Ver Capital - European Leveraged Loan Index per

DESCRIPTION

MAIN CHARACTERISTICS

European Leveraged Loan Index Inception Date

Index including only Euro denominated Leveraged Loans issued by firms backed by a Private Equity sponsor. January, 8 th 2016 with value 100.

Number of Constituents Calculation Frequency

43 chosen by Ver Capital. Weekly.

Rebalance Frequency Accrued Interests

Every 4 weeks in order to reinvest accrued interests. More frequently in order to consider repayments, full pre-payments, eliminations and additions of names. Supposed to be cashed-in every 4 weeks.

Rebalancing Method New Names

The rebalancing is done using market value weights. New names are added at Ver Capital discretion.

Elimination of Names

When a loan is fully repaid or at Ver Capital discretion.

Interest Accrual Pricing

Interests are calculated on a 30/360 basis and are accrued daily. Average Bid. Bid/Ask difference is not considered.

Amortization Pre-payments

Term Loan Amortizations are not considered.

Only full pre payments are considered.

Spread of Single Assets Countries

Initial spread plus Euribor floor. Only Western Europe and North America issuers.

Facilities Type

Only liquid Senior Secured Leveraged Loans.

Industries

Only performing loans. Distressed and non performing are excluded. Well diversified portfolio covering the main industries. Financials, Metals and Mining, Gaming and Energy are excluded.

Contacts

Ver Capital SGRpA Mail Phone Number Web site [email protected]

+39 02 62723811 www.vercapital.com

Ver Capital - European Leveraged Loan Index per

INDUSTRY DIVERSIFICATION – 27/01/2017 STATISTICS AS OF 27/01/2017

Portfolio Average Total Spread Portfolio Average YTM Portfolio Average Rating Names in Portfolio

4.39% 4.16% B+ 43 Total Return

For the 7 days ending on 27/01/2017 For the 28 days ending on 27/01/2017 YTD (30/12/2016 – 27/01/2017) Since inception on 08/01/2016 2016 Total Return (08/01/2016 - 30/12/2016)

Contacts

Ver Capital SGRpA Mail Phone Number Web site [email protected]

+39 02 62723811 www.vercapital.com

+0.23% +0.89% +0.89% +6.82% +5.88%

Ver Capital - European Leveraged Loan Index per

Top Gainer of the week ending on 27/01/2017

Genesys

+0.60% Top Decliner of the week ending on 27/01/2017

VWR

-0.22% TOP HOLDINGS Name Action

Percentage 6.80% Equity Sponsor 3i

Oberthur Verallia Vedici IDC SALUD SIG COMBIBLOC Douglas BSN MEDICAL KEURIG GREEN MOUNTAIN Allnex

5.85% 5.83% 5.52% 5.00% 4.39% 3.86% 3.57% 3.54% 3.09% ADVENT APOLLO CVC CVC ONEX CVC EQT JAB HOLDING COMPANY ADVENT

Contacts

Ver Capital SGRpA Mail Phone Number Web site [email protected]

+39 02 62723811 www.vercapital.com