Leveraged Loan Monthly -Aug-14
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Transcript of Leveraged Loan Monthly -Aug-14
LEVERAGED LOAN MONTHLYTHOMSON REUTERS LPCAUGUST 2014
Colm DohertyDirector of Analysis [email protected]
Hugo PereiraSenior Market [email protected]
LEVERAGED LENDING GUIDANCE – WHAT DOES IT MEAN?
2
Leveraged Loan Monthly - August 2014
For an in-depth discussion on Leveraged Lending Guidance, join us on our 20th Annual Thomson Reuters LPC Loan and CLO Conference on Sept. 18th. Leveraged lending guidance from a regulatory perspective What is the
difference between a leveraged loan and criticized loan as it relates to LLG?
What has the industry been doing to address leveraged lending guidance?
The SNC review and how it fits or doesn’t fit with the LLG Leveraged lending from a non-bank regulated perspective
How to work together within the confines of the guidance? How is the loan market changing/how might it change in the future due
to the guidance?
For more information e-mail [email protected] or visit www.loanpricing.com/conference2014
Leveraged Loan Monthly - August 2014
3
LEVERAGED LOAN MONTHLYLeveraged Loan Market Overview Slide 4
High Yield Bond Market Overview Slide 23
Investor Overview Slide 33
CLO Market Analysis Slide 41
Loan Fund Flows & Returns Slide 73
U.S. CLO League Tables Slide 65
LEVERAGED LOAN MARKET OVERVIEW
*2014 loan volumes are based on the most recently available data and is subject to updates throughout the quarter.
Leveraged Loan Monthly - August 2014
5
LEVERAGED LOAN ISSUANCEJa
n-06
May
-06
Sep-
06Ja
n-07
May
-07
Sep-
07Ja
n-08
May
-08
Sep-
08Ja
n-09
May
-09
Sep-
09Ja
n-10
May
-10
Sep-
10Ja
n-11
May
-11
Sep-
11Ja
n-12
May
-12
Sep-
12Ja
n-13
May
-13
Sep-
13Ja
n-14
May
-140.0
20.040.060.080.0
100.0120.0140.0160.0
Pro rata Institutional
Leve
rage
d Lo
an Is
suan
ce
($ B
ils.)
U.S. LEVERAGED LOAN ISSUANCE
Leveraged loan issuance has totaled $668 billion through August, down from $797 billion in the same period a year ago.
Pro rata issuance accounts for $305 billion (46%) of leveraged volume. New money volume represents 41% of leveraged issuance.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
6
U.S. INSTITUTIONAL LOAN AND HY BOND ISSUANCE
Jan-
10M
ar-1
0M
ay-1
0Ju
l-10
Sep-
10No
v-10
Jan-
11M
ar-1
1M
ay-1
1Ju
l-11
Sep-
11No
v-11
Jan-
12M
ar-1
2M
ay-1
2Ju
l-12
Sep-
12No
v-12
Jan-
13M
ar-1
3M
ay-1
3Ju
l-13
Sep-
13No
v-13
Jan-
14M
ar-1
4M
ay-1
4Ju
l-140.0
20.0
40.0
60.0
80.0
100.0
120.0HY Bonds Inst. Loans
Issu
ance
($
Bils
.)
U.S. LOAN AND BOND ISSUANCE
Institutional loan volume is at $374 billion this year, down from $454 billion a year ago. High yield bond issuance fell to $3.4 billion in August, bringing the YTD total to $210
billion, up from $207 billion in the same period last year.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
7
U.S. INSTITUTIONAL ISSUANCE: NEW MONEY VS. REFINANCING
Jan-
11M
ar-1
1M
ay-1
1Ju
l-11
Sep-
11No
v-11
Jan-
12M
ar-1
2M
ay-1
2Ju
l-12
Sep-
12No
v-12
Jan-
13M
ar-1
3M
ay-1
3Ju
l-13
Sep-
13No
v-13
Jan-
14M
ar-1
4M
ay-1
4Ju
l-140.0
20.0
40.0
60.0
80.0
100.0
120.0New money Refinancing
Inst
itut
iona
l loa
n is
suan
ce (
$ Bi
ls.)
U.S. INSTITUTIONAL LOAN ISSUANCE
New money institutional issuance totaled $156 billion YTD through August, above the $140 billion seen in the same period last year.
Refinancing activity represents 58% of issuance.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
8
M&A LEVERAGED LOAN ISSUANCEJa
n-12
Feb-
12M
ar-1
2Ap
r-12
May
-12
Jun-
12Ju
l-12
Aug-
12Se
p-12
Oct-1
2No
v-12
Dec-
12Ja
n-13
Feb-
13M
ar-1
3Ap
r-13
May
-13
Jun-
13Ju
l-13
Aug-
13Se
p-13
Oct-1
3No
v-13
Dec-
13Ja
n-14
Feb-
14M
ar-1
4Ap
r-14
May
-14
Jun-
14Ju
l-14
Aug-
14
0.05.0
10.015.020.025.030.035.040.045.0
LBOs Non-LBO
M&
A le
vera
ged
loan
is
suan
ce (
$ Bi
ls.)
U.S. M&A LEVERAGED LOAN ISSUANCE
M&A leveraged loan issuance is at $180 billion YTD, with LBO activity accounting for $65 billion of this volume.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
9
SPONSORED LEVERAGED LOAN ISSUANCE: LBO VS. NON-LBO
Jan-
10M
ar-1
0M
ay-1
0Ju
l-10
Sep-
10No
v-10
Jan-
11M
ar-1
1M
ay-1
1Ju
l-11
Sep-
11No
v-11
Jan-
12M
ar-1
2M
ay-1
2Ju
l-12
Sep-
12No
v-12
Jan-
13M
ar-1
3M
ay-1
3Ju
l-13
Sep-
13No
v-13
Jan-
14M
ar-1
4M
ay-1
4Ju
l-140.0
10.020.030.040.050.060.070.080.090.0
100.0LBO Non-LBO
Spon
sore
d le
vera
ged
loan
is
suan
ce (
$ Bi
ls)
SPONSORED LOAN ISSUANCE: LBO VS. NON-LBO
Sponsored leveraged loan issuance is at $287 billion through August, with the majority ($222 billion) comprised of non-LBO activity.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
10
COVENANT LITE LOAN ISSUANCEJa
n-11
Mar
-11
May
-11
Jul-1
1Se
p-11
Nov-
11Ja
n-12
Mar
-12
May
-12
Jul-1
2Se
p-12
Nov-
12Ja
n-13
Mar
-13
May
-13
Jul-1
3Se
p-13
Nov-
13Ja
n-14
Mar
-14
May
-14
Jul-1
40.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
Cove
nant
-lit
e lo
an is
suan
ce
($
Bils
.)
U.S. COVENANT-LITE LEVERAGED LOAN ISSUANCE
Covenant-lite loan volume has reached $210 billion YTD, down from $261 billion in the same period last year.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
11
COVENANT LITE LOAN ISSUANCE BY PURPOSE
Jan-
11M
ar-1
1M
ay-1
1Ju
l-11
Sep-
11No
v-11
Jan-
12M
ar-1
2M
ay-1
2Ju
l-12
Sep-
12No
v-12
Jan-
13M
ar-1
3M
ay-1
3Ju
l-13
Sep-
13No
v-13
Jan-
14M
ar-1
4M
ay-1
4Ju
l-140.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0Refi & OtherDiv. Recap.M&A/LBO
Cove
nant
-lit
e lo
an is
suan
ce
($
Bils
.)
U.S. COVENANT-LITE LEVERAGED LOAN ISSUANCE
M&A/LBO activity has accounted for 39% of covenant-lite loan volume this year. This is above the full year 2013 figure of 29%.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
12
SECOND-LIEN LOAN VOLUMEJa
n-12
Feb-
12M
ar-1
2Ap
r-12
May
-12
Jun-
12Ju
l-12
Aug-
12Se
p-12
Oct-1
2No
v-12
Dec-
12Ja
n-13
Feb-
13M
ar-1
3Ap
r-13
May
-13
Jun-
13Ju
l-13
Aug-
13Se
p-13
Oct-1
3No
v-13
Dec-
13Ja
n-14
Feb-
14M
ar-1
4Ap
r-14
May
-14
Jun-
14Ju
l-14
Aug-
14
0.0
2.0
4.0
6.0
8.0
10.0
Seco
nd-l
ien
loan
vol
ume
($Bi
ls.)
U.S. SECOND-LIEN LOAN VOLUME
Second-lien loan issuance reached $27 billion through August, a similar level to that posted in the same period a year ago.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
13
MIDDLE MARKET LOAN ISSUANCEJa
n-11
Mar
-11
May
-11
Jul-1
1
Sep-
11
Nov-
11
Jan-
12
Mar
-12
May
-12
Jul-1
2
Sep-
12
Nov-
12
Jan-
13
Mar
-13
May
-13
Jul-1
3
Sep-
13
Nov-
13
Jan-
14
Mar
-14
May
-14
Jul-1
40.0
5.0
10.0
15.0
20.0
25.0
30.0
Trad. MM*
Mid
dle
mar
ket
loan
vo
lum
e ($
Bils
.)
U.S. MIDDLE MARKET LOAN VOLUME
Middle market lending is at $124 billion this year. This is comprised of $99 billion in large middle market volume and $25 billion in traditional middle market issuance.
This is down from the $135 billion recorded in the corresponding period last year.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
*Traditional MM: Deal Size <=$100M, Large MM: Deal Size >$100M to $500M, For all: Borrower Sales <$500M
Leveraged Loan Monthly - August 2014
14
EUROPEAN LEVERAGED LOAN ISSUANCE
Jan-
10M
ar-1
0M
ay-1
0Ju
l-10
Sep-
10No
v-10
Jan-
11M
ar-1
1M
ay-1
1Ju
l-11
Sep-
11No
v-11
Jan-
12M
ar-1
2M
ay-1
2Ju
l-12
Sep-
12No
v-12
Jan-
13M
ar-1
3M
ay-1
3Ju
l-13
Sep-
13No
v-13
Jan-
14M
ar-1
40.0
5.0
10.0
15.0
20.0
25.0
30.0New Money
Issu
ance
($
Bils
.)
EUROPEAN LEVERAGED LOAN ISSUANCE
• European leveraged loan issuance is at $135 billion YTD, similar to the year ago level.
• Refinancings have accounted for 73% of deal flow.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
15
INSTITUTIONAL LOAN PIPELINE
Jan
Jan
Jan
Jan
Feb
Feb
Feb
Feb
Mar
Mar
Mar
Mar
Mar
Apr
Apr
Apr
Apr
May
May
May
May
May
Jun
Jun
Jun
Jun
Jun
Jul
Jul
Jul
Jul
Aug
Aug
Aug
Aug
Aug
Sep
Sep
Sep
Sep
Sep
Oct
Oct
Oct
Oct
Oct
Nov
Nov
Nov
Nov
Dec
Dec
Dec
0.010.020.030.040.050.060.070.080.090.0
2012 2013
Inst
itut
iona
l loa
n pi
pelin
e ($
Bils
.)
U.S. INSTITUTIONAL LOAN PIPELINE
The institutional loan pipeline fell to $26 billion at the end of August. M&A represents 75% of the current pipeline.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
16
PRIMARY MARKET YIELDS1Q
10M
ay-1
0Ju
l-10
Sep-
10No
v-10
Jan-
11M
ar-1
1M
ay-1
1Ju
l-11
Sep-
11No
v-11
Jan-
12M
ar-1
2M
ay-1
2Ju
l-12
Sep-
12No
v-12
Jan-
13M
ar-1
3M
ay-1
3Ju
l-13
Sep-
13No
v-13
Jan-
14M
ar-1
4M
ay-1
4Ju
l-144.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0% Large Corp. Middle Market
Ave
rage
yie
ld
U.S. PRIMARY MARKET INSTITUTIONAL LOAN YIELDS
Large corporate market yields edged lower to an average of 5.29% in August. New issue middle market loan yields widened to 6.18%.
So far in 3Q13, large corporate yields have widened to 5.37%, while middle market loans are at 6.09%
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
17
U.S. SECONDARY MARKET BID LEVELS
01/0
3/11
03/0
3/11
05/0
3/11
07/0
3/11
09/0
3/11
11/0
3/11
01/0
3/12
03/0
3/12
05/0
3/12
07/0
3/12
09/0
3/12
11/0
3/12
01/0
3/13
03/0
3/13
05/0
3/13
07/0
3/13
09/0
3/13
11/0
3/13
01/0
3/14
03/0
3/14
05/0
3/14
07/0
3/14
90.0
92.0
94.0
96.0
98.0
100.0Multi-quote Inst. TLs All Inst. TLs
Avg
. Bid
(%
of
par)
U.S. SECONDARY MARKET AVERAGE BID
The secondary market edged lower in August, with multi-quote institutional term loans finishing the month at 99.04, and the broader market (all institutional term loans) at 98.75.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING, THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
18
SECONDARY MARKET BID LEVELS: U.S. VS. EUROPE
1/3/
112/
16/1
14/
1/11
5/15
/11
6/28
/11
8/11
/11
9/24
/11
11/7
/11
12/2
1/11
2/3/
123/
18/1
25/
1/12
6/14
/12
7/28
/12
9/10
/12
10/2
4/12
12/7
/12
1/20
/13
3/5/
134/
18/1
36/
1/13
7/15
/13
8/28
/13
10/1
1/13
11/2
4/13
1/7/
142/
20/1
44/
5/14
5/19
/14
7/2/
148/
15/1
488.090.092.094.096.098.0
100.0102.0
U.S. multi-quote Inst. TLsEuropean Leveraged 40
Avg
. Bid
(%
of
par)
SECONDARY MARKET AVERAGE BIDS
The European Lev40 moved 20 bps lower in August, ending the month at 99.78, having been as low as 99.42 earlier in the month.
As of month-end August, 38% of European flow names are bid at or above par, down from 63% at the start of the month, but up from a low of 10% earlier in August.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING, THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
19
SECONDARY MARKET BID LEVELS: COVENANT-LITE & SECOND-LIENS
1/12
/11
2/10
/11
3/11
/11
4/9/
115/
8/11
6/6/
117/
5/11
8/3/
119/
1/11
9/30
/11
10/2
9/11
11/2
7/11
12/2
6/11
1/24
/12
2/22
/12
3/22
/12
4/20
/12
5/19
/12
6/17
/12
7/16
/12
8/14
/12
9/12
/12
10/1
1/12
11/9
/12
12/8
/12
1/6/
132/
4/13
3/5/
134/
3/13
5/2/
135/
31/1
36/
29/1
37/
28/1
375.0
80.0
85.0
90.0
95.0
100.0
105.0 Cov-lite2nd Lien TLMulti-quote Inst. TLs
Avg
. Bid
(%
of
par)
U.S. COV-LITE AND SECOND LIEN LOAN BIDS
The average bid on covenant-lite loans edged down in August, ending the month at 99.11.
Second-lien bids were down 34 bps to 98.89.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING
Leveraged Loan Monthly - August 2014
20
PAR-PLUS & 101-PLUS MARKET SHARE
1/4/
122/
6/12
3/10
/12
4/12
/12
5/15
/12
6/17
/12
7/20
/12
8/22
/12
9/24
/12
10/2
7/12
11/2
9/12
1/1/
132/
3/13
3/8/
134/
10/1
35/
13/1
36/
15/1
37/
18/1
38/
20/1
39/
22/1
310
/25/
1311
/27/
1312
/30/
132/
1/14
3/6/
144/
8/14
5/11
/14
6/13
/14
7/16
/14
8/18
/140.0%
10.0%20.0%30.0%40.0%50.0%60.0%70.0%80.0% 100-plus 101-plus
Shar
e of
loan
s bi
d >
=10
0 &
>=
101
U.S. 100-PLUS & 101-PLUS SHARE: MULTI-QUOTE INSTITUTIONAL TERM LOANS
The share of par-plus loans fell to 33% in August, down from 46% a month earlier.
The 101-plus share is now at 6%, down from 8% at the end of July.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: LSTA/THOMSON REUTERS LPC MTM PRICING
Leveraged Loan Monthly - August 2014
21
DISTRIBUTION OF SECONDARY MARKET BIDS
<80 80 to <85
85 to <90
90 to <95
95 to <98
98 to <99
99 to <100
100 to <101
>=1010%
10%
20%
30%
40%
50%
60%
Loan AmountNumber of loans
Avg. bid (% of par)
Shar
e of
loan
out
stan
ding
s /
loan
s
MULTI-QUOTE INSTITUTIONAL TERM LOAN BIDS
The vast majority of loans (83%) remain bid in the 99-plus area, though this is down from 88% a month earlier.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
22
DISTRIBUTION OF SECONDARY MARKET BIDS:MARCH VS. JUNE VS. AUG 2014
<80 80 to <85
85 to <90
90 to <95
95 to <98
98 to <99
99 to <100
100 to <101
>=1010%
10%
20%
30%
40%
50%
60%Mar-14 Jun-14 Aug-14
Avg. bid (% of par)
Shar
e of
loan
out
stan
ding
s / l
oans
MULTI-QUOTE INSTITUTIONAL TERM LOAN BIDS
Since the end of the first quarter, the share of par-plus loans has declined from 66% to 33% , while there was a jump of 24 percentage points to 50% in the share of loans bid in the 99-100 category.
LEVERAGED LOAN MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
U.S. HIGH YIELD BOND MARKET OVERVIEW
Leveraged Loan Monthly - August 2014
24
HIGH YIELD BOND ISSUANCEJa
n-10
Mar
-10
May
-10
Jul-1
0Se
p-10
Nov-
10Ja
n-11
Mar
-11
May
-11
Jul-1
1Se
p-11
Nov-
11Ja
n-12
Mar
-12
May
-12
Jul-1
2Se
p-12
Nov-
12Ja
n-13
Mar
-13
May
-13
Jul-1
3Se
p-13
Nov-
13Ja
n-14
Mar
-14
May
-14
Jul-1
40.0
10.0
20.0
30.0
40.0
50.0
60.0
Issu
ance
($
Bils
.)
U.S. HY BOND ISSUANCE
High yield bond issuance fell to $3.4 billion in August, bringing the YTD total to $210 billion, up from $207 billion in the same period last year.
HIGH YIELD BOND MARKET
OVERVIEW
SOURCE: THOMSON REUTERS
Leveraged Loan Monthly - August 2014
25
SENIOR SECURED HY BOND ISSUANCE
Jan-
09Ap
r-09
Jul-0
9Oc
t-09
Jan-
10Ap
r-10
Jul-1
0Oc
t-10
Jan-
11Ap
r-11
Jul-1
1Oc
t-11
Jan-
12Ap
r-12
Jul-1
2Oc
t-12
Jan-
13Ap
r-13
Jul-1
3Oc
t-13
Jan-
14Ap
r-14
Jul-1
40.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
Issu
ance
($
Bils
.)
U.S. SENIOR SECURED HY BOND ISSUANCE
Senior secured high yield bond issuance declined to $1.1 billion in August, bringing YTD issuance to $46.3 billion.
At the same point last year, issuance was at $40.1 billion.
HIGH YIELD BOND MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
26
YEAR TO DATE HY BOND ISSUANCE BY PURPOSE
Repa
y Ba
nk Lo
an o
r Brid
ge Fi
nanc
ing
Rede
em E
xist
ing
Bond
s or S
ecur
ities
Merg
er a
nd A
cqui
sitio
n
Tend
er O
ffer
Gene
ral P
urpo
se
Gene
ral P
urpo
se/R
efina
nce
Leve
rage
d Bu
yout n/a
Divi
dend
or D
istrib
utio
n to
Sha
re-ho
lder
sCa
pita
l Exp
endi
ture
Wor
king
Cap
ital
Prop
erty
Exp
endi
ture
(acq
uisit
ion/
deve
lopm
ent)
Gene
ral P
urpo
se/A
cqui
sitio
n
Repa
y In
terc
ompa
ny D
ebt
Spin
off
Airc
raft
& Sh
ip Fi
nanc
e
Mass
/Rap
id T
rans
it
Gene
ral P
urpo
se/W
orki
ng C
apita
l
Inve
stm
ent P
rogr
am
Acqu
isitio
n
Regu
lato
ry C
apita
l
Ship
fina
nce
(pos
t-del
iver
y)
0.0
20.0
40.0
60.0
Issu
ance
($
Bils
.)
U.S. HY BOND ISSUANCE BY PURPOSE
Bond for loan takeouts at $50.4 billion is the biggest use of bond proceeds this year, ahead of bond redemptions at $44.1 billion. M&A (excluding LBOs) is next at $38.2 billion.
HIGH YIELD BOND MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
27
HY BOND FOR LOAN TAKEOUTSJa
n-09
Apr-0
9Ju
l-09
Oct
Jan-
10Ap
r-10
Jul-1
0Oc
t-10
Jan-
11Ap
r-11
Jul-1
1Oc
t-11
Jan-
12Ap
r-12
Jul-1
2Oc
t-12
Jan-
13Ap
r-13
Jul-1
3Oc
t-13
Jan-
14Ap
r-14
Jul-1
40.02.04.06.08.0
10.012.014.016.0
Issu
ance
($
Bils
.)
U.S. HY BOND FOR LOAN TAKEOUTS
YTD bond for loan takeout volume is now at $50.4 billion after posting $1.5 billion in July.
This is below the $65.8 billion recorded in the first eight months of 2013.
HIGH YIELD BOND MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
28
HY BOND ISSUANCE BY RATINGJa
n-12
Feb-
12M
ar-1
2Ap
r-12
May
-12
Jun-
12Ju
l-12
Aug-
12Se
p-12
Oct-1
2No
v-12
Dec-
12Ja
n-13
Feb-
13M
ar-1
3Ap
r-13
May
-13
Jun-
13Ju
l-13
Aug-
13Se
p-13
Oct-1
3No
v-13
Dec-
13Ja
n-14
Feb-
14M
ar-1
4Ap
r-14
May
-14
Jun-
14Ju
l-14
Aug-
14
0.0
5.0
10.0
15.0
20.0
25.0
30.0BBBCCCNR
Issu
ance
($
Bils
.)
HY BOND ISSUANCE BY RATING
YTD, B rated volume leads the way, accounting for 44% of issuance compared to a 40% share for BB rated deals and 14% for CCC rated issues.
HIGH YIELD BOND MARKET
OVERVIEW
SOURCE: THOMSON REUTERS
Leveraged Loan Monthly - August 2014
29
HY BOND FUND FLOWS – MUTUAL FUND VS. ETF BREAKOUT
HIGH YIELD BOND MARKET
OVERVIEW
SOURCE: LIPPER, A THOMSON REUTERS COMPANY
Leveraged Loan Monthly - August 2014
30
HY BOND & LOAN FUND NET ASSETSJa
n-07
Apr-0
7Ju
l-07
Oct-0
7Ja
n-08
Apr-0
8Ju
l-08
Oct-0
8Ja
n-09
Apr-0
9Ju
l-09
Oct-0
9Ja
n-10
Apr-1
0Ju
l-10
Oct-1
0Ja
n-11
Apr-1
1Ju
l-11
Oct-1
1Ja
n-12
Apr-1
2Ju
l-12
Oct-1
2Ja
n-13
Apr-1
3Ju
l-13
Oct-1
3Ja
n-14
Apr-1
4Ju
l-140.0
50.0100.0150.0200.0250.0300.0350.0400.0
Loan FundsHY Bond Funds (excluding Underlying Variable Funds)
Ope
n-en
d +
Clo
sed-
end
Net
Ass
ets
($ B
ils.)
OPEN-END + CLOSED-END HY BOND & LOAN FUND NET ASSETS*
Combined open-end and closed-end high yield bond fund net assets ended August at $329 billion. Including Underlying Variable Funds, net assets are at $369 billion.
In comparison, loan funds net assets fell by $4 billion to $156 billion.
HIGH YIELD BOND MARKET
OVERVIEW
SOURCE: LIPPER, A THOMSON REUTERS COMPANY
* Does not include assets bought via leverage
Leveraged Loan Monthly - August 2014
31
NEW ISSUE HY BOND YIELDSJa
n-12
Feb-
12M
ar-1
2Ap
r-12
May
-12
Jun-
12Ju
l-12
Aug-
12Se
p-12
Oct-1
2No
v-12
Dec-
12Ja
n-13
Feb-
13M
ar-1
3Ap
r-13
May
-13
Jun-
13Ju
l-13
Aug-
13Se
p-13
Oct-1
3No
v-13
Dec-
13Ja
n-14
Feb-
14M
ar-1
4Ap
r-14
May
-14
Jun-
14Ju
l-14
Aug-
14
5.06.07.08.09.0
10.011.012.0
Ave
rage
yie
ld (
%)
NEW ISSUE HY BOND YIELDS*
The average new issue bond yield (YTM) jumped to 9.31% in August on light volume.
Year to date through August, the average bond yield was 6.64%.
HIGH YIELD BOND MARKET
OVERVIEW
SOURCE: THOMSON REUTERS LPC
* Yield to maturity
Leveraged Loan Monthly - August 2014
32
HY BOND YIELDS
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
Yiel
d (%
)
BARCLAYS U.S. HIGH YIELD BOND INDEX
After widening in July and early August, the yield on the Barclays U.S High Yield index tightened in August, ending the month at 5.20%, down from a high of 5.87% early in the month.
HIGH YIELD BOND MARKET
OVERVIEW
SOURCE: BARCLAYS U.S. HIGH YIELD BOND INDEX
INVESTOR OVERVIEW
Leveraged Loan Monthly - August 2014
34
U.S. CLO ASSETS UNDER MANAGEMENT
Jul-1
2
Sep-
12
Nov-
12
Jan-
13
Mar
-13
May
-13
Jul-1
3
Sep-
13
Nov-
13
Jan-
14
Mar
-14
May
-14
Jul-1
4150.0170.0190.0210.0230.0250.0270.0290.0310.0330.0350.0
500540580620660700740780820 CLO APB
CLO
Agg
rega
te P
rin-
cipa
l Bal
ance
($Bi
ls.)
Num
ber o
f CLO
s
ASSETS UNDER MANAGEMENT
U.S. CLO assets under management is now at $347 billion (based on a universe of 835 CLOs), up nearly $50 billion this year.
INVESTOR OVERVIEW
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
35
U.S. CLO ASSETS UNDER MANAGEMENT BY VINTAGE*
<=200
1
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
0.010.020.030.040.050.060.070.080.090.0
CLO
Agg
rega
te P
rin-ci
pal B
alan
ce ($
Bils
.)
ASSETS UNDER MANAGEMENT
CLOs issued in the 2012-2014 time period account for the majority (62%) of CLO assets under management.
INVESTOR OVERVIEW
SOURCE: THOMSON REUTERS LPC COLLATERAL
*Based on year issued
Leveraged Loan Monthly - August 2014
36
LOAN FUNDS AUMJa
n 20
07Ap
r 200
7Ju
l 200
7Oc
t 200
7Ja
n 20
08Ap
r 200
8Ju
l 200
8Oc
t 200
8Ja
n 20
09Ap
r 200
9Ju
l 200
9Oc
t 200
9Ja
n 20
10Ap
r 201
0Ju
l 201
0Oc
t 201
0Ja
n 20
11Ap
r 201
1Ju
l 201
1Oc
t 201
1Ja
n 20
12Ap
r-12
Jul-1
2Oc
t-12
Jan-
13Ap
r-13
Jul-1
3Oc
t-13
Jan-
14Ap
r-14
Jul-1
40.020.040.060.080.0
100.0120.0140.0160.0180.0200.0
Loan
mut
ual f
und
& E
TF
AU
M (
$ Bi
ls.)
U.S. LOAN MUTUAL FUND & ETF ASSETS UNDER MANAGEMENT*
Loan mutual fund & ETF total assets fell by another 2% to $163 billion in August, and is down over $11 billion since March.
Assets under management is down by nearly $2 billion YTD.
INVESTOR OVERVIEW
SOURCE: THOMSON REUTERS LPC , LIPPER
*Based on the most recent data available
Leveraged Loan Monthly - August 2014
37
LOAN FUNDS AUM BY FUND TYPE
Open-end Closed-end ETF0.0
20.040.060.080.0
100.0120.0140.0160.0
Ass
ets
unde
r m
an-
agem
ent
($ B
ils.)
LOAN FUNDS AUM BY FUND TYPE
The majority of loan fund assets (83%) are in open-end mutual funds. Closed-end funds account for 12% of loan fund assets, while ETFs are at 5%.
INVESTOR OVERVIEW
SOURCE: THOMSON REUTERS LPC , LIPPER
Leveraged Loan Monthly - August 2014
38
INVESTOR SHARE OF INSTITUTIONAL LOAN OUTSTANDINGS
39%
19%
42% OtherLoan Funds (mu-tual funds & ETFs)CLOs*
SHARE OF U.S. LEVERAGED INSTITUTIONAL LOAN MARKET OUTSTANDINGS**
CLOs hold roughly 42% of institutional loan outstandings, while loan mutual funds & ETFs currently account for 19%.
INVESTOR OVERVIEW
SOURCE: THOMSON REUTERS LPC
*Based on a universe of 835 U.S. CLOs
Leveraged Loan Monthly - August 2014
39
INVESTOR SHARE OF INSTITUTIONAL LOAN OUTSTANDINGS
Aug-
12Se
p-12
Oct-1
2No
v-12
Dec-
12Ja
n-13
Feb-
13M
ar-1
3Ap
r-13
May
-13
Jun-
13Ju
l-13
Aug-
13Se
p-13
Oct-1
3No
v-13
Dec-
13Ja
n-14
Feb-
14M
ar-1
4Ap
r-14
May
-14
Jun-
14Ju
l-14
Aug-
14
10%
20%
30%
40%
50%
60% CLOsLoan Funds (mutual funds & ETFs)Other
Inve
stor
sha
re o
f in
sti-
tuti
onal
loan
out
stan
d-in
gs (
%)
INVESTOR SHARE OF INSTITUTIONAL LOAN OUTSTANDINGS
The loan mutual fund & ETF share of institutional loan outstandings has slipped this year to 19% from 22%.
The CLO share of assets has been relatively steady and is now at 42%.
INVESTOR OVERVIEW
SOURCE: THOMSON REUTERS LPC , LIPPER
Leveraged Loan Monthly - August 2014
40
CLO ISSUANCE VS. LOAN FUND FLOWS-MONTHLY
Jan-
12Fe
b-12
Mar
-12
Apr-1
2M
ay-1
2Ju
n-12
Jul-1
2Au
g-12
Sep-
12Oc
t-12
Nov-
12De
c-12
Jan-
13Fe
b-13
Mar
-13
Apr-1
3M
ay-1
3Ju
n-13
Jul-1
3Au
g-13
Sep-
13Oc
t-13
Nov-
13De
c-13
Jan-
14Fe
b-14
Mar
-14
Apr-1
4M
ay-1
4Ju
n-14
Jul-1
4Au
g-14
-8.0-4.00.04.08.0
12.016.020.0 CLO Issuance Loan fund flows
$ Bi
ls.
MONTHLY CLO ISSUANCE VS. LOAN FUND FLOWS
Nearly $8 billion of CLOs priced in August, bringing YTD issuance to $77 billion.• Another $3.3 billion flowed out of loan funds in August, the fifth straight month
of outflows. YTD outflows are at $4.3 billion.
INVESTOR OVERVIEW
SOURCE: THOMSON REUTERS LPC , LIPPER
CLO MARKET ANALYSIS**Based on the most recently available data in Thomson Reuters LPC Collateral
Leveraged Loan Monthly - August 2014
42
U.S CLO ANNUAL ISSUANCE
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 YTD 2014 thru Aug
0.0
20.0
40.0
60.0
80.0
100.0
120.0
CLO
issu
ance
(€B
ils.)
U.S CLO ISSUANCE
YTD U.S. CLO issuance through August is at $77 billion and is on course to exceed 2013’s full year figure of $81.3 billion.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
43
EUROPEAN CLO ISSUANCE
1Q08 2Q08 3Q08-4Q12
1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 to date
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
CLO
issu
ance
(€B
ils.)
EUROPEAN CLO ISSUANCE
YTD European CLO issuance is at €10 billion, exceeding the full year 2013 figure of €7.6 billion
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
44
U.S. CLO AVERAGE SIZEJa
n-13
Feb-
13M
ar-1
3Ap
r-13
May
-13
Jun-
13Ju
l-13
Aug-
13Se
p-13
Oct-1
3No
v-13
Dec-
13Ja
n-14
Feb-
14M
ar-1
4Ap
r-14
May
-14
Jun-
14Ju
l-14
Aug-
14
300350400450500550600650
$ M
ils.
U.S. BSL CLO AVERAGE SIZE
• After climbing most of this year, the average size of BSL CLOs fell to $538 million in August.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
45
U.S. CLO ISSUANCE AND AAA NEW ISSUE SPREADS
Jan-
11M
ar-1
1M
ay-1
1Ju
l-11
Sep-
11No
v-11
Jan-
12M
ar-1
2M
ay-1
2Ju
l-12
Sep-
12No
v-12
Jan-
13M
ar-1
3M
ay-1
3Ju
l-13
Sep-
13No
v-13
Jan-
14M
ar-1
4M
ay-1
4Ju
l-140.0
2.0
4.0
6.0
8.0
10.0
12.0
100.0110.0120.0130.0140.0150.0160.0170.0180.0Issuance
CLO
Issu
ance
($B
ils.)
Ave
rage
AA
A s
prea
d (b
ps)
CLO ISSUANCE AND AAA NEW ISSUE SPREADS
AAA CLO spreads was fairly steady at 146 bps in August. Nearly $8 billion of CLOs priced in August, bringing YTD issuance to $77 billion.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC
Leveraged Loan Monthly - August 2014
46
CLO AGGREGATE PRINCIPAL BALANCE
Jul-1
2Au
g-12
Sep-
12Oc
t-12
Nov-
12De
c-12
Jan-
13Fe
b-13
Mar
-13
Apr-1
3M
ay-1
3Ju
n-13
Jul-1
3Au
g-13
Sep-
13Oc
t-13
Nov-
13De
c-13
Jan-
14Fe
b-14
Mar
-14
Apr-1
4M
ay-1
4Ju
n-14
Jul-1
4Au
g-14
050
100150200250300350
U.S. Europe
CLO
Agg
rega
te P
rinc
ipal
Ba
lanc
e ($
USD
/Eur
o bi
ls.)
CLO AGGREGATE PRINCIPAL BALANCE: U.S & EUROPE
• U.S. CLOs aggregate principal balance is now at $347 billion, European CLOs are at 66.5 billion euros (based on a universe of 835 U.S. CLOs and 231 European CLOs).
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
47
SHARE OF ASSETS HELD BY CLOS THAT ARE STILL IN / PAST THEIR STATED REINVESTMENT PERIOD
68%
32% Still in
Reinv PeriodPost Reinv Period
SHARE OF ASSETS HELD BY CLOS THAT ARE STILL IN THEIR STATED REINVESTMENT PERIOD
68% of U.S. CLO assets are held in CLOs that are still in their stated reinvestment period. For European CLOs, it’s the opposite, with 68% of assets held in CLOs past their
reinvestment period.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
32%
68%
Still in Reinv Period
Post Reinv Period
U.S. CLOs
European CLOs
Leveraged Loan Monthly - August 2014
48
SHARE OF BONDS IN CLOS*
0 <1 1 to <2
2 to <3
3 to <4
4 to <5
5 to <6
6 to <7
7 to <8
8 to <9
9 to <10
10 to <15
>=15%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
U.S.Europe
Shar
e of
CLO
s
SHARE OF BONDS
• European CLOs have a much higher share of bond holdings (10.3%) than U.S. CLOs (1.7%).• 55% of U.S CLOs have no bond holdings versus 26% of European CLOs.• 41% of European CLOs have 10% or more of their assets invested in bonds.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Bonds as % of CLO portfolio*Excludes recently issued CLOs not yet in TR LPC Collateral
Leveraged Loan Monthly - August 2014
49
SHARE OF NON-LOAN ASSETS (BONDS & SFS) IN CLOS*
0 <1 1 to <2
2 to <3
3 to <4
4 to <5
5 to <6
6 to <7
7 to <8
8 to <9
9 to <10
10 to <15
>=15
0.0%5.0%
10.0%15.0%20.0%25.0%30.0%35.0%40.0%45.0%50.0%
U.S.Europe
Shar
e of
CLO
s
SHARE OF NON LOAN ASSETS (BONDS & SFS)
• 46% of U.S CLOs have no bond or structured finance holdings versus 23% of European CLOs.• 48% of European CLOs have 10% or more of their assets invested in non-loan assets versus
5% of U.S. CLOs.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Bonds & SFS as % of CLO portfolio*Excludes recently issued CLOs not yet in TR LPC Collateral
Leveraged Loan Monthly - August 2014
50
SHARE OF NON-LOAN ASSETS BY U.S. CLO 1.0 VS. CLO 2.0
0 <1 1 to <2
2 to <3
3 to <4
4 to <5
5 to <6
6 to <7
7 to <8
8 to <9
9 to <10
10 to <15
>=15
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%CLO 1.0CLO 2.0 (excluding CLOs issued in 2014)
Shar
e of
CLO
s
SHARE OF NON-LOAN ASSETS BY U.S. CLO 1.0 VS. CLO 2.0
• CLO 2.0s (excluding CLOs issued in 2014) hold less non-loan assets than 1.0s. • 56% of CLO 2.0s have no bond or structured finance holdings versus only 22%
of CLO 1.0s.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Bonds & SFS as % of CLO portfolio
Leveraged Loan Monthly - August 2014
51
SHARE OF LOANS IN U.S. CLOS THAT ARE COV-LITE
<=2004
2005 2006 2007 2008 2009-2010
2011 2012 2013 2014*0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%All CLOs
Shar
e of
cov
-lit
e lo
ans
SHARE OF LOANS IN U.S. CLOS THAT ARE COV-LITE
• In BSL CLOs, cov-lite loans represent over half (55%) of CLO 2.0 loan holdings compared to 47% for 1.0 CLOs.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
CLO Vintage*Excludes recently issued CLOs not yet in TR LPC Collateral
Leveraged Loan Monthly - August 2014
52
SHARE OF LOANS IN U.S. CLOS THAT ARE SECOND-LIENS
<=2004
2005 2006 2007 2008 2009-2010
2011 2012 2013 2014*0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Shar
e of
sec
ond-
lien
loan
s
SHARE OF LOANS IN U.S. CLOS THAT ARE SECOND-LIENS
• Second-liens account for 2.3% of CLO loan assets.• By vintage, 1.4% of CLO 1.0 loans are second-liens versus 2.8% for CLO 2.0s.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
CLO Vintage*Excludes recently issued CLOs not yet in TR LPC Collateral
Leveraged Loan Monthly - August 2014
53
SHARE OF U.S. CLO ASSETS IN DEFAULT
<=2004
2005 2006 2007 2008 2009-10
2011 2012 2013 20140.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
$ value of assets in default
Val
ue o
f as
sets
in d
e-fa
ult
($Bi
ls.)
Shar
e of
U.S
. CLO
ass
ets
in d
efau
lt
SHARE OF U.S. CLO ASSETS IN DEFAULT
• 1% of U.S. CLO assets are in default.• For CLO 1.0s, the share of defaulted assets is 2.5%, while for CLO 2.0s it’s
0.1%.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
CLO Vintage*Based on a universe of 775 U.S. CLOs
Leveraged Loan Monthly - August 2014
54
SHARE OF EUROPEAN CLO ASSETS IN DEFAULT
<=2004
2005 2006 2007 2008 2009-2011
2013 20140.00.10.20.30.40.50.60.70.80.91.0
-2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%$ value of assets in de-faultShare of assets in default
Val
ue o
f as
sets
in d
efau
lt
($Bi
ls.)
Shar
e of
Eur
opea
n CL
O
asse
ts in
def
ault
SHARE OF EUROPEAN CLO ASSETS IN DEFAULT
• 2.8% of European CLO assets , amounting to 1.7 billion euros, are in default.• For CLO 1.0s, the share of defaulted assets is 3.4%, while for CLO 2.0s it’s 0.6%.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
CLO Vintage*Based on a universe of 221 European CLOs
Leveraged Loan Monthly - August 2014
55
U.S. CLO CASH BALANCE BY VINTAGE
<=2004
2005 2006 2007 2008 2009-2010
2011 2012 2013 2014**
0.00.51.01.52.02.53.03.54.0
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%$ Cash BalanceCash Share
CLO vintage
Cash
bal
ance
($
Bils
.)
Shar
e of
ass
ets
in c
ash
CASH BALANCE BY CLO VINTAGE
Based on the most recently available reports, U.S. CLOs have roughly 3.5% of their assets in cash.
For this sample of CLOs, cash balances amount to $11.1 billion.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
*Based on a universe of 756 U.S. CLOs**Excludes recently issued CLOs not yet in TR LPC Collateral
Leveraged Loan Monthly - August 2014
56
U.S. CLO CASH BALANCE BY VINTAGE – 1.0 VS. 2.0
0%1%2%3%4%5%6%7%8%9%
10%CLO 1.0 CLO 2.0
Shar
e of
ass
ets
in c
ash
CASH BALANCE BY CLO VINTAGE
CLOs 1.0s have a higher share of cash in their portfolios (7.4% approximately) compared to CLO 2.0s (1.2% ).
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
57
EUROPEAN CLO CASH BALANCE BY VINTAGE
<=2004
2005 2006 2007 2008 2009-2010
2013 20140.00.51.01.52.02.53.03.5
0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%
$ Cash BalanceCash Share
CLO vintage
Cash
bal
ance
(Eu
ro B
ils.)
Shar
e of
ass
ets
in c
ash
CASH BALANCE BY CLO VINTAGE
Based on the most recently available reports, European CLOs have around 12.5% of their assets in cash.
Cash balances amount to 7.7 billion euros.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
58
WEIGHTED AVERAGE BIDS OF UNDERLYING CLO ASSETS: U.S. VS. EUROPE
<80
80 to
<85
85 to
<86
86 to
<87
87 to
<88
88 to
<89
89 to
<90
90 to
<91
91 to
<92
92 to
<93
93 to
<94
94 to
<95
95 to
<96
96 to
<97
97 to
<98
98 to
<99
99 to
<10
0>
=10
00%
20%
40%
60%
80% U.S. Europe
CLO weighted avg. bid
Shar
e of
CLO
s
CLO WEIGHTED AVERAGE BID DISTRIBUTION
73% of U.S. CLOs now have a weighted average bid (on their underlying assets) in the 99-plus range, with most in the 99-100 range.
For European CLOs, 20% are in this price category.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
59
WEIGHTED AVERAGE BIDS OF UNDERLYING U.S. CLO ASSETS
<90
90 to
<91
91 to
<92
92 to
<93
93 to
<94
94 to
<95
95 to
<96
96 to
<97
97 to
<98
98 to
<99
99 to
<10
0
>=
1000%
10%20%30%40%50%60%70%80%
Apr-14 May-14 Jun-14 Jul-14 Aug-14
CLO weighted avg. bid
Shar
e of
CLO
s
U.S. CLO WEIGHTED AVERAGE BID DISTRIBUTION
• The 99-plus share is now at 73%.• At the upper end of the market, the par-plus share slipped to 0%
in August from 11% in the prior month.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
60
WEIGHTED AVERAGE BIDS OF UNDERLYING U.S. CLO ASSETS – BY REINVESTMENT DATE
<90
90 to
<91
91 to
<92
92 to
<93
93 to
<94
94 to
<95
95 to
<96
96 to
<97
97 to
<98
98 to
<99
99 to
<10
0
>=
1000%
20%40%60%80%
100%Reinv end date < Sep 1, 2014
CLO weighted avg. bid
Shar
e of
CLO
s
U.S. CLO WEIGHTED AVERAGE BID DISTRIBUTION
• The weighted average bid of assets in U.S. CLOs still in their stated reinvestment period are higher than those past their reinvestment date.
• 94% of CLOs in their reinvestment period have a weighted average bid >=99 versus 48% of post reinvestment CLOs.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
61
WEIGHTED AVERAGE BIDS OF UNDERLYING EUROPEAN CLO ASSETS
<80
80 to
<85
85 to
<86
86 to
<87
87 to
<88
88 to
<89
89 to
<90
90 to
<91
91 to
<92
92 to
<93
93 to
<94
94 to
<95
>=
95
0%10%20%30%40%50%60%70%80%
Apr-14 May-14 Jun-14 Jul-14 Aug-14
CLO weighted avg. bid
Shar
e of
CLO
s
EUROPEAN CLO WEIGHTED AVERAGE BID DISTRIBUTION
• The share of European CLOs with a weighted average bid (on their assets) above 95 slipped to 67% in August.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
62
WEIGHTED AVERAGE BIDS OF UNDERLYING EUROPEAN CLO ASSETS – BY REINVESTMENT DATE
<80
80 to
<85
85 to
<86
86 to
<87
87 to
<88
88 to
<89
89 to
<90
90 to
<91
91 to
<92
92 to
<93
93 to
<94
94 to
<95
95 to
<96
96 to
<97
97 to
<98
98 to
<99
99 to
<10
0>
=10
00%10%20%30%40%50%60%
Reinv end date <Sep 1, 2014 Reinv end date >=Sep 1, 2014
CLO weighted avg. bid
Shar
e of
CLO
s
EUROPEAN CLO WEIGHTED AVERAGE BID DISTRIBUTION
• The weighted average bid of assets in European CLOs still in their stated reinvestment period are higher than those past their reinvestment date.
• 59% of CLOs in their reinvestment period have a weighted average bid >=99 versus 11% of CLOs past their stated reinvestment date.
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC COLLATERAL
Leveraged Loan Monthly - August 2014
63
U.S. CLO MOST WIDELY TRADED NAMES* – YTD 2014
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC
*Based on a sample of 660 U.S. CLOs
PurchasesRank Company Name
1 Avago Technologies2 TXU Corp3 First Data Corp4 Community Health5 Aramark Corp6 Ineos Group Plc7 Numericable SAS8 WME IMG Holdings LLC9 Transdigm10 Federal-Mogul Corp
SalesRank Company Name
1 First Data Corp2 Ineos Group Plc3 Transdigm4 Aramark Corp5 Nielsen Company6 Nuveen Investments Inc7 Federal-Mogul Corp8 Freescale Semiconductor Inc9 Del Monte10 Delta Airlines
Leveraged Loan Monthly - August 2014
64
EUROPEAN CLO MOST WIDELY TRADED NAMES* – YTD 2014
CLO MARKET ANALYSIS
SOURCE: THOMSON REUTERS LPC
*Based on a sample of 186 European CLOs
PurchasesRank Company Name
1 Numericable SAS2 eircom Group Plc3 ZIGGO BV4 Telenet Operatives NV5 Autobahn Tank & Rast6 Parques Reunidos SA7 Wind Telecomunicazione Spa8 Iglo Foods Group Ltd9 Scout2410 Grifols SA
SalesRank Company Name
1 Vivarte SA2 Parques Reunidos SA3 Wind Telecomunicazione Spa4 eircom Group Plc5 Telediffusion de France SA (TDF)6 Autobar Group Ltd7 Cortefiel SA8 Numericable SAS9 Ineos Group Plc10 Telenet Operatives NV
U.S. CLO LEAGUE TABLES
Leveraged Loan Monthly - August 2014
66
2014 U.S. CLO ARRANGER LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)
CLO LEAGUE TABLES
SOURCE: THOMSON REUTERS LPC
Rank Bank Holding Company Arranger Volume # of Deals Market Share1 Citi 10,257.18 20 13.3%2 Morgan Stanley 10,206.10 15 13.3%3 JP Morgan 8,621.44 13 11.2%4 Bank of America Merrill Lynch 8,370.67 15 10.9%5 Credit Suisse 6,350.63 11 8.3%6 Wells Fargo 6,022.67 12 7.8%7 Deutsche Bank 5,520.50 10 7.2%8 Jefferies 4,256.20 11 5.5%9 Goldman Sachs 4,033.45 7 5.2%
10 GreensLedge 2,726.05 6 3.5%11 Natixis 2,438.95 6 3.2%12 BNP Paribas 1,810.10 4 2.4%13 RBS Securities 1,751.66 3 2.3%14 Mitsubishi UFJ 1,325.50 2 1.7%15 Nomura 952.50 2 1.2%16 Barclays 924.00 2 1.2%17 Royal Bank of Canada (RBC) 716.70 1 0.9%18 StormHarbour 414.00 1 0.5%19 Guggehheim 204.25 1 0.3%
Leveraged Loan Monthly - August 2014
67
2014 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)
CLO LEAGUE TABLES
SOURCE: THOMSON REUTERS LPCCont’d on next slide
Rank CLO Manager CLO Volume # of Deals Market Share1 CIFC 2,801.24 4 3.64%2 Credit Suisse Asset Management 2,599.73 3 3.38%3 Carlyle Investment Management 2,159.80 3 2.81%4 Apollo Global Investors 2,105.10 2 2.74%5 Prudential Investment Management 2,099.25 3 2.73%6 Och Ziff 2,068.25 3 2.69%7 GSO Capital Partners 1,843.27 3 2.40%8 Ares Management 1,775.10 2 2.31%9 Octagon Credit Investors 1,750.18 3 2.28%
10 ING 1,446.83 3 1.88%11 Onex Credit Partners 1,421.77 2 1.85%12 LCM Asset Management 1,349.60 2 1.75%13 Jefferies 1,329.20 3 1.73%14 Invesco 1,287.60 2 1.67%15 Golub Capital 1,265.41 3 1.65%16 THL Credit Advisors 1,263.25 2 1.64%17 CVC Capital 1,252.85 2 1.63%18 Angelo Gordon 1,239.60 2 1.61%19 MJX Asset Management 1,229.47 2 1.60%20 Oaktree Capital Management 1,224.50 2 1.59%
Leveraged Loan Monthly - August 2014
68
2014 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)
CLO LEAGUE TABLES
SOURCE: THOMSON REUTERS LPCCont’d on next slide
Rank CLO Manager CLO Volume # of Deals Market Share21 Kramer Van Kirk 1,203.75 2 1.57%22 Sankaty Advisors 1,142.75 2 1.49%23 Neuberger Berman 1,141.75 2 1.48%24 Anchorage Capital Group 1,139.25 2 1.48%25 BlueMountain Capital Management 1,125.28 2 1.46%
26 Napier Park 1,118.34 2 1.45%
27 Babson Capital 1,080.45 2 1.40%28 Crescent Capital 1,075.12 2 1.40%29 Shenkman Capital Management 1,073.13 2 1.40%
30 3i Group 1,033.48 2 1.34%31 Blackrock 1,021.23 2 1.33%32 TPG Capital 992.50 2 1.29%33 Halcyon Asset Management 986.28 2 1.28%34 Silvermine Capital Management 931.10 2 1.21%35 Highland Capital Management 921.75 2 1.20%36 Symphony Asset Management 838.00 1 1.09%37 Tall Tree Investment 821.60 2 1.07%38 OFS Capital Management (Orchard First Source) 814.60 2 1.06%39 Fortress 800.00 1 1.04%40 Oak Hill Advisors 777.00 1 1.01%
Leveraged Loan Monthly - August 2014
69
2014 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)
CLO LEAGUE TABLES
SOURCE: THOMSON REUTERS LPCCont’d on next slide
Rank CLO Manager CLO Volume # of Deals Market Share41 NewStar Financial 757.79 2 0.99%42 GreyWolf 640.83 1 0.83%43 Sound Point 628.00 1 0.82%44 Alcentra 627.00 1 0.82%45 Columbia Management Investment Advisers 621.48 1 0.81%46 American Capital 618.75 1 0.80%47 GoldenTree Asset Management 614.00 1 0.80%48 Western Asset Management 579.27 1 0.75%49 HIG WhiteHorse Capital 574.75 1 0.75%50 Allstate 570.00 1 0.74%51 Covenant Credit Partners 527.50 1 0.69%52 Credit Value Partners 520.75 1 0.68%53 MidOcean Partners 518.00 1 0.67%54 KKR 518.00 1 0.67%55 Eaton Vance 512.34 1 0.67%56 Benefit Street 512.27 1 0.67%57 Marathon 490.25 1 0.64%58 Kingsland Capital 481.00 1 0.63%59 Trimaran Advisors 467.93 1 0.61%60 PineBridge 465.35 1 0.61%
Leveraged Loan Monthly - August 2014
70
2014 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)
CLO LEAGUE TABLES
SOURCE: THOMSON REUTERS LPCCont’d on next slide
Rank CLO Manager CLO Volume # of Deals Market Share61 Par-Four Investment Management 462.67 1 0.60%62 Allianz Global 462.63 1 0.60%63 Arrowpoint Asset Management 460.00 1 0.60%64 Palmer Square Capital Management 457.00 1 0.59%65 Bradford & Marzec 421.50 1 0.55%66 Brigade Capital Mgmt 416.50 1 0.54%67 Cutwater Asset Management 415.40 1 0.54%68 Canyon Capital 415.25 1 0.54%69 Feingold O'Keeffe 414.00 1 0.54%70 Hildene Capital Management 413.75 1 0.54%71 Moelis & Co. 413.50 1 0.54%72 NYLIM 412.50 1 0.54%73 Telos Asset Management 412.35 1 0.54%
74 Chicago Fundamental Investment Partners 411.80 1 0.54%
75 Black Diamond Capital Management 411.75 1 0.54%76 American Money Management 410.30 1 0.53%77 Regiment Capital 407.32 1 0.53%78 BNP Paribas Asset Management 400.80 1 0.52%79 NewMark 400.00 1 0.52%79 Triumph Capital Advisors 400.00 1 0.52%
Leveraged Loan Monthly - August 2014
71
2014 U.S. CLO MANAGER LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)
CLO LEAGUE TABLES
SOURCE: THOMSON REUTERS LPC
Rank CLO Manager CLO Volume # of Deals Market Share81 Canaras Capital 399.75 1 0.52%
82 Aegon USA 389.25 1 0.51%
83 Intermediate Capital Group 371.18 1 0.48%
84 40/86 Advisors 362.50 1 0.47%
85 BMO Asset Management 359.20 1 0.47%
86 Monroe Capital 358.07 1 0.47%
87 MatlinPatterson 357.95 1 0.47%
88 NXT 357.44 1 0.46%
89 Zais Group 310.85 1 0.40%
90 Tennenbaum Capital Management 277.75 1 0.36%
91 Cerberus 145.00 1 0.19%
Leveraged Loan Monthly - August 2014
72
2014 U.S. CLO TRUSTEE LEAGUE TABLE (BY VOLUME) (THROUGH AUGUST 31, 2014)
CLO LEAGUE TABLES
SOURCE: THOMSON REUTERS LPC
Rank Trustee Trustee Volume # of Deals Market Share1 US Bank 34,438.76 64 44.78%
2 Bank of New York 10,299.65 20 13.39%
3 Citi/Virtus 9,405.59 16 12.23%
4 Deutsche Bank 8,540.45 15 11.11%
5 Wells Fargo 8,412.58 15 10.94%
6 State Street 5,805.58 10 7.55%
LOAN MUTUAL FUND FLOWS & RETURNS
Leveraged Loan Monthly - August 2014
74
MONTHLY LOAN VS. HY BOND FUND FLOWS
LOAN FUND FLOWS & RETURNS
SOURCE: LIPPER, A THOMSON REUTERS COMPANY
Leveraged Loan Monthly - August 2014
75
LOAN FUND FLOWS – MUTUAL FUND VS. ETF BREAKOUT
LOAN FUND FLOWS & RETURNS
SOURCE: LIPPER, A THOMSON REUTERS COMPANY
Leveraged Loan Monthly - August 2014
76
LOAN FUNDS VS. LOAN INDEX – MONTHLY RETURNS
Jan-
11M
ar-1
1M
ay-1
1Ju
l-11
Sep-
11No
v-11
Jan-
12M
ar-1
2M
ay-1
2Ju
l-12
Sep-
12No
v-12
Jan-
13M
ar-1
3M
ay-1
3Ju
l-13
Sep-
13No
v-13
Jan-
14M
ar-1
4M
ay-1
4Ju
l-14-5.0
-4.0-3.0-2.0-1.00.01.02.03.04.0 Open-end Loan Funds*
S&P/LSTA Leveraged Loan Index
Ret
urns
(%
)
MONTHLY FUND VS. INDEX RETURNS
In August, open-end loan funds returned 0.22% on average versus 0.15% for the S&P/LSTA loan index.
YTD, open-end loan funds are up an average of 2.15%, compared to a gain of 2.73% for the index.
LOAN FUND FLOWS & RETURNS
SOURCE: LIPPER, THOMSON REUTERS LPC, S&P/LSTA LEVERAGED LOAN INDEX
*Based on a straight average of all open-end loan fund returns.
Leveraged Loan Monthly - August 2014
77
LOAN VS. HY BOND FUNDS – MONTHLY RETURNS
Jan-
11M
ar-1
1M
ay-1
1Ju
l-11
Sep-
11No
v-11
Jan-
12M
ar-1
2M
ay-1
2Ju
l-12
Sep-
12No
v-12
Jan-
13M
ar-1
3M
ay-1
3Ju
l-13
Sep-
13No
v-13
Jan-
14M
ar-1
4M
ay-1
4Ju
l-14-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0Open-end Loan Funds*
Ret
urns
(%
)
MONTHLY FUND RETURNS
• Open-end HY bond funds were up 1.19% on average in August, compared to a 0.22% gain for loan funds.
YTD, open-end bond funds are up an average of 4.69%.
LOAN FUND FLOWS & RETURNS
SOURCE: LIPPER, THOMSON REUTERS LPC
*Based on a straight average of all open-end fund returns.