#1CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) CREDIT SUISSE Project Osprey Board of Directors discussion materials Confidential November 20, 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").#2CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) CREDIT SUISSE 1. Summary of hypothetical impact of proposed tax legislation Excluding GSO/First Eagle transaction Confidential 1#3CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical impact of selected provisions in proposed tax legislation Illustrative assumptions as of November 2017 Osprey's Board of Directors has requested a hypothetical sensitivity of Osprey management's September 2017 standalone financial forecast taking into consideration, for illustrative purposes, the "Tax Cuts and Jobs Act" legislation proposed by the U.S. House of Representatives Committee on Ways and Means and the following selected assumptions: ■ Does not contemplate First Eagle Investment Management LLC ("First Eagle") and GSO Capital Partners LP ("GSO") transaction Excluded from sensitivity for illustrative purposes only ■ Osprey management's ability to execute on and achieve Osprey's September 2017 standalone financial forecast is unaffected - No change in market environment impacting Osprey operations (e.g., origination volume, net interest margin, etc.) ■ Marginal corporate tax rate reduction: 35% federal tax rate reduced to 20% beginning in 2018 - Implied Osprey marginal corporate tax rate reduced from -41% to -30%, per Osprey management - Portion of Osprey existing net deferred tax assets of $32 million written off by ~$11 million, per Osprey management ■ 50% dividend payout ratio on any incremental net earnings (due to restrictions from builders basket on high-yield notes), per Osprey management Osprey management September 2017 standalone forecast of $0.02 dividend per share represents approximately 11%, 10% and 7% payout ratio in 2018E, 2019E and 2020E, respectively Source: Osprey management and U.S. House of Representatives Committee on Ways and Means "Tax Cuts and Jobs Act" released on 11/2/17. Note: Credit Suisse does not provide any tax advice. Hypothetical sensitivity does not address any differences in the Chairman of U.S. Senate Committee on Finance's markup on the legislation proposed by U.S. House of Representatives Committee on Ways and Means. Confidential 2 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#4CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical impact of selected provisions in proposed tax legislation Illustrative Osprey standalone financial summary sensitivity (excl. transaction) ($ in millions) Earnings before tax Osprey management September 2017 forecast Implied pro forma forecast Variance-$/% Net income Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - $ / % Book value Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - $/% After-tax ROAE Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance-bps Distributed cash flow (2) Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - $ / % Dividend payout ratio Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance- pts Warrants outstanding (mm) Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - #/% Source: Osprey management. Note: Credit Suisse does not provide any tax advice. (2) (3) 2018E $49 49 $29 24 ($5) / (18%) $630 625 ($5) / (1%) (82)bps Includes impact of selected provisions in proposed tax legislation outlined on prior slide. Includes share repurchases and ordinary dividends. Includes $50 million of share repurchases. Fiscal year ending 12/31 2019E 4.5% 3.7% $53 (3) 53 11.0% 13.5% 3pts 12.161 12.161 $53 53 $31 37 $6/19% $661 659 ($2) / (0%) 4.8% 5.7% 93bps $3 6 $3/97% 9.6% 16.0% 6pts 12.239 12.316 0.077/1% 2020E $69 69 $41 48 $8/19% $702 703 $1/0% 6.0% 7.1% 112bps $3 7 $4/ 126% 7.4% 14.1% 7pts 12.319 12.500 0.181/ 1% Selected commentary ■ Incremental potential dilution (increase in warrants outstanding) resulting from incremental dividend distributions - Based on indenture for Franklin Square Investment Corporation ("FSIC") warrants outstanding Confidential 3 O Credit Suisse Group AG and/or its affiliates. All rights reserved.#5CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Illustrative regression overview Selected commercial banks, mortgage REITS and BDCs P/TBV vs. 2018E ROATCE / ROAE (1) 6.00x 5.00x 33 4.00x 3.00x 2.00x 1.00x 0.00x 0.0% Osprey 5.0% ●Osprey 10.0% Commercial banks BDCs Currer after 2018E ROAE (4.5%) implies P/TBV of 0.44x Revised adjusted after-tax 2018E ROAE (5.4%) implies P/TBV of 0.59x Current after-tax 2019E ROAE (4.8%) implied P/TBV of 0.50x Revised adjusted after-tax 2019E ROAE (5.7%) implies P/TBV of 0.65x 15.0% Commercial mREITS 20.0% y = 0.1789x -0.3646 R² = 0.699 25.0% 30.0% 3 Asset-based lending & leasing companies +Osprey implied Source: SNL Financial and FactSet Note: Market data as of 11/17/17. For commercial focused banks, P/TBV plotted against 2018E ROATCE; for BDCs, commercial "REITS denotes Mortgage Real Estate Investment Trusts. REITs and commercial finance companies, P/TBV plotted against 2018E ROE. Banks set does not include Raymond James given lack of forward TBVPS estimates Commercial REITs 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 Calculated using hypothetical Osprey book value and net income assuming alustrative impact of selected provision in proposed tax legislation. Net income adjusted for implied tax provision of -$15 million (based on-30% hypothetical marginal corporate tax rate per Osprey management) and excludes illustrative impact of -$11 million net deferred tax asset write-down 35.0% Confidential 4 O Credit Suisse Group AG and/or its affiliates. All rights reserved.#6CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Selected Wall Street equity research analyst estimates Selected commentary ■ Primary valuation methodology of both Wall Street equity research analyst's stock price targets is a discount to Osprey's actual book value ■ On October 17, 2017, Janney Montgomery Scott reduced its stock price target from $14.00 to $12.38 per share based on midpoint at announcement of expected transaction consideration to be paid to Osprey stockholders ($12.32-$12.44 per share) Summary of selected metrics as of 8/2/17 ($ in millions, except per share amounts) Osprey unaffected stock price target P/BV multiple (primary methodology) 2018E EPS Implied 2018E P/E 2018E after-tax ROAE Source: Wall Street equity research. Note: "NA" denotes not publicly available. Janney Montgomery Scott $14.00 0.90x $0.67 20.9x ΝΑ Keefe Bruyette & Woods $12.00 0.80x $0.71 16.9x 4.4% Confidential 5 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#7CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Year-to-date relative historical stock price performance 140 130 120 110 100 90 80 Osprey S&P 500 financials index KBW regional banks index Jan-17 Feb-17 Source: FactSet and press releases. Note: Market data as of 11/17/17. YTD 1/3/17-11/17/17 28.5% 11.0% (4.2%) Мили Day prior to proposed Tax Cuts and Jobs Act 1/3/17-11/1/17 32.5% 13.3% (2.5%) Proposed Tax Cuts and Jobs Act released 11/1/17 - 11/17/17 (3.0%) (2.0%) (1.7%) mumquam Mar-17 Apr-17 May-17 Jun-17 I Osprey volume Osprey - S&P 500 financials 11/2/17: US House of Representatives releases proposed Tax Cuts and Jobs Act mny Jul-17 Aug-17 Sep-17 Oct-17 KBW regional banks index 3,500 3,000 28.5% 2,500 2,000 11.0% 1,500 1,000 (4.2%) 500 0 Nov-17 Confidential 6 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#8CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) CREDIT SUISSE 2. Summary of hypothetical impact of proposed tax legislation Including GSO/First Eagle transaction Confidential 7#9CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical impact of selected provisions in proposed tax legislation Illustrative assumptions as of November 2017 Osprey's Board of Directors has requested a hypothetical sensitivity of Osprey management's September 2017 standalone financial forecast taking into consideration, for illustrative purposes, the "Tax Cuts and Jobs Act" legislation proposed by the U.S. House of Representatives Committee on Ways and Means and the following selected assumptions: Announced transaction with First Eagle and GSO is terminated and operating covenants Osprey agreed to in connection with such transaction have not affected Osprey management's ability to execute on and achieve Osprey's September 2017 standalone financial forecast - No change in market environment impacting Osprey operations (e.g., origination volume, net interest margin, etc.) ■ $15 million termination fee and $5 million estimated legal and financial advisor fees expensed in 2018 and deductible for GAAP and tax purposes (¹) ■ Marginal corporate tax rate reduction: 35% federal tax rate reduced to 20% beginning in 2018 - Implied Osprey marginal corporate tax rate reduced from -41% to -30%, per Osprey management - Portion of Osprey existing net deferred tax assets of -$32 million written off by -$11 million, per Osprey management ■ 50% dividend payout ratio on any incremental net earnings (due to restrictions from builders basket on high-yield notes), per Osprey management Osprey management September 2017 standalone forecast of $0.02 dividend per share represents approximately 11%, 10% and 7% payout ratio in 2018E, 2019E and 2020E, respectively Source: Osprey management and U.S. House of Representatives Committee on Ways and Means "Tax Cuts and Jobs Act released on 11/2/17, and executed Merger Agreement and executed Asset Purchase Agreement each dated 10/16/17, Note: Credit Suisse does not provide any tax advice. (1) Hypothetical sensitivity does not address any differences in the Chairman of U.S. Senate Committee on Finance's markup on legislation proposed by U.S. House of Representatives Committee on Ways and Means Termination fee payable to GSO of $10.5 million and First Eagle of $4.5 million. Estimated advisor fees do not include advisor fees contingent upon consummation of GSO/First Eagle transaction. Confidential 8 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#10CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical impact of selected provisions in proposed tax legislation Illustrative Osprey standalone financial summary sensitivity (incl. transaction w/termination) ($ in millions) Earnings before tax Osprey management September 2017 forecast Implied pro forma forecast Variance-$/% Net income Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - $ / % Book value Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - $/% After-tax ROAE Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance-bps Distributed cash flow (2) Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - $ / % Dividend payout ratio Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance- pts Warrants outstanding (mm) Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - #/% Source: Osprey management. Note: Credit Suisse does not provide any tax advice. (2) (3) 2018E $49 29 ($20) / (41%) $29 10 ($19) / (67%) $630 611 ($19) / (3%) Fiscal year ending 12/31 2019E (300)bps 4.5% 1.5% $53 (3) 39 ($14) / (26%) 22pts Includes impact of selected provisions in proposed tax legislation outlined on prior slide. Includes share repurchases and ordinary dividends. Includes $50 million of share repurchases. 11.0% 33.2% 12.161 12.161 $53 53 $31 37 $6/19% $661 645 ($16) / (2%) 4.8% 5.9% 106bps $3 6 $3/97% 9.6% 16.0% 6pts 12.239 12.316 0.077/1% 2020E $69 69 $41 48 $8/19% $702 689 ($13) / (2%) 6.0% 7.2% 127bps $3 7 $4/ 126% 7.4% 14.1% 7pts 12.319 12.500 0.181/ 1% Selected commentary Based on incremental net income, implies payback period greater than three years to offset approximately $20 million in estimated fees associated with terminating GSO/ First Eagle transaction ■ Incremental potential dilution (increase in warrants outstanding) resulting from incremental dividend distributions - Based on indenture for FSIC warrants outstanding Confidential 9 ● Credit Suisse Group AG and/or its affiliates. All rights reserved.#11CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) CREDIT SUISSE Appendix Confidential 10#12CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical impact to Osprey tax rate and net deferred tax asset Illustrative assumptions per Osprey management as of November 2017 Hypothetical Osprey marginal corporate tax rate summary Current Osprey marginal corporate tax rate Corporate federal tax rate Corporate state and local tax rate (incl. deductions) Current marginal corporate tax rate Hypothetical Osprey marginal corporate tax rate Proposed corporate federal tax rate Corporate state and local tax rate (no deductibility) Hypothetical marginal corporate tax rate Hypothetical deferred tax asset write-off summary As of 9/30/2017 ($ in millions) Gross deferred tax asset Gross deferred tax liability Net deferred tax asset At current rate (35%) $36 4 $32 2 35% 6% 41% At proposed Hypothetical rate (20%) write-off $24 $21 20% 10% 30% ($11) Selected commentary ■ Proposed corporate federal tax rate reduction from 35% to 20% ■ Proposed legislation would eliminate deductibility of state and local taxes - Implies -30% hypothetical marginal corporate tax rate including full burden of corporate state and local taxes (-10%), per Osprey management Selected commentary Based on preliminary review by Osprey management of net deferred tax asset balance as of 9/30/17 ■ Per Osprey management, proposed corporate federal tax rate reduction from 35% to 20% would result in a reduction of Osprey's net deferred tax asset book value, with reduction in book value hypothetically assumed to be written off in 2018 Source: Osprey management and U.S. House of Representatives Committee on Ways and Means "Tax Cuts and Jobs Act" released on 11/2/17. Note: Credit Suisse does not provide any tax advice. Confidential 11 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#13CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical Osprey standalone financial summary sensitivity FY'17E-FY'20E per Osprey management as of November 2017 Fiscal year ending 12/31 2017E 2018E 2019E ($ in millions) Adjusted net income GAAP earnings before tax Adjusted effective tax rate I(-) Adjusted tax provision (-) Hypothetical net deferred tax asset write-off Adjusted net income Current Osprey management net income Implied variance in Osprey net income Adjusted book value roll forward Adjusted book value (Beginning balance) (+) Osprey management change in book value (+/-) Variance in Osprey net income excl. net DTA write-off (-) Hypothetical net deferred tax asset write-off (-) Implied incremental dividends (50% payout ratio) Adjusted book value (Ending balance) Current Osprey management book value Implied variance in Osprey book value Return on average equity ("ROAE") Adjusted average equity (year-end average) Adjusted after-tax ROAE Current Osprey management after-tax ROAE Implied variance in Osprey after-tax ROAE $28 41.3% (11) Source: Osprey management. Note: Credit Suisse does not provide any tax advice. (1) $16 16 $651 $49 51.9%) (15) (11) $24 29 ($5) $651 (21) 5 (11) $625 630 ($5) $638 3.7% 4.5% (82)bps "GAAP denotes Generally Accepted Accounting Principles and "DTA" denotes Deferred Tax Assets. Estimated advisor fees do not include advisor fees contingent upon consummation of GSO/First Eagle transaction. Includes hypothetical net deferred tax asset write-off as a permanent difference between GAAP book income and taxable income. $53 30.0% (16) $37 31 $6 $625 31 6 $659 661 ($2) $642 5.7% 4.8% 93bps 2020E $69 30.0% (21) Calculated based on adjusted GAAP earnings before tax multiplied by Osprey hypothetical marginal corporate tax rate of -30% $48 41 $8 $659 41 8 $703 702 $1 $681 7.1% 6.0% 112bps Confidential 12 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#14CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical Osprey standalone financial summary sensitivity (cont'd) FY'17E-FY'20E per Osprey management as of November 2017 Fiscal year ending 12/31 2018E 2019E ($ in millions) Adjusted distributed cash flow (1) Current Osprey management distributed cash flow (+) Implied incremental dividends (50% payout ratio) Adjusted distributed cash flow Current Osprey management distributed cash flow Implied variance in Osprey distributed cash flow Source: Osprey management. Note: Credit Suisse does not provide any tax advice. ចំ (2) 2017E 6mo. 17E $1(2) $1 2018E $53 $53 53 Includes share repurchases and ordinary dividends. Excludes $3.0 million cash used to repurchase shares net of cash proceeds received from exercise of options settled during 7/1/17-10/16/17. 2019E $3 3 $6 3 $3 2020E 2020E $3 4 $7 3 $4 Confidential 13 Credit Suisse Group AG and/or its affiliates. All rights reserved.#15CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical Osprey standalone financial summary sensitivity FY'17E-FY'20E per Osprey management as of November 2017 Fiscal year ending 12/31 2018E 2019E ($ in millions) Adjusted net income GAAP earnings before tax (-) Estimated advisor fees (legal and financial) (¹) (-) Transaction termination fee Adjusted GAAP earnings before tax Adjusted effective tax rate I (-) Adjusted tax provision - Hypothetical net deferred tax asset write-off Adjusted net income Current Osprey management net income Implied variance in Osprey net income Adjusted book value roll forward Adjusted book value (Beginning balance) (+) Osprey management change in book value (+/-) Variance in Osprey net income excl. net DTA write-off (-) Hypothetical net deferred tax asset write-off (-) Implied incremental dividends (50% payout ratio) Adjusted book value (Ending balance) Current Osprey management book value Implied variance in Osprey book value Return on average equity ("ROAE") Adjusted average equity (year-end average) Adjusted after-tax ROAE Current Osprey management after-tax ROAE Implied variance in Osprey after-tax ROAE 2017E (1) $28 $28 41.3% (11) $16 16 $651 $49 (5) (15) $29 66.9% $10 29 ($19) $651 (21) (9) (11) $611 630 ($19) $631 1.5% 4.5% (300)bps $53 $53 30.0% (16) $37 31 $6 $611 31 6 (3) $645 661 ($16) $628 5.9% 4.8% 106bps 2020E $69 $69 30.0% (21) $48 41 $8 $645 41 Calculated based on adjusted GAAP earnings before tax multiplied by Osprey hypothetical marginal corporate tax rate of -30% Source: Osprey management. Note: Credit Suisse does not provide any tax advice. "GAAP denotes Generally Accepted Accounting Principles and "DTA" denotes Deferred Tax Assets. Estimated advisor fees do not include advisor fees contingent upon consummation of GSO/First Eagle transaction. Includes hypothetical net deferred tax asset write-off as a permanent difference between GAAP book income and taxable income. 8 $689 702 ($13) $667 7.2% 6.0% 127bps Confidential 14 Credit Suisse Group AG and/or its affiliates. All rights reserved.#16CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical Osprey standalone financial summary sensitivity (cont'd) FY'17E-FY'20E per Osprey management as of November 2017 Fiscal year ending 12/31 2018E 2019E ($ in millions) Adjusted distributed cash flow Current Osprey management distributed cash flow (-) Estimated after-tax advisor fees (legal and financial) (2) (-) Transaction termination fee (+) Implied incremental dividends (50% payout ratio) Adjusted distributed cash flow Current Osprey management distributed cash flow Implied variance in Osprey distributed cash flow 2017E (2) (3) 6mo. 17E $1(3) 2018E $53 (11) $39 53 ($14) Source: Osprey management. Note: Credit Suisse does not provide any tax advice. Includes share repurchases and ordinary dividends. Estimated advisor fees do not include advisor fees contingent upon consummation of GSO/First Eagle transaction. Excludes $3.0 million cash used to repurchase shares net of cash proceeds received from exercise of options settled during 7/1/17-10/16/17. 2019E $3 3 $6 3 $3 2020E 2020E $3 4 $7 3 $4 Confidential 15 Ⓒ Credit Suisse Group AG and/or its affiliates. All rights reserved.#17CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical Osprey warrant adjustment for incremental dividends Per Osprey management as of November 2017 Selected commentary Based on indenture for FSIC warrants outstanding 12.0 million warrants outstanding with exercise price of $12.62 Reflects adjustment to number of warrants outstanding and exercise price of outstanding warrants based on distributions made to Osprey stockholders Outstanding FSIC warrants reconciliation ($ in millions) Number of common shares outstanding prior to distribution Exercise price per share Product (-) Cash dividends to be distributed per Osprey standalone model(¹) (-) Implied incremental dividends (50% payout ratio)(2) 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 (millions) Effective number of warrants (millions) Source: Osprey public filings and Osprey management. $0.02 per share. Additional distributable income based on 50% payout ratio. (1) (2) 2017E 41.528 $12.62 $524 (3.4) $521 41.528 $12.54 1.00 $12.62 $12.62 $12.62 $12.54 1.01 12.000 12.077 2018E 37.220 $12.54 $467 (3.2) $464 37.220 $12.45 1.00 $12.54 $12.54 $12.54 $12.45 1.01 12.077 12.161 2019E 37.470 $12.45 $467 (3.0) (2.9) $461 37.470 $12.30 1.00 $12.45 $12.45 $12.45 $12.30 1.01 12.161 12.316 2020E 37.701 $12.30 $464 (3.0) (3.8) $457 37.701 $12.12 1.00 $12.30 $12.30 $12.30 $12.12 1.01 12.316 12.500 Confidential 16 Credit Suisse Group AG and/or its affiliates. All rights reserved.#18CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Osprey standalone financial summary FY'14A-FY'20E per Osprey management as of September 2017 Fiscal year ending 12/31 2017E (5 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) 2014A $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. (1) Includes senior unsecured notes net of capitalized financing fees. Includes share repurchases and ordinary dividends. (2) 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 4,061 372 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 $21 2018E $2,175 $7,830 6.77% 0.8% 35.0% 1.86% $3,629 0.47% 0.63% 7.7% 4.5% 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% 6.0% 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 17 ● Credit Suisse Group AG and/or its affiliates. All rights reserved.#19CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Osprey warrant adjustment for dividends Per Osprey management as of September 2017 Selected commentary Based on indenture for FSIC warrants outstanding - 12.0 million warrants outstanding with exercise price of $12.62 Reflects adjustment to number of warrants outstanding and exercise price of outstanding warrants based on distributions made to Osprey stockholders Outstanding FSIC warrants reconciliation ($ in millions) Number of common shares outstanding prior to distribution Exercise price per share Product (-) Cash dividends to be distributed per Osprey standalone model(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 (millions) Effective number of warrants (millions) Source: Osprey public filings and Osprey management. $0.02 per share. 2017E 41.528 $12.62 $524 (3.4) $521 41.528 $12.54 1.00 $12.62 $12.62 $12.62 $12.54 1.01 12.000 12.077 2018E 37.220 $12.54 $467 (3.2) $464 37.220 $12.45 1.00 $12.54 $12.54 $12.54 $12.45 1.01 12.077 12.161 2019E 37.470 $12.45 $467 (3.0) $464 37.470 $12.37 1.00 $12.45 $12.45 $12.45 $12.37 1.01 12.161 12.239 2020E 37.701 $12.37 $467 (3.0) $464 37.701 $12.29 1.00 $12.37 $12.37 $12.37 $12.29 1.01 12.239 12.319 Confidential 18 Ⓒ Credit Suisse Group AG and/or its affiliates. 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