the closer february 2016 - maples fiduciary · pdf filelegal advice and clo issuer / co-issuer...

The CLOser | The Maples group’s industry newsletter for the global CLO market

FEBRUARY 2016

1 DATA IN THIS PUBLICATION IS DERIVED FROM A VARIETY OF SOURCES, INCLUDING MAPLESFS LIMITED, STRUCTURED CREDIT INVESTOR, LEVERAGED LOAN, CREDITFLUX, MOODY'S, S&P, FITCH, THE IRISH STOCK EXCHANGE AND CENTRAL BANK OF IRELAND.

The CLOser | February 2016

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The Maples Global CLO Team provides Cayman Islands and Irish legal advice and CLO issuer / co-issuer and fiduciary services in the Cayman Islands, Delaware, Ireland and the Netherlands.

This edition of The CLOser1 includes:

• Stop Press: Risk Retention

• 2015 US CLO Market Review and 2016 Predictions

• 2015 European CLO Market Review and 2016 Predictions

• Irish Listings Update

• Netherlands: The Rise of the Stichting

• The Common Reporting Standard: A Quick Guide for CLO Practitioners

• Maples Fiduciary: Conflict Review Services

• A CLOser Look: Fun Facts About Two Members of Our Team

• Appendix 1: H2 2015 US CLO Deal List

• Appendix 2: H2 2015 European CLO Deal List


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Stop Press: Risk Retention

Impending US risk retention rules require CLO managers, by one of the available methods, to hold a 5% stake in each CLO that they manage. While some managers are still struggling to find the most palatable way to satisfy the complex regulation, a recent manager survey conducted by Maples Fiduciary showed just how seriously managers are taking risk retention – with the majority already having their risk retention structure in place.

Preliminary results show that a multitude of approaches are being taken to risk retention structuring, so much so that it is impossible to single out any one model or structure that predominates. The phrase echoed in the CLO conference halls, 'there is no one size that fits all', is apposite.

However, although US risk retention does not come into effect until December 2016, many US managers have complied with the regulation early, in part to appease nervous investors and in part because they could, by simply taking the 5% retention piece, using either vertical or horizontal approaches. In addition, many US managers have issued CRR-compliant US CLOs in order to attract European investors.

The full results of Maples Fiduciary's risk retention survey, which details on a no name basis findings from many of the top US managers on their risk retention strategy and overall preparedness, will be published shortly.

For more information or to discuss your risk retention strategy, please contact:

Maples and CalderMark Matthews+1 345 814 [email protected]

Scott Macdonald+1 345 814 [email protected]

Nicola Bashforth+1 345 814 [email protected]

Maples FiduciaryGuy Major+1 345 814 [email protected]

Andrew Dean +1 345 814 [email protected]

Jarladth Travers+1 345 814 [email protected]

2 DATA IN THIS PARAGRAPH IS DERIVED FROM AN ANALYSIS OF SCI AND LCD DATABASES OF PRICED US CLOS.


US CLO Market

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2015 US CLO Market ReviewAlthough significantly down from the record setting US$126bn of CLO issuance in 2014, 2015 was still the second highest issuance year on record for US CLOs with US$97.9bn of new paper. In spite of that fact, market sentiment at year-end was decidedly low key with none of the usual New Year optimism and cheer that might have been expected. A number of factors contributed towards this subdued outlook, the most prominent being risk retention, which comes into play in the US on 24 December 2016, together with continued market concerns over asset allocation and credits in certain industry sectors and decreased investor demand at the mezz and equity levels, primarily due to poor arbitrage and global economic concerns. There is also a growing feeling that this credit cycle may be coming to an end which plays into this somewhat downbeat mood.

Whilst 2014 represented a fifth straight year of 50%+ year-on-year growth and smashed the 2006 high of US$97bn, the drop back to 2006 levels in 2015 and the challenges the market faces in 2016 serve as a reminder to participants in this space that there are still significant hurdles facing the industry. Foremost amongst these concerns are the regulators who, it would appear at least, continue to view CLOs as a risk for the economy and similar to the bad old "CDOs" of past despite all of the evidence to the contrary and industry's continued lobbying to differentiate the asset class.

Notwithstanding regulatory and other headwinds, 2015 saw six managers issue their first CLO 2.0 deals (Doubleline, Fifth Street, Loomis Sayles, Maranon Capital, Wellfleet and Z Capital). Although only a third of the number of CLO 2.0 debut managers who issued in 2014, the fact that new managers continue to enter the market reflects continued confidence in the product. In addition, other significant institutional players have entered the CLO market in 2015, including Conning, who acquired a controlling stake in Octagon Credit Investors LLC's parent company, and Rothschilds North American, who took a majority ownership of West Gate Horizons Advisors, LLC. There was also other consolidation activity on the US manager front with Sankaty Advisor's acquisition of Regiment Capital Advisors' book of business and NewStar Financial's acquisition of Finegold O'Keeffe Capital. On the arranger front, we saw Mizuho enter the CLO 2.0 market and get two deals away. There are other new arrangers also in the pipeline.

In 2015, approximately 90 different US managers priced one or more US CLOs across a total of 219 deals, which included 24 refis. 83 US CLOs priced in H2 across 82 Cayman Islands issuers and one Delaware issuer. That compared with 136 priced US CLOs (including refis) in H1 across 130 Cayman Islands issuers, five Delaware issuers and one Irish issuer.

The busiest two months of 2015 for issuance were March and June and the slowest two months were January and November. The usual year-end rally never materialised, with November issuance below US$5bn and December just short of US$7.5bn. Thirteen US CLO managers priced five or more CLOs and five banks each arranged over 15 CLOs.2

20100

20

2011 2012 2013 2014 2015

40

60

80

100

120

Volume $bn

1/15 2/15 3/15 4/15 5/15 6/15 7/15 8/15 9/15 10/15 11/15 12/15

$5B

$0B

$10B

$15B

$20B

Source: S&P Capital IQ LCD Volume ($B) Count

5

10

15

20

25

30

US CLO Issuance

US CLO Activity - Monthly


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For a complete list of the H2 2015 priced US CLOs, see Appendix 1.

We continue to see a varied approach taken to risk retention structuring, with both manager-originated structures being utilised for proprietary CLOs and third-party funds being set up to provide risk retention funding (see page 9 for an illustration of our global risk retention services). Our finance and funds practices are increasingly working on an integrated basis to assist clients with the establishment of hybrid structures that utilise both fund and traditional structured finance technology to meet risk retention structuring requirements as clients seek new ways to comply with both EU and US risk retention rules.

A greater number of H2 2015 deals were risk retention compliant compared with H1 2015, with many as direct sponsor and some using the capitalised manager vehicle structure, some the majority owned affiliate structure and others using hybrid structures. A sizeable number also closed with the manager retaining the requisite interest but not disclosing in the offering document the terms of its compliance. With risk retention rules not yet being finalised, some managers prefer not to disclose their means of compliance in case the draft rules change and, for those retaining a horizontal strip, it is hard to see how the offering documents can adequately disclose how the "fair value" test is met until the rules are finalised. A number of 2015 non-risk retention compliant deals provided for adjustment to management fees to take into account risk retention compliance/non-compliance. Some managers agreed to reduce management fees if they cannot effectively refinance deals to comply with risk retention whilst others have built in mechanisms to increase fees once deals become compliant. Furthermore, certain financial institutions, such as Natixis and Jefferies, and investment advisory firms, such as Eagle Point, announced vertical strip financing options and certain Japanese banks have also expressed interest in vertical strip financing arrangements.

Investors became more and more vocal as 2015 progressed, demanding more information about manager's risk retention plans, and concrete evidence of steps being taken to comply with risk retention, before investing. With average AAA pricing at year-end being around the LIBOR plus 150-160bps mark, investors are understandably looking ahead to see how, and at what sort of pricing levels, a re-pricing or re-financing can be accomplished after the expiry of the non-call period.

US CLOs – What's in store for 2016?Market participants are predicting a further contraction in 2016 with issuance levels estimated to be in the range of US$60bn to US$80bn. Expectations that interest rates will continue to

increase is predicted to have a knock-on effect by squeezing the IRR for equity investors and further dampening appetite for CLO equity from investors such as hedge funds.

Further manager consolidation and the formation of strategic partnerships between managers and investors, such as pension funds and insurance companies, are expected in 2016. As mentioned previously, there were a number of high profile tie-ups towards the end of the year, including Conning (owned by Cathay Financial) acquiring an interest in Octagon, Sankaty purchasing Regiment's CLO business and Rothschild's purchase of West Gate Horizons. Debut entrant Maranon announced thatit had a strategic relationship with Security Benefit, and Kramer van Kirk entered into a strategic alliance with Public Pension Capital. Of course, a number of managers already have existing insurance company affiliates, including Babson, who is affiliated with Mass Mutual; New York Life Investment Management, who is part of New York Life Insurance; Prudential; Axa; AEGON and 4086 Investment Advisers, to name a few. Pundits at the December Opal CLO Conference predict a contraction of the current US CLO manager universe from over 130 current managers to around 70, citing the cost of complying with riskretention as the main reason. We think that this is overly pessimistic as many managers have well-developed risk retention strategies in place, new risk retention offerings are being developed and there is still considerable interest in the CLO market from new players. We are aware of three new debut managers in our CLO pipeline alone.

That said, January and February have reported incredibly low issuance levels so far and the market remains subdued, reflecting market concerns over under-performing returns comparative to other asset classes as well as over-exposure to certain credits.

Notwithstanding some of the less optimistic noises in the market, the Maples Global CLO Team is looking forward to another innovative year with all of our great clients, friends and fellow stakeholders in the CLO industry, and we wish you all the best for a happy, healthy and successful 2016.

For further details, please contact:

Mark Matthews+1 345 814 [email protected]


What's happening in Europe?


2015 in ReviewAt the beginning of 2015 market commentators were predicting a total annual issuance of €15bn to €20bn in European CLOs.

The European CLO market had a strong performance in the first half of 2015 with €7.56bn worth of issuance from 19 deals, which was up on €6.92bn from 16 deals during the same period in 2014. The second quarter of 2015 was the strongest quarter for European CLO transactions since the last quarter of 2007, reflecting increased confidence in the market.

Traditionally, issuance activity will tend to slow down during the summer months in Europe. This was evidenced by only four European CLO transactions launching during July and August. However, the macro economic conditions in Europe arising from the uncertainty surrounding Greece's debt problems, the Volkswagen CO2 scandal and falling oil prices prolonged the slowdown and resulted in reduced activity in the second half of 2015. This offset the strong performance in the first half of the year and, as a consequence, a total issuance of €14.2bn from 33 deals was slightly down on the €14.5bn from 35 deals in 2014.

Despite the apparent lack of growth, there are positives to be taken from the performance of the European CLO market in 2015. Twenty-four managers were involved in bringing the 33 deals to the market. Of these, 11 were new entrants to the CLO 2.0 market, including Spire Partners, Tikehau Capital, Guggenheim, Oak Hill and Black Diamond. 2015 also saw the return of several managers who had not been active in the European CLO market in 2014, including CQS Investment Management Ltd and Credit Suisse Asset Management Ltd. Furthermore, additional managers are expected to make their European CLO debuts in the near future with a number of large US managers, such as Highbridge Principal Strategies, Hermes Investment Management and Och Ziff, having made strategic hires in 2015 with a view to establishing European CLO operations. Ireland once again proved to be the issuer jurisdiction of choice for European CLOs with 64% market share (21 out of 33 CLOs in 2015 used an Irish SPV, with all remaining transactions using Dutch incorporated issuers).

For a complete list of the H2 2015 priced European CLOs, see Appendix 2.

European CLOs – What's in store for 2016?

Notwithstanding the uncertainty which exists in predicting market performance in 2016, especially taking into account the numerous factors that can impact the European CLO market, including changes to regulation, investor appetite and loan supply, as well as potential global economic influences, at the start of the year many market commentators and participants were again predicting an annual issuance of €15 to €20bn. While this indicated minimal growth in the European CLO market year-on-year, it was to be a more positive outlook in the short term than the performance expectations of the US CLO market, where commentators are predicting a contraction in total issuance in 2016 vis-à-vis its historical performance.

Other positive factors that could point to the potential for growth in the European CLO market include:

• Increased spreads – AAA spreads for European CLOs reached 150 bps in late 2015, bringing them up to the level available on US CLO transactions which may provide for increased demand in Europe.• New investors – In late 2015 one large Japanese institution invested in a European CLO. The favourable euro-yen exchange rate and the performance of European economies may give rise to an increased Japanese demand for European CLO paper which can be tapped by European CLO managers. In addition, the implementation of US risk retention in 2016 may reduce the number of US issuers and potentially result in investors looking to the European CLO market for any shortfall.• Yet further new managers – As referred to previously, 2015 saw a host of new managers entering the European CLO market, many of whom were established US CLO managers looking to build out their global CLO platform and, according to market reports, a number of other large US managers are looking to follow suit.

However, while reports of a healthy pipeline in European CLOs abound, the volatility of the market conditions has led to managers having difficulty in pricing their deals and as such has given rise to a slow start for 2016.

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2015 in ReviewAt the beginning of 2015 market commentators were predicting a total annual issuance of €15bn to €20bn in European CLOs.

The European CLO market had a strong performance in the first half of 2015 with €7.56bn worth of issuance from 19 deals, which was up on €6.92bn from 16 deals during the same period in 2014. The second quarter of 2015 was the strongest quarter for European CLO transactions since the last quarter of 2007, reflecting increased confidence in the market.

Traditionally, issuance activity will tend to slow down during the summer months in Europe. This was evidenced by only four European CLO transactions launching during July and August. However, the macro economic conditions in Europe arising from the uncertainty surrounding Greece's debt problems, the Volkswagen CO2 scandal and falling oil prices prolonged the slowdown and resulted in reduced activity in the second half of 2015. This offset the strong performance in the first half of the year and, as a consequence, a total issuance of €14.2bn from 33 deals was slightly down on the €14.5bn from 35 deals in 2014.

Despite the apparent lack of growth, there are positives to be taken from the performance of the European CLO market in 2015. Twenty-four managers were involved in bringing the 33 deals to the market. Of these, 11 were new entrants to the CLO 2.0 market, including Spire Partners, Tikehau Capital, Guggenheim, Oak Hill and Black Diamond. 2015 also saw the return of several managers who had not been active in the European CLO market in 2014, including CQS Investment Management Ltd and Credit Suisse Asset Management Ltd. Furthermore, additional managers are expected to make their European CLO debuts in the near future with a number of large US managers, such as Highbridge Principal Strategies, Hermes Investment Management and Och Ziff, having made strategic hires in 2015 with a view to establishing European CLO operations. Ireland once again proved to be the issuer jurisdiction of choice for European CLOs with 64% market share (21 out of 33 CLOs in 2015 used an Irish SPV, with all remaining transactions using Dutch incorporated issuers).

For a complete list of the H2 2015 priced European CLOs, see Appendix 2.

European CLOs – What's in store for 2016?

Notwithstanding the uncertainty which exists in predicting market performance in 2016, especially taking into account the numerous factors that can impact the European CLO market, including changes to regulation, investor appetite and loan supply, as well as potential global economic influences, at the start of the year many market commentators and participants were again predicting an annual issuance of €15 to €20bn. While this indicated minimal growth in the European CLO market year-on-year, it was to be a more positive outlook in the short term than the performance expectations of the US CLO market, where commentators are predicting a contraction in total issuance in 2016 vis-à-vis its historical performance.

Other positive factors that could point to the potential for growth in the European CLO market include:

• Increased spreads – AAA spreads for European CLOs reached 150 bps in late 2015, bringing them up to the level available on US CLO transactions which may provide for increased demand in Europe.• New investors – In late 2015 one large Japanese institution invested in a European CLO. The favourable euro-yen exchange rate and the performance of European economies may give rise to an increased Japanese demand for European CLO paper which can be tapped by European CLO managers. In addition, the implementation of US risk retention in 2016 may reduce the number of US issuers and potentially result in investors looking to the European CLO market for any shortfall.• Yet further new managers – As referred to previously, 2015 saw a host of new managers entering the European CLO market, many of whom were established US CLO managers looking to build out their global CLO platform and, according to market reports, a number of other large US managers are looking to follow suit.

However, while reports of a healthy pipeline in European CLOs abound, the volatility of the market conditions has led to managers having difficulty in pricing their deals and as such has given rise to a slow start for 2016.


Another New Risk Retention Regime!

The major regulatory development in Europe during 2015 was the proposal for a securitisation regulation (the "Regulation"). From leaked drafts in the summer, to the official draft of the EU Commission released on 30 September 2015, and the multiple compromise proposals of the EU Council through the autumn, the market has been kept busy trying to secure the best possible outcome for the European CLO sector.

Overall, while CLOs will not qualify as simple, transparent and standardised securitisations (which are subject to lower capital charges for EU institutional investors) the evolution of the Regulation through this process to date has been positive for the market (as well as the Regulation itself). Most notably, all of the risk retention requirements applicable to different EU institutional investors will be consolidated in this Regulation, which will be a single "direct application" regime where the sponsor, originator or original lender is established in the EU (aligning Europe with the approach being taken in the US). Importantly for originator structures, the current drafting has been welcomed by the market as facilitating both capitalised manager vehicle and business development company originators provided such risk retention vehicles meet the substance requirements set forth in the Regulation. Notwithstanding the positives in the Regulation, a number of proposed changes will take the market time to assimilate as participants develop new practices and get to grips with new requirements. For example, risk retainers (and particularly originator retainers) will need to apply resources to comply with the Council's proposals on credit granting criteria (if retained in the final text). We hope and expect that the Regulation will be the last significant piece of legislation to impact the CLO sector in Europe for some time. Once in place, the Regulation should provide stability and certainty to the CLO market which will make for a positive change following an extended period of uncertainty and flux over the last few years. In terms of timing for the Regulation itself, we understand that the proposed implementation date has been earmarked by the EU legislature. Current estimates are for the Regulation to be finalised in Q2 2016 and to come into operation sometime in 2017.


Nollaig Murphy+353 1 619 [email protected]

Stephen McLoughlin+353 1 619 2736 [email protected]

Irish Listings Update

During the second six months of 2015, 107 CLOs (US and European), comprising both new issuances and re-financings, were listed on the Irish Stock Exchange ("ISE"). Of these listings, 90 were by Cayman Islands issuers, accounting for 84% of CLO listings. Of the 16 issuers that had European domiciles, nine were Irish and seven were Dutch. Maples and Calder's Dublin office listed 49.5% of all ISE-listed CLOs and 54.5% of all Cayman Islands issuers listing on the ISE.

For the year in total, 248 CLOs (US and European) listed on the ISE. 203 of these were Cayman Islands issuers (82%), 22 Irish issuers (9%), 14 Dutch issuers (5.5%), and nine Delaware issuers (3.5%). Maples and Calder's Dublin office listed 49% of all ISE-listed CLOs and 55.5% of all Cayman Islands issuers listing on the ISE.

Over the year, 82% of CLOs opted to list on the Global Exchange Market rather than on the Main Securities Market. In the case of Cayman Islands issuers, this increased to 91% opting to list on the Global Exchange Market. More than 60% of the European CLOs sought listings on the Main Securities Market.


Ciaran Cotter+353 1 619 2033 [email protected]

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A Stichting is not something that has been sewn; it is a Dutch foundation. Stichtings are most commonly used in structured finance or other transactions as charitable trusts are used elsewhere, predominantly to orphan vehicles for bankruptcy remoteness. The foundation has been used for hundreds of years, typically by Dutch charities; however, it has become ever more popular over the last 20 years. According to the Netherlands company register, more than 125,000 Stichtings are registered in the jurisdiction.

A key attribute of a Stichting is that it does not have a legal owner. Stichtings are separate legal entities, incorporated through a notarised deed that contains the articles of the foundation. Additionally, a Stichting has no members, shareholders or authorised share capital. Rather it is governed by a board of directors who are responsible for the foundation's administration. Furthermore, no government authority is involved in the creation or authorisation of a Stichting (it acquires full legal capacity solely through its creation) and there is no minimum number of directors.

A Stichting can be used for charitable purposes, estate planning purposes, orphan structures (whose sole purpose is the holding of shares) or as a fiduciary to effect a split between financial and legal ownership for asset protection or control purposes. The foundation will in that case be a Stichting Administratiekantoor ("STAK"). A STAK acts as sole shareholder in the underlying companies and is entitled to vote in the shareholders' meetings. Persons holding the depository receipts of the shares issued by the STAK have economic ownership, which entitles them to the distribution made on the shares.

The lifespan of a Stichting can last from generations to just a few months. The board of the Stichting has the power to determine when a Stitching is no longer necessary, authorising its dissolution and, in some cases, allowing the assets or proceeds to return to the original owners.

There are many advantages to using a Stichting structure. A Stichting is easy to set up and is incorporated by means of the execution of a notarial deed of incorporation before a Dutch civil law notary. A Stichting or STAK must be registered with the Dutch trade register; however, there are no annual accounts or public filings other than the articles of association. The only mandatory corporate body is its board. Furthermore, Stichtings are rarely subject to Dutch taxation. Like other investment income, dividends from Stichtings are typically taxed in the recipient's home country. Finally, the assets of a Stichting can be handed down for generations without paying inheritance taxes, making it an interesting vehicle for private wealth clients.

Stichtings have a proven track record before the courts in providing legal protections and preserving assets. The form of foundation is a tested and proven vehicle for estate planning and asset protection purposes. With Maples Fiduciary's Dutch office now firmly established in the region, we are able to service Stichtings through the lifecycle of the foundation.

For more information, please contact:

Jan Hendrik Siemssen +31 20 808 1081 [email protected]

Netherlands: The Rise of the Stichting

Responding to strong client demand, Maples Fiduciary opened a full-service office in the Netherlands in mid-2015 – completing the Maples group's European CLO service offering and reinforcing its commitment to providing comprehensive legal and fiduciary services to the global CLO market. Jan Hendrik Siemssen, Senior Vice President, is leading the Amsterdam office and takes a closer look at the increasingly popular Stichting holding foundation.

Maples Global CLO Services

US CLOs with Cayman Islands issuer: 2014 advisors

Comprehensive and integrated CLO services in the Cayman

Islands, Delaware, Ireland and the Netherlands

Long-established, with market-leading technical and regulatory expertise

CaymanIslands

London

MontrealNew York

Boston

DelawareSan Francisco Dubai Hong Kong

Singapore

MAPLES AND CALDERMAPLESFS

Dublin

British Virgin Islands

LuxembourgNetherlands

CLO services

Cayman and Irish

Legal

Affiliated trade review

FiduciaryCaymanand Irish listings

MAPLES

15 CLO Lawyers

21CLO Fiduciary Professionals

Cayman Islands

5 CLO Fiduciary Professionals 2 CLO Fiduciary

Professionals

Delaware7 CLO Lawyers

10CLO FiduciaryProfessionals

Dublin Netherlands

Unparalleled depth of bench

OTHERS

Unrivalled expertise and market share

of managers acted for in the global market

Structured finance vehicles administered

Leading counsel to issuers in global league tables

Acted forall arrangersglobally

LARGESToffshore funds

practice

CLO SPECIALISTS

US ANDEUROPEAN

CLO SERVICEPROVIDER

80% 6K

60+

Leaders inFATCA/CRS

Specialist advisors on

CLO/CDOs since 1998


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Maples Global CLO and Risk Retention Services

MAPLES AND CALDERMAPLESFS

The Maples group has broad experience of working on a variety of risk retention ("RR") structures, including majority owned affiliates ("MOAs"), capitalised manager vehicles ("CMVs"), capitalised majority owned affiliates ("C-MOAs"), CLO RR funds and CLO funds set up for RR lending.

Global RR services for MOAs, CMVs, hybrid RR structures such as C-MOAs, originator vehicles and blocker entities

Dublin

Our services

London

New YorkDubai Hong Kong

Singapore

NETHERLANDS

Fiduciary Services• Director and administrator services for European CLO issuers• Conflict review services• Share trustee through STAK

Types of Entities• Companies, partnerships and STAKs

CAYMAN ISLANDS

Fiduciary Services• Director, administrator and share trustee services for US CLO issuers, Cayman co-issuers and Cayman Islands blockers• Specialist fund directors and/or CLO directors for RR vehicles, whether on whole board or mixed board with manager• Conflict review services

Legal Services• Experienced finance and funds lawyers for your CLOs, MOAs, CMVs, C-MOAs, credit funds and special purpose RR lending funds

Types of Entities• Companies, partnerships, trusts and segregated portfolio companies• LLCs - a new form limited liability company expected to be available in H1 2016

DUBLIN

Fiduciary Services• Director, administrator and share trustee services for EU CLO issuers• Specialist fund directors and/or CLO directors for RR vehicles including EU originators, whether on whole board or mixed board with manager • Conflict review services

Legal Services• Experienced finance and funds lawyers for your CLOs, Irish RR vehicles, credit funds and special purpose RR lending funds

Types of Entities• S.110 and other companies, partnerships and trusts

CaymanIslands

DELAWARE

Fiduciary Services• Independent manager/director to US CLO issuers and co-issuers, special purpose RR lending funds and Delaware registered MOAs, CMVs and C-MOAs• Delaware vehicles and Delaware blockers • Registered agent for all Delaware LLCs and series LLCs

Delaware

British Virgin Islands

NetherlandsLuxembourg

BostonMontreal

San Francisco

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The Common Reporting Standard: A Quick Guide for CLO PractitionersThe OECD Common Reporting Standard ("CRS") was implemented by local regulations in the Cayman Islands on 16 October 2015 and became effective on 1 January 2016. The CRS is the OECD initiative for the global automatic exchange of information for tax purposes. The Maples group held a roundtable call with representatives from all US CLO trustees in November 2015 to discuss the CRS requirements for Cayman Islands CLOs. We continue to work with onshore counsel to ensure the indenture and other deal documents provide for compliance with FATCA and the CRS.

Cayman Islands CLOs in Scope

Post-January 2013 CLOs will be Reporting Financial Institutions ("FIs") under the CRS. "Old and Cold" CLOs may be exempt following the confirmation recently provided by the Cayman Islands Tax Information Authority ("TIA") that Cayman Islands limited life debt investment entities ("LLDIE") will be designated as "Non-Reporting Financial Institutions" and exempt from the due diligence and reporting obligations of the CRS as well as FATCA. (The LLDIE exemption is available to CLO issuers that issued notes on or before 17 January 2013. The CLO is also required to satisfy certain other tests, including the requirement that substantially all of its assets consist of debt instruments or interests therein.)

Key Facts

• No registration: There is no requirement to register with any foreign tax authority or to obtain any global identification number (such as a GIIN).• No withholding: While Cayman Islands law imposes penalties for non-compliance, the CRS does not impose a punitive withholding tax regime.• Participating jurisdictions: The TIA has published a list of 95 CRS Participating Jurisdictions. Importantly, the US has not agreed to adopt the CRS, instead continuing to rely on FATCA and its existing network of IGAs. The US is therefore a Non-Participating Jurisdiction for the CRS (see "Self-Certification Forms" section).

• US and UK FATCA: US FATCA continues to apply as before. UK FATCA will be phased out by 2017. For the 2016 reporting year there will be overlap between the CRS and UK FATCA. In order to comply with both regimes, in 2017 Cayman Islands Reporting FIs will need to file returns under the CRS, supplemented by information to satisfy the UK IGA requirements.

Key Obligations for Cayman CLOs

• Due diligence: Cayman Islands CLOs must implement due diligence procedures to determine the tax residency of all existing and new noteholders (see "Self-Certification Forms" below). Pre-existing noteholders are those on 31 December 2015 and new noteholders are those investing on or after 1 January 2016. o Due diligence procedures for high value pre-existing individual noteholders must be completed by 31 December 2016. o Due diligence procedures for lower value pre-existing individual noteholders and for entity noteholders must be completed by 31 December 2017.• Reporting: The first reporting date deadline to the TIA in respect of the CRS is expected to be 31 May 2017.• LLDIEs: Cayman Islands CLOs seeking to rely on the LLDIE exemption will be required to provide an annual notification of such designation to the TIA.

Self-Certification Forms

The TIA has published new entity and individual self-certification forms. These forms are intended to capture the investor information necessary for US FATCA, UK FATCA and the CRS. However, it is important to note that the use of these forms is not obligatory and Cayman Islands CLOs may choose to use extracts or modified versions of the TIA forms. As Cayman Islands CLOs generally have US reporting requirements or US counterparties, they may continue to use W8 and W9 forms for US FATCA purposes together with UK FATCA/CRS specific self-certification forms.

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The OECD Common Reporting Standard ("CRS") was implemented by local regulations in the Cayman Islands on 16 October 2015 and became effective on 1 January 2016. The CRS is the OECD initiative for the global automatic exchange of information for tax purposes. The Maples group held a roundtable call with representatives from all US CLO trustees in November 2015 to discuss the CRS requirements for Cayman Islands CLOs. We continue to work with onshore counsel to ensure the indenture and other deal documents provide for compliance with FATCA and the CRS.

Cayman Islands CLOs in Scope

Post-January 2013 CLOs will be Reporting Financial Institutions ("FIs") under the CRS. "Old and Cold" CLOs may be exempt following the confirmation recently provided by the Cayman Islands Tax Information Authority ("TIA") that Cayman Islands limited life debt investment entities ("LLDIE") will be designated as "Non-Reporting Financial Institutions" and exempt from the due diligence and reporting obligations of the CRS as well as FATCA. (The LLDIE exemption is available to CLO issuers that issued notes on or before 17 January 2013. The CLO is also required to satisfy certain other tests, including the requirement that substantially all of its assets consist of debt instruments or interests therein.)

Key Facts

• No registration: There is no requirement to register with any foreign tax authority or to obtain any global identification number (such as a GIIN).• No withholding: While Cayman Islands law imposes penalties for non-compliance, the CRS does not impose a punitive withholding tax regime.• Participating jurisdictions: The TIA has published a list of 95 CRS Participating Jurisdictions. Importantly, the US has not agreed to adopt the CRS, instead continuing to rely on FATCA and its existing network of IGAs. The US is therefore a Non-Participating Jurisdiction for the CRS (see "Self-Certification Forms" section).

• US and UK FATCA: US FATCA continues to apply as before. UK FATCA will be phased out by 2017. For the 2016 reporting year there will be overlap between the CRS and UK FATCA. In order to comply with both regimes, in 2017 Cayman Islands Reporting FIs will need to file returns under the CRS, supplemented by information to satisfy the UK IGA requirements.

Key Obligations for Cayman CLOs

• Due diligence: Cayman Islands CLOs must implement due diligence procedures to determine the tax residency of all existing and new noteholders (see "Self-Certification Forms" below). Pre-existing noteholders are those on 31 December 2015 and new noteholders are those investing on or after 1 January 2016. o Due diligence procedures for high value pre-existing individual noteholders must be completed by 31 December 2016. o Due diligence procedures for lower value pre-existing individual noteholders and for entity noteholders must be completed by 31 December 2017.• Reporting: The first reporting date deadline to the TIA in respect of the CRS is expected to be 31 May 2017.• LLDIEs: Cayman Islands CLOs seeking to rely on the LLDIE exemption will be required to provide an annual notification of such designation to the TIA.

Self-Certification Forms

The TIA has published new entity and individual self-certification forms. These forms are intended to capture the investor information necessary for US FATCA, UK FATCA and the CRS. However, it is important to note that the use of these forms is not obligatory and Cayman Islands CLOs may choose to use extracts or modified versions of the TIA forms. As Cayman Islands CLOs generally have US reporting requirements or US counterparties, they may continue to use W8 and W9 forms for US FATCA purposes together with UK FATCA/CRS specific self-certification forms.

As a result of the US being a Non-Participating Jurisdiction for the CRS, noteholders that are managed by US investment entities must be treated as Passive NFEs for the purposes of the CRS. It is therefore necessary to look through such entities to determine if the Controlling Person(s) is resident in a Participating Jurisdiction (which would make them a Reportable Account).

Further Updates

It is anticipated that the Cayman Islands government will issue further legislation in Q1 2016 that will contain the enforcement powers of the TIA and related penalty provisions for failure to comply with the CRS. It is also anticipated that guidance notes will be issued in Q1 2016. However, such guidance notes will be limited to practical aspects of the CRS that are specific to the Cayman Islands. The TIA has made it clear that CRS issues are primarily addressed in the OECD CRS Commentary and Frequently Asked Questions, which can be found on the OECD's Automatic Exchange Portal.



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Maples Fiduciary: Conflict Review Services

CLO issuer directors are frequently approached by US managers who, in order to meet managers' onshore regulatory requirements, require prior client consent for the execution of trades between co-managed funds.

In the US, transactions involving the sale and purchase of assets between co-managed accounts, commonly referred to as 'principal trades', 'agency cross transactions' or 'affiliated trades', are restricted transactions under Section 206(3) of the Investment Advisers Act of 1940. Accordingly, US managers, as registered investment advisers, must evidence that the affected trades are disclosed and consented to by the clients in advance of the settlement.

Maples Fiduciary, which provides directors for CLO issuers, is familiar with the types of trades caught by this regulation and regularly provides the conflict review services necessary to ensure compliance with regulatory requirements and internal policies. We view this as an integral service provided in the usual course of our fiduciary services. The process typically involves a letter being provided by the manager to the CLO issuer detailing the trade, the price, attaching supporting independent evidence of the price (e.g. Markit reports) and a request for countersignature by the directors to show their consent if the board determines to approve the cross trade.

For managers who wish to put in place a more comprehensive trade approval system across all their CLOs and investment funds or for higher volume trade approvals, Maples Fiduciary provides a supporting offering through a dedicated Conflicts Advisory Review Services team (the "CARS Team"). The CARS Team, comprised of specialist staff with the relevant technical and operational background, are able to promptly review and approve affected trades allowing managers to comply with their requirements in a timely manner. The CARS Team liaise directly with the manager to understand the types of trades impacted, the scope of conflict review service required and the appropriate documentation and support required to effectively review and clear the conflict. The CARS Team offers a turn-key solution, using dedicated and appropriately skilled professionals to ensure an independent and highly responsive service tailor-suited to our clients' needs.

In most cases, the CLO issuer director approval of cross trades is a complementary conflict review service. More bespoke affiliated trade approvals across a managers fund platform and/or high-volume requests are priced upon request.

For more information or to discuss specific needs, please contact:

Guy Major+1 345 814 [email protected]

Wendy Ebanks+1 345 814 [email protected]

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Your Global CLO Team - a CLOser Look

We are including a short and informative bio for two members of our global CLO team so you can get to know the team a little better. In this edition, we introduce you to Alasdair Robertson from Maples and Calder in the Cayman Islands and James Lawler from Maples Fiduciary in Delaware.

James Lawler Senior Vice President – Maples Fiduciary I joined Maples Fiduciary's Delaware office in late 2015 and will be providing independent directorship services to companies in the investment funds space as well as to structured finance vehicles, including CLO issuers, with an additional focus on product and client development. I have nearly 30 years' experience in institutional trust and corporate services having worked with several well-known trust companies, gaining significant hands on experience in all aspects of corporate trust, agency and special purpose administration. In the role of client development, I look forward to building relationships with new clients, as well as expanding our relationships with existing clients, while supporting the continued growth of our fiduciary business in the US. Prior to joining Maples Fiduciary, I spent over 20 years at Wilmington Trust Company, where I was engaged in all aspects of their business. My time there allowed me to grow and expand my knowledge base as the company also grew and expanded, gaining experience with numerous financial structures and corporate services offered domestically and internationally. My time at Wilmington Trust Company also lead me to Nevada to open the firm's Las Vegas office, as well as to participate in its overseas expansion to the Cayman Islands and London. I gained additional experience working with Wells Fargo in Delaware, BNY Mellon and Delaware Trust Company; all focusing on structured products and relationship management.

Growing up in a family that moved fairly frequently, I am happy to have put down roots for much of my adult life just outside of Wilmington, Delaware. It is a wonderful place to raise a family and is conveniently located along the East Coast of the US; being close to the Jersey Shore, New York and Washington DC. As my career has me traveling often, I must admit to being somewhat compulsive about going to the gym in order to unwind and stay fit.

Alasdair RobertsonGlobal Managing Partner - Maples and Calder

Having served as the Global Head of the Finance group at Maples and Calder for four years, I have now passed the baton to Mark Matthews as I have recently been elected as the firm's Global Managing Partner. I have many years of experience in the CLO/structured finance market having worked on some of the very first structures back in 2001 when I returned to the Cayman Islands. As a summer student with the firm I worked on Asia's first MBS deal (Dragon MBS), which indirectly is why I ended up in the structured finance world! I serve as the president of the Cayman Islands Law Society and Chairman of MaplesFS. Before life at Maples I spent my university years in Edinburgh, Scotland. I subsequently trained and worked at Clifford Chance in London and Hong Kong until 1999 and, following a stint at Maples and Calder in Hong Kong, moved back to the Cayman Islands in 2001.

One thing that nobody knows about me is that I was an officer in the Gurkhas before I became a lawyer. As a Scotsman, I am an avid rugby supporter and golfer. I also know a little bit about whisky! To keep me sane, I have trained as a rugby referee and regularly officiate at games, including for international matches in the Caribbean. To maintain necessary fitness levels I regularly go to CrossFit. In November last year, I participated in Movember, which I fully support, and which explains the photograph to the right! I promise that the 'tache came off promptly on 1 December!

+1 345 814 5345 [email protected]

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James Lawler Senior Vice President – Maples Fiduciary I joined Maples Fiduciary's Delaware office in late 2015 and will be providing independent directorship services to companies in the investment funds space as well as to structured finance vehicles, including CLO issuers, with an additional focus on product and client development. I have nearly 30 years' experience in institutional trust and corporate services having worked with several well-known trust companies, gaining significant hands on experience in all aspects of corporate trust, agency and special purpose administration. In the role of client development, I look forward to building relationships with new clients, as well as expanding our relationships with existing clients, while supporting the continued growth of our fiduciary business in the US. Prior to joining Maples Fiduciary, I spent over 20 years at Wilmington Trust Company, where I was engaged in all aspects of their business. My time there allowed me to grow and expand my knowledge base as the company also grew and expanded, gaining experience with numerous financial structures and corporate services offered domestically and internationally. My time at Wilmington Trust Company also lead me to Nevada to open the firm's Las Vegas office, as well as to participate in its overseas expansion to the Cayman Islands and London. I gained additional experience working with Wells Fargo in Delaware, BNY Mellon and Delaware Trust Company; all focusing on structured products and relationship management.

Growing up in a family that moved fairly frequently, I am happy to have put down roots for much of my adult life just outside of Wilmington, Delaware. It is a wonderful place to raise a family and is conveniently located along the East Coast of the US; being close to the Jersey Shore, New York and Washington DC. As my career has me traveling often, I must admit to being somewhat compulsive about going to the gym in order to unwind and stay fit.

+1 302 340 [email protected]

Alasdair RobertsonGlobal Managing Partner - Maples and Calder

Having served as the Global Head of the Finance group at Maples and Calder for four years, I have now passed the baton to Mark Matthews as I have recently been elected as the firm's Global Managing Partner. I have many years of experience in the CLO/structured finance market having worked on some of the very first structures back in 2001 when I returned to the Cayman Islands. As a summer student with the firm I worked on Asia's first MBS deal (Dragon MBS), which indirectly is why I ended up in the structured finance world! I serve as the president of the Cayman Islands Law Society and Chairman of MaplesFS. Before life at Maples I spent my university years in Edinburgh, Scotland. I subsequently trained and worked at Clifford Chance in London and Hong Kong until 1999 and, following a stint at Maples and Calder in Hong Kong, moved back to the Cayman Islands in 2001.

One thing that nobody knows about me is that I was an officer in the Gurkhas before I became a lawyer. As a Scotsman, I am an avid rugby supporter and golfer. I also know a little bit about whisky! To keep me sane, I have trained as a rugby referee and regularly officiate at games, including for international matches in the Caribbean. To maintain necessary fitness levels I regularly go to CrossFit. In November last year, I participated in Movember, which I fully support, and which explains the photograph to the right! I promise that the 'tache came off promptly on 1 December!

Forthcoming EventsMembers of the Maples Global CLO Team we will be attending the following industry events duringH1 2016:

ABS Vegas 201628 February - 2 March 2016Aria Resort & CasinoLas Vegas, NV

The 3rd Annual Investors' Conference on European CLOs and Leveraged Loans4 April 2016London Hilton on Park LaneLondon, UK

Creditflux Credit Symposium & Manager Awards4 May 2016Landmark HotelLondon, UK

The 5th Annual Investors' Conference on CLOs and Leveraged Loans16-17 May 2016Grand Hyatt New YorkNew York, NY

Global ABS 201614-16 June 2016Centre Convencions Internacional BarcelonaBarcelona, Spain

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Cayman Islands

Alasdair Robertson+1 345 814 [email protected]

Mark Matthews+1 345 814 [email protected]



John Dykstra+1 345 814 [email protected]

Tina Meigh+1 345 814 [email protected]

Jonathon Meloy+1 345 814 [email protected]

Dublin

Nollaig Murphy+353 1 619 [email protected]

Stephen McLoughlin+353 1 619 [email protected]

Hong Kong

Stacey Overholt+852 3690 [email protected]

London

Jonathan Caulton+44 20 7466 [email protected]

Singapore

Michael Gagie+65 6922 [email protected]

Our CLO team comprises 22 specialist CLO lawyers and 38 specialist CLO fiduciary professionals based in the Cayman Islands, Delaware, Dublin, London and the Netherlands.Throughout our considerable longevity in this space, we have provided our clients with the benefit of our unparalleled depth of knowledge, experience and insight into what we see across the whole structured finance market, from the latest warehousing structures, to the latest regulatory developments and how they impact CLOs, to ongoing post-closing CLO issues.

For further information, please speak with your usual Maples and Calder or Maples Fiduciary contact, or the following primary CLO contacts:

February 2016© MAPLES AND CALDER

This update is intended to provide only general information for clients and professional contacts of Maples and Calder and MaplesFS. It does not purport to be comprehensive or to render legal advice.

Maples and CalderCayman Islands


Andrew Dean+1 345 814 [email protected]

Delaware

Edward L. Truitt Jr.+1 302 338 [email protected]

James Lawler+1 302 340 [email protected]

Dublin

Stephen O’Donnell+353 1 697 [email protected]

Netherlands

Jan Hendrik Siemssen+3 120 808 [email protected]

Maples Fiduciary


16

Appendices

Cayman Islands


Andrew Dean+1 345 814 [email protected]

Delaware

Edward L. Truitt Jr.+1 302 338 [email protected]

James Lawler+1 302 340 [email protected]

Dublin

Stephen O’Donnell+353 1 697 [email protected]

Netherlands

Jan Hendrik Siemssen+3 120 808 [email protected]

Appendix 1 - US CLOs Priced H2 2015

US CLO Pricing Q4

30/12/1522/12/1522/12/1517/12/1516/12/1515/12/1514/12/1511/12/1511/12/1511/12/1508/12/1508/12/1507/12/1503/12/1503/12/1502/12/1530/11/1523/11/1520/11/1520/11/1520/11/1517/11/1513/11/1510/11/1506/11/1506/11/1530/10/1530/10/1530/10/1530/10/1529/10/1526/10/1523/10/1523/10/1521/10/1520/10/1516/10/1515/10/1514/10/1508/10/1507/10/1506/10/15

Palmer Square 2016-1Venture XXII CLOALM XVII CLOOaktree EIF I Series A1Maranon Loan Funding 2015-1Webster Park CLOSymphony Credit Opportunities Fund-2 BlueMountain CLO 2015-4Anchorage Credit Funding 2CGMS CLO 2015-5OHA Credit Partners XIISound Point CLO XOZLM XIV CLOMagnetite XVIApidos CLO XXIIIMadison Park Funding XIXBean Creek CLOKKR CLO 13Ares XXXVIIIJamestown CLO VIII5180-2 CLOAvery Point VII AMMC CLO-17Carlyle Global Market Strategies 2015-4Galaxy XXIAIMCO 2015-ACIFC Funding 2015-VNeuberger Berman CLO XX Cole Park CLOHighbridge Loan Management 7-2015Benefit Street Partners CLO VIIIFDF I LimitedCathedral Lake CLO IIIOHA Credit Partners XICerberus ICQ Levered CLO 2015-1Magnetite XVGolub CLO 26 (B)LCM XXICG US CLO 2015-2, LTDAtrium XII CLOOCP 2015-10Eaton Vance CLO 2015-1

J.P. MorganJefferies Wells FargoMitsubishi UFJ CitigroupCitigroupBNP ParibasBank of AmericaGoldman SachsCitigroupGoldman SachsMorgan StanleyDeutsche BankCredit SuisseCitigroupCitigroupJ.P. MorganMorgan StanleyBank of AmericaMizuhoCitigroupJ.P. MorganMitsubishi UFJ CitigroupBarclays CapitalGoldman SachsCredit SuisseMorgan StanleyDeutsche BankBNP ParibasCitigroupGuggenheimJefferies Wells FargoNatixisGreensLedge J.P. MorganBank of AmericaMorgan StanleyCredit SuisseBank of AmericaWells Fargo

Palmer Square Capital ManagementMJX Asset ManagementApollo Credit ManagementOaktree Capital ManagementMaranon CapitalGSO/Blackstone Debt Funds ManagementSymphony Asset ManagementBlueMountain Capital ManagementGreensledge Capital MarketsCarlyle Investment ManagementOak Hill AdvisorsSound Point Capital ManagementOch-Ziff Loan ManagementBlackRock CVC Credit PartnersCredit Suisse Asset Management40/86 Advisors - CreeksourceKKR Financial AdvisorsAres Management3i Debt ManagementGuggenheim Sankaty AdvisorsAmerican Money ManagementCarlyle Investment ManagementPineBridge InvestmentsAllstate Investment Management CompanyCIFC Asset ManagementNeuberger BermanGSO/Blackstone Debt Funds ManagementHighbridge Principal StrategiesBenefit Street Partners Fortress Investment GroupCarlson CapitalOak Hill AdvisorsCerberus Capital ManagementBlackRock Golub Capital LCM Asset ManagementIntermediate Capital Group Credit Suisse Asset ManagementOnex Credit PartnersEaton Vance Management

DATE ISSUER ARRANGER MANAGER

Appendix 1

US CLO Pricing Q3

30/09/1530/09/1530/09/1529/09/1525/09/1524/09/1517/09/1516/09/1516/09/1514/09/1503/09/1501/09/1501/09/1528/08/1526/08/1521/08/1520/08/1519/08/1514/08/1514/08/1511/08/1507/08/1506/08/1505/08/1504/08/1531/07/1531/07/1529/07/1529/07/1527/07/1523/07/1523/07/1523/07/1520/07/1517/07/1515/07/1510/07/1508/07/1506/07/1502/07/1501/07/15

Community Funding CLOOctagon Investment Partners 25Ares XXXVIIFortress Credit BSL IIIJFIN CLO 2015-2Wind River 2015-2 CLODryden 41 Senior Loan FundAres XXXVApidos CLO XXIIBenefit Street Partners CLO INewstar Commercial Loan Funding 2015-2Fifth Street Senior Loan Fund 2015-2York CLO 2Voya CLO 2015-3Wellfleet CLO 2015-1Shackleton 2015-VIII CLOBlueMountain 2015-3Recette CLO 2015-1CIFC Funding 2015-IVAnchorage Capital CLO 7Madison Park Funding XVIIICent CLO 24OHA Credit Partners VIOaktree CLO 2015-1Loomis Sayles CLO IIMountain View CLO XACAS CLO 2015-2ALM VAres XXXIV CLO Golub Capital Partners 25Cumberland Park US CLOBabson 2015-2Halcyon Loan Advisors Funding 2015-3Great Lakes 2015-1OZLM Funding ALM XVIKKR CLO 12Battalion CLO IXVibrant CLODryden 40 Senior Loan FundSymphony CLO XVI

CitigroupMorgan StanleyGoldman SachsMitsubishi UFJJefferiesDeutsche BankCitigroupDeutsche BankBank of AmericaCitigroupWells Fargo/Capital OneNatixisCredit SuisseCitigroupMorgan StanleyJ.P. MorganCredit SuisseBank of AmericaCitigroupMorgan StanleyMorgan StanleyGoldman SachsMorgan StanleyBank of AmericaJ.P. MorganMorgan StanleyWells FargoMitsubishi UFJBarclays CapitalWells FargoCredit SuisseBank of AmericaCitigroupDeutsche BankMorgan StanleyJ.P. Morgan/ CitigroupBNP ParibasRBCCitigroupWells FargoBank of America

StoneCastle PartnersOctagon Credit InvestorsApollo Credit ManagementFortress Investment GroupApex Credit PartnersTHL Credit AdvisorsPrudential Investment ManagementAres CLO ManagementCVC Credit PartnersBenefit Street PartnersNewStar FinancialFifth Street ManagementYork CLO Managed HoldingsVoya Alternative Asset ManagementWellfleet Credit PartnersAlcentraBlueMountain Capital ManagementInvesco Senior Secured ManagementCIFC Asset ManagementAnchorage Capital GroupCredit Suisse Asset ManagementColumbia Management Investment AdvisersOak Hill AdvisorsOaktree Capital ManagementLoomis, Sayles & CompanySeix Investment AdvisorsAmerican Capital CLO ManagementApollo Credit ManagementAres CLO ManagementGolub CapitalGSO/Blackstone Debt Funds ManagementBabson Capital ManagementHalcyon Loan AdvisorsBMO Asset ManagementOch-ZiffApollo Credit ManagementKKR Financial AdvisorsBrigade Capital ManagementDFG Investment AdvisersPrudential Investment ManagementSymphony Asset Management


DATA IN THESE APPENDICES IS DERIVED FROM STRUCTURED CREDIT INVESTOR AND LCD.

Appendix 2 - European CLOs Priced H2 2015

10/12/1504/12/1502/12/1513/11/1506/11/1503/11/1529/10/1515/10/1508/10/1525/09/1530/07/1527/07/1524/07/1510/07/1510/07/15

Newhaven CLO IICarlyle Global Market Strategies Euro CLO 2015-3Tymon ParkALME Loan Funding IVCork Street CLOOak Hill European Credit Partners IVJubilee CLO 2015-XVI Harvest CLO XIVCairn CLO III (refinancing)Avoca CLO XVDryden 39 Euro CLO 2015 BVBabson Euro CLO 2015-1 B.V.Adagio IV CLOCarlyle Global Market Strategies Euro CLO 2015-2Black Diamond 2015-1

Barclays CapitalMorgan StanleyBank of AmericaDeutsche BankCitigroupGoldman SachsJ.P. MorganCitigroupCredit SuisseBarclays CapitalCredit SuisseGoldman SachsJ.P. MorganCitigroupNatixis

Sankaty AdvisorsCELF Advisors (Carlyle)GSO Capital PartnersApollo Credit ManagementGuggenheimOak Hill AdvisorsAlcentra3i Debt Management InvestmentsCairn Loan InvestmentsKKR Credit AdvisorsPramerica Investment ManagementBabson Capital MangementAXA Investment ManagersCELF Advisors (Carlyle)Black Diamond Capital Management


European CLO Pricing H2

DATA IN THESE APPENDICES IS DERIVED FROM STRUCTURED CREDIT INVESTOR AND LCD.

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