LOAN MARKET DATA AND ANALYTICS BY THOMSON REUTERS LPC

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1 LOAN MARKET DATA AND ANALYTICS BY THOMSON REUTERS LPC GLOBAL LOAN MARKET DATA AND ANALYTICS BY THOMSON REUTERS LPC Secondary Market Bid Levels: Europe Slide 2 European CLO New Issue Volume Monthly Slide 3 European CLO AAA Spreads Slide 4 U.S. vs European CLO AAA Spreads BSL Slide 5 European CLO Assets Under Management by Vintage Slide 6 Distribution of Secondary Market Prices of Loan Assets in European CLOs Slide 7 Average Bid of European CLO Portfolios (Underlying Assets) Slide 8 Weighted Average Bid of CLO Portfolios (Underlying Assets): U.S. vs. Europe Slide 9 About Thomson Reuters LPC / Contact Us Slide 10 1

2 Secondary Market Bid Levels: Europe The average bid on the European Leveraged 40 dropped to the 98.2 context before rebounding to finish the month up 8bps to the 98.5 context. Secondary levels remain well below levels recorded earlier in the year and in Avg. Bid (% of Par) European Leveraged 40 > % 90% 80% 70% 60% 50% 40% 30% 20% 10% Par Plus Percentage 94 2-Jan-13 2-Mar-13 2-May-13 2-Jul-13 2-Sep-13 2-Nov-13 2-Jan-14 2-Mar-14 2-May-14 2-Jul-14 2-Sep-14 2-Nov-14 2-Jan-15 2-Mar-15 2-May-15 2-Jul-15 2-Sep-15 2-Nov-15 2-Jan-16 2-Mar-16 2-May-16 2-Jul-16 2-Sep-16 2-Nov-16 2-Jan-17 2-Mar-17 2-May-17 2-Jul-17 2-Sep-17 2-Nov-17 2-Jan-18 2-Mar-18 2-May-18 2-Jul-18 0% 2

3 European CLO New Issue Volume - Monthly The European CLO market was typically slow in August with three new issues pricing for 1.3 billion. Volume for the first half of the year stands at 19.8 billion, compared to 10.4 billion a year ago Issuance ( Bils.) Number of CLOs 10 CLO Issuance ( Bils.) Number of CLOs Issued Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18-3

4 European CLO AAA Spreads* European CLO AAA discount margins ticked higher in August to an average of 90 bps. *based on deals where discount margin is available 180 AAA Discount Margin (Bps) Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Average 4

5 U.S. vs European CLO AAA Spreads BSL Average DMs on CLO AAA liabilities widened across both U.S. and European CLOs. *based on deals where discount margin is available AAA Discount Margin (Bps) U.S Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Europe 5

6 European CLO Assets Under Management by Vintage European CLOs issued on or after 2014 make up most of AUM <= >= Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 CLO APB ( Bils.) 6

7 Distribution of Secondary Market Prices of Loan Assets in European CLOs For European deals, the share of par-plus loans in portfolios increased to 29% in August from 9% the month prior. The percentage of loans bid below 90 ticked up again to 5%. 80% Share of Loan Holdings 70% 60% 50% 40% 30% 20% Aug-17 Dec-17 Jul-18 Aug-18 10% 0% <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Avg. Bid (% of Par) 7

8 Average Bid of European CLO Portfolios (Underlying Assets) The average bid of European CLOs asset portfolios increased 38 bps to in August. The median bid was also higher to EUR Avg. Bid EUR Median Bid Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Bid (% of Par) 8

9 Weighted Average Bid of CLO Portfolios (Underlying Assets): U.S. vs Europe Looking at the distribution of CLO portfolio prices, less than 1% of U.S. CLOs have a weighted average bid at or above par, 85% have a WAB between 98 and par. In European portfolios, 91% have a weighted average bid between 98 and par, while 1% of Euro CLOs have a WAB above par. 70% 60% 50% U.S. Europe Share of CLOs 40% 30% 20% 9 10% 0% <70 70 to <80 80 to <85 85 to <86 86 to <87 87 to <88 88 to <89 89 to <90 90 to <91 91 to <92 92 to <93 93 to <94 94 to <95 95 to <96 96 to <97 97 to <98 98 to <99 99 to <100 >=100 *Excludes CLOs less than $50 million in size. CLO Weighted Avg. Bid (% of Par)

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