REUTERS / Toby Melvilleshare.thomsonreuters.com/loanpricing/LoanMonthly/Leveraged_Loan_Monthly_Jul_2018.pdfLBO purpose volume is flat YoY at $55 billion . ... The trailing twelve -month

REUTERS / Toby Melville

Leveraged Loan Monthly Thomson Reuters LPC July 2018 Hugo Pereira Senior Market Analyst [email protected] 1-646-223-6818

Elizabeth Han Director of Market Analysis [email protected] 1-646-223-8354

mailto:[email protected]�


REUTERS / Johannes P. Christo Contents:

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Key Points: Primary Market: • 2018 leveraged loan activity continued at a healthy pace, with $810.6 billion issuance recorded YTD, second only to

last year’s record levels of $835.21 billion over the same period. Leveraged lending added $73.5 billion in July, with pro-rata issuance roughly in line with 2017 levels and institutional issuance $12.5 billion less than the same period one year ago.

• Institutional issuance recorded $45.32 billion in July, bringing YTD levels to $515 billion. July’s volume is $12.17 billion

higher than issuance one year ago, and overall levels remain robust and are second only to last year’s record volume of $559 billion over the same period. High-yield bonds remain muted with $116 billion of volume YTD, compared to $161.41 billion over the same period in 2017.

• Institutional new money activity was robust in July 2018 at $39.7 billion, more than 3x volume from one year ago. This

was driven by M&A (non-LBO) purpose issuance, which jumped 71% to $109.2 billion year to date with $23 billion in July alone. LBO purpose volume is flat YoY at $55 billion.

• July’s flex factor moved closer to neutral territory with an average score of 1.0, tracking 13 reverse flexes versus 10

flexes in favor of lenders. Overall market issuance was down in July, with key deals SIRVA and naviHealth among the major deals that flexed this month.

• Default activity was minimal in July, with $290 million of defaulted debt from Washington Inventory Services’ Ch. 11 filing. The trailing twelve-month default rate declined to 2.3%, according to Fitch. There has been $16.65 billion of defaulted debt year to date, slightly higher than $15.21 billion in 2017 over the same period.

Cont’d on next slide

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Key Points: Secondary Market: • The average price for multi-quoted institutional TL ticked up 2bps in July to the 98.30. The average mark for all

institutional loans advanced 9bps in July and 43bps so far this year.

• Leveraged loans bounced back in July to post a 0.74% return, according to the SP/LSTA LLI. Year-to-date returns now stand at 2.91% ahead of 2.62% recorded over the same period last year. Average returns for open-ended loan funds also ticked up to 0.7%. On average, open-ended funds have returned 2.37% YTD.

• The share of multi-quote institutional loans priced in the par-plus area stand at 51% at the end of July. The share priced at or above 101 increased to 3% from 2% the previous month. At the other end of the spectrum, 5% of credits are bid below 90 cents on the dollar. On a dollar-weighted basis, the par plus percentage stands at 49%; it was 26% in the previous month.

• Institutional outstandings increased $16.35 billion in July to $1.060 trillion. Outstandings have now increased by $105.56 billion since the start of 2018.

• High-yield bond yields remain range-bound and ended July in the 6.36% range. CLOs / Loan Funds: • CLO new-issue activity added $10 billion of paper in July and stands at $78 billion year-to-date, 29% ahead of last

year’s levels and 5% ahead of 2014’s record setting year.


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Key Points:

• Combined July CLO reset and refinancing volume stands at $15.8 billion, with just under $10 billion in resets/reissues and $5.9 billion in refinancings. There has been a combined $97 billion in repricing/reset activity so far this year, outpacing the $78 billion of new-issue activity.

• European CLO volume jumped in July with eleven new-issues pricing for €4.5 billion in volume. Volume for the first half of the year stands at €17.8 billion, compared to €9.6 billion a year ago.

• Assets under management (AUM) rose to $547 billion for U.S. CLOs and €86 billion for European CLOs.

• Average DMs on CLO AAA liabilities widened to 113 bps for U.S. CLOs and 87 bps for European CLOs.

• According to the most recently available data, high-yield bond funds reversed and posted an inflow of $1.4 billion in July. So far into the year, HY funds have recorded outflows in five out of seven months recording $22.5 billion in outflows. Leveraged loans pulled in $1.4 billion in July, taking YTD inflows past $14 billion.

• Breaking loan funds out by their ETF and mutual fund categories, the latter saw the lion’s share of demand this year with inflows of $12.7 billion. ETFs have registered $1.38 billion of inflows so far this year, according to the most recently available data.

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Leveraged Loan Market Overview *2018 loan volumes are based on the most recently available data and is subject to updates throughout the quarter.

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2018 leveraged loan activity continued at a healthy pace, with $810.6 billion issuance recorded YTD, second only to last year’s record levels of $835.21 billion over the same period. Leveraged lending added $73.5 billion in July, with pro-rata issuance roughly in line with 2017 levels and institutional issuance $12.5 billion less than the same period one year ago.

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YTD2018 Leveraged Loan Issuance by Industry Industry Lev. Vol. ($Bils.) New Money Lev. Vol. ($Bils.) % of Lev. Vol % of New Money Lev. Vol Technology 109.84 48.16 13.6% 16.7% Financial Services 69.27 25.96 8.5% 9.0% Oil and Gas 62.16 9.49 7.7% 3.3% Healthcare 60.36 31.47 7.5% 10.9% General Manufacturing 53.17 19.97 6.6% 6.9% Business Services 51.17 11.45 6.3% 4.0% Services 41.24 16.79 5.1% 5.8% Retail & Supermarkets 40.33 21.90 5.0% 7.6% Chemicals, Plastics & Rubber 34.81 8.18 4.3% 2.8% Leisure and Entertainment 27.92 4.57 3.4% 1.6% Wholesale 27.32 10.83 3.4% 3.8% Automotive 26.30 11.22 3.2% 3.9% Telecommunications 24.26 8.39 3.0% 2.9% Utilities 19.75 3.95 2.4% 1.4% REITS 19.44 4.34 2.4% 1.5% Transportation 15.70 4.10 1.9% 1.4% Media 15.44 7.48 1.9% 2.6% Hotel & Gaming 14.66 4.31 1.8% 1.5% Restaurants 14.61 4.46 1.8% 1.5% Aerospace and Defense 13.53 0.41 1.7% 0.1% Beverage, Food, and Tobacco Processing 11.57 2.58 1.4% 0.9% Shipping 11.29 5.47 1.4% 1.9% Mining 10.33 7.54 1.3% 2.6% Construction 9.23 6.97 1.1% 2.4% Paper & Packaging 9.22 1.39 1.1% 0.5% n/a 8.15 2.85 1.0% 1.0% Agriculture 4.72 2.91 0.6% 1.0% Textiles and Apparel 4.27 1.59 0.5% 0.5% Government 0.12 0.05 0.0% 0.0%

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YTD2018 Institutional Loan Issuance by Industry Industry Inst. Vol. ($Bils.) New Money Inst. Vol. ($Bils.) % of Inst. Vol % of New Money Inst. Vol Technology 77.10 36.24 14.9% 18.0% Healthcare 46.20 25.74 9.0% 12.8% Financial Services 44.24 14.34 8.6% 7.1% General Manufacturing 34.09 14.75 6.6% 7.3% Business Services 30.29 8.69 5.9% 4.3% Services 29.25 11.75 5.7% 5.8% Telecommunications 21.66 7.47 4.2% 3.7% Retail & Supermarkets 21.36 10.84 4.1% 5.4% Chemicals, Plastics & Rubber 20.73 5.80 4.0% 2.9% Leisure and Entertainment 19.55 4.08 3.8% 2.0% Wholesale 16.86 5.97 3.3% 3.0% Utilities 16.49 4.00 3.2% 2.0% Hotel & Gaming 14.14 4.83 2.7% 2.4% Automotive 13.81 6.21 2.7% 3.1% Aerospace and Defense 12.93 0.02 2.5% 0.0% Media 12.43 6.30 2.4% 3.1% Transportation 11.54 2.93 2.2% 1.5% Restaurants 10.05 3.14 1.9% 1.6% Shipping 9.90 4.80 1.9% 2.4% Mining 9.16 7.22 1.8% 3.6% Oil and Gas 9.06 3.89 1.8% 1.9% Beverage, Food, and Tobacco Processing 8.14 2.25 1.6% 1.1% REITS 5.81 0.07 1.1% 0.0% Construction 5.18 3.88 1.0% 1.9% Paper & Packaging 4.84 0.46 0.9% 0.2% n/a 4.92 1.93 1.0% 1.0% Agriculture 3.57 2.48 0.7% 1.2% Textiles and Apparel 2.51 1.24 0.5% 0.6%

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Institutional issuance recorded $45.32 billion in July, bringing YTD levels to $515 billion. July’s volume is $12.17 billion higher than issuance one year ago, and overall levels remain robust and are second only to last year’s record volume of $559 billion over the same period. High-yield bonds remain muted with $116 billion of volume YTD, compared to $161.41 billion over the same period in 2017.

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Institutional new money activity was robust in July 2018 at $39.7 billion, more than 3x volume from one year ago. This was driven by M&A (non-LBO) purpose issuance, which jumped 71% to $109.24 billion year to date with $23 billion in July alone. LBO purpose volume is flat YoY at $54.96 billion.

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Year to date volume in leveraged loan M&A lending is $223.0 billion, which is 34% higher than levels from one year ago. This is driven by $160.3 billion in non-LBO issuance.

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Syndicated middle-market issuance stands at $96.12 billion YTD, roughly 11% higher than the same period last year. Large middle-market deals (sized between $100 and $500 million) comprise the majority of issuance, with traditional middle-market facilities accounting for 15% of overall volume. .

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Average primary market loan spreads widened out at the start of 3Q2018 for large corporates, with average spreads increasing 63bps from 321bps to 384bps. Conversely, spreads for middle market borrowers contracted 13bps to 453bps, reflecting continued high demand from lenders.

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July’s Flex Factor moved closer to neutral territory with an average score of 1.0, tracking 13 reverse flexes versus 10 flexes in favor of lenders. Overall market issuance was down in July, with key deals SIRVA and naviHealth among the major deals that flexed this month.

Institutional Loan Flex Activity

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Institutional outstandings increased $16.35 billion in July to $1.060 trillion. Outstandings have now increased by $105.56 billion since the start of 2018.

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Default activity was minimal in July, with $290 million of defaulted debt recorded from Washington Inventory Services’ Ch. 11 filing. The trailing twelve-month default rate declined to 2.3%. There has been $16.65 billion of defaulted debt year to date, slightly higher than $15.21 billion in 2017 over the same period.

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Institutional Leveraged Loan Defaults – TTM Basis Month Issuer Par Value ($ Mils.) Default Date Default Source Industry July 2017 True Religion Apparel Inc. 471.0 07/05/17 Chapter 11 Filing Retail J.Crew Group Inc. 1,370.0 07/11/17 Distressed Exchange Retail Subtotal 1,841.0

August 2017 No Default Activity

September 2017 Toys 'R' Us Inc 1,182.2 09/18/17 Chapter 11 Filing Retail Subtotal 1,182.2

October 2017 Appvion Inc. 178.3 10/01/17 Chapter 11 Filing Paper & Containers GST AutoLeather Cayman I Ltd 139.7 10/03/17 Chapter 11 Filing Automotive Pinnacle Holdco Sarl 460.0 10/06/17 Missed Payment Energy Concordia International Corp. 1,075.3 10/20/17 Restructuring Healthcare & Pharmaceutical Subtotal 1,853.3

November 2017 ExGen Texas Power LLC 659.6 11/07/17 Chapter 11 Filing Utilities, Power & Gas 99 Cents Only Stores LLC 590.3 11/07/17 Distressed Exchange Retail Pacific Drilling SA 718.1 11/12/17 Chapter 11 Filing Energy Stafford Logistics Inc. 175.0 11/15/17 Distressed Exchange Transportation Velocity Pooling Vehicle LLC 373.0 11/15/17 Chapter 11 Filing Automotive Cumulus Media Inc. 1,728.6 11/29/17 Chapter 11 Filing Broadcasting & Media Walter Investment Management Corp. 1,295.2 11/30/17 Chapter 11 Filing Banking & Finance Subtotal 4,251.7


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Institutional Leveraged Loan Defaults – TTM Basis Month Issuer Par Value ($ Mils.) Default Date Default Source Industry December 2017 Charming Charlie LLC 150.0 12/11/17 Chapter 11 Filing Retail

J.G. Wentworth Inc. 449.5 12/12/17 Chapter 11 Filing Banking & Finance Expro International Group Holdings 1,261.0 12/18/17 Chapter 11 Filing Energy RGL Reservoir Management Inc. 293.0 12/21/17 Restructuring Energy Subtotal 2,153.5

January 2018 Isola AG 250.0 01/05/18 Restructuring Chemicals Fieldwood Energy LLC 3,286.4 01/08/18 Missed Payment Energy Philadelphia Energy Solutions Refining & Marketing LLC 523.9 01/21/18 Chapter 11 Filing Energy Subtotal 4,039.0

February 2018 Charlotte Russe Inc. 124.0 02/05/18 Distressed Exchange Retail Subtotal 124.0

March 2018 Harvey Gulf International Marine Corp. 842.2 03/07/18 Chapter 11 Filing Transportation iHeartCommunications Inc. 6,300.0 03/14/18 Chapter 11 Filing Broadcasting & Media Remington Outdoor Company Inc. 550.5 03/25/18 Chapter 11 Filing Services & Miscellaneous Subtotal 7,692.7

April 2018 Nine West Holdings Inc. 727.1 704/06/18 Chapter 11 Filing Retail Subtotal 727.1


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Institutional Leveraged Loan Defaults – TTM Basis Month Issuer Par Value ($ Mils.) Default Date Default Source Industry May 2018 Rex Energy Corp. 261.3 05/02/18 Missed Payment Energy

Proserv Global Inc. 480.0 05/14/18 Distressed Exchange Energy Triple Point Technology 10.0 05/23/18 Distressed Exchange Technology Subtotal 751.3

June 2018 New MACH Gen, LLC 465.1 06/11/18 Chapter 11 Filing Utilities, Power & Gas Murray Energy Corp. 1,663.9 06/18/18 Distressed Exchange Metals & Mining Trident Holding Co. LLC 495.0 06/22/18 Distressed Exchange Healthcare & Pharmaceutical Del Monte Foods Inc. 129.0 06/28/18 Distressed Exchange Food, Beverage & Tobacco Education Management Corp. 250.0 06/29/18 Chapter 7 Filing Services & Miscellaneous Subtotal 3,003.0

July 2018 Washington Inventory Services 290.0 07/02/18 Chapter 11 Filing Services & Miscellaneous Subtotal 290.0

Source: Fitch U.S. Leveraged Loan Default Index

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The average price for multi-quoted institutional TL ticked up 2bps in July to 98.30. The average mark for all institutional loans advanced 9bps in July and 43bps so far this year.

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The share of multi-quote institutional loans priced in the par-plus area stand at 51% at the end of July. The share priced at or above 101 increased to 3% from 2% the previous month. At the other end of the spectrum, 5% of credits are bid below 90 cents on the dollar. On a dollar-weighted basis, the par plus percentage stands at 49%; it was 26% in the previous month.

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The percentage of loans priced at or above par climbed to 51% by the end of July, with 3% of loans pricing at 101 plus.

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The average bid on the European Leveraged 40 dropped to the 98.2 context before rebounding to finish the month up 8bps to the 98.5 context. Secondary levels remain well below levels recorded earlier in the year and in 2017.

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1-Se

p-14

1-N

ov-1

4

1-Ja

n-15

1-M

ar-1

5

1-M

ay-1

5

1-Ju

l-15

1-Se

p-15

1-N

ov-1

5

1-Ja

n-16

1-M

ar-1

6

1-M

ay-1

6

1-Ju

l-16

1-Se

p-16

1-N

ov-1

6

1-Ja

n-17

1-M

ar-1

7

1-M

ay-1

7

1-Ju

l-17

1-Se

p-17

1-N

ov-1

7

1-Ja

n-18

1-M

ar-1

8

1-M

ay-1

8

1-Ju

l-18

Avg

. Bid

(% o

f Par

)

European Leveraged 40

Secondary Market Bid Levels: Europe

26

U.S. High-Yield Bond Market Overview

27

July high-yield bond issuance dipped to almost 50% of June levels, with $8.5 billion priced across 14 deals. Year to date volume is $116.9 billion, which is 30% lower compared to the same period in 2017.

10

20

30

40

50

60

70

80

90

100

0

10

20

30

40

50

60

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Apr

-14

Jul-1

4

Oct

-14

Jan-

15

Apr

-15

Jul-1

5

Oct

-15

Jan-

16

Apr

-16

Jul-1

6

Oct

-16

Jan-

17

Apr

-17

Jul-1

7

Oct

-17

Jan-

18

Apr

-18

Jul-1

8

# o

f Iss

ues

Pro

ceed

s ($

Bils

.)

Proceeds (US$ Bils.) # of Issues

U.S. High-Yield Corporate Bonds

28

40% of year-to-date issuance was rated between BB+ and BB-, while 47% carried a rating in the single B range.

5

10

15

20

25

30

35

40

0

5

10

15

20

25

BB+ BB BB- B+ B B- CCC+ CCC N/A

# o

f Iss

ues

Pro

ceed

s ($

Bils

.)


U.S. High-Yield Corporate Bonds – by Rating

29

Breaking out volume by industry, financials continue to be the most active sector in 2018 with $32.9 billion in volume, for a 28% share. Energy and power companies are a close second with $28.1 billion in volume, which is 27% of the YTD HY new issue market.

10

20

30

40

50

60

0

5

10

15

20

25

30

35 Fi

nanc

ials

Ener

gy a

nd

Pow

er

Mat

eria

ls

Med

ia a

nd

Ente

rtai

nmen

t

Tele

com

mun

icat

ion

s

Hea

lthca

re

Indu

stria

ls

Cons

umer

Pr

oduc

ts a

nd

Serv

ices

Reta

il

Real

Est

ate

Hig

h Te

chno

logy

# o

f Iss

ues

Pro

ceed

s ($

Bils

.)


U.S. High-Yield Corporate Bonds – by Industry

30

The average new-issue yield for July is 7.43%. In 2Q18, the overall average was 7.50%, which is 90bps higher than 1Q18 average yields and 100bps higher than 2Q17 levels.

4

5

6

7

8

9

10

11

1Q10

3Q10

1Q11

3Q11

1Q12

3Q12

1Q13

3Q13

1Q14

3Q14

1Q15

3Q15

1Q16

3Q16

1Q17

3Q17

1Q18

Jul-1

8

Jan-

17

Mar

-17

May

-17

Jul-1

7

Sep-

17

Nov

-17

Jan-

18

Mar

-18

May

-18

Jul-1

8

Ave

rage

Yie

ld to

Mat

urit

y (%

) U.S. High-Yield Corporate Bonds – New Issue Yields

31

High-yield bond yields were range-bound and ended July in the 6.36% range.

4

5

6

7

8

9

10

11

2-Ja

n-15

2-M

ar-1

5

2-M

ay-1

5

2-Ju

l-15

2-Se

p-15

2-N

ov-1

5

2-Ja

n-16

2-M

ar-1

6

2-M

ay-1

6

2-Ju

l-16

2-Se

p-16

2-N

ov-1

6

2-Ja

n-17

2-M

ar-1

7

2-M

ay-1

7

2-Ju

l-17

2-Se

p-17

2-N

ov-1

7

2-Ja

n-18

2-M

ar-1

8

2-M

ay-1

8

2-Ju

l-18

Yie

ld to

Wor

st (%

) U.S. High-Yield Bond Index

32

Investor Overview

33

U.S. CLO AUM stands at $547 billion for July, $89 billion higher when compared to a year ago.

0

200

400

600

800

1,000

1,200

1,400

0

100

200

300

400

500

600 Ja

n-13

Mar

-13

May

-13

Jul-1

3

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Jul-1

7

Sep-

17

Nov

-17

Jan-

18

Mar

-18

May

-18

Jul-1

8

Num

ber o

f CLO

s in

Sam

ple

CLO

AP

B ($

Bils

.)

CLO APB Number of CLOs

U.S. CLO Assets Under Management

34

Loan mutual fund & ETF assets under management (market value) climbed to $171 billion in July. *based on the most recent data available.

0

20

40

60

80

100

120

140

160

180

200

Jan-

07

May

-07

Sep-

07

Jan-

08

May

-08

Sep-

08

Jan-

09

May

-09

Sep-

09

Jan-

10

May

-10

Sep-

10

Jan-

11

May

-11

Sep-

11

Jan-

12

May

-12

Sep-

12

Jan-

13

May

-13

Sep-

13

Jan-

14

May

-14

Sep-

14

Jan-

15

May

-15

Sep-

15

Jan-

16

May

-16

Sep-

16

Jan-

17

May

-17

Sep-

17

Jan-

18

May

-18

Loan

Mut

ual F

und

& E

TF A

UM

($ B

ils.)

Loan Funds Assets Under Management*

35

CLO’s share of institutional loan outstandings is 50%, while the loan mutual funds & ETF market share stands at 15%.

10%

15%

20%

25%

30%

35%

40%

45%

50%

55% A

ug-1

2

Oct

-12

Dec

-12

Feb-

13

Apr

-13

Jun-

13

Aug

-13

Oct

-13

Dec

-13

Feb-

14

Apr

-14

Jun-

14

Aug

-14

Oct

-14

Dec

-14

Feb-

15

Apr

-15

Jun-

15

Aug

-15

Oct

-15

Dec

-15

Feb-

16

Apr

-16

Jun-

16

Aug

-16

Oct

-16

Dec

-16

Feb-

17

Apr

-17

Jun-

17

Aug

-17

Oct

-17

Dec

-17

Feb-

18

Apr

-18

Jun-

18

Inve

stor

Sha

re o

f Ins

titu

tion

al L

oan

Out

stan

ding

s

CLOs Loan Funds (mutual funds & ETFs) Other

Investor Share of Institutional Loan Outstandings

36

New issue CLO volume tailed off in July with $10 billion of volume. According to the most recently available data, loan funds registered inflows of $1.4 billion in July. Loan funds have yet to register a monthy outflow this year.

-10

-5

0

5

10

15

20

Jan-

12

Feb-

12

Mar

-12

Apr

-12

May

-12

Jun-

12

Jul-1

2 A

ug-1

2 Se

p-12

O

ct-1

2 N

ov-1

2 D

ec-1

2 Ja

n-13

Fe

b-13

M

ar-1

3 A

pr-1

3 M

ay-1

3 Ju

n-13

Ju

l-13

Aug

-13

Sep-

13

Oct

-13

Nov

-13

Dec

-13

Jan-

14

Feb-

14

Mar

-14

Apr

-14

May

-14

Jun-

14

Jul-1

4 A

ug-1

4 Se

p-14

O

ct-1

4 N

ov-1

4 D

ec-1

4 Ja

n-15

Fe

b-15

M

ar-1

5 A

pr-1

5 M

ay-1

5 Ju

n-15

Ju

l-15

Aug

-15

Sep-

15

Oct

-15

Nov

-15

Dec

-15

Jan-

16

Feb-

16

Mar

-16

Apr

-16

May

-16

Jun-

16

Jul-1

6 A

ug-1

6 Se

p-16

O

ct-1

6 N

ov-1

6 D

ec-1

6 Ja

n-17

Fe

b-17

M

ar-1

7 A

pr-1

7 M

ay-1

7 Ju

n-17

Ju

l-17

Aug

-17

Sep-

17

Oct

-17

Nov

-17

Dec

-17

Jan-

18

Feb-

18

Mar

-18

Apr

-18

May

-18

Jun-

18

Jul-1

8

($ B

ils.)

CLO Issuance Loan fund flows

U.S. CLO Issuance and Loan Fund Flows - Monthly

37

CLO Market Analysis* *based on the most recently available data in Thomson Reuters LPC Collateral.

38

CLO new-issue activity added $10 billion of paper in July and stands at $78 billion year-to-date, 29% ahead of last year’s levels and 5% ahead of 2014’s record setting year.

0

5

10

15

20

25

30

0

2

4

6

8

10

12

14

16

Jan-

11

Feb-

11

Mar

-11

Apr

-11

May

-11

Jun-

11

Jul-1

1 A

ug-1

1 Se

p-11

O

ct-1

1 N

ov-1

1 D

ec-1

1 Ja

n-12

Fe

b-12

M

ar-1

2 A

pr-1

2 M

ay-1

2 Ju

n-12

Ju

l-12

Aug

-12

Sep-

12

Oct

-12

Nov

-12

Dec

-12

Jan-

13

Feb-

13

Mar

-13

Apr

-13

May

-13

Jun-

13

Jul-1

3 A

ug-1

3 Se

p-13

O

ct-1

3 N

ov-1

3 D

ec-1

3 Ja

n-14

Fe

b-14

M

ar-1

4 A

pr-1

4 M

ay-1

4 Ju

n-14

Ju

l-14

Aug

-14

Sep-

14

Oct

-14

Nov

-14

Dec

-14

Jan-

15

Feb-

15

Mar

-15

Apr

-15

May

-15

Jun-

15

Jul-1

5 A

ug-1

5 Se

p-15

O

ct-1

5 N

ov-1

5 D

ec-1

5 Ja

n-16

Fe

b-16

M

ar-1

6 A

pr-1

6 M

ay-1

6 Ju

n-16

Ju

l-16

Aug

-16

Sep-

16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr

-17

May

-17

Jun-

17

Jul-1

7 A

ug-1

7 Se

p-17

O

ct-1

7 N

ov-1

7 D

ec-1

7 Ja

n-18

Fe

b-18

M

ar-1

8 A

pr-1

8 M

ay-1

8 Ju

n-18

Ju

l-18

Num

ber o

f CLO

s Is

sued

CLO

Issu

ance

($ B

ils.)

Issuance ($Bils.)

Number of CLOs

U.S. CLO New Issue Volume - Monthly

39

Combined July CLO reset and refinancing volume stands at $15.8 billion, with just under $10 billion in resets/reissues and $5.9 billion in refinancings. There has been a combined $97 billion in repricing/reset activity so far this year, outpacing the $78 billion of new-issue activity.

0

5

10

15

20

25 Ja

n-16

Feb-

16

Mar

-16

Apr

-16

May

-16

Jun-

16

Jul-1

6

Aug

-16

Sep-

16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr

-17

May

-17

Jun-

17

Jul-1

7

Aug

-17

Sep-

17

Oct

-17

Nov

-17

Dec

-17

Jan-

18

Feb-

18

Mar

-18

Apr

-18

May

-18

Jun-

18

Jul-1

8

($ B

ils.)

Refinancings Resets Reissues

U.S. CLO Refinancings & Resets

40

Average AAA DMs widened again to an average of 113 bps in July. After hitting a low-point of 98 bps in March, AAAs have widened over the last four months. *based on deals where discount margin is available

80

100

120

140

160

180

200

Jan-

16

Feb-

16

Mar

-16

Apr

-16

May

-16

Jun-

16

Jul-1

6

Aug

-16

Sep-

16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr

-17

May

-17

Jun-

17

Jul-1

7

Aug

-17

Sep-

17

Oct

-17

Nov

-17

Dec

-17

Jan-

18

Feb-

18

Mar

-18

Apr

-18

May

-18

Jun-

18

Jul-1

8

AA

A D

isco

unt M

argi

n (B

ps)

Average

U.S. BSL CLO AAA Spreads*

41

European CLO volume jumped in July with eleven new-issues pricing for €4.5 billion in volume. Volume for the first half of the year stands at €17.8 billion, compared to €9.6 billion a year ago.

-

2

4

6

8

10

12

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

Jan-

11

Feb-

11

Mar

-11

Apr

-11

May

-11

Jun-

11

Jul-1

1 A

ug-1

1 Se

p-11

O

ct-1

1 N

ov-1

1 D

ec-1

1 Ja

n-12

Fe

b-12

M

ar-1

2 A

pr-1

2 M

ay-1

2 Ju

n-12

Ju

l-12

Aug

-12

Sep-

12

Oct

-12

Nov

-12

Dec

-12

Jan-

13

Feb-

13

Mar

-13

Apr

-13

May

-13

Jun-

13

Jul-1

3 A

ug-1

3 Se

p-13

O

ct-1

3 N

ov-1

3 D

ec-1

3 Ja

n-14

Fe

b-14

M

ar-1

4 A

pr-1

4 M

ay-1

4 Ju

n-14

Ju

l-14

Aug

-14

Sep-

14

Oct

-14

Nov

-14

Dec

-14

Jan-

15

Feb-

15

Mar

-15

Apr

-15

May

-15

Jun-

15

Jul-1

5 A

ug-1

5 Se

p-15

O

ct-1

5 N

ov-1

5 D

ec-1

5 Ja

n-16

Fe

b-16

M

ar-1

6 A

pr-1

6 M

ay-1

6 Ju

n-16

Ju

l-16

Aug

-16

Sep-

16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr

-17

May

-17

Jun-

17

Jul-1

7 A

ug-1

7 Se

p-17

O

ct-1

7 N

ov-1

7 D

ec-1

7 Ja

n-18

Fe

b-18

M

ar-1

8 A

pr-1

8 M

ay-1

8 Ju

n-18

Ju

l-18

Num

ber o

f CLO

s Is

sued

CLO

Issu

ance

(€ B

ils.)

Issuance (€Bils.)

Number of CLOs

European CLO New Issue Volume - Monthly

42

July added €2 billion in combined reset and refinancing activity taking year-to-date volume to €11.4 billion. Reset and reissues make up 80% of volume with refinancings amounting to €2.3 billion YTD. Year-over-year, Euro CLO repricing activity is down from the €16.9 billion recorded through July of last year.

0

0.5

1

1.5

2

2.5

3

3.5 Ja

n-16

Feb-

16

Mar

-16

Apr

-16

May

-16

Jun-

16

Jul-1

6

Aug

-16

Sep-

16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr

-17

May

-17

Jun-

17

Jul-1

7

Aug

-17

Sep-

17

Oct

-17

Nov

-17

Dec

-17

Jan-

18

Feb-

18

Mar

-18

Apr

-18

May

-18

Jun-

18

Jul-1

8

(€ B

ils.)

Resets/Reissues

Refinancings

European CLO Refinancings & Resets

43

European CLO AAA discount margins ticked higher in July to an average of 87 bps. *based on deals where discount margin is available

60

80

100

120

140

160

180

Jan-

16

Feb-

16

Mar

-16

Apr

-16

May

-16

Jun-

16

Jul-1

6

Aug

-16

Sep-

16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr

-17

May

-17

Jun-

17

Jul-1

7

Aug

-17

Sep-

17

Oct

-17

Nov

-17

Dec

-17

Jan-

18

Feb-

18

Mar

-18

Apr

-18

May

-18

Jun-

18

Jul-1

8

AA

A D

isco

unt M

argi

n (B

ps) Average

European CLO AAA Spreads*

44

Average DMs on CLO AAA liabilities widened across both U.S. and European CLOs. *based on deals where discount margin is available

60

80

100

120

140

160

180

Feb-

16

Mar

-16

Apr

-16

May

-16

Jun-

16

Jul-1

6

Aug

-16

Sep-

16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr

-17

May

-17

Jun-

17

Jul-1

7

Aug

-17

Sep-

17

Oct

-17

Nov

-17

Dec

-17

Jan-

18

Feb-

18

Mar

-18

Apr

-18

May

-18

Jun-

18

Jul-1

8

AA

A D

isco

unt M

argi

n (B

ps)

U.S. Europe

U.S. vs European CLO AAA Spreads – BSL

45

Assets under management rose to $547 billion for U.S. CLOs and €86 billion for European CLOs.

0

100

200

300

400

500

600

700 Ja

n-13

Mar

-13

May

-13

Jul-1

3

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Jul-1

7

Sep-

17

Nov

-17

Jan-

18

Mar

-18

May

-18

Jul-1

8

CLO

AP

B ($

Bils

. /€

Bils

.)

U.S. Europe

CLO Assets Under Management

46

88% of CLO AUM is now made up of CLOs issued on of after 2014 with 39% issued after 2017.

0

100

200

300

400

500

600 Ju

l-12

Sep-

12

Nov

-12

Jan-

13

Mar

-13

May

-13

Jul-1

3

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Jul-1

7

Sep-

17

Nov

-17

Jan-

18

Mar

-18

May

-18

Jul-1

8

CLO

AP

B ($

Bils

.)

<=2008 2009-2013 2014-2016 >=2017

U.S. CLO Assets Under Management by Vintage

47

AUM for European CLOs issued on or after 2014 now represent a 94% share of AUM.

0

10

20

30

40

50

60

70

80

90

100 Ja

n-13

Mar

-13

May

-13

Jul-1

3

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Jul-1

7

Sep-

17

Nov

-17

Jan-

18

Mar

-18

May

-18

Jul-1

8

CLO

AP

B (€

Bils

.)

<=2008 2009-2013 >=2014

European CLO Assets Under Management by Vintage

48

The top sectors held in U.S. CLOs are technology (14%) and healthcare (8%). The top 5 sectors account for 43% of overall U.S. CLO loan holdings, while the top 10 sectors represent 67% of holdings.

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Top Industries – U.S. CLOs

49

For European CLO loan holdings, technology makes up the largest share at 11%, while healthcare loans are close behind with a 10% share, alongside the services sector. The top 5 sectors account for 48% of European CLO loan holdings, while the top 10 sectors represent 75% of holdings.

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50

Top Loan Holdings in U.S. CLO Portfolios Rank Issuer Approx. Amount ($ Bils.)*

1 Asurion LLC 3.55 2 Transdigm Inc 3.23 3 Dell International Llc 3.03 4 First Data Corp 2.72 5 Albertson'S Inc 2.53 6 Centurylink Inc 2.49 7 Avolon Ltd 2.12 8 SS&C Technologies Inc 2.03 9 Micro Focus International Plc 1.97

10 Change Healthcare Holdings Llc 1.85 11 Sinclair Broadcast Group 1.75 12 Scientific Games Corp 1.72 13 BMC Software 1.71 14 Univision Communications Inc 1.71 15 Royalty Pharma 1.70 16 Charter Communications Inc 1.66

17 Air Medical Group Holdings Inc 1.63 18 CSC Holdings Inc 1.61 19 American Airlines 1.60 20 Calpine Corp 1.59 21 Advantage Sales & Marketing 1.59 22 Caesars Resort Collection Llc 1.52 23 Misys Plc 1.50 24 ADT Corp 1.48 25 DTZ Us Borrower LLC 1.43

Rank Issuer Approx. Amount ($ Bils.)* 26 Tempo Acquisition LLC 1.41 27 IMG Worldwide 1.40 28 West Corp 1.36 29 RCN Grande 1.36 30 Texas Competitive Electric Holdings Co 1.35 31 Wideopenwest Finance Llc 1.32 32 Brand Energy & Infrastructure Services 1.31 33 Endo International Plc 1.31 34 Bass Pro Shops 1.27 35 Staples Inc 1.26 36 Mcafee 1.26 37 Pharmaceutical Product Development 1.25 38 Sfr Group Sa [Ex-Numericable Sas] 1.24 39 Virgin Media 1.22 40 Bausch Health Companies Inc 1.22 41 Internet Brands Inc 1.22

42 Eg Group [Ex-Euro Garages Ltd] 1.20 43 Rackspace Hosting 1.19 44 Cable & Wireless Communications Plc 1.19 45 Level 3 Financing Inc 1.17 46 Red Ventures Llc 1.15 47 Amneal Pharmaceuticals Llc 1.13 48 Avaya Inc 1.12 49 Team Health Holdings Llc 1.11 50 Cineworld Cinemas Ltd 1.10

*Excludes CLOs not yet in LPC Collateral

51

Top Loan Holdings in European CLO Portfolios Rank Issuer

Approx. Amount (€ Mils.)*

1 Sfr Group Sa [Ex-Numericable Sas] 1,018.29 2 Verisure Hldg Ab 937.61 3 Vodafoneziggo 891.04 4 Eg Group [Ex-Euro Garages Ltd] 786.87

5 Springer Science & Business Media Gmbh 785.70

6 Eircom Grp Plc 765.31 7 Unilever Plc 732.01 8 Ion Trading Technologies Ltd 714.81 9 Platform Specialty Products Corp 712.41 10 Ineos Group 710.13 11 Infor Global Solutions Inc 686.88 12 Xella International Gmbh 683.57 13 Oberthur Card Systems Sa 671.03 14 BMC Software 650.71 15 Nets Holding A/S 648.77 16 Action Nederland Bv 641.37

17 Nord Anglia Education Plc 637.52 18 Elsan Groupe Sas [Ex-Le Groupe Vedici] 629.34 19 Douglas Holding Ag 617.57 20 Tdc A/S 594.63

21 Paysafe Group Plc [Ex-Optimal Payments Plc] 579.83

22 Stada Arzneimittel Ag 565.34 23 Unilabs Subholding Publ Ab 537.13 24 Inovyn Ltd 532.34 25 Tmf Group 532.05

Rank Issuer Approx. Amount (€

Mils.)* 26 Sig Combibloc Group Ag 529.95 27 Verallia Sa 518.81 28 Flint Group Sa 508.01 29 Ceva Sante Animale 495.66 30 Tipico Co Ltd 494.89 31 Domusvi Sas [Dolcea Gdp Vendome] 492.29 32 Allnex Usa Inc 477.81 33 Parex Group 467.70 34 Misys Plc 467.28 35 Hotelbeds Group Slu 465.78 36 Industrial Parts Holding [Iph Group] 462.52 37 Keter Holdings Ltd 461.26 38 Mcafee 450.66 39 Veritas Software 442.20 40 Solera Holdings 440.32 41 Ogf [Pompes Funebres Generale] 413.78 42 Quintilesims Holdings Inc 405.15 43 Diaverum Ab [Ex-Gambro Healthcare] 393.67

44 Ceramtec Gmbh 390.63

45 Avantor Performance Materials Holdings Inc 382.47

46 Cerba European Lab 381.19 47 Diamond (Bc) Bv 378.63

48 Gvc Holdings Plc 368.77 49 Swissport International Ltd 352.77 50 Unit 4 Agresso Nv 350.64

*Excludes CLOs not yet in LPC Collateral

52

The share of CLO assets that are second-liens edged down to 1.89% in July.

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Share of U.S. CLOs Comprised of Second-Liens

53

The share of par-plus loans in U.S. CLOs increased 46% in July, from 33% the previous month and 58% a year ago. At the other end of the market, the share of loans bid below 90 cents on the dollar held steady at 3%.

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Avg. Bid (% of Par)

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Distribution of Secondary Market Prices of Loan Assets in U.S. CLOs

54

For European deals, the share of par-plus loans in portfolios decreased again to 9% in July , from 10% a month ago and 91% at the end of 2017. The percentage of loans bid below 90 increased to 4%.

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Distribution of Secondary Market Prices of Loan Assets in European CLOs

55

The average bid of U.S. CLO portfolios increased 26 bps to 98.6 in July, while the median bid was up to 98.9.

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Average Bid of U.S. CLO Portfolios (Underlying Assets)

56

The average bid of European CLOs asset portfolios increased to 98.25 in July. The median bid also ticked up to 98.41.

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EUR Median Bid

Average Bid of European CLO Portfolios (Underlying Assets)

57

Looking at the distribution of CLO portfolio prices, less than 1% of U.S. CLOs have a weighted average bid at or above par, 85% have a WAB between 98 and par. In European portfolios, 94% have a weighted average bid between 97 and 99, while only 2% of Euro CLOs have a WAB in the 99 to 100 range.

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Weighted Average Bid of CLO Portfolios (Underlying Assets): U.S. vs Europe

58

List of Recent CLOs / CLO League Tables

59

YTD2018 U.S. CLO Arranger League Table: New Issue (through 31 July 2018)

Rank Bank Holding Company Arranger Volume ($Mils.) Number of Deals Market Share 1 Morgan Stanley 10,456 18 13% 2 Citi 9,897 17 13% 3 JP Morgan 9,199 18 12% 4 Bank of America Merrill Lynch 8,762 16 11% 5 Wells Fargo 7,156 12 9% 6 Credit Suisse 6,103 10 8% 7 Natixis 5,840 12 8% 8 Goldman Sachs 5,366 9 7% 9 Barclays 4,479 9 6% 10 BNP Paribas 3,681 8 5% 11 Jefferies 3,210 6 4% 12 Deutsche Bank 1,896 4 2% 13 Greensledge 561 1 1% 14 MUFG Securities 463 1 1% 15 Nomura 410 1 1%

60

YTD2018 U.S. CLO Arranger League Table: Resets/Re-issues (through 31 July 2018)

Rank Bank Holding Company Arranger Volume ($Mils.) Number of Deals Market Share 1 Citi 13,068 26 18% 2 Goldman Sachs 9,391 19 13% 3 Bank of America Merrill Lynch 7,521 15 10% 4 JP Morgan 5,280 11 7% 5 Jefferies 5,044 12 7% 6 BNP Paribas 4,816 8 7% 7 Barclays 4,464 8 6% 8 Morgan Stanley 4,430 10 6% 9 Credit Suisse 3,582 7 5% 10 Wells Fargo 2,980 7 4% 11 MUFG Securities 2,692 5 4% 12 Deutsche Bank 2,260 5 3% 13 Natixis 2,172 5 3% 14 Greensledge 2,103 5 3% 15 Mizuho 1,678 4 2% 16 RBC Capital Markets 1,047 2 1% 17 Amherst Pierpont 469 1 1% 18 Societe Generale 408 1 1% 19 Guggenheim Investment Securities 134 1 0%

61

Rank Bank Holding Company Arranger Volume ($Mils.) Number of Deals Market Share 1 Citi 4,133 10 17% 2 Goldman Sachs 3,357 5 14% 3 Credit Suisse 2,945 7 12% 4 Morgan Stanley 2,528 6 10% 5 JP Morgan 2,395 5 10% 6 Jefferies 1,398 3 6% 7 Bank of America Merrill Lynch 1,224 3 5% 8 Deutsche Bank 1,182 3 5% 9 Wells Fargo 1,132 4 5% 10 Mizuho 810 2 3% 11 Natixis 782 2 3% 12 BNP Paribas 694 3 3% 13 Barclays 665 2 3% 14 MUFG Securities 538 2 2% 15 Nomura 334 1 1%

YTD2018 U.S. CLO Arranger League Table: Refinancings (through 31 July 2018)

62

2018 New Issue U.S. CLOs Date Priced CLO Manager CLO Name Deal Size ($Mils.)

AAA Size ($Mils.)

Equity Size ($Mils.) Agent Trustee

16-Jan-18 MidOcean Credit Partners MidOcean 2018-8 512 315 42 Goldman Sachs Wells Fargo

18-Jan-18 Octagon Credit Investors Octagon Investment Partners 35 511.2 290 52.2 Bank of America Merrill Lynch US Bank

19-Jan-18 DFG Investment Advisors Vibrant CLO VIII 560 360.25 53.9 Morgan Stanley Citi/Virtus 24-Jan-18 Neuberger Berman Neuberger Berman Loan Advisors 27 510.8 315 48.3 Barclays US Bank 24-Jan-18 Crestline Denali Capital Denali Capital CLO XVI 409 256 41 BNP Paribas Deutsche Bank 26-Jan-18 PGIM Dryden 57 CLO 423.09 273.75 37.29 Deutsche Bank US Bank

25-Jan-18 Credit Suisse Asset Management Madison Park Funding 27 811.10 504 73.5 Bank of America Merrill Lynch Wells Fargo

25-Jan-18 Tennenbaum Capital Management TCP Rainier CLO 300 Natixis 30-Jan-18 GSO Blackstone Greenwood Park 1074.65 677.25 107.6 Goldman Sachs Citi/Virtus

31-Jan-18 Och Ziff Capital Management OZLM XXII 509.2 317 53 Bank of America Merrill Lynch BNY Mellon

31-Jan-18 CIFC CIFC Funding 2018-1 1019.25 650 99.25 Morgan Stanley BNY Mellon 1-Feb-18 Monroe Capital Monroe Capital MML CLO VI 456.3 252 62.55 Deutsche Bank US Bank

1-Feb-18 Aegon USA Investment Management Cedar Funding VII 510.5 315 41.75 Credit Suisse Citi/Virtus

1-Feb-18 Intermediate Capital Group ICG US CLO 2018-1 409.1 256 41.1 Bank of America Merrill Lynch US Bank

5-Feb-18 Crescent Capital Group Atlas 2018-10 568.12 334.5 58.12 Jefferies Wells Fargo 5-Feb-18 DoubleLine Capital Parallel 2018-1 407.9 260 39.9 Citi US Bank 6-Feb-18 Marathon Asset Management Marathon CLO XI 555.2 357.5 49.4 Citi BNY Mellon 6-Feb-18 Mariner Investment Group Mariner CLO 2018-5 510.85 307 51.65 JP Morgan US Bank 6-Feb-18 Zais Group Zais CLO 8 460.5 283.5 46.5 Goldman Sachs BNY Mellon

7-Feb-18 Palmer Square Capital Management Palmer Square Loan Funding 2018-1 504.7 338.2 34.7 JP Morgan Citi/Virtus


63


AAA Size ($Mils.)


8-Feb-18 Cerberus Cerberus Loan Funding 2018-1 293.9 147 72.9 Natixis US Bank 12-Feb-18 Pretium Credit Management Crown Point IV 457.875 289.125 40.5 Morgan Stanley US Bank

12-Feb-18 Palmer Square Capital Management Palmer Square CLO 2018-1 509.9 315 49.9 Credit Suisse Citi/Virtus

15-Feb-18 Angelo Gordon Northwoods Capital XVII 527.55 341.25 44.55 Credit Suisse BNY Mellon 16-Feb-18 Allstate AIMCO 2018-A CLO 409.5 257 37.5 Morgan Stanley BNY Mellon 16-Feb-18 Garrison Capital Garrison Funding 2018-1 375.2 208.3 93.7 Natixis US Bank

22-Feb-18 NYL Investors LLC Flatiron CLO 2018-1 511.6 320 51.6 JP Morgan BNY Mellon

22-Feb-18 Symphony Asset Management Symphony CLO XIX 517.5 322 45.5 Bank of America Merrill Lynch US Bank

22-Feb-18 Hayfin Capital Management Hayfin Kingsland VIII 606.25 387 51.5 Citi US Bank 23-Feb-18 Golub Capital Golub Capital Partners 36(M) 903.77 489.6 174.77 Wells Fargo Wells Fargo 23-Feb-18 CBAM CLO Management LLC CBAM 2018-5 1000.75 646 74.75 Credit Suisse US Bank 23-Feb-18 Och Ziff Capital Management OZLM XVIII 508 320 38 Barclays Wells Fargo 23-Feb-18 Benefit Street Partners Benefit Street Partners CLO XIV 509.5 335 50.5 Wells Fargo US Bank 23-Feb-18 MJX Asset Management Venture CLO XXXI 820.35 536 72.35 Natixis US Bank

24-Feb-18 Barings LLC Barings CLO 2018-1 562.8 357.5 56.8 Bank of America Merrill Lynch US Bank

28-Feb-18 Credit Suisse Asset Management Madison Park Funding 30 744.02 492.45 60.67 JP Morgan US Bank 28-Feb-18 Voya Investment Management Voya CLO 2018-1 661.2 404 65 JP Morgan US Bank

6-Mar-18 TPG Capital TICP CLO X 510 320 50 Bank of America Merrill Lynch US Bank

7-Mar-18 Octagon Credit Investors Octagon Investment Partners 36 510.975 337.25 38.675 Wells Fargo US Bank 8-Mar-18 American Money Management Corp AMMC CLO 22 463 281.25 52 MUFG Securities US Bank 9-Mar-18 Assurant CLO Management Assurant CLO II 431.5 270 40.5 Morgan Stanley US Bank 9-Mar-18 GSO Blackstone Cook Park CLO 1025 655 107 Morgan Stanley State Street


64


AAA Size ($Mils.)


13-Mar-18 Bain Capital Credit Bain Capital Credit CLO 2018-1 611.3 384 59.3 Citi BNY Mellon 14-Mar-18 Apex Credit Partners Apex CLO 2018-I 462.5 292.5 40.5 Jefferies US Bank

15-Mar-18 Palmer Square Capital Management Palmer Square Loan Funding 2018-2 505.7 338.2 35.7 JP Morgan Citi/Virtus

15-Mar-18 Ares Management Ares XLVII CLO 714 406 70 Goldman Sachs Deutsche Bank 15-Mar-18 KKR KKR CLO 21 610 390 46 Barclays US Bank

20-Mar-18 PGIM Dryden 64 CLO 612 393 45 Morgan Stanley US Bank

21-Mar-18 Aegon USA Investment Management Cedar Funding IX 510.5 329 53 Citi Citi/Virtus

27-Mar-18 BlackRock Financial Management Magnetite XX 561.66 352 47.66 Greensledge/Wells Fargo Citi/Virtus 27-Mar-18 Sound Point Capital Management Sound Point CLO XIX 510.5 320 49.5 Barclays Wells Fargo 28-Mar-18 Greywolf Capital Management Greywolf CLO VI 505.15 301.7 48.35 JP Morgan Citi/Virtus

29-Mar-18 Midcap Financial Services Capital Management Woodmont Trust 2018-4 554.4 332.75 64.9 Wells Fargo Wells Fargo

29-Mar-18 Cerberus Cerberus Loan Funding XXIII 504.085 275 229.085 Wells Fargo US Bank

29-Mar-18 Steele Creek Investment Management Steele Creek CLO 2018-1 409.6 260 41.6 BNP Paribas US Bank

29-Mar-18 Fortress Fortress Credit Opportunities 2018-11 702.8 338.6 129.8 Natixis US Bank 4-Apr-18 Antares Capital Advisers Antares CLO 2018-1 707.1 399 91.6 Citi US Bank 4-Apr-18 Ballyrock Investment Management Ballyrock CLO 2018-1 528.293 322.5 58.293 Citi US Bank 4-Apr-18 Barings LLC Barings CLO 2018-2 511 322 49 JP Morgan Citi/Virtus 5-Apr-18 Och Ziff Capital Management OZLM XX 464.15 290 41.175 BNP Paribas Wells Fargo 6-Apr-18 Ivy Hill Asset Management Ivy Hill Middle Market Credit Fund XIV 1009.5 560 109.5 Morgan Stanley US Bank 6-Apr-18 Brigade Capital Management Battalion CLO XII 612 384 60 Morgan Stanley US Bank 10-Apr-18 Marble Point CLO Management Marble Point CLO XII 508.7 325 48.7 JP Morgan US Bank 11-Apr-18 GSO Blackstone Chenango Park CLO 512.11 325 45.11 BNP Paribas Wells Fargo


65


AAA Size ($Mils.)


12-Apr-18 TCW Asset Management TCW CLO 2018-1 408.2 258 40.2 Natixis US Bank 17-Apr-18 Carlyle Investment Management Carlyle 2018-1 611.4 390 59.4 Citi US Bank 17-Apr-18 Post Advisory Group Post CLO 2018-1 409.7 256 41.35 JP Morgan US Bank

19-Apr-18 Rockford Tower Capital Management Rockford Tower 2018-1 504.6 320 44.6 Barclays US Bank

20-Apr-18 Maranon Capital Maranon Loan Funding 2018-1 625.38 359 69.24 Wells Fargo US Bank

24-Apr-18 CIFC CIFC Funding 2018-2 814.625 520 78.325 Citi BNY Mellon

26-Apr-18 GoldenTree Asset Management GLM US CLO 2018-1 709.8 456.5 52.4 BAML/Wells Fargo/Morgan Stanley BNY Mellon

26-Apr-18 Redding Ridge Asset Management Redding Ridge 4 907 588.5 74 Citi US Bank

27-Apr-18 Canyon Capital Canyon CLO 2018-1 511.4 320 51.4 Bank of America Merrill Lynch Deutsche Bank

27-Apr-18 Neuberger Berman Neuberger Berman Loan Advisors 28 509.4 325 49.4 Natixis US Bank 2-May-18 Axa Investment Advisors Allegro CLO VII 410 260 42 Goldman Sachs BNY Mellon 9-May-18 Carval CLO Management Carval CLO I 512.25 320 51.4 JP Morgan Wells Fargo 9-May-18 PGIM Dryden 55 563.25 358.75 41 Citi US Bank 10-May-18 Madison Capital MCF VIII CLO 325.9 189.1 41.8 Natixis Wells Fargo 11-May-18 Halcyon Asset Management Halcyon Loan Advisors Funding 2018-1 485.5 306 48.5 Citi Citi/Virtus

11-May-18 CVC Credit Partners Apidos CLO 29 615.7 392.5 63 Bank of America Merrill Lynch US Bank

15-May-18 Pacific Asset Management Trestles CLO 2018-2 504.19 320 46.19 Natixis Citi/Virtus 15-May-18 Regatta Loan Management Regatta XI Funding 513 320 53 Morgan Stanley US Bank

16-May-18 Highbridge Principal Strategies HPS Loan Management 2018-12 510.55 310 57.3 Bank of America Merrill Lynch BNY Mellon

17-May-18 Voya Investment Management Voya CLO 2018-2 612.1 390 51.1 Morgan Stanley State Street 18-May-18 Garrison Capital Garrison BSL 2018-1 408.65 262 31.65 Morgan Stanley Deutsche Bank


66


AAA Size ($Mils.)


18-May-18 Barings LLC Barings CLO 2018-III 758.9 460 99.4 Morgan Stanley US Bank 21-May-18 NCC CLO Manager Nassau CLO 2018-1 513.6 323.7 53.6 Natixis US Bank 21-May-18 CBAM CLO Management LLC CBAM 2018-6 1005.3 650 85.3 Goldman Sachs US Bank 21-May-18 Wellfleet Credit Partners Wellfleet CLO 2018-1 409.25 260 41.25 Morgan Stanley US Bank 23-May-18 Partners Group Pikes Peak CLO 1 411 256 43 Credit Suisse US Bank

23-May-18 Onex Credit Partners OCP 2018-15 614.1 390 63.9 Bank of America Merrill Lynch Citi/Virtus

24-May-18 Ares Management Ares XLVIII CLO 512.75 325 55.8 Bank of America Merrill Lynch Wells Fargo

29-May-18 Octagon Credit Investors Octagon Investment Partners 37 610.9 384 61.25 Citi US Bank 30-May-18 Kayne Anderson Capital Advisors Kayne CLO I 407 256 39 JP Morgan US Bank 1-Jun-18 Credit Suisse Asset Management Madison Park Funding XXVIII 712.2 455 60.2 Wells Fargo Wells Fargo 1-Jun-18 Bain Capital Credit Bain Capital Credit CLO 2018-2 611.7 387 50.7 Barclays Wells Fargo 1-Jun-18 PGIM Dryden 58 CLO 459.15 295.75 44 BNP Paribas US Bank 6-Jun-18 InvestCorp Credit Management Jamestown CLO XI 408.5 260 32.5 Credit Suisse US Bank 6-Jun-18 Ellington CLO Management Ellington CLO III 407.1 204 60.1 Citi US Bank 8-Jun-18 Crescent Capital Group Atlas 2018-11 512.4 326.5 50.9 Jefferies US Bank

8-Jun-18 CBAM CLO Management LLC CBAM 2018-7 756 480 66 Bank of America Merrill Lynch US Bank

8-Jun-18 Jefferies Finance LLC JFINR 2018 429.5 Jefferies 12-Jun-18 Mariner Investment Group Mariner CLO 2018-6 510.85 310 51.85 JP Morgan US Bank 12-Jun-18 Trinitas Capital Management Trinitas CLO VIII 509.6 320 49.6 Citi 15-Jun-18 Alcentra Shackleton CLO 2018-12 509 320 49 BNP Paribas US Bank 15-Jun-18 Sound Point Capital Management Sound Point CLO XX 810.25 520 74.25 Credit Suisse Citi/Virtus

15-Jun-18 Palmer Square Capital Management Palmer Square CLO 2018-2 508.35 320 41.6 Credit Suisse Citi/Virtus


67


AAA Size ($Mils.)


15-Jun-18 MJX Asset Management Venture CLO 32 624.85 403.5 44.85 Jefferies US Bank 15-Jun-18 CIFC CIFC Funding 2018-3 611 390 47 Deutsche Bank Deutsche Bank

18-Jun-18 Invesco Alinea CLO 2018-1 510.2 325 50.2 Bank of America Merrill Lynch US Bank

19-Jun-18 Zais Group Zais CLO 9 508.44 320 48.44 JP Morgan BNY Mellon 20-Jun-18 BlueMountain Capital Management BlueMountain CLO XXII 407.95 260 40.9 JP Morgan US Bank

21-Jun-18 OFS Capital Management OFS BSL IX 409.75 252 41.75 Nomura US Bank

21-Jun-18 JMP Credit Advisors JMP Credit Advisors 2018-1 407.85 256 39.85 BNP Paribas 21-Jun-18 KKR KKR CLO 22 607 390 55 Credit Suisse US Bank 22-Jun-18 THL Credit THL Credit Wind River 2018-1 511.5 327.5 51.5 Morgan Stanley US Bank 22-Jun-18 Intermediate Capital Group ICG US CLO 2018-2 407.4 256 39 Barclays US Bank

27-Jun-18 Palmer Square Capital Management Palmer Square Loan Funding 2018-3 404 270.6 28 JP Morgan

29-Jun-18 Chicago Fundamental Investment Partners CFIP CLO 2018-1 428 275.25 39.35 Wells Fargo Wells Fargo

29-Jun-18 GSO Blackstone Fillmore Park CLO 560.8 359.5 55.6 Greensledge/Wells Fargo Wells Fargo 29-Jun-18 Cerberus Cerberus Loan Funding XXIV 604.935 310.667 147.601 Wells Fargo Wells Fargo 29-Jun-18 AXA Investment Advisors Allegro CLO VIII 409.7 260 41.7 Barclays 2-Jul-18 Regatta Loan Management Regatta XIII Funding 602.1 373.15 58.75 Citi US Bank 2-Jul-18 LCM Asset Management LCM XXVII 460.725 274.5 45.6 Morgan Stanley Deutsche Bank 2-Jul-18 PPM America PPM CLO 2018-1 404 256 29.2 Goldman Sachs US Bank 2-Jul-18 ArrowMark Elevation CLO 2018-9 378.24 234.88 40.6 Goldman Sachs 5-Jul-18 MidOcean Credit Partners MidOcean 2018-9 408.6 256 37.6 Morgan Stanley Wells Fargo 5-Jul-18 DFG Investment Advisors Vibrant CLO IX 510 321 49 BNP Paribas Citi/Virtus 6-Jul-18 Ares Management Ares XLIX CLO 511.6 325 51.6 Natixis US Bank


68


AAA Size ($Mils.)


12-Jul-18 Octagon Credit Investors Octagon Investment Partners 38 664 416 68.6 Bank of America Merrill Lynch US Bank

16-Jul-18 PGIM Dryden 60 407.2 259.2 39.6 Goldman Sachs 16-Jul-18 Brightwood Capital Advisors Brightwood Fund III 575 118.1 Natixis 17-Jul-18 Golub Capital Golub Capital Partners CLO 38 1004.545 571 190.045 Wells Fargo Wells Fargo 19-Jul-18 MJX Asset Management Venture CLO 33 612.875 390 51.875 Jefferies US Bank

19-Jul-18 Credit Suisse Asset Management Atrium XIV 809 513 75 Credit Suisse Wells Fargo

20-Jul-18 Midcap Financial Services Capital Management Woodmont 2018-5 Trust 405.56 242 49.56 Deutsche Bank Wells Fargo

20-Jul-18 Romark CLO Advisors Romark CLO II 458.875 290.25 44.875 Citi

27-Jul-18 Steele Creek Investment Management Steele Creek CLO 2018-2 406.3 256 38.3 Barclays

27-Jul-18 Assurant CLO Management Assurant CLO III 464.02 301.3 36.3 JP Morgan 30-Jul-18 Carlyle Investment Management Carlyle GMS 2018-2 611.55 375 59.55 JP Morgan

69

2018 New Issue U.S. CLOs – Pricing Date Priced CLO Name AAA Cpn AAA DM AA Cpn AA DM A Cpn A DM BBB Cpn BBB DM BB Cpn BB DM B Cpn B DM

16-Jan-18 MidOcean 2018-8 115 115 165 165 195 195 290 290 586 600 766 830 18-Jan-18 Octagon Investment Partners 35 106 106 140 140 170 170 260 260 520 520 19-Jan-18 Vibrant CLO VIII 114 114 147 147 180 180 285 285 575 575

24-Jan-18 Neuberger Berman Loan Advisors 27 103 103 140 140 170 170 260 260 520 520

24-Jan-18 Denali Capital CLO XVI 112 112 145 145 185 185 260 260 560 560 26-Jan-18 Dryden 57 CLO 101 101 135 135 170 170 255 255 520 520 25-Jan-18 Madison Park Funding 27 103 103 135 135 180 180 260 260 500 500 25-Jan-18 TCP Rainier CLO

30-Jan-18 Greenwood Park 103 103 140 140 170 170 250 250 495 495 31-Jan-18 OZLM XXII 107 107 150 150 180 180 265 265 530 530 739 95 31-Jan-18 CIFC Funding 2018-1 100 100 140 140 175 175 265 265 500 500 1-Feb-18 Monroe Capital MML CLO VI 145 145 175 175 225 225 340 340 690 725 1-Feb-18 Cedar Funding VII 100 140 175 255 455 690 1-Feb-18 ICG US CLO 2018-1 106 106 140 140 177 177 260 260 515 515 5-Feb-18 Atlas 2018-10 109 109 150 150 185 185 275 275 570 570 772 5-Feb-18 Parallel 2018-1 113 113 140 140 175 175 280 280 525 525 6-Feb-18 Marathon CLO XI 115 115 155 155 180 180 275 275 550 550 6-Feb-18 Mariner CLO 2018-5 111 145 180 265 565 6-Feb-18 Zais CLO 8 95 95 145 145 175 175 265 265 525 525

7-Feb-18 Palmer Square Loan Funding 2018-1 60 105 140 185 395 590

8-Feb-18 Cerberus Loan Funding 2018-1 140 140 175 175 235 235 350 350 12-Feb-18 Crown Point IV 110 110 150 150 190 190 275 295 550 595 12-Feb-18 Palmer Square CLO 2018-1 103 145 175 250 515


70


15-Feb-18 Northwoods Capital XVII 106 150 185 285 565 16-Feb-18 AIMCO 2018-A CLO 102 102 140 140 175 175 255 255 515 515 16-Feb-18 Garrison Funding 2018-1 145 145 175 175 240 240 360 360 22-Feb-18 Flatiron CLO 2018-1 95 135 170 260 515 22-Feb-18 Symphony CLO XIX 96 96 135 135 175 175 255 255 520 520 714 795 22-Feb-18 Hayfin Kingsland VIII 112 148 190 290 570 23-Feb-18 Golub Capital Partners 36(M) 130 130 165 165 210 210 275/325 325 23-Feb-18 CBAM 2018-5 102 140 175 250 515

23-Feb-18 OZLM XVIII 102 102 155 155 185 185 285 285 550 550 725 800 23-Feb-18 Benefit Street Partners CLO XIV 100 100 145 145 175 175 260 260 535 535 23-Feb-18 Venture CLO XXXI 103 145 195 282 531 715 24-Feb-18 Barings CLO 2018-1 95 95 135 135 175 175 260 260 550 550 28-Feb-18 Madison Park Funding 30 75 120 170 250 495 685 28-Feb-18 Voya CLO 2018-1 95 130 180 260 520 6-Mar-18 TICP CLO X 100 100 147 147 190 190 270 270 560 560 7-Mar-18 Octagon Investment Partners 36 97 97 139 139 170 170 260 260 543 550 775 8-Mar-18 AMMC CLO 22 103 103 145 145 175 175 270 270 525/575/550 525/575/550 9-Mar-18 Assurant CLO II 104 104 145 145 180 180 285 285 560 575 9-Mar-18 Cook Park CLO 92 92 140 140 175 175 260 260 540 540 13-Mar-18 Bain Capital Credit CLO 2018-1 96 96 140 140 175 175 270 270 535 535 14-Mar-18 Apex CLO 2018-I 101 101 160 160 195 195 295 295 565 750

15-Mar-18 Palmer Square Loan Funding 2018-2 65 105 145 195 395 600

15-Mar-18 Ares XLVII CLO 92 92 145 145 175 175 270 270 550 550


71


15-Mar-18 KKR CLO 21 100 100 140 140 180 180 260 260 555 555 725 825 20-Mar-18 Dryden 64 CLO 97 97 140 140 175 175 265 265 560 575 715 825 21-Mar-18 Cedar Funding IX 98 98 140 140 175 175 260 260 535 535 27-Mar-18 Magnetite XX 93 93 135 135 170 170 250 250 535 535 735 775 27-Mar-18 Sound Point CLO XIX 100 100 145 145 180 180 265 265 565 580 28-Mar-18 Greywolf CLO VI 103 163 195 295 575 29-Mar-18 Woodmont Trust 2018-4 126 126 170 170 220 220 340 340 720 775 29-Mar-18 Cerberus Loan Funding XXIII 100 100

29-Mar-18 Steele Creek CLO 2018-1 101 101 148 148 190 190 285 285 575 575

29-Mar-18 Fortress Credit Opportunities 2018-11 130 130 170 170 250 250 373 380 715 765

4-Apr-18 Antares CLO 2018-1 125 125 165 165 235 235 340 340 not offered 4-Apr-18 Ballyrock CLO 2018-1 100 100 160 160 190 190 315 328 580 617 800 907 4-Apr-18 Barings CLO 2018-2 93 155 190 270 555 5-Apr-18 OZLM XX 105 165 195 295 580 820

6-Apr-18 Ivy Hill Middle Market Credit Fund XIV 126 126 170 170 235 235 345 345 707 750

6-Apr-18 Battalion CLO XII 107 107 150 150 185 185 276 290 609 640 10-Apr-18 Marble Point CLO XII 101 165 185 300 600 11-Apr-18 Chenango Park CLO 96 96 155 155 185 185 300 300 580 595 660 810 12-Apr-18 TCW CLO 2018-1 105 105 175 175 4.91% 291 305 605 635 17-Apr-18 Carlyle 2018-1 102 102 150 150 185 185 275 275 575 575 17-Apr-18 Post CLO 2018-1 105 165 200 295 587 19-Apr-18 Rockford Tower 2018-1 110 110 172 172 205 205 300 300 585 600 20-Apr-18 Maranon Loan Funding 2018-1 147 147 185 185 240 240 375 375 800 800


72


24-Apr-18 CIFC Funding 2018-2 104 104 160 160 185 185 285 285 585 585 26-Apr-18 GLM US CLO 2018-1 101 101 155 155 190 190 285 285 26-Apr-18 Redding Ridge 4 101 101 155 155 195 195 295 295 585 585 27-Apr-18 Canyon CLO 2018-1 107 107 170 170 190 190 290 290 575 575

27-Apr-18 Neuberger Berman Loan Advisors 28 101 101 160 160 180 180 285 285 560 560

2-May-18 Allegro CLO VII 110 110 165 165 190 190 285 285 575 575 9-May-18 Carval CLO I 116 182 210 289 577 9-May-18 Dryden 55 102 102 155 155 190 190 285 285 540 540 720 800 10-May-18 MCF VIII CLO 137 137 175 175 230 230 350 350 733 750

11-May-18 Halcyon Loan Advisors Funding 2018-1 107 107 180 180 215 215 320 320 600 630

11-May-18 Apidos CLO 29 102 102 155 155 190 190 275 275 525 525 15-May-18 Trestles CLO 2018-2 109 109 167 167 190 190 290 290 575 575 15-May-18 Regatta XI Funding 107 107 165 165 185 185 285 285 550 550 16-May-18 HPS Loan Management 2018-12 105 105 150 150 185 185 275 275 515 515 17-May-18 Voya CLO 2018-2 100 100 155 155 185 185 275 275 525 525 729 810 18-May-18 Garrison BSL 2018-1 97 97 165 165 185 185 290 290 555 565 700 875 18-May-18 Barings CLO 2018-III 95 95 145 145 190 190 290 290 575 575 736 810 21-May-18 Nassau CLO 2018-1 115 185 210 298 585 21-May-18 CBAM 2018-6 94 94 150 150 180 180 270 270 550 550 21-May-18 Wellfleet CLO 2018-1 110 110 165 165 195 195 290 290 550 550 23-May-18 Pikes Peak CLO 1 118 175 210 315 605 23-May-18 OCP 2018-15 110 110 170 170 200 200 295 295 585 600 24-May-18 Ares XLVIII CLO 102 102 158 158 180 180 270 270 520 520


73


29-May-18 Octagon Investment Partners 37 102 102 158 158 175 175 285 285 540 540 30-May-18 Kayne CLO I 114 170 200 286 562 1-Jun-18 Madison Park Funding XXVIII 102 102 160 160 185 185 270 270 525 525 760 775 1-Jun-18 Bain Capital Credit CLO 2018-2 108 108 160 160 190 190 285 285 575 575 760 825 1-Jun-18 Dryden 58 CLO 100 100 150 150 180 180 270 270 535 535 6-Jun-18 Jamestown CLO XI 110 170 210 325 602 801 6-Jun-18 Ellington CLO III 165 200 225 374 677 706 8-Jun-18 Atlas 2018-11 110 165 195 305 575 8-Jun-18 CBAM 2018-7 110 110 160 160 190 190 280 280 550 550 8-Jun-18 JFINR 2018 12-Jun-18 Mariner CLO 2018-6 110 168 195 295 600 12-Jun-18 Trinitas CLO VIII 110 175 210 310 590 15-Jun-18 Shackleton CLO 2018-12 107 107 165 165 190 190 315 315 590 620 15-Jun-18 Sound Point CLO XX 110 170 195 300 600 15-Jun-18 Palmer Square CLO 2018-2 110 165 190 280 560 760 15-Jun-18 Venture CLO 32 110/107 110/107 165 165 195 195 300 300 575 785 15-Jun-18 CIFC Funding 2018-3 110 110 160 160 190 190 285 285 550 550 765 815 18-Jun-18 Alinea CLO 2018-1 107 107 165 165 190 190 310 310 600 600 19-Jun-18 Zais CLO 9 120 200 235 345 645 20-Jun-18 BlueMountain CLO XXII 108 150 195 285 505 21-Jun-18 OFS BSL IX 115 115 170 170 200 200 320 325 600 620 115 115 21-Jun-18 JMP Credit Advisors 2018-1 119 190 235 335 632 690 21-Jun-18 KKR CLO 22 115 160 205 310 600 22-Jun-18 THL Credit Wind River 2018-1 104 104 165 165 195 195 290 290 550 550


74


22-Jun-18 ICG US CLO 2018-2 108 108 175 175 210 210 310 310 575 590

27-Jun-18 Palmer Square Loan Funding 2018-3 85 135 190 230 440 615

29-Jun-18 CFIP CLO 2018-1 115 115 205 205 245 252 324 345 635 675 29-Jun-18 Fillmore Park CLO 104 104 155 155 185 185 290 290 540 540 775 n/a 29-Jun-18 Cerberus Loan Funding XXIV 140 140 190 190 275 275 385 385 29-Jun-18 Allegro CLO VIII 110 110 167 167 215 215 310 310 590 620 2-Jul-18 Regatta XIII Funding 112 112 175 175 210 210 310 310 595 625 2-Jul-18 LCM XXVII 108 108 155 155 195 195 295 295 560 560 2-Jul-18 PPM CLO 2018-1 115 117 185 185 215 215 325 325 595 625 793 875 2-Jul-18 Elevation CLO 2018-9 112 112 175 175 230 230 350 350 630 660 5-Jul-18 MidOcean 2018-9 115 117 175 175 200 200 330 330 605 620 757 875 5-Jul-18 Vibrant CLO IX 112 112 180 180 225 225 320 320 625 625 6-Jul-18 Ares XLIX CLO 107 107 165 165 195 195 300 300 570 570 12-Jul-18 Octagon Investment Partners 38 109 109 167 167 195 195 295 295 570 16-Jul-18 Dryden 60 105 105 155 155 205 205 300 300 560 560 16-Jul-18 Brightwood Fund III 175 175 300 300 393 17-Jul-18 Golub Capital Partners CLO 38 144 144 190 190 280 280 285 285 19-Jul-18 Venture CLO 33 114 114 185 185 240 240 316 330 595 625 800 880 19-Jul-18 Atrium XIV 110 110 170 170 195 195 295 295 565 565 20-Jul-18 Woodmont 2018-5 Trust 145 145 210 210 280 280 385 385 710 20-Jul-18 Romark CLO II 117.5 190 240 335 625 27-Jul-18 Steele Creek CLO 2018-2 120 124 185 191 230 230 340 340 620 620 27-Jul-18 Assurant CLO III 123 123 175 175 225 225 320 320 615 630 30-Jul-18 Carlyle GMS 2018-2 109 160 205 290 525

75

2H2018 U.S CLOs Refinancings/Resets Date

Priced CLO Manager CLO Name Deal Size ($Mils.) AAA Cpn AA Cpn A Cpn BBB Cpn BB Cpn B Cpn Agent Refi/Reset

2-Jul-18 Apollo Credit Management ALM XVII 563.8 93 160 210 280 525 685 Credit Suisse Refi 2-Jul-18 PineBridge Investments Galaxy XXII CLO 373.3 100 168 205/290 310 575 Mizuho Refi 2-Jul-18 Och Ziff Capital Management OZLM VII 636.775 101 160 220 300 611 780 Citi Reset

3-Jul-18 Aegon USA Investment Management Cedar Funding V 369.5 110 175 210 300 560 Jefferies Reset

3-Jul-18 Alcentra Shackleton 2014-VI CLO 505 102 173 225 297 561 837

Bank of America Merrill Lynch Reissue

3-Jul-18 Carlyle Investment Management Carlyle Global Markets Strategies CLO 2016-1 402.9 95 145 185 275 520 JP Morgan Refi

3-Jul-18 Brigade Capital Management Battalion CLO VII 382.25 104 181 250 293 631 858

Bank of America Merrill Lynch Reset

3-Jul-18 Apollo Credit Management Apollo Credit Funding IV 474.75 104 160 200 295 570

Bank of America Merrill Lynch Reset

5-Jul-18 Anchorage Capital Group Anchorage Capital CLO 8 472.62 100 160 210 300 575 Deutsche Bank Refi

5-Jul-18 Octagon Credit Investors Octagon Investment Partners 27 470 107 160 210 295 595 retained Morgan Stanley Reset

9-Jul-18 PGIM Dryden 43 Senior Loan Fund 63 310 610 BNP Paribas Refi 10-Jul-18 CVC Credit Partners Apidos CLO XX 475.1 110 155 195 295 570 870 JP Morgan Reset 10-Jul-18 Voya Investment Management Voya CLO 2014-4 471.25 110 160 209 335 595 905 JP Morgan Reset 11-Jul-18 Canyon Capital Canyon Capital CLO 2012-1 452.4 115 175 200 300 570 JP Morgan Reissue 12-Jul-18 Bain Capital Credit Race Point X CLO 374 110 165 200 285 570 825 Citi Reset 12-Jul-18 Western Asset Management Mountain Hawk II CLO 259.18 82 160 235 Citi Refi

12-Jul-18 Columbia Management Investment Advisers CENT CLO 21 570.305 115 185 235 320 630 865 JP Morgan Reset

12-Jul-18 MJX Asset Management Venture XXIII CLO 368.93 107 165 225 305 595 Natixis Refi


76

2H2018 U.S CLOs Refinancings/Resets Date

Priced CLO Manager CLO Name Deal Size ($Mils.) AAA Cpn AA Cpn A Cpn BBB Cpn BB Cpn B Cpn Agent Refi/Reset

12-Jul-18 Alcentra Shackleton 2015-VII CLO 514 117 185 235 333 620 818 MUFG Securities Reissue

12-Jul-18 Sound Point Capital Management Sound Point CLO V 653.1 115 175 210 310 610 810 Citi Reissue

13-Jul-18 Voya Investment Management Voya CLO 2015-2 506 97 150 200 295 540 Morgan Stanley Refi

16-Jul-18 THL Credit THL Wind River CLO 2016-1 552 105 165 210 285 555 JP Morgan Refi

17-Jul-18 Fortress Fortress Credit BSL VI 582.09 115 177 245 345 645 Goldman Sachs Reset

17-Jul-18 Benefit Street Partners Benefit Street Partners CLO IX 369.88 111 175 195 295 570 Citi Reset 18-Jul-18 Teachers Advisors TIAA CLO I 415.7 120 175 235 350 620 Wells Fargo Reset

18-Jul-18 Carlyle Investment Management Carlyle Global Markets Strategies CLO 2015-3 540.5 100 160 190 285 520 825 JP Morgan Refi

18-Jul-18 KKR KKR CLO 14 460.7 115 180 215 315 615 JP Morgan Reset

18-Jul-18 NewStar Financial

NewStar Exeter Fund CLO (previously Fifth Street Senior Loan Fund I) 245.25 118 165 275 390 Wells Fargo Refi

18-Jul-18 BlueMountain Capital Management BlueMountain CLO 2018-1 475.1 110 170 205 305 595 821 Citi Reissue

20-Jul-18 Intermediate Capital Group ICG US CLO 2016-1 368 114 170 210 305 575 Citi Refi

20-Jul-18 Carlyle Investment Management Carlyle Global Markets Strategies CLO 2016-2 396 98 150 517 Citi Refi

23-Jul-18 Columbia Management Investment Advisers Cent CLO 24 722.75 107 165 210 315

Goldman Sachs Refi

25-Jul-18 Barings LLC Barings CLO 2016-1 371 110 145 160 210 305 600 Morgan Stanley Reset

30-Jul-18 Symphony Asset Management Symphony Credit Opportunities Fund 2 455 118 185 226 306 571 BNP Paribas Reset

30-Jul-18 PGIM Dryden 38 Senior Loan Fund 460 110 145 165 200 300 560 BNP Paribas Reset

77

2H2018 U.S CLOs Refinancings/Resets – Price Change

Date Priced CLO Name Deal Size ($Mils.) AAA Cpn AAA Orig. AA Cpn AA Orig A Cpn A Orig BBB Cpn BBB Orig. BB Cpn BB Orig. Refi/Reset

2-Jul-18 ALM XVII 563.8 93 155 160 235 210 340 280 415/485 525 635 Refi

2-Jul-18 Galaxy XXII CLO 373.3 100 158 168 210 205/290 445 310 700/825 575 820 Refi

2-Jul-18 OZLM VII 636.775 101 115 160 165 220 225 300 350 611 500 Reset

3-Jul-18 Cedar Funding V 369.5 110 161 175 235 210 310 300 465 560 770 Reset

3-Jul-18 Shackleton 2014-VI CLO 505 102 116 173 160 225 225 297 561 Reissue

3-Jul-18 Carlyle Global Markets Strategies CLO 2016-1 402.9 95 145 185 275 520 Refi

3-Jul-18 Battalion CLO VII 382.25 104 160 181 255 250 360 293 390 631 530 Reset

3-Jul-18 Apollo Credit Funding IV 474.75 104 147 160 175 200 265 295 350 570 500 Reset

5-Jul-18 Anchorage Capital CLO 8 472.62 100 165 160 225 210 315 300 420 575 650 Refi

5-Jul-18 Octagon Investment Partners 27 470 107 153 160 215 210 300 295 475 595 710 Reset

9-Jul-18 Dryden 43 Senior Loan Fund 63 310 410 610 725 Refi

10-Jul-18 Apidos CLO XX 475.1 110 133 155 180 195 260 295 570 Reset

10-Jul-18 Voya CLO 2014-4 471.25 110 95 160 145 209 200 335 300 595 Reset

11-Jul-18 Canyon Capital CLO 2012-1 452.4 115 143 175 190 200 250 300 410 570 750 Reissue

12-Jul-18 Race Point X CLO 374 110 160 165 235 200 345 285 550 570 720 Reset

12-Jul-18 Mountain Hawk II CLO 259.18 82 116 160 170 235 260 Refi

12-Jul-18 CENT CLO 21 570.305 115 121 185 170 235 280 320 350 630 500 Reset

12-Jul-18 Venture XXIII CLO 368.93 107 165 165 230 225 320 305 445 595 770 Refi

12-Jul-18 Shackleton 2015-VII CLO 514 117 185 235 333 620 Reissue

12-Jul-18 Sound Point CLO V 653.1 115 175 210 310 610 Reissue

13-Jul-18 Voya CLO 2015-2 506 97 140 150 198 200 270 295 340 540 530 Refi

16-Jul-18 THL Wind River CLO 2016-1 552 105 165 165 235 210 320 285 465 555 750 Refi

17-Jul-18 Fortress Credit BSL VI 582.09 115 150 177 310 245 380 345 550 645 Reset


78

2H2018 U.S CLOs Refinancings/Resets – Price Change

Date Priced CLO Name Deal Size ($Mils.) AAA Cpn AAA Orig. AA Cpn AA Orig A Cpn A Orig BBB Cpn BBB Orig. BB Cpn BB Orig. Refi/Reset

17-Jul-18 Benefit Street Partners CLO IX 369.88 111 161 175 210 195 295 295 420 570 667 Reset

18-Jul-18 TIAA CLO I 415.7 120 170 175 230 235 325 350 520 620 805/1000 Reset

18-Jul-18 Carlyle Global Markets Strategies CLO 2015-3 540.5 100 140 160 200 190 270 285 355 520 570 Refi

18-Jul-18 KKR CLO 14 460.7 115 162 180 230 215 321 315 435 615 700 Reset

18-Jul-18 NewStar Exeter Fund CLO (previously Fifth Street Senior Loan Fund I) 245.25 118 200 165 300 275 375 390 510 Refi

18-Jul-18 BlueMountain CLO 2018-1 475.1 110 126 170 160 205 235 305 345 595 475 Reissue

20-Jul-18 ICG US CLO 2016-1 368 114 160 170 220 210 300 305 425 575 675 Refi

20-Jul-18 Carlyle Global Markets Strategies CLO 2016-2 396 98 156 150 220 517 645 Refi

23-Jul-18 Cent CLO 24 722.75 107 147 165 220 210 275 315 370 Refi

25-Jul-18 Barings CLO 2016-1 371 110 150 145 225 160 325 210 385 305 Reset

30-Jul-18 Symphony Credit Opportunities Fund 2 455 118 185 226 306 571 Reset

30-Jul-18 Dryden 38 Senior Loan Fund 460 110 145 165 200 300 Reset

79

Rank Bank Holding Company Arranger Volume (€Mils.) Number of Deals Market Share 1 Citi 4,495 11 26% 2 Barclays 3,574 8 20% 3 Bank of America Merrill Lynch 2,888 7 16% 4 Credit Suisse 1,660 4 9% 5 BNP Paribas 1,656 4 9% 6 Morgan Stanley 1,641 4 9% 7 Goldman Sachs 826 2 5% 8 Deutsche Bank 410 1 2% 9 JP Morgan 361 1 2%

YTD2018 European CLO Arranger League Table: New Issue (through 31 July 2018)

80

2018 New Issue European CLOs Date

Priced CLO Manager CLO Name Deal Size (€Mils.) AAA DM AA DM A DM BBB DM BB DM B DM Agent

26-Jan-18 GLG Partners LP GLG Euro CLO IV 361.25 70 105 160 248 429 584 Credit Suisse

31-Jan-18 Cairn Loan Investments Cairn CLO IX 411 71 100 150 230 440 630 Citi

1-Feb-18 Barings LLC Barings Euro CLO 2018-1 509.25 69 100 150 230 435 620 Barclays

5-Feb-18 PineBridge Investments Euro-Galaxy VI CLO 411 71 100 155 235 450 635 Morgan Stanley

15-Feb-18 Chenavari Credit Partners Toro European CLO 5 414.37 BNP Paribas

22-Feb-18 GoldenTree Asset Management Goldentree Loan Management EUR CLO 1 404.75 73 105/127 155 235 500 690 Citi

22-Feb-18 GSO Blackstone Marlay Park 413 74 105 155 240 500 700 Barclays

23-Feb-18 Ares Management Ares European CLO IX 413.7 68 110 155 240 490 680 Goldman Sachs

28-Feb-18 Permira Debt Partners Providus CLO I 362.5 74 112 160/245 515 715 Bank of America Merrill Lynch

2-Mar-18 PGIM Dryden 59 487.97 75 155 240 500 690 Citi

14-Mar-18 Brigade Capital Management Armada Euro CLO II 410.55 76 112 160 245 510 720 Citi

16-Mar-18 Carlyle Investment Management Carlyle GMS Euro CLO 2018-1 439.35 71 105 160 240 485 700 Barclays

20-Mar-18 BlackRock Financial Management BlackRock European CLO V 413.5 72 110 155 230 485 690 Bank of America Merrill Lynch

21-Mar-18 Spire Partners Aurium CLO IV 407.6 75 110 155 230 480 690 Citi

23-Mar-18 Voya Investment Management Voya Euro CLO I 356.3 Credit Suisse

13-Apr-18 Intermediate Capital Group St. Paul's CLO IX 407.85 Credit Suisse

13-Apr-18 Investcorp Credit Management Harvest CLO XIX 413.5 77 120 170 255 530 720 Bank of America Merrill Lynch

18-Apr-18 Commerzbank Bosphorus CLO IV 416.3 88.5 125 170 285 550 750 BNP Paribas


81



23-Apr-18 KKR Avoca CLO XVIII 509.15 74 125 175 255 510 710 Barclays

26-Apr-18 Bain Capital Bain Capital Euro CLO 2018-1 360.8 JP Morgan

27-Apr-18 Partners Group Penta CLO 4 413.2 79 130 180 265 530 745 BNP Paribas

30-Apr-18 Guggenheim Investment Management Bilbao CLO I 412.2 78 130 170 255 520 730 Citi

18-May-18 GSO Blackstone Milltown Park 410.85 78 130 180 265 525 745 Bank of America Merrill Lynch

18-May-18 PGIM Dryden 62 465.025 78 2.1% 170 270 525 725 Barclays

25-May-18 Five Arrows Managers Contego CLO V 411.4 82 135 180 265 520 720 Morgan Stanley

1-Jun-18 Credit Suisse Asset Management Cadogan Square CLO XI 534.2 78 149 185 280 530 730 Credit Suisse

6-Jun-18 Alcentra Jubilee CLO 2018-XX 411.7 83 140 185/215 290 550 740 BNP Paribas

6-Jun-18 Och Ziff Capital Management OZLME IV 412.8 82 135 185 270 530 730 Citi

15-Jun-18 Halcyon Asset Management Halcyon Loan Advisors European Funding 2018-1 361.4 85 148 190 290 550 760 Citi

18-Jun-18 Oaktree Capital Management Arbour CLO V 412.85 82 140 185 275 520 755 Bank of America Merrill Lynch

20-Jun-18 Anchorage Capital Group Anchorage Capital Europe CLO 2018-I 413.2 85 145 190 300 580 775 Barclays

22-Jun-18 Accunia Credit Management Accunia CLO 2018-1 361.75 87 145 190 305 580 785 Citi

5-Jul-18 NIBC Leveraged Finance Markets North Westerly CLO 2018-5 412.1 Morgan Stanley

9-Jul-18 Carlyle Investment Management Carlyle Global Market Strategies Euro CLO 2018-2 410.25 80 160/192 242/210 320 595 840 Deutsche Bank

11-Jul-18 CVC Credit Partners CVC Cordatus XI 465.85 85 170 225 320 575 815 Barclays

12-Jul-18 BlackRock Financial Management BlackRock European CLO VI 412.2 87 165 215 310 585 805 Citi


82



16-Jul-18 Tikehau Capital Europe Tikehau CLO IV 411.8 90 192 242 330 590 835 Bank of America Merrill Lynch

20-Jul-18 Barings LLC Barings Euro CLO 2018-2 406.5 84 170/202 225/257 320 580 800 Morgan Stanley

25-Jul-18 BlueMountain Capital Management BlueMountain Fuji EUR CLO III 358.95 90 170 225 330 605 825 Barclays

26-Jul-18 Ares Management Ares European CLO X 463.3 85 170 225 320 570 810 Bank of America Merrill Lynch

27-Jul-18 PGIM* Dryden 63 GBP CLO 2018* 335.861* NatWest/Greensledge

27-Jul-18 AXA Investment Managers Adagio VII CLO 412.7 91 160 220 315 565 790 Goldman Sachs

27-Jul-18 Hayfin Capital Management Hayfin Emerald CLO I 412.8 92 178 230 335 600 812.5 Citi

*GBP denominated CLO

83

Date Priced CLO Manager CLO Name

Deal Size (€Mils.) AAA Cpn AA Cpn A Cpn BBB Cpn BB Cpn B Cpn Agent Refi/Reset

12-Jan-18 Carlyle Investment Management Carlyle Global Market Strategies Euro CLO 2014-3 410 73 110 160 240 458 619 Citi Reset

12-Jan-18 Investcorp Credit Management Harvest CLO VIII 382.3 73 115 165 255 455 610 Barclays Reset

12-Jan-18 GSO Blackstone Tymon Park CLO 357.5 59 105 145 220 460

Bank of America Merrill Lynch Refi

25-Jan-18 Intermediate Capital Group St. Paul's CLO III 562.6 75 115 160 240 443 600 Deutsche Bank Re-issue

7-Feb-18 Bain Capital Newhaven II CLO 373.2 70 105 150 230 403 571 Natixis Reset

9-Feb-18 KKR Avoca CLO XV 469 71 105 150 230 413 584 Deutsche Bank Reset

15-Feb-18 BlackRock Financial Management BlackRock European CLO I 423.5 71 100 150 230 442 660 Credit Suisse Reset

27-Feb-18 Oaktree Capital Management Arbour CLO III 369.75 58 90 140 210 435 650 Citi Refi 22-Mar-18 Five Arrows Contego CLO III 321.3 77 115 155 230 455 610 BNP Paribas Reset

27-Mar-18 BlueMountain Capital Management BlueMountain EUR CLO 2016-1 371.1 79 115 160 245 438 620 JP Morgan Reset

29-Mar-18 BNP Paribas BNPP IP Euro CLO 2015-1 280.4 79 115 160 245 454 627 Citi Reset

3-Apr-18 CVC Credit Partners CVC Cordatus Loan Fund CLO 2018-6 378.3 76 110 160 240 500 700 Barclays Reset

6-Apr-18 GLG Partners LP GLG Euro CLO 2018-1 412.2 74 115 160 245 485 645 Morgan Stanley Re-issue

9-Apr-18 GSO Blackstone Elm Park CLO 558.15 62 120 170 245 525 725 Barclays Refi

13-Apr-18 CQS Investment Management Grosvenor Place CLO 2015-1 327.8 42 120 160 250 540 725 Goldman Sachs Reset

26-Apr-18 Carlyle Investment Management Carlyle Global Market Strategies Euro CLO 2016-1 448.6 75 132 175/203 255 477 655 Citi Reset

8-May-18 Investcorp Credit Management Harvest CLO XV 425.3 79 130 180 275 485 645 Morgan Stanley Reset

2018 European CLOs Refinancings/Resets


84

Date Priced CLO Manager CLO Name

Deal Size (€Mils.) AAA Cpn AA Cpn A Cpn BBB Cpn BB Cpn B Cpn Agent Refi/Reset

14-May-18 Credit Suisse Asset Management Cadogan Square CLO VII 418.5 78 132 175 260 470 625

Morgan Stanley Reset

18-May-18 CVC Credit Partners CVC Cordatus Loan Fund III 455.9 78 130 170 255 486 635 Citi Re-issue

22-Jun-18 Carlyle Investment Management Carlyle Global Market Strategies Euro CLO 2014-1 508 79 140 185 290 493 661 Natixis Re-issue

22-Jun-18 Barings LLC Babson Euro CLO 2016-1 410 68 135 175 270 510 750 JP Morgan Reset 22-Jun-18 Spire Partners Aurium CLO II 325.5 68 135 180 275 510 750 Credit Suisse Refi 27-Jun-18 Barings LLC Babson Euro CLO 2014-2 414 80 210/145 190 290 475 673 JP Morgan Re-issue

2-Jul-18 PGIM Dryden 44 Euro CLO 2015 369.5 72 135/200 190 295 560 760

Bank of America Merrill Lynch Refi

3-Jul-18 GSO Blackstone Richmond Park CLO 482.2 75 150/205 200/232 305 515 735 BNP Paribas Reset 6-Jul-18 Apollo Credit Management ALME Loan Funding V 411.325 85 160 200 305 541 709 Barclays Reset

13-Jul-18 Cairn Loan Investments Cairn CLO VI 323.55 79 165 200 310 585 825 Goldman Sachs Refi

20-Jul-18 KKR Avoca CLO XVI 422.6 85 170/202 225/257 320 518 685 Deutsche Bank Reset

2018 European CLOs Refinancings/Resets

85

Loan Mutual Fund Flows & Returns

86

According to the most recently available data, high-yield bond funds reversed and posted an inflow of $1.4 billion in July. So far into the year, HY funds have recorded outflows in five out of seven months recording $22.5 billion in outflows. Leveraged loans pulled in $1.4 billion in July, taking YTD inflows past $14 billion.

Loan vs HY Bond Fund Flows* - Monthly

87

Breaking loan funds out by their ETF and mutual fund categories, the latter saw the lion’s share of demand this year with inflows of $12.7 billion. ETFs have registered $1.38 billion of inflows so far this year, according to the most recently available data.

Loan Fund Flows* - Mutual Fund vs ETF Breakout

88

Leveraged loans bounced back in July to post a 0.74% return, according to the SP/LSTA LLI. Year-to-date returns now stand at 2.91% ahead of 2.62% recorded over the same period last year. Average returns for open-ended loan funds also ticked up to 0.7%. On average, open-ended funds have returned 2.37% YTD.

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Open-end Loan Funds* S&P/LSTA Leveraged Loan Index

Loan Funds* vs Loan Index – Monthly Returns

89

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Documents

REUTERS / Toby Melvilleshare.thomsonreuters.com/loanpricing/LoanMonthly/Leveraged_Loan_Monthly_Jul_2018.pdfLBO purpose volume is flat YoY at $55 billion . ... The trailing twelve -month