,187,411.06 1,187,411.06 1,191,220.67 EK8758220 INEGRP 4 05/01/23 Corp - 30,000.00 30,000.00 - - - 30,000.00 BL0456402 Ineos Finance T/L 2022 New - 14,807.73 14,807.73 - - - 14,807.73

Intra-Period Collection Account Detail

Interest Principal

Current Current Prior Amounts Ending Prior Amounts Ending Balance Balance Balance Balance Total Security I.D. Issue/Facility Name Received Received Collected

BL0455230 Infor (Lawson) T/L B1 ------BL0445553 Inovyn Finance 2021 Tranche B EUR T/L - 9,925.13 9,925.13 - - - 9,925.13 BL0464414 Inovyn Finance 2024 Tranche B EUR T/L ------BL0437212 ION Trading B-1 Euro T/L (NEW) ------BL0376352 Kelenn Finance ------BL0441503 Keter Group TL B - 9,727.08 9,727.08 - - - 9,727.08 AL1055311 LABFP Float 07/01/22 ------EK4113867 LINDOR Float 08/15/20 ------BL0448235 MacDermid T/L C4 - 6,578.06 6,578.06 - - - 6,578.06 BL0466245 MacDermid T/L C5 - 2,351.85 2,351.85 - - - 2,351.85 BL0466260 Materis Chryso EUR T/L NEW ------BL0380818 Materis New BC Loan - 30,812.50 30,812.50 - - - 30,812.50 BL0380768 Materis Paints T/L B - 14,777.78 14,777.78 - - - 14,777.78 AM7964225 MATTER Float 02/01/23 - 5,535.65 5,535.65 - - - 5,535.65 BL0407199 Maxeda Facility E2 - 10,888.89 10,888.89 - - - 10,888.89 BL0407181 Maxeda T/L E1 ------BL0449522 MRH-LSF9 Robin Investments Ltd T/L B ------BL0462681 Newco Sab Bidco T/L (Cerba) ------EK9646549 NEWLOK Float 07/01/22 Corp ------BL0453490 Numericable Incremental T/L B10 (10/16) - 3,129.65 3,129.65 - 865.51 865.51 3,995.16 BL0444937 Numericable Refinancing T/L B10 - 14,950.04 14,950.04 - 4,134.49 4,134.49 19,084.53 QZ7663763 NWGLOV 7 15/10/2023 Corp ------BL0449472 Oberthur Technologies ------BL0462343 OGF T/L B (03/17) - 2,682.59 2,682.59 - - - 2,682.59 BL0381279 Orion Engineered Term Loan ------BL0459463 Parex T/L B ------BL0462772 Paroc Term Loan B1 - 5,305.72 5,305.72 - - - 5,305.72 BL0463333 Paroc Term Loan B2 ------BL0383762 Patheon T/L ADD-ON - 4,090.87 4,090.87 - - - 4,090.87 BL0463382 Patheon T/L New ------

Intra-Period Collection Account Detail

Interest Principal

Current Current Prior Amounts Ending Prior Amounts Ending Balance Balance Balance Balance Total Security I.D. Issue/Facility Name Received Received Collected

BL0361941 Patheon Term B - 12,958.54 12,958.54 - - - 12,958.54 BL0402653 Penn Engineering T/L C Incremental - 24,992.42 24,992.42 - - - 24,992.42 AL1214330 PERHOL FLOAT 06/30/21 ------EK8804131 PROGRP Float 05/01/22 Corp - 20,574.24 20,574.24 - - - 20,574.24 BL0374597 Project Amaretto Term Loan ------BL0459026 Quintiles IMS T/L B-1 (EUR) - 3,684.16 3,684.16 - - - 3,684.16 BL0401184 Ranpak Tranche B1 - 5,089.34 5,089.34 - - - 5,089.34 BL0466070 Rhodia Acetow Term Loan B ------BL0374290 Rodenstock T/L B ext - 11,234.61 11,234.61 - - - 11,234.61 BL0357048 SAM Finance Term Loan ------BL0420531 Saverglass Term Loan ------BL0463481 Sebia T/L B3A New ------BL0452971 Sebia T/L B3B ------BL0462855 SFR Group SA ------BL0459455 Siemens T/L B6 ------BL0392680 SIG Combibloc Term Loan - 17,207.45 17,207.45 - - - 17,207.45 BL0450421 Signode Industrial T/L B2 ------BL0449811 SLV - Big White Acq - 12,395.83 12,395.83 - - - 12,395.83 QZ9789210 SNAIM Float 07/11/21 Corp - 37,500.00 37,500.00 - - - 37,500.00 BL0377871 Solenis Holdings 3 LLC ------BL0422347 Solera Finance T/L B ------BL0415283 Solina Corporate ------BL0460529 Styrolution (Ineos) T/L B (03/17) ------BL0415457 Swissport Investments T/L B - 84,982.64 84,982.64 - - - 84,982.64 BL0461642 Tackle Sarl Facility B - 828.89 828.89 - - - 828.89 BL0457392 Tekni Plex-2017 Refinancing B-2 Term ------Loan BL0446429 Telenet T/L AE - 41,979.16 41,979.16 - 5,000,000.00 5,000,000.00 5,041,979.16 BL0463911 Telenet T/L AH ------BL0413429 Ten Cate EUR T/L B ------

Intra-Period Collection Account Detail

Interest Principal

Current Current Prior Amounts Ending Prior Amounts Ending Balance Balance Balance Balance Total Security I.D. Issue/Facility Name Received Received Collected

BL0403883 TI Automotive Initial Term Loan - 5,745.83 5,745.83 - - - 5,745.83 BL0371353 Tinagen T/L B New - 14,417.12 14,417.12 - - - 14,417.12 BL0468464 Triangle T/L (4/17) ------BL0444515 Ufinet Telecom Holdings T/L - 17,317.71 17,317.71 - 2,500,000.00 2,500,000.00 2,517,317.71 BL0402638 Unifrax Term Loan B new ------BL0461063 Unilabs Diagnostics T/L B (03/17) ------BL0403636 United Biscuits Term Loan B - 5,386.94 5,386.94 - - - 5,386.94 BL0448375 UPC T/L B ------BL0401267 Valeo T/L B ------BL0456915 Vedici T/L B2 ------BL0452807 Verallia T/L B3 France ------BL0422339 Vermaat Groep T/L B ------BL0439010 Wall Street Systems EUR Term Loans - 2,472.97 2,472.97 - 53,742.46 53,742.46 56,215.43 BL0460412 Western Digital Technologies Inc T/L B2 - 3,980.39 3,980.39 - - - 3,980.39 (NEW) BL0396103 Wind T/L New ------EK8047053 WINDIM Float 07/15/2020 Corp ------BL0454613 Xella T/L B ------BL0458747 Yellow Maple T/L 5 - 9,185.10 9,185.10 - 50,875.26 50,875.26 60,060.36 BL0454134 Ziggo T/L F (EUR) ------

EUR Total: 135 - 714,690.69 714,690.69 - 18,362,032.36 18,362,032.36 19,076,723.05

GBP BL0399420 Busy Bees Nurseries T/L B (GBP) ------BL0413296 Concordia Healthcare T/L B ------EK3729952 ICELTD FLOAT 07/15/20 ------BL0381261 ICS Term B ------BL0449332 MRH T/L B1 GBP ------BL0392383 Northgate B GBP ------BL0451841 PHS Group Limited A1 ------BL0456683 Sky Bet T/L ------

Intra-Period Collection Account Detail

Interest Principal

Current Current Prior Amounts Ending Prior Amounts Ending Balance Balance Balance Balance Total Security I.D. Issue/Facility Name Received Received Collected

GBP Total: 8 ------

USD BL0413379 Concordia Health T/L B ------

USD Total: 1 ------

Totals: 144

Stratifications - Countries (Excluding Cash & Eligible Investments)

# of Principal % of Aggr. Country Assets Balance Prin. Bal.

France 25 66,071,524.42 16.89 % United Kingdom 17 65,945,131.31 16.85 % U.S. 23 59,166,294.02 15.12 % Germany 20 47,567,991.83 12.16 % Netherlands 12 38,547,790.45 9.85 % Luxembourg 8 25,718,365.09 6.57 % Italy 8 20,476,930.10 5.23 % Switzerland 5 18,732,698.50 4.79 % Ireland 3 10,375,575.94 2.65 % Sweden 4 9,875,000.00 2.52 % Spain 3 9,036,867.93 2.31 % Norway 2 7,500,000.00 1.92 % Belgium 1 5,000,000.00 1.28 % Finland 2 5,000,000.00 1.28 % Austria 1 2,255,864.28 0.58 % Total 134 391,270,033.87 100.00 %

Stratifications - Obligors (10 Largest)

# of Principal % of Aggr. Obligor Assets Balance Prin. Bal.

Xella International SA 1 7,500,000.00 1.92 % Ineos Group Holdings PLC 1 7,358,004.95 1.88 % Cyan Blue Holdco 3 1 6,887,250.00 1.76 % DPX Holdings B.V 1 6,819,764.45 1.74 % Intervias Finco Limited 1 6,500,000.00 1.66 % SFR Group S.A. 3 6,490,000.00 1.66 % Argon NPS (Holdings) Limited 1 6,250,000.50 1.60 % Wind Acquisition Finance S.p.A. 2 6,150,154.40 1.57 % Ziggo BV 1 6,000,000.00 1.53 % Sig Combibloc Holdings SCA 1 5,899,698.50 1.51 %

Totals: 13 65,854,872.80 16.83%

Stratifications - Industries (Excluding Cash & Eligible Investments)

Distribution of Fitch Industry Classification Distribution of Moody's Industry Classification

# of Principal % of Aggr. # of Principal % of Aggr. Industry Assets Balance Prin. Bal. Industry Assets Balance Prin. Bal. Automobiles 3 5,912,507.07 1.51 % Aerospace & Defense 1 2,000,000.00 0.51 % Banking and Finance 4 12,687,251.16 3.24 % Automotive 2 4,970,000.00 1.27 % Broadcasting and Media 1 4,236,867.93 1.08 % Banking, Finance, Insurance & Real Estate 7 24,162,710.02 6.18 % Buildings and Materials 6 23,433,253.02 5.99 % Beverage, Food & Tobacco 7 18,534,355.53 4.74 % Business Services 7 19,407,548.67 4.96 % Capital Equipment 6 18,194,684.81 4.65 % Cable 3 15,000,000.00 3.83 % Chemicals, Plastics, & Rubber 12 31,941,720.23 8.16 % Chemicals 15 45,972,279.61 11.75 % Construction & Building 8 31,433,253.02 8.03 % Computer and Electronics 5 19,897,615.00 5.09 % Consumer goods: Durable 5 13,050,000.00 3.34 % Consumer Products 5 12,089,500.00 3.09 % Consumer goods: Non-durable 1 1,210,271.97 0.31 % Environmental Services 1 858,427.65 0.22 % Containers, Packaging & Glass 6 21,686,916.91 5.54 % Food and Drug Retail 2 8,272,276.69 2.11 % Environmental Industries 1 858,427.65 0.22 % Food, Beverage and Tobacco 6 15,537,078.84 3.97 % Healthcare & Pharmaceuticals 21 65,000,712.79 16.61 % Gaming, Leisure and Entertainment 9 33,109,107.14 8.46 % High Tech Industries 6 13,266,361.44 3.39 % General Retail 11 16,788,750.00 4.29 % Hotel, Gaming & Leisure 14 47,184,798.66 12.06 % Healthcare 15 37,876,781.29 9.68 % Media: Advertising, Printing & Publishing 2 7,906,249.26 2.02 % Industrial/Manufacturing 8 18,845,132.57 4.82 % Media: Broadcasting & Subscription 5 16,490,000.00 4.21 % Lodging and Restaurants 2 8,409,362.97 2.15 % Retail 12 22,063,750.00 5.64 % Packaging and Containers 7 23,406,357.53 5.98 % Services: Business 11 31,850,660.11 8.14 % Pharmaceuticals 9 35,751,745.77 9.14 % Services: Consumer 1 3,539,500.00 0.90 % Real Estate 2 2,000,000.00 0.51 % Telecommunications 5 14,983,154.40 3.83 % Telecommunications 8 21,473,154.40 5.49 % Transportation: Cargo 1 942,507.07 0.24 % 4 4,805,036.56 1.23 % Textiles and Furniture Total 134 391,270,033.87 100.00 % Transportation and Distribution 1 5,500,000.00 1.41 %

Total 134 391,270,033.87 100.00 %

Page 53 of 57 DARTRY PARK CLO DAC As Of: 15-May-17 Next Payment: 28-Jul-17 CDO Trust Services Prior Payment: 28-Apr-17 www.usbank.com/cdo

Risk Retention

Confirmation Confirmation that the Collateral Administrator has received written confirmation from the Originator that: (a) it continues to hold the Retention 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.

Page 54 of 57 DARTRY PARK CLO DAC As Of: 15-May-17 Next Payment: 28-Jul-17 CDO Trust Services Prior Payment: 28-Apr-17 www.usbank.com/cdo

Originator Requirement

Category Description Result

Originator Requirement Detail (a) (i) Aggregate Principal Balance of Originator Assets plus Originator 266,782,154.20 Cash (ii) Aggregate Principal Balance including Eligible Investments 400,159,326.07

Originator Requirement Detail (b) (i) Originator Requirement 50% Threshold 200,079,663.03 (ii) Originator Requirement Deficiency 0.00 (iii) Originator Requirement Surplus 66,702,509.67

Originator Requirement Result (c) (i) Originator Requirement Percentage 66.67%

Additional Notices

Disclaimer

This report is for informational purposes only, that certain information included in the report is estimated, approximated or projected and that the report is provided without any representations or warranties as to accuracy or completeness and that none of the Portfolio Manager, the Issuer, the Trustee or the Collateral Administrator will have any liability for such estimates, approximations or projections.

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