REUTERS Firstname Lastname Leveraged Loan Monthly Thomson Reuters

REUTERS / Firstname Lastname Leveraged Loan Monthly Thomson Reuters LPC January 2018 Hugo Pereira Senior Market Analyst Hugo. Pereira@tr. com 1 -646 -223 -6818

Contents: Key Points Slides 3 -5 Leveraged Loan Market Overview Slides 6 -28 U. S. High-Yield Bond Market Overview Slides 29 -34 Investor Overview Slides 35 -39 CLO Market Analysis Slides 40 -57 List of Recent CLOs/CLO LTs Slides 58 -67 Loan Mutual Fund Flows & Returns Slides 68 -71

Key Points: Primary Market: • After a year with record levels of issuance, leveraged lending recorded over $68 billion of volume in January, led by nearly $54 billion in leveraged institutional volume. January levels were down 27% when compared to the beginning of last year. • Refinancing activity continued to drive leveraged lending with almost $39 billion in volume; leveraged new money made up 43% of January issuance. • January institutional issuance was steady month-over-month with $56 billion in volume, (it was $59 billion the previous month). Institutional loan volume was down 27% when compared to January of last year. • At $22 billion, the new-money share of institutional issuance remained flat at 39% over the previous month; relative to a year-ago, the new money share of institutional volume is 20% higher. At $25 billion, M&A leveraged issuance was 8% higher over the previous month and $8. 5 billion above levels recorded a year ago. • The energy sector remained in focus with two defaults in January. Altogether, there were three defaulters in January, amounting to over $4 billion in the par value of defaulted loans. The trailing twelve month default rate was flat at 2. 4%, according to Fitch. Secondary Market: • Leveraged loans posted a return of 0. 96% in January, according to the SP/LSTA LLI. This marked the highest monthly return recorded since December of 2016, driven by a jump in secondary asset levels. Open ended loan funds posted a return of 0. 90% in January. • Driven by a dearth of loan supply and high demand, the secondary market continued to trend up in the new-year with the average bid for multi-quote institutional loans up 23 bps in January to the 98. 6 context. Average prices have rose 126 bps last year. 3 Cont’d on next slide

Key Points: Cont’d from prior slide • The share of multi-quote institutional loans priced in the par-plus area rose to 76% in January. It is 79% when measured on a dollar weighted basis. At the other end of the price scale, 5% of credits are bid below 90 cents on the dollar. • After softening in the second half of last year and falling below par, the average bid on the European Leveraged 40 rose 32 bps in January to the par context. • Yields in the U. S. high-yield bond market ended the month flat at 5. 8%, according to the Bank of America Merrill Lynch High Yield Index. Yields tightened by 34 bps in 4 Q of last year. CLOs / Loan Funds: • CLOs picked up where they left off last year with $6. 64 billion in new-issue volume in January, making it the busiest start to the year since 2013. • CLO reset and refinancing activity again outpaced new issue CLO volume in January with $11. 2 billion in resets/reissues and $2. 5 billion in refinancings. Resets have outpaced refinancing activity over the last seven months, as the number of “Crescent-letter” eligible deals shrinks. • Similar to past starts to the new-year, new issue European CLO activity was muted in January with one deal pricing for € 411 million. • There was € 1. 7 billion of combined refinancing and reset activity in the European CLO market for January. This was made up of € 1. 4 billion in reset/reissue volume and € 360 million in refinancings. 4 Cont’d on next slide

Key Points: Cont’d from prior slide • DMs on CLO AAA liabilities continue to trend downward in the first month of 2018 to 106 bps for U. S. CLOs and 71 bps for European CLOs. • Assets under management stand at $501 billion for U. S. CLOs and € 75 billion for European CLOs. • After posting outflows over the last three months, loan and high-yield bond funds diverged with HY funds posting an outflow of $3. 3 billion in January, while loan funds recorded a small inflow of $600 million, according to the most recently available data. • According to the most recent available data, January saw small inflows into both loan ETFs ($130 million) and loan mutual funds ($480 million). 5

Leveraged Loan Market Overview *2018 loan volumes are based on the most recently available data and is subject to updates throughout the quarter. 6

U. S. Leveraged Loan Issuance After a year with record levels of issuance, leveraged lending recorded over $68 billion of volume in January, led by nearly $54 billion in leveraged institutional volume. January levels were down 27% when compared to the beginning of last year. 180 160 Pro rata Institutional Issuance ($ Bils. ) 140 120 100 80 60 40 20 SOURCE: THOMSON REUTERS LPC 7 Jan-18 Sep-17 May-17 Jan-17 Sep-16 May-16 Jan-16 Sep-15 May-15 Jan-15 Sep-14 May-14 Jan-14 Sep-13 May-13 Jan-13 Sep-12 May-12 Jan-12 Sep-11 May-11 Jan-11 Sep-10 May-10 Jan-10 Sep-09 May-09 Jan-09 Sep-08 May-08 Jan-08 Sep-07 May-07 Jan-07 Sep-06 May-06 Jan-06 0

U. S. Leveraged Loan Issuance – New Money vs Refinancing continued to drive leveraged lending with almost $39 billion in volume; leveraged new money made up 43% of January issuance. 350 300 Refinancing New Money Issuance ($ Bils. ) 250 200 150 100 50 1 Q 06 2 Q 06 3 Q 06 4 Q 06 1 Q 07 2 Q 07 3 Q 07 4 Q 07 1 Q 08 2 Q 08 3 Q 08 4 Q 08 1 Q 09 2 Q 09 3 Q 09 4 Q 09 1 Q 10 2 Q 10 3 Q 10 4 Q 10 1 Q 11 2 Q 11 3 Q 11 4 Q 11 1 Q 12 2 Q 12 3 Q 12 4 Q 12 1 Q 13 2 Q 13 3 Q 13 4 Q 13 1 Q 14 2 Q 14 3 Q 14 4 Q 14 1 Q 15 2 Q 15 3 Q 15 4 Q 15 1 Q 16 2 Q 16 3 Q 16 4 Q 16 1 Q 17 2 Q 17 3 Q 17 4 Q 17 1 Q 18 TD 0 SOURCE: THOMSON REUTERS LPC 8

2018 YTD Leveraged Loan Issuance by Industry Technology Business Services General Manufacturing Financial Services Media Wholesale Services Retail & Supermarkets Healthcare Oil and Gas Restaurants Agriculture Transportation Chemicals, Plastics & Rubber Utilities n/a Telecommunications Automotive Mining REITS Beverage, Food, and Tobacco Processing Leisure and Entertainment Construction Shipping 9 Lev. Vol. ($Bils. ) 14. 22 7. 80 6. 52 5. 63 5. 50 3. 71 3. 03 2. 66 2. 48 2. 27 2. 20 1. 87 1. 63 1. 26 1. 22 1. 12 0. 96 0. 95 0. 93 0. 77 New Money Lev. Vol. ($Bils. ) 2. 68 2. 09 4. 72 1. 41 5. 50 3. 03 0. 51 0. 50 1. 18 1. 58 2. 20 0. 94 1. 51 - 0. 72 - 0. 08 0. 43 0. 27 % of Lev. Vol 20. 8% 11. 4% 9. 5% 8. 2% 8. 0% 5. 4% 4. 4% 3. 9% 3. 6% 3. 3% 3. 2% 2. 7% 2. 4% 1. 8% 1. 6% 1. 4% 1. 1% % of New Money Lev. Vol 9. 1% 7. 1% 16. 0% 4. 8% 18. 6% 10. 3% 1. 7% 4. 0% 5. 3% 7. 5% 3. 2% 5. 1% 0. 0% 2. 4% 0. 0% 0. 3% 1. 4% 0. 9% 0. 61 0. 59 0. 43 0. 12 - 0. 09 0. 12 - 0. 9% 0. 6% 0. 2% 0. 0% 0. 3% 0. 4% 0. 0%

2018 YTD Institutional Loan Issuance by Industry Technology Business Services Financial Services General Manufacturing Media Retail & Supermarkets Services Telecommunications Healthcare Restaurants Agriculture Wholesale Transportation Utilities Oil and Gas Chemicals, Plastics & Rubber Mining n/a Beverage, Food, and Tobacco Processing Automotive Construction Leisure and Entertainment 10 Inst. Vol. ($Bils. ) 12. 10 6. 56 4. 76 4. 68 3. 30 2. 66 2. 60 2. 46 2. 40 2. 05 1. 67 1. 60 1. 46 1. 43 1. 26 0. 93 0. 61 0. 60 0. 43 0. 08 New Money Inst. Vol. ($Bils. ) 2. 15 1. 72 1. 05 2. 88 3. 30 0. 50 0. 33 - 1. 16 2. 05 0. 74 1. 60 1. 46 - 1. 26 - 0. 43 0. 63 - 0. 03 0. 12 0. 08 % of Inst. Vol 21. 8% 11. 8% 8. 6% 8. 4% 5. 9% 4. 8% 4. 7% 4. 4% 4. 3% 3. 7% 3. 0% 2. 9% 2. 6% 2. 3% 1. 7% 1. 1% 0. 8% 0. 1% % of New Money Inst. Vol 10. 0% 8. 0% 4. 9% 13. 4% 15. 4% 2. 3% 1. 5% 0. 0% 5. 4% 9. 6% 3. 4% 7. 4% 6. 8% 0. 0% 5. 9% 0. 0% 2. 9% 0. 0% 0. 1% 0. 5% 0. 3%

U. S. Institutional Loan and HY Bond Issuance January institutional issuance was steady month-over-month with $56 billion in volume, (it was $59 billion the previous month). Institutional loan activity was down 27% when compared to January of last year. High-yield bonds added over $21 billion of issuance in January, in line with levels recorded a year ago. 120 100 Issuance ($ Bils. ) HY Bonds Inst. Loans 80 60 40 20 Jan-10 Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 0 SOURCE: THOMSON REUTERS LPC 11

U. S. Institutional Loan Issuance At $22 billion, the new-money share of institutional issuance remained flat at 39% over the previous month; relative to a year-ago, the new money share of institutional volume is 20% higher. New Money 120 Refinancing New Money Share 100% 90% 80% 70% 80 60% 60 50% 40 30% 20 10% 0% Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 0 SOURCE: THOMSON REUTERS LPC 12 Share of New Money Issuance ($ Bils. ) 100

U. S. Institutional Loan Issuance – New Money Breakout Drilling into the components of institutional new money issuance: one third of January volume was made up of LBO activity, while non-LBO M&A activity accounted for 53%. LBO’s share of volume remains in-line with last year’s. 50 M&A (Non-LBO) 45 LBO Other New Money Issuance ($ Bils. ) 40 35 30 25 20 15 10 5 SOURCE: THOMSON REUTERS LPC 13 Jan-18 Nov-17 Sep-17 Jul-17 May-17 Mar-17 Jan-17 Nov-16 Sep-16 Jul-16 May-16 Mar-16 Jan-16 Nov-15 Sep-15 Jul-15 May-15 Mar-15 Jan-15 Nov-14 Sep-14 Jul-14 May-14 Mar-14 Jan-14 Nov-13 Sep-13 Jul-13 May-13 Mar-13 Jan-13 Nov-12 Sep-12 Jul-12 May-12 Mar-12 Jan-12 0

14 SOURCE: THOMSON REUTERS LPC Jan-18 Nov-17 Sep-17 Jul-17 May-17 Mar-17 Jan-17 Nov-16 Sep-16 Jul-16 May-16 Mar-16 Jan-16 Nov-15 Sep-15 Jul-15 May-15 Mar-15 Jan-15 Nov-14 Sep-14 Jul-14 Non-LBO May-14 Mar-14 Jan-14 Nov-13 Sep-13 Jul-13 May-13 Mar-13 Jan-13 Nov-12 Sep-12 Jul-12 May-12 Mar-12 Jan-12 Issuance ($ Bils. ) U. S. M&A Leveraged Loan Issuance At $25 billion, M&A leveraged issuance was 8% higher over the previous month and $8. 5 billion above levels recorded a year ago. . 70 60 LBOs 50 40 30 20 10 0

U. S. Middle Market Loan Issuance There was over $6 billion of syndicated middle-market lending so far this year, with $5. 4 in the large middle-market space (deal size between $100 and $500 million). . 70 Large MM* 60 Trad. MM* Issuance ($ Bils. ) 50 40 30 20 10 1 Q 06 2 Q 06 3 Q 06 4 Q 06 1 Q 07 2 Q 07 3 Q 07 4 Q 07 1 Q 08 2 Q 08 3 Q 08 4 Q 08 1 Q 09 2 Q 09 3 Q 09 4 Q 09 1 Q 10 2 Q 10 3 Q 10 4 Q 10 1 Q 11 2 Q 11 3 Q 11 4 Q 11 1 Q 12 2 Q 12 3 Q 12 4 Q 12 1 Q 13 2 Q 13 3 Q 13 4 Q 13 1 Q 14 2 Q 14 3 Q 14 4 Q 14 1 Q 15 2 Q 15 3 Q 15 4 Q 15 1 Q 16 2 Q 16 3 Q 16 4 Q 16 1 Q 17 2 Q 17 3 Q 17 4 Q 17 1 Q 18 TD 0 *Traditional MM: Deal Size <=$100 M, Large MM: Deal Size >$100 M to $500 M, For all: Borrower Sales <$500 M SOURCE: THOMSON REUTERS LPC 15

Primary Market Institutional First-Lien Loan Spreads In January, primary market spreads were flat at 335 bps for large corp. borrowers, but tightened 47 bps to 410 bps for middle-market issuers. 650 Large Corporate Market 600 Middle Market Spread over LIBOR (Bps) 550 500 450 400 350 300 SOURCE: THOMSON REUTERS LPC 16 1 Q 18 TD 4 Q 17 3 Q 17 2 Q 17 1 Q 17 4 Q 16 3 Q 16 2 Q 16 1 Q 16 4 Q 15 3 Q 15 2 Q 15 1 Q 15 4 Q 14 3 Q 14 2 Q 14 1 Q 14 4 Q 13 3 Q 13 2 Q 13 1 Q 13 4 Q 12 3 Q 12 2 Q 12 1 Q 12 250

10% 9% 8% Average Yield QUARTERLY 13% 12% Large Corporate Market 11% Middle Market 7% 6% 4% 17 SOURCE: THOMSON REUTERS LPC 1 Q 10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 1 Q 06 3 Q 06 1 Q 07 3 Q 07 1 H 08 1 H 09 4 Q 09 2 Q 10 4 Q 10 2 Q 11 4 Q 11 2 Q 12 4 Q 12 2 Q 13 4 Q 13 2 Q 14 4 Q 14 2 Q 15 4 Q 15 2 Q 16 4 Q 16 2 Q 17 4 Q 17 Average Yield U. S. Primary Market Institutional Loan Yields New issue yields climbed in January, with large corporate yields up 21 bps to 5. 2% and middle market deals up 30 bps to 6. 16%. MONTHLY 10% Large Corporate Market Middle Market 9% 8% 7% 6% 5% 5% 4%

Institutional Loan Flex Activity January institutional loan flex activity spiked in favor of borrowers, with the average downward flex at 48 bps. The flex ratio also increased to 9. 3: 1 in favor of downward flex activity. 40 2% 30 1% 10 0 -10 0% -20 -30 -1% -40 # of flexes up/down -50 Avg. yield adjustment up/down -2% Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 -60 SOURCE: THOMSON REUTERS LPC 18 Average Flex Number of Flexes 20

1/2/2004 5/2/2004 9/2/2004 1/2/2005 5/2/2005 9/2/2005 1/2/2006 5/2/2006 9/2/2006 1/2/2007 5/2/2007 9/2/2007 1/2/2008 5/2/2008 9/2/2008 1/2/2009 5/2/2009 9/2/2009 1/2/2010 5/2/2010 9/2/2010 1/2/2011 5/2/2011 9/2/2011 1/2/2012 5/2/2012 9/2/2012 1/2/2013 5/2/2013 9/2/2013 1/2/2014 5/2/2014 9/2/2014 1/2/2015 5/2/2015 9/2/2015 1/2/2016 5/2/2016 9/2/2016 1/2/2017 5/2/2017 9/2/2017 1/2/2018 Institutional Loan Outstandings ($ Bils. ) Institutional Loan Outstandings Institutional outstandings added $9. 8 billion in January and currently stand at $965 billion. 1, 200 19 1, 000 800 600 400 200 0 SOURCE: S&P/LSTA LEVERAGED LOAN INDEX

Institutional Leveraged Loan Defaults The energy sector remained in focus with two defaults in January. Altogether, there were three defaulters in January, amounting to over $4 billion in the par value of defaulted loans. The trailing twelve month default rate was flat at 2. 4%, according to Fitch. 6 4. 5% Par Value of Defaulted Inst Loans Default Rate 4. 0% 3. 5% 4 3. 0% 2. 5% 3 2. 0% 2 1. 5% 1. 0% 1 0. 5% SOURCE: FITCH U. S. LEVERAGED LOAN DEFAULT INDEX 20 Jan-18 Nov-17 Dec-17 Sep-17 Oct-17 Aug-17 Jun-17 Jul-17 Apr-17 May-17 Feb-17 Mar-17 Jan-17 Nov-16 Dec-16 Sep-16 Oct-16 Aug-16 Jun-16 Jul-16 Apr-16 May-16 Feb-16 Mar-16 Jan-16 Nov-15 Dec-15 Sep-15 Oct-15 Aug-15 Jun-15 Jul-15 Apr-15 May-15 0. 0% Jan-15 Feb-15 Mar-15 0 Default rate Par Value ($ Bils) 5

Institutional Leveraged Loan Defaults – TTM Basis Month Default Date Shelf Drilling Holdings Ltd. Par Value ($ Mils. ) 350. 0 01/11/17 Distressed Exchange Energy Avaya Inc. 3, 247. 8 01/19/17 Subtotal January 2017 Issuer Default Source Industry Chapter 11 Filing Telecommunications 3, 597. 8 February 2017 No Default Activity March 2017 Answers Corp. 500. 0 03/03/17 Chapter 11 Filing Technology EXCO Resources Inc. 382. 8 03/15/17 Distressed Exchange Energy Montco Offshore Inc. 7. 5 03/17/17 Chapter 11 Filing Transportation Square. Two Financial Corp. 146. 1 03/19/17 Chapter 11 Filing Banking & Finance Ocean Rig UDW Inc. 3, 109. 0 03/27/17 Chapter 15 Filing Energy Subtotal April 2017 Payless Inc. 665. 0 04/04/17 Chapter 11 Filing Retail Sprint Industrial Holdings LLC 220. 0 04/13/17 Distressed Exchange Transportation Panda Temple Power LLC 380. 0 04/17/17 Chapter 11 Filing Utilities, Power & Gas AFGlobal Corp. 662. 1 04/30/17 Chapter 11 Filing Industrial/Manufacturing Subtotal May 2017 rue 21, Inc. 521. 0 05/15/17 Chapter 11 Filing Retail Mood Media Corp. 228. 5 05/22/17 Chapter 15 Filing Leisure & Entertainment Total Safety US Inc. 405. 0 05/22/17 Distressed Exchange Services & Miscellaneous 21 st Century Oncology Inc. 602. 4 05/25/17 Chapter 11 Filing Healthcare & Pharmaceutical Subtotal 4, 145. 4 1, 927. 1 1, 756. 9 Cont’d on next slide 21

Institutional Leveraged Loan Defaults – TTM Basis Month June 2017 Issuer Par Value ($ Mils. ) Cont’d from prior slide Default Date Default Source 115. 3 06/06/17 Chapter 11 Filing Industry Gaming, Lodging & Restaurants 1, 056. 0 06/07/17 Missed Payment Energy 760. 6 06/11/17 Chapter 11 Filing Retail Ignite Restaurant Group Inc. Ascent Resources - Marcellus LLC The Gymboree Corp. Subtotal July 2017 True Religion Apparel Inc. 471. 0 07/05/17 Chapter 11 Filing Retail J. Crew Group Inc. 07/11/17 Distressed Exchange Retail Subtotal 1, 370. 0 1, 841. 0 August 2017 No Default Activity September 2017 Toys 'R' Us Inc 09/18/17 Chapter 11 Filing Retail Subtotal 1, 182. 2 Appvion Inc. 178. 3 10/01/17 Chapter 11 Filing Paper & Containers GST Auto. Leather Cayman I Ltd 139. 7 10/03/17 Chapter 11 Filing Automotive Pinnacle Holdco Sarl 460. 0 10/06/17 Missed Payment Energy Concordia International Corp. 1, 075. 3 1, 853. 3 10/20/17 Restructuring Healthcare & Pharmaceutical October 2017 Subtotal 1, 931. 9 Cont’d on next slide 22

Institutional Leveraged Loan Defaults – TTM Basis Month November 2017 Issuer Ex. Gen Texas Power LLC 99 Cents Only Stores LLC December 2017 January 2018 Default Date Default Source Industry 659. 6 11/07/17 Chapter 11 Filing Utilities, Power & Gas 590. 3 11/07/17 Distressed Exchange Retail Pacific Drilling SA 718. 1 11/12/17 Chapter 11 Filing Energy Stafford Logistics Inc. 175. 0 11/15/17 Distressed Exchange Transportation Velocity Pooling Vehicle LLC 373. 0 11/15/17 Chapter 11 Filing Automotive Cumulus Media Inc. Walter Investment Management Corp. 1, 728. 6 11/29/17 Chapter 11 Filing Broadcasting & Media 11/30/17 Chapter 11 Filing Banking & Finance Subtotal 1, 295. 2 4, 251. 7 Charming Charlie LLC 150. 0 12/11/17 Chapter 11 Filing Retail J. G. Wentworth Inc. Expro International Group Holdings RGL Reservoir Management Inc. 449. 5 12/12/17 Chapter 11 Filing Banking & Finance 1, 261. 0 12/18/17 Chapter 11 Filing Energy 12/21/17 Restructuring Energy Subtotal 293. 0 2, 153. 5 Isola AG 250. 0 01/05/18 Restructuring Chemicals Fieldwood Energy LLC Philadelphia Energy Solutions Refining & Marketing LLC 3, 265. 1 01/08/18 Missed Payment Energy 523. 9 01/21/18 Chapter 11 Filing Energy Subtotal Source: Fitch U. S. Leveraged Loan Default Index 23 Par Value ($ Mils. ) Cont’d from prior slide 4, 039. 0

U. S. Secondary Market Bid Levels Driven by a dearth of loan supply and high demand, the secondary market continued to trend up in the new year with the average bid for multiquote institutional loans up 23 bps in January to the 98. 6 context. Average prices have rose 126 bps last year. 102 100 Avg. Bid (% of Par) 98 96 94 Multi-quote Inst. TLs 92 All Inst. TLs 90 3 -Jan-11 3 -Mar-11 3 -May-11 3 -Jul-11 3 -Sep-11 3 -Nov-11 3 -Jan-12 3 -Mar-12 3 -May-12 3 -Jul-12 3 -Sep-12 3 -Nov-12 3 -Jan-13 3 -Mar-13 3 -May-13 3 -Jul-13 3 -Sep-13 3 -Nov-13 3 -Jan-14 3 -Mar-14 3 -May-14 3 -Jul-14 3 -Sep-14 3 -Nov-14 3 -Jan-15 3 -Mar-15 3 -May-15 3 -Jul-15 3 -Sep-15 3 -Nov-15 3 -Jan-16 3 -Mar-16 3 -May-16 3 -Jul-16 3 -Sep-16 3 -Nov-16 3 -Jan-17 3 -Mar-17 3 -May-17 3 -Jul-17 3 -Sep-17 3 -Nov-17 3 -Jan-18 88 SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING 24

Distribution of Secondary Market Bids The share of multi-quote institutional loans priced in the par-plus area rose to 76% in January. It is 79% when measured on a dollar weighted basis. At the other end of the price scale, 5% of credits are bid below 90 cents on the dollar. 80% Share of Loans/Dollar Value 70% # of loans 60% $ weighted 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 Avg. Bid (% of Par) SOURCE: THOMSON REUTERS LPC 25 98 to <99 99 to <100 to <101 >=101

26 SOURCE: THOMSON REUTERS LPC 4 -Jan-18 4 -Nov-17 4 -Sep-17 4 -Jul-17 4 -May-17 4 -Mar-17 4 -Jan-17 4 -Nov-16 4 -Sep-16 4 -Jul-16 100 -plus 4 -May-16 4 -Mar-16 4 -Jan-16 4 -Nov-15 4 -Sep-15 4 -Jul-15 4 -May-15 80% 4 -Mar-15 4 -Jan-15 4 -Nov-14 4 -Sep-14 4 -Jul-14 4 -May-14 4 -Mar-14 4 -Jan-14 4 -Nov-13 4 -Sep-13 4 -Jul-13 4 -May-13 4 -Mar-13 4 -Jan-13 4 -Nov-12 4 -Sep-12 4 -Jul-12 4 -May-12 4 -Mar-12 4 -Jan-12 Share of Loans Par-plus & 101 -plus Market Share The share of multi-quote loans priced at or above par ticked higher to 70% while the share priced at or above 101 rose to 6% in January. 90% 101 -plus 70% 60% 50% 40% 30% 20% 10% 0%

Avg. Bid (% of Par) 27 70 4% 65 2% 60 0% SOURCE: THOMSON REUTERS LPC Textiles and Apparel Agriculture Oil and Gas Retail & Supermarkets Shipping Mining Aerospace and Defense Media Wholesale Services Healthcare Share of loans 100 14% 95 12% 90 85 10% 80 8% 75 6% Share of Loans Avg. Bid Telecommunications General Manufacturing Utilities Restaurants Business Services 105 Technology REITS Paper & Packaging Beverage, Food, and Tobacco Processing Financial Services Chemicals, Plastics & Rubber Leisure and Entertainment Automotive Broadcasting Hotel & Gaming Transportation Construction Secondary Market Bids – By Sector Looks across industries, more sectors have crossed the par threshold with the average bid for chemicals at 100. 32 and financial services at 100. 27. The avg bid in the technology sector also rose to 100, while the retail & supermarkets avg bid stands at 95. 1. 16%

3 -Jan-11 3 -Mar-11 3 -May-11 3 -Jul-11 3 -Sep-11 3 -Nov-11 3 -Jan-12 3 -Mar-12 3 -May-12 3 -Jul-12 3 -Sep-12 3 -Nov-12 3 -Jan-13 3 -Mar-13 3 -May-13 3 -Jul-13 3 -Sep-13 3 -Nov-13 3 -Jan-14 3 -Mar-14 3 -May-14 3 -Jul-14 3 -Sep-14 3 -Nov-14 3 -Jan-15 3 -Mar-15 3 -May-15 3 -Jul-15 3 -Sep-15 3 -Nov-15 3 -Jan-16 3 -Mar-16 3 -May-16 3 -Jul-16 3 -Sep-16 3 -Nov-16 3 -Jan-17 3 -Mar-17 3 -May-17 3 -Jul-17 3 -Sep-17 3 -Nov-17 3 -Jan-18 Avg. Bid (% of Par) Secondary Market Bid Levels: Europe After softening in the second half of last year and falling below par, the average bid on the European Leveraged 40 rose 32 bps in January to the par context. 102 100 98 28 96 European Leveraged 40 94 92 90 88 SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING

U. S. High-Yield Bond Market Overview 29

Jan-10 Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Proceeds ($ Bils. ) 60 Proceeds (US$ Bils. ) SOURCE: THOMSON REUTERS 30 # of Issues 50 40 60 30 50 40 20 30 10 20 10 0 # of Issues U. S. High-Yield Corporate Bonds The U. S. high-yield market recorded $21. 3 billion of issuance in January, an increase of 22% over the prior month and 2% lower compared to a year ago. 100 90 80 70

U. S. High-Yield Corporate Bonds – by Rating Over half (57%) of January issuance was rated between BB+ and BB-, while one-third carried a single B rating. 7 10 Proceeds (US$ Bils. ) 6 9 # of Issues 5 7 6 4 5 3 4 3 2 2 1 1 SOURCE: THOMSON REUTERS 31 N/A CCC+ B- B B+ BB- BB BB+ 0 # of Issues Proceeds ($ Bils. ) 8

U. S. High-Yield Corporate Bonds – by Industry Breaking out volume by industry, financials led the way in January with $5. 2 billion of volume, for a 23% share. 6 10 Proceeds (US$ Bils. ) 5 9 # of Issues 8 7 6 3 5 4 2 3 2 1 1 SOURCE: THOMSON REUTERS 32 Consumer Products and Services Industrials Healthcare Real Estate Retail Telecommunications Materials Media and Entertainment Energy and Power 0 Financials 0 # of Issues Proceeds ($ Bils. ) 4

SOURCE: THOMSON REUTERS 33 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 1 Q 10 2 Q 10 3 Q 10 4 Q 10 1 Q 11 2 Q 11 3 Q 11 4 Q 11 1 Q 12 2 Q 12 3 Q 12 4 Q 12 1 Q 13 2 Q 13 3 Q 13 4 Q 13 1 Q 14 2 Q 14 3 Q 14 4 Q 14 1 Q 15 2 Q 15 3 Q 15 4 Q 15 1 Q 16 2 Q 16 3 Q 16 4 Q 16 1 Q 17 2 Q 17 3 Q 17 4 Q 17 Average Yield to Maturity (%) U. S. High-Yield Corporate Bonds – New Issue Yields New-issue yields dropped to 5. 77% in January. 11 10 9 8 7 6 5 4

2 -Jan-13 2 -Feb-13 2 -Mar-13 2 -Apr-13 2 -May-13 2 -Jun-13 2 -Jul-13 2 -Aug-13 2 -Sep-13 2 -Oct-13 2 -Nov-13 2 -Dec-13 2 -Jan-14 2 -Feb-14 2 -Mar-14 2 -Apr-14 2 -May-14 2 -Jun-14 2 -Jul-14 2 -Aug-14 2 -Sep-14 2 -Oct-14 2 -Nov-14 2 -Dec-14 2 -Jan-15 2 -Feb-15 2 -Mar-15 2 -Apr-15 2 -May-15 2 -Jun-15 2 -Jul-15 2 -Aug-15 2 -Sep-15 2 -Oct-15 2 -Nov-15 2 -Dec-15 2 -Jan-16 2 -Feb-16 2 -Mar-16 2 -Apr-16 2 -May-16 2 -Jun-16 2 -Jul-16 2 -Aug-16 2 -Sep-16 2 -Oct-16 2 -Nov-16 2 -Dec-16 2 -Jan-17 2 -Feb-17 2 -Mar-17 2 -Apr-17 2 -May-17 2 -Jun-17 2 -Jul-17 2 -Aug-17 2 -Sep-17 2 -Oct-17 2 -Nov-17 2 -Dec-17 2 -Jan-18 Yield to Worst (%) U. S. High-Yield Bond Index Yields in the U. S. high-yield bond market ended the month flat at 5. 8%, according to the Bank of America Merrill Lynch High Yield Index. Yields tightened by 34 bps in 4 Q of last year. 11 10 34 9 8 7 6 5 4 SOURCE: BANK OF AMERICA MERRILL LYNCH

Investor Overview 35

Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 CLO APB ($ Bils. ) 600 CLO APB SOURCE: THOMSON REUTERS LPC COLLATERAL 36 Number of CLOs 500 400 1, 000 800 300 600 200 400 100 200 0 0 Number of CLOs in Sample U. S. CLO Assets Under Management U. S. CLO assets under management stands at $501 billion. 1, 400 1, 200

Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Loan Mutual Fund & ETF AUM ($ Bils. ) Loan Funds Assets Under Management* Loan mutual fund & ETF assets under management (market value) ended January at $157 billion. *based on the most recent data available. 200 37 180 160 140 120 100 80 60 40 20 0 SOURCE: LIPPER, A THOMSON REUTERS COMPANY

Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Investor Share of Institutional Loan Outstandings CLO’s share of institutional loan outstandings is 50%, while the loan mutual funds & ETF market share stands at 15%. 38 55% 50% 45% 40% 35% 30% 25% CLOs Loan Funds (mutual funds & ETFs) Other 20% 15% 10% SOURCE: THOMSON REUTERS LPC COLLATERAL, LIPPER

Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 ($ Bils. ) U. S. CLO Issuance vs. Loan Fund Flows - Monthly New issue CLO volume had a fast start to the year, adding $6. 7 billion in new deal issuance. According to the most recently available data, after five consecutive months of outflows, loan funds recorded a small inflow of $600 million in January. 20 CLO Issuance SOURCE: THOMSON REUTERS LPC COLLATERAL, LIPPER 39 Loan fund flows 15 10 5 0 -5 -10

CLO Market Analysis* *based on the most recently available data in Thomson Reuters LPC Collateral. 40

Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 CLO Issuance ($ Bils. ) 16 14 41 Issuance ($Bils. ) SOURCE: THOMSON REUTERS LPC, WELLS FARGO Number of CLOs 12 10 20 8 15 6 10 4 2 5 0 0 Number of CLOs Issued U. S. CLO New Issue Volume - Monthly CLOs picked up where they left off last year with $6. 64 billion in new-issue volume in January, making it the busiest start to the year since 2013. 30 25

U. S. CLO Refinancings & Resets CLO reset and refinancing activity again outpaced new issue CLO volume in January with $11. 2 billion in resets/reissues and $2. 5 billion in refinancings. Resets have outpaced refinancing activity over the last seven months, as the number of Crescent-letter eligible deals shrinks. 25 20 ($ Bils. ) Resets Refinancings 15 10 5 SOURCE: THOMSON REUTERS LPC 42 Jan-18 Dec-17 Nov-17 Oct-17 Sep-17 Aug-17 Jul-17 Jun-17 May-17 Apr-17 Mar-17 Feb-17 Jan-17 Dec-16 Nov-16 Oct-16 Sep-16 Aug-16 Jul-16 Jun-16 May-16 Apr-16 Mar-16 Feb-16 Jan-16 0

U. S. BSL CLO AAA Spreads* Primary spreads in the CLO market continued to trend lower sending the average AAA discount margin to 106 bps in January with several managers pricing in the 103 -100 bps range. *based on deals where discount margin is available AAA Discount Margin (Bps) 200 180 160 Average 140 120 100 SOURCE: THOMSON REUTERS LPC 43 Jan-18 Dec-17 Nov-17 Oct-17 Sep-17 Aug-17 Jul-17 Jun-17 May-17 Apr-17 Mar-17 Feb-17 Jan-17 Dec-16 Nov-16 Oct-16 Sep-16 Aug-16 Jul-16 Jun-16 May-16 Apr-16 Mar-16 Feb-16 Jan-16 80

Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 CLO Issuance (€ Bils. ) 5 44 Issuance ($Bils. ) 4 3. 5 8 3 2. 5 6 2 1. 5 4 1 2 0. 5 0 - SOURCE: THOMSON REUTERS LPC Number of CLOs Issued European CLO New Issue Volume - Monthly Similar to past starts to the new year, new issue European CLO activity was muted in January with one deal pricing for € 411 million. 12 Number of CLOs 10

European CLO Refinancings & Resets There was € 1. 7 billion of combined refinancing and reset activity in the European CLO market for January. This was made up of € 1. 4 billion in reset/reissue volume and € 360 million in refinancings. 3. 5 3 (€ Bils. ) 2. 5 Resets Refinancings 2 1. 5 1 0. 5 SOURCE: THOMSON REUTERS LPC 45 Jan-18 Dec-17 Nov-17 Oct-17 Sep-17 Aug-17 Jul-17 Jun-17 May-17 Apr-17 Mar-17 Feb-17 Jan-17 Dec-16 Nov-16 Oct-16 Sep-16 Aug-16 Jul-16 Jun-16 May-16 Apr-16 Mar-16 Feb-16 Jan-16 0

European CLO AAA Spreads* The European CLO AAA discount margin ticked down to 71 bps in January. *based on deals where discount margin is available 180 AAA Discount Margin (Bps) 160 Average 140 120 100 80 SOURCE: THOMSON REUTERS LPC 46 Jan-18 Dec-17 Nov-17 Oct-17 Sep-17 Aug-17 Jul-17 Jun-17 May-17 Apr-17 Mar-17 Feb-17 Jan-17 Dec-16 Nov-16 Oct-16 Sep-16 Aug-16 Jul-16 Jun-16 May-16 Apr-16 Mar-16 Feb-16 Jan-16 60

U. S. vs European CLO AAA Spreads – BSL DMs on CLO AAA liabilities continue to trend downward in the first month of 2018. *based on deals where discount margin is available AAA Discount Margin (Bps) 180 160 140 120 U. S. * Europe 100 80 SOURCE: THOMSON REUTERS LPC 47 Jan-18 Dec-17 Nov-17 Oct-17 Sep-17 Aug-17 Jul-17 Jun-17 May-17 Apr-17 Mar-17 Feb-17 Jan-17 Dec-16 Nov-16 Oct-16 Sep-16 Aug-16 Jul-16 Jun-16 May-16 Apr-16 Mar-16 Feb-16 Jan-16 60

Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 CLO APB ($ Bils. /€ Bils. ) CLO Assets Under Management Assets under management stand at $501 billion for U. S. CLOs and € 75 billion for European CLOs. 700 600 48 U. S. Europe 500 400 300 200 100 0 SOURCE: THOMSON REUTERS LPC COLLATERAL

49 SOURCE: THOMSON REUTERS LPC COLLATERAL Jan-18 Nov-17 Sep-17 Jul-17 May-17 Mar-17 Jan-17 Nov-16 Sep-16 Jul-16 May-16 Mar-16 Jan-16 Nov-15 Sep-15 Jul-15 May-15 Mar-15 Jan-15 Nov-14 Sep-14 2009 -2013 Jul-14 May-14 Mar-14 Jan-14 <=2008 Nov-13 Sep-13 Jul-13 May-13 Mar-13 Jan-13 Nov-12 Sep-12 Jul-12 CLO APB ($ Bils. ) U. S. CLO Assets Under Management by Vintage 83% of CLO AUM is now made up of deals issued on of after 2014. 600 >=2014 500 400 300 200 100 0

Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 CLO APB (€ Bils. ) European CLO Assets Under Management by Vintage European CLO 2. 0 assets under management stands at € 70 billion, representing 93% of the market. 80 70 50 <=2008 SOURCE: THOMSON REUTERS LPC COLLATERAL 2009 -2013 >=2014 60 50 40 30 20 10 0

51 SOURCE: THOMSON REUTERS LPC COLLATERAL Government Textiles and Apparel Real Estate Agriculture Mining REITS Restaurants Construction Beverage, Food, and Tobacco Processing Paper & Packaging Hotel & Gaming Oil and Gas Media Aerospace and Defense Shipping Automotive Transportation Broadcasting Wholesale Leisure and Entertainment Utilities Chemicals, Plastics & Rubber Services Telecommunications General Manufacturing Retail & Supermarkets Business Services Financial Services Healthcare Technology Share of U. S. CLO Loan Assets Top Industries – U. S. CLOs The top sectors held in US CLOs are Technology (13%), Healthcare and Financials (8% each). The top 5 sectors account for 42% of overall U. S. CLO loan holdings, while the top 10 sectors represent 67% of holdings. 14% 12% 10% 8% 6% 4% 2% 0%

52 SOURCE: THOMSON REUTERS LPC COLLATERAL Oil and Gas REITS Textiles and Apparel Government Agriculture Shipping Automotive Aerospace and Defense Mining Restaurants Transportation Real Estate Media Hotel & Gaming Utilities Retail & Supermarkets Beverage, Food, and Tobacco Processing Construction Paper & Packaging Broadcasting Leisure and Entertainment Wholesale Telecommunications Business Services Financial Services General Manufacturing Services Chemicals, Plastics & Rubber Healthcare Technology Share of Euro CLO Loan Assets Top Industries – European CLOs For European CLO loan holdings, the top sectors are Technology and Healthcare (11% each), and Chemicals (10%). The top 5 sectors account for 48% of European CLO loan holdings, while the top 10 sectors represent 76% of holdings. 12% 10% 8% 6% 4% 2% 0%

Distribution of Secondary Market Prices of Loan Assets in U. S. CLOs The share of par-plus loans in U. S. CLOs stands increased to 79% in January. It was 68% the previous month and 67% a year ago. At the other end of the market, the share of loans bid below 90 cents on the dollar dropped to 4%. 90% Share of Loan Holdings 80% Jan-17 Dec-17 Jan-18 70% 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 85 to <90 90 to <95 Avg. Bid (% of Par) SOURCE: THOMSON REUTERS LPC COLLATERAL 53 95 to <98 98 to <99 99 to <100 >=100

Distribution of Secondary Market Prices of Loan Assets in European CLOs For European deals, the share of par-plus loans increased to 70% in January, from 61% a month ago. Only 1% of loans are bid below 90. 90% Share of Loan Holdings 80% Jan-17 70% Dec-17 Jan-18 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 85 to <90 90 to <95 Avg. Bid (% of Par) SOURCE: THOMSON REUTERS LPC COLLATERAL 54 95 to <98 98 to <99 99 to <100 >=100

Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Bid (% of Par) Average Bid of U. S. CLO Portfolios (Underlying Assets) The average bid of U. S. CLO portfolios increased to 98. 9 in January, while the median bid climbed to 99. 24. 102 100 98 55 96 94 US Avg. Bid US Median Bid 92 90 88 SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING, THOMSON REUTERS LPC

Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Bid (% of Par) Average Bid of European CLO Portfolios (Underlying Assets) The average bid of European CLOs asset portfolios increased to 99 in January. The median bid also increased to 99. 7 from 99. 5 the previous month. 102 100 56 EUR Avg. Bid EUR Median Bid 98 96 94 92 90 88 SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING, THOMSON REUTERS LPC

Weighted Average Bid of CLO Portfolios (Underlying Assets): U. S. vs Europe Looking at the distribution of CLO portfolio prices, nearly 16% of assets in U. S. CLO are now bid at or above par, 45% between 99 and par. In European portfolios, 18% are bid at or above par. 69% of US CLOs have a weighted average bid in the 98 to sub-100 area. 61% of Euro deals are bid in the 99 to par range. 70% U. S. 60% Europe Share of CLOs 50% 40% 30% 20% 10% 0% <70 70 to 85 to 86 to 87 to 88 to 89 to 90 to 91 to 92 to 93 to 94 to 95 to 96 to 97 to 98 to 99 to >=100 <85 <86 <87 <88 <89 <90 <91 <92 <93 <94 <95 <96 <97 <98 <99 <100 *Excludes CLOs less than $50 million in size. SOURCE: THOMSON REUTERS LPC COLLATERAL 57 CLO Weighted Avg. Bid (% of Par)

List of Recent CLOs / CLO League Tables 58

2018 YTD U. S. CLO Arranger League Table: New Issue (through 31 Jan 2018) Rank 1 2 3 4 5 6 7 Bank Holding Company Bank of America Merrill Lynch Goldman Sachs Morgan Stanley Barclays Deutsche Bank BNP Paribas Natixis SOURCE: THOMSON REUTERS LPC 59 Arranger Volume ($Mils. ) 1, 832 1, 587 1, 579 511 423 410 300 Number of Deals 3 2 2 1 1 Market Share 27. 6% 23. 9% 23. 8% 7. 7% 6. 4% 6. 2% 4. 5%

2018 YTD U. S. CLO Arranger League Table: Resets/Re-issues (through 31 Jan 2018) Rank 1 2 3 4 5 6 7 8 9 10 11 12 Bank Holding Company Goldman Sachs Citi JP Morgan Jefferies BNP Paribas Wells Fargo MUFG Securities RBC Capital Markets Bank of America Merrill Lynch Deutsche Bank Barclays Mizuho Arranger Volume ($Mils. ) 2, 024 1, 883 1, 507 1, 411 1, 395 523 500 485 416 381 378 375 Number of Deals 4 4 3 3 1 1 1 1 Market Share 18. 0% 16. 7% 13. 4% 12. 5% 12. 4% 4. 6% 4. 4% 4. 3% 3. 7% 3. 4% 3. 3% 2018 YTD U. S. CLO Arranger League Table: Refinancings (through 31 Jan 2018) Rank 1 2 3 4 5 Bank Holding Company Credit Suisse Morgan Stanley Citi Wells Fargo Barclays SOURCE: THOMSON REUTERS LPC 60 Arranger Volume ($Mils. ) 820 724 377 321 296 Number of Deals 2 2 1 1 1 Market Share 32% 29% 15% 13% 12%

2018 New Issue U. S. CLOs Date Priced CLO Manager CLO Name 16 -Jan-18 Mid. Ocean Credit Partners Mid. Ocean 2018 -8 18 -Jan-18 Octagon Credit Investors Octagon Investment Partners 35 19 -Jan-18 DFG Investment Advisors 24 -Jan-18 Neuberger Berman Vibrant CLO VIII Neuberger Berman Loan Advisors 27 24 -Jan-18 Crestline Denali Capital CLO XVI 26 -Jan-18 PGIM 25 -Jan-18 Credit Suisse Asset Management 25 -Jan-18 Tennenbaum Capital Management TCP Rainier CLO 30 -Jan-18 GSO Blackstone Greenwood Park 31 -Jan-18 Och Ziff Capital Management OZLM XXII 31 -Jan-18 CIFC Funding 2018 -1 SOURCE: THOMSON REUTERS LPC 61 Deal Size ($Mils. ) AAA Size ($Mils. ) Equity Size ($Mils. ) 512 315 42 511. 2 290 560 Agent Trustee 52. 2 Goldman Sachs Bank of America Merrill Lynch US Bank 360. 25 53. 9 Morgan Stanley Citi/Virtus 510. 8 315 48. 3 Barclays US Bank 409 256 41 BNP Paribas Deutsche Bank Dryden 57 CLO 423. 09 273. 75 37. 29 Madison Park Funding 27 811. 10 504 73. 5 Deutsche Bank of America Merrill Lynch Wells Fargo 300 Natixis 1074. 65 677. 25 107. 6 509. 2 317 53 1019. 25 650 99. 25 Goldman Sachs Bank of America Merrill Lynch Morgan Stanley

2018 New Issue U. S. CLOs – Pricing Date Priced CLO Name AAA Cpn AAA DM AA Cpn AA DM A Cpn A DM BBB Cpn BBB DM BB Cpn BB DM B Cpn B DM 830 16 -Jan-18 Mid. Ocean 2018 -8 115 165 195 290 586 600 766 18 -Jan-18 Octagon Investment Partners 35 106 140 170 260 520 19 -Jan-18 114 147 180 285 575 24 -Jan-18 Vibrant CLO VIII Neuberger Berman Loan Advisors 27 103 140 170 260 520 24 -Jan-18 Denali Capital CLO XVI 112 145 185 260 560 26 -Jan-18 Dryden 57 CLO 101 135 170 255 520 25 -Jan-18 Madison Park Funding 27 103 135 180 260 500 25 -Jan-18 TCP Rainier CLO 30 -Jan-18 Greenwood Park 103 140 170 250 495 31 -Jan-18 OZLM XXII 107 150 180 265 530 739 31 -Jan-18 CIFC Funding 2018 -1 100 140 175 265 500 SOURCE: THOMSON REUTERS LPC 62 95

2018 U. S CLOs Refinancings/Resets Date Priced Deal Size ($Mils. ) AAA Cpn BBB Cpn Great Lakes CLO 2015 -1 330. 91 153 185 250 390 736 1000 10 -Jan-18 Alcentra Shackleton 2013 -III CLO 499. 5 112 155 195 302 588 11 -Jan-18 CIFC Funding 2014 574. 6 110 140 185 285 11 -Jan-18 NXT Capital CLO 2015 -1 321 115 160 220 12 -Jan-18 Double. Line Capital Parallel 2015 -1 348 85 130 16 -Jan-18 Seix Advisors Mountain View CLO X 350 82 16 -Jan-18 Telos Asset Management Telos CLO 2013 -4 329. 9 17 -Jan-18 Grey. Wolf 17 -Jan-18 Highbridge Principal Strategies Greywolf CLO V Highbridge Loan Management 4 -2014 18 -Jan-18 Invest. Corp Credit Management Jamestown CLO VIII CLO Manager 4 -Jan-18 BMO Asset Management CLO Name Agent Refi/Reset 802 Citi MUFG Securities 585 790 Citi Reset 330 175 255 135 185 260 124 180 260 340 655 653 116 168 200 300 585 524. 56 103 150 185 255 555 736 376. 3 87 130 374 18 -Jan-18 Black. Rock Financial Management Magnetite XVI 470 80 120 160 215 18 -Jan-18 MJX Asset Management Venture XVI CLO 463 85 125 165 19 -Jan-18 CVC Credit Partners Apidos CLO XXIII 377 82 122 1395 109 19 -Jan-18 Redding Ridge Asset Management. Redding Ridge 3 Reset Wells Fargo Morgan Stanley Refi Credit Suisse Goldman Sachs Morgan Stanley 500 650 Credit Suisse 251 503 Jefferies Citi 140 180 250 540 BNP Paribas Refi Reset Refi Reset 19 -Jan-18 Anchorage Capital Group Anchorage Capital CLO 3 508. 75 105 150 185 260 550 JP Morgan Re-issue 19 -Jan-18 Anchorage Capital Group Anchorage Capital CLO 4 614. 15 105 150 185 260 550 Re-issue 22 -Jan-18 Canyon Capital CLO 2014 -1 381 107 150 180 275 550 770 517 107 145 185 270 550 747 JP Morgan Deutsche Bank Goldman Sachs 23 -Jan-18 Sound Point Capital Management Sound Point CLO II Reset Cont’d on next slide SOURCE: THOMSON REUTERS LPC, JP MORGAN 63

2018 U. S CLOs Refinancings/Resets Date Priced CLO Manager CLO Name Cont’d from prior slide Deal Size ($Mils. ) AAA Cpn BBB Cpn Agent Refi/Reset 23 -Jan-18 Voya Investment Management Voya CLO 2016 -1 384. 1 107 130 180 265 525 JP Morgan Reset 24 -Jan-18 Tall Tree Investment Lockwood Grove 2014 -1 367. 5 117 167 200 285 585 Jefferies Reset 25 -Jan-18 Benefit Street Partners 522. 56 110 145 185 275 560 Wells Fargo Reset 26 -Jan-18 Highland CLO Management Benefit Street Partners CLO VIII Highland CLO 2014 -3 R (fka ACIS CLO 2014 -3) 375 83 145 185 265 575 750 Mizuho Reset 26 -Jan-18 MJX Asset Management Venture XXII CLO 580. 5 108 150 190 275 565 Reset Apidos CLO XII Carlyle Global Markets 26 -Jan-18 Carlyle Investment Management Strategies CLO 2013 -4 485. 2 108 140 180 260 540 750 Jefferies RBC Capital Markets 386 100 142 175 265 520 Reset 29 -Jan-18 Shenkman Capital Management Brookside Mill CLO 415. 9 82 135 180 265 550 726 Citi Bank of America Merrill Lynch 30 -Jan-18 Black. Rock Financial Management. Magnetite VII 591. 2 80 120 165 205 450 650 Citi Reset 30 -Jan-18 Mid. Ocean Credit Partners Mid. Ocean Credit CLO I 296. 4 82 130 180 255 515 Barclays Refi 31 -Jan-18 Pine. Bridge Investments Galaxy XXI CLO 378 102 135 175 265 525 725 Barclays Reset 26 -Jan-18 CVC Credit Partners SOURCE: THOMSON REUTERS LPC, JP MORGAN 64 Reset

2018 U. S CLOs Refinancings/Resets – Price Change Date Priced CLO Name Deal Size ($Mils. ) AAA Cpn AAA Orig. AA Cpn AA Orig A Cpn A Orig BBB Cpn BBB Orig. BB Cpn BB Orig. Refi/Reset 4 -Jan-18 Great Lakes CLO 2015 -1 330. 91 153 195 185 270 250 375 390 475 736 670 Reset 10 -Jan-18 Shackleton 2013 -III CLO 499. 5 112 117 155 200 195 295 302 380 588 525 Reset 11 -Jan-18 CIFC Funding 2014 574. 6 110 105 140 160 185 225 285 325 585 450 Reset 11 -Jan-18 NXT Capital CLO 2015 -1 321 115 12 -Jan-18 Parallel 2015 -1 348 85 145 130 205 175 255 16 -Jan-18 Mountain View CLO X 350 82 150 135 220 185 310 16 -Jan-18 Telos CLO 2013 -4 329. 9 124 130 180 260 17 -Jan-18 Greywolf CLO V 653 116 160 168 240 17 -Jan-18 Highbridge Loan Management 4 -2014 524. 56 103 144 150 18 -Jan-18 Jamestown CLO VIII 376. 3 87 152 18 -Jan-18 Magnetite XVI 470 80 18 -Jan-18 Venture XVI CLO 463 19 -Jan-18 Apidos CLO XXIII 19 -Jan-18 Redding Ridge 3 19 -Jan-18 Refi 365 Refi 260 365 Refi 275 340 350 655 500 Reset 200 335 300 380 585 570 Reset 205 185 300 255 365 555 490 Reset 130 240 374 425 150 120 225 160 310/300 215 405 500 635 Refi 85 112 125 150 165 215 251 345 503 450 Reset 377 82 149 122 225 1395 109 143 140 210 180 Anchorage Capital CLO 3 508. 75 105 150 185 260 550 Re-issue 19 -Jan-18 Anchorage Capital CLO 4 614. 15 105 150 185 260 550 Re-issue 22 -Jan-18 Canyon Capital CLO 2014 -1 381 107 129 150 175 180 265 275 325 550 450 Reset 23 -Jan-18 Sound Point CLO II 517 107 120 145 190 185 270 375 550 450 Reset 23 -Jan-18 Voya CLO 2016 -1 384. 1 107 150 130 220 180 295 265 420 525 655 Reset 24 -Jan-18 Lockwood Grove 2014 -1 367. 5 117 147 167 227 200 335 285 500 585 775 Reset 25 -Jan-18 Benefit Street Partners CLO VIII Highland CLO 2014 -3 R (fka ACIS CLO 20143) 522. 56 110 160 145 225 185 300 275 390 560 550 Reset 375 83 151 145 223 185 250 265 312 575 475 Reset 26 -Jan-18 160 220 330 295 250 Refi 345 540 Refi 485 Reset Cont’d on next slide SOURCE: THOMSON REUTERS LPC, JP MORGAN 65

2018 U. S CLOs Refinancings/Resets – Price Change Date Priced CLO Name Deal Size ($Mils. ) AAA Cpn AAA Orig. Cont’d from prior slide AA Cpn AA Orig A Cpn A Orig BBB Cpn BBB Orig. BB Cpn BB Orig. Refi/Reset 26 -Jan-18 Venture XXII CLO 580. 5 108 180 150 250 190 335 275 450/535 565 675 Reset 26 -Jan-18 Apidos CLO XII 485. 2 108 110 140 175 180 260 305 540 440 Reset 26 -Jan-18 Carlyle Global Markets Strategies CLO 2013 -4 386 100 152 142 210 175 280 265 320 520 450 Reset 29 -Jan-18 Brookside Mill CLO 415. 9 82 115 135 175 180 270 265 305 550 440 Reset 30 -Jan-18 Magnetite VII 591. 2 80 135 120 175 165 233 205 375 450 700 Reset 30 -Jan-18 Mid. Ocean Credit CLO I 296. 4 82 145 130 250 180 340 255 455 515 837 Refi 31 -Jan-18 Galaxy XXI CLO 378 102 SOURCE: THOMSON REUTERS LPC, JP MORGAN 66 135 175 265 525 Reset

2018 New Issue European CLOs Date Priced CLO Manager 31 -Jan-18 Cairn Loan Investments CLO Name Deal Size (€Mils. ) AAA DM BBB DM 411 71 100 150 230 440 630 Cairn CLO IX Agent Citi 2018 European CLOs Refinancings/Resets Date Priced CLO Manager CLO Name Carlyle Global Market 12 -Jan-18 Carlyle Investment Management Strategies Euro CLO 2014 -3 Deal Size (€Mils. ) AAA Cpn BBB Cpn 410 73 110 160 240 458 619 Citi Reset Barclays Bank of America Merrill Lynch Deutsche Bank Reset 12 -Jan-18 Investcorp Credit Management Harvest CLO VIII 382. 3 73 115 165 255 455 610 12 -Jan-18 GSO Blackstone Tymon Park CLO 357. 5 59 105 145 220 460 25 -Jan-18 Intermediate Capital Group St. Paul's CLO III 562. 6 75 115 160 240 443 600 SOURCE: THOMSON REUTERS LPC 67 Agent Refi/Reset Refi Re-issue

Loan Mutual Fund Flows & Returns 68

Loan vs HY Bond Fund Flows* - Monthly After posting outflows over the last three months, loan and high-yield bond funds diverged with HY funds posting an outflow of $3. 3 billion in January, while loan funds recorded a small inflow of $600 million, according to the most recently available data. SOURCE: LIPPER, A THOMSON REUTERS COMPANY 69

Loan Fund Flows* - Mutual Fund vs ETF Breakout According to the most recent available data, January saw small inflows into both loan ETFs ($130 million) and loan mutual funds ($480 million). SOURCE: LIPPER, A THOMSON REUTERS COMPANY 70

Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Returns (%) Loan Funds* vs Loan Index – Monthly Returns Leveraged loans posted a return of 0. 96% in January, according to the SP/LSTA LLI. This marked the highest monthly return recorded since December of 2016, driven by a jump in secondary asset levels. Open ended loan funds posted a return of 0. 90% in January. 4 3 71 Open-end Loan Funds* S&P/LSTA Leveraged Loan Index 2 1 0 -1 -2 -3 -4 -5 *Based on a straight average of all open-end loan fund returns. SOURCE: LIPPER, THOMSON REUTERS LPC, S&P/LSTA LEVERAGED LOAN INDEX

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