Leveraged Loan Monthly -Aug-14

LEVERAGED LOAN MONTHLYTHOMSON REUTERS LPCAUGUST 2014

Colm DohertyDirector of Analysis [email protected]

Hugo PereiraSenior Market [email protected]

mailto:[email protected]


LEVERAGED LENDING GUIDANCE – WHAT DOES IT MEAN?

2

Leveraged Loan Monthly - August 2014

For an in-depth discussion on Leveraged Lending Guidance, join us on our 20th Annual Thomson Reuters LPC Loan and CLO Conference on Sept. 18th. Leveraged lending guidance from a regulatory perspective What is the

difference between a leveraged loan and criticized loan as it relates to LLG?

What has the industry been doing to address leveraged lending guidance?

The SNC review and how it fits or doesn’t fit with the LLG Leveraged lending from a non-bank regulated perspective

How to work together within the confines of the guidance? How is the loan market changing/how might it change in the future due

to the guidance?

For more information e-mail [email protected] or visit www.loanpricing.com/conference2014



3

LEVERAGED LOAN MONTHLYLeveraged Loan Market Overview Slide 4

High Yield Bond Market Overview Slide 23

Investor Overview Slide 33

CLO Market Analysis Slide 41

Loan Fund Flows & Returns Slide 73

U.S. CLO League Tables Slide 65

LEVERAGED LOAN MARKET OVERVIEW

*2014 loan volumes are based on the most recently available data and is subject to updates throughout the quarter.


5

LEVERAGED LOAN ISSUANCEJa

n-06

May

-06

Sep-

06Ja

n-07

May

-07

Sep-

07Ja

n-08

May

-08

Sep-

08Ja

n-09

May

-09

Sep-

09Ja

n-10

May

-10

Sep-

10Ja

n-11

May

-11

Sep-

11Ja

n-12

May

-12

Sep-

12Ja

n-13

May

-13

Sep-

13Ja

n-14

May

-140.0

20.040.060.080.0

100.0120.0140.0160.0

Pro rata Institutional

Leve

rage

d Lo

an Is

suan

ce

($ B

ils.)

U.S. LEVERAGED LOAN ISSUANCE

Leveraged loan issuance has totaled $668 billion through August, down from $797 billion in the same period a year ago.

Pro rata issuance accounts for $305 billion (46%) of leveraged volume. New money volume represents 41% of leveraged issuance.

LEVERAGED LOAN MARKET

OVERVIEW

SOURCE: THOMSON REUTERS LPC


6

U.S. INSTITUTIONAL LOAN AND HY BOND ISSUANCE

Jan-

10M

ar-1

0M

ay-1

0Ju

l-10

Sep-

10No

v-10

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep-

11No

v-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep-

12No

v-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep-

13No

v-13

Jan-

14M

ar-1

4M

ay-1

4Ju

l-140.0

20.0

40.0

60.0

80.0

100.0

120.0HY Bonds Inst. Loans

Issu

ance

($

Bils

.)

U.S. LOAN AND BOND ISSUANCE

Institutional loan volume is at $374 billion this year, down from $454 billion a year ago. High yield bond issuance fell to $3.4 billion in August, bringing the YTD total to $210

billion, up from $207 billion in the same period last year.


OVERVIEW



7

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

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep-

11No

v-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep-

12No

v-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep-

13No

v-13

Jan-

14M

ar-1

4M

ay-1

4Ju

l-140.0

20.0

40.0

60.0

80.0

100.0

120.0New money Refinancing

Inst

itut

iona

l loa

n is

suan

ce (

$ Bi

ls.)

U.S. INSTITUTIONAL LOAN ISSUANCE

New money institutional issuance totaled $156 billion YTD through August, above the $140 billion seen in the same period last year.

Refinancing activity represents 58% of issuance.


OVERVIEW



8

M&A LEVERAGED LOAN ISSUANCEJa

n-12

Feb-

12M

ar-1

2Ap

r-12

May

-12

Jun-

12Ju

l-12

Aug-

12Se

p-12

Oct-1

2No

v-12

Dec-

12Ja

n-13

Feb-

13M

ar-1

3Ap

r-13

May

-13

Jun-

13Ju

l-13

Aug-

13Se

p-13

Oct-1

3No

v-13

Dec-

13Ja

n-14

Feb-

14M

ar-1

4Ap

r-14

May

-14

Jun-

14Ju

l-14

Aug-

14

0.05.0

10.015.020.025.030.035.040.045.0

LBOs Non-LBO

M&

A le

vera

ged

loan

is

suan

ce (

$ Bi

ls.)

U.S. M&A LEVERAGED LOAN ISSUANCE

M&A leveraged loan issuance is at $180 billion YTD, with LBO activity accounting for $65 billion of this volume.


OVERVIEW



9

SPONSORED LEVERAGED LOAN ISSUANCE: LBO VS. NON-LBO

Jan-

10M

ar-1

0M

ay-1

0Ju

l-10

Sep-

10No

v-10

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep-

11No

v-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep-

12No

v-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep-

13No

v-13

Jan-

14M

ar-1

4M

ay-1

4Ju

l-140.0

10.020.030.040.050.060.070.080.090.0

100.0LBO Non-LBO

Spon

sore

d le

vera

ged

loan

is

suan

ce (

$ Bi

ls)

SPONSORED LOAN ISSUANCE: LBO VS. NON-LBO

Sponsored leveraged loan issuance is at $287 billion through August, with the majority ($222 billion) comprised of non-LBO activity.


OVERVIEW



10

COVENANT LITE LOAN ISSUANCEJa

n-11

Mar

-11

May

-11

Jul-1

1Se

p-11

Nov-

11Ja

n-12

Mar

-12

May

-12

Jul-1

2Se

p-12

Nov-

12Ja

n-13

Mar

-13

May

-13

Jul-1

3Se

p-13

Nov-

13Ja

n-14

Mar

-14

May

-14

Jul-1

40.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

Cove

nant

-lit

e lo

an is

suan

ce

($

Bils

.)

U.S. COVENANT-LITE LEVERAGED LOAN ISSUANCE

Covenant-lite loan volume has reached $210 billion YTD, down from $261 billion in the same period last year.


OVERVIEW



11

COVENANT LITE LOAN ISSUANCE BY PURPOSE

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep-

11No

v-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep-

12No

v-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep-

13No

v-13

Jan-

14M

ar-1

4M

ay-1

4Ju

l-140.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0Refi & OtherDiv. Recap.M&A/LBO

Cove

nant

-lit

e lo

an is

suan

ce

($

Bils

.)

U.S. COVENANT-LITE LEVERAGED LOAN ISSUANCE

M&A/LBO activity has accounted for 39% of covenant-lite loan volume this year. This is above the full year 2013 figure of 29%.


OVERVIEW



12

SECOND-LIEN LOAN VOLUMEJa

n-12

Feb-

12M

ar-1

2Ap

r-12

May

-12

Jun-

12Ju

l-12

Aug-

12Se

p-12

Oct-1

2No

v-12

Dec-

12Ja

n-13

Feb-

13M

ar-1

3Ap

r-13

May

-13

Jun-

13Ju

l-13

Aug-

13Se

p-13

Oct-1

3No

v-13

Dec-

13Ja

n-14

Feb-

14M

ar-1

4Ap

r-14

May

-14

Jun-

14Ju

l-14

Aug-

14

0.0

2.0

4.0

6.0

8.0

10.0

Seco

nd-l

ien

loan

vol

ume

($Bi

ls.)

U.S. SECOND-LIEN LOAN VOLUME

Second-lien loan issuance reached $27 billion through August, a similar level to that posted in the same period a year ago.


OVERVIEW



13

MIDDLE MARKET LOAN ISSUANCEJa

n-11

Mar

-11

May

-11

Jul-1

1

Sep-

11

Nov-

11

Jan-

12

Mar

-12

May

-12

Jul-1

2

Sep-

12

Nov-

12

Jan-

13

Mar

-13

May

-13

Jul-1

3

Sep-

13

Nov-

13

Jan-

14

Mar

-14

May

-14

Jul-1

40.0

5.0

10.0

15.0

20.0

25.0

30.0

Trad. MM*

Mid

dle

mar

ket

loan

vo

lum

e ($

Bils

.)

U.S. MIDDLE MARKET LOAN VOLUME

Middle market lending is at $124 billion this year. This is comprised of $99 billion in large middle market volume and $25 billion in traditional middle market issuance.

This is down from the $135 billion recorded in the corresponding period last year.


OVERVIEW


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


14

EUROPEAN LEVERAGED LOAN ISSUANCE

Jan-

10M

ar-1

0M

ay-1

0Ju

l-10

Sep-

10No

v-10

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep-

11No

v-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep-

12No

v-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep-

13No

v-13

Jan-

14M

ar-1

40.0

5.0

10.0

15.0

20.0

25.0

30.0New Money

Issu

ance

($

Bils

.)

EUROPEAN LEVERAGED LOAN ISSUANCE

• European leveraged loan issuance is at $135 billion YTD, similar to the year ago level.

• Refinancings have accounted for 73% of deal flow.


OVERVIEW



15

INSTITUTIONAL LOAN PIPELINE

Jan

Jan

Jan

Jan

Feb

Feb

Feb

Feb

Mar

Mar

Mar

Mar

Mar

Apr

Apr

Apr

Apr

May

May

May

May

May

Jun

Jun

Jun

Jun

Jun

Jul

Jul

Jul

Jul

Aug

Aug

Aug

Aug

Aug

Sep

Sep

Sep

Sep

Sep

Oct

Oct

Oct

Oct

Oct

Nov

Nov

Nov

Nov

Dec

Dec

Dec

0.010.020.030.040.050.060.070.080.090.0

2012 2013

Inst

itut

iona

l loa

n pi

pelin

e ($

Bils

.)

U.S. INSTITUTIONAL LOAN PIPELINE

The institutional loan pipeline fell to $26 billion at the end of August. M&A represents 75% of the current pipeline.


OVERVIEW



16

PRIMARY MARKET YIELDS1Q

10M

ay-1

0Ju

l-10

Sep-

10No

v-10

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep-

11No

v-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep-

12No

v-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep-

13No

v-13

Jan-

14M

ar-1

4M

ay-1

4Ju

l-144.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0% Large Corp. Middle Market

Ave

rage

yie

ld

U.S. PRIMARY MARKET INSTITUTIONAL LOAN YIELDS

Large corporate market yields edged lower to an average of 5.29% in August. New issue middle market loan yields widened to 6.18%.

So far in 3Q13, large corporate yields have widened to 5.37%, while middle market loans are at 6.09%


OVERVIEW



17

U.S. SECONDARY MARKET BID LEVELS

01/0

3/11

03/0

3/11

05/0

3/11

07/0

3/11

09/0

3/11

11/0

3/11

01/0

3/12

03/0

3/12

05/0

3/12

07/0

3/12

09/0

3/12

11/0

3/12

01/0

3/13

03/0

3/13

05/0

3/13

07/0

3/13

09/0

3/13

11/0

3/13

01/0

3/14

03/0

3/14

05/0

3/14

07/0

3/14

90.0

92.0

94.0

96.0

98.0

100.0Multi-quote Inst. TLs All Inst. TLs

Avg

. Bid

(%

of

par)

U.S. SECONDARY MARKET AVERAGE BID

The secondary market edged lower in August, with multi-quote institutional term loans finishing the month at 99.04, and the broader market (all institutional term loans) at 98.75.


OVERVIEW

SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING, THOMSON REUTERS LPC


18

SECONDARY MARKET BID LEVELS: U.S. VS. EUROPE

1/3/

112/

16/1

14/

1/11

5/15

/11

6/28

/11

8/11

/11

9/24

/11

11/7

/11

12/2

1/11

2/3/

123/

18/1

25/

1/12

6/14

/12

7/28

/12

9/10

/12

10/2

4/12

12/7

/12

1/20

/13

3/5/

134/

18/1

36/

1/13

7/15

/13

8/28

/13

10/1

1/13

11/2

4/13

1/7/

142/

20/1

44/

5/14

5/19

/14

7/2/

148/

15/1

488.090.092.094.096.098.0

100.0102.0

U.S. multi-quote Inst. TLsEuropean Leveraged 40

Avg

. Bid

(%

of

par)

SECONDARY MARKET AVERAGE BIDS

The European Lev40 moved 20 bps lower in August, ending the month at 99.78, having been as low as 99.42 earlier in the month.

As of month-end August, 38% of European flow names are bid at or above par, down from 63% at the start of the month, but up from a low of 10% earlier in August.


OVERVIEW

SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING, THOMSON REUTERS LPC


19

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

1/12

/11

2/10

/11

3/11

/11

4/9/

115/

8/11

6/6/

117/

5/11

8/3/

119/

1/11

9/30

/11

10/2

9/11

11/2

7/11

12/2

6/11

1/24

/12

2/22

/12

3/22

/12

4/20

/12

5/19

/12

6/17

/12

7/16

/12

8/14

/12

9/12

/12

10/1

1/12

11/9

/12

12/8

/12

1/6/

132/

4/13

3/5/

134/

3/13

5/2/

135/

31/1

36/

29/1

37/

28/1

375.0

80.0

85.0

90.0

95.0

100.0

105.0 Cov-lite2nd Lien TLMulti-quote Inst. TLs

Avg

. Bid

(%

of

par)

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

The average bid on covenant-lite loans edged down in August, ending the month at 99.11.

Second-lien bids were down 34 bps to 98.89.


OVERVIEW

SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING


20

PAR-PLUS & 101-PLUS MARKET SHARE

1/4/

122/

6/12

3/10

/12

4/12

/12

5/15

/12

6/17

/12

7/20

/12

8/22

/12

9/24

/12

10/2

7/12

11/2

9/12

1/1/

132/

3/13

3/8/

134/

10/1

35/

13/1

36/

15/1

37/

18/1

38/

20/1

39/

22/1

310

/25/

1311

/27/

1312

/30/

132/

1/14

3/6/

144/

8/14

5/11

/14

6/13

/14

7/16

/14

8/18

/140.0%

10.0%20.0%30.0%40.0%50.0%60.0%70.0%80.0% 100-plus 101-plus

Shar

e of

loan

s bi

d >

=10

0 &

>=

101

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

The share of par-plus loans fell to 33% in August, down from 46% a month earlier.

The 101-plus share is now at 6%, down from 8% at the end of July.


OVERVIEW

SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING


21

DISTRIBUTION OF SECONDARY MARKET BIDS

<80 80 to <85

85 to <90

90 to <95

95 to <98

98 to <99

99 to <100

100 to <101

>=1010%

10%

20%

30%

40%

50%

60%

Loan AmountNumber of loans

Avg. bid (% of par)

Shar

e of

loan

out

stan

ding

s /

loan

s

MULTI-QUOTE INSTITUTIONAL TERM LOAN BIDS

The vast majority of loans (83%) remain bid in the 99-plus area, though this is down from 88% a month earlier.


OVERVIEW



22

DISTRIBUTION OF SECONDARY MARKET BIDS:MARCH VS. JUNE VS. AUG 2014

<80 80 to <85

85 to <90

90 to <95

95 to <98

98 to <99

99 to <100

100 to <101

>=1010%

10%

20%

30%

40%

50%

60%Mar-14 Jun-14 Aug-14

Avg. bid (% of par)

Shar

e of

loan

out

stan

ding

s / l

oans

MULTI-QUOTE INSTITUTIONAL TERM LOAN BIDS

Since the end of the first quarter, the share of par-plus loans has declined from 66% to 33% , while there was a jump of 24 percentage points to 50% in the share of loans bid in the 99-100 category.


OVERVIEW


U.S. HIGH YIELD BOND MARKET OVERVIEW


24

HIGH YIELD BOND ISSUANCEJa

n-10

Mar

-10

May

-10

Jul-1

0Se

p-10

Nov-

10Ja

n-11

Mar

-11

May

-11

Jul-1

1Se

p-11

Nov-

11Ja

n-12

Mar

-12

May

-12

Jul-1

2Se

p-12

Nov-

12Ja

n-13

Mar

-13

May

-13

Jul-1

3Se

p-13

Nov-

13Ja

n-14

Mar

-14

May

-14

Jul-1

40.0

10.0

20.0

30.0

40.0

50.0

60.0

Issu

ance

($

Bils

.)

U.S. HY BOND ISSUANCE

High yield bond issuance fell to $3.4 billion in August, bringing the YTD total to $210 billion, up from $207 billion in the same period last year.

HIGH YIELD BOND MARKET

OVERVIEW

SOURCE: THOMSON REUTERS


25

SENIOR SECURED HY BOND ISSUANCE

Jan-

09Ap

r-09

Jul-0

9Oc

t-09

Jan-

10Ap

r-10

Jul-1

0Oc

t-10

Jan-

11Ap

r-11

Jul-1

1Oc

t-11

Jan-

12Ap

r-12

Jul-1

2Oc

t-12

Jan-

13Ap

r-13

Jul-1

3Oc

t-13

Jan-

14Ap

r-14

Jul-1

40.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

Issu

ance

($

Bils

.)

U.S. SENIOR SECURED HY BOND ISSUANCE

Senior secured high yield bond issuance declined to $1.1 billion in August, bringing YTD issuance to $46.3 billion.

At the same point last year, issuance was at $40.1 billion.


OVERVIEW



26

YEAR TO DATE HY BOND ISSUANCE BY PURPOSE

Repa

y Ba

nk Lo

an o

r Brid

ge Fi

nanc

ing

Rede

em E

xist

ing

Bond

s or S

ecur

ities

Merg

er a

nd A

cqui

sitio

n

Tend

er O

ffer

Gene

ral P

urpo

se

Gene

ral P

urpo

se/R

efina

nce

Leve

rage

d Bu

yout n/a

Divi

dend

or D

istrib

utio

n to

Sha

re-ho

lder

sCa

pita

l Exp

endi

ture

Wor

king

Cap

ital

Prop

erty

Exp

endi

ture

(acq

uisit

ion/

deve

lopm

ent)

Gene

ral P

urpo

se/A

cqui

sitio

n

Repa

y In

terc

ompa

ny D

ebt

Spin

off

Airc

raft

& Sh

ip Fi

nanc

e

Mass

/Rap

id T

rans

it

Gene

ral P

urpo

se/W

orki

ng C

apita

l

Inve

stm

ent P

rogr

am

Acqu

isitio

n

Regu

lato

ry C

apita

l

Ship

fina

nce

(pos

t-del

iver

y)

0.0

20.0

40.0

60.0

Issu

ance

($

Bils

.)

U.S. HY BOND ISSUANCE BY PURPOSE

Bond for loan takeouts at $50.4 billion is the biggest use of bond proceeds this year, ahead of bond redemptions at $44.1 billion. M&A (excluding LBOs) is next at $38.2 billion.


OVERVIEW



27

HY BOND FOR LOAN TAKEOUTSJa

n-09

Apr-0

9Ju

l-09

Oct

Jan-

10Ap

r-10

Jul-1

0Oc

t-10

Jan-

11Ap

r-11

Jul-1

1Oc

t-11

Jan-

12Ap

r-12

Jul-1

2Oc

t-12

Jan-

13Ap

r-13

Jul-1

3Oc

t-13

Jan-

14Ap

r-14

Jul-1

40.02.04.06.08.0

10.012.014.016.0

Issu

ance

($

Bils

.)

U.S. HY BOND FOR LOAN TAKEOUTS

YTD bond for loan takeout volume is now at $50.4 billion after posting $1.5 billion in July.

This is below the $65.8 billion recorded in the first eight months of 2013.


OVERVIEW



28

HY BOND ISSUANCE BY RATINGJa

n-12

Feb-

12M

ar-1

2Ap

r-12

May

-12

Jun-

12Ju

l-12

Aug-

12Se

p-12

Oct-1

2No

v-12

Dec-

12Ja

n-13

Feb-

13M

ar-1

3Ap

r-13

May

-13

Jun-

13Ju

l-13

Aug-

13Se

p-13

Oct-1

3No

v-13

Dec-

13Ja

n-14

Feb-

14M

ar-1

4Ap

r-14

May

-14

Jun-

14Ju

l-14

Aug-

14

0.0

5.0

10.0

15.0

20.0

25.0

30.0BBBCCCNR

Issu

ance

($

Bils

.)

HY BOND ISSUANCE BY RATING

YTD, B rated volume leads the way, accounting for 44% of issuance compared to a 40% share for BB rated deals and 14% for CCC rated issues.


OVERVIEW

SOURCE: THOMSON REUTERS


29

HY BOND FUND FLOWS – MUTUAL FUND VS. ETF BREAKOUT


OVERVIEW

SOURCE: LIPPER, A THOMSON REUTERS COMPANY


30

HY BOND & LOAN FUND NET ASSETSJa

n-07

Apr-0

7Ju

l-07

Oct-0

7Ja

n-08

Apr-0

8Ju

l-08

Oct-0

8Ja

n-09

Apr-0

9Ju

l-09

Oct-0

9Ja

n-10

Apr-1

0Ju

l-10

Oct-1

0Ja

n-11

Apr-1

1Ju

l-11

Oct-1

1Ja

n-12

Apr-1

2Ju

l-12

Oct-1

2Ja

n-13

Apr-1

3Ju

l-13

Oct-1

3Ja

n-14

Apr-1

4Ju

l-140.0

50.0100.0150.0200.0250.0300.0350.0400.0

Loan FundsHY Bond Funds (excluding Underlying Variable Funds)

Ope

n-en

d +

Clo

sed-

end

Net

Ass

ets

($ B

ils.)

OPEN-END + CLOSED-END HY BOND & LOAN FUND NET ASSETS*

Combined open-end and closed-end high yield bond fund net assets ended August at $329 billion. Including Underlying Variable Funds, net assets are at $369 billion.

In comparison, loan funds net assets fell by $4 billion to $156 billion.


OVERVIEW


* Does not include assets bought via leverage


31

NEW ISSUE HY BOND YIELDSJa

n-12

Feb-

12M

ar-1

2Ap

r-12

May

-12

Jun-

12Ju

l-12

Aug-

12Se

p-12

Oct-1

2No

v-12

Dec-

12Ja

n-13

Feb-

13M

ar-1

3Ap

r-13

May

-13

Jun-

13Ju

l-13

Aug-

13Se

p-13

Oct-1

3No

v-13

Dec-

13Ja

n-14

Feb-

14M

ar-1

4Ap

r-14

May

-14

Jun-

14Ju

l-14

Aug-

14

5.06.07.08.09.0

10.011.012.0

Ave

rage

yie

ld (

%)

NEW ISSUE HY BOND YIELDS*

The average new issue bond yield (YTM) jumped to 9.31% in August on light volume.

Year to date through August, the average bond yield was 6.64%.


OVERVIEW


* Yield to maturity


32

HY BOND YIELDS

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

Yiel

d (%

)

BARCLAYS U.S. HIGH YIELD BOND INDEX

After widening in July and early August, the yield on the Barclays U.S High Yield index tightened in August, ending the month at 5.20%, down from a high of 5.87% early in the month.


OVERVIEW

SOURCE: BARCLAYS U.S. HIGH YIELD BOND INDEX

INVESTOR OVERVIEW


34

U.S. CLO ASSETS UNDER MANAGEMENT

Jul-1

2

Sep-

12

Nov-

12

Jan-

13

Mar

-13

May

-13

Jul-1

3

Sep-

13

Nov-

13

Jan-

14

Mar

-14

May

-14

Jul-1

4150.0170.0190.0210.0230.0250.0270.0290.0310.0330.0350.0

500540580620660700740780820 CLO APB

CLO

Agg

rega

te P

rin-

cipa

l Bal

ance

($Bi

ls.)

Num

ber o

f CLO

s

ASSETS UNDER MANAGEMENT

U.S. CLO assets under management is now at $347 billion (based on a universe of 835 CLOs), up nearly $50 billion this year.

INVESTOR OVERVIEW

SOURCE: THOMSON REUTERS LPC COLLATERAL


35

U.S. CLO ASSETS UNDER MANAGEMENT BY VINTAGE*

<=200

1

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

0.010.020.030.040.050.060.070.080.090.0

CLO

Agg

rega

te P

rin-ci

pal B

alan

ce ($

Bils

.)

ASSETS UNDER MANAGEMENT

CLOs issued in the 2012-2014 time period account for the majority (62%) of CLO assets under management.

INVESTOR OVERVIEW


*Based on year issued


36

LOAN FUNDS AUMJa

n 20

07Ap

r 200

7Ju

l 200

7Oc

t 200

7Ja

n 20

08Ap

r 200

8Ju

l 200

8Oc

t 200

8Ja

n 20

09Ap

r 200

9Ju

l 200

9Oc

t 200

9Ja

n 20

10Ap

r 201

0Ju

l 201

0Oc

t 201

0Ja

n 20

11Ap

r 201

1Ju

l 201

1Oc

t 201

1Ja

n 20

12Ap

r-12

Jul-1

2Oc

t-12

Jan-

13Ap

r-13

Jul-1

3Oc

t-13

Jan-

14Ap

r-14

Jul-1

40.020.040.060.080.0

100.0120.0140.0160.0180.0200.0

Loan

mut

ual f

und

& E

TF

AU

M (

$ Bi

ls.)

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

Loan mutual fund & ETF total assets fell by another 2% to $163 billion in August, and is down over $11 billion since March.

Assets under management is down by nearly $2 billion YTD.

INVESTOR OVERVIEW

SOURCE: THOMSON REUTERS LPC , LIPPER

*Based on the most recent data available


37

LOAN FUNDS AUM BY FUND TYPE

Open-end Closed-end ETF0.0

20.040.060.080.0

100.0120.0140.0160.0

Ass

ets

unde

r m

an-

agem

ent

($ B

ils.)

LOAN FUNDS AUM BY FUND TYPE

The majority of loan fund assets (83%) are in open-end mutual funds. Closed-end funds account for 12% of loan fund assets, while ETFs are at 5%.

INVESTOR OVERVIEW



38

INVESTOR SHARE OF INSTITUTIONAL LOAN OUTSTANDINGS

39%

19%

42% OtherLoan Funds (mu-tual funds & ETFs)CLOs*

SHARE OF U.S. LEVERAGED INSTITUTIONAL LOAN MARKET OUTSTANDINGS**

CLOs hold roughly 42% of institutional loan outstandings, while loan mutual funds & ETFs currently account for 19%.

INVESTOR OVERVIEW


*Based on a universe of 835 U.S. CLOs


39


Aug-

12Se

p-12

Oct-1

2No

v-12

Dec-

12Ja

n-13

Feb-

13M

ar-1

3Ap

r-13

May

-13

Jun-

13Ju

l-13

Aug-

13Se

p-13

Oct-1

3No

v-13

Dec-

13Ja

n-14

Feb-

14M

ar-1

4Ap

r-14

May

-14

Jun-

14Ju

l-14

Aug-

14

10%

20%

30%

40%

50%

60% CLOsLoan Funds (mutual funds & ETFs)Other

Inve

stor

sha

re o

f in

sti-

tuti

onal

loan

out

stan

d-in

gs (

%)


The loan mutual fund & ETF share of institutional loan outstandings has slipped this year to 19% from 22%.

The CLO share of assets has been relatively steady and is now at 42%.

INVESTOR OVERVIEW



40

CLO ISSUANCE VS. LOAN FUND FLOWS-MONTHLY

Jan-

12Fe

b-12

Mar

-12

Apr-1

2M

ay-1

2Ju

n-12

Jul-1

2Au

g-12

Sep-

12Oc

t-12

Nov-

12De

c-12

Jan-

13Fe

b-13

Mar

-13

Apr-1

3M

ay-1

3Ju

n-13

Jul-1

3Au

g-13

Sep-

13Oc

t-13

Nov-

13De

c-13

Jan-

14Fe

b-14

Mar

-14

Apr-1

4M

ay-1

4Ju

n-14

Jul-1

4Au

g-14

-8.0-4.00.04.08.0

12.016.020.0 CLO Issuance Loan fund flows

$ Bi

ls.

MONTHLY CLO ISSUANCE VS. LOAN FUND FLOWS

Nearly $8 billion of CLOs priced in August, bringing YTD issuance to $77 billion.• Another $3.3 billion flowed out of loan funds in August, the fifth straight month

of outflows. YTD outflows are at $4.3 billion.

INVESTOR OVERVIEW


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


42

U.S CLO ANNUAL ISSUANCE

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 YTD 2014 thru Aug

0.0

20.0

40.0

60.0

80.0

100.0

120.0

CLO

issu

ance

(€B

ils.)

U.S CLO ISSUANCE

YTD U.S. CLO issuance through August is at $77 billion and is on course to exceed 2013’s full year figure of $81.3 billion.

CLO MARKET ANALYSIS



43

EUROPEAN CLO ISSUANCE

1Q08 2Q08 3Q08-4Q12

1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 to date

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

CLO

issu

ance

(€B

ils.)

EUROPEAN CLO ISSUANCE

YTD European CLO issuance is at €10 billion, exceeding the full year 2013 figure of €7.6 billion

CLO MARKET ANALYSIS



44

U.S. CLO AVERAGE SIZEJa

n-13

Feb-

13M

ar-1

3Ap

r-13

May

-13

Jun-

13Ju

l-13

Aug-

13Se

p-13

Oct-1

3No

v-13

Dec-

13Ja

n-14

Feb-

14M

ar-1

4Ap

r-14

May

-14

Jun-

14Ju

l-14

Aug-

14

300350400450500550600650

$ M

ils.

U.S. BSL CLO AVERAGE SIZE

• After climbing most of this year, the average size of BSL CLOs fell to $538 million in August.

CLO MARKET ANALYSIS



45

U.S. CLO ISSUANCE AND AAA NEW ISSUE SPREADS

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep-

11No

v-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep-

12No

v-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep-

13No

v-13

Jan-

14M

ar-1

4M

ay-1

4Ju

l-140.0

2.0

4.0

6.0

8.0

10.0

12.0

100.0110.0120.0130.0140.0150.0160.0170.0180.0Issuance

CLO

Issu

ance

($B

ils.)

Ave

rage

AA

A s

prea

d (b

ps)

CLO ISSUANCE AND AAA NEW ISSUE SPREADS

AAA CLO spreads was fairly steady at 146 bps in August. Nearly $8 billion of CLOs priced in August, bringing YTD issuance to $77 billion.

CLO MARKET ANALYSIS



46

CLO AGGREGATE PRINCIPAL BALANCE

Jul-1

2Au

g-12

Sep-

12Oc

t-12

Nov-

12De

c-12

Jan-

13Fe

b-13

Mar

-13

Apr-1

3M

ay-1

3Ju

n-13

Jul-1

3Au

g-13

Sep-

13Oc

t-13

Nov-

13De

c-13

Jan-

14Fe

b-14

Mar

-14

Apr-1

4M

ay-1

4Ju

n-14

Jul-1

4Au

g-14

050

100150200250300350

U.S. Europe

CLO

Agg

rega

te P

rinc

ipal

Ba

lanc

e ($

USD

/Eur

o bi

ls.)

CLO AGGREGATE PRINCIPAL BALANCE: U.S & EUROPE

• U.S. CLOs aggregate principal balance is now at $347 billion, European CLOs are at 66.5 billion euros (based on a universe of 835 U.S. CLOs and 231 European CLOs).

CLO MARKET ANALYSIS



47

SHARE OF ASSETS HELD BY CLOS THAT ARE STILL IN / PAST THEIR STATED REINVESTMENT PERIOD

68%

32% Still in

Reinv PeriodPost Reinv Period

SHARE OF ASSETS HELD BY CLOS THAT ARE STILL IN THEIR STATED REINVESTMENT PERIOD

68% of U.S. CLO assets are held in CLOs that are still in their stated reinvestment period. For European CLOs, it’s the opposite, with 68% of assets held in CLOs past their

reinvestment period.

CLO MARKET ANALYSIS


32%

68%

Still in Reinv Period

Post Reinv Period

U.S. CLOs

European CLOs


48

SHARE OF BONDS IN CLOS*

0 <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%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

U.S.Europe

Shar

e of

CLO

s

SHARE OF BONDS

• European CLOs have a much higher share of bond holdings (10.3%) than U.S. CLOs (1.7%).• 55% of U.S CLOs have no bond holdings versus 26% of European CLOs.• 41% of European CLOs have 10% or more of their assets invested in bonds.

CLO MARKET ANALYSIS


Bonds as % of CLO portfolio*Excludes recently issued CLOs not yet in TR LPC Collateral


49

SHARE OF NON-LOAN ASSETS (BONDS & SFS) IN CLOS*

0 <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

0.0%5.0%

10.0%15.0%20.0%25.0%30.0%35.0%40.0%45.0%50.0%

U.S.Europe

Shar

e of

CLO

s

SHARE OF NON LOAN ASSETS (BONDS & SFS)

• 46% of U.S CLOs have no bond or structured finance holdings versus 23% of European CLOs.• 48% of European CLOs have 10% or more of their assets invested in non-loan assets versus

5% of U.S. CLOs.

CLO MARKET ANALYSIS


Bonds & SFS as % of CLO portfolio*Excludes recently issued CLOs not yet in TR LPC Collateral


50

SHARE OF NON-LOAN ASSETS BY U.S. CLO 1.0 VS. CLO 2.0

0 <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

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%CLO 1.0CLO 2.0 (excluding CLOs issued in 2014)

Shar

e of

CLO

s

SHARE OF NON-LOAN ASSETS BY U.S. CLO 1.0 VS. CLO 2.0

• CLO 2.0s (excluding CLOs issued in 2014) hold less non-loan assets than 1.0s. • 56% of CLO 2.0s have no bond or structured finance holdings versus only 22%

of CLO 1.0s.

CLO MARKET ANALYSIS


Bonds & SFS as % of CLO portfolio


51

SHARE OF LOANS IN U.S. CLOS THAT ARE COV-LITE

<=2004

2005 2006 2007 2008 2009-2010

2011 2012 2013 2014*0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%All CLOs

Shar

e of

cov

-lit

e lo

ans

SHARE OF LOANS IN U.S. CLOS THAT ARE COV-LITE

• In BSL CLOs, cov-lite loans represent over half (55%) of CLO 2.0 loan holdings compared to 47% for 1.0 CLOs.

CLO MARKET ANALYSIS


CLO Vintage*Excludes recently issued CLOs not yet in TR LPC Collateral


52

SHARE OF LOANS IN U.S. CLOS THAT ARE SECOND-LIENS

<=2004

2005 2006 2007 2008 2009-2010

2011 2012 2013 2014*0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

Shar

e of

sec

ond-

lien

loan

s

SHARE OF LOANS IN U.S. CLOS THAT ARE SECOND-LIENS

• Second-liens account for 2.3% of CLO loan assets.• By vintage, 1.4% of CLO 1.0 loans are second-liens versus 2.8% for CLO 2.0s.

CLO MARKET ANALYSIS


CLO Vintage*Excludes recently issued CLOs not yet in TR LPC Collateral


53

SHARE OF U.S. CLO ASSETS IN DEFAULT

<=2004

2005 2006 2007 2008 2009-10

2011 2012 2013 20140.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

$ value of assets in default

Val

ue o

f as

sets

in d

e-fa

ult

($Bi

ls.)

Shar

e of

U.S

. CLO

ass

ets

in d

efau

lt

SHARE OF U.S. CLO ASSETS IN DEFAULT

• 1% of U.S. CLO assets are in default.• For CLO 1.0s, the share of defaulted assets is 2.5%, while for CLO 2.0s it’s

0.1%.

CLO MARKET ANALYSIS


CLO Vintage*Based on a universe of 775 U.S. CLOs


54

SHARE OF EUROPEAN CLO ASSETS IN DEFAULT

<=2004

2005 2006 2007 2008 2009-2011

2013 20140.00.10.20.30.40.50.60.70.80.91.0

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%$ value of assets in de-faultShare of assets in default

Val

ue o

f as

sets

in d

efau

lt

($Bi

ls.)

Shar

e of

Eur

opea

n CL

O

asse

ts in

def

ault

SHARE OF EUROPEAN CLO ASSETS IN DEFAULT

• 2.8% of European CLO assets , amounting to 1.7 billion euros, are in default.• For CLO 1.0s, the share of defaulted assets is 3.4%, while for CLO 2.0s it’s 0.6%.

CLO MARKET ANALYSIS


CLO Vintage*Based on a universe of 221 European CLOs


55

U.S. CLO CASH BALANCE BY VINTAGE

<=2004

2005 2006 2007 2008 2009-2010

2011 2012 2013 2014**

0.00.51.01.52.02.53.03.54.0

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%$ Cash BalanceCash Share

CLO vintage

Cash

bal

ance

($

Bils

.)

Shar

e of

ass

ets

in c

ash

CASH BALANCE BY CLO VINTAGE

Based on the most recently available reports, U.S. CLOs have roughly 3.5% of their assets in cash.

For this sample of CLOs, cash balances amount to $11.1 billion.

CLO MARKET ANALYSIS


*Based on a universe of 756 U.S. CLOs**Excludes recently issued CLOs not yet in TR LPC Collateral


56

U.S. CLO CASH BALANCE BY VINTAGE – 1.0 VS. 2.0

0%1%2%3%4%5%6%7%8%9%

10%CLO 1.0 CLO 2.0

Shar

e of

ass

ets

in c

ash


CLOs 1.0s have a higher share of cash in their portfolios (7.4% approximately) compared to CLO 2.0s (1.2% ).

CLO MARKET ANALYSIS



57

EUROPEAN CLO CASH BALANCE BY VINTAGE

<=2004

2005 2006 2007 2008 2009-2010

2013 20140.00.51.01.52.02.53.03.5

0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%

$ Cash BalanceCash Share

CLO vintage

Cash

bal

ance

(Eu

ro B

ils.)

Shar

e of

ass

ets

in c

ash


Based on the most recently available reports, European CLOs have around 12.5% of their assets in cash.

Cash balances amount to 7.7 billion euros.

CLO MARKET ANALYSIS



58

WEIGHTED AVERAGE BIDS OF UNDERLYING CLO ASSETS: U.S. VS. EUROPE

<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

00%

20%

40%

60%

80% U.S. Europe

CLO weighted avg. bid

Shar

e of

CLO

s

CLO WEIGHTED AVERAGE BID DISTRIBUTION

73% of U.S. CLOs now have a weighted average bid (on their underlying assets) in the 99-plus range, with most in the 99-100 range.

For European CLOs, 20% are in this price category.

CLO MARKET ANALYSIS



59

WEIGHTED AVERAGE BIDS OF UNDERLYING U.S. CLO ASSETS

<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

>=

1000%

10%20%30%40%50%60%70%80%

Apr-14 May-14 Jun-14 Jul-14 Aug-14


Shar

e of

CLO

s

U.S. CLO WEIGHTED AVERAGE BID DISTRIBUTION

• The 99-plus share is now at 73%.• At the upper end of the market, the par-plus share slipped to 0%

in August from 11% in the prior month.

CLO MARKET ANALYSIS



60

WEIGHTED AVERAGE BIDS OF UNDERLYING U.S. CLO ASSETS – BY REINVESTMENT DATE

<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

>=

1000%

20%40%60%80%

100%Reinv end date < Sep 1, 2014


Shar

e of

CLO

s

U.S. CLO WEIGHTED AVERAGE BID DISTRIBUTION

• The weighted average bid of assets in U.S. CLOs still in their stated reinvestment period are higher than those past their reinvestment date.

• 94% of CLOs in their reinvestment period have a weighted average bid >=99 versus 48% of post reinvestment CLOs.

CLO MARKET ANALYSIS



61

WEIGHTED AVERAGE BIDS OF UNDERLYING EUROPEAN CLO ASSETS

<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

0%10%20%30%40%50%60%70%80%

Apr-14 May-14 Jun-14 Jul-14 Aug-14


Shar

e of

CLO

s

EUROPEAN CLO WEIGHTED AVERAGE BID DISTRIBUTION

• The share of European CLOs with a weighted average bid (on their assets) above 95 slipped to 67% in August.

CLO MARKET ANALYSIS



62

WEIGHTED AVERAGE BIDS OF UNDERLYING EUROPEAN CLO ASSETS – BY REINVESTMENT DATE

<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

00%10%20%30%40%50%60%

Reinv end date <Sep 1, 2014 Reinv end date >=Sep 1, 2014


Shar

e of

CLO

s

EUROPEAN CLO WEIGHTED AVERAGE BID DISTRIBUTION

• The weighted average bid of assets in European CLOs still in their stated reinvestment period are higher than those past their reinvestment date.

• 59% of CLOs in their reinvestment period have a weighted average bid >=99 versus 11% of CLOs past their stated reinvestment date.

CLO MARKET ANALYSIS



63

U.S. CLO MOST WIDELY TRADED NAMES* – YTD 2014

CLO MARKET ANALYSIS


*Based on a sample of 660 U.S. CLOs

PurchasesRank Company Name

1 Avago Technologies2 TXU Corp3 First Data Corp4 Community Health5 Aramark Corp6 Ineos Group Plc7 Numericable SAS8 WME IMG Holdings LLC9 Transdigm10 Federal-Mogul Corp

SalesRank Company Name

1 First Data Corp2 Ineos Group Plc3 Transdigm4 Aramark Corp5 Nielsen Company6 Nuveen Investments Inc7 Federal-Mogul Corp8 Freescale Semiconductor Inc9 Del Monte10 Delta Airlines


64

EUROPEAN CLO MOST WIDELY TRADED NAMES* – YTD 2014

CLO MARKET ANALYSIS


*Based on a sample of 186 European CLOs

PurchasesRank Company Name

1 Numericable SAS2 eircom Group Plc3 ZIGGO BV4 Telenet Operatives NV5 Autobahn Tank & Rast6 Parques Reunidos SA7 Wind Telecomunicazione Spa8 Iglo Foods Group Ltd9 Scout2410 Grifols SA

SalesRank Company Name

1 Vivarte SA2 Parques Reunidos SA3 Wind Telecomunicazione Spa4 eircom Group Plc5 Telediffusion de France SA (TDF)6 Autobar Group Ltd7 Cortefiel SA8 Numericable SAS9 Ineos Group Plc10 Telenet Operatives NV

U.S. CLO LEAGUE TABLES


66

2014 U.S. CLO ARRANGER LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)

CLO LEAGUE TABLES


Rank Bank Holding Company Arranger Volume # of Deals Market Share1 Citi 10,257.18 20 13.3%2 Morgan Stanley 10,206.10 15 13.3%3 JP Morgan 8,621.44 13 11.2%4 Bank of America Merrill Lynch 8,370.67 15 10.9%5 Credit Suisse 6,350.63 11 8.3%6 Wells Fargo 6,022.67 12 7.8%7 Deutsche Bank 5,520.50 10 7.2%8 Jefferies 4,256.20 11 5.5%9 Goldman Sachs 4,033.45 7 5.2%

10 GreensLedge 2,726.05 6 3.5%11 Natixis 2,438.95 6 3.2%12 BNP Paribas 1,810.10 4 2.4%13 RBS Securities 1,751.66 3 2.3%14 Mitsubishi UFJ 1,325.50 2 1.7%15 Nomura 952.50 2 1.2%16 Barclays 924.00 2 1.2%17 Royal Bank of Canada (RBC) 716.70 1 0.9%18 StormHarbour 414.00 1 0.5%19 Guggehheim 204.25 1 0.3%


67

2014 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)

CLO LEAGUE TABLES

SOURCE: THOMSON REUTERS LPCCont’d on next slide

Rank CLO Manager CLO Volume # of Deals Market Share1 CIFC 2,801.24 4 3.64%2 Credit Suisse Asset Management 2,599.73 3 3.38%3 Carlyle Investment Management 2,159.80 3 2.81%4 Apollo Global Investors 2,105.10 2 2.74%5 Prudential Investment Management 2,099.25 3 2.73%6 Och Ziff 2,068.25 3 2.69%7 GSO Capital Partners 1,843.27 3 2.40%8 Ares Management 1,775.10 2 2.31%9 Octagon Credit Investors 1,750.18 3 2.28%

10 ING 1,446.83 3 1.88%11 Onex Credit Partners 1,421.77 2 1.85%12 LCM Asset Management 1,349.60 2 1.75%13 Jefferies 1,329.20 3 1.73%14 Invesco 1,287.60 2 1.67%15 Golub Capital 1,265.41 3 1.65%16 THL Credit Advisors 1,263.25 2 1.64%17 CVC Capital 1,252.85 2 1.63%18 Angelo Gordon 1,239.60 2 1.61%19 MJX Asset Management 1,229.47 2 1.60%20 Oaktree Capital Management 1,224.50 2 1.59%


68


CLO LEAGUE TABLES


Rank CLO Manager CLO Volume # of Deals Market Share21 Kramer Van Kirk 1,203.75 2 1.57%22 Sankaty Advisors 1,142.75 2 1.49%23 Neuberger Berman 1,141.75 2 1.48%24 Anchorage Capital Group 1,139.25 2 1.48%25 BlueMountain Capital Management 1,125.28 2 1.46%

26 Napier Park 1,118.34 2 1.45%

27 Babson Capital 1,080.45 2 1.40%28 Crescent Capital 1,075.12 2 1.40%29 Shenkman Capital Management 1,073.13 2 1.40%

30 3i Group 1,033.48 2 1.34%31 Blackrock 1,021.23 2 1.33%32 TPG Capital 992.50 2 1.29%33 Halcyon Asset Management 986.28 2 1.28%34 Silvermine Capital Management 931.10 2 1.21%35 Highland Capital Management 921.75 2 1.20%36 Symphony Asset Management 838.00 1 1.09%37 Tall Tree Investment 821.60 2 1.07%38 OFS Capital Management (Orchard First Source) 814.60 2 1.06%39 Fortress 800.00 1 1.04%40 Oak Hill Advisors 777.00 1 1.01%


69


CLO LEAGUE TABLES


Rank CLO Manager CLO Volume # of Deals Market Share41 NewStar Financial 757.79 2 0.99%42 GreyWolf 640.83 1 0.83%43 Sound Point 628.00 1 0.82%44 Alcentra 627.00 1 0.82%45 Columbia Management Investment Advisers 621.48 1 0.81%46 American Capital 618.75 1 0.80%47 GoldenTree Asset Management 614.00 1 0.80%48 Western Asset Management 579.27 1 0.75%49 HIG WhiteHorse Capital 574.75 1 0.75%50 Allstate 570.00 1 0.74%51 Covenant Credit Partners 527.50 1 0.69%52 Credit Value Partners 520.75 1 0.68%53 MidOcean Partners 518.00 1 0.67%54 KKR 518.00 1 0.67%55 Eaton Vance 512.34 1 0.67%56 Benefit Street 512.27 1 0.67%57 Marathon 490.25 1 0.64%58 Kingsland Capital 481.00 1 0.63%59 Trimaran Advisors 467.93 1 0.61%60 PineBridge 465.35 1 0.61%


70


CLO LEAGUE TABLES


Rank CLO Manager CLO Volume # of Deals Market Share61 Par-Four Investment Management 462.67 1 0.60%62 Allianz Global 462.63 1 0.60%63 Arrowpoint Asset Management 460.00 1 0.60%64 Palmer Square Capital Management 457.00 1 0.59%65 Bradford & Marzec 421.50 1 0.55%66 Brigade Capital Mgmt 416.50 1 0.54%67 Cutwater Asset Management 415.40 1 0.54%68 Canyon Capital 415.25 1 0.54%69 Feingold O'Keeffe 414.00 1 0.54%70 Hildene Capital Management 413.75 1 0.54%71 Moelis & Co. 413.50 1 0.54%72 NYLIM 412.50 1 0.54%73 Telos Asset Management 412.35 1 0.54%

74 Chicago Fundamental Investment Partners 411.80 1 0.54%

75 Black Diamond Capital Management 411.75 1 0.54%76 American Money Management 410.30 1 0.53%77 Regiment Capital 407.32 1 0.53%78 BNP Paribas Asset Management 400.80 1 0.52%79 NewMark 400.00 1 0.52%79 Triumph Capital Advisors 400.00 1 0.52%


71


CLO LEAGUE TABLES


Rank CLO Manager CLO Volume # of Deals Market Share81 Canaras Capital 399.75 1 0.52%

82 Aegon USA 389.25 1 0.51%

83 Intermediate Capital Group 371.18 1 0.48%

84 40/86 Advisors 362.50 1 0.47%

85 BMO Asset Management 359.20 1 0.47%

86 Monroe Capital 358.07 1 0.47%

87 MatlinPatterson 357.95 1 0.47%

88 NXT 357.44 1 0.46%

89 Zais Group 310.85 1 0.40%

90 Tennenbaum Capital Management 277.75 1 0.36%

91 Cerberus 145.00 1 0.19%


72

2014 U.S. CLO TRUSTEE LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)

CLO LEAGUE TABLES


Rank Trustee Trustee Volume # of Deals Market Share1 US Bank 34,438.76 64 44.78%

2 Bank of New York 10,299.65 20 13.39%

3 Citi/Virtus 9,405.59 16 12.23%

4 Deutsche Bank 8,540.45 15 11.11%

5 Wells Fargo 8,412.58 15 10.94%

6 State Street 5,805.58 10 7.55%

LOAN MUTUAL FUND FLOWS & RETURNS


74

MONTHLY LOAN VS. HY BOND FUND FLOWS

LOAN FUND FLOWS & RETURNS



75

LOAN FUND FLOWS – MUTUAL FUND VS. ETF BREAKOUT




76

LOAN FUNDS VS. LOAN INDEX – MONTHLY RETURNS

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep-

11No

v-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep-

12No

v-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep-

13No

v-13

Jan-

14M

ar-1

4M

ay-1

4Ju

l-14-5.0

-4.0-3.0-2.0-1.00.01.02.03.04.0 Open-end Loan Funds*

S&P/LSTA Leveraged Loan Index

Ret

urns

(%

)

MONTHLY FUND VS. INDEX RETURNS

In August, open-end loan funds returned 0.22% on average versus 0.15% for the S&P/LSTA loan index.

YTD, open-end loan funds are up an average of 2.15%, compared to a gain of 2.73% for the index.


SOURCE: LIPPER, THOMSON REUTERS LPC, S&P/LSTA LEVERAGED LOAN INDEX

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


77

LOAN VS. HY BOND FUNDS – MONTHLY RETURNS

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep-

11No

v-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep-

12No

v-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep-

13No

v-13

Jan-

14M

ar-1

4M

ay-1

4Ju

l-14-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0Open-end Loan Funds*

Ret

urns

(%

)

MONTHLY FUND RETURNS

• Open-end HY bond funds were up 1.19% on average in August, compared to a 0.22% gain for loan funds.

YTD, open-end bond funds are up an average of 4.69%.


SOURCE: LIPPER, THOMSON REUTERS LPC

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

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Leveraged Loan Monthly -Aug-14

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