CLO PORTFOLIO TRADING SNAPSHOT

CLO PORTFOLIO TRADING SNAPSHOT THOMSON REUTERS LPC MAY 2017 Colm (C.J.) Doherty Director of Analysis colm.doherty@tr.com 646-223-6821

CLO PORTFOLIO TRADING SNAPSHOT Key Points Slides 3-5 U.S. CLO Trading Activity Slides 6-18 European CLO Trading Activity Slide 19-31 CLO PORTFOLIO TRADING SNAPSHOT 2

KEY POINTS This report reflects data available in LPC Collateral as of May 15, 2017 and is subject to updates going forward as more data is collected. The 1Q17 analysis is based on trading activity of 713 U.S. CLOs and 168 European CLOs. All analysis apart from slides 7 and 22 are based off where a trade date was provided. U.S. CLOs: The most widely purchased names in 1Q17 were Avolon Ltd., Change Healthcare Holdings LLC, and Team Health. The top three names sold were Transdigm, Community Health, and Univision Communications. The top 30 most actively traded names accounted for 26% of trading volume in the first quarter. Buying activity represented 64% of CLO portfolio trading volume in 1Q17. U.S. CLO portfolio trade prices climbed higher for purchases and moved lower for sales. The weighted average purchase was 99.32 in the first quarter, with the average sale price at 97.65. CLOs bought more loans in the par-plus price category during the first quarter as 36% of purchases were in this category compared to 24% in 4Q16. There was also an increase in loans sold at par-plus prices in 1Q17, with 66% of sales in this category, up from 59% in 4Q16. Cont d on next slide CLO PORTFOLIO TRADING SNAPSHOT 3

KEY POINTS Selling prices were again more dispersed than purchase prices in 1Q17, as a higher share of portfolio sales were in the sub-99 and par-plus categories. 21% of sales were at a trade price less than 99 (compared to 8% of purchases), and 66% of sales were in the par-plus range (versus 36% of purchases). Electronics was the most widely traded sector in 1Q17. Next was the Printing, Publishing & Broadcasting sector, followed by Healthcare. The Electronics sector also saw the largest net buying volume, followed by Printing, Publishing & Broadcasting and then Finance. Looking at the share of purchases/sales activity by loan spread in 1Q17, CLOs purchased a greater share of both lower spread loans (<=300 bps) and higher spread loans (>=500 bps) compared to what they sold. European CLOs: The names most widely bought by European CLO managers in 1Q17 were VodafoneZiggo, Xella International Gmbh, and eircom Group Plc. The names most actively sold were ZIGGO BV, eircom Group Plc, and Numericable SAS..The top 30 most actively traded names accounted for 54% of trading volume in the first quarter. Buying activity outpaced selling volume by a ratio of 1.7 to 1 in 1Q17. European CLO portfolio purchase prices increased again from their already lofty levels, while sales prices held steady. The weighted average purchase price in 1Q17 was 99.86 versus an average sale price of 99.12. CLO PORTFOLIO TRADING SNAPSHOT Cont d on next slide 4

KEY POINTS European CLOs bought a higher share of par-plus loans in 1Q17, with 71% of purchases in the par-plus price category, up from 59% in 4Q16. The majority of loans sold in 1Q17 were also in the par-plus area, with 80% of sales in this category, up from 77% in 4Q16.. Similar to the US market, European CLO selling prices were more dispersed than purchase prices, as a higher share of portfolio sales were in the sub-99 and par-plus range. 15% of sales were at a trade price less than 99 (compared to 4% of purchases), and 80% of sales were in the par-plus range (versus 71% of purchases). For European CLOs, Printing, Publishing & Broadcasting was the most widely traded sector in 1Q17. Next was Healthcare followed by Chemicals, Plastics & Rubber. Comparing purchase/sales activity by loan spread, CLOs purchased a greater share of lower spread credits and also bought relatively more of the highest spread loans. At a lower spread level, 54% of purchases were in the sub-350 bps category compared to only 27% of sales. For higher spread credits, 20% of purchases involved loans with spreads of 500-plus bps, while 7% of sales were in this category. CLO PORTFOLIO TRADING SNAPSHOT 5

U.S. CLO PORTFOLIO TRADING ACTIVITY

Traded volume ($ Bils.) Buys as share of trading volume (%) U.S.CLO PORTFOLIO TRADING VOLUME* 90 80 70 60 50 40 30 20 10 0 U.S.CLO PORTFOLIO TRADING VOLUME Sell Buy Buys as share of trading activity 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17* *Includes trades where either trade date or settlement date was provided. Where only a settlement date was provided, trade date is estimated. All other slides are based on where a trade date was provided. We have collected trades amounting to $68.2 billion so far for 1Q17. Buying activity represented 64% of CLO portfolio trading volume. 78% 74% 70% 66% 62% 58% 54% 50% U.S. CLO PORTFOLIO TRADING SNAPSHOT 7

Weighted Avg. Trade Price (% of par) AVG. CLO PORTFOLIO TRADING PRICES 102 101 100 99 98 97 96 95 94 93 92 91 U.S. CLO WEIGHTED AVERAGE TRADING PRICES Buys Sells Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 U.S. CLO portfolio trade prices climbed higher for purchases and moved lower for sales. The weighted average purchase was 99.32 in the first quarter, with the average sale price at 97.65. U.S. CLO PORTFOLIO TRADING SNAPSHOT 8

Share of traded volume DISTRIBUTION OF TRADE PRICES IN 1Q17 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF TRADE PRICES U.S. CLOS Buy Sell <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) The 99 to sub-100 category was the most popular price point for purchases. Selling prices were again more dispersed than purchase prices in 1Q17, as a higher share of portfolio sales were in the sub-99 and par-plus categories. 21% of sales were at a trade price less than 99 (compared to 8% of purchases), and 66% of sales were in the par-plus range (versus 36% of purchases). U.S. CLO PORTFOLIO TRADING SNAPSHOT 9

Share of traded volume Share of traded volume DISTRIBUTION OF TRADE PRICES IN 1Q17 CLO 1.0 & CLO 2.0 70% 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 Buy Sell DISTRIBUTION OF TRADE PRICES U.S. CLOS 1.0 VS. 2.0 CLO 1.0 85 to <90 90 to <95 95 to <98 98 to <99 Trade Price (% par par) 99 to <100 >=100 For CLO 1.0s, an overwhelming majority of purchases (92%) were in the 99-plus category compared to 62% of sales. For CLO 2.0s, over half of purchases were in the 99-100 price range, while the largest share of sales were in the par-plus area. 80% 70% 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 Buy Sell CLO 2.0 85 to <90 90 to <95 95 to <98 98 to <99 Trade Price (% par par) 99 to <100 >=100 U.S. CLO PORTFOLIO TRADING SNAPSHOT 10

Share of traded volume DISTRIBUTION OF PURCHASE PRICES: 4Q16 VS. 1Q17 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF PURCHASE PRICES US CLOS 4Q16 1Q17 <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) CLOs bought more loans in the par-plus price category during the first quarter. 36% of purchases were in the par-plus category in 1Q17 compared to 24% in 4Q16. U.S. CLO PORTFOLIO TRADING SNAPSHOT 11

Share of traded volume DISTRIBUTION OF SALES PRICES: 4Q16 VS. 1Q17 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF SALES PRICES US CLOS 4Q16 1Q17 <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) There was also an increase in loans sold at par-plus prices in 1Q17, with 66% of sales in this category, up from 59% in 4Q16. U.S. CLO PORTFOLIO TRADING SNAPSHOT 12

Traded volume ($Bils.) MOST ACTIVELY TRADED INDUSTRIES* IN 1Q17 9.00 8.00 7.00 6.00 5.00 4.00 3.00 2.00 1.00 0.00 *where industry classification available. MOST ACTIVELY TRADED INDUSTRIES - U.S. CLOS Sell Electronics was the most widely traded sector in 1Q17. Next was the Printing, Publishing & Broadcasting sector, followed by Healthcare. The Electronics sector also saw the largest net buying volume, followed by Printing, Publishing & Broadcasting and then Finance. Buy U.S. CLO PORTFOLIO TRADING SNAPSHOT 13

PURCHASES BY INDUSTRY 1Q17 TRADING BY INDSTRY U.S. CLOS Industry Bought ($Mils.) Wtd. Avg. Price Electronics 5,851 99.79 Printing, Publishing and Broadcasting 5,498 99.66 Healthcare, Education and Childcare 4,127 99.45 Diversified/Conglomerate Service 2,596 99.51 Finance 2,538 99.80 Beverage, Food and Tobacco 1,937 99.83 Chemicals, Plastics and Rubber 1,695 99.95 Leisure, Amusement, Motion Pictures, Entertainment 1,674 99.05 Retail Stores 1,490 98.80 Telecommunications 1,280 99.36 Buildings and Real Estate 1,260 99.71 n/a 1,256 97.26 Other 1,054 99.42 Utilities 963 99.65 Automotive 858 99.90 Hotels, Motels, Inns and Gaming 724 99.94 Machinery (non-agri, non-construc, non-elec) 698 99.39 Mining, Steel, Iron and Non-Precious Metals 667 98.62 Containers, Packaging and Glass 562 100.09 Insurance 554 99.62 Transportation 540 100.01 Oil and Gas 484 98.30 Cargo Transport 484 97.88 Home and Office Furnishings, Housewares and Durable Consumer Products 471 99.04 Banking 430 99.71 Personal and Non-Durable Consumer Products 371 98.73 Aerospace and Defense 321 99.43 Personal, Food and Miscellaneous Services 196 97.60 Grocery 116 97.86 Diversified/Conglomerate Manufacturing 107 99.34 Diversified Natural Resources, Precious Metals and Minerals 61 99.90 Farming and Agriculture 60 92.89 Ecological 37 100.41 Textiles and Leather 30 96.16 Government 6 101.03 U.S. CLO PORTFOLIO TRADING SNAPSHOT 14

SALES BY INDUSTRY 1Q17 TRADING BY INDUSTRY U.S. CLOS Industry Sold ($Mils.) Wtd. Avg. Price Electronics 2,549 99.76 Printing, Publishing and Broadcasting 2,412 97.97 Healthcare, Education and Childcare 2,364 97.61 Retail Stores 1,273 93.23 Diversified/Conglomerate Service 1,269 99.26 Leisure, Amusement, Motion Pictures, Entertainment 1,005 98.16 Beverage, Food and Tobacco 927 97.99 Chemicals, Plastics and Rubber 893 99.41 Buildings and Real Estate 760 98.95 n/a 747 87.28 Other 720 95.46 Oil and Gas 694 86.16 Utilities 620 97.69 Aerospace and Defense 535 98.52 Machinery (non-agri, non-construc, non-elec) 532 94.29 Telecommunications 466 95.52 Finance 462 100.34 Containers, Packaging and Glass 451 99.98 Automotive 430 99.90 Hotels, Motels, Inns and Gaming 419 100.69 Mining, Steel, Iron and Non-Precious Metals 396 97.13 Insurance 387 98.23 Transportation 354 100.43 Cargo Transport 328 95.21 Home and Office Furnishings, Housewares and Durable Consumer Products 207 99.29 Grocery 152 98.35 Banking 139 99.99 Personal and Non-Durable Consumer Products 129 100.15 Textiles and Leather 123 81.36 Personal, Food and Miscellaneous Services 103 95.98 Farming and Agriculture 61 97.03 Ecological 42 100.24 Diversified Natural Resources, Precious Metals and Minerals 40 100.80 Diversified/Conglomerate Manufacturing 16 100.48 Government 6 100.83 U.S. CLO PORTFOLIO TRADING SNAPSHOT 15

Share of Buy/Sell Trading volume SHARE OF TRADING BY LOAN SPREAD* IN 1Q17 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% SHARE OF TRADING BY LOAN SPREAD- U.S. CLOS <300 300 to <350 350 to <400 400 to <450 450 to <500 >=500 *where loan spread available. Spread (bps) Looking at the share of purchases/sales activity by loan spread in 1Q17, CLOs purchased a greater share of both lower spread loans (<=300 bps) and higher spread loans (>=500 bps) compared to what they sold. Buy Sell U.S. CLO PORTFOLIO TRADING SNAPSHOT 16

Share of Buy/Sell Trading volume SHARE OF TRADING BY MATURITY DATE* IN 1Q17 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% TRADING VOLUME BY MATURITY DATE U.S. CLOS 2017 2018 2019 2020 2021 2022 2023 2024 >=2025 *where maturity date available. Buy Sell Maturity Date In 1Q17, CLO managers bought more longer dated assets and sold more credits that were closer to maturity. 47% of purchases involved credits with a maturity date of 2024 or greater, while this category represented only 14% of sales. U.S. CLO PORTFOLIO TRADING SNAPSHOT 17

MOST ACTIVELY TRADED NAMES 1Q17 MOST ACTIVELY TRADED NAMES U.S. CLOS # Borrower Buy ($Mils.) Sell ($Mils.) Total ($Mils.) 1 Avolon Ltd 1,083 40 1,123 2 Change Healthcare Holdings LLC 931 59 990 3 Sprint Communications Inc 692 149 841 4 Team Health 707 100 807 5 VodafoneZiggo 677 74 751 6 Level 3 Financing Inc 675 54 729 7 UPC Broadband Holding 621 44 664 8 Grifols SA 511 128 639 9 JBS USA 553 61 614 10 BJ's Wholesale Club 500 103 603 11 Zayo Group 514 77 590 12 Dell Inc 379 200 579 13 Univision Communications 326 227 553 14 Go Daddy Group 414 64 478 15 Avantor Performance Materials Holdings Inc 464 9 473 16 Transdigm 189 266 454 17 LPL Financial Services 387 57 444 18 Community Health 191 241 432 19 Valeant Phaarmaceuticals 223 205 428 20 Berry Plastics Corp 248 173 421 21 Energy Transfer Equity LP 320 98 419 22 Capital Automotive REIT 362 55 417 23 Synchronoss Technologies 307 58 364 24 Calpine Corp 205 157 362 25 Prestige Brands 308 50 358 26 Royalty Pharma 256 98 354 27 TKC Holdings 331 22 353 28 Bass Pro Group LLC 183 157 339 29 American Airlines 180 156 336 30 Pinnacle Foods Finance LLC 263 71 334 U.S. CLO PORTFOLIO TRADING SNAPSHOT 18

EUROPEAN CLO PORTFOLIO TRADING ACTIVITY

Traded volume ( Bils.) Buys as share of trading volume (%) EUROPEAN CLO PORTFOLIO TRADING VOLUME* 12 10 8 6 4 2 0 EUROPEAN CLO PORTFOLIO TRADING VOLUME 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 Sell Buy Buys as share of trading activity *Includes trades where either trade date or settlement date was provided. Where only a settlement date was provided, trade date is estimated. All other slides are based on where a trade date was provided. We have collected 7.3 billion of European CLO portfolio trades for the first quarter. Buying activity outpaced selling volume by a ratio of 1.7 to 1. 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 20

Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 Weighted Avg. Trade Price (% of par) AVG. CLO PORTFOLIOTRADING PRICES 102 100 98 96 94 92 90 88 86 84 82 80 EUROPEAN CLO WEIGHTED AVERAGE TRADING PRICES Buys Sells European CLO portfolio purchase prices increased again in 1Q17 from their already lofty levels, while sales prices held steady. The weighted average purchase price in 1Q17 was 99.86 versus an average sale price of 99.12. EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 21

Share of trades DISTRIBUTION OF TRADE PRICES IN 1Q17 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF TRADE PRICES EUROPEAN CLOS <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Similar to the US market, European CLO selling prices were more dispersed than purchase prices, as a higher share of portfolio sales were in the sub-99 and par-plus range. 15% of sales were at a trade price less than 99 (compared to 4% of purchases), and 80% of sales were in the par-plus range (versus 71% of purchases). Buy Sell Trade Price (% par par) EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 22

Share of traded volume Share of traded volume DISTRIBUTION OF TRADE PRICES IN 1Q17 CLO 1.0 & CLO 2.0 70% 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 DISTRIBUTION OF TRADE PRICES EUROPEAN CLOS 1.0 VS. 2.0 Buy Sell CLO 1.0 85 to <90 90 to <95 95 to <98 98 to <99 Trade Price (% par par) 99 to <100 >=100 For CLO 1.0s, 63% of sales were in the par-plus price category, while at the other end of the price spectrum 17% were in the sub-90 area. For CLO 2.0s, the majority of both purchases and sales were in the 100-plus price range. 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 Buy Sell CLO 2.0 85 to <90 90 to <95 95 to <98 98 to <99 Trade Price (% par par) 99 to <100 >=100 EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 23

Share of trades DISTRIBUTION OF PURCHASE PRICES: 4Q16 VS. 1Q17 80% 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF PURCHASE PRICES EUROPEAN CLOS 4Q16 1Q17 <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) European CLOs bought a higher share of par-plus loans in 1Q17. 71% of purchases were in the par-plus price category, up from 59% in 4Q16. EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 24

Share of trades DISTRIBUTION OF SALES PRICES: 4Q16 VS. 1Q17 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF SALES PRICES EUROPEAN CLOS 4Q16 1Q17 <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) The majority of loans sold in 1Q17 were also in the par-plus area, with 80% of sales in this category, up from 77% in 4Q16. EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 25

Printing, Publishing and Broadcasting Healthcare, Education and Childcare Chemicals, Plastics and Rubber Telecommunications Electronics Buildings and Real Estate Leisure, Amusement, Motion Diversified/Conglomerate Service Mining, Steel, Iron and Non-Precious Transportation Personal, Food and Miscellaneous Finance Hotels, Motels, Inns and Gaming Beverage, Food and Tobacco Home and Office Furnishings, Banking Diversified Natural Resources, Machinery (non-agri, non-construc, Retail Stores Oil and Gas Containers, Packaging and Glass Automotive Personal and Non-Durable Consumer Insurance Grocery Government Aerospace and Defense Ecological Farming and Agriculture Textiles and Leather Utilities Diversified/Conglomerate Share of trading by sector Buying as % of trading activity MOST ACTIVELY TRADED INDUSTRIES* IN 1Q17 24% 19% 14% 9% 4% -1% MOST ACTIVELY TRADED INDUSTRIES EUROPEAN CLOS *Excludes trades where industry is not available Share of trading by sector Buying as % trading activity 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% For European CLOs, Printing, Publishing & Broadcasting was the most widely traded sector in 1Q17. Next was Healthcare followed by Chemicals, Plastics & Rubber. EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 26

PURCHASES BY INDUSTRY* 1Q17 TRADING BY INDUSTRY EUROPEAN CLOS Industry % of Purchases Wtd. Avg. Price Printing, Publishing and Broadcasting 21.7% 99.99 Healthcare, Education and Childcare 11.8% 98.58 Buildings and Real Estate 10.8% 99.89 Chemicals, Plastics and Rubber 9.9% 100.08 Electronics 9.0% 99.88 Telecommunications 6.2% 100.02 Leisure, Amusement, Motion Pictures, Entertainment 4.8% 99.81 Diversified/Conglomerate Service 3.8% 99.98 Personal, Food and Miscellaneous Services 3.3% 99.74 Mining, Steel, Iron and Non-Precious Metals 2.8% 100.02 Hotels, Motels, Inns and Gaming 2.4% 99.87 Finance 2.3% 100.11 Banking 2.1% 99.98 Diversified Natural Resources, Precious Metals and Minerals 1.9% 99.57 Beverage, Food and Tobacco 1.2% 100.36 Automotive 1.0% 100.45 Home and Office Furnishings, Housewares and Durable Consumer Products 1.0% 98.17 Transportation 0.8% 99.85 Machinery (non-agri, non-construc, non-elec) 0.7% 100.22 Oil and Gas 0.6% 99.47 Retail Stores 0.5% 96.40 Containers, Packaging and Glass 0.4% 100.62 Grocery 0.3% 101.50 Aerospace and Defense 0.2% 99.82 Personal and Non-Durable Consumer Products 0.2% 100.96 Insurance 0.1% 101.08 Government 0.1% 100.00 Ecological 0.1% 100.00 Diversified/Conglomerate Manufacturing 0.1% 98.50 Textiles and Leather 0.1% 100.00 *Excludes trades where industry is not available EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 27

SALES BY INDUSTRY* 1Q17 TRADING BY INDUSTRY EUROPEAN CLOS Industry % of Sales Wtd. Avg. Price Printing, Publishing and Broadcasting 21.6% 99.81 Telecommunications 14.9% 99.77 Chemicals, Plastics and Rubber 8.9% 100.29 Healthcare, Education and Childcare 8.5% 96.83 Electronics 8.5% 99.97 Transportation 6.3% 90.52 Diversified/Conglomerate Service 3.3% 100.52 Buildings and Real Estate 3.0% 100.46 Leisure, Amusement, Motion Pictures, Entertainment 2.8% 82.06 Home and Office Furnishings, Housewares and Durable Consumer Products 2.8% 98.18 Mining, Steel, Iron and Non-Precious Metals 2.5% 100.10 Beverage, Food and Tobacco 2.4% 100.45 Machinery (non-agri, non-construc, non-elec) 2.4% 100.55 Finance 1.9% 100.04 Retail Stores 1.5% 92.75 Containers, Packaging and Glass 1.3% 101.31 Personal, Food and Miscellaneous Services 1.0% 101.00 Hotels, Motels, Inns and Gaming 1.0% 100.03 Oil and Gas 0.9% 100.70 Government 0.8% 100.96 Personal and Non-Durable Consumer Products 0.8% 101.19 Automotive 0.6% 100.99 Grocery 0.4% 99.97 Diversified Natural Resources, Precious Metals and Minerals 0.4% 99.95 Aerospace and Defense 0.4% 99.78 Banking 0.3% 100.93 Ecological 0.3% 99.86 Utilities 0.2% 94.03 Farming and Agriculture 0.1% 79.00 Textiles and Leather 0.1% 54.55 Insurance 0.1% 101.50 *Excludes trades where industry is not available EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 28

Share of Buy/Sell Trading volume SHARE OF TRADING BY LOAN SPREAD* IN 1Q17 50% 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% SHARE OF TRADING BY LOAN SPREAD - EUROPEAN CLOS <300 300 to <350 350 to <400 400 to <450 450 to <500 >=500 *where loan spread available. Buy Sell Spread (bps) Comparing purchase/sale activity by loan spread, CLOs purchased a greater share of lower spread credits and also bought relatively more of the highest spread loans. At a lower spread level, 54% of purchases were in the sub-350 bps category compared to only 27% of sales For higher spread credits, 20% of purchases involved loans with spreads of 500-plus bps, while 7% of sales were in this category. EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 29

Share of Buy/Sell Trading volume SHARE OF TRADING BY MATURITY DATE* IN 1Q17 40% 35% 30% 25% 20% 15% 10% 5% 0% TRADING VOLUME BY MATURITY DATE EUROPEAN CLOS 2017 2018 2019 2020 2021 2022 2023 2024 >=2025 *where maturity date available. Buy Sell Maturity Date A large majority of purchases (77%) involved credits with a maturity date of 2023 or greater. This category represented a lower share of sales (46%). EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 30

MOST ACTIVELY TRADED NAMES 1Q17 MOST ACTIVELY TRADED NAMES EUROPEAN CLOS # Borrower Buy ( Mils.) Sell ( Mils.) Total ( Mils.) 1 VodafoneZiggo 556.30 30.50 586.80 2 eircom Group Plc 206.94 193.87 400.81 3 Numericable SAS 183.48 112.19 295.68 4 Xella International Gmbh 243.96 12.00 255.96 5 ZIGGO BV 24.11 197.18 221.29 6 Ineos Group Ltd 113.12 87.19 200.31 7 Infor Global Solutions 190.55-190.55 8 Corialis Group 96.03 40.18 136.21 9 Parex Group 119.32 13.83 133.14 10 Cerba European Lab (CEL) 111.50 3.50 115.00 11 Ferro Corp 84.97 10.90 95.87 12 Acelity 87.42 5.31 92.73 13 Apcoa Parking AG 80.12-80.12 14 QuintilesIMS Holdings Inc 58.22 20.39 78.61 15 Ethypharm SA 54.20 23.57 77.78 16 Dorna Promocion del Deporte SA (Dorna Sports) 61.53 15.23 76.75 17 Keter Group 58.05 17.00 75.05 18 Fraikin SA 1.00 62.56 63.56 19 MATTERHORN TELECOM SA 41.99 20.66 62.65 20 OGF [Pompes Funebres Generale] 43.21 18.65 61.86 21 GVC Holdings Plc 57.92-57.92 22 Paroc Group Oy AB 52.08 3.50 55.58 23 Chemours Co 51.86-51.86 24 Unilabs Holdings SA 43.32 8.15 51.48 25 VERISURE HOLDING AB 41.95 9.00 50.95 26 Tunstall Holdings Ltd - 49.48 49.48 27 Tipico Co Ltd 37.75 10.50 48.25 28 Kuoni Reisen Holding AG - 45.88 45.88 29 Cooper Ltd 35.65 10.00 45.65 30 Maxeda DIY BV 23.25 18.07 41.32 EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 31

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