MARCH Industries Most Impacted Due to Coronavirus (COVID-19) · Bardin Hill Loan Management LLC 13 4,181,186,347 19.05% 96.64% Allstate Investment Management Company 5 2,154,859,603

MOODY’S ANALYTICS COVID-19: Deal & Manager Industry Exposure Analysis 1

RESEARCH MARCH 19, 2020

Authors Peter Sallerson Senior Director

[email protected] +1.212.553.9447

Aviral (Avi) Kumar Associate Financial Engineer [email protected] +1 212. 553. 3795

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CLO Deal & Manager Exposure Analysis by Industries Most Impacted Due to Coronavirus (COVID-19) This report shows the industry exposures on deals and managers across US and European collateralized loan obligations (CLOs) as of March 16, 2020.

We look at CLOs backed by broadly syndicated loans (BSLs) and small and medium enterprises (SMEs), as well as collateralized bond obligations (CBOs) that are not terminated, have one or more Trustee Reports published, and have a vintage between January 1, 2000 and March 16, 2020.

We are using Moody’s Most Common Industries from the underlying collateral data to capture the industry exposure and aggregate it on the deal and manager level. The Moody’s Most Common Industry is the Industry designation reported by most managers rather than the one reported by specific managers (a prior research report discusses Moody’s Most Common Industries in greater detail (https://sfportal.com/downloads/AnalyticalResearch/Selected%20vs%20Common%20Moodys%20Industry%20by%20manager%2011-26-18.pdf). All assets are assumed to be in the deal currency.

We then created a COVID-19 industry percentage comprising Energy: Oil & Gas; Automotive; Retail; Durable Consumer Goods; Hotel, Gaming, and Leisure; as well as Transportation. Our assumption is that these industries will be the most immediately and adversely affected during the pandemic. The Deal and Manager exposure tables are then sorted by the COVID-19 industry percentage.

While creating the Manager Exposure Analysis, we remove deals that have more than 10% of their collateral without a Moody’s Most Common Industry (see -% Most Common Industries), and deals that have more than 15% cash and less than 50 million par. These deals will mislead the manager aggregates. As a result, 25 US and 4 European deals were removed from the preceding analysis, respectively. Overall, we looked at 1,193 US BSLs, 98 US SMEs, 10 US CBOs, and 291 European CLOs.

Clients can access the underlying spreadsheet and modify the analysis. To see the spreadsheet, go to: https://sfportal.com/marketupdate/research

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https://sfportal.com/downloads/AnalyticalResearch/Selected%20vs%20Common%20Moodys%20Industry%20by%20manager%2011-26-18.pdf




https://sfportal.com/marketupdate/research



This article is authored and published by Moody’s Analytics, Inc. Moody’s Analytics, a unit of Moody’s Corporation, provides economic analysis, credit risk data and insight, as well as risk management solutions. Research authored by Moody’s Analytics does not reflect the opinions of Moody’s Investors Service, the credit rating agency. To avoid confusion, please use the full company name “Moody’s Analytics”, when citing views from Moody’s Analytics. Analytics does not provide investment advisory services or products. For further detail, please see the last page.


US Managers – BSL CLO:

Manager Number of

Deals Total Par COVID-19 Industry %

% Most Common Industries

BNP Paribas 2 369,787,854 32.60% 91.49% Western Asset Management Company 1 298,355,527 30.50% 88.83% Allianz Global Investors Capital LLC 3 590,189,369 29.29% 92.04% Loomis Sayles & Company LP 1 397,987,448 29.28% 99.26% ZAIS Group Inc. 10 4,429,155,338 29.19% 98.51% Deutsche Asset Management 2 426,483,134 28.71% 92.34% Z Capital Credit Partners LLC 3 1,066,937,357 28.61% 98.79% CFI Partners, LLC 4 1,838,436,251 28.34% 99.83% Credit Value Partners LLC 4 1,232,315,367 28.18% 93.68% First Eagle Investment Management 3 1,187,737,080 28.02% 96.76% Canaras Capital Management, LLC 4 1,451,450,786 27.30% 100.00% Ellington CLO Management LLC 4 1,757,349,614 26.88% 97.87% Sculptor Capital Management 22 11,307,297,491 26.31% 97.68% Nassau Corporate Credit LLC 6 2,886,185,037 26.01% 99.55% HarbourView Asset Management Corp. 1 399,332,511 25.97% 100.00% Carlson Capital, L.P. 5 2,041,784,423 24.76% 98.82% Telos Asset Management LLC 4 1,366,397,779 24.66% 96.20% Cutwater Investor Services 3 1,007,370,279 24.44% 95.86% Monroe Capital Management 1 315,177,255 24.02% 100.00% PPM America Inc. 3 1,199,574,655 23.97% 99.54% Park Avenue Institutional Advisers LLC 4 1,652,483,250 23.84% 98.75% Five Arrows Managers LLP 4 1,269,343,598 23.57% 97.94% Newfleet Asset Management LLC 1 349,929,682 23.37% 97.08% OFS Capital Management 4 1,111,912,507 23.18% 93.99% Medalist Partners Corporate Finance LLC 3 1,196,300,312 22.80% 99.70% Crestline Denali Capital LP 7 2,595,479,950 22.71% 96.01% Columbia Management Investment Advisors 4 2,168,517,656 22.70% 95.76% Marathon Asset Management LP 10 4,921,161,161 22.44% 98.90% LCM Asset Management LLC 19 9,100,542,424 21.91% 99.46% H.I.G. WhiteHorse Capital LLC 4 1,328,284,219 21.91% 92.89% Apex Credit Partners LLC 11 4,414,491,472 21.75% 97.32% Assurant CLO Management, LLC 4 1,780,271,813 21.72% 100.00% Par- Four Investment Management LLC 4 1,622,960,459 21.67% 98.39% Greywolf Capital Management LP 6 3,092,044,825 21.46% 100.00% Voya Investment Management (ING) 27 14,196,666,029 21.41% 99.79% York CLO Managed Holdings LLC 6 3,160,052,949 21.40% 99.82% Benefit Street Partners LLC 16 8,411,383,771 21.35% 99.50% Symphony Asset Management LLC 11 5,569,594,376 21.19% 97.31% Guggenheim Investment Management LLC 8 4,482,554,537 21.10% 98.01% BlueMountain Capital Management LLC 22 10,606,636,882 21.06% 99.40% Tortoise Credit Strategies, LLC 1 198,812,335 21.05% 91.94% CVC Credit Partners LLC 14 7,750,409,506 20.86% 98.65% AEGON USA Investment Management, LLC 9 4,133,255,108 20.84% 99.64% MJX Asset Management LLC 28 16,514,706,392 20.80% 99.77% Neuberger Berman Fixed Income LLC 22 10,797,786,299 20.77% 99.51% CarVal CLO Management, LLC 3 1,739,592,661 20.76% 100.00% TCI Capital Management LLC 5 2,552,057,236 20.66% 98.10% Canyon Capital Advisors LLC 10 4,432,191,598 20.54% 99.74% THL Credit Senior Loan Strategies LLC 20 10,693,075,165 20.51% 99.40% Gallatin Loan Management LLC 2 1,025,166,893 20.49% 97.45% DoubleLine Capital LP 5 1,967,480,104 20.46% 98.55% New York Life Investment Management LLC 4 1,637,686,798 20.44% 97.00%


Manager Number of



King Street Capital Management 7 3,586,312,466 20.34% 100.00% Black Diamond Capital Management LLC 5 1,771,475,834 20.29% 94.25% Brigade Capital Management LLC 10 4,704,045,716 20.18% 97.36% GoldenTree Asset Management LP 12 7,144,217,212 20.17% 95.56% PineBridge Investments LLC 12 5,549,605,692 20.06% 99.47% ArrowMark Colorado Holdings, LLC 12 4,148,185,595 20.02% 97.09% Kramer Van Kirk Credit Strategies LP 3 1,383,700,307 19.93% 97.83% CBAM CLO Management 11 9,895,572,853 19.91% 98.97% Ballyrock Investment Advisors LLC 4 1,656,026,547 19.83% 99.56% Octagon Credit Investors, LLC 31 17,959,848,425 19.66% 99.52% Kayne Anderson Capital Advisors, L.P. 6 2,403,747,985 19.61% 99.96% KKR Financial Advisors LLC 20 10,347,516,797 19.59% 99.57% Napier Park Global Capital, LLC 12 6,038,058,547 19.49% 99.87% Man Group plc 4 1,547,523,759 19.25% 97.79% Oak Hill Advisors LP 16 8,191,873,378 19.11% 96.31% Covenant Credit Partners, LLC 1 396,403,135 19.05% 100.00% Bardin Hill Loan Management LLC 13 4,181,186,347 19.05% 96.64% Allstate Investment Management Company 5 2,154,859,603 19.01% 99.07% American Money Management Corporation 11 4,706,379,228 19.00% 99.44% Pacific Asset Management 2 999,459,716 18.61% 99.45% Seix Investment Advisors LLC 8 3,293,166,925 18.58% 97.52% OakTree Capital Management LLC 9 5,471,937,063 18.51% 99.24% Carlyle Investment Management LLC 33 18,058,978,535 18.44% 96.40% AIG Global Investment Group 3 1,504,227,884 18.44% 99.70% GSO Capital Partners LP 1 483,851,087 18.33% 96.00% TIAA 4 1,798,512,470 18.22% 98.08% Ares Management, LLC 24 14,132,417,656 18.09% 99.52% Mariner Investment Group 7 3,504,181,825 17.96% 99.69% Credit Suisse Asset Management 35 25,150,315,849 17.78% 97.88% Barings LLC 16 7,506,549,660 17.67% 96.89% Crescent Capital Group LP 11 5,024,417,010 17.50% 99.53% CIFC Asset Management LLC 34 19,458,812,466 17.49% 98.51% PGIM 33 17,851,218,217 17.49% 99.74% Pretium Credit Management LLC 6 2,496,307,350 17.49% 98.61% Birch Grove Capital LP 1 406,867,136 17.37% 100.00% Shenkman Capital Management Inc. 8 3,599,020,317 17.32% 96.26% Onex Credit Partners LLC 14 7,828,184,627 17.25% 97.62% Steele Creek Investment Management 8 3,131,265,348 17.08% 97.82% DFG Investment Advisers Inc 9 4,396,253,377 17.08% 98.74% Highland Capital Management LP 11 2,143,446,705 17.04% 93.43% TCW Asset Management Company 5 1,851,925,319 17.04% 97.88% BlackRock Financial Management 13 7,422,548,421 16.92% 99.85% Saratoga Investment Corp 1 519,699,487 16.56% 100.00% Alcentra Inc. 11 5,304,430,611 16.47% 99.70% Trimaran Advisors LLC 8 3,760,223,089 16.44% 97.38% MidOcean Credit Fund Management LP 10 4,221,804,794 16.32% 97.99% HPS Investment Partners, LLC 15 7,572,911,496 16.26% 97.51% Tennenbaum Capital Partners, LLC 1 222,766,104 16.16% 100.00% Angelo, Gordon & Company LP 7 3,601,639,246 16.01% 96.79% Sound Point Capital Management LP 20 12,125,375,235 15.82% 98.24% Golub Capital Management LLC 11 5,503,111,206 15.42% 98.60% Invesco Inc. 11 5,310,146,006 15.33% 98.53% HalseyPoint Asset Management, LLC 1 471,762,537 15.23% 100.00% Investcorp B.S.C. 10 4,316,150,762 15.15% 98.82% Eaton Vance Management 5 2,159,206,903 15.06% 99.85%


Manager Number of



Anchorage Capital Group LLC 12 6,176,351,425 15.04% 99.63% Marble Point Credit Management LLC 10 4,611,245,438 14.93% 98.93% Principal Global Investors LLC 1 412,162,471 14.89% 100.00% Palmer Square Capital Management LLC 17 7,502,908,066 14.80% 97.75% Elmwood Asset Management LLC 3 2,003,909,414 14.79% 99.07% Bain Capital Credit 17 8,215,855,204 14.56% 98.80% GSO / Blackstone Debt Funds Management 34 19,630,216,853 14.52% 99.01% Tall Tree Investment Management LLC 3 1,165,090,491 14.44% 98.46% Trinitas Capital Management LLC 11 5,092,850,822 14.33% 98.31% TPG Capital 14 6,206,908,209 14.03% 99.44% Fortress Investment Group LLC 9 5,558,930,645 13.88% 97.99% AGL CLO Credit Management LLC 2 926,733,856 13.80% 100.00% Hayfin Capital Management LLP 4 1,964,415,044 13.20% 99.29% Apollo Credit Management LLC 14 9,831,134,164 13.19% 98.63% Garrison Capital LLC 3 1,199,545,613 13.15% 99.00% Partners Group 4 1,685,986,812 12.55% 100.00% 40/86 Advisors Inc. 4 1,238,355,095 12.44% 97.54% Intermediate Capital Group plc 11 4,493,719,983 11.59% 99.86% AXA Investment Managers 10 3,932,931,357 10.17% 97.38% Wellfleet Credit Partners LLC 11 4,566,610,066 8.60% 99.63%

Source: Moody’s Analytics Structured Finance Portal


US CLO - BSL Deals:

Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries

% Structured Industries % Cash

BNPP IP CLO 2014-1, Ltd. 160,119,663 33.94% 90.14% 0.00% 9.86% Flagship VII Limited 121,301,400 33.32% 91.91% 0.00% 8.09% Mountain Hawk II CLO, Ltd. 141,014,414 32.98% 84.49% 0.00% 15.51% Ocean Trails CLO IV 168,891,740 32.31% 93.56% 0.00% 6.44% Z Capital Credit Partners CLO 2018-1 Ltd. 354,496,831 31.36% 99.19% 0.00% 0.81% BNPP IP CLO 2014-II, Ltd. 209,668,191 31.27% 92.83% 0.00% 7.17% Zais CLO 13, Limited 407,287,250 30.95% 100.00% 0.00% 0.00% Blue Ridge CLO Ltd. II 292,223,027 30.65% 90.23% 0.00% 9.77% Mountain Hawk III CLO, 298,355,527 30.50% 88.83% 0.00% 11.17% West CLO 2014-2 Ltd. 266,131,933 30.19% 91.02% 0.00% 8.98% ZAIS CLO 8, Limited 456,839,383 29.79% 100.00% 0.00% 0.00%

ZAIS CLO 2, Limited 170,739,400 29.72% 0.000001% 88.60% 0.00% 11.40%

ZAIS CLO 3, Limited 506,772,680 29.71% 0.000000% 100.00% 0.00% 0.00% OFSI Fund VII Ltd. 213,026,726 29.66% 91.25% 0.00% 8.75%

Zais CLO 1, Limited 499,381,197 29.48% 0.000000% 96.49% 0.00% 3.51% Z Capital Credit Partners CLO 2015-1 Ltd. 381,793,456 29.43% 97.86% 0.00% 2.14% OZLM XII, Ltd. 541,990,480 29.42% 90.36% 0.00% 9.64% Blue Ridge CLO Ltd. I 176,966,806 29.40% 91.09% 0.00% 8.91% ZAIS CLO 6, Limited 505,457,381 29.38% 100.00% 0.00% 0.00% West CLO 2014-1 Ltd. 216,504,329 29.28% 97.05% 0.00% 2.95% Loomis Sayles CLO II, Ltd. 397,987,448 29.28% 99.26% 0.00% 0.74% ZAIS CLO 5, Limited 400,346,364 29.09% 100.00% 0.00% 0.00% Nassau 2017-II Ltd. 454,364,745 29.02% 100.00% 0.00% 0.00% OZLM XIII, Ltd. 492,288,706 28.97% 95.12% 0.00% 4.88% GoldenTree Credit Opportunities 2012-1 Financing, Limited 599,622,512 28.92% 90.00% 0.00% 10.00% Longfellow Place CLO Ltd 493,806,294 28.82% 99.20% 0.00% 0.80% CFIP CLO 2018-1, Ltd. 420,844,481 28.79% 99.62% 0.00% 0.38% CFIP CLO 2014-1, Ltd. 468,869,243 28.60% 99.74% 0.00% 0.26% West CLO 2013-1 Ltd 107,553,107 28.39% 88.05% 0.00% 11.95% ZAIS CLO 9, Limited 511,745,183 28.22% 100.00% 0.00% 0.00% ZAIS CLO 7, Limited 561,900,527 28.21% 100.00% 0.00% 0.00% Hull Street CLO, Ltd. 284,468,132 28.18% 91.09% 0.00% 8.91% Nassau 2017-I Ltd. 429,721,939 28.12% 99.97% 0.00% 0.03% Ellington CLO IV, Ltd. 471,916,442 28.06% 97.07% 0.00% 2.93% CFIP CLO 2013-1, Ltd. 468,651,205 28.01% 99.98% 0.00% 0.02% Saranac CLO VII Limited 345,791,905 27.98% 100.00% 0.00% 0.00% CFIP CLO 2017-1, Ltd. 480,071,322 27.96% 100.00% 0.00% 0.00% OZLM XV, Ltd. 402,711,069 27.95% 99.39% 0.00% 0.61%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


Ellington CLO II, Ltd. 454,338,527 27.70% 98.92% 0.00% 1.08% OFSI Fund VI, Ltd. 103,465,613 27.63% 88.65% 0.00% 11.35% OZLM XVI, Ltd. 407,156,011 27.62% 100.00% 0.00% 0.00% OZLM Funding, Ltd. 494,258,884 27.59% 97.83% 0.00% 2.17% OZLM XIV, Ltd. 497,272,336 27.47% 98.54% 0.00% 1.46% Saranac CLO III Limited 392,662,080 27.45% 100.00% 0.00% 0.00% ZAIS CLO 11, Limited 408,685,975 27.37% 100.00% 0.00% 0.00% OZLM Funding III, Ltd. 628,520,011 27.36% 97.18% 0.00% 2.82% OZLM XI, Ltd. 519,186,103 27.08% 99.41% 0.00% 0.59% Arch Street CLO, Ltd. 409,462,654 27.07% 100.00% 0.00% 0.00% Telos CLO 2014-6, Ltd. 268,288,769 27.01% 95.11% 0.00% 4.89% Saranac CLO VI Limited 360,557,971 27.00% 100.00% 0.00% 0.00% CVP CLO 2017-1, Ltd. 362,781,385 26.98% 96.69% 0.00% 3.31% SARANAC CLO V LIMITED 352,438,830 26.77% 100.00% 0.00% 0.00% THL Credit Wind River 2014-3 CLO Ltd. 401,753,840 26.73% 100.00% 0.00% 0.00% Whitehorse VIII, Ltd. 269,668,693 26.63% 91.52% 0.00% 8.48% OZLM XIX, Ltd. 599,316,983 26.60% 96.43% 0.00% 3.57% OZLM Funding IV, Ltd. 573,250,322 26.59% 97.29% 0.00% 2.71% OZLM Funding II, Ltd. 537,594,846 26.49% 97.19% 0.00% 2.81% OZLM VIII, LTD. 595,870,112 26.30% 97.31% 0.00% 2.69%

WhiteHorse VII, Ltd. 15,082,686 26.26% 0.000007% 100.00% 0.00% 0.00%

OZLM XXII, Ltd. 477,090,096 26.24% 0.000001% 96.61% 0.00% 3.39% Ellington CLO III, Ltd. 401,848,483 26.15% 96.29% 0.00% 3.71% Cutwater 2014-I, Ltd. 248,236,935 26.05% 95.70% 0.00% 4.30% Rockwall CDO II Ltd. 100,672,281 26.02% 93.52% 6.48% 0.00% HarbourView CLO VII-R, 399,332,511 25.97% 100.00% 0.00% 0.00% OZLM XXI, Ltd. 499,568,119 25.90% 97.77% 0.00% 2.23%

OZLM XVII, Ltd. 498,470,874 25.83% 0.000000% 97.57% 0.00% 2.43% Nassau 2018-II Ltd. 600,207,431 25.74% 100.00% 0.00% 0.00% CVP CLO 2017-2, LTD. 400,344,150 25.70% 96.69% 0.00% 3.31% Ellington CLO I, Ltd. 429,246,162 25.61% 99.20% 0.00% 0.80% Park Avenue Institutional Advisers CLO Ltd 2017-1 450,578,001 25.52% 98.11% 0.00% 1.89% OZLM XVIII, Ltd. 498,978,875 25.51% 96.57% 0.00% 3.43% Denali Capital CLO XI, Ltd. 326,822,284 25.46% 95.75% 0.00% 4.25% THL Credit WR 2014-3K CLO Ltd. 399,121,740 25.45% 100.00% 0.00% 0.00% Cutwater 2014-II, Ltd. 286,046,452 25.31% 91.88% 0.00% 8.12% OZLM IX, Ltd. 498,842,397 25.28% 100.00% 0.00% 0.00% Symphony CLO XV, Ltd. 601,649,839 25.22% 98.10% 0.00% 1.90% Cathedral Lake IV, Ltd. 398,202,757 25.20% 98.26% 0.00% 1.74% Cathedral Lake V, Ltd. 399,390,616 25.11% 97.98% 0.00% 2.02% Black Diamond CLO 2013-1 154,526,013 25.09% 0.000001% 94.72% 0.00% 5.28% Z Capital Credit Partners 330,647,071 25.03% 99.31% 0.00% 0.69%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


CLO 2019-1 Ltd. OZLM VII, Ltd. 590,874,548 24.92% 98.31% 0.00% 1.69% Silvermore CLO Ltd. 274,403,362 24.84% 100.00% 0.00% 0.00% OZLM VI, Ltd. 593,128,836 24.83% 97.17% 0.00% 2.83% Halcyon Loan Advisors Funding 2014-2 Ltd. 230,763,402 24.82% 92.44% 0.00% 7.56% BlueMountain CLO 2016-2 503,837,688 24.78% 100.00% 0.00% 0.00% Cathedral Lake II, Ltd. 397,445,684 24.77% 99.19% 0.00% 0.81% Telos CLO 2014-5 Ltd. 389,786,553 24.76% 96.32% 0.00% 3.68% Nassau 2018-I Ltd. 500,591,190 24.71% 100.00% 0.00% 0.00% OZLM XX, Ltd. 449,650,670 24.68% 98.93% 0.00% 1.07% Cathedral Lake III, Ltd. 399,905,446 24.58% 99.39% 0.00% 0.61% PPM CLO 3 Ltd. 400,044,809 24.44% 99.45% 0.00% 0.55% JFIN CLO 2014, Ltd. 315,514,016 24.35% 94.58% 0.00% 5.42% Columbia Cent CLO 28 449,486,824 24.33% 95.67% 0.00% 4.33% Marathon CLO 14 Ltd. 415,900,900 24.31% 100.00% 0.00% 0.00% Nassau 2019-II Ltd. 402,135,502 24.26% 98.12% 0.00% 1.88% PPM CLO 2018-1 Ltd. 399,604,415 24.23% 99.66% 0.00% 0.34% Nassau 2019-I Ltd. 499,164,229 24.23% 99.21% 0.00% 0.79%

Venture XVI CLO, Limited 494,162,589 24.21% 0.000000% 100.00% 0.00% 0.00% Park Avenue Institutional Advisers CLO Ltd 2019-1 400,418,643 24.19% 98.50% 0.00% 1.50% Cathedral Lake CLO 2013, 446,839,921 24.16% 99.26% 0.00% 0.74% Flagship CLO VIII, Ltd. 305,181,735 24.10% 92.77% 0.00% 7.23% LCM XXV Ltd. 447,282,018 24.06% 100.00% 0.00% 0.00% LCM XXII Ltd. 436,889,178 24.05% 99.23% 0.00% 0.77% Monroe Capital BSL CLO 2015-1, Ltd. 315,177,255 24.02% 100.00% 0.00% 0.00%

WhiteHorse X, Ltd. 375,654,160 23.98% 0.000000% 91.29% 0.00% 8.71% LCM XXI Limited Partnership 375,561,373 23.89% 99.73% 0.00% 0.27% Symphony CLO XIV, LTD. 619,254,049 23.82% 90.84% 0.00% 9.16% Bluemountain CLO 2018-2 495,864,121 23.82% 100.00% 0.00% 0.00% OZLM XXIV, Ltd. 406,934,502 23.75% 100.00% 0.00% 0.00% Park Avenue Institutional Advisers CLO Ltd 2016-1 400,959,088 23.68% 100.00% 0.00% 0.00% Telos CLO 2013-4, Ltd. 342,152,541 23.66% 97.45% 0.00% 2.55% Denali Capital CLO XII, Ltd. 347,853,645 23.62% 97.74% 0.00% 2.26% Benefit Street Partners CLO II, Ltd. 491,360,462 23.62% 100.00% 0.00% 0.00% BlueMountain CLO 2016-3 473,151,310 23.60% 100.00% 0.00% 0.00% JMP Credit Advisors CLO V 399,170,083 23.57% 100.00% 0.00% 0.00% LCM XXIII Ltd. 395,050,044 23.55% 99.92% 0.00% 0.08% THL Credit Wind River 2015-2 CLO Ltd. 376,113,710 23.50% 90.41% 0.00% 9.59% Denali Capital CLO X, Ltd. 337,515,848 23.48% 87.42% 0.00% 12.58%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


Apex Credit CLO 2015-II 406,628,790 23.48% 97.36% 0.00% 2.64%

Venture XIV CLO, Limited 590,354,985 23.40% 0.000000% 100.00% 0.00% 0.00% Crown Point CLO 6 Ltd. 367,752,608 23.40% 100.00% 0.00% 0.00% Newfleet CLO 2016-1, Ltd. 349,929,682 23.37% 97.08% 0.00% 2.92% Marathon CLO VI Ltd. 469,968,762 23.36% 100.00% 0.00% 0.00% Apex Credit CLO 2016 Ltd. 408,774,292 23.30% 100.00% 0.00% 0.00% Voya CLO 2019-1, Ltd. 407,216,533 23.27% 100.00% 0.00% 0.00% Canyon Capital CLO 2014-2,Ltd. 416,612,939 23.26% 100.00% 0.00% 0.00% PPM CLO 2 Ltd. 399,925,431 23.24% 99.50% 0.00% 0.50% BlueMountain CLO 2014-2 533,892,524 23.24% 99.99% 0.00% 0.01% Marathon CLO VII Ltd. 293,481,734 23.22% 89.43% 0.00% 10.57% Telos CLO 2013-3, Ltd. 366,169,915 23.22% 95.92% 0.00% 4.08% BlueMountain CLO 2015-1 328,023,202 23.20% 91.86% 0.00% 8.14% Ballyrock CLO 2016-1 Ltd. 349,276,794 23.13% 98.56% 0.00% 1.44% Halcyon Loan Advisors Funding 2013-2 Ltd. 150,780,104 23.12% 95.91% 0.00% 4.09% Symphony CLO XVIII, Ltd. 498,062,975 23.10% 99.90% 0.00% 0.10% Octagon Investment Partners XXIII, Ltd. 597,253,844 23.04% 100.00% 0.00% 0.00% Marathon CLO VIII Ltd. 459,713,052 23.03% 100.00% 0.00% 0.00% Voya CLO 2013-1, Ltd. 604,604,428 23.01% 100.00% 0.00% 0.00% York CLO-6 Ltd. 403,543,000 22.96% 100.00% 0.00% 0.00% Canyon Capital CLO 2014-1, Ltd. 400,095,628 22.90% 99.85% 0.00% 0.15% LCM XX Limited Partnership 497,311,012 22.89% 99.25% 0.00% 0.75% Voya CLO 2014-1, Ltd. 401,108,854 22.86% 100.00% 0.00% 0.00% Greywolf CLO II, Ltd. 403,558,509 22.86% 100.00% 0.00% 0.00% Symphony CLO XVII, Ltd. 502,855,635 22.85% 96.20% 0.00% 3.80% LCM XIV Limited Partnership 398,397,734 22.85% 99.59% 0.00% 0.41% Marathon CLO XIII Ltd. 524,029,767 22.84% 100.00% 0.00% 0.00% JFIN CLO 2015 Ltd. 429,232,717 22.84% 90.73% 0.00% 9.27% Parallel 2015-1 Ltd. 358,130,515 22.82% 93.54% 0.00% 6.46% APIDOS CLO XXVI 500,413,739 22.80% 98.00% 0.00% 2.00% Voya CLO 2013-3, Ltd. 427,224,706 22.77% 100.00% 0.00% 0.00% LCM XVII Limited Partnership 498,059,447 22.76% 99.28% 0.00% 0.72% Octagon Investment Partners 34, Ltd. 455,916,650 22.75% 100.00% 0.00% 0.00% Cent CLO 21 Limited 601,797,965 22.74% 96.64% 0.00% 3.36% Salem Fields CLO, Ltd. 442,892,655 22.73% 98.40% 0.00% 1.60% Assurant CLO IV, Ltd. 465,051,463 22.70% 100.00% 0.00% 0.00% Cent CLO 24 Limited 700,096,738 22.68% 93.54% 0.00% 6.46% JMP Credit Advisors CLO III(R) Ltd. 354,109,775 22.66% 99.47% 0.00% 0.53%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


Halcyon Loan Advisors Funding 2014-3 Ltd. 345,948,182 22.64% 94.61% 0.00% 5.39% Voya CLO 2015-3, Ltd. 805,269,804 22.63% 100.00% 0.00% 0.00% Benefit Street Partners 7 441,416,376 22.62% 92.01% 0.00% 7.99% Canyon Capital CLO 2015-1, Ltd. 435,457,175 22.60% 100.00% 0.00% 0.00% JFIN CLO 2014-II Ltd. 356,432,186 22.59% 87.79% 0.00% 12.21% Voya CLO 2015-2, Ltd. 552,237,813 22.59% 100.00% 0.00% 0.00% Voya CLO 2016-3, Ltd. 601,151,445 22.58% 100.00% 0.00% 0.00% OZLM XXIII, Ltd. 504,342,711 22.52% 100.00% 0.00% 0.00% Apex Credit CLO 2017 LTD. 464,836,011 22.51% 100.00% 0.00% 0.00%

Venture XII CLO, Limited 543,749,217 22.44% 0.000000% 100.00% 0.00% 0.00% TCI-Symphony CLO 2016-1 501,729,644 22.43% 99.60% 0.00% 0.40% Crestline Denali CLO XIV 388,423,135 22.40% 97.78% 0.00% 2.22% Octagon Investment Partners 36, Ltd. 511,430,254 22.39% 100.00% 0.00% 0.00% Babson CLO Ltd. 2014-I 261,843,873 22.38% 85.62% 0.00% 14.38% Voya CLO 2014-4, Ltd. 510,004,037 22.37% 100.00% 0.00% 0.00% Cedar Funding IX CLO, Ltd. 501,842,415 22.36% 99.88% 0.00% 0.12% Apidos CLO XVIII-R 600,281,932 22.35% 98.79% 0.00% 1.21% Benefit Street Partners CLO IV, Ltd. 501,347,240 22.35% 100.00% 0.00% 0.00% Halcyon Loan Advisors Funding 2014-1 Ltd. 161,269,192 22.35% 95.84% 0.00% 4.16% Apidos CLO XI 408,891,215 22.31% 100.00% 0.00% 0.00% Octagon Investment Partners 28, Ltd. 699,288,977 22.31% 98.97% 0.00% 1.03% Tralee CLO IV, Ltd. 407,040,495 22.30% 100.00% 0.00% 0.00% Voya CLO 2013-2, Ltd. 450,765,244 22.30% 100.00% 0.00% 0.00% Crestline Denali CLO XV, 397,823,593 22.29% 97.80% 0.00% 2.20% Marathon CLO IX Ltd. 632,966,005 22.29% 100.00% 0.00% 0.00% Greywolf CLO IV, Ltd. (Re-issue) 505,185,867 22.28% 100.00% 0.00% 0.00% NZCG Funding Ltd. 875,053,429 22.27% 96.17% 0.00% 3.83% Voya CLO 2012-4, Ltd. 402,412,144 22.26% 100.00% 0.00% 0.00% LCM XIII Limited Partnership 495,050,973 22.24% 99.29% 0.00% 0.71% Venture XV CLO, Limited 606,173,461 22.24% 100.00% 0.00% 0.00% Apidos CLO XII 500,617,665 22.22% 98.96% 0.00% 1.04% Tralee CLO V, Ltd. 399,489,102 22.21% 99.65% 0.00% 0.35% Venture XXV CLO, Limited 626,481,838 22.20% 100.00% 0.00% 0.00% Catamaran CLO 2014-2 292,323,398 22.19% 94.71% 0.00% 5.29% Benefit Street Partners CLO VIII, Ltd. 567,918,801 22.18% 100.00% 0.00% 0.00%

Venture XVII CLO, Limited 697,624,992 22.18% 0.000000% 100.00% 0.00% 0.00% Neuberger Berman CLO XXIII, Ltd. 398,150,020 22.17% 99.09% 0.00% 0.91%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


Neuberger Berman CLO XXII, Ltd. 397,498,742 22.17% 99.27% 0.00% 0.73% JMP Credit Advisors CLO IV 443,020,454 22.16% 99.63% 0.00% 0.37% Voya CLO 2014-2, Ltd. 507,430,802 22.16% 99.34% 0.00% 0.66% Assurant CLO II, Ltd. 431,732,229 22.16% 100.00% 0.00% 0.00% THL Credit Wind River 2016-1 CLO Ltd. 599,295,438 22.15% 100.00% 0.00% 0.00% TCI-Symphony CLO 2017-1 652,273,662 22.12% 98.91% 0.00% 1.09% Marathon CLO X Ltd. 539,087,172 22.10% 100.00% 0.00% 0.00% THL Credit Wind River 2019-1 CLO Ltd. 504,343,705 22.10% 100.00% 0.00% 0.00% Cent CLO 19 Limited 237,802,762 22.07% 83.57% 0.00% 16.43% CBAM 2019-11, Ltd. 509,589,180 22.05% 100.00% 0.00% 0.00% LCM XV Limited Partnership 593,105,526 22.03% 99.21% 0.00% 0.79% Battalion CLO VIII Ltd. 500,693,166 22.03% 99.79% 0.00% 0.21%

Venture XXI CLO, Limited 665,525,652 22.02% 0.000000% 97.43% 0.00% 2.57% Benefit Street Partners CLO X, Ltd. 501,696,509 22.01% 100.00% 0.00% 0.00% Cutwater 2015-I, Ltd. 473,086,893 21.97% 100.00% 0.00% 0.00% Octagon Investment Partners 39, Ltd. 606,969,347 21.96% 100.00% 0.00% 0.00% Benefit Street Partners CLO V-B, Ltd. 499,775,216 21.96% 100.00% 0.00% 0.00% Flatiron CLO 2015-1, Ltd. 337,619,748 21.95% 94.74% 0.00% 5.26% Park Avenue Institutional Advisers CLO Ltd 2018-1 400,527,519 21.95% 98.38% 0.00% 1.62% Crestline Denali CLO XVI, 398,745,176 21.93% 97.53% 0.00% 2.47% Greywolf CLO V, Ltd. 711,387,329 21.90% 100.00% 0.00% 0.00% Benefit Street Partners CLO VI, Ltd. 632,864,104 21.90% 100.00% 0.00% 0.00% Voya CLO 2017-2, Ltd. 600,216,523 21.89% 99.44% 0.00% 0.56% Canyon CLO 2016-2, Ltd. 449,163,525 21.88% 99.89% 0.00% 0.11% Voya CLO 2018-4, Ltd. 407,487,713 21.87% 100.00% 0.00% 0.00% Neuberger Berman CLO XVIII, Ltd. 500,158,370 21.86% 100.00% 0.00% 0.00% Neuberger Berman CLO XV, Ltd. 394,775,153 21.80% 100.00% 0.00% 0.00% Neuberger Berman Loan Advisers CLO 29, Ltd. 508,101,949 21.80% 100.00% 0.00% 0.00% Battalion CLO IX Ltd. 504,912,239 21.78% 99.34% 0.00% 0.66% GoldenTree Loan Management US CLO 1, Ltd. 697,899,672 21.78% 97.08% 0.00% 2.92%

Venture XIII CLO, Limited 587,280,230 21.77% 0.000000% 100.00% 0.00% 0.00% LCM XIX Limited Partnership 591,286,666 21.77% 99.27% 0.00% 0.73%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


Elevation CLO 2016-5, Ltd. 348,519,106 21.77% 99.93% 0.00% 0.07% Canyon CLO 2016-1, Ltd. 450,014,903 21.76% 99.19% 0.00% 0.81% Apex Credit CLO 2017-II 463,734,936 21.74% 100.00% 0.00% 0.00% BlueMountain CLO 2016-1 418,668,328 21.73% 96.81% 0.00% 3.19% Madison Park Funding XV, 499,039,594 21.72% 93.73% 0.00% 6.27% Apidos CLO XX 502,736,317 21.71% 100.00% 0.00% 0.00% Carlyle Global Market Strategies CLO 2015-1, Ltd. 483,637,648 21.71% 96.93% 0.00% 3.07% Venture XXVI CLO, Limited 547,501,194 21.68% 0.000001% 100.00% 0.00% 0.00% LCM Loan Income Fund I 239,848,900 21.66% 99.49% 0.00% 0.51% Voya CLO 2015-1, Ltd. 600,737,982 21.66% 100.00% 0.00% 0.00% Voya CLO 2016-1, Ltd. 417,513,397 21.64% 100.00% 0.00% 0.00% BlueMountain CLO 2018-3 596,392,020 21.64% 100.00% 0.00% 0.00% Voya CLO 2014-3, Ltd. 303,557,597 21.62% 98.47% 0.00% 1.53% CarVal CLO III Ltd. 503,363,201 21.62% 100.00% 0.00% 0.00% Carlyle C17 CLO, Ltd. 400,188,523 21.61% 97.90% 0.00% 2.10% Venture XXIV CLO, Limited 546,984,848 21.60% 0.000000% 100.00% 0.00% 0.00% Neuberger Berman CLO XIX, Ltd. 395,804,095 21.59% 98.14% 0.00% 1.86% BlueMountain CLO 2012-2 597,341,693 21.59% 100.00% 0.00% 0.00% York CLO-4 Ltd. 400,809,776 21.58% 100.00% 0.00% 0.00% Benefit Street Partners CLO XV, Ltd. 505,075,173 21.57% 100.00% 0.00% 0.00% LCM XVIII Limited Partnership 588,139,112 21.57% 99.23% 0.00% 0.77% Neuberger Berman Loan Advisers CLO 30, Ltd. 510,979,087 21.57% 100.00% 0.00% 0.00% Neuberger Berman CLO XXI, Ltd. 398,272,786 21.53% 100.00% 0.00% 0.00% Rockford Tower CLO 2019-1, Ltd. 512,853,423 21.53% 100.00% 0.00% 0.00% Battalion CLO VII Ltd. 403,505,352 21.51% 87.32% 0.00% 12.68%

Venture XX CLO, Limited 514,987,669 21.50% 0.000000% 96.18% 0.00% 3.82% Auburn CLO, Ltd. 501,614,959 21.49% 98.82% 0.00% 1.18% Marathon CLO XI Ltd. 561,739,544 21.48% 100.00% 0.00% 0.00% Cedar Funding X CLO, Ltd. 403,049,903 21.46% 100.00% 0.00% 0.00% Elevation CLO 2018-9, Ltd. 365,318,485 21.46% 98.14% 0.00% 1.86% KKR CLO 16 Ltd. 703,356,885 21.45% 100.00% 0.00% 0.00% LCM 28 Ltd. 401,216,608 21.44% 99.73% 0.00% 0.27% Trinitas CLO II, Ltd. 206,893,903 21.43% 94.26% 0.00% 5.74% Marathon CLO XII Ltd. 474,133,533 21.43% 100.00% 0.00% 0.00% York CLO-1 Ltd. 499,646,123 21.43% 99.57% 0.00% 0.43% Benefit Street Partners CLO XI, Ltd. 602,305,899 21.42% 100.00% 0.00% 0.00%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


Galaxy XXII CLO, Ltd. 402,378,483 21.42% 100.00% 0.00% 0.00% CIFC Loan Opportunity Fund Ltd. 175,784,766 21.41% 100.00% 0.00% 0.00% Assurant CLO I, Ltd. 414,262,106 21.36% 100.00% 0.00% 0.00% Brigade Debt Funding I, Ltd. 409,130,021 21.35% 97.60% 0.00% 2.40% Oaktree CLO 2015-1 Ltd. 497,074,615 21.35% 93.13% 0.00% 6.87% Octagon Investment Partners 25, Ltd. 898,635,356 21.35% 88.08% 0.00% 11.92% THL Credit Wind River 2013-2 CLO Ltd. 491,567,102 21.34% 100.00% 0.00% 0.00% Carlyle Global Market Strategies CLO 2014-2-R, 594,905,613 21.33% 95.06% 0.00% 4.94% Canyon Capital CLO 2012-1 R, Ltd. 449,724,944 21.32% 99.37% 0.00% 0.63% Apidos CLO XV 500,948,733 21.31% 99.35% 0.00% 0.65% KKR CLO 13 Ltd. 403,264,104 21.29% 100.00% 0.00% 0.00% Neuberger Berman Loan Advisers CLO 27, Ltd. 504,561,552 21.29% 100.00% 0.00% 0.00% Voya CLO 2016-2, Ltd. 402,984,940 21.28% 100.00% 0.00% 0.00% Voya CLO 2019-2, Ltd. 408,438,428 21.26% 100.00% 0.00% 0.00% LCM 26 Ltd. 598,149,051 21.26% 99.29% 0.00% 0.71% Symphony CLO XVI, Ltd. 401,291,083 21.26% 98.77% 0.00% 1.23% Benefit Street Partners CLO III, Ltd. 496,313,528 21.24% 100.00% 0.00% 0.00% CarVal CLO I Ltd. 505,870,777 21.23% 100.00% 0.00% 0.00% Rockford Tower CLO 2017-3, Ltd. 511,117,239 21.21% 100.00% 0.00% 0.00% Neuberger Berman CLO XX, Ltd. 495,957,460 21.21% 96.11% 0.00% 3.89% Battalion CLO XII Ltd. 600,987,644 21.21% 99.99% 0.00% 0.01% Octagon Investment Partners 29, Ltd. 499,078,836 21.20% 98.08% 0.00% 1.92% THL Credit Wind River 2014-2 CLO Ltd. 600,856,980 21.17% 99.79% 0.00% 0.21% BlueMountain CLO XXV 500,345,361 21.17% 100.00% 0.00% 0.00% Tralee CLO III, Ltd. 420,784,223 21.15% 93.90% 0.00% 6.10% York CLO-2 Ltd. 701,946,473 21.14% 99.33% 0.00% 0.67% York CLO-3 Ltd. 651,884,125 21.13% 100.00% 0.00% 0.00% Oaktree CLO 2014-1 Ltd. 436,941,678 21.10% 100.00% 0.00% 0.00% Elevation CLO 2017-7, Ltd. 447,919,875 21.09% 97.66% 0.00% 2.34% THL Credit Wind River 2018-2 CLO Ltd. 600,571,878 21.06% 99.88% 0.00% 0.12% B&M CLO 2014-1, Ltd. 198,812,335 21.05% 91.94% 0.00% 8.06% Columbia Cent CLO 27 Limited 417,136,129 21.04% 97.19% 0.00% 2.81% Ocean Trails CLO VI 299,703,869 21.03% 98.20% 0.00% 1.80% Staniford Street CLO, Ltd. 167,903,737 21.01% 82.03% 0.00% 17.97%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


Tralee CLO II, Ltd. 395,646,638 21.01% 100.00% 0.00% 0.00% Greywolf CLO VI, Ltd. 508,911,259 21.00% 100.00% 0.00% 0.00% Elevation CLO 2017-8, Ltd. 398,103,755 20.99% 98.84% 0.00% 1.16% AMMC CLO XIII, Limited 395,226,408 20.98% 99.74% 0.00% 0.26% One Eleven Funding I, Ltd. 655,400,061 20.97% 95.83% 0.00% 4.17% Galaxy XXIV CLO, Ltd. 499,999,051 20.96% 100.00% 0.00% 0.00%

Venture XVIII CLO, Limited 613,660,274 20.96% 0.000000% 100.00% 0.00% 0.00% Gallatin CLO VIII 2017-1, 599,286,420 20.95% 97.56% 0.00% 2.44% KKR CLO 21 Ltd. 599,077,356 20.94% 99.48% 0.00% 0.52% Neuberger Berman Loan Advisers CLO 28, Ltd. 509,228,245 20.94% 100.00% 0.00% 0.00% Galaxy XXI CLO, Ltd. 405,128,659 20.94% 100.00% 0.00% 0.00% Voya CLO 2017-1, LTD. 504,068,362 20.93% 100.00% 0.00% 0.00% Neuberger Berman Loan Advisers CLO 31, Ltd. 511,169,888 20.93% 100.00% 0.00% 0.00%

1828 CLO Ltd. 399,153,328 20.92% 0.000000% 97.79% 0.00% 2.21% Atlas Senior Loan Fund IX, 397,699,100 20.92% 96.28% 0.00% 3.72% Cedar Funding VII CLO, Ltd. 501,294,893 20.91% 99.76% 0.00% 0.24% THL Credit Wind River 2017-1 CLO Ltd. 603,341,579 20.91% 100.00% 0.00% 0.00% Neuberger Berman Loan Advisers CLO 26, Ltd. 550,846,181 20.89% 100.00% 0.00% 0.00% Voya CLO 2016-4, Ltd. 700,110,693 20.88% 100.00% 0.00% 0.00% Greywolf CLO VII, Ltd. 456,303,714 20.86% 100.00% 0.00% 0.00% Mercer Field II CLO Ltd. 869,493,611 20.85% 97.24% 0.00% 2.76% BlueMountain CLO 2015-3 449,067,962 20.85% 99.60% 0.00% 0.40%

Venture XXIII CLO, Limited 418,262,813 20.85% 0.000000% 100.00% 0.00% 0.00% Apex Credit CLO 2018-II 412,096,671 20.84% 100.00% 0.00% 0.00% LCM XXIV Ltd. 595,334,937 20.83% 99.39% 0.00% 0.61% Kayne CLO III, Ltd. 451,787,648 20.83% 100.00% 0.00% 0.00% AMMC CLO 18, Limited 398,511,073 20.83% 99.83% 0.00% 0.17% Ocean Trails CLO VII 401,179,604 20.82% 100.00% 0.00% 0.00% Benefit Street Partners CLO XVIII, Ltd. 517,862,601 20.82% 100.00% 0.00% 0.00% THL Credit Wind River 2015-1 CLO Ltd. 601,662,653 20.81% 99.93% 0.00% 0.07% Apidos CLO XXV 702,636,075 20.81% 97.09% 0.00% 2.91% Kayne CLO 4, Ltd. 301,270,527 20.81% 100.00% 0.00% 0.00% Venture 28A CLO, Limited 440,657,832 20.79% 100.00% 0.00% 0.00% Elevation CLO 2013-1, Ltd. (FKA Arrowpoint CLO 2013-1, Ltd.) 355,299,906 20.76% 98.61% 0.00% 1.39% Seven Sticks CLO Ltd. 400,244,830 20.76% 97.89% 0.00% 2.11% Cedar Funding V CLO, Ltd. 400,109,775 20.76% 99.51% 0.00% 0.49% WhiteHorse XII Ltd. 451,154,040 20.75% 99.52% 0.00% 0.48% LCM XVI Limited 698,864,766 20.75% 99.21% 0.00% 0.79%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


Partnership Neuberger Berman CLO XVII, Ltd. 542,774,803 20.74% 100.00% 0.00% 0.00% Cedar Funding VI CLO, Ltd. 499,831,124 20.72% 99.94% 0.00% 0.06% Galaxy XXVI CLO, Ltd. 451,962,891 20.70% 100.00% 0.00% 0.00% Elevation CLO 2014-2, Ltd. 494,875,218 20.70% 96.17% 0.00% 3.83% Regatta XII Funding Ltd. 411,314,080 20.69% 100.00% 0.00% 0.00% KKR CLO 17 Ltd. 598,635,944 20.69% 98.93% 0.00% 1.07% Neuberger Berman Loan Advisers CLO 24, Ltd. 498,227,061 20.68% 99.51% 0.00% 0.49% Assurant CLO III, Ltd. 469,226,015 20.68% 100.00% 0.00% 0.00% Ballyrock CLO 2018-1 Ltd. 500,107,973 20.66% 100.00% 0.00% 0.00% Cedar Funding XI CLO, Ltd. 399,942,157 20.65% 99.61% 0.00% 0.39% Peaks CLO 3, Ltd. 149,380,286 20.59% 98.13% 0.00% 1.87% Cedar Funding II CLO Ltd. 349,312,033 20.59% 99.12% 0.00% 0.88% Parallel 2017-1 Ltd. 401,146,287 20.59% 99.22% 0.00% 0.78% Apidos CLO XXI 497,590,379 20.58% 97.80% 0.00% 2.20% GoldenTree Loan Management US CLO 3, 699,186,221 20.57% 96.57% 0.00% 3.43% Benefit Street Partners CLO XIV, Ltd. 533,288,037 20.57% 100.00% 0.00% 0.00% ARES XXXIV CLO Ltd. 716,332,102 20.56% 93.17% 0.00% 6.83% Rockford Tower CLO 2017-1, Ltd. 509,986,471 20.53% 100.00% 0.00% 0.00% BlueMountain CLO 2015-4 497,766,221 20.52% 99.65% 0.00% 0.35% CBAM 2019-9, Ltd. 600,432,633 20.52% 99.25% 0.00% 0.75% Neuberger Berman CLO XVI-S, Ltd. 547,947,440 20.51% 97.10% 0.00% 2.90% CBAM 2017-2, Ltd. 1,560,313,267 20.51% 97.02% 0.00% 2.98% Galaxy XXVII CLO, Ltd. 398,677,581 20.50% 100.00% 0.00% 0.00% Flatiron CLO 17 Ltd. 399,342,496 20.47% 97.08% 0.00% 2.92%

Peaks CLO 1, Ltd. 139,147,478 20.46% 0.606650% 99.90% 0.00% 0.10% Octagon Investment Partners 20-R, Ltd. 503,304,656 20.43% 100.00% 0.00% 0.00% Octagon Investment Partners 31, Ltd. 552,399,575 20.42% 100.00% 0.00% 0.00% BlueMountain CLO 2018-1 456,328,384 20.40% 100.00% 0.00% 0.00% LCM 27 Ltd. 449,262,532 20.40% 99.31% 0.00% 0.69% Carlyle Global Market Strategies CLO 2016-2, Ltd. 498,868,901 20.39% 95.99% 0.00% 4.01%

CBAM 2017-1, Ltd. 1,254,222,581 20.38% 0.001441% 97.40% 0.00% 2.60% Kayne CLO II, Ltd. 403,573,559 20.37% 100.00% 0.00% 0.00% BlueMountain CLO XXVI 501,889,429 20.36% 100.00% 0.00% 0.00% CBAM 2018-8, Ltd. 504,767,365 20.36% 100.00% 0.00% 0.00% Marathon CLO V Ltd. 550,140,691 20.36% 99.57% 0.00% 0.43% THL Credit Wind River 448,657,575 20.35% 100.00% 0.00% 0.00%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


2013-1 CLO Ltd. KKR CLO 11 Ltd. 547,783,595 20.32% 99.96% 0.00% 0.04% LCM 29 Ltd. 400,580,735 20.32% 99.59% 0.00% 0.41% Octagon Investment Partners 37, Ltd. 611,871,615 20.31% 100.00% 0.00% 0.00% Kayne CLO I, Ltd. 405,946,856 20.30% 100.00% 0.00% 0.00% Neuberger Berman CLO XIV, Ltd. 397,966,607 20.29% 100.00% 0.00% 0.00% BlueMountain CLO XXII 400,622,090 20.28% 100.00% 0.00% 0.00% Voya CLO 2017-3, Ltd. 603,712,531 20.28% 100.00% 0.00% 0.00% Galaxy XXIII CLO, Ltd. 395,315,244 20.27% 97.85% 0.00% 2.15% KVK CLO 2013-1 Ltd. 452,184,140 20.27% 94.56% 0.00% 5.44% Carlyle Global Market Strategies CLO 2014-1, LTD 693,625,676 20.25% 94.20% 0.00% 5.80% BlueMountain CLO 2013-1 495,491,091 20.24% 100.00% 0.00% 0.00% GoldenTree Loan Management US CLO 5, 600,399,471 20.23% 99.22% 0.00% 0.78% Neuberger Berman Loan Advisers CLO 25, Ltd. 506,975,309 20.23% 100.00% 0.00% 0.00% Parallel 2018-1 Ltd. 401,977,365 20.23% 100.00% 0.00% 0.00% BlueMountain Fuji US CLO III Ltd. 401,202,927 20.23% 100.00% 0.00% 0.00% Venture XXVIII CLO, Limited 590,656,047 20.21% 0.000000% 100.00% 0.00% 0.00% CIFC Funding 2015-II, Ltd. 422,757,017 20.21% 93.55% 0.00% 6.45% California Street CLO XII, Ltd. (fka Symphony CLO XII, Ltd.) 542,194,385 20.20% 90.54% 0.00% 9.46% Battalion CLO XIV Ltd. 501,677,160 20.20% 98.39% 0.00% 1.61% OHA Credit Partners X-R, 599,081,012 20.17% 96.98% 0.00% 3.02% California Street CLO IX Limited Partnership (f/k/a Symphony CLO IX Limited Partnership) 591,690,363 20.17% 98.34% 0.00% 1.66% York CLO-5 Ltd. 502,223,453 20.16% 100.00% 0.00% 0.00%

Venture 31 CLO, Limited 831,215,470 20.14% 0.000000% 100.00% 0.00% 0.00% BlueMountain Fuji US CLO II Ltd. 549,935,171 20.14% 99.62% 0.00% 0.38% Cedar Funding IV CLO, Ltd. 578,241,362 20.13% 99.50% 0.00% 0.50% Oaktree CLO 2019-1 Ltd. 778,602,980 20.12% 100.00% 0.00% 0.00% Ocean Trails CLO V 399,568,385 20.12% 100.00% 0.00% 0.00% OHA Credit Funding 1, Ltd. 499,592,071 20.12% 95.94% 0.00% 4.06% Symphony CLO XXI, Ltd. 400,012,441 20.11% 99.83% 0.00% 0.17% AMMC CLO 15, Limited 440,245,885 20.10% 99.29% 0.00% 0.71% Brigade Debt Funding II, 323,398,711 20.08% 96.84% 0.00% 3.16%

Venture 32 CLO, Limited 630,611,276 20.08% 0.000000% 100.00% 0.00% 0.00% Octagon Investment 694,116,445 20.08% 100.00% 0.00% 0.00%


Deal Par COVID-19

Industry %

% Without a Most

Common Industry

% Most Common

Industries


Partners XXII, Ltd. GoldenTree Loan Management US CLO 2, 723,869,067 20.07% 95.53% 0.00% 4.47% OHA Credit Partners XII, 597,752,169 20.06% 95.69% 0.00% 4.31% Rockford Tower CLO 2018-1, Ltd. 510,335,933 20.06% 100.00% 0.00% 0.00% Octagon Investment Partners 32, Ltd. 511,794,619 20.05% 100.00% 0.00% 0.00% Neuberger Berman Loan Advisers CLO 32, Ltd. 611,147,197 20.05% 100.00% 0.00% 0.00%

Venture XXVII CLO, 616,146,489 20.05% 0.000000% 100.00% 0.00% 0.00% Octagon Investment Partners 40, Ltd. 611,973,758 20.05% 100.00% 0.00% 0.00% Regatta XVI Funding Ltd. 607,257,650 20.04% 100.00% 0.00% 0.00% KKR CLO 15 Ltd. 403,295,762 20.04% 100.00% 0.00% 0.00% Benefit Street Partners CLO IX, Ltd. 404,747,040 20.04% 100.00% 0.00% 0.00% Gallatin CLO IX 2018-1, 425,880,473 20.03% 97.33% 0.00% 2.67% Galaxy XXV CLO, Ltd. 502,762,910 20.03% 100.00% 0.00% 0.00% Guggenheim CLO 2019-1, 402,006,601 20.02% 98.87% 0.00% 1.13% Octagon Investment Partners XXI, Ltd. 750,441,136 20.02% 100.00% 0.00% 0.00% Madison Park Funding XXV, 601,803,745 20.02% 97.92% 0.00% 2.08% AIMCO CLO 10, Ltd. 453,389,865 20.01% 100.00% 0.00% 0.00%

Venture XXII CLO, Limited 613,794,715 20.00% 0.000000% 100.00% 0.00% 0.00%


The table above shows only deals with a COVID-19 industry percentage of 20% or more. Numbers that display as zero are rounded to that number. Blanks are exactly 0%. To see the full set of deals, portal clients can go to: https://sfportal.com/marketupdate/research




US Managers – SME CLO:

Manager Number of Deals Total Par

COVID-19 Industry %


Garrison Capital LLC 2 721,017,416 25.93% 95.55% ArrowMark Colorado Holdings, LLC 1 148,995,039 23.60% 98.93% GSO Capital Partners LP 1 577,464,029 22.44% 93.05% Cerberus Capital Management LP 12 4,339,095,924 20.38% 99.21% Guggenheim Investment Management 1 411,114,886 19.45% 97.62% FS KKR Capital Corp. 1 511,062,505 18.55% 97.75% Tennenbaum Capital Partners, LLC 2 693,207,240 17.82% 96.34% First Eagle Investment Management 7 2,391,020,484 17.81% 96.14% Golub Capital Management LLC 16 11,334,586,756 16.76% 97.21% Fortress Investment Group LLC 4 3,278,141,837 16.21% 97.78% Ares Management, LLC 5 2,513,584,630 16.12% 94.12% Nuveen Fund Advisors, LLC. 2 710,761,948 14.92% 91.53% BMO Asset Management Corp. 2 740,583,569 14.10% 99.65% Monroe Capital Management 7 2,753,230,059 12.84% 98.53% Apollo Credit Management LLC 6 3,516,391,364 12.10% 98.33% Antares Capital Advisers LLC 5 6,108,652,394 11.87% 98.90% NXT Capital Investment Advisers LLC 1 317,805,749 9.50% 96.96% New York Life Investment Management LLC

6 2,117,094,814 7.01% 95.56%

KCAP Financial 1 298,196,850 6.93% 95.54% Middle Market Credit Fund 1 237,798,103 6.51% 95.11% THL Credit Senior Loan Strategies LLC 1 400,644,933 6.19% 98.43% Barings LLC 2 909,663,126 6.07% 98.68% Vista Credit Opportunities Management 1 301,796,963 0.95% 99.55% Global Leveraged Capital LLC 1 70,152,373 0.00% 99.60%



US CLO - SME Deals:

Deal Par COVID-19

Industry %

% Without a Most

Common Ind

% Most Common

Industries


Garrison Funding 2018-1 LP 352,473,028 28.28% 97.74% 0.00% 2.26% Cerberus Loan Funding XV L.P. 159,557,699 25.94% 100.00% 0.00% 0.00% Cerberus AUS Levered II LP 64,075,061 24.19% 98.86% 0.00% 1.14% Cerberus Loan Funding XVIII L.P. 497,504,038 23.67% 99.33% 0.00% 0.67% Peaks CLO 2, Ltd. 148,995,039 23.60% 98.93% 0.00% 1.07% Garrison Funding 2018-2 Ltd. 368,544,389 23.58% 3.61% 93.36% 0.00% 6.64% Cerberus Loan Funding XXI L.P. 506,215,215 23.26% 99.70% 0.00% 0.30% Cerberus Loan Funding XIX L.P. 299,357,186 23.26% 98.69% 0.00% 1.31% Cerberus Loan Funding XVII 343,504,341 22.62% 99.57% 0.00% 0.43% Diamond CLO 2019-1 Ltd. 577,464,029 22.44% 4.96% 93.05% 0.99% 5.96% Golub Capital Partners CLO 24(M)-R, Ltd.

807,988,917 21.50% 3.52% 96.58% 0.00% 3.42%

Golub Capital Partners CLO 34(M), Ltd.

509,786,026 20.45% 98.11% 0.00% 1.89%

Cerberus Loan Funding XXII L.P. 289,760,673 20.33% 98.53% 0.00% 1.47% TCP Waterman CLO, LLC 348,472,331 20.30% 0.47% 96.78% 0.00% 3.22% Newstar Berkeley Fund CLO LLC 496,674,448 20.21% 94.76% 0.00% 5.24% Guggenheim MM CLO 2018-1, Ltd.

411,114,886 19.45% 1.43% 97.62% 2.38% 0.00%

NewStar Clarendon Fund CLO LLC

290,608,341 19.40% 97.58% 0.00% 2.42%

FS KKR MM CLO 1 LLC 511,062,505 18.55% 8.88% 97.75% 2.19% 0.06% Cerberus Loan Funding XXV LP 552,872,904 18.42% 99.04% 0.00% 0.96% Golub Capital Partners CLO 30(M), LTD.

470,534,687 18.16% 96.47% 0.00% 3.53%

NewStar Commercial Loan Funding 2016-1 LLC

326,250,954 17.68% 96.72% 0.00% 3.28%

NewStar Exeter Fund CLO LLC 199,959,772 17.58% 98.30% 0.00% 1.70% Ivy Hill Middle Market Credit Fund IX, Ltd.

323,340,434 17.54% 93.66% 1.12% 5.22%

Golub Capital BDC CLO 2014 LLC

260,922,796 17.51% 96.41% 0.00% 3.59%

Cerberus Loan Funding XXIII L.P. 430,050,040 17.49% 99.55% 0.00% 0.45% Ivy Hill Middle Market Credit Fund XIV, Ltd.

1,007,719,320 17.45% 92.07% 1.40% 6.53%

Monroe Capital CLO 2014-1, Ltd. 241,449,072 17.24% 98.67% 0.00% 1.33% Golub Capital Partners CLO 18(M)-R, Ltd.

903,736,184 17.20% 2.31% 94.39% 0.43% 5.18%

NewStar Commercial Loan Funding 2017-1 LLC

291,244,058 17.15% 95.29% 0.00% 4.71%

Monroe Capital MML CLO 2016-1, Ltd.

303,770,937 17.06% 98.48% 0.00% 1.52%

Fortress Credit Opportunities XI CLO Limited

707,008,547 17.03% 98.03% 0.00% 1.97%

Fortress Credit Opportunities VII CLO Limited

704,796,365 17.01% 97.82% 0.00% 2.18%


Deal Par COVID-19

Industry %

% Without a Most

Common Ind

% Most Common

Industries


Cerberus Loan Funding XX L.P. 219,148,450 16.93% 99.13% 0.00% 0.87% NewStar Fairfield Fund CLO Ltd. 381,183,979 16.91% 2.36% 98.57% 0.00% 1.43% Golub Capital Partners CLO 42(M), Ltd.

800,654,851 16.83% 2.49% 97.59% 0.59% 1.83%


488,744,328 16.73% 3.61% 97.73% 0.00% 2.27%

Golub Capital Partners CLO 17(M)-R, Ltd.

906,641,899 16.73% 94.77% 0.54% 4.68%


996,847,450 16.58% 3.46% 98.69% 0.00% 1.31%

Ivy Hill Middle Market Credit Fund X, Ltd.

379,755,221 16.35% 94.88% 1.18% 3.94%


908,165,089 16.19% 1.88% 98.44% 0.00% 1.56%


754,868,349 16.06% 2.62% 96.72% 0.52% 2.76%


751,591,910 16.04% 94.40% 0.00% 5.60%


545,891,621 15.84% 99.46% 0.54% 0.00%

NewStar Arlington Senior Loan Program LLC

405,098,932 15.73% 91.79% 0.00% 8.21%

Fortress Credit Opportunities VI CLO Limited

381,563,189 15.69% 97.10% 0.00% 2.90%

Ivy Hill Middle Market Credit Fund VII, Ltd.

421,577,296 15.50% 95.37% 0.27% 4.35%

TCP Whitney CLO, Ltd. 344,734,909 15.34% 95.91% 0.00% 4.09% Golub Capital Partners CLO 44(M), Ltd.

804,406,126 15.33% 98.32% 0.00% 1.68%

BCC Middle Market CLO 2018-1, LLC

453,694,848 15.32% 22.46% 99.38% 0.32% 0.30%

TIAA Churchill Middle Market CLO I Ltd.

379,158,006 15.21% 0.89% 90.83% 0.00% 9.17%

Fortress Credit Opportunities IX CLO Limited

1,484,773,736 15.11% 98.16% 0.00% 1.84%


757,907,062 14.80% 3.14% 98.26% 0.91% 0.83%

TIAA Churchill Middle Market CLO II Ltd.

331,603,942 14.63% 2.09% 92.22% 0.00% 7.78%

Cerberus Loan Funding XXVI L.P. 375,647,359 14.48% 98.84% 0.00% 1.16% Antares CLO 2017-2, Ltd. 1,210,510,247 14.30% 99.57% 0.41% 0.02% Great Lakes CLO 2015-1, Ltd. 352,609,091 14.28% 99.76% 0.00% 0.24% Monroe Capital MML CLO 2017-1, Ltd.

403,384,451 14.24% 98.55% 0.00% 1.45%

Woodmont 2017-2 Trust 1,220,389,571 14.09% 96.58% 1.28% 2.13% Cerberus Loan Funding XXIV L.P. 601,402,959 13.92% 99.31% 0.00% 0.69% Great Lakes CLO 2014-1, Ltd. 387,974,478 13.92% 99.54% 0.00% 0.46% Ivy Hill Middle Market Credit Fund XII, Ltd.

381,192,361 13.78% 94.61% 1.32% 4.07%

Woodmont 2017-3 LP 324,183,504 13.64% 100.00% 0.00% 0.00%


Deal Par COVID-19

Industry %

% Without a Most

Common Ind

% Most Common

Industries


Antares CLO 2017-1, Ltd. 2,128,945,963 13.11% 98.60% 1.40% 0.00% Woodmont 2017-1 Trust 507,062,789 12.79% 99.11% 0.59% 0.29% Golub Capital Partners CLO 31(M), Ltd.

665,899,461 12.23% 3.65% 98.95% 0.00% 1.05%

Antares CLO 2018-3, Ltd. 1,028,973,346 12.07% 99.09% 0.91% 0.00% Monroe Capital MML CLO IX, Ltd.

449,600,016 11.81% 97.85% 0.00% 2.15%

JFIN MM CLO 2014 LTD. 167,873,291 11.58% 38.58% 0.00% 61.42% Woodmont 2018-5 Trust 405,632,087 11.45% 99.44% 0.00% 0.56% Woodmont 2018-4 Trust 557,474,109 11.37% 95.97% 1.26% 2.78% Monroe Capital MML CLO VIII, 451,110,282 11.32% 99.45% 0.00% 0.55% Antares CLO 2018-2, Ltd. 1,014,928,658 11.20% 98.59% 1.41% 0.00% Monroe Capital MML CLO VI, Ltd.

452,415,649 10.78% 97.96% 0.00% 2.04%


The table above shows only deals with a COVID-19 industry percentage of 10% or more. To see the full set of deals, portal clients can go to: https://sfportal.com/marketupdate/research




EUR Managers – BSL CLO:

Manager Count of



GoldenTree Asset Management LP 4 1,600,997,828 20.61% 95.35% Invesco Inc. 3 1,266,732,789 20.32% 100.00% Barings LLC 9 3,949,877,890 19.52% 98.05% MeDirect Bank (Malta) PLC 1 402,510,768 18.43% 100.00% Credit Suisse Asset Management 10 4,561,781,058 17.01% 99.73% King Street Capital Management 2 827,300,615 16.48% 100.00% Bardin Hill Loan Management LLC 6 2,139,404,547 16.26% 100.00% CQS Investment Management Ltd. 1 353,978,883 15.98% 99.28% Chenavari Investment Management 5 1,899,329,745 15.67% 99.74% Bain Capital Credit 7 2,654,382,105 15.63% 99.95% Alcentra Inc. 12 5,112,847,484 15.47% 99.47% Brigade Capital Management LLC 3 1,167,465,427 15.38% 99.62% Hayfin Capital Management LLP 2 803,696,062 15.17% 98.85% Black Diamond Capital Management LLC 3 1,210,157,556 14.89% 97.29% Intermediate Capital Group plc 10 4,207,077,785 14.66% 99.51% Natixis Asset Management 1 299,841,891 14.48% 99.69% Carlyle Investment Management LLC 16 6,880,628,198 14.03% 97.80% Sound Point Capital Management LP 2 925,102,063 13.34% 100.00% Anchorage Capital Group LLC 3 1,114,741,178 13.33% 99.14% Investcorp B.S.C. 15 6,116,661,278 13.32% 99.81% Man Group plc 5 1,858,621,075 13.26% 98.04% Oak Hill Advisors LP 5 2,108,715,322 12.94% 96.30% GSO / Blackstone Debt Funds Management 20 8,276,734,098 12.77% 98.72% Sculptor Capital Management 6 2,411,815,764 12.72% 99.91% AXA Investment Managers 4 1,448,649,546 12.63% 98.71% BlackRock Financial Management 9 3,781,359,809 12.55% 99.57% Guggenheim Investment Management LLC 3 1,200,180,275 12.50% 99.19% Spire Partners LLP 5 2,059,711,120 12.28% 100.00% Napier Park Global Capital, LLC 1 409,361,252 12.13% 100.00% PineBridge Investments LLC 5 1,902,437,875 12.09% 99.86% Voya Investment Management (ING) 2 765,939,913 11.77% 100.00% Fair Oaks Capital Ltd 1 328,692,695 11.50% 100.00% PGIM 15 6,571,777,681 11.38% 99.05% Onex Credit Partners LLC 3 1,223,425,362 11.11% 100.00% Commerzbank 2 624,112,525 11.05% 96.38% Apollo Credit Management LLC 4 1,636,610,286 10.82% 99.70% HPS Investment Partners, LLC 4 1,602,110,505 10.81% 98.88% CVC Credit Partners LLC 12 4,972,610,425 10.73% 97.82% Redding Ridge Asset Management (UK) LLP 3 1,258,368,058 10.44% 99.27% Ares Management, LLC 7 2,998,924,035 10.40% 99.63% Accunia Credit Management Fondsmaeglerselskab A/S 3 1,206,471,852 10.34% 100.00% Partners Group 5 1,986,716,121 10.33% 99.15%


Manager Count of



Tikehau Capital Europe Limited 5 2,038,771,461 10.21% 99.92% KKR Financial Advisors LLC 11 4,959,097,754 10.11% 99.57% OakTree Capital Management LLC 5 2,002,652,376 9.74% 99.83% Permira Debt Managers Group Holdings Ltd 3 1,094,736,034 9.50% 100.00% CIFC Asset Management LLC 1 400,110,999 9.03% 98.88% BlueMountain Capital Management LLC 4 1,466,844,043 8.20% 100.00% Cairn Capital Ltd. 9 3,143,394,302 7.21% 98.61% Five Arrows Managers LLP 6 2,264,553,993 6.92% 99.80% BNP Paribas 4 1,512,058,733 6.65% 100.00% NIBC Credit Management, Inc. 1 400,407,712 4.60% 99.36%



EUR CLO – BSL Deals:

Deal Par Covid-19

Industry %

% Without a Most

Common Ind

% Most Common Industrie

s

% Structure

d Industries

% Cash

Barings Euro CLO 2018-2 B.V. 404,425,953 22.11% 99.62% 0.00% 0.38% Barings Euro CLO 2018-1 B.V. 503,491,251 21.87% 99.29% 0.00% 0.71% GoldenTree Loan Management EUR CLO 1 DAC

400,550,275 21.42% 96.22% 0.00% 3.78%

Invesco Euro CLO III DAC 433,820,183 21.40% 100.00% 0.00% 0.00% Barings Euro CLO 2019-1 DAC 405,898,404 21.34% 100.00% 0.00% 0.00% Goldentree Loan Management EUR CLO 2 DAC

399,822,025 20.81% 95.12% 0.00% 4.88%

Laurelin 2016-1 DAC 399,887,859 20.35% 94.58% 0.00% 5.42% Invesco Euro CLO I DAC 417,595,484 20.05% 100.00% 0.00% 0.00% GoldenTree Loan Management EUR CLO 3 DAC

400,737,669 19.84% 95.50% 0.00% 4.50%

Barings Euro CLO 2018-3 B.V. 405,316,953 19.63% 99.69% 0.00% 0.31% Invesco Euro CLO II DAC 415,317,122 19.51% 100.00% 0.00% 0.00% Babson Euro CLO 2014-2 B.V. 556,581,747 19.09% 99.03% 0.00% 0.97% Barings Euro CLO 2017-1 B.V. 453,646,930 19.02% 97.13% 0.00% 2.87% St. Paul's CLO X DAC 401,203,346 18.96% 100.00% 0.00% 0.00% Madison Park Euro Funding IX 441,030,969 18.88% 99.89% 0.00% 0.11% Grand Harbour CLO 2019-1 DAC 402,510,768 18.43% 100.00% 0.00% 0.00% Madison Park Euro Funding VIII 467,100,565 18.24% 100.00% 0.00% 0.00% Jubilee CLO 2017-XIX B.V. 457,902,131 18.18% 100.00% 0.00% 0.00% Madison Park Euro Funding VII B.V.

450,898,442 18.17% 99.89% 0.00% 0.11%

Halcyon Loan Advisors European Funding 2017-1 DAC

342,683,065 18.07% 100.00% 0.00% 0.00%

BARINGS EURO CLO 2016-1 B.V. 403,501,306 18.00% 97.19% 0.00% 2.81% Jubilee CLO 2017-XVIII B.V. 410,241,018 17.97% 100.00% 0.00% 0.00% Babson Euro CLO 2015-1 B.V. 408,821,569 17.92% 93.71% 0.00% 6.29% Armada Euro CLO I DAC 361,508,751 17.77% 99.32% 0.00% 0.68% St. Paul's CLO XI DAC 404,697,496 17.50% 100.00% 0.00% 0.00% Rockford Tower Europe CLO 2018-1 DAC 418,097,586 17.49% 100.00% 0.00% 0.00% Toro European CLO 6 DAC 352,114,848 17.23% 100.00% 0.00% 0.00% Bain Capital Euro CLO 2017-1 DAC 361,576,283 17.15% 100.00% 0.00% 0.00% Madison Park Euro Funding XIV DAC 516,952,429 17.09% 100.00% 0.00% 0.00% Rye Harbour CLO, DAC 358,292,609 17.08% 100.00% 0.00% 0.00% Bain Capital Euro CLO 2018-2 DAC 387,052,391 16.85% 100.00% 0.00% 0.00% Madison Park Euro Funding XI DAC 523,328,038 16.71% 98.85% 0.00% 1.15% Barings Euro CLO 2014-1 B.V. 408,193,776 16.70% 96.80% 0.00% 3.20% Halcyon Loan Advisors European 322,681,281 16.61% 100.00% 0.00% 0.00%


Deal Par Covid-19

Industry %

% Without a Most

Common Ind

% Most Common Industrie

s

% Structure

d Industries

% Cash

Funding 2014 B.V.

Halcyon Loan Advisors European Funding 2018-1 DAC

368,422,865 16.56% 100.00% 0.00% 0.00%

Jubilee CLO 2016-XVII B.V. 401,851,901 16.51% 100.00% 0.00% 0.00% Madison Park Euro Funding X DAC

450,294,584 16.48% 100.00% 0.00% 0.00%

Harvest CLO X Limited 319,779,266 16.46% 99.72% 0.00% 0.28% Carlyle Euro CLO 2019-2 DAC 400,963,000 16.46% 99.18% 0.00% 0.82% Carlyle Global Market Strategies Euro CLO 2013-1 B.V.

398,670,474 16.44% 99.62% 0.00% 0.38%

Madison Park Euro Funding VI B.V. 403,266,806 16.40% 100.00% 0.00% 0.00% Madison Park Euro Funding V B.V. 306,863,187 16.39% 100.00% 0.00% 0.00% Halcyon Loan Advisors European Funding 2016 DAC

397,236,204 16.37% 100.00% 0.00% 0.00%

Harvest CLO VII Limited 298,806,114 16.26% 99.92% 0.00% 0.08% Madison Park Euro Funding XIII DAC 501,067,113 16.12% 100.00% 0.00% 0.00% Grosvenor Place CLO 2015-1 B.V. 353,978,883 15.98% 99.28% 0.00% 0.72% Toro European CLO 3 DAC 350,121,294 15.92% 100.00% 0.00% 0.00% Toro European CLO 2 DAC 399,754,885 15.90% 100.00% 0.00% 0.00% HAYFIN EMERALD CLO I DAC 401,199,983 15.87% 98.65% 0.00% 1.35% Jubilee CLO 2015-XVI B.V. 397,510,055 15.80% 100.00% 0.00% 0.00% CVC Cordatus Loan Fund XV DAC 406,339,613 15.72% 100.00% 0.00% 0.00% Madison Park Euro Funding XII DAC

500,978,924 15.66% 98.66% 0.00% 1.34%

Carlyle Global Market Strategies Euro CLO 2015-1 DAC

450,875,000 15.62% 96.54% 0.00% 3.46%

St Paul's CLO IX DAC 402,717,827 15.55% 100.00% 0.00% 0.00% Halcyon Loan Advisors European Funding 2017-2 DAC

346,587,244 15.54% 100.00% 0.00% 0.00%

Jubilee CLO 2018-XX B.V. 406,214,925 15.52% 100.00% 0.00% 0.00% Jubilee CLO 2015-XV B.V. 429,362,310 15.49% 98.11% 0.00% 1.89% Rockford Tower Europe CLO 2019-1 DAC

409,203,029 15.46% 100.00% 0.00% 0.00%

Bain Capital Euro CLO 2018-1 DAC 361,404,876 15.44% 100.00% 0.00% 0.00% Carlyle Global Market Strategies Euro CLO 2016-1 DAC

435,360,995 15.37% 97.25% 0.00% 2.75%

Black Diamond CLO 2017-2 DAC 405,316,077 15.37% 99.93% 0.00% 0.07% Carlyle Global Market Strategies Euro CLO 2014-2 DAC

389,845,227 15.33% 96.87% 0.00% 3.13%

Jubilee CLO 2014-XII B.V. 505,136,296 15.25% 100.00% 0.00% 0.00% Harvest CLO IX DAC 505,659,316 15.10% 99.19% 0.00% 0.81% Black Diamond CLO 2015-1 DAC 402,776,532 15.08% 92.23% 0.00% 7.77%



The table above shows only deals with a COVID-19 industry percentage of 15% or more. To see the full set of deals, portal clients can go to: https://sfportal.com/marketupdate/research




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