EFTA00601458

Och-Ziff Institutional Credit Strategies: U.S. CLO Management September 2015 OCH-ZIFF CAP,. MANAGEMENT GROUP EFTA00601458 ck OCH-ZIFF CAPITAL Table of Contents MANAGEMENT GROUP I. Och-Ziff Capital Management Group Page 1 II. Och-Ziff Institutional Credit Strategies Page 5 III. U.S. CLO Performance Page 17 IV. Appendix Page 40 Biographies of Key Professionals OCH-ZIFF CAPITAL MANAGEMENT GROUP 1 EFTA00601459 ft OCH-Z1FF CAPITAL Och-Ziff Capital Management Group MANAGEMENT GROUP A leading global institutional alternative asset manager Profile Assets Under Management Across Four Primary Global Business Units': Founded 1994 AUM (billions) $46.1 Real Estate, Energy Convertible and Equities Credit and Other Derivative Arbitrage Employees 638 AUM: $25.2 billion AUM: $16.6 billion Private Investments AUM: S2.3 billion AUM: S3.2 billion Investment Professionals 182 Key Attributes Global Footprint In Eight Offices Worldwide: ■ Seek to achieve consistent, positive absolute returns across London Office Beijing Office market cycles Established 19 Established 2007 • Opportunistic and value-oriented 'New York ....--4hinghai Office I r e -- Established 2013 approach to capital allocation Headquarters Established 1994 •— Hong Kong Office • Expertise across multiple Established 2001 Houston Office strategies and geographies Established 2015 I I Murtha' Office - Established 2005 • Institutional quality risk 'originallyin management Bangalore' Dubai Offic Established 2013 As of September 1.2015 imless otherwise noted ' As of July 1,2015. Neese see page 3 for additional information regarding the Firm's AUM information. OCH-ZIFF CAPITAL MANAGEMENT GROUP 3 EFTA00601460 Och-Ziff Capital Management Group ft OCH-Z1FF CAPITAL Multi-Strategy Approach MANAGEMENT GROUP ■ Och-Ziff has four core businesses in the U.S., Europe and Asia ■ Investment professionals across all businesses collaborate on research, industry views and investment ideas Och-Ziff Capital Management Group AUM: $46.1 billion' Convertible / Real Estate and Och-Ziff Credit Strategies Equities Derivative Other Private $16.6 billion2 $25.2 billion2 Arbitrage Investments $2.3 billion2 $3.2 billion2 ■ Management changes ■ Mathematical approach ■ Multiple property types ■ Capital structure changes ■ Hedging of credit and ■ Direct equity Opportunistic Credit Institutional Credit Strategies currency ■ Spin•offs/split-offs ■ Joint ventures ■ Single company credit ■ Recapitalizations/ ■ REITs/REOCs arbitrage reorganizations ■ Corporate divestitures Customized ■ Relativevalue of different Corporate Credit Structured Credit CLO Management Solutions ■ Liquidations/divestitures structured products ■ Structured capital solutions ■ Corporate distressed and ■ Active strategies across ■ Senior secured loans ■ Commingled loan vehicles ■ Share class discrepancies opportunistic investing securitized products managed in a CLO structure ■ Industryfocused ■ Senior secured loans in ■ Mergers/tender offers deals/platforms ■ Other dislocated single name ■ Asset-based securities separate accounts ■ Proxy contests strategies and loans ■ Energy and ■ Rights offerings/exchange infrastructure offers ' As of September 1,2015 unless otherwise noted. The information contained herein is estimated based on unaudited data. Numbers are subject to rounding. z AUM information represents assets under management of OZ Management LP and its affiliates invested in each of the strategies shown as of July I, 2015. The AUM information includes combined assets invested through mulb-strategy funds and accounts, which engage in more than one of the strategies shown, assets invested through funds or accounts dedicated to a single strategy and CLOs. Strategy allocations of multi-strategy funds and accounts change over time and there can be no assurance that the information shown will not change materially. AUM infomiabon for funds and accounts engaging in multiple strategies has been calculated by adjusting to exclude leverage based on the following assumptions: Convertible/Derivative Arbitrage generally assumes a leverage ratio of 31 and Portfolio Finance, which is a sub-strategy of Convertible/Derivative Arbitrage, assumes a leverage ratio of 10:1. which approximates the historic leverage in these strategies. Synthetic Structured Credit, which is a sub-strategy of Structured Credit, assumes a leverage ratio of SI Share Class Long/ShimMich is a sub-strategy of tonglShort Equity Special Situations, assumes a leverage ratio of 31 for Asia and 10:1 for Europe. Certain non-recourse financing subsidiaries reflect capital at risk rather than the gross long market value of these entities, given the non-recourse nature of these entities. AUM information lit is presented gross of accrued incentive compensation. CO) for funds and accounts engaging in multiple strategies does not include capital allocated to cash and (iii) includes invested capital plus unfunded commitments. The Investment Manager may determine that the characteristics of a particular investment (i.e., risk, exposure, asset class, or other characteristics' are best represented by more than one strategy. In these situations, an investment may be divided into more than one strategy for purposes of this presentation. OCH-ZIFF CAPITAL MANAGEMENT GROUP 3 EFTA00601461 OCH-Z1FF CAPITAL A Differentiated Business Model MANAGEMENT GROUP ■ Leading institutional alternative asset manager with $46.1 billion in AUM Global Footprint ■ Established investment capability in all major markets ■ Strong international presence with eight offices globally ■ 21 years generating absolute returns for institutional investors Proven Track ■ Senior investment team has worked together for approximately 17 years at Och-Ziff Record ■ Disciplined, consistent investment and risk management processes ■ Core focus on financial, operational and compliance-related controls Institutional ■ Third party verification processes Infrastructure ■ Operations, Legal and Compliance professionals are integrated into investment process ■ Comprehensive reporting about each portfolio on a regular basis Transparency ■ Qualitative and quantitative information about investment processes ■ Regular meetings with investors ■ Investments by partners and employees comprise 7% of Och-Ziff's AUMI Alignment of ■ Och-Ziff's partners receive a substantial majority of their compensation from Interests distributions tied to profitability As of September I. 2015 unless otheryerse noted. As of July L 2015. OCH-ZIFF CAPITAL MANAGEMENT GROUP 4 EFTA00601462 ck OCH-Z1FF CAPITAL Table of Contents MANAGEMENT GROUP I. Och-Ziff Capital Management Group II. Och-Ziff Institutional Credit Strategies III. U.S. CLO Performance IV. Appendix Biographies of Key Professionals OCH-ZIFF CAPITAL MANAGEMENT GROUP 5 EFTA00601463 OCH-ZIFF CAPITAL Experienced Credit Manager MANAGEMENT GROUP Experience and Capabilities Och-Ziff has extensive experience investing in leveraged loans, bonds and credit derivatives Dedicated team of 61 credit investment professionals globally Experienced in par, stressed and distressed segments of the fixed income market Investment professionals across the capital structure regularly collaborate on research, industry views and investment ideas Critical mass and global reach results in sourcing and purchasing opportunities for all clients Ability to analyze all parts of a capital structure, focusing on downside scenarios, valuation and risk management Highlights Successfully closed 12 U.S. CLOs with a total transaction value of approximately $7.0 billion Led by Brett Klein, Head of U.S. Corporate Credit, and Donald Young, Senior Portfolio Manager, Institutional Credit Strategies, with significant and broad expertise investing and managing loan, credit and CLO portfolios Raised over $4.5 billion in dedicated credit funds' Leveraged loan fund with TRS financing — launched in 2008 and successfully managed through the crisis Managed credit vehicles with multiple structures through market cycles As of September 1,2015 unless othemvse noted. Includes committed capital which has not been invested. Amount raised does not include assets external' managed by an affiliated investment adviser pursuant to a joint venture arrangement for the period from 2001 through 2004. OCH-ZIFF CAPITAL MANAGEMENT GROUP 6 EFTA00601464 OCH-Z1FF CAPITAL ICS — Overview MANAGEMENT GROUP Launched in May 2012, Institutional Credit Strategies (`ICS') is Och-Ziff's asset management platform that invests in performing credit via CLOs and other customized solutions for clients Institutional Credit Strategies Growth in Och-Ziff ICS AUM (S billion) 13 ■ Leverages Och-Ziff's: — Extensive, global corporate credit expertise — Multi-strategy platform, including in-house S52 fundamental research across industries and asset classes — Robust risk management and operational infrastructure, both core to Och-Ziff ■ Today, Och-Ziff manages over $6 billion of loans, including 12 CLOs, an institutional income fund and customized solutions 2011 S1.0 2012 2013 2014 ■1-Aug-15 1 1AUM in CLOs AUM in Customized Solutions AUM in Loan Funds -Number of Vehicles ICS has a robust and integrated loan management platform with proprietary technology and processes As of September I, 2015 unless otherwrse noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 7 EFTA00601465 ft OCH-ZI FF CAPITAL ICS Global Team MANAGEMENT GROUP ICS Investment Committee — U.S. ICS Investment Committee — Europe David Windreich—EMD, Head of U.S. and European Investing, Member of Partner Management Committee Brett Klein—EMD, Head of U.S. Corporate Credit Harold Kelly— EMD, Head of Global Convertible and Derivative Arbitrage and Risk Management, Member of Partner Donald Young—MD, Senior Portfolio Manager,ICS - U.S. Management Committee Ad eel Shafiqullah—MD, Senior Portfolio Manager, ICS - Europe Brett Klein—EMD, Head of U.S. Corporate Credit Mathieu Clavel —MD, Head of European Corporate Credit Donald Young—MD, Senior Portfolio Manager, ICS — U.S. Taj Sidhu—MD, Head of European Private Investments Brett Klein Executive ManagingDirector Portfolio Management Global Corporate Credit Research Trading Asian Research & Trading U.S. Research U.S. Trading 3Professionals Michael Barnett Neal Goldman Jason Abbruzzese Jonathan Abramson Managing Director. Special Situations Managing Director, Restructuring Retail U.S. Loans Global Portfolio Specialists Donald Young Christopher Ballard Joshua Eisenberger Scott Macklin Brendan McCourt Peter Polanskyj Managing Director Resources Gaming. Lodging. Leisure Shipping. Financials U.S. Credit Managing Director, Rordolio Structuring & Analytics Myles McGreevy Ryan Mingo Ed Moak Daniel Reed Rebecca Lim Institutional Credit Strategies Energy/ Power Technology, Media, Telecom Healthcare U.S. Credit Portfolio Analytic: U.S. Sam Newman Joshua Pinkerton Kristofer Rodgers Anna Song Energy Industrials, Aerospace Energy Po✓tfolo Analy6cs Ross Rosenfelt Daven Shastri Robert Takacs Pierre Orient Restructuring/ Documentation Specialist Generalist Consumer/Retail Po✓tfolo Analy6cs Jing Wu Systems Specialist European Research European Trading Legal Specialists Mathieu Claval Dylan Szymanski Andy Paradis Francesco de Simone Rossi Julie Siegel Adeel Shafiqullah Managing Director Managing Director, Financials Consumer/Retail, Food& Beverage Building Products, Gaming Managing Director, European Credit Managing Director, Legal Pawel Pawlowski Nick Partinnon line Chen Gabriel Eners James Sutton Institutional Credit Strategies Energy, Chemicals Technology, Merka, Telecom; Cade Healthcare, industrials European Credit Legal/European General Counsel Europe Kinali Joshi Daniel Bley European Credit Legal / &woofing Deirdre Brady Legal/ Structuring Global Systems and Financial Controls Portfolio Finance Legal & Compliance Operations & Accounting 9 Professionals 51 Professionals 141 Professionals As of September 1.2015. The orofessionals listed on this nape dedicate a nonion of their orofessional tree and attention to MS There is no guarantee that any particular individual will be involved in the management of the anatomy for env given nerved of time if at all OCH-ZIFF CAPITAL MANAGEMENT GROUP 8 EFTA00601466 ft OCH-Z1FF CAPITAL Extensive In-House Analytical Resources MANAGEMENT GROUP ICS — Collaborative Investment Approach Investment Analysts Portfolio Manager ICS Investment Committee Throughout the investment process, the firm's extensive network of industry resources is utilized Credit Selection Portfolio Management Credit Monitoring Transaction Compliance ■ Leverage relationships with ■ ICS Team led by experienced ■ Dedicated credit analysts ■ Experienced collateral team sponsors, advisors and loan and credit managers ■ Active consultation with ■ Legal expertise of the Och- others ■ Benefit of global perspective global Och-Ziff industry Ziff team ■ Global industry network to of managers across various specialists ■ Utilizes Wall Street Office optimize diligence and Och-Ziff strategies ■ In-house restructuring and proprietary in-house research ■ Dedicated corporate credit professionals systems ■ Participation across markets group with full research, ■ Active and dedicated ■ Experience managing trading and management ■ Diverse industry coverage corporate trading platform structured portfolios through capabilities market cycles ■ Daily meeting with analysts and portfolio manager to reassess investments and review new opportunities OCH-ZIFF CAPITAL MANAGEMENT GROUP 9 EFTA00601467 ft OCH-Z1FF CAPITAL Investment Process MANAGEMENT GROUP ICS Team Investment analysts ICS Investment Committee Investment Analysts ■ Global footprint across all major markets ■ Industryevaluation and assessment ■ U.S.: ■ Dedicated credit analysts ■ Core strategies across performing credit, ■ Financial modeling and free cash flow David Windreich ■ Ongoing interaction with Och•Zitf industry distressed, special situations, structured and analysis Harold Kelly specialists private investments ■ Asset valuation and relative value analysis Brett Klein ■ In•house restructuring and recovery Donald Young expertise utilized in relevant situations ■ Active dialogue between credit analysts, ■ Consultation with trading team to understand industry coverage and portfolio manager technical factors ■ Europe: Portfolio Manager Brett Klein ■ Critical mass and global reach results in ■ Daily meeting with analysts and portfolio Portfolio Manager Donald Young unique sourcing and purchasing review Adeel Shafiqullah opportunities ■ Daily meetings with analysts ■ Surveillance of portfolio concentrations, Mathieu Clavel ■ Leverage relationships with sponsors and ■ Financial/ Legal review and discussion exposures and other risks Tajinder Sidhu advisors ■ Dynamic process to reassess investments ■ Monitoring of collateral management and review new opportunities ■ Approval required on all investments function and coordination of necessary legal ■ Selects best investment ideas and identifies ■ Ongoing review of structure and market review best credit instrument performance ■ Identification of key issues at ICS Investment ■ Performs scenario analysis to maximize risks ■ Discussion of concentrations, spreads, Committee meetings / rewards exposures, risks and recent trades ICS Investment Committee ■ Performs stress tests to assess performance under various economic outcomes Execution ■ Ongoing review of structure and market performance ■ Portfolio Manager oversees execution of all trades to ensure best execution ■ Discussion of concentrations, exposures, risks and recent trades ■ Trade initiation after ICS Investment Committee approval Portfolio Analytics Team ■ Global network of trading relationships ■ In-house and third party systems utilized to across credit platform ensures access to track positions and monitor structural deep markets and best levels compliance The ICS Team generates ideas utilizing Research-driven, fundamental bottom-up ■ Systems perform parallel checks of all their internal and external networks with a analysis focused on fundamentals, indenture requirements and other obligations focus on deep fundamentals qualitative and quantitative factors As of September 1.3015 unless otherwise noted. Note: The investment and risk management process set forth above are provided for illustrative purposes onN and may vary from investment to investment. This is a high-level overview of the risk-management framework; the risk management process may be changed and the actual steps in the risk management process may vary and may be substituted, supplemented or ommed. OCH-ZIFF CAPITAL MANAGEMENT GROUP 10 EFTA00601468 ft OCH-Z1FF CAPITAL Investment Philosophy MANAGEMENT GROUP ICS utilizes the broader Och-Ziff platform to enhance security analysis and consider relative value Fundamental, Multi-Asset and Multi-Geography Approach 1 Manakin; Loan Manager Och-ZiffICS Public Equity Investing Real Estate Private Equity Energy Private Equity Commodity Volatility Trading Global Reach and Relationships Fundamental Fundamental Credit Investing Credit Investing Monoline Loan Manager Och-Ziff ICS Investment Investment Capabilities Capabilities OCH-ZIFF CAPITAL MANAGEMENT GROUP 11 EFTA00601469 ft OCH-Z1FF CAPITAL Portfolio Risk Management, Systems and Financial Controls MANAGEMENT GROUP Core Component of the Business Portfolio Monitoring ■ Individual positions are monitored by the portfolio manager and investment analysts ■ Formal Credit Agreement review process utilizing internal and external legal resources ■ Stress testing and potential downside analysis Indenture Compliance ■ Portfolio Analytics Team performs review of portfolio concentrations, exposures and other borrower compliance on an actual and pro forma basis ■ Och-Ziff proprietary systems perform parallel checks of all indenture requirements and other obligations Risk Management Infrastructure ■ Risk Management Committee reviews the portfolio regularly and formally meets on a weekly basis — Overseen by Daniel S. Och, Executive Managing Director and Chief Executive Officer, and comprised of: — David Windreich, Executive Managing Director and Head of U.S. and European Investing; — Joel Frank, Executive Managing Director, Chief Financial Officer; — Harold Kelly, Executive Managing Director and Head of Global Convertible and Derivative Arbitrage and Risk Management; — Zoltan Varga, Executive Managing Director and Head of Asian Investing; — James O'Connor, Executive Managing Director and Head of Business Management and Portfolio Finance; — Boaz Sidikaro, Executive Managing Director and Head of U.S. Equities; — Sean Rhatigan, Executive Managing Director and Senior Controller; — James Levin, Executive Managing Director and Head of Global Credit; — Wayne Cohen, Executive Managing Director and Chief Operating Officer; — Adrian Croxson, Executive Managing Director and Head of European Equities; — David Becker, Executive Managing Director, Chief Legal Officer; and — Kenneth Perry, Managing Director and Head of Risk Management ■ Dedicated Risk Management Analytical Group comprised of four professionals ■ 51 professionals in Legal and Compliance teams Systems and Financial Controls ■ Daily reconciliation with Trustee ■ Dedicated loan settlement function As of September 1, 2015 unless otherwise noted. Note: The investment and risk management process set for above are provided for illustrative purposes only and may vary from investment to investment. This is a high-level overview of the risk-management framework; the risk management process maybe changed and the actual steps in the risk management process may vary and may be substituted, supplemented or ',nutted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 12 EFTA00601470 OCH-ZIFF CAPITAL Och-Ziffs Proprietary Management System MANAGEMENT GROUP ■ Och-Ziff's proprietary ICS Loan Asset Management System monitors eligible loans — Data is constantly updated from market sources and credit analysts in order to maintain a dynamic database of loan details and company fundamentals .• CZ 00 los, Minalener..t )1010.-±5.0., • kW. 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OCH-ZIFF CAPITAL MANAGEMENT GROUP 15 EFTA00601473 ft OCH-Z1FF CAPITAL ICS Competitive Advantages MANAGEMENT GROUP Over the course of a hill market cycle, ICS seeks to generate alpha with less risk through a combination of ■ The U.S. and European ICS portfolio managers, Donald Young and Adeel Shafiqullah, collaborate to source and execute upon investment ideas across a broad range of sectors, industries and regions An Experienced, ■ Mr. Young has over 23 years of experience, while Mr. Shafiqullah has over 17 years of Global Team experience, in the performing credit, CLO and leveraged loan space ■ Senior investment professionals have managed capital through multiple credit cycles ■ ICS leverages Och-Ziff's 61 credit investment professionals in New York, London and Hong Kong A Fundamental ■ Fundamental approach with a focus on downside protection and optimization to avoid defaults Investment ■ Active collaboration with global equities, energy, real estate and other strategy teams to enhance Process underwriting capabilities ■ Seek to identify most attractive risk/reward opportunities An Active ■ Continuously evaluate credit quality, expected returns and portfolio liquidity Approach — In 2014, Och-Ziff traded over $19.7 billion in U.S. corporate credit and $12.3 billion in U.S. leveraged loans As of September I, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 18 EFTA00601474 ck OCH-Z1FF CAPITAL Table of Contents MANAGEMENT GROUP I. Och-Ziff Capital Management Group II. Och-Ziff Institutional Credit Strategies III. U.S. CLO Performance IV. Appendix Biographies of Key Professionals OCH-ZIFF CAPITAL MANAGEMENT GROUP 17 EFTA00601475 Och-Ziff Loan Management LP OCH-ZIFF CAPITAL as Collateral Manager for Och-Ziffs U.S. CLOs MANAGEMENT GROUP U.S. CLO Performance Summary' Inception Inception To Date To Date Initial Deal Size Equity Size Distributions Annualized Jr. Most 0/C Par Build Annualized Par DEAL IS millions) Closing Date IS millions) (% of Equity)2 Cash on Cash2 Test Cushion2 Notional ($P Build %2 OZLM Funding 510.70 7/19/2012 51.70 59.89% 19.91% 5.38% 6,323,532 0.42% OZLM Funding II 560.10 11/1/2012 61.60 56.95% 20.77% 5.16% 5,807,757 0.39% OZLM Funding III 653.25 2/20/2013 70.00 51.68% 21.38% 5.32% 7,692,615 0.51% OZLM Funding IV 600.00 6/27/2013 52.75 57.30% 27.70% 3.79% 4,310,888 0.37% OZLM Funding V 501.25 12/17/2013 46.25 41.75% 26.41% 4.88% 3,849,811 0.51% OZLM VI 621.25 4/16/2014 53.50 30.58% 24.42% 4.44% 2,460,348 0.33% OZLM VII 824.75 6/26/2014 68.00 25.02% 23.66% 4.18% 1,321,863 0.16% OZLM VIII 622.25 9/9/2014 58.50 22.16% 26.01% 4.17% 892,132 0.18% OZLM IX 510.21 12/22/2014 48.71 13.77% 16.00% 4.66% 559,333 0.14% OZLM XI 510.50 3/12/2015 40.50 8.29% 21.62% 4.51% 84,499 0.05% OZLM XII 565.65 5/28/2015 48.65 WA WA WA WA WA OZLM XIII 511.60 8/6/2015 41.00 WA WA WA WA WA Past performance is not illustrative or indicative of the performance of future U.S. or EuropeanCL0s. ' As of September 1, 2015 unless otherwise noted. 2 Includes all distributions through July30, 2015. OCH-ZIFF CAPITAL MANAGEMENT GROUP 18 EFTA00601476 ft Och-Ziff Loan Management OCH-ZIFF CAPITAL OZLM Funding, Ltd. MANAGEMENT GROUP Fund Overview Current Deal Summary Initial Balance Ratin Capital Structure (S millions) (Moody's/M) Coupon Closing Date July 19, 2012 Class A-1 322,800,000 Aaa/AAA L + 1.50% Non-Call July 21, 2014 ______ ______ ----- Class A-2 58,000,000 NFVAA L + 3.25% Reinvestment Period July 22, 2016 Class 8 37,500,000 NR/A L+3.75% Final Maturity July 22, 2023 Class C 19,100,000 NFVBBB L + 5.00% Class D 21,600,000 NR/BB L+6.10% Assets Par Amount % Subordinated Notes 51,700,000 NR/NR Residual Floating Rate Assets 100.0 Total 510,700,000 Fixed Rate Assets 0.0 Structured Finance 0.0 Equity Distributions Total 100.0 Cumulative Annualized Distribution Distribution Distribution 45% 70% r% Date Distribution as a % of Par as a % of Par Cash on Cash .c 40% 60% 1/22/2013 3,743,471 ...7.2% 7.2% 14.1% 1' ca 35% 50% 4/22/2013 2,844,752 - 5.5% 12.7% 22.3% g 30% % Ongeinwn3 7/22/2013 3,485,609 6.7% 19.5% 27.0% 25% 40% 10/22/2013 3,177,730 6.1% 25.6% 24.4% 20% 1/22/2014 2,231,191 4.3% 29.9% 17.1% ci) N 15% 4/22/2014 3,109,994 6.0% 36.0% 24.4% 20% E• 10% 7/22/2014 2,341,030 4.5% 40.5% 18.2% 10% • 5°,5 10/22/2014 2,522,048 4.9% 45.4% 19.4% 0% 0% 1/22/2015 2,271,345 4.4% 49.8% 17.4% 4/22/2015 2,731,036 5.3% 55.0% 21.4% 'ac<b <b 'C 7/22/2015 2,502,384 4.8% 59.9% 19.4% PI' ot. vst stt P vst • Cumulative Distribution ■ Annualized Distribution Cash on Cash As of July 14, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 19 EFTA00601477 Och-Ziff Loan Management OCH-ZIFF CAPITAL OZLM Funding, Ltd.' MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class D Overcollateralization Cushion 3,000 5.5% 112% 2.900 110% 2.800 5.0% 108% 2,700 2,600 4.5% 106% 2,500 104% 2.400 4.0% 102% 2.300 2.200 15% 100% P 0 1a ,0 0 0 0 0 0 4 Nt` :4' 0 *•°' 0 0 0 0 .+0 let t 01011,1 1 4# 4, +6.11 4 01 1144 1. .1eel 1 $44:4 0 0 4 lit et +61( DWARF —WAFtF Limit WAS —WAS Limit Class D 0/C —Class D 0/C Unit Collateral Type Top Industries Second Lien Loan Lodging and Casinos 4% Senior Secured Loan — 11% First Lien Last Out Health Care 6% 9% Other (231 36% Financial Intermediaries 7% Leisure Goods / Equipment Activities / Movies Leasing 7% 4% Business Equipment and Services Electronics 6% Electrical Senior Secured Loan Retailers !except 4% 90% Radio and food and diugl Television Telecommunications 6% 4% 6% As of July 14, 2015 unless otherwise noted. OZLM Funding, Ltd. closed on July 19,2012. OCH-ZIFF CAPITAL MANAGEMENT GROUP 20 EFTA00601478 Och-Ziff Loan Management OCH-ZIFF CAPITAL OZLM Funding II, Ltd. MANAGEMENT GROUP Fund Overview Current Deal Summary Initial Balance Ratinpi_ Capital Structure (S millions) (Moody's/M) Coupon Closing Date November 1, 2012 Class A-1 336,500,000 AaaiAAA L+1.48% Non-Call October 29, 2014 Class A-2 62,900,000 NR/AA L+2.65% Reinvestment Period October 30, 2016 Class B 45,800,000 NR/A L+ 3.25% Final Maturity October 30, 2023 Class C 26,500,000 NR/BBB L+ 4.35% Assets Par Amount % Class D 26,800,000 NR/BB LI 5.30% Floating Rate Assets 100.0 Subordinated Notes 61,600,000 NR/NR Residual Fixed Rate Assets 0.0 Total 560,100,000 Structured Finance 0.0 Total 100.0 Equity Distributions Cumulative Annualized 40% 60% Distribution Distribution Distribution 55% Date Distribution as a % of Par as a % of Par Cash on Cash 35% 50% 4130/2013 7,051,606 11.5% 11.5% 23.2% 30% 45% a 40% % SADBITIWI13 7/30/2013 4,099,290 6.7% 18.1% 26.7% 0 25% 35% 10/30/2013 3,669,244 6.0% 24.1% 23.6% 1O 20% 30% 1/30/2014 2,651,829 4.3% 28.4% 17.1% 25% 4/30/2014 3,337,799 5.4% 33.8% 22.0% 2 15% 20% 7/30/2014 2,780,536 4.5% 38.3% 18.1°,10 a I0% 15% 10/30/2014 2,944,762 4.8% 43.1% 19.0% 10% 5% 1/30/2015 2,595,752 4.2% 47.3% 16.7% 5% 0% 0% 4/30/2015 3,095,273 5.0% 52.3% 20.4% Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 7/30/2015 2,854,587 4.6% 57.0% 18.6% • Cumulative Distribution • Annualized Distribution Cash on Cash As of July 22, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 21 EFTA00601479 Och-Ziff Loan Management OCH-ZIFF CAPITAL OZLM Funding II, Ltd.' MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class D Overcollateralization Cushion 3.400 5.2% 110% 3.200 5.0% 109% 4.8% 108% 3.000 4.6% 107% 2.800 4.4% 106% 2.600 ie 4.2% 105% 2.400 -i 4.0% 104% 0 0 0 0 0 ;II' 4. Nu 4, 4:3 p p P Nu Nu Nu p oopoPo ,u 4. 43 43 43 ge, coe s2z. ..,e,p0 (Os" si 0 2. of it (Ot ecc,..4) pcSt eel o,,,'z. 1 of 1 se! Of fed DWARF DWARF Limit WAS WAS Limit Class 0010 Class 00/C Limit Collateral Type Top Industries Second Lien Loan Lodging and Casinos Senior Secured Loan — 4% 10% Health Care First Lien Last Out — 9% Business Equipment 5% and Services Other (231 7% 37% Financial Intermediaries 7% Leisure Goods/ Activities! Movies Utilities 6% 3% Retailers (except food and drug) Senior Secured Loan Electronics / 6% 91% Electrical Radio and Telecommunications 5% Television 5% 5% As of July 22, 2015 unless otherwise noted. OZLM Funding II, Ltd. closed on November 1, 2012. OCH-ZIFF CAPITAL MANAGEMENT GROUP 22 EFTA00601480 ft Och-Ziff Loan Management OCH-Z1FF CAPITAL OZLM Funding III, Ltd. MANAGEMENT GROUP Fund Overview Current Deal Summary Initial Balance Ratin, Capital Structure (S millions) (Moody's ) Coupon Closing Date February 20, 2013 Class A-1 396,500,000 Aaa/AAA L + 1.33% Non-Call January 21, 2015 Class A-2A 59,875,000 NR/AA L + 225% Reinvestment Period January 22, 2017 Class A-2B 19,000,000 NR/AA 3.51% Final Maturity January 22, 2025 Class B 47,375,000 NR/A L+3.10% Assets Par Amount % Class C 30,500,000 NR/BBB L + 3.90% Floating Rate Assets 100.0 Class D 30,000,000 NR/BB L + 5.00% Fixed Rate Assets 0.0 Subordinated Notes 70,000,000 NR/NR Residual Structured Finance 0.0 Total 653,250,000 Total 100.0 Equity Distributions 24% 55% Cumulative Annualized n 23% 50% Distribution Distribution Distribution co 45% Date Distribution as a % of Par as a % of Par Cash on Cash 40% 1 7/22/2013 6,856,040 9.8% 9.8% 23.5% I 35% 2 30% 3c 10/22/2013 3,679,216 5.3% 15.1% 20.9% 25% Ft 1/22/2014 3,522,534 5.0% 20.1% 20.0% 20% 0 4/22/2014 4,030,664 5.8% 25.8% 23.4% 15% a? 7/22/2014 3,436,368 4.9% 30.8% 19.7% 10% 10/22/2014 3,659,540 5.2% 36.0% 20.7% 5% 1/22/2015 3,169,096 4.5% 40.5% 18.0% 16% 0% 4/22/2015 4,035,157 5.8% 46.3% 23.4% Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 7/22/2015 3,784,050 5.4% 51.7% 21.7% • Cumulative Distribution • Annualized Distribution Cash on Cash As of July 14, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 23 EFTA00601481 Och-Ziff Loan Management OCH-ZIFF CAPITAL OZLM Funding III, Ltd.' MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class D Overcollateralization Cushion 3.400 4.8% 110% 3.200 4.6% 109% 4.4% 108% 3.000 4.2% 107% 2.800 4.0% - 10856 2.600 3.8% • 105% 2.400 3.6% 104% 4,e V sal .er 4.0 „er 4,91; „so ssy Nt% 4 :% 4 :% 4) 4) 4) 4) 4 ") C) C) 4 % 4 %. I 1 It 4 31. 4 1 V 4$: 4.0: V se/ ,o4" 4.1 WARF WARE Limit WAS WAS Limit Class 0 O/C —Class 0 OfC Limit Collateral Type Top Industries Business Equipment Unsecured Loan and Services Senior Secured Loan — Second Lien Loan Financial Intermediaries <1% 8% First Lien Last Out 5% 8% 3% Retailers (except food and drug) Other (241 7% 37% Lodging and Casinos 7% Health Care 7% Telecommunications Utilities 4% 6% Senior Secured Loan 92% Publishing Leisure Goods/ Electronics / Activities / Movies 5% As of July 14, 2015 unless otherwise noted. Electocal 6% ' OZLM Funding III, Ltd. closed on February 20, 2013. 5% OCH-ZIFF CAPITAL MANAGEMENT GROUP 24 EFTA00601482 Och-Ziff Loan Management ft OCH-ZIFF CAPITAL OZLM Funding IV, Ltd. MANAGEMENT GROUP Fund Overview Current Deal Summary Initial Balance Ratin Capital Structure (S millions) (Moody's/M) Coupon Closing Date June 27, 2013 Class A-1 348,500,000 Aaa/AAA L+ 1.15% Non-Call July 21, 2015 Class A-2 85,000,000 NR/AA L+ 1.15% Reinvestment Period July 22, 2017 Class B 41,000,000 NR/A L+2.85% Final Maturity July 22, 2025 Class C 31,000,000 NR/BBB L + 3.20% Assets Par Amount % Class D 26,750,000 NR/BB L + 4.65% Floating Rate Assets 100.0 Class E 15,000,000 NR/B L + 4.90% Fixed Rate Assets 0.0 Subordinated Notes 52,750,000 NR/NR Residual Structured Finance 0.0 Total 600,000,000 Total 100.0 1111 35% 60% Equity Distributions 55% .0 30% 50% Cumulative Annualized 63"' Distribution Distribution Distribution 45% 25% Date Distribution as a % of Par as a % of Par Cash on Cash 0 40% g 20% 35% g 1/22/2014 9,091,208 17.2% 17.2% 30.1% 30% AT 4/22/2014 3,883,892 7.4% 24.6% 29.9% -0 15% 25% N W 7/22/2014 3,204,758 6.1% 30.7% 24.4% 20% aslt TTI 10 % ',. 15% 10/22/2014 3,410,432 6.5% 37.1% 25.7% 10% 5% 1/22/2015 3,094,768 5.9% 43.0% 23.3% 5% 4/22/2015 3,829,670 7.3% 50.3% 29.4% 0% 0% 7/22/2015 3,713,387 7.0% 57.3% P8.P96 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 • Cumulative Distribution • Annualized Distribution Cash on Cash As of July 14, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 25 EFTA00601483 Och-Ziff Loan Management ft OCH-Z1FF CAPITAL OZLM Funding IV, Ltd.' MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class E Overcollateralization Cushion 3,400 4.8% 107% 4.6% ...----- %......... 105% 3,200 4.4% 105% 3,000 4.2% • 104% 2,800 %'s-.„,...._........\.... 4.0% 103% 2.600 ,....-....-.0. 3.8% 102% 2.400 • i i I 3.6% -.- 101% . • I 4) O 44 414 •S1 ;t 4 LP et ....,:‘ IX_4>IX t„,*, t 4.4. AP .....•@ .,;(*.4 IP et 1 1 1 1 et 1 e I * ey ip - ..stV . .-0 4,,,,,,. 'r s ib, i p - !sir itir gut * 0 .4. + t (< • si 4,siK •V 0 I e )0 4%QV . 41, .0 WARF—WARF Limit WAS WAS Umit Class E 0/C —Class E O/C Umit Collateral Type Top Industries Lodging and Casinos Retailers (except Senior Secured Loan — Second Lien Loan 9% food and drug) First Lien Last Out 5% 8% 3% Business Equipment Other (241 and Services 36% 8% Heakh Care 7% Electronics I Equipment Leasing Electrical 4% 6% Leisure Goods / Publishing Senior Secured Loan —Activities / Movies 5% 92% 6% Telecommunications Financial Intermediaries 5% 6% As of July 14, 2015 unless otherwise noted. ' OZLM Funding IV, Ltd. closed on June 27, 2013. OCH-ZIFF CAPITAL MANAGEMENT GROUP 26 EFTA00601484 Och-Ziff Loan Management ft OCH-Z1FF CAPITAL OZLM Funding V, Ltd. MANAGEMENT GROUP Fund Overview Current Deal Summary Initial Balance Ratin Closing Date December 17, 2013 Capital Structure (S millions) (Moody's=) Coupon Non-Call January 16, 2016 Class A-1 290,500,000 Aaa/AAA L + 1.50% Reinvestment Period January 17, 2018 Class A-2 65,250,000 NFt/AA L+ 2.25% Final Maturity January 17, 2026 Class B 36,750,000 NR/A L + 3.00% Assets Par Amount % Class C 26,250,000 NR/BBB L + 3.50% Floating Rate Assets 100.0 Class D 23,000,000 NR/BB L + 4.75% Fixed Rate Assets 0.0 Class E 13,250,000 NR/B L+ 5.50% Structured Finance 0.0 Subordinated Notes 46,250,000 NR/NR Residual Total 100.0 Total 501,250,000 35% 45% nco 30% 40% Equity Distributions 35% Cumulative Annualized 25% `-', c. 30% 2 Distribution Distribution Distribution (5, 20% 25% 2 Date Distribution as a % of Par as a % of Par Cash on Cash C, c 15% 20% 7/17/2014 8,523,835 18.4% 18.4% 31.7% co N 15% 10/17/2014 2,744,868 5.9% 24.4% 23.6% .To 10% c 10% 1/20/2015 2,161,625 4.7% 29.0% 18.0% <c 5% 5% 4/17/2015 2,982,600 6.5% 35.5% 27.1% 0% 0% 7/17/2015 2,896,808 6.3% 41.8% 25.1% Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 • Cumulative Distribution • Annualized Distribution Cash on Cash As of July8,2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 27 EFTA00601485 Oz Och-Ziff Loan Management OCH-ZIFF CAPITAL OZLM Funding V, Ltd.' MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class D Overcollateralization Cushion 3,400 5.0% 111% 4.8% 110% 3,200 109% 4.6% 3.000 108 % 4.4% 2.800 107% 4.2% • 106% 2.600 - 11.1.4Ssi. 4.0% 105% 2.400 • I • I 3.8% . . 1 1 1 1 1 1 1 1 1 1 1 1 1 1 104% 4. 43 4. 4.43. .4' .43 4. 4. 4 4 4 4 43 4\h * * * 4'1 ° 4" 4 4' 4" 10 2° 2° :4' N;l* 2° 7:? 2° 2° 2:e* ;° :.13 21° 21° 21° 211° 40Oen' Ic at 01, sat b4 xi s°° t yp al qteec, vice 1 v). it,0 16,1 I?, Al? WARF DWARF Limit WAS WAS Limit Class 00/C Class D 0/C Limit Collateral Type Top Industries Business Equipment and Services Senior Secured Loan — Second Lien Loan 8% Lodging and Casinos First Lien Last Out 5% 8% 4% Leisure Goods / Activities / Movies Other (23) 7% 38% Financial Intermediaries 6% Health Care 6% Equipment Leasing Electronics/ Electrical Senior Secured Loan 4% 6% 91% Publishing Retailers (except 5% Telecommunications food and drug) As of July 8,2015 unless otherwise noted. Mei ' OZLM Funding V, Ltd. closed on December 17,2013. 6% OCH-ZIFF CAPITAL MANAGEMENT GROUP 28 EFTA00601486 Och-Ziff Loan Management OCH-ZIFF CAPITAL OZLM VI, Ltd. MANAGEMENT GROUP Fund Overview Current Initial Balance Ratings Deal Summary Capital Structure (S millions) (Fitch/Moody's) Coupon Closing Date April 16, 2014 Class A-1 375,000,000 AANAaa L+ 1.55% Non-Call April 16, 2016 Class A-2a 49,500,000 NR/Aa2 L+2.15% Reinvestment Period April 17, 2018 Class A-2b 30,000,000 NR/Aa2 4.47% Final Maturity April 17, 2026 Assets Par Amount% Class B 36,750,000 NR/A2 L+ 2.90% Floating Rate Assets 100.0 Class C 37,500,000 NR/Baa3 L+3.50% Fixed Rate Assets 0.0 Class D 27,000,000 NR/Ba3 L+ 4.75% Structured Finance 0.0 Class E 12,000,000 NR/B2 L+ 5.50% Total 100.0 Subordinated Notes 53,500,000 NR/NR Residual 35% 35% Total 621,250,000 .= 30% 30% 60 cg 25% ■ 25% (-) Equity Distributions 0 fa 20% 03 Cumulative Annualized 0_, Distribution Distribution Distribution -0 15% Date Distribution as a % of Par as a % of Par Cash on Cash 10% 10/17/2014 6,683,619 12.5% 12.5% 24.8% 5% 5% 1/20/2015 2,710,431 5.1% 17.6% 19.5% 0% 0% 4/17/2015 3,511,867 6.6% 24.1% 27.5% Oct-14 Jan-15 Apr-15 Jul-15 7/17/2015 3,453,863 6.5% 30.6% 25.9% • Cumulative Distribution • Annualized Distribution Cash on Cash As of July 8,2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 29 EFTA00601487 Oz Och-Ziff Loan Management OCH-ZIFF CAPITAL OZLM VI, Ltd.' MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class D Overcollateralization Cushion 3.000 5.0% 109% 4.8% 108% 2,800 4.6% 107% 4.4% 108% 2,600 ••••maerr., 4.2% 105% 4.0% 104% 2,400 3.8% 103% te. 0 0. 0 0 0 0 0 4; et0 N:AS 4• + • .3 \t" NU 45 45 4.5 45 4. 4'. ...co 64. C" Mr 4: ANcs:ote st. <4 v om V: 4eb A. CS 4 1 D Cs(1 ft cg, 1 E V): v V .t 5 CS! IZ-C4 ‘' 4 1' ‘t 4% CP DWARF WARF Umit WAS WAS Limit Class 0 0/C Class 0 OX Limit Collateral Type Top Industries Second lien Loan Leisure Goods / Activities / Movies Senior Secured Loan — 10% First Lien Last Out 5% Business Equipment and Services 3% 10% Retailers (except Other (23) food and drug) 34% 8% Electronics! Electrical Industrial Equipment 7% 4% Health Care 7% Lodging and Casinos 4% Senior Secured Loan Telecommunications 92% 6% Financial Intermediaries Publishing 5% 5% As of July 8,2015 unless otherwise noted. OZLM VI, Ltd. closed on Apri116, 2014. OCH-ZIFF CAPITAL MANAGEMENT GROUP 30 EFTA00601488 Och-Ziff Loan Management ft OCH-Z1FF CAPITAL OZLM VII, Ltd. MANAGEMENT GROUP Fund Overview Current Initial Balance Ratings Deal Summary Capital Structure (S millions) (Fitch/Moody's) Coupon Closing Date June 26, 2014 Class A-la 310,000,000 AAA/Aaa L + 1.42% Non-Call July 17, 2016 Class A-1b 190,000,000 AAA/Aaa L+ 1.49% Reinvestment Period October 17, 2018 Class A-2a 66,000,000 NR/Aa2 L+ 2.05% Final Maturity July 17, 2026 Class A-2b 40,000,000 NR/Aa2 4.25% Assets Par Amount % Class 8-1 25,000,000 NR/A2 L + 2.85% Floating rate assets 100.0 Class B-2 21,750,000 NR/A2 5.35% Fixed rate assets 0.0 Class C 50,000,000 NR/Baa3 L+ 3.60% Structured finance 0.0 Class D 33,250,000 NR/Ba2 L + 5.00% Total 100.0 Class E 20,750,000 NR/B2 L + 5.90% Subordinated Notes 68,000,000 NR/NR Residual 35% 26% 24% Total 824,750,000 .c 30% 22% co 20% `—', 25% 18% c-, ci Equity Distributions (5, 20% 16%3 14% = 03 Cumulative Annualized o-0 15% 12% 14. Distribution Distribution Distribution co N 10%0 .7,7, 10% 8% ate Date Distribution as a % of Par as a % of Par Cash on Cash c 6% 1/20/2015 7,843,556 11.5% 11.5% 20.2% < 5% 4% 2% 4/17/2015 4,601,896 6.8% 18.3% 28.4% 0% 0% 7/17/2015 4,569,381 6.7% 25.0% 27.0% Jan-15 Apr-15 Jul-15 • Cumulative Distribution • Annualized Distribution Cash on Cash As of July 8, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 31 EFTA00601489 Oz Och-Ziff Loan Management OCH-ZIFF CAPITAL OZLM VII, Ltd.1 MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class D Overcollateralization Cushion 3,000 4.8% 110% 109% 4.6% 108% 2,800 4.4% 107% •• 4.2% 106% 2,600 105% 4.0% 104% 2,400 • 3.8% 103% • %.‘ ;e3 1' 1 .3 1 .3 s./ :t) c; lackt, • 1 ') <1 1 .3 4 '3 1' < 4) N 4) +6%. O04 ceg) 0 OE 44° 1 4fr ,fr 1 1 0 4s. hoc t WARE WARE Limit —WAS WAS Limit Class 0 0/C Class D 0/C Limit Collateral Type Top Industries Unsecured Loan Health Care Senior Secured Loan — <1% Second Uen Loan Retailers (except 9% First Lien Last Out 5% food and drug) 2% 9% Other 1241 Business Equipment 34% and Services 9% Chemical / Plastics Electronics/ Electrical 4% 8% Leisure Goods / Lodging and Casinos —Activities / Movies 4% 7% Senior Secured Loan Financial Intermediaries Telecommunications 93% Publishing 6% 5% 5% As of July 8,2015 unless otherwise noted. ' OZLM VII, Ltd. closed on June 26, 2014. OCH-ZIFF CAPITAL MANAGEMENT GROUP 32 EFTA00601490 Och-Ziff Loan Management Gk. OCH-ZIFF CAPITAL OZLM VIII, Ltd. MANAGEMENT GROUP Fund Overview Current Initial Balance Ratings Deal Summary Capital Structure (S millions) (Fitch/Moody's) Coupon Closing Date September 9, 2014 Class A-la 348,000,000 AAA/Aaa L + 1.44% Non-Call October 16, 2016 Class A-1b 30,000,000 AAA/Aaa 3.38% Reinvestment Period October 17, 2018 Class A-2a 66,750,000 NR/Aa2 L+ 2.15% Final Maturity October 17, 2026 Class A-2b 10,000,000 NR/Aa2 4.39% Assets Par Amount % Class B 33,500,000 NR/A2 L + 3.00% Floating rate assets 100.0 Class C 33,500,000 NR/Baa3 L + 3.50% Fixed rate assets 0.0 Class D 30,000,000 NR/8a3 L + 4.95% Structured finance 0.0 Class E 12,000,000 NR/B2 L + 5.60% Total 100.0 Subordinated Notes 58,500,000 NR/NR Residual 35% 24% Total 622,250,000 1• 22% .0 30% - 20% 18% 25% Equity Distributions 0 16% n -g 20% 14% Cumulative Annualized co CO 12% 07 Distribution Distribution Distribution -0 15% 10% F; Date Distribution as a % of Par as a % of Par Cash on Cash N W 8% alz .773 10% 0 6% 4/17/2015 9,458,622 16.2% 16.2% 26.8% 4% 4:4 5% 7/17/2015 3,506,104 6.0% 22.2% 24.0% 2% 0% 0% Apr-15 Jul-15 • Cumulative Distribution • Annualized Distribution Cash on Cash As of July 8, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 33 EFTA00601491 Och-Ziff Loan Management OCH-Z1FF CAPITAL aLLM VIII, Ltd.' MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class D Overcollateralization Cushion 3,000 4.8% 110% 109% 4.6% 108% 2.800 4.4% 107% 4.2% • 106% 2.600 105% 4.0% • 104% 2.400 3.8% • 103% 1y 1y 1y 1> 1h 1y 1 vst 1 WARF WARE limit WAS Limit Class 0 0/C —Class D 0/C Limit Collateral Type Top Industries Health Care Senior Secured Loan — Second Lien Loan 9% Business Equipment First Lien Last Out 6% and Services 2% 8% Retailers (except Other (241 - food and thug) 38% 8% Leisure Goods/ --Activities/ Movies 6% Electronics /Electrical Industrial Equipment 6% 4% Lodging and Casinos Telecommunications 6% Senior Secured Loan 5% Publishing 92% Financial Intermediaries 5% 5% As of July 8,2015 unless otherwise noted. ' OZLM VII, Ltd. closed on September 9,2014. OCH-ZIFF CAPITAL MANAGEMENT GROUP 34 EFTA00601492 Och-Ziff Loan Management ft OCH-Z1FF CAPITAL °ZUNI IX, Ltd. MANAGEMENT GROUP Fund Overview Current Initial Balance Ratings Deal Summary Capital Structure (S millions) (Fitch/Moody's) Coupon Closing Date December 22, 2014 Class A-1 317,000,000 AAA/Aaa L+ 1.58% Non-Call October 19, 2016 Class A-2 63,000,000 NR/Aa2 L+ 2.40% Reinvestment Period January 20, 2019 Class B 23,500,000 NR/A2 L+ 3.30% Final Maturity January 20, 2027 Assets Par Amount % Class C 31,500,000 NR/Baa3 L+ 3.60% Floating rate assets 100.0 Class D 26,500,000 NR/Ba3 L+ 5.15% Fixed rate assets 0.0 Subordinated Notes 48,708,000 NR/NR Residual Structured finance 0.0 Total 510,208,000 Total 100.0 35% 14% Equity Distributions .c 30% • 12% co"' Cumulative Annualized `-', 25% 10% Distribution Distribution Distribution , Date Distribution as a % of Par as a % of Par Cash on Cash 5,, 20% 8% i co oT• 4/20/2015 3,359,243 6.9% 6.9% 21.3% -c, 15% c..) co NI to 7/20/2015 3,346,387 6.9% 13.8% 27.6% .7.73 10% 4% 0 c c a 5% 2% 0% 0% Apr-15 Jul-15 • Cumulative Distribution • Annualized Distribution Cash on Cash As of July 9, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 35 EFTA00601493 Och-Ziff Loan Management OCH-ZIFF CAPITAL aLLM IX, Ltd.' MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class D Overcollateralization Cushion 3,000 5.0% 109% 4.8% 108% 2.800 4.6% 107% 4.4% 106% 2.600 4.2% 105% 4.0% 104% 2.400 3.8% 103% 4) 1 NA'# sit WARF -WARF Limit WAS WAS Limit Class 0 0/C —Class 0 0/C limit Collateral Type Top Industries Unsecured Loan Retailers (except food and drug) Second Lien Loan 10% Senior Secured Loan — 1% 5% First Lien Last Out Business Equipment 2% and Services Other 122) 9% 34% Leisure Goods/ Activities I Movies 8% Chemical / Plastics Health Care 4% 8% Financial Intermediaries Electronics! 4% Electrical 7% Senior Secured Loan Publishing 92% 4% Telecommunications Industrial Equipment 7% As of July 9,2015 unless otherwise noted. 5% OZLM VII, Ltd. closed on December 22, 2014. OCH-ZIFF CAPITAL MANAGEMENT GROUP 36 EFTA00601494 Och-Ziff Loan Management ft OCH-ZIFF CAPITAL CYLLM XI, Ltd. MANAGEMENT GROUP Fund Overview Current Initial Balance Ratings Capital Structure (S millions) (Fitch/Moody's) Coupon Deal Summary Class A-la 302,000,000 AAA/Aaa L+ 1.55% Closing Date March 12, 2015 Class A-1b 15,000,000 AAA/Aaa 3.28% Non-Call December 14, 2016 Class A-2a 33,000,000 NR/Aa2 L+ 2.25% Reinvestment Period January 30, 2019 Class A-2b 30,000,000 NR/Aa2 4.17% Final Maturity January 30, 2027 Class 8 23,500,000 NR/A2 L+ 3.00% Class C-1 16,000,000 NR/Baa3 L+ 4.05% Assets Par Amount % Class C-2 15,500,000 NR/Baa3 L+335% Floating rate assets 100.0 Class D 25,000,000 NR/Ba3 L+ 5.40% Fixed rate assets 0.0 Class E 10,000,000 NR/B2 L+ 6.15% Structured finance 0.0 Subordinated Notes 40,500,000 NR/NR Residual Total 100.0 Total 510,500,000 Equity Distributions Cumulative Annualized Distribution Distribution Distribution Date Distribution as a % of Par as a % of Par Cash on Cash 7/30/2015 3,359,243 8.3% 8.3% 21.6% As of July 22, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 37 EFTA00601495 Och-Ziff Loan Management ft OCH-Z1FF CAPITAL CYLLM XII, Ltd. MANAGEMENT GROUP Fund Overview Current Initial Balance Ratings Capital Structure (S millions) (Fitch/Moody's) Coupon Deal Summary Class A-1 349,250,000 AAA/Aaa L+ 1.45% Closing Date May 28, 2015 Class A-2 70,625,000 NR/Aa2 L+ 2.00% Non-Call April 27, 2018 Class B 25,525,000 NR/A2 L+ 2.90% Reinvestment Period April 30, 2020 Class C 35,525,000 NR/Baa3 L+3.70% Final Maturity April 30, 2027 Class D 25,075,000 NR/Ba3 L+ 5.40% Class E 11,000,000 NR/B2 L+ 6.65% Subordinated Notes 48,650,000 NR/NR Residual Total 565,650,000 As of May 28, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 38 EFTA00601496 Och-Ziff Loan Management ft OCH-Z1FF CAPITAL OZLM XIII, Ltd. MANAGEMENT GROUP Fund Overview Current Initial Balance Ratings Capital Structure (S millions) (Fitch/Moody's) Coupon Deal Summary Class A-la 209,900,000 AAA/Aaa L+ 1.41% Closing Date August 6, 2015 Class A-la Loan 100,000,000 AAA/Aaa L+1.45% Non-Call July 27,2018 Class A-lb 0' AAA/Aaa L+ 1.45% Reinvestment Period July 30,2020 Class A-1c 10,000,000 AAA/Aaa L+ 1.45% Final Maturity July 30,2027 Class A-2 61,400,000 NR/Aa2 L+ 2.10% Class B 25,300,000 NR/A2 L + 2.70% Class C 29,400,000 NR/Baa3 L+ 4.50% Class D 25,700,000 NR/Ba3 L+ 5.45% Class E 8,900,000 NR/B3 L+6.50% Subordinated Notes 41,000,000 NR/NR Residual Total 511,600,000 As of August 6, 2015 unless otherwise noted. ' The aggregate outstanding amount of the Class A•lb Notes may be increased up to 5100,000.000 upon a conyersionof the Class A•1 Loans in accordance with the Indenture. OCH-ZIFF CAPITAL MANAGEMENT GROUP 39 EFTA00601497 ck OCH-ZIFF CAPITAL Table of Contents MANAGEMENT GROUP I. Och-Ziff Capital Management Group II. Och-Ziff Institutional Credit Strategies III. U.S. CLO Performance IV. Appendix Biographies of Key Professionals OCH-ZIFF CAPITAL MANAGEMENT GROUP 40 EFTA00601498 ft OCH-Z1FF CAPITAL Och-Ziff Professional Biographies MANAGEMENT GROUP ICS Investment Committee David Windreich is Head of U.S. and European Investing for Och-Ziff and is a member of OZM's Board of Directors and Partner Management Committee. Mr. Windreich is also an Executive Managing Director. Prior to joining Och-Ziff at its inception in 1994, Mr. Windreich was a Vice President in the Equity Derivatives Department of Goldman, Sachs & Co. He began his career at Goldman, Sachs & Co. in 1983 and became a Vice President in 1988. Mr. Windreich holds both a B.A. in Economics and an . in Finance from the University of California, Los Angeles. He is a member of the Advisory Board of UCLA Anderson Fink Center for Finance and Investments and a Trustee of The Mount Sinai Medical Center. Harold Kelly is Head of Global Convertible and Derivative Arbitrage and Risk Management for Och-Ziff and is a member of Och-Ziff's Partner Management Committee. Mr. Kelly is also an Executive Managing Director. Prior to joining Och-Ziff in 1995, Mr. Kelly spent seven years trading various financial instruments and held positions at Cargill Financial Services Corporation, Eagle Capital Management, Merrill Lynch International, Ltd. and Buchanan Partners, Ltd. Mr. Kelly holds a B.B.A. in Finance and also holds an and a M. in Business Administration from the University of Georgia. Brett Klein is an Executive Managing Director and Head of U.S. Corporate Credit for Och-Ziff. Mr. Klein oversees performing and distressed credit investments in the U.S. with a focus on loans, bonds and credit derivatives. Prior to joining Och-Ziff in 2002, Mr. Klein was an Associate in the Investment Banking Division at Morgan Stanley. Mr. Klein holds a B.S. in Economics from the Wharton School of the University of Pennsylvania. Donald Young is a Managing Director and Senior Portfolio Manager, Institutional Credit Strategies for Och-Ziff. Prior to joining Och-Ziff in 2013, Mr. Young was a Senior Portfolio Manager at Octagon Credit Investors. Prior to that, he was a Senior Portfolio Manager at Primus Asset Management, Inc. Earlier, he was a Principal at Octagon Credit Investors as well as Senior Vice President at Bank of the West. Mr. Young holds a B.A. in Economics from Lafayette College and an in Finance from the University of Hawaii. Adeel Shafiqullah is a Managing Director and Senior Portfolio Manager, Institutional Credit Strategies — Europe for Och-Ziff. Prior to joining Och-Ziff in 2015, Mr. Shafiqullah was Head of European Leveraged Finance at Pinebridge Investments. Prior to that, he was an Investment Banking Analyst at Donaldson, Lufkin & Jenrette/Credit Suisse First Boston and Chanin Capital Partners. Mr. Shafiqullah holds a B.S. in Business Administration from the University of Southern California. Mathieu Clavel is a Managing Director and Head of European Corporate Credit for Och-Ziff. Prior to joining Och-Ziff in 2009, Mr. Clavel was a Senior Anal at Silverpoint Capital. Before that, he worked as a Vice President at GSC Group and as an Analyst at Schroder Salomon Smith Barney. Mr. Clavel holds an M. in Accounting and Finance from the London School of Economics and Political Science. Tajinder Sidhu is a Managing Director and Head of European Private Investments for Och-Ziff. Prior to joining Och-Ziff in 2004, Mr. Sidhu was an Investment Banking Analyst at Merrill Lynch. Mr. Sidhu holds a B.S. in Mathematics from the University of Warwick Mathematics Institute. OCH-ZIFF CAPITAL MANAGEMENT GROUP 42 EFTA00601499