loss of principal in an underlying CLO asset would reduce the cumulative amount of par created. (2) Weighted Average Spread inclusive of applicable Libor Floors. As of December 31II 2017. (3) Median Cumulative Par created of outstanding 2015 vintage BSL CLOS per Morgan Stanley Research. As of December 31g 20

16 2017 2017 2017 2017 2015 2015 2015 2015 2016 2016 2016 2016 2017 2017 2017 2017 —WAS ,WARE (1) Weighted Average Spread inclusive of applicable Libor Floors per RIN Is Warehouse Indenture defirition. Past performance is not indicative of future returns. (2) Weighted Average Rating Factor calculated using