EFTA01114211

_11 A M BERKELEY ASSET MANAGEMENT Oppida Investments — Preliminary Introduction November 2012 Private and Confidential EFTA01114211 Table of Contents 1 PROFILE OF THE INITIATIVE 2 PERFORMANCE 3 THE TEAM APPENDIX 1 -TRADE EXAMPLES APPENDIX 2 - THE OPPORTUNITY APPENDIX 3 - POSITION OVERVIEW 2 B A M EFTA01114212 1 PROFILE OF THE INITIATIVE 3 B A M EFTA01114213 Strategy and Objectives Fund Profile I > Fund Strategy 0 > Target Returns CD • Approx. 20 core positions -O n3 Corporate Credit s_ (9 • Primarily Western Europe and US Unlevered >•• 4-0 C C a) • Conservative approach to credit — biased L+10% O bp toward secured debt/top of the capital Cu, structure, stable industries and low 0 -I 0.i absolute leverage Levered* C L+15% C 0 • Returns enhanced through event driven z approach a The fund is open to utilize Target Investments leverage if market conditions and terms Leveraged loans Revolving credit facilities Investment Grade bonds appropriate High Yield bonds Mezzanine loans Bilateral loans Bridge loans Rescue financings 2nd lien loans Maximum fund leverage will be 1.5x equity 4 B A M EFTA01114214 Investment Strategy CAPITAL PRESERVATION ► Key focus / starting point is capital preservation ► Analysis on —"how can we possibly lose principal" ► Strong bias towards secured lending / top of the capital structure OVERLAYS: RELATIVE VALUE ► Analysis of returns relative to other opportunities — Capital structure relative value — Industry peer relative value — Book / "Apples to Oranges" comparison EXCESS RETURNS DRIVEN BY: • Exploiting pricing inefficiencies that exist for non credit reasons • Event trade catalysts • Short term trading opportunities ► Often trades will contain more than one of the above components • Preferred trade is for mispriced security with catalyst / event to remedy mispricing MARKET CONSIDERATIONS ► Macro market view — position book for next expected move in credit cycle ► Short term market expectations PORTFOLIO WEIGHTED AVERAGE NET DEBT / EBITDA OF 2.7X' 75% OF PORTFOLIO INVESTED IN ASSETS AT THE TOP OF THE CAPITAL STRUCTURE' As of May 2012 5 B A EFTA01114215 Risk Limits PORTFOLIO CONCENTRATION ► Single issuer exposure limit of 20% of equity ► Tranche limit — less than 35% of individual tranche INDEPENDENT THIRD PARTY ADMINISTRATOR & CUSTODIAN ► Daiwa acts as independent third party administrator and custodian for Oppida assets ► All cash positions reconciled with Daiwa on daily basis ► All positions and NAV reconciled with Daiwa on a monthly basis LEVERAGE ► During 2010 — leverage utilised in 2 months of year • Peak leverage utilised in 2010 = < 0.1x equity ► During 2011— leverage utilized in 7 months of year • Peak leverage utilised in 2011 = < 0.2x equity ► August 2012 — utilizing leverage equating to c. 0.3x equity CURRENCY AND INTEREST RATE RISK ► Oppida's strategy is to hedge currency exposure back into Euro's and therefore takes minimal currency risk ► Oppida monitors interest rate risk (interest rate risk defined as fixed income instruments with a yield to maturity of < 10%) Oppida may hedge interest rate risk ► The chart below highlights the quantum of currency and interest rate risk at month end over the last 4 months Currency Exposure Fixed interest rate exposure' %of Date Value NAV Value % of Holdings Jul 12 108,342 0.1% 24,302,629 22.2% Aug 12 1.223,395 1.3% 30,201,073 28.4% Sep 12 1,244,849 1.3% 36,368,284 36.3% Oct 12 1,318,298 1.2% 44,712,000 40.0% Fixed income securities with a yield to matu ivy lower than 10% 6 B A EFTA01114216 Fund Terms Administrator Daiwa Securities (Dublin) Auditor PWC Investment Manager Berkeley Asset Management LLP Legal Advisor (Ireland) Dillon Eustace Custodian Daiwa Securities Subscriptions Monthly with 100,000 minimum Redemptions Quarterly with 3 months notice Management Fee 1.5% Profit Allocation 15% Performance hurdle 1 month Euribor Subscriptions Fee None Redemption Fee 2% if redeem within 12 months of subscription. Domicile Ireland Fund Structure Irish QIF with section 110 (securitization company) subsidiary Currency Class EUR, USD and GBP 7 B A M EFTA01114217 2 PERFORMANCE 8 B A M EFTA01114218 Fund Performance ► Monthly performance based on weighted average capital drawn, net of all fees and expenses Month Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 % Return - - - - - -1.07% 0.23% 2.71% 1.91% 1.47% 2.74% 0.75% % Cummulative - - - - - -1.07% -0.85% 1.84% 3.78% 5.31% 8.20% 9.01% YTD return - - - - - -1.07% -0.85% 1.84% 3.78% 5.31% 8.20% 9.01% Month Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-I0 Nov-I0 Dec-10 % Return 1.11% 0.06% 2.38% 1.57% -0.97% -0.48% 1.71% 0.96% 1.35% 1.23% 0.92% 1.34% % Cummulative 10.22% 10.29% 12.91% 14.69% 13.58% 13.03% 14.97% 16.07% 17.64% 19.09% 20.18% 21.79% YTD return 1.11% 1.17% 3.58% 5.21% 4.19% 3.69% 5.47% 6.48% 7.92% 9.24% 10.25% 1172% Month Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 % Return 1.63% 1.65% 0.41% 1.11% 0.58% -0.56% 0.13% -3.43% -0.89% 1.97% -1.42% 0.85% % Cummulative 23.77% 25.81% 26.33% 27.72% 28.47% 27.75% 27.92% 23.54% 22.44% 24.85% 23.07% 24.13% YTD return 1.63% 3.30% 3.72% 4.87% 5.48% 4.90% 5.03% 1.43% 0.53% 2.51% 1.05% 1.91% Month Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 % Return 3.37% 2.74% 1.81% 0.59% 0.30% 0.86% 2.15% 2.53% 2.09% 1.94% % Cummulative 28.31% 31.82% 34.21% 35.01% 35.41% 36.58% 39.52% 43.05% 46.04% 48.87% YTD return 3.37% 6.20% 8.13% 8.77% 9.09% 10.03% 12.40% 15.24% 17.65% IBM ► The table above is gross of Irish corporation tax which is paid due to current structure ► Sharpe ratio over life of fund of 2.5 9 B A EFTA01114219 Proven ability to predict trade takeout 120 1W 80 —o—ActualTake Out 60 —M—Expected Take out ..0 O —a—Maturity 2 40 20 a e s c) , N4b .,\& + 2' ( 14/4, \ 1;" c cik, es • Cott ce 4. be,,see. (;‘,‘,4z° Afr cP e• + es-, 0- 0 4. ► The above chart highlights every trade where we have been repaid and compare the duration of the trade to both the legal maturity and our original estimate for trade duration ► At the time we place a trade, we prepare an investment consent memorandum. In the memorandum prepared at the time of trade entry we detail our original estimate for trade duration based on various assumptions 10 B A EFTA01114220 Winners and Losers Oppida Investments Limited 80 80 Negative P&L Trades --J.:. 4 73 70 70 60 60 so 46 50 y V ao 40 §GlosedTrode Losses °Open Trade Losses MOpenTrade Gains 30 30 INGlosedTrode Gains 22 19 20 20 15 12 10 7 I 10 6 6 1 3 0 • 0 0 0 0 0 0 • 0 • O •71 0 O • 8 • 0 4? 0 • 0 0 0 'a 0 P&L Grouplogs In RIR 000N P. The above chart highlights the number of trades that have been either "winners" or "losers" for Oppida • The high ratio of "winners" to "losers" demonstrates the high level of conviction we have prior to placing a trade 11 B A EFTA01114221 Winners and Losers (cont'd) Oppida Investments Limited 20000.00 20,000 Positive P&LTrades 18 393 15,000.00 15,000 10000.00 • 10,000 • Close d Trade Losses CI Open Trade Losses 6,016 0. ■ Open Trade Gains •g 5,000.00 5,010 ■ Closed Trade Gains 2,919 2,678 1,557 1,817 1028 0.00 -109 "19 4 328 I -226 -5,000.00 Negative P&LTrades 5,000 g g A " P&I.Groupinp in EUR 000's ► The above chart details the quantum of P&L earned in each category 12 B A EFTA01114222 3 THE TEAM 13 B A M EFTA01114223 Team Skillset SUPERIOR CREDIT SKILLS ► Combined credit experience of 30 years ► Rigorous, "bottom up" fundamental analysis applied to each credit • Asset valuation and cash flow forecasting ► Core focus — Relative Value and Capital Preservation ► Existing knowledge base of most non-investment grade credits in Europe EXCELLENT SOURCING RELATIONSHIPS ► 10 years plus in Euro non-investment grade credit markets on buy side • Relationships with all sell-side banks across multiple trading desks — Leverage Loan / High yield bonds / Special situations ► Large number of unique opportunities communicated to team on a monthly basis • Structuring advice solicited due to structuring experience / Oppida gets l st look at "blocks" coming out STRUCTURING ► Structured non investment grade high yield bonds, bridge loans and leverage loans (combined Citigroup experience - 20 years) ► Experienced in negotiating with and understanding the differing objectives of: • CFOs • Financial Sponsors/Private Equity • Financing bankers • Bank steering committees • Bondholder groups ► Structuring skills are key to event driven trades in corporate capital structures 14 B A EFTA01114224 Team Bios ARI EPSTEIN Ari Epstein joined Coopers & Lybrand in 1996 after gaining a degree in Management Sciences at UMIST. He relocated to their New York office in 1999 where he specialised in Financial Services. In 2000, he was hired by Salomon Brothers to join their High Yield and Leverage Finance Capital Markets Group in London where he became Vice President with responsibility for originating and structuring high yield bonds and leveraged loans for corporate clients and private equity firms. In 2005 he resigned from Salomon Brothers (then Citigroup) and was hired by Millennium Capital Partners as a senior credit analyst responsible for analysing and trading non-investment grade fixed income products. He became a partner in 2007. He resigned in July 2008 to join Belvedere Investment Partners as a Partner and Portfolio Manager for Belvedere Credit Fund. He left Belvedere in March 2009 and together with Mervyn Hughes formed Berkeley Asset Management LLP to manage non-investment grade credit strategies. WILLIAM MANSFIELD William Mansfield received a BA in Economics from Harvard University in 1986 and an MBA from MIT in 1990. Post graduation William joined Citigroup, where he worked in both the Structured Finance and High Yield Capital Markets group, relocating to London in 1999 to help set up Citigroup's European leverage finance division. William left Citigroup in 2002 to join Cross Asset Management as an analyst to assist in running a long/short non investment grade credit portfolio. In 2004 William left Cross to manage a European long/short non investment grade credit portfolio for Satellite Asset Management. He then joined Millennium Partners (a large US multi strategy hedge fund) in 2005 to assist in running their European long/short non investment grade credit portfolio. In 2009 William left Millennium to join Ari Epstein at Berkeley Asset Management to assist in managing non investment grade credit strategies. 15 B A EFTA01114225 Team Bios (cont'd) MERVYN HUGHES Mervyn Hughes qualified as a Chartered Accountant with Price Waterhouse after graduating in 1990 from Southampton University with a degree in Business Economics and Accountancy. In 1994 he moved to Bermuda and joined International Fund Administration where he helped build a new hedge fund administration business. In February 1997 he joined Park Place Capital, where he was approached by Philip Newman and Michele Ragazzi to help set up Newman Ragazzi & Co Ltd. In January 1998 he left Park Place and became a director and COO of Newman Ragazzi. After 9 years he helped merge the firm with Odey Asset Management LLP where he worked for a short period, leaving in September 2007. During the summer of 2007 he was approached to set up a new asset management business and in October 2007 he was a founding partner in Belvedere Investment Partners LLP. Mervyn resigned from Belvedere Investment Partners LLP in March 2009 and together with An Epstein formed Berkeley Asset Management LLP to run non-investment grade credit strategies. PATRICK MORAN Patrick Moran began his career at Threadneedle Asset Management, working within the Settlements and Valautions department which covered a wide range of products across Retail, Institutional and Alternative funds. Having worked his way up to team manager, Patrick left Threadneedle after 6 years to specialise in Alternative funds and has a further 6 years experience at Senior Operations Manager level at Novator Partners, Frontier Investment Management and Matrix Group. Patrick has completed the IOC and CertIM with the Chartered Institute for Securities & Investment. 16 B A EFTA01114226 APPENDIX 1- TRADE EXAMPLES 17 B A M EFTA01114227 Trade Types WE CAN NORMALLY SEGMENT TRADES INTO 3 "TYPES" ► Inefficient Segments of the Credit markets • Common Characteristics — May have to do significant work to evaluate the credit — Typically can't be priced off a screen or by reference to a CDS price ► Event Trades ► Utilise our sell side structuring expertise to predict events • Based on our understanding of: — Corporate / CFO motivations — Banker motivations — Underlying credit documents ► Short term trades — yield to call paper • Small downside risk / measurable downside risk • Often minimal capital required / high IRR's CORE THEMES ► Focus on seniority in the capital structure • Limited downside ► Purchase cheap optionality through event prediction 18 B A EFTA01114228 Inefficient Segments of Credit Markets - Examples Opportunity Rationale Trade Examples Situations which fall between 2 • EM investors don't like credit risk and HY investors don't RDS / Cukurova (details different investor bases like EM sovereign risk description overleaf) • IG investors forced to sell downgraded paper Small bond offerings €100 - 300 • Benchmark size is typically E 300+ million today Fage million • Large funds require minimum E 25 mm hold positions Super senior RCFs and/or very low • Often unfunded NXP/ Prosieben (detailed leverage debt tranches • Misrated by Rating Agencies description overleaf) Orphan transactions (bank stopped • Low liquidity trading/researching) • No research coverage Small secondary market trades (€5 - • Too small for large funds Cukorova / Parmalat 15 million) • Too much work for smaller funds i n time issuer (especially 1st time for • Target investor base not familiar with credit history InterXion / Lowell a given industry sector) US companies issuing in Europe (and • Target investor base not familiar with credit history Fage European companies issuing in US) Misrated/unrated debt • Ratings driven investors have limited capacity for unrated Petrojack / Sevan or lowly rated debt Liquidating hedge funds • Forced sellers of small tranches of illiquid paper Parmalat 19 B A EFTA01114229 Prosieben P. We purchased €7.5m of Prosieben revolving credit facility ("RCF") in January 2012 at a price of 82 to yield 10.22% to maturity. • The revolving credit facility is undrawn and we posted 100% collateral — the 10.2% includes the collateral P. The RCF is the first maturity in the capital structure maturing in July 2014 (30 months from purchase) ► Prosieben is the largest free to air broadcaster in Germany generating 2011 revenues and EBITDA of c. €2.75bn and €850m respectively P. Net leverage at Prosieben is 2.5x EBITDA. Leverage is made up of: • €2.3bn of term loans • €520m of cash • Undrawn RCF of €568m (which we hold) Prolort•to Opmt RC P. If the RCF is refinanced 9 months PM, 52 Oman :pro Wale^ %fate Wan I On 0130 prior to maturity the IRR is 14.4%. tots I Oaf I0, 1055 sm..' ann. • ► If the company is sold earlier a swarm onel-mn 20.310.303 WOK* Ornate' wn loa:C COO change of control arises and the Lt. brdall cak•ula• krea hmet kno0 IRR will be higher 6thast Sal ket .44 back itiliSte DII911/II25115 SZlittIL 21250111 Salt Byg at= 3.9091 &a 909 La 42320 P. All the debt instruments at 944122,51 211, 51/01/2052 10.000•000 1..1.00.000 11,200.00) 1500.00) $.20.030 20P),000 5% 95% WOW:0U flt•6/20i1 1.0.0O3,0•30 10.0:0030 Z3.01.1 34.N5 LIKO.CCO 1•103.1:01 :LOC M.1.47 23.0.2 AN , 23.0•12 NOW ACOOAW ACC01:03 5% 514 95% 95% Prosieben rank pad passu 50b/S12 10.000.0C9 3,431 SpW,0.0 35.335 33333 33.332 143.0O3,CCO 5% 95% 51/33/30352 11•01/201) 10.200.00 30.0:01X0 14.131 'Sc,., 4202,00 liKOSCO 15,1,1 14,S4) 10011133 33.333 14.141 IACCO:0 ACC01:03 1% 5% 05% 55% P. In conclusion, using conservative )0C4/201) 10.0:01/00 34.90 IAtl.Gtl 11.911 S% 3609/201) 0.030,0® 35.)li 11410.000 )5.01 )017 10.033.331 10.CCOPOO 30)X0,00) 3% 95% 95% takeout assumptions we 11/12/201) 10.0,0/X0 33.331 LAKOAC0 35.331 10.00.003 5% 95% 3.1103/MA 20.0:0900 ASO LICO.CCO 30.533 ACCO):03 514 95% calculate a probability weighted 3.06/X124 10.D:WX0 16.947 1•10310, f4.117 AMMO 5% 55% 03•07/M24 1.152 iR0,0.0 10.032352 MOM= 5% 95% average IRR of 13.5% on the RCF. By comparison the existing term 30% 101. 104 loans at Prosieben yield c. 6% to 1945444•44449 94%0•4491,5•141 514•4141 a 4 year maturity 20 B A EFTA01114230 Cukurova ► We purchased $5m of l st lien loans issued by a subsidiary of the Cukurova Group AS on Jan 6th 2010 from JPMorgan at a price of 91 to yield 17.4%. ► Original size of loan was $1.5bn, due to amortizations there is c. $611m of the loan currently outstanding. ► The loan pays a coupon of L+800bp and matures in 3 installments on May 10 / May 11 / May 12. ► The loan is collateralised by: • $1.5bn held in cash by JPMorgan (security trustee) OR in the event current lawsuits get resolved, shares in a holding company of Turkcell worth $2.3bn Cukurova indirectly holds 13.75% of Turkcell —Turkcell has a market capitalization of $16.5bn — NB Turkcell has no net leverage (net cash of $1.4bn) which is unusual for a mobile operator. Net cash position heavily defends share price at lower levels Alfa Telecom originally lent Cukurova money against Turkcell shares. In an attempt to seize the Turkcell shares, Alfa Telecom called a default. JPMorgan raised this loan to refinance the Alfa loan, but Alfa stated they did not want to receive payment and instead demanded the shares their loan was secured on. While the dispute is ongoing the loan proceeds $1.5bn remains in escrow with JPMorgan in London • Cukurova corporate guarantee • Security interest in other non quoted assets of Cukurova — (worth $1-2bn per Cukurova estimates) • Personal guarantee from Mr Mehmet Karamehmet — Chairman of Cukurova and #224 in the Forbes list of wealthiest individuals in the world for 2009 (down from 29th in 2000) ► Recent developments: • In April 2010, Mr Karamehmet was found guilty by a Turkish court of instructing a bank he owned in 2002 to make loans to one of his portfolio companies—JPMorgan believe this could be an event of default and are investigating. In an event of default lenders would have the possibility of early repayment from the collateral account • In May 2010, Cukurova announced that they would be repaying the facilities in full on May 25th 2010. • The IRR on this trade equated to 41% 21 B A EFTA01114231 Event Trades - Examples Event Rationale Trade Examples Early refinancing / retirement of • Loans / bonds do not run to maturity Parmalat (detailed existing tranches • CFO's often incentivized to "play it safe" description o✓erleaf) / Taylor • Terming out amortizations with long term covenant lite Wimpey / Sevan debt attractive • Capital structure considerations Sale of company • Debt / parts of debt structure refinanced on sale Tommy Hilfiger / Cognis Acquisitions • Debt structure may need to be refinanced to allow for game-changing acquisition IPO • Debt / parts of debt structure refinanced on IPO Amadeus / InterXion • IPO deleveraging leads to spread compression • Public market valuation often leads to spread compression through validation of EV Amendments • Fees paid on amendments enhance IRR Amadeus / Wind Covenant breaches / default • Default may speed up recovery of par Petrojack Significant variance in forecast • Market may not have done necessary in depth analysis Fage 22 B A EFTA01114232 Parmalat Canada Private Placement Notes ► Parmalat Canada is Canada's 2nd largest milk producer, 3'd largest yogurt producer and 1st largest butter producer ► Parmalat Canada is owned by Parmalat Italy • Parmalat Italy has net cash of €1.1bn and EBITDA of €365m ► Parmalat Canada never went insolvent at the time Parmalat Italy experienced its issues in 2003-2004 • Parmalat Canada has revenues and EBITDA of C$ 2.2 bn and CS 192m respectively ► Parmalat Canada has C$ 233m of 1st lien bank debt and C$ 65m of subordinated private placement notes ► Net leverage through the secured bank debt is 0.9x and through the private placement notes 1.3x ► The notes mature in 2010 and 2012 while the bank debt matures in 2011 • Coupon of 5% ► We purchased c. $9m of the private placement notes split between the 2010 tranche and the 2012 tranche at an average weighted price of 92 • Spread to maturity equated to c. 940bp ► Our rationale for purchasing the notes was based on the following 2 considerations: • The low leverage through the subordinated private placement notes • The bank debt maturity in 2011 — We did not expect the company to refinance its existing bank debt without refinancing all of the private placement notes — We did not expect the company to wait till 2011 to refinance its bank debt and estimated the company would refinance its bank debt in 2010 ► In the end all private placement notes were repaid on December 30th 2009 ► The IRR on this trade was in excess of 100% 23 B A EFTA01114233 Short term / Trade opportunities - Examples Description Opportunity Trade Examples Called paper • Loans / bonds do not run to maturity Unity Media (detailed • CFO's often incentivized to "play it safe" description overleaf) • Terming out amortizations with long term covenant lite debt attractive • Capital structure considerations 24 B A M EFTA01114234 UnityMedia FRN's ► Unity Media is a German cable TV company recently acquired by Liberty Media • Revenues and EBITDA of €920m and €430m respectively • Pre-acquisition the capital structure was comprised of l st lien leverage and total leverage of 2.2x and 4.5x, respectively • The 1st lien leverage was structured as Secured Floating Rate Notes (FRNs) with a rating of BB+ / Ba3 and a coupon of L+287.5bp ► Liberty Media announced the acquisition in November 2009 for €3.5bn and in the same week Unity Media raised €2.6bn of new high yield notes to pay for the purchase. The remaining €900m was funded by a new convertible bond issued by Liberty Media in November 2009 and cash on balance sheet. ► Pending EU/German approval of the transaction both the "old" and "new" debt of Unity Media were outstanding at the same time with the new debt held in escrow to be used to repay in full the old debt upon closing of the acquisition. • Regulatory approval could take anywhere from 2 months to 1 year depending on the exact type of regulatory review although there was little doubt that approval would ultimately be granted as Liberty Media has no other Cable/ TV assets in Germany • Upon transaction closing, all existing debt would be called at current call price (for the 1st lien FRNs this price was 100) ► On 25 January the EU announced that it had granted regulatory approval for the acquisition • Post announcement we were able to purchase €2.865m of the FRN's at 99.5. Given our assumption that the transaction would close in a matter of days (and the normal 30 day notice period for a call), our IRR on the trade equated to c. L+900 ► On 28 January (3 days after receiving regulatory approval), Liberty Media closed the acquisition and Unity Media simultaneously issued an irrevocable 30 day call notice for all their bonds (including the FRNs). • Post this irrevocable call we were able to purchase a further €2m at a price of 99.75. The IRR on this trade equates to L+600bp ► Given that (a) at the time we purchased the FRN's there were no barriers to the acquisition closing, and (b) the funds to repay the outstanding bonds were held in escrow — we viewed both trades as essentially "riskless" 25 B A EFTA01114235 APPENDIX 2 - THE OPPORTUNITY 26 B A M EFTA01114236 Attractive Non-Investment Grade Corporate Credit Market Less Debt/More Equity Higher Cost Debt Stressed Slower Growth Weak Banking Increased Economic New capital Lower Equity Valuations Recovery Sector equirements High Macro Factors Smaller Unemploymen Factors hold this • ositions this Cycle CLO Higher Cycle taxes Sovereign Market Attractive Budget Volatility Weakness Limited Opportunities in deficits Securitization Non-Investment Grade Market Credit Market Lower Leverage Multiples Forecast less Increased IPOs than3% for Amend and Secured Bond Equity 2012 Extend Issues Free Cash Flow Contribution Booming Conservative Declining Corporate Refinance New Issue Default Rates Deleveraging Market Market Normal Credit Cycle Effects 27 B A EFTA01114237 APPENDIX 3 - POSITION OVERVIEW 28 B A M EFTA01114238 Position Overview — May 2012 ► The following table details each of our positions and key statistics Net Expected Name Rank Leverage LTV YTM Yield • Portfolio is expected to earn General Motors RCF Super Senior 0.0 x 0% 14.30% 18.25% an unleveraged IRR of c. Prosieben Opco RCF 1st lien 2.5 x 31% 8.50% 12.20% 14.2% on a static basis PetroSaudi 1st lien 0.8 x 30% 14.40% 16.30% Fage Senior Unsecured 4.1 x 50% 11.80% 16.00% • The positions that the Fage k Senior Unsecured 4.1 x 50% 18.00% 24.20% portfolio is comprised of, have Numericable TL A UN 1st lien 5.2 x 75% 19.10% 23.10% a weighted average leverage Numericable TL A EX 1st lien 5.2 x 75% 14.20% 16.20% Numericable TL C 1st lien 5.2 x 75% 13.70% 16.10% ratio of 2.7x net debt / EBITDA Travelex Subordinated PIK Loan 1.8 x 18% 10.45% 16.20% • 75% of the portfolio is Lowell 1st lien 2.2 x 52% 11.60% 14.95% Interxion 1st lien 1.6 x 16% 6.80% 5.50% invested in assets that sit at AVG Technologies 1st lien 1.0 x 14% 8.40% 12.40% the top of the capital structure Global Rig 1st lien 3.8 x 55% 10.75% 11.70% • EXPT position has been BPA Laboratories 1st lien 2.8 x 35% 13.10% 15.40% Jasper 1st lien 4.0 x 75% 18.80% 24.80% excluded Affinity 1st lien 5.1 x 75% 10.40% 11.16% Towergate 1st lien 3.8 x 40% 10.00% 16.50% Henderson Senior Unsecured 0.2 x 3% 6.30% 7.25% Reynolds 1st lien 3.3 x 40% 6.50% 6.00% Prosieben Holdco Holdco 1st lien 4.8 x 60% 9.70% 13.10% RDS 2nd lien 3.3 x 58% 9.60% 9.60% Polkomtel Senior Unsecured 3.9 x 68% 12.00% 13.55% Avio Mezzanine 4.0 x 44% 10.00% 14.00% Europcar 2nd lien 3.7 x 87% 11.70% 16.00% Clubcorp 2nd lien 4.6 x 60% 8.90% 9.40% Chloe Marine 2nd lien 5.3 x 73% 10.80% 12.00% Towergate Senior Unsecured 6.3 x 65% 12.90% 17.10% Matalan Senior Unsecured 4.8 x 80% 21.90% 28.80% weighted average 2.7 x 11.3% 14.2% 29 B A EFTA01114239 Important Notice & Disclaimers This document is being issued for information purposes only. This document does not constitute an offer to issue to buy or invest in the Fund(s). You should appreciate that the value of shares in the Fund(s), and any income from them, may go down as well as up and that investors may not receive back, on redemption of his shares, the amount invested. Past performance is not necessarily indicative of future performance. Where an investment involves a foreign currency, it may be subject to fluctuations in value due to movements in exchange rates. These changes to exchange rates may also cause the value of an underlying investment to go down as well as up. The shares are not dealt in on a recognized exchange or designated investment exchange for the purpose of the Financial Services and Markets Act 2000 of the United Kingdom (the "Act"), nor is there a market maker in the shares. It may therefore be difficult for the investor to dispose of his shares otherwise than by way of redemption or to obtain reliable information about the extent of the risks to which he is exposed. This document should not be considered as legal, tax or any other advice. Opinions expressed whether in general or in both on the performance of individual funds and in a wider economic context represent the views of the contributor at the time of preparation. This document and the information contained therein constitute a financial promotion for the purposes of the Act and the rules of the FSA. This document is issued both inside and outside the UK only to and/or directed at persons who are professional clients or eligible counterparties for the purposes of the FSA's Conduct of Business Sourcebook. You will only be able to invest after receiving a final prospectus and subscription document. Any decision to invest should be based on the final prospectus document and you should take independent legal advice if necessary. This document is exempt from the scheme promotion restriction (in section 238 of the Act) on the communication of invitations or inducements to participate in Unregulated Collective Investment Schemes on the grounds that it is being issued to and/or directed at only the types of persons referred to above. This document has been provided to you solely for your information and may not be copied, reproduced, further distributed to any other person or published, in whole or in part for any purpose. Any other person receiving this document should not rely upon its content. 30 B A EFTA01114240