Loan Portfolio Report Reporting Date: 26 Feb 2017

Highlights Content

Loan Pipeline 2
Inception Date 31 Oct 2016
Payment Status 3

Currency CHF
Profit & Loss Statement 4

Number of Loans since Inception Date Rating Distribution 5

26
(incl. forthcoming Loans)

Initial Yield P.A. Distribution 6

Loan Principal since Inception Date
110,840
(incl. forthcoming Loans) ICB Industry Distribution 7

Loan Principal Outstanding Maturities 9

58,718
(incl. forthcoming Loans)

Expected Cash Flows Analysis 10

Net PNL since Inception Date
1,527
(incl. forthcoming Loans) Net Cash Balance & Return Analysis 11

Inception-to-Date Return Loan List 12

2.27%
(Completed Loans only, not annualized)

Year-to-Date Return
2.24%
(Completed Loans only, not annualized)

Page 1 of 13
Loan Portfolio Report Reporting Date: 26 Feb 2017

Loan Pipeline

Current Portfolio
Completed Loans Live Loans Forthcoming Loans All Loans
(Live + Forthcoming)

Number of Loans 11 13 2 15 26

Loan Principal 50,596 51,332 7,386 58,718 109,314

Original Interest Amount

(as of inception of the loan and not adjusted by defaults)
763 681 83 764 1,527

Total Amount
(Loan Principal + Original Interest Amount)
51,359 52,013 7,468 59,481 110,840

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Loan Portfolio Report Reporting Date: 26 Feb 2017

Payment Status

Current Portfolio
Completed Loans Live Loans Forthcoming Loans All Loans
(Live + Forthcoming)

Number of Loans on Time 11 13 2 15 26

Number of Loans Delayed 0 0 na 0 0

Number of Loans with Loss 0 na na 0 0

Total Number of Loans 11 13 2 15 26

Total Amount on Time 51,359 52,013 7,468 59,481 110,840

Total Amount Delayed 0 0 na 0 0

Realized Lost 0 na na 0 0

Total Amount means the sum of (i) Loan Principal and (ii) Original Interest Amount as of inception of the Loan.

Page 3 of 13
Loan Portfolio Report Reporting Date: 26 Feb 2017

Profit & Loss Statement

Current Portfolio
Completed Loans Live Loans Forthcoming Loans All Loans
(Live + Forthcoming)

Cash Paid
(expected to be paid for Forthcoming Loans)
50,596 51,332 7,386 58,718 109,314

Cash Received
(expected to be received for Live and Forthcoming Loans and not adjusted for delays)
51,359 52,013 7,468 59,481 110,840

Cash Receivable Budgeted

(Loan Principal + Original Interest Amount)
51,359 52,013 7,468 59,481 110,840

Realized Loss 0 na na na 0

Net PNL 763 681 83 764 1,527

Page 4 of 13
Loan Portfolio Report Reporting Date: 26 Feb 2017

Rating Distribution

Current Portfolio
Completed Loans Live Loans Forthcoming Loans All Loans
(Live + Forthcoming)

AAA 8,587 25,521 0 25,521 34,107

AA 25,296 6,264 7,468 13,733 39,029

A 17,476 8,911 0 8,911 26,387

B 0 11,317 0 11,317 11,317

AAA 16.7% 49.1% 0.0% 42.9% 30.8%

AA 49.3% 12.0% 100.0% 23.1% 35.2%

A 34.0% 17.1% 0.0% 15.0% 23.8%

B 0.0% 21.8% 0.0% 19.0% 10.2%

All numbers are in terms of the Total Amount (Loan Principal + Original Interest Amount) and not adjusted by the Realized Loss.

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Loan Portfolio Report Reporting Date: 26 Feb 2017

Initial Yield P.A. Distribution

Current Portfolio
Completed Loans Live Loans Forthcoming Loans All Loans
(Live + Forthcoming)

Weighted Average Initial Yield P.A. (AAA) 11.3% 8.4% na 8.4% 9.1%

Weighted Average Initial Yield P.A. (AA) 8.1% 10.9% 9.2% 10.0% 8.8%

Weighted Average Initial Yield P.A. (A) 12.9% 12.0% na 12.0% 12.6%

Weighted Average Initial Yield P.A. (B) na 13.5% na 13.5% 13.5%

Weighted Average Initial Yield P.A. (all) 10.3% 10.4% 9.2% 10.3% 10.3%

Initial Yield P.A. is weighted by the Loan Principal.

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Loan Portfolio Report Reporting Date: 26 Feb 2017

ICB Industry Distribution (Completed Loans)

Automobiles & Parts - Industrial Goods & Services 22.6% Telecommunications 8.8%

Banks - Insurance - Travel & Leisure -

Basic Resources - Media - Utilities -

Chemicals - Oil & Gas -

Construction & Materials - Personal & Household Goods 6.5% Total 100.0%

Financial Services 25.7% Real Estate -

Food & Beverage - Retail -

Health Care 10.8% Technology 25.6%

Weighting is based on the Total Amount (Loan Principal + Original Interest Amount) and not adjusted by the Realized Loss.

Page 7 of 13
Loan Portfolio Report Reporting Date: 26 Feb 2017

ICB Industry Distribution (Live + Forthcoming Loans)

Automobiles & Parts - Industrial Goods & Services 27.7% Telecommunications -

Banks - Insurance - Travel & Leisure -

Basic Resources - Media - Utilities -

Chemicals - Oil & Gas -

Construction & Materials - Personal & Household Goods 56.2% Total 100.0%

Financial Services - Real Estate -

Food & Beverage 11.7% Retail -

Health Care - Technology 4.4%

Weighting is based on the Total Amount (Loan Principal + Original Interest Amount).

Page 8 of 13
Loan Portfolio Report Reporting Date: 26 Feb 2017

Maturities

Current Portfolio
Completed Loans Live Loans Forthcoming Loans All Loans
(Live + Forthcoming)

Weighted Average Legal Maturity (Days) 57.1 52.5 44.2 51.4 54.1

Weigthed Average Days Left na 33.0 44.2 34.4 34.4

Weighted Average Days Delayed 0.0 0.0 na 0.0 0.0

Weighting is based on the Total Amount (Loan Principal + Original Interest Amount) and not adjusted by the Realized Loss.

Page 9 of 13
Loan Portfolio Report Reporting Date: 26 Feb 2017

Expected Cash Flows Analysis

Current Portfolio
Offset Cutoff Date Live Loans Forthcoming Loans
(Live + Forthcoming)

Today 26 Feb 0 0 0

Today + 1 Week 05 Mar 2,498 0 2,498

Today + 2 Week 12 Mar 0 0 0

Today + 3 Week 19 Mar 825 0 825

Today + 4 Week 26 Mar 22,991 0 22,991

Today + 2 Months 26 Apr 25,699 7,468 33,168

After na 0 0 0

Total na 52,013 7,468 59,481

Page 10 of 13
Loan Portfolio Report Reporting Date: 26 Feb 2017

Net Cash Balance & Return Analysis

80,000 102.5%

Net Cash Balance Invested (left) Performance Index (right) 102.0%

60,000 101.5%

101.0%

40,000 100.5%

100.0%

20,000 99.5%

99.0%

0 98.5%
31 Oct 16 14 Nov 16 28 Nov 16 12 Dec 16 26 Dec 16 09 Jan 17 23 Jan 17 06 Feb 17 20 Feb 17

1 3 6

Year-to-Date Inception-to-Date
1-Month Return 3-Month Return 6-Month Return
Return Return

Return
(not annualized)
1.58% 2.27% na 2.24% 2.27%

Return Analysis is based on Completed Loans only.

Page 11 of 13
Appendix

Loan List

Inception Loan Yield

Counterparty Industry Loan Rating Days Left Done Delayed PNL
Date Principal p.a.
All About Fabrics GmbH Personal & Household Goods 1 22/12/2016 505 10.9% AA 62 0 l 9
B&SD Business and Social Devel Financial Services 1 29/11/2016 13,050 6.8% AA 62 0 l 146
Bombasei Decor AG Food & Beverage 1 27/02/2017 4,265 10.4% AA 56 57
Christenguss AG Industrial Goods & Services 1 26/02/2017 6,975 8.9% AAA 53 53
Easypack GmbH Industrial Goods & Services 1 19/12/2016 2,447 10.7% AA 74 5
Fortima Trading AG Personal & Household Goods 1 20/12/2016 3,480 7.4% AAA 97 29
2 20/12/2016 3,639 8.0% AAA 90 22
3 20/12/2016 4,120 8.0% AAA 90 22
Fritz Eichenberger AG Personal & Household Goods 1 25/02/2017 4,464 13.2% B 27 26
2 26/02/2017 6,750 13.7% B 26 26
futureLAB AG Technology 1 19/12/2016 4,050 13.7% AAA 22 0 l 31
GCC GmbH Global Customer Care Telecommunications 1 30/11/2016 4,436 9.1% AAA 65 0 l 70
Himmels-bijou GmbH Food & Beverage 1 22/12/2016 808 9.7% AAA 84 18
2 26/02/2017 1,782 9.3% AAA 57 57
Jul. Weinberger AG Personal & Household Goods 1 26/02/2017 4,331 8.2% AAA 44 44
Lentec GmbH Technology 1 26/12/2016 2,404 12.8% A 29 0 l 23
Life Parkett SA Personal & Household Goods 1 04/12/2016 2,819 9.5% A 16 0 l 11
2 26/02/2017 6,210 11.1% A 33 33
SATHOM SARL Industrial Goods & Services 1 28/11/2016 2,903 3.9% AA 38 0 l 12
2 06/01/2017 3,121 13.6% AA 25 0 l 27
3 25/02/2017 3,740 11.0% AA 25 24
4 28/02/2017 3,121 7.6% AA 28 30
SmartLiberty SA Health Care 1 31/10/2016 5,389 10.1% AA 93 0 l 134
TERRAX SARL Industrial Goods & Services 1 29/11/2016 5,400 12.3% A 94 0 l 164

Page 12 of 13
Appendix

Loan List

Inception Loan Yield

Counterparty Industry Loan Rating Days Left Done Delayed PNL
Date Principal p.a.
valcoba AG Technology 1 30/11/2016 6,520 14.9% A 54 0 l 136
2 26/02/2017 2,588 14.1% A 57 57

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