leveraged loan monthly - loan pricing · s&p/lsta lev loan index. open -ended loan funds also...

Leveraged Loan MonthlyMay 2019Elizabeth HanDirector of Market [email protected]

Hugo PereiraSenior Market [email protected]

mailto:[email protected]


The Financial and Risk business ofThomson Reutersis now Refinitiv.

PLEASE NOTE:As of June 2019, the Leveraged Loan Monthly is available only to premium LoanConnector and LC Reports

subscribers. For subscription information, contact your Refinitiv LPC account representative or e-mail

[email protected].


ContentsKey Points

Slides 4-6

Leveraged Loan Market Overview Slides 7-26

U.S. High-Yield Bond Market OverviewSlides 27-32

Investor Overview and Fund FlowsSlides 33-41

CLO Market AnalysisSlides 42-64

2019 CLO ActivitySlides 65-88

4

Key Points

● Leveraged loan issuance picked up in May with $40.6bn of pro rata issuance and $38.6bn of institutional issuance, up from $25.7bn and $28.8bn of pro rata and institutional volume in the prior month. However, leveraged issuance has been muted in 2019, with 2Q19 issuance tracking to be at its lowest level in 7 years. Year on year, May 2019 issuance is 49% down from 2018 levels.

● LBO M&A leveraged loan volume was $11.6bn in May, down from $15.2bn in April. 2Q19 YTD volume is $27bn, compared with 2Q18YTD issuance of $17.7bn. Non-LBO M&A activity was $15.2bn in May, a significant increase from $4bn logged in the prior month but 2019 non-LBO M&A volume is almost 50% less than volume YoY, at $55.4bn compared with $104bn in 2018.

● Syndicated middle-market issuance picked up in May to post $11.6bn of large MM volume, and $1.72bn of traditional MM volume, compared with $9.2bn and $2.1bn of volume in April. However, overall 2019 MM issuance has been well under 2018 numbers.

● Average first-lien spreads for institutional large corporate issues increased in May, from 413bp in April to 423bp in May, as low loan supply has driven spreads wider in deals coming to market. Middle market spreads tightened in May, from 517bp to 503bp.

● Average primary market yields for large corporates were 6.4% in May, down slightly from 7% in April. In contrast, yields increased for middle market borrowers despite ongoing low 2019 volume, from 7.3% to 7.8% month on month. However, YoY, monthly yields are up 86bp and 115bp for large corporates and middle market issuers respectively.

● HY bond issuance slowed down in May with $24.7bn of volume across 42 deals, up from $13.8bn logged in the prior month and $9.6bn higher than volume one year prior. Year-to-date issuance stands at $101bn, in line with $97.2bn issued over the same period in 2018.

Primary Market

LLM – May 2019

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Key Points

● Leveraged loan returns declined 187bp in May, driven by a drop in average secondary bids, to post a return of -0.22%, according to the S&P/LSTA Leveraged Loan Index. Open-ended loan funds also decreased 186bp to post a return of -0/38% in May, down from 1.48% in the prior month.

● In the secondary market, the yield on U.S. high-yield bonds increased 58bp in May to 6.76%. Yields have tightened by 119bp since January after widening to 8% at the end of 2018. In May 2018, the index YTM was 6.36%.

● The share of loans with an average bid in the 98 to par plus range dropped slightly from 76% to 71% in May, as secondary bids declined. The share marked between 90 and 98 was 33% in May, up from 16% in the prior month. The par plus share dropped from 23% to 7% this month.

● European leveraged loan bids ended May 39bp higher, month on month, with an average bid of 98.85. This is 140bp higher than 2018 year end levels but 56bp lower than the average bid one year ago. The par plus share of the Lev40 ended May at 29%, virtually unchanged from April.

● In the secondary market, the yield on U.S. high-yield bonds increased 58bp in May to 6.76%. Yields have tightened by 119bp since January after widening to 8% at the end of 2018. In May 2018, the index YTM was 6.36%.

Secondary Market

LLM – May 2019

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Key Points

● Assets under management were $613bn for U.S. CLOs and €102.8bn for European CLOs, an increase of $8.6bn and €2.6bn respectively, or 1.4% growth for US CLOs and 2.6% growth for Euro CLOs. Month on month, May issuance declined in the US but picked up in Europe.

● U.S. CLO activity slowed in May with $10.5bn across 22 deals, including 5 middle market CLOs. This is down 33% from $15.7bn priced in April across 30 deals. YTD U.S. CLO issuance is $55.5bn, or 4% ahead of 2018 issuance over the same period, however total deal count of 112 is 15% higher than in 2018. European CLO volume picked up slightly in May with €2.9bn priced over 6 deals, up from €2.5bn in April. YTD 2019 activity is €12.4bn, up from €10.4bn over the same period in 2018.

● The average AAA DM tightened in May from 136bp to 131.75bp, the first time in 2019 that BSL CLO AAA DMs compressed. However, AAA DMs remain at their highest levels since Feb 2017 when AAA DMs averaged 133bp. Libor declined 6bp this month.

● The average bid of U.S. CLO portfolios fell in May from 97.84bp to 97.12bp, as secondary pricing for loan assets fell. The median bid was 97.03bp, down from 98bp in the prior month.

● Loan retail outflows sent the AUM (market value) for loan mutual funds & ETFs lower to $137.7bn at the end of May, a decline of $9.8bn or 7% since the start of the year. There have been 29 consecutive weeks of loan outflows, with a total volume of $29.3bn, including a $1.47bn outflow on June 5, 2019 – the highest weekly loan outflow since Jan 2, 2019. The Fed indicated last week that it may cut rates later this year.

● Leveraged loan returns declined 187bp in May, driven by a drop in average secondary bids, to post a return of -0.22%, according to the S&P/LSTA Lev Loan Index. Open-ended loan funds also decreased 186bp to post a return of -0.38% in May, down from 1.48% in the prior month.

● Three issuers in 3 unique sectors defaulted on their institutional leveraged loan debt in May 2019, for a monthly total of $1.6bn, according to the Fitch U.S. Leveraged Loan Default Index. TTM default rates rose to 1.3% from 1.25% in April but remain at benign levels.

CLO, Loan Funds and Defaults

LLM – May 2019

Leveraged Loan Market Overview*2019 loan volumes are based on the most recently available data and is subject to updates throughout the quarter

and finalized at quarter-end

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U.S. Leveraged Loan IssuanceLeveraged loan issuance picked up in May with $40.6bn of pro rata issuance and $38.6bn of institutional issuance, up from $25.7bn and $28.8bn of pro rata and institutional volume in the prior month. However, leveraged issuance has been muted in 2019, with 2Q19 issuance tracking to be at its lowest level in 7 years. Year on year, May 2019 issuance is 49% down from 2018 levels.

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Source: Refinitiv LPC

LLM – May 2019

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U.S. Institutional Loan and HY Bond IssuanceHY bond volume increased in May, with $24.7bn of issuance compared with $13.8bn in the prior month and $15bn one year ago. Institutional loan issuance was $40bn, which is a 60% decline YoY. YTD institutional loan volume is $127.5bn, compared with $407bn over the same period in 2018, as institutional loan issuance has been slow in 2019 amidst macro concerns and the possibility of a rate cut in 2019.

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HY Bonds Inst. Loans


LLM – May 2019

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U.S. Institutional Loan IssuanceNew money issuance increased in May to $28bn from $20bn in the prior month, but refinancing activity increased from $8.8bn to $12.1bn. In May, 70% of all institutional loan issuance was new money, which is flat month on month.

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New Money Refinancing New Money Share


LLM – May 2019

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U.S. Institutional Loan Issuance – New Money BreakoutLBO activity drove the majority of institutional new money loans, with $10.8bn of volume in May, down from $13bn in April and higher than $8.4bn recorded in May 2018. There was $8bn of non-LBO M&A activity, a meaningful increase from $1.0bn logged in the prior month, but still significantly below levels over the same period in 2018 which recorded $73.4bn in the first 5 months of 2018.

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


LLM – May 2019

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U.S. M&A Leveraged Loan Issuance LBO M&A leveraged loan volume was $11.6bn in May, down from $15.2bn in April. 2Q19 YTD volume is $27bn, compared with 2Q18YTD issuance of $17.7bn. Non-LBO M&A activity was $15.2bn in May, a significant increase from $4bn logged in the prior month but 2019 non-LBO M&A volume is almost 50% less than volume YoY, at $55.4bn compared with $104bn in 2018.

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M&A Leveraged Loan Issuance (Bils)

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LLM – May 2019

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Industry Lev. Vol. ($Bils.) New Money Lev. Vol. ($Bils.) % of Lev. Vol % of New Money Lev. Vol Technology 28.9 20.7 10% 14%Financial Services 24.5 11.7 9% 8%Business Services 22.3 12.1 8% 8%General Manufacturing 22.2 7.6 8% 5%Oil and Gas 17.1 6.6 6% 4%Services 16.0 8.8 6% 6%Healthcare 15.3 9.8 5% 7%Wholesale 14.2 4.1 5% 3%Media 13.3 9.4 5% 6%Leisure and Entertainment 12.8 6.9 4% 5%Telecommunications 12.3 4.9 4% 3%Retail & Supermarkets 11.6 8.3 4% 6%Utilities 11.1 4.8 4% 3%Automotive 9.9 7.4 3% 5%Chemicals, Plastics & Rubber 9.3 6.7 3% 5%Shipping 6.3 2.9 2% 2%Paper & Packaging 5.7 1.7 2% 1%N/A 5.6 4.5 2% 3%REITS 5.6 0.4 2% 0%Aerospace and Defense 4.5 0.4 2% 0%Transportation 3.4 2.8 1% 2%Beverage, Food & Tobacco Process 3.4 0.8 1% 1%Restaurants 2.9 1.5 1% 1%Textiles and Apparel 2.2 1.7 1% 1%Construction 1.7 0.7 1% 0%Hotel & Gaming 1.5 0.3 1% 0%Agriculture 0.9 0.5 0% 0%Mining 0.9 0.1 0% 0%

YTD2019 Leveraged Loan Issuance by Industry


LLM – May 2019

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Industry Inst. Vol. ($Bils.) New Money Inst. Vol. ($Bils.) % of Inst. Vol % of New Money Inst. Vol Technology 17.7 15.8 14% 16%Business Services 12.2 9.8 10% 10%Financial Services 11.1 7.0 9% 7%Leisure and Entertainment 10.3 6.1 8% 6%Healthcare 7.5 6.6 6% 7%Media 7.4 7.4 6% 7%Services 6.8 5.9 5% 6%Automotive 6.4 6.3 5% 6%Retail & Supermarkets 5.9 5.4 5% 5%Utilities 5.8 4.4 5% 4%General Manufacturing 5.2 3.5 4% 4%N/A 4.7 4.4 4% 4%Oil and Gas 4.3 4.1 3% 4%Aerospace and Defense 3.6 0.0 3% 0%Wholesale 3.4 1.5 3% 2%Transportation 3.1 2.6 2% 3%Chemicals, Plastics & Rubber 3.0 1.9 2% 2%Telecommunications 2.1 1.0 2% 1%Shipping 1.3 1.3 1% 1%Restaurants 1.3 1.3 1% 1%Construction 0.8 0.6 1% 1%Paper & Packaging 0.8 0.7 1% 1%Agriculture 0.8 0.5 1% 1%REITS 0.7 0.0 1% 0%Hotel & Gaming 0.6 0.3 0% 0%Textiles and Apparel 0.4 0.4 0% 0%Beverage, Food & Tobacco Process 0.4 0.4 0% 0%

YTD2019 Institutional Loan Issuance by Industry


LLM – May 2019

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U.S. Syndicated Middle Market Loan Issuance Syndicated middle-market issuance picked up in May to post $11.6bn of large MM volume, and $1.72bn of traditional MM volume, compared with $9.2bn and $2.1bn of volume in April. However, overall 2019 MM issuance has been well under 2018 numbers.

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Large MM* Trad. MM*


LLM – May 2019

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

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Primary Market Institutional First-Lien Loan Spreads Average first-lien spreads for institutional large corporate issues increased in May, from 413bp in April to 423bp in May, as low loan supply has driven spreads wider in deals coming to market. Middle market spreads tightened in May, from 517bp to 503bp.

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LLM – May 2019


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U.S. Primary Market Institutional Loan Yields

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Average primary market yields for large corporates were 6.4% in May, down slightly from 7% in April. In contrast, yields increased for middle market borrowers despite ongoing low 2019 volume, from 7.3% to 7.8% month on month. However, YoY, monthly yields are up 86bp and 115bp for large corporates and middle market issuers respectively.


LLM – May 2019


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Institutional Loan Flex Activity There were 21 downward price revisions on first-lien institutional term loans in May via a tightening in spreads, OIDs or both. This is the highest level of price cuts since October 2018, when a wave of volatility began that lasted through year end.

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LLM – May 2019

Average yield adjustment (%)

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Institutional Leveraged Loan Defaults Three issuers in 3 unique sectors defaulted on their institutional leveraged loan debt in May 2019, for a monthly total of $1.6bn, according to the Fitch U.S. Leveraged Loan Default Index. TTM default rates rose to 1.3% from 1.25% in April but remain at benign levels.

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Defaulted Par Value ($Bils.)

Par Value of Defaulted Inst Loans Default Rate

Source: Fitch U.S. Leveraged Loan Default Index

LLM – May 2019

Default rate

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Month Issuer Par Value ($ Mils.) Default Date Default Source Industry

June 2018 New MACH Gen, LLC 465.1 06/11/18 Chapter 11 Filing Utilities, Power & GasMurray Energy Corp. 1,663.9 06/18/18 Distressed Exchange Metals & MiningTrident Holding Co. LLC 495 06/22/18 Distressed Exchange Healthcare & PharmaceuticalDel Monte Foods Inc. 129 06/28/18 Distressed Exchange Food, Beverage & TobaccoEducation Management Corp. 250 06/29/18 Chapter 7 Filing Services & MiscellaneousSubtotal 3,003

July 2018 Washington Inventory Services 290 07/02/18 Chapter 11 Filing Services & MiscellaneousSubtotal 290

August 2018 No Default ActivitySubtotal 290

September 2018 Product Quest Manufacturing LLC 120 09/07/18 Chapter 11 Filing Healthcare & PharmaceuticalSubtotal 120

October 2018 American Tire Distributors Inc. 695 10/04/18 Chapter 11 Filing AutomotiveWestmoreland Coal Co. 319.8 10/09/18 Chapter 11 Filing Metals & MiningDixie Electric LLC 267.4 10/10/18 Missed Payment EnergyTweddle Group Inc. 202.50 10/11/18 Restructuring Services & MiscellaneousSears Holdings Corp. 570.8 10/15/18 Chapter 11 Filing RetailSubtotal 2,055.5

Institutional Leveraged Loan Defaults – TTM


LLM – May 2019

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November 2018 Fairway Group Acquisition Co. 139 11/06/18 Distressed Exchange Supermarkets & Drug StoresFULLBEAUTY Brands Inc. 1126.6 11/07/18 Missed Payment RetailDavid's Bridal Inc. 481.2 11/19/18 Chapter 11 Filing RetailValitas Health Services Inc. 100 11/27/18 Restructuring Healthcare & PharmaceuticalSubtotal 1,846.8

December 2018 Checkout Holding Corp. 1492.0 12/12/18 Chapter 11 Filing Broadcasting & MediaSubtotal 1492.0

January 2019 API Heat Transfer ThermaSys Corp. 232.0 01/11/19 Distressed Exchange Industrial/ManufacturingShopko Stores Inc. 83.4 01/16/19 Chapter 11 Filing RetailSubtotal 315.4

February 2019 Charlotte Russe Inc. 89.3 02/03/19 Chapter 11 Filing RetailTrident Holding Co. LLC 220.0 02/10/19 Chapter 11 Filing Healthcare & PharmaceuticalDitech Holding Corp. 961.4 02/11/19 Chapter 11 Filing Banking & FinanceWindstream Services, LLC 1,749.0 02/25/19 Chapter 11 Filing TelecommunicationsOne Call Corp. 104.5 02/26/19 Distressed Exchange Healthcare & PharmaceuticalSubtotal 3,124.1



LLM – May 2019

22


March 2019 F+W Media 58.2 03/10/19 Chapter 11 Filing Broadcasting & MediaCTI Foods Holding Co., LLC 487.0 03/11/19 Chapter 11 Filing Food, Beverage & TobaccoSavers Inc. 669.0 03/28/19 Distressed Exchange RetailVanguard Natural Resources LLC 123.4 03/31/19 Chapter 11 Filing EnergySubtotal 1,337.6

April 2019 Southcross Energy Partners LP 429.1 4/1/2019 Chapter 11 Filing EnergyCrossmark Inc. 490 4/5/2019 Missed Payment Services & MiscellaneousFusion Connect Inc. 575.9 4/8/2019 Missed Payment TelecommunicationsSubtotal 1495

May 2019 Sungard Availability Services Capital Inc. 800.7 05/01/19 Chapter 11 Filing TechnologyPreferred Proppants LLC 481.6 05/09/19 Restructuring EnergyEmpire Generating Co. LLC 333.4 05/19/19 Chapter 11 Filing Utilities, Power & GasSubtotal 1,615.7



LLM – May 2019

23

U.S. Secondary Market Bid Levels The average bid for multi-quote institutional loans declined 50bp in May to 96.32. This is 185bp higher than the average bid at the end of 2018, but 204bp lower than the average bid one year ago. The average bid for all institutional term loans was 95.78, down 37bp from the prior month but up 60bp from the start of the year.

86

88

90

92

94

96

98

100

1-Ja

n-15

1-Fe

b-15

1-M

ar-1

51-

Apr

-15

1-M

ay-1

51-

Jun-

151-

Jul-1

51-

Aug

-15

1-S

ep-1

51-

Oct

-15

1-N

ov-1

51-

Dec

-15

1-Ja

n-16

1-Fe

b-16

1-M

ar-1

61-

Apr

-16

1-M

ay-1

61-

Jun-

161-

Jul-1

61-

Aug

-16

1-S

ep-1

61-

Oct

-16

1-N

ov-1

61-

Dec

-16

1-Ja

n-17

1-Fe

b-17

1-M

ar-1

71-

Apr

-17

1-M

ay-1

71-

Jun-

171-

Jul-1

71-

Aug

-17

1-S

ep-1

71-

Oct

-17

1-N

ov-1

71-

Dec

-17

1-Ja

n-18

1-Fe

b-18

1-M

ar-1

81-

Apr

-18

1-M

ay-1

81-

Jun-

181-

Jul-1

81-

Aug

-18

1-S

ep-1

81-

Oct

-18

1-N

ov-1

81-

Dec

-18

1-Ja

n-19

1-Fe

b-19

1-M

ar-1

91-

Apr

-19

1-M

ay-1

9

Average bid (% of Par)

Multi-quote Inst. TLs All Inst. TLs

Source: LSTA/LPC MTM Pricing

LLM – May 2019

24

Distribution of Secondary Market Bids The share of loans with an average bid in the 98 to par plus range dropped slightly from 76% to 71% in May, as secondary bids declined. The share marked between 90 and 98 was 33% in May, up from 16% in the prior month. The par plus share dropped from 23% to 7% this month.

0%

10%

20%

30%

40%

50%

60%

<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

Share of Loans

# of loans $ weighted


LLM – May 2019

25

Par-plus & 101-plus Market Share The par-plus share of the market decreased from 23% in April to 9% in May, as secondary average bids declined. 1% of loans were marked at 101 or higher, unchanged from the prior month. One year prior, 60% of loans priced par-plus, while 4% priced 101-plus.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

1-Ja

n-12

1-Fe

b-12

1-M

ar-1

21-

Apr

-12

1-M

ay-1

21-

Jun-

121-

Jul-1

21-

Aug

-12

1-S

ep-1

21-

Oct

-12

1-N

ov-1

21-

Dec

-12

1-Ja

n-13

1-Fe

b-13

1-M

ar-1

31-

Apr

-13

1-M

ay-1

31-

Jun-

131-

Jul-1

31-

Aug

-13

1-S

ep-1

31-

Oct

-13

1-N

ov-1

31-

Dec

-13

1-Ja

n-14

1-Fe

b-14

1-M

ar-1

41-

Apr

-14

1-M

ay-1

41-

Jun-

141-

Jul-1

41-

Aug

-14

1-S

ep-1

41-

Oct

-14

1-N

ov-1

41-

Dec

-14

1-Ja

n-15

1-Fe

b-15

1-M

ar-1

51-

Apr

-15

1-M

ay-1

51-

Jun-

151-

Jul-1

51-

Aug

-15

1-S

ep-1

51-

Oct

-15

1-N

ov-1

51-

Dec

-15

1-Ja

n-16

1-Fe

b-16

1-M

ar-1

61-

Apr

-16

1-M

ay-1

61-

Jun-

161-

Jul-1

61-

Aug

-16

1-S

ep-1

61-

Oct

-16

1-N

ov-1

61-

Dec

-16

1-Ja

n-17

1-Fe

b-17

1-M

ar-1

71-

Apr

-17

1-M

ay-1

71-

Jun-

171-

Jul-1

71-

Aug

-17

1-S

ep-1

71-

Oct

-17

1-N

ov-1

71-

Dec

-17

1-Ja

n-18

1-Fe

b-18

1-M

ar-1

81-

Apr

-18

1-M

ay-1

81-

Jun-

181-

Jul-1

81-

Aug

-18

1-S

ep-1

81-

Oct

-18

1-N

ov-1

81-

Dec

-18

1-Ja

n-19

1-Fe

b-19

1-M

ar-1

91-

Apr

-19

1-M

ay-1

9

Share of Loans

100-plus 101-plus


LLM – May 2019

26

Secondary Market Bid Levels: Europe European leveraged loan bids ended May 39bp higher, month on month, with an average bid of 98.85. This is 140bp higher than 2018 year end levels but 56bp lower than the average bid one year ago. The par plus share of the Lev40 ended May at 29%, virtually unchanged from April.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

95

96

97

98

99

100

101

102

Average bid (% of Par)

European Leveraged 40 >100


LLM – May 2019

Par-plus percentage

U.S. High-Yield Bond Market Overview

28

10

20

30

40

50

60

70

80

90

100

0

10

20

30

40

50

60

Jan-

10M

ar-1

0M

ay-1

0Ju

l-10

Sep

-10

Nov

-10

Jan-

11M

ar-1

1M

ay-1

1Ju

l-11

Sep

-11

Nov

-11

Jan-

12M

ar-1

2M

ay-1

2Ju

l-12

Sep

-12

Nov

-12

Jan-

13M

ar-1

3M

ay-1

3Ju

l-13

Sep

-13

Nov

-13

Jan-

14M

ar-1

4M

ay-1

4Ju

l-14

Sep

-14

Nov

-14

Jan-

15M

ar-1

5M

ay-1

5Ju

l-15

Sep

-15

Nov

-15

Jan-

16M

ar-1

6M

ay-1

6Ju

l-16

Sep

-16

Nov

-16

Jan-

17M

ar-1

7M

ay-1

7Ju

l-17

Sep

-17

Nov

-17

Jan-

18M

ar-1

8M

ay-1

8Ju

l-18

Sep

-18

Nov

-18

Jan-

19M

ar-1

9M

ay-1

9

Proceeds ($Bils)

Proceeds (US$ Bils.) # of Issues

Number of Issues

LLM – May 2019

U.S. High-Yield Corporate Bonds HY bond issuance slowed down in May with $24.7bn of volume across 42 deals, up from $13.8bn logged in the prior month and $9.6bn higher than volume one year prior. Year-to-date issuance stands at $101bn, in line with $97.2bn issued over the same period in 2018.

LLM – April 2019

29

U.S. High-Yield Corporate Bonds – by Rating 49% of 2019 YTD HY bond issuance is rated between BB+ and BB-, while 43% carries a single-B rating, up from 47% in the prior month. The remaining 8% is rated CCC+/CCC.

5

10

15

20

25

30

35

-

5

10

15

20

25

BB+ BB BB- B+ B B- CCC+ CCC

Proceeds ($Bils)

Proceeds (US$Bils.) # of Issues

Number of Issues

Source: SDC Platinum – Refinitiv

LLM – May 2019

30

U.S. High-Yield Corporate Bonds – by Industry In May, the financial sector represented 23% of US HY bond issuance. Industrials are second with a 16% share of volume, followed by Media and Entertainment with 13% share of HY issuance.

5

10

15

20

25

30

35

-

5

10

15

20

25

Proceeds ($Bils)

Proceeds (US$ Bils.) # of Issues

Number of Issues


LLM – May 2019

31

U.S. High-Yield Corporate Bonds – New Issue Yields

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

Monthly

Avg YTM

0%

2%

4%

6%

8%

10%

12%

Quarterly

Avg YTM

The average new-issue yield at the end of April is 6.78%, down from 7.42% in the prior month and 0.56% lower than yields one year ago. Primary yields have remained between 6.5% and 7.5% YTD in 2019.


LLM – May 2019

32

U.S. High-Yield Bond Index In the secondary market, the yield on U.S. high-yield bonds increased 58bp in May to 6.76%. Yields have tightened by 119bp since January after widening to 8% at the end of 2018. In May 2018, the index YTM was 6.36%.

4

5

6

7

8

9

10

11

12

1-Ja

n-15

1-Fe

b-15

1-M

ar-1

51-

Apr

-15

1-M

ay-1

51-

Jun-

151-

Jul-1

51-

Aug

-15

1-S

ep-1

51-

Oct

-15

1-N

ov-1

51-

Dec

-15

1-Ja

n-16

1-Fe

b-16

1-M

ar-1

61-

Apr

-16

1-M

ay-1

61-

Jun-

161-

Jul-1

61-

Aug

-16

1-S

ep-1

61-

Oct

-16

1-N

ov-1

61-

Dec

-16

1-Ja

n-17

1-Fe

b-17

1-M

ar-1

71-

Apr

-17

1-M

ay-1

71-

Jun-

171-

Jul-1

71-

Aug

-17

1-S

ep-1

71-

Oct

-17

1-N

ov-1

71-

Dec

-17

1-Ja

n-18

1-Fe

b-18

1-M

ar-1

81-

Apr

-18

1-M

ay-1

81-

Jun-

181-

Jul-1

81-

Aug

-18

1-S

ep-1

81-

Oct

-18

1-N

ov-1

81-

Dec

-18

1-Ja

n-19

1-Fe

b-19

1-M

ar-1

91-

Apr

-19

1-M

ay-1

9

US HY Yield-to-worst

ICE BAML US HY Index Yield-to-Worst

Source: ICE BAML Indices

LLM – May 2019

Investor Overview and Fund Flows

34

U.S. CLO Assets Under Management U.S. CLO AUM stands at US$613bn as of the end of May 2019.

0

200

400

600

800

1000

1200

1400

-

100

200

300

400

500

600

700

CLO APB ($Bils)

CLO APB ($ Bils.) Number of CLOs

Source: LPC Collateral

LLM – May 2019

Number of CLOs

35

Institutional Loan Outstandings

0

200

400

600

800

1,000

1,200

1,400

1-Ja

n-04

1-A

pr-0

41-

Jul-0

41-

Oct

-04

1-Ja

n-05

1-A

pr-0

51-

Jul-0

51-

Oct

-05

1-Ja

n-06

1-A

pr-0

61-

Jul-0

61-

Oct

-06

1-Ja

n-07

1-A

pr-0

71-

Jul-0

71-

Oct

-07

1-Ja

n-08

1-A

pr-0

81-

Jul-0

81-

Oct

-08

1-Ja

n-09

1-A

pr-0

91-

Jul-0

91-

Oct

-09

1-Ja

n-10

1-A

pr-1

01-

Jul-1

01-

Oct

-10

1-Ja

n-11

1-A

pr-1

11-

Jul-1

11-

Oct

-11

1-Ja

n-12

1-A

pr-1

21-

Jul-1

21-

Oct

-12

1-Ja

n-13

1-A

pr-1

31-

Jul-1

31-

Oct

-13

1-Ja

n-14

1-A

pr-1

41-

Jul-1

41-

Oct

-14

1-Ja

n-15

1-A

pr-1

51-

Jul-1

51-

Oct

-15

1-Ja

n-16

1-A

pr-1

61-

Jul-1

61-

Oct

-16

1-Ja

n-17

1-A

pr-1

71-

Jul-1

71-

Oct

-17

1-Ja

n-18

1-A

pr-1

81-

Jul-1

81-

Oct

-18

1-Ja

n-19

1-A

pr-1

9

Institutional Loan Outstandings ($Bils)

Amount Outstanding ($ Bils.)

Source: S&P/LSTA Leveraged Loans Index

LLM – May 2019

Institutional loan outstandings continue to trend higher, ending May at $1.188trn, up $8.5bn from April. Institutional loan outstandings have increased $41bn since the start of the year.

36

Loan Funds Assets Under Management* Loan retail outflows sent the AUM (market value) for loan mutual funds & ETFs lower to $137.7bn at the end of May, a decline of $9.8bn or 7% since the start of the year. There have been 29 consecutive weeks of loan outflows, with a total volume of $29.3bn, including a $1.47bn outflow on June 5, 2019 – the highest weekly loan outflow since Jan 2, 2019. The Fed indicated last week that it may cut rates later this year.

-

20

40

60

80

100

120

140

160

180

200

Jan-

07

Apr

-07

Jul-0

7

Oct

-07

Jan-

08

Apr

-08

Jul-0

8

Oct

-08

Jan-

09

Apr

-09

Jul-0

9

Oct

-09

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Apr

-14

Jul-1

4

Oct

-14

Jan-

15

Apr

-15

Jul-1

5

Oct

-15

Jan-

16

Apr

-16

Jul-1

6

Oct

-16

Jan-

17

Apr

-17

Jul-1

7

Oct

-17

Jan-

18

Apr

-18

Jul-1

8

Oct

-18

Jan-

19

Apr

-19

Loan Mutual-Fund & ETF AUM ($Bils)

Loan Mutual Fund & ETF AUM ($ Bils.)

Source: Lipper

LLM – May 2019

*based on the most recent data available as of May 31, 2019

37

Investor Share of Institutional Loan Outstandings Loan mutual funds’ share of institutional loan outstandings was 10.8% in May, while the CLO share of the market inched up from 51.3% to 51.6% in May. This is the lowest share loan funds held since early 2016 when volatility from dropping oil prices and a slowing global growth outlook stalled the market.

0%

10%

20%

30%

40%

50%

60%

Aug

-12

Sep

-12

Oct

-12

Nov

-12

Dec

-12

Jan-

13Fe

b-13

Mar

-13

Apr

-13

May

-13

Jun-

13Ju

l-13

Aug

-13

Sep

-13

Oct

-13

Nov

-13

Dec

-13

Jan-

14Fe

b-14

Mar

-14

Apr

-14

May

-14

Jun-

14Ju

l-14

Aug

-14

Sep

-14

Oct

-14

Nov

-14

Dec

-14

Jan-

15Fe

b-15

Mar

-15

Apr

-15

May

-15

Jun-

15Ju

l-15

Aug

-15

Sep

-15

Oct

-15

Nov

-15

Dec

-15

Jan-

16Fe

b-16

Mar

-16

Apr

-16

May

-16

Jun-

16Ju

l-16

Aug

-16

Sep

-16

Oct

-16

Nov

-16

Dec

-16

Jan-

17Fe

b-17

Mar

-17

Apr

-17

May

-17

Jun-

17Ju

l-17

Aug

-17

Sep

-17

Oct

-17

Nov

-17

Dec

-17

Jan-

18Fe

b-18

Mar

-18

Apr

-18

May

-18

Jun-

18Ju

l-18

Aug

-18

Sep

-18

Oct

-18

Nov

-18

Dec

-18

Jan-

19Fe

b-19

Mar

-19

Apr

-19

May

-19

Investor Share of Institutional Loan Outstandings

CLO share Loan Funds (mutual funds & ETFs) share Other share

Source: LPC Collateral, Lipper

LLM – May 2019

38

Loan vs HY Bond Fund Flows* - MonthlyHY bond funds posted an outflow of $4bn in May, down from $2.62bn in April. In contrast, loan funds posted outflows of $1.69bn in May, down from April’s outflow volume of $3.66bn. May is the 8th consecutive month that loan funds have recorded net outflows.

Source: Lipper

LLM – May 2019


39

Loan Fund Flows* - Mutual Fund vs ETF Breakout Breaking loan funds out by their ETF and mutual fund categories, ETFs registered an outflow of $310m in May, up from $90m outflow recorded in the prior month. Loan ETFs have seen outflows for seven out of the last eight months. Loan mutual funds registered an outflow of $1.38bn in May, down from $3.57bn in the prior month and its seventh consecutive month of loan outflows totaling $32bn.

Source: Lipper

LLM – May 2019


40

Loan Funds* vs Loan Index – Monthly ReturnsLeveraged loan returns declined 187bp in May, driven by a drop in average secondary bids, to post a return of -0.22%, according to the S&P/LSTA Lev Loan Index. Open-ended loan funds also decreased 186bp to post a return of -0.38% in May, down from 1.48% in the prior month.

Source: Lipper, S&P/LSTA Leveraged Loan Index

LLM – May 2019

*based on an average of all open-end loan fund returns

41

U.S. CLO Issuance and Loan Fund Flows* - Monthly May CLO new issue was $10.5bn in volume across over 22 deals, a drop from April’s $15.7bn issuance and ~$500m lower YoY. Loan funds registered an outflow of $1.69bn in May, the 8th consecutive month of negative fund flows totaling -$35.6bn. The Fed recently signaled it may cut rates later in 2019, putting additional downward pressure on an already shrinking loan retail buyer base.

Source: Refinitiv LPC, Lipper

LLM – May 2019


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

43

LLM – May 2019

U.S. CLO New Issue Volume – Monthly

Source: Refinitiv LPC, Wells Fargo

0

5

10

15

20

25

30

35

-

2

4

6

8

10

12

14

16

18

CLO New Issuance ($Bils)

Issuance ($Bils.) Number of CLOs

CLO activity slowed in May with $10.5bn across 22 deals, including 5 middle market CLOs. This is down 33% from $15.7bn priced in April across30 deals. YTD U.S. CLO issuance is $55.5bn, or 4% ahead of 2018 issuance over the same period, however total deal count of 112 is 15% higher than in 2018.

Number of CLOs

44

U.S. CLO Refinancings & Resets

-

5

10

15

20

25

CLO Refinancings and Resets ($Bils)

Refinancings Resets Reissues


Refinancing and reset activity was $5.1bn in May, up from $3.6bn of repricing activity in the prior month, as AAA DMs tightened 4.25bp to 131.75bp in May. There were $3.9bn of refinancings, $1.2bn in resets and no reissues in May, compared to $15bn of activity in May 2018, when the average AAA DM was 103bp. YTD 2019 total activity is $17.8bn, a 73% decline from 2018 volume over the same period of $65.2bn.

LLM – May 2019

45

U.S. BSL CLO AAA Spreads* The average AAA DM tightened in May from 136bp to 131.75bp, the first time in 2019 that BSL CLO AAA DMs compressed. However, AAA DMs remain at their highest levels since Feb 2017 when AAA DMs averaged 133bp. Libor declined 6bp this month.

80

100

120

140

160

180

200

Jan-

16

Feb-

16

Mar

-16

Apr

-16

May

-16

Jun-

16

Jul-1

6

Aug

-16

Sep

-16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr

-17

May

-17

Jun-

17

Jul-1

7

Aug

-17

Sep

-17

Oct

-17

Oct

-17

Nov

-17

Dec

-17

Jan-

18

Feb-

18

Mar

-18

Apr

-18

May

-18

Jun-

18

Jul-1

8

Aug

-18

Sep

-18

Oct

-18

Nov

-18

Dec

-18

Jan-

19

Feb-

19

Mar

-19

Apr

-19

May

-19

AAA Discount Margin (bp)

Average


LLM – May 2019

*based on deals where discount margin is available

46

LLM – May 2019

European CLO New Issue Volume – Monthly


0

2

4

6

8

10

12

-

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

CLO New Issuance (€Bils)

Issuance (€Bils.) Number of CLOs

European CLO volume picked up slightly in May with €2.9bn priced over 6 deals, up from €2.5bn in April. YTD 2019 activity is €12.4bn, up from €10.4bn over the same period in 2018.

Number of CLOs

47

European CLO Refinancings & Resets

-

0.5

1.0

1.5

2.0

2.5

3.0

3.5

CLO Refinancings and Resets (€Bils)

Resets/Reissues Refinancings


There were 3 refi’s for European CLOs in May totaling €1bn, with an average AAA DM of 87.3bp, tighter than the overall European new issue CLO AAA DM average of 113bp this month.

LLM – May 2019

48

European CLO AAA Spreads* Six European CLOs priced in May with an average DM of 113bp, an increase from 108bp posted in the prior month and its highest level since September 2016.

60

80

100

120

140

160

180

Jan-

16

Feb-

16

Mar

-16

Apr

-16

May

-16

Jun-

16

Jul-1

6

Aug

-16

Sep

-16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr

-17

May

-17

Jun-

17

Jul-1

7

Aug

-17

Sep

-17

Oct

-17

Nov

-17

Dec

-17

Jan-

18

Feb-

18

Mar

-18

Apr

-18

May

-18

Jun-

18

Jul-1

8

Aug

-18

Sep

-18

Oct

-18

Nov

-18

Dec

-18

Jan-

19

Feb-

19

Mar

-19

Apr

-19

May

-19



LLM – May 2019


49

LLM – May 2019

U.S. vs. European CLO AAA Spreads – BSL


40

60

80

100

120

140

160

180


U.S. Europe

Average DMs on U.S. CLO AAA liabilities compressed from 136bp to 131.75bp in May, while European CLO AAA DMs widened 5bps to 113. Average European AAA spreads have been in the triple digits since 2019.


50

CLO Assets Under Management

-

100

200

300

400

500

600

700

800

Jan-

13Fe

b-13

Mar

-13

Apr

-13

May

-13

Jun-

13Ju

l-13

Aug

-13

Sep

-13

Oct

-13

Nov

-13

Dec

-13

Jan-

14Fe

b-14

Mar

-14

Apr

-14

May

-14

Jun-

14Ju

l-14

Aug

-14

Sep

-14

Oct

-14

Nov

-14

Dec

-14

Jan-

15Fe

b-15

Mar

-15

Apr

-15

May

-15

Jun-

15Ju

l-15

Aug

-15

Sep

-15

Oct

-15

Nov

-15

Dec

-15

Jan-

16Fe

b-16

Mar

-16

Apr

-16

May

-16

Jun-

16Ju

l-16

Aug

-16

Sep

-16

Oct

-16

Nov

-16

Dec

-16

Jan-

17Fe

b-17

Mar

-17

Apr

-17

May

-17

Jun-

17Ju

l-17

Aug

-17

Sep

-17

Oct

-17

Nov

-17

Dec

-17

Jan-

18Fe

b-18

Mar

-18

Apr

-18

May

-18

Jun-

18Ju

l-18

Aug

-18

Sep

-18

Oct

-18

Nov

-18

Dec

-18

Jan-

19Fe

b-19

Mar

-19

Apr

-19

May

-19

CLO APB ($Bils / €Bils)

U.S. Europe


Assets under management were $613bn for U.S. CLOs and €102.8bn for European CLOs, an increase of $8.6bn and €2.6bn respectively, or 1.4% growth for US CLOs and 2.6% growth for Euro CLOs. Month on month, May issuance declined in the US but picked up in Europe.

LLM – May 2019

51

U.S. CLO Assets Under Management by Vintage

-

100

200

300

400

500

600

700

CLO APB ($Bils)

<=2008 2009-2013 2014-2016 >=2017


91% of CLO AUM is comprised of CLOs issued on or after 2014 with 54% issued on or after 2017.

LLM – May 2019

52

European CLO Assets Under Management by Vintage

-

20

40

60

80

100

120

Jan-

13Fe

b-13

Mar

-13

Apr

-13

May

-13

Jun-

13Ju

l-13

Aug

-13

Sep

-13

Oct

-13

Nov

-13

Dec

-13

Jan-

14Fe

b-14

Mar

-14

Apr

-14

May

-14

Jun-

14Ju

l-14

Aug

-14

Sep

-14

Oct

-14

Nov

-14

Dec

-14

Jan-

15Fe

b-15

Mar

-15

Apr

-15

May

-15

Jun-

15Ju

l-15

Aug

-15

Sep

-15

Oct

-15

Nov

-15

Dec

-15

Jan-

16Fe

b-16

Mar

-16

Apr

-16

May

-16

Jun-

16Ju

l-16

Aug

-16

Sep

-16

Oct

-16

Nov

-16

Dec

-16

Jan-

17Fe

b-17

Mar

-17

Apr

-17

May

-17

Jun-

17Ju

l-17

Aug

-17

Sep

-17

Oct

-17

Nov

-17

Dec

-17

Jan-

18Fe

b-18

Mar

-18

Apr

-18

May

-18

Jun-

18Ju

l-18

Aug

-18

Sep

-18

Oct

-18

Nov

-18

Dec

-18

Jan-

19Fe

b-19

Mar

-19

Apr

-19

May

-19

CLO APB (€Bils)

<=2008 2009-2013 >=2014


On the European side, CLOs issued on or after 2014 continue to comprise the overwhelming share of AUM with a 95.5% share. There are minimal European CLO assets still active from CLO 1.0.

LLM – May 2019

53

Rank Issuer Approx. Amount ($Bils.)* Rank Issuer Approx. Amount ($Bils.)*1 Asurion LLC 4.31 26 Lifepoint Hospitals Inc 1.68 2 Transdigm Inc 3.58 27 Calpine Corp 1.67 3 Dell International LLC 2.95 28 EG Group [Ex-Euro Garages Ltd] 1.65 4 Centurylink Inc 2.91 29 Virgin Media 1.61 5 SS&C Technologies Inc 2.32 30 ADT Corp 1.60 6 Altice France Est [Altice Blue One Sas] 2.31 31 Avolon Ltd 1.58 7 Envision Healthcare 2.30 32 BMC Software 1.56 8 Refinitiv (Financial & Risk Us Holdings, Inc.) 2.28 33 Brookfield Wec Holdings Inc 1.55 9 Scientific Games Corp 2.09 34 Tempo Acquisition LLC 1.55 10 Albertson‘s Inc 2.08 35 Bausch Health Companies Inc 1.52 11 Univision Communications Inc 2.08 36 RCN Grande 1.51 12 Sprint Communications Inc 2.03 37 Endo International Plc 1.49 13 Change Healthcare Holdings LLC 2.02 38 Misys Plc 1.49 14 Charter Communications Inc 2.01 39 Advantage Sales & Marketing 1.48 15 Micro Focus International Plc 2.01 40 McAfee 1.47 16 Air Medical Group Holdings Inc 1.95 41 Brand Energy & Infrastructure Services 1.46 17 Starfruit Finco Bv 1.95 42 Verscend Technologies 1.43 18 CSC Holdings Inc 1.92 43 IMG Worldwide 1.42 19 Bass Pro Shops 1.89 44 Internet Brands Inc 1.41 20 American Airlines 1.87 45 Amneal Pharmaceuticals LLC 1.41 21 Caesars Resort Collection LLC 1.86 46 Commscope Inc 1.41 22 Royalty Pharma 1.81 47 Stars Group Inc 1.40 23 West Corp 1.79 48 Dtz Us Borrower LLC 1.40 24 First Data Corp 1.75 49 Texas Competitive Electric Holdings Co 1.37 25 Johnson Controls International Plc 1.73 50 Rackspace Hosting 1.37

Top Loan Holdings in U.S. CLO Portfolios


LLM – May 2019

*excludes CLOs not yet in LPC Collateral as of May 31, 2019

54

Rank Issuer Approx. Amount (€Mils.)* Rank Issuer Approx. Amount (€Mils.)*1 SFR Group SA [ex-Numericable SAS] 1135.68 26 Ceva Sante Animale SA 674.592 EG Group [ex-Euro Garages Ltd] 1082.58 27 Johnson Controls International plc 659.233 Verisure Hldg AB 1047.88 28 DomusVi SAS [Dolcea GDP Vendome] 627.504 Nets Holding A/S 947.61 29 TMF Group 577.085 Stada Arzneimittel AG 930.39 30 BMC Software 574.916 Unilever plc 923.49 31 Amer Sports Oyj 574.657 Eircom Group plc 908.51 32 Flint Group SA 558.828 VodafoneZiggo 904.88 33 Tipico Co Ltd 544.649 Springer-Verlag GmbH [Springer Nature] 893.65 34 Misys plc 543.8110 Ion Trading Technologies Ltd 858.86 35 TDC A/S 537.9311 Sivantos Pte Ltd [ex-Siemens Audio Sol] 841.42 36 Stars Group Inc 516.3312 Techem AG 835.68 37 Douglas Holding AG 511.8813 Action Nederland BV 788.25 38 McAfee 509.6414 Oberthur Card Systems SA 774.49 39 Unilabs Subholding Publ AB 500.1215 Starfruit Finco BV 767.55 40 Webhelp SA 491.5716 Xella International Gmbh 744.34 41 GVC Holdings Plc 491.3317 Ineos Group 743.06 42 Rubix [fka IPH-Brammer Group] 489.5918 Nord Anglia Education plc 728.81 43 Motor Fuel Ltd 484.7819 Paysafe Group plc 728.60 44 Biogroup LCD SCM 478.4520 Hotelbeds Group SLU 687.65 45 Veritas Software 478.0021 Refinitiv 685.25 46 Refresco Holding BV 474.0622 Elsan Groupe SAS [ex-Le Groupe Vedici] 683.74 47 Swissport International Ltd 465.5723 Verallia SA 682.95 48 Distributed Power 461.6424 Ahlsell AB 681.51 49 Solenis International 459.9525 Infor Global Solutions Inc 681.27 50 Solera Holdings 458.60

Top Loan Holdings in European CLO Portfolios


LLM – May 2019

*excludes CLOs not yet in LPC Collateral as of May 31, 2019

55

Top Industries – U.S. CLOs Technology continues to be the most widely held sector in May with a 14% share, holding steady at or near this level for the past 5 months. Healthcare and Financial Services have the next largest shares of the CLO universe with 9% and 8% respectively. These sector concentrations may change as some CLO managers look to shift from cyclical to defensive sectors given the current macro and tariff environment.

0%

2%

4%

6%

8%

10%

12%

14%

16%

Share of U.S. CLO Assets


LLM – May 2019

56

Top Industries – European CLOs For European CLOs, in May 2019 Healthcare loans continue to represent the most widely held sector in CLOs for the 4th consecutive month with a 12% share. This is followed closely by the Technology and Services sectors, with a 11% and 9% share respectively, unchanged from the prior month.

0%

2%

4%

6%

8%

10%

12%

14%

Share of European CLO Assets


LLM – May 2019

57

Share of U.S. CLOs Comprised of Second-Liens

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

Jun-

13Ju

l-13

Aug

-13

Sep

-13

Oct

-13

Nov

-13

Dec

-13

Jan-

14Fe

b-14

Mar

-14

Apr

-14

May

-14

Jun-

14Ju

l-14

Aug

-14

Sep

-14

Oct

-14

Nov

-14

Dec

-14

Jan-

15Fe

b-15

Mar

-15

Apr

-15

May

-15

Jun-

15Ju

l-15

Aug

-15

Sep

-15

Oct

-15

Nov

-15

Dec

-15

Jan-

16Fe

b-16

Mar

-16

Apr

-16

May

-16

Jun-

16Ju

l-16

Aug

-16

Sep

-16

Oct

-16

Nov

-16

Dec

-16

Jan-

17Fe

b-17

Mar

-17

Apr

-17

May

-17

Jun-

17Ju

l-17

Aug

-17

Sep

-17

Oct

-17

Nov

-17

Dec

-17

Jan-

18Fe

b-18

Mar

-18

Apr

-18

May

-18

Jun-

18Ju

l-18

Aug

-18

Sep

-18

Oct

-18

Nov

-18

Dec

-18

Jan-

19Fe

b-19

Mar

-19

Apr

-19

May

-19

Second lien share of assets


The share of CLO assets that are second-lien loans dropped to 1.78% from 1.85% in May. One year prior, second lien loans were 2% of US CLO liabilities.

LLM – May 2019

58

Defaulted Assets – U.S. CLOs

0%

10%

20%

30%

40%

50%

60%

70%

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 to

<16

16 to

<17

17 to

<18

18 to

<19

19 to

<20

>=20

Share of CLO universe / Percent of assets in default

CLO 1.0 >= CLO 2.0


Among post-crisis vintage CLOs, 63% reported no defaulted assets in their portfolio in May, unchanged from the prior month, while 5% reported 1-2% of their principal in default, down slightly from 6% in April. For the 71 CLOs issued before 2009 that remain active, 55% have 20% or more of their principal in default. The AUM for CLO 1.0 is roughly $1.7bn.

LLM – May 2019

59

Defaulted Assets – European CLOs

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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 to

<16

16 to

<17

17 to

<18

18 to

<19

19 to

<20

>=20

Share of CLO universe / Percent of assets in default

CLO 1.0 >= CLO 2.0


In May, 88% of post-crisis vintage European CLOs reported no defaulted assets in their portfolio, while an additional 11% of CLOs reported 1-2% of their principal in default, compared with 81% and 15% in the prior month, respectively. In contrast, 25% of the 18 pre-crisis CLOs still active have 20% or more of their principal listed as defaulted. Euro CLO 1.0’s have an AUM of approximately €840m.

LLM – May 2019

60

Distribution of Secondary Market Prices of Loan Assets in U.S. CLOs

0%

10%

20%

30%

40%

50%

60%

70%

80%

<70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100

Share of Loan Holdings, Avg. bid (% of Par)

May-18 Mar-19 Apr-19 May-19


The share of par-plus loans in U.S. CLOs was 8% in May, down from 27% in April, as secondary prices ticked lower. One year prior, 60% of all loans held in U.S. CLOs priced par-plus.

LLM – May 2019

61

Distribution of Secondary Market Prices of Loan Assets in European CLOs

0%

10%

20%

30%

40%

50%

60%

70%

80%

<70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100

Share of Loan Holdings, Avg. bid (% of Par)

May-18 Mar-19 Apr-19 May-19


In European CLOs, the share of par-plus loans in CLO portfolios ticked slightly higher month on month from 34.6% to 36%. 84% of all loans priced north of 98 and 91% of all loans pricing north of 95. One year prior, 38% of all Euro CLO loans priced at or above par, and 91% of loans priced at or above 98.

LLM – May 2019

62

LLM – May 2019

Average Bid of U.S. CLO Portfolios* (Underlying Assets)

Source: LSTA/LPC MTM Pricing, LPC Collateral

86

88

90

92

94

96

98

100

102

Jan-

13Fe

b-13

Mar

-13

Apr

-13

May

-13

Jun-

13Ju

l-13

Aug

-13

Sep

-13

Oct

-13

Nov

-13

Dec

-13

Jan-

14Fe

b-14

Mar

-14

Apr

-14

May

-14

Jun-

14Ju

l-14

Aug

-14

Sep

-14

Oct

-14

Nov

-14

Dec

-14

Jan-

15Fe

b-15

Mar

-15

Apr

-15

May

-15

Jun-

15Ju

l-15

Aug

-15

Sep

-15

Oct

-15

Nov

-15

Dec

-15

Jan-

16Fe

b-16

Mar

-16

Apr

-16

May

-16

Jun-

16Ju

l-16

Aug

-16

Sep

-16

Oct

-16

Nov

-16

Dec

-16

Jan-

17Fe

b-17

Mar

-17

Apr

-17

May

-17

Jun-

17Ju

l-17

Aug

-17

Sep

-17

Oct

-17

Nov

-17

Dec

-17

Jan-

18Fe

b-18

Mar

-18

Apr

-18

May

-18

Jun-

18Ju

l-18

Aug

-18

Sep

-18

Oct

-18

Nov

-18

Dec

-18

Jan-

19Fe

b-19

Mar

-19

Apr

-19

May

-19

Bid (% of Par)

US Avg. Bid US Median Bid

The average bid of U.S. CLO portfolios fell in May from 97.84bp to 97.12bp, as secondary pricing for loan assets fell. The median bid was 97.03bp, down from 98bp in the prior month.

*excludes CLOs less than $50 million in size.

63

LLM – May 2019

Average Bid of European CLO Portfolios* (Underlying Assets)

Source: LSTA/LPC MTM Pricing, LPC Collateral

86

88

90

92

94

96

98

100

102

Jan-

13Fe

b-13

Mar

-13

Apr

-13

May

-13

Jun-

13Ju

l-13

Aug

-13

Sep

-13

Oct

-13

Nov

-13

Dec

-13

Jan-

14Fe

b-14

Mar

-14

Apr

-14

May

-14

Jun-

14Ju

l-14

Aug

-14

Sep

-14

Oct

-14

Nov

-14

Dec

-14

Jan-

15Fe

b-15

Mar

-15

Apr

-15

May

-15

Jun-

15Ju

l-15

Aug

-15

Sep

-15

Oct

-15

Nov

-15

Dec

-15

Jan-

16Fe

b-16

Mar

-16

Apr

-16

May

-16

Jun-

16Ju

l-16

Aug

-16

Sep

-16

Oct

-16

Nov

-16

Dec

-16

Jan-

17Fe

b-17

Mar

-17

Apr

-17

May

-17

Jun-

17Ju

l-17

Aug

-17

Sep

-17

Oct

-17

Nov

-17

Dec

-17

Jan-

18Fe

b-18

Mar

-18

Apr

-18

May

-18

Jun-

18Ju

l-18

Aug

-18

Sep

-18

Oct

-18

Nov

-18

Dec

-18

Jan-

19Fe

b-19

Mar

-19

Apr

-19

May

-19

Bid (% of Par)

EUR Avg. Bid EUR Median Bid


The average bid of European CLO assets dropped slightly in May to 98.12bp from 98.5bp in the prior month. The average bid was been steadily rising since December 2018 when bids declined to an average of 96.83. The median bid declined 33bp to 98.34bp.

64

Weighted Average Bid of CLO Portfolios* (Underlying Assets): U.S. vs Europe

0%

10%

20%

30%

40%

50%

60%

70%

<70 70 to<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<100

>=100

Share of CLOs

U.S. Europe



In a distribution of CLO portfolio prices, 1% of U.S. CLOs had a WAB at or above par, with 51% of CLOs showing a WAB between 97 and 98, and 15% of CLOs showing a WAB between 98 and 99, compared with 35% and 45% respectively last month. European CLOs had 25% of underlying assets with a WAB from 97-98, and 52% with a WAB between 98-99. 16% had a WAB from 99 to just under par.

LLM – May 2019

2019 CLO Activity

66

Date Priced CLO Manager CLO Name Deal Size ($Mils.)

AAA Size ($Mils.)

Equity Size ($Mils.) Agent Trustee

23-Jan-19 PGIM Dryden 75 428.78 286.88 35.65 Jefferies US Bank

24-Jan-19 CBAM CLO Management LLC CBAM 2019-9 601.05 384 49.95 Barclays

24-Jan-19 GoldenTree Asset ManagementGoldenTree Loan Management US CLO 4 807.75 521.75 56.5 MS

24-Jan-19 ArrowMark Apres Static CLO 1 399.93 264 23.775 JPM

25-Jan-19 Ares Management Ares LI CLO 507.05 325 50.8 BNP Paribas

25-Jan-19 Assurant CLO Management Assurant CLO IV 454 290 40 BAML

25-Jan-19 KKR KKR CLO 24 402 260.2 36 Citi

28-Jan-19 Neuberger BermanNeuberger Berman Loan Advisors CLO 32 602.01 366 53.755 Wells Fargo US Bank

28-Jan-19 Sound Point Capital Management Sound Point CLO XXII 508.8 305 48.8 BAML

29-Jan-19 PPM America PPM CLO 2019-2 405.6 256 44 GS

05-Feb-19 CarVal CLO Management CarVal CLO II 732.75 464 76.9 JPM

07-Feb-19 Anchorage Capital Group Anchorage Capital CLO 2019-13 505.00 307.5 56 GS

08-Feb-19 GSO Blackstone Buckhorn Park CLO 502.05 325 48.3 Barclays

08-Feb-19 Golub Capital Golub Capital Partners CLO 40 444.20 279.4 48.5 MUFG Securities

11-Feb-19 Alliance Bernstein ABPCI Direct Lending Fund CLO V 350 172 62 GS

2019 New Issue U.S. CLOs


LLM – May 2019

67


AAA Size ($Mils.)


11-Feb-19 TCW Asset Management TCW CLO 2019-1 402.90 261 30.6 MUFG Securities

12-Feb-19 Barings LLC Barings CLO 2019-1 505.70 324 45.2 Barclays

13-Feb-19 BlackRock Financial Management Magnetite XXI 500.25 337.5 30.25 Citi

13-Feb-19 Voya Investment Management Voya 2019-1 398.7 259 30.7 Jefferies

14-Feb-19 Elmwood Asset Management, LLC Elmwood CLO I 499.4 330 40.15 Citi

14-Feb-19 InvestCorp Credit Management Jamestown CLO XII 455.2 270 42.7 Citi

15-Feb-19 CIFC CIFC Funding 2019-1 606.5 387 54.5 MS

15-Feb-19 Wellfleet Credit Partners Wellfleet CLO X 314.83 200 28.12 Mizuho

20-Feb-19 BlueMountain Capital Management BlueMountain CLO XXIV 506.15 320 51.4 BAML

20-Feb-19 Octagon Credit Investors Octagon Investment Partners 40 606.25 385.5 54.25 BNP Paribas

20-Feb-19 Rockford Tower Capital Management Rockford Tower CLO 2019-1 506.64 325 46.64 MS

19-Feb-19 Canyon Capital Canyon CLO 2019-1 404.9 256 36.9 BAML

19-Feb-19 Jefferies Finance LLC JFINR 2019 258.8 Jefferies

21-Feb-19 Kayne Anderson Capital Advisors Kayne CLO III 2019-3 451.52 288 41.57 JPM

21-Feb-19 Carlyle Investment Management Carlyle US CLO 2019-1 602.7 390 50.7 Citi

22-Feb-19 Ellington CLO Management Ellington CLO IV 478.49 237.5 73.55 Barclays



LLM – May 2019

68


AAA Size ($Mils.)


22-Feb-19 Oak Hill Advisors OHA Credit Funding 2 603.5 390 42.5 MS

22-Feb-19 AIG Asset Management AIG CLO 2019-1 504.65 305 49.9 Wells Fargo

22-Feb-19 Onex Credit Partners OCP CLO 2019-16 505.1 325 48.1 Natixis

22-Feb-19 Brigade Capital Management Battalion CLO XIV 507.75 322.5 57.5 MS

22-Feb-19 Crescent Capital Group Atlas CLO 2019-13 509.15 326.45 47.7 Jefferies

28-Feb-19 Ares Management Ares LII CLO 507.5 325 50 Société Générale

01-Mar-19 CIFC CIFC Funding 2019-II 502.31 320 41.81 DB

05-Mar-19 Palmer Square Capital Management Palmer Square Loan Funding 2019-1 498.95 340 33.95 Citi

08-Mar-19 THL Credit THL Credit Lake Shore MM CLO I 410.5 240 54.5 DB

08-Mar-19 THL Credit THL Credit Wind River 2019-1 504.65 320 47.4 Natixis

08-Mar-19 Octagon Credit Investors Octagon Investment Partners 41 501.85 325 43.75 JPM

11-Mar-19 Bain Capital Credit Bain Capital Credit 2019-1 506.75 325 46.75 Jefferies

15-Mar-19 Invesco Verde (Invesco) CLO 2019-1 506.44 325 46.44 GS

15-Mar-19 Trinitas Capital Management Trinitas CLO X 609.6 384 51.6 Barclays

18-Mar-19 Golub Capital Golub Capital Partners CLO 41(B) 407.5 256 43.5 BAML

19-Mar-19 Seix Advisors Mountain View CLO XIV 404.66 260 33.16 BNP Paribas

21-Mar-19 Kayne Anderson Capital Advisors Kayne CLO IV 302.55 192 30 GS



LLM – May 2019

69


AAA Size ($Mils.)


22-Mar-19 Steele Creek Investment Management Steele Creek 2019-1 CLO 405.6 260 37.7 RBC

26-Mar-19 MJX Asset Management Venture 36 558.75 358.875 47.25 BNP Paribas

27-Mar-19 Oaktree Capital Management Oaktree CLO 2019-1 744.775 480 56.65 Wells Fargo

27-Mar-19 Maranon Capital Maranon Loan Funding 2019-1 555 370 60 MS

27-Mar-19 Cerberus Cerberus Loan Funding XXVI 378.75 195 95.5 Natixis

28-Mar-19 Credit Suisse Asset Management Madison Park Funding XXXIV 503.3 322.3 49.5 CS

28-Mar-19 LCM Asset Management LCM XXX 404.55 262 39.35 MS

28-Mar-19 KKR KKR CLO 25 452 292.3 42.8 Greensledge

29-Mar-19 Mariner Investment Group Mariner CLO 7 405.9 264 39.9 Citi

29-Mar-19 Partners Group Pikes Peak CLO 3 481.8 304 47.25 CS

29-Mar-19 Och Ziff Capital Management OZLM XXIII 505.25 320 50.425 MS

29-Mar-19 Ares Management Ares LIII CLO 589.3 380.3 57.2 JPM

03-Apr-19 Hayfin Capital Management Kingsland X 500.5 320 40.5 BNP Paribas

03-Apr-19 Angelo Gordon Northwoods XVIII 450.92 292.5 36.92 Citi

05-Apr-19 THL Credit Advisors LLC THL Credit Wind River 2019-3 CLO 611.4 388 61.4 BNP Paribas

05-Apr-19 Elmwood Asset Management, LLC Elmwood CLO II 1003.2 640.00 86 JPM

05-Apr-19 Antares Capital Advisers Antares CLO 2019-1 505.34 299 62.84 DB



LLM – May 2019

70


AAA Size ($Mils.)


10-Apr-19 CBAM CLO Management LLC CBAM 2019-10 401.85 255.5 35.1 Citi

10-Apr-19 CVC Credit Partners Apidos CLO XXXI 2019-31 634.13 414.23 51.4 GS

11-Apr-19 BlackRock Financial Management Magnetite XXII, Limited 2019-22 656.385 427 64.385 Wells Fargo

11-Apr-19 NCC CLO Manager Nassau 2019-1 503.310 366.875 43.31 JPM

11-Apr-19 Barings LLC Barings CLO 2019-III 405.35 256 38.6 CS

12-Apr-19 GC Investment Management LLC Golub Capital Partners CLO 42(M) 804.16 454 156.16 Wells Fargo

12-Apr-19 Oaktree Capital Management Oaktree CLO 2019-2 504.7 325 47.2 MS

12-Apr-19 GSO Blackstone Diamond CLO 2019-1 573.79 356.5 64.915 Wells Fargo

12-Apr-19 Octagon Credit InvestorsOctagon Investment Partners 42 Ltd 2019-3 503.490 325 48.49 Wells Fargo

18-Apr-19 CIFC CIFC Funding 2019-III, LTD. 605.400 390 53.4 Citi

18-Apr-19 Neuberger BermanNeuberger Berman Loan Advisers CLO 31, LTD. 504.8 320 47.8 Barclays

18-Apr-19 Palmer Square Capital ManagementPalmer Square Loan Fundings 2019-2, LTD. 500.75 340 30.75 Citi

18-Apr-19 Rothchild Ocean Trails CLO VII 405.1 256 38.1 CS

25-Apr-19 Eaton Vance Management Eaton Vance CLO 2019-1 405.1 260 33.1 Wells Fargo

25-Apr-19 Owl Rock Capital Advisors Owl Rock CLO I, Ltd 2019-1 597.1 322 207.1 Natixis

25-Apr-19 LCM Asset Management LCM XXIX 404.2 262 36.6 Natixis



LLM – May 2019

71


AAA Size ($Mils.)


25-Apr-19 PGIM Dryden 72 CLO 404.25 257.5 38.75 GS

25-Apr-19 Credit Suisse Asset Management Madison Park Funding XXXV 801.25 516 75 BAML

26-Apr-19 Park Avenue Institutional AdvisersPark Avenue Institutional Advisers CLO 2019-1 398.65 247 32.65 JPM

26-Apr-19 Middle Market Credit Fund MMCF CLO 2019-2 400.3 233 48.3 Citi

26-Apr-19 Aegon USA Investment Management Cedar Funding XI 479 260 105.5 Jefferies

26-Apr-19 Sound Point Capital Management Sound Point CLO XXIII 608.15 390 59.15 Barclays

26-Apr-19 Barings LLC Barings BDC Static CLO Ltd. 2019-I 449.25 296.75 101

30-Apr-19 Marble Point CLO Management Marble Point CLO XV 404 258 36.5 CS

30-Apr-19 AXA Investment Advisors Allegro CLO X 306.6 192 27.6 CS

01-May-19 Birch Glove Birch Grove CLO I 403.05 256 37.05 JPM

03-May-19 PPM America PPM CLO 3 402.75 256 36.75 CS

06-May-19 Monroe Capital Monroe Capital MML CLO VIII, LTD. 456.34 252 62.59 DB

10-May-19 Trimaran Advisors Trimaran Cavu 2019-1 Ltd. 609.9 388.8 62.5 CS

13-May-19 TPG Capital TICP CLO XIII 456 288 45.35 GS

13-May-19 Apex Credit Partners Apex Credit CLO 2019-1 399 31 Jefferies

14-May-19 Symphony Asset Management Symphony CLO XXI 407 257.6 41.4 BNP Paribas



LLM – May 2019

72


AAA Size ($Mils.)


16-May-19 Crescent Capital Group Atlas Senior Loan Fund XIV 403.1 257.95 33.15 Barclays

17-May-19 BMO Asset Management Corp Great Lakes CLO 2019-1 352.1 57.176 45.6 Greensledge

17-May-19 Redding Ridge Asset Management RR 6 LTD 597.2 416 43.2 DB

21-May-19 MJX Asset Management Venture 37 506.45 325 46.45 Jefferies

22-May-19 Madison Capital MCF CLO IX 300.78 175 38.78 Wells Fargo

23-May-19 GSO Blackstone Niagara Park CLO 453.17 288 44.12 BNP Paribas

21-May-19 Oak Hill Advisors OHA Credit Funding 3 708 454.5 64.5 BAML

24-May-19 Credit Suisse Asset Management Madison Park Funding XXXVII 596.65 390 50.65 Wells Fargo

24-May-19 Credit Suisse Asset Management One Eleven Funding III 549.4 251 177.9 CS

24-May-19 BlueMountain Capital Management BlueMountain CLO XXV 505.45 318.25 46.7 Barclays

29-May-19 HPS Investment Partners CLO (UK) LLP HPS Loan Management 14-2019 457.35 301.4 32.3 Citi

30-May-19 Audax Audax Senior Debt CLO I 499.56 112.06 Wells Fargo

30-May-19 Allstate Investment Management Co AIMCO CLO 10 455.7 292.5 42.7 CS

30-May-19 PGIM Dryden 68 508.05 325 48.05 RBC

30-May-19 KKR FS KKR MM CLO 1 LLC 507.5 299.4 128.8 Citi



LLM – May 2019

73

Date Priced CLO Name AAA AAA DM AA AA DM A A DM BBB BBB DM BB BB DM B B DM

23-Jan-19 Dryden 75 118 180 245 340 596

24-Jan-19 CBAM 2019-9 128 128 190 190 275 275 375 375 650 650

24-Jan-19 GoldenTree Loan Management US CLO 4 130 130 165 165 180 180 270 270 385 385

24-Jan-19 Apres Static CLO 1 117 175 255 365 665 798

25-Jan-19 Ares LI CLO 130 130 185 185 270 270 385 385 649 695

25-Jan-19 Assurant CLO IV 135 135 190 190 270 270 385 385 700 737

25-Jan-19 KKR CLO 24 136 136 180 180 270 270 375 375 638 395

28-Jan-19 Neuberger Berman Loan Advisors CLO 32 133 133 185 185 265 265 385 385 670 700

28-Jan-19 Sound Point CLO XXII 137 195 290 390 630

29-Jan-19 PPM CLO 2019-2 150 150 215 215 300 300 400 400 700 700

05-Feb-19 CarVal CLO II 148 225 325 415 675

07-Feb-19 Anchorage Capital CLO 2019-13 200 280 390 700

08-Feb-19 Buckhorn Park CLO 131 131 175 175 255 255 375 375 665 710

08-Feb-19 Golub Capital Partners CLO 40 140 140 200 200 275 275 385 385 575 668

11-Feb-19 ABPCI Direct Lending Fund CLO V 172 172 270 270 410 410 500 533

11-Feb-19 TCW CLO 2019-1 144 200 310 425 675 867

12-Feb-19 Barings CLO 2019-1 132 132 185 185 275 275 385 385 668 715

2019 New Issue U.S. CLOs – Pricing


LLM – May 2019

74


13-Feb-19 Magnetite XXI 128 128 170 170 250 250 350 350 675 675 950 950

13-Feb-19 Voya 2019-1 117 117 170 170 235 235 330 330 595 625

14-Feb-19 Elmwood CLO I 135 135 190 190 270 270 380 380 710 710

14-Feb-19 Jamestown CLO XII 147 147 215 215 300 300 405 405 700 768

15-Feb-19 CIFC Funding 2019-1 135 135 180 180 270 270 375 375 683 715

15-Feb-19 Wellfleet CLO X 138 138 200 200 300 300 386 400 703 750

20-Feb-19 BlueMountain CLO XXIV 132 132 185 185 270 270 390 390 676 700

20-Feb-19 Octagon Investment Partners 40 133 133 180 180 270 270 380 380 646 700

20-Feb-19 Rockford Tower CLO 2019-1 145 145 175 175 205 205 275 275 385 385 636 700

19-Feb-19 Canyon CLO 2019-1 137 137 200 200 280 280 385 385 668 715

19-Feb-19 JFIN Revolver CLO 2019

21-Feb-19 Kayne CLO III 2019-3 148 205 290 395 682

21-Feb-19 Carlyle US CLO 2019-1 132 132 185 185 265 265 370 370 670 700

22-Feb-19 Ellington CLO IV 184 184 250 250 330 330 550 850 642

22-Feb-19 OHA Credit Funding 2 132 132 185 185 270 270 400 400 550 n/a 750 N/A

22-Feb-19 AIG CLO 2019-1 142 142 195 195 275 275 390 390 662 735

22-Feb-19 OCP CLO 2019-16 140 185 320 410 662



LLM – May 2019

75


22-Feb-19 Battalion CLO XIV 145 145 210 210 295 295 395 395 668 715 950

22-Feb-19 Atlas CLO 13 145 205 411 695

28-Feb-19 Ares LII CLO 133 185 268 395 655

01-Mar-19 CIFC Funding 2019-II 125 125 175 175 245 245 360 360 658 695

05-Mar-19 Palmer Square Loan Funding 2019-1 105 105 165 165 225 225 315 315 580 580

08-Mar-19 THL Credit Lake Shore MM CLO I 170 170 275 275 380 380 485 485 850 915

08-Mar-19 THL Credit Wind River 2019-1 133 133 188 188 280 280 393 400 672 695

08-Mar-19 Octagon Investment Partners 41 133 185 260 365 690

11-Mar-19 Bain Capital Credit 2019-1 142 142

15-Mar-19 Verde (Invesco) CLO 2019-1 135 135 190 190 265 265 380 380 690

15-Mar-19 Trinitas CLO X 146 210 310 415 690 778.5

18-Mar-19 Golub Capital Partners CLO 41(B) 137 137 190 190 270 270 375 375 555 675

19-Mar-19 Mountain View CLO XIV AMR 144 144 200 200 290 290 405 405 671 720

21-Mar-19 Kayne CLO IV 147 147 210 210 280 280 385 385 675 715

22-Mar-19 Steele Creek 2019-1 CLO 147 147 220 220 305 305 410 410 701 765

26-Mar-19 Venture 36 143 200 290 415 692

27-Mar-19 Oaktree CLO 2019-1 133 133 185 185 275 275 380 380 680 710



LLM – May 2019

76


27-Mar-19 Maranon Loan Funding 2019-1 185 185 280 280 365 365 465 465 865 865

27-Mar-19 Cerberus Loan Funding XXVI 175 175 260 260 370 370 485 485

28-Mar-19 Madison Park Funding XXXIV 133 185 260 370 675

28-Mar-19 LCM XXX 133 133 185 185 260 375 375 695 695

28-Mar-19 KKR CLO 25 140 140 200 200 275 275 385 385 654 715

29-Mar-19 Mariner CLO 7 150 150 200 200 280 280 385 385 689 720

29-Mar-19 Pikes Peak CLO 3 143 210 295 390 686

29-Mar-19 OZLM XXIII 147 210 285 390 680

29-Mar-19 Ares LIII CLO 133 188 265 375 685

03-Apr-19 Kingsland X 146 225 310 410 730

03-Apr-19 Northwoods XVIII 150 150 215 215 300 300 405 405 658 760

05-Apr-19 THL Credit Wind River 2019-3 CLO 133 210 280 410 655

05-Apr-19 Elmwood CLO II 145 210 290 395 680

05-Apr-19 Antares CLO 2019-1 168 168 255 255 355 355 465 465

10-Apr-19 CBAM 2019-10 142 142 205 205 275 275 380 380 700 715

10-Apr-19 Apidos CLO XXXI 133 133 190 190 255 255 365 365 675 690

11-Apr-19 Magnetite XXII 133 133 185 185 260 260 365 365 675 675



LLM – May 2019

77


11-Apr-19 Nassau 2019-1 165 230 315 410 702

11-Apr-19 Barings CLO 2019-III 133 195 270 380 678

12-Apr-19 Golub Capital Partners CLO 42(M) 170 170 260 260 370 370 350 450

12-Apr-19 Oaktree CLO 2019-2 133 133 220 220 280 280 396 410 677 740

12-Apr-19 Diamond CLO 2019-1 160 160 250 250 360 360 475 475 805 875

12-Apr-19 Octagon Investment Partners 42 Ltd 2019-3 133 133 195 195 265 265 375 375 662 710

18-Apr-19 CIFC Funding 2019-III, LTD. 137 137 185 185 265 265 370 370 680 725

18-Apr-19 Neuberger Berman Loan Advisers CLO 31 133 133 195 195 270 270 370 370 675 675

18-Apr-19 Palmer Square Loan Fundings 2019-2, LTD. 97 97 160 160 225 225 325 325 550 560 675 715

18-Apr-19 Ocean Trails CLO VII 140 200 275 375 688

25-Apr-19 Eaton Vance CLO 2019-1 133 133 195 195 265 265 375 375 675 705 825 890

25-Apr-19 Owl Rock CLO I, Ltd 2019-1 180 180 270 270

25-Apr-19 LCM XXIX 133 133 190 190 260 260 385 385 690 690

25-Apr-19 Dryden 72 CLO 133 133 190 190 265 265 370 370 680 680

25-Apr-19 Madison Park Funding XXXV 133 133 185 185 255 255 360 360 675 675

26-Apr-19Park Avenue Institutional Advisers CLO 2019-1 148 200 295 385 685



LLM – May 2019

78


26-Apr-19 MMCF CLO 2019-2, LLC 150 150 240 240 345 345 455 455 803 850

26-Apr-19 Cedar Funding XI 135 180 270 375 685 850

26-Apr-19 Sound Point CLO XXIII 140 140 203 210 295 295 386 400 671 735

26-Apr-19 Barings BDC Static CLO Ltd. 2019-I 102 165

30-Apr-19 Marble Point CLO XV 142 215 285 385 683

30-Apr-19 Allegro CLO X 142 142 200 200 275 275 380 380 688 720 860 945

01-May-19 Birch Grove CLO I 149 215 295 390 677

03-May-19 PPM CLO 3 140 195 270 370 671

06-May-19 Monroe Capital MML CLO VIII, LTD. 170 170 260 260 360 360 485 485 815 870

10-May-19 Trimaran Cavu 2019-1 Ltd. 146 220 315 415 704

13-May-19 TICP CLO XIII 130 130 185 185 250 250 345 345 675 675

13-May-19 Apex Credit CLO 2019-1 157 285 411 710

14-May-19 Symphony CLO XXI 138 190 255 365 675

16-May-19 Atlas Senior Loan Fund XIV 143 143 200 200 290 290 390 390 694 725

17-May-19 Great Lakes CLO 2019-1 174 174 260 260 360 360 475 475not

offered

17-May-19 RR 6 LTD 125 128 192 205 250 250 345 345 675 675



LLM – May 2019

79


21-May-19 Venture 37 139 190 265 390 695

22-May-19 MCF CLO IX 170 170 240 240 340 340 455 455 790 845

23-May-19 Niagara Park CLO 130 130 180 180 240 240 355 355 645 645

21-May-19 OHA Credit Funding 3 132 132 180 180 406 245 245 355 355

24-May-19 Madison Park Funding XXXVII 130 130 175 175 240 240 350 350 655 655

24-May-19 One Eleven Funding III 425 490 580 698

24-May-19 BlueMountain CLO XXV 134 134 180 180 245 245 355 355 670 670

29-May-19 HPS Loan Management 14-2019 127 127 170 170 250 250 345 345 675 675 838 950

30-May-19 Audax Senior Debt CLO I 195 380

30-May-19 AIMCO CLO 10 132 180 245 355 655

30-May-19 Dryden 68 131 131 174 174 230 230 340 340 675 675

30-May-19 FS KKR MM CLO 1 LLC 170 170 250 250 410 410



LLM – May 2019

80

Date Priced CLO Manager CLO NameDealSize

($Mils.) AAA AA A BBB BB B Agent Refi/Reset

25-Jan-19 Octagon Credit Investors Octagon Investment Partners XXI 725.7 495 86.25 36 40.25 37 12 Nomura Reset

25-Jan-19 Fortress Fortress Credit Opportunities VII CLO 488.5 290.8 92 63.7 42 Natixis Refi

30-Jan-19 Carlyle Investment ManagementCarlyle Global Markets Strategies CLO 2015-5 466.7 310 64.7 23 30.2 29.7 Citi Reset

08-Feb-19 TCI Capital Management TCI-Flatiron CLO 2016-1 368 256 46 22 24 20 BAML Refi

14-Feb-19 Sound Point Capital Management Sound Point CLO XII 644 451.5 80.5 42 35 35 CS Refi

20-Feb-19 PGIM Dryden 33 Senior Loan Fund 939.95 630 113 80 51 42.65 3.95 GS Reset

21-Feb-19 Apollo Credit Management ALM XIX 439 324.5 21.5 48.5 23.5 21 MS Refi

28-Feb-19 Golub Capital Golub Capital Partners CLO 34(M) 509.19 261 67.5 52 19 Natixis Reissue

01-Mar-19 Octagon Credit Investors Octagon Investment Partners XXIV 808.7 548.2 88.4 41.2 51.9 50.1 BAML Reset

08-Mar-19 Garrison Capital Garrison Funding 2016-1 372.4 259.95 52.2 16.05 22.9 21.3 Barclays Reset

14-Mar-19 LCM Asset Management LCM XIX 444 363 81 MS Refi

15-Mar-19 Barings LLC Barings CLO 2019-2R 508.05 423.75 50 33.75 27.75 20 BAML Reissue

18-Mar-19 Ares Management Ares XXXIX CLO 465 322 56.7 33.8 28.1 18.8 JPM Reset

22-Mar-19 Ballyrock Investment Management Ballyrock 2016-1 321.3 224 36.75 19.25 22.05 19.25 JPM Refi

27-Mar-19 PGIM Dryden 36 Senior Loan Fund 646.75 437.2 85.4 60.2 36.4 27.55 GS Reset

27-Mar-19 Greywolf Capital Management Greywolf CLO IV 510.55 320 60 30 25 22.5 18.5 GS Reissue

2019 U.S CLOs Refinancings/Resets

Source: Refinitiv LPC, JP Morgan

LLM – May 2019

81



29-Mar-19 NewStar Financial NewStar Berkeley Fund CLO LLC 407.5 290 51.25 31.25 35 Citi Refi

03-Apr-19 Sound Point Capital Management Sound Point CLO VIII-R 677.9 396 63 31 34 29 13 Citi Reissue

08-Apr-19 Carlyle Investment ManagementCarlyle Global Market Strategies CLO 2012-4R 553.3 385.3 72 39 30 27 Barclays Reset

10-Apr-19 Benefit Street Partners Benefit Street Partners CLO IV 438 305 65 41 27 DB Refi

15-Apr-19 Trinitas Capital Management Trinitas CLO V 350 256 48 24 22 Natixis Refi

18-Apr-19 BlueMountain Capital Management BlueMountain CLO 2013-1, LTD. 372 310 62 Citi Refi

25-Apr-19 Brigade Capital Management Battalion CLO X 368.2 260 38.2 22 26 22 MS Refi

25-Apr-19 Octagon Credit Investors Octagon Investment Partners 2019-4R 510.65 325 55.8 23.6 31.5 24.1 JPM Reissue

30-Apr-19 Napier Park Regatta II Funding 373.2 261 46.7 28 20 17.5 GS Refi

06-May-19 AB Private Credit Investors LLCABPCI Direct Lending Fund CLO I Ltd 2016-1R 400.8 235.5 52 27.2 17 Natixis Reset

07-May-19 Credit Suisse Asset Management Madison Park Funding XIX 486 396 59.8 30.2 MUFG Refi

07-May-19 MidOcean Credit Partners MidOcean Credit CLO VI 368 242 58 26 22 20 Jefferies Refi

10-May-19 KKR KKR CLO 16 644.3 455 76 36.6 47.1 29.6 Citi Refi

14-May-19 Carlyle Investment Management Carlyle 2015-4 463.05 324.2 53.4 24.65 30.5 30.3 Citi Reset

16-May-19 GSO Blackstone Westcott Park 650.13 413.44 70.4 34.56 38.4 32Wells Fargo Refi



LLM – May 2019

82



13-May-19 Wellfleet Credit Partners Wellfleet CLO 2015-1 353.625 229.25 36.05 16.975 22.575 19.775 MS Reset

20-May-19 Credit Suisse Asset Management Madison Park Funding X 713 488.25 88.5 59.25 39.5 37.5 BAML Refi

30-May-19 TICP TICP CLO VI 2016-2 369 249 52 26 22 20BNP

Paribas Refi

31-May-19 Palmer Square Capital Management Palmer Square CLO 2015-1 666.9 457 84.2 56.5 36.1 33.1 JPM Refi



LLM – May 2019

83

Date Priced CLO Name Deal Size ($Mils.) AAA AAA

orig AA AA orig A A orig BBB BBB orig BB BB orig B B orig Refi/

Reset

25-Jan-19 Octagon Investment Partners XXI 725.7 130 135 190 190 280 260 395 365 700 660 950 1000 Reset

25-Jan-19Fortress Credit Opportunities VII CLO 488.5 160 205 245 295 350 395 450 563 Refi

30-Jan-19Carlyle Global Markets Strategies CLO 2015-5 466.7 132 155 182 225 275 310/325 375 405 675 610 Reset

08-Feb-19 TCI-Flatiron CLO 2016-1 368 122 155 185 210 270 305 380 435 690 725 Refi

14-Feb-19 Sound Point CLO XII 644 129 166 180 225 260 290 385 425 690 640 Refi

20-Feb-19 Dryden 33 Senior Loan Fund 939.95 123 143 175 185 245 250 385 435 697 754 Reset

21-Feb-19 ALM XIX 439 135 155 175 220 260 300 360 435 685 735 Refi

28-Feb-19 Golub Capital Partners CLO 34(M) 509.19 170 185 260 250 365 350not

offered Reissue

01-Mar-19 Octagon Investment Partners XXIV 808.7 133 90 190 135 280 210 385 310 710 459 Reset

08-Mar-19 Garrison Funding 2016-1 372.4 149 169 200 225 275 307 400 470 677 665 Reset

14-Mar-19 LCM XIX 444 124 147 175 200 Refi

15-Mar-19 Barings CLO 2019-2R 508.05 133 143 190 190 265 250 385 395 669 725 Reissue

18-Mar-19 Ares XXXIX CLO 465 133 153 185 200 270 275 390 430 670 725 Reset

22-Mar-19 Ballyrock 2016-1 321.3 135 159 165 200 240 270 350 425 695 805 Refi

27-Mar-19 Dryden 36 Senior Loan Fund 646.75 128 147 175 235 240 305 370 375 688 520 Reset

27-Mar-19 Greywolf CLO IV 510.55 137 152.5 195 255 295 350 395 410 694 560 Reissue

2019 U.S CLOs Refinancings/Resets – Spread Change


LLM – May 2019

84



Reset

29-Mar-19 NewStar Berkeley Fund CLO LLC 407.5 160 230 260 375 380 540 475 550 Refi

03-Apr-19 Sound Point CLO VIII-R 677.9 136 153 195 205 270 300 375 365 660 530 retained 685 Reissue

08-Apr-19Carlyle Global Market Strategies CLO 2012-4R 553.3 136 145 190 190 290 260 390 410 729 751 Reset

10-Apr-19 Benefit Street Partners CLO IV 438 125 149 175 205 265 280 380 350 480 Refi

15-Apr-19 Trinitas CLO V 350 139 170 200 215 295 315 410 441 740 Refi

18-Apr-19 BlueMountain CLO 2013-1, LTD. 372 123 140 175 264 Refi

18-Apr-19 Clarinda Park CLO 2016-1R 359 90 160 255 340 620 Refi

25-Apr-19 Battalion CLO X 368.2 125 155 180 210 250 280 345 425 665 700 Refi

25-Apr-19Octagon Investment Partners 2019-4R 510.65 133 144 165 205 190 280 260 365 375 525 680 Reissue

30-Apr-19 Regatta II Funding 373.2 125 135 185 200 270 300 370 400 695 550 Refi

06-May-19ABPCI Direct Lending Fund CLO I Ltd 2016-1R 400.8 165 260 370 452 Reset

07-May-19 Madison Park Funding XIX 486 125 152 175 230 230 315 Refi

07-May-19 MidOcean Credit CLO VI 368 125 158 190 223 270 315 375 435 690 734 Refi

10-May-19 KKR CLO 16 644.3 125 149 180 180 250 260 350 410 675 725 Refi

14-May-19Carlyle Global Markets Strategies CLO 2015-4 463.05 134 152 180 225 275 325 370 405 700 610 Reset



LLM – May 2019

85



Reset

16-May-19 Westcott Park 650.13 121 153 175 210 225 290 325 435 640 720 Refi

13-May-19 Wellfleet CLO 2015-1 353.625 128 165 205 250 275 541 375 450 725 635 Reset

20-May-19 Madison Park Funding X 713 122 145 180 190 235 260 325 420 640 762 Refi

30-May-19 TICP CLO VI 2016-2 369 120 155 170 206 230 280 330 420 640 655 Refi

31-May-19 Palmer Square CLO 2015-1 666.9 122 130 165 185 225 255 315 350 625 620 Refi



LLM – May 2019

86

Date Priced CLO Manager CLO Name Deal Size (€Mils.) AAA DM AA DM A DM BBB DM BB DM B DM Agent

09-Jan-19 Credit Suisse Asset Management Cadogan Square CLO XIII 509 108 260 375 650 975 Barc

01-Feb-19 GSO Blackstone Crosthwaite Park CLO 513Greensledge

/NatWest

01-Feb-19 Carlyle Investment Management Carlyle Euro CLO 2019-1 409 108 180 265 400 670 975 BNP

02-Feb-19 Spire Partners Aurium CLO V 447.75 114 185 275 390 660 950 BAML

08-Feb-19 Investcorp Credit Management Harvest CLO XXI 409.45 108 185 275 400 Barclays

08-Feb-19 HPS Investment Partners Aqueduct European CLO 2019-3 411.6 108 185 275 390 660 935 Citi

08-Feb-19 BlueMountain Capital Management BlueMountain Fuji EUR CLO IV 360.3 108 185 290 410 700 975 DB

26-Feb-19 Intermediate Capital Group St. Paul's CLO X 410.1 114 185 275 400 690 985 GS

01-Mar-19 Ares Management Ares European CLO XI 461.625 109 185 270 395 650 940 Citi

01-Mar-19 Redding Ridge Asset Management RRE 1 Loan Management 451.83 108.5 185 270 390 645 BNP

04-Mar-19 Guggenheim Investment Management Bilbao CLO II 409.79 114 185 275 395 650 Citi

13-Mar-19 Hayfin Capital Management Hayfin Emerald CLO II 407.9 GS

15-Mar-19 CVC Credit Partners CVC Cordatus Loan Funding XIV DAC 412.2 GS

15-Mar-19 PineBridge Investments Euro-Galaxy VII CLO 413.25 114 185 275 400 675 950 CS

22-Mar-19 Oaktree Capital Management Arbour CLO VI 410.5 108.5 185 270 390 630 925 Barclays

28-Mar-19 KKR Avoca CLO XX 456.3 108.5 180 270 390 630 950 MS

2019 New Issue European CLOs

Source: Refinitiv LPC, IFR

LLM – May 2019

87

Date Priced CLO Manager CLO Name Deal Size (€Mils.) AAA DM AA DM A DM BBB DM BB DM B DM Agent

05-Apr-19 Bardin HillBardin Hill Loan Advisors European Funding 2019-1 359 215.5 35 21.5 21 22.5 8 BAML

05-Apr-19 Onex Credit Partners OCP Euro CLO 2019-3 431.4 255 54.9 25.5 24.4 23.6 10.1 JPM

05-Apr-19 Alcentra Jubilee CLO 2019-XXII 407.7 228 59 28 25.5 19 6.5 Barclays

11-Apr-19 Sound Point Sound Point Euro CLO I Funding 507.5 312.5 48.75 31.25 32.2 27.175 10.625 Citi

12-Apr-19 BlackRock Financial Management BlackRock European CLO VIII 408.5 250 40 26 24 21 11 Natixis

17-Apr-19 PGIM Dryden 69 Euro CLO 2019 409.8 248 36 26 26.5 22.6 10.3 DB

02-May-19 Voya Investment Management Voya Euro CLO II 405.175 114 190 275 390 640 940 Citi

09-May-19 Och Ziff Capital Management OZLME VI 406.3 114 180/230 255 380 MS

20-May-19 Credit Suisse Asset Management Madison Park Euro Funding XIV 520.7 112 180 240 360 630 900 CS

24-May-19 HPS Investment Partners Aqueduct EUR CLO 2019-3 407.3 111 180 240 355 600 885 MS

28-May-19 Invesco Invesco Euro CLO II 411.5 114 180 235 360 610 880 Citi

28-May-19 Redding Ridge Asset Management RRE 2 Loan Management 402.3 113 180 240 360 629 Citi

2019 New Issue European CLOs


LLM – May 2019

88

Date Priced CLO Manager CLO Name Deal Size (€Mils.) AAA AA A BBB BB B Agent Refi/

Reset

14-Feb-19 CVC Credit Partners CVC Cordatus Loan Fund IV 358.6 240.8 37 26 24 20.8 10 MS Reset

28-Mar-19 Accunia Accunia European CLO I 477.03 283.7 47.4 27.1 27.6 24.9 11.1 Citi Reissue

15-Apr-19 Cairn Loan Investments Cairn CLO IV 279.6 188 29.75 17.25 20.6 16.25 7.75 CS Reset

18-Apr-19 GSO Blackstone Clarinda Park CLO 2016-1R 359 239 52 21 22 25 BAML Refi

16-May-19 Oaktree Capital Management Arbour CLO IV 332.7 244 42.2 25 21.5BNP

Paribas Refi

17-May-19 PGIM Dryden 46 Euro CLO 364.02 270 44.51 25.43 24.08 Citi Refi

17-May-19 Carlyle Investment ManagementCarlyle Global Market Strategies Euro CLO 2016-2R 300 232 24 19 25 BAML Refi

2019 European CLOs Refinancings/Resets


LLM – May 2019

89

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LLM – May 2019


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