Leveraged Loan Monthly (Thomson Reuters)share.thomsonreuters.com/.../Leveraged_Loan_Monthly_Jul_2016.pdf · 4 •Year to date leveraged loan issuance is at $381 billion, down 21%

LEVERAGED LOAN MONTHLY THOMSON REUTERS LPC

JULY 2016

Colm (C.J.) Doherty Director of Analysis [email protected] 646-223-6821

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

mailto:[email protected]�

mailto:[email protected]�

22ND ANNUAL THOMSON REUTERS LPC LOAN AND CLO CONFERENCE

2

Leveraged Loan Monthly - July 2016

LEVERAGED LOAN MONTHLY


3

Leveraged Loan Market Overview Slides 7-32

High Yield Bond Market Overview Slide 33-39

Investor Overview Slide 40-44

CLO Market Analysis Slide 45-59

Loan Fund Flows & Returns Slide 76-79

List of Recent CLOs / League Tables Slide 60-75

Key Points Slides 4-6

KEY POINTS


4

•Year to date leveraged loan issuance is at $381 billion, down 21% from the same period a year ago. Breaking it out by segment, pro rata volume at $214 billion is down 25%, while the $167 billion of institutional deal flow is off 15%.

•Just over 60% of institutional issuance ($104 billion) this year is for new money purposes, while refinancing activity is down 33% to $64 billion. •Breaking out the YTD institutional loan new money issuance of $104 billion, we see that M&A (excluding LBOs) accounts for 45%, with LBOs at 29% and other purposes representing 26%.

•Institutional loan market outstandings slipped to 882 billion in July. Year to date, outstandings are up 1.2% . •The top industries in terms of leveraged loan issuance this year is Technology followed by Healthcare and Retail. For institutional loans, it’s nearly the same with Technology followed by Retail and then Healthcare.

•M&A leveraged loan volume is at $144 billion this year, comprised of $40 billion and $104 billion of LBO and non-LBO activity, respectively. M&A leveraged loan volume is down 10% year to date, owing to a 15% decline in LBO issuance and a 9% drop in non-LBO volume.

•In the large corporate market, new issue yields widened slightly to an average of 5.4% in July from 5.3% in June. It was a similar trend for middle market credits, with yields widening to 6.4% in July from 6.1% in the prior month.

Cont’d on next slide

KEY POINTS


5

•Five issuers with institutional loan debt of just over $2 billion defaulted in July. This brought year to date institutional loan default volume to $13.2 billion. On an industry basis, the energy ($3.8 billion) and metals & mining ($3.6 billion) sectors have accounted for the largest share of institutional loan defaults this year. •U.S. high yield bond issuance fell to $14 billion in July. Year-to-date issuance is at $133 billion, which is down 29% from the same period last year.

•European leveraged loan issuance is at $69 billion year to date, with M&A and new money volume representing 56% of deal flow. Leveraged loan issuance is down 53% year over year, with refinancings off 65% and M&A/new money down 37%.

•U.S. loan bids moved higher in July, with institutional term loans finishing the month at 94.72, up 65 bps. Similarly the flow name SMi100 gained 53 bps to 98.52. Year to date, multi-quote institutional term loans have climbed over 16o bps.

•The par-plus share of loans climbed to 27% in July, an increase of 18 percentage points from a month earlier and the highest level since August 2015.

•European loan prices rebounded from their post Brexit vote softening. European flow names finished July up 84 bps at an average bid of 98.74.

•Loan returns bounced back in July after a weak June, with 0pen-end loan fund returns averaging 1.36%, while the S&P/LSTA index gained 1.43%. Year to date, open-end loan funds have gained an impressive 5.35%, with the index up 6%. Individual open-end fund YTD returns range from 1.59% to 8.52%.


KEY POINTS


6

•U.S. CLO issuance amounted to $5.8 billion (12 deals) in July. This brought YTD issuance to $32 billion (74 deals), down sharply from $67.7 billion (128 deals) in the same period last year.

•The European CLO market added another €2.6 billion of issuance from six deals in July. Issuance through July is at €9.76 billion (24 deals), similar to the €9.82 billion (25 deals) in the same period last year. •AUM held steady at $434 billion for U.S. CLOs and increased to €65 billion for European CLOs.

•CLO 2.0s now account for 90% of U.S. CLO assets under management. Deals issued since the beginning of 2015 represent 32% of CLO assets under management. In Europe, CLO 2.0s share of AUM is now at €45 billion or 68% of the market.

•The most widely held names in US CLOs are Valeant Pharmaceuticals, Asurion and First Data. For European CLOs it’s Ziggo BV, Eircom Group and Ineos Group.

•The share of CLO loan holdings bid above par rebounded sharply in July, increasing to 33% for US CLOs and 41% for European CLOs. •Based on the most recent data available, loan funds saw a $432 million inflow in July, though outflows have dominated year to date, standing at over 6 billion. HY bond fund flows posted a $6.4 billion of inflows in July, taking year to date gains to $9.3 billion.

•Loan mutual fund & ETF assets under management (market value) increased by 2% in July to nearly $115 billion.

LEVERAGED LOAN MARKET OVERVIEW

*2016 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

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U.S. LEVERAGED LOAN ISSUANCE

Year to date leveraged loan issuance is at $381 billion, down 21% from the same period a year ago.

Breaking it out by segment, pro rata volume at $214 billion is down 25%, while the $167 billion of institutional deal flow is off 15%.

LEVERAGED

LOAN

MARKET O

VERVIEW

YTD 2016 LEVERAGED LOAN ISSUANCE BY INDUSTRY

9

-

LEVERAGED

LOAN

MARKET O

VERVIEW


Industry Lev. Vol. ($Bils.) % of Lev. Vol Technology 67.59 17.8% Healthcare 34.75 9.1% Retail & Supermarkets 33.50 8.8% General Manufacturing 26.11 6.9% Business Services 20.51 5.4% Chemicals, Plastics & Rubber 17.65 4.6% Beverage, Food, and Tobacco Processing 15.86 4.2% Wholesale 14.42 3.8% Services 14.34 3.8% Media 14.26 3.7% Oil and Gas 13.37 3.5% Financial Services 13.05 3.4% REITS 12.51 3.3% Automotive 11.52 3.0% Utilities 10.85 2.8% n/a 9.10 2.4% Paper & Packaging 7.15 1.9% Aerospace and Defense 5.83 1.5% Hotel & Gaming 5.64 1.5% Textiles and Apparel 5.57 1.5% Restaurants 5.34 1.4% Telecommunications 5.32 1.4% Leisure and Entertainment 5.19 1.4% Construction 2.92 0.8% Shipping 2.62 0.7% Agriculture 2.53 0.7% Transportation 2.08 0.5% Mining 1.05 0.3%

YTD 2016 INSTITUTIONAL LOAN ISSUANCE BY INDUSTRY

10

-

LEVERAGED

LOAN

MARKET O

VERVIEW


Industry Inst. Vol. ($Bils.) % of Inst. Vol Technology 42.1 24.97% Retail & Supermarkets 20.6 12.21% Healthcare 19.5 11.54% Business Services 10.8 6.41% Media 6.8 4.05% Services 6.6 3.89% Chemicals, Plastics & Rubber 6.2 3.70% Utilities 5.8 3.41% Paper & Packaging 5.6 3.35% General Manufacturing 5.2 3.08% Beverage, Food, and Tobacco Processing 5.1 3.03% n/a 4.9 2.88% Financial Services 4.7 2.77% Wholesale 4.2 2.50% Automotive 3.5 2.07% Aerospace and Defense 3.1 1.81% REITS 2.6 1.52% Restaurants 2.0 1.19% Hotel & Gaming 2.0 1.17% Leisure and Entertainment 1.8 1.07% Telecommunications 1.2 0.69% Transportation 1.1 0.64% Construction 1.1 0.63% Agriculture 0.8 0.47% Textiles and Apparel 0.7 0.40% Oil and Gas 0.5 0.30% Shipping 0.3 0.17% Mining 0.1 0.07%

U.S. INSTITUTIONAL LOAN AND HY BOND ISSUANCE

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U.S. LOAN AND BOND ISSUANCE

Institutional loan issuance is close to $170 billion so far in 2016, down from $201 billion in the same period last year.

High yield bond issuance fell to $14 billion in July. Year-to-date issuance is at $133 billion, which is down 29% from the same period last year.

LEVERAGED

LOAN

MARKET O

VERVIEW

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

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Refinancing


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U.S. INSTITUTIONAL LOAN ISSUANCE

Just over 60% of institutional issuance ($104 billion) this year is for new money purposes.

Refinancing activity is down 33% to $64 billion.

LEVERAGED

LOAN

MARKET O

VERVIEW

U.S. INSTITUTIONAL ISSUANCE: NEW MONEY BREAKOUT

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U.S. INSTITUTIONAL LOAN ISSUANCE – NEW MONEY BREAKOUT

Breaking out the YTD institutional loan new money issuance of $104 billion, we see that M&A (excluding LBOs) accounts for 45%, with LBOs at 29% and other purposes representing 26%.

LEVERAGED

LOAN

MARKET O

VERVIEW

M&A LEVERAGED LOAN ISSUANCE

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U.S. M&A LEVERAGED LOAN ISSUANCE

M&A leveraged loan volume is at $144 billion this year, comprised of $40 billion and $104 billion of LBO and non-LBO activity, respectively.

M&A leveraged loan volume is down 10% year to date, owing to a 15% decline in LBO issuance and a 9% drop in non-LBO volume.

LEVERAGED

LOAN

MARKET O

VERVIEW

SPONSORED LEVERAGED LOAN ISSUANCE: LBO VS. NON-LBO

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SPONSORED LOAN ISSUANCE: LBO VS. NON-LBO

Overall sponsored leveraged loan volume has amounted to $135 billion this year through July, with less than one-third (30%) comprised of LBO activity.

Non-LBO sponsored activity is down 28%, while LBO volume if off 14% year over year.

LEVERAGED

LOAN

MARKET O

VERVIEW

INSTITUTIONAL LOAN OUTSTANDINGS

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INSTITUTIONAL LOAN OUTSTANDINGS

Institutional loan market outstandings slipped to 882 billion in July. Year to date, outstandings are up 1.2% .

LEVERAGED

LOAN

MARKET O

VERVIEW

SECOND-LIEN LOAN VOLUME

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U.S. SECOND-LIEN LOAN VOLUME

Second-lien issuance remains limited this year, amounting to only $2.9 billion, down 67% from the corresponding period a year ago.

LEVERAGED

LOAN

MARKET O

VERVIEW

MIDDLE MARKET LOAN ISSUANCE

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Large MM*


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U.S. MIDDLE MARKET LOAN VOLUME

Middle market lending has totaled $59 billion so far in 2016, down from $81 billion a year ago. Middle market volume is comprised of $44 billion of large middle market issuance (down 24% YoY)

and $15 billion in traditional MM volume (down 35% YoY).

LEVERAGED

LOAN

MARKET O

VERVIEW

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

PRIMARY MARKET YIELDS

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Middle Market


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U.S. PRIMARY MARKET INSTITUTIONAL LOAN YIELDS

In the large corporate market, new issue yields widened slightly to an average of 5.4% in July from 5.3% in June.

It was a similar trend for middle market credits, with yields widening to 6.4% in July from 6.1% in the prior month.

LEVERAGED

LOAN

MARKET O

VERVIEW

INSTITUTIONAL LOAN FLEX ACTIVITY

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INSTITUTIONAL LOAN FLEX ACTIVITY

Downward flex activity easily outpaced upward flexes in July. The average downward flex was 35 bps.

LEVERAGED

LOAN

MARKET O

VERVIEW

INSTITUTIONAL LEVERAGED LOAN DEFAULTS

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6

Par

val

ue o

f def

ault

ed in

stit

utio

nal

loan

s ($

Bils

.)


21

INSTITUTIONAL LEVERAGED LOAN DEFAULTS

Five issuers with institutional loan debt of just over $2 billion defaulted in July. This brought year to date institutional loan default volume to $13.2 billion.

On an industry basis, the energy ($3.8 billion) and metals & mining ($3.6 billion) sectors have accounted for the largest share of institutional loan defaults this year.

LEVERAGED

LOAN

MARKET O

VERVIEW

INSTITUTIONAL LEVERAGED LOAN DEFAULTS ON TTM BASIS Leveraged Loan Monthly - July 2016

22

LEVERAGED

LOAN

MARKET O

VERVIEW


Month Issuer Par Value ($ Mil.)

Default Date Default Source Industry

August 2015 Alpha Natural Resources Inc. 610.9 08/03/15 Chapter 11 Filing Metals & Mining American Seafoods Group LLC 281.5 08/20/15 Distressed Exchange Services & Miscellaneous Wilton Holdings Inc. 283.4 08/24/15 Distressed Exchange Services & Miscellaneous NYDJ Apparel LLC 50.0 08/25/15 Distressed Exchange Retail

Univita Health Inc. 200.0 08/28/15 Chapter 7 Filing Healthcare & Pharmaceuticals

Subtotal 1,425.8 September 2015 Samson Resources Co. 1,000.0 09/16/15 Chapter 11 Filing Energy Subtotal 1,000.0 October 2015 Miller Energy Resources Inc. 175.0 10/01/15 Chapter 11 Filing Energy Elo Touch Solutions Inc. 15.0 10/09/15 Distressed Exchange Computers & Electronics

MMM Holdings Inc. 352.0 10/30/15 Missed Payment Healthcare & Pharmaceuticals

Subtotal 542.0 November 2015 Essar Steel Algoma Inc. 375.0 11/09/15 Chapter 15 Filing Metals & Mining

Millennium Health LLC 1,775.0 11/10/15 Chapter 11 Filing Healthcare & Pharmaceuticals

Subtotal 2,150.0 December 2015 Vantage Drilling Co. 664.8 12/03/15 Chapter 11 Filing Energy Energy & Exploration Partners Inc. 765.3 12/07/15 Chapter 11 Filing Energy Magnum Hunter Resources Corp. 336.6 12/15/15 Chapter 11 Filing Energy Subtotal 1,766.7 January 2016 Arch Coal Inc. 1,879.3 01/11/16 Chapter 11 Filing Metals & Mining NewPage Corp. 731.3 01/26/16 Chapter 11 Filing Paper & Containers RCS Capital Corp. 674.7 01/31/16 Chapter 11 Filing Banking & Finance Subtotal 3,285.2

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

INSTITUTIONAL LEVERAGED LOAN DEFAULTS ON TTM BASIS Leveraged Loan Monthly - July 2016

23

LEVERAGED

LOAN

MARKET O

VERVIEW

Cont’d from prior slide

Month Issuer Par Value ($ Mil.)

Default Date Default Source Industry

February 2016 Noranda Aluminum Holding Corp. 467.3 02/08/16 Chapter 11 Filing Metals & Mining Paragon Offshore 641.9 02/14/16 Chapter 11 Filing Energy Subtotal 1,109.2 March 2016 Sports Authority Inc. 300.0 03/02/16 Chapter 11 Filing Retail Town Sports International Holdings Inc. 29.8 03/07/16 Distressed Exchange Leisure & Entertainment Aspect Software Inc. 447.3 03/09/16 Chapter 11 Filing Computers & Electronics Southcross Holdings LP 575.0 03/28/16 Chapter 11 Filing Energy Subtotal 1,352.1 April 2016 Vertellus Specialties Inc. 455.0 04/12/16 Missed Payment Chemicals Peabody Energy Corp. 1,164.9 04/13/16 Chapter 11 Filing Metals & Mining Stallion Oilfield Holding Inc. 47.0 04/15/16 Distressed Exchange Energy Core Entertainment Inc. 200.0 04/28/16 Chapter 11 Filing Broadcasting & Media Subtotal 1,866.9 May 2016 Fairway Group Holdings Corp. 266.8 05/02/16 Chapter 11 Filing Supermarkets & Drug Stores Atlas Iron Ltd. 134.5 05/06/16 Distressed Exchange Metals & Mining Dex Media Inc. 2,110.0 05/16/16 Chapter 11 Filing Broadcasting & Media EP Energy LLC 38.0 05/17/16 Distressed Exchange Energy Fieldwood Energy LLC 517.5 05/26/16 Distressed Exchange Energy Subtotal 3,066.8 June 2016 Seventy Seven Operating LLC 492.0 06/07/16 Chapter 11 Filing Energy Subtotal 492.0 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

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

EUROPEAN LEVERAGED LOAN ISSUANCE


24

EUROPEAN LEVERAGED LOAN ISSUANCE

• European leveraged loan issuance is at $69 billion year to date, with M&A and new money volume representing 56% of deal flow.

• Leveraged loan issuance is down 53% year over year, with refinancings off 65% and M&A/new money down 37%.

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

Issu

ance

($ B

ils.)

M&A & New Money

Refinancing

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

Avg

. Bid

(% o

f par

)

Multi-quote Inst. TLs All Inst. TLs SMi100


25

U.S. SECONDARY MARKET AVERAGE BID

Loan bids moved higher in July, with institutional term loans finishing the month at 94.72, up 65 bps. Similarly the flow name SMi100 gained 53 bps to 98.52.

Year to date, multi-quote institutional term loans have climbed over 16o bps.

LEVERAGED

LOAN

MARKET O

VERVIEW

DISTRIBUTION OF SECONDARY MARKET BIDS

0%

5%

10%

15%

20%

25%

30%

35%

40%

<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


26

MULTI-QUOTE INSTITUTIONAL TERM LOAN BIDS

As of month-end July, 61% of loans are priced at 99 or above, up from 53% a month earlier. At the lower end of the price spectrum, 14% of credits are bid below 90, down marginally

from the prior month.

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

Shar

e of

loan

s bi

d >=

100

& >

=101

100-plus

101-plus


27

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

The par-plus share of loans climbed to 27% in July, an increase of 18 percentage points from a month earlier and the highest level since August 2015.

LEVERAGED

LOAN

MARKET O

VERVIEW

SECONDARY MARKET BIDS – BY SECTOR

50

55

60

65

70

75

80

85

90

95

100

Hot

el &

…

Cons

truc

tion

Tran

spor

tatio

n

Rest

aura

nts

Hea

lthca

re

Bev

erag

e, …

Chem

ical

s, …

REIT

S

Leis

ure

and …

Bus

ines

s …

Med

ia

Tech

nolo

gy

Fina

ncia

l …

Tele

com

mun

i…

Gen

eral

…

Util

ities

Reta

il &

…

Aer

ospa

ce …

Aut

omot

ive

Who

lesa

le

Serv

ices

Agr

icul

ture

Pape

r & …

Text

iles

and …

Ship

ping

Min

ing

Oil

and

Gas

Avg

. Bid

(% o

f par

)


28

SECONDARY MARKET BIDS – BY SECTOR

Looking across industries, hotel & gaming (99.49), construction (99.48), and transportation (99.46) credits are bid highest on average, while oil & gas and mining are the lowest.

LEVERAGED

LOAN

MARKET O

VERVIEW

U.S. OIL & GAS BID LEVELS

20

30

40

50

60

70

80

90

100

50.0 55.0 60.0 65.0 70.0 75.0 80.0 85.0 90.0 95.0

100.0

Sep-

14

Oct

-14

Nov

-14

Dec

-14

Jan-

15

Feb-

15

Mar

-15

Apr

-15

May

-15

Jun-

15

Jul-1

5

Aug

-15

Sep-

15

Oct

-15

Nov

-15

Dec

-15

Jan-

16

Feb-

16

Mar

-16

Apr

-16

May

-16

Jun-

16

WTI

Cru

de O

il (U

S$)

Avg

. Bid

(% o

f par

)

U.S. multi-quote Inst. TLs Oil & Gas loans WTI Crude Oil (US$)


29

U.S. OIL & GAS BID LEVELS

Oil & gas loan prices edged higher in July, ending the month at an average of 70.79.

LEVERAGED

LOAN

MARKET O

VERVIEW

DISTRIBUTION OF OIL & GAS SECONDARY MARKET BIDS

0%

5%

10%

15%

20%

25%

30%

35%

<10 10 to <20 20 to <30 30 to <40 40 to <50 50 to <60 60 to <70 70 to <80 80 to <90 90 to <100

>=100

Shar

e of

loa

ns

Avg. bid (% of par)

30

DISTRIBUTION OF OIL & GAS INSTITUTIONAL TERM LOAN BIDS

LEVERAGED

LOAN

MARKET O

VERVIEW


Oil and gas loan prices remain widely dispersed. Just over one-third (36%) of oil & gas loans are now bid in the 90-plus area, with a

similar share (34%) priced below 60.

SECONDARY MARKET BID LEVELS: COVENANT-LITE & SECOND-LIENS

75.0

80.0

85.0

90.0

95.0

100.0

105.0

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

Avg

. Bid

(% o

f par

)

Cov-lite 2nd Lien TL Multi-quote Inst. TLs


31

U.S. COV-LITE AND SECOND LIEN LOAN BIDS

Second-lien bids edged 8 bps higher in July to 89.32. Overall this year, second-lien loans are marginally higher with a gain of 37 bps.

The average bid on covenant-lite loans increased by 46 bps in July to 95.03.

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

Avg

. Bid

(% o

f par

)

European Leveraged 40

U.S. SMi100


32

SECONDARY MARKET AVERAGE BIDS

European loan prices rebounded from their post Brexit vote softening. European flow names finished July up 84 bps at an average bid of 98.74.

LEVERAGED

LOAN

MARKET O

VERVIEW

U.S. HIGH YIELD BOND MARKET OVERVIEW

HIGH YIELD BOND ISSUANCE

0

10

20

30

40

50

60

70

80

90

100

0

10

20

30

40

50

60

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

# o

f Iss

ues

Pro

ceed

s (U

S$ B

ils.)

Proceeds (US$ Bils.)

# of Issues


34

U.S. HIGH YIELD CORPORATE BONDS

High yield bond issuance fell to $14 billion in July. Year-to-date issuance is at $133 billion, which is down 29% from the same

period last year.

HIG

H YIELD

BON

D M

ARKET OVERVIEW

HIGH YIELD BONDS ISSUANCE - YTD BY INDUSTRY

5

10

15

20

25

30

35

0.0

5.0

10.0

15.0

20.0

25.0

30.0 Fi

nanc

ials

Med

ia a

nd

Ente

rtai

nmen

t

Ener

gy a

nd

Pow

er

Mat

eria

ls

Hig

h Te

chno

logy

Indu

stria

ls

Hea

lthca

re

Reta

il

Tele

com

mun

icat

ions

Cons

umer

St

aple

s

Cons

umer

Pr

oduc

ts a

nd

Serv

ices

Real

Est

ate

# o

f Iss

ues

Pro

ceed

s (U

S$ B

ils.)


# of Issues


35


The financials sector leads the way with $26 billion (19%) of high yield issuance so far this year. Next is media & entertainment at $23 billion and energy & power at $15 billion.

HIG

H YIELD

BON

D M

ARKET OVERVIEW

HIGH YIELD BONDS ISSUANCE - YTD BY SUB-INDUSTRY

2

4

6

8

10

12

14

16

18

20

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

Oth

er …

Ca

ble

Oil

& G

as

Met

als

& …

Cr

edit …

H

ealth

care

…

Food

and

…

Pow

er

Food

& …

Co

mpu

ters

& …

M

achi

nery

Co

ntai

ners

& …

Bu

ildin

g/Co

n…

Broa

dcas

ting

Spac

e an

d …

Sem

icon

duct

…

Casi

nos

& …

Te

leco

mm

un…

Te

xtile

s &

…

Cons

truc

tion …

O

ther

…

Oth

er R

etai

ling

Hos

pita

ls

Wire

less

RE

ITs

Aut

omob

iles …

So

ftw

are

Adv

ertis

ing

& …

E-

com

mer

ce …

Br

oker

age

Pipe

lines

Pr

ofes

sion

al …

Ph

arm

aceu

ti…

Chem

ical

s H

ealth

care

…

Aer

ospa

ce &

…

Hot

els

and …

W

ater

and

…

Ass

et …

In

tern

et …

Re

al E

stat

e …

IT C

onsu

lting

…

Hom

e …

App

arel

…

Insu

ranc

e Ed

ucat

iona

l …

Tran

spor

tati…

O

ther

Tel

ecom

M

otio

n …

Aut

omot

ive …

D

isco

unt a

nd …

Pe

troc

hem

ical

s Co

mpu

ters

& …

Pu

blis

hing

Ba

nks

Elec

tron

ics

# o

f Iss

ues

Pro

ceed

s (U

S$ B

ils.)


# of Issues


36


At the subsector level, other financial related companies make up the largest issuers so far this year with $16.4 billion of issuance (12% share).

Next are cable companies at $14.1 billion and oil & gas at $9.1 billion.

HIG

H YIELD

BON

D M

ARKET OVERVIEW

HIGH YIELD BOND ISSUANCE – YTD BY RATING

10

20

30

40

50

60

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

BB+ BB BB- B+ B B- CCC+ C NR

# o

f Iss

ues

Pro

ceed

s (U

S$ B

ils.)


# of Issues


37


Over half (56%) of high-yield bonds issued so far this year are rated BB- or higher.

HIG

H YIELD

BON

D M

ARKET OVERVIEW

HY BOND FUND FLOWS – MUTUAL FUND VS. ETF BREAKOUT*


38

HY BOND FUND FLOWS

• Based on the most recent data available, HY bond funds posted strong inflows of $6.4 billion in July. Looking at it by fund type, both mutual funds and ETFs saw inflows of $3.2 billion.

• Year to date, HY bond funds have added $9.8 billion, comprised of $6 billion for mutual funds and $3.8 billion for ETFs.

HIG

H YIELD

BON

D M

ARKET OVERVIEW

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

HIGH YIELD BOND INDEX

70

75

80

85

90

95

100

105

110

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

1/3/

2011

4/3/

2011

7/3/

2011

10/3

/20…

1/3/

2012

4/3/

2012

7/3/

2012

10/3

/20…

1/3/

2013

4/3/

2013

7/3/

2013

10/3

/20…

1/3/

2014

4/3/

2014

7/3/

2014

10/3

/20…

1/3/

2015

4/3/

2015

7/3/

2015

10/3

/20…

1/3/

2016

4/3/

2016

7/3/

2016

Pri

ce (%

of p

ar)

Yie

ld to

wor

st (%

)

Yield

Price


39

U.S. HIGH YIELD BOND INDEX

HY bond yields tightened by 57 bps in July to 6.71%. Yields have come down by over 200 bps since the start of the year.

HIG

H YIELD

BON

D M

ARKET OVERVIEW

INVESTOR OVERVIEW

U.S. CLO ASSETS UNDER MANAGEMENT

500 550 600 650 700 750 800 850 900 950 1,000 1,050 1,100

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

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

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


41

ASSETS UNDER MANAGEMENT

U.S. CLO assets under management held steady at $434 billion in July.

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

Loan

mut

ual f

und

& E

TF A

UM

($

Bils

.)


42

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

Loan mutual fund & ETF assets under management (market value) increased by 2% in July to nearly $115 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

Oct

-12

Dec

-12

Feb-

13

Apr

-13

Jun-

13

Aug

-13

Oct

-13

Dec

-13

Feb-

14

Apr

-14

Jun-

14

Aug

-14

Oct

-14

Dec

-14

Feb-

15

Apr

-15

Jun-

15

Aug

-15

Oct

-15

Dec

-15

Feb-

16

Apr

-16

Jun-

16 In

vest

or s

hare

of i

nsti

tuti

onal

loan

ou

tsta

ndin

gs (%

)

CLOs

Loan Funds (mutual funds & ETFs)

Other


43

INVESTOR SHARE OF INSTITUTIONAL LOAN OUTSTANDINGS

The CLO share of institutional loan outstandings is at roughly 50%. Loan mutual funds & ETF market share is at 12%.

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

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

$ B

ils.

CLO Issuance Loan fund flows


44

MONTHLY CLO ISSUANCE VS. LOAN FUND FLOWS

U.S. CLO issuance amounted to $5.8 billion (12 deals) in July, taking year to date issuance to $32 billion.

• Based on the most recent data available, loan funds saw a $432 million inflow in July, though outflows have dominated year to date, standing at over 6 billion.

INVESTO

R OVERVIEW

CLO MARKET ANALYSIS*

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

U.S. CLO ISSUANCE - 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

Num

ber o

f CLO

s is

sued

CLO

Issu

ance

($B

ils.)

Issuance ($Bils.)

Count


46

CLO ISSUANCE

U.S. CLO issuance amounted to $5.8 billion (12 deals) in July. This brought YTD issuance to $32 billion (74 deals), down sharply from $67.7

billion (128 deals) in the same period last year.

CLO M

ARKET ANALYSIS

U.S. CLO AVERAGE SIZE

300

350

400

450

500

550

600

650

Jan-

13

Feb-

13

Mar

-13

Apr

-13

May

-13

Jun-

13

Jul-1

3 A

ug-1

3 Se

p-13

O

ct-1

3 N

ov-1

3 D

ec-1

3 Ja

n-14

Fe

b-14

M

ar-1

4 A

pr-1

4 M

ay-1

4 Ju

n-14

Ju

l-14

Aug

-14

Sep-

14

Oct

-14

Nov

-14

Dec

-14

Jan-

15

Feb-

15

Mar

-15

Apr

-15

May

-15

Jun-

15

Jul-1

5 A

ug-1

5 Se

p-15

O

ct-1

5 N

ov-1

5 D

ec-1

5 Ja

n-16

Fe

b-16

M

ar-1

6 A

pr-1

6 M

ay-1

6 Ju

n-16

Ju

l-16

$ M

ils.


47

U.S. BSL CLO AVERAGE SIZE

• The average size of the ten BSL CLOs issued in July increased to $505 million, with deals ranging from $354 million to $814 million.

• Year to date, the average deal size is $433 million.

CLO M

ARKET ANALYSIS

EUROPEAN CLO ISSUANCE - MONTHLY


48

EUROPEAN CLO ISSUANCE

The European CLO market added another €2.6 billion of issuance from six deals in July. Issuance through July is at €9.76 billion (24 deals), similar to the €9.82 billion (25 deals) in

the same 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-

2010

M

ar-2

010

May

-201

0 Ju

l-201

0 Se

p-20

10

Nov

-201

0 Ja

n-20

11

Mar

-201

1 M

ay-2

011

Jul-2

011

Sep-

2011

N

ov-2

011

Jan-

2012

M

ar-2

012

May

-201

2 Ju

l-201

2 Se

p-20

12

Nov

-201

2 Ja

n-20

13

Mar

-201

3 M

ay-2

013

Jul-2

013

Sep-

2013

N

ov-2

013

Jan-

2014

M

ar-2

014

May

-201

4 Ju

l-201

4 Se

p-20

14

Nov

-201

4 Ja

n-20

15

Mar

-201

5 M

ay-2

015

Jul-2

015

Sep-

2015

N

ov-2

015

Jan-

2016

M

ar-2

016

May

-201

6 Ju

l-201

6

Num

ber o

f dea

ls

CLO

issu

ance

(€B

ils.)

Volume

Number of Deals

CLO ASSETS UNDER MANAGEMENT

0 50

100 150 200 250 300 350 400 450 500

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

CLO

Agg

rega

te P

rinc

ipal

Bal

ance

($

USD

/Eur

o bi

ls.)

U.S.

Europe*


49

CLO AGGREGATE PRINCIPAL BALANCE: U.S & EUROPE

• Assets under management held steady at $434 billion for U.S. CLOs and increased to €65 billion for European CLOs.

CLO M

ARKET ANALYSIS

*History revised

U.S. CLO AUM BY VINTAGE

0

20

40

60

80

100

120

140

<=2004 2005 2006 2007 2008 2010 2011 2012 2013 2014 2015 2016

CLO

Agg

rega

te P

rinc

ipal

Bal

ance

($

Bils

.)

50

U.S. CLO AGGREGATE PRINCIPAL BALANCE BY VINTAGE

CLO 2.0s now account for 90% of U.S. CLO assets under management. Deals issued since the beginning of 2015 represent 32% of CLO assets under management.

CLO M

ARKET ANALYSIS


Year issued

EUROPEAN CLO AUM BY VINTAGE

0

2

4

6

8

10

12

14

16

<=2004 2005 2006 2007 2008 2013 2014 2015 YTD 2016

CLO

Agg

rega

te P

rinc

ipal

Bal

ance

(€

Bils

.)

51

EUROPEAN CLO AGGREGATE PRINCIPAL BALANCE BY VINTAGE

European CLO 2.0s share of assets under management is now at €45 billion or 68% of the market.

CLO M

ARKET ANALYSIS


Year issued *Based on year issued

TOP LOAN HOLDINGS IN U.S. CLO PORTFOLIOS Leveraged Loan Monthly - July 2016

52

CLO M

ARKET ANALYSIS

-

*Excludes CLOs not yet in LPC Collateral

Rank Issuer Approx. Amount ($Bils.)*

1 Valeant Pharmaceuticals 3.30

2 Asurion Corp 2.99

3 First Data Corp 2.93

4 Avago Technologies 2.89

5 Albertson 2.59

6 Community Health 2.57

7 Transdigm 2.19

8 Charter Communications 2.04

9 Calpine Corp 2.02

10 Scientific Games 1.95

11 Dell Inc 1.94

12 American Airlines 1.94

13 Univision Communications 1.94

14 Numericable SAS 1.76

15 Ineos Group Ltd 1.68

16 Cablevision Systems Corp 1.68

17 Royalty Pharma 1.66

18 Formula One Group 1.58

19 Petsmart Inc 1.54

20 Berry Plastics Corp 1.50

Rank Issuer Approx. Amount ($Bils.)*

21 Level 3 Communications 1.43

22 WME IMG Holdings LLC 1.33

23 Fortescue Metals Group Ltd 1.33

24 Sabre Holdings Corp 1.32

25 BMC Software 1.31

26 Western Digital Corp 1.29

27 Dell Computer Corp 1.28

28 MacDermid Inc 1.27

29 Infor Global Solutions 1.26

30 Advantage Sales & Marketing (Karman Buyer Corp) 1.24

31 Federal-Mogul Corp 1.23

32 Travelport Inc 1.22

33 HCA Inc. 1.22

34 Endo Pharmaceuticals 1.21

35 TXU Corp 1.21

36 Tribune Co 1.17

37 Pharmaceutical Product Development 1.17

38 Energy Transfer Equity LP 1.16

39 Communications Sales & Leasing Inc 1.15

40 Protection One 1.15

TOP LOAN HOLDINGS IN EUROPEAN CLO PORTFOLIOS Leveraged Loan Monthly - July 2016

53

CLO M

ARKET ANALYSIS

-

*Excludes CLOs not yet in LPC Collateral

Rank Issuer Approx. Amount

(€Bils.)*

1 ZIGGO BV 1.161

2 eircom Group Plc 1.050

3 Ineos Group Ltd 1.043

4 Telenet Operatives NV 0.886

5 Numericable SAS 0.869

6 IDCSalud Quiron 0.816

7 Ista International GmbH 0.743

8 First Data Corp 0.675

9 Flint Group 0.658

10 Springer Science & Business Media GmbH 0.616

11 Dell Computer Corp 0.549

12 Wind Telecomunicazione Spa 0.525

13 BSN Medical GmbH & Co KG 0.501

14 SIG Combibloc Group AG 0.491

15 Verallia SA 0.453

16 IMS Healthcare 0.451

17 Nets Holding A/S 0.421

18 ConvaTec Ltd 0.416

19 Douglas Holding AG 0.413

20 Ahlsell AB 0.387

Rank Issuer Approx. Amount

(€Bils.)*

21 Gala Coral Group Ltd 0.376

22 Patheon Inc 0.368

23 Jacobs Douwe Egberts 0.349

24 Iglo Foods Group Ltd 0.344

25 Unit 4 Agresso NV 0.337

26 Diaverum AB [Ex-Gambro Healthcare] 0.330

27 CBR Holding GmbH & Co 0.317

28 Mauser AG 0.317

29 Western Digital Corp 0.315

30 Solera 0.315

31 VERISURE HOLDING AB 0.313

32 Tele Columbus GmbH 0.311

33 OGF(Pompes Funebres Generale) 0.304

34 Foncia SA 0.298

35 Infor Global Solutions 0.298

36 MacDermid Inc 0.296

37 Catalent Pharma 0.294

38 Technicolor SA (Thomson) 0.293

39 Ceva Sante Animale SA 0.290

40 Delachaux SA 0.289

DEFAULTED ASSETS IN U.S. CLOS

0%

5%

10%

15%

20%

25%

30%

35%

40%

0

>0 to

<1

1 to

<2

2 to

<3

3 to

<4

4 to

<5

5 to

<6

6 to

<7

7 to

<8

8 to

<9

9 to

<10

10 to

<15

15 to

<20

>=20

Shar

e of

CLO

s

Percentage of assets in default

CLO 1.0 CLO 2.0


54

DEFAULTED ASSETS IN U.S. CLOS

Just over one-third (35%) of CLO 2.0s currently have no defaulted assets in their portfolio, while an additional 34% of CLOs have sub-1 percent of their assets in default.

CLO M

ARKET ANALYSIS

DEFAULT ED ASSETS IN EUROPEAN CLOS

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0

>0 to

<1

1 to

<2

2 to

<3

3 to

<4

4 to

<5

5 to

<6

6 to

<7

7 to

<8

8 to

<9

9 to

<10

10 to

<15

15 to

<20

>=20

Shar

e of

CLO

s

Percentage of assets in default

CLO 1.0 CLO 2.0


55

DEFAULT ED ASSETS IN EUROPEAN CLOS

Nearly all European CLO 2.0s have no defaulted assets in their portfolio. For CLO 1.0s, 45% of deals have no defaulted assets, while an additional 19%

have sub-1 percent of their assets in default.

CLO M

ARKET ANALYSIS

DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

<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)

U.S. Europe


56

DISTRIBUTION OF SECONDARY MARKET PRICES OF LOAN ASSETS IN CLOS

The share of loan holdings bid above par rebounded sharply in July. The share of loan assets in U.S. CLOs bid in the par-plus area increased to 33%

and to 41% for European CLOs.

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

Bid

(% o

f par

)

US Avg. Bid

US Median Bid


57

AVERAGE BID OF U.S. CLO PORTFOLIOS

The average bid of U.S. CLO portfolios increased to 96.41 in July, a gain of over 100 bps.

The median bid climbed to 96.74 from 95.73 a month earlier.

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

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

Bid

(% o

f par

)

EUR Avg. Bid

EUR Median Bid


58

AVERAGE BID OF EUROPEAN CLO PORTFOLIOS

The average bid of European CLOs asset portfolios climbed over 100 bps to 96.22 in July.

The median bid increased to 98.10 from 96.79 a month earlier.

CLO M

ARKET ANALYSIS

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

0%

5%

10%

15%

20%

25%

30%

<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


59

CLO PORTFOLIO WEIGHTED AVERAGE BID DISTRIBUTION (UNDERLYING ASSETS )

43% of US CLOs and 62% of European CLO portfolios have a weighted average bid on their assets above 97 cents on the dollar.

At the lower end, 1% of U.S. CLOs and 10% of European CLOs now have a weighted average bid in the sub-90 range.

CLO M

ARKET ANALYSIS

*Excludes CLOs less than $50 million in size.

LIST OF RECENT CLOS / LEAGUE TABLES

YTD 2016 U.S. CLOS Leveraged Loan Monthly - July 2016

61

LIST OF CLO

S


Date priced CLO manager CLO name Agent bank Trustee

Deal size

AAA size

Equity size

22-Jan-16 Babson Capital Babson CLO 2016-1 Morgan Stanley Citi/Virtus 407.00 250.50 36.50 22-Jan-16 Voya Investment Management Voya CLO 2016-1 JP Morgan US Bank 419.30 257.30 37.75 2-Feb-16 Golub Capital Golub 30 Greensledge US Bank 478.00 95.50

12-Feb-16 NewStar Financial Newstar Commercial Loan Funding 2016-1 Wells Fargo US Bank 348.01 196.50 45.51

24-Feb-16 Neuberger Berman Neuberger Berman CLO XXI Morgan Stanley US Bank 361.50 226.20 30.90

25-Feb-16 BlackRock Financial Management Magnetite XVII Deutsche Bank Deutsche Bank 498.75 320.00 38.75

25-Feb-16 Credit Suisse Asset Management Madison Park Funding XX JP Morgan Wells Fargo 504.90 310.00 44.90

25-Feb-16 Denali Capital Denali Capital CLO XII BNP Paribas US Bank 358.84 222.25 36.86

4-Mar-16 Highbridge Principal Strategies Highbridge Loan Management 8-2016 Morgan Stanley US Bank 406.75 251.00 37.75

9-Mar-16 Oaktree Capital Management Oaktree EIF I Series A Wells Fargo BNY Mellon 470.00 289.80 88.10

15-Mar-16 American Capital Asset Management ACAS CLO 2016-9 Citi US Bank 405.48 268.00 36.48

16-Mar-16 Wellfleet Credit Partners Wellfleet CLO 2016-1 Morgan Stanley US Bank 358.50 229.50 34.50

17-Mar-16 Carlyle Investment Management Carlyle GMS CLO 2016-1 JP Morgan State Street 402.90 246.40 34.90

18-Mar-16 Symphony Asset Management Symphony CLO XVII Greensledge BNY Mellon 512.00 320.75 52.00 21-Mar-16 LCM Asset Management LCM XXI Deutsche Bank Deutsche Bank 381.06 235.00 36.36 23-Mar-16 Invesco Upland CLO Citi US Bank 406.25 260.00 38.25 23-Mar-16 Creek Source LLC Mill Creek CLO II Goldman Sachs Wells Fargo 302.50 196.50 34.60 24-Mar-16 Telos Asset Management Telos CLO 2016-7 Societe Generale US Bank 252.37 156.50 27.37

24-Mar-16 Octagon Credit Investors Octagon Investment Partners 26 Bank of America Merrill Lynch US Bank 509.10 310.00 49.10

31-Mar-16 Canyon Capital Canyon CLO 2016-1 Goldman Sachs Deutsche Bank 451.00 292.50 39.25


62

LIST OF CLO

S Cont’d from prior slide

Date priced CLO manager CLO name Agent bank Trustee Deal size

AAA size

Equity size

13-Apr-16 BlueMountain Capital Management BlueMountain CLO 2016-1 JP Morgan Citi/Virtus 424.00 263.50 33.00

15-Apr-16 Regatta Loan Management Regatta VI Morgan Stanley US Bank 411.00 255.00 42.00

20-Apr-16 American Money Management Corp AMMC CLO 18 Jefferies US Bank 406.15 243.00 38.15

20-Apr-16 Onex Credit Partners OCP 2016-11 Citi Citi/Virtus 501.60 310.00 45.10

20-Apr-16 Prudential Investment Management Dryden 42 Senior Loan Fund BNP Paribas US Bank 401.75 248.00 35.75

20-Apr-16 Zais Group Zais CLO 4 RBC Capital Markets US Bank 280.70 188.50 35.20

20-Apr-16 Golub Capital Golub Capital Partners CLO LTD 2016-31 Wells Fargo Wells Fargo 354.29 192.50 98.41

25-Apr-16 Sound Point Capital Management Sound Point CLO XI Credit Suisse US Bank 512.50 322.50 52.50

26-Apr-16 Palmer Square Capital Management

Palmer Square Loan Funding 2016-2 JP Morgan Citi/Virtus 200.78 135.00 15.78

27-Apr-16 Highbridge Principal Strategies Highbridge Loan Management 9-2016 Citi US Bank 502.55 310.00 42.55

27-Apr-16 Carlyle Investment Management Carlyle GMS CLO 2016-2 Citi US Bank 499.00 310.00 39.00 27-Apr-16 Sankaty Advisors Race Point X Citi Wells Fargo 401.85 259.00 31.35

29-Apr-16 Black Diamond Capital Management Black Diamond CLO 2016-1 JP Morgan US Bank 359.60 213.50 38.30

29-Apr-16 Brightwood Capital Advisors Brightwood Capital Fund III Natixis US Bank 652.80 358.80 230.00 2-May-16 Trinitas Capital Management Trinitas CLO IV Wells Fargo US Bank 406.65 260.00 36.65

5-May-16 Aegon USA Investment Management Cedar Funding V Jefferies Citi/Virtus 397.15 254.00 28.65

10-May-16 Apollo Credit Management ALM XIX Citi US Bank 473.35 308.75 36.35 12-May-16 MidOcean Credit Partners MidOcean Credit CLO V Credit Suisse Wells Fargo 405.25 256.00 29.25 13-May-16 DFG Investment Advisors Vibrant CLO 2016-4 Goldman Sachs Citi/Virtus 406.00 260.00 40.00 16-May-16 York Capital York CLO-3 Morgan Stanley US Bank 403.20 269.50 31.70



63

LIST OF CLO


Date priced CLO manager CLO name Agent bank Trustee

Deal size

AAA size

Equity size

17-May-16 Newfleet Asset Management Newfleet CLO 2016-1 Wells Fargo BNY Mellon 356.3 228.0 36.3

18-May-16 THL Credit THL Credit Wind River 2016-1 RBC Capital Markets US Bank 608.3 384.0 56.3

23-May-16 Rothschild Ocean Trails 2016-6 Nomura US Bank 305.5 194.0 26.0

25-May-16 Octagon Credit Investors Octagon Investment Partners 27 Citi US Bank 510.4 310.0 50.4

26-May-16 Steele Creek Investment Management Steele Creek CLO 2016-1 BNP Paribas US Bank 306.5 192.3 24.0

31-May-16 Arrowpoint Asset Management Arrowpoint CLO 2016-5 Goldman Sachs US Bank 354.5 224.0 17.5 31-May-16 KKR Financial Advisors KKR CLO 14 Natixis BNY Mellon 508.2 320.0 50.5

02-Jun-16 TCI Capital Management Flatiron 2016-1 Bank of America Merrill Lynch Deutsche Bank 408.5 256.0 40.5

03-Jun-16 Teacher's Advisors Inc TIAA CLO I Wells Fargo US Bank 455.5 292.5 41.5 07-Jun-16 Voya Investment Management Voya CLO 2016-2 Citi US Bank 407.3 259.0 39.2

09-Jun-16 TPG Capital TICP CLO V Bank of America Merrill Lynch US Bank 410.3 240.0 42.3

10-Jun-16 GSO Blackstone Westcott Park CLO Wells Fargo Wells Fargo 650.1 413.4 61.3 10-Jun-16 Apollo Credit Management ALM XVIII BNP Paribas US Bank 450.1 275.0 36.6

16-Jun-16 Guggenheim Investment Management Seven Sticks CLO Citi US Bank 401.5 256.0 33.3

16-Jun-16 PineBridge Investments Galaxy CLO XXII Goldman Sachs US Bank 400.0 256.4 28.0 16-Jun-16 MJX Asset Management Venture CLO XXIII Credit Suisse Citi/Virtus 411.3 258.5 40.8

17-Jun-16 Benefit Street Partners Benefit Street Partners CLO IX Morgan Stanley US Bank 404.4 256.0 34.4

17-Jun-16 Guggenheim Investment Management 1828 CLO Greensledge US Bank 410.0 250.4 44.3

22-Jun-16 GoldenTree Asset Management GoldenTree Loan Opportunities XII Greensledge BNY Mellon 411.0 246.8 41.4

22-Jun-16 Anchorage Capital Group Anchorage Capital CLO 8 Deutsche Bank US Bank 409.8 251.2 32.6 23-Jun-16 Ares Management Ares XXXIX JP Morgan US Bank 510.0 330.0 45.0 30-Jun-16 Mariner Investment Group Mariner CLO 2016-3 Citi US Bank 503.4 330 43.4


64

LIST OF CLO


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

Equity size

1-Jul-16 Monroe Capital Monroe Capital MML CLO 2016-1 BNP Paribas

Deutsche Bank

305.0

168.0 50.0

8-Jul-16 Apex Credit Partners JFIN CLO 2016-1 Jefferies US Bank

353.5

222.0 31.5

12-Jul-16 Invesco Annisa CLO Barclays BNY Mellon

408.4

256.0 40.4

14-Jul-16 Sound Point Capital Management Sound Point CLO XII Credit Suisse US Bank

722.5

456.8 73.3

15-Jul-16 Credit Suisse Asset Management Madison Park Funding XXI Citi Wells Fargo

814.3

516.0 78.3

15-Jul-16 Prudential Investment Management Dryden 43 Senior Loan Fund Deutsche Bank US Bank

612.3

381.0 55.5

21-Jul-16 BlueMountain Capital Management BlueMountain CLO 2016-2 Citi Citi/Virtus

505.6

304.9 46.8

22-Jul-16 Golub Capital Golub Capital Investment Corp 2016 Wells Fargo Wells Fargo

410.1

220.0 86.7

22-Jul-16 CVC Credit Partners Apidos CLO 24 Bank of America Merrill Lynch BNY Mellon

409.0

248.0 41.0

26-Jul-16 Intermediate Capital Group ICG US CLO 2016-1, LTD. Citi US Bank

405.8

256.0 37.8

25-Jul-16 Guardian Life PAIA CLO 2016-1 JP Morgan State Street

406.0

250.5 43.0

29-Jul-16 Babson Capital Management Babson CLO 2016-II Morgan Stanley US Bank

411.0

254.5 40.5

YTD 2016 U.S. CLO - PRICING Leveraged Loan Monthly - July 2016

65

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

22-Jan-16 Babson CLO 2016-1 150 150 225 225 325 325 385 475 655 890 22-Jan-16 Voya CLO 2016-1 150 220 295 420 655 2-Feb-16 Golub Capital CLO 2016-30 233 425

12-Feb-16 Newstar Commercial Loan Funding 2016-1 230 230 375 375 540 540

24-Feb-16 Neuberger Berman CLO XXI 155 240 330 495 700 25-Feb-16 Magnetite XVII 155 155 235 235 345 345 515 575 815 950 25-Feb-16 Madison Park Funding XX 155 235 330 445 740 25-Feb-16 Denali Capital CLO XII 175 245 345 465 775

4-Mar-16 Highbridge Loan Management 8-2016 155 155 240 240 375 375 485 624 790 975

9-Mar-16 Oaktree EIF I Series A 158 158 250 250 400 15-Mar-16 ACAS CLO 2016-9 158 340 360 535 855 855 16-Mar-16 Wellfleet CLO 2016-1 175 265 365 557 858 17-Mar-16 Carlyle GMS CLO 2016-1 158 235 330 490 760 18-Mar-16 Symphony CLO XVII 150 225 335 480 740 21-Mar-16 LCM XXI 155 155 240 240 350 350 510 570 765 910 23-Mar-16 Upland CLO 160 160 240 240 345 350 435 600 825 990 23-Mar-16 Mill Creek CLO II 175 175 250 257 335 365 485 570 775 960 24-Mar-16 Telos CLO 2016-7 165 270 325 500 750

24-Mar-16 Octagon Investment Partners 26 158 158 250 250 335 350 495 570 785 935

31-Mar-16 Canyon CLO 2016-1 160 160 243 243 355 360 545/485 590/570 750 960



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

13-Apr-16 BlueMountain CLO 2016-1 158 158 230 230 325 325 450 500 730 800 15-Apr-16 Regatta VI 169 240 342 505 701 20-Apr-16 AMMC CLO 18 165 165 260 260 324 500 667/725 20-Apr-16 OCP 2016-11 159 159 240 245 345 345 500 600 700/900 900

20-Apr-16 Dryden 42 Senior Loan Fund 156 156 215 215 215 315 450 preplace

d 725 795 20-Apr-16 Zais CLO 4 158 255 366 562

20-Apr-16 Golub Capital Partners CLO LTD 2016-31 220 220 315 325 440 460

25-Apr-16 Sound Point CLO XI 165 240 320 465 695

26-Apr-16 Palmer Square Loan Funding 2016-2 135 135 210 210 315 315 430 450 700 750

27-Apr-16 Highbridge Loan Management 9-2016 156 156 225 225 330 530 645 800

27-Apr-16 Carlyle GMS CLO 2016-2 156 156 220 220 330 530 645 800 27-Apr-16 Race Point X 160 160 235 235 345 550 725 835 750 1050

29-Apr-16 Black Diamond CLO 2016-1 165 265 335 485 815

29-Apr-16 Brightwood Capital Fund III 264 2-May-16 Trinitas CLO IV 175 275 370 530/650 863 5-May-16 Cedar Funding V 161 161 235 235 310 325 465 465 770 770

10-May-16 ALM XIX 155 155 220 220 300 300 435 450 735 775 12-May-16 MidOcean Credit CLO V 170 260 350 550 695 730 13-May-16 Vibrant CLO 2016-4 165 170 240 255 330 360 450 575 675 16-May-16 York CLO-3 157 157 220 220 335 335 535/495 535 568 900



67

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

17-May-16 Newfleet CLO 2016-1 185 185 275 375 675 1100

18-May-16 THL Credit Wind River 2016-1 165 165 235 235 320 320 465 530 750 850

23-May-16 Ocean Trails 2016-6 175 258 345 500 775

25-May-16 Octagon Investment Partners 27 153 153 215 215 300 300 475 475 710 800

26-May-16 Steele Creek CLO 2016-1 170 250 350 600 675 31-May-16 Arrowpoint CLO 2016-5 172 172 230 255 325 355 465 573 695 950 31-May-16 KKR CLO 14 162 162 230 230 321 325 435 490 700 882 02-Jun-16 Flatiron 2016-1 155 220 305 435 725

03-Jun-16 TIAA CLO I 170 170 230 252 325 352 520 575 805/1000 950/1000

07-Jun-16 Voya CLO 2016-2 154 154 210 210 290 290 425 455 695 800

09-Jun-16 TICP CLO V 164 164 239 249 300 320 435/498 498/528 750 950 10-Jun-16 Westcott Park CLO 153 153 210 210 290 290 435 450 720 800 10-Jun-16 ALM XVIII 153 153 215 215 290 290 435 450 760 800 16-Jun-16 Seven Sticks CLO 170 170 230 230 325 325 410 520 760 925 16-Jun-16 Galaxy CLO XXII 158 158 210 210 290 290 445 450 700/825 825/840 820 950 16-Jun-16 Venture CLO XXIII 165 230 320 445 770

17-Jun-16 Benefit Street Partners CLO IX 161 161 210 210 295 295 420 480 667 905

17-Jun-16 1828 CLO 160 160 240 240 340 340 450 515 700 925

22-Jun-16 GoldenTree Loan Opportunities XII 153 153 215 215 290 290 425 450 715 850

22-Jun-16 Anchorage Capital CLO 8 165 167 225 225 315 315 420 495 650 23-Jun-16 Ares XXXIX 153 200 275 430 725 30-Jun-16 Mariner CLO 2016-3 159 159 200 290 400 700


68

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

1-Jul-16 Monroe Capital MML CLO 2016-1 225 330 450 675 900

8-Jul-16 JFIN CLO 2016-1 175 260 360 465 720

12-Jul-16 Annisa CLO 155 155 210 215 290 290 430 485 725 925

14-Jul-16 Sound Point CLO XII 166 225 290 425 640

15-Jul-16 Madison Park Funding XXI 153 153 200 200 275 275 400 450 725 800

15-Jul-16 Dryden 43 Senior Loan Fund 154 154 200 200 270 270 410 450 725 825

21-Jul-16 BlueMountain CLO 2016-2 155 155 200 200 270 270 410 435 700 775

22-Jul-16 Golub Capital Investment Corp 2016 215 215 300 300

22-Jul-16 Apidos CLO 24 150 151 200 200 270 270 395 435 755 795

26-Jul-16 ICG US CLO 2016-1, LTD. 160 160 220 220 300 300 425 480 675 855

25-Jul-16 PAIA CLO 2016-1

29-Jul-16 Babson CLO 2016-II 145 145 190 190 260 260 390 420 690 775

YTD 2016 U.S. CLO ARRANGER LEAGUE TABLE (BY VOLUME) (THROUGH JULY 31, 2016)


69

CLO LEAG

UE TABLES

Rank Bank Holding Company Arranger Volume # of Deals Market Share 1 Citi 6,739 14 21.1% 2 Wells Fargo 3,451 8 10.8% 3 JP Morgan 3,227 8 10.1% 4 Morgan Stanley 3,163 8 9.9% 5 Credit Suisse 2,052 4 6.4% 6 Goldman Sachs 1,914 5 6.0% 7 Deutsche Bank 1,902 4 5.9% 8 BNP Paribas 1,822 5 5.7% 9 GreensLedge Capital 1,811 4 5.7%

10 Bank of America Merrill Lynch 1,737 4 5.4% 11 Natixis 1,161 2 3.6% 12 Jefferies 1,157 3 3.6% 13 RBC Capital Markets 889 2 2.8% 14 Barclays 408 1 1.3% 15 Nomura 306 1 1.0% 16 Societe Generale 252 1 0.8%

YTD 2016 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME)

(THROUGH JULY 31, 2016)


70

CLO LEAG

UE TABLES


Rank CLO Manager CLO Volume # of Deals Market Share 1 Credit Suisse Asset Management 1,319.2 2 4.12% 2 Golub Capital Partners 1,242.4 3 3.88% 3 Sound Point Capital Management 1,235.0 2 3.86% 4 Octagon Credit Investors 1,019.5 2 3.19% 5 Prudential Investment Management 1,014.1 2 3.17% 6 BlueMountain Capital Management 929.6 2 2.91% 7 Apollo Credit Management 923.4 2 2.89% 8 Highbridge Principal Strategies 909.3 2 2.84% 9 Carlyle Investment Management 901.9 2 2.82% 10 Voya Investment Management 826.6 2 2.58% 11 Babson Capital 818.0 2 2.56% 12 Invesco 814.7 2 2.55% 13 Guggenheim Investment Management 811.4 2 2.54% 14 Brightwood Capital Advisors 652.8 1 2.04% 15 GSO Blackstone 650.1 1 2.03% 16 THL Credit 608.3 1 1.90% 17 Symphony Asset Management 512.0 1 1.60% 18 Ares Management 510.0 1 1.59% 19 KKR Financial Advisors 508.2 1 1.59% 20 Mariner Investment Group 503.4 1 1.57% 21 Onex Credit Partners 501.6 1 1.57% 22 BlackRock Financial Management 498.8 1 1.56% 23 Oaktree Capital Management 470.0 1 1.47% 24 Teacher's Advisors Inc 455.5 1 1.42% 25 Canyon Capital 451.0 1 1.41% 26 MJX Asset Management 411.3 1 1.29% 27 GoldenTree Asset Management 411.0 1 1.28% 28 Regatta Loan Management 411.0 1 1.28% 29 TPG Capital 410.3 1 1.28% 30 Anchorage Capital Group 409.8 1 1.28%

YTD 2016 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME)

(THROUGH JULY 31, 2016)


71

CLO LEAG

UE TABLES


Rank CLO Manager CLO Volume # of Deals Market Share 31 CVC Credit Partners 409.0 1 1.28% 32 TCI Capital Management 408.5 1 1.28% 33 Trinitas Capital Management 406.7 1 1.27% 34 American Money Management Corp 406.2 1 1.27% 35 DFG Investment Advisors 406.0 1 1.27% 36 Guardian Life 406.0 1 1.27% 37 Intermediate Capital Group 405.8 1 1.27% 38 American Capital Asset Management 405.5 1 1.27% 39 MidOcean Credit Partners 405.3 1 1.27% 40 Benefit Street Partners 404.4 1 1.26% 41 York Capital 403.2 1 1.26% 42 Sankaty Advisors 401.9 1 1.26% 43 PineBridge Investments 400.0 1 1.25% 44 Aegon USA Investment Management 397.2 1 1.24% 45 LCM Asset Management 381.1 1 1.19% 46 Neuberger Berman 361.5 1 1.13% 47 Black Diamond Capital Management 359.6 1 1.12% 48 Denali Capital 358.8 1 1.12% 49 Wellfleet Credit Partners 358.5 1 1.12% 50 Newfleet Asset Management 356.3 1 1.11% 51 Arrowpoint Asset Management 354.5 1 1.11% 52 Apex Credit Partners 353.5 1 1.11% 53 NewStar Financial 348.0 1 1.09% 54 Steele Creek Investment Management 306.5 1 0.96% 55 Rothschild 305.5 1 0.95% 56 Monroe Capital 305.0 1 0.95% 57 Creek Source LLC 302.5 1 0.95% 58 Zais Group 280.7 1 0.88% 59 Telos Asset Management 252.4 1 0.79% 60 Palmer Square Capital Management 200.8 1 0.63%

YTD 2016 U.S. CLO TRUSTEE LEAGUE TABLE (BY VOLUME) (THROUGH JULY 31, 2016)


72

CLO LEAG

UE TABLES

Rank Trustee Trustee Volume # of Deals Market Share

1 US Bank 18,965.70 44 59.3%

2 Wells Fargo 3,843.30 8 12.0%

3 Citi/Virtus 3,253.30 8 10.2%

4 BNY Mellon 3,074.90 7 9.6%

5 Deutsche Bank 2,044.30 5 6.4%

6 State Street 808.9 2 2.5%

YTD 2016 EUROPEAN CLOS Leveraged Loan Monthly - July 2016

73

LIST OF CLO

S

Deal Size Liability Spread (bps) Date Priced CLO Name CLO Manager (€m) Agent Bank AAA AA A BBB BB B

15-Jan-16 Arbour CLO III Oaktree Capital Management 414.4 Citi 150 220 305 420 644 856

9-Feb-16 Blackrock European CLO I BlackRock Investment Management 410.2 Credit Suisse 150

17-Mar-16 CVC Cordatus Loan Fund VI CVC Credit Partners 411.0 Credit Suisse 150 215 350 515

22-Mar-16 BlueMountain Euro CLO 2015-1 BlueMountain Fuji Management 409.8 JP Morgan 170 235 335 515 815

22-Mar-16 Contego CLO III NM Rothschild & Sons 307.8 Deutsche Bank 157 220 335 510 800 24-Mar-16 Bosphorus CLO II Commerzbank 277.7 Stifel 143 215 750 875

30-Mar-16 Harvest CLO XV 3i Debt Management 413.0 RBC/Resource Capital 150 225 335

8-Apr-16 Carlyle Global Market Strategies Euro CLO 2016-1

Carlyle Investment Management 410.0 Citi 145

12-Apr-16 Cadogan Square CLO VII Credit Suisse Asset Management 411.7 Morgan Stanley 150 220 330 490 770

27-Apr-16 Elm Park CLO Blackstone/GSO 558.1 Deutsche Bank 150 210 315 435 640 865

29-Apr-16 Dryden 44 Euro CLO 2015 Pramerica Investment Management 412.9 JP Morgan

13-May-16 ALME Loan Funding V Apollo Credit Management 357.0 Barclays 145 210 310 430 700 950 20-May-16 Aurium CLO II Spire Partners 359.7 Credit Suisse 145

20-May-16 St Paul's CLO VI Intermediate Capital Managers 412.8 Citi 145 215 310 3-Jun-16 Avoca CLO XVI KKR Credit Advisors 462.8 BNP Paribas 135 205 310 430 625 825

8-Jun-16 Babson Euro CLO 2016-1 Babson Capital Europe 410.0 JP Morgan 128 9-Jun-16 Cairn CLO VI Cairn Capital 362.9 Barclays 130 205 305 430 725 1020

13-Jun-16 Laurelin 2016-1 CLO GoldenTree Asset Management 406.3 Credit Suisse

5-Jul-16 Accunia Euro CLO 2016-1 Nordic Asset Management 421.2 Deutsche Bank 8-Jul-16 CVC Cordatus Loan Fund VII CVC Credit Partners 454.2 Citi 130 320

19-Jul-16 Jubilee CLO 2016-17 Alcentra 414.5 Morgan Stanley 125 205 21-Jul-16 Harvest CLO 2016-16 3i Debt Management 452.0 Credit Suisse

22-Jul-16 Adagio CLO 2016-5 AXA Investment Managers 361.0 JP Morgan 28-Jul-16 Griffith Park CLO Blackstone/GSO 452.6 Barclays 123 200 300 435 740 1140

YTD 2016 EUROPEAN CLO ARRANGER LEAGUE TABLE (BY VOLUME) (THROUGH JULY 31, 2016)


74

CLO LEAG

UE TABLES

Rank Arranger Arranger Vol. (Euros) Deals Market Share 1 Credit Suisse 2,039.8 5 20.9% 2 Citi 1,691.4 4 17.3% 3 JP Morgan 1,593.7 4 16.3% 4 Deutsche Bank 1,287.1 3 13.2% 5 Barclays 1,171.6 3 12.0% 6 Morgan Stanley 826.2 2 8.5% 7 BNP Paribas 462.8 1 4.7% 8 Stifel 277.7 1 2.8% 9 RBC 206.5 1 2.1%

10 Resource Capital 206.5 1 2.1%

YTD 2016 EUROPEAN CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH JULY 31, 2016)


75

CLO LEAG

UE TABLES

Rank CLO Manager Manager Vol. (Euros) Deals Market Share 1 Blackstone/GSO 1,011 2 10.4% 2 CVC Credit Partners 865 2 8.9% 3 3i Debt Management 865 2 8.9% 4 KKR Credit Advisors 463 1 4.7% 5 Accunia 421 1 4.3% 6 Alcentra 415 1 4.2% 7 Oaktree Capital Management 414 1 4.2% 8 Pramerica Investment Management 413 1 4.2% 9 Intermediate Capital Managers 413 1 4.2%

10 Credit Suisse Asset Management 412 1 4.2% 11 BlackRock Investment Management 410 1 4.2% 12 Carlyle Investment Management 410 1 4.2% 13 Babson Capital Europe 410 1 4.2% 14 BlueMountain Fuji Management 410 1 4.2% 15 GoldenTree Asset Management 407 1 4.2% 16 Cairn Capital 362 1 3.7% 17 AXA Investment Managers 361 1 3.7% 18 Spire Partners 360 1 3.7% 19 Apollo Credit Management 357 1 3.7% 20 NM Rothschild & Sons 308 1 3.2% 21 Commerzbank 278 1 2.8%

LOAN MUTUAL FUND FLOWS & RETURNS

LOAN VS. HY BOND FUND FLOWS* - MONTHLY

Leveraged Loan Monthly - June 2016

77

MONTHLY LOAN VS. HY BOND FUND FLOWS

• Based on the most recent data available, loan funds saw a $432 million inflow in July, though outflows have dominated year to date, standing at over 6 billion.

• HY bond fund flows posted a $6.4 billion of inflows in July, taking year to date gains to $9.3 billion.

LOAN

FUN

D FLO

WS &

RETURN

S


LOAN FUND FLOWS – MUTUAL FUND VS. ETF BREAKOUT*

Leveraged Loan Monthly - June 2016

78

LOAN FUND FLOWS – MUTUAL FUND VS. ETF BREAKOUT

• Breaking out loan fund flows into the mutual fund and ETF categories, both ETFs and mutual funds added $216 million in July.

• Year to date, outflows are $6.8 billion for mutual funds while in comparison ETFs have added $693 million.

LOAN

FUN

D FLO

WS &

RETURN

S


LOAN FUNDS VS. LOAN INDEX – MONTHLY RETURNS

-4.5 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5

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

Ret

urns

(%)

Open-end Loan Funds*

S&P/LSTA Leveraged Loan Index


79

MONTHLY FUND VS. INDEX RETURNS

Loan returns bounced back in July after a weak June, with 0pen-end loan fund returns averaging 1.36%, while the S&P/LSTA index gained 1.43%.

Year to date, open-end loan funds have gained an impressive 5.35%, with the index up 6%. Individual open-end fund YTD returns range from 1.59% to 8.52%.

LOAN

FUN

D FLO

WS &

RETURN

S

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

80

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Documents

Leveraged Loan Monthly (Thomson Reuters)share.thomsonreuters.com/.../Leveraged_Loan_Monthly_Jul_2016.pdf · 4 •Year to date leveraged loan issuance is at $381 billion, down 21%