Global CLO Market Trends Quarterly

Newsletter 4Q16 Global CLO Market Trends Quarterly Contacts U.S. Kevin Kendra Managing Director +1 212 908-0760 kevin.kendra@fitchratings.com In this Issue Global Structured Credit 2 3 U.S. Finished Year Strong European Issuance Rises Risk Retention Implications 2017 Notable Updates: U.S. CLO Asset Managers 2016 U.S. CLO Transactions 4 6 Europe Related Research Derek Miller Managing Director +1 312 368-2076 derek.miller@fitchratings.com Matthias Neugebauer Managing Director +44 20 3530 1099 matthias.neugebauer@fitchratings.com U.S. Corporate Loan Credit Opinions (An Explanation and Compilation of Fitch s U.S. Corporate Loan Credit Opinions) (January 2017) 2016 U.S. CLO Refinancings 7 8 2016 European CLO Transactions 8 9 Fourth-Quarter 2016 U.S. CLO Comparison 9 Appendix 10 Historical U.S. CLO Issuance U.S. CLOs Failing OC Tests Post-2002 U.S. CLO Minimum OC Cushion www.fitchratings.com

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

Notable Updates: U.S. CLO Asset Managers Organizations that manage CLOs evolve over time. Key portfolio management staff, credit analysts and operational staff positions can change. Important relationships with parent or subsidiary entities may also change. This section of the newsletter reports on these types of changes that occur with CLO asset managers. We also include our view of the impact to the asset management firm and its CLO management capabilities. We conduct follow-up communication with all managers experiencing material changes to determine their overall impact on CLO management capabilities. 3i Debt Management (3i DM) loan and CLO platform will be sold to Bahrain-based alternatives manager Investcorp according to an announcement from Oct. 25. 3i DM confirmed to Fitch Ratings that no material changes were expected as a result of the spinoff from 3i Group. There has been one portfolio manager departure since the announcement; however, that individual s responsibilities have been assumed by another experienced analyst. Completion of the sale is expected in the first half of 2017. 3i Debt Management remains an acceptable CLO manager. CIFC Asset Management LLC s (CIFC) merger with F.A.B. Partners became effective on Nov. 21. As Fitch noted in its third-quarter newsletter, no material changes to the firm were expected apart from ownership and this has been confirmed following the merger effective date. CIFC remains an acceptable CLO manager. Insight Investment s U.S. CLO team head, Alex Jackson departed the company in November. Joe Nelson has been promoted to Jackson s former role as head of the Insight US Loans team. Nelson has been a longtime senior member of the team and heavily involved in the day-to-day management of the CLOs, alongside Jackson. Insight Investment remains an acceptable CLO manager. Och-Ziff Loan Management LP s (OZLM) parent company, Och-Ziff Capital Management Group LLC (OZM), announced a settlement with the Department of Justice and Securities and Exchange Commission regarding violations of the Foreign Corrupt Practices Act (FCPA) on Sept. 29, 2016. While OZM s parent company avoided a guilty plea as part of the FCPA settlement, Fitch conducted a call with OZLM team members to gauge the overall effect on the firm s CLO management business due to the possibility of reputational damage. Fitch confirmed with OZLM that no members of the CLO platform were involved in the incident and that the announcement had little, if any, impact on the day-to-day CLO operations. Fitch will continue to monitor developments as they arise. Fitch maintains a long-term issuer default rating on OZM of BB+ /Rating Watch Negative. Please refer to Fitch s Nov. 3, 2016 commentary Fitch Downgrades Och-Ziff Capital Management Group LLC to BB+ ; Maintains Rating Watch Negative for further information on OZM. OZLM remains an acceptable CLO manager. Seix Investment Advisors LLC s (Seix) parent Ridgeworth Investments will be acquired by Virtus Investment Partners, Inc. from private equity manager Lightyear Capital. According to both an announcement press release on Dec. 16 and Fitch s communication with Seix, no material changes are expected for the CLO team. Virtus assets under management are expected to double to over $80 billion following the acquisition, providing Ridgeworth and ultimately, Seix, with an enhanced ownership profile in terms of institutional resources. Completion of the sale is expected in June 2017. Seix Investment Advisors LLC remains an acceptable CLO manager. Sound Harbor Partners LLC is expected to be acquired by Allianz Global Investors (AllianzGI) during the first quarter of 2017 according to an announcement made Dec. 1. While it is unclear as to the exact role the Sound Harbor Partners team will play in the AllianzGI organization in terms of new CLO issuance, it has been communicated to Fitch that no material changes are expected for the day-to-day management of its existing CLOs. Sound Harbor Partners LLC remains an acceptable CLO manager. Global CLO Market Trends Quarterly 4Q16 3

2016 U.S. CLO Transactions Deal Name Deal Size Amount (USD Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment Babson CLO 2016-1 407.0 Babson Capital Mgmt Morgan Stanley January 2016 38.0 150 2.1 4.1 8.0 Voya CLO 2016-1 422.7 Voya Alternative Asset Mgmt JPMorgan January 2016 38.0 150 2.4 4.4 8.0 Madison Park XX 504.8 Credit Suisse Asset Mgmt JPMorgan February 2016 38.0 155 2.0 4.8 8.0 Neuberger Berman CLO XXI 361.5 Neuberger Berman Morgan Stanley February 2016 38.0 155 2.0 4.0 8.0 Magnetite XVII 501.2 BlackRock Financial Mgmt Deutsche Bank February 2016 36.0 155 2.1 4.1 8.0 Denali Capital CLO XII 358.8 Crestline Denali Capital BNP Paribas February 2016 36.5 175 2.0 4.0 8.0 Highbridge Loan Management 8-2016 406.8 Highbridge Principal Strategies Morgan Stanley March 2016 38.0 155 2.0 4.5 8.0 Oaktree EIF I Series A 470.0 Oaktree Capital Mgmt Wells Fargo March 2016 38.0 155 2.0 2.5 7.0 Symphony CLO XVII 512.0 Symphony Asset Mgmt GreensLedge March 2016 35.85 285 2.0 4.0 8.5 Wellfleet CLO 2016-1 358.5 Wellfleet Credit Partners Morgan Stanley March 2016 35.0 175 2.0 4.0 8.0 Carlyle GMS CLO 2016-1 401.6 Carlyle Investment Mgmt JPMorgan March 2016 38.4 155 2.0 4.0 8.0 ACAS CLO IX 405.5 American Money Mgmt Citigroup March 2016 33.0 158 1.0 0.0 5.3 Telos CLO 2016-7 252.4 Telos Asset Mgmt SG Americas Securities March 2016 37.4 165 1.0 0.0 5.3 LCM XXI 381.1 LCM Asset Mgmt Deutsche Bank March 2016 37.8 155 2.0 4.5 8.0 Mill Creek CLO II 302.5 40/86 Advisors Goldman Sachs March 2016 34.5 175 2.0 4.0 9.0 Octagon Investment Partners 26 507.7 Octagon Credit Investors Bank of America March 2016 38.0 158 2.0 4.5 8.0 Upland CLO 406.3 Invesco Senior Secured Mmgt Citigroup March 2016 35.0 160 2.0 4.0 8.0 Canyon Capital CLO 2016-1 451.1 Canyon Capital Advisors Goldman Sachs March 2016 35 225 2.0 4.0 8.0 BlueMountain CLO 2016-1 424.1 BlueMountain JPMorgan April 2016 37.9 158 2.0 4.5 8.0 Regatta VI CLO 411.0 Regatta Loan Management Morgan Stanley April 2016 37.0 175 2.2 4.2 8.0 AMMC CLO 18 406.2 American Money Mgmt Jefferies April 2016 39.3 165 2.0 4.0 8.0 Zais CLO 4 280.7 ZAIS Leveraged Loan Mgr RBC April 2016 32.5 155 0.8 0.0 5.8 Dryden 42 Senior Loan Fund 401.8 Prudential Investment Mgmt BNP Paribas April 2016 38.0 156 2.2 5.2 8.0 OCP CLO 2016-11 501.6 Onex Credit Partners Citigroup April 2016 38.0 159 1.0 2.0 6.0 Sound Point CLO XI 512.5 Sound Point Capital Credit Suisse April 2016 35.5 165 2.2 4.4 8.0 Palmer Square Loan Funding 2016-2 200.5 Palmer Square JPMorgan April 2016 32.7 140 1.0 0.0 5.2 Carlyle GMS CLO 2016-2 499.0 Carlyle Investment Mgmt Citigroup April 2016 38.0 156 2.3 4.5 8.0 HPS Loan Management 9-2016 502.6 Highbridge Principal Strategies Citigroup April 2016 38.0 156 2.0 4.0 8.0 Race Point X CLO 401.9 Bain Capital Credit Citigroup April 2016 35.3 160 2.2 4.2 8.0 Black Diamond CLO 2016-1 358.6 Black Diamond JPMorgan April 2016 39.0 165 2.0 4.0 8.0 Trinitas CLO IV 406.6 Triumph Capital Wells Fargo May 2016 35.5 175 1.9 3.9 8.0 Cedar Funding V 397.2 Aegon USA Investment Mgmt Jefferies May 2016 36.5 161 2.1 4.1 8.0 ALM XIX 473.4 Apollo Credit Mgmt Citigroup May 2016 35.0 155 2.6 4.6 8.5 MidOcean Credit CLO V 405.3 MidOcean Credit Fund Mgmt Credit Suisse May 2016 36.0 170 2.0 4.0 8.0 Vibrant CLO IV 406.0 DFG Investment Advisers Goldman Sachs May 2016 35.0 210 2.1 4.1 8.0 Newfleet CLO 2016-1 356.3 Newfleet Asset Mgt Wells Fargo May 2016 35.0 185 2.1 4.1 8.0 York CLO-3 403.2 York Managed Holdings Morgan Stanley May 2016 33.0 157 1.1 2.1 6.7 THL Wind River 2016-1 608.3 THL Credit RBC May 2016 36.0 165 2.1 4.1 8.1 Ocean Trails CLO VI 305.5 West Gate Nomura May 2016 36.7 175 3.1 4.1 8.0 Octagon Investment Partners 27 510.0 Octagon Credit Investors Citigroup May 2016 38.0 153 2.0 4.5 8.0 Arrowpoint CLO 2016-5 354.5 Arrowpoint Asset Mgmt Goldman Sachs May 2016 36.0 172 2.0 4.0 8.0 Steele Creek CLO 2016-1 306.5 Steele Creek BNP Paribas May 2016 36.5 170 2.0 4.0 8.0 KKR CLO 14 508.2 KKR Financial Advisors Natixis May 2016 36.0 162 2.1 4.1 8.0 TCI-Flatiron CLO 2016-1 408.8 TCI Capital Mgmt Bank of America June 2016 36.0 156 2.1 4.6 8.3 TIAA CLO I 454.6 Teachers Advisors Inc Wells Fargo June 2016 35.0 170 2.0 4.0 8.0 Voya 2016-2 407.3 Voya Alternative Asset Mgmt Citigroup June 2016 35.3 154 2.0 5.0 9.0 (table continued) Max. WAL Global CLO Market Trends Quarterly 4Q16 4

2016 U.S. CLO Transactions (continued) Deal Name Deal Size Amount (USD Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment TICP CLO V 2016-1 410.3 TICP CLO Mgmt Bank of America June 2016 40.0 164 2.0 4.0 8.0 ALM XVIII 450.1 Apollo Credit Mgmt BNP Paribas June 2016 38.9 153 2.0 4.5 8.0 Galaxy XXII CLO 400.0 PineBridge Investments Goldman Sachs June 2016 35.9 158 2.0 4.0 8.0 Westcott Park CLO 650.1 GSO/Blackstone Debt Funds Mgmt Wells Fargo June 2016 35.4 153 2.8 4.8 8.8 Seven Sticks CLO 401.5 Guggenheim Investment Mgmt Citigroup June 2016 36.0 170 2.0 4.0 8.0 1828 CLO 410.0 Guggenheim Investment Mgmt GreensLedge June 2016 37.8 160 2.0 4.0 8.0 Venture XXIII CLO 411.3 MJX Asset Mgmt Credit Suisse June 2016 36.0 165 2.0 4.0 8.0 Benefit Street Partners CLO IX 410.0 Benefit Street Partners Morgan Stanley June 2016 36.5 171 2.0 4.0 8.0 Ares XXXIX 510.0 Ares Mgmt JPMorgan June 2016 35.0 153 2.8 4.8 8.8 Anchorage CLO 8 409.8 Anchorage Capital Deutsche Bank June 2016 37.5 165 2.0 4.0 8.0 GoldenTree Loan Opportunities XII 409.7 GoldenTree Asset Mgmt GreensLedge June 2016 38.7 153 2.0 4.5 8.0 JFIN CLO 2016 353.5 Apex Credit Partners Jefferies July 2016 36.6 175 2.0 4.0 8.0 Annisa CLO 408.4 Invesco Senior Secured Mmgt Barclays July 2016 36.0 155 2.0 4.0 8.0 Sound Point CLO XII 722.5 Sound Point Capital Credit Suisse July 2016 35.5 166 2.2 4.2 8.0 Dryden 43 Senior Loan Fund 612.3 Prudential Investment Mgmt Deutsche Bank July 2016 36.5 154 1.9 4.9 9.0 Madison Park XXI 814.3 Credit Suisse Asset Mgmt Citigroup July 2016 35.5 153 1.9 4.9 9.0 BlueMountain CLO 2016-2 505.6 BlueMountain Citigroup July 2016 39.0 155 2.0 5.0 9.0 Apidos CLO XXIV 409.0 CVC Credit Partners Bank of America July 2016 38.0 150 1.9 4.9 8.0 Park Avenue Institutional Advisors CLO 2016-1 406.0 Park Avenue Institutional Advisors JPMorgan July 2016 37.4 170 2.0 4.0 8.0 ICG US CLO 2016-1 405.8 ICG Advisors Citigroup July 2016 36.0 165 1.9 3.9 8.0 Babson CLO 2016-II 411.0 Babson Capital Mgmt Morgan Stanley July 2016 37.0 145 2.2 4.2 8.0 Canyon Capital CLO 2016-2 460.8 Canyon Capital Advisors JPMorgan August 2016 36.0 150 2.1 4.1 8.0 Carlyle GMS CLO 2016-3 504.8 Carlyle Investment Mgmt Goldman Sachs August 2016 35.4 151 2.1 5.1 9.0 KKR CLO 15 410.8 KKR Financial Advisors Credit Suisse August 2016 36.0 156 2.1 4.1 8.0 Venture XXIV CLO 525.5 MJX Asset Mgmt Jefferies August 2016 35.6 156 2.1 4.1 8.0 Jamestown CLO IX 407.6 3i Debt Mgmt Citigroup August 2016 35.0 157 2.1 4.1 8.0 Ballyrock CLO 2016-1 354.1 Ballyrock Investment Advisors Goldman Sachs August 2016 36.0 159 2.1 4.1 8.0 Trinitas CLO V 410.0 Trinitas Capital Mgt Morgan Stanley August 2016 36.0 170 2.1 4.1 8.0 Arch Street CLO 409.8 NewStar Financial Credit Suisse August 2016 36.0 165 2.1 4.1 8.0 Jay Park CLO 508.9 GSO/Blackstone Debt Funds Mgmt Citigroup August 2016 38.6 145 2.0 5.3 8.0 Dryden 45 Senior Loan Fund 659.1 Prudential Investment Mgmt Wells Fargo August 2016 38.0 145 2.0 4.8 8.0 Neuberger Berman CLO XXII 409.0 Neuberger Berman Bank of America August 2016 38.0 145 2.0 4.5 8.0 Crestline Denali CLO XIV 361.0 Crestline Denali Capital BNP Paribas September 2016 36.5 157 2.0 4.3 8.0 Octagon Investment Partners 28 705.5 Octagon Credit Investors Morgan Stanley September 2016 38.0 145 2.0 4.5 8.0 Garrison Funding 2016-1 410.1 Garrison Investment Group Deutsche Bank September 2016 36.5 169 2.0 4.0 8.0 TCI Symphony 2016-1 515.5 TCI Capital Mgmt Bank of America September 2016 36.0 148 2.0 5.0 9.5 Ares XL 707.0 Ares Mgmt Goldman Sachs September 2016 35.0 143 2.0 5.0 8.0 Madison Park XXII 809.0 Credit Suisse Asset Mgmt Wells Fargo September 2016 35.5 148 2.0 5.0 9.0 OCP CLO 2016-12 557.8 Onex Credit Partners Bank of America September 2016 38.0 157 2.0 4.0 8.0 LCM XXII 448.6 LCM Asset Mgmt Natixis September 2016 37.0 148 2.0 5.0 9.0 Regatta VII Funding 407.1 Napier Park BNP Paribas September 2016 36.0 153 1.9 4.2 8.0 Zais CLO 5 408.5 ZAIS Leveraged Loan Mgr JPMorgan September 2016 35.0 153 2.0 4.0 8.0 Cathedral Lake IV 404.2 Carlson Capital Jefferies September 2016 40.3 165 3.0 5.0 8.0 THL Credit Wind River 2016-2 655.5 THL Credit Morgan Stanley September 2016 36.0 150 2.0 4.0 8.0 Voya CLO 2016-3 608.0 Voya Alternative Asset Mgmt Credit Suisse September 2016 38.0 143 2.0 4.8 8.0 Wellfleet CLO 2016-2 406.1 Wellfleet Credit Partners Citigroup September 2016 35.0 165 2.0 4.0 8.0 Magnetite XVIII 535.6 BlackRock Financial Mgmt Goldman Sachs September 2016 35.8 140 2.0 4.8 8.8 Apidos CLO XXV 716.5 CVC Credit Partners Bank of America October 2016 35.5 146 1.9 3.9 8.5 BlueMountain CLO 2016-3 480.1 BlueMountain Barclays October 2016 38.7 143 2.0 4.8 8.0 AMMC CLO 19 459.9 American Money Mgmt Mitsubishi UFJ October 2016 37.4 150 2.3 4.3 8.0 Burnham Park CLO 558.1 GSO/Blackstone Debt Funds Mgmt Wells Fargo October 2016 36.0 143 3.0 5.0 9.0 (table continued) Max. WAL Global CLO Market Trends Quarterly 4Q16 5

2016 U.S. CLO Transactions (continued) Deal Name Deal Size Amount (USD Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment Cedar Funding VI 498.5 Aegon USA Investment Mgmt Jefferies October 2016 36.5 147 2.0 4.3 8.0 Shackleton 2016-IX 412.5 Alcentra NY Morgan Stanley October 2016 36.5 150 3.0 4.3 8.0 Sound Point CLO XIV 715.0 Sound Point Capital Credit Suisse October 2016 35.5 153 2.2 4.2 8.0 Neuberger Berman CLO XXIII 412.0 Neuberger Berman Bank of America October 2016 38.0 143 1.9 4.5 8.0 TICP CLO VI 2016-2 411.0 TICP CLO Mgmt Bank of America October 2016 38.0 155 2.1 4.1 8.0 Carlyle GMS CLO 2016-4 508.1 Carlyle Investment Mgmt Citigroup October 2016 39.5 143 2.0 4.8 8.0 Barings CLO 2016-III 512.3 Barings LLC Citigroup October 2016 38.0 143 2.1 4.9 8.0 Battalion CLO X 404.3 Brigade Capital Mgmt Citigroup October 2016 35.0 155 2.1 4.1 8.0 Salem Fields CLO 449.0 Guggenheim Investment Mgmt Citigroup October 2016 36.0 152 1.9 3.9 8.0 OHA Loan Funding 2016-1 609.0 Oak Hill Advisors Morgan Stanley October 2016 38.3 143 2.0 4.8 8.0 Atlas Senior Loan Fund VII 411.0 Crescent Capital Group Morgan Stanley October 2016 38.0 150 2.0 4.0 8.0 Bristol Park CLO 562.2 GSO / Blackstone Debt Funds BNP Paribas November 2016 35.0 142 2.6 5.1 9.0 York CLO-4 408.0 York Managed Holdings Morgan Stanley November 2016 37.0 163 3.1 5.1 9.5 Mountain View 2016-1 309.0 Seix Investment Advisors LLC Citigroup November 2016 35.5 160 2.1 4.1 8.1 Anchorage CLO 9 563.7 Anchorage Capital JPMorgan November 2016 37.5 151 2.1 4.1 8.3 MidOcean Credit CLO VI 402.7 MidOcean Credit Fund Mgmt Jefferies November 2016 39.5 158 2.1 3.5 8.1 Palmer Square Loan Funding 252.9 Palmer Square JPMorgan November 2016 26.9 115 2.0 0.0 8.0 Symphony CLO XVIII 504.0 Symphony Asset Mgmt BNP Paribas November 2016 38.0 143 2.5 4.5 8.0 Venture XXV CLO 601.6 MJX Asset Mgmt Jefferies November 2016 36.0 149 2.3 4.3 8.1 Voya CLO 2016-4 707.0 Voya Alternative Asset Mgmt Morgan Stanley November 2016 36.0 146 2.1 4.1 8.5 Benefit Street Partners CLO X 510.5 Benefit Street Partners Deutsche Bank November 2016 36.0 149 2.1 4.1 8.0 Madison Park XXIV 762.9 Credit Suisse Asset Mgmt JPMorgan November 2016 38.0 141 2.1 4.8 8.0 KKR CLO 16 711.3 KKR Financial Advisors Citigroup November 2016 35.0 149 2.0 4.0 8.0 OZLM XV 409.3 Och Ziff Loan Mgmt Bank of America November 2016 37.0 149 2.1 4.1 8.0 OHA Credit Partners XIII 410.5 Oak Hill Advisors GreensLedge November 2016 36.0 145 1.1 5.1 9.0 Ares XLI 614.1 Ares Mgmt BNP Paribas November 2016 35.0 141 2.6 5.1 9.1 LCM XXIII 407.6 LCM Asset Mgmt GreensLedge November 2016 38.3 140 2.1 5.1 9.5 Bain Capital Credit CLO 2016 2 548.7 Bain Capital Credit Mitsubishi UFJ November 2016 38.0 142 2.1 4.1 8.1 Allegro CLO IV 456.2 AXA Investment Managers Goldman Sachs November 2016 36.0 140 2.1 4.1 8.0 Riserva CLO 614.0 Invesco Senior Secured Mmgt Credit Suisse December 2016 36.0 146 2.1 4.1 8.0 HPS Loan Management 10 2016 410.2 Highbridge Principal Strategies Citigroup December 2016 38.0 141 2.9 4.9 8.0 Catamaran CLO 2016-1 408.8 Trimaran Advisors Credit Suisse December 2016 36.0 153 2.0 4.0 8.0 TCI-Cent CLO 2016-1 510.2 TCI Capital Mgmt Citigroup December 2016 36.0 152 2.1 5.1 9.0 CIFC Funding 2016-I 509.3 CIFC Asset Mgmt BNP Paribas December 2016 35.5 148 2.1 4.1 8.0 Octagon Investment Partners 29 510.8 Octagon Credit Investors Credit Suisse December 2016 38.0 141 2.1 4.1 8.0 Vibrant CLO V 458.4 DFG Investment Advisers BNP Paribas December 2016 36.0 155 2.6 4.6 8.0 Oaktree EIF III Series I 601.7 Oaktree Capital Mgmt Wells Fargo December 2016 38.0 141 2.0 4.5 8.0 GSO / Blackstone Debt Funds Taconic Park CLO 509.0 Mgmt Citigroup December 2016 35.0 142 2.1 5.1 9.0 KVK CLO 2016-1 355.5 KVK Credit Strategies Goldman Sachs December 2016 37.5 154 2.1 4.1 8.1 Max. WAL 2016 Average 467.1 36.6 155.2 2.1 4.1 8.1 2016 Median 411.7 36.3 155.0 2.0 4.1 8.0 2016 Minimum 200.5 26.9 115.0 0.8 5.2 2016 Maximum 814.3 40.3 210.0 3.1 5.3 9.5 Total $63,532.2 Notes: These spreads represent the spreads of the junior AAA tranches for Symphony CLO XVII and Canyon Capital CLO 2016-1. The senior AAA tranches have spreads of 150 bps and 160 bps. The credit enhancement levels (CE) represent the CE of the junior AAA tranches for Symphony CLO XVII and Canyon Capital CLO 2016-1. The senior AAA tranches have spreads of 43.9% and 45%. Global CLO Market Trends Quarterly 4Q16 6

2016 U.S. CLO Refinancings Vintage Deal Name Collateral Manager Refinanced Par Amount Previous 'AAAsf' (USD Mil.) Spread (bps) Current 'AAAsf' Spread (bps) Closing Date Type 2014 Neuberger Berman CLO XVI Neuberger Berman 375.1 147 145 July 2016 Refinancing 2014 KKR Financial 2013-2 KKR Financial Advisors 235.0 155 145 July 2016 Refinancing 2012 Neuberger Berman CLO XII Neuberger Berman 173.7 152 130 July 2016 Refinancing 2014 Carlyle GMS CLO 2014-3 Carlyle Investment Mgmt 155.0 175 145 July 2016 Refinancing 2013 ACAS CLO 2013-2 American Capital Asset Mgmt 160.0 135 145 July 2016 Refinancing 2012 CIFC Funding 2012-I CIFC Asset Mgmt 287.0 144 129 August 2016 Refinancing 2012 Atlas Senior Loan Fund Crescent Capital Group 256.0 132 122 August 2016 Refinancing 2013 Octagon Investment Partners XVII Octagon Credit Investors 85.0 190 168 September 2016 Refinancing 2013 Ares XXV Ares Mgmt 507.4 139 122 September 2016 Refinancing 2012 Carlyle GMS CLO 2012-3 Carlyle Investment Mgmt 556.4 141 145 September 2016 Reset 2012 Atlas Senior Loan Fund II Crescent Capital Group 350.3 143 123 September 2016 Refinancing 2012 Voya CLO 2012-4 Voya Alternative Asset Mgmt 371.2 139 145 September 2016 Reset 2012 Finn Square CLO GSO / Blackstone Debt Funds Mgmt 414.9 140 121 September 2016 Refinancing 2012 Anchorage Capital CLO 2012-1 Anchorage Capital 460.0 148 148 October 2016 Reset 2014 CIFC Funding 2014-V CIFC Asset Mgmt 462.0 158 140 October 2016 Refinancing 2012 Dryden XXV Prudential Investment Mgmt 503.4 138 120 October 2016 Refinancing 2013 Venture XV CLO MJX Asset Mgmt 553.5 158 152 October 2016 Reset 2012 Magnetite VII BlackRock Financial Mgmt 552.0 137 135 October 2016 Reset 2013 Canyon Capital CLO 2012-1 Canyon Capital Advisors 302.6 145 143 October 2016 Reset 2012 THL Credit Wind River 2012-1 CLO THL Credit 461.2 140 145 October 2016 Reset 2012 California Street CLO IX Symphony Asset Mgmt 543.0 130 145 October 2016 Reset 2012 Venture X CLO MJX Asset Mgmt 344.4 133 122 October 2016 Refinancing 2013 ALM VIII Apollo Credit Mgmt 558.8 145 149 October 2016 Reset 2012 Carlyle GMS 2012-4 Carlyle Investment Mgmt 558.7 139 145 October 2016 Reset 2012 Atrium VIII Credit Suisse Asset Mgmt 460.0 147 135 October 2016 Reset 2014 Lockwood Grove Tall Tree Investment Mgmt 367.6 137 147 October 2016 Reset 2014 Anchorage Capital CLO 3 Anchorage Capital 390.3 150 143 October 2016 Refinancing 2014 GoldenTree Loan Opportunities IX GoldenTree Asset Mgmt 518.8 151 137 October 2016 Refinancing 2012 AMMC CLO XI American Money Mgmt 405.4 145 140 October 2016 Reset 2012 OZLM Funding II Och-Ziff Loan Mgmt 498.5 148 144 October 2016 Reset 2014 Cent CLO 22 Columbia Mgmt 495.9 148 141 November 2016 Refinancing 2014 Octagon Investment Partners XXI Octagon Credit Investors 605.5 147 135 November 2016 Refinancing 2012 Galaxy XIV CLO Pinebridge Investments LLC 462.1 143 137 November 2016 Reset 2015 GoldenTree Loan Opportunities XI GoldenTree Asset Mgmt 425.5 150 138 November 2016 Refinancing 2014 Voya CLO 2014-1 Voya Alternative Asset Mgmt 328.0 150 133 November 2016 Refinancing 2013 Arrowpoint CLO 2013-1 Arrowpoint Asset Mgmt 331.2 128 152 November 2016 Reset 2015 Betony CLO Invesco Senior Secured Mgmt 485.3 151 135 November 2016 Refinancing 2015 Magnetite XII BlackRock Financial Mgmt 489.0 150 133 November 2016 Refinancing 2013 ALM VII(R)-2 Apollo Credit Mgmt 836.5 134 143 December 2016 Reset 2014 Catamaran CLO 2014-2 Trimaran Advisors 372.8 155 140 December 2016 Refinancing 2015 CIFC Funding 2015-I CIFC Asset Mgmt 488.4 152 139 December 2016 Refinancing 2014 Apidos CLO XVII CVC Credit Partners 410.0 150 131 December 2016 Refinancing 2014 AMMC CLO 15 American Money Mgmt 406.0 153 135 December 2016 Refinancing 2014 Carlyle GMS CLO 2014-1 Carlyle Investment Mgmt 583.5 152 130 December 2016 Refinancing 2015 Apidos CLO XX CVC Credit Partners 407.0 155 133 December 2016 Refinancing 2012 Jamestown CLO I 3i Debt Mgmt 468.8 143 155 December 2016 Reset 2015 OHA 2015-1 Loan Funding Oak Hill Advisors 658.0 150 141 December 2016 Reset 2012 OHA Credit Partners VII Oak Hill Advisors 765.5 142 142 December 2016 Reset 2013 MidOcean Credit CLO I MidOcean Credit Fund Mgmt 350.0 140 145 December 2016 Reset 2013 OZLM Funding III Och-Ziff Loan Mgmt 653.3 133 155 December 2016 Reset 2013 LCM XIII LCM Asset Mgmt 517.5 130 141 December 2016 Reset 2013 BlueMountain CLO 2013-1 BlueMountain Capital Mgmt 514.2 120 140 December 2016 Reset Global CLO Market Trends Quarterly 4Q16 7

2016 U.S. CLO Refinancings (continued) Vintage Deal Name Collateral Manager Refinanced Par Amount (USD Mil.) Previous 'AAAsf' Current 'AAAsf' Spread (bps) Spread (bps) Closing Date Type 2015 Vibrant CLO III DFG Investment Advisors 323.0 163 148 December 2016 Refinancing 2012 Catamaran CLO 2012-1 Trimaran Advisors 332.8 141 119 December 2016 Refinancing 2013 Eaton Vance CLO 2013-1 Eaton Vance Mgmt 437.0 136 142 December 2016 Reset 2014 Dryden 36 Senior Loan Fund Prudential Investment Mgmt 612.1 147 142 December 2016 Refinancing 2013 ALM VII {R} Apollo Global Mgmt 408.7 134 141 December 2016 Reset 2013 Regatta II Funding Napier Park 423.2 135 154 December 2016 Reset 2015 Treman Park CLO GSO/Blackstone Debt Funds Mgmt 390.0 150 137 December 2016 Refinancing 2015 Shackleton 2015-VII CLO Alcentra NY 412.5 154 137 December 2016 Refinancing 2015 Madison Park Funding XVI Credit Suisse Asset Mgmt 491.3 150 133 December 2016 Refinancing 2015 Venture XIX CLO MJX Asset Mgmt 365.4 160 137 December 2016 Refinancing 2015 BlueMountain CLO 2015-1 BlueMountain Capital Mgmt 409.2 155 133 December 2016 Refinancing 2016 European CLO Transactions Deal Name Deal Size (EUR Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment Arbour CLO III 414.4 Oaktree Citigroup January 2016 40.0 145 2.0 4.0 8.0 Blackrock European CLO I 410.2 Blackrock Credit Suisse February 2016 40.8 150 2.0 4.0 8.0 CVC VI 411.0 CVC Credit Suisse March 2016 38.0 150 2.0 4.0 8.0 Bluemountain Eur CLO 2016 201 DAC 409.8 Bluemountain JPMorgan March 2016 41.9 155 2.0 4.0 8.0 Contego CLO III 307.8 Rothschild Deutsche Bank March 2016 42.2 153 2.0 4.0 8.0 Bosphorus CLO II DAC 277.7 Commerzbank DFM Stifel March 2016 40.4 143 1.0 1.0 5.4 Harvest XV 413.0 3i RBC, Resource March 2016 42.0 150 2.0 4.0 8.0 Carlyle Global Market Strategies Euro CLO 2016 201 DAC 410.0 Carlyle Citigroup April 2016 38.5 145 2.0 4.0 8.0 Cadogan Square CLO VII 411.7 CSAM Morgan Stanley April 2016 39.8 150 2.0 4.0 8.0 Elm Park CLO 558.2 GSO/Blackstone Deutsche Bank April 2016 41.0 150 2.0 4.0 8.0 Dryden 44 Euro CLO 2016 412.9 PGIM JPMorgan May 2016 38.8 145 2.0 4.0 8.0 ALME Loan Funding V CLO 357.0 Apollo Barclays May 2016 38.9 145 2.0 4.0 8.0 St. Paul's CLO VI 412.8 ICG Citigroup May 2016 38.8 143 2.0 4.0 8.0 Aurium II 359.7 Spire Credit Suisse May 2016 41.4 140 2.0 4.0 8.0 Avoca CLO XVI 462.8 KKR BNP Paribas June 2016 39.2 135 2.0 4.0 8.0 Babson Euro CLO 2016 201 410.0 Babson JPMorgan June 2016 40.0 128 2.0 4.0 8.0 Cairn CLO VI 362.9 Cairn Barclays June 2016 39.4 130 2.0 4.0 8.0 Laurelin 2016 201 CLO 407.4 Goldentree Credit Suisse June 2016 44.8 130 2.0 4.0 8.0 Accunia European CLO I 421.2 Accunia Deutsche Bank July 2016 42.0 143 2.0 4.0 8.0 CVC Cordatus Loan Fund VII 454.2 CVC Citigroup July 2016 43.6 130 2.0 4.0 8.0 Jubilee CLO 2016 20XVII 414.5 Alcentra Morgan Stanley July 2016 39.0 125 2.0 4.0 8.0 Harvest XVI CLO 452.0 3I Credit Suisse July 2016 41.3 125 2.0 4.0 8.0 Adagio V CLO 361.0 AXA JPMorgan July 2016 41.0 123 2.0 4.0 8.0 Griffith Park CLO 453.6 GSO/Blackstone Barclays July 2016 40.5 123 2.0 4.0 8.0 Toro Euorpean CLO 2 362.8 Chenavari Citigroup August 2016 39.3 126 2.0 4.0 8.0 Dryden 46 Euro CLO 471.2 PGIM Barclays September 2016 40.0 118 2.0 4.0 8.0 Euro Galaxy V 411.1 Pinebridge JPMorgan September 2016 39.0 114 2.0 4.0 8.0 Arbour CLO IV DAC 413.5 Oaktree Barclays September 2016 39.0 114 2.0 4.0 8.0 Clarinda Park CLO 415.0 GSO/Blackstone Citigroup September 2016 40.3 115 2.0 4.0 8.0 Tikehau CLO II B.V. 414.0 Tikehau Capital Citigroup October 2016 39.0 106 2.0 4.0 8.0 Max. WAL Global CLO Market Trends Quarterly 4Q16 8

2016 European CLO Transactions (continued) Deal Name Deal Size (EUR Mil.) Collateral Manager Structurer Pricing Date CE (%) Spread (bps) Noncall Reinvestment Avoca CLO XVII 466.0 KKR Morgan Stanley October 2016 38.0 100 2.0 4.0 8.0 Carylyle Global Market 415.0 Carlyle Bank of America October 2016 42.0 100 2.0 4.0 8.0 BlackRock European CLO II 415.8 Blackrock Citigroup October 2016 39.0 98 2.0 4.0 8.0 OZLME CLO 413.0 Och Ziff Bank of America November 2016 42.5 103 2.0 4.0 8.0 GLG Euro CLO II 364.0 Man GLG Morgan Stanley November 2016 38.0 103 2.0 4.0 8.0 Cadogan Square CLO VIII 479.2 CSAM Barclays November 2016 41.0 96 2.0 4.0 8.0 Ares European CLO VIII 417.0 Ares Management Goldman November 2016 40.5 96 2.0 4.0 8.0 Halcyon Loan Advisors 338.0 Halcyon Citigroup November 2016 39.0 103 2.0 4.0 8.0 Dryden 48 Euro CLO 414.5 PGIM BNP Paribas December 2016 40.0 96 2.0 4.0 8.0 Oak Hill Euro CLO V 479.2 Oak Hill Goldman December 2016 41.0 96 2.0 4.0 8.0 Cairn CLO VII 363.0 Cairn Barclays December 2016 38.9 99 2.0 4.0 8.0 Max. WAL 2016 Average 410.2 40.2 125.3 2.0 3.9 7.9 2016 Median 413.0 40.0 126.0 2.0 4.0 8.0 2016 Minimum 277.7 38.0 96.0 1.0 1.0 5.4 2016 Maximum 558.2 44.8 155.0 2.0 4.0 8.0 Total 16,818 Fourth-Quarter 2016 U.S. CLO Comparison Average Median Minimum Maximum Initial Senior OC Test Cushion (%) 10.2 10.0 9.0 16.4 Max. WAL (Years) 8.3 8.0 8.0 9.5 Initial Target Moody's WARF 2743 2751 2254 3300 Max. CCC Assets (%) 7.4 7.5 5.0 7.5 Min. WAS (%) 3.83 3.85 3.45 4.00 Initial WAS All-In Rate (%) 4.04 4.05 3.60 4.29 Max. Fixed Assets (%) 5.0 5.0 0.0 10.0 Min. WAC (%) 6.92 7.00 4.00 7.50 Max. Single Obligor (Top 5) (%) 2.5 2.5 2.0 3.5 Max. Single Obligor (Below Top 5) (%) 2.0 2.0 1.5 3.0 Max. Single Industry (Largest) (%) 14.9 15.0 12.5 15.0 Max. Single Industry (2nd Largest) (%) 12.1 12.0 12.0 13.5 Max. Single Industry (3rd Largest) (%) 11.0 11.5 10.0 12.5 Max. Single Industry (4th Largest) (%) 10.3 10.0 10.0 12.0 Max. Single Industry (Below Top 4) (%) 10.0 10.0 10.0 10.0 Min. Senior Secured (%) 92.2 92.5 90.0 96.0 Max. 2nd Lien (%) 7.9 7.5 4.0 10.0 Max. Senior Unsecured (%) 7.4 7.5 2.5 10.0 Max. Other Than U.S. (%) 19.3 20.0 10.0 20.0 Max. Covenant-Lite (%) 65.4 60.0 50.0 80.0 Max. Long-Dated Collateral (%) 0.1 0.0 0.0 5.0 Expected Ramp-Up By Closing (%) 76.4 80.0 30.0 94.9 Global CLO Market Trends Quarterly 4Q16 9

Appendix Global CLO Market Trends Quarterly 4Q16 10

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