LEVERAGED LOAN MONTHLY

Transcription

1 LEVERAGED LOAN MONTHLY THOMSON REUTERS LPC NOVEMBER 2016 Colm (C.J.) Doherty Director of Analysis Hugo Pereira Senior Market Analyst

2 LEVERAGED LOAN MONTHLY Key Points Slides 3-5 Leveraged Loan Market Overview Slides 6-29 High Yield Bond Market Overview Slide Investor Overview Slide CLO Market Analysis Slide List of Recent CLOs / League Tables Slide Loan Fund Flows & Returns Slide

3 KEY POINTS Primary Market: Year to date leveraged loan issuance is at $751 billion, up 2% from the same period a year ago. Breaking it out by segment, pro rata volume at $387 billion is down 16%, while the $364 billion of institutional deal flow is up 34%. Technology, retail and healthcare are the top industries in terms of leveraged loan issuance this year. Overall institutional loan issuance is at $372 billion so far in 2016, a gain of around 34%. Refinancing activity has jumped by 51% this year, outpacing growth in new money issuance which is up 21% year over year. High yield bond issuance amounted to $14.5 billion in November. Year-to-date issuance is at $204 billion, which is down 18% from the same period last year. So far in 4Q16, yields have tightened to their lowest level this year. In the large corporate market, new issue yields have tightened to an average of 4.99%, while middle market yields have declined to 6.24%. There was one institutional loan default in November, Bennu Oil & Gas LLC with $487 million of institutional loan debt. The trailing twelve month loan default rate fell to 1.9%. Cont d on next slide 3

4 KEY POINTS Secondary Market: Loan returns slipped in November, with 0pen-end loan fund returns averaging 0.21%, while the S&P/LSTA index gained 0.26%. Year to date, open-end loan funds have gained 7.7%, while the index is up 8.9%. After a period of climbing prices in recent months, the secondary market edged lower in November. Institutional term loans finished the month off 14 bps at The flow name SMi100 was down 39 bps to As of month-end November, 43% of loans are priced at 100-plus, down from 45% a month earlier. On a dollar weighted basis the par-plus share is higher at 52%. At the lower end of the price scale, 9% of credits are bid below 90 cents on the dollar, up marginally from 8% in the prior month. Looking across industries, the sectors bid highest are transportation (100.09), construction (100.02) and hotel & gaming (99.93). The largest sectors of technology and healthcare are bid at and 97.97, respectively. European flow names remain highly priced, edging 4 bps higher in November to an average bid of The share of par-plus loans in U.S. CLOs slipped to 48% (from 51%) in November. In European deals, the share of par-plus loans continued to climb, reaching 73%. Cont d on next slide 4

5 KEY POINTS CLOs / Loan Funds: U.S. CLO issuance climbed to $10.6 billion in November, the highest monthly figure since June This brought YTD issuance to $65.1 billion, down from $91.4 billion in the same period last year. U.S. refinancing and reset volume has surged in the last two months, with November hitting a record. In these two months, refinancings (including resets) have amounted to over $20 billion, bringing year to date volume to over $28 billion. CLO AAA discount margins averaged 147 bps in November, marginally tighter than the prior month. Discount margins on AAA tranches ranged from 140 bps to a high of 163 bps. The European CLO market added 2 billion of issuance from five deals in November. Issuance now stand at 15.6 billion (38 deals) so far this year, up from 12.4 billion (31 deals) over the same period last year. Assets under management increased to $441 billion for U.S. CLOs and to 68 billion for European CLOs. Loan funds saw their fifth straight month of inflows, adding $2 billion in November (based on the most recent data available). This pushed flows into positive territory ($304 million) on a year to date basis. Loan mutual fund & ETF assets under management (market value) increased by 3% in November to $126 billion. In the last year, loan fund AUM is up 2%. 5

6 LEVERAGED LOAN MARKET OVERVIEW *2016 loan volumes are based on the most recently available data and is subject to updates throughout the quarter.

7 LEVERAGED LOAN ISSUANCE: PRO RATA VS. INSTITUTIONAL - MONTHLY Leveraged Loan Issuance ($ Bils.) U.S. LEVERAGED LOAN ISSUANCE Pro rata Institutional Jan-06 Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Year to date leveraged loan issuance is at $751 billion, up 2% from the same period a year ago. Breaking it out by segment, pro rata volume at $387 billion is down 16%, while the $364 billion of institutional deal flow is up 34%. LEVERAGED LOAN MARKET OVERVIEW 7

8 YTD LEVERAGED LOAN ISSUANCE BY INDUSTRY - Industry Lev. Vol. ($Bils.) New Money Lev. Vol. ($Bils.) % of Lev. Vol % of New Money Lev. Vol Technology % 26.1% Retail & Supermarkets % 5.0% Healthcare % 8.8% Business Services % 5.9% General Manufacturing % 6.0% Wholesale % 4.5% Oil and Gas % 3.0% Chemicals, Plastics & Rubber % 3.3% Services % 3.7% Financial Services % 3.4% Media % 4.4% n/a % 4.4% Automotive % 3.0% REITS % 2.3% Beverage, Food, and Tobacco Processing % 3.4% Utilities % 1.6% Leisure and Entertainment % 2.3% Telecommunications % 1.4% Hotel & Gaming % 0.2% Paper & Packaging % 1.0% Construction % 1.7% Restaurants % 1.5% Textiles and Apparel % 1.1% Aerospace and Defense % 0.8% Shipping % 0.4% Transportation % 0.2% Agriculture % 0.2% Mining % 0.3% Government % 0.0% LEVERAGED LOAN MARKET OVERVIEW 8

9 YTD INSTITUTIONAL LOAN ISSUANCE BY INDUSTRY - Industry Inst. Vol. ($Bils.) New Money Inst. Vol. ($Bils.) % of Inst. Vol % of New Money Inst. Vol Technology % 23.7% Retail & Supermarkets % 5.0% Healthcare % 9.8% Business Services % 6.9% Chemicals, Plastics & Rubber % 3.2% Media % 5.2% n/a % 5.7% Services % 5.4% General Manufacturing % 4.6% Financial Services % 3.9% Telecommunications % 4.5% Wholesale % 3.1% Leisure and Entertainment % 2.5% Utilities % 2.0% Automotive % 2.3% REITS % 1.2% Beverage, Food, and Tobacco Processing % 2.9% Hotel & Gaming % 0.1% Paper & Packaging % 1.2% Construction % 2.5% Aerospace and Defense % 1.2% Restaurants % 1.0% Transportation % 0.1% Oil and Gas % 0.4% Shipping % 0.2% Textiles and Apparel % 0.7% Agriculture % 0.4% Mining % 0.1% LEVERAGED LOAN MARKET OVERVIEW 9

10 U.S. INSTITUTIONAL LOAN AND HY BOND ISSUANCE Issuance ($ Bils.) HY Bonds Inst. Loans U.S. LOAN AND BOND ISSUANCE Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Overall institutional loan issuance is at $372 billion so far in 2016, a gain of around 34%. High yield bond issuance amounted to $14.5 billion in November. Year-to-date issuance is at $204 billion, which is down 18% from the same period last year. LEVERAGED LOAN MARKET OVERVIEW 10

11 U.S. INSTITUTIONAL ISSUANCE: NEW MONEY VS. REFINANCING Institutional loan issuance ($ Bils.) U.S. INSTITUTIONAL LOAN ISSUANCE New Money Refinancing New Money Share Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 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 Refinancing activity has jumped by 51% this year, outpacing growth in new money issuance which is up 21% year over year. Just over half of institutional issuance (53%) this year is for new money purposes. 120% 100% 80% 60% 40% 20% 0% LEVERAGED LOAN MARKET OVERVIEW 11

12 U.S. INSTITUTIONAL ISSUANCE: NEW MONEY BREAKOUT Institutional loan new money issuance ($ Bils.) U.S. INSTITUTIONAL LOAN ISSUANCE NEW MONEY BREAKOUT M&A (Non-LBO) LBO Other New Money Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 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 Breaking out YTD institutional loan new money issuance, we see that M&A (excluding LBOs) accounts for 44%, with LBOs at 27% and other purposes at 29%. LBO new money issuance is up 6% and M&A (ex. LBOs) has increased 6% year over year, while other new money purposes (which includes purposes like dividend recaps, corporate purposes, bond paydowns and DIPs) has more than doubled. LEVERAGED LOAN MARKET OVERVIEW 12

13 M&A LEVERAGED LOAN ISSUANCE - MONTHLY M&A leveraged loan issuance ($ Bils.) LBOs U.S. M&A LEVERAGED LOAN ISSUANCE Non-LBO 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 Year to date M&A leveraged loan volume is at $225 billion, comprised of $62 billion and $162 billion of LBO and non-lbo activity, respectively. M&A loan volume is down 24% year to date, owing to a 7% decline in LBO issuance and a 29% drop in non-lbo volume. LEVERAGED LOAN MARKET OVERVIEW 13

14 SPONSORED LEVERAGED LOAN ISSUANCE: LBO VS. NON-LBO - MONTHLY Sponsored leveraged loan issuance ($ Bils) LBO SPONSORED LOAN ISSUANCE: LBO VS. NON-LBO Non-LBO Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Sponsored leveraged loan volume is up 25% this year, driven by an increase in non-lbo volume of 31%. LBO volume is up 9% year over year. LEVERAGED LOAN MARKET OVERVIEW 14

15 SPONSORED DIVIDEND RECAP LOAN VOLUME Sponsored dividend recap issuance ($ Bils) SPONSORED DIVIDEND RECAP LOAN VOLUME 1Q06 2Q06 3Q06 4Q06 1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 Dividend recap loan volume has climbed sharply in the fourth quarter and is at $25 billion so far in This exceeds the full year 2015 figure of $20 billion. LEVERAGED LOAN MARKET OVERVIEW 15

16 MIDDLE MARKET LOAN ISSUANCE Middle market loan volume ($Bils.) U.S. MIDDLE MARKET LOAN VOLUME Trad. MM* Large MM* 1Q06 2Q06 3Q06 4Q06 1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 *Traditional MM: Deal Size <=$100M, Large MM: Deal Size >$100M to $500M, For all: Borrower Sales <$500M Middle market lending is at $108 billion year to date. Issuance is at $83 billion in the large middle market segment and $25 billion in the traditional MM space. LEVERAGED LOAN MARKET OVERVIEW 16

17 INSTITUTIONAL LOAN OUTSTANDINGS Institutional loan outstandings ($ Bils.) Jan-04 Jul-04 Jan-05 Jul-05 Jan-06 Jul-06 INSTITUTIONAL LOAN OUTSTANDINGS Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 The size of the institutional market increased by $12 billion to $872 billion in November. Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 LEVERAGED LOAN MARKET OVERVIEW 17

18 INDUSTRY BREAKDOWN OF INSTITUTIONAL LOAN OUTSTANDINGS Share of Institutional Loan Market 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% Technology Healthcare Retail & Supermarkets Financial Services Broadcasting Chemicals, Plastics & Rubber General Manufacturing Services Business Services Oil and Gas INDUSTRY BREAKDOWN Hotel & Gaming Telecommunications Wholesale Leisure and Entertainment n/a Utilities Automotive Media Beverage, Food, and Tobacco Restaurants Technology (13%), Healthcare (10%), and Retail (7%) are the biggest sectors in the institutional loan market. The top 5 sectors account for 40% of outstanding institutional debt, while the top 10 sectors account for 62%. Aerospace and Defense Transportation Construction Paper & Packaging Shipping Mining REITS Textiles and Apparel Agriculture Real Estate Government LEVERAGED LOAN MARKET OVERVIEW 18

19 Average yield PRIMARY MARKET YIELDS 13.0% 12.0% 11.0% 10.0% 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 1Q06 1Q07 1H08 4Q09 U.S. PRIMARY MARKET INSTITUTIONAL LOAN YIELDS Quarterly 4Q10 4Q11 Large Corporate Market Middle Market 4Q12 4Q13 4Q14 4Q15 4Q16TD Average yield 13.0% 12.0% 11.0% 10.0% 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% Monthly Large Corporate Market Middle Market 1Q10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 So far in 4Q16, yields have tightened to their lowest level this year. In the large corporate market, new issue yields have tightened to an average of 4.99%, while middle market yields have declined to 6.24%. LEVERAGED LOAN MARKET OVERVIEW 19

20 INSTITUTIONAL LOAN FLEX ACTIVITY Number of flexes INSTITUTIONAL LOAN FLEX ACTIVITY # of flexes up/down Avg. yield adjustment up/down 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 While downward flexes have outpaced upward flexes so far in 4Q16, flex activity in November was evenly split between downward and upward flexes. 3% 2% 1% 0% -1% -2% -3% Average flex LEVERAGED LOAN MARKET OVERVIEW 20

21 INSTITUTIONAL LEVERAGED LOAN DEFAULTS Par value of defaulted institutional loans ($Bils.) Jan-15 Feb-15 Mar-15 Apr-15 May-15 INSTITUTIONAL LEVERAGED LOAN DEFAULTS Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 There was one institutional loan default in November, Bennu Oil & Gas LLC with $487 million of institutional loan debt. The trailing twelve month loan default rate fell to 1.9%. May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov % 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Default rate LEVERAGED LOAN MARKET OVERVIEW 21

22 INSTITUTIONAL LEVERAGED LOAN DEFAULTS ON TTM BASIS Month Issuer Par Value ($ Mil.) Default Date Default Source Industry December 2015 Vantage Drilling Co /03/15 Chapter 11 Filing Energy Energy & Exploration Partners Inc /07/15 Chapter 11 Filing Energy Magnum Hunter Resources Corp /15/15 Chapter 11 Filing Energy Subtotal 1,766.7 January 2016 Arch Coal Inc. 1, /11/16 Chapter 11 Filing Metals & Mining NewPage Corp /26/16 Chapter 11 Filing Paper & Containers RCS Capital Corp /31/16 Chapter 11 Filing Banking & Finance Subtotal 3,285.2 February 2016 Noranda Aluminum Holding Corp /08/16 Chapter 11 Filing Metals & Mining Paragon Offshore /14/16 Chapter 11 Filing Energy Subtotal 1,109.2 March 2016 Sports Authority Inc /02/16 Chapter 11 Filing Retail Town Sports International Holdings Inc /07/16 Distressed Exchange Leisure & Entertainment Aspect Software Inc /09/16 Chapter 11 Filing Computers & Electronics Southcross Holdings LP /28/16 Chapter 11 Filing Energy Subtotal 1,352.1 April 2016 Vertellus Specialties Inc /12/16 Missed Payment Chemicals Peabody Energy Corp. 1, /13/16 Chapter 11 Filing Metals & Mining Stallion Oilfield Holding Inc /15/16 Distressed Exchange Energy Core Entertainment Inc /28/16 Chapter 11 Filing Broadcasting & Media Subtotal 1,866.9 LEVERAGED LOAN MARKET OVERVIEW Cont d on next slide 22

23 INSTITUTIONAL LEVERAGED LOAN DEFAULTS ON TTM BASIS Month Issuer Par Value ($ Mil.) Default Date Default Source Industry May 2016 Fairway Group Holdings Corp /02/16 Chapter 11 Filing Supermarkets & Drug Stores Atlas Iron Ltd /06/16 Distressed Exchange Metals & Mining Dex Media Inc. 2, /16/16 Chapter 11 Filing Broadcasting & Media EP Energy LLC /17/16 Distressed Exchange Energy Fieldwood Energy LLC /26/16 Distressed Exchange Energy Subtotal 3,066.8 June 2016 Seventy Seven Operating LLC /07/16 Chapter 11 Filing Energy Subtotal July 2016 FTS International Inc /01/16 Distressed Exchange Energy Transtar Holding Co /08/16 Missed Payment Automotive C&J Energy Services Ltd 1, /20/16 Chapter 11 Filing Energy Atinum Midcon I LLC /22/16 Chapter 11 Filing Energy Atlas Resource Partners LP/Atlas Energy LP /27/16 Chapter 11 Filing Energy Subtotal 2,050.6 August 2016 Templar Energy LLC 1, /05/16 Missed Payment Energy Stallion Oilfield Holding Inc /14/16 Missed Payment Energy Foresight Energy LP /30/16 Restructuring Metals & Mining Subtotal 2,075.8 September 2016 No Default Activity October 2016 Tervita Corp /18/16 Chapter 15 Filing Services & Miscellaneous Key Energy Services Inc /24/16 Chapter 11 Filing Energy Performance Sports Group Ltd /31/16 Chapter 11 Filing Consumer Products Subtotal November 2016 Bennu Oil & Gas LLC /30/16 Chapter 7 Filing Energy Subtotal LEVERAGED LOAN MARKET OVERVIEW Source: Fitch U.S. Leveraged Loan Default Index. 23

24 U.S. SECONDARY MARKET BID LEVELS Avg. Bid (% of par) U.S. SECONDARY MARKET AVERAGE BID Multi-quote Inst. TLs All Inst. TLs SMi100 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 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 After a period of climbing prices in recent months, the secondary market edged lower in November. Institutional term loans finished the month off 14 bps at The flow name SMi100 was down 39 bps to LEVERAGED LOAN MARKET OVERVIEW 24

25 DISTRIBUTION OF SECONDARY MARKET BIDS Share of loans / dollar volume 60% 50% 40% 30% 20% 10% 0% MULTI-QUOTE INSTITUTIONAL TERM LOAN BIDS # of loans $ weighted <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to < to <101 Avg. bid (% of par) As of month-end November, 43% of loans are priced at 100-plus, down from 45% a month earlier. On a dollar weighted basis the par-plus share is higher at 52%. At the lower end of the price scale, 9% of credits are bid below 90 cents on the dollar, up marginally from 8% in the prior month. >=101 LEVERAGED LOAN MARKET OVERVIEW 25

26 PAR-PLUS & 101-PLUS MARKET SHARE Share of loans bid >=100 & >= % 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% U.S. 100-PLUS & 101-PLUS SHARE: MULTI-QUOTE INSTITUTIONAL TERM LOANS 100-plus 101-plus Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 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 The share of par-plus loans eased in November to 43%, down 2 percentage points from a month earlier. LEVERAGED LOAN MARKET OVERVIEW 26

27 SECONDARY MARKET BIDS BY SECTOR Avg. Bid (% of par) Transportation Construction Hotel & Restaurants REITS Business Chemicals, SECONDARY MARKET BIDS BY SECTOR Leisure and Financial Beverage, Automotive Healthcare Technology General Telecommuni Media Services Aerospace Wholesale Looking across industries, the sectors bid highest are transportation (100.09), construction (100.02) and hotel & gaming (99.93). The largest sectors of technology and healthcare are bid at and 97.97, respectively. Utilities Mining Retail & Agriculture Paper & Shipping Textiles and Oil and Gas 14% 12% 10% 8% 6% 4% 2% 0% Share of loans LEVERAGED LOAN MARKET OVERVIEW 27

28 SECONDARY MARKET BID LEVELS: COVENANT-LITE & SECOND-LIENS Avg. Bid (% of par) U.S. COV-LITE AND SECOND LIEN LOAN BIDS Cov-lite 2nd Lien TL Multi-quote Inst. TLs Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 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 Second-lien bids climbed 87 bps in November to and are up 382 bps this year. The average bid on covenant-lite loans ended November flat at LEVERAGED LOAN MARKET OVERVIEW 28

29 SECONDARY MARKET BID LEVELS: EUROPE Avg. Bid (% of par) SECONDARY MARKET AVERAGE BIDS European Leveraged 40 U.S. SMi100 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 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 European flow names remain highly priced, edging 4 bps higher in November to an average bid of US flow names slipped 39 bps to LEVERAGED LOAN MARKET OVERVIEW 29

30 U.S. HIGH YIELD BOND MARKET OVERVIEW

31 HIGH YIELD BOND ISSUANCE Proceeds (US$ Bils.) U.S. HIGH YIELD CORPORATE BONDS Proceeds (US$ Bils.) # of Issues Jan-10 Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 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 High yield bond issuance in November was stable at $14.5 billion. Year-to-date issuance stands at $204 billion, down 18% when measured yearover-year # of Issues HIGH YIELD BOND MARKET OVERVIEW 31

32 HIGH YIELD BONDS ISSUANCE - YTD BY INDUSTRY Proceeds (US$ Bils.) Financials Media and Entertainment Energy and Power U.S. HIGH YIELD CORPORATE BONDS Materials Industrials Healthcare High Technology Proceeds (US$ Bils.) # of Issues Telecommunic ations Looking at industry breakout, financials lead the way with over $37 billion of HY issuance so far this year (18% share). Media & entertainment are second with $35 billion of issuance followed by the energy & power sector at $25 billion. Retail Consumer Staples Consumer Products Real Estate # of Issues HIGH YIELD BOND MARKET OVERVIEW 32

33 HIGH YIELD BONDS ISSUANCE - YTD BY SUB-INDUSTRY Proceeds (US$ Bils.) U.S. HIGH YIELD CORPORATE BONDS Proceeds (US$ Bils.) # of Issues Other Oil & Gas Cable Credit Metals & Healthcare Food and Power Food & Containers & Casinos & Computers & Machinery Automobiles Broadcasting Building/Con Telecommun Motion Professional Space and Other Hospitals Hotels and Healthcare Advertising & Semiconduct Chemicals Textiles & Software Aerospace & Construction Transportati Other Retailing Brokerage Pipelines Asset Pharmaceuti AFINANCE E-commerce REITs Other Telecom Other Real Real Estate Wireless Home Water and Publishing Insurance Internet Home IT Consulting Apparel Educational Other Paper & Tobacco At the subsector level, other financial related companies are the largest issuers so far this year with $20.6 billion in volume (10% share). Oil & gas are second with $15.8 billion and cable companies at $15.6 billion # of Issues HIGH YIELD BOND MARKET OVERVIEW 33

34 HIGH YIELD BOND ISSUANCE YTD BY RATING Proceeds (US$ Bils.) U.S. HIGH YIELD CORPORATE BONDS Proceeds (US$ Bils.) # of Issues BB+ BB BB- B+ B B- CCC+ CCC CCC- C NR Just over half (51%) of high-yield bonds issued so far this year are rated BB- or higher, while 40% is rated between B+ and B # of Issues HIGH YIELD BOND MARKET OVERVIEW 34

35 HY BOND FUND FLOWS MUTUAL FUND VS. ETF BREAKOUT* HY BOND FUND FLOWS * Based on the most recently available data and is subject to future updates. Based on the most recent data available HY bond funds posted an outflow of $2 billion in November. While HY bond ETFs pulled in over $2 billion, mutual funds recorded over $4 billion in outflows. Year to date, HY bond funds have added $3.34 billion made up of $3.28 billion for ETFs and a small net inflow of $58 million for mutual funds. HIGH YIELD BOND MARKET OVERVIEW 35

36 INVESTOR OVERVIEW

37 U.S. CLO ASSETS UNDER MANAGEMENT CLO Aggregate Principal Balance ($Bils.) CLO APB ASSETS UNDER MANAGEMENT Number of CLOs 1,100 1,050 1, Number of CLOs in sample INVESTOR OVERVIEW Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 U.S. CLO assets under management increased to $441 billion in November. 37

38 LOAN FUNDS AUM Loan mutual fund & ETF AUM ($ Bils.) U.S. LOAN MUTUAL FUND & ETF ASSETS UNDER MANAGEMENT* INVESTOR OVERVIEW Jan-07 Jun-07 Nov-07 Apr-08 Sep-08 Feb-09 Jul-09 *Based on the most recent data available Dec-09 May-10 Oct-10 Mar-11 Aug-11 Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14 May-15 Oct-15 Mar-16 Aug-16 Loan mutual fund & ETF assets under management (market value) increased by 3% in November to $126 billion. In the last year, loan fund AUM is up 2%. 38

39 INVESTOR SHARE OF INSTITUTIONAL LOAN OUTSTANDINGS Investor share of institutional loan outstandings (%) 55% 50% 45% 40% 35% 30% 25% 20% 15% 10% INVESTOR SHARE OF INSTITUTIONAL LOAN OUTSTANDINGS CLOs Loan Funds (mutual funds & ETFs) Other INVESTOR OVERVIEW Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 The CLO share of institutional loan outstandings is at 50%. Loan mutual funds & ETF market share is at 13%. 39

40 CLO ISSUANCE VS. LOAN FUND FLOWS -MONTHLY $ Bils MONTHLY CLO ISSUANCE VS. LOAN FUND FLOWS CLO Issuance Loan fund flows INVESTOR OVERVIEW Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 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 U.S. CLOs posted their best month since June 2015 with issuance of $10.6 billion in November, taking year to date issuance to $65.1 billion. Loan funds saw their fifth straight month of inflows, adding $2 billion in November (based on the most recent data available). This pushed flows into positive territory ($304 million) on a year to date basis. 40

41 CLO MARKET ANALYSIS* *Based on the most recently available data in Thomson Reuters LPC Collateral

42 U.S. CLO ISSUANCE - MONTHLY CLO Issuance ($Bils.) CLO ISSUANCE Issuance ($Bils.) Count Number of CLOs issued Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 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 CLO MARKET ANALYSIS U.S. CLO issuance climbed to $10.6 billion in November, the highest monthly figure since June This brought YTD issuance to $65.1 billion, down from $91.4 billion in the same period last year. 42

43 U.S. CLO REFINANCINGS & RESETS $ Bils. U.S. CLO REFINANCINGS & RESETS CLO MARKET ANALYSIS 2 0 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 U.S. refinancing and reset volume has surged in the last two months, with November hitting a record. In these two months, refinancings (including resets) have amounted to over $20 billion, bringing year to date volume to over $28 billion. 43

44 U.S. CLO AAA SPREADS AAA discount margin* (bps) U.S. BSL CLO AAA SPREADS* Average CLO MARKET ANALYSIS 120 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 *Based on deals where discount margin available CLO AAA discount margins averaged 147 bps in November, marginally tighter than the prior month. Discount margins on AAA tranches ranged from 140 bps to a high of 163 bps. 44

45 U.S. CLO AVERAGE SIZE $ Mils. U.S. BSL CLO AVERAGE SIZE CLO MARKET ANALYSIS 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 The average size of the BSL CLOs issued in November was slightly lower at $499 million with deals ranging from $253 million to $763 million. Year to date, the average deal size is $465 million, down from $531 million a year ago. 45

46 EUROPEAN CLO ISSUANCE - MONTHLY CLO issuance ( Bils.) EUROPEAN CLO ISSUANCE Volume 6 Number of Deals Number of deals CLO MARKET ANALYSIS 0.0 Jan-2010 Mar-2010 May-2010 Jul-2010 Sep-2010 Nov-2010 Jan-2011 Mar-2011 May-2011 Jul-2011 Sep-2011 Nov-2011 Jan-2012 Mar-2012 May-2012 Jul-2012 Sep-2012 Nov-2012 Jan-2013 Mar-2013 May-2013 Jul-2013 Sep-2013 Nov-2013 Jan-2014 Mar-2014 May-2014 Jul-2014 Sep-2014 Nov-2014 Jan-2015 Mar-2015 May-2015 Jul-2015 Sep-2015 Nov-2015 Jan-2016 Mar-2016 May-2016 Jul-2016 Sep-2016 Nov The European CLO market added 2 billion of issuance from five deals in November. Issuance now stand at 15.6 billion (38 deals) so far this year, up from 12.4 billion (31 deals) over the same period last year. 46

47 CLO ASSETS UNDER MANAGEMENT CLO Aggregate Principal Balance ($USD/Euro bils.) Jan-13 Mar-13 May-13 Jul-13 *History revised CLO AGGREGATE PRINCIPAL BALANCE: U.S & EUROPE U.S. Europe* 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 CLO MARKET ANALYSIS Assets under management increased to $441 billion for U.S. CLOs and to 68 billion for European CLOs. 47

48 U.S. CLO AUM BY VINTAGE CLO Aggregate Principal Balance ($ Bils.) U.S. CLO AGGREGATE PRINCIPAL BALANCE BY VINTAGE CLO MARKET ANALYSIS 0 <= Year issued CLO 2.0s now account for 94% of U.S. CLO assets under management. Deals issued since the beginning of 2015 represent 38% of CLO assets under management. 48

49 U.S. CLO AUM BY VINTAGE* CLO Aggregate Principal Balance ($ Bils.) U.S. CLO AGGREGATE PRINCIPAL BALANCE BY VINTAGE <= >=2014 CLO MARKET ANALYSIS 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 *Based on year issued The CLO 1.0 share of the market is now at 6%, down from 16% a year ago. 49

50 EUROPEAN CLO AUM BY VINTAGE CLO Aggregate Principal Balance ( Bils.) EUROPEAN CLO AGGREGATE PRINCIPAL BALANCE BY VINTAGE <= YTD 2016 Year issued *Based on year issued CLO MARKET ANALYSIS European CLO 2.0s assets under management is now over 50 billion or 74% of the market. 50

51 SHARE OF ASSETS HELD BY CLOS THAT ARE STILL IN / PAST THEIR STATED REINVESTMENT PERIOD Share of CLO AUM (%) SHARE OF ASSETS HELD BY CLOS THAT ARE STILL IN THEIR STATED REINVESTMENT PERIOD 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Sep-12 Feb-13 Jul-13 U.S. CLOs Post Reinv Period Still in Reinv Period Dec-13 May-14 Oct-14 Mar-15 Aug-15 Jan-16 Jun-16 Nov-16 Share of CLO AUM (%) 80% 70% 60% 50% 40% 30% 20% 10% 0% Sep-12 Feb-13 Jul-13 Dec-13 European CLOs Post Reinv Period Still in Reinv Period May-14 Oct-14 Mar-15 Aug-15 Jan-16 Jun-16 Nov-16 CLO MARKET ANALYSIS For U.S CLOs, the share of assets held in CLOs still in their reinvestment period is now at 84% of the market. For European CLOs, the corresponding share has climbed to 71%, a 10 percentage point increase year to date. 51

52 TOP LOAN HOLDINGS IN U.S. CLO PORTFOLIOS Rank Issuer *Excludes CLOs not yet in LPC Collateral Approx. Amount ($Bils.)* 1 Valeant Pharmaceuticals Asurion Corp First Data Corp Dell Inc Community Health Transdigm Albertson Numericable SAS Charter Communications Calpine Corp Avago Technologies Scientific Games Univision Communications American Airlines Ineos Group Ltd Formula One Group Petsmart Inc WME IMG Holdings LLC Royalty Pharma Level 3 Communications Rank Issuer Approx. Amount ($Bils.)* 21 Advantage Sales & Marketing BMC Software Travelport Inc Berry Plastics Corp Pharmaceutical Product Development Endo Pharmaceuticals Federal-Mogul Corp DTZ US Borrower LLC Universal Services of America LP MacDermid Inc Dynegy Inc Energy Transfer Equity LP Tribune Co Infor Global Solutions Fortescue Metals Group Protection One ACOSTA Western Digital Corp Sabre Holdings Corp Cablevision Systems Corp 1.09 CLO MARKET ANALYSIS 52

53 TOP LOAN HOLDINGS IN EUROPEAN CLO PORTFOLIOS Approx. Amount Rank Issuer ( Bils.)* 1 Ineos Group Ltd Numericable SAS eircom Group Plc ZIGGO BV Telenet Operatives NV IDCSalud Quiron Ista International GmbH Flint Group First Data Corp Springer Science & Business Media GmbH Wind Telecomunicazione Spa SIG Combibloc Group AG Verallia SA BSN Medical GmbH & Co KG Douglas Holding AG IMS Healthcare Verisure Holding AB Western Digital Corp Patheon Inc Euro Garages Ltd Rank Issuer Approx. Amount ( Bils.)* 21 Ion Trading Technologies LTD Solera MacDermid Inc Unit 4 Agresso NV Iglo Foods Group Ltd Diaverum AB [Ex-Gambro Healthcare] Jacobs Douwe Egberts Solenis International Technicolor SA (Thomson) Le Groupe Vedici Bureau Van Dijk Electronic Publishing BV Mediq NV Catalent Pharma Compagnie Europeenne de Prevoyance [CEP] Ceva Sante Animale SA Infor Global Solutions Swissport International Ltd EVRY ASA Allnex USA Inc Delachaux SA CLO MARKET ANALYSIS *Excludes CLOs not yet in LPC Collateral 53

54 TOP INDUSTRIES U.S. CLOS Share of U.S. CLO loan assets 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% TOP INDUSTRIES U.S. CLOS Technology Healthcare Retail & Supermarkets Business Services Financial Services General Chemicals, Plastics & Broadcasting Services Telecommunications Leisure & Wholesale Media Oil and Gas Utilities Automotive Aerospace & Defense Beverage, Food & Transportation Construction Hotel & Gaming Paper & Packaging Shipping REITS Restaurants Mining Agriculture Textiles & Apparel Real Estate Government CLO MARKET ANALYSIS For U.S. CLO loan holdings, the top sectors are Technology (12%), Healthcare (10%), and Retail & Supermarkets (7%). The top 5 sectors account for 40% of overall U.S. CLO loan holdings, while the top 10 sectors represent 65% of holdings. 54

55 TOP INDUSTRIES EUROPEAN CLOS Share of European CLO loan assets 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% TOP INDUSTRIES EUROPEAN CLOS Healthcare General Chemicals, Plastics & Technology Broadcasting Financial Services Telecommunications Business Services Services Leisure & Retail & Supermarkets Beverage, Food, & Wholesale Paper & Packaging Media Transportation Real Estate Utilities Automotive Construction Textiles & Apparel Hotel & Gaming Shipping Government Oil and Gas Agriculture Mining Restaurants Aerospace & Defense REITS CLO MARKET ANALYSIS For European CLO loan holdings, the top sectors are Healthcare (12.4%), General Manufacturing (11.4%), Chemical, Plastic & Rubber (10.4%), and Technology (9.7%). The top 5 sectors account for 51% of European CLO loan holdings, while the top 10 sectors represent 74% of holdings. 55

56 DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS U.S. CLOS Share of loan holdings 60% 50% 40% 30% 20% 10% Dec-15 Jun-16 Sep-16 Oct-16 Nov-16 DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS CLO MARKET ANALYSIS 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) The share of par-plus loans in U.S. CLOs slipped to 48% (from 51%) in November. At the other end of the price scale, the share of loans bid below 90 cents on the dollar edged up to 8%. 56

57 DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS EUROPEAN CLOS Share of loan holdings 80% 70% 60% 50% 40% 30% 20% 10% Dec-15 Jun-16 Sep-16 Oct-16 Nov-16 DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS CLO MARKET ANALYSIS 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) In European deals, the share of par-plus loans continued to climb, reaching 73%. 57

58 AVERAGE BID OF U.S. CLO PORTFOLIOS (UNDERLYING ASSETS) Bid (% of par) Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 AVERAGE BID OF U.S. CLO PORTFOLIOS US Avg. Bid US Median Bid 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 CLO MARKET ANALYSIS The average bid of U.S. CLO portfolios ticked lower in November to 97.42, down 7 bps. The median bid fell from a month earlier. 58

59 AVERAGE BID OF EUROPEAN CLO PORTFOLIOS (UNDERLYING ASSETS) Bid (% of par) EUR Avg. Bid AVERAGE BID OF EUROPEAN CLO PORTFOLIOS EUR Median Bid CLO MARKET ANALYSIS 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 The average bid of European CLOs asset portfolios edged up 6 bps to in November. The median bid increased to from a month earlier. 59

60 WEIGHTED AVERAGE BID OF CLO PORTFOLIOS: U.S. VS. EUROPE Share of CLOs 40% 35% 30% 25% 20% 15% 10% 5% 0% <80 80 to <85 85 to <86 86 to <87 87 to <88 U.S. Europe 88 to <89 89 to <90 90 to <91 91 to <92 92 to <93 93 to <94 CLO weighted avg. bid 94 to <95 CLO PORTFOLIO WEIGHTED AVERAGE BID DISTRIBUTION (UNDERLYING ASSETS ) *Excludes CLOs less than $50 million in size. 95 to <96 96 to <97 97 to <98 98 to <99 99 to <100 >=100 CLO MARKET ANALYSIS 39% of US CLOs and 68% of European CLO portfolios have a weighted average bid on their assets above 98 cents on the dollar, with most of those European deals in the 99-plus area. 60

61 LIST OF RECENT CLOS / LEAGUE TABLES

62 YTD 2016 U.S. CLOS Date priced CLO manager CLO name Agent bank Trustee Deal size AAA size Equity size 22-Jan-16 Babson Capital Babson CLO Morgan Stanley Citi/Virtus Voya Investment 22-Jan-16 Management Voya CLO JP Morgan US Bank Feb-16 Golub Capital Golub 30 Greensledge US Bank Feb-16 NewStar Financial Newstar Commercial Loan Funding Wells Fargo US Bank Feb-16 Neuberger Berman Neuberger Berman CLO XXI Morgan Stanley US Bank BlackRock Financial 25-Feb-16 Management Magnetite XVII Deutsche Bank Deutsche Bank Credit Suisse Asset 25-Feb-16 Management Madison Park Funding XX JP Morgan Wells Fargo Feb-16 Denali Capital Denali Capital CLO XII BNP Paribas US Bank Highbridge Principal Highbridge Loan Management 8-4-Mar-16 Strategies 2016 Morgan Stanley US Bank Mar-16 Oaktree Capital Management Oaktree EIF I Series A Wells Fargo BNY Mellon American Capital Asset 15-Mar-16 Management ACAS CLO Citi US Bank Mar-16 Wellfleet Credit Partners Wellfleet CLO Morgan Stanley US Bank Carlyle Investment 17-Mar-16 Management Carlyle GMS CLO JP Morgan State Street Symphony Asset 18-Mar-16 Management Symphony CLO XVII Greensledge BNY Mellon Mar-16 LCM Asset Management LCM XXI Deutsche Bank Deutsche Bank Mar-16 Invesco Upland CLO Citi US Bank Mar-16 Creek Source LLC Mill Creek CLO II Goldman Sachs Wells Fargo Mar-16 Telos Asset Management Telos CLO Societe Generale US Bank Bank of America Merrill 24-Mar-16 Octagon Credit Investors Octagon Investment Partners 26 Lynch US Bank Mar-16 Canyon Capital Canyon CLO Goldman Sachs Deutsche Bank Cont d on next slide LIST OF CLOS 62

63 YTD 2016 U.S. CLOS Cont d from prior slide Date priced CLO manager CLO name Agent bank Trustee BlueMountain Capital 13-Apr-16 Management BlueMountain CLO JP Morgan Citi/Virtus Apr-16 Regatta Loan Management Regatta VI Morgan Stanley US Bank American Money Management 20-Apr-16 Corp AMMC CLO 18 Jefferies US Bank Apr-16 Onex Credit Partners OCP Citi Citi/Virtus Prudential Investment 20-Apr-16 Management Dryden 42 Senior Loan Fund BNP Paribas US Bank Apr-16 Zais Group Zais CLO 4 RBC Capital Markets US Bank Golub Capital Partners CLO 20-Apr-16 Golub Capital LTD Wells Fargo Wells Fargo Deal size AAA size Equity size LIST OF CLOS 25-Apr-16 Sound Point Capital Management Sound Point CLO XI Credit Suisse US Bank Palmer Square Capital 26-Apr-16 Management Palmer Square Loan Funding JP Morgan Citi/Virtus Apr-16 Highbridge Principal Strategies Highbridge Loan Management Citi US Bank Apr-16 Carlyle Investment Management Carlyle GMS CLO Citi US Bank Apr-16 Sankaty Advisors Race Point X Citi Wells Fargo Black Diamond Capital 29-Apr-16 Management Black Diamond CLO JP Morgan US Bank Apr-16 Brightwood Capital Advisors Brightwood Capital Fund III Natixis US Bank May-16 Trinitas Capital Management Trinitas CLO IV Wells Fargo US Bank Aegon USA Investment 5-May-16 Management Cedar Funding V Jefferies Citi/Virtus May-16 Apollo Credit Management ALM XIX Citi US Bank May-16 MidOcean Credit Partners MidOcean Credit CLO V Credit Suisse Wells Fargo May-16 DFG Investment Advisors Vibrant CLO Goldman Sachs Citi/Virtus May-16 York Capital York CLO-3 Morgan Stanley US Bank Cont d on next slide 63

64 YTD 2016 U.S. CLOS Cont d from prior slide Date priced CLO manager CLO name Agent bank Trustee Deal size AAA size Equity size 17-May-16 Newfleet Asset Management Newfleet CLO Wells Fargo BNY Mellon THL Credit Wind River May-16 THL Credit 1 RBC Capital Markets US Bank May-16 Rothschild Ocean Trails Nomura US Bank May-16 Octagon Credit Investors Octagon Investment Partners 27 Citi US Bank Steele Creek Investment 26-May-16 Management Steele Creek CLO BNP Paribas Deutsche Bank May-16 Arrowpoint Asset Management Arrowpoint CLO Goldman Sachs US Bank May-16 KKR Financial Advisors KKR CLO 14 Natixis BNY Mellon Jun-16 TCI Capital Management Flatiron Bank of America Merrill Lynch Deutsche Bank Jun-16 Teacher's Advisors Inc TIAA CLO I Wells Fargo US Bank Jun-16 Voya Investment Management Voya CLO Citi US Bank Bank of America Merrill 09-Jun-16 TPG Capital TICP CLO V Lynch US Bank Jun-16 GSO Blackstone Westcott Park CLO Wells Fargo Wells Fargo Jun-16 Apollo Credit Management ALM XVIII BNP Paribas US Bank Guggenheim Investment 16-Jun-16 Management Seven Sticks CLO Citi US Bank Jun-16 PineBridge Investments Galaxy CLO XXII Goldman Sachs US Bank Jun-16 MJX Asset Management Venture CLO XXIII Credit Suisse Citi/Virtus Jun-16 Benefit Street Partners Benefit Street Partners CLO IX Morgan Stanley US Bank Guggenheim Investment 17-Jun-16 Management 1828 CLO Greensledge US Bank GoldenTree Asset 22-Jun-16 Management GoldenTree Loan Opportunities XII Greensledge BNY Mellon Jun-16 Anchorage Capital Group Anchorage Capital CLO 8 Deutsche Bank US Bank Jun-16 Ares Management Ares XXXIX JP Morgan US Bank Jun-16 Mariner Investment Group Mariner CLO Citi US Bank Cont d on next slide LIST OF CLOS 64

65 YTD 2016 U.S. CLOS Cont d from prior slide Date priced CLO manager CLO name Agent bank Trustee Deal size AAA size Equity size Monroe Capital MML CLO Deutsche 1-Jul-16 Monroe Capital BNP Paribas Bank Jul-16 Apex Credit Partners JFIN CLO Jefferies US Bank Jul-16 Invesco Annisa CLO Barclays BNY Mellon Sound Point Capital 14-Jul-16 Management Sound Point CLO XII Credit Suisse US Bank Jul-16 Credit Suisse Asset Management Madison Park Funding XXI Citi Wells Fargo Jul-16 Prudential Investment Management Dryden 43 Senior Loan Fund Deutsche Bank US Bank Jul-16 BlueMountain Capital Management BlueMountain CLO Citi Citi/Virtus Golub Capital Investment Corp 22-Jul-16 Golub Capital 2016 Wells Fargo Wells Fargo Jul-16 CVC Credit Partners Apidos CLO 24 Bank of America Merrill Lynch BNY Mellon LIST OF CLOS 26-Jul-16 Intermediate Capital Group ICG US CLO , LTD. Citi US Bank State 25-Jul-16 Guardian Life PAIA CLO JP Morgan Street Jul-16 Babson Capital Management Babson CLO 2016-II Morgan Stanley US Bank Carlyle Investment 9-Aug-16 Management Carlyle GMS CLO Citi State Street Aug-16 KKR KKR CLO 15 Credit Suisse BNY Mellon Aug-16 Cerberus Cerberus Loan Funding Natixis US Bank Aug-16 3i Debt Management Jamestown CLO IX Citi US Bank Aug-16 MJX Asset Management Venture CLO XXIV Jefferies Citi/Virtus Ballyrock Investment 16-Aug-16 Management Ballyrock CLO Goldman Sachs US Bank Aug-16 Trinitas Capital Management Trinitas CLO V Morgan Stanley US Bank Cont d on next slide 65

66 YTD 2016 U.S. CLOS Cont d from prior slide Date priced CLO manager CLO name Agent bank Trustee Deal size AAA size Equity size 19-Aug-16Canyon Capital Canyon CLO JP Morgan Deutsche Bank Aug-16NewStar Financial Arch Street CLO Credit Suisse US Bank Aug-16GSO Blackstone Jay Park CLO Citi Citi/Virtus Prudential Investment 23-Aug-16Management Dryden 45 Senior Loan Fund Wells Fargo Deutsche Bank TIAA-CREF Alternatives TIAA Churchill Middle Market 25-Aug-16Advisors CLO I Wells Fargo BONY/Mellon Aug-16Neuberger Berman Neuberger Berman CLO XXII Bank of America Merrill Lynch US Bank Sep-16Crestline Denali Capital Denali Capital CLO XIV BNP Paribas US Bank Octagon Investment Partners 8-Sep-16Octagon Credit Investors 28 Morgan Stanley US Bank Sep-16Garrison Capital Garrison Funding Deutsche Bank Deutsche Bank Symphony Asset 12-Sep-16Management TCI-Symphony CLO Bank of America Merrill Lynch Deutsche Bank Sep-16Ares Management Ares XL Goldman Sachs Wells Fargo Credit Suisse Asset 15-Sep-16Management Madison Park Funding XXII Wells Fargo Wells Fargo Sep-16LCM Asset Management LCM XXII Natixis Deutsche Bank Sep-16Garrison Capital Garrison Funding LTD Natixis Deutsche Bank Sep-16Onex Credit Partners OCP Bank of America Merrill Lynch Citi/Virtus Regatta VII Funding LTD 16-Sep-16Regatta Loan Management BNP Paribas US Bank Sep-16Carlson Capital Cathredal Lake Jefferies US Bank Sep-16Zais Group ZAIS CLO 5, LIMITED JP Morgan US Bank Sep-16THL Credit THL Credit Windriver Morgan Stanley US Bank Sep-16Wellfleet Credit Partners Wellfleet CLO , LTD. Citi US Bank Voya Investment 28-Sep-16Management Voya CLO Credit Suisse State Street BlackRock Financial 29-Sep-16 Management Magnetite CLO LTD Goldman Sachs US Bank Cont d on next slide LIST OF CLOS 66

67 YTD 2016 U.S. CLOS Cont d from prior slide Date priced CLO manager CLO name Agent bank Trustee Deal size AAA size Equity size 3-Oct-16 CVC Credit Partners Apidos CLO 25 Bank of America Merrill Lynch BONY/Mellon BlueMountain Capital 6-Oct-16 Management BlueMountain CLO Barclays US Bank American Money 7-Oct-16 Management Corp AMMC CLO 19 MUFG Securities Citi/Virtus Oct-16 GSO Blackstone Burnham Park CLO Wells Fargo Wells Fargo Aegon USA Investment 13-Oct-16 Management Cedar Funding VI Jefferies Citi/Virtus LIST OF CLOS 14-Oct-16 Alcentra Shackleton CLO Morgan Stanley US Bank Oct-16 NewStar Financial Newstar Berkeley Fund CLO Citi US Bank Sound Point Capital 20-Oct-16 Management Sound Point CLO XIV Credit Suisse BONY/Mellon Neuberger Berman CLO 25-Oct-16 Neuberger Berman XXIII Bank of America Merrill Lynch US Bank Oct-16 TPG Capital TICP CLO VI Bank of America Merrill Lynch US Bank Carlyle Investment 27-Oct-16 Management Carlyle GMS CLO Citi State Street Oct-16 Barings LLC Barings CLO Citi Citi/Virtus Guggenheim Investment 28-Oct-16 Management Salem Fields CLO Citi/MUFG Securities US Bank Brigade Capital 28-Oct-16 Management Battalion CLO X Citi US Bank Oct-16 Cerberus Cerberus Loan Funding Natixis US Bank Oct-16 Oak Hill Advisors OHA Loan Funding Morgan Stanley Citi/Virtus Oct-16 Crescent Capital Group Atlas VII CLO Morgan Stanley Wells Fargo Cont d on next slide 67

68 YTD 2016 U.S. CLOS Date priced CLO manager CLO name Agent bank Trustee Cont d from prior slide 1-Nov-16Golub Capital Golub Capital CLO Partners 33(M) Greensledge/Natixis Wells Fargo Nov-16GSO Blackstone Bristol Park BNP Paribas US Bank Nov-16York Capital York CLO-4 Morgan Stanley US Bank Nov-16Seix Advisors Mountain View Credit Suisse Nov-16MidOcean Credit Partners MidOcean Credit CLO VI Jefferies Wells Fargo Nov-16Anchorage Capital Group Anchorage Capital CLO 9 JP Morgan US Bank Palmer Square Capital 9-Nov-16Management Palmer Square Loan Funding JP Morgan Citi/Virtus Deutsche 16-Nov-16Symphony Asset Management Symphony CLO XVIII BNP Paribas Bank Nov-16MJX Asset Management Venture CLO XXV Jefferies Nov-16Voya Investment Management Voya CLO Morgan Stanley US Bank Nov-16Benefit Street Partners Benefit Street Partners CLO X Deutsche Bank US Bank Nov-16KKR KKR CLO 16 Citi US Bank Credit Suisse Asset 22-Nov-16Management Deal size AAA size Equity size Madison Park Funding CLO JP Morgan US Bank Tennenbaum Capital 22-Nov-16Management TCP Waterman CLO Natixis US Bank Nov-16Brightwood Capital Advisors Brightwood Capital Fund III Natixis US Bank Nov-16Och Ziff Capital Management OZLM CLO Bank of America Merrill Lynch Citi/Virtus Nov-16Oak Hill Advisors OHA Credit Partners XIII Greensledge Macquarie Nov-16Ares Management Ares XLI BNP Paribas US Bank Nov-16Bain Capital Credit Bain Capital Credit CLO MUFG Securities BONY/Mellon LIST OF CLOS Cont d on next slide 68

69 YTD 2016 U.S. CLOS Date priced CLO manager CLO name Agent bank Trustee Cont d from prior slide Deutsche 30-Nov-16LCM Asset Management LCM XXIII Greensledge Bank Nov-16Axa Investment Advisors Allegro CLO Goldman Sachs US Bank Deal size AAA size Equity size LIST OF CLOS 69

70 YTD 2016 U.S. CLO - PRICING Date priced CLO name AAA AA coupon AAA DM coupon AA DM A coupon A DM BBB coupon BBB DM BB coupon 22-Jan-16 Babson CLO Jan-16 Voya CLO Feb-16 Golub Capital CLO Feb-16 Newstar Commercial Loan Funding Feb-16 Neuberger Berman CLO XXI Feb-16 Magnetite XVII Feb-16 Madison Park Funding XX Feb-16 Denali Capital CLO XII Mar-16 Highbridge Loan Management Mar-16 Oaktree EIF I Series A BB DM B coupon 15-Mar-16 ACAS CLO Mar-16 Wellfleet CLO Mar-16 Carlyle GMS CLO Mar-16 Symphony CLO XVII Mar-16 LCM XXI Mar-16 Upland CLO Mar-16 Mill Creek CLO II Mar-16 Telos CLO B DM LIST OF CLOS 24-Mar-16 Octagon Investment Partners Mar-16 Canyon CLO / / Cont d on next slide 70

71 YTD 2016 U.S. CLO - PRICING Cont d from prior slide AAA AAA AA AA A A BBB BBB BB BB B Date priced CLO name coupon DM coupon DM coupon DM coupon DM coupon DM coupon B DM 13-Apr-16 BlueMountain CLO Apr-16 Regatta VI Apr-16 AMMC CLO / Apr-16 OCP / preplace 20-Apr-16 Dryden 42 Senior Loan Fund d Apr-16 Zais CLO Apr-16 Golub Capital Partners CLO LTD Apr-16 Sound Point CLO XI Palmer Square Loan 26-Apr-16 Funding Highbridge Loan 27-Apr-16 Management Apr-16 Carlyle GMS CLO Apr-16 Race Point X LIST OF CLOS 29-Apr-16 Black Diamond CLO Apr-16 Brightwood Capital Fund III May-16 Trinitas CLO IV / May-16 Cedar Funding V May-16 ALM XIX May-16 MidOcean Credit CLO V May-16 Vibrant CLO May-16 York CLO / Cont d on next slide 71

72 YTD 2016 U.S. CLO - PRICING Cont d from prior slide Date AAA AAA AA AA A A BBB BBB BB priced CLO name coupon DM coupon DM coupon DM coupon DM coupon BB DM 17-May-16 Newfleet CLO THL Credit Wind River 18-May May-16 Ocean Trails Octagon Investment 25-May-16 Partners May-16 Steele Creek CLO May-16 Arrowpoint CLO May-16 KKR CLO Jun-16 Flatiron Jun-16 TIAA CLO I / / Jun-16 Voya CLO B coupon 09-Jun-16 TICP CLO V / / Jun-16 Westcott Park CLO Jun-16 ALM XVIII Jun-16 Seven Sticks CLO Jun-16 Galaxy CLO XXII / / Jun-16 Venture CLO XXIII Benefit Street Partners CLO 17-Jun-16 IX Jun CLO GoldenTree Loan 22-Jun-16 Opportunities XII Jun-16 Anchorage Capital CLO Jun-16 Ares XXXIX Jun-16 Mariner CLO Cont d on next slide B DM LIST OF CLOS 72

73 YTD 2016 U.S. CLO - PRICING Date priced CLO name AAA coupon AAA DM AA coupon AA DM A coupon A DM BBB BBB coupon DM Cont d from prior slide BB coupon 1-Jul-16 Monroe Capital MML CLO Jul-16 JFIN CLO Jul-16 Annisa CLO Jul-16 Sound Point CLO XII Jul-16 Madison Park Funding XXI Jul-16 Dryden 43 Senior Loan Fund Jul-16 BlueMountain CLO Jul-16 Golub Capital Investment Corp Jul-16 Apidos CLO Jul-16 ICG US CLO , LTD Jul-16 PAIA CLO Jul-16 Babson CLO 2016-II Aug-16 Carlyle GMS CLO Aug-16 KKR CLO Aug-16 Cerberus Loan Funding Aug-16 Jamestown CLO IX 157/ / Aug-16 Venture CLO XXIV / BB DM B coupon 16-Aug-16 Ballyrock CLO Aug-16 Trinitas CLO V Aug-16 Canyon CLO Aug-16 Arch Street CLO Cont d on next slide B DM LIST OF CLOS 73

74 YTD 2016 U.S. CLO - PRICING Cont d from prior slide Date AAA AAA AA A BBB BB B priced CLO name coupon DM coupon AA DM coupon A DM coupon BBB DM coupon BB DM coupon 23-Aug-16 Jay Park CLO Aug-16 Dryden 45 Senior Loan Fund TIAA Churchill Middle Market 25-Aug-16 CLO I Aug-16 Neuberger Berman CLO XXII Sep-16 Denali Capital CLO XIV Octagon Investment Partners 8-Sep Sep-16 Garrison Funding Sep-16 TCI-Symphony CLO Sep-16 Ares XL Sep-16 Madison Park Funding XXII Sep-16 LCM XXII Sep-16 Garrison Funding LTD Sep-16 OCP Regatta VII Funding LTD Sep / Sep-16 Cathredal Lake / Sep-16 ZAIS CLO 5, LIMITED Sep-16 THL Credit Windriver / / Sep-16 Wellfleet CLO , LTD / / Sep-16 Voya CLO Sep-16 Magnetite CLO LTD Oct-16 Apidos CLO / Oct-16 BlueMountain CLO Oct-16 AMMC CLO Oct-16 Burnham Park CLO Oct-16 Cedar Funding VI Oct-16 Shackleton CLO Cont d on next slide B DM LIST OF CLOS 74

75 YTD 2016 U.S. CLO - PRICING Date priced CLO name AAA coupon AAA DM AA coupon AA DM A coupon A DM BBB coupon BBB DM Cont d from prior slide BB coupon BB DM 19-Oct-16 Newstar Berkeley Fund CLO Oct-16 Sound Point CLO XIV B coupon B DM LIST OF CLOS 25-Oct-16 Neuberger Berman CLO XXIII Oct-16 TICP CLO V Oct-16 Carlyle GMS CLO Oct-16 Barings CLO Oct-16 Salem Fields CLO / Oct-16 Battalion CLO X Oct-16 Cerberus Loan Funding Oct-16 OHA Loan Funding Oct-16 Atlas VII CLO

76 YTD 2016 U.S. CLO - PRICING Date priced CLO name AAA coupon AAA DM AA coupon AA DM A coupon A DM BBB coupon BBB DM Cont d from prior slide BB coupon BB DM Golub Capital CLO Partners 1-Nov-1633(M) Nov-16Bristol Park Nov-16York CLO Nov-16Mountain View Nov-16MidOcean Credit CLO VI Nov-16Anchorage Capital CLO Palmer Square Loan Funding 9-Nov Nov-16Symphony CLO XVI Nov-16Venture CLO XXV / / Nov-16Voya CLO / Nov-16Benefit Street Partners CLO X Nov-16KKR CLO Madison Park Funding CLO 22-Nov Nov-16TCP Waterman CLO Brightwood Capital Fund III 22-Nov Nov-16OZLM CLO Nov-16OHA Credit Partners XIII B coupon B DM LIST OF CLOS 29-Nov-16Ares XLI Bain Capital Credit CLO 30-Nov Nov-16LCM XXIII Nov-16Allegro CLO

77 YTD 2016 U.S. CLO REFINANCINGS / RESETS Amount Refinanced AAA AAA AA AA A A BBB BBB BB BB CLO manager CLO name Date priced ($Mils.) coupon DM coupon DM coupon DM coupon DM coupon DM Note Apollo Credit Management ALM Mar American Money Management Corp AMMC CLO IX 31-Mar Reset American Capital Asset Management ACAS CLO Jun Neuberger Berman Neuberger Berman CLO Jun Carlyle Investment Management Carlyle GMS CLO Jul Carlyle Investment Management Carlyle GMS CLO Jul Neuberger Berman CLO Neuberger Berman 16 8-Jul KKR Financial CLO LTD KKR 2 15-Jul CIFC CIFC Funding Jul Ares Enhanced Loan Ares Management Investment Strategy Jul Crescent Capital Group Atlas Senior Loan Fund Aug Carlyle Investment Management Carlyle GMS CLO Aug Reset Crescent Capital Group Atlas Senior Loan Fund Aug Ares Management Ares XXV CLO Aug Voya Investment Management Voya CLO Aug Reset GSO/Blackstone Debt Fund Management LLC Finn Square CLO LTD Sep Apollo Credit Management ALM Loan Funding Sep Reset BlackRock Financial Management Magnetite CLO Sep Reset Anchorage Capital Group Anchorage CLO LTD Sep Reset Apollo Credit Management ALM Loan Funding Sep Reset Canyon Capital Partners Canyon CLO Sep Reset THL Credit Senior Loan Strategies Wind River CLO Sep Reset New York Life Investment Management Flatiron CLO LTD Sep LIST OF CLOS Cont d on next slide 77

78 YTD 2016 U.S. CLO REFINANCINGS / RESETS CLO manager CLO name Date priced Amount Refinanced ($Mils.) AAA coupon AAA DM AA coupon AA DM A coupon Cont d from prior slide A DM BBB coupon Alcentra Shackleton CLO Oct Carlson Capital Cathedral Lake CLO Oct Prudential Investment Management Dryden SLF Oct MJX Asset Management Venture X CLO Oct Anchorage Capital Group Anchorage Capital CLO Oct BBB DM BB coupon BB DM Note LIST OF CLOS MJX Asset Management Venture CLO Oct / Reset Credit Suisse Asset Management Atrium CLO Oct Reset Och-Ziff Loan Management OZLM Funding Oct Reset CIFC CIFC Funding Oct Crescent Capital Group Atlas Senior Loan Fund 5 7-Oct PineBridge Investments Galaxy XVII 7-Oct GoldenTree Loan GoldenTree Asset Management Opportunities Oct Tall Tree Investment Management Lockwood Grove CLO 12-Oct Reset Carlyle Investment Management Carlyle GMS CLO Oct Reset BNP Paribas Asset Management BNPP IP CLO R 17-Oct American Money Management Corporation AMMC CLO Oct Reset CIFC CIFC Funding Oct Credit Suisse Asset Madison Park Funding Management Oct Reset Alcentra Shackleton CLO Oct LCM Asset Management LCM Oct Cont d on next slide 78

79 YTD 2016 U.S. CLO REFINANCINGS / RESETS Date Amount RefinanceAAA AAA CLO manager CLO name priced d ($Mils.) coupon DM Columbia Management Investment Advisers Cent CLO Oct AA A BBB coupon AA DM coupon A DM coupon Voya Investment Management Voya CLO Oct Par-Four Investment Management Tralee CLO Nov Cont d from prior slide BBB DM BB coupon BB DM B B coupon DM Note BlueMountain Capital Management BlueMountain CLO Nov Reset LIST OF CLOS PineBridge Investments Galaxy CLO XIV 4-Nov Reset Saratoga Investment Corp Saratoga Nov Reset Sankaty Advisors Race Point Nov Octagon Investment Octagon Credit Investors Partners 21 7-Nov Prudential Investment Management Dryden SLF Nov Reset Neuberger Berman CLO Neuberger Berman XVIII 8-Nov Reset GoldenTree Asset Management GoldenTree Loan Opportunities XI 8-Nov Onex Credit Partners OCP CLO Nov Reset BlueMountain Capital Management BlueMountain CLO Nov CVC Credit Partners Apidos CLO Nov CVC Credit Partners Apidos CLO Nov Reset Arrowpoint Asset Management Arrowpoint CLO Nov Reset BlackRock Financial Management Magnetite XII 17-Nov Trimaran Advisors Catamaran CLO Nov CVC Credit Partners Apidos CLO Nov Cont d on next slide 79

80 YTD 2016 U.S. CLO REFINANCINGS / RESETS CLO manager CLO name Date priced Amount Refinanc ed ($Mils.) AAA AAA coupon DM AA AA coupon DM A BBB coupon A DM coupon Invesco Betony CLO 17-Nov Cont d from prior slide BBB DM BB coupon BB DM B B coupon DM Note Oak Hill Advisors OHA Loan Funding Nov Reset Allianz West CLO Nov LIST OF CLOS Trimaran Advisors Catamaran CLO Nov Mariner Investment Group ELM CLO Nov Reset Oak Hill Advisors OHA Loan Funding Nov i Debt Management Jamestown CLO I 30-Nov Reset CIFC CIFC Nov

81 YTD 2016 U.S. CLO ARRANGER LEAGUE TABLE (BY VOLUME) (THROUGH NOVEMBER 30, 2016) Rank Bank Holding Company Arranger Volume # of Deals Market Share 1 Citi 11, % 2 Morgan Stanley 7, % 3 Wells Fargo 5, % 4 JP Morgan 5, % 5 Bank of America Merrill Lynch 5, % 6 Credit Suisse 4, % 7 BNP Paribas 4, % 8 Natixis 3, % 9 Goldman Sachs 3, % 10 Jefferies 3, % 11 Greensledge 2, % CLO LEAGUE TABLES 12 Deutsche Bank 2, % 13 MUFG Securities 1, % 14 RBC Capital Markets % 15 Barclays % 16 Nomura % 17 Societe Generale % 81

82 YTD 2016 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH NOVEMBER 30, 2016) Rank CLO Manager CLO Volume # of Deals Market Share 1 Credit Suisse Asset Management 2, % 2 GSO Blackstone 2, % 3 Voya Investment Management 2, % 4 Sound Point Capital Management 1, % 5 Carlyle Investment Management 1, % 6 Ares Management 1, % 7 Octagon Credit Investors 1, % 8 Prudential Investment Management 1, % 9 Golub Capital 1, % 10 KKR 1, % 11 MJX Asset Management 1, % 12 Symphony Asset Management 1, % 13 BlueMountain Capital Management 1, % 14 Brightwood Capital Advisors 1, % 15 Barings LLC 1, % 16 THL Credit 1, % 17 NewStar Financial 1, % 18 Guggenheim Investment Management 1, % 19 LCM Asset Management 1, % 20 Neuberger Berman 1, % 21 CVC Credit Partners 1, % 22 Onex Credit Partners 1, % 23 BlackRock Financial Management 1, % 24 Oak Hill Advisors 1, % 25 Anchorage Capital Group % 26 Apollo Credit Management % 27 Benefit Street Partners % 28 Canyon Capital % 29 Highbridge Principal Strategies % 30 Aegon USA Investment Management % Cont d on next slide CLO LEAGUE TABLES 82

83 YTD 2016 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH NOVEMBER 30, 2016) Cont d from prior slide Rank CLO Manager CLO Volume # of Deals Market Share 31 American Money Management Corp % 32 TPG Capital % 33 Regatta Loan Management % 34 Trinitas Capital Management % 35 Invesco % 36 York Capital % 37 MidOcean Credit Partners % 38 Wellfleet Credit Partners % 39 Cerberus % 40 Crestline Denali Capital % 41 Garrison Capital % 42 Zais Group % 43 Bain Capital Credit % 44 Mariner Investment Group % 45 Oaktree Capital Management % 46 Axa Investment Advisors % 47 Teacher's Advisors Inc % 48 Palmer Square Capital Management % 49 Alcentra % 50 Crescent Capital Group % 51 GoldenTree Asset Management % 52 Och Ziff Capital Management % 53 TCI Capital Management % 54 3i Debt Management % 55 DFG Investment Advisors % 56 Intermediate Capital Group % 57 Park Avenue Institutional Advisers % 58 American Capital Asset Management % 59 Brigade Capital Management % 60 Carlson Capital % Cont d on next slide CLO LEAGUE TABLES 83

84 YTD 2016 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH NOVEMBER 30, 2016) Cont d from prior slide Rank CLO Manager CLO Volume # of Deals Market Share 61 Sankaty Advisors % 62 PineBridge Investments % 63 TIAA-CREF Alternatives Advisors % 64 Black Diamond Capital Management % 65 Newfleet Asset Management % 66 Arrowpoint Asset Management % 67 Ballyrock Investment Management % 68 Apex Credit Partners % 69 Tennenbaum Capital Management % 70 Seix Advisors % 71 Steele Creek Investment Management % 72 Rothschild % 73 Monroe Capital % 74 Creek Source LLC % 75 Telos Asset Management % CLO LEAGUE TABLES 84

85 YTD 2016 U.S. CLO TRUSTEE LEAGUE TABLE (BY VOLUME) (THROUGH NOVEMBER 30, 2016) Rank Trustee Trustee Volume # of Deals Market Share 1 US Bank 34, % 2 Citi/Virtus 7, % 3 Wells Fargo 7, % 4 Bank of New York 5, % 5 Deutsche Bank 6, % 6 State Street 2, % 7 Macquarie % 8 N/A % CLO LEAGUE TABLES 85

86 YTD 2016 EUROPEAN CLOS Deal Size Liability Spread (bps) Date Priced CLO Name CLO Manager ( m) Agent Bank AAA AA A BBB BB B 15-Jan-16 Arbour CLO III Oaktree Capital Management Citi Feb-16 Blackrock European CLO I BlackRock Investment Management Credit Suisse Mar-16 CVC Cordatus Loan Fund VI CVC Credit Partners 411 Credit Suisse Mar-16 BlueMountain Euro CLO BlueMountain Fuji Management JP Morgan Mar-16 Contego CLO III NM Rothschild & Sons Deutsche Bank Mar-16 Bosphorus CLO II Commerzbank Stifel LIST OF CLOS 30-Mar-16 Harvest CLO XV 3i Debt Management 413 RBC/Resource Capital Carlyle Global Market Strategies 8-Apr-16 Euro CLO Carlyle Investment Management 410 Citi Apr-16 Cadogan Square CLO VII Credit Suisse Asset Management Morgan Stanley Apr-16 Elm Park CLO Blackstone/GSO Deutsche Bank Pramerica Investment 29-Apr-16 Dryden 44 Euro CLO 2015 Management JP Morgan 13-May-16 ALME Loan Funding V Apollo Credit Management 357 Barclays May-16 Aurium CLO II Spire Partners Credit Suisse May-16 St Paul's CLO VI Intermediate Capital Managers Citi Jun-16 Avoca CLO XVI KKR Credit Advisors BNP Paribas Jun-16 Babson Euro CLO Babson Capital Europe 410 JP Morgan Jun-16 Cairn CLO VI Cairn Capital Barclays Jun-16 Laurelin CLO GoldenTree Asset Management Credit Suisse Cont d on next slide 86

87 YTD 2016 EUROPEAN CLOS Cont d from prior slide Deal Size Liability Spread (bps) Date Priced CLO Name CLO Manager ( m) Agent Bank AAA AA A BBB BB B 5-Jul-16 Accunia Euro CLO Accunia Credit Management Deutsche Bank 8-Jul-16 CVC Cordatus Loan Fund VII CVC Credit Partners Citi Jul-16 Jubilee CLO Alcentra Morgan Stanley Jul-16 Harvest CLO i Debt Management Credit Suisse Jul-16 Adagio CLO AXA Investment Managers 361 JP Morgan 28-Jul-16 Griffith Park CLO Blackstone/GSO Barclays Aug-16 Toro European CLO Chenavari Credit Partners Citi Dryden Leveraged Loan CDO 16-Sep Pramerica Investment Management Barclays 29-Sep-16 Euro-Galaxy V CLO PineBridge Investments Europe Limited JP Morgan 30-Sep-16 Arbour CLO Oaktree Capital Management Barclays Sep-16 Clarinda Park CLO GSO Capital Partners Citi 13-Oct-16 Tikehau CLO Tikehau Capital Europe Citi Oct-16 Avoca XVII KKR Morgan Stanley Bank of America 20-Oct-16 Carlyle GMS Euro Carlyle Investment Management Merrill Lynch Oct-16 Blackrock European CLO II BlackRock Financial Management Citi Bank of America 3-Nov-16 OZLME CLO Och Ziff Capital Management Merrill Lynch Nov-16 GLG Euro GLG Partners LP Morgan Stanley Nov-16 Cadogan Square CLO Credit Suisse Asset Management Barclays Nov-16 Ares European CLO Ares Management Goldman Sachs Halcyon Loan Advisors European 18-Nov-16 Funding CLO 2 Halcyon Asset Management Citi LIST OF CLOS 87

88 YTD 2016 EUROPEAN CLO REFINANCINGS CLO manager Carlyle Investment Management Pramerica Investment Management Date priced Amount Refinanc ed ( Mils.) AAA coupon AAA DM AA coupon AA DM A coupon A DM BBB coupon CLO name Carlyle Global Market Strategies Euro CLO Sep Dryden XXVII Euro CLO Nov / /260 Oaktree Capital Management Arbour CLO Nov BBB DM BB coupon BB DM Note LIST OF CLOS 88

89 YTD 2016 EUROPEAN CLO ARRANGER LEAGUE TABLE (BY VOLUME) (THROUGH NOVEMBER 30, 2016) Rank Arranger Arranger Vol. (Euros) Deals Market Share 1 Citi 3, % 2 Barclays 2, % 3 Credit Suisse 2, % 4 JP Morgan 2, % 5 Morgan Stanley 1, % 6 Deutsche Bank 1, % 7 BAML % 8 BNP Paribas % 9 Goldman Sachs % 10 Stifel % 11 RBC % 12 Resource Capital % CLO LEAGUE TABLES 89

90 YTD 2016 EUROPEAN CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH NOVEMBER 30, 2016) Rank CLO Manager Manager Vol. (Euros) Deals Market Share 1 Blackstone/GSO 1, % 2 KKR Credit Advisors % 3 Credit Suisse Asset Management % 4 Pramerica Investment Management % 5 CVC Credit Partners % 6 3i Debt Management % 7 Oaktree Capital Management % 8 Carlyle Investment Management % 9 BlackRock Investment Management % 10 Accunia % 11 Ares Management % 12 Alcentra % 13 Tikehau Investment Management % 14 Och Ziff Capital Management % 15 Intermediate Capital Managers % 16 Pinebridge Investments Europe % 17 Babson Capital Europe % 18 BlueMountain Fuji Management % 19 GoldenTree Asset Management % 20 GLG Partners LP % 21 Chenavari Credit Partners % 22 Cairn Capital % 23 AXA Investment Managers % 24 Spire Partners % CLO LEAGUE TABLES 90

91 YTD 2016 EUROPEAN CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH NOVEMBER 30, 2016) Rank CLO Manager Manager Vol. (Euros) Deals Market Share 25 Apollo Credit Management % 26 Halcyon Asset Management % 27 NM Rothschild & Sons % 28 Commerzbank % CLO LEAGUE TABLES 91

92 LOAN MUTUAL FUND FLOWS & RETURNS

93 LOAN VS. HY BOND FUND FLOWS* - MONTHLY MONTHLY LOAN VS. HY BOND FUND FLOWS LOAN FUND FLOWS & RETURNS * Based on the most recently available data and is subject to future updates. Loan funds saw their fifth straight month of inflows, adding $2 billion in November (based on the most recent data available). This pushed flows into positive territory ($304 million) on a year to date basis. HY bond funds posted an outflow of $2 billion in November, the fourth straight month of outflows. Still overall this year, HY bond funds have added $3.3 billion thanks to inflows earlier in the year. 93

94 LOAN FUND FLOWS MUTUAL FUND VS. ETF BREAKOUT* LOAN FUND FLOWS MUTUAL FUND VS. ETF BREAKOUT * Based on the most recently available data and is subject to future updates. Breaking out loan fund flows into the mutual fund and ETF categories, ETFs added $590 million and mutual funds added $1.4 billion in November. Year to date, outflows are $2.7 billion for mutual funds while in contrast ETFs have added $3 billion. LOAN FUND FLOWS & RETURNS 94