Principal Owners PPM Loan Management Company 2, LLC (“PPMLM2”), is a Delaware series limited liability company that commenced operations on January 21, 2022. PPMLM2 is an affiliate of PPM America, Inc. (“PPM”), an investment adviser registered with the SEC, and an indirect, wholly owned subsidiary of Jackson Financial Inc. (“JFI”), a publicly traded company (NYSE: JXN) and parent company of Jackson National Life Insurance Company (“Jackson”). PPMLM2’s principal office is located in Chicago, Illinois, which it shares with PPM and other affiliates. PPMLM2’s Management and Originator Series is 100% owned by PPM. PPMLM2 may from time to time establish one or more Retention Series which will be 100% owned by Jackson or another affiliate. PPMLM2’s primary business consists of: i. acting as the named collateral manager for collateralized loan obligation transactions, including any type of short-term or long-term warehouse or repurchase agreement facilities in connection therewith (referred to collectively herein as “CLOs”); ii. engaging in trading activities including, but not limited to, potentially holding loans on its own account as an “originator” for purposes of the EU/UK Securitisation Regulation (as defined herein); iii. directly, or indirectly through one or more subsidiaries, acting as the holder of EU/UK Retention Interests (as defined herein) (if any) or other securities issued by the CLOs; and iv. acting as the holder of the preferred shares or similar warehouse equity interests of CLOs (as applicable). The CLOs for which PPMLM2 serves as collateral manager are collectively referred to herein as the “CLO Clients”. CLOs typically issue rated senior and mezzanine notes and unrated subordinated notes (referred to collectively herein as the “CLO Securities”) in private placement transactions to eligible purchasers pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933 (the “Securities Act”) and the Investment Company Act of 1940 (the “Investment Company Act”), as described further in the applicable CLO’s indenture, and other constitutional and offering documents (collectively, the “CLO Offering Materials”). CLOs rely on Section 3I(7) of the Investment Company Act, or other applicable exclusions or exemptions, as the basis for their exemptions from the registration requirements of the Investment Company Act. PPMLM2 has entered into a Services and Employee Sharing Agreement (the “Services Agreement”) with PPM. Pursuant to the Services Agreement, certain PPM employees are shared with PPMLM2 (such employees, the “Shared Employees”). The Shared Employees consist of, among others, the PPM portfolio managers who manage accounts in PPM’s floating rate income portfolios, including those portfolios held by PPM’s and PPMLM2’s CLO Clients (the “Bank Loan Team”). The Bank Loan Team is responsible for (i) approving the collateral management parameters for the CLO Client, (ii) recommending certain assets to be acquired by the CLO Client, and (iii) approving the purchase and sale of any asset by any CLO Client. Additionally, PPM provides support to PPMLM2 in trading, marketing, client services, administration/operations and investment management, including research and credit analysis services, traditional middle and back office services, administrative and infrastructure services, and guidance as to when to close a CLO Client transaction or refinance or reprice the notes issued by the CLO Clients. For a more complete discussion of PPM, please refer to PPM’s Form ADV which is publicly available at www.adviserinfo.sec.gov. The investment management activities of PPMLM2, and the day-to-day management of the business and affairs of PPMLM2, are performed by the Shared Employees, some of whom have been appointed officers of PPMLM2. The Bank Loan Team has the ultimate credit and investment decision-making authority over the assets of a CLO Client. PPMLM2 is managed by a board of directors (the “Board”) consisting of Marcia Wadsten, Executive Vice President and Chief Financial Officer of Jackson Financial Inc., and Craig Smith, President, Chief Executive Officer and Chief Investment Officer of PPM. The Board is the “manager” of PPMLM2 under the Delaware Limited Liability Company Act with the ultimate responsibility over the business and affairs of PPMLM2. As of the date of this brochure, PPMLM2 has six CLO Clients, PPM CLO 2018-1 Ltd. (“CLO 1”), PPM CLO 2 Ltd. (“CLO 2”), PPM CLO 3 Ltd. (“CLO 3”), PPM CLO 4 Ltd. (“CLO 4”), PPM CLO 5 Ltd. (“CLO 5”) and PPM CLO 6-R Ltd. (as successor by merger to PPM CLO 6 Ltd., “CLO 6-R”) PPM CLO 2018-1 Ltd. was launched in November 2017 and closed on August 3, 2018. PPM CLO 2 Ltd. was launched in June 2018 and closed on March 6, 2019. PPM CLO 3 Ltd. was launched in October 2018 and closed on June 6, 2019. PPM CLO 4 Ltd. was launched in October 2019 and closed on October 30, 2020. PPM CLO 5 Ltd. was launched in April 2021 and closed on October 26, 2021. PPM CLO 6 Ltd. was launched in March 2022 and closed on December 20, 2022; it was reset in December 2023 with a name change to PPM CLO 6-R Ltd. In order to comply with European and UK risk retention requirements and investor expectations, PPMLM2 is expected to purchase at least a portion of the subordinated notes issued by each European and UK risk retention-compliant CLO Client it manages. PPMLM2 receives a senior management fee and a subordinated management fee for its services provided to those CLO Clients that have closed. These fees are paid on the applicable payment dates pursuant to the CLO Offering Materials. Additionally, PPMLM2 is eligible to earn an incentive management fee should any of the CLO Clients meet a particular investment return for the subordinated noteholders. 2 | PPM Loan Management Company 2, LLC Types of Advisory Services PPMLM2 advisory services are limited to exclusively acting as collateral manager for its CLO Clients. PPMLM2 provides discretionary investment services that may include, among other things: i. approving the collateral management parameters for each CLO Client; ii. participating in the credit review of all assets proposed to be acquired for the CLO Client; iii. approving the purchase and sale of any asset by the CLO Client; and iv. advice regarding the workout, restructuring, or other reorganization, including bankruptcy (collectively, a “Workout”) of troubled or defaulted investments. CLO Clients should refer to the applicable CLO Offering Materials for additional information. CLOs primarily invest in US broadly syndicated bank loans (“Bank Loans”) and certain related assets and cash equivalents, though each CLO Client has its own investment guidelines and restrictions. Following the amendments to the Volcker Rule, certain CLO Clients have the ability to invest in bonds, though bonds are generally limited to a small percentage of such CLO Client’s assets (all assets purchased by CLO Clients are collectively referred to herein as “Assets”). Because the vast majority of a CLO Client’s portfolio consists of Bank Loans this brochure primarily focuses on PPMLM2’s Bank Loan capabilities and strategies. For a more in-depth discussion of other fixed income assets such as bonds, please refer to PPM’s Form ADV and the applicable CLO Offering Materials. Investment Restrictions The applicable CLO Offering Materials contain various investment restrictions that apply to the particular CLO Client. These investment restrictions are negotiated with investors that purchase the CLO Securities, and changes to the investment restrictions are subject to the consent rights of the respective CLO Client’s investors. Imposing investment restrictions may adversely affect a CLO Client’s account performance as compared to unrestricted accounts that PPMLM2 or PPM manage with the same or similar investment strategy. Wrap Fee Programs PPMLM2 does not currently provide portfolio management or other services in connection with wrap fee programs. Assets Under Management As of December 31, 2023, PPMLM2 managed $2,243,300,000 in Assets 1F 1 for its CLO Clients, all on a discretionary basis. Item–5 - FEES AND COMPENSATION Collateral Management Fees PPMLM2 generally receives from its CLO Clients senior and subordinated collateral management fees (respectively the “Senior Management Fee” and the “Subordinated Management Fee” and collectively, the “Collateral Management Fees”). Senior Management Fees are paid in accordance with each CLO Client’s priority of payments (as contained in the applicable CLO Offering Materials) after the payment of certain CLO Client expenses but prior to payments on the CLO Securities. Additionally, the Subordinated Management Fees are paid in accordance with each CLO Client’s priority of payments after the payment of certain expenses and payments on the rated CLO Securities, but prior to any payments on the most subordinated tranche of notes (referred to herein as “CLO Equity”). The Collateral Management Fees are calculated based on the aggregate principal balance of the Assets owned by the CLO Client. Additionally, should the holders of the CLO Equity receive sufficient distributions to realize a specified return on their investment (the “Target Return”), PPMLM2 earns an incentive management fee (such fee the “Incentive Management Fee” and together with the Collateral Management Fees, the “CLO Fees”). The Incentive Management Fee provides PPMLM2 with a percentage of the returns realized by the CLO Equity investors. The CLO Fees, and how such fees are calculated and paid, may be subject to investor negotiation prior to closing a CLO Client transaction, and are set forth in the respective CLO Offering Materials. Ultimately, PPM receives 100% of the CLO Fees, net of expenses, through the Services Agreement and its interest in the Management and Originator Series of PPMLM2. Payment Method 1 Form ADV Part 1 includes disclosure of Regulatory Assets Under Management (“Regulatory AUM”) which differs from the traditional calculation. We believe that all of PPMLM2’s assets under management consist of Regulatory AUM. 3 | PPM Loan Management Company 2, LLC Generally, the Collateral Management Fees are payable quarterly directly by each CLO Client pursuant to the priority of payments, except to the extent that PPMLM2 elects to waive or defer any Collateral Management Fees. The applicable CLO Client trustee calculates the CLO Fees payable to PPMLM2 and arranges for payment out of the CLO Client’s Assets pursuant to the CLO Client’s priority of payments. These fee payments are generally made on the CLO Client’s quarterly payment dates, along with payment of other expenses and distributions to the CLO Client investors. Other Fees and Expenses In addition to the CLO Fees paid to PPMLM2, each CLO Client is responsible for the fees and expenses associated with its particular transaction and Assets, as described in the applicable CLO Offering Materials. Unless otherwise agreed, PPMLM2 is not obligated to pay any expenses of a CLO Client. These fees and expenses include, but are not limited to administrative expenses (including expenses related to service providers such as legal counsel for the CLO Client), organizational and wind-down or liquidation expenses, fees associated with the CLO Client’s administrator, fees and expenses associated with any re-pricing, re-financing, or supplemental indenture, expenses incurred by PPMLM2 related to a CLO Client’s Assets or a particular CLO Client transaction (including fees and expenses for its accountants, agents and counsel), and other reasonable expenses incurred by PPMLM2 on behalf of a CLO Client. Prepaid Fees Fees due to PPMLM2 are paid in arrears. Compensation for the Sale of Securities Neither PPMLM2 nor PPM is compensated for the sale of securities or other investment products, including the placement of the CLO Securities. Each CLO Client selects a placement agent (which is not PPMLM2 or PPM, nor a supervised person of PPMLM2 or PPM) to act as the placement agent and, in some cases, the initial purchaser with respect to the CLO Securities. In this capacity, the placement agent generally places the CLO Securities with the ultimate CLO investors in individually negotiated transactions at varying prices to be determined in each case at the time of sale and deliver or arrange for the delivery of such securities. The placement agent receives from the applicable CLO Client certain fees and reimbursement of certain expenses (including legal expenses) for its services as placement agent. Item–6 - PERFORMANCE-BASED FEES AND SIDE-BY-SIDE MANAGEMENT As noted under “Collateral Management Fees” in Item 5 above, PPMLM2 may be entitled to receive an Incentive Management Fee if CLO Equity investors realize a Target Return, pursuant to the respective CLO Offering Materials. This Incentive Management Fee is considered a performance-based fee. CLO Clients should note that a performance-based fee may create an incentive for PPMLM2 to make investments that are riskier or more speculative than would be the case in the absence of a performance fee. Additionally, the Incentive Management Fee amount and the Target Return may vary as among PPMLM2’s CLO Clients, which may also create an incentive for PPMLM2 and PPM to favor CLO Clients that pay a higher fee or have a better chance at paying PPMLM2 an Incentive Management Fee because they are more likely to reach the Target Return. Certain investments, such as new issuances, may be desired for more than one account or strategy and availability may be limited. In these instances, certain accounts may be excluded from or may not be able to fully participate in the investment opportunity. There also may be circumstances where a portfolio manager has an incentive to devote more time or resources to, or to implement investment ideas in, one account over another, such as when a new account is being established. PPMLM2 has designed and implemented procedures to ensure that all clients are treated fairly and equally over time, and to prevent these conflicts from influencing the allocation of investment opportunities among clients. Item–7 - TYPES OF CLIENTS PPMLM2 provides investment advisory services exclusively to its CLO Clients that in turn offer CLO Securities to certain investors as described above. These investors may include (i) non-US persons in offshore transactions in reliance on Regulation S under the Securities Act or (ii) “qualified institutional buyers” within the meaning of Rule 144A under the Securities Act that are “qualified purchasers” within the meaning of Section 2(a)(51) of the Investment Company Act, provided that certain CLO Securities may be issued to persons or entities that are both “accredited investors” as defined in Section 501(a) of Regulation D under the Securities Act and either qualified purchasers or “knowledgeable employees” within the meaning of Rules 3c-5 of the Investment Company Act. A broad range of institutional investors meeting the criteria set forth above invest in CLOs managed by PPMLM2, including PPMLM2 affiliates. The minimum investment requirements applicable to CLO investors may vary as among the various CLO Clients. Investors should consult the respective CLO Offering Materials for the applicable minimum investment requirements or other investment restrictions. 4 | PPM Loan Management Company 2, LLC Item–8 - METHODS OF ANALYSIS, INVESTMENT STRATEGIES AND RISK OF LOSS General Description PPMLM2 uses a variety of methods of analysis in formulating investment advice and managing assets. Fundamental and technical in- house research underpins PPMLM2’s analysis of current or potential investments. Information considered may include, but is not limited to, publicly available company financial statements, on-site meetings and teleconference calls with company management, company roadshows, information provided through credit rating services and other publicly available information. Generally, third-party research is used on a supplemental basis. Subject to information blocking procedures, PPMLM2 may also receive private information, including material non-public information (“MNPI”), as part of its ordinary course investment activities or in connection with a Workout. As mentioned above, PPMLM2 has entered into a Services Agreement with PPM whereby PPM and PPMLM2 share certain employees and PPM provides PPMLM2 with trading, operational support and investment services, including:  corporate credit research and asset class specialist teams that provide ongoing research, monitoring and an internal “relative value” rating system to the Bank Loan Team;  risk management and quantitative research team that oversees, monitors, and provides risk management metrics and reporting across CLO Clients; and  administration groups that provide operations, investment performance analysis, information technology and other support services across all asset classes and accounts, as well as legal and compliance and human resources. Although PPMLM2 strives to achieve a CLO Client’s unique investment needs through PPMLM2’s investment strategies and access to PPM’s investment and operational infrastructure, PPMLM2 does not guarantee that a CLO Client will achieve its investment objective or any particular result. The value of a CLO Client’s portfolio may decline, and clients should be prepared to bear risk of loss. Additionally, PPMLM2 does not guarantee returns that a CLO Client may realize. Investments in CLO Securities and Bank Loans are speculative and involve certain risks, including the risk that an investor may lose its original investment. Credit Analysis PPMLM2’s investment team utilizes PPM’s broad credit research abilities in selecting Assets that are appropriate for a particular CLO Client. The fixed income research (“FIR”) team participates in the vetting, underwriting, and monitoring of Assets for PPMLM2, though the Bank Loan Team has the ultimate responsibility for selecting and trading of Bank Loans and overall portfolio construction. The Bank Loan Team consults with other PPM fixed income portfolio managers if it decides to purchase corporate bonds for a CLO Client. During the vetting and underwriting process for Bank Loans, the Bank Loan Team and FIR produces a transaction model and derive an internal credit rating utilizing the following information as part of their analysis:  offering documents;  management and lender presentations;  publicly available financial statements;  research reports;  rating agency reports;  industry comparisons;  management assessments;  capital structure and leverage;  market position and market share;  collateral and asset value to determine downside protection; and  other information as it becomes available (including in certain circumstances MNPI). Based on the analysis performed by FIR and the Bank Loan Team, the Bank Loan Team makes the ultimate determination as to whether a CLO Client should invest in the applicable Bank Loan. The Bank Loan Team, FIR, and the applicable fixed income portfolio manager conduct a similar analysis for corporate bonds. 5 | PPM Loan Management Company 2, LLC As part of its portfolio management services, PPMLM2 monitors the Assets following their purchase. The Bank Loan Team and FIR participate in regularly scheduled portfolio reviews and exchange real time information as necessary. In making determinations whether to purchase additional interests, sell, or hold the Asset, the Bank Loan Team and FIR:  follow developments and news regarding the borrower;  correspond with company management;  review rating agency reports and rating changes;  participate in quarterly earnings calls;  update quarterly financial analysis; and  update internal ratings and opinions for upgrades and downgrades. No method of analysis can guarantee a particular investment result or outcome and the use of investment tools cannot and does not guarantee investment performance. The methods of analysis utilized by PPMLM2 and PPM involve the inherent risk that any valuations, pricing inefficiencies, or other opportunities identified may not materialize or have the anticipated impact on an Asset. Prices of Assets may rise, decline, underperform or outperform regardless of the method of analysis used to identify securities. Each method of analysis relies in varying degrees on information furnished from third-party and publicly available sources. This presents the risk that methods of analysis may be compromised by inaccurate, incomplete, false, biased, or misleading information. Asset prices may be affected by various factors independent of the methodology used to select Assets. For example, the price of an Asset may be influenced by the overall movement of the market, rather than any specific company or economic factors. In addition, certain methods of analysis, such as the use of quantitative/investment models, involve the use of mathematical models that are based upon various assumptions. Assumptions used for modeling purposes may prove incorrect, unreasonable, or incomplete. Investment Strategies As mentioned above, each CLO Client has certain investment restrictions that have been negotiated with its investors and detailed in its applicable CLO Offering Materials that affect the specific investment strategy or strategies implemented for that particular CLO Client. As financial markets and products evolve, PPMLM2 may invest in other securities or instruments on behalf of its CLO Clients, whether such products are currently existing or developed in the future, when consistent with a CLO Client’s guidelines, objectives and policies, and applicable law. Because PPMLM2 has discretionary authority over its CLO Clients’ portfolio investments, the purchase and sale of Assets for the CLO Clients is based upon the judgment of the members of the Bank Loan Team. Certain material general risks associated with these strategies are set forth below. This is a summary only and does not include risks that are specific to investments in Assets and CLOs. The CLO Offering Materials contain a more detailed description of certain risks associated with investments in CLOs and their underlying Assets along with the principal investment strategy for each CLO Client. CLO Clients and prospective CLO investors should not rely solely on the descriptions provided below and should carefully read the applicable CLO Offering Materials and consult with their own counsel and advisers as to all matters concerning the Assets and an investment in any CLO. PPMLM2 offers advice on a range of financial instruments including:  Fixed income investments including Bank Loans and corporate bonds;  money market instruments;  participations, total return swaps and other synthetic exposure instruments relating to Bank Loans; and  cash and cash-equivalents. Material Risks for Significant Investment Strategies and Significant Types of Securities CLO Clients should understand that investing in the Assets involves risk of loss that CLO Clients should be prepared to bear. Risks will vary based on a CLO Client’s investment guidelines and restrictions, market conditions, macroeconomic variables, and specific investments held in a CLO Client’s portfolio. Below is a summary of certain risks that may be associated with investing in the Assets, including risks associated with the underlying obligors of such Assets (the “Borrowers”). The risks provided are not a complete enumeration or explanation of the risks involved with investing in the Assets. CLO Clients and CLO investors should refer to the risk disclosures found in the CLO Offering Materials. Risk of loss. CLO Clients should understand that all investment strategies and the investments made pursuant to such strategies involve risk of loss, including the potential loss of the entire investment in the CLO Client’s portfolio, and CLO Clients should be prepared to bear such loss. The investment performance and the success of any investment strategy or particular investment can never be predicted or guaranteed, and the value of a CLO Client’s portfolio will fluctuate due to market conditions and other factors. The investment decisions made and the actions taken for CLO Client portfolios will be subject to various market, liquidity, currency, economic, political, and other risks, and will not necessarily be profitable and may lose value. Past performance of CLO Client portfolios managed by PPMLM2 is not indicative of future performance. Additionally, the CLO Clients are expected to use leverage and although the use of leverage may enhance returns and increase the number of investments that can be made, it may also substantially increase the risk of loss. 6 | PPM Loan Management Company 2, LLC Bank Loan risk generally. Bank Loans, corporate loans, loan participations, and assignments involve credit risk, interest rate risk, liquidity risk, and the risks of being a lender. Beginning on January 1, 2022, Borrowers of new floating rate loans generally pay interest on Bank Loans at “floating” rates that change in response to changes in market interest rates such as the Secured Overnight Financing Rate (“SOFR”), the forward looking term rate based on SOFR (“Term SOFR”) or the prime rates of US banks. As a result, the value of such Bank Loan investments is generally less exposed to the adverse effects of interest rate fluctuations than investments that pay a fixed rate of interest. Due to restrictions on transfers in loan agreements and the nature of private syndication of loans, some Bank Loans are not as easily purchased or sold as publicly traded securities. The secondary market for Bank Loans may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods, which may cause PPMLM2 to be unable to realize full value for the CLO Client upon sale. Bank Loans are not considered securities under the federal securities laws and accordingly, may offer less legal protection in the event of fraud or misrepresentation in connection with the purchase or sale of such instruments. Instead, lenders generally rely on the contractual provisions in the Bank Loan agreement itself, and common-law fraud protections under applicable state law. Bank Loans usually have mandatory and optional prepayment provisions and are subject to prepayment risk as described further in the applicable CLO Offering Materials. If a Borrower prepays a Bank Loan, during periods of falling interest rates the CLO Client may need to reinvest the early payments at lower interest rates. Bank Loans may not be registered with the SEC or any state securities commission or listed on any national securities exchange. The amount of public information available with respect to Bank Loans may be less extensive than that available for registered or exchange listed securities. In evaluating the creditworthiness of Borrowers, PPMLM2 relies on its own evaluation of Borrowers, but considers, and may rely in part on, analyses performed by others. PPMLM2 takes steps to ensure that it does not receive material non-public information about the issuers of Bank Loans that also issue (directly or through a related entity) publicly traded securities. In that circumstance, PPMLM2 may have less information than other investors about certain of the Bank Loans in which it invests or seeks to invest. This may place the CLO Client at a disadvantage relative to other investors in Bank Loans. A lead bank or other financial institution will often act as agent for all holders of a particular Bank Loan. The agent administers the terms of the Bank Loan, as specified in the Bank Loan agreement. Unless a holder of the Bank Loan, such as the CLO Client, has direct recourse against the Borrower, the holder may have to rely on the agent to apply appropriate credit remedies against a Borrower under the terms of the Bank Loan or other indebtedness. The agent may also be responsible for distributing income from the Bank Loan and, as a result, holders of the Bank Loan might incur certain costs and delays in realizing payment on the Bank Loan and could suffer a loss of principal or interest. In addition, investments in Bank Loans may expose the holders of the Bank Loan, including the CLO Client,

to the credit risk of both the financial institution and the underlying borrower. In the event of the insolvency of an agent bank, a Bank Loan could be subject to settlement risk, as well as the risk of interruptions in the administrative duties performed in the day-to-day administration of the Bank Loan (such as processing Term SOFR or the relevant reference index calculations and processing draws). The performance of a CLO is dependent on the underlying Assets it purchases. Although many of the Assets purchased by a CLO are senior secured Bank Loans, it is possible that the value of the collateral may decline and/or be inadequate or difficult to realize upon. A court could take action with respect to a Bank Loan adverse to the lenders, such as invalidating the loan, subordinating the loan to presently existing or future indebtedness, or ordering that the lenders return interest payments they previously received to the Borrower. As a result, a CLO Client might not receive payments to which it is entitled which may affect the proceeds available to make payments on the CLO Securities. PPMLM2 may have to participate in legal proceedings or take possession of and manage assets that secure the Borrower’s obligations on behalf of a CLO Client. This could increase a CLO Client’s expenses. Additionally, subject to the restrictions contained in the CLO Offering Materials, a CLO Client may invest in unsecured Bank Loans. To the extent that a CLO Client invests in unsecured Bank Loans and the Borrower is unable to pay interest or defaults in the payment of principal, there will be no collateral on which the CLO Client can foreclose. Therefore, these unsecured Bank Loans present greater risks than collateralized Bank Loans. Certain Bank Loans may be issued in connection with highly leveraged transactions, including leveraged buyouts, leveraged recapitalizations, and other types of acquisition financing. Bank Loans used to fund leveraged buyouts are subject to greater credit risks than other investments including a greater possibility that the borrower may default or enter bankruptcy. Indebtedness of companies whose creditworthiness is poor may be highly speculative involving substantially greater risks that those companies may never pay off their indebtedness, or may pay only a small fraction of the amount owed and may pay only after a delay, with a substantial risk of losing the entire amouIt invested. Some Bank Loans may be “covenant lite” loans which do not include terms which allow the lender to monitor the performance of the borrower and declare a default if certain criteria are breached. If an CLO Client invests in a Bank Loan via a participation interest, the account will be exposed to the ongoing counterparty risk of the entity providing exposure to the Bank Loan (and in certain circumstances, such entity’s credit risk) in addition to the exposure the CLO Client has to the creditworthiness of the Borrower. 7 | PPM Loan Management Company 2, LLC Bankruptcy risk. In the event of a bankruptcy or insolvency of a Borrower, a court or other governmental entity may determine that the claims of a CLO Client are not valid or not entitled to the treatment that was expected when the related Asset was acquired. If a court in a lawsuit brought by an unpaid creditor or representative of creditors of a Borrower, such as a trustee in bankruptcy, were to find that such Borrower did not receive fair consideration or reasonably equivalent value for incurring the indebtedness constituting such underlying Assets, such court could decide to invalidate, in whole or in part, the indebtedness constituting the underlying Assets as a fraudulent conveyance, to subordinate such indebtedness to existing or future creditors of the Borrower or to recover amounts previously paid by the Borrower in satisfaction of such indebtedness. In addition, in the event of the insolvency of a Borrower, payments made on such underlying Assets could be subject to avoidance as a “preference” if made within a certain period of time (which may be as long as one year under US federal bankruptcy law or even longer under US state laws) before insolvency. The Assets held by a CLO Client may be subject to various laws for the protection of debtors in other jurisdictions, including the jurisdiction of incorporation of the Borrower and, if different, the jurisdiction from which it conducts business and in which it holds assets, any of which may adversely affect such Borrower’s ability to make, or a creditor’s ability to enforce, payment in full, on a timely basis or at all. These insolvency considerations will differ depending on the jurisdiction in which a Borrower or the related underlying Assets are located and may differ depending on the legal status of the Borrower. Avoidance provisions similar to those described above are sometimes available with respect to non-US Borrowers, but there is no assurance that this will be the case which may result in a much greater risk of partial or total loss of value in that underlying Asset. Borrower risk. The value of an individual Asset can be more volatile than the market as a whole and can perform differently from the market as a whole. An Asset’s value may decline for reasons that directly relate to the Borrower, such as management performance, corporate governance, financial leverage and reduced demand for the Borrower’s goods or services. Certain unanticipated events, such as natural disasters, can have a dramatic adverse effect on the value of an Asset and a Borrower’s other securities. An Asset’s performance may also differ from other securities issued by a Borrower, including debt or equity securities. Concentration risk. Certain CLO Clients may invest in fewer Assets than other strategies or CLO Clients, or in larger proportions of the Assets of a single company or industry. Additionally, as a CLO winds down, its portfolio consists of fewer and fewer Assets, increasing the portfolio’s concentration of Assets. If these Assets were to decline in value, there could be a substantial loss of the investment. When a CLO Client invests in a small number of Borrowers, changes in the financial condition or market status of a single Borrower may cause greater fluctuation for that particular CLO Client than other, less concentrated CLOs would experience. Counterparty risk. To the extent that a CLO Client enters into transactions on a principal-to-principal basis, the CLO Client is subject to a range of counterparty risks, including the credit risk of its counterparty (i.e., counterparty default), the risk of the counterparty delaying the return of or losing collateral relating to the transaction, or the bankruptcy of the counterparty. Credit risk. Credit risk is the actual or perceived risk that a Borrower, guarantor, counterparty, or other entity responsible for payment will not pay interest and principal payments when due. The price of an Asset can decline in response to changes in the financial condition of the Borrower, guarantor, counterparty, or other entity responsible for payment. A CLO Client could lose money if the Borrower is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Changes in a Borrower’s financial strength, the market’s perception of the Borrower’s financial strength or in an Asset’s credit rating, which reflects a third party’s assessment of the credit risk presented by a particular Borrower, may affect the Assets’ value. A CLO Client may incur substantial losses if a Borrower’s credit risk is not properly measured and instead such Borrower presents materially greater risk than the market appreciates. As mentioned throughout, CLOs generally invest in Assets that are rated below investment grade. Indebtedness of companies whose creditworthiness is rated below investment grade may be highly speculative involving substantially greater risk that such companies may never pay off their indebtedness or may pay only a small fraction of the amount owed and may pay only after a delay, with a substantial risk of losing the entire amount invested. Additionally, unlike the corporate bond market, the Bank Loan market may experience liquidity challenges and there may be a supply and demand mismatch. This mismatch may make it difficult for PPMLM2 to source Bank Loans appropriate for client portfolios and could lead to a market-wide degradation of underwriting and credit standards, which may have an adverse effect on the quality of the assets available in the market. Given the increased demand for CLO Securities, the terms included in CLO Offering Materials may provide PPMLM2 with extensive flexibility, more so than in the past. This could lead to PPMLM2 purchasing riskier Bank Loans for inclusion in a CLO Client’s portfolio in order to manage the supply and demand mismatch. As these underwriting and credit standards loosen and PPMLM2 has greater ability to purchase riskier Bank Loans, the credit risk to a CLO Client’s portfolio increases and could have an adverse effect on a CLO Client’s ability to make payments on and ultimately repay the CLO Securities. Cybersecurity risk. Cyber-attacks could disrupt daily operations related to trading and portfolio management. In addition, technology disruptions and cyber-attacks may impact the operations of a Borrower or a group of Borrowers which could in turn impact Asset prices which would have an adverse effect on the value of a CLO Client’s portfolio. Cyber-attacks on the Bank Loan market, securities markets, or the financial services infrastructure could cause market volatility or the failure of critical financial services and could affect a CLO Client’s portfolio. Dependence on PPMLM2 and PPM. The performance of a CLO Client’s portfolio depends on the skill of PPMLM2 in making appropriate investment decisions, developing and implementing appropriate investment strategies, and applying investment techniques and risk 8 | PPM Loan Management Company 2, LLC analyses that achieve the client’s investment objectives. Subjective decisions made by PPMLM2 may cause the CLO Client to incur losses or to miss profit opportunities on which it may otherwise have capitalized. PPM also provides a number of services to PPMLM2 under the Services Agreement that are essential to the success of PPMLM2. In addition, certain employees of PPM are shared with PPMLM2, as described herein. If such services are no longer provided or able to be provided by PPM for any reason, including if a Services Agreement is terminated for any reason, this will have a material and adverse effect on the performance of a CLO Client because of PPMLM2’s reliance on PPM in order to maintain its operations. PPMLM2 was established in order to comply with the EU/UK Securitisation Regulation (defined herein). PPMLM2 has no independent operational infrastructure, no employees that work exclusively for PPMLM2, and nominal assets other than CLO Securities held for risk retention purposes. Diversification risk. CLO Client portfolios may not be diversified across a wide range of asset classes, market sectors, or Borrowers, which could increase the risk of loss and volatility than would be the case for a more-diversified portfolio. Force majeure event risk. CLO Clients may be affected by force majeure events (i.e., events beyond the control of the party claiming that the event has occurred, including, without limitation, acts of God, fire, flood, earthquakes, outbreaks of an infectious disease, pandemics or other serious public health concerns, war, terrorism, labor strikes, major plant breakdowns, pipeline or electricity line ruptures, failure of technology, defective design and construction, accidents, governmental policies and social instability). Force majeure events may have a permanent adverse effect on a Borrower affecting the Borrower’s ability to make scheduled payments on its debt obligations. Additionally, force majeure events can also have significant negative effects on the Borrower’s collateral securing its obligations, which could reduce a CLO Client’s recovery in the event of a default. Certain force majeure events (such as war or an outbreak of an infectious disease) could have a broader negative impact on the world economy and international business activity generally or in a particular country and may contribute to volatility in financial markets. Any of the foregoing may therefore adversely affect a CLO Client’s ability to execute on a CLO transaction and also may result in loss to its portfolio. Geographic risk. From time to time, based on market or economic conditions or specific CLO Client investment guidelines or restrictions, a CLO Client may invest a significant portion of its Assets in one country or geographic region. In such circumstances, there is a greater risk that economic, political, social and environmental conditions in that particular country or geographic region may have a significant effect on the CLO Client’s performance and that the CLO Client’s performance will be more volatile than the performance of more geographically diversified accounts. The economies and financial markets of certain regions can be highly interdependent and may decline all at the same time. In addition, certain areas are prone to natural disasters such as earthquakes, volcanoes, droughts, or tsunamis and are economically sensitive to environmental events. Alternatively, the lack of exposure to one or more countries or geographic regions may adversely affect performance. Income risk. Income generated from a CLO Client’s investments may decline in the event of falling interest rates. Income risk may be high if a CLO Client’s income is predominantly based on short-term interest rates, which can fluctuate significantly over short periods. This income risk could affect a CLO Client’s ability to make timely payments on the CLO Securities. Investment strategy risk. PPMLM2 implements an investment strategy to seek to achieve the agreed upon investment objective for each CLO Client. Investment decisions made by PPMLM2 in accordance with these investment strategies may not produce the returns PPMLM2 expected and may cause a CLO Client’s portfolio value to decrease or underperform other CLO Client portfolios with similar investment objectives and investment profiles. Lender liability and equitable subordination. In recent years, a number of judicial decisions in the United States have upheld the right of borrowers to sue lending institutions on the basis of various evolving legal theories (collectively termed “lender liability”). Generally, lender liability is founded upon the premise that an institutional lender has violated a duty (whether implied or contractual) of good faith and fair dealing owed to a borrower or has assumed a degree of control over the borrower resulting in a creation of a fiduciary duty owed to the borrower or its other creditors or shareholders. Because of the nature of the Bank Loans, PPMLM2 and/or the CLO Clients could be subject to allegations of lender liability. In addition, under common law principles that in some cases form the basis for lender liability claims, if a lender or bondholder (i) intentionally takes an action that results in the undercapitalization of a borrower to the detriment of other creditors of such borrower; (ii) engages in other inequitable conduct to the detriment of such other creditors; (iii) engages in fraud with respect to, or makes misrepresentations to, such other creditors; or (iv) uses its influence as a stockholder to dominate or control a borrower to the detriment of other creditors of such borrower, a court may elect to subordinate the claim of the offending lender or bondholder to the claims of the disadvantaged creditor or creditors, a remedy called “equitable subordination.” PPMLM2 and the CLOs do not intend to engage in conduct that would form the basis for a successful cause of action based upon the equitable subordination doctrine. However, because of the nature of certain of the Assets, PPMLM2 and/or the CLO Clients may be subject to claims from creditors of a Borrower that debt obligations which are held by the CLO Clients should be equitably subordinated. The preceding discussion regarding lender liability is based upon principles of US federal and state laws. With respect to Assets outside the United States, the laws of certain non-US jurisdictions may also impose liability upon lenders or bondholders under factual circumstances similar to or different from those described above, with consequences that may or may not be analogous to those described above under US federal and state laws. 9 | PPM Loan Management Company 2, LLC Liquidity risk. Investments in Bank Loans are generally considered less liquid than other investments in securities, including publicly traded corporate bonds. Some Bank Loans may be more difficult to purchase or sell than others (illiquid or thinly-traded Bank Loans) and investments in such illiquid Bank Loans may reduce returns if a CLO Client is unable to sell the Bank Loan at an advantageous time or price or achieve its desired level of exposure to a certain sector. Liquidity risk arises, for example, from small average daily trading volumes, trading restrictions, or temporary suspensions of trading. In times of market volatility, certain Bank Loans may become illiquid. Government or regulatory actions may decrease market liquidity for certain Bank Loans. Small-capitalization companies and companies domiciled in emerging markets pose greater liquidity and price volatility risks. Certain Bank Loans that were liquid when purchased may later become illiquid or less liquid, particularly in times of overall economic distress. Illiquid Bank Loans may also be difficult to value, may be required to be fair valued in accordance with PPMLM2’s Valuation Policies and Procedures, and may reflect a discount, which may be significant, from the market price of comparable Bank Loans for which a liquid market exists. Liquidity risk may also refer to the risk that PPMLM2 may be forced to sell Bank Loans at an unfavorable time and/or under unfavorable conditions as part of a CLO redemption or in order to comply with certain collateral quality tests contained in the CLO Offering Materials. Selling Bank Loans in bulk as part of any such redemption or curing action could result in lower prices for such Bank Loans. Management risk. The investment techniques PPMLM2 employs could fail to achieve a CLO Client’s investment objective or may negatively affect the CLO Client’s investment performance. There is no guarantee that the investment objective or expected investment returns of the CLO Client will be achieved. Market risk. A CLO Client’s portfolio may also decline in value due to factors affecting financial and securities markets generally, such as real or perceived adverse economic, political or regulatory conditions, inflation, changes in interest or currency rates or adverse investor sentiment, terrorism, natural disasters, regional and global health epidemics, or due to factors affecting particular industries represented in the financial and securities markets, such as competitive conditions. Changes in the financial condition of a single Borrower can impact the Bank Loan and/or corporate debt market as a whole, and adverse market conditions may be prolonged and may not have the same impact on all types of investments. In addition, the markets may not favor a particular kind of investment, including Bank Loans. The values of a CLO Client’s Assets may fall due to factors affecting a particular Borrower, industry or the financial and securities markets as a whole. MNPI risk. PPMLM2 (and PPM) may take steps to ensure that it does not receive MNPI about the Borrowers that also issue (directly or through a related entity) publicly traded securities. By not receiving MNPI, PPMLM2 may have less information than other investors about certain of the Assets in which it invests or seeks to invest. This may place a CLO Client at a disadvantage relative to other investors in such Assets. Model valuations risk. Certain of the investments made by PPMLM2 are based, in part, on complex models used by PPMLM2 that incorporate a range of different inputs. Inadequate or incorrect factual information, misstated assumptions, as well as unforeseeable changes in economic factors can cause these models to yield materially inaccurate valuations — even if the model is fundamentally sound. Moreover, there can be no assurance that PPMLM2’s models are fundamentally sound or contain fully accurate data. The models used by PPMLM2 typically require certain market forecasts that are based on analytical models and assumptions. There can be no assurance that such models are accurate or that assumptions are not oversimplified, which would adversely affect market forecasts leading to potential losses and cash flow insufficiencies. Operational risk. A CLO Client account may suffer a loss arising from shortcomings or failures in internal or external processes, people, or systems, or from external events. Operational risks can arise from factors such as processing errors, human errors, inadequate or failed processes, fraud, failure in systems and technology, changes in personnel and errors caused by third-party service providers. Regulatory events and government intervention. The financial crisis that began in 2008 has also resulted in increased regulation for financial institutions and markets. The Dodd-Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank”) granted US regulatory authorities broad rulemaking and enforcement authority to implement and oversee various provisions of Dodd-Frank, including comprehensive regulation of the over-the-counter derivatives and consumer credit markets. In particular, Dodd-Frank increased the SEC’s oversight responsibility for private fund advisers. Recently, the SEC has issued a number of proposed rules aimed at “private funds” (issuers that would be an investment company, as defined in the Investment Company Act, but for sectiI3(c)(1) or 3(c)(7) of the Investment Company Act). In the absence of exemptions, such rules would impact the CLO Clients and the costs of complying with new regulations would fall on the CLO Clients which may substantially diminish the expected returns to CLO Equity investors. European Regulation 2017/2402 governs CLOs and other securitization transactions offered to certain European investors (the “EU Securitisation Regulation”) and, as it forms part of UK domestic law by virtue of the European Union (Withdrawal) Act 2018, as amended by the Securitisation (Amendment) (EU Exit) Regulations 2019 of the United Kingdom and as further amended, varied or substituted from time to time as a matter of UK law, certain UK investors (the “UK Securitisation Regulation”). The EU Securitisation Regulation and the UK Securitisation Regulation are referred to together as the “EU/UK Securitisation Regulation”. Article 6 of the applicable EU/UK Securitisation Regulation sets out certain risk retention requirements (“Article 6”), and Article 7 sets out certain transparency and reporting requirements (“Article 7”). Certain European and UK investors may only invest in CLO transactions that are compliant with the applicable provisions of the EU/UK Securitisation Regulation (any such eligible CLO, an “EU/UK Compliant CLO”). If an applicable European or UK investor invests in a CLO that is not an EU/UK Compliant CLO, it will be subject to significant capital charges on that investment. PPMLM2 was established to comply with Article 6, adopting the market-developed and widely used capitalized majority owned affiliated structure. Under this structure, for any EU/UK Compliant CLO, PPMLM2 originates 5% of the Bank Loans purchased by the CLO as of the CLO Client’s closing date, in a manner consistent with accepted market practice and acceptable to the applicable European and UK CLO investors. PPMLM2 also purchases a portion of the CLO Securities equal to 5% of the total principal balance of the Assets for each 10 | PPM Loan Management Company 2, LLC EU/UK Compliant CLO (the “EU/UK Retention Interest”). Although PPMLM2 believes that the foregoing will satisfy Article 6, there is a risk that this structure may ultimately be deemed non-compliant. On October 10, 2022, the Commission to the European Parliament and the Council published a report stating that Article 7 applies to securitizations issued by entities based in non-EU countries. Prior to this report, it was uncertain whether Article 7 applied to US CLO managers. As a result, CLOs issued by US CLO managers prior to October 10, 2022, including PPMLM2, may be deemed non-compliant and could result in higher than expected capital charges for EU and UK investors if a transaction is deemed not to be an EU/UK Compliant CLO. CLO Client portfolios are also subject to the risk of local, national, and global economic disturbances based on unknown conditions in the market in which an account invests. In the event of such disturbances, Borrowers may suffer significant declines in the value of these assets and even terminate operations. Such Borrowers also may receive government assistance accompanied by increased control and restrictions or other government intervention. It is not clear whether the US government will intervene in response to such disturbances and the effect of any such intervention is unpredictable. Reliance on corporate management and financial reporting. PPMLM2 selects investments for CLO Clients in part on the basis of information and data filed by Borrowers with various government regulators, publicly available or made directly available to PPMLM2 by such Borrowers or third parties. Although PPMLM2 evaluates this information and data and seeks independent corroboration when it considers it appropriate and reasonably available, PPMLM2 will not always be in a position to confirm the completeness, genuineness or accuracy of such information and data. PPMLM2 is dependent upon the integrity of the management of such Borrowers and of such third parties as well as the financial reporting process in general. CLO Clients may incur material losses as a result of corporate mismanagement, fraud and accounting irregularities relating to Borrowers. Restricted securities risk. As part of a Workout involving an Asset, a CLO Client may receive certain equity or other restricted securities in exchange for its interest in such Asset, and such securities may be illiquid. PPMLM2 may be unable to sell them on short notice or may be able to sell them only at a price below current value. Also, PPMLM2 may get only limited information about the issuer of a restricted security, so it may be less able to predict a loss. In addition, if PPMLM2 receives material non-public information about the issuer, a CLO Client may be unable to sell the securities. Sector risk. To the extent a CLO Client invests more heavily in particular sectors, industries, or sub-sectors of the market, its performance will be especially sensitive to developments that significantly affect those sectors, industries, or sub-sectors. An individual sector, industry, or sub-sector of the market may be more volatile, and may perform differently, than the broader market. The several industries that constitute a sector may all react in the same way to economic, political, or regulatory events. A CLO Client’s portfolio performance could be affected if the sectors, industries, or sub-sectors do not perform as expected. Alternatively, the lack of exposure to one or more sectors or industries may adversely affect performance. Systemic risk generally. Credit risk may arise through a default by one of several large institutions that are dependent on one another to meet their liquidity or operational needs, so that a default by one institution causes a series of defaults by the other institutions. This is sometimes referred to as a “systemic risk” and may adversely affect financial intermediaries, such as banks, securities firms and exchanges, with which PPMLM2 interacts on a daily basis. Terrorism risk. Terrorist attacks may lead to increased short-term market volatility and may have long-term effects on United States and world economies and markets. Terrorist attacks also may adversely impact interest rates, auctions, secondary trading, ratings, credit risk, inflation and other factors relating to a CLO Client’s portfolio and adversely affect such account’s service providers and operations.