The CLOser February The Maples group s industry newsletter for the global CLO market

Transcription

1 The Maples group s industry newsletter for the global CLO market

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3 Your Maples Global CLO Team provides Cayman Islands and Irish legal advice and CLO issuer/co-issuer and fiduciary services in the Cayman Islands, Delaware, Dublin, London and the Netherlands. This edition of The CLOser 1 includes: 2016 US CLO Market Review and 2017 Predictions 2016 European CLO Market Review and 2017 Predictions Irish Listings Update MAR A Consequence of Listing on the Irish Stock Exchange The Widening Use of UK SPVs Maples Fiduciary: Enhanced Options for Distressed and Illiquid Assets on Wind Down Maples Fiduciary: Risk Retention Part II Highlights, Refinancings and Tax Administration A CLOser Look: Fun Facts About Two Members of Our Team Forthcoming Events Appendix 1: H US CLO Deal List Appendix 2: H European CLO Deal List 1 Data in this publication is derived from a variety of sources, including MaplesFS Limited, Structured Credit Investor, LCD, Leveraged Loan, Creditflux, Moody's, S&P, Fitch, Irish Stock Exchange and Central Bank of Ireland. 1

4 US CLO Market 2016 US CLO Market Review Following a glacial start to the year and significantly depressed H1 issuance levels, which resulted in significant downward revisions by bank arrangers to their 2016 volume predictions (as low as $35 billion for the full year), 2016 ended on a more positive note than expected. US CLO issuance ended the year at approximately $72 billion across 156 deals, with nearly $50 billion in additional issuance via refinancing/reset transactions across 96 deals. The busiest months in terms of activity were October, November and December which accounted for $26.21 billion in CLO primary issuance and approximately $37 billion in refinanced or reset deals. In contrast, H1 issuance totalled $27.12 billion from 66 deals and in 2015 refinancing volume was less than $10 billion in total. Bank arranger predictions, which at the start of 2016 were around the $70 billion mark, held true despite the downward revisions in March 2016 to $35-50 billion. The onset of risk retention on 24 December 2016 accounted for the increased activity seen in November and December as managers sought to issue new deals, or refinance or extend existing CLOs in advance of the deadline and thereby avoid the 5% required holding for deals issued or refinanced after the deadline. Maples Fiduciary s "Risk Retention Survey of US CLO Managers Part II" released in December confirmed that 89% of CLO managers already had a risk retention strategy in place or ready for implementation imminently. A summary of the survey is included on page 11. In terms of spreads, the year was bifurcated as the first six months saw a gradual widening of primary spreads. Conversely, H2 welcomed spread tightening to levels last seen in 2012, providing more favourable conditions to attract equity buyers. AAA pricing came down from the low 150bps mark to low 140bps by the end of the year. Although defaults in credits related to oil and gas, mining and minerals were reasonably prevalent in 2016, other sectors such as healthcare, technology and retail, which had been expected to suffer defaults, saw a lot less stress than anticipated. Concern relating to credits in those sectors, however, does continue into saw a total of three BSL debut CLO 2.0 managers, namely Newfleet Asset Management (owned by Virtus), Teachers Advisors (an affiliate of insurance giant TIAA Global Asset Management) and Guardian Life. In the middle market, Churchill Asset Management, Brightwood and Alliance Bernstein all issued their first middle market 2.0 CLOs. This demonstrates continued confidence in the product from new entrants and the wider financial services market. In different US managers priced one or more US CLOs across a total of 252 deals, which included 96 refis, across 247 Cayman Islands issuers and five Delaware issuers. That compared with 219 priced US CLOs in 2015 across 212 Cayman Islands issuers, six Delaware issuers and one Irish issuer. Carlyle, Credit Suisse Asset Management, Golub and GSO/Blackstone priced four or more new US CLOs in

5 Each of Bank of America, BNP Paribas, Citigroup, Credit Suisse, Goldman Sachs, Jefferies, J.P. Morgan, Morgan Stanley, Natixis and Wells Fargo have priced 12 or more deals (including refis and resets) in H2 2016, with Citigroup leading the pack. Average deal size in 2016 was in the low $400 million range, compared with a $500 million median CLO size in At the end of the year we estimated that there were about 50 warehouses still open in the CLO pipeline, compared with the open at the start of For a complete list of the H priced US CLOs, see Appendix 1. US CLOs What's in store for 2017? Bank arrangers are predicting between $50-70 billion in issuance for 2017, with Nomura and J.P. Morgan predicting volumes at the lower end ($50-60 billion) and Morgan Stanley and Wells Fargo more bullish at around the $70 billion mark. The market anticipates a reduction in the number of managers issuing new deals as a result of risk retention and an increase in manager mergers and acquisitions. Predictions range for between active managers remaining at the end of 2017, and the year started off with announcements that Marble Point (backed by Eagle Point) had acquired American Capital and New York Life Investments agreed to acquire a majority stake in Credit Value Partners. However, as mentioned previously, new entrants in the manager space (and we are aware of a number of others) will more than likely lessen the impact of any such manager contraction. Some market participants are predicting, and we are already seeing, new issue spreads tightening with current deals already getting close to 130bps on the AAAs. We believe that AAAs will continue to tighten and could get into the low 120bps by year-end. At the time of writing, Octagon Investment Partners 30 set the lowest AAA new issue print this year at 132bps. Refinancing and repricings account for the greatest primary market activity so far in 2017 with nearly $8 billion in CLO repricings in January alone as managers and arrangers take advantage of tightening spreads and the Crescent Capital's SEC no-action letter. At the same time, the new issue market remains sluggish as managers continue to struggle to source new collateral at attractive prices. Making the arbitrage work on new deals is difficult at the moment which has not been helped by a wave of repricings at the primary asset level. Not only have the primary repricings been aggressive but the reductions appear to bare very little correlation to the credit quality of the obligor with spreads dropping significantly for all borrowers. This will continue to make issuing new CLOs a challenge for the foreseeable future, leading to several managers contemplating resets to extend the reinvestment period of existing CLOs. On the positive side of things, so long as dollar funding costs are not prohibitive, it is anticipated that Asian investors will continue to finance a substantial part of the senior CLO tranches and managers will continue to find themselves on roadshows in Korea and Japan, especially as certain Japanese banks extend their 'approved manager' lists and other investors increase their CLO investment allocations. Many are hopeful that President Trump will take a more favourable approach when it comes to the regulation of the capital markets and some pundits have even suggested that parts of Dodd Frank could be repealed, even going so far as to suggest that CLOs may be exempted from the risk retention requirements. The view of many of the participants at the Opal CLO Summit at Dana Point in California in early December was very much that the market has positioned itself to deal with the risk retention requirements in the US, regardless of what President Trump may or may not do. Either way, it is pretty clear that the US will not look to embark on further burdensome regulation unlike the regulators in Europe who are now eyeing a possible move to a 10% risk retention requirement. The Maples CLO Team certainly is looking forward to another active year and wish all our clients and friends in the CLO market a positive For further details, please contact: Mark Matthews mark.matthews@maplesandcalder.com Nicola Bashforth nicola.bashforth@maplesandcalder.com 3

6 What's happening in Europe? 2016 Market Review The European CLO market had a very slow start to 2016 but rebounded strongly near the end of Q and throughout Q In June 2016, the Brexit vote initially appeared to put the brakes on the European CLO market as participants weighed up the consequences of the UK leaving the EU and the impact it would have on European CLO structures. However in July issuance levels recovered and remained strong through H2 2016, to such an extent that the full year volume amounted to 16.8 billion from 41 deals, surpassing the previous issuance record for CLO 2.0 transactions of billion, which occurred in One of the key contributing factors to this increased level of activity was the availability of AAA investors. The demand for AAA tranches of European CLOs was such that the downward pressure on AAA spreads was a consistent factor throughout These spreads began the year around 150bps but finished up in December 2016 as low as 95bps. This demand was driven by a diverse and expanded CLO investor base made up of banks, pension funds, insurance companies and family offices across a geographical spread from Europe to the Far East. Brexit As to what Brexit will finally look like remains to be seen as does the precise timing of the UK's departure from the EU. However in her speech on 17 January 2017, the British Prime Minister, Theresa May, indicated that the UK exit from the EU would also involve it leaving the European single market. As the UK will therefore be a "third country" vis-a-vis the EU, UK managers will no longer be able to avail themselves of the MiFID passport regime (although in this respect, as noted in the August 2016 edition of the CLOser, this would not preclude them from providing investment services to Irish SPVs provided: (i) their head or registered office is in a non-eu country; (ii) they have not established a branch in Ireland; and (iii) they are not providing investment services to Irish individuals). During 2015 and the beginning of 2016, the majority of European CLO transactions utilised the sponsor approach (with a UK-based sponsor) in relation to risk retention compliance. However, since the Brexit vote, a majority of transactions have utilised the originator approach in respect of risk retention compliance. Try, Try, Trilogue Again STS Regulation: The Saga Continues As if Brexit was not enough of a challenge for the European CLO market, in June 2016 the Committee on Economic and Monetary Affairs ("ECON") of the European Parliament issued a draft report containing a number of proposals to amend the draft of the STS Regulation which included, amongst others: increasing the economic interest in the securitisation to be retained by the risk retention holder from 5% to 20%; requiring that the retention holder (originator, original lender or sponsor) be a regulated entity; requiring that only institutional investors are permitted to invest in securitisations. These proposals were the subject of substantial consideration and discussion within the European Parliament. In December 2016 ECON issued what it considered to be a compromise proposal. The new proposal has retained the requirements for the retention holder to be a regulated entity and restricting investments in securitisations to institutional investors. However, rather than a 20% minimum risk retention level, it 2 The EU's proposal for a regulation to lay down common rules on securitisation and create a European framework for "simple, transparent and standardised" securitisation. 4

7 instead suggested that the minimum risk retention level should be increased to 10% for each risk retention option, save for: (a) the first loss tranche (remains at 5%); and (b) the retention of a first loss exposure of every securitised exposure (increased to 7.5% of each securitised exposure). In addition, there is scope for the minimum risk retention level to be increased to 20% in the coming years. Looking on the bright side, these latest proposals are not final and will be the subject of a trialogue between the European Commission, Parliament and Council, so the STS Regulation may still be subject to further amendment. European CLOs What's in store for 2017? As regards the outlook for 2017, commentators are positive in their initial outlook, with expectations that 2017 will match, if not surpass, 2016 levels. Analysts are again predicting (as they did at the start of 2016) European issuance levels of billion. As a consequence of the lower AAA spreads a number of existing CLO transactions have refinanced or reset in recent months. It is anticipated that this trend will continue and refis are likely to account for much of the activity in the European CLO market in However, notwithstanding the current buoyance in the market, the twin shadows of the STS Regulation and Brexit (whatever final forms they may eventually take) continue to loom large as does the uncertainty of their long term impact. For further details, please contact: Nollaig Murphy nollaig.murphy@maplesandcalder.com Stephen McLoughlin stephen.mcloughlin@maplesandcalder.com 5

8 Irish Listings Update During the second half of 2016, 191 CLOs (US and European), comprising both new issuances and refinancings, were listed on the Irish Stock Exchange ("ISE"). Of these listings, 164 were by Cayman Islands issuers, accounting for 86% of CLO listings. Of the 25 issuers that had European domiciles, 18 were Irish and seven were Dutch. Maples and Calder s Dublin office listed 47.5% of all ISElisted CLOs and 53.5% of all Cayman Islands issuers listing on the ISE. For the year in full, a total of 272 CLOs (US and European) were listed on the ISE. Of these, there were 225 Cayman Islands issuers (82.5%), 30 Irish issuers (11%), 12 Dutch issuers (4.5%) and five Delaware issuers (2%). Maples and Calder s Dublin office listed 48% of all ISE-listed CLOs and 55.5% of all Cayman Islands issuers listing on the ISE. Over the year, 86% of CLOs opted to list on the Global Exchange Market ("GEM") rather than on the Main Securities Market. In the case of Cayman Islands issuers, this increased to 93% opting to list on the GEM. Nearly 60% of the European CLOs sought listings on the Main Securities Market. For further details, please contact: Ciaran Cotter ciaran.cotter@maplesandcalder.com 6

9 MAR A Consequence of Listing on the Irish Stock Exchange What is MAR? - The European Market Abuse Regulation ("MAR"), which replaced and extended the existing market abuse regime, prohibits insider dealing, market manipulation and unlawful disclosure of inside information in respect of securities listed on an EU stock exchange, applies to the vast majority of US BSL CLOs given the market trend of listing CLO notes on either the Main Securities Market or the GEM of the ISE. While the Central Bank of Ireland ("CBI") has undertaken a soft implementation of MAR with regard to securities such as CLOs, MAR came into force on 3 July 2016 and now covers securities listed on the GEM. CLO issuers should be in the process of taking, or already have taken, steps to comply. Failure to comply with MAR can result in both administrative sanctions and criminal sanctions in the form of fines and/or imprisonment. Why are we listed on the ISE? - We understand that CLO notes were originally listed on the ISE to satisfy the internal investment requirements of various institutional EU investors and, more latterly, Asian investors who require a listing on an EU regulated exchange. Initially, at least, the ISE listing provided liquidity in both the primary and secondary markets with regard to such investors. For this reason, and as a noted preference for certain Japanese investors, it subsequently became market convention to list CLOs on the ISE. Why not de-list? - The compliance obligations and costs of MAR can be avoided completely by de-listing the CLO issuer from the ISE. However, the relevant provisions of the Indenture and the Offering Memorandum/Circular should be reviewed and considered. Many Indentures contain a covenant requiring the issuer to use reasonable efforts to maintain an ISE listing. De-listing will likely incur certain legal fees and costs, in addition to the ISE de-listing notice fee of 300. How do we comply? Each CLO issuer listed on the ISE should: adopt policies and procedures relating to the treatment of inside information, including to ensure the immediate publication of inside information, and to ensure that any delay in the publication of inside information is in accordance with MAR; draw up and maintain, in the prescribed form, a permanent insider list (the "Insider List") of persons with access to inside information relating to the issuer or its financial instruments; ensure persons on Insider Lists are aware of, and have acknowledged in writing, their obligations under MAR and the sanctions for insider dealing and unlawful disclosure of inside information; draw up and maintain a list of persons within the issuer and co-issuer discharging managerial responsibilities and of persons closely associated with them ("PDMRs"); and ensure PDMRs are aware of and acknowledge in writing their obligations relating to dealing in the issuers financial instruments. What is "inside information" in a CLO? - MAR defines "inside information" as information that: is precise; has not been made public; relates directly or indirectly to the issuer or its financial instruments; and if made public, would be likely to have a significant effect on the price of those financial instruments or on the price of related derivative financial instruments. While, neither the CBI nor any other EU regulator has issued any guidance specific to securities such as CLOs, the CBI has indicated that an issuer should treat information as "inside information if a reasonable investor would use such information to make investment decisions relating to the relevant CLO notes or related derivative financial instruments to maximise his economic self-interest." In the context of a CLO, we expect the occurrence of events leading to the existence of "inside information" to be relatively rare. 7

10 Who is named in the Insider List? At a minimum, we expect the Insider List to include the names of the manager personnel with day-to-day responsibility for the CLO, the directors of the CLO issuer and the lawyers routinely advising the CLO issuer and the manager. However, any person performing work for the CLO issuer who has access to inside information should be included in the Insider List. What about an alternative listing? - Given the initial drivers for listing CLOs on the ISE, we do not believe a listing on a non-eu exchange would necessarily provide the same liquidity or market benefits. A listing on a recognised non-eu exchange is usually obtained to take advantage of the Quoted Eurobond Exemption, which permits interest payments from an EU issuer to be paid without the imposition of withholding tax. This exemption has no applicability or benefit to a Cayman Islands CLO issuer. For this reason, and the reasons outlined above, a listing on a non-eu exchange should not be viewed as a like-for-like alternative to a listing on the ISE. The Maples group has developed a set of policies and procedures to assist our clients in ensuring compliance with the requirements. For details of how we can assist, and for a checklist of actions to take, please contact: Scott Macdonald scott.macdonald@maplesandcalder.com Stephen McLoughlin stephen.mcloughlin@maplesandcalder.com 8

11 The Widening Use of UK SPVs The UK has one of the deepest capital markets globally covering all manner of products, giving investors a varied universe in which to invest. For many years this has included its specialist securitisation regime, which has seen UK SPVs used in structures to securitise a variety of UK assets. Typical portfolios consist of residential mortgages, trade receivables, auto loans, credit cards or personal loans, aircraft leasing or commercial real estate. A current development in the UK market that we are watching closely is the development of a new legal, regulatory and tax framework for Insurance Linked Securities ("ILS"), which if successful will see another product available to investors in the London market. The UK's HM Treasury, the Prudential Regulation Authority and the Financial Conduct Authority have published separate consultation papers in the past 12 months, with a view to developing an onshore ILS centre in London that may help expand the ILS market globally by broadening the potential investor base and usage of ILS structures. An implementation date in the first half of 2017 is being targeted for the proposed legislation. Maples Fiduciary is engaging in the current consultation and ultimately expects protected cell companies (PCCs) and insurance SPVs (ISPVs) to be administered in a similar manner to products administered in Bermuda, the Cayman Islands and the Channel Islands if the product is to be a success. Maples Fiduciary has an experienced team in London, whose backgrounds are diverse and include experience working with all manner of UK SPV structures over the past 15 years. We provide UK resident directors, registered office, company secretarial support and accounting services to a range of securitisation and asset finance vehicles and are looking forward to extending this to the UK ILS space. Please contact us for more information about the services we provide and how we can help you with your UK requirements. As always, our aim is to provide the support that you need so that you can focus on the transactions themselves, knowing that you have a trusted partner alongside who is attending to your UK SPV, corporate administration and regulatory requirements. Sam Ellis sam.ellis@maplesfs.com Charles Leahy charles.leahy@maplesfs.com 9

12 Maples Fiduciary: Enhanced Options for Distressed and Illiquid Assets on Wind Down Since the credit crisis, investment/collateral managers have been challenged by the disposition of assets that are effectively valued as worthless and/or are illiquid. Especially in CLO 1.0 transactions, the documentation is less flexible and remedies or options, such as sale of assets to existing investors or even abandonment of worthless assets, is not available. This issue becomes particularly significant at the end of a transaction as it can prevent an orderly wind down and voluntary liquidation of SPVs and fund structures. Given the administrative and cost issues this creates, Maples Fiduciary established an entity called FLP Investments Ltd. some time ago to take worthless and illiquid assets (subject to certain criteria being met and minimal fees being paid, transfer documentation being executed and basic terms and conditions being agreed for the sale). Whilst this solution has proved popular and been utilised regularly, historically its use has been limited to securities that were held in definitive registered form. However, Maples Fiduciary is now pleased to announce it has established a custodial account with an industry partner to offer a solution for assets that are also held in global form. The ability to take such assets, even when held in global form, together with our easy-to-use precedent documentation and our bespoke approach to dealing with tricky issues, such as residual claims, provides managers and other parties with a significantly enhanced solution to deal with illiquid and worthless assets where deals need to unwind and/or terminate. Should this be of interest or if you require further details, please contact: Carrie Bunton carrie.bunton@maplesfs.com Lesley Thompson lesley.thompson@maplesfs.com 10

13 Maples Fiduciary: Risk Retention Part II Highlights, Refinancings and Tax Administration Risk Retention Survey Following widespread interest in the results of the first risk retention survey conducted by Maples Fiduciary in February 2016, we engaged with our US CLO manager clients again in November 2016 to provide an update on manager strategies and preparedness for risk retention. We were interested to learn whether manager strategies had shifted at all during the year and, in particular, in relation to preferred risk retention structures, sources of third party financing and preferred method of retention. The results clearly demonstrated a significant increase in overall preparedness and a refinement of implemented or planned strategies ahead of the impending year-end deadline. Data collected from over 60% of active US CLO managers showed: 89% of US managers have risk retention structures in place or imminent, a 16% increase from earlier in 2016; 71% of managers prefer the capitalised majority-owned affiliate ("C-MOA") or majority-owned affiliate ("MOA") risk retention structure, up from 55% earlier in 2016; and managers planning to use a capitalised manager vehicle ("CMV") decreased from 25% in February 2016 to 20% by year end. In addition, we noted a shift in the preferred structure towards MOA/C-MOAs with a slight departure from the CMV structure, together with a clear preference for taking a horizontal retention slice. Refinancings As anticipated, Maples Fiduciary saw a significant increase in refinancing and reset activity during November and December prior to the 24 December 2016 risk retention effective date. Indeed, the Maples group acted on over 65% of the 2016 refinancings in the US CLO market. At the time of writing, we continue to see an enormous volume of refinancing and reset activity of 2014 vintage CLOs as majority equity investors look to take advantage of tightening spreads. These refinancings are consistent with the terms and conditions described in Crescent Capital Group LP's SEC Staff No-Action Letter dated 17 July 2015, which allows for refinancing to be completed post the December 2016 deadline with the comfort that the SEC will not recommend enforcement of the risk retention rules if the refinancing is undertaken within the limited circumstances set out in the Crescent No-Action Letter. Andrew Dean andrew.dean@maplesfs.com David Hogan david.hogan@maplesfs.com The results, which can be accessed by clicking here 3, were distributed at the Opal CLO Summit in December 2016 and have been published in a number of industry trade periodicals and magazines, including LCD/CLO Weekly, Creditflux and Structured Credit Investor

14 Tax Administration There is no doubt that the various regulatory changes we have seen in recent years have created a heightened administrative environment for SPV issuers and their investment managers. For example, the implementation of the Dodd Frank Act brought with it significant changes to all IRS international tax forms such as the W-8BEN-E and W-8IMY. What was once a relatively simple one page certification is now an eight page document with the inclusion of very important FATCA classification representations. With increasing scrutiny on SPVs transacting with the US, we have seen our clients applying more frequently to the IRS for an EIN to support additional reporting requirements imposed on managers. With that in mind, we thought it might be timely to remind clients that, whilst we don't provide tax advisory services, we do offer seamless and efficient tax administration services in several areas. In addition to our IRS international tax form preparation service, we are also able to provide EIN application services for a small fixed fee. For non-us vehicles, applicants are required to have direct contact with the IRS by telephone which can be time consuming and inefficient. Our trained and experienced staff can take the stress out of this process at both the issuer and co-issuer level by: setting up template IRS Form SS4 documents for both corporations and partnerships; providing a Third Party Designee to transact with the IRS on behalf of the company; and targeting the return of fully completed IRS and SS4 forms, including the EIN, to our clients within a time frame of 24 to 36 hours after receiving the request. Should any of the foregoing services be of interest or you would like further information, please contact: Jarladth Travers jarladth.travers@maplesfs.com 12

15 Your Global CLO Team A CLOser Look We are including a short and informative bio for two members of our global CLO team so you can get to know the team a little better. In this edition, we introduce you to Stephen McLoughlin from Maples and Calder in Dublin and David Hogan from Maples Fiduciary in the Cayman Islands. Stephen McLoughlin Partner Maples and Calder stephen.mcloughlin@maplesandcalder.com I am a partner in the structured finance practice in the Dublin office and I advise on the Irish legal issues for European CLO transactions. I began my legal career as an apprentice (we didn't have trainees back then) in Binchys Solicitors in Dublin, which coincidently was subsequently the footprint for the establishment of Maples and Calder in Dublin. I then spent three years practising as a corporate lawyer (for my sins!) in a mid-level Irish law firm, followed by five years in the structured finance department of a leading Irish law firm before joining Maples and Calder in I grew up in Belfast but moved to Dublin to study in Trinity College Dublin. Notwithstanding a dark sense of humour and almost impenetrable Northern Irish accent I have found myself still living in Dublin over 20 years later. When not up to my elbows in opinions, minutes, risk retention memos and the like, most of my remaining waking time is spent trying to keep up with my three children, aged seven and three (yes, the younger two are twins). Most weekends are a whirlwind of football and rugby training, swimming lessons and birthday parties. Disney cartoons and mood swings from hysterical laughter to full blown tantrums (the latter are, more often than not, mine!) are presided over by my endlessly patient wife. I am a diehard Liverpool FC fan (whose claim to fame was a starring, albeit fleeting, role in the 2005 Champions League Final in Istanbul). Given I have recently transitioned into my forties, the mid-life crisis is in full swing in this instance rather than a motorbike or little red sports car (the aforementioned patient wife vetoed both) I instead took up participating in triathlons, completing my first three "sprint" triathlons in 2016 with the intention of taking on a number of Olympic distance events in 2017 local cardiac care units will be on standby! 13

16 David Hogan Vice President Maples Fiduciary I work in the Cayman Islands office of Maples Fiduciary in the structured finance team, where I have served as a director to a portfolio of US CLOs and other structured finance transactions since joining in My undergraduate years were spent at University College Dublin where I obtained an honours business and law degree. I commenced my professional career in the funds industry before spending six years with ABN Amro Bank NV in corporate treasury, where I also trained as a chartered certified accountant. I then served six years as Chief Financial Officer and Head of Investments for a boutique investment company, naturally enjoying pre-crisis success and enduring post crisis "work outs". Prior to joining Maples Fiduciary I held a Senior Business Analyst position with the Irish Banking Resolution Corporation during the orderly sale of its commercial loan book. Although lovers of the Irish "joie de vivre", my wife and I often discussed relocating to a sunnier destination, so when the opportunity arose to work in the Cayman Islands we grabbed it. Almost four years later and now, with three kids under six years of age, a happy wife and a Volvo!, the island has quickly become our home. With beautiful beaches and a positive work life balance to enjoy, the island has so much to offer us both professionally and as parents to a growing family (in age rather than volume!). Like many, I'm a keen sports enthusiast but my colleagues may not know I played badminton competitively for over 15 years, representing Ireland many times and have held a European ranking in singles, a World ranking in men's doubles, lost narrowly to an Olympic medallist (twice!) and hold an Irish record as being the only husband-wife paring to win an Irish Senior National title! However, my proudest sporting moment must be beating a World Champion in 1993, albeit off-court in a keg stand challenge! Together with my colleagues, I worked on our risk retention surveys in 2016 and felt the level of interaction our US CLO managers afforded us during a very busy period was really exceptional. When I am not working on structured finance transactions and related initiatives, I focus my efforts on our asset finance offering, where I serve on the boards of aircraft leasing vehicles and aviation platforms. Some of my goals for 2017 include taking an RV road trip with the family, beating Scott Macdonald at squash and seeing U2 in Miami this June! 14

17 Forthcoming Events Members of the Maples Global CLO Team will be attending the following industry events during H1 2017: SFIG Vegas February 1 March 2017 Aria Resort Las Vegas, NV Creditflux Credit Symposium & Manager Awards 3 May 2017 The Landmark Hotel London, UK The 6th Annual Investors' Conference on CLOs & Leveraged Loans May 2017 Conrad New York New York, NY Global ABS June 2017 Centre Convencions Internacional Barcelona Barcelona, Spain 15

18 Our CLO team comprises 26 specialist CLO lawyers and 48 specialist CLO fiduciary professionals based in the Cayman Islands, Delaware, Dublin, London and the Netherlands. Throughout our considerable longevity in this space, we have provided our clients with the benefit of our unparalleled depth of knowledge, experience and insight into what we see across the whole structured finance market, from the latest warehousing structures, to the latest regulatory developments and how they impact CLOs, to ongoing post-closing CLO issues. For further information, please speak with your usual Maples and Calder or Maples Fiduciary contact, or the following primary CLO contacts: Maples and Calder Maples Fiduciary Cayman Islands Alasdair Robertson Mark Matthews Scott Macdonald Nicola Bashforth John Dykstra Tina Meigh Jonathon Meloy Dublin Nollaig Murphy nollaig.murphy@maplesandcalder.com Stephen McLoughlin stephen.mcloughlin@maplesandcalder.com Hong Kong Stacey Overholt stacey.overholt@maplesandcalder.com London Jonathan Caulton jonathan.caulton@maplesandcalder.com Singapore Michael Gagie michael.gagie@maplesandcalder.com Cayman Islands Guy Major guy.major@maplesfs.com Delaware James Lawler james.lawler@maplesfs.com Dublin Stephen O Donnell stephen.odonnell@maplesfs.com London Sam Ellis sam.ellis@maplesfs.com Netherlands Jan Hendrik Siemssen janhendrik.siemssen@maplesfs.com Feb 2017 MAPLES AND CALDER This update is intended to provide only general information for clients and professional contacts of Maples and Calder and MaplesFS. It does not purport to be comprehensive or to render legal advice. 16

19 Appendix 1 US CLOs Priced H CLO Pricing Q4 Pricing Date Issuer Arranger Manager 21/12/16 CIFC Funding 2014-IV (refinancing) Mizuho CIFC Asset Management 19/12/16 GSAM-Senior Credit Fund SPV I Natixis Senior Credit Fund LLC 20/12/16 Catamaran CLO (refinancing) Credit Suisse Trimaran Advisors 16/12/16 Ares XXXIII CLO (refinancing) Nomura Ares CLO Management 16/12/16 Shackleton 2015-VII CLO (refinancing) Credit Suisse Alcentra 14/12/16 Palmer Square CLO (refinancing) J.P. Morgan Palmer Square Capital Management 14/12/16 Madison Park Funding XVI (refinancing) Deutsche Bank Credit Suisse Asset Management 14/12/16 Regatta II Funding (refinancing) Goldman Sachs Napier Park 14/12/16 Venture XIX CLO (refinancing) Jefferies MJX Asset Management 13/12/16 LCM XIII (refinancing) Deutsche Bank LCM Asset Management 13/12/16 KVK Goldman Sachs Kramer Van Kirk Credit Strategies 13/12/16 Taconic Park CLO Citigroup GSO/Blackstone Debt Funds Management 13/12/16 Longfellow Place CLO (refinancing) Morgan Stanley NewStar Financial 12/12/16 BlueMountain CLO (refinancing) J.P. Morgan BlueMountain Capital Management 12/12/16 Pinnacle Park CLO (refinancing) Bank of America GSO/Blackstone Debt Funds Management 09/12/16 OHA Credit Partners VII (refinancing) Citigroup Oak Hill Advisors 09/12/16 CIFC Funding 2016-I BNP Paribas CIFC Asset Management 09/12/16 Cerberus Loan Funding XVII Wells Fargo Cerberus Capital Management 09/12/16 ABPCI CLO Natixis AB Private Credit Investors 09/12/16 Benefit Street Partners CLO IV (refinancing)deutsche Bank Benefit Street Partners (Providence) 08/12/16 Oaktree EIF III Series I Wells Fargo Oaktree Capital Management 08/12/16 Eaton Vance CLO (refinancing) Credit Suisse Eaton Vance Management 08/12/16 OZLM Funding III (refinancing) Citigroup Och-Ziff Loan Management 08/12/16 Treman Park CLO (refinancing) Goldman Sachs GSO/Blackstone Debt Funds Management 07/12/16 Dryden 36 Senior Loan Fund (refinancing) Goldman Sachs Prudential Investment Management 07/12/16 Vibrant CLO V BNP Paribas DFG Investment Advisers 06/12/16 Octagon Invstment Partners 29 Credit Suisse Octagon Credit Investors 06/12/16 ALM VII(R) (refinancing) Greensledge Capital Markets Apollo Credit Management 06/12/16 BlueMountain CLO (refinancing) Citigroup BlueMountain Capital Management 05/12/16 MidOcean Credit CLO I (refinancing) Citigroup MidOcean Credit Fund Management 02/12/16 AMMC CLO 15 (refinancing) Mizuho American Money Management 02/12/16 TCI-Cent CLO Citigroup TCI Capital Management 02/12/16 FCO VII CLO Natixis Fortress Investment Group 02/12/16 Maranon Loan Funding Citigroup Maranon Capital 01/12/16 Catamaran CLO Credit Suisse Trimaran Advisors 01/12/16 Riserva CLO Credit Suisse Invesco Senior Secured Management 01/12/16 Carlyle Global Market Credit Suisse Carlyle Investment Management Strategies CLO (refinancing) 01/12/16 HPS Loan Management Citigroup Highbridge Principal Strategies 30/11/16 CIFC Funding (refinancing) Nomura CIFC Asset Management 30/11/16 LCM XXIII GreensLedge Capital Markets LCM Asset Management 30/11/16 Allegro CLO IV Goldman Sachs AXA Investment Managers 30/11/16 Bain Capital Credit MUFJ Bain Capital Credit 29/11/16 Jamestown CLO I (refinancing) Citigroup 3i Debt Management 29/11/16 OHA Loan Funding (refinancing) J.P. Morgan Oak Hill Advisors 29/11/16 Ares XLI BNP Paribas Ares CLO Management 28/11/16 OHA Credit Partners XIII GreensLedge Capital Markets Oak Hill Advisors 22/11/16 ELM CLO (refinancing) Citigroup Mariner Investment Group 22/11/16 West CLO (refinancing) Nomura Allianz Global Investors 22/11/16 OCP CLO (refinancing) Natixis Onex Credit Partners 21/11/16 OHA Loan Funding (refinancing) GreensLedge Capital Markets Oak Hill Advisors 22/11/16 OZLM XV CLO Bank of America Och-Ziff Loan Management 17

20 Appendix 1 US CLOs Priced H Pricing Date Issuer Arranger Manager 22/11/16 Brightwood Capital Fund III Natixis Brightwood Capital Advisors 22/11/16 Madison Park Funding XXIV J.P. Morgan Credit Suisse Asset Management 22/11/16 TCP Waterman CLO Natixis Tennenbaum Capital Partners 22/11/16 KKR CLO 16 Citigroup KKR Financial Advisors 18/11/16 Benefit Street Partners CLO X Deutsche Bank Benefit Street Partners (Providence) 17/11/16 Betony CLO (refinancing) Credit Suisse Invesco Senior Secured Management 17/11/16 Apidos CLO XX (refinancing) Morgan Stanley CVC Credit Partners 17/11/16 Catamaran CLO (refinancing) Bank of America Trimaran Advisors 17/11/16 Magnetite XII (refinancing) Deutsche Bank BlackRock Financial Management 17/11/16 Voya CLO Morgan Stanley Voya Alternative Asset Management 17/11/16 Venture XXV CLO Jefferies MJX Asset Management 16/11/16 Symphony CLO XVIII BNP Paribas Symphony Asset Management 15/11/16 Arrowpoint CLO (refinancing) Goldman Sachs Arrowpoint Asset Management 10/11/16 Apidos CLO XI (refinancing) J.P. Morgan CVC Credit Partners 09/11/16 Palmer Square Loan Funding J.P. Morgan Palmer Square Capital Management 09/11/16 ALM VII(R)-2 (refinancing) J.P. Morgan Apollo Credit Management 09/11/16 Apidos CLO XVII (refinancing) Bank of America CVC Credit Partners 09/11/16 BlueMountain CLO (refinancing) J.P. Morgan BlueMountain Capital Management 08/11/16 Anchorage Capital CLO 9 J.P. Morgan Anchorage Capital Group 08/11/16 MidOcean Credit CLO VI Jefferies MidOcean Credit Fund Management 08/11/16 Dryden 33 Senior Loan Fund (refinancing) Goldman Sachs Prudential Investment Management 08/11/16 Neuberger Berman CLO XVII (refinancing) Barclays Capital Neuberger Berman 08/11/16 GoldenTree Loan Opportunities Greensledge Capital GoldenTree Asset Management Fund XI (refinancing) Markets/PNC Capital Markets 07/11/16 MountainView Credit Suisse Seix Investment Advisors 07/11/16 Race Point VII CLO (refinancing) Nomura Bain Capital Credit 07/11/16 Galaxy XIV (refinancing) Morgan Stanley PineBridge Investments 07/11/16 Saratoga (refinancing) Mizuho Saratoga Investment Corp 07/11/16 Octagon XXI (refinancing) Nomura Octagon Credit Investors 04/11/16 BlueMountain CLO (refinancing) Citigroup BlueMountain Capital Management 03/11/16 York CLO 4 Morgan Stanley York CLO Managed Holdings 02/11/16 Tralee CLO III (refinancing) Deutsche Bank Par-Four Investment Management 01/11/16 Golub Capital CLO Partners 33 GreensLedge GC Investment Management Capital Markets/Natixis 01/11/16 Bristol Park CLO BNP Paribas GSO/Blackstone Debt Funds Management 01/11/16 Cent 22 CLO (refinancing) J.P. Morgan Columbia Management Investment Advisers 31/10/16 OHA Loan Funding Morgan Stanley Oak Hill Advisors 31/10/16 Voya CLO (refinancing) Mizuho Voya Alternative Asset Management 31/10/16 Atlas VII CLO Morgan Stanley Crescent Capital Group 28/10/16 Barings CLO 2016-III Citigroup Babson Capital Management 28/10/16 Salem Fields CLO Citigroup/MUFG Guggenheim Partners Investment Management Securities Americas 28/10/16 Battalion CLO X Citigroup Brigade Capital Management 28/10/16 Cerberus Loan Funding XVI Natixis Cerberus Capital Management 27/10/16 LCM XVII CLO (refinancing) Bank of America LCM Asset Management 27/10/16 Carlyle US CLO Citigroup Carlyle Investment Management 26/10/16 TICP CLO VI Bank of America TPG Institutional Credit Partners 25/10/16 Neuberger Berman CLO XXIII Bank of America Neuberger Berman 25/10/16 Shackleton I CLO (refinancing) Natixis Alcentra 21/10/16 Madison Park Funding X (refinancing) Morgan Stanley Credit Suisse Asset Management 20/10/16 Sound Point CLO XIV Credit Suisse Sound Point Capital Management 19/10/16 NewStar Berekely Fund CLO Citigroup NewStar Financial 18/10/16 CIFC Funding 2012-III (refinancing) BNP Paribas CIFC Asset Management 17/10/16 BNPP IP CLO 2014-II (refinancing) BNP Paribas BNP Paribas Asset Management 17/10/16 AMMC CLO XI (refinancing) Citigroup American Money Management 18

21 Appendix 1 US CLOs Priced H Pricing Date Issuer Arranger Manager 14/10/16 Carlyle Global Market Strategies Morgan Stanley Carlyle Investment Management (refinancing) 14/10/16 Shackleton 2016-IX CLO Morgan Stanley Alcentra 13/10/16 Cedar Funding 6 Jefferies Aegon USA Investment Management 12/10/16 Lockwood Grove CLO (refinancing) Jefferies Tall Tree Investment Management 07/10/16 Burnham Park CLO Wells Fargo GSO/Blackstone Debt Funds Management 07/10/16 Galaxy XVII CLO (refinancing) Mizuho PineBridge Investments 07/10/16 AMMC CLO 19 MUFJ American Money Management 07/10/16 Atlas Senior Loan Fund V (refinancing) Barclays Capital Crescent Capital Group 07/10/16 CIFC Funding 2014-V (refinancing) Morgan Stanley CIFC Asset Management 07/10/16 Goldentree Loan Opportunities IX Citigroup GoldenTree Asset Management (refinancing) 06/10/16 BlueMountain Barclays Capital BlueMountain Capital Management 06/10/16 Anchorage Capital CLO J.P. Morgan Anchorage Capital Group (refinancing) 06/10/16 Atrium VIII CLO (refinancing) Credit Suisse Credit Suisse Asset Management 06/10/16 OZLM Funding II (refinancing) Bank of America Och-Ziff Loan Management 06/10/16 Venture XV CLO (refinancing) Jefferies MJX Asset Management 06/10/16 Venture X CLO (refinancing) Jefferies MJX Asset Management 05/10/16 Dryden XXV Senior Loan Fund (refinancing) Morgan Stanley Prudential Investment Management 04/10/16 Cathedral Lake 2013 (refinancing) Goldman Sachs Carlson Capital 04/10/16 Shackleton II CLO (refinancing) Natixis Alcentra 02/10/16 Apidos CLO XXV Bank of America CVC Credit Partners CLO Pricing Q3 Pricing Date Issuer Arranger Manager 29/09/16 Flatiron CLO (refinancing) Morgan Stanley New York Life Investment Management 29/09/16 Magnetite XVIII Goldman Sachs BlackRock Financial Management 28/09/16 Wellfleet Citigroup Wellfleet Credit Partners 28/09/16 Voya Credit Suisse Voya Alternative Asset Management 28/09/16 Wind River CLO (refinancing) MUFJ THL Credit Advisors 27/09/16 Canyon Capital CLO (refinancing) J.P. Morgan Canyon Capital 27/09/16 Wind River Morgan Stanley THL Credit Advisors 26/09/16 Cathedral Lake IV Jefferies Carlson Capital 26/09/16 Finn Square CLO (refinancing) J.P. Morgan GSO/Blackstone Debt Funds Management 23/09/16 Anchorage Capital CLO J.P. Morgan Anchorage Capital Group (refinancing) 23/09/16 Zais CLO 5 J.P. Morgan Zais Leveraged Loan Manager 16/09/16 Regatta VII BNP Paribas Regatta Loan Management 16/09/16 OCP Bank of America Onex Credit Partners 15/09/16 Garrison Funding Natixis Garrison Capital 15/09/16 Madison Park XXII Wells Fargo Credit Suisse Asset Management 15/09/16 LCM XXII Natixis LCM Asset Management 15/09/16 Garrison Funding Natixis Garrison Capital 15/09/16 Madison Park XXII Wells Fargo Credit Suisse Asset Management 14/09/16 Magnetite VII (refinancing) Citigroup BlackRock Financial Management 13/09/16 ALM VII (refinancing) Citigroup Apollo Credit Management 13/09/16 Ares XL Goldman Sachs Ares CLO Management 08/09/16 Octagon 28 (refinancing) Morgan Stanley Octagon Credit Investors 19

22 Appendix 1 US CLOs Priced H Pricing Date Issuer Arranger Manager 08/09/16 TCI-Symphony CLO (refinancing) Bank of America TCI Capital Management 07/09/16 Garrison Funding Deutsche Bank Garrison Capital 02/09/16 Crestline Denali CLO XIV BNP Paribas Crestline Denali Capital 30/08/16 Ares XXV CLO (refinancing) Nomura Ares CLO Management 30/08/16 Voya CLO (refinancing) Citigroup Voya Alternative Asset Management 25/08/16 Atlas Senior Loan Fund II (refinancing) Morgan Stanley Crescent Capital Group 25/08/16 TIAA Churchill Middle Market CLO I Wells Fargo TIAA-CREF Alternative Advisors 25/08/16 Neuberger Berman CLO XXII Bank of America Neuberger Berman 23/08/16 Arch Street CLO Credit Suisse NewStar Financial 23/08/16 Jay Park CLO Citigroup GSO/Blackstone Debt Funds Management 23/08/16 Dryden 45 Senior Loan Fund Wells Fargo Prudential Investment Management 19/08/16 Trinitas V CLO Morgan Stanley Trinitas Capital Management 18/08/16 Carlyle Global Market Strategies Citigroup Carlyle Investment Management CLO (refinancing) 16/08/16 Ballyrock Goldman Sachs Ballyrock Investment Advisors 11/08/16 Venture XXIV Jefferies MJX Asset Management 11/08/16 Cerberus Loan Funding XV Natixis Cerberus Capital Management 11/08/16 Jamestown CLO IX Citigroup 3i Debt Management 10/08/16 KKR 15 Credit Suisse KKR Financial Advisors 09/08/16 CGMS CLO Citigroup Carlyle Investment Management 08/08/16 Canyon Capital CLO J.P. Morgan Canyon Capital 04/08/16 Atlas Senior Loan Fund I (refinancing) Morgan Stanley Crescent Capital Group 29/07/16 Babson 2016-II Morgan Stanley Babson Capital Management 27/07/16 Ares Enhanced Loan Investment Citigroup Ares CLO Management Strategy IR (refinancing) 26/07/16 PAIA CLO J.P. Morgan Guardian Life 26/07/16 ICG US CLO Citigroup Intermediate Capital Group Debt Advisors 25/07/16 Park Avenue Institutional Advisers J.P. Morgan Park Avenue Institutional Advisers CLO /07/16 Golub Capital Investment Corp CLO 2016 Wells Fargo GC Investment Management 22/07/16 Apidos CLO XXIV Bank of America CVC Credit Partners 22/07/16 Anchorage Credit Funding 3 Greensledge Capital Markets Anchorage Capital Group /Natixis 21/07/16 CIFC Funding (refinancing) Royal Bank of Canada CIFC Asset Management 21/07/16 BlueMountain CLO Citigroup BlueMountain Capital Management 15/07/16 Madison Park XXI Citigroup Credit Suisse Asset Management 15/07/16 Dryden 43 Senior Loan Fund Deutsche Bank Prudential Investment Management 15/07/16 KKR Financial CLO (refinancing) Mizuho KKR Financial Advisors 14/07/16 Sound Point CLO XII Credit Suisse Sound Point Capital Management 12/07/16 Annisa CLO Barclays Capital Invesco RR Fund 08/07/16 Neuberger Berman CLO XVI (refinancing) Bank of America Neuberger Berman 08/07/16 JFIN Jefferies Apex Credit Partners 05/07/16 Carlyle Global Market Strategies Citigroup Carlyle Investment Management (refinancing) 05/07/16 Carlyle Global Market Strategies Mizuho Carlyle Investment Management (refinancing) 01/07/16 Monroe Capital MML BNP Paribas Monroe Capital Management 20