CLO Asset Manager Handbook May 2020 Structured Finance CLO
Key Contacts
Structured Credit Russ Thomas Andrew Worthington Director Director +1 312 368-3189 +1 646 582-4882 [email protected] [email protected]
Derek Miller Matthias Neugebauer Managing Director Managing Director +1 312 368-2076 +44 20 3530-1099 [email protected] [email protected]
Leveraged Finance Sharon Bonelli Michael Paladino Senior Director Managing Director +1 212 908-0581 +1 212 908-9113 [email protected] [email protected]
Eric Rosenthal Lyuba Petrova Senior Director Senior Director +1 212 908-0286 +1 646 582-4885 [email protected] [email protected]
Business and Relationship Management Jill Zelter Winnie Fong, CFA Managing Director Managing Director +1 212 908-0774 +1 212 908-9139 [email protected] [email protected]
Peter Matousek Senior Director +44 203 530-1207 [email protected] Structured Finance CLO
Welcome to the ninth edition of Fitch Ratings’ CLO Asset Manager Handbook. This edition includes published profile reports for 121 CLO managers, with all data and information presented in a standardized format as of YE19. Managers included in the Handbook provide their data in recognition of the importance of increasing transparency and comparability in the CLO market.
Through a combination of key manager facts and attributes — including corporate structure, key personnel, assets under management and CLOs under management — our profile reports provide investors with a consistent framework for evaluating and comparing operational capabilities and resources across the active CLO manager universe. In the case of 111 managers, we conduct ed operational risk assessments and reviewed the managers’ investment processes. The profile reports for those managers include The Fitch View, which represents our summary assessment of the managers’ qualifications, strengths, potential areas of concern and any mitigating factors. As the data herein are as of YE19, any coronavirus impact on asset managers will be reflected in future publications. The Handbook and individual manager profiles are also available in a downloadable PDF format at www.fitchratings.com. If you have any suggestions or comments — or if you are a manager that would like to participate in the next edition — please email [email protected].
CLO Asset Manager Handbook i Structured Finance CLO
Manager Profiles 40|86 Advisors, Inc...... 1 Accunia Fondsmæglerselskab A/S ...... 4 Aegon Asset Management US...... 7 AGL Credit Management LP...... 11 AIG Asset Management (U.S.), LLC ...... 14 Alcentr a ...... 17 Allianz Global Investors ...... 22 Allstate Investment Management Company...... 25 American Money Management Corporation ...... 28 Anchorage Capital Group, L.L.C...... 31 Angelo, Gordon & Co., L.P...... 36 Antares Capital Advisers, LLC...... 40 Apex Credit Partners LLC ...... 44 Apollo Global Management, LLC ...... 48 Ares Management LLC ...... 52 Assurant Investment Management LLC ...... 58 AXA Investment Managers S.A...... 62 Bain Capital Credit, LP ...... 67 Ballyrock Investment Advisors LLC ...... 72 Bardin Hill Investment Partners LP ...... 75 Barings LLC ...... 80 Benefit Street Partners L.L.C...... 85 BlackRock, Inc...... 89 BlueMountain Capit al Management, LLC ...... 94 BlueMountain Fuji Management, LLC...... 98 BNP Paribas Investment Partne rs ...... 101 Brightwood Capital Advisors, LLC ...... 105 Cairn Loan Investments LLP ...... 108 Canar as Capital Management, LLC...... 112 Cany on Capital Advisors LLC ...... 114 Carlson Capital, L.P...... 118 Carlyle Group, The ...... 121 CBAM Partners, LLC ...... 126 CFI Partners, LLC ...... 130 Chenavari Investment Partners ...... 132 Churchill Asset Management LLC ...... 136 CIFC Asset Management LLC...... 140 Columbi a Manageme nt Investment Advisers, LLC ...... 145 Commerzbank Debt Fund Management ...... 149 Credit Suisse Asset Management...... 152 Crescent Capit al Group LP ...... 157 CVC Credit Partners, LP ...... 161 Deerpat h Capital Management, LP ...... 166 DFG Investment Advisers, Inc...... 169 DoubleLine Capital LP...... 173 Elmwood Asset Management LLC ...... 176 Fair Oaks Capital Limited...... 179 First Eagle Private Credit, LLC ...... 182 Fort Washington Investment Advisors, Inc...... 186 Fortress Investment Group LLC ...... 190 CLO Asset Manager Handbook i i Structured Finance CLO
FS/KKR Advisors, LLC ...... 194 GC Advisors LLC (Golub Capital) ...... 197 GLG Partners LP...... 201 GoldenTree Asset Management, LP...... 205 Greywolf Capital Management LP ...... 209 GSO Capital Partners LP ...... 211 Guggenheim Investments ...... 217 Gulf Stream Asset Management...... 222 HalseyPoint Asset Management, LLC ...... 225 HPS Investment Partners, LLC ...... 228 Intermediate Capital Group ...... 232 Invesco Senior Secured Management, Inc...... 236 Investcorp Credit Management...... 241 Kayne Anderson Capital Advisors, L.P...... 246 King Street Capital Management, L.P...... 249 KKR Cre dit Advisors (US) LLC ...... 253 LCM Asset Management LLC ...... 258 Loomis, Sayles & Company, L.P...... 262 Madison Capital Funding LLC...... 265 Mar athon Asset Management, LP ...... 268 Marble Point Credit Management LLC ...... 272 Mariner Investment Group, LLC ...... 276 Medalist Partners Corporate Finance ...... 279 MeDirect Bank (Malta) plc...... 282 MidOcean Credit Fund Management LP ...... 285 MJX Asset Management LLC ...... 289 Monr oe Capital, LLC ...... 293 Morgan Stanley Investment Management Inc...... 297 Napier Park Global Capit al LP ...... 301 Nass au Corpor ate Cre dit ...... 305 Newfleet Asset Management, LLC...... 308 NXT Capital Investment Advisers, LLC ...... 310 NYL Investors LLC ...... 313 Oak Hill Advisors, L.P...... 316 Oaktree Capital Manageme nt, L.P...... 320 Octagon Credit Investors, LLC ...... 324 OFS Capital ...... 328 Pacific Asset Manageme nt ...... 331 Palmer Square Capital Management LLC...... 334 Park Avenue Institutional Advisers LLC ...... 338 Partners Group...... 341 Permira Debt Managers ...... 345 PGIM Fixed Income ...... 348 PineBridge Investments LLC...... 353 Post Advisory Group, LLC...... 357 PPM America, Inc...... 361 Pretium Credit Management, LLC ...... 364 Redding Ridge Asset Management LLC ...... 367 Rothschild & Co Group ...... 371 Sarat oga Investment Advisors, LLC...... 376 Sculptor Capital Management, Inc...... 379 Seix Investment Advisors LLC ...... 384 CLO Asset Manager Handbook i ii Structured Finance CLO
Shenkman Capital Management, Inc...... 388 Sound Point Capital Manageme nt, LP...... 393 Steele Creek Investment Management ...... 398 Symphony Asset Management LLC...... 401 TCI Capital Management LLC...... 405 TCW Group, The ...... 408 Teachers Advisors, LLC...... 412 THL Credit Advisors LLC ...... 416 Tikehau Capit al...... 420 Trimaran Advisors, LLC ...... 424 Trinitas Capit al Management, LLC ...... 427 Voya Investment Management Co. LLC...... 429 Wellfleet Credit Partners, LLC...... 434 Whitebox Advisors LLC ...... 438 Whitehorse Capital Management, LLC ...... 441 WhiteStar Asset Management, LLC ...... 444 York CLO Managed Holdings, LLC ...... 447 Z Capital Credit Partners, LLC ...... 451 ZAIS Group, LLC...... 454
CLO Asset Manager Handbook i v Structured Finance CLO
40|86 Advisors, Inc. Founded in 1981, 40|86 Advisors, Inc. (40|86) is a wholly owned subsidiary of CNO Financial Group, Inc. (CNO). As of Dec. 31, 2019, 40|86 had approximately $26 billion in assets under management (AUM) across a wide range of fixed-income securities, including structured finance bonds, investment-grade and high-yield corporate bonds, bank loans, commercial mortgage loans and government securities. 40|86 mainly serves insurance companies; it also manages four CLOs that invest in broadly syndicated loans.
Firm Profile Region(s) of CLO Operations U.S. Location Carmel, IN CLO Related Employees 5 CLO Issuance Since 1996 Total Assets Under Management (AUM) $26 Bil. Leveraged Loan AUM $1.3 Bil. Active CLOs Under Management 4 Total CLOs Managed 20 Source: 40|86 Advisors, Inc. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 22 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 8 Analyst Team Average Experience 6 Years Loan Team Credits Per Analyst 30-40 Approximate No. of Invested Credits 350-400 Distressed Credit Specialists / Avg. Experience 2 / 18 Years Source: 40|86 Advisors, Inc.
U.S. Loan AUM Development ($ Bil.) 2.0 1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: 40|86 Advisors, Inc.
40|86 Advisors, Inc. March 13, 2020 1 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 5 CLOs 98 High Yield Bonds 2 Managed Accounts 2 Structured Credit (non-CLOs) 24 Region Third Party CLOs 2 U.S. 91 Other 67 Europe 6 Client Type Other 3 Insurance 80 Source: 40|86 Advisors, Inc. CLO Investors 5 Other 15 Source: 40|86 Advisors, Inc.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Eddy Piedra Vice President Bank Loans and CLOs 12 23 Bryan Higgins Associate Vice President Bank Loan Trader and PM 21 21 Source: 40|86 Advisors, Inc.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Silver Creek 2014 3Q17 3Q19 363 362 R BSL Yes Clear Creek 2015 4Q17 4Q19 307 308 R BSL Yes Bean Creek 2015 2Q18 2Q20 306 304 R BSL Yes Deer Creek 2017 — 4Q19 306 304 R BSL Yes R – Reinvesting. Source: 40|86 Advisors, Inc.
Organizational Structure
CNO Financial Group
40|86 Advisors CreekSource
Bankers Life and Colonial Penn Life Washington National Casualty Company Insurance Company
Source: 40|86 Advisors, Inc.
40|86 Advisors, Inc. March 13, 2020 2 Structured Finance CLO
The Fitch View —40|86 Advisors, Inc. Key Considerations • 40|86 benefits from support and resources of its parent company, CNO. • Robust oversight and control environment. • Experienced structured vehicle issuer, having managed 20 CDOs/CLOs since 1996. Company • 40|86 is the investment arm and wholly owned subsidiary of CNO, a publicly traded insurance company. • In response to EU risk retention rules, CreekSource, LLC, a wholly owned subsidiary of CNO, was formed as a capitalized majority-owned affiliate to hold the retention interest (CLO equity) and also serve as the collateral manager. 40|86 acts as a sub-adviser to the collateral manager. • Senior members of the bank loan team average 22 years of industry experience. CLO platform head Eddy Piedra has 15 years of direct CLO management experience, in addition to broader bank loan experience. • The CLO platform is a cooperative effort primarily involving the bank loan group, credit research, operations and IT resources. Investments • The bank loan team has four members dedicated to bank loan trading and management of the CLO portfolios. • Credit research has 11 members covering an average of 61 high-yield credits and 67 investment-grade credits. • Prescreened investments undergo a three-stage analytical process consisting of industry, company and capital structure analyses, followed by an ad hoc committee process. • Portfolio credit scoring model is based on credit risk, industry risk and relative value. • The team has two specialists dedicated to working out distressed credits. • The loan portfolio has experienced an annualized default rate of 0.41% since 2008. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Strong oversight provided by parent CNO, including annual internal audits and risk assessments of all essential investment management functions. • 40|86 has been an SEC-registered investment adviser since 1982. An SEC review was conducted in February 2012; no material findings were reported. CreekSource is a relying adviser. • The firm monitors indenture compliance daily to review any issues from the previous day’s trading. Operations and Technology • Procedures for trade settlement and cash flow and holdings reconciliation with CLO trustees are comprehensive and conducted by a dedicated operations team. • Portfolios are priced daily through Markit Loan Pricing, and Intex is used to model and project cash flows. • Timely trade settlement is a high priority for the operations team. 40|86 currently averages 17 business days to settlement for par loans. • Wall Street Office has been integrated for a more efficient management of the portfolio from trading, including trade settlements, to tracking through compliance reporting. • Disaster recovery and business continuity plans are well documented and tested quarterly.
40|86 Advisors, Inc. March 13, 2020 3 Structured Finance CLO
Accunia Fondsmæglerselskab A/S Accunia Fondsmæglerselskab A/S (Accunia) is a fully owned subsidiary of Accunia A/S and the CLO manager employing 37 individuals, 12 whom are dedicated to the CLO management business. The firm launched its first CLO in 2016 and as of December 2019 had three CLOs and a warehouse under management. Accunia’s fourth CLO priced in January 2020.
Firm Profile Region(s) of CLO Operations Europe Location Copenhagen, Denmark CLO Related Employees 12 CLO Issuance Since 2016 Total Assets Under Management (AUM) €2.3 Bil.a a Leveraged Loan AUM €1.2 Bil. Active CLOs Under Management 3 Total CLOs Managed 3 aWarehouse not included. Source: Accunia Fondsmæglerselskab A/S.
CLO Team Structure Region(s) Europe Number of CLO Portfolio Managers (PM) 4 PMs Average Experience 14 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience — <10 Years’ Credit Experience 4 Analyst Team Average Experience 4.5 Years Loan Team Credits Per Analyst 20-25 Approximate No. of Invested Credits 130 Distressed Credit Specialists / Avg. Experience 1 / 10 Years Source: Accunia Fondsmæglerselskab A/S.
European Loan AUM Development (€ Bil.) 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2016 2017 2018 2019 Source: Accunia Fondsmæglerselskab A/S.
Accunia Fondsmæglerselskab A/S April 7, 2020 4 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 2 CLOs 100 Broadly Syndicated Loans 54 Region High Yield Bonds 5 Structured Credit (non-CLOs) 9 U.S. 9 Third Party CLOs 23 Europe 91 Equities 1 Source: Accunia Fondsmæglerselskab A/S. Other 6 Client Type Insurance 21 Bank 12 Pension/Retirement 2 Family Office / High Net Worth 12 Managed Accounts 40 Other 13 Source: Accunia Fondsmæglerselskab A/S.
European Credit Committee Experience (Years) Name Title Firm Industry Henrik Nordby Christensen Chief Executive Officer 4 33 Mads Romild Chief Investment Officer, Portfolio Manager 10 19 Christian Grane Portfolio Manager 1 18 Rajiv Thaker Portfolio Manager 4 10 Andres Garcia Bartolome Portfolio Manager 4 9 Magnus Jacobsen Head of Structuring 6 8 Source: Accunia Fondsmæglerselskab A/S.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Accunia European CLO I B.V. 2016 2019 2Q20 477 471 R Accunia European CLO II B.V. 2017 — 4Q19 375 373 R Accunia European CLO III DAC 2018 — 3Q20 350 363 R R − Reinvesting. Source: Accunia Fondsmæglerselskab A/S.
Organizational Structure
Accunia A/S
100%
100% 100% Accunia Fondsmæglerselskab A/S Accunia OY ACM Forvaltning A/S
Source: Accunia Fondsmæglerselskab A/S.
Accunia Fondsmæglerselskab A/S April 7, 2020 5 Structured Finance CLO
The Fitch View — Accunia Fondsmæglerselskab A/S Key Considerations • Accunia has been managing CLOs since 2016. • Credit team includes chief investment officer and three lead portfolio managers, all of whom have extensive experience in credit analysis and investment. • Well-defined operating procedures and separation between business lines, supported by industry-standard third-party systems. Company • Accunia is a fully owned subsidiary of Accunia A/S and the CLO manager employing 37 individuals, 12 of whom are dedicated CLO professionals. • All portfolio management, credit analysis and loan operations functions are conducted in-house. • The CLO platform has three dedicated European loan analysts and three dedicated CLO portfolio managers. Investments • The formalized investment process is based on bottom-up, fundamental credit selection conducted by the analytical team. Credit analysis is summarized in short memos presented to the investment committee. • Accunia’s European loan investment universe consists of approximately 155 invested issuers. • Credit buy decisions are approved by an investment committee composed of the chief investment officer, the chief executive officer, three portfolio managers, and the head of structuring. Credit sell decisions are not subject to approval. • Daily credit monitoring is performed by three portfolio managers and three European loan analysts. Surveillance is discussed during the weekly investment committee meetings. All credits are considered under the quarterly credit review. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Supervised as a financial entity by the Danish Financial Supervisory Authority, with a focus on risk, compliance and governance processes. • Accunia’s conflict-of-interest policies and processes are well documented. The private equity and debt management businesses are segregated, with restricted information flow between the two overseen by compliance. • Investment risk management is conducted by the front and middle offices and investment committee. • Accunia has no internal audit review due to its size. However, an annual external audit is conducted by a recognized international accounting firm. Operations and Technology • Operational procedures are supported by a middle-office team of two and industry standard tools, including Wall Street Office (WSO) Compliance for loan/CLO administration. Loan settlement is outsourced to IHS Markit. • Daily cash reconciliations and monthly complete portfolio reconciliation occur with the trustee. • There is an appropriate blend of third-party and proprietary systems, including WSO Web. • WSO is the central tool for portfolio administration and the repository of portfolio data. • Technology and systems’ support is managed and maintained by the parent company, which also provides appropriate disaster recovery services.
Accunia Fondsmæglerselskab A/S April 7, 2020 6 Structured Finance CLO
Aegon Asset Management US Aegon Asset Management US (Aegon AM US) is the brand name used by Aegon USA Investment Management, LLC (AUIM) to market its asset management products and services. Aegon AM U.S. is an investment adviser registered with the SEC and part of Aegon Asset Management, the global investment management brand of Aegon N.V. Aegon Asset Management was formed in 2009 and encompasses multiple asset managers globally that regularly collaborate in various business and operational activities. As of Dec. 31, 2019, Aegon AM US had $4.2 billion in leveraged loans under management and nine active CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location Cedar Rapids, IA; Chicago, IL; Baltimore, MD CLO Related Employees 32 CLO Issuance Since 2012
Total Assets Under Management (AUM) $100.8 Bil. Leveraged Loan AUM $4.2 Bil. Active CLOs Under Management 9 Total CLOs Managed 9 Source: Aegon Asset Management US.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 4 PMs Average Experience 20 Yearsª Loan Analysts with: >20 Years’ Credit Experience See note 10–20 Years’ Credit Experience See note <10 Years’ Credit Experience See note Analyst Team Average Experience Loan Team Credits Per Analyst Not Reported Approximate No. of Invested Credits 275 Distressed Credit Specialists / Avg. Experience Not Reported ªAs of Jan. 1, 2020. Note: As of Dec. 31, 2019, the four-member bank loan portfolio management team was supported by two dedicated bank loans research analysts averaging 25 years of experience and 18 credit research professionals averaging 18 years of experience. Additional resources include a team of five covering distressed credit research, a three-member macro team and 11 professionals on a dedicated compliance team as of Dec. 31, 2019. Source: Aegon Asset Management US.
Aegon Asset Management US March 13, 2020 7 Structured Finance CLO
U.S. Loan AUM Development ($ Bil.) 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Aegon Asset Management US.
a Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 98 CLOs 97 Other 2 Managed Funds 3 ªRepresents breakdown of Aegon AM US loan team Region AUM only. U.S. 100 Source: Aegon Asset Management US. Source: Aegon Asset Management US.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry John Baileya Head of Bank Loans Head of Bank Loans 26 30 Jason Feldermana Senior Bank Loans Senior Bank Loans Portfolio Portfolio Manager Manager 17 20 Zach Halsteada Bank Loans Portfolio Manager Bank Loans Portfolio Manager 6 6 Jim Schaeffera Deputy Chief Investment Officer and Co-Head of Deputy Chief Investment Public Fixed Income Officer and Portfolio Manager 16 25 ªNamed as key person on at least one of the firm's CLOs. Source: Aegon Asset Management US.
Aegon Asset Management US March 13, 2020 8 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Cedar Funding II 2013 2Q17 2Q19 350 350 R BSL No Cedar Funding IV 2014 2Q17 2Q19 475 575 R BSL No Cedar Funding V 2016 3Q18 3Q20 400 400 R BSL No Cedar Funding VI 2016 4Q18 4Q19 500 500 R BSL No Cedar Funding VII 2018 — 1Q20 500 500 R BSL No Cedar Funding VIII 2017 — 3Q19 500 500 R BSL No Cedar Funding IX 2018 — 2Q20 500 500 R BSL No Cedar Funding X 2019 — 4Q21 400 400 R BSL No Cedar Funding XI 2019 — 2Q21 400 400 R BSL No R – Reinvesting. Source: Aegon Asset Management US.
Organizational Structure
Aegon N.V.
Aegon Asset Management
Aegon Asset Aegon Real Assets Aegon Asset TKP Investments Kames Capital Management US US Management
U.S.-Based Netherlands-Based U.K.-Based
Note: The above chart reflects the organizational relationships of Aegon Asset Management US's primary brands. It does not reflect the full ownership structure or all entities that are part of Aegon NV. Source: Aegon Asset Management US.
Aegon Asset Management US March 13, 2020 9 Structured Finance CLO
The Fitch View — Aegon Asset Management US Key Considerations • Aegon AM US began managing assets in 1989 and is an experienced, credit-focused institutional fixed-income manager. • Aegon AM US is composed of a seasoned group of industry investment professionals with an average experience level of 20 years. • Financial strength of parent, Aegon N.V. (long-term Issuer Default Rating, ‘A–’/Stable Rating Outlook by Fitch). Company • Aegon AM US is a wholly owned subsidiary of AUAM Holding and an indirect wholly owned subsidiary of Aegon N.V. • The firm's four-member bank loan portfolio management team is supported by two dedicated loan analysts with an average of 25 years industry experience and 18 credit research professionals averaging 18 years of industry experience. • Additional resources include a team of five covering distressed research, a three-member macro team and 11 professionals on a dedicated compliance team. Investments • The leveraged loan investment process involves a tier-based prescreening stage to narrow and prioritize the investment universe to focus full due diligence on a limited number of credits. • Investment strategy involves a combination of top-down macroeconomic analysis and bottom-up fundamental analysis. Formal weekly investment meetings are used to discuss macro trends, asset and sector allocations and security selection. • Investment decisions are made through a team-based process. Final decision-making authority resides with the portfolio management team. • Team discussions are designed to develop high conviction ideas and are led and influenced by Head of Leveraged Loans John Bailey. Any team member may widen the discussion to include Co-Head of Public Fixed Income Jim Schaeffer to help the group reach consensus on portfolio positioning. Although rarely required, Schaeffer or Kirk Buese, chief investment officer, may be consulted to make a final decision. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Sound governance and control structure, with experienced and stable support teams. • The firm has a dedicated Internal Audit team to provide independent assurance that its control, risk management and governance practices are effective and align with industry standards. • The Internal Audit team performs reviews of various Aegon AM US functions throughout the annual reporting cycle based on analysis of the function’s inherent risk. Operations and Technology • CLO administration is outsourced to a third party, Virtus Portfolio, LLC (Virtus). In addition, Aegon AM US utilizes Blackrock’s Aladdin system and PAM for investments systems. Virtus, acting as collateral administrator for the CLOs, is responsible for reconciling daily activity with the CLO’s trustee. • Aegon AM US reconciles loan positions on a daily basis with Virtus. It utilizes Aladdin for integrated trading, research, portfolio management and risk analysis. • Aegon Global Technology (AGT) supports the information technology infrastructure for Aegon AM US, including mainframes, networks, telephony, servers, data storage and disaster recovery. • Aegon AM US maintains a thorough business continuity and disaster recovery plan. Disaster recovery plans are updated and tested at least annually; results are reported to senior management and local risk and control committees for review and approval.
Aegon Asset Management US March 13, 2020 10 Structured Finance CLO
AGL Credit Management LP AGL Credit Management LP (AGL) is a credit-focused investment firm with over $1.3 billion in assets under management (AUM). Established in 2019 by former members of CIFC Asset Management, AGL specializes in senior secured broadly syndicated bank loans. As of Dec. 31, 2019, AGL closed two U.S. CLOs representing approximately $1 billion.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 20 CLO Issuance Since 2019 Total Assets Under Management (AUM) $1.3 Bil. Leveraged Loan AUM $1.3 Bil. Active CLOs Under Management 2 Total CLOs Managed 2 Source: AGL Credit Management LP. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 24 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 2 Analyst Team Average Experience 10 Years Loan Team Credits Per Analyst 30-40 Approximate No. of Invested Credits 150-200 Distressed Credit Specialists / Avg. Experience — Source: AGL Credit Management LP.
U.S. Loan AUM Development ($ Bil.) 1.5
1.0
0.5
0.0 2019 Source: AGL Credit Management LP.
AGL Credit Management LP March 17, 2020 11 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 100 Client Type Region Insurance 21 U.S. 100
Bank 27 Source: AGL Credit Management LP. Pension/Retirement 28 Sovereign Wealth Funds 20 Other 4 Source: AGL Credit Management LP.
U.S. Credit Committee Experience (Years) Name Title Firm Industry Peter Gleysteen CEO and CIO 1 40 Robert Steelman Head of Portfolio Management 1 28 Brian Pilko Head of Research and Deputy Portfolio Manager 1 20 Source: AGL Credit Management LP.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant AGL CLO I 2019 — 4Q21 450 450 R BSL Yes AGL CORE CLO 2 2019 — 2Q22 450 450 R BSL Yes R - Reinvesting. Source: AGL Credit Management LP.
Organizational Structure
AGL GP Holdco LLC AGL Holdings LLC (Delaware) (Delaware)
100% 100%
AGL GP I LLC AGL Credit Management LP (Delaware) (Delaware)
100%
AGL Credit Management LLC (Delaware)
Source: AGL Credit Management LP.
AGL Credit Management LP March 17, 2020 12 Structured Finance CLO
The Fitch View — AGL Credit Management LP Key Considerations • AGL is led by veteran CLO professionals, many of whom are former members of CIFC Asset Management, including the founder Peter Gleysteen. • The AGL team comprises an experienced team of professionals fulfilling roles in credit, operations and compliance. • AGL benefits from the strong financial backing of its management, current employees and investors such as a subsidiary of the Abu Dhabi Investment Authority and Thomas H. Lee. Company • Launched in 2019, AGL is seeking to build a scalable CLO platform called AGL CLO Credit Management LLC that will be become a frequent issuer going forward. • AGL will rely on the experience of its team and the middle- and back-office support functions of Virtus. • The firm has strong financial backing by various investors, including a majority of its current employees. Investments • The investment process reflects a team-oriented approach requiring a consensus approval by a three-person investment committee comprising three experienced CLO professionals — Gleysteen, Brian Pilko and Rob Steelman — who have worked together for over 10 years. • AGL’s platform currently includes a growing staff of credit analysts. Each senior analyst is expected to cover approximately 30-40 credits. • Sourcing and execution of loan trades are aided by established relationships with capital markets and trading desks at the top banks. The firm has a dedicated trader who acts as the primary contact to counterparties on primary and secondary loan markets as well as a dedicated loan capital markets contact to aid in sourcing of loans. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • The firm has adequate tools to help identify risks and monitor and identify credit trends within industry sectors and individual companies. • The firm’s experienced team of in-house professionals will oversee the work completed by Virtus, which serves as the firm’s middle/back office. • A dedicated chief compliance officer facilitates regulatory and compliance matters for the firm. Operations and Technology • The experienced in-house team serves as the liaison among the portfolio management team, Virtus and the trustee. • The portfolio management team will receive daily reports detailing CLO compliance results and pre-trade compliance results. • AGL has implemented Black Mountain systems and will rely on it for various functions, including CLO compliance. • Additional IT support, including cybersecurity, is provided by the firm’s chief technology officer through third-party vendors. • Business continuity plans and cybersecurity measures are appropriate and tested.
AGL Credit Management LP March 17, 2020 13 Structured Finance CLO
AIG Asset Management (U.S.), LLC Covenant Credit Partners, LLC (CCP) was acquired by American International Group, Inc. (AIG) in May 2018 and is now fully integrated within AIG Asset Management (U.S.), LLC (AMG). AMG is a wholly owned, indirect subsidiary of AIG and with the addition of the CCP team, AMG has expanded to a team of 107 investment staff in corporate credit, 20 of whom are dedicated to CLOs and syndicated bank loans. The CLO management team continues to be based in Charlotte, with support from the New York- and Houston-based CLO investment and credit investment teams.
Firm Profile Region(s) of CLO Operations U.S. Location Charlotte, NC CLO Related Employees 20 CLO Issuance Since 2018 Total Assets Under Management (AUM) $317.6 Bil. Leveraged Loan AUM $10.9 Bil.a Active CLOs Under Management 4 Total CLOs Managed 6 ªLeverged Finance platform of AIG Investments. Source: AIG Asset Management (U.S.), LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 19 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 4 Analyst Team Average Experience 10 Years Loan Team Credits Per Analyst 40–45 Approximate No. of Invested Credits 300 Distressed Credit Specialists / Avg. Experience 2 / 19 Years Source: AIG Asset Management (U.S.), LLC.
U.S. Loan AUM Development ($ Bil.) 11.5 11.0 10.5 10.0 9.5 9.0 8.5 2018 2019 Source: AIG Asset Management (U.S.), LLC.
AIG Asset Management (U.S.), LLC April 9, 2020 14 tr ct red inance
an rea d n sset pe e i n
Credit C ittee Experience Years a e it e e ir nd str –
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — — — –
15 tr ct red inance
e itc ie — sset ana e ent C e C nsiderati ns C pan n est ents C ntr s perati ns and ec n
16 Structured Finance CLO
Alcentra Alcentra NY, LLC and Alcentra Ltd. (together, Alcentra) are majority-owned subsidiaries of The Bank of New York Mellon Corporation (BNY). Alcentra is a specialist manager of sub-investment-grade debt; it manages strategies across senior secured loans, direct lending and mezzanine capital, high-yield bonds, special situations and structured credit.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY; Boston, MA London, U.K. CLO Related Employees 37 29 CLO Issuance Since 2003 2003 Total Assets Under Management (AUM) $14.6 Bil. $26.5 Bil. Leveraged Loan AUM $7.7 Bil. €10.0 Bil. Active CLOs Under Management 12 13 Total CLOs Managed 22 28 Source: Alcentra.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 3 2 PMs Average Experience 20 Years 21 Years Loan Analysts with: >20 Years’ Credit Experience 7 1 10–20 Years’ Credit Experience 4 4 <10 Years’ Credit Experience 3 5 Analyst Team Average Experience 18 Years 11 Years Loan Team Credits Per Analyst 50-60 25-35 Approximate No. of Invested Credits 500-550 200-250 Distressed Credit Specialists / Avg. Experience 2 / 13 Years 9 / 11 Years Source: Alcentra.
U.S. Loan AUM Development ($ Bil.)
10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Alcentra.
Alcentra April 7, 2020 17 Structured Finance CLO
European Loan AUM Development (€ Bil.)
12 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Alcentra.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 46 CLOs 61 Middle Market Loans 26 Separately Managed Accounts 11 High Yield Bonds 6 Managed Funds 28 Structured Credit (non-CLOs) 14 Region Other 8 U.S. 41 Client Type Europe 59 Insurance 7 Source: Alcentra. Bank 14 Pension/Retirement 49 Family Office 3 High Net Worth 7 Asset Managers 14 Other 6 Source: Alcentra.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Chris Barris Managing Director Global Head of High Yield and Deputy CIO 7 25 Kevin Cronk Managing Director Portfolio Manager, U.S. Loans 7 24 Leland Hart Managing Director Co-CIO 2 28 Frank Longobardi Managing Director Portfolio Manager, U.S. CLOs/Loans 17 23 Tim Raeke Managing Director Head of U.S. Credit Research 5 21 Ross Curran Managing Director Portfolio Manager, European High Yield 13 14 Source: Alcentra.
Alcentra April 7, 2020 18 Structured Finance CLO
European Credit Committee Experience (Years) Name Title Role Firm Industry David Forbes-Nixon Managing Director CEO 17 33 Graham Rainbow Managing Director Co-CIO, Head of European Loans 11 27 Kevin Lennon Managing Director Head of European Credit 17 30 Ross Curran Managing Director Portfolio Manager, European High Yield 13 14 Joanna Layton Managing Director Deputy Head of European Credit 15 20 Daire Wheeler Managing Director Portfolio Manager, European Loans 5 15 Source: Alcentra.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Shackleton III 2013 1Q18 3Q20 500 500 R BSL No Shackleton IV-R 2018 — 2Q20 418 418 R BSL No Shackleton V-R 2018 — 2Q20 593 593 R BSL No Shackleton VI-R 2018 — 3Q19 500 500 R BSL No Shackleton VII-R 2018 — 3Q20 500 500 R BSL No Shackleton VIII 2016 4Q17 4Q17 430 429 PR BSL No Shackleton IX 2016 3Q19 3Q20 400 400 R BSL Yes Shackleton X 2017 1Q20 1Q21 500 500 R BSL Yes Shackleton XI 2017 — 3Q19 500 500 R BSL Yes Shackleton XII 2018 — 3Q20 500 500 R BSL No Shackleton XIV 2019 — 3Q20 435 435 R BSL No Shackleton XV 2019 — 1Q21 400 400 RU BSL Yes R – Reinvesting. PR – Post-reinvestment. RU – Ramp up. Source: Alcentra.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Jubilee X 2013 1Q17 2Q19 416 392 R Jubilee XI 2014 2Q17 2Q19 414 396 R Jubilee XII 2014 4Q17 4Q19 513 500 R Jubilee XIV 2014 3Q17 1Q17 567 541 R Jubilee XV 2015 4Q17 3Q17 451 430 R Jubilee XVI 2015 4Q17 4Q17 413 398 R Jubilee XVII 2016 4Q18 4Q18 415 401 R Jubilee XVIII 2017 — 3Q19 415 402 R Jubilee XIX 2017 — 4Q19 464 450 R Jubilee XX 2018 — 3Q20 412 400 R Jubilee XXI 2019 — 1Q21 411 400 R Jubilee XXII 2019 — 3Q21 408 400 R Jubilee XXIII 2019 — 4Q21 409 400 R R – Reinvesting. Source: Alcentra.
Alcentra April 7, 2020 19 Structured Finance CLO
Organizational Structure
The Bank of New York Mellon Corporation 100%
BNY Mellon IHC, LLC (Intermediate 100% Holding Companies) MBC Investment Corporation 100%
BNY Alcentra Group Holdings, Inc. 100% (Delaware) 100%
Alcentra US Inc. Alcentra Investments Limited
80% Class A Shares (Voting Rights) Up to 20% Class B Sharesª
Alcentra NY, LLC Alcentra Asset Management Limited U.S. Investment Activities
80% Class A Shares (Voting Rights) Up to 20% Class B Sharesª
Alcentra High Yield Alcentra Limited (a division of Alcentra NY, LLC) European Investment Activities
ªClass B shares are available to and owned by certain Alcentra employees through authorized employee class restricted shares. Source: Alcentra.
Alcentra April 7, 2020 20 Structured Finance CLO
The Fitch View — Alcentra Key Considerations • Specialized global credit asset manager with long track record, substantial CLO AUM and beneficial support of owner, BNY. • Tenured and experienced professional team at all levels, demonstrating stability over time. • Diversified investor base (across investor types and regions), with good access to loan markets due to size, track record and experience within the industry. Company • Established in 2002 via BNY Alcentra Group Holdings, Inc., Alcentra is a specialist sub-investment-grade asset manager, close to 100% owned by its parent, BNY. A small stake is now held by senior employees in Alcentra. • Well capitalized, exhibiting robust financial performance with stable, term-financed asset base. • Investment staff averages approximately 14 years of experience, with senior portfolio managers (PMs) averaging about 22 years’ experience. Investments • Two-step credit selection process, a prescreening phase and a full due diligence phase, is presented to a credit committee. • Credit analysts allocated by sector, region and specialization. All analysts cover across the capital structure, meaning each analyst covers both high yield bonds and loans. • Dedicated workout specialists and in-house lawyers complemented by knowledge and experience of senior management and analysts. • Relative value assessed through price feeds and judgments, formalized at the credit committee. • Position sizing and portfolio diversification are at the discretion of the PM. Sell decisions are predominantly based on analysis of the underlying credit and recovery potential. Controls • Monthly credit risk monitoring formalized via credit, liquidity and recovery internal ratings, the maintenance of a watchlist and quarterly full portfolio reviews. • An independent quarterly risk committee formalizes the risk management process. The risk committee discusses all risk and control issues facing the company, projects and funds and can escalate issues to the Alcentra Ltd. board. • Disciplined committee-based credit process, with PMs assuming final investment responsibility. • Oversight is provided by a dedicated operational risk officer and compliance officer at BNY. Alcentra is audited by BNY’s internal audit function biennially. • Dedicated investment risk specialist brings additional layer of oversight. Operations and Technology • Administration supported by BNY Asset Servicing and front-office system Everest. • Loans are traded by the PMs and traders. Trades have to be reviewed by the operations team at time of execution. Aged loan settlements are reviewed and monitored on a regular basis, with defined escalation procedures.
Alcentra April 7, 2020 21 Structured Finance CLO
Allianz Global Investors Allianz Global Investors (AllianzGI) forms part of the broader Allianz Group, which also includes the PIMCO investment management business. As of Sept. 30, 2019, AllianzGI had approximately $607 billion in global assets under management (AUM), with a high diversity in both strategies and investor base. The U.S. income and growth strategies investment team has a long and successful track record of managing assets throughout the entire capital structure. The suite of products includes U.S. convertible bonds, U.S. high yield bonds, U.S. bank loans, and income and growth — a multi-asset solution that combines high yield bonds, convertible bonds, and large-capitalized equities with a covered call overlay — and U.S. short duration high income.
Firm Profile Region(s) of CLO Operations U.S. Location San Diego, CA CLO Related Employees 19 CLO Issuance Since 2006 a Total Assets Under Management (AUM) $607 Bil. Leveraged Loan AUM $810 Mil. Active CLOs Under Management 3 Total CLOs Managed 6 aAs of Sept. 30, 2019. Source: Allianz Global Investors.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 5 PMs Average Experience 24 Years Loan Analysts with: >20 Years’ Credit Experience 7 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 3 Analyst Team Average Experience 18 Years Loan Team Credits Per Analyst 40-50 Approximate No. of Invested Credits 100-150 Distressed Credit Specialists / Avg. Experience — Source: Allianz Global Investors.
U.S. Loan AUM Development ($ Bil.) 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Allianz Global Investors.
Allianz Global Investors March 20, 2020 22 Structured Finance CLO
Organizational Structure
Allianz SE
Allianz Asset Management AG
Allianz Asset Management of America LPa Allianz Global Investors GmbH
Allianz Global Investors U.S. Holdings LLC
aAllianz Asset Management AG owns both a direct 0.1% non-managing interest and an indirect 0.1% managing (controlling) interest, and Allianz of America holds a direct 99.8% non-managing interest. Source: Allianz Global Investors.
Allianz Global Investors March 20, 2020 23 Structured Finance CLO
The Fitch View — Allianz Global Investors Key Considerations • The company benefits from the substantial scale and resources of its strong and stable parent, Allianz SE, the world’s largest property and casualty insurer, with its asset management business among the global top five. • Employs best-in-class risk management and compliance oversight, coupled with proprietary systems that integrate portfolio management tools, compliance and administrative functions. • Maintains consistent CLO AUM. Company • The U.S. income and growth strategies investment team is responsible for overseeing CLOs and manages several diversified strategies, including U.S. high yield, U.S. convertibles, traditional income and growth, and U.S. short duration high income. • Seasoned senior management and low turnover, as evidenced by portfolio managers (PMs) on the team with numerous years of leverage loan experience and more than 19 years’ experience working together at AllianzGI. Five PMs are supported by eight generalist research analysts. • AllianzGI has a diversified global investor base consisting of institutional and retail investors. Investments • Buy-and-hold portfolio management strategy, with an underlying investment philosophy based on fundamental bottom-up research with a focus on minimizing credit risk. • The team builds portfolios with a target of holding 120 names, all of equal weighting, focusing on credit selection in areas it views as having the best earnings visibility. • Maintains internal ratings on all credits, based on eight factors: liquidity, capital structure, percentage of capitalization, asset utilization, coverage ratios, margins, cash flow and leverage ratios. • Portfolios are constructed to consist of equally weighted positions, demonstrating equal conviction across names. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • AllianzGI holds multiple risk monitoring reviews to ensure rule adherence. The culture is strongly focused on risk management due to the nature of the parent company’s status as a large global insurer. • The company has a deep risk management team, with more than 70 dedicated specialists globally. An independent business risk group focuses on macro-level issues, and local compliance officers review all trades. Operations and Technology • Three-way daily reconciliations are performed to tie out cash and positions among AllianzGI, Wall Street Office (WSO) / Bank of New York, and U.S. Bank, as trustee. • Administrative capabilities reflect the highly qualified and experienced staff interacting with appropriate systems and processes. • Integrated and flexible platform based on a combination of proprietary Excel-based analytics and third-party administration systems, including widely accepted industry systems such as WSO. • The business continuity plan is appropriate and tested. There are multiple redundancies in other offices, and employees utilize Citrix for remote access.
Allianz Global Investors March 20, 2020 24 Structured Finance CLO
Allstate Investment Management Company
Allstate Investment Management Company (AIMCO) and Allstate Investments, LLC
(AILLC) manage the assets of The Allstate Corporation (Allstate) and its affiliates.
The two entities combined are known as Allstate Investments, with AIMCO serving as the
SEC-registered investment adviser. The leveraged credit team within AIMCO managed
$9.8 billion in assets across the AIMCO CLOs, bank loans, high-yield bonds and structured
credit asset classes as of Sept. 30, 2019. AIMCO has issued ten CLOs since 2000, including six 2.0 CLOs (four in reinvestment).
Firm Profile Region(s) of CLO Operations U.S. Location Chicago, IL CLO Related Employees 24 CLO Issuance Since 2000 Total Assets Under Management (AUM) $89.0 Bil. Leveraged Loan AUM $3.5 Bil. Active CLOs Under Management 5 Total CLOs Managed 10 Source: Allstate Investment Management Company. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 21 Years Loan Analysts with: >20 Years’ Credit Experience 3 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 5 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 40-50 Approximate No. of Invested Credits 300-350 Distressed Credit Specialists / Avg. Experience 2 / 19 Years Source: Allstate Investment Management Company.
U.S. Loan AUM Development ($ Bil.) 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Allstate Investment Management Company.
Allstate Investment Management Company February 14, 2020 25 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown
(%) (%) Asset Type Asset Type Investment Grade Corporates 42 CLOs 82 Broadly Syndicated Loans 1 Other 18 Middle Market Loans 1 Region High Yield Bonds 8 U.S. 100
Equities 9 Source: Allstate Investment Management Company. Other 39 Client Type Insurance 97 Other 3 Source: Allstate Investment Management Company.
U.S. Credit Committee Experience (Years) Name Title Firm Industry Chris Goergen Senior Portfolio Manager 29 29 Kyle Roth Portfolio Manager 13 13 Anthony Sclafani Group Head – Credit Research/ Head of High Yield/Bank Loan Research 12 22 Source: Allstate Investment Management Company.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant AIMCO 2015-A 2015 4Q17 4Q18 504 504 PR BSL No AIMCO 2017-A 2017 — 3Q19 410 410 R BSL Yes AIMCO 2018-A 2018 — 2Q20 409 409 R BSL No AIMCO 2018-B 2018 — 1Q21 409 409 R BSL No AIMCO CLO 10 2019 3Q21 456 456 R BSL No PR – Post-reinvestment. R – Reinvesting. Source: Allstate Investment Management Company.
Organizational Structure
The Allstate Corporation (DE) 100% Allstate Non-Insurance Holdings, Inc. (DE) 100% Allstate Investment Management Company (DE)
Source: Allstate Investment Management Company.
Allstate Investment Management Company February 14, 2020 26 Structured Finance CLO
The Fitch View — Allstate Investment Management Company Key Considerations • Senior members of AIMCO’s leveraged credit platform team have significant industry experience and long tenure with the company. • AIMCO has strong sponsor support from Allstate, where it can draw on resources for back office, legal, IT and accounting. • Allstate’s senior management has renewed its commitment to CLO business by following a conservative CLO 2.0 issuance profile. Company • AIMCO and AILLC manage the assets of Allstate and its affiliates. The two entities combined are known as Allstate Investments, with AIMCO serving as the SEC-registered investment adviser. • The leveraged credit team within AIMCO managed $9.8 billion in assets across the AIMCO CLOs, bank loans, high-yield bonds and structured credit asset classes as of Sept. 30, 2019. • AIMCO has issued ten CLOs since 2000, including five active 2.0 CLOs (four currently in reinvestment). • The investment team is adequately staffed, with 12 research analysts led by long-tenured senior portfolio managers and research heads. • Allstate has committed approximately $340 million to date to AIMCO for warehousing and risk retention. Investments • AIMCO articulates a repeatable investment approach where detailed fundamental credit analysis is complemented by an analysis of a loan’s relative value and liquidity. • AIMCO has developed investment criteria to focus its investment universe on strong companies with a track record of stable profitability and reliable cash flows. • A proprietary internal risk rating system is relied on to bolster credit views on individual names when market prices or company operating results differ from expectations. • Credit committees are run on an ad hoc basis, usually at the standing Tuesday team meetings, with investment approval required by the two portfolio managers, Chris Goergen and Kyle Roth. • The firm has formed a committee to explore incorporating environmental, social and governance (ESG) or other impact investing considerations into their investment analysis. Controls • AIMCO and AILLC have adopted substantially identical codes and operating manuals, so employees of both work under the same policies and restrictions, thus reducing any conflicts of interest. • Code and operating manuals are reviewed on an ongoing basis, and any violations, along with corrective actions, are reported quarterly by the compliance department to AIMCO’s board of directors. Operations and Technology • Vicky Olson and Stacy Zbaraz, who have a combined 26 years of operations experience, jointly run the operations team, which is composed of six specialists. • Pre-trade simulations are performed to assess the suitability of a proposed new loan and the impact of its inclusion on test compliance, waterfall payments and the expected internal rate of return. • Cash flows from interest payments, principal repayments and prepayments, and interest rollover are reconciled on a daily basis, while settled loan positions and compliance tests are reconciled monthly. • AIMCO’s technological capabilities adequately match the manager’s business needs, model and volumes. • Wall Street Office is used for CLO compliance.
Allstate Investment Management Company February 14, 2020 27 Structured Finance CLO
American Money Management Corporation
American Money Management Corporation (AMMC) is a wholly owned subsidiary of
American Financial Group, Inc. (AFG), an insurance holding company based in Cincinnati,
OH. AMMC was established in 1973 to provide investment management services to AFG
and its subsidiaries as well as third-party pooled investment vehicles. As of Dec. 31, 2019,
it managed approximately $4.7 billion of broadly syndicated loans across 11 CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location Cincinnati, OH CLO Related Employees 15 CLO Issuance Since 1999 Total Assets Under Management (AUM) $4.7 Bil. Leveraged Loan AUM $4.7 Bil. Active CLOs Under Management 11 Total CLOs Managed 22 Source: American Money Management Corporation. CLO Team Structure Region(s) Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 25 Years Loan Analysts with: >20 Years’ Credit Experience 7 10–20 Years’ Credit Experience 5 <10 Years’ Credit Experience 3 Analyst Team Average Experience 18 Years Loan Team Credits Per Analyst 30-40 Approximate No. of Invested Credits 600-650 Distressed Credit Specialists / Avg. Experience 18 / 18 Years Source: American Money Management Corporation.
U.S. Loan AUM Development ($ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: American Money Management Corporation.
American Money Management Corporation February 14, 2020 28 Structured Finance CLO
Loan AUM Breakdown (%) Asset Type CLOs 100 Region U.S. 100 Source: American Money Management Corporation.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Chester Engª Senior Vice President Portfolio Manager 31 34 Dave Meyerª Senior Vice President Portfolio Manager 29 29 ªNamed as key person on at least one of the firm’s CLOs. Source: American Money Management Corporation.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant AMMC CLO XI 2012 2Q18 2Q20 450 450 R BSL No AMMC CLO XII 2013 4Q17 4Q19 424 421 R BSL No AMMC CLO XIII 2013 3Q17 3Q19 412 410 R BSL No AMMC CLO XIV 2014 3Q17 3Q19 412 406 R BSL No AMMC CLO 15 2014 4Q18 1Q21 505 453 R BSL No AMMC CLO 16 2015 2Q17 2Q19 511 506 R BSL No AMMC CLO 18 2016 — 2Q18 406 406 R BSL No AMMC CLO 19 2016 4Q19 3Q20 460 460 R BSL No AMMC CLO 20 2017 — 4Q19 408 408 R BSL No AMMC CLO 21 2017 — 4Q19 457 455 R BSL No AMMC CLO 22 2018 — 2Q20 463 463 R BSL No R – Reinvesting. Source: American Money Management Corporation.
Organizational Structure
American Financial Group, Inc.
100%
American Money Management Corporation
Source: American Money Management Corporation.
American Money Management Corporation February 14, 2020 29 Structured Finance CLO
The Fitch View — American Money Management Corporation Key Considerations • Extensive experience and depth of staff at both management and research levels. • Experienced CLO issuer showing stable performance. • Strong commitment to CLO platform from AFG. Company • The CLO platform is well staffed at all levels, and the investment team averages 20-plus years of industry experience. • The credit research team has 15 members, including senior managers Chester Eng and Dave Meyer. • AMMC or affiliates typically retain significant portions of equity in their CLOs, ranging from 30% to 51% per deal for more recent transactions. Investments • AMMC’s investment philosophy is value oriented, with a strong emphasis on fundamentals and experienced sector views. • The team focuses primarily on first-lien senior-secured loans and tends to take a buy-and- hold approach to investments. • Analysts are given a great deal of responsibility, including forming sector weightings in addition to buy/sell/hold recommendations. • A team-and-consensus approach is employed, wherein input from all analysts, portfolio managers and traders, is considered. Controls • As a wholly owned subsidiary of publicly traded AFG, AMMC is subject to strong internal and external oversight. • AMMC completed its SEC investment adviser registration process in 2012 and is subject to periodic reviews. • Overall, AMMC operates under a sound control environment, with close oversight by AMMC and AFG senior management. Operations and Technology • AMMC exhibits strong overall CLO administration capabilities, exemplified by the issuance of 22 transactions since 1999. • AMMC is currently working with in-house IT resources to develop a web-based application for its CLO compliance system. • AMMC shares IT resources with AFG. • Portfolio management has access to third-party pricing services in addition to Bloomberg and several industry-level research publication subscriptions. • Disaster recovery and business continuity plans are tested frequently, and remote access capabilities for all employees have been implemented within the past year.
American Money Management Corporation February 14, 2020 30 Structured Finance CLO
Anchorage Capital Group, L.L.C. Anchorage Capital Group, L.L.C. (Anchorage) is a New York-based investment adviser founded in 2003. Its investments include a wide range of both liquid and illiquid assets across companies’ capital structures. As of Dec. 31, 2019, Anchorage had assets under management (AUM) of $13.2 billion in funds. As of Dec. 31, 2019, Anchorage also managed $10.5 billion in U.S. CLOs and CDOs and €1.5 billion in European CLOs and CDOs. Including Anchorage managed funds and CLOs and CDOs, Anchorage managed $10 billion in notional performing bank loans as of Dec. 31, 2019.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employeesa 160 25 CLO Issuance Since 2012 2018 Total Assets Under Management (AUM)b $13.2 Bil. — Leveraged Loan AUMc $8.1 Bil. $1.9 Bil. Active CLOs Under Management 22 4 Total CLOs Managed 22 4 aAs of Jan. 15, 2020. bAnchorage firm AUM includes only pooled investment funds and single-investor funds managed by Anchorage (collectively, the “Anchorage Funds”) as of Dec. 31, 2019. The market value of any direct investments in the CLOs and CDOs managed by Anchorage (the “Anchorage CLOs”), which are held by the Anchorage Funds is included in firm AUM. However, the total AUM of such Anchorage CLOs is not included in this figure. As of Dec. 31, 2019, Anchorage manages approximately $10.5 billion in U.S. CLOs and CDOs and approximately €1.5 billion in European CLOs and CDOs. cLoan AUM that is classified by Anchorage as neither U.S. nor European is included here as U.S. Source: Anchorage Capital Group, L.L.C. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 4 4 PMs Average Experience 22 Years 19 Years Loan Analysts with: 42a >20 Years’ Credit Experience Not reported Not Reported 10–20 Years’ Credit Experience Not Reported Not Reported <10 Years’ Credit Experience Not Reported Not Reported Analyst Team Average Experience 9 Years 10 Years Loan Team Credits Per Analyst 5–25 5–25 Approximate No. of Invested Credits 150–250 150–250 Distressed Credit Specialists / Avg. Experience 42 a aTotal number of sector focused credit analysts and restructuring analysts in Europe and U.S. Source: Anchorage Capital Group, L.L.C.
Anchorage Capital Group, L.L.C. March 30, 2020 31 tr ct red inance CLO
an e e p ent ( il.) 10.0 .0 .0 .0 2.0 0.0 2013 201 2015 201 201 201 2019 ource Anchorage Capital roup, L.L.C.
E r pean an e e p ent ( il.) 2.5 2.0 1.5 1.0 0.5 0.0 2013 201 2015 201 201 201 2019 ource Anchorage Capital roup, L.L.C.
an rea d n ( ) sset pea CLOs 95 edge Fund 5 e i n . . Europe 19 Other 5 a epresents the notional e posure to performing bank debt held by all Anchorage managed funds divided by the notional e posure to performing bank debt of the Anchorage funds and all Anchorage . . CLOs and CDOs. Data as of Dec. 31, 2019. epresents other notional performing bank debt e posure, as it is categori ed by Anchorage internal reporting, held by all Anchorage funds and Anchorage CLOs and CDOs. E posures are categori ed at Anchorage s discretion. ote Data as of Dec. 31, 2019. ource Anchorage Capital roup, L.L.C.
Anchorage Capital roup, L.L.C. arch 30, 2020 32 tr ct red inance CLO
Credit C ittee Experience Years a e it e e ir nd str ale aron artner, ortfolio anager, nvestment lobal ead of tructured Credit Committee ember 11 22 oo im ortfolio anager and nvestment Co ead of . . tructured Credit Committee ember 10 1 ichael Aglialoro anaging Director nvestment Committee ember 15 2 aul ordon anaging Director and nvestment ead of . . ortfolio roup Committee ember 23 ource Anchorage Capital roup, L.L.C.
E r pean Credit C ittee Experience Years a e it e e ir nd str ale aron artner, ortfolio anager, lobal nvestment ead of tructured Credit Committee ember 11 22 oo im ortfolio anager and nvestment Co ead of . . tructured Credit Committee ember 10 1 Thibault ournay artner, ortfolio anager, nvestment lobal ead of esearch Committee ember 10 1 ames Frost anaging Director nvestment Committee ember 1 ource Anchorage Capital roup, L.L.C.
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant Anchorage Capital CLO 1 201 — 2 20 500 501 L o Anchorage Capital CLO 2013 1 2013 1 19 550 553 L o Anchorage Capital CLO 3 201 — 19 500 501 L o Anchorage Capital CLO 201 — 19 00 02 L o Anchorage Capital CLO 5 201 — 1 19 500 502 L o Anchorage Capital CLO 2015 3 1 3 19 550 550 L o Anchorage Credit Funding 1 2015 3 19 3 1 525 52 C O o Anchorage Capital CLO 2015 1 1 50 52 L o Anchorage Credit Funding 2 201 — 1 1 13 2 C O o Anchorage Capital CLO 201 3 1 3 19 500 502 L o Anchorage Credit Funding 3 201 — 1 30 5 C O o Anchorage Capital CLO 9 201 3 19 2 21 550 550 L o Anchorage Credit Funding 201 — 1 19 500 51 C O o Anchorage Credit Funding 5 201 — 20 500 519 C O o Anchorage Credit Funding 201 — 3 20 500 50 C O o Anchorage Capital CLO 201 10 201 — 20 00 00 L o Anchorage Capital CLO 11 2019 — 3 21 00 00 L o – einvesting. – ost einvesting. Continued on next page. ource Anchorage Capital roup, L.L.C.
Anchorage Capital roup, L.L.C. arch 30, 2020 33 tr ct red inance
cti e C s nder ana e ent C ntin ed atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — — — — –
cti e E r pean C s nder ana e ent atest End rt i a ance e i n (€ Mil.) a e inta e eset Ca ri ina C rrent tat s — — — — –
34 i
i i — i l . . . i i The U.S. CLO investment committee is four members averaging 22 years’ experience. l collection as well as Anchorage’s report i l
35 Structured Finance CLO
Angelo, Gordon & Co., L.P. Angelo, Gordon & Co., L.P. (Angelo, Gordon), founded in 1988, is a privately held firm specializing in alternative investments. The firm manages capital across four investment categories: (i) corporate credit, (ii) direct lending, (iii) securitized products, and (iv) real estate. As of Sept. 30, 2019, Angelo, Gordon had approximately $36 billion of assets under management (AUM), including $6.0 billion in leveraged loans.
Firm Profile
Region(s) of CLO Operations U.S. Location New York City, NY CLO Related Employees 25 CLO Issuance Since 1998 Total Assets Under Management (AUM) $36.0 Bil.ª Leveraged Loan AUM $6.0 Bil.ª Active CLOs Under Management 9 U.S. / 1 Europe Total CLOs Managed 22 ªAs of Sept. 30, 2019. Source: Angelo, Gordon & Co., L.P.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 1 1 PMs Average Experience 32 Years 13 Years Loan Analysts with: >20 Years’ Credit Experience 2 1 10–20 Years’ Credit Experience 4 — <10 Years’ Credit Experience 3 2 Analyst Team Average Experience 14 Years 12 Years Loan Team Credits Per Analyst ~40 ~40 Approximate No. of Invested Credits 150-200 105 Distressed Credit Specialists / Avg. Experience 9 / 14 Years 5/12 Years Note: Each analyst is responsible for three to six industries and approximately 40 individual companies. Source: Angelo, Gordon & Co., L.P.
U.S. Loan AUM Development ($ Bil.) 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019ᵃ ᵃAs of Sept. 30, 2019. Source: Angelo, Gordon & Co., L.P.
Angelo, Gordon & Co., L.P. February 14, 2020 36 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%, As of Sept. 30, 2019) (%, As of Sept. 30, 2019) Asset Type Asset Type Broadly Syndicated Loans 8 CLOs 58 Middle Market Loans 17 Managed Accounts 30 Structured Credit (non-CLOs) 18 Managed Funds 11 Third Party CLOs 10 Region Other 48 U.S. 100ª Client Type aExcludes Northwoods Capital 19, the firm’s first Insurance 3 Euro-denominated CLO, and Northwoods 20. Pension/Retirement 40 Source: Angelo, Gordon & Co., L.P. Endowment 12 Family Office / High Net Worth 16 Sovereign Wealth Funds 5 Other 24 Source: Angelo, Gordon & Co., L.P.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Maureen D’Alleva Global Head of Performing Credit Portfolio Manager 16 31 Steven Paget Managing Director Portfolio Manager 1 13 European Distressed Daniel Pound Head of Europe 14 17 Debt Portfolio Mgr. Michiel von Saher Managing Director Analyst <1 24 Analyst/CLO Donhoa Tran Managing Director 10 12 Structuring Christina Hwang Managing Director Analyst 11 18 Lauren Murphy Director Analyst 3 11 Source: Angelo, Gordon & Co., L.P.
Angelo, Gordon & Co., L.P. February 14, 2020 37 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Northwoods X 2013 2Q17 4Q15 350 3 PR BSL No Northwoods XV 2017 — 2Q19 450 587 R BSL No Northwoods XVI 2017 — 3Q19 500 587 R BSL No Northwoods XVII 2018 — 2Q20 525 490 R BSL No Northwoods XI-B 2018 2Q18 2Q20 597 441 R BSL No Northwoods XII-B 2018 2Q18 2Q20 598 492 R BSL No Northwoods XIV-B 2018 4Q18 4Q20 500 519 R BSL No Northwoods XVIII 2019 — 2Q21 450 449 R BSL No Northwoods 20 2019 — 1Q21 450 451 RU BSL No PR – Post-reinvestment. R – Reinvesting. RU –Ramp-up. Source: Angelo, Gordon & Co., L.P.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Northwoods 19 2019 — 4Q21 406 401 R R – Reinvesting. Source: Angelo, Gordon & Co., L.P.
Organizational Structure
Angelo, Gordon & Co., L.P. U.S. SEC Registered Investment Advisory Firm
Angelo, Angelo, Angelo, Angelo, Angelo, Angelo, Gordon Gordon Asia Gordon Gordon Gordon Gordon Europe LLP Limited Netherlands Germany Singapore International B.V. GmbH Private Limited LLC FCA Affiliated Registered Seoul and Affiliated Affiliated Affiliated Affiliated Advisory Firm Hong Kong Amsterdam Frankfurt Singapore Tokyo Office & Affiliated Offices Office Office Office London Office
Source: Angelo, Gordon & Co. L.P.
Angelo, Gordon & Co., L.P. February 14, 2020 38 Structured Finance CLO
The Fitch View — Angelo, Gordon & Co., L.P. Key Considerations • Experienced CLO management firm that has managed 23 CLOs including 13 CLO 2.0s. • The firm has demonstrated extensive experience and depth of staff in management, research, operations and technology support. • Strong core of senior investment professionals, including the current U.S. CLO portfolio manager (PM), who has 32 years of industry experience, and European PM, who has 13 years of industry experience. Company • Founded in 1988, Angelo, Gordon employs a total staff of 500, including 209 investment professionals, and is headquartered in New York with offices located globally. It is currently managing $36 billion in assets across corporate credit, real estate and private equity. • The firm has more than 20 years’ experience managing non-investment-grade credits, including leveraged loans and distressed credits, through an established investment platform that includes open-ended funds, CLOs, separate accounts and now middle-market lending. • Robust operational, financial and legal resources to support current investment objectives, future growth plans and risk retention capital requirements. • Segregated departments/teams with clear responsibilities for risk and control, investments and operations. Investments • CLO investment strategy focuses on comprehensive, bottom-up credit research to avoid defaults and preserve capital. • The CLO team includes 11 credit analysts and two traders across the U.S. and Europe, who have access to the expertise of a team that specializes in distressed investing. • The 11 full-time CLO credit analysts each cover approximately 40 credits. Credit analysts average approximately 14 years of experience (excluding the PM). • There are no formal investment committees for the U.S. CLOs, but buy decisions are based on research and the collaborative insight of the deal credit analyst, PM and loan trader. • The PM has ultimate say over all trades and position sizes. • A formal review of all CLO portfolio holdings is conducted quarterly, and relevant credits are discussed on a weekly basis. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • The company maintains multiple levels of review and oversight to support accuracy of trading, portfolio management and administration functions. • Robust governance and control structure, with experienced and stable support from operations team. • Sufficient in-house resources dedicated to CLO surveillance and hypothetical trade testing. Operations and Technology • Firm relies on Virtus for loan administration but retains a three-person middle-office team, with demonstrated CLO compliance and leveraged loan administration experience. • PM receives daily updates regarding reconciled cash and portfolio holdings, as well as current CLO compliance related test results. • Front- to middle-office position monitoring and order management systems are efficient and robust. • Use of both widely accepted industry systems and proprietary systems for portfolio management and administration, including Geneva, CDO Suite, Charles River, Radar, Viteos, Virtus, and Clearpar.
Angelo, Gordon & Co., L.P. February 14, 2020 39 Structured Finance CLO
Antares Capital Advisers LLC Antares Capital Advisers LLC (the manager or ACA) is an indirectly wholly owned subsidiary of Antares Holdings LP. Antares Holdings LP (together with its affiliates, Antares) is a leading provider of lending solutions to PE sponsor-backed middle market companies in the U.S. The original business was formed in 1996 and acquired by GE in 2005. GE subsequently sold its sponsor finance business, inclusive of GE Antares, to Canada Pension Plan Investment Board (CPPIB) in 2015. CPPIB manages pension funds for 20 million Canada Pension Plan members and is one of the 10 largest retirement funds globally. As of Sept. 30, 2019, Antares Holdings LP had approximately $27 billion in capital under management and administration, $6.5 billion of which is managed by ACA through its CLO platform. Antares Holdings LP priced one more CLO in 4Q19, which closed in January 2020 and brought CLO AUM to approximately $7 billion as of January 2020.
Firm Profile Region(s) of CLO Operations U.S. Location Chicago, IL / New York, NY CLO Related Employees ~400 CLO Issuance Since 2017 Total Assets Under Management (AUM)a $27.1 Bil.b b Leveraged Loan AUM $26.7 Bil. Active CLOs Under Management 6 Total CLOs Managed 6 a Total AUM is Antares's Capital Under Management and Administration (CUMA), defined as invested and available capital (including on balance sheet and through joint ventures, co-investment programs and advised clients). bAs of Sept. 30, 2019. Source: Antares Capital Advisers LLC. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 34 Years Loan Analysts with: >20 Years’ Credit Experience 9 10–20 Years’ Credit Experience 32 <10 Years’ Credit Experience 75 Analyst Team Average Experience 8 Years Loan Team Credits Per Analyst 5–10 Distressed Credit Specialists / Avg. Experience 13 / 13 Years Source: Antares Capital Advisers LLC.
Antares Capital Advisers LLC February 21, 2020 40 tr ct red inance
an e e p ent
ᵃ
an rea d n sset pe e i n
Credit C ittee Experience Years a e it e e ir nd str 3 37 3 3 3 3 3 7 3 3 33 3 3
41 tr ct red inance
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — — — — — — –
r ani ati na tr ct re
ntares din s
ntares idc nc ntares ssetc ntares esta ndin ntares C s
ntares Capita
ntares Capita d isers C
Antares‘s
42 tr ct red inance
e itc ie — ntares Capita d isers C e C nsiderati ns tea ene ts r t e res r es an e ert se a ar e e ar et en n tea an t e nan a a n ana a ens n an n est ent ar ne t e r s ar est ret re ent n s r s an e e ne re t se e t n r ess s n n tt n a enta ana s s an se e t e s n re n est ents e as s n a ta reser at n at t an n at n ns e r s Typically purchases 100% of managed CLOs’ equity; t es te n t ta n e era e n ts a an e s eet n est ents C pan Antares a ta A sers t e ana er r A A s an n re t ne s s ar Antares n s an r es n est ent ana e ent ser es n a s ret nar an n n s ret nar as s t ents n es ana n t e Antares e ar et at r Antares n s t et er t ts a ates Antares s a ea n r er en n s t ns t s ns r a e e ar et an es n t e e r na s ness as r e n an a re n s se ent s ts s ns r nan e s ness n s e Antares t ana a ens n an n est ent ar n Antares s e a e ra ett an t e s are ana e e re t er er n a ea as a r ate ears e er en e n e era e nan e A r ate r nat rs are re t r s tra ne n est ent r ess s r a e t ea re t re r n n er r t n an a r t a r a t e n est ent ttee n est ents n est ent st e ses n s ns r a e e ar et ers e rr ers t r en re ta e as s an A et een n an n s n ea n e en e r ess an en n at t e t t e a ta str t re t a t a er e te rst en se r t nterest re t n er r t n s se n a at n st r a an r e te nan a s a t ana e ent n str tren s an str t re an et t e a anta es a n t er a t rs rt nstr t n enera rese es t at r a er a an e s eet t e as s n ers t a r ss a e ran e n str es e r n r rates en r n enta s a an ernan e r t er a t n est n ns erat ns nt t e r n est ent ana s s C ntr s r a e n n s r e an e r ess n es ee eet n s er n ar et tren s an an er r an e as e as rt an e arter rt re e s are n te t r a ates t r e t ns an er r an e tren s r e t t e ent re tea ar et tren s are s sse t ens re a r r ate r s ana e ent nterna an e n t ns are e esta s e an ente t n t e r perati ns and ec n A e ate at r n a e t r nt en rt ana e ent re rt n r er ana e ent s ste as sett e ent an an e r e res t at eet n str stan ar s st a an e e res r es ens re e ent an a r r ate ana e ent s an n str stan ar ntr s n n re t r ess n t t e tr stee ena n a t ate a as an s t n re n at ns ene ts r n se e art ent r res t ns t es a nta n as ts r nt en rt ana e ent an r a t at n s ste
Antares a ta A sers e r ar 43 Structured Finance CLO
Apex Credit Partners LLC Apex Credit Partners LLC (Apex) is wholly owned by Jefferies Finance LLC (JFIN), which, in turn, is 50% owned by Jefferies Group LLC (Jefferies), a global investment banking firm, and 50% owned by Massachusetts Mutual Life Insurance Company (MassMutual), a leading mutual life insurance company. As of Dec. 31, 2019, Apex had assets under management (AUM) of $5.2 billion among 14 CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location New York City, NY CLO Related Employees 16 CLO Issuance Since 2007 Total Assets Under Management (AUM) $5.2 Bil. Leveraged Loan AUM $5.2 Bil. Active CLOs Under Management 8 Total CLOs Managed 14 Source: Apex Credit Partners LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience Over 25 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 5 <10 Years’ Credit Experience 5 Analyst Team Average Experience 9 Years Loan Team Credits Per Analyst 40-50 Approximate No. of Invested Credits 450-500 Distressed Credit Specialists / Avg. Experience 2 / 24 Years Source: Apex Credit Partners LLC.
U.S. Loan AUM Development ($ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Note: Includes sub-advised AUM. Source: Apex Credit Partners LLC.
Apex Credit Partners LLC March 4, 2020 44 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 99 CLOs 100 Middle Market Loans 1 Region Source: Apex Credit Partners LLC. U.S. 100 Source: Apex Credit Partners LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry David Wells Chief Investment Officer CIO 15 30 Steve Goetschius Managing Director PM 13 35 Andrew Stern Managing Director PM 7 21 Source: Apex Credit Partners LLC.
Active U.S. CLOs Under Management
Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant JFIN CLO 2012 2012 3Q18 2Q19 314 320 R BSL Yes JFIN CLO 2013 2013 — 1Q15 462 169 PR BSL No JFIN CLO 2014 2014 4Q17 2Q16 522 351 PR BSL No JFIN MM CLO 2014 2014 — 2Q16 309 155 PR MML Yes JFIN CLO 2014-II 2014 3Q17 3Q16 563 413 PR BSL No JFIN CLO 2015 2015 4Q17 1Q17 513 493 PR BSL Yes Apex CLO 2015-II 2015 2Q18 4Q17 410 413 PR BSL Yes Apex CLO 2016 LTD 2016 4Q19 4Q19 354 392 R BSL Yes Apex Credit CLO 2017 2017 — 3Q19 454 442 R BSL Yes Apex Credit CLO 2017-II 2017 — 4Q19 460 458 R BSL Yes Apex Credit CLO 2018 2018 — 3Q20 463 463 R BSL Yes Apex Credit CLO 2018-II 2018 — 4Q20 410 410 R BSL Yes Apex Credit CLO 2019-I 2019 — 2Q21 399 399 R BSL Yes Apex Credit CLO 2019-II 2019 — 4Q21 409 409 R BSL Yes R – Reinvesting. PR – Post-reinvestment. Source: Apex Credit Partners LLC.
Apex Credit Partners LLC March 4, 2020 45 Structured Finance CLO
Organizational Structure
Jefferies Financial Group Inc.
100%
Jefferies Group LLC Massachusetts Mutual Life Insurance Company
50% 50%
Jefferies Finance LLC
100%
Apex Credit Partners LLC
Source: Apex Credit Partners LLC.
Apex Credit Partners LLC March 4, 2020 46 Structured Finance CLO
The Fitch View — Apex Credit Partners LLC Key Considerations • Demonstrated track record since 2007 managing CLOs, combined with an experienced team of portfolio managers and analysts. • Apex benefits from strong support of its parent company, JFIN, which has a diverse revenue stream from both underwriting and portfolio management. • Protocols are in place to avoid potential conflict of interest by maintaining an effective wall of separation between Apex’s and JFIN’s underwriting and origination business, as well as rules governing participation in JFIN-underwritten loans. Company • Apex, a registered investment adviser, is wholly owned by JFIN, which is 50% owned by Jefferies and 50% owned by MassMutual, a leading mutual life insurance company. Apex is the CLO asset management business of JFIN. • Jefferies, together with its subsidiaries, is a global investment banking firm. • Apex and JFIN own over $400 million of equity in the CLOs. • Credit research has been bolstered by 10 analysts responsible for covering approximately 45 credits each, based on industry coverage. Investments • The team takes a fundamental, bottom-up credit-driven approach and typically employs a buy-and-hold strategy. • Fundamental credit view results in strong conviction and a more buy-and-hold investment strategy. • Credit views are supplemented by industry and competitor analysis from Apex’s underwriting and pricing and relative-value analyses. • Surveillance is ongoing and includes daily reviews of market events, industry updates and credit events. There are additional quarterly portfolio reviews of watchlist and classified loans or on an ad-hoc basis as needed. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Apex’s use of Black Mountain Systems’ Everest platform is supplemented by proprietary systems to provide credit risk, loan monitoring, compliance and pricing services for the firm’s portfolio. • Apex performs formal quarterly portfolio reviews, with results reported to the board of directors at JFIN. • Additional independent oversight and diligence performed by JFIN and its outside auditor (Deloitte & Touche LLP). Operations and Technology • Apex has in place daily reconciliation of cash and loans with State Street and U.S. Bank and Citi/Virtus as trustees. • All portfolio management and credit analysis functions are performed by either Apex or the trustees. Models are run daily to ensure compliance with CLO tests. • Daily internal reconciliation of cash and positions and weekly reconciliation of securities with custodians and administrators. • Multiple systems used, including Everest, which is customized by Black Mountain Systems for portfolio management, credit monitoring, compliance and trading, with direct feeds from Moody’s, S&P and Markit. • Business continuity plan is adequate and tested, with daily data backup and multiple systems redundancies leveraging off Jefferies.
Apex Credit Partners LLC March 4, 2020 47 CLO
Apollo Global Management, Inc. (together with its subsidiaries, Apollo) is a global alternative investment management company founded in 1990. As of Sept. 30, 2019, the company had $322.7 billion in assets under management (AUM), 1,352 employees and 15 offices globally. Apollo’s business is separated into three segments: private equity, real assets and credit. Globally, corporate credit accounts for approximately 15% of total firm AUM. For the definition of AUM, see Apollo’s 10-K.
U.S. Europe New York, NY London, U.K. 40ª 11ª 2010 2013 $322.7 Bil. globally — $35.9 Bil. globally — 11 4 40ᵇ 5 ªRepresents corporate credit group professionals, including portfolio managers, analysts and traders. All employees work across the broad platform. There are no CLO-dedicated employees. ᵇ21 acquired from Gulf Stream Asset Management and Stone Tower Capital. Source: Apollo Global Management, Inc.
U.S. Europeª 3 2 27 Years 17 years >20 Years’ Credit Experience 2 — –20 Years’ Credit Experience 9 1 <10 Years’ Credit Experience 21 6 9 Years 8 Years 30–40 25–35 750-800 globally — —c —c ªThe European team leverages the U.S. team and also other parts of Apollo's credit platform in London and c the U.S. ᵇExcludes all portfolio managers and traders. The global corporate credit group is further supported by Apollo's entire credit platform as well as all business units across the firm, which allows for information sharing and idea generation. Source: Apollo Global Management, Inc.
($ Bil.) 40.0 35.0 30.0 25.0 20.0 15.0 10.0 5.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Apollo Global Management, LLC.
Apollo Global Management, Inc. February 14, 2020 48 tr ct red inance
ta rea d n an rea d n sset pe sset pe rivate quity s orporate Fi ed ncome Managed Accounts orporate redit Managed Funds eal Assets e i n tructured redit A 0 U. . 0 irect rigination 1 uropeᵇ 10 onsumer esidential redit 1 Funds denominated in U . ᵇFunds denominated nsurance olutions roup 1 in or U . cludes t o managed accounts Financial redit nvestments 1 denominated in . Athora on ub Advised 10 ource: Apollo lobal Management, nc. ther redit 0. C ient pe ublic ension overeign overnmental 1 Finance nsurance ompany 1 thera 10 etail orporate ension Fund of Funds onsultant ndo ment or Foundation a ther consists of capital commitments from the general partner, Apollo affiliates or service providers. ource: Apollo lobal Management, nc.
er r in Credit n est ent C ittee Experience Years a e it e e ir nd str ames elter o resident, o resident, redit redit 1 Anthony ivale o hief perating fficer, o hief perating fficer, ead artner redit ead artner redit 0 ohn ito enior artner enior ortfolio Manager, eputy redit o ead of lobal orporate redit 1 oseph Moroney enior artner enior ortfolio Manager o ead of lobal orporate redit 10 atric yan artner hief redit fficer avid aito it artner ortfolio Manager o ead of U. . erforming redit 1 ames ane artner ortfolio Manager o ead of U. . erforming redit 11 1 achariah arratt artner ortfolio Manager rader 1 avid urits y Managing irector ortfolio Manager 11 regg tover Managing irector ortfolio Manager ource: Apollo lobal Management, nc.
Apollo lobal Management, nc. February 1 , 0 0 49 tr ct red inance
E r pean Credit C ittee Experience Years a e it e e ir nd str ames elter o resident, o resident, redit redit 1 Anthony ivale o hief perating fficer, o hief perating fficer, ead artner redit ead artner redit 0 oseph Moroney enior artner enior ortfolio Manager o ead of lobal orporate redit 10 atric yan artner hief redit fficer ristram each artner ortfolio Manager o ead of uropean erforming redit 1 havin atel artner ortfolio Manager o ead of uropean erforming redit 11 0 ource: Apollo lobal Management, nc.
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant A M 01 1 1 o A M 01 1 1 00 0 o A M 01 1 0 00 o A M 01 1 1 00 o A M 01 1 1 0 o A M 01 1 1 00 o A M 01 1 1 1 o A M 01 1 1 1,10 1,101 o A M 01 1 1 01 01 o A M 01 1 1 0 0 o A M 01 1 1 1 o einvesting. ource: Apollo lobal Management, nc.
cti e E r pean C s nder ana e ent atest End rt i a ance e i n (€ Mil.) a e inta e eset Ca ri ina C rrent tat s A M oan Funding .A. . 01 1 1 1 A M oan Funding , td. 01 1 1 0 01 A M oan Funding . . 01 1 1 1 1 0 A M oan Funding . . 01 1 0 0 00 – einvesting. ource: Apollo lobal Management, nc.
Apollo lobal Management, nc. February 1 , 0 0 50 i
i i — ll l l M . i i l Conflicts of interest are minimized by global policy of not investing in the debt of Apollo’s — that is, companies owned by Apollo’s private equity arm. There are no walls of separation between Apollo’s investment teams. As a result, Apollo is i l
51 Structured Finance CLO
Ares Management LLC Ares Management LLC (Ares) is a wholly owned subsidiary of Ares Management Corporation, a publicly traded global asset manager with approximately $149 billion of assets under management (AUM) as of Dec. 31, 2019. Ares has over 1,200 employees in over 20 global offices across the U.S., Europe, Asia, the Middle East and Australia. Ares manages three distinct but complementary investment groups that invest in the credit, private equity and real estate markets with the ability to invest in all levels of the capital structure. As of Dec. 31, 2019, the Ares Credit Group had approximately $110.5 billion of AUM, with approximately $18.7 billion relating to CLOs.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Los Angeles, CA London, U.K. CLO Related Employees 65 15
CLO Issuance Since 1999 2006 Total Assets Under Management (AUM) $97.3 Bil. $51.6 Bil. Leveraged Loan AUM $17.5 Bil. $4.8 Bil. Active CLOs Under Management 31 7 Total CLOs Managed 78 14 Note: AUM amounts include funds managed by Ivy Hill Asset Management, L.P., a wholly owned portfolio company of Ares Capital Corporation and a registered investment adviser. Source: Ares Management LLC. CLO Team Structure Region(s) Global Credit Group Team Number of CLO Portfolio Managers (PM) 5
PMs Average Experience 25 Years Loan Analysts with:
>20 Years’ Credit Experience 4 10–20 Years’ Credit Experience 10 <10 Years’ Credit Experience 12 Analyst Team Average Experience 11.6 Years Loan Team Credits Per Analyst 30–50 Approximate No. of Invested Credits 700–750 Distressed Credit Specialists / Avg. Experience 15 / 11 Years Source: Ares Management LLC.
U.S. Loan AUM Development ($ Bil.) 20
15
10
5
0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Ares Management LLC.
Ares Management LLC 52 Structured Finance CLO
European Loan AUM Development ($ Bil.)
7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Ares Management LLC.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 15 CLOs 84 Middle Market Loans 49 Managed Accounts 15 High Yield Bonds 2 Managed Funds 1 Structured Credit (non-CLOs) 5 Region Other 29 U.S. 79 Client Type Europe 21 Insurance 11 Source: Ares Management LLC. Bank 15 Pension / Retirement 26 Endowment 1 Family Office / High Net Worth 1 Sovereign Wealth Funds 9 Managed Accounts 2 Other 35 Source: Ares Management LLC.
U.S. Liquid Credit Investment Committee Experience (Years) Name Title Role Firm Industry Seth Brufsky Partner Co-Head of Global Liquid Credit Portfolio Manager, U.S. Liquid Credit U.S. BSL CLOs 22 29 Jason Duko Partner Portfolio Manager, U.S. Liquid Credit 1 20 Daniel Hayward Partner Portfolio Manager, U.S. Liquid Credit U.S. BSL CLOs 7 12 Jennifer Kozicki Partner Co-Head of Global Liquid Credit 20 23 Chris Mathewson Partner Portfolio Manager, U.S. Liquid Credit 13 16 Samantha Milner Partner Portfolio Manager, U.S. Liquid Credit 16 20 Kapil Singh Partner Portfolio Manager, U.S. Liquid Credit 1 27 Ian Smith Partner Portfolio Manager, U.S. Liquid Credit U.S. BSL CLOs 17 18 Source: Ares Management LLC.
Ares Management LLC 53 Structured Finance CLO
Middle Market Investment Committee Experience (Years) Name Title Role Firm Industry Steven Alexander Managing Managing Director at Director Ivy Hill Asset Management 9 24 Kevin Braddish Partner President and Head of Ivy Hill Asset Management, Portfolio Manager 9 36 Ryan Cascade Partner Head of Ares Commercial Finance 10 23 Shelly Cleary Managing Managing Director at Director Ivy Hill Asset Management 10 17 Mitch Goldstein Partner Co-Head of Ares Credit Group 15 25 Stephanie Setyadi Managing Managing Director at Director Ivy Hill Asset Management 10 17 Michael Smith Partner Co-Head Ares Credit Group 16 25 Source: Ares Management LLC.
European Liquid Credit Investment Committee Experience (Years) Name Title Role Firm Industry Michael Dennis Partner Portfolio Manager, European Credit 12 22 Francois Gauvin a Partner Portfolio Manager, Europe BSL CLOs 8 29 Blair Jacobson Partner Co-Head of European Credit 7 23 Boris Okuliar Partner Co-Head, Global Liquid Credit Portfolio Manager, European Liquid Credit 3 23 ªNamed as key person on at least one of the firm's CLOs. Source: Ares Management LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU
Name Vintage Reset Call Original Current Status Type Compliant
Ares XXVII CLO 2013 2Q17 3Q19 417 417 R BSL No Ares XXIX CLO 2014 1Q17 2Q16 514 257 PR BSL No Ares XXXIV CLO 2015 3Q17 3Q17 814 742 PR BSL No Ares XXXVII CLO 2015 4Q17 4Q19 707 707 R BSL No Ares XXXVIII CLO 2015 1Q18 2Q20 409 409 R BSL No Ares XXXIX CLO 2016 2Q19 2Q21 510 510 R BSL No Ares XL CLO 2016 4Q18 2Q20 707 707 R BSL No Ares XLI CLO 2016 — 3Q19 614 614 R BSL No Ares XLII CLO 2017 — 1Q19 409 409 R BSL No Ares XLIII CLO 2017 — 2Q19 818 818 R BSL No Ares XLIV CLO 2017 — 4Q19 1,109 1,109 R BSL No Ares XLV CLO 2017 — 4Q19 536 536 R BSL No Ares XXVIIIR CLO 2018 — 4Q20 444 444 R BSL No Ares XXXIR CLO 2018 — 2Q20 1,259 1,259 R BSL No
Ares XXXIIR CLO 2018 — 2Q20 513 513 R BSL No Ares XXXVR CLO 2018 — 3Q20 409 409 R BSL No Ares XLVI 2018 — 1Q20 607 607 R BSL No Ares XLVII 2018 — 2Q20 714 714 R BSL No R – Reinvesting. PR – Post-Reinvestment. Continued on next page. Source: Ares Management LLC.
Ares Management LLC 54 Structured Finance CLO
Active U.S. CLOs Under Management (Continued) Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Ares XLVIII 2018 — 3Q20 513 513 R BSL No Ares XLIX 2018 — 3Q20 512 512 R BSL No Ares L 2018 — 1Q21 510 510 R BSL No Ares LI 2019 — 1Q21 507 507 R BSL No Ares LII 2019 — 2Q21 507 507 R BSL No Ares LIII 2019 — 2Q21 589 589 R BSL No Ares LIV 2019 — 4Q21 400 400 R BSL No Ivy Hill Middle Market Credit Fund VII 2013 4Q17 4Q19 425 425 R MML No Ivy Hill Middle Market Credit Fund IX 2014 4Q17 1Q20 324 324 R MML Yes Ivy Hill Middle Market Credit Fund X 2015 3Q18 1Q20 373 373 R MML Yes Ivy Hill Middle Market XII 2017 — 3Q19 379 379 R MML Yes Ivy Hill Middle Market XIV 2018 — 2Q20 1,000 1,000 R MML Yes R – Reinvesting. PR – Post-Reinvestment. Source: Ares Management LLC.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Ares European CLO VIR 2017 2Q17 2Q19 363 363 R Ares European CLO VIIR 2017 3Q17 3Q19 473 473 R Ares European CLO VIIIR 2019 4Q19 4Q21 470 470 R Ares European CLO IX 2018 — 2Q20 414 414 R Ares European CLO X 2018 — 2Q20 463 462 R Ares European CLO XI 2019 — 2Q21 462 462 R Ares European CLO XII 2019 — 4Q21 463 463 R R – Reinvesting. Source: Ares Management LLC.
Organizational Structure
Ares
Credit Private Equity Real Estate $110.5 Bil. AUM $25.2 Bil. AUM $13.2 Bil. AUM • High Yield Bonds • Corporate Private Equity • Real Estate Equity • Syndicated Loans • Special Opportunities • Real Estate Debt • Alternative Credit • Energy Opportunities • Direct Lending • Infrastructure and Power
Note: As of Dec. 31, 2019. AUM amounts include funds managed by Ivy Hill Asset Management, L.P., a wholly owned portfolio company of Ares Capital Corporation and a registered investment adviser. Source: Ares Management LLC.
Ares Management LLC 55 Structured Finance CLO
The Fitch View — Ares Management LLC Key Considerations • Ares has a long history, a strong brand name and an exclusive focus on and extensive track record in asset management, especially in credit markets. • A collaborative culture results in cross-sector idea generation and credit research, while the credit team is experienced and has demonstrated stability over time. • Significant exposure to institutional investors, albeit diversified by relationship. The challenge is to continue to diversify investor base by increasing retail AUM. • Ares announced in early 2020 that has acquired Crestline Denali Capital’s seven outstanding CLOs totaling $2.6 billion in assets. Due to its scale, available operational resources and overall credit team depth, Fitch believes that Ares has the capacity to assume the Crestline Denali CLOs with minimal effect on its ongoing operations. The transaction is expected to close in the first quarter of 2020 and is subject to customary closing conditions. Company • Founded in 1997, Ares is a global alternative asset manager and SEC-registered investment adviser with three distinct platforms: credit, private equity and real estate. • Active management investment philosophy focuses on optimizing risk-adjusted return opportunities through the utilization of fundamental bottom-up analysis with a macroeconomic overlay. • Ares has a long history of managing U.S. CLOs (since 1999) and has been managing European CLOs since 2007. Investments • Credit selection process focuses on bottom-up fundamental research and relative-value determinations, requiring a majority vote of approval from portfolio managers (PMs) for inclusion in a portfolio. Position sizing, allocations and top-down inputs are determined by PMs and given based on the specific needs of each portfolio. • Analysts are organized by sector. Analysts are paired to ensure dual coverage of sectors, which differentiates Ares from peers. All analysts cover credits across the capital structure. • Each investment has a standardized investment guideline checklist (based on ratio analysis, credit quality and earnings predictability, among other factors). A proprietary financial model is produced for every credit, with various scenario-based forecasts used. Controls • Risk management team front-ends its analysis of credit through use of pretrade compliance testing in Black Mountain’s Everest platform and meets with investment teams regularly. CDO Suite is used to test for CLO compliance in Ares’s existing CLOs. • Ares’s primary position is to be public on a particular credit across the firm. In the case of an exception, Compliance must provide signoff before any private information is received. Operations and Technology • Middle-office operations are performed in-house. Back-office operations are outsourced to GlobeOp, guided by a service-level agreement and regular reviews. Weekly team meetings are supplemented by formal monthly reviews. • Ares and GlobeOp’s systems allow straight-through processing with the trustee, enabling automated daily cash and position reconciliations. • Ares has a dedicated loan settlement team. Weekly pending trade reports are reviewed by the team and the PM, with defined escalation procedures in place. • Integrated, automated and flexible platform based on a combination of proprietary and widely accepted industry systems, including the best-in-class Black Mountain Everest. Additionally, Wall Street Office, Bloomberg and Geneva are utilized.
Ares Management LLC 56 Structured Finance CLO
The Fitch View — Ivy Hill Asset Management, L.P. Key Considerations • Demonstrated track record, having managed CLOs backed by middle-market senior secured loans since 2007. • Experienced team of seasoned middle-market investment professionals ensures a standardized approach to credit selection, investing and CLO portfolio management. • Ivy Hill Asset Management, L.P. (Ivy Hill) benefits from the strong middle-office, back-office and IT resources of the broader Ares Management Corporation platform. • Low group turnover and ability to retain and grow talent amid increasing industry competition. Company • Ivy Hill is an SEC-registered investment adviser and a portfolio company of Ares Capital Corporation (NASDAQ: ARCC). ARCC is externally managed by a subsidiary of Ares. Ivy Hill was formed in 2007 to invest in middle-market senior secured loans through CLOs and managed accounts. • Ivy Hill began managing CLOs in 2007 and currently manages 10 CLOs, five senior loan funds and six managed accounts. • Low group turnover and ability to retain and grow talent amid increasing industry competition. Investments • Investment style focuses on diversified borrowers with a facility size that is generally less than $250 million and EBITDA of $75 million or less. • Credit analysts cover 15–20 credits on average; credit underwriting process is well defined and based on historical and projected financials, and key attributes such as quality of management, industry trends and competitive advantages. • Individual CLO portfolios are assigned to a two- to three-person team led by a senior CLO PM and one to two experienced credit analysts. Controls • Formalized review of existing and potential investments includes regular meetings covering market trends and loan performance as well as CLO portfolio compliance. • Quarterly portfolio reviews are conducted with formal updates to projections and performance trends that are discussed by the entire team. • Internal compliance functions are well established and documented within the firm. Operations and Technology • Established CLO compliance and administration process in place across entire firm. • Back-office operations are outsourced to GlobeOp, while middle-office operations are performed in-house by tenured and dedicated personnel monitoring CLO compliance for all IHAM CLO vehicles. • Robust back- and middle-office resources ensure efficient and appropriate management of CLOs and industry-standard controls including direct processing with the trustee, enabling automated daily cash and position reconciliations. • Benefits from Ares’s in-house IT department for quick resolutions and ongoing system maintenance and development. • Proprietary Wolverine system utilized as front-end portfolio management system. • Relies on the resources and business continuity plans of Ares, which are appropriate and tested with backup servers in multiple offices.
Ares Management LLC 57 Structured Finance CLO
Assurant Investment Management LLC Assurant Investment Management LLC (AIM) is an affiliate of Assurant, Inc. (Assurant), a specialty insurance company focused on housing and lifestyle protection. AIM manages strategies across leveraged credit and opportunistic real estate. As of Dec. 31, 2019, Assurant had approximately $15.3 billion in assets under management (AUM), including approximately $1.9 billion in CLO assets.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 26 CLO Issuance Since 2017 Total Assets Under Management (AUM) $15.3 Bil. Leveraged Loan AUM $1.9 Bil. Active CLOs Under Management 4 Total CLOs Managed 4 Source: Assurant Investment Management LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 23 Years Loan Analysts with: >20 Years’ Credit Experience 3 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience 4 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 25-30 Approximate No. of Invested Credits 200-250 Distressed Credit Specialists / Avg. Experience — Source: Assurant Investment Management LLC.
U.S. Loan AUM Development ($ Bil.) 2.0 1.5 1.0 0.5 0.0 2016 2017 2018 2019 Source: Assurant Investment Management LLC.
Assurant Investment Management LLC March 17, 2020 58 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 51 CLOs 99 Broadly Syndicated Loans 12 Managed Accounts 1 High Yield Bonds 2 Region Third-Party CLOs 3 U.S. 88 Equities 3 Europe 6 Other 28 Other 6 Client Type Source: Assurant Investment Management LLC. Insurance 88 Other 12 Source: Assurant Investment Management LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Matthew Soslanda Managing Director CLO Portfolio Manager (PM) 3 23 Paul Koeniga Managing Director Co-CEO, Assurant Investment Management 14 16 Chris Hume Managing Director Director of Research, AIM HY PM 7 25 ªNamed as key person on at least one of the firm's CLOs. Source: Assurant Investment Management LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Assurant CLO I 2017 — 4Q19 406 406 R BSL Yes Assurant CLO II 2018 — 3Q20 432 432 R BSL Yes Assurant CLO III 2018 — 4Q20 464 464 R BSL Yes Assurant CLO IV 2019 — 2Q20 454 454 R BSL No R − Reinvesting. Source: Assurant Investment Management LLC.
Assurant Investment Management LLC March 17, 2020 59 Structured Finance CLO
Organizational Structure
Assurant, Inc.
Interfinancial Inc. Other Affiliates 80% Class A LP Interest
20% Class A LP Interests Assurant Investment Assurant CLO Other Affiliates 100% Class B LP Interests Management LLC Management Holdings, (Registered GP LP Investment Adviser)
Assurant CLO Assurant CLO Management LLC Management Holdings, (Relying Adviser) GP LLC
Source: Assurant Investment Management LLC.
Assurant Investment Management LLC March 17, 2020 60 Structured Finance CLO
The Fitch View — Assurant Investment Management LLC Key Considerations • The team managing CLOs is composed of experienced CLO professionals with numerous years of experience investing in broadly syndicated loans. • AIM has been managing CLOs since 2017. Company • AIM was established to manage third-party capital, mainly CLOs and real estate funds, by leveraging the existing infrastructure of Assurant, a large specialty insurance firm with approximately 15,000 employees. Assurant was managing $15.3 billion in assets as of Dec. 31, 2019. Assurant CLO Management (ACM), an affiliate of AIM and Assurant, is the CLO collateral manager. • Assurant has managed an average of approximately $750 million of leveraged credits, consisting of BSLs and high yield bonds, on an annual basis since 2009. • CLO platform staffed by 26 experienced individuals across the front office, operations, compliance, analytics and legal. Investments • Credits are approved by a three-person investment committee requiring majority consent for purchases. • Small group structure with regular but informal daily credit discussions and weekly formal review of watchlist credits. • Credit team consists of nine credit analysts, with junior analysts paired with more experienced senior analysts. Each analyst covers between 25 and 30 leveraged loan credits. • Loan trader responsibility is shared by portfolio manager and fixed-income trader. Execution is facilitated by established relationships of the two traders. Controls • Disciplined committee-based credit process; investment committee involved in final investment selection responsibility for CLOs. • Portfolio management team relies on internal resources to help track credit-related activity and monitor and identify credit trends and watchlists. • Experienced back- and middle-office support should ensure efficient and appropriate management of CLOs and industry-standard controls. • Strong oversight provided by parent, including internal audit support. Operations and Technology • The firm employs an experienced in-house CLO operations and compliance manager, who manages the relationship with the trustee and acts as liaison between the back- and front offices. • Standard procedures for trustee report tie-outs, with daily cash and position reconciliation. • The firm utilizes a combination of Excel-based analytics and third-party analytical systems and tools, including Wall Street Office (WSO) Web, WSO Compliance, Intex, Markit, rating agency data feeds and research subscriptions. Black Mountain Systems is used for credit and portfolio management. • Business continuity and cybersecurity measures are appropriate and tested.
Assurant Investment Management LLC March 17, 2020 61 Structured Finance CLO
AXA Investment Managers S.A. AXA Investment Managers S.A. (AXA IM) is an active, long-term, global multi-asset manager that forms part of the AXA Group. As of De c. 31, 2019, AXA IM had appr oximately $899 billion in assets under management (AUM). The AXA IM leveraged loan te am managed $14.0 billion of AUM, including all CLOs, as of Dec. 31, 2019; it is part of the greater AXA IM structure d finance te am, which managed $54 billion as of Dec. 31, 2019.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Greenwich, CT Paris, France CLO Related Employees 14 31 CLO Issuance Since 2013 2004
Total Assets Under Management (AUM) $899.0 Bil. Global —
Leveraged Loan AUM $6.6 Bil. €6.6 Bil. Active CLOs Under Management 11 5 Total CLOs Managed 11 9 Source: AXA Investment Managers S.A.
CLO Team Structure Region(s) U.S. Europe
Number of CLO Portfolio Managers (PM) 3 3 PMs Average Experience 16 Years 18 Years Loan Analysts with: >20 Years’ Credit Experience 2 3 10–20 Years’ Credit Experience 5 2 <10 Years’ Credit Experience 2 7 UAnalyst Team Average Experience 14 Years 10 Years Loan Team Credits Per Analyst 40–50 15–20 Approximate No. of Invested Credits 350–400 150–200 Distressed Credit Specialists / Avg. Experience — — Source: AXA Investment Managers S.A.
U.S. Loan AUM Development ($ Bil.) 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: AXA Investment Managers S.A.
AXA Investment Managers S.A. March 17, 2020 62 Structured Finance CLO
European Loan AUM Development (€ Bil.) 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: AXA Investment Managers S.A.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 23 CLOs 45 Broadly Syndicated Loans 1 Managed Accounts 43 Middle Market Loans >0 Managed Funds 12 High Yield Bonds 2 Region Structured Credit (non-CLOs) 2 U.S. 47 Third Party CLOs 2 Europe 53 Equities 9 Source: AXA Investment Managers S.A. Other 60 Client Type Insurance 63 Bank 3 Pension / Retirement 10 Endowment >0 Sovereign Wealth Funds 2 Other 22 Source: AXA Investment Managers S.A.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Yannick Le Serviget Head of Loans & Private Debt Senior Portfolio Manager 16 21 Matthew Leventhal N.A. Senior Portfolio Manager 2 19 Yumiko Licznerski Head of US Loan Research Senior Credit Analyst 4 21 Joel Serebansky N.A. Senior Credit Analyst 7 32 Vera Fernholz N.A. Senior Credit Analyst 7 19 N.A. – Not applicable. Source: AXA Investment Managers S.A.
AXA Investment Managers S.A. March 17, 2020 63 Structured Finance CLO
European Credit Committee Experience (Years) Name Title Role Firm Industry Yannick Le Serviget Head Loans & Private Debt Senior Portfolio Manager 17 21 Xavier Boucher Head European Loans Senior Portfolio Manager 7 16 Oliver Testard Head of European Credit Research Senior Credit Analyst 17 25 Cyril Mace N.A. Senior Credit Analyst 20 21 N.A. – Not applicable. Source: AXA Investment Managers S.A.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Allegro CLO I 2014 1Q17 1Q16 350 230 PR BSL No Allegro CLO II-S 2015 3Q18 3Q19 400 400 R BSL No Allegro CLO III 2015 4Q17 3Q17 400 399 PR BSL Yes Allegro CLO IV 2016 2Q19 1Q20 450 449 R BSL Yes Allegro CLO V 2017 — 4Q19 500 501 R BSL Yes Allegro CLO VI 2018 — 1Q20 500 500 R BSL Yes Allegro CLO VII 2018 — 3Q20 400 400 R BSL Yes Allegro CLO VIII 2018 — 3Q20 400 400 R BSL No Allegro CLO IX 2018 — 4Q20 550 550 R BSL No Allegro CLO X 2019 — 2Q21 300 299 R BSL No Allegro CLO XI 2020 — 1Q22 400 400 R BSL No PR – Post-reinvestment. R – Reinvesting. Source: AXA Investment Managers S.A.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Adagio CLO IV 2015 3Q17 3Q17 350 349 PR Adagio CLO V 2016 3Q18 3Q20 350 349 R
Adagio CLO VI 2017 — 2Q20 350 349 R
Adagio CLO VII 2018 — 3Q20 400 400 R Adagio CLO VIII 2019 — 3Q21 400 400 R PR – Post-reinvestment. R – Reinvesting. Source: AXA Investment Managers S.A.
AXA Investment Managers S.A. March 17, 2020 64 Structured Finance CLO
Organizational Structure
AXA Investment Managers S.A.
AXA Investment AXA Investment AXA Investment Managers Paris Managers UK Ltd. Managers Asia Ltd. (France) (U.K.) (Hong Kong)
AXA Investment AXA Investment AXA Investment Managers Deutschland GmbH Managers GS Ltd Managers Chorus Ltd. (Germany) (U.K.) (Hong Kong)
AXA Investment Managers AXA Investment AXA Investment Italia Sim S.p.A. Managers Inc. Managers Japan Ltd. (Italy) (U.S.)a (Japan)
AXA Rosenberg Investment AXA Investment Managers Asia AXA IM Benelux Management LLC (Singapore) Ltd. (Belgium) (U.S.)a (Singapore)
AXA IM Benelux Netherlands AXA Investment Managers AXA Funds Management S.A. (Netherlands — Branch) Mexico, S.A. de C.V. (Luxembourg) (Mexico) AXA Investment AXA Investment Managers Schweiz AG AXA Real Estate Managers Madrid (Switzerland) b Investment Managers (Spain)
AXA Investment Managers LLC (Qatar)
aIndirect subsidiaries of AXA IM. bHolding company of entities performing real assets activities. Note: As of Dec. 31, 2019. Excludes the joint ventures in which AXA IM is shareholder and the holding companies are not performing asset management activities. Source: AXA Investment Managers S.A.
AXA Investment Managers S.A. March 17, 2020 65 Structured Finance CLO
The Fitch View — AXA Investment Managers S.A. Key Considerations • The loan and private debt team has a long and successful track record managing European and U.S. leveraged loans through open-ended funds and mandates since 2001 and through CLOs since 2004 in Paris, France and 2013 in Greenwich, CT. • Strong and committed parent company that supports additional CLO issuance. • Large and diversified loan management business with dedicated resources for loan research and management, CLO structuring and administration. Company • The loan and private debt team has 44 professionals and $14.0 billion in AUM as of Dec. 31, 2019 and is part of the greater AXA IM structured finance team. • The loan and private debt team featuresexperienced portfolio managers (PMs), credit research analysts, a U.S. loan trader and a European loan trader. • The team also benefits from dedicated support staff (for loan settlement, transaction support and CLOs and loan funds structuring) and wide access to AXA IM’s shared resources. Investments • The 21 research analysts (nine U.S., 12 European) are allocated by sector, covering roughly 350 U.S. names and 200 European names as of Dec. 31, 2019. • Investment approach is a robust and disciplined blend of bottom-up fundamental credit selection and strategic top-down allocation. • Preliminary assessments and full credit analysis are documented in comprehensive memos. The analysis includes proprietary financial modeling and stress tests. The primary focus is on senior secured loans (90% of investments made). Output of the analysis is an internal grade. • Sourcing is facilitated by strong links the team has developed with a large variety of market actors such as large banks, private equity firms and debt consultants. • Credit approval is formalized in credit committees, meeting strict governance requirements. Decisions to invest in credit committee-approved issuances are made solely by PMs. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into their investment analysis. Controls • AXA IM has a strong governance structure and multilayer risk control framework. One independent risk manager is dedicated to the loan/CLO business. • Pretrade compliance is system-based. Post-trade, second level of controls is the responsibility of three portfolio controllers reporting to operations and dedicated to loan platform. • Policies govern the management of public and private information. Protective barriers between the high yield and leveraged loan teams include segregated system views and separate locations and are overseen by compliance, with strict control on the flow of information. Operations and Technology • Daily cash/interest reconciliation and monthly position reconciliation between AXA IM and collateral administrators. • Middle-office function is outsourced to State Street Bank, with AXA IM maintaining oversight and controls in-house. • AXA IM produces monthly supplemental investment commentary and various additional customized reports. • A central database supports integration of Wall Street Office (WSO) and Maia. Use of Markit analytics and pricing data feeding WSO and Maia via AXA IM’s central repository
AXA Investment Managers S.A. March 17, 2020 66 Structured Finance CLO
Bain Capital Credit, LP Bain Capital Credit, LP (Bain Capital Credit) is a leading global credit specialist with approximately $41 billion in assets under management (AUM) as of Sept. 30, 2019. The firm invests across the full spectrum of credit strategies, including leveraged loans, high-yield bonds, distressed debt, private lending, structured products, nonperforming loans and equities.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Boston, MA London, U.K. CLO Related Employees 129a 95a CLO Issuance Since 1999 2006 Total Assets Under Management (AUM) $41 Bil. globally — Leveraged Loan AUM $17 Bil. $5 Bil. Active CLOs Under Management 17b 7b Total CLOs Managed 38b 8b As of Sept. 30, 2019, except where noted otherwise. In addition to the Liquid and Structured Credit team and the industry research personnel, these totals include an 94-person finance and operations team in the Boston office, which supports the business globally. Headcount data are as of Jan 1, 2020. As of Dec. 31, 2019. Source: Bain Capital Credit, LP. Liquid and Structured Team Overview Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 7 1 PMs Average Experience 20 Years 20 Years Loan Analysts with: >20 Years’ Credit Experience 5 1 10–20 Years’ Credit Experience 6 3 <10 Years’ Credit Experience 4 2 Analyst Team Average Experience 17 Years 14 Years Loan Team Credits Per Analyst 25–40 25–40 aRepresents total work experience of the Industry Research and Trading teams at Bain Capital Credit. All headcount data as of Jan. 1, 2020. Experience levels shown represent VP level and above. The total Industry Research team is comprised of 35 professionals. Source: Bain Capital Credit, LP.
U.S. Loan AUM Development ($ Bil.) 20.0 15.0 10.0 5.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019ᵃ ᵃAs of Sept. 30, 2019. Source: Bain Capital Credit, LP.
Bain Capital Credit, LP February 18, 2020 67 tr ct red inance
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71 Structured Finance CLO
Ballyrock Investment Advisors LLC Ballyrock Investment Advisors LLC (Ballyrock) is a wholly owned subsidiary of FMR LLC. Established in 2002, Ballyrock provides investment advisory services to various structured credit vehicles, including CLOs and CDOs, which have focused on investments in various types of debt securities, including bank loans, bonds and asset-backed securities. Ballyrock affiliate Fidelity Management & Research Company (FMR) serves as sub-adviser to each CLO that Ballyrock manages pursuant to sub-advisory agreements.
Firm Profile Region(s) of CLO Operations U.S. Location Boston, MA CLO Related Employees 31 CLO Issuance Since 2019 Total Assets Under Management (AUM) $106 Bil. Leveraged Loan AUM $18.5 Bil. Active CLOs Under Management 4 Total CLOs Managed 11 Source: Ballyrock Investment Advisors LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 26 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 13 <10 Years’ Credit Experience 6 Analyst Team Average Experience 11 Years Loan Team Credits Per Analyst 30-40 Approximate No. of Invested Credits 200-250 Distressed Credit Specialists / Avg. Experience 2 / 21 Years Source: Ballyrock Investment Advisors LLC.
U.S. Loan AUM Development ($ Bil.) 25.0 20.0 15.0 10.0 5.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Ballyrock Investment Advisors LLC.
Ballyrock Investment Advisors LLC February 14, 2020 72 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 18 CLOs 9 High Yield Bonds 50 Managed Accounts 28 Equities 4 Managed Funds 62 Other 28 Region Source: Ballyrock Investment Advisors LLC. U.S. 83 Europe 1 Other 16 Source: Ballyrock Investment Advisors LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Eric Mollenhauera Vice President Portfolio Manager 23 23 Kevin Neilsena Vice President Portfolio Manager 8 20 ªNamed as key person on at least one of the firm's CLOs. Source: Ballyrock Investment Advisors LLC.
Active U.S. CLOs Under Management
Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Ballyrock CLO 2016-1 2016 Q119 2Q20 354 354 R BSL No Ballyrock CLO 2018-1 2018 — 3Q20 538 528 R BSL No Ballyrock CLO 2019-1 2019 — 3Q21 403 403 R BSL No Ballyrock CLO 2019-2 2019 — 4Q20 401 401 R BSL No R – Reinvesting. Source: Ballyrock Investment Advisors LLC.
Organizational Structure
FMR LLC
Sub-Advisory Fidelity Management & Research Company Agreement Ballyrock Investment Advisors LLC (FMR)
Sub-Advisory Agreement
FMR High Income Division
Source: Ballyrock Investment Advisors LLC.
Ballyrock Investment Advisors LLC February 14, 2020 73 Structured Finance CLO
The Fitch View — Ballyrock Investment Advisors LLC Key Considerations • Substantial credit resources, including a large credit research group with significant experience and longevity as a team. • Technology and trading platforms are based on a combination of proprietary analytics and administration systems, all of which are well integrated. • Deep resources and strong brand name its support business franchise, with strong alignment of interests from affiliates of Ballyrock investing in the equity of the existing CLOs. Company • FMR serves as sub-adviser to each CLO that Ballyrock manages pursuant to sub-advisory agreements, providing Ballyrock access to all the employees and resources of FMR. • FMR's high-income division has been managing non-investment-grade portfolios since 1977 and has over 60 investment professionals. • Ballyrock has sponsored eight CLOs to date. • Ballyrock's research team consists of 21 experienced sector-focused professionals, including two dedicated loan analysts. • Experienced portfolio management team averages over 20 years of investment experience. Investments • Ballyrock's investment philosophy focuses on understanding fundamental bottom-up analysis and valuations across the capital structure. Emphasis is on a credit's fundamental trajectory, placing weight on positive fundamentals, collateral value, valuation and credit support. • Research analysts are independent, focusing only on credit, and are responsible for covering 30–40 names each, analyzing transactions across the capital structure. • While there is no formal credit committee, the investment process is collaborative, and every idea is presented by the analyst to each portfolio manager charged with a specific strategy. • Dedicated special situations team to handle distressed credits and workouts. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Dedicated compliance team ensures systematic risk reviews that are integrated with portfolio management as well as the trading desk. • Strong governance structure and risk monitoring, including both pre- and post-trade compliance testing at the trade and portfolio levels to support Ballyrock investment independence. • Ballyrock has compliance and governance processes in place to support accuracy of trading, portfolio management and administration functions. • Independent and multilayer compliance oversight from FMR, with risk and control functions allowing good coverage of risk areas across investment disciplines. Operations and Technology • Two dedicated traders with over 20 years' experience as well as four dedicated operational specialists, providing for efficient execution and settlement. • Daily reconciliation of cash and positions and monthly reconciliation of securities with U.S. Bank National Association, as trustee. Ballyrock has a strong relationship and constant dialogue with the trustee. • All portfolio management and credit analysis functions are conducted internally, with models run daily to ensure compliance with CLO tests. • Business continuity plan is appropriate and tested multiple times per year, with redundancies in numerous locations and resources and support provided through FMR.
Ballyrock Investment Advisors LLC February 14, 2020 74 Structured Finance CLO
Bardin Hill Investment Partners LP Bardin Hill Investment Partners LP (Bardin Hill), formerly known as Halcyon Capital Management LP, is a global investment firm with $9.3 billion in assets under management (AUM) as of Dec. 31, 2019. The global CLO business was founded in 2006 and currently manages $6.6 billion, mainly through 14 U.S. CLOs and six European CLOs.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Grand Cayman, Dublin, Ireland and Cayman Islands Netherlands CLO Related Employees 25 25 CLO Issuance Since 2006 2006 Total Assets Under Management (AUM) $9.3 Bil. Global — Leveraged Loan AUM $4.3 Bil. €2.0 Bil. Active CLOs Under Management 14 6 Total CLOs Managed 22 12 Source: Bardin Hill Investment Partners LP. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 2 2 PMs Average Experience 27 Years 34 Years Loan Analysts with: >20 Years’ Credit Experience 2 2 10–20 Years’ Credit Experience 4 4 <10 Years’ Credit Experience 7 7 Analyst Team Average Experience 11 Years 12 Years Loan Team Credits Per Analyst 40–50 40–50 Approximate No. of Invested Credits 450–500 450–500 Distressed Credit Specialists / Avg. Experience 25 / 16 Years 25 / 16 Years Source: Bardin Hill Investment Partners LP.
U.S. Loan AUM Development
7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Bardin Hill Investment Partners LP.
Bardin Hill Investment Partners LP April 9, 2020 75 tr ct red inance
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79 Structured Finance CLO
Barings LLC Barings LLC (Barings; formerly known as Babson Capital Management LLC) is a wholly owned indirect subsidiary of Massachusetts Mutual Life Insurance Company (MassMutual) and a member of the MassMutual Financial Group. Barings, a global asset management firm with $338 billion in assets under management (AUM), was created in September 2016 through the combination of Babson Capital Management LLC and its subsidiaries, Cornerstone Real Estate Advisers LLC and Woodcreek Capital Management LLC, with Barings Asset Management LLC.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Charlotte, NC London, U.K. CLO Related Employees 47 25 CLO Issuance Since 1999 2001 Total Assets Under Management (AUM) $279.1 Bil. $59.6 Bil. Leveraged Loan AUM $22.5 Bil. $15.0 Bil. Active CLOs Under Management 21 11 Total CLOs Managed 60 19 Source: Barings LLC. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 3 2 PMs Average Experience 24 Years 16 Years Loan Analysts with: >20 Years’ Credit Experience 2 — 10–20 Years’ Credit Experience 14 3 <10 Years’ Credit Experience 12 10 Analyst Team Average Experience 10 Years 8 Years Loan Team Credits Per Analyst 30-40 30-40 Approximate No. of Invested Credits Not Reported Not Reported Distressed Credit Specialists / Avg. Experience 4 / 10 Years 2 / 13 Years Source: Barings LLC.
U.S. Loan AUM Development ($ Bil.) 30 25 20 15 10 5 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Barings LLC.
Barings LLC March 26, 2020 80 Structured Finance CLO
European Loan AUM Development ($ Bil.) 16 14 12 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Barings LLC.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 4 CLOs 34 Broadly Syndicated Loans 10 Managed Accounts 23 Middle Market Loans 3 Managed Funds 44 High Yield Bonds 4 Region Third Party CLOs 5 U.S. 59 Equities 7 Europe 41 Other 67 Source: Barings LLC. Client Type Insurance 59 Bank 2 Pension/Retirement 14 Endowment 1 Family Office / High Net Worth 1 Sovereign Wealth Funds 3 Other 21 Source: Barings LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry David Mihalick Managing Director Head of U.S. Public Fixed Income 12 15 Adrienne Butler Managing Director Head of U.S. Managed CLOs 18 30 Sean Feeley Managing Director Portfolio Manager 17 24 Art McMahon Managing Director Portfolio Manager 16 27 Kelly Burton Managing Director Portfolio Manager 7 20 Tom McDonnell Managing Director Portfolio Manager 15 24 Scott Roth Managing Director Portfolio Manager 17 27 Bryan High Managing Director Portfolio Manager 13 18 Mark Senkpiel Managing Director Portfolio Manager 10 46 Source: Barings LLC.
Barings LLC March 26, 2020 81 Structured Finance CLO
European Credit Committee Experience (Years) Name Title Role Firm Industry Martin Horne Managing Director Head of Global Public Fixed Income 18 23 Rob Faulkner Managing Director Head of European Managed CLOs 19 18 Tom Kilpatrick Managing Director Research Analyst 13 16 Stuart Mathieson Managing Director Portfolio Manager 18 21 Chris Sawyer Managing Director Portfolio Manager 14 14 Craig Abouchar Managing Director Portfolio Manager 4 26 Source: Barings LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Babson 2013-I 2013 4Q17 3Q15 550 548 R BSL No Babson 2014-I 2014 1Q17 3Q16 500 414 PR BSL No Blue Ridge I 2014 2Q17 1Q16 400 177 PR BSL No Blue Ridge II 2014 2Q17 3Q16 500 295 PR BSL No Babson 2015-I 2015 2Q18 4Q16 497 495 R BSL No Barings 2015-II 2015 4Q17 4Q19 500 500 R BSL No Babson 2016-I 2015 3Q18 2Q18 400 399 R BSL No Babson 2016-II 2016 4Q18 4Q18 400 400 R BSL Yes Barings 2017-I 2017 — 3Q19 500 501 R BSL No Barings Middle Market 2017-I 2017 — 1Q20 500 505 R MML No Barings Middle Market 2018-I 2018 — 1Q21 400 405 R MML No Barings 2018-I 2018 — 2Q20 550 547 R BSL No Barings 2018-II 2018 — 2Q20 500 499 R BSL No Barings 2018-III 2018 — 3Q20 700 697 R BSL No Barings 2018-IV 2018 — 4Q20 500 500 RU BSL No Barings 2019-I 2019 — 1Q21 500 501 R BSL No Barings Middle Market 2019-I 2019 — 4Q21 400 402 RU MML No Barings BDC Static 2019-I 2019 — 2Q20 450 392 PR BSL No Barings 2019-II 2019 — 2Q21 500 500 R BSL No Barings 2019-III 2019 — 2Q21 400 400 R BSL No Barings 2019-IV 2019 — 1Q22 400 400 R BSL No R – Reinvesting. PR – Post-reinvestment. RU – Ramp-up. Source: Barings LLC.
Barings LLC March 26, 2020 82 Structured Finance CLO
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Duchess VII CLO B.V. 2006 — — 500 53 PR Barings Euro CLO 2014-1 B.V. 2014 3Q18 3Q20 400 404 R Babson Euro CLO 2014-2 B.V. 2014 3Q17 2Q19 549 552 R Babson Euro CLO 2015-1 B.V. 2015 4Q17 4Q17 400 406 PR Barings Euro CLO 2016-1 B.V. 2016 3Q18 3Q19 400 403 R Barings Euro CLO 2017-1 B.V. 2017 — 4Q19 450 453 R Barings Euro CLO 2018-1 B.V. 2018 — 2Q20 500 503 R Barings Euro CLO 2018-2 B.V. 2018 — 4Q20 400 404 R Barings Euro CLO 2018-3 B.V. 2018 — 4Q20 400 404 R Barings Euro CLO 2019-1 DAC 2019 — 4Q21 400 404 R PR – Post-reinvestment. R – Reinvesting. Source: Barings LLC.
Organizational Structure
Massachusetts Mutual Life Insurance Company (U.S.)
100%
MassMutual Holding LLC (U.S.)
100% MM Asset Management Holding LLC
100%
Barings LLC (U.S.)
Source: Barings LLC.
Barings LLC March 26, 2020 83 Structured Finance CLO
The Fitch View — Barings LLC Key Considerations • Barings is one of the largest U.S. and European loan managers in size and scale. • CLO platform facilitates industry-leading access to markets and management of many product styles. • Proprietary and highly scalable systems combining portfolio management tools and compliance and administrative functions. • CLO AUM continues to grow with regular issuance of new U.S. and European CLO transactions while its varied business lines provide diversified revenue streams. Company • Barings (formerly known as Babson Capital Management LLC) is an indirect, wholly owned subsidiary of MassMutual. • The Global High Yield Investments Group has significant resources, with 95 investment professionals in total and additional resources for support functions (as of December 2019). The U.S. High Yield Investments Group has 47 investment professionals, primarily based in Charlotte, NC. • A separate European investment team is based in London. • Senior managers have extensive experience with CLOs, having worked together prior to Barings (and predecessor entities) and been involved in early CLO issuances. Investments • Process-oriented, fundamental bottom-up approach to analysis that seeks to identify relative value throughout the capital structure and across industries. • Ideas sourced through large research staff and dedicated traders, with both teams communicating regularly with portfolio managers (PMs). • Analysts monitor both approved and non-approved names, with each averaging of 35–45 names. • Team-based approach to credit decision-making that culminates in daily voting committees, in which a majority is needed to approve credits to be added to the approved list. Strong ability to leverage scale to access a broad selection of investment opportunities. • Sell discipline and decisions are based on analyst and PM recommendation as well as risk assessment, market prices and relative value. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Additional independent oversight and diligence performed by Barings’ parent company, MassMutual, which l regularly invests in the equity of new issue CLOs. • In most cases, Barings elects to be public on any new issue unless there is an exceptionally strong reason for going private. This approach mitigates conflicts of interest. If private, walls of separation are established and overseen by compliance. • Multiple layers of governance committees implement controls, which are overseen by a dedicated compliance group and supported by a comprehensive compliance policies and manuals. Operations and Technology • Dedicated CLO administration resources provide independent trustee reconciliation and indenture compliance monitoring. Barings uses Wall Street Office (WSO) for loan management. • All portfolio management and credit analysis functions are conducted in-house. Models are run daily to ensure compliance with CLO tests. CDO Suite is used to test CLO compliance. • Robust, flexible, automated and integrated platform based on a combination of proprietary and third-party systems, namely Black Mountain Everest, which incorporates portfolio, compliance and risk management functions, as well as trade and research capabilities. • Disaster recovery plans and cybersecurity measures are appropriate and tested.
Barings LLC March 26, 2020 84 Structured Finance CLO
Benefit Street Partners L.L.C. Benefit Street Partners L.L.C. (BSP) is a credit-focused alternative asset management firm with over $27 billion in assets under management (AUM). Established in 2008, the BSP platform manages funds for institutions and high-net worth and retail investors across various strategies, including private/opportunistic debt, liquid loans, high yield, special situations, and commercial real estate debt. As of Jan. 31, 2020, BSP has closed 19 U.S. CLOs representing approximately $9 billion. The firm was acquired by Franklin Templeton Investments (FT) in 1Q19.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 45a CLO Issuance Since 2012 Total Assets Under Management (AUM) $27 Bil. Leveraged Loan AUM $18.9 Bil. a Active CLOs Under Management 17 Total CLOs Managed 19a aAs of Jan. 31, 2020. Source: Benefit Street Partners L.L.C.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 18 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 10 <10 Years’ Credit Experience 5 Analyst Team Average Experience 12 Years Loan Team Credits Per Analyst 30-40 Approximate No. of Invested Credits 400-450 Distressed Credit Specialists / Avg. Experience 6 / 20 Years Source: Benefit Street Partners L.L.C.
U.S. Loan AUM Development ($ Bil.) 20
15
10
5
0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Benefit Street Partners L.L.C.
Benefit Street Partners L.L.C. March 26, 2020 85 Structured Finance CLO
a Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 32 Client Typeb Managed Funds 68 Asset Manager 36 Region Corporate/Bank 30 U.S.a 92 Insurance 20 Europe 7 Endowment/Foundation 11 Other 1 Private Pension Fund 2 aRepresents North America. c Other 1 Source: Benefit Street Partners L.L.C. aAll breakdown information provided above is based on the CLO platform only. bClient type is based on initial commitment. Excludes CLO 1. cIncludes asset managers and fund of funds. Source: Benefit Street Partners L.L.C.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Michael Paaschea Senior Managing Director CIO of Loan Platform 11 33 Anant Kumar Director Junior Portfolio Manager 5 12 Daniel Ryan Vice President Junior Portfolio Manager 3 9 ªNamed as key person on at least one of the firm's CLOs. Source: Benefit Street Partners L.L.C.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU a Name Vintage Reset Call Original Current Status Type Compliant Benefit Street Partners CLO II 2013 2Q17 3Q19 507 509 R BSL No Benefit Street Partners CLO III 2013 3Q17 3Q19 517 517 R BSL No Benefit Street Partners CLO IV 2014 24Q20 2Q20 512 512 R BSL No Benefit Street Partners CLO V-B 2018 — 2Q20 509 509 R BSL No Benefit Street Partners CLO VI 2015 3Q17 4Q19 611 644 R BSL No Benefit Street Partners CLO VII 2015 4Q17 3Q17 513 500 R BSL No Benefit Street Partners CLO VIII 2015 1Q18 1Q20 512 575 R BSL No Benefit Street Partners CLO IX 2016 3Q16 3Q20 404 404 R BSL No Benefit Street Partners CLO X 2016 3Q19 3Q20 511 511 R BSL No Benefit Street Partners CLO XI 2017 — 2Q19 608 603 R BSL No Benefit Street Partners CLO XII 2017 — 4Q19 713 713 R BSL No Benefit Street Partners CLO XIV 2018 — 2Q20 536 536 R BSL No Benefit Street Partners CLO XV 2018 — 3Q20 507 507 R BSL No Benefit Street Partners CLO XVI 2018 — 1Q21 508 508 R BSL No Benefit Street Partners CLO XVII 2019 — 2Q21 508 508 R BSL No Benefit Street Partners CLO XVIII 2019 — 4Q21 508 508 R BSL No Benefit Street Partners CLO XIX 2020 — 1Q22 509 508 R BSL No aOutstanding note balance. R – Reinvesting. Source: Benefit Street Partners L.L.C.
Benefit Street Partners L.L.C. March 26, 2020 86 Structured Finance CLO
Organizational Structure Benefit Street Partners L.L.C.
Private Debt/ Commercial Real CLO Liquid High Yield Special Situations Opportunistic Credit Estate Debt
Source: Benefit Street Partners L.L.C.
Benefit Street Partners L.L.C. March 26, 2020 87 Structured Finance CLO
The Fitch View — Benefit Street Partners L.L.C. Key Considerations • BSP been managing CLOs backed by broadly syndicated loans since 2012. • The firm demonstrates extensive experience and depth of staff in management, research, operations and technology support. • Experienced credit team managing a diversified portfolio in terms of sector and obligor concentration. Robust investment, oversight and credit monitoring policies. Company • BSP is wholly owned by FT, a global investment management firm. • BSP has 196 total employees and currently manages approximately $27 billion across five platforms: CLOs, private debt/opportunistic credit, liquid high yield credit, special situations and commercial real estate debt. Within the CLO platform, the group was managing 17 CLOs ($9.0 billion) as of Jan 31, 2020. • Senior leadership has extensive corporate loan experience and has been managing CLOs since 2012. • The CLOs are supported by a team of experienced credit research analysts, who each cover on average 30–40 credits. Investments • BSP seeks to build moderate to lower risk CLO portfolios by minimizing investments in second liens loans and limiting exposure to ‘CCC’ rated credit exposure and investments that have a facility size less than $250 million. • The investment committee consists of three members. Portfolio holdings are discussed daily, and investment decisions are driven by ongoing dialogue with members of the credit research staff. • Robust in-house credit research capabilities and the support of an experienced distressed and workout team. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Formalized ongoing surveillance process supported by proprietary technology that allows team members to follow market trends and loan performance as well as CLO portfolio compliance. • The company has multiple levels of review and oversight to support accuracy of trading, portfolio management and administration functions. • Investment risk and CLO performance are monitored through daily reports produced by the team’s middle office in Boston, MA. Operations and Technology • BSP’s top quality institutional infrastructure is built by operations, risk management, legal, finance, and portfolio analytics functions performed by a team of 41 professionals. • Portfolio management team receives daily updates regarding reconciled cash and portfolio holdings, as well as current CLO compliance test results. • The firm uses a proprietary in-house portfolio management tool that combines market information with current portfolio holdings. This system is both a credit dashboard and portfolio management/CLO compliance testing tool. • Front- to middle-office position monitoring and order management systems are efficient and robust. • The business continuity plan and cybersecurity measures are appropriate and tested.
Benefit Street Partners L.L.C. March 26, 2020 88 Structured Finance CLO
BlackRock, Inc. BlackRock Financial Management, Inc. (BFM) and Bl ackRock Investment Management UK are wholly owned subsidiaries of BlackRock, Inc. (NYSE: BLK), a global asset management company with $7.42 trillion in assets under management (AUM) as of Dec. 31, 2019. BFM’s primary focus is the management of institutional fixed-income securities, multi- asset and quantitative equity separate accounts, private investment funds and U.S. registered investment companies. BlackRock has been managing CLOs since 2002 and currently has 26 CLOs under management across both broadly syndicated and middle market loans in both the U.S. and Europe.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employees 62 34
CLO Issuance Since 2002 2016 Total Assets Under Management (AUM) $7.429 Tril.ª —
Leveraged Loan AUM $22.49 Bil.ᵇ $4.45 Bil. Active CLOs Under Management 17c 9 Total CLOs Managed 36 9 ªAUM represents global firm AUM as of Dec.31, 2019. Excludes AUM in other regions where BlackRock operates. ᵇBroadly syndicated loan (BSL) and middle market (MM) loan AUM as of Dec.31, 2019. CIncludes BlackRock Magnetite and MM CLOs. Source: BlackRock, Inc. CLO Team Structure
Region(s) U.S. (BSL/MML) Europe Number of CLO Portfolio Managers (PM) 3 / 2 6 PMs Average Experience 21 Years / 19 Years 16 Years Loan Analysts with: >20 Years’ Credit Experience 2 2 10–20 Years’ Credit Experience 5 4 <10 Years’ Credit Experience 7 6 Analyst Team Average Experience 11 Years 12 Years Loan Team Credits Per Analyst 30-40 20-30 Approximate No. of Invested Credits 350-400 150-200 Distressed Credit Specialists / Avg. Experience 10a Years —b aRepresentative of the firm’s Opportunistic Credit team, which is not focused solely on CLOs but is available as a resource to the CLO team. bEntire Opportunistic Credit team is based in the U.S. Note: Information shown is for VP level and above. Source: BlackRock, Inc.
BlackRock, Inc. March 13, 2020 89 Structured Finance CLO
Global Loan AUM Developmentᵃ ($ Bil.) 30 25 20 15 10 5 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 ᵃGlobal AUMs combined, reported in USD. Includes BSL and MML. Source: BlackRock, Inc
Total AUM Breakdown Loan AUM Breakdown (%) (%, As of Sept 30, 2019) Asset Type Asset Type Broadly Syndicated Loans 23 CLOs 43 Middle Market Loans 16 Managed Accounts 26 High Yield Bonds 54 Managed Funds 32 Third Party CLOs 7 Region Client Type U.S. 86 Insurance 9 Europe 14 Bank 12 Source: BlackRock, Inc. Pension/Retirement 9 Family Office / High Net Worth 1 Commingled Fund 54 Other 15 ᵃBlackRock's Global Credit Platform only, not firmwide AUM. Source: BlackRock, Inc.
European Credit Committee Experience (Years) Name Title Role Firm Industry Aly Hirji Managing Director CLO and Bank Loan Portfolio Manager 5 20 Jose Aguilar Managing Director High Yield Portfolio Manager 12 15 Vineet Singh Managing Director Head of EMEA Leveraged Finance Credit Research 3 22 Source: BlackRock, Inc.
BlackRock, Inc. March 13, 2020 90 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Magnetite VII 2012 2Q18 1Q19 612 651 R BSL No Magnetite VIII 2014 2Q18 4Q19 612 625 R BSL No Magnetite XII 2015 3Q18 1Q20 609 612 R BSL No Magnetite XIV-R 2018 — 4Q20 456 461 R BSL No Magnetite XV 2015 2Q18 3Q20 620 626 R BSL No Magnetite XVI 2015 1Q18 1Q18 507 517 R BSL No Magnetite XVII 2016 3Q18 3Q20 499 502 R BSL No Magnetite XVIII 2016 4Q18 4Q19 536 542 R BSL No Magnetite XIX 2017 — 3Q19 512 512 R BSL No Magnetite XX 2018 — 2Q20 562 562 R BSL No Magnetite XXI 2019 — 2Q20 500 500 R BSL No Magnetite XXII 2019 — 2Q21 656 656 R BSL No Magnetite XXIII 2019 — 4Q21 522 522 R BSL No Magnetite XXIV 2019 — 1Q22 609 609 R BSL No TCP Waterman CLO 2016 — 4Q18 350 350 R MML No TCP Whitney CLO 2017 — 3Q19 350 350 R MML Yes TCP DLF VIII CLOᵃ 2018 — 1Q20 308 308 R MML Yes TCP Rainierᵇ 2018 — — 600 600 RU MML Yes aDLF VIII is a bespoke privately placed transaction. ᵇRainier is a securitized warehouse. R – Reinvesting. RU – Ramp-up. Source: BlackRock, Inc.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status BlackRock European CLO I 2016 1Q18 1Q20 410 462 R BlackRock European CLO II 2016 — 3Q18 416 402 R BlackRock European CLO III 2017 — 2Q19 416 403 R BlackRock European CLO IV 2017 — 4Q19 466 452 R BlackRock European CLO V 2018 — 2Q20 414 403 R BlackRock European CLO VI 2018 — 3Q20 412 403 R BlackRock European CLO VII 2018 — 3Q20 411 402 R BlackRock European CLO VIII 2019 — 3Q21 400 401 R BlackRock European CLO IX 2019 — 3Q21 400 408 R R – Reinvesting. Source: BlackRock, Inc.
BlackRock, Inc. March 13, 2020 91 Structured Finance CLO
Organizational Structure
Regional Platforms (AMRS-APAC-EMEA)
Investments Client Businesses (Global) Global Fixed Income, Active Equities, Institutional Client Business, Multi-Asset Strategies, Trading Liquidity & BlackRock Solutions, BII, Client Solutions & FMA Alternative Platform, Alternatives
Corporate & Risk Platform Investments Regional Risk and Quantitative Analysis, Retail, Marketing Blackrock Investment Stewardship
ETF & Index Investments
Operating Platform
Aladdin Product Group, Technology and Operations
Corporate and Risk Platform
Corporate Strategy & Development, Global Marketing, Human Resources, Government Relations and Public Policy, BlackRock Platform Innovation, Finance, Corporate Communications, Legal and Compliance, Internal Audit, Philanthropy, Strategic Product Management, Strategic Partner Program
Source: BlackRock, Inc.
BlackRock, Inc. March 13, 2020 92 Structured Finance CLO
The Fitch View — BlackRock, Inc. Key Considerations • Long history and strong brand name bolster business franchise. • High levels of communication across a network of experienced investment and credit professionals facilitate investment management through changing market conditions. • A robust and fully integrated IT platform provides a very good fit to business requirements. Company • BlackRock employs a staff of nearly 15,000 employees, including more than 2,000 investment professionals, and operates in more than 34 countries across the Americas, Europe, Asia-Pacific, the Middle East and Africa. • Global presence with a diversified book of business (by geography, asset class and distribution channel). • Leveraged finance group is also diversified by product type, with assets split among CLOs, managed accounts and managed funds. • Increased credit research staffing levels in response to product demand. The leveraged finance investment team has 26 portfolio managers and 35 research analysts. The middle markets investment team has 30 professionals. Investments • Investment decisions are driven by cross-discipline groups consisting of a lead portfolio manager (PM), sector-focused credit analysts and distressed/legal analysts. • The investment philosophy focuses on fundamental analysis. Quantitative assessment of capital structures is paired with qualitative perspective of management and industry positioning. • Daily and weekly credit and risk meetings are held to review macro positioning to support the investment process and discipline of focusing on credit and relative value. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Strong governance structure and risk functions, featuring independence and a focus on specific risk types. • The company employs daily reconciliation of cash and positions and weekly reconciliation of securities with custodians and administrators. • BlackRock has in place independent and multilayer compliance, and its risk and control functions allow for good coverage of risk areas across investment disciplines. Operations and Technology • Dedicated CDO administration resources provide independent trustee reconciliation and indenture compliance monitoring. • Trustees are engaged on a rotational basis based on quarterly performance review performed by BlackRock. • Established valuation and pricing framework is governed by a dedicated committee and supported by advanced internal pricing capacity. • Industry-leading investment, portfolio, and risk management tools including BlackRock’s proprietary systems Aladdin and AnSer, as well as Wall Street Office and other industry standard systems. • Aladdin Research is used to support the collection and dissemination of credit underwriting information.
BlackRock, Inc. March 13, 2020 93 Structured Finance CLO
BlueMountain Capital Management, LLC BlueMountain Capital Management, LLC (BlueMountain Capital), founded in 2003, is a diversified alternative asset management firm with offices in New York City and London. The firm had total managed or serviced assets under management (AUM) of $15 billion at Dec. 31, 2019 included $6 billion in absolute return funds, private capital funds and customized single-investor funds and $9 billion in CLO assets. Approximately $0.5 billion of denoted assets are CLO assets managed by BlueMountain CLO Management, LLC (BMCLO). BlueMountain is not the investment manager of such CLOs but rather has entered into a services agreement and a secondment agreement with BMCLO pursuant to which BlueMountain provides certain services associated with the management of BMCLO- CLOs and acts in the capacity of service provider. On Oct. 1, 2019, a subsidiary of Assured Guaranty Ltd. acquired all of the outstanding equity interests of BlueMountain Capital and its associated entities, including BMCLO.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 19
CLO Issuance Since 2005
Total Assets Under Management (AUM) $15 Bil. Leveraged Loan AUM $9 Bil. Active CLOs Under Management 20 Total CLOs Managed 25 Source: BlueMountain Capital Management, LLC.
CLO Team Structure Region(s) U.S.
Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 18 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 9 <10 Years’ Credit Experience — Analyst Team Average Experience 10 Years Loan Team Credits Per Analyst 70 Approximate No. of Invested Credits 400–500 Distressed Credit Specialists / Avg. Experience — Source: BlueMountain Capital Management, LLC.
BlueMountain Capital Management, LLC March 31, 2020 94 Structured Finance CLO
U.S. Loan AUM Development ($ Bil.) 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: BlueMountain Capital Management, LLC.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 100 Source: BlueMountain Capital Management, LLC. Region U.S. 100 Source: BlueMountain Capital Management, LLC.
U.S. Credit Committee This section does not apply to BlueMountain’s CLO business.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant BlueMountain 2012-2 2012 4Q18 4Q19 617 601 R BSL No BlueMountain 2013-1 2013 4Q16 1Q19 514 498 R BSL No BlueMountain 2014-2 2014 4Q18 4Q20 555 539 R BSL No BlueMountain 2015-1 2015 4Q16 4Q17 500 496 R BSL No BlueMountain 2015-2 2015 — 3Q17 500 495 R BSL No BlueMountain 2015-3 2015 — 4Q17 457 451 R BSL No BlueMountain 2015-4 2015 — 1Q18 506 501 R BSL No BlueMountain 2016-1 2016 2Q18 2Q19 424 421 R BSL No BlueMountain 2016-2 2016 — 3Q18 500 498 R BSL No BlueMountain 2016-3 2016 4Q18 4Q20 475 474 R BSL No BlueMountain CLO XXII 2018 — 2Q20 408 403 R BSL No BlueMountain CLO 2018-1 2018 — 2Q20 475 460 R BSL No BlueMountain CLO 2018-2 2018 — 2Q20 513 499 R BSL No BlueMountain CLO 2018-3 2018 — 3Q20 600 600 R BSL No BlueMountain CLO XXIII 2018 — 3Q20 500 500 R BSL No BlueMountain CLO XXIV 2019 — 2Q21 500 501 R BSL No BlueMountain CLO XXV 2019 — 3Q21 500 502 R BSL No BlueMountain CLO XXVI 2019 — 4Q21 500 500 R BSL No R – Reinvesting. Source: BlueMountain Capital Management, LLC.
BlueMountain Capital Management, LLC March 31, 2020 95 Structured Finance CLO
Organizational Structure
Assured Guaranty US Holdings Inc.
Sole Member Sole Member
BlueMountain CLO Management, LLC BlueMountain Capital Management, LLC
Note: Limited scope of structure to that as it relates to BlueMountain-issued CLOs. Source: Blue Mountain Capital Management, LLC
BlueMountain Capital Management, LLC March 31, 2020 96 Structured Finance CLO
The Fitch View — BlueMountain Capital Management, LLC Key Considerations • Experienced CLO manager that has been managing CLOS since 2005. • Historically has been a majority investor in its 2.0 CLOs. • Highly centralized approval process within CLO team creating a degree of key person risk; this is mitigated largely by collaborative team structure and strong participation/oversight by senior management. Company • BlueMountain Capital Management, LLC (BlueMountain Capital), founded in 2003, is a diversified alternative asset management firm with offices in New York City and London. • Total firm managed or serviced assets under management (AUM) of $15 billion at Dec. 31, 2019 included $6 billion in absolute return funds, private capital funds, and customized single investor funds and $9 billion in CLO assets. • Expereinced staff of CLO investment professionals. • BlueMountain Fuji Management, LLC and BlueMountain CLO Management, LLC were established in 2015 and 2017, respectively. • On Oct. 1, 2019, a subsidiary of Assured Guaranty Ltd. acquired all of the outstanding equity interests of BlueMountain Capital and its associated entities, including BMCLO. Investments • BlueMountain Capital’s CLO team is co-led by Charles Kobayashi and Brandon Cahill and supported by a third Portfolio Manager (PM), Joshua Moskow. • The research team is currently averaging ~70 credits per analyst; BlueMountain is in the process of bringing on more analysts this year to bring down the average count per analyst. • Early warning credit system based primarily on deteriorating financials and adverse price movements, which are both tracked by analysts. Analysts are responsible for e-mailing the CLO PMs with alerts on credits showing material change. • BlueMountain Capital reports that it has experienced a 0.8% average annual default rate across its CLOs from 2005 through 2019, lower than the S&P/LSTA average annual rat e of 2.3% for the same period. Controls • New investment discussion is collaborative; final approval authority is majority vote from the investment committee. • Formal quarterly review of all credits by Portfolio Management and Research teams. • Routine SEC compliance examination concluded in early 2017. A deficiency letter showed minor findings, which BlueMountain Capital reports were remedied. Operations and Technology • BlueMountain Capital uses Wall Street Office (WSO) Web for CLO administration, compliance testing and trustee reconciliation. • Four in-house operations professionals are assigned to tie out cash, positions, data attributes and compliance tests with WSO and CLO trustees. • BlueMountain Capital primarily relies on proprietary portfolio management tools instead of an integrated Web-based platform. • Business continuityplans and cybersecurity measures are appropriate and tested.
BlueMountain Capital Management, LLC March 31, 2020 97 Structured Finance CLO
BlueMountain Fuji Management, LLC BlueMountain Fuji Management, LLC (BlueMountain Fuji) is a CLO portfolio manager established in 2015 with offices in New York City and London. The firm had total CLO assets under management (AUM) of $3.8 billion at Dec. 31, 2019. BlueMountain Capital Management, LLC is the staff and services provider for BlueMountain Fuji Management LLC. On Oct. 1, 2019, a subsidiary of Assured Guaranty Ltd. acquired all of the outstanding equity interests of BlueMountain Capital Management, LLC and its associated entities.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employees 3 1 CLO Issuance Since 2015 2015 Total Assets Under Management (AUM) $1.8 Bil. €1.8 Bil. Leveraged Loan AUM $1.8 Bil. €1.8 Bil. Active CLOs Under Management 4 5 Total CLOs Managed 4 5 Source: BlueMountain Fuji Management, LLC.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 3 3 PMs Average Experience 18 Years 18 Years Loan Analysts with: >20 Years’ Credit Experience — — 10–20 Years’ Credit Experience 6 — <10 Years’ Credit Experience — — Analyst Team Average Experience 10 Years 10 Years Loan Team Credits Per Analyst 70 — Approximate No. of Invested Credits 400–450 — Distressed Credit Specialists / Avg. Experience — — Source: BlueMountain Fuji Management, LLC.
U.S. Loan AUM Development ($ Bil.) 2.5 2.0 1.5 1.0 0.5 0.0 2017 2018 2019 Source: BlueMountain Fuji Management LLC.
BlueMountain Fuji Management LLC April 7, 2020 98 Structured Finance CLO
European Loan AUM Development (€ Bil.) 2.0 1.5 1.0 0.5 0.0 2018 2019 Source: BlueMountain Fuji Management LLC.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 99 CLOs 100 High Yield Bonds 1 Region Source: BlueMountain Fuji Management, LLC. U.S. 60 Europe 40 Source: BlueMountain Fuji Management, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant BlueMountain 2013-2 2013 4Q17 4Q19 429 411 R BSL No BlueMountain Fuji US CLO I 2017 — 3Q19 510 502 R BSL No BlueMountain Fuji US CLO II 2017 — 4Q19 561 551 R BSL No BlueMountain Fuji US CLO III 2017 — 4Q19 408 402 R BSL No R – Reinvesting. Source: BlueMountain Fuji Management, LLC.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status BlueMountain EUR CLO 2016-1 2016 2Q18 2Q20 410 400 R BlueMountain Fuji EUR CLO II 2017 — 3Q19 359 352 R BlueMountain Fuji EUR CLO III 2018 — 3Q20 359 351 R BlueMountain Fuji EUR CLO IV 2019 — 1Q21 360 350 R BlueMountain Fuji EUR CLO V 2019 — 3Q21 358 350 R R – Reinvesting. Source: BlueMountain Fuji Management, LLC.
BlueMountain Fuji Management LLC April 7, 2020 99 Structured Finance CLO
Organizational Structure
BlueMountain Fuji BlueMountain Capital BlueMountain Fuji CLOs Collateral Management, LLC Services Management, LLC Management Agreement Services Source: BlueMountain Fuji Management LLC.
BlueMountain Fuji Management LLC April 7, 2020100 Structured Finance CLO
BNP Paribas Asset Management BNP Paribas Asset Management (BNPP AM) is the global asset management arm of BNP Paribas. As of Dec. 30, 2019, it had €440 billion in assets under management (AUM) through a diversified product mix spanning equity, fixed income and convertibles, multi- asset, structured, indexed and alternative investments across developed and emerging markets. Approximately €6 billion was in loan strategies, including six CLO 2.0s.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY Paris, France CLO Related Employees 6 12 CLO Issuance Since 2014 2001 Total Assets Under Management (AUM) €440 Bil. Globally Leveraged Loan AUM $0.4 Bil. €4.6 Bil. Active CLOs Under Management 0 4 Total CLOs Managed 2 4 Source: BNP Paribas Asset Management. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 1 2 PMs Average Experience 27 Years 20 Years Loan Analysts with: >20 Years’ Credit Experience 1 1 10–20 Years’ Credit Experience 3 4 <10 Years’ Credit Experience 3 2 Analyst Team Average Experience 14 Years 11 Years Loan Team Credits Per Analyst 30-40 20-30 Approximate No. of Invested Credits 100-150 100-150 Distressed Credit Specialists / Avg. Experience — — Source: BNP Paribas Asset Management.
Loan AUM Development
(€ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: BNP Paribas Asset Management.
BNP Paribas Asset Management March 13, 2020101 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Client Type Asset Type Insurance 20 CLOs 33 Corporates 16 Managed Accounts 11 Pension Funds 15 Managed Funds 56 Retail Clients 15 Region Private Clients 15 U.S. 25 Official Institutions 13 Europe 74 Asset Managers 5 Other 1 Other 5 Source: BNP Paribas Asset Management. Source: BNP Paribas Asset Management.
U.S. Credit Committee Experience (Years) Name Role Firm Industry Vanessa Ritter Head of Global Loans 12 27 Allan Roopan Head of Credit Structuring and Origination 14 23 Source: BNP Paribas Asset Management.
European Credit Committee Experience (Years) Name Role Firm Industry Vanessa Ritter Head of Global Loans 12 27 Javier Peres Diaz Head of European Loans 15 20 Ludovic Bonneau Senior Portfolio Manager 11 21 Vincent Brousseau Senior Portfolio Manager 21 17 Dennis Tian Senior Portfolio Manager 13 13 Source: BNP Paribas Asset Management.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant BNPP IP 2014-1 2014 2Q17 2Q16 401 204 PR BSL No BNPP IP 2014-II 2014 3Q17 4Q16 361 214 PR BSL No PR - Post-reinvestment. Source: BNP Paribas Asset Management.
BNP Paribas Asset Management March 13, 2020102 Structured Finance CLO
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status BNPP IP EURO CLO 2015-1 2015 2Q18 3Q20 300 311 R BNPP AM EURO CLO 2017 2017 4Q19 3Q19 350 362 R BNPP AM EURO CLO 2018 2018 — 3Q20 411 411 R BNPP AM EURO CLO 2019 2019 — 3Q21 408 408 RU R – Reinvesting. RU – Ramp-up. Source: BNP Paribas Asset Management.
Organizational Structure
BNP Paribas SA
Retail Banking & Services (RB&S) Corporate & Institutional Banking (CIB)
International Financial Services (IFS) Domestic Markets (DM)
BNP Paribas BNP Paribas BNP Paribas BNP Paribas BNP Paribas International Asset Wealth Personal Real Estate Cardif Retail Banking Management Management Finance
Source: BNP Paribas Asset Management.
BNP Paribas Asset Management March 13, 2020103 Structured Finance CLO
The Fitch View — BNP Paribas Asset Management Key Considerations • Seasoned senior management team with long-standing shared experience in managing CLOs. • Strong CLO investment services and monitoring ability. • Financially strong institutional parent that supports the growth of loan investment activities. Company • Established in 2001 as part of BNP Paribas CIB, the CLO team joined BNPP AM in 2014. It is now part of the asset manager’s global loans. • Acquisition and successful turnaround of third-party CLOs since 2009: first new 2.0 CLO in 2015 (successfully refinanced in April 2017 and reset in April 2018), second 2.0 CLO in September 2017 (refinanced in October 2019), third in September 2018 and fourth in August 2019. • Portfolio managers (PMs) are supported by 12 dedicated loan analysts covering the U.S. and European markets, allowing good access to cross-border opportunities. Trades execution in the secondary market is centralized with one of the analysts. • The team also benefits from dedicated support staff for loan settlement and transaction support and good access to BNPP AM’s wider resources (public research, controls, operations, sales, legal and compliance). Investments • Investment approach driven by bottom-up credit fundamentals and complemented by a top- down approach to portfolio diversification. It focuses on loans, primarily senior secured. • Two-step credit selection process, a pre-screening phase and a detailed credit analysis phase, including full due diligence, financial projections, relative-value and liquidity analysis and legal documentation review. • Investment committee decides on all new investment opportunities sourced from the primary or secondary market, on major credit events/restructuring and on reinvestments in illiquid assets or those on the watchlist. Strong selectivity demonstrated by growing rejection rate. • All deal analysis, recommendations and committee conclusions are well documented and adequately logged. Good portfolio and credit monitoring ability through a robust proprietary tool. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • PMs and regular monitoring committees ensure a first level of control. The middle-office services team performs comprehensive controls (collateral, OC test and waterfall, among others) on top of those separately conducted by the trustee. • BNPP AM’s compliance, permanent control and risk departments provide strong coverage of risk areas. The independent internal audit function conducts periodic controls; the most recent audit was in the first quarter of 2016. • Investment compliance and trade monitoring are handled through Wall Street Office (WSO) and Aladdin®. Operations and Technology • Weekly reconciliations are conducted with trustees for principal and interests. • WSO and Aladdin® provide a robust, efficient and integrated environment for the CLO team. • The team has a dedicated intranet tool for credit monitoring. It efficiently supports data gathering and the monitoring process on loans and portfolios. • Daily valuation based on several pricing sources (brokers, Bloomberg, Markit Loan Pricing). Investor reporting includes monthly valuation and detailed quarterly reports. • Business continuity and cybersecurity measures are appropriate and tested.
BNP Paribas Asset Management March 13, 2020104 Structured Finance CLO
Brightwood Capital Advisors, LLC Brightwood Capital Advisors, LLC (Brightwood), founded in 2010, provides capital solutions to companies with EBITDA of $10 million to $75 million. As of Dec. 31, 2019, Brightwood was managing $4.6 billion in assets across small business investment companies (SBICs), limited partnerships and separately managed accounts. Brightwood is headquartered in New York City with offices in Los Angeles, Chicago, Dallas, Philadelphia and Minneapolis. The firm primarily focuses on proprietary origination of senior debt investments with a focus on lending to U.S.- based family, founder and entrepreneur-owned businesses (FF&Es). Since inception, the firm has deployed $8.1 billion to 160 borrowers. Brightwood provides capital solutions in five core industry verticals: technology and telecommunications, healthcare, business services, transportation and logistics and franchising. Firm Profile
Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 41 CLO Issuance Since 2016 Total Assets Under Management (AUM) $4.6 Bil. Leveraged Loan AUM $4.6 Bil. Active CLOs Under Management 1 Total CLOs Managed 1 Source: Brightwood Capital Advisors, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 25 Years Loan Analysts with: >20 Years’ Credit Experience 8 10–20 Years’ Credit Experience 10 <10 Years’ Credit Experience 12 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 20-30 Approximate No. of Invested Credits 18 Distressed Credit Specialists / Avg. Experience 5 / 12 Years Source: Brightwood Capital Advisors, LLC.
U.S. Loan AUM Development ($ Bil.) 5.0 4.0 3.0 2.0 1.0 0.0 2012 2013 2014 2015 2016 2017 2018 2019 Source: Brightwood Capital Advisors, LLC.
Brightwood Capital Advisors, LLC April 7, 2020105 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Middle Market Loans 100 CLOs 7 Client Type Managed Funds 93 Insurance 17 Pension/Retirement 68 Region Endowment 1 U.S. 77 Family Office / High Net Worth 11 Europe 19 Other 4 Other 4 Source: Brightwood Capital Advisors, LLC. Source: Brightwood Capital Advisors, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Damien Dwin CEO and Co-Founder Committee Member 10 23 Sengal Selassie CEO and Co-Founder Committee Member 10 27 Source: Brightwood Capital Advisors, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant CLO1 2019 Select 1Q22 305 — R MML Yes R − Reinvesting. Source: Brightwood Capital Advisors, LLC.
Brightwood Capital Advisors, LLC April 7, 2020106 Structured Finance CLO
The Fitch View — Brightwood Capital Advisors, LLC Key Considerations • Brightwood has been managing balance sheet CLOs backed by loans to small to medium- sized middle-market companies since 2016. • The firm relies on internal and external leadership as well as an experienced team of investment professionals who have been investing in similar companies since 2010. • The firm has the necessary resources and relationships to source assests for this CLO platform. Company • Brightwood’s CLO transactions will be managed by Brightwood SPV Advisors, LLC, a wholly owned subsidiary. • Brightwood employees and affiliates have committed over $100 million in capital across Brightwood funds, including its two co-founders Damien Dwin and Sengal Selassie. • The firm invests in proprietary opportunities that are led by families, founders and entrepreneur-owned businesses. These U.S.-based businesses generally have EBITDA of $10 million to $75 million. • Brightwood focuses on five core industry verticals: technology/telecom, business services, healthcare, transportation/logistics and franchising. • The firm has the financial resources in place to issue U.S. and European risk retention- compliant CLO transactions. • Brightwood employs a robust team of origination, underwriting, and risk management professionals who oversee the investments from inception to post allocation. Investments • All investments are required to have audited financial statements, and the firm generally invests in opportunities with borrowers that have a stable legacy history of operating. • The firm employs a dedicated and experienced team of origination and underwriting professionals. • All credit decisions must be unanimously approved by the firm's investment committee, comprises co-founders Damien Dwin and Sengal Selassie. Prior to the investment committee, all investments are reviewed by a three-person panel of retired former corporate bankers known as the investment committee “observers”. This provides for further checks and balances to the process. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • The firm has adequate risk management tools to track credit-related activity, identify risks and monitor and identify credit trends within industry sectors and individual companies. • Brightwood employs a dedicated risk team to oversee the firm’s investments after origination, underwriting and allocation. Each analyst in the risk team will cover up to 25 credits. • The firm’s middle- and back-office CLO functions are overseen by experienced professionals with CLO experience. Operations and Technology • The firm’s middle- and back-office CLO functions are overseen by experienced team of professionals, including the head of loan operatiosn who has extensive CLO experience. • The firm uses Wall Street Office (WSO) for its loan administration and CLO compliance systems • Business continuity plans and cybersecurity measures are appropriate and tested.
Brightwood Capital Advisors, LLC April 7, 2020107 Structured Finance CLO
Cairn Loan Investments LLP Cairn Loan Investments LLP (CLI) is an independent U.K. limited liability partnership established by Cairn Capital Limited (Cairn Capital) in 2014 to build on its CLO management business. Authorized by the Financial Conduct Authority (FCA) as a MiFID investment firm, CLI, in its capacity as "sponsor," is the collateral manager for all European CLOs and supporting warehouse arrangements it brings to market. As of Dec. 31, 2019, CLI was managing eight European CLOs with total assets under management (AUM) of €2.8 billion.
Firm Profile Region(s) of CLO Operations Europe Location London, U.K. CLO Related Employees 7 CLO Issuance Since 2014 Total Assets Under Management (AUM) €2.8 Bil. Leveraged Loan AUM €2.8 Bil. Active CLOs Under Management 8 Total CLOs Managed 8 Source: Cairn Loan Investments LLP. CLO Team Structure
Region(s) Europe Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 25 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience 1 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 30-40 Approximate No. of Invested Credits 100-150 Distressed Credit Specialists / Avg. Experience 1 / 16 Years Source: Cairn Loan Investments LLP.
European Loan AUM Development (€ Bil.) 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2014 2015 2016 2017 2018 2019 Source: Cairn Loan Investments LLP.
Cairn Loan Investments LLP February 14, 2020108 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 100 Client Type Region Other 100 Europe 100 Source: Cairn Loan Investments LLP. Source: Cairn Loan Investments LLP.
European Credit Committee Experience (Years) Name Title Role Firm Industry Andrew Burke Senior Portfolio Manager Permanent 13 37 Mark Stieler Cairn Capital Head of Credit Research Permanent 12 21 Graham Murphy Cairn Capital Chief Risk Officer Permanent 9 23 Paul Campbell Cairn Capital Senior Advisor Alternative 16 32 Source: Cairn Loan Investments LLP.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Cairn CLO III-R B.V. 2015 4Q17 3Q17 306 306 R Cairn CLO IV B.V. 2014 2Q19 2Q20 309 309 R Cairn CLO V B.V. 2015 3Q17 3Q17 309 311 R Cairn CLO VI B.V. 2016 — 3Q18 362 362 R Cairn CLO VII B.V. 2017 4Q19 1Q19 363 363 R Cairn CLO VIII B.V. 2017 — 4Q19 361 361 R Cairn CLO IX B.V. 2018 — 1Q18 411 411 R Cairn CLO X B.V. 2018 — 4Q18 375 375 RU R – Reinvesting. RU – Ramp-up. Source: Cairn Loan Investments LLP.
Cairn Loan Investments LLP February 14, 2020109 Structured Finance CLO
Organizational Structure
Noteholders
CLI Holdings Limited (CLIH) Cairn Capital Group Limited (UK SPV)
Member Capital
Cairn Loan Cairn Capital Collateral Investments LLP Outsourced Limited Remainder Management (CLI) Services of liabilities Services (U.K. limited liability Agreement (U.K. limited Cairn CLOs placed in partnership FCA company market authorized and FCA authorized and regulated as a MiFID regulated under investment firm) AIFMD)
Investment in 5% of each Cairn CLO in Subordinated Notes
Note: CLI has organized its investment structure by interposing a U.K. securitization company, namely CLIH, between CLI and its third-party investors (other than the Cairn designated members). These third-party investors (noteholders) hold notes issued by CLIH (notes), which reflect the economic terms of, and pass through the returns due under, the membership interests in CLI that CLIH holds. The notes also include certain provisions, including covenants by CLIH, in favor of the noteholders reflecting the direct members’ existing governance rights under the LLP agreement. CLI’s structure is shown in the diagram below . Source: Cairn Loan Investments LLP
Cairn Loan Investments LLP February 14, 2020110 Structured Finance CLO
The Fitch View — Cairn Loan Investments LLP Key Considerations • CLI is an independent U.K. limited liability partnership established by Cairn Capital in 2014 to build on its CLO management business. • CLI has a robust risk management structure, with risk managers structurally embedded in the credit decision-making process through representation on the credit committee. • Cairn Capital’s CLO portfolio management team has been seconded to CLI and is responsible for portfolio management and credit decisions. Company • Authorized by the FCA as a MiFID investment firm, CLI, in its capacity as sponsor, is the collateral manager for all European CLOs and supporting warehouse arrangements it brings to market. • Supporting functions, including credit research, IT, legal and compliance, operations, finance and risk management, have been outsourced to Cairn Capital. • Cairn Capital operates an outsourced credit research team in Mumbai (not employees of Cairn Capital) that supports a limited number of senior London-based credit analysts. This structure differentiates Cairn Capital from peers, which typically rely on in-house research teams. Investments • The investment process is multi-stage, based on bottom-up fundamental credit analysis. • An initial filtering step eliminates opportunities that would not be suitable for any portfolio or would be unlikely to pass the full credit analysis. • The full credit analysis is detailed, including top-down and bottom-up elements and finally a relative-value assessment. • Position sizing is driven by portfolio manager (PM) conviction, subject to a trading limit approved by the investment committee. • The CLO investment team comprises two PMs, one loan team operating officer, four London- based senior credit analysts and six outsourced credit analysts based in Mumbai. • A formal review of all CLO portfolio holdings is conducted quarterly, and relevant credits are discussed on a weekly basis. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Public/private data are managed in accordance with defined policies and compliance oversight. • Pre- and post-trade compliance testing is effected via Sentry. • CLI is differentiated from other CLO managers by having risk management permanently represented on the investment committee, thus bringing structural independence to the decision-making process. Operations and Technology • The firm has additional resources in legal and compliance (four employees) and operations/treasury (three). Loan settlements are outsourced to Cortland Financial Services Limited. • Dedicated CLO administrative staff on the operations and treasury team provides independent trustee reconciliation and indenture compliance monitoring. • Integrated and flexible platform based on a combination of Cairn Capital’s proprietary systems (Nexus) and third-party administration systems, including widely accepted industry systems such as Sentry. • Detailed business continuity and disaster recovery plans are in place and tested, with offsite server storage and backups.
Cairn Loan Investments LLP February 14, 2020111 Structured Finance CLO
Canaras Capital Management, LLC Canaras Capital Management, LLC (CCM) is a U.S. SEC-registered investment adviser with offices in New York and Jersey, Channel Islands. CCM offers risk-retention solutions for CLOs under European and Japanese guidelines. The firm was founded in 2006 by three partners who are still heavily involved in the business. The firm managed $1.45 billion of assets as of Dec. 31, 2019.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 15 CLO Issuance Since 2007 Total Assets Under Management (AUM) $1.5 Bil. Leveraged Loan AUM $1.5 Bil. Active CLOs Under Management 4 Total CLOs Managed 8 Source: Canaras Capital Management, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 5 PMs Average Experience 23 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 4 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 20-30 Approximate No. of Invested Credits 250-300 Distressed Credit Specialists / Avg. Experience — Source: Canaras Capital Management, LLC.
U.S. Loan AUM Development ($ Bil.) 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Canaras Capital Management, LLC.
Canaras Capital Management, LLC March 13, 2020112 Structured Finance CLO
Loan AUM Breakdown (%) Asset Type CLOs 100
Region U.S. 100 Source: Canaras Capital Management, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Anthony R. Clemente CEO & CIO Chairman 14 37 Richard J. Vratanina Managing Director Senior Analyst 12 23 Benjamin S. Steger Managing Director Senior Analyst 14 18 Marc M. McAfee Managing Director Senior Analyst 8 15 Andrew J. Heller Managing Director Senior Analyst 14 23 Source: Canaras Capital Management, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Saranac CLO III 2014 2Q18 2Q20 400 404 R BSL Yes Saranac CLO V 2013 3Q17 2Q19 351 355 R BSL Yes Saranac CLO VI 2018 — 3Q20 351 351 R BSL Yes Saranac CLO VII 2014 4Q17 2Q20 350 353 R BSL Yes R − Reinvesting. Source: Canaras Capital Management, LLC.
Organizational Structure
Saranac Management Limited Saranac Investment Management IC
Saranac CLO Management, LLC
Canaras Capital Management, LLC
Source: Canaras Capital Management, LLC.
Canaras Capital Management, LLC March 13, 2020113 Structured Finance CLO
Canyon Capital Advisors LLC Canyon Capital Advisors LLC (Canyon) is a Los Angeles-based investment management firm. Established in 1990, the firm manages a variety of product offerings, including hedge funds, closed-end funds, separately managed accounts and CLOs. As of Jan. 1, 2020, Canyon had $26.3 billion in assets under management (AUM), including 10 CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location Los Angeles, CA CLO Related Employees 37 CLO Issuance Since 2001 Total Assets Under Management (AUM) $26.3 Bil. Leveraged Loan AUM $9.7 Bil. Active CLOs Under Management 10 Total CLOs Managed 15 Source: Canyon Capital Advisors LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 17 Years Loan Analysts with: >20 Years’ Credit Experience 6 10–20 Years’ Credit Experience 18 <10 Years’ Credit Experience 10 Analyst Team Average Experience 15 Years Loan Team Credits Per Analyst 10–20 Approximate No. of Invested Credits 350–400 Distressed Credit Specialists / Avg. Experience 29 / 13 Years Source: Canyon Capital Advisors LLC.
U.S. Loan AUM Development ($ Bil.) 12 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Canyon Capital Advisors LLC.
Canyon Capital Advisors LLC February 28, 2020114 tr ct red inance
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Credit C ittee Experience Years a e it e e ir nd str
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115 tr ct red inance
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Can n artners C E
Can n Capita d is rs C
Managing Member
Can n C d is rs C
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e itc ie — Can n Capita d is rs C e C nsiderati ns C pan Canyon’s CMV is also registered with the SEC and has access to all of Canyon’s CLO n est ents C ntr s perati ns and ec n 117 Structured Finance CLO
Carlson Capital, L.P. Carlson Capital, L.P. (Carlson) provides discretionary investment advisory services to privately offered pooled investment vehicles, collateralized loan obligation special purpose vehicles, and managed accounts. Clint D. Carlson and his immediate family members are the principal owners of Carlson, and certain employees also have ownership interests in Carlson and certain affiliated vehicles. Carlson and its affiliates had approximately 144 employees and $6.4 billion in assets under management (AUM) as of Dec. 31, 2019.
Firm Profile Region(s) of CLO Operations U.S. Location Dallas, TX CLO Related Employees 11 CLO Issuance Since 2013ª Total Assets Under Management (AUM) $6.4 Bil. Leveraged Loan AUM $2.2 Bil. Active CLOs Under Management 5 Total CLOs Managed 5 ªPriced Cathedral Lake CLO 2013, Ltd. on Dec. 5, 2013 and closed on Jan. 10, 2014. Source: Carlson Capital, L.P.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 18 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 3 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 30-50 Approximate No. of Invested Credits 200-250 Distressed Credit Specialists / Avg. Experience 3 / 15 Years Source: Carlson Capital, L.P.
Loan AUM Development ($ Bil.) 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Carlson Capital, L.P.
Carlson Capital, L.P. March 17, 2020118 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown
(%) (%) Client Type Asset Type Insurance 3 CLOs 92 Pension/Retirement 33 Managed Funds 8 Endowment 11 Region Family Office / High Net Worth 25 U.S. 100 Managed Accounts 14 Source: Carlson Capital, L.P. Other 14 Source: Carlson Capital, L.P.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Stanton Raya Head of Corporate Credit Portfolio Manager 16 18 Kimberly Thomasa Director Energy, Industrials, and Gaming Sector Head 11 14 Nam Kwok Director Tech, Telecom, and Consumer Sector Head 8 14 T.J. Unterbrink Head of Portfolio Strategy CLO Portfolio Analysis, Operations Head and CLO Business Development 6 14 ªNamed as key person on at least one of the firm's CLOs. Source: Carlson Capital, L.P.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Cathedral Lake CLO 2013 2014 4Q17 4Q20 449 447 R BSL No Cathedral Lake II 2015 3Q17 3Q19 400 397 R BSL No Cathedral Lake III 2015 3Q17 3Q19 400 400 R BSL No Cathedral Lake IV 2016 4Q19 4Q20 400 398 R BSL No Cathedral Lake V 2018 — 4Q20 400 399 R BSL No R – Reinvesting. Source: Carlson Capital, L.P.
Organizational Structure
Carlson Capital, L.P. (Registered Investment Adviser)
Carlson CLO Advisers, LLC (Collateral Manager; Relying Adviser)
Source: Carlson Capital, L.P.
Carlson Capital, L.P. March 17, 2020119 Structured Finance CLO
The Fitch View — Carlson Capital, L.P. Key Considerations • Experienced CLO manager having issued five 2.0 CLOs and reset three U.S. risk retention compliant CLOs since 2013. • Corporate credit team constructs CLO portfolios while also managing fixed-income strategies for Carlson’s hedge funds. • Carson plans to return to more frequent CLO issuance depending on the outlook for new CLOs as the current market environment evolves. Company • Carlson manages CLOs through its wholly owned subsidiary Carlson CLO Advisers, LLC. • Carlson, founded in 1993, is headquartered in Dallas, TX and also has offices in New York, London, Greenwich and Houston. Carlson has 144 employees, including 57 investment professionals. • Carlson is independently owned by founder and Chief Investment Officer Clint Carlson, his immediate family members, and nine additional active partners. Former partners may retain a declining interest in the firm for a certain period o after their departure. There are no outside partners or shareholders. Investments • Carlson manages five hedge fund groups under Black Diamond™, four separately managed accounts, and five CLOs with an aggregate of $6.4 billion in AUM. • The CLO investment strategy is managed by the firm’s corporate credit team led by Stanton Ray as head of corporate credit. He is supported by a team of four dedicated analysts that draws on the resources of other portfolio managers and analysts throughout Carlson. Mr. Ray is also assisted by T.J. Unterbrink, the head of CLO portfolio strategy. • Carlson’s CLO investment philosophy is based on selecting larger, liquid credits senior in a company’s capital structure with identifiable market value below the senior loans. The firm generally underweights loan-only structures. • Integral tools available to the corporate credit team include a proprietary trade order management system, Covenant Review, and U.S. Bank’s Pivot System for hypothetical trade testing and indenture compliance. • The firm considers environmental, social and governance (ESG) or other impact investing factors as part of its investment analysis. Controls • The head of CLO portfolio strategy, with the assistance of an operations analyst, performs settlements, surveillance, and compliance monitoring. • Each investment must be approved by a member of Carlson’s CLO investment committee. • Regular watch list review of “at risk” credits by members of the CLO investment committee. • Carlson’s compliance department oversees all investment allocations, with review by the firm’s conflicts committee where appropriate. Operations and Technology • Carlson uses U.S. Bank’s Middle Office Solutions for trade settlement and generation of internal CLO reports. • Portfolio positions and loan characteristics are reconciled daily with the trustee by utilizing U.S. Bank Middle Office Solutions. • Carlson maintains an in-house technology team organized into two groups — a systems development group and an information technology group consisting of 24 employees across the two groups. • Proprietary analytics drive many factors specific to the firm’s portfolios, while Carlson employs a number of third-party systems for other measures.
Carlson Capital, L.P. March 17, 2020120 Structured Finance CLO
The Carlyle Group The Carlyle Group (Carlyle; NASDAQ: CG) is a global investment firm with deep industry expertise that deploys private capital across four business segments: Corporate Private Equity, Real Assets, Global Credit and Investment Solutions. With $222 billion of assets under management, Carlyle’s purpose is to invest wisely and create value on behalf of our investors, portfolio companies and the communities in which we live and invest. Carlyle employs more than 1,775 people in 33 offices across six continents.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employees 39 13 CLO Issuance Since 1999 2005 Total Assets Under Management (AUM) $18.2 Bil. $7.6 Bil. Leveraged Loan AUM $18.2 Bil. $7.6 Bil. Active CLOs Under Management 33 16 Total CLOs Managed 58 27 Source: The Carlyle Group. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 2 2 PMs Average Experience 29 Years 24 Years Loan Analysts with: >20 Years’ Credit Experience 3 — 10–20 Years’ Credit Experience 8 3 <10 Years’ Credit Experience 4 5 Analyst Team Average Experience 16 Years 10 Years Loan Team Credits Per Analyst 30–40 20–30 Approximate No. of Invested Credits 400–450 200–250 Distressed Credit Specialists / Avg. Experience 2 / 25 Years Not reported Source: The Carlyle Group.
U.S. Loan AUM Development ($ Bil.) 20
15
10
5
0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: The Carlyle Group.
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i i — l l i i Carlyle’s A strong focus on primary market allocations is supported by Carlyle’s market position and Communication across Carlyle’s global network encourages knowledge sharing and allows Carlyle’s Loans – credit team’s depth of experience. committee ensures that the team’s most experienced credit professionals review l i l Carlyle Global Credit’s chief financial officer.
125 Structured Finance CLO
CBAM Partners, LLC Founded in 2016, CBAM Partners, LLC (CBAM) had $11.5 billion in assets under management (AUM) as of Dec. 31, 2019, including leveraged loans and other high yield assets. CBAM is a subsidiary of Eldridge Industries, a diversified firm with investments in media and sports, asset management, insurance, real estate and hospitality.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 30 CLO Issuance Since 2017 Total Assets Under Management (AUM) $11.5 Bil. Leveraged Loan AUM $10.5 Bil. Active CLOs Under Management 11 Total CLOs Managed 14 Source: CBAM Partners, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 25 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 14 Analyst Team Average Experience 8 Years Loan Team Credits Per Analyst 30-35 Approximate No. of Invested Credits 375-400 Distressed Credit Specialists / Avg. Experience 3 / 16 Years Source: CBAM Partners, LLC.
U.S. Loan AUM Development ($ Bil.) 12.0 10.0 8.0 6.0 4.0 2.0 0.0 2016 2017 2018 2019 Source: CBAM Partners, LLC.
CBAM Partners, LLC March 13, 2020126 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 91 CLOs 91 Other 9 Managed Accounts 9 Client Type Region Managed Accounts 9 North America 99 Other 91 Europe 1 Source: CBAM Partners, LLC. Source: CBAM Partners, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Don Younga Co-Founder and Investment Committee Member 4 28 Partner and PM Mike Damasoa Co-Founder and Investment Committee Member 4 22 Partner and PM Charles "Chip" Rini Managing Director Investment Committee Member 2 25 ªNamed as key person on at least one of the firm's CLOs. Source: CBAM Partners, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant CBAM 2017-1 2017 — 3Q19 1,252 1,242 R BSL Yes CBAM 2017-2 2017 — 4Q19 1,568 1,568 R BSL Yes CBAM 2017-3 2017 — 3Q19 1,307 1,304 R BSL Yes CBAM 2017-4 2017 — 1Q20 1,008 1,001 R BSL Yes CBAM 2018-5 2018 — 2Q20 1,001 996 R BSL No CBAM 2018-6 2018 4Q19 1Q21 1,007 1,007 R BSL No CBAM 2018-7 2018 — 3Q20 756 756 R BSL No CBAM 2018-8 2018 — 4Q19 504 504 R BSL No CBAM 2019-9 2019 — 1Q20 601 601 R BSL No CBAM 2019-10 2019 — 2Q21 402 402 R BSL No CBAM 2019-11 2019 — 3Q21 499 499 R BSL No R − Reinvesting. Source: CBAM Partners, LLC.
CBAM Partners, LLC March 13, 2020127 Structured Finance CLO
Organizational Structure
CBAM Eldridge Management Industries Company & Employees
CBAM Holdings, LLC
100%
CBAM Partners, LLC (Registered Investment Adviser)
Staff and Services Agreement
CBAM CLO Management LLC (Relying Adviser)
Source: CBAM Partners, LLC.
CBAM Partners, LLC March 13, 2020128 Structured Finance CLO
The Fitch View — CBAM Partners, LLC Key Considerations • CBAM relies on the leadership and experience of veteran CLO portfolio managers (PMs), analysts, traders, and operations and compliance professionals. • Parent company, Eldridge Industries, is a diversified firm with investments in media and sports, asset management, insurance, real estate and hospitality. Company • Affiliated with Security Benefit Life, a $34 billion insurance firm and active investor in CLO 2.0s. • CLO management related resources secured through a services agreement between CBAM and CBAM CLO Management LLC. • Investment staff includes two PMs, two traders and 18 credit analysts. Twelve other staff members comprise operations, compliance, business development and legal. • Middle- and back-office support functions are outsourced to Virtus but overseen by director of operations based in New York. Investments • Credits are approved by a three-person investment committee (Don Young, Mike Damaso and Chip Rini). Committee meets daily, and unanimous consent is required for purchases. • Firm employs 18 credit analysts, who average 8 years of experience. Each analyst covers on average approximately 30-35 credits. • Dedicated and experienced loan trader is responsible for loan execution. Execution is expected to be aided by established relationships with loan trading desks. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Disciplined committee-based credit process; investment committee involved in final investment selection responsibility. • Firm employs an internal heat map to help track credit-related activity and monitor and identify credit trends. • Chief compliance officer will oversee public/private issues managed in accordance with defined policies. Operations and Technology • CBAM outsources all middle- and back-office duties, including trustee report tie-outs, to Virtus, a well-recognized and experienced firm in this area. • The firm has a dedicated and experienced in-house director of operations, who manages the relationship with Virtus and acts as the liaison between the operations and portfolio management team. • The PMs are provided with daily reports from Virtus, including real-time reports of CLO compliance that will be used for trading and pre-trade compliance. • The firm utilizes Black Mountain and relies on Virtus’ technology and CLO compliance systems. • Additional IT support is provided by Eze Castle.
CBAM Partners, LLC March 13, 2020129 Structured Finance CLO
CFI Partners, LLC CFI Partners, LLC (CFIP) was formed on Nov. 7, 2005 by Brad Couri and Levoyd Robinson after structuring the fundamental credit business at Citadel Investment Group. On Oct. 13, 2016, CFIP management agreed to sell a minority interest in the firm to The Academy Group, Inc., a Chicago-based philanthropic entity, to satisfy CLO risk retention requirements.
Firm Profile Region(s) of CLO Operations U.S. Location Chicago, IL CLO Related Employees 16 CLO Issuance Since 2008 Total Assets Under Management (AUM) $2.3 Bil.a b Leveraged Loan AUM $1.8 Bil. Active CLOs Under Management 4 Total CLOs Managed 4 aRegulatory AUM. bMarket value AUM. Source: CFI Partners, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 5 PMs Average Experience 25 Years Loan Analysts with: >20 Years’ Credit Experience 5 10–20 Years’ Credit Experience — <10 Years’ Credit Experience 2 Analyst Team Average Experience 15 Years a Loan Team Credits Per Analyst 30-40 Approximate No. of Invested Credits 170-200 Distressed Credit Specialists / Avg. Experience 6 / 13 Years a230 total credits; includes both owned names and other tracked names. Source: CFI Partners, LLC.
U.S. Loan AUM Development ($ Bil.) 2.0 1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019ᵃ ᵃRepresents year-end market value. Source: CFI Partners LLC.
CFI Partners, LLC April 10, 2020130 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 100 Source: CFI Partners, LLC. Region U.S. 96 Europe 2 Other 2 Source: CFI Partners, LLC.
U.S. Credit Committee Experience (Years) Name Title Firm Industry Bradford B. Couria Managing Principal Portfolio Manager 15 30 Levoyd E. Robinsona Managing Principal Portfolio Manager 15 30 Eric S. Baer Principal Portfolio Manager 15 25 Dave Dieffenbacher Principal Portfolio Manager 15 25 Sean Haas Principal Portfolio Manager 15 25 aNamed as key person on at least one of the firm’s CLOs. Source: CFI Partners, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant CFIP CLO 2013-1 2013 2Q17 2Q19 489 489 R BSL No CFIP CLO 2014-1 2014 3Q17 3Q19 488 488 R BSL No CFIP CLO 2017-1 2017 — 1Q20 484 483 R BSL No CFIP CLO 2018-1 2018 — 3Q20 428 427 R BSL No R – Reinvesting. Source: CFI Partners, LLC.
CFI Partners, LLC April 10, 2020131 Structured Finance CLO
Chenavari Investment Managers Chenavari Investment Managers (Chenavari) was founded in 2008 by Loic Fery (ex-global head of credit markets at Calyon (renamed Credit Agricole CIB). Frederic Couderc (ex- Bear Stearns), co-CIO, joined shortly afterward. The firm is an established, credit-focused asset manager with a core expertise in European markets. Its investment strategies span across tradable credit (long/short corporate credit and European financials and ABS), structured finance (CLOs) and private credit (bank deleveraging opportunities, real estate debt and specialty finance). Assets under management were over $5.5 billion, largely from institutional investors, as of Dec. 31, 2019. Also, Chenavari had 91 staff, 33 of whom were investment professionals. The integrated team of credit investment specialists have an average of 19 years of relevant experience. Chenavari has offices in London and Luxembourg.
Firm Profile Region(s) of CLO Operations Europe Location London, U.K.
CLO Related Employees 12 CLO Issuance Since 2014 Total Assets Under Management (AUM) $5.5 Bil. Leveraged Loan AUM $2.1 Bil. Active CLOs Under Management 5 Total CLOs Managed 5 Source: Chenavari Investment Managers. CLO Team Structure
Region(s) Europe Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 19 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 3 Analyst Team Average Experience 12 Years Loan Team Credits Per Analyst 30-40 Approximate No. of Invested Credits 150-200 Distressed Credit Specialists / Avg. Experience — Source: Chenavari Investment Managers.
Chenavari Investment Managers March 17, 2020132 Structured Finance CLO
European Loan AUM Development
(€ Bil.) 2.5 2.0 1.5 1.0 0.5 0.0 2012 2013 2014 2015 2016 2017 2018 2019
Source: Chenavari Investment Managers.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 1 CLOs 91 Broadly Syndicated Loans 13 Managed Accounts 9 Middle Market Loans 29 Region High Yield Bonds 2 U.S. 18 Structured Credit (non-CLOs) 2 Europe 80 Other a 53 Other 2 Client Type Source: Chenavari Investment Managers. Insurance 3 Pension / Retirement 58 Family Office / High Net Worth 3 Other 36 aIncludes derivatives, structured finance and CLO.s Source: Chenavari Investment Managers.
European Credit Committee Experience (Years) Name Title Role Firm Industry Loic Fery Managing Partner CEO, Co-CIO 11 22 Frederic Couderc Partner Co-CIO 11 25 Mick Vasilache Partner Senior Portfolio Manager 10 25 Benjamin Jacquard Partner Head of Strategic Development 2 23 Edward Smalley Chief Risk Officer Chief Risk Officer 5 15 Source: Chenavari Investment Managers.
Chenavari Investment Managers March 17, 2020133 Structured Finance CLO
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Toro European 4 (fka Toro European 1) 2014 3Q17 3Q19 300 398 R Toro European 2a 2016 4Q18 4Q19 350 397 R Toro European 3 2017 4Q19 2Q19 350 350 R Toro European 5 2018 — 2Q20 400 399 R Toro European 6 2019 — 3Q21 350 352 R aReset and upsized in October 2018. R − Reinvesting. Source: Chenavari Investment Managers.
Organizational Structure
Chenavari Investment Managers Holdings (Cayman Islands)
Chenavari Financial Group Ltd Service Company (U.K.) 59.41%
Chenavari Credit Partners LLP (U.K.) Regulated by FCA/CFTC/SEC
Toro European Toro European Toro European Toro European Toro European CLO 2 DACa CLO 3 DACa CLO 4 DACa CLO 5 DACa CLO 6 DACa (Ireland) (Ireland) (Ireland) (Ireland) (Ireland)
aRelationship between Chenavari Credit Partners LLP and each of the designated activity companies (DACs) is pursuant to an investment management agreement under each relevant CLO transaction. Source: Chenavari Investment Managers.
Chenavari Investment Managers March 17, 2020134 Structured Finance CLO
The Fitch View — Chenavari Investment Managers Key Considerations • European-based asset manager that comprises an experienced team of senior professionals. • The firm has been managing CLOs since 2014. Company • Chenavari is an independent asset manager founded in 2008 focused on niche credit, including structured finance, credit and illiquid credit opportunities. As an independent entity, it lacks the financial resources of other bank- or private equity-backed CLO managers. It actively seeds new activities with its own capital. • Chenavari is privately held by the 11 partners in the business and controlled by Loic Fery. • Chenavari managed two CLOs as replacement CLO manager from 2012 (one of which was called in 2017 and the other one in 2018) and has managed five new CLOs issued in 2014, 2016, 2017, 2018 and 2019. Its flagship structured finance fund (Toro) has been investing in CLO mezzanine and equity paper since the firm’s inception in 2008. • The CLO management team consists of seven members with an average of 10 years’ experience. The research team consists of nine staff (two staff members also have CLO portfolio management responsibility), who average approximately 12 years of experience. The credit research team is shared across the business. Investments • The investment process relies on fundamental credit analysis incorporating bottom-up issuer analysis and top-down themes, based on standardized accounting data. • The analyst team is organized by sector and shared, resulting in analysts covering both loan and bond issuers. • Research outputs are broadly standardized in succinct memos highlighting the key features of the investment and providing an investment rationale. • The CLO portfolio management team has a process that filters out weaker issuers pre- committee; as a result, turndowns by the investment committee are limited. Overall, Chenavari estimates a 65% turndown rate on average. Committee decisions are minuted. • Position sizing and portfolio diversification are at the discretion of the portfolio manager. • Monitoring is ongoing, effected by the analyst team. Issuers are monitored continuously based on news flow, company presentations and monthly account/budget. Controls • Overall control is conducted via the management committee, consisting of the CEO, deputy CEO and chief risk officer, with responsibility delegated by the partners. • An independent risk management function is responsible for second-level risk management. • Public/private data are managed in accordance with defined policies and compliance oversight. • Strong proprietary technology, notably its look-through CLO analysis system, Toy Box. Operations and Technology • Loan settlement is conducted by the dedicated CLO operations staff and U.S. Bank, Bank of New York and Virtus. • CLO administration is conducted in-house by three dedicated staff members. • Solvas is used for operational and compliance purposes for the CLO and leveraged loan platforms. Detailed business continuity and disaster recovery plans are in place and tested, with offsite server storage and backup. • Toy Box is a proprietary CLO administration tool that is integrated to Intex for CLO analysis. • Business continuity plans and cybersecurity measures are appropriate and tested.
Chenavari Investment Managers March 17, 2020135 Structured Finance CLO
Churchill Asset Management LLC Churchill Asset Management LLC (Churchill) is an asset management firm focused on providing customized financing solutions to private equity firms and their portfolio companies across the capital structure. Of the firm’s $22 billion in committed capital, $7.5 billion is committed to senior lending activities through several CLOs, commingled funds and separately managed accounts. While Churchill's team and predecessor entities commenced operations in 2006, the firm was re-launched in 2015 as a majority-owned affiliate of Nuveen, the asset manager of TIAA, a $1 trillion financial services organization.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 23 CLO Issuance Since 2007ᵃ Total Assets Under Management (AUM) $17.7 Bil. Leveraged Loan AUM $5.6 Bil.
Active CLOs Under Management 3ᵇ Total CLOs Managed 4 ªChurchill Financial LLC, Churchill Asset Management LLC's predecessor, was founded in 2006 and managed a $1.25 billion CLO (Churchill Financial Cayman Limited) through 2014. ᵇChurchill Asset Management LLC is currently actively working on two additional CLO transactions. Source: Churchill Asset Management LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) See note PMs Average Experience See note Loan Analysts with: >20 Years’ Credit Experience 3 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience 11 Analyst Team Average Experience 11 Years Loan Team Credits Per Analyst 10–20 Approximate No. of Invested Credits 50–100 Distressed Credit Specialists / Avg. Experience See note Note: Churchill’s CLOs do not have separate and distinct portfolio managers. Churchill’s senior lending strategy has a centralized investment committee, from which unanimous approval is required in order for the firm to make an investment. Once a loan is approved, Churchill allocates the transaction ratably across the various senior loan vehicles that it manages, based on the annual investment capacity of each underlying vehicle, while targeting maximum diversity within each underlying portfolio. Once a loan is allocated to a CLO, David Heilbrunn (senior managing director with 25+ years of CLO and related experience) and the firm’s loan operations staff also provide an additional level of monitoring for each distinct vehicle, constantly analyzing each portfolio's compliance with collateral quality tests, coverage tests, eligibility criteria, etc. Various members of Churchill’s executive team (including its CEO, chief risk officer and head of portfolio management) have experience in workouts and guiding workout strategy. Additionally, Shai Vichness, CFO, who sits on Churchill's senior loan investment committee, was a leader of TIAA's distressed investment team throughout the credit crisis. However, given the health of Churchill's portfolios, management does not believe employing in-house distressed-focused specialists is necessary at this time. During the global financial crisis, Churchill had a dedicated workout group and will ensure one is in place in the future if needed. Source: Churchill Asset Management LLC.
Churchill Asset Management LLC February 18, 2020136 tr ct red inance CLO
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139 Structured Finance CLO
CIFC Asset Management LLC CIFC Asset Management LLC (CIFC) is a subsidiary of CIFC LLC that was founded in 2005. CIFC is a global corporate and structured credit specialist. As of Dec. 31, 2019, CIFC had $26.0 billion of assets under management (AUM) across CLOs, corporate credit and structured credit funds, and SMAs. CIFC is an investment adviser registered with the SEC.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 101 CLO Issuance Since 2006 Total Assets Under Management (AUM) $26 Bil. Leveraged Loan AUM $26 Bil. Active CLOs Under Management 33 Total CLOs Managed 69 Source: CIFC Asset Management LLC.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 2 1 PMs Average Experience 23 Years 22 Years Loan Analysts with: >20 Years’ Credit Experience 1 — 10–20 Years’ Credit Experience 6 1 <10 Years’ Credit Experience 13 3 Analyst Team Average Experience 9 Years 6.5 Years Loan Team Credits Per Analyst 30–40 — Approximate No. of Invested Credits 450–500 — Distressed Credit Specialists / Avg. Experience 3 / 15 Years — Source: CIFC Asset Management LLC.
U.S. Loan AUM Development ($ Bil.) 25.0 20.0 15.0 10.0 5.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: CIFC Asset Management LLC.
CIFC Asset Management LLC March 17, 2020140 tr ct red inance
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144 Structured Finance CLO
Columbia Management Investment Advisers, LLC Columbia Management Investment Advisers, LLC (Columbia) is a subsidiary of Ameriprise Financial, Inc. (Ameriprise). Columbia’s core CLO team, the leveraged debt group, was formed in 2000 and is based in Los Angeles. As of Dec. 31, 2019, the U.S. Bank Loan Team managed $4.2 billion through a combination of retail and institutional products.
Firm Profile Region(s) of CLO Operations U.S. Location El Segundo, CA CLO Related Employees 20 CLO Issuance Since 2000 Total Assets Under Management (AUM) $4.2 Bil. Leveraged Loan AUM $4.2 Bil. Active CLOs Under Management 4 Total CLOs Managed 27 Source: Columbia Management Investment Advisers, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 25 Years Loan Analysts with: >20 Years’ Credit Experience 7 10–20 Years’ Credit Experience — <10 Years’ Credit Experience 2 Analyst Team Average Experience 20 Years Loan Team Credits Per Analyst 40–45 Approximate No. of Invested Credits 350–375 Distressed Credit Specialists / Avg. Experience — Source: Columbia Management Investment Advisers, LLC.
U.S. Loan AUM Development ($ Bil.) 10.0 9.0 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Columbia Management Investment Advisers, LLC.
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148 Structured Finance CLO
Commerzbank Debt Fund Management Commerzbank Debt Fund Management (DFM) is a functionally independent and segregated division of Commerzbank AG. Its DFM activities commenced in 2007, with loan funds managed since 2009. Global assets under management (AUM) totaled €1.3 billion at Dec. 31, 2019.
Firm Profile Region(s) of CLO Operations Europe Location London CLO Related Employees 7 CLO Issuance Since 2015 Total Assets Under Management (AUM) €1.3 Bil. Leveraged Loan AUM €1.3 Bil. Active CLOs Under Management 3 Total CLOs Managed 4 Source: Commerzbank Debt Fund Management. CLO Team Structure Region(s) Europe Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 26 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 2 Analyst Team Average Experience 13 Years Loan Team Credits Per Analyst 15–20 Approximate No. of Invested Credits 130–150 Distressed Credit Specialists / Avg. Experience — Source: Commerzbank Debt Fund Management.
European Loan AUM Development (€ Bil.) 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Commerzbank Debt Fund Management.
Commerzbank Debt Fund Management March 23, 2020149 tr ct red inance
ta rea d n an rea d n ( ) ( ) sset pe sset pe Broadl ndicated oans 9 s 0 ig ield Bonds 3 Managed Accounts C ient pe t er 2 nsurance 20 e i n Ban U. . ension etirement 10 uro e 90
Managed Accounts t er 2 t er 20 ource ommer ban ebt und Management. ource ommer ban ebt und Management.
E r pean Credit C ittee Experience Years a e it e e ir nd str Gu Beeston Managing irector ead of ebt und Management 12 2 ein ard aas Managing irector ead of ndicated oans and e eraged inance 2 2 ris Allflatt irector is fficer 12 30 ource ommer ban ebt und Management.
cti e E r pean C s nder ana e ent atest End rt i a ance e i n (€ Mil.) a e inta e eset Ca ri ina C rrent tat s Bos orus 201 — — 3 3 Bos orus 201 — — 13 13 Bos orus 2019 — 21 3 2 3 2 – ein esting. ource ommer ban ebt und Management.
ommer ban ebt und Management Marc 23 2020150 i
i i — M i i portfolio construction. DFM uses the bank’s internal rating model to generate ratings on on issuer financials and full portfolio review and annual updates of the bank’s ratin l The bank’s leveraged finance risk officer is a permanent member of the credit committee, originated loans make up a minimal portion of DFM’s AUM. i l DFM benefits from the substantial IT resources of the bank and uses the bank’s proprietary
151 Structured Finance CLO
Credit Suisse Asset Management Credit Suisse Asset Management, LLC and Credit Suisse Asset Management Limited (together, CSAM) are wholly owned subsidiaries of Credit Suisse Group AG (Credit Suisse). CSAM’s credit investments group has been a large manager of bank loans since its inception in 1997; as of Sept. 30, 2019, it had $59.7 billion in global assets under management (AUM), most of it invested in syndicated loans, with a smaller proportion in high-yield bonds and structured products.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K CLO Related Employees 36 13 CLO Issuance Since 1998 2005 Total Assets Under Management (AUM) $48.1 Bil.ª $11.5 Bil.ª Leveraged Loan AUM $44.3 Bil.ª $10.0 Bil.ª Active CLOs Under Management 33 10 Total CLOs Managed 60 14 ªAs of Sept. 30, 2019. Source: Credit Suisse Asset Management. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 4 2 PMs Average Experience 25 Years 23 Years Loan Analysts with: >20 Years’ Credit Experience 3 1 10–20 Years’ Credit Experience 5 3 <10 Years’ Credit Experience 6 3 Analyst Team Average Experience 12 Years 10 Years Loan Team Credits Per Analyst 50–60 50–60 Approximate No. of Invested Credits 450–500 150–200 Distressed Credit Specialists / Avg. Experience 2 / 10 Yearsª 2 / 10 Yearsª ªDistressed/restructuring team sits in New York and is a shared resource for U.S. and Europe. Source: Credit Suisse Asset Management.
U.S. Loan AUM Development ($ Bil.) 50 40 30 20 10 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019ᵃ ᵃAs of Sept. 30, 2019. Source: Credit Suisse Asset Management.
Credit Suisse Asset Management February 18, 2020152 tr ct red inance C
E r pean an e e p ent ( E r pean il.) an e e p ent ( . il.) . . . . . . ᵃ As of Sept. . ᵃ aSource As of Sept. Credit . Suisse Asset Management Source Credit Suisse Asset Management.
ta rea d n an rea d n ( ) ( ) sset pe sset pe roadl S ndicated oans C s igh ield onds Managed Accounts hird art C s Managed unds C ient pe e i n nsurance .S. ank urope ension etirement A M as of Sept. . ther Source Credit Suisse Asset Management. As of Sept. . Source Credit Suisse Asset Management.
a Credit C ittee Experience Years a e it e e ir nd str ohn . oppa Managing irector lobal ead and Chief nvestment fficer Andre . Marshaka Managing irector ead of urope homas . lanner a Managing irector Senior ortfolio Manager ouis . arano Managing irector .S. ortfolio Manager ing Chan Managing irector ortfolio Manager .S. igh ield avid Mechlin Managing irector .S. ortfolio Manager akob von alckreuth Managing irector uropean ortfolio Manager Source Credit Suisse Asset Management.
Credit Suisse Asset Management ebruar 153 tr ct red inance C
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding S o Madison ark unding S o Madison ark unding — — S o Madison ark unding S o Madison ark unding — — S o Madison ark unding — — S o Madison ark unding — — S o Madison ark unding — — S o Madison ark unding — S o Madison ark unding — — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o Madison ark unding — S o – einvesting. – ost reinvestment. – amp up. Source Credit Suisse Asset Management.
Credit Suisse Asset Management ebruar 154 tr ct red inance
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156 Structured Finance CLO
Crescent Capital Group LP Crescent Capital Group LP (Crescent) was founded in January 2011 as a substantially employee-owned asset management firm. It had originally been formed as Crescent Capital Corporation in 1991, subsequently becoming the leveraged finance arm of The TCW Group, Inc. (TCW) in 1995. Following the most recent reorganization, Crescent has continued to manage certain assets on behalf of TCW and its subsidiaries. As of Dec. 31, 2019, Crescent had approximately $28 billion in assets under management (AUM).
Firm Profile Region(s) of CLO Operations U.S. Location Los Angeles, CA New York, NY CLO Related Employees 27a CLO Issuance Since 1993 Total Assets Under Management (AUM) $28 Bil Leveraged Loan AUM $5.5 Bil. Active CLOs Under Management 11 Total CLOs Managed 18 aCLO related employees includes portfolio managers, CLO structuring specialists, research analysts, portfolio analysts, accounting and investor relations professionals who are involved in Crescent’s CLO activities. Source: Crescent Capital Group LP. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 4 PMs Average Experience 22 Yearsa Loan Analysts with: >20 Years’ Credit Experience 5 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 3 Analyst Team Average Experience 16 Years Loan Team Credits Per Analyst 35–45 Approximate No. of Invested Credits 200–250 Distressed Credit Specialists / Avg. Experience — aCLO related employees includes portfolio managers, CLO structuring specialists, research analysts, portfolio analysts, accounting and investor relations professionals who are involved in Crescent’s CLO activities. Source: Crescent Capital Group LP.
Crescent Capital Group LP March 2, 2020157 tr ct red inance CLO
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ource Crescent Capital roup L .
Credit C ittee Crescent does not utili e a for al invest ent co ittee. iwee ly, for al credit research eetings are attended y the credit analysts and portfolio anagers. ortfolio anagers have ulti ate decision a ing authority in the invest ent process. hile they colla orate with Crescent’s research analysts and traders, the portfolio managers are responsible for a ing security selection and portfolio construction decisions, anaging ris and adhering to client invest ent guidelines. ource Crescent Capital roup L .
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant L O LO L o L O LO L o L O LO L o L O LO — L o L O LO — L o L O LO — L o L O LO — L o L O LO — L o L O LO — L o L O LO — L o L O LO — L o ost reinvest ent. einvesting. ote L was called and rolled into L and L was called and rolled into L . ource Crescent Capital roup L .
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Crescent Capital ro p arch , 159 C
— ince becoming an independent company sp n o t from C in , Crescent has demonstrated stable growth that incl des C and other credit ehicles ed by an e perienced team of in estment professionals, who o ersee portfolio management and credit nderwriting, the firm contin es to grow their C platform and promote from within the firm he co fo nders are still acti e in the firm and pro ide contin ity and senior leadership he firm speciali es in below in estment grade credit and is organi ed across se eral main b siness strategies e anine, irect ending, ropean pecialty ending, Capital ar ets, Crescent C, nc and se eral m ltistrategy prod cts Senior management has on average more than 20 years’ experience in leverage credit in esting taff consists of o er in estment professionals and an operations team of appro imately across , in estor relations, finance and acco nting, legal ris and compliance and Crescent manages billion in ban loans thro gh C s, separate acco nts and commingled in estments ome employees ha e e ity in the firm, which has led to strong retention rates n estment strategy in ol es a foc s on comprehensi e, bottom p credit research among higher credit quality names; however, investment style is built on Crescent’s ability to ma e ic allocation changes, by rating or ind stry, to ta e ad antage of shifts in the mar et i ersification is a ey in estment philosophy, and generally obligors are ept below of the portfolio f ll re iew of all ratings and companies is performed arterly, incl ding sector trends and company financial performance he f ll portfolio is re nderwritten and positions are re si ed he firm incorporates en ironmental, social and go ernance or other impact in esting considerations into their in estment analysis n estments are monitored thro gh a formal re iew process that ens res internally assigned credit ratings are acc rate and reflect iss er and sector changes ell established internal g idelines on iss er, portfolio and mar et ris s facilitate ris management by the credit and portfolio management teams C portfolios are compared to peers by certain mar et data by intage, and ey C metrics and trends are monitored calable middle and bac office that facilitates growth Crescent tili es lac o ntain for monitoring loan positions and irt s to perform tr stee reconciliations n a daily basis, all trading acti ity is monitored in ho se to C indent re re irements, all cash is reconciled, and C reporting is sent to portfolio managers and the trading team ll loan settlement is cond cted in ho se with faster settlement times than ind stry a erages fficient and rob st order management system and reporting capabilities he C administration team tili es C ite and proprietary tools to perform C indent re testing Crescent has ind stry standard C o ersight and testing proced res and reporting str ct re siness contin ation and cybersec rity meas res are tested and ha e pro ed s fficient
Crescent Capital ro p arch , 160 Structured Finance CLO
CVC Credit Partners, LP CVC Credit Partners, LP is the credit management business of CVC Capital Partners; it includes both U.S. and European subsidiaries (together, CVC Credit Partners). CVC Credit Partners invests across the capital structure, including in senior secured, senior unsecured and second lien senior secured loans. As of Dec. 31, 2019, CVC Credit Partners had $25.9 billion in global assets under management (AUM).
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employeesa 19 14 CLO Issuance Since 2005 2007 Total Assets Under Management (AUM) $12.2 Bil. $13.7 Bil. Leveraged Loan AUM $9.9 Bil. $7.5 Bil. Active CLOs Under Management 18 13 Total CLOs Managed 40 16 aInvestment professionals only. Source: CVC Credit Partners, LP.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM)a 5 4 PMs Average Experience 19 Years 21 Years Loan Analysts with: >20 Years’ Credit Experience 1 1 10–20 Years’ Credit Experience 7 2 <10 Years’ Credit Experience 3 7 Analyst Team Average Experience 13 Years 10 Years Loan Team Credits Per Analyst 40–45 20–25 Approximate No. of Invested Credits 350–400 100–150 Distressed Credit Specialists / Avg. Experience — — aIncludes senior portfolio managers, portfolio managers and assistant portfolio managers. Assistant portfolio Managers also have limited credit research responsibilities. Source: CVC Credit Partners, LP.
U.S. Loan AUM Development
($ Bil.) 12.0 10.0 8.0 6.0 4.0 2.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: CVC Credit Partners, LP.
CVC Credit Partners, LP March 17, 2020161 tr ct red inance
E r pean an e e p ent
ta rea d n an rea d n sset pe sset pe C ient pe e i n
Credit C ittee Experience Years a e it e e ir nd str Kevin O’Meara
162 tr ct red inance O
E r pean Credit C ittee Experience Years a e it e e ir nd str re en er re er ar ner a ea er r in re i eni r r i Mana er n re avie ar ner ea r e eni r r i Mana er e err ar ner ea riva e e eni r r i Mana er i a e arnea eni r Mana in ire r r i Mana er ie er ae en Mana in ire r r i Mana er e a er Mana in ire r i an r i Mana er i ne a i Mana in ire r i an r i Mana er r e re i ar ner
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant i O i O i O i O i O i O i O i O i O i O i O i O — e i O — e i O — e i O — e i O — e i O — e i O — e – einve in – reinve en r e re i ar ner
re i ar ner Mar 163 tr ct red inance
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165 Structured Finance CLO
Deerpath Capital Management, LP Deerpath Capital Management, LP (Deerpath) was formed in 2007 by its three founding principals, Gary Wendt, James Kirby and John Fitzgibbons. Deerpath focuses on first lien senior secured loans of lower middle market borrowers, and the firm's primary mandate is the continued rollout and management of private funds, with CLOs added as an additional source of debt capital. As of Dec. 31, 2019, Deerpath had approximately $1.7 billion in assets under management (AUM).
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 32 CLO Issuance Since 2018 Total Assets Under Management (AUM) $1.7 Bil. Leveraged Loan AUM $1.7 Bil. Active CLOs Under Management 1 Total CLOs Managed 1 Source: Deerpath Capital Management, LP.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 12 PMs Average Experience 22 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience — <10 Years’ Credit Experience 12 Analyst Team Average Experience 5 Years Loan Team Credits Per Analyst 5-10 Approximate No. of Invested Credits 400-450 Distressed Credit Specialists / Avg. Experience 3 / 22 Years Source: Deerpath Capital Management, LP.
U.S. Loan AUM Development
($ Bil.) 1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Deerpath Capital Management, LP.
Deerpath Capital Management LP March 26, 2020166 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 5 CLOs 18 Middle Market Loans 93 Managed Funds 82 Equity 2 Region Client Type U.S. 100 Insurance 12 Source: Deerpath Capital Management, LP. Bank 1 Pension/Retirement 29 Endowment 12 Family Office / High Net Worth 16 Sovereign Wealth Funds 2 Source: Deerpath Capital Management, LP.
U.S. Credit Committee Experience (Years) Name Title Firm Industry Gary Wendt Principal, Chairman 12 54 James Kirby Principal, President 12 30 John Fitzgibbons Principal 12 27 Tas Hasan Partner 12 18 Rotating Member Managing Director 15 Source: Deerpath Capital Management, LP.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Deerpath Capital CLO 2018-1 2018 — 1Q22 310 310 R MML Yes R − Reinvesting. Source: Deerpath Capital Management, LP.
Organizational Structure
Deerpath Capital Management, LP − Founded in 2007
Deerpath Capital Middle Market Investment Platform − 400 + investments − Approximately $3.0 Bil. of invested capital − $1.7 Bil. in AUM
Multiple Direct Lending Funds/Vehicles focused on Lower Middle Market
Source: Deerpath Capital Management ,LP.
Deerpath Capital Management LP March 26, 2020167 Structured Finance CLO
The Fitch View — Deerpath Capital Management, LP Key Considerations • Small sized but experienced middle market loan manager focused on first lien senior secured loans of lower middle market borrowers. • Adequate staffing depth and investment experience. • Primary mandate is continued rollout and management of private funds, with CLOs as an additional source of debt capital. Company • Deerpath was formed in 2007 and remains controlled by its three founding principals, Gary Wendt, James Kirby and John Fitzgibbons. • Staffing consists of 42 employees across five U.S. offices: 19 investment professionals and 23 finance/marketing/administration professionals. • Deerpath had AUM of approximately $1.7 billion as of Dec. 31, 2019. Overall, the firm has invested over $3 billion across 400+ investments and 175 unique borrowers since 2008. Assets are managed primarily through four private fund vehicles. • Deerpath Partners LLC was formed as the risk retention provider and will retain at least 5% of fair market value of equity in Deerpath CLOs. Investments • Deerpath has an exclusive middle market focus on first lien loans ($5 million to $15 million of EBITDA). • Deerpath has a formal investment committee where majority approval is required, including unanimous approval by the three founders. This committee meets twice per week. • Investment team includes one senior workout specialist; however, senior partners have additional workout experience. • Overall, Deerpath has a disciplined credit culture that is focused on healthy, private equity backed lower middle market companies. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Deerpath currently conducts a full portfolio review every quarter. Additional investment performance monitoring through company visits as well as board seat and/or observation rights at least quarterly. • Deerpath maintains a regular dialogue with borrowers and benefits from having a board seat that allows it to monitor any deteriorating financial conditions. • Disciplined committee based credit process and watchlist names are reviewed frequently, including every quarter. Operations and Technology • Deerpath has an 18-member operations team that includes a four-person team supporting the investment team with monitoring and valuation of underlying borrowers. • Utilizes established industry tools like SalesForce, Black Mountain and CDO Suite for CLO compliance/reporting. • All cash and loan balances are tracked and reconciled to trustee reports and Deerpath’s internal systems. • Overall operations platform appears scalable and staffed by experienced professionals. • Business continuity plans and cybersecurity measures are appropriate and tested.
Deerpath Capital Management LP March 26, 2020168 Structured Finance CLO
DFG Investment Advisers, Inc. DFG Investment Advisers, Inc. (DFG) is an SEC-registered investment adviser specializing in alternative credit products. DFG is wholly owned by Vibrant Capital Partners, LLC (VCP), which in turn is majority owned by DFG officers and employees. Alberta Investment Management Corporation (AIMCo) acquired a minority stake in VCP in 2015. As of Dec. 31, 2019, DFG managed $6.6 billion in corporate and structured credit assets via commingled funds, separate accounts and CLO vehicles.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 13 CLO Issuance Since 2012 Total Assets Under Management (AUM) $6.6 Bil. Leveraged Loan AUM $5.1 Bil. Active CLOs Under Management 10 Total CLOs Managed 12 Source: DFG Investment Advisers, Inc. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 17 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience 5 Analyst Team Average Experience 11 Years Loan Team Credits Per Analyst 30–40 Approximate No. of Invested Credits 300–320 Distressed Credit Specialists / Avg. Experience 2 / 14 Years Source: DFG Investment Advisers, Inc.
U.S. Loan AUM Development ($ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: DFG Investment Advisers, Inc.
DFG Investment Advisers, Inc. February 21, 2020169 tr ct red inance
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Credit C ittee Experience Years a e it e e ir nd str
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172 Structured Finance CLO
DoubleLine Capital LP DoubleLine Capital LP (DoubleLine) was founded by Jeffrey Gundlach in December 2009. The firm is approximately 79% employee-owned, and roughly 20% is owned by one or more affiliates of Oaktree Capital Management, Inc. (Oaktree). As of Dec. 31, 2019, DoubleLine had $148.9 billion in assets under management (AUM), which includes high- yield bonds, leveraged loans and investment-grade corporate bonds.
Firm Profile Region(s) of CLO Operations U.S. Location Los Angeles, CA CLO Related Employees 25 CLO Issuance Since 2015 Total Assets Under Management (AUM) $148.9 Bil.ª Leveraged Loan AUM $4.2 Bil. Active CLOs Under Management 5 Total CLOs Managed 5 ªRepresents DoubleLine's total AUM shown at the master level as of Dec. 31, 2019. Source: DoubleLine Capital LP.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 23 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 11 <10 Years’ Credit Experience 3 Analyst Team Average Experience 12 Years Loan Team Credits Per Analyst 30-40 Approximate No. of Invested Credits 325-350 Distressed Credit Specialists / Avg. Experience 1 / 14 Years Source: DoubleLine Capital LP.
U.S. Loan AUM Development ($ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2013 2014 2015 2016 2017 2018 2019
Source: DoubleLine Capital LP.
DoubleLine Capital LP March 6, 2020173 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) a Asset Typeᵃ Asset Type Investment Grade Corporates 48 CLOs 47 b Broadly Syndicated Loans 29 Managed Accounts 16 High Yield Bonds 23 Managed Fundsc 37 b d Client Type Region Insurance 1 U.S. 97 Bank 1 Othere 3 c Pension/Retirement 6 ªRepresents DoubleLine's Bank Loan assets under d Endowment 1 management (AUM) shown at the sublevel by vehicle e Managed Accounts 24 type as of Dec. 31, 2019. ᵇIncludes separate account c Otherf 68 portfolio sleeves. Includes commingled account portfolio sleeves. dRepresents DoubleLine's Bank ªRepresents the DoubleLine Global Developed Credit Loan AUM shown at the sublevel by client domicile as Group's total assets under management (AUM) shown of Dec. 31, 2019. eRepresents Bermuda, Canada, b at the sublevel as of Dec. 31, 2019. Represents Cayman Islands, and Saudi Arabia. DoubleLine's total AUM shown at the master level by Source: DoubleLine Capital LP. client type as of Dec. 31, 2019. cIncludes Corporate and Public pension plan clients. dIncludes Foundation clients. eIncludes other separate account clients, i.e. Corporate, Family Office, Foreign Government Entity, High Net Worth, Sovereign Wealth Fund, Taft/Hartley, and sub- advisory relationship clients. fIncludes commingled vehicles, i.e. CLO, Closed End Fund, Collective Investment Trust, Mutual Fund, Private Fund, and UCITS. Source: DoubleLine Capital LP.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Robert Cohena Director, Global Developed Credit Portfolio Manager 7 23 Philip Kenney Director, Corporate Research Portfolio Manager 6 14 Michael Casino Portfolio Manager Portfolio Manager 5 13 David Mew Portfolio Manager Portfolio Manager 1 15 Sanjay Jagtiani Credit Analyst Analyst 5 14 ªNamed as key person on at least one of the firm's CLOs. Source: DoubleLine Capital LP.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Parallel 2015-1 2015 1Q18 3Q18 400 398 PR BSL No Parallel 2017-1 2017 1Q20 1Q21 400 401 R BSL No Parallel 2018-1 2018 — 2Q20 400 400 R BSL No Parallel 2018-2 2018 — 4Q20 400 400 R BSL No Parallel 2019-1 2019 — 3Q21 400 401 R BSL No PR – Post-reinvestment. R – Reinvesting. Source: DoubleLine Capital LP.
DoubleLine Capital LP March 6, 2020174 Structured Finance CLO
The Fitch View — DoubleLine Capital LP Key Considerations • Well-capitalized multistrategy asset management firm with nearly $150 billion in AUM. • Experienced portfolio management team. • Strong internal control environment and culture, evidenced by oversight committees and a high degree of operational diligence. Company • The firm was founded by Jeffrey Gundlach, CEO and CIO in December 2009. • DoubleLine is approximately 79% employee-owned, and roughly 20% is owned by one or more affiliates of Oaktree. • Team stability is high, as portfolio managers (PMs) have worked together for an average of 15 years. • Corporate credit AUM includes high-yield bonds, leveraged loans, and investment-grade corporate bonds. Investments • DoubleLine aims to add value opportunistically and benefits from a strict sell discipline and frequent relative-value analysis. • Credit analysts cover 30–40 names on average and are responsible for monitoring their credits and related secondary trading activity. • The CLO team holds a daily meeting on the trading desk with all PMs, traders and analysts to discuss macroeconomic trends, market technical factors, trading ideas and the new issue calendar. • DoubleLine has a five-member CLO credit committee. • The firm may incorporate environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • DoubleLine fully documents policies and procedures regarding client guidelines and restrictions, and these rules are programmed into its trading systems. Additionally, the CLO team has two dedicated fixed-income compliance analysts who monitor CLO trading activity and support CLO compliance. • DoubleLine monitors the trade allocation process through its trading and allocation committee, which reviews periodic reports and other records to assess the overall impact of DoubleLine’s trading strategies on its various client accounts. • Risk management reports are generated daily and are reviewed by account managers, traders, research analysts and risk management personnel for accuracy and relevancy. Operations and Technology • DoubleLine’s CLO platform has a team of portfolio analytics and compliance analysts responsible for all loan and CLO administration that can leverage resources from the broader DoubleLine platform for operational support. • DoubleLine has engaged Virtus Partners LLC (Virtus) for CLO administration and compliance functions. All hypothetical trade scenario testing, collateral tracking, monthly compliance reporting and CLO accounting are run on the Virtus platform. • Hypothetical portfolio modeling, ratio tests and exposures are run daily through the Virtus platform. • Firmwide proprietary portfolio management system that integrates back-office position management system from CLO trustee with Bloomberg’s security analytics. The system enables real-time portfolio and position monitoring and customizable reporting. • DoubleLine uses Bloomberg’s Asset and Investment Manager as its trade order management system. All trades are submitted through an automated trade compliance system. • Business continuity plans are tested throughout the year, and staff have the ability to work remotely via VPN secured by RSA’s two-factor authentication.
DoubleLine Capital LP March 6, 2020175 Structured Finance CLO
Elmwood Asset Management LLC Elmwood Asset Management LLC (Elmwood) is majority owned by the funds of Elliott Management Corporation. The firm was incorporated in May 2018 and commenced operations in July 2018 to manage performing credit, primarily CLOs. The firm relies on the leadership and experience of veteran CLO portfolio manager Adrian Marshall. As of Dec. 31, 2019, Elmwood was managing three CLOs, all of which are in reinvestment.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 12 CLO Issuance Since 2018 Total Assets Under Management (AUM) $2.3 Bil. Leveraged Loan AUM $2.3 Bil. Active CLOs Under Management 3 Total CLOs Managed 3 Source: Elmwood Asset Management LLC. CLO Team Structure
Region(s) Number of CLO Portfolio Managers (PM) U.S. PMs Average Experience 1 Loan Analysts with: 21 Years >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 7 <10 Years’ Credit Experience 1 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 30–40 Approximate No. of Invested Credits 275 Distressed Credit Specialists / Avg. Experience — Source: Elmwood Asset Management LLC.
U.S. Loan AUM Development ($ Bil.) 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 Source: Elmwood Asset Management LLC.
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178 CLO
Fair Oaks Capital Limited (Fair Oaks) is an independent asset management firm headquartered in London with offices in London and New York City. The firm was founded in 2013 as an alternative credit manager with deep CLO and corporate credit expertise. As of Dec. 31, 2019, Fair Oaks manages $2.6 billion of assets in CLO investment-grade, mezzanine and equity tranches and European loans and high yield bonds. Fair Oaks serves as the collateral manager for its European CLO platform.
Europe London, United Kingdom 9 2018 $2.6 Bil. €0.48 Bil. 1 1 Source: Fair Oaks Capital Limited. Europe 1 20 Years >20 Years’ Credit Experience — –20 Years’ Credit Experience 1 <10 Years’ Credit Experience 4 6 Years 20–30 100–150 — Source: Fair Oaks Capital Limited.
(€ Bil.) 0.6
0.4
0.2
0.0 2018 2019
Source: Fair Oaks Capital Limited.
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181 Structured Finance CLO
First Eagle Private Credit, LLC First Eagle Private Credit, LLC (FEPC), formerly known as NewStar Financial, Inc. (NewStar), is a credit asset manager focused on middle-market (MM) corporate credit and liquid credit strategies (broadly syndicated loans [BSL]). Founded in 2004, it provides a range of senior-secured debt financing options to fund working capital, growth strategies and acquisitions for midsized businesses. As of Dec. 31, 2019, FEPC had approximately $6.2 billion in assets under management (AUM) and advisement. In December 2017, NewStar was purchased by First Eagle Investment Management (First Eagle) and subsequently renamed in December 2018. First Eagle is a privately owned investment firm with approximately $101 billion in AUM.
On Dec. 8, 2019, First Eagle Investment Management agreed to acquire alternative credit manager THL Credit Advisors LLC (THL Credit), boosting FEIM’s AUM by an additional $17 billion to $118 billion ($23 billion alternative credit platform) at transaction close on Feb. 3, 2020. The combined platform of FEPC and THL Credit will be known as First Eagle Alternative Credit (FEAC) moving forward.
Firm Profile Region(s) of CLO Operations U.S. Location Boston, MA CLO Related Employees 37 CLO Issuance Since 2005 Total Assets Under Management (AUM) $6.2 Bil. Leveraged Loan AUM $6.2 Bil. Active CLOs Under Management 11 Total CLOs Managed 11 Source: First Eagle Private Credit, LLC. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 7 PMs Average Experience 23 Years Loan Analysts with: >20 Years’ Credit Experience 5 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience — Analyst Team Average Experience Not Reported Loan Team Credits Per Analyst 10–20 Approximate No. of Invested Credits 150–200 Distressed Credit Specialists / Avg. Experience — Source: First Eagle Private Credit, LLC.
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an e e p ent ( il ) o r e First Eagle rivate Credit, LLC
ta rea d n an rea d n ( ) ( ) sset pe sset pe roadly yndi ated Loans CL s Middle Mar et Loans Managed F nds o r e First Eagle rivate Credit, LLC e i n U t er o r e First Eagle rivate Credit, LLC
Credit C ittee Experience Years a e it e ir nd str Tim Con ay Head o rivate Credit an M Cready C ie Investment i er Scott D’Orsi Head o Li id Credit trategies Mi e Eisenstein Treas rer eal M ort olio Manager — — o r e First Eagle rivate Credit, LLC
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e itc ie — irst Ea e ri ate Credit C e C nsiderati ns First Eagle’s acquisition of NewStar, along with a continuing collaborative relationship w C pan In October 2015, NewStar acquired Feingold O’Keeffe Capital (FOC), a Boston n est ents FEPC’s firmwide investment objective is focused on target markets with defensive industry CreditWizard, FEPC’s proprietary rating system, used for its MM platform, assigns ratings on – C ntr s FEPC’s CLO compliance grou perati ns and ec n
185 Structured Finance CLO
Fort Washington Investment Advisors Fort Washington Investment Advisors (FWIA) is a new CLO issuer sponsored by parent Western & Southern Financial Group (WSFG). Based in Cincinnati, OH, Fort Washington was founded in 1990 as WSFG’s primary investment management subsidiary. FWIA brought WSFG’s loan portfolio in-house 2016 and has since expanded the team. FWIA
managed $63.1 billion of assets as of Dec. 31, 2019 (see note).
Firm Profile Region(s) of CLO Operations U.S. Location Cincinnati, OH CLO Related Employees 10 CLO Issuance Since 2019 Total Assets Under Management (AUM) $63.1 Bil.ᵃ Leveraged Loan AUM $0.5 Bil. Active CLOs Under Management 1 Total CLOs Managed 1 ᵃIncludes assets under management by Fort Washington Investment Advisors, Inc. of $59.2 billion and $3.9 billion in commitments managed by Fort Washington Capital Partners Group. Source: Fort Washington Investment Advisors.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 Years PMs Average Experience 20 Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 5 <10 Years’ Credit Experience 2 Analyst Team Average Experience 16 Years Loan Team Credits Per Analyst 30–40 Approximate No. of Invested Credits 380 Source: Fort Washington Investment Advisors.
U.S. Loan AUM Development ($ Bil.) 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0.0 2016 2017 2018 2019 Source: Fort Washington Investment Advisors.
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ta rea d n an rea d n sset pe sset pe Investment Grade orporates s uities 1 anaged A ounts igh ield onds e i n Stru tured redit non s .S. 100 hird arty s 1 Sour e Fort Washington Investment Advisors. roadly Syndi ated oans 1 iddle ar et oans 1 ther 1 C ient pe Insuran e ension etirement 10 ndowment Family ffi e igh et Worth 1 ther 1 Sour e Fort Washington Investment Advisors.
Credit C ittee Experience Years a e it e e ir nd str Garri auer i e resident ortfolio anager ernard asey i e resident ortfolio anager 1 reen urphy Asst. i e resident Assistant ortfolio anager 11 Sour e Fort Washington Investment Advisors.
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant Fort Washington 019 1 019 – 1 0 0 S o – einvesting. Sour e Fort Washington Investment Advisors.
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e itc ie — rt as in t n n est ent d is rs e C nsiderati ns – C pan Based in Cincinnati, OH, FWIA was founded in 1990 as WSFG’s primary investment management subsidiary. FWIA brought WSFG’s loan n est ents – C ntr s he exam resulted in a “No Further Action Required” letter from the SEC. perati ns and ec n FWIA’s module includes hypothetical trading analysis and integrated Bloomberg’s Asset and Investment Management
189 Structured Finance CLO
Fortress Investment Group LLC Fortress Investment Group LLC (together with its affiliates, Fortress), founded in 1998, is a highly diversified global investment management firm. Fortress specializes in a range of investment strategies, including private equity and credit, on behalf of over 1,700 institutional and private clients worldwide. As of Dec. 31, 2019, it had $43.5 billion in global assets under management (AUM). Fortress was acquired by Softbank Group Corporation (SoftBank) on Dec. 27, 2017, and operates as an independent business within SoftBank under the continuing leadership of Pete Briger, Wes Edens and Randy Nardone.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 27 CLO Issuance Since 2004 Total Assets Under Management (AUM) $43.5 Bil.a Leveraged Loan AUM $10.3 Bil.b Active CLOs Under Management 16 Total CLOs Managed 43 aFee paying AUM plus uncalled and recallable capital as of Dec. 31, 2019. Fee-paying AUM is defined as: (i) capital commitments or invested capital (or NAV, if lower) for the private equity funds, credit PE funds and related managed accounts, which in connection with private equity funds raised after March 2006 includes the mark-to-market value on public securities held within the fund, (ii) contributed capital or book equity for our publicly traded permanent capital vehicles, (iii) the NAV for hedge funds and the NAV or fair value for related managed accounts and (iv) AUM related to co-managed funds. As of Dec. 31, 2019, AUM includes $0.4 billion of AUM related to co-managed funds. bCLOs managed by the Fortress Credit Funds team. Source: Fortress Investment Group LLC. CLO Team Structure Region(s) U.S. BSL and MML CLOs Number of CLO Portfolio Managers (PM) 8 PMs Average Experience 27 Years Loan Analysts with: >20 Years’ Credit Experience 8 10–20 Years’ Credit Experience 9 <10 Years’ Credit Experience — Analyst Team Average Experience 19 Years Loan Team Credits Per Analyst 20–30 Approximate No. of Invested Credits 250–300 Distressed Credit Specialists / Avg. Experience 25 / ~21 Yearsa aRepresents experience of entire CLO team. Source: Fortress Investment Group LLC.
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e itc ie — rtress n est ent r p C e C nsiderati ns Fortress’s Credit Funds (FCF) team shows extensive experience and depth of staff at both C pan Staff turnover has remained low, indicative of the team’s long n est ents C ntr s The CLO compliance team has the benefit of Fortress’s IT and operational infrastructure, with both perati ns and ec n Fortress’
193 Structured Finance CLO
FS/KKR Advisors LLC FS/KKR Advisors, LLC (FS/KKR) will manage CLOs through its publicly traded business development company (BDC). FS/KKR, the BDC’s adviser, was established in April 2018 as a joint venture between FS Investments and KKR Capital Corporation to pursue investments in middle-market companies. As of Dec. 31, 2019, FS/KKR was managing one CLO but had $16.5 billion in assets under management (AUM).
Firm Profile Region(s) of CLO Operations U.S. Location San Francisco, CA CLO Related Employees 88 CLO Issuance Since 2018 Total Assets Under Management (AUM) $16.5 Bil. Leveraged Loan AUM $12.7 Bil. Active CLOs Under Management 1 Total CLOs Managed 1 Source: FS /KKR Advisors LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 20 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 6 <10 Years’ Credit Experience 6 Analyst Team Average Experience 7 Years Loan Team Credits Per Analyst 20-30 Approximate No. of Invested Credits 250-300 Distressed Credit Specialists / Avg. Experience 5 / 15 Years Source: FS /KKR Advisors LLC.
U.S. Loan AUM Development ($ Bil.) 14 12 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: FS/KKR Advisors, LLC.
FS/KKR Advisors LLC April 7, 2020194 Structured Finance CLO
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Dan Pietrzak Member Co-Head of Private Credit, KKR 4 22 Matthieu Boulanger Member Co-Head of Private Credit, KKR 3 21 Chris Sheldon Member Head of Leveraged Credit, KKR 14 21 Nat Zilkha Member Head of Special Situations, KKR 13 16 Todd Builione Member Head of Credit & Markets, KKR 6 21 Ryan Wilson Director KKR, Credit 14 16 Mike Kelly President President, CIO, FS Investments 6 23 Brian Gerson Managing Director Head of Private Credit, FS 3 21 Sean Coleman Managing Director Chief Credit Officer, FS 7 26 Source: FS /KKR Advisors LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant FSKMM CLO 1 2019 — 3Q20 512 512 RU MML Yes RU – Ramp-up. Source: FS /KKR Advisors LLC.
FS/KKR Advisors LLC April 7, 2020195 Structured Finance CLO
The Fitch View — FS/KKR Advisors LLC Key Considerations • Strong institutional backing and an established track record in middle-market investing by both FS Investments and KKR Credit Advisors (KKR Credit). • Diversified business and product lines help enable leverage scale across a broad selection of investment opportunities and companies. • Considerable U.S. and European CLO investment resources and experienced staff. Overall CLO platform capabilities have expanded due to Avoca Capital (Avoca) acquisition in 2014. • FS/KKR Advisors, LLC is the largest BDC advisor in the U.S. with $17 billion in total assets under management. Company • FS/KKR, the BDC’s adviser, was established in April 2018 as a joint venture between FS Investments and KKR Capital Corp. to pursue investments in middle-market companies. • FS KKR Capital Corp., incorporated as a BDC in 2007, formally commenced investment operations in 2009. On Dec. 19, 2018, FS KKR Capital Corp. completed its acquisition of Corporate Capital Trust, Inc. Prior to the merger, FS KKR Capital Corp. was named FS Investment Corporation. • FS KKR Capital Corp. and FS/KKR benefit from a deep bench of resources and talent. KKR Credit manages $73 billion of credit assets, including $24 billion of private credit assets across approximately 20 funds. FS Investments was founded in 2007 and has more than 300 employees and manages $24 billion across 12 investment vehicles. • FS/KKR has substantial financial resources, including the ability to make individual investments of up to $1 billion. • FS KKR Capital Corp. expects to invest in its own CLO investments and intends to own all tranches rated single-A and below, including all of the equity. Investments • FS/KKR targets upper middle-market companies that have $50 million to $100 million in EBITDA. • All investments must clear an eight-member joint-ventures investment committee as well as KKR Credit’s four-person private credit investment committee, which comprises the co- heads of private credit, the head of special situations and the head of liquid credit. • KKR Credit has a primary origination and underwriting team that handles all facets of the process until allocating credit to the portfolio. Once allocated, KKR Credit’s credit surveillance team, based team in Dublin, Ireland, provides monitoring assistance. However, the original underwriting team maintains ongoing surveillance with oversight of the position and continues to monitor the risk through its lifecycle. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • All procedures are well documented, including those governing the management of public and private data. • The BDC by regulation cannot purchase debt in any of private equity portfolios of the parent company. Operations and Technology • A dedicated CLO operations staff performs the daily cash and position reconciliation with the trustee using Black Mountain Everest’s compliance module. • KKR Credit’s CLO platform benefits from the parent’s investment in technology-related resources. Systems and technology platform are scalable and were developed to handle growth in CLO issuance. • A variety of technology solutions are utilized, including Black Mountain Everest systems. Third-party feeds are incorporated to support day-to-day management of the CLOs. • Business continuity and cybersecurity measures are appropriate and tested.
FS/KKR Advisors LLC April 7, 2020196 Structured Finance CLO
GC Advisors LLC (Golub Capital) GC Advisors LLC (collectively with affiliates, Golub) is a U.S.-based firm founded in 1994 with principal offices in New York and Chicago. Golub had over $30 billion of capital under management as of January 1, 2020 and has primary business lines in middle-market (MM) lending, late-stage lending (LSL) and broadly syndicated loans (BSL). Golub’s CLO platform has issued over $29 billion across 56 CLOs since 2005.
Firm Profile Region(s) of CLO Operations U.S. Location Chicago, IL CLO Related Employees 522 CLO Issuance Since 2005 Leveraged Loan Capital Under Management Over $30 Bil.ª Active CLOs Under Management 30 Total CLOs Managed 56 ªAs of Jan. 1, 2020. Capital under management is a gross measure of assets that includes invested and available capital, including leverage. Source: GC Advisors LLC (Golub Capital). CLO Team Structure Region(s) U.S. – BSL Team U.S. – MM Team Number of CLO Portfolio Managers (PM)ᵃ 5 4 PMs Average Experience 31 Years 32 Years Loan Analysts with: >20 Years’ Credit Experience 4 16 10–20 Years’ Credit Experience 5 34 <10 Years’ Credit Experience — 71 Analyst Team Average Experience 23 Years 16 Yearsb Loan Team Credits Per Analyst 20-30 10-20 Approximate No. of Invested Credits 240-270 240-270 Distressed Credit Specialists / Avg. Experience Workouts Team - 6 Specialists / 15 Years ªReflects the respective investment committees. Additionally, the firm has a team of 19 professionals dedicated to portfolio monitoring, which is responsible for valuing all illiquid investments, including underperforming loans, on a quarterly basis, according to the firm’s valuation policy. The firm’s portfolio monitoring team is led by Kevin Falvey, who joined the firm in 2005. He is independent of the investment teams and reports directly to David Golub. ᵇIncludes senior investment professionals in the firm's middle market (MM) lending business. Source: GC Advisors LLC (Golub Capital).
Capital Under Managementᵃ ($ Bil.) 35.0 30.0 25.0 20.0 15.0 10.0 5.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 ᵃCapital under management is a gross measure of assets that includes invested and available capital, including leverage. Source: GC Advisors LLC (Golub Capital).
GC Advisors LLC (Golub Capital) February 14, 2020197 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Typeᵃ Asset Typeᵃ Broadly Syndicated Loans 14 CLOs ~ 50 Middle Market Loans 86 Other ~ 50 Other <0.3 Region b Client Typeᵇ U.S.a ~ 100 Insurance 13 aThe firm focuses almost entirely on U.S.-based Pension/Retirement 9 companies. By primarily investing in companies in the Endowment 10 U.S., the firm is able to limit foreign credit, foreign jurisdiction, foreign exchange and geopolitical risk. Family Office / High Net Worth 39 b Managed Accounts 24 As of Jan. 1, 2020. Capital under management is a gross measure of assets that includes invested and Other 5 available capital, including leverage. This breakdown ªAs of Jan. 1, 2020. Capital under management is a gross is calculated as the outstanding size of the firm’s CLOs measure of assets that includes invested and available divided by capital under management. capital, including leverage. bBased on investor Source: GC Advisors LLC (Golub Capital). commitments to all active, non-traded Golub Capital funds. Golub Capital investor commitments are managed by GC Advisors LLC, an investment adviser registered with the SEC and its affiliated advisers that rely on its registration. GC Advisors serves as the investment adviser of many domestic funds and accounts of the firm. Of note, investor commitments do not reflect capital under management and the category delineations are estimates. Capital under management, which includes leverage, totaled over $30 billion as of Jan. 1, 2020. Source: GC Advisors LLC (Golub Capital).
BSL Investment Committee Experience (Years) Name Title Firm Industry Lawrence Golub Chief Executive Officer 26 36 David Golub President 17 33 Dan Baginski Co-Head of BSL 10 26 Scott Morrison Co-Head of BSL 9 25 Christina Jamieson Managing Director 10 36 Source: GC Advisors LLC (Golub Capital).
Direct Lending Investment Committee Experience (Years) Name Title Firm Industry Lawrence Golub Chief Executive Officer 26 36 David Golub President 17 33 Andrew Steuerman Head of MM Lending and Head of LSL 16 30 Gregory Cashman Senior Managing Director 23 28 Source: GC Advisors LLC (Golub Capital).
GC Advisors LLC (Golub Capital) February 14, 2020198 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Bal. Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Orig. Curr. Status Type Compliant GCIC CLO II 2018 — 1Q21 908 908 RU MML Yes Golub Capital BDC CLO 2014 2014 1Q18 2Q16 403 311 PR MML No Golub Capital BDC CLO III 2018 — 1Q21 602 602 RU MML Yes Golub Capital Partners CLO 16(M)-R 2017 — 3Q19 754 754 R MML Yes Golub Capital Partners CLO 17(M)-R 2017 — 2Q20 907 907 R MML Yes Golub Capital Partners CLO 18(M)-R 2017 — 4Q19 899 899 R MML Yes Golub Capital Partners CLO 19(B)-R 2017 — 3Q19 539 537 R BSL No Golub Capital Partners CLO 21(M)-R 2017 — 1Q20 750 750 R MML Yes Golub Capital Partners CLO 22(B)-R 2017 — 1Q20 509 509 R BSL Yes Golub Capital Partners CLO 23(B)-R 2017 — 1Q20 611 611 R BSL Yes Golub Capital Partners CLO 24(M)-R 2017 — 2Q20 796 796 R MML Yes Golub Capital Partners CLO 25(M)-R 2018 — 2Q20 755 755 R MML Yes Golub Capital Partners CLO 26(B)-R 2018 — 2Q20 408 408 R BSL Yes Golub Capital Partners CLO 28(M) 2015 4Q17 4Q17 546 546 PR MML Yes Golub Capital Partners CLO 30(M) 2016 2Q18 2Q18 478 478 R MML Yes Golub Capital Partners CLO 31(M)-R 2018 — 3Q20 663 663 R MML Yes Golub Capital Partners CLO 33(M) 2016 4Q18 4Q18 411 487 R MML Yes Golub Capital Partners CLO 34(M)-R 2019 — 1Q21 411 510 R MML Yes Golub Capital Partners CLO 35(B) 2017 — 3Q19 505 511 R BSL Yes Golub Capital Partners CLO 36(M) 2018 — 1Q20 903 904 R MML Yes Golub Capital Partners CLO 37(B) 2018 — 3Q20 435 435 R BSL Yes Golub Capital Partners CLO 38(M) 2018 — 3Q20 1,004 1005 R MML Yes Golub Capital Partners CLO 39(B) 2018 — 4Q19 409 410 R BSL Yes Golub Capital Partners CLO 40(B) 2019 — 1Q21 444 444 RU BSL No Golub Capital Partners CLO 41(B) 2019 — 2Q20 408 408 RU BSL No Golub Capital Partners CLO 42(M) 2019 — 2Q20 804 804 RU MML Yes Golub Capital Partners CLO 43(B) 2019 — 3Q21 405 405 RU BSL No Golub Capital Partners CLO 44(M) 2019 — 2Q21 806 806 RU MML Yes Golub Capital Partners CLO 45(M) 2019 — 3Q21 730 730 RU MML Yes Golub Capital Partners CLO 46(M) 2019 — 1Q22 403 403 RU MML Yes RU –Ramp-up. PR – Post-reinvestment. R – Reinvesting. Source: GC Advisors LLC (Golub Capital).
Manager Note: The terms “Golub Capital” and “firm” (and, in responses to questions that ask about the management company, general partner, or variants thereof, the terms “management company” and “general partner”) refer, collectively, to the activities and operations of Golub Capital LLC, GC Advisors LLC (GC Advisors), GC OPAL Advisors LLC (GC OPAL Advisors), and their respective affiliates or associated investment funds. A number of investment advisers, such as GC Investment Management LLC (GC Investment Management), GC Synexus Advisors, LLC and OPAL BSL LLC (Management Series) (collectively, the “relying advisers”) are registered in reliance upon GC OPAL Advisors’ registration. The terms “investment manager” or the “advisers” may refer to GC Advisors, GC OPAL Advisors (collectively the “registered advisers”) or any of the relying advisers. In this context, certain references to Golub Capital relating to its investment management business may include activities other than the activities of the advisers or may include the activities of other Golub Capital affiliates in addition to the activities of the advisers. All information about the firm discussed herein is as of Dec. 31, 2019, unless otherwise noted.
GC Advisors LLC (Golub Capital) February 14, 2020199 Structured Finance CLO
The Fitch View — GC Advisors LLC (Golub Capital) Key Considerations • Well-articulated investment strategy, sound fundamental credit research practices and deep front-office resources. Reasonable match between resources and CLOs outstanding. • Extensive relationship network in direct MM lending business. • The BSL and MM units are separately run groups within Golub in terms of credit teams, albeit with shared resources including portfolio management systems and CLO administrative and compliance functions. Company • Golub is a U.S.-based firm founded in 1994 with principal offices in New York and Chicago. • The MM platform is staffed with 14 originators and over 80 underwriters across four vertical industry responsibilities. The MM platform also has a 14-member capital markets and loan distribution team dedicated to MM syndications. The BSL platform has seven dedicated industry analysts, three senior portfolio managers, a dedicated loan trader and a senior treasury analyst. • The MM underwriters are supported by a 19-member portfolio monitoring team responsible for updating company financials and tracking deal covenants. • Twenty-one-member treasury team includes CLO compliance. Investments • Extensive resources in quantitative research are well balanced, with fundamental bottom-up research conducted by seven dedicated industry analysts. • Fundamental analysis is complemented by a quantitative analysis of the relative risk-return characteristics of investments and a comparison of yields between asset classes and other indicators. • Separate formal investment committees exist for BSL and MM platforms, both represented by senior management. • Efficient monitoring of portfolio risk with a focus on portfolio diversification by industry and credit buckets relative to target ratios and designed to ensure compliance with investment constraints. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Well-documented procedures covering investment analysis and decision-making procedures as well as CLO portfolio administration tasks, which support the implementation of an adequate control framework within the business. • The governance structure in place is considered appropriate, with clear separation of duties and lines of escalation. • Operational risk management is very professional, integrated and applies enterprise perspective with large coverage and efficient systems. Operations and Technology • Workflows and reconciliation with the trustee and counterparties are well defined, comprehensively documented and supported by robust proprietary applications. • All of the CLOs are modeled and administered in Wall Street Office, allowing administration of all loans with strong operational efficiency. • Dedicated investors services group delivers investor communication and reporting to existing investors, manages and tracks investor data and reporting workflow and provides client services. • Implemented BlackMountain Everest platform in June 2011 as a proprietary portfolio and monitoring workflow automation tool. • IT teams and resources are large and efficiently organized by function (investments, middle- office/back-office systems, risk management and operations).
GC Advisors LLC (Golub Capital) February 14, 2020200 Structured Finance CLO
GLG Partners LP GLG Partners LP (Man GLG) is a fully owned subsidiary of Man Group PLC (Man), one of the world’s largest publicly listed alternative investment providers. As of Dec. 31, 2019, Man had assets under management (AUM) of approximately $117.1 billion, of which Man GLG manages $31.6 billion. Man GLG launched its first European CLO in 2002. The U.S. CLO team, formerly known as Silvermine Capital Management, LLC joined Man GLG in 2015.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Zurich, Switzerland New York, NY London, U.K CLO Related Employees 8 9 CLO Issuance Since 2005 2002 Total Assets Under Management (AUM) $31.6 Bil. — Leveraged Loan AUM $1.6 Bil. €2.4 Bil. Active CLOs Under Management 4 6 Total CLOs Managed 16 12 Source: GLG Partners LP.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 2 2 PMs Average Experience 15 Years 20 Years Loan Analysts with: >20 Years’ Credit Experience — 1 10–20 Years’ Credit Experience 3 1 <10 Years’ Credit Experience 3 4 Analyst Team Average Experience 10 Years 9 Years Loan Team Credits Per Analyst 40–50 30–40 Approximate No. of Invested Credits 300–325 150–200 Distressed Credit Specialists / Avg. Experience 1 / 15 Years — Source: GLG Partners LP.
U.S. Loan AUM Development ($ Bil.) 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: GLG Partners, L.P.
GLG Partners LP March 26, 2020201 tr ct red inance
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artners arc 202 tr ct red inance
E r pean Credit C ittee Experience Years a e it e e ir nd str
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cti e E r pean C s nder ana e ent atest End rt i a ance e i n (€ Mil.) a e inta e eset Ca ri ina C rrent tat s — — — — — —
r ani ati na tr ct re
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203 i
i i — i i and equities. Man GLG’s investor base is diversified by type and geography. l i l The firm’s IT platform also integrates several third
204 Structured Finance CLO
GoldenTree Asset Management, LP GoldenTree Asset Management, LP (GoldenTree) is an independent employee-owned asset manager that focuses on global credit markets. GoldenTree’s CLO operations began in 2002, and the firm manages a variety of alternative return and long-only strategies for primarily institutional investors. As of Dec. 31, 2019, the company had $32.3 billion in assets under management (AUM), including approximately $8.5 billion in CLOs.
Firm Profile
Region(s) of CLO Operations U.S. Europe London, U.K.; Dublin, Location New York, NY Ireland CLO Related Employees 166 26 CLO Issuance Since 2002 2009 Total Assets Under Management (AUM) $32.3 Bil. globally — Leveraged Loan AUM $11.4 Bil. globally — Active CLOs Under Management 11 4 Total CLOs Managed 21 5 Source: GoldenTree Asset Management, LP.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 13 3 PMs Average Experience 23 Years 20 Years Loan Analysts with: >20 Years’ Credit Experience 5 — 10–20 Years’ Credit Experience 9 6 <10 Years’ Credit Experience 3 — Analyst Team Average Experience 15 Years 13 Years Loan Team Credits Per Analyst 10-20 10-20 Approximate No. of Invested Credits 200-250 100-150 Distressed Credit Specialists / Avg. Experience 6 / 22 Years 4 / 17 Years Source: GoldenTree Asset Management, LP.
U.S. Loan AUM Development ($ Bil.) 10.0 8.0 6.0 4.0 2.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: GoldenTree Asset Management, LP.
GoldenTree Asset Management, LP February 14, 2020205 Structured Finance CLO
European Loan AUM Development ($ Bil.) 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: GoldenTree Asset Management, LP
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 37 CLOs 69 High Yield Bonds 23 Managed Accounts 14 Structured Credit (non-CLOs) 6 Managed Funds 17 Third Party CLOs 11 Region Equities 2 U.S. 76 Other 21 Europe 22 Client Type Other 2 Insurance 4 Source: GoldenTree Asset Management, LP Bank 1 Pension/Retirement 20 Endowment 4 Family Office / High Net Worth 5 Sovereign Wealth Funds 5 Managed Accounts 32 Otherª 30 ªIncludes CLO investors, 25%. Source: GoldenTree Asset Management, LP.
Executive Committee Experience (Years) Name Title Role Firm Industry Steven A. Tananbaum Founding Partner & Chief Investment Officer Investment Team 19 32 Steven Shapiro Partner Investment Team 19 27 Christopher Hayward Partner & President Business Management 1 27 Joseph Naggar Partner & Head of Structured Products Investment Team 12 25 Lee Kruter Partner & Head of North American Bonds and Loans Investment Team 12 19 Kathy Sutherland Partner & Head of Business Development and Strategy Business Development 11 23 Pierre de Chillaz Partner & Head of European Investments Investment Team 12 15 Ted S. Lodge Partner & Global Head of Restructurings and Turnarounds Investment Team 12 36 Source: GoldenTree Asset Management, LP.
GoldenTree Asset Management, LP February 14, 2020206 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant GT Loan Financing I 2013 3Q18 3Q20 190 188 R BSL No GoldenTree Loan Opportunities IX 2014 4Q18 4Q20 649 649 R BSL No GoldenTree Loan Opportunities XI 2015 4Q17 1Q17 540 539 R BSL Yes GoldenTree Loan Opportunities X 2015 3Q18 2Q17 700 699 R BSL No GoldenTree Loan Opportunities XII 2016 3Q18 3Q18 400 399 R BSL No GLM US CLO 1 2017 — 2Q19 700 697 R BSL Yes GLM US CLO 2 2017 — 1Q20 725 724 R BSL Yes GLM US CLO 3 2018 — 2Q20 700 699 R BSL Yes GLM US CLO 4 2019 — 2Q21 800 800 R BSL Yes GLM US CLO 5 2019 — 4Q21 600 600 R BSL Yes GLM US CLO 6 2019 - 1Q22 554 550 RU BSL Yes R – Reinvesting. RU –Ramp-up. Source: GoldenTree Asset Management, LP.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Laurelin 2016 2016 4Q18 4Q20 398 399 R GLM EUR CLO 1 2018 — 2Q20 400 401 R GLM EUR CLO 2 2018 — 4Q21 400 400 R GLM EUR CLO 3 2019 — 3Q21 400 400 R R – Reinvesting. Source: GoldenTree Asset Management, LP
Organizational Structure
Steven A. Tananbaum 27 Other Partners Senior Managing Member
GoldenTree Asset Management LLC 28 Limited Partners General Partner
GoldenTree Asset Management, LP
Source: GoldenTree Asset Management, LP.
GoldenTree Asset Management, LP February 14, 2020207 Structured Finance CLO
The Fitch View – GoldenTree Asset Management, LP Key Considerations • Resources to the CLO platform are strong given significant AUM and product diversification. • The employee ownership structure leads to stability among staff and retention of talent amid increasing industry competition. GoldenTree is owned by its employees and offers them a path to partnership. • Key person risk tied to Steve Tananbaum, the firm’s managing partner and chief investment officer; this risk is largely mitigated by GoldenTree’s highly experienced staff reporting to Tananbaum, including Lee Kruter and others directly involved in the day-to-day management of the CLOs. Company • Product lines include both alternative and long-only strategies. Bank loans under management amounted to over $11 billion, with approximately $8 billion across CLO vehicles. • The firm has a seasoned investment team with an average of 17 years of industry experience, including seven years working together. • The firm’s significant market presence in the European Union facilitates additional diligence in regional credit markets. • GoldenTree Loan Management (GLM) and GoldenTree Loan Management II (GLM II) were established in 2016 and 2019, respectively. GLM is an SEC-registered investment adviser and GLM II is a relying adviser. GLM, GLM II and GoldenTree are affiliated entities. The platform benefits from GoldenTree’s research, trading and operational support pursuant to a service agreement. Investments • The firm actively manages its portfolios with a focus on total returns through disciplined fundamental value investing. The flat organizational structure results in analysts having more ownership of investment decisions. Analysts are allocated by sector. In addition, eleven investment professionals are responsible for the firm’s distressed and structured products investments. • The credit selection criteria require a minimum margin of safety for all investments, typically at least 2.0x minimum asset coverage, target return and catalysts to drive total return. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Portfolio managers stress test the portfolio and continually monitor and oversee maintenance of cushions against CLO-specific limits. Controls are embedded in key systems. • Pre- and post-trade relative-value analysis is performed at both the trade and portfolio level. • GoldenTree has compliance and governance processes and policies in place to support accuracy of trading, portfolio management and administration functions. Operations and Technology • Approximately 30 dedicated fund accounting employees assist with CLO management. Administrative capabilities reflect highly qualified staff interacting with appropriate systems and processes. • GoldenTree has approximately 30 dedicated technology employees. • The firm employs an integrated, scalable and flexible platform based on a combination of proprietary analytics and third-party administration systems, including widely accepted industry systems such as Wall Street Office, Electra Reconciliations, Charles River and VPM.
GoldenTree Asset Management, LP February 14, 2020208 Structured Finance CLO
Greywolf Capital Management LP Founded in 2003, Greywolf Capital Management LP is a registered investment adviser with over $3 billion in assets under management allocated across Event Driven and CLO Credit Strategies. The fim managed six CLOs as of Dec. 31, 2019.
Firm Profile Region(s) of CLO Operations U.S. Location Purchase, NY CLO Related Employees 10 CLO Issuance Since 2006 Total Assets Under Management (AUM) $3.8 Bil. Leveraged Loan AUM $3.1 Bil. Active CLOs Under Management 6 Total CLOs Managed 7 Source: Greywolf Capital Management LP.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 35 Years Loan Analysts with: >20 Years’ Credit Experience 3 10–20 Years’ Credit Experience 1 <10 Years’ Credit Experience 2 Analyst Team Average Experience 17 Years Loan Team Credits Per Analyst 30–40 Approximate No. of Invested Credits 200 Distressed Credit Specialists / Avg. Experience 6 / 17 Years Source: Greywolf Capital Management LP.
U.S. Loan AUM Development ($ Bil.) 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Greywolf Capital Management LP.
Greywolf Capital Management LP March 11, 2020209 tr ct red inance
ta rea d n an rea d n C ient pe sset pe e i n
Credit C ittee Experience Years a e it e e ir nd str
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — –
210 Structured Finance CLO
GSO Capital Partners LP GSO Capital Partners LP (GSO) is part of the credit-focused business unit of The Blackstone Group Inc. (Blackstone), a publicly traded alternative asset management firm. GSO was founded in 2005 and subsequently acquired by Blackstone in 2008. The Liquid Credit Strategies (LCS) business unit within GSO is the business unit that manages GSO's BSL CLOs and supports GSO's MML CLOs. GSO had $131 billion in assets under management (AUM) as of Dec. 31, 2019. Of this AUM, LCS represented $65.8 billion.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY Dublin, Ireland CLO Related Employees 122 38 CLO Issuance Since 1998 2001 Total Assets Under Management (AUM) $53.6 Bil. €11.9 Bil. Leveraged Loan AUM $35.2 Bil. €10.0 Bil. Active CLOs Under Management 36 20 Total CLOs Managed 66 41 All data represent LCS AUM but also includes AUM attributed to GSO’s MML CLOs. AUM for GSO’s MML CLOs were allocated to GSO’s performing credit business unit effective January 2019. Active U.S. CLOs under management includes two MML CLOs and one CBO. Source: GSO Capital Partners LP.
CLO Team Structure Region(s) U.S. (BSL/MML) Europe Number of CLO Portfolio Managers (PM) 3 / 2 3 PMs Average Experience 15 Years / 20 Years 18 Years Loan Analysts with: >20 Years’ Credit Experience 4 / — — 10–20 Years’ Credit Experience 8 / 13 7 <10 Years’ Credit Experience 12 / 22 2 Analyst Team Average Experience 11 Years / 8 Years 12 Years Loan Team Credits Per Analyst 35–45 / 10–20 25–35 Approximate No. of Invested Credits 700–750 / 100–150 250–300 Distressed Credit Specialists / Avg. Experience 24 /11 Years / 12 /11 Years 9 / 12 Years ªU.S. BSL CLO and European CLO analysts also support the MML CLOs, as well as non-CLO products in GSO's LCS business. U.S. MML CLO analysts also support non-CLO products in GSO's Alternative Investment Funds business. ᵇAll U.S. BSL and European analysts have distressed credit/workout situation experience. Source: GSO Capital Partners LP.
GSO Capital Partners LP February 19, 2020211 tr ct red inance CLO
an e e p ent Bil. 1 1 1 11 1 1 1 1 1 1 1 19 epresents AUM for all GSO li uid credit funds and accounts t at pri aril in est in U.S. loans. Source GSO Capital artners L .
E r pean an e e p ent € Bil. 1 1 1 11 1 1 1 1 1 1 1 19 epresents AUM for all GSO li uid credit funds and accounts t at pri aril in est in uropean loans. Source GSO Capital artners L .
ta rea d n an rea d n sset pe sset pe Broadl S ndicated Loans CLOs i ield Bonds Mana ed Accounts 1 ird art CLOs Mana ed unds 1 n est ent Grade Bonds 1 e i n uities 1 U.S. Ot er urope
C ient pe ote Reflects AUM for GSO’s LCS business unit only. nsurance Source GSO Capital artners L . Ban ension etire ent a il Office i et ort 1 Ot er otes Reflects AUM for GSO’s LCS business unit only. “Other” AUM by asset type includes convertible bonds and preferred e uit in est ents wit in certain SMAs. “Other” AUM by client type includes investors in LCS CLOs and listed e icles in t e U.S. and urope. Source GSO Capital artners L .
GSO Capital artners L ebruar 19 212 tr ct red inance CLO
Credit C ittee Experience Years a e it e e ir nd str aniel S ith Senior Mana in irector Global ead of LCS aniel McMullen Senior Mana in irector Senior ortfolio Mana er Robert able Senior Mana in irector Senior ortfolio Mana er Colleen Lon obardi Mana in irector Research Analyst hilip olpicelli Mana in irector Senior ortfolio Mana er Ale ander ar hevs y Mana in irector Research Analyst Gordon Mc e ie rincipal ortfolio Mana er Source GSO Capital artners L .
E r pean Credit C ittee Experience Years a e it e e ir nd str Ale Leonard Senior Mana in irector Senior ortfolio Mana er avid Cunnin ha Mana in irector ortfolio Mana er ohn rafter Mana in irector ortfolio Mana er enneth o ah rincipal Research Analyst Andrea itotti rincipal Research Analyst Louise So ers rincipal Research Analyst Source GSO Capital artners L .
r ani ati na tr ct re
e ac st ne r p nc
ri ate E it ea Estate Credit nc ed e nd ti ns
ternati e n est ents nds i id Credit trate ies C
Credit includes GSO Capital artners GSO arvest und Advisors and lac stone nsurance Solutions. Source GSO Capital artners L .
GSO Capital artners L ebruary 213 tr ct red inance CLO
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant ryon ar CLO R SL o erson ar CLO — R SL o Seneca ar CLO — R SL o hacher ar CLO — R SL o o an ar CLO — R SL o orchester ar CLO R SL es re an ar CLO R SL o Ste art ar CLO R SL o Cu berland ar CLO R SL o Cole ar CLO R SL o ebster ar CLO R SL o estcott ar CLO R SL o ay ar CLO R SL o urnha ar CLO R SL o ristol ar CLO — R SL o aconic ar CLO — R SL o Grippen ar CLO — R SL o hayer ar CLO — R SL o Cats ill ar CLO — R SL o e olf ar CLO — R SL o Gilbert ar CLO — R SL o Lon oint ar CLO — R SL o Green ood ar CLO — R SL o Coo ar CLO — R SL o Chenan o ar CLO — R SL o ill ore ar CLO — R SL o Myers ar CLO — R SL o utter il ar CLO — R SL o Cirrus undin — R C O o arbor ar CLO — R SL o ia ond CLO — R MML o uc horn ar CLO — R SL o ia ond CLO — R MML o ia ara ar CLO — R SL o South ic ar CLO — R SL es eech ood ar CLO — R SL es R – Reinvestin . R – ost reinvest ent. Source GSO Capital artners L .
GSO Capital artners L ebruary 214 tr ct red inance
cti e E r pean C s nder ana e ent atest End rt i a ance e i n (€ Mil.) a e inta e eset Ca ri ina C rrent tat s — — — — — — — — – –
215 i
i i — i l i i Being one of the industry’s largest secured loan managers by AUM provides GSO w SO’s Liquid Credit Strategies (LCS l sponsored deals make up a relatively low share of GSO’s overall investment i l GSO’s proprietary platform, Axiom Data, allow GSO’s dedicated CLO compliance team populates and distributes numerous weekly reports, all are available on the trustee’s website.
216 Structured Finance CLO
Guggenheim Investments Guggenheim Investments (Guggenheim) is the global asset management and investment advisory division of Guggenheim Partners, LLC (Guggenheim Partners). Guggenheim Partners is the principal subsidiary of Guggenheim Capital, LLC (Guggenheim Capital). As of Dec. 31, 2019, Guggenheim had more than $215 billion in assets under management (AUM). The Guggenheim entity responsible for managing CLOs, Guggenheim Partners Investment Management, LLC, has been an active CLO issuer since 2002.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY Dublin, Ireland
CLO Related Employees Not Reported Not Reported CLO Issuance Since 2002 2008 a Total Assets Under Management (AUM) $214.1 Bil. €1.4 Bil. Leveraged Loan AUM $18.0 Bil. €1.4 Bil. Active CLOs Under Management 10 2 Total CLOs Managed 22 4 aAssets under management are as of Dec. 31 and include leverage of $11.8 billion. Guggenheim Investments represents the following affiliated investment management businesses: Guggenheim Partners Investment Management, LLC, Security Investors, LLC, Guggenheim Funds Distributors, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Corporate Funding, LLC, Guggenheim Partners Europe Limited, GS GAMMA Advisors, LLC and Guggenheim Partners India Management. Guggenheim Partners Investment Management, LLC (GPIM) is a registered investment adviser and serves as the adviser to the bank loan strategy presented herein. GPIM serves as collateral manager to each CLO presented herein with the exception of the Bilbao CLO I DAC and Bilbao CLO II DAC for which Guggenheim Partners Europe Limited serves as the collateral manager. Source: Guggenheim Investments.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 4 4 PMs Average Experience 16 Years 18 Years Loan Analysts with: >20 Years’ Credit Experience 1 1 10–20 Years’ Credit Experience 5 4 <10 Years’ Credit Experience 48 11 Analyst Team Average Experience 5.1 Years 7.5 Years Loan Team Credits Per Analyst 5–10 10–20 Approximate No. of Invested Credits 550–600 200–250 Distressed Credit Specialists / Avg. Experience Not Reported Not Reported Source: Guggenheim Investments.
Guggenheim Investments 217 Structured Finance CLO
Global Loan AUM Development ($ Bil.) 30 25 20 15 10 5 0 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Guggenheim Investments.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 7 CLOs 36 Middle Market Loans 2 Managed Accounts 30 High Yield Bonds 3 Managed Funds 34 Third Party CLOs 35 Region Other 53 U.S. 89 Client Type Europe 9 Insurance 63 Other 3 Bank 6 Source: Guggenheim Investments. CLO Investors 3 Pension/Retirement 2 Other 26 Source: Guggenheim Investments.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Kevin Gunderson Senior Managing Director Portfolio Manager 17 17 Zach Warren Senior Managing Director Portfolio Manager 16 25 Alastair McKeever Managing Director Portfolio Manager 12 12 Mathew Bloom Senior Managing Director Head of Research 14 17 Tom Hauser Senior Managing Director Portfolio Manager 18 18 Note: A small team of GPIM investment professionals that primarily focus on the sourcing, origination and execution of private corporate debt investments currently provide services to both GPIM and Guggenheim Corporate Funding, LLC (GCF), an affiliate of GPIM. GPIM also expects a small team of GPIM investment professionals that focus on such investments to transfer to GCF. The transition of these services and personnel is expected to result in certain changes to the information presented above. Please refer to GPIM’s Form ADV Part 2A brochure, dated Feb. 2, 2020, for additional information. Source: Guggenheim Investments.
Guggenheim Investments 218 Structured Finance CLO
European Credit Committee Experience (Years) Name Title Role Firm Industry Adrian Duffy Head of European Credit Portfolio Manager 18 32 Kevin Gunderson Senior Managing Director Portfolio Manager 17 17 Zach Warren Senior Managing Director Portfolio Manager 16 25 Alastair McKeever Managing Director Portfolio Manager 12 12 Mathew Bloom Senior Managing Director Head of Research 14 17 Tom Hauser Senior Managing Director Portfolio Manager 18 18 Note: A small team of GPIM investment professionals that primarily focus on the sourcing, origination and execution of private corporate debt investments currently provide services to both GPIM and Guggenheim Corporate Funding, LLC (GCF), an affiliate of GPIM. GPIM also expects a small team of GPIM investment professionals that focus on such investments to transfer to GCF. The transition of these services and personnel is expected to result in certain changes to the information presented above. Please refer to GPIM’s Form ADV Part 2A brochure, dated Feb. 2, 2020, for additional information. Source: Guggenheim Investments.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant NZCG Funding 2010 1Q18 1Q20 845 875 R BSL No 1828 CLO 2016 4Q18 3Q18 400 399 R BSL No Seven Sticks CLO 2016 3Q18 3Q18 400 400 R BSL No Salem Fields CLO 2016 4Q18 4Q18 445 443 R BSL No Mercer Field II CLO 2017 — 2Q19 875 870 R BSL No Hempstead II CLO 2017 — 3Q19 600 592 R BSL No Auburn CLO 2017 — 4Q19 500 502 R BSL No Guggenheim MM CLO 2018-1 2018 — 4Q20 400 405 R MML Yes Guggenheim CLO 2019-1 2019 — 4Q21 400 401 R BSL No Guggenheim MM CLO 2019-2 2019 — 4Q21 417 417 R MML Yes R – Reinvesting. Source: Guggenheim Investments.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Bilbao CLO I 2018 — 2Q20 400 402 R Bilbao CLO II 2019 — 2Q21 400 401 R R – Reinvesting. Source: Guggenheim Investments.
Guggenheim Investments 219 Structured Finance CLO
Organizational Structure
Guggenheim Capital, LLC
100.0%
Guggenheim Partners, LLC
99.5%
Guggenheim Partners Investment Management Holdings, LLCa
99.9% 100.0%
Guggenheim Partners Investment Management, LLCb Guggenheim Partners Europe Limited aThe remaining 0.5% is owned by GMI GPIMH, LLC. bThe remaining 0.1% is owned by GMI GPIM, LLC. Note: Chart excludes two wholly owned subsidiaries positioned between Guggenheim Partners, LLC and Guggenheim Partners Investment Management Holdings, LLC. Source: Guggenheim Investments.
Guggenheim Investments 220 Structured Finance CLO
The Fitch View — Guggenheim Investments Key Considerations • Deep resources and strong brand name support business franchise, with strong alignment of interests and available resources from parent company, Guggenheim Partners. • Strong, diversified business lines providing Guggenheim with size and scale that gives it industry access to markets and management of many product styles, resulting in diversified revenue streams. • An ongoing challenge for Guggenheim will be effective management in the allocation and prioritization of resources dedicated to performing CLOs versus distressed legacy CDOs taken over by Guggenheim as replacement manager. Company • Guggenheim has three main business lines: investments, securities and insurance services. The corporate credit group, which is part of investments, handles CLO management. Guggenheim has issued a total of 20 broadly syndicated U.S. CLOs, two middle market U.S. CLO and four European CLOs. • Strong company culture of growth from within has helped maintain same core senior team since inception and low firmwide turnover. • Guggenheim’s corporate credit committee has an average of 18 years of industry experience and a strong track record in the high-yield loan market. The committee meets daily and requires unanimous agreement to approve a name. Investments • The investment committee is involved throughout the underwriting process and is integral in credit approval and position sizing. • Well-embedded processes include formal weekly credit committees, weekly watchlist meetings, monthly review of each portfolio and quarterly performance and attribution analysis, as well as a strategy review. • History of all securities purchased, as well as those turned down, is maintained in proprietary database that serves as corporate archive. • Generally, approved names are given a 1% position size for each portfolio. However, each portfolio and strategy may have different needs that affect allocations. Controls • Daily monitoring of positions is conducted, in addition to daily and weekly team meetings, to discuss broader market conditions and news surrounding individual investments. • Stress testing is conducted at the individual security level through proprietary models that analysts use to perform collateral reviews, structural assessments and capital structure evaluation and to assess cash flow, liquidation preference and rules. • Multiple levels of internal controls, including detailed reviews of all relevant credit and operating documentation conducted by the in-house legal team where appropriate. Operations and Technology • Trade settlement process includes confirmation of all trades with executing broker prior to entering trades in Guggenheim’s portfolio management system. • Guggenheim is in close communication with the trustee, including daily reconciliation of cash and positions and monthly reconciliation of securities. • All portfolio management and credit analysis functions are conducted independently yet internally. Models are run on a daily basis to ensure compliance with CLO tests. • Guggenheim has in place an integrated and flexible platform based on a combination of both proprietary analytics and widely accepted industry systems, including BlackRock Solutions® (BRS), Wall Street Office, Bond Edge®, Bloomberg, YieldBook®, remittance reports, Trepp®, Intex®™, RealPoint and FactSet® and ePAM (for accounting). • Business continuity plan and cybersecurity measures are appropriate and tested.
Guggenheim Investments 221 Structured Finance CLO
Gulf Stream Asset Management
Key senior members of Gulf Stream Asset Management (Gulf Stream) re-formed in 2019
as an independent, SEC registered investment adviser. Gulf Stream is focused on managing
assets in the broadly syndicated loan (BSL) market through CLO issuance. Senior
management is composed of professionals with an average of over 29 years of experience
who were a team prior to the firm’s acquisition in 2011. With offices in Charlotte, NC and
New York, Gulf Stream capitalizes on a strategic services relationship with Apollo Global Management (Apollo) and Redding Ridge Asset Management LLC (RRAM).
Firm Profile Region(s) of CLO Operations U.S. Location Charlotte, NC New York, NY CLO Related Employees 12 CLO Issuance Since 2018 Total Assets Under Management (AUM) $0.9 Bil. Leveraged Loan AUM $0.9 Bil. Active CLOs Under Management 1a a Total CLOs Managed 1 aOpen warehouse as of Dec. 31, 2019. Source: Gulf Stream Asset Management. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 27 Loan Analysts with: >20 Years’ Credit Experience 4 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience 3 Analyst Team Average Experience 19 Years Loan Team Credits Per Analyst 20-30 Approximate No. of Invested Credits 100-150 Distressed Credit Specialists / Avg. Experience 3 / 35 Years Source: Gulf Stream Asset Management.
U.S. Loan AUM Development ($ Bil.) 1.0 0.8 0.6 0.4 0.2 0.0 2019 Source: Gulf Stream Asset Management.
Gulf Stream Asset Management March 17, 2020222 Structured Finance CLO
Loan AUM Breakdown (%) Asset Type CLOs 100 Region U.S. 100 Source: Gulf Stream Asset Management.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Mark B. Mahoney President Chief Investment Officer 1 43 William Farr IV Head of Portfolio Management Portfolio Management 1 27 William Taylor Senior Research Analyst & Chief Compliance Officer Industry Research & Compliance 1 22 Paul Caruso Head of Trading Trading 1 11 Source: Gulf Stream Asset Management.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Gulf Stream Meridian 1 2019 — 1Q22 550 550 RU BSL No RU – Ramping up. Gulf Stream Asset Management.
Organizational Structure
Employee Owners 100% Gulf Stream Asset Management
Gulf Stream CLOs and Warehouses
Source: Gulf Stream Asset Management.
Gulf Stream Asset Management March 17, 2020223 Structured Finance CLO
The Fitch View — Gulf Stream Asset Management Key Considerations • Headquartered in Charlotte, NC, Gulf Stream was re-established in 2019 by Mark Mahoney as an independent SEC-registered investment adviser. • Gulf Stream’s investment team is composed of experienced CLO professionals including six members of the original firm, including Will Farr, Paul Caruso, William Taylor, Kathleen LaVielle, Butch Mayer, and Sheila Kirkpatrick. • Gulf Stream has entered into an administrative services agreement with Apollo and RRAM, which allows the firm to access its comprehensive operations and risk management teams. Additionally, RRAM provides capital markets advisory and structuring services to support Gulf Stream’s growing CLO platform. Company • Mahoney founded the original Gulf Stream in 2002. That firm was acquired by Apollo in October 2011 creating the foundation for the re-emergence of Gulf Stream with utilization of its brand name and track record. • Gulf Stream is again building a scalable platform that will be become a frequent issuer of CLOs backed by U.S. BSLs. • As a legacy CLO 1.0 issuer, Gulf Stream managed peak assets under management (AUM) of $4.7 billion across 12 investment vehicles including 10 BSL CLOs. Investments • The investment process reflects a team-oriented approach requiring approval by a seasoned three-person investment committee that has worked together since 2006. • Gulf Stream’s platform is composed of six senior credit research analysts who are supported by three experienced credit analysts. Each senior analyst is expected to cover approximately 30-40 credits. • Sourcing and execution of loan trades are aided by established, long-term relationships with all top-tier banks’ syndicate and trading desks. The firm’s dedicated trader, Caruso, acts as the primary contact for counterparties in the primary and secondary loan markets. Controls • The risk committee monitors the firm’s overall risk and operational exposures, including compliance, technology, HR, accounting, finance and legal. • All investment decisions are made independently by Gulf Stream, and its related research and portfolio information are only accessible to its professionals. • The firm has adequate tools in place to identify risks and credit trends within industry sectors and individual companies. • The firm relies on the experience of Apollo’s middle- and back-office resources with extensive independent oversight by Gulf Stream. Operations and Technology • Pursuant to the administrative services agreement, Gulf Stream benefits from Apollo’s fully integrated infrastructure, including industry-standard systems such as Black Mountain/Everest, IHS Markit/WSO/Clear Par, and S&P Cap IQ/LCD. • The portfolio management team receives daily reports detailing CLO compliance results and any hypothetical trading results. • The firm has adequate disaster recovery plans and cybersecurity measures in place, including the ability to work remotely in the event of a business disruption.
Gulf Stream Asset Management March 17, 2020224 Structured Finance CLO
Halsey Point Asset Management, LLC HalseyPoint Asset Management, LLC (HalseyPoint) was formed in March 2019 by Lynn Hopton and Yvonne Stevens, former long-time co-heads of Columbia Management Leveraged Debt Group. While ownership is split 50/50 between the founders and insurance holding company Advantage Capital Holdings LLC (A-CAP), Hopton and Stevens act as managing members of HalseyPoint to conduct day-to-day business and make most decisions for the company. The firm issued its first CLO in December 2019.
Firm Profile
Region(s) of CLO Operations U.S. Location El Segundo, CA CLO Related Employees 9 CLO Issuance Since 2019 Total Assets Under Management (AUM) $500 Mil. Leveraged Loan AUM $500 Mil. Active CLOs Under Management 1 Total CLOs Managed 1 Source: HalseyPoint Asset Management, LLC. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 30 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 1 Analyst Team Average Experience 17 Years Loan Team Credits Per Analyst 40-45 Years Approximate No. of Invested Credits 225 Distressed Credit Specialists / Avg. Experience 2 / 30 Years Source: HalseyPoint Asset Management, LLC.
HalseyPoint Asset Management, LLC March 20, 2020225 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 100 Source: HalseyPoint Asset Management, LLC. Region U.S. 100 Source: HalseyPoint Asset Management, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Lynn Hopton Chief Investment Officer, 1 30 Managing Partner Lead Portfolio Manager Yvonne Stevens Chief Operating Officer, 1 28 Managing Partner Portfolio and Risk Management Lee-Mike Zapata Senior Analyst Senior Analyst and Head Trader 1 13 Source: HalseyPoint Asset Management, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant HalseyPoint CLO I 2019 — 4Q21 460 460 R BSL No R – Reinvesting. Source: HalseyPoint Asset Management, LLC.
Organizational Structure
Advantage Capital Holdings, LLC (A-CAP)
PACA-Halsey. LLC Founders’ Ownershipᵃ
HalseyPoint Holdco, LLC
HalseyPoint Asset Management, LLC (Registered Investment Adviser)
ªFounders Lynn Hopton and Yvonne Stevens are managing members of HalseyPoint Holdco, LLC and HalseyPoint Asset Management, LLC. Source: HalseyPoint Asset Management, LLC.
HalseyPoint Asset Management, LLC March 20, 2020226 Structured Finance CLO
The Fitch View — HalseyPoint Asset Management, LLC Key Considerations • New CLO issuer led by the former co-heads of Columbia Management Investment Advisers’ Leveraged Debt Group. • Start-up and substantial CLO equity capital is provided from partner A-CAP. • CLO middle-office, compliance and IT services are all outsourced to third-party providers. Company • HalseyPoint was formed by Lynn Hopton and Yvonne Stevens, former long-time co-heads of Columbia Management Leveraged Debt Group. While ownership is split 50/50 between the founders and insurance holding company A-CAP, Hopton and Stevens act as managing members of HalseyPoint to conduct day-to-day business and make most decisions for the company. The company had its operational launch in July 2019. • The firm entered into a long-term partnership with A-CAP in February 2019, providing capital at the company level and equity investments in its initial CLOs. The capital being provided for ongoing operating expenses supplements the founders’ own equity capital. • A-CAP is a private holding company that owns majority interests in various insurance companies, as well as a separate SEC-registered investment adviser. Investments • The staff consists of portfolio managers Hopton and Stevens, one dedicated loan trader and four senior analysts with a fifth to be added in the first quarter of 2020. The investment committee and investment team average 21 and 17 years of credit experience, respectively. • Analysts are encouraged to use their own experience and relationships to source and vet investment opportunities. The firm is targeting coverage of 40 credits per analyst and will hire analysts as growth of credits occurs to maintain that ratio. • HalseyPoint is using Black Mountain Systems for portfolio management, compliance, and trade order management and research. Other subscriptions and services used include: IHS Markit pricing, Xtract Research, CovenantReview, Street research, Moody’s and S&P credit research, LCD, LevFin Insights, S&P Capital IQ, Debtwire, Moody’s Analytics CLO database, Bloomberg, FinDox and CreditFlux. Controls • All new investments require formal committee review and require consensus approval by the recommending analyst, a portfolio manager and the trader. Reviews of holdings within each industry are conducted quarterly. • Indenture tests are monitored through Black Mountain interface using data imported from various sources (prices, ratings, cash/settlement detail from U.S. Bank middle office). • HalseyPoint has engaged third-party provider Orical LLC to set up and manage its compliance process. Critical services provided include compliance manual maintenance, code of ethics training, quarterly compliance training, personal trade monitoring, and SEC and other required filings. Operations and Technology • HalseyPoint outsources the middle-office function to U.S. Bank for loan data administration, reporting and compliance, cash activity and reconciliation, and trading and settlements. • HalseyPoint’s internal director of operations further manages account administration functions with a focus on data integrity, process functionality and coordination among vendors, trustee and investment professionals. • Chief compliance officer and/or the director of operations conduct weekly operations reviews focusing on critical middle-office performance such as reconciliation tag lists, loan closings, data flow, error reports, and vendor issues. • HalseyPoint utilizes Eze Castle Integration to manage its IT platform. Services include IT support, cloud services, cybersecurity services, telecommunications, disaster recovery, archiving, storage, co-location, and internet service. • The firm maintains a business continuity plan for employees, including having access to all data and email in a secured cloud environment via laptops in case of an emergency.
HalseyPoint Asset Management, LLC March 20, 2020227 CLO
HPS Investment Partners, LLC (HPS) is a global investment firm with approximately $61 billion of assets under management (AUM) as of Dec. 31, 2019. Founded in 2007, HPS manages various strategies that invest across the capital structure, from syndicated leveraged loans and high yield bonds to privately negotiated senior secured debt and mezzanine investments, asset-based leasing and private equity. HPS is headquartered in New York with 10 additional offices worldwide and had 146 investment professionals and over 360 employees globally as of Dec. 31, 2019.
U.S. Europe New York, NY London, U.K. 34 10 2012 2017 $56.9 Bil.ª $3.6 Bil.ª $19.6 Bil. $2.1 Bil. 15 4 16 4 aAs of January 2020. Source: HPS Investment Partners, LLC. U.S. Europe 2 2 27 Years 21 Years >20 Years’ Credit Experience 4 — –20 Years’ Credit Experience 7 3 <10 Years’ Credit Experience 5 3 13 Years 8 Years 35–45 20–30 350–400 100–150 — — Source: HPS Investment Partners, LLC.
($ Bil.) 25 20 15 10 5 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: HPS Investment Partners, LLC.
HPS Investment Partners, LLC March 16, 2020228 tr ct red inance
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229 tr ct red inance
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231 Structured Finance CLO
Intermediate Capital Group Intermediate Capital Group (ICG) is a global asset manager focused on alternative assets, primarily within sub-investment-grade corporate credit. ICG manages third-party money through closed- and open-end funds, separate mandates and CLOs. As of Sept. 30, 2019, ICG had assets under management of approximately €41.1 billion.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employees 13 18 CLO Issuance Since 2014 1999 Total Assets Under Management (AUM) $9.3 Bil.a €27.9 Bil.a Leveraged Loan AUM $4.8 Bil.a €7.2 Bil.a Active CLOs Under Management 12 10 Total CLOs Managed 12 14 aAs of Sept. 30, 2019. Source: Intermediate Capital Group. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 2 4 PMs Average Experience 17 Years 24 Years Loan Analysts with: >20 Years’ Credit Experience 2 3 10–20 Years’ Credit Experience 3 4 <10 Years’ Credit Experience 5 5 Analyst Team Average Experience 13 Years 13 Years Loan Team Credits Per Analyst 25–35 25–35 Approximate No. of Invested Credits 300–350 300–350 Distressed Credit Specialists / Avg. Experience 4 / 22 Years 2 / 20 Years Source: Intermediate Capital Group.
Credit Fund Management Platform AUM
(€ Bil.) 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 2012 2013 2014 2015 2016 2017 2018 2019ᵃ ᵃAs of Sept. 30, 2019. Source: Intermediate Capital Group.
Intermediate Capital Group March 5, 2020232 tr ct red inance C
ta rea d n an rea d n sset pe sset pe Broadly yndi ated oans 29 C s iddle ar et oans 49 anaged ounts 17 tru tured Credit non C s anaged unds 14 uities 7 ther 1 ther 12 e i n C ient pe . . Insuran e 17 urope Ban 11 ther 9 ension etirement 1 our e Intermediate Capital Group. ndo ment amily ffi e igh et orth o ereign ealth unds ther 2 our e Intermediate Capital Group.
Credit C ittee Experience Years a e it e e ir nd str a ummers ale enior anaging ire tor Global ead of Credit und anagement 4 2 eth at enstein anaging ire tor ortfolio anager 7 24 nthony eyman Co ire tor of Credit esear h enior Credit nalyst 2 ohn al olm Co ire tor of Credit esear h enior Credit nalyst 19 amed as ey person on at least one of the firm s C s. our e Intermediate Capital Group.
E r pean Credit C ittee Experience Years a e it e e ir nd str a ummers ale enior anaging ire tor Global ead of Credit und anagement 4 2 i helle e ngelis anaging ire tor ead of Credit esear h urope 9 24 Ben amin dgar anaging ire tor ortfolio anager 4 2 arry ugiarto anaging ire tor ortfolio anager 14 17 am ugnait anaging ire tor ortfolio anager 4 2 ean a donald anaging ire tor enior Credit nalyst 9 24 our e Intermediate Capital Group.
Intermediate Capital Group ar h 2 2 233 tr ct red inance C
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant ICG C 2 14 1 2 14 4 17 1 2 2 B o ICG C 2 14 2 2 14 1 1 1 2 4 4 1 B es ICG C 2 14 2 14 2 1 2 2 4 4 4 B es ICG C 2 1 1 2 1 4 1 4 19 4 4 B es ICG C 2 1 2 2 1 2 1 1 19 4 4 7 B es ICG C 2 1 1 2 1 1 1 19 4 4 2 B es ICG C 2 17 1 2 17 — 2 19 4 4 2 B es ICG C 2 17 2 2 17 — 4 19 B es ICG C 2 1 1 2 1 — 2 2 4 4 2 B es ICG C 2 1 2 2 1 — 22 4 4 1 B o ICG C 2 1 2 1 — 1 21 4 4 B o ICG C 2 19 1 2 19 — 4 21 4 4 B o – ein esting. – ost rein estment. our e Intermediate Capital Group.
cti e E r pean C s nder ana e ent atest End rt i a ance e i n (€ Mil.) a e inta e eset Ca ri ina C rrent tat s t aul s II 2 1 4 19 4 21 4 1 4 t aul s III 2 1 1 1 1 2 2 t aul s I 2 14 1 4 19 47 479 t aul s 2 14 17 19 1 t aul s I 2 1 1 19 4 4 1 t aul s II 2 17 1 2 19 4 4 2 t aul s III 2 17 — 1 2 4 4 1 t aul s I 2 1 — 2 2 4 4 2 t aul s 2 19 — 2 21 4 4 t aul s I 2 19 — 21 4 4 1 – ein esting. our e Intermediate Capital Group.
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i i — i i l i i ICG’s global presence provides the CLO platform with ample resources. The Credit Fund Management team benefits from the rest of the ICG’s investment teams and l i l are ICG’s core loan and CLO administration system. ICG uses Black Mountain’s Everest platform for portfolio management, trade order
235 Structured Finance
Invesco Senior Secured Management, Inc. management (AUM) as of Dec. 31, 2019. Of this total, $41.1 billion is related to ISSM’s sfully acquired MassMutual’s asset management affiliate OppenheimerFunds, Inc.
Firm Profile Region(s) of CLO Operations Location CLO Related Employees CLO Issuance Since Total Assets Under Management (AUM) — Leveraged Loan AUM Active CLOs Under Management Total CLOs Managed CLO Team Structure
Region(s) Number of CLO Portfolio Managers (PM) PMs Average Experience Loan Analysts with: >20 Years’ Credit Experience 10–20 Years’ Credit Experience <10 Years’ Credit Experience Analyst Team Average Experience Loan Team Credits Per Analyst – – Approximate No. of Invested Credits Distressed Credit Specialists / Avg. Experience
236 tr ct red inance O
an e e p ent ($ il.) 40 3 30 2 20 1 10 0 2010 2011 2012 2013 2014 201 201 201 201 2019
Source In esco Senior Secured Management, Inc. E r pean an e e p ent ($ il.) .0 .0 .0 4.0 3.0 2.0 1.0 0.0 2014 201 201 201 201 2019
Source In esco Senior Secured Management, Inc.
ta rea d n an rea d n ( ) ( ) sset pe sset pe roadly Syndicated oans 100 Os 20 Source In esco Senior Secured Management, Inc. Managed Accounts 12 Managed Funds e i n U.S. 4 urope 1 Source In esco Senior Secured Management, Inc.
Credit C ittee Experience Years a e it e e ir nd str Scott as ind ead of lobal ri ate redit IO 20 23 e in gan Senior ortfolio Manager ortfolio Manager 21 33 om ald Senior ortfolio Manager ortfolio Manager 19 32 Da id u es Senior ortfolio Manager ortfolio Manager 11 2 oe otondo Senior ortfolio Manager ortfolio Manager 21 29 Source In esco Senior Secured Management, Inc.
In esco Senior Secured Management, Inc. Mon. d, 20 237 tr ct red inance O
E r pean Credit C ittee Experience Years a e it e e ir nd str Scott as ind ead of lobal Senior oans IO 20 23 Michael raig Senior ortfolio Manager ortfolio Manager 13 21 e in gan Senior ortfolio Manager ortfolio Manager 21 33 om ald Senior ortfolio Manager ortfolio Manager 19 32 Da id u es Senior ortfolio Manager ortfolio Manager 11 2 oe otondo Senior ortfolio Manager ortfolio Manager 21 29 Source In esco Senior Secured Management, Inc.
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant etony II 201 2 1 3 20 00 00 S es Upland 201 2 1 2 20 400 400 S es Annisa 201 3 1 3 20 400 400 S es iser a 201 2 19 2 20 00 00 S es Milos 201 1 20 1 21 00 4 0 S es arbone 201 — 1 20 00 00 S es Alinea 201 — 3 20 00 00 S es erde 2019 — 2 21 0 00 S es ardot 2019 — 4 21 00 00 S es arbour ie 201 — 2 20 41 3 S o – ein esting. Source In esco Senior Secured Management, Inc.
cti e E r pean C s nder ana e ent atest End rt i a ance e i n (€ Mil.) a e inta e eset Ca ri ina C rrent tat s In esco uropean O I 201 — — 410 410 In esco uropean O II 2019 — — 412 412 In esco uropean O III 2019 — — 409 409 – ein esting. Source In esco Senior Secured Management, Inc.
In esco Senior Secured Management, Inc. Mon. d, 20 238 i
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i i — i M . i i by parent’s investments in the equity of all CLOs. On May 24, 2019, Invesco successfully acquired MassMutual’s asset management affiliate considerations into their investment analysis. However Invesco’s proprietary ESG criteria is not applied to its CLO portfolio construction process and is only used for Invesco’s l i l
240 CLO
Investcorp Credit Management (ICM), previously known as 3i Debt Management, is the global credit investment platform of Investcorp Holdings B.S.C., a global provider and manager of alternative investment products. Investcorp Holdings B.S.C (parent of ICM) focuses on four lines of business: private equity, real estate, alternative investment solutions and credit management. ICM entered the U.S. middle market lending sector through an acquisition in August 2019 by acquiring a majority interest in CM Investment Partners LLC, the investment adviser to Investcorp Credit Management BDC.
U.S. Europe New York, NY London, U.K. 21 25 2005 2004 $5.5 Bil. €6.3 Bil. $5.5 Bil. €6.3 Bil. 11 15 22 26 Source Investcorp Credit Management.
U.S. Europe 3ᵃ 2 28 Years 23 Years >20 Years’ Credit Experience 1 1 –20 Years’ Credit Experience 3 2 <10 Years’ Credit Experience 4 5 14 Years 13 Years 40–50 30–40 350–400 200–250 — — ᵃAs of September 2019, David Endler,portfolio manager and investment committee member, has reduced his employment responsibilities to act exclusively as portfolio manager and investment committee member for Jamestown CLO IV, Ltd. Source: Investcorp Credit Management.
($ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Investcorp Credit Management.
Investcorp Credit Management February 19, 2020241 tr ct red inance
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Credit C ittee Experience Years a e it e e ir nd str radea e Credit and C s i l i i i l i 33 i l ᵃ li li l i ᵇ 3 i li li l i ᵇ ri ate Credit C i l i i i i i 36 i i i i i i i ili 36 ᵃ i l li i i i l i ili i l i l li i i . ᵇ l i i 3i lli . i .
i 242 tr ct red inance
E r pean Credit C ittee Experience Years a e it e e ir nd str
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i i — i M i i n August 2019. As part of the transaction, Michael Mauer, CMIP’s chief investment l i l
245 Structured Finance CLO
Kayne Anderson Capital Advisors, L.P. Kayne Anderson Capital Advisors, L.P. (Kayne) was established in 1984 and currently has 380 employees, 160 of whom are investment professionals. Kayne Anderson Capital Advisors, L.P., which controls both the General Partner and the Investment Manager, is controlled by Ric Kayne. Kayne had firmwide AUM of $31 billion as of Dec. 31, 2019. Primary investment strategies include energy and infrastructure (50%), credit (25%), real estate (23%) and growth equity (2%).
Firm Profile Region(s) of CLO Operations U.S. Location Los Angeles, CA, New York, NY, Chicago, IL, Houston, TX, Boca Raton, FL. CLO Related Employees 26 CLO Issuance Since 2018 Total Assets Under Management (AUM) $31 Bil. Leveraged Loan AUM $2.6 Bil.ª Active CLOs Under Management 6 Total CLOs Managed 6 ªLiquid Credit AUM. Source: Kayne Anderson Capital Advisors, L.P.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 14 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 5 <10 Years’ Credit Experience 4 Analyst Team Average Experience 12 Years Loan Team Credits Per Analyst 30–40 Approximate No. of Invested Credits 300–350 Distressed Credit Specialists / Avg. Experience 8 / 12 Years Source: Kayne Anderson Capital Advisors, L.P.
U.S. Liquid Credit Loan AUM Development ($ Bil.) 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2017 2018 2019 Source: Kayne Anderson Capital Advisors, L.P.
Kayne Anderson Capital Advisors, L.P. February 14, 2020246 tr ct red inance
ta rea d n an rea d n sset pe sset peᵃ
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Credit C ittee Experience Years a e it e ir nd str
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — — — — — –
247 tr ct red inance
e itc ie — a ne nders n Capita d is rs e C nsiderati ns C pan Mike Levitt as Kayne’s new CEO, the The leveraged loans and CLOs are managed through Kayne’s liquid credit group within the entity’s overall credit strategy. The CLO strategy has been growing to $2.4 n est ents C ntr s perati ns and ec n outs and quarterly payment date process. ClearStructure’s
248 Structured Finance CLO
King Street Capital Management, L.P. King Street Capital Management, L.P. (King Street) is a global investment management firm, founded in 1995. Rockford Tower Capital Management, L.L.C. (Rockford Tower), launched in 2017, acts as collateral manager and, if required, risk retention holder for CLOs.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employees Not Reported Not Reported CLO Issuance Since 2017 2018 Total Assets Under Management (AUM) $21.7 Bil. Globally — Leveraged Loan AUM $4 Bil. $2.2 Bil. Active CLOs Under Management 7 2 Total CLOs Managed 7 2 Source: King Street Capital Management, L.P.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 1 2 PMs Average Experience 21 Years 18 Years Loan Analysts with: >20 Years’ Credit Experience Not Reported Not Reported 10–20 Years’ Credit Experience Not Reported Not Reported <10 Years’ Credit Experience Not Reported Not Reported Analyst Team Average Experience Not Reported Not Reported
Loan Team Credits Per Analysta 20–30 10–20
Approximate No. of Invested Creditsb 300–350 100–150 Distressed Credit Specialists / Avg. Experience 52 / 11 Yearsᶜ 52 / 11 Yearsᶜ ªThe dedicated CLO analysts may be responsible for 20–25 credits each, while other analysts may average three to five credits (but up to 10) each. ᵇKing Street expects to maintain a diversified portfolio of approximately 100–150 credits. The firm also tracks the performance of credits it does not currently own. ᶜReflects the global team of research analysts as of Feb. 1, 2020. Source: King Street Capital Management, L.P.
U.S. Loan AUM Development
($ Bil.) 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: King Street Capital Management, L.P.
King Street Capital Management, L.P. March 23, 2020249 tr ct red inance
E r pean an e e p ent
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Credit C ittee Experience Years a e it e e ir nd str
E r pean Credit C ittee Experience Years a e it e e ir nd str
250 tr ct red inance
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — — — —
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i i — i i l M . . i i Parent company, King Street, was established in 1995. Rockford Tower is King Street’s CLO Street’s management committee. l i l
252 Structured Finance CLO
KKR Credit Advisors (US) LLC Credit dvisors LLC Credit is a wholly owned subsidiary of Co. L. . , a global investment firm with appro imately billion in assets under management M as of ec. , . Of this total, Credit managed . billion in global investments. Credit s investments encompass leveraged credit . billion and alternative credit including special situations . billion and private credit . billion .
Firm Profile Region(s) of CLO Operations . . Europe Location an Francisco, C ublin, Ireland CLO Related Employees CLO Issuance Since Total Assets Under Management (AUM) Bil. — Leveraged Loan AUM . Bil. . Bil. Active CLOs Under Management Total CLOs Managed ource Credit dvisors LLC. CLO Team Structure Region(s) . . Europe Number of CLO Portfolio Managers (PM) PMs Average Experience ears ears Loan Analysts with: >20 Years’ Credit Experience — — 10–20 Years’ Credit Experience <10 Years’ Credit Experience Analyst Team Average Experience ears ears Loan Team Credits Per Analyst – – Approximate No. of Invested Credits – Distressed Credit Specialists / Avg. Experience — — ource Credit dvisors LLC.
U.S. Loan AUM Development Bil.
ource Credit dvisors LLC.
Credit dvisors LLC March , 253 tr ct red inance
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254 tr ct red inance O
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matters that may be submitted to a vote of KKR & Co. Inc.’s Class A common stockholders, a number of votes equal holders of KKR & Co. Inc.’s 6.75% Series A Preferred Stock, 6.50% Series B Preferred Stock and Class A investment adviser, which in turn is generally the parent company for most of KKR’s other management and capital preferred return, are allocated to a carry pool, from which carried interest is allocable to KKR’s employees and
256 i C
i i — i i ( ) i i Strong institutional parent in KKR. iversified business and product lines furnish the ability to leverage scale across a broad selection of investment opportunities and companies. Considerable .S. and uropean C investment resources and e perienced staff. verall C platform capabilities have e panded due to Avoca Capital Avoca acquisition in 0 . Managing potential conflicts of interest by maintaining the company’s effective wall of separation between the CLO platform and KKR’s private equity business is a challenge. In 00 , KKR began pursuing debt investments and, among other activities, formed KA , its marketable securities and alternative investment division. In 0 , KA became KKR Credit, which manages across various credit market segments, including bank loans, high yield bonds, C s, directly originated senior secure lending, me anine debt and special situations distressed investments. Avoca was formed in 00 and launched its first uropean C in 00 and a series of subsequent C s followed thereafter. It began managing mutual funds and mandates in 2009. Upon its acquisition, Avoca brought approximately €6.2 billion in AUM to KKR and lifted the number of industry analysts on KKR Credit’s global leveraged credit team. The investment team now consists of 7 individuals 6 .S. and 0 urope . KKR Credit has been managing broadly syndicated loan C s since 005. KKR is a ma ority owner of the equity tranches in all of KKR Credit’s U.S. CLOs as a result of the April 2014 acquisition of KKR inancial oldings C. KKR Credit’s investment philosophy is value oriented, with a focus on fundamentals, strong credit selection and avoiding mistakes. Clearly articulated investment process that is strictly adhered to, beginning with a prescreening phase, which filters out the ma ority of issuers and focuses the detailed credit analysis on those issuers for which an investment is more probable. he process concludes at the credit committee, which makes credit and investment decisions. aily credit meetings provide a forum for discussion among the portfolio managers, credit analysts and traders. All credits are monitored in real time, with news and analyst updates disseminated firmwide through Black ountain verest systems. he firm incorporates environmental, social and governance S or other impact investing considerations into their investment analysis. l Potential conflicts of interest are managed through a global conflicts committee. Specific rules govern how debt funds can invest in KKR originated transactions, notably a rule limiting debt funds to a ma imum holding of . % of any debt class issued by a portfolio company, absent e plicit approval from the conflicts committee. All procedures are well documented, including those governing the management of public and private data. i l A C dedicated operations staff performs a three way daily cash and position reconciliation with both the Black ountain verest compliance module and C indenture trustees. igh degree of integration with the trustee resulting from the advanced technology in place. Prior to e ecution, KKR Credit runs all prospective trades through a robust pretrade compliance process to determine C suitability. KKR Credit’s CLO platform from the parent’s investment in technology related resources. Systems and technology platform are scalable and were developed to handle growth in C issuance. Business continuity plans and cybersecurity measures are appropriate and tested.
KKR Credit Advisors S C arch 5, 0 0257 Structured Finance CLO
LCM Asset Management LLC LCM Asset Management LLC (LCM) is a New York-based loan asset manager. It was formed in 2001 as a third-party money management business with a dedicated focus on U.S. leveraged loans. Prior to parent company Tetragon Financial Group Limited’s (TFG) ownership, LCM was a wholly owned asset management subsidiary of Crédit Agricole S.A. As of Dec. 31, 2019, LCM had approximately $9.1 billion in assets under management (AUM) across 19 CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 16 CLO Issuance Since 2003 Total Assets Under Management (AUM) $9.1 Bil. Leveraged Loan AUM $9.1 Bil. Active CLOs Under Management 19 Total CLOs Managed 30a aDoes not include certain transactions that were developed and previously managed by third parties prior to being assigned to LCM Asset Management LLC. Source: LCM Asset Management LLC. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 31 Years Loan Analysts with: >20 Years’ Credit Experience 4 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 2 Analyst Team Average Experience 17 Years Loan Team Credits Per Analyst Approximately 40 on average Approximate No. of Invested Credits 400 Distressed Credit Specialists / Avg. Experience 1 / 27 Years Source: LCM Asset Management LLC.
U.S. Loan AUM Development ($ Bil.) 10.0 8.0 6.0 4.0 2.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: LCM Asset Management LLC
LCM Asset Management LLC February 28, 2020258 tr ct red inance L
ta rea d n an rea d n ( ) ( ) sset pe sset pe roadly Syndicated Loans L s Source L sset anagement LL . e i n U.S. urope t er Source L sset anagement LL .
Credit C ittee Experience Years a e it e e ir nd str Far oud Tavangar anages L 9 3 arc Sc lura F — anages processes controls and analytics 3 le ander enna Port olio management optimi ation — and special situations 7 Sop ie urore enon — ead o redit nalysis 7 Source L sset anagement LL .
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eseta Ca ri ina C rrent tat s pe C p iant L SL o L SL o L SL o L SL o L SL o L SL o L SL o L SL o L SL o L SL o L — SL o L — SL o L — SL o L — SL o L L F — SL o L — SL o L — SL o L — SL o L — SL o a ertain ma e ole provisions ere in place until or L and or L . einvesting. Source L sset anagement LL .
L sset anagement LL Fe ruary 259 tr ct red inance
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C sset ana e ent C
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e itc ie — C sset ana e ent C e C nsiderati ns 15 years’ The future financial performance of LCM’s parent company, TFG, has e C pan LCM’s product platform offering in Senior portfolio managers (PMs) have an average of 31 years’ corporate loan experience. n est ents LCM’s in C ntr s perati ns and ec n
261 Structured Finance CLO
Loomis, Sayles & Company, L.P. Loomis, Sayles & Company, L.P. (Loomis, Sayles), a SEC-registered investment adviser, is a wholly owned subsidiary of Natixis Global Asset Management, L.P. (NGAM), the U.S.-based subsidiary of Natixis. As of Dec. 31, 2019, the firm had $297.2 billion in assets under management (AUM), including $6.1 billion in leveraged loans.
Firm Profile Region(s) of CLO Operations U.S. Location Boston, MA CLO Related Employees 100 CLO Issuance Since 2006 Total Assets Under Management (AUM) $297.2 Bil. Leveraged Loan AUM $6.1 Bil. Active CLOs Under Management 1 Total CLOs Managed 3 Source: Loomis, Sayles & Company, L.P. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 4 PMs Average Experience 21 Years Loan Analysts with: >20 Years’ Credit Experience 23 10–20 Years’ Credit Experience 20 <10 Years’ Credit Experience 18 Analyst Team Average Experience 18 Years Loan Team Credits Per Analyst 50–60 Approximate No. of Invested Credits 300–350 Distressed Credit Specialists / Avg. Experience 7 / 17 Years Source: Loomis, Sayles & Company, L.P.
U.S. Loan AUM Development ($ Bil.) 12.0 10.0 8.0 6.0 4.0 2.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Loomis, Sayles & Company, L.P.
Loomis, Sayles & Company, L.P. February 14, 2020262 tr ct red inance
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e itc ie — is a es C pan e C nsiderati ns C pan n est ents C ntr s ocus on accountability and oversight due to the parent company’s status as a market perati ns and ec n et Office, CDONet and DST International’s GPS System for accounting.
264 CLO
Madison Capital Funding LLC (Madison), founded in 2001, is a wholly owned subsidiary of New York Life Insurance Company (New York Life) and its subsidiary, New York Life Insurance and Annuity Corporation. Madison is a direct lending finance company that provides senior secured cash flow loans for lower middle market private equity transactions. As of Dec. 31, 2019, Madison had $11 billion in assets under management (AUM), which includes $310 million of equity and mezzanine investments and $3.1 billion of third-party loan assets managed by Madison. In addition, AUM includes approximately $7.6 billion of senior loan commitments for Madison's own account.
U.S. Chicago, IL 101 2013 $11.0 Bil. $10.7 Bil. 6 9 Source: Madison Capital Funding LLC.
U.S. 5 18 Years 20 Years’ Credit Experience — –20 Years’ Credit Experience 15 <10 Years’ Credit Experience 33 12 Years 5–10 3 / 22 Years Source: Madison Capital Funding LLC.
($ Bil.) 12.0 10.0 8.0 6.0 4.0 2.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Madison Capital Funding LLC.
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e itc ie — adis n Capita ndin C e C nsiderati ns Risks associated with Madison’s focus on middle C pan n est ents C ntr s Madison has two dedicated compliance professionals who are integrated into the company’s perati ns and ec n Portfolio accounting is performed in accordance with U.S. GAAP by Madison’s finance and Madison’s business continuity and disaster recovery plans are in place and appropriate and
267 Structured Finance CLO
Marathon Asset Management, LP Marathon Asset Management, LP (Marathon) is a global credit and fixed-income manager. The company invests in a combination of securities, loans and structured products across the capital structure. Marathon has been an active CLO issuer since 2005.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 34 CLO Issuance Since 2005 Total Assets Under Management (AUM) $17.0 Bil.a Leveraged Loan AUM $6.7 Bil.a Active CLOs Under Management 10 Total CLOs Managed 13 aAs of Sept. 30, 2019. Source: Marathon Asset Management, LP CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 25 Years Loan Analysts with: >20 Years’ Credit Experience 5 10–20 Years’ Credit Experience 5 <10 Years’ Credit Experience 1 Analyst Team Average Experience 18 Years Loan Team Credits Per Analyst 30−40 Approximate No. of Invested Credits 200−250 Distressed Credit Specialists / Avg. Experience 14 / 15 Years Source: Marathon Asset Management, LP.
U.S. Loan AUM Development ($ Bil.) 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 a 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 aAs of Sept. 30, 2019. Source: Marathon Asset Management, LP.
Marathon Asset Management, LP March 20, 2020268 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Corporate Credit 54 CLOs 72 Emerging Markets 16 Managed Accounts 16 Structured Credit 17 Managed Funds 12 Commercial Real Estate 13 Region Client Type U.S. 100
Institution 86 Source: Marathon Asset Management, LP. Family Office 1 Fund of Fund 8 Private Bank 1 Marathon 4 Source: Marathon Asset Management, LP.
U.S. Credit Committee Experience (Years) Name Title/Role Firm Industry Bruce Richards Chairman and CEO 22 36 Louis Hanover Partner, CIO 22 30 Andrew Rabinowitz President and COO 18 28 Jamie Raboy Partner, Chief Risk Officer 22 28 Andrew Springer Partner / Head of Structured Credit 17 32 Andrew Brady Partner / Co-Head of Corporate Credit 15 23 Jeff Jacob Partner, / Co-Head of Corporate Credit 2 27 Jason Friedman Managing Director, Executive Committee Member/ Head of Corporate Strategy and Business Development 13 25 Source: Marathon Asset Management, LP.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant MCLO IV 2012 — — 356 33 PR BSL No MCLO V 2013 3Q17 4Q18 614 607 PR BSL No MCLO VI 2014 2Q18 2Q19 490 500 R BSL No MCLO VII 2014 2Q17 2Q18 461 461 PR BSL No MCLO VIII 2015 3Q18 3Q20 461 463 R BSL No MCLO IX 2017 — 2Q19 640 640 R BSL No MCLO X 2017 — 4Q19 535 535 R BSL No MCLO XI 2018 — 2Q20 555 555 R BSL No MCLO XII 2018 — 4Q20 460 460 R BSL No MCLO XIII 2019 — 2Q22 500 500 R BSL No MCLO 14 2019 — 1Q23 400 400 R BSL No PR – Post-reinvestment. R – Reinvesting. Source: Marathon Asset Management, LP.
Marathon Asset Management, LP March 20, 2020269 Structured Finance CLO
Organizational Structure
Marathon Asset Management, LP GP: Marathon Asset Management GP, LLC
MCAP Global Finance (U.K.) LLP
Marathon Asset Management, LP Board
Bruce Richards Louis Hanover Chief Executive Officer, Chief Investment Officer & Chairman & Co-Managing Partner Co-Managing Partner
Marathon Asset Management Executive Committee
Source: Marathon Asset Management, LP.
Marathon Asset Management, LP March 20, 2020270 Structured Finance CLO
The Fitch View — Marathon Asset Management, LP Key Considerations • Diversified credit platform by asset class and investment vehicle, so no overreliance on increasing AUM by issuing additional CLOs. Diversified and well-established investor base demonstrated by repeat investing with the firm. • Resources to the CLO platform are strong. CLOs are supported by an experienced operations staff and sophisticated technology platforms. The risk management function is especially strong relative to peers. Company • Established in 1998, the firm consists of about 170 employees, including 89 investment professionals and more than 80 members in operations. Marathon has offices in New York, London and Tokyo. • Bruce Richards and Louis Hanover are Marathon’s managing partners. The senior team members have worked together for 16 years and have 29 years of industry experience on average. • Marathon has issued 13 CLOs with a total notional value of $5.8 billion. Three of these CLOs were issued before the financial crisis. CLO issuance is contingent on the conviction that market conditions for both loan and CLO liabilities are beneficial for investors. • Marathon was one of nine managers selected by the Federal Reserve to manage PPIP funds. Investments • The firm actively manages CLO portfolios through bottom-up, fundamental credit research. The investment process centers on strong-conviction investing with a focus on downside protection analysis and a review of the full capital structure of companies. • The investment strategy is to find the best performing credits, with recovery given default a primary focus. This could result in the firm working through restructuring or investing in names that the broader market may be selling due to credit concerns. • Marathon typically finds investment opportunities among smaller issuers, especially in current loan market conditions, with larger, more liquid names trading at high levels. • Significant experience at the senior level. The 16-member executive committee averages 25 years of industry experience. The executive committee meets weekly and identifies market themes, trends and risks. Marathon has 11 portfolio managers/traders. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Marathon is an investment adviser registered with the SEC. MCAP Global Finance (UK) LLP, its affiliate, is registered with the U.K. Financial Conduct Authority. • In-house workout team includes legal and restructuring professionals. • The firm conducts potential downside analysis and stress testing for all credits. Rebalancing is based on credit evolution and relative value. • Marathon has compliance and governance processes and policies to support the accuracy of trading, portfolio management and administration functions. Operations and Technology • The leveraged loan team has a dedicated four-person CLO operations unit, in addition to a four-member risk management team. • Cash balances, positions, trades, settlements and financings are verified daily and confirmed with prime brokers and trustees. • Marathon uses Wall Street Office and Allvue (fka Black Mountain Everest) to run daily CLO compliance testing and pro forma trades. • Marathon has established a robust proprietary asset management system for managing loans and CLO portfolios. Additionally, the system incorporates real-time data and generates a variety of reports that provide portfolio, pricing and position data.
Marathon Asset Management, LP March 20, 2020271 Structured Finance CLO
Marble Point Credit Management LLC Marble Point Credit Management LLC (Marble Point) is a specialist asset manager that focuses exclusively on senior secured loans. The firm was founded by Thomas Shandell in partnership with Eagle Point Credit Management LLC (Eagle Point). In addition, Sumitomo Mitsui Trust Bank, Limited and GreensLedge Holdings are strategic partners. In December 2016, Marble Point acquired the CLO management contracts of eight CLOs with majority equity positions in seven of those CLOs from American Capital CLO Management, LLC (ACCLOM). As of Dec. 31, 2019, Marble Point had $4.9 billion in assets under management (AUM).
Firm Profile Region(s) of CLO Operations U.S. Location Greenwich, CT CLO Related Employees 17 CLO Issuance Since 2017 Total Assets Under Management (AUM) $4.9 Bil. Leveraged Loan AUM $4.9 Bil. Active CLOs Under Management 10 Total CLOs Managed 10 Source: Marble Point Credit Management LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 30 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 1 Analyst Team Average Experience 15 Years Loan Team Credits Per Analyst 40–45 Approximate No. of Invested Credits 275–300 Distressed Credit Specialists / Avg. Experience — Source: Marble Point Credit Management LLC.
U.S. Loan AUM Development ($ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2017 2018 2019
Source: Marble Point Credit Management LLC.
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e itc ie — ar e int Credit ana e ent C e C nsiderati ns C pan n est ents rises a subset of Marble Point’s board of managers and investment authority to senior members of Marble Point’s investment team. C ntr s Marble Point’s shared services provider, Eagle Point, is also an SEC previous day’s trading. perati ns and ec n
275 Structured Finance CLO
Mariner Investment Group, LLC Mariner Investment Group, LLC (Mariner) is a New York-based investment manager that focuses on corporate credit either through managed accounts or CLOs. As of Dec. 31, 2019, Mariner managed seven CLOs and had $10.5 billion in global assets under management (AUM).
Firm Profile Region(s) of CLO Operations U.S. Location Dallas, TX; New York, NY CLO Related Employees 19 CLO Issuance Since 2014 Total Assets Under Management (AUM) $10.5 Bil. Leveraged Loan AUM $4.2 Bil. Active CLOs Under Management 7 Total CLOs Managed 7 Source: Mariner Investment Group, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 19 Years Loan Analysts with: >20 Years’ Credit Experience 3 10–20 Years’ Credit Experience 5 <10 Years’ Credit Experience 4 Analyst Team Average Experience 13 Years Loan Team Credits Per Analyst Not Reported Approximate No. of Invested Credits Not Reported Distressed Credit Specialists / Avg. Experience — Source: Mariner Investment Group, LLC.
U.S. Loan AUM Development ($ Bil.) 5.0 4.0 3.0 2.0 1.0 0.0 2014 2015 2016 2017 2018 2019 Source: Mariner Investment Group, LLC.
Mariner Investment Group, LLC March 6, 2020276 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%, As of Sept. 30, 2019) (%) Client Type Asset Type Corporations/Other Institutional 44 CLOs 80 Fund of Funds 20 Managed Accounts 20 Public Pension Plan 15 Source: Mariner Investment Group, LLC. Insurance Companies 9 Corporate Pension Plan 6 Endowments/Foundations 2 HNW/Family Offices/Private Banks 4 Source: Mariner Investment Group, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Elm CLO 2014-1 Ltd. 2014 2Q19 2Q20 500 494 R BSL No Mariner CLO 2015-1 LLC 2015 2Q17 2Q19 500 496 R BSL No Mariner CLO 2016-3 Ltd. 2016 3Q17 3Q19 500 500 R BSL No Mariner CLO 2017-4 Ltd. 2017 — 4Q19 600 600 R BSL No Mariner CLO 5 Ltd. 2018 — 2Q20 500 500 R BSL No Mariner CLO 6 Ltd. 2018 — 3Q20 500 500 R BSL No Mariner CLO 7 Ltd. 2019 — 4Q21 400 401 R BSL No R – Reinvesting. Source: Mariner Investment Group, LLC.
Mariner Investment Group, LLC March 6, 2020277 Structured Finance CLO
The Fitch View — Mariner Investment Group, LLC Key Considerations • The CLO group benefits from Mariner’s shared resources with its parent, ORIX Corporation USA (ORIX), including technology and operations support. • Additional benefits from ORIX’s resources include long-term stability as well as strong financial and organizational support for CLO platform. • Thorough, well-defined credit process that focuses on bottom-up analysis to avoid defaults and preserve capital. Company • A global presence, Mariner and its affiliates employ over 145 professionals in nine locations, including New York, London, Tokyo and Dallas. The firm has a diverse investor base, consisting of public pension funds, fund of funds, corporate pension plans, high-net-worth individuals/family offices, corporate, endowments/ foundations and insurance companies. • The CLO platform consists of 16 investment professionals and forms part of Mariner’s Leveraged Credit team. • The CLO team is led by David Martin and Erik Gunnerson, both of whom have extensive market experience. Martin and Gunnerson were managing an internal loan portfolio at ORIX prior to transferring to Mariner to start the CLO business. Investments • As a buy-and-hold manager, Mariner adheres to its primary investment philosophy of loss avoidance, which dictates relative-value trading. • Industry-focused analysts are responsible for coveringer approximately 35 and 45 credits each. • Analysts retain primary responsibilities for distressed credits but are supported by those with more extensive workout experience. • Credit selection process culminates in a formal committee meeting. A majority is needed for investment approvals, with Gunnerson and Martin retaining veto rights. • The firm incorporates environmental, social and governance (ESG) or other socially conscious investment impact investing considerations into its investment analysis. Mariner became a signatory to the United Nations-supported Principles for Responsible Investment (PRI) in August 2013. Controls • Multiple levels of review and oversight support accuracy of trading, portfolio management and administration functions. • Formalized surveillance process utilizes in-house and third-party systems to track positions and monitor compliance. Parallel checks of all compliance metrics are performed. Operations and Technology • Daily reconciliation of cash and securities with U.S. Bank, the trustee, as well as through Wall Street Office (WSO) and the firm. • All portfolio management and credit analysis functions are conducted in-house, with certain non-investment-related support functions provided by ORIX, supplementing Mariner’s own support functions. • Integrated and flexible platform based on a combination of proprietary analytics (including Keystone, for portfolio analytics) and third-party administration systems, including such widely accepted systems as Black Mountain Systems, WSO and Bloomberg. • Business continuity plans and cybersecurity measures are appropriate and tested.
Mariner Investment Group, LLC March 6, 2020278 Structured Finance CLO
Medalist Partners Corporate Finance Medalist Partners Corporate Finance (MPCF), founded in 2006 and located in Atlanta, is a registered investment adviser with 13 full-time employees, including nine investment professionals. Formerly known as JMP Credit Advisors (JMPCA), a majority stake in the firm was sold by JMP Group (JMP) to Medalist Partners, L.P. (Medalist) in March 2019. JMP has retained a minority interest in MPCF. MPCF currently manages assets totaling $1.5 billion including three CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location Atlanta, GA CLO Related Employees 12 CLO Issuance Since 2007 Total Assets Under Management (AUM) $1.5 Bil. Leveraged Loan AUM $1.5 Bil. Active CLOs Under Management 4 Total CLOs Managed 7 Source: Medalist Partners Corporate Finance. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 30 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience 2 Analyst Team Average Experience 17 Years Loan Team Credits Per Analyst 60-70 Approximate No. of Invested Credits 400 Distressed Credit Specialists / Avg. Experience 2 / 30 Years Source: Medalist Partners Corporate Finance.
U.S. Loan AUM Development ($ Bil.) 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Medalist Partners Corporate Finance.
Medalist Partners Corporate Finance March 17, 2020279 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 100 Source: Medalist Partners Corporate Finance. Region U.S. 100 Source: Medalist Partners Corporate Finance.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Bryan Hamm President and CEO — 14 30 Fred Passenant Managing Director Chief Investment Officer 14 30 Jeremy Phipps Managing Director Portfolio Manager 14 20 Shawn O’Leary Managing Director Portfolio Manager 14 20 Source: Medalist Partners Corporate Finance.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant JMP Credit Advisors CLO III 2014 1Q18 1Q19 371 371 PR BSL No JMP Credit Advisors CLO IV 2017 3Q19 3Q20 457 457 R BSL No JMP Credit Advisors CLO V 2018 — 3Q20 408 408 R BSL No PR – Post-reinvestment. R – Reinvesting. Note: A fifth CLO, Medalist Partners Corporate Finance CLO VI, closed in February 2020. Source: Medalist Partners Corporate Finance.
Organizational Structure
Medalist Partners, LP
50.1% MPCF Investment Team JMP Holding LLC 4.9% 45.0%
Medalist Partners Corporate Finance (MPCF)
Source: Medalist Partners Corporate Finance.
Medalist Partners Corporate Finance March 17, 2020280 Structured Finance CLO
The Fitch View — Medalist Partners Corporate Finance Key Considerations • Formerly known as JMPCA, the firm was sold by JMP to Medalist in March 2019. • The Medalist acquisition provides the former JMPCA platform with a new source of capital for the benefit of growing its CLO business. • Senior management averages 20 years’ relevant investment experience and has worked together since 2006. Company • JMP sold a 50.1% controlling stake of JMPCA to New York-based alternatives specialist firm Medalist in March 2019. JMPCA management bought out 4.9% from JMP and has also been re-branded as MPCF. • JMP has retained a 45% interest in MPCF, and Fitch Ratings has confirmed that no other material changes affecting day-to-day CLO management have occurred as a result of the transaction. • MPCF, founded in 2006 and located in Atlanta, is a registered investment adviser with 13 full-time employees, including nine investment professionals. • Company culture focuses on collaboration and knowledge sharing — all analysts are involved in the pre-committee investment screening process. • The team is led by Bryan Hamm, who has more than 20 years’ industry experience in a variety of senior management positions at Wells Fargo Foothill. Investments • Credit research is focused on developing clear exit strategies for investments by monitoring valuation, industry position and free cash flow to deleverage. • While MPCF considers itself to be a buy-and-hold manager, price movements are closely monitored and declines may result in active selling of positions. • For underwriting decisions, the investment committee is held on an as-needed basis and led by three senior management professionals who average 25 years’ experience. • Portfolio managers are organized by industry, and each team member covers between four and six industries, averaging 55 credits each. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Formalized surveillance process involves various investment team meetings, including investment committee meetings, weekly portfolio management and strategy meetings and quarterly full portfolio reviews, during which internal ratings are reviewed and updated. • Formalized watchlist process includes categorization of issuers by internal risk ratings on a scale of 1–5, with credits rated 3 or below placed on the watchlist. Operations and Technology • Daily reconciliation with trustee of trades and collateral as well as weekly reconciliation with the trustee of asset characteristics via an internal proprietary system. MPCF has a strong relationship and is in constant communication with the trustee. • Adequate investor reporting is available on the trustee website and includes monthly reports. • Integrated and flexible platform based on a combination of proprietary analytics and third- party administration systems. • Appropriate and tested business continuity plan that includes an additional office in Atlanta, daily data backup and remote access for employees.
Medalist Partners Corporate Finance March 17, 2020281 Structured Finance CLO
MeDirect Bank (Malta) plc MeDirect Bank (Malta) plc (MeDirect) is a European bank with offices in London, Belgium and Malta. MeDirect has been active in the European CLO market since 2013 as submanager of Grand Harbour CLO I and issued in 2019 their first European CLO as a CLO manager Grand Harbour CLO 2019-1.
Firm Profile Region(s) of CLO Operations Europe Location London, UK CLO Related Employees 19 CLO Issuance Since 2019 Total Assets Under Management (AUM) €3.0 Bil Leveraged Loan AUM €2.1 Bil Active CLOs Under Management 1 Total CLOs Managed 1 Source: MeDirect Bank (Malta) plc. CLO Team Structure Region(s) Europe Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 17 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 5 <10 Years’ Credit Experience 2 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 20–30 Approximate No. of Invested Credits 200–250 Distressed Credit Specialists / Avg. Experience 2 / 16 Years Source: MeDirect Bank (Malta) plc.
European Loan AUM Development (€ Bil.) 2.5 2.0 1.5 1.0 0.5 0.0 2013 2014 2015 2016 2017 2018 2019 Source: MeDirect Bank (Malta) plc.
March 4, 2020282 RESTRICTED
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284 Structured Finance CLO
MidOcean Credit Fund Management LP MidOcean Credit Fund Management LP (MidOcean) is a New York-based investment manager that specializes in bank loans, high yield bonds, credit derivatives and equities. MidOcean was formed in 2009; as of Dec. 31, 2019, the firm had approximately $8.3 billion in assets under management (AUM) and manages 10 U.S. CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 33 CLO Issuance Since 2013 Total Assets Under Management (AUM) $8.3 Bil. Leveraged Loan AUM $4.6 Bil. Active CLOs Under Management 10 Total CLOs Managed 10 Source: MidOcean Credit Fund Management LP.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 21 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 7 <10 Years’ Credit Experience 5 Analyst Team Average Experience 12 Years Loan Team Credits Per Analyst 35–45 Approximate No. of Invested Credits 400–450 Distressed Credit Specialists / Avg. Experience 8 / 18 Years Source: MidOcean Credit Fund Management LP.
U.S. Loan AUM Development ($ Bil.) 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: MidOcean Credit Fund Management LP.
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288 Structured Finance CLO
MJX Asset Management LLC MJX Asset Management LLC (MJX) is a registered investment adviser and fundamental credit investment firm founded in 2003 by Hans Christensen and Martin Davey. With offices in New York, MJX has a total staff of 43 employees, including 25 investment professionals. MJX has managed 38 CLOs, including 28 CLO 2.0s, since inception.
Firm Profile Region(s) of CLO Operations U.S. Location New York City, NY CLO Related Employees 43 CLO Issuance Since 2003 Total Assets Under Management (AUM) $16.8 Bil. Leveraged Loan AUM $16.8 Bil. Active CLOs Under Management 29 Total CLOs Managed 41 Source: MJX Asset Management LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 5 PMs Average Experience 20 Years Loan Analysts with: >20 Years’ Credit Experience 10 10–20 Years’ Credit Experience 7 <10 Years’ Credit Experience 8 Analyst Team Average Experience 17 Years Loan Team Credits Per Analyst 40−50 Approximate No. of Invested Credits 700−750 Distressed Credit Specialists / Avg. Experience 2 / 22 Years Source: MJX Asset Management LLC.
U.S. Loan AUM Development ($ Bil.) 20.0 15.0 10.0 5.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: MJX Asset Management LLC.
MJX Asset Management LLC February 14, 2020289 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 58 Client Type Managed Funds 30 CLO Investors 62 Region Bank 6 U.S. 51 Managed Accounts 8 Europe 19 Other 24 Other 30 Source: MJX Asset Management LLC. Source: MJX Asset Management LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Hans L. Christensen CEO — 16 42 Martin Davey, CPA Senior PM Senior Portfolio Manager 16 30 Michael G. Regan Managing Director Head of Research 16 26 Kenneth G. Ostmann Managing Director Sector Specialist 16 25 Atha Baugh Managing Director Sector Specialist 15 22 Frederick H. Taylor Managing Director Head of Distressed 13 38 Thomas Vannatta Managing Director Portfolio Manager 13 22 John Calaba Managing Director Portfolio Manager 15 16 Simon Yuan Managing Director Sector Specialist 16 15 Robert R. Gallucci Managing Director Portfolio Manager 14 14 Lewis I Brown, CFA Managing Director Head Trader 13 13 Robert Seda Managing Director Portfolio Manager 13 12 David F. Harrington Managing Director Sector Specialist 13 39 Harold Halappa Managing Director Quantitative Risk 13 29 Lex Ng-To Director Sector Specialist 14 13 Timothy Farrell Director Sector Specialist 8 7 Lara Atallah Director Trader 6 5 Andrew Burns Vice President Analyst 5 4 Josh Benjamin Vice President Analyst 7 6 Fred Bird Managing Director Quantitative Risk 13 23 Jason Harty Analyst Analyst 13 12 Zachary Morin Analyst Analyst 2 1 Casey Lynch Analyst Analyst 2 2 Dane Adelman Analyst Analyst 2 1 Source: MJX Asset Management LLC.
MJX Asset Management LLC February 14, 2020290 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Venture VII CDO 2006 — 1Q11 732 167 PR BSL No Venture VIII CDO 2007 — 3Q11 850 0 PR BSL No Venture X CDO 2012 2Q17 2Q19 425 0 PR BSL No Venture XII CDO 2013 1Q17 1Q18 750 721 PR BSL Yes Venture XIII CDO 2013 3Q17 3Q19 600 593 R BSL Yes Venture XIV CDO 2013 3Q17 3Q19 586 586 R BSL Yes Venture XV CDO 2013 3Q19 3Q21 614 633 R BSL No Venture XVI CDO 2014 1Q18 1Q19 512 513 R BSL Yes Venture XVII CDO 2014 2Q18 2Q19 717 718 R BSL No Venture XVIII CDO 2014 4Q17 4Q19 600 618 R BSL Yes Venture XIX CDO 2015 4Q18 1Q21 461 618 R BSL No Venture XX CDO 2015 4Q17 2Q17 616 556 PR BSL No Venture XXI CDO 2015 4Q17 3Q17 719 719 PR BSL Yes Venture XXII CDO 2016 1Q18 1Q20 401 605 R BSL Yes Venture XXIII CDO 2016 3Q18 3Q19 411 410 R BSL Yes Venture XXIV CDO 2016 — 4Q18 526 526 R BSL No Venture XXV CDO 2016 — 2Q19 602 602 R BSL No Venture XXVI CDO 2017 — 3Q19 528 528 R BSL No Venture XXVII CDO 2017 — 3Q19 614 614 R BSL Yes Venture XXVIII CDO 2017 — 3Q19 587 587 R BSL Yes Venture XXVIIIA CDO 2017 — 3Q19 431 431 R BSL Yes Venture XXIX CDO 2017 — 3Q19 541 541 R BSL Yes Venture XXX CDO 2017 — 1Q20 715 715 R BSL Yes Venture 31 CLO 2018 — 1Q20 820 820 R BSL Yes Venture 32 CLO 2018 — 3Q20 625 625 R BSL Yes Venture 33 CLO 2018 — 3Q20 613 613 R BSL No Venture 34 CLO 2018 — 4Q20 509 509 R BSL Yes Venture 35 CLO 2018 — 4Q20 615 615 R BSL No Venture 36 CLO 2019 — 2Q21 559 559 R BSL No Venture 37 CLO 2019 — 2Q21 506 506 R BSL No Venture 38 CLO 2019 — 3Q21 612 612 R BSL Yes PR – Post-reinvestment. R – Reinvesting. Source: MJX Asset Management LLC.
MJX Asset Management LLC February 14, 2020291 Structured Finance CLO
The Fitch View — MJX Asset Management LLC Key Considerations • Ongoing communication with and transparency to investors, including investor access to quarterly sector review meetings. • Robust three-way reconciliation process promotes surveillance and accuracy of CLO compliance, trade settlement and trustee reporting. • Experience pre-dates MJX, as the senior team founded CLO platforms at previous organizations. Furthermore, staff retention was a goal through the financial crisis, and the team remained intact, despite a slowdown in issuance for a time. Company • MJX is a registered investment adviser and fundamental credit investment firm founded in 2003 by Hans Christensen and Martin Davey. • With offices in New York, MJX has a total staff of 40 employees, including 22 investment professionals. • MJX has managed 38 CLOs, including 28 CLO 2.0s, since inception. • Flat organizational structure allows for open and timely flow of information and ideas among staff, resulting in efficient execution and loan settlement, for which MJX has been recognized in the industry. • Closed first U.S. and EU risk retention-compliant CLO in late January 2016. Investments • Investment process is focused on underwriting to the next 12–18 months of performance. If there is a change in investment thesisfor a particular company, the goal is to reduce exposure quickly. • Style drift is minimized through formal quarterly sector reviews. Investors are invited to attend the meetings, increasing transparency and formalizing investment ideas. • Relative value decisions are the responsibility of all investment staff. Regular "best ideas" meetings facilitate the relative value decisions. • Formalized investment committee process is driven by consensus among all investment professionals. • MJX values trading liquidity and places high importance on diversified portfolios with an average position size of 20–35bps. • Credit analysts are organized by industry and are responsible for covering approximately 700 credits across multiple industries. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis.
Controls
• Independent in-house compliance and legal teams, performing ongoing monitoring and oversight. • Surveillance is ongoing and includes a regular review of watchlist names, weekly relative value assessments and a formal comprehensive quarterly sector review. • Appropriate ongoing due diligence process includes maintenance of internally assigned credit and recovery ratings, as well as an update of the key performance indicators applied to all names. Operations and Technology • Thirteen experienced employees are dedicated to operations and supported by appropriate systems. • Three-way daily reconciliation of cash and positions among MJX, Citi as trustee and Virtus as administrator. • In addition to trustee reports, investor reporting includes quarterly calls wherein each portfolio is reviewed. Additional CLO information is provided in a quarterly newsletter that includes market information and portfolio performance. • Appropriate platform based on both proprietary and industry-standard systems, including RelValuator (proprietary portfolio optimization tool), Wall Street Office and Intex.
MJX Asset Management LLC February 14, 2020292 Structured Finance CLO
Monroe Capital, LLC Monroe Capital, LLC (Monroe) is a Chicago-based lender that was founded in 2004. An established investment management and origination platform that manages both middle-market and broadly syndicated loans, Monroe had assets under management (AUM) of $9.2 billion as of Dec. 31, 2019, including eight CLOs, one CLO warehouse, a public business development company (BDC), a private business development company, private funds and managed accounts.
Firm Profile Region(s) of CLO Operations U.S. Location Chicago, IL CLO Related Employees 40 CLO Issuance Since 2006 Total Assets Under Management (AUM) $9.2 Bil. Leveraged Loan AUM $9.2 Bil. Active CLOs Under Management 8 Total CLOs Managed 9 Source: Monroe Capital, LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 21 Years Loan Analysts with: >20 Years’ Credit Experience 6 10–20 Years’ Credit Experience 11 <10 Years’ Credit Experience 23 Analyst Team Average Experience 10 Years Loan Team Credits Per Analyst 10−20 Approximate No. of Invested Credits 350−400 Distressed Credit Specialists / Avg. Experience 8 / 17 Years Source: Monroe Capital, LLC.
U.S. Loan AUM Development
($ Bil.) 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Monroe Capital, LLC.
Monroe Capital, LLC March 6, 2020293 Structured Finance CLO
To tal AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 2 CLOs 34 Middle Market Loans 98 Managed Accounts 23 Client Type Managed Funds 33 Insurance 10 Other 10 Bank 1 Region Pension / Retirement 64 U.S. 60 Endowment 10 Europe 29 Family Office / High Net Worth 10 Other 11 Sovereign Wealth Funds 2 Source: Monroe Capital, LLC. Other 3 Source: Monroe Capital, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Theodore Koeniga President & CEO President & CEO 14 35 Michael Egana EVP & Chief Credit Officer EVP & Chief Credit Officer 14 35 Tom Aronson MD & Head of Originations Head of Originations 14 35 Zia Uddin MD, PM – Private Credit PM – Private Credit 11 27 Jeremy VanDerMeida MD, PM – CLO & Loan Trading PM CLO & Loan Trading 11 21 Aaron Peck MD, PM – BDC & Opportunistic PM – BDC & Opportunistic 6 27 MD, Head of Head of Alex Franky Direct Underwriting Direct Underwriting 13 27 Carey Davidson MD, Head of Capital Markets Head of Capital Markets 3 21 ªNamed as key person on at least one of the firm's CLOs. Source: Monroe Capital, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Monroe Capital 2014-1 2014 4Q17 4Q16 358 259 PR MML Yes Monroe Capital BSL 2015-1 2015 3Q17 2Q17 412 337 PR BSL Yes Monroe Capital MML 2016-1 2016 3Q16 3Q18 305 303 R MML Yes Monroe Capital MML CLO 2017-1 2017 — 4Q19 405 403 R MML Yes Monroe Capital MML CLO VI 2018 — 2Q20 456 452 R MML Yes Monroe Capital MML CLO VII 2018 — 4Q20 456 451 R MML Yes Monroe Capital MML CLO VIII 2019 — 2Q21 456 451 R MML Yes Monroe Capital MML CLO IX 2019 — 4Q21 454 449 RU MML Yes PR − Post-reinvestment. R – Reinvesting. RU – Ramp-up. Source: Monroe Capital, LLC.
Monroe Capital, LLC March 6, 2020294 Structured Finance CLO
Organizational Structure
Monroe Capital Senior Management
Monroe Capital Management Advisors, LLC (Registered Investment Adviser)
Monroe Capital Asset Monroe Capital Management LLC Monroe Capital CLO Manager LLC Management LLC (Collateral Manager) (Collateral Manager) (Collateral Manager)
Source: Monroe Capital, LLC.
Monroe Capital, LLC March 6, 2020295 Structured Finance CLO
The Fitch View — Monroe Capital, LLC Key Considerations • Experienced leadership; senior management team averages 25-plus years’ industry experience. • Robust operations, compliance and CLO administration platform. Steady and focused hiring in all areas, including underwriting and operations. • Strong alignment of interests; Monroe typically participates in the equity shares of its CLO transactions. Company • Established in 2004, Monroe has six offices located throughout the U.S. and is 100% owned by its senior management team. • Monroe’s origination team is focused on all industry segments, with dedicated professionals in healthcare, technology, media, retail and consumer products and specialty finance verticals. • In addition to its eight outstanding CLOs and one outstanding CLO warehouse, with approximately $3.1 billion in loan assets, Monroe oversees roughly $5.2 billion in assets through private capital vehicles. An affiliate, Monroe Capital BDC Advisors, LLC, also operates a BDC (NASDAQ: MRCC) with assets of approximately $635 million. • Monroe believes its participation across both the middle-market and broadly syndicated loan market is a competitive advantage. Investments • The investment team has over 70 professionals with an average of 18 years of credit, private equity and investment experience. Twenty-one of those professionals are dedicated to origination of new deals. • Monroe originated and agented $9.3 billion of its managed loans. • Monroe relies on fundamental analysis supplemented by quantitative analytics and portfolio management techniques. • Eight-member formal investment committee, with unanimous approval required. • Healthy deal flow of over 2,000 transactions annually, of which only 150–200 will ultimately receive investment committee approval. • Monroe has a strong and experienced team of 45 underwriters, who typically manage between 10 and 20 loans depending on type (directly originated versus broadly syndicated). • Monroe utilizes an internal grading system to identify credits in need of heightened attention. Monthly and quarterly meetings are held with the investment committee, portfolio managers and analysts to discuss the portfolio and individual credits. Ratings on a scale of 1–5 are continuously monitored and determine if corrective action will be necessary. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Risk management is led by the chief compliance officer as well as the managing director of operations and compliance. Additional risk management oversite is provided by Monroe’s operating and risk committee, made up of Monroe’s COO, CCO/CFO and two managing directors in Monroe’s operations and compliance groups. • Monroe has engaged a third-party SEC compliance consultant to assist with maintaining strict adherence to various regulations. • Monroe maintains appropriate separation of publicly and privately available information when making investment decisions. Operations and Technology • Daily portfolio compliance is conducted by both the portfolio management team and Monroe’s compliance group. • Ongoing maintenance and support of IT systems and network are provided by Monroe’s IT staff and supplemented by mindSHIFT Technologies, Inc. CDO Sentry support is provided by ClearStructure. • Business continuity and cybersecurity measures are appropriate and tested.
Monroe Capital, LLC March 6, 2020296 Structured Finance CLO
Morgan Stanley Investment Management Inc. Morgan Stanley Investment Management (MSIM), a wholly owned subsidiary of Morgan Stanley, is a global investment manager that provides investment solutions across public and private markets. With a 40+ year history and $552 billion in assets under management (AUM), MSIM's investment strategies span the risk/return spectrum across geographies, investment styles and asset classes, including equity, fixed income, alternatives and private markets. MSIM's Global Fixed Income team manages $93 billion worldwide, with $8.5 billion in leveraged credit. The team takes a balanced approach to investing within a CLO construct, with a focus on credit quality and liquidity. As of Dec. 31, 2019, MSIM was managing $0.8 billion in leveraged loans and had closed one U.S. CLO representing approximately $450 million. Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 30 CLO Issuance Since 2019 Total Assets Under Management (AUM) $93 Bil. Leveraged Loan AUM $0.8 Bil. Active CLOs Under Management 1 Total CLOs Managed 1 Source: Morgan Stanley Investment Management Inc.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 18 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 7 <10 Years’ Credit Experience 7 Analyst Team Average Experience 12 Years Loan Team Credits Per Analyst 30−40 Approximate No. of Invested Credits 150−200 Distressed Credit Specialists / Avg. Experience 1 / 11 Years Source: Morgan Stanley Investment Management Inc.
U.S. Loan AUM Development
($ Bil.) 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0.0 2019 Source: Morgan Stanley Investment Management.
Morgan Stanley Investment Management Inc. April 7, 2020297 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 39 CLOs 54 Broadly Syndicated Loans 1 Managed Accounts 42 High Yield Bonds 8 Managed Funds 4 Structured Credit (non-CLOs)a 12 Region Otherb 40 U.S. 73 Client Type Europe 27 Insurance 5 Source: Morgan Stanley Investment Management Inc. Bank 24 Pension/Retirement 15 Endowment 1 Family Office / High Net Worthc 34 Sovereign Wealth Funds 21 aIncludes agency RMBS, non-agency RMBS, ABS, agency CMBS and CMBS. bIncludes Treasuries, agency, sovereign, emerging markets, convertibles, municipals, cash and cash equivalents. cIncludes mutual funds and family offices and high net worth individuals. Source: Morgan Stanley Investment Management Inc.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Michael Feeney Managing Director Portfolio Manager, Head of Leveraged Loans, Co-Head of Leveraged Credit 1 22 Richard Lindquist Managing Director Portfolio Manager, Head of High Yield, Co-Head of Leveraged Credit 8 37 Anuj Gulati Managing Director Head of Credit Research 10 18 High Yield & Leveraged Loans Jack Cimarosa Executive Director 7 14 Portfolio Manager and Trader Joseph Hurley Executive Director Senior Credit Analyst 5 15 Source: Morgan Stanley Investment Management Inc.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant 522 Funding CLO 2019 — 1Q22 450 450 RU BSL Yes RU − Ramp-up. Source: Morgan Stanley Investment Management Inc.
Morgan Stanley Investment Management Inc. April 7, 2020298 Structured Finance CLO
Organizational Structure
Morgan Stanley (U.S. Public Corporation 100%)
Morgan Stanley Investment Morgan Stanley Wealth Institutional Securities Group Management Management (ISG) (MSIM) (MSWM) Collateral Manager
Source: Morgan Stanley Investment Management Inc.
Morgan Stanley Investment Management Inc. April 7, 2020299 Structured Finance CLO
The Fitch View — Morgan Stanley Investment Management Key Considerations • The MSIM CLO platform is led by Michael Feeney, former head of Credit and High Yield Portfolio Management at Assurant, Inc. • The leveraged credit team within MSIM specializes in non-investment-grade credit strategies and has been managing leveraged loans since 2014. • The MSIM CLO platform is backed financially by its parent Morgan Stanley and is composed of an experienced team of professionals fulfilling roles in credit, operations and compliance. Company • MSIM is a wholly owned subsidiary of Morgan Stanley. • MSIM's investment strategies span the risk/return spectrum across geographies, investment styles and asset classes, including equity, fixed income, alternatives and private markets. • MSIM closed its first CLO in 2019 and seeks to build a scalable CLO platform that will become a frequent issuer of broadly syndicated loan (BSL) CLOs going forward. • The firm currently manages accounts backed by high-yield bonds and leveraged loans. Additional credit resources were brought on board to strengthen the firm’s platform for CLO issuance. Investments • The investment process reflects a team-oriented approach requiring majority approval by its five-person CLO investment committee. • MSIM’s CLO platform is comprosed of an experienced group of credit analysts. Each senior analyst is expected to cover approximately 30–40 credits. • Sourcing and execution of loan trades are aided by established relationships with capital markets and trading desks at the top banks. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • The firm has adequate tools in place to help identify risks and monitor and identify credit trends within industry sectors and individual companies. • The firm’s experienced team of investment professionals oversees the management of Wall Street Office (WSO), which serves as the internal account and middle/back office. Operations and Technology • The portfolio management team receives daily reports detailing CLO compliance results and pretrade compliance results. • Cash and position reconciliation is completed by WSO, a reputable third-party. MSIM is migrating from WSO compliance to Black Mountain systems and will rely on it for various functions including CLO compliance. • The firm has adequate disaster recovery plans in place, supported by Morgan Stanley’s extensive resources, including the ability to work remotely in the event of a business disruption. • Business continuity and cybersecurity measures are appropriate and tested.
Morgan Stanley Investment Management Inc. April 7, 2020300 Structured Finance CLO
Napier Park Global Capital Napier Park Global Capital (Napier Park) is an independent alternative asset management firm focused on investment opportunities in specialized credit. As of Dec. 31, 2019, Napier Park had estimated assets under management of $14 billion, of which $6.6 billion related to CLO management. Napier Park established Regatta Loan Management LLC (RLM) in 2015 as an independent risk retention compliant (in U.S. and Europe) capitalized manager vehicle.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employees 16 8 CLO Issuance Since 2007 2019 Total Assets Under Management (AUM) $14.0 Bil. — Leveraged Loan AUMa $6.0 Bil. $0.6 Bil. Active CLOs Under Management 12 1 Total CLOs Managed 20 1 aReflective of loans held by CLOs managed by Napier Park and CLO management assets. Inclusive of U.S. and European CLO management business lines. Source: Napier Park Global Capital.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 3 3 PMs Average Experience 26 Years 22 Years Loan Analysts with: >20 Years’ Credit Experience 3 — 10–20 Years’ Credit Experience 3 — <10 Years’ Credit Experience 2 5 Analyst Team Average Experience 15 Years 7 Years Loan Team Credits Per Analyst Not Reported Not Reported Approximate No. of Invested Credits Not Reported Not Reported Distressed Credit Specialists / Avg. Experience — — Source: Napier Park Global Capital.
Global CLO Loan AUM Development ($ Bil.) 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Napier Park Global Capital.
Napier Park Global Capital March 17, 2020301 Structured Finance CLO
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Daniel Slotkin Managing Director Business Head 29 29 Melanie Hanlon Managing Director Head of Credit Research 20 27 Robert O’Brien Managing Director Head Trader 22 23 Source: Napier Park Global Capital.
European Credit Committee Experience (Years) Name Title Role Firm Industry Michael Micko Managing Director Head of European Credit Strategies 16 28 Julia He Managing Director Portfolio Manager 16 25 Mohammed El Khazzar Managing Director Portfolio Manager 7 13 Source: Napier Park Global Capital.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Regatta II 2013 2Q19 1Q20 415 415 R BSL No Regatta VI 2016 4Q18 3Q19 408 408 R BSL Yes Regatta VII 2016 4Q18 3Q19 407 407 R BSL Yes Regatta IX 2017 — 2Q19 406 406 R BSL Yes Regatta VIII 2017 — 4Q19 512 512 R BSL Yes Regatta X 2017 — 1Q20 534 534 R BSL Yes Regatta XI 2018 — 3Q20 500 500 R BSL Yes Regatta XIII 2018 3Q18 3Q20 565 565 R BSL No Regatta XIV 2018 3Q18 4Q20 690 690 R BSL No Regatta XV 2018 4Q18 4Q20 600 600 R BSL No Regatta XII 2019 — 4Q21 408 408 R BSL Yes Regatta XVI 2019 — 1Q22 600 600 R BSL Yes R − Reinvesting. Source: Napier Park Global Capital.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Henley CLO I 2019 — 3Q21 400 400 R R − Reinvesting. Source: Napier Park Global Capital
Napier Park Global Capital March 17, 2020302 Structured Finance CLO
Organizational Structure
Napier Park Global Capital
Napier Park Global Capital Regatta Loan Napier Park Global Capital (US) LP Ltd. Management LLC (U.S .Collateral Manager) (European Collateral Manager) (U.S. Collateral Manager) − Advises Certain US CLOs − Advises certain European − Advises certain U.S. CLOs − Staff and services provider and CLOs structuring and advisory provider to Regatta Loan Management LLC
Source: Napier Park Global Capital.
Napier Park Global Capital March 17, 2020303 Structured Finance CLO
The Fitch View — Napier Park Global Capital Key Considerations • The investment team at Napier Park has been managing U.S. CLOs since 2007. • Napier Park’s senior portfolio management is stable and experienced; the U.S. and European portfolio managers average more than 23 years’ experience in the loan market and have worked together as a team for over 18 years. Company • Napier Park is an independent alternative asset management firm focused on investment opportunities in corporate and specialized credit. • For the management of certain U.S. CLOs, Napier Park has entered into a staff and services agreement and structuring and advisory services agreement with RLM, the retention holder for the purpose of satisfying the risk retention requirements of those CLOs. • Napier Park had $6 billion in U.S. CLOs and $0.6 billion in European CLOs under management as of Dec. 31, 2019. • In addition to portfolio managers, the CLOs are supported by eight credit analysts in the U.S., with an average of 15 years’ experience, and four credit analysts in Europe, with an average of 8 years’ experience Investments • Napier Park has an active portfolio management strategy focusing on principal preservation, supplemented by continuous evaluation of relative value and market standards. • The investment committee consists of three senior managing directors. Portfolio reviews and investment decisions are driven from bottom-up credit analysis supported by proprietary research. • Watchlist analysis includes perception of risk and potential for loss with a focus on financial performance, liquidity, industry deterioration and management dynamics. • Formalized ongoing surveillance includes daily review of relevant news related to names in the portfolio, the general economic and loan environment, price movements, relative value, industry developments and cash positions. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Automated daily credit-risk monitoring process to track portfolio positions and key risks. • The company has multiple levels of review and oversight to support accuracy of trading, portfolio management and administration functions. • Investment risk and CLO performance are monitored through daily reports received by Virtus. • Risk, valuation, fiduciary, new product and technology steering committees provide comprehensive oversight and governance. Operations and Technology • Established relationship between Virtus and the trustee provides a seamless loan processing platform. • An integrated and flexible platform is based on a combination of proprietary analytics and third-party administration systems, including widely accepted industry systems. • Front- to middle-office position monitoring and order management systems are efficient and robust. • The business continuity plan and cybersecurity measures are appropriate and tested.
Napier Park Global Capital March 17, 2020304 CLO
ounded in assau Corporate Credit assau is financed by assau e a portfolio company of Golden Gate Capital a San rancisco based multibillion dollar private e uity firm. assau has strong insurance ties through its parent company assau e a multibillion dollar insurer that speciali es in life insurance annuities long term care asset management life insurance sales and distribution. s of ec. assau had appro imately . billion in assets under management UM across four active CLOs.
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307 Structured Finance CLO
Newfleet Asset Management, LLC Newfleet Asset Management, LLC’s (Newfleet) only line of business is investment management. Newfleet receives 100% of its revenue from managing fixed-income products. It provides investment management services to foundations, endowments, corporations, public funds, multi-employer plans and mutual funds. It had $10.6 billion in assets under management (AUM) as of Dec. 31, 2019, most of which comprised mutual funds. Newfleet manages a variable insurance trust, four closed-end funds, three exchange-traded funds and an offshore fund. Newfleet’s business also includes $1.7 billion of institutional AUM, which consists of pension/E&F separate accounts, structured product (CLO/CDO) and sub-advisory roles. Firm Profile Region(s) of CLO Operations U.S. Location Hartford, CT CLO Related Employees 35 CLO Issuance Since 2016 Total Assets Under Management (AUM) $10.6 Bil. Leveraged Loan AUM $1.7 Bil.
Active CLOs Under Management 1 Total CLOs Managed 1 Source: Newfleet Asset Management, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 22 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 5 Analyst Team Average Experience 11 Years Loan Team Credits Per Analyst 40−50 Approximate No. of Invested Credits 200−250 Distressed Credit Specialists / Avg. Experience — Source: Newfleet Asset Management, LLC.
U.S. Loan AUM Development ($ Bil.) 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Newfleet Asset Management, LLC.
Newfleet Asset Management, LLC Februaury 14, 2020308 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 19 CLOs 21 Broadly Syndicated Loans 16 Managed Funds 79 High Yield Bonds 9 Region Structured Credit (non-CLOs) 44 U.S. 88 Client Type Europe 6 Family Office / High Net Worth 2 Other 6 Managed Accounts 92 Source: Newfleet Asset Management, LLC. Other 6 S ource: Newfleet Asset Management, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Kyle Jenningsa Senior Managing Director Portfolio Manager 21 27 Frank Ossinoa Senior Managing Director Portfolio Manager 7 24 Eric Hessa Managing Director Portfolio Manager 9 13 David Albrychta,b President Chief Investment Officer 35 35 ªNamed as key person on at least one of the firm's CLOs. ᵇKey person but not a committee member. Source: Newfleet Asset Management, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Newfleet CLO 2016-1 2016 2Q18 1Q20 350 351 R BSL No R – Reinvesting. Source: Newfleet Asset Management, LLC.
Organizational Structure
Virtus Investment Partners, Inc. (NASDAQ: VRTS) (Delaware, U.S.)
Virtus Partners, Inc. (Delaware, U.S.) (Holding Company)
Newfleet Asset Management, LLC (Delaware, U.S.) (Registered Investment Adviser)
Source: Newfleet Asset Management, LLC.
Newfleet Asset Management, LLC Februaury 14, 2020309 Structured Finance CLO
NXT Capital Investment Advisers, LLC Formed in 2011, NXT Capital Investment Advisers, LLC (NXT Advisers) is a wholly owned subsidiary of NXT Capital Group, LLC (NXT Capital), a middle market commercial finance company founded by former employees of Merrill Lynch Capital and Heller Financial. As of Sept. 30, 2019, NXT Advisers had assets under management (AUM) totaling $8.63 billion, all invested in middle market loans.
Firm Profile Region(s) of CLO Operations U.S. Location Chicago, IL CLO Related Employees 80 CLO Issuance Since 2012 Total Assets Under Management (AUM) $8.63 Bil.ᵃ Leveraged Loan AUM $8.63 Bil.ᵃ Active CLOs Under Management 3 Total CLOs Managed 6 ªAs of Sept. 30, 2019. Source: NXT Advisers.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 27 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 9 <10 Years’ Credit Experience 26 Analyst Team Average Experience 10 Years Loan Team Credits Per Analyst 5–10 Approximate No. of Invested Credits 150–200 Distressed Credit Specialists / Avg. Experience 3 / 15 Years Source: NXT Advisers.
U.S. Loan AUM Development ($ Bil.) 10.0 8.0 6.0 4.0 2.0 0.0 2012 2013 2014 2015 2016 2017 2018 2019ᵃ ᵃAs of Sept. 30, 2019. Source: NXT Advisers.
NXT Capital Investment Advisers, LLC February 14, 2020310 tr ct red inance
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r ani ati na tr ct re
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e itc ie — Capita n est ent d isers C e C nsiderati ns C pan n est ents NXT Advisers’ The firm adheres to clearly defined “credit boxes” as part of its loan underwriting process. C ntr s perati ns and ec n closings on CDO Sentry, NXT’s CLO compliance module.
312 Structured Finance CLO
NYL Investors LLC NYL Investors LLC (NYL Investors) is an affiliate of New York Life Investment Management LLC (NYLIM) and a direct, wholly owned subsidiary of New York Life Insurance Company (New York Life), the largest mutual life insurance company in the U.S. Founded in 2013, NYL Investors provides institutional asset management, retail investment and retirement solutions services. As of Dec. 31, 2019, it had assets under management (AUM) totaling $259 billion, of which $14.8 billion was managed by the high-yield credit group.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 31 CLO Issuance Since 2001 Total Assets Under Management (AUM) $14.8 Bil. Leveraged Loan AUM $6.5 Bil. Active CLOs Under Management 7 Total CLOs Managed 18 Source: NYL Investors LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 4 PMs Average Experience 30 Years Loan Analysts with: >20 Years’ Credit Experience 7 10–20 Years’ Credit Experience 1 <10 Years’ Credit Experience 3 Analyst Team Average Experience 21 Years Loan Team Credits Per Analyst 40-50 Approximate No. of Invested Credits 450-500 Distressed Credit Specialists / Avg. Experience — Source: NYL Investors LLC.
High-Yield Credit Group Assets Under Managementª ($ Bil.) 16 14 12 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 ªIncludes loans and high-yield bonds. Source: NYL Investors LLC.
NYL Investors LLC February 14, 2020313 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 44 CLOs 47 High Yield Bonds 56 Managed Accounts 22 Client Type Managed Funds 31 Insurance 66 Region Managed Accounts 34 US 100 Source: NYL Investors LLC. Source: NYL Investors LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Robert Diala Managing Director Head of High Yield/ Portfolio Manager 18 29 Mark Campellonea Managing Director Portfolio Manager/ Head of Loan Trading 17 36 Arthur Torreya Managing Director Portfolio Manager — Loans 14 27 Paul Yee Managing Director Portfolio Manager/ Head of HY Trading 19 30 Elizabeth Managing Director Portfolio Manager — Loans Standbridge 16 24 David Melka Managing Director Co-Head of Credit Research 21 31 Jeanne M. Cruz Managing Director Co-Head of Credit Research 19 30 ªNamed as key person on at least one of the firm's CLOs. Source: NYL Investors LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Flatiron CLO 2015-1 2015 3Q17 — 415 360 PR BSL Yes
TCI-Flatiron CLO 2016-1ᵃ 2016 1Q19 — 408 400 R BSL No Flatiron CLO 17 2017 — 2Q19 408 400 R BSL Yes TCI-Flatiron CLO 2017-1ᵃ 2017 — 4Q19 512 500 R BSL No Flatiron CLO 18 2018 — 2Q20 512 500 R BSL Yes TCI-Flatiron CLO 2018-1ᵃ 2018 — 1Q21 507 500 R BSL No Flatiron CLO 19 2019 — 4Q21 407 400 R BSL No PR – Post-reinvestment. R – Reinvesting. Source: NYL Investors LLC.
NYL Investors LLC February 14, 2020314 Structured Finance CLO
The Fitch View — NYL Investors LLC Key Considerations • Resources and support from New York Life are substantial and give the management team added flexibility, especially in terms of executing portfolio ramp-up. • Cohesiveness of the loan team and experience of senior portfolio managers (PMs) and credit analysts. • More selective new CLO issuance compared with other large institutional managers. Company • NYL Investors is an affiliate of NYLIM, one of the largest asset management firms in the U.S., and is a wholly owned subsidiary of New York Life, one of the largest and highest rated life insurance companies in the U.S. • The high-yield credit group averages 21 years of experience through various credit cycles. • NYL Investors has the ability to leverage research, analytical and trading resources from its parent, New York Life, as well as financial resources in the form of investments in CLO transactions and credit lines for portfolio ramp-up. • NYL Investors and its affiliates frequently hold equity and debt interest in its transactions. Investments • The focus is on the higher credit quality portion of the loan market, generating income and avoiding losses through credit selection. • The credit committee consists of five fixed income PMs and two co-heads of research. • Credit approval is performed through a disciplined committee-based process in which an analyst presents to the credit committee, composed of senior members of the team. The committee package contents are driven by perceived risk and the team’s determination of an internal credit rating. • Credit selection process includes determination of portfolio suitability, which reflects a more individualized, portfolio-by-portfolio approach to investments. • Credit analysts are generalists, covering on average three sectors and actively monitoring approximately 40–50 credits. Controls • Portfolio management takes place through daily monitoring as well as weekly, monthly and quarterly in-depth reviews covering various aspects of the portfolio, including trends, relative value, financial statement analysis and new deals. • Very high standards for risk management and control oversight structure. • NYL Investors has compliance and governance processes in place to support accuracy of trading, portfolio management and administration functions. Operations and Technology • The high-yield credit group is supported by 10 dedicated operations professionals and two legal professionals. The overall operations group consists of over 70 individuals. • Enterprise-level legal and compliance resources are provided to NYL Investors, demonstrating commitment to best practices across the entities. • The business continuity plan is appropriate and regularly tested and includes nightly data backup to a remote, secure location. • Integrated and flexible platform based on a combination of proprietary analytics and third- party administration systems, including industry-standard systems such as BlackRock’s Aladdin platform, Wall Street Office and Thomson Reuters LPC, among others.
NYL Investors LLC February 14, 2020315 Structured Finance CLO
Oak Hill Advisors, L.P. Oak Hill Advisors, L.P. (including its affiliated investment advisers and predecessor firms, OHA) was founded in 1991 and has 312 employees across offices in six key global locations. OHA invests in CLOs, leveraged loans, high yield bonds, structured products and distressed securities through managed accounts and funds. As of Nov. 1, 2019, OHA had global assets under management (AUM) of approximately $36.5 billion.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employees 66 17 CLO Issuance Sincea 2001 2006 Total Assets Under Management (AUM)b $32.0 Bil. $4.5 Bil. Leveraged Loan AUMb $19.2 Bil. Not Reported Active CLOs Under Management 18 5 Total CLOs Managed 28 7 aEstimated as of Nov. 1, 2019, pro forma for capital flows during the month. Includes net asset value, portfolio value and/or unfunded capital. Uses respective USD exchange rates as of month end for any non-USD assets. All uninvested capital (including cash) is allocated pro rata among applicable asset classes based on recent portfolio composition. Additional information on calculation methodology is available upon request. Source: Oak Hill Advisors, L.P
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 1 1 PMs Average Experience 21 Years 20 Years Loan Analysts with: a >20 Years’ Credit Experience 9 1 10–20 Years’ Credit Experience 13 6 <10 Years’ Credit Experience 35 8 Analyst Team Average Experiencea 10 Years 11 Years Loan Team Credits Per Analyst 60–70 60–70 Approximate No. of Invested Credits 450–500 450–500 Distressed Credit Specialists / Avg. Experience 6 / 21 Years 3 / 17 Years a As of Dec. 31, 2019. Excludes traders, senior advisors and mortgage strategy professionals. Source: Oak Hill Advisors, L.P.
Oak Hill Advisors, L.P. February 28, 2020316 tr ct red inance
ta e e p ent
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E r pean Credit C ittee Experience Years a e it e e ir nd str
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — — — — — — — — – –
cti e E r pean C s nder ana e ent atest End rt i a ance e i n (€ Mil.) a e inta e eset Ca ri ina C rrent tat s — — –
318 i
i i — ill i . . i i OHA’s 53 partners/managing directors l i l
319 Structured Finance CLO
Oaktree Capital Management, L.P. Oaktree Capital Management, L.P. (Oaktree) is a global investment manager that was founded in 1995. As of Dec. 31, 2019, the company managed approximately $124.7 billion across four broad asset classes: credit, private equity, real assets and listed equities. Senior loans account for approximately $10.9 billion in assets under management (AUM), with $8.5 billion managed via broadly syndicated CLOs.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Los Angeles, CA London, U.K. CLO Related Employees 17 15 CLO Issuance Since 2012 2014 Total Assets Under Management (AUM) 124.7 Bil. Globally Leveraged Loan AUM $6.7 Bil. $4.1 Bil. Active CLOs Under Management 9 6 Total CLOs Managed 18 6 Source: Oaktree Capital Management, L.P. CLO Team Structure
Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 1 1 PMs Average Experience 30 Years 22 Years Loan Analysts with: >20 Years’ Credit Experience 1 1 10–20 Years’ Credit Experience 6 5 <10 Years’ Credit Experience 4 5 Analyst Team Average Experience 16 Years 15 Years Loan Team Credits Per Analyst 40−50 20−25 Approximate No. of Invested Credits 450 200 Distressed Credit Specialists / Avg. Experience 31 / 17 Years 31 / 17 Years Source: Oaktree Capital Management, L.P.
U.S. Loan AUM Development
($ Bil.) 9.0 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Oaktree Capital Management, L.P.
Oaktree Capital Management, L.P. March 26, 2020320 Structured Finance CLO
European Loan AUM Development
($ Bil.) 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Oaktree Capital Management, L.P.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 10 CLOs 79 Middle Market Loans 3 Managed Accounts 12 High Yield Bonds 15 Managed Funds 11 Structured Credit (non-CLOs) 1 Region Third Party CLOs 1 U.S. 62 Equities 7 Europe 38 Other 63 Source: Oaktree Capital Management, L.P. Client Type Insurance 12 Pension/Retirement 34 Endowment 6 Family Office/High Net Worth 7 Sovereign Wealth Funds 8 Other 33 Source: Oaktree Capital Management, L.P.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Ronnie Kaplan Managing Director and Portfolio Manager Portfolio Manager 4 30 Source: Oaktree Capital Management, L.P.
European Credit Committee Experience (Years) Name Title Role Firm Industry Madelaine Jones Managing Director and Portfolio Manager Portfolio Manager 17 22 Source: Oaktree Capital Management, L.P.
Oaktree Capital Management, L.P. March 26, 2020321 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Oaktree CLO 2014-1 2014 2Q17 2Q19 455 452 R BSL No Oaktree CLO 2015-1 2015 4Q17 4Q17 512 512 PR BSL No Oaktree CLO 2018-1 2018 — 4Q20 509 509 R BSL No Oaktree CLO 2019-1 2019 — 2Q21 745 745 R BSL No Oaktree CLO 2019-2 2019 — 2Q21 505 505 R BSL No Oaktree CLO 2019-3 2019 — 3Q21 749 749 R BSL No Oaktree CLO 2019-4 2019 — 4Q21 751 751 R BSL No Oaktree EIF III Series I 2016 — 4Q18 602 602 R BSL No Oaktree EIF III Series II 2016 — 3Q19 553 553 R BSL No R – Reinvesting. PR – Post Reinvestment Source: Oaktree Capital Management, L.P.
Oaktree Capital Management, L.P. March 26, 2020322 Structured Finance CLO
The Fitch View — Oaktree Capital Management, L.P. Key Considerations • Global investment manager specializing in sub-investment-grade credit. • Robust CLO platform that features dedicated resources, an experienced investment staff and a demonstrated track record of success. • Systems and processes that successfully meet the specific operational and compliance requirements of managing both U.S. and European CLOs. Company • Oaktree is a global alternative investment management firm with a focus on credit strategies. Today, the firm employs over 900 professionals in 18 cities and 13 countries. • Oaktree’s U.S. senior loans strategy began in 2007, and the European senior loans strategy began in 2009. Oaktree manages loans within various strategies including commingled funds, separately managed accounts and CLOs. • The U.S. and European CLO teams employ experienced professionals, including 21 research analysts, four CLO support staff, three CLO structuring professionals, two traders and two portfolio managers (PMs) who have no research responsibilities. • Experience senior investment team; The U.S. senior loan PM has 30 years’ investment experience, while the European senior loan PM has 22 years’ investment experience. Investments • The investment process centers around a fundamental, bottom-up analysis focused on a company’s financial condition and industry market position. Top-down inputs will be incorporated into the modeling of key performance indicators, although no attempt is made to time markets. • The use of a formalized proprietary credit scoring matrix differentiates Oaktree’s credit process from the peer norm. Each credit’s scoring matrix is updated at the time of any news flow or company announcement. • Senior analysts on the U.S. and European teams are organized by sector, while junior analysts serve as generalists. The investment universe consists of approximately 600 names across active U.S. and European CLOs. Each analyst actively monitors about 20-40 credits. • Position sizing and portfolio diversification are at the discretion of the PMs. Sell decisions are based purely on analysis of the underlying credit and recovery potential, rather than predefined sell triggers. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Overall risk oversight is effected through Oaktree’s risk monitoring team led by its investment risk officer, along with compliance, legal, valuation and internal audit teams. • Oaktree prefers to be either public or private across the whole business. Appropriate controls are in place in the case of exceptions. • Firm-level governance framework is overseen by the board of directors. • Oaktree is subject to regular external audits in addition to internal audits. No material findings have been noted. Operations and Technology • Loan settlement is conducted by Oaktree’s internal trade support team of 20 professionals. • Feeds within Oaktree's accounting system have been fully automated; however, the data feed between Everest and CDO Suite is not automated, but Oaktree has developed HTML solutions to enable some automation. Oaktree’s systems have automated processing for reconciliation using Viteos Redux. • The firm utilizes Everest by Black Mountain Systems for its trade management and compliance system. Geneva, an SS&C product, is used as the main accounting system. CLO compliance testing is effected through CDO Suite. • Disaster recovery plans and cybersecurity measures are appropriate and tested.
Oaktree Capital Management, L.P. March 26, 2020323 Structured Finance CLO
Octagon Credit Investors, LLC Octagon Credit Investors, LLC (Octagon) is an investment adviser that focuses on the management of below-investment-grade corporate debt, primarily leveraged loans, high- yield bonds and structured credit. Octagon was founded in 1994 as a business unit of Chemical Bank (a predecessor of JPMorgan Chase & Co.) to create asset management capability for below-investment-grade corporate debt investments. In February 2016, Conning & Company (Conning), a Hartford, CT-based investment management firm, acquired 82% of Octagon. Octagon employees continue to own 17% of the firm. A former Octagon employee currently holds a 1% ownership stake.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 69 CLO Issuance Since 1999 Total Assets Under Management (AUM) $25.5 Bil. Leveraged Loan AUM $23.7 Bil. Active CLOs Under Management 33 Total CLOs Managed 44 Source: Octagon Credit Investors, LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 22 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 6 <10 Years’ Credit Experience 14 Analyst Team Average Experience 7 Years Loan Team Credits Per Analyst 50−60 Approximate No. of Invested Credits 600−650 Distressed Credit Specialists / Avg. Experience 1 / 14 Years Source: Octagon Credit Investors, LLC. U.S. Loan AUM Development
($ Bil.) 25 20 15 10 5 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Octagon Credit Investors, LLC.
Octagon Credit Investors, LLC March 26, 2020324 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown
(%) (%) Asset Type Asset Type Broadly Syndicated Loans 94 CLOs 73 High Yield Bonds <1 Managed Accounts 19 Third Party CLOs 4 Managed Funds 9 Other 2 Region Client Type U.S. 95 Insurance 19 Europe 3 Bank 43 Other 2 Pension/Retirement 5 Source: Octagon Credit Investors, LLC. Family Office / High Net Worth 2 Managed Accounts 20 Other 10 Source: Octagon Credit Investors, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Andrew Gordon CEO and Co-CIO Investment Committee Member Co-Chief Investment Officer 25 35 Michael Nechamkina Co-CIO and Investment Committee Member Senior Portfolio Manager Senior Portfolio Manager 21 29 Gretchen Lama Senior Portfolio Manager Investment Committee Member 21 21 Lauren Lawa Portfolio Manager Investment Committee Member 16 16 ªNamed as key person on at least one of the firm's CLOs. Source: Octagon Credit Investors, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Octagon XIV 2012 2Q17 3Q19 731 725 R BSL No Octagon XV 2013 2Q17 3Q19 524 519 R BSL No Octagon XVI 2013 2Q18 3Q20 561 558 R BSL No Octagon XVII 2013 1Q18 3Q19 431 427 R BSL No Octagon XVIII 2013 1Q18 2Q20 750 750 R BSL No Octagon XIX 2014 1Q17 2Q16 567 277 PR BSL No Octagon XX 2014 2Q19 2Q21 511 510 R BSL No Octagon Loan Funding 2014 4Q18 4Q20 422 422 R BSL No Octagon XXI 2014 1Q19 1Q21 792 790 R BSL No Octagon XXII 2014 4Q17 1Q20 724 721 R BSL No Octagon 24 2015 1Q19 2Q21 883 883 R BSL No Octagon XXIII 2015 2Q18 2Q19 607 607 R BSL No Octagon 25 2015 1Q18 4Q17 923 923 R BSL No Octagon 26 2016 2Q18 2Q20 519 519 R BSL No Octagon 27 2016 3Q18 3Q20 520 520 R BSL No Octagon 28 2016 4Q18 4Q20 708 707 R BSL No Octagon 29 2016 — 1Q19 511 511 R BSL No R − Reinvesting. PR − Post-reinvestment. Continued on next page. Source: Octagon Credit Investors, LLC.
Octagon Credit Investors, LLC March 26, 2020325 Structured Finance CLO
Active U.S. CLOs Under Management (Continued) Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Octagon 30 2017 — 2Q19 612 612 R BSL No Octagon 31 2017 — 2Q19 561 561 R BSL No Octagon 32 2017 — 3Q19 512 512 R BSL No Octagon 33 2017 — 1Q20 510 510 R BSL No Octagon 34 2017 — 1Q20 461 461 R BSL No Octagon 35 2018 — 1Q20 511 511 R BSL No Octagon 36 2018 — 2Q20 511 510 R BSL No Octagon 37 2018 — 3Q20 611 611 R BSL No Octagon 38 2018 — 3Q20 664 664 R BSL No Octagon 39 2018 — 4Q20 611 611 R BSL No Octagon 40 2019 — 2Q21 606 606 R BSL No Octagon 41 2019 — 2Q21 502 502 R BSL No Octagon 42 2019 — 2Q21 503 503 R BSL No Octagon 44 2019 — 3Q21 508 508 R BSL No Octagon 43 2019 — 4Q21 506 506 R BSL No Octagon 45 2019 — 4Q21 518 518 R BSL No R − Reinvesting. Source: Octagon Credit Investors, LLC.
Organizational Structure Octagon Employees Conning & Company (current and former)
82% 18%
Octagon Credit Investors, LLC
Source: Octagon Credit Investors, LLC.
Octagon Credit Investors, LLC March 26, 2020326 Structured Finance CLO
The Fitch View – Octagon Credit Investors, LLC Key Considerations • As a midsized manager, Octagon benefits from good dealer coverage, allocations and execution while remaining selective on credit and nimble to changes in the market. • Significant credit resources and experience, with the senior management team averaging over 20 years of industry experience and have worked together for a minimum of 15 years at Octagon. • A formalized and disciplined investment process. Octagon has a strong brand name and significant resources. Benefits include diversified revenues, long-term stability and strong organizational support for its robust CLO platform. Company • A registered investment adviser, Octagon was founded in 1994 to manage the in-house, buy- side leveraged loan and high-yield bond business of Chemical Bank, a predecessor of JPMorgan Chase & Co. Octagon was incorporated in December 1998 and separated from The Chase Manhattan Corporation in 1999; at the time, it had approximately $2.1 billion in assets under management. • Octagon specializes in below-investment-grade leveraged loans and high-yield bonds. • In February 2016, Conning, a Hartford-based investment management firm, acquired 82% of Octagon. Octagon employees continue to own 18% of the firm. From July 2008 until February 2016, Octagon was majority owned by an affiliate of CCMP Capital Advisors, LLC. Investments • Team takes a fundamental credit-driven approach and typically employs an active trading strategy. • Analysts identify investment opportunities in both the primary and secondary markets through industry and company analysis supplemented by information from issuers, underwriters, agents, and sales and trading desks as well as discussions with company management. • Octagon focuses on industry dynamics and competitive environments, performance history and prospects, investment sponsors and management, projected cash flow generation, quality and value of underlying collateral, downside protection and relative-value opportunities within an issuer’s capital structure. • Analysts continuously refresh internal ratings and price targets for respective credits. Portfolio managers adjust positions to optimize relative value in consideration of individual fund objectives. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Octagon’s various committees provide trade oversight of areas such as best execution, trade errors, allocation and aggregation, adherence to investment guidelines and related issues for all applicable accounts, including the performing loan business. • Ongoing surveillance includes daily investment committee meetings/office hours as needed, weekly relative-value discussions, watchlist monitoring and monthly and regular portfolio reviews. Operations and Technology • Octagon’s internal accounting team regularly interfaces with each fund’s trustee/administrator to confirm accuracy and compliance with both Octagon’s and the respective fund’s operational risk framework. The firm’s internal accounting team generally reconciles each fund’s cash position on a daily basis. • Senior management reviews all fund performance and portfolio composition regularly to monitor compliance with governing documents. • Octagon has an integrated and flexible platform based on a combination of both proprietary analytics (internal credit rating and portfolio weighting system) and best-in-class third-party systems, including Wall Street Office and Everest. • Disaster recovery plans and cybersecurity measures are appropriate and tested.
Octagon Credit Investors, LLC March 26, 2020327 CLO
OFS Capital (OFS) is a full-service provider of capital and leveraged finance solutions to U.S. corporations. Throughout its history, OFS has been a provider of flexible financing solutions to privately held U.S. corporations. Since 1994, OFS has closed over 4,000 loan transactions aggregating over $12 billion in credit investments. Currently, OFS has $2.5 billion in AUM across its three complementary business lines: middle-market lending, broadly syndicated loans and structured credit. OFS is a brand name and is meant to include Orchard First Source Asset Management, LLC, OFS Capital Management, LLC, and OFS CLO Management, LLC among other entities, as outlined on the following page. U.S. Chicago, IL 20 2003 $2.5 Bil. $2.5 Bil. 5 9 ªAUM figures are preliminary, as of Dec. 31, 2019. Includes invested and committed assets. Source: OFS Capital.
U.S. 1 20 Years 20 Years’ Credit Experience 3 –20 Years’ Credit Experience 3 <10 Years’ Credit Experience 5 14 Years 30–40 300–350 — Source: OFS Capital.
($ Bil.) 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2012 2013 2014 2015 2016 2017 2018 2019 Source: OFS Capital.
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cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — – –
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e itc ie — Capita e C nsiderati ns C pan n est ents greater than 15 years’ experience and three junior analysts. – C ntr s Formal allocation policy in place, which includes a “pre allocation committee” process for all perati ns and ec n
330 Structured Finance CLO
Pacific Asset Management Pacific Asset Management (PAM) is a wholly owned subsidiary of Pacific Life Insurance Company (Pacific Life). PAM’s total assets are managed via separate accounts, registered open-ended mutual funds, exchange traded funds, privately offered pooled investment vehicles and CLOs. Primary disciplines are bank loans, high-yield and investment-grade corporate bonds and structured products. As of Dec. 31, 2019, PAM had approximately $13 billion in assets under management (AUM), including $5.5 billion allocated to bank loan-related strategies.
Firm Profile Region(s) of CLO Operations U.S. Location Newport Beach, CA CLO Related Employees 40 CLO Issuance Since 2017 Total Assets Under Management (AUM) $13 Bil. Leveraged Loan AUM $5.5 Bil. Active CLOs Under Management 2 Total CLOs Managed 2 Source: Pacific Asset Management. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 22 Years Loan Analysts with: >20 Years’ Credit Experience 7 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 5 Analyst Team Average Experience 17 Years Loan Team Credits Per Analyst 30−40 Approximate No. of Invested Credits 250−300 Distressed Credit Specialists / Avg. Experience — Source: Pacific Asset Management.
U.S. Loan AUM Development ($ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Pacific Asset Management.
Pacific Asset Management February 14, 2020331 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 38 CLOs 22 Broadly Syndicated Loans 43 Managed Accounts 49 High Yield Bonds 17 Managed Funds 29 Third Party CLOs 2 Region Client Type U.S. 100
CLO Investors 10 Source: Pacific Asset Management. Corporate 9 Pension/Retirement 6 Taft-Hartley 3 Healthcare 3 Insurance 33 Other 36 Source: Pacific Asset Management.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry JP Leasure Senior Managing Director CLO Portfolio Manager 13 23 Michael Marzouk Managing Director CLO Portfolio Manager 12 22 Bob Boyd Managing Director CLO Portfolio Manager 8 21 Source: Pacific Asset Management.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Trestles CLO 2017-1 2017 — 3Q19 502 504 R BSL No Trestles CLO II 2018 — 3Q20 501 501 R BSL No R – Reinvesting. Source: Pacific Asset Management.
Organizational Structure
Pacific Life Insurance Company
Pacific Global Asset Management LLC
Pacific Asset Management LLC
Source: Pacific Asset Management.
Pacific Asset Management February 14, 2020332 Structured Finance CLO
The Fitch View — Pacific Asset Management Key Considerations • PAM has a well-resourced and stable sponsor in its parent company, Pacific Life. • Credit staff has solid bank loan experience, with managing directors averaging over 22 years in the industry. • While PAM has a limited history managing CLOs (two deals issued as of December 2019), a senior member of the team helped manage 15 CLOs at a previous employer. Company • Pacific Life is the direct parent of PAM. As of Dec. 31, 2019, PAM managed approximately $13 billion in AUM on a fully discretionary basis, including approximately $5.5 billion in bank loan-related strategies. • PAM’s total assets are managed via separate accounts, registered open-ended mutual funds, exchange traded funds, privately offered pooled investment vehicles and structured products (CLOs). The firm focuses primarily on bank loans, high yield and investment-grade corporate bonds and structured products. • PAM has 22 investment professionals, including a 15-member research team organized by industry. The firm’s investment focus is on corporate credit. • The CLO investment team is led by loan veterans JP Leasure and Michael Marzouk, as well as Bob Boyd, who previously helped manage 15 CLOs while at PIMCO. Investments • Bank loan investment focus is primarily on larger, more liquid names. A macro framework serves as a guide for outlooks on sectors and complements bottom-up process on individual credits. • The bank loan team is highly selective on credits, as demonstrated by approximately 80–150 positions within the separate account loan portfolios. • Team meetings are conducted daily covering market developments and trends in addition to developments on individual credits. • Since inception (January 2007), PAM’s bank loan strategy has experienced three defaults, resulting in an annualized default rate of 0.41%. Controls • Full portfolio monitoring reviews and continual use of performance attribution analysis significant to validation of the decision-making process. • PAM’s executive committee, portfolio managers (PMs) and portfolio support professionals meet formally on a quarterly basis to review portfolio positioning, investment views and benchmarks to ensure all investment decisions are known and portfolios are not subjected to unintended risks. • PAM leverages the resources of Pacific Life’s investment and compliance infrastructure. Pacific Global Asset Management provides middle-office, legal, compliance and project management support to PAM and other Pacific Life asset managers. Operations and Technology • PAM outsourced its back-office functions to Virtus Partners, LLC in 2016. Virtus provides CLO administration for PAM, including daily cash and position reconciliations, trade activity and settlement reports and post-trade compliance reporting. • A separate division within Virtus provides middle-office support to PAM and, as such, offers an added layer of monitoring and oversight. • Credit updates are captured in Bloomberg Notes that aggregates information such as portfolio holdings, analyst comments and investment theses for portfolio management and credit teams. • Pre- and post-trade portfolio compliance is monitored using Bloomberg. • Portfolio management tools include Bloomberg, Virtus/Nexus, FactSet, Moody's Analytics and Intex.
Pacific Asset Management February 14, 2020333 Structured Finance CLO
Palmer Square Capital Management LLC Palmer Square Capital Management LLC (Palmer Square) is a Kansas-based investment management firm specializing in credit investments. It was founded in 2009 and, as of Dec. 31, 2019, it had $10.3 billion in assets under management (AUM), including $8.4 billion in loans via 17 CLOs and other managed vehicles.
Firm Profile Region(s) of CLO Operations U.S. Location Mission Woods, KS CLO Related Employees 18 CLO Issuance Since 2013 Total Assets Under Management (AUM) $10.3 Bil. Leveraged Loan AUM $8.4 Bil. Active CLOs Under Management 17 Total CLOs Managed 22 Source: Palmer Square Capital Management LLC. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 4 PMs Average Experience 20 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience 8 Analyst Team Average Experience 10 Years Loan Team Credits Per Analyst 30–40 Approximate No. of Invested Credits 250–300 Distressed Credit Specialists / Avg. Experience — Source: Palmer Square Capital Management LLC.
U.S. Loan AUM Development ($ Bil.) 10 8 6 4 2 0 2013 2014 2015 2016 2017 2018 2019
Source: Palmer Square Capital Management LLC.
Palmer Square Capital Management LLC February 18, 2020334 tr ct red inance
ta rea d n an rea d n sset pe sset pe e i n
C ient pe
Credit C ittee Experience Years a e it e e ir nd str
335 tr ct red inance
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — — — — — — — — — — — — — 2Q –
336 tr ct red inance
e itc ie — a er are Capita ana e ent C e C nsiderati ns C pan r Square’s $10.3 billion of AUM is distributed among the following strategies: n est ents C ntr s perati ns and ec n
337 Structured Finance CLO
Park Avenue Institutional Advisers LLC Park Avenue Institutional Advisers LLC (PAIA) is a subsidiary of The Guardian Life Insurance Company of America (Guardian). The Investment Department of Guardian manages approximately $64 billion across a variety of asset classes. A portion of Guardian’s public fixed income assets under management (AUM) includes the $4.2 billion managed by the high yield and loan team.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 17 CLO Issuance Since 2016 Total Assets Under Management (AUM) $4.2 Bil. Leveraged Loan AUM $3.6 Bil. Active CLOs Under Management 5 Total CLOs Managed 5 Source: Park Avenue Institutional Advisers LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 30 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 6 <10 Years’ Credit Experience 6 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 20−30 Approximate No. of Invested Credits 200−250 Distressed Credit Specialists / Avg. Experience — Source: Park Avenue Institutional Advisers LLC.
U.S. Loan AUM Development ($ Bil.) 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2015 2016 2017 2018 2019 Source: Park Avenue Institutional Advisers LLC.
Park Avenue Institutional Advisers LLC March 6, 2020338 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 83 CLOs 52 High Yield Bonds 17 Managed Accounts 33 Client Type Managed Funds 15 Insurance 100 Region Source: Park Avenue Institutional Advisers LLC. U.S. 100 Source: Park Avenue Institutional Advisers LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry John Blaney Managing Director Portfolio Manager 23 23 Kevin Booth Head of Research Portfolio Managers 11 35 Paul Gillin Managing Director Portfolio Manager, High Yield and Corporate Loans 8 35 Source: Park Avenue Institutional Advisers LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant PAIA 2016-1 2016 3Q18 3Q20 409 409 R BSL No PAIA 2017-1 2017 — 4Q19 456 456 R BSL No PAIA 2018-1 2018 — 2Q21 404 404 R BSL No PAIA 2019-1 2019 — 2Q21 399 399 R BSL No PAIA 2019-2 2019 — 3Q21 400 400 R BSL No R − Reinvesting. Source: Park Avenue Institutional Advisers LLC.
Organizational Structure
The Guardian Life Insurance Company of America (Consolidated) $66.4 Bil. AUM
Guardian Investor Services
Mutual Fund Park Avenue Institutional Advisers GIS Credit Opportunities LLC Sub-Advisory Role Collateral Manager CLO Equity Investor
CLO 1 CLO 2 CLO 3 CLO 4 CLO 5 (PAIA 2016-1) (PAIA 2017-1) (PAIA 2018-1) (PAIA 2019-1) (PAIA 2019-2) $0.4 Bil. AUM $0.45 Bil. AUM $0.4 Bil. AUM $0.4 Bil. AUM $0.4 Bil. AUM
Source: Park Avenue Institutional Advisers LLC.
Park Avenue Institutional Advisers LLC March 6, 2020339 Structured Finance CLO
The Fitch View — Park Avenue Institutional Advisers LLC Key Considerations • PAIA is the credit investment arm of Guardian, a large and stable insurance firm. • The firm has been managing CLOs since 2016 and senior leadership is well versed in the high-yield credit space. • The firm has dedicated in-house resources to support the growing CLO platform. Company • PAIA is owned by Guardian, a Fitch-rated entity. The firm’s history dates back 150 years. • The portfolio management team is composed of experienced senior management that have been managing high-yield investments for several years and throughout various credit cycles. • The firm employs adequate staffing levels across the middle- and back-office support functions, which are completed in house. Investments • While there is no formal credit committee, the investment process is collaborative and every idea is presented by the analyst to each portfolio manager (PM) charged with each specific strategy. • PAIA’s investment philosophy focuses on understanding fundamental bottom-up analysis and valuations across the capital structure. Emphasis is on a credit's fundamental trajectory, stressing positive fundamentals, collateral value, valuation and credit support. • Research analysts review potential investment opportunities across the capital structure. Each analyst covers approximately 30–50 names each. • Dedicated special situations team to handle distressed credits and workouts. Controls • The firm has adequate risk management tools to help track credit-related activity and monitor and identify credit trends. • The firm's middle- and back-office CLO functions are overseen by experienced professionals who have worked within the group for many years. Operations and Technology • The firm has a three-person team responsible for the back-office administration of loans. • PMs are provided with daily reports, including real-time reports of CLO compliance used for trading and pre-trade compliance. • PAIA utilizes Wall Street Office (WSO) for its loan administration and BlackMountain for CLO compliance. • A three-person team is responsible for the back-office administration of loans. • The firm’s disaster recovery plans and cybersecurity measures are appropriate and tested.
Park Avenue Institutional Advisers LLC March 6, 2020340 Structured Finance CLO
Partners Group Partners Group (SIX: PGHN) is a global private markets investment management firm with $94 billion in assets under management (AUM) in private equity, private real estate, private infrastructure and private debt as of Dec. 31, 2019. Approximately $22 billion of its AUM is invested in private debt, including $6.7 billion invested in broadly syndicated loans (through CLOs and other vehicles). Partners Group is headquartered in Zug, Switzerland and has 20 offices globally. The firm employs over 1,400 people and is listed on the SIX Swiss Exchange, with its partners and employees holding a major ownership position.
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. CLO Related Employees 12 15 CLO Issuance Since 2018 2007 Total Assets Under Management (AUM) $ 94 Bil. — Leveraged Loan AUM $ 22 Bil. — Active CLOs Under Management 4 5 Total CLOs Managed 4 6 Source: Partners Group. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 1 1 PMs Average Experience 35 Years 14 Years Loan Analysts with: >20 Years’ Credit Experience 1 1 10–20 Years’ Credit Experience 3 2 <10 Years’ Credit Experience 3 2 Analyst Team Average Experience 12 Years 10 Years Loan Team Credits Per Analyst 40-50 30-35 Approximate No. of Invested Credits 250 150 Distressed Credit Specialists / Avg. Experience — Source: Partners Group.
Global Loan AUM Development
($ Bil.) 25 20 15 10 5 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Partners Group.
Partners Group March 20, 2020341 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%, As of Dec. 31, 2018) (%) Asset Type Asset Type Loans 23 CLOs 57 Equities 48 Managed Accounts 4 Othera 29 Managed Funds 39 Client Type Regiona Insurance 11 U.S. 50 Bank 3 Europe 44 Pension/Retirement 52 Other 6 Endowment 1 aBased on invested amount. Family Office / High Net Worth 3 Source: Partners Group. Sovereign Wealth Funds 4 Managed Accounts 20 Other 6 aIncludes real estate and infrastructure. Source: Partners Group.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Andrew Bellis Managing Director Investment Committee Member 4 21 Scott Essex Partner Investment Committee Member 14 20 Mark Hanslin Senior Portfolio Manager Investment Committee Member 3 35 Jonathan Rothburd Senior Lead Credit Researcher Investment Committee Member 7 11 Surya Ysebaert Managing Director Investment Committee Member 4 21 Source: Partners Group.
European Credit Committee Experience (Years) Name Title Role Firm Industry Andrew Bellis Managing Director Investment Committee Member 4 21 Christopher Bone Partner Investment Committee Member 10 20 Till Schweizer Senior Portfolio Manager Investment Committee Member 13 15 Antoine Cadart Lead Credit Researcher Investment Committee Member 1 13 Surya Ysebaert Managing Director Investment Committee Member 4 21 Source: Partners Group.
Partners Group March 20, 2020342 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Pikes Peak 1 2018 — 2Q20 400 400 R BSL Yes Pikes Peak 2 2018 — 4Q20 400 400 R BSL Yes Pikes Peak 3 2019 — 2Q20 475 475 R BSL Yes Pikes Peak 4 2019 — 3Q21 400 400 R BSL Yes R – Reinvesting. RU – Ramp-up. Source: Partners Group.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Penta 2 2015 3Q17 2Q17 400 400 PR Penta 3 2017 — 4Q19 400 400 R Penta 4 2018 — 2Q20 400 400 R Penta 5 2018 — 4Q20 400 400 R Penta 6 2019 — 3Q21 400 400 R Penta 7 2020 — 1Q22 400 400 R PR − Post-reinvesting. R – Reinvesting. Source: Partners Group.
Organizational Structure
Partners Group Holding AG (Switzerland)
100% 100% Partners Group (USA) Inc. Partners Group (UK) Ltd.
100% 100% Partners Group US Management CLO LLC Partners Group (UK) Management Ltd.
Source: Partners Group.
Partners Group March 20, 2020343 Structured Finance CLO
The Fitch View— Partners Group Key Considerations • Partners Group leverages its global investment platform and market knowledge to access the U.S. and Euro loan markets.. The team has been investing in U.S. and EMEA leveraged loans since 2003. • Partners Group issued its first European CLO (Penta CLO 1) in 2007 and its first U.S. CLO (Pikes Peak CLO 1) in 2018. U.S. Portfolio Manager (PM) Mark Hanslin (formerly PM of Mizuho's Mountain Capital U.S. CLO platform for 12 years) and Euro Portfolio Manager Till Schweizer utilize the resources and expertise of over 90 global debt investment professionals who are sector generalists focused on leveraged finance. • The firm has established risk retention vehicles to support global growth of its CLO business. Company • Partners Group is one of the largest private markets investment managers globally, with $94 billion of investments under management as of Dec. 31, 2019. • Globally, Partners Group has more than 1,400 employees in 20 different offices. The firm is publically listed on the SIX Swiss Stock Exchange. • Partners Group actively invests across private debt, private equity, private infrastructure and private real estate, with a wide network of over 500 direct investments, 900 private markets investment partners and 900 institutional organizations. • The firm draws upon experienced senior leadership and a pool of analysts based in the U.S., Europe and Asia Pacific, many with extensive CLO issuance and management experience. Investments • Partners Group's analytical credit approach begins with a fundamental bottom-up risk assessment, highlighted by an issuer's products/services and markets, financial projections, sustainability of future cash flows, capital structure, debt service capability, management and business strategy. This assessment is then supplemented with top-down sector analysis and any equity sponsor's investment thesis. • Partners Group has regional investment committees (U.S. and Europe), with each comprising five senior investment professionals, three of whom must approve an investment risk within a region. • Credit analysts present investment recommendations and credit review memos to the investment committee for consideration and approval, and if approved, each issuer is assigned an internal trading limit for use by the PMs. • Credit analysts are assigned by industry focus and cover 40-45 credits on average. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Dedicated risk management department that oversees all investments across the firm, with strong internal oversight and frequent internal audits. • Strong overall compliance and risk management culture, with active dialogue and engagement with the CLO trustees. • CLO portfolio teams utilize in-house legal department resources and supplements these with outside counsel as needed. • Partners Group maintains robust CLO oversight and controls, sharing systems and procedures between U.S. and European CLO management teams. Operations and Technology • Partners Group employs an experienced five-person in-house CLO administration/ compliance team for both the Euro and U.S. CLOs. • The reconciliation of trustee data and portfolio characteristics is carried out by professionals in the Singapore office, with oversight by CLO admin / compliance team. • Partners Group uses Wall Street Office (WSO) Web. Portfolio Managers run hypo trades until the platform expands. • Business continuity and cybersecurity initiatives are tested and proven.
Partners Group March 20, 2020344 Structured Finance CLO
Permira Debt Managers Limited Permira Debt Managers Limited (PDM) was founded in 2007 as the private credit business of Permira, a global private equity firm with €44 billion in assets under management (AUM) as of Dec. 31, 2019. The PDM team includes 50 professionals across three core strategies, direct lending (PCS funds), structured credit (Sigma funds) and CLO management (Providus funds). PDM has €9 billion in AUM as of Dec. 31, 2019. The firm’s professionals are primarily based in the London office and have access to Permira’s eight European offices.
Firm Profile Region(s) of CLO Operations Europe Location London, U.K. CLO Related Employees 12 CLO Issuance Since 2007 Total Assets Under Management (AUM) €53 billion Leveraged Loan AUM €1.1 billion Active CLOs Under Management 3 Total CLOs Managed 3 Note: Total AUM includes Permira PE AUM. Source: Permira Debt Managers Limited. CLO Team Structure Region(s) Europe Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 18 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 1 <10 Years’ Credit Experience 3 Analyst Team Average Experience 7 Years Loan Team Credits Per Analyst 20–30 Approximate No. of Invested Credits 100–150 Distressed Credit Specialists / Avg. Experience — Source: Permira Debt Managers Limited.
European Loan AUM Development (€ Bil.) 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Permira Debt Managers Limited.
Permira Debt Managers Limited March 4, 2020345 tr ct red inance L
ta rea d n an rea d n r ani ati na tr ct re sset pe er ira din s sset i ited pe roadly yndicated Loans 13 L s 100 iddle ar et Loans 1 e i n Third t er Party er ira L s C panies rope er ira e t ana ers r p din s i ited100 C ient pe o rce Permira ebt ana ers Limited. ns rance Note: as of Jan. 1, 2020, there is a 50/50 er ira e t ana ers din s i ited an partnership agreement between Permira3 Pension etirement Holdings limited and the Partners 0 of Permira Debt Managers (PDM). er ira e t ana ers i ited ndo ment 1 amily o rce ffice Permira i h ebt et ana ers orth Limited. overei n ealth nds 10 ana ed cco nts 1 ther 10 o rce Permira ebt ana ers Limited.
E r pean Credit C ittee Experience Years a e it e e ir nd str ames reen ood Partner hief ec tive fficer 13 33 Thomas yria o dis Partner hief nvestment fficer 11 20 riadna tefanesc Partner Portfolio ana er 13 1 anine arion nvestment irector ead of Portfolio onitorin ro p 9 13 o rce Permira ebt ana ers Limited.
cti e E r pean C s nder ana e ent atest End rt i a ance e i n (€ Mil.) a e inta e eset Ca ri ina C rrent tat s Provid s L 201 — 2 20 350 350 Provid s L 201 — 1 21 350 350 Provid s L 2019 — 3 21 3 5 3 5 einvestin . o rce Permira ebt ana ers Limited.
r ani ati na tr ct re
er ira din s i ited
t er er ira C panies enera artners er ira e t ana ers r p din s i ited
Note: As of Jan. 1, 2020, there is a 50/50 er ira e t ana ers din s i ited partnership agreement between Permira Holdings limited and the Partners of Permira Debt Managers (PDM). er ira e t ana ers i ited
o rce Permira ebt ana ers Limited.
Permira ebt ana ers Limited arch 4 2020346 i
i i — i M i i i i platform AUM above the €1 billion mark. Permira is a global private equity firm with approximately €44.0 billion in AUM as of – l i l PDM is supported by Permira’s IT team, which comprises eight individuals and is headed by Andy Sobek, who is responsible for Permira’s global IT strategy and operations.
347 Structured Finance CLO
PGIM Fixed Income PGIM Fixed Income is the public fixed income unit of PGIM, Inc. (PGIM), an indirect, wholly owned subsidiary of Prudential Financial, Inc. (PFI) based in Newark, NJ. PGIM Fixed Income has a diversified global investor base consisting of institutional, retail, pension funds and sovereign wealth/central banks/government entities. As of Dec. 31, 2019, it had approximately $851 billion in assets under management (AUM). PFI. of the U.S. is not affiliated in any manner with Prudential plc, incorporated in the U.K. or with Prudential Assurance Company, a subsidiary of M&G plc, also incorporated in the U.K.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Newark, NJ London, U.K. CLO Related Employees 40 35 CLO Issuance Since 2001 2005 Total Assets Under Management (AUM) $851 Bil. Globally Leveraged Loan AUM $23.1 Bil. $8.6 Bil. Active CLOs Under Management 32 16 Total CLOs Managed 54 20 Source: PGIM Fixed Income. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 4 5 PMs Average Experience 19 Years 20 Years Loan Analysts with: >20 Years’ Credit Experience 9 2 10–20 Years’ Credit Experience 5 3 <10 Years’ Credit Experience 12 6 Analyst Team Average Experience 13 Years 12 Years Loan Team Credits Per Analyst 40−50 40−50 Approximate No. of Invested Credits 450−500 250−300 Distressed Credit Specialists / Avg. Experience 1 / 15 Years — Source: PGIM Fixed Income.
U.S. Loan AUM Development ($ Bil.) 25 20 15 10 5 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: PGIM Fixed Income.
PGIM Fixed Income March 13, 2020348 Structured Finance CLO
European Loan AUM Development ($ Bil.) 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: PGIM Fixed Income.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 38 CLOs 73 Broadly Syndicated Loans 4 Managed Funds 27 Governments/Agencies 20 Region High Yield Bonds 6 U.S. 73 Structured Credit (non-CLOs) 12 Europe 27 Emerging Market Debt 8 Source: PGIM Fixed Income. Money Markets 6 Municipals 3 Mortgages 3 Other (Japanese Equities/REITs) <1 Client Type CLO Investor 3 Corporate 65 Public 8 Retail/Mutual Funds 19 Endowments/Foundations <1 Taft-Hartley 1 Central Banks 1 Sovereign Wealth Funds 3 Source: PGIM Fixed Income.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Dryden XXV 2012 4Q17 3Q18 601 698 R BSL No Dryden XXVI 2013 2Q18 3Q19 401 402 R BSL No Dryden XXVIII 2013 3Q17 3Q19 402 497 R BSL No Dryden 30 2013 4Q17 4Q18 503 497 R BSL No Dryden 33 2014 1Q19 2Q20 801 994 R BSL No Dryden 36 2014 2Q19 2Q20 602 694 R BSL No Dryden 37 2014 4Q17 1Q20 501 504 R BSL No Dryden 38 2014 3Q18 3Q20 501 502 R BSL No Dryden 40 2015 3Q18 3Q20 601 603 R BSL No R – Reinvesting. Continued on next page. Source: PGIM Fixed Income.
PGIM Fixed Income March 13, 2020349 Structured Finance CLO
Active U.S. CLOs Under Management (Continued) Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Dryden 41 2015 1Q18 2Q20 501 551 R BSL No Dryden 42 2015 3Q18 3Q20 401 401 R BSL No Dryden 43 2016 3Q18 3Q19 600 601 R BSL No Dryden 45 2016 4Q18 4Q20 651 651 R BSL No Dryden 47 2017 — 2Q19 701 703 R BSL No Dryden 49 2017 — 3Q19 601 601 R BSL No Dryden 50 2017 — 3Q19 600 601 R BSL No Dryden 53 2017 — 1Q20 601 601 R BSL No Dryden 54 2017 — 4Q19 501 501 R BSL No Dryden 55 2018 — 2Q20 555 551 R BSL No Dryden 57 2018 — 2Q20 416 415 R BSL No Dryden 58 2018 — 3Q20 450 450 R BSL No Dryden 60 2018 — 3Q20 400 400 R BSL No Dryden 61 2018 — 1Q21 500 500 R BSL No Dryden 64 2018 — 2Q20 600 600 R BSL No Dryden 65 2018 — 3Q20 500 500 R BSL No Dryden 68 2019 — 3Q21 500 500 R BSL No Dryden 70 2018 — 1Q21 500 500 R BSL Yes Dryden 71 2019 — 3Q19 400 400 R BSL No Dryden 72 2019 — 2Q21 400 400 R BSL No Dryden 75 2019 3Q19 3Q20 425 525 R BSL No Dryden 76 2019 — 4Q21 400 400 R BSL No Dryden 80 2019 — 1Q22 400 400 R BSL No R – Reinvesting. Source: PGIM Fixed Income.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Dryden 29 2013 1Q18 1Q20 402 402 R Dryden 32 2014 3Q18 3Q20 404 403 R a Dryden 35 2015 — 2Q17 425 426 R Dryden 39 2015 4Q17 4Q19 403 501 R Dryden 44 2016 3Q18 3Q19 406 401 R Dryden 46 2016 2Q19 1Q19 455 454 R Dryden 48 2017 3Q19 1Q19 404 402 R Dryden 51 2017 — 3Q19 406 402 R Dryden 27R 2017 — 2Q19 468 468 R Dryden 52 2017 — 3Q19 404 401 R Dryden 56 2017 — 1Q20 603 601 R Dryden 59 2018 — 4Q19 478 476 R Dryden 62 2018 — 2Q20 453 452 R Dryden 63 2018 — 3Q20 378 378 R Dryden 66 2018 — 1Q21 402 402 R Dryden 69 2019 — 2Q21 400 400 R Dryden 73 2019 — 4Q21 400 400 R aDryden 35 was reset on Jan. 31, 2020, with the target par at €425 million. R – Reinvesting. Source: PGIM Fixed Income.
PGIM Fixed Income March 13, 2020350 Structured Finance CLO
Organizational Structure
Prudential Financial Inc.a
PGIM Regulated Insurance Companies and Affiliated Clients
PGIM Fixed Incomeb Private Fixed Real Estate Equity $851 Bil. AUMc Income Units Equity Unit
Fundamental Quantitative Real Estate Private Real Estate Equity Equity Debt Placements Equity aPrudential Financial, Inc. of the U.S. is not affiliated in any manner with Prudential plc, incorporated in the U.K., or with Prudential Assurance Company, a subsidiary of M&G plc, also incorporated in the U.K. bAll data as of Dec. 31, 2019. cAssets include public and private fixed income, public equity — both fundamental and quantitative — and real estate. PGIM Fixed Income is the public fixed income unit within PGIM Limited, a U.K. entity that is authorized and regulated by the Financial Conduct Authority. PGIM Japan is the firm’s public fixed income business unit located in Japan. PGIM (Singapore) Pte. Ltd. is the public fixed income unit located in Singapore. Source: PGIM Fixed Income.
PGIM Fixed Income March 13, 2020351 Structured Finance CLO
The Fitch View — PGIM Fixed Income Key Considerations • Benefits of scale as part of a major global asset manager with large global fixed-income and CLO AUM. • Stable, experienced and tenured portfolio management and credit teams, with a majority of key staff having long tenures. • Long global track record and established procedures for CLO management and administration. • Ongoing challenges will be maintaining credit selectivity and efficiently allocating credit research resources as coverage grows. Company • PGIM Fixed Income has been managing U.S. CLOs since 2001 and European CLOs since 2005. It has demonstrated its commitment to the CLO market through continued additions of CLO management mandates and acquisition of CLO management mandates as replacement manager. • PGIM Fixed Income’s investor base is highly diversified by region and sector, with no notable client concentrations. • The European leveraged finance research team is composed of 10 analysts. Team members average nine years’ experience. Investments • Formalized credit research process incorporates top-down and bottom-up elements. • Benefits from in-house macroeconomic research unit of six experienced global economists complemented by three highly experienced global fixed-income strategists. • Bottom-up industry and fundamental issuer research covering asset quality, capital structure and covenants results in scoring of trends and internal ratings, which are updated according to schedule or market events. • Credit research covers the majority of the leveraged issuer market. Credit research analysts are organized by sector. • The credit committee, with representatives from credit and portfolio management teams, is responsible for credit approval. • CLO team turns down approximately two-thirds of new issues. • Portfolio construction is driven by relative-value rankings that are determined by portfolio managers within an eligible investment universe, credit process and structural constraints. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Overall risk control framework based on independent risk management and quantitative research. • PGIM is either public or private on all issuers, producing no conflicts of interest. Credit and compliance oversee the cleansing process where an issuer goes public. • Pre- and post-trade CLO compliance testing is effected via Moody’s Wall Street Analytics. Operations and Technology • Dedicated global settlements team (nine loans, four bonds). Cash and trading positions are reconciled daily with the trustee. • PGIM Fixed Income uses Aladdin (BlackRock) for all fixed-income instruments. Aladdin is fed by various third-party systems (such as Markit Partners and others for pricing) and an internal proprietary research module. Wall Street Office is used for CLO management and Intex for portfolio modeling and stress testing. • Business continuity plans and cybersecurity measures are appropriate and tested.
PGIM Fixed Income March 13, 2020352 Structured Finance CLO
PineBridge Investments LLC PineBridge Investments LLC (PineBridge) is a global asset manager that was originally formed in 1996 with the consolidation of AIG's various investment entities into a single platform. Since 2010, it has been majority owned by a subsidiary of Pacific Century Group, an Asia-based private investment group. As of Dec. 31, 2019, PineBridge had $101.3 billion in global assets under management (AUM), $14.1 billion of which is related to its global leveraged loan operations.
Firm Profile Region(s) of CLO Operations U.S.a Europeb Location Los Angeles, CA London, U.K. CLO Related Employees 17 6 CLO Issuance Since 1999 2006 Total Assets Under Management (AUM) $84.5 Bil. $16.8 Bil Leveraged Loan AUM $12.0 Bil. $2.1 Bil. Active CLOs Under Management 12 5 Total CLOs Managed 29 7 aRepresents U.S. and Asia. bRepresents Europe, Middle East and Africa. Source: PineBridge Investments LLC.
CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 3 2 PMs Average Experience 30 Years 27 Years Loan Analysts with: >20 Years’ Credit Experience 7 — 10–20 Years’ Credit Experience 4 1 <10 Years’ Credit Experience 1 3 Analyst Team Average Experience 23 Years 9 Years Loan Team Credits Per Analyst 30−40 30−40 Approximate No. of Invested Credits 300−350 100−150 Distressed Credit Specialists / Avg. Experience — — Source: PineBridge Investments LLC.
U.S. Loan AUM Development ($ Bil.) 14 12 10 8 6 4 2 0 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: PineBridge Investments LLC.
PineBridge Investments LLC March 17, 2020353 Structured Finance CLO
European Loan AUM Development ($ Bil.) 2.5 2.0 1.5 1.0 0.5 0.0 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: PineBridge Investments LLC.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 53 Client Type Managed Accounts 26 Insurance 21 Managed Funds 21 Bank 6 Region Pension/Retirement 16 U.S. 79 Other 57 Europe 17 Source: PineBridge Investments LLC. Other 4 Source: PineBridge Investments LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Steven Oh Managing Director, Global Head of Credit and Fixed Income Portfolio Manager 20 30 John Lapham Managing Director, Co-Head of Leveraged Finance Portfolio Manager 24 39 Dan Sherry Managing Director Portfolio Manager 13 21 Jeff Baxter Managing Director Director of Research 21 36 Kevin Wolfson Managing Director Portfolio Manager 13 21 Source: PineBridge Investments LLC.
European Credit Committee Experience (Years) Name Title Role Firm Industry Steven Oh Managing Director, Global Head of Credit and Fixed Income Portfolio Manager 20 30 John Lapham Managing Director, Co-Head of Leveraged Finance Portfolio Manager 24 39 Graham Barker Senior Vice President Research Analyst 6 13 Jeff Baxter Managing Director Director of Research 21 36 Evangeline Lim Managing Director Portfolio Manager 13 24 Source: PineBridge Investments LLC.
PineBridge Investments LLC March 17, 2020354 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Galaxy XV 2013 4Q17 4Q19 598 554 R BSL No Galaxy XIX 2015 3Q17 3Q19 510 483 R BSL No Galaxy XX 2015 1Q18 1Q20 577 567 R BSL No Galaxy XXI 2015 1Q18 2Q20 413 397 R BSL No Galaxy XXII 2016 — 3Q18 404 397 R BSL Yes Galaxy XXIII 2017 — 2Q19 409 396 R BSL Yes Galaxy XXIV 2017 — 1Q20 507 501 R BSL Yes Galaxy XXV 2018 — 3Q20 504 500 R BSL No Galaxy XXVI 2018 — 4Q20 455 450 R BSL No Galaxy XXVII 2018 — 2Q20 424 401 R BSL No Galaxy XXVIII 2018 — 3Q20 478 447 R BSL No Galaxy XXIX 2018 — — 523 453 PR BSL No R – Reinvesting. PR – Post Reinvestment. Source: PineBridge Investments LLC.
Active European CLOs Under Management
Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Euro-Galaxy III 2013 1Q17 1Q19 381 369 R Euro-Galaxy IV 2015 3Q17 3Q19 335 327 R Euro-Galaxy V 2016 — 4Q18 411 397 R Euro-Galaxy VI 2018 — 3Q20 412 395 R Euro-Galaxy VII 2019 — 2Q21 431 403 R R – Reinvesting. Source: PineBridge Investments LLC.
Organizational Structure
Pacific Century Group and Management
PineBridge Investments, L.P. (Cayman Islands)
PineBridge Investments LLC
Source: Pinebridge Investments LLC.
PineBridge Investments LLC March 17, 2020355 Structured Finance CLO
The Fitch View — PineBridge Investments LLC Key Considerations • Experienced senior management team that has been managing CLOs since 1999. • Investment process differentiated by an internal rating scale incorporating both fundamental and relative-value considerations and the clear definition of rating review triggers. • Good market access facilitated by strong relationships with private equity sponsors. Company • PineBridge is an independent, diversified global asset manager that invests across all major asset classes and geographies. • PineBridge is a subsidiary of Pacific Century Group, an Asia-based private investment group with interests in infrastructure, property and other investments mainly in the Asia-Pacific, including Singapore, Hong Kong and Japan. Founded in 1993, Pacific Century Group is controlled by Richard Li. • PineBridge has been managing U.S. CLOs since 1999 and European CLOs since 2006, but its focus is global. CLOs represent a core element of its corporate strategy and a key component in the development of its loan business, along with offshore funds and separately managed accounts. • PineBridge established affiliate PineBridge Galaxy LLC (PBG) in early 2017 to comply with CLO risk retention rules. PBG is wholly owned by PineBridge and relies on PineBridge to provide services under a staff and services agreement. Investments • Clearly defined investment process based on six steps, from deal launch to ongoing monitoring of the investment. • Combines bottom-up credit analysis with top-down views. The process is differentiated by a focus on developing triggers for each investment to understand its performance with respect to the firm’s investment principles. • All new investments are subject to a formalized committee process, which is made up of the presenting analyst and five senior managers. • Proprietary scoring model for all pre-approved and monitored credits, with three distinct scoring designations for every credit, incorporating both fundamentals and relative-value considerations. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • The overall risk control framework is sound, overseen by a head of risk. Risk committee tasked with operational risk management. • PineBridge is either public or private on all issuers. Physical and informational barriers that separate public and private interaction are overseen by compliance and based on clearly defined policies. • A separate compliance department is responsible for developing, maintaining and upgrading policies and procedures manuals for all departments. • Governance is via the executive committee, which is closely involved in the business. Operations and Technology • Operational procedures are sound, employing industry-standard tools such as Sentry PM for loan/CLO administration. • PineBridge has a dedicated IT team that manages its bank loan-related systems and Sentry PM applications. • CAP, a proprietary tool, is used for issuer monitoring and sharing rating changes/analyst recommendations. • Business continuity plans and cybersecurity measures are appropriate and tested.
PineBridge Investments LLC March 17, 2020356 Structured Finance CLO
Post Advisory Group, LLC Founded in 1992, Post Advisory Group, LLC (Post) had approximately $18 billion of assets under management (AUM) as of Dec. 31, 2019. The firm manages more than $2 billion in leveraged loan AUM via managed accounts and has traded over $28 billion of leveraged loans since 2011. Post's CLO platform is led by former Alcentra CLO portfolio manager (PM) Bill Lemberg who joined in August 2017. Post is majority-owned by Principal Financial Group (PFG), with minority stakes held by Nippon Life and Post employees.
Firm Profile Region(s) of CLO Operations U.S. Location Los Angeles, CA CLO Related Employees 51 CLO Issuance Since 2018 Total Assets Under Management (AUM) $17.9 Bil. Leveraged Loan AUM $2.7 Bil. Active CLOs Under Management 1 Total CLOs Managed 1 Source: Post Advisory Group, LLC. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 32 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 5 Analyst Team Average Experience 13 Years Loan Team Credits Per Analyst 20−30 Approximate No. of Invested Credits 250−300 Distressed Credit Specialists / Avg. Experience — Source: Post Advisory Group, LLC.
U.S. Loan AUM Development ($ Bil.) 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Post Advisory Group, LLC.
Post Advisory Group, LLC March 4, 2020357 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Typea Asset Type Investment Grade Corporates 3 CLOs 14 Broadly Syndicated Loans 16 Managed Accounts 67 High Yield Bonds 81 Managed Funds 19 Client Type Region (Country of Risk) Insurance 5 U.S. 89 Bank 32 Europe 6 Pension/Retirement 25 Other 5 Endowment 1 Source: Post Advisory Group, LLC. Sovereign Wealth Funds 3 Managed Accounts 17 Other 15 aExcludes cash. Source: Post Advisory Group, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Jeffrey Stroll Chief Investment Officer Chief Investment Officer 8 16 David Kim Deputy Chief Deputy Chief Investment Officer Investment Officer 14 16 William Lemberg CLO Portfolio Manager CLO Portfolio Manager 2 32 Schuyler Hewes Portfolio Manager Portfolio Manager 8 21 Dan Ross Portfolio Manager Portfolio Manager 7 21 Iris Shin Portfolio Manager Portfolio Manager 7 15 James Wolf Portfolio Manager Portfolio Manager 1 32 Source: Post Advisory Group, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Post CLO 2018-1 2018 — 2Q20 400 400 R BSL No R – Reinvesting. Source: Post Advisory Group, LLC.
Post Advisory Group, LLC March 4, 2020358 Structured Finance CLO
Organizational Structure
Principal Financial Group, Inc.
Principal Financial Services, Inc. Nippon Life Insurance Company
Principal Global Investors Post Select Senior Investment NLI US Investments, Inc. Holding Company (US), LLC Professionals (Ownership: 19.6%) (Ownership: 78.2%) (Ownership 2.2%ª)
Post Advisory Group, LLC
ªIn 2005, Post’s shareholders implemented a long-term equity incentive plan. Under the terms of the plan, participants were granted 10% of Post’s partnership units , which will be earned over time, subject to vesting dates based on years of service and tax adjustments unique to each participant. Source: Post Advisory Group, LLC.
Post Advisory Group, LLC March 4, 2020359 Structured Finance CLO
The Fitch View — Post Advisory Group, LLC Key Considerations • U.S. CLO platform established in 2017 and led by former Alcentra CLO portfolio manager (PM) Bill Lemberg. • Adequate oversight and controls. Experienced loan administrative and back-office support. • Strong financial commitment from parent, PFG, for projected CLO issuance. PFG anticipates buying 5% of the ‘AAA’ through ‘A’ notes in each transaction. Company • Founded in 1992, Post had approximately $18 billion of AUM as of Dec. 31, 2019. The firm manages more than $2 billion in leveraged loan AUM via managed accounts and has traded over $28 billion of leveraged loans since 2011. • Post is majority-owned by PFG with minority stakes held by Nippon Life and Post employees. • PFG invests in the CLO senior notes, while Post purchases and holds junior mezzanine and equity tranches. • Experienced portfolio management team averaging 22 years of experience, supported by 11 credit analysts averaging 13 years of industry experience. Investments • CLO PM Lemberg, with 32 years of experience, has full discretion over trading and position sizing in the CLO portfolios. • Credit staff averages 20–30 credits per analyst. The PM encourages open dialogue of credit opinions among the team . • Post relies on bottom-up fundamental credit analysis, augmented with a macroeconomic and technical overlay. • Formal investment committee of seven experienced investment professionals, requiring majority vote for credit approval, including the CLO PM. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Strong internal oversight by the risk management department of all portfolios and employees. • Dedicated risk management department that oversees all investments across the firm as well as in-house operations, legal and compliance, finance, information technology and human resources departments. • A routine SEC examination completed in March 2018 resulted in no material deficiencies. Operations and Technology • Experienced in-house Los Angeles-based back-office team will oversee the reconciliation of loan administration data using Wall Street Office (WSO). • Post currently employs an experienced CLO optimization analyst based in New York who works with PM Lemberg. • New York-based optimization analyst runs hypo trades and provides portfolio analytics to the PM as needed. The analyst also oversees tie-outs with the trustee for monthly and quarterly CLO reporting. • Robust in-house IT department with established business continuity and disaster recovery initiatives already in place. • IT department works closely with parent company PFG. This partnership maintains a focus on information security including bi-quarterly phishing tests, information security education, penetration testing and regular technology gap assessments.
Post Advisory Group, LLC March 4, 2020360 CLO
PPM America, Inc. (PPM) is an indirect wholly owned subsidiary of Prudential plc (U.K. parent). Headquartered in Chicago, the firm was founded in 1990 to provide investment management services primarily to affiliates of the U.K. parent, including Jackson National Life (JNL) and other U.K. and Asian affiliates. PPM had $129.7 billion of assets under management (AUM) as of Dec. 31, 2019. PPM Loan Management Company (PPMLM) serves as the collateral manager for CLOs sponsored by PPMLM or PPM. The U.K. parent is not affiliated with U.S.-based Prudential Financial, Inc or with U.K.-based Prudential Assurance Company, a subsidiary of M&G plc.
U.S. Chicago, IL 37 1999 $129.7 Bil. $2.8 Bil. 4 10 Source: PPM America, Inc.
U.S. 4 25 Years >20 Years’ Credit Experience 4 –20 Years’ Credit Experience 9 <10 Years’ Credit Experience 14 11 Years Average 25 HY (including leveraged loans) and 38 IG 275–325 2 / 23 Years Source: PPM America, Inc.
($ Bil.) 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: PPM America, Inc.
PPM America, Inc. February 19, 2020361 tr ct red inance
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362 tr ct red inance CLO
e itc ie — erica nc e C nsiderati ns E pe ien e loan team is le o po t olio mana e s PMs an mana es m ltiple CLO t ansa tions t at a e ate a k to , es ltin in a lon isto o mana in ank loan st ate ies t o m ltiple les. ala le e it n e itin p o ess it PMs o kin o esi el it a pe son e it esea team, allo in o t e onst tion o oa l i e si ie po t olios. ta le, ell apitali e o ne s ip. C pan PPM’s high yield loan group was formed in 1995 to grow bank loan assets for JNL. PPM as onsistentl o n its UM, to mo e t an . illion as o e . , om . illion at in eption in . PPM iss es EU isk etention ompliant CLOs t o a iliate PPMLM. se i es an emplo ee s a in a eement is in pla e et een PPM an PPMLM. n est ents PPM’s o mem e ank loan po t olio mana ement team a e a es app o imatel ea s o in estment e pe ien e. ee o t e PMs a e o ke to et e at t e i m o ea s. ank loan team PMs an in st e it anal sts on t initial s eenin o e its in a i l sele ti e p o ess es ltin in a lo a eptan e ate. e ommen e e its a e t en n e itten t e in st e it esea anal st, i lminates into a spe i i opinion an atin o t e espe ti e iss e . is team as anal sts a e a in ea s o in estment e pe ien e. e PMs optimi e t e pool o n e itten e its a oss a o nts epen in on po t olio o e ti es. C e it anal sts a e e pe te to kno t ei assi ne e its on a eal time asis. C e it e ie s a e on te e la l . e e eeme mate ial, t e i m onsi e s en i onmental, so ial an o e nan e E a to s in t ei in estment anal sis. C ntr s CLO mana ement team omplements t e po t olio mana ement team p o i in a spe iali e kno le e t at oo inates an le e a es i m eso es o t e CLO siness. n epen ent isk an o e si t ommittee a ti el monito s isk a oss po t olios an as a t o it to a t pon isk e pos es it eems e essi e. Le al an omplian e an isk epa tments ene ate epo ts on o po ate o e nan e iss es a te l an tili e isk epo ts to p o i e t e o ani ation an app aisal o isks an elate ont ols to mana ement. o tine EC e ams e e on te in an , in i t e e e e no itten omments om t e EC o note e i ien ies. perati ns and ec n Ope ations team e i ate to ank loan po t olios as si p o essionals a e a in si ea s of experience servicing PPM’s loan assets. ll a tomate onne tions et een o e mana ement s stem, all t eet O i e O an Clea pa . PPM le e a es a i m i e te nolo in ast t e t at om ines so t a e sol tions om in st lea in p o i e s it p op ieta tools e elope an e pe ien e appli ation e elopment team, in l in a p op ieta e it esea po tal an o e mana ement system, Fidessa’s Sentinel Compliance Monitoring system, WSO and Intex. e ent e se it tests a e pe o me , it t e most e ent in e em e . nn al penet ation testin is on te an e te nal se it i m. siness ontin it an isaste e o e tests a e on te ann all , it t e most e ent in e em e . PPM as a e i ate seat a ilit in a m , L, to s ppo t siness ope ations i C i a o o i e is na aila le.
PPM me i a, n . e a , 363 Structured Finance CLO
Pretium Credit Management, LLC Pretium Credit Management, LLC (Pretium) is a New York City-based specialist credit manager founded in 2009. Senior portfolio managers previously worked at Aladdin Capital Management, DFG Investment Advisers and Goldman Sachs Asset Management. As of Dec. 31, 2019, Pretium had credit assets under management (AUM) of $2.7 billion, approximately 94% of which was invested in syndicated loans.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 19 CLO Issuance Since 2012 Total Assets Under Management (AUM) $2.7 Bil. Leveraged Loan AUM $2.7 Bil. Active CLOs Under Management 5 Total CLOs Managed 6 Source: Pretium Credit Management, LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 25 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 2 Analyst Team Average Experience 20 Years Loan Team Credits Per Analyst 45–50 Approximate No. of Invested Credits 300–350 Distressed Credit Specialists / Avg. Experience 1 / 22 Years Source: Pretium Credit Management, LLC.
U.S. Loan AUM Development ($ Bil.) 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Pretium Credit Management, LLC.
Pretium Credit Management, LLC February 18, 2020364 tr ct red inance
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366 Structured Finance CLO
Redding Ridge Asset Management LLC Redding Ridge Asset Management LLC (RRAM) is an SEC registered investment adviser and is also registered with the U.K. Financial Conduct Authority (FCA) through Redding Ridge Asset Management UK LLP. The firm specializes in leveraged loans and global CLO management. Redding Ridge Asset Management UK is a wholly owned subsidiary of RRAM, which was established and seeded by Apollo Global Management, LLC (Apollo) in 2016 in response to risk retention regulations.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 24 CLO Issuance Since 2017 Total Assets Under Management (AUM) $7.6 Bil. Leveraged Loan AUM $7.6 Bil. Active CLOs Under Management 10 Total CLOs Managed 10 Source: Redding Ridge Asset Management LLC. CLO Team Structure
Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 2 2 PMs Average Experience 27 Years 18 Years Loan Analysts with: >20 Years’ Credit Experience — — 10–20 Years’ Credit Experience — — <10 Years’ Credit Experience — — Analyst Team Average Experience — — Loan Team Credits Per Analyst — — Approximate No. of Invested Credits — — Distressed Credit Specialists / Avg. Experience — — ªFor more detailed team information, please refer to Fitch’s profile of Apollo Global Management, LLC. Pursuant to a credit research agreement with Apollo, RRAM utilizes Apollo’s credit research analysts and platform. Source: Redding Ridge Asset Management LLC.
U.S. Loan AUM Development ($ Bil.) 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2017 2018 2019 Source: Redding Ridge Asset Management LLC.
Redding Ridge Asset Management LLC March 20, 2020367 Structured Finance CLO
European Loan AUM Development (€ Bil.) 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2018 2019 Source: Redding Ridge Asset Management LLC.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Client Type Broadly Syndicated Loans 100 Insurance 21 Source: Redding Ridge Asset Management LLC. Pension/Retirement 28 Endowment 7 Other 43 Asset Type CLOsª 100 Region U.S.b 90 Europec 10 ªCLOs and CLO warehouse facilities. bPortion related to CLO warehouse facilities. cFully related by CLO warehouse facilities. Source: Redding Ridge Asset Management LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Stephen Riddell Chief Investment Officer U.S. CLO Portfolio Manager 3 24 Albert Huntington Head of Capital Markets and Banking Group Head 3 14 Michael Paniwozik Managing Director - Credit Credit Analyst 3 19 Source: Redding Ridge Asset Management LLC.
European Credit Committee Experience (Years) Name Title Role Firm Industry Stephen Riddell Chief Investment Officer U.S. CLO Portfolio Manager 3 24 Albert Huntington Head of Capital Markets and Banking Group Head 3 14 Michael Paniwozik Managing Director — Credit Credit Analyst 3 19 Source: Redding Ridge Asset Management LLC.
Redding Ridge Asset Management LLC March 20, 2020368 Structured Finance CLO
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant RR 1 2017 — 3Q19 694 690 R BSL Yes RR 2 2017 — 4Q19 501 501 R BSL Yes RR 3 2018 — 1Q20 1,496 1,489 R BSL Yes RR 4 2018 — 2Q20 905 905 R BSL Yes RR 5 2018 — 4Q20 500 500 R BSL Yes RR 6 2019 — 2Q20 600 600 R BSL Yes RR 7 2019 — 1Q22 520 520 R BSL Yes R – Reinvesting. Note: Remainder of firm AUM is in CLO warehouses. Source: Redding Ridge Asset Management LLC.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status RRE 1 2019 — 2Q21 450 450 R RRE 2 2019 — 1Q21 400 400 R RRE 3 2019 — 1Q22 400 400 R R – Reinvesting. Source: Redding Ridge Asset Management LLC.
Redding Ridge Asset Management LLC March 20, 2020369 Structured Finance CLO
The Fitch View — Redding Ridge Asset Management LLC Key Considerations • Apollo established a capitalized manager vehicle (CMV), RRAM, in late 2016 for the purpose of risk retention compliance. U.S. and European compliant CLOs are being issued by RRAM. • RRAM has been set up as an independent manager with access to all the necessary resources of Apollo to manage its CLOs via shared services agreements between the two firms. • Apollo’s resources are extensive and experienced. The firm has a demonstrated track record managing CLOs, as evidenced by continued strong performance of the ALM CLOs and the acquired Gulf Stream Asset Management and Stone Tower Capital CLOs. Company • RRAM, established in 2016, benefits from the resources of Apollo, including employee sharing, administrative services and credit research. through various service agreements between the two firms. • Established in 1990, Apollo, the service provider, is a publicly listed company with headquarters in New York and additional offices in Los Angeles, Bethesda, MD, Houston, Chicago, Toronto, London, Singapore, Shanghai, Frankfurt, Luxembourg, Madrid, Hong Kong, Mumbai and New Delhi. Investments • Communication between RRAM employees and Apollo’s credit staff allows for added industry insight pursuant to the credit research agreement. • RRAM has established a formalized two-person investment committee that selects investments for its CLOs. • RRAM’s credit selection process is focused on non-investment-grade credits and uses a formalized, bottom-up fundamental approach conducted by sector-focused analysts. • Credit views are supplemented by extensive industry and competitor analysis from the private equity group as well as pricing and relative-value analysis. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • While RRAM utilizes all the necessary resources of Apollo, its CLO management team makes investment decisions independent from Apollo. • Apollo has a centralized operations and risk management team that includes 59 employees globally, utilized pursuant to the administrative services agreement. • Apollo’s investment teams operate as an integrated platform. As a result, Apollo is either public or private on a name firmwide, which minimizes conflict-of-interest risk. RRAM is subject to the same restrictions. Operations and Technology • Pursuant to the administrative services agreement, RRAM utilizes Apollo’s back-office resources, which already have in place established procedures for daily reconciliation of cash and securities with the trustee. This group has a strong relationship and constant dialogue with the trustee (primarily U.S. Bank). • A specific team at U.S. Bank is dedicated to the RRAM account. Portfolio managers at RRAM receive monthly reconciliations with trustee reports for review. • Operational procedures are sound, supported by a well-resourced fund administration team and industry-standard tools such as Black Mountain Everest. • RRAM benefits from Apollo’s fully integrated and flexible platform based on a combination of proprietary analytics and third-party administration systems, including industry-standard systems such as Black Mountain Everest, Wall Street Office (WSO), SunGard VPM (for portfolio accounting) and Markit (for loan pricing information), pursuant to an administrative services agreement.
Redding Ridge Asset Management LLC March 20, 2020370 Structured Finance CLO
Rothschild & Co Group The Rothschild & Co Group is a family-controlled and independent global financial advisory group. The firm’s credit platform, a part of its Merchant Banking division, had assets under management (AUM) of €6.3 billion as of Dec. 31, 2019, including sub- investment-grade credit across European and U.S. CLOs, credit funds and managed accounts. The European CLOs are managed by a wholly owned MiFiD subsidiary, Five Arrows Managers LLP.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Los Angeles, CA London, U.K.
CLO Related Employees 12 19 CLO Issuance Since 2001 2007 Total Assets Under Management (AUM) $1.4 Bil. €5.0 Bil. Leveraged Loan AUM $1.4 Bil. €2.7 Bil. Active CLOs Under Management 3 5 Total CLOs Managed 6 6 Source: Rothschild & Co Group. CLO Team Structure
Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 2 2 PMs Average Experience 27 Years 20 Years Loan Analysts with: >20 Years’ Credit Experience 3 — 10–20 Years’ Credit Experience 1 3 <10 Years’ Credit Experience 4 3 Analyst Team Average Experience 20 Years 10 Years Loan Team Credits Per Analyst 50−60 25−30 Approximate No. of Invested Credits 350−400 150−200 Distressed Credit Specialists / Avg. Experience 3 / 34 Years 4 / 24 Years Source: Rothschild & Co Group. U.S. Loan AUM Development
($ Bil.) 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2017 2018 2019ᵃ ᵃAs of Sept. 30, 2019. Source: Rothschild & Co Group.
Rothschild & Co Group March 17, 2020371 Structured Finance CLO
European Loan AUM Development (€ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2017 2018 2019ᵃ ᵃAs of Sept. 30, 2019. Source: Rothschild & Co Group
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 94 CLOs 55 High Yield Bonds 4 Managed Accounts 30 Third Party CLOs 2 Managed Funds 15 Source: Rothschild & Co Group. Region U.S. 21 Europe 79 Source: Rothschild & Co Group.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Mike Hatleya Managing Director Chief Investment Officer 25 40 Cheryl Wasilewski Director Credit Analyst 19 37 Ryan Whitea Director Deputy Portfolio Manager (CLOs)/Credit Analyst 3 15 Heidimarie Skor Director Deputy Portfolio Manager (CLOs)/Credit Analyst 19 35 Bradley Bryan Director Deputy Portfolio Manager/Credit Analyst 8 34 Michael Clancya Managing Director Non-Voting 9 34 David Wilson Consultant Non-Voting 9 33 Tim Ayles Director Non-Voting 15 15 ªNamed as key person on at least one of the firm's CLOs. Source: Rothschild & Co Group.
Rothschild & Co Group March 17, 2020372 Structured Finance CLO
European Credit Committee Experience (Years) Name Title Role Firm Industry Javed Khan Managing Director Head of Rothschild & Co Merchant Banking division 11 27 Andrew Didham Managing Director Executive Vice Chairman of Rothschild & Co 23 43 Michael Clancy Managing Director Global Head of Rothschild & Co Credit Management 9 34 Debra Lewis Consultant Independent Committee Member 27 29 David Wilson Consultant Independent Committee Member 9 33 Martin Hook Managing Director Independent Committee Member 8 22 Tim Ayles Director Head of Credit Research 15 15 Heidimarie Skor Director Deputy Portfolio Manager (CLOs)/Credit Analyst 9 35 Source: Rothschild & Co Group.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Ocean Trails CLO IV 2013 3Q17 — 400 213 PR BSL No Ocean Trails CLO V 2014 4Q18 4Q20 400 400 R BSL No Ocean Trails CLO VI 2016 3Q19 1Q19 300 300 R BSL Yes Ocean Trails CLO VII 2019 — 2Q20 400 400 R BSL Yes PR − Post-reinvestment. R − Reinvesting. Source: Rothschild & Co Group.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Contego CLO II 2014 3Q17 4Q15 350 349 PR Contego CLO III 2016 2Q18 2Q20 300 300 R Contego CLO IV 2017 — 3Q19 350 350 R Contego CLO V 2018 — 3Q20 400 400 R Contego CLO VI 2018 — 1Q21 400 400 R Contego CLO VII 2019 — 4Q21 450 450 R PR − Post-reinvestment. R − Reinvesting. Source: Rothschild & Co Group.
Rothschild & Co Group March 17, 2020373 Structured Finance CLO
Organizational Structure
Rothschild & Co SCA (French Listed Entity)
Paris Orleans Holding Bancaire SAS
Concordia Holding SARL 47.20% 48.10% Rothschild & Co Continuation Holdings AG
Rothschild & Co Continuation Limited
Rothschild & Co Credit Management Limited 0.03% 99.97%
Five Arrows Managers LLP (FCA Regulated)
Source: Rothschild & Co Group.
Rothschild & Co Group March 17, 2020374 Structured Finance CLO
The Fitch View — Rothschild & Co Group Key Considerations • Well-resourced and financially robust parent with a long history of investing in European and U.S. secured loans, albeit with relatively low loan and CLO AUM. • Strong control environment, reflecting the family-owned ethos of the business. • Good access to information resulting from well-controlled interaction with Rothschild & Co Group’s strong advisory franchise. Company • Rothschild & Co Group conducts its CLO management activities through a dedicated subsidiary under its Merchant Banking division. It also manages unlevered funds and separate accounts. • Rothschild & Co Group has been investing in European LBO debt since 1989 on balance sheet, although it largely ceased balance sheet loan investment activities in 2010. It has actively managed CLOs since 2007 and acquired Elgin Capital in 2011. • All the ownership interests of U.S. CLO manager West Gate Horizons Advisors, LLC were acquired by Rothschild & Co North America Holdings, Inc. in September 2015. The resulting CLO management entity in the U.S. became known as Rothschild & Co Credit Management North America. • The European credit management team comprises 23 staff, based in London. The credit research team consists of six staff, and there are six dedicated members of the portfolio management team. The U.S. credit management team comprises 13 staff based in Los Angeles, nine of whom are investment professionals. Investments • The investment process is continuous, based on fundamental bottom-up credit analysis that is formalized in a regular credit forums and an investment committee comprising executive and non-executive members whenever required. In the U.S., the investment process relies on daily meetings, and its credit committee consists of investment professionals with deep experience in the management of senior secured loans. • Credit research documented in standardized memos of good quality, with clear credit recommendations. Rothschild & Co Group benefits from its access to information via the advisory business (subject to strict compliance oversight). • There are a total of seven portfolio managers (PMs), with two responsible for European CLOs and three for U.S. CLOs. Some of the PMs also have credit monitoring responsibilities. • Turndown rate of approximately 75% on average. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Governance is strong, effected through multiple committees and an advisory board. Rothschild & Co Group is regulated by the relevant French and U.K. authorities. • Rothschild & Co Group’s overall risk control framework is robust, reflecting the group structure and ultimate ownership by the Rothschild family. • Compliance actively and carefully manages advisory relationships via a “grey list” and compliance oversight/chaperoning of meetings between the CLO management team and other areas of the business (advisory and private equity). Operations and Technology • Dedicated operations staff of 10 covering CLO and loan administration. • Cash is reconciled daily, and positions are reconciled monthly. • Rothschild & Co Group does not provide supplemental investor reporting for CLOs. • Europe Nexus, provided by Virtus, serves as the key portfolio and CLO management solution, combined with a portfolio management system called Glide. Nexus provides full cash and position reconciliation and Glide provides hypothetical-trade functionality • In the U.S., compliance and portfolio accounting are performed through Wall Street Office. Pricing feeds are from Markit and Bloomberg.
Rothschild & Co Group March 17, 2020375 Structured Finance CLO
Saratoga Investment Advisors, LLC Founded in 1994, Saratoga Investment Advisors, LLC (Saratoga) is a New York-based asset manager that manages leverage loans through a business development company (BDC). As of Dec. 31, 2019, Saratoga was managing $1 billion in assets under management (AUM).
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 22 CLO Issuance Since 2007 Total Assets Under Management (AUM) $1.0 Bil. Leveraged Loan AUM $1.0 Bil. Active CLOs Under Management 1 Total CLOs Managed 1 Source: Saratoga Investment Advisors, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 21 Years Loan Analysts with: >20 Years’ Credit Experience 3 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 3 Analyst Team Average Experience 13 Years Loan Team Credits Per Analyst 20−30 Approximate No. of Invested Credits 200−250 Distressed Credit Specialists / Avg. Experience 1 / 21 Years Source: Saratoga Investment Advisors, LLC.
U.S. Loan AUM Development ($ Bil.) 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Saratoga Investment Advisors, LLC.
Saratoga Investment Advisors, LLC March 6, 2020376 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 50 CLOs 50 Middle Market Loans 50 Managed Accounts 50 Client Type Region Other 100 U.S. 100 Source: Saratoga Investment Advisors, LLC. Source: Saratoga Investment Advisors, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Thomas Inglesbya Managing Director Portfolio Manager 10 34 Charles Philips Managing Director Portfolio Manager 23 25 John McMurray Managing Director Portfolio Manager 14 18 ªNamed as key person on at least one of the firm's CLOs. Source: Saratoga Investment Advisors, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Saratoga Investment Corp. 2013-1, Ltd. 2013 4Q18 1Q20 300 500 R BSL No R – Reinvesting. Source: Saratoga Investment Advisors, LLC.
Organizational Structure
Saratoga Investment Advisors, LLC
Saratoga Investment Corp (NYSE: SAR)
Saratoga CLO 2013 Small Business Investment Corporation (SBIC) Saratoga Investment Funding AUM: $500 million AUM: $250 million AUM: $250 million
Source: Saratoga Investment Advisors, LLC.
Saratoga Investment Advisors, LLC March 6, 2020377 Structured Finance CLO
The Fitch View — Saratoga Investment Advisors, LLC Key Considerations • Established CLO platform and investment team that has been successfully managing and resetting the same CLO since 2010. • Utilizes the resources of U.S. Bank for all middle- and back-office operational functions. • Principals of Saratoga are tied to the performance of the firm since they collectively own approximately 20%. Company • Founded in 1984, Saratoga is a New York-based asset manager that invests in leveraged loans through a BDC. • The firm is an experienced CLO portfolio manager. The portfolio manager (PM) and team have managed this CLO since 2010. • Stable investment team that relies on both in-house and external credit staff for credit analysis. • The firm has a long standing relationship with U.S. Bank to provide middle- and back-office support covering the necessary operational requirements to manage a CLO. Investments • Credits are approved by a three-person investment committee (Thomas Inglesby, Charles Philips and John MacMurray). • The firm employs six in-house credit analysts, who cover 20–30 credits per person. The scope of the firm’s credit analysis and cash flow modeling is limited to trailing cash flows rather than future cash flows, and the firm does not model base case or down case scenarios. • Saratoga has an existing agreement with a third party to provide it with credit analysis on approximately half of the firm’s existing CLO portfolio. • The firm manages one CLO, so trade execution does not appear to be overly challenging. The average trade position is approximately $2.0 million. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Robust level of control and oversight; Saratoga is a publically traded BDC, so it is subject to annual audits and SEC regulations. • Disciplined committee-based credit process, involving a three-person investment committee. • The firm relies on an internal rating scale to help track and monitor credit trends in its existing portfolio. Operations and Technology • Saratoga outsources all middle- and back-office duties, including trustee report reconciliation and CLO compliance to U.S. Bank, a well-recognized and experienced firm in this area. • The PM is able to view daily reports in U.S. Bank’s Pivot system, including real-time reports of CLO compliance that will be used for trading and pre-trade compliance. • Business continuity plans and cybersecurity measures are appropriate and tested.
Saratoga Investment Advisors, LLC March 6, 2020378 CLO
Sculptor Loan Management LP, Sculptor Europe Loan Management Limited and Sculptor CLO Management LLC are registered investment advisers indirectly owned by Sculptor Capital Management, Inc. (Sculptor Capital), a global institutional asset management firm founded in 1994. Sculptor Capital is active across a wide range of products, including multistrategy funds, credit funds, CLOs and real estate funds. As of Dec. 31 2019, the firm had $33.9 bil. in global assets under mangement (AUM), including 23 U.S. CLOs and 6 European CLOs.
U.S. Europe New York, NY London, U.K. 29 15 2012 2016 — $33.9 Bil. Global
$11.4 Bil. $2.7 Bil. a 23 6 24 6 aExcludes three customized solution vehicles and one comingled Fund (Sculptor Institutional Income Fund) but includes one CBO (Guardia1). Source: Sculptor Capital Management, Inc.
U.S. Europe 1 1 22 Years 22 Years >20 Years’ Credit Experience 1 — –20 Years’ Credit Experience 9 6 <10 Years’ Credit Experience 7 5 12 Years 13 Years 20–30 20–30 350–400 200–250 4 / 19 Years 3 / 16 Years Source: Sculptor Capital Management, Inc. ($ Bil.) 12 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source:Sculptor Capital Managment, Inc.
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387 Structured Finance CLO
Shenkman Capital Management, Inc. Shenkman Capital Management, Inc. (Shenkman) is an independent investment adviser founded in 1985 that provides investment management services to institutional and individual investors with an investment focus on highly leveraged companies in the following asset classes: high-yield bonds, senior secured loans, convertible bonds, opportunistic credit, short-duration high yield, multi-asset credit and structured credit. Shenkman has been managing CLOs since 2006 and, in 2017, established Romark CLO Advisors LLC (RCLO) and Romark Credit Advisors LP (RCA), known collectively as Romark, for the purpose of acting as collateral manager for newly issued CLOs and to satisfy risk retention regulatory requirements, with Shenkman serving as staff and services provider. Shenkman and Romark and their respective affiliates (collectively, the Shenkman Group) had $27.6 billion in total assets under management (AUM) as of Dec. 31, 2019, including nine CLOs with loan assets of approximately $6.6 billion.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 33 CLO Issuance Since 2006 Total Assets Under Management (AUM) $27.6 Bil.
Leveraged Loan AUM $6.6 Bil. Active CLOs Under Management 9 Total CLOs Managed 11 Source: Shenkman Capital Management, Inc.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 22 Years Loan Analysts with: >20 Years’ Credit Experience 6 10–20 Years’ Credit Experience 7 <10 Years’ Credit Experience 5 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 20−30 Approximate No. of Invested Credits 400−450 Distressed Credit Specialists / Avg. Experience 3 / 17 Years Source: Shenkman Capital Management, Inc.
Shenkman Capital Management, Inc. March 6, 2020388 Structured Finance CLO
U.S. Loan AUM Development ($ Bil.) 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Shenkman Capital Management, Inc.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 25 CLOs 59 High Yield Bonds 62 Managed Accounts 41 Third Party CLOs 3 Managed Funds 1 Other 9 Region Client Type U.S. 100 Insurance 15 Source: Shenkman Capital Management, Inc. Bank 3 Pension/Retirement 46 Endowment 1 Family Office / High Net Worth 2 Sovereign Wealth Funds 1 Other 34 Source: Shenkman Capital Management, Inc.
Shenkman Capital Management, Inc. March 6, 2020389 Structured Finance CLO
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Mark Shenkman CEO President, Co-CIO, Senior Portfolio Manager 34 50 Justin Slatkya CIO Executive VP/Co-CIO, Senior Portfolio Manager 9 20 Adam Kurzer Vice Chairman — 10 33 David Lernera Senior Portfolio Manager — 6 29 Jeff Galloa Portfolio Manager and Research Analyst — 14 19 Brian Goldberg Director of Loan Capital Markets & Trading & Portfolio Manager — 3 24 Jordan Barrow Portfolio Manager — 15 15 Eric Dobbin Portfolio Manager — 13 31 Robert Kricheff Senior Portfolio Manager and Global Strategist — 6 32 Max Roberts Chief Risk Officer — 1 23 Ned Oakley Portfolio Manager — 3 21 Nicholas Sarchese Senior Portfolio Manager — 17 24 David Sharret Director of Research — 7 23 Thomas Whitley Portfolio Manager — 11 11 Laurence Jollon Director of High Yield Capital Markets & Research Analyst — 7 21 ªNamed as key person on at least one of the firm's CLOs. Source: Shenkman Capital Management, Inc.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant a Brookside Mill 2013 1Q18 1Q19 467 466 R BSL No Sudbury Mill 2013 1Q17 1Q16 417 318 PR BSL No Romark WM-R (fka Washington Mill)a 2014 2Q18 2Q20 516 512 R BSL No Adams Mill 2014 2Q17 3Q16 552 458 PR BSL No Jackson Mill 2015 2Q18 1Q19 565 562 R BSL No Jefferson Mill 2015 3Q18 4Q20 418 417 R BSL No Romark Ia 2017 — 4Q19 459 459 R BSL No Romark IIa 2018 — 3Q20 459 459 R BSL No Romark IIIa 2019 — 3Q21 428 428 R BSL Yes aManaged by Romark CLO Advisors, LLC. R – Reinvesting. PR – Post-reinvestment. Source: Shenkman Capital Management, Inc.
Shenkman Capital Management, Inc. March 6, 2020390 Structured Finance CLO
Organizational Structure
Intercompany Agreement
Common Control Shenkman Capital Romark Credit Advisors LP Management, Inc. (RCA) Staff & & Staff Special Interest Services Member Agreement Romark CLO Ventures LLC Third-Party Investor
Romark CLO Advisors LLC (RCLO)
Management Fees Ownership/Retention Interest
RCLO – Sponsored CLO(s)
Source: Shenkman Capital Management, Inc.
Shenkman Capital Management, Inc. March 6, 2020391 Structured Finance CLO
The Fitch View — Shenkman Capital Management, Inc. Key Considerations • Highly experienced investment professionals and senior management averaging over 20 years of industry experience. • Thorough, well-defined credit process focusing on bottom-up analysis to avoid defaults and preserve capital. Well-defined investment discipline ensures all bank loan investments are approved before investment decisions are made. • Established new asset manager Romark in February 2017 to act as collateral manager and hold risk retention assets. CLO management services, including research, operational and administrative services, are ultimately provided to Romark by Shenkman. Company • Founded in 1985, Shenkman employs a total staff of 123, including 45 investment professionals, and has offices in New York, Stamford, CT and London. • Portfolio management team averages approximately 25 years of industry experience. • Low senior management turnover. • Invests across the credit universe, from senior secured bank loans, high-yield bonds, convertible securities and stressed/distressed securities to separate accounts and commingled funds. • Segregated departments/teams with clear responsibilities for risk and control, investments and operations. Investments • Investment strategy focused on comprehensive, bottom-up credit research. The credit research process is highly structured and disciplined, allowing for ease of replication across all investment products. • The credit research department is organized by industry specialty. From the initial coverage of a credit, all new investments are thoroughly researched, assigned an internal credit score and presented by the analyst to a formal credit committee. • Proprietary C.Scope© Score is used to assess an issuer’s financial, structural and technical characteristics. • Portfolio managers can only select investments from Shenkman’s approved list and interact daily with the analysts and traders to monitor events and company-specific developments. • Maintains a formal environmental, social and governance (ESG) policy using proprietary metrics embedded in the research process. Controls • Robust and deep governance and control structure, with experienced and stable support and operation teams. • Ongoing credit surveillance remains the responsibility of the analyst who originally assessed the asset. All issuers are reviewed at least quarterly. • Formal risk monitoring through portfolio attribution meetings focusing on recent portfolio construction and how risk characteristics have changed. Operations and Technology • No outsourcing of critical functions. Accounting, administrative back-office and legal teams with experience in leveraged finance, including bankruptcy and workouts, are all in-house. • Administrative capabilities reflect the highly qualified staff interacting with appropriate systems and processes. • High-yield, bank loan, opportunistic and convertible investment products undergo an annual GIPS examination. • Use of widely accepted industry systems and proprietary systems for portfolio management and administration, including Advent Geneva, Wall Street Office, Electra OpenStaARS, Markit ThinkFolio, Inforalgo Universal Viewer and Omgeo ALERT & OASYS.
Shenkman Capital Management, Inc. March 6, 2020392 Structured Finance CLO
Sound Point Capital Management, LP Sound Point Capital Management, LP (Sound Point) is a New York-based investment advisory firm. Founded in 2008, the company focuses on the corporate credit market and manages investments through CLOs, managed accounts and managed funds. As of Dec. 31, 2019, Sound Point had approximately $20.8 billion in assets under management (AUM).
Firm Profile Region(s) of CLO Operations U.S. Europe Location New York, NY London, U.K. Chicago, IL CLO Related Employees 23 7 CLO Issuance Since 2012 2019 Total Assets Under Management (AUM) $19.8 Bil. $1.0 Bil. Leveraged Loan AUM $18.7 Bil. $1.0 Bil. Active CLOs Under Management 25 2 Total CLOs Managed 26 2 Source: Sound Point Capital Management, LP. CLO Team Structure Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 2 1 PMs Average Experience 21 Years 19 Years Loan Analysts with: >20 Years’ Credit Experience 2 1 10–20 Years’ Credit Experience 6 2 <10 Years’ Credit Experience 6 4 Analyst Team Average Experience 11 Years 8 Years Loan Team Credits Per Analyst 50−60 20−30 Approximate No. of Invested Credits 500−550 150−200 Distressed Credit Specialists / Avg. Experience 6 / 21 Years 1 / 18 Years Source: Sound Point Capital Management, LP.
U.S. Loan AUM Development ($ Bil.) 20
15
10
5
0 2012 2013 2014 2015 2016 2017 2018 2019
Source: Sound Point Capital Management, LP.
Sound Point Capital Management, LP March 4, 2020393 Structured Finance CLO
European Loan AUM Development ($ Bil.) 2.0 1.5 1.0 0.5 0.0 2019 Source: Sound Point Capital Management, LP.
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 91 CLOs 81 Other 9 Managed Accounts 4 Client Type Managed Funds 15 Insurance 12 Region Bank 44 U.S. 95 Pension/Retirement 13 Europe 5 Family Office / High Net Worth 16 Source: Sound Point Capital Management, LP. Managed Accounts 6 Other 9 Source: Sound Point Capital Management, LP.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Stephen Ketchuma Managing Partner Chief Investment Officer 11 29 Rick Richerta Head of U.S. Par Loans Portfolio Manager 8 24 Brian McHugha Portfolio Manager Portfolio Manager 1 20 Joe Xu Portfolio Manager Portfolio Manager 5 13 ªNamed as key person on at least one of the firm's CLOs. Source: Sound Point Capital Management, LP.
European Credit Committee Experience (Years) Name Title Role Firm Industry Stephen Ketchum Managing Partner CIO 11 29 Russell Holliday Head of European Par Loans Portfolio Manager 1 19 Rick Richert Head of U.S. Par Loans Portfolio Manager 8 24 Brian McHugh Portfolio Manager Portfolio Manager 1 20 Source: Sound Point Capital Management, LP.
Sound Point Capital Management, LP March 4, 2020394 Structured Finance CLO
Active U.S. CLOs Under Management (As of January 2020) Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Sound Point II 2013 1Q18 1Q20 379 543 R BSL No Sound Point III-R 2013 2Q18 2Q19a 481 489 R BSL No Sound Point IV-R 2013 2Q18 2Q20 600 588 R BSL No Sound Point V-R 2014 3Q18 3Q20 600 587 R BSL No Sound Point VI-R 2014 4Q18 4Q20 600 593 R BSL No Sound Point VII-R 2014 4Q18 4Q20 500 492 R BSL No Sound Point VIII-R 2015 2Q19 2Q20 600 590 R BSL No Sound Point IX 2015 3Q19 3Q21 500 496 R BSL No Sound Point X 2015 3Q18 1Q18 450 441 PR BSL No Sound Point XI 2016 4Q18 4Q18 500 497 R BSL No Sound Point XII 2016 1Q19 4Q18 700 692 R BSL No Sound Point XIV 2016 3Q19 1Q19 700 693 R BSL No Sound Point XV 2017 3Q19 2Q19 650 644 R BSL No Sound Point XVI 2017 — 3Q19 800 788 R BSL No Sound Point XVII 2017 — 4Q19 800 790 R BSL No Sound Point XVIII 2018 — 1Q20 800 789 R BSL No Sound Point XIX 2018 — 2Q20 500 492 R BSL No Sound Point XX 2018 — 3Q20b 800 793 R BSL No Sound Point XXI 2018 — 4Q20 500 497 R BSL No Sound Point XXII 2019 — 1Q21 500 497 R BSL No Sound Point XXIII 2019 — 2Q21 600 598 R BSL No Sound Point XXIV 2019 — 3Q21 500 499 R BSL No Sound Point XXVc 2020 — 1Q22 450 450 R BSL No aClass A non-call period is 3Q19. bClass A non-call period is 1Q21. cSound Point XXV’s current portfolio balance displays a target par amount, as it has yet to reach its effective date. R – Reinvesting. PR – Post-reinvestment, Source: Sound Point Capital Management, LP.
Active European CLOs Under Management (As of January 2020) Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Sound Point Euro CLO I 2019 2Q19 2Q21 500 500 R Sound Point Euro CLO II 2019 3Q19 3Q21 400 400 R R − Reinvesting. Source: Sound Point Capital Management, LP.
Sound Point Capital Management, LP March 4, 2020395 Structured Finance CLO
Organizational Structure
Five Senior Principals of Stephen Ketchum Dyal Capital Partners Stone Point Capital LLC Managing Member
SPC Ketchum LP Partners GP, Partners, LLC LLC
GP Sound Point Capital Management, L.P. Sound Point Capital Collateral Manager (SEC Registered) (Services) Limited
Sound Point CLO C-MOA, LLC Sound Point Capital Sound Point (SEC Registered) U.S. CLOs Management U.K. LLP and Collateral Manager (FCA Registered) Warehouse Sound Point European CLOs and Warehouses Investment Manager Investment
Sound Point Euro CLO Management Sound Point Sound Point Sound Point LP Strategic Sound Point Senior Credit Sound Point Sound Point Capital CLO Fund Floating Rate opportunities Harbor Fund Beacon Fund Sound Point Master Fund Fund Fund Montauk (DAC) Fund, LP
SP Co-Invest Fund, LLC Onshore Onshore Onshore Onshore Onshore Onshore Sound Point Feeder Feeder Feeder Feeder Feeder Feeder CLO 1 Management, LP Offshore Offshore Offshore Offshore Offshore Managed Feeder Feeder Feeder Feeder Feeder Accounts
Source: Sound Point Capital Management, LP.
Sound Point Capital Management, LP March 4, 2020396 Structured Finance CLO
The Fitch View — Sound Point Capital Management, LP Key Considerations • Highly experienced investment professionals and senior management. The senior management team involved in the CLO business averages 16 years of industry experience. • All critical operational functions are handled in-house with sufficient dedicated resources. • Key-person risk is tied to Stephen Ketchum. However, this is largely mitigated by the ownership structure and the experience of the CLO team. Company • Established in 2008, Sound Point has 90 employees and offices in New York, London and Chicago. • The firm was founded by Stephen Ketchum, who has 29 years of investment experience. The senior management team averages approximately 21 years of industry experience. There have only been three senior management departures since inception. • Extensive industry experience wielded by senior investment professionals, who previously worked at and/or led loan and credit management firms such as MetLife, American Capital Management, and Prudential Financial. • Ketchum owns approximately 50% of Sound Point, with the remainder owned by certain senior principals of Stone Point Capital and Dyal Capital Partners. Investments • Investment strategy includes focusing on comprehensive bottom-up credit research and avoiding overcrowded trades. • Formalized committee-based decision-making process in place. A commitment is approved across all products. Proprietary tools are utilized to facilitate research, communication and investment decisions. • Investment committee consists of all investment professionals, with four senior investment members as voting members. Decisions formed through a consensus-driven approach. • Covering approximately 50 credits each, 15 research analysts formally review all credits at least quarterly as part of a comprehensive portfolio review. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Robust policies and procedures evidenced by the third-party valuation process and appropriate reconciliation and settlement process. • Continuous and open communication with the trustee, which also acts as administrator and custodian on other Sound Point funds. • Ongoing surveillance remains the responsibility of the analyst who originally assessed the asset. All issuers are reviewed at least quarterly. • The investment process allows replication across all products and provides clear rules for allocation. • Well-defined and thorough operational procedures, including internal risk controls. Operations and Technology • Automated and integrated daily reconciliation of cash and securities with various trustees, as well as through appropriate third-party and proprietary systems. • Administrative capabilities reflect the highly qualified staff interacting with appropriate systems and processes. • Appropriate decision-making tools for risk analysis and investment allocation. The firm uses widely accepted industry systems and proprietary systems for portfolio management and administration, including Wall Street Office Web, Markit, Advent Geneva, Bloomberg and Black Mountain Everest. • Business continuity plans and cybersecurity measures are appropriate and tested.
Sound Point Capital Management, LP March 4, 2020397 Structured Finance CLO
Steele Creek Investment Management Steele Creek Investment Management (Steele Creek) is a Charlotte, NC-based CLO manager that was established in 2013 by Glenn Duffy, the co-founder and former CIO of Columbus Nova’s CLO business, and Matt Stouffer, previously managing director at Deerfield Capital Management. The firm is wholly owned by Moelis Asset Management LP (MAM), a global independent asset management firm that was founded in 2007. As of Dec. 31, 2019, Steele Creek had $3.4 billion in assets under management (AUM).
Firm Profile Region(s) of CLO Operations U.S. Location Charlotte, NC CLO Related Employees 13 CLO Issuance Since 2014 Total Assets Under Management (AUM) $3.4 Bil. Leveraged Loan AUM $3.4 Bil. Active CLOs Under Management 8 Total CLOs Managed 8 Source: Steele Creek Investment Management. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 22 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 3 Analyst Team Average Experience 12 Years Loan Team Credits Per Analyst 40−50 Approximate No. of Invested Credits 250−300 Distressed Credit Specialists / Avg. Experience 3 / 25 Years Source: Steele Creek Investment Management.
U.S. Loan AUM Development ($ Bil.) 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2014 2015 2016 2017 2018 2019
Source: Steele Creek Investment Management.
Steele Creek Investment Management March 13, 2020398 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 97 Source: Steele Creek Investment Management. Managed Accounts 3 Region U.S. 93 Europe 7 Source: Steele Creek Investment Management.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Glenn Duffya Managing Director Chief Investment Officer 6 30 Matt Stouffera Managing Director Head of Portfolio Management 6 32 Chris Ryana Managing Director Head of Moelis Asset Management 6 35 ªNamed as key person on at least one of the firm's CLOs. Source: Steele Creek Investment Management.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Steele Creek 2014-1 2014 3Q18 3Q19 400 425 R BSL No Steele Creek 2015-1 2015 2Q17 2Q19 350 353 R BSL No Steele Creek 2016-1 2016 2Q18 2Q20 300 303 R BSL No Steele Creek 2017-1 2017 — 4Q19 450 451 R BSL No Steele Creek 2018-1 2018 — 2Q20 400 400 R BSL No Steele Creek 2018-2 2018 — 3Q20 400 400 R BSL No Steele Creek 2019-1 2019 — 2Q21 400 400 R BSL No Steele Creek 2019-2 2019 — 2Q21 400 401 R BSL No R – Reinvesting. Source: Steele Creek Investment Management.
Organizational Structure
Moelis & Company Manager LLC
General Partner
Moelis Asset Management LP
Sole Member
Moelis Steele Creek Holdings, LLC
Sole Member
Steele Creek Investment Management LLC
Source: Steele Creek Investment Management LLC.
Steele Creek Investment Management March 13, 2020399 Structured Finance CLO
The Fitch View — Steele Creek Investment Management Key Considerations • Experience of senior portfolio managers (PMs) Duffy, Stouffer and Max Wagenberg who together average more than 25 years’ industry experience in the loan market and have extensive experience managing CLOs. • Benefits from resources and commitment of parent (MAM) with substantial scale. • Key person risk tied to Duffy and Stouffer for maintaining growth and execution of the CLO business. Company • Steele Creek is led by Duffy (30 years’ industry experience, including 20 years’ CLO experience), who was formerly head of research and trading at Columbus Nova, and Stouffer (32 years’ industry experience, including 17 years’ CLO experience). • MAM has made both resource and financial commitments to Steele Creek. The resource commitment involves the provision of certain types of services, such as finance, accounting, legal, compliance and information technology support, and financial commitment consists of both CLO equity co-investment and working capital. • In addition to PMs, the CLOs are supported by eight credit analysts with industry experience ranging from three to 21 years. Investments • As a buy-and-hold manager, Steele Creek constructs portfolios based on bottom-up fundamental analysis and selectively choosing the top performers on a relative basis across all sectors. • Industry factors are considered in underwriting and portfolio construction and are used to determine the relative weighting of positions in CLOs. A 0.50%–0.75% exposure per issuer is typically targeted. • As part of the investment committee process, Steele Creek utilizes proprietary credit grading systems that independently assess and quantify a borrower's credit worthiness, covenant quality and loss in default. • The investment committee consists of three senior investment professionals, who together average 32 years of investment experience. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Daily credit risk monitoring process supported by appropriate portfolio management framework. • Multiple levels of review and oversight, including review of risk rules by compliance team, trustee review, rating agency reviews and weekly portfolio reviews. • Portfolio management and credit analysis are conducted in-house, supplemented by the use of third-party analytical resources, including Wall Street Office (WSO) and Black Mountain Systems. Operations and Technology • Strong compliance program and culture in place. Emphasis on operational excellence supported by rigorous review and reconciliation procedures with vendors and custodian banks. • Steele Creek performs both pre- and post-trade compliance testing on all investments. • Flexible platform based on a combination of proprietary analytics and third-party administration systems, including widely accepted industry systems such as Bloomberg, WSO and Black Mountain Systems. • Black Mountain Systems’ front-to-back office portfolio management system is tailored to CLO management. It provides positions in real time, as well as portfolio attribution analysis and acts as the trade order management system.
Steele Creek Investment Management March 13, 2020400 Structured Finance CLO
Symphony Asset Management LLC Symphony Asset Management LLC (Symphony) is a diversified investment manager headquartered in San Francisco, CA, with an office in New York, NY. Founded in 1994, it was subsequently acquired by Nuveen Investments, Inc. (Nuveen) in 2001, which was acquired by TIAA in October 2014. As of Dec. 31, 2019, Symphony had assets under management (AUM) of $17.3 billion, approximately one-third of which related to its CLO vehicles.
Firm Profile Region(s) of CLO Operations U.S. Location San Francisco, CA CLO Related Employees 24 CLO Issuance Since 2005 Total Assets Under Management (AUM) $17.3 Bil. Leveraged Loan AUM $15.2 Bil. Active CLOs Under Management 13 Total CLOs Managed 23 Source: Symphony Asset Management LLC
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 22 Years Loan Analysts with: >20 Years’ Credit Experience 4 10–20 Years’ Credit Experience 14 <10 Years’ Credit Experience 6 Analyst Team Average Experience 13 Years Loan Team Credits Per Analyst 40–50 Approximate No. of Invested Credits 300–350 Distressed Credit Specialists / Avg. Experience 1 /20 Years Source: Symphony Asset Management LLC
U.S. Loan AUM Development
18 16 14 12 10 8 6 4 2 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Symphony Asset Managment LLC.
Symphony Asset Management LLC March 23, 2020401 tr ct red inance
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e itc ie — p n sset ana e ent C e C nsiderati ns s of s a s a d o y of o ss s a a Aff a o affo ds y o y Ass Ma a y o y s o s of so s a d a o Ma a s a y a o y s aff a d s a oo a d as d s y o o a o o a s C pan o d d 1 y o y as s s y a d y s s 1 as a d y AA o 1 o s o o d d y a o a y o y s a a s o d s y a s ssf y o s o a s o s of y phony’s credit team have worked together for more than a decade o d o y fo a y o y oys of ss o a s d a oa a of d d a s n est ents d d s a a o o o as as a f da a o o s a d a a o a a ys s as s o d y ass o a a d a o of do s d s A o a o a a ys s a d o fo o a a o da y a s o a ds a s o s ad s ad d as a d a a s fo d d a s s a o fo o a a o ss o d a d d s o o o d f d o s s y d s oso y s o d y s a a a ys s a d s d s s o o ss s o s d s o o ss o s a s as a d a fo a d o as o ss s s f d d a d d d s f o o a s o a so a a d o a o o a s o s d a o s o s a a ys s C ntr s o d o a a d o o s add o a o a o s y a o a y y o y f y a a s s o ss s o s a d oo d a o of d a y a o s s d s d o as d o ss o fo o a a s Ms a f a s s o s y perati ns and ec n of ad s a o s o d y o s sys s a d o d s o a y sys s a a y as o a o of s s s a d d a y da a so s Symphony’s proprietary CDO s f oo s sys s a o ff y od d s a a y ad s a a o a o d a d management/investor reporting and reconcile trustee’s accounting. d of d a y a d o a y sys s s d d a ff a d Ad a s ss o y a s a d y s y as s a a o a a d s d
y o y Ass Ma a Ma 404 Structured Finance CLO
TCI Capital Management LLC TCI Capital Management LLC (TCICM) is a collateral manager and sponsor of CLOs. As of Dec. 31, 2019, TCICM managed five CLOs and had approximately $2.6 billion in assets under management (AUM). TCICM manages loan assets exclusively through CLOs. TCICM utilizes and expects to continue utilizing the investment expertise of certain third-party sub-advisers to assist in the management of its CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 21 CLO Issuance Since 2016 Total Assets Under Management (AUM) $2.6 Bil. Leveraged Loan AUM $2.6 Bil. Active CLOs Under Management 5 Total CLOs Managed 5 Source: TCI Capital Management LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 30 Years Loan Analysts with: >20 Years’ Credit Experience 3 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 4 Analyst Team Average Experience 16 Years Loan Team Credits Per Analyst 40-50 Approximate No. of Invested Credits 400-450 Distressed Credit Specialists / Avg. Experience 1 / 26 Years Note: TCICM relies on the services (including, without limitation, investment management services) of certain affiliated service providers, including LCM Asset Management LLC and TFG Asset Management L.P. Source: TCI Capital Management LLC.
U.S. Loan AUM Development ($ Bil.) 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2016 2017 2018 2019 Source: TCI Capital Management LLC.
TCI Capital Management LLC March 26, 2020405 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 100 Source: TCI Capital Management LLC. Region U.S. 100 Source: TCI Capital Management LLC.
U.S. Credit Committee Experience (Years) Name Title Firm Industry Dagmara Michalczuk Board of Managers 13 15 Michael Pang Board of Managers 13 16 Farboud Tavangar Board of Managers 18 33 Source: TCI Capital Management LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant TCI-FLATIRON CLO 2016-1 2016 1Q19 1Q20 400 399 R BSL No TCI-SYMPHONY CLO 2016-1 2016 4Q19 4Q20 500 501 R BSL No TCI-SYMPHONY CLO 2017-1 2017 — 3Q19 650 652 R BSL No TCI-FLATIRON CLO 2017-1 2017 — 3Q19 500 500 R BSL No TCI-FLATIRON CLO 2018-1 2019 — 1Q21 500 500 R BSL No R – Reinvesting. Source: TCI Capital Management LLC.
TCI Capital Management LLC March 26, 2020406 Structured Finance CLO
Organizational Structure
Tetragon Financial Group Limited Permanent capital company listed on Euronext Amsterdam N.V. and the Specialist Fund Market of the London Stock Exchange
Limited Partner Min. 20% Limited Partner Min. 20%
Tetragon Credit Income II L.P Tetragon Credit Income III L.P TCI Capital Management LLCᵇ (Risk Retention Party) (Risk Retention Party) (TCICM) Cayman Islands Cayman Islands Delaware
Risk Collateral Risk Retention Manager/ Retention Investment Sponsor Investment Risk retention TCI Capital CLO equity Management II Risk retention CLO equity investment in LLCª investment in CLOs managed CLOs managed (TCICM II) by TCICM by TCICM II Delaware
ªTCI Capital Management II LLC (TCICM II), a 100% owned subsidiary of Tetragon Credit Income II L.P. (TCI II), acts as a collateral manager and sponsor of certain CLOs in which TCI II has made equity investments. TCICM and TCICM II have the same board of managers and operate in a substantially similar manner. ᵇTCI Capital Management LLC (TCICM), a 100% indirectly owned subsidiary of Tetragon Financial Group Limited, acts as a collateral manager and sponsor of certain CLOs in which TCI III has made/will make equity Investments. TCICM and TCICM II have the same board of managers and operate in a substantially similar manner. Source: TCI Capital Management LLC.
TCI Capital Management LLC March 26, 2020407 Structured Finance CLO
The TCW Group, Inc. The TCW Group, Inc. (TCW) is a Los Angeles-based investment management firm founded in 1971. As of Dec. 31, 2019, the company had $217.5 billion in global assets under management (AUM), with investments spanning fixed-income, equity and alternative investments. TCW manages over $3.4 billion in leveraged loans among five post-crisis CLOs, allocations from separate accounts and a floating-rate mutual fund.
Firm Profile Region(s) of CLO Operations U.S. Location Los Angeles, CA CLO Related Employees 30 CLO Issuance Since 2013 Total Assets Under Management (AUM) $217.5 Bil. Leveraged Loan AUM $3.4 Bil. Active CLOs Under Management 5 Total CLOs Managed 5 Source: The TCW Group, Inc. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 4 PMs Average Experience 30 Years Loan Analysts with: >20 Years’ Credit Experience 5 10–20 Years’ Credit Experience 4 <10 Years’ Credit Experience 4 Analyst Team Average Experience 15 Years Loan Team Credits Per Analyst 40−50 Approximate No. of Invested Credits 250−300 Distressed Credit Specialists / Avg. Experience 1 / 19 Years Source: The TCW Group, Inc.
U.S. Loan AUM Development
($ Bil.) 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2013 2014 2015 2016 2017 2018 2019
Source: The TCW Group, Inc.
The TCW Group, Inc. March 20, 2020408 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 20 CLOs 62 Broadly Syndicated Loans 2 Managed Accounts 5 Middle Market Loans 2 Managed Funds 33 High Yield Bonds 1 Region Structured Credit (non-CLOs) 39 U.S. 100 Equities 3 Source: The TCW Group, Inc. Other 33 Client Type Insurance 4 Pension/Retirement 15 Endowment 2 Sovereign Wealth Funds 6 Managed Accounts 2 Other 71 Source: The TCW Group, Inc.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Jerry Cudzila Managing Director Head of Credit Trading 8 >20 Drew Sweeneya Managing Director Loan Trader/PM 5 >20 Steve Purdya Managing Director Director of Credit Research 4 19 ªNamed as key person on at least one of the firm's CLOs. Source: The TCW Group, Inc.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Figueroa CLO 2013-2 2013 2Q18 4Q18 400 296 PR BSL No Figueroa CLO 2014-1 2014 3Q18 1Q19 413 248 PR BSL No TCW CLO 2017-1 2017 — 3Q19 408 401 R BSL No TCW CLO 2018-1 2018 — 3Q20 408 401 R BSL No TCW CLO 2019-1 2019 1Q20 2Q20 403 401 R BSL No TCW CLO 2019-2 2019 — 3Q21 408 401 R BSL No PR – Post-reinvestment. R – Reinvesting. Source: The TCW Group, Inc.
The TCW Group, Inc. March 20, 2020409 Structured Finance CLO
Organizational Structure
Funds Managed by Carlyle TCW Employee Owners Nippon Life Insurance Company Investment Management LLC 44.07% 24.75% 31.18%
TCW Holding Companies 100%
The TCW Group, Inc.
Manager Note: Percentage shareholdings are approximate, reflect fully diluted ownership as of Dec. 31, 2019, and are subject to change. Source: The TCW Group, Inc.
The TCW Group, Inc. March 20, 2020410 Structured Finance CLO
The Fitch View — The TCW Group, Inc. Key Considerations • TCW is a well-capitalized multistrategy asset manager with a broad investor base, including pension plans, financial institutions, endowments and foundations. • Credit team leadership has extensive experience managing bank loans and CLOs. Company • TCW is a Los Angeles-based investment management firm founded in 1971. As of Dec. 31, 2019, the company had $217.5 billion in global AUM, with investments spanning fixed- income, equity and alternative investments. • TCW manages over $3.4 billion in leveraged loans among six post-crisis CLOs, allocations from separate accounts and a floating-rate mutual fund; it previously managed 18 CLOs through separate investment teams that are no longer affiliated with the company. • Credit research team consists of 14 professionals, including five analysts with over 20 years of experience. Investments • Access to deal flow is helped by TCW’s overall market presence and long-standing relationships. • Credit team structure shows excellent communication and clear lines of responsibility among research heads, portfolio managers (PMs), traders and credit analysts. • CLO positioning and overall strategy are set by senior traders Jerry Cudzil and Drew Sweeney and credit research head Steve Purdy. • Primary analysts make recommendations to a formal loan credit committee, which consists of three permanent members and two rotating members. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Across TCW’s portfolios, the firm uses multiple data sources, in conjunction with internal models, to identify investments that will preserve and grow its clients’ financial assets. An assessment of material ESG factors are one aspect that contributes to the firm’s overall assessment of a credit’s value and return potential, allowing it to identify potential downside risks and attractive investment opportunities. Controls • Robust controls are in place, and TCW benefits from strong relationships with its administrators, custodians and trustees. • Well-staffed compliance department provides oversight of trading activities, key data and investment guidelines. • TCW’s legal department monitors access to non-public information for bank loans. A robust information wall exists between associates and PMs with access to non-public information. Operations and Technology • Operations platform is highly integrated with respect to position-keeping, trade settlement, administration and front-office functionality. • The team reconciles cash and positions daily (in CLOs), with monthly report reconciliation via automated feeds with the trustee. • All trade settlement is managed by a dedicated team responsible for all aspects of trade settlement after trade execution. • Comprehensive business continuity planning framework includes frequent testing of critical operations. Critical applications and data are backed up regularly throughout the day. • Markit/ClearPar is used for trade repository for electronic document execution and bank loan settlement. • Wall Street Office is used for reconciliation and compliance. TCW settles all bank loans internally.
The TCW Group, Inc. March 20, 2020411 Structured Finance CLO
Teachers Advisors, LLC Teachers Insurance and Annuity Association of America (TIAA) conducts certain asset management activities through its wholly owned subsidiary, Nuveen, LLC (Nuveen). Teachers Advisors, LLC (TAL), an indirect, wholly owned subsidiary of TIAA, is a core adviser for the TIAA Investments division of Nuveen. The leveraged finance (LF) team and CLO platform are a part of TIAA Investments’ global fixed-income unit. Nuveen managed approximately $1.1 trillion in total assets and $6.0 billion in leveraged loans as of Dec. 31, 2019.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY; Charlotte, NC; Minneapolis, MN CLO Related Employees 20 CLO Issuance Since 2016 Total Assets Under Management (AUM) $1.1 Tril.ᵃ Leveraged Loan AUM $6.0 Bil.ᵇ Active CLOs Under Management 4 Total CLOs Managed 4 ᵃNuveen AUM. ᵇTAL managed. Source: Teachers Advisors, LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 20 Years Loan Analysts with: >20 Years’ Credit Experience 4 10–20 Years’ Credit Experience 9 <10 Years’ Credit Experience — Analyst Team Average Experience 17 Years Loan Team Credits Per Analyst 40−50 Approximate No. of Invested Credits 350 Distressed Credit Specialists / Avg. Experience 1 / 20 Years Source: Teachers Advisors, LLC.
U.S. Loan AUM Development ($ Bil.) 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Teachers Advisors, LLC.
Teachers Advisors, LLC February 14, 2020412 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown
(%) (%) Asset Type Asset Type Investment Grade Corporates 13 CLOs 29 Broadly Syndicated Loans <1 Managed Accounts 61 Middle Market Loans <1 Managed Funds 10 High Yield Bonds 1 Region Structured Credit (non-CLOs) 6 U.S. 100
Third Party CLOsᵃ 1 Source: Teachers Advisors, LLC. Equities 33 Otherᵇ 44 Client Type Insurance 27 Pension/Retirement 13 Managed Accounts 9 Other 49 ᵃIncludes $1.8 billion in TIAA CLOs. ᵇIncludes real estate, real assets, private equity, emerging markets debt, sovereign debt, cash and other assets. Note: Data represents Nuveen AUM breakdown. Source: Teachers Advisors, LLC.
CLO Portfolio Management Experience (Years) Name Title Role Firm Industry a Anders Persson Managing Director Leveraged Loan/CLO Portfolio Manager/Head of Fixed Income Research 15 25 a Chris Williams Managing Director Co-Portfolio Manager of CLOs; Head of Leveraged Finance Trading 8 15 ªNamed as key person on at least one of the firm's CLOs. Source: Teachers Advisors, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant TIAA CLO I R 2016 — 2Q18 456 436 R BSL Yes TIAA CLO II 2017 — 1Q19 455 437 R BSL Yes TIAA CLO III 2017 — 1Q20 459 427 R BSL Yes TIAA CLO IV 2018 — 1Q21 458 431 R BSL Yes R – Reinvesting. Source: Teachers Advisors, LLC.
Teachers Advisors, LLC February 14, 2020413 Structured Finance CLO
Organizational Structure
TIAA Board of Overseers
Teachers Insurance and Annuity Association of America (TIAA)
Nuveen, LLC
Nuveen Alternatives Advisors LLC Nuveen Securities, LLC
TIAA-CREF Investment Management, LLC Gresham Investment Management LLC
Teachers Advisors, LLC Santa Barbara Asset Management, LLC
AGR Partners LLC Nuveen Asset Management, LLC
NWQ Investment Management Company, Nuveen Real Estate Limited LLC
Westchester Group Investment Symphony Asset Management LLC Management Holding Company, Inc.
GreenWood Resources, Inc. Winslow Capital Management, LLC
Churchill Asset Management LLC
Note: This chart does not include all downstream subsidiaries of Nuveen, LLC or the subsidiaries depicted above. Dotted lines indicate intermediate entities that are not illustrated in this chart. Source: Teachers Advisors, LLC.
Teachers Advisors, LLC February 14, 2020414 Structured Finance CLO
The Fitch View — Teachers Advisors, LLC Key Considerations • Experienced loan manager with large institutional backing. • Highly centralized investment decision-making process with full loan approval authority held by the lead portfolio manager (PM). Company • TIAA conducts certain asset management activities through its wholly owned subsidiary, Nuveen. TAL, an indirect, wholly owned subsidiary of TIAA, is a core adviser for the TIAA Investments division of Nuveen. The LF team and CLO platform team are a part of TIAA Investments’ global fixed-income unit. • TIAA Investments managed approximately $6.0 billion in leveraged loans and $11.8 billion in high-yield assets as of Dec. 31, 2019. The firm also managed four CLOs (one newly closed) as of the same date. Investments • The LF team has 20 members and is a highly collaborative effort between leveraged loan and high-yield analysts. There are 14 senior analysts in total focusing on leveraged loans, 11 of whom also cover high-yield opportunities. • Analysts and traders are given responsibility to generate investment ideas and determine relative value across sectors and mandates. • There is no formal CLO investment committee by design. Firmwide, Nuveen prefers high accountably for PMs for each investment mandate. As such, lead PM Anders Persson, with support from CLO co-PM Chris Williams, has full authority on all investment decisions for the leveraged loan team. • Credits per analyst currently stand around 40–45 names. The team looks to add staff when the average nears 50 credits per analyst. • One junior analyst provides backup coverage on names. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Internal ratings for all loans are generated via Moody’s RiskCalc system and tracked in a proprietary portfolio management system. A separate risk management group tracks internal ratings on an ongoing basis. • The risk management team also conducts monthly reviews of watchlist names, holdings failing tests and loans where internal ratings differ from external ratings. • Overall compliance and risk management culture is strong due to the affiliation with TIAA. Operations and Technology • Outsources CLO compliance and administration to Deutsche Bank. CLO trustee US Bank also provides the firm with its compliance module, which the LF operations team then runs in parallel. • The team has added BlackMountain Systems’ web-based application for a fully integrated front-, middle-, and back-office system. All compliance and cash management functions are conducted in house. • The LF team has access to overall TIAA IT infrastructure. • All leveraged loan trades and closings are processed through Bloomberg AIM. • Other third-party vendors include CDO Suite, Markit, BlackMountain, ClearPar and Deutsche Bank (for loan closing and collateral administration). • Nuveen has a robust and regularly tested business continuity/disaster recovery plan in place. All Nuveen employees have remote access capabilities.
Teachers Advisors, LLC February 14, 2020415 Structured Finance
THL Credit Advisors LLC redit dvisors and its wholly owned subsidiary redit enior oan trategies olle tively redit anage publi and private vehi les through two pri ary business platfor s ire t ending and radable redit he radable redit tea ainly invests in broadly syndi ated ban loans and high yield bonds through s losed end funds separate a ounts and o ingled funds s of e redit had appro i ately billion in assets under anage ent (AUM). The firm’s acquisition by First Eagle Credit Partners, LLC will close in 1Q20.
Firm Profile Region(s) of CLO Operations Location hi ago CLO Related Employees CLO Issuance Since Total Assets Under Management (AUM) il Leveraged Loan AUM il Active CLOs Under Management Total CLOs Managed our e redit dvisors
CLO Team Structure Region(s) Number of CLO Portfolio Managers (PM) PMs Average Experience ears Loan Analysts with: >20 Years’ Credit Experience 10–20 Years’ Credit Experience <10 Years’ Credit Experience Analyst Team Average Experience ears Loan Team Credits Per Analyst – Approximate No. of Invested Credits – Distressed Credit Specialists / Avg. Experience ears our e redit dvisors
U.S. Loan AUM Development il
our e redit dvisors
redit dvisors Mar h 416 tr ct red inance CL
ta rea d n an rea d n ( ) ( ) sset pe sset pe roadly yndicated Loans 2 CL s Middle Mar et Loans Managed Accounts 1 ther 2 Managed Funds ource T L Credit Ad isors LLC. e i n U. . 2 Euro e ther 1 ource T L Credit Ad isors LLC.
Credit C ittee Experience Years a e it e e ir nd str ames Fellows C Co ead Tradable Credit Portfolio Manager Managing irector rian ood Co ead Tradable Credit Portfolio Manager enior Managing irector obert ic ey Managing irector Portfolio Manager rian Mur hy ead of Ca ital Mar ets Portfolio Manager Managing irector 2 te e rull Managing irector Portfolio Manager 22 Michael er ig Managing irector ead of usiness e elo ment 0
ource T L Credit Ad isors LLC.
T L Credit Ad isors LLC March 1 , 2020417 tr ct red inance CL
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant ind i er 2012 1 2012 Q1 1Q1 1 Amort L o ind i er 201 1 201 Q1 Q1 L o ind i er 201 2 201 Q1 Q1 L o ind i er 201 1 201 Q1 2Q20 20 L o ind i er 201 2 201 1Q1 1Q20 2 0 L o ind i er 201 201 Q1 Q20 0 00 L o ind i er 201 1 201 Q1 Q20 1 0 L o ind i er 201 2 201 Q1 Q1 2 L o ind i er 201 1 201 Q1 Q1 0 L o ind i er 201 2 201 Q1 Q20 0 L o ind i er 201 1 201 Q1 2Q1 12 02 L o ind i er 201 2 201 — Q1 11 0 L o ind i er 201 201 — Q1 1 0 L o ind i er 201 201 — Q1 1 0 L o ind i er 201 1 201 — Q20 12 01 L o ind i er 201 2 201 — Q20 11 01 L o ind i er 201 201 — Q20 0 00 L o ind i er 201 201 — Q21 0 01 L o ind i er 201 1 201 — 2Q21 0 01 L es ind i er 201 2 201 — Q21 01 0 U L es ind i er 201 201 — 2Q21 11 01 L o Amort – Amorti ing. – ein esting. U – am u ource T L Credit Ad isors LLC.
r ani ati na tr ct re
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irect endin rada e Credit Middle-market sponsored/unsponsored Senior loans and other high-yielding non-investment-grade debt credit products
C C ana e ent usiness e elo ment Com any April 2010 IPO nstit ti na nds eparate cc nts
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ote T L Credit Ad isors LLC is the sub ad isor of T L Credit enior Loan Fund ( E T LF), which launched in e tember 201 . Chart is as of ec. 1, 201 , so it does not reflect the acquisition by First Eagle Credit Partners, LLC. ource T L Credit Ad isors LLC.
T L Credit Ad isors LLC March 1 , 2020418 tr ct red inance
e itc ie — Credit d is rs C e C nsiderati ns only bank loans and CLOs. None of the firm’s issued C pan n est ents C ntr s contractual requirements across the company’s various business lines. perati ns and ec n
419 Structured Finance CLO
Tikehau Capital Tikehau Capital is an asset management and investment group with €25.8 billion of assets under management (AUM) as of Dec. 31, 2019 and shareholders’ equity of €3.1 billion as of June 30 2019. The firm invests in various asset classes (private debt, real estate, private equity and liquid strategies) on behalf of institutional and private investors. Controlled by its managers, alongside leading institutional partners, Tikehau Capital had 500 employees as of Dec. 31, 2019 in its Paris, London, Brussels, Madrid, Milan, Amsterdam, Luxembourg, New York, Seoul and Singapore offices. Tikehau Capital is listed on the regulated market of Euronext Paris, Compartment A.
Firm Profile Region(s) of CLO Operations Europe Location London, U.K. CLO Related Employees 22 CLO Issuance Since 2015 Total Assets Under Management (AUM) €25.8 Bil. Leveraged Loan AUM €4.0 Bil. Active CLOs Under Management 5 Total CLOs Managed 5 Source: Tikehau Capital. CLO Team Structure Region(s) Europe Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 31 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 10 Analyst Team Average Experience 9 Years Loan Team Credits Per Analyst 10−20 Approximate No. of Invested Credits 200−250 Distressed Credit Specialists / Avg. Experience — Source: Tikehau Capital. European Loan AUM Development (€ Bil.) 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2012 2013 2014 2015 2016 2017 2018 2019
Source: Tikehau Capital.
Tikehau Capital March 20, 2020420 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Private Debt - Direct Lending 14 CLOs 50 Private Debt - Leveraged Loans 16 Managed Accounts 28 Private Debt - Corporate Lending 4 Managed Funds 22 Real Estate 36 Region Private Equity 16 Europe 100 Liquid Strategies - Fixed Income 10 Source: Tikehau Capital. Liquid Strategies - Equity 4 Client Type Institutional 46 Asset Managers 16 Banks and Other Distributors 11 Family Offices 14 Tikehau Capital Group 10 Other 3 Source: Tikehau Capital.
European Credit Committee Experience (Years) Name Title Role Firm Industry Mathieu Chabran CIO of Tikehau Capital Chairman alternative of Credit Committee 16 21 Debra Andersona Head of CLO Business Senior Portfolio Manager 6 32 Alison Goold CLO Portfolio Manager Senior Portfolio Manager 5 29 Rodolfo Caceres Head of Credit Research Chairman of Credit Committee 13 20 Maxime Laurent-Bellue Head of Senior Loan Senior Portfolio Manager Funds 13 13 Vanessa Braithwaite Loan Fund Portfolio Senior Portfolio Manager Manager 3 19 ªNamed as key person on at least one of the firm's CLOs. Source: Tikehau Capital.
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Tikehau CLO 2015 4Q17 3Q17 340 332 PR Tikehau CLO II 2016 2Q19 4Q18 400 400 R Tikehau CLO III 2017 — 4Q19 420 420 R Tikehau CLO IV 2018 — 4Q20 400 400 R Tikehau CLO V 2019 — 4Q21 440 441 RU PR – Post-Reinvestment. R – Reinvesting. RU – Ramp-up. Source: Tikehau Capital.
Tikehau Capital March 20, 2020421 Structured Finance CLO
Organizational Structure
Managementa Others
Tikehau Capital Listed company
100% 100% 100%b 100%c 96% Tikehau ACE Tikehau Capital Sofidy Investment Management Credit.fr Europe Real Estate Asset Management Private Equity Crowd lending CLO Manager Manager Asset Manager Manager
ªIncluding Tikehau Capital Advisors (36.9%), Fakarava Capital (6.8%). bFonds Stratégique de Participations’s (FSP) shareholders: CNP Assurances, SOGECAP, Groupama, Natixis Assurance, Suravenir, BNP Paribas Cardif, Credit Agricole Assurances. cDirectly and indirectly. Source: Tikehau Capital.
Tikehau Capital March 20, 2020422 Structured Finance CLO
The Fitch View — Tikehau Capital Key Considerations • The first CLO was launched in 2015, although the Tikehau Capital has been active in the leveraged loan market since 2007. • The CLO team has in-depth CLO management experience under the leadership of CLO portfolio manager (PM), Debra Anderson, who has 32 years of experience (most recently at GSO / Blackstone). • Principal investment capability with sufficient capital to support the issuance of multiple CLOs. Company • Tikehau Capital is an experienced investor in European credit through its various strategies including leveraged loans, high yield, direct lending and real estate. • In addition to CLOs, the Tikehau Capital invests in leveraged loans via managed accounts and unlevered funds and has a total of circa €4.0 billion in AUM across its leveraged loan platform as of Dec. 31, 2019 • Experienced team across leveraged loan platform has nine professionals dedicated to portfolio and transaction management (four PMs, including the two CLO PMs, and a dedicated loan trader) plus 13 analysts (seven covering leveraged loans and six high yield, each with specific sector specialization) as of Dec. 31, 2019. Investments • Investment strategy is based upon fundamental bottom-up credit analysis and disciplined portfolio monitoring. • A standardized credit memo is prepared for each investment and is discussed at a leveraged loan credit committee whose members comprise the four PMs, the head of credit research and group CIO. • An investment committee, comprising the two CLO PMs and group CIO, will then decide whether the investment is appropriate for the CLOs and position sizing, taking into consideration relative value and diversification. Sales are at the discretion of the PM. • Monitoring is ongoing, undertaken by the credit analysts based on a monthly/quarterly review of issuer data and the use of an in-house developed internal ratings system. • Tikehau Capital leveraged loan analysts each cover an average of 15–20 names and high- yield analysts, 40–50 names each. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • The overall regulatory and compliance framework is overseen by a risk and compliance committee, which reports to the Tikehau Capital Europe (TCE) board at least every six months. • Tikehau Capital maintains walls of separation as appropriate between the CLO business and other business units. Public/private status and the management of related information are overseen by compliance. Tikehau Capital is public only if it invests in a public security such as high-yield bonds. • TCE’s compliance team in London consists of a FCA-approved compliance officer (Senior Management Function – SMF 16) managing the day-to-day organizational and compliance processes for the firm. Operations and Technology • CLO trade settlements and data administration functions are outsourced to IHS Markit under a service-level agreement; however Tikehau Capital maintains in-house oversight and controls. • Cash and portfolio positions are reconciled daily between Tikehau Capital and the trustees. Hypothetical trading scenarios are undertaken using proprietary excel models. Compliance tests and cushions are continually monitored and reconciled utilizing proprietary systems and Wall Street Office (WSO) Compliance modules.
Tikehau Capital March 20, 2020423 CLO
Trimaran Advisors, LLC and its affiliates (Trimaran) is a U.S. alternative asset management platform with $3.8 billion in assets under management (AUM) across eight actively managed BSL CLO vehicles. The firm has experience managing both 1.0 and 2.0 CLOs. Trimaran is an independent subsidiary of LibreMax Capital, an $8.4 billion asset management firm specializing in structured products and corporate credit.
U.S. New York, NY 15 1998 $3.8 Bil. $3.8 Bil. 8 16 Source: Trimaran Advisors, LLC.
U.S. 1 25 Years 20 Years’ Credit Experience 5 –20 Years’ Credit Experience 2 <10 Years’ Credit Experience — 25 Years 40–50 350–400 — Source: Trimaran Advisors, LLC.
($ Bil.) 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Trimaran Advisors, LLC.
Trimaran Advisors LLC March 30, 2020424 tr ct red inance
ta rea d n an rea d n sset pe sset pe e i n e i n
Credit C ittee Experience Years a e it e e ir nd str — —
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — — —
— – –
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425 tr ct red inance
e itc ie — ri aran d is rs C e C nsiderati ns C pan Trimaran’s new CLO issuance is supported by CAVU Investment Partners, a dedicated n est ents – vestment Committee’s approval. C ntr s perati ns and ec n
426 Structured Finance CLO
Trinitas Capital Management, LLC Trinitas Capital Management, LLC (Trinitas) is a Dallas-based CLO management firm that was established in 2015. As of Dec. 31, 2019, Trinitas had $5.2 billion in assets under management (AUM) through nine CLOs and two CLO warehouses. In addition, Trinitas is a capitalized manager vehicle (CMV), with approximately $400 million of capital commitment. WhiteStar Asset Management is the staff and services provider for Trinitas.
Firm Profile Region(s) of CLO Operations U.S. Location Dallas, TX CLO Related Employees 12 CLO Issuance Since 2015 Total Assets Under Management (AUM) $5.2 Bil. Leveraged Loan AUM $5.2 Bil. Active CLOs Under Management 9 Total CLOs Managed 9 Source: Trinitas Capital Management, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 6 PMs Average Experience 16 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 6 <10 Years’ Credit Experience 6 Analyst Team Average Experience 13 Years Loan Team Credits Per Analyst 30–35 Approximate No. of Invested Credits 450–500 Distressed Credit Specialists / Avg. Experience 3 / 18 Years Source: Trinitas Capital Management, LLC.
U.S. Loan AUM Development ($ Bil.) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 2016 2017 2018 2019
Source: Trinitas Capital Management, LLC.
Trinitas Capital Management, LLC February 18, 2020427 tr ct red inance
ta rea d n an rea d n sset pe sset pe e i n
Credit C ittee Experience Years a e it e e ir nd str
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — — — — – –
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428 Structured Finance CLO
Voya Investment Management Co. LLC Voya Investment Management Co. LLC (Voya IM) is a wholly owned (100%) subsidiary of Voya Financial, Inc. ( NYSE: VOYA), a Fortune 500 company. As of De c. 31, 2019, Voy a IM had assets under manageme nt (AUM) t otaling appr oximately $212 billion, of which its senior loan group represented $26.6 billion.
Firm Profile Region(s) of CLO Operations U.S. Europe Location Scottsdale, AZ London, U.K. CLO Related Employees 60 5
CLO Issuance Since 2005 2018 Total Assets Under Management (AUM) $25.6Bil.ª $1.0 Bil. Leveraged Loan AUM $25.6 Bil. $1.0 Bil.ᵇ Active CLOs Under Management 27 2 Total CLOs Managed 41 2 ªSenior loan group managed assets. ᵇIncludes the U.S. dollar exposure of the European credits that are covered by Voya IM’s European team. Source: Voya Investment Management Co. LLC.
CLO Team Structure
Region(s) U.S. Europe Number of CLO Portfolio Managers (PM) 2 2 PMs Average Experience 20 Years 20 Years Loan Analysts with: >20 Years’ Credit Experience 1 — 10–20 Years’ Credit Experience 7 1 <10 Years’ Credit Experience 7 4 Analyst Team Average Experience 13 Years 10 Years Loan Team Credits Per Analyst 40–50 30–40 Approximate No. of Invested Credits 550–600 550–600 Distressed Credit Specialists / Avg. Experience — — Source: Voya Investment Management Co. LLC.
U.S. Loan AUM Development ($ Bil.) 30 25 20 15 10 5 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Voya Investment Management Co. LLC.
Voya Investment Management Co. LLC February 14, 2020429 Structured Finance CLO
European Loan AUM Development ($ Bil.) 2,5 2,0 1,5 1,0 0,5 0,0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: Voya Investment Management Co. LLC.
Total AUM Breakdown Loan AUM Breakdown
(%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 53 Client Type Managed Accounts 36 Insuranceª 36 Managed Funds 11
Bank 1 Region
Pension/Retirementᵇ 16 U.S. 99 Managed Accounts 1 Europe 1
Otherᶜ 47 Source: Voya Investment Management Co. LLC. ªIncludes Voya's general account and other insurance separate accounts. ᵇIncludes defined benefit plan and defined contribution plan client assets. ᶜIncludes public, alternatives, corporate, mutual funds, association, education, foundation, healthcare, Taft Hartley and sub-advised assets as of Dec. 31, 2019. Source: Voya Investment Management Co. LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Dan Norman Managing Director Group Head 28 35 Jeff Bakalar Managing Director Group Head and Chief Investment Officer 22 34 Ralph Bucher Senior Vice President Chief Credit Officer 19 35 Mohamed Basma, CFA Senior Vice President Portfolio Manager 20 23 Mark Haak, CFA Senior Vice President Portfolio Manager 21 26 Chuck LeMieux, CFA Senior Vice President Portfolio Manager 22 33 Robert Wilson Senior Vice President Portfolio Manager 22 33 Kris Trocki, CFA Senior Vice President Portfolio Manager 13 17 Source: Voya Investment Management Co. LLC.
Voya Investment Management Co. LLC February 14, 2020430 Structured Finance CLO
European Credit Committee Experience (Years) Name Title Role Firm Industry Dan Norman Managing Director Group Head 28 35 Jeff Bakalar Managing Director Group Head and Chief Investment Officer 22 34 Ralph Bucher Senior Vice President Chief Credit Officer 19 35 Mohamed Basma, CFA Senior Vice President Portfolio Manager 20 23 Mark Haak, CFA Senior Vice President Portfolio Manager 21 26 Chuck LeMieux, CFA Senior Vice President Portfolio Manager 22 33 Robert Wilson Senior Vice President Portfolio Manager 22 33 Kris Trocki, CFA Senior Vice President Portfolio Manager 13 17 Source: Voya Investment Management Co. LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Voya 2012-4 R 2012 4Q19 4Q20 414 417 R BSL No Voya 2013-1 R 2013 4Q17 4Q19 628 623 R BSL No
Voya 2013-2 R 2013 1Q18 1Q20 476 476 R BSL No
Voya 2013-3 R 2013 3Q18 3Q20 462 462 R BSL No Voya 2014-1 R 2014 2Q18 2Q20 422 419 R BSL No Voya 2014-2 R 2014 2Q17 2Q19 536 533 R BSL No Voya 2014-3 2014 4Q17 3Q16 518 355 PR BSL No Voya 2014-4 R 2014 2Q18 2Q20 524 523 R BSL No Voya 2015-1 R 2015 1Q18 1Q20 613 613 R BSL No Voya 2015-2 2015 3Q18 3Q17 566 566 R BSL No Voya 2015-3 R 2015 4Q18 4Q20 813 812 R BSL No Voya 2016-1 R 2016 1Q18 1Q20 422 420 R BSL No Voya 2016-2 2016 3Q19 1Q18 407 407 R BSL No Voya 2016-3 R 2016 4Q18 4Q20 611 610 R BSL No Voya 2016-4 2016 2Q19 1Q19 707 707 R BSL No Voya 2017-1 2017 — 2Q19 513 511 R BSL No Voya 2017-2 2017 — 2Q19 611 608 R BSL No
Voya 2017-3 2017 — 3Q19 607 601 R BSL No
Voya 2017-4 2017 — 4Q19 609 609 R BSL No Voya 2018-1 2018 — 2Q20 661 661 R BSL No Voya 2018-2 2018 — 2Q20 612 612 R BSL No Voya 2018-3 2018 — 3Q20 608 608 R BSL Yes Voya 2018-4 2018 — 1Q21 400 404 R BSL No Voya 2019-1 2019 — 4Q19 399 399 R BSL No Voya 2019-2 2019 — 3Q21 404 404 R BSL No Voya 2019-3 2019 — 4Q21 476 476 R BSL No Voya 2019-4 2019 — 4Q21 603 603 R BSL No R – Reinvesting. PR – Post-reinvestment. Source: Voya Investment Management Co. LLC.
Voya Investment Management Co. LLC February 14, 2020431 Structured Finance CLO
Active European CLOs Under Management Latest End Portfolio Balance Refi/ Non- (€ Mil.) Name Vintage Reset Call Original Current Status Voya Euro CLO I 2018 — 1Q20 356 356 R Voya Euro CLO II 2019 — 2Q21 405 405 R R – Reinvesting. Source: Voya Investment Management Co. LLC.
Organizational Structure
Voya Financial, Inc.
Lion CT Holdings
Voya Investment Management Co. LLC
Voya Investment Management Alternative Assets LLC
Voya Alternative Asset Management LLC
Source: Voya Investment Management Co. LLC.
Voya Investment Management Co. LLC February 14, 2020432 Structured Finance CLO
The Fitch View — Voya Investment Management Co. LLC
Key Considerations
• Voya IM has a strong business franchise, a high level of focus on leveraged loans and an experienced and stable management team. • Depth of experience of senior managers providing effective leadership. Stability of management team, with senior staff having worked together for 20 years. • Voya continues to develop enhanced portfolio management tools to address the more detailed analysis required for bank loan investments. Company • Voya IM is a leading U.S.-based active asset management firm with over 41 years of experience in investment management. Voya IM manages CLOs through Voya Alternative Asset Management LLC, an indirect, wholly owned subsidiary of Voya Financial. • The senior loan group’s investments are focused on the syndicated loan market; the group has been an active CLO issuer since 2005. • Senior management team at the senior loan group averages approximately 30 years of industry experience and 20 years of working together. Investments • The senior loan group’s investment objective is total return oriented with a high-quality bias. • The senior loan group follows a robust seven-stage investment process targeting higher quality non-investment-grade loans that exhibit attractive relative value within the asset class. • More actively traded loans are also targeted to allow for better trade execution in times of stress. Fundamental credit analysis is employed to identify value opportunities. • Credit analysts are responsible for ongoing surveillance. At the time of initial approval, risk parameters and surveillance criteria are set for each credit. All credits are reviewed quarterly or monthly if applicable, and exposure is reduced if there is heightened concern over a specific credit. • The firm incorporates environmental, social and governance or other impact investing considerations into their investment analysis. Controls • Voya IM provides strong corporate governance oversight. As a subsidiary of Voya Financial, Voya IM is subject to external audits as applicable to its parent. • The senior loan group has a four-member investment compliance team that reports to its head of treasury and operations. • Control objectives are demonstrated by redundancies in the trustee interface reconciliation process and quarterly checks of all transactions by an external auditor. Operations and Technology
• The senior loan group is supported by a 23-person operations team focused on trustee, custodian and analyst support, treasury and settlements, and CLO and fund compliance reporting, among other areas. • CLO cash flows are managed through Wall Street Office (WSO). • Standard trustee reporting is provided to investors, and portfolio managers are available for investor inquiries. • The senior loan group has established a robust proprietary asset management system, Research Delivery System, for managing loans and CLO portfolios. • Appropriate decision-making tools for risk analysis and investment allocation. Voya IM uses both widely accepted industry systems and proprietary systems for portfolio management and administration, including WSO, Markit Loans, Inc./Loan Pricing Corporation, Thomson Financial/Reuters/Dow Jones Wire, Bloomberg/FactSet and rating agency data feeds and research.
Voya Investment Management Co. LLC February 14, 2020433 Structured Finance CLO
Wellfleet Credit Partners, LLC Wellfleet Credit Partners, LLC (WCP) is the performing credit platform for Littlejohn & Co, LLC (Littlejohn), which was established in 1996 and is an equity and credit investor focused on middle-market private equity, distressed and stressed securities, and broadly syndicated loans. WCP’s CLO management platform launched its first CLO transaction in 2015. As of Dec. 31, 2019, the firm was managing 11 CLOs and had $4.5 billion in global assets under management (AUM).
Firm Profile
Region(s) of CLO Operations U.S. Location Greenwich, CT CLO Related Employees 14 CLO Issuance Since 2015 Total Assets Under Management (AUM) $4.5 Bil. Leveraged Loan AUM $4.5 Bil.
Active CLOs Under Management 11 Total CLOs Managed 11 Source: Wellfleet Credit Partners, LLC.
CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 20 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 3 Analyst Team Average Experience 12 Years Loan Team Credits Per Analyst 40−50 Approximate No. of Invested Credits 350−400 Distressed Credit Specialists / Avg. Experience — Source: Wellfleet Credit Partners, LLC.
U.S. Loan AUM Development ($ Bil.) 5.0 4.0 3.0 2.0 1.0 0.0 2015 2016 2017 2018 2019 Source: Wellfleet Credit Partners, LLC.
Wellfleet Credit Partners, LLC 434 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 99 CLOs 99 Structured Credit (non-CLOs) 1 Managed Accounts 1 Client Type Region Insurance 43 Bank 7 U.S. 100 Pension/Retirement 2 Source: Wellfleet Credit Partners, LLC. Family Office / High Net Worth 2 Managed Accounts 46 Source: Wellfleet Credit Partners, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Scott McKaya Managing Director Portfolio Manager 5 14 Dennis Talleya Managing Director Portfolio Manager 5 25 Robert Davisa Managing Director Portfolio Manager 15 32 Richard Maybauma Managing Director Portfolio Manager 15 30 ªNamed as key person on at least one of the firm's CLOs. Source: Wellfleet Credit Partners, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Wellfleet CLO 2015-1 Ltd. 2015 4Q17 4Q18 350 354 R BSL No Wellfleet CLO 2016-1, Ltd. 2016 2Q18 4Q18 350 401 R BSL No Wellfleet CLO 2016-2, Ltd. 2016 4Q18 4Q18 400 400 R BSL No Wellfleet CLO 2017-1, Ltd. 2017 — 2Q19 450 451 R BSL No Wellfleet CLO 2017-2, Ltd. 2017 — 4Q20 550 551 R BSL No Wellfleet CLO 2017-3, Ltd. 2017 — 1Q20 400 400 R BSL No Wellfleet CLO 2018-1, Ltd. 2018 — 3Q20 400 401 R BSL No Wellfleet CLO 2018-2, Ltd. 2018 — 4Q20 500 500 R BSL No Wellfleet CLO 2018-3, Ltd. 2018 — 1Q21 400 400 R BSL No Wellfleet CLO X, Ltd. 2019 — 1Q21 313 313 R BSL No Wellfleet CLO 2019-1, Ltd. 2019 — 3Q21 400 400 R BSL No R – Reinvesting. Source: Wellfleet Credit Partners, LLC.
Wellfleet Credit Partners, LLC 435 Structured Finance CLO
Organizational Structure
Littlejohn & Co, LLC
Private Equity Cetus Capital, LLC Wellfleet Credit Partners, LLC
Littlejohn Private Equity Funds CLOs
Opportunities Funds Structured Credit SMA
Separately Managed Accounts
Source: Wellfleet Credit Partners, LLC.
Wellfleet Credit Partners, LLC 436 Structured Finance CLO
The Fitch View — Wellfleet Credit Partners, LLC Key Considerations • WCP is led by Portfolio Managers (PMs) Scott McKay and Dennis Talley, who together have 39 years of experience in leverage finance and previously managed $1.5 billion of CLO AUM at another firm. • Benefits from resources and commitment of parent, Littlejohn, with a track record in private equity and distressed credit investments and ability to provide capital to grow WCP. • Key person risk tied to PMs McKay and Talley for maintaining growth and execution of the CLO business. Company • WCP is the performing credit investment platform of Littlejohn and is responsible for managing the CLO business. Littlejohn is the named registered investment adviser, with WCP a wholly owned subsidiary. • Littlejohn, established in 1996, focuses on middle-market private equity, distressed credit and broadly syndicated leveraged loans. • In addition to 11 managing CLOs totaling $4.5 billion, the firm also invests in structured credit transactions via separately managed accounts. • WCP is supported by 10 investment professionals. Investment • Thorough, well-defined credit process focusing on bottom-up fundamental analysis and investment style that selectively choses core investments without over diversifying portfolios. • Investment style focused on loss avoidance by establishing core portfolio positions and targeted research of these anchor investments; this fosters capital preservation by identifying credits that should be exited before they have deviated from the original underwriting thesis. • The investment committee comprises PMs of WCP and senior credit members from Littlejohn. Each credit requires a full credit underwriting and unanimous approval by the investment committee. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Formalized ongoing surveillance process involves daily meetings covering market sector trends and loan performance, as well as CLO portfolio compliance. • Broad market trends are discussed to ensure appropriate risk management oversight of Littlejohn’s separate business units. Strategic business decisions are discussed, and a management committee ensures sharing of information across Littlejohn’s strategies. • Well-established internal compliance function, with Littlejohn CFO and staff providing compliance oversight. An external compliance firm helps establish and review policies and procedures and conduct mock audits. Operations and Technology • Reliable back- and middle-office resources ensure efficient and appropriate management of CLOs and industry-standard controls. Middle-office functions are outsourced to Virtus Partners. • Strong compliance program with front-end portfolio management reporting, order management system, cash settlement and CLO compliance run in-house meet industry standards. • Front-end portfolio management system is tailored to CLO management via Black Mountain Systems. • Business continuity plan and cybersecurity measures are appropriate and tested.
Wellfleet Credit Partners, LLC 437 Structured Finance CLO
Whitebox Advisors LLC Founded in 1999, Whitebox Advisors LLC (Whitebox) is a privately owned, multistrategy alternatives investment firm headquartered in Minneapolis. Whitebox had $6.1 billion under management as of Dec. 31, 2019. Primary strategies include credit, credit arbitrage and structured credit managed via open-end funds, closed-end funds and separate accounts. The firm issued its first CLO in 2019.
Firm Profile Region(s) of CLO Operations U.S. Location Austin, TX CLO Related Employees 16 CLO Issuance Since 2019 Total Assets Under Management (AUM) $6.1 Bil. Leveraged Loan AUM $1.6 Bil. Active CLOs Under Management 1 Total CLOs Managed 1 Source: Whitebox Advisors LLC. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 3 PMs Average Experience 22 Years Loan Analysts with: >20 Years’ Credit Experience 2 10–20 Years’ Credit Experience 6 <10 Years’ Credit Experience 5 Analyst Team Average Experience 14 Years Loan Team Credits Per Analyst 25−35 Approximate No. of Invested Credits 190 Distressed Credit Specialists / Avg. Experience 4 / 21 Years Source: Whitebox Advisors LLC.
U.S. Loan AUM Development ($ Bil.) 2.0 1.5 1.0 0.5 0.0 2014 2015 2016 2017 2018 2019 Source: Whitebox Advisors LLC.
Whitebox Advisors LLC March 20, 2020438 Structured Finance CLO
a Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates 2 CLOs 25 Broadly Syndicated Loans 20 Managed Accounts 21 High Yield Bonds 37 Managed Funds 54 Structured Credit (non-CLOs) 9 Region Third Party CLOs 1 U.S. 100 Equities 1 Source: Whitebox Advisors LLC. Other 30 Client Type Bank 2 Pension/Retirement 14 Endowment 5 Family Office/High Net Worth 17 Sovereign Wealth Funds 4 Managed Accounts 43 Other 15 aAUM breakdown reflects net position sizes. Source: Whitebox Advisors LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Paul Roos Partner Head of Structured Credit 8 22 Patrick Conner Portfolio Manager CLO Credit Portfolio Manager 5 26 Joon Kyung Portfolio Manager CLO Credit Portfolio Manager and Loan Trader 2 19 Nickolas Stukas Portfolio Manager Head of Relative Value Credit 5 18 Peter Wiley Portfolio Manager Credit Research 17 23 Jake Mercer Partner Head of Special Situations and Restructuring 13 23 Source: Whitebox Advisors LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant Whitebox CLO I 2019 – 3Q21 400 400 R BSL No R – Reinvesting. Source: Whitebox Advisors LLC.
Whitebox Advisors LLC March 20, 2020439 Structured Finance CLO
The Fitch View — Whitebox Advisors LLC Key Considerations • Whitebox has experience managing bank loans since inception and expanded into the asset class in 2014. Whitebox manages CLOs via its subsidiary and relying adviser, Whitebox Capital Management LLC. • Key staffers have CLO structuring, bank loan investing and portfolio management experience at prior firms. • Whitebox-affiliated funds plan to retain entire equity portions on its initial CLOs. Company • Founded in 1999, Whitebox is a privately owned, multistrategy alternatives investment firm headquartered in Minneapolis. • Whitebox had $6.1 billion under management as of Dec. 31, 2019. Primary strategies include credit, relative value credit, credit arbitrage, convertible arbitrage, and structured credit managed via open-end funds, closed-end funds and separate accounts. • Ownership is divided among six partners, with Robert Vogel controlling the largest share. Investments • The CLO platform is led by Paul Roos, Whitebox partner and head of Structured Products. Roos has experience in CLO investing, surveillance and structuring with Highland Capital prior to joining Whitebox in 2012. He is supported by 15 fundamental credit investment professionals and a six-person quantitative research team. • Whitebox focuses on larger, liquid names with facility sizes of $400 million or more. The firm follows an active market of approximately 250 names. • Generalists on staff have distressed credit experience and are utilized by the primary investments team in deteriorating credit situations. • A six-member CLO investment committee reviews all new investments with a unanimous decision needed for approval. Controls • A dedicated four-person Risk group oversees investment risk at every level of the organization, from individual positions to aggregate firm-level investment risk including each CLO portfolio. • Full portfolio reviews are conducted by investment analysts and portfolio managers on a quarterly basis. Positions can be adjusted upon changes in financial condition or relative value. • Whitebox adheres to a formal allocation process due to the firm’s varied account types. Operations and Technology • Middle-office CLO administrative function provided by US Bank. Pre- and post-trade compliance is maintained through U.S. Bank’s Pivot System. • Broadridge is used as primary portfolio and order management system. • U.S. Bank and the PIVOT web-based analytics system assist in scenario and hypothetical testing. • Intex is used for structure and risk-based analytics. • Whitebox has dedicated IT professionals at each of its U.S. locations. • Cybersecurity protocol includes quarterly employee training.
Whitebox Advisors LLC March 20, 2020440 Structured Finance CLO
Whitehorse Capital Management, LLC Whitehorse Capital Management, LLC (Whitehorse) was established in July 2011 as an independent investment adviser and is a wholly owned subsidiary of H.I.G. Capital, LLC (H.I.G). Whitehorse was managing five CLOs as of Dec. 31, 2019.
Firm Profile Region(s) of CLO Operations U.S. Location Dallas, TX CLO Related Employees 20 CLO Issuance Since 2004 Total Assets Under Management (AUM) $24.0 Bil.a Leveraged Loan AUM $1.5 Bil. Active CLOs Under Management 5 Total CLOs Managed 10 aAs of Dec. 31, 2018. Source: Whitehorse Capital Management, LLC. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 2 PMs Average Experience 20 Years Loan Analysts with: >20 Years’ Credit Experience 3 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 3 Analyst Team Average Experience 10 Years Loan Team Credits Per Analyst 40−50 Approximate No. of Invested Credits 350−400 Distressed Credit Specialists / Avg. Experience 2 / 20 Years Source: Whitehorse Capital Management, LLC.
U.S. Loan AUM Development
($ Bil.) 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Whitehorse Capital Management, LLC.
Whitehorse Capital Management, LLC March 17, 2020441 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 100 CLOs 100 Source: Whitehorse Capital Management, LLC. Region U.S. 93 Europe 4 Other 3 Source: Whitehorse Capital Management, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Jay Carvella Managing Director Credit 17 21 Nate Stinchcomb Principal Credit 17 21 Andrew Bagby Vice President Credit 6 8 Jeff Fahrenholz Vice President Credit 14 14 Marcus Graham Vice President Credit 13 13 Michael Latham Vice President Credit 13 13 Jonathan Purdy Vice President Trader 7 11 ªNamed as key person on at least one of the firm's CLOs. Source: Whitehorse Capital Management, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant WhiteHorse VII 2013 — 4Q15 400 18 PR BSL No WhiteHorse VIII 2014 4Q17 2Q16 550 308 PR BSL No WhiteHorse IX 2014 3Q17 3Q16 400 262 PR BSL No WhiteHorse X 2015 2Q18 4Q16 500 425 PR BSL Yes WhiteHorse XII 2018 — 3Q20 450 451 R BSL No PR – Post-reinvestment. R – Reinvesting. Source: Whitehorse Capital Management, LLC.
Whitehorse Capital Management, LLC March 17, 2020442 Structured Finance CLO
The Fitch View — Whitehorse Capital Management, LLC Key Considerations • Experienced bank loan and CLO manager with a proven track record. • Strong credit analysis, portfolio monitoring processes and CLO administration capabilities. • Additional financial and investment resources available through its parent. Company • Whitehorse was established in July 2011 as an independent investment adviser and is a wholly owned subsidiary of H.I.G. • Whitehorse benefits from its integrated relationship with H.I.G. in terms of shared resources and business model while functioning as an independent entity to mitigate potential conflicts of interest. • Core managers of the firm have been working together for over 20 years, demonstrating stability at senior staff levels. Investments • The investment committee is composed of highly experienced industry veterans spanning across H.I.G.'s private equity, distressed and lending platforms. • The bank loan investment team has 12 members, and structuring/risk management is covered by a team of four dedicated to CLO accounting and compliance. • Bank loan team analysts have an average of 10 years' experience and are responsible for 40–50 active credits. • Credit underwriting is essentially a three-step process encompassing fundamental analysis, investment committee approval and technical analysis. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Active investment risk management is embedded in the investment process and supported by strong analytics. • Whitehorse falls under the scope of H.I.G.'s internal and external audit processes. • Documented procedures are in place for all functional areas, including investment management and operations. Operations and Technology • Daily portfolio monitoring, overseen by the structuring/risk management team, is completed through firmwide accounting and compliance systems. Cash transactions are reconciled with the trustee on a daily basis. • All portfolios are monitored on Wall Street Office, and the structuring group is in daily contact with portfolio managers regarding CLO compliance. • Whitehorse's Everest module integrates front-, middle- and back-office functions, including trading, back-office accounting, credit monitoring and portfolio management. • Business continuity plans and cybersecurity measures are appropriate and tested.
Whitehorse Capital Management, LLC March 17, 2020443 Structured Finance CLO
WhiteStar Asset Management, LLC WhiteStar Asset Management, LLC (WhiteStar) is a Dallas-based investment management firm. Established in 2013 as Triumph Capital Advisors (Triumph), the firm focuses on credit investments, with an emphasis on senior secured bank loans. As of Dec. 31, 2019, WhiteStar had $470 million in assets under management (AUM) via two CLOs. On March 31, 2017, WhiteStar announced it had been acquired by private equity firm Pine Brook Partners. WhiteStar is the staff and services provider for Trinitas Capital Management, LLC. The combined AUM of the two entities is $5.7 billion.
Firm Profile Region(s) of CLO Operations U.S. Location Dallas, TX CLO Related Employees 20 CLO Issuance Since 2014 Total Assets Under Management (AUM) $0.4 Bil. Leveraged Loan AUM $0.4 Bil. Active CLOs Under Management 2 Total CLOs Managed 5 Source: WhiteStar Asset Management, LLC. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 6 PMs Average Experience 16 Years Loan Analysts with: >20 Years’ Credit Experience 1 10–20 Years’ Credit Experience 6 <10 Years’ Credit Experience 6 Analyst Team Average Experience 13 Years Loan Team Credits Per Analyst 30–35 Approximate No. of Invested Credits 450–500 Distressed Credit Specialists / Avg. Experience 3 / 18 Years Source: WhiteStar Asset Management, LLC.
U.S. Loan AUM Development ($ Bil.) 2.5 2.0 1.5 1.0 0.5 0.0 2014 2015 2016 2017 2018 2019
Source: WhiteStar Asset Management, LLC.
WhiteStar Asset Management, LLC February 18, 2020444 tr ct red inance
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446 Structured Finance CLO
York CLO Managed Holdings, LLC York CLO Managed Holdings, LLC is the CLO management ar m of York Capital Management Global Advisors, LLC (York), which was founded in 1991 and oversees $17.6 billion in global assets under management (AUM). York’s credit business invests across special situations, arbitrage and distressed strategies. As of Dec. 31, 2019, York CLO Managed Holdings, LLC managed six CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY
CLO Related Employees 9 CLO Issuance Since 2015 Total Assets Under Management (AUM) $17.6 Bil. Leveraged Loan AUM $4.1 Bil. Active CLOs Under Management 6 Total CLOs Managed 6
Source: York CLO Managed Holdings, LLC.
CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 25 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 3 <10 Years’ Credit Experience 4 Analyst Team Average Experience 8 Years Loan Team Credits Per Analyst 40–50 Approximate No. of Invested Credits 300–350 Distressed Credit Specialists / Avg. Experience — Source: York CLO Managed Holdings, LLC.
U.S. Loan AUM Development ($ Bil.) 5.0 4.0 3.0 2.0 1.0 0.0 2012 2013 2014 2015 2016 2017 2018 2019 Source: York CLO Managed Holdings, LLC.
York CLO Managed Holdings, LLC 447 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Investment Grade Corporates <1 CLOs 77 Broadly Syndicated Loans 23 Managed Funds 23 High Yield Bonds 11 Region Structured Credit (non-CLOs) <1 U.S. 90 Equities 53 Europe 1 Other 12 Other 8 Client Type Source: York CLO Managed Holdings, LLC. Bank 9 Pension/Retirement 33 Endowment 11 Family Office / High Net Worth 13 Sovereign Wealth Funds 8 Managed Accounts 2 Other 24 Source: York CLO Managed Holdings, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Rizwan Akhter Managing Director CLO Portfolio Manager 5 26 William Vrattos Co-Managing Director Co-Chief Investment Officer 17 27 Jeanne Manischewitz Partner Co-Head of N.A. Credit 14 23 Source: York CLO Managed Holdings, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant York CLO1 Ltd 2014 3Q18 4Q19 400 500 R BSL No York CLO2 Ltd 2015 4Q17 1Q20 500 700 R BSL No York CLO3 Ltd 2016 3Q17 4Q19 400 650 R BSL No York CLO4 Ltd 2016 — 1Q20 400 400 R BSL No York CLO5 Ltd 2018 — 3Q20 500 500 R BSL No York CLO6 Ltd 2019 — 3Q21 400 400 R BSL No R - Reinvesting. Source: York CLO Managed Holdings, LLC.
York CLO Managed Holdings, LLC 448 Structured Finance CLO
Organizational Structure
York Capital Management Europe (UK) Advisors, LLP York Capital Investment (London Office) Management Global Advice York Capital Advisors, LLC Management Subsidiaries (Dinan and Schwartz (US) Advisors, L.P. majority control) York Capital Management Asia (HK) Investment General Partners/Investment Advisors Ltd. Advice Managers/Collateral Manager (Hong Kong Office)
York CLO Managed Holdings, LLC
Day-to-Day Incentive Management Expenses Paid Operating Fee Fee (Salaries, Rent, Office Space, etc.) Responsibilities
Collateralized Loan Funds Obligations
• York CLO-1 Ltd • York Multi-strategy • York Special Opportunities Fund II • York CLO-2 Ltd • York Credit Opportunities • York Special Opportunities Fund III • York CLO-3 Ltd • York European Opportunities • York Asian Event-Driven UCITS Fund • York CLO-4 Ltd • York European Focus • York European Distressed Credit Fund • York CLO-5 Ltd • York Asian Opportunities • York European Distressed Credit Fund II • York CLO-6 Ltd • York Total Return • York Distressed Asset Fund III • York Global Credit Income Fund • York Distressed Asset Fund IV • York Event Driven UCITS Fund • York Insurance Dedicated Fund, LLC • York Special Opportunities Fund • York Tactical Energy Fund
Source: York CLO Managed Holdings, LLC.
York CLO Managed Holdings, LLC 449 Structured Finance CLO
The Fitch View — York CLO Managed Holdings, LLC Key Considerations • Diversified asset management platform that is not dependent on future CLO issuance to remain viable. • Beneifts from robust credit resources, a large research team comprised of members with significant experience across credit asset classes. • Significant employee capital invested in the firm’s funds and institutional structure support future growth. • Ability to scale broadly syndicated loan platform while maintaining competitive advantages with allocations remains an ongoing challenge. Company • Founded in 1991, York Capital Management Global Advisors, LLC (York) manages $17.6 billion in assets as of Jan 1, 2020. The firm’s credit business focuses on distressed credit investing, high yield and European distressed investing. • The collateral manager for the CLOs is York CLO Managed Holdings, LLC, a wholly owned subsidiary of York. • The firm has significant resources, including a global credit investment team comprised of numerous veteran investment professionals. • The CLO platform benefits from dedicated operations personnel and the resources of York which includes numerous investment and non-investment professionals. Investments • Investment objective is focused on using the knowledge and experience of investment professionals across asset classes, industries and geographies to apply a fundamental, research-driven approach. Investment style seeks to limit losses due to idiosyncratic risks and downside credit risk protection. • York implements this investment style for its CLOs through maintenance of a diverse portfolio with a focus on liquid loans. For investments in less liquid loans, conviction must be very high with favorable risk/return profile. • The CLO credit underwriting process is formalized, and every credit goes through an initial screening process, followed by a detailed fundamental credit analysis, culminating in a formal, written credit report. • Dedicated traders maintain street relationships and execute trades. Trading takes into account market technical analysis and discussions between portfolio manager and traders. • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into their investment analysis. Controls • Ongoing risk management is performed through formal portfolio reviews and is dependent on credit surveillance by sector and obligor and macro market views. Active portfolio rebalancing as a result of risk management to reflect changes in credit or broad market movements. • Risk management of CLOs supported by robust integration of Wall Street Office (WSO) Web for portfolio reporting and WSO Compliance for indenture test reporting requirements. • Independent operations team proactively ensures compliance with investment guidelines and conducts both pre- and post-trade compliance. Operations and Technology • The CLO platform is supported by the broader departments at York, including operations, risk and legal. • York has implemented robust procedures that incorporate regular tie outs with the trustees and maintain a parallel WSO system to ensure the accuracy of that data. • Business continuity plans and cybersecurity measures are appropriate and tested.
York CLO Managed Holdings, LLC 450 Structured Finance CLO
Z Capital Credit Partners, L.L.C. Z Capital Credit Partners, L.L.C. (ZCCP) is the credit fund management arm of Z Capital Group, L.L.C. As of Dec. 31, 2019, Z Capital Group, L.L.C. managed $2.8 billion in total AUM. ZCCP invests across a range of credit, including leveraged loans, private debt and opportunistic/stressed credit. ZCCP utilizes an approach to fundamental credit analysis that has been developed over 20 years, proprietary sourcing through its ZAPP system, sophisticated structuring and comprehensive risk management.
Firm Profile Region(s) of CLO Operations U.S. Location New York, NY CLO Related Employees 9 CLO Issuance Since 2015 Total Assets Under Management (AUM) a $1.2 Bil. Leveraged Loan AUMa $1.1 Bil. Active CLOs Under Management 3 Total CLOs Managed 3 aIncludes CLO trade date principal cash balances. Source: Z Capital Credit Partners, L.L.C. CLO Team Structure Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 21 Years Loan Analysts with: >20 Years’ Credit Experience — 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience 2 Analyst Team Average Experience 11 Years Loan Team Credits Per Analyst 30–40 Approximate No. of Invested Credits 150–200 Distressed Credit Specialists / Avg. Experience 2 / 18 Years Source: Z Capital Credit Partners, L.L.C.
U.S. Loan AUM Development ($ Bil.) 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Source: Z Capital Group, L.L.C.
Z Capital Credit Partners, L.L.C. March 23, 2020451 tr ct red inance
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Credit C ittee Experience Years a e it e e ir nd str 3
cti e C s nder ana e ent atest End rt i a ance e i n i C E a e inta e eset Ca ri ina C rrent tat s pe C p iant — — –
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Capita C ana e ent C
Capita Credit artners C 201 1 td Capita Credit artners C 201 1 td Capita Credit artners C 201 1 td
453 Structured Finance CLO
ZAIS Group, LLC ZAIS Group, LLC (ZAIS) was established in 1997 by Christian Zugel. As of Dec. 31, 2019, it had approximately $6.3 billion in assets under management (AUM) globally. The firm manages a diverse range of products, ranging from commingled funds to bespoke strategies in managed accounts and special situation vehicles. ZAIS's investments have traditionally included CLOs, RMBS, CMBS, ABS and other credit products throughout North America and Europe. ZAIS currently manages 10 U.S. CLOs.
Firm Profile Region(s) of CLO Operations U.S. Location Holmdel, NJ
CLO Related Employees 10 CLO Issuance Since 2013 Total Assets Under Management (AUM) $6.3 Bil. Leveraged Loan AUM $4.5 Bil.
Active CLOs Under Management 10 Total CLOs Managed 11 Source: ZAIS Group, LLC. CLO Team Structure
Region(s) U.S. Number of CLO Portfolio Managers (PM) 1 PMs Average Experience 37 Years Loan Analysts with: >20 Years’ Credit Experience 6 10–20 Years’ Credit Experience 2 <10 Years’ Credit Experience 2 Analyst Team Average Experience 21 Years Loan Team Credits Per Analyst 40−50 Approximate No. of Invested Credits 450−500 Distressed Credit Specialists / Avg. Experience — Source: ZAIS Group, LLC.
U.S. Loan AUM Development ($ Bil.) 5.0 4.0 3.0 2.0 1.0 0.0 2013 2014 2015 2016 2017 2018 2019
Source: ZAIS Group, LLC.
ZAIS Group, LLC 454 Structured Finance CLO
Total AUM Breakdown Loan AUM Breakdown (%) (%) Asset Type Asset Type Broadly Syndicated Loans 71 CLOs 100 a Other 29 Region Client Type U.S. 100 Insurance 6 Source: ZAIS Group, LLC. Pension/Retirement 87 Endowment 4 Othera 3 aIncludes structured credit products and third-party CLOs but the firm’s systems do not track positions in the categories provided. Note: Percentages are approximate and based on a denominator of approximately $1.7 billion and exclude other legacy structured vehicles. As ownership interests in its CLOs are traded in the secondary market, ZAIS does not necessarily know the identity or investor type of current investors. Accordingly, the above investor breakdown does not reflect all clients of, and investors in, vehicles managed by ZAIS. Source: ZAIS Group, LLC.
U.S. Credit Committee Experience (Years) Name Title Role Firm Industry Vincent Ingatoa Portfolio Manager, Managing Director Leveraged Finance 6 37 John Doyle Director Leveraged Finance 6 33 Brian O’Leary Director Leveraged Finance 5 37 John Veidis Director Leveraged Finance 6 29 ªNamed as key person on at least one of the firm's CLOs. Source: ZAIS Group, LLC.
Active U.S. CLOs Under Management Latest End Portfolio Balance Refi/ Non- ($ Mil.) CLO EU Name Vintage Reset Call Original Current Status Type Compliant ZAIS CLO 1 2014 3Q18 4Q08 534 534 R BSL No ZAIS CLO 2 2014 2Q17 4Q16 334 334 PR BSL No ZAIS CLO 3 2016 3Q18 4Q18 521 521 R BSL No ZAIS CLO 5 2016 — 4Q18 409 409 R BSL No ZAIS CLO 6 2017 — 3Q19 512 512 R BSL No ZAIS CLO 7 2017 — 4Q18 534 534 R BSL No ZAIS CLO 8 2018 — 2Q19 461 461 R BSL No ZAIS CLO 9 2018 — 3Q20 508 508 R BSL No ZAIS CLO 11 2018 — 1Q21 410 410 R BSL No ZAIS CLO 13 2019 — 3Q22 402 402 R BSL No R − Reinvesting. PR − Post-reinvestment. Source: ZAIS Group, LLC.
ZAIS Group, LLC 455 Structured Finance CLO
Organizational Structure
ZAIS Group Holdings Inc. 100%
ZAIS Group, LLC
GP/LP Entities of Managed Vehicles Operating Subsidiaries Other Advisory Entities
ZAIS Group (UK) Ltd.
ZAIS Zephyr 7 GP, LLC ZAIS Leveraged Loan Manager, LLC
ZAIS Zephyr 8 GP, LLC ZAIS Leveraged Loan Manager 2, LLC
ZAIS Alternative Credit Management, LLC ZAIS Leveraged Loan Manager 3, LLC
ZAIS INARI 2 GP, LLC ZAIS Leveraged Loan Master Manager, LLC
ZAIS Group S.á.r.l
Note: ZAIS maintains certain other entities that are currently inactive and, therefore, not included above. Source: ZAIS Group, LLC.
ZAIS Group, LLC 456 Structured Finance CLO
The Fitch View — ZAIS Group, LLC Key Considerations • ZAIS has a diversified product line-up and is not dependent on future CLO issuance to drive profitability at the corporate level. • Depth and breadth of experience among ZAIS investment committee members, who average more than 20 years’ relevant investment experience, including CLO team’s strong management history. • Key person risk tied to Vincent Ingato for growth and stability of CLO platform and loan AUM. Company • ZAIS has 56 professionals and 25 investment professionals. ZAIS is headquartered in Holmdel, NJ and has an affiliate based in London. ZAIS's London affiliate employs three of the 53 total employees. • ZAIS’s products are largely held by institutional investors. • ZAIS has a diversified investment platform; strategies include mortgage, corporate and multistrategy. • The leveraged finance team is led by Ingato, a seasoned professional who previously established the CLO businesses at ACA Capital and Mountain Capital Advisors/Mizuho Bank. • ZAIS manages CLOs under the names ZAIS Leveraged Loan Manager, LLC, ZAIS Leveraged Loan Manager 2, LLC, ZAIS Leveraged Loan Manager 3, LLC and ZAIS Leveraged Loan Master Manager, LLC. Investments • Active portfolio management, with a focus on strong businesses with significant cash flow generation and sustainable capital structures. Fundamental credit research used to maintain core objective of principal preservation and prevention of downside scenarios. • Potential investments are initially screened to comply with overarching strategy, after which analysts are assigned to perform an in-depth analysis on each credit. • The core of the leveraged loan investment committee, whose function it is to oversee credit selection, approval and construction, consists of four senior individuals with an average of 30 years’ industry experience. • Proprietary credit selection tools assist analysts in generating an internal credit rating. Criteria include analysis of business risk (industry fundamentals, management track record), financial structure (leverage, capital structure, ratios and historical performance) and loan structure (collateral terms, covenants, recovery analysis and inter-creditor issues). • The firm incorporates environmental, social and governance (ESG) or other impact investing considerations into its investment analysis. Controls • Internal controls to support compliance and risk reporting including various standing committees (valuation, investment, management, commitments, conflicts and cross trades, and disclosure). • Quarterly portfolio reviews in which analysts produce written reports to substantiate their investment thesis for each credit they cover. • ZAIS has policies and processes in place to support the accuracy of trading, portfolio management and administration functions. Operations and Technology • ZAIS uses industry-standard third-party systems, including, but not limited to, Black Mountain, Bloomberg and Wall Street Office (WSO), and proprietary systems for portfolio management. • Administrative capabilities reflect qualified staff interacting with appropriate systems and processes. • Trade settlement and loan processing performed by Clear Par and WSO, respectively, providing additional independent oversight. • Business continuity plans and cybersecurity measures are proven and tested.
ZAIS Group, LLC 457 Structured Finance CLO
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CLO Asset Manager Handbook March 4, 2020458