LEVERAGED LOAN MONTHLY - Thomson Reutersshare.thomsonreuters.com/loanpricing/LoanMonthly/... · •Although the secondary market remains highly bid, the share of loans bid in the

LEVERAGED LOAN MONTHLY THOMSON REUTERS LPC

JUNE 2017

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

mailto:[email protected]�

LEVERAGED LOAN MONTHLY

Leveraged Loan Monthly - June 2017

2

Leveraged Loan Market Overview Slides 7-34

Investor Overview Slides 35-39

CLO Market Analysis Slides 40-55

List of Recent CLOs / CLO League Tables Slides 56-98

Loan Fund Flows & Returns Slides 99-102

Key Points Slides 4-6

3


KEY POINTS


4

Primary Market: •Leveraged loan issuance was a record $732 billion in 1H17, easily outstripping the $381 billion posted in the first half of last year. The previous record was in 1H13 when $660 billion of volume was recorded. The growth in lending this year continues to be driven by refinancing activity. In addition, the share of leveraged issuance comprised of institutional loans has grown to 67% in 1H17, from 42% last year. •A large share of leveraged lending in the first half of this year (71%) was once again made up of refinancing activity, compared to a 47% share in 1H16. New money volume stands at $215 billion year to date, 7% higher compared to last year. •Institutional loan issuance has surged to a new high of $496 billion in 1H17, far ahead of the $163 billion recorded in the first half last year and 26% higher than the previous record of $395 billion in 1H13. High yield bond issuance was flat with $23 billion of volume in June. Issuance for 1H17 stands at $151.5 billion, surpassing the $119 billion recorded in the first half of last year. •As in the broader leveraged loan market, institutional issuance continues to be driven by refinancing activity, albeit at a slower rate. Although refinancings have dominated in 2017, new money institutional loan issuance has increased. New money volume stands at $137 billion in 1H17, up 27% from $103 billion recorded in 1H16.

•The size of the institutional loan market increased to $925 billion in June, a gain of $25 billion over the prior month, pushing year to date growth to almost $45 billion. •M&A leveraged loan volume stands at $133 billion in 1H17, down from the $141 billion recorded in 1H16. Non-LBO activity fell to $81 billion from $101 billion in the corresponding period last year. In contrast, LBO issuance increased to $51 billion, up 27% from $40 billion a year ago. •Middle market lending volume stands at $79 billion in 1H17, with $63 billion of issuance in the large middle market segment and $16 billion in the traditional middle-market space. Overall middle market issuance is 23% higher in 1H17 compared to last year.

Cont’d on next slide

KEY POINTS


5

•European leveraged loan issuance closed the first half of the year with $134 billion of volume, led by $87 billion in refinancing activity- a jump from the $33 billion recorded in 1H16. New money volume was flat YoY at $47 billion.

•After tightening in May, new issue yields widened in June, with large corporate credits averaging 4.76% and middle market yields at 6.2%. For 2Q, yields were higher over the prior quarter: large corporate posted an average yield of 4.73%, and middle market loans 6.16%. Yields have ticked upward as the share of lower-rated credits reaching market goes up, combined with a higher LIBOR rate.

•Average debt to EBITDA levels were higher in 2Q17 than in the prior quarter, increasing to 6.4 times for broadly syndicated LBO transactions and 6.15 times for institutional middle market LBOs.

•There were three additional defaults recorded in June, amounting to $1.9 billion of institutional loan debt. They were Ignite Restaurants. ($115.3 million), Ascent Resources ($1.056 billion), and Gymboree ($760.6 million). Year-to-date, institutional loan default volume stands at $13.4 billion. The trailing twelve month loan default rate ticked up to 2%

Secondary Market: •Loan returns were mostly flat in June, posting a return of 0.04%, per the S&P/LSTA LLI, while open-end loan funds lost 0.07%. For 1H17, Open-end loan funds have returned 1.16% on average while the index is up 1.91%. •Although secondary market bids have climbed this year, prices ticked down in June, with multi-quote institutional term loans finishing the month at 97.64 with flow names at 98.83.

•Although the secondary market remains highly bid, the share of loans bid in the par-plus area declined to 58%, from 63% a month ago. At this point last year, the par-plus share stood at 8%. The 101-plus share also declined to 4% .

•European flow names remain highly priced, ending June at 100.67. A year ago, the Lev40 was at 98.9.


Cont’d from prior slide

KEY POINTS


6

CLOs / Loan Funds: •U.S. CLO new issue jumped in June, posting the largest monthly issuance this year with almost $15 billion in volume. This was a $5 billion jump over the previous month, taking first half issuance past $52 billion, doubling the volume recorded over the same period last year. •CLO Refinancing activity jumped in June with $11 billion in refinancings spread over 24 deals, and $7.9 billion in reset activity from 18 deals. There was over $100 billion of combined refinancing and reset activity in the first half of the year.

•CLO AAA discount margins tightened in June to an average of 125 bps (based on deals where discount margins were available).

•Four new issue CLOs totalling €1.6 billion priced in the European market in June taking 1H17 volume to €8 billion over 21 deals, compared to €7 billion recorded over the same time period last year. •European CLO pricing was flat with the average AAA discount margin of 88 bps in June. •Assets under management are now at $458 billion for U.S. CLOs and €69 billion for European CLOs. •Retail loan funds added $153 million in June (based on funds that report weekly), taking YTD inflows to $16.7 billion. Since the third quarter of last year, loan funds have recorded over $32 billion in inflows.

•Loan mutual fund & ETF assets under management (market value) continued to trend up through June, ending the month at over $154 billion.


LEVERAGED LOAN MARKET OVERVIEW

*2017 loan volumes are based on the most recently available data and is subject to updates throughout the quarter.

LEVERAGED LOAN ISSUANCE: PRO RATA VS. INSTITUTIONAL - MONTHLY

0.0

20.0

40.0

60.0

80.0

100.0

120.0

140.0

160.0

180.0

Jan-

06

Apr

-06

Jul-0

6 O

ct-0

6 Ja

n-07

A

pr-0

7 Ju

l-07

Oct

-07

Jan-

08

Apr

-08

Jul-0

8 O

ct-0

8 Ja

n-09

A

pr-0

9 Ju

l-09

Oct

-09

Jan-

10

Apr

-10

Jul-1

0 O

ct-1

0 Ja

n-11

A

pr-1

1 Ju

l-11

Oct

-11

Jan-

12

Apr

-12

Jul-1

2 O

ct-1

2 Ja

n-13

A

pr-1

3 Ju

l-13

Oct

-13

Jan-

14

Apr

-14

Jul-1

4 O

ct-1

4 Ja

n-15

A

pr-1

5 Ju

l-15

Oct

-15

Jan-

16

Apr

-16

Jul-1

6 O

ct-1

6 Ja

n-17

A

pr-1

7

Leve

rage

d Lo

an Is

suan

ce ($

Bils

.)

Pro rata Institutional


8

U.S. LEVERAGED LOAN ISSUANCE

Leveraged loan issuance was a record $732 billion in 1H17, easily outstripping the $381 billion posted in the first half of last year. The previous record was in 1H13 when $660 billion of volume was recorded.

The growth in lending this year continues to be driven by refinancing activity. In addition, the share of leveraged issuance comprised of institutional loans has grown to 67% in 1H17,

from 42% last year.

LEVERAGED

LOAN

MARKET O

VERVIEW

LEVERAGED LOAN ISSUANCE: NEW MONEY VS. REFINANCING

0.0

50.0

100.0

150.0

200.0

250.0

300.0

350.0

1Q06

2Q

06

3Q06

4Q

06

1Q07

2Q

07

3Q07

4Q

07

1Q08

2Q

08

3Q08

4Q

08

1Q09

2Q

09

3Q09

4Q

09

1Q10

2Q

10

3Q10

4Q

10

1Q11

2Q

11

3Q11

4Q

11

1Q12

2Q

12

3Q12

4Q

12

1Q13

2Q

13

3Q13

4Q

13

1Q14

2Q

14

3Q14

4Q

14

1Q15

2Q

15

3Q15

4Q

15

1Q16

2Q

16

3Q16

4Q

16

1Q17

2Q

17

Leve

rage

d Lo

an Is

suan

ce ($

Bils

.) Refinancing New Money


9

U.S. LEVERAGED LOAN ISSUANCE

A large share of leveraged lending in the first half of this year (71%) was once again made up of refinancing activity, compared to a 47% share in 1H16.

New money volume stands at $215 billion year to date, 7% higher compared to last year.

LEVERAGED

LOAN

MARKET O

VERVIEW

1H2017 LEVERAGED LOAN ISSUANCE BY INDUSTRY

10

-

LEVERAGED

LOAN

MARKET O

VERVIEW


Industry Lev. Vol. ($Bils.) New Money Lev. Vol. ($Bils.) % of Lev. Vol % of New Money Lev. Vol Technology 100.62 21.69 13.7% 10.1% Healthcare 51.47 17.26 7.0% 8.0% Financial Services 50.86 16.83 6.9% 7.8% Telecommunications 45.99 21.98 6.3% 10.2% Business Services 42.05 16.12 5.7% 7.5% General Manufacturing 33.87 11.81 4.6% 5.5% Oil and Gas 32.96 9.68 4.5% 4.5% Utilities 31.64 6.54 4.3% 3.0% Media 30.88 5.44 4.2% 2.5% Wholesale 30.86 8.74 4.2% 4.1% Services 30.77 8.78 4.2% 4.1% Retail & Supermarkets 28.89 4.34 3.9% 2.0% Chemicals, Plastics & Rubber 28.86 13.69 3.9% 6.4% Leisure and Entertainment 27.57 2.68 3.8% 1.2% Automotive 20.71 7.35 2.8% 3.4% Hotel & Gaming 18.41 2.11 2.5% 1.0% Beverage, Food, and Tobacco Processing 18.07 5.05 2.5% 2.4% Restaurants 18.00 4.30 2.5% 2.0% REITS 16.94 6.91 2.3% 3.2% n/a 13.97 8.33 1.9% 3.9% Transportation 12.62 2.31 1.7% 1.1% Paper & Packaging 11.81 1.34 1.6% 0.6% Construction 11.26 5.59 1.5% 2.6% Textiles and Apparel 7.30 1.35 1.0% 0.6% Shipping 6.76 1.85 0.9% 0.9% Mining 5.39 0.31 0.7% 0.1% Aerospace and Defense 2.30 1.99 0.3% 0.9% Agriculture 1.37 0.47 0.2% 0.2%

1H2017 INSTITUTIONAL LOAN ISSUANCE BY INDUSTRY

11

-

LEVERAGED

LOAN

MARKET O

VERVIEW


Industry Inst. Vol. ($Bils.) New Money Inst. Vol. ($Bils.) % of Inst. Vol % of New Money Inst. Vol Technology 79.01 16.86 15.9% 12.3% Financial Services 41.30 13.83 8.3% 10.1% Telecommunications 34.82 13.07 7.0% 9.5% Healthcare 33.93 11.08 6.8% 8.1% Services 26.91 7.11 5.4% 5.2% Business Services 23.98 9.24 4.8% 6.7% Utilities 23.93 4.71 4.8% 3.4% Media 23.37 3.06 4.7% 2.2% Leisure and Entertainment 23.12 2.22 4.7% 1.6% Chemicals, Plastics & Rubber 23.09 12.59 4.7% 9.2% General Manufacturing 19.17 7.96 3.9% 5.8% Wholesale 18.01 3.77 3.6% 2.8% Hotel & Gaming 15.20 1.75 3.1% 1.3% Retail & Supermarkets 15.09 1.69 3.0% 1.2% Automotive 13.48 4.14 2.7% 3.0% (blank) 11.21 6.44 2.3% 4.7% Paper & Packaging 9.64 1.17 1.9% 0.9% Beverage, Food, and Tobacco Processing 9.49 3.05 1.9% 2.2% REITS 8.84 2.31 1.8% 1.7% Construction 8.63 3.73 1.7% 2.7% Transportation 8.28 0.29 1.7% 0.2% Restaurants 8.20 2.44 1.7% 1.8% Oil and Gas 5.94 1.39 1.2% 1.0% Mining 4.07 - 0.8% 0.0% Shipping 3.54 0.81 0.7% 0.6% Aerospace and Defense 1.65 1.65 0.3% 1.2% Textiles and Apparel 1.31 0.64 0.3% 0.5% Agriculture 0.75 0.03 0.2% 0.0%

U.S. INSTITUTIONAL LOAN AND HY BOND ISSUANCE

0.0

20.0

40.0

60.0

80.0

100.0

120.0 Ja

n-10

A

pr-1

0 Ju

l-10

Oct

-10

Jan-

11

Apr

-11

Jul-1

1 O

ct-1

1 Ja

n-12

A

pr-1

2 Ju

l-12

Oct

-12

Jan-

13

Apr

-13

Jul-1

3 O

ct-1

3 Ja

n-14

A

pr-1

4 Ju

l-14

Oct

-14

Jan-

15

Apr

-15

Jul-1

5 O

ct-1

5 Ja

n-16

A

pr-1

6 Ju

l-16

Oct

-16

Jan-

17

Apr

-17

Issu

ance

($ B

ils.)

HY Bonds

Inst. Loans


12

U.S. LOAN AND BOND ISSUANCE

Institutional loan issuance has surged to a new high of $496 billion in 1H17, far ahead of the $163 billion recorded in the first half last year and 26% higher than the previous record of $395 billion in 1H13.

High yield bond issuance was flat with $23 billion of volume in June. Issuance for 1H17 stands at $151.5 billion, surpassing the $119 billion recorded in the first half of last year.

LEVERAGED

LOAN

MARKET O

VERVIEW

U.S. INSTITUTIONAL ISSUANCE: NEW MONEY VS. REFINANCING

0%

20%

40%

60%

80%

100%

120%

0.0

20.0

40.0

60.0

80.0

100.0

120.0

Jan-

11

Mar

-11

May

-11

Jul-1

1 Se

p-11

N

ov-1

1 Ja

n-12

M

ar-1

2 M

ay-1

2 Ju

l-12

Sep-

12

Nov

-12

Jan-

13

Mar

-13

May

-13

Jul-1

3 Se

p-13

N

ov-1

3 Ja

n-14

M

ar-1

4 M

ay-1

4 Ju

l-14

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5 Se

p-15

N

ov-1

5 Ja

n-16

M

ar-1

6 M

ay-1

6 Ju

l-16

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Inst

itut

iona

l loa

n is

suan

ce ($

Bils

.) New Money

Refinancing New Money Share


13

U.S. INSTITUTIONAL LOAN ISSUANCE

As in the broader leveraged loan market, institutional issuance continues to be driven by refinancing activity, albeit at a slower rate.

The institutional share of refinancings declined to 64% in 2Q from 79% in 1Q, as the share of new money ticked up to 36% in 2Q17.

LEVERAGED

LOAN

MARKET O

VERVIEW

U.S. INSTITUTIONAL ISSUANCE: NEW MONEY BREAKOUT

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

Jan-

12

Mar

-12

May

-12

Jul-1

2 Se

p-12

N

ov-1

2 Ja

n-13

M

ar-1

3 M

ay-1

3 Ju

l-13

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4 Se

p-14

N

ov-1

4 Ja

n-15

M

ar-1

5 M

ay-1

5 Ju

l-15

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6 Se

p-16

N

ov-1

6 Ja

n-17

M

ar-1

7 M

ay-1

7

Inst

itut

iona

l loa

n ne

w m

oney

is

suan

ce ($

Bils

.)

M&A (Non-LBO) LBO Other New Money


14

U.S. INSTITUTIONAL LOAN ISSUANCE – NEW MONEY BREAKOUT

Although refinancings have dominated in 2017, new money institutional loan issuance has increased. New money volume stands at $137 billion in 1H17, up 27% from $103 billion recorded in 1H16.

Breaking out institutional new money issuance: LBO activity has picked up and accounts for $41 billion of volume this year, compared to $31 billion at the same time last year. Other M&A (non-LBO) activity also increased to $55 billion year to date, from $48 billion last year.

LEVERAGED

LOAN

MARKET O

VERVIEW

M&A LEVERAGED LOAN ISSUANCE - MONTHLY

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

Jan-

12

Mar

-12

May

-12

Jul-1

2 Se

p-12

N

ov-1

2 Ja

n-13

M

ar-1

3 M

ay-1

3 Ju

l-13

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4 Se

p-14

N

ov-1

4 Ja

n-15

M

ar-1

5 M

ay-1

5 Ju

l-15

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6 Se

p-16

N

ov-1

6 Ja

n-17

M

ar-1

7 M

ay-1

7

M&

A le

vera

ged

loan

issu

ance

($

Bils

.)

LBOs Non-LBO


15

U.S. M&A LEVERAGED LOAN ISSUANCE

M&A leveraged loan volume stands at $133 billion in 1H17, down from the $141 billion recorded in 1H16.

Non-LBO activity fell to $81 billion from $101 billion in the corresponding period last year. In contrast, LBO issuance increased to $51 billion, up 27% from $40 billion a year ago.

LEVERAGED

LOAN

MARKET O

VERVIEW

SPONSORED DIVIDEND RECAP LOAN VOLUME

0.0

5.0

10.0

15.0

20.0

25.0

1Q06

2Q

06

3Q06

4Q

06

1Q07

2Q

07

3Q07

4Q

07

1Q08

2Q

08

3Q08

4Q

08

1Q09

2Q

09

3Q09

4Q

09

1Q10

2Q

10

3Q10

4Q

10

1Q11

2Q

11

3Q11

4Q

11

1Q12

2Q

12

3Q12

4Q

12

1Q13

2Q

13

3Q13

4Q

13

1Q14

2Q

14

3Q14

4Q

14

1Q15

2Q

15

3Q15

4Q

15

1Q16

2Q

16

3Q16

4Q

16

1Q17

2Q

17 Sp

onso

red

divi

dend

reca

p is

suan

ce ($

B

ils)


16

SPONSORED DIVIDEND RECAP LOAN VOLUME

After a strong 6 month period, dividend recap volume dropped to $7 billion in 2Q, taking 1H17 volume to $21.8 billion. Nevertheless, this represents the strongest start to the year since 2013.

LEVERAGED

LOAN

MARKET O

VERVIEW

MIDDLE MARKET LOAN ISSUANCE

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

1Q06

2Q

06

3Q06

4Q

06

1Q07

2Q

07

3Q07

4Q

07

1Q08

2Q

08

3Q08

4Q

08

1Q09

2Q

09

3Q09

4Q

09

1Q10

2Q

10

3Q10

4Q

10

1Q11

2Q

11

3Q11

4Q

11

1Q12

2Q

12

3Q12

4Q

12

1Q13

2Q

13

3Q13

4Q

13

1Q14

2Q

14

3Q14

4Q

14

1Q15

2Q

15

3Q15

4Q

15

1Q16

2Q

16

3Q16

4Q

16

1Q17

2Q

17

Mid

dle

mar

ket l

oan

volu

me

($B

ils.)

Trad. MM*

Large MM*


17

U.S. MIDDLE MARKET LOAN VOLUME

Middle market lending volume stands at $79 billion in 1H17, with $63 billion of issuance in the large middle market segment and $16 billion in the traditional middle-market space.

Overall middle market issuance is 23% higher in 1H17 compared to last year.

LEVERAGED

LOAN

MARKET O

VERVIEW

*Traditional MM: Deal Size <=$100M, Large MM: Deal Size >$100M to $500M, For all: Borrower Sales <$500M

EUROPEAN LEVERAGED LOAN ISSUANCE


18

EUROPEAN LEVERAGED LOAN ISSUANCE

• European leveraged loan issuance closed the first half of the year with $134 billion of volume, led by $87 billion in refinancing activity- a jump from the $33 billion recorded in 1H16.

• New money volume was flat YoY at $47 billion.

LEVERAGED

LOAN

MARKET O

VERVIEW

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

Jan-

10

Mar

-10

May

-10

Jul-1

0 Se

p-10

N

ov-1

0 Ja

n-11

M

ar-1

1 M

ay-1

1 Ju

l-11

Sep-

11

Nov

-11

Jan-

12

Mar

-12

May

-12

Jul-1

2 Se

p-12

N

ov-1

2 Ja

n-13

M

ar-1

3 M

ay-1

3 Ju

l-13

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4 Se

p-14

N

ov-1

4 Ja

n-15

M

ar-1

5 M

ay-1

5 Ju

l-15

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6 Se

p-16

N

ov-1

6 Ja

n-17

M

ar-1

7 M

ay-1

7

Issu

ance

($ B

ils.)

M&A & New Money

Refinancing

INSTITUTIONAL LOAN OUTSTANDINGS

0

100

200

300

400

500

600

700

800

900

Jan-

04

Aug

-04

Mar

-05

Oct

-05

May

-06

Dec

-06

Jul-0

7

Feb-

08

Sep-

08

Apr

-09

Nov

-09

Jun-

10

Jan-

11

Aug

-11

Mar

-12

Oct

-12

May

-13

Dec

-13

Jul-1

4

Feb-

15

Sep-

15

Apr

-16

Nov

-16

Jun-

17

Inst

itut

iona

l loa

n ou

tsta

ndin

gs ($

B

ils.)


19

INSTITUTIONAL LOAN OUTSTANDINGS

• The size of the institutional loan market increased to $925 billion in June , a gain of $25 billion over the prior month , pushing year to date growth to almost $45 billion.

LEVERAGED

LOAN

MARKET O

VERVIEW

INDUSTRY BREAKDOWN OF INSTITUTIONAL LOAN OUTSTANDINGS

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Tech

nolo

gy

Hea

lthca

re

Reta

il &

Sup

erm

arke

ts

Tele

com

mun

icat

ions

Fina

ncia

l Ser

vice

s

Gen

eral

Man

ufac

turin

g

Broa

dcas

ting

Chem

ical

s, P

last

ics

& R

ubbe

r

Busi

ness

Ser

vice

s

Serv

ices

n/a

Who

lesa

le

Oil

and

Gas

Leis

ure

and

Ente

rtai

nmen

t

Hot

el &

Gam

ing

Util

ities

Aut

omot

ive

Beve

rage

, Foo

d, a

nd …

Med

ia

Cons

truc

tion

Pape

r & P

acka

ging

Rest

aura

nts

Aer

ospa

ce a

nd D

efen

se

Tran

spor

tatio

n

Ship

ping

REIT

S

Min

ing

Text

iles

and

App

arel

Agr

icul

ture

Real

Est

ate

Gov

ernm

ent

Shar

e of

Inst

itut

iona

l Loa

n M

arke

t


20

INDUSTRY BREAKDOWN

• The largest sectors in the market are technology (13%), healthcare (9%) and retail (7%). • The top 5 sectors account for 40% of outstanding institutional debt, while the top 10

sectors account for 63%.

LEVERAGED

LOAN

MARKET O

VERVIEW

PRIMARY MARKET INSTITUTIONAL FIRST-LIEN LOAN SPREADS

250.0

300.0

350.0

400.0

450.0

500.0

550.0

600.0

650.0

700.0 1Q

12

2Q12

3Q12

4Q12

1Q13

2Q13

3Q13

4Q13

1Q14

2Q14

3Q14

4Q14

1Q15

2Q15

3Q15

4Q15

1Q16

2Q16

3Q16

4Q16

1Q17

2Q17

Avg

. con

trac

tual

loan

spr

ead

(bps

)

Large Corporate Market

Middle Market


21

PRIMARY MARKET INSTITUTIONAL FIRST-LIEN LOAN SPREADS

Contractual spreads finished the second quarter lower, with average spreads in the large corporate market flat to 345 bps, and middle market spreads down 23 bps to an average of 492 bps.

LEVERAGED

LOAN

MARKET O

VERVIEW

PRIMARY MARKET YIELDS

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

11.0%

12.0%

13.0%

1Q10

Ju

l-10

Nov

-10

Mar

-11

Jul-1

1 N

ov-1

1 M

ar-1

2 Ju

l-12

Nov

-12

Mar

-13

Jul-1

3 N

ov-1

3 M

ar-1

4 Ju

l-14

Nov

-14

Mar

-15

Jul-1

5 N

ov-1

5 M

ar-1

6 Ju

l-16

Nov

-16

Mar

-17

Ave

rage

yie

ld


Middle Market

Monthly


22

U.S. PRIMARY MARKET INSTITUTIONAL LOAN YIELDS

After tightening in May, new issue yields widened in June, with large corporate credits averaging 4.76% and middle market yields at 6.2%. For 2Q, yields were higher over the prior quarter: large corporate posted an average yield of 4.73%, and middle market loans 6.16%.

Yields have ticked upward with a higher share of lower-rated credits reaching market combined with a rising LIBOR rate.

LEVERAGED

LOAN

MARKET O

VERVIEW

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

11.0%

12.0%

13.0%

1Q06

1Q07

1H08

4Q09

4Q10

4Q11

4Q12

4Q13

4Q14

4Q15

4Q16

Ave

rage

yie

ld


Middle Market

Quarterly

INSTITUTIONAL LOAN FLEX ACTIVITY

-3%

-2%

-1%

0%

1%

2%

3%

-60

-50

-40

-30

-20

-10

0

10

20

30

40

Jan-

12

Mar

-12

May

-12

Jul-1

2 Se

p-12

N

ov-1

2 Ja

n-13

M

ar-1

3 M

ay-1

3 Ju

l-13

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4 Se

p-14

N

ov-1

4 Ja

n-15

M

ar-1

5 M

ay-1

5 Ju

l-15

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6 Se

p-16

N

ov-1

6 Ja

n-17

M

ar-1

7 M

ay-1

7

Ave

rage

flex

Num

ber o

f fle

xes

# of flexes up/down

Avg. yield adjustment up/down


23

INSTITUTIONAL LOAN FLEX ACTIVITY

Downward price flexes continued to outpace upward flexes again in June albeit at a lower rate than in recent months.

Downward flex led by a ratio of 1.3:1 in June (compared to 2.2:1 in May, 2.7:1 in April and 7.8:1 in March). The average downward flex was 34 bps.

LEVERAGED

LOAN

MARKET O

VERVIEW

LBO DEBT TO EBITDA LEVELS

3.0x

3.5x

4.0x

4.5x

5.0x

5.5x

6.0x

6.5x

7.0x

7.5x

8.0x

1H03

2Q

04

1Q05

4Q

05

3Q06

2Q

07

2008

2H

10

3Q11

3Q

12

2Q13

1Q

14

4Q14

3Q

15

2Q16

1Q

17

Deb

t to

EBIT

DA

MM

BSL

Leveraged Loan Monthly – June 2017

24

BROADLY SYNDICATED VS. INST. MIDDLE MARKET

Average debt to EBITDA levels were higher in 2Q17 than in the prior quarter, increasing to 6.4 times for broadly syndicated LBO transactions and 6.15 times for institutional middle market LBOs.

LEVERAGED

LOAN

MARKET O

VERVIEW

0.0x

1.0x

2.0x

3.0x

4.0x

5.0x

6.0x

7.0x

8.0x

1H03

1Q

04

3Q04

1Q

05

3Q05

1Q

06

3Q06

1Q

07

3Q07

1H

08

2009

2H

10

2Q11

4Q

11

3Q12

1Q

13

3Q13

1Q

14

3Q14

1Q

15

3Q15

1Q

16

3Q16

1Q

17

Deb

t to

EBIT

DA

Senior Debt to EBITDA

Junior Debt to EBITDA

BROADLY SYNDICATED LBOS

LBO PURCHASE PRICE MULTIPLES BROADLY SYNDICATED VS. INSTITUTIONAL MIDDLE MARKET

7.0x 7.5x 8.0x 8.5x 9.0x 9.5x

10.0x 10.5x 11.0x 11.5x 12.0x

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

1H17

Pur

chas

e pr

ice

mul

tipl

e MM

LC


25

LBO PURCHASE PRICE MULTIPLES

The average purchase price multiple for broadly syndicated LBOs in 1H17 was 10.3 times, down from 10.8 times last year.

Institutional middle market deals went for lower multiples in 1H17, averaging 9.4 times.

LEVERAGED

LOAN

MARKET O

VERVIEW

LBO EQUITY CONTRIBUTIONS: BROADLY SYNDICATED VS. INSTITUTIONAL MIDDLE MARKET

20%

25%

30%

35%

40%

45%

50%

55%

60%

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

1H17

Ave

rage

Equ

ity

Cont

ribu

tion

s MM

BSL


26

LBO EQUITY CONTRIBUTIONS

The average equity contribution was 40% for broadly syndicated LBOs and 44% for institutional middle market LBOs in 1H17.

LEVERAGED

LOAN

MARKET O

VERVIEW

INSTITUTIONAL LEVERAGED LOAN DEFAULTS

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

0.0

1.0

2.0

3.0

4.0

5.0

6.0

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

Def

ault

rate

Par

val

ue o

f def

ault

ed in

stit

utio

nal

loan

s ($

Bils

.)


27

INSTITUTIONAL LEVERAGED LOAN DEFAULTS

There were three additional defaults recorded in June, amounting to $1.9 billion of institutional loan debt. They were Ignite Restaurants. ($115.3 million), Ascent Resources ($1.056 billion), and Gymboree ($760.6 million).

Year-to-date, institutional loan default volume stands at $13.4 billion. The trailing twelve month loan default rate ticked up to 2%.

LEVERAGED

LOAN

MARKET O

VERVIEW

INSTITUTIONAL LEVERAGED LOAN DEFAULTS ON TTM BASIS Leveraged Loan Monthly - June 2017

28

LEVERAGED

LOAN

MARKET O

VERVIEW


Month Issuer Par Value ($ Mil.) Default Date Default Source Industry July 2016 FTS International Inc. 46.2 07/01/16 Distressed Exchange Energy Transtar Holding Co. 540.0 07/08/16 Missed Payment Automotive C&J Energy Services Ltd 1,049.4 07/20/16 Chapter 11 Filing Energy Atinum Midcon I LLC 100.0 07/22/16 Chapter 11 Filing Energy

Atlas Resource Partners LP/Atlas Energy LP 315.0 07/27/16 Chapter 11 Filing Energy

Subtotal 2,050.6 August 2016 Templar Energy LLC 1,450.0 08/05/16 Missed Payment Energy Stallion Oilfield Holding Inc. 328.0 08/14/16 Missed Payment Energy Foresight Energy LP 297.8 08/30/16 Restructuring Metals & Mining Subtotal 2,075.8 September 2016 No Default Activity October 2016 Tervita Corp. 244.6 10/18/16 Chapter 15 Filing Services & Miscellaneous Key Energy Services Inc. 289.7 10/24/16 Chapter 11 Filing Energy Performance Sports Group Ltd. 330.5 10/31/16 Chapter 11 Filing Consumer Products Subtotal 864.7 November 2016 Bennu Oil & Gas LLC 487.0 11/30/16 Chapter 7 Filing Energy Subtotal 487.0 December 2016 TwentyEighty Inc. 359.0 12/05/16 Missed Payment Services & Miscellaneous La Paloma Generating Co. LLC 411.7 12/06/16 Chapter 11 Filing Utilities, Power & Gas Cumulus Media Inc. 28.7 12/30/16 Distressed Exchange Broadcasting & Media Subtotal 799.4


29

LEVERAGED

LOAN

MARKET O

VERVIEW


Month Issuer Par Value ($ Mil.) Default Date Default Source Industry January 2017 Shelf Drilling Holdings Ltd. 350.0 01/11/17 Distressed Exchange Energy Avaya Inc. 3,247.8 01/19/17 Chapter 11 Filing Telecommunications Subtotal 3,597.8 February 2017 No Default Activity March 2017 Answers Corp. 500.0 03/03/17 Chapter 11 Filing Technology EXCO Resources Inc. 382.8 03/15/17 Distressed Exchange Energy Montco Offshore Inc. 7.5 03/17/17 Chapter 11 Filing Transportation

SquareTwo Financial Corp.

146.1 03/19/17 Chapter 11 Filing Banking & Finance Ocean Rig UDW Inc. 3,109.0 03/27/17 Chapter 15 Filing Energy Subtotal 4,145.4 April 2017 Payless Inc. 665.0 04/04/17 Chapter 11 Filing Retail Sprint Industrial Holdings LLC 220.0 04/13/17 Distressed Exchange Transportation Panda Temple Power LLC 380.0 04/17/17 Chapter 11 Filing Utilities, Power & Gas AFGlobal Corp. 662.1 04/30/17 Chapter 11 Filing Industrial/Manufacturing Subtotal 1,927.1 May 2017 rue21, Inc. 521.0 05/15/17 Chapter 11 Filing Retail Mood Media Corp. 228.5 05/22/17 Chapter 15 Filing Leisure & Entertainment Total Safety US Inc. 405.0 05/22/17 Distressed Exchange Services & Miscellaneous 21st Century Oncology Inc. 602.4 05/25/17 Chapter 11 Filing Healthcare & Pharmaceutical Subtotal 1,756.9



30

LEVERAGED

LOAN

MARKET O

VERVIEW


Month Issuer Par Value ($ Mil.) 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

Source: Fitch U.S. Leveraged Loan Default Index.

U.S. SECONDARY MARKET BID LEVELS

90.0

92.0

94.0

96.0

98.0

100.0

102.0

Jan-

11

Mar

-11

May

-11

Jul-1

1 Se

p-11

N

ov-1

1 Ja

n-12

M

ar-1

2 M

ay-1

2 Ju

l-12

Sep-

12

Nov

-12

Jan-

13

Mar

-13

May

-13

Jul-1

3 Se

p-13

N

ov-1

3 Ja

n-14

M

ar-1

4 M

ay-1

4 Ju

l-14

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5 Se

p-15

N

ov-1

5 Ja

n-16

M

ar-1

6 M

ay-1

6 Ju

l-16

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Avg

. Bid

(% o

f par

)

Multi-quote Inst. TLs All Inst. TLs SMi100


31

U.S. SECONDARY MARKET AVERAGE BID

Although secondary market bids have climbed this year, prices ticked down in June, with multi-quote institutional term loans finishing the month at 97.64 with flow names at 98.83.

LEVERAGED

LOAN

MARKET O

VERVIEW

DISTRIBUTION OF SECONDARY MARKET BIDS

0%

10%

20%

30%

40%

50%

60%

70%

<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

loan

s / d

olla

r vol

ume

Avg. bid (% of par)

# of loans $ weighted


32

MULTI-QUOTE INSTITUTIONAL TERM LOAN BIDS

At the end of June, 58% of multi-quote institutional loans are priced in the par-plus area, the share is 60% when measured on a dollar weighted basis.

At the other end of the price scale, 5% of credits (4% dollar weighted) are bid below 90 cents on the dollar.

LEVERAGED

LOAN

MARKET O

VERVIEW

PAR-PLUS & 101-PLUS MARKET SHARE

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

Jan-

12

Mar

-12

May

-12

Jul-1

2 Se

p-12

N

ov-1

2 Ja

n-13

M

ar-1

3 M

ay-1

3 Ju

l-13

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4 Se

p-14

N

ov-1

4 Ja

n-15

M

ar-1

5 M

ay-1

5 Ju

l-15

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6 Se

p-16

N

ov-1

6 Ja

n-17

M

ar-1

7 M

ay-1

7

Shar

e of

loan

s bi

d >=

100

& >

=101

100-plus

101-plus


33

U.S. 100-PLUS & 101-PLUS SHARE: MULTI-QUOTE INSTITUTIONAL TERM LOANS

Although the secondary market remains highly bid, the share of loans bid in the par-plus area declined to 58%, from 63% a month ago. At this point last year, the par-plus share stood at 8%.

The 101-plus share also declined to 4%.

LEVERAGED

LOAN

MARKET O

VERVIEW

SECONDARY MARKET BID LEVELS: EUROPE

88.0

90.0

92.0

94.0

96.0

98.0

100.0

102.0

Jan-

11

Mar

-11

May

-11

Jul-1

1 Se

p-11

N

ov-1

1 Ja

n-12

M

ar-1

2 M

ay-1

2 Ju

l-12

Sep-

12

Nov

-12

Jan-

13

Mar

-13

May

-13

Jul-1

3 Se

p-13

N

ov-1

3 Ja

n-14

M

ar-1

4 M

ay-1

4 Ju

l-14

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5 Se

p-15

N

ov-1

5 Ja

n-16

M

ar-1

6 M

ay-1

6 Ju

l-16

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Avg

. Bid

(% o

f par

)

European Leveraged 40

U.S. SMi100


34

SECONDARY MARKET AVERAGE BIDS

European flow names remain highly priced, ending June at 100.67. A year ago, the Lev40 was at 98.9.

LEVERAGED

LOAN

MARKET O

VERVIEW

INVESTOR OVERVIEW

U.S. CLO ASSETS UNDER MANAGEMENT

0

200

400

600

800

1,000

1,200

1,400

150 170 190 210 230 250 270 290 310 330 350 370 390 410 430 450 470

Jan-

13

Mar

-13

May

-13

Jul-1

3 Se

p-13

N

ov-1

3 Ja

n-14

M

ar-1

4 M

ay-1

4 Ju

l-14

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5 Se

p-15

N

ov-1

5 Ja

n-16

M

ar-1

6 M

ay-1

6 Ju

l-16

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Num

ber o

f CLO

s in

sam

ple

CLO

Agg

rega

te P

rinc

ipal

B

alan

ce ($

Bils

.)

CLO APB Number of CLOs


36

ASSETS UNDER MANAGEMENT

U.S. CLO assets under management are now at almost $458 billion.

INVESTO

R OVERVIEW

LOAN FUNDS AUM

0 20 40 60 80

100 120 140 160 180 200

Jan-

07

Jun-

07

Nov

-07

Apr

-08

Sep-

08

Feb-

09

Jul-0

9

Dec

-09

May

-10

Oct

-10

Mar

-11

Aug

-11

Jan-

12

Jun-

12

Nov

-12

Apr

-13

Sep-

13

Feb-

14

Jul-1

4

Dec

-14

May

-15

Oct

-15

Mar

-16

Aug

-16

Jan-

17

Jun-

17

Loan

mut

ual f

und

& E

TF A

UM

($

Bils

.)


37

U.S. LOAN MUTUAL FUND & ETF ASSETS UNDER MANAGEMENT*

Loan mutual fund & ETF assets under management (market value) continued to trend up through June, ending the month at over $154 billion.

INVESTO

R OVERVIEW

*Based on the most recent data available

INVESTOR SHARE OF INSTITUTIONAL LOAN OUTSTANDINGS

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

Aug

-12

Nov

-12

Feb-

13

May

-13

Aug

-13

Nov

-13

Feb-

14

May

-14

Aug

-14

Nov

-14

Feb-

15

May

-15

Aug

-15

Nov

-15

Feb-

16

May

-16

Aug

-16

Nov

-16

Feb-

17

May

-17 In

vest

or s

hare

of i

nsti

tuti

onal

loan

ou

tsta

ndin

gs (%

)

CLOs

Loan Funds (mutual funds & ETFs)

Other


38

INVESTOR SHARE OF INSTITUTIONAL LOAN OUTSTANDINGS

CLO’s share of institutional loan outstandings is 47%, while the loan mutual funds & ETF market share stands at 15%.

INVESTO

R OVERVIEW

CLO ISSUANCE VS. LOAN FUND FLOWS -MONTHLY

-8.0 -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0

10.0 12.0 14.0 16.0 18.0 20.0

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

$ B

ils.

CLO Issuance Loan fund flows*


39

MONTHLY CLO ISSUANCE VS. LOAN FUND FLOWS

U.S. CLO new issue volume jumped in June with almost $15 billion of new issuance, spread over 26 deals. Issuance for 1H16 stands at $52.4 billion, double the volume recorded in 1H16.

• Retail loan fund flows dialed back and recorded a lower inflow of $150 million in June (based on funds that report weekly), taking YTD inflows to $16.7 billion. Since the third quarter of last year, loan funds have added over $32 billion.

INVESTO

R OVERVIEW

* Based on the most recently available data and is subject to future updates.

CLO MARKET ANALYSIS*

*Based on the most recently available data in Thomson Reuters LPC Collateral

U.S. CLO NEW ISSUE VOLUME - MONTHLY

0

5

10

15

20

25

30

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

Jan-

11

Mar

-11

May

-11

Jul-1

1 Se

p-11

N

ov-1

1 Ja

n-12

M

ar-1

2 M

ay-1

2 Ju

l-12

Sep-

12

Nov

-12

Jan-

13

Mar

-13

May

-13

Jul-1

3 Se

p-13

N

ov-1

3 Ja

n-14

M

ar-1

4 M

ay-1

4 Ju

l-14

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5 Se

p-15

N

ov-1

5 Ja

n-16

M

ar-1

6 M

ay-1

6 Ju

l-16

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Num

ber o

f CLO

s is

sued

CLO

Issu

ance

($B

ils.)

Issuance ($Bils.)

Count


41

CLO ISSUANCE

U.S. CLO new issue jumped in June, posting the largest monthly issuance this year with almost $15 billion in volume. This was a $5 billion jump over the previous month, taking first half issuance past $52 billion, doubling the volume recorded over the same time last year.

CLO M

ARKET ANALYSIS

U.S. CLO REFINANCINGS & RESETS

0

5

10

15

20

25

30

Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17

$ B

ils.

Refinancings

Resets


42

U.S. CLO REFINANCINGS & RESETS

• Refinancing activity jumped in June with $11 billion in refinancings spread over 24 deals, and $7.9 billion in reset activity from 18 deals.

• There was over $100 billion of combined refinancing and reset activity in the first half of the year.

CLO M

ARKET ANALYSIS

U.S. CLO AAA SPREADS

110

120

130

140

150

160

170

180

190

Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17

AA

A d

isco

unt m

argi

n* (b

ps)

Average


43

U.S. BSL CLO AAA SPREADS*

CLO AAA discount margins tightened in June to an average of 125 bps (based on deals where discount margins were available).

CLO M

ARKET ANALYSIS

*Based on deals where discount margin available. Excludes Ellington CLO.

U.S. VS. EUROPEAN CLO AAA SPREADS


44

BSL CLO AAA SPREADS*

U.S. CLO AAA discount margins were a touch tighter in June to an average of 125 bps. Where available, the average AAA discount margin for European CLOs in June was 88

bps.

CLO M

ARKET ANALYSIS

*Based on deals where discount margin available. **Excludes Ellington CLO.

60

80

100

120

140

160

180

AA

A d

isco

unt m

argi

n* (b

ps) U.S.**

Europe

EUROPEAN CLO NEW ISSUE VOLUME - MONTHLY


45

EUROPEAN CLO ISSUANCE

Four new issue CLOs totalling €1.6 billion priced in the European market in June taking 1H17 volume to €8 billion spread over 21 deals, compared to €7 billion recorded over the same time period last year.

CLO M

ARKET ANALYSIS

-

1

2

3

4

5

6

7

0.0

1.0

2.0

3.0

4.0

5.0

Jan-

10

Mar

-10

May

-10

Jul-1

0 Se

p-10

N

ov-1

0 Ja

n-11

M

ar-1

1 M

ay-1

1 Ju

l-11

Sep-

11

Nov

-11

Jan-

12

Mar

-12

May

-12

Jul-1

2 Se

p-12

N

ov-1

2 Ja

n-13

M

ar-1

3 M

ay-1

3 Ju

l-13

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4 Se

p-14

N

ov-1

4 Ja

n-15

M

ar-1

5 M

ay-1

5 Ju

l-15

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6 Se

p-16

N

ov-1

6 Ja

n-17

M

ar-1

7 M

ay-1

7

Num

ber o

f dea

ls

CLO

issu

ance

(€B

ils.)

Volume

Number of Deals

EUROPEAN CLO REFINANCINGS & RESETS

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Jan-16

Feb-16

Mar-16

Apr-16

May-16

Jun-16

Jul-16 Aug-16

Sep-16

Oct-16

Nov-16

Dec-16

Jan-17

Feb-17

Mar-17

Apr-17

May-17

Jun-17

€Bils

.

Refinancings

Resets


46

EUROPEAN CLO REFINANCINGS & RESETS

Combined refinancing and reset activity for European CLOs was higher in June compared to the prior month with almost €3 billion of activity . Reset volume increased with five deals worth almost €2 billion while refinancings were lower with three deals totaling approximately €1 billion.

Combined refinancing and reset volume for 1H17 stands at almost €14 billion.

CLO M

ARKET ANALYSIS

EUROPEAN CLO AAA SPREADS

80

90

100

110

120

130

140

150

160

170

180

Jan-16 Feb-16 Mar-16 Apr-16 May-16

Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17

AA

A d

isco

unt m

argi

n* (b

ps)

Average


47

EUROPEAN BSL CLO AAA SPREADS*

European CLO pricing was flat with the average AAA discount margin of 88 bps in June.

CLO M

ARKET ANALYSIS

*Based on deals where discount margin available

CLO ASSETS UNDER MANAGEMENT

0 50

100 150 200 250 300 350 400 450 500 550

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

CLO

Agg

rega

te P

rinc

ipal

Bal

ance

($

USD

/Eur

o bi

ls.)

U.S.

Europe


48

CLO AGGREGATE PRINCIPAL BALANCE: U.S & EUROPE

• Assets under management are now at $458 billion for U.S. CLOs and €69 billion for European CLOs.

CLO M

ARKET ANALYSIS

U.S. CLO AUM BY VINTAGE*

0 50

100 150 200 250 300 350 400 450 500

Jul-1

2 Se

p-12

N

ov-1

2 Ja

n-13

M

ar-1

3 M

ay-1

3 Ju

l-13

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4 Se

p-14

N

ov-1

4 Ja

n-15

M

ar-1

5 M

ay-1

5 Ju

l-15

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6 Se

p-16

N

ov-1

6 Ja

n-17

M

ar-1

7 M

ay-1

7

CLO

Agg

rega

te P

rinc

ipal

Bal

ance

($

Bils

.)

<=2008 2009-2013 >=2014

49

U.S. CLO AGGREGATE PRINCIPAL BALANCE BY VINTAGE

77% of CLO AUM is comprised of deals issued on of after 2014.

CLO M

ARKET ANALYSIS

*Based on year issued


EUROPEAN CLO AUM BY VINTAGE*

0 10 20 30 40 50 60 70 80 90

100

Jan-

13

Mar

-13

May

-13

Jul-1

3 Se

p-13

N

ov-1

3 Ja

n-14

M

ar-1

4 M

ay-1

4 Ju

l-14

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5 Se

p-15

N

ov-1

5 Ja

n-16

M

ar-1

6 M

ay-1

6 Ju

l-16

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

CLO

Agg

rega

te P

rinc

ipal

Bal

ance

(€

Bils

.)

<=2008 2009-2013 >=2014

50

EUROPEAN CLO AGGREGATE PRINCIPAL BALANCE BY VINTAGE

CLO M

ARKET ANALYSIS

*Based on year issued

European CLO 2.0 assets under management stands at over €57 billion, representing 83% of the market.


DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS – U.S. CLOS

0%

10%

20%

30%

40%

50%

60%

70%

80%

<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

loan

hol

ding

s

Avg. bid (% of par)

Mar-17 Apr-17 May-17 Jun-17


51

DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS

• The share of par-plus loans in U.S. CLOs ticked continued to trend lower to 58% in June. • At the other end of the market, the share of loans bid below 90 cents on the dollar stands at

6%.

CLO M

ARKET ANALYSIS

DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS – EUROPEAN CLOS

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

<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

loan

hol

ding

s

Avg. bid (% of par)

Mar-17 Apr-17 May-17 Jun-17


52

DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS

• In European deals, the share of par-plus loans climbed in June to 87%. • Only 3% of loans are bid below 90.

CLO M

ARKET ANALYSIS

AVERAGE BID OF U.S. CLO PORTFOLIOS (UNDERLYING ASSETS)

86.0

88.0

90.0

92.0

94.0

96.0

98.0

100.0

102.0

Jan-

13

Mar

-13

May

-13

Jul-1

3

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Bid

(% o

f par

)

US Avg. Bid

US Median Bid


53

AVERAGE BID OF U.S. CLO PORTFOLIOS

The average bid of U.S. CLO portfolios edged lower in June, decreasing to 98.03 from 98.42 a month earlier. The median bid was also down by 26 bps to 98.46.

CLO M

ARKET ANALYSIS

AVERAGE BID OF EUROPEAN CLO PORTFOLIOS (UNDERLYING ASSETS)

86.0

88.0

90.0

92.0

94.0

96.0

98.0

100.0

102.0

Jan-

13

Mar

-13

May

-13

Jul-1

3

Sep-

13

Nov

-13

Jan-

14

Mar

-14

May

-14

Jul-1

4

Sep-

14

Nov

-14

Jan-

15

Mar

-15

May

-15

Jul-1

5

Sep-

15

Nov

-15

Jan-

16

Mar

-16

May

-16

Jul-1

6

Sep-

16

Nov

-16

Jan-

17

Mar

-17

May

-17

Bid

(% o

f par

)

EUR Avg. Bid

EUR Median Bid


54

AVERAGE BID OF EUROPEAN CLO PORTFOLIOS

The average bid of European CLOs asset portfolios edged 5 bps higher in June to 98.77. The median bid increased to 100.02 from par a month earlier.

CLO M

ARKET ANALYSIS

WEIGHTED AVERAGE BID OF CLO PORTFOLIOS: U.S. VS. EUROPE

-5%

5%

15%

25%

35%

45%

55%

<80

80 to

<85

85 to

<86

86 to

<87

87 to

<88

88 to

<89

89 to

<90

90 to

<91

91 to

<92

92 to

<93

93 to

<94

94 to

<95

95 to

<96

96 to

<97

97 to

<98

98 to

<99

99 to

<10

0

>=10

0

Shar

e of

CLO

s

CLO weighted avg. bid

U.S.

Europe


55

CLO PORTFOLIO WEIGHTED AVERAGE BID DISTRIBUTION (UNDERLYING ASSETS )

Looking at the distribution of CLO portfolio prices, European deals are bid higher than their U.S. counterparts with 53% bid in the par-plus area.

The majority of US CLOs (62%) have a weighted average bid in the 98 to sub-100 area.

CLO M

ARKET ANALYSIS

*Excludes CLOs less than $50 million in size.

LIST OF RECENT CLOS / CLO LEAGUE TABLES

1H2017 U.S. CLO ARRANGER LEAGUE TABLE : NEW ISSUE (THROUGH JUNE 30, 2017)


57

CLO LEAG

UE TABLES

Rank Bank Holding Company Arranger

Volume ($ Mils.) # of Deals Market Share 1 Citi 8,861.30 13 17% 2 Morgan Stanley 5,078.65 9 10% 3 Bank of America Merrill Lynch 4,974.54 8 9% 4 Wells Fargo 4,933.18 11 9% 5 Natixis 4,600.36 10 9% 6 JP Morgan 4,207.31 8 8% 7 Deutsche Bank 3,390.91 3 6% 8 BNP Paribas 2,808.16 5 5% 9 Credit Suisse 2,649.50 4 5% 10 Barclays 2,384.80 5 5% 11 Jefferies 2,369.96 5 5% 12 Goldman Sachs 2,302.00 4 4% 13 RBC Capital Markets 1,126.47 2 2% 14 MUFG Securities 1,078.00 2 2% 15 Guggenheim Investment Securities 727.34 3 1% 16 Greensledge 529.40 1 1% 17 Societe Generale 407.90 1 1%

1H2017 U.S. CLO ARRANGER LEAGUE TABLE : RESETS (THROUGH JUNE 30, 2017)

Rank Bank Holding Company Arranger Volume

($ Mils.) # of Deals Market Share 1 Citi 4,758 9 23% 2 JP Morgan 4,421 9 21% 3 Jefferies 2,633 6 13% 4 Wells Fargo 1,993 4 10% 5 Bank of America Merrill Lynch 1,880 4 9% 6 Morgan Stanley 1,209 2 6% 7 Credit Suisse 876 1 4% 8 Deutsche Bank 847 2 4% 9 MUFG Securities 844 2 4% 10 Barclays 416 1 2%

1H2017 U.S. CLO ARRANGER LEAGUE TABLE : REFINANCINGS (THROUGH JUNE 30, 2017)


58

CLO LEAG

UE TABLES

Rank Bank Holding Company Arranger Volume

($ Mils.) # of Deals Market Share 1 Morgan Stanley 12,846 28 16% 2 Citi 12,503 28 16% 3 Bank of America Merrill Lynch 10,079 23 13% 4 Credit Suisse 9,572 21 12% 5 JP Morgan 7,133 16 9% 6 Goldman Sachs 6,090 13 8% 7 Deutsche Bank 4,286 9 5% 8 Nomura 3,825 9 5% 9 Natixis 2,066 5 3% 10 Greensledge 1,871 5 2% 11 MUFG Securities 1,823 4 2% 12 Jefferies 1,648 5 2% 13 Wells Fargo 1,589 4 2% 14 Mizuho 1,509 4 2% 15 BNP Paribas 989 3 1% 16 RBC Capital Markets 978 2 1% 17 Barclays 484 2 1%

1H2017 U.S. CLO MANAGER LEAGUE TABLE (TOP 25) (THROUGH JUNE 30, 2017)


59

CLO LEAG

UE TABLES

Rank CLO Manager Volume ($ Mils.) # of Deals Market Share 1 GSO Blackstone 2,154 3 4% 2 CIFC 2,117 3 4% 3 Antares Capital Advisers 2,114 1 4% 4 Carlyle Investment Management 1,838 3 3% 5 Voya Investment Management 1,732 3 3% 6 MJX Asset Management 1,729 3 3%

7 Midcap Financial Services Capital Management 1,718 2 3%

8 Sound Point Capital Management 1,478 2 3% 9 Golub Capital 1,445 3 3%

10 Credit Suisse Asset Management 1,427 2 3% 11 Prudential Investment Management 1,325 2 3% 12 KKR 1,322 2 3% 13 CBAM CLO Management LLC 1,252 1 2% 14 Ares Management 1,227 2 2% 15 Octagon Credit Investors 1,172 2 2% 16 TCI Capital Management 1,132 2 2% 17 THL Credit 1,123 2 2% 18 CVC Credit Partners 1,025 2 2% 19 Alcentra 1,018 2 2% 20 Och Ziff Capital Management 922 2 2% 21 Cerberus 905 2 2% 22 Guggenheim Investment Management 877 1 2% 23 Apex Credit Partners 750 2 1% 24 Trinitas Capital Management 717 1 1% 25 GoldenTree Asset Management 711 1 1%

2017 NEW ISSUE U.S. CLOS


60

LIST OF CLO

S

Date priced CLO manager CLO name Agent bank Trustee Deal size AAA size Equity

size 19-Jan-17 MJX Asset Management Venture XXVI Jefferies US Bank 527.63 336 44.65

27-Jan-17 Apex Credit Partners JFIN 2017-1 Jefferies US Bank 453.85 286.88 39.85

2-Feb-17 THL Credit THL Credit Wind River 2017 -1 Morgan Stanley Wells Fargo 612 390 60

2-Feb-17 Sound Point Capital Management Sound Point XV MUFG Securities US Bank 664.3 416 66.3

3-Feb-17 Octagon Credit Investors Octagon Investment Partners 30 Citi US Bank 611.5 390 59.5

3-Feb-17 CIFC CIFC Funding 2017-1 Deutsche Bank US Bank 815.8 503.6 75

7-Feb-17 Midcap Financial Services Capital Management Woodmont 2017-1 Wells Fargo Wells Fargo 506.2 284.3 71.5

13-Feb-17 LCM Asset Management LCM 2017-1 Bank of America Merrill Lynch Deutsche Bank 613.16 387 61.16

15-Feb-17 NewStar Financial Newstar Commercial Loan Funding 2017-1 Natixis US Bank 397.25 232 49.25

16-Feb-17 Golub Capital Golub 34 Natixis US Bank 411.38 226.1 88.78 17-Feb-17 Ares Management Ares 42 JP Morgan Wells Fargo 409.21 248 41.21 22-Feb-17 GSO Blackstone Grippen Park CLO Wells Fargo Wells Fargo 611.37 384 59.37 22-Feb-17 KKR KKR CLO 17 Barclays US Bank 608.5 390 56.5 23-Feb-17 Alcentra Shackleton CLO 2017-10 BNP Paribas US Bank 510.04 320 50.04 24-Feb-17 Madison Capital MCF CLO V Wells Fargo Wells Fargo 302.85 173.5 40.6

24-Feb-17 Intermediate Capital Group ICG US CLO 2017-1 Barclays US Bank 406.8 256 38.8

24-Feb-17 Marathon Asset Management Marathon CLO IX JP Morgan BONY/Mellon 639.9 396.88 64.9

03-Mar-17 PineBridge Investments Galaxy CLO XXIII Morgan Stanley Deutsche Bank 409 254 35

8-Mar-17 Carlyle Investment Management Carlyle US CLO 2017-1 Citi State Street 611.7 390 59.7

8-Mar-17 American Money Management Corp AMMC CLO 20 Societe Generale US Bank 407.9 260 39.9




61

LIST OF CLO

S


size

9-Mar-17 Prudential Investment Management Dryden 47 Senior Loan Fund Goldman Sachs US Bank 714.5 469 60

10-Mar-17 Teacher's Advisors Inc TIAA CLO II Wells Fargo US Bank 454.835 285.75 40.835

10-Mar-17 GoldenTree Asset Management GLM US CLO I Morgan Stanley BONY/Mellon 710.65 435.15 46.25

10-Mar-17 Voya Investment Management Voya CLO 2017-1 Natixis State Street 513 323.1 49.9

13-Mar-17 Guggenheim Investment Management Mercer Field II CLO Citi BONY/Mellon 877.1 560 73

21-Mar-17 NXT Capital NXT Capital CLO 2017-1 Wells Fargo Wells Fargo 406.35 226.7 57

22-Mar-17 ACIS Capital Management ACIS 2017-7 Guggenheim Securities US Bank 405.5 260.75 32.5

28-Mar-17 CIFC CIFC Funding 2017-2 Morgan Stanley US Bank 585.5 364.25 54.5 29-Mar-17 Wellfleet Credit Partners Wellfleet CLO 2017-1 Citi US Bank 457.8 290.25 43.65 30-Mar-17 Cerberus Cerberus Loan Funding XVIII Wells Fargo US Bank 604.31 306.45 140.81

31-Mar-17 Neuberger Berman Neuberger Berman CLO XXIV Wells Fargo Wells Fargo 511.035 318.5 51.035

4-Apr-17 NYL Investors LLC Flatiron CLO 2017 Barclays Wells Fargo 408 256 40

4-Apr-17 Rockford Tower Capital Management Rockford Tower 2017-1 JP Morgan Deutsche Bank 507 319.8 47.7

5-Apr-17 Ares Management Ares XLIII BNP Paribas US Bank 817.6 520 81.6 5-Apr-17 Crestline Denali Capital Denali Capital CLO XV Natixis US Bank 409.44 254 37.44 7-Apr-17 Jefferies Finance LLC JFIN Revolver 2017 Jefferies Deutsche Bank 296.5

12-Apr-17 Credit Suisse Asset Management Madison Park Funding XXV Citi US Bank 612 366 52

13-Apr-17 MJX Asset Management Venture CLO XXVII RBC Capital Markets Wells Fargo 614.4 384 62.4





62

LIST OF CLO

S


size

13-Apr-17 Highbridge Principal Strategies

HPS Loan Management 11-2017

RBC Capital Markets US Bank 512.065 320 46.8

13-Apr-17 Halcyon Asset Management

Halcyon Loan Advisors Funding 2017-1 Citi US Bank 408.7 258 40.7

13-Apr-17 325 Fillmore Peaks CLO 2017-2

Guggenheim Investment Securities US Bank 159.4 85 25.4

21-Apr-17 GSO Blackstone Thayer Park CLO BNP Paribas US Bank 514.6 302.5 54.6 20-Apr-17 Antares Capital Advisers Antares CLO 2017-1 Deutsche Bank Wells Fargo 2113.91 1207.5 255.41

21-Apr-17 Allstate AIMCO 2017-A CLO Morgan Stanley BONY/Mellon 410 258 36

27-Apr-17 GSO Blackstone Catskill Park CLO Bank of America Merrill Lynch Citi/Virtus 1028.5 659.5 108.5

28-Apr-17 CVC Credit Partners Apidos XXVI CLO Credit Suisse BONY/Mellon 511.75 320 51.75 28-Apr-17 Golub Capital Golub 19 Greensledge US Bank 529.4 340.5 46.7

28-Apr-17 Ivy Hill Asset Management Ivy Hill Middle Market Credit Fund XII Natixis US Bank 381.3 212.8 36.6

1-May-17 Regatta Loan Management Regatta IX Funding JP Morgan US Bank 406 356 38

1-May-17 Black Diamond Capital Management Black Diamond CLO 2017-1 Natixis US Bank 411.9 249.9 41.4

2-May-17 Och Ziff Capital Management OZLM XVI JP Morgan Wells Fargo 410.25 254 42.25

2-May-17 Voya Investment Management Voya CLO 2017-2 Natixis State Street 611.3 373.3 55

3-May-17 DoubleLine Capital Parallel 2017-1 Morgan Stanley US Bank 409.5 252 36.5 5-May-17 Zais Group ZAIS CLO 6 Goldman Sachs JP Morgan 512 335 52

12-May-17 Angelo Gordon Northwoods XV Barclays US Bank 453.8 285.75 39.8

12-May-17 THL Credit THL Credit Wind River 2017-2 Bank of America Merrill Lynch US Bank 511 328 40.5





63

LIST OF CLO

S


size

15-May-17 Trinitas Capital Management Trinitas CLO VI JP Morgan US Bank 717.1 448 73.1

17-May-17 Cerberus Cerberus Loan Funding XIX Wells Fargo Wells Fargo 300.425 153 77.675

17-May-17 Ellington CLO Management Ellington CLO I Citi US Bank 373.55 187.5 88.8

18-May-17 Carlyle Investment Management Carlyle US CLO 2017-2 Citi US Bank 613.45 395 56.45

19-May-17 BlueMountain Capital Management BlueMountain CLO 2017-1 JP Morgan Citi/Virtus 509.75 335 49.75

19-May-17 Sound Point Capital Management Sound Point CLO XVI Credit Suisse Deutsche Bank 814 520 78

19-May-17 DFG Investment Advisors Vibrant CLO 2017-6 BNP Paribas Citi/Virtus 509.05 320 49.05

23-May-17 Prudential Investment Management Dryden 49 Senior Loan Fund Credit Suisse US Bank 610.75 384 51

25-May-17 Midcap Financial Services Capital Management Woodmont 2017-2 Citi US Bank 1212.2 672 162.2

30-May-17 JMP Credit Advisors JMP Credit Advisors 2017-1 BNP Paribas 456.87 285.75 42.87

1-Jun-17 Octagon Credit Investors Octagon Investment Partners XXXI Wells Fargo 560.96 356.4 43.96

2-Jun-17 CIFC CIFC Funding 2017-3 Citi 713.25 460.6 63.65

2-Jun-17 MidOcean Credit Partners MidOcean Credit CLO VII Goldman Sachs 613.5 402 52.5

2-Jun-17 Alliance Bernstein ABPCI Direct Lending Fund CLO 2017-1 Natixis 348.9 195.6 83.7

8-Jun-17 CBAM CLO Management LLC CBAM 2017-1 Citi 1252.35 847.5 92.35





64

LIST OF CLO

S


size

9-Jun-17 Golub Capital Golub Capital Partners CLO 35 Jefferies 504.7 318.75 44.7

12-Jun-17 TPG Capital TICP CLO VII Bank of America Merrill Lynch 513.75 330 53.75

13-Jun-17 Madison Capital MCF CLO VI Wells Fargo/Guggenheim 324.87 188 40.77

13-Jun-17 Voya Investment Management Voya CLO 2017-3 Citi 607.4 390 53.3

13-Jun-17 Bain Capital Credit Bain Capital Credit CLO 2017-1 Citi 510.3 322.5 38.5

14-Jun-17 MJX Asset Management Venture CLO XXVIII Jefferies 587.282 367.664 58.75

14-Jun-17 Pacific Asset Management Trestles CLO 2017-1 Natixis 505.99 340 45.99

15-Jun-17 3i Debt Management Jamestown CLO X Bank of America Merrill Lynch 612.23 388 47.3

16-Jun-17 Onex Credit Partners OCP 2017-13 Natixis 609.9 402 57.9

16-Jun-17 325 Fillmore Elevation CLO LTD 2017-6 Goldman Sachs 462 301.5 39

19-Jun-17 TCI Capital Management TCI-Cent CLO 2017-1 Deutsche Bank 461.2 321.2 50.82

23-Jun-17 Crescent Capital Group Atlas VIII CLO MUFG Securities 413.7 250.1 38.4

23-Jun-17 Barings LLC Barings CLO 2017-1 Wells Fargo 512.41 330 42.41

23-Jun-17 Carlyle Investment Management Carlyle US CLO 2017-3 Morgan Stanley 613 393 61

23-Jun-17 CVC Credit Partners Apidos CLO XXVII Bank of America Merrill Lynch 513.5 320 46





65

LIST OF CLO

S


size

29-Jun-17 KKR KKR CLO 18 Credit Suisse 713 451.5 65.5

29-Jun-17 TCI Capital Management TCI-Symphony CLO 2017-1 Bank of America Merrill Lynch 670.9 421.4 67.5

29-Jun-17 BlackRock Financial Management Magnetite XIX

Bank of America Merrill Lynch 511.5 320 44

29-Jun-17 Alcentra Shackleton CLO 2017-11 Barclays 507.7 320 40.1

30-Jun-17 Credit Suisse Asset Management Madison Park Funding XXIII Morgan Stanley 815 488 80

30-Jun-17 Och Ziff Capital Management OZLM XVII Morgan Stanley 512 322.5 52


2017 NEW ISSUE U.S. CLOS - PRICING Leveraged Loan Monthly - June 2017

66

LIST OF CLO

S


Date priced CLO name AAA

coupon AAA DM

AA coupon

AA DM

A coupon A DM

BBB coupon

BBB DM

BB coupon

BB DM B coupon

B DM

19-Jan-17 Venture XXVI 145 145 190 190 260 260 425 425 680 27-Jan-17 JFIN 2017-1 147 195 280 360 635

2-Feb-17 THL Credit Wind River 2017 -1 134 134 170 170 230 230 375 375 642 650

2-Feb-17 Sound Point XV 139 139 175 175 250 250 360 375 596 675

3-Feb-17 Octagon Investment Partners 30 132 132 170 170 235 235 350 350 620 630

3-Feb-17 CIFC Funding 2017-1 136 136 170 170 245 245 350 365 635 650 7-Feb-17 Woodmont 2017-1 205 205 275 275 375 375 505 550 retained

13-Feb-17 LCM 2017-1 131 131 168 168 225 225 350 350 630 630

15-Feb-17 Newstar Commercial Loan Funding 2017-1 178 178 250 250 350 350 510 510 775 775

16-Feb-17 Golub 34 185 185 250 250 350 350 450 450 17-Feb-17 Ares 42 126 155 220 345 605 22-Feb-17 Grippen Park CLO 126 126 165 165 230 230 330 345 570 620 22-Feb-17 KKR CLO 17 134 134 165 165 225 225 345 345 620 650 23-Feb-17 Shackleton CLO 2017-10 133 133 165 165 240 240 365 375 622 675 24-Feb-17 MCF CLO V 190 190 255 255 355 355 455 500 n/a n/a 24-Feb-17 ICG US CLO 2017-1 135 135 165 165 240 240 375 375 650 685 24-Feb-17 Marathon CLO IX 134 175 240 305 605 3-Mar-17 Galaxy CLO XXIII 128 128 156 156 230 230 348 355 615 646 725 840 8-Mar-17 Carlyle US CLO 2017-1 130 130 165 165 225 225 350 350 600 630 8-Mar-17 AMMC CLO 20 133 133 160 160 235 235 340 350 581 650 9-Mar-17 Dryden 47 Senior Loan Fund 124 124 155 155 220 220 340 340 620 620 715 745 10-Mar-17 TIAA CLO II 128 128 170 170 245 245 345 345 585 650

10-Mar-17 GLM US CLO I 122 122 155 155 220 220 335 335 455

not offere

d 560 10-Mar-17 Voya CLO 2017-1 125 125 160 160 230 230 333 340 610 625 13-Mar-17 Mercer Field II CLO 133 133 170 170 235 235 375 375 635/685 685 21-Mar-17 NXT Capital CLO 2017-1 170 170 235 235 310 310 410 450 735 825 22-Mar-17 ACIS 2017-7 135 175 270 390 600


67

LIST OF CLO

S


coupon AAA DM

AA coupon

AA DM

A coupon A DM

BBB coupon

BBB DM

BB coupon

BB DM B coupon

B DM

28-Mar-17 CIFC Funding 2017-2 124 124 155 155 235 235 350 350 595 625 29-Mar-17 Wellfleet CLO 2017-1 132 132 170 170 250 250 380 380 605 645 30-Mar-17 Cerberus Loan Funding XVIII 175 175 235 235 315 315 425 450 675 725

31-Mar-17 Neuberger Berman CLO XXIV 123 123 160 160 245 245 340 340 602 625

4-Apr-17 Flatiron CLO 2017 125 125 160 160 230 230 350 350 600 630 4-Apr-17 Rockford Tower 2017-1 137 180 255 325 540 5-Apr-17 Ares XLIII 122 122 175 175 250 250 374 375 647 675 5-Apr-17 Denali Capital CLO XV 130 130 165 165 245 245 373 380 635 650 735 800 7-Apr-17 JFIN Revolver 2017 12-Apr-17 Madison Park Funding XXV 118 118 175 175 235 235 360 360 610 630 725 800 13-Apr-17 Venture CLO XXVII 130 130 165 165 235 235 400 400 635 685

13-Apr-17 HPS Loan Management 11-2017 126 126 165 165 235 235 360 360 610 645 785 900

13-Apr-17 Halcyon Loan Advisors Funding 2017-1 130 130 180 180 275 285 395 400 640 724

13-Apr-17 Peaks CLO 2017-2 225 320 400 575 775 21-Apr-17 Thayer Park CLO 118 118 160 160 235 235 370 370 610 630 20-Apr-17 Antares CLO 2017-1 172.5 172.5 240 240 310 310 420 460 775 N/A 21-Apr-17 AIMCO 2017-A CLO 126 126 160 160 245 245 368 375 593 665 682 866 27-Apr-17 Catskill Park CLO 118 118 170 170 235 235 370 370 600 28-Apr-17 Apidos XXVI CLO 118 170 240 370 610 28-Apr-17 Golub 19 130 130 180 180 255 255 375 400 650 740

28-Apr-17 Ivy Hill Middle Market Credit Fund XII 170 170 225 225 300 300 410 425 756 790




68

LIST OF CLO

S


coupon AAA DM

AA coupon

AA DM

A coupon A DM

BBB coupon

BBB DM

BB coupon

BB DM B coupon

B DM

1-May-17 Regatta IX Funding 130 180 245 390 600 1-May-17 Black Diamond CLO 2017-1 129 129 180 180 280 287 395 410 660 740 2-May-17 OZLM XVI 126 185 255 355 600 2-May-17 Voya CLO 2017-2 121 121 171 171 235 235 370 370 602 645 3-May-17 Parallel 2017-1 131 131 170 170 245 245 360 390 612 675 696 885 5-May-17 ZAIS CLO 6 137 137 200 200 280 280 388 425 700 725

12-May-17 Northwoods XV 130 130 160 160 265 265 375 390 600 700 12-May-17 THL Credit Wind River 2017-2 123 123 170 170 245 245 360 360 650 650 710 825 15-May-17 Trinitas CLO VI 132 185 270 380 650 17-May-17 Cerberus Loan Funding XIX 175 175 230 230 305 305 430 450 17-May-17 Ellington CLO I 200 200 400 450 600 725 18-May-17 Carlyle US CLO 2017-2 122/129 129 170 170 240 240 370 380 615 675 19-May-17 BlueMountain CLO 2017-1 118 170 235 355 600 19-May-17 Sound Point CLO XVI 128 180 250 360 610 19-May-17 Vibrant CLO 2017-6 124 124 185 185 260 260 390 390 575 685 23-May-17 Dryden 49 Senior Loan Fund 121 170 235 365 630 755 25-May-17 Woodmont 2017-2 180 180 235 235 305 305 445 460 750 850 30-May-17 JMP Credit Advisors 2017-1 137 190 265 415 680 680

1-Jun-17 Octagon Investment Partners XXXI 121 121 170 170 240 240 370 370 630 660 820 900

2-Jun-17 CIFC Funding 2017-3 122 122 180 180 235 235 365 365 600 645 2-Jun-17 MidOcean Credit CLO VII 132 132 190 190 275 275 388 415 665 695 810 925

2-Jun-17 ABPCI Direct Lending Fund CLO 2017-1 178 178 235 235 305 305 468 485

8-Jun-17 CBAM 2017-1 125 125 180 180 240 240 375 375 650 650 9-Jun-17 Golub Capital Partners CLO 35 130 130 180 180 250 250 375 385 650 715

12-Jun-17 TICP CLO VII 123 180 260 375 651




69

LIST OF CLO

S


coupon AAA DM

AA coupon

AA DM

A coupon A DM

BBB coupon

BBB DM

BB coupon

BB DM B coupon

B DM

13-Jun-17 MCF CLO VI 172.5 172.5 257 257 356 356 504 504 828 828 13-Jun-17 Voya CLO 2017-3 123 123 177 177 235 235 355 355 620 640 13-Jun-17 Bain Capital Credit CLO 2017-1 125 125 180 180 250 250 370 370 650 650 765 875 14-Jun-17 Venture CLO XXVIII 125/111 128 170 170 245 245 400 400 615 675 14-Jun-17 Trestles CLO 2017-1 129 129 180 180 255 255 365 380 668 700 15-Jun-17 Jamestown CLO X 125 185 255 370 670 762 16-Jun-17 OCP 2017-13 126 126 180 180 255 255 371 385 663 710 16-Jun-17 Elevation CLO LTD 2017-6 128 128 185 185 270 270 365 380 660 715 840 925 19-Jun-17 TCI-Cent CLO 2017-1 127 127 180 180 235 235 365 365 630 660 23-Jun-17 Atlas VIII CLO 130 130 185 185 255 255 370 370 595 655 715 850 23-Jun-17 Barings CLO 2017-1 118 118 170 170 240 240 360 360 600 675 745 889 23-Jun-17 Carlyle US CLO 2017-3 118 118 170 170 235 235 350 350 611 635 23-Jun-17 Apidos CLO XXVII 121 121 170 170 235 235 345 345 640 640 740 850 29-Jun-17 KKR CLO 18 127 170 235 360 645 29-Jun-17 TCI-Symphony CLO 2017-1 123 123 170 170 235 235 340 340 645 660 29-Jun-17 Magnetite XIX 118 118 167 167 230 230 330 330 625 625 761 860 29-Jun-17 Shackleton CLO 2017-11 127 127 175 175 240 240 365 375 630 675 820 917 30-Jun-17 Madison Park Funding XXIII 121 121 170 170 235 235 345 345 625 640 30-Jun-17 OZLM XVII 125 125 170 170 240 240 346 360 599 675


2017 U.S. CLO REFINANCINGS / RESETS Leveraged Loan Monthly - June 2017

70

LIST OF CLO

S


# CLO manager CLO name Date priced Deal size AAA AA A BBB BB Agent Note 1 Symphony Asset Management Symphony CLO XIV 6-Jan-17 644 128 185 250 Citi Refinancing

2 BlueMountain Capital Management BlueMountain CLO 2014-1 6-Jan-17 412.5 126 160 235 JP Morgan Refinancing

3 Barings LLC Babson CLO 2014-III 6-Jan-17 569.75 132 180 265 Morgan Stanley Refinancing 4 Och Ziff Capital Management OZLM VI 6-Jan-17 491.25 130 175 270 Morgan Stanley Refinancing 5 Invesco Limerock CLO II 10-Jan-17 534.5 130 175 255 Credit Suisse Refinancing

6 Credit Suisse Asset Management Madison Park Funding XII 12-Jan-17 644 126 165 235 Citi Refinancing

7 Sound Point Capital Management Sound Point CLO I 12-Jan-17 489.5 130 165 240 Credit Suisse Refinancing

8 Axa Investment Managers Allegro CLO I 13-Jan-17 288 122 165 245 Morgan Stanley Refinancing

9 Sound Point Capital Management Sound Point CLO VII 18-Jan-17 410 130 175 240 Credit Suisse Refinancing

10 Carlyle Investment Management Carlyle GMS 2014-2 19-Jan-17 497 125 160 230 MUFG Securities Refinancing

11 Canyon Capital Canyon Capital CLO 2014-1 19-Jan-17 260 129 JP Morgan Refinancing

12 Axa Investment Managers Allegro CLO II 20-Jan-17 350.2 131 165 240 385 Morgan Stanley Refinancing

13 New York Life Investment Management Flatiron CLO 2013-1 24-Jan-17 323.5 116 165 235 Bank of America Merrill Lynch Refinancing

14 OFS Capital Management OFSI Fund V 26-Jan-17 197.5 115 160 240 405 Nomura Refinancing

15 Carlyle Investment Management Carlyle GMS 2014-4 27-Jan-17 447.83 120 155 225 Citi Refinancing

16 Ares Management Ares XXIX CLO 27-Jan-17 403.75 119 160 230 Citi Refinancing

17 Steele Creek Investment Management Steele Creek CLO 2014-1 30-Jan-17 336.5 133 185 255 665 Citi Refinancing

18 Invesco Limerock CLO III 30-Jan-17 395.5 120 155 225 Credit Suisse Refinancing

19 GoldenTree Asset Management

Goldentree Loan Opportunities VIII 1-Feb-17 503.9 121 155 220 335 Morgan Stanley Refinancing

20 Crescent Capital Group Atlas Senior Loan Fund VI 2-Feb-17 478.5 125 160 240 360 Morgan Stanley Refinancing 21 GSO Blackstone Bowman Park CLO 3-Feb-17 436.9 118 155 225 335 Credit Suisse Refinancing 22 Ares Management Ares XXXII CLO 3-Feb-17 436.5 121 165 225 345 Deutsche Bank Refinancing 23 CVC Credit Partners Apidos CLO XIX 6-Feb-17 385.75 120 155 220 340 Bank of America Merrill Lynch Refinancing 24 Angelo Gordon Northwoods Capital XIV 7-Feb-17 415 130 170 245 Goldman Sachs Refinancing 25 Eaton Vance Eaton Vance CLO 2014-1 7-Feb-17 435.25 120 160 225 360 Citi Refinancing

26 New York Life Investment Management Flatiron CLO 2014-1 8-Feb-17 322.5 118 160 240 Bank of America Merrill Lynch Refinancing

27 CIFC CIFC Funding 2014-II 8-Feb-17 656 120 155 225 Citi Refinancing


71

LIST OF CLO

S

Cont’d from prior slide # CLO manager CLO name Date priced Deal size AAA AA A BBB BB Agent Note

28 Tall Tree Investment Nelder Grove CLO 8-Feb-17 363.5 130 180 260 410 670 Jefferies Refinancing 29 Harbourview HarbourView ClO VII 9-Feb-17 327.92 125 165 238 Mizuho Refinancing 30 Och Ziff Capital Management OZLM IX 9-Feb-17 435 122 165 235 355 Credit Suisse Refinancing 31 Bain Capital Credit Race Point VIII CLO 10-Feb-17 684.4 134 170 250 380 685 Citi Reset 32 Deutsche Asset Management Flagship CLO VIII 10-Feb-17 359.625 125 170 250 Deutsche Bank Refinancing 33 Invesco Blue Hill CLO 10-Feb-17 407 118 155 240 Morgan Stanley Refinancing

34 Kramer Van Kirk Credit Strategies Inc KVK CLO 2014-1 10-Feb-17 468.95 130 180 260 Goldman Sachs Refinancing

35

MP CLO Management (formerly American Capital Asset Management)

MP CLO V (formerly ACAS CLO 2014-1) 13-Feb-17 490.25 125 160 230 Greensledge Refinancing

36 CVC Credit Partners Apidos CLO XV 16-Feb-17 407 110 150 220 Citi Refinancing 37 CIFC CIFC Funding 2013-IV 16-Feb-17 431.5 112 150 225 335 Morgan Stanley Refinancing 38 GSO Blackstone Birchwood Park CLO 16-Feb-17 493 118 155 225 340 Wells Fargo Refinancing 39 MJX Asset Management Venture XII CLO 16-Feb-17 666 123 163 240 370 620 Jefferies Reset 40 Symphony Asset Management Symphony CLO XV 16-Feb-17 522 118 155 220 335 Credit Suisse Refinancing 41 Ares Management Ares XXXI CLO 16-Feb-17 896.8 118 155 Bank of America Merrill Lynch Refinancing 42 Oaktree Capital Management Oaktree CLO 2014-2 17-Feb-17 412.5 122 165 255 Citi Refinancing

43 Columbia Management Investment Advisers Cent CLO 21 17-Feb-17 498 121 170 240 JP Morgan Refinancing

44 THL Credit THL Credit Wind River 2014-1 CLO 17-Feb-17 525.25 118 155 225 350 JP Morgan Refinancing

45 Barings LLC Babson CLO 2013-II 17-Feb-17 560 113 155 225 Bank of America Merrill Lynch Refinancing 46 Credit Suisse Asset Management Madison Park Funding XV 21-Feb-17 623 119 150 220 345 544 JP Morgan Refinancing 47 Seix Advisors Mountain View CLO 2014-1 21-Feb-17 412 124 170 280 Credit Suisse Refinancing

48 Octagon Credit Investors Octagon Investment Partners XVIII 21-Feb-17 609.3 113 155 220 348 Citi Refinancing

49 JMP JMP Credit Advisors CLO III 22-Feb-17 332.1 124 180 260 390 710 BNP Paribas Refinancing 50 Oak Hill Advisors OHA Loan Funding 2013-1 22-Feb-17 433.2 109 145 205 305 JP Morgan Refinancing 51 Och Ziff Capital Management OZLM Funding V 22-Feb-17 418.75 113 155 235 345 Citi Refinancing 52 Angelo Gordon Northwoods Capital XII 23-Feb-17 541.8 123 170 245 360 699 Goldman Sachs Refinancing

53 Kramer Van Kirk Credit Strategies Inc KVK CLO 2013-2 23-Feb-17 334.4 115 175 255 Credit Suisse Refinancing

54 Shenkman Capital Management Washington Mill CLO 24-Feb-17 406.25 122 166 260 Citi Refinancing 55 Carlyle Investment Management Carlyle GMS 2014-3 24-Feb-17 537.4 115 155 215 327 575 Morgan Stanley Refinancing



72

LIST OF CLO

S


# CLO manager CLO name Date priced Deal size AAA AA A BBB BB Agent Note 56 NewStar Financial Staniford Street 24-Feb-17 330 118 160 245 Morgan Stanley Refinancing 57 GSO Blackstone Thacher Park CLO 24-Feb-17 476.85 116 155 220 340 Refinancing

58 Credit Suisse Asset Management Madison Park Funding XIII 24-Feb-17 627.49 111 155 215 327 Deutsche Bank Refinancing

59 Benefit Street Partners Benefit Street Partners CLO V 1-Mar-17 412.5 120 165 250 Deutsche Bank Refinancing

60 Prudential Investment Management Dryden 34 Senior Loan Fund 1-Mar-17 564.5 116 155 215 340 Deutsche Bank Refinancing

61 NewMark NewMark Capital Funding 2014-2 CLO 3-Mar-17 320.08 122 170 245 Jefferies Refinancing

62 PineBridge Investments Galaxy XVI CLO 3-Mar-17 332 113 150 225 Goldman Sachs Refinancing 63 Barings LLC Babson CLO 2014-I 7-Mar-17 399.55 115 150 220 JP Morgan Refinancing 64 Oak Hill Advisors OHA Credit Partners X 8-Mar-17 644 113 155 212 325 Morgan Stanley Refinancing

65 Octagon Credit Investors Octagon Investment Partners XIX 9-Mar-17 453.75 110 150 210 Wells Fargo Refinancing

66 Tall Tree Investment Tuolumne Grove CLO 9-Mar-17 338.3 122 170 245 Jefferies Refinancing

67 Oak Hill Advisors OHA Loan Funding 2014-1 9-Mar-17 613.8 115 155 Morgan Stanley Refinancing

68 Five Arrows Managers North America/Rothschild Ocean Trails CLO V 9-Mar-17 348.5 122 165 250 360 Nomura Refinancing

69 Napier Park Regatta V Funding 10-Mar-17 406.3 116 160 230 Citi Refinancing

70 Barings LLC Babson CLO 2014-II 10-Mar-17 451.75 115 150 220 Bank of America Merrill Lynch Refinancing

71 CIFC CIFC Funding 2013-III 10-Mar-17 328 102 150 205 Morgan Stanley Refinancing 72 Intermediate Capital Group ICG US CLO 2014-2 14-Mar-17 322 119 150 235 Citi Refinancing

73 Palmer Square Capital Management Palmer Square CLO 2013-2 15-Mar-17 468.49 122 165 225 360 610 JP Morgan Reset

74 Credit Value Partners CVP Cascade CLO-1 15-Mar-17 330.25 115 165 250 Credit Suisse Refinancing 75 Credit Suisse Asset Management Atrium XI 16-Mar-17 863.75 114 150 215 315 Citi Refinancing 76 Invesco A Voce CLO 16-Mar-17 484.3 116 155 215 Barclays Refinancing 77 Angelo Gordon Northwoods Capital XI 16-Mar-17 493.8 119 160 240 Goldman Sachs Refinancing

78 Ares Management Ares XXVIII CLO 16-Mar-17 439.5 101 150 210 325 Bank of America Merrill Lynch Refinancing

79 Cutwater Asset Management Cutwater 2014-II 16-Mar-17 345.8 123 170 260 375 Natixis Refinancing 80 Credit Value Partners CVP Cascade CLO-2 16-Mar-17 412.75 120 165 250 Credit Suisse Refinancing



73

LIST OF CLO

S


# CLO manager CLO name Date priced Deal size AAA AA A BBB BB Agent Note 81 PineBridge Investments Galaxy XVIII CLO 17-Mar-17 373.75 117 150 215 340 Goldman Sachs Refinancing

82 MP CLO Management (formerly American Capital Asset Management)

MP CLO VI (Previously ACAS CLO 2014-2) 17-Mar-17 349.2 120 160 225 350 Greensledge Refinancing

83 TPG Capital TICP CLO III 20-Mar-17 437.5 118 160 225 365 Morgan Stanley Refinancing

84 Carlyle Investment Management Carlyle Global Market Strategies CLO 2014-5 22-Mar-17 428 114 150 205 312 Morgan Stanley Refinancing

85 Prudential Investment Management Dryden 31 Senior Loan Fund 22-Mar-17 525 108 150 210 335 Citi Refinancing

86 Deutsche Asset Management Flagship CLO VII 22-Mar-17 350.85 112 155 235 Deutsche Bank Refinancing 87 ACIS Capital Management ACIS CLO 2013-2 22-Mar-17 192 105 130 275 425 Jefferies Refinancing

88 Brigade Capital Management Battalion CLO IV 22-Mar-17 326 114 160 245 Bank of America Merrill Lynch Refinancing

89 Brigade Capital Management Battalion CLO V 22-Mar-17 324.6 117 170 250 Bank of America Merrill Lynch Refinancing

90 Brigade Capital Management Battalion CLO VII 22-Mar-17 319 119 168 250 Bank of America Merrill Lynch Refinancing

91 Fortress Fortress Credit Opportunities III CLO 22-Mar-17 476 165 225 310 410 Natixis Refinancing

92 Kramer Van Kirk Credit Strategies Inc KVK CLO 2014-3 22-Mar-17 415 120 175 260 Goldman Sachs Refinancing

93 3i Debt Management Jamestown CLO V 24-Mar-17 327 122 175 273 Bank of America Merrill Lynch Refinancing

94 Alcentra Shackleton 2013-IV CLO 24-Mar-17 349.7 112 150 210 Citi Refinancing 95 Arrowpoint Asset Management Arrowpoint CLO 2014-3 23-Mar-17 369.6 118 165 245 365 670 JP Morgan Refinancing

96 Fortress Fortress Credit Opportunities V CLO 28-Mar-17 442 170 235 315

425/455 Natixis Refinancing

97 MJX Asset Management Venture XVI CLO 28-Mar-17 407 112 150 215 RBC Capital Markets Refinancing

98 Fortress Fortress Credit BSL II 29-Mar-17 249 115 165 250 Bank of America Merrill Lynch Refinancing

99 Hildene Capital Management Hildene CLO III 29-Mar-17 302.5 120 170 255 385 Bank of America Merrill Lynch Refinancing

100 Angelo Gordon Northwoods Capital X 29-Mar-17 303 108 155 230 350 Goldman Sachs Refinancing



74

LIST OF CLO

S


# CLO manager CLO name Date priced Deal size AAA AA A BBB BB Agent Note 101 American Money Management Corp AMMC CLO 16 29-Mar-17 466 126 160 235 355 606 MUFG Securities Reset 102 TPG Capital TICP CLO II 29-Mar-17 406.8 116 155 220 Mizuho Refinancing 103 GSO Blackstone Seneca Park CLO 29-Mar-17 561.25 112 150 215 Credit Suisse Refinancing 104 Oak Hill Advisors OHA Credit Partners IX 29-Mar-17 374.5 101 146 330 Morgan Stanley Refinancing 105 Och Ziff Capital Management OZLM VII 29-Mar-17 702.75 115 165 225 350 Deutsche Bank Refinancing 106 Ballyrock Investment Management Ballyrock CLO 2014-1 30-Mar-17 348 115 170 210 365 Citi Refinancing

107 Bain Capital Credit Avery Point IV CLO 30-Mar-17 569.75 110 160 235 Bank of America Merrill Lynch Refinancing

108 Hildene Capital Management Hildene CLO I 30-Mar-17 242.5 115 165 250 Bank of America Merrill Lynch Refinancing

109 Hildene Capital Management Hildene CLO II 30-Mar-17 323.25 118 167 255 Bank of America Merrill Lynch Refinancing

110 Mariner Investment Group Mariner CLO 2015-1 30-Mar-17 460.5 129 175 250 365 615 JP Morgan Reset 111 Credit Suisse Asset Management Atrium IX 30-Mar-17 875.927 124 175 255 360 645 Credit Suisse Reset

112 Voya Investment Management Voya CLO 2014-2 31-Mar-17 535.8 125 165/15

5 245 355 630 JP Morgan Reset 113 Voya Investment Management Voya CLO 2013-3 31-Mar-17 438.4 105 150 215 315 Credit Suisse Refinancing

114 BlueMountain Capital Management BlueMountain CLO 2013-4 31-Mar-17 349.2 101 150 205 315 JP Morgan Refinancing

115 BlackRock Financial Management Magnetite XI 3-Apr-17 476.75 112 150 210 315 Credit Suisse Refinancing

116 KKR KKR Financial CLO 2013-1 3-Apr-17 463 129 170 240 365 608

Bank of America Merrill Lynch Reset

117 Shenkman Capital Management Sudbury Mill CLO 3-Apr-17 327.5 115 165 245 Nomura Refinancing

118 Symphony Asset Management

California Street CLO XII (previously Symphony CLO XII) 3-Apr-17 704 103 150 210 325 Nomura Refinancing

119 Kramer Van Kirk Credit Strategies Inc KVK CLO 2014-2 4-Apr-17 495.5 118 165 255 Credit Suisse Refinancing

120 Sound Harbor Partners Sound Harbor Loan Fund 2014-1 4-Apr-17 391.3 120 170 250 390 JP Morgan Refinancing

121 Western Asset Management Mountain Hawk III CLO 4-Apr-17 415.5 120 180 Citi Refinancing 122 CVC Credit Partners Apidos CLO XVIII 4-Apr-17 618.15 112 150 210 325 Morgan Stanley Refinancing 123 Brigade Capital Management Battalion CLO VI 4-Apr-17 359 118 173 250 Goldman Sachs Refinancing 124 TPG Capital TICP CLO I 4-Apr-17 376.5 118 160 220 Citi Refinancing



75

LIST OF CLO

S


# CLO manager CLO name Date priced Deal size AAA AA A BBB BB Agent Note

125 Apollo Credit Management ALM XIV 5-Apr-17 1177.15 115 155 210

Bank of America Merrill Lynch Refinancing

126 Sound Point Capital Management Sound Point CLO VI 7-Apr-17 492 114 155 227 Credit Suisse Refinancing

127 Anchorage Capital Group Anchorage Capital CLO 5 7-Apr-17 392.5 115 160 220 Morgan Stanley Refinancing

128 Aegon USA Investment Management Cedar Funding IV 7-Apr-17 532.4 123 160 225 365 636 Jefferies Reset 129 MJX Asset Management Venture X CLO 7-Apr-17 383.5 122 185 225 405 675 Jefferies Reset

130 Guggenheim Investment Management Kitty Hawk CLO 2015-1 7-Apr-17 331 121

MUFG Securities Refinancing

131 Sound Point Capital Management Sound Point CLO III 7-Apr-17 370.75 99 155 215 335 Morgan Stanley Refinancing

132 NewStar Financial Longfellow Place CLO 2013-1 7-Apr-17 476.9 134 185 300 450 770 Citi Reset

133 Alcentra Shackleton 2014-VI CLO 7-Apr-17 414.5 116 160 225 Morgan Stanley Refinancing

134 CIFC CIFC Funding 2014 7-Apr-17 492.5 105 160 225 Credit Suisse Refinancing

135 Canyon Capital Canyon Capital CLO 2014-2 7-Apr-17 370.7 125 170 250 365 685 JP Morgan Reset

136 Canyon Capital Canyon Capital CLO 2015-1 7-Apr-17 391.775 125 175 250 365 685 JP Morgan Reset

137 GSO Blackstone Emerson Park CLO 7-Apr-17 351 120 145 215 340 BNP Paribas Refinancing 138 Zais Group Zais CLO 2 10-Apr-17 225.9 120 185 255 365 Goldman Sachs Refinancing 139 Telos Asset Management Telos CLO 2014-6 10-Apr-17 306 127 175 260 370 BNP Paribas Refinancing

140 BlueMountain Capital Management BlueMountain CLO 2014-3 10-Apr-17 521.45 114 160 210 320 Citi Refinancing

141 Onex Credit Partners OCP CLO 2013-4 11-Apr-17 623.42 127 187 275 396 677 Citi Reset 142 NewStar Financial Hull Street CLO 11-Apr-17 414 122 170 270 Credit Suisse Refinancing

143 Chicago Fundamental Investment Partners CFIP CLO 2013-1 11-Apr-17 489.276 134 185 270 395 665 Wells Fargo Reset

144 Sound Point Capital Management Sound Point CLO IV 12-Apr-17 456.5 110 225 340 Morgan Stanley Refinancing 145 Marathon Asset Management Marathon CLO VII 12-Apr-17 364 132 165 235 Citi Refinancing



76

LIST OF CLO

S



146 Guggenheim Investment Management Ziggurat CLO 12-Apr-17 473.5 130 190 285 390 670


147 Covenant Credit Partners Covenant Credit Partners CLO II 12-Apr-17 371 125 170 Wells Fargo Refinancing

148 Credit Suisse Asset Management Madison Park Funding XIV 13-Apr-17 867.5 112 155 205 325 Nomura Refinancing

149 York Capital York CLO-1 17-Apr-17 345.5 115 170 235 340 Citi Refinancing

150 Columbia Management Investment Advisers Cent CLO 20 17-Apr-17 373.25 110 163 235


151 Neuberger Berman Neuberger Berman CLO XIV 19-Apr-17 382.43 125 175 255 365 645 Deutsche Bank Reset

152 Octagon Credit Investors Octagon Investment Partners XX 21-Apr-17 645.35 113 150 215 355 JP Morgan Refinancing

153 Halcyon Asset Management

Halcyon Loan Advisors Funding 2014-2 21-Apr-17 451 118 180 270 Mizuho Refinancing

154 Anchorage Capital Group Anchorage Capital CLO 4 25-Apr-17 513.5 114 168 220 340


155 Bain Capital Credit Avery Point III CLO 25-Apr-17 345.25 112 155 Greensledge Refinancing

156 Alcentra Shackleton 2014-V CLO 26-Apr-17 495 114 165 225 Morgan Stanley Refinancing

157 Intermediate Capital Group ICG US CLO 2014-3 27-Apr-17 321.6 123 165 235 Citi Refinancing

158 Apollo Credit Management ALM XI 28-Apr-17 472.75 114 155 210 325 Morgan Stanley Refinancing

159 Oaktree Capital Management Oaktree EIF II Series A2 28-Apr-17 451 115 170 235

MUFG Securities Refinancing

160 Allianz West CLO 2013-1 28-Apr-17 372 116 175 235 Nomura Refinancing

161 Neuberger Berman Neuberger Berman CLO XVII 28-Apr-17 540.35 118 185 265 365 655 JP Morgan Reset

162 Palmer Square Capital Management Palmer Square CLO 2013-1 28-Apr-17 322.1 97 150 205 310 500 JP Morgan Refinancing



77

LIST OF CLO

S


# CLO manager CLO name Date priced Deal size AAA AA A BBB BB Agent Note 163 3i Debt Management Jamestown CLO III 3-May-17 406.7 114 175 235 Greensledge Refinancing 164 Marathon Asset Management Marathon CLO VI 3-May-17 386 125 160 235 Citi Refinancing 165 Oaktree Capital Management Oaktree CLO 2014-1 4-May-17 400 129 185 272 390 630 Citi Reset

166 Octagon Credit Investors Octagon Loan Funding 5-May-17 279.8 114 160 340 Greensledge Refinancing

167 Octagon Credit Investors Octagon Investment Partners XIV 9-May-17 660.96 117 190 260 400 715 Citi Reset

168 Kramer Van Kirk Credit Strategies Inc KVK CLO 2015-1 10-May-17 493.8 125 185 285 Goldman Sachs Refinancing

169 Allstate AIMCO CLO Series 2014-A 11-May-17 483.45 110 160 225 325 Deutsche Bank Refinancing

170 LCM Asset Management LCM XV 11-May-17 570.95 124 170 240 370 650


171 Palmer Square Capital Management Palmer Square CLO 2015-1 11-May-17 666.9 130 185 255 350 620 JP Morgan Reset

172 Credit Suisse Asset Management Atrium X 12-May-17 543.5 95 145 195 300 MUFG Securities Refinancing

173 Steele Creek Investment Management Steele Creek CLO 2015-1 12-May-17 328.375 126 185 262 375

710/661 Mizuho Reset

174 Octagon Credit Investors Octagon Investment Partners XVII 15-May-17 264.5 100 145 215 305 Nomura Refinancing

175 Och Ziff Capital Management OZLM VIII 16-May-17 521.75 113 160 225 340


176 Octagon Credit Investors Octagon Investment Partners XXII 19-May-17 614 112 160 210 330 600 Morgan Stanley Refinancing

177 THL Credit THL Credit Wind River 2014-3 CLO 22-May-17 348.25 110 160 220 335 Deutsche Bank Refinancing

178 Credit Suisse Asset Management Madison Park Funding XVII 23-May-17 751.3 122 175 240 360 650 Morgan Stanley Reset

179 Cutwater Asset Management Cutwater 2014-I 25-May-17 347.7 125 170 240 360 Credit Suisse Refinancing 180 BlackRock Financial Management Magnetite IX 26-May-17 348 100 150 200 310 Citi Refinancing



78

LIST OF CLO

S


# CLO manager CLO name Date priced Deal size AAA AA A BBB BB Agent Note 181 Triumph Capital Advisors Trinitas CLO II 30-May-17 312.5 118 165 Nomura Refinancing 182 TCW Figueroa CLO 2013-2 6-Jun-17 359 125 180 245 390 750 Jefferies Reset 183 Brigade Capital Management Battalion CLO VIII 6-Jun-17 458.15 134 185 260 400 700 Morgan Stanley Reset 184 CVC Credit Partners Apidos CLO XVI 7-Jun-17 524.75 98 150 195 300 Credit Suisse Refinancing 185 Apollo Credit Management ALM XII 8-Jun-17 708.25 105 160 205 320 540 Goldman Sachs Refinancing 186 Aegon USA Investment Management Cedar Funding II 9-Jun-17 324 123 175 235 360 635 Jefferies Reset

187 Highbridge Principal Strategies Highbridge Loan Management 5-2015 9-Jun-17 439.25 110 155 210 330 Morgan Stanley Refinancing

188 Ares Management Ares XXVII CLO 9-Jun-17 373 119 170 240 375 650


189 KKR KKR CLO 9 9-Jun-17 462.9 127 175 255 370 685 JP Morgan Reset

190 Benefit Street Partners Benefit Street Partners CLO II 13-Jun-17 465 125 175 255 370 655 Deutsche Bank Reset

191 GreyWolf Greywolf CLO IV 13-Jun-17 376.2 121 172 235 340 JP Morgan Refinancing 192 LCM Asset Management LCM XVI 14-Jun-17 616 103 150 195 300 Credit Suisse Refinancing 193 Napier Park Regatta III Funding 14-Jun-17 410.875 105 150 205 330 Citi Refinancing 194 Voya Investment Management Voya CLO 2014-4 16-Jun-17 516.45 95 145 200 300 JP Morgan Refinancing

195 Halcyon Asset Management

Halcyon Loan Advisors Funding 2014-1 16-Jun-17 323.5 113 175 270 Mizuho Refinancing

196 GreyWolf Greywolf CLO III 19-Jun-17 538.75 111 150 205 320 JP Morgan Refinancing 197 Silvermine Capital Management Silver Spring CLO 21-Jun-17 324.04932 125 180 275 Barclays Refinancing 198 Apollo Credit Management ALM XVI 21-Jun-17 959.75 105 160 205 320 Goldman Sachs Refinancing

199 MJX Asset Management Venture XVII CLO 22-Jun-17 570.5 108 160 220 RBC Capital Markets Refinancing

200 American Money Management Corp AMMC CLO XIII 23-Jun-17 377.9 126 170 245 360 644/6

95 MUFG Securities Reset

201 NXT Capital NXT Capital CLO 2014-1 23-Jun-17 271 140 190 275 375 Wells Fargo Refinancing



79

LIST OF CLO

S



202 Golub Capital Golub Capital Partners CLO 16 23-Jun-17 619.66 170 225 300

not offere

d Wells Fargo Reset 203 Apex Credit Partners JFIN CLO 2014-2 23-Jun-17 433.95 117 165 235 Jefferies Refinancing

204 MP CLO Management (formerly American Capital Asset Management)

MP CLO IV (Previously ACAS CLO 2013-2) 23-Jun-17 372 128 185 240 360 700 BNP Paribas Reset

205 Shenkman Capital Management Adams Mill CLO 23-Jun-17 431.375 110 160 235 Nomura Refinancing

206 Black Diamond Capital Management Black Diamond CLO 2013-1 26-Jun-17 351.6 105 145 250 345 Morgan Stanley Refinancing

207 3i Debt Management Jamestown CLO VI 26-Jun-17 480 115 Natixis Refinancing

208 BlueMountain Capital Management BlueMountain CLO 2014-2 26-Jun-17 472.6 93

140/135 190 300 JP Morgan Refinancing

209 Neuberger Berman Neuberger Berman CLO XIX 26-Jun-17 349 105 155 205 320


210 Crestline Denali Capital Denali Capital CLO XI 27-Jun-17 322.13 115 170 220 Natixis Refinancing

211 Palmer Square Capital Management Palmer Square CLO 2015-2 27-Jun-17 523.6 127 180 240 370 650 Citi Reset

212 Octagon Credit Investors Octagon Investment Partners XV 27-Jun-17 458.8 121 175 260 370 700 Citi Reset

213 Carlson Capital Cathedral Lake III 27-Jun-17 368 132 190 275 410 695 Jefferies Reset

214 Anchorage Capital Group Anchorage Capital CLO 6 27-Jun-17 524.05 127 175 240 355 635 JP Morgan Reset

215 Napier Park Regatta IV Funding 28-Jun-17 521.25 102 150 200 330 Morgan Stanley Refinancing

216 Highbridge Principal Strategies Highbridge Loan Management 3-2014 28-Jun-17 470 118 170 240 360 650 Citi Reset

217 THL Credit THL Credit Wind River 2013-1 CLO 29-Jun-17 415.7 125 175 240 365 630 Barclays Reset

218 Whitehorse Capital Partners LP WhiteHorse IX 29-Jun-17 304.5 116 180




80

LIST OF CLO

S


# CLO manager CLO name Date priced Deal size AAA AA A BBB BB Agent Note 219 Silvermine Capital Management Silvermore CLO 30-Jun-17 377.465 117 175 Citi Refinancing

220 Chicago Fundamental Investment Partners CFIP CLO 2014-1 30-Jun-17 446.8 132 185 270 410 660

Wells Fargo Reset

221 Halcyon Asset Management Halcyon Loan Advisors Funding 2014-3 30-Jun-17 486 110 170 265

Morgan Stanley Refinancing

222 Bain Capital Credit Bain Capital Credit CLO (formerly Cavalry III) 30-Jun-17 437.05 125 180 250 355 635

Wells Fargo Reset

223 Mariner Investment Group Mariner CLO 2016-3 30-Jun-17 460 127 185 265 retained retained Citi Reset

U.S. CLO REFINANCINGS / RESETS – PRICE CHANGE Leveraged Loan Monthly - June 2017

81

LIST OF CLO

S


# CLO name Date priced AAA AAA orig. AA AA orig. A A orig. BBB BBB orig. BB BB orig. Note

1 Symphony CLO XIV 6-Jan-17 128 137 185 205 250 290 Refinancing

2 BlueMountain CLO 2014-1 6-Jan-17 126 152 160 200 235 275 Refinancing

3 Babson CLO 2014-III 6-Jan-17 132 145 180 230 265 300 Refinancing

4 OZLM VI 6-Jan-17 130 155 175 215 270 290 Refinancing

5 Limerock CLO II 10-Jan-17 130 150 175 210 255 285 Refinancing

6 Madison Park Funding XII 12-Jan-17 126 150 165 215 235 310 Refinancing

7 Sound Point CLO I 12-Jan-17 130 157 165 190 240 275 Refinancing

8 Allegro CLO I 13-Jan-17 122 145 165 200 245 275 Refinancing

9 Sound Point CLO VII 18-Jan-17 130 150 175 230 240 310 Refinancing

10 Carlyle GMS 2014-2 19-Jan-17 125 147 160 200 230 285 Refinancing

11 Canyon Capital CLO 2014-1 19-Jan-17 129 158 Refinancing

12 Allegro CLO II 20-Jan-17 131 160 165 255 240 340 385 415 Refinancing

13 Flatiron CLO 2013-1 24-Jan-17 116 140 165 200 235 275 Refinancing

14 OFSI Fund V 26-Jan-17 115 145 160 237 240 320 405 425 Refinancing

15 Carlyle GMS 2014-4 27-Jan-17 120 150 155 245 225 315 Refinancing

16 Ares XXIX CLO 27-Jan-17 119 152 160 200 230 280 Refinancing

17 Steele Creek CLO 2014-1 30-Jan-17 133 160 185 225 255 320 665 695 Refinancing

18 Limerock CLO III 30-Jan-17 120 153 155 230 225 320 Refinancing

19 Goldentree Loan Opportunities VIII 1-Feb-17 121 145 155 203 220 270 335 362 Refinancing

20 Atlas Senior Loan Fund VI 2-Feb-17 125 154 160 240 240 300 360 370 Refinancing

21 Bowman Park CLO 3-Feb-17 118 148 155 225 225 320 335 370 Refinancing

22 Ares XXXII CLO 3-Feb-17 121 148 165 230 225 325 345 420 Refinancing

23 Apidos CLO XIX 6-Feb-17 120 150 155 245 220 329 340 375 Refinancing

24 Northwoods Capital XIV 7-Feb-17 130 160 170 246 245 335 Refinancing

25 Eaton Vance CLO 2014-1 7-Feb-17 120 145 160 205 225 300 360 365 Refinancing


82

LIST OF CLO

S



# CLO name Date priced AAA AAA orig. AA AA orig. A A orig. BBB BBB orig. BB BB orig. Note 26 Flatiron CLO 2014-1 8-Feb-17 118 138 160 190 240 285 Refinancing

27 CIFC Funding 2014-II 8-Feb-17 120 148 155 215 225 285 Refinancing

28 Nelder Grove CLO 8-Feb-17 130 156 180 205 260 290 410 452 670 675 Refinancing

29 HarbourView ClO VII 9-Feb-17 125 160 165 235 238 521 Refinancing

30 OZLM IX 9-Feb-17 122 158 165 240 235 330 355 360 Refinancing

31 Race Point VIII CLO 10-Feb-17 134 170 250 380 685 Reset

32 Flagship CLO VIII 10-Feb-17 125 156 170 249 250 313 Refinancing

33 Blue Hill CLO 10-Feb-17 118 148 155 195 240 300 Refinancing

34 KVK CLO 2014-1 10-Feb-17 130 159 180 225 260 290 Refinancing

35 MP CLO V (formerly ACAS CLO 2014-1) 13-Feb-16 125 151 160 210 230 290 Refinancing

36 Apidos CLO XV 16-Feb-17 110 135 150 180 220 265 Refinancing

37 CIFC Funding 2013-IV 16-Feb-17 112 140 150 185 225 325 335 350 Refinancing

38 Birchwood Park CLO 16-Feb-17 118 144 155 215 225 310/315 340 420 Refinancing

39 Venture XII CLO 16-Feb-17 123 163 240 370 620 Reset

40 Symphony CLO XV 16-Feb-17 118 145 155 220 220 320 335 375 Refinancing

41 Ares XXXI CLO 16-Feb-17 118 144 155 195 Refinancing

42 Oaktree CLO 2014-2 17-Feb-17 122 153 165 210 255 300 Refinancing

43 Cent CLO 21 17-Feb-17 121 139/149 170 200 240 280 Refinancing

44 THL Credit Wind River 2014-1 CLO 17-Feb-17 118 152 155 210 225 290 350 355 Refinancing

45 Babson CLO 2013-II 17-Feb-17 113 148 155 175 225 265 Refinancing

46 Madison Park Funding XV 21-Feb-17 119 148 150 240 220 325/340 345 370 544 545 Refinancing

47 Mountain View CLO 2014-1 21-Feb-17 124 151 170 241 280 320 Refinancing

48 Octagon Investment Partners XVIII 21-Feb-17 113 148 155 200 220 275 348 370 Refinancing

49 JMP Credit Advisors CLO III 22-Feb-17 124 153 180 205 260 290 390 510 710 735 Refinancing


83

LIST OF CLO

S



50 OHA Loan Funding 2013-1 22-Feb-17 109 125 145 165 205 325 305 365 Refinancing

51 OZLM Funding V 22-Feb-17 113 150 155 225 235 300 345 350 Refinancing

52 Northwoods Capital XII 23-Feb-17 123 150 170 220 245 315 360 370 699 Refinancing

53 KVK CLO 2013-2 23-Feb-17 115 155 175 200 255 285 Refinancing

54 Washington Mill CLO 24-Feb-17 122 150 166 205 260 300 Refinancing

55 Carlyle GMS 2014-3 24-Feb-17 115 146 155 210 215 315 327 370/420 575 625 Refinancing

56 Staniford Street 24-Feb-17 118 153 160 225 245 305 Refinancing

57 Thacher Park CLO 24-Feb-17 116 147 155 220 220 305 340 353 Refinancing

58 Madison Park Funding XIII 24-Feb-17 111 155 215 327 Refinancing

59 Benefit Street Partners CLO V 1-Mar-17 120 165 250 Refinancing

60 Dryden 34 Senior Loan Fund 1-Mar-17 116 155 215 340 Refinancing

61 NewMark Capital Funding 2014-2 CLO 3-Mar-17 122 170 245 Refinancing

62 Galaxy XVI CLO 3-Mar-17 113 130 150 175 225 260 Refinancing

63 Babson CLO 2014-I 7-Mar-17 115 149 150 190 220 270 Refinancing

64 OHA Credit Partners X 8-Mar-17 113 147 155 210 212 310 325 340 Refinancing

65 Octagon Investment Partners XIX 9-Mar-17 110 152 150 200 210 285 Refinancing

66 Tuolumne Grove CLO 9-Mar-17 122 150 170 210 245 285 Refinancing

67 OHA Loan Funding 2014-1 9-Mar-17 115 153 155 230 Refinancing

68 Ocean Trails CLO V 9-Mar-17 122 150/166 165 230 250 295 360 396 Refinancing

69 Regatta V Funding 10-Mar-17 116 156 160 220/235/

315 230 300 Refinancing

70 Babson CLO 2014-II 10-Mar-17 115 139 150 200 220 290 Refinancing

71 CIFC Funding 2013-III 10-Mar-17 102 133 150 185 205 265 Refinancing

72 ICG US CLO 2014-2 14-Mar-17 119 145 150 210 235 310 Refinancing



84

LIST OF CLO

S



73 Palmer Square CLO 2013-2 15-Mar-17 122 140 165 200 225 305 360 362.5 610 535 Reset

74 CVP Cascade CLO-1 15-Mar-17 115 145 165 185 250 270 Refinancing

75 Atrium XI 16-Mar-17 114 130 150 210 215 325 315 350 Refinancing

76 A Voce CLO 16-Mar-17 116 145 155 200 215 290 Refinancing

77 Northwoods Capital XI 16-Mar-17 119 160 160 200 240 275 Refinancing

78 Ares XXVIII CLO 16-Mar-17 101 150 210 325 Refinancing

79 Cutwater 2014-II 16-Mar-17 123 157 170 230 260 315 375 440 Refinancing

80 CVP Cascade CLO-2 16-Mar-17 120 153 165 205 250 290 Refinancing

81 Galaxy XVIII CLO 17-Mar-17 117 147 150 205 215 300 340 430 Refinancing

82 MP CLO VI (Previously ACAS CLO 2014-2) 17-Mar-17 120 160 160 220 225 320 350 390 Refinancing

83 TICP CLO III 20-Mar-17 118 154 160 235 225 325 365 375/418 Refinancing

84 Carlyle Global Market Strategies CLO 2014-5 22-Mar-17 114 152 150 220 205 340 312 415 Refinancing

85 Dryden 31 Senior Loan Fund 22-Mar-17 108 135 150 190 210 285 335 350 Refinancing

86 Flagship CLO VII 22-Mar-17 112 147 155 210 235 296 Refinancing

87 ACIS CLO 2013-2 22-Mar-17 105 179 130 282/321 275 385 425 493 Refinancing

88 Battalion CLO IV 22-Mar-17 114 140 160 200 245 300 Refinancing

89 Battalion CLO V 22-Mar-17 117 150 170 215 250 300 Refinancing

90 Battalion CLO VII 22-Mar-17 119 160 168 255 250 360 Refinancing

91 Fortress Credit Opportunities III CLO 22-Mar-17 165 190 225 250 310 325 410 425 Refinancing

92 KVK CLO 2014-3 22-Mar-17 120 153 175 210 260 300 Refinancing

93 Jamestown CLO V 24-Mar-17 122 158 175 225 273 320 Refinancing

94 Shackleton 2013-IV CLO 24-Mar-17 112 150 150 200 210 300 Refinancing



85

LIST OF CLO

S



95 Arrowpoint CLO 2014-3 23-Mar-17 118 155 165 210 245 300 365 510 670 735 Refinancing

96 Fortress Credit Opportunities V CLO 28-Mar-17 170 235 315

425/455 Refinancing

97 Venture XVI CLO 28-Mar-17 112 150 150 200 215 275 Refinancing

98 Fortress Credit BSL II 29-Mar-17 115 150 165 225 250 290 Refinancing

99 Hildene CLO III 29-Mar-17 120 160 170 275 255 360 385 410 Refinancing

100 Northwoods Capital X 29-Mar-17 108 140 155 190 230 270 350 360 Refinancing

101 AMMC CLO 16 29-Mar-17 126 150 160 220 235 310 355 375 606 560 Reset

102 TICP CLO II 29-Mar-17 116 145 155 205 220 300 Refinancing

103 Seneca Park CLO 29-Mar-17 112 148 150 195 215 290 Refinancing

104 OHA Credit Partners IX 29-Mar-17 101 140 146 180 330 360 Refinancing

105 OZLM VII 29-Mar-17 115 142 165 205 225 285 350 360 Refinancing

106 Ballyrock CLO 2014-1 30-Mar-17 115 148 170 225 210 320 365 375 Refinancing

107 Avery Point IV CLO 30-Mar-17 110 152 160 210 235 310 Refinancing

108 Hildene CLO I 30-Mar-17 115 150 165 220 250 300 Refinancing

109 Hildene CLO II 30-Mar-17 118 145 167 220 255 290 Refinancing

110 Mariner CLO 2015-1 30-Mar-17 129 128 175 191 250 315 365 410 615 610 Reset

111 Atrium IX 30-Mar-17 124 130 175 210 255 325 360 350 645 500 Reset

112 Voya CLO 2014-2 31-Mar-17 125 145 165/155 200 245 295 355 330 630 475 Reset

113 Voya CLO 2013-3 31-Mar-17 105 145 150 180 215 270 315 325 Refinancing

114 BlueMountain CLO 2013-4 31-Mar-17 101 150 150 190 205 265 315 370 Refinancing

115 Magnetite XI 3-Apr-17 112 145 150 235 210 330 315 360 Refinancing



86

LIST OF CLO

S



116 KKR Financial CLO 2013-1 3-Apr-17 129 115 170 170 240 260 365 360 608 475 Reset

117 Sudbury Mill CLO 3-Apr-17 115 145 165 220 245 300 Refinancing

118

California Street CLO XII (previously Symphony CLO XII) 3-Apr-17 103 130 150 175 210 275 325 350 Refinancing

119 KVK CLO 2014-2 4-Apr-17 118 155 165 215 255 300 Refinancing

120 Sound Harbor Loan Fund 2014-1 4-Apr-17 120 150 170 215 250 290 390 476 Refinancing

121 Mountain Hawk III CLO 4-Apr-17 120 150 180 210 Refinancing

122 Apidos CLO XVIII 4-Apr-17 112 141.2 150 195 210 280 325 365 Refinancing

123 Battalion CLO VI 4-Apr-17 118 145 173 205 250 300 Refinancing

124 TICP CLO I 4-Apr-17 118 150 160 190 220 300 Refinancing

125 ALM XIV 5-Apr-17 115 143 155 210 210 295 Refinancing

126 Sound Point CLO VI 7-Apr-17 114 136 155 198 227 293 Refinancing

127 Anchorage Capital CLO 5 7-Apr-17 115 160 160 210 220 305 Refinancing

128 Cedar Funding IV 7-Apr-17 123 150 160 225 225 300 365 415 636 625 Reset

129 Venture X CLO 7-Apr-17 122 133 185 200 225 265 405 410 675 600 Reset

130 Kitty Hawk CLO 2015-1 7-Apr-17 121 151 Refinancing

131 Sound Point CLO III 7-Apr-17 99 135 155 200 215 270 335 390 Refinancing

132 Longfellow Place CLO 2013-1 7-Apr-17 134 145 185 250 300 315 450 425 770 575 Reset

133 Shackleton 2014-VI CLO 7-Apr-17 116 148 160 215 225 310 Refinancing

134 CIFC Funding 2014 7-Apr-17 105 150 160 200 225 280 Refinancing

135 Canyon Capital 2014-2 7-Apr-17 125 157 170 250 365 685 Reset

136 Canyon Capital 2015-1 7-Apr-17 125 155 175 210 250 315 365 365 685 545 Reset

137 Emerson Park CLO 7-Apr-17 120 160 145 180 215 275 340 375 Refinancing



87

LIST OF CLO

S



138 Zais CLO 2 10-Apr-17 120 150 185 210 255 305 365 375 Refinancing

139 Telos CLO 2014-6 10-Apr-17 127 150 175 210 260 300 370 390 Refinancing

140 BlueMountain CLO 2014-3 10-Apr-17 114 148 160 215 210 305 320 355 Refinancing

141 OCP CLO 2013-4 11-Apr-17 127 140 187 180 275 275 396 375 677 500 Reset

142 Hull Street CLO 11-Apr-17 122 150 170 230 270 310 Refinancing

143 CFIP CLO 2013-1 11-Apr-17 134 160 185 215 270 310 395 375 665 515 Reset

144 Sound Point CLO IV 12-Apr-17 110 134 225 235 340 350 Refinancing

145 Marathon CLO VII 12-Apr-17 132 150 165 265 235 350 Refinancing

146 Ziggurat CLO 12-Apr-17 130 158 190 210 285 310 390 375 670 500 Reset

147 Covenant Credit Partners CLO II 12-Apr-17 125 147 170 220 Refinancing

148 Madison Park Funding XIV 13-Apr-17 112 145 155 215 205 310 325 360 Refinancing

149 York CLO-1 17-Apr-17 115 155 170 235 235 325 340 410 Refinancing

150 Cent CLO 20 17-Apr-17 110 148 163 200 235 300 Refinancing

151 Neuberger Berman CLO XIV 19-Apr-17 125 175 255 365 645 Reset

152 Octagon Investment Partners XX 21-Apr-17 113 144 150 205 215 280 355 365 Refinancing

153 Halcyon Loan Advisors Funding 2014-2 21-Apr-17 118 160 180 200 270 300 Refinancing

154 Anchorage Capital CLO 4 25-Apr-17 114 145/155 168 216 220 300 340 350 Refinancing

155 Avery Point III CLO 25-Apr-17 112 140 155 180 Refinancing

156 Shackleton 2014-V CLO 26-Apr-17 114 150 165 200 225 270 Refinancing

157 ICG US CLO 2014-3 27-Apr-17 123 150 165 240 235 325 Refinancing

158 ALM XI 28-Apr-17 114 143 155 200 210 290 325 350 Refinancing

159 Oaktree EIF II Series A2 28-Apr-17 115 170 235 Refinancing



88

LIST OF CLO

S



160 West CLO 2013-1 28-Apr-17 116 140 175 200 235 290 Refinancing

161 Neuberger Berman CLO XVII 28-Apr-17 118 147 185 210 265 276 365 355 655 475 Reset

162 Palmer Square 2013-1 28-Apr-17 97 125 150 200 205 285 310 405 500 520 Refinancing

163 Jamestown CLO III 3-May-17 114 145 175 195 235 275 Refinancing

164 Marathon CLO VI 3-May-17 125 153 160 205 235 285 Refinancing

165 Oaktree CLO 2014-1 4-May-17 129 150 185 205 272 285 390 375 630 475 Reset

166 Octagon Loan Funding 5-May-17 114 145 160 225 4.47% 340 365 Refinancing

167 Octagon Investment Partners XIV 9-May-17 117 140 190 200 260 300 400 400 715 525 Reset

168 KVK CLO 2015-1 10-May-17 125 158 185 220 285 320 Refinancing

169 AIMCO CLO Series 2014-A 11-May-17 110 154 160 200 225 285 325 355 Refinancing

170 LCM XV 11-May-17 124 150 170 210 240 310 370 335 650 445/500 Reset

171 Palmer Square CLO 2015-1 11-May-17 130 150 185 205 255 285 350 340 620 495 Reset

172 Atrium X 12-May-17 95 120 145 165 195 260 300 350 Refinancing

173 Steele Creek CLO 2015-1 12-May-17 126 160 185 240 262 330 375 400 710/661 525 Reset

174 Octagon Investment Partners XVII 15-May-17 100 133 145 170 215 280 305 320 Refinancing

175 OZLM VIII 16-May-17 113 144 160 215 225 300 340 350 Refinancing

176 Octagon Investment Partners XXII 19-May-17 112 148 160 255/230 210 325/350 330 390/458 600 675 Refinancing

177 THL Credit Wind River 2014-3 CLO 22-May-17 110 162 160 243 220 325 335 405 Refinancing

178 Madison Park Funding XVII 23-May-17 122 145 175 200 240 290 360 345 650 545 Reset

179 Cutwater 2014-I 25-May-17 125 152/136 170 215 240 285 360 370 Refinancing

180 Magnetite IX 26-May-17 100 142 150 195 200 300 310 350 Refinancing



89

LIST OF CLO

S



181 Trinitas CLO II 30-May-17 118 127/160 165 179/230 Refinancing

182 Figueroa CLO 2013-2 6-Jun-17 125 145 180 195 245 275 390 375 750 750 Reset

183 Battalion CLO VIII 6-Jun-17 134 153 185 235 260 335 400 390 700 700 Reset

184 Apidos CLO XVI 7-Jun-17 98 145 150 170 195 280 300 325 Refinancing

185 ALM XII 8-Jun-17 105 155 160 235 205 325 320 375/450 540 Refinancing

186 Cedar Funding II 9-Jun-17 123 110 175 185 235 277 360 405 635 635 Reset

187 Highbridge Loan Management 5-2015 9-Jun-17 110 149 155 235 210 320 330 385/400 Refinancing

188 Ares XXVII CLO 9-Jun-17 119 125 170 180 240 275 375 375 650 Reset

189 KKR CLO 9 9-Jun-17 127 147 175 200 255 300 370 350 685 Reset

190 Benefit Street Partners CLO II 13-Jun-17 125 120 175 185 255 275 370 350 655 700 Reset

191 Greywolf CLO IV 13-Jun-17 121 152.5 172 255 235 350 340 410 Refinancing

192 LCM XVI 14-Jun-17 103 150 150 200 195 285 300 360 Refinancing

193 Regatta III Funding 14-Jun-17 105 152 150 210 205 285 330 345 Refinancing

194 Voya CLO 2014-4 16-Jun-17 95 150 145 240 200 355 300 400 Refinancing

195 Halcyon Loan Advisors Funding 2014-1 16-Jun-17 113 145 175 235 270 300 Refinancing

196 Greywolf CLO III 19-Jun-17 111 154 150 205 205 285 320 360 Refinancing

197 Silver Spring CLO 21-Jun-17 125 145 180 205 275 300 Refinancing

198 ALM XVI 21-Jun-17 105 146 160 220 205 290 320 350/410 Refinancing

199 Venture XVII CLO 22-Jun-17 108 148 160 210 220 285 Refinancing

200 AMMC CLO XIII 23-Jun-17 126 145 170 185 245 270 360 360 644/695 685/695 Reset

201 NXT Capital CLO 2014-1 23-Jun-17 140 175 190 250 275 350 375 400 Refinancing

202 Golub Capital Partners CLO 16 23-Jun-17 170 165 225 230 300 320

not offered Reset



90

LIST OF CLO

S


# CLO name Date priced AAA AAA orig. AA AA orig. A A orig. BBB BBB orig. BB BB

orig. Note

203 JFIN CLO 2014-2 23-Jun-17 117 150 165 200 235 265 Refinancing

204 MP CLO IV (Previously ACAS CLO 2013-2) 23-Jun-17 128 110/135 185 175 240 265 360 325 700 450 Reset

205 Adams Mill CLO 23-Jun-17 110 148/143 160 200 235 300 Refinancing

206 Black Diamond CLO 2013-1 26-Jun-17 105 145 145 195 250 285 345 360 Refinancing

207 Jamestown CLO VI 26-Jun-17 115 160 Refinancing

208 BlueMountain CLO 2014-2 26-Jun-17 93 140/135 190 300 Refinancing

209 Neuberger Berman CLO XIX 26-Jun-17 105 142 155 180 205 260 320 355 Refinancing

210 Denali Capital CLO XI 27-Jun-17 115 157 170 245 220 320 Refinancing

211 Palmer Square CLO 2015-2 27-Jun-17 127 150 180 223 240 310 370 365 650 545 Reset

212 Octagon Investment Partners XV 27-Jun-17 121 129 175 200 260 285 370 355 700 475 Reset

213 Cathedral Lake III 27-Jun-17 132 137 190 255 275 355 410 550 695 755 Reset

214 Anchorage Capital CLO 6 27-Jun-17 127 154 175 205 240 285 355 340 635 490 Reset

215 Regatta IV Funding 28-Jun-17 102 141 150 201 200 295 330 350 Refinancing

216 Highbridge Loan Management 3-2014 28-Jun-17 118 170 240 360 650 Reset

217 THL Credit Wind River 2013-1 CLO 29-Jun-17 125 115 175 190 240 280 365 340 630 460 Reset

218 WhiteHorse IX 29-Jun-17 116 147 180 210 Refinancing

219 Silvermore CLO 30-Jun-17 117 145 175 205 Refinancing

220 CFIP CLO 2014-1 30-Jun-17 132 155 185 220 270 290 410 350 660 475 Reset

221 Halcyon Loan Advisors Funding 2014-3 30-Jun-17 110 147 170 204 265 300 Refinancing

222 Bain Capital Credit CLO (formerly Cavalry III) 30-Jun-17 125 145 180 200 250 280 355 330 635 Reset

223 Mariner CLO 2016-3 30-Jun-17 127 159 185 200 265 290 retained 400 retained 700 Reset

1H2017 EUROPEAN CLO ARRANGER LEAGUE TABLE : NEW ISSUE (THROUGH JUNE 30, 2017)


91

CLO LEAG

UE TABLES

1H2017 EUROPEAN CLO ARRANGER LEAGUE TABLE : RESETS (THROUGH JUNE 30, 2017)

Rank Bank Holding Company Arranger Volume (€ Mils.) # of

Deals Market Share 1 Barclays 1,584.0 4 19% 2 Credit Suisse 1,282.8 3 15% 3 Citi 1,213.0 3 14% 4 Goldman Sachs 831.3 2 10% 5 Bank of America Merrill Lynch 775.3 2 9% 6 Deutsche Bank 414.0 1 5% 7 Greensledge 413.7 1 5% 8 BNP Paribas 413.6 1 5% 9 Morgan Stanley 363.7 1 4%

10 Natixis 361.9 1 4% 11 JP Morgan 358.6 1 4% 12 Stifel Nicolaus 354.4 1 4%

Rank Bank Holding Company Arranger Volume (€ Mils.) # of Deals Market Share 1 Morgan Stanley 1,866 5 24% 2 Citi 1,624 4 21% 3 JP Morgan 1,461 4 19% 4 Credit Suisse 741 2 9% 5 Goldman Sachs 695 2 9% 6 Barclays 685 2 9% 7 Deutsche Bank 410 1 5% 8 Bank of America Merrill Lynch 362 1 5%


92

CLO LEAG

UE TABLES

Rank Bank Holding Company Arranger Volume (€ Mils.) # of Deals Market Share 1 Bank of America Merrill Lynch 1,176 4 20% 2 Citi 1,107 4 18% 3 Barclays 1,093 3 18% 4 BNP Paribas 1,050 3 18% 5 Morgan Stanley 701 2 12% 6 Goldman Sachs 354 1 6% 7 Deutsche Bank 288 1 5% 8 Stifel Nicolaus 232 1 4%

1H2017 EUROPEAN CLO ARRANGER LEAGUE TABLE : REFINANCINGS (THROUGH JUNE 30, 2017)

1H2017 EUROPEAN CLO MANAGER LEAGUE TABLE (THROUGH JUNE 30, 2017)


93

CLO LEAG

UE TABLES

Rank CLO Manager Volume ($ Mils.) # of Deals Market Share 1 Carlyle Investment Management 877.6 2 10.5% 2 PGIM 832.1 2 9.9% 3 GSO Blackstone 828.1 2 9.9% 4 Credit Suisse Asset Management 453.0 1 5.4% 5 BlackRock Financial Management 415.9 1 5.0% 6 CVC Credit Partners 415.6 1 5.0% 7 Alcentra 415.4 1 5.0% 8 Intermediate Capital Group 414.0 1 4.9% 9 Investcorp 413.7 1 4.9% 10 HPS Investment Partners 411.0 1 4.9% 11 Spire Partners 387.4 1 4.6% 12 Chenavari Credit Partners 365.4 1 4.4% 13 GLG Partners LP 363.7 1 4.3% 14 Five Arrows Managers 361.9 1 4.3% 15 Onex Credit Partners 360.8 1 4.3% 16 BlueMountain Fuji Management 358.6 1 4.3% 17 Commerzbank 354.4 1 4.2% 18 Halcyon Asset Management 337.9 1 4.0%

2017 NEW ISSUE EUROPEAN CLOS Leveraged Loan Monthly - June 2017

94

LIST OF CLO

S

Deal Size Liability Spread (bps)

CLO Manager CLO Name (€m) Date Priced Agent Bank AAA AA A BBB BB B

Intermediate Capital Managers St Paul's CLO VII 413.99 31-Jan-17 Deutsche Bank 95 163 245 360

CVC Credit Partners CVC Cordatus Loan Fund VIII 415.60 10-Feb-17 Goldman Sachs 93 160 235 330 600 860

Blackstone/GSO Palmerston Park CLO 414.50 17-Feb-17 BAML 92 160 230 330 610 901

Chenavari Credit Partners Toro European CLO 3 365.35 3-Mar-17 Barclays 96

165 235 360 650 900

Spire Partners Aurium CLO III 387.35 17-Mar-17 Barclays 88

150 205 310 560 815

Prudential Investment Mngmt Dryden 51 416.38 24-Mar-17 Credit Suisse

3i Debt Management Harvest CLO XVII 413.65 24-Mar-17 Greensledge 87

150 210 315

Onex Credit Partners OCP Euro 2017-1 360.75 4-Apr-17 Bank of America Merrill Lynch

Carlyle Investment Management Carlyle Global Market Strategies Euro CLO 2017-1 413.5 12-Apr-17 Credit Suisse

BlackRock Financial Management Blackrock European CLO III 415.9 21-Apr-17 Barclays 85 150 210 320 595 790

Commerzbank Bosphorus CLO 2017-3 354.4 27-Apr-17 Stifel Nicolaus

HPS Investment Partners Aqueduct European CLO 2017-1 411 9-May-17 Citi 85 150 210 320 580 780

Credit Suisse Asset Management Cadogan Square 9 452.95 19-May-17 Credit Suisse

BlueMountain Capital Management BlueMountain Fuji EUR CLO II 358.6 22-May-17 JP Morgan

Alcentra Jubilee CLO 2017-18 415.4 24-May-17 Barclays 87 150 205 310 590 790

N M Rothschild & Sons Contego CLO IV 361.9 25-May-17 Natixis 88 150 210 310 580 790

GLG Partners LP GLG Euro 2017-3 363.7 31-May-17 Morgan Stanley


2017 NEW ISSUE EUROPEAN CLOS Leveraged Loan Monthly - June 2017

95

LIST OF CLO

S

Deal Size Liability Spread (bps)

CLO Manager CLO Name (€m) Date Priced Agent Bank AAA AA A BBB BB B

Prudential Investment Management Dryden 52 415.7 2-Jun-17 Goldman Sachs 92 150 210 320 590 815

GSO Blackstone Clontark Park 413.55 2-Jun-17 BNP Paribas 83 150 205 310 590 800

Halcyon Asset Management Halcyon Loan Advisors European Funding 2017-1 337.9 6-Jun-17 Citi 92 150 220 330 585 795

Carlyle Investment Management Carlyle Global Market Strategies Euro CLO 2017-2 464.1 19-Jun-17 Citi 83 150 207 305 580 780


2017 EUROPEAN CLO REFINANCINGS / RESETS Leveraged Loan Monthly - June 2017

96

LIST OF CLO

S

CLO manager CLO name Size (€ Mils.)

Date priced

Agent Bank

AAA coupon

AA coupon

A coupon

BBB coupon

BB coupon

B coupon Type

Blackstone/GSO Phoenix Park CLO 307.00 19-Jan-17 BAML 110 170 245 Refi 3i Debt Management Harvest CLO VIII 290.00 19-Jan-17 BAML 110 170 Refi Carlyle Investment Management

Carlyle Global Market Strategies Euro CLO 2014-2 324.60 27-Jan-17 Citi 93 160 230 315 Refi

Alcentra Jubilee CLO 2013-X 362.70 27-Jan-17 JP Morgan 96 155 235/256 340 600 776 Reset

Pramerica Investment Management Dryden 32 Euro CLO 2014 280.25 02-Feb-17 Barclays 140 200 304 Refi

Bain Capital New Haven CLO 324.90 02-Feb-17 Morgan Stanley 99 160 235 335 570 850 Reset

Carlyle Investment Management

Carlyle Global Market Strategies Euro CLO 2013-1 369.00 02-Feb-17

Credit Suisse 98 155 235 350 575 750 Reset

Intermediate Capital Managers Ltd St Paul’s CLO II 429.50 09-Feb-17

Morgan Stanley 103 160 240 340 550 730 Reset

Blackstone/GSO Castle Park CLO 331.00 24-Feb-17 BAML 100 160 230 330 Refi Investcorp Credit Management Harvest CLO VII 321.70 8-Mar-17 JP Morgan 92 150 225 340 545 744 Reset

CVC Credit Partners CVC Cordatus Loan Fund IV 315.50 10-Mar-17 BNP Paribas 78 130 205 300 Refi

Apollo Credit Management ALME Loan Funding III 414.85 13-Mar-17 Citi 85 140 205 310 540 735 Reset

KKR Avoca CLO XII 419.00 14-Mar-17 Credit Suisse 85 140 205 310 525 690 Reset

Alcentra Jubilee CLO 2014-XI 373.40 16-Mar-17 Morgan Stanley 87 140 210 330 640 735 Reset

BNP Paribas BNPP IP Euro CLO 2015-1 247.50 16-Mar-17 Citi 78 135 205 285 Refi CQS Investment Management Grosvenor Place CLO 2013-1 287.88 20-Mar-17

Deutsche Bank 93 140 210 280 Refi

Carlyle Investment Management

Carlyle Global Market Strategies Euro CLO 2015-1 400.6 29-Mar-17 Barclays 78 135 190 285 Refi

Halcyon Asset Management

Halcyon Loan Advisors Funding 2014-1 282.85 29-Mar-17 Citi 87 145 210 340 555 745 Reset



97

LIST OF CLO

S

CLO manager CLO name Size (€ Mils.) Date priced

Agent Bank

AAA coupon

AA coupon

A coupon

BBB coupon

BB coupon

B coupon Type

Credit Suisse Asset Management Cadogan Square CLO V 276.6 3-Apr-17

Morgan Stanley 87 150 215 325 525 660 Reset

Ares Management Ares European CLO VI 316.5 4-Apr-17 Barclays 85 140 200 320 530 710 Reset

Sankaty/Bain Rye Harbour CLO 325.125 12-Apr-17 Goldman Sachs 90 160 215 325 570 710 Refi

Cairn Loan Investments Cairn CLO IV 247.75 18-Apr-17

Bank of America Merrill Lynch 90 140 192 290 Refi

Spire Partners Aurium CLO I 246.5 20-Apr-17 Citi 80 140 180 280 Refi

Oaktree Capital Management Arbour CLO II 362.25 21-Apr-17

Bank of America Merrill Lynch 85 150 215 325 550 735 Reset

Prudential Investment Management Dryden XXVII Euro CLO 2013 478.8 21-Apr-17 JP Morgan 87 150 215 315 530 685 Reset CQS Investment Management Grosvenor Place CLO 2015-1 288.75 24-Apr-17 Citi 85 145 200 300 710 Refi GSO Blackstone Sorrento Park CLO 412.5 2-May-17 Barclays 95 155 200 300 Refi

GSO Blackstone Holland Park CLO 404.375 5-May-17 BNP Paribas 93 160 190 287 Refi

KKR Avoca CLO XI 523.8 5-May-17 Morgan Stanley 89 155/175 215/235 305 500 640 Reset

Prudential Investment Management Dryden 35 Euro CLO 2014 353.7 10-May-17

Goldman Sachs 95 155 200 305 Refi

Commerzbank Bosphorus CLO II 232.2 16-May-17 Stifel Nicolaus 70 135 295 530 625

Barings LLC Babson Euro CLO 2014-2 505.6 18-May-17 Citi 88 140 205 320 521 700 Reset 3i Debt Management Harvest CLO XI 368.25 14-Jun-17 Barclays 92 150/177 210 320 510 655 Reset

Alcentra Jubilee CLO 2014-XIV 451.3 20-Jun-17 Morgan Stanley 98 160 200 285 Refi

GSO Blackstone Dartry Park CLO 330.5 23-Jun-17 BNP Paribas 83 140 190 295 Refi




98

LIST OF CLO

S

CLO manager CLO name Size (€ Mils.) Date priced

Agent Bank

AAA coupon

AA coupon

A coupon

BBB coupon

BB coupon

B coupon Type

Chenavari Credit Partners Toro European CLO 1 410.3 23-Jun-17

Deutsche Bank 92 150/180 210 320 525 690 Reset

PineBridge Investments Euro-Galaxy IV CLO 297.6 26-Jun-17 JP Morgan 90 150 205 310 530 685 Reset CVC Credit Partners CVC Cordatus Loan Fund V 421 29-Jun-17 Citi 89 150 205 295 507 Reset

GLG Partners LP GLG Euro CLO I 249.93 29-Jun-17 Morgan Stanley 80 150 205 305 Refi

Oak Hill Advisors Oak Hill European Credit Partners III 370 30-Jun-17

Goldman Sachs 90 145 200 295 495 644 Reset


LOAN MUTUAL FUND FLOWS & RETURNS

LOAN VS. HY BOND FUND FLOWS* - MONTHLY


100

MONTHLY LOAN VS. HY BOND FUND FLOWS

• Retail loan funds added $153 million in June (based on funds that report weekly), taking YTD inflows to $16.7 billion. Since the third quarter of last year, loan funds have recorded over $32 billion in inflows.

• HY bond funds posted an outflow of $1 billion for the month (based on funds that report weekly), pushing YTD outflows to $9.8 billion.

LOAN

FUN

D FLO

WS &

RETURN

S

LOAN FUND FLOWS – MUTUAL FUND VS. ETF BREAKOUT*


101

LOAN FUND FLOWS – MUTUAL FUND VS. ETF BREAKOUT

• Breaking out loan fund flows into the mutual fund and ETF categories (based on funds that report weekly), mutual funds added $50 million while ETFs pulled in $100 million for June.

• Year to date, mutual funds have pulled in $13 billion while ETFs have added $3.7 billion.

LOAN

FUN

D FLO

WS &

RETURN

S

LOAN FUNDS VS. LOAN INDEX – MONTHLY RETURNS


102

MONTHLY FUND VS. INDEX RETURNS

Loan returns were mostly flat in June, posting a return of 0.04%, per the S&P/LSTA LLI, while open-end loan funds lost 0.07%.

For 1H17, 0pen-end loan funds have returned 1.16% on average while the index is up 1.91%.

LOAN

FUN

D FLO

WS &

RETURN

S

103

THOMSON REUTERS LPC COPYRIGHT NOTICE

© Thomson Reuters LPC. The attached content, including, but not limited to text, data, reports and other opinions, images, photos, graphics, graphs and charts (the “Content”), may be used with proper citation to Thomson Reuters LPC. The Content is the property of Thomson Reuters LPC and is protected by copyright and other intellectual property laws. Contact Thomson Reuters LPC at (1) 646-223-6890 (Americas) or (44) 207-542-8405 (EMEA) or (852) 2294-8853 (APAC) for additional information.


Documents

LEVERAGED LOAN MONTHLY - Thomson Reutersshare.thomsonreuters.com/loanpricing/LoanMonthly/... · •Although the secondary market remains highly bid, the share of loans bid in the