#1CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Project Osprey Board of Directors discussion materials Confidential October 7, 2017 PRELIMINARY | SUBJECT TO FURTHER REVIEW AND EVALUATION These materials may not be used or relied upon for any purpose other than as specifically contemplated by a written agreement with Credit Suisse Group AG and/or its Affiliates (hereafter "Credit Suisse").#2Table of contents 1. Executive summary 2. Public market perspectives 3. Preliminary financial projections 4. Preliminary financial analysis framework 5. Preliminary financial analysis Appendix PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Confidential 1 Credit Suisse Group AG and/or its affiliates. All rights reserved.#3CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 1. Executive summary Confidential 2#4Executive summary Following the August 31, 2017 Board of Directors telephonic meeting to review the latest terms of the GSO Capital Partners / First Eagle Investment Management ("GSO" / "FEIM") proposal to acquire Osprey, the terms of an exclusivity agreement were negotiated with GSO / FEIM PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION - Exclusivity agreement was executed by Osprey and the counterparties on September 4, 2017 and subsequently expired at 11:59pm, New York time, on September 27, 2017; negotiations continued without extending exclusivity ■ GSO / FEIM proposal to acquire Osprey for headline merger consideration (undiscounted) of: $12.44 per share ($11.44 per share in cash plus undiscounted $1.00 per share in non-transferable contingent value right ("CVR"), assuming 2017 transaction close) or $12.32 per share ($11.44 per share in cash plus undiscounted $0.88 per share in non-transferable CVR, assuming Q1'18 transaction close)(¹)(2) - Implies - 10.9% and -9.8% premium to Osprey's one-month volume-weighted average price ("VWAP") of $11.22 per share(3) GSO / FEIM substantially completed their due diligence investigation, with GSO focused on loan/asset level due diligence for its fund investors and FEIM on operational, tax, and legal due diligence of Osprey ■ STB drafted and delivered a draft Merger Agreement and draft Asset Purchase Agreement based on the negotiated term sheet to Goodwin Proctor LLP ("Goodwin") and Sidley Austin LLP ("Sidley") (2) (3) - Both agreements as well as other transaction documentation, including Voting Agreements, Debt Commitment Letters, Equity Commitment Letters / Limited Partner Agreement and Blackstone Limited Guarantee are being negotiated with Goodwin and Sidley Assuming Osprey and GSO / FEIM are able to successfully negotiate mutually acceptable transaction agreements, a go-shop process will commence - In connection with our Project Osprey engagement, CS was not previously directed to conduct a third-party solicitation process on behalf of Osprey ■CS has been directed to utilize and rely on management's updated September 2017 forecast and CVR assumptions for purposes of its preliminary financial analysis of Osprey - Following materials include for discussion with Osprey Board of Directors: (i) a summary of the GSO / FEIM proposed transaction; (ii) public market perspectives regarding Osprey; (iii) a preliminary overview of Osprey's financial performance and projections; (iv) a preliminary financial analysis framework; and (v) a preliminary financial analysis of Osprey Source: Merger Agreement draft dated 10/5/17, Asset Purchase Agreement dated 10/6/17, FactSet and Osprey management. (1) Based on fully diluted shares outstanding, calculated based on 41,480,754 basic shares (incl. unvested restricted stock), 0.125 million options and 12.0 million warrants as of 9/30/17, per Osprey management. Assumes treasury stock method for the upfront cash consideration only, per Merger Agreement draft dated 10/5/17. Upfront cash consideration includes $2.0 million mark on OREO, valued at $12.0 million per Osprey management. Based on Bloomberg VWAP from 9/5/2017-10/3/2017. Confidential 3 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#5Summary of merger consideration $12.44 $12.21-$12.37 Selected Osprey metrics Closing stock price (10/3/17) Implied market value ($mm) Price/Q2'17A TBV(4) Price/Q2'17A Adj. TBV(6) P/2017E I/B/E/S EPS P/2018E I/B/E/S EPS $11.88 $493 0.79x Selected implied transaction metrics ($ in millions, except per share amounts) 0.79x 27.6x 17.2x Headline merger consideration (undiscounted) Premium to one-month VWAP (9/5/17 - 10/3/17) (3)(5) Present value of merger consideration per share Present value of aggregate consideration (3) Price/Q2'17A TBV(4) Price / 02'17A Adj. TBV(6) P/2017E I/B/E/S EPS P/2018E I/B/E/S EPS Sourc ($ per share) Implied premium to: Current closing stock price (10/3/17) One-week VWAP (9/26/17 - 10/3/17) One-month VWAP (9/5/17 - 10/3/17) 02'17 earnings release closing stock price (8/2/17) (5) (0) $11.44 PV of merger consideration (2017 close) Upfront cash consideration $12.44 10.9% $12.21-$12.37 $507-$514 0.81x-0.82x 0.82x-0.83x 28.4x-28.8x 17.7x-17.9x $0.77-$0.93 2.8%-4.2% 4.1%-5.4% 8.9%-10.3% 10.3% -11.8% Three-month VWAP (7/3/17 - 10/3/17) 11.0% -12.4% Merger Agreement dat dated 10/5/17 and Asset Purchase Agreement dated 10/6/17. FactSet, Bloomberg, 1/B/E/S consensus, Osprey public flings and Osprey management Market data as of 10/3/17. WAP denches volume-weighted average price PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Net of outstanding indebtedness and lablites, per Osprey management Bustrative present value calculated as minimum and maximum of range reflected in ustrative Osprey present value of tax refunds." Does not include potential impact of accrued interest income $12.32 $12.10-$12.25 PV of merger consideration (Q1 2018 close) Non-transferable contingent value right "CVR" Based on y diluted shares outstanding, calculated based on 41,460,754 basic shares (nd unvested restricted stock), 0.125 million options and 120 million warrants as of 9/30/17, per Opney management Assumes teasury stock method for the upfront cash consideration only, per Merger Agreement dat dated 10/5/17. Based on fully diluted shares outstanding, calculated based on 41,607,550 basic shares (incl. unvested restricted stock), 0160 million options and 12.0 million warrants as of 6/30/17, per Osprey public fings. Assumes treasury stock method for the upfront cash consideration only. per Merger Agreement dat dated 10/5/17. $11.44 Upfront cash consideration includes $2.0 million mark on OREO, valued at $12.0 million per Osprey management Calculated based on 0217A single book value, adjusted for $3.3 million cash used to repurchase shares and 50.3 million cash proceeds received from exercise of options settled during 7/1/17-9/30/17, per Osprey $12.32 9.8% $12.10-$12.25 $502-$508 0.81x-0.82x 0.81x-0.82x 28.1x-28.5x 17.5x-17.8× 1.9%-3.1% 3.1% -4.4% 7.9%-9.2% 9.3%-10.6% 10.0% -11.3% $0.66-$0.81 Headline merger consideration (undiscounted) (2) Confidential 4 Credit Suisse Group AG and/or its affiliates. All rights reserved.#6Selected transaction terms Transaction structure Total consideration Go-shop Fiduciary out Termination fee for go-shop/ fiduciary out Financing Reverse termination fee Certain closing conditions (2) PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Two-step transaction: - Asset purchase: Newly formed fund (GSO Osprey Fund, "GSOOF"), with investors sourced by GSO, to purchase loan portfolio; net proceeds used to repay Osprey debts / liabilities and fund a portion of second-step merger consideration - Merger: First Eagle to acquire 100% of Company (which will retain asset manager platform) via merger Headline merger consideration (undiscounted): $12.44 per share ($11.44 per share in cash plus undiscounted $1.00 per share in non- transferable CVR, assuming 2017 transaction close) or $12.32 per share ($11.44 per share in cash plus undiscounted $0.88 per share in non-transferable CVR, assuming Q1'18 transaction close)(12) ■ PV assuming 2017 transaction close: $12.21-$12.37 per share(¹) ■ PV assuming Q1'18 transaction close: $12.10-$12.25 per share(¹) - $11.44 per share in cash(12) $11.44 per share in cash(1)(2) - $0.77-$0.93 per share in non-transferable CVR(¹) $0.66-$0.81 per share in non-transferable CVR(¹) ■ 30-day go-shop period following announcement of transaction 14 days from no-shop period start date for excluded party to submit binding superior proposal and Board to trigger process to terminate ■ Company permitted to terminate transaction to accept superior proposal solicited in go-shop period or unsolicited superior proposal after go- shop period, subject to matching right of First Eagle and GSOOF 2% of transaction equity value for transaction resulting from superior proposal during go-shop period as long as Board has determined it is superior proposal within 14 days after end of go-shop period 3% of transaction equity value for transaction resulting from superior proposal after go-shop period Equity commitments from investors: $910mm to $1,215mm, as per proposal letter dated 8/23/2017 - GSO to cause investors to fund once closing conditions are satisfied Wells Fargo - commitment letter for $1,600mm in asset-backed loans with no backstop minimum ■ CDPQ-commitment letter for $250mm in asset-backed loans with no backstop minimum ☐ Existing loans to have value fixed at signing for borrowing base purposes (less any prepayments prior to closing) New loans to have value set by Wells Fargo 5% of transaction equity value Asset buyer is proposing that fee be guaranteed by individual investors of fund Osprey stockholder approval ■ Consents from clients / investors so that run-rate revenue is at least 90% of closing run-rate revenue ■ No Company material adverse effect ■ Consummation of asset sale Source: Merger Agreement draft dated 10/5/17, Asset Purchase Agreement draft dated 10/6/17 and Osprey management. Based on fully diluted shares outstanding, calculated based on 41,480,754 basic shares (incl. unvested restricted stock), 0.125 million options and 12.0 million warrants as of 9/30/17, per Osprey management. Assumes treasury stock method for the upfront cash consideration only, per Merger Agreement draft dated 10/5/17. Includes $2.0 million mark on OREO, valued at $12.0 million per Osprey management. Confidential 5 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved#7PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Preliminary Osprey tax considerations Per Osprey management in consultation with Osprey's tax advisors ■ As a result of GSO / FEIM transaction structure: - Osprey expects to recognize a loss of -$200 million upon closing of transaction Net operating loss ("NOL") can be applied to offset 2017 estimated taxable income - NOL can be carried-back to 2015 and 2016 tax years (assuming 12/31/2017 transaction closing) Remainder available for carryforward, subject to section 382 limitations (no separately negotiated consideration for remainder) Tax refunds available to Osprey stockholders of record at closing (assuming 12/31/2017 transaction closing): Refund of 2016 federal and state taxes overpayment: $5.9 million ($3.9 million federal, $2.0 million state) - Refund of 2017 federal and state estimated taxes paid: $1.8 million ($1.7 million federal, $0.1 million state) Refund for NOL carryback claims for 2015 and 2016 federal and state taxes paid: -$33.9 million(¹) Certain tax considerations: - FEIM assumes responsibility to file tax return and distribute associated tax refunds - Timing of tax years included in carryback claim based on transaction closing - Statutory period for return of cash associated with income tax refund is 45 - 90 days after filing Subject to Internal Revenue Service ("IRS") review and potential audit (three-year statute of limitations for audit) and approval of Joint Committee on Taxation (JCT") (U.S. congressional committee) based on IRS findings / report Limited visibility on timing of commencement of IRS examination / audit, if any, and impossible to predict outcome of such examination / audit - The Company has received clean tax audits for five consecutive years up through 2014; however, past audit results are not indicative of future audit outcome CVR payment mechanics: - 30% of any applicable income tax refund paid promptly upon receipt - Balance of applicable tax refund paid at earlier of expiration of statute of limitations for audit (three years from filing) or completion of audit Interest payable at agreed rate on undistributed portion of tax refund Source: Osprey management in consultation with Osprey's tax advisors and Merger Agreement draft dated 10/5/17. Credit Suisse does not provide any tax advice. Note: (1) Includes $7.7 million 2015 federal taxes paid (net of alternative minimum tax (AMT), $25.5 million estimated 2016 federal tax paid and $0.7 million 2015 & 2016 state taxes paid, per Osprey management. Confidential 6 Credit Suisse Group AG and/or its affiliates. All rights reserved#8Preliminary Osprey tax considerations (cont'd) Per Osprey management in consultation with Osprey's tax advisors PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Certain updates relative to 8/31/2017 preliminary Osprey Board of Directors discussion materials: ■ Refund claims made for both federal and state taxes paid (federal taxes previously) 2016 estimated federal and state taxes were paid on 9/15/2017 - Estimated 2016 federal and state tax overpayment of $5.9 million ($3.9 million federal, $2.0 million state) - 2016 tax return and claim for 2016 federal and state tax overpayment to be filed by Osprey by 10/15/2017, and associated refunds expected to be received by 11/30/2017 ■ Estimated earliest completion of IRS review and potential audit and approval of JCT based on IRS findings / report assumed to be nine months (vs. six months) ■ Other changes: - 2015 carryback claim adjusted for AMT - 2016 estimated taxes paid updated based on actual payment of estimated taxes Quick refund amount updated based on actual taxes paid in 2017 Quick refund claim expected to be filed by 1/1/2018 - Cash flows discounted to 6/30/2017 (vs. 9/30/17), for illustrative purposes - Source: Osprey management in consultation with Osprey's tax advisors. Note: Credit Suisse does not provide any tax advice. Confidential 7 Credit Suisse Group AG and/or its affiliates. All rights reserved.#9Illustrative Osprey present value of tax refunds Assuming 2017 closing; per Osprey management in consultation with Osprey's tax advisors Certain assumptions Osprey has directed Credit Suisse to assume that the IRS refunds the taxes paid without any reduction in amount, delay or condition Transaction closing 12/31/17 ■ Claim for refund of 2016 federal and state taxes overpayment filed by Osprey by 10/15/17, per Osprey management Claim for quick refund of federal taxes paid during 2017 filed by FEIM by 1/1/18, per Osprey management ☐ 2017 federal tax return filed by FEIM by 3/31/18 and state tax return filed by FEIM by 9/15/18, per Osprey management ☐ 2015 and 2016 carryback claim filed by FEIM by 4/1/18, per Osprey management ■ Per Merger Agreement: - 30% of any applicable income tax refund paid promptly upon receipt - Balance of applicable tax refund will be paid at earlier of expiration of statute of limitations for audit (three years from filing) or completion of audit ■ Assumes tax refunds will be subject to credit and business risk of FEIM (FEIM is contractually obligated to cause disbursement of cash from paying agent) ■ Cash flows discounted to 6/30/17, for illustrative purposes - Illustrative discount rate range based on indicative pricing for new FEIM unsecured note (current issuer rating of BB+ / Ba1) and preliminary market implied weighted average cost of capital calculation ■ Osprey has received clean tax audits for five consecutive years up through 2014; however, past audit results are not indicative of future audit outcome 9/30/17E Quarter ending, 3/31/18E B $0.5 9/30/18E 12/31/17E A $1.8 A Receive 30% of refund of 2016 estimated federal and state taxes overpayment ($5.9mm)(2) 8 Receive 30% of refund of 2017 federal taxes paid ($1.7mm)2) ($ in millions) Gross tax refunds CVR PV CVR PV per share (4x) Total consideration per share (45) Receive 30% of refund of 2015 and 2016 federal and state taxes paid ($33.9mm)(2) O Receive refund of 2017 state taxes paid ($0.1mm), as well as balance of refund of (1) 2017 federal taxes paid ($1.7mm), (ii) 2016 estimated federal and state taxes overpayment ($5.9mm) and (iii) 2015 and 2016 federal and state taxes paid ($33.9mm) upon completion of audit / JCT review(304) | 88088 6.0% 6.0% $38.8 $37.7 $0.93 $0.91 $12.37 $12.33 $12.35 ■ Actual results of IRS audit process (and implied value of CVR) are impossible to predict. Assuming receive refund "D" in nine months Illustrative discount rate range 8.0% $38.0 $0.91 Source: Osprey management in consultation with Osprey's tax advisors Note (1) (4) 10.0% $37.1 $0.89 $12.35 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Assuming receive refund "D" in 18 months Illustrative discount rate range 8.0% $36.5 $0.88 6/30/18E C $10.2 $12.32 10.0% $35.4 $0.85 $12.29 Assuming receive refund "D" in three years Illustrative discount rate range 8.0% $33.8 $0.81 Credit Suisse does not provide any tax advice Assumes mid-period discourting convention 2016 taxes paid based on preliminary 2016 tax return per Osprey management Includes of 501 milion expected funds as of 12/31/16 from final 2017 state tax retum assuming completion of audit in nine months, per Osprey management Assumes 45-day period for retum of cash after claims are fled, per Osprey management in consultation with Osprey's tax advisors Osprey management, in consultation with Osprey's tax advisors, estimates that completion of audit/CT review could occur in to see months. 00 18 months or (4) three years. Does not include potential impact of acoued interest income Based on fully died shares outstanding, calculated based on 41/480,754 basic shares inct unverted restricted stock), 0.125 million options and 120 million wants as of 9/30/17, per Osprey management Assumes treasury stock method for the uptront cash consideration only, per Merger Agreement draft dated 10/5/17 6.0% $35.5 $0.85 12/31/18E D $29.2(1) $12.29 $12.25 10.0% $32.2 $0.77 $12.21 Confidential 8 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved#10Illustrative Osprey present value of tax refunds Assuming 2018 closing; per Osprey management in consultation with Osprey's tax advisors Certain assumptions ■ Osprey has directed Credit Suisse to assume that the IRS refunds the taxes paid without any reduction in amount, delay or condition ■ Transaction closing 3/31/18 ■ Osprey does not expect to make a federal or state tax payment in Q1 2018 given transaction timing and magnitude of loss generated ☐ 2018 short year federal tax return filed by FEIM by 6/30/18, per Osprey management ☐ 2016 federal and state carryback as well as 2017 federal carryback claims filed by FEIM by 7/1/18, per Osprey management ■ 2017 state carryback claim filed by FEIM by 9/15/18, per Osprey management ■ Per Merger Agreement: - 30% of any applicable income tax refund shall be paid promptly upon receipt - Balance of applicable tax refund shall be paid at earlier of expiration of statute of limitations for audit (three years from filing) or completion of audit ■ Assumes tax refunds will be subject to credit and business risk of FEIM (FEIM is contractually obligated to cause disbursement of cash from paying agent) ■ Illustrative discount rate range based on indicative pricing for new FEIM unsecured note (current issuer rating of BB+ / Ba1) and preliminary market implied weighted average cost of capital calculation - Cash flows discounted to 6/30/17, for illustrative purposes ■ Osprey has received clean tax audits for five consecutive years up through 2014; however, past audit results are not indicative of future audit outcome ($ in millions) Quarter ending, 6/30/18E 9/30/17E 12/31/17E 3/31/18E 9/30/18E A $10.4 12/31/18E B $0.6 Gross tax refunds A Receive 30% of refund of (1) 2016 federal taxes paid ($25.5mm), (ii) 2016 state taxes paid ($0.6mm), and (ii) 2017 federal taxes paid, net of AMT ($8.5mm)(¹) CVR PV3) CVR PV per share (3X4) Total consideration per shareX(4) B Receive 30% of refund of 2017 state taxes paid ($2.1mm)(¹) Receive balance of refund of (1) 2016 federal and state taxes paid ($26.1mm) and (ii) 2017 federal and taxes paid ($10.6mm) upon completion of audit / JCT review(2X3) Assuming receive refund "C" in nine months Illustrative discount rate range 8.0% $32.7 $0.79 2008 6.0% $33.6 $0.81 $12.25 10.0% $31.8 $0.77 $12.23 $12.22 ■ Actual results of IRS audit process (and implied value of CVR) are impossible to predict. Source Osprey management in consultation with Osprey's tax advisors Credit Susse does not provide any tax advice $12.21 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Assuming receive refund "C" in 18 months Illustrative discount rate range 8.0% $31.4 $0.76 6.0% $32.6 $0.78 $12.20 Assumes mid-perod discounting convention 2016 taxes paid based on prelunary 2016 tax retum, per Osprey management Assumes 45-day period for return of cash after claims are fied, per Osprey management in consultation with Osprey's tax advisors Osprey management, in consultation with Osprey's tax advisors, estimates that completion of audit/JCT review could occur in nine months, 60 18 months or three years Does not include potential impact of accrued interest income 10.0% $30.3 $0.73 $12.17 Assuming receive refund "C" in three years Illustrative discount rate range 8.0% $29.1 $0.70 $12.14 Based on fully diluted shares outstanding, calculated based on 41,480,754 basic shares ont unvested restricted stock) 0.125 million options and 12.0 million warrants as of 9/30/17, per Osprey management Assumes treasury stock method for the uptont cash consideration only, per Merger Agreement dat dated 10/5/17, 3/31/19E $25.6 6.0% $30.7 $0.74 $12.18 10.0% $27.6 $0.66 $12.10 Confidential 9 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved#11CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 2. Public market perspectives Confidential 10#12Osprey annotated historical stock price performance ($ per share) Osprey stock price $20.00 $16.00 11/4/2014: Announces strategic relationship and investment with GSO and Franklin Square consisting of $300mm of $18.00 sub notes and 12mm warrants exercisable at $12.62 $14.00 $12.00 $10.00 $8.00 $6.00 $4.00 $2.00 12/4/2014: Closes $200mm initial GSO investment (1) Current 10/3/17 $11.88 10/3/14 3/24/2015: Board authorizes repurchase of 1mm common shares 4/15/2015: Fitch assigns BB- long-term rating to Osprey with stable outlook One-month $11.26 5/8/15 Three-months $10.95 4/17/2015: Prices $300mm of 7.25% senior notes 11/9/2015: Prices $80mm of 7.25% senior notes 10/7/2015: Completes acquisition of Boston-based alternative asset manager Feingold O'Keeffe Capital (acquisition adds $2.3bn to Osprey's AUM); Board authorizes new $5mm share repurchase plan 12/15/15 Average Six-months $10.55 2/11/2016: Board authorizes expansion of share buyback One-year $10.06 11/8/2016: Capital Z Partners and Corsair Capital Partners make pro rata distribution to limited partners with effect of reducing ownership in Osprey from -20% to -10%, respectively 3/31/2016: Sterling National Bank acquires Osprey's ABL subsidiary for $112mm in cash, at -6% premium of gross loans receivables 7/21/16 Stock price PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Three-year $10.06 2/14/2017: Declares first quarterly dividend of $0.02 per common share 12/1/2016: Radius Bank acquires Osprey's equipment finance business for $140mm in cash, representing -5% premium to net investment in receivables Source: Public filings and FactSet as of 10/3/17. During 03 2015, 04 2015 and 01 2016, Osprey drew an additional, $50mm, $25mm and $25mm, respectively. The commitment is fully drawn. 2/24/17 52-week intraday High $11.99 7/7/2017: Announces acquisition of Fifth Street CLO Management LLC for $16mm 12/9/2016: Board authorizes $30mm share buyback program Low $8.03 y$11.88 (10/3/17) 10/3/17 Confidential 11 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#13Osprey YTD indexed stock price performance One- Three- month months YTD 10.1% 11.1% 28.4% 5.8% 4.6% 12.3% Indexed stock price performance 130 125 120 115 110 105 100 95 90 Osprey S&P 500 financials index Jan-17 2/14/2017: Reported Q4 2016 earnings prior to market open and declared first quarterly dividend of $0.02 per common share (for Q1 2017) Wh Source: FactSet as of 10/3/17. MM Feb-17 5/3/2017: Reported Q1 2017 earnings prior to market open and declared dividend of $0.02 per common share (for Q2 2017) Apr-17 I Osprey volume 7/7/2017: Announced acquisition of Fifth Street CLO Management LLC for $16 million 5/16/2017: Held annual stockholders meeting кру ли Jun-17 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION S&P 500 financials index - 8/2/2017: Reported 02 2017 earnings prior to market open and declared dividend of $0.02 per common share (for 03 2017) youd 9/4/2017: Entered exclusivity agreement with GSO/FEIM 8/2/2017: Osprey mgmt. earnings call remarks noted exploration of monetization of investment management platform independently from balance sheet. Janney Montgomery Scott speculated about potential Osprey sale in research report published later that day Osprey stock price Aug-17 0.9 28.4% 0.8 0.7 0.6 0.5 12.3% 0.4 0.3 0.2 0.1 Volume (millions) 0 Oct-17 Confidential 12 O Credit Suisse Group AG and/or its affiliates. All rights reserved#14Selected Wall Street equity research analysts summary Ratings, target stock price and EPS estimates Broker Janney Montgomery Scott Keefe, Bruyette & Woods Mean Osprey management estimates Date 8/2/2017 8/2/2017 Rating Source: FactSet, Osprey public filings and Osprey management as of September 2017. Note: Market data as of 10/3/17. (1) Based on Osprey closing stock price of $11.88 per share on 10/3/17. Buy Hold Selected commentary We are encouraged that in a period of stagnant balance sheet growth, management has been able to reduce costs. We also note that as LIBOR rates continue to rise, the rate floors on [Osprey's] loans are no longer an issue and the company's asset-sensitive balance sheet can now be realized. Lastly, management's commentary on today's call seems to indicate that the company, or parts of it, could be up for sale. Trading at a nearly 30% discount to book value, we think [Osprey] is undervalued; thus we maintain our BUY rating and $14 fair value estimate (FVE) on [Osprey].35 August 2, 2017 Janney Target stock price ($) $14.00 12.00 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION $13.00 Implied upside to current stock price(¹) 17.8% 1.0 9.4% '17E $0.40 0.45 $0.43 $0.39 EPS '18E $0.67 0.71 $0.69 $0.73 [Osprey's] results this quarter were generally weaker than our expectations on the top-line, although there are a number of positive items including better expense management and a lower non-performing loan rate qtr/qtr. We are remaining on the sidelines until we see more stable earnings growth and stronger progress toward the double-digit pre-tax ROE target.55 August 2, 2017 KBW Confidential 13 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#15Total shareholder return over last three years YTD One-year Two-year Three-year 12/30/16 - 10/3/17 10/3/16-10/3/17 10/3/15-10/3/17 10/3/14-10/3/17 29.2% 20.9% 42.8% 3.8% 2.9 8.3 3.9 9.9 12.3 35.9 60% (1) (2) 40% 20% 0% (20%) (40%) (60%) (80%) Osprey Preliminary selected internally managed BDCs) Preliminary selected externally managed BDCs) S&P 500 financials index Oct-14 Osprey Oct-15 Preliminary selected internally managed BDCS" Zeroch Wy 47.3 30.2 42.1 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION www 26.3 23.5 38.4 Sep-16 Preliminary selected externally managed BDCS en 38.4% S&P 500 financials index 26.3% 23.5% 3.8% Oct-17 Source: FactSet. Note: Market data as of 10/3/17. Total shareholder return includes share price performance and dividends paid. Includes Hercules Capital Inc. (HTGC), Main Street Capital Corp. (MAIN), Triangle Capital Corp. (TCAP). Includes Apollo Investment Corp. (AINV), Ares Capital Corp. (ARCC), Blackrock Capital Investment Corp. (BKCC), Fifth Street Finance Corp. (FSC), FS Investment Corp. (FSIC), Golub Capital Inc. (GBDC), Goldman Sachs BDC Inc. (GSBD), New Mountain Financial Corp. (NMFC), Pennant Park Investment Corp. (PNNT), Prospect Capital Corp. (PSEC), Solar Capital Ltd. (SLRC), TCP Capital Corp. (TCPC), TPG Specialty Lending Inc. (TSLX), TCG BDC, Inc. (CGBD). Credit Suisse Group AG and/or its affiliates. All rights reserved. 14 Confidential#16CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 3. Preliminary financial projections Confidential 15#17CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION A. Osprey management standalone financial performance and projections Confidential 16#18Osprey financial performance vs. Wall Street equity research expectations ($ per share) FYE Dec-15 FYE Dec-16 FYE Dec-17 Q1 02 Q3 Q4 Q1 Q2 Q3 Q4 Q1 02 Actual $0.05 0.10 0.11 0.09 0.09 0.11 0.19 0.23 0.03 0.10 Diluted earnings per share Wall Street equity research mean $0.04 0.07 0.11 0.12 0.12 0.15 0.13 0.15 0.18 0.16 Beat / miss $ $0.01 0.04 0.01 (0.04) 0.06 0.08 % (0.15) 25.0% (0.06) 53.8% 4.8% (0.03) (25.0%) 14.17 (0.03) (25.0%) 13.84 i (26.7%) Actual i 46.2% $14.26 53.3% 14.36 14.40 14.12 14.38 15.12 (83.3%) 15.21 (35.5%) 15.40 (1) Book value per share Wall Street equity research mean $14.11 14.32 14.49 14.52 14.30 13.98 14.27 14.85 15.34 15.49 Beat / miss $ $0.15 0.04 (0.09) (0.35) (0.46) 0.14 0.11 0.27 (0.13) (0.09) PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Source: Osprey public flings and FactSet. Note: Earnings per share and book value per share reflect announced data at time of public release. (1) Based on Keefe Bruyette & Woods analyst estimates only as Janney Montgomery Scott does not provide book value per share estimates. 1.1% 0.3% (0.6%) (3.2%) 1.0% 0.8% (2.4%) (21.2%) 1.8% Stock price reaction (0.8%) 1.2% 4.8% (2.2%) (3.7%) (2.7%) 4.7% (2.4%) (9.9%) (0.6%) (0.3%) Selected Wall Street equity research commentary Lighter originations offset by lower i operating expenses and strong credit quality Higher fee income and loss of provisioning was lower than expected Out-sized charge related to TRS offset by better than expected NIM Growth in managed assets; higher income was driven by increase in average eaming assets Tepid growth in loans/leases and higher credit costs Tepid growth in loans / leases Recapture of unrealized losses and upwards adjustment to interest income from repayment of NPA One-off events (equipment finance sale, Berkeley Fund launch, cost savings) Provision expense of $6.1 million (3x estimate) and negative marks on loans held for sale Negative non-cash marks on loans held for sale and stagnant balance sheet growth Osprey EPS results vs. expectations over last 10 quarters have been volatile, generally beating or missing mean of Wall Street equity research expectations by >10%; BVPS results generally have been in line Confidential 17 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#19Osprey historical financial performance summary Based on Osprey public filings and investor presentations (Sin millions) Funded loan volume New loan yields Run-off rate (% of BoP loans) Portfolio yield (% of avg. loans) Cost of funds (% of avg. interest-bearing liabilities) Net interest margin Non-interest income (% of avg. loans) Provision expenses (% of avg. loans) Operating expenses (% of avg. AuM) Leverage (debt / equity) Loans and credit investments, gross AUM FY'14A FY'15A Q1'16A Q2'16A Q3'16A Q4'16A FY'16A Q1'17A I I I $1,789 5.93% 46% 6.09% 3.12% 3.17% 0.49% 1.17% 1.80% 3.3x $2,626 I 3,381 Source: Osprey public filings and Osprey investor presentations. Osprey guidance issued in 02 2017 earnings release on 8/2/17. $3,058 I 6.54% 45% 6.27% 4.35% I 2.39% 0.57% 0.57% I 1.12% I 5.1x $300 7.37% 18% 6.28% 4.56% 2.21% 1.94% 1.80% 1.00% 5.0x $3,830 $3,734 6,949 I 6,620 $476 6.99% 38% 6.28% 4.65% 2.10% 0.46% 0.38% 0.78% 4.9x $3,772 6,583 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION $427 6.57% 24% 6.77% 4.67% 2.50% 1.14% 0.37% 1.09% 5.2x $3,972 6,653 Q2'17A FY'17 Guidance Low I $460 I $1,500 6.79% I 6.50% 1 32% 30% $671 $1,874 I $330 6.65% 6.83% 6.55% 41% 31% 38% 6.53% 6.46% 6.29% 6.43% I I 4.83% I 4.65% I 4.99% 5.08% I 1.96% 2.19% 1.45% 1.56% 1 I 2.02% 1.40% 0.70% 0.59% 0.27% I 0.71% I 0.70% 0.31% I 1.15% I 1.00% I 0.68% 0.64% I 5.1x 5.1x 5.0x 5.0x $3,592 $3,592 $3,620 $3,619 6,740 I 6,740 6,598 6,521 6.25% 4.75% 1.50% 0.50% 0.25% 0.60% 4.8x $3,250 I 7,500 High! $2,000 7.00% 35% 6.75% 5.25% I 2.00% 1.00% 0.50% 0.70% I 5.0x $3,500 8,000 Confidential 18 Credit Suisse Group AG and/or its affiliates. All rights reserved.#20Selected Osprey management commentary on Osprey's recent financial performance and market outlook Higher leverage & looser covenants We do think the market is frothy. We have seen sort of a floor on pricing in terms of where nonbanks will go in the middle market, so we think we are bottom out in terms of the pricing we are able to get... What we are seeing is a lot of transactions that may look, the numbers look okay but the details in the transactions include lots of add backs to EBITDA and very loose covenants and things like that. I think it is a time to be very careful. We are going to continue to be selective. We will sit on some cash if we have to, and I think we will be able to with that kind of an approach, maintain our yields and avoid the kind of risky or poorly underwritten deals that are getting done a lot in the marketplace" Middle market risk / return on first-lien institutional deals (1) ■ Leverage at its highest level post-crisis Totalleverage (x1) 6.5 6.0 5.5 5.0 4.0 3.5 3.0 2.5 2.0 600 Total leverage Tim Conway, August 2, 2017 Yield Source: Osprey earnings call transcripts, Thomson Reuters Q1 2010 02 2010 03 2010 04 2010 Q1 2011 02 2011 03 2011 Q4 2011 Q1 2012 02 2012 03 2012 04 2012 01 2013 02 2013 03 2013 04 2013 Q1 2014 02 2014 03 2014 Q4 2014 Q1 2015 02 2015 03 2015 Q4 2015 Q1 2016 02 2016 Q3 2016 04 2016 Q1 2017 02 2017 03 2017 LPC. Based on selected middle market deals with available leverage and yield data. 9.5% 9.0% 8.5% 8.0% 7.5% 7.0% 6.5% 6.0% 5.5% 5.0% Yield (three-year) Lower pricing Overall, market conditions have led to tighter spreads and an erosion in the quality of some transactions over the past year or more...our selectivity enabled us to originate senior middle market loans with average yields of 6.8% in the second quarter, which clearly reflects significant value relative to the liquid loan markets and other fixed income [alternatives]. Currently, we estimate that we are earning a 200 basis point premium to comparably rated large-cap loans, which on average yields [sic] of about 4.75% in the second quarter.39 All-in-yield (three-year) Quarterly middle-market term loan yields (three-year) ■ Quarterly middle market institutional yields below 6% for first time since Q2'15 ■ Spreads down to 443bps on average, the lowest level post-crisis LIB/LIB Floor LIB Spread Spread due to OID 14% 12% 10% 8% 6% PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 4% 2% 0% 01 2002 04 2002 03 2003 02 2004 2005 04 2005 03 2006 02 2007 2008 Q1 2010 Q1 Tim Conway, August 2, 2017 04 2010 03 2011 02 2012 Q1 2013 04 2013 03 2014 02 2015 Q1 2016 04 2016 3Q17TD Confidential 19 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#21Preliminary Osprey standalone financial projections Assumptions per Osprey management as of September 2017 Loan portfolio Spreads Credit Funding Non-interest income Operating expenses PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Total volume is projected to increase from $1.6bn in 2017E to -$2.7bn in 2020E - Off-balance sheet asset management activity volume growth from $0.9bn in 2017E to -$2.1bn in 2020E Assets under management ("AUM") projected to increase at -9% CAGR for period 2017E-2020E - Off-balance sheet AuM increases from -50% of total AuM in 2017E to -74% of total AuM in 2020E ■ Direct new origination spread target of 5.25% starting in 2018E through forecast horizon Capital markets new origination spread target of 4.95% starting in 2018E through forecast horizon Assumes continuation of current credit environment ☐☐Provision expense for leverage finance is based on forecast of specific (FAS 114) and general reserves (FAS 5) reserves with the following assumptions: - 2018E-2020E: Probability of Default ("POD") of 2.25% / Loss Given Default ("LGD") of 28% / Recovery of 72% $37mm new NPAs in 2018E and decrease to $30mm in 2020E from strategic shift to off-balance sheet asset management NPLs as % of portfolio decreases from 2.86% in 2018E to 1.77% in 2020E; NPL balances decreases from $80mm in 2018E to $33mm in 2020E All-in cost of funds of 5.25% in 2017E, 5.58% in 2018E, 6.10% in 2019E and 5.74% in 2020E Non-interest income projected to increase from $27mm in 2017E to $56mm in 2020E ■ Increase in fee paying AuM from shifting on-balance sheet portfolios to off-balance sheet vehicles -0.6% of average AuM, flat through forecast horizon Corporate -4.6mm share repurchases in 2018E at average price of $11 per share initiatives ■ $0.02 per share quarterly dividend through forecast horizon Source: Osprey management as of September 2017. Note: "NPA denotes non-performing asset. NPL denotes non-performing loan. Confidential 20 Credit Suisse Group AG and/or its affiliates. All rights reserved.#22Preliminary Osprey standalone financial summary FY'14A - FY'20E AUM summary per Osprey management as of September 2017 ($ in millions) $3,381 $85,3% $673 20% $2,623(¹) 78% (1) (2) 2014A $6,949 $2,294 33% $825 12% $3,830 (¹) 55% 2015A On-balance sheet loans $6,740 $1,834 27% $1,315 20% $3,592(¹) 53% 2016A 1 1 1 1 $7,158 $1,541 22% $2,007 28% $3,610 50% 2017E (2) Off-balance sheet middle market loans $7,830 $1,716 22% $2,763 35% $3,350 43% PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 2018E $8,349 $1,983 24% $3,841 46% $2,525 30% 2019E Osprey continues its transition to an asset-light credit asset manager during the forecast period Source: Osprey public flings and Osprey management as of September 2017. Includes Osprey portfolio middle market direct lending and Arch St. collateralized loan obligation ("CLO"). Includes $4.1mm deferred loan fee and $0.4mm mark-to-market (MTM") balances, respectively, for Arch St. CLO portfolio, $0.3mm MTM balance for loans held for sale portfolio and $1.9mm MTM balance for debt security portfolio. $9,247 $2,292 25% $4,522 49% $2,433 26% Off-balance sheet broadly syndicated loans 2020E Confidential 21 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved O#23Preliminary Osprey standalone financial summary FY'14A - FY'20E earnings summary per Osprey management as of Sept. 2017 ($ in millions except per share amounts) After-tax ROAE 1.7% Diluted EPS $0.21 Leverage 3.3x (debt / equity) $11 2014A 2.6% $0.35 5.1x $17 2015A 4.3% $0.61 5.1x $28 2016A 2.5% $0.39 4.8x $16 2017E Net income 4.6% $0.73 4.5x $29 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 2018E 4.8% $0.83 3.0x $31 2019E 5.9% $1.07 2.6x Q1'17 and Q2'17 negatively impacted by mark-to-market adjustments on loans held for sale and higher than expected provision expense Source: Osprey public filings and Osprey management as of September 2017. $41 2020E Confidential 22 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved#24Preliminary Osprey standalone financial summary FY'14A-FY'20E per Osprey management as of September 2017 Fiscal year ending 12/31 2017E ($ in millions except per share amounts) Selected metrics Total origination volume Ending period AUM Portfolio yield as % of avg loans Net charge-offs / gross loans (excl. loans held for sale) Run-off rate (% of BoP loans) Net interest margin Average interest-earning assets Asset management income (% of avg. off B/S AUM) Operating expenses / end of period AUM Pre-tax ROAE After-tax ROAE Leverage (debt/equity) Selected balance sheet items Net loans (including loans held for sale) Unrestricted cash Total assets Corporate debt (net of financing fees) Total debt (net of financing fees, debt discount, and OID) Tangible book value Book value Basic shares outstanding (mm) Book value per share Selected income statement items Interest income Interest expense Net interest income Provision for credit losses Net interest income after credit losses Asset management income Other non-interest income / (expense) Total operating expenses Earnings before tax Net income Diluted EPS Selected cash flow items Distributed cash flow (2) 2014A (1) (2) $1,789 $3,381 6.09% 1.1% 46.0% 3.17% $2,505 0.21% 1.36% 2.7% 1.7% 3.3x $2,506 33 2,811 238 2,134 641 641 46.6 $13.75 $136 (58) $78 (27) $51 1 10 (45) $17 $11 $0.21 $35 Source: Osprey public filings and Osprey management as of September 2017. Includes senior unsecured notes net of capitalized financing fees. Includes share repurchases and ordinary dividends. 2015A $3,058 $6,949 6.27% 0.1% 45.0% 2.39% $3,239 0.34% 0.76% 4.4% 2.6% 5.1x $3,613 36 4,051 372 3,332 641 659 46.5 $14.17 $202 (121) $81 (18) $62 7 12 (52) $29 $17 $0.35 $17 2016A $1,874 $6,740 6.46% 1.0% 31.0% 2.19% $4,050 0.43% 1.00% 7.4% 4.3% 5.1x $3,383 154 4,041 374 3,311 629 647 42.8 $15.12 $251 (161) $89 (28) $62 13 41 (67) $49 $28 $0.61 $43 $1,646 $7,158 6.40% 0.5% 35.0% 1.57% $3,822 0.45% 0.64% 4.3% 2.5% 4.8x $3,522 82 3,838 376 3,141 627 651 41.5 $15.68 $228 (169) $59 (13) $46 15 12 (46) $28 $16 $0.39 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION $21 2018E $2,175 $7,830 6.77% 0.8% 35.0% 1.86% $3,629 0.47% 0.63% 7.7% 4.6% 4.5x $3,274 24 3,508 80 2,835 608 630 37.2 $16.94 $238 (171) $67 (9) $59 19 21 (49) $49 $29 $0.73 $53 2019E $2,584 $8,349 7.10% 0.6% 35.0% 1.97% $3,031 0.53% 0.60% 8.1% 4.8% 3.0x $2,467 24 2,661 1,958 641 661 37.5 $17.65 $209 (149) $60 $55 27 20 (50) $53 $31 $0.83 $3 2020E $2,721 $9,247 7.37% 0.7% 35.0% 2.88% $2,504 0.55% 0.56% 10.1% 5.9% 2.6x $2,381 25 2,570 1,825 683 702 37.7 $18.62 $179 (107) $72 (8) $64 35 21 (51) $69 $41 $1.07 $3 Confidential 23 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#25Preliminary Osprey standalone financial summary Cash flow statement per Osprey management as of September 2017 ($ in milions) Cash flow statement Beginning unrestricted cash Cash generated from operations Interest income Interest expense Corporate & subordinated debt interest expense Other income Cash operating expenses Incentive compensation Tax payments Miscellaneous Total cash generated from operations Cash generated from investing & financing Net investment in leveraged finance New NS Capital activity Corporate debt open market purchases Share buyback program & dividend program Total cash generated from investing & financing Total change in cash Ending cash balance Source: Osprey management as of September 2017. 2H 2017E $50 110 (51) (27) 16 (15) $20 14 3 (4) $12 32 $82 2018E $82 228 (108) (48) 40 (31) (14) (10) (0) $56 251 (11) (300) (53) ($113) (58) PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION $24 2019E $24 200 (93) (27) 47 (32) (14) (9) (1) $72 83 28 (180) (3) ($72) (0) $24 2020E $24 172 (77) (14) 56 (33) (15) (20) 0 $71 23 (9) (80) ($69) 1 $25 Confidential 24 Credit Suisse Group AG and/or its affiliates. All rights reserved.#26Preliminary Osprey standalone financial summary Cash flow assumptions per Osprey management as of September 2017 Approximately $25mm minimum unrestricted cash assumed per Osprey management; excess cash used to pay down debt or distributed to stockholders Distributions subject to permitted payments basket, per indenture for Osprey high-yield senior unsecured notes - $380mm principal balance as of 6/30/17A; repaid by Q1'19E per Osprey management estimates Quarter ending, Q2:17A Q3'17E Q4'17E Q1'18E Q2'18E Q3'18E Q4'18E Q1'19E Q2'19E Q3'19E Q4'19E Q1'20E Q2 20E Q3'20E Q4'20E ($in millions) Permitted payments basket Beginning balance +) 50% of adjusted net income (+) Change in new availability (-) Total distributed cash flow Ending balance (1) Memo: Adjusted net income Net income 1 $27 6 $26 $4 8 I $12 $26 5 (1) Source: Osprey management as of September 2017, Note: "N/A denotes not applicable. (1) $30 $5 5 $30 5 $10 12 $34 $6 5 $34 5 5 $11 (13) $31 $4 7 $31 6 $10 (13) $24 $6 7 $13 $24 7 (13) $18 $9 6 $18 7 $15 (13) $12 $10 5 $15 $12 7 5 $23 $9 5 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION $14 N/A $8 7 $15 Includes dividends and share repurchases. Based on Osprey senior unsecured notes ($380mm principal balance as of 6/30/17), per Osprey public filings and management. N/A $4 18 $22 N/A $10 4 $14 N/A $10 5 $15 Adjustments Adjusted net income ■ Distributions to stockholders also subject to provisions in indenture of FSIC warrants Share repurchases subject to provision that stipulates beneficial owner of warrants cannot represent > 25% ownership of Osprey shares outstanding (including warrants); Osprey management assumes $30mm and $50mm of share repurchases in 2017E and 2018E, respectively N/A $10 5 N/A $15 $11 6 - Underlying number of warrants outstanding and weighted average exercise price of warrants subject to adjustment for other distributions - $0.02 quarterly dividends per share in Osprey management forecast $16 N/A $10 5 $16 Confidential 25 Credit Suisse Group AG and/or its affiliates. Al rights reserved#27CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION B. Comparisons of updated September 2017 versus February 2017 management projections Confidential 26#28Preliminary Osprey standalone projections comparison Osprey management revised FY'17 guidance in Osprey Q2'17 earnings release on 8/2/17 ($ in millions) Date of release: Funded loan volume New loan yields Run-off rate (% of BoP loans) Portfolio yield (% of avg. loans) Cost of funds (% of avg. interest-bearing liabilities) Net interest margin Non-interest income (% of avg. loans) Provision expenses (% of avg. loans) Operating expenses (% of avg. AuM) Leverage (debt / equity) Loans and credit investments, gross AUM Source: Osprey public filings and Osprey investor presentations. FY'17 Guidance / Outlook Q4'16 earnings release Q1'17 earnings release Q2'17 earnings release 2/14/17 5/3/17 8/2/17 Low $2,000 Denotes revised guidance 6.50% 30% 6.25% 4.50% 1.75% 0.75% 0.25% 0.60% 4.4x $3,250 7,500 Low High $2,500 $2,000 7.50% 6.50% 35% 30% 6.75% 6.25% 5.00% 4.50% 2.25% 1.75% 1.00% 0.75% 0.50% 0.25% 0.70% 0.60% 4.8x 4.4x $3,250 $3,500 7,500 8,000 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION $3,500 8,000 High $2,500 7.50% 35% 6.75% 5.00% 2.25% 1.00% L__0.50% 0.50% 0.25% 0.70% 0.60% 4.8× L-4.8x_ 1 Low High $1,500 $2,000 6.50%! 7.00% 30% 35% 6.25% 6.75% 4.75% 5.25% 1.50% 2.00% 1.00% 0.50% 0.70% 5.0x $3,250 $3,500 7,500 8,000 F Variance 8/2/17 vs. 5/3/17 Low High (25%) 0 bps 0 bps 0 bps 25 bps (25 bps) (25 bps) 0 bps 0 bps 0.4x (20%) (50 bps) 0 bps 0 bps 25 bps (25 bps) 0 bps 0 bps 0 bps 0.2x Confidential 27 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#29PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Preliminary Osprey standalone projections comparison (cont'd) Updated forecast (Sept. 2017) versus prior 2017 fiscal year plan (Feb. 2017) Selected changes to Osprey standalone model per Osprey management include: 2 Lower earnings from delay in transition to asset-light credit asset manager and shift in market conditions Dartmouth fund launch delayed one year; more challenging fundraising environment; offset slightly by inclusion of newly acquired Fifth Street CLOs and reopening of 2014-1 and 2016-1 CLOs in 2018E - Taking smaller pieces of deals; less syndication income (based on market dynamics) in non-interest income Net interest income fluctuates based on average loan balances - 2017E: $180mm lower forecasted average balance - 2018E: $250mm higher forecasted average balance; reopening of 2014-1 and 2016-1 CLOS 2019E: Reset of Arch Street and 2015-2 CLOS to off-balance sheet, offset by resulting lower cost of funds 3 Financing cash flow assumptions - Higher unsecuritized debt balances from resetting / calling of existing CLOs through forecast horizon(¹) - Share repurchase amount reduced; additional cash used to pay down term debt - Adjusted for FSIC warrant constraints Accelerated repayment of high-yield senior unsecured notes starting in 2018E Early repayment of GSO subordinated notes in 2H'19E Book value per share and earnings per share - Higher shares outstanding resulting from reduced share repurchase amounts - Higher average repurchase price (improvement in market price) - Slight increase in options exercised Inclusion of mark-to-market adjustment on Arch Street CLO Lower share repurchase amount increases book value, offsetting lower net income - Source: Osprey management estimates as of February 2017 and September 2017. Excluding high-yield senior unsecured notes and subordinated notes. Confidential 28 Credit Suisse Group AG and/or its affiliates. Al rights reserved#30PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Preliminary Osprey standalone projections comparison (cont'd) Updated forecast (Sept. 2017) versus prior 2017 fiscal year plan (Feb. 2017) ($ in millions except per share amounts) Selected metrics Total origination volume Ending period AUM Portfolio yield as % of avg loans Net charge-offs / gross loans (excl. loans held for sale) Run-off rate (% of BoP loans) Net interest margin Average interest-earning assets Asset management income (% of avg. off B/S AuM) Operating expenses / end of period AuM Pre-tax ROAE After-tax ROAE Leverage (debt / equity) Selected balance sheet items Net loans (including loans held for sale) Unrestricted cash Total assets Corporate debt (net of financing fees) Total debt (net of financing fees, debt discount, and OID) Book value Basic shares outstanding (mm) Book value per share Selected income statement items Interest income Interest expense Net interest income Provision for credit losses Net interest income after credit losses Asset management income Other non-interest income / (expense) Total operating expenses Earnings before tax Net income Diluted EPS Selected cash flow items Distributed cash flow (2) FY'17 plan forecast - February 2017 2017E 2018E 2019E $2,854 $7,550 6.29% 0.4% 35.0% 1.61% $3.894 0.42% 0.60% 6.6% 3.9% 4.6x $3,129 25 3,538 350 2,866 621 37.5 $16.54 $235 (172) $63 (8) $55 15 16 (45) $42 $25 $0.61 $54 Source: Osprey management estimates as of February 2017 and September 2017. (1) Includes senior unsecured notes net of capitalized financing fees. (2) Net of warrants/debt discount, OID and capitalized financing fees. $3,171 $8,444 6.87% 0.9% 35.0% 1.73% $3,434 0.53% 0.54% 8.1% 4.8% 4.3x $2,873 84 3,364 150 2,692 622 35.0 $17.80 $225 (166) $59 (8) $52 25 20 (46) $51 $30 $0.82 $32 $3,391 $9,193 7.30% 0.6% 35.0% 2.25% $3,249 0.56% 0.51% 11.6% 6.9% 3.6x $2,499 39 2,980 75 2,297 633 32.0 $19.80 $225 (152) $73 (5) $68 33 19 (47) $73 $43 $1.29 $35 Updated forecast - September 2017 2017E 2018E 2019E $1,646 $7,158 6.40% 0.5% 35.0% 1.57% $3,822 0.45% 0.64% 4.3% 2.5% 4.8x $3,522 82 3,838 376 3,141 651 41.5 $15.68 $228 (169) $59 (13) $46 15 12 (46) $28 $16 $0.39 $21 $2,175 $7,830 6.77% 0.8% 35.0% 1.86% $3,629 0.47% 0.63% 7.7% 4.6% 4.5x $3,274 24 3,508 80 2,835 630 37.2 $16.94 $238 (171) $67 (9) $59 19 21 (49) $49 $29 $0.73 $53 $2,584 $8,349 7.10% 0.6% 35.0% 1.97% $3,031 0.53% 0.60% 8.1% 4.8% 3.0x $2,467 24 2.661 1,958 661 37.5 $17.65 $209 (149) $60 $55 27 20 (50) $53 $31 $0.83 $3 L I 2017E ($1,208) ($392) 11 bps 9 bps 0 bps (4 bps) ($72) 3 bps 4 bps (235 bps) (140 bps) 0.2x --$394 57 300 275 30 4.0 ($0.86) ($7) 4 (57 ($9) ($14) ($9) ($0.23) ($33) 1 Revised in line with 8/2/17 public guidance Variance 2018E ($996) ($614) 1 (10 bps) T5 Tops) 0 bps 12 bps ST95 (6 bps) 9 bps (39 bps) (23 bps) 0.2x $401 760) 144 (70) 143 -8 2.3 ($0.87) $13 (5) ($1) ($0.08) 2019E $22 ($807) ($844) (20 bps) 8bps 0 bps (28 bps) -7$218) (4 bps) 9 bps (355 bps) (209 bps) (0.7x) ($33) 715) (319) (75) (339) 28 ($2.15) ($17) 3 ($13) 1 ($12) ($1)__($12)__ ($0.46) ($20) ($32) J Confidential 29 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved#31PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Preliminary Osprey standalone projections comparison (cont'd) Osprey management forecast versus Wall Street equity research estimates (Sin millions except per share amounts) Selected metrics Interest income Osprey mgmt. Mean of Wall Street equity research estimates Variance - $ Variance - % Operating expense Osprey mgmt. Mean of Wall Street equity research estimates Variance-$ Variance - % Net income Osprey mgmt. Mean of Wall Street equity research estimates Variance - $ Variance - % EPS Osprey mgmt. Mean of Wall Street equity research estimates Variance-$ Variance - % Book value per share Osprey mgmt. Mean of Wall Street equity research estimates Variance - $ Variance - % After-tax ROE Osprey mgmt. Mean of Wall Street equity research estimates Variance-bps Osprey mgmt. plan (Feb. 2017) vs. Wall Street equity research (2/14/17) 2017E 2018E 2019E (1) $235 227 $8 3.4% $45 44 $1 2.0% $25 32 ($7) (22.2%) $0.61 0.78 ($0.17) (21.4%) $16.54 16.04 $0.50 3.1% 3.9% 4.8% (92) bps $225 220 $6 2.7% $46 47 ($2) (3.4%) $30 37 ($7) (19.0%) $0.82 0.93 ($0.11) (12.3%) $17.80 17.06 $0.74 4.4% 4.8% 5.6% (77) bps $225 NA ΝΑ ΝΑ $47 NA NA NA $43 NA NA ΝΑ $1.29 ΝΑ NA ΝΑ $19.80 NA ΝΑ NA 6.9% NA ΝΑ Osprey mgmt. updated forecast (Sept. 2017) vs. Wall Street equity research (8/2/17) 2017E 2018E 2019E $228 226 $2 0.9% $46 44 $2 4.2% $16 17 ($1) (6.6%) $0.39 0.43 ($0.04) (9.3%) $15.68 15.76 ($0.08) (0.5%) 2.5% 2.9% (35) bps $238 227 $11 4.8% $49 43 $6 13.6% $29 28 $1 4.0% $0.73 0.69 $0.04 6.1% $16.94 16.56 $0.38 2.3% 4.5% 4.4% 10 bps $209 223 ($14) "NA" denotes not publicly available. Based on Keefe Bruyette & Woods analyst estimates only as Janney Montgomery Scott does not provide book value per share analyst estimates. (6.1%) $50 46 $5 10.3% $31 32 ($1) (3.5%) $0.83 0.80 $0.03 3.7% $17.65 17.43 $0.22 1.3% 4.8% 5.1% (28) bps 2017E (3%) (1%) 2% (0%) (35%) (46%) (37%) (46%) (5%) (2%) Source: Osprey management, FactSet and Wall Street equity research. Note: Mean of Wall Street equity research estimates based on Janney Montgomery Scott and Keefe Bruyette & Woods analyst estimates available as of 2/14/17 and 8/2/17, respectively. 2019E based on Keele Bruyette & Woods estimates only. Osprey management estimates as of February 2017 and September 2017, respectively, (140) bps (198) bps Variance 2018E 6% 4% 8% (8%) (3%) (24%) (10%) (26%) (5%) (3%) (25) bps (112) bps 2019E NA 7% NA (28%) NA (35%) ΝΑ (11%) NA (207) bps NA Confidential 30 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#32CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 4. Preliminary financial analysis framework Confidential 31#33PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Relative overview of business model and financial profile Osprey Asset-based lending & leasing companies Commercially focused banks Products Operations Legal & tax structure Commercial middle- market direct lending, primarily secured by cash flow ■ Most loans to sponsored companies ■ Focus on lower-yielding, lower risk profile assets, including focus on broadly- syndicated loans (BSL) ■ Limited investment in other asset classes Internally managed ■ Unregulated with no asset or structure requirements - Includes both balance sheet lending and asset management businesses ■ Market limitations on leverage Increased cost of funds post-crisis as securitization markets became more expensive C-Corporation ■ Taxpayer Business development companies ("BDCs") Commercial middle- market direct lending, primarily secured by cash flow Most loans to sponsored companies Invest in other asset classes (equity investments, CLO securities, etc.) Source: Osprey management and public filings. Note: "REITS denotes Real Estate Investment Trusts. Higher yielding investments relative to Osprey Internally or externally managed ■ 70% of assets must be qualifying assets, generally meaning securities in small or middle-market U.S. firms that are private or small-cap Leverage constrained to 1.0x debt / equity; BDCs generally operate at 0.60x- 0.80x debt / equity Pass-thro entity - Distributes >90% of pre- tax income to avoid corporate-level or excise tax Regulated under Investment Company Act of 1940 Act as a regulated investment company ("RIC") Asset-based niche lending Element Fleet: fleet leasing (vehicles as collateral); real assets, high depreciation ■ ECN Capital: mostly equipment financing; real assets, depreciation Marlin: small-ticket asset- based lending and equipment leasing, ancillary property insurance All internally managed Variety of regulation around leverage and structure - ECN includes both balance sheet lending and asset management businesses Market limitations on leverage Easy access to ABS markets (e.g., fleet, aviation, rail) ☐ Marlin bank lding company and financial holding company with bank & insurance subsidiaries ■ Element Fleet & ECN both Canadian corporations ■ Taxpayers More similar ■ Diversified loan assets with regulated concentration restrictions (<25% limit for any given asset class) ■ Since 2013, subject to leveraged lending guidelines that effectively limit participation in most middle- market lending Highly regulated ■ Able to operate at significant leverage levels ☐ Low financing risk and cost of funds from access to depository funding - Leverage as high as -9.0x, including deposit funding Bank holding company ■ Taxpayer Commercial mortgage REITS Commercial real estate loans or commercial mortgage-backed securities - In the case of direct mortgages loans, tangible underlying collateral Generally more focused on credit-sensitive assets with less interest rate risk than residential mortgage REITS ■ REIT diversification tests require at least 75% of total assets be in real estate Additionally, must derive at least 75% of gross income from rents from real property, interest on mortgages financing real property or from sales of real estate ☐ Leverage generally 2.0x- 3.0x debt / equity Pass-through entity - Distributes >90% of pre- tax income to avoid corporate-level or excise tax ■ Exempt from Investment Company Act of 1940 and RIC regulations Less similar Confidential 32 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#34Preliminary regression overview Selected commercial banks, mortgage REITS and BDCs P/TBV vs. 2018E ROATCE / ROAE (1) 6.00x (1) 5.00x 4.00x 3.00x 2.00x 1.00x 0.00x Source: Note: 0.0% Osprey 5.0% (23 10.0% Osprey A Commercial banks 15.0% BDCS 20.0% Commercial mREITS 25.0% PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION R²=74.6% 30.0% Asset-based lending & leasing companies SNL Financial and FactSet Market data as of 10/3/17. For commercial-focused banks, P/TBV plotted against 2018E ROATCE: for BDCs, commercial mREITs and commercial finance companies, P/TBV plotted against 2018E ROE "REITS" denotes Mortgage Real Estate Investment Trusts Banks set does not include Raymond James given lack of forward TBVPS estimates. Commercial mREITs do not include CLNS and RSO given lack of forward ROE estimates or RAS given negative common equity per share. BDCs do not include TCAP given I/B/E/S consensus 2018 ROAE estimates for TCAP are not meaningful Represents 0217A reported TBV, adjusted for share repurchases through 9/30/17, per Osprey management. Theoretical liquidation value of balance sheet- intensive financial services company! with ROE = Cost: of Equity 35.0% Confidential 33 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#35Historical price / tangible book value over last 10 years 2.75x 2.50x 2.25x 2.00x 1.75x 1.50x 1.25x 1.00x 0.75x 0.50x 0.25x MEG 8 8 686 Myn Osprey (taxpayer) Preliminary selected internally managed BDCs (pass-through vehicle) Preliminary selected externally managed BDCs (pass-through vehicle) Preliminary selected commercial mREITS (pass-through vehicle) Preliminary selected commercially focused banks (taxpayer) Preliminary selected commercial finance companies (tax-payer) CIT+CSE (taxpayer) Fartus SAR, Francs Include: Hep имму w my Cat -Osprey -Preliminary selected externally managed BDCS -Preliminary selected commercially focused banks -Preliminary selected asset-based lending & leasing companies des Apd Project Capital Corp. (PSC dudes Colory Neth Star Sheet Captal Corp MANG Tange AN A Cape CC B Soar Capital GURO TOO BOC joano CUNS Starwood Pety frut the STC TPG RS Fan Tut RTX en Ast aagent Corp Hudec All Francial in JALLY) American Express GAAPS OMER C FROUM) F Masou becop bc (MGL) Car ancal Holdings on (MF) ICSTRO ta PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION P/TBV vs Osprey One-yr. avg. Three-yr. avg. Five-yr. avg. Ten-yr. avg. 0.69x 0.77x 0.88x +0.58 +0.11 0.73 40.31 0.51 0.18 +0.62 +0.51 +0.28 +1.43 +0.99 +1.00 +1.04 +0.61 +0.24 +0.21 0.72x +0.65 +0.23 +0.76 Servos Com 35 nounod ay 90 Cungoutes CIT +1.16 +1.09 +0.17 +0.15 mamy P/TBV Ten-yr. avg. 0.77x 1.28 0.95 1.05 1.77 1.38 0.97 Min w M Ten-year correlation to Osprey NA 78.9% 69.9 51.1 27.8 69.1 78.6 CAP C 190F Set France Corp (SFSC FSC de Cape (0600 Goman Se BOC0000w Mountan Francia CF Capa Corp (TCPO TPG Specaty Landing inc. (T30 Backstone Mortgage That me 09 Apollo Commencal Real Estate France Ladier CAD Waker & Durine (WOL Real Estate France futine 998) Gani Arbor Heat TARA Com Real E Cop (ACRES Rc Cap Cp RSC RAIT Fow That LADR TEMPS calculations include on coming test in jou PITEE KeyCorp IMEV) Comenica incorporated (CM Wihat Finance Corporation WTSV Francal Grove CV Remond James France OU DOK Fancial Corption BOPWet Dance AM SPEC Te Se Corporation (CE) E Francl Seris Coop O Tide Categs (150) LFl CoF10 T Corponation FAF) Does not include CT in CIT / CSE FC T Morge That MT re (TEPO Bance Corpo Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-17 -Preliminary selected internally managed BDC (1) Preliminary selected commercial mREITs -CIT/CSE your 2.29x 2.01x 1.34x 1.30x 1.05x 1.00x 0.79x(7) Confidential F 34 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#36CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 5. Preliminary financial analysis Confidential 35#37Preliminary financial analysis summary Present value of merger consideration: $12.21-$12.37 per share assuming 12/31/17 closing(2) $12.10-$12.25 per share assuming Q1 2018 closing(2) Headline merger consideration (undiscounted): $12.44 per share assuming 12/31/17 closing: $12.32 per share assuming Q1'18 closing (Sin millions except per share amounts) Preliminary financial analysis (3) Informational reference points Preliminary selected public companies analysis Preliminary selected precedent transactions analysis Preliminary dividend discount analysis 52-week trading range Research analyst stock price targets Osprey closing stock price (10/3/17): $11.88 $8.03 Implied equity value per share $10.49 $11.99 $10.15 $12.00 Source: Osprey management and public filings, SNL Financial and FactSet Note: Market data as of 10/3/17. 111 ======== (2) $13.28 $13.28 $11.99 $13.43 $14.00 Implied adj. Q2¹17A P/TBV multiple 0.70x 0.90x 0.80x 0.90x 0.68x - 0.91x 0.54x 0.80x 0.80x 0.96x PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Selected commentary 0.70x-0.90x reference multiple range applied to 6/30/17A adjusted tangible book value of $622mm(3) ☐ 0.80x -0.90x reference multiple range applied to 6/30/17A adjusted tangible book value of $622mm(3) = 0.75x-0.95x terminal multiple range applied to 12/31/20E tangible book value of $683mm ■ 7.0% - 10.0% discount rate range ■ 52-week intraday low and high as of 10/3/17 Low and high of available Wall Street equity research analyst target prices (two reports) Based on fully diluted shares outstanding, calculated based on 41,480,754 basic shares (ind unvested restricted stock), 0.125 million options and 12.0 million warrants as of 9/30/17, per Osprey management. Assumes treasury stock method for the upfront cash consideration only, per Merger Agreement draft dated 10/5/17. Based on fully diluted shares outstanding, calculated based on 41,480,754 basic shares (incl. unvested restricted stock), 0.125 million options and 12.0 million warrants as of 9/30/17, per Osprey management. Assumes treasury stock method. Calculated based on 0217A tangible book value, adjusted for $3.3 million cash used to repurchase shares and $0.3 million cash proceeds received from exercise of options settled during 7/1/17-9/30/17, per Osprey management Confidential 36 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#38Preliminary selected public companies analysis Selected BDCs (Sin millions, except per share data) Osprey Internally-managed BDCs Main Street Capital * Hercules Tech Growth Cap Triangle Capital . (1) B Externally-managed BDCs Ares Capital Prospect Capital (3) (4) FS Investment Corporation Apollo Investment TPG Specialty Lending, Inc. Golub Capital TCG BDC Inc. New Mountain Finance TCP Capital Solar Capital Goldman Sachs BDC, Inc. Source: Note Fifth Street Finance BlackRock Capital Investment Corp. PennantPark Investment (8) (9) Closing stock % of price as of 10/3/2017 52-wk high $11.88 99.5% $39.96 12.73 14.21 $16.43 6.74 8.55 6.12 20.99 18.77 18.88 14.20 16.54 21.61 22.85 5.56 7.51 7.62 97.8% 81.2 69.8 91.9% 70.4 79.2 89.8 96.6 91.6 98.1 94.7 94.7 94.2 89.3 93.4 89.6 87.8 Enterprise value $3,639 $3,069 1,643 1,148 $11,314 4,683 3,668 2,233 1,821 1,987 1,782 1,904 1,519 807 1,287 1,551 828 988 Overall Osprey management, public lings, SNL Financial and FactSet Market data as of 10/3/17, Balance sheet data as of 6/30/17 unless otherwise noted. "NA" denotes not publicly available. "N denotes not meaninglu Metrics other than Price to TBV shown for informational purposes Based on 1/B/E/S mean consensus estimates, as available No BOCs included record any goodwill or intangibles Represents 02 17A reported TBV. adjusted for share repurchases Tough 9/30/17, per Osprey management HTGC announced its intention to externalize on 5/3/17, causing 12.3% price decrease the following day. On 5/15/17, HTGC indefinitely postponed its previously scheduled shareholder vote on new management agreement and announced expansion of its ongoing review to determine most appropriate investment advisory structure to enhance shareholder value Note (5) (5) 60 6 For informational purposes Market ROAE capitalization $493 (90 $2,270 1,054 678 Mean Median $7,004 2,428 2,101 1,345 1,261 1,120 1,168 1,075 972 913 917 784 549 541 Mean Median Mean Median High Low 2017E 2.9% 11.2% 11.5 NM 11.4% 11.4 8.4% 8.5 8.7 NA 11.6 8.0 12.9 10.9 10.0 7.7 10.8 6.9 10.1 9.4 9.5% 9.4 9.8% PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 10.0 12.9 6.9 2018E 4.4% 11.3% 12.9 NM 12.1% 12.1 10.0% 8.7 9.5 9.6 11.1 ΝΑ 8.6 9.9 9.9 8.3 10.1 7.7 10.4 8.4 9.4% 9.6 9.8% 9.9 12.9 7.7 Current Div yield 0.7% 5.7% 9.7 12.7 9.4% 9.7 9.3% 10.7 10.4 9.8 7.4 6.8 7.8 9.6 8.7 7.4 7.9 9.0 9.6 9.4 8.8% 9.1 8.9% 9.3 12.7 5.7 Price to TBV (2) 0.79x 1.77x 1.29 0.96 1.34x 1.29 0.99x 0.72 0.92 0.91 1.30 1.17 1.04 1.04 1.10 0.99 1.25 0.78 0.90 0.83 1.00x 0.99 1.06x 0.99 1.77 0.72 Denotes BOC with active S8C license and subsidiary Pro forma for $750mm unsecured notes issued 8/7/17 and associated repayment of other indebtedness Pho forma for $90mm cumulative repayment of InterNotes and $21.4mm issuance of InterNotes since 6/30/17. Pho forma for issuance of 220,221 common shares pursuant to exercise of IPO over-alotment Pro forma for issuance of 454,200 common shares pursuant to exercise of over allotment and pro forma for $39 3mm incremental drawdown on credit scles Pro forma for $125mm unsecured notes issued on 8/4/17 and associated repayment of credit facilities. Confidential 37 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved#39Preliminary selected public companies analysis (cont'd) Selected BDCs ($ in millions, except per share amounts) Parameter 6/30/17A Adjusted TBV (¹) Implied equity value reference range (2) Implied equity value per share reference range Metric (2) $622 Low Selected range PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 0.70x High 0.90x Implied equity value reference range Low High $435 $560 $435 $10.49 Source: Osprey management, public filings, SNL Financial and FactSet. Calculated based on 0217A tangible book value, adjusted for $3.3 million cash used to repurchase shares and $0.3 million cash proceeds received from exercise of options settled during 7/1/17-9/30/17, per Osprey management. $560 $13.28 Based on fully diluted shares outstanding, calculated based on 41,480,754 basic shares (incl. unvested restricted stock), 0.125 million options and 12.0 million warrants as of 9/30/17. per Osprey management. Assumes treasury stock method. Confidential 38 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#40Preliminary selected precedent transactions analysis Selected precedent BDC transactions Announcement date 10/03/16 05/23/16 Mean Median Acquiror CION Investment Corporation Source: Note: Ares Capital Corporation (ARCC), American Capital Agency Corporation (AGNC) (1) 3 (30 (4) (5) Implied equity value reference range Implied equity value per share reference range Excluded from mean / median 04/29/15 PennantPark Floating Rate Capital (PFLT) MCG Capital Corporation Target Preliminary selected precedent transactions analysis ($ in millions, except per share amounts) Parameter 6/30/17A Adjusted TBV (3) Credit Suisse Park View BDC (4) American Capital, Ltd. Metric $622 Low Transaction equity value ($ in millions) 0.80x $180 3,989 $175 Selected range PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Price / book value High 0.90x 0.94x¹ Based on fully diluted shares outstanding, calculated based on 41,480,754 basic shares (incl. unvested restricted stock), 0.125 million options and 12.0 million warrants as of 9/30/17, per Osprey management Assumes treasury stock method. Excluded from mean and median due to high concentration of cash as the business was being liquidated (-58% of total assets as of last publicly available balance sheet data prior to announcement) 0.89 0.92x 0.92 0.99x Osprey management, public filings, SNL Financial and FactSet Metrics other than price/ book value shown for informational purposes. Price/bock value adjusted for assignment of $15.0mm of Homeland Healthcare, LLC assets from CION to Credit Suisse Park View post-closing Calculated as net income excluding impact of any unvealized gains or losses. Calculated based on 0217A tangible book value, adjusted for $3.3 million cash used to repurchase shares and $0.3 million cash proceeds received from exercise of options setted during 7/1/17-9/30/17, per Osprey management For informational purposes LTM ROAE Realized NI NII 9.3% 5.4 7.4% 7.4 1.3% $498 0.0% $11.99 (4.4) (2.2%) (2.2) Implied equity value reference range Low High $498 $560 (23.6%) $560 $13.28 Confidential 39 Ⓒ Credit Suisse Group AG and/or its affiliates. Al rights reserved.#41Preliminary dividend discount analysis (5 in millions) Tangible book value % growth Net income Distributed cash flow Dividends Share repurchases Total distributed cash flow % of tangible book value ($ in millions except per share amounts) Discount rate 7.00% (3) (4) 8.50% Quarter ending. Adj. Q2'17A Q3'17E Q4'17E Q1'18E Q2'18E Q3'18E Q4'18E Q1'19E Q2 19E $622(¹) $621 $610 $608 $618 $626 $627 1.0% $619 $613 (1.3%) (1.0%) (0.1%) (0.5%) (0.3%) 1.6% 10.00% 0.750x $56 404 $460 $11.09 0.9% $55 385 $440 $10.61 $7 1.2% $4 2.3% $1 7 $54 367 $421 $10.15 3.7% Source: Osprey management as of September 2017. Note: (1) $5 $1 (0)2) $0 0.1% Terminal multiple of Q4'20E tangible book value 0.850x 0.950x $56 512 $56 458 $514 $12.39 1.6% $55 436 $492 $11.84 3.0% $54 416 $470 $11.33 $6 4.4% $1 $1 0.1% $4 $1 13 $13 2.2% $568 $13.43 2.2% $55 488 $543 $12.96 $6 $54 465 $519 $12.51 $1 13 $13 2.2% $9 $1 13 $13 2.2% $10 $1 13 $13 2.2% $9 $1 $1 0.1% Present value of distributed cash flows Present value of terminal value Present value of distributed cash flows Present value of terminal value Implied equity value Implied equity value per share 3.6% Implied perpetuity growth rate (4) Implied equity value Implied equity value per share (3) Implied perpetuity growth rate Implied equity value Implied equity value per share 5.0% Implied perpetuity growth rate() (3) Present value of distributed cash flows Present value of terminal value (3) $8 $1 $1 0.1% PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Q3'19E Q4'19E Q1'20E Q2'20E Q3'20E Q4'20E $683 $631 0.7% $641 1.7% $651 7.1% $661 1.5% $672 1.7% $4 $1 $1 0.1% Present value date of 6/30/17. Assumes mid-period discounting convention Calculated based on 0217A tangible book value, adjusted for $3.3 million cash used to repurchase shares and $0.3 million cash proceeds received from exercise of options settled during 7/1/17-9/30/17, per Osprey management. Excludes $3.0 million cash used to repurchase shares and cash proceeds received from exercise of options settled during 7/1/17-9/30/17, Based on fully diluted shares outstanding, calculated based on 41,480,754 basic shares (incl. unvested restricted stock), 0.125 million options and 12.0 million warrants as of 9/30/17, per Osprey management. Assumes treasury stock method. Assuming steady state payout rabo of -75% of net income; shown for informational purposes. $10 $1 $1 0.1% $10 $1 $1 0.1% $10 $1 $1 0.1% $11 $1 $1 0.1% 1.6% $10 $1 $1 0.1% Confidential 40 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved#42CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Appendix (Informational) Confidential 41#43CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION A. Supplemental supporting information Confidential 42#44Osprey CVR assumptions | Projected cash flows and timing Per Osprey management in consultation with Osprey's tax advisors 2017 closing - estimated distributions & timing $ in millions Distributions Claim for 2016 overpayment File 2017 federal tax quick refund File final 2017 federal tax return File 2015 NOL carryback claim File 2016 NOL carryback claim File NOL state carryback claim File final 2017 state tax return Total Distributions File final 2017 federal tax return File 2018 short year federal tax return File 2016 NOL carryback claim File 2017 NOL carryback claim File 2016 NOL carryback claim (state) File final 2017 state tax return Plan to file 10/15/2017 1/1/2018 3/31/2018 4/1/2018 4/1/2018 4/1/2018 9/15/2018 Carryback claims subject to JCT review Assumed earliest completion of review - nine months Assumed expected completion of review - 18 months Assumed latest completion of review - 3 years Q1 2018 closing - estimated distributions & timing $ in millions File short-year 2018 state tax return Total Plan to file 4/15/2018 6/30/2018 Carryback claims subject to JCT review Assumed earliest completion of review - nine months Assumed expected completion of review - 18 months Assumed latest completion of review - 3 years 7/1/2018 7/1/2018 7/1/2018 9/15/2018 10/31/2018 Expect funds 11/30/2017 2/15/2018 NM 5/16/2018 5/16/2018 5/16/2018 12/31/2018 Source: Osprey management in consultation with Osprey's tax advisors. Note: Credit Suisse does not provide any tax advice. "NM" denotes not meaningful. 12/31/2018 9/30/2019 3/31/2021 Expect funds NM NM 8/15/2018 8/15/2018 8/15/2018 12/31/2018 NM 3/31/2019 12/31/2019 6/30/2021 Anticipated refund $5.9 1.7 7.7 25.5 0.7 0.1 $41.6 I $25.5 8.5 0.6 2.1 1 Shareholders distributions $36.6 1 Anticipated Shareholders refund distributions 2.3 i 7.7 0.2 1 0.0 $12.5 $1.8 0.5 A 30% of anticipated refund received immediately (per Merger Agreement draft dated 10/5/17) $29.1 29.1 29.1 $7.7 2.5 0.2 0.6 $11.0 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION $25.6 25.6 25.6 Selected commentary -$200 million loss incurred during 2017, assuming transaction closing by 12/31/2017 B Balance of applicable tax refund will be paid at earlier of expiration of statute of limitations for audit (three years from filing) or completion of audit A -$200 million loss incurred during Q1 2018, assuming transaction closing after 12/31/2017 30% of anticipated refund received immediately (per Merger Agreement draft dated 10/5/17) B Balance of applicable tax refund will be paid at earlier of expiration of statute of limitations for audit (three years from filing) or completion of audit ■ Osprey does not expect to make federal or state tax payment in Q1 2018 given transaction timing and magnitude of loss generated Confidential 43 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved#45Osprey book value and share count reconciliation Per Osprey management as of September 2017 Adjusted tangible book value reconciliation (9/30/17) ($ in millions) Adjusted tangible book value Q2 '17A book value (-) Goodwill & intangibles Q2 '17A tangible book value (+) Gross proceeds from options exercised through 9/30/17 (-) Cost of share repurchases through 9/30/17 Adjusted Q2 '17A tangible book value Osprey share count reconciliation (9/30/17) Basic shares outstanding Basic shares outstanding (6/30/17) (+) Options exercised through 9/30/17 (-) Repurchases through 9/30/17 (-) Retirement of restricted stock through 9/30/17 Basic shares outstanding (9/30/17) Options / Warrants Tranche Tranche 1 Tranche 2 Tranche 3 Tranche 4 Tranche 5 Tranche 6 Type Options Options Options Options Options Warrants (¹) Source: Osprey public filings and Osprey management. # Outst. (mm) 0.015 Adjusted for Q1'17 and 02 17 dividends paid, per Osprey management. 0.025 0.050 0.035 12.038 $643.2 (18.3) $625.0 0.3 (3.3) $622.0 41,758,435 35,000 (301,777) (10,904) 41,480,754 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Exercise price $13.22 7.52 7.52 8.74 10.11 12.58 Confidential 44 Credit Suisse Group AG and/or its affiliates. All rights reserved.#46Osprey warrant adjustment for 1H'17A dividends Per Osprey management as of September 2017 Outstanding FSIC warrants reconciliation Number of common shares outstanding prior to distribution Exercise price per share Product (-) Cash dividends paid (¹) Numerator Denominator Revised exercise price Number of warrants: # of shares in warrant Exercise price Product Numerator Denominator Revised number of underlying shares per warrant Original number of warrants Effective number of warrants Source: Osprey public filings and Osprey management. $0.02 per share. Q1'17 42.676 $12.62 $538.6 (0.9) $537.7 42.676 $12.60 1.00 $12.62 $12.62 $12.62 $12.60 1.002 12.000 12.019 Q2'17 42.073 $12.60 $530.1 (0.8) $529.3 42.073 I $12.58 I 1.00 $12.60 $12.60 $12.60 $12.58 1.002 PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 12.019 I 12.038 I Selected commentary Based on indenture for FSIC warrants outstanding Reflects adjustment to number of warrants outstanding and exercise price of outstanding warrants based on distributions made to Osprey stockholders Confidential 45 Credit Suisse Group AG and/or its affiliates. All rights reserved.#47CREDIT SUISSE PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION B. Supplemental information Confidential 46#48Preliminary premiums paid overview Selected financial services transactions with all-cash consideration announced since 2008 Distribution of implied premiums to unaffected stock price % of transaction 12% 2% 2% 10% 14% 12% 15% Source: SDC Platinum, FactSet and public filings. Note: 24% 21% 19% 14% 8% All-cash transactions involving US-listed financial services targets since January 1, 2008, 6% 11% PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION 4% 4% Implied premium to: One-day prior One-month prior #of deals Mean Median 25th percentile 75th percentile 1 <0% 0%-10% 10% - 20% 20% -30% 30% -40% 40% -50% 50% -60% 60% -70% 70%-80% 80%-90% 90 % - 100% >100% Implied premium to unaffected stock price 5% 5% 84 37% 32% 18% 46% 1% 1% Implied premium to one-day prior Implied premium to one-month prior 84 39% 32% 22% 48% 4% 6% Confidential 47 O Credit Suisse Group AG and/or its affiliates. All rights reserved#49PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION Credit Suisse does not provide any tax advice. Any tax statement herein regarding any U.S. federal tax is not intended or written to be used, and cannot be used, by any taxpayer for the purpose of avoiding any penalties. Any such statement herein was written to support the marketing or promotion of the transaction(s) or matter(s) to which the statement relates. Each taxpayer should seek advice based on the taxpayer's particular circumstances from an independent tax advisor. These materials have been provided to you by Credit Suisse in connection with an actual or potential mandate or engagement and may not be used or relied upon for any purpose other than as specifically contemplated by a written agreement with Credit Suisse. In addition, these materials may not be disclosed, in whole or in part, or summarized or otherwise referred to except as agreed in writing by Credit Suisse. The information used in preparing these materials was obtained from or through you or your representatives or from public sources. Credit Suisse assumes no responsibility for independent verification of such information and has relied on such information being complete and accurate in all material respects. To the extent such information includes estimates and forecasts of future financial performance (including estimates of potential cost savings and synergies) prepared by or reviewed or discussed with the managements of your company and/or other potential transaction participants or obtained from public sources, we have assumed that such estimates and forecasts have been reasonably prepared on bases reflecting the best currently available estimates and judgments of such managements (or, with respect to estimates and forecasts obtained from public sources, represent reasonable estimates). These materials were designed for use by specific persons familiar with the business and the affairs of your company and Credit Suisse assumes no obligation to update or otherwise revise these materials. Nothing contained herein should be construed as tax, accounting or legal advice. You (and each of your employees, representatives or other agents) may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of the transactions contemplated by these materials and all materials of any kind (including opinions or other tax analyses) that are provided to you relating to such tax treatment and structure. For this purpose, the tax treatment of a transaction is the purported or claimed U.S. federal income tax treatment of the transaction and the tax structure of a transaction is any fact that may be relevant to understanding the purported or claimed U.S. federal income tax treatment of the transaction. These materials have been prepared by Credit Suisse ("CS") and its affiliates for use by CS. Accordingly, any information reflected or incorporated herein, or in related materials or in ensuing transactions, may be shared in good faith by CS and its affiliates with employees of CS, its affiliates and agents in any location. Credit Suisse has adopted policies and guidelines designed to preserve the independence of its research analysts. Credit Suisse's policies prohibit employees from directly or indirectly offering a favorable research rating or specific price target, or offering to change a research rating or price target, as consideration for or an inducement to obtain business or other compensation. Credit Suisse's policies prohibit research analysts from being compensated for their involvement in investment banking transactions. CREDIT SUISSE SECURITIES (USA) LLC Eleven Madison Avenue New York, NY 10010-3629 +1 212 325 2000 www.credit-suisse.com Confidential 48 Copyright © 2017 Credit Suisse Group AG and/or its affiliates. All rights reserved.