Global CLO Market Trends Quarterly

Transcription

1 Newsletter 4Q16 Global CLO Market Trends Quarterly Contacts U.S. Kevin Kendra Managing Director In this Issue Global Structured Credit 2 3 U.S. Finished Year Strong European Issuance Rises Risk Retention Implications 2017 Notable Updates: U.S. CLO Asset Managers 2016 U.S. CLO Transactions 4 6 Europe Related Research Derek Miller Managing Director derek.miller@fitchratings.com Matthias Neugebauer Managing Director matthias.neugebauer@fitchratings.com U.S. Corporate Loan Credit Opinions (An Explanation and Compilation of Fitch s U.S. Corporate Loan Credit Opinions) (January 2017) 2016 U.S. CLO Refinancings European CLO Transactions 8 9 Fourth-Quarter 2016 U.S. CLO Comparison 9 Appendix 10 Historical U.S. CLO Issuance U.S. CLOs Failing OC Tests Post-2002 U.S. CLO Minimum OC Cushion

2 Global Structured Credit U.S. Finished Year Strong Forty-three U.S. CLOs issued USD21.6 billion of notes and equity in the fourth quarter, higher than the thirdquarter issuance of USD18 billion from 36 CLOs. This brought total broadly syndicated CLO issuance for 2016 to USD63.5 billion of notes and equity from 136 CLOs, which represents nearly a 32% decline from the 2015 totals of USD93.1 billion of notes from 177 deals. New issue-stated spreads on senior notes averaged 147 bps over LIBOR during the fourth quarter, above the yearly average of 155 bps for November claimed the highest volume of issuance for the final quarter as 18 deals priced USD9.1 billion of notes. Initial spread tests were set at 383 bps on average, similar to 386 bps in the third quarter and 377 bps a year ago. Credit enhancement for senior notes remained in line with the year s average of 36.6%. The average initial weighted average life test was 8.3 years, above the average of 8.1 for the entire year. Additionally, USD1.6 billion from three middle-market CLOs were issued during the fourth quarter, bringing 2016 middle-market CLO issuance to USD4.5 billion from 11 CLOs. Refinancings and resets inundated the market in the fourth quarter as 50 U.S. CLOs refinanced liabilities of over USD23.6 billion. The average refinancing shaved 15 bps off its senior liability cost of funding. Resets accounted for USD12.5 billion of refinancing activity. Resets increased reinvestment period, noncall dates, and maturity dates for CLO liabilities along with refinancing of liability spreads. See the table on pages 7 8 for individual transaction details. European Issuance Rises Forty-one European CLOs issued EUR16.8 billion of notes in 2016 compared with 35 CLOs and EUR14 billion in Stated spreads for new issue senior notes decreased to 100 bps over Euribor in the fourth quarter compared with 123 bps in the third quarter, 140 bps in the second quarter and 149 bps in the first quarter. This compares with an average spread of 131 bps in In December, the European Parliament agreed on an amendment that would increase risk retention requirements to 10% in cases where the manager holds a vertical strip of the structure while instances where the manager holds a horizontal portion would continue to require 5%. The proposed amendment also requires that investment in European CLOs is limited to institutional investors regulated in the EU and that every CLO trade made in the secondary market must be disclosed. This amendment is not yet law but has passed through the European Parliament s Economic and Monetary Affairs Committee. Risk Retention Implications 2017 The U.S. rules for risk retention became effective Dec. 24, New transactions began including additional qualifiers in offering documents regarding risk retention compliance, along with greater disclosure of the asset manager s method of compliance. It is widely believed that asset managers as sponsors of CLOs are the party responsible for compliance with risk retention and, therefore, would bear the risk of enforcement action by a regulator in response to noncompliance with risk retention rules. Fitch is not in a position to opine as to whether one structure over another is compliant with U.S. risk retention rules. We expect the asset manager to take prudent steps to ensure compliance with risk retention rules since they would be exposed to enforcement action from a regulator should they be deemed out of compliance by a regulator. If there is an unforeseen event in the future with respect to regulation or litigation affecting CLO notes, we will review the facts and circumstances at that time and take appropriate action. Global CLO Market Trends Quarterly 4Q16 2

3 Notable Updates: U.S. CLO Asset Managers Organizations that manage CLOs evolve over time. Key portfolio management staff, credit analysts and operational staff positions can change. Important relationships with parent or subsidiary entities may also change. This section of the newsletter reports on these types of changes that occur with CLO asset managers. We also include our view of the impact to the asset management firm and its CLO management capabilities. We conduct follow-up communication with all managers experiencing material changes to determine their overall impact on CLO management capabilities. 3i Debt Management (3i DM) loan and CLO platform will be sold to Bahrain-based alternatives manager Investcorp according to an announcement from Oct i DM confirmed to Fitch Ratings that no material changes were expected as a result of the spinoff from 3i Group. There has been one portfolio manager departure since the announcement; however, that individual s responsibilities have been assumed by another experienced analyst. Completion of the sale is expected in the first half of i Debt Management remains an acceptable CLO manager. CIFC Asset Management LLC s (CIFC) merger with F.A.B. Partners became effective on Nov. 21. As Fitch noted in its third-quarter newsletter, no material changes to the firm were expected apart from ownership and this has been confirmed following the merger effective date. CIFC remains an acceptable CLO manager. Insight Investment s U.S. CLO team head, Alex Jackson departed the company in November. Joe Nelson has been promoted to Jackson s former role as head of the Insight US Loans team. Nelson has been a longtime senior member of the team and heavily involved in the day-to-day management of the CLOs, alongside Jackson. Insight Investment remains an acceptable CLO manager. Och-Ziff Loan Management LP s (OZLM) parent company, Och-Ziff Capital Management Group LLC (OZM), announced a settlement with the Department of Justice and Securities and Exchange Commission regarding violations of the Foreign Corrupt Practices Act (FCPA) on Sept. 29, While OZM s parent company avoided a guilty plea as part of the FCPA settlement, Fitch conducted a call with OZLM team members to gauge the overall effect on the firm s CLO management business due to the possibility of reputational damage. Fitch confirmed with OZLM that no members of the CLO platform were involved in the incident and that the announcement had little, if any, impact on the day-to-day CLO operations. Fitch will continue to monitor developments as they arise. Fitch maintains a long-term issuer default rating on OZM of BB+ /Rating Watch Negative. Please refer to Fitch s Nov. 3, 2016 commentary Fitch Downgrades Och-Ziff Capital Management Group LLC to BB+ ; Maintains Rating Watch Negative for further information on OZM. OZLM remains an acceptable CLO manager. Seix Investment Advisors LLC s (Seix) parent Ridgeworth Investments will be acquired by Virtus Investment Partners, Inc. from private equity manager Lightyear Capital. According to both an announcement press release on Dec. 16 and Fitch s communication with Seix, no material changes are expected for the CLO team. Virtus assets under management are expected to double to over $80 billion following the acquisition, providing Ridgeworth and ultimately, Seix, with an enhanced ownership profile in terms of institutional resources. Completion of the sale is expected in June Seix Investment Advisors LLC remains an acceptable CLO manager. Sound Harbor Partners LLC is expected to be acquired by Allianz Global Investors (AllianzGI) during the first quarter of 2017 according to an announcement made Dec. 1. While it is unclear as to the exact role the Sound Harbor Partners team will play in the AllianzGI organization in terms of new CLO issuance, it has been communicated to Fitch that no material changes are expected for the day-to-day management of its existing CLOs. Sound Harbor Partners LLC remains an acceptable CLO manager. Global CLO Market Trends Quarterly 4Q16 3

4 2016 U.S. CLO Transactions Deal Name Deal Size Amount (USD Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment Babson CLO Babson Capital Mgmt Morgan Stanley January Voya CLO Voya Alternative Asset Mgmt JPMorgan January Madison Park XX Credit Suisse Asset Mgmt JPMorgan February Neuberger Berman CLO XXI Neuberger Berman Morgan Stanley February Magnetite XVII BlackRock Financial Mgmt Deutsche Bank February Denali Capital CLO XII Crestline Denali Capital BNP Paribas February Highbridge Loan Management Highbridge Principal Strategies Morgan Stanley March Oaktree EIF I Series A Oaktree Capital Mgmt Wells Fargo March Symphony CLO XVII Symphony Asset Mgmt GreensLedge March Wellfleet CLO Wellfleet Credit Partners Morgan Stanley March Carlyle GMS CLO Carlyle Investment Mgmt JPMorgan March ACAS CLO IX American Money Mgmt Citigroup March Telos CLO Telos Asset Mgmt SG Americas Securities March LCM XXI LCM Asset Mgmt Deutsche Bank March Mill Creek CLO II /86 Advisors Goldman Sachs March Octagon Investment Partners Octagon Credit Investors Bank of America March Upland CLO Invesco Senior Secured Mmgt Citigroup March Canyon Capital CLO Canyon Capital Advisors Goldman Sachs March BlueMountain CLO BlueMountain JPMorgan April Regatta VI CLO Regatta Loan Management Morgan Stanley April AMMC CLO American Money Mgmt Jefferies April Zais CLO ZAIS Leveraged Loan Mgr RBC April Dryden 42 Senior Loan Fund Prudential Investment Mgmt BNP Paribas April OCP CLO Onex Credit Partners Citigroup April Sound Point CLO XI Sound Point Capital Credit Suisse April Palmer Square Loan Funding Palmer Square JPMorgan April Carlyle GMS CLO Carlyle Investment Mgmt Citigroup April HPS Loan Management Highbridge Principal Strategies Citigroup April Race Point X CLO Bain Capital Credit Citigroup April Black Diamond CLO Black Diamond JPMorgan April Trinitas CLO IV Triumph Capital Wells Fargo May Cedar Funding V Aegon USA Investment Mgmt Jefferies May ALM XIX Apollo Credit Mgmt Citigroup May MidOcean Credit CLO V MidOcean Credit Fund Mgmt Credit Suisse May Vibrant CLO IV DFG Investment Advisers Goldman Sachs May Newfleet CLO Newfleet Asset Mgt Wells Fargo May York CLO York Managed Holdings Morgan Stanley May THL Wind River THL Credit RBC May Ocean Trails CLO VI West Gate Nomura May Octagon Investment Partners Octagon Credit Investors Citigroup May Arrowpoint CLO Arrowpoint Asset Mgmt Goldman Sachs May Steele Creek CLO Steele Creek BNP Paribas May KKR CLO KKR Financial Advisors Natixis May TCI-Flatiron CLO TCI Capital Mgmt Bank of America June TIAA CLO I Teachers Advisors Inc Wells Fargo June Voya Voya Alternative Asset Mgmt Citigroup June (table continued) Max. WAL Global CLO Market Trends Quarterly 4Q16 4

5 2016 U.S. CLO Transactions (continued) Deal Name Deal Size Amount (USD Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment TICP CLO V TICP CLO Mgmt Bank of America June ALM XVIII Apollo Credit Mgmt BNP Paribas June Galaxy XXII CLO PineBridge Investments Goldman Sachs June Westcott Park CLO GSO/Blackstone Debt Funds Mgmt Wells Fargo June Seven Sticks CLO Guggenheim Investment Mgmt Citigroup June CLO Guggenheim Investment Mgmt GreensLedge June Venture XXIII CLO MJX Asset Mgmt Credit Suisse June Benefit Street Partners CLO IX Benefit Street Partners Morgan Stanley June Ares XXXIX Ares Mgmt JPMorgan June Anchorage CLO Anchorage Capital Deutsche Bank June GoldenTree Loan Opportunities XII GoldenTree Asset Mgmt GreensLedge June JFIN CLO Apex Credit Partners Jefferies July Annisa CLO Invesco Senior Secured Mmgt Barclays July Sound Point CLO XII Sound Point Capital Credit Suisse July Dryden 43 Senior Loan Fund Prudential Investment Mgmt Deutsche Bank July Madison Park XXI Credit Suisse Asset Mgmt Citigroup July BlueMountain CLO BlueMountain Citigroup July Apidos CLO XXIV CVC Credit Partners Bank of America July Park Avenue Institutional Advisors CLO Park Avenue Institutional Advisors JPMorgan July ICG US CLO ICG Advisors Citigroup July Babson CLO 2016-II Babson Capital Mgmt Morgan Stanley July Canyon Capital CLO Canyon Capital Advisors JPMorgan August Carlyle GMS CLO Carlyle Investment Mgmt Goldman Sachs August KKR CLO KKR Financial Advisors Credit Suisse August Venture XXIV CLO MJX Asset Mgmt Jefferies August Jamestown CLO IX i Debt Mgmt Citigroup August Ballyrock CLO Ballyrock Investment Advisors Goldman Sachs August Trinitas CLO V Trinitas Capital Mgt Morgan Stanley August Arch Street CLO NewStar Financial Credit Suisse August Jay Park CLO GSO/Blackstone Debt Funds Mgmt Citigroup August Dryden 45 Senior Loan Fund Prudential Investment Mgmt Wells Fargo August Neuberger Berman CLO XXII Neuberger Berman Bank of America August Crestline Denali CLO XIV Crestline Denali Capital BNP Paribas September Octagon Investment Partners Octagon Credit Investors Morgan Stanley September Garrison Funding Garrison Investment Group Deutsche Bank September TCI Symphony TCI Capital Mgmt Bank of America September Ares XL Ares Mgmt Goldman Sachs September Madison Park XXII Credit Suisse Asset Mgmt Wells Fargo September OCP CLO Onex Credit Partners Bank of America September LCM XXII LCM Asset Mgmt Natixis September Regatta VII Funding Napier Park BNP Paribas September Zais CLO ZAIS Leveraged Loan Mgr JPMorgan September Cathedral Lake IV Carlson Capital Jefferies September THL Credit Wind River THL Credit Morgan Stanley September Voya CLO Voya Alternative Asset Mgmt Credit Suisse September Wellfleet CLO Wellfleet Credit Partners Citigroup September Magnetite XVIII BlackRock Financial Mgmt Goldman Sachs September Apidos CLO XXV CVC Credit Partners Bank of America October BlueMountain CLO BlueMountain Barclays October AMMC CLO American Money Mgmt Mitsubishi UFJ October Burnham Park CLO GSO/Blackstone Debt Funds Mgmt Wells Fargo October (table continued) Max. WAL Global CLO Market Trends Quarterly 4Q16 5

6 2016 U.S. CLO Transactions (continued) Deal Name Deal Size Amount (USD Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment Cedar Funding VI Aegon USA Investment Mgmt Jefferies October Shackleton 2016-IX Alcentra NY Morgan Stanley October Sound Point CLO XIV Sound Point Capital Credit Suisse October Neuberger Berman CLO XXIII Neuberger Berman Bank of America October TICP CLO VI TICP CLO Mgmt Bank of America October Carlyle GMS CLO Carlyle Investment Mgmt Citigroup October Barings CLO 2016-III Barings LLC Citigroup October Battalion CLO X Brigade Capital Mgmt Citigroup October Salem Fields CLO Guggenheim Investment Mgmt Citigroup October OHA Loan Funding Oak Hill Advisors Morgan Stanley October Atlas Senior Loan Fund VII Crescent Capital Group Morgan Stanley October Bristol Park CLO GSO / Blackstone Debt Funds BNP Paribas November York CLO York Managed Holdings Morgan Stanley November Mountain View Seix Investment Advisors LLC Citigroup November Anchorage CLO Anchorage Capital JPMorgan November MidOcean Credit CLO VI MidOcean Credit Fund Mgmt Jefferies November Palmer Square Loan Funding Palmer Square JPMorgan November Symphony CLO XVIII Symphony Asset Mgmt BNP Paribas November Venture XXV CLO MJX Asset Mgmt Jefferies November Voya CLO Voya Alternative Asset Mgmt Morgan Stanley November Benefit Street Partners CLO X Benefit Street Partners Deutsche Bank November Madison Park XXIV Credit Suisse Asset Mgmt JPMorgan November KKR CLO KKR Financial Advisors Citigroup November OZLM XV Och Ziff Loan Mgmt Bank of America November OHA Credit Partners XIII Oak Hill Advisors GreensLedge November Ares XLI Ares Mgmt BNP Paribas November LCM XXIII LCM Asset Mgmt GreensLedge November Bain Capital Credit CLO Bain Capital Credit Mitsubishi UFJ November Allegro CLO IV AXA Investment Managers Goldman Sachs November Riserva CLO Invesco Senior Secured Mmgt Credit Suisse December HPS Loan Management Highbridge Principal Strategies Citigroup December Catamaran CLO Trimaran Advisors Credit Suisse December TCI-Cent CLO TCI Capital Mgmt Citigroup December CIFC Funding 2016-I CIFC Asset Mgmt BNP Paribas December Octagon Investment Partners Octagon Credit Investors Credit Suisse December Vibrant CLO V DFG Investment Advisers BNP Paribas December Oaktree EIF III Series I Oaktree Capital Mgmt Wells Fargo December GSO / Blackstone Debt Funds Taconic Park CLO Mgmt Citigroup December KVK CLO KVK Credit Strategies Goldman Sachs December Max. WAL 2016 Average Median Minimum Maximum Total $63,532.2 Notes: These spreads represent the spreads of the junior AAA tranches for Symphony CLO XVII and Canyon Capital CLO The senior AAA tranches have spreads of 150 bps and 160 bps. The credit enhancement levels (CE) represent the CE of the junior AAA tranches for Symphony CLO XVII and Canyon Capital CLO The senior AAA tranches have spreads of 43.9% and 45%. Global CLO Market Trends Quarterly 4Q16 6

7 2016 U.S. CLO Refinancings Vintage Deal Name Collateral Manager Refinanced Par Amount Previous 'AAAsf' (USD Mil.) Spread (bps) Current 'AAAsf' Spread (bps) Closing Date Type 2014 Neuberger Berman CLO XVI Neuberger Berman July 2016 Refinancing 2014 KKR Financial KKR Financial Advisors July 2016 Refinancing 2012 Neuberger Berman CLO XII Neuberger Berman July 2016 Refinancing 2014 Carlyle GMS CLO Carlyle Investment Mgmt July 2016 Refinancing 2013 ACAS CLO American Capital Asset Mgmt July 2016 Refinancing 2012 CIFC Funding 2012-I CIFC Asset Mgmt August 2016 Refinancing 2012 Atlas Senior Loan Fund Crescent Capital Group August 2016 Refinancing 2013 Octagon Investment Partners XVII Octagon Credit Investors September 2016 Refinancing 2013 Ares XXV Ares Mgmt September 2016 Refinancing 2012 Carlyle GMS CLO Carlyle Investment Mgmt September 2016 Reset 2012 Atlas Senior Loan Fund II Crescent Capital Group September 2016 Refinancing 2012 Voya CLO Voya Alternative Asset Mgmt September 2016 Reset 2012 Finn Square CLO GSO / Blackstone Debt Funds Mgmt September 2016 Refinancing 2012 Anchorage Capital CLO Anchorage Capital October 2016 Reset 2014 CIFC Funding 2014-V CIFC Asset Mgmt October 2016 Refinancing 2012 Dryden XXV Prudential Investment Mgmt October 2016 Refinancing 2013 Venture XV CLO MJX Asset Mgmt October 2016 Reset 2012 Magnetite VII BlackRock Financial Mgmt October 2016 Reset 2013 Canyon Capital CLO Canyon Capital Advisors October 2016 Reset 2012 THL Credit Wind River CLO THL Credit October 2016 Reset 2012 California Street CLO IX Symphony Asset Mgmt October 2016 Reset 2012 Venture X CLO MJX Asset Mgmt October 2016 Refinancing 2013 ALM VIII Apollo Credit Mgmt October 2016 Reset 2012 Carlyle GMS Carlyle Investment Mgmt October 2016 Reset 2012 Atrium VIII Credit Suisse Asset Mgmt October 2016 Reset 2014 Lockwood Grove Tall Tree Investment Mgmt October 2016 Reset 2014 Anchorage Capital CLO 3 Anchorage Capital October 2016 Refinancing 2014 GoldenTree Loan Opportunities IX GoldenTree Asset Mgmt October 2016 Refinancing 2012 AMMC CLO XI American Money Mgmt October 2016 Reset 2012 OZLM Funding II Och-Ziff Loan Mgmt October 2016 Reset 2014 Cent CLO 22 Columbia Mgmt November 2016 Refinancing 2014 Octagon Investment Partners XXI Octagon Credit Investors November 2016 Refinancing 2012 Galaxy XIV CLO Pinebridge Investments LLC November 2016 Reset 2015 GoldenTree Loan Opportunities XI GoldenTree Asset Mgmt November 2016 Refinancing 2014 Voya CLO Voya Alternative Asset Mgmt November 2016 Refinancing 2013 Arrowpoint CLO Arrowpoint Asset Mgmt November 2016 Reset 2015 Betony CLO Invesco Senior Secured Mgmt November 2016 Refinancing 2015 Magnetite XII BlackRock Financial Mgmt November 2016 Refinancing 2013 ALM VII(R)-2 Apollo Credit Mgmt December 2016 Reset 2014 Catamaran CLO Trimaran Advisors December 2016 Refinancing 2015 CIFC Funding 2015-I CIFC Asset Mgmt December 2016 Refinancing 2014 Apidos CLO XVII CVC Credit Partners December 2016 Refinancing 2014 AMMC CLO 15 American Money Mgmt December 2016 Refinancing 2014 Carlyle GMS CLO Carlyle Investment Mgmt December 2016 Refinancing 2015 Apidos CLO XX CVC Credit Partners December 2016 Refinancing 2012 Jamestown CLO I 3i Debt Mgmt December 2016 Reset 2015 OHA Loan Funding Oak Hill Advisors December 2016 Reset 2012 OHA Credit Partners VII Oak Hill Advisors December 2016 Reset 2013 MidOcean Credit CLO I MidOcean Credit Fund Mgmt December 2016 Reset 2013 OZLM Funding III Och-Ziff Loan Mgmt December 2016 Reset 2013 LCM XIII LCM Asset Mgmt December 2016 Reset 2013 BlueMountain CLO BlueMountain Capital Mgmt December 2016 Reset Global CLO Market Trends Quarterly 4Q16 7

8 2016 U.S. CLO Refinancings (continued) Vintage Deal Name Collateral Manager Refinanced Par Amount (USD Mil.) Previous 'AAAsf' Current 'AAAsf' Spread (bps) Spread (bps) Closing Date Type 2015 Vibrant CLO III DFG Investment Advisors December 2016 Refinancing 2012 Catamaran CLO Trimaran Advisors December 2016 Refinancing 2013 Eaton Vance CLO Eaton Vance Mgmt December 2016 Reset 2014 Dryden 36 Senior Loan Fund Prudential Investment Mgmt December 2016 Refinancing 2013 ALM VII {R} Apollo Global Mgmt December 2016 Reset 2013 Regatta II Funding Napier Park December 2016 Reset 2015 Treman Park CLO GSO/Blackstone Debt Funds Mgmt December 2016 Refinancing 2015 Shackleton 2015-VII CLO Alcentra NY December 2016 Refinancing 2015 Madison Park Funding XVI Credit Suisse Asset Mgmt December 2016 Refinancing 2015 Venture XIX CLO MJX Asset Mgmt December 2016 Refinancing 2015 BlueMountain CLO BlueMountain Capital Mgmt December 2016 Refinancing 2016 European CLO Transactions Deal Name Deal Size (EUR Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment Arbour CLO III Oaktree Citigroup January Blackrock European CLO I Blackrock Credit Suisse February CVC VI CVC Credit Suisse March Bluemountain Eur CLO DAC Bluemountain JPMorgan March Contego CLO III Rothschild Deutsche Bank March Bosphorus CLO II DAC Commerzbank DFM Stifel March Harvest XV i RBC, Resource March Carlyle Global Market Strategies Euro CLO DAC Carlyle Citigroup April Cadogan Square CLO VII CSAM Morgan Stanley April Elm Park CLO GSO/Blackstone Deutsche Bank April Dryden 44 Euro CLO PGIM JPMorgan May ALME Loan Funding V CLO Apollo Barclays May St. Paul's CLO VI ICG Citigroup May Aurium II Spire Credit Suisse May Avoca CLO XVI KKR BNP Paribas June Babson Euro CLO Babson JPMorgan June Cairn CLO VI Cairn Barclays June Laurelin CLO Goldentree Credit Suisse June Accunia European CLO I Accunia Deutsche Bank July CVC Cordatus Loan Fund VII CVC Citigroup July Jubilee CLO XVII Alcentra Morgan Stanley July Harvest XVI CLO I Credit Suisse July Adagio V CLO AXA JPMorgan July Griffith Park CLO GSO/Blackstone Barclays July Toro Euorpean CLO Chenavari Citigroup August Dryden 46 Euro CLO PGIM Barclays September Euro Galaxy V Pinebridge JPMorgan September Arbour CLO IV DAC Oaktree Barclays September Clarinda Park CLO GSO/Blackstone Citigroup September Tikehau CLO II B.V Tikehau Capital Citigroup October Max. WAL Global CLO Market Trends Quarterly 4Q16 8

9 2016 European CLO Transactions (continued) Deal Name Deal Size (EUR Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment Avoca CLO XVII KKR Morgan Stanley October Carylyle Global Market Carlyle Bank of America October BlackRock European CLO II Blackrock Citigroup October OZLME CLO Och Ziff Bank of America November GLG Euro CLO II Man GLG Morgan Stanley November Cadogan Square CLO VIII CSAM Barclays November Ares European CLO VIII Ares Management Goldman November Halcyon Loan Advisors Halcyon Citigroup November Dryden 48 Euro CLO PGIM BNP Paribas December Oak Hill Euro CLO V Oak Hill Goldman December Cairn CLO VII Cairn Barclays December Max. WAL 2016 Average Median Minimum Maximum Total 16,818 Fourth-Quarter 2016 U.S. CLO Comparison Average Median Minimum Maximum Initial Senior OC Test Cushion (%) Max. WAL (Years) Initial Target Moody's WARF Max. CCC Assets (%) Min. WAS (%) Initial WAS All-In Rate (%) Max. Fixed Assets (%) Min. WAC (%) Max. Single Obligor (Top 5) (%) Max. Single Obligor (Below Top 5) (%) Max. Single Industry (Largest) (%) Max. Single Industry (2nd Largest) (%) Max. Single Industry (3rd Largest) (%) Max. Single Industry (4th Largest) (%) Max. Single Industry (Below Top 4) (%) Min. Senior Secured (%) Max. 2nd Lien (%) Max. Senior Unsecured (%) Max. Other Than U.S. (%) Max. Covenant-Lite (%) Max. Long-Dated Collateral (%) Expected Ramp-Up By Closing (%) Global CLO Market Trends Quarterly 4Q16 9

10 Appendix Global CLO Market Trends Quarterly 4Q16 10

11 ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Copyright 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY Telephone: , (212) Fax: (212) Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third-party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided as is without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the taxexempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no ) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act Global CLO Market Trends Quarterly 4Q16 11