Avery II CLO

Structured Finance

www.fitchratings.com June 7, 2013

Structured Credit / U.S.A.

Avery Point II CLO, Limited/Corp.

Presale Report

Transaction Summary

Avery Point II CLO, Limited and Avery Point II CLO, Corp. (together, Avery Point II, or the issuer) is

an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sankaty

Advisors, LLC (Sankaty). Net proceeds from the issuance of the secured and subordinated notes

will be used to purchase a portfolio of approximately $500.0 million of primarily leveraged loans. The

CLO will have a four-year reinvestment period, expected to end in July 2017.

Key Rating Drivers

Sufficient Credit Enhancement: Credit enhancement (CE) of 39.2% for class A notes, in

addition to excess spread, is sufficient to protect against portfolio default and recovery rate

projections in an AAAsf stress scenario. The level of CE for class A notes is above the average

CE of recent CLOs.

B/B Asset Quality: The average credit quality of the indicative portfolio is B/B, which is

comparable to recent CLOs. Issuers rated in the B category denote a highly speculative credit

quality; however, class A notes are unlikely to be affected by the foreseeable level of defaults. Class

A notes are robust against default rates of up to 67.8%.

Strong Recovery Expectations: The indicative portfolio consists of 95.8% senior secured loans,

approximately 91.5% of which have strong recovery prospects or a Fitch Ratings-assigned

recovery rating of RR2 or higher. This is in line with the seniority profile of recent vintage CLOs.

Inside This Report Page Transaction Summary 1 Key Rating Drivers 1 Additional Rating Drivers 2 Transaction Comparison 2 Asset Analysis 2 Cash Flow Analysis 4 Rating Sensitivity 7 Portfolio Management 9 Additional Structural Features 9 Counterparty Risk 11 Transaction and Legal Structure 12 Criteria Application, Model, and Data Adequacy 12 Performance Analytics 13

Appendices 1418

Related Presale Appendix

Avery Point II CLO Limited/Corp. (June 2013)

Related Criteria

Global Structured Finance Rating Criteria (May 2013)

Global Rating Criteria for Corporate CDOs (August 2012)

Global Criteria for Cash Flow Analysis in CDOs (September 2012)

Criteria for Interest Rate Stresses in Structured Finance Transactions (January 2013)

Counterparty Criteria for Structured Finance and Covered Bonds (May 2013)

Analysts Erika Tsang, CFA +1 212 908-0817 [email protected]

Robert Rhein +1 312 606-2314 [email protected]

Derek Miller +1 312 368-2076 [email protected]

Capital Structure

Class Expected Rating

Expected Outlook

Amount ($ Mil.) CE (%)

a

Interest Rate (%) Final Maturity TT (%) TTLM (x)

A AAAsf Stable 304.00 39.2 3mL + 1.11 July 2025 58.8 4.9

B-1 NR N.A. 46.00 25.0 3mL + 1.55 July 2025 N.A. N.A.

B-2 NR N.A. 25.00 25.0 3.21 July 2025 N.A. N.A.

C NR N.A. 36.00 17.8 3mL + 2.75 July 2025 N.A. N.A.

D NR N.A. 26.00 12.6 3mL + 3.45 July 2025 N.A. N.A.

E NR N.A. 24.00 7.8 3mL + 4.25 July 2025 N.A. N.A.

F NR N.A. 13.50 5.1 3mL + 5.10 July 2025 N.A. N.A. Subordinated

Notes NR N.A. 42.25 N.A. Residual July 2025 N.A. N.A.

Total 516.75

aCredit enhancement (CE) is based on the target par amount of $500.0 million. Notes: Expected ratings do not reflect final ratings and are based on information provided by the issuer as of June 7, 2013. These expected ratings are contingent on final documents conforming to information already received. Ratings are not a recommendation to buy, sell, or hold any security. The offering circular and other material should be reviewed prior to any purchase. TT

Tranche thickness. TTLM Tranche thickness loss multiple. NR Not rated. N.A. Not applicable.

Structured Finance

Avery Point II CLO, Limited/Corp. 2

June 7, 2013

Additional Rating Drivers

Consistent Portfolio Parameters

The portfolio will be actively managed and bound by concentration limitations and collateral

quality tests addressing various loan and structural characteristics. Aside from the lack of

limitation on assets that pay less frequently than quarterly, the concentration limitations and

collateral quality test levels presented to date are within the range of limits set in the majority of

recent CLOs. Fitch addressed the impact of the most prominent risk-presenting concentration

allowances and targeted test levels in its analysis.

Asset Analysis

The Fitch Portfolio Credit Model (PCM v2.3.2) was used to determine hurdle default rates

(rating default rates, or RDRs) and expected portfolio recovery rates (rating recovery rates, or

RRRs) for the AAAsf rating level. The PCM was run on the indicative portfolio, as well as a

Fitch stressed portfolio that was created according to the portfolio concentration limits and

collateral quality tests, as described below. Fitchs analysis focused on the Fitch stressed

portfolio, given the managers ability to reinvest principal proceeds.

The portfolio presented to Fitch on May 30, 2013 (the indicative portfolio) consists of 126

assets from 120 obligors, including 64 unidentified obligors with assumed loan characteristics

Related Research

Sankaty Advisors, LLC (October 2012)

U.S. Leveraged Finance Market Quarterly (First- Quarter Synopsis) (April 2013)

U.S. Leveraged Finance: Road to Recovery Ratings (February 2012)

CLO Market Quarterly (January 2013)

The structure and portfolio

composition of Avery Point II closely

resembles that of recently issued

CLOs, while the class A notes benefit

from a relatively higher degree of CE

than the average of recently rated

CLOs.

Transaction Comparison 1Q132Q13 CLOs

a

Transaction Avery Point II

CLO Race Point

VIII CLO Average Minimum Maximum

Target Par Amount ($ Mil.) 500.0 500.0 488.4 300.0 898.7

Reinvestment Period (Years) 4 4 4 2 4

Noncall Period (Years) 2 2 2 2 3

Notes CE

Senior Class (%) 39.2 38.0 36.9 33.3 42.4

Structure

Senior Overcollateralization (OC) Test A/B A/B A/B A/B A/B

Senior OC Test Level (%) 124.3 125.9 124.3 118.4 142.0

Portfolio Covenants and Concentration Limitations

Max. Initial WAL (Years) 8.0 8.0 7.9 6.9 8.5

Initial Target WARF 2800 2553 2725 2400 3150

Max. CCC Assets (%) 5.0 7.5 7.1 5.0 7.5

Min. WAS (%) 3.9 3.7 3.9 2.9 4.7

Actual WAS (%) 4.6 4.5 4.8 4.0 5.9

Max. Fixed Assets (%) 10.0 10.0 6.2 - 10.0

Min. WAC (%) 7.3 8.0 6.9 4.0 8.0

Max. Single Obligor (%) 2.5 2.5 2.5 2.0 3.0

Min. Senior Secured (%) 90.0 90.0 91.1 90.0 95.0

Max. 2nd Lien and Subordinate (%) 10.0 10.0 8.8 2.5 10.0

Max. Covenant-Lite (%) 40.0 50.0 50.4 35.0 70.0

Maximum Long-Dated Assets (%) 0.0 0.0 0.2 0.0 2.0

aIncludes CLOs backed by portfolios of broadly syndicated loans that priced from Jan. 1, 2013 through May 31, 2013.

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June 7, 2013

comprising 38.7% of the portfolio. Fitch considers the indicative portfolio to be of similar

diversity in terms of obligor and industry concentrations, relative to recently issued CLOs.

Asset Quality

The weighted average rating of the indicative portfolio is B/B (as determined by Fitchs global

rating criteria for corporate CDOs). Fitch has an explicit rating or a credit opinion for 21 obligors from

the indicative portfolio comprising 23.3% of the total portfolio par balance; ratings for 37.9% of the

total portfolio were derived using Fitchs issuer default rating (IDR) equivalency map. In addition,

unidentified obligors were predominantly indicated to be within the B rating category; these obligors

were generally assumed to maintain these ratings in the Fitch stressed portfolio. As the transaction

documents do not contain a covenant for a maximum Fitch weighted average rating factor (WARF),

Fitch assumed the average portfolio quality remains in the B/B rating category in its construction

of the Fitch stressed portfolio (see the portfolio distribution in the Underlying Rating Distribution chart

below).

Fitch considers 4.8% of the indicative portfolio to be rated in the CCC category, while the

maximum permitted exposure to assets rated CCC (as defined by S&P) is 5.0%. Of this

amount, 1.6% of the indicative portfolio has no public rating or Fitch credit opinion and was

considered CCC. Fitch increased the CCC concentration for the Fitch stressed portfolio to

match the maximum permitted CCC exposure.

Asset Security

The indicative portfolio consists of 95.8% senior secured loans, 2.2% second lien loans, and 2%

bonds. Fitch has assigned asset-specific recovery ratings to 15.6% of the indicative portfolios

assets. In the case of assets for which no asset-specific recovery ratings have been assigned, Fitch

applied the standard Fitch recovery rate assumptions for assets based in the same jurisdiction and

having the same ranking in the capital structure (as determined via the agencys global rating criteria

for corporate CDOs).

The concentration limitations specify that senior secured loans and eligible investments must

represent at least 90.0% of the portfolio. Senior secured bonds, senior secured notes, high-

yield bonds, second lien loans, and senior unsecured loans in total cannot exceed 10.0% of the

portfolio. Adjustments were made to the Fitch stressed portfolio to mirror this distribution.

Distribution of Assets Treated CCC+ or Lower

Fitch IDR Mapping Portfolio (%)

Rated < or = CCC+ 2.3

B/Rating Outlook Negative 1.0

No Rating 1.6

Total 4.8

0

5

10

15

20

25

30

35

40

45

BBB BB BB B+ B B CCC+ CCC

Indicative Portfolio Fitch Stressed portfolio(%)

Underlying Rating Distribution(As of June 7, 2013)

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June 7, 2013

Obligor and Industry Concentration

The concentration limitations allow exposure of up to 2.5% each for five obligors, which were

incorporated into the Fitch stressed portfolio. The remaining obligors may each constitute up to

2.0% of the portfolio. The transaction also allows for up to 12.0% concentration in each of three

industries and up to 15.0% for one additional industry, with a maximum 10.0% concentration

for remaining industries. Fitch accounted for the maximum allowable industry concentration in

its analysis of the Fitch stressed portfolio.

Cash Flow Analysis

Fitch used a customized proprietary cash flow model to replicate the principal and interest

waterfalls (described in detail in Appendix D, page 18) and various structural features of the

transaction to assess their effectiveness, including the structural protection provided by excess

spread diverted through the overcollateralization (OC) and interest coverage (IC) tests. Each

model run considers 12 stress scenarios to account for different combinations of default timings

and interest rate stresses, as described in Fitchs cash flow analysis criteria. The cash flow

model was run using the PCM outputs for the indicative portfolio, as well as for the Fitch

Top Five Obligor Concentrations

Obligor Fitch Rating Indicative

Portfolio (%) Fitch Stressed

Portfolio (%) Fitch Industry Seniority

1 BB 2.0 2.5 Metals & Mining Strong Recovery and Weak Recovery

2 B 2.0 2.5 Industrial/Manufacturing Rr1 (Outstanding: 91%100%)

3 BB 1.9 2.5 Energy Strong Recovery

4 CCC 1.6 1.6 Computers & Electronics Rr3 (Good: 51%70%)

5 B 1.6 1.6 Telecommunications Strong Recovery

Top Five Industry Concentrations

Industry Indicative Portfolio

(%) Fitch Stressed Porfolio (%)

Gaming and Leisure and Enterainment 11.3 15.0 Industrial/Manufacturing 9.4 12.0 Metals & Mining 9.1 12.0 Energy 8.8 12.0 Business Services 8.7 7.3

0

10

20

30

40

50

60

70

80

90

RR1 (Outstanding:91%-100%)

RR2 (Superior:71%-90%)

Strong Recovery RR3 (Good: 51%-70%)

Weak Recovery ModerateRecovery

Indicative Portfolio Fitch Stressed Portfolio(%)

Recovery Distribution(As of June 7, 2013)

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stressed portfolio. Fitch assumed the class A, B-1, C, D, E and F notes earn a weighted

average cost of funding of 1.71% over three-month LIBOR and that the class B-2 notes earn a

fixed coupon of 3.2% in its cash flow analysis.

The transaction documents provide the portfolio manager the flexibility to choose certain

combinations of cases for compliance with the S&P CDO Monitor Test, namely the minimum

weighted average recovery rate (WARR), maximum WAL, and minimum weighted average

spread (WAS), toward which the portfolio will be managed. The portfolio manager will

determine the initial WARR, WAL, and WAS cases at or before the end of the ramp-up period.

More discussion on the use of these multiple parameters as a portfolio management tool can

be found in the Management to Dynamic Collateral Quality Tests section on page 9. Fitch

modeled the WAS at 3.9%, according to the initial level targeted by the portfolio manager, as

represented to Fitch.

Interest Income and LIBOR Floors

The calculation of the WAS includes additional spread above actual LIBOR from loans that

have a LIBOR floor mechanism in place. While LIBOR floors will create additional interest cash

flow for Avery Point II during periods of low LIBOR, the benefit is expected to disappear after

LIBOR reaches 1.5%. The indicative portfolios WAS is 4.6%, including the benefit for LIBOR

floors, while the same portfolio would lead to a WAS of 3.8% if LIBOR is increased above 1.5%.

Approximately 97.2% of the current indicative portfolio has LIBOR floors between 0.75% and

1.5%.

Fitchs analysis of the indicative portfolio accounted for the benefit of additional spread from

LIBOR floors, while the analysis of the Fitch stressed portfolio assumed all floating-rate assets

earn interest at the minimum WAS test level, which was represented to Fitch as initially 3.9%

over LIBOR. The transaction documents permit a maximum of 10.0% fixed-rate collateral with

a minimum weighted average coupon (WAC) of 7.25%. Fitch assumed a 10% fixed-rate

collateral bucket in its cash flow analysis of the Fitch stressed portfolio and assumed the

remaining 90.0% of the portfolio to pay on a floating-rate basis.

Interest Reserve Mechanism

The concentration limitations do not restrict the amount of assets that pay less frequently than

quarterly, though no assets may pay less frequently than semi-annually. Instead, if the

aggregate principal balance of assets that pay less frequently than quarterly exceeds 10%,

there is an interest smoothing mechanism senior to class A interest in the interest waterfall that

will deposit the liquidity reserve amount back into the interest collection account to be

distributed on the following payment date. The liquidity reserve amount is essentially the

excess, if any, of the interest received from semi-annual pay assets above the 10% threshold

over the amount of interest that would have been received from those assets had they been

quarterly pay.

The calculation method of the reserve and its placement in the waterfall effectively mitigates

the transactions exposure to assets that pay semi-annually in excess of 10%. Therefore, the

Fitch stressed portfolio assumed that 10% of the underlying assets pay interest less frequently

than quarterly.

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June 7, 2013

Overcollateralization and Interest Coverage Tests

The structure includes standard OC tests, IC tests, and a reinvestment OC test. Failure of an

OC or IC test will result in interest or principal proceeds, as applicable, to be diverted to

redeem the rated notes sequentially. Failure of the reinvestment OC test during the

reinvestment period leads to the lesser of 50% of remaining interest proceeds and the required

cure amount to be reinvested in additional collateral assets. Failure of the reinvestment OC test

after the reinvestment period results in the lesser of 50% of remaining interest proceeds and

the required cure amount being used to redeem the notes. The IC tests are not applicable in

the priority of payments until the second payment date.

Effectiveness of Coverage Tests: May be Diminished by Discount Obligation Provisions

The transaction features discount obligation provisions that are standard among recent CLO

issuances. While discount obligations are generally included at their purchase price for purposes of

calculating OC tests, a senior secured loan will not be considered to be a discount obligation unless

it is rated B or higher by S&P and is purchased at a price below 80% of par. For senior secured

loans rated below B by S&P, the purchase price threshold increases to 85% of par. Since assets

purchased at a price below par, yet above the discount obligation thresholds, may be marked at par

for calculations of the OC and reinvestment OC test ratios, this may minimize the effectiveness of

these tests during the reinvestment period. The portfolio manager may potentially build par with the

purchases of assets priced below par, yet above discount obligation thresholds. Therefore, Fitch

considered a sensitivity scenario in which credit was not given to excess spread or the diversion of

interest proceeds through OC and reinvestment OC tests during the four-year reinvestment period.

Cash Flow Model Outputs

Break-even default rates (BDRs) show the maximum portfolio default rates the class A notes

could withstand in stress scenarios without experiencing a loss. BDRs for the class A notes

Coverage Tests (%)

Indicative Portfolio Fitch Stressed Portfolio

Trigger Initial Levela Cushion Initial Level

a Cushion

Overcollateralization (OC) Tests

Class A/B (Senior) OC Test 124.33 133.33 9.00 133.33 9.00

Class C OC Test 114.15 121.65 7.50 121.65 7.50

Class D OC Test 108.42 114.42 6.00 114.42 6.00

Class E OC Test 103.96 108.46 4.50 108.46 4.50

Interest Diversion Tests

Reinvestment OC Testb 102.37 105.37 3.00 105.37 3.00

Interest Coverage (IC) Tests

Class A/B (Senior) IC Test 120.00 386.26 266.26 330.19 210.19

Class C IC Test 110.00 326.28 216.28 278.91 168.91

Class D IC Test 105.00 286.74 181.74 245.11 140.11

aInitial OC levels based on target portfolio amount of $500 million.

bReinvestment OC Test trigger changes to 101.87% after the

reinvestment period.

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June 7, 2013

were then compared with the PCM hurdle rates at the AAAsf rating stress. A rating committee

would typically expect the BDR to be above the PCM hurdle rate to achieve a given rating, in

this case AAAsf for the class A notes.

The table below presents the lowest BDR of the 12 stress scenarios. The class A notes passed

the PCM hurdle rate on both the indicative and Fitch stressed portfolio analysis in all 12 stress

scenarios. Fitch was comfortable assigning AAAsf ratings to the class A notes because the

agency believes the tranche can sustain a robust level of defaults, in line with an AAAsf stress

scenario, as well as due to the strong performance of the notes in several sensitivity scenarios.

Rating Sensitivity

In addition to Fitchs stated criteria, the agency analyzed the structures sensitivity to the potential

variability of key model assumptions. The rating sensitivity analysis is based on the Fitch stressed

portfolio. These sensitivities only describe the model-implied impact of a change in one or more of

the input variables. This is designed to provide information about the sensitivity of the rating to key

model assumptions. It should not be used as an indicator of possible future performance. The key

model assumptions analyzed are described below.

Rating Sensitivity to Default Probability

A default probability multiplier of 125% and 150% is applied to the default probability of each obligor.

Rating Sensitivity to Recovery Rates

A 75% and 50% multiplier is applied to asset-level recovery rates.

Rating Sensitivity to Correlation

A 2.0x base country correlation increase is applied.

Rating Sensitivity to Combined Stress

A default probability multiplier of 125%, recovery rate multiplier of 75%, and 2.0x base

correlation for the country are applied.

Rating Sensitivity to Inefficient Coverage Tests

OC and IC tests were not accounted for during the reinvestment period.

Break-Even Default Rates (%)

Portfolio Indicative Fitch Stresseda

Class Class A Class A

Break-Even Default Rate 70.0 67.8

Assumed Recovery Rate 37.3 34.7

PCM Hurdle Default Rate 55.2 62.3

Default Cushion 14.8 5.5

Default Timing Mid Mid

LIBOR Up Up

aFitch stressed portfolio based on eight-year WAL, 3.9% WAS, maximum second lien, and obligor and industry

concentrations.

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June 7, 2013

Rating Sensitivity to Spread Compression over Two Years

The minimum WAS of the portfolio was reduced from the current covenanted level of 3.9% to

2.0%. The assumed portfolio WAL was also reduced by two years to six years; no credit

migration was assumed to occur.

Portfolio Management

Avery Point II will have a four-year reinvestment period, which is expected to expire in July 2017.

Discretionary sales are permitted at any time and are limited to 25% of the portfolio during the same

calendar year (as measured by the portfolio balance as of the beginning of such calendar year). The

portfolio manager will be permitted to sell defaulted, credit-risk, and credit-improved assets at any

time, including after the reinvestment period. Subject to certain criteria, all unscheduled principal

proceeds and proceeds from credit-risk and credit-improved sales may be reinvested after the

reinvestment period.

Rating Sensitivity Class A

Median Rating Lowest Rating

Rating Sensitivity to Default Probability (DP) 125% DP Multiplier AAA AA+

Rating Sensitivity to DP 150% DP Multiplier AA+ AA+

Rating Sensitivity to Recovery Rates (RRs) 75% RR Multiplier AAA AA+

Rating Sensitivity to RRs 50% RR Multiplier AA+ AA

Rating Sensitivity to Correlation 2.0x Base Correlation Increase AAA AAA Rating Sensitivity to Combined Stress 125% DP Multiplier, 75% RR Multiplier, 2.0x Base Correlation Increase AA AA

Rating Sensitivity to Inefficient Coverage Tests AA+ AA

Rating Sensitivity to Spread Compression over Two Years AAA AAA

Conditions to Reinvestment

During Reinvestment Period After Reinvestment Period

Type of Proceeds: Scheduled/Unscheduled Principal Payments, Discretionary Sales and Credit Improved Sales

Type of Proceeds: Credit Risk Sales and Defaulted Obligations Sales

Type of proceeds: Credit Risk sales

Type of proceeds: Credit Improved sales and Unscheduled Principal Payments

Collateral Quality Tests Satisfaction, or if failing, maintain or improve

Satisfaction, or if failing, maintain or improve (only applies to minimum fixed coupon, minimum floating

spread, and S&P minimum WARR tests)

Concentration Limitations Satisfaction, or if failing, maintain or improve Satisfaction, or if failing, maintain or improve

Coverage Tests Satisfaction, or if failing, maintain or improve Satisfaction of OC tests

Maturity Requirements N.A. Weighted average maturity of new asset must be same or

earlier than that of the related disposed obligation

Par Amount Requirements

RBC will be satisfied. APB of all additional collateral will at least equal the sales proceeds, or (ii)

RBC will be satisfied.

APB of additional collateral will at least equal the sales

proceeds, or (ii) RBC will be satisfied.

RBC will be satisfied.

Rating Requirements N.A. New asset must have same or better S&P rating than that of

the related disposed asset

S&P CDO Monitor Test Satisfaction, or if failing, maintain or improve N.A. N.A.

Note: Conditions to reinvestment outlined above assume additional assets meet the definition of a collateral obligation as defined in the indenture. APB Aggregate principal balance. RBC Reinvestment balance criteria. N.A. Not applicable.

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Additional Portfolio Concentrations

In addition to the permitted CCC bucket, second lien loan, industry, and obligor

concentrations, the documents include other notable concentration limitations. Exposures to

fixed-rate assets, and deferrable interest loans, among others, are kept to a minimum.

Investments in structured finance assets, synthetic assets, and loans from emerging markets

are not permitted. The concentration limitations and collateral quality tests are further detailed

in Appendix D on page 18.

The indicative portfolio has a WAL of approximately 6.0 years, while the transaction is initially

covenanted to an eight-year maximum WAL that steps down with the passage of time. Fitch

assumed an eight-year WAL in the Fitch stressed portfolio. Additionally, the portfolio guidelines do

not permit long-dated assets.

Management to Dynamic Collateral Quality Tests

The minimum WAS, WARR, and WAL covenants will be selected on or prior to the last day of the

ramp-up period and thereafter can be changed by the portfolio manager at any time. The exact

combinations of the chosen covenants at any given time are determined based on the satisfaction of

a model that is not transparent to the investor. In Fitchs view, the key risks of relying on a third-party

modeling tool as a monitoring test are the lack of transparency and the potential variability of the

tool.

Fitch views several factors as mitigating the risk presented by the limited transparency in the

collateral quality parameters. First, the results of the S&P CDO Monitor Test must be maintained or

improved upon changes to any of the selected covenanted levels. Consequently, the introduction of

additional portfolio risk should be mitigated with a concurrent tightening of another covenant; for

example, to lower the applicable minimum WAS covenant, the minimum WARR would be

increased. Also, Fitch has assessed the capability of the portfolio manager to manage the

transaction, in accordance with the terms of the transaction documents, and has gained comfort with

the managers ability to adequately manage the Avery Point II portfolio. Additionally, Fitch has tested

various sensitivity scenarios, as discussed in this report, including a scenario evaluating the wide

spectrum of minimum WAS requirements permitted by the documents, which highlight the strong

performance of the notes in high default and/or low recovery scenarios, among others.

Additional Structural Features

Repurchased/Surrendered Notes

The transaction allows for notes to be surrendered without payment to noteholders. However,

surrendered notes will be deemed to remain outstanding for purposes of the OC test calculations

until all notes of the applicable class and any notes senior to such class are redeemed.

Optional Redemption/Refinancing

The transaction features standard optional redemption and refinancing provisions that may be

undertaken after the two-year noncall period expires at the direction of a majority of the

subordinated notes and with written consent of the portfolio manager. An optional redemption

consists of either liquidating the collateral (redemption) or acquiring a loan or issuing new notes

(refinancing). An optional redemption may only occur if the expected liquidation proceeds

and/or refinancing proceeds are sufficient to repay the full principal amount and any accrued

and unpaid fees, expenses, and interest amounts on all classes of notes. The holders of any

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class of notes may agree by unanimous consent to decrease the redemption price for that

class of notes and receive a lesser amount in exchange for that redeemed class of notes.

This transaction also features the possibility for partial redemption via refinancing, where either a

majority of the subordinated noteholders or the portfolio manager may elect to redeem only one or

more classes of notes through a refinancing. New notes would be issued in the same amount as

those being replaced, and would have the same priority in the capital structure. The weighted

average spread over LIBOR or fixed rate of interest of the new class of notes would be less than or

equal to the weighted average spread or fixed interest rate of the notes being refinanced.

Fitchs credit view on these features is neutral, since repayment in whole of the applicable class of

notes is a prerequisite to any redemption or refinancing.

Re-Pricing of Notes

Following the noncall period, a majority of the subordinated notes or the portfolio manager may

direct the issuer to reduce the spread over LIBOR or fixed rate of interest on any class of notes (re-

pricing). Noteholders of the affected class will be notified at least 30 days prior to the proposed re-

pricing date, which notification will indicate the proposed spread and request for consent for the

proposed spread. Noteholders will need to provide written response if they do consent to the re-

pricing; a lack of response will be deemed a non-consent to the re-pricing. Any noteholders that do

not consent to the re-pricing may be required to sell their notes to other parties at a price not less

than par plus accrued interest.

Fitch views the re-pricing of the notes as similar to the traditional call features from earlier vintage

CLOs. This feature makes a call operationally easier to execute and provides the affected

noteholders the option to remain invested in a familiar transaction, which may have otherwise been

called by the equity investor.

Fitch expects to review the terms of any spread reduction, analyzing the then-current capital

structure and portfolio composition, and make a public comment, if appropriate. As long as the notes

remain outstanding, Fitch expects to maintain its rating, if applicable. Absent any salient credit

issues in the portfolio, Fitch expects the re-pricing of the notes would be a credit-neutral event at

worst and a modest credit-positive at best, since any reduction in spread of a CLO will result in a

lower cost of funding to the CLO and generate more excess spread that could be available in the

interest waterfall to pay notes following the failure of a coverage test.

Events of Default: Undercollateralization

An event of default (EOD) will occur if the ratio of the aggregate principal balance of the portfolio

(with no haircuts to discounted or CCC obligations but with defaulted obligations treated at market

value) to the aggregate outstanding amount of class A notes is less than 102.5%. If an EOD occurs

under this clause, holders of a supermajority of the controlling class may vote to accelerate the

transaction and declare all notes to be immediately due and payable. Fitch notes that this test is less

sensitive to early warning signs of portfolio deterioration than if the haircuts to discounted or CCC

assets were applied. However, given the voting threshold to direct the sale and liquidation of the

collateral, class A notes have a somewhat controlled exposure to market value losses should an

EOD occur (see Appendix D, page 18, for the par value EOD test calculation details).

The transaction also includes standard provisions for the potential liquidation of the collateral pool

after an EOD occurs. If an EOD has occurred and is continuing, and the notes have been

accelerated, a liquidation of all or part of the collateral pool may occur if either the expected

liquidation proceeds are sufficient to repay all classes of notes (other than the subordinated notes) in

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full or if a liquidation is directed by more than two-thirds of each class of notes (other than the

subordinated notes), voting separately.

Counterparty Risk

Portfolio Manager

The transaction will be managed by Sankaty. As part of its analysis, Fitchs Fund and Asset

Manager Rating Group evaluated Sankaty and determined its capabilities satisfactory in the context

of ratings assigned to the transaction and investment parameters that govern Sankatys activities.

(For additional information, see Fitchs Asset Manager Profile Report in Appendix B, pages 1516.)

As compensation for managing the portfolio, the portfolio manager will receive senior and

subordinated investment management fees of 15 bps and 35 bps per annum, respectively, based

on the total portfolio size as of the beginning of each collection period. The senior management fee

is paid prior to class A note interest, while the subordinate management fee will be payable after all

note interest is paid and after the reinvestment OC test. Fitch views the asset management fees as

being in line with industry averages, which is an important factor in facilitating the replacement of a

portfolio manager in the event of the departure of key members of the management team or any

other form of wind-down, bankruptcy, or insolvency of the existing portfolio manager.

Hedge Counterparties

The floating rate notes and most of the indicative assets reference the same index, minimizing

basis risk. No hedging strategies are included in the analysis at this time.

Other Counterparties

Provisions for the eligible investments to be purchased with intra-period interest and principal

collections, as well as the rating requirements of the institutions at which the issuers various bank

accounts will be established, conform to Fitchs counterparty criteria for supporting note ratings of

AAAsf. Requirements for other counterparties, such as the trustee, collateral administrator, and

custodian, also conform to Fitch criteria.

Fitch views Sankaty as satisfactory for

the management of Avery Point II.

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June 7, 2013

Transaction and Legal Structure

The notes will be issued by Avery Point II, a bankruptcy-remote, special-purpose vehicle organized

under the laws of the Cayman Islands and the state of Delaware. The notes are secured by the

underlying loan portfolio. Payments to the notes will be made quarterly and are expected to begin in

January 2014.

Disclaimer

For the avoidance of doubt, Fitch relies, in its credit analysis, on legal and/or tax opinions provided

by transaction counsel. As Fitch has always made clear, Fitch does not provide legal and/or tax

advice or confirm that the legal and/or tax opinions or any other transaction documents or any

transaction structures are sufficient for any purpose. The disclaimer at the foot of this report makes it

clear that this report does not constitute legal, tax, and/or structuring advice from Fitch and should

not be used or interpreted as legal, tax, and/or structuring advice from Fitch. Should readers of this

report need legal, tax, and/or structuring advice, they are urged to contact relevant advisers in the

relevant jurisdictions.

Criteria Application, Model, and Data Adequacy

Criteria Application

Key criteria reports used are Global Rating Criteria for Corporate CDOs, dated August 2012, and

Global Criteria for Cash Flow Analysis in CDOs, dated September 2012; both are available on

Fitchs website at www.fitchratings.com. Additional criteria used in Fitchs analysis are listed on

page 1.

Model

The credit analysis followed a two-step process. First, the agency analyzed the portfolios default

and recovery probabilities using Fitchs PCM V2.3.2, in accordance with its corporate CDO criteria.


(Issuer)

Note Proceeds

(for Loan Purchase)

Sale of Loans to IssuerPrincipal and

Interest

Note Proceeds

Loan Portfolio

$500 Million

High-Yield Loans

Sankaty Advisors, LLC

(Asset Manager)

The Bank of New York Mellon

(Trustee and Collateral Administrator)

Class B1 & B2

Notes

Class C

Notes

Class D

Notes

Class E

Notes

Class F

Notes

Transaction Structure

Class A

Notes

Subordinated

Notes

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June 7, 2013

Second, Fitch analyzed the structure using its proprietary cash flow model, as customized for the

transactions specific structural features, in accordance with the cash flow analysis criteria.

Data Adequacy

Fitch utilized publicly available information to provide credit opinions on 11.2% of the underlying

public companies. In addition, Fitch publicly rates 12.1% of the portfolio. The information utilized in

Fitchs analysis is as of June 7, 2013.

Sources of information used to assess these ratings were the transaction documents provided by

the arranger, Merrill Lynch, Pierce, Fenner & Smith Incorporated, and the public domain.

Fitchs credit opinions and recovery ratings are produced by the corporate rating group and

reviewed by a rating committee. The rating committee has a similar profile to those for Fitchs explicit

ratings in terms of the number and seniority of voting members in the quorum. Fitch will review and

update its credit opinions and recovery ratings through this committee process at least annually, with

informal reviews on a quarterly basis and ongoing monitoring of information in the market.

Performance Analytics

Fitch will monitor the transaction regularly and as warranted by events with a review. Events

that may trigger a review include the following:

Asset defaults, paying particular attention to restructurings and recoveries.

Portfolio migration, including assets being downgraded to CCC, or portions of the portfolio being placed on Rating Watch Negative or Rating Outlook Negative.

OC or IC test breach.

Breach of concentration limitations or portfolio quality covenants. Future changes to Fitchs rating criteria.

Surveillance analysis is conducted on the basis of the then-current portfolio. Fitchs goal is to

ensure that the assigned ratings remain an appropriate reflection of the issued notes credit risk.

Details of the transactions performance are available to subscribers on Fitchs Web site at

www.fitchratings.com.

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June 7, 2013

Appendix A: Transaction Overview

Avery Point II CLO, Limited/Corp. U.S./Structured Credit Capital Structure

Class Expected Ratings

Expected Rating Outlook Size (%) Size ($ Mil.) CE (%)

a Interest Rate (%) PMT Frequency Final Maturity

A AAAsf Stable 58.8 304.00 39.2 3mL + 1.11 Quarterly July 2025 B-1 NR N.A. 8.9 46.00 25.0 3mL + 1.55 Quarterly July 2025 B-2 NR N.A. 4.8 25.00 25.0 3.21 Quarterly July 2025 C NR N.A. 7.0 36.00 17.8 3mL + 2.75 Quarterly July 2025 D NR N.A. 5.0 26.00 12.6 3mL + 3.45 Quarterly July 2025 E NR N.A. 4.6 24.00 7.8 3mL + 4.25 Quarterly July 2025 F NR N.A. 2.6 13.5 5.1 3mL + 5.10 Quarterly July 2025

Subordinated Notes NR N.A. 8.2 42.25 Residual July 2025 Total 100.0 516.75

aBased on the target par amount of $500.00 million. NR Not rated. N.A. Not applicable.

Scheduled Revolving Period Four years Swaps None Scheduled Non-Call Period Two years Payment Frequency Quarterly Key Information

Details: Parties:

Closing Date June 2013 (expected) Arranger Merrill Lynch, Pierce, Fenner & Smith

Incorporated

Country of Assets and Type U.S. leveraged loans Trustee and Collateral Administrator The Bank of New York Mellon Trust

Company Country of SPV Cayman Islands Portfolio Manager Sankaty Advisors, LLC Primary Analyst Erika Tsang, CFA Issuer Avery Point II CLO, Limited/Corp. +1 212 908-0817 Secondary Analyst Robert Rhein +1 312 606-2314 Leveraged Finance Analyst Darin Schmalz

+1 312 606-2324

Key Rating Drivers

Sufficient Credit Enhancement: Credit enhancement (CE) of 39.2% for class A notes,

in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in an AAAsf stress scenario. The level of CE for class A notes is above the average CE of recent CLOs. B/B Asset Quality: The average credit quality of the indicative portfolio is B/B, which is comparable to recent CLOs. Issuers rated in the B category denote a highly speculative credit quality; however, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A notes are robust against default rates of up to 67.8%.

Strong Recovery Expectations: The indicative portfolio consists of 95.8% senior secured loans, approximately 91.5% of which have strong recovery prospects or a Fitch Ratings-assigned recovery rating of RR2 or higher. This is in line with the seniority profile of recent vintage CLOs.

Additional Rating Drivers

Consistent Portfolio Parameters: The portfolio will be actively managed and bound by concentration limitations and collateral quality tests addressing various loan and structural characteristics. The concentration limitations and collateral quality test levels presented to date are within the range of limits set in the majority of recent CLOs. Fitch addressed the impact of the most prominent risk-presenting concentration allowances and targeted test levels in its analysis.


(Issuer)

Note Proceeds

(for Loan Purchase)

Sale of Loans to IssuerPrincipal and

Interest

Note Proceeds

Loan Portfolio

$500 Million

High-Yield Loans


(Asset Manager)

The Bank of New York Mellon

(Trustee and Collateral Administrator)

Class B1 & B2

Notes

Class C

Notes

Class D

Notes

Class E

Notes

Class F

Notes

Transaction Structure

Class A

Notes

Subordinated

Notes

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June 7, 2013

Appendix B: Fitchs Asset Manager Profile Report The Fitch View


Strengths

Experienced CLO manager that has managed 19 CLOs since 1999.

Loan portfolios outperformed LSTA in terms of annual gross return and annual default rates from 19992011.

Extensive experience level of key personnel within the leveraged loan asset class.

Robust investment, oversight, and credit-monitoring policies.

Challenges

To maintain CLO performance in more challenging markets, mitigated by the long, good performance track record demonstrated to date.

To maintain stability among key staff and preserve the talent pool amidst increasing industry

competition.

Company and Staffing

Total committed assets under management totaled approximately $18.6 billion as of Jan. 1, 2013. Invests across the credit universe, including performing and distressed bank loans and

high-yield bonds; debtor-in-possession loans; mezzanine/private placements; structured

products; credit-based equities; credit default swaps; and special situations investments.

Sankaty typically retains large percentages of equity classes in the CLOs it manages.

Sankaty employs a total staff of 180, including 87 investment professionals and has offices in Boston, Chicago, New York, and London.

Senior managers across the firm average 20-plus years of experience. Turnover has remained

low, and the firm has added 16 investment professionals over the past five years.

Investment staff has extensive experience in structuring and negotiating complex transactions involving high-yield assets.

A dedicated distressed/workout team, including the in-house counsel, manages the workout process for distressed investments.

Sankaty has a sound oversight function; all potential issues found by its compliance

department are followed up with senior management as necessary, and all internal audit

reports are reviewed by Bains senior management, the chief credit officer, and a compliance

oversight committee.

Sankaty is a registered investment adviser with the SEC.

Credit Selection

Sankaty utilizes a classic buy-and-hold strategy based on fundamental credit analysis and disciplined portfolio monitoring.

The investment strategy relies on an approach of fundamental business, industry, and

competitive analysis.

All approvals are made by a committee that includes five Sankaty managing directors and the industry analysts who follow the credit.

Portfolio and Risk Management

Sankatys research function is overseen by a 38-member industry research team; each industry team covers approximately 2045 credits.

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June 7, 2013

There is a thorough investment monitoring process, under which each analytical team provides

a monthly sheet with an update of every credit. On a quarterly basis, a more detailed update is

provided by the analytical team on each name covered.

Investment Administration

Dedicated CLO administration resources provide independent trustee reconciliation and indenture compliance monitoring. Proprietary models and Intex software are used to model

CLO structures and cash flow waterfalls.

There is a daily reconciliation of cash and weekly reconciliation of securities with custodians and administrators. An automated system is in place that reconciles daily all activities and cash

balances against Sankatys internal Wall Street office database.

Investor reporting is available via password-protected Web access, whereby investors can access quarterly commentary, account-specific information, capital account balances, and fund

performance. Sankaty also has a dedicated, 13-person investor relations team, headed by the

chief operating officer, to handle all investor requests.

While third-party providers are used for banking/cash management, custody, prime brokerage,

and certain valuations, and all back-office, finance, and operational activities are conducted in-

house, no core functions are outsourced.

Scalability of processes is demonstrated through the successful integration of CLOs issued

since 1999.

Technology

Robust CDO-specific tools/systems enable Sankaty to analyze trades on a pro forma basis, manage CDO compliance, provide enhanced management/investor reporting, and shadow the

CDO trustees accounting.

The company has devoted significant resources over the past several years to develop robust business systems and IT infrastructure that support the overall structured product platform.

A comprehensive disaster recovery plan is in place and regularly tested for robustness. The last test of the system was completed in May 2011 and resulted in no material findings.

Structured Finance


June 7, 2013

Appendix C: Priority of Payments

Payment Waterfalls

Interest Waterfall Principal Waterfall

1. Taxes, governmental fees, and administrative expenses 1. Taxes, governmental fees and administrative expenses

2. Base management fee 2. Base management fee

3. Liquidity reserve amount and hedge counterparties 3. Liquidity reserve amount and hedge counterparties

4. Class A interest 4. Class A interest

5. Class B interest 5. Class B interest

6. Class A/B coverage tests 6. Class A/B coverage tests

7. Class C interest 7. Class C coverage tests

8. Class C deferred interest 8. Class D coverage tests

9. Class C coverage tests 9. Class E coverage test

10. Class D interest 10. If a tax event, special redemption or optional redemption, redemption of the notes in accordance with the note payment sequence, or to the subordinated notes in connection with an optional redemption if the secured notes are PIF

11. Class D deferred interest 11. During the reinvestment period, class C interest, then class C deferred interest; provided the class C coverage tests will be satisfied pro forma

12. Class D coverage tests 12. During the reinvestment period, class D interest, then class D deferred interest; provided the class D coverage tests will be satisfied pro forma

13. Class E interest 13. During the reinvestment period, class E interest, then class E deferred interest; provided the class E coverage test will be satisfied pro forma

14. Class E deferred interest 14. During the reinvestment period, class F interest, then class F deferred interest; provided the reinvestment test will be satisfied pro forma

15. Class E OC test 15. During the reinvestment period, to reinvest in additional collateral; after the reinvestment period, to purchase additional collateral using principal proceeds from credit risk obligations, credit improves obligations or unscheduled principal payments

16. Class F interest 16. After the reinvestment period, to redeem notes in accordance with the note payment sequence

17. Class F deferred interest 17. After the reinvestment period, accrued and unpaid subordinated management fees; any interest on deferred management fees; any deferred management fees, at manager's discretion

18. During the reinvestment period, if the reinvestment test is not satisfied, the lesser of 50% remaining interest proceeds or amount to cure the test applied as principal proceeds; after the reinvestment period, if the reinvestment test is not satisfied, the lesser of 50% remaining interest proceeds or amount to cure the test to redeem notes in accordance with the note payment sequence

18. After the reinvestment period, accrued and unpaid administrative expenses

19. Accrued and unpaid subordinated management fees 19. After the reinvestment period, unpaid hedge counterparty payments

20. First, any interest on management fees deferred by the portfolio manager that remains accrued and unpaid from prior distribution dates; second, any deferred management fees, at manager's discretion

20. After the reinvestment period, subordinated notes up to the incentive interest threshold (12% IRR)

21. Accrued and unpaid administrative expenses or hedge counterparty payments 21. After the reinvestment period, remaining proceeds to be paid: 20% to portfolio manager (as incentive interest) and 80% to subordinated notes

22. Subordinated notes up to the incentive interest threshold (12% IRR)

23. Remaining proceeds to be paid: 20% to portfolio manager (as incentive interest) and 80% to subordinated notes

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June 7, 2013

Appendix D: Collateral Quality Tests, Concentration Limitations, and Coverage Tests

Collateral Quality Tests Description Limit

Minimum Weighted Average Coupon (%) 7.25

Minimum Weighted Average Spread (%) 3.9

Maximum Weighted Average Life (Years) 8.0 (Declining)

S&P Minimum Weighted Average Recovery Rate Test (%) Determined by Sankaty and S&P

S&P CDO Monitor Test Determined by Sankaty and S&P

Notable Concentration Limitations

Description Limit

Maximum % of Each of the Top Five Obligors 2.5

Outside of the Five Obligors, Maximum % of Next Obligor 2

Maximum % of Securities Rated CCC+ or Below by S&P 5

Minimum % of Senior Secured Loans 90

Maximum % of Second Lien Loans, Senior Unsecured Loans, Senior Secured Notes or Bonds 10

Maximum % of Letters of Credit 2.5

Maximum Top Industry % (One Industry) 15

Outside of Top Industry, Maximum Single Industry % (Up to Three Industries) 12

Outside of Top Four Industries, Maximum Single Industry % 10

Maximum % of Fixed-Rate Assets 10

Maximum % of Covenant-Lite Loans 40

Maximum % of Non-U.S. Issuers 20

Maximum % of Unfunded Commitments 10

Maximum % of Deferrable and Partial Deferrable Securities 0

Maximum % of Current-Pay Assets 2.5

Maximum % of Step-Down Obligations 5

Maximum % of Participations 20

Maximum % of DIP Loans 7.5

Maximum % of Bridge Loans 5

Maximum % of Synthetic Securities 0

Coverage Tests (%)

Test Trigger Definitiona

OC

Class A/B 124.33 ACPA divided by A and B

Class C 114.15 ACPA divided by A + B + C (including class C deferred interest)

Class D 108.42 ACPA divided by A + B + C + D (including class C and D deferred interest)

Class E 103.96 ACPA divided by A + B + C + D + E (including class C, D and E deferred interest)

IC

Class A/B 120.0 Interest proceeds and expected interest income minus senior expenses, divided by interest due to class A and class B notes

Class C 110.0 Interest proceeds and expected interest income minus senior expenses, divided by interest due to class A, class B, and class C notes (excluding class C deferred interest)

Class D 105.0 Interest proceeds and expected interest income minus senior expenses, divided by interest due to class A, class B, class C and class D notes (excluding class C and D deferred interest)

Reinvestment OC

Class F During RP: 102.37

Post RP: 101.87 ACPA divided by A + B + C + D + E + F (including class C, D, and E + F deferred interest).

Par Value EOD

Par value EOD 102.5 ACPA (but with no haircuts for CCC+ or discounted obligations, defaulted obligations treated at MV) divided by the sum of the class A principal amount outstanding.

a A equals class A principal amount outstanding, B equals class B principal amount outstanding, C equals class C principal amount outstanding, D equals class D

principal amount outstanding, E equals class E principal amount outstanding. MV Market value. RR Recovery rate. RP Reinvestment Period. Adjusted Collateral Principal Amount (ACPA) equals aggregate principal balance of assets + principal cash. Assets are generally included at their par value, except for: Defaulted assets: if defaulted < 30 days, applicable RR; if defaulted > 30 days and < 3 years, lower of MV and RR. Discount obligations: are generally defined as either senior secured loan rated B or higher and purchased at a price below the lesser of 80% of par (or 85% of par for senior secured loans rated below B); or an obligation that is not a senior secured loan rated 'B' or higher and purchased at a price below the lesser of 75% of its principal balance (or 80% of its principal balance for nonsenior secured loans rated below 'B'); discount obligations are included at purchase price until (i) MV is above 90% for 30 consecutive days for senior secured loans, after which the asset will be included at par; or (ii) MV is above 85% for 30 consecutive days for any collateral obligation that is not a senior secured loan. Excess of 7.5% of aggregate principal balance of assets rated CCC+ and below: included at MV. Source: Transaction documents.

Structured Finance


June 7, 2013

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Copyright 2013 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. One State Street Plaza, NY, NY 10004.Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings, Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitchs factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third-party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitchs ratings should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings can be affected by future events or conditions that were not anticipated at the time a rating was issued or affirmed.

The information in this report is provided as is without any representation or warranty of any kind. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion is based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at anytime for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers.

The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been

compensated for the provision of the ratings.

Avery II CLO

Documents

Transcript of Avery II CLO