REUTERS / Firstname Lastnameshare.thomsonreuters.com/loanpricing/LoanMonthly/[email protected]...

Leveraged Loan Monthly Thomson Reuters LPC June 2018

Hugo Pereira Senior Market Analyst [email protected] 1-646-223-6818

REUTERS / Firstname Lastname

mailto:[email protected]�

Contents: Key Points

Slides 3-6 Leveraged Loan Market Overview Slides 7-33 U.S. High-Yield Bond Market Overview Slides 34-38 Investor Overview Slides 39-43 CLO Market Analysis Slides 44-64 List of Recent CLOs/CLO LTs Slides 65-105 Loan Mutual Fund Flows & Returns Slides 106-109

4

Key Points: Primary Market: • Leveraged lending added $396 billion in the second quarter, taking volume for the first half of the year to $737 billion,

$34 billion below the record levels from 1H17. Leveraged institutional activity remains robust with $468 billion recorded in the first six months of the year, second only to last year’s record levels.

• New money ticked up to $119 billion in the second quarter and made up 30% of leveraged loan volume, as refinancing

activity continues to make up the lion’s share of issuance. • Institutional issuance recorded $471 billion for the first half of this year, second only to last year’s record volume.

High-yield bonds remained muted with $108 billion of volume in 1H18, compared to $153 billion over the first half of last year.

• Although volumes are down over last year’s record volume, new-money share of institutional issuance edged higher to

34% in 1H18, compared to a 29% share a year ago.

• Average debt to EBITDA levels stand at 6.3 times for broadly syndicated LBO transactions, and 6.1 times for institutional middle market LBOs in 2Q18.

• June Institutional loan flex activity swung in favor of lenders with 25 upward flexes vs 13 downward flexes. The average upward flex was 70 bps compared to an average downward flex of 24 bps.

• Default activity climbed in June with $3.1 billion of defaulted par recorded. The trailing twelve-month default rate held at 2.5%, according to Fitch. There has been $16.5 billion in defaulted par in the first half of this year, compared to $13.4 billion in 1H17.

Cont’d on next slide

5

Key Points: Secondary Market: • The average multi-quoted institutional TL declined 16 bps in June to the 98.2 context. After climbing in 1Q, average levels have

retreated in 2Q and are now down 12 bps since the start of the year.

• Leveraged loan returns declined to 0.12% in June, according to the SP/LSTA LLI. Returns over the first half of the year stand at 2.17%, compared to 1.96% recorded in 1H17. Average returns for open-ended loan funds were flat in June, with returns for individual funds ranging from -0.3% to 0.24%. On average, open-ended funds have returned 1.63% in the first half of the year.

• The share of multi-quote institutional loans priced in the par-plus area continued to decline and stands at 35% at the end of June. The share priced at or above 101 is lower at 2%, from 4% the previous month. At the other end of the price scale, 4% of credits are bid below 90 cents on the dollar. On a dollar-weighted basis, the par plus percentage stands at 26%, from 58% the previous month.

• Institutional outstandings climbed $20 billion in June to 1.044 trillion. Outstandings have now increased by $89 billion since the start of the year.

• High-yield bond yields finished June in the 6.4% range, flat over the previous month. Despite a volatile secondary, yields have remained range-bound in the second quarter, only down 4 basis points.

CLOs / Loan Funds: • New-issue CLO activity climbed to $13.6 billion in June and stands at $66.7 billion for 1H18. Volume remains robust and is

running 27% ahead of last year’s levels and 10% ahead of 2014’s record setting year.

Cont’d from prior slide


6

Key Points:

• Combined June CLO reset and refinancing volume stands at $14.3 billion, with $9.6 billion in resets/reissues and $4.7 billion in refinancings. There has been $79 billion in reset/reissue activity in the first half of this year, outpacing the $66.7 billion of new-issue volume.

• European CLO volume jumped in June with eight new-issues pricing for €3.3 billion in volume. Volume for the first half of the year stands at €13.8 billion, compared to €8 billion a year ago.

• Assets under management rose to $543 billion for U.S. CLOs and €84 billion for European CLOs.

• Average DMs on CLO AAA liabilities widened to 107 bps for U.S. CLOs and 83 bps for European CLOs.

• According to the most recently available data, high-yield funds recorded an outflow of $3.5 billion in June. HY funds have recorded outflows in five out of the six months of 2018. In 1H18 amounting to $23.8 billion in outflows. Leveraged loans pulled in $1.4 billion in June and almost $12 billion in the first half of this year.

• 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 $10.7 billion. ETFs have registered $1.25 billion of inflows in 1H18, according to the most recently available data.


7

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

8

Leveraged lending added $396 billion in the second quarter, taking volume for the first half of the year to $737 billion, $34 billion below the record levels from 1H17. Leveraged institutional activity remains robust with $468 billion recorded in the first six months of the year, second only to last year’s record levels.

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Pro rata Institutional

U.S. Leveraged Loan Issuance

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New money ticked up to $119 billion in the second quarter and made up 30% of leveraged loan volume, as refinancing activity continues to make up the lion’s share of issuance.

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U.S. Leveraged Loan Issuance – New Money vs Refinancings

10

1H2018 Leveraged Loan Issuance by Industry Industry Lev. Vol. ($Bils.) New Money Lev. Vol. ($Bils.) % of Lev. Vol % of New Money Lev. Vol Technology 98.03 37.32 13.3% 16.1% Oil and Gas 62.16 9.49 8.4% 4.1% Financial Services 55.97 14.10 7.6% 6.1% Healthcare 54.44 26.79 7.4% 11.6% General Manufacturing 50.58 17.52 6.9% 7.6% Business Services 45.03 8.75 6.1% 3.8% Services 39.76 15.31 5.4% 6.6% Retail & Supermarkets 32.75 15.01 4.4% 6.5% Chemicals, Plastics & Rubber 29.89 5.56 4.1% 2.4% Wholesale 26.72 10.80 3.6% 4.7% Leisure and Entertainment 25.20 4.35 3.4% 1.9% Telecommunications 22.64 6.77 3.1% 2.9% Automotive 20.18 6.09 2.7% 2.6% REITS 19.19 4.24 2.6% 1.8% Transportation 15.41 3.96 2.1% 1.7% Media 15.23 7.27 2.1% 3.1% Utilities 14.96 0.31 2.0% 0.1% Hotel & Gaming 14.66 4.31 2.0% 1.9% Restaurants 14.61 4.46 2.0% 1.9% Aerospace and Defense 13.53 0.41 1.8% 0.2% Beverage, Food, and Tobacco Processing 11.57 2.58 1.6% 1.1% Mining 10.33 7.54 1.4% 3.3% Paper & Packaging 9.22 1.39 1.3% 0.6% Shipping 9.14 3.32 1.2% 1.4% Construction 9.01 6.97 1.2% 3.0% n/a 8.15 2.85 1.1% 1.2% Textiles and Apparel 4.19 1.59 0.6% 0.7% Agriculture 4.00 2.18 0.5% 0.9% Government 0.12 0.05 0.0% 0.0%

11

1H2018 Institutional Loan Issuance by Industry Industry Inst. Vol. ($Bils.) New Money Inst. Vol. ($Bils.) % of Inst. Vol % of New Money Inst. Vol Technology 65.70 25.82 14.0% 16.0% Healthcare 41.14 21.74 8.7% 13.5% Financial Services 37.08 7.60 7.9% 4.7% General Manufacturing 31.65 12.30 6.7% 7.6% Services 28.61 11.11 6.1% 6.9% Business Services 27.11 6.36 5.8% 3.9% Telecommunications 20.15 5.96 4.3% 3.7% Retail & Supermarkets 20.11 9.98 4.3% 6.2% Chemicals, Plastics & Rubber 19.24 4.31 4.1% 2.7% Leisure and Entertainment 18.53 3.86 3.9% 2.4% Wholesale 16.63 5.94 3.5% 3.7% Hotel & Gaming 13.54 4.23 2.9% 2.6% Aerospace and Defense 12.93 0.02 2.7% 0.0% Utilities 12.68 0.19 2.7% 0.1% Media 12.26 6.12 2.6% 3.8% Transportation 11.40 2.79 2.4% 1.7% Automotive 10.99 4.29 2.3% 2.7% Restaurants 10.05 3.14 2.1% 1.9% Mining 9.16 7.22 1.9% 4.5% Oil and Gas 9.06 3.89 1.9% 2.4% Shipping 8.22 3.12 1.7% 1.9% Beverage, Food, and Tobacco Processing 8.14 2.25 1.7% 1.4% REITS 5.81 0.07 1.2% 0.0% Construction 5.18 3.88 1.1% 2.4% Paper & Packaging 4.84 0.46 1.0% 0.3% n/a 4.92 1.93 1.0% 1.2% Agriculture 2.90 1.80 0.6% 1.1% Textiles and Apparel 2.51 1.24 0.5% 0.8%

12

Institutional issuance recorded $471 billion for the first half of this year, second only to last year’s record volume. High-yield bonds remained muted with $108 billion of volume in 1H18, compared to $153 billion over the first half of last year.

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U.S. Institutional Loan and HY Bond Issuance

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Although volumes are down over last year’s record volume, new-money share of institutional issuance edged higher to 34% in 1H18, compared to a 29% share a year ago.

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New Money Refinancing New Money Share

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Drilling into the components of institutional new money activity, LBO purpose volume is flat YoY at $46.7 billion, while other M&A (non-LBO) purpose issuance jumped 43% to $86.2 billion.

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In 1H18, leveraged loan M&A lending is running 18% ahead of last year’s levels, driven by $120 billion in non-LBO issuance.

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Sponsored dividend recap activity added $7.4 billion in 2Q18 and stands at $16.6 billion for 1H18, down from the $22 billion recorded in the first half of last year.

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Second lien issuance ticked higher in the second quarter, adding $9.6 billion. Volume is 10% higher compared to last year.

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Syndicated middle-market issuance amounted to $91 billion in 1H18. The bulk of volume took place in the large middle-market space (deal size between $100 and $500 million). .

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Average primary market loan spreads tightened over the course of the second quarter as borrowers continue to take advantage of high demand. Spreads tightened by 10 bps to 321 bps for large corporate borrowers, while spreads for middle market borrowers were down 4 bps to an average of 466.

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U.S. Primary Market Institutional Loan Yields

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New-issue yields were higher in the second quarter for both large corporate and middle market borrowers. Average yields climbed 55 bps in the large corporate space and 44 bps in the middle market sector.

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LBO Debt to EBIDTA Levels

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BROADLY SYNDICATED VS INST. MIDDLE MARKET BROADLY SYNDICATED LBOS

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Average purchase price multiple stand at 10.4 times for broadly syndicated LBO transactions, and 11.3 times for institutional middle market deals.

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The average equity contribution for broadly syndicated LBOs declined to 36%, and stands at 47% for institutional middle market LBOs.

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June Institutional loan flex activity swung in favor of lenders with 25 upward flexes vs 13 downward flexes. The average upward flex was 70 bps compared to an average downward flex of 24 bps.

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Institutional outstandings climbed $20 billion in June to $1.044 trillion. Outstandings have now increased by $89 billion since the start of the year.

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Institutional Loan Outstandings

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Default activity climbed in June with $3.1 billion of defaulted par recorded. The trailing twelve-month default rate held at 2.5%, according to Fitch. There has been $16.5 billion in defaulted par in the first half of this year, compared to $13.4 billion in 1H17.

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Institutional Leveraged Loan Defaults

27

Institutional Leveraged Loan Defaults – TTM Basis Month Issuer Par Value ($ Mils.) Default Date Default Source Industry

June 2017 Ignite Restaurant Group Inc. 115.3 06/06/17 Chapter 11 Filing Gaming, Lodging & Restaurants

Ascent Resources - Marcellus LLC 1,056.0 06/07/17 Missed Payment Energy

The Gymboree Corp. 760.6 06/11/17 Chapter 11 Filing Retail Subtotal 1,931.9

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


28

Institutional Leveraged Loan Defaults – TTM Basis Month Issuer Par Value ($ Mils.) Default Date Default Source Industry 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

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



29

Institutional Leveraged Loan Defaults – TTM Basis Month Issuer Par Value ($ Mils.) Default Date Default Source Industry

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

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. 1,781.3 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 3,120.4

Source: Fitch U.S. Leveraged Loan Default Index


30

The average multi-quoted institutional TL declined 16 bps in June to the 98.2 context. After climbing in 1Q, average levels have retreated in 2Q and are now down 12 bps since the start of the year.

88

90

92

94

96

98

100

102

3-Ja

n-11

3-A

pr-1

1

3-Ju

l-11

3-O

ct-1

1

3-Ja

n-12

3-A

pr-1

2

3-Ju

l-12

3-O

ct-1

2

3-Ja

n-13

3-A

pr-1

3

3-Ju

l-13

3-O

ct-1

3

3-Ja

n-14

3-A

pr-1

4

3-Ju

l-14

3-O

ct-1

4

3-Ja

n-15

3-A

pr-1

5

3-Ju

l-15

3-O

ct-1

5

3-Ja

n-16

3-A

pr-1

6

3-Ju

l-16

3-O

ct-1

6

3-Ja

n-17

3-A

pr-1

7

3-Ju

l-17

3-O

ct-1

7

3-Ja

n-18

3-A

pr-1

8

Avg

. Bid

(% o

f Par

)

Multi-quote Inst. TLs

All Inst. TLs

U.S. Secondary Market Bid Levels

31

The share of multi-quote institutional loans priced in the par-plus area continued to decline and stands at 35% at the end of June. The share priced at or above 101 is lower at 2%, from 4% the previous month. At the other end of the price scale, 4% of credits are bid below 90 cents on the dollar. On a dollar-weighted basis, the par plus percentage stands at 26%, from 58% the previous month.

0%

10%

20%

30%

40%

50%

60%

<70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 100 to <101 >=101

Shar

e of

Loa

ns/D

olla

r Val

ue

Avg. Bid (% of Par)

# of loans $ weighted

Distribution of Secondary Market Bids

32

The share of loans priced at or above par stands at 35% at the end of June with the 101 plus share at 2%.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

4-Ja

n-12

4-A

pr-1

2

4-Ju

l-12

4-O

ct-1

2

4-Ja

n-13

4-A

pr-1

3

4-Ju

l-13

4-O

ct-1

3

4-Ja

n-14

4-A

pr-1

4

4-Ju

l-14

4-O

ct-1

4

4-Ja

n-15

4-A

pr-1

5

4-Ju

l-15

4-O

ct-1

5

4-Ja

n-16

4-A

pr-1

6

4-Ju

l-16

4-O

ct-1

6

4-Ja

n-17

4-A

pr-1

7

4-Ju

l-17

4-O

ct-1

7

4-Ja

n-18

4-A

pr-1

8

Shar

e of

Loa

ns

100-plus 101-plus

Par-plus & 101-plus Market Share

33

The average bid on the European Leveraged 40 dropped a point in June to the 98.4 context. Secondary levels now sit 125 bps lower since the start of the year.

94

95

96

97

98

99

100

101

102

1-Ja

n-13

1-M

ar-1

3

1-M

ay-1

3

1-Ju

l-13

1-Se

p-13

1-N

ov-1

3

1-Ja

n-14

1-M

ar-1

4

1-M

ay-1

4

1-Ju

l-14

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

Avg

. Bid

(% o

f Par

)

European Leveraged 40

Secondary Market Bid Levels: Europe

34

U.S. High-Yield Bond Market Overview

35

High-yield bond issuance was flat in June, with $14 billion of new issues pricing. First half volume stands at $108 billion, or 30% lower compared to 1H17.

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

# o

f Iss

ues

Pro

ceed

s ($

Bils

.)

Proceeds (US$ Bils.) # of Issues

U.S. High-Yield Corporate Bonds

36

41% of year-to-date issuance was rated between BB+ and BB-, while 48% carried a single B rating.

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

37

Breaking out volume by industry, financials lead the way so far this year with $29 billion in volume, for a 27% share. Energy companies are second with a 24% share of volume ($26 billion).

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

38

High-yield bond yields finished June in the 6.4% range, flat over the previous month. Despite a volatile secondary, yields have remained range-bound in the second quarter, only down 4 basis points.

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

Yie

ld to

Wor

st (%

) U.S. High-Yield Bond Index

39

Investor Overview

40

U.S. CLO AUM stands at $543 billion at the end of June, $48 billion higher since the start of the year.

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

Num

ber o

f CLO

s in

Sam

ple

CLO

AP

B ($

Bils

.)

CLO APB Number of CLOs

U.S. CLO Assets Under Management

41

Loan mutual fund & ETF assets under management (market value) climbed to $169 billion in June. *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*

42

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

43

New issue CLO volume increased to $13.2 billion in June, taking year-to-date volume to $66.7 billion. According to the most recently available data, loan funds registered inflows of $1.4 billion in June, the sixth consecutive monthly inflow.

-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

($ B

ils.)

CLO Issuance Loan fund flows

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

44

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

45

New-issue CLO activity climbed to $13.2 billion in June and stands at $66.7 billion for 1H18. New-issue volume remains robust and is running 27% ahead of last year’s levels and 10% 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

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

46

Combined June CLO reset and refinancing volume stands at $14.3 billion, with $9.6 billion in resets/reissues and $4.7 billion in refinancings. There has been $79 billion in reset/reissue activity in the first half of this year, outpacing the $66.7 billion of new-issue volume.

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

($ B

ils.)

Resets/Reissues

Refinancings

U.S. CLO Refinancings & Resets

47

Average AAA DMs widened in June to 107 bps. *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

AA

A D

isco

unt M

argi

n (B

ps)

Average

U.S. BSL CLO AAA Spreads*

48

European CLO volume jumped in June with eight new-issues pricing for €3.3 billion in volume. Volume for the first half of the year stands at €13.8 billion, compared to €8 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

Num

ber o

f CLO

s Is

sued

CLO

Issu

ance

(€ B

ils.)

Issuance (€Bils.)

Number of CLOs

European CLO New Issue Volume - Monthly

49

Combined reset and refinancing activity stands at €9.4 billion for 1H18, with almost €8 billion in reset/reissue volume. CLO repricing activity has declined from the €13.8 billion recorded in the first half of last year.

0

0.5

1

1.5

2

2.5

3

3.5 Ja

n-16

Feb-

16

Mar

-16

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-16

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-16

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16

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6

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-16

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16

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17

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17

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-17

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7

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-17

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17

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18

Feb-

18

Mar

-18

Apr

-18

May

-18

Jun-

18

(€ B

ils.)

Resets/Reissues

Refinancings

European CLO Refinancings & Resets

50

European CLO AAA discount margins averaged 83 bps in June. *based on deals where discount margin is available

60

80

100

120

140

160

180

Jan-

16

Feb-

16

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-16

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17

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18

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18

Mar

-18

Apr

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-18

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18

AA

A D

isco

unt M

argi

n (B

ps) Average

European CLO AAA Spreads*

51

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

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-16

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16

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6

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17

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-17

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7

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17

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18

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18

AA

A D

isco

unt M

argi

n (B

ps)

U.S. Europe

U.S. vs European CLO AAA Spreads – BSL

52

Assets under management rose to $543 billion for U.S. CLOs and €84 billion for European CLOs.

0

100

200

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n-13

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6

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7

Sep-

17

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-17

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18

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-18

May

-18

CLO

AP

B ($

Bils

. /€

Bils

.)

U.S. Europe

CLO Assets Under Management

53

87% of CLO AUM is now made up of CLOs issued on of after 2014 with 37% issued after 2017.

0

100

200

300

400

500

600 Ju

l-12

Sep-

12

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-12

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Jul-1

3 Se

p-13

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n-14

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ar-1

4 M

ay-1

4 Ju

l-14

Sep-

14

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-14

Jan-

15

Mar

-15

May

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Jul-1

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p-15

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ov-1

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ar-1

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ay-1

6 Ju

l-16

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-16

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-17

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-17

Jul-1

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p-17

N

ov-1

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n-18

M

ar-1

8 M

ay-1

8

CLO

AP

B ($

Bils

.)

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

U.S. CLO Assets Under Management by Vintage

54

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 Ja

n-13

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Jul-1

3

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-14

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4

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14

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-14

Jan-

15

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-15

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-15

Jul-1

5

Sep-

15

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-15

Jan-

16

Mar

-16

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-16

Jul-1

6

Sep-

16

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-16

Jan-

17

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-17

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-17

Jul-1

7

Sep-

17

Nov

-17

Jan-

18

Mar

-18

May

-18

CLO

AP

B (€

Bils

.)

<=2008 2009-2013 >=2014

European CLO Assets Under Management by Vintage

55

The top sectors held in U.S. CLOs are technology (14%) and healthcare (8%). The top 5 sectors account for 42% of overall U.S. CLO loan holdings, while the top 10 sectors represent 67% of holdings.

0%

2%

4%

6%

8%

10%

12%

14%

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. CLO

Loa

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Top Industries – U.S. CLOs

56

For European CLO loan holdings, technology makes up the largest share at 11%, while healthcare loans are close behind with a 10% share, along with services. The top 5 sectors account for 47% of European CLO loan holdings, while the top 10 sectors represent 74% of holdings.

0%

2%

4%

6%

8%

10%

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Top Industries – European CLOs

57

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

1 Transdigm Inc 3.17 2 Dell International Llc 2.98 3 Asurion Llc 2.97 4 First Data Corp 2.72 5 Albertson‘s Inc 2.51 6 Centurylink Inc 2.45 7 Avolon Ltd 2.11 8 SS&C Technologies Inc 1.97 9 Micro Focus International Plc 1.96

10 Change Healthcare Holdings Llc 1.80 11 Univision Communications Inc 1.71 12 Sinclair Broadcast Group 1.71 13 Royalty Pharma 1.70 14 Scientific Games Corp 1.68 15 American Airlines 1.68 16 Charter Communications Inc 1.63

17 Air Medical Group Holdings Inc 1.58 18 Calpine Corp 1.58 19 Advantage Sales & Marketing 1.57 20 CSC Holdings Inc 1.55 21 Texas Competitive Electric Holdings Co 1.53 22 Misys Plc 1.47 23 ADT Corp 1.47 24 Caesars Resort Collection Llc 1.47 25 Dtz Us Borrower Llc 1.42

Rank Issuer Approx. Amount ($ Bils.)* 26 Tempo Acquisition Llc 1.39 27 Img Worldwide 1.39 28 West Corp 1.31 29 Wideopenwest Finance Llc 1.29 30 Endo International Plc 1.29 31 Brand Energy & Infrastructure Services 1.28 32 RCN Grande 1.27 33 Pharmaceutical Product Development 1.26 34 Dynegy Inc 1.26 35 Staples Inc 1.25 36 Bass Pro Shops 1.23 37 Mcafee 1.22 38 Sfr Group Sa [Ex-Numericable Sas] 1.20 39 Internet Brands Inc 1.19 40 Virgin Media 1.18 41 Rackspace Hosting 1.18

42 Level 3 Financing Inc 1.17 43 Cable & Wireless Communications Plc 1.16 44 Red Ventures Llc 1.15 45 Bmc Software 1.15 46 Avaya Inc 1.14 47 Petsmart Inc 1.14 48 Eg Group [Ex-Euro Garages Ltd] 1.12 49 Team Health Holdings Llc 1.11 50 Formula One Administration Ltd [Foa] 1.09

*Excludes CLOs not yet in LPC Collateral

58

Top Loan Holdings in European CLO Portfolios Rank Issuer

Approx. Amount (€ Mils.)*

1 SFR Group Sa [Ex-Numericable Sas] 1,007.47 2 Verisure Hldg Ab 909.51 3 Vodafoneziggo 878.16 4 Springer Science & Business Media 788.04 5 Eircom Grp Plc 744.05 6 Platform Specialty Products Corp 720.66 7 Eg Group [Ex-Euro Garages Ltd] 719.72 8 Ineos Group 704.86 9 Unilever Plc 674.35

10 Xella International Gmbh 672.32 11 Oberthur Card Systems Sa 666.54 12 Infor Global Solutions Inc 651.16 13 Nord Anglia Education Plc 630.53 14 Elsan Groupe Sas [Ex-Le Groupe Vedici] 625.65 15 Action Nederland Bv 618.31 16 Nets Holding A/S 613.68

17 Ion Trading Technologies Ltd 604.53 18 Douglas Holding Ag 600.74 19 Stada Arzneimittel Ag 558.41

20 Paysafe Group Plc [Ex-Optimal Payments Plc] 550.45

21 Sig Combibloc Group Ag 533.86 22 Inovyn Ltd 529.73 23 BMC Software 528.97 24 Unilabs Subholding Publ Ab 506.49 25 Verallia Sa 501.43

Rank Issuer Approx. Amount (€

Mils.)* 26 Flint Group Sa 494.01 27 Ceva Sante Animale 489.85 28 Tmf Group 488.84 29 Tipico Co Ltd 478.39 30 Misys Plc 472.09 31 Allnex Usa Inc 468.59 32 Domusvi Sas [Dolcea Gdp Vendome] 467.17 33 Keter Holdings Ltd 465.97 34 Hotelbeds Group Slu 464.10 35 Parex Group 462.09 36 Industrial Parts Holding [Iph Group] 453.87 37 Veritas Software 445.14 38 McAfee 436.19 39 Solera Holdings 424.21 40 Quintilesims Holdings Inc 418.56 41 Ogf [Pompes Funebres Generale] 417.47 42 Techem Ag 402.66 43 Diaverum Ab [Ex-Gambro Healthcare] 384.39

44 Avantor Performance Materials Holdings Inc 384.12

45 Tele Columbus Gmbh & Co Kg 369.95 46 Diamond (Bc) Bv 365.95 47 Ceramtec Gmbh 365.86

48 Ufinet Telecom Sau [Ex- Gas Natural Fenosa Telecomunicaciones [Gnft]] 361.74

49 Cerba European Lab 356.46 50 Unit 4 Agresso Nv 355.89

*Excludes CLOs not yet in LPC Collateral

59

The share of CLO assets that are second-liens edged down to 1.94% in June.

0.00%

0.50%

1.00%

1.50%

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3.00% Ju

n-13

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-13

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Seco

nd li

en s

hare

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s

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

60

The share of par-plus loans in U.S. CLOs dropped to 33% in June from 60% the previous month. It stood at 58% a year ago. At the other end of the market, the share of loans bid below 90 cents on the dollar stands at 3%.

0%

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<70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100

Shar

e of

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n H

oldi

ngs

Avg. Bid (% of Par)

Jun-17 Dec-17 May-18 Jun-18

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

61

For European deals, the share of par-plus loans in portfolios decreased to 10% in June, from 38% a month ago and 87% a year ago. Only 1% of loans are bid below 90.

0%

10%

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50%

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<70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100

Shar

e of

Loa

n H

oldi

ngs

Avg. Bid (% of Par)

Jun-17 Dec-17 May-18 Jun-18

Distribution of Secondary Market Prices of Loan Assets in European CLOs

62

The average bid of U.S. CLO portfolios decreased 28 bps to 98.4 in June.

88

90

92

94

96

98

100

102

Jan-

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Bid

(% o

f Par

)

US Avg. Bid

US Median Bid

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

63

The average bid of European CLOs asset portfolios decreased 64 bps to 98.1 in June. The median bid was down 70 bps to 98.4.

88

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102

Jan-

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Bid

(% o

f Par

)

EUR Avg. Bid

EUR Median Bid

Average Bid of European CLO Portfolios (Underlying Assets)

64

Looking at the distribution of CLO portfolio prices, less than 1% of U.S. CLOs have a weighted average bid at or above par, 78% have a WAB between 98 and par. In European portfolios, 1% have a weighted average bid at or above par, while 79% of Euro CLOs have a WAB in the 98 to 99 range.

0%

10%

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<70 70 to <80

80 to <85

85 to <86

86 to <87

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90 to <91

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>=100

Shar

e of

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s

CLO Weighted Avg. Bid (% of Par)

U.S.

Europe

*Excludes CLOs less than $50 million in size.

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

65

List of Recent CLOs / CLO League Tables

66

1H2018 U.S. CLO Arranger League Table: New Issue (through 30 June 2018)

Rank Bank Holding Company Arranger Volume ($Mils.) Number of Deals Market Share 1 Morgan Stanley 9,587 16 14% 2 Citi 8,836 15 13% 3 Bank of America Merrill Lynch 8,098 15 12% 4 JP Morgan 7,615 15 11% 5 Wells Fargo 6,151 11 9% 6 Credit Suisse 5,294 9 8% 7 Natixis 4,754 10 7% 8 Goldman Sachs 4,176 6 6% 9 Barclays 3,663 7 5% 10 BNP Paribas 3,171 7 5% 11 Jefferies 2,597 5 4% 12 Deutsche Bank 1,490 3 2% 13 Greensledge 561 2 1% 14 MUFG Securities 463 1 1%

67

1H2018 U.S. CLO Arranger League Table: Resets/Re-issues (through 30 June 2018)

Rank Bank Holding Company Arranger Volume ($Mils.) Number of Deals Market Share 1 Citi 10,559 21 17% 2 Goldman Sachs 8,359 17 14% 3 Bank of America Merrill Lynch 6,159 12 10% 4 Jefferies 4,674 11 8% 5 Barclays 3,989 7 7% 6 Morgan Stanley 3,589 8 6% 7 Credit Suisse 3,582 7 6% 8 BNP Paribas 3,182 5 5% 9 JP Morgan 2,850 6 5% 10 Wells Fargo 2,565 6 4% 11 Deutsche Bank 2,260 5 4% 12 MUFG Securities 2,178 4 4% 13 Greensledge 2,103 5 3% 14 Mizuho 1,678 4 3% 15 Natixis 1,400 3 2% 16 RBC Capital Markets 1,047 2 2% 17 Amherst Pierpont 469 1 1% 18 Societe Generale 408 1 1% 19 Guggenheim Investment Securities 134 1 0%

68

Rank Bank Holding Company Arranger Volume ($Mils.) Number of Deals Market Share 1 Citi 3,110 7 17% 2 Goldman Sachs 2,634 4 15% 3 Credit Suisse 2,381 6 13% 4 Morgan Stanley 2,022 5 11% 5 Jefferies 1,398 3 8% 6 Bank of America Merrill Lynch 1,224 3 7% 7 JP Morgan 900 2 5% 8 Wells Fargo 887 3 5% 9 Deutsche Bank 709 2 4% 10 Barclays 665 2 4% 11 BNP Paribas 631 2 4% 12 MUFG Securities 538 2 3% 13 Mizuho 436 1 2% 14 Nomura 334 1 2%

1H2018 U.S. CLO Arranger League Table: Refinancings (through 30 June 2018)

69

1H2018 U.S. CLO Manager League Table: (Top 50)

Rank CLO Manager Volume ($Mils.) Number of Deals Market Share 1 GSO Blackstone 3,172.56 4 5% 2 CBAM CLO Management LLC 2,762.05 3 4% 3 CIFC 2,444.88 3 4% 4 Palmer Square Capital Management 2,432.65 5 4% 5 Credit Suisse Asset Management 2,267.32 3 3% 6 PGIM 2,057.49 4 3% 7 Barings LLC 1,832.70 3 3% 8 Octagon Credit Investors 1,633.08 3 2% 9 Och Ziff Capital Management 1,481.35 3 2%

10 MJX Asset Management 1,445.20 2 2% 11 Cerberus 1,402.92 3 2% 12 Sound Point Capital Management 1,320.75 2 2% 13 Voya Investment Management 1,273.30 2 2% 14 Ares Management 1,226.75 2 2% 15 Bain Capital Credit 1,223.00 2 2% 16 KKR 1,217.00 2 2% 17 Crescent Capital Group 1,080.52 2 2% 18 Mariner Investment Group 1,021.70 2 2% 19 Aegon USA Investment Management 1,021.00 2 2% 20 Neuberger Berman 1,020.20 2 2% 21 Ivy Hill Asset Management 1,009.50 1 2% 22 Redding Ridge Asset Management 907.00 1 1% 23 Golub Capital 903.77 1 1% 24 Pretium Credit Management 863.76 2 1% 25 Intermediate Capital Group 816.50 2 1%


70

1H2018 U.S. CLO Manager League Table: (Top 50)

Rank CLO Manager Volume ($Mils.) Number of Deals Market Share 26 Garrison Capital 783.85 2 1% 27 GoldenTree Asset Management 709.80 1 1% 28 Antares Capital Advisers 707.10 1 1% 29 Fortress 702.80 1 1% 30 Maranon Capital 625.38 1 1% 31 CVC Credit Partners 615.70 1 1% 32 Onex Credit Partners 614.10 1 1% 33 Brigade Capital Management 612.00 1 1% 34 Carlyle Investment Management 611.40 1 1% 35 Hayfin Capital Management 606.25 1 1% 36 BlackRock Financial Management 561.66 1 1% 37 DFG Investment Advisors 560.00 1 1% 38 Marathon Asset Management 555.20 1 1%

39 Midcap Financial Services Capital Management 554.40 1 1%

40 Ballyrock Investment Management 528.29 1 1% 41 Angelo Gordon 527.55 1 1% 42 Symphony Asset Management 517.50 1 1% 43 NCC CLO Manager 513.60 1 1% 44 Regatta Loan Management 513.00 1 1% 45 Carval CLO Management 512.25 1 1% 46 MidOcean Credit Partners 512.00 1 1% 47 NYL Investors LLC 511.60 1 1% 48 THL Credit 511.50 1 1% 49 Canyon Capital 511.40 1 1% 50 Highbridge Principal Strategies 510.55 1 1%


71

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


72


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



73


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



74


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 9-May-18 Carval CLO Management Carval CLO I 512.25 320 51.4 JP Morgan 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

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 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



75


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 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

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 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 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

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 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



76


AAA Size ($Mils.)


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

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

20-Jun-18 BlueMountain Capital Management BlueMountain CLO 2018-1 407.95 260 40.9 JP Morgan 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


77

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


78


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



79


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



80


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



81


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 20-Jun-18 BlueMountain CLO 2018-1 108 150 195 285 505 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 22-Jun-18 ICG US CLO 2018-2 108 108 175 175 210 210 310 310 575 590



82


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


83

2018 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

4-Jan-18 BMO Asset Management Great Lakes CLO 2015-1 330.91 153 185 250 390 736 1000 Citi Reset

10-Jan-18 Alcentra Shackleton 2013-III CLO 499.5 112 155 195 302 588 802 MUFG Securities Reset

11-Jan-18 CIFC CIFC Funding 2014 574.6 110 140 185 285 585 790 Citi Reset 11-Jan-18 NXT Capital NXT Capital CLO 2015-1 321 115 160 220 330 Wells Fargo Refi

12-Jan-18 DoubleLine Capital Parallel 2015-1 348 85 130 175 255 Morgan Stanley Refi

16-Jan-18 Seix Advisors Mountain View CLO X 350 82 135 185 260 Credit Suisse Refi

16-Jan-18 Telos Asset Management Telos CLO 2013-4 329.9 124 180 260 340 655 Goldman Sachs Reset

17-Jan-18 GreyWolf Greywolf CLO V 653 116 168 200 300 585 Goldman Sachs Reset

17-Jan-18 Highbridge Principal Strategies Highbridge Loan Management 4-2014 524.56 103 150 185 255 555 736

Goldman Sachs Reset

18-Jan-18 InvestCorp Credit Management Jamestown CLO VIII 376.3 87 130 374 Morgan Stanley Refi

18-Jan-18 BlackRock Financial Management Magnetite XVI 470 80 120 160 215 500 650 Credit Suisse Refi 18-Jan-18 MJX Asset Management Venture XVI CLO 463 85 125 165 251 503 Jefferies Reset 19-Jan-18 CVC Credit Partners Apidos CLO XXIII 377 82 122 Citi Refi

19-Jan-18 Redding Ridge Asset Management Redding Ridge 3 1395 109 140 180 250 540 BNP Paribas Reset

19-Jan-18 Anchorage Capital Group Anchorage Capital CLO 3 508.75 105 150 185 260 550 JP Morgan Re-issue 19-Jan-18 Anchorage Capital Group Anchorage Capital CLO 4 614.15 105 150 185 260 550 JP Morgan Re-issue

22-Jan-18 Canyon Capital Canyon Capital CLO 2014-1 381 107 150 180 275 550 770 Deutsche Bank Reset

23-Jan-18 Sound Point Capital Management Sound Point CLO II 517 107 145 185 270 550 747 Goldman Sachs Reset


84



23-Jan-18 Voya Investment Management Voya CLO 2016-1 384.1 107 130 180 265 525 JP Morgan Reset 24-Jan-18 Tall Tree Investment Lockwood Grove 2014-1 367.5 117 167 200 285 585 Jefferies Reset 25-Jan-18 Benefit Street Partners Benefit Street Partners CLO VIII 522.56 110 145 185 275 560 Wells Fargo Reset

26-Jan-18 Highland CLO Management Highland CLO 2014-3R (fka ACIS CLO 2014-3) 375 83 145 185 265 575 750 Mizuho Reset

26-Jan-18 MJX Asset Management Venture XXII CLO 580.5 108 150 190 275 565 Jefferies Reset

26-Jan-18 CVC Credit Partners Apidos CLO XII 485.2 108 140 180 260 540 750 RBC Capital Markets Reset

26-Jan-18 Carlyle Investment Management Carlyle Global Markets Strategies CLO 2013-4 386 100 142 175 265 520 Citi Reset

29-Jan-18 Shenkman Capital Management Brookside Mill CLO 415.9 82 135 180 265 550 726

Bank of America Merrill Lynch Reset

30-Jan-18 BlackRock Financial Management Magnetite VII 591.2 80 120 165 205 450 650 Citi Reset

30-Jan-18 MidOcean Credit Partners MidOcean Credit CLO I 296.4 82 130 180 255 515 Barclays Refi 31-Jan-18 PineBridge Investments Galaxy XXI CLO 378 102 135 175 265 525 725 Barclays Reset 1-Feb-18 Octagon Credit Investors Octagon Investment Partners 25 690.369 80 120 155 230 450 650 Citi Refi

2-Feb-18 Tall Tree Investment Management Monarch Grove 2018 363.333 88 135 175 265 550 Jefferies Reissue

2-Feb-18 TPG Capital TICP CLO IV 436.25 80 130 165 250 Mizuho Refi 7-Feb-18 JMP JMP Credit Advisors CLO III 332.1 85 130 180 260 570 Jefferies Reissue

7-Feb-18 Octagon Credit Investors Octagon Investment Partners XVII 393.875 100 140 170 250 515 720 Credit Suisse Reset

7-Feb-18 Barings LLC Barings CLO 2015-I 474.55 99 140 175 260 550 730 JP Morgan Reset

7-Feb-18 Guggenheim Investment Management NZCG Funding 776.4 112 155 180 275 560 Citi Reset

9-Feb-18 Onex Credit Partners OCP CLO 2014-5 376.7 108 140 180 290 570 765 Citi Reset



85



14-Feb-18 Intermediate Capital Group ICG US CLO 2014-2 380 103 145 180 270 520 742


14-Feb-18 Highbridge Principal Strategies Highbridge Loan Management 6-2015 517.86 100 145 175 250 510 760

Goldman Sachs Reset

15-Feb-18 MJX Asset Management Venture XII CLO 666 80 120 160 245 550 Jefferies Refi 15-Feb-18 KKR KKR CLO 13 410 80 115 150 220 495 700 Citi Refi

15-Feb-18 Steele Creek Investment Management Steele Creek CLO 2014-1 436.05 107 150 195 280 575

Goldman Sachs Reissue

16-Feb-18 Silvermine Capital Management ECP CLO 2015-7 469 114 163 197 307 590 835 Amherst Pierpont Reset

16-Feb-18 OFS Capital Management OFSI Fund VI 333.5 65 113 150 250 Nomura Refi 21-Feb-18 PGIM Dryden 41 Senior Loan Fund 517.05 97 130 175 260 530 720 Barclays Reset

22-Feb-18 Credit Suisse Asset Management Madison Park Funding XIX 78 215 435 610 MUFG Securities Refi

20-Feb-18 Ares Management Ares XXXVIII CLO 370.5 97 140 175 250 505


23-Feb-18 CIFC CIFC Funding 2015-III 470.25 87 115 165 250 495 retained Citi Reset

23-Feb-18 PineBridge Investments Galaxy XX CLO 525.8 100 135 175 260 Goldman Sachs Reset

1-Mar-18 Crescent Capital Group Atlas Senior Loan Fund IX 423.65 87 130 180 255 542 Greensledge Reissue

6-Mar-18 Carlyle Investment Management Carlyle Global Market Strategies CLO 2014-1 650 97 140 180 260 540

Morgan Stanley Reset

14-Mar-18 InvestCorp Credit Management Jamestown CLO II 318.9 83 130 167 275 545 Citi Reset 15-Mar-18 Golub Capital Golub Capital BDC 2014 246 Wells Fargo Refi 15-Mar-18 Voya Investment Management Voya CLO 2013-2 433.45 97 140 185 275 560 785 Credit Suisse Reset



86



16-Mar-18 Anchorage Capital Group Anchorage Capital CLO 2018-1 511.95 99 145 180 270 550

Bank of America Merrill Lynch Reissue

22-Mar-18 TPG Capital TICP CLO II-2 518.6 84 125 165 295 567 775 Citi Reissue

23-Mar-18 Octagon Credit Investors Octagon Investment Partners XVIII 748.25 96 147 180 270 551 retained Citi Refi

23-Mar-18 Neuberger Berman Neuberger Berman CLO XXI 370 75 118 160 240 520 Morgan Stanley Reset

23-Mar-18 Intermediate Capital Group ICG US CLO 2014-3 370.65 103 150 185 285 560 Morgan Stanley Reset

23-Mar-18 Highbridge Principal Strategies Highbridge Loan Management 7-2015 479.85 75 118 170 240 500 660 Natixis Reset

26-Mar-18 CIFC CIFC Funding 2013-III 429 98 140 185 290 590 778 Goldman Sachs Reissue

26-Mar-18 Intermediate Capital Group ICG US CLO 2014-3 371.45 103 150 185 285 560 Morgan Stanley Reset

27-Mar-18 BlueMountain Capital Management BlueMountain CLO 2015-3 428.6 100 150 175 260 540 808


29-Mar-18 Golub Capital Golub Capital Partners CLO 26(B) 368.94 102 155 190 285 500 Wells Fargo Reset

29-Mar-18 Voya Investment Management Voya CLO 2014-1 387.65 99 150 190 280 600 835 Citi Reset 29-Mar-18 Shenkman Capital Management Romark WM-R 505.95 103 155 195 302 526 810 Citi Reissue

29-Mar-18 Neuberger Berman Neuberger Berman CLO XIX 375 80 115 165 235 555 754

Bank of America Merrill Lynch Refi

2-Apr-18 MJX Asset Management Venture XVII CLO 646.5 88 140 185 282 575 757 Jefferies Reset

3-Apr-18 PineBridge Investments Galaxy 27 424.25 102 155 180 275 578 806 Goldman Sachs Reissue

4-Apr-18 Alcentra Shackleton 2013-IV CLO 425.9 100 160 190 287 585 840 Citi Reissue



87



5-Apr-18 MidOcean Credit Partners MidOcean Credit CLO IV 368.5 80 125 165 285 530 Barclays Refi 5-Apr-18 Loomis Sayles Loomis Sayles CLO II 368.75 90 140 190 295 565 JP Morgan Reset

5-Apr-18 TPG Capital TICP CLO 3 506.5 84 135 180 290 590 798 Goldman Sachs Reissue

5-Apr-18 Crestline Denali Capital Denali Capital CLO XII 323.75 105 160 180 275 590 BNP Paribas Reset

6-Apr-18 GSO Blackstone Tryon Park CLO 423.75 89 150 185 270 595 759


6-Apr-18 CreekSource Bean Creek CLO 2015-1 305.7 102 145 190 275 575 Barclays Reset 6-Apr-18 Intermediate Capital Group ICG US CLO 2015-2 368 85 135 185 245 550 Credit Suisse Refi

9-Apr-18 Symphony Asset Management Symphony CLO XVII 460 88 120 180 265 555


9-Apr-18 PGIM Dryden XXVI Senior Loan Fund 405.4 90 145 185 270 554 759 Credit Suisse Reset 9-Apr-18 Telos Asset Management Telos CLO 2014-5 375.5 95 148 215 330 656 Jefferies Reset

9-Apr-18 Carlyle Investment Management Carlyle C17 CLO (fka Cent CLO 17) 380 103 160 185 280 600 835

Goldman Sachs Reset

10-Apr-18 Ares Management Ares XXXII CLO 516.63 94 155 180 290 585 840 Deutsche Bank Reissue

10-Apr-18 Sound Point Capital Management Sound Point CLO III 490.08 95 145 190 295 600 780 Deutsche Bank Reissue

10-Apr-18 CIFC CIFC Funding 2015-V 459.75 86 140 165 295 555 MUFG Securities Refi

10-Apr-18 Octagon Credit Investors Octagon Investment Partners XXIII 562.5 85 120 185 255 575 717


11-Apr-18 Fortress Fortress Credit BSL III 517.3 107 173 230 335 619 MUFG Securities Reset

11-Apr-18 Bradford & Marzec B&M CLO 2014-1 369 73 160 220 260 470 Citi Refi 11-Apr-18 NewStar Financial NewStar Fairfield Fund CLO 359.64 127 175 225 358 738 Natixis Reset



88



11-Apr-18 Credit Suisse Asset Management Madison Park Funding XIII 681.02 95 150 190 285 575 795 MUFG Securities Reset

11-Apr-18 Och Ziff Capital Management OZLM VI 573.4 108 175 210 313 605 864


11-Apr-18 Angelo Gordon Northwoods Capital XI 603.2 110 175 220 310 580 Credit Suisse Reissue

12-Apr-18 Black Diamond Capital Management Black Diamond CLO 2016-1 473.2 103 175 198 300 560 Mizuho Reset

12-Apr-18 LCM Asset Management LCM XVIII 560.79 102 160 185 280 595 Natixis Reset

12-Apr-18 LCM Asset Management LCM XXI 297.8 88 140 575 Deutsche Bank Refi

13-Apr-18 GSO Blackstone Cumberland Park CLO 564 77.5 140 180 270 565 705 Credit Suisse Refi

16-Apr-18 BlueMountain Capital Management BlueMountain CLO 2015-4 474 100 165 190 295 595 800


17-Apr-18 TPG Capital TICP CLO I-2 487.825 83 150 220 304 577 800 Citi Reissue 19-Apr-18 Benefit Street Partners Benefit Street Partners CLO V-B 508.9 109 140 165 215 293 595 Greensledge Reissue 19-Apr-18 Sound Point Capital Management Sound Point CLO IV 656.2 115 175 225 325 625 810 Credit Suisse Reissue

20-Apr-18 NewStar Financial NewStar Arlington Senior Loan Program 375 138 185 255 375 653 1100 Wells Fargo Reset

20-Apr-18 BlackRock Financial Management Magnetite VIII 567 98 150 185 290 565 744

Goldman Sachs Reset

23-Apr-18 American Money Management Corp AMMC CLO XI 407.5 101 160 190 285 580 795

Societe Generale Reset

24-Apr-18 Hayfin Capital Management Hayfin Kingsland IX (FKA Kingsland VI) 439.81 115 180 235 316 615 818 Citi Reset

25-Apr-18 Invesco Upland CLO 369.6 102 165 185 290 590 Citi Reset

27-Apr-18 Wellfleet Credit Partners Wellfleet CLO 2016-1 368 91 150 200 290 580 Morgan Stanley Refi



89



30-Apr-18 3i Debt Management Jamestown CLO VI 756.575 115 178 200 300 625 850


30-Apr-18 Canaras Capital Management Saranac CLO III 363.06 110 185 235 325 750 Jefferies Reset

30-Apr-18 MP CLO Management MP CLO VIII (Previously ACAS CLO 2015-2) 460 91 142 190 270 545

Morgan Stanley Refi

2-May-18 Alcentra Shackleton 2014-V CLO 602 110 170 215 315 615 808 Credit Suisse Reissue

3-May-18 Kramer Van Kirk Credit Strategies Inc

KVK CLO 2018-1 (Previously 2015-1) 624.875 93 165 210 300 585 755

Goldman Sachs Reissue

4-May-18 CIFC CIFC Funding 2014-II 836.09 105 160 190 280 569


7-May-18 PineBridge Investments Galaxy CLO XXIX 522.5 79 140 168 240 455 Citi Reissue

8-May-18 Apex Credit Partners Apex Credit CLO 2015-II (previously JFIN CLO 2015-II) 374 88 140 190 320 610 Jefferies Refi

8-May-18 Carlyle Investment Management Carlyle Global Markets Strategies CLO 2014-2 570.1 105 150 182.5 280 535 800 BNP Paribas Reissue

9-May-18 Crescent Capital Group Atlas Senior Loan Fund IV 386.1 68 130 170 260 490 600 BNP Paribas Refi 9-May-18 Marathon Asset Management Marathon CLO VI 499.75 92 165 190 350 615 JP Morgan Reissue

11-May-18 Whitehorse Capital Partners LP WhiteHorse X 389 93 170 215 300


11-May-18 BlueMountain Capital Management BlueMountain CLO 2016-1 391 89 135 185 265 555 JP Morgan Refi

15-May-18 Apollo Credit Management ALM XII 726.13 89 135 165 265 510 600 Goldman Sachs Refi

16-May-18 Ares Management Ares XXXI CLO 1258.55 103 160 190 290 565 Barclays Reissue

17-May-18 THL Credit THL Credit Wind River 2014-1 CLO 561.3 105 160 195 300 630 853

RBC Capital Markets Reset



90



17-May-18 HarbourView Asset Management HarbourView CLO VII 417.36 113 170 210 336 610 827 Mizuho Reissue

17-May-18 Carlyle Investment Management Carlyle Global Markets Strategies CLO 2015-2 457.8 78 225 435 615 Citi Refi

18-May-18 American Money Management Corp AMMC CLO 18 368 110 160 195 305 600 Jefferies Reset

18-May-18 Tall Tree Investment Evans Grove 2018 409.1 92 170 200 320 650 825 Jefferies Reissue

18-May-18 BlackRock Financial Management Magnetite XV 562.6 101 157 180 275 520 Greensledge Reset

18-May-18 LCM Asset Management LCM XIV 401.8 104 158 185 275 550 761 Greensledge Reset 21-May-18 Newfleet Asset Management Newfleet CLO 2016-1 319.5 95 165 200 295 585 Wells Fargo Refi

21-May-18 CIFC CIFC Funding 2013-IV 471.25 106 160 190 280 545


23-May-18 Carlyle Investment Management Carlyle Global Market Strategies CLO 2014-3 815.85 105 135 190 295 540 800 Citi Reissue

23-May-18 Shenkman Capital Management Jackson Mill CLO 513 83 145 185 280 500 750 Credit Suisse Refi

24-May-18 Canyon Capital Canyon Capital CLO 2016-1 418.9 107 170 190 280 575 Goldman Sachs Reset

24-May-18 Och Ziff Capital Management OZLM XIV 116.25 170 210 300 580 Credit Suisse Refi

25-May-18 Golub Capital Golub Capital Partners CLO 25(M) 641.676 138 190 260 275 Wells Fargo Reset

29-May-18 Steele Creek Investment Management Steele Creek CLO 2016-1 284.25 112 165 190 290 575 690


30-May-18 Apollo Credit Management ALM VI 476.75 89 140 175 270 505 640 Goldman Sachs Reset

31-May-18 Seix Advisors Mountain View CLO IX 518.05 112 178 210 312 608 802 BNP Paribas Reset

1-Jun-18 Octagon Credit Investors Octagon Investment Partners 26 470 102 160 180 285 540 809 Morgan Stanley Reset

5-Jun-18 Invesco Betony CLO 2 510.3 108 160 185 290 565 Morgan Stanley Reissue



91



6-Jun-18 Sound Point Capital Management Sound Point CLO X 414 89 145 190 270 525 Goldman Sachs Refi

6-Jun-18 Deutsche Asset Management Flagship CLO VIII 411.175 85 140 180 305 519 584 Deutsche Bank Refi

6-Jun-18 Oak Hill Advisors OHA Credit Partners XII 569 102 160 190 290 545 768 Goldman Sachs Reset

7-Jun-18 Angelo Gordon Northwoods Capital XII 603 111 185 215 315 579 817 Barclays Reissue 7-Jun-18 GSO Blackstone Dorchester Park CLO 487.5 90 145 175 240 500 671 Credit Suisse Reset 8-Jun-18 TCW Figueroa CLO 2013-2 358 85 150 185 305 560 Jefferies Refi

8-Jun-18 GoldenTree Asset Management GoldenTree Credit Opportunities 2012-1 Financing 450 168 5.10% 330 385 Wells Fargo Reset

13-Jun-18 Seix Advisors Mountain View CLO 2014-1 437.5 80 145 200 365 Citi Refi

14-Jun-18 MidOcean Credit Partners MidOcean Credit CLO III 480.55 112 180 200 325 620 882 MUFG Securities Reset

14-Jun-18 Brigade Capital Management Battalion CLO IX 471.7 110 165 190 325 625 Citi Reset 15-Jun-18 GSO Blackstone Webster Park CLO 463.5 102 160 180 290 550 775 Citi Reset

15-Jun-18 Ares Management Ares XXXVR CLO 408.53 102 165 190 300 570 Deutsche Bank Reissue

15-Jun-18 Credit Suisse Asset Management Madison Park Funding XX 517 102 155 190 300 530 815 Barclays Reset

15-Jun-18 Carlyle Investment Management Carlyle Global Markets Strategies CLO 2014-4 576.884 102 160 190 290 565 792 Citi Reissue

15-Jun-18 Octagon Credit Investors Octagon Investment Partners XVI 516.5 102 160 185 300 575 771


15-Jun-18 Highbridge Principal Strategies Highbridge Loan Management 8-2016 458.75 102 160 195 290 550

Goldman Sachs Reset

18-Jun-18 ArrowMark Peaks CLO 1 134.47 141 210 275 390 752 retained

Guggenheim Investment Securities Reset



92



21-Jun-18 Pretium Credit Management Crown Point CLO V 405.88 94 170 200 295 565 1000 Jefferies Reissue

20-Jun-18 Apollo Credit Management ALM XVI 1033.8 90 150 190 270 510 640 Goldman Sachs Refi

21-Jun-18 BlackRock Financial Management Magnetite XVII 463.75 110 155 190 290 555

Deutsche Bank Reset

22-Jun-18 CVC Credit Partners Apidos CLO XXI 470 93 145 185 245 520 825 Morgan Stanley Refi

22-Jun-18 BlueMountain Capital Management BlueMountain CLO 2015-2 509 93 150 205 275 520 JP Morgan Refi

22-Jun-18 Zais Group Zais CLO 3 460 121 219 265 373 691 Goldman Sachs Refi

25-Jun-18 Monroe Capital Monroe Capital MML CLO 2016-1 245 120 165 215 375 725 BNP Paribas Refi

28-Jun-18 PGIM Dryden 42 Senior Loan Fund 374.75 104 155 205 293 555 720 BNP Paribas Reset 28-Jun-18 TPG Capital TICP CLO V 2016-1 412.27 109 175 220 315 575 Mizuho Reset 29-Jun-18 Invesco Annisa CLO 410.05 110 165 200 300 600 Barclays Reset

29-Jun-18 Guggenheim Investment Management Seven Sticks CLO 368.2 105 160 200 315 620 Citi Refi

29-Jun-18 GoldenTree Asset Management GoldenTree Loan Opportunities XII 412.85 104 155 195 290 540

Greensledge/Wells Fargo Reset


93

2018 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

4-Jan-18 Great Lakes CLO 2015-1 330.91 153 195 185 270 250 375 390 475 736 670 Reset

10-Jan-18 Shackleton 2013-III CLO 499.5 112 117 155 200 195 295 302 380 588 525 Reset

11-Jan-18 CIFC Funding 2014 574.6 110 105 140 160 185 225 285 325 585 450 Reset

11-Jan-18 NXT Capital CLO 2015-1 321 115 160 220 330 Refi

12-Jan-18 Parallel 2015-1 348 85 145 130 205 175 275 255 365 Refi

16-Jan-18 Mountain View CLO X 350 82 150 135 220 185 310 260 365 Refi

16-Jan-18 Telos CLO 2013-4 329.9 124 130 180 180 260 275 340 350 655 500 Reset

17-Jan-18 Greywolf CLO V 653 116 160 168 240 200 335 300 380 585 570 Reset

17-Jan-18 Highbridge Loan Management 4-2014 524.56 103 144 150 205 185 300 255 365 555 490 Reset

18-Jan-18 Jamestown CLO VIII 376.3 87 152 130 240 374 425 Refi

18-Jan-18 Magnetite XVI 470 80 150 120 225 160 310/300 215 405 500 635 Refi

18-Jan-18 Venture XVI CLO 463 85 112 125 150 165 215 251 345 503 450 Reset

19-Jan-18 Apidos CLO XXIII 377 82 149 122 225 Refi

19-Jan-18 Redding Ridge 3 1395 109 143 140 210 180 295 250 345 540 485 Reset

19-Jan-18 Anchorage Capital CLO 3 508.75 105 150 185 260 550 Re-issue

19-Jan-18 Anchorage Capital CLO 4 614.15 105 150 185 260 550 Re-issue

22-Jan-18 Canyon Capital CLO 2014-1 381 107 129 150 175 180 265 275 325 550 450 Reset

23-Jan-18 Sound Point CLO II 517 107 120 145 190 185 275 270 375 550 450 Reset

23-Jan-18 Voya CLO 2016-1 384.1 107 150 130 220 180 295 265 420 525 655 Reset

24-Jan-18 Lockwood Grove 2014-1 367.5 117 147 167 227 200 335 285 500 585 775 Reset

25-Jan-18 Benefit Street Partners CLO VIII 522.56 110 160 145 225 185 300 275 390 560 550 Reset

26-Jan-18 Highland CLO 2014-3R (fka ACIS CLO 2014-3) 375 83 151 145 223 185 250 265 312 575 475 Reset


94



26-Jan-18 Venture XXII CLO 580.5 108 180 150 250 190 335 275 450/535 565 675 Reset

26-Jan-18 Apidos CLO XII 485.2 108 110 140 175 180 280 260 305 540 440 Reset

26-Jan-18 Carlyle Global Markets Strategies CLO 2013-4 386 100 152 142 210 175 280 265 320 520 450 Reset

29-Jan-18 Brookside Mill CLO 415.9 82 115 135 175 180 270 265 305 550 440 Reset

30-Jan-18 Magnetite VII 591.2 80 135 120 175 165 233 205 375 450 700 Reset

30-Jan-18 MidOcean Credit CLO I 296.4 82 145 130 250 180 340 255 455 515 837 Refi

31-Jan-18 Galaxy XXI CLO 378 102 135 175 265 525 Reset

1-Feb-18 Octagon Investment Partners 25 690.369 80 146 120 220 155 325 230 425 450 700/585 Refi

2-Feb-18 Monarch Grove 2018 363.333 88 135 175 265 550 Reissue

2-Feb-18 TICP CLO IV 436.25 80 150 130 220 165 300 250 355 Refi

7-Feb-18 JMP Credit Advisors CLO III 332.1 85 124 130 180 180 260 260 390 570 710 Reissue

7-Feb-18 Octagon Investment Partners XVII 393.875 100 140 170 250 515 450 Reset

7-Feb-18 Barings CLO 2015-I 474.55 99 143 140 195 175 285 260 345/400 550 530 Reset

7-Feb-18 NZCG Funding 776.4 112 177 155 275 180 350 275 410 560 565 Reset

9-Feb-18 OCP CLO 2014-5 376.7 108 100 140 172 180 268 290 325 570 450 Reset

14-Feb-18 ICG US CLO 2014-2 380 103 119 145 150 180 235 270 365 520 500 Reset

14-Feb-18 Highbridge Loan Management 6-2015 517.86 100 145 145 226 175 307 250 365 510 545 Reset

15-Feb-18 Venture XII CLO 666 80 123 120 163 160 240 245 370 550 620 Refi

15-Feb-18 KKR CLO 13 410 80 152 115 235 150 326 220 425 495 670 Refi

15-Feb-18 Steele Creek CLO 2014-1 436.05 107 133 150 185 195 255 280 340 575 695 Reissue 16-Feb-18 ECP CLO 2015-7 469 114 155 163 230 197 310 307 365 590 490 Reset

16-Feb-18 OFSI Fund VI 333.5 65 103 113 190 150 306 250 365 Refi

21-Feb-18 Dryden 41 Senior Loan Fund 517.05 97 150 130 215 175 295 260 370 530 565 Reset



95



22-Feb-18 Madison Park Funding XIX 78 215 385 435 645 Refi

20-Feb-18 Ares XXXVIII CLO 370.5 97 140 175 250 505 Reset

23-Feb-18 CIFC Funding 2015-III 470.25 87 142 115 210 165 290 250 380 495 605 Reset

23-Feb-18 Galaxy XX CLO 525.8 100 145 135 195 175 260 260 350 Reset

1-Mar-18 Atlas Senior Loan Fund IX 423.65 87 123 130 170 180 235 255 390 542 495 Reissue

6-Mar-18 Carlyle Global Market Strategies CLO 2014-1 650 97 130 140 180 180 275 260 345 540 445 Reset

14-Mar-18 Jamestown CLO II 318.9 83 127 130 185 167 285 275 363 545 575 Reset

15-Mar-18 Golub Capital BDC 2014 246 Refi

15-Mar-18 Voya CLO 2013-2 433.45 97 115 140 170 185 268 275 350 560 500 Reset

16-Mar-18 Anchorage Capital CLO 2018-1 511.95 99 148 145 210 180 270 270 415 550 725 Reissue

22-Mar-18 TICP CLO II-2 518.6 84 116 125 155 165 220 295 330 567 475 Reissue

23-Mar-18 Octagon Investment Partners XVIII 748.25 96 113 147 155 180 220 270 348 551 525 Refi

23-Mar-18 Neuberger Berman CLO XXI 370 75 118 160 240 520 Reset

23-Mar-18 ICG US CLO 2014-3 370.65 103 123 150 165 185 235 285 360 560 515 Reset

23-Mar-18 Highbridge Loan Management 7-2015 479.85 75 118 170 240 500 Reset

26-Mar-18 CIFC Funding 2013-III 429 98 102 140 150 185 205 290 325 590 475 Reissue

26-Mar-18 ICG US CLO 2014-3 371.45 103 123 150 165 185 235 285 360 560 515 Reset

27-Mar-18 BlueMountain CLO 2015-3 428.6 100 148 150 215 175 310 260 355 540 525 Reset

29-Mar-18 Golub Capital Partners CLO 26(B) 368.94 102 165 155 240 190 340 285 380 500 540 Reset

29-Mar-18 Voya CLO 2014-1 387.65 99 133 150 185 190 260 280 340 600 490 Reset

29-Mar-18 Romark WM-R 505.95 103 122 155 166 195 260 302 345 526 485 Reissue

29-Mar-18 Neuberger Berman CLO XIX 375 80 105 115 155 165 205 235 320 555 525 Refi



96



2-Apr-18 Venture XVII CLO 646.5 88 108 140 160 185 220 282 375 575 500 Reset

3-Apr-18 Galaxy 27 424.25 102 113 155 150 180 225 275 335 578 450 Reissue

4-Apr-18 Shackleton 2013-IV CLO 425.9 100 112 160 150 190 210 287 585 Reissue

5-Apr-18 MidOcean Credit CLO IV 368.5 80 155 125 245 165 325 285 390 530 540 Refi

5-Apr-18 Loomis Sayles CLO II 368.75 90 153 140 220 190 300 295 360 565 560 Reset

5-Apr-18 TICP CLO 3 506.5 84 118 135 160 180 225 290 365 590 555 Reissue

5-Apr-18 Denali Capital CLO XII 323.75 105 175 160 245 180 345 275 465 590 775 Reset

6-Apr-18 Tryon Park CLO 423.75 89 112 150 155 185 260 270 350 595 440 Reset

6-Apr-18 Bean Creek CLO 2015-1 305.7 102 162 145 230 190 315 275 450 575 730 Reset

6-Apr-18 ICG US CLO 2015-2 368 85 152 135 225 185 320 245 395 550 653 Refi

9-Apr-18 Symphony CLO XVII 460 88 150 120 225 180 335 265 480 555 740 Refi

9-Apr-18 Dryden XXVI Senior Loan Fund 405.4 90 110 145 175 185 250 270 345 554 450 Reset

9-Apr-18 Telos CLO 2014-5 375.5 95 155 148 215 215 300 330 365 656 500 Reset

9-Apr-18 Carlyle C17 CLO (fka Cent CLO 17) 380 103 130 160 200 185 300 280 350 600 600 Reset

10-Apr-18 Ares XXXII CLO 516.63 94 121 155 165 180 225 290 345 585 570 Reissue

10-Apr-18 Sound Point CLO III 490.08 95 99 145 155 190 215 295 335 600 Reissue

10-Apr-18 CIFC Funding 2015-V 459.75 86 140 165 295 555 Refi

10-Apr-18 Octagon Investment Partners XXIII 562.5 85 142 120 200 185 275 255 375 575 650 Reset

11-Apr-18 Fortress Credit BSL III 517.3 107 151 173 235 230 345 335 390 619 650 Reset

11-Apr-18 B&M CLO 2014-1 369 73 140 160 195 220 280 260 375 470 475 Refi

11-Apr-18 NewStar Fairfield Fund CLO 359.64 127 192 175 281 225 372 358 485 738 730 Reset

11-Apr-18 Madison Park Funding XIII 681.02 95 111 150 155 190 215 285 327 575 500 Reset

11-Apr-18 OZLM VI 573.4 108 130 175 175 210 270 313 350 605 475 Reset



97



11-Apr-18 Northwoods Capital XI 603.2 110 119 175 160 220 240 310 345 580 450 Reissue

12-Apr-18 Black Diamond CLO 2016-1 473.2 103 165 175 265 198 335 300 485 560 815 Reset

12-Apr-18 LCM XVIII 560.79 102 151 160 230 185 315 280 380 595 535 Reset

12-Apr-18 LCM XXI 297.8 88 155 140 240 575 765 Refi

13-Apr-18 Cumberland Park CLO 564 77.5 141 140 210 180 285 270 340 565 500 Refi

16-Apr-18 BlueMountain CLO 2015-4 474 100 150 165 225 190 320 295 460/405 595 650 Reset

17-Apr-18 TICP CLO I-2 487.825 83 118 150 160 220 220 304 330 577 450 Reissue

19-Apr-18 Benefit Street Partners CLO V-B 508.9 109 120 140 165 165 250 215 355 293 515 Reissue

19-Apr-18 Sound Point CLO IV 656.2 115 110 175 130 225 225 325 340 625 450 Reissue

20-Apr-18 NewStar Arlington Senior Loan Program 375 138 175 185 260 255 330 375 425 653 610 Reset

20-Apr-18 Magnetite VIII 567 98 130 150 175 185 250 290 350 565 495 Reset

23-Apr-18 AMMC CLO XI 407.5 101 140 160 205 190 285 285 425 580 725 Reset

24-Apr-18 Hayfin Kingsland IX (FKA Kingsland VI) 439.81 115 125 180 190 235 340 316 365 615 500 Reset

25-Apr-18 Upland CLO 369.6 102 160 165 240 185 345 290 435 590 825 Reset

27-Apr-18 Wellfleet CLO 2016-1 368 91 175 150 265 200 365 290 557 580 858 Refi

30-Apr-18 Jamestown CLO VI 756.575 115 115 178 250 200 350 300 325 625 475 Reissue

30-Apr-18 Saranac CLO III 363.06 110 148 185 205 235 275 325 365 750 515 Reset

30-Apr-18 MP CLO VIII (Previously ACAS CLO 2015-2) 460 91 150 142 225 190 305 270 375 545 590 Refi

2-May-18 Shackleton 2014-V CLO 602 110 114 170 165 215 225 315 615 Reissue

3-May-18 KVK CLO 2018-1 (Previously 2015-1) 624.875 93 125 165 185 210 285 300 585 Reissue

4-May-18 CIFC Funding 2014-II 836.09 105 120 160 155 190 225 280 569 Reissue

7-May-18 Galaxy CLO XXIX 522.5 79 137 140 195 168 280 240 430 455 790 Reissue

8-May-18 Apex Credit CLO 2015-II (Previously JFIN CLO 2015-II) 374 88 140 190 320 610 Refi



98



8-May-18 Carlyle Global Markets Strategies CLO 2014-2 570.1 105 125 150 160 182.5 230 280 350 535 475 Reissue

9-May-18 Atlas Senior Loan Fund IV 386.1 68 98 130 145 170 195 260 330 490 Refi

9-May-18 Marathon CLO VI 499.75 92 125 165 160 190 235 350 350 615 505 Reissue

11-May-18 WhiteHorse X 389 93 143 170 210 215 315 300 380 Refi

11-May-18 BlueMountain CLO 2016-1 391 89 158 135 230 185 325 265 480 555 730 Refi

15-May-18 ALM XII 726.13 89 105 135 160 165 205 265 320 510 540 Refi

16-May-18 Ares XXXI CLO 1258.55 103 118 160 155 190 290 565 Reissue

17-May-18 THL Credit Wind River 2014-1 CLO 561.3 105 118 160 155 195 225 300 350 630 Reset

17-May-18 HarbourView CLO VII 417.36 113 125 170 165 210 238 336 372 610 513 Reissue

17-May-18 Carlyle Global Markets Strategies CLO 2015-2 457.8 78 147 225 375 435 530 Refi

18-May-18 AMMC CLO 18 368 110 165 160 260 195 324 305 500 600 667/725 Reset

18-May-18 Evans Grove 2018 409.1 92 130 170 180 200 260 320 410 650 670 Reissue

18-May-18 Magnetite XV 562.6 101 147 157 220 180 300 275 400 520 645 Reset

18-May-18 LCM XIV 401.8 104 115 158 165 185 275 275 350 550 465 Reset

21-May-18 Newfleet CLO 2016-1 319.5 95 185 165 275 200 375 295 675 585 1100 Refi

21-May-18 CIFC Funding 2013-IV 471.25 106 112 160 150 190 225 280 335 545 475 Reset

23-May-18 Carlyle Global Market Strategies CLO 2014-3 815.85 105 115 135 155 190 215 295 327 540 575 Reissue

23-May-18 Jackson Mill CLO 513 83 154 145 230 185 300 280 375 500 500 Refi

24-May-18 Canyon Capital CLO 2016-1 418.9 107 160 170 243 190 355 280 545 575 750 Reset

24-May-18 OZLM XIV 116.25 170 225 210 315 300 435 580 635 Refi

25-May-18 Golub Capital Partners CLO 25(M) 641.676 138 180 190 265 260 365 275 425 Reset

29-May-18 Steele Creek CLO 2016-1 284.25 112 170 165 250 190 350 290 600 575 675 Reset

30-May-18 ALM VI 476.75 89 105 140 160 175 205 270 320 505 545 Reset



99



31-May-18 Mountain View CLO IX 518.05 112 146 178 210 210 305 312 365 608 535 Reset

1-Jun-18 Octagon Investment Partners 26 470 102 158 160 250 180 335 285 495 540 785 Reset

5-Jun-18 Betony CLO 2 510.3 108 135 160 195 185 285 290 360 565 535 Reissue

6-Jun-18 Sound Point CLO X 414 89 165 145 250 190 350 270 425 525 675 Refi

6-Jun-18 Flagship CLO VIII 411.175 85 125 140 170 180 250 305 370 519 520 Refi

6-Jun-18 OHA Credit Partners XII 569 102 149 160 221 190 325 290 420/470 545 685 Reset

7-Jun-18 Northwoods Capital XII 603 111 123 185 170 215 245 315 360 579 699 Reissue

7-Jun-18 Dorchester Park CLO 487.5 90 140 145 220 175 320 240 355 500 525 Reset

8-Jun-18 Figueroa CLO 2013-2 358 85 125 150 180 185 245 305 390 560 750 Refi

8-Jun-18 GoldenTree Credit Opportunities 2012-1 Financing 450 168 5.10% 330 385 Reset

13-Jun-18 Mountain View CLO 2014-1 437.5 80 124 145 170 200 280 365 375 Refi

14-Jun-18 MidOcean Credit CLO III 480.55 112 146 180 200 200 290 325 375 620 525 Reset

14-Jun-18 Battalion CLO IX 471.7 110 155 165 200 190 300 325 390 625 580 Reset

15-Jun-18 Webster Park CLO 463.5 102 150 160 225 180 310 290 405 550 610 Reset

15-Jun-18 Ares XXXVR CLO 408.53 102 132 165 215 190 285 300 345 570 858 Reissue

15-Jun-18 Madison Park Funding XX 517 102 155 155 235 190 330 300 445 530 740 Reset

15-Jun-18 Carlyle Global Markets Strategies CLO 2014-4 576.884 102 120 160 155 190 225 290 360 565 520 Reissue

15-Jun-18 Octagon Investment Partners XVI 516.5 102 112 160 160 185 275 300 335 575 450 Reset

15-Jun-18 Highbridge Loan Management 8-2016 458.75 102 155 160 240 195 375 290 485 550 790 Reset

18-Jun-18 Peaks CLO 1 134.47 141 175 210 280 275 350 390 450 752 550 Reset

19-Jun-18 Crown Point CLO V 405.88 94 170 200 295 565 Reissue

20-Jun-18 ALM XVI 1033.8 90 105 150 160 190 205 270 320 510 536 Refi

21-Jun-18 Magnetite XVII 463.75 110 155 155 235 190 346 290 515 555 815 Reset



100



22-Jun-18 Apidos CLO XXI 470 93 145 185 245 520 Refi

22-Jun-18 BlueMountain CLO 2015-2 509 93 143 150 185 205 270 275 355 520 535 Refi

22-Jun-18 Zais CLO 3 460 121 160 219 240 265 335 373 380 691 575 Refi

25-Jun-18 Monroe Capital MML CLO 2016-1 245 120 225 165 330 215 450 375 675 725 900 Refi

28-Jun-18 Dryden 42 Senior Loan Fund 374.75 104 156 155 215 205 315 293 450 555 725 Reset

28-Jun-18 TICP CLO V 2016-1 412.27 109 175 220 315 575 Reset

29-Jun-18 Annisa CLO 410.05 110 155 165 210 200 290 300 430 600 725 Reset

29-Jun-18 Seven Sticks CLO 368.2 105 170 160 230 200 325 315 410 620 760 Refi

29-Jun-18 GoldenTree Loan Opportunities XII 412.85 104 153 155 215 195 290 290 425 540 715 Reset


101

Rank Bank Holding Company Arranger Volume (€Mils.) Number of Deals Market Share 1 Citi 3,670 9 27% 2 Barclays 2,749 6 20% 3 Bank of America Merrill Lynch 2,013 5 15% 4 Credit Suisse 1,660 4 12% 5 BNP Paribas 1,656 4 12% 6 Morgan Stanley 822 2 6% 7 Goldman Sachs 414 1 3% 8 Deutsche Bank 410 1 3% 9 JP Morgan 361 1 3%

1H2018 European CLO Arranger League Table: New Issue (through 30 June 2018)

102

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


103

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

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

25-Jun-18 Carlyle Investment Management Carlyle Global Market Strategies Euro CLO 2018-2 410.25 79 140 185 290 540 750 Deutsche Bank


104

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


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


105

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


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

2018 European CLOs Refinancings/Resets



106

Loan Mutual Fund Flows & Returns

107

According to the most recently available data, high-yield funds recorded an outflow of $3.5 billion in June. HY funds have recorded outflows in five out of the six months of 2018. In 1H18 amounting to $23.8 billion in outflows. Leveraged loans pulled in $1.4 billion in June and almost $12 billion in the first half of this year.

Loan vs HY Bond Fund Flows* - Monthly

108

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 $10.7 billion. ETFs have registered $1.25 billion of inflows in 1H18, according to the most recently available data.

Loan Fund Flows* - Mutual Fund vs ETF Breakout

109

Leveraged loan returns declined to 0.12% in June, according to the SP/LSTA LLI. Returns over the first half of the year stand at 2.17%, compared to 1.96% recorded in 1H17. Average returns for open-ended loan funds were flat in June, with returns for individual funds ranging from -0.3% to 0.24%. On average, open-ended funds have returned 1.63% in the first half of the year.

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

*Based on a straight average of all open-end loan fund returns.

Loan Funds* vs Loan Index – Monthly Returns

110

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