Welcome to the SCI/BVAL presentation on CLO Pricing

Your Panel:•James Linacre, SCI (moderator)•Oliver Wriedt, Head of Capital Markets & Distribution, CIFC, p ,•Cynthia Sachs, Global Head of BVAL•Jesse Knapp, Managing Director, Kanerai

Agenda

•Introduction•How the market has evolved•Impact of loan market changes on CLOs and modelling assumptions

i i h d l f O•Pricing methodology for CLOs•Methodology differences between 1.0 and 2.0•A manager’s perspective on deal differencesA b d i•A bond comparison

•Where is relative value?•Concluding thoughts•Q&A•Q&A

Agenda

•Introduction

Agenda

•Introduction•How the market has evolved

Agenda

•Introduction•How the market has evolved•Impact of loan market changes on CLOs and modelling assumptions

k doLoan market updateoA look at re‐pricingsoPrepayment speeds2 0 d f lto2.0 defaults

oFuture pricing assumptions

Agenda

•Introduction•How the market has evolved•Impact of loan market changes on CLOs and modelling assumptions

i i h d l f O•Pricing methodology for CLOs

CLO tranche valuation requires deal and tranche analytics and a broad dataset CLO tranche valuation requires deal and tranche analytics and a broad dataset market color

Each tranche is different, across many factors including the following:

Collateral metrics: asset quality, liquidity and prepayments Deal metrics: triggers, amortization, reinvestment and manager Tranche metrics: attach/detach, average life and price

Deal assets and structures change over time

Market data informs valuation

◦ BWIC cover data, two-way markets and other market observations◦ Data shows how the market is pricing different deal and tranche characteristics

Recent observations of specific tranche trades should be weighed into calculations

Agenda

•Introduction•How the market has evolved•Impact of loan market changes on CLOs and modelling assumptions

i i h d l f O•Pricing methodology for CLOs•Methodology differences between 1.0 and 2.0

Agenda

•Introduction•How the market has evolved•Impact of loan market changes on CLOs and modelling assumptions

i i h d l f O•Pricing methodology for CLOs•Methodology differences between 1.0 and 2.0•A manager’s perspective on deal differences

Agenda

•Introduction•How the market has evolved•Impact of loan market changes on CLOs and modelling assumptions

i i h d l f O•Pricing methodology for CLOs•Methodology differences between 1.0 and 2.0•A manager’s perspective on deal differencesA b d i•A bond comparison

› Market value net asset value (MV NAV) varies both across and within vintages

14090

Equity MV NAV Medians by Vintage Selected 2007 Equity MV NAVs

100

120

75

80

85

60

80

55

60

65

70

0

20

40

40

45

50

55

Bond 1 Bond 2 Bond 3 Bond 42005 2006 2007 2012

› Sample comparison of equity tranches across various collateral, deal and tranche metrics

Vintage WAP Last Payment WA Liability Reinvestment MV NAV Price Price MV NAVVintage WAP (% of Notional) Spread End Date MV NAV Price Price – MV NAV

USD 1.0 99.2 6.5 45 June-13 86 88 2

USD 1 0 98 1 8 1 48 October-13 63 70 7USD 1.0 98.1 8.1 48 October 13 63 70 7

USD 1.0 88.5 0.0 87 July-12 27 19 -8

USD 2.0 99.6 4.5 196 April-15 78 88 10p

USD 2.0 99.7 4.8 211 July-16 81 95 14

USD 2.0 99.5 4.1 213 October-16 72 83 11

Agenda

•Introduction•How the market has evolved•Impact of loan market changes on CLOs and modelling assumptions

i i h d l f O•Pricing methodology for CLOs•Methodology differences between 1.0 and 2.0•A manager’s perspective on deal differencesA b d i•A bond comparison

•Where is relative value?

Agenda

•Introduction•How the market has evolved•Impact of loan market changes on CLOs and modelling assumptions

i i h d l f O•Pricing methodology for CLOs•Methodology differences between 1.0 and 2.0•A manager’s perspective on deal differencesA b d i•A bond comparison

•Where is relative value?•Concluding thoughts

Agenda

•Introduction•How the market has evolved•Impact of loan market changes on CLOs and modelling assumptions

i i h d l f O•Pricing methodology for CLOs•Methodology differences between 1.0 and 2.0•A manager’s perspective on deal differencesA b d i•A bond comparison

•Where is relative value?•Concluding thoughts•Q&A•Q&A

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