EFTA00601458.pdf

Och-Ziff Institutional Credit Strategies: U.S. CLO Management September 2015 OCH-ZIFF CAP,. MANAGEMENT GROUP EFTA00601458 ck OCH-ZIFF Table of Contents CAPITAL 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 Page 1 Page 5 Page 17 Page 40 OCH-ZIFF CAPITAL MANAGEMENT GROUP 1 EFTA00601459 ft OCH-Z1FF Och-Ziff Capital Management Group CAPITAL 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 Equities Credit Convertible and Derivative Arbitrage Employees 638 AUM: $25.2 billion AUM: $16.6 billion AUM: S2.3 billion Investment Professionals 182 Key Attributes ■ Seek to achieve consistent, positive absolute returns across market cycles • Opportunistic and value-oriented approach to capital allocation • Expertise across multiple strategies and geographies • Institutional quality risk management Real Estate, Energy and Other Private Investments AUM: S3.2 billion Global Footprint In Eight Offices Worldwide: Houston Office Established 2015 I London Office Established 19 'New York Headquarters Established 1994 I I Murtha' Office - Established 2005 'originallyin Bangalore' Dubai Offic Established 2013 Beijing Office Established 2007 ....--4hinghai Office r e -- Established 2013 •— Hong Kong Office Established 2001 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 ft Och-Ziff Capital Management Group Multi-Strategy Approach OCH-Z1FF CAPITAL 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' Och-Ziff Credit Strategies $16.6 billion2 Opportunistic Credit Corporate Credit Structured Credit ■ Corporate distressed and ■ opportunistic investing ■ Other dislocated single name ■ strategies Active strategies across securitized products Asset-based securities and loans Institutional Credit Strategies CLO Management ■ Senior secured loans managed in a CLO structure Customized Solutions ■ Commingled loan vehicles ■ Senior secured loans in separate accounts Equities $25.2 billion2 ■ Management changes ■ Capital structure changes ■ Spin•offs/split-offs ■ Recapitalizations/ reorganizations ■ Liquidations/divestitures ■ Share class discrepancies ■ Mergers/tender offers ■ Proxy contests ■ Rights offerings/exchange offers Convertible / Derivative Arbitrage $2.3 billion2 ■ Mathematical approach ■ Hedging of credit and currency ■ Single company credit arbitrage ■ Relativevalue of different structured products Real Estate and Other Private Investments $3.2 billion2 ■ Multiple property types ■ Direct equity ■ Joint ventures ■ REITs/REOCs ■ Corporate divestitures ■ Structured capital solutions ■ Industryfocused deals/platforms ■ Energy and infrastructure ' 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 A Differentiated Business Model CAPITAL MANAGEMENT GROUP Global Footprint Proven Track Record Institutional Infrastructure Transparency Alignment of Interests ■ Leading institutional alternative asset manager with $46.1 billion in AUM ■ Established investment capability in all major markets ■ Strong international presence with eight offices globally ■ 21 years generating absolute returns for institutional investors ■ Senior investment team has worked together for approximately 17 years at Och-Ziff ■ Disciplined, consistent investment and risk management processes ■ Core focus on financial, operational and compliance-related controls ■ Third party verification processes ■ Operations, Legal and Compliance professionals are integrated into investment process ■ Comprehensive reporting about each portfolio on a regular basis ■ Qualitative and quantitative information about investment processes ■ Regular meetings with investors ■ Investments by partners and employees comprise 7% of Och-Ziff's AUMI ■ Och-Ziff's partners receive a substantial majority of their compensation from 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 Table of Contents CAPITAL 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 Experienced Credit Manager CAPITAL 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 ICS — Overview CAPITAL 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 ■ Leverages Och-Ziff's: — Extensive, global corporate credit expertise — Multi-strategy platform, including in-house 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 Growth in Och-Ziff ICS AUM (S billion) S1.0 2011 2012 1 1AUM in CLOs AUM in Loan Funds S52 13 ■ 2013 2014 1-Aug-15 AUM in Customized Solutions -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 ICS Global Team CAPITAL MANAGEMENT GROUP ICS Investment Committee — U.S. David Windreich—EMD, Head of U.S. and European Investing, Member of Partner Management Committee Harold Kelly— EMD, Head of Global Convertible and Derivative Arbitrage and Risk Management, Member of Partner Management Committee Brett Klein—EMD, Head of U.S. Corporate Credit Donald Young—MD, Senior Portfolio Manager, ICS — U.S. ICS Investment Committee — Europe Brett Klein—EMD, Head of U.S. Corporate Credit Donald Young—MD, Senior Portfolio Manager,ICS - U.S. Ad eel Shafiqullah—MD, Senior Portfolio Manager, ICS - Europe Mathieu Clavel —MD, Head of European Corporate Credit Taj Sidhu—MD, Head of European Private Investments Brett Klein Executive Managing Director Portfolio Management Global Corporate Credit Research Trading Asian Research & Trading 3 Professionals U.S. Research U.S. Trading 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 Adeel Shafiqullah Mathieu Claval Dylan Szymanski Andy Paradis Francesco de Simone Rossi Julie Siegel 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 9 Professionals Legal & Compliance 51 Professionals Operations & Accounting 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 Extensive In-House Analytical Resources CAPITAL 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 ■ Leverage relationships with sponsors, advisors and others ■ Global industry network to optimize diligence and research ■ Participation across markets ■ Diverse industry coverage Portfolio Management ■ ICS Team led by experienced loan and credit managers ■ Benefit of global perspective of managers across various Och-Ziff strategies ■ Dedicated corporate credit group with full research, trading and management capabilities ■ Daily meeting with analysts and portfolio manager to reassess investments and review new opportunities Credit Monitoring ■ Dedicated credit analysts ■ Active consultation with global Och-Ziff industry specialists ■ In-house restructuring professionals ■ Active and dedicated corporate trading platform Transaction Compliance ■ Experienced collateral team ■ Legal expertise of the Och- Ziff team ■ Utilizes Wall Street Office and proprietary in-house systems ■ Experience managing structured portfolios through market cycles OCH-ZIFF CAPITAL MANAGEMENT GROUP 9 EFTA00601467 ft OCH-Z1FF Investment Process Investment analysts ICS Team ■ Global footprint across all major markets ■ Core strategies across performing credit, distressed, special situations, structured and private investments ■ Active dialogue between credit analysts, industry coverage and portfolio manager ■ Critical mass and global reach results in unique sourcing and purchasing opportunities ■ Leverage relationships with sponsors and advisors The ICS Team generates ideas utilizing their internal and external networks with a focus on deep fundamentals ■ Industryevaluation and assessment ■ Financial modeling and free cash flow analysis ■ Asset valuation and relative value analysis ■ Consultation with trading team to understand technical factors Portfolio Manager ■ Daily meetings with analysts ■ Financial/ Legal review and discussion ■ Dynamic process to reassess investments and review new opportunities ■ Selects best investment ideas and identifies best credit instrument ■ Performs scenario analysis to maximize risks / rewards ■ Performs stress tests to assess performance under various economic outcomes Research-driven, fundamental bottom-up analysis focused on fundamentals, qualitative and quantitative factors ICS Investment Committee ■ U.S.: David Windreich Harold Kelly Brett Klein Donald Young ■ Europe: Brett Klein Donald Young Adeel Shafiqullah Mathieu Clavel Tajinder Sidhu ■ Approval required on all investments ■ Ongoing review of structure and market performance ■ Discussion of concentrations, spreads, exposures, risks and recent trades Execution ■ Portfolio Manager oversees execution of all trades to ensure best execution ■ Trade initiation after ICS Investment Committee approval ■ Global network of trading relationships across credit platform ensures access to deep markets and best levels CAPITAL MANAGEMENT GROUP Investment Analysts ■ Dedicated credit analysts ■ Ongoing interaction with Och•Zitf industry specialists ■ In•house restructuring and recovery expertise utilized in relevant situations Portfolio Manager ■ Daily meeting with analysts and portfolio review ■ Surveillance of portfolio concentrations, exposures and other risks ■ Monitoring of collateral management function and coordination of necessary legal review ■ Identification of key issues at ICS Investment Committee meetings ICS Investment Committee ■ Ongoing review of structure and market performance ■ Discussion of concentrations, exposures, risks and recent trades Portfolio Analytics Team ■ In-house and third party systems utilized to track positions and monitor structural compliance ■ Systems perform parallel checks of all indenture requirements and other obligations 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 Investment Philosophy CAPITAL MANAGEMENT GROUP ICS utilizes the broader Och-Ziff platform to enhance security analysis and consider relative value Fundamental, Multi-Asset and Multi-Geography Approach Manakin; Loan Manager 1 Fundamental Credit Investing Och-Ziff ICS Public Equity Investing Real Estate Private Equity Energy Private Equity Commodity Volatility Trading Global Reach and Relationships Fundamental Credit Investing Monoline Loan Manager Investment Capabilities Och-Ziff ICS Investment Capabilities OCH-ZIFF CAPITAL MANAGEMENT GROUP 11 EFTA00601469 ft OCH-Z1FF Portfolio Risk Management, Systems and Financial Controls CAPITAL 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 Och-Ziffs Proprietary Management System CAPITAL 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., 1 115403 • sONSCC • UO2.10* • 1.6211322 GC9( O34•;<k ••00c amok Ir •04•X 1\A IK • kW. I &MIS I. ns, O&M.< a.ay Sir 09, 1): gnaw ))) ))X 171. Ina," ))) IMMO, U. 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OCH-ZIFF CAPITAL MANAGEMENT GROUP 15 EFTA00601473 ft OCH-Z1FF ICS Competitive Advantages CAPITAL MANAGEMENT GROUP Over the course of a hill market cycle, ICS seeks to generate alpha with less risk through a combination of An Experienced, Global Team ■ 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 ■ Mr. Young has over 23 years of experience, while Mr. Shafiqullah has over 17 years of 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 Investment Process ■ Fundamental approach with a focus on downside protection and optimization to avoid defaults ■ Active collaboration with global equities, energy, real estate and other strategy teams to enhance underwriting capabilities An Active Approach ■ Seek to identify most attractive risk/reward opportunities ■ Continuously evaluate credit quality, expected returns and portfolio liquidity — In 2014, Och-Ziff traded over $19.7 billion in U.S. corporate credit and $12.3 billion in U.S. leveraged loans As of September I, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 18 EFTA00601474 ck OCH-Z1FF Table of Contents CAPITAL MANAGEMENT GROUP I. Och-Ziff Capital Management Group II. Och-Ziff Institutional Credit Strategies III. U.S. CLO Performance IV. Appendix Biographies of Key Professionals OCH-ZIFF CAPITAL MANAGEMENT GROUP 17 EFTA00601475 Och-Ziff Loan Management LP as Collateral Manager for Och-Ziffs U.S. CLOs OCH-ZIFF CAPITAL MANAGEMENT GROUP U.S. CLO Performance Summary' Initial Deal Size DEAL IS millions) Inception Inception To Date To Date Equity Size Distributions Annualized Jr. Most 0/C Par Build Annualized Par Closing Date IS millions) (% of Equity)2 Cash on Cash2 Test Cushion2 Notional ($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 European CL0s. ' 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 OZLM Funding, Ltd. OCH-ZIFF CAPITAL MANAGEMENT GROUP Fund Overview Initial Balance Current Ratin Deal Summary Closing Date July 19, 2012 Capital Structure (S millions) (Moody's/M) Coupon 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 Date Distribution Cumulative Distribution Distribution as a % of Par as a % of Par Annualized Distribution Cash on Cash 1/22/2013 3,743,471 7.2% 14.1% 4/22/2013 2,844,752 ...7.2% - 5.5% 12.7% 22.3% 7/22/2013 3,485,609 6.7% 19.5% 27.0% 10/22/2013 3,177,730 6.1% 25.6% 24.4% 1/22/2014 2,231,191 4.3% 29.9% 17.1% 4/22/2014 3,109,994 6.0% 36.0% 24.4% 7/22/2014 2,341,030 4.5% 40.5% 18.2% 10/22/2014 2,522,048 4.9% 45.4% 19.4% 1/22/2015 2,271,345 4.4% 49.8% 17.4% 4/22/2015 2,731,036 5.3% 55.0% 21.4% 7/22/2015 2,502,384 4.8% 59.9% 19.4% 45% 40% .c 1' 35% ca g 30% 25% 20% ci) N 15% E • 10% • 5°,5 0% <b <b 'ac PI' ot. vst 'C stt P vst • Cumulative Distribution ■ Annualized Distribution Cash on Cash 70% 60% 50% 40% r% 20% 10% 0% % Ongeinwn3 As of July 14, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 19 EFTA00601477 Och-Ziff Loan Management OZLM Funding, Ltd.' OCH-ZIFF CAPITAL MANAGEMENT GROUP Evolution of Weighted Average Rating Factor 3,000 2.900 2.800 2,700 2,600 2,500 2.400 2.300 2.200 P 0 1a ,0 0 0 .+0 let t 0101 1,1 1 4# 4, DWARF —WAFtF Limit Evolution of Weighted Average Spread 5.5% 112% 110% 5.0% 108% 4.5% 106% 104% 4.0% 102% 15% 100% 0 0 0 4 Nt` :4' 0 *•°' 0 0 0 0 0 4 lit et +61( +6.1 1 401 1144 1. .1 eel 1$44:40 Class D Overcollateralization Cushion WAS —WAS Limit Collateral Type Second Lien Loan 4% Senior Secured Loan — First Lien Last Out 6% Senior Secured Loan 90% As of July 14, 2015 unless otherwise noted. OZLM Funding, Ltd. closed on July 19,2012. Class D 0/C —Class D 0/C Unit Top Industries Other (231 36% Equipment Leasing 4% Electronics Electrical 4% Lodging and Casinos 11% Radio and Television Telecommunications 4% 6% Health Care 9% Financial Intermediaries 7% Leisure Goods / Activities / Movies 7% Business Equipment and Services 6% Retailers !except food and diugl 6% OCH-ZIFF CAPITAL MANAGEMENT GROUP 20 EFTA00601478 Och-Ziff Loan Management OZLM Funding II, Ltd. OCH-ZIFF CAPITAL MANAGEMENT GROUP Fund Overview Initial Balance Current Ratinpi_ Deal Summary Closing Date November 1, 2012 Capital Structure (S millions) (Moody's/M) Coupon 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 Equity Distributions Total 100.0 Date Distribution Cumulative Annualized Distribution Distribution Distribution as a % of Par as a % of Par Cash on Cash 4130/2013 7,051,606 11.5% 11.5% 23.2% 7/30/2013 4,099,290 6.7% 18.1% 26.7% 10/30/2013 3,669,244 6.0% 24.1% 23.6% 1/30/2014 2,651,829 4.3% 28.4% 17.1% 4/30/2014 3,337,799 5.4% 33.8% 22.0% 7/30/2014 2,780,536 4.5% 38.3% 18.1°,10 10/30/2014 2,944,762 4.8% 43.1% 19.0% 1/30/2015 2,595,752 4.2% 47.3% 16.7% 4/30/2015 3,095,273 5.0% 52.3% 20.4% 7/30/2015 2,854,587 4.6% 57.0% 18.6% 40% 35% 30% a 0 25% 1O 20% 2 15% I0% a 5% 0% Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 • Cumulative Distribution • Annualized Distribution Cash on Cash 60% 55% 50% 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% % SADBITIWI13 As of July 22, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 21 EFTA00601479 Och-Ziff Loan Management OZLM Funding II, Ltd.' OCH-ZIFF CAPITAL 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 2.600 4.4% 106% 105% ie 4.2% 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, coes2z. ..,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 Senior Secured Loan — First Lien Last Out — 5% As of July 22, 2015 unless otherwise noted. OZLM Funding II, Ltd. closed on November 1, 2012. Second Lien Loan 4% Senior Secured Loan 91% Top Industries Other (231 37% Utilities 3% Electronics / Electrical 5% Lodging and Casinos 10% Health Care Radio and Television 5% 9% Business Equipment and Services 7% Financial Intermediaries 7% Leisure Goods/ Activities! Movies 6% Retailers (except food and drug) 6% Telecommunications 5% OCH-ZIFF CAPITAL MANAGEMENT GROUP 22 EFTA00601480 ft Och-Ziff Loan Management OZLM Funding III, Ltd. OCH-Z1FF CAPITAL MANAGEMENT GROUP Fund Overview Initial Balance Current Ratin, Deal Summary 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 Date Distribution Distribution as a % of Par Cumulative Annualized Distribution Distribution as a % of Par Cash on Cash 7/22/2013 6,856,040 9.8% 9.8% 23.5% 10/22/2013 3,679,216 5.3% 15.1% 20.9% 1/22/2014 3,522,534 5.0% 20.1% 20.0% 4/22/2014 4,030,664 5.8% 25.8% 23.4% 7/22/2014 3,436,368 4.9% 30.8% 19.7% 10/22/2014 3,659,540 5.2% 36.0% 20.7% 1/22/2015 3,169,096 4.5% 40.5% 18.0% 4/22/2015 4,035,157 5.8% 46.3% 23.4% 7/22/2015 3,784,050 5.4% 51.7% 21.7% 24% n 23% co 16% 1 55% 50% 45% 40% I 35% 2 30% 3 c 25% Ft 20% 0 15% a? 10% 5% 0% Jul-13 Oct-13 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 23 EFTA00601481 Och-Ziff Loan Management OZLM Funding III, Ltd.' OCH-ZIFF CAPITAL 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% 3.000 4.4% 108% 107% 4.2% 2.800 4.0% - 10856 2.600 3.8% • 105% 2.400 3.6% 104% Nt% 4 :% 4 :% 4 ) 4 ) 4 ) 4 ) 4") C ) C ) 4 % 4 %. I 1 It 4 31. 4 1 V 4,e V sal .er 4.0 „er 4,91; „so ssy 4$: 4.0: V se/ ,o4" 4.11 WARF WARE Limit WAS WAS Limit Collateral Type Senior Secured Loan — First Lien Last Out 3% Unsecured Loan <1% Senior Secured Loan 92% As of July 14, 2015 unless otherwise noted. ' OZLM Funding III, Ltd. closed on February 20, 2013. Second Lien Loan 5% Class 0 O/C —Class 0 OfC Limit Top Industries Other (241 37% Utilities 4% Financial Intermediaries 8% Publishing 5% Business Equipment and Services 8% Retailers (except food and drug) 7% Lodging and Casinos 7% Health Care 7% Telecommunications 6% Leisure Goods/ Electronics / Activities / Movies Electocal 6% 5% OCH-ZIFF CAPITAL MANAGEMENT GROUP 24 EFTA00601482 ft Och-Ziff Loan Management OZLM Funding IV, Ltd. OCH-ZIFF CAPITAL MANAGEMENT GROUP Fund Overview Initial Balance Current Ratin Deal Summary Closing Date June 27, 2013 Capital Structure (S millions) (Moody's/M) Coupon 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 Equity Distributions 35% 30% Cumulative Annualized .0 63"' Distribution Distribution Distribution 25% Date Distribution as a % of Par as a % of Par Cash on Cash 0 20% 1/22/2014 9,091,208 17.2% 17.2% 30.1% 4/22/2014 3,883,892 7.4% 24.6% 29.9% -0 15% NW 7/22/2014 3,204,758 6.1% 30.7% 24.4% ',TT I . 1 0 % 10/22/2014 3,410,432 6.5% 37.1% 25.7% 5% 1/22/2015 3,094,768 5.9% 43.0% 23.3% 4/22/2015 3,829,670 7.3% 50.3% 29.4% 0% 7/22/2015 3,713,387 7.0% 57.3% P8.P96 1 1 1 1 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 • Cumulative Distribution • Annualized Distribution Cash on Cash 60% 55% 50% 45% 40% g 35% g 30% AT 25% 20% salt 15% 10% 5% 0% As of July 14, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 25 EFTA00601483 ft Och-Ziff Loan Management OZLM Funding IV, Ltd.' OCH-Z1FF CAPITAL MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class E Overcollateralization Cushion 3,400 4.8% 107% 3,200 4.6% ...----- %......... 105% 4.4% 105% 3,000 4.2% • 104% 2,800 %'s-.„,...._........\.... 4.0% 103% 2.600 3.8% 102% ,....-....-.0. 2.400 • i i I 3.6% -.- 101% . • I •S1 ;t 4 LP e t ....,:‘IX _4>IX t„,,* t 4.4. AP .....•@ .,;(*. 4 IP 4) O 44 414 et 1 1 1 1 et 1 e I * ey ip - ..stV . .- 0 4,,,,,, . ' r s ib, i p - !sir it ir gut * .4. (< si siK •V I e 0 QV 41, .0 0 + t • 4, 0 ) 4% . WARF—WARF Limit WAS WAS Umit Class E 0/C —Class E O/C Umit Collateral Type Senior Secured Loan — First Lien Last Out 3% Senior Secured Loan 92% As of July 14, 2015 unless otherwise noted. ' OZLM Funding IV, Ltd. closed on June 27, 2013. Second Lien Loan 5% Top Industries Other (241 36% Equipment Leasing 4% Publishing 5% Lodging and Casinos Retailers (except 9% food and drug) 8% Telecommunications 5% Business Equipment and Services 8% Heakh Care 7% Electronics I Electrical 6% Leisure Goods / —Activities / Movies 6% Financial Intermediaries 6% OCH-ZIFF CAPITAL MANAGEMENT GROUP 26 EFTA00601484 ft Och-Ziff Loan Management OZLM Funding V, Ltd. OCH-Z1FF CAPITAL MANAGEMENT GROUP Fund Overview Initial Balance Current Ratin Deal Summary Capital Structure (S millions) (Moody's=) Coupon Closing Date December 17, 2013 Class A-1 290,500,000 Aaa/AAA L + 1.50% Non-Call January 16, 2016 Reinvestment Period January 17, 2018 Class A-2 65,250,000 N Ft/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 Equity Distributions 35% n 30% co 45% 40% 35% Cumulative Annualized c. `-', 25% 30% 2 Date Distribution Distribution as a % of Par Distribution as a % of Par Distribution Cash on Cash (5, 20% C , 25% 2 c 15% co 20% 7/17/2014 8,523,835 18.4% 18.4% 31.7% 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 OZLM Funding V, Ltd.' OCH-ZIFF CAPITAL MANAGEMENT GROUP Evolution of Weighted Average Rating Factor Evolution of Weighted Average Spread Class D Overcollateralization Cushion 3,400 5.0% 111% 3,200 4.8% 110% 109% 4.6% 3.000 1 % 08 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. . at 01, sat b 4' .43 4. 4. 4 4 4 4 43 4\h 40 Oen' Ic b4 xi WARF DWARF Limit WAS WAS Limit Class 00/C Class D 0/C Limit * * * 4'1 ° 4" 4 4' 4" 10 2° 2° :4' N;l* 2° 7:? 2° 2° 2:e* ;° :.13 21° 21° 21° 211° s°° t yp al qteec, vice 1 v). it,0 16,1 I?, Al? Collateral Type Senior Secured Loan — First Lien Last Out 4% Senior Secured Loan 91% As of July 8,2015 unless otherwise noted. ' OZLM Funding V, Ltd. closed on December 17,2013. Second Lien Loan 5% Top Industries Other (23) 38% Equipment Leasing 4% Publishing 5% Business Equipment and Services 8% Telecommunications Mei Lodging and Casinos 8% Leisure Goods / Activities / Movies 7% Financial Intermediaries 6% Health Care 6% Electronics/ Electrical 6% Retailers (except food and drug) 6% OCH-ZIFF CAPITAL MANAGEMENT GROUP 28 EFTA00601486 Och-Ziff Loan Management OCH-ZIFF OZLM VI, Ltd. CAPITAL MANAGEMENT GROUP Fund Overview Initial Balance Current Ratings Deal Summary Capital Structure (S millions) (Fitch/Moody's) Coupon Closing Date Class A-1 375,000,000 AANAaa L+ 1.55% Non-Call Class A-2a 49,500,000 NR/Aa2 L+2.15% Reinvestment Period Class A-2b 30,000,000 NR/Aa2 4.47% Final Maturity Class B 36,750,000 NR/A2 L+ 2.90% Assets Class C 37,500,000 NR/Baa3 L+3.50% Floating Rate Assets Fixed Rate Assets Class D 27,000,000 NR/Ba3 L+ 4.75% Structured Finance Class E 12,000,000 NR/B2 L+ 5.50% Total Subordinated Notes 53,500,000 NR/NR Residual 35% Total 621,250,000 30% .= 60 cg Equity Distributions Cumulative Annualized Distribution Distribution Distribution Date Distribution as a % of Par as a % of Par Cash on Cash 10/17/2014 6,683,619 12.5% 12.5% 24.8% 1/20/2015 2,710,431 5.1% 17.6% 19.5% 4/17/2015 3,511,867 6.6% 24.1% 27.5% 7/17/2015 3,453,863 6.5% 30.6% 25.9% April 16, 2014 April 16, 2016 April 17, 2018 April 17, 2026 Par Amount% 100.0 0.0 0.0 25% ■ 0 fa 20% 03 0_, -0 15% 10% 5% 5% 0% 0% Oct-14 Jan-15 Apr-15 Jul-15 • Cumulative Distribution • Annualized Distribution Cash on Cash 100.0 35% 30% 25% (-) As of July 8,2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 29 EFTA00601487 Oz Och-Ziff Loan Management OZLM VI, Ltd.' OCH-ZIFF CAPITAL MANAGEMENT GROUP Evolution of Weighted Average Rating Factor 3.000 2,800 2,600 ••••maerr., 2,400 0 0. 0 0 0 0 0 0 AS Cs(1 ft 64. C" Mr 4: 4; et N: .t 5 CS! IZ-C4 DWARF WARF Umit Evolution of Weighted Average Spread 5.0% 4.8% 4.6% 4.4% 4.2% 4.0% 3.8% 4• + te. cg, 1 AN te cs:o st. E <4 v ‘' 4 1' WAS WAS Limit Collateral Type Senior Secured Loan — First Lien Last Out 3% As of July 8,2015 unless otherwise noted. OZLM VI, Ltd. closed on Apri116, 2014. Second lien Loan 5% Senior Secured Loan 92% Class D Overcollateralization Cushion 109% 108% 107% 108% 105% 104% 103% • .3 \t" NU 4 5 4 5 4.5 45 4. 4'. ...co V): Dom V: A. ‘t 4% CS 4 1 CP 4eb v V Class 0 0/C Class 0 OX Limit Top Industries Other (23) 34% Industrial Equipment 4% Lodging and Casinos 4% Financial Intermediaries 5% Leisure Goods / Activities / Movies 10% Publishing 5% Business Equipment and Services 10% Retailers (except food and drug) 8% Electronics! Electrical 7% Health Care 7% Telecommunications 6% OCH-ZIFF CAPITAL MANAGEMENT GROUP 30 EFTA00601488 ft Och-Ziff Loan Management OZLM VII, Ltd. OCH-Z1FF CAPITAL MANAGEMENT GROUP Fund Overview Current Initial Balance Ratings Deal Summary Capital Structure (S millions) (Fitch/Moody's) Coupon Closing Date Class A-la 310,000,000 AAA/Aaa L + 1.42% Non-Call Class A-1b 190,000,000 AAA/Aaa L+ 1.49% Reinvestment Period Class A-2a 66,000,000 NR/Aa2 L+ 2.05% Final Maturity Class A-2b 40,000,000 NR/Aa2 4.25% Assets Class 8-1 25,000,000 NR/A2 L + 2.85% Floating rate assets Class B-2 21,750,000 NR/A2 5.35% Fixed rate assets Class C 50,000,000 NR/Baa3 L+ 3.60% Structured finance Class D 33,250,000 NR/Ba2 L + 5.00% Total Class E 20,750,000 NR/B2 L + 5.90% Subordinated Notes 68,000,000 NR/NR Residual 35% Total 824,750,000 .c 30% co `—', 25% ci (5, 20% 03 -0 o 15% co N .77,, 10% c < 5% 0% Equity Distributions Date Distribution Distribution as a % of Par Cumulative Distribution as a % of Par Annualized Distribution Cash on Cash 1/20/2015 7,843,556 11.5% 11.5% 20.2% 4/17/2015 4,601,896 6.8% 18.3% 28.4% 7/17/2015 4,569,381 6.7% 25.0% 27.0% Jan-15 June 26, 2014 July 17, 2016 October 17, 2018 July 17, 2026 Par Amount % 100.0 0.0 0.0 100.0 Apr-15 Jul-15 • Cumulative Distribution • Annualized Distribution Cash on Cash 26% 24% 22% 20% 18% c-, 16%3 14% = 12% 14. 10%0 8% ate 6% 4% 2% 0% As of July 8, 2015 unless otherwise noted. OCH-ZIFF CAPITAL MANAGEMENT GROUP 31 EFTA00601489 Oz Och-Ziff Loan Management OZLM VII, Ltd.1 OCH-ZIFF CAPITAL 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% %.‘ • +6%. O04 ;e3 1' 1 .3 1 .3 ceg) 0 OE 44° 1 WARE WARE Limit s./ :t) 4fr ,fr 1 1 —WAS WAS Limit Collateral Type Unsecured Loan Senior Secured Loan — <1% First Lien Last Out 2% As of July 8,2015 unless otherwise noted. ' OZLM VII, Ltd. closed on June 26, 2014. Second Uen Loan 5% Senior Secured Loan 93% 1 ') < 1 1 .3 4 '3 1' <4) N4) c; lackt, • 0 4s. hoc t Class 0 0/C Class D 0/C Limit Top Industries Other 1241 34% Chemical / Plastics 4% Lodging and Casinos 4% Telecommunications 5% Health Care 9% Publishing 5% Retailers (except food and drug) 9% Business Equipment and Services 9% Electronics/ Electrical 8% Leisure Goods / —Activities / Movies 7% Financial Intermediaries 6% OCH-ZIFF CAPITAL MANAGEMENT GROUP 32 EFTA00601490 Gk. Och-Ziff Loan Management OZLM VIII, Ltd. OCH-ZIFF CAPITAL 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% Total 622,250,000 1 24% • 22% .0 30% - 20% Equity Distributions 25% 0 18% 16% n -g 20% co CO 14% 12% 07 Cumulative Annualized Distribution Date Distribution as a % of Par Distribution as a % of Par Distribution Cash on Cash -0 15% NW .773 10% 0 10% F; 8% alz 6% 4/17/2015 9,458,622 16.2% 16.2% 26.8% 4:4 5% 4% 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 aLLM VIII, Ltd.' OCH-Z1FF CAPITAL 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 Collateral Type Senior Secured Loan — Second Lien Loan First Lien Last Out 6% 2% Senior Secured Loan 92% As of July 8,2015 unless otherwise noted. ' OZLM VII, Ltd. closed on September 9,2014. Class 0 0/C —Class D 0/C Limit Top Industries Other (241 38% Industrial Equipment 4% Health Care 9% Business Equipment and Services 8% Retailers (except - food and thug) 8% Leisure Goods/ --Activities/ Movies 6% Electronics /Electrical 6% Lodging and Casinos Telecommunications 6% 5% Financial Intermediaries 5% Publishing 5% OCH-ZIFF CAPITAL MANAGEMENT GROUP 34 EFTA00601492 ft Och-Ziff Loan Management OCH-Z1FF °ZUNI IX, Ltd. CAPITAL 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% .c 30% co"' 14% • 12% Equity Distributions Cumulative Annualized `-', 25% 10% Date Distribution Distribution as a % of Par Distribution as a % of Par Distribution Cash on Cash , 5,, 20% co c..) 8% i oT• 4/20/2015 3,359,243 6.9% 6.9% 21.3% -c, 15% co NI to 7/20/2015 3,346,387 6.9% 13.8% 27.6% .7.73 10% 0 c c 5% a 4% 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 aLLM IX, Ltd.' OCH-ZIFF CAPITAL MANAGEMENT GROUP Evolution of Weighted Average Rating Factor 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% Evolution of Weighted Average Spread Class D Overcollateralization Cushion 4) 1 WARF -WARF Limit NA'# sit WAS WAS Limit Collateral Type Unsecured Loan Senior Secured Loan — 1% First Lien Last Out 2% Second Lien Loan 5% Senior Secured Loan Class 0 0/C —Class 0 0/C limit Top Industries Other 122) 34% Chemical / Plastics 4% Financial Intermediaries 4% Publishing Retailers (except food and drug) 10% Business Equipment and Services 9% Leisure Goods/ Activities I Movies 8% Health Care 8% Electronics! Electrical 7% 92% 4% Industrial Equipment Telecommunications As of July 9,2015 unless otherwise noted. OZLM VII, Ltd. closed on December 22, 2014. 5% 7% OCH-ZIFF CAPITAL MANAGEMENT GROUP 36 EFTA00601494 ft Och-Ziff Loan Management CYLLM XI, Ltd. OCH-ZIFF CAPITAL MANAGEMENT GROUP Fund Overview Initial Balance Current 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 ft Och-Ziff Loan Management CYLLM XII, Ltd. OCH-Z1FF CAPITAL MANAGEMENT GROUP Fund Overview Initial Balance Current 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 ft Och-Ziff Loan Management OZLM XIII, Ltd. OCH-Z1FF CAPITAL MANAGEMENT GROUP Fund Overview Initial Balance Current 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 Table of Contents CAPITAL 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 Och-Ziff Professional Biographies CAPITAL 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