RESEARCH QUARTERLY First Quarter 2015 RESEARCH REPORT

RESEARCH QUARTERLY First Quarter 215 RESEARCH REPORT

TABLE OF CONTENTS Table of Contents... i Capital Markets Overview... 2 Municipal Bond Market... 3 Treasury Market... 4 Federal Agency Debt Market... 6 Funding and Money Market Instruments... 7 Mortgage-Related Securities... 8 Asset-Backed Securities... 9 U.S. Collateralized Loan Obligations... 1 Corporate Bond Market... 12 Equity and Other Markets... 14 Derivatives... 17 Global Primary Loan Market... 17 Secondary Loan Market... 21 The report is subject to the Terms of US applicable to SIFMA's website, available here: http://www.sifma.org/legal/ The Securities Industry and Financial Markets (SIFMA) brings together the shared interests of hundreds of securities firms, banks and asset managers. SIFMA's mission is to support a strong financial industry, investor opportunity, capital formation, job creation and economic growth, while building trust and confidence in the financial markets. SIFMA, with offices in New York and Washington, D.C., is the U.S. regional member of the Global Financial Markets Association (GFMA). For more information, visit www.sifma.org. i

6 3 Issuance in U.S. Capital Markets 1Q'14 vs. 1Q'15 1v 214 1v 215 Municipal Treasury Federal Agency Mortgage-Related Asset-Backed Corporate Equity Note: Includes long-term issuance only Source: Thomson Reuters, U.S. Treasury, U.S. Federal Agencies Issuance Highlights - Year-Over-Year (1) 215:Q1 214:Q1 % Change Municipal 15.4 64.6 63.3% Treasury 528. 564.3-6.4% Federal Agency 13.2 93.8 38.8% Mortgage-Related 34.3 279.9 21.6% Asset-Backed 6.6 55.3 9.6% Corporate 435.6 376.6 15.7% Equity 89.1 63.9 39.5% Issuance Highlights - Quarter-Over-Quarter (1) 215:Q1 214:Q4 % Change Municipal 15.4 15.5 -.1% Treasury 528. 539.1-2.1% Federal Agency 13.2.1 3.% Mortgage-Related 34.3 341.4 -.3% Asset-Backed 6.6 43.4 39.8% Corporate 435.6 33. 32.% Equity 89.1 64.8 37.4% (1) Includes long-term issuance only CAPITAL MARKETS OVERVIEW Total Issuance Increases in 1Q 15 Long-term securities issuance totaled $1.69 trillion in 1Q 15, an 11.3 percent increase from $1.52 trillion in 4Q 14 and a 14.9 percent increase year-over-year (y-o-y) from $1.47 trillion in 1Q 14. Issuance fell quarter-over-quarter (q-o-q) across three asset classes: municipal, Treasury and mortgage-related while the remainder recorded increases. Long-term public municipal issuance volume totaled $13.8 billion in the first quarter of 215, an increase of 4.7 percent from the prior quarter ($99.2 billion) and an increase of 72.7 percent y-o-y ($6.1 billion). Including private placements ($1.6 billion), long-term municipal issuance for 1Q 15 was $15.4 billion. Total gross issuance of Treasury bills and coupons, including cash management bills (CMBs), was $1.72 trillion in 1Q 15, a 2.9 percent decrease from $1.766 trillion issued in 4Q 14 and a 3. percent decrease from 1Q 14 s issuance of $1.768 trillion. Approximately $528. billion in Treasury coupons, Floating Rate Notes and Treasury Inflation-Protected Securities were issued in the first quarter, down 2.1 percent from $539.1 billion issued in the prior quarter and 11. percent below the issuance of $593.1 billion in 1Q 14. Federal agency long-term debt issuance was $13.19 billion in the first quarter, compared to $99.2 billion in 4Q 14 and $93.79 billion in 1Q 14. Issuance of mortgage-related securities, including agency and non-agency passthroughs and collateralized mortgage obligations, totaled $34.3 billion in the first quarter, a.3 percent decline from 4Q 14 ($341.5 billion) but a 21.6 percent increase y-o-y ($28. billion). Asset-backed securities issuance totaled $6.6 billion in the first quarter, an increase of 39.8 percent and 9.6 percent, respectively, q-o-q and y-o-y. The auto sector continued to lead issuance totals with $3.9 billion (5.9 percent of 1Q 15 total issuance), followed by credit cards ($8.8 billion, or 14.4 percent). All sectors experienced increases in issuance q-o-q. Corporate bond issuance totaled $435.6 billion in 1Q 15, up 32. percent from the $33. billion issued in 4Q 14 and 15.7 percent above 1Q 14 s issuance of $376.6 billion. The quarterly incline was driven equally by increased activity in the investment grade sector and high yield sector. Equity underwriting increased by 38.1 percent to $89.1 billion in the first quarter from $64.5 billion in 4Q 14 and was 39.5 percent above the $63.9 billion issued in 1Q 14. True initial public offerings fell to $5.7 billion on 34 deals in 1Q 15, a 68.3 percent decrease from $18. billion and a 52.8 percent decrease from 72 deals in 4Q 14. The IPO volume was the lowest since $4.2 billion in 3Q 12. 2

MUNICIPAL BOND MARKET 6 3 1.8 1.6 1.4 1.2 1..8 Short- 1 and Long-Term Municipal Issuance 7-215:Q1 Short-Term Long-Term 214 215 7 8 9 21 211 212 213 214 Q1 Municipal GO AAA and 1-Yr Treasury Ratio Apr. 8 - Mar. 215 % Yield 1 Includes maturities of 13 months or less Source: Thomson Reuters.6 Apr-8 Apr-9 Apr-1 Apr-11 Apr-12 Apr-13 Apr-14 13 12 12 11 11 1 1 9 9 AQerage Daily Trading Volume of Municipal Securities 1 211:Q1-215:Q1 Source: Bloomberg, MMA 8 11:Q1 11:Q3 12:Q1 12:Q3 13:Q1 13:Q3 14:Q1 14:Q3 15:Q1 1 Includes both dealer-to-dealer and customer-to-dealer transactions. Source: Municipal Securities Rulemaking Board Long-term public municipal issuance volume totaled $13.8 billion in the first quarter of 215, an increase of 4.7 percent from the prior quarter ($99.2 billion) and an increase of 72.7 percent y-o-y ($6.1 billion). Including private placements 1 ($1.6 billion), long-term municipal issuance for 1Q 15 was $15.4 billion. Tax-exempt issuance totaled $94.7 billion in 1Q 15, an increase of 5.5 percent and 77.6 percent q-o-q and y-o-y, respectively. Taxable issuance totaled $6.8 billion in 1Q 15, an increase of.7 percent and 23.9 percent respectively, q-o-q and y-o-y. AMT issuance was $2.4 billion, a decline of 11.9 percent q-o-q but an increase of 77.6 percent y-o-y. By use of proceeds, general purpose led issuance totals in 1Q 15 ($26.6 billion), followed by primary & secondary education ($25. billion), and higher education ($13. billion). Refunding volumes as a percentage of issuance rose sharply from the prior quarter, with 61. percent of issuance refunded compared to 53.1 percent in 4Q 14 and 38.5 percent in 1Q 14. 2 Yields, Inflows, and Total Return Ratios of 1-year tax-exempt AAA GOs and similar-maturity Treasuries rose in the first quarter, ending at 13.7 percent end-march from 96.9 percent end- December and 93.7 percent end-march 214. According to the Investment Company Institute (ICI), first quarter net flow into long-term municipal funds was positive, with $9.2 billion of inflow, compared to $9.6 billion of inflow from the prior quarter and $3.7 billion of inflow y-o-y. According to Bank of America-Merrill Lynch indices, municipals gained 1.1 percent in the first quarter of 215. Build America Bonds (BABs) also had positive total returns of 2.2 percent, performing identically to similarly-rated corporates (2.2 percent). Within the municipal asset class, health and hospital bonds had the greatest total return for the first quarter, with both classes returning 1.7 percent, while single family and leasing/rental asset classes had the smallest gains (.7 percent and.8 percent, respectively), for 1Q 15. Trading Activity and Broker-Dealers Trading activity continued to decline q-o-q to $9.2 billion daily in 1Q 15, a 2. percent decrease from 4Q 14 ($9.4 billion) and a decline of 9.9 percent from 1Q 14 ($1.2 billion). By number of trades, trading activity increased 12.3 percent q-o-q but declined 6. percent y-o-y. 1 Private placement figures are included in top line totals, but figures in charts and tables exclude this subset. 2 Percentages represent both full refundings and the half the dollar amount of deals that contain both refundings and new financing. For just refunding, refunding volumes represent 5.4 percent of issuance in 1Q 15, 42.4 percent in 4Q 14, and 27.1 percent in 1Q 14. 3

TREASURY MARKET 2,6 2, 2, 2, 1,8 1,6 1, 1, Quaterly Gross Issuance of U.S. Treasury Securities 21:Q1-215:Q1 1, 8 FRNs TIPS 6 Coupons CMBs Bills 1Q'1 3Q'1 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 45 3 15 (15) Net Issuances of Treasury Marketable Debt Mar. 21 - Mar. 215 Source: U.S. Treasury Net Coupon Issuance (Notes and Bonds only) Net Issuance (including CMBs) Net Issuance (excluding CMBs) (3) Mar-1 Sep-1 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Gross Issuance of U.S. Treasury Marketable Coupon Securities 4-215:Q1 2, 2, 1, Source: U.S. Treasury Gross Issuance of U.S. Treasury Securities Decreases Total gross issuance of Treasury bills and coupons, including cash management bills (CMBs), was $1.72 trillion in 1Q 15, a 2.9 percent decrease from $1.766 trillion issued in 4Q 14 and a 3. percent decrease from 1Q 14 s issuance of $1.768 trillion. U.S. Treasury net issuance, including CMBs, decreased significantly to a net $116.6 billion in the first quarter, a 48.7 percent decrease from $227.4 billion in the previous quarter and a 55.9 percent decrease from 1Q 14 s net issuance of $264.7 billion. First quarter net issuance was in line with the Treasury s February borrowing estimate of $115. billion. 3 Excluding cash management bills (CMBs), total net issuance of Treasury bills, notes, and bonds in 1Q 14 stood at $127.6 billion, a 52.6 percent decrease from the net issuance of $227.4 billion in the prior quarter. No CMBs were issued in 1Q 15, the second consecutive quarter without new CMBs. Approximately $528. billion in Treasury coupons, Floating Rate Notes (FRNs) and Treasury Inflation-Protected Securities (TIPS) were issued in the first quarter, down 2.1 percent from $539.1 billion issued in the prior quarter and 11. percent below the issuance of $593.1 billion in 1Q 14 4. Excluding TIPS and FRNs, total gross issuance of Treasury marketable coupon securities was $45. billion, a 2.6 percent decrease from $462.1 billion issued in 4Q 14 and 12.6 percent below the $515.1 billion issued in 1Q 14. Net coupon issuance was $96.6 billion, a 46.5 percent decrease from $18.4 billion in 4Q 14 and down 52.8 percent y-o-y. In 1Q 15, $41. billion in Floating Rate Notes (FRNs) were issued, unchanged from the fourth quarter of 214. After the inaugural FRN auction in January 214, the supply of FRNs has been constant at $41. billion per quarter and the demand for FRNs has been high with an average bid-to-cover ratio of 4.3 since the inaugural auction. 1, 214 215 4 5 6 7 8 9 21 211 212 213 214 Q1 Source: U.S. Treasury 6 Quaterly Summary of Bill, Coupon, and TIPS Issuance 21:Q1-215:Q1 3 1Q'1 3Q'1 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 CMBs 4-week Bills 13-week Bills 26-week Bills 52-week Bills 2-year Notes 3-year Notes 5-year Notes 7-year Notes 1-year Notes 3-year Notes TIPS Source: U.S. Treasury 3 Treasury s February borrowing estimates can be found here. 4 Treasury started issuing Floating Rate Notes in January 214. 4

65 6 55 45 Average Daily Trading Volume of Treasury Securities 1 21:Q1-215:Q1 35 1Q'1 3Q'1 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 Treasury Yields and Target Fed Fund Rate Mar. 21 - Mar. 215 4.5 % Yield 4. 3.5 3. 2.5 2. 1.5 1..5 1 Primary dealer activity Source: Federal Reserve Bank of New York 1-yr Treasury 2-yr Treasury Fed Funds Target. 21 211 212 213 214 215 Treasury Yield Projections and Ranges Note: Since December 8, the rate has been -.25% Source: Federal Reserve 2 year Treasury Note.56.82 1.8 (.65 -.95) (.75-1.25) 5 year Treasury Note 1.37 1.55 1.75 (1.5-1.99) (1.65-2.15) 1 year Treasury Note 1.94 2.15 2.43 (1.85-2.5) (2.5-2.6) 3 year Treasury.ond 2.54 2.7 2.95 (2.35-3.5) (2.5-3.5) Source: 2Q'15 SIFMA Government Forecast Survey Mar. 31, 215 Jun. 3, 2159 Sept. 3, 2159 Trading Volume Increases Daily trading volume of Treasury securities by primary dealers averaged $532.5 billion in 1Q 15, a 5.1 percent increase from $56.7 billion in the previous quarter and a.4 percent increase from the $53.6 billion traded daily in 1Q 14. The 5-year average of daily trading volume of Treasuries increased slightly to $535.9 billion from $527.4 billion in the prior quarter. Treasury Yield Curve Flattens In 1Q 15, Treasury yields decreased for all maturities. Two-year rates decreased to.56 percent at the end of March from.67 percent in December 214, the 5-year yields decreased to 1.37 percent in 1Q 15 from 1.65 percent at the end of December, the 1-year yields decreased to 1.94 percent from 2.17 percent in 4Q 14, and 3-year yields decreased to 2.54 percent in March 215 from 2.75 percent in December. The SIFMA Government Issuance and Rates Forecast 5 survey respondents forecast benchmark yields to increase across all other maturities in the next two quarters of 215 (summary of the projections in the table on the left). FOMC Meeting Summary During the most recent FOMC meeting in April 215, the Committee judged that economic growth slowed in the winter months, the pace of job gains moderated, growth in household spending declined, and business fixed investment softened. After concluding its asset purchase program in October 214, the Committee is maintaining its existing policy of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency mortgage-backed securities and of rolling over maturing Treasury securities at auction, which should help maintain accommodative financial conditions. 6 The Fed reaffirmed that a highly accommodative stance of monetary policy and the exceptionally low range for the target Fed Funds rate of -.25 percent remains appropriate. In determining how long to maintain the current target range for the Federal Funds rate, the Committee will assess progress, both realized and expected, toward its objectives of maximum employment and 2 percent inflation. The Committee stated that it can be patient in beginning to normalize the stance of monetary policy and signaled that it would not raise short-term interest rates any earlier than June and that economic conditions may warrant keeping the target federal funds rate below levels the Committee views as normal in the longer run. 7 This quarter the SIFMA Government Issuance and Rates Forecast survey asked the participants when they expect the Fed to raise the target rate. The majority (71.4 percent) of respondents indicated that they are expecting the Fed to raise the target rate at the September 215 meeting with the rest indicating later than September 215. 8 5 Government Issuance and Rates Forecast, 2Q 215. 6 Statement from the FOMC Meeting, April 28-29, 215. 7 Statement from the FOMC Meeting, April 28-29, 215. 8 Op. Cit. 4. 5

FEDERAL AGENCY DEBT MARKET 1, 1, 1, 8 6 Long-Term Federal Agency Debt Issuance 1 7-215:Q1 214 215 7 8 9 21 211 212 213 214 Q1 Long-Term Federal Agency Debt Issuance by Agency 215:Q1 9 8 7 6 5 4 3 2 1 Freddie Mac, $39.2B, 3% 1 Excludes maturities of one year or less * Beginning in 4, Sallie Mae has been excluded due to privatization Sources: Thomson Reuters Fannie Mae, $15.1B, 12% Federal Farm Credit, $23.7B, 18% Federal Home Loan Banks, $52.2B, 4% Average Daily Trading Volume of Federal Agency Securities Apr. 213 - Mar. 215 Sources: Thomson Reuters Other FHLB FNMA FHLMC Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Source: FINRA Federal agency long-term debt (LTD) issuance was $13.19 billion in the first quarter, compared to $99.2 billion in 4Q 14 and $93.79 billion in 1Q 14. The 12 Federal Home Loan Banks issued $75.2 billion in LTD in the first quarter, an increase of 36.5 percent from 4Q 14. A little more than $1.1 trillion in short-term debt (STD) was issued in 1Q 15, equal to $1.1 trillion in 4Q 14. Total FHLB LTD outstanding was $459. billion at quarter-end, down from the $484.8 billion outstanding at the end of theprevious quarter and down y-oy from $486.3 billion. Discount notes decreased to $353.2 billion at the end of 1Q 15 from $362.4 billion in 4Q 14 but increased from $267.6 billion in 1Q 14. Fannie Mae s 1Q 15 gross debt issuance, both STD and LTD, totaled $65.9 billion, in line with $64.9 billion in 4Q 14. STD issuance decreased to $49.2 billion compared with $51. billion in the fourth quarter, while LTD issuance increased to $16.7 billion from $13.8 billion in the prior quarter. Fannie Mae had $99.4 billion in STD outstanding at the end 1Q 15, down from $15.1 billion as of end 4Q 14, and $352.9 billion LTD outstanding, a decrease from $359.4 billion in 4Q 14. Freddie Mac s first quarter gross debt issuance totaled $15.5 billion, a decrease from $18.9 billion in 4Q 14. As of quarter-end, Freddie Mac had $116.5 billion STD and $337.2 billion LTD outstanding, in comparison to the $134.7 billion STD and $314.9 billion in LTD in the prior quarter. Total Farm Credit System gross debt issuance for 1Q 15 totaled $46.2 billion. Total debt outstanding at quarter-end was $221.6 billion, of which $2.4 billion was short-term and $21.3 billion was long-term vs. $26.9 billion short-term and $198. billion long-term in the prior quarter. Primary dealers polled by SIFMA in the Second Quarter Government Forecast survey expected gross coupon issuance for the four largest Federal agencies (FHLB, Fannie Mae, Freddie Mac, and the Farm Credit Systems) to reach $149. billion in the second quarter of 215. By agency, gross coupon issuance was expected to be $16. billion for Fannie Mae, $27. billion for Freddie Mac, $8. billion for the FHLBs, and $26. billion for the Farm Credit System. In the First Quarter Government Forecast gross coupon issuance was expected to be $14. billion for Fannie Mae, $19. billion for Freddie Mac, $6. billion for the FHLBs, and $19. billion for the Farm Credit System. 9 Overall, average daily trading volume of agency securities in the first quarter was $5.1 billion, up slightly from $4.9 billion traded in 4Q 14. 9 Government Issuance and Rates Forecast, 2Q 215. 6

FUNDING AND MONEY MARKET INSTRUMENTS 7, 6, 5, 4, 3, 2, 1,.3.3.2.2.1.1 Financing by U.S. Government Securities Dealers Average Daily Amount Outstanding 7-215:Q1 Reverse Repurchases Repurchases 214 215 7 8 9 21 211 212 213 214 Q1 Percent Note: Data include corporate securities. Source: Federal Reserve Bank of NY Financial & Nonfinancial Commercial Paper 3-Month Interest Rates Apr.. 211 - Mar. 215 Nonfinancial CP Financial CP. Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14.35.3.25 DTCC GCF Repo Index TM Apr. 211 - Mar. 215 Percent Treasuries Agency MBS Sources: Federal Reserve Total Repurchase Activity Fell in the First Quarter 1 The average daily amount of total repurchase (repo) and reverse repo agreement contracts outstanding was $4.3 trillion in 1Q 15, a decrease of 3.7 percent from 4Q 14 s average of $4.18 trillion and a 4.8 percent decline y-o-y. Daily average outstanding repo transactions totaled $2.27 trillion in 1Q 15, a decline of 4. percent from 4Q 14. Reverse repo transactions in 1Q 15 averaged $1.76 trillion, a decrease of 3.4 percent from 4Q 14. Treasuries, Agency Rates Rose in First Quarter; MBS Rates Fell DTCC general collateral finance (GCF) repo rates increased for Treasuries and agency debt in 1Q 15, while MBS rates fell. Specifically, the average repo rate for Treasuries (3-year and less) rose to 15.1 basis points (bps) from 4Q 14 s average rate of 14.5 bps, the average agency repo rate increased to 16.2 bps from 15.8 bps and the average MBS repo rate fell to 16.9 bps from 17.1 bps. Total MMI Outstanding Rose Slightly The outstanding volume of total money market instruments (MMI), including commercial paper (CP) and large time deposits, stood at $2.69 trillion at the end of the first quarter, up 1.8 percent from the prior quarter and a 6. percent decline y-o-y. CP outstanding totaled approximately $952.7 billion, a 2.4 percent increase from the $93.4 billion in 4Q 14 and a 9. percent decline y-o-y. Large time deposits outstanding totaled $1.73 trillion in 1Q 15, an increase of 1.5 percent from 4Q 14, but a 4.3 percent decline y-o-y. Financial and Nonfinancial 3-Month CP Interest Rates Fell Interest rates for nonfinancial CP fell slightly to 11 bps end-march 215 from 13 bps end-december, while financial CP fell to 14 bps from 15 bps at the end of December..2.15.1.5. Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Sources: The Depository Trust & Clearing Corporation 5, Outstanding Money Market Instruments 6-215:Q1 4, 4, 3, 3, 2, 2, 1, 1, Large Time Deposits Commercial Paper 6 7 8 9 21 211 212 213 214 215Q1 Sources: Federal Reserve Seasonally adjusted. 1 Repo data is provided by the primary dealers only: http://www.newyorkfed.org/markets/gsds/search.cfm. For a breakdown of tri-party repo data, please refer to the Federal Reserve Bank of New York s Tri-party Repo Reform website here: http://www.newyorkfed.org/banking/tpr_infr_reform.html. 2 The tri-party repo data collected by the Federal Reserve Bank of New York starting from April 1, 213 revised the way they structured their survey. 7

MORTGAGE-RELATED SECURITIES Issuance of Mortgage-Related Securities 7-215:Q1 3, 2, 2, 1, 1, 1 1 8 6 35 3 25 15 5 Agency - Other Agency MBS/CMO Non-Agency MBS 214 215 7 8 9 21 211 212 213 214 Q1 Issuance of Non-Agency Mortgage-Backed Securities 7-215:Q1 Sources: Federal Agencies, Thomson Reuters RMBS CMBS 214 215 6 7 8 9 21 211 212 213 214 Q1 Average Daily Trading Volume of Agency Mortgage-Related Securities 7-215:Q1 TBA Agency CMO Agency MBS Sources: Bloomberg, Thomson Reuters 214 215 7 8 9 21 211 212 213 214 Q1 Sources: Federal Reserve Bank of NY (pre-211), FINRA Trace (211 onward); 211 data is a daily average beginning May 15, 211 as Trace data starts May 211. U.S. Non-Agency Securities Outstanding 7-215:Q1 4, 3, RMBS CMBS Mortgage-Related Issuance Declines Issuance of mortgage-related securities, including agency and non-agency passthroughs and collateralized mortgage obligations (CMOs), totaled $34.3 billion in the first quarter, a.3 percent decline from 4Q 14 ($341.5 billion) but a 21.6 percent increase y-o-y ($28. billion). Increases were driven by increases in agency issuance. Overall, the agency share of issuance rose to 96.3 percent of total issuance in 1Q 15 from 94.9 percent in the prior quarter. According to Freddie Mac, average rates on conventional 3-year fixed-rate mortgages declined 15 bps in the first quarter of 215 to 3.72 percent from 3.87 percent in the fourth quarter. Agency Issuance and Outstanding Agency mortgage-related issuance totaled $327.7 billion in 1Q 15, an increase of 1.1 percent and 29.6 percent, respectively, q-o-q and 18.5 percent y-o-y. Agency MBS outstandings increased by.2 percent in 1Q 15 to $6.2 trillion from the prior quarter. Non-Agency Issuance and Outstanding Non-agency issuance totaled $12.6 billion in 1Q 15, a decline of 27.8 percent and 53.5 percent, respectively, from 4Q 14 ($17.4 billion) and 1Q 14 ($27.1 billion). Outstanding amounts ended the first quarter at $1.57 trillion, comprised of $626.6 billion in CMBS and $941.9 billion in RMBS. CMBS outstandings declined.1 percent q-o-q while RMBS outstanding declined 1.6 percent q-o-q. In the CMBS space, single asset, single borrower outstandings grew by 12.3 percent q-o-q (up an astonishing 47.4 percent y-o-y). Within the RMBS space, the only growth in outstandings was in scratch & dent (up 1.7 percent q-o-q), which contain those deals securitized by non-performing and re-performing loans.trading Activity Daily trading volumes for mortgage-related securities increased in the first quarter, with pickups in both agency and non-agency trading. Average daily trading volume of agency mortgage-related securities, including passthroughs, CMOs and TBAs, was $218.3 billion in 1Q 15, an increase of 18. percent from 4Q 14 and a 27.8 percent increase y-o-y. Average daily trading volumes of non-agency securities increased 18.1 percent q-o-q and.4 percent y-o-y. Broken out, CMBS trading rose 26.4 percent q-o-q to $2.2 billion and RMBS trading rose 9.4 percent q-o-q to $1.8 billion daily. 3, 2, 2, 1, 1, 7 8 9 21 211 212 213 214 1Q'15 Sources: Loan Performance, Fitch Ratings, Moody's, S&P, SIFMA, Thomson Reuters 8

ASSET-BACKED SECURITIES 35 3 25 15 5 2,. 2,. 1,. Issuance of Asset-Backed Securities 7-215:Q1 214 215 7 8 9 21 211 212 213 214 Q1 ABS Issuance by Major Types of Credit 215:Q1 Student Loans, $3.5B Other, $7.7B Housing Related, $3.9B Equipment, $5.8B Credit Cards, $8.8B Asset Backed Securities Outstanding 4:Q1-215:Q1 Source: Thomson Reuters, SIFMA Auto, $3.9B Source: Thomson Reuters, SIFMA US5-denominated C5h Consumer A.S Asset-Backed Market Issuance Rises in First Quarter Asset-backed securities (ABS) issuance totaled $6.6 billion in the first quarter, an increase of 39.8 percent and 9.6 percent, respectively, q-o-q and y-o-y. The auto sector continued to lead issuance totals with $3.9 billion (5.9 percent of 1Q 15 total issuance), followed by credit cards ($8.8 billion, or 14.4 percent). All sectors except credit cards,experienced increases in issuance q-o-q: The auto sector grew 43.8 percent, equipment grew 33.8 percent, housing-related grew 6. percent, and student loans grew 86.1 percent, while credit card issuance fell 9.2 percent. The other sector, containing esoteric ABS, reported 74.4 percent growth q-o-q with the continued growth of the consumer loan asset class. Asset-backed Outstanding Continues to Grow ABS outstanding ended 1Q 15 at $1.4 trillion, a.6 percent increase q-o-q and 6.9 percent increase y-o-y. Although growth was experienced in all asset classes q-o-q except credit card (1.8 percent decline) and student loans (1.8 percent decline), the particularly robust growth in housing-related category (12.7 percent) stems in part from the growth of the single family rental sector. Auto, equipment, other, and USD-denominated CDOs experienced growth in outstandings of 3.7 percent, 5.6 percent, 1.1 percent, and 1.6 percent, respectively. Trading Activity Increases Daily average trading activity in ABS rose in the first quarter to $1.2 billion, an increase of 4. percent and 5.9 percent, respectively, q-o-q and y-o-y. Including CDOs, average trading activity in 1Q 15 was $1.6 billion daily, up 1.7 percent and 4.8 percent, respectively, q-o-q and y-o-y. Global CDO Issuance Falls According to Thomson Reuters, global funded collateralized debt obligation (CDO) issuance totaled $25.4 billion in 1Q 15, a decline of 7.8 percent q-o-q ($27.5 billion) and 8. percent y-o-y ($27.6 billion). U.S. CLO issuance continues to drive most of new global CDO volume in 215. 1,... 4 5 6 7 8 9 21 211 212 213 214 215 Source: Bloomberg, Thomson Reuters Eikon, SIFMA 1.6 Asset-Backed Securities Average Daily Trading Volume 212:Q1-215:Q1 1.4 1.2 1..8.6.4.2. 1Q'12 2Q'12 3Q'12 4Q'12 1Q'13 2Q'13 3Q'13 4Q''13 1Q'14 2Q'14 3Q'14 4Q'14 1Q'15 Source: FINRA Trace 9

U.S. COLLATERALIZED LOAN OBLIGATIONS 11 45. 4. 35. 3. 25. 2. 15. 1. 5.. 12 1 8 6 4 2 5 45 4 35 3 25 2 15 1 5 Primary US CLO Issuance Volumes 212:Q1-215:Q1 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 212 213 214 215 Secondary US CLO Trading Volumes 212:Q1-215:Q1 Source: Creditflux, CLO-i Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 212 213 214 215 Global CDO Issuance by Transaction Structure 211:Q1-215:Q1 Market Value Synthetic Funded Cash Flow & Hybrid Source: Creditflux, CLO-i 11:Q1 11:Q3 12:Q1 12:Q3 13:Q1 13:Q3 14:Q1 14:Q3 15:Q1.7.6.5.4.3.2.1. Collateralized Debt Obligations Average Daily Trading Volume 212:Q1-215:Q1 Source: Thomson Reuters 1Q'12 2Q'12 3Q'12 4Q'12 1Q'13 2Q'13 3Q'13 4Q''13 1Q'14 2Q'14 3Q'14 4Q'14 1Q'15 CLO Issuance Early concerns over the sluggish pace of new CLO issuance proved to be unfounded, as the primary CLO market continued to defy expectations in the first quarter. Despite only $5.1 billion of new issuance in January, the market picked up quickly, before exploding in March, with $16.7 billion pricing across 31 deals. Overall, 58 new U.S. CLOs priced in the first quarter, for a total of $31.2 billion. By comparison, the first quarter of 214 saw 44 new CLOs pricing for a total of $22.1 billion. The announcement of new risk retention rules for CLO managers, made in October 214, was predicted to reduce the number of managers accessing the primary market. However, this did not turn out to be the case, with 52 managers pricing a CLO in the three months to March. The CLO market also welcomed one first-time issuer, with Fifth Street pricing a $39.5 million middlemarket CLO on January 29. Refi Market After a dramatic slowdown in the latter months of 214, the CLO refinancing market rebounded in the first quarter. On January 9, Citi refinanced CIFC Funding 211-1 for CIFC Asset Management. This was followed by another three refinancings by the end of March. By comparison, there were no deals refinanced in the final quarter of 214, with sources saying that the shakeup at major refi buyer Pimco was to blame. CLO Spreads Although risk retention rules will not become effective until December 216, they have already started to have an effect on CLO debt spreads. During the first quarter, a marked tiering was observed between compliant and noncompliant deals. The average triple-a spread for risk retention-compliant deals was 142.5 basis points in 1Q 11.5 bps tight of the average for non-compliant deals. Managers of non-compliant CLOs began to experiment with different deal structures to reduce funding costs. Prudential Investment Management priced a CLO with a three-year non-call period and five years of reinvestment on March 25. In return for an extra year of call protection, triple-a investors gave up 11 bps of spread, with the deal pricing its senior tranche at 143 bps over Libor. Secondary Market CLO secondary market activity continued at a similar pace to 4Q 14, with $7.5 billion of securities appearing on b-wics between January and March. By comparison, the final three months of 214 saw $7.6 billion offered in the secondary market. Notable trades included a portion of equity from a stronglyperforming Credit Suisse Asset Management deal, which covered at $14.53 on February 3. 1Q 15 also saw an increasing secondary market in other areas of the CDO market, as synthetic CDOs began appearing on b-wics again. Sources say that US credit hedge funds and private equity firms have entered this market, with increasing demand leading to a tightening in CSO spreads. 11 The author of the CLO section is James Harvey, Creditflux. For any questions, please contact James Harvey at james.harvey@creditflux.com. 1

Current Rank Manager $ Billion # Deals 1 Apollo Global Management 14.56 22 2 Credit Suisse Asset Management 14.4 24 3 CIFC Asset Management 13.8 33 4 Carlyle Group 12.58 26 5 Ares Management 11.87 25 6 Highland Capital Management 11.83 25 7 GSO Capital Partners 11.29 22 8 Voya Alternative Asset Management 8.25 19 9 CVC Credit Partners 8.6 21 1 Octagon Credit Investors 7.8 15 Current Rank Arranger $ Billion # Deals 1 Citi 6.4 11 2 Morgan Stanley 4.67 8 3 JP Morgan 2.85 5 4 Bank of America 2.72 5 5 Wells Fargo 2.62 5 6 Credit Suisse 2.41 5 7 Deutsche Bank 2.14 4 8 Goldman Sachs 1.95 4 9 BNP Paribas 1.9 4 1 Jefferies 1.43 3 11

CORPORATE BOND MARKET 1,6 1, 1, 1, 8 6 7 6 3 Corporate Bond Issuance 1 6-215:Q1 High Yield Investment Grade 214 215 6 7 8 9 21 211 212 213 214 1Q 1 Includes all nonconvertible debt, MTNs Yankee bonds, and TLGP debt, but excludes all issues with maturities of one year or less, CDs, and federal agency debt Source: Thomson Reuters U.S. Corporate Option Adjusted Spreads to U.S. Treasury - 1-1 Year Mar. 6 - Mar. 215 Basis Points AA-AAA Industrial BBB-A Industrial Mar-6 Mar-7 Mar-8 Mar-9 Mar-1 Mar-11 Mar-12 Mar-13 Mar-14 Mar-15 7. 6. 5. 4. 3. 2. 1.. 6. 5.5 5. 4.5 4. 3.5 3. 2.5 2. 1.5 U.S. Corporate: AAA - Yield Curves % Yield Years to Maturity Source: Bank of America Merrill Lynch 3/31/215 3/31/214 1-3 3-5 5-7 7-1 1-15 15+ U.S. Corporate: BBB - Yield Curves % Yield Source: Bank of America Merrill Lynch 3/31/215 3/31/214 Corporate Bond Issuance Increases Corporate bond issuance totaled $435.6 billion in 1Q 15, up 32. percent from the $33. billion issued in 4Q 14 and 15.7 percent above 1Q 14 s issuance of $376.6 billion. The quarterly incline was driven equally by increased activity in the investment grade (IG) sector and high yield (HY) sector. The vast majority of the bonds issued in the first quarter were for general corporate purposes (87.8 percent of total issuance), followed by future acquisitions (5.9 percent), and redemption of class shares (2.5 percent). IG bond issuance increased to $346.7 billion in 1Q 15, up 31.2 percent from $264.3 billion in the previous quarter and 13.1 percent y-o-y. Financial companies remained the leading IG debt issuance sector, representing about 47.7 percent of all IG issuance followed by the energy and power sector with 16.9 percent of 1Q 15 s issuance and healthcare with 14. percent. Issuance of HY bonds increased to $88.9 billion in 1Q 15, 35.5 percent above the 4Q 14 total of $65.7 billion and 27. percent higher than the $7. billion issued in 1Q 14. Five sectors made up approximately 7 percent of total HY issuance in the first quarter: energy and power (15.3 percent), followed by media and entertainment (15.1 percent), healthcare (14.9 percent), financials (11.7 percent), and industrials (1.6 percent). Bond Spreads Tighten; U.S. Default Rate Increases Slightly According to Bank of America-Merrill Lynch, the composite spread for AA- AAA industrial bonds and BBB-A industrial bonds tightened in the first quarter of 215. Spreads of IG bonds finished the quarter at 58 bps, down 3 bps from 61 bps at the end of December but up 13 bps from 45 bps at the end of 1Q 14. HY bond spreads also tightened q-o-q, ending 1Q 15 at 125 bps, 17 bps below 142 bps in 4Q 14 but up 13 bps from 112 bps at the end of 1Q 14. S&P s Global Fixed Income Research reported the global corporate default tally to be 25 issuers in 1Q 15, with ten based in the U.S.. Defaults in U.S. increased from seven defaults in the last quarter and up from the five defaults in 1Q 14. The U.S. trailing 12-month speculative-grade corporate default rate increased to 1.8 percent in March 215, up from 1.5 percent in December 214 and is expected to increase to 2.5 percent by December 215. 12 In 1Q 15, S&P Ratings Services downgraded 79 and upgraded 49 U.S. issuers, a very different ratio of downgrades to upgrades than in the previous quarter, when there were 69 downgrades versus 83 upgrades. The ratio of downgrades to upgrades increased to 1.61 in 1Q 15 from.83 in 4Q 14. S&P US Corporate Rating Actions 215:Q1 214:Q4 214:Q1 Q-o-Q Y-o-Y Upgrades 49 83 55-41.% -1.9% Downgrades 79 69 62 14.5% 27.4% Source: S&P Fixed Income Research 1. Years to Maturity 1-3 3-5 5-7 7-1 1-15 15+ Source: Bank of America Merrill Lynch 12 Standard & Poor s Rating Services, The U.S. Speculative-Grade Corporate Default Rate, April 3, 215. 12

TRACE Average Daily Trading Volume - Corporate Bonds 1Q'6-1Q'15 32 3 Private Placements 28 Convertibles 26 24 High Yield 22 Investment Grade 2 18 16 14 12 1 8 6 4 2 Q1'6 Q1'7 Q1'8 Q1'9 Q1'1 Q1'11 Q1'12 Q1'13 Q1'14 Q1'15 Note: Convertibles trading volume only available from 1Q'8 on. Source: FINRA Trading Volume Increases According to the FINRA TRACE data, trading volumes increased sharply for all types of corporate bonds in 1Q 15. IG average daily trading volume increased to $15.6 billion, up 22.3 percent from $12.8 billion in 4Q 14 and up 9.6 percent from $14.3 billion in 1Q 14. HY average daily trading volume was $8.3 billion in 1Q 15, an 18.2 percent increase from $7. billion in the fourth quarter and a 25.4 percent increase from $6.6 billion in the same year-earlier period. The average daily trading volume of convertible bonds (CVs) increased as well in 1Q 15 to $.89 billion, 24.2 percent above 4Q 14 s $.72 billion but 8.8 percent lower than $.98 billion a year ago. Corporate private placements trading volume increased to $6.3 billion in 1Q 15, a 15.9 percent increase from $5.4 billion in the previous quarter. Including private placements, the total corporate average daily corporate bond trading volume totaled $31. billion in 1Q 15, a 19.9 percent increase from 4Q 14 s $25.9 billion. 13 13 Year-over-year data for private placements not available, private placement data starts in 3Q 14. 13

EQUITY AND OTHER MARKETS 5, 5, 4, 4, 3, 3, 2, 2, 1, 1, 4, 4, 3, 3, 2, 2, 1, 1, Daily Closing Stock Prices Mar. 21 - Mar. 215 S&P, NASDAQ Composite NASDAQ Composite S&P Dow Jones Industrial Average Dow Jones Industrial Average 2, 18, 16, 14, 12, 1, 21 211 212 213 214 215 Source: Bloomberg NASDAQ and NYSE Average Daily Share Volume 21:Q1-215:Q1 5, Millions of Shares 14 12 8 NAS5Av NYSE 1:Q1 11:Q1 12:Q1 13:Q1 14:Q1 15:Q1 NASDAQ & NYSE AQerage Daily Trading Volume 21:Q1-215:Q1 8, 6, 4, 2, Sources: NASDAQ, NYSE NAS5AQ NYSE The S&P closed the first quarter of 215 at 2,67.89, a.4 percent increase from the prior quarter and up 1.4 percent y-o-y. The NASDAQ Composite Index finished 1Q 15 at 4,736.5, a 3.5 percent gain from 4Q 14 and a 16.7 percent increase y-o-y. The Dow Jones Industrial Average (DJIA) decreased slightly, finishing 1Q 15 at 17,776.12, a.3 percent decrease q-o-q but an 8. percent increase from 1Q 14. Equity investors recorded very modest gains as the U.S. economy showed signs of slowed growth. Real GDP growth decelerated to an annualized rate of only.2 percent in 1Q 15, down from 2.2 percent in the previous quarter and the weakest reading in a year. NYSE and NASDAQ s Daily Share Volume Decreases, Dollar Volume Increases The New York Stock Exchange s (NYSE) 1Q 15 average daily share volume decreased by 1.2 percent to 1,161. million shares from the previous quarter s 1,174.9 million but up 1.4 percent from 1,51.4 million in 1Q 14. The NYSE s average daily dollar volume rose slightly to $44.9 billion in 1Q 15 from the previous quarter s $44.6 billion and was 8.6 percent higher than 1Q 14 s $41.3 billion. NASDAQ s average daily share volume decreased by 1.3 percent to 1.9 billion shares in 1Q 15 from 1.93 billion in the previous quarter and down 12.3 percent y-o-y. The dollar trading volume rose to $75. billion in 1Q 15, up 3.7 percent from $72.2 billion in 4Q 13 but decreased by 1.6 percent from 1Q 14 s $76.2 billion. NYSE Short Interest Stays Flat The number of shares sold short on the NYSE averaged 15.34 billion shares in 1Q 15, up.1 percent from 15.32 billion during the previous quarter and 7.7 percent up from 14.25 billion in 1Q 14. The NYSE short interest was 9.8 percent above the five-year average of 14. billion. 6 4 2 1:Q1 11:Q1 12:Q1 13:Q1 14:Q1 15:Q1 17 NYSE Short Interest Mar. 21 - Mar. 215 Billions of Shares Sources: NASDAQ, NYSE 16 15 14 13 12 21 211 212 213 214 215 Source: NYSE 14

12 8 6 4 2 8 7 6 5 4 3 2 1 Total Equity Underwriting 21:Q1-215:Q1 Volume () Deals # of Deals 1:Q1 11:Q1 12:Q1 13:Q1 14:Q1 15:Q1 "True" IPO - Excluding Closed-End Funds 21:Q1-215:Q1 45 4 35 3 25 2 15 1 5 Volume Deals Source: Thomson Reuters # of Deals 1:Q1 11:Q1 12:Q1 13:Q1 14:Q1 15:Q1 Secondary Stock Offerings 21:Q1-215:Q1 Volume 5eals 35 3 25 15 5 9 8 7 6 5 4 3 2 1 Source: Thomson Reuters # of Deals 1:Q1 11:Q1 12:Q1 13:Q1 14:Q1 15:Q1 6 U.S. Mergers and Acquisitions Announced Deals 21:Q1-215:Q1 Volume Deals Source: Thomson Reuters # of Deals 3 25 15 5 4, 4, 3, Equity Underwriting Volume Increases Equity underwriting increased by 38.1 percent to $89.1 billion in the first quarter from $64.5 billion in 4Q 14 and was 39.5 percent above the $63.9 billion issued in 1Q 14. Equity underwriting volume in 1Q 15 increased 27.2 percent above the five-year average of $7.1 billion. The number of equity underwriting deals increased to 321, up 3.5 percent q-o-q but down 9.3 percent y-o-y. The average deal size increased to $277.6 million in the first quarter, an incline of 5.8 percent q-o-q and a 53.9 percent increase y-o-y. IPO Volume Falls to a Two-Year Low True initial public offerings (IPOs), which exclude closed-end mutual funds, fell to $5.7 billion on 34 deals in 1Q 15, a 68.3 percent decrease from $18. billion and a 52.8 percent decrease from 72 deals in 4Q 14. IPO volume was the lowest since $4.2 billion in 3Q 12. The leading sector in IPOs in the first quarter was high technology with $1.6 billion raised on 5 deals, followed by energy and power ($4.2 billion on one deal), and real estate ($922.3 million on 4 deals). Secondary Offerings Increase Secondary market issuance increased to $71.1 billion on 268 deals in 1Q 15 from $39.1 billion on 156 deals in 4Q 14 (up 82.1 percent in volume and 68.2 percent in number of deals). The average deal value for the quarter increased by 6. percent to $265.3 million from $25.3 million in the previous quarter. Announced M&A Volume Stays Flat Announced U.S. mergers and acquisitions (M&A) volume stood at $462.7 billion in 1Q 15, a.1 percent increase from the previous quarter s $462.3 billion and a 54.5 percent increase y-o-y. M&A volume was 31.1 percent above the 5- year quarterly average of $352.9 billion. The number of deals increased by 2.1 percent to 3,176 in 1Q 15 from 3,112 in 4Q 14, while the average deal size decreased by 1.9 percent to $145.7 million from $148.6 million in the previous quarter. According to data from Dealogic, the amount of U.S. Inbound M&A (money invested in U.S. companies by those outside the U.S. through M&A) increased to $82.3 billion in 1Q 15, up 63.9 percent from $5.2 billion in the previous quarter and 6.1 percent up from $51.4 billion in 1Q 14. Similarly, the dollar amount U.S. companies invested in other countries though M&A ( US Outbound ) increased in 1Q 15; American firms invested $58.2 billion in deals outside of the U.S., a 26. percent increase from $46.2 billion in 4Q 14 and a triple the amount invested in 1Q 14. 3 3, 2, 2, 1, 1, 1:Q1 11:Q1 12:Q1 13:Q1 14:Q1 15:Q1 Source: Dealogic 15

23 22 21 2 19 18 17 16 15 14 13 12 S&P P/E Ratio Mar. 21 - Mar. 215 11 21 211 212 213 214 215 5 45 4 35 3 25 2 15 1 5 SPX Volatility Index (VIX) Close Mar. 21 - Mar. 215 Source: S&P 21 211 212 213 214 215 Venture Capital Investments in U.S. Companies 21:Q1-215:Q1 16, $ Millions 14, 12, 1, 8, 6, 4, 2, Investment # of Deals Source: Chicago Board of Options Exchange # of Deals 1 1 8 6 S&P P/E Ratio Decreases The S&P s P/E ratio averaged 18.3 in 1Q 15, down 9.8 percent from the previous quarter s 2.2 but a 7.7 percent increase from 16.9 in 1Q 14. The P/E ratio remained above the 5-year moving average of 15.8 but lowered further to 17.4 percent below the quarterly high of 24.5 recorded in 4Q 9. CBOE VIX Index Increases The Chicago Board Options Exchange Volatility Index (VIX) increased to an average of 16.5 in the first quarter from an average of 15.5 in 4Q 14. The index spiked early in the quarter to a high of 22.4 on January 15 and then decreased to a low of 13. on March 2. The spread between high and low values for the VIX was much narrower in 1Q 15 than in the previous quarter. Venture Capital Volume Declines Venture capitalists invested $13.4 billion in 1,2 deals in the first quarter of 215, according to the MoneyTree Report from PricewaterhouseCoopers LLP (PwC) and the National Venture Capital Association (NVCA), based on data provided by Thomson Reuters. Quarterly venture capital (VC) investment activity declined by 1. percent in dollar terms and by 7.5 percent in the number of deals compared to the fourth quarter of 214 when $14.9 billion was invested in 1,13 deals. Although 1. percent down from the previous quarter, venture capital volume was above $1 billion mark for the fifth consecutive quarter. The software industry continued to receive the highest level of funding of all industries, despite being down for the quarter. Venture capitalists invested $5.6 billion on 434 deals during the first quarter of 215, down 7.6 percent in volume from the fourth quarter when total venture investment into the software industry reached $6. billion. Biotechnology received the second largest amount of funding in 1Q 15 with $1.7 billion invested in the sector, down 1.4 percent from 4Q 14. One of the largest quarterly gains in 1Q 15 were in the industrial/energy sector where venure capital funding more than doubled q-o-q to $1.4 billion. 14 1:Q1 11:Q1 12:Q1 13:Q1 14:Q1 15:Q1 Source: Pricewaterhouse/Venture Economics/NVCA MoneyTree Survey 14 Q1 215 Press Release, April 17, 215. 16

DERIVATIVES Gross Notional Amounts Outstanding: OTC Derivatives Dec. 214 $63.15 Trillion Equities, $7.94T Source: BIS Semiannual OTC Derivatives Statistics (end Dec. 214) 62, 61, 6, 59, 58, 57, 56, 55, 54, CDS, $16.4T Commodities, $1.87T Interest Rates, $55.45T Unallocated, $22.61T Gross Notional Value of Interest Rate Swaps Mar. 214 - Mar. 215 Gross Notional Outstanding Trade Count (right) FX, $75.88T Thousands 6, 5, 5, 53, 4, Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 14, 12,, 8, 6, 4, 2, CDS Market Risk Activity By Sector, Weekly - Jan. 215 - Mar. 215 $ Millions CC-Swap Exotic Utilities Technology Industrials Government Telecommunications Energy Health Care Financials Source: DTCC 1/2/15 1/23/15 2/13/15 3/6/15 3/27/15 OIS Swaption Basis Swap CC-Swap Cap/Floor Swap Exotic Inflation Swap Option Exotic Callable Swap Debt Option Gross Notional Value of Interest Rate Swaps March 27, 215 Source: DTCC 1, 2, 3, 4, 5, 6, 7, According to the most recent Bank of International Settlements (BIS) Semiannual Over-the-Counter (OTC) Derivatives Markets Statistics Report, the gross notional amount outstanding of OTC derivatives totaled $63.2 trillion as of end-december 214 (down 8.9 percent from end-june 214) 15. Credit default swaps (CDS) (down 15.7 percent to $16.4 trillion), commodity swaps (down 15.3 percent to $1.9 trillion), interest rate swaps (IRS) (down 1.3 percent tp $55.5 trillion) and unallocated contracts (down 8.9 percent to $22.6 trillion) all decreased from end-june 214. Only equities (up 12.1 percent to $7.9 trillion) and foreign exchange contracts (up 1.5 percent to $75.9 trillion) saw increases from end-june 214. The gross credit exposure of outstanding OTC derivatives increased 18.8 percent to $3.4 trillion during the same period. Interest Rate Swaps 16 According to DTCC data, the gross notional value of outstanding IRS at end- March 215 was $56.4 trillion, down 8.7 percent from end-december 214 s $614. trillion. While slight q-o-q increases were found in basis swaps (up 3.7 percent) and forward rate agreements (up.6 percent), these were more than offset by decreases in debt options (down 58.4 percent), cross-currency swaps (down 24.5 percent), cross-currency exotic swaps (down 14.1 percent), swaps (down 11. percent), overnight index swaps (down 1.8 percent), exotic options (down 1.4 percent) and cap/floor options (down 1.3 percent). The number of contracts outstanding, however, remained virtually unchanged at 5.6 million. Increases in basis swaps (up 7.2 percent) and inflation swaps (up 6.7 percent) were offset by decreases in debt options (down 22.5 percent) and cross-currency exotic swaps (down 14.1 percent). Credit Default Swaps According to DTCC data, the gross notional value outstanding of CDS, including single names, tranches and indices, declined 8.7 percent to $14.6 trillion at end-march 215 from end-december, and fell 28.1 percent y-o-y. Single name CDS gross notional outstanding decreased 8.5 percent q-o-q to $7.7 trillion end-march 215. The most oft-referenced entities outstanding by gross notional exposure in the first quarter were concentrated in European sovereigns, as was the case in 4Q 14, led by Italy ($364.1 billion), Spain ($131.4 billion), Russia ($128.9 billion) and Turkey ($125.9 billion), along with and Brazil ($122.7 billion) and France ($18.5 billion). On a net notional basis, the value of single name CDS outstanding decreased 5.5 percent q-o-q to $682.3 billion. In the first quarter of 215, CDS net notional outstandings were concentrated in government and financial reference entities ($177.7 billion and $123.8 billion, respectively). CDS outstanding decreased on a net notional basis q-o-q in certain Eurozone sovereigns, including Italy (down 11.7 percent) and Spain (down 5.6 percent), though France saw an increase (up 11.5 percent). Aside from governments and financials, outstandings decreased on a net notional basis in consumer services (down 8.5 percent to $61.5 billion) and consumer goods (down 2. percent to $58.8 billion). Source: DTCC 15 According to BIS, data as of end-december 211 is not fully comparable to previous periods due to an increase of the reporting population (as Australia and Spain reported for the first time). 16 Beginning May 212, DTCC took over responsibility for collecting/publishing OTC interest rate trades from TriOptima. As such, sizable increases in certain categories may be the result of different reporting and collecting procedures. 17

1,. 1,. 1,. 8. 6.... 45.. 35. 3. 25.. 15.. Global Loan Volume 9:Q1-215:Q1 Japan APAC (ex. Japan) EMEA Americas. 1Q9 1Q1 1Q11 1Q12 1Q13 1Q14 1Q15 5. Global New Money Volume 9:Q1-215:Q1 Japan Asia Pacific (ex Japan) EMEA Americas Source: Thomson Reuters LPC. 1Q9 1Q1 1Q11 1Q12 1Q13 1Q14 1Q'15 Source: Thomson Reuters LPC GLOBAL PRIMARY LOAN MARKET 17 1Q 15 global loan volume gets off to slow start at $74B Despite success in acquisition financing and other new money lending opportunities, the global loan market was slower than everyone would have liked in 1Q 15. At $74 billion, 1Q 15 global loan volume was down 2 percent year over year and 32 percent compared to 4Q 14. At nearly $391 billion, the Americas represented roughly 53 percent of total global issuance, although the region saw issuance log the lowest quarterly total in two and a half years, with a 4 percent decline quarter over quarter and a more restrained 25 percent compared to 1Q 14. At just over $28 billion, issuance in Europe, the Middle East and Africa (EMEA) was flat in 1Q 15 compared to the year ago period ($29 billion) but was down a more substantial 22 percent compared to last quarter ($265.4 billion). The regional total made up 28 percent of total global loan volume, up from 24 percent at the end of last year. In both the Americas and EMEA, the lower quarterly issuance figures can be traced back to a meaningful slowdown in refinanced loans. At $242 billion, refinancing volume in the Americas represented 62 percent of total lending for the market the smallest proportion of total quarterly regional lending in six years. At less than $139 billion, EMEA refinancing made up 67 percent of total lending for the region, up from 59 percent each of the previous two quarters but down compared to levels well north of 7 percent at various quarterly intervals since the credit crisis. At nearly $67 billion, Asia-Pacific volume slipped 4 percent in 1Q 15 compared to the year ago period ($111 billion) and a more substantial 52 percent compared to last quarter ($139 billion). Corporates reconsidered their borrowing needs and new money lending opportunities while not inconsequential remained limited by sub-region (heavily concentrated in on-shored China) and industry (largely infrastructure and project finance). Similar to both 213 and 214 trends, strong market technicals signaled deep lender capacity and demand for yield, but new loan assets which did make a showing lagged demand. At roughly $331 billion, new money represented 45percent of total global volume during the quarter hardly inspirational on a dollar basis, but the highest percentage of overall issuance in over two years. Proportionally, in the Americas, new loan assets represented 38 percent of total issuance, up from 34 percent of 4Q 14 totals, and 29 percent of 1Q 14 volume. This came on the back of a strong pipeline of investment grade M&A which was supplemented by a flurry of buyout financings and leveraged corporate acquisitions in the U.S. At just under $7 billion, EMEA new money lending represented 33 percent of total regional volume. This was down from the 41 percent logged in 4Q 14, but up from the 28 percent logged in the year ago period when the region marked a near record low in new loan assets ($58 billion). Asia-Pacific new money lending represented 62 percent of total regional volume, largely on par with year ago levels. M&A calendar builds M&A delivered opportunities across regions against a calendar that was built late in 214. 1Q 15 global M&A volume topped $141 billion, down a modest 2 percent compared to year ago totals, but a more substantive 37 percent compared to 4Q 14 results. At over $13 billion, M&A issuance 17 The author of the primary loan section is Maria Dikeos, Thomson Reuters LPC. For any questions, please contact Maria Dikeos: maria.dikeos@thomsonreuters.com 18